UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-6093
Name of Registrant: Vanguard Institutional Index Funds
Address of Registrant: P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service: 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) INSTITUTIONAL 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
- --------------------------------------------------------------------------------
* Both share classes of Vanguard Institutional Index Fund returned 11.8% in
the first half of the year, matching the return of the fund's target
benchmark.
* Every major stock sector rose as investor optimism surged during the second
quarter.
* The fund's 15.4% advance in the second three months of the year represented
its largest quarterly gain since the fourth quarter of 1998.
- --------------------------------------------------------------------------------
================================================================================
CONTENTS
- --------------------------------------------------------------------------------
1 Letter from the Chairman
5 Fund Profile
6 Glossary of Investment Terms
7 Performance Summary
8 Financial Statements
- --------------------------------------------------------------------------------
================================================================================
LETTER FROM THE CHAIRMAN [picture of John J. Brennan]
Dear Shareholder,
During the six months ended June 30, 2003, both share classes of Vanguard
Institutional Index Fund returned 11.8% as investor confidence surged during the
second quarter. Your fund's returns 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 adjacent table provides the total returns for your fund (both the
Institutional and Institutional Plus Shares) and its comparative yardsticks. The
per-share components of your fund's total returns appear on page 4.
====================================================
TOTAL RETURNS SIX MONTHS ENDED
JUNE 30, 2003
- ----------------------------------------------------
VANGUARD INSTITUTIONAL INDEX FUND
Institutional Shares 11.8%
Institutional Plus Shares 11.8
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, 2003. Indeed,
the start of the war in mid-March marked the beginning of a sharp rally in
stocks that outlasted the conflict. 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) 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).
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.
1
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%--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, tracking Fed
moves with a lag--fell 34 basis points during the six months to 0.85%, well
below the inflation rate.
=====================================================================
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.
=====================================================================
A SECOND-QUARTER RALLY PROVIDED A WELCOME BOOST
Vanguard Institutional Index Fund's performance during the first half of
2003--like that of the S&P 500 Index--was dominated by a second-quarter rally
that brought a welcome reprieve from the three-year bear market in stocks. The
fund's 11.8% advance for the six months ended June 30 was due to its 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.
2
Every sector 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 of 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 that fell into this group included
consumer staples, integrated oils, materials & processing, and auto &
transportation.
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
Institutional Index Fund, your institution automatically has exposure to all 500
stocks that make up the S&P 500. Because these stocks constitute a 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 the best plan
is to maintain a diversified portfolio of investments suited to your
organization's circumstances and goals. When following this strategy, the
Institutional Index Fund serves as an excellent long-term core investment
because it is so diversified across the larger-company arena. Your institution
also benefits from the fund's rock-bottom operating expenses. The fund's
annualized expense ratios (operating costs as a percentage of assets) for the
first six months of the year were just 0.05% for the Institutional Shares and a
mere 0.025% for the
================================================================================
EVERY SECTOR OF THE MARKET GAINED GROUND OVER THE PAST SIX MONTHS. TECH STOCKS
LED THE WAY AS INVESTORS ANTICIPATED A REVIVAL IN SALES OF TECHNOLOGY EQUIPMENT
AND SERVICES.
================================================================================
3
Institutional Plus Shares, compared with last year's average of 1.41% for
large-cap core funds. This substantial cost difference helps your organization's
investment in the fund 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
================================================================================
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
- --------------------------------------------------------------------------------
Institutional Index Fund
Institutional Shares $80.45 $89.21 $0.67 $0.00
Institutional Plus Shares 80.45 89.21 0.68 0.00
================================================================================
4
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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 6.
INSTITUTIONAL INDEX FUND
================================================================================
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- ---------------------------------------------------
Number of Stocks 502 500
Median Market Cap $50.4B $50.4B
Price/Earnings Ratio 20.9x 20.9x
Price/Book Ratio 3.0x 3.0x
Yield 1.7%
Institutional Shares 1.7%
Institutional Plus Shares 1.7%
Return on Equity 22.4% 22.4%
Earnings Growth Rate 8.5% 8.5%
Foreign Holdings 0.0% 0.0%
Turnover Rate 7%** --
Expense Ratio --
Institutional Shares 0.05%**
Institutional Plus Shares 0.025%**
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
- ------------------------------------------------
====================================
INVESTMENT FOCUS
STYLE -- BLEND
MARKET CAP -- LARGE
====================================
======================================================
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
- ------------------------------------------------------
Visit our website at
WWW.VANGUARD.COM
for regularly updated fund information.
*S&P 500 Index.
**Annualized.
5
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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 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.
================================================================================
6
================================================================================
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.
INSTITUTIONAL INDEX FUND
================================================================================
Fiscal-Year Total Returns (%) December 31, 1992-June 30, 2003
SCALE RANGE -40% to 60%
INSTITUTIONAL INDEX FUND
INSTITUTIONAL SHARES S & P 500 Index
------------------------ ----------------
1993 10.0% 10.1
1994 1.3 1.3
1995 37.6 37.6
1996 23.1 23.0
1997 33.4 33.4
1998 28.8 28.6
1999 21.2 21.0
2000 -8.9 -9.1
2001 -11.9 -11.9
2002 -22.0 -22.1
2003* 11.8 11.8
*Six months ended June 30, 2003.
Note: See Financial Highlights tables on pages 17-18 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
- --------------------------------------------------------------------------------
Institutional Index Fund
Institutional Shares 7/31/1990 0.37% -1.52% 8.14% 1.96% 10.10%
Institutional Plus Shares 7/7/1997 0.39 -1.49 1.22* 1.47* 2.69*
- --------------------------------------------------------------------------------
*Return since inception.
7
================================================================================
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*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.2%)(1)
- --------------------------------------------------------------------------------
General Electric Co. 37,298,703 1,069,727
Microsoft Corp. 40,084,112 1,026,554
Pfizer Inc. 29,476,160 1,006,611
ExxonMobil Corp. 24,937,757 895,515
Wal-Mart Stores, Inc. 16,348,831 877,442
Citigroup, Inc. 19,220,385 822,632
Johnson & Johnson 11,084,245 573,055
American International
Group, Inc. 9,738,638 537,378
International Business
Machines Corp. 6,451,612 532,258
Intel Corp. 24,405,324 507,240
Merck & Co., Inc. 8,371,916 506,920
Bank of America Corp. 5,593,065 442,020
* Cisco Systems, Inc. 26,204,830 437,359
The Procter & Gamble Co. 4,833,917 431,089
The Coca-Cola Co. 9,196,775 426,822
Verizon Communications 10,268,253 405,083
Altria Group, Inc. 7,559,941 343,524
SBC Communications Inc. 12,404,423 316,933
Wells Fargo & Co. 6,254,124 315,208
* Amgen, Inc. 4,702,533 312,436
* Dell Computer Corp. 9,588,902 306,461
Eli Lilly & Co. 4,194,826 289,317
ChevronTexaco Corp. 3,988,692 287,984
PepsiCo, Inc. 6,414,711 285,455
* Viacom Inc. Class B 6,519,934 284,660
- --------------------------------------------------------------------------------
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Home Depot, Inc. 8,578,341 284,115
* AOL Time Warner Inc. 16,790,326 270,156
United Parcel Service, Inc. 4,201,335 267,625
J.P. Morgan Chase & Co. 7,583,849 259,216
Abbott Laboratories 5,828,021 255,034
Fannie Mae 3,665,041 247,170
Hewlett-Packard Co. 11,396,666 242,749
* Oracle Corp. 19,575,106 235,293
Wyeth 4,958,155 225,844
* Comcast Corp. Class A 7,464,358 225,274
Medtronic, Inc. 4,553,250 218,419
American Express Co. 4,842,528 202,466
Wachovia Corp. 5,022,406 200,695
Bristol-Myers Squibb Co. 7,236,942 196,483
3M Co. 1,459,275 188,217
BellSouth Corp. 6,895,441 183,626
U.S. Bancorp 7,167,481 175,603
Morgan Stanley 4,059,507 173,544
Merrill Lynch & Co., Inc. 3,473,533 162,145
Bank One Corp. 4,288,787 159,457
Anheuser-Busch Cos., Inc. 3,116,585 159,102
E.I. du Pont de Nemours & Co. 3,718,633 154,844
The Walt Disney Co. 7,628,618 150,665
The Goldman Sachs Group, Inc. 1,753,266 146,836
Washington Mutual, Inc. 3,476,849 143,594
Tyco International Ltd. 7,455,637 141,508
ConocoPhillips 2,534,234 138,876
Freddie Mac 2,567,357 130,345
================================================================================
8
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Target Corp. 3,400,467 128,674
Lowe's Cos., Inc. 2,911,471 125,048
United Technologies Corp. 1,747,007 123,741
* eBay Inc. 1,185,417 123,497
Fifth Third Bancorp 2,144,047 122,940
Gillette Co. 3,812,657 121,471
FleetBoston Financial Corp. 3,926,067 116,643
Colgate-Palmolive Co. 2,008,857 116,413
First Data Corp. 2,792,661 115,728
Walgreen Co. 3,826,646 115,181
Texas Instruments, Inc. 6,456,514 113,635
UnitedHealth Group Inc. 2,212,595 111,182
The Boeing Co. 3,139,156 107,736
Cardinal Health, Inc. 1,666,679 107,167
Dow Chemical Co. 3,418,314 105,831
QUALCOMM Inc. 2,947,430 105,371
McDonald's Corp. 4,750,390 104,794
Schlumberger Ltd. 2,174,028 103,419
Marsh & McLennan Cos., Inc. 1,999,043 102,091
Schering-Plough Corp. 5,484,405 102,010
MBNA Corp. 4,770,374 99,415
Kimberly-Clark Corp. 1,898,864 99,007
* Applied Materials, Inc. 6,188,175 98,144
* Clear Channel
Communications, Inc. 2,292,985 97,200
Allstate Corp. 2,628,330 93,700
* Boston Scientific Corp. 1,531,505 93,575
Honeywell International Inc. 3,203,150 86,005
* EMC Corp. 8,165,516 85,493
Southern Co. 2,694,727 83,968
* AT&T Wireless Services Inc. 10,125,302 83,129
The Bank of New York Co., Inc. 2,878,834 82,766
Motorola, Inc. 8,646,153 81,533
Alcoa Inc. 3,155,970 80,477
Metropolitan Life Insurance Co. 2,838,254 80,379
Emerson Electric Co. 1,571,703 80,314
Lockheed Martin Corp. 1,680,504 79,942
Gannett Co., Inc. 1,002,894 77,032
Carnival Corp. 2,346,971 76,300
Illinois Tool Works, Inc. 1,148,411 75,623
Automatic Data Processing, Inc. 2,232,879 75,605
General Motors Corp. 2,093,259 75,357
Ford Motor Co. 6,833,914 75,105
National City Corp. 2,283,843 74,705
Dominion Resources, Inc. 1,160,502 74,585
* Forest Laboratories, Inc. 1,355,409 74,209
* Yahoo! Inc. 2,252,313 73,786
Sysco Corp. 2,425,552 72,864
Exelon Corp. 1,210,605 72,406
Caterpillar, Inc. 1,286,099 71,584
* Cendant Corp. 3,801,882 69,650
* NEXTEL Communications, Inc. 3,838,575 69,401
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Prudential Financial, Inc. 2,055,274 69,160
FedEx Corp. 1,113,990 69,101
Duke Energy Corp. 3,364,635 67,124
SLM Corp. 1,689,103 66,162
General Mills, Inc. 1,379,874 65,420
* Kohl's Corp. 1,265,111 65,001
International Paper Co. 1,788,277 63,895
The Gap, Inc. 3,325,303 62,383
* Costco Wholesale Corp. 1,703,189 62,337
BB&T Corp. 1,812,956 62,184
SunTrust Banks, Inc. 1,045,798 62,058
HCA Inc. 1,910,199 61,203
Lehman Brothers Holdings, Inc. 905,711 60,212
Progressive Corp. of Ohio 812,749 59,412
Travelers Property
Casualty Corp. Class B 3,757,785 59,260
AFLAC Inc. 1,916,855 58,943
Northrop Grumman Corp. 682,968 58,933
Baxter International, Inc. 2,229,509 57,967
AT&T Corp. 2,935,693 56,512
ALLTEL Corp. 1,161,465 56,006
Tribune Co. 1,153,695 55,723
* Sun Microsystems, Inc. 12,058,680 55,470
Union Pacific Corp. 948,659 55,040
Sara Lee Corp. 2,901,717 54,581
Avon Products, Inc. 876,269 54,504
General Dynamics Corp. 737,253 53,451
Waste Management, Inc. 2,208,132 53,194
* Best Buy Co., Inc. 1,203,189 52,844
NIKE, Inc. Class B 985,022 52,689
The Hartford Financial
Services Group Inc. 1,044,398 52,596
Kellogg Co. 1,517,931 52,171
PNC Financial Services Group 1,056,008 51,544
Stryker Corp. 741,289 51,423
Guidant Corp. 1,154,938 51,268
Charles Schwab Corp. 5,038,721 50,841
Omnicom Group Inc. 703,951 50,473
Raytheon Co. 1,532,999 50,344
Southwest Airlines Co. 2,908,268 50,022
State Street Corp. 1,240,269 48,867
Newmont Mining Corp.
(Holding Company) 1,500,692 48,712
Sprint Corp. 3,356,998 48,341
Computer Associates
International, Inc. 2,158,427 48,090
Occidental Petroleum Corp. 1,416,122 47,511
* Analog Devices, Inc. 1,364,040 47,496
ConAgra Foods, Inc. 2,003,812 47,290
Wm. Wrigley Jr. Co. 839,729 47,218
* The Kroger Co. 2,817,244 46,992
Devon Energy Corp. 861,731 46,016
================================================================================
9
================================================================================
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* WellPoint Health Networks Inc.
Class A 544,633 45,913
FPL Group, Inc. 684,378 45,751
Golden West Financial Corp. 569,497 45,565
Harley-Davidson, Inc. 1,128,111 44,967
Mellon Financial Corp. 1,609,963 44,676
Entergy Corp. 842,563 44,470
* Veritas Software Corp. 1,547,793 44,375
The McGraw-Hill Cos., Inc. 712,235 44,159
Weyerhaeuser Co. 817,270 44,133
American Electric Power Co., Inc. 1,473,606 43,958
H.J. Heinz Co. 1,311,283 43,246
* Bed Bath & Beyond, Inc. 1,101,652 42,755
FirstEnergy Corp. 1,110,702 42,706
Masco Corp. 1,779,675 42,445
XL Capital Ltd. Class A 509,624 42,299
Baker Hughes, Inc. 1,256,248 42,172
Capital One Financial Corp. 844,819 41,548
The Chubb Corp. 690,651 41,439
Maxim Integrated Products, Inc. 1,211,237 41,412
Anadarko Petroleum Corp. 930,755 41,391
CVS Corp. 1,470,291 41,212
Paychex, Inc. 1,404,587 41,168
Deere & Co. 893,329 40,825
Equity Office Properties Trust
REIT 1,502,943 40,594
Burlington Resources, Inc. 749,269 40,513
* Apollo Group, Inc. Class A 653,792 40,378
* Electronic Arts Inc. 543,355 40,203
KeyCorp 1,578,719 39,894
* Anthem, Inc. 516,704 39,864
Burlington Northern Santa Fe
Corp. 1,390,318 39,541
Progress Energy, Inc. 898,419 39,441
The Principal Financial
Group, Inc. 1,221,148 39,382
Apache Corp. 602,950 39,228
Danaher Corp. 570,297 38,809
Sears, Roebuck & Co. 1,149,377 38,665
McKesson Corp. 1,081,102 38,639
* St. Jude Medical, Inc. 671,941 38,637
Electronic Data Systems Corp. 1,784,596 38,280
Linear Technology Corp. 1,167,960 37,620
Campbell Soup Co. 1,531,832 37,529
Halliburton Co. 1,631,164 37,517
Allergan, Inc. 485,986 37,470
Franklin Resources Corp. 946,725 36,989
Becton, Dickinson & Co. 950,456 36,925
Praxair, Inc. 606,192 36,432
TJX Cos., Inc. 1,914,717 36,073
Consolidated Edison Inc. 833,056 36,055
* Starbucks Corp. 1,456,969 35,725
- --------------------------------------------------------------------------------
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Public Service Enterprise
Group, Inc. 842,748 35,606
Air Products & Chemicals, Inc. 848,094 35,281
* Corning, Inc. 4,722,172 34,897
SouthTrust Corp. 1,269,268 34,524
The Clorox Co. 808,662 34,489
Northern Trust Corp. 823,011 34,394
* Agilent Technologies, Inc. 1,758,330 34,375
* MedImmune Inc. 940,646 34,211
Hershey Foods Corp. 489,750 34,116
Aetna Inc. 566,610 34,110
* Intuit, Inc. 765,791 34,101
Countrywide Financial Corp. 487,381 33,907
ACE, Ltd. 987,564 33,864
* Safeway, Inc. 1,647,075 33,699
* Lexmark International, Inc. 475,767 33,670
* Genzyme Corp.-General Division 805,241 33,659
Pitney Bowes, Inc. 874,231 33,579
* Staples, Inc. 1,816,502 33,333
Marriott International, Inc.
Class A 865,281 33,244
John Hancock Financial
Services, Inc. 1,078,348 33,138
* KLA-Tencor Corp. 710,233 33,019
* Zimmer Holdings, Inc. 732,928 33,018
Loews Corp. 692,000 32,725
* International Game Technology 318,830 32,626
* PG&E Corp. 1,526,940 32,295
* Yum! Brands, Inc. 1,091,656 32,269
PPG Industries, Inc. 633,333 32,135
* Xilinx, Inc. 1,259,093 31,868
* Lucent Technologies, Inc. 15,437,026 31,337
Mattel, Inc. 1,640,280 31,034
St. Paul Cos., Inc. 849,304 31,008
Archer-Daniels-Midland Co. 2,404,639 30,948
* Xerox Corp. 2,918,386 30,906
Coca-Cola Enterprises, Inc. 1,686,704 30,614
Marathon Oil Corp. 1,156,211 30,466
* Chiron Corp. 696,106 30,434
Comerica, Inc. 653,638 30,394
* Qwest Communications
International Inc. 6,330,434 30,259
Limited Brands, Inc. 1,949,205 30,213
Ingersoll-Rand Co. 632,098 29,911
PACCAR, Inc. 433,807 29,308
Eastman Kodak Co. 1,069,651 29,255
Moody's Corp. 553,579 29,179
H & R Block, Inc. 668,419 28,909
Newell Rubbermaid, Inc. 1,023,007 28,644
AmSouth Bancorp 1,310,686 28,625
AmerisourceBergen Corp. 411,979 28,571
Johnson Controls, Inc. 332,704 28,479
================================================================================
10
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Fortune Brands, Inc. 542,054 28,295
Aon Corp. 1,164,650 28,045
Regions Financial Corp. 828,816 27,997
Norfolk Southern Corp. 1,454,486 27,926
Adobe Systems, Inc. 865,269 27,749
Unocal Corp. 962,875 27,625
Biomet, Inc. 963,445 27,612
Simon Property Group, Inc. REIT 705,164 27,523
* SunGard Data Systems, Inc. 1,061,272 27,497
PPL Corp. 629,046 27,049
TXU Corp. 1,202,557 26,997
* Concord EFS, Inc. 1,826,552 26,887
* Comcast Corp. Special Class A 932,053 26,871
Bear Stearns Co., Inc. 369,924 26,790
* Computer Sciences Corp. 698,707 26,635
Ameren Corp. 601,572 26,529
Albertson's, Inc. 1,376,649 26,432
* Micron Technology, Inc. 2,271,146 26,413
Equity Residential REIT 1,017,035 26,392
Ambac Financial Group, Inc. 396,647 26,278
* Transocean Inc. 1,193,191 26,214
MBIA, Inc. 536,991 26,178
Charter One Financial, Inc. 839,574 26,178
* Apple Computer, Inc. 1,364,010 26,080
* Broadcom Corp. 1,045,165 26,035
* Univision Communications Inc. 855,407 26,004
Marshall & Ilsley Corp. 845,687 25,861
* AutoZone Inc. 339,619 25,801
Federated Department Stores, Inc. 699,647 25,782
Rohm & Haas Co. 828,591 25,711
* Fiserv, Inc. 720,841 25,669
New York Times Co. Class A 563,059 25,619
Ecolab, Inc. 980,420 25,099
* Quest Diagnostics, Inc. 393,188 25,085
Kinder Morgan, Inc. 455,651 24,901
CIGNA Corp. 523,178 24,558
Family Dollar Stores, Inc. 641,932 24,490
Synovus Financial Corp. 1,133,745 24,376
DTE Energy Co. 626,828 24,221
* Symantec Corp. 551,245 24,178
Cinergy Corp. 657,029 24,172
CSX Corp. 797,469 23,996
May Department Stores Co. 1,076,464 23,962
Lincoln National Corp. 662,425 23,602
* Altera Corp. 1,428,798 23,432
Union Planters Corp. 740,942 22,991
Dollar General Corp. 1,244,747 22,729
Dover Corp. 755,799 22,644
Cintas Corp. 636,168 22,546
ITT Industries, Inc. 342,864 22,444
Xcel Energy, Inc. 1,487,809 22,377
Cincinnati Financial Corp. 599,462 22,234
- --------------------------------------------------------------------------------
================================================================================
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Sempra Energy 774,165 22,087
* BJ Services Co. 589,865 22,037
Jefferson-Pilot Corp. 530,367 21,989
* Sprint PCS 3,818,749 21,958
Eaton Corp. 278,427 21,887
UST, Inc. 624,442 21,874
* Nabors Industries, Inc. 543,470 21,494
Starwood Hotels & Resorts
Worldwide, Inc. 748,677 21,405
Constellation Energy Group, Inc. 616,957 21,162
Monsanto Co. 975,569 21,111
* Biogen, Inc. 553,583 21,036
Knight Ridder 304,927 21,019
KeySpan Corp. 587,094 20,812
* PeopleSoft, Inc. 1,181,093 20,775
Genuine Parts Co. 648,343 20,753
Avery Dennison Corp. 412,259 20,695
First Tennessee National Corp. 471,284 20,694
The Pepsi Bottling Group, Inc. 1,026,367 20,548
* Network Appliance, Inc. 1,266,189 20,525
* Novellus Systems, Inc. 559,453 20,488
* Tenet Healthcare Corp. 1,741,231 20,285
North Fork Bancorp, Inc. 586,447 19,974
* Edison International 1,215,681 19,974
* American Standard Cos., Inc. 267,998 19,813
Textron, Inc. 503,778 19,657
Interpublic Group of Cos., Inc. 1,453,967 19,454
Molex, Inc. 712,373 19,227
* JDS Uniphase Corp. 5,340,564 18,745
NiSource, Inc. 979,844 18,617
CenturyTel, Inc. 534,077 18,613
Parker Hannifin Corp. 441,158 18,524
MeadWestvaco Corp. 747,740 18,469
SAFECO Corp. 516,762 18,231
Centex Corp. 232,464 18,083
El Paso Corp. 2,237,201 18,077
Delphi Corp. 2,090,555 18,041
Hilton Hotels Corp. 1,407,050 17,996
EOG Resources, Inc. 427,052 17,868
Tiffany & Co. 542,215 17,720
Georgia Pacific Group 934,723 17,713
Plum Creek Timber Co. Inc. REIT 681,875 17,695
Brown-Forman Corp. Class B 225,060 17,694
* Siebel Systems, Inc. 1,826,642 17,426
T. Rowe Price Group Inc. 455,987 17,214
MGIC Investment Corp. 368,374 17,181
* Noble Corp. 497,927 17,079
Zions Bancorp 336,373 17,024
* QLogic Corp. 350,457 16,938
J.C. Penney Co., Inc.
(Holding Company) 1,004,564 16,927
Kerr-McGee Corp. 376,671 16,875
================================================================================
11
================================================================================
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Office Depot, Inc. 1,153,115 16,732
Huntington Bancshares Inc. 852,888 16,648
* AutoNation, Inc. 1,055,554 16,593
RadioShack Corp. 628,895 16,546
* Harrah's Entertainment, Inc. 410,139 16,503
Rockwell Automation, Inc. 692,078 16,499
Amerada Hess Corp. 335,101 16,480
Health Management Associates
Class A 891,378 16,446
Rockwell Collins, Inc. 664,949 16,378
* Jabil Circuit, Inc. 740,125 16,357
IMS Health, Inc. 907,731 16,330
Whirlpool Corp. 255,624 16,283
* Watson Pharmaceuticals, Inc. 399,801 16,140
Torchmark Corp. 432,821 16,123
W.W. Grainger, Inc. 341,481 15,968
Williams Cos., Inc. 1,928,971 15,239
* Unisys Corp. 1,221,231 14,997
* Sealed Air Corp. 314,482 14,988
Applera Corp.-Applied
Biosystems Group 778,527 14,815
Sherwin-Williams Co. 548,284 14,738
Leggett & Platt, Inc. 718,735 14,734
Janus Capital Group Inc. 893,658 14,656
* AES Corp. 2,287,939 14,528
UnumProvident Corp. 1,074,546 14,410
Cooper Industries, Inc. Class A 348,292 14,384
Sigma-Aldrich Corp. 264,741 14,344
Nucor Corp. 291,996 14,264
* BMC Software, Inc. 871,223 14,227
McCormick & Co., Inc. 519,071 14,119
Liz Claiborne, Inc. 400,067 14,102
Vulcan Materials Co. 379,228 14,058
Pulte Homes, Inc. 227,613 14,035
* Jones Apparel Group, Inc. 476,587 13,945
C.R. Bard, Inc. 193,963 13,832
VF Corp. 402,523 13,674
Equifax, Inc. 525,382 13,660
* NVIDIA Corp. 592,725 13,639
* Citizens Communications Co. 1,056,097 13,613
* Waters Corp. 465,732 13,567
* National Semiconductor Corp. 679,824 13,406
Freeport-McMoRan Copper &
Gold, Inc. Class B 543,005 13,304
Scientific-Atlanta, Inc. 556,952 13,278
* King Pharmaceuticals, Inc. 899,104 13,271
Sabre Holdings Corp. 533,823 13,159
Dow Jones & Co., Inc. 303,514 13,060
* Phelps Dodge Corp. 332,372 12,743
Pinnacle West Capital Corp. 340,015 12,734
* Thermo Electron Corp. 603,283 12,681
* Citrix Systems, Inc. 619,161 12,606
- --------------------------------------------------------------------------------
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Black & Decker Corp. 289,458 12,577
Wendy's International, Inc. 424,525 12,298
* Mercury Interactive Corp. 318,073 12,281
Apartment Investment &
Management Co. Class A REIT 350,511 12,128
* Robert Half International, Inc. 635,147 12,030
* Sanmina-SCI Corp. 1,901,926 12,001
* Teradyne, Inc. 689,032 11,926
Darden Restaurants Inc. 628,002 11,919
* Pactiv Corp. 594,175 11,711
R.J. Reynolds Tobacco
Holdings, Inc. 314,433 11,700
Engelhard Corp. 469,702 11,635
* Solectron Corp. 3,099,090 11,591
* American Power
Conversion Corp. 734,203 11,446
Hasbro, Inc. 646,920 11,315
Symbol Technologies, Inc. 861,158 11,204
Alberto-Culver Co. Class B 218,642 11,173
International Flavors &
Fragrances, Inc. 349,588 11,162
Federated Investors, Inc. 406,441 11,145
R.R. Donnelley & Sons Co. 423,204 11,063
KB HOME 177,398 10,995
Sunoco, Inc. 285,580 10,777
SuperValu Inc. 499,657 10,653
* Comverse Technology, Inc. 702,854 10,564
Pall Corp. 459,449 10,338
Fluor Corp. 303,766 10,219
* Tellabs, Inc. 1,539,808 10,117
* Providian Financial Corp. 1,082,535 10,024
Nordstrom, Inc. 507,383 9,904
* LSI Logic Corp. 1,398,104 9,899
Ball Corp. 212,986 9,693
* Toys R Us, Inc. 795,790 9,645
* Calpine Corp. 1,420,193 9,373
CenterPoint Energy Inc. 1,140,945 9,299
Bemis Co., Inc. 198,412 9,286
Deluxe Corp. 206,033 9,230
* Avaya Inc. 1,424,246 9,201
Goodrich Corp. 437,313 9,184
* Convergys Corp. 571,131 9,138
* NCR Corp. 356,483 9,133
* CIENA Corp. 1,759,544 9,132
Eastman Chemical Co. 287,898 9,118
* Humana Inc. 601,182 9,078
The Stanley Works 319,790 8,826
Temple-Inland Inc. 201,862 8,662
Brunswick Corp. 337,218 8,437
* Manor Care, Inc. 334,987 8,378
* Navistar International Corp. 253,950 8,286
* Advanced Micro Devices, Inc. 1,291,606 8,279
================================================================================
12
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Monster Worldwide Inc. 417,636 8,240
Meredith Corp. 185,156 8,147
* Compuware Corp. 1,406,692 8,117
* Millipore Corp. 180,340 8,002
TECO Energy, Inc. 659,304 7,905
* Allied Waste Industries, Inc. 778,168 7,821
* Rowan Cos., Inc. 348,321 7,802
Ashland, Inc. 254,025 7,793
Bausch & Lomb, Inc. 198,788 7,455
* Reebok International Ltd. 220,836 7,427
* PMC Sierra Inc. 629,526 7,384
Maytag Corp. 292,697 7,148
* ADC Telecommunications, Inc. 2,983,450 6,945
* Applied Micro Circuits Corp. 1,130,756 6,841
* Tektronix, Inc. 316,691 6,841
Circuit City Stores, Inc. 773,115 6,803
Autodesk, Inc. 417,041 6,739
Delta Air Lines, Inc. 459,052 6,739
Adolph Coors Co. Class B 135,198 6,622
* Big Lots Inc. 436,068 6,558
PerkinElmer, Inc. 471,092 6,506
Winn-Dixie Stores, Inc. 524,072 6,451
Dana Corp. 553,052 6,393
United States Steel Corp. 385,358 6,308
Snap-On Inc. 216,467 6,284
* Quintiles Transnational Corp. 439,618 6,238
NICOR Inc. 163,801 6,079
Ryder System, Inc. 233,095 5,972
Dynegy, Inc. 1,384,246 5,814
Peoples Energy Corp. 134,776 5,781
Cummins Inc. 155,051 5,565
Boise Cascade Corp. 217,775 5,205
Crane Co. 220,609 4,992
* American Greetings
Corp. Class A 246,246 4,836
Cooper Tire & Rubber Co. 274,899 4,835
* Gateway, Inc. 1,200,653 4,382
* Mirant Corp. 1,496,656 4,340
CMS Energy Corp. 533,906 4,325
Worthington Industries, Inc. 321,160 4,304
Dillard's Inc. 316,727 4,266
* Novell, Inc. 1,376,277 4,239
* Louisiana-Pacific Corp. 387,533 4,201
* Hercules, Inc. 407,708 4,036
Allegheny Energy, Inc. 465,655 3,935
Great Lakes Chemical Corp. 186,027 3,795
The Goodyear Tire & Rubber Co. 649,522 3,410
* Andrew Corp. 364,811 3,356
Visteon Corp. 483,690 3,323
* Thomas & Betts Corp. 216,388 3,127
Tupperware Corp. 216,516 3,109
* Parametric Technology Corp. 988,429 3,015
- --------------------------------------------------------------------------------
================================================================================
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Power-One, Inc. 309,483 2,213
Allegheny Technologies Inc. 298,898 1,973
* Viacom Inc. Class A 36,030 1,575
* McDermott International, Inc. 244,847 1,550
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $33,709,386) 33,545,298
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.8%)(1)
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
(2) 1.15%, 7/15/2003 $ 5,000 4,998
Federal National Mortgage Assn.
(2) 1.17%, 7/2/2003 25,000 24,999
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
1.16%, 7/1/2003 209,938 209,938
1.16%, 7/1/2003--Note E 30,765 30,765
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $270,693) 270,700
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(Cost $33,980,079) 33,815,998
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
Other Assets 160,667
Liabilities--Note E (177,390)
-------------
(16,723)
-------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $33,799,275
================================================================================
*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 0.0%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Securities with an aggregate value of $29,997,000 have been segregated as
initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
13
================================================================================
INSTITUTIONAL INDEX FUND AMOUNT
(000)
- --------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $35,805,900
Undistributed Net Investment Income 16,157
Accumulated Net Realized Losses (1,851,263)
Unrealized Depreciation
Investment Securities (164,081)
Futures Contracts (7,438)
- --------------------------------------------------------------------------------
NET ASSETS $33,799,275
================================================================================
Institutional Shares---Net Assets
Applicable to 270,766,840 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $24,155,077
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $89.21
================================================================================
Institutional Plus Shares--Net Assets
Applicable to 108,104,978 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $9,644,198
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL PLUS SHARES $89.21
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
14
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.
================================================================================
INSTITUTIONAL INDEX FUND
SIX MONTHS ENDED JUNE 30, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Income
Dividends $ 267,309
Interest 1,863
Security Lending 147
- --------------------------------------------------------------------------------
Total Income 269,319
- --------------------------------------------------------------------------------
Expenses
The Vanguard Group--Note B
Management and Administrative
Institutional Shares 5,289
Institutional Plus Shares 1,100
- --------------------------------------------------------------------------------
Total Expenses 6,389
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 262,930
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 39,357
Futures Contracts 43,386
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 82,743
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 3,173,225
Futures Contracts (2,035)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 3,171,190
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $3,516,863
================================================================================
15
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.
================================================================================
INSTITUTIONAL INDEX FUND
----------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2003 DEC. 31, 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 262,930 $ 511,688
Realized Net Gain (Loss) 82,743 (809,110)
Change in Unrealized Appreciation (Depreciation) 3,171,190 (8,001,191)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 3,516,863 (8,298,613)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Institutional Shares (176,798) (343,006)
Institutional Plus Shares (73,201) (166,485)
Realized Capital Gain
Institutional Shares -- --
Institutional Plus Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (249,999) (509,491)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--Note F
Institutional Shares 1,467,159 2,043,582
Institutional Plus Shares (338,348) 654,816
- --------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 1,128,811 2,698,398
- --------------------------------------------------------------------------------
Total Increase (Decrease) 4,395,675 (6,109,706)
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 29,403,600 35,513,306
- --------------------------------------------------------------------------------
End of Period $33,799,275 $29,403,600
================================================================================
16
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.
INSTITUTIONAL INDEX FUND INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31,
ENDED ----------------------------------------------
JUNE 30, 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $80.45 $104.89 $120.72 $134.02 $112.85 $ 89.56
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .70 1.42 1.374 1.403 1.501 1.429
Net Realized and Unrealized Gain (Loss) on Investments 8.73 (24.45) (15.829) (13.303) 22.143 24.177
- --------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 9.43 (23.03) (14.455) (11.900) 23.644 25.606
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.67) (1.41) (1.375) (1.400) (1.514) (1.416)
Distributions from Realized Capital Gains -- -- -- -- (.960) (.900)
- --------------------------------------------------------------------------------------------------------------------
Total Distributions (.67) (1.41) (1.375) (1.400) (2.474) (2.316)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $89.21 $80.45 $104.89 $120.72 $134.02 $112.85
====================================================================================================================
TOTAL RETURN 11.77% -22.03% -11.93% -8.95% 21.17% 28.79%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $24,155 $20,361 $24,165 $26,406 $28,918 $22,338
Ratio of Total Expenses to Average Net Assets 0.05%* 0.05% 0.05% 0.06% 0.06% 0.06%
Ratio of Net Investment Income to Average Net Assets 1.73%* 1.57% 1.27% 1.10% 1.25% 1.46%
Portfolio Turnover Rate** 7%* 10% 8% 11% 14% 11%
====================================================================================================================
*Annualized
**Portfolio turnover rates excluding in-king redemptions were 5%, 8%, 5%, 7%, 3%, and 7%, respectively.
17
Financial Highlights (continued)
INSTITUTIONAL INDEX FUND INSTITUTIONAL PLUS SHARES
- --------------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED DECEMBER 31,
ENDED ----------------------------------------------
JUNE 30, 2003 2002 2001 2000 1999 1998
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $80.45 $104.89 $120.72 $134.02 $112.85 $89.56
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .71 1.438 1.405 1.449 1.542 1.464
Net Realized and Unrealized Gain (Loss) on Investments 8.73 (24.446) (15.829) (13.302) 22.143 24.177
- --------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 9.44 (23.008) (14.424) (11.853) 23.685 25.641
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.68) (1.432) (1.406) (1.447) (1.555) (1.451)
Distributions from Realized Capital Gains -- -- -- -- (.960) (.900)
- --------------------------------------------------------------------------------------------------------------------
Total Distributions (.68) (1.432) (1.406) (1.447) (2.515) (2.351)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $89.21 $80.45 $104.89 $120.72 $134.02 $112.85
====================================================================================================================
TOTAL RETURN 11.78% -22.01% -11.90% -8.92% 21.21% 28.83%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $9,644 $9,042 $11,349 $10,765 $6,861 $4,951
Ratio of Total Expenses to Average Net Assets 0.025%* 0.025% 0.025% 0.025% 0.025% 0.025%
Ratio of Net Investment Income to Average Net Assets 1.75%* 1.59% 1.31% 1.14% 1.29% 1.49%
Portfolio Turnover Rate** 7%* 10% 8% 11% 14% 11%
====================================================================================================================
*Annualized.
**Portfolio turnover rates excluding in-kind redemptions were 5%, 8%, 5%, 7%,
3%, and 7%, respectively.
NOTES TO FINANCIAL STATEMENTS
Vanguard Institutional Index Fund is registered under the Investment Company Act
of 1940 as an open-end investment company, or mutual fund. The fund offers two
classes of shares, Institutional Shares and Institutional Plus Shares, to
investors who invest minimum amounts of $10 million and $200 million,
respectively.
A. The following significant accounting policies conform to generally accepted
accounting principles for U.S. mutual funds. The fund consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Securities are valued as of the close of trading on
the New York Stock Exchange (generally 4:00 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 (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
18
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 into 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. Class-specific shareholder servicing
fees are charged to each class at the contractual rate. Income, expenses not
attributable to a specific class, and realized and unrealized gains and losses
on investments areallocated to each class of shares based on its relative net
assets.
B. The Vanguard Group provides investment advisory, corporate management,
administrative, marketing, and distribution services and pays for all other
operating expenses, except for taxes, in return for a fee calculated at an
annual percentage rate of the average net assets of the fund, or, for
shareholder services, each class of shares. The fund's trustees and officers are
also directors and officers of Vanguard.
C. 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 $184,292,000
of net capital gains resulting from in-kind redemptions--in which shareholders
exchanged fund shares for securities held by the fund rather than for cash.
Because such gains are not taxable to the fund, and are not distributed to
shareholders, they have been reclassified from accumulated net realized gains to
paid-in capital.
19
NOTES TO FINANCIAL STATEMENTS (continued)
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 $1,747,175,000 to offset future net capital gains
of $48,662,000 through December 31, 2008, $385,640,000 through December 31,
2009, $1,269,960,000 through December 31, 2010, and $42,913,000 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 depreciation of investment securities for
tax purposes was $164,081,000, consisting of unrealized gains of $5,362,717,000
on securities that had risen in value since their purchase and $5,526,798,000 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 1,100 $267,658 $(7,438)
================================================================================
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 $2,268,912,000
of investment securities and sold $1,089,735,000 of investment securities, other
than temporary cash investments.
E. The market value of securities on loan to broker/dealers at June 30, 2003,
was $28,660,000, for which the fund held cash collateral of $30,765,000. 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.
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)
- ---------------------------------------------------------------------------------------------------
Institutional Shares
Issued $3,595,906 43,540 $7,072,507 78,769
Issued in Lieu of Cash Distributions 159,353 1,882 304,440 3,556
Redeemed (2,288,100) (27,738) (5,333,365) (59,617)
------------------------------------------------
Net Increase (Decrease)--Institutional Shares 1,467,159 17,684 2,043,582 22,708
------------------------------------------------
Institutional Plus Shares
Issued $ 716,102 8,697 $3,287,769 34,935
Issued in Lieu of Cash Distributions 69,704 825 146,545 1,711
Redeemed (1,124,154) (13,807) (2,779,498) (32,450)
------------------------------------------------
Net Increase (Decrease)--Institutional Plus Shares (338,348) (4,285) 654,816 4,196
===================================================================================================
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, Wellington, and the ship logo are
trademarks of The Vanguard Group, Inc.
S&P 500(R) and Standard & Poor's 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 funds 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
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
TEXT TELEPHONE
1-800-952-3335
(C) 2003 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
Q942 082003
VANGUARD(R) INSTITUTIONAL
TOTAL BOND MARKET INDEX FUND
SEMIANNUAL REPORT
JUNE 30, 2003
[THE VANGUARD GROUP LOGO]
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 Institutional Total Bond Market
Index Fund registered a strong
return, matching that of its target
benchmark during the first half of 2003.
* With the Federal Reserve's 13th rate
cut in 30 months, short-term interest
rates fell to their lowest level in 45
years. Yields of longer-term bonds
declined as prices rose.
* Stocks raced ahead during the
half-year, and the broad U.S. stock
market, as measured by the Wilshire
5000 Total Market Index, returned 12.9%.
- --------------------------------------------------
CONTENTS
- --------------------------------------------------
1 Letter from the Chairman
5 Fund Profile
6 Performance Summary
7 Financial Statements
==================================================
LETTER FROM THE CHAIRMAN [PHOTO JOHN J. BRENNAN]
JOHN J. BRENNAN
Dear Shareholder,
Investment-grade bonds provided solid total returns during the first half of
2003. As you can see in the table below, the return of Vanguard Institutional
Total Bond Market Index Fund matched that of its target index but fell short of
the result of its average mutual fund peer.
- ------------------------------------------------
TOTAL RETURNS SIX MONTHS ENDED
JUNE 30, 2003
- ------------------------------------------------
VANGUARD INSTITUTIONAL
TOTAL BOND MARKET INDEX FUND 3.9%
Average Intermediate-Term
Investment Grade Fund* 4.3
Lehman Aggregate Bond Index 3.9
- ------------------------------------------------
*Derived from data provided by Lipper Inc.
Interest rates declined during the period, driving up the prices of
existing bonds. Your fund's yield declined to 3.76% on June 30, from 4.33% on
December 31, 2002. Detailed figures for the fund, including net asset values and
income distributions, are presented in the table on page 3.
Bonds Rallied; Interest Rates Fell to 45-Year Lows
In the fixed income arena, risk was rewarded during the six months ended June
30. Corporate bonds outperformed U.S. Treasury securities. And within the
corporate market, 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. Mortgage-backed securities registered returns
several percentage points lower than those of similar-maturity corporate issues.
Across maturities, interest rates continued their downward course. 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. Short-term interest rates
reached their lowest levels in 45 years. In late June, citing concerns about
sustainable economic growth and potential deflation, the Federal Reserve Board
lowered its 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 to
0.85%, well below the inflation rate.
Stocks Also Rallied Despite War
The war with Iraq, the lackluster economy, and rising unemployment did little to
impede the U.S. stock market during the half-year. Indeed, the start of the war
1
in mid-March marked the beginning of a sharp rally in stocks. For the six-month
period, the overall U.S. stock market, as measured by the Wilshire 5000 Total
Market Index, returned a stellar 12.9%.
- --------------------------------------------------------------------
MARKET BAROMETER TOTAL RETURNS
PERIODS ENDED JUNE 30, 2003
----------------------------
SIX ONE FIVE
MONTHS YEAR YEARS*
- --------------------------------------------------------------------
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
- --------------------------------------------------------------------
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
====================================================================
CPI
Consumer Price Index 1.5% 2.1% 2.4%
- --------------------------------------------------------------------
*Annualized.
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.
A Solid Six Months for Your Fund
The first half of 2003 was a good period for the Institutional Total Bond Market
Index Fund, as it was for bonds in general. As noted earlier, the decline in
interest rates drove the prices of existing bonds higher. As a result, the
fund's total return included a healthy capital return of 1.9% that supplemented
its income return of 2.0%. Of course, the objective of an index fund is to
provide returns that are very close to those of its target index, and here, too,
the fund was very successful during the half-year.
As you review the fund's results, keep in mind that a six-month return does
not provide a complete picture of a bond fund's performance. That's because
these returns reflect only half of the year's interest income, while price
changes reflect current movements in interest rates--rising when rates fall and
falling when rates rise. For perspective, consider a full year's interest income
when evaluating a bond fund. Over the past 12 months, the decline in interest
rates provided a significant boost to your fund's return. Its capital return was
5.3% and its income return was 4.8%, resulting in a total return of 10.1%. Given
the low current level of interest rates, it's unrealistic to expect bond prices
to register such big gains in the future. In fact, as interest rates rise, bond
prices will decline. This will harm the short-term performance of bond funds,
especially those that emphasize intermediate- and long-term bonds.
As we have often pointed out, in investing, costs matter. Because operating
expenses are deducted directly from the income that a fund pays, they have a
2
very real impact on the return you receive. And during periods like the present
one when interest rates are low, costs chew up an even greater percentage of
your return. That's why we strive to keep the expense ratio of your fund
extremely low--during the half-year, for example, the annualized expenses
charged by the Institutional Total Bond Market Index Fund amounted to 0.05%, or
$0.50 per $1,000 invested, compared with 0.92% for its average peer. Simply put,
our lower costs mean that our shareholders receive more of the return that the
fund actually earns.
Good Times Reinforce the Value of a Sensible Plan
It's noteworthy that the past six months delivered the first piece of sustained
"good news" for stock fund investors in more than three years. Oddly enough, a
good way to have benefited from this change of fortune would have been the same
approach that provided some shelter during the stock market's long storm:
holding a well-diversified portfolio of stock, bond, and money market funds.
Vanguard Institutional Total Bond Market Index Fund can be an important
component of a such a plan, offering broad exposure to the bond market at
exceptionally low cost.
The time-tested principles of balance and diversification allow investors
to participate in the periods of strong performance for each asset class while
reducing their vulnerability to its periods of weakness.
We thank you for entrusting your assets to us.
Sincerely,
/S/ JOHN J. BRENNAN
John J. Brennan
Chairman and Chief Executive Officer
July 11, 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
- --------------------------------------------------------------------------------
Institutional Total Bond
Market Index Fund $51.89 $52.85 $1.067 $0.000
- --------------------------------------------------------------------------------
3
================================================================================
Ian MacKinnon Retires
Vanguard Managing Director Ian A. MacKinnon, who served this company and its
shareholders for more than two decades as head of our Fixed Income Group,
retired on June 30. It's impossible to adequately summarize Ian's many
accomplishments, but I must express my deep gratitude to him for establishing
our fixed income practices and philosophy, and for serving our shareholders with
great skill, integrity, and commitment since he formed our Fixed Income Group in
1981. He leaves behind an outstanding performance record in our money market and
bond funds, a tradition of excellence, and a terrific team of investment
professionals. We wish him the very best.
Robert F. Auwaerter, who also has more than 20 years' experience managing
Vanguard's fixed income funds, will oversee all of the group's portfolio
management activities.
George U. Sauter, managing director of our Quantitative Equity Group, has
assumed overall responsibility for the Fixed Income Group in the newly created
position of chief investment officer.
--John J. Brennan
================================================================================
4
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.
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- ---------------------------------------------------------
FINANCIAL ATTRIBUTES
TARGET
FUND INDEX*
- ---------------------------------------------------------
Number of Issues 858 7,454
Yield 3.8% 3.6%
Yield to Maturity 3.6%YY 3.6%
Average Coupon 6.2% 6.0%
Average Maturity 6.9 years 6.7 years
Average Quality Aa1 Aaa
Average Duration 4.0 years 4.0 years
Expense Ratio 0.05%** --
Cash Investments 1.6% --
- ---------------------------------------------------------
- ---------------------------------------------------------
DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO)
Treasury/Agency+ 58.5%
Aaa 12.1
Aa 5.9
A 13.2
Baa 10.2
Less than Baa 0.1
- ---------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------
- -----------------------------------------
INVESTMENT FOCUS
CREDIT QUALITY Treasury/Agency
AVERAGE MATURITY Medium
- -----------------------------------------
- ------------------------------------------
DISTRIBUTION BY MATURITY (% OF PORTFOLIO)
Under 1 Year 3.0%
1-5 Years 56.6
5-10 Years 25.7
10-20 Years 7.3
20-30 Years 6.7
Over 30 Years 0.7
- ------------------------------------------
Total 100.0%
- ------------------------------------------
- ---------------------------------------------------------
DISTRIBUTION BY ISSUER (% OF PORTFOLIO)
Asset-Backed/Commercial Mortgage-Backed 8.8%
Finance 13.0
Foreign 2.1
Government Mortgage-Backed 34.3
Industrial 13.3
Treasury/Agency 24.2
Utilities 2.7
- ---------------------------------------------------------
Cash Investments 1.6%
- ---------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------
*Lehman Aggregate Bond Index.
**Annualized.
+Includes government mortgage-backed bonds.
++Before expenses.
YIELD. A snapshot of a fund's interest income. 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.
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.
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- -----------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) APRIL 26, 2002-JUNE 30, 2003
- -----------------------------------------------------------
INSTITUTIONAL TOTAL BOND MARKET
INDEX FUND LEHMAN*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------
2002 3.8% 3.5% 7.3% 7.9%
2003** 1.9% 2.0% 3.9% 3.9%
- -----------------------------------------------------------
*Lehman Aggregate Bond Index.
**Six months ended June 30, 2003.
Note: See Financial Highlights table on page 26 for dividend and capital gains
information.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003
SINCE INCEPTION
ONE --------------------------
INCEPTION DATE YEAR CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------
Institutional Total Bond
Market Index Fund 4/26/2002 10.05% 4.84% 4.87% 9.71%
- --------------------------------------------------------------------------------
6
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. Securities are
grouped and subtotaled by bond type (U.S. government and agency issues,
corporate bonds, sovereign bonds, etc.); corporate bonds are further classified
by industry sector. Other assets are added to, and liabilities are subtracted
from, the value of Total Investments to calculate the fund's Net Assets.
Finally, Net Assets are divided by the outstanding shares of the fund to arrive
at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying
the composition of the fund's net assets. Undistributed Net Investment Income is
minimal because the fund distributes its net income to shareholders as a
dividend each day. Any realized gains must be distributed annually, so the bulk
of net assets consists of Paid-in Capital (money invested by shareholders). The
balance shown for Accumulated Net Realized Gains usually approximates the amount
available to distribute to shareholders as 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 realized
gains, will appear as negative balances. Unrealized Appreciation (Depreciation)
is the difference between the 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.
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FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
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U.S. GOVERNMENT AND AGENCY OBLIGATIONS (57.3%)
- -----------------------------------------------------------------------------------------------------
U.S. Government Securities (12.9%)
U.S. Treasury Bond 10.375% 11/15/2009 1,530 1,717
U.S. Treasury Bond 10.00% 5/15/2010 850 984
U.S. Treasury Bond 9.25% 2/15/2016 625 957
U.S. Treasury Bond 7.50% 11/15/2016 225 306
U.S. Treasury Bond 8.875% 8/15/2017 11,065 16,760
U.S. Treasury Bond 8.125% 8/15/2019 1,530 2,214
U.S. Treasury Bond 8.75% 5/15/2020 540 826
U.S. Treasury Bond 7.875% 2/15/2021 990 1,414
U.S. Treasury Bond 8.125% 8/15/2021 1,800 2,633
U.S. Treasury Bond 8.00% 11/15/2021 8,080 11,710
U.S. Treasury Bond 7.25% 8/15/2022 3,900 5,286
U.S. Treasury Bond 7.625% 11/15/2022 7,720 10,862
U.S. Treasury Bond 6.625% 2/15/2027 505 650
U.S. Treasury Bond 6.375% 8/15/2027 10,150 12,718
U.S. Treasury Bond 5.25% 11/15/2028 4,375 4,764
U.S. Treasury Note 1.75% 12/31/2004 2,900 2,925
U.S. Treasury Note 1.625% 3/31/2005 5,200 5,235
U.S. Treasury Note 1.25% 5/31/2005 1,200 1,199
U.S. Treasury Note 6.875% 5/15/2006 1,140 1,307
U.S. Treasury Note 7.00% 7/15/2006 850 982
U.S. Treasury Note 6.50% 10/15/2006 425 488
U.S. Treasury Note 6.625% 5/15/2007 8,275 9,682
U.S. Treasury Note 5.625% 5/15/2008 9,205 10,556
U.S. Treasury Note 4.75% 11/15/2008 3,065 3,398
U.S. Treasury Note 5.75% 8/15/2010 75 88
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7
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FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
U.S. Treasury Note 4.875% 2/15/2012 $16,915 18,813
Private Export Funding Corp.
(U.S. Government Guaranteed) 7.20% 1/15/2010 1,325 1,635
--------
130,109
--------
AGENCY BONDS AND NOTES (11.3%)
Federal Farm Credit Bank 4.80% 11/6/2003 325 329
Federal Home Loan Bank 3.75% 4/15/2004 3,550 3,626
Federal Home Loan Bank 3.375% 6/15/2004 5,300 5,419
Federal Home Loan Bank 6.50% 8/15/2007 2,450 2,847
Federal Home Loan Bank 5.865% 9/2/2008 550 633
Federal Home Loan Bank 5.88% 11/25/2008 175 178
Federal Home Loan Bank 6.50% 11/13/2009 1,300 1,551
Federal Home Loan Bank 7.625% 5/14/2010 6,100 7,719
Federal Home Loan Mortgage Corp. 5.00% 5/15/2004 925 957
Federal Home Loan Mortgage Corp. 6.875% 1/15/2005 9,450 10,252
Federal Home Loan Mortgage Corp. 7.00% 7/15/2005 10,000 11,114
Federal Home Loan Mortgage Corp. 5.75% 4/15/2008 2,000 2,282
Federal Home Loan Mortgage Corp. 6.625% 9/15/2009 1,400 1,677
Federal Home Loan Mortgage Corp. 7.00% 3/15/2010 2,500 3,061
Federal Home Loan Mortgage Corp. 6.875% 9/15/2010 5,650 6,908
Federal Home Loan Mortgage Corp. 6.75% 3/15/2031 1,139 1,417
Federal Home Loan Mortgage Corp. 6.25% 7/15/2032 132 155
Federal National Mortgage Assn. 3.00% 6/15/2004 200 204
Federal National Mortgage Assn. 6.50% 8/15/2004 11,710 12,408
Federal National Mortgage Assn. 7.125% 2/15/2005 900 984
Federal National Mortgage Assn. 7.00% 7/15/2005 8,000 8,891
Federal National Mortgage Assn. 5.75% 2/15/2008 1,850 2,108
Federal National Mortgage Assn. 6.00% 5/15/2008 400 461
Federal National Mortgage Assn. 6.40% 5/14/2009 675 702
Federal National Mortgage Assn. 6.625% 9/15/2009 6,515 7,803
Federal National Mortgage Assn. 7.25% 1/15/2010 2,230 2,758
Federal National Mortgage Assn. 6.25% 2/1/2011 225 261
Federal National Mortgage Assn. 5.50% 3/15/2011 2,275 2,580
Federal National Mortgage Assn. 6.125% 3/15/2012 1,900 2,237
Federal National Mortgage Assn. 4.375% 9/15/2012 3,425 3,582
Federal National Mortgage Assn. 4.625% 5/1/2013 1,150 1,186
Federal National Mortgage Assn. 7.25% 5/15/2030 2,050 2,700
Federal National Mortgage Assn. 6.625% 11/15/2030 2,400 2,947
Tennessee Valley Auth. 5.375% 11/13/2008 325 366
Tennessee Valley Auth. 7.125% 5/1/2030 1,350 1,753
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114,056
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MORTGAGE-BACKED SECURITIES (33.1%)(2)
Federal Home Loan Mortgage Corp. 4.50% 5/1/2008-5/1/2018(1) 6,484 6,630
Federal Home Loan Mortgage Corp. 5.00% 6/1/2007-5/1/2033(1) 13,869 14,312
Federal Home Loan Mortgage Corp. 5.50%12/1/2005-4/1/2033(1) 27,844 28,838
Federal Home Loan Mortgage Corp. 6.00% 1/1/2006-4/1/2033(1) 30,959 32,178
Federal Home Loan Mortgage Corp. 6.50%10/1/2004-7/1/2032(1) 28,453 29,695
Federal Home Loan Mortgage Corp. 7.00% 2/1/2004-6/1/2032(1) 12,735 13,386
Federal Home Loan Mortgage Corp. 7.50%10/1/2012-2/1/2032(1) 3,797 4,038
Federal Home Loan Mortgage Corp. 8.00 6/1/2012-11/1/2031(1) 1,665 1,800
Federal Home Loan Mortgage Corp. 8.50% 6/1/2025-5/1/2030(1) 716 780
Federal Home Loan Mortgage Corp. 9.00% 2/1/2025-9/1/2030(1) 57 62
8
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
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Federal Home Loan Mortgage Corp. 9.50% 2/1/2025(1) 16 17
Federal National Mortgage Assn. 4.50% 6/1/2018(1) 2,000 2,043
Federal National Mortgage Assn. 5.00% 9/1/2009-6/1/2033(1) 11,753 12,065
Federal National Mortgage Assn. 5.50% 5/1/2009-6/1/2033(1) 46,103 47,759
Federal National Mortgage Assn. 6.00% 10/1/2008-4/1/2033(1) 37,522 39,041
Federal National Mortgage Assn. 6.50% 1/1/2012-8/1/2032(1) 31,189 32,580
Federal National Mortgage Assn. 7.00% 6/1/2015-12/1/2031(1) 6,848 7,227
Federal National Mortgage Assn. 7.50% 11/1/2011-10/1/2031(1) 4,906 5,219
Federal National Mortgage Assn. 8.00% 12/1/2029-6/1/2031(1) 1,030 1,109
Federal National Mortgage Assn. 8.50% 4/1/2030-4/1/2031(1) 390 420
Federal National Mortgage Assn. 9.00% 8/1/2030(1) 22 24
Federal National Mortgage Assn. 9.50% 11/1/2025(1) 28 30
Government National Mortgage Assn. 5.00% 2/15/2018-6/15/2033(1) 1,488 1,536
Government National Mortgage Assn. 5.50% 2/15/2017-5/15/2033(1) 8,061 8,409
Government National Mortgage Assn. 6.00% 9/15/2013-1/15/2033(1) 13,792 14,463
Government National Mortgage Assn. 6.50% 5/15/2013-7/15/2032(1) 13,505 14,198
Government National Mortgage Assn. 7.00% 10/15/2010-6/15/2032(1) 8,368 8,851
Government National Mortgage Assn. 7.50% 5/15/2023-10/15/2031(1) 4,165 4,432
Government National Mortgage Assn. 8.00% 7/15/2025-11/15/2030(1) 1,886 2,041
Government National Mortgage Assn. 8.50% 12/15/2024-7/15/2030(1) 287 311
Government National Mortgage Assn. 9.00% 5/15/2025-9/15/2030(1) 132 145
Government National Mortgage Assn. 9.50% 11/15/2017(1) 36 41
---------
333,680
---------
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TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $562,976) 577,845
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CORPORATE BONDS (39.0%)
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ASSET-BACKED/COMMERCIAL MORTGAGE-BACKED SECURITIES--FIXED RATE (6.5%)(2)
Bank of America Mortgage Securities 4.654% 6/25/2032(1) 212 216
Bear Stearns Commercial
Mortgage Securities Inc. 5.61% 11/15/2033(1) 1,150 1,282
CIT RV Trust 5.96% 4/15/2011(1) 56 57
California Infrastructure & Econ.
Dev. Bank Special Purpose Trust PG&E-1 6.42% 9/25/2008(1) 2,500 2,708
California Infrastructure & Econ.
Dev. Bank Special Purpose Trust SCE-1 6.38% 9/25/2008(1) 2,450 2,662
California Infrastructure & Econ.
Dev. Bank Special Purpose Trust SDG&E 6.31% 9/25/2008(1) 1,100 1,194
Capital Auto Receivables Asset Trust 2.64% 11/15/2005(1) 1,000 1,024
Capital Auto Receivables Asset Trust 4.16% 7/16/2007(1) 125 130
Capital Auto Receivables Asset Trust 2.92% 4/15/2008(1) 5,500 5,622
Capital One Auto Finance Trust 4.88% 9/15/2008(1) 1,175 1,244
Chase Manhattan Auto Owner Trust 4.24% 9/15/2008(1) 2,750 2,882
Citibank Credit Card Master Trust 4.95% 2/9/2009(1) 3,450 3,730
Commercial Mortgage
Lease-Backed Certificate 6.746% 6/20/2031(1)(3) 1,025 1,172
Countrywide Home Loans 4.633% 9/19/2032(1) 1,432 1,456
Countrywide Home Loans 4.197% 5/25/2033(1) 2,037 2,062
DaimlerChrysler Auto Trust 2.56% 10/25/2004(1) 825 838
DaimlerChrysler Auto Trust 3.53% 12/6/2007(1) 4,000 4,129
First Union National Bank
Commercial Mortgage Securities 6.223% 12/12/2033(1) 500 575
9
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FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust 4.36% 8/15/2006(1) 2,000 2,089
Ford Credit Auto Owner Trust 3.13% 11/15/2006(1) 250 256
Harley-Davidson Motorcycle Trust 4.50% 1/15/2010(1) 1,650 1,780
Honda Auto Receivables Owner Trust 2.19% 9/15/2006(1) 700 709
Honda Auto Receivables Owner Trust 4.22% 4/15/2007(1) 325 339
MBNA Master Credit Card Trust 4.95% 6/15/2009(1) 3,150 3,414
Mach One CDO, Ltd. 6.70% 3/15/2030(1)(3) 366 416
Marshall & Ilsley Auto Loan Trust 2.49% 10/22/2007(1) 2,500 2,533
Nissan Auto Receivables Owner Trust 4.60% 9/15/2005(1) 1,475 1,552
Nissan Auto Receivables Owner Trust 4.28% 10/16/2006(1) 1,500 1,574
PECO Energy Transition Trust 5.80% 3/1/2007(1) 4,000 4,196
PECO Energy Transition Trust 6.05% 3/1/2009(1) 275 307
PP&L Transition Bond Co. LLC 6.96% 12/26/2005(1) 2,100 2,330
PSE&G Transition Funding LLC 6.89% 12/15/2017(1) 200 242
Residential Asset Securities Corp. 4.988% 2/25/2027(1) 1,950 2,018
Sears Credit Account Master Trust 6.05% 1/15/2008(1) 1,333 1,354
Toyota Auto Receivables Owner Trust 2.65% 11/15/2006(1) 1,900 1,933
Toyota Auto Receivables Owner Trust 4.00% 7/15/2008(1) 100 104
Volkswagen Auto Lease Trust 2.36% 12/20/2005(1) 2,000 2,024
WFS Financial Owner Trust 4.50% 2/20/2010(1) 250 263
Washington Mutual Mortgage
Pass-Through Certificate 5.435% 2/25/2032(1) 121 124
Washington Mutual Mortgage
Pass-Through Certificate 5.55% 3/25/2032(1) 114 116
Washington Mutual Mortgage
Pass-Through Certificate 5.554% 4/26/2032(1) 1,375 1,395
World Omni Master Owner Trust 3.79% 11/20/2005(1) 167 169
World Omni Master Owner Trust 2.58% 9/15/2009(1) 1,500 1,528
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65,748
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ASSET-BACKED SECURITIES--FLOATING RATE (3.5%)(2)
Chase Credit Card Master Trust 1.96% 1/15/2006(1) 6,000 6,002
Chase Credit Card Master Trust 1.923% 2/15/2007(1) 1,000 1,001
Discover Card Master Trust I 1.59% 2/16/2007(1) 2,000 2,005
Discover Card Master Trust I 1.55% 4/16/2007(1) 4,000 4,004
Discover Card Master Trust I 1.49% 9/18/2007(1) 4,000 4,009
First USA Credit Card Master Trust 1.39% 9/10/2006(1) 6,000 6,003
First USA Credit Card Master Trust 1.407% 11/20/2006(1) 3,000 3,001
First USA Credit Card Master Trust 1.56% 4/17/2007(1) 1,000 1,001
MBNA Master Credit Card Trust 1.54% 2/15/2007(1) 4,000 4,002
MBNA Master Credit Card Trust 1.55% 2/15/2007(1) 4,000 4,004
------
35,032
------
FINANCE (13.0%)
BANKING (5.7%)
Abbey National Capital Trust I 8.963% 12/29/2049 250 360
Asian Development Bank 4.875% 2/5/2007 1,000 1,100
Associates Corp. of North America 6.20% 5/16/2005 1,000 1,084
BBVA-Bancomer Capital Trust I 10.50% 2/16/2011(3) 375 431
Bank of America Corp. 7.125% 9/15/2006 600 690
Bank of America Corp. 8.50% 1/15/2007 150 180
Bank of America Corp. 7.40% 1/15/2011 700 860
Bank of America Corp. 6.25% 4/15/2012 100 116
Bank One Corp. 6.875% 8/1/2006 850 968
10
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
Bank One Corp. 6.00% 2/17/2009 795 901
Bank One Corp. 7.875% 8/1/2010 750 933
BankAmerica Capital II 8.00% 12/15/2026 750 863
BankAmerica Corp. 6.625% 6/15/2004 100 105
BankAmerica Corp. 7.125% 5/1/2006 150 169
Barclays Bank PLC 8.55% 6/15/2011(3) 300 382
Barclays Bank PLC 7.375% 12/15/2011(3) 475 569
The Chase Manhattan Corp. 6.00% 11/1/2005 150 163
The Chase Manhattan Corp. 7.125% 2/1/2007 250 286
Citicorp Capital II 8.015% 2/15/2027 100 118
Citicorp Lease Pass-Through Trust 8.04% 12/15/2019(3) 225 272
Citigroup Inc. 4.125% 6/30/2005 725 762
Citigroup Inc. 6.75% 12/1/2005 2,850 3,173
Citigroup Inc. 5.625% 8/27/2012 1,200 1,323
Citigroup Inc. 4.875% 5/7/2015 200 206
CoreStates Capital Corp. 6.625% 3/15/2005 1,000 1,085
CoreStates Capital Corp. 8.00% 12/15/2026(3) 525 626
Credit Suisse First Boston USA Inc. 5.75% 4/15/2007 1,175 1,301
Credit Suisse First Boston USA Inc. 4.625% 1/15/2008 500 535
Credit Suisse First Boston USA Inc. 6.50% 1/15/2012 250 286
Deutsche Ausgleichsbank 7.00% 6/23/2005 600 659
Deutsche Bank Financial LLC 5.375% 3/2/2015 325 348
European Investment Bank 4.00% 3/15/2005 1,800 1,884
European Investment Bank 5.625% 1/24/2006 500 549
European Investment Bank 4.625% 3/1/2007 500 546
Export-Import Bank of Korea 7.10% 3/15/2007 750 850
Fifth Third Bancorp 6.75% 7/15/2005 500 549
Fleet Boston Financial Corp. 7.25% 9/15/2005 1,000 1,111
Golden West Financial 4.125% 8/15/2007 550 580
HSBC Holdings PLC 7.50% 7/15/2009 750 913
Inter-American Development Bank 6.125% 3/8/2006 525 586
Inter-American Development Bank 6.375% 10/22/2007 450 523
Inter-American Development Bank 5.625% 4/16/2009 1,300 1,497
Inter-American Development Bank 8.50% 3/15/2011 500 664
Inter-American Development Bank 7.00% 6/15/2025 150 190
International Bank for
Reconstruction & Development 4.125% 8/12/2009 1,600 1,715
International Bank for
Reconstruction & Development 8.875% 3/1/2026 250 382
International Finance Corp. 3.00% 4/15/2008 450 462
Korea Development Bank 7.25% 5/15/2006 50 56
Landwirtschaft Rentenbank 3.375% 11/15/2007 1,000 1,035
Landwirtschaft Rentenbank 3.25% 6/16/2008 200 205
Marshall & Ilsley Bank 4.125% 9/4/2007 1,000 1,058
Mellon Capital II 7.995% 1/15/2027 500 600
Mercantile Bancorp (Firstar) 7.30% 6/15/2007 250 295
J.P. Morgan & Co., Inc. 6.70% 11/1/2007 1,000 1,147
J.P. Morgan Chase & Co. 5.625% 8/15/2006 625 685
J.P. Morgan Chase & Co. 5.25% 5/30/2007 1,350 1,478
J.P. Morgan Chase & Co. 5.25% 5/1/2015 200 208
National City Bank of Indiana 4.875% 7/20/2007 300 325
National City Corp. 7.20% 5/15/2005 800 880
11
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FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
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National Westminster Bancorp Inc. 9.375% 11/15/2003 1,000 1,030
NationsBank Corp. 6.375% 2/15/2008 500 572
NationsBank Corp. 7.25% 10/15/2025 500 618
Nordic Investment Bank 3.125% 4/24/2008 250 256
North Fork Bancorp 5.875% 8/15/2012 250 279
PNC Funding Corp. 5.75% 8/1/2006 700 773
PaineWebber Group, Inc. 6.50% 11/1/2005 500 552
Regions Financial Corp. 6.375% 5/15/2012 925 1,071
Santander Central Hispano SA 7.625% 9/14/2010 200 247
Sanwa Bank Ltd. 8.35% 7/15/2009 150 178
Sanwa Bank Ltd. 7.40% 6/15/2011 275 308
Standard Chartered Bank 8.00% 5/30/2031(3) 325 412
Sumitomo Mitsui Banking Corp. 8.00% 6/15/2012 115 138
SunTrust Banks, Inc. 6.00% 2/15/2026 500 546
Suntrust Capital 7.90% 6/15/2027 200 235
Swiss Bank Corp. 7.375% 7/15/2015 175 215
Synovus Financial Corp. 7.25% 12/15/2005 175 198
US Bancorp 6.875% 12/1/2004 275 296
US Bancorp 5.10% 7/15/2007 1,250 1,368
Union Planters Bank NA 5.125% 6/15/2007 200 217
Union Planters Corp. 7.75% 3/1/2011 275 331
Wachovia Corp. 4.95% 11/1/2006 825 899
Washington Mutual Bank 6.875% 6/15/2011 1,450 1,702
Wells Fargo & Co. 5.125% 2/15/2007 250 274
Wells Fargo & Co. 3.50% 4/4/2008 1,000 1,028
Wells Fargo & Co. 6.25% 4/15/2008 915 1,054
Wells Fargo & Co. 6.45% 2/1/2011 1,000 1,172
Brokerage (1.6%)
Bear Stearns & Co., Inc. 6.625% 1/15/2004 1,000 1,028
Bear Stearns & Co., Inc. 6.75% 12/15/2007 150 174
Bear Stearns & Co., Inc. 4.00% 1/31/2008 300 312
Bear Stearns & Co., Inc. 5.70% 11/15/2014 400 440
Goldman Sachs Group Inc. 7.625% 8/17/2005 1,000 1,123
Goldman Sachs Group Inc. 4.125% 1/15/2008 625 656
Goldman Sachs Group Inc. 5.70% 9/1/2012 750 827
Goldman Sachs Group Inc. 5.50% 11/15/2014 350 379
Goldman Sachs Group Inc. 6.125% 2/15/2033 200 215
Lehman Brothers Holdings Inc. 7.75% 1/15/2005 1,950 2,135
Lehman Brothers Holdings Inc. 6.625% 2/15/2008 750 863
Merrill Lynch & Co., Inc. 5.88% 1/15/2004 175 179
Merrill Lynch & Co., Inc. 5.35% 6/15/2004 1,275 1,324
Merrill Lynch & Co., Inc. 4.00% 11/15/2007 400 420
Merrill Lynch & Co., Inc. 6.875% 11/15/2018 600 722
Morgan Stanley Dean Witter
Discover & Co. 5.625% 1/20/2004 2,150 2,202
Morgan Stanley Dean Witter
Discover & Co. 6.10% 4/15/2006 625 690
Morgan Stanley Dean Witter
Discover & Co. 6.875% 3/1/2007 200 228
Morgan Stanley Dean Witter
Discover & Co. 3.625% 4/1/2008 500 514
12
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter Discover & Co. 7.25% 4/1/2032 450 553
Salomon Smith Barney Holdings Inc. 5.875% 3/15/2006 275 303
Waddell & Reed Financial 7.50% 1/18/2006 400 441
FINANCE COMPANIES (4.0%)
American Express Co. 3.75% 11/20/2007 550 574
American Express Co. 3.00% 5/16/2008 500 503
American General Finance Corp. 5.875% 7/14/2006 900 997
American General Finance Corp. 5.75% 3/15/2007 500 554
Boeing Capital Corp. 6.50% 2/15/2012 750 848
CIT Group Inc. 4.125% 2/21/2006 575 600
CIT Group Inc. 7.375% 4/2/2007 350 400
CIT Group Inc. 4.00% 5/8/2008 250 255
CIT Group Inc. 7.75% 4/2/2012 200 238
Capital One Bank 4.875% 5/15/2008 875 887
Countrywide Home Loan 5.50% 8/1/2006 1,550 1,691
Countrywide Home Loan 5.50% 2/1/2007 850 933
Countrywide Home Loan 5.625% 5/15/2007 50 55
John Deere Capital Corp. 7.00% 3/15/2012 250 297
Export Development Canada 4.00% 8/1/2007 200 213
Ford Motor Credit Co. 6.875% 2/1/2006 2,300 2,425
Ford Motor Credit Co. 6.50% 1/25/2007 2,000 2,101
Ford Motor Credit Co. 7.375% 10/28/2009 100 105
Ford Motor Credit Co. 7.25% 10/25/2011 500 513
General Electric Capital Corp. 2.85% 1/30/2006 500 514
General Electric Capital Corp. 5.375% 3/15/2007 1,600 1,759
General Electric Capital Corp. 4.25% 1/15/2008 1,000 1,059
General Electric Capital Corp. 3.50% 5/1/2008 250 256
General Electric Capital Corp. 4.625% 9/15/2009 500 535
General Electric Capital Corp. 7.375% 1/19/2010 750 915
General Electric Capital Corp. 6.125% 2/22/2011 500 569
General Electric Capital Corp. 6.75% 3/15/2032 650 764
General Motors Acceptance Corp. 5.25% 5/16/2005 250 257
General Motors Acceptance Corp. 6.75% 1/15/2006 300 319
General Motors Acceptance Corp. 4.50% 7/15/2006 500 502
General Motors Acceptance Corp. 6.125% 9/15/2006 1,000 1,043
General Motors Acceptance Corp. 7.75% 1/19/2010 1,725 1,842
General Motors Acceptance Corp. 6.875% 9/15/2011 500 502
General Motors Acceptance Corp. 7.00% 2/1/2012 400 403
General Motors Acceptance Corp. 6.875% 8/28/2012 900 900
Household Finance Corp. 6.50% 1/24/2006 875 969
Household Finance Corp. 7.20% 7/15/2006 300 343
Household Finance Corp. 5.75% 1/30/2007 350 387
Household Finance Corp. 4.625% 1/15/2008 850 906
Household Finance Corp. 6.375% 10/15/2011 225 256
Household Finance Corp. 7.00% 5/15/2012 1,100 1,304
Household Finance Corp. 7.35% 11/27/2032 50 62
International Lease Finance Corp. 5.625% 6/1/2007 1,975 2,140
International Lease Finance Corp. 4.50% 5/1/2008 250 262
KFW International Finance, Inc. 7.625% 2/15/2004 2,000 2,079
KFW International Finance, Inc. 2.50% 10/17/2005 1,300 1,328
MBNA America Bank NA 7.75% 9/15/2005(3) 1,000 1,116
13
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FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
Pitney Bowes Credit Corp. 9.25% 6/15/2008 500 631
SLM Corp. 5.05% 11/14/2014 450 480
USA Education Inc. 5.625% 4/10/2007 2,075 2,305
INSURANCE (1.1%)
ACE Ltd. 6.00% 4/1/2007 300 331
AEGON NV 4.75% 6/1/2013 125 126
AIG SunAmerica Global Financing IX 6.90% 3/15/2032(3) 240 290
AXA SA 8.60% 12/15/2030 75 96
Allstate Corp. 5.375% 12/1/2006 500 552
Allstate Corp. 7.20% 12/1/2009 875 1,068
American General Capital II 8.50% 7/1/2030 50 69
American International Group Inc. 2.85% 12/1/2005 750 768
American International Group Inc. 2.875% 5/15/2008(3) 150 150
Aon Capital Trust 8.205% 1/1/2027 100 114
Fidelity National Financial Inc. 7.30% 8/15/2011 375 443
John Hancock Global Funding II 5.625% 6/27/2006(3) 400 438
Hartford Life Inc. 7.375% 3/1/2031 200 243
ING Capital Funding Trust III 8.439% 12/31/2010 575 728
Jackson National Life Insurance Co. 5.25% 3/15/2007(3) 250 271
Jackson National Life Insurance Co. 6.125% 5/30/2012(3) 350 389
Marsh & McLennan Cos. Inc. 6.25% 3/15/2012 600 695
MetLife Inc. 5.25% 12/1/2006 725 794
Monumental Global Funding II 6.05% 1/19/2006(3) 600 653
Nationwide Life Global Funding 5.35% 2/15/2007(3) 225 245
Principal Life Global Funding I 6.125% 3/1/2006(3) 500 549
Progressive Corp. 6.625% 3/1/2029 400 471
Reinsurance Group of America 6.75% 12/15/2011 500 570
St. Paul Cos. Inc. 5.75% 3/15/2007 125 136
Travelers Property Casualty Corp. 3.75% 3/15/2008 175 181
Travelers Property Casualty Corp. 6.375% 3/15/2033 150 164
UnumProvident Corp. 7.625% 3/1/2011 175 189
UnumProvident Corp. 6.75% 12/15/2028 50 48
REAL ESTATE INVESTMENT TRUSTS (0.6%)
Boston Properties Inc. 5.625% 4/15/2015(3) 150 158
Centerpoint Properties 5.75% 8/15/2009 450 489
EOP Operating LP 7.75% 11/15/2007 500 585
EOP Operating LP 7.00% 7/15/2011 150 175
EOP Operating LP 7.875% 7/15/2031 200 242
Equity Residential Properties Trust 6.625% 3/15/2012 600 696
HRPT Properties Trust 6.50% 1/15/2013 500 548
Health Care Property Investment Inc. 6.45% 6/25/2012 500 540
New Plan Excel Realty Trust 5.875% 6/15/2007 250 273
ProLogis 5.50% 3/1/2013 100 107
Shurgard Storage Centers, Inc. 7.75% 2/22/2011 425 503
Simon Property Group LP 6.375% 11/15/2007 900 1,007
Susa Partnership LP 7.00% 12/1/2007 100 115
Vornado Realty 5.625% 6/15/2007 200 213
---------
130,842
---------
14
- -----------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
INDUSTRIAL (13.3%)
BASIC INDUSTRY (1.2%)
Alcan Inc. 4.50% 5/15/2013 375 382
Alcoa Inc. 4.25% 8/15/2007 1,750 1,856
BHP Finance USA Ltd. 6.75% 11/1/2013 500 601
Celulosa Arauco Constitution SA 8.625% 8/15/2010 350 420
Corporacion Nacional del
Cobre de Chile (CODELCO) 7.375% 5/1/2009(3) 500 582
Domtar Inc. 7.875% 10/15/2011 450 542
Dow Chemical Co. 6.125% 2/1/2011 875 961
Dow Chemical Co. 7.375% 11/1/2029 100 116
Eastman Chemical Co. 7.00% 4/15/2012 450 519
International Paper Co. 7.875% 8/1/2006 750 862
Potash Corp. of Saskatchewan 7.75% 5/31/2011 375 457
Praxair, Inc. 6.90% 11/1/2006 125 142
Praxair, Inc. 3.95% 6/1/2013 350 345
Rohm & Haas Co. 6.95% 7/15/2004 450 473
Sappi Papier Holding AG 6.75% 6/15/2012(3) 100 113
Sappi Papier Holding AG 7.50% 6/15/2032(3) 200 233
Union Carbide Corp. 7.75% 10/1/2096 50 46
Vale Overseas Ltd. 8.625% 3/8/2007 400 432
Westvaco Corp. 8.20% 1/15/2030 725 918
Weyerhaeuser Co. 5.50% 3/15/2005 1,150 1,216
Weyerhaeuser Co. 7.375% 3/15/2032 575 659
CAPITAL GOODS (1.3%)
Bae Systems Holdings Inc. 6.40% 12/15/2011(3) 225 248
The Boeing Co. 8.75% 8/15/2021 150 198
The Boeing Co. 6.625% 2/15/2038 250 273
Bombardier Capital Corp. 6.125% 6/29/2006(3) 250 256
British Aerospace 7.156% 12/15/2011(1)(3) 96 108
CRH Capital Inc. 6.95% 3/15/2012 200 235
Caterpillar, Inc. 7.375% 3/1/2097 600 754
Deere & Co. 8.50% 1/9/2022 725 964
Emerson Electric Co. 4.625% 10/15/2012 1,000 1,049
General Dynamics 2.125% 5/15/2006 100 101
General Dynamics 3.00% 5/15/2008 100 101
General Electric 5.00% 2/1/2013 750 792
Goodrich Corp. 6.45% 12/15/2007 300 325
Hanson PLC 5.25% 3/15/2013 125 128
Hutchison Whampoa International Ltd. 7.00% 2/16/2011(3) 250 279
Ingersoll-Rand Co. 6.25% 5/15/2006 150 167
Lockheed Martin Corp. 7.65% 5/1/2016 650 835
Lockheed Martin Corp. 8.50% 12/1/2029 200 272
Masco Corp. 6.75% 3/15/2006 700 780
Northrop Grumman Corp. 7.75% 2/15/2031 150 193
Raytheon Co. 4.50% 11/15/2007 1,000 1,054
Raytheon Co. 5.50% 11/15/2012 200 214
Republic Services Inc. 7.125% 5/15/2009 300 354
TRW Inc. 7.75% 6/1/2029 450 555
Textron Financial Corp. 5.875% 6/1/2007 1,000 1,089
Textron Inc. 6.50% 6/1/2012 100 112
15
- -----------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
USA Waste Services Inc. 7.00% 7/15/2028 300 340
United Technologies Corp. 4.875% 11/1/2006 825 894
Waste Management, Inc. 6.50% 11/15/2008 425 486
Waste Management, Inc. 7.375% 8/1/2010 150 179
COMMUNICATION (2.9%)
AT&T Broadband Corp. 9.455% 11/15/2022 100 135
AT&T Corp. 7.00% 11/15/2006 635 703
AT&T Corp. 7.80% 11/15/2011 400 459
AT&T Corp. 8.50% 11/15/2031 625 713
AT&T Wireless Services Inc. 7.875% 3/1/2011 450 532
AT&T Wireless Services Inc. 8.125% 5/1/2012 375 454
AT&T Wireless Services Inc. 8.75% 3/1/2031 650 810
BellSouth Capital Funding 7.875% 2/15/2030 900 1,157
British Telecommunications PLC 7.875% 12/15/2005 650 740
British Telecommunications PLC 8.875% 12/15/2030 500 684
CenturyTel Inc. 7.875% 8/15/2012 175 221
China Telecom 7.875% 11/2/2004 525 567
Cingular Wireless 6.50% 12/15/2011 550 634
Citizens Communications 9.00% 8/15/2031 375 502
Clear Channel Communications Inc. 7.65% 9/15/2010 750 902
Comcast Cable Communications Inc. 6.75% 1/30/2011 400 459
Comcast Cable Communications Inc. 8.875% 5/1/2017 200 266
Comcast Corp. 6.50% 1/15/2015 600 679
Cox Enterprises 7.875% 9/15/2010(3) 575 677
Deutsche Telekom
International Finance 8.25% 6/15/2005 500 557
Deutsche Telekom
International Finance 8.50% 6/15/2010 750 923
Deutsche Telekom
International Finance 8.75% 6/15/2030 250 320
France Telecom 8.70% 3/1/2006 500 573
France Telecom 9.25% 3/1/2011 250 314
France Telecom 10.00% 3/1/2031 300 414
Grupo Televisa SA 8.625% 8/8/2005 475 534
GTE Corp. 8.75% 11/1/2021 100 131
GTE South Inc. 6.125% 6/15/2007 875 985
International Telecom Satellite 7.625% 4/15/2012 100 113
Koninklijke KPN NV 8.00% 10/1/2010 475 588
Koninklijke KPN NV 8.375% 10/1/2030 200 261
New England Telephone & Telegraph Co. 7.875% 11/15/2029 100 130
New York Telephone Co. 7.25% 2/15/2024 100 106
News America Holdings Inc. 9.25% 2/1/2013 200 265
News America Holdings Inc. 8.00% 10/17/2016 250 315
News America Holdings Inc. 7.75% 12/1/2045 100 118
News America Holdings Inc. 8.25% 10/17/2096 200 233
SBC Communications Inc. 5.75% 5/2/2006 200 220
SBC Communications Inc. 5.875% 8/15/2012 1,000 1,123
Scholastic Corp. 5.75% 1/15/2007 100 108
Southwestern Bell Telephone Co. 7.25% 7/15/2025 175 175
Sprint Capital Corp. 7.90% 3/15/2005 675 732
Sprint Capital Corp. 8.75% 3/15/2032 1,075 1,284
16
- -----------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
TCI Communications, Inc. 8.00% 8/1/2005 990 1,100
TCI Communications, Inc. 8.75% 8/1/2015 175 228
Telecomunicaciones de Puerto Rico 6.65% 5/15/2006 125 137
Telefonica Europe BV 7.35% 9/15/2005 775 866
Telefonos de Mexico SA 8.25% 1/26/2006 550 617
Thomson Corp. 5.75% 2/1/2008 100 109
USA Interactive 7.00% 1/15/2013 500 568
Verizon Global Funding Corp. 6.75% 12/1/2005 325 362
Verizon New Jersey Inc. 5.875% 1/17/2012 825 918
Verizon New York Inc. 6.875% 4/1/2012 175 205
Verizon New York Inc. 7.375% 4/1/2032 375 456
Verizon Pennsylvania Inc. 5.65% 11/15/2011 650 717
Verizon Wireless Inc. 5.375% 12/15/2006 400 439
Vodafone AirTouch PLC 7.625% 2/15/2005 325 355
Vodafone AirTouch PLC 7.875% 2/15/2030 625 803
CONSUMER CYCLICAL (2.7%)
AOL Time Warner Inc. 6.125% 4/15/2006 1,000 1,093
AOL Time Warner Inc. 6.15% 5/1/2007 800 888
AOL Time Warner Inc. 6.75% 4/15/2011 100 114
AOL Time Warner Inc. 7.625% 4/15/2031 450 516
Arvinmeritor Inc. 6.80% 2/15/2009 250 261
Auburn Hills Trust 12.375% 5/1/2020 100 148
Cendant Corp. 6.875% 8/15/2006 445 497
Cendant Corp. 6.25% 1/15/2008 350 385
Cendant Corp. 7.375% 1/15/2013 175 205
Costco Wholesale Corp. 5.50% 3/15/2007 875 962
DaimlerChrysler
North America Holding Corp. 7.40% 1/20/2005 900 965
DaimlerChrysler
North America Holding Corp. 7.375% 9/15/2006 2,000 2,247
DaimlerChrysler
North America Holding Corp. 4.05% 6/4/2008 250 247
DaimlerChrysler
North America Holding Corp. 7.30% 1/15/2012 225 253
Dayton Hudson Corp. 6.65% 8/1/2028 350 401
The Walt Disney Co. 5.375% 6/1/2007 1,000 1,090
Ford Capital BV 9.50% 6/1/2010 225 257
Ford Motor Co. 7.45% 7/16/2031 1,100 1,019
Ford Motor Co. 9.98% 2/15/2047 900 1,018
General Motors Corp. 8.25% 7/15/2023 150 149
General Motors Corp. 6.75% 5/1/2028 700 602
General Motors Corp. 8.375% 7/15/2033 550 542
Harrahs Operating Co. Inc. 7.125% 6/1/2007 175 197
Harrahs Operating Co. Inc. 7.50% 1/15/2009 250 293
Kohl's Corp. 6.00% 1/15/2033 100 108
Liberty Media Corp. 7.75% 7/15/2009 550 644
Liberty Media Corp. 8.25% 2/1/2030 250 299
Lowe's Cos., Inc. 6.875% 2/15/2028 500 591
May Department Stores Co. 7.625% 8/15/2013 300 365
May Department Stores Co. 9.75% 2/15/2021 540 724
McDonald's Corp. 6.00% 4/15/2011 400 447
17
- -----------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
Pulte Homes Inc. 7.875% 6/15/2032 375 460
Sears Roebuck Acceptance Corp. 7.00% 6/15/2007 200 224
Sears Roebuck Acceptance Corp. 7.00% 2/1/2011 350 399
Sears Roebuck Acceptance Corp. 6.70% 4/15/2012 200 226
Sears Roebuck Acceptance Corp. 7.00% 6/1/2032 100 112
Target Corp. 3.375% 3/1/2008 500 513
Target Corp. 5.40% 10/1/2008 1,000 1,115
Time Warner Entertainment 8.375% 3/15/2023 100 126
Time Warner Entertainment 8.375% 7/15/2033 600 782
Toys R Us Inc. 7.875% 4/15/2013 100 109
Toys R Us Inc. 8.75% 9/1/2021 50 56
Viacom Inc. 7.75% 6/1/2005 1,375 1,532
Viacom Inc. 5.625% 8/15/2012 300 333
Viacom Inc. 5.50% 5/15/2033 250 248
Visteon Corp. 7.95% 8/1/2005 150 160
Visteon Corp. 8.25% 8/1/2010 150 164
Wal-Mart Stores, Inc. 4.375% 7/12/2007 250 268
Wal-Mart Stores, Inc. 7.55% 2/15/2030 500 662
Wal-Mart Stores, Inc. Canada 5.58% 5/1/2006(3) 1,400 1,537
Wendy's International Inc. 6.20% 6/15/2014 300 343
CONSUMER NONCYCLICAL (2.3%)
Abbott Laboratories 5.625% 7/1/2006 300 331
Albertson's Inc. 8.00% 5/1/2031 150 180
Anheuser-Busch Cos., Inc. 7.50% 3/15/2012 500 630
Anheuser-Busch Cos., Inc. 7.125% 7/1/2017 650 755
C.R. Bard, Inc. 6.70% 12/1/2026 350 392
Becton, Dickinson & Co. 4.55% 4/15/2013 150 156
Becton, Dickinson & Co. 4.90% 4/15/2018 150 157
Bottling Group PLC 4.625% 11/15/2012(3) 450 467
Bristol-Myers Squibb 5.75% 10/1/2011 1,050 1,168
Campbell Soup Co. 6.75% 2/15/2011 900 1,059
Cia. Brasil de Bebidas AmBev 10.50% 12/15/2011 90 100
Coca-Cola Enterprises, Inc. 6.125% 8/15/2011 1,200 1,379
Coca-Cola Enterprises, Inc. 8.50% 2/1/2022 75 101
Conagra Foods, Inc. 7.875% 9/15/2010 1,000 1,261
Diageo PLC 3.375% 3/20/2008 750 769
General Mills Inc. 5.125% 2/15/2007 150 163
Grand Metropolitan Investment Corp. 9.00% 8/15/2011 400 540
Imperial Tobacco 7.125% 4/1/2009 175 204
International Flavors & Fragrances 6.45% 5/15/2006 150 166
Johnson & Johnson 3.80% 5/15/2013 100 99
Johnson & Johnson 4.95% 5/15/2033 125 122
Kellogg Co. 6.00% 4/1/2006 300 332
Kellogg Co. 7.45% 4/1/2031 350 446
Kraft Foods Inc. 4.625% 11/1/2006 925 984
Kraft Foods Inc. 6.50% 11/1/2031 225 247
Kroger Co. 7.625% 9/15/2006 100 114
Kroger Co. 7.70% 6/1/2029 175 210
Kroger Co. 8.00% 9/15/2029 250 310
Fred Meyer, Inc. 7.375% 3/1/2005 500 541
Newell Rubbermaid Inc. 6.75% 3/15/2012 400 464
18
- -----------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
Pepsi Bottling Group Inc. 7.00% 3/1/2029 250 303
Pharmacia Corp. 5.75% 12/1/2005 1,275 1,395
Philip Morris Cos., Inc. 7.00% 7/15/2005 575 612
Procter & Gamble Co. ESOP 9.36% 1/1/2021 1,000 1,405
Quest Diagnostic Inc. 6.75% 7/12/2006 125 139
RJ Reynolds Tobacco Holdings Inc. 7.25% 6/1/2012 350 354
Safeway, Inc. 6.85% 9/15/2004 1,175 1,240
Sara Lee Corp. 1.95% 6/15/2006 350 350
Sara Lee Corp. 6.125% 11/1/2032 500 548
Tenet Healthcare Corp. 6.375% 12/1/2011 200 189
Tenet Healthcare Corp. 6.875% 11/15/2031 200 178
Tyson Foods Inc. 7.25% 10/1/2006 200 223
Tyson Foods Inc. 8.25% 10/1/2011 200 238
UnitedHealth Group Inc. 5.20% 1/17/2007 975 1,047
Wellpoint Health Network 6.375% 1/15/2012 400 458
Wyeth 4.125% 3/1/2008 525 547
Wyeth 5.25% 3/15/2013 350 370
ENERGY (1.3%)
Alberta Energy Co. Ltd. 7.375% 11/1/2031 400 503
Anadarko Finance Co. 7.50% 5/1/2031 100 127
Apache Corp. 7.375% 8/15/2047 125 159
Ashland Inc. 6.86% 5/1/2009 125 131
Baker Hughes Inc. 6.25% 1/15/2009 500 574
Burlington Resources Inc. 7.40% 12/1/2031 250 317
Canadian Natural Resources 7.20% 1/15/2032 200 247
Conoco Funding Co. 5.45% 10/15/2006 500 552
Conoco Funding Co. 6.35% 10/15/2011 550 641
ConocoPhillips Corp. 5.90% 10/15/2032 500 535
Devon Financing Corp. 6.875% 9/30/2011 500 587
Devon Financing Corp. 7.875% 9/30/2031 100 127
Kerr McGee Corp. 7.875% 9/15/2031 275 340
LG Caltex Oil Corp. 7.75% 7/25/2011(3) 400 464
Marathon Oil Corp. 6.80% 3/15/2032 150 168
Occidental Petroleum 7.20% 4/1/2028 200 241
PF Export Receivables Master Trust 6.60% 12/1/2011(1)(3) 500 567
PanCanadian Energy Corp. 7.20% 11/1/2031 250 300
Pemex Project Funding Master Trust 7.375% 12/15/2014 400 435
Pemex Project Funding Master Trust 7.375% 12/15/2014(3) 200 218
Pemex Project Funding Master Trust 8.625% 2/1/2022 400 456
Petroleos Mexicanos 6.50% 2/1/2005 1,200 1,276
Petronas Capital Ltd. 7.00% 5/22/2012(3) 425 492
Phillips Petroleum Co. 8.50% 5/25/2005 1,000 1,129
Schlumberger Technology Corp. 6.50% 4/15/2012(3) 400 460
Suncor Energy Inc. 7.15% 2/1/2032 625 734
Texaco Capital Corp. 8.875% 9/1/2021 575 817
Texaco Capital Corp. 8.625% 4/1/2032 175 261
Valero Energy Corp. 6.875% 4/15/2012 425 485
TECHNOLOGY (0.7%)
Avnet Inc. 9.75% 2/15/2008 175 197
Computer Sciences Corp. 6.75% 6/15/2006 225 253
19
- -----------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
Computer Sciences Corp. 5.00% 2/15/2013 400 421
Eastman Kodak Co. 3.625% 5/15/2008 250 251
First Data Corp. 4.70% 11/1/2006 1,000 1,086
Hewlett-Packard Co. 3.625% 3/15/2008 1,300 1,334
International Business Machines Corp. 6.45% 8/1/2007 1,000 1,148
International Business Machines Corp. 7.00% 10/30/2025 550 661
International Business Machines Corp. 7.125% 12/1/2096 275 337
Motorola Inc. 7.625% 11/15/2010 600 699
Motorola Inc. 8.00% 11/1/2011 100 118
Motorola Inc. 7.50% 5/15/2025 200 219
Texas Instruments Inc. 6.125% 2/1/2006 100 107
TRANSPORTATION (0.9%)
American Airlines Inc.
Pass-Through Certificates 7.024% 10/15/2009 725 681
Burlington Northern Santa Fe Corp. 7.875% 4/15/2007 500 587
Burlington Northern Santa Fe Corp. 6.75% 3/15/2029 150 170
Burlington Northern Santa Fe Corp. 7.25% 8/1/2097 350 405
CSX Corp. 9.00% 8/15/2006 750 893
Canadian National Railway Co. 6.80% 7/15/2018 375 468
Canadian Pacific Rail 6.25% 10/15/2011 525 600
Continental Airlines, Inc.
(Equipment Trust Certificates) 6.648% 9/15/2017 283 268
Delta Air Lines, Inc.
Pass-Through Certificates 7.111% 9/18/2011 175 176
ERAC USA Finance Co. 7.35% 6/15/2008(3) 425 494
Hertz Corp. 7.40% 3/1/2011 225 228
Hertz Corp. 7.625% 6/1/2012 125 128
Norfolk Southern Corp. 8.375% 5/15/2005 725 811
Norfolk Southern Corp. 7.90% 5/15/2097 325 404
NorthWest Airlines, Inc.
Pass-Through Certificates 6.841% 4/1/2011 100 99
Southwest Airlines Co. 6.50% 3/1/2012 700 785
Union Pacific Corp. 7.60% 5/1/2005 500 550
Union Pacific Corp. 7.00% 2/1/2016 500 604
United Air Lines 7.032% 10/1/2010 274 233
OTHER
Steelcase Inc. 6.375% 11/15/2006 125 134
--------
134,137
--------
UTILITIES (2.7%)
Electric (2.0%)
AEP Texas Central Co. 5.50% 2/15/2013(3) 350 372
AEP Texas Central Co. 6.65% 2/15/2033(3) 250 274
Alabama Power 4.70% 12/1/2010 275 288
Alabama Power 5.50% 10/15/2017 775 853
American Electric Power 6.125% 5/15/2006 150 164
Arizona Public Service Co. 7.25% 8/1/2023 700 719
Cincinnati Gas & Electric Co. 5.70% 9/15/2012 100 110
Commonwealth Edison 3.70% 2/1/2008 100 103
Commonwealth Edison 4.70% 4/15/2015 100 103
Consolidated Edison Inc. 6.625% 12/15/2005 1,025 1,144
20
- -----------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
Constellation Energy Group Inc. 6.125% 9/1/2009 700 793
Constellation Energy Group Inc. 7.00% 4/1/2012 125 146
Consumers Energy Co. 4.25% 4/15/2008(3) 100 103
Consumers Energy Co. 5.375% 4/15/2013(3) 100 105
Corporacion Andina de Fomento 5.20% 5/21/2013 125 127
DPL Inc. 6.875% 9/1/2011 100 109
Detroit Edison Co. 7.50% 2/1/2005 1,000 1,091
Dominion Resources Capital Trust III 8.40% 1/15/2031 325 414
Duke Capital Corp. 6.75% 2/15/2032 175 178
Duke Energy Corp. 6.45% 10/15/2032 200 216
Energy East Corp. 6.75% 6/15/2012 600 688
Entergy Gulf States, Inc. 3.60% 6/1/2008(3) 150 149
Firstenergy Corp. 5.50% 11/15/2006 350 375
Firstenergy Corp. 6.45% 11/15/2011 800 877
Florida Power & Light 6.875% 12/1/2005 1,000 1,118
Georgia Power Co. 5.125% 11/15/2012 225 242
HQI Transelec Chile SA 7.875% 4/15/2011 675 783
Korea Electric Power 4.25% 9/12/2007(3) 825 851
MidAmerican Energy Co. 6.75% 12/30/2031 825 944
National Rural Utilities
Cooperative Finance Corp. 6.50% 3/1/2007 500 563
National Rural Utilities
Cooperative Finance Corp. 5.75% 8/28/2009 1,000 1,113
NiSource Finance Corp. 7.875% 11/15/2010 150 177
Oncor Electric Delivery 6.375% 5/1/2012 150 171
Oncor Electric Delivery 6.375% 1/15/2015(3) 200 226
Oncor Electric Delivery 7.25% 1/15/2033(3) 200 236
PECO Energy Co. 5.95% 11/1/2011 400 454
PSEG Power Corp. 6.875% 4/15/2006 225 250
PSEG Power Corp. 7.75% 4/16/2007(3) 150 161
PSEG Power Corp. 7.75% 4/15/2011 100 119
PSEG Power Corp. 6.95% 6/1/2012 200 230
PSEG Power Corp. 8.625% 4/15/2031 200 257
PacifiCorp 6.90% 11/15/2011 275 331
Pepco Holdings Inc. 6.45% 8/15/2012 100 113
Progress Energy Inc. 6.05% 4/15/2007 100 110
Progress Energy Inc. 7.10% 3/1/2011 850 990
SCANA Corp. 6.25% 2/1/2012 600 679
Tenaga Nasional 7.50% 1/15/2096(3) 125 108
Virginia Electric & Power Co. 5.375% 2/1/2007 125 137
Virginia Electric & Power Co. 6.75% 10/1/2023 175 175
XCEL ENERGY INC. 7.00% 12/1/2010 125 146
Natural Gas (0.5%)
Columbia Energy Group 7.62% 11/28/2025 150 165
Consolidated Natural Gas 5.375% 11/1/2006 725 791
Consolidated Natural Gas 6.25% 11/1/2011 500 572
Duke Energy Field Services 7.50% 8/16/2005 225 246
Duke Energy Field Services 8.125% 8/16/2030 400 499
Enterprise Products 8.25% 3/15/2005 700 770
Keyspan Corp. 7.25% 11/15/2005 1,175 1,317
Kinder Morgan Energy Partners, LP 7.30% 8/15/2033 250 298
21
- -----------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------
Kinder Morgan Inc. 6.50% 9/1/2012 250 286
Texas Gas Transmission Corp. 4.60% 6/1/2015(3) 150 148
OTHER (0.2%)
Hydro-Quebec 6.30% 5/11/2011 500 590
Hydro-Quebec 7.50% 4/1/2016 1,000 1,308
---------
27,175
---------
- -----------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $371,111) 392,934
- -----------------------------------------------------------------------------------------------------
SOVEREIGN BONDS (U.S. Dollar-Denominated)(2.1%)
- -----------------------------------------------------------------------------------------------------
Federation of Malaysia 8.75% 6/1/2009 250 318
Federation of Malaysia 7.50% 7/15/2011 400 486
Province of Manitoba 6.125% 1/19/2004 1,000 1,026
Province of New Brunswick 3.50% 10/23/2007 1,000 1,040
Province of Newfoundland 7.32% 10/13/2023 600 775
Province of Ontario 5.50% 10/1/2008 1,750 1,978
Province of Quebec 5.00% 7/17/2009 1,500 1,647
Province of Saskatchewan 6.625% 7/15/2003 200 200
Province of Saskatchewan 8.00% 7/15/2004 150 158
Province of Saskatchewan 7.375% 7/15/2013 400 518
Republic of Chile 5.625% 7/23/2007 750 814
Republic of El Salvador 8.25% 4/10/2032(3) 325 317
Republic of Finland 7.875% 7/28/2004 1,000 1,072
Republic of Italy 4.375% 10/25/2006 500 539
Republic of Italy 3.625% 9/14/2007 2,150 2,260
Republic of Italy 5.625% 6/15/2012 1,650 1,900
Republic of Korea 4.25% 6/1/2013 250 243
Republic of Portugal 5.75% 10/8/2003 175 177
Republic of South Africa 7.375% 4/25/2012 500 573
Republic of South Africa 8.50% 6/23/2017 250 305
State of Israel 4.625% 6/15/2013 125 123
United Mexican States 8.625% 3/12/2008 175 210
United Mexican States 4.625% 10/8/2008 325 332
United Mexican States 8.375% 1/14/2011 1,725 2,066
United Mexican States 6.375% 1/16/2013 250 265
United Mexican States 8.30% 8/15/2031 1,550 1,790
United Mexican States 7.50% 4/8/2033 150 159
- -----------------------------------------------------------------------------------------------------
TOTAL SOVEREIGN BONDS (Cost $19,949) 21,291
- -----------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.5%)
- -----------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS
Collateralized by U.S. Government Obligations
in a Pooled Cash Account--Note E 1.15-1.16% 7/1/2003 10,323 10,323
Collateralized by U.S. Government Obligations
in a Pooled Cash Account 1.16% 7/1/2003 24,956 24,956
- -----------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $35,279) 35,279
- -----------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.9%)
(Cost $989,315) 1,027,349
- -----------------------------------------------------------------------------------------------------
22
- -----------------------------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- -----------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.9%)
- -----------------------------------------------------------------------------------------------------
Other Assets 32,337
Payables for Investment Securities Purchased (38,030)
Other Liabilities--Note E (12,989)
--------
(18,682)
- -----------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- -----------------------------------------------------------------------------------------------------
Applicable to 19,084,474 outstanding $.001 par value shares of beneficial interest
(unlimited authorization) $1,008,667
=====================================================================================================
NET ASSET VALUE PER SHARE $52.85
=====================================================================================================
*See Note A in Notes to Financial Statements.
(1) The average maturity is shorter than the final maturity shown due to
scheduled interim principal payments.
(2) After giving effect to total return swap contracts, the fund's investments
in government mortgage-backed and asset-backed/commercial mortgage-backed
securities represent 34.3% and 8.8%, respectively, of net assets. See Note
C in Notes to Financial Statements.
(3) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 2003,
the aggregate value of these securities was $18,784,000, representing 1.9%
of net assets.
- -----------------------------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- -----------------------------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- -----------------------------------------------------------------------------------------------------
Paid-in Capital $ 968,171 $50.73
Overdistributed Net Investment Income (509) (.03)
Accumulated Net Realized Gains 2,658 .14
Unrealized Appreciation
Investment Securities 38,034 1.99
Swap Contracts 313 .02
- -----------------------------------------------------------------------------------------------------
NET ASSETS $1,008,667 $52.85
=====================================================================================================
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 the fund during the reporting
period, and details the operating expenses charged to the fund. 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.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL BOND
MARKET INDEX FUND
SIX MONTHS ENDED JUNE 30, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Interest $20,752
Security Lending 12
- --------------------------------------------------------------------------------
Total Income 20,764
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative 261
- --------------------------------------------------------------------------------
Total Expenses 261
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 20,503
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
- --------------------------------------------------------------------------------
Investment Securities Sold 6,203
Swap Contracts 290
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 6,493
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 13,448
Swap Contracts 184
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 13,632
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $40,628
================================================================================
24
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. Because the fund distributes its income to
shareholders each day, the amounts of Distributions--Net Investment Income
approximate the net income earned as shown under the Operations section. The
amounts of Distributions--Realized Capital Gain may not match the capital gains
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 gains were
realized on the financial statements. The Capital Share Transactions section
shows the amount shareholders invested in the fund, either by purchasing shares
or by reinvesting distributions, as well as the amounts redeemed. The
corresponding numbers of Shares Issued and Redeemed are shown at the end of the
Statement.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL BOND
MARKET INDEX FUND
------------------------
SIX MONTHS ENDED APRIL 26* TO
JUNE 30, 2003 DEC. 31, 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 20,503 $ 19,184
Realized Net Gain (Loss) 6,493 291
Unrealized Appreciation (Depreciation) 13,632 24,715
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 40,628 44,190
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (21,517) (18,969)
Realized Capital Gain** -- (227)
- --------------------------------------------------------------------------------
Total Distributions (21,517) (19,196)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS1
Issued 174,853 1,012,589
Issued in Lieu of Cash Distributions 16,201 11,291
Redeemed (206,561) (43,811)
- --------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (15,507) 980,069
- --------------------------------------------------------------------------------
Total Increase (Decrease) 3,604 1,005,063
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,005,063 --
- --------------------------------------------------------------------------------
End of Period $1,008,667 $1,005,063
================================================================================
1Shares Issued (Redeemed)
Issued 3,344 20,000
Issued in Lieu of Cash Distributions 309 220
Redeemed (3,936) (853)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding (283) 19,367
================================================================================
*Inception.
**Includes fiscal 2002 short-term gain distributions totaling $227,000.
Short-term gain distributions are treated as ordinary income for tax purposes.
25
FINANCIAL HIGHLIGHTS
This table summarizes the fund's investment results and distributions to
shareholders on a per-share basis. 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.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- --------------------------------------------------------------------------------
SIX MONTHS ENDED APRIL 26* TO
JUNE 30, DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002
- --------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $51.89 $50.00
- --------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.029 1.701
Net Realized and Unrealized Gain (Loss) on Investments .998 1.891
- --------------------------------------------------------------------------------
Total from Investment Operations 2.027 3.592
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.067) (1.690)
Distributions from Realized Capital Gains -- (.012)
- --------------------------------------------------------------------------------
Total Distributions (1.067) (1.702)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $52.85 $51.89
================================================================================
TOTAL RETURN 3.94% 7.30%
================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,009 $1,005
Ratio of Total Expenses to
Average Net Assets 0.05%** 0.05%**
Ratio of Net Investment Income to
Average Net Assets 3.97%** 4.57%**
Portfolio Turnover Rate+ 80%** 64%
================================================================================
*Inception.
**Annualized.
+Portfolio turnover rates excluding in-kind redemptions were 61%, and 64%,
respectively.
Notes to Financial Statements
Vanguard Institutional Total Bond Market Index Fund is registered under the
Investment Company Act of 1940 as an open-end investment company, or mutual
fund. The fund is offered to investors who meet certain administrative and
servicing criteria and invest a minimum of $100 million. The fund commenced
operations on April 26, 2002. Certain of the fund's investments are in corporate
debt instruments; the issuers' abilities to meet their obligations may be
affected by economic developments in their respective industries.
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: Bonds, and temporary cash investments acquired over
60 days to maturity, are valued using the latest bid prices or using valuations
based on a matrix system (which considers such factors as security prices,
26
yields, maturities, and ratings), both as furnished by independent pricing
services. Other temporary cash investments are valued at amortized cost, which
approximates market value. Securities for which market quotations are not
readily available, or whose values have been materially affected by events
occurring before the 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.
2. SWAP CONTRACTS: The fund has entered into swap transactions to earn the
total return on a specified security or index of fixed income securities. Under
the terms of the swaps, the fund receives the total return (either receiving the
increase or paying the decrease) on a reference security or index applied to a
notional principal amount. In return, the fund agrees to pay the counterparty a
floating rate, which is reset periodically based on short-term interest rates,
applied to the same notional amount. At the same time, the fund invests an
amount equal to the notional amount of the swaps in high-quality floating-rate
securities.
The notional amounts of swap contracts are not recorded in the financial
statements. Swaps are valued daily, and the change in value is recorded as
unrealized appreciation (depreciation) until the termination of the swap, at
which time realized gain (loss) is recorded. The net interest to be received or
paid by the fund under swap contracts is accrued daily and included in interest
income. The primary risk associated with total return swaps is that a
counterparty will default on its obligation to pay net amounts due to the fund.
3. REPURCHASE AGREEMENTS: The fund, along with other members of The
Vanguard Group, transfers uninvested cash balances into 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 income. Accordingly, no
provision for federal income taxes is required in the financial statements.
5. DISTRIBUTIONS: Distributions from net investment income are declared
daily and paid on the first business day of the following month. Annual
distributions from realized capital gains, if any, are recorded on the
ex-dividend date.
6. OTHER: Security transactions are accounted for on the date securities
are bought or sold. Costs used to determine realized gains (losses) on the sale
of investment securities are those of the specific securities sold. Premiums and
discounts on debt securities purchased are amortized and accreted, respectively,
to interest income over the lives of the respective securities.
B. The Vanguard Group provides investment advisory, corporate management,
administrative, marketing, and distribution services and pays for all other
operating expenses, except for taxes, in return for a fee calculated at an
annual percentage rate of the average net assets of the fund. The fund's
trustees and officers are also directors and officers of Vanguard.
C. Capital gain distributions are determined on a tax basis and may differ from
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 gains or losses are recognized in different periods for
financial statement and tax purposes; these differences will reverse at some
time in the future.
During the six months ended June 30, 2003, the fund realized $3,609,000 of
net capital gains resulting from in-kind redemptions--in which shareholders
exchanged fund shares for securities held by the fund rather than for cash.
Because such gains are not taxable to the fund, and are not distributed to
shareholders, they have been reclassified from accumulated net realized gains to
paid-in capital.
27
Notes to Financial Statements (continued)
Realized and unrealized gains (losses) on the fund's total return swap
contracts are treated as ordinary income (loss) for tax purposes. Realized gains
on swap contracts of $290,000 have been reclassified from accumulated net
realized gains to undistributed net investment income. The net amount of
realized and unrealized gains and losses on swap contracts is accumulated
monthly and included in income dividends paid to shareholders in the following
month.
At June 30, 2003, net unrealized appreciation of investment securities for
tax purposes was $38,034,000, consisting of unrealized gains of $38,520,000 on
securities that had risen in value since their purchase and $486,000 in
unrealized losses on securities that had fallen in value since their purchase.
At June 30, 2003, the fund had the following open swap contracts:
- ----------------------------------------------------------------------------------------------------------------
FLOATING UNREALIZED
NOTIONAL INTEREST APPRECIATION
AMOUNT RATE (DEPRECIATION)
REFERENCE ENTITY/TERMINATION DATE DEALER* (000) PAID** (000)
- ----------------------------------------------------------------------------------------------------------------
FNMA, 5.00% 15-Year 7/17/2003 UBS $ 4,000 0.19% $ 17
Commercial Mortgage-Backed Securities Index
7/31/2003 MSCP 3,000 0.87 82
Commercial Mortgage-Backed Securities Index
7/31/2003 LB 900 0.92 29
FNMA, 5.00% 15-Year 8/18/2003 UBS 7,000 0.64 (22)
Commercial Mortgage-Backed Securities Index
8/29/2003 MSCP 5,100 1.12 163
FNMA, 4.50% 15-Year 9/18/2003 UBS 1,000 0.79 (7)
Commercial Mortgage-Backed Securities Index
10/30/2003 JPM 4,000 1.12 87
Commercial Mortgage-Backed Securities Index
11/30/2003 BS 6,000 0.97 (22)
Commercial Mortgage-Backed Securities Index
11/30/2003 BS 4,000 0.92 (14)
---------
$313
- ----------------------------------------------------------------------------------------------------------------
*BS--Bear Stearns.
JPM--J.P. Morgan.
LB--Lehman Brothers.
MSCP--Morgan Stanley Credit Products.
UBS--UBS Warburg.
**Based on one-month London InterBank Offered Rate (LIBOR).
Unrealized appreciation (depreciation) on open total return swap contracts is
required to be treated as ordinary income (loss) for tax purposes.
D. During the six months ended June 30, 2003, the fund purchased $88,139,000 of
investment securities and sold $75,055,000 of investment securities other than
U.S. government securities and temporary cash investments. Purchases and sales
of U.S. government securities were $437,573,000 and $334,923,000, respectively.
E. The market value of securities on loan to broker/dealers at June 30, 2003,
was $24,397,000, for which the fund held as collateral cash of $10,323,000 and
U.S. Government and Agency securities with a market value of $15,004,000. 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. Security loans are required to be secured at all times by collateral at
least equal to the market value of securities loaned; 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.
28
- --------------------------------------------------------------------------------
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 LOGO]
Post Office Box 2600
Valley Forge, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com,
Wellington, and the ship logo are
trademarks of The Vanguard Group, Inc.
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
INSTITUTIONAL INVESTOR
SERVICES
1-800-523-1036
TEXT TELEPHONE
1-800-952-3335
(C) 2003 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
Q3372 082003
VANGUARD(R) INSTITUTIONAL
TOTAL STOCK MARKET INDEX FUND
SEMIANNUAL REPORT
JUNE 30, 2003
THE VANGUARD GROUP(R) LOGO
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
* The Institutional Shares of Vanguard Institutional Total Stock Market Index
Fund matched the 12.9% return of the Wilshire 5000 Total Market Index
during the first half of 2003.
* Small-capitalization stocks outperformed large-caps, and growth-oriented
stocks generally outperformed value stocks.
* The technology and consumer discretionary sectors recorded the highest
returns for the six months.
- --------------------------------------------------------------------------------
CONTENT
1 Letter from the Chairman
5 Fund Profile
6 Glossary of Investment Terms
7 Performance Summary
8 Financial Statements
50 Advantages of Vanguard.com
- --------------------------------------------------------------------------------
Letter from the Chairman PICTURE OF
JOHN J. BRENNAN
Dear 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. The
Institutional Shares of Vanguard Institutional Total Stock Market Index Fund
returned 12.9%, matching the six-month return of the Wilshire 5000 Total Market
Index. (The lower-cost Institutional Plus Shares returned 10 basis points (0.1
percentage point) more than the index.)
The adjacent table presents the returns of the fund and its comparative
standards. The components of the fund's total returns--the change in net asset
value during the half-year plus reinvested dividends--appear in the table on
page 4.
- --------------------------------------------------------
TOTAL RETURNS SIX MONTHS ENDED
JUNE 30, 2003
- --------------------------------------------------------
Vanguard Institutional Total
Stock Market Index Fund
Institutional Shares 12.9%
Institutional Plus Shares 13.0
Average Multi-Cap Core Fund* 12.0
Wilshire 5000 Index 12.9
- --------------------------------------------------------
*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, 2003. Indeed,
the start of the war in mid-March marked the beginning of a sharp rally in
stocks.
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) 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.
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 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.
1
Treasury note fell 30 basis points to 3.51%, as bond prices rose.
- --------------------------------------------------------------------------------
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.
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, tracking Fed moves
with a lag--fell 34 basis points during the six months to 0.85%, well below the
inflation rate.
TECHNOLOGY STOCKS BOUNCED BACK
VanguardInstitutional Total Stock Market Index Fund performed strongly during
the six months, fueled by a rebound in technology and other growth-oriented
stocks. Technology stocks, which delivered some of the market's worst returns
during the past few years, were some of the best performers in the past six
months. The stocks of hardware and software makers benefited from signs 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 fund's returns.
Consumer discretionary stocks--the retailers, restaurants, and
entertainment purveyors that often command above-market valuations--were another
important contributor to the fund's performance. These stocks returned 17.1%,
adding 2.6 percentage points to the fund's returns, as hints of a better
economic environment enhanced the sector's prospective fortunes.
- --------------------------------------------------------------------------------
After a prolonged slowdown in corporate investment, investors began to
anticipate a rebound in capital spending.
- --------------------------------------------------------------------------------
No industry sector recorded a loss, but consumer staples stocks, which had
held up relatively well during the stock market's long downturn, recorded the
lowest return (+5.1%) of any industry sector, as investors turned their
attention to the market's more aggressive fare. Materials & processing (+5.7%),
integrated oils (+7.2%), and auto & transportation (+7.7%) were also among the
weaker-performing sectors.
2
For the record, the returns of Vanguard Institutional Total Stock Market
Index Fund surpassed the 12.0% return of the fund's peer-group average, which is
made up primarily of actively managed funds. Six-month comparisons reveal little
about the benefits of indexing, but over time, the broad diversification and
rock-bottom operating costs of a well-executed indexing strategy--as embodied in
the Institutional Total Stock Market Index Fund--are tough to beat. We've
managed index portfolios for more than a quarter of a century, and our
confidence in the strategy's merits has been reinforced year after year.
BALANCE FOR THE LONG RUN
The past six months delivered the first piece of sustained good news for stock
market investors in more than three years. The recovery was long in coming, but
not unexpected. The markets move in cycles, and a long, grinding downturn can be
expected to eventually give way to a recovery. Although no one knows when the
cycles will turn, it's important to structure an investment program that can
benefit from periods of growth with some protection against periods of decline
by investing in stocks, bonds, and money market funds in proportions that
reflect the unique goals and circumstances of your institution.
Although there are many ways to organize the equity component of your
investment plan, few approaches can provide the broad diversification and
relative predictability of Vanguard Institutional Total Stock Market Index Fund
at such an exceptionally low cost.
Thank you for entrusting us with your institution's assets.
Sincerely,
/S/JOHN J. BRENNAN
John J. Brennan
Chairman and Chief Executive Officer
July 17, 2003
3
- --------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------
Institutional Total Stock
Market Index Fund
Institutional Shares $18.00 $20.17 $0.140 $0.000
Institutional Plus Shares 18.00 20.18 0.143 0.000
- --------------------------------------------------------------------------------
4
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 6.
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND
- -----------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- -----------------------------------------------------
Number of Stocks 3,362 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%
Institutional Shares 1.6%
Institutional Plus Shares 1.6%
Return on Equity 20.5% 20.5%
Earnings Growth Rate 8.6% 8.6%
Foreign Holdings 1.0% 0.9%
Turnover Rate 6%** --
Expense Ratio --
Institutional Shares 0.06%**
Institutional Plus Shares 0.025%**
Cash Investments 0.1% --
- -----------------------------------------------------
- --------------------------------------------
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 1.3
(pharmaceuticals)
American International Group, Inc. 1.3
(insurance)
International Business Machines Corp. 1.2
(computer hardware)
Intel Corp. 1.2
(electronics)
- --------------------------------------------
Top Ten 18.4%
- --------------------------------------------
- -----------------------------------------------------
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 22.2 22.3
Health Care 14.3 14.3
Integrated Oils 3.5 3.5
Other Energy 2.2 2.3
Materials & Processing 3.6 3.6
Producer Durables 4.0 4.0
Technology 13.6 13.5
Utilities 7.0 7.1
Other 4.3 4.2
Cash Investments 0.1% --
- -----------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- ------------------------
INVESTMENT FOCUS
MARKET CAP Large
STYLE Blend
- ------------------------
*Wilshire 5000 Index.
**Annualized.
VISIT OUR WEBSITE AT
WWW.VANGUARD.COM
FOR REGULARLY UPDATED FUND INFORMATION.
5
GLOSSARY OF INVESTMENT TERMS
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.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
6
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.
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) AUGUST 31, 2001-JUNE 30, 2003
INSTITUTIONAL TOTAL
STOCK MARKET INDEX FUND WILSHIRE
INSTITUTIONAL SHARES 5000 INDEX
2001 2.3 2.3
2002 -20.8 -20.9
2003* 12.9 12.9
- --------------------------------------------------------------------------------
*Six months ended June 30, 2003.
NOTE: See Financial Highlights tables on pages 45 and 46 for dividend and
capital gains information.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003
SINCE INCEPTION
ONE ----------------------------
INCEPTION DATE YEAR CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------
Institutional Total Stock
Market Index Fund
Institutional Shares 8/31/2001 1.42% -6.30% 1.58% -4.72%
Institutional Plus Shares 5/31/2001 1.51 -9.78 1.38 -8.40
- --------------------------------------------------------------------------------
7
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
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (98.9%)(1)
- --------------------------------------------------------------------------------
General Electric Co. 821,867 $ 23,571
Microsoft Corp. 882,186 22,593
Pfizer Inc. 649,485 22,180
ExxonMobil Corp. 549,015 19,715
Wal-Mart Stores, Inc. 359,307 19,284
Citigroup, Inc. 423,676 18,133
Johnson & Johnson 244,185 12,624
American International
Group, Inc. 214,201 11,820
International Business
Machines Corp. 142,032 11,718
Intel Corp. 538,784 11,198
Merck & Co., Inc. 184,006 11,142
Bank of America Corp. 123,050 9,725
* Cisco Systems, Inc. 577,057 9,631
The Procter & Gamble Co. 106,255 9,476
The Coca-Cola Co. 202,201 9,384
Verizon Communications 225,859 8,910
Altria Group, Inc. 166,796 7,579
SBC Communications Inc. 273,422 6,986
Wells Fargo & Co. 138,011 6,956
* Berkshire Hathaway Inc. Class A 95 6,888
* Amgen, Inc. 103,339 6,866
* Dell Computer Corp. 211,374 6,756
Eli Lilly & Co. 92,058 6,349
ChevronTexaco Corp. 87,538 6,320
PepsiCo, Inc. 141,548 6,299
* Viacom Inc. Class B 144,245 6,298
Home Depot, Inc. 188,876 6,256
* AOL Time Warner Inc. 369,154 5,940
United Parcel Service, Inc. 92,218 5,874
J.P. Morgan Chase & Co. 166,867 5,704
Abbott Laboratories 128,070 5,604
Fannie Mae 81,121 5,471
Hewlett-Packard Co. 250,095 5,327
* Oracle Corp. 431,783 5,190
Wyeth 108,595 4,947
* Comcast Corp. Class A 159,076 4,801
Medtronic, Inc. 99,888 4,792
American Express Co. 106,463 4,451
Wachovia Corp. 110,421 4,412
Bristol-Myers Squibb Co. 158,761 4,310
3M Co. 31,941 4,120
BellSouth Corp. 152,496 4,061
U.S. Bancorp 156,993 3,846
Morgan Stanley 88,702 3,792
Merrill Lynch & Co., Inc. 75,920 3,544
Bank One Corp. 94,805 3,525
Anheuser-Busch Cos., Inc. 68,489 3,496
E.I. du Pont de Nemours & Co. 81,463 3,392
The Walt Disney Co. 167,378 3,306
The Goldman Sachs Group, Inc. 38,645 3,236
Washington Mutual, Inc. 76,381 3,154
ConocoPhillips 55,386 3,035
Freddie Mac 56,940 2,891
Target Corp. 74,437 2,817
Lowe's Cos., Inc. 63,967 2,747
8
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
United Technologies Corp. 38,486 $ 2,726
Fifth Third Bancorp 47,282 2,711
* eBay Inc. 25,933 2,702
Gillette Co. 83,824 2,671
Colgate-Palmolive Co. 44,092 2,555
FleetBoston Financial Corp. 85,970 2,554
First Data Corp. 61,612 2,553
Walgreen Co. 83,985 2,528
Texas Instruments, Inc. 141,789 2,495
UnitedHealth Group Inc. 49,656 2,495
Cardinal Health, Inc. 37,019 2,380
The Boeing Co. 68,873 2,364
* Liberty Media Corp. 202,668 2,343
Dow Chemical Co. 74,674 2,312
QUALCOMM Inc. 64,620 2,310
McDonald's Corp. 104,016 2,295
Schlumberger Ltd. 47,682 2,268
Marsh & McLennan Cos., Inc. 43,995 2,247
Schering-Plough Corp. 120,147 2,235
Kimberly-Clark Corp. 42,103 2,195
MBNA Corp. 104,640 2,181
* Applied Materials, Inc. 135,172 2,144
* Clear Channel
Communications, Inc. 50,209 2,128
Allstate Corp. 57,536 2,051
* Boston Scientific Corp. 33,363 2,038
* EMC Corp. 180,264 1,887
Honeywell International Inc. 70,067 1,881
* AT&T Wireless Services Inc. 222,029 1,823
Southern Co. 58,402 1,820
The Bank of New York Co., Inc. 62,768 1,805
Motorola, Inc. 188,553 1,778
Lockheed Martin Corp. 37,254 1,772
Alcoa Inc. 69,189 1,764
Metropolitan Life Insurance Co. 62,259 1,763
Emerson Electric Co. 34,434 1,760
* InterActiveCorp 42,793 1,693
Gannett Co., Inc. 21,894 1,682
Carnival Corp. 51,490 1,674
Automatic Data Processing, Inc. 49,134 1,664
Illinois Tool Works, Inc. 25,156 1,657
Ford Motor Co. 150,320 1,652
General Motors Corp. 45,884 1,652
National City Corp. 50,101 1,639
* Forest Laboratories, Inc. 29,654 1,624
Dominion Resources, Inc. 25,099 1,613
* Yahoo! Inc. 49,184 1,611
Sysco Corp. 53,496 1,607
Exelon Corp. 26,421 1,580
Caterpillar, Inc. 28,154 1,567
* Cox Communications, Inc. Class A 48,507 1,547
* Cendant Corp. 84,358 1,545
* NEXTEL Communications, Inc. 84,163 1,522
Prudential Financial, Inc. 45,123 1,518
FedEx Corp. 24,458 1,517
SLM Corp. 37,608 1,473
Duke Energy Corp. 73,016 1,457
General Mills, Inc. 30,185 1,431
* Kohl's Corp. 27,568 1,416
International Paper Co. 39,189 1,400
SunTrust Banks, Inc. 23,057 1,368
* Costco Wholesale Corp. 37,314 1,366
The Gap, Inc. 72,401 1,358
HCA Inc. 42,036 1,347
BB&T Corp. 38,564 1,323
Lehman Brothers Holdings, Inc. 19,796 1,316
Travelers Property Casualty Corp.
Class B 82,444 1,300
AFLAC Inc. 42,259 1,299
Progressive Corp. of Ohio 17,756 1,298
* Genentech, Inc. 17,986 1,297
Northrop Grumman Corp. 14,876 1,284
Baxter International, Inc. 48,534 1,262
ALLTEL Corp. 25,448 1,227
AT&T Corp. 63,119 1,215
Sara Lee Corp. 64,054 1,205
* Sun Microsystems, Inc. 261,760 1,204
Union Pacific Corp. 20,746 1,204
Tribune Co. 24,912 1,203
Avon Products, Inc. 19,203 1,194
General Dynamics Corp. 16,400 1,189
Waste Management, Inc. 48,693 1,173
* Amazon.com, Inc. 32,037 1,169
* General Motors Corp. Class H 90,748 1,162
* Best Buy Co., Inc. 26,344 1,157
NIKE, Inc. Class B 21,628 1,157
The Hartford Financial
Services Group Inc. 22,851 1,151
Kellogg Co. 33,407 1,148
PNC Financial Services Group 23,233 1,134
Stryker Corp. 16,131 1,119
Charles Schwab Corp. 110,077 1,111
Guidant Corp. 24,905 1,106
Omnicom Group Inc. 15,319 1,098
Southwest Airlines Co. 63,377 1,090
Raytheon Co. 33,164 1,089
State Street Corp. 27,165 1,070
Newmont Mining Corp.
(Holding Company) 32,835 1,066
Sprint Corp. 73,179 1,054
Computer Associates
International, Inc. 47,043 1,048
* The Kroger Co. 62,282 1,039
ConAgra Foods, Inc. 43,972 1,038
9
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Analog Devices, Inc. 29,703 $ 1,034
Occidental Petroleum Corp. 30,806 1,033
Wm. Wrigley Jr. Co. 18,365 1,033
* WellPoint Health Networks Inc.
Class A 12,042 1,015
Devon Energy Corp. 18,715 999
Golden West Financial Corp. 12,487 999
FPL Group, Inc. 14,872 994
Harley-Davidson, Inc. 24,738 986
The McGraw-Hill Cos., Inc. 15,779 978
Mellon Financial Corp. 35,095 974
* Veritas Software Corp. 33,539 962
Weyerhaeuser Co. 17,723 957
Masco Corp. 40,123 957
Entergy Corp. 18,006 950
American Electric Power Co., Inc. 31,649 944
H.J. Heinz Co. 28,573 942
* Bed Bath & Beyond, Inc. 24,060 934
FirstEnergy Corp. 24,030 924
Baker Hughes, Inc. 27,298 916
The Chubb Corp. 15,061 904
Paychex, Inc. 30,803 903
Equity Office Properties Trust REIT 33,405 902
Anadarko Petroleum Corp. 20,222 899
CVS Corp. 31,935 895
Maxim Integrated Products, Inc. 26,178 895
* Gilead Sciences, Inc. 16,102 895
Capital One Financial Corp. 18,044 887
Deere & Co. 19,380 886
* Anthem, Inc. 11,410 880
Burlington Resources, Inc. 16,218 877
* Apollo Group, Inc. Class A 14,173 875
KeyCorp 34,571 874
* Electronic Arts Inc. 11,700 866
Burlington Northern Santa Fe Corp. 30,391 864
Sears, Roebuck & Co. 25,467 857
McKesson Corp. 23,610 844
Progress Energy, Inc. 19,185 842
The Principal Financial Group, Inc. 26,000 839
Apache Corp. 12,880 838
Danaher Corp. 12,248 833
Electronic Data Systems Corp. 38,506 826
* St. Jude Medical, Inc. 14,288 822
* Fox Entertainment Group, Inc.
Class A 28,452 819
Linear Technology Corp. 25,422 819
Allergan, Inc. 10,594 817
Halliburton Co. 35,350 813
Campbell Soup Co. 33,138 812
Franklin Resources Corp. 20,720 809
M & T Bank Corp. 9,510 801
TJX Cos., Inc. 42,332 798
Becton, Dickinson & Co. 20,441 794
Consolidated Edison Inc. 18,328 793
Praxair, Inc. 12,991 781
* Corning, Inc. 103,909 768
Public Service Enterprise
Group, Inc. 18,158 767
* Starbucks Corp. 31,237 766
Air Products & Chemicals, Inc. 18,301 761
SouthTrust Corp. 27,988 761
Hershey Foods Corp. 10,924 761
Countrywide Financial Corp. 10,817 752
The Clorox Co. 17,615 751
* Comcast Corp. Special Class A 26,044 751
* Intuit, Inc. 16,691 743
Northern Trust Corp. 17,766 742
* MedImmune Inc. 20,366 741
* Genzyme Corp.-General Division 17,625 737
Kraft Foods Inc. 22,555 734
* Agilent Technologies, Inc. 37,398 731
Aetna Inc. 12,087 728
Pitney Bowes, Inc. 18,896 726
* Safeway, Inc. 35,139 719
Marriott International, Inc. Class A 18,697 718
* KLA-Tencor Corp. 15,350 714
* Staples, Inc. 38,778 712
* Lexmark International, Inc. 10,054 712
John Hancock Financial
Services, Inc. 23,074 709
* Zimmer Holdings, Inc. 15,556 701
Loews Corp. 14,727 696
* Yum! Brands, Inc. 23,464 694
* International Game Technology 6,719 688
* Xilinx, Inc. 27,068 685
* PG&E Corp. 32,357 684
PPG Industries, Inc. 13,474 684
* Xerox Corp. 64,303 681
* EchoStar Communications Corp.
Class A 19,504 675
* Lucent Technologies, Inc. 331,330 673
Mattel, Inc. 35,044 663
Archer-Daniels-Midland Co. 51,393 661
* Chiron Corp. 15,050 658
St. Paul Cos., Inc. 17,925 654
Marathon Oil Corp. 24,743 652
Coca-Cola Enterprises, Inc. 35,891 651
* Qwest Communications
International Inc. 135,302 647
Comerica, Inc. 13,904 646
Limited Brands, Inc. 41,668 646
Eastman Kodak Co. 23,341 638
Ingersoll-Rand Co. 13,351 632
Newell Rubbermaid, Inc. 22,508 630
10
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Moody's Corp. 11,927 $ 629
PACCAR, Inc. 9,191 621
AmSouth Bancorp 28,255 617
Fortune Brands, Inc. 11,776 615
H & R Block, Inc. 14,146 612
AmerisourceBergen Corp. 8,653 600
Johnson Controls, Inc. 6,993 599
Aon Corp. 24,713 595
* Concord EFS, Inc. 40,398 595
Norfolk Southern Corp. 30,964 594
Biomet, Inc. 20,645 592
Adobe Systems, Inc. 18,347 588
Regions Financial Corp. 17,336 586
Unocal Corp. 20,339 583
Simon Property Group, Inc. REIT 14,860 580
PPL Corp. 13,454 578
* AutoZone Inc. 7,606 578
* SunGard Data Systems, Inc. 22,292 578
Albertson's, Inc. 29,927 575
TXU Corp. 25,404 570
E.W. Scripps Co. Class A 6,417 569
Ameren Corp. 12,880 568
Bear Stearns Co., Inc. 7,801 565
* Computer Sciences Corp. 14,789 564
* Apple Computer, Inc. 29,328 561
* Micron Technology, Inc. 48,192 560
Marshall & Ilsley Corp. 18,276 559
* Broadcom Corp. 22,427 559
MBIA, Inc. 11,454 558
Equity Residential REIT 21,380 555
Charter One Financial, Inc. 17,704 552
* Transocean Inc. 25,031 550
Ambac Financial Group, Inc. 8,289 549
Federated Department Stores, Inc. 14,809 546
* Univision Communications Inc. 17,932 545
Rohm & Haas Co. 17,353 538
* Quest Diagnostics, Inc. 8,437 538
* Fiserv, Inc. 15,084 537
New York Times Co. Class A 11,783 536
Ecolab, Inc. 20,700 530
* Caremark Rx, Inc. 20,486 526
CIGNA Corp. 11,185 525
Kinder Morgan, Inc. 9,477 518
Family Dollar Stores, Inc. 13,520 516
Synovus Financial Corp. 23,961 515
* Symantec Corp. 11,698 513
Mylan Laboratories, Inc. 14,678 510
Washington Post Co. Class B 692 507
DTE Energy Co. 13,066 505
CSX Corp. 16,741 504
Cinergy Corp. 13,643 502
May Department Stores Co. 22,350 497
Lincoln National Corp. 13,852 494
Union Planters Corp. 15,879 493
* Altera Corp. 30,006 492
* Sprint PCS 84,009 483
UnionBanCal Corp. 11,593 480
Cintas Corp. 13,430 476
Sempra Energy 16,657 475
Dollar General Corp. 26,020 475
Dover Corp. 15,763 472
* Affiliated Computer Services, Inc.
Class A 10,240 468
Cincinnati Financial Corp. 12,580 467
ITT Industries, Inc. 7,104 465
Xcel Energy, Inc. 30,874 464
Eaton Corp. 5,897 464
Jefferson-Pilot Corp. 11,139 462
UST, Inc. 13,176 462
* Nabors Industries, Inc. 11,658 461
* PeopleSoft, Inc. 26,078 459
* Weatherford International Ltd. 10,886 456
Starwood Hotels &
Resorts Worldwide, Inc. 15,928 455
* BJ Services Co. 12,162 454
Constellation Energy Group, Inc. 13,211 453
Monsanto Co. 20,836 451
* CNA Financial Corp. 18,233 448
* Biogen, Inc. 11,783 448
Knight Ridder 6,409 442
* Tenet Healthcare Corp. 37,541 437
Genuine Parts Co. 13,516 433
The Pepsi Bottling Group, Inc. 21,586 432
Lennar Corp. Class A 6,030 431
First Tennessee National Corp. 9,816 431
* Edison International 26,017 427
KeySpan Corp. 12,058 427
Avery Dennison Corp. 8,505 427
* Network Appliance, Inc. 26,065 423
* Novellus Systems, Inc. 11,534 422
GlobalSantaFe Corp. 17,974 420
North Fork Bancorp, Inc. 12,291 419
* Express Scripts Inc. 6,076 415
Vornado Realty Trust REIT 9,456 412
* MGM Mirage, Inc. 12,043 412
* American Standard Cos., Inc. 5,502 407
* IDEC Pharmaceuticals Corp. 11,857 403
Textron, Inc. 10,296 402
Microchip Technology, Inc. 16,187 399
Interpublic Group of Cos., Inc. 29,727 398
CenturyTel, Inc. 11,400 397
CIT Group Inc. 16,072 396
Molex, Inc. 14,668 396
Hudson City Bancorp, Inc. 15,482 396
11
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
MeadWestvaco Corp. 15,873 $ 392
Popular, Inc. 10,140 391
Centex Corp. 4,966 386
* Weight Watchers International, Inc. 8,453 385
* Millennium Pharmaceuticals, Inc. 24,390 384
* JDS Uniphase Corp. 109,245 383
Parker Hannifin Corp. 9,061 380
NiSource, Inc. 20,000 380
Murphy Oil Corp. 7,214 379
Green Point Financial Corp. 7,384 376
ProLogis REIT 13,736 375
Georgia Pacific Group 19,683 373
El Paso Corp. 46,059 372
* QLogic Corp. 7,678 371
* Coach, Inc. 7,455 371
Whirlpool Corp. 5,803 370
SAFECO Corp. 10,447 369
Delphi Corp. 42,537 367
* Barr Laboratories, Inc. 5,595 366
* Dean Foods Co. 11,623 366
Hilton Hotels Corp. 28,561 365
EOG Resources, Inc. 8,717 365
Amerada Hess Corp. 7,382 363
Plum Creek Timber Co. Inc. REIT 13,972 363
* Noble Corp. 10,537 361
Public Storage, Inc. REIT 10,631 360
Boston Properties, Inc. REIT 8,202 359
Tiffany & Co. 10,979 359
Legg Mason Inc. 5,518 358
* Juniper Networks, Inc. 28,838 357
Kerr-McGee Corp. 7,953 356
MGIC Investment Corp. 7,613 355
* Synopsys, Inc. 5,730 354
Brown-Forman Corp. Class B 4,503 354
* Siebel Systems, Inc. 36,994 353
* Office Depot, Inc. 24,289 352
RadioShack Corp. 13,308 350
* Cablevision Systems-
NY Group Class A 16,865 350
T. Rowe Price Group Inc. 9,255 349
Royal Caribbean Cruises, Ltd. 15,085 349
Huntington Bancshares Inc. 17,841 348
Zions Bancorp 6,875 348
Rockwell Collins, Inc. 14,029 346
* Laboratory Corp. of
America Holdings 11,392 343
J.C. Penney Co., Inc.
(Holding Company) 20,360 343
* Watson Pharmaceuticals, Inc. 8,488 343
National Commerce Financial Corp. 15,414 342
* AutoNation, Inc. 21,757 342
Rockwell Automation, Inc. 14,329 342
* L-3 Communications Holdings, Inc. 7,841 341
* DST Systems, Inc. 8,944 340
Archstone-Smith Trust REIT 14,059 337
* Harrah's Entertainment, Inc. 8,370 337
* BEA Systems, Inc. 30,993 337
Compass Bancshares Inc. 9,632 336
General Growth Properties
Inc. REIT 5,379 336
W.W. Grainger, Inc. 7,107 332
* Jabil Circuit, Inc. 14,988 331
Torchmark Corp. 8,879 331
Health Management Associates
Class A 17,914 331
Cooper Industries, Inc. Class A 7,985 330
ENSCO International, Inc. 12,257 330
IMS Health, Inc. 18,306 329
* CDW Corp. 7,185 329
Total System Services, Inc. 14,747 329
Valero Energy Corp. 9,009 327
* Unisys Corp. 26,525 326
Old Republic International Corp. 9,498 325
Sovereign Bancorp, Inc. 20,446 320
Duke Realty Corp. REIT 11,608 320
* AES Corp. 50,291 319
Fidelity National Financial, Inc. 10,347 318
Williams Cos., Inc. 40,218 318
Banknorth Group, Inc. 12,443 318
VF Corp. 9,307 316
* Sealed Air Corp. 6,625 316
* Mohawk Industries, Inc. 5,667 315
D. R. Horton, Inc. 11,196 315
* Health Net Inc. 9,498 313
C.R. Bard, Inc. 4,387 313
XTO Energy, Inc. 15,506 312
Estee Lauder Cos. Class A 9,288 311
iStar Financial Inc. REIT 8,530 311
* NVIDIA Corp. 13,502 311
Expeditors International of
Washington, Inc. 8,950 310
Janus Capital Group Inc. 18,737 307
* Westwood One, Inc. 9,039 307
Transatlantic Holdings, Inc. 4,426 306
* SPX Corp. 6,916 305
New York Community Bancorp, Inc. 10,474 305
* Varian Medical Systems, Inc. 5,248 302
Kimco Realty Corp. REIT 7,969 302
Sabre Holdings Corp. 12,232 302
* Oxford Health Plans, Inc. 7,166 301
* Brinker International, Inc. 8,303 299
* Intersil Corp. 11,236 299
* Citrix Systems, Inc. 14,646 298
12
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Applera Corp.- Applied Biosystems Group 15,659 $ 298
Nucor Corp. 6,100 298
Sherwin-Williams Co. 11,074 298
* IVAX Corp. 16,676 298
SCANA Corp. 8,631 296
Leggett & Platt, Inc. 14,414 295
Vulcan Materials Co. 7,968 295
McCormick & Co., Inc. 10,850 295
Liz Claiborne, Inc. 8,362 295
Radian Group, Inc. 8,008 293
UnumProvident Corp. 21,841 293
* Jones Apparel Group, Inc. 10,004 293
Black & Decker Corp. 6,681 290
* Smith International, Inc. 7,876 289
Omnicare, Inc. 8,485 287
Equifax, Inc. 11,023 287
Tyson Foods, Inc. 26,975 286
Ross Stores, Inc. 6,686 286
Dow Jones & Co., Inc. 6,633 285
* King Pharmaceuticals, Inc. 19,335 285
Sigma-Aldrich Corp. 5,267 285
* BMC Software, Inc. 17,361 284
* National Semiconductor Corp. 14,362 283
Hormel Foods Corp. 11,914 282
* Robert Half International, Inc. 14,900 282
* WebMD Corp. 26,022 282
Pulte Homes, Inc. 4,562 281
Darden Restaurants Inc. 14,698 279
* AdvancePCS 7,262 278
* Sanmina-SCI Corp. 43,978 278
* Pixar, Inc. 4,550 277
Freeport-McMoRan Copper &
Gold, Inc. Class B 11,286 277
DENTSPLY International Inc. 6,757 276
* Citizens Communications Co. 21,417 276
* Waters Corp. 9,429 275
* Smurfit-Stone Container Corp. 21,071 275
ServiceMaster Co. 25,634 274
Doral Financial Corp. 6,142 274
R.J. Reynolds Tobacco Holdings, Inc. 7,348 273
* Iron Mountain, Inc. 7,327 272
* Republic Services, Inc. Class A 11,986 272
* Career Education Corp. 3,970 272
* Teradyne, Inc. 15,685 272
Engelhard Corp. 10,960 271
Diebold, Inc. 6,220 269
Pepco Holdings, Inc. 14,038 269
* CarMax, Inc. 8,907 269
Hillenbrand Industries, Inc. 5,304 268
* Pactiv Corp. 13,573 268
* Expedia Inc. 3,498 267
Pinnacle West Capital Corp. 7,120 267
Rouse Co. REIT 6,992 266
* Dollar Tree Stores, Inc. 8,370 266
* Level 3 Communications, Inc. 39,933 265
* E*TRADE Group, Inc. 31,116 264
* Thermo Electron Corp. 12,564 264
* Patterson Dental Co. 5,813 264
* Pioneer Natural Resources Co. 10,082 263
* American Power Conversion Corp. 16,878 263
Scientific-Atlanta, Inc. 11,032 263
* The Dun & Bradstreet Corp. 6,384 262
* Metro-Goldwyn-Mayer Inc. 21,090 262
* Williams-Sonoma, Inc. 8,944 261
* Lear Corp. 5,664 261
Hasbro, Inc. 14,901 261
White Mountains Insurance
Group Inc. 658 260
* Phelps Dodge Corp. 6,777 260
Energy East Corp. 12,491 259
Federated Investors, Inc. 9,455 259
C.H. Robinson Worldwide, Inc. 7,284 259
* Lamar Advertising Co. Class A 7,326 258
International Flavors &
Fragrances, Inc. 8,073 258
R.R. Donnelley & Sons Co. 9,731 254
Outback Steakhouse 6,507 254
Telephone & Data Systems, Inc. 5,064 252
Alberto-Culver Co. Class B 4,921 251
W.R. Berkley Corp. 4,771 251
Wisconsin Energy Corp. 8,640 251
TCF Financial Corp. 6,289 251
* ChoicePoint Inc. 7,257 251
KB HOME 4,019 249
Sunoco, Inc. 6,573 248
Avalonbay Communities, Inc. REIT 5,817 248
Manpower Inc. 6,678 248
Hibernia Corp. Class A 13,583 247
* Mercury Interactive Corp. 6,374 246
Bunge Ltd. 8,600 246
SuperValu Inc. 11,462 244
SEI Corp. 7,633 244
* Comverse Technology, Inc. 16,204 244
* Constellation Brands, Inc. Class A 7,748 243
* NVR, Inc. 590 242
* SanDisk Corp. 5,998 242
* Lincare Holdings, Inc. 7,640 241
Neuberger Berman Inc. 6,018 240
Wendy's International, Inc. 8,276 240
* VeriSign, Inc. 17,254 239
Associated Banc-Corp 6,465 238
* Storage Technology Corp. 9,258 238
Pall Corp. 10,591 238
13
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Abercrombie & Fitch Co. 8,379 $ 238
* Coventry Health Care Inc. 5,149 238
Questar Corp. 7,096 238
* Hispanic Broadcasting Corp. 9,327 237
* PanAmSat Corp. 12,850 237
A.G. Edwards & Sons, Inc. 6,894 236
* Agere Systems Inc. Class B 102,499 236
Apartment Investment &
Management Co. Class A REIT 6,812 236
* Park Place Entertainment Corp. 25,870 235
* Energizer Holdings, Inc. 7,489 235
Diamond Offshore Drilling, Inc. 11,174 235
Mercantile Bankshares Corp. 5,948 234
* Cooper Cameron Corp. 4,644 234
* Tellabs, Inc. 35,472 233
* Cadence Design Systems, Inc. 19,279 233
Fluor Corp. 6,899 232
* Whole Foods Market, Inc. 4,880 232
* Providian Financial Corp. 25,009 232
* JetBlue Airways Corp. 5,452 231
* Rent-A-Center, Inc. 3,024 229
Erie Indemnity Co. Class A 5,554 229
The McClatchy Co. Class A 3,968 229
Liberty Property Trust REIT 6,584 228
Nordstrom, Inc. 11,663 228
* First Health Group Corp. 8,234 227
* LSI Logic Corp. 32,049 227
Symbol Technologies, Inc. 17,403 226
* Ameritrade Holding Corp. 30,285 224
Pogo Producing Co. 5,221 223
Commerce Bancshares, Inc. 5,712 222
Deluxe Corp. 4,961 222
* Toys R Us, Inc. 18,326 222
Allied Capital Corp. 9,610 222
* Solectron Corp. 59,268 222
Ball Corp. 4,858 221
* Patterson-UTI Energy, Inc. 6,823 221
Harman International Industries, Inc. 2,793 221
Student Loan Corp. 1,754 221
Fastenal Co. 6,502 221
* Michaels Stores, Inc. 5,762 219
Nuveen Investments, Inc. Class A 8,016 218
* Pride International, Inc. 11,588 218
Belo Corp. Class A 9,744 218
Equitable Resources, Inc. 5,338 217
Health Care Properties
Investors REIT 5,119 217
Commerce Bancorp, Inc. 5,834 216
* NCR Corp. 8,446 216
* Smithfield Foods, Inc. 9,436 216
Fair, Isaac, Inc. 4,200 216
* Ceridian Corp. 12,722 216
First Virginia Banks, Inc. 5,004 216
* Calpine Corp. 32,651 215
Beckman Coulter, Inc. 5,291 215
Valley National Bancorp 8,150 215
CenterPoint Energy Inc. 26,241 214
* Mid Atlantic Medical Services, Inc. 4,081 213
Mercury General Corp. 4,659 213
Goodrich Corp. 10,050 211
* Humana Inc. 13,975 211
* CIENA Corp. 40,648 211
* Host Marriott Corp. REIT 23,038 211
Bemis Co., Inc. 4,502 211
The Stanley Works 7,618 210
Eastman Chemical Co. 6,622 210
* Entercom Communications Corp. 4,269 209
The PMI Group Inc 7,762 208
Developers Diversified Realty
Corp. REIT 7,307 208
* Avaya Inc. 32,115 207
Arthur J. Gallagher & Co. 7,623 207
* Hearst-Argyle Television Inc. 7,988 207
MDU Resources Group, Inc. 6,153 206
* Universal Health Services Class B 5,188 206
NSTAR 4,503 205
* 99 Cents Only Stores 5,970 205
The St. Joe Co. 6,562 205
* SICOR, Inc. 10,058 205
* Gentex Corp. 6,600 202
AMB Property Corp. REIT 7,157 202
* ImClone Systems, Inc. 6,369 201
Sonoco Products Co. 8,319 200
* Henry Schein, Inc. 3,815 200
* PETsMART, Inc. 11,915 199
Astoria Financial Corp. 7,108 199
* ICOS Corp. 5,384 198
* Rite Aid Corp. 44,457 198
* Krispy Kreme Doughnuts, Inc. 4,802 198
* LAM Research Corp. 10,848 198
Temple-Inland Inc. 4,574 196
Allete, Inc. 7,338 195
Northeast Utilities 11,635 195
American National Insurance Co. 2,253 195
Brown & Brown, Inc. 5,988 195
Brunswick Corp. 7,773 194
* Convergys Corp. 12,145 194
* Jacobs Engineering Group Inc. 4,598 194
* Manor Care, Inc. 7,741 194
* Endo Pharmaceuticals Holdings, Inc. 11,435 193
* Cephalon, Inc. 4,699 193
* Navistar International Corp. 5,875 192
Puget Energy, Inc. 8,018 191
* Getty Images, Inc. 4,594 190
* CheckFree Corp. 6,815 190
* Advanced Micro Devices, Inc. 29,592 190
14
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* U.S. Cellular Corp. 7,442 $ 189
* Advance Auto Parts, Inc. 3,100 189
* BISYS Group, Inc. 10,258 188
Eaton Vance Corp. 5,961 188
* Compuware Corp. 32,631 188
* Monster Worldwide Inc. 9,530 188
The Chicago Mercantile Exchange 2,700 188
* Amkor Technology, Inc. 14,307 188
* Celgene Corp. 6,153 187
Chesapeake Energy Corp. 18,505 187
* Integrated Circuit Systems, Inc. 5,944 187
Noble Energy, Inc. 4,929 186
Meredith Corp. 4,232 186
City National Corp. 4,178 186
* BOK Financial Corp. 4,818 186
Leucadia National Corp. 5,005 186
Lyondell Chemical Co. 13,715 186
Weingarten Realty Investors REIT 4,414 185
Regency Centers Corp. REIT 5,276 185
* Millipore Corp. 4,140 184
Wesco Financial Corp. 588 183
Fulton Financial Corp. 9,181 182
* GTECH Holdings Corp. 4,840 182
Valspar Corp. 4,308 182
* Vishay Intertechnology, Inc. 13,772 182
TECO Energy, Inc. 15,122 181
* Allied Waste Industries, Inc. 17,988 181
National Fuel Gas Co. 6,936 181
* Rowan Cos., Inc. 8,063 181
Lafarge North America Inc. 5,836 180
* Gemstar-TV Guide
International, Inc. 35,428 180
Ashland, Inc. 5,877 180
* Corinthian Colleges, Inc. 3,712 180
Mack-Cali Realty Corp. REIT 4,936 180
New Plan Excel Realty Trust REIT 8,391 179
Bowater Inc. 4,776 179
International Speedway Corp. 4,516 178
Waddell & Reed Financial, Inc. 6,935 178
Capitol Federal Financial 6,288 177
* Columbia Sportswear Co. 3,437 177
* Western Digital Corp. 17,133 176
Forest City Enterprise Class A 4,253 176
* Reebok International Ltd. 5,208 175
* MEMC Electronic Materials, Inc. 17,791 174
* Owens-Illinois, Inc. 12,657 174
* Newfield Exploration Co. 4,623 174
* Amylin Pharmaceuticals, Inc. 7,903 173
DPL Inc. 10,847 173
* Markel Corp. 672 172
* Apogent Technologies Inc. 8,584 172
Bank of Hawaii Corp. 5,177 172
* Alliant Techsystems, Inc. 3,303 171
Bausch & Lomb, Inc. 4,558 171
Viad Corp. 7,604 170
Great Plains Energy, Inc. 5,891 170
Harris Corp. 5,657 170
* Network Associates, Inc. 13,398 170
* Toll Brothers, Inc. 5,996 170
J.M. Smucker Co. 4,248 169
* Amphenol Corp. 3,610 169
Hubbell Inc. Class B 5,080 168
Hospitality Properties Trust REIT 5,359 167
* National Instruments Corp. 4,410 167
CBRL Group, Inc. 4,282 166
FirstMerit Corp. 7,277 166
* Packaging Corp. of America 9,024 166
* Edwards Lifesciences Corp. 5,164 166
* Catellus Development Corp. 7,530 166
Reynolds & Reynolds Class A 5,800 166
AVX Corp. 15,060 166
* Community Health Systems, Inc. 8,539 165
First American Corp. 6,243 165
* Timberland Co. 3,105 164
* Invitrogen Corp. 4,276 164
Sky Financial Group, Inc. 7,552 164
* Zebra Technologies Corp. Class A 2,176 164
Pentair, Inc. 4,187 164
Maytag Corp. 6,692 163
Pier 1 Imports Inc. 7,990 163
* Varco International, Inc. 8,309 163
Mandalay Resort Group 5,111 163
Investors Financial Services Corp. 5,594 162
Annaly Mortgage Management
Inc. REIT 8,145 162
Wilmington Trust Corp. 5,524 162
PepsiAmericas, Inc. 12,908 162
* Fisher Scientific International Inc. 4,645 162
* ADTRAN Inc. 3,175 162
* Aramark Corp. Class B 7,200 161
* Tektronix, Inc. 7,467 161
Donaldson Co., Inc. 3,628 161
The Macerich Co. REIT 4,586 161
* ADC Telecommunications, Inc. 69,065 161
* Maxtor Corp. 21,400 161
* National-Oilwell, Inc. 7,299 161
Foot Locker, Inc. 12,091 160
* Emulex Corp. 7,030 160
Dial Corp. 8,226 160
* Certegy, Inc. 5,764 160
Circuit City Stores, Inc. 18,159 160
* Kmart Holding Corp. 5,900 160
15
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Education Management Corp 3,001 $ 160
* Triad Hospitals, Inc. 6,418 159
United Dominion Realty Trust REIT 9,211 159
* Del Monte Foods Co. 17,929 158
HCC Insurance Holdings, Inc. 5,347 158
Unitrin, Inc. 5,828 158
* Applied Micro Circuits Corp. 26,099 158
Protective Life Corp. 5,902 158
Nationwide Financial Services, Inc. 4,844 157
* BearingPoint, Inc. 16,306 157
Autodesk, Inc. 9,734 157
HON Industries, Inc. 5,115 156
Delta Air Lines, Inc. 10,618 156
CONSOL Energy, Inc. 6,804 155
* The Cheesecake Factory 4,287 154
* Chico's FAS, Inc. 7,306 154
* Reliant Resources, Inc. 25,045 154
Tidewater Inc. 5,218 153
* O'Reilly Automotive, Inc. 4,569 153
People's Bank 5,249 152
Cabot Corp. 5,280 152
* Foundry Networks, Inc. 10,501 151
BorgWarner, Inc. 2,345 151
* The Neiman Marcus Group, Inc.
Class A 4,124 151
Alliant Energy Corp. 7,930 151
* Big Lots Inc. 10,028 151
* West Corp. 5,654 151
Adolph Coors Co. Class B 3,074 151
PerkinElmer, Inc. 10,899 151
* PacifiCare Health Systems, Inc. 3,044 150
Winn-Dixie Stores, Inc. 12,151 150
* Crown Castle International Corp. 19,161 149
Webster Financial Corp. 3,934 149
Harte-Hanks, Inc. 7,824 149
* Kinder Morgan Management, LLC 3,961 148
Dana Corp. 12,811 148
Colonial BancGroup, Inc. 10,677 148
* International Rectifier Corp. 5,520 148
Applebee's International, Inc. 4,691 147
* J.D. Edwards & Co. 10,285 147
Peabody Energy Corp. 4,384 147
* American Tower Corp. Class A 16,639 147
* AMR Corp. 13,341 147
* NTL Inc. 4,300 147
Clayton Homes Inc. 11,688 147
Trizec Properties, Inc. REIT 12,900 147
* 3Com Corp. 31,315 147
Chelsea Property Group REIT 3,634 146
Vectren Corp. 5,846 146
* Sirius Satellite Radio, Inc. 86,279 146
Ryland Group, Inc. 2,100 146
Roslyn Bancorp, Inc. 6,778 146
Snap-On Inc. 5,004 145
OGE Energy Corp. 6,788 145
* Quintiles Transnational Corp. 10,178 144
* Renal Care Group, Inc. 4,097 144
United States Steel Corp. 8,787 144
* Performance Food Group Co. 3,887 144
Hawaiian Electric Industries Inc. 3,132 144
* McDATA Corp. Class A 9,773 143
* Ingram Micro, Inc. Class A 13,023 143
Teleflex Inc. 3,364 143
Talbots Inc. 4,852 143
Lee Enterprises, Inc. 3,797 143
Arden Realty Group, Inc. REIT 5,477 142
Crescent Real Estate, Inc. REIT 8,500 141
* Human Genome Sciences, Inc. 11,076 141
Precision Castparts Corp. 4,524 141
* DeVry, Inc. 6,026 140
* DaVita, Inc. 5,221 140
Philadelphia Suburban Corp. 5,731 140
Cullen/Frost Bankers, Inc. 4,348 140
* Rambus Inc. 8,394 139
Martin Marietta Materials, Inc. 4,136 139
Ryder System, Inc. 5,423 139
NICOR Inc. 3,741 139
* STERIS Corp. 6,012 139
BancorpSouth, Inc. 6,657 139
Tootsie Roll Industries, Inc. 4,552 139
John Wiley & Sons Class A 5,245 137
Raymond James Financial, Inc. 4,157 137
Washington Federal Inc. 5,939 137
Independence Community
Bank Corp. 4,846 137
Reinsurance Group of America, Inc. 4,248 136
RPM International, Inc. 9,909 136
* Pharmaceutical Resources, Inc. 2,800 136
AGL Resources Inc. 5,355 136
* Stericycle, Inc. 3,528 136
* Pharmaceutical Product
Development, Inc. 4,715 135
Lubrizol Corp. 4,370 135
Dynegy, Inc. 32,166 135
Federal Realty Investment
Trust REIT 4,220 135
* Neurocrine Biosciences, Inc. 2,700 135
Ruby Tuesday, Inc. 5,452 135
* Swift Transportation Co., Inc. 7,204 134
* The Corporate Executive Board Co. 3,286 134
Park National Corp. 1,171 134
Jack Henry & Associates Inc. 7,517 134
American Financial Group, Inc. 5,861 134
* Interactive Data Corp. 7,906 134
16
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Eon Labs, Inc. 3,800 $ 134
StanCorp Financial Group, Inc. 2,543 133
* Arrow Electronics, Inc. 8,651 132
* Sepracor Inc. 7,287 131
Trustmark Corp. 5,158 131
Pan Pacific Retail Properties,
Inc. REIT 3,329 131
Friedman, Billings, Ramsey
Group, Inc. 9,760 131
Hudson United Bancorp 3,823 131
Peoples Energy Corp. 3,043 131
* Westport Resources Corp. 5,724 130
* Avnet, Inc. 10,226 130
* Scotts Co. 2,614 129
* Barnes & Noble, Inc. 5,608 129
The Timken Co. 7,372 129
* Tech Data Corp. 4,832 129
* Fairchild Semiconductor
International, Inc. 10,074 129
BRE Properties Inc. Class A REIT 3,876 129
* Cypress Semiconductor Corp. 10,688 128
Thornburg Mortgage, Inc. REIT 5,172 128
* Cognizant Technology
Solutions Corp. 5,238 128
Herman Miller, Inc. 6,309 128
* Cincinnati Bell Inc. 18,932 127
* J.B. Hunt Transport Services, Inc. 3,356 127
Graco, Inc. 3,924 126
Helmerich & Payne, Inc. 4,276 125
Mills Corp. REIT 3,721 125
FactSet Research Systems Inc. 2,834 125
Old National Bancorp 5,415 125
Fresh Del Monte Produce Inc. 4,843 124
Cummins Inc. 3,465 124
* Furniture Brands International Inc. 4,762 124
Medicis Pharmaceutical Corp. 2,191 124
Harsco Corp. 3,438 124
* Glamis Gold, Ltd. 10,800 124
* Station Casinos, Inc. 4,895 124
Westamerica Bancorporation 2,864 123
CarrAmerica Realty Corp. REIT 4,434 123
* Charles River Laboratories, Inc. 3,828 123
ONEOK, Inc. 6,262 123
* Grant Prideco, Inc. 10,432 123
* Andrx Group 6,148 122
* Alleghany Corp. 637 122
CenterPoint Properties Corp. REIT 1,984 122
Flagstar Bancorp, Inc. 4,938 121
* Brocade Communications
Systems, Inc. 20,464 121
* Bio-Rad Laboratories, Inc. Class A 2,174 120
IndyMac Bancorp, Inc. REIT 4,733 120
* Borders Group, Inc. 6,832 120
American Capital Strategies, Ltd. 4,822 120
ICN Pharmaceuticals, Inc. 7,165 120
MDC Holdings, Inc. 2,481 120
Boise Cascade Corp. 4,999 119
* Polycom, Inc. 8,593 119
F.N.B. Corp. 3,929 119
* Hovnanian Enterprises Class A 2,016 119
* Saks Inc. 12,245 119
* NBTY, Inc. 5,636 119
* Advanced Fibre
Communications, Inc. 7,287 119
* Key Energy Services, Inc. 11,056 119
* FMC Technologies Inc. 5,623 118
Lancaster Colony Corp. 3,047 118
Odyssey Re Holdings Corp. 5,580 118
* Apria Healthcare Group Inc. 4,727 118
ArvinMeritor, Inc. 5,825 118
Crane Co. 5,188 117
* WFS Financial, Inc. 3,501 117
Werner Enterprises, Inc. 5,533 117
Polaris Industries, Inc. 1,906 117
Camden Property Trust REIT 3,345 117
* Acxiom Corp. 7,732 117
International Bancshares Corp. 3,281 117
* Valassis Communications, Inc. 4,530 117
* Avocent Corp. 3,884 116
Rayonier Inc. 3,518 116
Cousins Properties, Inc. REIT 4,147 116
First Midwest Bancorp, Inc. 3,986 115
Jefferies Group, Inc. 2,298 114
Reader's Digest Association, Inc. 8,471 114
* ITT Educational Services, Inc. 3,886 114
* AmeriCredit Corp. 13,274 113
Ethan Allen Interiors, Inc. 3,217 113
* Sybase, Inc. 8,127 113
* Cytec Industries, Inc. 3,323 112
* Macromedia, Inc. 5,337 112
* Interdigital Communications Corp. 4,782 112
Church & Dwight, Inc. 3,409 112
Realty Income Corp. REIT 2,926 111
Cooper Tire & Rubber Co. 6,334 111
* Activision, Inc. 8,608 111
Seagate Technology 6,300 111
* American Eagle Outfitters, Inc. 6,129 111
* Red Hat, Inc. 14,670 111
* American Greetings Corp. Class A 5,653 111
* Zale Corp. 2,775 111
Imation Corp. 2,933 111
Global Payments Inc. 3,123 111
17
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
IKON Office Solutions, Inc. 12,438 $ 111
UGI Corp. Holding Co. 3,488 111
* Nextel Partners, Inc. 15,118 110
Carlisle Co., Inc. 2,616 110
AptarGroup Inc. 3,047 110
* AnnTaylor Stores Corp. 3,782 109
* Marvel Enterprises Inc. 5,730 109
* Silicon Laboratories Inc. 4,101 109
* AGCO Corp. 6,395 109
Western Gas Resources, Inc. 2,757 109
WGL Holdings Inc. 4,088 109
The MONY Group Inc. 4,047 109
Whitney Holdings Corp. 3,408 109
* DoubleClick Inc. 11,745 109
* Extended Stay America, Inc. 8,052 109
Media General, Inc. Class A 1,897 109
La-Z-Boy Inc. 4,815 108
CBL & Associates Properties,
Inc. REIT 2,503 108
WPS Resources Corp. 2,672 107
* Affiliated Managers Group, Inc. 1,761 107
Piedmont Natural Gas, Inc. 2,761 107
* ResMed Inc. 2,733 107
* Protein Design Labs, Inc. 7,662 107
CNF Inc. 4,219 107
* Cabot Microelectronics Corp. 2,121 107
Regis Corp. 3,675 107
* Techne Corp. 3,507 106
* The Yankee Candle Co., Inc. 4,568 106
* Emmis Communications, Inc. 4,616 106
Provident Financial Group, Inc. 4,128 106
LaBranche & Co. Inc. 5,105 106
Blyth, Inc. 3,883 106
Health Care Inc. REIT 3,458 105
* Charter Communications, Inc. 26,484 105
Essex Property Trust, Inc. REIT 1,831 105
* Cytyc Corp. 9,931 104
* Perot Systems Corp. 9,195 104
Claire's Stores, Inc. 4,117 104
* Respironics, Inc. 2,781 104
Healthcare Realty Trust Inc. REIT 3,571 104
21st Century Insurance Group 7,266 104
* Earthlink, Inc. 13,151 104
Pacific Capital Bancorp 2,960 104
* CNET Networks, Inc. 16,643 104
Arch Coal, Inc. 4,511 104
* Radio One, Inc. Class D 5,830 104
Ventas, Inc. REIT 6,837 104
First Industrial Realty Trust REIT 3,277 104
* P.F. Chang's China Bistro, Inc. 2,100 103
UCBH Holdings, Inc. 3,600 103
United Bankshares, Inc. 3,602 103
* XM Satellite Radio Holdings, Inc. 9,335 103
* American Axle &
Manufacturing Holdings, Inc. 4,306 103
* Cree, Inc. 6,305 103
Airgas, Inc. 6,124 103
Staten Island Bancorp, Inc. 5,244 102
Highwood Properties, Inc. REIT 4,580 102
HRPT Properties Trust REIT 11,099 102
* Hyperion Solutions Corp. 3,023 102
* Take-Two Interactive Software, Inc. 3,600 102
* INAMED Corp. 1,900 102
Ametek, Inc. 2,779 102
IDEX Corp. 2,810 102
* Gateway, Inc. 27,879 102
* Mirant Corp. 35,063 102
* Atmel Corp. 40,133 102
* Veridian Corp. 2,900 101
Energen Corp. 3,032 101
Shurgard Storage Centers, Inc.
Class A REIT 3,052 101
* Varian, Inc. 2,911 101
* Pacific Sunwear of California, Inc. 4,181 101
* USG Corp. 5,299 101
Atmos Energy Corp. 4,054 101
* Crown Holdings, Inc. 14,072 100
* United Stationers, Inc. 2,777 100
Florida Rock Industries, Inc. 2,428 100
CMS Energy Corp. 12,366 100
* Panera Bread Co. 2,500 100
* Forest Oil Corp. 3,980 100
Citizens Banking Corp. 3,731 100
Westar Energy, Inc. 6,146 100
Diagnostic Products Corp. 2,420 99
* Service Corp. International 25,660 99
Albemarle Corp. 3,546 99
* Premcor, Inc. 4,600 99
Kennametal, Inc. 2,927 99
* Integrated Device Technology Inc. 8,960 99
Worthington Industries, Inc. 7,384 99
* Scholastic Corp. 3,318 99
* Affymetrix, Inc. 5,010 99
* Select Medical Corp. 3,974 99
Thor Industries, Inc. 2,412 98
Valhi, Inc. 10,226 98
W Holding Co., Inc. 5,802 98
* Martek Biosciences Corp. 2,284 98
* Meridian Gold Co. 8,532 98
Polo Ralph Lauren Corp. 3,798 98
Roper Industries Inc. 2,628 98
Dillard's Inc. 7,254 98
18
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Sonus Networks, Inc. 19,408 $ 98
* Novell, Inc. 31,680 98
Superior Industries
International, Inc. 2,337 97
* IDEXX Laboratories Corp. 2,892 97
Prentiss Properties Trust REIT 3,247 97
* Louisiana-Pacific Corp. 8,954 97
* Overture Services, Inc. 5,347 97
DQE Inc. 6,386 96
* Southern Union Co. 5,671 96
* Hutchinson Technology, Inc. 2,916 96
* Vertex Pharmaceuticals, Inc. 6,567 96
* 7-Eleven, Inc. 9,085 96
* Boyd Gaming Corp. 5,550 96
* Conexant Systems, Inc. 22,854 96
Speedway Motorsports, Inc. 3,568 96
Hilb, Rogal and Hamilton Co. 2,808 96
Commerce Group, Inc. 2,639 96
* R.H. Donnelley Corp. 2,614 95
Downey Financial Corp. 2,301 95
Alpharma, Inc. Class A 4,399 95
Heritage Property Investment
Trust REIT 3,500 95
* Electronics for Imaging, Inc. 4,670 95
* RF Micro Devices, Inc. 15,712 95
Regal Entertainment Group Class A 4,000 94
* Stone Energy Corp. 2,241 94
* Quest Software, Inc. 7,880 94
Skywest, Inc. 4,916 94
The South Financial Group, Inc. 4,016 94
Alexander & Baldwin, Inc. 3,524 93
AmerUs Group Co. 3,311 93
* Heartland Express, Inc. 4,181 93
* Siliconix, Inc. 2,576 93
* Hercules, Inc. 9,390 93
* Covance, Inc. 5,134 93
First BanCorp Puerto Rico 3,383 93
* Cymer, Inc. 2,894 93
* Flowserve Corp. 4,704 93
* Fossil, Inc. 3,924 92
Patina Oil & Gas Corp. 2,875 92
* RealNetworks, Inc. 13,616 92
Sensient Technologies Corp. 4,012 92
Westcorp, Inc. 3,294 92
* TIBCO Software Inc. 18,095 92
* GlobespanVirata, Inc. 11,163 92
Perrigo Co. 5,881 92
* Tom Brown, Inc. 3,309 92
SL Green Realty Corp. REIT 2,633 92
* Beazer Homes USA, Inc. 1,100 92
* Tuesday Morning Corp. 3,480 92
Briggs & Stratton Corp. 1,808 91
* Fidelity National Information
Solutions, Inc. 3,500 91
Greater Bay Bancorp 4,441 91
Allegheny Energy, Inc. 10,787 91
* Southwest Bancorporation of
Texas, Inc. 2,801 91
* FLIR Systems, Inc. 3,020 91
PNM Resources Inc. 3,399 91
* Kroll Inc. 3,360 91
* BJ's Wholesale Club, Inc. 6,035 91
Standard Pacific Corp. 2,738 91
Community First Bankshares, Inc. 3,321 91
* United Rentals, Inc. 6,508 90
Equity One, Inc. REIT 5,499 90
* Semtech Corp. 6,332 90
* Sycamore Networks, Inc. 23,528 90
* FTI Consulting, Inc. 3,600 90
* Arbitron Inc. 2,515 90
Cooper Cos., Inc. 2,582 90
* ATMI, Inc. 3,593 90
* Houston Exploration Co. 2,582 90
Corn Products International, Inc. 2,979 89
* United Online, Inc. 3,520 89
Washington REIT 3,270 89
Universal Corp. (VA) 2,101 89
First Citizens BancShares Class A 878 89
* Linens 'n Things, Inc. 3,744 88
Fremont General Corp. 6,449 88
* Genta Inc. 6,619 88
* Hollywood Entertainment Corp. 5,124 88
Overseas Shipholding Group Inc. 4,004 88
* Avid Technology, Inc. 2,509 88
Texas Regional Bancshares, Inc. 2,531 88
* Accredo Health, Inc. 4,021 88
* Evergreen Resources, Inc. 1,613 88
Reckson Associates Realty
Corp. REIT 4,196 88
New Century Financial Corp. 2,000 87
* Commonwealth Telephone
Enterprises, Inc. 1,984 87
The Toro Co. 2,194 87
* Continental Airlines, Inc. Class B 5,819 87
Great Lakes Chemical Corp. 4,264 87
* Legato Systems, Inc. 10,326 87
* CEC Entertainment Inc. 2,344 87
* Varian Semiconductor Equipment
Associates, Inc. 2,904 86
Callaway Golf Co. 6,526 86
* Vitesse Semiconductor Corp. 17,490 86
Alfa Corp. 6,754 86
FIrst Niagara Financial Group, Inc. 6,149 86
Value Line, Inc. 1,747 86
19
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Kronos, Inc. 1,685 $ 86
* Ascential Software Corp. 5,194 85
Massey Energy Co. 6,491 85
Airborne, Inc. 4,078 85
* Christopher & Banks Corp. 2,300 85
* Mentor Graphics Corp. 5,875 85
* Sonic Corp. 3,337 85
* Waste Connections, Inc. 2,416 85
Olin Corp. 4,951 85
Clarcor Inc. 2,194 85
Post Properties, Inc. REIT 3,191 85
Minerals Technologies, Inc. 1,737 85
Delphi Financial Group, Inc. 1,804 84
* Intergraph Corp. 3,907 84
IDACORP, Inc. 3,200 84
* Genencor International Inc. 5,097 84
Hollinger International, Inc. 7,786 84
Chittenden Corp. 3,065 84
* Aeropostale, Inc. 3,900 84
* Entegris Inc. 6,213 84
* Trimeris, Inc. 1,826 83
Bob Evans Farms, Inc. 3,017 83
* Arch Capital Group Ltd. 2,400 83
* Plantronics, Inc. 3,840 83
* Choice Hotel International, Inc. 3,044 83
Oshkosh Truck Corp. 1,400 83
* Macrovision Corp. 4,164 83
* Anteon International Corp. 2,960 83
Arrow International, Inc. 1,871 83
MGE Energy, Inc. 2,621 83
New Jersey Resources Corp. 2,323 82
* Ultra Petroleum Corp. 6,378 82
* Corrections Corp. of America REIT 3,250 82
* CACI International, Inc. 2,400 82
Invacare Corp. 2,490 82
* Northwest Airlines Corp. Class A 7,276 82
* Documentum, Inc. 4,171 82
* Micrel, Inc. 7,892 82
* Landstar System, Inc. 1,302 82
Fred's, Inc. 2,200 82
* Gen-Probe Inc. 2,000 82
Taubman Co. REIT 4,266 82
Commercial Federal Corp. 3,851 82
* Ligand Pharmaceuticals Inc. Class B 6,000 82
* ExpressJet Holdings, Inc. 5,400 82
* Catalina Marketing Corp. 4,617 81
* Cumulus Media Inc. 4,299 81
* Allmerica Financial Corp. 4,507 81
Strayer Education, Inc. 1,015 81
* Cimarex Energy Co. 3,392 81
* American Financial Realty Trust REIT 5,400 81
* K-V Pharmaceutical Co. Class A 2,895 80
* Keane, Inc. 5,897 80
Home Properties of New York,
Inc. REIT 2,280 80
* Cognex Corp. 3,594 80
* Skyworks Solutions, Inc. 11,858 80
* Cox Radio, Inc. 3,472 80
* Silicon Valley Bancshares 3,368 80
Black Hills Corp. 2,612 80
* MPS Group, Inc. 11,634 80
UniSource Energy Corp. 4,250 80
USEC Inc. 11,355 80
* CV Therapeutics, Inc. 2,683 80
* AirTran Holdings, Inc. 7,598 80
* Coherent, Inc. 3,357 79
* Terex Corp. 4,070 79
* Lattice Semiconductor Corp. 9,645 79
The Goodyear Tire & Rubber Co. 15,093 79
* Pacer International, Inc. 4,200 79
* MKS Instruments, Inc. 4,383 79
* Alliance Gaming Corp. 4,188 79
* Knight Transportation, Inc. 3,180 79
* UNOVA, Inc. 7,126 79
* Sybron Dental Specialties, Inc. 3,349 79
* Abgenix, Inc. 7,532 79
* Sylvan Learning Systems, Inc. 3,455 79
* VISX Inc. 4,545 79
The Pep Boys (Manny, Moe & Jack) 5,834 79
Pacific Northwest Bancorp 2,259 79
York International Corp. 3,355 79
* Exult Inc. 9,154 78
* United Auto Group, Inc. 3,600 78
Florida East Coast Industries, Inc.
Class A 3,068 78
UMB Financial Corp. 1,845 78
* Dade Behring Holdings Inc. 3,400 78
* Tetra Tech, Inc. 4,550 78
* Alkermes, Inc. 7,250 78
CARBO Ceramics Inc. 2,090 78
* The Medicines Co. 3,953 78
* Andrew Corp. 8,426 78
Susquehanna Bancshares, Inc. 3,318 77
* Mueller Industries Inc. 2,852 77
* Investment Technology Group, Inc. 4,156 77
Grey Global Group Inc. 100 77
* Simpson Manufacturing Co. 2,100 77
Ferro Corp. 3,407 77
* Priceline.com, Inc. 3,423 77
Acuity Brands, Inc. 4,211 77
* Mediacom Communications Corp. 7,745 76
* Unit Corp. 3,652 76
Visteon Corp. 11,109 76
Cabot Oil & Gas Corp. 2,762 76
20
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* AmSurg Corp. 2,500 $ 76
Colonial Properties Trust REIT 2,163 76
* ADVO, Inc. 1,713 76
* Men's Wearhouse, Inc. 3,479 76
First Financial Bankshares, Inc. 2,270 76
Glatfelter 5,139 76
* Quiksilver, Inc. 4,590 76
Flowers Foods, Inc. 3,827 76
National Health Investors REIT 4,090 75
* Forward Air Corp. 2,964 75
Mentor Corp. 3,880 75
* The Titan Corp. 7,303 75
* OfficeMax, Inc. 11,463 75
* Cerner Corp. 3,270 75
Chateau Communities, Inc. REIT 2,536 75
Regal-Beloit Corp. 3,927 75
Cathay Bancorp, Inc. 1,682 75
EastGroup Properties, Inc. REIT 2,775 75
Horace Mann Educators Corp. 4,645 75
* RSA Security Inc. 6,950 75
* Cobalt Corp. 3,635 75
* Anixter International Inc. 3,186 75
* Eclipsys Corp. 7,131 74
* Copart, Inc. 7,878 74
MAF Bancorp, Inc. 2,008 74
* Dionex Corp. 1,872 74
Avista Corp. 5,245 74
* Pediatrix Medical Group, Inc. 2,080 74
* MGI Pharma, Inc. 2,890 74
* WCI Communities, Inc. 3,850 74
* NPS Pharmaceuticals Inc. 3,041 74
Albany International Corp. 2,700 74
* NetIQ Corp. 4,779 74
* Sunrise Senior Living, Inc. 3,300 74
* KEMET Corp. 7,310 74
* Verint Systems Inc. 2,900 74
Modine Manufacturing Co. 3,804 74
The Brink's Co. 5,051 74
Granite Construction Co. 3,833 73
State Auto Financial Corp. 3,271 73
* Payless ShoeSource, Inc. 5,868 73
Nationwide Health Properties,
Inc. REIT 4,602 73
* Thoratec Corp. 4,917 73
* Philadelphia Consolidated
Holding Corp. 1,813 73
Brandywine Realty Trust REIT 2,974 73
* Tractor Supply Co. 1,532 73
The Phoenix Cos., Inc. 8,100 73
* Rayovac Corp. 5,638 73
* Palm Harbor Homes, Inc. 3,845 73
* United Therapeutics Corp. 3,342 73
* Spinnaker Exploration Co. 2,776 73
Trinity Industries, Inc. 3,927 73
Wausau-Mosinee Paper Corp. 6,486 73
* Dycom Industries, Inc. 4,456 73
CVB Financial Corp. 3,718 73
* FEI Co. 3,865 73
PS Business Parks, Inc. REIT 2,049 72
CNA Surety Corp. 7,342 72
* SERENA Software, Inc. 3,463 72
* ILEX Oncology, Inc. 3,724 72
East West Bancorp, Inc. 2,000 72
MacDermid, Inc. 2,744 72
Cleco Corp. 4,164 72
* Adaptec, Inc. 9,264 72
* BlackRock, Inc. 1,600 72
LandAmerica Financial Group, Inc. 1,516 72
Alexandria Real Estate Equities,
Inc. REIT 1,600 72
* National Western Life Insurance Co.
Class A 651 72
Lincoln Electric Holdings, Inc. 3,522 72
* Triad Guaranty, Inc. 1,894 72
* Quantum Corp. 17,735 72
* MAXIMUS, Inc. 2,598 72
* Thomas & Betts Corp. 4,957 72
Tupperware Corp. 4,986 72
* Quanta Services, Inc. 10,079 72
* Entravision Communications Corp. 6,283 71
Federal Signal Corp. 4,058 71
* National Processing, Inc. 4,430 71
TrustCo Bank NY 6,422 71
* Hot Topic, Inc. 2,644 71
Rollins, Inc. 3,768 71
* FMC Corp. 3,135 71
* Viasys Healthcare Inc. 3,425 71
Gables Residential Trust REIT 2,341 71
* LifePoint Hospitals, Inc. 3,379 71
Delta & Pine Land Co. 3,213 71
Brookline Bancorp, Inc. 5,044 71
Hughes Supply, Inc. 2,035 71
* MSC Industrial Direct Co., Inc.
Class A 3,943 71
John H. Harland Co. 2,696 71
Weis Markets, Inc. 2,272 70
City Holding Co. 2,406 70
Kelly Services, Inc. Class A 3,003 70
Santander BanCorp 4,304 70
* Sonic Automotive, Inc. 3,213 70
A.O. Smith Corp. 2,500 70
Commercial Net Lease Realty REIT 4,079 70
* Esperion Therapeutics, Inc. 3,583 70
* MedQuist, Inc. 3,464 70
21
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* CTI Molecular Imaging, Inc. 3,700 $ 70
* Penn National Gaming, Inc. 3,400 70
* Renaissance Learning, Inc. 3,186 70
* Manhattan Associates, Inc. 2,684 70
* ChipPAC, Inc. 9,068 70
* Enterasys Networks, Inc. 22,952 70
Banta Corp. 2,148 70
N L Industries, Inc. 4,088 69
* Joy Global Inc. 4,700 69
Ruddick Corp. 4,415 69
Republic Bancorp, Inc. 5,170 69
* Exar Corp. 4,377 69
* Parametric Technology Corp. 22,716 69
* Encore Acquisition Co. 3,615 69
Walter Industries, Inc. 5,891 69
* Ohio Casualty Corp. 5,244 69
* IDX Systems Corp. 4,443 69
* Playboy Enterprises, Inc. Class B 5,063 69
* Ariba, Inc. 23,121 69
* Hanover Compressor Co. 6,075 69
* Maverick Tube Corp. 3,582 69
* Borland Software Corp. 7,021 69
Crompton Corp. 9,725 69
* Magnum Hunter Resources Inc. 8,580 69
St. Mary Land & Exploration Co. 2,510 69
* Jack in the Box Inc. 3,070 68
Owens & Minor, Inc. Holding Co. 3,061 68
Mid Atlantic Realty Trust REIT 3,266 68
* Power-One, Inc. 9,565 68
* Ocular Sciences, Inc. 3,443 68
Amcore Financial, Inc. 2,934 68
GATX Corp. 4,177 68
Senior Housing Properties Trust REIT 5,034 68
* Advanced Digital Information Corp. 6,831 68
Glimcher Realty Trust REIT 3,038 68
Liberty Corp. 1,601 68
The Trust Co. of New Jersey 2,245 68
LNR Property Corp. 1,818 68
* Cal Dive International, Inc. 3,118 68
Potlatch Corp. 2,637 68
* PRIMEDIA Inc. 22,261 68
Nordson Corp. 2,845 68
ABM Industries Inc. 4,406 68
Wolverine World Wide, Inc. 3,519 68
CH Energy Group, Inc. 1,506 68
* Priority Healthcare Corp. Class B 3,653 68
* Oakley, Inc. 5,757 68
* THQ Inc. 3,764 68
* Benchmark Electronics, Inc. 2,200 68
* CSG Systems International, Inc. 4,789 68
IHOP Corp. 2,141 68
First Commonwealth Financial Corp. 5,215 68
Brady Corp. Class A 2,020 67
Burlington Coat Factory
Warehouse Corp. 3,763 67
Northwest Bancorp, Inc. 4,208 67
Interpool, Inc. 4,096 67
R.L.I. Corp. 2,044 67
Sun Communities, Inc. REIT 1,706 67
* Journal Register Co. 3,704 67
* Akamai Technologies, Inc. 13,782 67
* Group 1 Automotive, Inc. 2,062 67
* WilTel Communications, Inc. 4,522 67
* Iomega Corp. 6,288 67
Chemical Financial Corp. 2,236 67
IMC Global Inc. 9,930 67
S & T Bancorp, Inc. 2,428 67
* Tekelec 5,880 66
Matthews International Corp. 2,682 66
* Wireless Facilities, Inc. 5,579 66
Kilroy Realty Corp. REIT 2,414 66
Manufactured Home Communities,
Inc. REIT 1,887 66
* UICI 4,389 66
* Rare Hospitality International Inc. 2,020 66
First Essex Bancorp, Inc. 1,400 66
Sauer-Danfoss, Inc. 6,138 66
Bandag, Inc. 1,769 66
Spartech Corp. 3,108 66
Net.Bank, Inc. 4,980 66
Hancock Holding Co. 1,392 66
ElkCorp 2,910 65
Corus Bankshares Inc. 1,349 65
* Barra, Inc. 1,829 65
* Applera Corp.-
Celera Genomics Group 6,323 65
* Comstock Resources, Inc. 4,765 65
USF Corp. 2,416 65
Tredegar Corp. 4,344 65
* TiVo Inc. 5,343 65
First Financial Bancorp 4,067 65
* Kansas City Southern 5,407 65
Irwin Financial Corp. 2,511 65
United Community Banks, Inc. 2,600 65
* Agere Systems Inc. Class A 27,859 65
Dimon Inc. 9,058 65
* United Defense Industries Inc. 2,500 65
Summit Properties, Inc. REIT 3,136 65
Vector Group Ltd. 3,688 65
* Newport Corp. 4,356 64
* PSS World Medical, Inc. 11,207 64
Winnebago Industries, Inc. 1,700 64
McGrath Rent Corp. 2,408 64
Dime Community Bancshares 2,530 64
22
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Regeneron Pharmaceuticals, Inc. 4,081 $ 64
* Southwestern Energy Co. 4,272 64
* Ralcorp Holdings, Inc. 2,562 64
* Aksys, Ltd. 4,937 64
GenCorp, Inc. 7,189 64
Southwest Gas Corp. 3,016 64
* American Management
Systems, Inc. 4,473 64
* Universal Compression
Holdings, Inc. 3,062 64
* Knight Trading Group, Inc. 10,267 64
* Oceaneering International, Inc. 2,499 64
* Nautica Enterprises, Inc. 4,951 64
Vintage Petroleum, Inc. 5,631 64
* Price Communications Corp. 4,917 63
Black Box Corp. 1,753 63
Centex Construction Products, Inc. 1,582 63
Casey's General Stores, Inc. 4,478 63
* Ask Jeeves, Inc. 4,605 63
* Integra LifeSciences Holdings 2,400 63
* IGEN International, Inc. 2,014 63
* ProQuest Co. 2,451 63
Empire District Electric Co. 2,904 63
* Imagistics International Inc. 2,447 63
Parkway Properties Inc. REIT 1,500 63
* CorVel Corp. 1,752 63
Baldor Electric Co. 3,061 63
Central Pacific Financial Co. 2,276 63
Lennox International Inc. 4,884 63
* Hain Celestial Group, Inc. 3,924 63
* Grey Wolf, Inc. 15,529 63
* Echelon Corp. 4,549 63
* S&K Famous Brands Inc. 4,167 63
* Western Wireless Corp. Class A 5,415 62
* Vignette Corp. 29,966 62
* EGL, Inc. 4,090 62
Harleysville Group, Inc. 2,700 62
* Silgan Holdings, Inc. 1,986 62
* Photronics Inc. 3,560 62
* Genesis Health Ventures, Inc. 3,519 62
Reliance Steel & Aluminum Co. 3,000 62
* Progress Software Corp. 2,991 62
Wabtec Corp. 4,454 62
* FormFactor Inc. 3,500 62
Riviana Foods, Inc. 2,297 62
* Rogers Corp. 1,855 62
* Atlantic Coast Airlines Holdings Inc. 4,572 62
* OSI Pharmaceuticals, Inc. 1,914 62
The Laclede Group, Inc. 2,300 62
* United Surgical Partners
International, Inc. 2,725 62
* Inveresk Research Group Inc. 3,400 62
* Insight Communications Co., Inc. 4,648 61
* Ryan's Family Steak Houses, Inc. 4,362 61
* US Oncology, Inc. 8,255 61
FBL Financial Group, Inc. Class A 3,027 61
* William Lyon Homes, Inc. 1,914 61
Allegheny Technologies Inc. 9,236 61
Otter Tail Corp. 2,258 61
* Tanox, Inc. 3,794 61
* Too Inc. 3,006 61
* Enzo Biochem, Inc. 2,828 61
Northwest Natural Gas Co. 2,233 61
Sovran Self Storage, Inc. REIT 1,930 61
* Remec, Inc. 8,730 61
BankAtlantic Bancorp, Inc. Class A 5,101 61
Kramont Realty Trust REIT 3,672 61
* SEACOR SMIT Inc. 1,659 61
Cubic Corp. 2,724 61
Landry's Restaurants, Inc. 2,563 60
* Internet Security Systems, Inc. 4,172 60
* American Italian Pasta Co. 1,451 60
* The Children's Place
Retail Stores, Inc. 3,043 60
* Credence Systems Corp. 7,127 60
* Haemonetics Corp. 3,228 60
* Navigators Group, Inc. 2,024 60
* Trimble Navigation Ltd. 2,631 60
* Synalloy Corp. 11,095 60
First Financial Corp. (IN) 1,138 60
Provident Bankshares Corp. 2,364 60
* CUNO Inc. 1,660 60
* DutchFork Bancshares, Inc. 1,859 60
Zenith National Insurance Corp. 2,101 60
* Triarc Cos., Inc. Class A 1,994 60
* Aztar Corp. 3,711 60
* Offshore Logistics, Inc. 2,748 60
* Quicksilver Resources, Inc. 2,494 60
* Maxygen Inc. 5,441 60
* Maguire Properties, Inc. REIT 3,100 60
* Symyx Technologies, Inc. 3,656 60
* Steel Dynamics, Inc. 4,355 60
* Artisan Components, Inc. 2,636 60
United Fire & Casualty Co. 1,830 59
* Gaylord Entertainment Co. Class A 3,031 59
* Nektar Therapeutics 6,424 59
* EMCOR Group, Inc. 1,200 59
First Sentinel Bancorp Inc. 3,704 59
* Digital Insight Corp. 3,101 59
* Pinnacle Systems, Inc. 5,519 59
* La Quinta Corp. REIT 13,701 59
* CommScope, Inc. 6,212 59
* Alaska Air Group, Inc. 2,745 59
* Adolor Corp. 4,784 59
23
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Engineered Support Systems, Inc. 1,400 $ 59
* International Multifoods Corp. 2,555 59
* Plexus Corp. 5,074 59
Holly Corp. 2,118 58
* A.C. Moore Arts & Crafts, Inc. 2,914 58
Massbank Corp. 1,613 58
Penn Virginia Corp. 1,356 58
Hooper Holmes, Inc. 9,039 58
NDCHealth Corp. 3,170 58
* Sola International Inc. 3,342 58
Anchor Bancorp Wisconsin Inc. 2,434 58
* TransMontaigne Inc. 8,959 58
* Stage Stores, Inc. 2,465 58
Tecumseh Products Co. Class A 1,512 58
* Kenneth Cole Productions, Inc. 2,972 58
* Electronics Boutique Holdings Corp. 2,500 58
RFS Hotel Investors, Inc. REIT 4,687 58
Kimball International, Inc. Class B 3,691 58
Waypoint Financial Corp. 3,189 58
* Kyphon Inc. 3,800 57
* Teledyne Technologies, Inc. 4,382 57
Kaydon Corp. 2,757 57
* Biosite Inc. 1,191 57
Georgia Gulf Corp. 2,891 57
Koger Equity, Inc. REIT 3,321 57
* Credit Acceptance Corp. 5,666 57
* Radio One, Inc. 3,200 57
Redwood Trust, Inc. REIT 1,431 57
Arkansas Best Corp. 2,400 57
* Yellow Corp. 2,466 57
* Digene Corp. 2,094 57
* Thomas Nelson, Inc. 4,561 57
* Wright Medical Group, Inc. 3,000 57
* First Federal Financial Corp. 1,615 57
The Manitowoc Co., Inc. 2,555 57
* Newpark Resources, Inc. 10,383 57
Oxford Industries, Inc. 1,370 57
* The Advisory Board Co. 1,400 57
* General Maritime Corp. 5,580 57
* Wynn Resorts Ltd. 3,200 57
* Magma Design Automation, Inc. 3,300 57
* Tejon Ranch Co. 1,877 56
* J. Jill Group, Inc. 3,348 56
* Ultratech, Inc. 3,048 56
Cato Corp. Class A 2,672 56
* Global Industries Ltd. 11,658 56
Longs Drug Stores, Inc. 3,382 56
* Gartner, Inc. Class B 7,479 56
H.B. Fuller Co. 2,546 56
National Presto Industries, Inc. 1,774 56
* Microsemi Corp. 3,500 56
* The Wet Seal, Inc. Class A 5,243 56
* Zoll Medical Corp. 1,668 56
Tanger Factory Outlet Centers,
Inc. REIT 1,692 56
* Closure Medical Corp. 2,964 56
Harbor Florida Bancshares, Inc. 2,335 56
UIL Holdings Corp. 1,379 56
* Alexander's, Inc. REIT 669 56
* Allen Telecom Inc. 3,378 56
Texas Industries, Inc. 2,341 56
* Insituform Technologies Inc. Class A 3,150 56
* Helen of Troy Ltd. 3,672 56
* Helen of Troy Ltd. 3,672 56
* Actuant Corp. 1,176 56
* Axcelis Technologies, Inc. 9,074 56
Mine Safety Appliances Co. 1,272 55
* Lone Star Technologies, Inc. 2,616 55
Stewart & Stevenson Services, Inc. 3,513 55
Action Performance Cos., Inc. 2,909 55
* TriPath Imaging, Inc. 8,089 55
NBT Bancorp, Inc. 2,847 55
* CompuCredit Corp. 4,532 55
* Wabash National Corp. 3,919 55
Blockbuster Inc. Class A 3,257 55
Getty Realty Holding Corp. REIT 2,451 55
* Charming Shoppes, Inc. 11,006 55
F & M Bancorp 1,109 55
* URS Corp. 2,809 55
* Guess ?, Inc. 9,099 55
* Cyberonics, Inc. 2,538 55
* Sotheby's Holdings Class A 7,337 55
Libbey, Inc. 2,404 55
* Advanced Medical Optics, Inc. 3,198 55
Sterling Bancshares, Inc. 4,166 54
* Syntel, Inc. 3,463 54
NACCO Industries, Inc. Class A 924 54
Franklin Electric, Inc. 978 54
* Sierra Pacific Resources 9,150 54
* InVision Technologies, Inc. 2,164 54
* Handleman Co. 3,392 54
G & K Services, Inc. Class A 1,833 54
First Federal Capital Corp. 2,727 54
* LendingTree, Inc. 2,203 54
* Applica Inc. 6,344 54
* Micromuse Inc. 6,747 54
Watsco, Inc. 3,253 54
Universal Health Realty Income REIT 1,994 54
* The Warnaco Group, Inc. 4,000 54
* SPS Technologies, Inc. 1,989 54
* Six Flags, Inc. 7,923 54
* Aeroflex, Inc. 6,936 54
* Extreme Networks, Inc. 10,124 54
* aQuantive, Inc. 5,110 54
* The Gymboree Corp. 3,192 54
24
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* CSK Auto Corp. 3,706 $ 54
* TBC Corp. 2,811 54
* WebEx Communications, Inc. 3,829 53
Vital Signs, Inc. 2,057 53
Standard Commercial Tobacco Co. 3,140 53
* ValueClick, Inc. 8,837 53
* Energy Partners, Ltd. 4,608 53
Harleysville National Corp. 1,966 53
Anthracite Capital Inc. REIT 4,411 53
Gorman-Rupp Co. 2,212 53
* Kensey Nash Corp. 2,028 53
Atlantic Tele-Network, Inc. 2,380 53
* Corvis Corp. 35,365 53
* BioMarin Pharmaceutical Inc. 5,435 53
Equity Inns, Inc. REIT 7,682 53
* Palm, Inc. 3,252 53
Frontier Oil Corp. 3,476 53
* DSP Group Inc. 2,453 53
* j2 Global Communications, Inc. 1,148 53
Kansas City Life Insurance Co. 1,231 53
* eSPEED, Inc. Class A 2,667 53
Cambrex Corp. 2,289 53
* The Sports Authority, Inc. 4,924 53
Millennium Chemicals, Inc. 5,540 53
The Marcus Corp. 3,516 53
* Advanced Energy Industries, Inc. 3,687 53
* Meritage Corp. 1,066 53
Longview Fibre Co. 6,400 52
* Molecular Devices Corp. 3,294 52
Presidential Life Corp. 3,711 52
First Charter Corp. 3,003 52
* SurModics, Inc. 1,711 52
* Unifi, Inc. 8,414 52
* PAREXEL International Corp. 3,738 52
Crown American Realty Trust REIT 4,835 52
* BankUnited Financial Corp. 2,577 52
* Argosy Gaming Co. 2,479 52
* Technitrol, Inc. 3,443 52
* Lin TV Corp. 2,200 52
* Advent Software, Inc. 3,040 51
Southern Peru Copper Corp. 3,353 51
* RailAmerica, Inc. 6,070 51
Glenborough Realty Trust, Inc. REIT 2,672 51
Correctional Properties Trust REIT 1,826 51
* Medarex, Inc. 7,745 51
A. Schulman Inc. 3,174 51
* eResearch Technology, Inc. 2,300 51
* TriQuint Semiconductor, Inc. 12,226 51
* Fleetwood Enterprises, Inc. 6,842 51
* Informatica Corp. 7,308 50
* Boca Resorts, Inc. Class A 3,883 50
Interstate Bakeries Corp. 3,974 50
* ESS Technology, Inc. 5,175 50
Westbanco Inc. 2,076 50
Russell Corp. 2,654 50
* Rainbow Technologies, Inc. 5,989 50
* Atwood Oceanics, Inc. 1,854 50
Schweitzer-Mauduit
International, Inc. 2,085 50
Community Bank System, Inc. 1,324 50
* Insight Enterprises, Inc. 4,991 50
* Cross Country Healthcare, Inc. 3,800 50
* Ciber, Inc. 7,113 50
* Champion Enterprises, Inc. 9,638 50
K-Swiss, Inc. 1,444 50
* Movie Gallery, Inc. 2,700 50
* Agile Software Corp. 5,155 50
* Buckeye Technology, Inc. 7,299 50
Bassett Furniture Industries, Inc. 3,735 50
* Keynote Systems Inc. 4,729 50
* LTX Corp. 5,744 50
* Midas Inc. 4,085 50
* UnitedGlobalCom Inc. Class A 9,565 49
* Electro Scientific Industries, Inc. 3,259 49
Community Trust Bancorp Inc. 1,888 49
* Nuevo Energy Co. 2,826 49
* Tradestation Group Inc. 4,806 49
Blair Corp. 2,219 49
* KCS Energy, Inc. 9,133 49
* Spanish Broadcasting System, Inc. 6,039 49
* Intuitive Surgical, Inc. 6,488 49
* NetRatings, Inc. 5,380 49
* CDI Corp. 1,894 49
* Wesco International, Inc. 8,191 49
Innkeepers USA Trust REIT 7,221 49
* Pozen Inc. 4,465 49
* Province Healthcare Co. 4,425 49
* eFunds Corp. 4,242 49
* Remington Oil & Gas Corp. 2,658 49
* The Dress Barn, Inc. 3,854 49
* Navigant Consulting, Inc. 4,120 49
Hancock Fabrics, Inc. 3,023 49
* FuelCell Energy, Inc. 5,960 49
* Intermagnetics General Corp. 2,460 49
* CIMA Labs Inc. 1,808 49
* Aviall Inc. 4,273 49
* Itron, Inc. 2,253 49
United National Bancorp 1,758 49
CPI Corp. 2,745 48
* W-H Energy Services, Inc. 2,487 48
* Albany Molecular Research, Inc. 3,206 48
Surewest Communications 1,600 48
* Esterline Technologies Corp. 2,774 48
* AMN Healthcare Services, Inc. 3,800 48
25
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Charter Financial Corp. 1,700 $ 48
* CMGI Inc. 28,755 48
* Zymogenetics, Inc. 4,125 48
* Impax Laboratories, Inc. 4,000 48
* Ditech Communications Corp. 9,629 48
Great American Financial
Resources, Inc. 3,654 48
* Indevus Pharmaceuticals, Inc. 7,669 48
SJW Corp. 561 48
Chesapeake Corp. of Virginia 2,187 48
* The Boyds Collection, Ltd. 10,116 48
* Enzon Pharmaceuticals, Inc. 3,804 48
* Papa John's International, Inc. 1,697 48
* Beverly Enterprises, Inc. 13,547 47
* Dendrite International, Inc. 3,681 47
* ValueVision Media, Inc. 3,477 47
Bryn Mawr Bank Corp. 1,278 47
* Photon Dynamics, Inc. 1,713 47
AAR Corp. 6,694 47
* Orthodontic Centers of America, Inc. 5,896 47
* Bruker Daltonics, Inc. 8,844 47
* USI Holdings Corp. 4,000 47
Boston Private Financial
Holdings, Inc. 2,231 47
* Ameristar Casinos, Inc. 2,200 47
* Lydall, Inc. 4,377 47
* Florida Banks, Inc. 4,019 47
Impac Mortgage Holdings, Inc. REIT 2,800 47
EDO Corp. 2,640 47
* Silicon Storage Technology, Inc. 11,150 47
* Alaris Medical, Inc. 3,600 47
Comm Bancorp, Inc. 1,339 47
* Shaw Group, Inc. 3,862 47
* Ulticom, Inc. 4,897 47
* Therasense, Inc. 4,650 47
Greif Inc. Class A 2,019 46
* Noven Pharmaceuticals, Inc. 4,523 46
CTS Corp. 4,421 46
* TETRA Technologies, Inc. 1,557 46
* Exelixis, Inc. 6,633 46
* NetFlix.com, Inc. 1,800 46
* Jones Lang Lasalle Inc. 2,908 46
* Centennial Communications Corp.
Class A 11,480 46
* Startek, Inc. 1,746 46
* Charles River Associates Inc. 1,624 46
Wintrust Financial Corp. 1,550 46
* Select Comfort Corp. 2,800 46
* Ionics, Inc. 2,050 46
* Bone Care International, Inc. 3,293 46
* ShopKo Stores, Inc. 3,520 46
* Tularik, Inc. 4,603 46
MTS Systems Corp. 3,100 46
* Denbury Resources, Inc. 3,400 46
Arch Chemicals, Inc. 2,388 46
* Coldwater Creek Inc. 3,690 45
* ArthroCare Corp. 2,713 45
* Jos. A. Bank Clothiers, Inc. 1,360 45
* Quaker City Bancorp, Inc. 1,107 45
FNB Financial Services Corp. 2,278 45
C & D Technologies, Inc. 3,149 45
* Mesa Air Group Inc. 5,647 45
* Anaren, Inc. 4,821 45
* The Great Atlantic &
Pacific Tea Co., Inc. 5,133 45
Mid-State Bancshares 2,287 45
Alamo Group, Inc. 3,694 45
* Scientific Games Corp. 4,796 45
Roadway Corp. 1,578 45
* Stifel Financial Corp. 3,732 45
RPC Inc. 4,091 45
First Source Corp. 2,422 45
Pennsylvania REIT 1,500 45
* Pegasus Solutions Inc. 2,764 45
* Pixelworks, Inc. 7,556 45
HMN Financial, Inc. 2,313 45
* Drugstore.com, Inc. 7,678 45
PFF Bancorp, Inc. 1,160 45
* Powerwave Technologies, Inc. 7,139 45
* webMethods, Inc. 5,497 45
Superior Uniform Group, Inc. 3,993 45
Great Southern Bancorp, Inc. 1,156 45
American Land Lease, Inc. REIT 2,651 45
The Standard Register Co. 2,700 44
* Packeteer, Inc. 2,854 44
* Ixia 6,893 44
Capital Bank Corp. 2,969 44
* NCO Group, Inc. 2,470 44
* Steak n Shake Co. 2,900 44
* Ocwen Financial Corp. 9,737 44
* Korn/Ferry International 5,453 44
* Lexar Media, Inc. 4,623 44
Churchill Downs, Inc. 1,151 44
* AFC Enterprises, Inc. 2,711 44
* Checkpoint Systems, Inc. 3,110 44
* Consolidated Graphics, Inc. 1,921 44
* Lifeway Foods, Inc. 5,527 44
* Playtex Products, Inc. 6,835 44
* Infonet Services Corp. 27,586 44
Riggs National Corp. 2,878 44
Town & Country Trust REIT 1,884 44
* Sinclair Broadcast Group, Inc. 3,767 44
* Clayton Williams Energy, Inc. 2,369 44
Oriental Financial Group Inc. 1,702 44
26
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Regeneration Technologies, Inc. 3,290 $ 44
* First Republic Bank 1,641 44
* American Physicians Capital, Inc. 1,800 44
* Petrocorp, Inc. 3,914 44
* Shuffle Master, Inc. 1,484 44
* Audiovox Corp. 3,890 44
* Brooks Automation, Inc. 3,832 43
Suffolk Bancorp 1,348 43
Gray Television, Inc. 3,500 43
* Footstar Inc. 3,337 43
* Wilson Greatbatch Technologies, Inc. 1,200 43
* InfoSpace, Inc. 3,189 43
Ampco-Pittsburgh Corp. 3,229 43
* Integrated Silicon Solution, Inc. 6,233 43
* Silicon Image, Inc. 7,742 43
Advanced Marketing Services 3,322 43
California Independent Bancorp 1,489 43
* Stewart Enterprises, Inc. Class A 10,041 43
Independent Bank Corp. (MA) 1,909 43
* Ventiv Health, Inc. 10,512 43
First Place Financial Corp. 2,489 43
* infoUSA Inc. 5,316 43
Schnitzer Steel Industries, Inc.
Class A 975 43
Woodward Governor Co. 1,000 43
* Per-Se Technologies, Inc. 3,825 43
* i2 Technologies, Inc. 42,922 43
Berry Petroleum Class A 2,385 43
Aquila, Inc. 16,582 43
Movado Group, Inc. 1,962 43
* McDermott International, Inc. 6,735 43
* bebe stores, inc 2,228 43
* Kadant Inc. 2,272 43
BNP Residential Properties, Inc. REIT 3,944 43
Umpqua Holdings Corp. 2,240 43
* Financial Federal Corp. 1,743 43
* Dril-Quip, Inc. 2,328 42
* Benihana Inc. Class A 3,209 42
Connecticut Water Services, Inc. 1,656 42
* InterMune Inc. 2,625 42
First Financial Holdings, Inc. 1,562 42
* Dollar Thrifty Automotive Group, Inc. 2,267 42
* OraSure Technologies, Inc. 5,632 42
* Inet Technologies, Inc. 4,212 42
* Artesyn Technologies, Inc. 7,485 42
Commercial Metals Co. 2,354 42
Belden, Inc. 2,633 42
* IXYS Corp. 5,247 42
* CoStar Group, Inc. 1,400 42
* Mesaba Holdings, Inc. 6,775 42
* Stratex Networks, Inc. 13,062 42
* ANSYS, Inc. 1,344 42
First Midwest Financial, Inc. 2,249 42
* Plug Power, Inc. 8,936 42
* Lifeline Systems, Inc. 1,467 42
Todd Shipyards Corp. 2,530 41
* Arris Group Inc. 8,355 41
* Leapfrog Enterprises, Inc. 1,300 41
Hudson River Bancorp. Inc. 1,480 41
Corporate Office Properties
Trust, Inc. REIT 2,440 41
* Duane Reade Inc. 2,800 41
Steelcase Inc. 3,510 41
Pilgrim's Pride Corp. 4,258 41
* American Medical Security
Group, Inc. 2,153 41
* Input/Output, Inc. 7,642 41
* Centillium Communications, Inc. 4,148 41
* NCI Building Systems, Inc. 2,460 41
* Trammell Crow Co. 3,872 41
Advanta Corp. Class A 4,170 41
First Indiana Corp. 2,391 41
Gold Banc Corp., Inc. 3,888 41
* Aether Systems, Inc. 8,337 41
Alico, Inc. 1,654 41
* Axsys Technologies, Inc. 4,236 41
* Harmonic, Inc. 10,033 41
* Chiquita Brands International, Inc. 2,816 41
Coachmen Industries, Inc. 3,415 41
First Community Bancorp 1,300 41
Capital City Bank Group, Inc. 1,125 41
Central Vermont Public
Service Corp. 2,082 41
* American Pharmaceuticals
Partners, Inc. 1,200 41
Glacier Bancorp, Inc. 1,650 41
Central Parking Corp. 3,284 41
CB Bancshares Inc. (HI) 653 41
* Bel Fuse, Inc. Class A 1,977 41
* DuPont Photomasks, Inc. 2,152 41
* Pre-Paid Legal Services, Inc. 1,650 40
Angelica Corp. 2,387 40
Wayne Savings Bancshares, Inc. 2,973 40
* Openwave Systems Inc. 20,683 40
Pulitzer, Inc. 816 40
* K2 Inc. 3,291 40
* Spherix Inc. 5,719 40
* PEC Solutions, Inc. 2,500 40
* FileNET Corp. 2,230 40
United Mobile Homes, Inc. REIT 2,648 40
St. Francis Capital Corp. 1,380 40
Brookfield Homes Corp. 2,600 40
* F5 Networks, Inc. 2,378 40
OM Group, Inc. 2,720 40
27
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Vail Resorts Inc. 2,972 $ 40
Lone Star Steakhouse & Saloon, Inc. 1,837 40
Watts Industries Class A 2,238 40
* Kos Pharmaceuticals, Inc. 1,700 40
Bowne & Co., Inc. 3,062 40
* Sapient Corp. 14,387 40
* Littelfuse, Inc. 1,782 40
Maine Public Service Co. 1,224 40
* Oak Technology, Inc. 6,393 40
* Cirrus Logic 9,805 39
* Lakes Entertainment, Inc. 4,931 39
* Mykrolis Corp. 3,881 39
Barnes Group, Inc. 1,809 39
Winston Hotels, Inc. REIT 4,818 39
* Spherion Corp. 5,660 39
* Vicuron Pharmaceuticals Inc. 2,766 39
MFA Mortgage Investments,
Inc. REIT 3,900 39
* Forrester Research, Inc. 2,390 39
* Local Financial Corp. 2,702 39
* SOURCECORP, Inc. 1,805 39
* Wellsford Real Properties Inc. 2,526 39
* Chalone Wine Group Ltd. 5,001 39
Wellman, Inc. 3,463 39
* GameStop Corp. 3,000 39
* Transaction Systems Architects, Inc. 4,310 39
Seacoast Financial Services Corp. 1,949 39
* Plains Resources Inc. 2,727 39
Independent Bank Corp. (MI) 1,500 39
* Kopin Corp. 6,294 39
Patriot Bank Corp. 2,137 38
Talx Corp. 1,700 38
* Swift Energy Co. 3,491 38
* National Dentex Corp. 1,877 38
* America West Holdings Corp.
Class B 5,645 38
* Stratus Properties Inc. 4,099 38
* Power Integrations, Inc. 1,575 38
First Merchants Corp. 1,575 38
* The Topps Co., Inc. 4,456 38
* WMS Industries, Inc. 2,455 38
* California Pizza Kitchen, Inc. 1,779 38
* Transkaryotic Therapies, Inc. 3,314 38
* Cell Therapeutics, Inc. 3,930 38
Associated Estates Realty Corp. REIT 5,813 38
* Cole National Corp. Class A 3,050 38
Cash America International Inc. 2,888 38
* 1-800-FLOWERS.COM, Inc. 4,632 38
Interchange Financial Services Corp. 1,925 38
PolyOne Corp. 8,571 38
Lindsay Manufacturing Co. 1,642 38
* Penwest Pharmaceuticals Co. 1,563 38
* RehabCare Group, Inc. 2,600 38
* Kindred Healthcare, Inc. 2,132 38
* Bright Horizons Family Solutions, Inc. 1,133 38
* Isle of Capri Casinos, Inc. 2,300 38
* Coinstar, Inc. 2,013 38
LTC Properties, Inc. REIT 3,970 38
* World Acceptance Corp. 2,327 38
* SonicWALL, Inc. 7,891 38
* Cable Design Technologies Corp. 5,292 38
* OPNET Technologies, Inc. 3,104 38
UniFirst Corp. 1,726 38
* Radiant Systems, Inc. 5,607 38
* Gardner Denver Inc. 1,847 38
* Clark, Inc. 3,160 38
* PC Connection, Inc. 5,548 38
Middlesex Water Co. 1,530 38
* Safeguard Scientifics, Inc. 13,946 38
Dover Downs Gaming &
Entertainment, Inc. 4,067 38
Crawford & Co. Class B 7,625 37
* Young Broadcasting Inc. 1,770 37
* The TriZetto Group, Inc. 6,192 37
TF Financial Corp. 1,216 37
* SciClone Pharmaceuticals, Inc. 4,366 37
* Omnova Solutions Inc. 9,233 37
* Titanium Metals Corp. 1,161 37
* Avatar Holding, Inc. 1,234 37
* Aspect Medical Systems, Inc. 5,048 37
* Boston Beer Co., Inc. Class A 2,586 37
The Nautilus Group, Inc. 3,000 37
World Fuel Services Corp. 1,511 37
* Atrix Laboratories, Inc. 1,686 37
* A.M. Castle & Co. 5,620 37
* Triton PCS, Inc. 7,286 37
* Encore Wire Corp. 3,867 37
First South Bancorp, Inc. 1,104 37
* Ventana Medical Systems, Inc. 1,349 37
Resource America, Inc. 3,534 37
Carpenter Technology Corp. 2,340 37
National Penn Bancshares Inc. 1,300 37
* Opsware, Inc. 9,072 36
Meridian Bioscience Inc. 3,994 36
* Westell Technologies, Inc. 4,201 36
* Telular Corp. 7,539 36
BancFirst Corp. 700 36
* FalconStor Software, Inc. 5,418 36
* Specialty Laboratories, Inc. 3,533 36
FelCor Lodging Trust, Inc. REIT 4,608 36
* MICROS Systems, Inc. 1,094 36
First Keystone Financial, Inc. 1,597 36
* Time Warner Telecom Inc. 5,653 36
* Alexion Pharmaceuticals, Inc. 2,112 36
28
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* CONMED Corp. 1,972 $ 36
Interface, Inc. 7,727 36
* ViaSat, Inc. 2,500 36
* I-STAT Corp. 3,987 36
Washington Trust Bancorp, Inc. 1,558 36
* Systems & Computer
Technology Corp. 3,975 36
Material Sciences Corp. 3,688 36
* Learning Tree International, Inc. 2,288 36
* Kulicke & Soffa Industries, Inc. 5,595 36
Helix Technology Corp. 2,701 36
* Petroleum Helicopters, Inc. 1,185 36
* Jacuzzi Brands, Inc. 6,753 36
* Maxim Pharmaceuticals, Inc. 6,204 36
* GrafTech International Ltd. 6,542 36
* Pathmark Stores, Inc. 4,660 36
* Alliance Imaging, Inc. 8,100 36
R & G Financial Corp. Class B 1,200 36
Stanley Furniture Co., Inc. 1,300 36
* Cubist Pharmaceuticals, Inc. 3,337 36
* New Focus, Inc. 9,496 36
* Concerto Software Inc. 3,857 35
* USANA Health Sciences, Inc. 800 35
Hopfed Bancorp, Inc. 2,205 35
* AK Steel Corp. 9,745 35
* SonoSite, Inc. 1,762 35
* Labor Ready, Inc. 4,896 35
* Strattec Security Corp. 658 35
* The Buckle, Inc. 1,819 35
* Datastream Systems, Inc. 3,299 35
* Mercury Computer Systems, Inc. 1,921 35
* Armor Holdings, Inc. 2,600 35
* Antigenics, Inc. 3,021 35
Cadmus Communications 3,914 35
* Corixa Corp. 4,497 35
* Atari, Inc. 7,811 35
West Coast Bancorp 1,908 35
* CKE Restaurants Inc. 6,189 35
GBC Bancorp 900 35
* JDA Software Group, Inc. 3,088 35
* Shoe Carnival, Inc. 2,340 35
* Teletech Holdings Inc. 8,151 34
* O'Charley's Inc. 1,600 34
The Stride Rite Corp. 3,457 34
Peoples Holding Co. 777 34
* Layne Christensen Co. 4,256 34
* Portfolio Recovery Associates, Inc. 1,100 34
* 1-800 CONTACTS, Inc. 1,400 34
Inter-Tel, Inc. 1,614 34
* Talk America Holdings, Inc. 3,135 34
* Cell Genesys, Inc. 3,948 34
Curtiss-Wright Corp. Class B 547 34
* UTStarcom, Inc. 958 34
* PRG-Schultz International, Inc. 5,772 34
* SPSS, Inc. 2,031 34
* EMS Technologies, Inc. 2,599 34
Green Mountain Power Corp. 1,699 34
* Wackenhut Corrections Corp. 2,477 34
Omega Financial Corp. 992 34
Phillips-Van Heusen Corp. 2,489 34
Anworth Mortgage Asset
Corp. REIT 2,200 34
* E.piphany Inc. 6,636 34
WSFS Financial Corp. 882 34
CFS Bancorp, Inc. 2,400 34
* Symmetricom Inc. 7,619 34
* InterVoice, Inc. 6,769 33
Myers Industries, Inc. 3,513 33
MCG Capital Corp. 2,300 33
* Gulfmark Offshore, Inc. 1,972 33
Farmer Brothers, Inc. 98 33
* Old Dominion Freight Line, Inc. 1,536 33
* Regent Communications, Inc. 5,607 33
* Isis Pharmaceuticals, Inc. 6,225 33
OceanFirst Financial Corp. 1,349 33
CIRCOR International, Inc. 1,846 33
* Ciphergen Biosystems, Inc. 3,206 33
* Water Pik Technologies, Inc. 4,229 33
* PRAECIS Pharmaceuticals Inc. 6,704 33
* Manugistics Group, Inc. 7,983 33
* Steven Madden, Ltd. 1,500 33
Ryerson Tull, Inc. 3,730 33
Arrow Financial Corp. 981 33
Roto-Rooter, Inc. 857 33
* Veritas DGC Inc. 2,845 33
* Myriad Genetics, Inc. 2,400 33
* Gene Logic Inc. 5,467 33
Met-Pro Corp. 2,255 33
Apogee Enterprises, Inc. 3,608 33
* Callon Petroleum Co. 4,566 33
U.S.B. Holding Co., Inc. 1,831 33
Bank Mutual Corp. 1,000 33
* Orbital Sciences Corp. 4,451 32
* Diversa Corp. 3,302 32
Community Banks, Inc. 1,090 32
* Trans World Entertainment Corp. 6,331 32
Lance, Inc. 3,549 32
Ziegler Cos., Inc. 2,124 32
* Bay View Capital Corp. 5,600 32
* Primus Telecommunications
Group, Inc. 6,270 32
* General Binding Corp. 2,685 32
* Parker Drilling Co. 11,063 32
* Prime Hospitality Corp. 4,794 32
29
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Sterling Financial Corp. (Spokane) 1,320 $ 32
General Cable Corp. 5,952 32
* Hologic, Inc. 2,438 32
Curtiss-Wright Corp. 508 32
* Administaff, Inc. 3,104 32
* ActivCard Corp. 3,400 32
* Nabi Biopharmaceuticals 4,658 32
* Savient Pharmaceuticals Inc. 6,883 32
* School Specialty, Inc. 1,122 32
* Jo-Ann Stores, Inc. Class A 1,261 32
* Paxar Corp. 2,900 32
Texas Genco Holdings, Inc. 1,372 32
* Stillwater Mining Co. 6,179 32
* Maxxam Inc. 2,190 32
* Lexicon Genetics Inc. 4,729 32
Flushing Financial Corp. 1,428 32
* Sykes Enterprises, Inc. 6,471 32
* ON Semiconductor Corp. 11,710 32
* VistaCare, Inc. 1,300 32
* Dave & Busters, Inc. 2,897 32
* Immunomedics Inc. 5,002 32
* Mapics Inc. 3,848 32
Midwest Banc Holdings, Inc. 1,620 31
* Pericom Semiconductor Corp. 3,380 31
* Serologicals Corp. 2,300 31
Medallion Financial Corp. 4,472 31
* Websense, Inc. 2,000 31
NYMAGIC, Inc. 1,545 31
McMoRan Exploration Co. 2,795 31
* Epicor Software Corp. 5,197 31
Methode Electronics, Inc. Class A 2,893 31
* MatrixOne, Inc. 5,418 31
Sizeler Property Investors, Inc. REIT 3,028 31
* MRO Software Inc. 3,596 31
* Revlon, Inc. Class A 10,328 31
* Digitas Inc. 6,238 31
* Secure Computing Corp. 3,540 31
* Wind River Systems Inc. 8,095 31
Columbia Banking System, Inc. 1,718 31
* SupportSoft, Inc. 4,741 31
BCSB Bankcorp, Inc. 2,051 31
* MicroStrategy Inc. 843 31
* CuraGen Corp. 5,529 31
* PICO Holdings, Inc. 2,356 31
* Accredited Home Lenders
Holding Co. 1,560 31
* Retek Inc. 4,775 31
* AAON, Inc. 1,650 31
* Immucor Inc. 1,402 31
* Integrated Electrical Services, Inc. 4,211 31
Pioneer Standard Electronics Inc. 3,591 30
* Caraustar Industries, Inc. 3,795 30
* Salem Communications Corp. 1,500 30
* Tollgrade Communications, Inc. 1,609 30
Penford Corp. 2,685 30
* Century Business Services, Inc. 9,173 30
* M&F Worldwide Corp. 4,122 30
* IDT Corp. 1,658 30
* Insignia Financial Group, Inc. 2,670 30
* ePlus Inc. 2,783 30
* Friendly Ice Cream Corp. 4,682 30
* Curative Health Services Inc. 1,739 30
* Saxon Capital Inc. 1,700 30
* MemberWorks, Inc. 1,494 30
* Stein Mart, Inc. 4,922 29
Century Bancorp, Inc. Class A 990 29
* Plains Exploration & Production Co. 2,727 29
* Hawthorne Financial Corp. 848 29
* Avanex Corp. 7,346 29
* MRV Communications Inc. 14,615 29
* PharmaNetics, Inc. 5,064 29
American Home Mortgage
Holdings, Inc. 1,500 29
* PC-Tel, Inc. 2,475 29
* Netscreen Technologies, Inc. 1,300 29
* Gentiva Health Services, Inc. 3,250 29
* E-LOAN, Inc. 5,008 29
* hi/fn, inc 3,266 29
* Quality Systems, Inc. 1,051 29
Fidelity Bankshares, Inc. 1,300 29
* PTEK Holdings, Inc. 5,968 29
* SafeNet, Inc. 1,032 29
* US Physical Therapy, Inc. 2,300 29
Fedders Corp. 9,386 29
* Possis Medical Inc. 2,100 29
Metris Cos., Inc. 5,190 29
* Concurrent Computer Corp. 9,854 29
* CardioDynamics International Corp. 8,432 29
First Bancorp (NC) 1,108 29
* Galyan's Trading Co. 2,000 29
* Identix, Inc. 4,513 29
* United PanAm Financial Corp. 2,341 29
* AMC Entertainment, Inc. 2,500 29
* California Amplifier, Inc. 8,000 29
* Hycor Biomedical Inc. 6,163 29
JLG Industries, Inc. 4,196 29
* Incyte Corporation 6,148 29
Coca-Cola Bottling Co. 522 29
Oneida Ltd. 4,222 28
* eCollege.com Inc. 2,475 28
* Merix Corp. 3,710 28
* JAKKS Pacific, Inc. 2,124 28
Nu Skin Enterprises, Inc. 2,700 28
* Veeco Instruments, Inc. 1,654 28
30
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Group 1 Software, Inc. 1,536 $ 28
Unizan Financial Corp. 1,600 28
* Tower Automotive, Inc. 7,675 28
* Workflow Management, Inc. 8,120 28
* NYFIX, Inc. 4,410 28
* PracticeWorks Inc. 1,447 28
* Pegasystems Inc. 3,788 28
Wainwright Bank & Trust Co. 2,764 28
* Finisar Corp. 17,994 28
* Hector Communications Corp. 2,219 28
Seacoast Banking Corp. of Florida 1,627 28
Brown Shoe Co., Inc. 929 28
* Crown Media Holdings, Inc. 6,671 28
* Kirkland's, Inc. 1,700 27
* Bally Total Fitness Holding Corp. 3,038 27
* Interwoven, Inc. 12,330 27
* S1 Corp. 6,755 27
* Vivus, Inc. 5,306 27
* Rochester Medical Corp. 2,716 27
AMCOL International Corp. 3,408 27
* Saga Communications, Inc. 1,400 27
* Digi International, Inc. 4,721 27
* Concord Communications, Inc. 1,975 27
Capitol Bancorp Ltd. 1,000 27
* Candela Corp. 2,346 27
Farmers Capital Bank Corp. 846 27
* BioSphere Medical Inc. 4,500 27
Port Financial Corp. 500 27
* Gerber Scientific, Inc. 4,036 27
Argonaut Group, Inc. 2,177 27
* Perry Ellis International Corp. 1,372 27
* Multimedia Games Inc. 1,050 27
* Vicor Corp. 2,786 27
* Impath, Inc. 1,890 27
* Nashua Corp. 2,999 27
* Actel Corp. 1,300 27
* Bottomline Technologies, Inc. 3,300 27
* SuperGen, Inc. 4,928 27
* Red Robin Gourmet Burgers 1,400 27
American States Water Co. 971 27
* Entrust, Inc. 8,998 26
* TTM Technologies, Inc. 5,634 26
* SeaChange International, Inc. 2,765 26
* Integrated Defense Technology, Inc. 1,700 26
L.S. Starrett Co. Class A 2,036 26
* Dendreon Corp. 4,431 26
Jacksonville Bancorp, Inc. 924 26
* Verisity Ltd. 2,200 26
* Prima Energy Corp. 1,258 26
* Embarcadero Technologies, Inc. 3,748 26
* FreeMarkets, Inc. 3,766 26
* ImmunoGen, Inc. 6,130 26
Codorus Valley Bancorp, Inc. 1,661 26
* Aftermarket Technology Corp. 2,469 26
* Corvas International, Inc. 9,571 26
* MTC Technologies, Inc. 1,100 26
* EPIQ Systems, Inc. 1,500 26
* Insurance Auto Auctions, Inc. 2,048 26
Greater Community Bancorp 1,669 26
* Pinnacle Entertainment, Inc. 3,777 26
* IDT Corp. Class B 1,458 26
Timberline Software Corp. 4,550 26
* Watson Wyatt & Co. Holdings 1,100 25
Oil-Dri Corp. of America 2,123 25
Solutia, Inc. 11,686 25
* Northwest Pipe Co. 1,751 25
* Presstek, Inc. 4,073 25
Horizon Financial Corp. 1,605 25
* Conceptus, Inc. 1,800 25
Gevity HR, Inc. 2,138 25
* InterCept, Inc. 3,018 25
* Digital River, Inc. 1,304 25
* Proxim Corp. Class A 17,225 25
* Giant Industries, Inc. 4,210 25
Sandy Spring Bancorp, Inc. 794 25
* JNI Corp. 5,088 25
* Encysive Pharmaceuticals, Inc. 5,223 25
* Wiser Oil Co. 4,352 25
* Extended Systems Inc. 6,414 25
Coastal Bancorp, Inc. 879 25
* Mobile Mini, Inc. 1,523 25
* Inspire Pharmaceuticals, Inc. 2,300 25
* Prime Group Realty Trust REIT 4,282 25
* Ace Cash Express, Inc. 2,283 25
* Alliance Semiconductor Corp. 5,110 25
* KVH Industries, Inc. 1,000 25
Milacron Inc. 5,055 25
Capstead Mortgage Corp. REIT 2,186 25
* Transmeta Corp. 15,389 25
* COMARCO, Inc. 3,450 24
Second Bancorp, Inc. 949 24
* FindWhat.com 1,300 24
* Torch Offshore, Inc. 3,600 24
Dover Motorsports, Inc. 5,954 24
* Hi-Tech Pharmacal Co., Inc. 600 24
* Greka Energy Corp. 4,211 24
* Horizon Offshore, Inc. 4,889 24
* Casella Waste Systems, Inc. 2,692 24
* Verity, Inc. 1,918 24
* Portal Software, Inc. 12,134 24
* PDF Solutions, Inc. 2,100 24
* General Communication, Inc. 2,800 24
Simmons First National Corp. 1,210 24
* XOMA Ltd. 4,538 24
31
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Interpore International 1,900 $ 24
X-Rite Inc. 2,435 24
* Tyler Technologies, Inc. 5,666 24
First Federal Bancshares of
Arkansas, Inc. 753 24
MeriStar Hospitality Corp. REIT 4,629 24
Virco Manufacturing Corp. 3,740 24
* Paragon Technologies, Inc. 2,370 24
Infinity Property & Casualty Corp. 1,000 24
* Air Methods Corp. 3,041 24
* Atlanta Sosnoff Capital Corp. 1,736 24
* Nanogen, Inc. 7,986 23
* Zygo Corp. 2,931 23
* Alliance Data Systems Corp. 1,000 23
Banner Corp. 1,141 23
* Netegrity, Inc. 3,997 23
World Wrestling Entertainment, Inc. 2,265 23
* Energy Conversion Devices, Inc. 2,557 23
* Lancer Corp. 3,372 23
* Novoste Corp. 3,865 23
* GSI Commerce, Inc. 3,468 23
Prosperity Bancshares, Inc. 1,200 23
* Pharmacopeia, Inc. 2,797 23
* CryoLife Inc. 2,226 23
LSB Corp. 1,398 23
* Skechers U.S.A., Inc. 3,108 23
* Interactive Intelligence Inc. 6,083 23
* Asbury Automotive Group, Inc. 1,700 23
HF Financial Corp. 1,286 23
* SCM Microsystems, Inc. 4,192 23
* Aspect Communications Corp. 5,902 23
* Sanchez Computer Associates, Inc. 4,375 23
* SBA Communications Corp. 7,477 23
* Terayon Communications
Systems, Inc. 8,314 23
* Drexler Technology Corp. 1,461 23
* Big 5 Sporting Goods Corp. 1,800 23
* Capital Corp. of the West 889 23
* Strategic Diagnostics Inc. 5,050 23
BSB Bancorp, Inc. 907 23
* Martha Stewart Living
Omnimedia, Inc. 2,387 22
* I.D. Systems, Inc. 2,818 22
* NASSDA Corp. 2,900 22
* 4Kids Entertainment Inc. 1,200 22
Sterling Bancorp 800 22
* Universal Display Corp. 2,500 22
* PDI, Inc. 2,191 22
Connecticut Bancshares, Inc. 564 22
* InFocus Corp. 4,671 22
* Mastec Inc. 3,811 22
NUI Corp. 1,411 22
* Department 56 Inc. 1,426 22
* Gadzooks, Inc. 3,843 22
* Neoforma, Inc. 1,998 22
* iGATE Corp. 6,274 22
* Harris Interactive Inc. 3,300 22
* MedCath Corp. 3,700 22
* Zix Corp. 5,704 22
* Dick's Sporting Goods, Inc. 600 22
Summit Bancshares, Inc. 912 21
Cascade Bancorp 1,234 21
Investors Title Co. 748 21
* Third Wave Technologies 4,741 21
* Prime Energy Corp. 2,226 21
Southwest Bancorp, Inc. 770 21
Tech/Ops Sevcon, Inc. 4,019 21
* Sequa Corp. Class A 615 21
Ameriana Bancorp 1,500 21
* The Meridian Resource Corp. 4,449 21
Partners Trust Financial Group, Inc. 1,100 21
* First Mariner Bancorp, Inc. 1,646 21
* Universal Electronics, Inc. 1,648 21
* MSC.Software Corp. 3,100 21
Newmil Bancorp, Inc. 950 21
* Vixel Corp. 3,243 21
* MTR Gaming Group Inc. 2,686 21
* Phoenix Technologies Ltd. 3,670 21
* RCN Corp. 10,437 21
* Luminex Corp. 4,004 21
* Roxio, Inc. 3,088 21
* Alloy, Inc. 3,200 21
Courier Corp. 400 21
Sanders Morris Harris Group Inc. 2,300 21
* SureBeam Corp. 7,764 21
Safety Insurance Group, Inc. 1,400 21
* AZZ Inc. 1,865 21
* Aphton Corp. 2,490 21
* Manufacturers' Services Ltd. 4,222 20
* Syntroleum Corp. 7,673 20
* CCC Information Services Group 1,400 20
* Metro One Telecommunications, Inc. 3,900 20
Calgon Carbon Corp. 3,497 20
Oregon Trail Financial Corp. 804 20
LSI Industries Inc. 1,806 20
Ameriserv Financial Inc. 5,269 20
MB Financial, Inc. 500 20
* Todhunter International, Inc. 1,975 20
Provident Bancorp, Inc. 623 20
* Applied Innovation Inc. 5,762 20
Standard Motor Products, Inc. 1,792 20
HEICO Corp. 1,623 20
* Able Laboratories, Inc. 1,000 20
Paul Mueller Co. 488 20
32
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
German American Bancorp 1,132 $ 20
* LCC International, Inc. Class A 7,163 20
* Volt Information Sciences Inc. 1,436 20
Merchants Bancshares, Inc. 752 20
* Willis Lease Finance Corp. 4,189 20
* Aclara Biosciences, Inc. 4,614 20
* Gulf Island Fabrication, Inc. 1,148 19
* SeeBeyond Technology Corp. 8,403 19
* Turnstone Systems, Inc. 7,715 19
* Ribapharm Inc. 3,000 19
* BioLase Technology, Inc. 1,800 19
* Dynamics Research Corp. 1,261 19
Hanmi Financial Corp. 1,100 19
* First Consulting Group, Inc. 4,092 19
* Biopure Corp. 3,100 19
* Catalytica Energy Systems, Inc. 7,012 19
* Salix Pharmaceuticals, Ltd. 1,800 19
* NS Group Inc. 1,926 19
* Zoltek Cos., Inc. 6,579 19
Sterling Financial Corp. (PA) 805 19
* Herley Industries Inc. 1,102 19
* Innotrac Corp. 3,214 19
Pulaski Financial Corp. 681 19
Fidelity Bancorp, Inc. 576 19
* Navigant International, Inc. 1,440 19
* U.S. Energy Corp. 3,571 19
* QAD Inc. 2,499 19
* BroadVision, Inc. 3,249 18
* Enesco Group, Inc. 2,497 18
* ABIOMED, Inc. 3,375 18
Shore Bancshares, Inc. 600 18
* Commercial Capital Bancorp, Inc. 1,200 18
* Whitman Education Group, Inc. 1,200 18
* Neoware Systems, Inc. 1,200 18
* Conrad Industries, Inc. 7,466 18
* Lifecore Biomedical Inc. 3,233 18
* Three-Five Systems, Inc. 2,665 18
United Capital Corp. 523 18
Nash-Finch Co. 1,099 18
* Aspen Technologies, Inc. 3,811 18
* Mindspeed Technologies, Inc. 7,618 18
* Cepheid, Inc. 3,700 18
Heritage Financial Corp. 862 18
* HomeStore, Inc. 10,278 18
* Midway Games Inc. 5,009 18
* Pharmacyclics, Inc. 3,819 18
* Gabelli Asset Management Inc. 500 18
Capital Trust Class A 970 18
* Stoneridge, Inc. 1,318 18
* Medical Action Industries Inc. 1,100 18
* Oxigene, Inc. 1,815 18
United Industrial Corp. 1,100 18
* Computer Horizons Corp. 3,949 18
Novastar Financial, Inc. REIT 300 18
* Seabulk International, Inc. 2,019 18
Team Financial, Inc. 1,658 18
* DVI, Inc. 3,831 18
* Pumatech, Inc. 5,258 18
* Nastech Pharmaceutical Co., Inc. 1,785 18
Oak Hill Financial, Inc. 710 18
* Virage Logic Corp. 2,453 18
Peoples Bancorp, Inc. 700 18
* SM&A Corp. 1,556 18
* EnPro Industries, Inc. 1,650 18
* MIPS Technologies, Inc. 6,883 18
* WatchGuard Technologies, Inc. 3,827 18
* Theragenics Corp. 4,093 18
* Strategic Distribution, Inc. 1,081 18
* DJ Orthopedics Inc. 1,600 18
* Dobson Communications Corp. 3,200 17
Columbia Bancorp 726 17
* Colorado MEDtech, Inc. 3,700 17
* Moog Inc. 500 17
* Verso Technologies, Inc. 9,594 17
* Aerosonic Corp. 1,738 17
* Right Management Consultants, Inc. 1,355 17
* Intelidata Technologies Corp. 5,592 17
* Stamps.com Inc. 3,559 17
* Federal Agricultural Mortgage
Corp. Class A 1,021 17
* Alteon, Inc. 3,513 17
* Chicago Pizza & Brewery, Inc. 1,700 17
* Oplink Communications, Inc. 9,088 17
* Valence Technology Inc. 5,663 17
Standex International Corp. 800 17
Instinet Group Inc. 3,601 17
* Vitria Technology, Inc. 2,928 17
* Paxson Communications Corp. 2,800 17
* Riverstone Networks, Inc. 14,149 17
* Nuance Communications Inc. 3,079 17
Aceto Corp. 900 17
* Dura Automotive Systems, Inc. 1,752 17
First State Bancorporation 600 17
* Hewitt Associates, Inc. 700 16
* Mobius Management Systems, Inc. 2,203 16
* NIC Inc. 5,631 16
* C-COR Electronics, Inc. 3,345 16
* Net2Phone, Inc. 3,773 16
Wolohan Lumber Co. 700 16
Spartan Motors, Inc. 1,961 16
* SCS Transportation, Inc. 1,283 16
* Price Legacy Corp. REIT 4,303 16
* Emerson Radio Corp. 2,400 16
SWS Group, Inc. 800 16
33
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Progenics Pharmaceuticals, Inc. 1,070 $ 16
* Celeritek, Inc. 2,197 16
* Garden Fresh Restaurant Corp. 1,782 16
* V.I. Technologies, Inc. 6,546 16
* Alamosa Holdings, Inc. 10,471 16
* Inverness Medical Innovations, Inc. 827 16
* Matria Healthcare, Inc. 904 16
* Hexcel Corp. 4,979 16
* Integral Systems, Inc. 799 16
Nara Bancorp, Inc. 836 16
* Novavax, Inc. 2,847 16
* UbiquiTel Inc. 10,558 16
* GMX Resources Inc. 8,150 16
* Geron Corp. 2,138 16
* RMH Teleservices, Inc. 3,633 16
* W.R. Grace & Co. 3,562 16
Landauer, Inc. 375 16
Marine Products Corp. 1,444 16
* VaxGen, Inc. 3,020 16
North Valley Bancorp 1,042 16
* Pegasus Communications Corp. 528 16
* Fairchild Corp. 3,873 16
* SONUS Pharmaceuticals, Inc. 4,183 16
* Handspring, Inc. 13,807 16
* Tenneco Automotive, Inc. 4,329 16
* Griffin Land & Nurseries, Inc. 1,126 16
State Financial Services Corp.
Class A 701 16
* Analysts International Corp. 6,206 15
* Clarus Corp. 2,461 15
* Casual Male Retail Group, Inc. 2,977 15
* Syms Corp. 2,395 15
ISCO, Inc. 1,847 15
Stepan Co. 680 15
* VitalWorks Inc. 3,890 15
* RC2 Corp. 903 15
Southern Financial Bancorp, Inc. 500 15
* Autobytel Inc. 2,441 15
CompX International Inc. 2,729 15
* PETCO Animal Supplies, Inc. 700 15
Apex Mortgage Capital, Inc. REIT 2,774 15
* Central European Distribution Corp. 750 15
* Trover Solutions, Inc. 2,600 15
Greater Delaware Valley
Savings Bank 663 15
* TranSwitch Corp. 10,935 15
* TippingPoint Technologies Inc. 1,879 15
* Tellium, Inc. 15,971 15
* VA Software Corp. 6,843 15
Covest Bankshares, Inc. 597 15
* PriceSmart, Inc. 1,105 15
* Collins & Aikman Corp. 4,968 15
IBERIABANK Corp. 300 15
* America's Car-Mart, Inc. 800 15
* Aware, Inc. 6,553 15
Consolidated-Tomoka Land Co. 580 15
* Ethyl Corp. 1,463 15
Alabama National BanCorporation 300 15
* Embrex, Inc. 1,419 14
* Art Technology Group, Inc. 9,046 14
* Foster Wheeler Ltd. 6,755 14
* Hudson Highland Group, Inc. 759 14
* FARO Technologies, Inc. 2,032 14
* Network Equipment
Technologies, Inc. 1,700 14
* Actuate Software Corp. 5,144 14
* Redback Networks Inc. 15,843 14
* Hartmarx Corp. 4,764 14
* InKine Pharmaceutical Co., Inc. 4,225 14
BancTrust Financial Group, Inc. 900 14
* Microtune, Inc. 4,432 14
* Numerex Corp. 4,974 14
California Water Service Group 500 14
West Essex Bancorp, Inc. 400 14
* DRS Technologies, Inc. 500 14
* Covansys Corp. 4,540 14
* Kforce Inc. 2,883 14
* Acmat Corp. Class A 1,503 14
Banc Corp. 2,068 14
* Cerus Corp. 1,842 14
* ATP Oil & Gas Corp. 2,200 14
* IVAX Diagnostics, Inc. 2,766 14
Provident Financial Holdings, Inc. 471 14
* SpeechWorks International Inc. 2,932 14
* Nuvelo, Inc. 6,924 14
* Sirenza Microdevices, Inc. 6,774 14
* Magnatek, Inc. 5,390 14
* Amerco, Inc. 1,922 14
PrivateBancorp, Inc. 500 14
* Asyst Technologies, Inc. 2,038 14
* Cornell Companies, Inc. 900 14
* Selectica, Inc. 4,294 14
* Hecla Mining Co. 3,192 14
* LookSmart, Ltd. 4,764 13
American National Bankshares Inc. 500 13
* Captaris Inc. 3,923 13
* Beasley Broadcast Group, Inc. 980 13
American Residential Investment
Trust, Inc. REIT 1,460 13
* Ampal-American Israel Corp. 4,703 13
* Liquidmetal Technologies Inc. 2,600 13
* BindView Development Corp. 6,537 13
* Criimi Mae, Inc. REIT 1,204 13
* LodgeNet Entertainment Corp. 1,200 13
34
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Quaker Chemical Corp. 524 $ 13
* Allscripts Healthcare Solutions, Inc. 3,570 13
First M&F Corp. 400 13
* DigitalThink, Inc. 4,140 13
* Oregon Steel Mills, Inc. 4,488 13
* Mattson Technology, Inc. 4,200 13
* Mechanical Technology Inc. 4,184 13
* Exactech, Inc. 900 13
* Harvard Bioscience, Inc. 3,410 13
* Community West Bancshares 2,110 13
* Goody's Family Clothing 1,495 13
* Raindance Communications, Inc. 5,187 13
Old Second Bancorp, Inc. 300 13
* Omega Healthcare Investors,
Inc. REIT 2,437 13
* Xicor, Inc. 2,030 13
* SFBC International, Inc. 700 13
Vesta Insurance Group, Inc. 5,486 13
* La Jolla Pharmaceutical Co. 3,848 13
* Standard Microsystem Corp. 826 13
* ParkerVision, Inc. 1,902 12
* Checkers Drive-In Restaurants, Inc. 1,088 12
* KFX, Inc. 3,200 12
* iManage, Inc. 2,478 12
* The Princeton Review, Inc. 2,100 12
* Diacrin, Inc. 4,491 12
* Superior Consultant Holdings Corp. 4,112 12
* El Paso Electric Co. 1,000 12
* NMT Medial, Inc. 3,100 12
* Digital Generation Systems 6,395 12
* Silicon Graphics, Inc. 10,760 12
Sound Federal Bancorp Inc. 900 12
* On Assignment, Inc. 3,055 12
* Zomax Inc. 3,737 12
* Corio, Inc. 7,620 12
* ITLA Capital Corp. 300 12
Center Bancorp, Inc. 800 12
* Concord Camera Corp. 1,700 12
* Heidrick & Struggles
International, Inc. 954 12
* Altiris, Inc. 600 12
* Advanced Magnetics, Inc. 1,173 12
* iPayment Holdings, Inc. 500 12
* Curis, Inc. 3,275 12
* Eden Bioscience Corp. 7,422 12
* Covista Communications, Inc. 3,805 12
* Neogen Corp. 700 12
Commercial Bankshares, Inc. 400 12
* Blount International, Inc. 2,084 12
* Chronimed Inc. 1,200 12
Allen Organ Co. 283 12
* Insmed Inc. 4,380 12
* Trex Co., Inc. 300 12
* Sipex Corp. 2,394 12
MutualFirst Financial Inc. 500 12
* Tarragon Realty Investors Inc. REIT 800 12
* Cysive, Inc. 3,630 12
Bank of the Ozarks, Inc. 300 12
* Stellent Inc. 2,147 12
* LCA-Vision Inc. 1,291 12
* Bradley Pharmaceuticals, Inc. 700 12
* PLATO Learning, Inc. 2,001 12
* SRI/Surgical Express, Inc. 1,677 12
* Allied Holdings, Inc. 3,465 11
* Clean Harbors Inc. 1,200 11
* EntreMed, Inc. 2,738 11
Bush Industries, Inc. 3,784 11
* Ducommun, Inc. 800 11
* NeoPharm, Inc. 814 11
* QuickLogic Corp. 3,495 11
* TSR, Inc. 1,253 11
Penn-America Group, Inc. 1,000 11
* International Shipholding Corp. 1,039 11
* Ambassadors Group, Inc. 800 11
* Mail-Well, Inc. 4,425 11
* Lexent Inc. 7,910 11
* EMCORE Corp. 3,364 11
* ACTV, Inc. 11,223 11
Chester Valley Bancorp 573 11
* Neurogen Corp. 2,387 11
Pacific Union Bank 800 11
* Alcide Corp. 1,009 11
* Forgent Networks, Inc. 3,983 11
First Federal Financial Corp.
of Kentucky 330 11
* Double Eagle Petroleum Co. 1,371 11
* EXCO Resources, Inc. 600 11
* Mothers Work, Inc. 400 11
* Fargo Electronics 1,100 11
Titan International, Inc. 8,611 11
* SteelCloud Inc. 3,121 11
* Optical Communication
Products, Inc. 5,929 11
* Durect Corp. 4,425 11
* MarketWatch.com, Inc. 1,274 11
* Traffix, Inc. 3,467 11
* Glenayre Technologies, Inc. 7,769 11
* Answerthink Consulting Group, Inc. 5,511 11
First United Corp. 500 11
* Netro Corp. 3,679 11
* Correctional Services Corp. 3,725 11
* TheStreet.com, Inc. 2,242 11
* Loral Space & Communications, Ltd. 3,442 10
* Genlyte Group, Inc. 300 10
35
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Camco Financial Corp. 670 $ 10
Security Bank Corp. 300 10
* MetaSolv, Inc. 5,311 10
* FSI International, Inc. 2,666 10
* BE Aerospace, Inc. 3,140 10
LSB Bancshares, Inc. 600 10
* Witness Systems, Inc. 2,006 10
Firstfed America Bancorp, Inc. 300 10
* CyberSource Corp. 3,774 10
* Centra Software, Inc. 3,329 10
Urstadt Biddle Properties
Class A REIT 800 10
* Information Resources, Inc. 2,604 10
* Ceres Group, Inc. 3,566 10
* ImageWare Systems, Inc. 3,800 10
Maritrans Inc. 700 10
Saul Centers, Inc. REIT 400 10
* ITXC Corp. 3,903 10
* Braun Consulting, Inc. 5,992 10
Steel Technologies, Inc. 1,000 10
* Anthony & Sylvan Pools Corp. 3,845 10
* Lazare Kaplan International, Inc. 1,707 10
Superior Financial Corp. 419 10
* Caliper Technologies Corp. 2,209 10
* Aradigm Corp. 5,575 10
* Tumbleweed Communications Corp. 3,880 10
Proton Energy Systems, Inc. 4,650 10
Bedford Bancshares, Inc. 422 10
Raven Industries, Inc. 500 10
* Netopia, Inc. 2,531 10
* Illumina, Inc. 3,276 10
* Medical Staffing Network
Holdings, Inc. 1,400 10
* SITEL Corp. 6,305 10
Intermet Corp. 2,894 10
Valmont Industries, Inc. 500 10
* Zapata Corp. 200 10
First Colonial Group, Inc. 200 10
* Dyax Corp. 2,379 10
* Sequenom, Inc. 3,558 10
* SoundView Technology Group, Inc. 951 10
* Carreker Corp. 2,100 10
Peapack Gladstone Financial Corp. 300 10
* Carriage Services, Inc. 2,708 10
Cascade Natural Gas Corp. 500 10
* Comshare Inc. 2,098 10
* Green Mountain Coffee
Roasters, Inc. 500 10
* Chordiant Software, Inc. 5,093 9
Foothill Independent Bancorp. 500 9
* Protection One, Inc. 9,439 9
* The Allied Defense Group, Inc. 500 9
* NaPro BioTherapeutics, Inc. 6,104 9
* Emisphere Technologies, Inc. 2,550 9
* Interlink Electronics Inc. 1,500 9
* Keystone Automotive Industries, Inc. 500 9
* Huttig Building Products, Inc. 3,365 9
Citizens First Financial Corp. 387 9
* Buca, Inc. 1,600 9
* Investors Capital Holdings, Ltd. 3,067 9
New England Business
Service, Inc. 300 9
* Franklin Electronic Publishers, Inc. 2,242 9
Burnham Pacific Properties,
Inc. REIT 15,143 9
* Brightpoint, Inc. 720 9
* Worldwide Restaurant
Concepts Inc. 2,964 9
* RadiSys Corp. 656 9
* Internap Network Services Corp. 8,392 9
* First Union Real Estate REIT 4,772 9
* LMI Aerospace, Inc. 4,197 9
Bedford Property Investors, Inc. REIT 300 9
* NMS Communications Corp. 4,321 9
* Spectranetics Corp. 2,779 8
* DiamondCluster International, Inc. 2,278 8
* Triumph Group, Inc. 300 8
Applied Industrial Technology, Inc. 400 8
* Avici Systems Inc. 1,376 8
* Central Coast Bancorp 500 8
Universal Forest Products, Inc. 400 8
Ameron International Corp. 240 8
Pennfed Financial Services, Inc. 300 8
United Community Financial Corp. 900 8
* Capital Title Group, Inc. 1,848 8
* Perceptron, Inc. 1,378 8
* EZCORP, Inc. 1,891 8
* iVillage Inc. 5,432 8
* Comfort Systems USA, Inc. 3,106 8
* Curon Medical Inc. 7,226 8
* Nu Horizons Electronics Corp. 1,354 8
Thomas Industries, Inc. 300 8
* AmericanWest Bancorporation 500 8
Mid-America Apartment Communities, Inc. REIT 300 8
ESB Financial Corp. 600 8
* Quovadx, Inc. 2,693 8
* Vical, Inc. 1,846 8
* Switchboard Inc. 2,230 8
* barnesandnoble.com inc 3,443 8
* Captiva Software Corp. 1,620 8
* TransPro Inc. 1,789 8
* Sunrise Telecom Inc. 4,513 8
36
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Titan Pharmaceuticals, Inc. 3,367 $ 8
First Defiance Financial Corp. 400 8
* Internet Capital Group, Inc. 16,508 8
* Intrado Inc. 500 8
Southwest Water Co. 565 8
* Value City Department Stores, Inc. 3,569 8
* Applied Molecular Evolution, Inc. 1,838 8
* Capstone Turbine Corp. 7,214 8
* Global Payment Tech Inc. 1,783 8
* Technology Solutions Co. 7,836 8
* Docucorp International, Inc. 1,179 8
* Sangamo BioSciences, Inc. 2,740 8
* Foamex International, Inc. 2,519 8
* Lillian Vernon Corp. 1,063 8
TriCo Bancshares 300 8
* Parallel Petroleum Corp. 2,000 8
* Jupitermedia Corp. 1,906 8
Main Street Banks, Inc. 300 8
GA Financial, Inc. 300 8
* Capital Pacific Holdings, Inc. 1,789 8
Republic Bancshares, Inc. 300 8
Citizens South Banking Corp. 600 8
* PLX Technology, Inc. 1,900 7
First SecurityFed Financial, Inc. 300 7
* Kana Software, Inc. 2,458 7
* Allied Healthcare International Inc. 1,980 7
Shenandoah Telecommunications Co. 155 7
* QRS Corp. 1,390 7
* Genome Therapeutics Corp. 2,887 7
* Somera Communications, Inc. 5,038 7
* Petroleum Development Corp. 800 7
Tennant Co. 200 7
* CYTOGEN Corp. 879 7
* Information Holdings Inc. 400 7
* Computer Task Group, Inc. 2,557 7
* Terra Industries, Inc. 6,769 7
* A.S.V., Inc. 500 7
* Penn Octane Corp. 2,264 7
* GTC Biotherapeutics, Inc. 2,100 7
D&E Communications, Inc. 629 7
* Edison Schools Inc. 4,789 7
* Danielson Holdings Corp. 4,477 7
* Inforte Corp. 907 7
* Cellstar Corp. 1,817 7
Yardville National Bancorp 363 7
Financial Institutions, Inc. 300 7
* Computer Motion, Inc. 1,800 7
* Toreador Resources Corp. 2,315 7
* BayCorp Holdings, Ltd. 500 7
* Tweeter Home Entertainment
Group, Inc. 800 7
* Unity Bancorp, Inc. 683 7
* II-VI, Inc. 300 7
* HMS Holdings Corp 2,468 7
Integra Bank Corp. 400 7
* eUniverse, Inc. 1,900 7
* Carrier Access Corp. 3,154 7
Eastern Virginia Bankshares, Inc. 300 7
* Interstate Hotels & Resorts, Inc. 1,462 7
* Belmont Bancorp 1,366 7
Mission West Properties Inc. REIT 600 7
* Gundle/SLT Environmental, Inc. 500 7
* Collagenex Pharmaceuticals, Inc. 500 7
* Targeted Genetics Corp. 3,721 7
* The SCO Group, Inc. 705 7
Keithley Instruments Inc. 465 7
* Acclaim Entertainment Inc. 9,860 7
Allegiant Bancorp, Inc. 330 7
* Kendle International Inc. 1,075 7
* Commerce One, Inc. 2,823 7
* Large Scale Biology Corp. 6,609 7
* SangStat Medical Corp. 504 7
Stephan Co. 1,743 7
* Factory 2-U Stores Inc. 1,316 7
* Ramtron International Corp. 2,886 7
* Merge Technologies, Inc. 500 7
* Monarch Casino & Resort, Inc. 700 7
* Park-Ohio Holdings Corp. 1,316 7
* Katy Industries, Inc. 1,331 6
* ePresence, Inc. 2,671 6
Investors Real Estate Trust REIT 600 6
Webster City Federal Bancorp 300 6
* Interland Inc. 6,553 6
* Digital Impact, Inc. 3,471 6
* Sonic Innovations, Inc. 1,778 6
* SRA International, Inc. 200 6
* Xanser Corp. 2,966 6
* Daily Journal Corp. 260 6
* FairMarket, Inc. 3,795 6
* Amcast Industrial Corp. 7,255 6
AmeriVest Properties, Inc. REIT 1,000 6
* Management Network Group Inc. 3,210 6
* Saba Software, Inc. 1,374 6
Cohu, Inc. 400 6
* Microvision, Inc. 1,000 6
* Digital Lightwave, Inc. 5,717 6
* Active Power, Inc. 3,664 6
* Total Entertainment
Restaurant Corp. 667 6
* Acme Communications, Inc. 800 6
* Channell Commercial Corp. 1,100 6
* Mercator Software, Inc. 4,057 6
* Orchid Biosciences, Inc. 5,021 6
* Applied Digital Solutions, Inc. 10,000 6
37
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Synovis Life Technologies, Inc. 300 $ 6
* Sun Bancorp, Inc. (NJ) 300 6
BHA Group Holdings Inc. 300 6
* Network Engines, Inc. 1,561 6
Psychemedics Corp. 725 6
CCBT Financial Cos. Inc. 247 6
* Wyndham International, Inc.
Class A 13,380 6
Newcastle Investment Corp. REIT 300 6
Royal Bancshares of
Pennsylvania, Inc. 275 6
* Blue Coat Systems, Inc. 978 6
* ViroPharma Inc. 2,238 6
* Docent, Inc. 1,705 6
* U.S. Energy Systems, Inc. 4,134 6
* Marimba, Inc. 1,981 6
* Track Data Corp. 6,608 6
* Wave Systems Corp. 6,508 6
* Paradyne Networks, Inc. 3,175 6
Leesport Financial Corp. 300 6
* Impco Technologies Inc. 921 6
* Lipid Sciences, Inc. 2,862 6
* Consumer Portfolio Services, Inc. 2,020 6
* Luby's, Inc. 2,513 6
* Global Power Equipment Group Inc. 1,215 6
* McLeod USA Inc. 3,739 6
* Columbia Laboratories Inc. 500 6
* Omega Protein Corp. 1,100 6
* AP Pharma Inc. 3,352 6
* Optical Cable Corp. 800 6
* Neurobiological Technologies, Inc. 1,600 6
* Perini Corp. 700 6
Keystone Property Trust REIT 300 6
Robbins & Myers, Inc. 300 6
EFC Bancorp, Inc 300 5
* Transgenomic, Inc. 2,841 5
* Westmoreland Coal Co. 300 5
* BTU International, Inc. 2,880 5
* WJ Communications, Inc. 5,246 5
* Candie's, Inc. 2,808 5
* Axonyx Inc. 2,200 5
Westfield Financial, Inc. 300 5
Lexington Corporate Properties
Trust REIT 300 5
* Critical Path, Inc. 5,314 5
* OAO Technology Solutions, Inc. 2,501 5
* ONYX Software Corp. 5,380 5
American Mortgage Acceptance
Co. REIT 300 5
* Repligen Corp. 1,000 5
* Applied Films Corp. 200 5
* Edgewater Technology, Inc. 1,077 5
* VIA NET.WORKS, Inc. 5,204 5
Bank of Granite Corp. 300 5
* Big Dog Holdings, Inc. 1,650 5
* Coeur D'Alene Mines Corp. 3,661 5
* Therma-Wave Inc. 2,443 5
* Viewpoint Corp. 4,486 5
Cavalry Bancorp, Inc. 300 5
Applied Signal Technology, Inc. 300 5
* Atlas Air Worldwide Holdings, Inc. 3,439 5
* Medialink Worldwide, Inc. 1,489 5
* Royale Energy, Inc. 654 5
FNB Corp./North Carolina 200 5
* Z-Tel Technologies, Inc. 1,950 5
* Goodrich Petroleum Corp. 1,100 5
Flexsteel Industry 300 5
* APAC Teleservices, Inc. 1,928 5
* Rita Medical Systems, Inc. 1,400 5
* Electric Fuel Corp. 6,122 5
* Norstan, Inc. 1,483 5
* Visual Networks, Inc. 3,538 5
* Click2learn, Inc. 2,800 5
* Infinity, Inc. 800 5
* Genaissance Pharmaceuticals, Inc. 3,100 5
* Juno Lighting, Inc. 361 5
* Superconductor Technologies Inc. 2,100 5
Great Lakes, Inc. REIT 300 5
* Lantronix, Inc. 6,475 5
FloridaFirst Bancorp, Inc. 200 5
U.S. Restaurant Properties, Inc. REIT 300 5
* Paradigm Genetics, Inc. 3,296 5
Kaman Corp. Class A 400 5
* Register.com, Inc. 797 5
* Blue Martini Software, Inc. 1,258 5
* Pinnacor Inc. 2,412 5
* Earthshell Corp. 11,260 5
* Orphan Medical, Inc. 500 5
* Genus, Inc. 1,700 5
* The Good Guys, Inc. 3,077 5
* I-many, Inc. 4,500 5
* Champps Entertainment Inc. 900 5
* Pacific Mercantile Bancorp 500 5
Astro-Med, Inc. 653 5
* GenVec, Inc. 2,163 4
* Lesco, Inc. 500 4
Republic Bancorp, Inc. Class A 300 4
* Aetrium, Inc. 3,024 4
LaSalle Hotel Properties REIT 300 4
* Latitude Communications, Inc. 2,383 4
* TRC Cos., Inc. 300 4
Habersham Bancorp 209 4
* Community Bancorp Inc. 300 4
Ennis Business Forms, Inc. 300 4
38
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Cavalier Homes, Inc. 2,095 $ 4
* Vyyo Inc. 1,423 4
* MacroChem Corp. 3,800 4
* Darling International, Inc. 1,756 4
* Proxymed Pharmacy, Inc. 320 4
* American Independence Corp. 390 4
* Ag Services of America, Inc. 697 4
* Iridex Corp. 1,100 4
Penn Engineering &
Manufacturing Corp. 300 4
* Osteotech, Inc. 300 4
Humphrey Hospitality Trust, Inc. REIT 1,565 4
* Peco II, Inc. 6,467 4
* Bioject Medical Technologies Inc. 1,000 4
CoBiz Inc. 300 4
* Stratos Lightwave, Inc. 802 4
* EXE Technologies, Inc. 789 4
* Republic First Bancorp, Inc. 500 4
* Niku Corp. 871 4
* Matritech Inc. 1,700 4
* ICT Group, Inc. 375 4
* Crossroads Systems, Inc. 2,314 4
* Diametrics Medical, Inc. 3,351 4
* Net Perceptions, Inc. 2,405 4
* RWD Technologies, Inc. 1,849 4
* TechTeam Global, Inc. 600 4
* Synagro Technologies Inc. 1,506 4
* Cosine Communications, Inc. 623 4
Comdisco Holding Co., Inc.
Contingent Value Rights 11,949 4
* Baldwin Technology Class A 5,881 4
* Ceradyne, Inc. 200 4
* Applied Imaging Corp. 2,500 4
* Heritage Commerce Corp. 300 4
* Drew Industries, Inc. 200 4
* Navarre Corp. 1,714 4
* Blue Rhino Corp. 300 4
* Summa Industries 500 4
* AirGate PCS, Inc. 2,980 4
* Airnet Communications Corp. 3,283 4
First Busey Corp. 146 4
* Applix, Inc. 2,208 4
* ResortQuest International, Inc. 800 4
* Stratasys, Inc. 100 4
Community Bank of Northern Virginia 300 3
Cascade Corp. 200 3
* Cone Mills Corp. 2,187 3
* SAVVIS Communications Corp. 3,840 3
* Cardima, Inc. 4,715 3
* StorageNetworks, Inc. 2,390 3
* ebix.com Inc. 487 3
* Argonaut Technologies Inc. 2,664 3
* Trump Hotels & Casino Resorts, Inc. 1,687 3
* SPEEDUS Corp. 2,777 3
* AXT, Inc. 2,800 3
* Bell Industries, Inc. 1,505 3
* Intraware, Inc. 2,604 3
* The Greenbrier Cos., Inc. 300 3
* John B. Sanfilippo & Son, Inc. 200 3
* Nutraceutical International Corp. 300 3
BRT Realty Trust REIT 200 3
National Health Realty Inc. REIT 200 3
Warwick Community Bancorp, Inc. 109 3
Pennrock Financial Services Corp. 118 3
* All American Semiconductor, Inc. 1,057 3
* Ostex International, Inc. 1,429 3
* The Immune Response Corp. 981 3
* BSQUARE Corp. 3,786 3
* Tut Systems, Inc. 783 3
* Carrington Labs Inc. 1,246 3
* Maxcor Financial Group Inc. 300 3
* Concur Technologies, Inc. 300 3
* Lightspan Inc. 4,308 3
* Systemax Inc. 848 3
Northern States Financial Corp. 100 3
Hemlock Federal Financial Corp. 100 3
Berkshire Hills Bancorp, Inc. 100 3
* Lanvision Systems, Inc. 1,425 3
* Virologic, Inc. 2,205 3
* Research Frontiers, Inc. 200 3
ILX Resorts Inc. 329 3
* dELiA 3,989 3
* Copper Mountain Networks, Inc. 255 3
* Hungarian Telephone and Cable Corp. 300 3
* On2 Technologies, Inc. 2,193 3
Citizens 1st Bancorp, Inc. 125 3
* On Command Corp. 2,529 3
* Lowrance Electronics, Inc. 318 3
* Loudeye Corp. 3,369 3
* SportsLine.com, Inc. 1,287 3
* Trailer Bridge, Inc. 823 3
BostonFed Bancorp, Inc. 100 3
* Virage, Inc. 3,136 3
* NetManage, Inc. 877 3
FFLC Bancorp, Inc. 100 3
Princeton National Bancorp, Inc. 100 3
* Aurora Foods Inc. 7,196 3
Woodhead Industries, Inc. 200 3
* BMC Industries, Inc. 4,603 2
* Creative Host Services, Inc. 1,202 2
Home Federal Bancorp 100 2
* Aastrom Biosciences, Inc. 2,400 2
* Universal Access Global Holdings Inc. 5,737 2
39
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* eLoyalty Corp. 614 $ 2
* Beta Oil & Gas, Inc. 1,800 2
* Alpine Group, Inc. 3,009 2
* Adept Technology, Inc. 5,403 2
* Equinix, Inc. 302 2
* Duratek, Inc. 300 2
Boykin Lodging Co. REIT 300 2
* Electroglas, Inc. 1,784 2
* American Superconductor Corp. 400 2
* Pacific Premier Bancorp, Inc. 305 2
* Micro Linear Corp. 800 2
Lawson Products, Inc. 84 2
* DT Industries, Inc. 1,000 2
* Northfield Laboratories, Inc. 300 2
* Cortex Pharmaceuticals, Inc. 1,300 2
* Century Casinos, Inc. 1,000 2
* Penton Media, Inc. Class A 3,790 2
* Ista Pharmaceuticals Inc. 398 2
* GoAmerica, Inc. 6,305 2
* Interpharm Holdings, Inc. 739 2
* Storage Computer Corp. 2,856 2
* Baker (Michael) Corp. 200 2
* Hall, Kinion & Associates, Inc. 775 2
* HEI, Inc. 700 2
* eMerge Interactive, Inc. 2,734 2
* Avigen, Inc. 604 2
* Versar Inc. 800 2
* SIGA Technologies, Inc. 1,265 2
* Miller Industries, Inc. 609 2
* Quantum Fuel Systems
Technologies Worldwide, Inc. 921 2
* Plumtree Software, Inc. 500 2
* eGain Communications Corp. 4,361 2
* MTI Technology Corp. 2,045 2
* Nutrition 21 Inc. 4,377 2
* Perficient, Inc. 1,810 2
* Axeda Systems Inc. 1,400 2
* Fresh Choice, Inc. 1,092 2
* Primus Knowledge Solutions, Inc. 1,489 2
* Media 100 Inc. 1,614 2
* U.S. Concrete, Inc. 500 2
* Tripath Technology Inc. 2,491 2
* Hanover Direct, Inc. 6,816 2
* First Advantage Corp. Class A 114 2
* ACT Teleconferencing, Inc. 1,000 2
* IntraBiotics Pharmaceuticals, Inc. 470 2
* American Access Technologies Inc. 1,753 2
* Gallery of History, Inc. 466 2
Craftmade International, Inc. 100 2
* Impreso, Inc. 800 2
Click Commerce, Inc. 1,239 2
* A.T. Cross Co. Class A 300 2
* Ezenia!, Inc. 2,547 2
* DSL.Net, Inc. 3,371 2
* SciQuest, Inc. 446 2
* LightPath Technologies, Inc. Class A 568 2
* Versant Corp. 2,795 2
* Rainbow Rentals, Inc. 300 2
* Optika Inc. 1,104 2
Butler Manufacturing Co. 100 2
* Webco Industries, Inc. 577 2
* Redhook Ale Brewery, Inc. 825 2
* 24/7 Real Media, Inc. 1,898 2
* Exponent, Inc. 100 2
* Lynx Therapeutics, Inc. 408 2
* Nonophase Technologies Corp. 300 2
* New Century Equity Holdings Corp. 4,609 2
* i3 Mobile, Inc. 3,164 2
* FirePond, Inc. 471 2
* MIPS Technologies, Inc. Class B 600 1
NASB Financial Inc. 51 1
* Ampex Corp. Class A 437 1
* Versata, Inc. 832 1
* Larscom Inc. 284 1
* Waste Industries USA, Inc. 200 1
* Nanometrics Inc. 200 1
* Badger Paper Mills, Inc. 238 1
* Flanders Corp. 500 1
* Team, Inc. 173 1
* Multilink Technology Corp. Class A 500 1
United Financial Corp. 50 1
* Applied Graphics Technologies, Inc. 1,618 1
* Verticalnet, Inc. 850 1
* Procom Technology, Inc. 4,375 1
* Pemstar Inc. 300 1
* Zonagen, Inc. 743 1
The First Years Inc. 100 1
* Rocky Mountain Chocolate
Factory, Inc. 152 1
* UQM Technologies, Inc. 400 1
* eXegenics Inc. 2,293 1
* Insightful Corp. 884 1
* SatCon Technology Corp. 1,860 1
* Rohn Industries Inc. 8,081 1
* InsWeb Corp. 237 1
* HealthAxis, Inc. 2,253 1
HEICO Corp. Class A 122 1
* Pfsweb Inc. 1,689 1
* Astea International, Inc. 1,652 1
* Five Star Quality Care, Inc. 668 1
* Geerlings & Wade Inc. 764 1
* Paradigm Medical Industries, Inc. 3,300 1
* Touch America Holdings, Inc. 14,857 1
* ZEVEX International, Inc. 306 1
40
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* WorldGate Communications, Inc. 2,858 $ 1
Liquid Audio, Inc. 2,723 1
* Andrea Radio Corp. 3,118 1
* Omtool, Ltd. 298 1
* COMFORCE Corp. 2,081 1
* Amtech Systems, Inc. 269 1
* Wilshire Enterprises, Inc. 190 1
Acadia Realty Trust REIT 100 1
* Precision Optics Corporation, Inc. 391 1
* Epimmune Inc. 643 1
* Serrento Networks Corp. 335 1
* Pac-West Telecom, Inc. 1,175 1
* Advanced Environmental Recycling
Technologies, Inc. 600 1
* Hoenig Group, Inc.
Contingent Value Rights 3,670 1
* NaviSite, Inc. 293 1
* Rainmaker Systems, Inc. 992 1
* CenterSpan Communications Corp. 5,802 1
* SEEC, Inc. 550 1
* General Bearing Corp. 196 1
* Mayor's Jeweler's, Inc. 2,977 1
* Headway Corporate Resources, Inc. 3,808 1
* JLM Industries, Inc. 495 1
* Valentis, Inc. 165 1
Pittsburgh & West Virginia
Railroad REIT 73 1
* Magellan Petroleum Corp. 534 1
* Onvia.com, Inc. 174 1
* Allegiance Telecom, Inc. 11,104 1
* Internet Pictures Corp. 143 1
* Continucare Corp. 1,581 1
* Artisoft, Inc. 366 1
* Adams Golf, Inc. 1,734 1
Cornerstone Realty Income
Trust, Inc. REIT 78 1
* Vornado Operating Inc. REIT 837 1
* GraphOn Corp. 2,730 1
* Abraxas Petroleum Corp. 500 1
* Navidec, Inc. 182 1
* Cardinal Financial Corp. 78 1
* Deltagen, Inc. 3,858 1
* Magnum Hunter Resources Inc.
Warrants Exp. 3/21/2005 1,391 1
* Novatel Wireless, Inc. 231 1
* WHX Corp. 222 --
* Innovative Medical Services 571 --
* Allied Motion Technologies, Inc. 301 --
* Sagent Technology, Inc. 2,564 --
* Harken Energy Corp. 983 --
* Major Automotive Cos. Inc. 435 --
* Cross Media Marketing Corp. 1,448 --
* VCampus Corp. 142 --
* NexPrise, Inc. 106 --
* Visual Data Corp. 139 --
* DA Consulting Group, Inc. 2,549 --
* Auspex Systems, Inc. 5,847 --
* ARTISTdirect, Inc. 515 --
* Read-Rite Corp. 2,839 --
* Advanced Lighting Technologies, Inc. 2,123 --
* Cogent Communications Group, Inc. 65 --
* Daisytek International Corp. 1,623 --
* EasyLink Services Corp. 148 --
* MSCi, Inc. 1,937 --
* P-Com, Inc. 853 --
* Sheffield Pharmaceuticals, Inc. 2,789 --
* Chart Industries, Inc. 300 --
* NTELOS Inc. 3,186 --
* Divine, Inc. 1,472 --
* FiberNet Telecom Group, Inc. 10 --
* Network-1 Security Solutions, Inc. 975 --
* Pinnacle Holdings Inc. REIT 2,023 --
* Evolve Software, Inc. 30 --
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,034,930) $ 930,548
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.1%)(1)
- --------------------------------------------------------------------------------
Federal National Mortgage Assn.
(2) 1.168%, 7/2/2003 $ 1,000 1,000
Repurchase Agreements
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
1.16%, 7/1/2003 7,215 7,215
1.16%, 7/1/2003--Note E 2,357 2,357
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS (Cost $10,572) 10,572
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%) (Cost $1,045,502) 941,120
- --------------------------------------------------------------------------------
41
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
Other Assets 2,675
Liabilities--Note E (3,292)
---------------
(617)
---------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $ 940,503
================================================================================
*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 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.
- --------------------------------------------------------------------------------
AT JUNE 30, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $ 1,195,065
Undistributed Net Investment Income 705
Accumulated Net Realized Losses (150,543)
Unrealized Depreciation
Investment Securities (104,382)
Futures Contracts (342)
- --------------------------------------------------------------------------------
NET ASSETS $ 940,503
================================================================================
Institutional Shares--Net Assets
Applicable to 13,412,665 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 270,600
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 20.17
================================================================================
Institutional Plus Shares--Net Assets
Applicable to 33,203,005 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 669,903
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL PLUS SHARES $ 20.18
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
42
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.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK
MARKET INDEX FUND
SIX MONTHS ENDED JUNE 30, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 7,731
Interest 38
Security Lending 41
- --------------------------------------------------------------------------------
Total Income 7,810
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative
Institutional Shares 73
Institutional Plus Shares 84
- --------------------------------------------------------------------------------
Total Expenses 157
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 7,653
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (30,214)
Futures Contracts 636
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (29,578)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 137,586
Futures Contracts (132)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 137,454
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 115,529
================================================================================
43
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.
- --------------------------------------------------------------------------------
INSTITUTIONAL 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 $ 7,653 $ 18,195
Realized Net Gain (Loss) (29,578) (110,317)
Change in Unrealized Appreciation
(Depreciation) 137,454 (212,323)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 115,529 (304,445)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Institutional Shares (1,863) (4,572)
Institutional Plus Shares (5,062) (13,622)
Realized Capital Gain
Institutional Shares -- --
Institutional Plus Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (6,925) (18,194)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--NOTE F
Institutional Shares (2,793) (36,344)
Institutional Plus Shares (90,423) (263,357)
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (93,216) (299,701)
- --------------------------------------------------------------------------------
Total Increase (Decrease) 15,388 (622,340)
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 925,115 1,547,455
- --------------------------------------------------------------------------------
End of Period $ 940,503 $ 925,115
================================================================================
44
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.
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
- ---------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED AUG. 31* TO
ENDED DEC. 31, DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 18.00 $ 23.10 $ 22.72
- ---------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .16 .32 .098
Net Realized and Unrealized Gain (Loss)
on Investments 2.15 (5.10) .421
- ---------------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.31 (4.78) .519
- ---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.14) (.32) (.139)
Distributions from Realized Capital Gains -- -- --
- ---------------------------------------------------------------------------------------------------------------
Total Distributions (.14) (.32) (.139)
- ---------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 20.17 $ 18.00 $ 23.10
===============================================================================================================
TOTAL RETURN 12.88% -20.77% 2.33%
===============================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 271 $ 245 $ 358
Ratio of Total Expenses to Average Net Assets 0.06%** 0.06% 0.06%**
Ratio of Net Investment Income
to Average Net Assets 1.64%** 1.45% 1.33%**
Portfolio Turnover Rate 6% 9% 15%
===============================================================================================================
*Inception.
**Annualized.
45
FINANCIAL HIGHLIGHTS (CONTINUED)
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL PLUS SHARES
- ---------------------------------------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED MAY 31* TO
ENDED DEC. 31, DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001
- ---------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 18.00 $ 23.10 $ 25.00
- ---------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .173 .327 .151
Net Realized and Unrealized Gain (Loss)
on Investments 2.150 (5.100) (1.900)
- ---------------------------------------------------------------------------------------------------------------
Total from Investment Operations 2.323 (4.773) (1.749)
- ---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.143) (.327) (.151)
Distributions from Realized Capital Gains -- -- --
- ---------------------------------------------------------------------------------------------------------------
Total Distributions (.143) (.327) (.151)
- ---------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 20.18 $ 18.00 $ 23.10
===============================================================================================================
TOTAL RETURN 12.96% -20.74% -6.96%
===============================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $ 670 $ 680 $ 1,189
Ratio of Total Expenses to Average Net Assets 0.025%** 0.025% 0.025%**
Ratio of Net Investment Income
to Average Net Assets 1.68%** 1.48% 1.36%**
Portfolio Turnover Rate 6%** 9% 15%
===============================================================================================================
*Inception.
**Annualized.
See accompanying Notes, which are an integral part of the Financial Statements.
46
NOTES TO FINANCIAL STATEMENTS
Vanguard Institutional Total Stock Market Index Fund is registered under the
Investment Company Act of 1940 as an open-end investment company, or mutual
fund. The fund offers two classes of shares, Institutional Shares and
Institutional Plus Shares, to investors who invest minimum amounts of $200
million and $500 million, respectively. A. The following significant accounting
policies conform to generally accepted accounting principles for U.S. mutual
funds. The fund consistently follows such policies in preparing its financial
statements.
1. SECURITY VALUATION: Securities are valued as of the close of trading on
the New York Stock Exchange (generally 4:00 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 (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, S&P MidCap 400 Index,
and Russell 2000 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 into 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. Class-specific
47
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
shareholder servicing fees are charged to each class at the contractual rate.
Income, expenses not attributable to a specific class, and realized and
unrealized gains and losses on investments are allocated to each class of shares
based on its relative net assets.
B. The Vanguard Group provides investment advisory, corporate management,
administrative, marketing, and distribution services and pays for all other
operating expenses, except for taxes, in return for a fee calculated at an
annual percentage rate of the average net assets of the fund, or, for
shareholder services, each class of shares. The fund's trustees and officers are
also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net
investment income and realized capital gains for financial reporting purposes.
Differences may be permanent or temporary. Permanent differences are
reclassified among capital accounts in the financial statements to reflect their
tax character. Temporary differences arise when certain items of income,
expense, gain, or loss are recognized in different periods for financial
statement and tax purposes; these differences will reverse at some time in the
future. Differences in classification may also result from the treatment of
short-term gains as ordinary income for tax purposes.
The fund's tax-basis capital gains and losses are determined only at the
end of each fiscal year. For tax purposes, at December 31, 2002, the fund had
available realized losses of $120,345,000 to offset future net capital gains of
$4,981,000 through December 31, 2009, $99,393,000 through December 31, 2010, and
$15,971,000 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 depreciation of investment securities for
tax purposes was $104,382,000, consisting of unrealized gains of $80,568,000 on
securities that had risen in value since their purchase and $184,950,000 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 32 $7,786 $(304)
S&P MidCap 400 Index 3 720 (18)
Russell 2000 Index 4 897 (20)
- --------------------------------------------------------------------------------
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 $26,732,000 of
investment securities and sold $120,893,000 of investment securities, other than
temporary cash investments.
E. The market value of securities on loan to broker/dealers at June 30, 2003,
was $1,837,000, for which the fund held cash collateral of $2,357,000. 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.
48
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)
- --------------------------------------------------------------------------------
INSTITUTIONAL SHARES
Issued $ 24,589 1,300 $ 35,745 1,787
Issued in Lieu of Cash
Distributions 1,863 98 4,572 238
Redeemed (29,245) (1,606) (76,661) (3,919)
--------------------------------------------------
Net Increase (Decrease)--
Institutional Shares (2,793) (208) (36,344) (1,894)
--------------------------------------------------
Institutional Plus Shares
Issued 760 41 56,247 3,294
Issued in Lieu of Cash
Distributions 1,018 54 2,538 131
Redeemed (92,201) (4,661) (322,142) (17,132)
--------------------------------------------------
Net Increase (Decrease)--
Institutional Plus Shares (90,423) (4,566) (263,357) (13,707)
================================================================================
49
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 our
Consolidated View(TM) tool.
* Check your overall asset allocation, no matter where your assets are held.
* Compare your holdings with industry benchmarks.
* Analyze your personal performance.
* Invest online and even manage the mail you get from us. (Prefer to get fund
reports like this one online? Just let us know!)
* Set up a Watch List to make it easy to track funds and securities of
interest.
PLAN YOUR INVESTMENTS WITH CONFIDENCE
Go to our PLANNING & ADVICE and RESEARCH FUNDS & STOCKS sections and:
* Take our Investor Questionnaire to find out what asset allocation might
best suit your needs.
* Find out how much you should save for retirement and for college costs.
* Discover how investment costs affect your bottom line by using our Compare
Fund Costs tool.
* Find out how to maximize your after-tax returns in our PlainTalk(R) guide
Be a Tax-Savvy Investor.
* Attend our quarterly PlainTalk webcasts on investing.
Find out what Vanguard.com can do for you. Log on today!
50
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 VANGUARD(R) FAMILY OF FUNDS
STOCK FUNDS
500 Index Fund
Calvert Social Index Fund
Capital Opportunity Fund
Capital Value Fund
Convertible Securities Fund
Developed Markets Index Fund
Dividend Growth Fund
Emerging Markets Stock Index Fund
Energy Fund
Equity Income Fund
European Stock Index Fund
Explorer(TM) Fund
Extended Market Index Fund
Global Equity Fund
Growth and Income Fund
Growth Equity Fund
Growth Index Fund
Health Care Fund
Institutional Developed Markets Index Fund
Institutional Index Fund
Institutional Total Stock Market Index Fund
International Explorer(TM) Fund
International Growth Fund
International Value Fund
Mid-Cap Growth Fund
Mid-Cap Index Fund
Morgan(TM) Growth Fund
Pacific Stock Index Fund
Precious Metals Fund
PRIMECAP Fund
REIT Index Fund
Selected Value Fund
Small-Cap Growth Index Fund
Small-Cap Index Fund
Small-Cap Value Index Fund
Strategic Equity Fund
Tax-Managed Capital Appreciation Fund
Tax-Managed Growth and Income Fund
Tax-Managed International Fund
Tax-Managed Small-Cap Fund
Total International Stock Index Fund
Total Stock Market Index Fund
U.S. Growth Fund
U.S. Value Fund
Value Index Fund
Windsor(TM) Fund
Windsor(TM) II Fund
BALANCED FUNDS
Asset Allocation Fund
Balanced Index Fund
LifeStrategy(R) Conservative Growth Fund
LifeStrategy(R) Growth Fund
LifeStrategy(R) Income Fund
LifeStrategy(R) Moderate Growth Fund
STAR(R) Fund
Tax-Managed Balanced Fund
Wellesley(R) Income Fund
Wellington(TM) Fund
BOND FUNDS
GNMA Fund
High-Yield Corporate Fund
High-Yield Tax-Exempt Fund
Inflation-Protected Securities Fund
Institutional Total Bond Market Index Fund
Insured Long-Term Tax-Exempt Fund
Intermediate-Term Bond Index Fund
Intermediate-Term Corporate Fund
Intermediate-Term Tax-Exempt Fund
Intermediate-Term Treasury Fund
Limited-Term Tax-Exempt Fund
Long-Term Bond Index Fund
Long-Term Corporate Fund
Long-Term Tax-Exempt Fund
Long-Term Treasury Fund
Short-Term Bond Index Fund
Short-Term Corporate Fund
Short-Term Federal Fund
Short-Term Tax-Exempt Fund
Short-Term Treasury Fund
State Tax-Exempt Bond Funds
(California, Florida, Massachusetts,
New Jersey, New York, Ohio, Pennsylvania)
Total Bond Market Index Fund
MONEY MARKET FUNDS
Admiral(TM) Treasury Money Market Fund
Federal Money Market Fund
Prime Money Market Fund
State Tax-Exempt Money Market
Funds (California, New Jersey,
New York, Ohio, Pennsylvania)
Tax-Exempt Money Market Fund
Treasury Money Market Fund
VARIABLE ANNUITY
Balanced Portfolio
Capital Growth Portfolio
Diversified Value Portfolio
Equity Income Portfolio
Equity Index Portfolio
Growth Portfolio
High Yield Bond Portfolio
International Portfolio
Mid-Cap Index Portfolio
Money Market Portfolio
REIT Index Portfolio
Short-Term Corporate Portfolio
Small Company Growth Portfolio
Total Bond Market Index Portfolio
Total Stock Market Index Portfolio
For information about Vanguard funds and annuities, including charges and
expenses, obtain a prospectus from The Vanguard Group, P.O. Box 2600, Valley
Forge, PA 19482-2600. Read it carefully before you invest or send money.
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.
[PICTURE OF SHIP]
THE VANGUARD GROUP (R)
POST OFFICE BOX 2600
VALLEY FORGE, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, Admiral, Consolidated
View, Explorer, Morgan, LifeStrategy, PlainTalk, STAR, Wellesley, Wellington,
Windsor, and the ship logo are trademarks of The Vanguard Group, Inc.
500 is a trademark of The McGraw-Hill Companies, Inc., and has 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.
Calvert Social Index is a trademark of Calvert Group, Ltd., and has been
licensed for use by The Vanguard Group, Inc. Vanguard Calvert Social Index Fund
is not sponsored, endorsed, sold, or promoted by Calvert Group, Ltd., and
Calvert Group, Ltd., makes no representation regarding the advisability of
investing in the fund.
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
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
TEXT TELEPHONE
1-800-952-3335
(C) 2003 THE VANGUARD GROUP, INC.
ALL RIGHTS RESERVED.
VANGUARD MARKETING
CORPORATION, DISTRIBUTOR.
Q8712 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 INSTITUTIONAL 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 INSTITUTIONAL INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: : August 18, 2003
VANGUARD INSTITUTIONAL 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.