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: 2-56846
Name of Registrant: VANGUARD INDEX FUNDS
Address of Registrant: P.O. BOX 2600, VALLEY FORGE, PA 19482
Name and address of agent for service: R. GREGORY BARTON
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 - December 31, 2003
ITEM 1: Reports to Shareholders
VANGUARD(R) 500 INDEX FUND
DECEMBER 31, 2003
ANNUAL REPORT
THE VANGUARD GROUP(R)LOGO
HOW TO READ YOUR FUND REPORT
This report contains information that can help you evaluate your investment. It
includes details about your fund's return and presents data and analysis that
provide insight into the fund's performance and investment approach.
By reading the letter from Vanguard's chairman, you'll get an understanding of
how the fund invests and how the market environment affected its performance.
The statistical information that follows can help you understand how the fund's
performance and characteristics stack up against those of similar funds and
market benchmarks.
It's important to keep in mind that any opinions expressed here are just that:
informed opinions. They should not be considered promises or advice. These
opinions, like the statistics, cover the period through the date on the cover of
this report. The risks of investing in the fund are spelled out in the
prospectus.
Frequent updates on the fund's performance and information about some of its
holdings are available on Vanguard.com(R).
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CONTENTS
1 letter from the chairman
7 fund profile
8 glossary of investment terms
9 performance summary
10 your fund's after-tax returns
11 about your fund's expenses
12 financial statements
27 advantages of vanguard.com
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SUMMARY
* Vanguard 500 Index Fund returned 28.5% in its latest fiscal year, tracking
the return of its target benchmark almost perfectly.
* Every major stock sector advanced, helping the fund to record its best year
since 1998.
* Technology stocks led the way with a 45.5% gain.
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Want less clutter in your mailbox? Just register with Vanguard.com and opt to
get fund reports online.
LETTER FROM THE CHAIRMAN
FELLOW SHAREHOLDER,
Vanguard 500 Index Fund's Investor Shares returned 28.5% in 2003 as U.S. stocks
rebounded sharply after a three-year bear market. Your fund's return nearly
matched the 28.7% return of its benchmark, the Standard & Poor's 500 Index, and
surpassed the 25.6% average return of its peer fund group.
[PICTURES OF JOHN J. BRENNAN]
- ----------------------------------------------------
2003 TOTAL RETURNS FISCAL YEAR ENDED
DECEMBER 31
- ----------------------------------------------------
VANGUARD 500 INDEX FUND
Investor Shares 28.5%
Admiral Shares 28.6
S&P 500 Index 28.7
Average Large-Cap Core Fund* 25.6
- ----------------------------------------------------
*Derived from data provided by Lipper Inc.
The table at left provides the total returns for your fund (both the Investor
Shares and the lower- cost Admiral Shares) and its comparative measures. The
per-share components of the fund's total returns--starting and ending net asset
values, as well as income distributions--are presented in a table on page 6.
Shareholders who own the 500 Index Fund in a taxable account may also wish to
review the fund's after-tax returns on page 10.
STOCKS BEGAN TO RECOVER FROM FIERCE BEAR MARKET
Three straight years of stock market declines ended in a spectacular fashion in
2003. The broad U.S. stock market, as measured by the Wilshire 5000 Total Market
Index, returned 31.6% for the 12 months.
The start of combat operations in Iraq in mid-March and the subsequent quick end
to that phase of the engagement relieved months of anticipation and uncertainty
that had cast a pall over the financial markets. Other factors also contributed
to investors' optimism: the Federal Reserve Board's cutting short-term interest
rates to a 45-year low; a falling U.S. dollar, which aided businesses dependent
on exports and profits from operations overseas; mortgage rates' hitting
1
four-decade lows, which spurred further home-buying and freed up cash through
refinancing; tax cuts and refunds to consumers who were more than willing to
spend the windfall; a spike in spending by businesses to replenish inventories
and equipment; and the rapid growth of the economy, which expanded at an annual
rate of 8.2% in the third quarter.
- --------------------------------------------------------------------------------
ADMIRAL(TM) SHARES
A lower-cost class of shares available to many longtime shareholders and to
those with significant investments in the fund.
- --------------------------------------------------------------------------------
The rebound was impressive across all stock market segments and industry
sectors. By most gauges of performance, growth and value stocks--whose prices
reflect either a premium or a discount relative to company earnings, book value,
or other measures--provided similar returns. However, as a group
small-capitalization stocks outpaced large-caps by a substantial margin, with
the small-cap Russell 2000 Index outperforming the mid-to-large-cap Russell 1000
Index by 17.4 percentage points. Among sectors, technology stocks--the group
that contributed the most to both the bull market of the late 1990s and the
subsequent bear market--made the largest gains.
Meanwhile, overseas markets--particularly emerging markets--posted results that
surpassed those in the United States. For U.S.-based investors, the falling
dollar augmented returns from securities denominated in most other currencies.
"JUNK" REIGNED SUPREME, AND YIELDS HIT NEW LOWS
Investors' renewed appetite for risk was evident not just in the equity markets,
but on the fixed income side as well. Bonds from companies with
below-investment-grade credit ratings (popularly known as "junk" bonds) surged
29.0% during the 12 months, as measured by the Lehman Brothers High Yield Bond
Index.
At the other extreme of the credit-quality spectrum, U.S. Treasury securities at
first seemed poised for a fourth straight year of outstanding gains. By June,
the rising price of the 10-year Treasury note drove its yield down to just above
3%--a level not seen since Dwight Eisenhower occupied the Oval Office. However,
the prices of Treasuries fell subsequently, and by year-end the 10-year note's
yield stood at 4.25%, up 44 basis points (0.44 percentage point) from the
beginning of the year. Treasuries' total returns (which include interest income)
for the full 12 months were still in positive territory, but
2
barely so. Mortgage-backed securities did only marginally better, while
investment-grade corporate bonds--particularly those with longer
maturities--posted solid returns. The Lehman Aggregate Bond Index, the benchmark
for the broad U.S. investment-grade taxable bond market, earned 4.1%.
As mentioned earlier, short-term interest rates also hit historical lows during
the year. On top of rate cuts made in previous years to bolster the economy, the
Fed slashed the target federal funds rate in June by 25 basis points to 1.00%.
The yield of the 3-month Treasury bill, a proxy for money market rates, ended
the year at 0.92%, 27 basis points lower than at the start of 2003.
AFTER A SLOW START, THE FUND SURGED IN THE SPRING
Vanguard 500 Index Fund--like the S&P 500 itself--began the year with a small
step backward. At the end of the first quarter, the fund had a return of -3.2%,
continuing the negative pattern that had dominated the market since early 2000.
However, once investor sentiment turned positive beginning in late March, stocks
scarcely looked back for the rest of the year. Your fund posted consecutive
quarterly gains of 15.4%, 2.6%, and 12.1% to close 2003 with a one-year total
return (including reinvested distributions) of 28.5%, its best performance since
a 28.6% advance in 1998. Despite its strong appreciation, the fund distributed
no capital gains, remaining exceptionally tax-efficient.
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MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
--------------------------------------
ONE THREE FIVE
YEAR YEARS YEARS
- ------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1%
Russell 2000 Index (Small-caps) 47.3 6.3 7.1
Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4
MSCI All Country World Index Free
ex USA (International) 41.4 -1.0 1.5
- ------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 4.1% 7.6% 6.6%
(Broad taxable market)
Lehman Municipal Bond Index 5.3 6.7 5.8
Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5
==============================================================================
CPI
Consumer Price Index 1.9% 1.9% 2.4%
- ------------------------------------------------------------------------------
The fund's gains were broadly based, reflecting strength in all corners of the
market. Every S&P 500 sector advanced approximately 15% or more. Technology
stocks, the index's second-largest group, led the way with a 45.5% gain as
investors anticipated a boost in sales of tech equipment and services. Both
financial service and consumer discretionary stocks in the fund posted gains of
about 30% as optimism spread that the U.S. economy was recovering after several
years of treading
3
water. Materials & processing stocks, a relatively small sector, more than
carried their weight with a 37.1% gain. So did the multi-sector companies in the
"other" category. These 11 stocks--which include General Electric, 3M, and
Tyco--jumped 36%.
A few sectors underperformed the broad market but still posted healthy gains.
Consistent with their history of providing more modest returns during bull
markets, consumer staples (up 17.8%) and utilities (up 16.2%) trailed the
parade. Health care companies (up 14.9%) also lagged the market.
A STURDY RECORD OF OUTPERFORMANCE
For investors in Vanguard 500 Index Fund, the ups and downs of recent years have
been dizzying to say the least. But as veteran shareholders know, the fund's
long-term performance continues to prove the merits of index investing. As shown
in the table below, your fund's ten-year annualized return of 11.0% a year is
2.1 percentage points higher than that provided by funds investing in the same
market segment--the vast majority of which are actively managed. The cumulative
effect of this outperformance is illustrated by the hypothetical balances in the
column on the right.
The fund's competitive advantages, which include broad diversification and low
turnover, are difficult for our competitors to overcome because they, on
average, have to bear far higher operating and transaction costs in trying to
beat the market. As you can see on page 11, your investment benefits from a cost
advantage that 500 Index Fund shareholders have enjoyed for many years. While we
believe that actively managed funds--especially those with stable management,
consistently executed strategies, and low costs--have a place in many
portfolios, the long-term success of Vanguard 500 Index Fund is powerful
evidence that diversified, low-cost index funds should be core holdings for most
investors.
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TOTAL RETURNS TEN YEARS ENDED
DECEMBER 31, 2003
- -----------------------------------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RETURN INITIAL INVESTMENT
- -----------------------------------------------------------------
500 Index Fund
Investor Shares 11.0% $28,367
S&P 500 Index 11.1 28,563
Average Large-Cap Core Fund 8.9 23,353
- -----------------------------------------------------------------
It's worth noting that, when it comes to tracking an index, your fund's advisor,
Vanguard's Quantitative Equity Group, has provided consistently excellent
results. An index is a theoretical portfolio that incurs no costs,
4
making it a tough bogie to hit. Yet the 500 Index Fund has come very close to
doing so, despite its real-world expenses. The fund's ten-year annualized return
is only one tenth of a percentage point behind that of the S&P 500 Index--about
as close as we can get to replicating its performance. For an index fund, that
result constitutes an unqualified success.
KEEPING AN EVEN KEEL IN GOOD TIMES AND BAD
Although we were as relieved as anyone that the bulls returned in 2003, we
always urge our shareholders to look beyond short-term trends and to focus
instead on long-term performance, which varies much less than the market's
year-to-year gyrations. For example, our report to you last year showed that
Vanguard 500 Index Fund, even after three consecutive years of decline, had a
ten-year annualized return of 9.3%, not far from the market's annualized return
over the past 75 years of approximately 10%.
Clearly, time is the ally of patient investors. Even if the stocks contained in
the S&P 500--and therefore owned by the 500 Index Fund--should reverse course in
2004 and post disappointing results, a buy-and-hold approach will remain the
best way for stock investors to seek long-term growth of capital. And the 500
Index Fund will remain one of the best ways to invest in U.S. stocks, because it
encompasses the bulk of the market's capitalization. We are confident that the
fund's low costs will continue to make it one of the best bargains in the
industry.
Of course, successful investing almost always requires holding more than one
fund. We hope that no matter what the stock and bond markets do in the short
run, you will maintain a steady and well-diversified mix of stocks, bonds, and
short-term reserves that suits your individual circumstances and goals. A
balanced, low-cost approach to investing is a proven way to build long-term
wealth.
Thank you for your continued confidence in Vanguard.
Sincerely,
/S/JOHN J. BRENNAN
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JANUARY 12, 2004
5
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YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003
DISTRIBUTIONS PER SHARE
------------------------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- ------------------------------------------------------------------------------
500 Index Fund
Investor Shares $81.15 $102.67 $1.430 $0.00
Admiral Shares 81.15 102.68 1.487 0.00
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6
FUND PROFILE AS OF 12/31/2003
This Profile provides a snapshot of the fund's characteristics, compared where
appropriate with its unmanaged target index. Key terms are defined on page 8.
500 INDEX FUND
- ----------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- ----------------------------------------------------
Number of Stocks 503 500
Median Market Cap $52.3B $52.3B
Price/Earnings Ratio 22.6x 22.6x
Price/Book Ratio 3.2x 3.2x
Yield 1.6%
Investor Shares 1.5%
Admiral Shares 1.6%
Return on Equity 21.4% 21.4%
Earnings Growth Rate 7.7% 7.7%
Foreign Holdings 0.0% 0.0%
Turnover Rate 2% --
Expense Ratio --
Investor Shares 0.18%
Admiral Share 0.12%
Short-Term Reserves 0% --
- ----------------------------------------------------
- -----------------------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
General Electric Co. 3.0%
(conglomerate)
Microsoft Corp. 2.9
(software)
ExxonMobil Corp. 2.6
(oil)
Pfizer Inc. 2.6
(phamaceuticals)
Citigroup, Inc. 2.4
(banking)
Wal-Mart Stores, Inc. 2.2
(retail)
Intel Corp. 2.0
(electronics)
American International Group, Inc. 1.7
(insurance)
Cisco Systems, Inc. 1.6
(computer hardware)
International Business Machines Corp. 1.5
(computer hardware)
- -----------------------------------------------------------------
Top Ten 22.5%
- -----------------------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- ----------------------------------------------------
VOLATILITY MEASURES
TARGET
FUND INDEX*
- ----------------------------------------------------
R-Squared 1.00 1.00
Beta 1.00 1.00
- ----------------------------------------------------
- -----------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET
FUND INDEX*
- -----------------------------------------------------------------
Auto & Transportation 3% 3%
Consumer Discretionary 14 14
Consumer Staples 8 8
Financial Services 22 22
Health Care 13 13
Integrated Oils 4 4
Other Energy 2 2
Materials & Processing 4 4
Producer Durables 4 4
Technology 16 16
Utilities 7 7
Other 3 3
- -----------------------------------------------------------------
- ----------------------------------
INVESTMENT FOCUS
STYLE Blend
MARKET CAP Large
- ----------------------------------
VISIT OUR WEBSITE AT VANGUARD.COM
FOR REGULARLY UPDATED FUND INFORMATION.
*S&P 500 Index.
7
GLOSSARY OF INVESTMENT TERMS
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of a given market index. The index is assigned a
beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically
would have seen its share price rise or fall by 12% when the index rose or fell
by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see
definition below). The lower the R-squared, the less correlation there is
between the fund and the index, and the less reliable beta is as an indicator of
volatility.
- --------------------------------------------------------------------------------
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the
past five years for the stocks now in a fund.
- --------------------------------------------------------------------------------
EXPENSE RATIO. The percentage of a fund's average net assets used to pay its
annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
- --------------------------------------------------------------------------------
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks
or depositary receipts of companies based outside the United States.
- --------------------------------------------------------------------------------
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 a given index. If a
fund's total returns were precisely synchronized with an index's returns, its
R-squared would be 1.00. If the fund's returns bore no relationship to the
index's returns, its R-squared would be 0.
- --------------------------------------------------------------------------------
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a fund, the weighted average return on
equity for the companies whose stocks it holds.
- --------------------------------------------------------------------------------
SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid,
short-term securities that can be readily converted to cash.
- --------------------------------------------------------------------------------
TURNOVER RATE. An indication of the fund's trading activity. Funds with high
turnover rates incur higher transaction costs and may be more likely to
distribute capital gains (which may be taxable to investors).
- --------------------------------------------------------------------------------
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of income
provided by securities in the index.
8
PERFORMANCE SUMMARY AS OF 12/31/2003
All of the returns in this report represent past performance, which cannot be
used to predict future returns that may be achieved by the fund. Note, too, that
both share price and return can fluctuate widely. An investor's shares, when
redeemed, could be worth more or less than their original cost. The returns
shown do not reflect taxes that a shareholder would pay on fund distributions or
on the redemption of fund shares.
500 INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003
AVERAGE
500 INDEX FUND WILSHIRE S&P LARGE-CAP
INVESTOR SHARES* 5000 INDEX 500 INDEX CORE FUND**
199312 10000 10000 10000 10000
199403 9616 9627 9621 9659
199406 9654 9552 9661 9567
199409 10123 10071 10134 9977
199412 10118 9994 10132 9861
199503 11100 10896 11119 10672
199506 12153 11913 12180 11584
199509 13118 13002 13148 12461
199512 13906 13636 13939 13050
199603 14649 14402 14688 13742
199606 15301 15037 15347 14255
199609 15769 15462 15821 14718
199612 17088 16528 17140 15728
199703 17537 16635 17599 15929
199706 20590 19445 20672 18490
199709 22131 21342 22220 19883
199712 22759 21700 22858 20174
199803 25926 24578 26047 22889
199806 26778 25057 26907 23482
199809 24114 22043 24231 20787
199812 29272 26785 29391 25300
199903 30730 27796 30855 26565
199906 32882 29965 33030 28277
199909 30827 27983 30968 26554
199912 35439 33095 35575 30955
200003 36234 34358 36391 32329
200006 35290 32817 35425 31493
200009 34960 32873 35081 31280
200012 32230 29490 32336 28182
200103 28395 25849 28503 25178
200106 30047 27782 30171 26573
200109 25625 23364 25742 22706
200112 28355 26254 28493 24304
200203 28421 26506 28571 24707
200206 24603 23164 24743 21509
200209 20367 19270 20469 18072
200212 22075 20777 22196 18595
200303 21372 20136 21497 18338
200306 24661 23459 24806 21091
200309 25302 24329 25462 21842
200312 28367 27351 28563 23353
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003 FINAL VALUE
----------------------------------------------
ONE FIVE TEN OF A $10,000
YEAR YEARS YEARS INVESTMENT
- --------------------------------------------------------------------------------
500 Index Fund Investor Shares* 28.50% -0.63% 10.99% $28,367
Wilshire 5000 Index 31.64 0.42 10.59 27,351
S&P 500 Index 28.68 -0.57 11.07 28,563
Average Large-Cap Core Fund** 25.59 -1.59 8.85 23,353
- --------------------------------------------------------------------------------
FINAL VALUE
ONE SINCE OF A $250,000
YEAR INCEPTION+ INVESTMENT
- --------------------------------------------------------------------------------
500 Index Fund Admiral Shares 28.59% -4.59% $215,816
Wilshire 5000 Index 31.64 -3.19 225,863
S&P 500 Index 28.68 - 4.55 216,102
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003
500 INDEX FUND S&P
INVESTOR SHARES 500 INDEX
1994 1.2 1.3
1995 37.4 37.6
1996 22.9 23.0
1997 33.2 33.4
1998 28.6 28.6
1999 21.1 21.0
2000 -9.1 -9.1
2001 -12.0 -11.9
2002 -22.1 -22.1
2003 28.5 28.7
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Derived from data provided by Lipper Inc.
+November 13, 2000.
NOTE: See Financial Highlights tables on pages 21 and 22 for dividend and
capital gains information.
9
YOUR FUND'S AFTER-TAX RETURNS
This table presents returns for your fund both before and after taxes. The
after-tax returns are shown in two ways: (1) assuming that an investor owned the
fund during the entire period and paid taxes on the fund's distributions, and
(2) assuming that an investor paid taxes on the fund's distributions and sold
all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital
gains tax rates in effect at the times of the distributions and the hypothetical
sales. State and local taxes were not considered. After-tax returns reflect the
reduced tax rates on ordinary income (including qualified dividend income) and
short-term capital gains that became effective as of January 1, 2003, and on
long-term capital gains realized on or after May 6, 2003. Qualified dividend
income is for calendar year 2003. (In the example, returns after the sale of
fund shares may be higher than those assuming no sale. This occurs when the sale
would have produced a capital loss. The calculation assumes that the investor
received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share
classes will differ. Please note that your actual after-tax returns will depend
on your tax situation and may differ from those shown. Also note that if you own
the fund in a tax-deferred account, such as an individual retirement account or
a 401(k) plan, this information does not apply to you. Such accounts are not
subject to current taxes.
Finally, keep in mind that a fund's performance--whether before or after
taxes--does not indicate how it will perform in the future.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003
ONE YEAR FIVE YEARS TEN YEARS
----------------------------------------
500 INDEX FUND INVESTOR SHARES*
Returns Before Taxes 28.50% -0.63% 10.99%
Returns After Taxes on Distributions 28.20 -1.09 10.24
Returns After Taxes on Distributions
and Sale of Fund Shares 18.86 -0.78 9.33
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
10
ABOUT YOUR FUND'S EXPENSES
All mutual funds have operating expenses. These expenses include costs for
portfolio management, administrative services, and shareholder reports (like
this one), among others. Operating expenses, which are deducted from a fund's
gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its net assets. This figure is known
as the expense ratio.
a hypothetical example
We believe it is important for you to understand the impact of costs on your
investment. The following example illustrates the costs that you would incur
over a 12-month period if you invested $10,000 in the fund, using the fund's
actual return and operating expenses for the fiscal year ended December 31,
2003. The cost in dollars is calculated by applying the expense ratio to the
average balance in the hypothetical account. For comparative purposes, we also
list the average expense ratio for the fund's peer group, which is derived from
data provided by Lipper Inc.
- --------------------------------------------------------------------------------
COST OF $10,000 FUND PEER GROUP*
INVESTMENT IN FUND EXPENSE RATIO EXPENSE RATIO
- --------------------------------------------------------------------------------
500 Index Fund
Investor Shares $21 0.18% 1.41%
Admiral Shares 14 0.12 --
- --------------------------------------------------------------------------------
*Average Large-Cap Core Fund.
The calculation assumes no shares were sold. Your actual costs may have been
higher or lower, depending on the amount of your investment and your holding
period. Peer-group ratio captures data through year-end 2002.
You can find more information about the fund's expenses, including annual
expense ratios for the past five years, in the Financial Statements section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the fund's prospectus. The prospectus
presents hypothetical shareholder costs over various time periods based upon a
$10,000 investment and a return of 5% a year. This standardized example, which
appears in all mutual fund prospectuses, may be useful to you in comparing the
costs of investing in different funds.
11
FINANCIAL STATEMENTS AS OF 12/31/2003
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. Because all income and any realized gains
must be distributed to shareholders each year, the bulk of net assets consists
of Paid-in Capital (money invested by shareholders). The amounts shown for
Undistributed Net Investment Income and Accumulated Net Realized Gains usually
approximate the sums the fund had available to distribute to shareholders as
income dividends or capital gains as of the statement date, but may differ
because certain investments or transactions may be treated differently for
financial statement and tax purposes. Any Accumulated Net Realized Losses, and
any cumulative excess of distributions over net income or net realized gains,
will appear as negative balances. Unrealized Appreciation (Depreciation) is the
difference between the market value of the fund's investments and their cost,
and reflects the gains (losses) that would be realized if the fund were to sell
all of its investments at their statement-date values.
- --------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.4%)(1)
- --------------------------------------------------------------------------------
General Electric Co. 90,652,537 $ 2,808,416
Microsoft Corp. 97,618,930 2,688,425
ExxonMobil Corp. 59,675,794 2,446,708
Pfizer Inc. 68,900,296 2,434,247
Citigroup, Inc. 46,574,494 2,260,726
Wal-Mart Stores, Inc. 39,072,961 2,072,821
Intel Corp. 58,973,523 1,898,947
American International
Group, Inc. 23,545,706 1,560,609
* Cisco Systems, Inc. 62,326,386 1,513,908
International Business
Machines Corp. 15,532,771 1,439,577
Johnson & Johnson 26,797,730 1,384,371
The Procter & Gamble Co. 11,707,540 1,169,349
The Coca-Cola Co. 22,133,544 1,123,277
Bank of America Corp. 13,414,605 1,078,937
Altria Group, Inc. 18,338,542 997,983
Merck & Co., Inc. 20,088,553 928,091
Wells Fargo & Co. 15,276,596 899,639
Verizon Communications 24,932,898 874,646
ChevronTexaco Corp. 9,651,247 833,771
* Dell Inc. 23,117,083 785,056
SBC Communications Inc. 29,890,753 779,252
United Parcel Service, Inc. 10,150,433 756,715
* Time Warner, Inc. 40,825,148 734,444
Home Depot, Inc. 20,542,139 729,041
PepsiCo, Inc. 15,499,913 722,606
* Amgen, Inc. 11,646,469 719,752
Eli Lilly & Co. 10,138,365 713,031
Viacom Inc. Class B 15,649,927 694,544
J.P. Morgan Chase & Co. 18,420,882 676,599
Fannie Mae 8,772,921 658,495
Abbott Laboratories 14,115,037 657,761
Hewlett-Packard Co. 27,529,757 632,359
* Oracle Corp. 47,189,737 622,905
* Comcast Corp. Class A 18,508,672 608,380
3M Co. 7,086,477 602,563
Morgan Stanley 9,778,511 565,882
American Express Co. 11,613,583 560,123
Wachovia Corp. 11,951,904 556,839
Medtronic, Inc. 10,943,517 531,964
U.S. Bancorp 17,414,179 518,594
Wyeth 12,024,623 510,445
Bristol-Myers Squibb Co. 17,509,377 500,768
Merrill Lynch & Co., Inc. 8,534,941 500,574
Tyco International Ltd. 18,049,435 478,310
BellSouth Corp. 16,686,366 472,224
Bank One Corp. 10,093,601 460,167
Texas Instruments, Inc. 15,625,549 459,079
The Walt Disney Co. 18,467,379 430,844
12
- --------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
The Goldman Sachs Group, Inc. 4,274,877 $ 422,059
FleetBoston Financial Corp. 9,521,563 415,616
E.I. du Pont de Nemours & Co. 8,999,846 413,003
ConocoPhillips Co. 6,146,730 403,041
United Technologies Corp. 4,248,710 402,650
Lowe's Cos., Inc. 7,099,924 393,265
QUALCOMM Inc. 7,223,773 389,578
Anheuser-Busch Cos., Inc. 7,356,480 387,539
* eBay Inc. 5,832,582 376,726
Freddie Mac 6,281,577 366,342
Dow Chemical Co. 8,311,609 345,514
* Applied Materials, Inc. 15,016,539 337,121
Walgreen Co. 9,256,550 336,753
Gillette Co. 9,134,852 335,523
Washington Mutual, Inc. 8,120,202 325,783
The Boeing Co. 7,593,591 319,994
Target Corp. 8,229,704 316,021
UnitedHealth Group Inc. 5,295,449 308,089
Fifth Third Bancorp 5,137,780 303,643
Alcoa Inc. 7,813,408 296,910
Motorola, Inc. 21,012,133 295,641
Schlumberger Ltd. 5,286,141 289,258
MBNA Corp. 11,532,984 286,595
McDonald's Corp. 11,456,175 284,457
* EMC Corp. 21,698,961 280,351
* Nextel Communications, Inc. 9,927,894 278,577
Allstate Corp. 6,350,969 273,219
* Boston Scientific Corp. 7,394,355 271,816
General Motors Corp. 5,063,174 270,373
First Data Corp. 6,578,851 270,325
Kimberly-Clark Corp. 4,553,537 269,069
* Yahoo! Inc. 5,935,297 268,097
Ford Motor Co. 16,532,954 264,527
Clear Channel
Communications, Inc. 5,558,310 260,296
Caterpillar, Inc. 3,134,449 260,222
Honeywell International Inc. 7,783,692 260,209
Emerson Electric Co. 3,799,560 246,022
Colgate-Palmolive Co. 4,850,971 242,791
Cardinal Health, Inc. 3,909,247 239,090
Illinois Tool Works, Inc. 2,782,209 233,455
The Bank of New York Co., Inc. 6,985,012 231,344
Metropolitan Life Insurance Co. 6,863,838 231,105
Schering-Plough Corp. 13,267,969 230,730
Marsh & McLennan Cos., Inc. 4,787,807 229,288
Carnival Corp. 5,687,744 225,974
Gannett Co., Inc. 2,447,574 218,226
Sysco Corp. 5,843,477 217,553
Automatic Data Processing, Inc. 5,367,468 212,605
Lockheed Martin Corp. 4,071,225 209,261
* Forest Laboratories, Inc. 3,301,563 204,037
Prudential Financial, Inc. 4,880,482 203,858
* Cendant Corp. 9,148,867 203,745
Southern Co. 6,611,460 199,997
Exelon Corp. 2,952,922 195,956
* AT&T Wireless Services Inc. 24,510,621 195,840
HCA Inc. 4,474,259 192,214
BB&T Corp. 4,935,671 190,714
Newmont Mining Corp.
Holding Co. 3,901,458 189,650
Lehman Brothers Holdings, Inc. 2,450,702 189,243
The Gap, Inc. 8,086,279 187,683
International Paper Co. 4,338,496 187,033
Dominion Resources, Inc. 2,929,393 186,983
National City Corp. 5,489,281 186,306
FedEx Corp. 2,693,536 181,814
SunTrust Banks, Inc. 2,540,993 181,681
Guidant Corp. 2,808,264 169,057
Baxter International, Inc. 5,508,332 168,114
Duke Energy Corp. 8,190,947 167,505
AFLAC Inc. 4,628,587 167,462
Progressive Corp. of Ohio 1,949,580 162,965
NIKE, Inc. Class B 2,368,519 162,149
General Dynamics Corp. 1,784,756 161,324
Union Pacific Corp. 2,303,192 160,026
Northrop Grumman Corp. 1,652,929 158,020
State Street Corp. 3,016,493 157,099
Waste Management, Inc. 5,257,087 155,610
Sara Lee Corp. 7,133,054 154,859
Travelers Property
Casualty Corp. Class B 9,069,254 153,905
* Zimmer Holdings, Inc. 2,182,635 153,658
* Costco Wholesale Corp. 4,131,540 153,611
SLM Corp. 4,068,973 153,319
Stryker Corp. 1,800,556 153,065
General Mills, Inc. 3,369,967 152,660
Best Buy Co., Inc. 2,921,021 152,594
Analog Devices, Inc. 3,316,807 151,412
The Hartford Financial
Services Group Inc. 2,553,397 150,727
Omnicom Group Inc. 1,714,911 149,763
Maxim Integrated Products, Inc. 2,965,862 147,700
Occidental Petroleum Corp. 3,476,045 146,828
Tribune Co. 2,818,352 145,427
Charles Schwab Corp. 12,244,319 144,973
AT&T Corp. 7,129,230 144,723
Avon Products, Inc. 2,134,658 144,068
* Veritas Software Corp. 3,859,234 143,409
Computer Associates
International, Inc. 5,226,654 142,897
Golden West Financial Corp. 1,371,294 141,504
Deere & Co. 2,166,298 140,918
13
- --------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Kellogg Co. 3,683,801 $ 140,279
* Kohl's Corp. 3,068,895 137,916
PNC Financial Services Group 2,502,553 136,965
Sprint Corp. 8,159,015 133,971
* WellPoint Health
Networks Inc. Class A 1,371,252 132,998
* Sun Microsystems, Inc. 29,485,563 132,390
ALLTEL Corp. 2,816,781 131,206
Harley-Davidson, Inc. 2,734,637 129,977
CVS Corp. 3,564,735 128,758
* Electronic Arts Inc. 2,688,617 128,462
ConAgra Foods, Inc. 4,846,350 127,895
Capital One Financial Corp. 2,083,984 127,727
Danaher Corp. 1,386,045 127,170
Weyerhaeuser Co. 1,984,070 126,980
Paychex, Inc. 3,403,183 126,598
Countrywide Financial Corp. 1,662,708 126,116
* Agilent Technologies, Inc. 4,292,005 125,498
* Corning, Inc. 12,008,085 125,244
Mellon Financial Corp. 3,885,182 124,753
* The Kroger Co. 6,725,285 124,485
* Staples, Inc. 4,468,583 121,992
The McGraw-Hill Cos., Inc. 1,729,413 120,921
Devon Energy Corp. 2,099,107 120,195
* Xilinx, Inc. 3,090,029 119,708
Linear Technology Corp. 2,819,901 118,633
Apache Corp. 1,462,634 118,620
Entergy Corp. 2,065,307 117,991
Franklin Resources Corp. 2,265,424 117,938
* Starbucks Corp. 3,530,089 116,705
* Bed Bath & Beyond, Inc. 2,672,819 115,867
H.J. Heinz Co. 3,176,040 115,703
* Univision Communications Inc. 2,910,950 115,536
Anadarko Petroleum Corp. 2,264,655 115,520
The Chubb Corp. 1,694,920 115,424
Southwest Airlines Co. 7,105,413 114,681
Masco Corp. 4,180,570 114,589
Wm. Wrigley Jr. Co. 2,028,607 114,028
Raytheon Co. 3,756,628 112,849
Praxair, Inc. 2,935,181 112,124
International Game Technology 3,124,970 111,561
KeyCorp 3,783,307 110,927
American Electric Power Co., Inc. 3,567,149 108,834
* Biogen Idec Inc 2,958,380 108,809
FPL Group, Inc. 1,661,167 108,674
Air Products & Chemicals, Inc. 2,052,420 108,429
Burlington Northern
Santa Fe Corp. 3,350,399 108,385
* Apollo Group, Inc. Class A 1,592,701 108,304
* Lucent Technologies, Inc. 37,848,693 107,490
Electronic Data Systems Corp. 4,338,052 106,456
Ingersoll-Rand Co. 1,565,721 106,281
FirstEnergy Corp. 2,976,931 104,788
ACE Ltd. 2,520,316 104,391
Sears, Roebuck & Co. 2,292,272 104,275
* PG&E Corp. 3,743,776 103,965
Equity Office Properties
Trust REIT 3,610,214 103,433
* KLA-Tencor Corp. 1,758,397 103,165
Halliburton Co. 3,956,052 102,857
TJX Cos., Inc. 4,551,687 100,365
Progress Energy, Inc. 2,213,148 100,167
* Genzyme Corp.-General Division 2,022,737 99,802
Burlington Resources, Inc. 1,793,927 99,348
Campbell Soup Co. 3,705,851 99,317
* Xerox Corp. 7,151,164 98,686
PPG Industries, Inc. 1,534,589 98,244
SouthTrust Corp. 2,996,569 98,078
John Hancock Financial
Services, Inc. 2,611,493 97,931
Baker Hughes, Inc. 3,023,985 97,251
* Chiron Corp. 1,695,255 96,613
Marriott International, Inc.
Class A 2,088,295 96,479
The Principal Financial
Group, Inc. 2,916,763 96,457
* Symantec Corp. 2,780,396 96,341
XL Capital Ltd. Class A 1,239,752 96,143
* St. Jude Medical, Inc. 1,558,106 95,590
* Intuit, Inc. 1,792,654 94,849
Johnson Controls, Inc. 815,693 94,718
Becton, Dickinson & Co. 2,293,335 94,348
Fortune Brands, Inc. 1,317,407 94,181
* Anthem, Inc. 1,248,835 93,663
* Broadcom Corp. 2,733,642 93,190
Aetna Inc. 1,377,855 93,115
Public Service Enterprise
Group, Inc. 2,122,755 92,977
Marathon Oil Corp. 2,801,920 92,716
The Clorox Co. 1,905,814 92,546
Northern Trust Corp. 1,989,894 92,371
* Yum! Brands, Inc. 2,656,565 91,386
* Lexmark International, Inc. 1,160,315 91,247
Allergan, Inc. 1,178,097 90,490
Hershey Foods Corp. 1,175,175 90,477
Coca-Cola Enterprises, Inc. 4,106,317 89,805
PACCAR, Inc. 1,053,832 89,702
H & R Block, Inc. 1,610,092 89,151
Archer-Daniels-Midland Co. 5,837,324 88,844
Comerica, Inc. 1,583,725 88,784
Consolidated Edison Inc. 2,036,205 87,577
14
- --------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Safeway, Inc. 3,992,679 $ 87,480
Unocal Corp. 2,338,645 86,132
Rohm & Haas Co. 2,010,933 85,887
Pitney Bowes, Inc. 2,109,092 85,671
McKesson Corp. 2,630,689 84,603
Limited Brands, Inc. 4,664,197 84,095
Biomet, Inc. 2,309,090 84,074
Norfolk Southern Corp. 3,525,995 83,390
Adobe Systems, Inc. 2,113,503 83,061
* Medco Health Solutions, Inc. 2,441,280 82,979
Loews Corp. 1,674,883 82,823
St. Paul Cos., Inc. 2,060,616 81,703
Moody's Corp. 1,343,880 81,372
Simon Property Group, Inc. REIT 1,727,790 80,066
Synovus Financial Corp. 2,725,376 78,818
Marshall & Ilsley Corp. 2,045,150 78,227
AmSouth Bancorp 3,170,699 77,682
* Altera Corp. 3,420,700 77,650
Cintas Corp. 1,542,362 77,319
* PeopleSoft, Inc. 3,384,735 77,172
MBIA, Inc. 1,301,710 77,100
Federated Department
Stores, Inc. 1,632,906 76,959
May Department Stores Co. 2,606,425 75,769
Albertson's, Inc. 3,313,955 75,061
* Computer Sciences Corp. 1,691,767 74,827
Mattel, Inc. 3,882,669 74,819
Regions Financial Corp. 2,006,902 74,657
* Micron Technology, Inc. 5,512,195 74,249
Eaton Corp. 686,409 74,118
Equity Residential REIT 2,486,776 73,385
CIGNA Corp. 1,268,903 72,962
Dover Corp. 1,829,152 72,709
* SunGard Data Systems, Inc. 2,593,523 71,867
Bear Stearns Co., Inc. 885,404 70,788
Georgia Pacific Group 2,295,281 70,396
Textron, Inc. 1,228,550 70,101
PPL Corp. 1,601,636 70,072
* Apple Computer, Inc. 3,274,077 69,967
Charter One Financial, Inc. 2,010,848 69,475
CSX Corp. 1,933,076 69,475
TXU Corp. 2,925,356 69,389
* Transocean Inc. 2,889,306 69,372
* Fiserv, Inc. 1,750,561 69,165
* Qwest Communications
International Inc. 15,964,301 68,966
* Quest Diagnostics, Inc. 939,650 68,698
* AutoZone Inc. 801,700 68,313
Monsanto Co. 2,366,434 68,106
Aon Corp. 2,832,577 67,812
Freeport-McMoRan Copper &
Gold, Inc. Class B 1,609,319 67,801
Ameren Corp. 1,466,833 67,474
* Tenet Healthcare Corp. 4,198,029 67,378
Ambac Financial Group, Inc. 965,153 66,972
Eastman Kodak Co. 2,588,382 66,444
* American Standard Cos., Inc. 657,637 66,224
* National Semiconductor Corp. 1,673,645 65,958
Kinder Morgan, Inc. 1,113,093 65,784
Starwood Hotels & Resorts
Worldwide, Inc. 1,825,855 65,676
Lincoln National Corp. 1,607,630 64,900
J.C. Penney Co., Inc.
(Holding Co.) 2,466,074 64,808
* Edison International 2,942,843 64,537
Jefferson-Pilot Corp. 1,274,133 64,535
New York Times Co. Class A 1,346,012 64,326
* Network Appliance, Inc. 3,116,456 63,981
Dollar General Corp. 3,044,042 63,894
Parker Hannifin Corp. 1,071,045 63,727
Ecolab, Inc. 2,327,231 63,696
Cinergy Corp. 1,608,449 62,424
* Concord EFS, Inc. 4,201,215 62,346
* Siebel Systems, Inc. 4,476,738 62,092
ITT Industries, Inc. 832,427 61,774
* Phelps Dodge Corp. 807,039 61,408
Sempra Energy 2,042,502 61,398
Xcel Energy, Inc. 3,602,385 61,168
Cincinnati Financial Corp. 1,449,138 60,690
Centex Corp. 561,510 60,447
Rockwell Automation, Inc. 1,684,018 59,951
DTE Energy Co. 1,520,176 59,895
Tiffany & Co. 1,324,548 59,870
Molex, Inc. 1,715,422 59,851
Constellation Energy Group, Inc. 1,510,955 59,169
* Sanmina-SCI Corp. 4,670,619 58,897
Hilton Hotels Corp. 3,425,269 58,675
* Interpublic Group of Cos., Inc. 3,739,864 58,342
* Novellus Systems, Inc. 1,376,025 57,862
The Pepsi Bottling Group, Inc. 2,373,666 57,395
* MedImmune Inc. 2,235,982 56,794
AmerisourceBergen Corp. 1,010,802 56,757
* Comcast Corp. Special Class A 1,814,271 56,750
Newell Rubbermaid, Inc. 2,478,604 56,438
Avery Dennison Corp. 997,871 55,901
Family Dollar Stores, Inc. 1,557,485 55,883
Knight Ridder 721,711 55,839
North Fork Bancorp, Inc. 1,371,105 55,489
* Nabors Industries, Inc. 1,324,190 54,954
MeadWestvaco Corp. 1,811,778 53,900
15
- --------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
IMS Health, Inc. 2,163,087 $ 53,774
Union Planters Corp. 1,703,334 53,638
UST, Inc. 1,498,137 53,469
T. Rowe Price Group Inc. 1,123,048 53,244
* AES Corp. 5,624,777 53,098
KeySpan Corp. 1,436,836 52,876
* Sprint Corp. (PCS Group) 9,350,035 52,547
Pulte Homes, Inc. 559,684 52,398
Genuine Parts Co. 1,571,575 52,176
ProLogis REIT 1,622,655 52,071
Health Management
Associates Inc. Class A 2,166,361 51,993
NiSource, Inc. 2,367,517 51,943
Delphi Corp. 5,061,367 51,677
* BJ Services Co. 1,429,866 51,332
Brown-Forman Corp. Class B 548,212 51,230
* Jabil Circuit, Inc. 1,803,060 51,027
MGIC Investment Corp. 887,890 50,556
Plum Creek Timber Co. Inc. REIT 1,650,339 50,253
First Tennessee National Corp. 1,133,773 49,999
Zions Bancorp 810,374 49,700
Harrah's Entertainment, Inc. 996,239 49,583
Cooper Industries, Inc. Class A 842,947 48,832
SAFECO Corp. 1,249,588 48,646
* Avaya Inc. 3,757,784 48,626
Rockwell Collins, Inc. 1,596,297 47,937
EOG Resources, Inc. 1,037,886 47,919
* JDS Uniphase Corp. 12,940,429 47,233
* Office Depot, Inc. 2,823,990 47,189
* Express Scripts Inc. 708,331 47,054
* Advanced Micro Devices, Inc. 3,147,625 46,900
Torchmark Corp. 1,020,601 46,478
Huntington Bancshares Inc. 2,064,142 46,443
Williams Cos., Inc. 4,673,137 45,890
Sherwin-Williams Co. 1,315,625 45,705
Whirlpool Corp. 628,250 45,642
* AutoNation, Inc. 2,480,682 45,570
RadioShack Corp. 1,479,963 45,405
El Paso Corp. 5,492,131 44,981
* Watson Pharmaceuticals, Inc. 973,572 44,784
* Solectron Corp. 7,552,440 44,635
R.J. Reynolds Tobacco
Holdings, Inc. 763,230 44,382
* Unisys Corp. 2,983,602 44,306
* Teradyne, Inc. 1,727,771 43,972
* QLogic Corp. 851,909 43,959
American Power
Conversion Corp. 1,792,914 43,837
Vulcan Materials Co. 917,176 43,630
* Noble Corp. 1,206,542 43,170
Amerada Hess Corp. 810,604 43,100
Nordstrom, Inc. 1,241,053 42,568
CenturyTel, Inc. 1,300,544 42,424
Kerr-McGee Corp. 909,535 42,284
VF Corp. 974,568 42,140
UnumProvident Corp. 2,669,977 42,106
* Sealed Air Corp. 766,418 41,494
Wendy's International, Inc. 1,027,563 40,322
Jones Apparel Group, Inc. 1,140,035 40,163
* Mercury Interactive Corp. 813,064 39,547
Nucor Corp. 706,080 39,540
W.W. Grainger, Inc. 823,223 39,012
Applera Corp.-Applied
Biosystems Group 1,875,980 38,851
* BMC Software, Inc. 2,040,335 38,052
C.R. Bard, Inc. 467,685 37,999
McCormick & Co., Inc. 1,251,887 37,682
Leggett & Platt, Inc. 1,733,155 37,488
Scientific-Atlanta, Inc. 1,369,459 37,386
* Thermo Electron Corp. 1,468,394 37,004
Dow Jones & Co., Inc. 735,681 36,674
* Waters Corp. 1,095,002 36,310
* Allied Waste Industries, Inc. 2,615,698 36,306
* Robert Half International, Inc. 1,544,166 36,041
Sigma-Aldrich Corp. 625,197 35,749
Janus Capital Group Inc. 2,173,571 35,668
Sunoco, Inc. 696,657 35,634
* Novell, Inc. 3,374,142 35,496
Symbol Technologies, Inc. 2,079,354 35,120
Liz Claiborne, Inc. 984,202 34,900
Black & Decker Corp. 701,067 34,577
SuperValu Inc. 1,209,294 34,574
* NVIDIA Corp. 1,464,753 34,056
Engelhard Corp. 1,131,413 33,886
* Pactiv Corp. 1,417,717 33,883
Hasbro, Inc. 1,575,919 33,536
Alberto-Culver Co. Class B 530,024 33,434
* Humana Inc. 1,455,179 33,251
* King Pharmaceuticals, Inc. 2,174,670 33,185
* NCR Corp. 853,878 33,130
Pinnacle West Capital Corp. 823,154 32,943
United States Steel Corp. 931,162 32,609
* Citizens Communications Co. 2,565,142 31,859
* Tellabs, Inc. 3,762,676 31,719
Goodrich Corp. 1,060,615 31,490
* Citrix Systems, Inc. 1,483,921 31,474
* PMC Sierra Inc. 1,560,518 31,444
Darden Restaurants Inc. 1,486,835 31,283
R.R. Donnelley & Sons Co. 1,024,726 30,895
Equifax, Inc. 1,254,202 30,728
Temple-Inland Inc. 489,461 30,675
* Comverse Technology, Inc. 1,741,653 30,636
16
- --------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Providian Financial Corp. 2,617,393 $ 30,466
* LSI Logic Corp. 3,418,398 30,321
KB HOME 417,943 30,309
Ball Corp. 508,797 30,309
Pall Corp. 1,127,070 30,239
* Navistar International Corp. 619,580 29,672
International Flavors &
Fragrances, Inc. 844,590 29,493
Fluor Corp. 739,881 29,329
Apartment Investment &
Management Co. Class A REIT 849,694 29,314
Federated Investors, Inc. 979,996 28,773
* CIENA Corp. 4,272,834 28,372
Sabre Holdings Corp. 1,293,839 27,934
Manor Care, Inc. 803,920 27,791
The Stanley Works 730,862 27,678
Eastman Chemical Co. 697,730 27,581
Ashland, Inc. 618,703 27,260
CenterPoint Energy Inc. 2,760,301 26,747
Brunswick Corp. 825,421 26,273
Boise Cascade Corp. 779,759 25,623
Autodesk, Inc. 1,008,177 24,781
Dana Corp. 1,340,237 24,593
Bausch & Lomb, Inc. 472,783 24,537
TECO Energy, Inc. 1,693,798 24,408
* Toys R Us, Inc. 1,925,243 24,335
Tektronix, Inc. 765,529 24,191
Bemis Co., Inc. 479,043 23,952
* Convergys Corp. 1,290,064 22,524
* Monster Worldwide Inc. 1,017,008 22,333
Meredith Corp. 452,484 22,086
* ADC Telecommunications, Inc. 7,258,354 21,557
Reebok International Ltd. 532,861 20,952
* Compuware Corp. 3,463,686 20,921
Ryder System, Inc. 578,398 19,752
Maytag Corp. 708,181 19,723
* Rowan Cos., Inc. 848,302 19,655
PerkinElmer, Inc. 1,143,998 19,528
Circuit City Stores, Inc. 1,889,006 19,136
* Millipore Corp. 440,204 18,951
Deluxe Corp. 455,699 18,834
Cummins Inc. 381,483 18,670
Adolph Coors Co. Class B 328,306 18,418
* Calpine Corp. 3,725,767 17,921
* Louisiana-Pacific Corp. 954,976 17,075
Snap-On Inc. 525,492 16,942
* Applied Micro Circuits Corp. 2,765,445 16,537
Crane Co. 535,924 16,474
* Andrew Corp. 1,385,608 15,948
* Big Lots Inc. 1,054,235 14,981
* Allegheny Energy, Inc. 1,148,089 14,650
* Dynegy, Inc. 3,395,357 14,532
Cooper Tire & Rubber Co. 665,996 14,239
Worthington Industries, Inc. 776,460 14,000
Peoples Energy Corp. 331,954 13,955
NICOR Inc. 397,196 13,520
* Gateway, Inc. 2,925,514 13,457
Delta Air Lines, Inc. 1,113,429 13,150
* American Greetings Corp.
Class A 598,761 13,095
Winn-Dixie Stores, Inc. 1,277,178 12,708
* The Goodyear Tire & Rubber Co. 1,581,135 12,428
Great Lakes Chemical Corp. 456,467 12,411
* CMS Energy Corp. 1,454,881 12,395
Dillard's Inc. 750,775 12,358
Visteon Corp. 1,179,045 12,274
* Hercules, Inc. 1,000,316 12,204
Thomas & Betts Corp. 528,012 12,086
Allegheny Technologies Inc. 729,372 9,642
* Parametric Technology Corp. 2,405,431 9,477
Tupperware Corp. 528,163 9,158
* Power-One, Inc. 750,975 8,133
Viacom Inc. Class A 143,386 6,348
Molex, Inc. Class A 4,051 119
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $71,914,380) $ 92,858,729
- --------------------------------------------------------------------------------
17
- --------------------------------------------------------------------------------
MARKET
VALUE*
500 INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.9%)(1)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.05%, 1/20/2004 $ 10,700 10,694
(2) 1.05%, 1/30/2004 15,000 14,988
(2) 1.05%, 1/7/2004 10,000 9,999
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
0.99%, 1/2/2004 596,853 596,853
0.99%, 1/2/2004--Note E 192,999 192,999
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS (Cost $825,532) $ 825,533
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.3%) (Cost $72,739,912) $ 93,684,262
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.3%)
- --------------------------------------------------------------------------------
Other Assets--Note B 858,822
Liabilities--Note E (1,102,871)
---------------
(244,049)
---------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $ 93,440,213
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1) The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash
investment positions represent 100.0% and 0.3%, respectively, of net
assets. See Note C in Notes to Financial Statements.
(2) Security has been segregated as initial margin for open futures contracts.
REIT-Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $ 76,953,742
Overdistributed Net Investment Income (104,622)
Accumulated Net Realized Losses (4,381,485)
Unrealized Appreciation
Investment Securities 20,944,350
Futures Contracts 28,228
- --------------------------------------------------------------------------------
NET ASSETS $ 93,440,213
================================================================================
Investor Shares--Net Assets
Applicable to 733,805,254 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 75,342,454
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 102.67
================================================================================
Admiral Shares--Net Assets
Applicable to 176,262,344 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 18,097,759
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 102.68
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
18
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by the fund during the reporting
period, and details the operating expenses charged to each class of its shares.
These expenses directly reduce the amount of investment income available to pay
to shareholders as income dividends. This Statement also shows any Net Gain
(Loss) realized on the sale of investments, and the increase or decrease in the
Unrealized Appreciation (Depreciation) of investments during the period.
- --------------------------------------------------------------------------------
500 INDEX FUND
YEAR ENDED DECEMBER 31, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 1,395,598
Interest 7,365
Security Lending 758
- --------------------------------------------------------------------------------
Total Income 1,403,721
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 153
Management and Administrative
Investor Shares 103,288
Admiral Shares 14,924
Marketing and Distribution
Investor Shares 8,639
Admiral Shares 1,718
Custodian Fees 531
Auditing Fees 17
Shareholders' Reports
Investor Shares 2,064
Admiral Shares 41
Trustees' Fees and Expenses 96
- --------------------------------------------------------------------------------
Total Expenses 131,471
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,272,250
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 309,757
Futures Contracts 116,333
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 426,090
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 18,523,862
Futures Contracts 38,436
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 18,562,298
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 20,260,638
================================================================================
19
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the fund's total net assets changed during the two most
recent reporting periods. The Operations section summarizes information detailed
in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the net amount shareholders invested in
or redeemed from the fund. Distributions and Capital Share Transactions are
shown separately for each class of shares.
- --------------------------------------------------------------------------------
500 INDEX FUND
-------------------------
YEAR ENDED DECEMBER 31,
- --------------------------------------------------------------------------------
2003 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $1,272,250 $1,106,685
Realized Net Gain (Loss) 426,090 (2,516,358)
Change in Unrealized Appreciation (Depreciation) 18,562,298 (18,331,701)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 20,260,638 (19,741,374)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (1,029,145) (940,961)
Admiral Shares (245,685) (202,486)
Realized Capital Gain
Investor Shares -- --
Admiral Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (1,274,830) (1,143,447)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--NOTE F
Investor Shares 3,674,152 439,822
Admiral Shares 2,634,755 1,576,643
- --------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 6,308,907 2,016,465
- --------------------------------------------------------------------------------
Total Increase (Decrease) 25,294,715 (18,868,356)
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 68,145,498 87,013,854
- --------------------------------------------------------------------------------
End of Period $ 93,440,213 $ 68,145,498
================================================================================
20
FINANCIAL HIGHLIGHTS
This table summarizes the fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
500 INDEX FUND INVESTOR SHARES
- -------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-----------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 81.15 $105.89 $121.86 $135.33 $113.95
- -------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.44 1.32 1.260 1.29 1.370
Net Realized and Unrealized Gain (Loss)
on Investments 21.51 (24.70) (15.955) (13.46) 22.415
- -------------------------------------------------------------------------------------------------------------
Total from Investment Operations 22.95 (23.38) (14.695) (12.17) 23.785
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.43) (1.36) (1.275) (1.30) (1.410)
Distributions from Realized Capital Gains -- -- -- -- (.995)
- -------------------------------------------------------------------------------------------------------------
Total Distributions (1.43) (1.36) (1.275) (1.30) (2.405)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $102.67 $ 81.15 $105.89 $121.86 $135.33
=============================================================================================================
TOTAL RETURN* 28.50% -22.15% -12.02% -9.06% 21.07%
=============================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $75,342 $56,224 $73,151 $88,240 $104,652
Ratio of Total Expenses to Average Net Assets 0.18% 0.18% 0.18% 0.18% 0.18%
Ratio of Net Investment Income to Average Net Assets 1.61% 1.43% 1.14% 0.98% 1.13%
Portfolio Turnover Rate** 2% 7% 4% 9% 6%
=============================================================================================================
* Total returns do not reflect the $10 annual account maintenance fee applied
on balances under $10,000. **Portfolio turnover rates excluding in-kind
redemptions were 1%, 6%, 3%, 7%, and 3%, respectively.
21
FINANCIAL HIGHLIGHTS (CONTINUED)
500 INDEX FUND ADMIRAL SHARES
- ------------------------------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, NOV. 13* TO
----------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 81.15 $105.89 $121.87 $124.88
- ------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.507 1.374 1.313 .179
Net Realized and Unrealized Gain (Loss)
on Investments 21.510 (24.700) (15.955) (2.808)
- ------------------------------------------------------------------------------------------
Total from Investment Operations 23.017 (23.326) (14.642) (2.629)
- ------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.487) (1.414) (1.338) (.381)
Distributions from Realized Capital Gains -- -- -- --
- ------------------------------------------------------------------------------------------
Total Distributions (1.487) (1.414) (1.338) (.381)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of Period $102.68 $ 81.15 $105.89 $121.87
==========================================================================================
Total Return 28.59% -22.10% -11.98% -2.10%
==========================================================================================
Ratios/Supplemental Data
Net Assets, End of Period (Millions) $18,098 $11,922 $13,863 $8,237
Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12% 0.12%+
Ratio of Net Investment Income to
Average Net Assets 1.67% 1.50% 1.22% 1.03+
Portfolio Turnover Rate** 2% 7% 4% 9%
==========================================================================================
* Inception.
** Portfolio turnover rates excluding in-kind redemptions were 1%, 6%, 3%, and
7%, respectively. YAnnualized. see accompanying notes, which are an
integral part of the financial statements.
+Annualized.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
NOTES TO FINANCIAL STATEMENTS
Vanguard 500 Index Fund is registered under the Investment Company Act of 1940
as an open-end investment company, or mutual fund. The fund offers two classes
of shares, Investor Shares and Admiral Shares. Investor Shares are available to
any investor who meets the fund's minimum purchase requirements. Admiral Shares
are designed for investors who meet certain administrative, servicing, tenure,
and account-size criteria.
A. The following significant accounting policies conform to generally accepted
accounting principles for U.S. mutual funds. The fund consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Securities are valued as of the close of trading on
the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation
date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such
securities not traded on the valuation date are valued at the mean of the latest
quoted bid and asked prices. Securities for which market quotations are not
readily available, or whose values have been materially affected by events
occurring before the fund's pricing time but after the close of the securities'
primary markets, are valued by methods deemed by the board of trustees to
represent fair value. Temporary cash investments acquired over 60 days to
maturity are valued using the latest bid prices or using valuations based on a
matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
Other temporary cash investments are valued at amortized cost, which
approximates market value.
2. FUTURES CONTRACTS: The fund uses S&P 500 Index futures contracts to a
limited extent, with the objectives of maintaining full exposure to the stock
market, enhancing returns, maintaining liquidity, and minimizing transaction
costs. The fund may purchase futures contracts to immediately invest incoming
cash in the market, or sell futures in response to cash outflows, thereby
simulating a fully invested position in the underlying index while maintaining a
cash balance for liquidity. The fund may seek to enhance returns by using
futures contracts instead of the underlying securities when futures are believed
to be priced more attractively than the underlying securities. The primary risks
associated with the use of futures contracts are imperfect correlation between
changes in market values of stocks held by the fund and the prices of futures
contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The fund, along with other members of The
Vanguard Group, transfers uninvested cash balances to a pooled cash account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
4. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date.
23
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except
that each class separately bears certain class-specific expenses related to
maintenance of shareholder accounts (included in Management and Administrative
expenses) and shareholder reporting. Marketing and distribution expenses are
allocated to each class of shares based on a method approved by the board of
trustees. Income, other non-class-specific expenses, and realized and unrealized
gains and losses on investments are allocated to each class of shares based on
its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the fund under methods approved by the board of
trustees. The fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At December 31, 2003, the fund had
contributed capital of $14,158,000 to Vanguard (included in Other Assets),
representing 0.02% of the fund's net assets and 14.15% of Vanguard's
capitalization. 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 year ended December 31, 2003, the fund realized $521,303,000 of
net capital gains resulting from in-kind redemptions--in which shareholders
exchange fund shares for securities held by the fund rather than for cash.
Because such gains are not taxable to the fund, and are not distributed to
shareholders, they have been reclassified from accumulated net realized gains to
paid-in capital.
For tax purposes, at December 31, 2003, the fund had $8,300,000 of ordinary
income available for distribution. The fund had available realized losses of
$4,349,644,000 to offset future net capital gains of $193,358,000 through
December 31, 2008, $890,248,000 through December 31, 2009, $3,087,963,000
through December 31, 2010, $176,196,000 through December 31, 2011, and
$1,879,000 through December 31, 2012.
At December 31, 2003, net unrealized appreciation of investment securities
for tax purposes was $20,944,350,000, consisting of unrealized gains of
$29,380,473,000 on securities that had risen in value since their purchase and
$8,436,123,000 in unrealized losses on securities that had fallen in value since
their purchase.
24
At December 31, 2003, the aggregate settlement value of open futures
contracts expiring in March 2004 and the related unrealized appreciation were:
- --------------------------------------------------------------------------------
(000)
------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
S&P 500 Index 1,978 $549,192 $27,415
E-mini S&P 500 Index 660 36,650 813
- --------------------------------------------------------------------------------
Unrealized appreciation on open futures contracts is required to be treated
as realized gain for tax purposes.
D. During the year ended December 31, 2003, the fund purchased $8,200,431,000 of
investment securities and sold $1,830,078,000 of investment securities other
than temporary cash investments.
E. The market value of securities on loan to broker/dealers at December 31,
2003, was $187,977,000, for which the fund held cash collateral of $192,999,000.
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:
- --------------------------------------------------------------------------------
YEAR ENDED AUGUST 31,
--------------------------------------------------
2003 2002
------------------------ ------------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- --------------------------------------------------------------------------------
INVESTOR SHARES
Issued $ 13,026,688 146,182 $ 13,122,035 141,376
Issued in Lieu of Cash
Distributions 971,109 10,563 883,934 10,271
Redeemed (10,323,645) (115,745) (13,566,147) (149,680)
--------------------------------------------------------
Net Increase (Decrease)
--Investor Shares 3,674,152 41,000 439,822 1,967
--------------------------------------------------------
Admiral Shares
Issued 4,455,070 49,744 3,955,614 42,831
Issued in Lieu of Cash
Distributions 207,450 2,251 171,021 1,990
Redeemed (2,027,765) (22,633) (2,549,992) (28,843)
--------------------------------------------------------
Net Increase (Decrease)
--Admiral Shares 2,634,755 29,362 1,576,643 15,978
- --------------------------------------------------------------------------------
25
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees of Vanguard 500 Index Fund:
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Vanguard 500 Index Fund (the "Fund") at December 31, 2003, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the financial highlights for each of
the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States of America, which require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 2003 by correspondence with the custodian and
broker, provide a reasonable basis for our opinion.
PRICEWATERHOUSECOOPERS LLP
PHILADELPHIA, PENNSYLVANIA
FEBRUARY 3, 2004
- --------------------------------------------------------------------------------
SPECIAL 2003 TAX INFORMATION
(UNAUDITED) FOR VANGUARD 500 INDEX FUND
This information for the fiscal year ended December 31, 2003, is included
pursuant to provisions of the Internal Revenue Code.
For corporate shareholders, 100% of investment income (dividend income plus
short-term gains, if any) qualifies for the dividends-received deduction.
The fund distributed the maximum amount of qualified dividend income allowable.
The amount of qualified dividend income distributed by the fund was provided to
individual shareholders on their 2003 Form 1099-DIV.
- --------------------------------------------------------------------------------
26
INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM
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RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE
Use our PLANNING & ADVICE and RESEARCH FUNDS & STOCKS sections to:
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27
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
Target Retirement Funds:
Retirement Income
Retirement 2005
Retirement 2015
Retirement 2025
Retirement 2035
Retirement 2045
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.
THIS PAGE INTENTIONALLY LEFT BLANK.
THIS PAGE INTENTIONALLY LEFT BLANK.
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 sizable
personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business,
academia, and public service to their task of working with Vanguard officers to
establish the policies and oversee the activities of
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 sizable
personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business,
academia, and public service to their task of working with Vanguard officers to
establish the policies and oversee the activities of
- ------------------------------------------------------------------------------------------------------------
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee
(1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies
May 1987 Executive Officer, served by The Vanguard Group.
and Trustee
(118)
- ------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor
(1937) (118) to Greenwich Associates (international business strategy consulting);
January 2001 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 Trustee Chairman and Chief Executive Officer (since October 1999), Vice
(1945) (118) Chairman (JanuarySeptember 1999), and Vice President (prior to
December 2001 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; and Trustee of Drexel University.
- ------------------------------------------------------------------------------------------------------------
JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the
HEISEN (118) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer
(1950) products); Director of the Medical Center at Princeton and Women's
July 1998 Research and Education Institute.
- ------------------------------------------------------------------------------------------------------------
BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University;
(1932) (116) Director of Vanguard Investment Series plc (Irish invest-ment fund)
May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish
investment management firm)(since November 2001),Prudential Insurance
Co. of America, BKF Capital (investment management), The Jeffrey Co.
(holding company), and NeuVis, Inc.(software company).
- ------------------------------------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment
advisors for the funds; monitoring fund operations, performance, and costs;
reviewing contracts; nominating and selecting new trustees/directors; and
electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee's
retirement, resignation, or death; or otherwise as specified in the fund's
organizational documents. Any trustee may be removed at a shareholders' meeting
by a vote representing two-thirds of the net asset value of all shares of the
fund together with shares of other Vanguard funds organized within the same
trust. The table on these two pages shows information for each trustee and
executive officer of the fund. The mailing address of the trustees and officers
is P.O. Box 876, Valley Forge, PA 19482.
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO
(1941) (118) Industries, Inc. (forklift trucks/housewares/lignite); Director of
January 1993 Goodrich Corporation (industrial products/aircraft systems and
services); Director of Standard Products Company (supplier for
the automotive industry) until 1998.
- ------------------------------------------------------------------------------------------------------------
J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co.
(1936) (118) (chemicals); Director of Cummins Inc. (diesel engines), The Mead
April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal
distribution); Trustee of Vanderbilt University.
- ------------------------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.;
(1951) (118) Secretary of The Vanguard Group and of each of the investment
June 2001 companies served by The Vanguard Group.
- ------------------------------------------------------------------------------------------------------------
Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the
(1957) (118) investment companies served by The Vanguard Group.
July 1998
- ------------------------------------------------------------------------------------------------------------
*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. MICHAEL S. MILLER, Planning and Development.
JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance.
KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer.
F. WILLIAM MCNABB, III, Client Relationship Group.
- ------------------------------------------------------------------------------------------------------------
JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996.
- ------------------------------------------------------------------------------------------------------------
[VANGUARD SHIP LOGO]
THE VANGUARD GROUP(R)
POST OFFICE BOX 2600
VALLEY FORGE, PA 19482-2600
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All other marks are the exclusive property of their respective owners.
ABOUT OUR COVER
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FOR MORE INFORMATION
This report is intended for the fund's shareholders. It may not be distributed
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To receive a free copy of the prospectus or the Statement of Additional
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FUND INFORMATION
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(C) 2004 THE VANGUARD GROUP, INC.
ALL RIGHTS RESERVED.
VANGUARD MARKETING
CORPORATION, DISTRIBUTOR.
Q400 022004
VANGUARD(R) U.S. STOCK INDEX FUNDS
SMALL-CAPITALIZATION PORTFOLIOS
DECEMBER 31, 2003
ANNUAL REPORT
VANGUARD(R) SMALL-CAP INDEX FUND
VANGUARD(R) SMALL-CAP GROWTH INDEX FUND
VANGUARD(R) SMALL-CAP VALUE INDEX FUND
THE VANGUARD GROUP(R) LOGO
HOW TO READ YOUR FUND REPORT
This report contains information that can help you evaluate your investment. It
includes details about your fund's return and presents data and analysis that
provide insight into the fund's performance and investment approach.
By reading the letter from Vanguard's chairman, you'll get an understanding of
how the fund invests and how the market environment affected its performance.
The statistical information that follows can help you understand how the fund's
performance and characteristics stack up against those of similar funds and
market benchmarks.
It's important to keep in mind that any opinions expressed here are just that:
informed opinions. They should not be considered promises or advice. These
opinions, like the statistics, cover the period through the date on the cover of
this report. The risks of investing in the fund are spelled out in the
prospectus.
Frequent updates on the fund's performance and information about some of its
holdings are available on Vanguard.com(R).
- --------------------------------------------------------------------------------
CONTENTS
1 letter from the chairman
7 fund profiles
10 glossary of investment terms
11 performance summaries
14 your fund's after-tax returns
15 about your fund's expenses
16 financial statements
74 advantages of vanguard.com
- --------------------------------------------------------------------------------
SUMMARY
* During 2003, Vanguard's small-cap index funds posted their best fiscal-year
returns ever, with gains ranging from 37.2% to 45.9%.
* The stock market began to recover from one of the longest and deepest bear
markets in modern financial history.
* As they have for the last several years, small-caps posted higher returns
than the broad market.
- --------------------------------------------------------------------------------
Want less clutter in your mailbox? Just register with VANGUARD.COM and opt to
get fund reports online.
INDEXED TO
MSCI
SMALL-CAP INDEX FUND
SMALL-CAP GROWTH INDEX FUND
SMALL-CAP VALUE INDEX FUND
LETTER FROM THE CHAIRMAN
Fellow Shareholder,
The stock market rebound that began in March turned 2003 into a remarkable year
for equities, especially those from smaller companies.
The three Vanguard small-capitalization index funds turned in their best
fiscal-year returns ever, with gains ranging from 37.2% to 45.9%. As the
adjacent table shows, Vanguard Small-Cap Index Fund posted the best results
among the three and also outpaced the average small-cap core fund. Vanguard
Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund lagged the
returns for their respective peer groups.
[PICTURES OF JOHN J. BRENNAN]
- ----------------------------------------------
2003 TOTAL RETURNS FISCAL YEAR ENDED
DECEMBER 31
- ----------------------------------------------
VANGUARD SMALL-CAP INDEX FUND
Investor Shares 45.6%
Admiral Shares 45.8
Institutional Shares 45.9
Spliced Small Cap Index* 45.5
Average Small-Cap Core Fund** 44.2
- ----------------------------------------------
VANGUARD SMALL-CAP GROWTH INDEX FUND
Investor Shares 42.9%
Institutional Shares 43.1
Spliced Small Cap Growth Index+ 41.9
Average Small-Cap Growth Fund** 44.4
- ----------------------------------------------
VANGUARD SMALL-CAP VALUE INDEX FUND
Investor Shares 37.2%
Institutional Shares 37.2
Spliced Small Cap Value Index++ 35.5
Average Small-Cap Value Fund** 42.9
- ----------------------------------------------
* Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index
thereafter.
** Derived from data provided by Lipper Inc.
+S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap
Growth Index thereafter.
++S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap
Value Index thereafter.
The three Vanguard funds met their objectives of tracking their respective
indexes, though the margins between fund and index results were wider than
usual. As you know, the funds switched to new target indexes on May 16 (hence
the "spliced" indexes cited in this report, which incorporate returns from both
the old and new benchmarks). To reduce transaction costs, the actual transition
of portfolio holdings to reflect the new indexes took place over several weeks,
introducing some tracking error that, in all three cases, worked in the funds'
favor.
1
Each fund's total returns are based on the change in net asset value plus any
income or capital gains distributions during the year. The table on page 6
provides details. If you hold any of the funds in a taxable account, you may
wish to see page 14 for after-tax returns.
- --------------------------------------------------------------------------------
ADMIRAL(TM) SHARES
A lower-cost class of shares available to many longtime shareholders and to
those with significant investments in the Fund.
INSTITUTIONAL SHARES
This class of shares also carries low expenses and is available for a minimum
investment of $10 million.
- --------------------------------------------------------------------------------
STOCKS LEAPED AHEAD AFTER YEARS OF DECLINE
Three straight years of stock market declines ended in a spectacular fashion in
2003. The broad U.S. stock market, as measured by the Wilshire 5000 Total Market
Index, returned 31.6% for the 12 months. The start of combat operations in Iraq
in mid-March and the subsequent quick end to that phase of the engagement
relieved months of anticipation and uncertainty that had cast a pall over the
financial markets.
Other factors also contributed to investors' optimism: the Federal Reserve
Board's cutting short-term interest rates to a 45-year low of 1.00%; a falling
U.S. dollar, which aided businesses dependent on exports and profits from
operations overseas; mortgage rates' hitting four-decade lows, which spurred
further home-buying and freed up cash through refinancing; tax cuts and refunds
to consumers who were more than willing to spend the windfall; a spike in
spending by businesses to replenish inventories and equipment; and the rapid
growth of the economy, which reached an annual rate of 8.2% in the third
quarter.
- --------------------------------------------------------------------------------
MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
---------------------------------------
ONE THREE FIVE
YEAR YEARS YEARS
- --------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1%
Russell 2000 Index (Small-caps) 47.3 6.3 7.1
Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4
MSCI All Country World Index Free
ex USA (International) 41.4 -1.0 1.5
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 4.1% 7.6% 6.6%
(Broad taxable market)
Lehman Municipal Bond Index 5.3 6.7 5.8
Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5
================================================================================
CPI
Consumer Price Index 1.9% 1.9% 2.4%
- --------------------------------------------------------------------------------
"JUNK" REIGNED SUPREME
Investors' renewed appetite for risk was evident not just in the equity markets,
but on the fixed income side as well. Bonds from companies with
below-investment-grade credit ratings (popularly known as
2
"junk" bonds) surged 29.0% during the 12 months, as measured by the Lehman
Brothers High Yield Bond Index.
At the other extreme of the credit-quality spectrum, U.S. Treasury securities at
first seemed poised for a fourth straight year of outstanding gains. By June,
the rising price of the 10-year Treasury note drove its yield down to just above
3%--a level not seen since Dwight Eisenhower occupied the Oval Office. However,
the prices of Treasuries fell subsequently, and by year-end the 10-year note's
yield stood at 4.25%, up 44 basis points (0.44 percentage point) from the
beginning of the year. Treasuries' total returns (which include interest income)
for the full 12 months were still in positive territory, but barely so.
Mortgage-backed securities did only marginally better, while investment-grade
corporate bonds--particularly those with longer maturities--posted solid
returns. The Lehman Aggregate Bond Index, the benchmark for the broad U.S.
investment-grade taxable bond market, earned 4.1%. Even as yields on
longer-maturity bonds rose, the yield of the 3-month U.S. Treasury bill, a proxy
for money market rates, finished the year at 0.92%, 27 basis points below its
year-ago level.
THE FUNDS' GAINS WERE STELLAR ACROSS SECTORS
As expected, Vanguard's three small-cap index funds reflected the performance of
their target benchmarks during the 12 months. But in contrast to the previous
year--when even small-caps, the best-performing stocks through most of the bear
market, posted double-digit negative returns--achieving the market return was a
pleasant experience. We thank our shareholders for their patience and loyalty
through the long stock downturn.
The impressive gains made in 2003 were almost universal across sectors within
all three funds. Outside of the funds' minuscule stakes in integrated oil
companies, every sector registered a double-digit return, ranging from a "low"
of 17% to a high of 74%. Technology shares generally enjoyed the greatest gains,
but stocks in consumer discretionary, financial services, health care, and
producer durables--sectors that, in general, stand to benefit from an expanding
economy--also posted remarkable returns and, in some cases, had more of an
impact on overall performance because of their heavier weightings in the target
indexes and therefore the funds.
3
THE FUNDS POSTED MORE MODEST, BUT SOLID, LONGER-TERM RETURNS
One year is a mere snapshot; a fund's performance should be gauged over the long
term. The adjacent table shows the annualized returns and the final results of a
hypothetical $10,000 initial investment over ten years for the Small-Cap Index
Fund and its comparative measures. Also shown are figures for the Small-Cap
Growth Index Fund, the Small-Cap Value Index Fund, and their respective
benchmarks since those funds' inceptions in May 1998.
- ----------------------------------------------------------------
TOTAL RETURNS PERIODS ENDED
DECEMBER 31, 2003*
- ----------------------------------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RETURN INITIAL INVESTMENT
- ----------------------------------------------------------------
Small-Cap Index
Fund Investor Shares 10.2% $ 26,419
Spliced Small Cap Index 9.3 24,420
Average Small-Cap
Core Fund 12.5 32,574
- ----------------------------------------------------------------
Small-Cap Growth Index
Fund Investor Shares 6.0% $ 13,899
Spliced Small Cap
Growth Index 5.6 13,564
Average Small-Cap
Growth Fund 5.4 13,439
- ----------------------------------------------------------------
Small-Cap Value Index
Fund Investor Shares 7.2% $ 14,756
Spliced Small Cap
Value Index 6.4 14,161
Average Small-Cap
Value Fund 8.6 15,859
- ----------------------------------------------------------------
* Ten years for the Small-Cap Index Fund. For the Small-Cap Growth Index and
Small-Cap Value Index Funds, the returns are annualized since May 21, 1998, the
funds' inception date.
All three funds slightly outpaced their respective target indexes--no mean feat,
given that index funds are normally expected to lag their targets because of
real-world operating costs. As mentioned earlier, part of that outperformance
was a result of tracking error as we transitioned to the new indexes. But much
of it was due to the skill of the funds' investment advisor, Vanguard's
Quantitative Equity Group, which added value through use of proprietary tracking
methodologies that took maximum advantage of the funds' low costs.
Relative to competing funds, our funds had mixed results. The Small-Cap Index
Fund and Small-Cap Value Index Fund lagged the average returns for their peers,
while the Small-Cap Growth Index Fund outperformed its average peer. Small-cap
stocks trailed large- and mid-caps during the 1990s--a factor that dampened the
Small-Cap Index Fund's return relative to actively managed small-cap funds,
which often included stocks whose girth strained the definition of "small-cap."
The bear market was a dominant influence for much of our other two funds'
shorter life spans. Their former target indexes exclude companies that have less
than four quarters of operating profits, which meant many of the more
speculative companies that suffered in the downturn were not part of the
indexes. Not holding these companies had a positive impact on the relative
performance of the Small-Cap Growth Index Fund. However, this factor had a
negligible impact on the Small-Cap Value Index Fund's relative performance, as
value funds and indexes tend to be light on speculative stocks, or at least
those with very high valuations.
4
THE NEW INDEXES SHOULD PROVIDE MORE CONSISTENCY
As we noted earlier, Vanguard Small-Cap Index Fund posted a higher return than
its growth and value siblings during 2003, which seems to contradict normal
expectations that the result of a broad fund would fall between those of its
growth and value counterparts. In other years, such as 2000 and 2002, a similar
contradiction existed, but in reverse, with the growth and value funds
outperforming the broad fund. The reason: Until recently, the three funds
tracked indexes from two providers with different methods of constructing their
indexes.
We have since adopted new Morgan Stanley Capital International (MSCI) indexes
for most of our domestic index funds, including all three small-cap funds. What
the impact will be on the funds' absolute returns going forward, no one can say.
However, the new MSCI indexes should provide several benefits, with the most
obvious being that the new target indexes are based on a common methodology,
eliminating that contradiction between results. The changes should also reduce
the overlap of certain individual stocks between indexes--a benefit for those
investors who prefer to build their portfolios with funds focused on discrete
market segments. In addition, MSCI's methodology should result in lower
portfolio turnover in the future, potentially mitigating taxes for investors who
hold the funds in nonretirement accounts. (In the past fiscal year, transition
to the new indexes did significantly increase turnover. The transition did not
generate net capital gains.)
Most importantly, we feel the new indexes are a better reflection of their
respective market segments and should provide results more consistent with those
of their mutual fund peers. The latter means that costs, rather than index
methodology, will play a bigger role in the funds' relative performance. And
when it comes to costs, Vanguard has an advantage: Our expense ratios are
typically a fraction of the average for peer funds. (For details on the impact
of costs on returns, please refer to page 15.)
5
2003 BROUGHT STRONG RETURNS--AND DISAPPOINTMENT
Writing about positive stock fund returns is a welcome change. The market's
resurgence has made my task more pleasant--but it has in no way altered the
advice that we offered to shareholders both before and during the long downturn
and that we continue to offer today. In any market environment, the keys to
successful long-term investing are balance, diversification, and low costs. Make
these principles the foundation of your investment plan, and you'll be
positioned to survive-- and ultimately thrive--come what may.
Unfortunately, 2003 also brought disappointment to many investors. The reports
of late trading and market-timing at some competing investment management firms
have been as disturbing to us as they no doubt have been to you. I want to close
this letter with an assurance that Vanguard has policies and procedures in place
to identify and deter such behavior. More important, Vanguard shareholders are
served by a crew of the highest integrity, and our client-owned corporate
structure aligns our day-to-day efforts with your long-term financial goals.
Thank you for investing your assets with Vanguard.
Sincerely,
/S/ JOHN J. BRENNAN
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JANUARY 15, 2004
- --------------------------------------------------------------------------------
YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003
DISTRIBUTIONS PER SHARE
-------------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
Small-Cap
Investor Shares $ 15.66 $ 22.60 $ 0.204 $ 0.000
Admiral Shares 15.66 22.60 0.224 0.000
Institutional Shares 15.66 22.61 0.234 0.000
- --------------------------------------------------------------------------------
Small-Cap Growth
Investor Shares $ 9.17 $ 13.08 $ 0.022 $ 0.000
Institutional Shares 9.17 13.09 0.030 0.000
- --------------------------------------------------------------------------------
Small-Cap Value
Investor Shares $ 8.52 $ 11.49 $ 0.198 $ 0.000
Institutional Shares 8.53 11.50 0.204 0.000
- --------------------------------------------------------------------------------
6
FUND PROFILES
These Profiles provide snapshots of each funds' characteristics, compared where
indicated with the fund's target index and a broad market index. Key terms are
defined on page 10.
SMALL-CAP INDEX FUND
- -----------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- -----------------------------------------------------------------------
Number of Stocks 1,756 1,750 5,216
Median Market Cap $1.2B $1.2B $29.3B
Price/Earnings Ratio 30.3x 30.3x 25.6x
Price/Book Ratio 2.4x 2.4x 3.1x
Yield 1.2% 1.5%
Investor Shares 1.0%
Admiral Shares 1.1%
Institutional Shares 1.2%
Return on Equity 11.4% 11.4% 15.9%
Earnings Growth Rate 6.3% 6.2% 5.3%
Foreign Holdings 0.3% 0.3% 0.8%
Turnover Rate 39%+ -- --
Expense Ratio -- --
Investor Shares 0.27%
Admiral Shares 0.18%
Institutional Shares 0.10%
Short-Term Reserves 0% -- --
- -----------------------------------------------------------------------
- -----------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
NTL Inc. 0.4%
(telecommunications)
Novell, Inc. 0.3
(computer software)
United States Steel Corp. 0.3
(metals and mining)
PMC Sierra Inc. 0.3
(electronics)
Invitrogen Corp. 0.3
(biotechnology)
International Rectifier Corp. 0.2
(electronics)
Rite Aid Corp. 0.2
(drug stores and pharmacies)
Sirius Satellite Radio, Inc. 0.2
(radio broadcasting and programming)
Navistar International Corp. 0.2
(automotive and transport)
Foundry Networks, Inc. 0.2
(computer hardware)
- -----------------------------------------------------
Top Ten 2.6%
- -----------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- -------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX++ FUND INDEX**
- -------------------------------------------------------------
R-Squared 1.00 1.00 0.79 1.00
Beta 1.00 1.00 1.06 1.00
- -------------------------------------------------------------
- ----------------------------------
INVESTMENT FOCUS
STYLE BLEND
MARKET CAP SMALL
- ----------------------------------
- --------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------
Auto & Transportation 4% 4% 3%
Consumer Discretionary 18 18 15
Consumer Staples 2 2 7
Financial Services 22 22 23
Health Care 12 12 13
Integrated Oils 0 0 3
Other Energy 5 5 2
Materials & Processing 8 8 4
Producer Durables 8 8 4
Technology 14 14 15
Utilities 6 6 6
Other 1 1 5
- --------------------------------------------------------------------
*MSCI US Small Cap 1750 Index.
**Wilshire 5000 Index.
+Includes activity related to a change in the fund's target index.
++Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index
thereafter.
7
FUND PROFILES (CONTINUED)
SMALL-CAP GROWTH INDEX FUND
- -----------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- -----------------------------------------------------------------------
Number of Stocks 979 975 5,216
Median Market Cap $1.2B $1.2B $29.3B
Price/Earnings Ratio 57.8x 57.5x 25.6x
Price/Book Ratio 3.5x 3.5x 3.1x
Yield 0.2% 1.5%
Investor Shares 0.0%
Institutional Shares 0.2%
Return on Equity 12.2% 12.2% 15.9%
Earnings Growth Rate 12.1% 12.1% 5.3%
Foreign Holdings 0.4% 0.4% 0.8%
Turnover Rate 108%+ -- --
Expense Ratio -- --
Investor Shares 0.27%
Institutional Shares 0.10%
Short-Term Reserves 1% -- --
- -----------------------------------------------------------------------
- -----------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
Novell, Inc. 0.6%
(computer software)
PMC Sierra Inc. 0.5
(electronics)
International Rectifier Corp. 0.5
(electronics)
Rite Aid Corp. 0.5
(drug stores and pharmacies)
Sirius Satellite Radio, Inc. 0.5
(radio broadcasting and programming)
Foundry Networks, Inc. 0.5
(computer hardware)
GTECH Holdings Corp. 0.5
(gaming equipment and services)
Cognizant Technology Solutions Corp. 0.4
(computer services)
Rambus Inc. 0.4
(electronics)
DaVita, Inc. 0.4
(health care services)
- -----------------------------------------------------
Top Ten 4.8%
- -----------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- -------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX++ FUND INDEX**
- -------------------------------------------------------------
R-Squared 1.00 1.00 0.78 1.00
Beta 1.01 1.00 0.97 1.00
- -------------------------------------------------------------
- ----------------------------------
INVESTMENT FOCUS
STYLE GROWTH
MARKET CAP SMALL
- ----------------------------------
- --------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------
Auto & Transportation 4% 4% 3%
Consumer Discretionary 23 23 15
Consumer Staples 2 2 7
Financial Services 8 8 23
Health Care 20 20 13
Integrated Oils 0 0 3
Other Energy 5 5 2
Materials & Processing 3 3 4
Producer Durables 9 9 4
Technology 23 24 15
Utilities 2 2 6
Other 0 0 5
- --------------------------------------------------------------------------------
Short-Term Reserves 1% -- --
- --------------------------------------------------------------------------------
*MSCI US Small Cap Growth Index.
**Wilshire 5000 Index.
+Includes activity related to a change in the fund's target index.
++S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap
Growth Index thereafter. (degree) (degree) small-cap value index fund
8
- -----------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- -----------------------------------------------------------------------
Number of Stocks 991 988 5,216
Median Market Cap $1.2B $1.2B $29.3B
Price/Earnings Ratio 20.9x 20.9x 25.6x
Price/Book Ratio 1.8x 1.8x 3.1x
Yield 2.1% 1.5%
Investor Shares 2.0%
Institutional Shares 2.1%
Return on Equity 10.9% 10.9% 15.9%
Earnings Growth Rate 2.9% 2.8% 5.3%
Foreign Holdings 0.2% 0.2% 0.8%
Turnover Rate 109%+ -- --
Expense Ratio -- --
Investor Shares 0.27%
Institutional Shares 0.10%
Short-Term Reserves 0% -- --
- -----------------------------------------------------------------------
- -----------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
NTL Inc. 0.8%
(telecommunications)
United States Steel Corp. 0.5
(metals and mining)
Friedman, Billings, Ramsey Group, Inc. 0.4
(financial services)
Precision Castparts Corp. 0.4
(metal fabrication)
PacifiCare Health Systems, Inc. 0.4
(health care services)
Alliant Energy Corp. 0.4
(electric utilities)
Boise Cascade Corp. 0.4
(paper product manufacturing)
AmeriCredit Corp. 0.4
(financial services)
Developers Diversified Realty Corp. REIT 0.4
(real estate)
Mack-Cali Realty Corp. REIT 0.4
(real estate)
- -----------------------------------------------------
Top Ten 4.5%
- -----------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- -------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX++ FUND INDEX**
- -------------------------------------------------------------
R-Squared 1.00 1.00 0.68 1.00
Beta 1.01 1.00 0.93 1.00
- -------------------------------------------------------------
- ----------------------------------
INVESTMENT FOCUS
STYLE VALUE
MARKET CAP SMALL
- ----------------------------------
- --------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------
Auto & Transportation 5% 5% 3%
Consumer Discretionary 13 13 15
Consumer Staples 2 2 7
Financial Services 37 37 23
Health Care 4 4 13
Integrated Oils 0 0 3
Other Energy 4 4 2
Materials & Processing 13 13 4
Producer Durables 8 8 4
Technology 4 4 15
Utilities 9 9 6
Other 1 1 5
- --------------------------------------------------------------------
*MSCI US Small Cap Value Index.
**Wilshire 5000 Index.
+Includes activity related to a change in the fund's target index.
++S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap
Value Index thereafter.
VISIT OUR WEBSITE AT VANGUARD.COM
FOR REGULARLY UPDATED FUND INFORMATION.
9
GLOSSARY OF INVESTMENT TERMS
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of a given market index. The index is assigned a
beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically
would have seen its share price rise or fall by 12% when the index rose or fell
by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see
definition below). The lower the R-squared, the less correlation there is
between the fund and the index, and the less reliable beta is as an indicator of
volatility.
- --------------------------------------------------------------------------------
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the
past five years for the stocks now in a fund.
- --------------------------------------------------------------------------------
EXPENSE RATIO. The percentage of a fund's average net assets used to pay its
annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
- --------------------------------------------------------------------------------
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks
or depositary receipts of companies based outside the United States.
- --------------------------------------------------------------------------------
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 a given index. If a
fund's total returns were precisely synchronized with an index's returns, its
R-squared would be 1.00. If the fund's returns bore no relationship to the
index's returns, its R-squared would be 0.
- --------------------------------------------------------------------------------
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a fund, the weighted average return on
equity for the companies whose stocks it holds.
- --------------------------------------------------------------------------------
SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid,
short-term securities that can be readily converted to cash.
- --------------------------------------------------------------------------------
TURNOVER RATE. An indication of the fund's trading activity. Funds with high
turnover rates incur higher transaction costs and may be more likely to
distribute capital gains (which may be taxable to investors).
- --------------------------------------------------------------------------------
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of income
provided by securities in the index.
- --------------------------------------------------------------------------------
10
PERFORMANCE SUMMARIES
All of the returns in this report represent past performance, which cannot be
used to predict future returns that may be achieved by the funds. Note, too,
that both share price and return can fluctuate widely. An investor's shares,
when redeemed, could be worth more or less than their original cost. The returns
shown do not reflect taxes that a shareholder would pay on fund distributions or
on the redemption of fund shares.
SMALL-CAP INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
--------------------------------- FINAL VALUE OF
ONE FIVE TEN A $10,000
YEAR YEARS YEARS INVESTMENT
- --------------------------------------------------------------------------------
Small-Cap Index Fund
Investor Shares* 45.63% 7.55% 10.20% $26,419
Wilshire 5000 Index 31.64 0.42 10.59 27,351
Spliced Small Cap Index** 45.49 6.87 9.34 24,420
Average Small-Cap Core Fund+ 44.24 11.37 12.53 32,574
- --------------------------------------------------------------------------------
FINAL VALUE OF
ONE SINCE A $250,000
YEAR INCEPTION++ INVESTMENT
- --------------------------------------------------------------------------------
Small-Cap Index Fund
Admiral Shares 45.76% 6.69% $306,232
Wilshire 5000 Index 31.64 -3.19 225,863
Spliced Small Cap Index** 45.49 6.16 301,449
- --------------------------------------------------------------------------------
FINAL VALUE OF
ONE FIVE SINCE A $10,000,000
YEAR YEARS INCEPTION++ INVESTMENT
- --------------------------------------------------------------------------------
Small-Cap Index Fund
Institutional Shares 45.88% 7.72% 7.26% $15,756,787
Wilshire 5000 Index 31.64 0.42 4.99 13,711,047
Spliced Small Cap Index** 45.49 6.87 6.61 15,142,622
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003
SMALL-CAP SPLICED
INDEX FUND SMALL-CAP
INVESTOR SHARES INDEX**
1994 -0.5 -1.8
1995 28.7 28.4
1996 18.1 16.5
1997 24.6 22.4
1998 -2.6 -2.5
1999 23.1 21.3
2000 -2.7 -3.0
2001 3.1 2.5
2002 -20.0 -20.5
2003 45.6 45.5
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index
thereafter.
+Derived from data provided by Lipper Inc.
++Inception dates are November 13, 2000, for the Admiral Shares and July 7,
1997, for the Institutional Shares.
NOTE: See Financial Highlights tables on pages 61 through 63 for dividend and
capital gains information.
11
PERFORMANCE SUMMARIES (CONTINUED)
SMALL-CAP GROWTH INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
--------------------------------- FINAL VALUE OF
ONE FIVE SINCE A $10,000
YEAR YEARS INCEPTION* INVESTMENT
- --------------------------------------------------------------------------------
Small-Cap Growth Index Fund
Investor Shares** 42.88% 7.86% 6.04% $13,899
Wilshire 5000 Index 31.64 0.42 1.80 11,054
Spliced Small Cap Growth
Index+ 41.90 7.37 5.58 13,564
Average Small-Cap Growth
Fund++ 44.36 6.95 5.41 13,439
- --------------------------------------------------------------------------------
FINAL VALUE OF
ONE SINCE A $250,000
YEAR INCEPTION++ INVESTMENT
- --------------------------------------------------------------------------------
Small-Cap Growth Index Fund
Institutional Shares 43.08% 6.71% $12,636,337
Wilshire 5000 Index 31.64 -3.26 8,874,157
Spliced Small Cap Growth
IndexY 41.90 6.06 12,363,228
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003
SMALL-CAP SPLICED
GROWTH INDEX FUND SMALL-CAP
INVESTOR SHARES GROWTH INDEX**
1998 -4.8 -5.0
1999 19.8 19.6
2000 1.6 0.6
2001 -0.8 -1.2
2002 -15.4 -15.4
2003 42.9 41.9
- --------------------------------------------------------------------------------
*Inception dates are May 21, 1998, for the Investor Shares and May 24, 2000, for
the Institutional Shares.
**Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
+S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap
Growth Index thereafter.
++Derived from data provided by Lipper Inc.
NOTE: See Financial Highlights tables on pages 64 and 65 for dividend and
capital gains information.
12
SMALL-CAP VALUE INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
--------------------------------- FINAL VALUE OF
ONE FIVE SINCE A $10,000
YEAR YEARS INCEPTION* INVESTMENT
- --------------------------------------------------------------------------------
Small-Cap Value Index Fund
Investor Shares** 37.19% 11.01% 7.18% $14,756
Wilshire 5000 Index 31.64 0.42 1.80 11,054
Spliced Small Cap Value Index+ 35.54 10.30 6.39 14,161
Average Small-Cap Value FundY+ 42.88 13.31 8.56 15,859
- --------------------------------------------------------------------------------
FINAL VALUE OF
ONE SINCE A $250,000
YEAR INCEPTION++ INVESTMENT
- --------------------------------------------------------------------------------
Small-Cap Value Index Fund
Institutional Shares 37.22% 13.72% $16,869,091
Wilshire 5000 Index 31.64 -3.42 8,680,189
Spliced Small Cap Value Index+ 35.54 12.73 16,274,915
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003
SMALL-CAP SPLICED
VALUE INDEX FUND SMALL-CAP
INVESTOR SHARES VALUE INDEX**
1998 -12.5 -13.3
1999 3.3 3.0
2000 21.9 20.9
2001 13.7 13.1
2002 -14.2 -14.5
2003 37.2 35.5
- --------------------------------------------------------------------------------
*Inception dates are May 21, 1998, for the Investor Shares and December 7, 1999,
for the Institutional Shares.
**Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
+S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap
Value Index thereafter.
++Derived from data provided by Lipper Inc.
NOTE: See Financial Highlights tables on pages 66 and 67 for dividend and
capital gains information.
13
YOUR FUND'S AFTER-TAX RETURNS
This table presents returns for your fund both before and after taxes. The
after-tax returns are shown in two ways: (1) assuming that an investor owned the
fund during the entire period and paid taxes on the fund's distributions, and
(2) assuming that an investor paid taxes on the fund's distributions and sold
all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital
gains tax rates in effect at the times of the distributions and the hypothetical
sales. State and local taxes were not considered. After-tax returns reflect the
reduced tax rates on ordinary income (including qualified dividend income) and
short-term capital gains that became effective as of January 1, 2003, and on
long-term capital gains realized on or after May 6, 2003. Qualified dividend
income is for calendar year 2003. (In the example, returns after the sale of
fund shares may be higher than those assuming no sale. This occurs when the sale
would have produced a capital loss. The calculation assumes that the investor
received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share
classes will differ. Please note that your actual after-tax returns will depend
on your tax situation and may differ from those shown. Also note that if you own
the fund in a tax-deferred account, such as an individual retirement account or
a 401(k) plan, this information does not apply to you. Such accounts are not
subject to current taxes.
Finally, keep in mind that a fund's performance--whether before or after
taxes--does not indicate how it will perform in the future.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003
ONE YEAR FIVE YEARS TEN YEARS*
--------------------------------------
SMALL-CAP INDEX FUND INVESTOR SHARES**
Returns Before Taxes 45.63% 7.55% 10.20%
Returns After Taxes on Distributions 45.35 6.02 8.47
Returns After Taxes on Distributions
and Sale of Fund Shares 29.84 5.78 8.07
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES**
Returns Before Taxes 42.88% 7.86% 6.04%
Returns After Taxes on Distributions 42.85 7.47 5.68
Returns After Taxes on Distributions
and Sale of Fund Shares 27.92 6.60 5.02
- --------------------------------------------------------------------------------
SMALL-CAP VALUE INDEX FUND INVESTOR SHARES**
Returns Before Taxes 37.19% 11.01% 7.18%
Returns After Taxes on Distributions 36.67 9.08 5.46
Returns After Taxes on Distributions
and Sale of Fund Shares 24.47 8.30 5.08
- --------------------------------------------------------------------------------
*For Vanguard Small-Cap Growth and Small-Cap Value Index Funds, returns are
annualized since inception on May 21, 1998.
**Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
14
ABOUT YOUR FUND'S EXPENSES
All mutual funds have operating expenses. These expenses include costs for
portfolio management, administrative services, and shareholder reports (like
this one), among others. Operating expenses, which are deducted from a fund's
gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its net assets. This figure is known
as the expense ratio.
A HYPOTHETICAL EXAMPLE
We believe it is important for you to understand the impact of costs on your
investment. The following example illustrates the costs that you would incur
over a 12-month period if you invested $10,000 in your fund, using the funds'
actual returns and operating expenses for the fiscal year ended December 31,
2003. The cost in dollars is calculated by applying the expense ratio to the
average balance in the hypothetical account. For comparative purposes, we also
list the average expense ratio for the funds' peer groups, which are derived
from data provided by Lipper Inc.
- --------------------------------------------------------------------------------
COST OF $10,000 FUND PEER GROUP*
INVESTMENT IN FUND EXPENSE RATIO EXPENSE RATIO
- --------------------------------------------------------------------------------
Small-Cap Index Fund
Investor Shares $33 0.27% 1.58%
Admiral Shares 22 0.18 --
Institutional Shares 12 0.10 --
Small-Cap Growth Index Fund
Investor Shares $33 0.27% 1.74%
Institutional Shares 12 0.10 --
Small-Cap Value Index Fund
Investor Shares $32 0.27% 1.56%
Institutional Shares 12 0.10 --
- --------------------------------------------------------------------------------
*For the Small-Cap Index Fund, the Average Small-Cap Core Fund; for the
Small-Cap Growth Index Fund, the Average Small-Cap Growth Fund; for the
Small-Cap Value Index Fund, the Average Small-Cap Value Fund.
The calculation assumes no shares were sold. Your actual costs may have been
higher or lower, depending on the amount of your investment and your holding
period. Peer-group ratios capture data through year-end 2002.
You can find more information about the funds' expenses, including annual
expense ratios for the past five years, in the Financial Statements section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the funds' prospectus. The prospectus
presents hypothetical shareholder costs over various time periods based upon a
$10,000 investment and a return of 5% a year. This standardized example, which
appears in all mutual fund prospectuses, may be useful to you in comparing the
costs of investing in different funds.
15
FINANCIAL STATEMENTS
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. Because all income and any realized gains
must be distributed to shareholders each year, the bulk of net assets consists
of Paid-in Capital (money invested by shareholders). The amounts shown for
Undistributed Net Investment Income and Accumulated Net Realized Gains usually
approximate the sums the fund had available to distribute to shareholders as
income dividends or capital gains as of the statement date, but may differ
because certain investments or transactions may be treated differently for
financial statement and tax purposes. Any Accumulated Net Realized Losses, and
any cumulative excess of distributions over net income or net realized gains,
will appear as negative balances. Unrealized Appreciation (Depreciation) is the
difference between the market value of the fund's investments and their cost,
and reflects the gains (losses) that would be realized if the fund were to sell
all of its investments at their statement-date values.
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.7%)(1)
- --------------------------------------------------------------------------------
* NTL Inc. 416,735 $ 29,067
* Novell, Inc. 2,010,759 21,153
United States Steel Corp. 556,174 19,477
* PMC Sierra Inc. 917,871 18,495
* Invitrogen Corp. 256,936 17,986
* International Rectifier Corp. 345,645 17,078
* Rite Aid Corp. 2,775,713 16,765
* Sirius Satellite Radio, Inc. 5,193,128 16,410
* Navistar International Corp. 332,538 15,925
* Foundry Networks, Inc. 580,373 15,879
GTECH Holdings Corp. 319,610 15,817
* Cognizant Technology
Solutions Corp. 338,903 15,468
Friedman, Billings,
Ramsey Group, Inc. 664,604 15,339
Precision Castparts Corp. 335,610 15,240
* PacifiCare Health
Systems, Inc. 224,820 15,198
Chesapeake Energy Corp. 1,105,513 15,012
Alliant Energy Corp. 594,635 14,806
Autodesk, Inc. 601,167 14,777
* Rambus Inc. 474,479 14,567
Boise Cascade Corp. 442,383 14,537
* DaVita, Inc. 358,237 13,971
* Avnet, Inc. 644,395 13,958
* Mid Atlantic Medical
Services, Inc. 214,187 13,879
* Red Hat, Inc. 738,895 13,869
* Atmel Corp. 2,272,733 13,659
* Cypress Semiconductor Corp. 637,226 13,611
* AmeriCredit Corp. 841,704 13,408
* XM Satellite Radio
Holdings, Inc. 507,456 13,377
Developers Diversified
Realty Corp. REIT 395,405 13,274
Mack-Cali Realty Corp. REIT 312,583 13,010
Catellus Development Corp. 532,962 12,855
The Chicago Mercantile Exchange 176,461 12,769
Chelsea Property Group REIT 232,424 12,739
The Macerich Co. REIT 283,001 12,594
* Western Digital Corp. 1,067,237 12,583
* Arrow Electronics, Inc. 543,222 12,570
Donaldson Co., Inc. 210,194 12,435
United Dominion
Realty Trust REIT 646,500 12,413
Martin Marietta Materials, Inc. 263,206 12,363
BorgWarner, Inc. 145,040 12,339
* Crown Castle
International Corp. 1,118,483 12,337
* American Tower Corp. Class A 1,127,118 12,195
16
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
HON Industries, Inc. 280,282 $ 12,142
* Newfield Exploration Co. 270,310 12,040
* ImClone Systems, Inc. 301,028 11,939
* Pharmaceutical Resources, Inc. 182,084 11,863
Great Plains Energy, Inc. 372,727 11,860
Ryland Group, Inc. 133,518 11,834
Applebee's International, Inc. 300,349 11,795
* Toll Brothers, Inc. 294,858 11,724
Certegy, Inc. 356,770 11,702
Ryder System, Inc. 341,826 11,673
* Fisher Scientific
International Inc. 281,478 11,645
Sky Financial Group, Inc. 446,234 11,575
Pentair, Inc. 252,335 11,532
* Monster Worldwide Inc. 521,435 11,451
* ITT Educational Services, Inc. 241,552 11,346
* Getty Images, Inc. 226,311 11,345
Webster Financial Corp. 245,871 11,276
Valeant Pharmaceuticals
International 447,434 11,253
OGE Energy Corp. 459,176 11,107
* Reliant Resources, Inc. 1,506,543 11,088
* AMR Corp. 855,873 11,084
PerkinElmer, Inc. 648,527 11,070
Colonial BancGroup, Inc. 636,154 11,018
Philadelphia Suburban Corp. 497,065 10,985
* Sepracor Inc. 456,403 10,922
* Renal Care Group, Inc. 264,810 10,910
Rayonier Inc. 260,178 10,800
Cullen/Frost Bankers, Inc. 263,162 10,676
Washington Federal Inc. 375,488 10,664
First American Corp. 355,443 10,582
* Sybase, Inc. 510,715 10,511
Mills Corp. REIT 238,616 10,499
Waddell & Reed Financial, Inc. 446,038 10,464
* Polycom, Inc. 532,693 10,398
HCC Insurance Holdings, Inc. 326,146 10,371
Arden Realty Group, Inc. REIT 341,726 10,368
* Neurocrine Biosciences, Inc. 189,735 10,347
American Capital Strategies, Ltd. 347,661 10,336
Polaris Industries, Inc. 116,659 10,334
Medicis Pharmaceutical Corp. 143,797 10,253
* Amkor Technology, Inc. 562,127 10,236
National Fuel Gas Co. 416,131 10,170
* Education Management Corp. 326,816 10,144
Snap-On Inc. 314,483 10,139
Federal Realty
Investment Trust REIT 263,928 10,132
Cabot Corp. 315,960 10,060
Carlisle Co., Inc. 165,256 10,057
* Edwards Lifesciences Corp. 333,678 10,037
CBRL Group, Inc. 261,976 10,023
* O'Reilly Automotive, Inc. 261,246 10,021
* Barnes & Noble, Inc. 304,625 10,007
Ruby Tuesday, Inc. 349,723 9,964
* Calpine Corp. 2,064,051 9,928
Vectren Corp. 401,896 9,907
American Financial
Realty Trust REIT 580,828 9,903
StanCorp Financial Group, Inc. 156,918 9,867
* Applied Micro Circuits Corp. 1,641,720 9,817
* Varco International, Inc. 472,384 9,745
Peabody Energy Corp. 233,063 9,721
Thornburg Mortgage, Inc. REIT 356,070 9,685
* Ultra Petroleum Corp. 392,103 9,654
* Integrated Device
Technology Inc. 561,095 9,634
Harsco Corp. 219,245 9,607
* Mettler-Toledo International Inc. 227,345 9,596
* Louisiana-Pacific Corp. 535,561 9,576
Hawaiian Electric Industries Inc. 201,723 9,556
Roper Industries Inc. 193,948 9,554
Herman Miller, Inc. 392,584 9,527
* The Corp. Executive Board Co. 203,600 9,502
* Stericycle, Inc. 203,405 9,499
AGL Resources Inc. 326,342 9,497
* UnitedGlobalCom Inc. Class A 1,119,666 9,495
* Amylin Pharmaceuticals, Inc. 426,776 9,483
* AnnTaylor Stores Corp. 242,794 9,469
Ventas, Inc. REIT 427,612 9,407
* Gen-Probe Inc. 257,874 9,405
* Sonus Networks, Inc. 1,243,891 9,404
Graco, Inc. 234,281 9,395
Camden Property Trust REIT 211,804 9,383
IKON Office Solutions, Inc. 788,495 9,352
Annaly Mortgage
Management Inc. REIT 506,964 9,328
Health Care Inc. REIT 258,893 9,320
* Advanced Fibre
Communications, Inc. 461,724 9,304
Pan Pacific Retail
Properties, Inc. REIT 194,680 9,277
CenterPoint
Properties Corp. REIT 123,205 9,228
Oshkosh Truck Corp. 179,456 9,158
* Borders Group, Inc. 417,074 9,142
* Martek Biosciences Corp. 140,459 9,126
* Avocent Corp. 249,581 9,115
CNF Inc. 267,511 9,069
BancorpSouth, Inc. 380,264 9,020
Lubrizol Corp. 277,057 9,010
Independence Community
Bank Corp. 250,221 9,000
* Semtech Corp. 395,579 8,992
17
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
UCBH Holdings, Inc. 229,894 $ 8,959
* Big Lots Inc. 630,048 8,953
* The Neiman Marcus Group, Inc.
Class A 166,813 8,953
IndyMac Bancorp, Inc. REIT 299,238 8,914
Hudson United Bancorp 241,055 8,906
* Covance, Inc. 331,819 8,893
BRE Properties Inc.
Class A REIT 265,144 8,856
* Andrx Group 368,264 8,853
* Pacific Sunwear
of California, Inc. 418,338 8,835
* Integrated Circuit Systems, Inc. 309,954 8,831
F.N.B. Corp. 249,058 8,829
Regis Corp. 223,304 8,825
* Allmerica Financial Corp. 285,439 8,783
* Cymer, Inc. 189,588 8,757
Westamerica Bancorporation 176,168 8,756
Cummins Inc. 178,601 8,741
CBL & Associates
Properties, Inc. REIT 154,571 8,733
* Service Corp. International 1,619,415 8,729
The South Financial Group, Inc. 313,001 8,720
* Allegheny Energy, Inc. 682,416 8,708
Crescent Real Estate, Inc. REIT 507,995 8,702
* Earthlink, Inc. 864,557 8,646
* Activision, Inc. 474,868 8,643
* BJ's Wholesale Club, Inc. 375,812 8,629
Ametek, Inc. 178,308 8,605
ONEOK, Inc. 389,693 8,604
* Protein Design Labs, Inc. 479,180 8,577
* Andrew Corp. 744,934 8,574
* IDEXX Laboratories Corp. 185,110 8,567
WPS Resources Corp. 185,165 8,560
* The Titan Corp. 389,261 8,490
Patina Oil & Gas Corp. 173,048 8,478
Whitney Holdings Corp. 206,381 8,460
Claire's Stores, Inc. 448,258 8,445
* STERIS Corp. 373,445 8,440
* Performance Food Group Co. 233,328 8,438
Massey Energy Co. 405,604 8,437
* American Axle &
Manufacturing Holdings, Inc. 208,655 8,434
* Apria Healthcare Group Inc. 294,903 8,396
Arch Coal, Inc. 268,674 8,375
Furniture Brands
International Inc. 285,506 8,373
CarrAmerica Realty Corp. REIT 280,929 8,366
* BearingPoint, Inc. 826,689 8,341
* Yellow Roadway Corp. 230,180 8,326
Peoples Energy Corp. 197,523 8,304
* Human Genome Sciences, Inc. 626,281 8,298
Lee Enterprises, Inc. 189,996 8,293
* Valassis Communications, Inc. 280,043 8,219
Shurgard Storage Centers, Inc.
Class A REIT 217,928 8,205
* Respironics, Inc. 181,705 8,193
Church & Dwight, Inc. 206,102 8,162
* Cytyc Corp. 591,040 8,133
* Accredo Health, Inc. 257,110 8,127
* Ascential Software Corp. 313,237 8,122
* Acxiom Corp. 436,844 8,112
* Varian Semiconductor
Equipment Associates, Inc. 185,502 8,105
* Grant Prideco, Inc. 621,788 8,096
Healthcare
Realty Trust Inc. REIT 226,281 8,090
Realty Income Corp. REIT 202,121 8,085
IPC Holdings Ltd. 207,600 8,084
NICOR Inc. 237,081 8,070
* Crown Holdings, Inc. 889,149 8,056
* DeVry, Inc. 320,545 8,055
* J.B. Hunt Transport
Services, Inc. 298,094 8,052
* Knight Trading Group, Inc. 549,845 8,050
ArvinMeritor, Inc. 332,317 8,015
* Charles River Laboratories, Inc. 233,401 8,013
Briggs & Stratton Corp. 118,556 7,991
Cooper Cos., Inc. 169,399 7,984
Ethan Allen Interiors, Inc. 189,940 7,955
* Western Wireless Corp.
Class A 432,630 7,943
* Affiliated Managers Group, Inc. 113,986 7,931
* The MONY Group Inc. 252,762 7,909
Westar Energy, Inc. 389,181 7,881
* Techne Corp. 208,599 7,881
York International Corp. 214,004 7,875
Jefferies Group, Inc. 238,364 7,871
* The Yankee Candle Co., Inc. 287,944 7,870
Crane Co. 255,773 7,862
Piedmont Natural Gas, Inc. 180,830 7,859
Trustmark Corp. 268,449 7,858
* Zale Corp. 147,325 7,838
* Affymetrix, Inc. 317,813 7,821
Old National Bancorp 341,902 7,812
* Kinder Morgan
Management, LLC 181,729 7,807
Jack Henry & Associates Inc. 378,906 7,798
Reader's Digest Association, Inc. 531,569 7,793
UGI Corp. Holding Co. 229,715 7,787
* AGCO Corp. 385,225 7,758
HRPT Properties Trust REIT 766,568 7,735
First Midwest Bancorp, Inc. 238,014 7,714
* Cytec Industries, Inc. 199,755 7,669
18
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Standard Pacific Corp. 157,905 $ 7,666
* Varian, Inc. 183,247 7,647
Airgas, Inc. 355,947 7,646
Cooper Tire & Rubber Co. 357,523 7,644
* Brocade Communications
Systems, Inc. 1,319,425 7,626
* OmniVision Technologies, Inc. 137,923 7,620
* INAMED Corp. 158,330 7,609
* Marvel Enterprises Inc. 260,763 7,591
Reckson Associates
Realty Corp. REIT 312,334 7,590
Kennametal, Inc. 190,608 7,577
* Hot Topic, Inc. 256,430 7,553
Helmerich & Payne, Inc. 269,698 7,533
MDC Holdings, Inc. 116,777 7,532
* CACI International, Inc. 154,829 7,528
Trizec Properties, Inc. REIT 486,701 7,495
Delta Air Lines, Inc. 631,851 7,462
* FMC Technologies Inc. 319,876 7,453
Duquesne Light Holdings, Inc. 404,706 7,422
Forest City Enterprise Class A 155,888 7,406
Raymond James Financial, Inc. 196,438 7,406
* Hovnanian Enterprises Inc.
Class A 84,901 7,391
* Netscreen Technologies, Inc. 298,595 7,390
* Forest Oil Corp. 258,433 7,383
AmerUs Group Co. 210,640 7,366
Visteon Corp. 704,906 7,338
* Avid Technology, Inc. 152,683 7,329
* Electronics for Imaging, Inc. 281,511 7,325
* United Stationers, Inc. 178,652 7,310
* Pharmaceutical Product
Development, Inc. 270,965 7,308
* Nextel Partners, Inc. 541,552 7,284
WGL Holdings Inc. 261,588 7,270
Highwood Properties, Inc. REIT 286,134 7,268
Engineered Support
Systems, Inc. 131,706 7,252
First BanCorp Puerto Rico 183,186 7,245
* NII Holdings Inc. 97,055 7,243
* American Greetings Corp.
Class A 330,812 7,235
W Holding Co., Inc. 388,417 7,228
AptarGroup Inc. 185,229 7,224
The Timken Co. 359,990 7,221
* Tetra Tech, Inc. 290,449 7,221
Thomas & Betts Corp. 315,232 7,216
* Key Energy Services, Inc. 699,010 7,207
Greater Bay Bancorp 252,574 7,193
* ResMed Inc. 173,116 7,191
* Emmis Communications, Inc. 265,489 7,181
Media General, Inc. Class A 110,309 7,181
First Industrial Realty Trust REIT 212,123 7,159
* United Defense Industries Inc. 224,557 7,159
* Linens 'n Things, Inc. 237,790 7,153
* Tom Brown, Inc. 220,996 7,127
Global Payments Inc. 150,878 7,109
ADTRAN Inc. 228,742 7,091
* Terex Corp. 247,064 7,036
* Scotts Co. 118,887 7,033
Essex Property Trust, Inc. REIT 109,471 7,030
* Cree, Inc. 395,000 6,988
* Benchmark Electronics, Inc. 200,467 6,978
Lancaster Colony Corp. 154,509 6,978
Beazer Homes USA, Inc. 71,417 6,975
East West Bancorp, Inc. 129,825 6,969
* Skyworks Solutions, Inc. 798,390 6,946
* Dade Behring Holdings Inc. 194,303 6,944
* Plantronics, Inc. 212,497 6,938
Prentiss Properties Trust REIT 210,195 6,934
* Hercules, Inc. 568,057 6,930
* Conexant Systems, Inc. 1,393,104 6,924
Reinsurance Group
of America, Inc. 179,050 6,920
* Dycom Industries, Inc. 257,761 6,913
Joy Global Inc. 264,220 6,909
SL Green Realty Corp. REIT 168,006 6,897
* Tommy Hilfiger Corp. 463,893 6,870
International Bancshares Corp. 145,609 6,865
* DoubleClick Inc. 666,646 6,813
* Pediatrix Medical Group, Inc. 123,620 6,810
* OSI Pharmaceuticals, Inc. 211,102 6,800
* Arbitron Inc. 162,455 6,778
Alexander & Baldwin, Inc. 200,776 6,764
Imation Corp. 191,454 6,730
* NBTY, Inc. 250,512 6,729
Station Casinos, Inc. 219,492 6,723
* Take-Two Interactive
Software, Inc. 233,271 6,721
* Evergreen Resources, Inc. 206,624 6,717
* Silicon Valley Bancshares 185,967 6,708
* Vitesse Semiconductor Corp. 1,142,108 6,704
Park National Corp. 59,144 6,692
Worthington Industries, Inc. 371,144 6,692
New Century Financial Corp. 168,645 6,690
* The Goodyear Tire & Rubber Co. 850,786 6,687
* MGI Pharma, Inc. 162,136 6,672
* Cincinnati Bell Inc. 1,316,177 6,647
* CMS Energy Corp. 776,952 6,620
Chittenden Corp. 196,601 6,614
* P.F. Chang's China Bistro, Inc. 129,985 6,614
* R.H. Donnelley Corp. 165,901 6,609
IDEX Corp. 158,826 6,606
* CEC Entertainment Inc. 138,817 6,579
19
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Trimble Navigation Ltd. 175,669 $ 6,542
Pennsylvania REIT 179,944 6,532
Trinity Industries, Inc. 211,540 6,524
* GrafTech International Ltd. 482,753 6,517
* FLIR Systems, Inc. 178,413 6,512
* Cabot Microelectronics Corp. 132,608 6,498
Washington REIT 222,524 6,498
Citizens Banking Corp. 198,155 6,484
Pacific Capital Bancorp 175,794 6,473
* Alkermes, Inc. 479,329 6,471
* Hyperion Solutions Corp. 214,554 6,467
* Kronos, Inc. 163,153 6,462
* Coeur D'Alene Mines Corp. 1,112,456 6,430
* Sonic Corp. 209,888 6,427
* Lexar Media, Inc. 367,636 6,408
Minerals Technologies, Inc. 108,040 6,401
* United Rentals, Inc. 332,014 6,395
* Copart, Inc. 387,379 6,392
Energen Corp. 155,203 6,368
Corn Products International, Inc. 184,518 6,357
* The Medicines Co. 215,748 6,356
Florida Rock Industries, Inc. 115,526 6,337
Commercial Federal Corp. 237,119 6,333
MAF Bancorp, Inc. 151,110 6,332
Home Properties
of New York, Inc. REIT 156,156 6,307
Great Lakes Chemical Corp. 231,549 6,296
Extended Stay America, Inc. 434,660 6,294
GATX Corp. 224,735 6,288
* Silicon Laboratories Inc. 145,437 6,286
* Interdigital
Communications Corp. 304,493 6,285
The Brink's Co. 277,856 6,282
United Bankshares, Inc. 201,117 6,275
Strayer Education, Inc. 57,533 6,261
* SCP Pool Corp. 190,508 6,226
* Flowserve Corp. 297,989 6,222
* Tractor Supply Co. 159,800 6,215
* Scholastic Corp. 182,420 6,210
* Landstar System, Inc. 163,099 6,204
Nationwide Health
Properties, Inc. REIT 316,838 6,194
Callaway Golf Co. 366,757 6,180
IDACORP, Inc. 205,864 6,159
The Pep Boys
(Manny, Moe & Jack) 269,175 6,156
* Swift Transportation Co., Inc. 292,339 6,145
The Toro Co. 132,062 6,128
PNM Resources Inc. 216,802 6,092
* Dynegy, Inc. 1,423,071 6,091
* NPS Pharmaceuticals Inc. 198,063 6,088
Southwest Bancorporation
of Texas, Inc. 156,229 6,069
* Charter Communications, Inc. 1,509,129 6,067
Bob Evans Farms, Inc. 186,813 6,064
* KEMET Corp. 442,459 6,057
Atmos Energy Corp. 248,510 6,039
* Macromedia, Inc. 337,610 6,023
* IGEN International, Inc. 102,137 6,017
Mentor Corp. 249,956 6,014
* Sylvan Learning Systems, Inc. 208,775 6,011
* VISX Inc. 258,859 5,993
Hughes Supply, Inc. 120,625 5,985
Dillard's Inc. 363,545 5,984
Cousins Properties, Inc. REIT 195,446 5,981
* Cimarex Energy Co. 223,843 5,974
Ferro Corp. 219,469 5,972
* Panera Bread Co. 150,900 5,965
Clarcor Inc. 135,026 5,955
Universal Corp. (VA) 134,704 5,950
Alexandria Real Estate
Equities, Inc. REIT 102,692 5,946
* Alliance Data Systems Corp. 214,360 5,933
Blyth, Inc. 183,970 5,928
Cathay Bancorp, Inc. 106,380 5,923
Cognex Corp. 209,423 5,914
* Alliance Gaming Corp. 239,642 5,907
* Akamai Technologies, Inc. 547,593 5,887
Fremont General Corp. 347,538 5,877
* UNOVA, Inc. 256,024 5,876
* Lattice Semiconductor Corp. 606,639 5,872
Kellwood Co. 143,059 5,865
IMC Global Inc. 589,824 5,857
* LifePoint Hospitals, Inc. 198,700 5,852
* FMC Corp. 171,215 5,844
Invacare Corp. 144,553 5,836
* Micrel, Inc. 373,671 5,822
The Phoenix Cos., Inc. 482,976 5,815
* Sybron Dental Specialties, Inc. 205,902 5,786
* Waste Connections, Inc. 153,183 5,786
Acuity Brands, Inc. 223,860 5,776
* Alleghany Corp. 25,948 5,773
* Continental Airlines, Inc.
Class B 354,684 5,771
* Cerner Corp. 152,173 5,760
Brandywine Realty Trust REIT 213,157 5,706
* Premcor, Inc. 219,464 5,706
* Cumulus Media Inc. 258,964 5,697
* La Quinta Corp. REIT 887,742 5,690
Staten Island Bancorp, Inc. 252,728 5,686
Olin Corp. 283,383 5,685
* Parametric Technology Corp. 1,436,334 5,659
New Jersey Resources Corp. 146,603 5,646
20
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Brooks Automation, Inc. 233,082 $ 5,634
* Gateway, Inc. 1,223,680 5,629
* Perot Systems Corp. 417,374 5,626
Community First
Bankshares, Inc. 193,979 5,614
Thor Industries, Inc. 99,760 5,609
* Timberland Co. 107,500 5,598
Platinum Underwriters
Holdings, Ltd. 185,366 5,561
La-Z-Boy Inc. 264,833 5,556
Banta Corp. 137,163 5,555
Fred's, Inc. 179,115 5,549
Downey Financial Corp. 112,465 5,545
* AMERIGROUP Corp. 129,041 5,504
Western Gas Resources, Inc. 116,429 5,501
Taubman Co. REIT 266,184 5,483
* Kroll Inc. 210,101 5,463
* Anteon International Corp. 151,302 5,454
* Axcelis Technologies, Inc. 533,592 5,453
Werner Enterprises, Inc. 279,792 5,453
* Stone Energy Corp. 128,076 5,437
* Applera Corp.-Celera
Genomics Group 390,408 5,431
* Southern Union Co. 294,787 5,424
Hollinger International, Inc. 347,247 5,424
* Ohio Casualty Corp. 311,928 5,415
* Mentor Graphics Corp. 371,256 5,398
* Mueller Industries Inc. 156,988 5,394
Skywest, Inc. 296,338 5,370
Diagnostic Products Corp. 116,375 5,343
Perrigo Co. 339,547 5,338
* Power Integrations, Inc. 159,462 5,336
Flowers Foods, Inc. 206,762 5,334
* Odyssey Healthcare, Inc. 182,125 5,329
Albemarle Corp. 177,791 5,328
* FileNET Corp. 196,670 5,326
* Abgenix, Inc. 427,162 5,322
Impac Mortgage
Holdings, Inc. REIT 290,932 5,298
Novastar Financial, Inc. REIT 123,274 5,296
* Quiksilver, Inc. 298,673 5,295
TrustCo Bank NY 400,756 5,270
Colonial Properties Trust REIT 133,021 5,268
* Telik, Inc. 228,594 5,260
Capital Automotive REIT 163,492 5,232
* Catalina Marketing Corp. 259,417 5,230
* PETCO Animal Supplies, Inc. 170,363 5,188
* Corrections Corp.
of America REIT 179,361 5,171
Gables Residential Trust REIT 148,545 5,160
* Adaptec, Inc. 583,554 5,153
* Vicuron Pharmaceuticals Inc. 275,975 5,147
* MPS Group, Inc. 550,172 5,144
Matthews International Corp. 173,804 5,143
MSC Industrial Direct Co., Inc.
Class A 186,644 5,133
* Arch Capital Group Ltd. 128,749 5,132
* McDATA Corp. Class A 537,805 5,125
ADVO, Inc. 161,349 5,124
Post Properties, Inc. REIT 183,312 5,118
Potlatch Corp. 147,044 5,113
* Bio-Rad Laboratories, Inc.
Class A 88,521 5,105
Cabot Oil & Gas Corp. 173,482 5,092
Susquehanna Bancshares, Inc. 203,535 5,090
* VCA Antech, Inc. 164,297 5,090
* Tesoro Petroleum Corp. 348,515 5,078
* Silicon Storage Technology, Inc. 461,000 5,071
Provident Financial Group, Inc. 157,819 5,042
* Macrovision Corp. 223,187 5,042
USF Corp. 146,979 5,025
Provident Financial
Services Inc. 265,515 5,018
Winnebago Industries, Inc. 72,981 5,017
LNR Property Corp. 101,203 5,011
* Gemstar-TV Guide
International, Inc. 991,264 5,006
Hilb, Rogal and Hamilton Co. 155,973 5,002
* FTI Consulting, Inc. 213,749 4,995
Superior Industries
International, Inc. 114,544 4,985
* Wynn Resorts Ltd. 177,610 4,975
John Wiley & Sons Class A 191,064 4,973
* Beverly Enterprises, Inc. 578,160 4,966
LandAmerica
Financial Group, Inc. 94,922 4,961
* Scientific Games Corp. 291,603 4,960
* Sycamore Networks, Inc. 946,447 4,959
Delta & Pine Land Co. 195,156 4,957
Tupperware Corp. 283,783 4,921
* Payless ShoeSource, Inc. 366,856 4,916
* Hecla Mining Co. 592,313 4,910
Black Hills Corp. 164,495 4,907
* Dionex Corp. 106,608 4,906
* Ralcorp Holdings, Inc. 155,919 4,890
Delphi Financial Group, Inc. 135,495 4,878
Winn-Dixie Stores, Inc. 490,151 4,877
* TriQuint Semiconductor, Inc. 687,869 4,863
NDCHealth Corp. 189,543 4,856
Kilroy Realty Corp. REIT 148,214 4,854
Reliance Steel & Aluminum Co. 145,793 4,842
* Westport Resources Corp. 162,060 4,839
21
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
First Niagara
Financial Group, Inc. 324,538 $ 4,839
* Wilson Greatbatch
Technologies, Inc. 114,250 4,829
* Chiquita Brands
International, Inc. 213,792 4,817
* Endo Pharmaceuticals
Holdings, Inc. 248,930 4,794
* AirTran Holdings, Inc. 401,953 4,783
* Cost Plus, Inc. 116,473 4,775
Commerce Group, Inc. 120,800 4,772
Brookline Bancorp, Inc. 310,880 4,769
* Kansas City Southern 332,991 4,768
* Advanced Neuromodulation
Systems, Inc. 103,518 4,760
Sensient Technologies Corp. 239,986 4,745
* ProAssurance Corp. 147,356 4,737
* Priority Healthcare Corp.
Class B 196,463 4,737
Texas Regional Bancshares, Inc. 127,758 4,727
* Simpson Manufacturing Co. 92,530 4,706
BankAtlantic Bancorp, Inc.
Class A 247,518 4,703
* CommScope, Inc. 287,589 4,696
* American Eagle Outfitters, Inc. 285,688 4,685
Redwood Trust, Inc. REIT 92,065 4,682
* Cal Dive International, Inc. 192,893 4,651
Select Medical Corp. 285,200 4,643
* Urban Outfitters, Inc. 125,200 4,639
Allegheny Technologies Inc. 350,502 4,634
* Aspect Communications Corp. 293,885 4,632
* Philadelphia Consolidated
Holding Corp. 94,444 4,612
* Sierra Pacific Resources 627,488 4,606
* Commonwealth Telephone
Enterprises, Inc. 121,752 4,596
* Spinnaker Exploration Co. 142,369 4,594
* United Online, Inc. 272,983 4,583
* Southwestern Energy Co. 191,725 4,582
* Washington Group
International, Inc. 134,754 4,578
Bank Mutual Corp. 400,390 4,560
* Actuant Corp. 125,888 4,557
Cleco Corp. 253,114 4,551
H.B. Fuller Co. 152,924 4,548
Albany International Corp. 134,046 4,544
Federal Signal Corp. 258,867 4,535
Black Box Corp. 98,216 4,525
Commercial Net Lease
Realty REIT 253,861 4,519
Georgia Gulf Corp. 156,378 4,516
* Internet Security Systems, Inc. 239,726 4,514
* Advanced Digital
Information Corp. 322,093 4,509
FactSet Research Systems Inc. 117,546 4,491
Westcorp, Inc. 122,551 4,479
* Credence Systems Corp. 340,045 4,475
American Financial Group, Inc. 168,850 4,468
* RSA Security Inc. 314,421 4,465
Avista Corp. 245,560 4,450
UniSource Energy Corp. 180,134 4,442
* Gaylord Entertainment Co.
Class A 147,873 4,414
* Unit Corp. 186,433 4,390
* Esperion Therapeutics, Inc. 126,818 4,389
Nordson Corp. 127,009 4,386
* Rare Hospitality
International Inc. 179,334 4,383
Wolverine World Wide, Inc. 214,640 4,374
Lexington Corporate
Properties Trust REIT 216,537 4,372
* PSS World Medical, Inc. 361,398 4,362
St. Mary Land & Exploration Co. 152,868 4,357
* CNET Networks, Inc. 638,386 4,354
* eFunds Corp. 250,702 4,350
Senior Housing
Properties Trust REIT 252,363 4,348
Republic Bancorp, Inc. 321,382 4,335
Wintrust Financial Corp. 95,827 4,322
Alpharma, Inc. Class A 214,968 4,321
* Maverick Tube Corp. 224,413 4,320
Millennium Chemicals, Inc. 340,676 4,320
People's Bank 132,501 4,320
* Transaction Systems
Architects, Inc. 190,789 4,318
* Tuesday Morning Corp. 142,340 4,306
* Asyst Technologies, Inc. 247,462 4,293
* Hutchinson Technology, Inc. 139,648 4,293
R.L.I. Corp. 114,368 4,284
Crompton Corp. 596,205 4,275
Casey's General Stores, Inc. 241,927 4,272
* Hollywood Entertainment Corp. 310,553 4,270
* Extreme Networks, Inc. 591,891 4,268
Northwest Natural Gas Co. 138,747 4,266
MacDermid, Inc. 124,375 4,259
* Vertex Pharmaceuticals, Inc. 415,661 4,252
* US Oncology, Inc. 394,759 4,248
* Tularik, Inc. 262,612 4,241
* Technitrol, Inc. 204,416 4,240
IHOP Corp. 110,031 4,234
Liberty Corp. 93,562 4,228
* Men's Wearhouse, Inc. 169,005 4,227
Florida East Coast
Industries, Inc. Class A 127,604 4,224
* Shaw Group, Inc. 309,901 4,221
* Borland Software Corp. 433,793 4,221
22
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Intergraph Corp. 176,207 $ 4,215
Selective Insurance Group 130,246 4,215
Brady Corp. Class A 103,396 4,213
Texas Industries, Inc. 113,694 4,207
* Navigant Consulting, Inc. 222,942 4,205
* Steel Dynamics, Inc. 178,875 4,202
Lennox International Inc. 251,056 4,193
* Insight Enterprises, Inc. 222,637 4,186
Granite Construction Co. 177,860 4,178
* Aztar Corp. 185,663 4,177
* Province Healthcare Co. 261,026 4,176
* IDT Corp. Class B 179,432 4,150
* Jack in the Box Inc. 194,121 4,146
* ILEX Oncology, Inc. 194,925 4,142
* Digital Insight Corp. 166,257 4,140
Lincoln Electric Holdings, Inc. 167,242 4,138
* Ariba, Inc. 1,375,036 4,125
* Tekelec 264,415 4,112
* Journal Register Co. 198,301 4,105
* F5 Networks, Inc. 163,060 4,093
* Investment Technology Group, Inc. 253,224 4,090
* Aeropostale, Inc. 148,756 4,079
* Wabash National Corp. 139,183 4,078
* Nektar Therapeutics 299,187 4,072
* Watson Wyatt & Co. Holdings 168,563 4,071
* AmSurg Corp. 107,342 4,067
Southwest Gas Corp. 181,039 4,064
* American Italian Pasta Co. 96,663 4,050
* SEACOR SMIT Inc. 96,262 4,046
* CUNO Inc. 89,789 4,043
* BankUnited Financial Corp. 156,598 4,039
* Anixter International Inc. 156,005 4,037
* The Sports Authority, Inc. 105,088 4,035
* McDermott International, Inc. 337,129 4,029
* MICROS Systems, Inc. 92,787 4,023
* LTX Corp. 267,578 4,022
R & G Financial Corp. Class B 100,958 4,018
Glimcher Realty Trust REIT 179,000 4,006
* MKS Instruments, Inc. 138,082 4,004
* OM Group, Inc. 152,762 4,001
The Manitowoc Co., Inc. 128,207 4,000
Tootsie Roll Industries, Inc. 111,000 3,996
* Informatica Corp. 387,371 3,990
* Sunrise Senior Living, Inc. 102,927 3,987
* Keane, Inc. 272,095 3,983
* Kindred Healthcare, Inc. 76,600 3,982
Quanex Corp. 86,318 3,979
Modine Manufacturing Co. 147,292 3,974
* MAXIMUS, Inc. 101,451 3,970
First Commonwealth Financial Corp. 277,832 3,962
* Onyx Pharmaceuticals, Inc. 140,342 3,962
CH Energy Group, Inc. 84,318 3,955
* United Surgical Partners
International, Inc. 117,720 3,941
* Plexus Corp. 229,307 3,937
Christopher & Banks Corp. 200,929 3,924
* CSK Auto Corp. 208,851 3,920
John H. Harland Co. 143,422 3,915
* Enterasys Networks, Inc. 1,043,907 3,915
* Dobson Communications Corp. 595,542 3,913
ABM Industries Inc. 224,706 3,912
* Penn National Gaming, Inc. 169,418 3,910
Heartland Express, Inc. 161,598 3,909
Kaydon Corp. 151,172 3,906
Provident Bankshares Corp. 132,668 3,906
Commercial Metals Co. 128,154 3,896
* Hanover Compressor Co. 349,058 3,892
* Kulicke & Soffa Industries, Inc. 269,751 3,879
* Fossil, Inc. 138,292 3,874
* K-V Pharmaceutical Co. Class A 151,614 3,866
Manufactured Home
Communities, Inc. REIT 102,580 3,862
* ATMI, Inc. 166,824 3,860
* Ligand Pharmaceuticals Inc.
Class B 262,218 3,852
* Power-One, Inc. 355,562 3,851
* The Warnaco Group, Inc. 241,309 3,849
* Sierra Health Services, Inc. 139,355 3,825
* Coherent, Inc. 160,634 3,823
* Progress Software Corp. 186,842 3,823
G & K Services, Inc. Class A 104,000 3,822
* Zoran Corp. 219,264 3,813
* Rogers Corp. 86,362 3,810
* Nabi Biopharmaceuticals 299,615 3,808
* Genlyte Group, Inc. 65,186 3,806
* DSP Group Inc. 152,716 3,804
* Northwest Airlines Corp.
Class A 301,406 3,804
* DRS Technologies, Inc. 136,180 3,783
* Armor Holdings, Inc. 143,778 3,783
* Veeco Instruments, Inc. 134,039 3,780
* First Federal Financial Corp. 86,624 3,768
* OMI Corp. 421,900 3,768
* Cray Inc. 379,294 3,766
* Manhattan Associates, Inc. 136,105 3,762
Owens & Minor, Inc. Holding Co. 171,634 3,761
* Group 1 Automotive, Inc. 103,730 3,754
Longs Drug Stores, Inc. 151,373 3,745
* Aeroflex, Inc. 320,299 3,744
Arkansas Best Corp. 119,282 3,744
* Exar Corp. 218,586 3,733
USEC Inc. 444,351 3,733
23
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Kos Pharmaceuticals, Inc. 86,700 $ 3,732
* Six Flags, Inc. 495,898 3,729
CVB Financial Corp. 193,190 3,727
* Choice Hotel International, Inc. 105,671 3,725
* Moog Inc. 75,338 3,722
Chemical Financial Corp. 102,197 3,719
Tecumseh Products Co. Class A 76,774 3,718
* GlobespanVirata, Inc. 630,515 3,707
* Alaska Air Group, Inc. 135,580 3,700
* Ask Jeeves, Inc. 203,889 3,694
Stewart Information
Services Corp. 91,035 3,691
MB Financial, Inc. 100,778 3,668
* Lin TV Corp. 141,738 3,658
* Argosy Gaming Co. 140,748 3,658
Infinity Property &
Casualty Corp. 110,599 3,655
Seacoast Financial
Services Corp. 133,327 3,654
* Microsemi Corp. 148,335 3,646
* NetIQ Corp. 274,939 3,643
* Rayovac Corp. 173,666 3,638
* Jarden Corp. 133,001 3,636
* Kirby Corp. 104,201 3,635
* Eon Labs, Inc. 71,296 3,633
* American Healthways Inc. 152,016 3,629
* Oceaneering International, Inc. 129,455 3,625
Wabtec Corp. 212,627 3,623
* Hain Celestial Group, Inc. 155,994 3,621
Sun Communities, Inc. REIT 93,359 3,613
Waypoint Financial Corp. 166,334 3,608
* ProQuest Co. 122,065 3,595
Curtiss-Wright Corp. 79,800 3,592
* Openwave Systems Inc. 326,314 3,589
* EGL, Inc. 203,882 3,580
* Electro Scientific Industries, Inc. 150,205 3,575
* Aquila, Inc. 1,054,105 3,573
National Penn Bancshares Inc. 111,054 3,567
* Wind River Systems Inc. 405,972 3,556
* EMCOR Group, Inc. 80,992 3,556
* InterMune Inc. 153,029 3,544
* eSPEED, Inc. Class A 151,363 3,543
Gray Television, Inc. 234,035 3,539
* Dick's Sporting Goods, Inc. 72,700 3,538
Community Bank System, Inc. 72,171 3,536
JLG Industries, Inc. 232,178 3,536
PS Business Parks, Inc. REIT 85,619 3,533
* Inveresk Research Group Inc. 142,791 3,531
* Cyberonics, Inc. 110,086 3,524
* Photon Dynamics, Inc. 87,400 3,517
* Sinclair Broadcast Group, Inc. 235,586 3,515
* Jones Lang Lasalle Inc. 169,410 3,512
* CONMED Corp. 147,535 3,511
* NetFlix.com, Inc. 64,200 3,511
A.O. Smith Corp. 100,050 3,507
* CoStar Group, Inc. 84,112 3,506
Brown Shoe Co., Inc. 92,356 3,503
Heritage Property
Investment Trust REIT 123,071 3,501
Otter Tail Corp. 130,866 3,498
* CSG Systems International, Inc. 279,680 3,493
PolyMedica Corp. 132,634 3,490
* THQ Inc. 206,113 3,485
Harleysville National Corp. 115,577 3,479
* El Paso Electric Co. 260,387 3,476
Summit Properties, Inc. REIT 144,618 3,474
* Meritage Corp. 52,295 3,468
* Dollar Thrifty
Automotive Group, Inc. 133,515 3,463
United Auto Group, Inc. 110,598 3,462
* Newport Corp. 209,255 3,459
* TIBCO Software Inc. 510,065 3,453
* Cirrus Logic 449,312 3,446
* Grey Wolf, Inc. 921,404 3,446
Net.Bank, Inc. 258,082 3,445
* School Specialty, Inc. 101,279 3,444
Flagstar Bancorp, Inc. 160,710 3,442
* Ryan's Family Steak
Houses, Inc. 227,298 3,441
Interstate Bakeries Corp. 241,687 3,439
* Imagistics International Inc. 91,582 3,434
* Websense, Inc. 117,430 3,434
* Mykrolis Corp. 213,442 3,432
* ValueClick, Inc. 376,785 3,421
* American Management
Systems, Inc. 226,508 3,413
* MicroStrategy Inc. 64,999 3,411
* Ultratech, Inc. 116,130 3,411
First Citizens BancShares
Class A 27,998 3,403
Grey Global Group Inc. 4,973 3,397
* United Natural Foods, Inc. 94,545 3,395
* Altiris, Inc. 93,000 3,393
* eResearch Technology, Inc. 133,400 3,391
* CMGI Inc. 1,903,371 3,388
S & T Bancorp, Inc. 112,973 3,378
* NeighborCare Inc. 170,882 3,375
A. Schulman Inc. 157,762 3,363
* Littelfuse, Inc. 116,557 3,359
* Monaco Coach Corp. 140,967 3,355
Wausau-Mosinee Paper Corp. 247,936 3,352
* Checkpoint Systems, Inc. 177,221 3,351
Ruddick Corp. 187,069 3,349
NBT Bancorp, Inc. 156,119 3,347
24
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Scottish Annuity & Life
Holdings, Ltd. 160,984 $ 3,345
* Verity, Inc. 200,114 3,340
* Knight Transportation, Inc. 130,036 3,335
Cambrex Corp. 131,846 3,330
* URS Corp. 132,860 3,323
UIL Holdings Corp. 73,484 3,314
* Viasys Healthcare Inc. 160,640 3,309
* Photronics Inc. 166,014 3,307
Spartech Corp. 134,209 3,307
* Headwaters Inc. 168,514 3,306
* Charming Shoppes, Inc. 611,118 3,300
K-Swiss, Inc. 137,054 3,298
Schnitzer Steel Industries, Inc.
Class A 54,460 3,295
* Select Comfort Corp. 132,670 3,285
CONSOL Energy, Inc. 126,580 3,278
* Digital River, Inc. 147,947 3,270
* Symyx Technologies, Inc. 159,028 3,268
United National Bancorp 91,436 3,267
* Secure Computing Corp. 182,212 3,263
Amcore Financial, Inc. 120,153 3,247
* RealNetworks, Inc. 568,271 3,245
* ANSYS, Inc. 81,319 3,228
Landry's Restaurants, Inc. 125,294 3,223
* Dendrite International, Inc. 205,191 3,215
* Actel Corp. 133,311 3,213
* Pacer International, Inc. 158,852 3,212
Harbor Florida Bancshares, Inc. 108,072 3,211
* Saxon Capital Inc. 153,145 3,208
Baldor Electric Co. 140,238 3,204
National Health Investors REIT 128,601 3,200
* Quest Software, Inc. 225,008 3,195
Boston Private Financial
Holdings, Inc. 128,587 3,194
* Mindspeed Technologies, Inc. 466,120 3,193
* USI Holdings Corp. 244,534 3,191
Sonic Automotive, Inc. 139,171 3,190
Horace Mann Educators Corp. 228,331 3,190
Glacier Bancorp, Inc. 98,374 3,187
EastGroup Properties, Inc. REIT 98,399 3,186
* Dot Hill Systems Corp. 208,871 3,164
Overseas Shipholding Group Inc. 92,910 3,164
* Helen of Troy Ltd. 135,988 3,148
* Spherion Corp. 321,406 3,147
Hancock Holding Co. 57,555 3,141
Dime Community Bancshares 101,913 3,135
* Thoratec Corp. 240,645 3,131
* WCI Communities, Inc. 151,701 3,127
* American Pharmaceuticals
Partners, Inc. 92,929 3,122
Mine Safety Appliances Co. 39,260 3,122
United Community Banks, Inc. 94,652 3,114
* Connetics Corp. 171,405 3,113
* Sola International Inc. 165,313 3,108
* Comstock Resources, Inc. 161,010 3,107
* Too Inc. 184,084 3,107
First Charter Corp. 158,716 3,103
Vintage Petroleum, Inc. 257,703 3,100
* Triumph Group, Inc. 85,001 3,094
* InfoSpace, Inc. 133,819 3,085
MFA Mortgage
Investments, Inc. REIT 316,147 3,082
* Vignette Corp. 1,356,726 3,080
Mid-America Apartment
Communities, Inc. REIT 91,701 3,079
* Apex Silver Mines Ltd. 147,298 3,079
* Shuffle Master, Inc. 88,856 3,076
Longview Fibre Co. 248,581 3,070
* Genesis Microchip Inc. 169,882 3,065
* Advanced Medical Optics, Inc. 155,650 3,059
* Stewart Enterprises, Inc.
Class A 537,864 3,055
* Denbury Resources, Inc. 219,103 3,048
* Orbital Sciences Corp. 253,032 3,041
UMB Financial Corp. 63,955 3,040
Boyd Gaming Corp. 188,348 3,040
Carpenter Technology Corp. 102,712 3,037
Mid-State Bancshares 119,144 3,031
Umpqua Holdings Corp. 145,588 3,027
Equity One, Inc. REIT 179,196 3,025
* Primus Telecommunications
Group, Inc. 297,021 3,024
* Adolor Corp. 150,970 3,022
Nu Skin Enterprises, Inc. 176,846 3,022
* Esterline Technologies Corp. 112,671 3,005
WD-40 Co. 84,833 3,000
* Forward Air Corp. 108,989 2,997
* Pinnacle Systems, Inc. 351,332 2,997
* ScanSource, Inc. 65,600 2,993
* Price Communications Corp. 217,631 2,988
* ESCO Technologies Inc. 68,401 2,986
* Finish Line, Inc. 99,580 2,984
* Leapfrog Enterprises, Inc. 112,402 2,982
Regal-Beloit Corp. 135,389 2,979
* PolyOne Corp. 466,050 2,978
* Wright Medical Group, Inc. 97,789 2,977
Corporate Office
Properties Trust, Inc. REIT 141,700 2,976
LaBranche & Co. Inc. 254,800 2,974
* FEI Co. 132,102 2,972
RAIT Investment Trust REIT 116,067 2,971
* FuelCell Energy, Inc. 228,421 2,969
* TTM Technologies, Inc. 175,799 2,967
25
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Max Re Capital Ltd. 132,240 $ 2,967
City Holding Co. 84,738 2,966
* Centene Corp. 105,800 2,963
Arch Chemicals, Inc. 115,198 2,956
* Resources Connection, Inc. 108,015 2,950
* Digene Corp. 73,542 2,949
* Advanced Energy Industries, Inc. 113,174 2,948
The Trust Co. of New Jersey 74,262 2,947
* WMS Industries, Inc. 112,027 2,935
* SRA International, Inc. 68,040 2,933
Empire District Electric Co. 133,701 2,932
* Mediacom Communications Corp. 336,571 2,918
* XOMA Ltd. 441,672 2,915
* Bright Horizons Family
Solutions, Inc. 69,178 2,905
Helix Technology Corp. 141,128 2,904
* Financial Federal Corp. 94,943 2,901
Keystone Property Trust REIT 131,221 2,899
MGE Energy, Inc. 91,834 2,894
Entertainment Properties
Trust REIT 83,343 2,893
Sandy Spring Bancorp, Inc. 77,309 2,891
* Micromuse Inc. 418,594 2,888
Alabama National
BanCorporation 54,807 2,880
* The Neiman Marcus Group, Inc.
Class B 57,553 2,878
Thomas Industries, Inc. 82,977 2,876
* Entravision
Communications Corp. 258,934 2,874
Woodward Governor Co. 50,567 2,874
* Interactive Data Corp. 173,150 2,867
* S1 Corp. 356,193 2,867
Belden, Inc. 135,758 2,863
* Ionics, Inc. 89,831 2,861
Steelcase Inc. 199,047 2,858
Kelly Services, Inc. Class A 99,797 2,848
* TBC Corp. 110,296 2,847
Hudson River Bancorp. Inc. 72,889 2,845
Irwin Financial Corp. 90,592 2,845
Watts Water Technologies 128,043 2,843
Corus Bankshares Inc. 89,950 2,839
* Systems & Computer
Technology Corp. 173,588 2,838
* NCO Group, Inc. 124,644 2,838
* Jacuzzi Brands, Inc. 400,245 2,838
* Quantum Corp. 909,342 2,837
Sterling Bancshares, Inc. 212,446 2,832
Surewest Communications 69,966 2,828
* Guitar Center, Inc. 86,730 2,826
Tanger Factory Outlet
Centers, Inc. REIT 69,397 2,824
* Cleveland-Cliffs Inc. 55,409 2,823
* Superior Energy Services, Inc. 300,261 2,822
* ESS Technology, Inc. 165,889 2,822
* AK Steel Corp. 552,801 2,819
* InVision Technologies, Inc. 83,975 2,819
* Magma Design Automation, Inc. 120,660 2,816
Glenborough
Realty Trust, Inc. REIT 141,109 2,815
* TETRA Technologies, Inc. 116,009 2,812
Texas Genco Holdings, Inc. 86,432 2,809
* Offshore Logistics, Inc. 114,428 2,806
Cash America International Inc. 132,253 2,801
* Sotheby's Holdings Class A 204,697 2,796
* Enzon Pharmaceuticals, Inc. 232,916 2,795
The Laclede Group, Inc. 97,874 2,794
* Teledyne Technologies, Inc. 147,932 2,789
MCG Capital Corp. 142,981 2,788
* Intuitive Surgical, Inc. 163,127 2,788
Frontier Financial Corp. 83,974 2,785
* AtheroGenics, Inc. 185,926 2,780
Universal Forest Products, Inc. 86,268 2,776
Anworth Mortgage
Asset Corp. REIT 198,400 2,764
Barnes Group, Inc. 85,181 2,752
* Ocular Sciences, Inc. 95,558 2,743
* Packeteer, Inc. 161,489 2,742
* Magnum Hunter Resources Inc. 288,303 2,742
* Global Imaging Systems, Inc. 86,300 2,740
* Houston Exploration Co. 75,020 2,740
Barra, Inc. 77,155 2,738
* Harmonic, Inc. 377,594 2,738
* Quanta Services, Inc. 374,979 2,737
* The Gymboree Corp. 158,785 2,736
PFF Bancorp, Inc. 75,289 2,731
* Entegris Inc. 212,358 2,729
Rollins, Inc. 120,919 2,727
South Jersey Industries, Inc. 67,236 2,723
* Griffon Corp. 134,308 2,721
Handleman Co. 132,530 2,721
* Atrix Laboratories, Inc. 113,087 2,719
* ArthroCare Corp. 110,714 2,712
* 7-Eleven, Inc. 168,820 2,710
* Retek Inc. 291,801 2,708
* WebEx Communications, Inc. 134,391 2,701
* USG Corp. 162,863 2,699
* Epicor Software Corp. 211,299 2,696
* Range Resources Corp. 284,561 2,689
* Korn/Ferry International 201,105 2,683
* Frontier Airlines, Inc. 187,907 2,680
Independent Bank Corp. (MI) 94,375 2,676
26
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Westbanco Inc. 96,519 $ 2,673
* Plains Exploration &
Production Co. 173,119 2,664
* Labor Ready, Inc. 203,299 2,663
First Financial Bancorp 166,934 2,663
Anchor Bancorp Wisconsin Inc. 106,917 2,662
* MEMC Electronic Materials, Inc. 276,706 2,662
Park Electrochemical Corp. 100,335 2,658
* Mercury Computer Systems, Inc. 106,702 2,657
West Pharmaceutical Services, Inc. 78,368 2,657
* Integra LifeSciences Holdings 92,791 2,657
* BioMarin Pharmaceutical Inc. 341,708 2,655
* Core Laboratories NV 158,230 2,641
Gold Banc Corp., Inc. 187,754 2,640
* Ciber, Inc. 304,342 2,636
* Ventana Medical Systems, Inc. 66,851 2,634
* Multimedia Games Inc. 64,000 2,630
* FelCor Lodging Trust, Inc. REIT 236,689 2,623
C & D Technologies, Inc. 136,659 2,620
Aaron Rents, Inc. Class B 129,783 2,613
* Haemonetics Corp. 109,222 2,609
* Safeguard Scientifics, Inc. 645,155 2,606
Arrow International, Inc. 104,290 2,605
* Movie Gallery, Inc. 139,157 2,599
First Community Bancorp 71,829 2,596
AMLI Residential
Properties Trust REIT 96,700 2,592
* Encore Acquisition Co. 105,001 2,588
* Agile Software Corp. 261,346 2,587
* Powerwave Technologies, Inc. 338,022 2,586
* K2 Inc. 169,876 2,584
First Financial Bankshares, Inc. 61,958 2,584
* Central Garden and Pet Co. 92,153 2,583
* Cell Genesys, Inc. 199,595 2,583
* Corvis Corp. 1,518,300 2,581
Connecticut Bancshares, Inc. 49,996 2,577
CARBO Ceramics Inc. 50,194 2,572
* Sterling Financial Corp.
(Spokane) 75,103 2,571
* ON Semiconductor Corp. 398,300 2,569
* E.piphany Inc. 355,221 2,561
First Republic Bank 71,418 2,557
* Merit Medical Systems, Inc. 114,182 2,542
Penn Virginia Corp. 45,661 2,541
* Gartner, Inc. Class B 233,043 2,536
* Cubist Pharmaceuticals, Inc. 208,297 2,533
* Insight Communications Co., Inc. 245,495 2,531
* CIMA Labs Inc. 77,544 2,529
* Sapient Corp. 451,135 2,526
* Remec, Inc. 299,335 2,517
Inter-Tel, Inc. 100,686 2,515
* Triad Guaranty, Inc. 49,945 2,515
ElkCorp 94,178 2,515
* Paxar Corp. 187,376 2,511
* Applied Films Corp. 75,994 2,509
* VistaCare, Inc. 71,360 2,508
* Genta Inc. 240,560 2,504
* West Corp. 107,769 2,503
First Sentinel Bancorp Inc. 118,628 2,498
* Finisar Corp. 798,034 2,498
* TierOne Corp. 108,672 2,495
* Silgan Holdings, Inc. 58,543 2,493
Ramco-Gershenson
Properties Trust REIT 88,001 2,490
* Kopin Corp. 370,741 2,488
* Swift Energy Co. 147,267 2,481
* Per-Se Technologies, Inc. 162,595 2,481
* Arris Group Inc. 341,957 2,476
Alfa Corp. 192,495 2,475
* Teletech Holdings Inc. 218,434 2,468
* FormFactor Inc. 124,628 2,468
* The Advisory Board Co. 70,600 2,465
* Transmeta Corp. 723,660 2,460
Watsco, Inc. 108,217 2,460
* Medarex, Inc. 394,568 2,458
* Silicon Image, Inc. 339,862 2,457
* Hibbett Sporting Goods, Inc. 82,060 2,445
* Serologicals Corp. 131,274 2,442
Cornerstone Realty
Income Trust, Inc. REIT 278,185 2,437
* Impax Laboratories, Inc. 168,698 2,428
Anthracite Capital Inc. REIT 219,285 2,427
* j2 Global Communications, Inc. 97,928 2,426
* webMethods, Inc. 264,959 2,424
* Exelixis, Inc. 341,651 2,419
Brookfield Homes Corp. 93,764 2,416
* Advent Software, Inc. 138,540 2,415
* Stage Stores, Inc. 86,460 2,412
Rock-Tenn Co. 139,741 2,412
The Stride Rite Corp. 211,872 2,411
* Eclipsys Corp. 207,061 2,410
Frontier Oil Corp. 139,813 2,408
Datascope Corp. 67,113 2,406
* JDA Software Group, Inc. 145,323 2,399
Sovran Self Storage, Inc. REIT 64,432 2,394
* Interwoven Inc. 189,245 2,392
* Time Warner Telecom Inc. 235,932 2,390
* ExpressJet Holdings, Inc. 158,963 2,384
* ScanSoft, Inc. 447,608 2,381
LaSalle Hotel Properties REIT 128,358 2,381
Koger Equity, Inc. REIT 113,745 2,381
* Universal Compression
Holdings, Inc. 90,941 2,379
27
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Centex Construction Products, Inc. 39,366 $ 2,373
* ShopKo Stores, Inc. 155,412 2,370
* Incyte Corp. 346,313 2,369
Odyssey Re Holdings Corp. 104,781 2,363
Bandag, Inc. 57,306 2,361
* Quicksilver Resources, Inc. 73,001 2,358
California Water Service Group 86,000 2,356
* IDT Corp. 106,300 2,355
* Integrated Silicon Solution, Inc. 150,129 2,353
* Transkaryotic Therapies, Inc. 150,685 2,352
Schweitzer-Mauduit
International, Inc. 78,935 2,351
* Regeneron Pharmaceuticals, Inc. 159,589 2,348
Oxford Industries, Inc. 69,002 2,338
* Insituform Technologies Inc.
Class A 141,508 2,335
* AMC Entertainment, Inc. 153,303 2,332
Bowne & Co., Inc. 171,769 2,329
Lone Star Steakhouse &
Saloon, Inc. 100,413 2,328
Speedway Motorsports, Inc. 80,326 2,323
* Digitas Inc. 249,188 2,322
* IDX Systems Corp. 86,474 2,319
Roto-Rooter, Inc. 50,245 2,316
* Prime Hospitality Corp. 226,751 2,313
* Elizabeth Arden, Inc. 116,099 2,313
Parkway Properties Inc. REIT 55,459 2,307
Methode Electronics, Inc.
Class A 188,509 2,305
* American Medical Systems
Holdings, Inc. 105,691 2,303
* PTEK Holdings, Inc. 260,315 2,293
* ViaSat, Inc. 119,765 2,292
* Enzo Biochem, Inc. 127,915 2,291
* NCI Building Systems, Inc. 95,848 2,291
* Inspire Pharmaceuticals, Inc. 161,655 2,289
Franklin Electric, Inc. 37,803 2,287
First Essex Bancorp, Inc. 39,282 2,284
Bedford Property
Investors, Inc. REIT 79,761 2,284
Gibraltar Steel 90,566 2,278
* Biosite Inc. 78,657 2,277
Endurance Specialty Holdings 67,866 2,277
* HomeStore, Inc. 480,092 2,271
* Remington Oil & Gas Corp. 115,151 2,267
First Merchants Corp. 88,797 2,266
* PalmOne, Inc. 192,378 2,260
* SonicWALL, Inc. 289,783 2,260
Getty Realty Holding Corp. REIT 86,248 2,255
* At Road, Inc. 169,428 2,253
* Papa John's International, Inc. 67,452 2,252
* Genesee & Wyoming Inc.
Class A 71,476 2,251
* Therasense, Inc. 110,574 2,245
* W-H Energy Services, Inc. 138,511 2,244
* PAREXEL International Corp. 137,982 2,244
* CTI Molecular Imaging, Inc. 132,420 2,239
* ICU Medical, Inc. 64,971 2,227
* Salix Pharmaceuticals, Ltd. 98,236 2,227
* United Therapeutics Corp. 96,995 2,226
Unizan Financial Corp. 109,730 2,222
Kramont Realty Trust REIT 122,225 2,212
* Trammell Crow Co. 166,671 2,208
* SOURCECORP, Inc. 86,151 2,208
The Nautilus Group, Inc. 156,979 2,206
NACCO Industries, Inc. Class A 24,640 2,205
* America West Holdings Corp.
Class B 177,791 2,205
* ManTech International Corp. 88,350 2,204
CDI Corp. 67,132 2,199
* Priceline.com, Inc. 122,613 2,195
* Steak n Shake Co. 122,911 2,194
Cato Corp. Class A 106,759 2,189
* Right Management
Consultants, Inc. 117,280 2,188
* SERENA Software, Inc. 119,219 2,188
Central Pacific Financial Co. 72,770 2,186
Chesapeake Corp. of Virginia 82,266 2,178
* Big 5 Sporting Goods Corp. 103,900 2,177
Sterling Bancorp 76,046 2,167
* Artisan Components, Inc. 105,600 2,165
* UICI 162,999 2,165
Phillips-Van Heusen Corp. 121,719 2,159
* Cable Design Technologies Corp. 240,023 2,158
* Atlantic Coast Airlines
Holdings Inc. 217,767 2,156
Fidelity Bankshares, Inc. 68,609 2,154
* Enbridge Energy Management 44,565 2,153
AMCOL International Corp. 106,600 2,153
* Champion Enterprises, Inc. 306,935 2,149
GenCorp, Inc. 198,712 2,140
Russell Corp. 121,645 2,136
Oriental Financial Group Inc. 82,896 2,130
* Nuevo Energy Co. 88,134 2,130
* aQuantive, Inc. 207,421 2,125
The Topps Co., Inc. 207,009 2,124
* MeriStar Hospitality Corp. REIT 326,018 2,122
* Fleetwood Enterprises, Inc. 206,679 2,121
MTS Systems Corp. 110,236 2,120
* Pixelworks, Inc. 191,780 2,117
* CV Therapeutics, Inc. 144,345 2,116
* Sharper Image Corp. 64,800 2,116
* Tanox, Inc. 142,329 2,114
28
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
First Financial Holdings, Inc. 67,554 $ 2,112
* Mesa Air Group Inc. 168,528 2,110
M/I Schottenstein Homes, Inc. 53,803 2,101
* Mastec Inc. 141,600 2,097
Applied Industrial
Technology, Inc. 87,832 2,096
* Global Industries Ltd. 406,916 2,096
* Stillwater Mining Co. 217,953 2,086
* Spanish Broadcasting System, Inc. 198,420 2,083
* Excel Technology, Inc. 63,335 2,081
Valmont Industries, Inc. 89,850 2,080
* Lionbridge Technologies, Inc. 215,902 2,075
Cohu, Inc. 108,289 2,074
New England Business
Service, Inc. 70,291 2,074
* Standard Microsystem Corp. 81,766 2,069
* Caraustar Industries, Inc. 149,902 2,069
Stewart & Stevenson
Services, Inc. 146,906 2,064
* Align Technology, Inc. 124,802 2,062
* Orthodontic Centers
of America, Inc. 255,841 2,060
* SafeNet, Inc. 66,900 2,059
Analogic Corp. 50,198 2,058
* aaiPharma Inc. 81,841 2,056
* Tower Automotive, Inc. 300,986 2,056
American States Water Co. 82,137 2,053
* Trimeris, Inc. 97,759 2,051
* Identix, Inc. 460,647 2,050
Russ Berrie and Co., Inc. 60,447 2,049
* Old Dominion Freight Line, Inc. 59,964 2,044
* Kyphon Inc. 82,249 2,042
* Gardner Denver Inc. 85,541 2,042
* InFocus Corp. 210,856 2,041
* Geron Corp. 204,306 2,037
* Consolidated Graphics, Inc. 64,464 2,036
Hooper Holmes, Inc. 329,372 2,036
Independent Bank Corp. (MA) 70,600 2,035
* LabOne, Inc. 62,595 2,032
CTS Corp. 176,236 2,027
Suffolk Bancorp 58,642 2,025
* Heidrick & Struggles
International, Inc. 92,866 2,024
* Robert Mondavi Corp. Class A 52,032 2,021
Greif Inc. Class A 56,891 2,020
* Manugistics Group, Inc. 323,188 2,020
* Itron, Inc. 109,969 2,019
Oakley, Inc. 145,517 2,014
* Immucor Inc. 98,697 2,012
Burlington Coat Factory
Warehouse Corp. 94,815 2,006
* Jo-Ann Stores, Inc. 98,243 2,004
* Alaris Medical, Inc. 131,637 2,002
First Federal Capital Corp. 88,882 2,002
Sterling Financial Corp. (PA) 72,110 2,001
* Oil States International, Inc. 143,283 1,997
* SeaChange International, Inc. 129,687 1,996
* Alexion Pharmaceuticals, Inc. 117,253 1,996
Town & Country Trust REIT 78,258 1,984
* Newpark Resources, Inc. 412,910 1,978
* Lawson Software Inc. 240,237 1,977
* Intermagnetics General Corp. 89,059 1,974
* Avanex Corp. 394,529 1,969
Cubic Corp. 85,551 1,968
Equity Inns, Inc. REIT 216,804 1,962
Libbey, Inc. 68,681 1,956
EDO Corp. 79,340 1,956
* Hydrill Co. 81,653 1,954
Allegiant Bancorp, Inc. 69,565 1,951
Landauer, Inc. 47,600 1,941
Firstfed America Bancorp, Inc. 74,402 1,937
* California Pizza Kitchen, Inc. 96,200 1,937
* Genesis Healthcare Corp 84,991 1,936
Pulitzer, Inc. 35,676 1,927
* ChipPAC, Inc. 253,437 1,924
* ValueVision Media, Inc. 115,130 1,923
* West Marine, Inc. 69,130 1,923
* Energy Partners, Ltd. 137,957 1,918
Kimball International, Inc.
Class B 123,231 1,916
* Opsware, Inc. 258,750 1,915
Berry Petroleum Class A 94,376 1,911
* Keystone Automotive
Industries, Inc. 75,322 1,910
Tredegar Corp. 122,893 1,909
* Harris Interactive Inc. 229,844 1,908
* Wireless Facilities, Inc. 128,256 1,906
* Concord Communications, Inc. 95,422 1,906
* SurModics, Inc. 79,696 1,905
* Atwood Oceanics, Inc. 59,629 1,905
PrivateBancorp, Inc. 41,783 1,902
* The Children's Place
Retail Stores, Inc. 71,152 1,902
* Mattson Technology, Inc. 155,462 1,900
United Community
Financial Corp. 166,117 1,895
* Young Broadcasting Inc. 94,556 1,895
* Stratex Networks, Inc. 445,843 1,895
* Ocwen Financial Corp. 213,786 1,894
Simmons First National Corp. 67,753 1,890
* Local Financial Corp. 90,568 1,887
* Daktronics, Inc. 74,766 1,881
Lithia Motors, Inc. 74,500 1,878
29
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Boca Resorts, Inc. Class A 125,518 $ 1,878
* Veritas DGC Inc. 179,137 1,877
* Possis Medical Inc. 95,043 1,877
* RTI International Metals Inc. 111,236 1,877
* DuPont Photomasks, Inc. 77,682 1,875
* CompuCredit Corp. 87,739 1,867
* Harvest Natural Resources, Inc. 187,641 1,867
* Coinstar, Inc. 103,360 1,867
* SupportSoft, Inc. 141,712 1,864
* Duane Reade Inc. 109,907 1,860
* WFS Financial, Inc. 43,678 1,855
* Verso Technologies, Inc. 578,968 1,853
* Planar Systems, Inc. 76,068 1,850
World Fuel Services Corp. 54,474 1,849
Weis Markets, Inc. 50,863 1,846
U.S. Restaurant
Properties, Inc. REIT 108,100 1,842
BSB Bancorp, Inc. 46,582 1,839
Community Trust Bancorp Inc. 60,864 1,838
* Noven Pharmaceuticals, Inc. 120,636 1,835
Integra Bank Corp. 83,310 1,831
Newcastle Investment Corp. REIT 67,530 1,830
* Red Robin Gourmet Burgers 60,110 1,830
* Hologic, Inc. 105,529 1,829
* General Communication, Inc. 210,207 1,829
Sea Containers Ltd. Class A 99,619 1,818
* Netegrity, Inc. 176,261 1,817
* RehabCare Group, Inc. 85,464 1,817
* RailAmerica, Inc. 153,881 1,816
* Plug Power, Inc. 249,652 1,810
* O'Charley's Inc. 100,726 1,808
* Prima Energy Corp. 51,347 1,805
* Pharmacopeia, Inc. 126,697 1,800
Universal Health
Realty Income REIT 59,700 1,797
American Woodmark Corp. 32,637 1,797
IBERIABANK Corp. 30,441 1,796
Arctic Cat, Inc. 72,676 1,795
Zenith National Insurance Corp. 55,014 1,791
Orient-Express Hotel Ltd. 108,661 1,785
The Marcus Corp. 108,701 1,783
* Accredited Home Lenders
Holding Co. 58,224 1,782
* National Western Life
Insurance Co. Class A 11,500 1,781
Walter Industries, Inc. 133,364 1,780
* Genesco, Inc. 116,917 1,769
Capitol Bancorp Ltd. 62,280 1,769
* Argonaut Group, Inc. 113,706 1,767
CIRCOR International, Inc. 73,301 1,767
* Tejon Ranch Co. 43,010 1,764
* Ceradyne, Inc. 51,763 1,763
Riggs National Corp. 106,651 1,763
* Unifi, Inc. 273,217 1,762
* Myriad Genetics, Inc. 136,967 1,761
Haverty Furniture Cos., Inc. 88,602 1,760
* TiVo Inc. 237,160 1,755
First Financial Corp. (IN) 58,314 1,750
* Isis Pharmaceuticals, Inc. 269,006 1,749
Washington Trust Bancorp, Inc. 66,645 1,746
Glatfelter 140,172 1,745
* The Dress Barn, Inc. 116,218 1,742
* Zymogenetics, Inc. 112,374 1,742
Wellman, Inc. 170,517 1,741
* JAKKS Pacific, Inc. 132,145 1,739
* General Maritime Corp. 98,779 1,739
Royal Gold, Inc. 82,950 1,736
* 4Kids Entertainment Inc. 66,691 1,735
Community Banks, Inc. 44,089 1,733
* Hanger Orthopedic Group, Inc. 111,084 1,730
West Coast Bancorp 80,781 1,724
* Zoll Medical Corp. 48,534 1,722
* Pre-Paid Legal Services, Inc. 65,356 1,707
* Aviall Inc. 109,966 1,706
First Community
Bancshares, Inc. 50,966 1,690
Innkeepers USA Trust REIT 201,477 1,686
PXRE Group Ltd. 71,486 1,685
* Buckeye Technology, Inc. 167,170 1,680
* Cross Country Healthcare, Inc. 112,461 1,678
* CKE Restaurants Inc. 262,438 1,676
Action Performance Cos., Inc. 85,479 1,675
* OraSure Technologies, Inc. 210,383 1,675
* Echelon Corp. 150,089 1,672
* Albany Molecular Research, Inc. 111,180 1,670
* Electronics Boutique
Holdings Corp. 72,860 1,668
* Isle of Capri Casinos, Inc. 77,660 1,667
* Westell Technologies, Inc. 263,903 1,665
* International Multifoods Corp. 92,481 1,665
Investors Real Estate Trust REIT 168,106 1,664
* Wild Oats Markets Inc. 128,637 1,663
* Brightpoint, Inc. 96,045 1,657
* GameStop Corp. 107,400 1,655
* CuraGen Corp. 225,100 1,650
* II-VI, Inc. 63,924 1,649
* SonoSite, Inc. 76,893 1,649
Tennant Co. 38,031 1,647
* Century Business Services, Inc. 368,112 1,645
* Anaren, Inc. 116,455 1,644
Capital City Bank Group, Inc. 35,642 1,639
Agilysys, Inc. 146,738 1,636
* Exult Inc. 229,513 1,634
Bel Fuse, Inc. Class B 49,863 1,627
30
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* ITLA Capital Corp. 32,401 $ 1,623
Main Street Banks, Inc. 61,046 1,618
United Fire & Casualty Co. 40,069 1,617
* Plains Resources Inc. 100,669 1,616
Dimon Inc. 239,161 1,614
* Autobytel Inc. 177,468 1,611
* Rainbow Technologies, Inc. 143,029 1,611
Flushing Financial Corp. 87,751 1,604
* Rudolph Technologies, Inc. 65,217 1,600
* Gartner, Inc. Class A 141,461 1,600
Prosperity Bancshares, Inc. 70,990 1,599
* PRAECIS Pharmaceuticals Inc. 248,199 1,598
* EPIX Medical, Inc. 97,677 1,590
* MatrixOne, Inc. 258,130 1,590
Triarc Cos., Inc. Class B 147,200 1,587
* ActivCard Corp. 200,586 1,581
* PRIMEDIA Inc. 558,391 1,580
* Lone Star Technologies, Inc. 98,573 1,575
* Gentiva Health Services, Inc. 124,499 1,574
Talx Corp. 68,299 1,573
* Kadant Inc. 72,595 1,572
* USANA Health Sciences, Inc. 51,249 1,568
* Cell Therapeutics, Inc. 179,165 1,559
Standex International Corp. 55,619 1,557
* Tyler Technologies, Inc. 161,671 1,557
Iomega Corp. 260,321 1,557
* New Focus, Inc. 309,859 1,555
* Ameristar Casinos, Inc. 63,318 1,549
Columbia Banking System, Inc. 71,418 1,547
* MemberWorks, Inc. 56,551 1,536
* Net2Phone, Inc. 225,684 1,535
* Bombay Co. 188,275 1,533
* Fisher Communications, Inc. 30,016 1,531
* Terayon Communications Systems, Inc. 338,743 1,524
* RC2 Corp. 73,394 1,523
* Commercial Capital Bancorp, Inc. 70,599 1,512
* MRO Software Inc. 112,211 1,509
* Dendreon Corp. 187,157 1,508
Lindsay Manufacturing Co. 59,736 1,508
* Corixa Corp. 249,440 1,507
* Electro Rent Corp. 112,868 1,506
* FreeMarkets, Inc. 224,748 1,504
* Trex Co., Inc. 39,451 1,498
* Federal Agricultural
Mortgage Corp. Class C 46,877 1,498
Central Vermont
Public Service Corp. 63,579 1,494
Kaman Corp. Class A 117,223 1,492
* Inet Technologies, Inc. 124,273 1,491
Omega Financial Corp. 38,708 1,490
* William Lyon Homes, Inc. 23,651 1,485
* Hawthorne Financial Corp. 52,991 1,483
* SPSS, Inc. 82,743 1,479
Quaker Chemical Corp. 47,905 1,473
* Information Holdings Inc. 66,622 1,472
* Chattem, Inc. 82,200 1,471
* Ixia 125,581 1,469
Myers Industries, Inc. 120,746 1,463
State Auto Financial Corp. 62,548 1,463
* Siliconix, Inc. 31,905 1,458
Gabelli Asset Management Inc. 36,600 1,457
* Savient Pharmaceuticals Inc. 315,476 1,454
* Inverness Medical Innovations, Inc. 66,601 1,451
* Molecular Devices Corp. 76,301 1,449
* Concurrent Computer Corp. 331,485 1,448
* Tenneco Automotive, Inc. 216,442 1,448
Republic Bancshares, Inc. 45,931 1,445
Saul Centers, Inc. REIT 50,405 1,445
Pilgrim's Pride Corp. 88,490 1,445
Hancock Fabrics, Inc. 99,751 1,444
* Mobile Mini, Inc. 73,171 1,443
* Metrologic Instruments, Inc. 53,356 1,441
Deltic Timber Corp. 47,338 1,439
Central Parking Corp. 96,343 1,438
Presidential Life Corp. 109,220 1,437
* Synaptics Inc. 95,560 1,431
WSFS Financial Corp. 31,823 1,427
Harleysville Group, Inc. 71,715 1,426
Urstadt Biddle Properties Class A REIT 100,601 1,424
Quaker City Bancorp, Inc. 30,475 1,419
Kenneth Cole Productions, Inc. 48,250 1,419
* AMN Healthcare Services, Inc. 82,484 1,415
Apogee Enterprises, Inc. 124,593 1,414
CCBT Financial Cos. Inc. 40,341 1,410
* Silicon Graphics, Inc. 1,028,561 1,409
Lance, Inc. 93,309 1,402
Pope & Talbot, Inc. 79,344 1,397
Tompkins Trustco, Inc. 30,331 1,397
* Forrester Research, Inc. 78,070 1,395
Ameron International Corp. 40,100 1,391
* Playtex Products, Inc. 179,742 1,389
* MTR Gaming Group Inc. 134,762 1,388
* MSC.Software Corp. 146,831 1,388
* A.C. Moore Arts & Crafts, Inc. 72,028 1,387
* CorVel Corp. 36,794 1,383
* Computer Network Technology Corp. 145,000 1,383
SWS Group, Inc. 77,647 1,382
* Pericom Semiconductor Corp. 129,611 1,381
OceanFirst Financial Corp. 50,855 1,381
31
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* NeoPharm, Inc. 75,341 $ 1,380
* Talk America Holdings, Inc. 119,731 1,379
NUI Corp. 85,426 1,377
Bank of Granite Corp. 63,182 1,376
* Herley Industries Inc. 66,466 1,376
* Intrado Inc. 62,480 1,371
* Navigators Group, Inc. 44,404 1,371
* Metris Cos., Inc. 308,523 1,370
First Busey Corp. 50,710 1,369
Courier Corp. 35,576 1,369
* Lexicon Genetics Inc. 232,043 1,367
Banner Corp. 54,338 1,367
Vector Group Ltd. 83,702 1,366
* Universal Display Corp. 99,894 1,366
* Citizens, Inc. 144,807 1,366
* Steven Madden, Ltd. 66,900 1,365
Holly Corp. 49,421 1,359
Coachmen Industries, Inc. 74,942 1,357
* SciClone Pharmaceuticals, Inc. 199,518 1,353
CityBank Lynnwood WA 41,590 1,352
* The Wet Seal, Inc. Class A 136,161 1,347
Peoples Bancorp, Inc. 45,518 1,343
LSI Industries Inc. 99,412 1,342
First Source Corp. 62,356 1,341
First Bancorp (NC) 42,701 1,340
* Group 1 Software, Inc. 75,954 1,338
* Concur Technologies, Inc. 138,015 1,336
Ennis Business Forms, Inc. 86,800 1,328
* OSI Systems Inc. 69,100 1,327
Skyline Corp. 38,029 1,326
* J. Jill Group, Inc. 103,900 1,321
Movado Group, Inc. 46,723 1,319
McGrath Rent Corp. 48,376 1,318
Old Second Bancorp, Inc. 26,617 1,318
* CCC Information Services Group 77,858 1,316
* Antigenics, Inc. 115,928 1,312
* Cole National Corp. Class A 65,579 1,312
* J & J Snack Foods Corp. 34,627 1,308
Keithley Instruments Inc. 70,958 1,299
* Interface, Inc. 234,660 1,298
Troy Financial Corp. 36,966 1,294
Great Lakes, Inc. REIT 82,401 1,294
Peoples Holding Co. 39,196 1,293
* Salem Communications Corp. 47,643 1,292
* EPIQ Systems, Inc. 75,350 1,291
* Avatar Holding, Inc. 34,896 1,289
North Pittsburgh Systems, Inc. 68,122 1,288
HEICO Corp. 70,762 1,288
Virginia Financial Group, Inc. 36,221 1,287
* Audiovox Corp. 99,998 1,284
* Maxygen Inc. 120,766 1,284
CT Communications, Inc. 94,833 1,280
* Columbia Laboratories Inc. 203,200 1,280
* MarineMax, Inc. 65,831 1,279
* Presstek, Inc. 175,140 1,273
* Tollgrade Communications, Inc. 72,473 1,270
* Vicor Corp. 111,311 1,270
* Parker Drilling Co. 497,860 1,269
* Universal American Financial Corp. 128,099 1,269
* Playboy Enterprises, Inc. Class B 78,406 1,267
Churchill Downs, Inc. 34,999 1,267
* Diversa Corp. 136,689 1,264
Midwest Banc Holdings, Inc. 56,728 1,262
* Regent Communications, Inc. 198,766 1,262
* Verint Systems Inc. 55,797 1,259
Financial Institutions, Inc. 44,525 1,257
* 1-800-FLOWERS.COM, Inc. 113,526 1,256
S.Y. Bancorp, Inc. 61,066 1,256
* Asbury Automotive Group, Inc. 70,050 1,255
* Central European Distribution Corp. 39,671 1,254
CSS Industries, Inc. 40,350 1,251
* Pegasus Solutions Inc. 119,337 1,249
Cascade Natural Gas Corp. 59,244 1,249
First Indiana Corp. 66,416 1,245
* Closure Medical Corp. 36,597 1,242
Arrow Financial Corp. 44,568 1,238
BEI Technologies, Inc. 61,716 1,234
Penn Engineering &
Manufacturing Corp. 64,751 1,232
CB Bancshares Inc. (HI) 19,552 1,231
* Clark, Inc. 63,547 1,223
* Verisity Ltd. 95,880 1,222
Mission West Properties Inc. REIT 94,180 1,220
* Strattec Security Corp. 19,997 1,218
Sturm, Ruger & Co., Inc. 106,903 1,214
* Oplink Communications, Inc. 507,518 1,213
* Sequa Corp. Class A 24,641 1,207
* Credit Acceptance Corp. 78,829 1,206
* Bally Total Fitness Holding Corp. 171,532 1,201
* PDF Solutions, Inc. 80,338 1,197
* FalconStor Software, Inc. 136,734 1,195
* iPayment Holdings, Inc. 34,900 1,187
* Stein Mart, Inc. 143,896 1,186
* Renaissance Learning, Inc. 49,065 1,181
* Lightbridge, Inc. 129,415 1,178
Great Southern Bancorp, Inc. 25,354 1,176
* Stamps.com Inc. 189,374 1,174
* Kensey Nash Corp. 50,497 1,174
Union Bankshares Corp. 38,486 1,174
First Place Financial Corp. 60,002 1,172
32
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Portfolio Recovery Associates, Inc. 44,104 $ 1,171
* Triton PCS, Inc. 209,655 1,170
* K-V Pharmaceutical Co. Class B 45,112 1,169
Connecticut Water Services, Inc. 42,224 1,167
Robbins & Myers, Inc. 61,408 1,166
First National Corp. 38,815 1,165
* Conceptus, Inc. 109,638 1,164
Partners Trust Financial Group, Inc. 34,021 1,157
The Standard Register Co. 68,722 1,157
Bank of the Ozarks, Inc. 51,376 1,156
* Drugstore.com, Inc. 209,832 1,156
Calgon Carbon Corp. 186,110 1,156
* Dura Automotive Systems, Inc. 89,745 1,146
* Neoware Systems, Inc. 83,522 1,144
Second Bancorp, Inc. 43,199 1,140
* infoUSA Inc. 153,688 1,140
* SeeBeyond Technology Corp. 265,811 1,140
Seacoast Banking Corp. of Florida 65,462 1,136
Pennrock Financial Services Corp. 36,542 1,136
* Wackenhut Corrections Corp. 49,567 1,130
* White Electronic Designs Corp. 127,890 1,125
UniFirst Corp. 47,460 1,125
* The TriZetto Group, Inc. 173,938 1,122
Vital Signs, Inc. 34,215 1,119
* Digimarc Corp. 83,956 1,117
* Gulfmark Offshore, Inc. 79,745 1,116
* OpenTV Corp. 332,899 1,115
Midland Co. 47,051 1,111
* Input/Output, Inc. 245,752 1,108
* Portal Software, Inc. 164,251 1,105
* Entrust, Inc. 270,900 1,105
* Komag, Inc. 75,235 1,101
Building Materials Holding Corp. 70,685 1,098
Standard Commercial Tobacco Co. 54,597 1,096
Camden National Corp. 36,078 1,095
Lakeland Bancorp, Inc. 67,954 1,091
* Astec Industries, Inc. 88,565 1,087
* Saga Communications, Inc. 58,589 1,086
* PalmSource, Inc. 49,644 1,082
* Stoneridge, Inc. 71,462 1,076
Startek, Inc. 26,351 1,075
* Keynote Systems Inc. 90,016 1,071
First Oak Brook Bancshares, Inc. 35,634 1,069
Baldwin & Lyons, Inc. Class B 38,003 1,065
* Bioreliance Corp. 22,143 1,059
* Peet's Coffee & Tea Inc. 60,800 1,058
Young Innovations, Inc. 29,400 1,058
Integral Systems, Inc. 49,062 1,056
* Steiner Leisure Ltd. 73,724 1,054
* Aftermarket Technology Corp. 76,801 1,054
* Crown Media Holdings, Inc. 127,200 1,052
* ImmunoGen, Inc. 205,458 1,038
Peapack Gladstone Financial Corp. 33,452 1,037
* PRG-Schultz International, Inc. 211,307 1,035
Coca-Cola Bottling Co. 19,354 1,035
Farmers Capital Bank Corp. 30,415 1,034
* InterCept, Inc. 91,440 1,032
* CardioDynamics International Corp. 172,801 1,032
* Global Power Equipment Group Inc. 154,296 1,031
Angelica Corp. 46,614 1,026
United Industrial Corp. 56,629 1,022
* Embarcadero Technologies, Inc. 63,640 1,015
* MTC Technologies, Inc. 31,500 1,015
* Tweeter Home
Entertainment Group, Inc. 107,207 1,013
SJW Corp. 11,300 1,009
* Volt Information Sciences Inc. 44,624 1,009
Capstead Mortgage Corp. REIT 59,754 1,003
Pennfed Financial Services, Inc. 29,664 994
Blair Corp. 40,818 994
The Buckle, Inc. 44,802 992
Oshkosh B' Gosh, Inc. Class A 46,198 991
* PEC Solutions, Inc. 57,933 982
* Palm Harbor Homes, Inc. 54,895 981
* AAON, Inc. 50,530 981
NBC Capital Corp. 36,634 977
* iGATE Corp. 123,821 972
* Immunomedics Inc. 213,046 971
* Alloy, Inc. 186,418 971
* IXYS Corp. 103,625 969
Sanderson Farms, Inc. 24,000 967
* Semitool, Inc. 89,979 965
* Hudson Highland Group, Inc. 40,400 964
* Rewards Network Inc. 90,201 962
Gorman-Rupp Co. 36,114 953
Capital Southwest Corp. 15,300 949
* Charlotte Russe Holding Inc. 67,900 941
* Navigant International, Inc. 67,900 940
Riviana Foods, Inc. 34,302 940
Republic Bancorp, Inc. Class A 47,930 937
Shenandoah Telecommunications Co. 18,101 928
* Blue Rhino Corp. 66,301 921
Advanced Marketing Services 80,445 917
* Pozen Inc. 89,865 917
Lawson Products, Inc. 27,547 914
National Presto Industries, Inc. 25,235 912
* WatchGuard Technologies, Inc. 155,913 907
33
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* TransMontaigne Inc. 140,146 $ 904
* Monolithic System Technology, Inc. 105,000 898
* Hollis-Eden Pharmaceuticals, Inc. 81,166 894
* Lydall, Inc. 87,515 892
Advanta Corp. Class B 70,048 891
Hanmi Financial Corp. 44,792 886
* bebe stores, inc 33,830 878
CoBiz Inc. 47,334 872
* Learning Tree International, Inc. 50,132 872
* Vail Resorts Inc. 51,249 871
* CNA Surety Corp. 91,453 870
* Covenant Transport, Inc. 45,669 868
German American Bancorp 49,133 860
Triarc Cos., Inc. Class A 72,400 856
BancFirst Corp. 14,560 855
* Boston Communications Group, Inc. 91,192 847
* Paxson Communications Corp. 219,640 846
* Boston Beer Co., Inc. Class A 45,101 818
Citizens 1st Bancorp, Inc. 35,750 815
* Atari, Inc. 192,952 810
* Energy Conversion Devices, Inc. 89,683 810
CFS Bancorp, Inc. 54,543 809
* Skechers U.S.A., Inc. 99,261 809
* Radiant Systems, Inc. 95,196 801
* National Healthcare Corp. 39,696 790
Stepan Co. 30,676 787
Syntel, Inc. 31,637 782
* Tier Technologies, Inc. 94,875 775
* Gene Logic Inc. 149,183 774
* Exact Sciences Corp. 75,879 768
* The Great Atlantic &
Pacific Tea Co., Inc. 91,395 768
* P.A.M. Transportation Services, Inc. 35,748 763
* QAD Inc. 61,220 751
* Gulf Island Fabrication, Inc. 43,504 741
Bay View Capital Corp. 340,789 729
* barnesandnoble.com inc 244,967 723
* Drexler Technology Corp. 52,820 722
* Party City Corp. 56,294 714
* PC Connection, Inc. 85,324 714
* McLeod USA Inc. 479,600 710
* Medical Staffing Network Holdings, Inc. 63,991 701
* Specialty Laboratories, Inc. 41,200 692
* CompuCom Systems, Inc. 131,508 689
* Infonet Services Corp. 401,299 682
Computer Programs and Systems, Inc. 33,140 667
* Wesco International, Inc. 74,685 661
* Vastera, Inc. 164,423 658
* Martha Stewart Living Omnimedia, Inc. 66,700 657
* Powell Industries, Inc. 34,120 653
* 1-800 CONTACTS, Inc. 31,110 653
* Beasley Broadcast Group, Inc. 39,710 652
Alico, Inc. 18,718 651
* Del Laboratories, Inc. 25,937 648
* Ulticom, Inc. 67,000 647
* Neoforma, Inc. 60,400 643
* MedQuist, Inc. 39,627 636
* GSI Commerce, Inc. 64,699 632
* Virage Logic Corp. 61,762 628
* NetRatings, Inc. 54,600 624
* Kirkland's, Inc. 35,250 623
* Arena Pharmaceuticals, Inc. 98,953 614
Franklin Financial Corp. 19,842 610
PMA Capital Corp. Class A 117,006 599
NL Industries, Inc. 50,900 596
* Shoe Carnival, Inc. 33,451 595
* Dril-Quip, Inc. 36,490 595
Royal Bancshares
of Pennsylvania, Inc. 23,281 594
* General Binding Corp. 32,207 580
Advanta Corp. Class A 44,380 576
* Collins & Aikman Corp. 133,099 576
Deb Shops, Inc. 25,600 550
* Guess?, Inc. 45,525 549
Acadia Realty Trust REIT 43,199 540
Ingles Markets, Inc. 52,549 540
* Lannett Company, Inc. 31,701 533
* Brucker BioSciences Corp. 113,978 519
Dover Downs Gaming &
Entertainment, Inc. 54,527 516
* Mothers Work, Inc. 20,826 508
* FTD, Inc. 20,250 499
Arden Group Inc. Class A 6,307 489
* The Boyds Collection, Ltd. 111,191 473
* Pegasystems Inc. 54,192 467
* Galyan's Trading Co. 36,393 438
Curtiss-Wright Corp. Class B 9,600 431
* Restoration Hardware, Inc. 88,263 419
* NASSDA Corp. 47,963 348
Crawford & Co. Class B 45,567 322
* McDATA Corp. 29,100 277
* Alliance Imaging, Inc. 74,100 274
* ICT Group, Inc. 22,400 263
Tecumseh Products Co. Class B 5,200 245
* Dynacq Healthcare, Inc 31,190 240
Urstadt Biddle Properties REIT 16,400 223
Bandag, Inc. Class A 4,500 182
* Raytech Corp. 42,594 141
34
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
HEICO Corp. Class A 9,710 $ 136
* Revlon, Inc. Class A 60,274 135
* Insurance Auto Auctions, Inc. 3,529 46
* SureBeam Corp. 157,211 34
* Magnum Hunter Resources Inc.
Warrants Exp. 3/21/2005 36,400 20
* Microstrategy Inc.
Warrants Exp. 6/24/2007 11,775 3
* Optical Cable Corp.
Warrants Exp. 10/24/2007 953 2
Timco Aviation Services, Inc.
8.00%, 1/2/2007 Cvt 11,722 1
* CSF Holdings Inc. Contingent
Litigation Rights 29,125 --
* ProcureNet, Inc. 136,100 --
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $5,260,263) $ 7,019,949
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (6.1%)(1)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.06%, 1/14/2004 $ 2,000 1,999
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
0.98%, 1/2/2004 34,863 34,863
0.99%, 1/2/2004--Note E 390,557 390,557
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS (Cost $427,419 ) $ 427,419
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (105.8%) (Cost $5,687,682) $ 7,447,368
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-5.8%)
- --------------------------------------------------------------------------------
Other Assets--Note B 58,162
Security Lending Collateral
Payable to Brokers--Note E (390,557)
Other Liabilities (77,458)
----------------
$ (409,853)
----------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $7,037,515
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1) The fund invests a portion of its cash reserves in equity markets through
the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash
investment positions represent 99.9% and 5.9%, respectively, of net assets.
See Note C in Notes to Financial Statements.
(2) Security has been segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $ 6,294,219
Overdistributed Net Investment Income (7,071)
Accumulated Net Realized Losses (1,009,586)
Unrealized Appreciation
Investment Securities 1,759,686
Futures Contracts 267
- --------------------------------------------------------------------------------
NET ASSETS $7,037,515
================================================================================
Investor Shares--Net Assets
Applicable to 215,519,024 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 4,870,517
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 22.60
================================================================================
Admiral Shares--Net Assets
Applicable to 46,731,224 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 1,056,102
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 22.60
================================================================================
Institutional Shares--Net Assets
Applicable to 49,134,957 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 1,110,896
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 22.61
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
35
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)
- --------------------------------------------------------------------------------
* Novell, Inc. 542,353 $ 5,706
* PMC Sierra Inc. 247,600 4,989
* International Rectifier Corp. 93,146 4,602
* Rite Aid Corp. 748,621 4,522
* Sirius Satellite Radio, Inc. 1,400,659 4,426
* Foundry Networks, Inc. 156,468 4,281
GTECH Holdings Corp. 86,180 4,265
* Cognizant Technology Solutions Corp. 91,346 4,169
* Rambus Inc. 127,917 3,927
* DaVita, Inc. 96,545 3,765
* Mid Atlantic Medical Services, Inc. 57,753 3,742
* Red Hat, Inc. 199,324 3,741
* Cypress Semiconductor Corp. 171,776 3,669
* XM Satellite Radio Holdings, Inc. 136,812 3,606
Catellus Development Corp. 143,015 3,450
The Chicago Mercantile Exchange 47,476 3,435
* Western Digital Corp. 287,625 3,391
* Arrow Electronics, Inc. 146,360 3,387
Donaldson Co., Inc. 56,613 3,349
* American Tower Corp. Class A 303,802 3,287
* ImClone Systems, Inc. 81,199 3,220
* Pharmaceutical Resources, Inc. 49,048 3,195
Applebee's International, Inc. 81,030 3,182
Certegy, Inc. 96,096 3,152
* Fisher Scientific International Inc. 75,898 3,140
* Monster Worldwide Inc. 140,413 3,083
* Getty Images, Inc. 61,014 3,059
* ITT Educational Services, Inc. 65,077 3,057
* AMR Corp. 230,655 2,987
PerkinElmer, Inc. 174,804 2,984
* Sepracor Inc. 123,000 2,943
* Renal Care Group, Inc. 71,416 2,942
Waddell & Reed Financial, Inc. 120,162 2,819
* Polycom, Inc. 143,510 2,801
Polaris Industries, Inc. 31,475 2,788
* Neurocrine Biosciences, Inc. 51,012 2,782
Medicis Pharmaceutical Corp. 38,812 2,767
* Education Management Corp. 88,042 2,733
* Edwards Lifesciences Corp. 89,896 2,704
CBRL Group, Inc. 70,630 2,702
* O'Reilly Automotive, Inc. 70,383 2,700
* Barnes & Noble, Inc. 82,128 2,698
Ruby Tuesday, Inc. 94,180 2,683
* Applied Micro Circuits Corp. 442,494 2,646
* UnitedGlobalCom Inc. Class A 310,291 2,631
* Varco International, Inc. 127,293 2,626
* Ultra Petroleum Corp. 105,621 2,600
* Integrated Device Technology Inc. 151,126 2,595
Autodesk, Inc. 105,360 2,590
* Mettler-Toledo International Inc. 61,272 2,586
Roper Industries Inc. 52,235 2,573
* Stericycle, Inc. 54,754 2,557
* The Corporate Executive Board Co. 54,764 2,556
* Sonus Networks, Inc. 335,267 2,535
* Gen-Probe Inc. 69,464 2,533
Graco, Inc. 63,130 2,532
* Advanced Fibre Communications, Inc. 124,312 2,505
* Martek Biosciences Corp. 37,948 2,465
Oshkosh Truck Corp. 48,258 2,463
* Avocent Corp. 67,212 2,455
* Semtech Corp. 106,612 2,423
* Invitrogen Corp. 34,609 2,423
UCBH Holdings, Inc. 61,951 2,414
* Covance, Inc. 89,395 2,396
* Atmel Corp. 398,323 2,394
* Andrx Group 99,263 2,386
* Pacific Sunwear of California, Inc. 112,798 2,382
* Integrated Circuit Systems, Inc. 83,489 2,379
Regis Corp. 60,173 2,378
* Cymer, Inc. 50,970 2,354
* Earthlink, Inc. 232,964 2,330
* Protein Design Labs, Inc. 129,118 2,311
* IDEXX Laboratories Corp. 49,798 2,305
Patina Oil & Gas Corp. 46,526 2,279
Claire's Stores, Inc. 120,824 2,276
* STERIS Corp. 100,646 2,275
* Performance Food Group Co. 62,798 2,271
* Apria Healthcare Group Inc. 79,428 2,261
* BearingPoint, Inc. 222,782 2,248
* Human Genome Sciences, Inc. 168,770 2,236
* Valassis Communications, Inc. 75,464 2,215
* Respironics, Inc. 48,843 2,202
Church & Dwight, Inc. 55,511 2,198
* Accredo Health, Inc. 69,327 2,191
* Cytyc Corp. 159,242 2,191
* Ascential Software Corp. 84,345 2,187
* Acxiom Corp. 117,770 2,187
* Grant Prideco, Inc. 167,460 2,180
* Varian Semiconductor
Equipment Associates, Inc. 49,889 2,180
* DeVry, Inc. 86,295 2,169
* J.B. Hunt Transport Services, Inc. 80,262 2,168
* Charles River Laboratories, Inc. 62,815 2,156
Cooper Cos., Inc. 45,545 2,147
* Navistar International Corp. 44,815 2,146
36
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Affiliated Managers Group, Inc. 30,830 $ 2,145
* Western Wireless Corp. Class A 116,646 2,142
* Techne Corp. 56,105 2,120
* The Yankee Candle Co., Inc. 77,514 2,118
* Affymetrix, Inc. 85,546 2,105
Jack Henry & Associates Inc. 102,011 2,099
* Varian, Inc. 49,333 2,059
* Brocade Communications
Systems, Inc. 355,431 2,054
* OmniVision Technologies, Inc. 37,098 2,050
* INAMED Corp. 42,531 2,044
* Marvel Enterprises Inc. 70,197 2,043
Helmerich & Payne, Inc. 72,730 2,031
* Hot Topic, Inc. 68,945 2,031
* CACI International, Inc. 41,655 2,025
* FMC Technologies Inc. 86,145 2,007
* Hovnanian Enterprises Inc.
Class A 22,921 1,996
* Netscreen Technologies, Inc. 80,346 1,989
* Avid Technology, Inc. 41,055 1,971
* Pharmaceutical Product
Development, Inc. 73,015 1,969
* Nextel Partners, Inc. 145,728 1,960
Engineered Support
Systems, Inc. 35,525 1,956
* NII Holdings Inc. 26,182 1,954
W Holding Co., Inc. 104,686 1,948
* Tetra Tech, Inc. 78,186 1,944
* Key Energy Services, Inc. 188,274 1,941
* Emmis Communications, Inc. 71,577 1,936
* ResMed Inc. 46,561 1,934
* Linens 'n Things, Inc. 64,129 1,929
* United Defense Industries Inc. 60,424 1,926
* Tom Brown, Inc. 59,497 1,919
Global Payments Inc. 40,551 1,911
ADTRAN Inc. 61,562 1,908
* Scotts Co. 32,148 1,902
* Cree, Inc. 106,400 1,882
* Avnet, Inc. 86,779 1,880
East West Bancorp, Inc. 34,882 1,872
* Skyworks Solutions, Inc. 215,073 1,871
* Plantronics, Inc. 57,247 1,869
* Dade Behring Holdings Inc. 52,243 1,867
Joy Global Inc. 71,081 1,859
International Bancshares Corp. 39,186 1,848
* DoubleClick Inc. 179,476 1,834
* OSI Pharmaceuticals, Inc. 56,814 1,830
* Arbitron Inc. 43,666 1,822
* NBTY, Inc. 67,533 1,814
* Take-Two Interactive
Software, Inc. 62,822 1,810
* Evergreen Resources, Inc. 55,666 1,810
Station Casinos, Inc. 59,064 1,809
* Vitesse Semiconductor Corp. 307,582 1,806
* Silicon Valley Bancshares 50,035 1,805
* Amkor Technology, Inc. 98,446 1,793
* P.F. Chang's China Bistro, Inc. 34,921 1,777
* CEC Entertainment Inc. 37,333 1,769
* Trimble Navigation Ltd. 47,261 1,760
* GrafTech International Ltd. 129,963 1,755
* FLIR Systems, Inc. 48,019 1,753
* Cabot Microelectronics Corp. 35,610 1,745
* Hyperion Solutions Corp. 57,815 1,743
* Alkermes, Inc. 128,998 1,741
* Kronos, Inc. 43,819 1,736
* Sonic Corp. 56,522 1,731
* Lexar Media, Inc. 98,980 1,725
* Copart, Inc. 104,277 1,721
* The Medicines Co. 58,046 1,710
* Interdigital
Communications Corp. 82,012 1,693
* Silicon Laboratories Inc. 39,096 1,690
Strayer Education, Inc. 15,516 1,689
* SCP Pool Corp. 51,258 1,675
* Tractor Supply Co. 42,954 1,670
Herman Miller, Inc. 68,716 1,668
* Landstar System, Inc. 43,828 1,667
* Crown Castle International Corp. 150,641 1,662
* Amylin Pharmaceuticals, Inc. 74,678 1,659
* Swift Transportation Co., Inc. 78,679 1,654
Southwest Bancorporation
of Texas, Inc. 42,054 1,634
* Charter Communications, Inc. 406,371 1,634
* IGEN International, Inc. 27,611 1,627
* Macromedia, Inc. 90,896 1,622
Mentor Corp. 67,385 1,621
* Sylvan Learning Systems, Inc. 56,270 1,620
* VISX Inc. 69,661 1,613
* Panera Bread Co. 40,644 1,607
Ryland Group, Inc. 18,066 1,601
* Alliance Data Systems Corp. 57,698 1,597
Cognex Corp. 56,426 1,593
* Alliance Gaming Corp. 64,401 1,587
* Akamai Technologies, Inc. 147,370 1,584
* UNOVA, Inc. 68,880 1,581
* LifePoint Hospitals, Inc. 53,437 1,574
Invacare Corp. 38,827 1,567
* Micrel, Inc. 100,527 1,566
* Sybron Dental Specialties, Inc. 55,484 1,559
* Waste Connections, Inc. 41,156 1,554
* Cerner Corp. 40,935 1,549
* Cumulus Media Inc. 69,514 1,529
* Brooks Automation, Inc. 62,747 1,517
Thor Industries, Inc. 26,921 1,513
37
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Timberland Co. 28,881 $ 1,504
Fred's, Inc. 48,187 1,493
* The Titan Corp. 68,005 1,483
* AMERIGROUP Corp. 34,677 1,479
Western Gas Resources, Inc. 31,301 1,479
* Kroll Inc. 56,612 1,472
* Axcelis Technologies, Inc. 143,609 1,468
* Anteon International Corp. 40,632 1,465
* Applera Corp.-Celera
Genomics Group 104,862 1,459
* Mentor Graphics Corp. 99,994 1,454
Diagnostic Products Corp. 31,289 1,436
* Power Integrations, Inc. 42,851 1,434
* FileNET Corp. 52,933 1,433
* Odyssey Healthcare, Inc. 48,948 1,432
* Abgenix, Inc. 114,905 1,432
* Quiksilver, Inc. 80,139 1,421
* Telik, Inc. 61,577 1,417
Chesapeake Energy Corp. 104,241 1,416
* Catalina Marketing Corp. 69,713 1,405
* PETCO Animal Supplies, Inc. 45,770 1,394
Ethan Allen Interiors, Inc. 33,233 1,392
Matthews International Corp. 46,648 1,380
* Bio-Rad Laboratories, Inc.
Class A 23,932 1,380
MSC Industrial Direct Co., Inc.
Class A 50,176 1,380
Jefferies Group, Inc. 41,730 1,378
ADVO, Inc. 43,344 1,377
* VCA Antech, Inc. 44,150 1,368
* Silicon Storage Technology, Inc. 123,610 1,360
Winnebago Industries, Inc. 19,738 1,357
* Macrovision Corp. 59,965 1,355
Provident Financial Services Inc. 71,395 1,349
Hilb, Rogal and Hamilton Co. 41,884 1,343
* Gemstar-TV Guide
International, Inc. 265,852 1,343
* Wynn Resorts Ltd. 47,732 1,337
* Scientific Games Corp. 78,546 1,336
John Wiley & Sons Class A 51,287 1,335
Airgas, Inc. 62,128 1,335
Delta & Pine Land Co. 52,442 1,332
* Dionex Corp. 28,741 1,323
* Hecla Mining Co. 158,874 1,317
* Westport Resources Corp. 43,842 1,309
NDCHealth Corp. 51,047 1,308
* TriQuint Semiconductor, Inc. 184,479 1,304
* Wilson Greatbatch
Technologies, Inc. 30,632 1,295
* Cost Plus, Inc. 31,547 1,293
* Advanced Neuromodulation
Systems, Inc. 27,956 1,285
* Endo Pharmaceuticals
Holdings, Inc. 66,700 1,285
* Priority Healthcare Corp. Class B 53,205 1,283
* AirTran Holdings, Inc. 107,796 1,283
* Simpson Manufacturing Co. 25,035 1,273
* American Eagle Outfitters, Inc. 77,427 1,270
* CommScope, Inc. 77,094 1,259
* Urban Outfitters, Inc. 33,878 1,255
Select Medical Corp. 77,096 1,255
* Cal Dive International, Inc. 51,795 1,249
* Aspect Communications Corp. 78,922 1,244
* United Online, Inc. 74,026 1,243
* Commonwealth Telephone
Enterprises, Inc. 32,884 1,241
* McDATA Corp. Class A 129,674 1,236
* Southwestern Energy Co. 51,487 1,231
* Internet Security Systems, Inc. 64,805 1,220
Black Box Corp. 26,296 1,211
* Dycom Industries, Inc. 45,086 1,209
* Advanced Digital
Information Corp. 86,298 1,208
* RSA Security Inc. 84,968 1,207
FactSet Research Systems Inc. 31,525 1,205
* Unit Corp. 50,397 1,187
* Rare Hospitality International Inc. 48,445 1,184
* Esperion Therapeutics, Inc. 34,056 1,179
* CNET Networks, Inc. 172,574 1,177
* eFunds Corp. 67,671 1,174
St. Mary Land & Exploration Co. 41,082 1,171
* Maverick Tube Corp. 60,629 1,167
* MGI Pharma, Inc. 28,278 1,164
* Tuesday Morning Corp. 38,432 1,163
Wintrust Financial Corp. 25,738 1,161
Ametek, Inc. 23,932 1,155
* Hollywood Entertainment Corp. 83,746 1,152
* Asyst Technologies, Inc. 66,314 1,151
* Technitrol, Inc. 55,181 1,144
HON Industries, Inc. 26,401 1,144
* Men's Wearhouse, Inc. 45,608 1,141
* Borland Software Corp. 117,194 1,140
* Vertex Pharmaceuticals, Inc. 111,395 1,140
* Newfield Exploration Co. 25,473 1,135
* Navigant Consulting, Inc. 59,737 1,127
* Coeur D'Alene Mines Corp. 194,001 1,121
* ILEX Oncology, Inc. 52,664 1,119
* Digital Insight Corp. 44,898 1,118
* Ariba, Inc. 371,260 1,114
* IDT Corp. Class B 48,148 1,114
Florida Rock Industries, Inc. 20,261 1,111
* Journal Register Co. 53,514 1,108
* F5 Networks, Inc. 44,100 1,107
* Toll Brothers, Inc. 27,798 1,105
38
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Investment Technology Group, Inc. 68,414 $ 1,105
* Aeropostale, Inc. 40,224 1,103
* Tekelec 70,896 1,102
* Nektar Therapeutics 80,728 1,099
* Watson Wyatt & Co. Holdings 45,277 1,093
* AmSurg Corp. 28,793 1,091
* CUNO Inc. 24,218 1,091
* Informatica Corp. 105,628 1,088
* American Italian Pasta Co. 25,911 1,086
* Anixter International Inc. 41,897 1,084
* The Sports Authority, Inc. 28,200 1,083
* MKS Instruments, Inc. 37,298 1,082
* Crown Holdings, Inc. 119,354 1,081
Tootsie Roll Industries, Inc. 29,997 1,080
* Knight Trading Group, Inc. 73,761 1,080
* McDermott International, Inc. 90,270 1,079
* NPS Pharmaceuticals Inc. 34,598 1,064
* MAXIMUS, Inc. 27,160 1,063
* United Surgical
Partners International, Inc. 31,583 1,057
* Dobson Communications Corp. 160,805 1,056
* Penn National Gaming, Inc. 45,763 1,056
* Plexus Corp. 61,421 1,055
Christopher & Banks Corp. 53,855 1,052
Heartland Express, Inc. 43,422 1,050
John H. Harland Co. 38,437 1,049
* Kulicke & Soffa Industries, Inc. 72,404 1,041
* Fossil, Inc. 37,100 1,039
* ATMI, Inc. 44,699 1,034
* Rogers Corp. 23,394 1,032
* Ligand Pharmaceuticals Inc.
Class B 70,237 1,032
* Coherent, Inc. 43,047 1,025
* Progress Software Corp. 49,992 1,023
* Nabi Biopharmaceuticals 80,288 1,020
* DSP Group Inc. 40,947 1,020
* Northwest Airlines Corp. Class A 80,678 1,018
* Veeco Instruments, Inc. 35,999 1,015
* Kos Pharmaceuticals, Inc. 23,432 1,009
* Cray Inc. 101,561 1,009
* Manhattan Associates, Inc. 36,475 1,008
CVB Financial Corp. 52,168 1,006
* Aeroflex, Inc. 85,860 1,004
Delta Air Lines, Inc. 84,772 1,001
* Exar Corp. 58,563 1,000
* Choice Hotel International, Inc. 28,332 999
* GlobespanVirata, Inc. 168,910 993
* Ask Jeeves, Inc. 54,636 990
* Argosy Gaming Co. 38,041 989
* Lin TV Corp. 38,259 987
* Rayovac Corp. 46,964 984
* Electronics for Imaging, Inc. 37,796 983
* Oceaneering International, Inc. 35,031 981
* Eon Labs, Inc. 19,232 980
* Microsemi Corp. 39,797 978
* Kirby Corp. 27,931 974
* American Healthways Inc. 40,800 974
HCC Insurance Holdings, Inc. 30,594 973
* ProQuest Co. 32,699 963
* Openwave Systems Inc. 87,472 962
* EGL, Inc. 54,663 959
* InterMune Inc. 41,348 958
* eSPEED, Inc. Class A 40,889 957
* Dick's Sporting Goods, Inc. 19,600 954
* Sinclair Broadcast Group, Inc. 63,637 949
* NetFlix.com, Inc. 17,348 949
* CONMED Corp. 39,847 948
* Inveresk Research Group Inc. 38,310 947
* CoStar Group, Inc. 22,704 946
PolyMedica Corp. 35,862 944
* Cyberonics, Inc. 29,448 943
* Photon Dynamics, Inc. 23,369 940
* TIBCO Software Inc. 137,790 933
* Grey Wolf, Inc. 249,162 932
* Cirrus Logic 121,410 931
Perrigo Co. 59,228 931
* Websense, Inc. 31,799 930
* Conexant Systems, Inc. 186,988 929
* Mykrolis Corp. 57,695 928
* ValueClick, Inc. 102,012 926
* MicroStrategy Inc. 17,599 924
* Ultratech, Inc. 31,446 924
Grey Global Group Inc. 1,337 913
* eResearch Technology, Inc. 35,723 908
* United Natural Foods, Inc. 25,285 908
* Littelfuse, Inc. 31,498 908
* Altiris, Inc. 24,850 907
* NeighborCare Inc. 45,700 903
* Verity, Inc. 54,044 902
* Knight Transportation, Inc. 35,088 900
* Monaco Coach Corp. 37,799 900
New Century Financial Corp. 22,646 898
* Vicuron Pharmaceuticals Inc. 48,050 896
* Cincinnati Bell Inc. 176,620 892
K-Swiss, Inc. 37,034 891
* Select Comfort Corp. 35,900 889
* Headwaters Inc. 45,084 885
* Photronics Inc. 44,389 884
* Digital River, Inc. 39,998 884
* Symyx Technologies, Inc. 43,013 884
* Secure Computing Corp. 49,133 880
* RealNetworks, Inc. 153,561 877
* Dendrite International, Inc. 55,563 871
* Actel Corp. 35,997 868
39
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Pacer International, Inc. 42,898 $ 867
* USI Holdings Corp. 66,140 863
* ANSYS, Inc. 21,729 863
* Quest Software, Inc. 60,296 856
* Dot Hill Systems Corp. 56,501 856
* American Pharmaceuticals
Partners, Inc. 25,100 843
* Too Inc. 49,677 839
* Thoratec Corp. 64,430 838
* InfoSpace, Inc. 36,200 834
* Vignette Corp. 367,318 834
United Community Banks, Inc. 25,325 833
* Connetics Corp. 45,864 833
* Apex Silver Mines Ltd. 39,748 831
* Shuffle Master, Inc. 23,990 831
Boston Private
Financial Holdings, Inc. 33,405 830
* Genesis Microchip Inc. 45,900 828
* K-V Pharmaceutical Co. Class A 32,447 827
* Advanced Medical Optics, Inc. 42,003 825
* Orbital Sciences Corp. 68,459 823
* Primus Telecommunications
Group, Inc. 80,369 818
* Adolor Corp. 40,820 817
* Forward Air Corp. 29,464 810
* ScanSource, Inc. 17,694 807
* Spinnaker Exploration Co. 24,997 807
* Leapfrog Enterprises, Inc. 30,332 805
* FuelCell Energy, Inc. 61,800 803
* Pinnacle Systems, Inc. 94,052 802
* FEI Co. 35,652 802
* TTM Technologies, Inc. 47,470 801
Bank Mutual Corp. 70,313 801
* Wright Medical Group, Inc. 26,187 797
* Resources Connection, Inc. 29,132 796
* SRA International, Inc. 18,400 793
* Centene Corp. 28,301 793
* WMS Industries, Inc. 30,234 792
* Advanced Energy Industries, Inc. 30,315 790
* Digene Corp. 19,666 789
IMC Global Inc. 79,128 786
* Credence Systems Corp. 59,700 786
* XOMA Ltd. 118,200 780
* Bright Horizons
Family Solutions, Inc. 18,500 777
* Financial Federal Corp. 25,431 777
Helix Technology Corp. 37,734 777
* S1 Corp. 96,369 776
* Interactive Data Corp. 46,828 775
* Entravision Communications Corp. 69,846 775
* Micromuse Inc. 111,978 773
Sterling Bancshares, Inc. 57,498 766
* Guitar Center, Inc. 23,432 763
Surewest Communications 18,870 763
* ESS Technology, Inc. 44,699 760
* Magma Design Automation, Inc. 32,548 760
* TETRA Technologies, Inc. 31,290 758
* Transaction Systems
Architects, Inc. 33,493 758
Millennium Chemicals, Inc. 59,774 758
* Sotheby's Holdings Class A 55,355 756
* Superior Energy Services, Inc. 80,312 755
* InVision Technologies, Inc. 22,468 754
* Intuitive Surgical, Inc. 44,123 754
* Enzon Pharmaceuticals, Inc. 62,832 754
* Perot Systems Corp. 55,918 754
* AtheroGenics, Inc. 50,164 750
* Extreme Networks, Inc. 104,007 750
* Tularik, Inc. 46,080 744
* Packeteer, Inc. 43,630 741
* Magnum Hunter Resources Inc. 77,850 740
Barra, Inc. 20,844 740
* The Gymboree Corp. 42,832 738
* Steel Dynamics, Inc. 31,399 738
* Global Imaging Systems, Inc. 23,198 737
Rollins, Inc. 32,647 736
* Entegris Inc. 57,264 736
* 7-Eleven, Inc. 45,600 732
* ArthroCare Corp. 29,828 731
* Epicor Software Corp. 57,140 729
* Atrix Laboratories, Inc. 30,298 728
* WebEx Communications, Inc. 36,200 728
* Korn/Ferry International 54,399 726
* Retek Inc. 77,985 724
* Labor Ready, Inc. 54,970 720
* Integra LifeSciences Holdings 25,113 719
* Mercury Computer Systems, Inc. 28,864 719
* Cytec Industries, Inc. 18,700 718
Park Electrochemical Corp. 27,099 718
* Frontier Airlines, Inc. 50,328 718
* MEMC Electronic Materials, Inc. 74,568 717
* BioMarin Pharmaceutical Inc. 92,212 716
* Wabash National Corp. 24,226 710
* Ventana Medical Systems, Inc. 18,000 709
C & D Technologies, Inc. 36,863 707
* Haemonetics Corp. 29,538 706
* MICROS Systems, Inc. 16,232 704
* Movie Gallery, Inc. 37,627 703
* Multimedia Games Inc. 17,100 702
Arrow International, Inc. 28,064 701
* LTX Corp. 46,599 700
* Encore Acquisition Co. 28,411 700
* Agile Software Corp. 70,562 699
* Powerwave Technologies, Inc. 91,211 698
40
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Forest City Enterprise Class A 14,664 $ 697
* Onyx Pharmaceuticals, Inc. 24,651 696
* ON Semiconductor Corp. 107,450 693
CARBO Ceramics Inc. 13,509 692
* E.piphany Inc. 96,021 692
Connecticut Bancshares, Inc. 13,416 691
* Merit Medical Systems, Inc. 30,967 689
* Cubist Pharmaceuticals, Inc. 56,214 684
* Hanover Compressor Co. 61,300 683
Cabot Oil & Gas Corp. 23,282 683
* CIMA Labs Inc. 20,897 682
* Paxar Corp. 50,779 680
* Remec, Inc. 80,900 680
* Applied Films Corp. 20,542 678
Inter-Tel, Inc. 27,132 678
* Genta Inc. 65,096 678
* Triad Guaranty, Inc. 13,428 676
* VistaCare, Inc. 19,232 676
AptarGroup Inc. 17,332 676
* West Corp. 29,080 676
* The Warnaco Group, Inc. 42,348 675
* Kopin Corp. 100,576 675
* Finisar Corp. 215,400 674
* Per-Se Technologies, Inc. 43,971 671
* FTI Consulting, Inc. 28,664 670
* Sycamore Networks, Inc. 127,824 670
* Teletech Holdings Inc. 59,000 667
* FormFactor Inc. 33,594 665
G & K Services, Inc. Class A 18,090 665
* Silicon Image, Inc. 91,920 665
* The Advisory Board Co. 19,000 663
* Medarex, Inc. 106,460 663
* Hibbett Sporting Goods, Inc. 22,198 662
* Impax Laboratories, Inc. 45,599 656
* Benchmark Electronics, Inc. 18,848 656
* j2 Global Communications, Inc. 26,468 656
* Advent Software, Inc. 37,599 655
* webMethods, Inc. 71,462 654
* Eclipsys Corp. 56,014 652
* Interwoven Inc 51,340 649
* JDA Software Group, Inc. 39,229 648
* ExpressJet Holdings, Inc. 43,064 646
* ScanSoft, Inc. 120,800 643
* Transkaryotic Therapies, Inc. 40,600 634
* Quicksilver Resources, Inc. 19,598 633
* Insituform Technologies Inc.
Class A 38,263 631
* IDT Corp. 28,500 631
* The Goodyear Tire & Rubber Co. 79,838 628
* IDX Systems Corp. 23,300 625
* Wind River Systems Inc. 71,243 624
* American Medical
Systems Holdings, Inc. 28,603 624
* Elizabeth Arden, Inc. 31,215 622
* Gartner, Inc. Class B 56,999 620
* PTEK Holdings, Inc. 70,385 620
* R.H. Donnelley Corp. 15,549 619
* Enzo Biochem, Inc. 34,584 619
* Inspire Pharmaceuticals, Inc. 43,580 617
* ViaSat, Inc. 32,199 616
* Actuant Corp. 17,000 615
* Biosite Inc. 21,194 613
* HomeStore, Inc. 129,331 612
* SonicWALL, Inc. 78,342 611
* Meritage Corp. 9,214 611
* Remington Oil & Gas Corp. 30,942 609
* At Road, Inc. 45,764 609
* W-H Energy Services, Inc. 37,497 607
* Therasense, Inc. 29,900 607
* CTI Molecular Imaging, Inc. 35,800 605
* Papa John's International, Inc. 18,118 605
Harleysville National Corp. 20,081 604
* ICU Medical, Inc. 17,583 603
* Salix Pharmaceuticals, Ltd. 26,456 600
* United Therapeutics Corp. 26,100 599
* Priceline.com, Inc. 32,997 591
* ManTech International Corp. 23,600 589
* PSS World Medical, Inc. 48,450 585
* Artisan Components, Inc. 28,500 584
* Big 5 Sporting Goods Corp. 27,864 584
* Right Management Consultants, Inc. 31,264 583
* SERENA Software, Inc. 31,762 583
* Cable Design Technologies Corp. 64,799 583
AMCOL International Corp. 28,700 580
* aQuantive, Inc. 56,045 574
* Spanish Broadcasting System, Inc. 54,550 573
MacDermid, Inc. 16,721 573
* The Neiman Marcus Group, Inc. Class B 11,446 572
* Pixelworks, Inc. 51,600 570
* Sharper Image Corp. 17,432 569
* KEMET Corp. 41,494 568
* Insight Enterprises, Inc. 30,013 564
* Excel Technology, Inc. 17,112 562
* Align Technology, Inc. 33,707 556
* SafeNet, Inc. 18,050 555
* Alleghany Corp. 2,496 555
* aaiPharma Inc. 22,099 555
* Trimeris, Inc. 26,432 554
* Kyphon Inc. 22,326 554
Blyth, Inc. 17,200 554
41
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Standard Microsystem Corp. 21,899 $ 554
* Identix, Inc. 124,491 554
* Old Dominion Freight Line, Inc. 16,253 554
* Lionbridge Technologies, Inc. 57,635 554
Oakley, Inc. 39,950 553
Fremont General Corp. 32,585 551
* Lattice Semiconductor Corp. 56,900 551
* LabOne, Inc. 16,929 550
* Manugistics Group, Inc. 87,800 549
* Intergraph Corp. 22,914 548
* Itron, Inc. 29,637 544
* Immucor Inc. 26,675 544
* Alaris Medical, Inc. 35,698 543
* Newpark Resources, Inc. 113,075 542
* Parametric Technology Corp. 137,205 541
* SeaChange International, Inc. 35,100 541
* Continental Airlines, Inc.Class B 33,131 539
* Jo-Ann Stores, Inc. 26,396 538
* Gateway, Inc. 116,889 538
* Enterasys Networks, Inc. 143,361 538
* Lawson Software Inc. 65,279 537
* Avanex Corp. 107,369 536
* Hydrill Co. 22,383 536
Cubic Corp. 23,170 533
* Intermagnetics General Corp. 23,974 531
* ValueVision Media, Inc. 31,708 530
* K-V Pharmaceutical Co. Class B 20,400 529
EDO Corp. 21,389 527
* Energy Partners, Ltd. 37,888 526
* Harris Interactive Inc. 63,128 524
* Mediacom Communications Corp. 60,146 521
* California Pizza Kitchen, Inc. 25,900 521
* SurModics, Inc. 21,812 521
* Power-One, Inc. 48,080 521
* West Marine, Inc. 18,677 519
* Opsware, Inc. 70,050 518
* Keystone Automotive Industries, Inc. 20,400 517
* Possis Medical Inc. 26,170 517
* Wireless Facilities, Inc. 34,764 517
* The Children's Place
Retail Stores, Inc. 19,205 513
* Concord Communications, Inc. 25,705 513
PrivateBancorp, Inc. 11,264 513
* Verso Technologies, Inc. 160,003 512
* Planar Systems, Inc. 21,042 512
* Atwood Oceanics, Inc. 16,000 511
* Young Broadcasting Inc. 25,500 511
* Zoran Corp. 29,385 511
* SupportSoft, Inc. 38,750 510
* Daktronics, Inc. 20,200 508
Hollinger International, Inc. 32,512 508
* Coinstar, Inc. 27,949 505
* RehabCare Group, Inc. 23,699 504
* CompuCredit Corp. 23,675 504
* Quantum Corp. 160,899 502
* Group 1 Automotive, Inc. 13,831 501
* Gartner, Inc. Class A 44,144 499
* Netegrity, Inc. 48,322 498
* NetIQ Corp. 37,500 497
* Noven Pharmaceuticals, Inc. 32,535 496
* Cleveland-Cliffs Inc. 9,672 493
* Red Robin Gourmet Burgers 16,115 490
* Electro Scientific Industries, Inc. 20,554 489
* Pharmacopeia, Inc. 34,378 489
Wabtec Corp. 28,500 486
* Prima Energy Corp. 13,791 485
Arctic Cat, Inc. 19,552 483
* Tejon Ranch Co. 11,759 482
* Accredited Home Lenders Holding Co. 15,742 482
* Myriad Genetics, Inc. 37,100 477
* Harmonic, Inc. 65,692 476
* Genesco, Inc. 31,465 476
* TiVo Inc. 64,196 475
* The Dress Barn, Inc. 31,663 475
* Ceradyne, Inc. 13,865 472
* 4Kids Entertainment Inc. 18,131 472
Royal Gold, Inc. 22,398 469
Aaron Rents, Inc. Class B 23,248 468
* Zoll Medical Corp. 13,100 465
* CMGI Inc. 261,061 465
* Echelon Corp. 41,554 463
* Cell Genesys, Inc. 35,760 463
* Isle of Capri Casinos, Inc. 21,550 463
* OraSure Technologies, Inc. 57,800 460
* Brightpoint, Inc. 26,655 460
* Pre-Paid Legal Services, Inc. 17,593 460
* Electronics Boutique Holdings Corp. 20,032 459
* Westell Technologies, Inc. 72,608 458
* II-VI, Inc. 17,723 457
* Wild Oats Markets Inc. 35,300 456
* Sapient Corp. 81,171 455
* SonoSite, Inc. 21,200 454
* The Neiman Marcus Group, Inc.
Class A 8,443 453
* Exult Inc. 63,416 451
* Sterling Financial Corp. (Spokane) 13,121 449
* Autobytel Inc. 49,138 446
* GameStop Corp. 28,864 445
* Plains Resources Inc. 27,708 445
42
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Main Street Banks, Inc. 16,757 $ 444
* Anaren, Inc. 31,330 442
* Rainbow Technologies, Inc. 39,254 442
* EPIX Medical, Inc. 26,992 439
* ActivCard Corp. 55,597 438
* Transmeta Corp. 128,270 436
* Rudolph Technologies, Inc. 17,763 436
* Exelixis, Inc. 61,462 435
* Lone Star Technologies, Inc. 27,163 434
* Tyler Technologies, Inc. 44,668 430
* Spherion Corp. 43,799 429
* MatrixOne, Inc. 69,420 428
* Time Warner Telecom Inc. 42,200 427
* Cell Therapeutics, Inc. 49,030 427
Talx Corp. 18,520 427
* Net2Phone, Inc. 62,425 424
* USANA Health Sciences, Inc. 13,845 424
* Ameristar Casinos, Inc. 17,250 422
* Bombay Co. 51,846 422
Westcorp, Inc. 11,500 420
* Digitas Inc. 44,959 419
* Commercial Capital Bancorp., Inc. 19,560 419
* Dendreon Corp. 51,913 418
* Denbury Resources, Inc. 29,916 416
* Corixa Corp. 68,810 415
* AMC Entertainment, Inc. 27,300 414
Umpqua Holdings Corp. 19,850 413
* Integrated Silicon Solution, Inc. 26,330 412
* Inet Technologies, Inc. 34,246 411
* MemberWorks, Inc. 15,091 410
Franklin Electric, Inc. 6,766 409
* Information Holdings Inc. 18,449 408
* FreeMarkets, Inc. 60,773 407
* PalmOne, Inc. 34,595 406
* Chattem, Inc. 22,698 406
* Ixia 34,500 404
* Federal Agricultural
Mortgage Corp. Class C 12,600 403
* Trex Co., Inc. 10,600 403
* PAREXEL International Corp. 24,708 402
* William Lyon Homes, Inc. 6,400 402
* Concurrent Computer Corp. 91,700 401
* Metrologic Instruments, Inc. 14,809 400
* Molecular Devices Corp. 20,906 397
* Synaptics Inc. 26,500 397
* Siliconix, Inc. 8,632 394
* Genesee & Wyoming Inc. Class A 12,500 394
* Silicon Graphics, Inc. 287,300 394
* AMN Healthcare Services, Inc. 22,739 390
Kenneth Cole Productions, Inc. 13,149 387
* Forrester Research, Inc. 21,500 384
* Pericom Semiconductor Corp. 36,010 384
* A.C. Moore Arts & Crafts, Inc. 19,850 382
* Keane, Inc. 26,100 382
* Intrado Inc. 17,398 382
* Computer Network Technology Corp. 39,950 381
* Lexicon Genetics Inc. 64,600 380
* Teledyne Technologies, Inc. 20,178 380
* MTR Gaming Group Inc. 36,898 380
* MSC.Software Corp. 40,050 378
* Citizens, Inc. 40,120 378
* CV Therapeutics, Inc. 25,784 378
* SciClone Pharmaceuticals, Inc. 55,394 376
* Universal Display Corp. 27,400 375
* Steven Madden, Ltd. 18,350 374
Vector Group Ltd. 22,865 373
* Tanox, Inc. 25,100 373
* CorVel Corp. 9,900 372
* Sunrise Senior Living, Inc. 9,608 372
* Group 1 Software, Inc. 20,999 370
PFF Bancorp, Inc. 10,160 369
* J. Jill Group, Inc. 28,957 368
* The Wet Seal, Inc. Class A 37,049 366
* Geron Corp. 36,660 366
* Concur Technologies, Inc. 37,730 365
* Antigenics, Inc. 32,130 364
* Cole National Corp. Class A 18,171 363
* Salem Communications Corp. 13,300 361
* CCC Information Services Group 21,274 360
Keithley Instruments Inc. 19,615 359
* EPIQ Systems, Inc. 20,900 358
* Safeguard Scientifics, Inc. 88,454 357
* Maxygen Inc. 33,400 355
* Tollgrade Communications, Inc. 19,999 351
* Diversa Corp. 37,900 351
* Presstek, Inc. 48,131 350
* 1-800-FLOWERS.COM, Inc. 31,583 349
* Playboy Enterprises, Inc. Class B 21,600 349
* Verint Systems Inc. 15,450 349
* ChipPAC, Inc. 45,800 348
* Insight Communications Co., Inc. 33,714 348
Curtiss-Wright Corp. 7,700 346
S.Y. Bancorp, Inc. 16,847 345
BEI Technologies, Inc. 17,208 344
* Mattson Technology, Inc. 27,909 341
* Central European
Distribution Corp. 10,770 340
Gray Television, Inc. 22,486 340
Penn Virginia Corp. 6,100 339
* Serologicals Corp. 18,200 339
43
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Stratex Networks, Inc. 79,624 $ 338
* Verisity Ltd. 26,518 338
* Closure Medical Corp. 9,932 337
Penn Engineering &
Manufacturing Corp. 17,700 337
Frontier Oil Corp. 19,351 333
World Fuel Services Corp. 9,803 333
* Stein Mart, Inc. 39,899 329
* FalconStor Software, Inc. 37,600 329
* Plug Power, Inc. 45,324 329
* American Management Systems, Inc. 21,786 328
* Stamps.com Inc. 52,931 328
Net.Bank, Inc. 24,550 328
* General Communication, Inc. 37,453 326
* Kensey Nash Corp. 14,000 326
* Lightbridge, Inc. 35,700 325
* PDF Solutions, Inc. 21,800 325
* WFS Financial, Inc. 7,646 325
* Conceptus, Inc. 30,364 322
Bank of the Ozarks, Inc. 14,300 322
* Renaissance Learning, Inc. 13,350 321
* Imagistics International Inc. 8,533 320
* iPayment Holdings, Inc. 9,411 320
Bowne & Co., Inc. 23,563 320
* Triton PCS, Inc. 57,250 319
Scottish Annuity &
Life Holdings, Ltd. 15,371 319
* Portfolio Recovery
Associates, Inc. 12,000 319
* Regeneron Pharmaceuticals, Inc. 21,564 317
* Drugstore.com, Inc. 57,210 315
* Neoware Systems, Inc. 22,997 315
* White Electronic Designs Corp. 35,600 313
* infoUSA Inc. 42,200 313
* Columbia Laboratories Inc. 49,700 313
* Zymogenetics, Inc. 20,116 312
* The TriZetto Group, Inc. 48,100 310
* Portal Software, Inc. 45,957 309
* NCI Building Systems, Inc. 12,941 309
* SeeBeyond Technology Corp. 72,000 309
* OpenTV Corp. 91,619 307
* Entrust, Inc. 75,156 307
* Isis Pharmaceuticals, Inc. 46,992 305
* Astec Industries, Inc. 24,846 305
* Komag, Inc. 20,782 304
* Digimarc Corp. 22,844 304
Sonic Automotive, Inc. 13,148 301
* Comstock Resources, Inc. 15,600 301
* Keynote Systems Inc. 25,050 298
* Champion Enterprises, Inc. 42,423 297
* Albany Molecular Research, Inc. 19,764 297
* Saga Communications, Inc. 16,001 296
Integral Systems, Inc. 13,698 295
* America West Holdings Corp.
Class B 23,656 293
* Bioreliance Corp. 6,132 293
* PalmSource, Inc. 13,413 292
* Global Power Equipment Group Inc. 43,400 290
* Peet's Coffee & Tea Inc. 16,573 289
* Steiner Leisure Ltd. 20,174 288
Young Innovations, Inc. 8,000 288
* ESCO Technologies Inc. 6,566 287
* Mesa Air Group Inc. 22,699 283
* PRIMEDIA Inc. 100,072 283
The Trust Co. of New Jersey 7,100 282
* Finish Line, Inc. 9,400 282
* New Focus, Inc. 55,900 281
CTS Corp. 24,399 281
Max Re Capital Ltd. 12,500 281
* MTC Technologies, Inc. 8,700 280
* Embarcadero Technologies, Inc. 17,550 280
Oshkosh B' Gosh, Inc. Class A 13,027 280
* CardioDynamics International Corp. 46,790 279
Peapack Gladstone Financial Corp. 9,010 279
Hudson River Bancorp. Inc. 7,100 277
* Terayon Communications Systems, Inc. 61,080 275
* Systems & Computer Technology Corp. 16,805 275
* Alexion Pharmaceuticals, Inc. 16,100 274
* Semitool, Inc. 25,500 273
* AAON, Inc. 14,024 272
* Rewards Network Inc. 25,500 272
* Palm Harbor Homes, Inc. 15,198 272
* IXYS Corp. 28,998 271
* Immunomedics Inc. 59,200 270
Lindsay Manufacturing Co. 10,575 267
Gabelli Asset Management Inc. 6,700 267
* PEC Solutions, Inc. 15,700 266
* Charlotte Russe Holding Inc. 19,100 265
* MRO Software Inc. 19,616 264
* Mobile Mini, Inc. 13,199 260
* Pozen Inc. 25,499 260
* Core Laboratories NV 15,187 253
* Blue Rhino Corp. 18,200 253
* WatchGuard Technologies, Inc. 43,168 251
* Corvis Corp. 147,600 251
* Hollis-Eden Pharmaceuticals, Inc. 22,649 249
* Learning Tree International, Inc. 14,200 247
44
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Monolithic System Technology, Inc. 28,700 $ 245
* OSI Systems Inc. 12,700 244
* bebe stores, inc 9,350 243
Old Second Bancorp, Inc. 4,900 243
* Silgan Holdings, Inc. 5,683 242
Triarc Cos., Inc. Class A 20,300 240
* Paxson Communications Corp. 62,200 239
CoBiz Inc. 12,968 239
* Covenant Transport, Inc. 12,500 238
* Incyte Corp. 34,152 234
* Boston Beer Co., Inc. Class A 12,800 232
Brookfield Homes Corp. 9,000 232
Troy Financial Corp. 6,600 231
* Regent Communications, Inc. 35,900 228
* Energy Conversion Devices, Inc. 25,162 227
* Vicor Corp. 19,799 226
* Atari, Inc. 53,747 226
* Radiant Systems, Inc. 26,600 224
* Oplink Communications, Inc. 91,686 219
Syntel, Inc. 8,860 219
* PRAECIS Pharmaceuticals Inc. 33,899 218
* Exact Sciences Corp. 21,299 216
* McDATA Corp. 22,400 213
* Gene Logic Inc. 40,750 211
The Nautilus Group, Inc. 14,965 210
* Gulfmark Offshore, Inc. 14,700 206
* Drexler Technology Corp. 15,000 205
* Hawthorne Financial Corp. 7,300 204
* QAD Inc. 16,660 204
* Party City Corp. 16,050 204
* Input/Output, Inc. 45,085 203
Gibraltar Steel 8,021 202
* Heidrick & Struggles
International, Inc. 9,182 200
Cohu, Inc. 10,399 199
* barnesandnoble.com inc 67,334 199
Republic Bancshares, Inc. 6,299 198
* Global Industries Ltd. 38,430 198
* Medical Staffing
Network Holdings, Inc. 18,009 197
* Oil States International, Inc. 14,130 197
* PC Connection, Inc. 23,338 195
* Playtex Products, Inc. 24,600 190
* Navigators Group, Inc. 6,099 188
* NeoPharm, Inc. 10,240 188
* Talk America Holdings, Inc. 16,275 187
* DuPont Photomasks, Inc. 7,699 186
Computer Programs and
Systems, Inc. 9,200 185
* Vastera, Inc. 46,100 184
* ImmunoGen, Inc. 36,400 184
* 1-800 CONTACTS, Inc. 8,700 183
* Martha Stewart Living
Omnimedia, Inc. 18,500 182
* Avatar Holding, Inc. 4,894 181
* Del Laboratories, Inc. 7,205 180
* Beasley Broadcast Group, Inc. 10,900 179
* MedQuist, Inc. 11,100 178
* Ulticom, Inc. 18,350 177
* Alloy, Inc. 33,950 177
Churchill Downs, Inc. 4,846 175
Franklin Financial Corp. 5,700 175
* Audiovox Corp. 13,530 174
* Kirkland's, Inc. 9,800 173
* GSI Commerce, Inc. 17,661 172
* Crown Media Holdings, Inc. 20,600 170
* Virage Logic Corp. 16,700 170
* NetRatings, Inc. 14,709 168
Hanmi Financial Corp. 8,200 162
* General Binding Corp. 8,799 158
* Cross Country Healthcare, Inc. 10,562 158
* CuraGen Corp. 21,400 157
* Guess ?, Inc. 12,864 155
* Boston Communications Group, Inc. 16,315 152
* Fisher Communications, Inc. 2,958 151
* Lannett Company, Inc. 8,934 150
* Gentiva Health Services, Inc. 11,842 150
* RC2 Corp. 7,100 147
* SPSS, Inc. 8,199 147
* FTD, Inc. 5,791 143
Coca-Cola Bottling Co. 2,659 142
* Brucker BioSciences Corp. 31,065 141
Arden Group Inc. Class A 1,800 140
Sanderson Farms, Inc. 3,451 139
* Gulf Island Fabrication, Inc. 8,165 139
* Mothers Work, Inc. 5,600 137
* The Boyds Collection, Ltd. 30,810 131
* Pegasystems Inc. 15,179 131
* Metris Cos., Inc. 29,422 131
* Parker Drilling Co. 47,729 122
* Restoration Hardware, Inc. 24,200 115
Bel Fuse, Inc. Class B 3,400 111
Vital Signs, Inc. 3,299 108
* Dril-Quip, Inc. 6,599 108
* Infonet Services Corp. 56,934 97
* Specialty Laboratories, Inc. 5,700 96
* NASSDA Corp. 12,850 93
* iGATE Corp. 11,788 93
Shenandoah Telecommunications Co. 1,800 92
Curtiss-Wright Corp. Class B 2,000 90
* Vail Resorts Inc. 5,218 89
45
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Shoe Carnival, Inc. 4,900 $ 87
* Skechers U.S.A., Inc. 10,100 82
* P.A.M. Transportation Services, Inc. 3,650 78
* Alliance Imaging, Inc. 20,400 75
* ICT Group, Inc. 6,100 72
* Dynacq Healthcare, Inc 8,400 65
* Neoforma, Inc. 5,700 61
* Revlon, Inc. Class A 18,000 40
* SureBeam Corp. 90,150 19
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $754,267) $ 935,029
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.4%)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
1.07%, 1/2/2004 $ 2,000 2,000
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
0.98%, 1/2/2004 3,119 3,119
0.99%, 1/2/2004--Note E 26,915 26,915
- -------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS (Cost $32,034) 32,034
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (103.3%) (Cost $786,301) 967,063
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-3.3%)
- --------------------------------------------------------------------------------
Receivables for Investment Securities Sold 20,185
Other Assets--Note B 4,597
Security Lending Collateral Payable to Brokers--Note E (26,915)
Payables for Capital Shares Redeemed (22,699)
Other Liabilities (5,675)
----------------
$ (30,507)
----------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $ 936,556
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $ 859,694
Overdistributed Net Investment Income (732)
Accumulated Net Realized Losses (103,168)
Unrealized Appreciation 180,762
- --------------------------------------------------------------------------------
NET ASSETS $ 936,556
================================================================================
Investor Shares--Net Assets
Applicable to 69,344,328 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 906,824
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 13.08
================================================================================
Institutional Shares--Net Assets
Applicable to 2,270,911 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 29,732
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 13.09
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
46
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (100.0%)
- --------------------------------------------------------------------------------
* NTL Inc. 214,766 $ 14,980
United States Steel Corp. 286,641 10,038
Friedman, Billings, Ramsey Group, Inc. 342,447 7,904
Precision Castparts Corp. 173,157 7,863
* PacifiCare Health Systems, Inc. 115,890 7,834
Alliant Energy Corp. 306,338 7,628
Boise Cascade Corp. 227,960 7,491
* AmeriCredit Corp. 433,730 6,909
Developers Diversified Realty Corp. REIT 203,702 6,838
Mack-Cali Realty Corp. REIT 161,233 6,711
Chelsea Property Group REIT 119,830 6,568
The Macerich Co. REIT 145,978 6,496
United Dominion Realty Trust REIT 333,164 6,397
Martin Marietta Materials, Inc. 135,768 6,377
BorgWarner, Inc. 74,952 6,376
Great Plains Energy, Inc. 192,003 6,110
Ryder System, Inc. 176,026 6,011
Sky Financial Group, Inc. 229,932 5,965
Pentair, Inc. 130,134 5,947
Webster Financial Corp. 126,668 5,809
Valeant Pharmaceuticals International 230,582 5,799
OGE Energy Corp. 236,633 5,724
* Reliant Resources, Inc. 776,087 5,712
Colonial BancGroup, Inc. 327,758 5,677
Philadelphia Suburban Corp. 255,993 5,658
Cullen/Frost Bankers, Inc. 135,674 5,504
Washington Federal Inc. 193,401 5,493
First American Corp. 182,961 5,447
Rayonier Inc. 130,664 5,424
* Sybase, Inc. 263,000 5,413
Mills Corp. REIT 122,999 5,412
Arden Realty Group, Inc. REIT 175,941 5,338
American Capital Strategies, Ltd. 179,085 5,324
National Fuel Gas Co. 214,451 5,241
Federal Realty Investment Trust REIT 136,131 5,226
Snap-On Inc. 161,861 5,218
Cabot Corp. 162,687 5,180
Carlisle Co., Inc. 85,064 5,177
* Calpine Corp. 1,063,128 5,114
Vectren Corp. 207,001 5,103
American Financial Realty Trust REIT 299,172 5,101
StanCorp Financial Group, Inc. 80,794 5,080
Chesapeake Energy Corp. 370,301 5,029
Peabody Energy Corp. 120,080 5,009
Thornburg Mortgage, Inc. REIT 183,397 4,989
Harsco Corp. 112,933 4,949
* Louisiana-Pacific Corp. 275,760 4,931
Hawaiian Electric Industries Inc. 103,966 4,925
AGL Resources Inc. 168,019 4,889
* AnnTaylor Stores Corp. 125,157 4,881
Ventas, Inc. REIT 220,320 4,847
Camden Property Trust REIT 109,105 4,833
IKON Office Solutions, Inc. 406,161 4,817
Health Care Inc. REIT 133,501 4,806
Annaly Mortgage Management Inc. REIT 260,988 4,802
Pan Pacific Retail
Properties, Inc. REIT 100,265 4,778
CenterPoint
Properties Corp. REIT 63,649 4,767
* Borders Group, Inc. 214,815 4,709
CNF Inc. 137,647 4,666
Lubrizol Corp. 142,917 4,648
BancorpSouth, Inc. 195,773 4,644
Independence Community Bank Corp. 128,932 4,638
* Invitrogen Corp. 66,233 4,636
* Big Lots Inc. 324,458 4,611
Hudson United Bancorp 124,218 4,590
IndyMac Bancorp, Inc. REIT 154,000 4,588
BRE Properties Inc. Class A REIT 136,656 4,564
F.N.B. Corp. 128,157 4,543
* Allmerica Financial Corp. 147,160 4,528
Westamerica Bancorporation 90,709 4,508
Cummins Inc. 91,994 4,502
CBL & Associates Properties, Inc. REIT 79,595 4,497
* Service Corp. International 833,933 4,495
The South Financial Group, Inc. 161,187 4,491
* Allegheny Energy, Inc. 351,371 4,484
Crescent Real Estate, Inc. REIT 261,647 4,482
* Activision, Inc. 244,455 4,449
* BJ's Wholesale Club, Inc. 193,563 4,444
ONEOK, Inc. 200,799 4,434
* Andrew Corp. 383,525 4,415
WPS Resources Corp. 95,341 4,408
Whitney Holdings Corp. 106,361 4,360
Massey Energy Co. 209,027 4,348
* American Axle &
Manufacturing Holdings, Inc. 107,450 4,343
Arch Coal, Inc. 138,504 4,317
CarrAmerica Realty Corp. REIT 144,767 4,311
Furniture Brands
International Inc. 146,981 4,311
* Yellow Roadway Corp. 118,489 4,286
47
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Peoples Energy Corp. 101,744 $ 4,277
Lee Enterprises, Inc. 97,840 4,271
Shurgard Storage Centers,
Inc. Class A REIT 112,230 4,225
Healthcare Realty Trust Inc. REIT 116,632 4,170
IPC Holdings Ltd. 106,963 4,165
Realty Income Corp. REIT 104,124 4,165
NICOR Inc. 122,178 4,159
* The Neiman Marcus Group,
Inc. Class A 77,393 4,154
Briggs & Stratton Corp. 61,292 4,131
ArvinMeritor, Inc. 171,001 4,125
* Navistar International Corp. 85,757 4,107
* The MONY Group Inc. 130,298 4,077
HON Industries, Inc. 93,975 4,071
Westar Energy, Inc. 200,427 4,059
York International Corp. 110,219 4,056
Trustmark Corp. 138,327 4,049
Crane Co. 131,617 4,046
Piedmont Natural Gas, Inc. 93,073 4,045
* Newfield Exploration Co. 90,617 4,036
* Zale Corp. 75,839 4,035
* Kinder Morgan Management, LLC 93,607 4,021
Old National Bancorp 175,979 4,021
UGI Corp. Holding Co. 118,387 4,013
Reader's Digest Association, Inc. 273,581 4,011
* AGCO Corp. 198,320 3,994
HRPT Properties Trust REIT 394,582 3,981
First Midwest Bancorp, Inc. 122,660 3,975
Standard Pacific Corp. 81,298 3,947
Cooper Tire & Rubber Co. 184,126 3,937
* Toll Brothers, Inc. 98,763 3,927
Reckson Associates Realty Corp. REIT 160,725 3,906
Kennametal, Inc. 98,145 3,901
MDC Holdings, Inc. 60,389 3,895
Trizec Properties, Inc. REIT 250,661 3,860
Duquesne Light Holdings, Inc. 208,261 3,820
Raymond James Financial, Inc. 101,173 3,814
* Forest Oil Corp. 133,038 3,801
AmerUs Group Co. 108,481 3,794
Visteon Corp. 362,856 3,777
* United Stationers, Inc. 91,969 3,763
WGL Holdings Inc. 134,818 3,747
Highwood Properties, Inc. REIT 147,287 3,741
First BanCorp Puerto Rico 94,384 3,733
* American Greetings Corp. Class A 170,296 3,724
The Timken Co. 185,375 3,719
Thomas & Betts Corp. 162,258 3,714
Media General, Inc. Class A 56,987 3,710
Greater Bay Bancorp 129,977 3,702
First Industrial Realty Trust REIT 109,349 3,691
Essex Property Trust, Inc. REIT 56,565 3,633
* Terex Corp. 127,301 3,626
Beazer Homes USA, Inc. 36,899 3,604
* Avnet, Inc. 165,962 3,595
Lancaster Colony Corp. 79,543 3,592
Prentiss Properties Trust REIT 108,317 3,573
* Hercules, Inc. 292,384 3,567
Reinsurance Group of America, Inc. 92,128 3,561
SL Green Realty Corp. REIT 86,503 3,551
* Tommy Hilfiger Corp. 238,781 3,536
* Pediatrix Medical Group, Inc. 63,865 3,518
Alexander & Baldwin, Inc. 103,450 3,485
HCC Insurance Holdings, Inc. 109,117 3,470
Imation Corp. 98,600 3,466
Park National Corp. 30,502 3,451
Worthington Industries, Inc. 191,007 3,444
* CMS Energy Corp. 399,896 3,407
Chittenden Corp. 101,244 3,406
IDEX Corp. 81,797 3,402
Pennsylvania REIT 92,677 3,364
Trinity Industries, Inc. 109,061 3,363
Washington REIT 114,728 3,350
Citizens Banking Corp. 101,973 3,337
Pacific Capital Bancorp 90,530 3,333
Minerals Technologies, Inc. 55,764 3,304
* United Rentals, Inc. 170,809 3,290
Energen Corp. 79,895 3,278
Corn Products International, Inc. 95,027 3,274
Commercial Federal Corp. 122,150 3,263
MAF Bancorp, Inc. 77,728 3,257
Home Properties of New York, Inc. REIT 80,298 3,243
Extended Stay America, Inc. 223,882 3,242
Great Lakes Chemical Corp. 119,201 3,241
GATX Corp. 115,751 3,239
The Brink's Co. 143,058 3,235
United Bankshares, Inc. 103,656 3,234
* Flowserve Corp. 153,263 3,200
* Scholastic Corp. 93,935 3,198
Nationwide Health Properties, Inc. REIT 163,197 3,191
Callaway Golf Co. 188,629 3,178
* Crown Castle International Corp. 288,100 3,178
IDACORP, Inc. 105,964 3,170
The Pep Boys (Manny, Moe & Jack) 138,440 3,166
The Toro Co. 67,925 3,152
PNM Resources Inc. 111,662 3,138
48
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Dynegy, Inc. 732,340 $ 3,134
Bob Evans Farms, Inc. 96,222 3,123
Atmos Energy Corp. 128,053 3,112
* Cimarex Energy Co. 115,713 3,088
Ferro Corp. 113,130 3,078
Dillard's Inc. 187,007 3,078
Cousins Properties, Inc. REIT 100,576 3,078
Hughes Supply, Inc. 61,965 3,075
Alexandria Real Estate
Equities, Inc. REIT 53,058 3,072
Clarcor Inc. 69,420 3,061
Universal Corp. (VA) 69,265 3,059
Cathay General Bancorp 54,940 3,059
Ryland Group, Inc. 34,424 3,051
Kellwood Co. 73,620 3,018
* FMC Corp. 88,077 3,006
The Phoenix Cos., Inc. 248,522 2,992
Acuity Brands, Inc. 115,580 2,982
Brandywine Realty Trust REIT 109,860 2,941
* Premcor, Inc. 113,053 2,939
* La Quinta Corp. REIT 457,800 2,935
Olin Corp. 145,820 2,925
Staten Island Bancorp, Inc. 129,992 2,925
New Jersey Resources Corp. 75,466 2,906
Community First Bankshares, Inc. 99,893 2,891
Downey Financial Corp. 58,113 2,865
Platinum Underwriters
Holdings, Ltd. 95,446 2,863
La-Z-Boy Inc. 136,443 2,863
Banta Corp. 70,520 2,856
Taubman Co. REIT 136,864 2,819
Werner Enterprises, Inc. 143,961 2,806
* Southern Union Co. 151,975 2,796
* Stone Energy Corp. 65,807 2,794
* Ohio Casualty Corp. 160,485 2,786
* Mueller Industries Inc. 80,847 2,778
Skywest, Inc. 152,487 2,763
Flowers Foods, Inc. 106,535 2,749
Albemarle Corp. 91,565 2,744
Impac Mortgage Holdings, Inc. REIT 149,600 2,724
Novastar Financial, Inc. REIT 63,300 2,719
TrustCo Bank NY 206,163 2,711
Colonial Properties Trust REIT 68,385 2,708
Capital Automotive REIT 84,391 2,701
Autodesk, Inc. 108,343 2,663
* Corrections Corp. of America REIT 92,301 2,661
Gables Residential Trust REIT 76,371 2,653
* Adaptec, Inc. 300,190 2,651
* MPS Group, Inc. 282,998 2,646
* Arch Capital Group Ltd. 66,240 2,640
Post Properties, Inc. REIT 94,347 2,634
Potlatch Corp. 75,616 2,629
Susquehanna Bancshares, Inc. 105,058 2,628
* Tesoro Petroleum Corp. 179,290 2,612
Provident Financial Group, Inc. 81,428 2,602
LNR Property Corp. 52,300 2,589
USF Corp. 75,553 2,583
Superior Industries
International, Inc. 59,196 2,576
* Cytec Industries, Inc. 66,898 2,568
LandAmerica Financial Group, Inc. 49,049 2,563
* Beverly Enterprises, Inc. 297,275 2,554
Winn-Dixie Stores, Inc. 254,483 2,532
Tupperware Corp. 145,970 2,531
* Payless ShoeSource, Inc. 188,867 2,531
Black Hills Corp. 84,809 2,530
Delphi Financial Group, Inc. 70,193 2,527
* Ralcorp Holdings, Inc. 80,222 2,516
Kilroy Realty Corp. REIT 76,707 2,512
* Chiquita Brands International, Inc. 110,801 2,496
First Niagara Financial Group, Inc. 167,020 2,490
Reliance Steel & Aluminum Co. 74,932 2,488
Forest City Enterprise Class A 52,100 2,475
* Atmel Corp. 410,600 2,468
Brookline Bancorp, Inc. 160,266 2,458
* ProAssurance Corp. 76,300 2,453
Commerce Group, Inc. 62,099 2,453
* Kansas City Southern 171,182 2,451
Sensient Technologies Corp. 123,608 2,444
Texas Regional Bancshares, Inc. 65,653 2,429
Redwood Trust, Inc. REIT 47,600 2,420
BankAtlantic
Bancorp, Inc. Class A 127,268 2,418
AptarGroup Inc. 61,942 2,416
Allegheny Technologies Inc. 180,583 2,387
* Sierra Pacific Resources 325,218 2,387
* Philadelphia Consolidated Holding Corp. 48,464 2,367
Cleco Corp. 131,172 2,358
* Washington Group International, Inc. 69,383 2,357
Albany International Corp. 69,424 2,353
Georgia Gulf Corp. 81,200 2,345
H.B. Fuller Co. 78,714 2,341
* Benchmark Electronics, Inc. 67,129 2,337
Federal Signal Corp. 133,059 2,331
Commercial Net Lease Realty REIT 130,475 2,322
Avista Corp. 127,291 2,307
49
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
American Financial Group, Inc. 87,125 $ 2,305
UniSource Energy Corp. 93,312 2,301
Nordson Corp. 65,799 2,272
* Gaylord Entertainment Co.
Class A 76,031 2,270
Wolverine World Wide, Inc. 111,196 2,266
Lexington Corporate
Properties Trust REIT 112,201 2,265
Republic Bancorp, Inc. 166,457 2,246
People's Bank 68,782 2,242
* The Goodyear Tire & Rubber Co. 284,570 2,237
Senior Housing
Properties Trust REIT 129,787 2,236
Alpharma, Inc. Class A 110,485 2,221
R.L.I. Corp. 59,230 2,219
Crompton Corp. 309,085 2,216
Ametek, Inc. 45,881 2,214
* Hutchinson Technology, Inc. 71,981 2,213
* R.H. Donnelley Corp. 55,441 2,209
Northwest Natural Gas Co. 71,543 2,200
Casey's General Stores, Inc. 124,429 2,197
IHOP Corp. 56,931 2,191
* Shaw Group, Inc. 160,622 2,188
Florida East Coast
Industries, Inc. Class A 66,086 2,187
* US Oncology, Inc. 203,228 2,187
Selective Insurance Group 67,457 2,183
Brady Corp. Class A 53,477 2,179
Lennox International Inc. 130,090 2,173
Liberty Corp. 48,054 2,172
Granite Construction Co. 92,399 2,170
* Aztar Corp. 96,345 2,168
* Province Healthcare Co. 135,207 2,163
Texas Industries, Inc. 58,434 2,162
* Jack in the Box Inc. 100,227 2,141
Lincoln Electric Holdings, Inc. 86,077 2,130
Southwest Gas Corp. 93,890 2,108
* BankUnited Financial Corp. 80,836 2,085
* SEACOR SMIT Inc. 49,451 2,078
* Crown Holdings, Inc. 229,238 2,077
* Knight Trading Group, Inc. 141,475 2,071
R & G Financial Corp. Class B 51,803 2,062
Glimcher Realty Trust REIT 92,100 2,061
* OM Group, Inc. 78,678 2,061
* Kindred Healthcare, Inc. 39,600 2,058
The Manitowoc Co., Inc. 65,900 2,056
Quanex Corp. 44,545 2,054
CH Energy Group, Inc. 43,678 2,049
Modine Manufacturing Co. 75,800 2,045
First Commonwealth
Financial Corp. 142,843 2,037
ABM Industries Inc. 116,698 2,032
* KEMET Corp. 147,990 2,026
* CSK Auto Corp. 107,608 2,020
Kaydon Corp. 77,819 2,011
Provident Bankshares Corp. 68,254 2,009
Commercial Metals Co. 65,877 2,003
Manufactured Home
Communities, Inc. REIT 52,700 1,984
Blyth, Inc. 61,504 1,982
* Sierra Health Services, Inc. 71,799 1,971
* Lattice Semiconductor Corp. 203,197 1,967
Fremont General Corp. 116,158 1,964
* Genlyte Group, Inc. 33,633 1,963
* DRS Technologies, Inc. 70,488 1,958
* Armor Holdings, Inc. 74,399 1,957
* OMI Corp. 219,090 1,956
Owens & Minor, Inc. Holding Co. 89,199 1,954
* First Federal Financial Corp. 44,753 1,947
* Alleghany Corp. 8,736 1,944
Arkansas Best Corp. 61,820 1,941
* Six Flags, Inc. 257,349 1,935
* Continental Airlines, Inc. Class B 118,554 1,929
Longs Drug Stores, Inc. 77,962 1,929
* Moog Inc. 39,000 1,927
Delta Air Lines, Inc. 162,899 1,924
USEC Inc. 228,927 1,923
* Alaska Air Group, Inc. 70,198 1,916
Chemical Financial Corp. 52,543 1,912
Tecumseh Products Co. Class A 39,378 1,907
* Parametric Technology Corp. 481,200 1,896
Seacoast Financial
Services Corp. 69,154 1,896
Stewart Information Services Corp. 46,743 1,895
* Electronics for Imaging, Inc. 72,540 1,887
* Jarden Corp. 68,977 1,886
* Gateway, Inc. 409,821 1,885
MB Financial, Inc. 51,781 1,885
Infinity Property & Casualty Corp. 56,817 1,878
Sun Communities, Inc. REIT 48,400 1,873
* Hain Celestial Group, Inc. 80,529 1,869
Waypoint Financial Corp. 85,848 1,862
* Amkor Technology, Inc. 101,294 1,845
* Aquila, Inc. 542,475 1,839
PS Business Parks, Inc. REIT 44,401 1,832
National Penn Bancshares Inc. 57,029 1,832
Community Bank System, Inc. 37,330 1,829
* EMCOR Group, Inc. 41,531 1,823
JLG Industries, Inc. 119,561 1,821
Otter Tail Corp. 67,911 1,815
Hollinger International, Inc. 116,199 1,815
50
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* CSG Systems International, Inc. 145,158 $ 1,813
* Jones Lang Lasalle Inc. 87,396 1,812
* THQ Inc. 107,071 1,811
A.O. Smith Corp. 51,450 1,803
Heritage Property
Investment Trust REIT 63,258 1,800
Brown Shoe Co., Inc. 47,367 1,797
Summit Properties, Inc. REIT 74,600 1,792
Flagstar Bancorp, Inc. 83,501 1,789
* El Paso Electric Co. 133,967 1,788
* Conexant Systems, Inc. 359,074 1,785
* Newport Corp. 107,699 1,780
* Dollar Thrifty
Automotive Group, Inc. 68,586 1,779
United Auto Group, Inc. 56,800 1,778
* Ryan's Family Steak Houses, Inc. 117,033 1,772
* School Specialty, Inc. 52,035 1,770
Interstate Bakeries Corp. 124,297 1,769
First Citizens BancShares Class A 14,475 1,759
A. Schulman Inc. 82,144 1,751
S & T Bancorp, Inc. 58,558 1,751
NBT Bancorp, Inc. 81,288 1,743
Wausau-Mosinee Paper Corp. 128,860 1,742
* URS Corp. 68,947 1,724
Ruddick Corp. 96,320 1,724
* Checkpoint Systems, Inc. 91,154 1,724
* Viasys Healthcare Inc. 83,596 1,722
New Century Financial Corp. 43,400 1,722
Herman Miller, Inc. 70,864 1,720
UIL Holdings Corp. 38,077 1,717
Cambrex Corp. 67,920 1,716
* Cincinnati Bell Inc. 339,389 1,714
* Amylin Pharmaceuticals, Inc. 76,856 1,708
Spartech Corp. 69,235 1,706
CONSOL Energy, Inc. 65,650 1,700
Schnitzer Steel
Industries, Inc. Class A 28,100 1,700
* Charming Shoppes, Inc. 314,309 1,697
United National Bancorp 47,201 1,686
Amcore Financial, Inc. 62,268 1,682
Landry's Restaurants, Inc. 64,985 1,671
* Saxon Capital Inc. 79,573 1,667
Baldor Electric Co. 72,839 1,664
National Health Investors REIT 66,864 1,664
Harbor Florida Bancshares, Inc. 55,965 1,663
Horace Mann Educators Corp. 118,554 1,656
EastGroup Properties, Inc. REIT 50,963 1,650
Glacier Bancorp, Inc. 50,795 1,646
* Mindspeed Technologies, Inc. 239,966 1,644
Overseas Shipholding Group Inc. 48,128 1,639
* Helen of Troy Ltd. 70,635 1,635
Hancock Holding Co. 29,801 1,626
Dime Community Bancshares 52,796 1,624
* WCI Communities, Inc. 78,579 1,620
* Sola International Inc. 85,923 1,615
Mine Safety Appliances Co. 20,300 1,614
First Charter Corp. 82,342 1,610
Vintage Petroleum, Inc. 133,766 1,609
* Triumph Group, Inc. 44,178 1,608
MFA Mortgage Investments, Inc. REIT 164,234 1,601
Mid-America Apartment
Communities, Inc. REIT 47,501 1,595
Boyd Gaming Corp. 97,982 1,581
Longview Fibre Co. 127,757 1,578
UMB Financial Corp. 33,102 1,574
Equity One, Inc. REIT 93,186 1,573
Mid-State Bancshares 61,801 1,572
* Stewart Enterprises, Inc.
Class A 276,565 1,571
Carpenter Technology Corp. 52,799 1,561
Nu Skin Enterprises, Inc. 90,984 1,555
* Esterline Technologies Corp. 58,299 1,555
* Price Communications Corp. 113,029 1,552
WD-40 Co. 43,800 1,549
* PolyOne Corp. 242,307 1,548
LaBranche & Co. Inc. 132,600 1,547
Corporate Office
Properties Trust, Inc. REIT 73,500 1,544
RAIT Investment Trust REIT 60,234 1,542
* The Titan Corp. 70,284 1,533
City Holding Co. 43,780 1,532
Regal-Beloit Corp. 69,494 1,529
Arch Chemicals, Inc. 59,406 1,524
Empire District Electric Co. 69,131 1,516
Westcorp, Inc. 41,472 1,516
IMC Global Inc. 151,982 1,509
Keystone Property Trust REIT 68,101 1,504
Sandy Spring Bancorp, Inc. 40,160 1,502
Entertainment Properties Trust REIT 43,190 1,499
Alabama National BanCorporation 28,480 1,497
Woodward Governor Co. 26,261 1,492
Thomas Industries, Inc. 42,952 1,489
Belden, Inc. 70,513 1,487
Steelcase Inc. 103,496 1,486
MGE Energy, Inc. 47,162 1,486
* Jacuzzi Brands, Inc. 208,529 1,478
Kelly Services, Inc. Class A 51,800 1,478
* NCO Group, Inc. 64,843 1,476
* TBC Corp. 57,196 1,476
51
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Ionics, Inc. 46,342 $ 1,476
Corus Bankshares Inc. 46,730 1,475
Watts Water Technologies 66,301 1,472
Glenborough
Realty Trust, Inc. REIT 73,353 1,463
Irwin Financial Corp. 46,601 1,463
* AK Steel Corp. 286,801 1,463
* Offshore Logistics, Inc. 59,547 1,460
* Perot Systems Corp. 107,452 1,448
Frontier Financial Corp. 43,624 1,447
Tanger Factory
Outlet Centers, Inc. REIT 35,539 1,446
Cash America International Inc. 68,207 1,445
Texas Genco Holdings, Inc. 44,375 1,442
The Laclede Group, Inc. 50,315 1,436
Ethan Allen Interiors, Inc. 34,213 1,433
MCG Capital Corp. 73,410 1,432
* Houston Exploration Co. 39,000 1,424
Universal Forest Products, Inc. 44,223 1,423
* Ocular Sciences, Inc. 49,555 1,423
Anworth Mortgage Asset Corp. REIT 102,129 1,423
Jefferies Group, Inc. 42,916 1,417
Handleman Co. 69,001 1,417
South Jersey Industries, Inc. 34,900 1,413
* Griffon Corp. 69,757 1,413
Barnes Group, Inc. 43,710 1,412
* Quanta Services, Inc. 192,790 1,407
* Range Resources Corp. 147,857 1,397
* USG Corp. 83,660 1,386
Westbanco Inc. 49,952 1,383
Independent Bank Corp. (MI) 48,758 1,383
Anchor Bancorp Wisconsin Inc. 55,533 1,383
Airgas, Inc. 64,200 1,379
* Plains Exploration & Production Co. 89,325 1,375
* Ciber, Inc. 158,487 1,373
First Financial Bancorp 85,742 1,368
Gold Banc Corp., Inc. 97,100 1,365
West Pharmaceutical
Services, Inc. 40,200 1,363
* FelCor Lodging Trust, Inc. REIT 122,813 1,361
First Community Bancorp 37,286 1,348
AMLI Residential
Properties Trust REIT 50,100 1,343
First Financial Bankshares, Inc. 32,190 1,342
* Keane, Inc. 91,458 1,339
First Republic Bank 37,282 1,335
* Sunrise Senior Living, Inc. 34,362 1,331
* Central Garden and Pet Co. 47,394 1,328
* K2 Inc. 87,185 1,326
Cabot Oil & Gas Corp. 44,699 1,312
ElkCorp 48,926 1,306
* Sycamore Networks, Inc. 246,876 1,294
* TierOne Corp. 56,312 1,293
First Sentinel Bancorp Inc. 61,272 1,290
Ramco-Gershenson
Properties Trust REIT 45,590 1,290
* FTI Consulting, Inc. 55,000 1,285
* Swift Energy Co. 76,114 1,283
* Arris Group Inc. 177,040 1,282
Alfa Corp. 99,560 1,280
Watsco, Inc. 56,023 1,273
Cornerstone Realty
Income Trust, Inc. REIT 144,626 1,267
Anthracite Capital Inc. REIT 114,301 1,265
Curtiss-Wright Corp. 27,980 1,259
Datascope Corp. 35,024 1,256
Rock-Tenn Co. 72,417 1,250
* Dycom Industries, Inc. 46,522 1,248
The Stride Rite Corp. 109,600 1,247
* Stage Stores, Inc. 44,664 1,246
Centex Construction Products, Inc. 20,601 1,242
Sovran Self Storage, Inc. REIT 33,400 1,241
* Universal Compression
Holdings, Inc. 47,341 1,238
LaSalle Hotel Properties REIT 66,692 1,237
Koger Equity, Inc. REIT 59,097 1,237
* ShopKo Stores, Inc. 80,994 1,235
California Water Service Group 44,600 1,222
Oxford Industries, Inc. 36,022 1,220
Schweitzer-Mauduit International, Inc. 40,891 1,218
Odyssey Re Holdings Corp. 54,001 1,218
Bandag, Inc. 29,468 1,214
* Prime Hospitality Corp. 118,110 1,205
Parkway Properties Inc. REIT 28,900 1,202
* MGI Pharma, Inc. 29,200 1,202
Roto-Rooter, Inc. 26,050 1,201
Lone Star Steakhouse &
Saloon, Inc. 51,759 1,200
Methode Electronics, Inc. Class A 98,050 1,199
Gray Television, Inc. 78,908 1,193
Speedway Motorsports, Inc. 41,232 1,192
Endurance Specialty Holdings 35,333 1,185
First Essex Bancorp, Inc. 20,384 1,185
Bedford Property
Investors, Inc. REIT 41,360 1,184
* Actuant Corp. 32,614 1,181
First Merchants Corp. 46,238 1,180
Getty Realty Holding Corp. REIT 45,053 1,178
Unizan Financial Corp. 57,139 1,157
* Coeur D'Alene Mines Corp. 200,141 1,157
52
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Florida Rock Industries, Inc. 21,019 $ 1,153
* American Management Systems, Inc. 76,491 1,153
* SOURCECORP, Inc. 44,911 1,151
Net.Bank, Inc. 86,188 1,151
* Trammell Crow Co. 86,600 1,147
* Steak n Shake Co. 64,227 1,146
Kramont Realty Trust REIT 63,300 1,146
* Imagistics International Inc. 30,548 1,146
CDI Corp. 34,915 1,143
NACCO Industries, Inc. Class A 12,701 1,136
Central Pacific Financial Co. 37,771 1,135
Cato Corp. Class A 55,082 1,129
* Atlantic Coast
Airlines Holdings Inc. 114,020 1,129
* PSS World Medical, Inc. 93,507 1,129
Chesapeake Corp. of Virginia 42,557 1,127
* Enbridge Energy Management 23,234 1,123
Phillips-Van Heusen Corp. 63,276 1,123
Scottish Annuity &
Life Holdings, Ltd. 53,827 1,119
Sterling Bancorp 39,188 1,117
Oriental Financial Group Inc. 43,398 1,115
* UICI 83,746 1,112
Fidelity Bankshares, Inc. 35,400 1,112
GenCorp, Inc. 103,074 1,110
Russell Corp. 63,131 1,109
The Topps Co., Inc. 108,030 1,108
* Nuevo Energy Co. 45,694 1,104
* MeriStar Hospitality Corp. REIT 169,460 1,103
MacDermid, Inc. 32,199 1,102
* Fleetwood Enterprises, Inc. 107,394 1,102
* NPS Pharmaceuticals Inc. 35,686 1,097
M/I Schottenstein Homes, Inc. 27,984 1,093
First Financial Holdings, Inc. 34,955 1,093
* Insight Enterprises, Inc. 57,799 1,087
* Mastec Inc. 73,300 1,086
MTS Systems Corp. 56,360 1,084
New England Business Service, Inc. 36,579 1,079
* Intergraph Corp. 45,102 1,079
Applied Industrial Technology, Inc. 45,042 1,075
Sonic Automotive, Inc. 46,857 1,074
* Caraustar Industries, Inc. 77,580 1,071
Analogic Corp. 26,079 1,069
Valmont Industries, Inc. 46,160 1,069
* Stillwater Mining Co. 111,465 1,067
Russ Berrie and Co., Inc. 31,458 1,066
* Gardner Denver Inc. 44,662 1,066
* Tower Automotive, Inc. 155,919 1,065
* Orthodontic Centers
of America, Inc. 132,276 1,065
Hooper Holmes, Inc. 171,977 1,063
* InFocus Corp. 109,298 1,058
* Consolidated Graphics, Inc. 33,485 1,057
Stewart & Stevenson
Services, Inc. 75,199 1,057
American States Water Co. 42,186 1,055
Suffolk Bancorp 30,490 1,053
* Comstock Resources, Inc. 54,390 1,050
Independent Bank Corp. (MA) 36,400 1,049
Burlington Coat Factory
Warehouse Corp. 49,351 1,044
Town & Country Trust REIT 41,101 1,042
* Robert Mondavi Corp. Class A 26,801 1,041
Sterling Financial Corp. (PA) 37,510 1,041
Greif Inc. Class A 29,300 1,040
First Federal Capital Corp. 45,920 1,034
Equity Inns, Inc. REIT 113,387 1,026
Libbey, Inc. 35,699 1,017
Allegiant Bancorp, Inc. 36,200 1,015
Pulitzer, Inc. 18,750 1,013
* Enterasys Networks, Inc. 269,999 1,013
* Finish Line, Inc. 33,597 1,007
* ESCO Technologies Inc. 23,033 1,005
Firstfed America Bancorp, Inc. 38,540 1,003
Max Re Capital Ltd. 44,673 1,002
* Power-One, Inc. 92,519 1,002
Kimball International, Inc. Class B 64,290 1,000
* Genesis Healthcare Corp 43,789 998
Landauer, Inc. 24,440 997
Berry Petroleum Class A 49,185 996
* Ocwen Financial Corp. 111,415 987
Tredegar Corp. 63,474 986
Simmons First National Corp. 35,152 981
United Community Financial Corp. 85,931 980
The Trust Co. of New Jersey 24,685 980
* Zoran Corp. 56,253 978
* Local Financial Corp. 46,900 977
* Veritas DGC Inc. 93,226 977
* RTI International Metals Inc. 57,793 975
* Group 1 Automotive, Inc. 26,859 972
* Boca Resorts, Inc. Class A 64,960 972
* Harvest Natural Resources, Inc. 97,601 971
Lithia Motors, Inc. 38,363 967
Hudson River Bancorp. Inc. 24,764 967
Perrigo Co. 61,129 961
* Duane Reade Inc. 56,674 959
Community Trust Bancorp Inc. 31,701 957
Weis Markets, Inc. 26,368 957
U.S. Restaurant Properties, Inc. REIT 56,100 956
BSB Bancorp, Inc. 24,199 956
Integra Bank Corp. 43,301 952
53
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Hologic, Inc. 54,817 $ 950
Newcastle Investment Corp. REIT 35,050 950
* Systems & Computer
Technology Corp. 58,061 949
* RailAmerica, Inc. 80,300 948
Sea Containers Ltd. Class A 51,377 938
American Woodmark Corp. 17,000 936
Zenith National Insurance Corp. 28,700 934
* NetIQ Corp. 70,500 934
* National Western Life
Insurance Co. Class A 6,028 933
IBERIABANK Corp. 15,801 932
* O'Charley's Inc. 51,923 932
Universal Health Realty
Income REIT 30,900 930
Walter Industries, Inc. 69,619 929
Wabtec Corp. 54,525 929
Orient-Express Hotel Ltd. 56,546 929
* Vicuron Pharmaceuticals Inc. 49,650 926
Riggs National Corp. 55,977 925
* Unifi, Inc. 143,090 923
The Marcus Corp. 56,165 921
CIRCOR International, Inc. 38,052 917
* Electro Scientific Industries, Inc. 38,518 917
Capitol Bancorp Ltd. 32,163 913
Haverty Furniture Cos., Inc. 45,983 913
* Argonaut Group, Inc. 58,597 911
Washington Trust Bancorp, Inc. 34,553 905
Glatfelter 72,649 904
Wellman, Inc. 88,515 904
First Financial Corp. (IN) 30,100 903
* General Maritime Corp. 51,300 903
West Coast Bancorp 42,243 901
Community Banks, Inc. 22,898 900
* JAKKS Pacific, Inc. 68,141 897
* Hanger Orthopedic Group, Inc. 57,501 895
* Core Laboratories NV 53,325 890
First Community Bancshares, Inc. 26,634 883
* Aviall Inc. 56,748 880
* Buckeye Technology, Inc. 87,463 879
* Corvis Corp. 516,425 878
PXRE Group Ltd. 37,133 875
* CMGI Inc. 491,600 875
* CKE Restaurants Inc. 136,890 875
Innkeepers USA Trust REIT 104,464 874
Action Performance Cos., Inc. 44,609 874
Investors Real Estate Trust REIT 88,200 873
Tennant Co. 20,001 866
* International Multifoods Corp. 47,887 862
* Century Business Services, Inc. 191,270 855
Capital City Bank Group, Inc. 18,466 849
* Silgan Holdings, Inc. 19,900 848
Dimon Inc. 125,239 845
Agilysys, Inc. 75,755 845
* ITLA Capital Corp. 16,839 844
United Fire & Casualty Co. 20,882 843
Bank Mutual Corp. 73,268 835
* Spinnaker Exploration Co. 25,852 834
Triarc Cos., Inc. Class B 77,198 832
Prosperity Bancshares, Inc. 36,821 829
Flushing Financial Corp. 45,304 828
* Kadant Inc. 38,105 825
Brookfield Homes Corp. 32,000 825
Iomega Corp. 136,520 816
* Credence Systems Corp. 61,558 810
* Spherion Corp. 82,513 808
Standex International Corp. 28,811 807
Columbia Banking System, Inc. 37,128 804
* Incyte Corp. 117,301 802
* Denbury Resources, Inc. 56,546 787
Omega Financial Corp. 20,376 784
Millennium Chemicals, Inc. 61,552 780
* Transaction Systems
Architects, Inc. 34,459 780
* Electro Rent Corp. 58,388 779
Umpqua Holdings Corp. 37,326 776
Central Vermont Public Service Corp. 32,925 774
Kaman Corp. Class A 60,629 772
* Extreme Networks, Inc. 106,976 771
* Tularik, Inc. 47,636 769
Quaker Chemical Corp. 24,963 768
State Auto Financial Corp. 32,610 763
* Steel Dynamics, Inc. 32,329 759
Pilgrim's Pride Corp. 46,500 759
* Savient Pharmaceuticals Inc. 164,714 759
Myers Industries, Inc. 62,566 758
Hancock Fabrics, Inc. 52,282 757
Deltic Timber Corp. 24,805 754
* Inverness Medical
Innovations, Inc. 34,601 754
* Tenneco Automotive, Inc. 112,464 752
The Nautilus Group, Inc. 53,399 750
Presidential Life Corp. 56,988 750
Central Parking Corp. 50,106 748
Saul Centers, Inc. REIT 26,064 747
Harleysville Group, Inc. 37,449 745
Apogee Enterprises, Inc. 65,371 742
Quaker City Bancorp, Inc. 15,934 742
WSFS Financial Corp. 16,500 740
* MICROS Systems, Inc. 17,001 737
Lance, Inc. 48,898 735
CCBT Financial Cos. Inc. 21,010 734
* Wabash National Corp. 24,994 732
54
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Pope & Talbot, Inc. 41,583 $ 732
Ameron International Corp. 21,031 730
Urstadt Biddle Properties
Class A REIT 51,401 727
OceanFirst Financial Corp. 26,703 725
* LTX Corp. 48,194 724
* Herley Industries Inc. 34,941 723
Bank of Granite Corp. 33,178 723
Tompkins Trustco, Inc. 15,691 723
First Busey Corp. 26,697 721
SWS Group, Inc. 40,358 718
* Onyx Pharmaceuticals, Inc. 25,423 718
Courier Corp. 18,651 718
* Teledyne Technologies, Inc. 37,999 716
Banner Corp. 28,457 716
PFF Bancorp, Inc. 19,700 715
NUI Corp. 44,336 715
* Hanover Compressor Co. 63,979 713
Coachmen Industries, Inc. 39,112 708
Holly Corp. 25,700 707
CityBank Lynnwood WA 21,630 703
* Global Industries Ltd. 136,247 702
LSI Industries Inc. 51,925 701
Ennis Business Forms, Inc. 45,800 701
* The Warnaco Group, Inc. 43,819 699
First Source Corp. 32,464 698
Gibraltar Steel 27,727 697
HEICO Corp. 38,301 697
Skyline Corp. 19,952 696
Peoples Bancorp, Inc. 23,566 695
Cohu, Inc. 36,169 693
First Bancorp (NC) 22,039 692
G & K Services, Inc. Class A 18,799 691
* J & J Snack Foods Corp. 18,222 688
McGrath Rent Corp. 25,064 683
Movado Group, Inc. 24,100 680
* Heidrick & Struggles
International, Inc. 31,189 680
Peoples Holding Co. 20,550 678
* Oil States International, Inc. 48,600 677
Virginia Financial Group, Inc. 19,000 675
CT Communications, Inc. 49,949 674
* Interface, Inc. 121,568 672
* MarineMax, Inc. 34,570 672
* Safeguard Scientifics, Inc. 165,062 667
North Pittsburgh Systems, Inc. 35,214 666
* Universal American Financial Corp. 67,124 665
Great Lakes, Inc. REIT 42,220 663
Midwest Banc Holdings, Inc. 29,657 660
Penn Virginia Corp. 11,800 657
CSS Industries, Inc. 21,100 654
Financial Institutions, Inc. 23,139 653
* Insight Communications Co., Inc. 63,210 652
* Pegasus Solutions Inc. 62,208 651
* Wind River Systems Inc. 74,319 651
* Asbury Automotive Group, Inc. 36,350 651
CB Bancshares Inc. (HI) 10,293 648
First Indiana Corp. 34,532 647
Cascade Natural Gas Corp. 30,688 647
* Clark, Inc. 33,600 646
* Strattec Security Corp. 10,556 643
Arrow Financial Corp. 23,150 643
Bel Fuse, Inc. Class B 19,565 638
* Meritage Corp. 9,600 637
Mission West Properties Inc. REIT 48,980 634
* Serologicals Corp. 34,092 634
Sturm, Ruger & Co., Inc. 55,697 633
Frontier Oil Corp. 36,595 630
* DuPont Photomasks, Inc. 26,052 629
* Credit Acceptance Corp. 41,000 627
Harleysville National Corp. 20,828 627
* Sequa Corp. Class A 12,766 626
* Bally Total Fitness Holding Corp. 89,058 623
Great Southern Bancorp, Inc. 13,418 622
Union Bankshares Corp. 20,301 619
* Regeneron Pharmaceuticals, Inc. 41,899 616
First Place Financial Corp. 31,200 609
Connecticut Water Services, Inc. 21,990 608
First National Corp. 20,245 608
Calgon Carbon Corp. 97,251 604
Robbins & Myers, Inc. 31,755 603
The Standard Register Co. 35,747 602
Bowne & Co., Inc. 44,353 601
Partners Trust Financial Group, Inc. 17,679 601
Seacoast Banking Corp. of Florida 34,370 597
* NCI Building Systems, Inc. 24,787 592
Pennrock Financial Services Corp. 18,951 589
UniFirst Corp. 24,837 589
Second Bancorp, Inc. 22,267 588
* Dura Automotive Systems, Inc. 45,880 586
* Wackenhut Corrections Corp. 25,634 584
Lakeland Bancorp, Inc. 35,890 576
Midland Co. 24,346 575
Startek, Inc. 14,012 572
Building Materials Holding Corp. 36,687 570
Camden National Corp. 18,700 568
Standard Commercial Tobacco Co. 28,200 566
* America West Holdings Corp.
Class B 45,252 561
* Cross Country Healthcare, Inc. 37,500 560
* Stoneridge, Inc. 37,100 558
* Champion Enterprises, Inc. 79,299 555
First Oak Brook Bancshares, Inc. 18,450 554
55
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* CuraGen Corp. 75,470 $ 553
Baldwin & Lyons, Inc. Class B 19,700 553
* Aftermarket Technology Corp. 40,281 553
* Mesa Air Group Inc. 43,771 548
Advanta Corp. Class A 42,100 547
Farmers Capital Bank Corp. 15,915 541
* PRG-Schultz International, Inc. 110,271 540
Angelica Corp. 24,349 536
* InterCept, Inc. 47,400 535
United Industrial Corp. 29,600 534
* Gentiva Health Services, Inc. 42,141 533
* Tweeter Home Entertainment Group, Inc. 56,200 531
SJW Corp. 5,900 527
* Mediacom Communications Corp. 60,600 525
* Volt Information Sciences Inc. 23,142 523
CTS Corp. 45,436 523
Capstead Mortgage Corp. REIT 31,000 520
Pennfed Financial Services, Inc. 15,448 518
* Cleveland-Cliffs Inc. 10,131 516
Blair Corp. 21,200 516
* Fisher Communications, Inc. 10,100 515
NBC Capital Corp. 19,301 515
The Buckle, Inc. 23,200 514
* Alexion Pharmaceuticals, Inc. 30,100 512
* RC2 Corp. 24,576 510
* Quantum Corp. 162,400 507
* Hudson Highland Group, Inc. 21,050 502
* SPSS, Inc. 27,949 500
Gorman-Rupp Co. 18,900 499
Capital Southwest Corp. 8,000 496
* Harmonic, Inc. 67,800 492
* Navigant International, Inc. 35,400 490
Riviana Foods, Inc. 17,827 488
Republic Bancorp, Inc. Class A 24,942 487
National Presto Industries, Inc. 13,380 484
Advanced Marketing Services 42,206 481
Lawson Products, Inc. 14,500 481
* TransMontaigne Inc. 73,380 473
Aaron Rents, Inc. Class B 23,496 473
* Sterling Financial Corp. 13,800 472
* Cell Genesys, Inc. 36,100 467
* Lydall, Inc. 45,493 464
* Metris Cos., Inc. 103,561 460
* Sapient Corp. 81,600 457
BancFirst Corp. 7,700 452
* CNA Surety Corp. 47,460 451
German American Bancorp 25,665 449
* Exelixis, Inc. 61,900 438
* Transmeta Corp. 128,720 438
* Time Warner Telecom Inc. 42,581 431
Citizens 1st Bancorp, Inc. 18,821 429
* Parker Drilling Co. 166,371 424
* AMC Entertainment, Inc. 27,826 423
* Integrated Silicon Solution, Inc. 27,003 423
* Digitas Inc. 45,220 421
CFS Bancorp, Inc. 28,384 421
Franklin Electric, Inc. 6,923 419
* PRAECIS Pharmaceuticals Inc. 64,715 417
* National Healthcare Corp. 20,800 414
* PAREXEL International Corp. 25,404 413
Stepan Co. 15,971 410
* PalmOne, Inc. 34,724 408
* Genesee & Wyoming Inc. Class A 12,897 406
* The Great Atlantic &
Pacific Tea Co., Inc. 47,889 402
* Tier Technologies, Inc. 49,114 401
Vital Signs, Inc. 11,784 385
* CV Therapeutics, Inc. 26,055 382
* Hawthorne Financial Corp. 13,501 378
Republic Bancshares, Inc. 12,000 378
Bay View Capital Corp. 176,331 377
* Tanox, Inc. 25,292 376
* McLeod USA Inc. 253,300 375
* Geron Corp. 37,139 370
* Navigators Group, Inc. 11,656 360
* CompuCom Systems, Inc. 68,660 360
* Playtex Products, Inc. 46,501 359
* NeoPharm, Inc. 19,394 355
* Talk America Holdings, Inc. 30,717 354
Alico, Inc. 10,002 348
* ChipPAC, Inc. 45,800 348
* Wesco International, Inc. 39,086 346
* Mattson Technology, Inc. 28,290 346
World Fuel Services Corp. 10,027 340
* Stratex Networks, Inc. 80,039 340
* Avatar Holding, Inc. 9,089 336
* WFS Financial, Inc. 7,900 335
* Powell Industries, Inc. 17,400 333
* General Communication, Inc. 38,028 331
* iGATE Corp. 42,000 330
* Audiovox Corp. 25,643 329
* Plug Power, Inc. 45,147 327
Churchill Downs, Inc. 9,017 326
Shenandoah Telecommunications Co. 6,200 318
* Arena Pharmaceuticals, Inc. 51,093 317
* Isis Pharmaceuticals, Inc. 48,400 315
* Zymogenetics, Inc. 20,289 314
PMA Capital Corp. Class A 60,800 311
NL Industries, Inc. 26,480 310
Royal Bancshares
of Pennsylvania, Inc. 12,039 307
* Vail Resorts Inc. 17,801 303
56
- --------------------------------------------------------------------------------
MARKET
VALUE*
SMALL-CAP VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Albany Molecular Research, Inc. 20,028 $ 301
* Collins & Aikman Corp. 68,362 296
* PRIMEDIA Inc. 100,691 285
Ingles Markets, Inc. 27,741 285
Deb Shops, Inc. 13,100 282
Acadia Realty Trust REIT 22,500 281
* New Focus, Inc. 56,001 281
* Terayon Communications
Systems, Inc. 61,540 277
* Skechers U.S.A., Inc. 33,916 276
Coca-Cola Bottling Co. 5,100 273
Lindsay Manufacturing Co. 10,799 273
* MRO Software Inc. 20,217 272
Gabelli Asset Management Inc. 6,746 268
Dover Downs Gaming &
Entertainment, Inc. 28,364 268
* P.A.M. Transportation
Services, Inc. 12,200 260
* Mobile Mini, Inc. 13,109 259
Sanderson Farms, Inc. 6,313 254
Old Second Bancorp, Inc. 4,901 243
* OSI Systems Inc. 12,600 242
Troy Financial Corp. 6,701 235
* Vicor Corp. 20,318 232
* Regent Communications, Inc. 35,992 229
* Galyan's Trading Co. 18,973 228
Advanta Corp. Class B 17,600 224
* Oplink Communications, Inc. 90,888 217
* Neoforma, Inc. 20,400 217
* Input/Output, Inc. 45,731 206
* Gulfmark Offshore, Inc. 14,606 204
* Crown Media Holdings, Inc. 23,828 197
* ImmunoGen, Inc. 36,400 184
* Alloy, Inc. 34,700 181
* Specialty Laboratories, Inc. 10,735 180
* Infonet Services Corp. 102,107 174
Crawford & Co. Class B 23,901 169
Hanmi Financial Corp. 8,200 162
* Shoe Carnival, Inc. 8,474 151
* Boston Communications
Group, Inc. 16,160 150
Tecumseh Products Co. Class B 2,900 137
* Gulf Island Fabrication, Inc. 7,701 131
Urstadt Biddle Properties REIT 9,300 127
* Dril-Quip, Inc. 6,377 104
Bandag, Inc. Class A 2,500 101
* Raytech Corp. 22,300 74
HEICO Corp. Class A 3,800 54
* Insurance Auto Auctions, Inc. 2,552 33
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $1,486,142) $ 1,835,743
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (3.2%)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
1.07%, 1/8/2004 $ 2,000 2,000
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
0.99%, 1/2/2004--Note E 51,223 51,223
0.98%, 1/2/2004 5,224 5,224
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS (Cost $58,447) 58,447
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (103.2%) (Cost $1,544,589) 1,894,190
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-3.2%)
- --------------------------------------------------------------------------------
Other Assets--Note B 17,995
Security Lending Collateral
Payable to Brokers--Note E (51,223)
Other Liabilities (24,797)
----------------
$ (58,025)
----------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $ 1,836,165
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
Paid-in Capital $ 1,818,277
Overdistributed Net Investment Income (927)
Accumulated Net Realized Losses (330,786)
Unrealized Appreciation 349,601
- --------------------------------------------------------------------------------
NET ASSETS $ 1,836,165
================================================================================
Investor Shares--Net Assets
Applicable to 150,666,550 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 1,730,457
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 11.49
================================================================================
Institutional Shares--Net Assets
Applicable to 9,188,203 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 105,708
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 11.50
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
57
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by each fund during the
reporting period, and details the operating expenses charged to each class of
its shares. These expenses directly reduce the amount of investment income
available to pay to shareholders as income dividends. This Statement also shows
any Net Gain (Loss) realized on the sale of investments, and the increase or
decrease in the Unrealized Appreciation (Depreciation) of investments during the
period.
- --------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP
SMALL-CAP GROWTH INDEX VALUE INDEX
INDEX FUND FUND FUND
-----------------------------------------------
YEAR ENDED DECEMBER 31, 2003
-----------------------------------------------
(000) (000) (000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 71,206 $ 2,570 $ 33,475
Interest 407 38 50
Security Lending 3,108 335 517
- --------------------------------------------------------------------------------
Total Income 74,721 2,943 34,042
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 153 113 113
Management and Administrative
Investor Shares 8,760 1,155 3,041
Admiral Shares 1,202 -- --
Institutional Shares 600 9 74
Marketing and Distribution
Investor Shares 476 70 204
Admiral Shares 105 -- --
Institutional Shares 138 12 38
Custodian Fees 271 180 148
Auditing Fees 17 15 15
Shareholders' Reports
Investor Shares 228 19 40
Admiral Shares 3 -- --
Institutional Shares 1 -- 1
Trustees' Fees and Expenses 6 1 2
- --------------------------------------------------------------------------------
Total Expenses 11,960 1,574 3,676
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 62,761 1,369 30,366
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (856,527) 45,666 (161,410)
Futures Contracts 15,310 1,026 1,439
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (841,217) 46,692 (159,971)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 2,807,252 166,882 583,355
Futures Contracts 498 -- --
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 2,807,750 166,882 583,355
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $2,029,294 $214,943 $453,750
================================================================================
58
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the net amount shareholders invested in
or redeemed from the fund. Distributions and Capital Share Transactions are
shown separately for each class of shares.
- --------------------------------------------------------------------------------
SMALL-CAP SMALL-CAP GROWTH
INDEX FUND INDEX FUND
---------------------- ----------------------
YEAR ENDED DECEMBER 31,
- --------------------------------------------------------------------------------
2003 2002 2003 2002
(000) (000) (000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 62,761 $ 52,047 $ 1,369 $ 1,422
Realized Net Gain (Loss) (841,217) (98,958) 46,692 (51,171)
Change in Unrealized Appreciation
(Depreciation) 2,807,750 (989,851) 166,882 (41,084)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from
Operations 2,029,294 (1,036,762) 214,943 (90,833)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (43,573) (35,750) (1,547) (1,051)
Admiral Shares (10,499) (7,673) -- --
Institutional Shares (10,910) (8,974) (68) (460)
- --------------------------------------------------------------------------------
REALIZED CAPITAL GAIN
Investor Shares -- -- -- --
Admiral Shares -- -- -- --
Institutional Shares -- -- -- --
- --------------------------------------------------------------------------------
Total Distributions (64,982) (52,397) (1,615) (1,511)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--NOTE F
Investor Shares 559,646 194,844 313,013 98,555
Admiral Shares 173,758 187,727 -- --
Institutional Shares 120,654 249,580 (81,321) 19,034
- --------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 854,058 632,151 231,692 117,589
- --------------------------------------------------------------------------------
Total Increase
(Decrease) 2,818,370 (457,008) 445,020 25,245
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 4,219,145 4,676,153 491,536 466,291
- --------------------------------------------------------------------------------
End of Period $ 7,037,515 $4,219,145 $936,556 $491,536
================================================================================
59
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
SMALL-CAP VALUE
INDEX FUND
--------------------------
YEAR ENDED DECEMBER 31,
--------------------------
2003 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 30,366 $ 16,319
Realized Net Gain (Loss) (159,971) (157,642)
Change in Unrealized Appreciation
(Depreciation) 583,355 (249,915)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 453,750 (391,238)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (29,307) (12,346)
Institutional Shares (1,838) (4,083)
Realized Capital Gain*
Investor Shares -- (26,299)
Institutional Shares -- (11,401)
- --------------------------------------------------------------------------------
Total Distributions (31,145) (54,129)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--NOTE F
Investor Shares 145,432 713,241
Institutional Shares (246,367) 118,815
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (100,935) 832,056
- --------------------------------------------------------------------------------
Total Increase (Decrease) 321,670 386,689
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,514,495 1,127,806
- --------------------------------------------------------------------------------
End of Period $1,836,165 $1,514,495
================================================================================
* Includes fiscal 2002 short-term gain distributions totaling $26,363,000.
Short-term gain distributions are treated as ordinary income dividends for
tax purposes.
60
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
SMALL-CAP INDEX FUND INVESTOR SHARES
- ----------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
- ----------------------------------------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $23.60 $21.20
- ----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .200 .192 .217 .270 .256
Net Realized and Unrealized Gain (Loss)
on Investments 6.944 (4.160) .388 (1.145) 4.491
- ----------------------------------------------------------------------------------------------------------------
Total from Investment Operations 7.144 (3.968) .605 (.875) 4.747
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.204) (.192) (.225) (.260) (.267)
Distributions from Realized Capital Gains -- -- -- (3.025) (2.080)
- ----------------------------------------------------------------------------------------------------------------
Total Distributions (.204) (.192) (.225) (3.285) (2.347)
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.60 $15.66 $19.82 $19.44 $23.60
================================================================================================================
TOTAL RETURN* 45.63% -20.02% 3.10% -2.67% 23.13%
================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $4,871 $2,943 $3,545 $3,577 $3,553
Ratio of Total Expenses to
Average Net Assets 0.27% 0.27% 0.27% 0.27% 0.25%
Ratio of Net Investment Income to
Average Net Assets 1.17% 1.11% 1.16% 1.17% 1.25%
Portfolio Turnover Rate 39%** 32% 39% 49% 42%
================================================================================================================
* Total returns do not reflect the 0.5% transaction fee on purchases through
March 31, 2000, or the $10 annual account maintenance fee applied on
balances under $10,000.
** Includes activity related to a change in the fund's target index.
61
FINANCIAL HIGHLIGHTS (CONTINUED)
SMALL-CAP INDEX FUND ADMIRAL SHARES
- --------------------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, NOV. 13* TO
----------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- --------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $22.40
- --------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .220 .207 .231 .053
Net Realized and Unrealized Gain (Loss)
on Investments 6.944 (4.160) .388 .062
- --------------------------------------------------------------------------------
Total from Investment Operations 7.164 (3.953) .619 .115
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.224) (.207) (.239) (.265)
Distributions from Realized Capital Gains -- -- -- ( 2.810)
- --------------------------------------------------------------------------------
Total Distributions (.224) (.207) (.239) (3.075)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.60 $15.66 $19.82 $19.44
================================================================================
TOTAL RETURN 45.76% -19.95% 3.17% 1.75%
================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,056 $591 $547 $252
Ratio of Total Expenses to
Average Net Assets 0.18% 0.18% 0.20% 0.20%**
Ratio of Net Investment Income to
Average Net Assets 1.26% 1.22% 1.24% 1.79%**
Portfolio Turnover Rate 39%+ 32% 39% 49%
================================================================================
*Inception.
**Annualized.
+Includes activity related to a change in the fund's target index.
62
SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
- ----------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
- ----------------------------------------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $23.61 $21.20
- ----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .240 .219 .251 .292 .295
Net Realized and Unrealized Gain (Loss)
on Investments 6.944 (4.160) .388 (1.145) 4.491
- ----------------------------------------------------------------------------------------------------------------
Total from Investment Operations 7.184 (3.941) .639 (.853) 4.786
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.234) (.219) (.259) (.292) (.296)
Distributions from Realized Capital Gains -- -- -- (3.025) (2.080)
- ----------------------------------------------------------------------------------------------------------------
Total Distributions (.234) (.219) (.259) (3.317) (2.376)
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $22.61 $15.66 $19.82 $19.44 $23.61
================================================================================================================
TOTAL RETURN* 45.88% -19.89% 3.27% -2.56% 23.33%
================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,111 $686 $584 $490 $415
Ratio of Total Expenses to
Average Net Assets 0.10% 0.10% 0.10% 0.13% 0.12%
Ratio of Net Investment Income to
Average Net Assets 1.33% 1.32% 1.34% 1.32% 1.37%
Portfolio Turnover Rate 39%** 32% 39% 49% 42%
================================================================================================================
*Total returns do not reflect the 0.5% transaction fee on purchases through
March 31, 2000.
**Includes activity related to a change in the fund's target index.
63
FINANCIAL HIGHLIGHTS (CONTINUED)
SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES
- ----------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
- ----------------------------------------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.17 $10.87 $10.97 $11.38 $ 9.53
- ----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .021 .027 .009 .009 .025
Net Realized and Unrealized Gain (Loss)
on Investments 3.911 (1.702) (.094) .154 1.860
- ----------------------------------------------------------------------------------------------------------------
Total from Investment Operations 3.932 (1.675) (.085) .163 1.885
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.022) (.025) (.015) (.003) (.035)
Distributions from Realized Capital Gains -- -- -- (.570) --
- ----------------------------------------------------------------------------------------------------------------
Total Distributions (.022) (.025) (.015) (.573) (.035)
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $13.08 $ 9.17 $10.87 $10.97 $11.38
================================================================================================================
TOTAL RETURN* 42.88% -15.41% -0.78% 1.59% 19.80%
================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $907 $388 $357 $356 $167
Ratio of Total Expenses to
Average Net Assets 0.27% 0.27% 0.27% 0.27% 0.25%
Ratio of Net Investment Income to
Average Net Assets 0.21% 0.24% 0.11% 0.03% 0.33%
Portfolio Turnover Rate 108%** 61% 74% 136% 82%
================================================================================================================
* Total returns do not reflect transaction fees on purchases (0.5% from March
1, 1999, through March 31, 2002; 1.0% from inception through February 28,
1999) or the $10 annual account maintenance fee applied on balances under
$10,000.
** Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 91%. **** ****
64
SMALL-CAP GROWTH INDEX FUND INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, MAY 24* TO
----------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- --------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.17 $10.87 $10.97 $11.03
- --------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .039 .043 .024 .009
Net Realized and Unrealized Gain (Loss)
on Investments 3.911 (1.702) (.094) .513
- --------------------------------------------------------------------------------
Total from Investment Operations 3.950 (1.659) (.070) .522
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.030) (.041) (.030) (.012)
Distributions from Realized Capital Gains -- -- -- (.570)
- --------------------------------------------------------------------------------
Total Distributions (.030) (.041) (.030) (.582)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $13.09 $ 9.17 $10.87 $10.97
================================================================================
TOTAL RETURN 43.08% -15.26% -0.64% 4.90%
================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $30 $104 $109 $73
Ratio of Total Expenses to
Average Net Assets 0.10% 0.10% 0.10% 0.13%+
Ratio of Net Investment Income to
Average Net Assets 0.38% 0.41% 0.28% 0.11%+
Portfolio Turnover Rate 108%++ 61% 74% 136%
================================================================================
* Inception.
** Total returns do not reflect the 0.5% transaction fee on purchases through
March 31, 2002.
+Annualized.
++Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 91%.
65
FINANCIAL HIGHLIGHTS (CONTINUED)
SMALL-CAP VALUE INDEX FUND INVESTOR SHARES
- ----------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
- ----------------------------------------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.52 $10.29 $ 9.65 $ 8.45 $ 8.74
- ----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .192 .090 .074 .084 .065
Net Realized and Unrealized Gain (Loss)
on Investments 2.976 (1.494) 1.176 1.698 .210
- ----------------------------------------------------------------------------------------------------------------
Total from Investment Operations 3.168 (1.404) 1.250 1.782 .275
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.198) (.090) (.065) (.082) (.070)
Distributions from Realized Capital Gains -- (.276) (.545) (.500) (.495)
- ----------------------------------------------------------------------------------------------------------------
Total Distributions (.198) (.366) (.610) (.582) (.565)
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $11.49 $ 8.52 $10.29 $ 9.65 $ 8.45
================================================================================================================
TOTAL RETURN* 37.19% -14.20% 13.70% 21.88% 3.35%
================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,730 $1,176 $802 $317 $204
Ratio of Total Expenses to
Average Net Assets 0.27% 0.27% 0.27% 0.27% 0.25%
Ratio of Net Investment Income to
Average Net Assets 2.07% 0.93% 0.97% 1.16% 0.96%
Portfolio Turnover Rate 109%** 57% 59% 82% 80%
================================================================================================================
* Total returns do not reflect transaction fees on purchases (0.5% from March
1, 1999, through March 31, 2002; 1.0% from inception through February 28,
1999) or the $10 annual account maintenance fee applied on balances under
$10,000.
** Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 100%.
66
SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, DEC. 7* TO
--------------------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $8.53 $10.29 $9.65 $8.45 $8.74
- --------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .198 .114 .089 .097 .009
Net Realized and Unrealized Gain (Loss)
on Investments 2.976 (1.494) 1.176 1.698 .226
- --------------------------------------------------------------------------------------------
Total from Investment Operations 3.174 (1.380) 1.265 1.795 .235
- --------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.204) (.104)(.080) (.095) (.070)
Distributions from Realized Capital Gains -- (.276)(.545) (.500) (.455)
- --------------------------------------------------------------------------------------------
Total Distributions (.204) (.380)(.625) (.595) (.525)
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $11.50 $8.53 $10.29 $9.65 $8.45
============================================================================================
TOTAL RETURN 37.22% -13.96% 13.86% 22.04% 2.83%
============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $106 $338 $325 $86 $10
Ratio of Total Expenses to
Average Net Assets 0.10% 0.10% 0.10% 0.13% 0.13%+
Ratio of Net Investment Income to
Average Net Assets 2.24% 1.08% 1.14% 1.36% 1.37%+
Portfolio Turnover Rate 109%++ 57% 59% 82% 80%
============================================================================================
* Inception.
** Total returns do not reflect the 0.5% transaction fee on purchases through
March 31, 2002.
+Annualized.
++Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 100%.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
67
NOTES TO FINANCIAL STATEMENTS
Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index
Funds are registered under the Investment Company Act of 1940 as open-end
investment companies, or mutual funds. The Small-Cap Index Fund offers three
classes of shares: Investor Shares, Admiral Shares, and Institutional Shares.
The Small-Cap Growth Index and Small-Cap Value Index Funds each offer two
classes of shares, Investor Shares and Institutional Shares. Investor Shares are
available to any investor who meets the fund's minimum purchase requirements.
Admiral Shares are designed for investors who meet certain administrative,
servicing, tenure, and account-size criteria. Institutional Shares are designed
for investors who meet certain administrative and servicing criteria and invest
a minimum of $10 million.
A. The following significant accounting policies conform to generally accepted
accounting principles for U.S. mutual funds. The funds consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Securities are valued as of the close of trading on
the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation
date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such
securities not traded on the valuation date are valued at the mean of the latest
quoted bid and asked prices. Securities for which market quotations are not
readily available, or whose values have been materially affected by events
occurring before the funds' pricing time but after the close of the securities'
primary markets, are valued by methods deemed by the board of trustees to
represent fair value. Temporary cash investments acquired over 60 days to
maturity are valued using the latest bid prices or using valuations based on a
matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
Other temporary cash investments are valued at amortized cost, which
approximates market value.
2. FUTURES CONTRACTS: The funds use Russell 2000 Index and S&P MidCap 400
Index futures contracts to a limited extent, with the objectives of maintaining
full exposure to the stock market, enhancing returns, maintaining liquidity, and
minimizing transaction costs. A fund may purchase futures contracts to
immediately invest incoming cash in the market, or sell futures in response to
cash outflows, thereby simulating a fully invested position in the underlying
index while maintaining a cash balance for liquidity. A fund may seek to enhance
returns by using futures contracts instead of the underlying securities when
futures are believed to be priced more attractively than the underlying
securities. The primary risks associated with the use of futures contracts are
imperfect correlation between changes in market values of stocks held by the
fund and the prices of futures contracts, and the possibility of an illiquid
market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The funds, along with other members of The
Vanguard Group, transfer uninvested cash balances to a pooled cash account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
68
4. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold. Fees assessed on purchases of capital
shares through March 31, 2002, were credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that
each class separately bears certain class-specific expenses related to
maintenance of shareholder accounts (included in Management and Administrative
expenses) and shareholder reporting. Marketing and distribution expenses are
allocated to each class of shares based on a method approved by the board of
trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net
assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to each fund under methods approved by the board of
trustees. Each fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At December 31, 2003, the funds had
contributed capital to Vanguard (included in Other Assets) of:
- --------------------------------------------------------------------------------
CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF
TO VANGUARD OF FUND VANGUARD'S
INDEX FUND (000) NET ASSETS CAPITALIZATION
- --------------------------------------------------------------------------------
Small-Cap $1,074 0.02% 1.07%
Small-Cap Growth 144 0.02 0.14
Small-Cap Value 272 0.02 0.27
- --------------------------------------------------------------------------------
The funds' trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net
investment income and realized capital gains for financial reporting purposes.
Differences may be permanent or temporary. Permanent differences are
reclassified among capital accounts in the financial statements to reflect their
tax character. Temporary differences arise when certain items of income,
expense, gain, or loss are recognized in different periods for financial
statement and tax purposes; these differences will reverse at some time in the
future. Differences in classification may also result from the treatment of
short-term gains as ordinary income for tax purposes.
During the year ended December 31, 2003, the Small-Cap Growth Index and
Small-Cap Value Index Funds realized $20,834,000 and $12,094,000, respectively,
of net capital gains resulting from in-kind redemptions--in which shareholders
exchanged fund shares for securities held by the fund rather than for cash.
Because such gains are not taxable to the funds, and are not distributed to
shareholders, they have been reclassified from accumulated net realized gains to
paid-in capital.
69
At December 31, 2003, the funds had the following tax-basis amounts available
for distribution, and capital losses available to offset future net capital
gains:
- --------------------------------------------------------------------------------
AMOUNT AVAILABLE
FOR DISTRIBUTION CAPITAL LOSSES
------------------------------- ----------------------------
ORDINARY LONG-TERM EXPIRATION: FISCAL
INCOME CAPITAL GAIN AMOUNT YEARS ENDING
INDEX FUND (000) (000) (000) DECEMBER 31
- --------------------------------------------------------------------------------
Small-Cap $(390)* -- $1,009,290 2009-2012
Small-Cap Growth (5)* -- 103,165 2009-2012
Small-Cap Value (200)* -- 328,412 2010-2011
- --------------------------------------------------------------------------------
*Amount of the fund's December 2003 dividend payable in January 2004 that will
be used to reduce required 2004 ordinary income dividends.
At December 31, 2003, net unrealized appreciation of investment securities for
tax purposes was:
- --------------------------------------------------------------------------------
(000)
------------------------------------------------------
NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
INDEX FUND SECURITIES SECURITIES (DEPRECIATION)
- --------------------------------------------------------------------------------
Small-Cap $2,008,663 $(248,977) $1,759,686
Small-Cap Growth 195,428 (14,666) 180,762
Small-Cap Value 371,245 (21,644) 349,601
- --------------------------------------------------------------------------------
At December 31, 2003, the aggregate settlement value of open futures contracts
expiring in March 2004 and the related unrealized appreciation were:
- --------------------------------------------------------------------------------
(000)
------------------------------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
Small-Cap/Russell 2000 Index 47 $13,094 $267
- --------------------------------------------------------------------------------
Unrealized appreciation on open futures contracts is required to be treated as
realized gain for tax purposes.
D. During the year ended December 31, 2003, purchases and sales of investment
securities other than temporary cash investments were:
- --------------------------------------------------------------------------------
(000)
----------------------------------
INDEX FUND PURCHASES SALES
- --------------------------------------------------------------------------------
Small-Cap $2,916,857 $2,048,957
Small-Cap Growth 891,521 659,629
Small-Cap Value 1,589,232 1,690,957
- --------------------------------------------------------------------------------
70
E. The market value of securities on loan to broker/dealers at December 31,
2003, and collateral received with respect to such loans were:
- --------------------------------------------------------------------------------
(000)
----------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
INDEX FUND SECURITIES RECEIVED
- --------------------------------------------------------------------------------
Small-Cap $361,787 $390,557
Small-Cap Growth 23,448 26,915
Small-Cap Value 48,086 51,223
- --------------------------------------------------------------------------------
The funds invest cash collateral received in repurchase agreements, and record a
liability for the return of the collateral, during the period the securities are
on loan.
F. Capital share transactions for each class of shares were:
- --------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------
2003 2002
---------------------------- ----------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- --------------------------------------------------------------------------------
SMALL-CAP
Investor Shares
Issued $1,255,911 65,734 $969,210 52,655
Issued in Lieu of Cash
Distributions 40,382 1,799 32,957 2,099
Redeemed (736,647) (39,926) (807,323) (45,694)
------------------------------------------------------
Net Increase (Decrease)--
Investor Shares 559,646 27,607 194,844 9,060
------------------------------------------------------
Admiral Shares
Issued 370,576 19,377 360,338 19,812
Issued in Lieu of Cash
Distributions 8,958 399 6,353 405
Redeemed (205,776) (10,747) (178,964) (10,091)
------------------------------------------------------
Net Increase (Decrease)--
Admiral Shares 173,758 9,029 187,727 10,126
------------------------------------------------------
Institutional Shares
Issued 301,591 15,201 350,815 20,013
Issued in Lieu of Cash
Distributions 9,885 440 7,773 495
Redeemed (190,822) (10,272) (109,008) (6,203)
------------------------------------------------------
Net Increase (Decrease)--
Institutional Shares 120,654 5,369 249,580 14,305
- --------------------------------------------------------------------------------
71
- --------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------
2003 2002
---------------------------- ----------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- --------------------------------------------------------------------------------
SMALL-CAP GROWTH
Investor Shares
Issued $ 477,577 41,583 $186,828 18,562
Issued in Lieu of Cash
Distributions 1,307 101 853 93
Redeemed (165,871) (14,657) (89,126) (9,205)
------------------------------------------------------
Net Increase (Decrease)--
Investor Shares 313,013 27,027 98,555 9,450
------------------------------------------------------
Institutional Shares
Issued 34,063 3,404 67,564 6,452
Issued in Lieu of Cash
Distributions 68 5 457 50
Redeemed (115,452) (12,427) (48,987) (5,246)
------------------------------------------------------
Net Increase (Decrease)--
Institutional Shares (81,321) (9,018) 19,034 1,256
- --------------------------------------------------------------------------------
SMALL-CAP VALUE
Investor Shares
Issued $ 523,908 54,116 $1,192,018 113,003
Issued in Lieu of Cash
Distributions 26,862 2,345 35,943 3,594
Redeemed (405,338) (43,803) (514,720) (56,570)
------------------------------------------------------
Net Increase (Decrease)--
Investor Shares 145,432 12,658 713,241 60,027
------------------------------------------------------
Institutional Shares
Issued 91,334 10,337 278,790 25,926
Issued in Lieu of Cash
Distributions 1,528 133 14,995 1,481
Redeemed (339,229) (40,928) (174,970) (19,366)
------------------------------------------------------
Net Increase (Decrease)--
Institutional Shares (246,367) (30,458) 118,815 8,041
- --------------------------------------------------------------------------------
72
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds:
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Small-Cap Index Fund, Small-Cap Growth Index Fund, and Small-Cap Value Index
Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to
as the "Funds") at December 31, 2003, the results of each of their operations
for the year then ended, the changes in each of their net assets for each of the
two years in the period then ended and the financial highlights for each of the
periods indicated, in conformity with accounting principles generally accepted
in the United States of America. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 2003 by correspondence with the custodian and broker, provide a
reasonable basis for our opinion.
PRICEWATERHOUSECOOPERS LLP
PHILADELPHIA, PENNSYLVANIA
FEBRUARY 3, 2004
- --------------------------------------------------------------------------------
SPECIAL 2003 TAX INFORMATION
(UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (SMALL-CAPITALIZATION
PORTFOLIOS)
This information for the fiscal year ended December 31, 2003, is included
pursuant to provisions of the Internal Revenue Code.
For corporate shareholders, the percentage of investment income (dividend income
plus short-term gains, if any) that qualifies for the dividends-received
deduction is as follows:
- -----------------------------------
INDEX FUND PERCENTAGE
- -----------------------------------
Small-Cap 68.2%
Small-Cap Growth 100.0
Small-Cap Value 65.1
- -----------------------------------
The funds distributed the maximum amount of qualified dividend income allowable.
The amount of qualified dividend income distributed by the funds was provided to
individual shareholders on their 2003 Form 1099-DIV.
- --------------------------------------------------------------------------------
73
INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM
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74
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
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It may be an obvious point, but if you invest as much in your IRA as the law
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"Max out" every year you can.
MAKE IT AUTOMATIC
Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment
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The owners of low-cost investments keep a larger portion of their gross returns
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THE VANGUARD(R) FAMILY OF FUNDS STOCK FUNDS
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VARIABLE ANNUITY
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Total Bond Market Index Portfolio
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For information about Vanguard funds and annuities, including charges and
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Forge, PA 19482-2600. Read it carefully before you invest or send money.
THIS PAGE INTENTIONALLY LEFT BLANK.
THIS PAGE INTENTIONALLY LEFT BLANK.
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THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated and
managed in your best interests since, as a shareholder, you are a part owner of
the fund. Your fund 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 sizable
personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business,
academia, and public service to their task of working with Vanguard officers to
establish the policies and oversee the activities of
- ------------------------------------------------------------------------------------------------------------
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee
(1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies
May 1987 Executive Officer, served by The Vanguard Group.
and Trustee
(118)
- ------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor
(1937) (118) to Greenwich Associates (international business strategy consulting);
January 2001 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 Trustee Chairman and Chief Executive Officer (since October 1999), Vice
(1945) (118) Chairman (JanuarySeptember 1999), and Vice President (prior to
December 2001 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; and Trustee of Drexel University.
- ------------------------------------------------------------------------------------------------------------
JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the
HEISEN (118) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer
(1950) products); Director of the Medical Center at Princeton and Women's
July 1998 Research and Education Institute.
- ------------------------------------------------------------------------------------------------------------
BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University;
(1932) (116) Director of Vanguard Investment Series plc (Irish invest-ment fund)
May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish
investment management firm)(since November 2001),Prudential Insurance
Co. of America, BKF Capital (investment management), The Jeffrey Co.
(holding company), and NeuVis, Inc.(software company).
- ------------------------------------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment
advisors for the funds; monitoring fund operations, performance, and costs;
reviewing contracts; nominating and selecting new trustees/directors; and
electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee's
retirement, resignation, or death; or otherwise as specified in the fund's
organizational documents. Any trustee may be removed at a shareholders' meeting
by a vote representing two-thirds of the net asset value of all shares of the
fund together with shares of other Vanguard funds organized within the same
trust. The table on these two pages shows information for each trustee and
executive officer of the fund. The mailing address of the trustees and officers
is P.O. Box 876, Valley Forge, PA 19482.
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO
(1941) (118) Industries, Inc. (forklift trucks/housewares/lignite); Director of
January 1993 Goodrich Corporation (industrial products/aircraft systems and
services); Director of Standard Products Company (supplier for
the automotive industry) until 1998.
- ------------------------------------------------------------------------------------------------------------
J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co.
(1936) (118) (chemicals); Director of Cummins Inc. (diesel engines), The Mead
April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal
distribution); Trustee of Vanderbilt University.
- ------------------------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.;
(1951) (118) Secretary of The Vanguard Group and of each of the investment
June 2001 companies served by The Vanguard Group.
- ------------------------------------------------------------------------------------------------------------
Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the
(1957) (118) investment companies served by The Vanguard Group.
July 1998
- ------------------------------------------------------------------------------------------------------------
*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. MICHAEL S. MILLER, Planning and Development.
JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance.
KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer.
F. WILLIAM MCNABB, III, Client Relationship Group.
- ------------------------------------------------------------------------------------------------------------
JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996.
- ------------------------------------------------------------------------------------------------------------
[VANGUARD SHIP LOGO]
THE VANGUARD GROUP(R)
POST OFFICE BOX 2600
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ABOUT OUR COVER
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FOR MORE INFORMATION
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VANGUARD MARKETING
CORPORATION, DISTRIBUTOR.
Q480 022004
VANGUARD(R) U.S. STOCK INDEX FUNDS
MID-CAPITALIZATION PORTFOLIOS
DECEMBER 31, 2003
ANNUAL REPORT
VANGUARD(R)EXTENDED MARKET INDEX FUND
VANGUARD(R)MID-CAP INDEX FUND
THE VANGUARD GROUP(R) LOGO
HOW TO READ YOUR FUND REPORT
This report contains information that can help you evaluate your investment. It
includes details about your fund's return and presents data and analysis that
provide insight into the fund's performance and investment approach.
By reading the letter from Vanguard's chairman, you'll get an understanding of
how the fund invests and how the market environment affected its performance.
The statistical information that follows can help you understand how the fund's
performance and characteristics stack up against those of similar funds and
market benchmarks.
It's important to keep in mind that any opinions expressed here are just that:
informed opinions. They should not be considered promises or advice. These
opinions, like the statistics, cover the period through the date on the cover of
this report. The risks of investing in the fund are spelled out in the
prospectus.
Frequent updates on the fund's performance and information about some of its
holdings are available on Vanguard.com(R).
- --------------------------------------------------------------------------------
CONTENTS
1 letter from the chairman
7 fund profiles
9 glossary of investment terms
10 performance summaries
13 your fund's after-tax returns
14 about your fund's expenses
15 financial statements
71 advantages of vanguard.com
- --------------------------------------------------------------------------------
SUMMARY
* As the stock market recovered in 2003 from one of the longest and deepest
bear markets in history, the Extended Market Index and Mid-Cap Index Funds
recorded their best annual returns ever. Their Investor Shares earned 43.4%
and 34.1%, respectively.
* Small-cap stocks led the market, which boosted returns for the Extended
Market Index Fund.
Want Less Clutter in Your Mailbox? Just Register With VANGUARD.COM and opt to
get fund reports online.
INDEXED TO MSCI
MID-CAP INDEX FUND
- --------------------------------------------------------------------------------
LETTER FROM THE CHAIRMAN
Fellow Shareholder,
The stock market rebound that began in March turned 2003 into a remarkable year
for equities, especially those from smaller companies. Vanguard Extended Market
Index Fund and Vanguard Mid-Cap Index Fund registered their best fiscal-year
performances ever: 43.4% and 34.1%, respectively, for the funds' Investor
Shares.
[PICTURES OF JOHN J. BRENNAN]
- ----------------------------------------------
2003 TOTAL RETURNS YEAR ENDED
DECEMBER 31
- ----------------------------------------------
VANGUARD EXTENDED MARKET INDEX FUND
Investor Shares 43.4%
Admiral Shares 43.5
Institutional Shares 43.7
VIPER Shares
Market Price 43.7
Net Asset Value 43.6
Wilshire 4500 Index 43.8
Average Mid-Cap Core Fund* 36.1
- ----------------------------------------------
VANGUARD MID-CAP INDEX FUND
Investor Shares 34.1%
Admiral Shares 34.2
Institutional Shares 34.3
Spliced Mid Cap Index** 33.8
Average Mid-Cap Core Fund* 36.1
- ----------------------------------------------
*Derived from data provided by Lipper Inc.
**S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index
thereafter.
As the adjacent table shows, both funds fulfilled their objectives of closely
tracking their target indexes. (The Mid-Cap Index Fund even slightly
outperformed its benchmark.) The Extended Market Index Fund also outpaced the
average mid-capitalization core mutual fund by more than 7 percentage points, in
part because the fund's target index includes small-cap stocks--the best-
performing segment of the broad market during the 12 months. On the other hand,
the Mid-Cap Index Fund, which tracks an index that's "pure" mid-cap, lagged the
same average peer fund by 2 percentage points.
Each fund's total returns are based on the change in net asset value plus income
distributions during the year. (Despite the funds' strong returns, neither one
distributed a capital gain, enhancing tax-efficiency.) The table on page 6
provides details. If you hold either fund in a taxable account, you may wish to
refer to page 13 to view after-tax returns.
1
STOCKS LEAPED FORWARD AFTER YEARS OF DECLINE
Three straight years of stock market declines ended in a spectacular fashion in
2003. The broad U.S. stock market, as measured by the Wilshire 5000 Total Market
Index, returned 31.6% for the 12 months. The start of combat operations in Iraq
in mid-March and the subsequent quick end to that phase of the engagement
relieved months of anticipation and uncertainty that had cast a pall over the
financial markets.
- --------------------------------------------------------------------------------
ADMIRAL(TM) SHARES
A lower-cost class of shares available to many longtime shareholders and to
those with significant investments in the fund.
INSTITUTIONAL SHARES
This class of shares also carries low expenses and is available for a minimum
investment of $10 million.
VIPER(R) SHARES
Traded on the American Stock Exchange, VIPERS(R) are available only through
brokers. A table on page 11 shows VIPER returns based on both the AMEX market
price and the net asset value for a share.
- --------------------------------------------------------------------------------
Other factors also contributed to investors' optimism: the Federal Reserve
Board's cutting short-term interest rates to a 45-year low of 1.00%; a falling
U.S. dollar, which aided businesses dependent on exports and profits from
operations overseas; mortgage rates' hitting four-decade lows, which spurred
further home-buying and freed up cash through refinancing; tax cuts and refunds
to consumers who were more than willing to spend the windfall; a spike in
spending by businesses to replenish inventories and equipment; and the rapid
growth of the economy, which reached an annual rate of 8.2% in the third
quarter.
"JUNK" REIGNED SUPREME
Investors' renewed appetite for risk was evident not just in the equity market,
but on the fixed income side as well. Bonds from companies with
below-investment-grade credit ratings (popularly known as "junk" bonds) surged
29.0% during the 12 months, as measured by the Lehman Brothers High Yield Bond
Index.
At the other extreme of the credit-quality spectrum, U.S. Treasury securities at
first seemed poised for a fourth straight year of outstanding gains. By June,
the rising price of the 10-year Treasury note drove its yield down to just above
3%--a level not seen since Dwight Eisenhower occupied the Oval Office. However,
the prices of Treasuries fell subsequently,
2
and by year-end the 10-year note's yield stood at 4.25%, up 44 basis points
(0.44 percentage point) from the beginning of the year. Treasuries' total
returns (which include interest income) for the full 12 months were still in
positive territory, but barely above inflation. Mortgage-backed securities did
only marginally better, while investment-grade corporate bonds--particularly
those with longer maturities--posted solid returns. The Lehman Aggregate Bond
Index, the benchmark for the broad U.S. investment-grade taxable bond market,
earned 4.1%. Even as yields on longer-maturity bonds rose, the yield of the
3-month U.S. Treasury bill, a proxy for money market rates, finished the year at
0.92%, 27 basis points below its year-ago level.
THE FUNDS' GAINS WERE STELLAR ACROSS SECTORS
As expected, the Vanguard mid-cap index funds reflected the performance of their
target benchmarks during the 12 months. In a change from recent years,
fulfilling that objective was a pleasant experience. We thank our shareholders
for their patience and loyalty through some trying times during the long bear
market.
- --------------------------------------------------------------------------------
MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
---------------------------------------------
ONE THREE FIVE
YEAR YEARS YEARS
- --------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1%
Russell 2000 Index (Small-caps) 47.3 6.3 7.1
Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4
MSCI All Country World Index Free
ex USA (International) 41.4 -1.0 1.5
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 4.1% 7.6% 6.6%
(Broad taxable market)
Lehman Municipal Bond Index 5.3 6.7 5.8
Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5
================================================================================
CPI
Consumer Price Index 1.9% 1.9% 2.4%
- --------------------------------------------------------------------------------
The gains made in 2003 were consistently high across sectors within both funds.
Indeed, sector returns ranged from a "low" of 15% (energy-related stocks within
the Mid-Cap Index Fund) to a high of 71% (technology stocks within the Extended
Market Index Fund). Other sectors, including consumer discretionary, financial
services, health care, and producer durables--industries that, in general, stand
to benefit in an expanding economy--posted impressive returns and, in some
cases, made more of an impact on overall performance because of their heavier
weightings in the target indexes and therefore the funds.
3
The Extended Market Index Fund posted the more impressive total returns, both in
absolute and relative terms, in large part because its target, the Wilshire 4500
Completion Index, includes both mid-cap and small-cap stocks. On the other hand,
the Mid-Cap Index Fund's index is virtually all mid-caps, which, despite their
substantial gains, didn't keep pace with small-cap issues.
As I explained in our last semiannual report, the Mid-Cap Index Fund's benchmark
switched in mid-May from the Standard & Poor's MidCap 400 Index to the new
Morgan Stanley Capital International (MSCI) US Mid Cap 450 Index. (The "spliced"
index that appears throughout this report reflects the change.) Because of the
different methods used to construct these two indexes, performance results will
also differ. What the impact will be on the fund's absolute returns going
forward, no one can say. However, we feel the new MSCI index is a better
reflection of the mid-cap segment of the market and should also provide more
consistent results relative to mutual fund peers. The latter means that costs,
rather than index methodology, will play a bigger role in the fund's relative
performance. And when it comes to costs, Vanguard has an advantage: Our expense
ratios are typically a fraction of the average for peer funds. (For details on
the impact of costs on returns, see page 14.)
- ---------------------------------------------------------------
TOTAL RETURNS TEN YEARS ENDED
DECEMBER 31, 2003*
- ---------------------------------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RETURN INITIAL INVESTMENT
- ---------------------------------------------------------------
Extended Market Index Fund
Investor Shares 10.1% $26,076
Wilshire 4500 Index 9.8 25,436
Average Mid-Cap Core Fund 12.2 31,733
- ---------------------------------------------------------------
Mid-Cap Index Fund
Investor Shares 9.7% $16,849
Spliced Mid Cap Index 9.4 16,528
Average Mid-Cap Core Fund 8.3 15,617
- ---------------------------------------------------------------
*For the Mid-Cap Index Fund and its comparative measures, returns are since the
fund's inception on May 21, 1998.
OUR TRACKING RECORD HAS HELD UP OVER THE LONG TERM
One year is a mere snapshot; a fund's performance should be gauged over the long
term. The table above shows the annualized returns and the final results of a
hypothetical $10,000 initial investment over ten years for the Extended Market
Index Fund and its comparative measures. Also shown are figures for the Mid-Cap
Index Fund and its benchmarks since that fund's inception in May 1998.
4
Both funds slightly outpaced their respective target indexes--no mean feat,
given that index funds are normally expected to lag their targets because of
real-world operating costs. The funds' investment advisor, Vanguard's
Quantitative Equity Group, added value through skillful use of proprietary
tracking methodologies that helped take maximum advantage of the funds' low
costs.
Relative to the average competing fund, the funds' long-term returns are the
reverse of their recent one-year results: The Extended Market Index Fund lagged
the average peer by about 2 percentage points, while the Mid-Cap Index Fund
outpaced the same peer by 1.4 percentage points. The reasons again lie in
differing index constructions, as well as different time periods. Small-cap
stocks lagged large- and mid-caps during most of the 1990s--a factor that
hindered the Extended Market Index Fund's returns. Actively managed peer funds,
on the other hand, often included large-cap stocks that dominated the market.
Meanwhile, the bear market prevailed during much of the Mid-Cap Index Fund's
shorter life span. The fund's former target index excludes companies that have
less than four quarters of operating profits. That meant many of the more
speculative companies that plunged during the bear market were not part of the
index, an advantage for the fund's relative performance.
2003 BROUGHT STRONG RETURNS--AND DISAPPOINTMENT
Writing about positive stock fund returns has been a welcome change. Although
the market's resurgence has made my task more pleasant, it has in no way altered
the advice that we offered to shareholders both before and during the long
downturn and that we continue to offer today. In any market environment, the
keys to successful long-term investing are balance, diversification, and low
costs. Make these principles the foundation of your investment plan, and you'll
be positioned to survive--and ultimately thrive--come what may.
Unfortunately, 2003 was a disappointment in one key respect. The reports of late
trading and market-timing at some investment management firms have been as
disturbing to us as they no doubt have been to you. I want to close this letter
with an assurance that Vanguard has long had policies and procedures in place to
identify and deter such behavior.
5
More important, Vanguard shareholders are served by a crew of the highest
integrity, and our client-owned corporate structure aligns our day-to-day
efforts with your long-term financial goals.
Thank you for investing your assets with Vanguard.
Sincerely,
/S/JOHN J. BRENNAN
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JANUARY 14, 2004
- --------------------------------------------------------------------------------
YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003
DISTRIBUTIONS PER SHARE
-------------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
Extended Market Index Fund
Investor Shares $18.74 $26.66 $0.213 $0.000
Admiral Shares 18.74 26.66 0.227 0.000
Institutional Shares 18.74 26.67 0.243 0.000
VIPER Shares 49.46 70.37 0.612 0.000
- --------------------------------------------------------------------------------
Mid-Cap Index Fund
Investor Shares $ 9.88 $13.13 $0.122 $0.000
Admiral Shares 44.81 59.55 0.595 0.000
Institutional Shares 9.90 13.16 0.137 0.000
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND VIPER SHARES
PREMIUM/DISCOUNT: DECEMBER 27, 2001*-DECEMBER 31, 2003
CLOSING PRICE
ABOVE OR EQUAL TO CLOSING PRICE BELOW
CLOSING NET ASSET VALUE CLOSING NET ASSET VALUE
-------------------------- ------------------------
NUMBER PERCENTAGE OF NUMBER PERCENTAGE OF
BASIS POINT DIFFERENTIAL** OF DAYS TOTAL DAYS OF DAYS TOTAL DAYS
- --------------------------------------------------------------------------------
0-24.9 280 55.23% 151 29.78%
25-49.9 48 9.47 20 3.94
50-74.9 3 0.59 3 0.59
75-100.0 1 0.20 1 0.20
>100.0 0 0.00 0 0.00
- --------------------------------------------------------------------------------
Total 332 65.49% 175 34.51%
- --------------------------------------------------------------------------------
*Inception.
**One basis point equals 1/100th of 1%.
6
FUND PROFILES
These Profiles provide snapshots of each fund's characteristics, compared where
indicated with the fund's unmanaged target index and a broad market index. Key
terms are defined on page 9.
EXTENDED MARKET INDEX FUND
- -----------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- -----------------------------------------------------------------
Number of Stocks 3,337 4,720 5,216
Median Market Cap $1.9B $1.9B $29.3B
Price/Earnings Ratio 37.5x 37.8x 25.6x
Price/Book Ratio 2.2x 2.2x 3.1x
Yield 1.1% 1.5%
Investor Shares 0.8%
Admiral Shares 0.9%
Institutional Shares 1.0%
VIPER Shares 0.9%
Return on Equity 6.5% 6.5% 15.9%
Earnings Growth Rate 5.2% 5.4% 5.3%
Foreign Holdings 0.2% 1.1% 0.8%
Turnover Rate 8% -- --
Expense Ratio -- --
Investor Shares 0.26%
Admiral Shares 0.20%
Institutional Shares 0.10%
VIPER Shares 0.20%
Short-Term Reserves 0% -- --
- -----------------------------------------------------------------
- ---------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
Berkshire Hathaway Inc. 3.3%
(financial services)
Liberty Media Corp. 1.1
(media)
InterActiveCorp 0.7
(retail)
Amazon.com, Inc. 0.7
(retail)
Genentech, Inc. 0.7
(biotechnology)
Cox Communications, Inc. Class A 0.7
(telecommunications)
Hughes Electronics Corp. 0.5
(telecommunications services)
M & T Bank Corp. 0.4
(banking)
Gilead Sciences, Inc. 0.4
(pharmaceuticals)
Fox Entertainment Group, Inc. Class A 0.3
(entertainment)
- ---------------------------------------------------
Top Ten 8.8%
- ---------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- -----------------------------------------------------------------
VOLATILITY MEASURES
TARGET BROAD
FUND INDEX* FUND INDEX**
- -----------------------------------------------------------------
R-Squared 1.00 1.00 0.90 1.00
Beta 1.01 1.00 1.11 1.00
- -----------------------------------------------------------------
- ------------------------
INVESTMENT FOCUS
STYLE Blend
MARKET CAP Medium
- ------------------------
- -----------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- -----------------------------------------------------------------
Auto & Transportation 3% 3% 3%
Consumer Discretionary 21 21 15
Consumer Staples 3 3 7
Financial Services 28 28 23
Health Care 12 12 13
Integrated Oils 0 0 3
Other Energy 5 5 2
Materials & Processing 6 6 4
Producer Durables 5 5 4
Technology 12 12 15
Utilities 5 5 6
Other 0 0 5
- -----------------------------------------------------------------
VISIT OUR WEBSITE AT VANGUARD.COM
FOR REGULARLY UPDATED FUND INFORMATION.
*Wilshire 4500 Index.
**Wilshire 5000 Index.
7
FUND PROFILES (CONTINUED)
MID-CAP INDEX FUND
- -----------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- -----------------------------------------------------------------
Number of Stocks 453 452 5,216
Median Market Cap $4.8B $4.7B $29.3B
Price/Earnings Ratio 24.7x 24.6x 25.6x
Price/Book Ratio 2.5x 2.5x 3.1x
Yield 1.3% 1.5%
Investor Shares 1.1%
Admiral Shares 1.2%
Institutional Shares 1.3%
Return on Equity 14.6% 14.6% 15.9%
Earnings Growth Rate 9.0% 9.0% 5.3%
Foreign Holdings 0.5% 0.5% 0.8%
Turnover Rate 73%+ -- --
Expense Ratio -- --
Investor Shares 0.26%
Admiral Shares 0.18%
Institutional Shares 0.10%
Short-Term Reserves 0% -- --
- -----------------------------------------------------------------
- ---------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
Xerox Corp. 0.7%
(electronic business equipment)
PACCAR, Inc. 0.6
(automotive and transport)
Medco Health Solutions, Inc. 0.6
(health care)
Altera Corp. 0.5
(electronics)
CIGNA Corp. 0.5
(insurance)
Flextronics International Ltd. 0.5
(electronics)
Apple Computer, Inc. 0.5
(computer technology)
Broadcom Corp. 0.5
(electronics)
PPL Corp. 0.5
(electric utilities)
Eaton Corp. 0.5
(manufacturing)
- ---------------------------------------------------
Top Ten 5.4%
- ---------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- -----------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX++ FUND INDEX**
- -----------------------------------------------------------------
R-Squared 1.00 1.00 0.89 1.00
Beta 1.00 1.00 0.98 1.00
- -----------------------------------------------------------------
- --------------------------------------
INVESTMENT FOCUS
STYLE Blend
MARKET CAP Medium
- --------------------------------------
- -----------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- -----------------------------------------------------------------
Auto & Transportation 3% 3% 3%
Consumer Discretionary 18 18 15
Consumer Staples 3 3 7
Financial Services 22 22 23
Health Care 9 10 13
Integrated Oils 1 1 3
Other Energy 6 6 2
Materials & Processing 7 7 4
Producer Durables 7 7 4
Technology 15 15 15
Utilities 8 8 6
Other 1 0 5
- -----------------------------------------------------------------
*MSCI US Mid Cap 450 Index.
**Wilshire 5000 Index.
+Includes activity related to a change in the fund's target index.
++S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index
thereafter.
8
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 a given market index. The index is assigned a
beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically
would have seen its share price rise or fall by 12% when the index rose or fell
by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see
definition below). The lower the R-squared, the less correlation there is
between the fund and the index, and the less reliable beta is as an indicator of
volatility.
- --------------------------------------------------------------------------------
EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the
past five years for the stocks now in a fund.
- --------------------------------------------------------------------------------
EXPENSE RATIO. The percentage of a fund's average net assets used to pay its
annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
- --------------------------------------------------------------------------------
FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks
or depositary receipts of companies based outside the United States.
- --------------------------------------------------------------------------------
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 a given index. If a
fund's total returns were precisely synchronized with an index's returns, its
R-squared would be 1.00. If the fund's returns bore no relationship to the
index's returns, its R-squared would be 0.
- --------------------------------------------------------------------------------
RETURN ON EQUITY. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a fund, the weighted average return on
equity for the companies whose stocks it holds.
- --------------------------------------------------------------------------------
SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid,
short-term securities that can be readily converted to cash.
- --------------------------------------------------------------------------------
TURNOVER RATE. An indication of the fund's trading activity. Funds with high
turnover rates incur higher transaction costs and may be more likely to
distribute capital gains (which may be taxable to investors).
- --------------------------------------------------------------------------------
YIELD. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of income
provided by securities in the index.
- --------------------------------------------------------------------------------
9
PERFORMANCE SUMMARIES
All of the returns in this report represent past performance, which cannot be
used to predict future returns that may be achieved by the funds. Note, too,
that both share price and return can fluctuate widely. An investor's shares,
when redeemed, could be worth more or less than their original cost. The returns
shown do not reflect taxes that a shareholder would pay on fund distributions or
on the redemption of fund shares.
EXTENDED MARKET INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003
EXTENDED MARKET AVERAGE
INDEX FUND WILSHIRE WILSHIRE MID-CAP
INVESTOR SHARES* 5000 INDEX 4500 INDEX CORE FUND**
199312 10000 10000 10000 10000
199403 9687 9627 9638 9713
199406 9427 9552 9342 9231
199409 10049 10071 9984 9974
199412 9824 9994 9734 9876
199503 10550 10896 10471 10542
199506 11500 11913 11365 11516
199509 12826 13002 12648 12745
199512 13144 13636 12993 12866
199603 13954 14402 13761 13536
199606 14518 15037 14388 14191
199609 14894 15462 14695 14514
199612 15463 16528 15226 15145
199703 14925 16635 14581 14303
199706 17273 19445 16833 16379
199709 19878 21342 19413 18913
199712 19596 21700 19136 18432
199803 21852 24578 21355 20605
199806 21376 25057 20937 19976
199809 17379 22043 17073 16102
199812 21226 26785 20788 20020
199903 21082 27796 20752 19626
199906 23706 29965 23147 21877
199909 22321 27983 21718 21059
199912 28914 33095 28166 27682
200003 31714 34358 30968 31447
200006 28960 32817 28262 30103
200009 30057 32873 29284 31792
200012 24419 29490 23724 29648
200103 20576 25849 19958 27764
200106 23518 27782 22774 30417
200109 18567 23364 18002 24830
200112 22189 26254 21512 28571
200203 22602 26506 21898 30805
200206 20334 23164 19754 26995
200209 17182 19270 16726 22550
200212 18181 20777 17683 23314
200303 17581 20136 17111 23445
200306 21326 23459 20781 26933
200309 22927 24329 22382 28589
200312 26076 27351 25436 31733
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
------------------------------------- FINAL VALUE
ONE FIVE TEN OF A $10,000
YEAR YEARS YEARS INVESTMENT
- --------------------------------------------------------------------------------
Extended Market Index Fund
Investor Shares* 43.43% 4.20% 10.06% $26,076
Wilshire 5000 Index 31.64 0.42 10.59 27,351
Wilshire 4500 Index 43.84 4.12 9.79 25,436
Average Mid-Cap Core Fund** 36.11 9.65 12.24 31,733
- --------------------------------------------------------------------------------
FINAL VALUE
ONE SINCE OF A $250,000
YEAR INCEPTION+ INVESTMENT
- --------------------------------------------------------------------------------
Extended Market Index Fund
Admiral Shares 43.51% 0.75% $255,888
Wilshire 5000 Index 31.64 -3.19 225,863
Wilshire 4500 Index 43.84 0.79 256,261
- --------------------------------------------------------------------------------
FINAL VALUE OF
ONE FIVE SINCE A $10,000,000
YEAR YEARS INCEPTION+ INVESTMENT
- --------------------------------------------------------------------------------
Extended Market Index Fund
Institutional Shares 43.66% 4.36% 6.46% $15,011,341
Wilshire 5000 Index 31.64 0.42 4.99 13,711,047
Wilshire 4500 Index 43.84 4.12 6.33 14,893,028
- --------------------------------------------------------------------------------
FINAL VALUE
ONE SINCE OF A $10,000
YEAR INCEPTION+ INVESTMENT
- --------------------------------------------------------------------------------
Extended Market Index Fund
VIPER Shares 43.55% 8.47% $11,776
Wilshire 5000 Index 31.64 1.74 10,354
Wilshire 4500 Index 43.84 8.76 11,840
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Derived from data provided by Lipper Inc.
+Inception dates are: for Admiral Shares, November 13, 2000; for Institutional
Shares, July 7, 1997; for VIPER Shares, December 27, 2001.
Note: See Financial Highlights tables on pages 60-62 for dividend and capital
gains information.
10
- --------------------------------------------------------------------------------
CUMULATIVE RETURNS: VIPER SHARES DECEMBER 27, 2001*-DECEMBER 31, 2003
CUMULATIVE
ONE SINCE
YEAR INCEPTION
- --------------------------------------------------------------------------------
Extended Market Index Fund VIPER
Shares Market Returns 43.69% 18.03%
Extended Market Index Fund VIPER Shares
Net Total Returns 43.55 17.76
Wilshire 4500 Index 43.84 18.40
- --------------------------------------------------------------------------------
*Inception.
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003
EXTENDED MARKET
INDEX FUND WILSHIRE
INVSETOR SHARES 4500 INDEX
1994 -1.8 -2.7
1995 33.8 33.5
1996 17.6 17.2
1997 26.7 25.7
1998 8.3 8.6
1999 36.2 35.5
2000 -15.5 -15.8
2001 -9.1 -9.3
2002 -18.1 -17.8
2003 43.4 43.8
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARIES (CONTINUED)
MID-CAP INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE MAY 21, 1998-DECEMBER 31, 2003
MID-CAP SPLICED AVERAGE
INDEX FUND WILSHIRE MID CAP MID CAP
INVESTOR SHARES** 5000 INDEX INDEX+ CORE FUND+
5/21/1998 10000 10000 10000 10000
199806 9851 10126 9833 9965
199809 8436 8908 8410 8030
199812 10855 10825 10781 9853
199903 10176 11233 10093 9702
199906 11628 12110 11522 10909
199909 10674 11309 10555 10502
199912 12518 13375 12368 13623
200003 14136 13885 13938 15545
200006 13687 13262 13478 15010
200009 15346 13285 15116 15855
200012 14783 11918 14534 14590
200103 13186 10447 12968 13725
200106 14927 11228 14674 15167
200109 12470 9442 12243 12383
200112 14709 10610 14446 14061
200203 15697 10712 15417 15228
200206 14230 9361 13982 13460
200209 11873 7788 11669 11246
200212 12561 8397 12349 11474
200303 12001 8138 11802 11590
200306 13959 9480 13682 13429
200309 14836 9832 14552 14258
200312 16849 11054 16528 15617
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
---------------------------------- FINAL VALUE
ONE FIVE SINCE OF A $10,000
YEAR YEARS INCEPTION* INVESTMENT
- --------------------------------------------------------------------------------
Mid-Cap Index Fund
Investor Shares** 34.14% 9.19% 9.74% $16,849
Wilshire 5000 Index 31.64 0.42 1.80 11,054
Spliced Mid Cap IndexY 33.84 8.92 9.36 16,528
Average Mid-Cap Core Fund++ 36.11 9.65 8.26 15,617
- --------------------------------------------------------------------------------
FINAL VALUE
ONE SINCE OF A $250,000
YEAR INCEPTION* INVESTMENT
- --------------------------------------------------------------------------------
Mid-Cap Index Fund
Admiral Shares 34.24% 10.59% $309,899
Wilshire 5000 Index 31.64 3.96 271,584
Spliced Mid Cap IndexY 33.84 10.46 309,123
- --------------------------------------------------------------------------------
FINAL VALUE OF
ONE FIVE SINCE A $10,000,000
YEAR YEARS INCEPTION* INVESTMENT
- --------------------------------------------------------------------------------
Mid-Cap Index Fund
Institutional Shares 34.33% 9.36% 9.90% $16,990,821
Wilshire 5000 Index 31.64 0.42 1.80 11,053,539
Spliced Mid Cap Index+ 33.84 8.92 9.36 16,528,450
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) MAY 21, 1998-DECEMBER 31, 2003
MID-CAP SPLICED
INDEX FUND MID-CAP
INVESTOR SHARES INDEX+
1998 8.6 7.8
1999 15.3 14.7
2000 18.1 17.5
2001 -0.5 -0.6
2002 -14.6 -14.5
2003 34.1 33.8
- --------------------------------------------------------------------------------
*Inception dates are: for Investor and Institutional Shares, May 21, 1998; for
Admiral Shares, November 12, 2001.
**Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
+S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index
thereafter.
++Derived from data provided by Lipper Inc.
NOTE: See Financial Highlights tables on pages 63-65 for dividend and capital
gains information.
12
YOUR FUND'S AFTER-TAX RETURNS
This table presents returns for your fund both before and after taxes. The
after-tax returns are shown in two ways: (1) assuming that an investor owned the
fund during the entire period and paid taxes on the fund's distributions, and
(2) assuming that an investor paid taxes on the fund's distributions and sold
all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital
gains tax rates in effect at the times of the distributions and the hypothetical
sales. State and local taxes were not considered. After-tax returns reflect the
reduced tax rates on ordinary income (including qualified dividend income) and
short-term capital gains that became effective as of January 1, 2003, and on
long-term capital gains realized on or after May 6, 2003. Qualified dividend
income is based on calendar year 2003. (In the example, returns after the sale
of fund shares may be higher than those assuming no sale. This occurs when the
sale would have produced a capital loss. The calculation assumes that the
investor received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share
classes will differ. Please note that your actual after-tax returns will depend
on your tax situation and may differ from those shown. Also note that if you own
the fund in a tax-deferred account, such as an individual retirement account or
a 401(k) plan, this information does not apply to you. Such accounts are not
subject to current taxes.
Finally, keep in mind that a fund's performance--whether before or after
taxes--does not indicate how it will perform in the future.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003
ONE YEAR FIVE YEARS TEN YEARS
------------------------------------------
EXTENDED MARKET INDEX FUND
INVESTOR SHARES*
Returns Before Taxes 43.43% 4.20% 10.06%
Returns After Taxes on Distributions 43.19 2.48 8.24
Returns After Taxes on Distributions
and Sale of Fund Shares 28.39 2.86 7.98
- --------------------------------------------------------------------------------
SINCE
ONE YEAR FIVE YEARS INCEPTION**
------------------------------------------
MID-CAP INDEX FUND INVESTOR SHARES*
Returns Before Taxes 34.14% 9.19% 9.74%
Returns After Taxes on Distributions 33.94 7.47 8.12
Returns After Taxes on Distributions
and Sale of Fund Shares 22.42 6.90 7.47
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Returns are since the fund's inception on May 21, 1998.
13
ABOUT YOUR FUND'S EXPENSES
All mutual funds have operating expenses. These expenses include costs for
portfolio management, administrative services, and shareholder reports (like
this one), among others. Operating expenses, which are deducted from a fund's
gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its net assets. This figure is known
as the expense ratio.
A HYPOTHETICAL EXAMPLE
We believe it is important for you to understand the impact of costs on your
investment. The following example illustrates the costs that you would incur
over a 12-month period if you invested $10,000 in your fund, using the fund's
actual return and operating expenses for the fiscal year ended December 31,
2003. The cost in dollars is calculated by applying the expense ratio to the
average balance in the hypothetical account. For comparative purposes, we also
list the average expense ratio for each fund's peer group, which is derived from
data provided by Lipper Inc.
- --------------------------------------------------------------------------------
COST OF $10,000 FUND PEER GROUP*
INVESTMENT IN FUND EXPENSE RATIO EXPENSE RATIO
- --------------------------------------------------------------------------------
EXTENDED MARKET INDEX FUND
Investor Shares $32 0.26% 1.39%
Admiral Shares 24 0.20 --
Institutional Shares 12 0.10 --
VIPER Shares 24 0.20 --
- --------------------------------------------------------------------------------
MID-CAP INDEX FUND
Investor Shares $30 0.26% 1.39%
Admiral Shares 21 0.18 --
Institutional Shares 12 0.10 --
- --------------------------------------------------------------------------------
*Average Mid-Cap Core Fund.
Calculations assume no shares were sold. Your actual costs may have been higher
or lower, depending on the amount of your investment and your holding period.
Peer-group ratio captures data through year-end 2002.
You can find more information about the funds' expenses, including annual
expense ratios for the past five years, in the Financial Statements section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the funds' prospectus. The prospectus
presents hypothetical shareholder costs over various time periods based upon a
$10,000 investment and a return of 5% a year. This standardized example, which
appears in all mutual fund prospectuses, may be useful to you in comparing the
costs of investing in different funds.
14
FINANCIAL STATEMENTS]
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. Because all income and any realized gains
must be distributed to shareholders each year, the bulk of net assets consists
of Paid-in Capital (money invested by shareholders). The amounts shown for
Undistributed Net Investment Income and Accumulated Net Realized Gains usually
approximate the sums the fund had available to distribute to shareholders as
income dividends or capital gains as of the statement date, but may differ
because certain investments or transactions may be treated differently for
financial statement and tax purposes. Any Accumulated Net Realized Losses, and
any cumulative excess of distributions over net income or net realized gains,
will appear as negative balances. Unrealized Appreciation (Depreciation) is the
difference between the market value of the fund's investments and their cost,
and reflects the gains (losses) that would be realized if the fund were to sell
all of its investments at their statement-date values.
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.4%)(1)
- --------------------------------------------------------------------------------
* Berkshire Hathaway Inc. Class A 2,663 $ 224,358
* Liberty Media Corp. 6,346,518 75,460
* InterActiveCorp 1,525,367 51,756
* Amazon.com, Inc. 945,569 49,775
* Genentech, Inc. 520,091 48,665
* Cox Communications, Inc.
Class A 1,397,973 48,160
* Hughes Electronics Corp. 2,136,359 35,357
M & T Bank Corp. 283,059 27,825
* Gilead Sciences, Inc. 477,321 27,751
* Fox Entertainment Group, Inc.
Class A 831,033 24,225
Kraft Foods Inc. 660,270 21,274
* EchoStar Communications Corp.
Class A 580,383 19,733
UnionBanCal Corp. 342,878 19,729
CIT Group Inc. 502,908 18,080
E.W. Scripps Co. Class A 190,335 17,918
Washington Post Co. Class B 22,519 17,822
New York Community
Bancorp, Inc. 454,443 17,292
Hudson City Bancorp, Inc. 449,943 17,179
* Juniper Networks, Inc. 917,661 17,142
* Affiliated Computer Services, Inc.
Class A 309,486 16,855
Lennar Corp. Class A 172,946 16,603
* Coach, Inc. 437,430 16,513
Sovereign Bancorp, Inc. 689,799 16,383
Microchip Technology, Inc. 488,944 16,311
D. R. Horton, Inc. 370,574 16,031
Mylan Laboratories, Inc. 633,869 16,012
* Caremark Rx, Inc. 627,447 15,893
Royal Caribbean Cruises, Ltd. 455,126 15,834
Vornado Realty Trust REIT 271,368 14,857
Total System Services, Inc. 463,953 14,443
* NTL Inc. 204,938 14,294
Murphy Oil Corp. 216,733 14,155
Popular, Inc. 313,351 14,082
General Growth
Properties Inc. REIT 506,663 14,060
* Ameritrade Holding Corp. 995,653 14,009
GlobalSantaFe Corp. 550,133 13,660
Fidelity National Financial, Inc. 349,374 13,549
* Millennium
Pharmaceuticals, Inc. 710,321 13,262
National Commerce
Financial Corp. 483,208 13,182
Valero Energy Corp. 283,443 13,135
Public Storage, Inc. REIT 299,253 12,985
* MGM Mirage, Inc. 342,709 12,889
* CNA Financial Corp. 527,192 12,705
Archstone-Smith Trust REIT 450,792 12,613
15
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Laboratory Corp. of
America Holdings 338,187 $ 12,496
Banknorth Group, Inc. 381,157 12,399
* Synopsys, Inc. 366,162 12,362
XTO Energy, Inc. 434,072 12,284
* Barr Pharmaceuticals INC 158,497 12,196
* Cablevision Systems NY Group
Class A 517,528 12,105
* Dean Foods Co. 367,862 12,092
Legg Mason Inc. 156,159 12,052
* BEA Systems, Inc. 956,400 11,764
* L-3 Communications
Holdings, Inc. 228,267 11,724
Kimco Realty Corp. REIT 260,410 11,653
* AdvancePCS 218,968 11,531
Compass Bancshares Inc. 292,480 11,497
Harman International
Industries, Inc. 155,102 11,474
* SanDisk Corp. 187,019 11,434
* Cadence Design Systems, Inc. 631,429 11,353
CDW Corp. 196,304 11,339
Green Point Financial Corp. 319,387 11,281
Estee Lauder Cos. Class A 286,236 11,238
Boston Properties, Inc. REIT 230,766 11,121
* Varian Medical Systems, Inc. 160,370 11,082
* IVAX Corp. 463,041 11,057
* Mohawk Industries, Inc. 156,734 11,056
* Weatherford International Ltd. 306,708 11,041
Tyson Foods, Inc. 826,298 10,940
* E*Trade Financial Corp. 863,147 10,919
Smurfit-Stone Container Corp. 583,262 10,831
Old Republic International Corp. 426,324 10,812
Radian Group, Inc. 221,445 10,795
* SPX Corp. 179,612 10,563
* Patterson Dental Co. 160,944 10,326
Rouse Co. REIT 213,509 10,035
Duke Realty Corp. REIT 320,699 9,942
* LAM Research Corp. 307,540 9,934
Transatlantic Holdings, Inc. 122,516 9,899
* Metro-Goldwyn-Mayer Inc. 577,573 9,871
* Smith International, Inc. 235,999 9,799
Lear Corp. 159,604 9,789
White Mountains
Insurance Group Inc. 21,214 9,757
Omnicare, Inc. 241,521 9,755
* Weight Watchers
International, Inc. 252,211 9,677
ENSCO International, Inc. 353,127 9,594
Republic Services, Inc. Class A 373,737 9,579
* Williams-Sonoma, Inc. 275,280 9,571
* Whole Foods Market, Inc. 141,217 9,480
Ross Stores, Inc. 358,453 9,474
* Career Education Corp. 236,083 9,460
Commerce Bancorp, Inc. 178,898 9,424
Expeditors International of
Washington, Inc. 247,608 9,325
iStar Financial Inc. REIT 239,174 9,304
Wisconsin Energy Corp. 277,520 9,283
* XM Satellite Radio Holdings, Inc. 352,127 9,282
* VeriSign, Inc. 569,355 9,280
* Host Marriott Corp. REIT 752,605 9,272
Diebold, Inc. 171,266 9,226
* Coventry Health Care Inc. 141,665 9,136
* Level 3 Communications, Inc. 1,596,285 9,099
Hillenbrand Industries, Inc. 145,756 9,046
* Pixar, Inc. 130,444 9,038
SCANA Corp. 261,275 8,949
Fastenal Co. 178,961 8,937
* Pioneer Natural Resources Co. 278,241 8,884
* Health Net Inc. 270,257 8,837
* The Dun & Bradstreet Corp. 171,744 8,709
* Vishay Intertechnology, Inc. 378,323 8,664
Manpower Inc. 183,755 8,651
* Celgene Corp. 191,597 8,626
Hibernia Corp. Class A 366,076 8,606
TCF Financial Corp. 167,319 8,592
Mercantile Bankshares Corp. 187,715 8,556
Telephone & Data Systems, Inc. 135,483 8,474
* Invitrogen Corp. 120,499 8,435
DENTSPLY International Inc. 186,717 8,434
Hormel Foods Corp. 326,757 8,434
* Foundry Networks, Inc. 307,551 8,415
* Oxford Health Plans, Inc. 192,884 8,390
Allied Capital Corp. 300,907 8,389
The PMI Group Inc. 223,940 8,337
Doral Financial Corp. 254,537 8,216
* DST Systems, Inc. 196,693 8,214
* Constellation Brands, Inc.
Class A 248,001 8,167
* Dollar Tree Stores, Inc. 271,330 8,156
Intersil Corp. 327,535 8,139
Leucadia National Corp. 176,251 8,125
ServiceMaster Co. 696,076 8,109
* Westwood One, Inc. 235,775 8,066
Friedman, Billings,
Ramsey Group, Inc. 349,207 8,060
Avalonbay Communities,
Inc. REIT 167,946 8,028
PETsMART, Inc. 337,189 8,025
Gentex Corp. 180,900 7,989
* Sirius Satellite Radio, Inc. 2,525,926 7,982
* Iron Mountain, Inc. 201,359 7,962
16
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Foot Locker, Inc. 337,840 $ 7,922
Commerce Bancshares, Inc. 161,051 7,895
Pepco Holdings, Inc. 403,927 7,893
* ChoicePoint Inc. 206,156 7,852
Outback Steakhouse 176,482 7,802
* NVR, Inc. 16,702 7,783
Health Care Properties
Investors REIT 152,916 7,768
Bunge Ltd. 235,411 7,750
* Park Place Entertainment Corp. 714,448 7,737
Energy East Corp. 344,251 7,711
Belo Corp. Class A 269,802 7,646
* Lamar Advertising Co. Class A 204,855 7,645
* Red Hat, Inc. 406,681 7,633
* SICOR, Inc. 280,568 7,631
* PanAmSat Corp. 353,881 7,630
* Chico's FAS, Inc. 205,487 7,593
SEI Corp. 248,608 7,575
* Brinker International, Inc. 228,008 7,561
* CarMax, Inc. 244,334 7,557
C.H. Robinson Worldwide, Inc. 199,168 7,550
* International Rectifier Corp. 151,636 7,492
The McClatchy Co. Class A 108,850 7,489
* Energizer Holdings, Inc. 199,301 7,486
* Amkor Technology, Inc. 409,825 7,463
* Zebra Technologies Corp. Class A 111,579 7,405
Beckman Coulter, Inc. 145,427 7,392
* Ceridian Corp. 352,141 7,374
Associated Banc-Corp 172,836 7,371
* Rite Aid Corp. 1,216,583 7,348
Universal Health Services
Class B 136,739 7,346
Liberty Property Trust REIT 188,825 7,345
* Mid Atlantic Medical
Services, Inc. 112,800 7,309
Pogo Producing Co. 150,342 7,262
* U.S. Cellular Corp. 203,109 7,210
* 3Com Corp. 879,254 7,184
City National Corp. 115,446 7,172
* Rambus Inc. 230,784 7,085
Lyondell Chemical Co. 416,940 7,067
* Advance Auto Parts, Inc. 86,650 7,053
* ImClone Systems, Inc. 176,763 7,010
Michaels Stores, Inc. 157,965 6,982
* Agere Systems Inc. Class A 2,287,398 6,977
Astoria Financial Corp. 187,474 6,974
* Lincare Holdings, Inc. 231,878 6,963
* Henry Schein, Inc. 102,922 6,955
* Fairchild Semiconductor
International, Inc. 277,642 6,933
Chesapeake Energy Corp. 510,453 6,932
Arthur J. Gallagher & Co. 212,374 6,900
Student Loan Corp. 47,253 6,899
Questar Corp. 195,893 6,886
GTECH Holdings Corp. 138,933 6,876
W.R. Berkley Corp. 196,641 6,873
* Toll Brothers, Inc. 172,285 6,850
Developers Diversified
Realty Corp. REIT 203,683 6,838
AVX Corp. 409,292 6,802
A.G. Edwards & Sons, Inc. 185,626 6,725
* Storage Technology Corp. 260,800 6,716
The St. Joe Co. 179,758 6,703
* Atmel Corp. 1,111,375 6,679
* Getty Images, Inc. 133,023 6,668
* PacifiCare Health Systems, Inc. 98,577 6,664
Precision Castparts Corp. 146,211 6,639
Lafarge North America Inc. 163,682 6,632
* Cognizant Technology
Solutions Corp. 145,101 6,622
Unitrin, Inc. 159,333 6,598
* Amphenol Corp. 103,183 6,596
* WebMD Corp. 723,638 6,506
Alliant Energy Corp. 260,992 6,499
Mandalay Resort Group 145,028 6,486
Dial Corp. 227,192 6,468
Valley National Bancorp 221,251 6,461
Aramark Corp. Class B 234,432 6,428
* Maxtor Corp. 578,858 6,425
Erie Indemnity Co. Class A 151,454 6,419
* Entercom Communications Corp. 121,138 6,415
Northeast Utilities 315,596 6,366
MDU Resources Group, Inc. 266,873 6,354
* Cephalon, Inc. 131,230 6,353
* JetBlue Airways Corp. 239,163 6,343
AMB Property Corp. REIT 192,719 6,337
Diamond Offshore Drilling, Inc. 307,360 6,304
Equitable Resources, Inc. 146,830 6,302
* Patterson-UTI Energy, Inc. 190,807 6,281
* Jacobs Engineering Group Inc. 130,785 6,279
Allete, Inc. 205,083 6,276
Capitol Federal Financial 173,052 6,240
DPL Inc. 298,175 6,226
* The Neiman Marcus Group, Inc.
Class A 115,368 6,192
Hubbell Inc. Class B 140,358 6,190
* Community Health Systems, Inc. 232,241 6,173
* Hovnanian Enterprises Inc.
Class A 70,848 6,168
* Fisher Scientific International Inc. 148,107 6,127
* ICOS Corp. 148,296 6,122
* Avnet, Inc. 282,473 6,118
17
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Hospitality Properties Trust REIT 147,676 $ 6,096
NSTAR 124,988 6,062
The Macerich Co. REIT 136,126 6,058
* Cypress Semiconductor Corp. 283,463 6,055
Donaldson Co., Inc. 102,276 6,051
Bowater Inc. 130,646 6,050
* Endo Pharmaceuticals
Holdings, Inc. 310,686 5,984
Mercury General Corp. 128,261 5,971
* Pride International, Inc. 319,732 5,960
Harris Corp. 157,034 5,959
Eaton Vance Corp. 162,629 5,959
Noble Energy, Inc. 133,909 5,950
* DaVita, Inc. 152,464 5,946
HON Industries, Inc. 137,224 5,945
* Cooper Cameron Corp. 127,466 5,940
Wesco Financial Corp. 16,818 5,920
Investors Financial
Services Corp. 154,032 5,916
* Triad Hospitals, Inc. 177,693 5,912
Valspar Corp. 119,343 5,898
* Newfield Exploration Co. 132,113 5,884
* Markel Corp. 23,196 5,880
* AmeriCredit Corp. 368,993 5,878
Nuveen Investments, Inc.
Class A 218,806 5,833
PepsiAmericas, Inc. 340,243 5,825
* Corinthian Colleges, Inc. 104,502 5,806
* Nextel Partners, Inc. 430,555 5,791
ADTRAN Inc. 186,586 5,784
Bank of Hawaii Corp. 136,487 5,760
United Dominion Realty
Trust REIT 299,151 5,744
* Network Associates, Inc. 380,645 5,725
* Western Digital Corp. 485,314 5,722
Mack-Cali Realty Corp. REIT 137,422 5,720
* Crown Castle International Corp. 518,151 5,715
* Rent-A-Center, Inc. 191,075 5,709
Weingarten Realty
Investors REIT 128,486 5,698
New Plan Excel Realty
Trust REIT 230,525 5,687
* Ingram Micro, Inc. Class A 357,182 5,679
Sky Financial Group, Inc. 217,590 5,644
* Abercrombie & Fitch Co. 228,028 5,635
Sonoco Products Co. 228,745 5,632
Chelsea Property Group REIT 102,671 5,627
Regency Centers Corp. REIT 140,794 5,611
Wilmington Trust Corp. 155,691 5,605
International Speedway Corp. 125,497 5,605
The Chicago Mercantile Exchange 77,421 5,602
Fulton Financial Corp. 255,636 5,601
Forest City Enterprise Class A 117,809 5,597
Fair, Isaac, Inc. 113,640 5,587
Catellus Development Corp. 231,597 5,586
National Instruments Corp. 122,591 5,574
BorgWarner, Inc. 64,729 5,506
* Arrow Electronics, Inc. 237,803 5,503
Reinsurance Group of
America, Inc. 142,310 5,500
Protective Life Corp. 162,511 5,499
First American Corp. 184,460 5,491
CONSOL Energy, Inc. 211,776 5,485
Trizec Properties, Inc. REIT 355,954 5,482
* American Axle &
Manufacturing Holdings, Inc. 134,557 5,439
Packaging Corp. of America 248,470 5,432
Martin Marietta Materials, Inc. 115,384 5,420
* American Tower Corp. Class A 499,956 5,410
* Smithfield Foods, Inc. 261,067 5,404
FirstMerit Corp. 199,496 5,380
* The Cheesecake Factory 121,868 5,366
J.M. Smucker Co. 118,064 5,347
Peabody Energy Corp. 127,913 5,335
* Eon Labs, Inc. 104,474 5,323
Pentair, Inc. 116,469 5,323
* Tech Data Corp. 133,899 5,314
* Education Management Corp. 170,617 5,296
Puget Energy, Inc. 222,219 5,282
Brown & Brown, Inc. 161,902 5,280
American National Insurance Co. 62,550 5,277
* Alliant Techsystems, Inc. 91,143 5,264
* Glamis Gold, Ltd. 306,160 5,241
* Pharmaceutical Resources, Inc. 80,258 5,229
* Emulex Corp. 195,452 5,215
Viad Corp. 208,364 5,209
* BOK Financial Corp. 134,432 5,205
* Krispy Kreme Doughnuts, Inc. 142,116 5,201
Great Plains Energy, Inc. 163,314 5,197
* CheckFree Corp. 187,762 5,192
Ryland Group, Inc. 58,391 5,176
* Barnes & Noble, Inc. 157,069 5,160
* Conseco, Inc. 236,356 5,153
* Columbia Sportswear Co. 94,431 5,146
* Reliant Resources, Inc. 694,766 5,113
* Del Monte Foods Co. 490,415 5,100
* J.B. Hunt Transport
Services, Inc. 188,662 5,096
Applebee's International, Inc. 129,635 5,091
Colonial BancGroup, Inc. 293,435 5,082
* Silicon Laboratories Inc. 117,356 5,072
* Kmart Holding Corp. 211,439 5,064
18
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Certegy, Inc. 154,012 $ 5,052
* ITT Educational Services, Inc. 106,756 5,014
Mills Corp. REIT 113,718 5,004
* Saks Inc. 332,218 4,997
* Marvel Enterprises Inc. 170,437 4,961
Cullen/Frost Bankers, Inc. 122,289 4,961
OGE Energy Corp. 204,970 4,958
Webster Financial Corp. 107,620 4,935
ONEOK, Inc. 223,461 4,934
* Apogent Technologies Inc. 214,075 4,932
Valeant Pharmaceuticals
International 195,947 4,928
* O'Reilly Automotive, Inc. 127,963 4,909
* Amylin Pharmaceuticals, Inc. 220,357 4,896
* Kinder Morgan
Management, LLC 113,546 4,878
* AMR Corp. 375,667 4,865
Rayonier Inc. 117,183 4,864
* Gemstar-TV Guide
International, Inc. 962,084 4,859
* Integrated Circuit Systems, Inc. 170,167 4,848
Philadelphia Suburban Corp. 218,102 4,820
* Sepracor Inc. 200,187 4,790
* Agere Systems Inc. Class B 1,650,000 4,785
HCC Insurance Holdings, Inc. 150,387 4,782
* Varco International, Inc. 230,120 4,747
* Westport Resources Corp. 158,777 4,741
* Renal Care Group, Inc. 114,974 4,737
People's Bank 144,904 4,724
* MEMC Electronic Materials, Inc. 487,853 4,693
* Sybase, Inc. 227,947 4,691
National Fuel Gas Co. 191,928 4,691
Washington Federal Inc. 164,390 4,669
W Holding Co., Inc. 249,547 4,644
* Stericycle, Inc. 99,223 4,634
Cabot Corp. 145,507 4,633
* 99 Cents Only Stores 170,004 4,629
* BearingPoint, Inc. 458,271 4,624
Independence Community
Bank Corp. 128,341 4,616
Thornburg Mortgage, Inc. REIT 169,626 4,614
Medicis Pharmaceutical Corp. 64,708 4,614
Reynolds & Reynolds Class A 158,362 4,600
Arden Realty Group, Inc. REIT 151,579 4,599
Lee Enterprises, Inc. 105,225 4,593
Pier 1 Imports Inc. 209,745 4,585
* Polycom, Inc. 233,879 4,565
Waddell & Reed Financial, Inc. 194,332 4,559
Polaris Industries, Inc. 51,447 4,557
American Financial Group, Inc. 172,186 4,556
* Neurocrine Biosciences, Inc. 83,225 4,539
American Capital Strategies, Ltd. 152,270 4,527
Teleflex Inc. 93,605 4,524
Pan Pacific Retail
Properties, Inc. REIT 94,939 4,524
* Scotts Co. 76,092 4,502
Harte-Hanks, Inc. 206,588 4,493
RPM International, Inc. 272,749 4,489
* National-Oilwell, Inc. 200,612 4,486
MDC Holdings, Inc. 69,427 4,478
CBRL Group, Inc. 116,753 4,467
Federal Realty Investment
Trust REIT 115,875 4,448
Carlisle Co., Inc. 72,821 4,432
AGL Resources Inc. 151,556 4,410
Vectren Corp. 178,467 4,399
* RF Micro Devices, Inc. 437,161 4,393
Westcorp, Inc. 119,996 4,386
Nationwide Financial
Services, Inc. 132,559 4,382
Tootsie Roll Industries, Inc. 121,679 4,380
BancorpSouth, Inc. 184,377 4,373
Ruby Tuesday, Inc. 153,374 4,370
* Sonus Networks, Inc. 576,198 4,356
Graco, Inc. 108,444 4,349
Claire's Stores, Inc. 230,754 4,347
* Edwards Lifesciences Corp. 144,131 4,335
StanCorp Financial Group, Inc. 68,911 4,333
* First Health Group Corp. 222,540 4,331
Jack Henry & Associates Inc. 210,256 4,327
Raymond James Financial, Inc. 114,696 4,324
Station Casinos, Inc. 141,082 4,321
* Ultra Petroleum Corp. 175,396 4,318
International Bancshares Corp. 91,522 4,315
* Timberland Co. 82,786 4,311
Tidewater Inc. 142,902 4,270
Jefferies Group, Inc. 128,589 4,246
* Integrated Device
Technology Inc. 247,193 4,244
* Martek Biosciences Corp. 65,069 4,228
Harsco Corp. 96,405 4,224
Hawaiian Electric Industries Inc. 89,171 4,224
* 7-Eleven, Inc. 263,030 4,222
Oshkosh Truck Corp. 82,612 4,216
The Timken Co. 210,066 4,214
* NBTY, Inc. 156,681 4,208
* The Titan Corp. 192,124 4,190
Health Care Inc. REIT 116,196 4,183
Herman Miller, Inc. 171,921 4,173
Annaly Mortgage
Management Inc. REIT 226,545 4,168
Roper Industries Inc. 84,584 4,167
19
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Valhi, Inc. 278,204 $ 4,162
* AnnTaylor Stores Corp. 106,659 4,160
Ventas, Inc. REIT 189,073 4,160
* Yellow Roadway Corp. 114,913 4,156
Global Payments Inc. 88,147 4,153
* DeVry, Inc. 165,186 4,151
* BISYS Group, Inc. 278,879 4,150
* Swift Transportation Co., Inc. 197,219 4,146
* Owens-Illinois, Inc. 348,493 4,144
UCBH Holdings, Inc. 106,247 4,140
Camden Property Trust REIT 93,401 4,138
* Advanced Fibre
Communications, Inc. 204,937 4,129
* Gen-Probe Inc. 113,177 4,128
* The Corporate Executive
Board Co. 88,187 4,116
Talbots Inc. 133,533 4,110
* WFS Financial, Inc. 96,780 4,109
IKON Office Solutions, Inc. 345,321 4,096
* Andrx Group 169,912 4,085
Regis Corp. 103,017 4,071
CenterPoint Properties
Corp. REIT 54,323 4,069
Shurgard Storage Centers, Inc.
Class A REIT 107,634 4,052
* Avocent Corp. 110,605 4,039
* Human Genome Sciences, Inc. 304,689 4,037
Trustmark Corp. 137,903 4,036
CBL & Associates
Properties, Inc. REIT 71,239 4,025
Crescent Real Estate, Inc. REIT 234,156 4,011
* Borders Group, Inc. 182,653 4,004
CNF Inc. 117,227 3,974
* INAMED Corp. 82,655 3,972
Lubrizol Corp. 121,668 3,957
* Protein Design Labs, Inc. 221,024 3,956
* Knight Trading Group, Inc. 270,208 3,956
* Semtech Corp. 173,945 3,954
Patina Oil & Gas Corp. 80,583 3,948
WPS Resources Corp. 85,355 3,946
BRE Properties Inc. Class A REIT 117,811 3,935
* Cymer, Inc. 85,132 3,932
* Alleghany Corp. 17,662 3,930
* Covance, Inc. 146,173 3,917
* Performance Food Group Co. 108,116 3,911
Whitney Holdings Corp. 95,368 3,909
IndyMac Bancorp, Inc. REIT 131,157 3,907
Hudson United Bancorp 105,725 3,907
* Pacific Sunwear of
California, Inc. 184,593 3,899
ArvinMeritor, Inc. 161,601 3,898
The South Financial Group, Inc. 139,131 3,876
Arch Coal, Inc. 124,148 3,870
Furniture Brands
International Inc. 131,539 3,858
F.N.B. Corp. 108,746 3,855
MAF Bancorp, Inc. 91,919 3,851
* Allmerica Financial Corp. 125,162 3,851
* Service Corp. International 710,762 3,831
Westamerica Bancorporation 76,995 3,827
Lancaster Colony Corp. 84,467 3,815
* Activision, Inc. 209,168 3,807
* IDEXX Laboratories Corp. 82,219 3,805
Ametek, Inc. 78,801 3,803
Thor Industries, Inc. 67,570 3,799
John Wiley & Sons Class A 145,398 3,785
* BJ's Wholesale Club, Inc. 164,600 3,779
Church & Dwight, Inc. 95,398 3,778
* Earthlink, Inc. 376,611 3,766
Standard Pacific Corp. 77,469 3,761
Airgas, Inc. 174,388 3,746
* Respironics, Inc. 82,908 3,738
First BanCorp Puerto Rico 94,423 3,734
* Grant Prideco, Inc. 286,416 3,729
Select Medical Corp. 228,410 3,719
* Acxiom Corp. 200,236 3,718
Florida Rock Industries, Inc. 67,650 3,711
Western Gas Resources, Inc. 78,474 3,708
* Charles River Laboratories, Inc. 107,963 3,706
* STERIS Corp. 163,740 3,701
Massey Energy Co. 177,696 3,696
CarrAmerica Realty Corp. REIT 123,901 3,690
Provident Financial Group, Inc. 115,429 3,688
* Varian Semiconductor
Equipment Associates, Inc. 84,373 3,686
Ethan Allen Interiors, Inc. 87,904 3,681
* West Corp. 158,474 3,681
Park National Corp. 32,524 3,680
Werner Enterprises, Inc. 188,106 3,666
* Western Wireless Corp. Class A 199,610 3,665
* Techne Corp. 96,852 3,659
* FMC Technologies Inc. 156,188 3,639
* Ascential Software Corp. 140,049 3,631
* Interactive Data Corp. 218,717 3,622
Media General, Inc. Class A 55,585 3,619
Healthcare Realty Trust Inc. REIT 101,000 3,611
* Valassis Communications, Inc. 122,799 3,604
* Forest Oil Corp. 125,918 3,597
SL Green Realty Corp. REIT 87,539 3,593
* AGCO Corp. 177,846 3,582
Realty Income Corp. REIT 89,476 3,579
* Accredo Health, Inc. 112,930 3,570
20
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Pharmaceutical Product
Development, Inc. 132,005 $ 3,560
* Cytyc Corp. 258,684 3,559
First Midwest Bancorp, Inc. 109,759 3,557
* MKS Instruments, Inc. 122,148 3,542
* Perot Systems Corp. 262,457 3,538
* OmniVision Technologies, Inc. 64,032 3,538
* Cytec Industries, Inc. 92,024 3,533
Briggs & Stratton Corp. 52,415 3,533
* Crown Holdings, Inc. 389,114 3,525
Greater Bay Bancorp 123,559 3,519
* Brocade Communications
Systems, Inc. 607,519 3,511
* Affiliated Managers Group, Inc. 50,414 3,508
Cousins Properties, Inc. REIT 114,636 3,508
Energen Corp. 85,382 3,503
* United Rentals, Inc. 181,834 3,502
Cooper Cos., Inc. 74,186 3,496
* Emmis Communications, Inc. 129,091 3,492
* The MONY Group Inc. 111,333 3,484
* Avid Technology, Inc. 72,480 3,479
York International Corp. 94,513 3,478
* Tom Brown, Inc. 107,597 3,470
* Copart, Inc. 210,046 3,466
Westar Energy, Inc. 171,061 3,464
* Urban Outfitters, Inc. 93,454 3,462
Blyth, Inc. 107,461 3,462
Essex Property Trust, Inc. REIT 53,833 3,457
Odyssey Re Holdings Corp. 153,298 3,457
* Dade Behring Holdings Inc. 96,323 3,443
* Bio-Rad Laboratories, Inc.
Class A 59,691 3,442
Piedmont Natural Gas, Inc. 79,162 3,440
* Apria Healthcare Group Inc. 120,434 3,429
* Tractor Supply Co. 88,019 3,423
* Plantronics, Inc. 104,791 3,421
Reader's Digest Association, Inc. 233,367 3,421
* Affymetrix, Inc. 138,980 3,420
* Meridian Gold Co. 233,970 3,418
UGI Corp. Holding Co. 100,749 3,415
Old National Bancorp 149,440 3,415
* Varian, Inc. 81,720 3,410
HRPT Properties Trust REIT 336,846 3,399
* TIBCO Software Inc. 501,461 3,395
* Zale Corp. 63,705 3,389
* Micrel, Inc. 217,354 3,386
Kennametal, Inc. 85,103 3,383
Trinity Industries, Inc. 109,400 3,374
Polo Ralph Lauren Corp. 116,922 3,367
* Sycamore Networks, Inc. 641,698 3,362
* The Yankee Candle Co., Inc. 122,419 3,346
Hearst-Argyle Television Inc. 121,201 3,340
AptarGroup Inc. 85,648 3,340
* Benchmark Electronics, Inc. 95,936 3,340
Citizens Banking Corp. 102,014 3,338
* ResMed Inc. 80,158 3,330
Alexander & Baldwin, Inc. 98,673 3,324
* Hot Topic, Inc. 112,784 3,323
* CACI International, Inc. 68,287 3,320
Extended Stay America, Inc. 229,102 3,317
* DoubleClick Inc. 324,467 3,316
* Electronics for Imaging, Inc. 127,287 3,312
* IGEN International, Inc. 56,216 3,312
Helmerich & Payne, Inc. 118,249 3,303
New Century Financial Corp. 83,086 3,296
* ON Semiconductor Corp. 510,537 3,293
* The Medicines Co. 111,720 3,291
Prentiss Properties Trust REIT 99,356 3,278
* Evergreen Resources, Inc. 100,820 3,278
* Premcor, Inc. 125,939 3,274
* Terex Corp. 114,870 3,271
* United Stationers, Inc. 79,688 3,261
Duquesne Light Holdings, Inc. 177,726 3,259
* Conexant Systems, Inc. 654,324 3,252
Downey Financial Corp. 65,934 3,251
GATX Corp. 116,083 3,248
United Bankshares, Inc. 103,786 3,238
Seagate Technology 171,036 3,233
AmerUs Group Co. 92,434 3,232
IDEX Corp. 77,655 3,230
* Siliconix, Inc. 70,642 3,228
* UNOVA, Inc. 140,224 3,218
Fresh Del Monte Produce Inc. 134,060 3,195
Engineered Support
Systems, Inc. 57,957 3,191
Hollinger International, Inc. 204,115 3,188
WGL Holdings Inc. 114,696 3,187
* Tetra Tech, Inc. 128,175 3,186
* Lexar Media, Inc. 182,786 3,186
Highwood Properties, Inc. REIT 125,356 3,184
* Linens 'n Things, Inc. 105,654 3,178
* Key Energy Services, Inc. 307,905 3,175
* Southern Union Co. 172,325 3,171
* Cerner Corp. 83,582 3,164
* Scholastic Corp. 92,846 3,160
First Industrial Realty Trust REIT 93,301 3,149
Beazer Homes USA, Inc. 32,227 3,147
Southwest Bancorporation
of Texas, Inc. 80,742 3,137
Diagnostic Products Corp. 68,076 3,125
* Quest Software, Inc. 219,657 3,119
Staten Island Bancorp, Inc. 138,552 3,117
21
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Cree, Inc. 175,008 $ 3,096
* Gaylord Entertainment Co. 103,289 3,083
East West Bancorp, Inc. 57,431 3,083
Heritage Property Investment
Trust REIT 108,167 3,077
* Fossil, Inc. 109,808 3,076
United Auto Group, Inc. 97,839 3,062
* MGI Pharma, Inc. 74,412 3,062
* Pediatrix Medical Group, Inc. 55,577 3,062
* Hyperion Solutions Corp. 101,522 3,060
Flagstar Bancorp, Inc. 142,826 3,059
* P.F. Chang's China Bistro, Inc. 60,105 3,058
* Dycom Industries, Inc. 113,821 3,053
* Akamai Technologies, Inc. 283,689 3,050
* Skyworks Solutions, Inc. 350,479 3,049
FactSet Research Systems Inc. 79,774 3,048
Joy Global Inc. 115,931 3,032
Fremont General Corp. 179,124 3,029
Pennsylvania REIT 83,413 3,028
First Citizens BancShares
Class A 24,811 3,015
Callaway Golf Co. 178,396 3,006
* Anteon International Corp. 83,142 2,997
* Take-Two Interactive
Software, Inc. 103,762 2,989
* Arbitron Inc. 71,624 2,988
Commerce Group, Inc. 75,448 2,980
* Vitesse Semiconductor Corp. 507,679 2,980
* VCA Antech, Inc. 95,965 2,973
* Simpson Manufacturing Co. 58,286 2,964
* Choice Hotel International, Inc. 84,091 2,964
* Sylvan Learning Systems, Inc. 102,840 2,961
* OSI Pharmaceuticals, Inc. 91,868 2,959
Invacare Corp. 73,261 2,958
Imation Corp. 84,067 2,955
* Silicon Valley Bancshares 81,899 2,954
The Pep Boys
(Manny, Moe & Jack) 128,845 2,947
* National Processing, Inc. 125,118 2,947
Pacific Capital Bancorp 79,982 2,945
Home Properties, Inc. REIT 72,850 2,942
Corn Products International, Inc. 85,216 2,936
* Alliance Gaming Corp. 118,546 2,922
* K-V Pharmaceutical Co. Class A 114,500 2,920
Speedway Motorsports, Inc. 100,931 2,919
Cognex Corp. 103,344 2,918
* R.H. Donnelley Corp. 73,222 2,917
* Tuesday Morning Corp. 96,423 2,917
Winnebago Industries, Inc. 42,358 2,912
Albemarle Corp. 97,148 2,912
* Cincinnati Bell Inc. 576,070 2,909
* Trimble Navigation Ltd. 78,074 2,907
* Coeur D'Alene Mines Corp. 502,870 2,907
The Brink's Co. 128,180 2,898
Chittenden Corp. 86,113 2,897
Atmos Energy Corp. 119,006 2,892
* CEC Entertainment Inc. 60,970 2,889
Florida East Coast Industries, Inc.
Class A 86,668 2,869
Overseas Shipholding Group Inc. 84,232 2,868
* Cabot Microelectronics Corp. 58,443 2,864
Fred's, Inc. 92,268 2,858
Minerals Technologies, Inc. 48,123 2,851
Heartland Express, Inc. 117,864 2,851
* GrafTech International Ltd. 211,171 2,851
* FMC Corp. 83,352 2,845
* Sonic Corp. 92,645 2,837
* Alkermes, Inc. 209,955 2,834
* FLIR Systems, Inc. 77,630 2,833
Washington REIT 97,023 2,833
Nu Skin Enterprises, Inc. 165,770 2,833
* Kronos, Inc. 71,494 2,832
Reckson Associates
Realty Corp. REIT 115,658 2,810
* Panera Bread Co. 70,707 2,795
* Charter Communications, Inc. 695,269 2,795
* KEMET Corp. 203,869 2,791
* Esperion Therapeutics, Inc. 80,512 2,787
Olin Corp. 138,533 2,779
* Mueller Industries Inc. 80,877 2,779
21st Century Insurance Group 201,627 2,772
Hughes Supply, Inc. 55,794 2,768
Strayer Education, Inc. 25,403 2,765
Nordson Corp. 80,012 2,763
* American Eagle Outfitters, Inc. 167,975 2,755
* Cumulus Media Inc. 125,134 2,753
Superior Industries
International, Inc. 63,167 2,749
* Kos Pharmaceuticals, Inc. 63,796 2,746
Commercial Federal Corp. 102,715 2,744
* SCP Pool Corp. 83,626 2,733
Flowers Foods, Inc. 105,820 2,730
Equity One, Inc. REIT 161,466 2,726
* Flowserve Corp. 130,456 2,724
Hilb, Rogal and Hamilton Co. 84,838 2,721
Nationwide Health
Properties, Inc. REIT 138,743 2,712
IDACORP, Inc. 90,267 2,701
* Houston Exploration Co. 73,910 2,699
Cathay General Bancorp 48,444 2,697
IMC Global Inc. 271,588 2,697
* Landstar System, Inc. 70,761 2,692
22
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
La-Z-Boy Inc. 127,859 $ 2,682
The Phoenix Cos., Inc. 222,793 2,682
* Interdigital
Communications Corp. 129,909 2,681
Bob Evans Farms, Inc. 82,592 2,681
* NPS Pharmaceuticals Inc. 87,109 2,678
The Toro Co. 57,703 2,677
Centex Construction
Products, Inc. 44,408 2,676
PNM Resources Inc. 95,008 2,670
* Steel Dynamics, Inc. 113,625 2,669
* NetFlix.com, Inc. 48,752 2,666
* LifePoint Hospitals, Inc. 90,456 2,664
Albany International Corp. 78,573 2,664
* Arch Capital Group Ltd. 66,537 2,652
Ferro Corp. 97,409 2,650
* Stone Energy Corp. 62,339 2,646
* VISX Inc. 114,045 2,640
* Macromedia, Inc. 147,727 2,635
Clarcor Inc. 59,759 2,635
Delphi Financial Group, Inc. 73,100 2,632
* Cimarex Energy Co. 98,320 2,624
Mentor Corp. 109,055 2,624
Alexandria Real Estate
Equities, Inc. REIT 45,292 2,622
* Macrovision Corp. 115,472 2,609
Universal Corp. (VA) 58,942 2,603
Perrigo Co. 165,014 2,594
* McDATA Corp. Class A 272,195 2,594
* Abgenix, Inc. 208,063 2,592
* Intergraph Corp. 108,311 2,591
Kellwood Co. 63,146 2,589
Texas Regional Bancshares, Inc. 69,882 2,586
* United Online, Inc. 153,816 2,583
* Lattice Semiconductor Corp. 266,147 2,576
* Kroll Inc. 98,657 2,565
Arrow International, Inc. 102,641 2,564
* ALARIS Medical Systems, Inc. 168,479 2,563
Community First Bankshares, Inc. 88,486 2,561
Regal Entertainment Group
Class A 124,628 2,557
* Northwest Airlines Corp.
Class A 202,432 2,555
* Catalina Marketing Corp. 126,179 2,544
Acuity Brands, Inc. 98,527 2,542
* Waste Connections, Inc. 67,234 2,539
* Philadelphia Consolidated
Holding Corp. 51,946 2,537
* Sybron Dental Specialties, Inc. 90,208 2,535
* Ligand Pharmaceuticals Inc.
Class B 172,465 2,534
* Spinnaker Exploration Co. 78,446 2,531
Brandywine Realty Trust REIT 94,416 2,528
* Continental Airlines, Inc. Class B 155,131 2,524
Reliance Steel & Aluminum Co. 75,666 2,513
Post Properties, Inc. REIT 89,787 2,507
* Odyssey Healthcare, Inc. 85,625 2,505
* Ohio Casualty Corp. 143,893 2,498
* Tularik, Inc. 154,308 2,492
First Niagara Financial
Group, Inc. 167,033 2,490
New Jersey Resources Corp. 64,520 2,485
* Cox Radio, Inc. 98,403 2,483
MacDermid, Inc. 72,398 2,479
* Brooks Automation, Inc. 102,419 2,475
* Scientific Games Corp. 145,513 2,475
Skywest, Inc. 136,566 2,475
* Silicon Storage Technology, Inc. 224,387 2,468
* Priority Healthcare Corp.
Class B 102,314 2,467
Alpharma, Inc. Class A 122,609 2,464
Capital Automotive REIT 76,966 2,463
Boyd Gaming Corp. 152,180 2,456
* AMERIGROUP Corp. 57,453 2,450
* Radio One, Inc. Class D 126,800 2,447
Colonial Properties Trust REIT 61,795 2,447
Alfa Corp. 190,218 2,446
Maguire Properties, Inc. REIT 100,663 2,446
Novastar Financial, Inc. REIT 56,830 2,441
UMB Financial Corp. 51,342 2,441
Banta Corp. 60,251 2,440
Santander BanCorp 99,793 2,430
* Aeropostale, Inc. 88,468 2,426
BankAtlantic Bancorp, Inc.
Class A 127,645 2,425
* Unit Corp. 102,980 2,425
Taubman Co. REIT 117,722 2,425
* La Quinta Corp. REIT 377,765 2,421
Lincoln Electric Holdings, Inc. 97,856 2,421
A.O. Smith Corp. 69,004 2,419
Northwest Bancorp, Inc. 112,789 2,409
Impac Mortgage
Holdings, Inc. REIT 132,068 2,405
Rollins, Inc. 106,590 2,404
* FileNET Corp. 88,617 2,400
* Axcelis Technologies, Inc. 233,599 2,387
* Corrections Corp. of
America REIT 82,785 2,387
* Power Integrations, Inc. 71,148 2,381
Senior Housing Properties
Trust REIT 137,739 2,373
Kelly Services, Inc. Class A 83,108 2,372
23
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Vicuron Pharmaceuticals Inc. 127,082 $ 2,370
* Wright Medical Group, Inc. 77,848 2,370
Potlatch Corp. 67,920 2,362
* AirTran Holdings, Inc. 198,263 2,359
* CompuCredit Corp. 110,644 2,355
Susquehanna Bancshares, Inc. 93,872 2,348
* Radio One, Inc. 120,016 2,346
* Applera Corp.-Celera
Genomics Group 168,678 2,346
* Mentor Graphics Corp. 160,877 2,339
Weis Markets, Inc. 64,387 2,337
Gables Residential Trust REIT 67,256 2,336
Syntel, Inc. 94,249 2,329
LNR Property Corp. 47,029 2,328
* Berkshire Hathaway Inc.
Class B 827 2,328
* Men's Wearhouse, Inc. 93,006 2,326
Lennox International Inc. 138,900 2,320
* Quiksilver, Inc. 130,714 2,318
* FTI Consulting, Inc. 99,022 2,314
TrustCo Bank NY 175,666 2,310
* Telik, Inc. 100,266 2,307
Mine Safety Appliances Co. 28,991 2,305
* MPS Group, Inc. 246,342 2,303
Granite Construction Co. 98,036 2,303
BlackRock, Inc. 43,303 2,300
* Kyphon Inc. 92,559 2,298
* Dionex Corp. 49,912 2,297
LandAmerica
Financial Group, Inc. 43,940 2,296
MB Financial, Inc. 62,974 2,292
* Wynn Resorts Ltd. 81,759 2,290
* CommScope, Inc. 139,929 2,285
Delta & Pine Land Co. 89,872 2,283
* Align Technology, Inc. 138,133 2,282
* CNET Networks, Inc. 334,177 2,279
* The Sports Authority, Inc. 59,138 2,271
* Adaptec, Inc. 256,721 2,267
Black Hills Corp. 75,964 2,266
* Knight Transportation, Inc. 88,326 2,266
Redwood Trust, Inc. REIT 44,526 2,264
ADVO, Inc. 71,137 2,259
* Tekelec 145,102 2,256
Brady Corp. Class A 55,357 2,256
MSC Industrial Direct Co., Inc.
Class A 81,997 2,255
Cabot Oil & Gas Corp. 76,617 2,249
Matthews International Corp. 75,763 2,242
* TriQuint Semiconductor, Inc. 316,848 2,240
American Financial Realty
Trust REIT 131,085 2,235
Burlington Coat Factory
Warehouse Corp. 105,492 2,232
* Tesoro Petroleum Corp. 152,754 2,226
R.L.I. Corp. 59,378 2,224
Oakley, Inc. 160,451 2,221
Georgia Gulf Corp. 76,756 2,217
* Anixter International Inc. 85,612 2,216
USF Corp. 64,767 2,214
* Keane, Inc. 151,126 2,212
* Internet Security Systems, Inc. 117,463 2,212
* Inveresk Research Group Inc. 89,341 2,209
* RealNetworks, Inc. 386,782 2,209
* Altiris, Inc. 60,462 2,206
* Entegris Inc. 171,580 2,205
CVB Financial Corp. 114,252 2,204
* Kindred Healthcare, Inc. 42,395 2,204
* Genencor International Inc. 139,868 2,203
* ProAssurance Corp. 68,418 2,200
Longs Drug Stores, Inc. 88,572 2,191
* Wireless Facilities, Inc. 146,973 2,184
State Auto Financial Corp. 93,336 2,183
Modine Manufacturing Co. 80,792 2,180
Sensient Technologies Corp. 109,972 2,174
* United Surgical Partners
International, Inc. 64,814 2,170
Kilroy Realty Corp. REIT 66,164 2,167
* US Oncology, Inc. 201,376 2,167
* Teletech Holdings Inc. 191,633 2,165
* Beverly Enterprises, Inc. 251,825 2,163
* Hecla Mining Co. 260,789 2,162
* Penn National Gaming, Inc. 93,614 2,161
* Payless ShoeSource, Inc. 160,709 2,154
* Cal Dive International, Inc. 89,258 2,152
* Hewitt Associates, Inc. 71,711 2,144
* Ralcorp Holdings, Inc. 68,321 2,143
* Commonwealth Telephone
Enterprises, Inc. 56,675 2,139
Brookline Bancorp, Inc. 138,934 2,131
NDCHealth Corp. 83,091 2,129
* Chiquita Brands
International, Inc. 94,451 2,128
* Advanced Neuromodulation
Systems, Inc. 46,260 2,127
* WCI Communities, Inc. 102,971 2,122
* eResearch Technology, Inc. 83,324 2,118
* Wilson Greatbatch
Technologies, Inc. 50,104 2,118
* Cost Plus, Inc. 51,572 2,114
Bank Mutual Corp. 185,521 2,113
Grey Global Group Inc. 3,085 2,107
* UnitedGlobalCom Inc. Class A 248,362 2,106
24
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
National Financial Partners Corp. 76,339 $ 2,103
Wintrust Financial Corp. 46,617 2,102
* Kansas City Southern 146,589 2,099
PS Business Parks, Inc. REIT 50,866 2,099
* Primus Telecommunications
Group, Inc. 205,827 2,095
Corus Bankshares Inc. 66,195 2,089
* Aspect Communications Corp. 132,504 2,088
Casey's General Stores, Inc. 117,814 2,081
Irwin Financial Corp. 66,173 2,078
Selective Insurance Group 64,172 2,077
* Advanced Digital
Information Corp. 148,266 2,076
* GlobespanVirata, Inc. 351,860 2,069
Avista Corp. 114,179 2,069
* Insight Enterprises, Inc. 110,041 2,069
Hugoton Royalty Trust 94,397 2,065
* CSK Auto Corp. 109,805 2,061
* Meritage Corp. 31,032 2,058
Liberty Corp. 45,504 2,056
* Informatica Corp. 198,619 2,046
Chemical Financial Corp. 55,972 2,037
Commercial Metals Co. 66,906 2,034
ABM Industries Inc. 116,452 2,027
* WebEx Communications, Inc. 100,859 2,027
* Stillwater Mining Co. 211,626 2,025
* Sierra Pacific Resources 275,485 2,022
Republic Bancorp, Inc. 149,774 2,020
* RSA Security Inc. 141,950 2,016
Owens & Minor, Inc. Holding Co. 91,987 2,015
* Moog Inc. 40,795 2,015
* Actuant Corp. 55,670 2,015
* Journal Register Co. 97,172 2,011
* Southwestern Energy Co. 84,047 2,009
* Quanta Services, Inc. 275,007 2,008
K-Swiss, Inc. 83,224 2,002
Cleco Corp. 111,318 2,001
* Kirby Corp. 57,330 2,000
First Commonwealth
Financial Corp. 140,122 1,998
* Therasense, Inc. 98,399 1,997
* Extreme Networks, Inc. 276,221 1,992
H.B. Fuller Co. 66,954 1,991
Manufactured Home
Communities, Inc. REIT 52,883 1,991
* Navigant Consulting, Inc. 105,547 1,991
* Advanced Energy Industries, Inc. 76,408 1,990
* Sotheby's Holdings Class A 145,652 1,990
* Ask Jeeves, Inc. 109,762 1,989
Federal Signal Corp. 113,459 1,988
Hancock Holding Co. 36,217 1,976
* Hollywood Entertainment Corp. 143,647 1,975
Commercial Net Lease
Realty REIT 110,914 1,974
Schnitzer Steel Industries, Inc.
Class A 32,631 1,974
* Credence Systems Corp. 149,797 1,971
* ProQuest Co. 66,937 1,971
* Technitrol, Inc. 95,016 1,971
* Select Comfort Corp. 79,408 1,966
* OMI Corp. 220,054 1,965
* EGL, Inc. 111,872 1,964
* Onyx Pharmaceuticals, Inc. 69,443 1,960
Black Box Corp. 42,548 1,960
The Manitowoc Co., Inc. 62,816 1,960
* ILEX Oncology, Inc. 92,078 1,957
UniSource Energy Corp. 79,288 1,955
Ruddick Corp. 109,180 1,954
* Manhattan Associates, Inc. 70,698 1,954
* URS Corp. 78,093 1,953
* Veeco Instruments, Inc. 69,240 1,953
* Digital Insight Corp. 78,412 1,952
* Technical Olympic USA, Inc. 70,623 1,944
* Rare Hospitality International Inc. 79,537 1,944
* Group 1 Automotive, Inc. 53,671 1,942
IHOP Corp. 50,426 1,940
* Hanover Compressor Co. 173,812 1,938
Lexington Corporate Properties
Trust REIT 95,890 1,936
* Entravision
Communications Corp. 174,277 1,934
* MAXIMUS, Inc. 49,382 1,932
Wolverine World Wide, Inc. 94,770 1,931
* eFunds Corp. 111,205 1,929
* Sunrise Senior Living, Inc. 49,606 1,922
* Regeneron Pharmaceuticals, Inc. 130,585 1,921
* Zymogenetics, Inc. 123,732 1,918
* ExpressJet Holdings, Inc. 127,834 1,918
* NeighborCare Inc. 96,941 1,915
* Ariba, Inc. 638,063 1,914
* Universal Compression
Holdings, Inc. 73,132 1,913
Pilgrim's Pride Corp. 117,106 1,912
* PSS World Medical, Inc. 158,344 1,911
* F5 Networks, Inc. 76,111 1,910
* Maverick Tube Corp. 99,122 1,908
* Transaction Systems
Architects, Inc. 84,280 1,907
Brookfield Homes Corp. 74,010 1,907
Millennium Chemicals, Inc. 150,301 1,906
* Corvis Corp. 1,120,187 1,904
* Piper Jaffray Companies 45,700 1,900
25
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Quicksilver Resources, Inc. 58,709 1,896
St. Mary Land & Exploration Co. 66,501 1,895
* Watson Wyatt & Co. Holdings 78,474 1,895
* ManTech International Corp. 75,794 1,891
CARBO Ceramics Inc. 36,851 1,889
Crompton Corp. 263,012 1,886
* Hutchinson Technology, Inc. 61,294 1,884
* Hain Celestial Group, Inc. 80,961 1,879
* Asyst Technologies, Inc. 108,301 1,879
Northwest Natural Gas Co. 61,032 1,877
* Vertex Pharmaceuticals, Inc. 183,365 1,876
* Leapfrog Enterprises, Inc. 70,690 1,875
Greif Inc. Class A 52,692 1,871
* Dick's Sporting Goods, Inc. 38,440 1,870
* IDX Systems Corp. 69,742 1,870
S & T Bancorp, Inc. 62,369 1,865
* Genlyte Group, Inc. 31,942 1,865
* McDermott International, Inc. 156,029 1,865
* Genta Inc. 178,965 1,863
* MICROS Systems, Inc. 42,935 1,862
* Dobson Communications Corp. 283,266 1,861
Dime Community Bancshares 60,450 1,859
* LTX Corp. 123,703 1,859
* Borland Software Corp. 191,067 1,859
* SEACOR SMIT Inc. 44,215 1,858
Stewart Information
Services Corp. 45,793 1,857
* Shaw Group, Inc. 136,328 1,857
* Credit Acceptance Corp. 121,096 1,853
Bandag, Inc. 44,944 1,852
R & G Financial Corp. Class B 46,494 1,850
* Wabash National Corp. 63,136 1,850
Glimcher Realty Trust REIT 82,579 1,848
* General Maritime Corp. 104,979 1,848
Newcastle Investment
Corp. REIT 68,121 1,846
* Sierra Health Services, Inc. 67,195 1,845
Arkansas Best Corp. 58,656 1,841
* Mediacom
Communications Corp. 212,097 1,839
National Penn Bancshares Inc. 57,249 1,839
Texas Industries, Inc. 49,697 1,839
* Silgan Holdings, Inc. 43,170 1,839
* Integra LifeSciences Holdings 64,164 1,837
* Enterasys Networks, Inc. 489,248 1,835
* Aeroflex, Inc. 156,923 1,834
United Community Banks, Inc. 55,745 1,834
* Guitar Center, Inc. 56,262 1,833
* WMS Industries, Inc. 69,956 1,833
* Province Healthcare Co. 114,540 1,833
* Magma Design Automation, Inc. 78,451 1,831
Vintage Petroleum, Inc. 151,929 1,828
* Aztar Corp. 81,100 1,825
* Impax Laboratories, Inc. 126,489 1,820
USEC Inc. 216,615 1,820
Sauer-Danfoss, Inc. 112,308 1,819
* Jack in the Box Inc. 85,056 1,817
John H. Harland Co. 66,363 1,812
* Exult Inc. 253,750 1,807
* CTI Molecular Imaging, Inc. 106,734 1,805
Southwest Gas Corp. 80,316 1,803
G & K Services, Inc. Class A 49,049 1,803
* Nektar Therapeutics 132,426 1,802
* Argosy Gaming Co. 69,325 1,802
* BankUnited Financial Corp. 69,849 1,801
* American Healthways Inc. 75,444 1,801
* NetIQ Corp. 135,349 1,793
* Magnum Hunter Resources Inc. 188,518 1,793
Quanex Corp. 38,889 1,793
* AmSurg Corp. 47,309 1,793
* Adolor Corp. 89,421 1,790
* aaiPharma Inc. 70,991 1,783
MCG Capital Corp. 91,410 1,782
* Investment Technology
Group, Inc. 110,282 1,781
Summit Properties, Inc. REIT 74,018 1,778
* CUNO Inc. 39,472 1,777
* Pacer International, Inc. 87,816 1,776
* Digene Corp. 44,275 1,775
* Denbury Resources, Inc. 127,605 1,775
* Alexander's, Inc. REIT 14,233 1,774
* American Italian Pasta Co. 42,329 1,774
Baldor Electric Co. 77,387 1,768
Hudson River Bancorp. Inc. 45,293 1,768
Wabtec Corp. 103,539 1,764
* Encore Acquisition Co. 71,532 1,763
* Renaissance Learning, Inc. 73,218 1,763
* FEI Co. 78,304 1,762
* DRS Technologies, Inc. 63,201 1,756
* Price Communications Corp. 127,860 1,756
* Wind River Systems Inc. 200,176 1,754
* OM Group, Inc. 66,940 1,753
* Armor Holdings, Inc. 66,557 1,751
* Plains Exploration
& Production Co. 113,739 1,750
* First Federal Financial Corp. 40,212 1,749
CH Energy Group, Inc. 37,251 1,747
* InterMune Inc. 75,223 1,742
Christopher & Banks Corp. 89,174 1,742
Longview Fibre Co. 140,934 1,741
* PRIMEDIA Inc. 614,657 1,739
Barnes Group, Inc. 53,830 1,739
26
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* ChipPAC, Inc. 229,141 $ 1,739
* Cyberonics, Inc. 54,294 1,738
* Zoran Corp. 99,878 1,737
* SERENA Software, Inc. 94,551 1,735
National Health Investors REIT 69,734 1,735
* SRA International, Inc. 40,211 1,733
* CoStar Group, Inc. 41,526 1,731
* Gartner, Inc. Class B 158,927 1,729
* Cleveland-Cliffs Inc. 33,932 1,729
* Jarden Corp. 63,229 1,729
Sun Communities, Inc. REIT 44,651 1,728
* Plexus Corp. 100,559 1,727
Waypoint Financial Corp. 79,537 1,725
* Thoratec Corp. 132,510 1,724
The Trust Co. of New Jersey 43,422 1,723
* Alaska Air Group, Inc. 63,056 1,721
Charter Financial Corp. 46,139 1,720
* Triad Guaranty, Inc. 34,107 1,717
Kaydon Corp. 66,396 1,716
* InfoSpace, Inc. 74,422 1,715
Provident Bankshares Corp. 57,969 1,707
American Home Mortgage
Investment Corp. 75,806 1,706
* American Medical Systems
Holdings, Inc. 78,222 1,705
Great American Financial
Resources, Inc. 105,108 1,705
* The Warnaco Group, Inc. 106,790 1,703
Spartech Corp. 69,108 1,703
* Papa John's International, Inc. 50,981 1,702
* Kulicke & Soffa Industries, Inc. 118,103 1,698
Harleysville National Corp. 56,389 1,697
* Cray Inc. 170,806 1,696
* ATMI, Inc. 73,284 1,696
* Rogers Corp. 38,301 1,690
* Progress Software Corp. 82,518 1,688
* DSP Group Inc. 67,740 1,687
* The Children's Place Retail
Stores, Inc. 63,122 1,687
* Mastec Inc. 113,864 1,686
* Microsemi Corp. 68,602 1,686
* USG Corp. 101,691 1,685
RAIT Investment Trust REIT 65,775 1,684
Seacoast Financial
Services Corp. 61,355 1,682
* At Road, Inc. 126,433 1,682
* eSPEED, Inc. Class A 71,787 1,681
* AAR Corp. 112,352 1,680
* Tessera Technologies, Inc. 89,259 1,679
Harbor Florida Bancshares, Inc. 56,507 1,679
* Coherent, Inc. 70,465 1,677
* Cirrus Logic 218,571 1,676
NBT Bancorp, Inc. 77,928 1,671
Landry's Restaurants, Inc. 64,925 1,670
* CMGI Inc. 936,288 1,667
* United Natural Foods, Inc. 46,209 1,659
* Orbital Sciences Corp. 137,985 1,659
First Financial Bancorp 103,941 1,658
Watts Water Technologies, Inc. 74,662 1,657
Startek, Inc. 40,615 1,657
Russ Berrie and Co., Inc. 48,821 1,655
* WellChoice Inc. 47,870 1,652
Entertainment Properties
Trust REIT 47,549 1,650
* Comstock Resources, Inc. 85,490 1,650
* Gartner, Inc. Class A 145,719 1,648
* Six Flags, Inc. 218,970 1,647
LaBranche & Co. Inc. 141,069 1,646
* Superior Energy Services, Inc. 175,075 1,646
* Griffon Corp. 81,206 1,645
* PolyOne Corp. 257,388 1,645
Wausau-Mosinee Paper Corp. 121,561 1,644
FBL Financial Group, Inc. Class A 63,689 1,643
* Labor Ready, Inc. 125,409 1,643
* Exar Corp. 96,098 1,641
* Ixia 140,045 1,639
* Shuffle Master, Inc. 47,303 1,638
* CONMED Corp. 68,792 1,637
* Monaco Coach Corp. 68,777 1,637
EastGroup Properties, Inc. REIT 50,544 1,637
* Digital River, Inc. 73,864 1,632
* Finisar Corp. 521,508 1,632
* Ditech Communications Corp. 85,431 1,632
Infinity Property & Casualty Corp. 49,340 1,631
Cash America International Inc. 76,952 1,630
Corporate Office Properties
Trust, Inc. REIT 77,585 1,629
* Range Resources Corp. 172,391 1,629
* Financial Federal Corp. 53,308 1,629
* Ultratech, Inc. 55,447 1,628
* Global Imaging Systems, Inc. 51,285 1,628
Barra, Inc. 45,871 1,628
* Ocular Sciences, Inc. 56,627 1,626
Keystone Property Trust REIT 73,595 1,626
Otter Tail Corp. 60,749 1,624
* Openwave Systems Inc. 147,263 1,620
* Lin TV Corp. 62,760 1,620
* Priceline.com, Inc. 90,471 1,619
* Tejon Ranch Co. 39,430 1,617
Brown Shoe Co., Inc. 42,618 1,617
MFA Mortgage
Investments, Inc. REIT 165,720 1,616
27
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* TTM Technologies, Inc. 95,554 $ 1,613
* William Lyon Homes, Inc. 25,679 1,612
* ArthroCare Corp. 65,763 1,611
* Rayovac Corp. 76,820 1,609
* ValueClick, Inc. 176,984 1,607
* Oceaneering International, Inc. 57,380 1,607
* FormFactor Inc. 1,071 1,605
* Grey Wolf, Inc. 428,887 1,604
Zenith National Insurance Corp. 49,240 1,603
WD-40 Co. 45,245 1,600
Alabama National
BanCorporation 30,439 1,600
* Oil States International, Inc. 114,712 1,599
* Verint Systems Inc. 70,790 1,597
Amcore Financial, Inc. 59,088 1,597
United National Bancorp 44,593 1,593
* ScanSource, Inc. 34,863 1,590
* Sapient Corp. 283,987 1,590
* United Defense Industries Inc. 49,841 1,589
PolyMedica Corp. 60,383 1,589
* Interwoven Inc. 125,628 1,588
* AMIS Holdings Inc. 86,838 1,587
Mid-America Apartment
Communities, Inc. REIT 47,157 1,584
* bebe stores, inc 60,926 1,583
* USI Holdings Corp. 121,047 1,580
Independent Bank Corp. (MI) 55,667 1,579
Texas Genco Holdings, Inc. 48,538 1,577
Southern Peru Copper Corp. 33,394 1,575
Getty Realty Holding Corp. REIT 60,218 1,575
* Electro Scientific Industries, Inc. 66,115 1,574
* Offshore Logistics, Inc. 64,153 1,573
Anworth Mortgage Asset
Corp. REIT 112,611 1,569
Glenborough Realty
Trust, Inc. REIT 78,586 1,568
* The Advisory Board Co. 44,874 1,567
* ESCO Technologies Inc. 35,861 1,565
Franklin Electric, Inc. 25,870 1,565
The Laclede Group, Inc. 54,779 1,564
* Ventana Medical Systems, Inc. 39,689 1,564
Gray Television, Inc. 103,420 1,564
Blockbuster Inc. Class A 87,018 1,562
* Aquila, Inc. 460,707 1,562
Carpenter Technology Corp. 52,804 1,561
JLG Industries, Inc. 102,509 1,561
* EMCOR Group, Inc. 35,527 1,560
* ESS Technology, Inc. 91,681 1,559
* Metrologic Instruments, Inc. 57,690 1,558
First Republic Bank 43,507 1,558
* Helen of Troy Ltd. 67,127 1,554
Sonic Automotive, Inc. 67,738 1,553
* Sinclair Broadcast Group, Inc. 103,832 1,549
* Dot Hill Systems Corp. 102,214 1,549
Anthracite Capital Inc. REIT 139,783 1,547
* Ryan's Family Steak
Houses, Inc. 102,099 1,546
* Jones Lang Lasalle Inc. 74,550 1,545
Thomas Industries, Inc. 44,579 1,545
Gold Banc Corp., Inc. 109,883 1,545
UIL Holdings Corp. 34,248 1,545
* Swift Energy Co. 91,621 1,544
* FelCor Lodging Trust, Inc. REIT 139,304 1,543
* International Steel Group, Inc. 39,600 1,542
* Imagistics International Inc. 41,128 1,542
First Financial Bankshares, Inc. 36,888 1,538
Vector Group Ltd. 94,214 1,538
Tecumseh Products Co. Class A 31,747 1,538
Sanderson Farms, Inc. 38,146 1,537
* Ameristar Casinos, Inc. 62,816 1,537
Cambrex Corp. 60,822 1,536
* Mindspeed Technologies, Inc. 224,192 1,536
* CSG Systems International, Inc. 122,937 1,535
* Mykrolis Corp. 95,415 1,534
* Bright Horizons Family
Solutions, Inc. 36,525 1,534
Aaron Rents, Inc. Class B 76,179 1,533
* Photon Dynamics, Inc. 38,102 1,533
* THQ Inc. 90,645 1,533
* Remington Oil & Gas Corp. 77,713 1,530
South Jersey Industries, Inc. 37,777 1,530
* InVision Technologies, Inc. 45,506 1,528
* Symyx Technologies, Inc. 74,275 1,526
* Newport Corp. 92,138 1,523
Curtiss-Wright Corp. 33,819 1,522
* El Paso Electric Co. 113,923 1,521
* Tanox, Inc. 102,340 1,520
* Headwaters Inc. 77,424 1,519
* Movie Gallery, Inc. 81,252 1,518
* Nuevo Energy Co. 62,728 1,516
Glacier Bancorp, Inc. 46,788 1,516
First Sentinel Bancorp Inc. 71,943 1,515
* MicroStrategy Inc. 28,852 1,514
* XOMA Ltd. 229,386 1,514
Interstate Bakeries Corp. 105,917 1,507
* Websense, Inc. 51,527 1,507
A. Schulman Inc. 70,640 1,506
* Dollar Thrifty
Automotive Group, Inc. 58,056 1,506
* Trex Co., Inc. 39,646 1,506
* Dendrite International, Inc. 96,063 1,505
* Prima Energy Corp. 42,785 1,504
28
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* American Management
Systems, Inc. 99,439 $ 1,499
Sovran Self Storage, Inc. REIT 40,326 1,498
Net.Bank, Inc. 112,041 1,496
* K2 Inc. 98,195 1,494
* Esterline Technologies Corp. 55,966 1,493
* Isle of Capri Casinos, Inc. 69,480 1,492
* Littelfuse, Inc. 51,735 1,491
* School Specialty, Inc. 43,821 1,490
* KCS Energy, Inc. 141,124 1,489
AMLI Residential Properties
Trust REIT 55,535 1,488
CDI Corp. 45,436 1,488
* Steak n Shake Co. 83,239 1,486
* Hibbett Sporting Goods, Inc. 49,764 1,483
Community Bank System, Inc. 30,258 1,483
Penn Virginia Corp. 26,611 1,481
Handleman Co. 71,763 1,473
* Plug Power, Inc. 202,817 1,470
* Photronics Inc. 73,808 1,470
Phillips-Van Heusen Corp. 82,862 1,470
Surewest Communications 36,359 1,470
* National Western Life
Insurance Co. Class A 9,490 1,470
* Closure Medical Corp. 43,287 1,469
* PTEK Holdings, Inc. 166,326 1,465
* Trammell Crow Co. 110,586 1,465
* A.S.V., Inc. 39,092 1,460
* Nabi Biopharmaceuticals 114,421 1,454
* Verity, Inc. 87,103 1,454
* Checkpoint Systems, Inc. 76,721 1,451
Inter-Tel, Inc. 58,024 1,449
* UICI 108,874 1,446
Frontier Financial Corp. 43,570 1,445
* Petroleum Development Corp. 60,905 1,443
* Sharper Image Corp. 44,142 1,441
* Paxar Corp. 107,385 1,439
* Resources Connection, Inc. 52,679 1,439
* Accredited Home Lenders
Holding Co. 46,948 1,437
Cornerstone Realty Income
Trust, Inc. REIT 163,290 1,430
Cubic Corp. 62,143 1,429
Boston Private Financial
Holdings, Inc. 57,537 1,429
* aQuantive, Inc. 139,376 1,429
* Viasys Healthcare Inc. 69,281 1,427
* Silicon Image, Inc. 197,071 1,425
* Citadel Broadcasting Corp. 63,673 1,424
Mid-State Bancshares 55,842 1,421
Woodward Governor Co. 24,944 1,418
* Charming Shoppes, Inc. 262,200 1,416
* Sola International Inc. 75,294 1,416
* Atwood Oceanics, Inc. 44,253 1,413
* AK Steel Corp. 276,891 1,412
* Per-Se Technologies, Inc. 92,445 1,411
* American Pharmaceuticals
Partners, Inc. 41,932 1,409
* Finish Line, Inc. 46,951 1,407
* Crown Media Holdings, Inc. 169,901 1,405
PFF Bancorp, Inc. 38,611 1,401
* Red Robin Gourmet Burgers 46,010 1,401
Farmer Brothers, Inc. 4,488 1,397
* Enbridge Energy Management 28,903 1,397
Datascope Corp. 38,952 1,396
* InterVoice, Inc. 117,562 1,395
* Actel Corp. 57,875 1,395
* MedQuist, Inc. 86,846 1,395
Sterling Bancshares, Inc. 104,586 1,394
* Genesee & Wyoming Inc.
Class A 44,211 1,393
Firstfed America Bancorp, Inc. 53,449 1,391
The Middleby Corp. 34,312 1,389
* Overnite Corp. 61,007 1,388
* Opsware, Inc. 187,150 1,385
Russell Corp. 78,850 1,385
* Kronos Worldwide, Inc. 62,354 1,384
* Saxon Capital Inc. 65,959 1,382
Umpqua Holdings Corp. 66,293 1,378
Harleysville Group, Inc. 69,104 1,374
Oriental Financial Group Inc. 53,475 1,374
The Stride Rite Corp. 120,460 1,371
Horace Mann Educators Corp. 98,015 1,369
Kenneth Cole Productions, Inc. 46,559 1,369
City Holding Co. 39,092 1,368
* CapitalSource Inc. 62,967 1,365
Tredegar Corp. 87,889 1,365
* USANA Health Sciences, Inc. 44,560 1,364
* S1 Corp. 169,041 1,361
* Manugistics Group, Inc. 217,714 1,361
* ANSYS, Inc. 34,271 1,361
* ValueVision Media, Inc. 81,431 1,360
* Big 5 Sporting Goods Corp. 64,881 1,359
* Serologicals Corp. 73,072 1,359
* NCO Group, Inc. 59,546 1,356
* Sterling Financial Corp. 39,567 1,354
West Pharmaceutical
Services, Inc. 39,866 1,351
* The Pantry, Inc. 59,437 1,349
Bedford Property
Investors, Inc. REIT 47,066 1,347
Main Street Banks, Inc. 50,752 1,345
29
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Frontier Oil Corp. 77,978 $ 1,343
First Charter Corp. 68,601 1,341
Parkway Properties Inc. REIT 32,230 1,341
* Energy Partners, Ltd. 96,370 1,340
* Forward Air Corp. 48,701 1,339
Steelcase Inc. 93,199 1,338
Anchor Bancorp Wisconsin Inc. 53,635 1,336
NL Industries, Inc. 114,008 1,334
Saul Centers, Inc. REIT 46,497 1,333
Kimball International, Inc.
Class B 85,508 1,330
* PETCO Animal Supplies, Inc. 43,652 1,329
BancFirst Corp. 22,627 1,328
* Asbury Automotive Group, Inc. 74,132 1,328
* Too Inc. 78,552 1,326
Roto-Rooter, Inc. 28,761 1,326
* QAD Inc. 108,076 1,325
Tanger Factory Outlet
Centers, Inc. REIT 32,546 1,325
* AtheroGenics, Inc. 88,581 1,324
BSB Bancorp, Inc. 33,511 1,324
First Essex Bancorp, Inc. 22,748 1,323
* Century Business Services, Inc. 295,663 1,322
* Vignette Corp. 581,829 1,321
Walter Industries, Inc. 98,779 1,319
Applied Industrial
Technology, Inc. 55,161 1,316
* j2 Global Communications, Inc. 53,100 1,315
Koger Equity, Inc. REIT 62,789 1,314
* Systems & Computer
Technology Corp. 79,977 1,308
* Electronics Boutique
Holdings Corp. 57,117 1,307
M/I Schottenstein Homes, Inc. 33,470 1,307
* Old Dominion Freight Line, Inc. 38,314 1,306
Arch Chemicals, Inc. 50,882 1,306
* Connetics Corp. 71,873 1,305
* Encysive Pharmaceuticals, Inc. 145,606 1,303
* Multimedia Games Inc. 31,694 1,303
* TBC Corp. 50,427 1,302
Royal Gold, Inc. 62,178 1,301
* Haemonetics Corp. 54,308 1,297
Rock-Tenn Co. 75,107 1,296
* Genesis Healthcare Corp. 56,903 1,296
* Central Garden and Pet Co. 46,209 1,295
Capital City Bank Group, Inc. 28,147 1,294
Valmont Industries, Inc. 55,916 1,294
Holly Corp. 47,013 1,293
* Harvest Natural Resources, Inc. 129,925 1,293
* Enzo Biochem, Inc. 72,171 1,293
Bowne & Co., Inc. 95,167 1,290
* Epicor Software Corp. 101,122 1,290
* Trimeris, Inc. 61,491 1,290
* LabOne, Inc. 39,660 1,288
* VistaCare, Inc. 36,551 1,285
* Elizabeth Arden, Inc. 64,435 1,284
* Mattson Technology, Inc. 104,843 1,281
First Federal Capital Corp. 56,884 1,281
* The Gymboree Corp. 74,284 1,280
Regal-Beloit Corp. 58,149 1,279
Berry Petroleum Class A 63,142 1,279
* CIMA Labs Inc. 39,151 1,277
* Advent Software, Inc. 73,192 1,276
* Aspen Technologies, Inc. 124,207 1,274
* Integrated Electrical
Services, Inc. 137,640 1,273
* ICU Medical, Inc. 37,133 1,273
World Fuel Services Corp. 37,452 1,271
* Mesa Air Group Inc. 101,458 1,270
* World Acceptance Corp. 63,769 1,270
Sterling Bancorp 44,531 1,269
Connecticut Bancshares, Inc. 24,623 1,269
Simmons First National Corp. 45,469 1,269
* AMN Healthcare Services, Inc. 73,759 1,266
ElkCorp 47,287 1,263
* Packeteer, Inc. 74,318 1,262
* Merit Medical Systems, Inc. 56,654 1,261
MGE Energy, Inc. 40,011 1,261
* Teledyne Technologies, Inc. 66,806 1,259
* Ethyl Corp. 57,467 1,257
Prosperity Bancshares, Inc. 55,754 1,256
* Inspire Pharmaceuticals, Inc. 88,662 1,255
Empire District Electric Co. 57,232 1,255
Methode Electronics, Inc.
Class A 102,502 1,254
* Centene Corp. 44,635 1,250
* Sykes Enterprises, Inc. 146,025 1,250
* RTI International Metals, Inc. 74,045 1,249
Analogic Corp. 30,376 1,245
* Boca Resorts, Inc. Class A 83,182 1,244
Glatfelter 99,811 1,243
* Quantum Corp. 397,636 1,241
* Ciber, Inc. 143,173 1,240
Oxford Industries, Inc. 36,466 1,235
Schweitzer-Mauduit
International, Inc. 41,467 1,235
* PalmOne, Inc. 104,947 1,233
Community Trust Bancorp Inc. 40,812 1,233
* Bioreliance Corp. 25,711 1,230
* Albany Molecular Research, Inc. 81,841 1,229
Town & Country Trust REIT 48,453 1,228
Kansas City Life Insurance Co. 26,565 1,227
30
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Independent Bank Corp. (MA) 42,569 $ 1,227
* Micromuse Inc. 177,567 1,225
Lance, Inc. 81,486 1,225
* Rudolph Technologies, Inc. 49,871 1,224
* Jacuzzi Brands, Inc. 172,611 1,224
* Plains Resources Inc. 76,222 1,223
* II-VI, Inc. 47,399 1,223
CIRCOR International, Inc. 50,723 1,222
* Playtex Products, Inc. 158,122 1,222
* Advanced Medical Optics, Inc. 62,163 1,222
* Digitas Inc. 130,510 1,216
* Triumph Group, Inc. 33,376 1,215
* Tumbleweed
Communications Corp. 144,776 1,213
* Right Management
Consultants, Inc. 64,974 1,212
* HomeStore, Inc. 256,304 1,212
The Topps Co., Inc. 118,094 1,212
* Stage Stores, Inc. 43,412 1,211
* Arris Group Inc. 167,171 1,210
* Guess ?, Inc. 100,209 1,210
* Avanex Corp. 242,386 1,210
* Internap Network
Services Corp. 492,836 1,207
* Pinnacle Systems, Inc. 141,113 1,204
Baldwin & Lyons, Inc. Class B 42,884 1,203
First Financial Holdings, Inc. 38,374 1,200
* BioMarin Pharmaceutical Inc. 154,291 1,199
* Aviall Inc. 77,246 1,198
First Merchants Corp. 46,856 1,196
* Eclipsys Corp. 102,717 1,196
Flushing Financial Corp. 65,331 1,194
EDO Corp. 48,399 1,193
Westbanco Inc. 42,938 1,189
* PAREXEL International Corp. 73,111 1,189
Lennar Corp. Class B 12,999 1,188
* Stewart Enterprises, Inc.
Class A 209,168 1,188
IBERIABANK Corp. 20,105 1,186
* FuelCell Energy, Inc. 91,187 1,185
* Hydrill Co. 49,424 1,183
* Infonet Services Corp. 695,619 1,183
* Noven Pharmaceuticals, Inc. 77,597 1,180
* California Pizza Kitchen, Inc. 58,463 1,177
* Remec, Inc. 139,801 1,176
* Atrix Laboratories, Inc. 8,896 1,175
* Avatar Holding, Inc. 31,757 1,173
* UTStarcom, Inc. 31,563 1,170
* Agile Software Corp. 117,813 1,166
* Insight Communications Co., Inc. 112,953 1,165
* DuPont Photomasks, Inc. 48,136 1,162
* RailAmerica, Inc. 98,436 1,162
* Carter's, Inc. 45,635 1,161
* Centennial Communications
Corp. Class A 220,723 1,161
* PDI, Inc. 43,293 1,161
* Navigators Group, Inc. 37,590 1,160
* TiVo Inc. 156,646 1,159
* Inet Technologies, Inc. 96,502 1,158
* Secure Computing Corp. 64,656 1,158
* Alliance Data Systems Corp. 41,834 1,158
* Enzon Pharmaceuticals, Inc. 96,323 1,156
* Immucor Inc. 56,611 1,154
Churchill Downs, Inc. 31,825 1,152
* Harmonic, Inc. 158,880 1,152
Cohu, Inc. 59,945 1,148
United Community Financial Corp. 100,499 1,147
* Frontier Airlines, Inc. 80,385 1,146
* Forrester Research, Inc. 64,099 1,145
New England Business
Service, Inc. 38,814 1,145
Cato Corp. Class A 55,745 1,143
* Pixelworks, Inc. 103,352 1,141
* Tower Automotive, Inc. 167,057 1,141
* Biosite Inc. 39,294 1,138
Integra Bank Corp. 51,759 1,138
* Kopin Corp. 169,516 1,137
Midwest Banc Holdings, Inc. 51,055 1,136
AMCOL International Corp. 56,174 1,135
CTS Corp. 98,660 1,135
* Abaxis, Inc. 62,565 1,134
First Community Bancorp 31,344 1,133
Bank of the Ozarks, Inc. 50,314 1,133
* C-COR Electronics, Inc. 101,746 1,132
* John B. Sanfilippo & Son, Inc. 22,187 1,132
Ramco-Gershenson Properties
Trust REIT 39,939 1,130
* Ocwen Financial Corp. 127,569 1,130
BEI Technologies, Inc. 56,508 1,130
Republic Bancshares, Inc. 35,901 1,130
Central Parking Corp. 75,532 1,128
* Mapics Inc. 85,912 1,125
* NeoPharm, Inc. 61,381 1,124
NACCO Industries, Inc. Class A 12,562 1,124
Watsco, Inc. 49,403 1,123
* Clayton Williams Energy, Inc. 38,489 1,119
* iPayment Holdings, Inc. 32,888 1,118
* Veritas DGC Inc. 106,514 1,116
* Spherion Corp. 113,930 1,115
* CorVel Corp. 29,636 1,114
Universal Health Realty
Income REIT 36,993 1,113
31
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Investors Real Estate Trust REIT 112,409 $ 1,113
Suffolk Bancorp 32,208 1,112
Advanta Corp. Class A 8 5,520 1,111
OceanFirst Financial Corp. 40,833 1,109
Sandy Spring Bancorp, Inc. 29,595 1,107
Vital Signs, Inc. 33,830 1,106
* Global Industries Ltd. 214,661 1,106
* M&F Worldwide Corp. 82,601 1,104
* McMoRan Exploration Co. 58,498 1,097
* SeeBeyond Technology Corp. 255,663 1,097
* Mercury Computer Systems, Inc. 44,026 1,096
* Netegrity, Inc. 106,175 1,095
* Citizens, Inc. 115,939 1,093
* Exelixis, Inc. 154,338 1,093
Sterling Financial Corp. (PA) 39,355 1,092
* CNA Surety Corp. 114,760 1,091
WSFS Financial Corp. 24,320 1,091
American States Water Co. 43,622 1,091
* The Meridian Resource Corp. 183,431 1,090
Pulitzer, Inc. 20,164 1,089
* Local Financial Corp. 52,228 1,088
Allegiant Bancorp, Inc. 38,800 1,088
* Powerwave Technologies, Inc. 142,163 1,088
* ScanSoft, Inc. 204,151 1,086
* Artesyn Technologies, Inc. 127,420 1,086
Standex International Corp. 38,692 1,083
* United Therapeutics Corp. 47,106 1,081
* General Communication, Inc. 124,107 1,080
* Central European
Distribution Corp. 34,133 1,079
* Ionics, Inc. 33,846 1,078
* Intuitive Surgical, Inc. 62,997 1,077
* Anaren, Inc. 76,241 1,077
* Casella Waste Systems, Inc. 78,611 1,076
* Cepheid, Inc. 112,301 1,076
Universal Forest Products, Inc. 33,411 1,075
* Geron Corp. 107,731 1,074
* Hexcel Corp. 144,768 1,073
* Genesis Microchip Inc. 59,447 1,072
* JDA Software Group, Inc. 64,890 1,071
* Transmeta Corp. 314,697 1,070
* Jo-Ann Stores, Inc. 52,377 1,068
U.S.B. Holding Co., Inc. 55,011 1,067
* 4Kids Entertainment Inc. 40,844 1,063
* J & J Snack Foods Corp. 28,126 1,062
* SuperGen, Inc. 96,504 1,062
Marine Products Corp. 56,412 1,061
Bel Fuse, Inc. Class B 32,500 1,060
* Escalade, Inc. 31,131 1,058
* Trans World
Entertainment Corp. 148,595 1,058
Columbia Banking System, Inc. 48,791 1,057
* Intrado Inc. 48,041 1,054
Aceto Corp. 41,280 1,054
* DJ Orthopedics Inc. 39,311 1,054
* Salem Communications Corp. 38,776 1,052
* Newpark Resources, Inc. 219,456 1,051
* Medarex, Inc. 168,598 1,050
* Oregon Steel Mills, Inc. 179,923 1,045
* Robert Mondavi Corp. Class A 26,869 1,044
* IDT Corp. Class B 45,100 1,043
C & D Technologies, Inc. 54,377 1,042
Value Line, Inc. 20,857 1,041
Southern Financial Bancorp, Inc. 24,108 1,038
* AMC Entertainment, Inc. 68,234 1,038
* Unifi, Inc. 160,627 1,036
* Insituform Technologies Inc.
Class A 62,789 1,036
* Transkaryotic Therapies, Inc. 66,221 1,034
First Financial Corp. (IN) 34,441 1,034
Correctional Properties
Trust REIT 35,884 1,033
LaSalle Hotel Properties REIT 55,704 1,033
* Whiting Petroleum Corp. 56,063 1,032
* ViaSat, Inc. 53,884 1,031
Great Southern Bancorp, Inc. 22,195 1,029
* Hawthorne Financial Corp. 36,769 1,029
Helix Technology Corp. 49,893 1,027
* Lifeline Systems, Inc. 53,993 1,026
* CardioDynamics
International Corp. 171,707 1,025
* Diversa Corp. 110,688 1,024
Coca-Cola Bottling Co. 19,134 1,023
* Commercial Capital Bancorp, Inc. 47,796 1,023
* West Marine, Inc. 36,786 1,023
Lone Star Steakhouse
& Saloon, Inc. 44,003 1,020
Lawson Products, Inc. 30,738 1,020
* Caraustar Industries, Inc. 73,802 1,018
* Pegasystems Inc. 118,124 1,018
* General Cable Corp. 124,809 1,017
* Ace Cash Express, Inc. 47,779 1,016
* Cross Country Healthcare, Inc. 68,058 1,015
* American Superconductor Corp. 73,218 1,015
The Nautilus Group, Inc. 72,106 1,013
Central Pacific Financial Co. 33,713 1,013
* Nanogen, Inc. 112,397 1,013
* Saga Communications, Inc. 54,521 1,010
* TransMontaigne Inc. 156,625 1,010
* BioLase Technology, Inc. 60,839 1,010
Resource America, Inc. 67,310 1,010
* Spanish Broadcasting System, Inc. 95,993 1,008
32
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Antigenics, Inc. 88,971 $ 1,007
* PEC Solutions, Inc. 59,367 1,006
* Daktronics, Inc. 39,982 1,006
* Encore Capital Group, Inc. 67,678 1,005
Landauer, Inc. 24,641 1,005
* Tempur-Pedic International Inc. 64,767 1,004
* SonoSite, Inc. 46,802 1,003
* webMethods, Inc. 109,501 1,002
* Keystone Automotive
Industries, Inc. 39,505 1,002
* CCC Information Services Group 59,279 1,002
* KNBT Bancorp Inc. 56,969 1,002
* Concord Communications, Inc. 50,139 1,001
* E.piphany Inc. 138,608 999
* PC Mall, Inc. 61,738 997
The Standard Register Co. 59,219 997
Ambassadors Group, Inc. 42,414 996
Innkeepers USA Trust REIT 118,935 995
* Retek Inc. 107,193 995
* Pre-Paid Legal Services, Inc. 38,063 994
* MarineMax, Inc. 51,100 993
Triarc Cos., Inc. Class B 92,087 993
* Time Warner Telecom Inc. 97,869 991
Riviana Foods, Inc. 36,190 991
Belden, Inc. 46,929 990
* Integrated Silicon Solution, Inc. 63,079 988
* Talk America Holdings, Inc. 85,773 988
* Network Equipment
Technologies, Inc. 89,807 988
* TETRA Technologies, Inc. 40,708 987
* Universal American
Financial Corp. 99,430 985
Arctic Cat, Inc. 39,855 984
* ITLA Capital Corp. 19,599 982
Chesapeake Corp. of Virginia 37,038 981
Washington Trust Bancorp, Inc. 37,384 979
Apogee Enterprises, Inc. 86,260 979
* Echelon Corp. 87,825 978
Park Electrochemical Corp. 36,922 978
Omega Healthcare
Investors, Inc. REIT 104,824 978
* Sun Bancorp, Inc. (NJ) 37,036 978
* SonicWALL, Inc. 125,267 977
* SupportSoft, Inc. 74,180 975
The Marcus Corp. 59,457 975
* Consolidated Graphics, Inc. 30,860 975
* Mobile Mini, Inc. 49,417 975
Omega Financial Corp. 25,303 974
Pope & Talbot, Inc. 55,243 973
* General Binding Corp. 53,991 972
* US LEC Corp. Class A 123,292 972
Riggs National Corp. 58,724 971
* Stratex Networks, Inc. 227,915 969
NYMAGIC, Inc. 35,289 968
* Lone Star Technologies, Inc. 60,525 967
* Sequa Corp. Class A 19,721 966
* MRV Communications Inc. 256,834 966
* W-H Energy Services, Inc. 59,576 965
* Brightpoint, Inc. 55,949 965
* Ciphergen Biosystems, Inc. 85,734 964
* Information Holdings Inc. 43,559 963
* Administaff, Inc. 55,321 961
* 1-800-FLOWERS.COM, Inc. 86,872 961
* CV Therapeutics, Inc. 65,471 960
Progress Financial Corp. 31,014 956
* Portfolio Recovery
Associates, Inc. 35,962 955
Noble International, Ltd. 41,766 952
* America West Holdings Corp.
Class B 76,649 950
* Tradestation Group Inc. 107,273 950
Gabelli Asset Management Inc. 23,857 950
* Wesco International, Inc. 107,171 948
* Century Aluminum Co. 49,862 948
* Capital Crossing Bank 19,931 944
* Itron, Inc. 51,310 942
* Atlantic Coast Airlines
Holdings Inc. 95,095 941
Lindsay Manufacturing Co. 37,272 941
* Cell Genesys, Inc. 72,625 940
* O'Charley's Inc. 52,320 939
* National Beverage Corp. 57,584 939
* Brigham Exploration Co. 116,837 938
* United PanAm Financial Corp. 56,124 938
* Vail Resorts Inc. 55,096 937
* Volt Information Sciences Inc. 41,439 937
* Artisan Components, Inc. 45,634 935
Healthcare Services Group, Inc. 48,447 935
* Tenneco Automotive, Inc. 139,666 934
* Kadant Inc. 43,104 933
* Ulticom, Inc. 96,464 931
GenCorp, Inc. 86,277 929
* Harvard Bioscience, Inc. 104,170 927
Keithley Instruments Inc. 50,453 923
Gevity HR, Inc. 41,513 923
Banner Corp. 36,704 923
* Korn/Ferry International 69,138 922
* TriPath Imaging, Inc. 118,069 921
Agilysys, Inc. 82,483 920
Ameron International Corp. 26,491 919
* Safeguard Scientifics, Inc. 227,360 919
* SurModics, Inc. 38,228 914
33
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Vicor Corp. 80,065 $ 914
* Charlotte Russe Holding Inc. 65,854 913
Wellman, Inc. 89,373 912
Cascade Bancorp 47,359 912
* Amerco, Inc. 42,409 912
SWS Group, Inc. 51,198 911
* Atari, Inc. 216,840 911
* Smart & Final Inc. 90,280 910
* Concurrent Computer Corp. 207,549 907
* Molecular Devices Corp. 47,735 906
* Keynote Systems Inc. 76,115 906
Unizan Financial Corp. 44,717 906
* Orbitz, Inc. 39,000 905
First Source Corp. 42,064 905
* Rainbow Technologies, Inc. 80,085 902
S.Y. Bancorp, Inc. 43,781 900
The Buckle, Inc. 40,638 900
Mission West Properties Inc. REIT 69,506 900
* The Dress Barn, Inc. 59,996 899
Coachmen Industries, Inc. 49,576 898
* Pinnacle Entertainment, Inc. 96,247 897
* Salix Pharmaceuticals, Ltd. 39,471 895
* Fisher Communications, Inc. 17,535 894
* Comtech
Telecommunications Corp. 30,976 894
Central Vermont Public
Service Corp. 38,011 893
* NIC Inc. 111,208 893
* Kensey Nash Corp. 38,368 892
Urstadt Biddle Properties
Class A REIT 62,994 891
Dimon Inc. 131,952 891
* Learning Tree International, Inc. 51,157 890
* Incyte Corp. 129,941 889
* Gulfmark Offshore, Inc. 63,455 888
Cascade Natural Gas Corp. 42,115 888
SJW Corp. 9,951 888
NUI Corp. 55,082 888
* MemberWorks, Inc. 32,659 887
Myers Industries, Inc. 73,020 885
* Prime Hospitality Corp. 86,730 885
Goody's Family Clothing 94,306 883
Interpool, Inc. 57,873 883
* Mobius Management
Systems, Inc. 69,672 881
Kaman Corp. Class A 69,234 881
* Kirkland's, Inc. 49,813 880
* Zix Corp. 101,073 878
* Dyax Corp. 106,842 878
* Edge Petroleum Corp. 86,672 877
* Brush Engineered Materials Inc. 57,250 876
California Water Service Group 31,983 876
* Blount International, Inc. 111,313 876
* Fleetwood Enterprises, Inc. 85,380 876
* Applied Films Corp. 26,523 876
* Netscreen Technologies, Inc. 35,375 876
* Cubist Pharmaceuticals, Inc. 71,982 875
* DHB Industries, Inc. 125,013 875
First Place Financial Corp. 44,806 875
Bank of Granite Corp. 40,128 874
* Terayon Communications
Systems, Inc. 194,152 874
* SBS Technologies, Inc. 59,392 874
Vesta Insurance Group, Inc. 226,568 872
* Euronet Worldwide, Inc. 48,321 870
* Digi International, Inc. 90,420 868
Gibraltar Steel 34,454 867
PrivateBancorp, Inc. 19,033 866
* SPSS, Inc. 48,430 866
* Specialty Laboratories, Inc. 51,571 866
MGP Ingredients, Inc. 54,767 863
* Regeneration Technologies, Inc. 78,698 863
* Westell Technologies, Inc. 136,686 862
* Universal Display Corp. 63,032 862
* EMS Technologies, Inc. 41,939 861
* SigmaTel Inc. 34,879 861
TriCo Bancshares 27,260 860
* Herley Industries Inc. 41,556 860
* SafeNet, Inc. 27,930 859
* FPIC Insurance Group, Inc. 34,245 859
Capstead Mortgage Corp. REIT 51,184 859
Libbey, Inc. 30,130 858
Winston Hotels, Inc. REIT 84,097 858
Deb Shops, Inc. 39,870 857
* JAKKS Pacific, Inc. 65,120 857
Partners Trust
Financial Group, Inc. 25,195 857
* Seattle Genetics, Inc. 99,669 855
* Magnatek, Inc. 129,650 854
* Superconductor
Technologies Inc. 153,112 854
Frisch's Restaurants, Inc. 29,650 854
* Orthodontic Centers
of America, Inc. 106,028 854
* Carrier Access Corp. 68,087 852
* Argonaut Group, Inc. 54,784 851
American Woodmark Corp. 15,454 851
* MeriStar Hospitality Corp. REIT 130,676 851
* Callon Petroleum Co. 82,019 851
* ShopKo Stores, Inc. 55,769 850
* IXYS Corp. 90,699 848
* KFX, Inc. 112,218 847
34
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Fidelity Bankshares, Inc. 26,884 $ 844
Yardville National Bancorp 32,772 844
* LCA-Vision Inc. 39,836 843
* MTR Gaming Group Inc. 81,781 842
* Drugstore.com, Inc. 152,874 842
* Stein Mart, Inc. 102,077 841
* Chattem, Inc. 46,937 840
Met-Pro Corp. 52,001 840
* ADE Corp. 45,230 838
* Identix, Inc. 187,964 836
* Interface, Inc. 151,215 836
Seacoast Banking
Corp. of Florida 48,150 836
Stewart & Stevenson
Services, Inc. 59,396 835
* Therma-Wave Inc. 141,413 834
* Tyler Technologies, Inc. 86,573 834
* Rofin-Sinar Technologies Inc. 24,105 833
Skyline Corp. 23,868 832
* MTC Technologies, Inc. 25,819 832
* MIPS Technologies, Inc. 151,966 827
Penn Engineering
& Manufacturing Corp. 43,373 825
* Input/Output, Inc. 182,756 824
* Presstek, Inc. 113,177 823
* Harris Interactive Inc. 99,100 823
* Lionbridge Technologies, Inc. 85,526 822
Pennfed Financial Services, Inc. 24,510 821
* Cellstar Corp. 64,956 820
Waste Industries USA, Inc. 71,315 820
Capitol Bancorp Ltd. 28,813 818
* Parker Drilling Co. 320,856 818
Flexsteel Industry 36,219 815
BHA Group Holdings Inc. 32,324 813
* Tollgrade Communications, Inc. 46,372 813
Lufkin Industries 28,221 812
* Gardner Denver Inc. 34,032 812
* PICO Holdings, Inc. 51,554 808
* Aspect Medical Systems, Inc. 70,780 808
* ImmunoGen, Inc. 159,833 807
Hancock Fabrics, Inc. 55,714 807
National Presto Industries, Inc. 22,290 806
* Indevus Pharmaceuticals, Inc. 136,687 805
* Heidrick & Struggles
International, Inc. 36,918 805
* Symmetricom Inc. 110,496 804
* Barrett Business Services, Inc. 61,904 804
CCBT Financial Cos. Inc. 22,981 803
* Embarcadero Technologies, Inc. 50,346 803
* Rent-Way, Inc. 97,961 802
* Capital Corp. of the West 20,233 802
* Coinstar, Inc. 44,388 802
* Wiser Oil Co. 94,739 801
* NVE Corp. 15,593 800
* Wild Oats Markets Inc. 61,852 800
* Steven Madden, Ltd. 39,134 798
Medallion Financial Corp. 84,072 798
* Excel Technology, Inc. 24,271 798
* Peet's Coffee & Tea Inc. 45,754 797
* Standard Microsystem Corp. 31,472 796
* NCI Building Systems, Inc. 33,313 796
* Collins & Aikman Corp. 183,521 795
* US Physical Therapy, Inc. 50,511 795
* MatrixOne, Inc. 128,760 793
CT Communications, Inc. 58,718 793
* NETGEAR, Inc. 49,544 792
* Computer Network
Technology Corp. 83,025 792
* Ashford Hospitality Trust 84,337 792
* Guilford Pharmaceuticals, Inc. 116,445 789
RPC Inc. 71,828 789
* PetroQuest Energy, Inc. 252,896 789
Haverty Furniture Cos., Inc. 39,725 789
Inter Parfums, Inc. 34,904 788
* Intermagnetics General Corp. 35,574 788
* Audiovox Corp. 61,249 786
* Water Pik Technologies, Inc. 63,983 785
* Diodes Inc. 41,239 784
* Autobytel Inc. 86,253 783
* Ventiv Health, Inc. 85,584 783
* Pegasus Solutions Inc. 74,783 783
* Stifel Financial Corp. 40,111 782
* Pharmacopeia, Inc. 54,978 781
Columbia Bancorp 24,444 781
* Aftermarket Technology Corp. 56,743 779
* Duane Reade Inc. 45,842 776
* Trident Microsystems, Inc. 44,413 774
* Retail Ventures, Inc. 162,812 773
Klamath First Bancorp 29,117 773
* Discovery Laboratories, Inc. 73,650 773
* SOURCECORP, Inc. 30,112 772
* Perry Ellis International Corp. 29,834 769
* NetRatings, Inc. 67,287 769
HEICO Corp. 42,193 768
Hooper Holmes, Inc. 124,223 768
News Corp. Ltd. Pfd. ADR 25,317 766
* GSI Commerce, Inc. 78,496 766
* Netopia, Inc. 52,551 766
* HealthExtras, Inc. 57,138 766
* Maxim Pharmaceuticals, Inc. 86,017 766
* Palm Harbor Homes, Inc. 42,765 764
* AmericanWest Bancorporation 33,515 764
35
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Champion Enterprises, Inc. 109,159 $ 764
Merchants Bancshares, Inc. 24,977 763
* Penwest Pharmaceuticals Co. 44,156 763
* NS Group Inc. 78,639 763
* P.A.M. Transportation
Services, Inc. 35,700 761
* Entrust, Inc. 186,261 760
Kramont Realty Trust REIT 41,965 760
* OraSure Technologies, Inc. 95,366 759
* Captaris Inc. 134,834 758
BostonFed Bancorp, Inc. 21,710 758
* OPNET Technologies, Inc. 45,968 757
Netsmart Technologies, Inc. 49,134 754
* Omnicell, Inc. 46,552 754
* Applied Molecular Evolution, Inc. 42,334 754
* Young Broadcasting Inc. 37,601 754
* 1-800 CONTACTS, Inc. 35,882 754
* Psychiatric Solutions, Inc. 36,018 753
* Gundle/SLT Environmental, Inc. 36,254 753
* Rocky Shoes & Boots, Inc. 33,500 750
* infoUSA Inc. 100,828 748
* Instinet Group Inc. 145,199 748
* Rentrak Corp. 76,832 748
* Bluegreen Corp. 119,779 747
* Allied Healthcare International Inc. 119,709 747
* Coldwater Creek Inc. 67,874 747
Abington Bancorp Inc. 19,339 746
HEICO Corp. Class A 52,975 746
Milacron Inc. 178,269 743
HMN Financial, Inc. 30,596 743
World Wrestling
Entertainment, Inc. 56,510 740
Blair Corp. 30,393 740
Pacific Crest Capital Inc. 28,539 738
* ThermoGenesis Corp. 142,257 737
* America Service Group Inc. 23,810 736
* InFocus Corp. 76,020 736
* Syntroleum Corp. 169,990 734
* Cable Design Technologies Corp. 81,662 734
* Orleans Homebuilders, Inc. 25,906 734
Presidential Life Corp. 55,762 734
* Regent Communications, Inc. 115,506 733
Southwest Water Co. 45,544 731
* Martha Stewart Living
Omnimedia, Inc. 74,207 731
* PC-Tel, Inc. 68,793 730
* Navigant International, Inc. 52,671 729
CPI Corp. 36,065 729
* Cache, Inc. 34,958 728
* A.C. Moore Arts & Crafts, Inc. 37,684 726
Intermet Corp. 133,591 725
* Wackenhut Corrections Corp. 31,788 725
Calgon Carbon Corp. 116,567 724
* Pinnacle Airlines Corp. 52,000 722
United Fire & Casualty Co. 17,888 722
* Candela Corp. 39,696 722
* Radiant Systems, Inc. 85,763 721
* Blue Rhino Corp. 51,925 721
Integral Systems, Inc. 33,483 721
* First Horizon Pharmaceutical Corp. 64,239 719
* RC2 Corp. 34,566 717
* SeaChange International, Inc. 46,538 717
Peoples Holding Co. 21,714 717
* International Multifoods Corp. 39,782 716
* Verso Technologies, Inc. 223,514 715
* Metris Cos., Inc. 161,079 715
BRT Realty Trust REIT 24,763 714
* Astec Industries, Inc. 58,131 713
* ATP Oil & Gas Corp. 113,574 713
* Merix Corp. 29,065 713
* IMCO Recycling, Inc. 72,076 713
* Medical Staffing Network
Holdings, Inc. 65,089 713
* Oplink Communications, Inc. 298,038 712
Cherokee Inc. 31,285 711
EnergySouth, Inc. 20,269 709
* August Technology Corp. 38,236 709
* Luminex Corp. 75,615 709
* Dril-Quip, Inc. 43,492 709
D&K Healthcare Resources, Inc. 52,177 708
* The Great Atlantic & Pacific
Tea Co., Inc. 84,208 707
Acadia Realty Trust REIT 56,567 707
Angelica Corp. 32,119 707
Provident Bancorp, Inc. 15,026 706
* Matria Healthcare, Inc. 33,413 706
Action Performance Cos., Inc. 35,974 705
* Pegasus Communications Corp. 25,086 704
Oshkosh B' Gosh, Inc. Class A 32,736 703
* Charles River Associates Inc. 21,872 700
* Vans, Inc. 61,291 699
* Q-Med, Inc. 62,085 698
* Actuate Software Corp. 224,393 698
* Pericom Semiconductor Corp. 65,405 697
Redwood Empire Bancorp 26,213 697
* RadiSys Corp. 41,310 696
Ampco-Pittsburgh Corp. 50,922 696
* DiamondCluster International, Inc. 68,241 696
* Gentiva Health Services, Inc. 55,063 696
Newmil Bancorp, Inc. 23,900 694
State Financial Services Corp.
Class A 26,118 694
36
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Bassett Furniture Industries, Inc. 41,939 $ 692
Tennant Co. 15,948 691
American Software, Inc. Class A 96,451 690
* Concur Technologies, Inc. 71,316 690
Journal Communications, Inc. 37,247 690
* Isis Pharmaceuticals, Inc. 106,040 689
Badger Meter, Inc. 18,036 688
Old Second Bancorp, Inc. 13,891 688
Iomega Corp. 114,900 687
* Carreker Corp. 48,982 686
Cross Timbers Royalty Trust 24,015 685
* Mechanical Technology Inc. 125,209 685
PVF Capital Corp. 42,466 684
* Tarragon Realty
Investors Inc. REIT 41,385 683
* Navarre Corp. 112,338 683
* FindWhat.com 36,395 682
Summit Bancshares, Inc. 24,491 682
* Maxxam Inc. 35,960 681
Midland Co. 28,840 681
* A.M. Castle & Co. 93,291 681
* PalmSource, Inc. 31,230 681
MTS Systems Corp. 35,334 679
* Source Interlink Companies, Inc. 63,947 679
* iGATE Corp. 86,496 679
* CKE Restaurants Inc. 106,256 679
Curtiss-Wright Corp. Class B 15,116 679
* Planar Systems, Inc. 27,903 679
* Rimage Corp. 42,824 678
* New Focus, Inc. 134,891 677
* CuraGen Corp. 92,363 677
* Digital Theater Systems Inc. 27,416 677
* FalconStor Software, Inc. 77,209 675
* Ultralife Batteries, Inc. 54,497 675
Donegal Group Inc. 34,873 671
* Petrocorp, Inc. 49,858 671
Coastal Bancorp, Inc. 16,321 671
* Equinix, Inc. 23,734 669
* Bradley Pharmaceuticals, Inc. 26,319 669
Financial Institutions, Inc. 23,704 669
* Buckeye Technology, Inc. 66,250 666
Horizon Financial Corp. 38,004 665
* Hifn, Inc. 55,913 665
* North Coast Energy Inc. 62,188 665
Boykin Lodging Co. REIT 72,589 664
* Dave & Busters, Inc. 52,370 664
* EPIQ Systems, Inc. 38,720 663
* Nexstar Broadcasting Group, Inc. 48,376 663
BWC Financial Corp. 27,964 662
* RehabCare Group, Inc. 31,112 661
* Bruker BioSciences Corp. 144,988 660
Todd Shipyards Corp. 37,142 660
* Hanger Orthopedic Group, Inc. 42,252 658
Young Innovations, Inc. 18,254 657
* Stoneridge, Inc. 43,637 657
* ActivCard Corp. 83,270 656
* Bombay Co. 80,593 656
* Beasley Broadcast Group, Inc. 39,913 656
Crawford & Co. Class B 92,863 656
* Maxygen Inc. 61,655 655
* E-LOAN, Inc. 219,866 655
* Applica Inc. 86,196 655
Nara Bancorp, Inc. 23,985 655
* VitalWorks Inc. 148,108 655
* Inverness Medical
Innovations, Inc. 29,972 653
* Cell Therapeutics, Inc. 74,982 652
Second Bancorp, Inc. 24,688 652
* LifeCell Corp. 104,919 652
* AAON, Inc. 33,533 651
Humphrey Hospitality
Trust, Inc. REIT 141,108 651
UNITILI Corp. 25,195 650
TF Financial Corp. 19,134 650
* Garden Fresh Restaurant Corp. 40,452 650
Advanced Marketing Services 56,978 650
* PRG-Schultz International, Inc. 132,195 648
* Orthologic Corp. 105,665 648
* eCollege.com Inc. 35,042 647
* Olympic Steel, Inc. 78,732 647
E-Z-EM, Inc. 49,929 647
* The First Marblehead Corp. 29,506 646
* Horizon Organic Holding Corp. 26,947 645
* Westmoreland Coal Co. 36,877 645
First Albany Companies Inc. 45,930 645
Heritage Financial Corp. 29,471 645
* Steinway Musical
Instruments Inc. 26,072 644
* Portal Software, Inc. 95,207 641
CFS Bancorp, Inc. 43,044 639
Cascade Corp. 28,626 638
* Medical Action Industries Inc. 34,058 637
Equity Inns, Inc. REIT 70,386 637
* VaxGen, Inc. 80,359 636
Hanmi Financial Corp. 32,166 636
* Sirva Inc. 32,542 636
* Ceradyne, Inc. 18,656 635
* Gerber Scientific, Inc. 79,754 635
* NYFIX, Inc. 79,743 634
* Galyan's Trading Co. 52,631 634
* Datastream Systems, Inc. 80,614 633
* Delta Petroleum Corp. 104,240 633
37
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
First of Long Island Corp. 14,689 $ 632
* Synaptics Inc. 42,105 631
* Genesco, Inc. 41,684 631
* Playboy Enterprises, Inc. Class B 39,022 631
* Clark, Inc. 32,738 630
* Alexion Pharmaceuticals, Inc. 37,007 630
Greater Delaware Valley
Savings Bank 22,474 629
Chesapeake Utilities Corp. 24,111 628
Associated Estates Realty
Corp. REIT 85,922 628
* Florida Banks, Inc. 44,788 627
* Savient Pharmaceuticals Inc. 136,013 627
Ambassadors International, Inc. 50,101 626
Scope Industries 8,400 626
U.S. Restaurant
Properties, Inc. REIT 36,722 626
* PC Connection, Inc. 74,697 625
* Chalone Wine Group Ltd. 71,034 625
Community Banks, Inc. 15,865 624
Interchange Financial
Services Corp. 24,633 623
* Orchid Biosciences, Inc. 336,734 623
Sanders Morris Harris Group Inc. 50,134 622
* Criimi Mae, Inc. REIT 59,567 621
* Alderwoods Group, Inc. 65,866 620
* SCS Transportation, Inc. 35,246 620
North Valley Bancorp 40,600 620
* Triton PCS, Inc. 110,964 619
* Advanced Magnetics, Inc. 47,607 619
* MAIR Holdings, Inc. 84,995 619
American Land Lease, Inc. REIT 31,014 619
* Nuvelo, Inc. 177,936 617
* I-STAT Corp. 40,324 617
* Interpore International 47,333 615
Parkvale Financial Corp. 22,911 615
* Tweeter Home Entertainment
Group, Inc. 65,071 615
* OneSource Information
Services, Inc. 65,211 614
Tompkins Trustco, Inc. 13,333 614
* Republic First Bancorp, Inc. 50,263 611
* Perini Corp. 66,721 610
* A.T. Cross Co. Class A 91,426 610
* IMPAC Medical Systems, Inc. 23,806 608
Semco Energy Inc. 124,171 608
* GameStop Corp. 39,437 608
* FTD, Inc. 24,580 606
* Tripath Technology Inc. 87,772 606
* PRAECIS Pharmaceuticals Inc. 93,915 605
* BioCryst Pharmaceuticals, Inc. 88,653 605
* Zoltek Cos., Inc. 119,374 604
* Horizon Offshore, Inc. 137,240 604
* ARIAD Pharmaceuticals, Inc. 80,917 603
CityBank Lynnwood WA 18,509 602
* Liquidmetal Technologies Inc. 211,737 601
* Lexicon Genetics Inc. 102,075 601
* Royale Energy, Inc. 48,952 601
* NMS Communications Corp. 96,224 600
* Quidel Corp. 55,465 600
MutualFirst Financial Inc. 23,668 600
Maritrans Inc. 35,884 600
* Fargo Electronics 47,109 599
* Collagenex Pharmaceuticals, Inc. 53,388 598
* Covansys Corp. 54,384 598
Lithia Motors, Inc. 23,718 598
* Virginia Commerce Bancorp, Inc. 18,646 597
* Kforce Inc. 63,882 597
First Busey Corp. 22,085 596
Quaker Fabric Corp. 62,755 596
* KVH Industries, Inc. 21,697 596
* The SCO Group, Inc. 35,017 595
* EPIX Medical, Inc. 36,535 595
* Bell Microproducts Inc. 65,625 595
* PDF Solutions, Inc. 39,842 594
* Department 56 Inc. 45,113 591
* Taser International Inc. 7,169 591
CSS Industries, Inc. 19,029 590
* Insurance Auto Auctions, Inc. 45,176 590
* Myriad Genetics, Inc. 45,682 587
* The Exploration Co. of
Delaware, Inc. 96,254 587
* Progenics Pharmaceuticals, Inc. 31,099 587
* The Sportsman's Guide Inc. 34,182 586
* Universal Technical Institute Inc. 19,500 585
LSB Bancshares, Inc. 33,577 584
* Central Coast Bancorp 32,166 583
* American Science
& Engineering, Inc. 48,374 583
Deltic Timber Corp. 19,174 583
ABC Bancorp 36,479 583
* Theragenics Corp. 106,418 582
Raven Industries, Inc. 19,705 581
* Ceres Group, Inc. 99,498 581
* Corixa Corp. 95,718 578
Troy Financial Corp. 16,504 578
Ohio Valley Banc Corp. 21,725 577
* Benihana Inc. Class A 44,822 576
SpectraLink Corp. 30,041 576
* The Wet Seal, Inc. Class A 58,197 576
* Aether Systems, Inc. 120,997 575
* Buca, Inc. 84,354 574
38
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Neurobiological Technologies, Inc. 98,521 $ 574
* Embrex, Inc. 41,742 574
* Docucorp International, Inc. 56,387 572
Maine & Maritimes Corp. 16,300 571
* Image Entertainment, Inc. 138,088 570
* Dendreon Corp. 70,691 570
* MarketWatch.com, Inc. 66,164 570
* Drexler Technology Corp. 41,661 570
* Cole National Corp. Class A 28,421 568
* Zomax Inc. 113,743 568
* SM&A Corp. 48,448 567
* Salton, Inc. 43,411 567
Maxcor Financial Group Inc. 43,767 566
Dover Motorsports, Inc. 161,773 566
* Stellent Inc. 57,483 566
* Double Eagle Petroleum Co. 37,606 565
* Acmat Corp. Class A 45,773 564
* Research Frontiers, Inc. 60,659 564
* Meta Group, Inc. 89,375 563
* SONUS Pharmaceuticals, Inc. 110,647 562
* Loudeye Corp. 288,054 562
Tecumseh Products Co. Class B 11,900 562
* FARO Technologies, Inc. 22,476 561
* Terra Industries, Inc. 169,566 561
Saucony Inc. 32,339 560
* Columbia Laboratories Inc. 88,860 560
* Illumina, Inc. 79,369 560
* Hampshire Group, Ltd. 17,834 559
* Interlink Electronics Inc. 79,650 559
* MSC.Software Corp. 59,084 558
Penford Corp. 40,603 557
Green Mountain Power Corp. 23,564 556
* Monolithic System
Technology, Inc. 64,961 555
* ePlus Inc. 44,979 555
* Neose Technologies, Inc. 60,279 555
* Visual Networks, Inc. 247,044 553
* Nu Horizons Electronics Corp. 56,396 553
* Zygo Corp. 33,413 551
* Oxigene, Inc. 68,004 549
* Toreador Resources Corp. 118,100 549
* Checkers Drive-In
Restaurants, Inc. 52,744 549
SS&C Technologies, Inc. 19,637 549
* Chordiant Software, Inc. 100,707 549
* Celadon Group Inc. 38,645 549
* Electroglas, Inc. 150,320 549
* Cholestech Corp. 71,905 549
Spartan Motors, Inc. 54,305 548
* ChromaVision Medical
Systems, Inc. 171,867 548
* MRO Software Inc. 40,717 548
* Possis Medical Inc. 27,736 548
* Sipex Corp. 71,038 548
* Valence Technology Inc. 142,233 548
* Orphan Medical, Inc. 53,348 547
* Casual Male Retail Group, Inc. 78,749 547
* Nastech Pharmaceutical Co., Inc. 56,923 546
* Lawson Software Inc. 66,398 546
Seaboard Corp. 1,937 546
* Alliance Semiconductor Corp. 76,813 546
* RF Monolithics, Inc. 55,538 546
* Midas Inc. 38,162 546
First Oak Brook Bancshares, Inc. 18,184 546
* LoJack Corp. 67,698 546
* Concord Camera Corp. 58,929 545
NASB Financial Inc. 12,988 544
* The Greenbrier Cos., Inc. 32,431 543
Movado Group, Inc. 19,239 543
MOCON, Inc. 66,962 542
* LKQ Corp. 30,210 542
* Universal Electronics, Inc. 42,547 542
Astro-Med, Inc. 41,850 542
* Pemstar Inc. 164,541 541
Nature's Sunshine Inc. 63,634 538
Mystic Financial, Inc. 17,955 537
* Comfort Systems USA, Inc. 98,049 537
* Hologic, Inc. 31,003 537
Triarc Cos., Inc. Class A 45,356 536
* iPass Inc. 33,406 535
* The TriZetto Group, Inc. 83,014 535
Safety Insurance Group, Inc. 31,240 535
* Luby's, Inc. 144,665 534
* Bone Care International, Inc. 41,838 533
* Highland Hospitality Corp. 48,600 530
* Evolving Systems, Inc. 39,785 529
* Mediware Information
Systems, Inc. 33,090 528
Anchor Glass Container Corp. 33,006 528
* APAC Teleservices, Inc. 203,061 528
* MedAmicus, Inc. 40,125 528
* Sonic Solutions, Inc. 34,439 527
* FreeMarkets, Inc. 78,629 526
* Switchboard Inc. 75,861 524
Chester Valley Bancorp 22,625 524
Standard Commercial Tobacco Co. 26,090 524
* Centra Software, Inc. 132,312 523
* Sigma Designs, Inc. 69,399 523
* Genome Therapeutics Corp. 166,886 522
* WJ Communications, Inc. 101,994 522
* Titanium Metals Corp. 9,929 521
* Marimba, Inc. 94,792 521
39
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Infocrossing, Inc. 43,442 $ 520
* Vivus, Inc. 137,156 520
* Quantum Fuel Systems
Technologies Worldwide, Inc. 64,593 519
California National Bancorp 36,297 519
* SITEL Corp. 222,544 519
* Spectrum Control, Inc. 65,131 519
* Cypress Bioscience, Inc. 34,204 518
BNP Residential
Properties, Inc. REIT 44,600 518
* Immunomedics Inc. 113,370 517
* American Independence Corp. 43,678 516
* Maxwell Technologies, Inc. 72,627 516
Landmark Bancorp Inc. 18,954 516
FNB Financial Services Corp. 25,826 515
* Silicon Graphics, Inc. 375,793 515
* Enesco Group, Inc. 49,683 513
* Hector Communications Corp. 36,550 512
* Orthovita, Inc. 159,613 512
* Repligen Corp. 117,218 512
* Overstock.com, Inc. 25,729 511
* The Boyds Collection, Ltd. 120,208 511
* Rush Enterprises, Inc. Class A 52,100 510
* Group 1 Software, Inc. 28,934 510
Ryerson Tull, Inc. 44,506 510
* Insmed Inc. 171,514 509
* Pozen Inc. 49,792 508
* Electro Rent Corp. 37,988 507
McGrath Rent Corp. 18,539 505
* Urologix, Inc. 76,527 505
Cavalry Bancorp, Inc. 28,717 505
* Lightbridge, Inc. 55,412 504
* Skechers U.S.A., Inc. 61,871 504
* Zhone Technologies 101,972 504
* OpenTV Corp. 150,346 504
* CyberOptics Corp. 46,591 503
* Lakes Entertainment, Inc. 31,095 502
NN, Inc. 39,873 502
* Net2Phone, Inc. 73,789 502
* Zila, Inc. 122,598 501
* Jos. A. Bank Clothiers, Inc. 14,448 501
* Kana Software, Inc. 148,695 501
* SciClone Pharmaceuticals, Inc. 73,899 501
* Universal Stainless & Alloy
Products, Inc. 46,326 500
* Xicor, Inc. 44,107 500
* Hub Group, Inc. 23,205 500
* NATCO Group Inc. 65,819 500
* Quality Systems, Inc. 11,200 499
* Immersion Corp. 83,717 498
* Corillian Corp. 78,930 498
* BE Aerospace, Inc. 92,129 497
* Zoll Medical Corp. 14,011 497
Dover Downs Gaming
& Entertainment, Inc. 52,448 496
Republic Bancorp, Inc. Class A 25,251 493
* AXT, Inc. 158,512 493
* North American Scientific, Inc. 46,940 493
Talx Corp. 21,377 492
* White Electronic Designs Corp. 55,887 492
* First Consulting Group, Inc. 87,232 491
* EasyLink Services Corp. 329,065 490
* SoundView Technology
Group, Inc. 31,635 490
* Peregrine Pharmaceuticals, Inc. 221,388 489
D&E Communications, Inc. 33,679 489
* LodgeNet Entertainment Corp. 26,725 489
West Coast Bancorp 22,880 488
* Shoe Carnival, Inc. 27,381 487
* Osteotech, Inc. 55,326 487
* Cardinal Financial Corp. 58,779 487
* Glacier Water Services, Inc. 24,400 486
* Laserscope 31,143 486
* Novavax, Inc. 80,712 484
* Pumatech, Inc. 121,553 484
* American Medical Security
Group, Inc. 21,567 484
* Cardiac Science, Inc. 121,109 483
American Mortgage
Acceptance Co. REIT 29,628 483
* LogicVision, Inc. 107,197 482
* Team, Inc. 46,934 482
* Stamps.com Inc. 77,499 480
* PLX Technology, Inc. 54,233 480
* Radiologix Inc. 141,528 480
* Blue Coat Systems, Inc. 21,485 479
Communications Systems, Inc. 59,841 479
* Carmike Cinemas, Inc. 13,719 478
* Sirenza Microdevices, Inc. 99,588 478
* Spherix Inc. 76,464 478
* FSI International, Inc. 64,739 478
Urstadt Biddle Properties REIT 35,000 476
* Greg Manning Auctions, Inc. 40,220 476
* UQM Technologies, Inc. 156,357 475
* Boston Communications
Group, Inc. 51,147 475
* HealthTronics Surgical
Services, Inc. 75,988 475
* Encore Medical Corp. 58,163 474
The First Years Inc. 31,728 474
* NCO Portfolio Management, Inc. 57,156 473
Applied Signal Technology, Inc. 20,478 471
40
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- -------------------------------------------------------------------------------
* Rush Enterprises, Inc. Class B 46,581 $ 470
California Independent Bancorp 12,216 470
* American Dental Partners, Inc. 41,417 470
* W.R. Grace & Co. 182,899 470
* Natus Medical Inc. 112,037 469
Nash-Finch Co. 21,010 469
* Rewards Network Inc. 44,008 469
Distributed Energy Systems Corp. 163,993 469
Home Federal Bancorp 16,626 469
* Hi-Tech Pharmacal Co., Inc. 19,920 468
* J. Jill Group, Inc. 36,827 468
Peoples Bancorp, Inc. 15,848 468
Knape & Vogt Manufacturing Co. 39,168 468
* Continental Materials Corp. 17,151 467
* Millennium Cell Inc. 199,673 465
* Ameriserv Financial Inc. 92,691 463
* TechTeam Global, Inc. 66,267 463
* Willis Lease Finance Corp. 62,954 463
PMA Capital Corp. Class A 90,323 462
* Danielson Holdings Corp. 158,686 462
* Answerthink Consulting
Group, Inc. 82,988 461
Community Capital Corp. 23,210 460
* Fairchild Corp. 90,953 458
* Celeritek, Inc. 61,735 458
Sypris Solutions, Inc. 27,245 458
Farmers Capital Bank Corp. 13,448 457
Middlesex Water Co. 22,510 457
* Vasomedical, Inc. 406,887 456
* GlycoGenesys, Inc. 303,254 455
Courier Corp. 11,803 454
L.S. Starrett Co. Class A 27,600 454
* Neoforma, Inc. 42,666 454
* GTC Biotherapeutics, Inc. 142,154 453
* Semitool, Inc. 42,256 453
* eMerge Interactive, Inc. 312,137 453
* Energy Conversion Devices, Inc. 50,088 452
Connecticut Water Services, Inc. 16,326 451
* Z-Tel Technologies, Inc. 223,079 451
* Pathmark Stores, Inc. 59,234 450
American Vanguard Corp. 12,064 450
* Res-Care, Inc. 55,373 449
* Management Network
Group Inc. 135,633 448
* Bally Total Fitness Holding Corp. 63,936 448
* American Power Technology, Inc. 51,767 447
* Party City Corp. 35,230 447
* Matrix Bancorp, Inc. 48,314 447
* Authentidate Holding Corp. 37,471 446
* SFBC International, Inc. 16,760 445
* Friendly Ice Cream Corp. 46,115 445
* Nanometrics Inc. 30,243 445
* Capital Title Group, Inc. 103,212 445
Bairnco Corp. 73,100 445
Computer Programs
and Systems, Inc. 22,100 445
Sturm, Ruger & Co., Inc. 39,099 445
* SimpleTech, Inc. 73,886 444
* Niku Corp. 52,116 443
* Copper Mountain Networks, Inc. 41,110 443
* Nuance Communications Inc. 57,789 442
* Shiloh Industries, Inc. 69,950 441
* Park-Ohio Holdings Corp. 59,448 440
Great Lakes, Inc. REIT 27,996 440
First Bancorp (NC) 13,985 439
* Nashua Corp. 51,621 439
Covest Bankshares, Inc. 15,958 438
* Rita Medical Systems, Inc. 98,260 437
* Primus Knowledge Solutions, Inc. 69,495 437
* Mannatech, Inc. 40,241 437
* Able Laboratories, Inc. 24,184 437
* AVANT Immunotherapeutics, Inc. 159,433 437
* Crossroads Systems, Inc. 156,782 436
* Alloy, Inc. 83,571 435
German American Bancorp 24,847 435
Ingles Markets, Inc. 42,289 434
Sound Federal Bancorp Inc. 27,759 433
North Pittsburgh Systems, Inc. 22,865 432
Timberland Bancorp, Inc. 19,054 432
* WatchGuard Technologies, Inc. 74,153 432
United Guardian, Inc. 54,600 431
* Witness Systems, Inc. 46,055 430
* Rainbow Rentals, Inc. 57,000 429
* Somanetics Corp. 63,493 429
* Compass Minerals International 30,000 428
* Biosource International Inc. 63,232 428
Liberty Homes, Inc. Class A 84,500 428
* Matrix Service Co. 23,550 427
* Rubio's Restaurants, Inc. 71,380 427
* Cellegy Pharmaceuticals, Inc. 137,221 427
* BioSphere Medical Inc. 106,928 427
* America's Car-Mart, Inc. 15,830 426
* Telular Corp. 64,807 424
* Novoste Corp. 88,564 424
* The Immune Response Corp. 280,841 424
* Stratasys, Inc. 15,556 424
Unity Bancorp, Inc. 37,092 424
* The Med-Design Corp. 94,158 424
* Nelnet, Inc. 18,900 423
Arrow Financial Corp. 15,236 423
Fedders Corp. 58,700 423
* The Leather Factory, Inc. 87,200 422
41
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* SteelCloud Inc. 98,128 $ 422
First Indiana Corp. 22,498 422
* Somera Communications, Inc. 263,255 421
* Worldwide Restaurant
Concepts Inc. 150,365 421
* Array BioPharma Inc. 73,724 419
* Arotech Corp. 230,367 419
Pennrock Financial Services Corp. 13,481 419
* Famous Dave's of America, Inc. 88,863 419
* Lipid Sciences, Inc. 117,049 418
Central Bancorp, Inc. 11,400 416
* Genaera Corp. 127,229 416
Merchants Group, Inc. 17,450 416
Nobility Homes, Inc. 39,000 415
* Paxson Communications Corp. 107,752 415
* XETA Technologies Inc. 68,519 415
Thomas Nelson, Inc. 21,442 414
* AP Pharma Inc. 168,225 412
* Viisage Technology, Inc. 114,377 412
* Medis Technology Ltd. 38,431 411
* Pharmos Corp. 117,473 411
* Curon Medical Inc. 130,662 411
* Catalytica Energy Systems, Inc. 117,383 411
* USA Truck, Inc. 41,528 411
* Vitria Technology, Inc. 57,820 411
* Vyyo Inc. 48,111 410
X-Rite Inc. 36,253 410
* UbiquiTel Inc. 152,519 410
Quaker City Bancorp, Inc. 8,809 410
* Monterey Pasta Co. 109,914 410
* Mitcham Industries, Inc. 113,700 409
* Xybernaut Corp. 260,539 409
* GRIC Communications, Inc. 75,722 409
Robbins & Myers, Inc. 21,508 408
* Globecomm Systems, Inc. 85,809 408
Schawk, Inc. 29,870 407
* Latitude Communications, Inc. 103,521 407
Oak Hill Financial, Inc. 13,197 407
* Micronetics Inc. 56,357 406
* EnPro Industries, Inc. 29,031 405
* TransTechnology Corp. 60,841 405
* Revlon, Inc. Class A 180,360 404
* Workflow Management, Inc. 69,351 404
* TRC Cos., Inc. 19,151 403
Belmont Bancorp 71,557 401
Quaker Chemical Corp. 13,022 400
* Maxwell Shoe Co. Inc. 23,550 400
* The Smith & Wollensky
Restaurant Group, Inc. 62,995 399
Patriot Bank Corp. 13,946 399
* U.S. Home Systems, Inc. 35,939 399
* Chicago Pizza & Brewery, Inc. 26,649 398
One Liberty Properties, Inc. REIT 19,900 397
* Synovis Life Technologies, Inc. 19,486 396
* FiberNet Telecom Group, Inc. 319,473 396
* Clean Harbors Inc. 44,425 396
* Applix, Inc. 111,924 395
Steel Technologies, Inc. 22,332 395
* Kosan Biosciences, Inc. 40,046 395
* Systemax Inc. 59,247 395
* Modtech Holdings, Inc. 46,914 395
* Carrington Labs Inc. 95,546 394
* Digital Impact, Inc. 136,405 393
* Aksys, Ltd. 44,467 393
* Neurogen Corp. 46,629 392
* Plumtree Software, Inc. 83,444 392
* Brookstone, Inc. 18,390 392
LTC Properties, Inc. REIT 26,579 392
* Huttig Building Products, Inc. 130,102 390
* BSQUARE Corp. 272,536 390
* MTI Technology Corp. 165,079 390
* barnesandnoble.com inc 131,938 389
* Natural Alternatives
International, Inc. 60,700 389
* Drew Industries, Inc. 13,989 389
PMC Capital, Inc. 69,742 388
Lakeland Financial Corp. 10,982 388
* InterCept, Inc. 34,238 387
* Liberte Investors, Inc. REIT 54,732 386
* Darling International, Inc. 139,939 386
* SIGA Technologies, Inc. 168,654 386
* Rigel Pharmaceuticals, Inc. 20,203 386
* Clarus Corp. 53,463 386
* OSI Systems Inc. 20,056 385
* Glenayre Technologies, Inc. 143,202 385
* Industrial Distribution Group, Inc. 69,200 385
* Allscripts Healthcare
Solutions, Inc. 72,205 384
* Bottomline Technologies, Inc. 42,536 383
* COMARCO, Inc. 34,743 382
* Fonar Corp. 331,626 381
* Kendle International Inc. 60,081 381
* NPTest Holding Corp. 34,500 381
* California Micro Devices Corp. 41,615 380
* Tut Systems, Inc. 59,180 380
Capital Trust Class A 16,697 379
* EMCORE Corp. 80,466 379
MFB Corp. 12,400 378
Virco Manufacturing Corp. 59,511 378
* Endologix, Inc. 95,084 377
* Tor Minerals International, Inc. 72,301 377
* Newtek Business Services, Inc. 54,345 377
42
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Peoples BancTrust Co., Inc. 23,550 $ 377
Vulcan International Corp. 8,600 376
* Key Tronic Corp. 167,700 375
Bay View Capital Corp. 174,531 373
Strategic Distribution, Inc. 26,230 373
* Neoware Systems, Inc. 27,197 373
* Omega Protein Corp. 48,253 373
Meridian Bioscience Inc. 35,658 372
* Pain Therapeutics, Inc. 53,426 371
* Ramtron International Corp. 141,548 371
Mainsource Financial Group, Inc. 12,091 371
* Lynx Therapeutics, Inc. 58,192 371
* LCC International, Inc. Class A 69,109 371
* Northfield Laboratories, Inc. 55,985 370
* ONYX Software Corp. 93,910 370
* Torch Offshore, Inc. 70,051 369
* ANADIGICS, Inc. 61,712 368
Packaging Dynamics Corp. 35,745 367
* Interpharm Holdings, Inc. 78,155 367
* V.I. Technologies, Inc. 333,576 367
American Equity Investment
Life Holding Co. 36,800 367
* EntreMed, Inc. 109,837 367
* McLeod USA Inc. 247,625 366
* ViroPharma Inc. 131,782 366
Pacific Union Bank 14,348 366
CB Bancshares Inc. (HI) 5,803 365
* Covalent Group, Inc. 143,141 365
* Penn Octane Corp. 152,030 365
* Wilshire Enterprises, Inc. 59,800 365
* Sports Resorts International, Inc. 71,991 364
Monmouth Real Estate
Investment Corp. REIT 41,882 364
GA Financial, Inc. 10,475 364
* Ultimate Electronics, Inc. 47,645 364
Capital Bank Corp. 23,514 363
* Digimarc Corp. 27,255 362
* Novatel Wireless, Inc. 60,405 362
* CyberSource Corp. 70,009 361
* QRS Corp. 44,411 361
* Beacon Power Corp. 329,535 359
Rock of Ages Corp. 62,200 359
* Mobility Electronics, Inc. 40,090 358
* Omnova Solutions Inc. 74,615 358
* Bentley Pharmaceuticals, Inc. 26,926 358
* MicroFinancial Inc. 123,455 358
Provident Financial Holdings, Inc. 9,867 358
Sunrise Telecom Inc. 102,237 358
Southwest Bancorp, Inc. 19,987 357
Shore Bancshares, Inc. 9,371 357
* National R. V. Holdings, Inc. 35,870 357
* Jupitermedia Corp. 77,512 357
* Encore Wire Corp. 20,123 356
* U.S. Energy Corp. 119,440 356
FloridaFirst Bancorp, Inc. 10,742 356
* Nobel Learning Communities, Inc. 65,987 355
Peoples Bancorp of North Carolina 18,779 354
* Ducommun, Inc. 15,841 354
* Foodarama Supermarkets, Inc. 13,041 353
* Mail-Well, Inc. 76,497 353
Camden National Corp. 11,603 352
* Network Engines, Inc. 80,759 352
* ABIOMED, Inc. 50,905 352
FLAG Financial Corp. 27,238 351
* Conceptus, Inc. 32,957 350
* Extended Systems Inc. 80,621 350
* VA Software Corp. 89,401 350
First M&F Corp. 9,211 349
Psychemedics Corp. 37,180 348
* BNCCORP, Inc. 19,153 348
* Centillium Communications, Inc. 61,779 348
* Computer Task Group, Inc. 89,201 347
* Trico Marine Services, Inc. 193,764 347
* Petroleum Helicopters, Inc. 12,835 347
Sizeler Property
Investors, Inc. REIT 32,354 347
* Data Systems & Software, Inc. 100,950 346
* Docent, Inc. 75,201 346
* Monro Muffler Brake, Inc. 17,286 346
* TransPro Inc. 82,510 346
* The Princeton Review, Inc. 35,394 345
* Arena Pharmaceuticals, Inc. 55,633 345
FNB Corp. (VA) 11,610 345
* Paul-Son Gaming Corp. 59,700 344
* TranSwitch Corp. 149,443 344
Woodhead Industries, Inc. 20,290 343
First State Bancorporation 9,862 343
* Epimmune Inc. 187,039 342
* Serrento Networks Corp. 115,605 342
Arden Group Inc. Class A 4,401 341
Greater Community Bancorp 20,090 341
Royal Bancshares of
Pennsylvania, Inc. 13,354 341
* Proxim Corp. Class A 203,496 340
Consolidated-Tomoka Land Co. 10,378 339
* TheStreet.com, Inc. 82,330 339
* Verticalnet, Inc. 287,229 339
* Measurement Specialties, Inc. 16,567 338
* CompuCom Systems, Inc. 64,530 338
* NTN Communications, Inc. 91,222 338
* Dominion Homes, Inc. 11,123 337
* First Cash Financial Services, Inc. 13,157 337
43
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Flanders Corp. 51,242 $ 337
* First Potomac REIT 17,989 337
Delta Apparel, Inc. 18,709 337
* Compex Technologies Inc. 40,270 337
* Franklin Electronic Publishers, Inc. 85,861 337
Citizens First Financial Corp. 13,152 335
* ParkerVision, Inc. 34,241 335
* Zonagen, Inc. 180,675 334
* Caliper Technologies Corp. 50,777 334
Penn-America Group, Inc. 25,120 333
Franklin Financial Corp. 10,839 333
* CYTOGEN Corp. 30,593 333
* Merisel, Inc. 56,315 333
* I-Flow Corp. 23,918 333
* Charles & Colvard Ltd. 80,426 332
Guaranty Federal Bancshares, Inc. 17,225 332
* Saba Software, Inc. 96,091 332
* Playboy Enterprises Inc. Class A 22,850 331
* Verisity Ltd. 25,893 330
* E. Gottschalk & Co., Inc. 93,600 329
* Digital Generation Systems 146,925 329
* Graphic Packaging Corp. 81,054 329
* Alliance Imaging, Inc. 88,671 328
Traffix, Inc. 60,112 328
Ennis Business Forms, Inc. 21,406 328
* Midway Games Inc. 84,086 326
Craftmade International, Inc. 12,431 326
* LECG Corp. 14,202 325
Lowrance Electronics, Inc. 15,870 325
Union Community Bancorp 18,300 323
United Mobile Homes, Inc. REIT 19,006 323
* Rainier Pacific Financial Group Inc. 20,300 323
Boston Acoustics, Inc. 29,287 322
* Manufacturers' Services Ltd. 53,023 322
* Pharmacyclics, Inc. 43,513 322
CoBiz Inc. 17,462 322
LSI Industries Inc. 23,816 322
* Overland Storage, Inc. 17,071 321
* Del Laboratories, Inc. 12,832 321
* Lydall, Inc. 31,457 321
* Exactech, Inc. 21,666 320
* Books-a-Million Inc. 49,373 319
Oneida Ltd. 54,090 319
First Mutual Bancshares, Inc. 12,996 318
* Sonic Innovations, Inc. 49,363 318
* Standard Management Corp. 94,169 317
* Third Wave Technologies 69,584 317
* Provide Commerce Inc. 20,800 316
Cooperative Bankshares, Inc. 12,296 315
* Ansoft Corp. 24,505 314
* Virage Logic Corp. 30,858 314
* FOCUS Enhancements, Inc. 144,273 313
* Capstone Turbine Corp. 167,622 312
FFLC Bancorp, Inc. 10,784 310
* Dura Automotive Systems, Inc. 24,250 310
* BAM! Entertainment Inc. 257,675 309
* Heritage Commerce Corp. 25,187 309
National Health Realty Inc. REIT 15,661 309
* Emisphere Technologies, Inc. 56,266 308
Alico, Inc. 8,863 308
* MapInfo Corp. 30,538 308
* Hollis-Eden Pharmaceuticals, Inc. 27,862 307
* DOV Pharmaceutical, Inc. 22,768 307
TSR, Inc. 39,780 306
* Segue Software, Inc. 121,987 305
* Infinity, Inc. 77,318 305
* Click2learn, Inc. 145,046 305
* Raindance Communications, Inc. 110,189 303
* Lifeway Foods, Inc. 22,442 303
* PLATO Learning, Inc. 28,652 302
* Prime Medical Services, Inc. 64,338 302
Center Bancorp, Inc. 15,348 302
* Wave Systems Corp. 183,612 301
* NeoRx Corp. 72,372 301
* Supertex, Inc. 15,744 301
* Global ePoint, Inc. 61,304 300
EMC Insurance Group, Inc. 14,189 300
* Inforte Corp. 36,172 300
* Evans & Sutherland
Computer Corp. 66,336 299
* Natrol, Inc. 106,900 298
* Hypercom Corp. 62,401 297
* ITXC Corp. 68,756 297
* Sangamo BioSciences, Inc. 53,606 297
Commercial Bankshares, Inc. 8,845 297
Presidential Realty Corp. REIT 40,600 297
* Sequenom, Inc. 93,266 297
Foothill Independent Bancorp 12,534 297
* Bio-logic Systems, Corp. 50,500 296
* InKine Pharmaceutical Co., Inc. 61,376 296
Click Commerce, Inc. 57,813 296
* Aphton Corp. 49,221 295
* Restoration Hardware, Inc. 62,038 295
* Duratek, Inc. 22,530 294
* Covenant Transport, Inc. 15,439 293
FirstBank Corp. 9,667 293
* Alteon, Inc. 186,772 293
* Sanchez Computer
Associates, Inc. 70,633 293
* Foster Wheeler Ltd. 284,354 293
* Paradyne Networks, Inc. 85,082 293
Union Bankshares Corp. 9,596 293
44
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
United Industrial Corp. 16,190 $ 292
* Technology Solutions Co. 232,833 291
* Virbac Corp. 44,736 291
* Meade Instruments Corp. 84,234 291
Westfield Financial, Inc. 12,222 290
First United Corp. 11,864 289
* Vastera, Inc. 72,213 289
* Applied Innovation Inc. 42,902 289
Hawkins, Inc. 20,563 287
* Innovex, Inc. 34,013 287
* SSP Solutions, Inc. 204,306 286
* NetScout Systems, Inc. 37,582 286
* Luminent Mortgage Capital, Inc. 20,200 285
Penn Engineering
& Manufacturing Corp. Class A 16,600 285
* Option Care, Inc. 26,526 283
* WorldGate Communications, Inc. 262,057 283
* DepoMed, Inc. 39,903 283
Bowl America, Inc. Class A 20,076 283
* SBA Communications Corp. 74,737 283
* Performance Technologies, Inc. 19,796 282
* Selectica, Inc. 65,819 282
* Argonaut Technologies Inc. 160,050 282
Standard Motor Products, Inc. 23,148 281
* Evergreen Solar, Inc. 166,435 281
* Blue Martini Software, Inc. 57,142 280
* Exact Sciences Corp. 27,654 280
Stepan Co. 10,907 280
* Federal Agricultural
Mortgage Corp. Class A 12,488 279
* National Healthcare Corp. 13,984 278
* Avigen, Inc. 47,185 277
* Molina Healthcare Inc. 10,993 277
* Consumer Portfolio Services, Inc. 74,520 277
* Layne Christensen Co. 23,568 277
* Dynamics Research Corp. 17,157 277
* Alcide Corp. 18,808 276
* On2 Technologies, Inc. 210,930 276
* Wilsons The Leather Experts Inc. 78,775 275
* Aetrium, Inc. 88,069 275
* Starcraft Corp. 8,444 275
* BroadVision, Inc. 64,339 274
* Merge Technologies, Inc. 15,449 273
* Commerce One, Inc. 213,619 271
Golden Enterprises Inc. 92,800 271
* Integrated Alarm
Services Group, Inc. 31,799 270
* LookSmart, Ltd. 174,279 270
* Gene Logic Inc. 51,889 269
Peapack Gladstone Financial Corp. 8,672 269
* Rainmaker Systems, Inc. 191,210 268
* Quality Distribution Inc. 13,666 267
* Strattec Security Corp. 4,385 267
Coastal Financial Corp. 15,140 267
* Corio, Inc. 97,301 267
* America Online Latin
America, Inc. 187,627 266
* Genelabs Technologies, Inc. 94,932 266
* Landec Corp. 40,191 266
* Maui Land & Pineapple Co., Inc. 7,677 265
* Convera Corp. 77,838 265
* Active Power, Inc. 90,992 264
* Peerless Systems Corp. 105,245 263
BancTrust Financial Group, Inc. 16,389 263
Thistle Group Holdings, Co. 10,105 262
* Firstwave Technologies, Inc. 49,096 262
Camco Financial Corp. 15,071 261
* Micro Therapeutics, Inc. 80,646 260
Gorman-Rupp Co. 9,866 260
* Allied Motion Technologies, Inc. 66,145 260
* On Assignment, Inc. 49,831 260
* Three-Five Systems, Inc. 49,535 260
* R&B, Inc. 16,697 259
* Delphax Technologies, Inc. 83,700 259
* GMX Resources Inc. 64,400 258
* Bankrate, Inc. 20,785 257
* BindView Development Corp. 68,216 257
* Digital Angel Corp. 54,150 257
* Pac-West Telecom, Inc. 133,457 256
* Pemco Aviation Group, Inc. 7,406 256
ASTA Funding, Inc. 7,447 255
* AXS-One Inc. 134,586 254
* Alaska Communications
Systems Holdings, Inc. 53,631 254
* Microtek Medical Holdings, Inc. 50,763 254
Jefferson Bancshares, Inc. 18,400 254
* Beta Oil & Gas, Inc. 128,226 253
* Versant Corp. 161,862 253
* Foamex International, Inc. 50,430 252
* Onyx Acceptance Corp. 21,360 252
* Microvision, Inc. 33,027 252
Citizens South Banking Corp. 18,018 251
* Aclara Biosciences, Inc. 68,850 251
Northern States Financial Corp. 8,688 251
Community Bank
of Northern Virginia 13,218 251
* Avici Systems Inc. 31,552 251
* SCM Microsystems, Inc. 32,461 251
UniFirst Corp. 10,564 250
* Modem Media Inc. 30,396 248
* STAAR Surgical Co. 21,980 247
PFS Bancorp, Inc. 12,561 247
45
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Metro One
Telecommunications, Inc. 94,800 $ 246
* TippingPoint Technologies Inc. 8,201 246
* Meadowbrook
Insurance Group, Inc. 58,131 246
* Aware, Inc. 84,588 246
* Emeritus Corp. 29,430 246
* Seabulk International, Inc. 30,233 245
* La Jolla Pharmaceutical Co. 57,050 245
* MedSource Technologies, Inc. 54,350 245
Eastern Virginia Bankshares, Inc. 8,478 244
* Reading International Inc. Class A 41,195 244
* Deckers Outdoor Corp. 11,815 242
* Marten Transport, Ltd. 15,745 242
ESB Financial Corp. 14,763 242
* Introgen Therapeutics, Inc. 28,503 241
Quixote Corp. 9,873 241
* Eden Bioscience Corp. 167,478 239
* Exponent, Inc. 11,170 239
Harrodsburg First Financial
Bancorp, Inc. 10,354 237
* Spectranetics Corp. 62,895 236
* Hemispherx Biopharma, Inc. 104,192 235
Berkshire Hills Bancorp, Inc. 6,484 235
* DigitalThink, Inc. 82,902 233
United Capital Corp. 11,242 233
* Chronimed Inc. 27,456 233
* Register.com, Inc. 44,320 233
* Bush Industries, Inc. 55,432 232
* Large Scale Biology Corp. 125,936 232
* Impco Technologies Inc. 26,562 232
* Perficient, Inc. 103,056 231
* Durect Corp. 89,171 230
* CryoLife Inc. 39,781 230
* Sirna Therapeutics, Inc. 44,188 230
* SAVVIS Communications Corp. 153,347 229
* Art Technology Group, Inc. 149,717 229
FNB Corp./North Carolina 10,758 228
* NetManage, Inc. 43,021 227
* Immtech International, Inc. 20,463 226
* Syms Corp. 32,470 224
* Raytech Corp. 67,141 223
* Genus, Inc. 37,111 223
CNB Florida Bancshares, Inc. 9,640 222
* Titan Pharmaceuticals, Inc. 75,844 221
* InterVideo Inc. 18,766 221
* RMH Teleservices, Inc. 42,277 218
* MetaSolv, Inc. 89,731 218
* Terremark Worldwide, Inc. 340,692 218
* California Amplifier, Inc. 15,469 218
Bryn Mawr Bank Corp. 8,887 218
* Franklin Covey Co. 77,706 218
First Federal Financial Corp.
of Kentucky 8,619 217
* Falcon Financial Investment
Trust REIT 22,100 217
* En Pointe Technologies, Inc. 73,361 216
* IntraBiotics Pharmaceuticals, Inc. 13,422 216
* NASSDA Corp. 29,728 216
* Powell Industries, Inc. 11,245 215
* Insignia Systems, Inc. 81,741 214
* Hudson Highland Group, Inc. 8,969 214
Shenandoah
Telecommunications Co. 4,155 213
Building Materials Holding Corp. 13,578 211
* Pervasive Software Inc. 29,057 211
* iVillage Inc. 58,681 210
State Bancorp, Inc. 8,647 210
* Gulf Island Fabrication, Inc. 12,316 210
* Cortex Pharmaceuticals, Inc. 80,283 209
* LivePerson, Inc. 41,074 209
Westwood Holdings Group, Inc. 11,726 209
* Harken Energy Corp. 178,041 208
* Prime Group Realty Trust REIT 33,184 208
* Iridex Corp. 38,174 208
* U.S. Xpress Enterprises, Inc. 16,909 207
* Phoenix Technologies Ltd. 25,597 207
* Vical, Inc. 41,686 205
* Innovative Solutions
and Support, Inc. 12,599 205
* Astronics Corp. 40,492 202
Commercial National Financial Corp. 7,723 202
The Washington Savings Bank 21,800 202
Summit Financial Corp. 11,130 200
* Synplicity, Inc. 25,506 200
* Pinnacor Inc. 85,494 199
* American Physicians Capital, Inc. 10,792 199
Citizens 1st Bancorp, Inc. 8,679 198
* Ceva, Inc. 18,943 197
* Ciprico Inc. 40,800 196
Willow Grove Bancorp, Inc. 11,045 196
Stanley Furniture Co., Inc. 6,224 196
* Wyndham International, Inc.
Class A 292,312 196
Wainwright Bank & Trust Co. 13,610 194
* Cerus Corp. 42,768 194
* Curative Health Services, Inc. 14,017 193
* The Ultimate Software Group, Inc. 21,943 192
* Brillian Corp. 22,653 191
* Hollywood Media Corp. 71,457 190
* Wheeling-Pittsburgh Corp. 7,775 190
* Cornell Companies, Inc. 13,806 188
46
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* LeCroy Corp. 10,419 $ 188
* Curis, Inc. 41,689 188
* PriceSmart, Inc. 29,749 186
* Lesco, Inc. 14,276 185
* Optika Inc. 40,710 185
Exchange National
Bancshares, Inc. 5,119 185
* MedCath Corp. 17,547 184
Massbank Corp. 4,273 182
CNS, Inc. 13,263 182
First Midwest Financial, Inc. 8,153 181
* SAFLINK Corp. 67,451 181
* Axonyx Inc. 37,140 181
Pomeroy IT Solutions, Inc. 12,270 181
* Neogen Corp. 7,256 180
* PW Eagle, Inc. 40,600 179
Ohio Art Co. 14,800 178
* Novadigm, Inc. 45,952 178
* Internet Capital Group, Inc. 516,199 178
* Roxio, Inc. 37,164 178
* Medtox Scientific, Inc. 29,812 177
* Dynacq Healthcare, Inc 22,987 177
* Boston Beer Co., Inc. Class A 9,732 177
* ShoLodge, Inc. 39,343 176
* Emerson Radio Corp. 46,437 175
* Catapult Communications Corp. 12,038 175
* Critical Path, Inc. 131,064 174
* VASCO Data Security
International, Inc. 74,379 174
* Computer Horizons Corp. 44,205 174
* 24/7 Real Media, Inc. 129,462 173
Andersons, Inc. 10,852 173
* Zones, Inc. 101,825 173
Security Bank Corp. 5,495 173
* Intraware, Inc. 83,451 173
Resource Bankshares Corp. 5,468 172
* Braun Consulting, Inc. 57,866 171
Berkshire Bancorp Inc. 3,411 171
Pamrapo Bancorp, Inc. 6,726 171
* Intevac, Inc. 11,999 169
* Biopure Corp. 70,799 169
Friedman's, Inc. Class A 24,997 168
Independence Holding Co. 7,006 168
Agree Realty Corp. REIT 5,921 167
* Qualstar Corp. 34,789 167
* NaviSite, Inc. 25,065 165
* Gaiam, Inc. 27,492 164
* Mod-Pac Corp. 20,246 162
* Katy Industries, Inc. 28,122 161
* U.S. Concrete, Inc. 24,858 160
* Interstate Hotels & Resorts, Inc. 29,939 160
* Allied Holdings, Inc. 33,500 160
Warwick Community Bancorp, Inc. 4,645 160
* Star Scientific, Inc. 86,579 159
* SPEEDUS Corp. 110,500 154
* GenVec, Inc. 46,527 154
* Applied Digital Solutions, Inc. 323,142 152
Lifetime Hoan Corp. 8,981 152
* Superior Consultant Holdings Corp. 36,750 152
* Competitive Technologies, Inc. 60,564 151
* Peoples Community Bancorp 6,700 151
* Gadzooks, Inc. 97,160 151
* Tier Technologies, Inc. 18,354 150
* CardioTech International, Inc. 27,654 149
* Central Freight Lines, Inc. 8,400 149
* IDT Corp. 6,718 149
* VIA NET.WORKS, Inc. 86,888 149
* Global Power Equipment Group Inc. 22,115 148
American National Bankshares Inc. 5,559 147
* Cedar Shopping Centers, Inc. 11,700 145
* Intelli-Check Inc. 18,298 145
* Medialink Worldwide, Inc. 45,030 144
* MPW Industrial
Services Group, Inc. 63,200 144
* Midwest Air Group Inc. 34,088 144
* Seneca Foods Corp. 6,603 142
* National Medical Health Card
Systems, Inc. 7,856 139
First Defiance Financial Corp. 5,212 139
* First Virtual Communications, Inc. 62,641 138
* Matrixx Initiatives, Inc. 7,758 138
Outlook Group Corp. 27,300 137
* Summit America Television Inc. 34,909 137
* Brooktrout Technology, Inc. 10,805 136
* ACE Corp. 54,565 135
Nitches Inc. 33,141 134
* Cosine Communications, Inc. 18,112 134
* MIM Corp. 18,813 132
* ICT Group, Inc. 11,158 131
Weyco Group, Inc. 3,840 129
* Applied Extrusion
Technologies, Inc. 48,600 129
* Mestek, Inc. 6,636 128
* Allos Therapeutics Inc. 35,453 127
* Correctional Services Corp. 47,300 127
* Questcor Pharmaceuticals, Inc. 171,500 127
* Horizon Medical Products, Inc. 87,300 127
* Palatin Technologies, Inc. 50,374 126
* SI International Inc. 6,414 125
* JLM Industries, Inc. 91,500 124
* RCN Corp. 155,302 124
* Optical Cable Corp. 17,452 124
47
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* ACT Teleconferencing, Inc. 114,200 $ 123
* Acclaim Entertainment Inc. 188,102 122
* Whitehall Jewellers, Inc. 12,386 122
* Bioanalytical Systems, Inc. 32,481 122
* AVI BioPharma, Inc. 29,895 122
* Catalyst Semiconductor, Inc. 17,102 121
* Medifast, Inc. 8,509 120
* Green Mountain Coffee
Roasters, Inc. 5,208 120
* Interland, Inc. 18,280 119
* QuickLogic Corp. 24,016 119
* National Research Corp. 7,281 118
* 8X8 Inc 26,186 117
Warwick Valley Telephone Co. 3,919 116
* Mothers Work, Inc. 4,736 116
* Endocardial Solutions, Inc. 16,044 116
* SRS Labs, Inc 12,380 116
* Quovadx, Inc. 23,510 115
* Innovo Group Inc. 35,869 114
* Ista Pharmaceuticals Inc. 12,278 114
Hickory Tech Corp. 9,863 113
* Texas Capital Bancshares, Inc. 7,800 113
* Intelidata Technologies Corp. 68,107 112
* Myogen, Inc. 7,800 112
* Gallery of History, Inc. 25,900 110
* The Allied Defense Group, Inc. 4,603 110
* Amedisys Inc 7,302 110
* E Com Ventures, Inc. 7,224 109
Bon-Ton Stores, Inc. 9,845 109
* eLoyalty Corp. 29,818 109
* American Access
Technologies Inc. 80,800 108
Mesa Laboratories, Inc. 10,838 108
* IGI, Inc. 68,500 108
* Hungarian Telephone
and Cable Corp. 10,810 107
* BioTime, Inc. 76,700 106
* Hartmarx Corp. 25,261 105
* Virologic, Inc. 27,850 105
* REX Stores Corp. 7,391 105
Cascade Financial Corp. 5,347 104
* Five Star Quality Care, Inc. 23,337 103
* Mayor's Jeweler's, Inc. 138,600 103
* Acusphere, Inc. 11,567 102
Financial Industries Corp. 7,192 101
* Icad Inc. 19,084 101
* Ibis Technology Corp. 8,944 101
* Delta Financial Corp. 13,812 99
* Stratos International Inc. 14,531 99
* Indus International, Inc. 32,269 97
Preformed Line Products Co. 3,237 97
* Targeted Genetics Corp. 44,003 96
* J. Alexander's Corp. 12,900 93
* Private Business Inc. 77,134 93
Richardson Electronics, Ltd. 7,506 92
* MediaBay, Inc. 83,112 92
Alamo Group, Inc. 5,952 91
First SecurityFed Financial, Inc. 2,963 90
* Pharmion Corp. 5,883 90
Noland Co. 2,161 90
* Nutraceutical International Corp. 8,032 89
* Hawk Corp. Class A 24,243 88
* Home Products International Inc. 67,520 88
* Catalina Lighting, Inc. 7,160 88
* TransAct Technologies Inc. 3,613 87
Sun Bancorp, Inc. 4,597 87
* Obie Media Corp. 33,210 87
* Retractable Technologies, Inc. 14,385 87
* I-many, Inc. 85,624 86
* Acme Communications, Inc. 9,738 86
* Media 100 Inc. 162,889 85
* HyperFeed Technologies, Inc. 13,778 85
* Airnet Communications Corp. 99,290 84
* Bitstream Inc. 27,353 84
* SRI/Surgical Express, Inc. 13,480 84
* Food Technology Service, Inc. 78,720 83
McRae Industries, Inc. 8,300 83
* eXegenics Inc. 91,207 82
* Banc Corp. 9,570 81
* United National Group Ltd. Class A 4,600 81
First South Bancorp, Inc. 2,208 81
* Factory 2-U Stores Inc. 58,774 81
* Zapata Corp. 1,359 79
* Weider Nutritional
International, Inc. 17,707 79
* Discovery Partners International 12,779 79
Malan Realty Investors, Inc. REIT 15,700 76
* DigitalNet Holdings, Inc. 3,900 76
* Hanover Direct, Inc. 378,734 76
SCPIE Holdings Inc. 8,535 75
Material Sciences Corp. 7,347 74
* Heska Corp. 31,255 72
* CoActive Marketing Group, Inc. 22,500 72
Calavo Growers, Inc. 6,484 71
* ArQule, Inc. 14,502 71
* DSL.Net, Inc. 116,280 70
* Manchester Technologies, Inc. 19,622 70
* InsWeb Corp. 15,096 70
* Cantel Medical Corp. 4,283 69
* Callidus Software Inc. 3,900 69
* Finlay Enterprises, Inc. 4,846 68
* Digital Lightwave, Inc. 84,367 68
48
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Redback Networks Inc. 293,373 $ 68
Ecology and Environment, Inc. 6,925 68
* Advantage Marketing
Systems, Inc. 16,300 67
* Universal Access Global Holdings Inc. 22,599 66
* 3D Systems Corp. 6,522 66
* Viewpoint Corp. 87,314 65
Commonwealth Industries Inc. 6,456 65
* Peco II, Inc. 57,640 65
* Multi-Color Corp. 3,676 64
* IVAX Diagnostics, Inc. 13,189 64
PAB Bankshares, Inc. 4,097 64
* Avanir Pharmaceuticals Class A 43,380 63
* Hauppage Digital, Inc. 27,333 63
* Internet Pictures Corp. 35,265 62
* SportsLine.com, Inc. 48,080 61
* Ault Inc. 22,500 60
* BioSpecifics Technology 40,800 60
* Onvia.com, Inc. 12,867 60
* Protection One, Inc. 164,000 59
Falmouth Bancorp, Inc. 1,600 58
Woronoco Bancorp Inc. 1,600 58
* Palomar Medical
Technologies, Inc. 5,457 57
Northeast Indiana Bancorp, Inc. 2,700 57
* Concerto Software Inc. 4,740 57
Atlantic Tele-Network, Inc. 1,978 55
* Providence Service Corp. 3,429 55
* Kaiser Ventures LLC Class A 36,800 55
* NuCo2, Inc. 4,342 55
First Federal Bancorp, Inc. 6,100 55
* Applied Imaging Corp. 36,348 55
* Capital Senior Living Corp. 9,284 55
* Lantronix, Inc. 46,521 54
* Price Legacy Corp. REIT 14,150 54
* Nonophase Technologies Corp. 6,554 53
* Delta Woodside Industries, Inc 27,175 53
APCO Argentina Inc. 1,986 53
* Tipperary Corp. 16,869 51
* Radyne Comstream Inc. 6,150 51
* Online Resources Corp. 7,697 51
* Cognitronics Corp. 14,700 49
* Harris & Harris Group, Inc. 4,254 49
Bel Fuse, Inc. Class A 1,629 49
* Physiometrix, Inc. 20,606 45
* Redenvelope Inc 2,712 45
Northrim Bancorp Inc. 1,964 45
* CPI Aerostructures, Inc. 3,715 44
* Culp, Inc. 4,028 44
* Transcontinental Realty
Investors, Inc. REIT 2,603 44
* BayCorp Holdings, Ltd. 3,314 43
Nevada Chemicals, Inc. 7,400 43
* WHX Corp. 15,855 42
Butler Manufacturing Co. 1,894 42
* Evercel, Inc. 47,164 42
Hersha Hospitality Trust 4,100 41
* ePresence, Inc. 10,180 38
* Gold Reserve Inc. Class A 7,751 38
* Lynch Corp. 3,500 37
Fidelity Southern Corp. 2,739 36
* Precision Optics Corp., Inc. 17,201 36
* Franklin Bank Corp. 1,900 36
* Oglebay Norton Co. 8,500 36
* Andrea Radio Corp. 85,700 35
* FiberMark, Inc. 19,600 34
* SureBeam Corp. 157,426 34
* Ag Services of America, Inc. 3,851 33
* American Realty Investors, Inc. 3,535 32
Century Bancorp, Inc. Class A 903 32
* Invivo Corporation 1,446 32
* EarthShell Corp. 17,585 32
* Artisoft, Inc. 11,633 31
* Captiva Software Corp. 2,467 31
BIW Limited 1,600 31
* Persistence Software, Inc. 7,110 29
* Aradigm Corp. 15,211 26
* Shoe Pavilion, Inc. 21,100 26
Roanoke Electric Steel Corp. 1,896 25
Aaron Rents, Inc. Class A 1,350 25
* Diedrich Coffee, Inc. 6,450 25
Bandag, Inc. Class A 600 24
* nStor Technologies, Inc. 47,523 24
* MakeMusic! Inc. 7,540 23
Providence and Worcester
Railroad Co. 2,500 22
* eGain Communications Corp. 10,788 22
* Integrated Biopharma, Inc. 1,751 21
* GP Strategies Corp. 2,660 21
Hubbell Inc. Class A 500 21
* American Ecology Corporation 2,546 21
* Versata, Inc. 12,200 20
Merrill Merchants Bancshares, Inc. 925 20
* Almost Family Inc. 2,200 20
* HPSC, Inc. 1,316 19
* ATA Holdings, Inc. 1,951 19
Haggar Corp. 939 18
* Nematron Corp. 63,000 18
AmeriVest Properties, Inc. REIT 2,513 18
Liquid Audio, Inc. 61,700 18
ILX Resorts Inc. 2,500 18
* LightPath Technologies, Inc.
Class A 6,262 17
49
- --------------------------------------------------------------------------------
MARKET
VALUE*
EXTENDED MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
FMS Financial Corporation 967 $ 17
Balchem Corp. 758 17
Dynabazaar, Inc. 50,100 17
* SciQuest, Inc. 4,506 16
* OMNI Energy Services Corp. 2,466 16
Cotton States Life
Insurance Company 800 16
Net Perceptions, Inc. 38,256 15
* Datalink Corp. 3,842 14
* Horizon Group Properties, Inc. REIT 3,415 14
* Suntron Corp. 2,995 13
Capital Properties, Inc. Class A 1,000 13
* Hoenig Group, Inc.
Rights Exp. 9/1/2006 54,300 12
* Perma-Fix Environmental
Services, Inc. 3,661 11
* Telecommunication Systems, Inc. 2,157 11
* Landenburg Thalmann
Financial Services, Inc. 18,943 11
* American Pacific Bank 1,227 10
* Calton, Inc. 15,400 10
* rStar Corp. 15,041 9
* Continucare Corp. 6,200 9
* DiaSys Corp. 15,600 8
* Sento Corporation 1,675 8
* Moldflow Corp. 670 8
* Sunlink Health Systems, Inc. 2,600 7
* LMI Aerospace, Inc. 3,600 7
* Analytical Surveys, Inc. 2,531 7
L. S. Starrett Co. Class B 400 7
Superior Uniform Group, Inc. 399 7
* Hudson Technology, Inc. 5,600 6
* NexPrise, Inc. 4,740 6
* BMC Industries, Inc. 126,104 6
* Innotrac Corp. 519 5
* Radview Software Ltd. 9,000 5
* Investors Capital Holdings, Ltd. 900 5
* Fiberstars, Inc. 700 5
* Olympic Cascade Financial Corp. 2,900 4
* Bluefly, Inc. 1,022 4
* Microstrategy Inc.
Warrants Exp. 6/24/2007 16,080 4
* ARK Restaurants Corp. 265 4
* General Bearing Corp. 1,200 4
* Fedders Corp-Rights 58,700 4
* Max & Erma's Restaurants, Inc. 179 3
* Cogent Communications Group, Inc. 2,779 3
* VCampus Corp. 2,030 3
* Corrpro Cos., Inc. 2,400 3
* Optical Cable Corp.
Warrants Exp. 10/24/2007 1,053 2
* Ampex Corp. Class A 2,890 2
* Valley Forge Scientific Corp. 1,100 2
* GoAmerica, Inc. 5,000 2
* Vista Medical Technologies, Inc. 1,300 2
* Diamond Hill Investment Group 200 1
* Manhattan Pharmaceuticals, Inc. 681 1
* Cap Rock Energy Corp 33 1
* Prolong International Corp. 2,500 1
* Panavision, Inc. 174 1
Capital Properties, Inc. Class B 90 1
* Travis Boats & Motors, Inc. 700 --
* Synergy Brands Inc. 25 --
* Conolog Corp. 10 --
* Pinnacle Warrants Exp. 11/13/2007 350 --
* ProcureNet, Inc. 21,000 --
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $6,288,388) $ 6,922,451
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (4.1%)(1)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.05%, 1/20/2004 5,000 4,997
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
0.99%, 1/2/2004 60,573 60,573
0.99%, 1/2/2004--Note E 223,920 223,920
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS (Cost $289,490) $ 289,490
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (103.5%) (Cost $6,577,878) $ 7,211,941
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-3.5%)
- --------------------------------------------------------------------------------
Other Assets--Note B 144,769
Security Lending Collateral Payable to
Brokers--Note E (223,920)
Other Liabilities (167,483)
---------------
(246,634)
---------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $ 6,965,307
================================================================================
*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 3.6%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Security has been segregated as initial margin for open futures contracts.
ADR--American Depositary Receipt.
REIT--Real Estate Investment Trust.
50
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $ 6,911,793
Overdistributed Net Investment Income (5,831)
Accumulated Net Realized Losses (575,520)
Unrealized Appreciation
Investment Securities 634,063
Futures Contracts 802
- --------------------------------------------------------------------------------
NET ASSETS $ 6,965,307
================================================================================
Investor Shares--Net Assets
Applicable to 159,757,610 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 4,259,427
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 26.66
================================================================================
Admiral Shares--Net Assets
Applicable to 40,321,123 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 1,075,087
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 26.66
================================================================================
Institutional Shares--Net Assets
Applicable to 57,139,644 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 1,524,160
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 26.67
================================================================================
VIPER Shares--Net Assets
Applicable to 1,515,362 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 106,633
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- VIPER SHARES $ 70.37
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
51
- --------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (100.1%)(1)
- --------------------------------------------------------------------------------
* Xerox Corp. 2,653,913 $ 36,624
PACCAR, Inc. 371,661 31,636
* Medco Health Solutions, Inc. 908,929 30,894
* Altera Corp. 1,283,386 29,133
CIGNA Corp. 470,613 27,060
* Flextronics International Ltd. 1,754,200 26,032
* Apple Computer, Inc. 1,216,600 25,999
* Broadcom Corp. 761,634 25,964
PPL Corp. 592,969 25,942
Eaton Corp. 239,242 25,833
CSX Corp. 718,074 25,808
CIT Group Inc. 710,321 25,536
Monsanto Co. 878,947 25,296
* Computer Sciences Corp. 565,243 25,001
TXU Corp. 1,026,615 24,351
* National Semiconductor Corp. 616,880 24,311
Starwood Hotels & Resorts
Worldwide, Inc. 675,206 24,287
Jefferson-Pilot Corp. 475,745 24,096
J.C. Penney Co., Inc.
(Holding Co.) 912,366 23,977
Parker Hannifin Corp. 396,645 23,600
Georgia Pacific Group 766,308 23,503
Textron, Inc. 409,352 23,358
Sovereign Bancorp, Inc. 980,373 23,284
* Coach, Inc. 609,624 23,013
Microchip Technology, Inc. 687,674 22,941
Mylan Laboratories, Inc. 900,638 22,750
* Phelps Dodge Corp. 298,866 22,741
Xcel Energy, Inc. 1,338,240 22,723
* Caremark Rx, Inc. 892,487 22,607
* Network Appliance, Inc. 1,090,024 22,378
Centex Corp. 207,192 22,304
Tiffany & Co. 488,972 22,101
Cinergy Corp. 565,982 21,966
Synovus Financial Corp. 758,724 21,942
Constellation Energy Group, Inc. 560,138 21,935
* Siebel Systems, Inc. 1,575,191 21,848
* Interpublic Group of Cos., Inc. 1,392,233 21,719
* Sanmina-SCI Corp. 1,712,039 21,589
* Edison International 984,092 21,581
* Novellus Systems, Inc. 508,100 21,366
New York Community
Bancorp, Inc. 557,044 21,196
AmerisourceBergen Corp. 375,573 21,088
Knight Ridder 269,752 20,871
* American Standard Cos., Inc. 206,019 20,746
Union Planters Corp. 657,881 20,717
ITT Industries, Inc. 278,928 20,699
North Fork Bancorp, Inc. 510,758 20,670
Hilton Hotels Corp. 1,204,064 20,626
Sempra Energy 684,126 20,565
* Nabors Industries, Inc. 491,320 20,390
Dollar General Corp. 954,794 20,041
MeadWestvaco Corp. 672,512 20,007
IMS Health, Inc. 802,432 19,948
UST, Inc. 558,714 19,941
Rockwell Automation, Inc. 558,246 19,874
KeySpan Corp. 531,975 19,577
D. R. Horton, Inc. 448,355 19,396
Genuine Parts Co. 583,709 19,379
NiSource, Inc. 882,017 19,351
* Quest Diagnostics, Inc. 264,680 19,351
ProLogis REIT 602,062 19,320
Health Management
Associates Inc. Class A 804,915 19,318
* Juniper Networks, Inc. 1,029,900 19,239
Cincinnati Financial Corp. 457,654 19,167
* BJ Services Co. 531,229 19,071
General Growth
Properties Inc. REIT 683,693 18,972
MGIC Investment Corp. 330,498 18,819
Plum Creek Timber Co. Inc. REIT 614,130 18,700
Family Dollar Stores, Inc. 519,436 18,637
Harrah's Entertainment, Inc. 369,395 18,385
Kinder Morgan, Inc. 310,331 18,341
Murphy Oil Corp. 277,388 18,116
Rockwell Collins, Inc. 601,765 18,071
* Laboratory Corp. of
America Holdings 486,172 17,964
Cooper Industries, Inc. Class A 308,912 17,895
National Commerce
Financial Corp. 652,298 17,795
Valero Energy Corp. 383,974 17,793
First Tennessee National Corp. 401,268 17,696
T. Rowe Price Group Inc. 373,101 17,689
* AES Corp. 1,871,873 17,670
Archstone-Smith Trust REIT 630,693 17,647
Freeport-McMoRan
Copper & Gold, Inc. Class B 418,375 17,626
Vornado Realty Trust REIT 321,892 17,624
Banknorth Group, Inc. 540,943 17,597
Torchmark Corp. 383,199 17,451
* Office Depot, Inc. 1,039,947 17,378
* Advanced Micro Devices, Inc. 1,164,502 17,351
Delphi Corp. 1,692,385 17,279
* Cablevision Systems NY
Group Class A 736,700 17,231
SAFECO Corp. 441,413 17,184
* Dean Foods Co. 519,566 17,078
Williams Cos., Inc. 1,738,306 17,070
52
- --------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Popular, Inc. 378,812 $ 17,024
Fidelity National Financial, Inc. 438,477 17,004
El Paso Corp. 2,070,767 16,960
* Millennium Pharmaceuticals, Inc. 902,288 16,846
* Synopsys, Inc. 497,146 16,784
Whirlpool Corp. 230,796 16,767
XTO Energy, Inc. 590,117 16,700
Zions Bancorp 270,983 16,619
* L-3 Communications Holdings, Inc. 323,442 16,612
GlobalSantaFe Corp. 665,894 16,534
* Solectron Corp. 2,784,953 16,459
R.J. Reynolds Tobacco Holdings, Inc. 282,803 16,445
Pulte Homes, Inc. 175,647 16,444
Huntington Bancshares Inc. 729,152 16,406
* Unisys Corp. 1,104,741 16,405
* Cadence Design Systems, Inc. 911,160 16,383
* QLogic Corp. 316,300 16,321
RadioShack Corp. 527,975 16,198
Legg Mason Inc. 209,461 16,166
* Teradyne, Inc. 633,269 16,117
EOG Resources, Inc. 346,980 16,020
* SanDisk Corp. 261,047 15,960
* Weatherford International Ltd. 440,520 15,859
* Noble Corp. 442,787 15,843
* Varian Medical Systems, Inc. 228,987 15,823
* Watson Pharmaceuticals, Inc. 343,400 15,796
Compass Bancshares Inc. 400,604 15,748
Kerr-McGee Corp. 338,405 15,732
Everest Re Group, Ltd. 185,936 15,730
Lennar Corp. Class A 160,746 15,432
Vulcan Materials Co. 323,900 15,408
Radian Group, Inc. 314,047 15,310
Harman International Industries, Inc. 205,286 15,187
* SPX Corp. 257,040 15,117
* Jabil Circuit, Inc. 533,993 15,112
* BEA Systems, Inc. 1,218,700 14,990
Jones Apparel Group, Inc. 424,833 14,967
CenturyTel, Inc. 458,819 14,967
Boston Properties, Inc. REIT 310,353 14,956
* JDS Uniphase Corp. 4,082,815 14,902
UnumProvident Corp. 943,600 14,881
Kimco Realty Corp. REIT 331,369 14,829
Nucor Corp. 262,376 14,693
Old Republic International Corp. 577,695 14,650
* Sealed Air Corp. 270,577 14,649
* E*Trade Financial Corp. 1,155,163 14,613
Smurfit-Stone Container Corp. 782,991 14,540
* Avaya Inc. 1,118,768 14,477
Sherwin-Williams Co. 416,437 14,467
Applera Corp.-Applied
Biosystems Group 697,972 14,455
Amerada Hess Corp. 271,583 14,440
Estee Lauder Cos. Class A 365,010 14,330
* BMC Software, Inc. 764,039 14,249
Wendy's International, Inc. 361,854 14,199
C.R. Bard, Inc. 173,817 14,123
Duke Realty Corp. REIT 455,409 14,118
* Mercury Interactive Corp. 289,300 14,072
* Express Scripts Inc. 210,890 14,009
* AdvancePCS 265,453 13,979
* Smith International, Inc. 335,879 13,946
Rouse Co. REIT 295,935 13,909
Republic Services, Inc. Class A 539,183 13,819
Lear Corp. 225,271 13,816
* Barr Pharmaceuticals Inc. 179,160 13,786
American Power Conversion Corp. 562,719 13,758
* LAM Research Corp. 425,674 13,749
Omnicare, Inc. 339,998 13,733
* Thermo Electron Corp. 544,722 13,727
* Waters Corp. 412,469 13,677
* Sprint PCS 2,430,240 13,658
Scientific-Atlanta, Inc. 500,077 13,652
* Whole Foods Market, Inc. 200,981 13,492
Ross Stores, Inc. 510,166 13,484
* Career Education Corp. 332,674 13,330
Leggett & Platt, Inc. 613,478 13,270
Green Point Financial Corp. 375,332 13,257
Expeditors International of
Washington, Inc. 351,202 13,226
Wisconsin Energy Corp. 393,112 13,150
Diebold, Inc. 243,363 13,110
Symbol Technologies, Inc. 775,953 13,106
ENSCO International, Inc. 477,658 12,978
Liz Claiborne, Inc. 365,454 12,959
Sigma-Aldrich Corp. 225,508 12,895
Black & Decker Corp. 260,694 12,857
SuperValu Inc. 449,219 12,843
* Health Net Inc. 389,995 12,753
SCANA Corp. 372,326 12,752
* Robert Half International, Inc. 543,352 12,682
Commerce Bancorp, Inc. 239,847 12,635
* Pactiv Corp. 528,622 12,634
Engelhard Corp. 420,379 12,590
* The Dun & Bradstreet Corp. 247,805 12,566
* Mohawk Industries, Inc. 177,917 12,550
Sunoco, Inc. 245,281 12,546
McCormick & Co., Inc. 416,041 12,523
53
- --------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* VeriSign, Inc. 766,921 $ 12,501
VF Corp. 288,326 12,467
* NCR Corp. 318,127 12,343
W.W. Grainger, Inc. 260,397 12,340
Manpower Inc. 260,823 12,280
Pinnacle West Capital Corp. 306,362 12,261
* Celgene Corp. 271,899 12,241
Mercantile Bankshares Corp. 266,416 12,143
* Oxford Health Plans, Inc. 278,389 12,110
CDW Corp. 208,070 12,018
* Pioneer Natural Resources Co. 375,711 11,996
Allied Capital Corp. 428,400 11,944
Public Storage, Inc. REIT 274,780 11,923
* Host Marriott Corp. REIT 964,178 11,879
* Citizens Communications Co. 954,208 11,851
* Humana Inc. 515,500 11,779
* IVAX Corp. 492,570 11,763
Nordstrom, Inc. 342,467 11,747
* King Pharmaceuticals, Inc. 768,652 11,730
The PMI Group Inc. 314,895 11,724
* Citrix Systems, Inc. 552,400 11,716
Hibernia Corp. Class A 497,668 11,700
* Williams-Sonoma, Inc. 333,017 11,579
* Agere Systems Inc. Class A 3,785,100 11,545
Equifax, Inc. 470,862 11,536
ServiceMaster Co. 990,175 11,536
PETsMART, Inc. 479,244 11,406
* Providian Financial Corp. 973,900 11,336
* NVIDIA Corp. 485,100 11,279
* LSI Logic Corp. 1,271,157 11,275
Avalonbay Communities, Inc. REIT 235,731 11,268
* Comverse Technology, Inc. 640,324 11,263
Pepco Holdings, Inc. 573,536 11,207
Foot Locker, Inc. 477,500 11,197
Pall Corp. 416,480 11,174
Hasbro, Inc. 524,737 11,166
iStar Financial Inc. REIT 286,550 11,147
* ChoicePoint Inc. 292,404 11,138
Goodrich Corp. 374,960 11,133
White Mountains
Insurance Group Inc. 24,173 11,118
* Tellabs, Inc. 1,316,438 11,098
* Vishay Intertechnology, Inc. 484,202 11,088
TCF Financial Corp. 215,760 11,079
* Dollar Tree Stores, Inc. 367,050 11,034
Darden Restaurants Inc. 524,019 11,025
* AutoNation, Inc. 599,939 11,021
* Coventry Health Care Inc. 170,800 11,015
* Patterson Dental Co. 171,589 11,009
Energy East Corp. 489,305 10,960
Hillenbrand Industries, Inc. 176,128 10,931
R.R. Donnelley & Sons Co. 361,646 10,904
Apartment Investment & Management Co.
Class A REIT 315,713 10,892
Intersil Corp. 437,403 10,869
Fluor Corp. 273,993 10,861
The Stanley Works 285,419 10,809
* Brinker International, Inc. 325,845 10,805
Liberty Property Trust REIT 277,694 10,802
Fastenal Co. 216,284 10,801
Health Care Properties
Investors REIT 212,500 10,795
DENTSPLY International Inc. 238,597 10,777
Gentex Corp. 243,598 10,757
* CarMax, Inc. 347,162 10,738
Ball Corp. 180,059 10,726
Telephone & Data Systems, Inc. 170,916 10,691
Janus Capital Group Inc. 642,487 10,543
* Marvell Technology Group Ltd. 276,538 10,489
PartnerRe Ltd. 179,850 10,440
RenaissanceRe Holdings Ltd. 212,273 10,412
* Ceridian Corp. 497,220 10,412
Sabre Holdings Corp. 481,902 10,404
Beckman Coulter, Inc. 204,544 10,397
Manor Care, Inc. 298,770 10,328
* Lamar Advertising Co. Class A 276,744 10,328
* UTStarcom, Inc. 276,950 10,267
Eastman Chemical Co. 259,622 10,263
Temple-Inland Inc. 163,531 10,248
* Constellation Brands, Inc.
Class A 310,087 10,211
* Chico's FAS, Inc. 275,401 10,176
Molex, Inc. 289,625 10,105
* 3Com Corp. 1,236,055 10,099
* Ameritrade Holding Corp. 708,700 9,971
Tyson Foods, Inc. 751,601 9,951
Doral Financial Corp. 307,800 9,936
Alberto-Culver Co. Class B 157,488 9,934
Michaels Stores, Inc. 224,714 9,932
Seagate Technology 525,140 9,925
* Lincare Holdings, Inc. 330,340 9,920
* Park Place Entertainment Corp. 912,190 9,879
Arthur J. Gallagher & Co. 304,026 9,878
Universal Health Services Class B 181,753 9,764
KB HOME 134,151 9,729
Brunswick Corp. 303,872 9,672
A.G. Edwards & Sons, Inc. 266,860 9,668
Commerce Bancshares, Inc. 196,976 9,656
* Energizer Holdings, Inc. 255,287 9,589
54
- --------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Ashland, Inc. 217,491 $ 9,583
* NVR, Inc. 20,360 9,488
Associated Banc-Corp 221,987 9,468
* Storage Technology Corp. 367,667 9,467
* CIENA Corp. 1,422,866 9,448
* MGM Mirage, Inc. 251,150 9,446
Outback Steakhouse 213,577 9,442
International Flavors &
Fragrances, Inc. 268,652 9,381
* Henry Schein, Inc. 138,454 9,357
* DST Systems, Inc. 223,155 9,319
Questar Corp. 264,093 9,283
* Zebra Technologies Corp.
Class A 139,794 9,278
* Westwood One, Inc. 269,728 9,227
Bausch & Lomb, Inc. 176,815 9,177
Dial Corp. 321,910 9,165
Dana Corp. 498,806 9,153
C.H. Robinson Worldwide, Inc. 241,412 9,152
City National Corp. 146,426 9,096
TECO Energy, Inc. 629,897 9,077
* Toys R Us, Inc. (Holding Co.) 716,205 9,053
* Iron Mountain, Inc. 228,848 9,049
Astoria Financial Corp. 243,043 9,041
* Cephalon, Inc. 186,200 9,014
Tektronix, Inc. 284,714 8,997
Equitable Resources, Inc. 208,903 8,966
CenterPoint Energy Inc. 923,622 8,950
* Maxtor Corp. 803,800 8,922
Garmin Ltd. 163,100 8,886
DPL Inc. 424,565 8,865
Belo Corp. Class A 309,154 8,761
W.R. Berkley Corp. 250,651 8,760
* WebMD Corp. 973,959 8,756
Pogo Producing Co. 181,124 8,748
Valley National Bancorp 299,031 8,732
Aramark Corp. Class B 314,932 8,635
NSTAR 177,863 8,626
Northeast Utilities 426,497 8,602
Bowater Inc. 185,700 8,600
Hudson City Bancorp, Inc. 224,652 8,577
* Cooper Cameron Corp. 183,697 8,560
AMB Property Corp. REIT 260,334 8,560
* Patterson-UTI Energy, Inc. 257,863 8,489
Bemis Co., Inc. 169,323 8,466
Harris Corp. 222,891 8,459
Investors Financial Services Corp. 218,519 8,393
* Convergys Corp. 479,125 8,366
* Fairchild Semiconductor
International, Inc. 334,610 8,355
Bank of Hawaii Corp. 196,842 8,307
* Allied Waste Industries, Inc. 597,361 8,291
Hospitality Properties
Trust REIT 199,374 8,230
* ICOS Corp. 199,300 8,227
* Level 3 Communications, Inc. 1,428,991 8,145
MDU Resources Group, Inc. 341,963 8,142
* SICOR, Inc. 299,247 8,140
Dow Jones & Co., Inc. 162,889 8,120
New Plan Excel Realty
Trust REIT 327,002 8,067
SEI Corp. 264,090 8,047
* Jacobs Engineering Group Inc. 167,291 8,032
Federated Investors, Inc. 273,313 8,024
* ADC Telecommunications, Inc. 2,701,225 8,023
* Abercrombie & Fitch Co. 324,432 8,017
Noble Energy, Inc. 179,933 7,994
Allete, Inc. 261,075 7,989
* Triad Hospitals, Inc. 240,024 7,986
Valspar Corp. 161,359 7,974
Fair, Isaac, Inc. 161,667 7,948
Lyondell Chemical Co. 467,576 7,925
* Network Associates, Inc. 525,069 7,897
Mandalay Resort Group 175,315 7,840
* Compuware Corp. 1,284,425 7,758
* Corinthian Colleges, Inc. 139,478 7,749
Fulton Financial Corp. 351,852 7,709
Weingarten Realty Investors REIT 173,674 7,702
Leucadia National Corp. 166,239 7,664
Sonoco Products Co. 308,785 7,602
* Tech Data Corp. 190,528 7,562
* Markel Corp. 29,741 7,540
Puget Energy, Inc. 315,560 7,501
* Alliant Techsystems, Inc. 129,478 7,479
Protective Life Corp. 219,580 7,431
Viad Corp. 296,638 7,416
Deluxe Corp. 178,389 7,373
* Emulex Corp. 276,300 7,372
Hubbell Inc. Class B 166,932 7,362
* Rowan Cos., Inc. 314,982 7,298
FirstMerit Corp. 269,352 7,264
* The Cheesecake Factory 163,995 7,221
* Pride International, Inc. 385,551 7,187
* Apogent Technologies Inc. 308,632 7,111
* Entercom Communications Corp. 133,946 7,094
* Millipore Corp. 163,260 7,028
* Advance Auto Parts, Inc. 86,040 7,004
Maytag Corp. 250,241 6,969
J.M. Smucker Co. 150,869 6,833
55
- --------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Eaton Vance Corp. 184,628 $ 6,765
Wilmington Trust Corp. 187,881 6,764
Circuit City Stores, Inc. 665,885 6,745
* CheckFree Corp. 240,414 6,647
Hormel Foods Corp. 255,715 6,600
* Rent-A-Center, Inc. 220,350 6,584
Pier 1 Imports Inc. 300,877 6,577
* Del Monte Foods Co. 632,300 6,576
Unitrin, Inc. 158,642 6,569
Reynolds & Reynolds Class A 225,573 6,553
* Amphenol Corp. 99,977 6,392
RPM International, Inc. 387,985 6,386
Brown & Brown, Inc. 194,936 6,357
* JetBlue Airways Corp. 235,750 6,252
Reebok International Ltd. 158,547 6,234
Nationwide Financial
Services, Inc. 188,403 6,229
* First Health Group Corp. 318,395 6,196
Meredith Corp. 126,751 6,187
* Smithfield Foods, Inc. 294,485 6,096
Brown-Forman Corp. Class B 64,800 6,056
* National-Oilwell, Inc. 270,767 6,054
* BISYS Group, Inc. 402,058 5,983
Molex, Inc. Class A 201,900 5,928
* RF Micro Devices, Inc. 587,676 5,906
Teleflex Inc. 119,408 5,771
* Krispy Kreme Doughnuts, Inc. 156,213 5,717
The St. Joe Co. 153,319 5,717
Transatlantic Holdings, Inc. 70,305 5,681
Tidewater Inc. 190,113 5,681
Regency Centers Corp. REIT 139,600 5,563
* Saks Inc. 368,162 5,537
National Instruments Corp. 121,237 5,513
* Weight Watchers International, Inc. 143,300 5,498
* Agere Systems Inc. Class B 1,859,200 5,392
* Pixar, Inc. 73,200 5,072
PepsiAmericas, Inc. 289,990 4,965
* Ingram Micro, Inc. Class A 304,050 4,834
* Community Health Systems, Inc. 181,779 4,832
Carolina Group 184,740 4,663
Adolph Coors Co. Class B 82,452 4,626
The McClatchy Co. Class A 66,181 4,553
Packaging Corp. of America 207,651 4,539
Harte-Hanks, Inc. 208,463 4,534
Diamond Offshore Drilling, Inc. 216,380 4,438
* Owens-Illinois, Inc. 368,100 4,377
Mercury General Corp. 91,150 4,243
* Metro-Goldwyn-Mayer Inc. 246,366 4,210
Lafarge North America Inc. 103,113 4,178
International Speedway Corp. 93,308 4,167
Total System Services, Inc. 132,045 4,111
Erie Indemnity Co. Class A 95,683 4,055
Polo Ralph Lauren Corp. 140,206 4,038
* 99 Cents Only Stores 141,817 3,862
* Radio One, Inc. Class D 177,700 3,430
AVX Corp. 201,385 3,347
* Cox Radio, Inc. 131,088 3,307
BlackRock, Inc. 61,993 3,292
* Kmart Holding Corp. 133,709 3,202
Montpelier Re Holdings Ltd. 84,072 3,085
Axis Capital Holdings Ltd. 102,600 3,004
Lennar Corp. Class B 31,764 2,903
* Hewitt Associates, Inc. 96,100 2,873
Capitol Federal Financial 72,925 2,630
Talbots Inc. 84,600 2,604
* BOK Financial Corp. 66,218 2,564
* Columbia Sportswear Co. 46,422 2,530
* International Steel Group, Inc. 64,600 2,516
* WellChoice Inc. 69,240 2,389
Hearst-Argyle Television Inc. 85,250 2,349
Regal Entertainment Group Class A 113,368 2,326
Blockbuster Inc. Class A 119,040 2,137
Student Loan Corp. 13,300 1,942
* U.S. Cellular Corp. 52,950 1,880
* Citadel Broadcasting Corp. 81,623 1,826
* Radio One, Inc. 85,494 1,671
* CapitalSource Inc. 76,522 1,659
Nuveen Investments, Inc. Class A 54,897 1,464
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $4,377,290) $ 5,528,374
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.8%)(1)
- --------------------------------------------------------------------------------
Federal National Mortgage Assn.
(2) 1.05%, 1/7/2004 $ 900 900
Repurchase Agreement
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
0.99%, 1/2/2004--Note E 42,262 42,262
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS (Cost $43,162) 43,162
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.9%) (Cost $4,420,452) 5,571,536
- --------------------------------------------------------------------------------
56
- --------------------------------------------------------------------------------
MARKET
VALUE*
MID-CAP INDEX FUND (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.9%)
- --------------------------------------------------------------------------------
Other Assets--Note B 125,372
Liabilities--Note E (173,391)
---------------
(48,019)
---------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $ 5,523,517
================================================================================
*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
100.3% and 0.6%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Security has been segregated as initial margin for open futures contracts.
REIT-Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $ 4,925,517
Overdistributed Net Investment Income (3,247)
Accumulated Net Realized Losses (550,013)
Unrealized Appreciation
Investment Securities 1,151,084
Futures Contracts 176
- --------------------------------------------------------------------------------
NET ASSETS $ 5,523,517
================================================================================
Investor Shares--Net Assets
Applicable to 274,949,309 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 3,610,249
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 13.13
================================================================================
Admiral Shares--Net Assets
Applicable to 14,143,193 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 842,170
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 59.55
================================================================================
Institutional Shares--Net Assets
Applicable to 81,403,987 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $ 1,071,098
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 13.16
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
57
This Statement shows the types of income earned by each fund during the
reporting period, and details the operating expenses charged to each class of
its shares. These expenses directly reduce the amount of investment income
available to pay to shareholders as income dividends. This Statement also shows
any Net Gain (Loss) realized on the sale of investments, and the increase or
decrease in the Unrealized Appreciation (Depreciation) of investments during the
period.
- --------------------------------------------------------------------------------
EXTENDED MARKET MID-CAP
INDEX FUND INDEX FUND
------------------ ---------------
YEAR ENDED DECEMBER 31, 2003
- --------------------------------------------------------------------------------
(000) (000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 61,529 $ 58,911
Interest 967 353
Security Lending 2,472 1,082
- --------------------------------------------------------------------------------
Total Income 64,968 60,346
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 153 113
Management and Administrative
Investor Shares 7,314 6,288
Admiral Shares 1,365 874
Institutional Shares 760 596
VIPER Shares 93 --
Marketing and Distribution
Investor Shares 418 433
Admiral Shares 97 83
Institutional Shares 164 139
VIPER Shares 7 --
Custodian Fees 424 203
Auditing Fees 18 17
Shareholders' Reports
Investor Shares 240 139
Admiral Shares 7 1
Institutional Shares 5 1
VIPER Shares 1 --
Trustees' Fees and Expenses 6 5
- --------------------------------------------------------------------------------
Total Expenses 11,072 8,892
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 53,896 51,454
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (333,560) (551,236)
Futures Contracts 23,914 2,272
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (309,646) (548,964)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 2,150,050 1,778,310
Futures Contracts 1,614 337
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 2,151,664 1,778,647
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $1,895,914 $1,281,137
================================================================================
58
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the net amount shareholders invested in
or redeemed from the fund. Distributions and Capital Share Transactions are
shown separately for each class of shares.
- --------------------------------------------------------------------------------
EXTENDED MARKET MID-CAP
INDEX FUND INDEX FUND
----------------- ---------------
YEAR ENDED DECEMBER 31, 2003
- --------------------------------------------------------------------------------
2003 2002 2003 2002
(000) (000) (000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 53,896 $ 39,014 $ 51,454 $ 29,619
Realized Net Gain (Loss) (309,646) (168,168) (548,964) 40,337
Change in Unrealized Appreciation
(Depreciation) 2,151,664 (742,468) 1,778,647 (643,379)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 1,895,914 (871,622) 1,281,137 (573,423)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
NET INVESTMENT INCOME
Investor Shares (33,593) (24,109) (33,257) (20,612)
Admiral Shares (8,969) (6,195) (8,130) (3,979)
Institutional Shares (12,612) (7,231) (10,818) (6,440)
VIPER Shares (913) (327) -- --
REALIZED CAPITAL GAIN*
Investor Shares -- -- -- (25,635)
Admiral Shares -- -- -- (4,240)
Institutional Shares -- -- -- (7,402)
VIPER Shares -- -- -- --
- --------------------------------------------------------------------------------
Total Distributions (56,087) (37,862) (52,205) (68,308)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--NOTE F
Investor Shares 466,197 122,033 530,455 261,445
Admiral Shares 183,088 21,721 258,512 261,445
Institutional Shares 504,125 49,773 174,943 127,670
VIPER Shares 57,633 28,082 -- --
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 3,914,437 4,602,3123,330,675 2,921,577
- --------------------------------------------------------------------------------
End of Period $6,965,307 $3,914,437$5,523,517 $3,330,675
================================================================================
*Includes fiscal 2003 and 2002 short-term gain distributions by the Mid-Cap
Index Fund totaling $0 and $3,244,000, respectively. Short-term gain
distributions are treated as ordinary income dividends for tax purposes.
59
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
EXTENDED MARKET INDEX FUND INVESTOR SHARES
- --------------------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
- --------------------------------------------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.61 $37.07 $30.63
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .207 .19 .203 .274 .297
Net Realized and Unrealized Gain (Loss) on Investments 7.926 (4.36) (2.703) (6.041) 10.101
- --------------------------------------------------------------------------------------------------------------------
Total from Investment Operations 8.133 (4.17) (2.500) (5.767) 10.398
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.213) (.18) (.210) (.263) (.318)
Distributions from Realized Capital Gains -- -- (.810) (4.430) (3.640)
- --------------------------------------------------------------------------------------------------------------------
Total Distributions (.213) (.18) (1.020) (4.693) (3.958)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $26.66 $18.74 $23.09 $26.61 $37.07
====================================================================================================================
TOTAL RETURN* 43.43% -18.06% -9.13% -15.55% 36.22%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $4,259 $2,629 $3,115 $3,881 $4,221
Ratio of Total Expenses to Average Net Assets 0.26% 0.26% 0.25% 0.25% 0.25%
Ratio of Net Investment Income to Average Net Assets 1.01% 0.88% 0.88% 0.81% 1.04%
Portfolio Turnover Rate 8% 17% 20% 33% 26%
====================================================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases through
March 31, 2000, or the $10 annual account maintenance fee applied on balances
under $10,000.
60
EXTENDED MARKET INDEX FUND ADMIRAL SHARES
- ---------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, NOV. 13* TO
---------------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.61 $31.89
- ---------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .221 .201 .213 .050
Net Realized and Unrealized Gain (Loss)
on Investments 7.926 (4.360) (2.703) (1.736)
- ---------------------------------------------------------------------------------------------
Total from Investment Operations 8.147 (4.159) (2.490) (1.686)
- ---------------------------------------------------------------------------------------------
Distributions
Dividends from Net Investment Income (.227) (.191) (.220) (.274)
Distributions from Realized Capital Gains -- -- (.810) (3.320)
- ---------------------------------------------------------------------------------------------
Total Distributions (.227) (.191) (1.030) (3.594)
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $26.66 $18.74 $23.09 $26.61
=============================================================================================
TOTAL RETURN 43.51% -18.02% -9.09% -4.30%
=============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,075 $611 $735 $441
Ratio of Total Expenses to
Average Net Assets 0.20% 0.20% 0.20% 0.20%**
Ratio of Net Investment Income to
Average Net Assets 1.07% 0.94% 0.94% 1.23%**
Portfolio Turnover Rate 8% 17% 20% 33%
=============================================================================================
*Inception.
**Annualized.
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES
- ----------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
----------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.62 $37.09 $30.63
- ----------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .247 .22 .228 .313 .363
Net Realized and Unrealized Gain (Loss)
on Investments 7.926 (4.36) (2.703) (6.041) 10.101
- ----------------------------------------------------------------------------------------------------------
Total from Investment Operations 8.173 (4.14) (2.475) (5.728) 10.464
- ----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.243) (.21) (.245) (.312) (.364)
Distributions from Realized Capital Gains -- -- (.810) (4.430) (3.640)
- ----------------------------------------------------------------------------------------------------------
Total Distributions (.243) (.21) (1.055) (4.742) (4.004)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $26.67 $18.74 $23.09 $26.62 $37.09
==========================================================================================================
TOTAL RETURN* 43.66% -17.93% -9.03% -15.41% 36.45%
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,524 $644 $746 $954 $870
Ratio of Total Expenses to
Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to
Average Net Assets 1.17% 1.05% 1.02% 0.96% 1.18%
Portfolio Turnover Rate 8% 17% 20% 33% 26%
==========================================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases through
March 31, 2000.
61
FINANCIAL HIGHLIGHTS (CONTINUED)
EXTENDED MARKET INDEX FUND VIPER SHARES
- --------------------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, DEC. 27* TO
--------------------- DEC . 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001
- --------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $49.46 $60.99 $60.94
- --------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .608 .566 --
Net Realized and Unrealized Gain (Loss)
on Investments 20.914 (11.561) .05
- --------------------------------------------------------------------------------
Total from Investment Operations 21.522 (10.995) .05
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.612) (.535) --
Distributions from Realized Capital Gains -- -- --
- --------------------------------------------------------------------------------
Total Distributions (.612) (.535) --
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $70.37 $49.46 $60.99
================================================================================
TOTAL RETURN 43.55% -18.04% 0.08%
================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $107 $30 $6
Ratio of Total Expenses to
Average Net Assets 0.20% 0.20% 0.20%**
Ratio of Net Investment Income to
Average Net Assets 1.07% 1.04% 0.54%**
Portfolio Turnover Rate 8% 17% 20%
================================================================================
*Inception.
**Annualized.
62
MID-CAP INDEX FUND INVESTOR SHARES
- ----------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
----------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.88 $11.81 $12.21 $11.30 $10.79
- ----------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .122 .088 .081 .071 .073
Net Realized and Unrealized Gain (Loss)
on Investments 3.250 (1.798) (.166) 1.897 1.448
- ----------------------------------------------------------------------------------------------------------
Total from Investment Operations 3.372 (1.710) (.085) 1.968 1.521
- ----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.122) (.093) (.070) (.078) (.076)
Distributions from Realized Capital Gains -- (.127) (.245) (.980) (.935)
- ----------------------------------------------------------------------------------------------------------
Total Distributions (.122) (.220) (.315) (1.058) (1.011)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $13.13 $ 9.88 $11.81 $12.21 $11.30
==========================================================================================================
TOTAL RETURN* 34.14% -14.61% -0.50% 18.10% 15.32%
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $3,610 $2,267 $2,049 $1,614 $605
Ratio of Total Expenses to
Average Net Assets 0.26% 0.26% 0.25% 0.25% 0.25%
Ratio of Net Investment Income to
Average Net Assets 1.20% 0.85% 0.83% 0.90% 0.99%
Portfolio Turnover Rate 73%** 20%+ 24% 51% 38%
==========================================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases from
inception through February 28, 1999, or the $10 annual account maintenance fee
applied on balances under $10,000.
**Includes activity related to a change in the fund's target index.
+The portfolio turnover rate excluding in-kind redemptions was 18%.
63
FINANCIAL HIGHLIGHTS (CONTINUED)
MID-CAP INDEX FUND ADMIRAL SHARES
- --------------------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, NOV. 12* TO
--------------------- DEC . 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001
- --------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $44.81 $53.56 $50.00
- --------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .593 .431 .056
Net Realized and Unrealized Gain (Loss)
on Investments 14.742 (8.154) 3.982
- --------------------------------------------------------------------------------
Total from Investment Operations 15.335 (7.723) 4.038
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.595) (.451) (.320)
Distributions from Realized Capital Gains -- (.576) (.158)
- --------------------------------------------------------------------------------
Total Distributions (.595) (1.027) (.478)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $59.55 $44.81 $53.56
================================================================================
TOTAL RETURN 34.24% -14.55% 8.06%
================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $842 $411 $223
Ratio of Total Expenses to
Average Net Assets 0.18% 0.18% 0.20%**
Ratio of Net Investment Income to
Average Net Assets 1.31% 0.94% 0.86%**
Portfolio Turnover Rate 73%*+ 20%++ 24%
================================================================================
*Inception.
**Annualized.
+Includes activity related to a change in the fund's target index.
++The portfolio turnover rate excluding in-kind redemptions was 18%.
64
MID-CAP INDEX FUND INSTITUTIONAL SHARES
- ----------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
----------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.90 $11.83 $12.23 $11.30 $10.79
- ----------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .147 .103 .097 .081 .083
Net Realized and Unrealized Gain (Loss)
on Investments 3.250 (1.798) (.166) 1.918 1.448
- ----------------------------------------------------------------------------------------------------------
Total from Investment Operations 3.397 (1.695) (.069) 1.999 1.531
- ----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.137) (.108) (.086) (.089) (.086)
Distributions from Realized Capital Gains -- (.127) (.245) (.980) (.935)
- ----------------------------------------------------------------------------------------------------------
Total Distributions (.137) (.235) (.331) (1.069) (1.021)
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $13.16 $ 9.90 $11.83 $12.23 $11.30
==========================================================================================================
TOTAL RETURN* 34.33% -14.45% -0.37% 18.39% 15.41%
==========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,071 $653 $650 $307 $143
Ratio of Total Expenses to
Average Net Assets 0.10% 0.10% 0.10% 0.12% 0.12%
Ratio of Net Investment Income to
Average Net Assets 1.36% 1.01% 1.00% 1.03% 1.11%
Portfolio Turnover Rate 73%** 20%+ 24% 51% 38%
==========================================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases from
inception through February 28, 1999.
**Includes activity related to a change in the fund's target index.
+The portfolio turnover rate excluding in-kind redemptions was 18%.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
65
NOTES TO FINANCIAL STATEMENTS
Vanguard Extended Market Index and Mid-Cap Index Funds are registered under the
Investment Company Act of 1940 as open-end investment companies, or mutual
funds. The Extended Market Index Fund offers four classes of shares: Investor
Shares, Admiral Shares, Institutional Shares, and VIPER Shares. The Mid-Cap
Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and
Institutional Shares. Investor Shares are available to any investor who meets
the fund's minimum purchase requirements. Admiral Shares are designed for
investors who meet certain administrative, servicing, tenure, and account-size
criteria. Institutional Shares are designed for investors who meet certain
administrative and servicing criteria and invest a minimum of $10 million. VIPER
Shares are listed for trading on the American Stock Exchange; they can be
purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted
accounting principles for U.S. mutual funds. The funds consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Securities are valued as of the close of trading on
the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation
date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such
securities not traded on the valuation date are valued at the mean of the latest
quoted bid and asked prices. Securities for which market quotations are not
readily available, or whose values have been materially affected by events
occurring before the funds' pricing time but after the close of the securities'
primary markets, are valued by methods deemed by the board of trustees to
represent fair value. Temporary cash investments acquired over 60 days to
maturity are valued using the latest bid prices or using valuations based on a
matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
Other temporary cash investments are valued at amortized cost, which
approximates market value.
2. FUTURES CONTRACTS: The funds use index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity, and minimizing transaction costs. Both
funds use S&P MidCap 400 Index futures contracts; the Extended Market Index Fund
also uses Russell 2000 Index futures contracts. A fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in
response to cash outflows, thereby simulating a fully invested position in the
underlying index while maintaining a cash balance for liquidity. A fund may seek
to enhance returns by using futures contracts instead of the underlying
securities when futures are believed to be priced more attractively than the
underlying securities. The primary risks associated with the use of futures
contracts are imperfect correlation between changes in market values of stocks
held by the fund and the prices of futures contracts, and the possibility of an
illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The funds, along with other members of The
Vanguard Group, transfer uninvested cash balances to a pooled cash account,
which is invested in repurchase agreements secured by U.S. government
securities. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal; however, in the event of default or bankruptcy by the other party
to the agreement, retention of the collateral may be subject to legal
proceedings.
66
4. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the financial
statements.
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except
that each class separately bears certain class-specific expenses related to
maintenance of shareholder accounts (included in Management and Administrative
expenses) and shareholder reporting. Marketing and distribution expenses are
allocated to each class of shares based on a method approved by the board of
trustees. Income, other non-class-specific expenses, and realized and unrealized
gains and losses on investments are allocated to each class of shares based on
its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to each fund under methods approved by the board of
trustees. Each fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At December 31, 2003, the funds had
contributed capital to Vanguard (included in Other Assets) of:
- --------------------------------------------------------------------------------
CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF
TO VANGUARD OF FUND VANGUARD'S
INDEX FUND (000) NET ASSETS CAPITALIZATION
- --------------------------------------------------------------------------------
Extended Market $1,044 0.01% 1.04%
Mid-Cap 837 0.02 0.84
- --------------------------------------------------------------------------------
The funds' trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net
investment income and realized capital gains for financial reporting purposes.
Differences may be permanent or temporary. Permanent differences are
reclassified among capital accounts in the financial statements to reflect their
tax character. Temporary differences arise when certain items of income,
expense, gain, or loss are recognized in different periods for financial
statement and tax purposes; these differences will reverse at some time in the
future. Differences in classification may also result from the treatment of
short-term gains as ordinary income for tax purposes.
At December 31, 2003, the funds had the following tax-basis amounts
available for distribution, and capital losses available to offset future net
capital gains:
- --------------------------------------------------------------------------------
AMOUNT AVAILABLE
FOR DISTRIBUTION CAPITAL LOSSES
------------------------------ ----------------------------
ORDINARY LONG-TERM EXPIRATION: FISCAL
INCOME CAPITAL GAIN AMOUNT YEARS ENDING
INDEX FUND (000) (000) (000) DECEMBER 31
- --------------------------------------------------------------------------------
Extended Market $(127)* -- $573,529 2009-2012
Mid-Cap (146)* -- 548,640 2011-2012
- --------------------------------------------------------------------------------
*Amount of the fund's December 2003 dividend payable in January 2004 that will
be used to reduce required 2004 ordinary income dividends.
67
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
At December 31, 2003, net unrealized appreciation of investment securities for
tax purposes was:
- --------------------------------------------------------------------------------
(000)
-----------------------------------------------
NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
INDEX FUND SECURITIES SECURITIES (DEPRECIATION)
- --------------------------------------------------------------------------------
Extended Market $2,103,436 $(1,469,373) $ 634,063
Mid-Cap 1,190,099 (39,015) 1,151,084
- --------------------------------------------------------------------------------
At December 31, 2003, the aggregate settlement value of open futures contracts
expiring in March 2004 and the related unrealized appreciation were:
- --------------------------------------------------------------------------------
(000)
--------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
Extended Market/
E-mini S&P MidCap 400 Index 2 $ 115 $ 3
S&P MidCap 400 Index 54 15,553 214
Russell 2000 Index 86 23,960 585
Mid-Cap/
E-mini S&P MidCap 400 Index 45 2,592 53
S&P MidCap 400 Index 31 8,929 123
- --------------------------------------------------------------------------------
Unrealized appreciation on open futures contracts is required to be treated as
realized gain for tax purposes.
D. During the year ended December 31, 2003, purchases and sales of investment
securities other than temporary cash investments were:
- --------------------------------------------------------------------------------
(000)
-----------------------------------
INDEX FUND PURCHASES SALES
- --------------------------------------------------------------------------------
Extended Market $1,664,289 $ 421,599
Mid-Cap 4,006,264 3,014,996
- --------------------------------------------------------------------------------
E. The market value of securities on loan to broker/dealers at December 31,
2003, and collateral received with respect to such loans were:
- --------------------------------------------------------------------------------
(000)
-------------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
INDEX FUND SECURITIES RECEIVED
- --------------------------------------------------------------------------------
Extended Market $197,814 $223,920
Mid-Cap 40,594 42,262
- --------------------------------------------------------------------------------
The funds invest cash collateral received in repurchase agreements, and record a
liability for the return of the collateral, during the period the securities are
on loan.
68
F. Capital share transactions for each class of shares were:
- --------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------------
2003 2002
-------------------------------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- --------------------------------------------------------------------------------
EXTENDED MARKET
INVESTOR SHARES
Issued $1,043,071 45,478 $ 699,391 33,544
Issued in Lieu of Cash
Distributions 31,753 1,220 22,749 1,208
Redeemed (608,627) (27,268) (600,107) (29,319)
----------------------------------------------
Net Increase (Decrease)--
Investor Shares 466,197 19,430 122,033 5,433
----------------------------------------------
Admiral Shares
Issued 400,805 17,637 217,397 10,455
Issued in Lieu of Cash
Distributions 7,595 293 5,147 273
Redeemed (225,312) (10,194) (200,823) (9,993)
----------------------------------------------
Net Increase (Decrease)--
Admiral Shares 183,088 7,736 21,721 735
----------------------------------------------
Institutional Shares
Issued 798,707 36,316 265,407 12,612
Issued in Lieu of Cash
Distributions 11,140 431 6,005 319
Redeemed (305,722) (13,978) (221,639) (10,859)
----------------------------------------------
Net Increase (Decrease)--
Institutional Shares 504,125 22,769 49,773 2,072
----------------------------------------------
VIPER Shares
Issued 57,619 904 28,082 511
Issued in Lieu of Cash
Distributions 14 -- -- --
Redeemed -- -- -- --
----------------------------------------------
Net Increase (Decrease)--
VIPER Shares 57,633 904 28,082 511
----------------------------------------------
MID-CAP
Investor Shares
Issued $1,136,824 100,873 $1,263,770 111,624
Issued in Lieu of Cash
Distributions 29,801 2,292 42,143 3,986
Redeemed (636,170) (57,631) (644,199) (59,639)
----------------------------------------------
Net Increase (Decrease)--
Investor Shares 530,455 45,534 661,714 55,971
----------------------------------------------
Admiral Shares
Issued 416,475 7,996 406,131 7,971
Issued in Lieu of Cash
Distributions 6,645 113 6,949 147
Redeemed (164,608) (3,129) (151,635) (3,124)
----------------------------------------------
Net Increase (Decrease)--
Admiral Shares 258,512 4,980 261,445 4,994
----------------------------------------------
Institutional Shares
Issued 344,525 30,275 343,553 31,481
Issued in Lieu of Cash
Distributions 9,135 702 11,623 1,094
Redeemed (178,717) (15,554) (227,506) (21,501)
----------------------------------------------
Net Increase (Decrease)--
Institutional Shares 174,943 15,423 127,670 11,074
- --------------------------------------------------------------------------------
*Amount of the fund's December 2003 dividend payable in January 2004 that will
be used to reduce required 2004 ordinary income dividends.
69
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds:
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Extended Market Index Fund and Mid-Cap Index Fund (separate funds of Vanguard
U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31,
2003, the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the period then
ended and the financial highlights for each of the periods indicated, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Funds' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with auditing standards generally accepted in the United States of
America, which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 2003 by
correspondence with the custodians and broker, provide a reasonable basis for
our opinion.
PRICEWATERHOUSECOOPERS LLP
PHILADELPHIA, PENNSYLVANIA
FEBRUARY 3, 2004
- --------------------------------------------------------------------------------
SPECIAL 2003 TAX INFORMATION
(UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (MID-CAPITALIZATION PORTFOLIOS)
This information for the fiscal year ended December 31, 2003, is included
pursuant to provisions of the Internal Revenue Code.
For corporate shareholders, the percentage of investment income (dividend income
plus short-term gains, if any) that qualifies for the dividends-received
deduction is as follows:
-------------------------------
INDEX FUND PERCENTAGE
-------------------------------
Extended Market 73.9%
Mid-Cap 90.5
-------------------------------
The funds distributed the maximum amount of qualified dividend income allowable.
The amount of qualified dividend income distributed by each fund was provided to
individual shareholders on their 2003 Form 1099-DIV.
- --------------------------------------------------------------------------------
70
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71
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 sizable
personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business,
academia, and public service to their task of working with Vanguard officers to
establish the policies and oversee the activities of
- ------------------------------------------------------------------------------------------------------------
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee
(1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies
May 1987 Executive Officer, served by The Vanguard Group.
and Trustee
(118)
- ------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor
(1937) (118) to Greenwich Associates (international business strategy consulting);
January 2001 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 Trustee Chairman and Chief Executive Officer (since October 1999), Vice
(1945) (118) Chairman (January-September 1999), and Vice President (prior to
December 2001 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; and Trustee of Drexel University.
- ------------------------------------------------------------------------------------------------------------
JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the
HEISEN (118) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer
(1950) products); Director of the Medical Center at Princeton and Women's
July 1998 Research and Education Institute.
- ------------------------------------------------------------------------------------------------------------
BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University;
(1932) (116) Director of Vanguard Investment Series plc (Irish invest-ment fund)
May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish
investment management firm)(since November 2001),Prudential Insurance
Co. of America, BKF Capital (investment management), The Jeffrey Co.
(holding company), and NeuVis, Inc.(software company).
- ------------------------------------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment
advisors for the funds; monitoring fund operations, performance, and costs;
reviewing contracts; nominating and selecting new trustees/directors; and
electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee's
retirement, resignation, or death; or otherwise as specified in the fund's
organizational documents. Any trustee may be removed at a shareholders' meeting
by a vote representing two-thirds of the net asset value of all shares of the
fund together with shares of other Vanguard funds organized within the same
trust. The table on these two pages shows information for each trustee and
executive officer of the fund. The mailing address of the trustees and officers
is P.O. Box 876, Valley Forge, PA 19482.
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO
(1941) (118) Industries, Inc. (forklift trucks/housewares/lignite); Director of
January 1993 Goodrich Corporation (industrial products/aircraft systems and
services); Director of Standard Products Company (supplier for
the automotive industry) until 1998.
- ------------------------------------------------------------------------------------------------------------
J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co.
(1936) (118) (chemicals); Director of Cummins Inc. (diesel engines), The Mead
April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal
distribution); Trustee of Vanderbilt University.
- ------------------------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.;
(1951) (118) Secretary of The Vanguard Group and of each of the investment
June 2001 companies served by The Vanguard Group.
- ------------------------------------------------------------------------------------------------------------
Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the
(1957) (118) investment companies served by The Vanguard Group.
July 1998
- ------------------------------------------------------------------------------------------------------------
*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. MICHAEL S. MILLER, Planning and Development.
JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance.
KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer.
F. WILLIAM MCNABB, III, Client Relationship Group.
- ------------------------------------------------------------------------------------------------------------
JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996.
- ------------------------------------------------------------------------------------------------------------
77
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Q980 022004
VANGUARD(R) U.S. STOCK INDEX FUNDS
LARGE-CAPITALIZATION PORTFOLIOS
DECEMBER 31, 2003
ANNUAL REPORT
VANGUARD(R) GROWTH INDEX FUND
VANGUARD(R) VALUE INDEX FUND
VANGUARD(R) TOTAL STOCK MARKET INDEX FUND
THE VANGUARD GROUP(R)
HOW TO READ YOUR FUND REPORT
This report contains information that can help you evaluate your investment. It
includes details about your fund's return and presents data and analysis that
provide insight into the fund's performance and investment approach.
By reading the letter from Vanguard's chairman, you'll get an understanding of
how the fund invests and how the market environment affected its performance.
The statistical information that follows can help you understand how the fund's
performance and characteristics stack up against those of similar funds and
market benchmarks.
It's important to keep in mind that any opinions expressed here are just that:
informed opinions. They should not be considered promises or advice. These
opinions, like the statistics, cover the period through the date on the cover of
this report. The risks of investing in the fund are spelled out in the
prospectus.
Frequent updates on the fund's performance and information about some of its
holdings are available on Vanguard.com(R).
- --------------------------------------------------------------------------------
CONTENTS
1 letter from the chairman
8 fund profiles
11 glossary of investment terms
12 performance summaries
16 your fund's after-tax returns
17 about your fund's expenses
18 financial statements
46 advantages of vanguard.com
SUMMARY
- - The Growth, Value, and Total Stock Market Index Funds posted double-digit
gains as the stock market surged during 2003.
- - Two of the three funds outperformed their peer-group averages for the year;
over the past decade, all three have posted superior results.
- - Investors regained their appetite for risk, and small-cap stocks and "junk"
bonds were the best performers in their respective asset classes.
- --------------------------------------------------------------------------------
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get fund reports online.
INDEXED TO MSCI
GROWTH INDEX FUND
VALUE INDEX FUND
LETTER FROM THE CHAIRMAN
Fellow Shareholder,
During 2003, the U.S. stock market rebounded strongly from one of the longest
and deepest bear markets in modern financial history. The Wilshire 5000 Total
Market Index, a gauge of the broad market, returned 31.6%--its best
calendar-year performance since 1995.
[PICTURES OF JOHN J. BRENNAN]
As expected, Vanguard's large-capitalization index funds reflected the market's
performance. All three tracked their target indexes quite well--registering
double-digit gains--and two outperformed their peer-group averages. The table,
on page 2, lists the total returns (capital change plus reinvested
distributions) for all the funds' share classes, as well as for their
benchmarks.
An analysis of the per-share components of the funds' returns appears on page 7.
If you hold your shares in a taxable account, you may wish to review the funds'
after-tax returns on page 16.
STOCKS LEFT THE BEAR MARKET IN THEIR DUST
The long and painful downturn of the broad U.S. stock market, which lost more
than one-third of its value during the three years ended December 31, 2002, came
to a dramatic close in 2003. The start and swift completion of major combat
operations in Iraq ignited a broad-based rally that propelled the Wilshire 5000
Index to a 31.6% return.
Other factors contributing to the rebound included the Federal Reserve Board's
reduction in short-term interest rates to a 45-year low of 1.00%; low mortgage
rates, which spurred home-buying and freed up cash through refinancing; the
decline of the U.S. dollar relative to other currencies, which aided businesses
dependent on exports and profits from operations overseas; tax cuts, which
resulted in cash that consumers were more than willing to spend; a spike in
business investment; and
1
rapid growth in U.S. production of goods and services--expanding at an 8.2%
annualized rate in the third quarter.
By most (if not all) gauges of performance, growth and value stocks--whose
prices reflect either a premium or a discount relative to company earnings, book
value, or other measures--provided similar returns. Small-cap stocks outpaced
large-caps by a substantial margin, with the small-cap Russell 2000 Index
outperforming the mid- to-large-cap Russell 1000 Index by 17.4 percentage
points. International stocks, particularly those from emerging markets, also
posted excellent returns. For U.S.-based investors, strong local-currency
returns were generally augmented by the dollar's decline.
- --------------------------------------------------------------------------------
2003 TOTAL RETURNS YEAR ENDED
DECEMBER 31
- --------------------------------------------------------------------------------
VANGUARD GROWTH INDEX FUND
Investor Shares 25.9%
Admiral Shares 26.0
Institutional Shares 26.1
Spliced Growth Index* 26.1
Average Large-Cap Growth Fund** 27.0
- --------------------------------------------------------------------------------
VANGUARD VALUE INDEX FUND
Investor Shares 32.2%
Admiral Shares 32.4
Institutional Shares 32.4
Spliced Value Index+ 32.4
Average Large-Cap Value Fund** 28.3
- --------------------------------------------------------------------------------
Vanguard Total Stock Market Index Fund
Investor Shares 31.4%
Admiral Shares 31.4
Institutional Shares 31.5
VIPER Shares
Market Price 31.2
Net Asset Value 31.4
Wilshire 5000 Index 31.6
Average Multi-Cap Core Fund** 29.9
- --------------------------------------------------------------------------------
*S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth
Index thereafter.
**Derived from data provided by Lipper Inc.
+S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value
Index thereafter.
"JUNK" REIGNED SUPREME IN THE BOND MARKET
An appetite for risk was evident not just in the stock market, but also in fixed
income investments. Bonds from companies rated below-investment-grade (popularly
known as "junk" bonds) surged 29.0% during the 12 months, as measured by the
Lehman Brothers High Yield Bond Index.
U.S. Treasury securities, which are essentially free of credit risk, provided
weak returns. The benchmark 10-year Treasury note rallied early in the year,
compressing yields to levels not seen since Dwight Eisenhower occupied the Oval
Office, but retreated as the stock market and the broader economy gathered
steam. By year-end, the 10-year note's yield stood at 4.25%, up 44 basis points
(0.44 percentage point) from the beginning of the year. Rising rates mean
falling prices, and the return of the broad Treasury market was barely above
inflation. Overall, the broad U.S. investment-grade taxable bond market earned
4.1%.
2
Even as yields of longer-maturity bonds rose, the yield of the 3-month Treasury
bill, a proxy for money market rates, finished the year at 0.92%, 27 basis
points below its year-ago level.
THE FUNDS REBOUNDED STRONGLY WITH THE MARKET
Fueled by the broad-based resurgence in stocks, the Vanguard
large-capitalization index funds provided excellent returns on an absolute basis
and performed competitively against their peer-group averages, which are
dominated by the returns of actively managed portfolios. The Value Index Fund
recorded the highest gains, while its counterpart, the Growth Index Fund, earned
lower, but still strong, returns. The returns for the Total Stock Market Index
Fund, which tracks not only large-cap issues but also small- and mid-cap stocks,
fell in between.
As I noted in the funds' semiannual report in June, the Growth and Value Index
Funds adopted new target benchmarks--the MSCI US Prime Market Growth and MSCI US
Prime Market Value Indexes, respectively--during the year. The funds' trustees
(of whom I am one) determined that the methodologies underlying these benchmarks
make them superior to other available large-cap indexes, and we believe the new
indexes will provide a more accurate picture of the performance of their
respective market segments.
- --------------------------------------------------------------------------------
MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
-------------------------------
ONE THREE FIVE
YEAR YEARS YEARS
- --------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1%
Russell 2000 Index (Small-caps) 47.3 6.3 7.1
Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4
MSCI All Country World Index Free
ex USA (International) 41.4 -1.0 1.5
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 4.1% 7.6% 6.6%
(Broad taxable market)
Lehman Municipal Bond Index 5.3 6.7 5.8
Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5
================================================================================
CPI
Consumer Price Index 1.9% 1.9% 2.4%
- --------------------------------------------------------------------------------
3
One expected benefit of the change is lower portfolio turnover, which would
reduce transaction costs. (It could also reduce the taxable distributions passed
on to you.) However, the transition did result in a one-time significant
increase in turnover. Even so, the transition did not generate net capital gains
distributions in either fund.
In the past year, the difference in performance between growth and value wasn't
all that extreme. In all three large-cap funds, economically sensitive stocks
were the best performers. In the Total Stock Market Index Fund, for example,
technology stocks returned 48.9%. These stocks, which were among the hardest hit
in the long downturn, made an especially noteworthy contribution to the Growth
Index Fund's return, and performed well in the Value Index Fund too.
Corporations have been boosting capital spending, and their investments helped
to propel strong earnings growth in the tech sector.
- --------------------------------------------------------------------------------
In all three funds, economically sensitive stocks were the best performers. They
made a significant contribution to the Growth Index Fund's return and performed
well in the Value Index Fund.
- --------------------------------------------------------------------------------
Producer durables and materials & processing stocks also generated strong
returns. These companies produce the economy's basic building blocks, and they
often perform well as an expansion gathers momentum. Another strong performer
was the financial services sector--an especially large group in the Total Stock
Market and Value Index Funds--which benefited from low interest rates and
recovering stock prices. In the Value Index Fund, this sector accounted for more
than one-third of the fund's return for the year.
Consumer staples and utilities stocks--traditionally defensive sectors that lost
some appeal in a more risk-tolerant market--were among the "weaker" performers,
though they still recorded double-digit gains.
THE CASE FOR INDEXING HAS BEEN COMPELLING
While the Total Stock Market and Value Index Funds outperformed the average
returns of their peer groups over the past year, the Growth Index Fund trailed.
Index portfolios can't be expected to provide above-average performance every
year. As illustrated by the table on page 5, however, the case for indexing
grows more powerful over time. During the ten years ended December 31, for
example, a hypothetical $10,000
4
investment in the Total Stock Market Index Fund's Investor Shares would have
grown to $27,097. The same investment in the average multi-cap core fund would
have increased to $24,948-- a $2,149 difference in wealth accumulation on a
relatively modest initial outlay. The Growth and Value Index Funds also created
more wealth than their peer-group averages.
- --------------------------------------------------------------------------------
TOTAL RETURNS TEN YEARS ENDED
DECEMBER 31, 2003
- --------------------------------------------------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RETURN INITIAL INVESTMENT
- --------------------------------------------------------------------------------
Growth Index Fund
Investor Shares 11.1% $28,566
Spliced Growth Index 11.2 28,803
Average Large-Cap
Growth Fund 8.4 22,339
- --------------------------------------------------------------------------------
Value Index Fund
Investor Shares 10.5% $27,126
Spliced Value Index 10.6 27,380
Average Large-Cap
Value Fund 10.2 26,532
- --------------------------------------------------------------------------------
Total Stock Market Index
Fund Investor Shares 10.5% $27,097
Wilshire 5000 Index 10.6 27,351
Average Multi-Cap
Core Fund 9.6 24,948
- --------------------------------------------------------------------------------
The keys to this strong long-term performance have been full investment in
stocks (eliminating the "drag" of uninvested cash in a generally rising market),
broad diversification within a market segment (or, in the case of the Total
Stock Market Index Fund, across the entire market), excellent execution by
Vanguard Quantitative Equity Group, and exceptionally low costs. (For a
comparison of the expense ratios of your fund and its peer group, see page 17.)
Over long periods, the cumulative effect of these attributes has been imposing.
For taxable investors, the benefits can be even greater, as our index funds' low
portfolio turnover generally results in fewer realized capital gains.
THE YEAR BROUGHT WELCOME CHANGE AND DISAPPOINTMENT
In terms of fund performance, this is the most upbeat letter I've been able to
write to shareholders of our large-cap index funds for several years. (The last
time I reported on an "up" fiscal year for all three funds was 1999.) Although
the market's resurgence has made my task more pleasant, it has in no way altered
the advice that we offered to shareholders both before and during the long
downturn. In any market environment, the keys to successful long-term investing
are balance, diversification, and low costs. Make these principles the
foundation of your investment plan, and you'll be positioned to survive--and
ultimately thrive--come what may.
5
Unfortunately, even though stocks rebounded, 2003 also provided a disappointment
to many investors. The reports of late trading and market-timing at some
competing investment management firms have been as disturbing to us as they no
doubt have been to you. I want to close this letter with an assurance that
Vanguard has policies and procedures in place to identify and deter such
behavior. More important, Vanguard shareholders are served by a crew of the
highest integrity, and our client-owned corporate structure aligns our
day-to-day efforts with your long-term financial goals.
Thank you for investing your assets with Vanguard.
Sincerely,
/S/JOHN J. BRENNAN
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JANUARY 13, 2004
6
- --------------------------------------------------------------------------------
YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003
DISTRIBUTIONS PER SHARE
-----------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
Growth Index Fund
Investor Shares $19.95 $24.92 $0.176 $0.000
Admiral Shares 19.95 24.92 0.195 0.000
Institutional Shares 19.95 24.92 0.206 0.000
- --------------------------------------------------------------------------------
Value Index Fund
Investor Shares $14.65 $18.95 $0.372 $0.000
Admiral Shares 14.65 18.95 0.386 0.000
Institutional Shares 14.65 18.95 0.394 0.000
- --------------------------------------------------------------------------------
Total Stock Market Index Fund
Investor Shares $20.07 $25.99 $0.327 $0.000
Admiral Shares 20.07 25.99 0.338 0.000
Institutional Shares 20.07 26.00 0.352 0.000
VIPER Shares 82.47 106.81 1.382 0.000
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND VIPER SHARES
PREMIUM/DISCOUNT: MAY 24, 2001*-DECEMBER 31, 2003
CLOSING PRICE
ABOVE OR EQUAL TO CLOSING PRICE BELOW
CLOSING NET ASSET VALUE CLOSING NET ASSET VALUE
----------------------- -----------------------
NUMBER PERCENTAGE OF NUMBER PERCENTAGE OF
BASIS POINT DIFFERENTIAL** OF DAYS TOTAL DAYS OF DAYS TOTAL DAYS
- --------------------------------------------------------------------------------
0-24.9 331 50.69% 307 47.01%
25-49.9 10 1.53 3 0.46
50-74.9 0 0.00 2 0.31
75-100.0 0 0.00 0 0.00
>100.0 0 0.00 0 0.00
- --------------------------------------------------------------------------------
Total 341 52.22% 312 47.78%
- --------------------------------------------------------------------------------
*Inception.
**One basis point equals 1/100th of 1%.
7
FUND PROFILES AS OF 12/31/2003
These Profiles provide snapshots of the funds' characteristics, compared where
indicated with the appropriate target index and a broad market index. Key terms
are defined on page 11.
GROWTH INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Number of Stocks 402 401 5,216
Median Market Cap $44.0B $44.0B $29.3B
Price/Earnings Ratio 33.1x 33.2x 25.6x
Price/Book Ratio 4.5x 4.5x 3.1x
Yield 0.7% 1.5%
Investor Shares 0.5%
Admiral Shares 0.6%
Institutional Shares 0.6%
Return on Equity 22.5% 22.5% 15.9%
Earnings Growth Rate 11.0% 11.0% 5.3%
Foreign Holdings 0.3% 0.3% 0.8%
Turnover Rate 44%+ -- --
Expense Ratio -- --
Investor Shares 0.23%
Admiral Shares 0.15%
Institutional Shares 0.10%
Short-Term Reserves 0% -- --
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX++ FUND INDEX**
- --------------------------------------------------------------------------------
R-Squared 1.00 1.00 0.94 1.00
Beta 1.00 1.00 0.99 1.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Auto & Transportation 2% 2 3%
Consumer Discretionary 18 18 15
Consumer Staples 8 8 7
Financial Services 11 11 23
Health Care 21 21 13
Integrated Oils 0 0 3
Other Energy 2 2 2
Materials & Processing 1 1 4
Producer Durables 4 4 4
Technology 27 27 15
Utilities 3 3 6
Other 3 3 5
- --------------------------------------------------------------------------------
*MSCI US Prime Market Growth Index.
**Wilshire 5000 Index.
+Includes activity related to a change in the fund's target index.
++S&P 500/Barra Growth Index through May 16, 2003; MSCI US Prime Market Growth
Index thereafter.
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
Pfizer Inc. 5.3%
(pharmaceuticals)
Microsoft Corp. 4.8
(software)
Intel Corp. 4.0
(electronics)
Cisco Systems, Inc. 3.2
(computer hardware)
International Business Machines Corp. 3.1
(computer hardware)
Johnson & Johnson 2.9
(pharmaceuticals)
Wal-Mart Stores, Inc. 2.9
(retail)
American International Group, Inc. 2.8
(insurance)
The Procter & Gamble Co. 2.3
(consumer products)
Home Depot, Inc. 1.6
(retail)
- --------------------------------------------------------------------------------
Top Ten 32.9%
- --------------------------------------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- --------------------------------------------------------------------------------
INVESTMENT FOCUS
Market Cap Large
Style Growth
- --------------------------------------------------------------------------------
8
VALUE INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Number of Stocks 421 419 5,216
Median Market Cap $44.3B $44.3B $29.3B
Price/Earnings Ratio 17.0x 17.0x 25.6x
Price/Book Ratio 2.4x 2.4x 3.1x
Yield 2.5% 1.5%
Investor Shares 2.3%
Admiral Shares 2.4%
Institutional Shares 2.5%
Return on Equity 19.2% 19.2% 15.9%
Earnings Growth Rate 5.1% 5.1% 5.3%
Foreign Holdings 0.0% 0.0% 0.8%
Turnover Rate 47%+ -- --
Expense Ratio -- --
Investor Shares 0.23%
Admiral Shares 0.15%
Institutional Shares 0.10%
Short-Term Reserves 0% -- --
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VOLATILITY MEASURES
SPLICED BROAD
FUND INDEX++ FUND INDEX**
- --------------------------------------------------------------------------------
R-Squared 1.00 1.00 0.94 1.00
Beta 1.00 1.00 0.99 1.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET BROAD
FUND INDEX* INDEX**
- --------------------------------------------------------------------------------
Auto & Transportation 2% 2% 3%
Consumer Discretionary 9 9 15
Consumer Staples 6 6 7
Financial Services 34 34 23
Health Care 6 6 13
Integrated Oils 8 8 3
Other Energy 2 2 2
Materials & Processing 5 5 4
Producer Durables 4 4 4
Technology 3 3 15
Utilities 11 11 6
Other 10 10 5
- --------------------------------------------------------------------------------
*MSCI US Prime Market Value Index.
**Wilshire 5000 Index.
+Includes activity related to a change in the fund's target index.
++S&P 500/Barra Value Index through May 16, 2003; MSCI US Prime Market Value
Index thereafter.
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
General Electric Co. 5.8%
(conglomerate)
ExxonMobil Corp. 5.1
(oil)
Citigroup, Inc. 4.6
(banking)
Bank of America Corp. 2.2
(banking)
Altria Group, Inc. 2.1
(tobacco)
Merck & Co., Inc. 1.9
(pharmaceuticals)
Wells Fargo & Co. 1.8
(banking)
Verizon Communications 1.8
(telecommunications)
ChevronTexaco Corp. 1.7
(oil)
SBC Communications Inc. 1.6
(telecommunications)
- --------------------------------------------------------------------------------
Top Ten 28.6%
- --------------------------------------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- --------------------------------------------------------------------------------
INVESTMENT FOCUS
Market Cap Large
Style Value
- --------------------------------------------------------------------------------
VISIT OUR WEBSITE AT VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION.
9
FUND PROFILES (CONTINUED)
TOTAL STOCK MARKET INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- --------------------------------------------------------------------------------
Number of Stocks 3,651 5,216
Median Market Cap $29.3B $29.3B
Price/Earnings Ratio 25.6x 25.6x
Price/Book Ratio 3.0x 3.1x
Yield 1.5%
Investor Shares 1.4%
Admiral Shares 1.5%
Institutional Shares 1.5%
VIPER Shares 1.5%
Return on Equity 15.9% 15.9%
Earnings Growth Rate 5.3% 5.3%
Foreign Holdings 0.8% 0.8%
Turnover Rate 2% --
Expense Ratio --
Investor Shares 0.20%
Admiral Shares 0.15%
Institutional Shares 0.08%
VIPER Shares 0.15%
Short-Term Reserves 0% --
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VOLATILITY MEASURES
TARGET
FUND INDEX*
- --------------------------------------------------------------------------------
R-Squared 1.00 1.00
Beta 1.00 1.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
TARGET
FUND INDEX*
- --------------------------------------------------------------------------------
Auto & Transportation 3% 3%
Consumer Discretionary 15 15
Consumer Staples 7 7
Financial Services 23 23
Health Care 13 13
Integrated Oils 3 3
Other Energy 2 2
Materials & Processing 4 4
Producer Durables 4 4
Technology 15 15
Utilities 6 6
Other 5 5
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
General Electric Co. 2.4%
(conglomerate)
Microsoft Corp. 2.3
(software)
ExxonMobil Corp. 2.1
(oil)
Pfizer Inc. 2.0
(pharmaceuticals)
Citigroup, Inc. 1.9
(banking)
Wal-Mart Stores, Inc. 1.7
(retail)
Intel Corp. 1.6
(electronics)
American International Group, Inc. 1.3
(insurance)
Cisco Systems, Inc. 1.3
(computer hardware)
International Business Machines Corp. 1.2
(computer hardware)
- --------------------------------------------------------------------------------
Top Ten 17.8%
- --------------------------------------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- --------------------------------------------------------------------------------
INVESTMENT FOCUS
Market Cap Large
Style Blend
- --------------------------------------------------------------------------------
*Wilshire 5000 Index.
10
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 a given market index. The index is assigned a
beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically
would have seen its share price rise or fall by 12% when the index rose or fell
by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see
definition below). The lower the R-squared, the less correlation there is
between the fund and the index, and the less reliable beta is as an indicator of
volatility.
- --------------------------------------------------------------------------------
Earnings Growth Rate. The average annual rate of growth in earnings over the
past five years for the stocks now in a fund.
- --------------------------------------------------------------------------------
Expense Ratio. The percentage of a fund's average net assets used to pay its
annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
- --------------------------------------------------------------------------------
Foreign Holdings. The percentage of a fund's equity assets represented by stocks
or depositary receipts of companies based outside the United States.
- --------------------------------------------------------------------------------
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 a given index. If a
fund's total returns were precisely synchronized with an index's returns, its
R-squared would be 1.00. If the fund's returns bore no relationship to the
index's returns, its R-squared would be 0.
- --------------------------------------------------------------------------------
Return on Equity. The annual average rate of return generated by a company
during the past five years for each dollar of shareholder's equity (net income
divided by shareholder's equity). For a fund, the weighted average return on
equity for the companies whose stocks it holds.
- --------------------------------------------------------------------------------
Short-Term Reserves. The percentage of a fund invested in highly liquid,
short-term securities that can be readily converted to cash.
- --------------------------------------------------------------------------------
Turnover Rate. An indication of the fund's trading activity. Funds with high
turnover rates incur higher transaction costs and may be more likely to
distribute capital gains (which may be taxable to investors).
- --------------------------------------------------------------------------------
Yield. A snapshot of a fund's income from interest and dividends. The yield,
expressed as a percentage of the fund's net asset value, is based on income
earned over the past 30 days and is annualized, or projected forward for the
coming year. The index yield is based on the current annualized rate of income
provided by securities in the index.
- --------------------------------------------------------------------------------
11
PERFORMANCE SUMMARIES AS OF 12/31/2003
All of the returns in this report represent past performance, which cannot be
used to predict future returns that may be achieved by the funds. Note, too,
that both share price and return can fluctuate widely. An investor's shares,
when redeemed, could be worth more or less than their original cost. The returns
shown do not reflect taxes that a shareholder would pay on fund distributions or
on the redemption of fund shares.
GROWTH INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003
GROWTH INDEX WILSHIRE SPLICED GROWTH AVERAGE LARGE-CAP
FUND 5000 INDEX GROWTH FUND
199312 10000 10000 10000 10000
199403 9554 9627 9568 9620
199406 9541 9552 9560 9309
199409 10224 10071 10243 9858
199412 10283 9994 10313 9781
199503 11284 10896 11326 10510
199506 12449 11913 12497 11677
199509 13438 13002 13489 12698
199512 14198 13636 14246 12985
199603 14806 14402 14862 13676
199606 15820 15037 15904 14329
199609 16375 15462 16464 14858
199612 17568 16528 17660 15652
199703 18190 16635 18291 15538
199706 21869 19445 22001 18303
199709 23144 21342 23293 19994
199712 23953 21700 24112 20034
199803 27834 24578 28032 23027
199806 29453 25057 29674 24245
199809 27328 22043 27525 21618
199812 34062 26785 34276 27658
199903 36414 27796 36635 29990
199906 37834 29965 38039 30927
199909 36502 27983 36711 29803
199912 43858 33095 43959 38193
200003 45625 34358 45765 41411
200006 44980 32817 45094 39077
200009 41047 32873 41132 38842
200012 34118 29490 34253 31987
200103 28147 25849 28288 25844
200106 30316 27782 30470 27076
200109 26297 23364 26447 21841
200112 29707 26254 29892 24646
200203 29448 26506 29654 24312
200206 24649 23164 24833 20164
200209 21181 19270 21326 16999
200212 22673 20777 22841 17590
200303 22467 20136 22652 17736
200306 25067 23459 25256 20010
200309 25878 24329 26087 20594
200312 28566 27351 28803 22339
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
-------------------------------------FINAL VALUE
ONE FIVE TEN OF A $10,000
YEAR YEARS YEARS INVESTMENT
- --------------------------------------------------------------------------------
Growth Index Fund Investor Shares* 25.92% -3.47% 11.07% $28,566
Wilshire 5000 Index 31.64 0.42 10.59 27,351
Spliced Growth Index** 26.10 -3.42 11.16 28,803
Average Large-Cap Growth FundY 27.00 -4.18 8.37 22,339
- --------------------------------------------------------------------------------
FINAL VALUE
ONE SINCE OF A $250,000
YEAR INCEPTION++ INVESTMENT
- --------------------------------------------------------------------------------
Growth Index Fund Admiral Shares 26.03% -7.82% $193,739
Spliced Growth Index** 26.10 -7.70 194,501
- --------------------------------------------------------------------------------
FINAL VALUE OF
ONE FIVE SINCE A $10,000,000
YEAR YEARS INCEPTION++ INVESTMENT
- --------------------------------------------------------------------------------
Growth Index Fund
Institutional Shares 26.09% -3.36% 0.32% $10,183,490
Spliced Growth Index** 26.10 -3.42 0.24 10,134,525
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003
FISCAL GROWTH INDEX FUND SPLICED GROWTH
YEAR INVESTOR SHARES INDEX
1994 2.9 3.1
1995 38.1 38.1
1996 23.7 24
1997 36.3 36.5
1998 42.2 42.2
1999 28.8 28.2
2000 -22.2 -22.1
2001 -12.9 -12.7
2002 -23.7 -23.6
2003 25.9 26.1
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**S&P 500/Barra Growth Index through May 16, 2003, MSCI US Prime Market Growth
Index thereafter.
+Derived from data provided by Lipper Inc.
++Inception dates are November 13, 2000, for the Admiral Shares and May 14,
1998, for the Institutional Shares.
Note: See Financial Highlights tables on pages 34 and 35 for dividend and
capital gains information.
12
VALUE INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003
GROWTH INDEX WILSHIRE SPLICED GROWTH AVERAGE LARGE-CAP
FUND 5000 INDEX GROWTH FUND
199312 10000 10000 10000 10000
199403 9668 9627 9673 9651
199406 9762 9552 9762 9653
199409 10006 10071 10012 10049
199412 9927 9994 9936 9977
199503 10884 10896 10894 10818
199506 11827 11913 11842 11729
199509 12775 13002 12784 12572
199512 13594 13636 13612 13268
199603 14455 14402 14482 13970
199606 14755 15037 14778 14422
199609 15132 15462 15169 14852
199612 16565 16528 16606 16081
199703 16843 16635 16898 16369
199706 19280 19445 19344 18810
199709 21038 21342 21116 20283
199712 21497 21700 21585 20611
199803 23972 24578 24078 23011
199806 24098 25057 24203 23162
199809 20974 22043 21077 20741
199812 24644 26785 24752 24569
199903 25330 27796 25457 25204
199906 28054 29965 28207 27193
199909 25461 27983 25604 25031
199912 27742 33095 27901 27328
200003 27788 34358 27966 27566
200006 26598 32817 26765 26940
200009 28938 32873 29124 27684
200012 29429 29490 29598 27689
200103 27493 25849 27666 26491
200106 28706 27782 28885 27985
200109 24038 23364 24204 24273
200112 25934 26254 26132 25839
200203 26277 26506 26478 26859
200206 23468 23164 23660 24227
200209 18668 19270 18819 19627
200212 20512 20777 20683 20684
200303 19362 20136 19543 19999
200306 23286 23459 23475 23648
200309 23809 24329 24023 24061
200312 27126 27351 27380 26532
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
-------------------------------------FINAL VALUE
ONE FIVE TEN OF A $10,000
YEAR YEARS YEARS INVESTMENT
- --------------------------------------------------------------------------------
Value Index Fund Investor Shares* 32.25% 1.94% 10.49% $27,126
Wilshire 5000 Index 31.64 0.42 10.59 27,351
Spliced Value Index** 32.38 2.04 10.60 27,380
Average Large-Cap Value Fund+ 28.27 1.55 10.25 26,532
- --------------------------------------------------------------------------------
FINAL VALUE
ONE SINCE OF A $250,000
YEAR INCEPTION++ INVESTMENT
- --------------------------------------------------------------------------------
Value Index Fund Admiral Shares 32.36% -1.54% $238,142
Spliced Value Index** 32.38 -1.51 238,383
- --------------------------------------------------------------------------------
FINAL VALUE OF
ONE FIVE SINCE A $10,000,000
YEAR YEARS INCEPTION++ INVESTMENT
- --------------------------------------------------------------------------------
Value Index Fund
Institutional Shares 32.42% 2.05% 1.99% $11,146,886
Spliced Value Index** 32.38 2.04 1.97 11,130,681
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003
FISCAL VALUE INDEX FUND SPLICED VALUE
YEAR INVESTOR SHARES INDEX
1994 -0.7 -0.6
1995 36.9 37
1996 21.9 22
1997 29.8 30
1998 14.6 14.7
1999 12.6 12.7
2000 6.1 6.1
2001 -11.9 -11.7
2002 -20.9 -20.9
2003 32.2 32.4
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**S&P 500/Barra Value Index through May 16, 2003, MSCI US Prime Market Value
Index thereafter.
+Derived from data provided by Lipper Inc.
++Inception dates are November 13, 2000, for the Admiral Shares and July 2,
1998, for the Institutional Shares.
Note: See Financial Highlights tables on pages 36 and 37 for dividend and
capital gains information.
13
PERFORMANCE SUMMARIES (CONTINUED)
TOTAL STOCK MARKET INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003
TOTAL STOCK MARKET WILSHIRE 5000 AVERAGE MULIT-CAP
INDEX FUND INVESTOR SHARES INDEX CORE FUND
199312 10000 10000 10000
199403 9629 9627 9700
199406 9542 9552 9526
199409 10079 10071 10003
199412 9983 9994 9841
199503 10897 10896 10612
199506 11903 11913 11510
199509 12967 13002 12431
199512 13556 13636 12904
199603 14303 14402 13665
199606 14911 15037 14176
199609 15330 15462 14689
199612 16397 16528 15586
199703 16504 16635 15630
199706 19278 19445 17919
199709 21158 21342 19745
199712 21479 21700 19637
199803 24331 24578 22162
199806 24779 25057 22289
199809 21789 22043 19335
199812 26476 26785 23181
199903 27458 27796 23784
199906 29621 29965 25806
199909 27719 27983 24225
199912 32781 33095 28386
200003 34041 34358 29851
200006 32546 32817 28784
200009 32635 32873 29452
200012 29315 29490 27546
200103 25719 25849 23791
200106 27640 27782 25120
200109 23238 23364 21641
200112 26100 26254 24546
200203 26354 26506 24008
200206 23009 23164 20774
200209 19134 19270 17839
200212 20629 20777 19207
200303 19981 20136 18143
200306 23270 23459 20687
200309 24108 24329 22095
200312 27097 27351 24948
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
-------------------------------------FINAL VALUE
ONE FIVE TEN OF A $10,000
YEAR YEARS YEARS INVESTMENT
- --------------------------------------------------------------------------------
Total Stock Market Index Fund
Investor Shares* 31.35% 0.46% 10.48% $27,097
Wilshire 5000 Index 31.64 0.42 10.59 27,351
Average Multi-Cap Core Fund** 29.89 1.48 9.57 24,948
- --------------------------------------------------------------------------------
FINAL VALUE
ONE SINCE OF A $250,000
YEAR INCEPTION+ INVESTMENT
- --------------------------------------------------------------------------------
Total Stock Market Index Fund
Admiral Shares 31.42% -3.24% $225,522
Wilshire 5000 Index 31.64 -3.19 225,863
- --------------------------------------------------------------------------------
FINAL VALUE OF
ONE FIVE SINCE A $10,000,000
YEAR YEARS INCEPTION+ INVESTMENT
- --------------------------------------------------------------------------------
Total Stock Market Index Fund
Institutional Shares 31.55% 0.58% 5.08% $13,791,530
Wilshire 5000 Index 31.64 0.42 4.99 13,711,047
- --------------------------------------------------------------------------------
FINAL VALUE
ONE SINCE OF A $10,000
YEAR INCEPTION+ INVESTMENT
- --------------------------------------------------------------------------------
Total Stock Market Index Fund
VIPER Shares Market Price 31.17% -2.53% $9,353
Total Stock Market Index Fund
VIPER Shares Net Asset Value 31.43 -2.46 9,372
Wilshire 5000 Index 31.64 -2.38 9,392
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CUMULATIVE RETURNS: VIPER SHARES MAY 24, 2001++-DECEMBER 31, 2003
Cumulative
One Since
Year Inception
- --------------------------------------------------------------------------------
Total Stock Market Index Fund
VIPER Shares Market Price 31.17% -6.47%
Total Stock Market Index Fund
VIPER Shares Net Asset Value 31.43 -6.28
Wilshire 5000 Index 31.64 -6.08
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
**Derived from data provided by Lipper Inc.
+Inception dates are November 13, 2000, for the Admiral Shares, July 7, 1997,
for the Institutional Shares and May 24, 2001, for the VIPER Shares.
++Inception.
Note: See Financial Highlights tables on pages 37-39 for dividend and capital
gains information.
14
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003
FISCAL TOTAL STOCK MARKET INDEX FUND WILSHIRE 5000
YEAR INVESTOR SHARES INDEX
1994 -0.2 -0.1
1995 35.8 36.4
1996 21 21.2
1997 31 31.3
1998 23.3 23.4
1999 23.8 23.6
2000 -10.6 -10.9
2001 -11 -11
2002 -21 -20.9
2003 31.4 31.6
- --------------------------------------------------------------------------------
15
YOUR FUND'S AFTER-TAX RETURNS
This table presents returns for your fund both before and after taxes. The
after-tax returns are shown in two ways: (1) assuming that an investor owned the
fund during the entire period and paid taxes on the fund's distributions, and
(2) assuming that an investor paid taxes on the fund's distributions and sold
all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital
gains tax rates in effect at the times of the distributions and the hypothetical
sales. State and local taxes were not considered. After-tax returns reflect the
reduced tax rates on ordinary income (including qualified dividend income) and
short-term capital gains that became effective as of January 1, 2003, and on
long-term capital gains realized on or after May 6, 2003. Qualified dividend
income is based on calendar year 2003. (In the example, returns after the sale
of fund shares may be higher than those assuming no sale. This occurs when the
sale would have produced a capital loss. The calculation assumes that the
investor received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share
classes will differ. Please note that your actual after-tax returns will depend
on your tax situation and may differ from those shown. Also note that if you own
the fund in a tax-deferred account, such as an individual retirement account or
a 401(k) plan, this information does not apply to you. Such accounts are not
subject to current taxes.
Finally, keep in mind that a fund's performance--whether before or after
taxes--does not indicate how it will perform in the future.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003
ONE YEAR FIVE YEARS TEN YEARS
----------------------------------
GROWTH INDEX FUND INVESTOR SHARES*
Returns Before Taxes 25.92% -3.47% 11.07%
Returns After Taxes on Distributions 25.77 -3.84 10.48
Returns After Taxes on Distributions
and Sale of Fund Shares 17.01 -3.07 9.55
- --------------------------------------------------------------------------------
VALUE INDEX FUND INVESTOR SHARES*
Returns Before Taxes 32.25% 1.94% 10.49%
Returns After Taxes on Distributions 31.81 0.39 8.73
Returns After Taxes on Distributions
and Sale of Fund Shares 21.44 0.90 8.29
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES*
Returns Before Taxes 31.35% 0.46% 10.48%
Returns After Taxes on Distributions 31.07% -0.03 9.72
Returns After Taxes on Distributions
and Sale of Fund Shares 20.69 0.13 8.85
- --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee
applied on balances under $10,000.
16
ABOUT YOUR FUND'S EXPENSES
All mutual funds have operating expenses. These expenses include costs for
portfolio management, administrative services, and shareholder reports (like
this one), among others. Operating expenses, which are deducted from a fund's
gross income, directly reduce the investment return of the fund. A fund's
expenses are expressed as a percentage of its net assets. This figure is known
as the expense ratio.
a hypothetical example
We believe it is important for you to understand the impact of costs on your
investment. The following example illustrates the costs that you would incur
over a 12-month period if you invested $10,000 in your fund, using each fund's
actual return and operating expenses for the fiscal year ended December 31,
2003. The cost in dollars is calculated by applying the expense ratio to the
average balance in the hypothetical account. For comparative purposes, we also
list the average expense ratios for the funds' peer groups, which are derived
from data provided by Lipper Inc.
- --------------------------------------------------------------------------------
COST OF $10,000 FUND PEER GROUP*
INVESTMENT IN FUND EXPENSE RATIO EXPENSE RATIO
- --------------------------------------------------------------------------------
GROWTH INDEX FUND
Investor Shares $26 0.23% 1.57%
Admiral Shares 17 0.15 --
Institutional Shares 11 0.10 --
VALUE INDEX FUND
Investor Shares 27 0.23 1.41
Admiral Shares 17 0.15 --
Institutional Shares 12 0.10 --
TOTAL STOCK MARKET INDEX FUND
Investor Shares 23 0.20 1.38
Admiral Shares 17 0.15 --
Institutional Shares 9 0.08 --
VIPER Shares 17 0.15 --
- --------------------------------------------------------------------------------
*Peer groups are: for the Growth Index Fund, the Average Large-Cap Growth Fund;
for the Value Index Fund, the Average Large-Cap Value Fund; for the Total Stock
Market Index Fund, the Average Multi-Cap Core Fund. The calculations assume no
shares were sold. Your actual costs may have been higher or lower, depending on
the amount of your investment and your holding period. Peer-group ratios capture
data through year-end 2002.
You can find more information about the funds' expenses, including annual
expense ratios for the past five years, in the Financial Statements section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the funds' prospectuses. The prospectus
presents hypothetical shareholder costs over various time periods based upon a
$10,000 investment and a return of 5% a year. This standardized example, which
appears in all mutual fund prospectuses, may be useful to you in comparing the
costs of investing in different funds.
17
FINANCIAL STATEMENTS AS OF 12/31/2003
The Statement of Net Assets--an integral part of the Financial Statements for
the Vanguard Total Stock Market Index Fund--is included as an insert to this
report. The Growth Index and Value Index Funds' Statements of Net Assets are
provided below.
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. Because all income and any realized gains
must be distributed to shareholders each year, the bulk of net assets consists
of Paid-in Capital (money invested by shareholders). The amounts shown for
Undistributed Net Investment Income and Accumulated Net Realized Gains usually
approximate the sums the fund had available to distribute to shareholders as
income dividends or capital gains as of the statement date, but may differ
because certain investments or transactions may be treated differently for
financial statement and tax purposes. Any Accumulated Net Realized Losses, and
any cumulative excess of distributions over net income or net realized gains,
will appear as negative balances. Unrealized Appreciation (Depreciation) is the
difference between the market value of the fund's investments and their cost,
and reflects the gains (losses) that would be realized if the fund were to sell
all of its investments at their statement-date values.
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)
- --------------------------------------------------------------------------------
Pfizer Inc. 14,068,380 $ 497,036
Microsoft Corp. 16,555,839 455,948
Intel Corp. 11,721,662 377,438
* Cisco Systems, Inc. 12,532,238 304,408
International Business
Machines Corp. 3,126,164 289,733
Johnson & Johnson 5,362,770 277,041
Wal-Mart Stores, Inc. 5,131,374 272,219
American International
Group, Inc. 4,006,734 265,566
The Procter & Gamble Co. 2,225,614 222,294
Home Depot, Inc. 4,277,446 151,807
PepsiCo, Inc. 3,117,873 145,355
* Amgen, Inc. 2,324,061 143,627
* Dell Inc. 4,154,485 141,086
The Coca-Cola Co. 2,597,875 131,842
Eli Lilly & Co. 1,825,496 128,387
3M Co. 1,344,020 114,282
Medtronic, Inc. 2,198,461 106,867
American Express Co. 2,092,991 100,945
* Oracle Corp. 7,053,107 93,101
Texas Instruments, Inc. 3,128,100 91,904
Anheuser-Busch Cos., Inc. 1,493,859 78,697
QUALCOMM Inc. 1,429,053 77,069
Lowe's Cos., Inc. 1,344,918 74,495
United Parcel Service, Inc. 957,650 71,393
Walgreen Co. 1,851,899 67,372
* Applied Materials, Inc. 2,994,538 67,227
* Comcast Corp. Special Class A 2,114,316 66,136
Gillette Co. 1,751,197 64,321
UnitedHealth Group Inc. 1,077,356 62,681
Abbott Laboratories 1,341,055 62,493
Target Corp. 1,563,681 60,045
* Comcast Corp. Class A 1,798,622 59,121
Schlumberger Ltd. 1,052,710 57,604
* EMC Corp. 4,351,838 56,226
First Data Corp. 1,337,490 54,957
* eBay Inc. 800,316 51,692
Fifth Third Bancorp 871,936 51,531
Cardinal Health, Inc. 806,720 49,339
Colgate-Palmolive Co. 972,161 48,657
* Nextel Communications, Inc. 1,710,273 47,990
Fannie Mae 615,895 46,229
* Yahoo! Inc. 996,746 45,023
Clear Channel
Communications, Inc. 944,451 44,229
18
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Sysco Corp. 1,173,819 $ 43,701
Automatic Data Processing, Inc. 1,074,943 42,579
Illinois Tool Works, Inc. 500,669 42,011
* Boston Scientific Corp. 1,115,672 41,012
* Forest Laboratories, Inc. 659,468 40,755
* Genentech, Inc. 421,100 39,402
* Cendant Corp. 1,740,149 38,753
Newmont Mining Corp.
(Holding Co.) 783,198 38,071
* Berkshire Hathaway Inc. Class B 13,083 36,829
The Boeing Co. 845,800 35,642
MBNA Corp. 1,425,561 35,425
HCA Inc. 821,380 35,286
FedEx Corp. 512,432 34,589
Guidant Corp. 562,169 33,843
* Liberty Media Corp. 2,844,685 33,823
AFLAC Inc. 928,821 33,605
* AT&T Wireless Services Inc. 4,166,975 33,294
State Street Corp. 601,435 31,323
Progressive Corp. of Ohio 372,930 31,173
SLM Corp. 814,742 30,699
* Zimmer Holdings, Inc. 434,685 30,602
* Costco Wholesale Corp. 823,008 30,599
Analog Devices, Inc. 663,750 30,300
Omnicom Group Inc. 343,441 29,993
Motorola, Inc. 2,102,520 29,582
Maxim Integrated Products, Inc. 584,572 29,112
Avon Products, Inc. 426,872 28,810
* InterActiveCorp 841,316 28,546
* Veritas Software Corp. 766,500 28,483
* Amazon.com, Inc. 536,367 28,234
* WellPoint Health Networks Inc.
Class A 274,708 26,644
The Gap, Inc. 1,130,043 26,228
Harley-Davidson, Inc. 546,919 25,995
Best Buy Co., Inc. 495,227 25,871
Freddie Mac 434,700 25,352
* Electronic Arts Inc. 530,092 25,328
Capital One Financial Corp. 410,700 25,172
* Kohl's Corp. 552,095 24,811
* Corning, Inc. 2,337,526 24,380
The McGraw-Hill Cos., Inc. 345,519 24,159
* Staples, Inc. 882,658 24,097
Linear Technology Corp. 565,620 23,796
* Xilinx, Inc. 613,650 23,773
* Starbucks Corp. 704,151 23,279
* Bed Bath & Beyond, Inc. 532,303 23,075
Paychex, Inc. 610,453 22,709
International Game Technology 623,512 22,259
Marsh & McLennan Cos., Inc. 457,132 21,892
Charles Schwab Corp. 1,835,308 21,730
* Biogen Idec Inc. 586,610 21,576
* Lucent Technologies, Inc. 7,517,449 21,350
* Gilead Sciences, Inc. 362,499 21,076
* Hughes Electronics Corp. 1,259,026 20,837
Southwest Airlines Co. 1,273,208 20,550
* KLA-Tencor Corp. 349,051 20,479
TJX Cos., Inc. 915,730 20,192
Stryker Corp. 233,974 19,890
* Genzyme Corp.-General Division 399,800 19,726
* Xerox Corp. 1,428,890 19,719
Baker Hughes, Inc. 604,769 19,449
Danaher Corp. 207,600 19,047
* St. Jude Medical, Inc. 310,380 19,042
* Symantec Corp. 546,552 18,938
* Anthem, Inc. 250,503 18,788
* Intuit, Inc. 351,437 18,595
* Yum! Brands, Inc. 530,348 18,244
* Lexmark International, Inc. 231,469 18,203
Allergan, Inc. 235,934 18,122
* Sun Microsystems, Inc. 3,779,792 16,971
H & R Block, Inc. 306,050 16,946
Adobe Systems, Inc. 419,896 16,502
McKesson Corp. 498,600 16,035
* Accenture Ltd. 607,500 15,989
Biomet, Inc. 438,499 15,966
Waste Management, Inc. 535,100 15,839
* Altera Corp. 688,553 15,630
Mattel, Inc. 793,126 15,284
* EchoStar Communications Corp.
Class A 442,600 15,048
* Apollo Group, Inc. Class A 220,851 15,018
Wm. Wrigley Jr. Co. 265,823 14,942
Computer Associates
International, Inc. 543,900 14,870
* Agilent Technologies, Inc. 502,700 14,699
* Univision Communications Inc. 365,939 14,524
* SunGard Data Systems, Inc. 515,710 14,290
* Flextronics International Ltd. 941,124 13,966
* Broadcom Corp. 408,602 13,929
Moody's Corp. 229,216 13,879
* Fiserv, Inc. 348,508 13,770
* PeopleSoft, Inc. 603,600 13,762
* Micron Technology, Inc. 991,800 13,360
* National Semiconductor Corp. 332,152 13,090
* Concord EFS, Inc. 879,547 13,052
* Cox Communications, Inc.
Class A 374,900 12,915
New York Times Co. Class A 268,543 12,834
* Affiliated Computer Services, Inc.
Class A 228,199 12,428
* Coach, Inc. 328,298 12,393
19
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Microchip Technology, Inc. 369,399 $ 12,323
Mylan Laboratories, Inc. 484,948 12,250
* Phelps Dodge Corp. 160,979 12,249
* Caremark Rx, Inc. 480,551 12,172
* Network Appliance, Inc. 584,725 12,004
Tiffany & Co. 263,231 11,898
Synovus Financial Corp. 408,517 11,814
* Siebel Systems, Inc. 845,010 11,720
* Sanmina-SCI Corp. 918,445 11,582
Cintas Corp. 230,539 11,557
* Chiron Corp. 201,470 11,482
* Novellus Systems, Inc. 272,500 11,459
* MedImmune Inc. 449,802 11,425
* American Standard Cos., Inc. 111,015 11,179
ITT Industries, Inc. 150,221 11,148
Hilton Hotels Corp. 648,301 11,105
* Nabors Industries, Inc. 264,678 10,984
* AutoZone Inc. 128,488 10,948
* Medco Health Solutions, Inc. 318,144 10,814
Dollar General Corp. 514,049 10,790
IMS Health, Inc. 432,106 10,742
* Quest Diagnostics, Inc. 142,620 10,427
Health Management Associates
Class A 433,389 10,401
* Juniper Networks, Inc. 552,500 10,321
* BJ Services Co. 286,053 10,269
* Fox Entertainment Group, Inc.
Class A 346,900 10,112
Family Dollar Stores, Inc. 279,667 10,034
Lennar Corp. Class A 103,799 9,965
Harrah's Entertainment, Inc. 198,914 9,900
Rockwell Collins, Inc. 324,048 9,731
* Laboratory Corp. of
America Holdings 261,750 9,672
Ecolab, Inc. 352,034 9,635
Freeport-McMoRan Copper &
Gold, Inc. Class B 225,231 9,489
* Cablevision Systems NY Group
Class A 396,600 9,276
The Clorox Co. 190,907 9,270
* Apple Computer, Inc. 424,183 9,065
* Synopsys, Inc. 266,708 9,004
XTO Energy, Inc. 317,799 8,994
* L-3 Communications
Holdings, Inc. 174,199 8,947
* Solectron Corp. 1,499,405 8,861
* QLogic Corp. 169,601 8,751
RadioShack Corp. 284,274 8,722
Legg Mason Inc. 112,899 8,714
* Teradyne, Inc. 340,958 8,677
EOG Resources, Inc. 186,828 8,626
* SanDisk Corp. 140,389 8,583
* Weatherford International Ltd. 237,299 8,543
* Noble Corp. 238,499 8,534
* Varian Medical Systems, Inc. 123,199 8,513
* Watson Pharmaceuticals, Inc. 185,000 8,510
Harman International
Industries, Inc. 110,600 8,182
* SPX Corp. 138,483 8,144
* Jabil Circuit, Inc. 287,468 8,135
* BEA Systems, Inc. 653,800 8,042
* JDS Uniphase Corp. 2,190,500 7,995
* Sealed Air Corp. 145,768 7,892
Washington Post Co. Class B 9,879 7,818
Smurfit-Stone Container Corp. 419,988 7,799
Applera Corp.-
Applied Biosystems Group 375,838 7,784
Estee Lauder Cos. Class A 196,560 7,717
* Mercury Interactive Corp. 155,230 7,550
* Express Scripts Inc. 113,149 7,516
* AdvancePCS 142,699 7,515
* Smith International, Inc. 180,899 7,511
* Barr Pharmaceuticals Inc. 96,543 7,429
New York Community
Bancorp, Inc. 194,964 7,418
Omnicare, Inc. 183,099 7,395
* LAM Research Corp. 228,299 7,374
* Waters Corp. 222,115 7,365
* Sprint PCS 1,308,374 7,353
* Qwest Communications
International Inc. 1,692,482 7,312
Dover Corp. 183,100 7,278
* Whole Foods Market, Inc. 107,799 7,237
Ross Stores, Inc. 273,657 7,233
Tribune Co. 138,900 7,167
* Career Education Corp. 178,498 7,152
Expeditors International of
Washington, Inc. 188,399 7,095
Franklin Resources Corp. 136,100 7,085
Symbol Technologies, Inc. 417,783 7,056
ENSCO International, Inc. 257,199 6,988
Sigma-Aldrich Corp. 121,344 6,938
E.W. Scripps Co. Class A 73,250 6,896
* Health Net Inc. 209,999 6,867
* Robert Half International, Inc. 292,508 6,827
* Pactiv Corp. 284,621 6,802
Commerce Bancorp, Inc. 129,099 6,801
* Mohawk Industries, Inc. 95,899 6,765
* The Dun & Bradstreet Corp. 133,199 6,755
McCormick & Co., Inc. 224,009 6,743
* VeriSign, Inc. 411,855 6,713
Manpower Inc. 140,499 6,615
20
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Celgene Corp. 145,800 $ 6,564
* Oxford Health Plans, Inc. 149,899 6,521
* Pioneer Natural Resources Co. 202,299 6,459
CDW Corp. 111,699 6,452
* Citizens Communications Co. 513,736 6,381
* Agere Systems Inc. Class A 2,092,000 6,381
* IVAX Corp. 265,199 6,333
* Citrix Systems, Inc. 296,263 6,284
Hershey Foods Corp. 81,510 6,275
* Williams-Sonoma, Inc. 179,399 6,238
Equifax, Inc. 253,583 6,213
T. Rowe Price Group Inc. 130,028 6,165
PETsMART, Inc. 257,361 6,125
* Advanced Micro Devices, Inc. 407,506 6,072
* LSI Logic Corp. 684,379 6,070
* NVIDIA Corp. 260,150 6,048
* Comverse Technology, Inc. 343,435 6,041
Centex Corp. 55,819 6,009
* ChoicePoint Inc. 157,599 6,003
White Mountains Insurance
Group Inc. 13,014 5,986
TCF Financial Corp. 116,051 5,959
Darden Restaurants Inc. 282,072 5,935
* Coventry Health Care Inc. 91,851 5,923
* Dollar Tree Stores, Inc. 196,799 5,916
* Patterson Dental Co. 92,199 5,915
* Interpublic Group of Cos., Inc. 374,800 5,847
Intersil Corp. 234,699 5,832
* Brinker International, Inc. 175,499 5,820
Fastenal Co. 116,099 5,798
Ball Corp. 97,095 5,784
* CarMax, Inc. 186,999 5,784
DENTSPLY International Inc. 127,997 5,782
Gentex Corp. 130,808 5,776
* Cadence Design Systems, Inc. 318,897 5,734
AmerisourceBergen Corp. 101,178 5,681
* Marvell Technology Group Ltd. 148,598 5,636
* Ceridian Corp. 267,699 5,606
Beckman Coulter, Inc. 109,999 5,591
Manor Care, Inc. 161,022 5,567
* Lamar Advertising Co. Class A 148,440 5,540
* UTStarcom, Inc. 148,778 5,515
* Constellation Brands, Inc.
Class A 166,899 5,496
* Chico's FAS, Inc. 147,999 5,469
Alberto-Culver Co. Class B 84,890 5,355
Michaels Stores, Inc. 121,099 5,353
* Ameritrade Holding Corp. 380,100 5,348
Seagate Technology 282,800 5,345
Doral Financial Corp. 165,337 5,337
* Lincare Holdings, Inc. 177,199 5,321
Arthur J. Gallagher & Co. 163,299 5,306
Universal Health Services
Class B 97,799 5,254
Jones Apparel Group, Inc. 148,306 5,225
* NVR, Inc. 10,960 5,107
* MGM Mirage, Inc. 134,950 5,075
Outback Steakhouse 114,799 5,075
* Avaya Inc. 391,559 5,067
* Henry Schein, Inc. 74,479 5,033
* DST Systems, Inc. 119,999 5,011
* Zebra Technologies Corp.
Class A 75,239 4,994
* Westwood One, Inc. 144,899 4,957
Dial Corp. 172,999 4,925
C.H. Robinson Worldwide, Inc. 129,652 4,915
* Iron Mountain, Inc. 123,009 4,864
* Cephalon, Inc. 100,100 4,846
Tektronix, Inc. 153,066 4,837
Equitable Resources, Inc. 112,199 4,816
Garmin Ltd. 87,660 4,776
* AES Corp. 503,947 4,757
Avery Dennison Corp. 84,911 4,757
Pogo Producing Co. 97,410 4,705
* WebMD Corp. 522,826 4,700
Aramark Corp. Class B 169,179 4,639
Hudson City Bancorp, Inc. 120,730 4,609
* Cooper Cameron Corp. 98,799 4,604
Diebold, Inc. 85,000 4,579
* Patterson-UTI Energy, Inc. 138,599 4,563
* Millennium Pharmaceuticals, Inc. 241,999 4,518
Investors Financial
Services Corp. 117,499 4,513
* Convergys Corp. 257,497 4,496
* Fairchild Semiconductor
International, Inc. 179,899 4,492
* Allied Waste Industries, Inc. 321,571 4,463
* Unisys Corp. 296,861 4,408
* SICOR, Inc. 160,899 4,376
* Level 3 Communications, Inc. 766,557 4,369
Dow Jones & Co., Inc. 87,541 4,364
SEI Corp. 141,899 4,324
* Jacobs Engineering Group Inc. 89,999 4,321
Federated Investors, Inc. 146,918 4,314
* Abercrombie & Fitch Co. 174,399 4,309
* ADC Telecommunications, Inc. 1,450,884 4,309
Noble Energy, Inc. 96,699 4,296
Fair, Isaac, Inc. 86,899 4,272
* Network Associates, Inc. 281,999 4,241
* Corinthian Colleges, Inc. 74,998 4,167
* Alliant Techsystems, Inc. 69,509 4,015
* Emulex Corp. 148,500 3,962
21
- --------------------------------------------------------------------------------
MARKET
VALUE*
GROWTH INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Rowan Cos., Inc. 169,284 $ 3,922
* The Cheesecake Factory 87,999 3,875
* Pride International, Inc. 207,099 3,860
* BMC Software, Inc. 205,396 3,831
* Apogent Technologies Inc. 165,899 3,822
Campbell Soup Co. 142,465 3,818
* Entercom Communications Corp. 71,999 3,813
C.R. Bard, Inc. 46,682 3,793
* Millipore Corp. 87,747 3,778
* Advance Auto Parts, Inc. 46,340 3,772
American Power Conversion Corp. 151,234 3,698
Scientific-Atlanta, Inc. 134,300 3,666
D. R. Horton, Inc. 84,299 3,647
Eaton Vance Corp. 99,299 3,638
Molex, Inc. 103,773 3,621
* Rent-A-Center, Inc. 118,550 3,542
Pier 1 Imports Inc. 161,599 3,533
* Amphenol Corp. 53,873 3,444
Brown & Brown, Inc. 104,899 3,421
Murphy Oil Corp. 52,289 3,415
* JetBlue Airways Corp. 126,750 3,361
* Energizer Holdings, Inc. 89,199 3,350
* First Health Group Corp. 171,100 3,330
Meredith Corp. 68,056 3,322
* NCR Corp. 85,477 3,317
* BISYS Group, Inc. 216,099 3,216
* RF Micro Devices, Inc. 315,799 3,174
* King Pharmaceuticals, Inc. 206,479 3,151
Molex, Inc. Class A 105,400 3,095
* Krispy Kreme Doughnuts, Inc. 83,999 3,074
The St. Joe Co. 82,434 3,074
Pall Corp. 111,909 3,003
Everest Re Group, Ltd. 35,028 2,963
National Instruments Corp. 65,099 2,960
* Weight Watchers
International, Inc. 77,100 2,958
* Agere Systems Inc. Class B 946,800 2,746
* Pixar, Inc. 39,400 2,730
* Community Health Systems, Inc. 97,699 2,597
* Storage Technology Corp. 98,799 2,544
* CIENA Corp. 381,959 2,536
Harte-Hanks, Inc. 111,799 2,432
* CheckFree Corp. 84,099 2,325
* Metro-Goldwyn-Mayer Inc. 132,385 2,262
International Speedway Corp. 50,399 2,251
* Host Marriott Corp. REIT 181,142 2,232
* ICOS Corp. 53,601 2,213
Total System Services, Inc. 70,900 2,207
Polo Ralph Lauren Corp. 75,544 2,176
* National-Oilwell, Inc. 94,610 2,115
Mandalay Resort Group 47,224 2,112
* 99 Cents Only Stores 77,299 2,105
Hasbro, Inc. 98,892 2,104
Fluor Corp. 51,541 2,043
RenaissanceRe Holdings Ltd. 39,957 1,960
KB HOME 25,272 1,833
* Cox Radio, Inc. 71,501 1,804
BlackRock, Inc. 33,815 1,796
* Radio One, Inc. Class D 90,100 1,739
* Maxtor Corp. 151,113 1,677
Brown-Forman Corp. Class B 17,388 1,625
Packaging Corp. of America 73,343 1,603
* Hewitt Associates, Inc. 52,300 1,564
* Triad Hospitals, Inc. 45,200 1,504
Talbots Inc. 46,100 1,419
* Columbia Sportswear Co. 25,300 1,379
* International Steel Group, Inc. 35,300 1,375
* WellChoice Inc. 37,700 1,301
The McClatchy Co. Class A 17,793 1,224
Student Loan Corp. 7,233 1,056
* Radio One, Inc. 51,100 999
* Citadel Broadcasting Corp. 44,376 993
AVX Corp. 55,136 916
* CapitalSource Inc. 41,708 904
Nuveen Investments, Inc.
Class A 29,806 795
Regal Entertainment Group
Class A 30,508 626
News Corp. Ltd. Pfd. ADR 15,118 457
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $7,355,284) 9,455,889
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (0.1%)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
0.99%, 1/2/2004--Note E
(Cost $5,735) $5,735 5,735
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(Cost $7,361,019) 9,461,624
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
Other Assets--Note B 93,683
Liabilities--Note E (95,351)
--------
(1,668)
--------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $9,459,956
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
ADR--American Depositary Receipt.
REIT--Real Estate Investment Trust.
22
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $11,046,032
Overdistributed Net Investment Income (11,623)
Accumulated Net Realized Losses (3,675,058)
Unrealized Appreciation 2,100,605
- --------------------------------------------------------------------------------
NET ASSETS $9,459,956
================================================================================
Investor Shares--Net Assets
Applicable to 304,451,081 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $7,586,419
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $24.92
================================================================================
Admiral Shares--Net Assets
Applicable to 43,807,965 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $1,091,652
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $24.92
================================================================================
Institutional Shares--Net Assets
Applicable to 31,376,427 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $781,885
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $24.92
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
23
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)
- --------------------------------------------------------------------------------
General Electric Co. 7,869,600 $ 243,800
ExxonMobil Corp. 5,213,089 213,737
Citigroup, Inc. 4,045,838 196,385
Bank of America Corp. 1,173,931 94,419
Altria Group, Inc. 1,594,100 86,751
Merck & Co., Inc. 1,761,310 81,373
Wells Fargo & Co. 1,327,819 78,195
Verizon Communications 2,165,000 75,948
ChevronTexaco Corp. 839,407 72,516
SBC Communications Inc. 2,610,623 68,059
* Time Warner, Inc. 3,410,271 61,351
J.P. Morgan Chase & Co. 1,599,688 58,757
Viacom Inc. Class B 1,209,845 53,693
Hewlett-Packard Co. 2,275,218 52,262
Wachovia Corp. 1,046,382 48,751
U.S. Bancorp 1,513,040 45,058
Morgan Stanley 768,871 44,495
Wyeth 1,045,600 44,386
Bristol-Myers Squibb Co. 1,522,700 43,549
Tyco International Ltd. 1,568,892 41,576
BellSouth Corp. 1,451,061 41,065
Merrill Lynch & Co., Inc. 697,664 40,918
Bank One Corp. 885,017 40,348
The Walt Disney Co. 1,605,603 37,459
Fannie Mae 497,200 37,320
FleetBoston Financial Corp. 826,512 36,077
E.I. du Pont de Nemours & Co. 782,549 35,911
United Technologies Corp. 368,161 34,891
ConocoPhillips Co. 507,346 33,267
The Coca-Cola Co. 608,100 30,861
Dow Chemical Co. 721,314 29,985
Washington Mutual, Inc. 725,147 29,093
Abbott Laboratories 583,000 27,168
Alcoa Inc. 664,573 25,254
McDonald's Corp. 999,437 24,816
Kimberly-Clark Corp. 397,900 23,512
Allstate Corp. 525,062 22,588
Caterpillar, Inc. 270,966 22,496
Ford Motor Co. 1,383,324 22,133
The Goldman Sachs Group, Inc. 223,374 22,054
Honeywell International Inc. 641,706 21,452
Emerson Electric Co. 330,700 21,413
Freddie Mac 350,927 20,466
Metropolitan Life Insurance Co. 596,997 20,101
The Bank of New York Co., Inc. 606,803 20,097
Schering-Plough Corp. 1,154,000 20,068
General Motors Corp. 374,302 19,988
Gannett Co., Inc. 211,818 18,886
Prudential Financial, Inc. 428,607 17,903
Southern Co. 572,190 17,309
Exelon Corp. 255,923 16,983
BB&T Corp. 430,439 16,632
National City Corp. 482,334 16,370
Dominion Resources, Inc. 253,903 16,207
Lockheed Martin Corp. 300,942 15,468
International Paper Co. 357,770 15,423
Baxter International, Inc. 478,200 14,595
Duke Energy Corp. 710,373 14,527
SunTrust Banks, Inc. 198,907 14,222
Union Pacific Corp. 189,985 13,200
The Hartford Financial Services
Group Inc. 221,755 13,090
Motorola, Inc. 913,985 12,860
Occidental Petroleum Corp. 300,567 12,696
Sara Lee Corp. 579,900 12,590
AT&T Corp. 617,433 12,534
Lehman Brothers Holdings, Inc. 160,944 12,428
Northrop Grumman Corp. 129,290 12,360
Deere & Co. 188,429 12,257
PNC Financial Services Group 220,000 12,041
General Dynamics Corp. 131,575 11,893
Carnival Corp. 296,633 11,785
Sprint Corp. 709,396 11,648
CVS Corp. 309,972 11,196
ConAgra Foods, Inc. 421,724 11,129
Weyerhaeuser Co. 172,125 11,016
Mellon Financial Corp. 338,100 10,856
ALLTEL Corp. 232,594 10,834
Countrywide Financial Corp. 142,369 10,799
General Mills, Inc. 234,100 10,605
Golden West Financial Corp. 101,768 10,501
* The Kroger Co. 560,596 10,377
Apache Corp. 127,149 10,312
Entergy Corp. 179,020 10,227
Masco Corp. 369,154 10,119
H.J. Heinz Co. 276,200 10,062
The Chubb Corp. 147,181 10,023
Anadarko Petroleum Corp. 195,934 9,995
Praxair, Inc. 255,900 9,775
Raytheon Co. 325,101 9,766
Sears, Roebuck & Co. 211,019 9,599
Marsh & McLennan Cos., Inc. 198,700 9,516
American Electric
Power Co., Inc. 310,206 9,464
Burlington Northern
Santa Fe Corp. 292,335 9,457
Air Products & Chemicals, Inc. 178,608 9,436
Devon Energy Corp. 163,858 9,383
Electronic Data Systems Corp. 376,703 9,244
24
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
KeyCorp 313,906 $ 9,204
Ingersoll-Rand Co. 134,516 9,131
ACE Ltd. 218,528 9,051
FirstEnergy Corp. 255,978 9,010
* PG&E Corp. 323,562 8,985
Equity Office Properties
Trust REIT 313,218 8,974
FPL Group, Inc. 137,098 8,969
Travelers Property Casualty Corp.
Class B 528,340 8,966
Halliburton Co. 343,886 8,941
NIKE, Inc. Class B 130,279 8,919
Burlington Resources, Inc. 157,616 8,729
SouthTrust Corp. 264,946 8,672
PPG Industries, Inc. 133,410 8,541
John Hancock Financial
Services, Inc. 227,319 8,524
XL Capital Ltd. Class A 107,701 8,352
The Boeing Co. 197,933 8,341
MBNA Corp. 333,489 8,287
Progress Energy, Inc. 181,754 8,226
Becton, Dickinson & Co. 199,363 8,202
Aetna Inc. 120,948 8,174
Johnson Controls, Inc. 70,259 8,158
Fortune Brands, Inc. 113,994 8,149
Public Service Enterprise
Group, Inc. 184,139 8,065
Marathon Oil Corp. 243,527 8,058
* Liberty Media Corp. 665,616 7,914
Comerica, Inc. 137,726 7,721
Kraft Foods Inc. 238,500 7,684
* Safeway, Inc. 346,886 7,600
Consolidated Edison Inc. 176,692 7,600
Unocal Corp. 203,071 7,479
Pitney Bowes, Inc. 183,900 7,470
PACCAR, Inc. 87,036 7,409
Kellogg Co. 192,500 7,330
Norfolk Southern Corp. 306,296 7,244
Marriott International, Inc.
Class A 155,481 7,183
The Principal Financial
Group, Inc. 215,923 7,141
St. Paul Cos., Inc. 178,856 7,092
Waste Management, Inc. 232,812 6,891
Federated Department
Stores, Inc. 143,566 6,766
AmSouth Bancorp 275,747 6,756
MBIA, Inc. 113,935 6,748
Archer-Daniels-Midland Co. 430,940 6,559
Northern Trust Corp. 138,802 6,443
Equity Residential REIT 214,985 6,344
CIGNA Corp. 110,220 6,338
May Department Stores Co. 215,256 6,257
Limited Brands, Inc. 346,159 6,241
Albertson's, Inc. 273,720 6,200
Simon Property Group, Inc. REIT 133,723 6,197
Regions Financial Corp. 166,347 6,188
Charter One Financial, Inc. 177,174 6,121
PPL Corp. 138,839 6,074
Eaton Corp. 56,021 6,049
CSX Corp. 168,220 6,046
* Transocean Inc. 251,447 6,037
CIT Group Inc. 166,190 5,975
Bear Stearns Co., Inc. 74,326 5,942
Monsanto Co. 205,685 5,920
* Computer Sciences Corp. 132,321 5,853
Ameren Corp. 127,116 5,847
* Tenet Healthcare Corp. 364,231 5,846
Ambac Financial Group, Inc. 83,752 5,812
Marshall & Ilsley Corp. 151,835 5,808
Tribune Co. 112,136 5,786
Eastman Kodak Co. 225,198 5,781
TXU Corp. 240,207 5,698
Starwood Hotels & Resorts
Worldwide, Inc. 157,948 5,681
Lincoln National Corp. 139,714 5,640
Jefferson-Pilot Corp. 111,352 5,640
J.C. Penney Co., Inc.
(Holding Co.) 213,511 5,611
M & T Bank Corp. 56,299 5,534
Parker Hannifin Corp. 92,794 5,521
Georgia Pacific Group 179,471 5,504
Textron, Inc. 95,881 5,471
Sovereign Bancorp, Inc. 229,308 5,446
Xcel Energy, Inc. 313,437 5,322
DTE Energy Co. 132,072 5,204
Cinergy Corp. 132,553 5,144
Constellation Energy Group, Inc. 131,165 5,136
* Edison International 230,259 5,050
Loews Corp. 101,892 5,039
Aon Corp. 208,950 5,002
Newell Rubbermaid, Inc. 215,600 4,909
Knight Ridder 63,188 4,889
Rohm & Haas Co. 113,614 4,852
Union Planters Corp. 154,028 4,850
North Fork Bancorp, Inc. 119,574 4,839
Sempra Energy 160,165 4,815
MeadWestvaco Corp. 157,475 4,685
UST, Inc. 130,847 4,670
Rockwell Automation, Inc. 130,599 4,649
25
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
KeySpan Corp. 124,449 $ 4,580
Genuine Parts Co. 136,634 4,536
NiSource, Inc. 206,543 4,532
ProLogis REIT 140,944 4,523
Cincinnati Financial Corp. 107,182 4,489
General Growth
Properties Inc. REIT 160,056 4,442
MGIC Investment Corp. 77,260 4,399
Plum Creek Timber Co. Inc. REIT 143,630 4,374
Kinder Morgan, Inc. 72,674 4,295
Coca-Cola Enterprises, Inc. 195,336 4,272
Cooper Industries, Inc. Class A 72,299 4,188
National Commerce
Financial Corp. 152,599 4,163
Valero Energy Corp. 89,799 4,161
First Tennessee National Corp. 93,895 4,141
Archstone-Smith Trust REIT 147,667 4,132
Vornado Realty Trust REIT 75,272 4,121
Banknorth Group, Inc. 126,599 4,118
Torchmark Corp. 89,558 4,078
* Office Depot, Inc. 243,373 4,067
Delphi Corp. 396,244 4,046
SAFECO Corp. 103,319 4,022
Williams Cos., Inc. 407,266 3,999
* Dean Foods Co. 121,516 3,994
* Sun Microsystems, Inc. 888,746 3,990
Fidelity National Financial, Inc. 102,673 3,982
Popular, Inc. 88,535 3,979
El Paso Corp. 484,757 3,970
Whirlpool Corp. 53,986 3,922
Zions Bancorp 63,502 3,895
GlobalSantaFe Corp. 155,836 3,869
R.J. Reynolds Tobacco
Holdings, Inc. 66,190 3,849
Pulte Homes, Inc. 41,081 3,846
Huntington Bancshares Inc. 170,800 3,843
Compass Bancshares Inc. 93,755 3,685
Kerr-McGee Corp. 79,181 3,681
Vulcan Materials Co. 75,697 3,601
Radian Group, Inc. 73,399 3,578
CenturyTel, Inc. 107,308 3,500
Boston Properties, Inc. REIT 72,502 3,494
UnumProvident Corp. 220,766 3,481
Computer Associates
International, Inc. 127,239 3,479
Kimco Realty Corp. REIT 77,459 3,466
Nucor Corp. 61,473 3,442
* Agilent Technologies, Inc. 117,610 3,439
Old Republic International Corp. 135,199 3,429
* E*TRADE Financial Corp. 270,299 3,419
Sherwin-Williams Co. 97,480 3,386
Amerada Hess Corp. 63,534 3,378
Wendy's International, Inc. 84,655 3,322
The Pepsi Bottling Group, Inc. 136,682 3,305
Duke Realty Corp. REIT 106,507 3,302
Rouse Co. REIT 69,247 3,255
Lear Corp. 52,699 3,232
Republic Services, Inc. Class A 126,099 3,232
* Thermo Electron Corp. 127,434 3,211
Dover Corp. 79,599 3,164
Leggett & Platt, Inc. 143,477 3,103
Green Point Financial Corp. 87,748 3,099
Campbell Soup Co. 115,200 3,087
Travelers Property Casualty Corp.
Class A 183,500 3,079
Franklin Resources Corp. 59,119 3,078
Wisconsin Energy Corp. 91,999 3,077
Liz Claiborne, Inc. 85,513 3,032
Black & Decker Corp. 60,885 3,003
SuperValu Inc. 105,007 3,002
SCANA Corp. 87,099 2,983
Engelhard Corp. 98,595 2,953
D. R. Horton, Inc. 68,200 2,950
Sunoco, Inc. 57,372 2,935
VF Corp. 67,371 2,913
W.W. Grainger, Inc. 60,832 2,883
Pinnacle West Capital Corp. 71,697 2,869
Mercantile Bankshares Corp. 62,299 2,840
Allied Capital Corp. 100,500 2,802
Public Storage, Inc. REIT 64,259 2,788
* Humana Inc. 120,678 2,757
Murphy Oil Corp. 42,164 2,754
Nordstrom, Inc. 80,204 2,751
The PMI Group Inc. 73,599 2,740
Hershey Foods Corp. 35,500 2,733
Hibernia Corp. Class A 116,254 2,733
ServiceMaster Co. 231,643 2,699
* Providian Financial Corp. 228,471 2,659
Avalonbay Communities, Inc. REIT 55,145 2,636
Pepco Holdings, Inc. 134,599 2,630
Foot Locker, Inc. 111,800 2,622
Centex Corp. 24,265 2,612
iStar Financial Inc. REIT 67,080 2,609
Goodrich Corp. 87,761 2,606
* Tellabs, Inc. 308,698 2,602
* Vishay Intertechnology, Inc. 113,399 2,597
* AutoNation, Inc. 140,222 2,576
Energy East Corp. 114,799 2,571
Hillenbrand Industries, Inc. 41,199 2,557
R.R. Donnelley & Sons Co. 84,513 2,548
26
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Interpublic Group of Cos., Inc. 163,288 $ 2,547
Apartment Investment &
Management Co. Class A REIT 73,825 2,547
* Medco Health Solutions, Inc. 74,645 2,537
The Stanley Works 66,989 2,537
Liberty Property Trust REIT 65,199 2,536
Health Care Properties
Investors REIT 49,700 2,525
Telephone & Data Systems, Inc. 40,099 2,508
Janus Capital Group Inc. 150,100 2,463
AmerisourceBergen Corp. 43,863 2,463
PartnerRe Ltd. 42,050 2,441
Sabre Holdings Corp. 112,679 2,433
Eastman Chemical Co. 60,931 2,409
Temple-Inland Inc. 38,221 2,395
Everest Re Group, Ltd. 28,299 2,394
UnionBanCal Corp. 41,600 2,394
* 3Com Corp. 289,800 2,368
Tyson Foods, Inc. 176,399 2,336
* Park Place Entertainment Corp. 213,999 2,318
Commerce Bancshares, Inc. 46,199 2,265
A.G. Edwards & Sons, Inc. 62,399 2,261
Brunswick Corp. 70,948 2,258
Ashland, Inc. 50,882 2,242
Associated Banc-Corp 52,100 2,222
International Flavors &
Fragrances, Inc. 62,846 2,195
Questar Corp. 61,799 2,172
The Clorox Co. 44,600 2,166
Bausch & Lomb, Inc. 41,419 2,150
Dana Corp. 117,040 2,148
* Apple Computer, Inc. 99,952 2,136
TECO Energy, Inc. 147,803 2,130
City National Corp. 34,199 2,124
* Toys R Us, Inc. 168,022 2,124
Astoria Financial Corp. 56,800 2,113
CenterPoint Energy Inc. 216,456 2,097
DPL Inc. 99,599 2,080
* AES Corp. 219,469 2,072
Avery Dennison Corp. 36,800 2,062
Belo Corp. Class A 72,599 2,057
W.R. Berkley Corp. 58,600 2,048
Valley National Bancorp 69,835 2,039
Bowater Inc. 43,599 2,019
Northeast Utilities 100,099 2,019
NSTAR 41,499 2,013
AMB Property Corp. REIT 61,099 2,009
Bemis Co., Inc. 39,730 1,987
Harris Corp. 52,099 1,977
* Millennium Pharmaceuticals, Inc. 105,900 1,977
Bank of Hawaii Corp. 46,234 1,951
* Unisys Corp. 129,551 1,924
Hospitality Properties Trust REIT 46,599 1,924
MDU Resources Group, Inc. 80,198 1,910
New Plan Excel Realty Trust REIT 76,699 1,892
Valspar Corp. 37,863 1,871
Allete, Inc. 60,999 1,867
Lyondell Chemical Co. 109,699 1,859
* Compuware Corp. 300,848 1,817
Weingarten Realty Investors REIT 40,790 1,809
Fulton Financial Corp. 82,535 1,808
* Host Marriott Corp. REIT 146,700 1,807
Leucadia National Corp. 39,075 1,801
Sonoco Products Co. 72,499 1,785
* Tech Data Corp. 44,499 1,766
* Markel Corp. 6,953 1,763
Puget Energy, Inc. 73,999 1,759
Protective Life Corp. 51,499 1,743
Viad Corp. 69,599 1,740
New York Community
Bancorp, Inc. 45,566 1,734
Deluxe Corp. 41,640 1,721
Hubbell Inc. Class B 38,999 1,720
* Qwest Communications
International Inc. 396,389 1,712
FirstMerit Corp. 63,299 1,707
Hasbro, Inc. 80,107 1,705
* BMC Software, Inc. 89,666 1,672
Fluor Corp. 41,823 1,658
C.R. Bard, Inc. 20,273 1,647
Maytag Corp. 58,756 1,636
American Power Conversion Corp. 66,098 1,616
Scientific-Atlanta, Inc. 58,678 1,602
J.M. Smucker Co. 35,199 1,594
RenaissanceRe Holdings Ltd. 32,416 1,590
Wilmington Trust Corp. 44,099 1,588
Circuit City Stores, Inc. 156,245 1,583
Hormel Foods Corp. 60,099 1,551
* Del Monte Foods Co. 148,500 1,544
Reynolds & Reynolds Class A 53,000 1,540
Unitrin, Inc. 36,999 1,532
RPM International, Inc. 90,999 1,498
KB HOME 20,352 1,476
Nationwide Financial Services, Inc. 44,307 1,465
Reebok International Ltd. 37,003 1,455
T. Rowe Price Group Inc. 30,483 1,445
* NCR Corp. 37,167 1,442
* Smithfield Foods, Inc. 68,999 1,428
* Advanced Micro Devices, Inc. 95,168 1,418
* King Pharmaceuticals, Inc. 90,176 1,376
27
- --------------------------------------------------------------------------------
MARKET
VALUE*
VALUE INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Maxtor Corp. 122,578 $ 1,361
Teleflex Inc. 27,999 1,353
* Cadence Design Systems, Inc. 74,800 1,345
Tidewater Inc. 44,699 1,336
Transatlantic Holdings, Inc. 16,437 1,328
Pall Corp. 48,887 1,312
Regency Centers Corp. REIT 32,880 1,310
* Saks Inc. 86,399 1,299
Jones Apparel Group, Inc. 34,887 1,229
* Triad Hospitals, Inc. 36,699 1,221
* Avaya Inc. 91,873 1,189
PepsiAmericas, Inc. 68,199 1,168
* Ingram Micro, Inc. Class A 71,000 1,129
* Storage Technology Corp. 43,200 1,112
Carolina Group 43,880 1,108
* CIENA Corp. 166,442 1,105
Adolph Coors Co. Class B 19,379 1,087
Diebold, Inc. 19,899 1,072
Diamond Offshore Drilling, Inc. 51,380 1,054
* Owens-Illinois, Inc. 87,400 1,039
Mercury General Corp. 21,441 998
Lafarge North America Inc. 24,468 991
* ICOS Corp. 23,500 970
Erie Indemnity Co. Class A 22,793 966
Mandalay Resort Group 20,675 925
* Energizer Holdings, Inc. 21,000 789
* Kmart Holding Corp. 31,779 761
Montpelier Re Holdings Ltd. 20,081 737
Axis Capital Holdings Ltd. 24,200 709
Molex, Inc. Class A 23,913 702
Brown-Forman Corp. Class B 7,500 701
Capitol Federal Financial 17,375 627
* BOK Financial Corp. 15,800 612
Hearst-Argyle Television Inc. 20,300 559
* CheckFree Corp. 19,562 541
The McClatchy Co. Class A 7,651 526
Blockbuster Inc. Class A 28,420 510
* National-Oilwell, Inc. 21,989 492
* U.S. Cellular Corp. 12,500 444
AVX Corp. 23,924 398
Packaging Corp. of America 17,236 377
Regal Entertainment Group
Class A 13,494 277
Washington Post Co. Class B 50 40
White Mountains Insurance
Group Inc. 60 28
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $3,732,330) 4,225,948
- --------------------------------------------------------------------------------
FACE
AMOUNT AMOUNT
(000) (000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENT (0.2%)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
0.99%, 1/2/2004--Note E
(Cost $7,981) $7,981 $ 7,981
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(Cost $3,740,311) 4,233,929
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
- --------------------------------------------------------------------------------
Other Assets--Note B 40,198
Liabilities--Note E (46,181)
--------
(5,983)
--------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $4,227,946
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT--Real Estate Investment Trust.
28
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $4,651,844
Overdistributed Net Investment Income (4,544)
Accumulated Net Realized Losses (912,972)
Unrealized Appreciation 493,618
- --------------------------------------------------------------------------------
NET ASSETS $4,227,946
================================================================================
Investor Shares--Net Assets
Applicable to 154,129,944 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,920,941
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $18.95
================================================================================
Admiral Shares--Net Assets
Applicable to 40,803,692 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $773,300
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $18.95
================================================================================
Institutional Shares--Net Assets
Applicable to 28,160,115 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $533,705
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $18.95
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
29
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by each fund during the
reporting period, and details the operating expenses charged to each class of
its shares. These expenses directly reduce the amount of investment income
available to pay to shareholders as income dividends. This Statement also shows
any Net Gain (Loss) realized on the sale of investments, and the increase or
decrease in the Unrealized Appreciation (Depreciation) of investments during the
period.
- --------------------------------------------------------------------------------
GROWTH VALUE
INDEX FUND INDEX FUND
------------------------------
YEAR ENDED DECEMBER 31, 2003
------------------------------
(000) (000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 82,699 $ 89,143
Interest 110 168
Security Lending 43 218
- --------------------------------------------------------------------------------
Total Income 82,852 89,529
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 113 113
Management and Administrative
Investor Shares 13,985 4,909
Admiral Shares 1,161 708
Institutional Shares 526 323
Marketing and Distribution
Investor Shares 821 341
Admiral Shares 120 88
Institutional Shares 127 87
Custodian Fees 154 161
Auditing Fees 17 17
Shareholders' Reports
Investor Shares 325 75
Admiral Shares 5 2
Institutional Shares 3 2
Trustees' Fees and Expenses 12 4
- --------------------------------------------------------------------------------
Total Expenses 17,369 6,830
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 65,483 82,699
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (436,436) (327,605)
Futures Contracts (654) 3
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (437,090) (327,602)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 2,312,375 1,243,304
Futures Contracts -- --
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 2,312,375 1,243,304
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $1,940,768 $ 998,401
================================================================================
30
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET INDEX FUND
YEAR ENDED DECEMBER 31, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 531,482
Interest 1,531
Security Lending 3,454
- --------------------------------------------------------------------------------
Total Income 536,467
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 113
Management and Administrative
Investor Shares 33,196
Admiral Shares 7,841
Institutional Shares 3,416
VIPER Shares 2,453
Marketing and Distribution
Investor Shares 2,445
Admiral Shares 660
Institutional Shares 794
VIPER Shares 299
Custodian Fees 654
Auditing Fees 20
Shareholders' Reports
Investor Shares 816
Admiral Shares 21
Institutional Shares 15
VIPER Shares 23
Trustees' Fees and Expenses 36
- --------------------------------------------------------------------------------
Total Expenses 52,802
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 483,665
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (329,740)
Futures Contracts 21,981
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (307,759)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 9,012,637
Futures Contracts 1,316
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 9,013,953
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $9,189,859
================================================================================
31
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each fund's total net assets changed during the two
most recent reporting periods. The Operations section summarizes information
detailed in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the net amount shareholders invested in
or redeemed from the fund. Distributions and Capital Share Transactions are
shown separately for each class of shares.
- --------------------------------------------------------------------------------
GROWTH VALUE
INDEX FUND INDEX FUND
----------------- ----------------
YEAR ENDED DECEMBER 31,
- --------------------------------------------------------------------------------
2003 2002 2003 2002
(000) (000) (000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 65,483 $ 86,098 $ 82,699 $ 68,872
Realized Net Gain (Loss) (437,090) (858,416) (327,602) (358,599)
Change in Unrealized
Appreciation (Depreciation) 2,312,375 (1,638,184) 1,243,304 (614,611)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 1,940,768 (2,410,502) 998,401 (904,338)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (53,318) (70,060) (55,864) (48,530)
Admiral Shares (7,958) (8,872) (14,343) (10,594)
Institutional Shares (6,561) (8,738) (11,117) (12,094)
Realized Capital Gain
Investor Shares -- -- -- --
Admiral Shares -- -- -- --
Institutional Shares -- -- -- --
- --------------------------------------------------------------------------------
Total Distributions (67,837) (87,670) (81,324) (71,218)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--Note F
Investor Shares (21,541) (319,751) 81,496 (143,326)
Admiral Shares 135,609 88,780 136,542 34,060
Institutional Shares (46,173) (23,525) (77,454) (214,549)
- --------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 67,895 (254,496) 140,584 (323,815)
- --------------------------------------------------------------------------------
Total Increase (Decrease) 1,940,826 (2,752,668) 1,057,661 (1,299,371)
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 7,519,130 10,271,798 3,170,285 4,469,656
- --------------------------------------------------------------------------------
End of Period $9,459,956 $7,519,130 $4,227,946 $3,170,285
================================================================================
32
- --------------------------------------------------------------------------------
TOTAL STOCK MARKET
INDEX FUND
-------------------------
YEAR ENDED DECEMBER 31,
- --------------------------------------------------------------------------------
2003 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 483,665 $ 331,288
Realized Net Gain (Loss) (307,759) (168,590)
Change in Unrealized Appreciation (Depreciation) 9,013,953 (5,904,648)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 9,189,859 (5,741,950)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Investor Shares (280,716) (197,489)
Admiral Shares (92,244) (55,661)
Institutional Shares (91,521) (60,729)
VIPER Shares (28,586) (18,616)
Realized Capital Gain
Investor Shares -- --
Admiral Shares -- --
Institutional Shares -- --
VIPER Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (493,067) (332,495)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--Note F
Investor Shares 4,707,953 2,207,858
Admiral Shares 2,288,250 1,155,128
Institutional Shares 2,034,942 1,291,353
VIPER Shares 739,232 409,620
- --------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions 9,770,377 5,063,959
- --------------------------------------------------------------------------------
Total Increase (Decrease) 18,467,169 (1,010,486)
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 24,077,826 25,088,312
- --------------------------------------------------------------------------------
End of Period $42,544,995 $24,077,826
================================================================================
33
FINANCIAL HIGHLIGHTS
This table summarizes each fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
GROWTH INDEX FUND INVESTOR SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $39.43 $31.67
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .169 .222 .181 .126 .207
Net Realized and Unrealized Gain (Loss) on Investments 4.977 (6.465) (4.144) (8.861) 8.821
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 5.146 (6.243) (3.963) (8.735) 9.028
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.176) (.227) (.187) (.125) (.228)
Distributions from Realized Capital Gains -- -- -- -- (1.040)
- -------------------------------------------------------------------------------------------------------
Total Distributions (.176) (.227) (.187) (.125) (1.268)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.92 $19.95 $26.42 $30.57 $39.43
=======================================================================================================
TOTAL RETURN* 25.92% -23.68% -12.93% -22.21% 28.76%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $7,586 $6,094 $8,445 $11,162 $15,232
Ratio of Total Expenses to Average Net Assets 0.23% 0.23% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets 0.77% 0.97% 0.67% 0.33% 0.64%
Portfolio Turnover Rate 44%** 23% 31% 33% 33%
=======================================================================================================
*Total returns do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 42%.
34
GROWTH INDEX FUND ADMIRAL SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, NOV. 13* TO
---------------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $33.12
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .188 .237 .194 .024
Net Realized and Unrealized Gain (Loss) on Investments 4.977 (6.465) (4.144) (2.536)
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 5.165 (6.228) (3.950) (2.512)
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.195) (.242) (.200) (.038)
Distributions from Realized Capital Gains -- -- -- --
- -------------------------------------------------------------------------------------------------------
Total Distributions (.195) (.242) (.200) (.038)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.92 $19.95 $26.42 $30.57
=======================================================================================================
TOTAL RETURN 26.03% -23.62% -12.88% -7.59%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,092 $751 $906 $709
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.17% 0.17%**
Ratio of Net Investment Income to Average Net Assets 0.84% 1.05% 0.74% 0.56%**
Portfolio Turnover Rate 44%+ 23% 31% 33%
=======================================================================================================
*Inception.
**Annualized.
+Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 42%.
GROWTH INDEX FUND INSTITUTIONAL SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $39.44 $31.67
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .199 .248 .213 .156 .249
Net Realized and Unrealized Gain (Loss) on Investments 4.977 (6.465) (4.144) (8.861) 8.821
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 5.176 (6.217) (3.931) (8.705) 9.070
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.206) (.253) (.219) (.165) (.260)
Distributions from Realized Capital Gains -- -- -- -- (1.040)
- -------------------------------------------------------------------------------------------------------
Total Distributions (.206) (.253) (.219) (.165) (1.300)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.92 $19.95 $26.42 $30.57 $39.44
=======================================================================================================
TOTAL RETURN 26.09% -23.58% -12.82% -22.14% 28.91%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $782 $675 $921 $948 $452
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 0.92% 1.10% 0.80% 0.44% 0.74%
Portfolio Turnover Rate 44%* 23% 31% 33% 33%
=======================================================================================================
*Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 42%.
35
FINANCIAL HIGHLIGHTS (CONTINUED)
VALUE INDEX FUND INVESTOR SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.89 $22.51
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .378 .303 .309 .355 .355
Net Realized and Unrealized Gain (Loss) on Investments 4.294 (4.238) (2.986) .963 2.342
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 4.672 (3.935) (2.677) 1.318 2.697
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.372) (.315) (.316) (.358) (.362)
Distributions from Realized Capital Gains -- -- (.977) (.980) (1.955)
- -------------------------------------------------------------------------------------------------------
Total Distributions (.372) (.315) (1.293) (1.338) (2.317)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $18.95 $14.65 $18.90 $22.87 $22.89
=======================================================================================================
TOTAL RETURN* 32.25% -20.91% -11.88% 6.08% 12.57%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,921 $2,197 $3,018 $3,450 $3,378
Ratio of Total Expenses to Average Net Assets 0.23% 0.23% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets 2.38% 1.80% 1.51% 1.60% 1.59%
Portfolio Turnover Rate 47%** 26% 38% 37% 41%
=======================================================================================================
*Total returns do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 44%.
VALUE INDEX FUND ADMIRAL SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, NOV. 13* TO
---------------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.86
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .392 .315 .318 .045
Net Realized and Unrealized Gain (Loss) on Investments 4.294 (4.238) (2.986) .635
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 4.686 (3.923) (2.668) .680
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.386) (.327) (.325) (.100)
Distributions from Realized Capital Gains -- -- (.977) (.570)
- -------------------------------------------------------------------------------------------------------
Total Distributions (.386) (.327) (1.302) (.670)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $18.95 $14.65 $18.90 $22.87
=======================================================================================================
TOTAL RETURN 32.36% -20.85% -11.83% 3.13%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $773 $480 $587 $248
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.17% 0.17%**
Ratio of Net Investment Income to Average Net Assets 2.48% 1.88% 1.57% 0.19%**
Portfolio Turnover Rate 47%+ 26% 38% 37%
=======================================================================================================
*Inception.
**Annualized.
+Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 44%.
36
VALUE INDEX FUND INSTITUTIONAL SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.89 $22.51
- -------------------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .400 .322 .333 .377 .377
Net Realized and Unrealized Gain (Loss) on Investments 4.294 (4.238) (2.986) .963 2.342
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 4.694 (3.916) (2.653) 1.340 2.719
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.394) (.334) (.340) (.380) (.384)
Distributions from Realized Capital Gains -- -- (.977) (.980) (1.955)
- -------------------------------------------------------------------------------------------------------
Total Distributions (.394) (.334) (1.317) (1.360) (2.339)
- -------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $18.95 $14.65 $18.90 $22.87 $22.89
=======================================================================================================
Total Return 32.42% -20.81% -11.77% 6.19% 12.67%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $534 $494 $865 $1,082 $460
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 2.46% 1.91% 1.63% 1.70% 1.68%
Portfolio Turnover Rate 47%* 26% 38% 37% 41%
=======================================================================================================
*Includes activity related to a change in the fund's target index. Portfolio
turnover rate excluding in-kind redemptions was 44%.
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.74 $29.26 $33.22 $27.42
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .325 .295 .310 .331 .317
Net Realized and Unrealized Gain (Loss) on Investments 5.922 (5.672) (3.533) (3.815) 6.133
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 6.247 (5.377) (3.223) (3.484) 6.450
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.327) (.293) (.297) (.336) (.330)
Distributions from Realized Capital Gains -- -- -- (.140) (.320)
- -------------------------------------------------------------------------------------------------------
Total Distributions (.327) (.293) (.297) (.476) (.650)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $25.99 $20.07 $25.74 $29.26 $33.22
=======================================================================================================
TOTAL RETURN* 31.35% -20.96% -10.97% -10.57% 23.81%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $24,059 $14,254 $15,781 $16,856 $18,133
Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Net Investment Income to Average Net Assets 1.49% 1.32% 1.11% 1.04% 1.15%
Portfolio Turnover Rate 2%** 4%** 7%** 7% 3%
=======================================================================================================
*Total returns do not reflect the $10 annual account maintenance fee applied on
balances under $10,000.
**Includes activity related to a change in the fund's target index. Portfolio
turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively.
37
FINANCIAL HIGHLIGHTS (CONTINUED)
TOTAL STOCK MARKET INDEX FUND ADMIRAL SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, NOV. 13* TO
---------------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.75 $29.26 $30.22
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .336 .296 .332 .049
Net Realized and Unrealized Gain (Loss) on Investments 5.922 (5.672) (3.533) (.830)
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 6.258 (5.376) (3.201) (.781)
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.338) (.304) (.309) (.099)
Distributions from Realized Capital Gains -- -- -- (.080)
- -------------------------------------------------------------------------------------------------------
Total Distributions (.338) (.304) (.309) (.179)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $25.99 $20.07 $25.75 $29.26
=======================================================================================================
TOTAL RETURN 31.42% -20.95% -10.89% -2.55%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $7,969 $4,069 $3,894 $2,104
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15% 0.15%**
Ratio of Net Investment Income to Average Net Assets 1.54% 1.39% 1.17% 1.23%**
Portfolio Turnover Rate 2%+ 4%+ 7%+ 7+
=======================================================================================================
*Inception.
**Annualized.
+Includes activity related to a change in the fund's target index. Portfolio
turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively.
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.75 $29.27 $33.22 $27.42
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .360 .311 .341 .371 .344
Net Realized and Unrealized Gain (Loss) on Investments 5.922 (5.672) (3.533) (3.815) 6.133
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 6.282 (5.361) (3.192) (3.444) 6.477
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.352) (.319) (.328) (.366) (.357)
Distributions from Realized Capital Gains -- -- -- (.140) (.320)
- -------------------------------------------------------------------------------------------------------
Total Distributions (.352) (.319) (.328) (.506) (.677)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $26.00 $20.07 $25.75 $29.27 $33.22
=======================================================================================================
TOTAL RETURN 31.55% -20.90% -10.85% -10.46% 23.93%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $8,000 $4,466 $4,217 $4,272 $4,006
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.62% 1.45% 1.23% 1.14% 1.26%
Portfolio Turnover Rate 2%* 4%* 7%* 7% 3%
=======================================================================================================
*Includes activity related to a change in the fund's target index. Portfolio
turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively
38
TOTAL STOCK MARKET INDEX FUND VIPER SHARES
- -------------------------------------------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, MAY 24* TO
------------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 82.47 $105.80 $118.46
- -------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.381 1.259 .843
Net Realized and Unrealized Gain (Loss) on Investments 24.341 (23.337) (12.515)
- -------------------------------------------------------------------------------------------------------
Total from Investment Operations 25.722 (22.078) (11.672)
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.382) (1.252) (.988)
Distributions from Realized Capital Gains -- -- --
- -------------------------------------------------------------------------------------------------------
Total Distributions (1.382) (1.252) (.988)
- -------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $106.81 $ 82.47 $105.80
=======================================================================================================
TOTAL RETURN 31.43% -20.94% -9.82%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,517 $1,290 $1,195
Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15%**
Ratio of Net Investment Income to Average Net Assets 1.54% 1.38% 1.26%**
Portfolio Turnover Rate 2%+ 4%+ 7%+
=======================================================================================================
*Inception.
**Annualized.
+Includes activity related to a change in the fund's target index. Portfolio
turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
39
NOTES TO FINANCIAL STATEMENTS
Vanguard Growth Index, Value Index, and Total Stock Market Index Funds are
registered under the Investment Company Act of 1940 as open-end investment
companies, or mutual funds. The Growth Index and Value Index Funds each offer
three classes of shares: Investor Shares, Admiral Shares, and Institutional
Shares. The Total Stock Market Index Fund offers four classes of shares:
Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares.
Investor Shares are available to any investor who meets the fund's minimum
purchase requirements. Admiral Shares are designed for investors who meet
certain administrative, servicing, tenure, and account-size criteria.
Institutional Shares are designed for investors who meet certain administrative
and servicing criteria and invest a minimum of $10 million. VIPER Shares are
listed for trading on the American Stock Exchange; they can be purchased and
sold through a broker.
A. The following significant accounting policies conform to generally accepted
accounting principles for U.S. mutual funds. The funds consistently follow such
policies in preparing their financial statements.
1. SECURITY VALUATION: Securities are valued as of the close of trading on the
New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation
date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such
securities not traded on the valuation date are valued at the mean of the latest
quoted bid and asked prices. Securities for which market quotations are not
readily available, or whose values have been materially affected by events
occurring before the funds' pricing time but after the close of the securities'
primary markets, are valued by methods deemed by the board of trustees to
represent fair value. Temporary cash investments acquired over 60 days to
maturity are valued using the latest bid prices or using valuations based on a
matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
Other temporary cash investments are valued at amortized cost, which
approximates market value.
2 FUTURES CONTRACTS: The funds use index futures contracts to a limited extent,
with the objectives of maintaining full exposure to the stock market, enhancing
returns, maintaining liquidity, and minimizing transaction costs. A fund may
purchase futures contracts to immediately invest incoming cash in the market, or
sell futures in response to cash outflows, thereby simulating a fully invested
position in the underlying index while maintaining a cash balance for liquidity.
A fund may seek to enhance returns by using futures contracts instead of the
underlying securities when futures are believed to be priced more attractively
than the underlying securities. The primary risks associated with the use of
futures contracts are imperfect correlation between changes in market values of
stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market.
Futures contracts based upon the following indexes are used: S&P 500 Index
(Growth Index Fund, Value Index Fund, and Total Stock Market Index Fund), S&P
MidCap 400 Index (Total Stock Market Index Fund), Russell 2000 Index (Total
Stock Market Index Fund).
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The funds, along with other members of The Vanguard
Group, transfer uninvested cash balances 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
40
value of the collateral be sufficient to cover payments of interest and
principal; however, in the event of default or bankruptcy by the other party to
the agreement, retention of the collateral may be subject to legal proceedings.
4. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a regulated
investment company and distribute all of its taxable income. Accordingly, no
provision for federal income taxes is required in the financial statements.
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend
date.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that
each class separately bears certain class-specific expenses related to
maintenance of shareholder accounts (included in Management and Administrative
expenses) and shareholder reporting. Marketing and distribution expenses are
allocated to each class of shares based on a method approved by the board of
trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net
assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to each fund under methods approved by the board of
trustees. Each fund has committed to provide up to 0.40% of its net assets in
capital contributions to Vanguard. At December 31, 2003, the funds had
contributed capital to Vanguard (included in Other Assets) of:
- --------------------------------------------------------------------------------
CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF
TO VANGUARD OF FUND VANGUARD'S
INDEX FUND (000) NET ASSETS CAPITALIZATION
- --------------------------------------------------------------------------------
Growth $1,459 0.02% 1.46%
Value 615 0.01 0.61
Total Stock Market 6,333 0.01 6.33
- --------------------------------------------------------------------------------
The funds' trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net
investment income and realized capital gains for financial reporting purposes.
Differences may be permanent or temporary. Permanent differences are
reclassified among capital accounts in the financial statements to reflect their
tax character. Temporary differences arise when certain items of income,
expense, gain, or loss are recognized in different periods for financial
statement and tax purposes; these differences will reverse at some time in the
future. Differences in classification may also result from the treatment of
short-term gains as ordinary income for tax purposes.
During the year ended December 31, 2003, the Growth Index, Value Index and Total
Stock Market Index Funds realized $82,296,000, $38,697,000, and $59,180,000,
respectively, of net capital gains resulting from in-kind redemptions--in which
shareholders exchanged fund shares for securities held by the fund rather than
for cash. Because such gains are not taxable to the funds, and are not
distributed to shareholders, they have been reclassified from accumulated net
realized gains to paid-in capital.
41
At December 31, 2003, the funds had the following tax-basis amounts available
for distribution, and capital losses available to offset future net capital
gains:
- --------------------------------------------------------------------------------
AMOUNT AVAILABLE
FOR DISTRIBUTION CAPITAL LOSSES
------------------------ -------------------------
ORDINARY LONG-TERM EXPIRATION: FISCAL
INCOME CAPITAL GAIN AMOUNT YEARS ENDING
INDEX FUND (000) (000) (000) DECEMBER 31
- --------------------------------------------------------------------------------
Growth $ 616 -- $3,672,554 2008-2012
Value 893 -- 913,086 2010-2012
Total Stock Market 3,989 -- 1,068,601 2009-2012
- --------------------------------------------------------------------------------
At December 31, 2003, net unrealized appreciation of investment securities for
tax purposes was:
- --------------------------------------------------------------------------------
(000)
----------------------------------------------------
NET UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION
INDEX FUND SECURITIES SECURITIES (DEPRECIATION)
- --------------------------------------------------------------------------------
Growth $2,349,012 $ (248,407) $2,100,605
Value 855,334 (361,716) 493,618
Total Stock Market 7,370,186 (3,777,798) 3,592,388
- --------------------------------------------------------------------------------
At December 31, 2003, the aggregate settlement value of open futures contracts
expiring in March 2004 and the related unrealized appreciation were:
- --------------------------------------------------------------------------------
(000)
--------------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------
Total Stock Market/
Russell 2000 Index 14 $ 3,900 $ 86
S&P 500 Index 120 33,318 105
S&P MidCap 400 Index 30 8,641 119
E-mini S&P 500 Index 94 5,220 --
- --------------------------------------------------------------------------------
Unrealized appreciation on open futures contracts is required to be treated as
realized gain for tax purposes.
D. During the year ended December 31, 2003, purchases and sales of investment
securities other than temporary cash investments were:
- --------------------------------------------------------------------------------
(000)
--------------------------------
INDEX FUND PURCHASES SALES
- --------------------------------------------------------------------------------
Growth $ 3,722,121 $3,655,281
Value 1,762,492 1,621,644
Total Stock Market 10,479,326 657,216
- --------------------------------------------------------------------------------
42
E. The market value of securities on loan to broker/dealers at December 31,
2003, and collateral received with respect to such loans were:
- --------------------------------------------------------------------------------
(000)
--------------------------------
MARKET VALUE CASH
OF LOANED COLLATERAL
INDEX FUND SECURITIES RECEIVED
- --------------------------------------------------------------------------------
Growth $ 5,374 $ 5,735
Value 7,727 7,981
Total Stock Market 422,104 467,633
- --------------------------------------------------------------------------------
The funds invest cash collateral received in repurchase agreements, and record a
liability for the return of the collateral, during the period the securities are
on loan.
F. Capital share transactions for each class of shares were:
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------
2003 2002
----------------------- -----------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------
GROWTH
Investor Shares
Issued $ 1,112,070 50,491 $1,155,407 51,026
Issued in Lieu of Cash Distributions 48,439 2,221 64,183 3,026
Redeemed (1,182,050) (53,735) (1,539,341) (68,271)
---------------------------------------------------
Net Increase (Decrease)--Investor Shares (21,541) (1,023) (319,751) (14,219)
---------------------------------------------------
Admiral Shares
Issued 319,578 14,466 334,819 14,388
Issued in Lieu of Cash Distributions 6,879 313 7,507 355
Redeemed (190,848) (8,613) (253,546) (11,400)
---------------------------------------------------
Net Increase (Decrease)--Admiral Shares 135,609 6,166 88,780 3,343
---------------------------------------------------
Institutional Shares
Issued 358,863 16,602 296,930 12,916
Issued in Lieu of Cash Distributions 5,769 265 8,074 381
Redeemed (410,805) (19,312) (328,529) (14,342)
---------------------------------------------------
Net Increase (Decrease)--Institutional Shares (46,173) (2,445) (23,525) (1,045)
- --------------------------------------------------------------------------------------------------------
43
notes to financial statements (continued)
- -------------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------
2003 2002
----------------------- -----------------------
AMOUNT SHARES AMOUNT SHARES
INDEX FUND (000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------
VALUE
Investor Shares
Issued $ 607,551 37,231 $ 603,011 36,010
Issued in Lieu of Cash Distributions 51,413 3,062 44,772 2,868
Redeemed (577,468) (36,125) (791,109) (48,545)
---------------------------------------------------
Net Increase (Decrease)--Investor Shares 81,496 4,168 (143,326) (9,667)
---------------------------------------------------
Admiral Shares
Issued 304,350 18,620 308,314 18,151
Issued in Lieu of Cash Distributions 12,109 719 8,803 564
Redeemed (179,917) (11,285) (283,057) (16,995)
---------------------------------------------------
Net Increase (Decrease)--Admiral Shares 136,542 8,054 34,060 1,720
---------------------------------------------------
Institutional Shares
Issued 236,300 14,799 213,528 12,571
Issued in Lieu of Cash Distributions 9,799 591 10,995 701
Redeemed (323,553) (20,938) (439,072) (25,343)
---------------------------------------------------
Net Increase (Decrease)--Institutional Shares (77,454) (5,548) (214,549) (12,071)
- --------------------------------------------------------------------------------------------------------
TOTAL STOCK MARKET
Investor Shares
Issued $ 7,122,285 324,147 $ 4,425,830 197,493
Issued in Lieu of Cash Distributions 267,229 11,591 186,853 8,717
Redeemed (2,681,561) (120,340) (2,404,825) (108,975)
---------------------------------------------------
Net Increase (Decrease)--Investor Shares 4,707,953 215,398 2,207,858 97,235
---------------------------------------------------
Admiral Shares
Issued 3,028,715 136,668 1,958,681 88,190
Issued in Lieu of Cash Distributions 78,377 3,392 46,963 2,198
Redeemed (818,842) (36,234) (850,516) (38,902)
---------------------------------------------------
Net Increase (Decrease)--Admiral Shares 2,288,250 103,826 1,155,128 51,486
---------------------------------------------------
Institutional Shares
Issued 3,065,400 130,293 1,925,666 87,123
Issued in Lieu of Cash Distributions 77,606 3,353 50,565 2,361
Redeemed (1,108,064) (48,413) (684,878) (30,787)
---------------------------------------------------
Net Increase (Decrease)--Institutional Shares 2,034,942 85,233 1,291,353 58,697
---------------------------------------------------
VIPER Shares
Issued 782,045 8,467 774,929 8,336
Issued in Lieu of Cash Distributions 969 11 357 4
Redeemed (43,782) (550) (365,666) (4,000)
---------------------------------------------------
Net Increase (Decrease)--VIPER Shares 739,232 7,928 409,620 4,340
- --------------------------------------------------------------------------------------------------------
44
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds:
In our opinion, the statements of net assets appearing herein and in the insert
to this annual report and the accompanying related statements of operations and
of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Growth Index Fund, Value Index
Fund, and Total Stock Market Index Fund (separate funds of Vanguard U.S. Stock
Index Funds, hereafter referred to as the "Funds") at December 31, 2003, the
results of each of their operations for the year then ended, the changes in each
of their net assets for each of the two years in the period then ended and the
financial highlights for each of the five years in the period then ended, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Funds' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with auditing standards generally accepted in the United States of
America, which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 2003 by
correspondence with the custodian and broker, provide a reasonable basis for our
opinion.
PricewaterhouseCoopers LLP Philadelphia, Pennsylvania
February 3, 2004
- --------------------------------------------------------------------------------
SPECIAL 2003 TAX INFORMATION
(UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (LARGE-CAPITALIZATION
PORTFOLIOS)
This information for the fiscal year ended December 31, 2003, is included
pursuant to provisions of the Internal Revenue Code.
For corporate shareholders, the percentage of investment income (dividend income
plus short-term gains, if any) that qualifies for the dividends-received
deduction is as follows:
----------------------------------------------
INDEX FUND PERCENTAGE
----------------------------------------------
Growth 100%
Value 100
Total Stock Market 100
----------------------------------------------
The funds distributed the maximum amount of qualified dividend income allowable.
The amount of qualified dividend income distributed by each fund was provided to
individual shareholders on their 2003 Form 1099-DIV.
- --------------------------------------------------------------------------------
45
- --------------------------------------------------------------------------------
INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM
- --------------------------------------------------------------------------------
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46
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
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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
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"Max out" every year you can.
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Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment
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The owners of low-cost investments keep a larger portion of their gross returns
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REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS
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If you have questions about your IRA, want to transfer an IRA from another
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THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated and
managed in your best interests since, as a shareholder, you are a part owner of
the fund. Your fund 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 sizable
personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business,
academia, and public service to their task of working with Vanguard officers to
establish the policies and oversee the activities of
- ------------------------------------------------------------------------------------------------------------
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee
(1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies
May 1987 Executive Officer, served by The Vanguard Group.
and Trustee
(118)
- ------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor
(1937) (118) to Greenwich Associates (international business strategy consulting);
January 2001 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 Trustee Chairman and Chief Executive Officer (since October 1999), Vice
(1945) (118) Chairman (January-September 1999), and Vice President (prior to
December 2001 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; and Trustee of Drexel University.
- ------------------------------------------------------------------------------------------------------------
JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the
HEISEN (118) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer
(1950) products); Director of the Medical Center at Princeton and Women's
July 1998 Research and Education Institute.
- ------------------------------------------------------------------------------------------------------------
BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University;
(1932) (116) Director of Vanguard Investment Series plc (Irish invest-ment fund)
May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish
investment management firm)(since November 2001),Prudential Insurance
Co. of America, BKF Capital (investment management), The Jeffrey Co.
(holding company), and NeuVis, Inc.(software company).
- ------------------------------------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment
advisors for the funds; monitoring fund operations, performance, and costs;
reviewing contracts; nominating and selecting new trustees/directors; and
electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee's
retirement, resignation, or death; or otherwise as specified in the fund's
organizational documents. Any trustee may be removed at a shareholders' meeting
by a vote representing two-thirds of the net asset value of all shares of the
fund together with shares of other Vanguard funds organized within the same
trust. The table on these two pages shows information for each trustee and
executive officer of the fund. The mailing address of the trustees and officers
is P.O. Box 876, Valley Forge, PA 19482.
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO
(1941) (118) Industries, Inc. (forklift trucks/housewares/lignite); Director of
January 1993 Goodrich Corporation (industrial products/aircraft systems and
services); Director of Standard Products Company (supplier for
the automotive industry) until 1998.
- ------------------------------------------------------------------------------------------------------------
J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co.
(1936) (118) (chemicals); Director of Cummins Inc. (diesel engines), The Mead
April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal
distribution); Trustee of Vanderbilt University.
- ------------------------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.;
(1951) (118) Secretary of The Vanguard Group and of each of the investment
June 2001 companies served by The Vanguard Group.
- ------------------------------------------------------------------------------------------------------------
Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the
(1957) (118) investment companies served by The Vanguard Group.
July 1998
- ------------------------------------------------------------------------------------------------------------
*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. MICHAEL S. MILLER, Planning and Development.
JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance.
KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer.
F. WILLIAM MCNABB, III, Client Relationship Group.
- ------------------------------------------------------------------------------------------------------------
JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996.
- ------------------------------------------------------------------------------------------------------------
[VANGUARD SHIP LOGO]
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FOR MORE INFORMATION
This report is intended for the funds' shareholders. It may not be distributed
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VANGUARD MARKETING
CORPORATION, DISTRIBUTOR.
Q850 022004
AS OF 12/31/2003
VANGUARD(R)U.S. STOCK INDEX FUNDS
TOTAL STOCK MARKET INDEX FUND
STATEMENT OF NET ASSETS
The Statement of Net Assets should be read in conjunction with the Statement of
Operations, Statement of Changes in Net Assets, Financial Highlights, Notes to
Financial Statements, and Report of Independent Auditors, all of which appear in
the accompanying report.
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. Because all income and any realized gains
must be distributed to shareholders each year, the bulk of net assets consists
of Paid-in Capital (money invested by shareholders). The amounts shown for
Undistributed Net Investment Income and Accumulated Net Realized Gains usually
approximate the sums the fund had available to distribute to shareholders as
income dividends or capital gains as of the statement date, but may differ
because certain investments or transactions may be treated differently for
financial statement and tax purposes. Any Accumulated Net Realized Losses, and
any cumulative excess of distributions over net income or net realized gains,
will appear as negative balances. Unrealized Appreciation (Depreciation) is the
difference between the market value of the fund's investments and their cost,
and reflects the gains (losses) that would be realized if the fund were to sell
all of its investments at their statement-date values.
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
General Electric Co. 32,473,695 $1,006,035
Microsoft Corp. 34,969,239 963,053
ExxonMobil Corp. 21,377,179 876,464
Pfizer Inc. 24,681,610 872,001
Citigroup, Inc. 16,683,962 809,840
Wal-Mart Stores, Inc. 13,996,723 742,526
Intel Corp. 21,125,510 680,241
American International
Group, Inc. 8,434,523 559,040
* Cisco Systems, Inc. 22,326,517 542,311
International Business
Machines Corp. 5,564,191 515,689
Johnson & Johnson 9,599,445 495,907
The Procter & Gamble Co. 4,193,899 418,887
The Coca-Cola Co. 7,928,655 402,379
Bank of America Corp. 4,805,346 386,494
Altria Group, Inc. 6,569,146 357,493
Merck & Co., Inc. 7,195,993 332,455
Wells Fargo & Co. 5,472,309 322,264
Verizon Communications 8,931,329 313,311
ChevronTexaco Corp. 3,457,262 298,673
* Berkshire Hathaway Inc.
Class A 3,410 287,293
* Dell Inc. 8,280,867 281,218
SBC Communications Inc. 10,707,274 279,139
United Parcel Service, Inc. 3,635,993 271,063
* Time Warner, Inc. 14,624,044 263,087
Home Depot, Inc. 7,358,477 261,152
PepsiCo, Inc. 5,552,298 258,848
* Amgen, Inc. 4,171,941 257,826
Eli Lilly & Co. 3,631,728 255,419
Viacom Inc. Class B 5,480,120 243,208
J.P. Morgan Chase & Co. 6,598,633 242,368
Fannie Mae 3,142,544 235,879
Abbott Laboratories 5,056,138 235,616
Hewlett-Packard Co. 9,861,417 226,517
* Oracle Corp. 16,903,868 223,131
* Comcast Corp. Class A 6,625,013 217,764
3M Co. 2,538,491 215,848
Morgan Stanley 3,502,764 202,705
American Express Co. 4,160,121 200,643
Wachovia Corp. 4,281,297 199,466
Medtronic, Inc. 3,920,106 190,556
1
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
U.S. Bancorp 6,237,957 185,766
Wyeth 4,307,344 182,847
Merrill Lynch & Co., Inc. 3,062,923 179,640
Bristol-Myers Squibb Co. 6,272,016 179,380
BellSouth Corp. 5,977,147 169,153
Bank One Corp. 3,615,557 164,833
Texas Instruments, Inc. 5,597,207 164,446
The Walt Disney Co. 6,615,106 154,330
The Goldman Sachs Group, Inc. 1,531,340 151,189
FleetBoston Financial Corp. 3,410,634 148,874
E.I. du Pont de Nemours & Co. 3,223,787 147,940
ConocoPhillips Co. 2,201,810 144,373
United Technologies Corp. 1,521,868 144,227
Lowe's Cos., Inc. 2,543,207 140,868
QUALCOMM Inc. 2,587,636 139,551
Anheuser-Busch Cos., Inc. 2,635,103 138,817
* eBay Inc. 2,089,289 134,947
Freddie Mac 2,250,071 131,224
Dow Chemical Co. 2,977,183 123,762
* Applied Materials, Inc. 5,378,883 120,756
Walgreen Co. 3,315,666 120,624
Gillette Co. 3,272,156 120,186
Washington Mutual, Inc. 2,909,635 116,735
The Boeing Co. 2,720,734 114,652
Target Corp. 2,947,897 113,199
UnitedHealth Group Inc. 1,897,353 110,388
Fifth Third Bancorp 1,840,342 108,764
Alcoa Inc. 2,798,704 106,351
Motorola, Inc. 7,528,403 105,925
Schlumberger Ltd. 1,893,438 103,609
* Liberty Media Corp. 8,705,046 103,503
MBNA Corp. 4,132,268 102,687
McDonald's Corp. 4,104,757 101,921
* EMC Corp. 7,774,967 100,453
* Nextel Communications, Inc. 3,556,053 99,783
Allstate Corp. 2,275,517 97,893
* Boston Scientific Corp. 2,649,361 97,391
First Data Corp. 2,357,133 96,855
General Motors Corp. 1,813,625 96,848
Kimberly-Clark Corp. 1,631,499 96,405
* Yahoo! Inc. 2,125,977 96,030
Ford Motor Co. 5,921,921 94,751
Caterpillar, Inc. 1,123,064 93,237
Clear Channel
Communications, Inc. 1,990,910 93,234
Honeywell International Inc. 2,788,061 93,205
Emerson Electric Co. 1,360,932 88,120
Colgate-Palmolive Co. 1,737,545 86,964
Cardinal Health, Inc. 1,400,285 85,641
Illinois Tool Works, Inc. 996,586 83,624
The Bank of New York Co., Inc. 2,501,946 82,864
Metropolitan Life Insurance Co. 2,458,503 82,778
Schering-Plough Corp. 4,752,430 82,645
Marsh & McLennan Cos., Inc. 1,714,951 82,129
Carnival Corp. 2,037,252 80,940
Gannett Co., Inc. 876,722 78,169
Sysco Corp. 2,093,046 77,924
Automatic Data Processing, Inc. 1,922,561 76,153
Lockheed Martin Corp. 1,458,240 74,954
* Forest Laboratories, Inc. 1,182,600 73,085
Prudential Financial, Inc. 1,748,129 73,019
* Cendant Corp. 3,276,892 72,976
Southern Co. 2,368,117 71,636
* InterActiveCorp 2,092,501 70,999
Exelon Corp. 1,057,679 70,188
* AT&T Wireless Services Inc. 8,779,060 70,145
HCA Inc. 1,602,558 68,846
BB&T Corp. 1,767,859 68,310
* Amazon.com, Inc. 1,297,234 68,286
Newmont Mining Corp.
(Holding Co.) 1,397,426 67,929
Lehman Brothers Holdings, Inc. 878,229 67,817
The Gap, Inc. 2,897,278 67,246
International Paper Co. 1,553,905 66,989
Dominion Resources, Inc. 1,049,289 66,976
* Genentech, Inc. 713,622 66,774
National City Corp. 1,966,176 66,732
* Cox Communications, Inc.
Class A 1,917,457 66,056
FedEx Corp. 964,753 65,121
SunTrust Banks, Inc. 910,531 65,103
Guidant Corp. 1,005,847 60,552
Baxter International, Inc. 1,973,819 60,241
Duke Energy Corp. 2,935,105 60,023
AFLAC Inc. 1,658,661 60,010
Progressive Corp. of Ohio 698,642 58,399
NIKE, Inc. Class B 848,783 58,108
General Dynamics Corp. 639,561 57,810
Union Pacific Corp. 825,393 57,348
Northrop Grumman Corp. 592,367 56,630
State Street Corp. 1,081,049 56,301
Waste Management, Inc. 1,883,837 55,762
Sara Lee Corp. 2,555,991 55,491
Travelers Property Casualty
Corp. Class B 3,249,778 55,149
* Zimmer Holdings, Inc. 782,138 55,063
* Costco Wholesale Corp. 1,480,477 55,044
SLM Corp. 1,458,140 54,943
Stryker Corp. 645,195 54,848
General Mills, Inc. 1,207,557 54,702
Best Buy Co., Inc. 1,046,766 54,683
Analog Devices, Inc. 1,188,334 54,247
The Hartford Financial
Services Group Inc. 915,032 54,014
2
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Omnicom Group Inc. 614,578 53,671
Maxim Integrated
Products, Inc. 1,062,790 52,927
Occidental Petroleum Corp. 1,245,645 52,616
Tribune Co. 1,009,922 52,112
Charles Schwab Corp. 4,387,488 51,948
AT&T Corp. 2,555,178 51,870
Avon Products, Inc. 764,981 51,629
* Veritas Software Corp. 1,382,895 51,388
Computer Associates
International, Inc. 1,872,924 51,206
Golden West Financial Corp. 491,437 50,711
Deere & Co. 776,213 50,493
Kellogg Co. 1,320,070 50,268
* Kohl's Corp. 1,099,692 49,420
PNC Financial Services Group 896,753 49,079
* Hughes Electronics Corp. 2,940,147 48,659
* WellPoint Health Networks Inc.
Class A 501,528 48,643
Sprint Corp. 2,923,590 48,005
* Sun Microsystems, Inc. 10,565,265 47,438
ALLTEL Corp. 1,009,541 47,024
Harley-Davidson, Inc. 980,156 46,587
CVS Corp. 1,278,038 46,163
* Electronic Arts Inc. 963,680 46,045
ConAgra Foods, Inc. 1,737,438 45,851
Capital One Financial Corp. 746,906 45,778
Danaher Corp. 496,824 45,584
Weyerhaeuser Co. 710,920 45,499
Paychex, Inc. 1,219,649 45,371
Countrywide Financial Corp. 596,001 45,207
* Agilent Technologies, Inc. 1,538,459 44,985
* Corning, Inc. 4,304,471 44,896
Mellon Financial Corp. 1,391,461 44,680
* The Kroger Co. 2,411,150 44,630
* Staples, Inc. 1,602,862 43,758
The McGraw-Hill Cos., Inc. 619,864 43,341
Devon Energy Corp. 752,930 43,113
* Xilinx, Inc. 1,107,931 42,921
Apache Corp. 524,314 42,522
Linear Technology Corp. 1,010,577 42,515
Franklin Resources Corp. 812,333 42,290
Entergy Corp. 740,019 42,277
* Starbucks Corp. 1,265,148 41,826
* Bed Bath & Beyond, Inc. 958,410 41,547
H.J. Heinz Co. 1,138,957 41,492
Anadarko Petroleum Corp. 812,307 41,436
* Univision Communications Inc. 1,043,655 41,423
The Chubb Corp. 607,598 41,377
Southwest Airlines Co. 2,548,580 41,134
Masco Corp. 1,497,977 41,060
Wm. Wrigley Jr. Co. 727,104 40,871
Raytheon Co. 1,347,305 40,473
Praxair, Inc. 1,051,768 40,178
International Game
Technology 1,120,234 39,992
KeyCorp 1,356,963 39,786
American Electric Power
Co., Inc. 1,279,089 39,025
* Biogen Idec Inc. 1,061,007 39,024
FPL Group, Inc. 594,925 38,920
Air Products & Chemicals, Inc. 735,470 38,855
Burlington Northern
Santa Fe Corp. 1,200,739 38,844
* Apollo Group, Inc. Class A 570,674 38,806
* Lucent Technologies, Inc. 13,575,000 38,553
M & T Bank Corp. 388,328 38,173
Electronic Data Systems Corp. 1,553,768 38,129
* Gilead Sciences, Inc. 655,418 38,106
Ingersoll-Rand Co. 561,109 38,088
FirstEnergy Corp. 1,066,841 37,553
Sears, Roebuck & Co. 821,058 37,350
* PG&E Corp. 1,342,311 37,276
Equity Office Properties
Trust REIT 1,293,138 37,048
* KLA-Tencor Corp. 630,062 36,966
Halliburton Co. 1,416,930 36,840
TJX Cos., Inc. 1,632,516 35,997
Progress Energy, Inc. 793,412 35,910
* Genzyme Corp.--General Division 725,406 35,792
Burlington Resources, Inc. 643,155 35,618
Campbell Soup Co. 1,327,361 35,573
* Xerox Corp. 2,563,681 35,379
PPG Industries, Inc. 549,688 35,191
SouthTrust Corp. 1,073,855 35,147
John Hancock Financial
Services, Inc. 935,920 35,097
Baker Hughes, Inc. 1,083,674 34,851
* Chiron Corp. 607,651 34,630
Marriott International, Inc.
Class A 748,664 34,588
The Principal Financial
Group, Inc. 1,044,838 34,553
* Symantec Corp. 996,900 34,543
* St. Jude Medical, Inc. 558,131 34,241
* Intuit, Inc. 642,463 33,993
Johnson Controls, Inc. 292,300 33,942
Becton, Dickinson & Co. 821,595 33,800
Fortune Brands, Inc. 472,514 33,780
* Anthem, Inc. 447,445 33,558
* Broadcom Corp. 980,118 33,412
Aetna Inc. 493,750 33,368
Public Service Enterprise
Group, Inc. 760,838 33,325
3
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Fox Entertainment Group, Inc.
Class A 1,140,239 33,238
Marathon Oil Corp. 1,003,580 33,208
The Clorox Co. 682,747 33,154
Northern Trust Corp. 713,430 33,117
* Yum! Brands, Inc. 952,119 32,753
* Lexmark International, Inc. 416,078 32,720
Allergan, Inc. 422,412 32,445
Hershey Foods Corp. 421,199 32,428
Coca-Cola Enterprises, Inc. 1,472,387 32,201
PACCAR, Inc. 377,832 32,161
H & R Block, Inc. 577,383 31,970
Archer-Daniels-Midland Co. 2,091,746 31,836
Comerica, Inc. 567,531 31,816
Consolidated Edison Inc. 729,437 31,373
* Safeway, Inc. 1,431,266 31,359
Unocal Corp. 838,428 30,879
Rohm & Haas Co. 720,565 30,775
Pitney Bowes, Inc. 755,973 30,708
McKesson Corp. 943,234 30,334
Limited Brands, Inc. 1,673,169 30,167
Biomet, Inc. 828,356 30,160
Norfolk Southern Corp. 1,264,147 29,897
Adobe Systems, Inc. 758,070 29,792
* Medco Health Solutions, Inc. 875,401 29,755
Loews Corp. 600,356 29,688
St. Paul Cos., Inc. 738,675 29,288
Moody's Corp. 481,933 29,181
Kraft Foods Inc. 905,649 29,180
Simon Property Group, Inc. REIT 619,510 28,708
Synovus Financial Corp. 977,072 28,257
Marshall & Ilsley Corp. 732,847 28,031
AmSouth Bancorp 1,137,306 27,864
* Altera Corp. 1,226,503 27,842
Cintas Corp. 552,668 27,705
* PeopleSoft, Inc. 1,212,766 27,651
MBIA, Inc. 466,386 27,624
Federated Department
Stores, Inc. 585,798 27,609
May Department Stores Co. 934,647 27,170
* EchoStar Communications
Corp. Class A 797,275 27,107
UnionBanCal Corp. 470,539 27,075
Albertson's, Inc. 1,188,421 26,918
* Computer Sciences Corp. 607,008 26,848
Mattel, Inc. 1,390,371 26,792
Regions Financial Corp. 719,576 26,768
* Micron Technology, Inc. 1,977,362 26,635
Eaton Corp. 246,218 26,587
* Berkshire Hathaway
Inc. Class B 9,393 26,441
Equity Residential REIT 892,165 26,328
CIGNA Corp. 454,409 26,129
Dover Corp. 656,120 26,081
* SunGard Data Systems, Inc. 930,774 25,792
Bear Stearns Co., Inc. 319,515 25,545
Georgia Pacific Group 823,393 25,253
Textron, Inc. 440,707 25,147
PPL Corp. 573,646 25,097
* Apple Computer, Inc. 1,172,473 25,056
Charter One Financial, Inc. 723,048 24,981
TXU Corp. 1,049,629 24,897
* Transocean Inc. 1,036,798 24,894
CSX Corp. 692,238 24,879
CIT Group Inc. 689,893 24,802
* Fiserv, Inc. 626,866 24,767
E.W. Scripps Co. Class A 261,524 24,620
* Quest Diagnostics, Inc. 336,465 24,599
* AutoZone Inc. 287,503 24,498
Washington Post Co. Class B 30,861 24,423
Monsanto Co. 847,472 24,390
* Qwest Communications
International Inc. 5,640,858 24,369
Aon Corp. 1,014,429 24,285
Freeport-McMoRan Copper &
Gold, Inc. Class B 575,484 24,245
Ameren Corp. 525,976 24,195
* Tenet Healthcare Corp. 1,504,639 24,149
Ambac Financial Group, Inc. 345,780 23,994
New York Community
Bancorp, Inc. 625,605 23,804
Eastman Kodak Co. 927,279 23,803
* American Standard Cos., Inc. 235,847 23,750
* National Semiconductor Corp. 600,447 23,664
Hudson City Bancorp, Inc. 617,236 23,566
Kinder Morgan, Inc. 398,712 23,564
Starwood Hotels & Resorts
Worldwide, Inc. 654,324 23,536
* Juniper Networks, Inc. 1,258,870 23,516
Lincoln National Corp. 575,858 23,247
J.C. Penney Co., Inc.
(Holding Co.) 883,386 23,215
* Affiliated Computer Services,
Inc. Class A 425,564 23,176
* Edison International 1,054,088 23,116
Jefferson-Pilot Corp. 456,254 23,109
New York Times Co. Class A 482,480 23,058
* Network Appliance, Inc. 1,116,273 22,917
Dollar General Corp. 1,090,472 22,889
Parker Hannifin Corp. 384,200 22,860
Lennar Corp. Class A 237,764 22,825
Ecolab, Inc. 833,345 22,809
* Coach, Inc. 600,479 22,668
Sovereign Bancorp, Inc. 947,453 22,502
4
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Microchip Technology, Inc. 671,341 22,396
Cinergy Corp. 576,298 22,366
* Concord EFS, Inc. 1,505,017 22,334
* Siebel Systems, Inc. 1,604,235 22,251
ITT Industries, Inc. 298,963 22,186
D. R. Horton, Inc. 509,404 22,037
Sempra Energy 732,055 22,006
* Phelps Dodge Corp. 289,109 21,998
Mylan Laboratories, Inc. 870,005 21,976
Xcel Energy, Inc. 1,292,066 21,939
* Caremark Rx, Inc. 862,072 21,836
Cincinnati Financial Corp. 519,780 21,768
Royal Caribbean Cruises, Ltd. 625,656 21,767
Centex Corp. 201,460 21,687
Rockwell Automation, Inc. 604,339 21,514
Molex, Inc. 616,262 21,501
DTE Energy Co. 544,799 21,465
Tiffany & Co. 474,423 21,444
Constellation Energy Group, Inc. 541,481 21,204
* Sanmina-SCI Corp. 1,674,464 21,115
Hilton Hotels Corp. 1,229,208 21,056
* Interpublic Group of Cos., Inc. 1,341,359 20,925
* Novellus Systems, Inc. 493,348 20,745
The Pepsi Bottling Group, Inc. 850,511 20,565
* Comcast Corp. Special Class A 654,930 20,486
Vornado Realty Trust REIT 373,113 20,428
* MedImmune Inc. 801,011 20,346
AmerisourceBergen Corp. 361,936 20,323
Newell Rubbermaid, Inc. 887,978 20,219
Avery Dennison Corp. 357,731 20,040
Family Dollar Stores, Inc. 557,959 20,020
Knight Ridder 258,397 19,992
North Fork Bancorp, Inc. 490,904 19,867
Total System Services, Inc. 637,565 19,847
* NTL Inc. 283,595 19,781
* Nabors Industries, Inc. 474,754 19,702
Murphy Oil Corp. 297,531 19,432
Union Planters Corp. 616,957 19,428
Popular, Inc. 429,831 19,317
General Growth Properties
Inc. REIT 695,624 19,304
MeadWestvaco Corp. 648,807 19,302
IMS Health, Inc. 774,585 19,256
* Ameritrade Holding Corp. 1,366,709 19,230
UST, Inc. 537,629 19,188
T. Rowe Price Group Inc. 403,406 19,125
* AES Corp. 2,016,334 19,034
KeySpan Corp. 514,716 18,942
* Sprint PCS 3,352,387 18,840
Pulte Homes, Inc. 200,814 18,800
GlobalSantaFe Corp. 756,715 18,789
Genuine Parts Co. 563,012 18,692
ProLogis REIT 582,309 18,686
NiSource, Inc. 849,823 18,645
Health Management Associates
Class A 775,743 18,618
Fidelity National Financial, Inc. 480,009 18,615
Delphi Corp. 1,814,379 18,525
* BJ Services Co. 512,570 18,401
Brown-Forman Corp. Class B 195,794 18,297
* Jabil Circuit, Inc. 646,115 18,285
* Millennium Pharmaceuticals, Inc. 975,907 18,220
MGIC Investment Corp. 318,489 18,135
National Commerce
Financial Corp. 664,465 18,127
Valero Energy Corp. 389,868 18,066
Plum Creek Timber Co. Inc. REIT 592,403 18,039
First Tennessee National Corp. 406,511 17,927
Zions Bancorp 291,406 17,872
Public Storage, Inc. REIT 411,328 17,848
Harrah's Entertainment, Inc. 357,439 17,790
* MGM Mirage, Inc. 468,827 17,633
Cooper Industries, Inc. Class A 302,754 17,539
SAFECO Corp. 449,300 17,491
* Avaya Inc. 1,351,350 17,486
* CNA Financial Corp. 724,289 17,455
* Laboratory Corp. of
America Holdings 469,035 17,331
Archstone-Smith Trust REIT 619,077 17,322
Rockwell Collins, Inc. 573,474 17,221
EOG Resources, Inc. 372,859 17,215
Banknorth Group, Inc. 523,607 17,033
* Synopsys, Inc. 503,447 16,996
* JDS Uniphase Corp. 4,646,098 16,958
* Office Depot, Inc. 1,013,875 16,942
* Express Scripts Inc. 254,254 16,890
XTO Energy, Inc. 596,624 16,884
* Advanced Micro Devices, Inc. 1,129,354 16,827
* Barr Pharmaceuticals Inc. 217,588 16,743
Torchmark Corp. 366,995 16,713
Huntington Bancshares Inc. 742,128 16,698
* Cablevision Systems NY Group
Class A 710,619 16,621
* Dean Foods Co. 504,647 16,588
Legg Mason Inc. 214,110 16,525
Williams Cos., Inc. 1,676,177 16,460
Sherwin-Williams Co. 472,786 16,425
Whirlpool Corp. 225,830 16,407
* AutoNation, Inc. 892,285 16,391
RadioShack Corp. 531,486 16,306
El Paso Corp. 1,971,310 16,145
* BEA Systems, Inc. 1,312,170 16,140
* L-3 Communications
Holdings, Inc. 313,852 16,119
5
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Watson Pharmaceuticals, Inc. 349,843 16,093
* Solectron Corp. 2,709,392 16,013
Kimco Realty Corp. REIT 357,742 16,009
R.J. Reynolds Tobacco
Holdings, Inc. 273,713 15,916
* Unisys Corp. 1,069,348 15,880
* AdvancePCS 300,939 15,847
* QLogic Corp. 306,085 15,794
* Teradyne, Inc. 620,058 15,780
American Power
Conversion Corp. 644,079 15,748
Harman International
Industries, Inc. 212,716 15,737
* SanDisk Corp. 256,908 15,707
Vulcan Materials Co. 328,966 15,649
CDW Corp. 270,054 15,598
Compass Bancshares Inc. 394,734 15,517
Green Point Financial Corp. 439,198 15,512
* Noble Corp. 433,314 15,504
Amerada Hess Corp. 290,771 15,460
Estee Lauder Cos. Class A 392,544 15,411
* Cadence Design Systems, Inc. 851,459 15,309
* Weatherford International Ltd. 424,478 15,281
Boston Properties, Inc. REIT 316,737 15,264
Nordstrom, Inc. 444,589 15,249
CenturyTel, Inc. 466,426 15,215
* Varian Medical Systems, Inc. 220,073 15,207
Kerr-McGee Corp. 326,891 15,197
* Mohawk Industries, Inc. 215,145 15,176
* IVAX Corp. 635,293 15,171
UnumProvident Corp. 959,076 15,125
VF Corp. 349,644 15,119
Tyson Foods, Inc. 1,136,168 15,043
* E*TRADE Financial Corp. 1,184,118 14,979
Old Republic International Corp. 587,856 14,908
* Sealed Air Corp. 275,255 14,902
Smurfit-Stone Container Corp. 800,051 14,857
Radian Group, Inc. 303,765 14,809
* SPX Corp. 247,090 14,531
Wendy's International, Inc. 368,701 14,468
Jones Apparel Group, Inc. 409,637 14,432
* Mercury Interactive Corp. 291,933 14,200
Nucor Corp. 253,360 14,188
* Patterson Dental Co. 220,919 14,174
W.W. Grainger, Inc. 295,776 14,017
Applera Corp.-Applied
Biosystems Group 674,320 13,965
Rouse Co. REIT 293,066 13,774
Transatlantic Holdings, Inc. 170,036 13,739
* BMC Software, Inc. 733,512 13,680
* LAM Research Corp. 422,946 13,661
Duke Realty Corp. REIT 440,113 13,644
C.R. Bard, Inc. 167,871 13,640
* Metro-Goldwyn-Mayer Inc. 793,060 13,553
McCormick & Co., Inc. 449,415 13,527
* Smith International, Inc. 324,580 13,477
Lear Corp. 219,166 13,441
Leggett & Platt, Inc. 620,987 13,432
Scientific-Atlanta, Inc. 491,500 13,418
White Mountains Insurance
Group Inc. 29,163 13,414
Omnicare, Inc. 331,605 13,394
* Weight Watchers
International, Inc. 346,335 13,289
* Thermo Electron Corp. 526,964 13,279
Republic Services, Inc. Class A 515,987 13,225
ENSCO International, Inc. 486,174 13,209
Dow Jones & Co., Inc. 264,164 13,169
* Williams-Sonoma, Inc. 378,025 13,144
* Waters Corp. 395,286 13,108
* Allied Waste Industries, Inc. 940,961 13,061
* Career Education Corp. 325,012 13,023
* Whole Foods Market, Inc. 193,916 13,018
Ross Stores, Inc. 491,940 13,002
Sigma-Aldrich Corp. 226,718 12,964
* Robert Half International, Inc. 554,505 12,942
Commerce Bancorp, Inc. 245,575 12,937
Expeditors International of
Washington, Inc. 340,490 12,823
Sunoco, Inc. 250,095 12,792
Janus Capital Group Inc. 779,308 12,788
iStar Financial Inc. REIT 328,396 12,775
* VeriSign, Inc. 783,453 12,770
* Host Marriott Corp. REIT 1,035,275 12,755
Wisconsin Energy Corp. 381,065 12,747
* XM Satellite Radio
Holdings, Inc. 483,528 12,746
* Novell, Inc. 1,208,091 12,709
Diebold, Inc. 235,719 12,698
Symbol Technologies, Inc. 748,422 12,641
* Coventry Health Care Inc. 194,452 12,540
Liz Claiborne, Inc. 353,446 12,533
* Level 3 Communications, Inc. 2,197,984 12,529
Hillenbrand Industries, Inc. 200,746 12,458
SuperValu Inc. 434,448 12,421
Black & Decker Corp. 251,690 12,413
* Pixar, Inc. 179,004 12,403
SCANA Corp. 359,199 12,303
Fastenal Co. 245,408 12,256
* Pioneer Natural Resources Co. 383,050 12,231
* NVIDIA Corp. 524,657 12,198
* Health Net Inc. 372,759 12,189
* Pactiv Corp. 509,736 12,183
Engelhard Corp. 406,681 12,180
6
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Hasbro, Inc. 565,730 12,039
Alberto-Culver Co. Class B 190,698 12,029
* The Dun & Bradstreet Corp. 236,917 12,014
* King Pharmaceuticals, Inc. 781,967 11,933
* Vishay Intertechnology, Inc. 520,472 11,919
* Humana Inc. 521,155 11,908
* NCR Corp. 306,909 11,908
Manpower Inc. 252,371 11,882
Pinnacle West Capital Corp. 295,768 11,837
* Celgene Corp. 262,799 11,831
Hibernia Corp. Class A 502,453 11,813
TCF Financial Corp. 229,951 11,808
Mercantile Bankshares Corp. 258,400 11,778
United States Steel Corp. 334,106 11,700
Telephone & Data Systems, Inc. 186,244 11,650
Hormel Foods Corp. 449,343 11,598
* Foundry Networks, Inc. 423,640 11,591
DENTSPLY International Inc. 256,576 11,590
* Oxford Health Plans, Inc. 266,172 11,578
* Invitrogen Corp. 165,305 11,571
Allied Capital Corp. 412,964 11,513
The PMI Group Inc. 307,732 11,457
* Citizens Communications Co. 921,670 11,447
* Tellabs, Inc. 1,351,837 11,396
Goodrich Corp. 381,043 11,313
* DST Systems, Inc. 270,560 11,299
Doral Financial Corp. 349,639 11,286
Darden Restaurants Inc. 535,488 11,267
* Citrix Systems, Inc. 530,826 11,259
* Constellation Brands, Inc.
Class A 340,884 11,225
* Dollar Tree Stores, Inc. 372,695 11,203
Intersil Corp. 449,649 11,174
ServiceMaster Co. 958,606 11,168
Friedman, Billings, Ramsey
Group, Inc. 483,207 11,152
R.R. Donnelley & Sons Co. 368,862 11,121
* Westwood One, Inc. 324,757 11,110
PETsMART, Inc. 464,484 11,055
Temple-Inland Inc. 176,275 11,047
Equifax, Inc. 450,563 11,039
Avalonbay Communities,
Inc. REIT 230,597 11,023
Gentex Corp. 249,165 11,003
* Sirius Satellite Radio, Inc. 3,481,697 11,002
* Comverse Technology, Inc. 623,650 10,970
* Providian Financial Corp. 941,805 10,963
* Iron Mountain, Inc. 276,784 10,944
KB HOME 150,574 10,920
Ball Corp. 183,099 10,907
* LSI Logic Corp. 1,227,715 10,890
Pall Corp. 405,160 10,870
Foot Locker, Inc. 463,515 10,869
Commerce Bancshares, Inc. 221,545 10,860
Pepco Holdings, Inc. 554,584 10,837
* NVR, Inc. 23,171 10,798
* ChoicePoint Inc. 283,473 10,797
Outback Steakhouse 242,957 10,741
* Agere Systems Inc. Class A 3,509,873 10,705
Health Care Properties
Investors REIT 210,307 10,684
* Navistar International Corp. 222,733 10,667
Bunge Ltd. 323,593 10,653
* Park Place Entertainment Corp. 983,574 10,652
Energy East Corp. 473,527 10,607
International Flavors &
Fragrances, Inc. 303,033 10,582
Fluor Corp. 266,026 10,545
Apartment Investment &
Management Co. Class A REIT 305,235 10,531
Belo Corp. Class A 371,140 10,518
* Lamar Advertising Co. Class A 281,697 10,513
* Red Hat, Inc. 559,503 10,502
* SICOR, Inc. 386,045 10,500
* PanAmSat Corp. 485,611 10,470
* Chico's FAS, Inc. 282,577 10,441
SEI Corp. 342,599 10,439
Leucadia National Corp. 225,978 10,418
* Brinker International, Inc. 314,140 10,417
* CarMax, Inc. 336,537 10,409
C.H. Robinson Worldwide, Inc. 273,168 10,356
Federated Investors, Inc. 352,528 10,350
* Amkor Technology, Inc. 565,038 10,289
The McClatchy Co. Class A 149,527 10,287
* International Rectifier Corp. 208,069 10,281
* Energizer Holdings, Inc. 273,518 10,273
* CIENA Corp. 1,537,450 10,209
Beckman Coulter, Inc. 200,139 10,173
* Zebra Technologies Corp.
Class A 153,038 10,157
* Ceridian Corp. 484,908 10,154
Associated Banc-Corp 238,010 10,151
Liberty Property Trust REIT 259,951 10,112
* Mid Atlantic Medical
Services, Inc. 155,991 10,108
* Rite Aid Corp. 1,673,503 10,108
Universal Health
Services Class B 188,147 10,107
The Stanley Works 266,285 10,084
Sabre Holdings Corp. 466,193 10,065
Pogo Producing Co. 207,077 10,002
Manor Care, Inc. 288,298 9,966
Eastman Chemical Co. 250,940 9,920
* U.S. Cellular Corp. 279,255 9,914
7
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* 3Com Corp. 1,210,171 9,887
City National Corp. 158,708 9,859
Ashland, Inc. 222,598 9,808
* Rambus Inc. 318,162 9,768
Lyondell Chemical Co. 574,038 9,730
Advance Auto Parts, Inc. 119,110 9,696
* ImClone Systems, Inc. 242,912 9,634
CenterPoint Energy Inc. 993,287 9,625
Michaels Stores, Inc. 217,470 9,612
Astoria Financial Corp. 257,574 9,582
* Lincare Holdings, Inc. 318,696 9,570
Chesapeake Energy Corp. 703,308 9,551
* Henry Schein, Inc. 141,199 9,542
* Fairchild Semiconductor
International, Inc. 381,865 9,535
Student Loan Corp. 65,020 9,493
Arthur J. Gallagher & Co. 291,400 9,468
W.R. Berkley Corp. 270,745 9,463
Brunswick Corp. 297,025 9,454
Questar Corp. 268,620 9,442
GTECH Holdings Corp. 190,760 9,441
* Toll Brothers, Inc. 237,370 9,438
Developers Diversified
Realty Corp. REIT 279,609 9,386
AVX Corp. 563,629 9,368
A.G. Edwards & Sons, Inc. 255,437 9,254
* Storage Technology Corp. 359,196 9,249
The St. Joe Co. 247,800 9,240
Boise Cascade Corp. 280,837 9,228
* Atmel Corp. 1,530,266 9,197
* Getty Images, Inc. 182,882 9,168
Lafarge North America Inc. 226,068 9,160
Precision Castparts Corp. 201,298 9,141
* PacifiCare Health Systems, Inc. 135,192 9,139
* Cognizant Technology
Solutions Corp. 199,419 9,101
* Amphenol Corp. 141,959 9,075
Unitrin, Inc. 218,670 9,055
Alliant Energy Corp. 359,537 8,952
* WebMD Corp. 993,482 8,931
Mandalay Resort Group 199,649 8,928
Autodesk, Inc. 362,724 8,916
Valley National Bancorp 305,248 8,913
Dial Corp. 312,978 8,910
Aramark Corp. Class B 324,853 8,907
Dana Corp. 482,816 8,860
Bausch & Lomb, Inc. 170,658 8,857
* Maxtor Corp. 796,213 8,838
* Entercom Communications Corp. 166,866 8,837
TECO Energy, Inc. 610,785 8,801
Northeast Utilities 434,879 8,772
Erie Indemnity Co. Class A 206,802 8,764
* Toys R Us, Inc. 693,160 8,762
MDU Resources Group, Inc. 367,560 8,752
* JetBlue Airways Corp. 329,222 8,731
AMB Property Corp. REIT 265,512 8,730
* Cephalon, Inc. 180,310 8,729
Tektronix, Inc. 274,960 8,689
Diamond Offshore Drilling, Inc. 423,508 8,686
Equitable Resources, Inc. 202,056 8,672
Allete, Inc. 282,375 8,641
* Jacobs Engineering Group Inc. 179,875 8,636
* Patterson-UTI Energy, Inc. 261,836 8,620
Bemis Co., Inc. 172,388 8,619
Capitol Federal Financial 237,582 8,567
DPL Inc. 409,168 8,543
* Community Health
Systems, Inc. 319,970 8,505
* Fisher Scientific
International Inc. 204,193 8,447
* ICOS Corp. 204,515 8,442
* Avnet, Inc. 389,204 8,430
Hospitality Properties
Trust REIT 203,093 8,384
NSTAR 172,201 8,352
* Cypress Semiconductor Corp. 390,876 8,349
Donaldson Co., Inc. 140,861 8,333
Bowater Inc. 179,838 8,328
The Macerich Co. REIT 187,068 8,325
* Endo Pharmaceuticals
Holdings, Inc. 428,347 8,250
Mercury General Corp. 176,779 8,229
Eaton Vance Corp. 224,348 8,220
* Pride International, Inc. 440,825 8,217
Harris Corp. 216,478 8,215
Hubbell Inc. Class B 186,267 8,214
HON Industries, Inc. 189,260 8,199
Noble Energy, Inc. 184,317 8,189
* Cooper Cameron Corp. 175,569 8,182
Investors Financial
Services Corp. 212,241 8,152
* Convergys Corp. 465,224 8,123
Valspar Corp. 164,291 8,119
* Markel Corp. 31,976 8,106
* Triad Hospitals, Inc. 243,623 8,105
* Newfield Exploration Co. 181,767 8,096
Wesco Financial Corp. 22,998 8,095
* AmeriCredit Corp. 507,278 8,081
* DaVita, Inc. 206,445 8,051
* Monster Worldwide Inc. 366,473 8,048
PepsiAmericas, Inc. 469,195 8,033
Nuveen Investments, Inc.
Class A 300,974 8,024
* Corinthian Colleges, Inc. 144,136 8,008
8
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Nextel Partners, Inc. 593,986 7,989
ADTRAN Inc. 257,264 7,975
Bank of Hawaii Corp. 188,162 7,940
Meredith Corp. 162,505 7,932
* Network Associates, Inc. 524,964 7,895
* Crown Castle International Corp. 714,619 7,882
Mack-Cali Realty Corp. REIT 189,320 7,879
* Western Digital Corp. 667,126 7,865
* Rent-A-Center, Inc. 263,044 7,860
Weingarten Realty
Investors REIT 177,083 7,854
Viacom Inc. Class A 177,200 7,845
New Plan Excel Realty
Trust REIT 317,712 7,838
* Ingram Micro, Inc. Class A 492,949 7,838
* ADC Telecommunications, Inc. 2,617,605 7,774
Sky Financial Group, Inc. 299,458 7,768
Sonoco Products Co. 315,203 7,760
Reinsurance Group of
America, Inc. 200,747 7,759
Chelsea Property Group REIT 141,437 7,752
Catellus Development Corp. 321,025 7,743
* Abercrombie & Fitch Co. 313,234 7,740
Fulton Financial Corp. 352,795 7,730
Regency Centers Corp. REIT 193,887 7,726
Wilmington Trust Corp. 214,273 7,714
International Speedway Corp. 172,613 7,709
Fair, Isaac, Inc. 156,614 7,699
The Chicago
Mercantile Exchange 106,325 7,694
Forest City Enterprise Class A 161,839 7,689
United Dominion Realty
Trust REIT 399,002 7,661
National Instruments Corp. 168,246 7,650
* Hovnanian Enterprises Inc.
Class A 87,765 7,641
* Arrow Electronics, Inc. 328,251 7,596
BorgWarner, Inc. 89,220 7,590
Protective Life Corp. 224,257 7,589
First American Corp. 254,391 7,573
CONSOL Energy, Inc. 292,358 7,572
Trizec Properties, Inc. REIT 490,190 7,549
Reebok International Ltd. 191,658 7,536
* Compuware Corp. 1,245,592 7,523
Packaging Corp. of America 343,040 7,499
Martin Marietta Materials, Inc. 159,107 7,473
* Smithfield Foods, Inc. 360,052 7,453
* American Tower Corp. Class A 686,101 7,424
FirstMerit Corp. 275,215 7,423
* The Cheesecake Factory 167,750 7,386
J.M. Smucker Co. 162,873 7,377
Peabody Energy Corp. 176,469 7,361
* Tech Data Corp. 184,758 7,333
Pentair, Inc. 160,414 7,331
* Eon Labs, Inc. 143,556 7,314
Puget Energy, Inc. 306,746 7,291
* Education Management Corp. 234,638 7,283
Brown & Brown, Inc. 222,674 7,261
American National Insurance Co. 86,060 7,261
* Glamis Gold, Ltd. 422,501 7,233
* Alliant Techsystems, Inc. 125,181 7,230
* BOK Financial Corp. 185,606 7,187
* Pharmaceutical Resources, Inc. 110,272 7,184
* Emulex Corp. 269,100 7,180
Viad Corp. 287,067 7,177
Great Plains Energy, Inc. 225,013 7,160
* CheckFree Corp. 258,870 7,158
* Krispy Kreme Doughnuts, Inc. 195,311 7,148
Ryland Group, Inc. 80,518 7,137
Ryder System, Inc. 208,741 7,129
* Barnes & Noble, Inc. 216,924 7,126
* Conseco, Inc. 326,658 7,121
Maytag Corp. 255,332 7,111
* Columbia Sportswear Co. 130,228 7,097
* Rowan Cos., Inc. 306,008 7,090
* The Neiman Marcus Group, Inc.
Class A 131,296 7,047
* Del Monte Foods Co. 677,536 7,046
PerkinElmer, Inc. 412,434 7,040
Applebee's International, Inc. 178,993 7,029
* Reliant Resources, Inc. 953,424 7,017
* J.B. Hunt Transport
Services, Inc. 259,334 7,005
Colonial BancGroup, Inc. 403,991 6,997
* Silicon Laboratories Inc. 161,250 6,969
Certegy, Inc. 212,248 6,962
* Kmart Holding Corp. 290,275 6,952
* American Axle &
Manufacturing Holdings, Inc. 170,826 6,905
* Saks Inc. 458,837 6,901
Deluxe Corp. 166,714 6,890
Mills Corp. REIT 156,576 6,889
Circuit City Stores, Inc. 679,398 6,882
* ITT Educational Services, Inc. 146,426 6,878
Cullen/Frost Bankers, Inc. 168,641 6,842
OGE Energy Corp. 282,485 6,833
* Millipore Corp. 158,530 6,825
Webster Financial Corp. 148,511 6,811
* Marvel Enterprises Inc. 233,948 6,810
* Apogent Technologies Inc. 294,278 6,780
* O'Reilly Automotive, Inc. 176,739 6,780
ONEOK, Inc. 306,523 6,768
* Amylin Pharmaceuticals, Inc. 304,546 6,767
Rayonier Inc. 162,940 6,764
9
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Valeant Pharmaceuticals
International 268,795 6,760
Cummins Inc. 137,608 6,735
* Kinder Morgan
Management, LLC 156,681 6,731
* AMR Corp. 518,351 6,713
* Gemstar-TV Guide
International, Inc. 1,323,292 6,683
* Integrated Circuit Systems, Inc. 233,971 6,666
Philadelphia Suburban Corp. 301,075 6,654
Adolph Coors Co. Class B 117,758 6,606
HCC Insurance Holdings, Inc. 207,640 6,603
* Sepracor Inc. 274,681 6,573
* Renal Care Group, Inc. 159,120 6,556
* Varco International, Inc. 317,302 6,546
* Westport Resources Corp. 218,882 6,536
* MEMC Electronic Materials, Inc. 674,432 6,488
People's Bank 198,949 6,486
* Sybase, Inc. 314,920 6,481
National Fuel Gas Co. 264,657 6,468
Washington Federal Inc. 226,865 6,443
* Calpine Corp. 1,338,742 6,439
* Stericycle, Inc. 137,116 6,403
Cabot Corp. 200,864 6,396
* BearingPoint, Inc. 633,001 6,387
W Holding Co., Inc. 343,173 6,386
Reynolds & Reynolds Class A 219,381 6,373
* 99 Cents Only Stores 233,882 6,369
Arden Realty Group, Inc. REIT 209,304 6,350
Thornburg Mortgage, Inc. REIT 233,208 6,343
Independence Community
Bank Corp. 176,171 6,337
Medicis Pharmaceutical Corp. 88,829 6,334
Lee Enterprises, Inc. 145,056 6,332
* Polycom, Inc. 323,209 6,309
Pier 1 Imports Inc. 288,481 6,306
American Financial Group, Inc. 237,929 6,296
Polaris Industries, Inc. 70,869 6,278
Waddell & Reed Financial, Inc. 266,991 6,264
* Neurocrine Biosciences, Inc. 114,799 6,261
American Capital
Strategies, Ltd. 210,225 6,250
Teleflex Inc. 129,128 6,241
Harte-Hanks, Inc. 285,707 6,214
Pan Pacific Retail
Properties, Inc. REIT 130,393 6,213
* National-Oilwell, Inc. 276,232 6,177
* Scotts Co. 104,317 6,171
RPM International, Inc. 374,381 6,162
CBRL Group, Inc. 160,576 6,144
MDC Holdings, Inc. 95,163 6,138
* Louisiana-Pacific Corp. 342,599 6,126
Federal Realty Investment
Trust REIT 159,212 6,112
Snap-On Inc. 188,861 6,089
Carlisle Co., Inc. 99,856 6,077
Nationwide Financial
Services, Inc. 183,135 6,054
AGL Resources Inc. 207,853 6,049
Vectren Corp. 244,612 6,030
* RF Micro Devices, Inc. 599,887 6,029
Westcorp, Inc. 164,881 6,026
* Sonus Networks, Inc. 795,786 6,016
BancorpSouth, Inc. 253,471 6,012
Tootsie Roll Industries, Inc. 166,926 6,009
Graco, Inc. 149,692 6,003
Ruby Tuesday, Inc. 210,398 5,994
Jack Henry & Associates Inc. 290,824 5,985
StanCorp Financial Group, Inc. 95,097 5,980
Claire's Stores, Inc. 316,960 5,972
* Edwards Lifesciences Corp. 198,401 5,968
* Ultra Petroleum Corp. 242,360 5,967
* First Health Group Corp. 306,517 5,965
* Timberland Co. 114,415 5,958
* Applied Micro Circuits Corp. 993,396 5,941
Raymond James Financial, Inc. 157,419 5,935
Station Casinos, Inc. 193,573 5,929
Crane Co. 192,322 5,912
Tidewater Inc. 197,552 5,903
International Bancshares Corp. 125,112 5,899
* Integrated Device
Technology Inc. 341,781 5,868
Jefferies Group, Inc. 177,438 5,859
* Martek Biosciences Corp. 89,838 5,837
Harsco Corp. 133,102 5,833
Hawaiian Electric Industries Inc. 123,100 5,831
* 7-Eleven, Inc. 360,890 5,792
* NBTY, Inc. 215,601 5,791
The Timken Co. 288,103 5,779
Oshkosh Truck Corp. 113,240 5,779
Valhi, Inc. 386,057 5,775
Annaly Mortgage
Management Inc. REIT 312,676 5,753
* Yellow Roadway Corp. 159,046 5,753
* The Titan Corp. 263,614 5,749
Herman Miller, Inc. 236,781 5,747
* DeVry, Inc. 228,509 5,742
* Andrew Corp. 498,840 5,742
Health Care Inc. REIT 159,264 5,734
* The Corporate Executive
Board Co. 122,797 5,731
* Swift Transportation Co., Inc. 272,539 5,729
UCBH Holdings, Inc. 146,903 5,725
* BISYS Group, Inc. 384,669 5,724
10
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Global Payments Inc. 121,358 5,718
Roper Industries Inc. 116,015 5,715
* AnnTaylor Stores Corp. 146,421 5,710
Ventas, Inc. REIT 259,422 5,707
* Owens-Illinois, Inc. 478,710 5,692
Camden Property Trust REIT 128,241 5,681
* Gen-Probe Inc. 155,608 5,675
* Advanced Fibre
Communications, Inc. 281,223 5,667
* WFS Financial, Inc. 133,291 5,660
* Andrx Group 235,059 5,651
Talbots Inc. 183,195 5,639
IKON Office Solutions, Inc. 474,389 5,626
Regis Corp. 141,804 5,604
CenterPoint
Properties Corp. REIT 74,635 5,590
* Human Genome Sciences, Inc. 421,065 5,579
CBL & Associates
Properties, Inc. REIT 98,627 5,572
Shurgard Storage Centers, Inc.
Class A REIT 147,611 5,558
Trustmark Corp. 189,627 5,550
* Avocent Corp. 151,888 5,547
* Borders Group, Inc. 252,606 5,537
Crescent Real Estate, Inc. REIT 322,063 5,517
* Agere Systems Inc. Class B 1,900,700 5,512
* Protein Design Labs, Inc. 305,648 5,471
CNF Inc. 161,333 5,469
WPS Resources Corp. 118,077 5,459
* Knight Trading Group, Inc. 372,388 5,452
* INAMED Corp. 113,387 5,449
* Semtech Corp. 239,326 5,440
BRE Properties Inc.
Class A REIT 162,755 5,436
Lubrizol Corp. 166,920 5,428
Patina Oil & Gas Corp. 110,579 5,417
* Big Lots Inc. 380,944 5,413
IndyMac Bancorp, Inc. REIT 181,497 5,407
* Alleghany Corp. 24,299 5,407
Whitney Holdings Corp. 131,869 5,405
* Performance Food Group Co. 149,250 5,398
Hudson United Bancorp 146,061 5,397
ArvinMeritor, Inc. 223,564 5,392
* Cymer, Inc. 116,691 5,390
* Covance, Inc. 200,656 5,378
* Pacific Sunwear of
California, Inc. 253,857 5,361
Furniture Brands
International Inc. 182,078 5,340
Arch Coal, Inc. 170,540 5,316
F.N.B. Corp. 149,479 5,299
* Allmerica Financial Corp. 172,142 5,297
Lancaster Colony Corp. 116,778 5,274
Westamerica Bancorporation 106,093 5,273
* Activision, Inc. 289,409 5,267
* Allegheny Energy, Inc. 412,724 5,266
* Service Corp. International 976,970 5,266
* Dynegy, Inc. 1,228,193 5,257
Thor Industries, Inc. 93,255 5,243
Ametek, Inc. 108,335 5,228
Church & Dwight, Inc. 131,905 5,223
* IDEXX Laboratories Corp. 112,818 5,221
The South Financial Group, Inc. 187,363 5,220
* BJ's Wholesale Club, Inc. 227,059 5,213
* Earthlink, Inc. 521,199 5,212
John Wiley & Sons Class A 199,454 5,192
Standard Pacific Corp. 106,512 5,171
Airgas, Inc. 240,417 5,164
Select Medical Corp. 316,074 5,146
* Respironics, Inc. 113,834 5,133
* Acxiom Corp. 276,131 5,128
Cooper Tire & Rubber Co. 239,589 5,122
* Grant Prideco, Inc. 393,355 5,121
First BanCorp Puerto Rico 129,429 5,119
* STERIS Corp. 226,313 5,115
Florida Rock Industries, Inc. 92,923 5,097
* Charles River Laboratories, Inc. 148,449 5,096
Western Gas Resources, Inc. 107,642 5,086
Park National Corp. 44,884 5,079
Massey Energy Co. 243,811 5,071
Ethan Allen Interiors, Inc. 121,068 5,070
CarrAmerica Realty Corp. REIT 170,067 5,065
* Varian Semiconductor Equipment
Associates, Inc. 115,799 5,059
* Techne Corp. 133,830 5,056
Provident Financial Group, Inc. 158,199 5,054
* West Corp. 217,390 5,050
Peoples Energy Corp. 120,118 5,050
Werner Enterprises, Inc. 258,644 5,041
* FMC Technologies Inc. 216,247 5,039
* Western Wireless Corp. Class A 274,373 5,037
Worthington Industries, Inc. 278,939 5,029
* Ascential Software Corp. 193,169 5,009
Healthcare Realty Trust Inc. REIT 139,841 4,999
* Interactive Data Corp. 301,849 4,999
Media General, Inc. Class A 76,507 4,981
* Forest Oil Corp. 174,023 4,972
* Valassis Communications, Inc. 168,521 4,946
* AGCO Corp. 245,098 4,936
First Midwest Bancorp, Inc. 152,040 4,928
Realty Income Corp. REIT 123,031 4,921
* Accredo Health, Inc. 155,409 4,912
* Pharmaceutical Product
Development, Inc. 181,588 4,897
11
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Cytyc Corp. 355,430 4,891
* MKS Instruments, Inc. 168,512 4,887
* OmniVision Technologies, Inc. 88,102 4,868
* Cytec Industries, Inc. 126,736 4,865
* Brocade Communications
Systems, Inc. 840,912 4,860
* Crown Holdings, Inc. 536,190 4,858
NICOR Inc. 142,607 4,854
* Perot Systems Corp. 359,847 4,851
* Gateway, Inc. 1,052,113 4,840
Briggs & Stratton Corp. 71,710 4,833
Greater Bay Bancorp 169,681 4,833
Cousins Properties, Inc. REIT 157,917 4,832
MAF Bancorp, Inc. 115,212 4,827
SL Green Realty Corp. REIT 117,412 4,820
* The MONY Group Inc. 153,976 4,818
* United Rentals, Inc. 249,998 4,815
Energen Corp. 117,291 4,812
Cooper Cos., Inc. 102,091 4,812
York International Corp. 130,636 4,807
* Affiliated Managers Group, Inc. 68,987 4,801
Westar Energy, Inc. 236,703 4,793
* Emmis Communications, Inc. 177,096 4,790
* Copart, Inc. 289,818 4,782
* Tom Brown, Inc. 148,246 4,781
* Avid Technology, Inc. 99,439 4,773
* Dade Behring Holdings Inc. 133,364 4,766
Blyth, Inc. 147,666 4,758
Essex Property Trust, Inc. REIT 74,064 4,756
* Urban Outfitters, Inc. 128,280 4,753
* Bio-Rad Laboratories, Inc.
Class A 82,332 4,748
Odyssey Re Holdings Corp. 210,386 4,744
* Apria Healthcare Group Inc. 166,604 4,743
Piedmont Natural Gas, Inc. 109,030 4,738
Delta Air Lines, Inc. 401,064 4,737
* Plantronics, Inc. 144,889 4,731
UGI Corp. Holding Co. 139,499 4,729
Old National Bancorp 206,734 4,724
* American Greetings Corp.
Class A 215,514 4,713
* Tractor Supply Co. 121,014 4,706
Reader's Digest Association, Inc. 321,005 4,706
* Affymetrix, Inc. 191,204 4,706
* Zale Corp. 88,353 4,700
* Varian, Inc. 112,544 4,696
* Meridian Gold Co. 320,945 4,689
* TIBCO Software Inc. 691,607 4,682
* Micrel, Inc. 300,142 4,676
HRPT Properties Trust REIT 462,936 4,671
Polo Ralph Lauren Corp. 161,637 4,655
* Sycamore Networks, Inc. 887,453 4,650
Kennametal, Inc. 116,785 4,642
Trinity Industries, Inc. 150,396 4,638
Hearst-Argyle Television Inc. 167,481 4,616
* Benchmark Electronics, Inc. 132,336 4,607
AptarGroup Inc. 117,958 4,600
* CACI International, Inc. 94,611 4,600
Citizens Banking Corp. 140,224 4,588
Alexander & Baldwin, Inc. 136,054 4,584
Winn-Dixie Stores, Inc. 460,623 4,583
* Hot Topic, Inc. 155,420 4,579
Helmerich & Payne, Inc. 163,806 4,575
* ResMed Inc. 109,914 4,566
* IGEN International, Inc. 77,387 4,559
Extended Stay America, Inc. 314,662 4,556
* DoubleClick Inc. 445,724 4,555
* Electronics for Imaging, Inc. 174,654 4,544
* The Yankee Candle Co., Inc. 166,247 4,544
* ON Semiconductor Corp. 702,739 4,533
* The Medicines Co. 153,509 4,522
New Century Financial Corp. 113,931 4,520
* Evergreen Resources, Inc. 139,000 4,519
Duquesne Light Holdings, Inc. 245,739 4,507
* Premcor, Inc. 173,271 4,505
Prentiss Properties Trust REIT 136,470 4,502
Downey Financial Corp. 91,236 4,498
* Terex Corp. 157,752 4,493
GATX Corp. 160,511 4,491
AmerUs Group Co. 128,145 4,481
Dillard's Inc. 272,235 4,481
Great Lakes Chemical Corp. 164,798 4,481
United Bankshares, Inc. 143,612 4,481
* United Stationers, Inc. 109,274 4,471
* The Goodyear Tire & Rubber Co. 568,866 4,471
* Conexant Systems, Inc. 897,660 4,461
* CMS Energy Corp. 522,609 4,453
Seagate Technology 234,725 4,436
IDEX Corp. 106,614 4,434
* UNOVA, Inc. 192,910 4,427
* Siliconix, Inc. 96,858 4,426
Visteon Corp. 424,091 4,415
WGL Holdings Inc. 158,409 4,402
Highwood Properties, Inc. REIT 173,233 4,400
* Tetra Tech, Inc. 176,835 4,396
* Hercules, Inc. 360,133 4,394
Fresh Del Monte Produce Inc. 184,327 4,393
Hollinger International, Inc. 280,808 4,386
Winnebago Industries, Inc. 63,783 4,385
Engineered Support
Systems, Inc. 79,623 4,384
* Scholastic Corp. 128,638 4,379
* Lexar Media, Inc. 251,135 4,377
* Linens 'n Things, Inc. 145,215 4,368
12
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Key Energy Services, Inc. 423,233 4,364
First Industrial Realty Trust REIT 129,149 4,359
* Southern Union Co. 236,572 4,353
Thomas & Betts Corp. 189,896 4,347
* Cerner Corp. 114,587 4,337
Southwest Bancorporation of
Texas, Inc. 111,580 4,335
Diagnostic Products Corp. 94,212 4,325
* Quest Software, Inc. 303,018 4,303
Beazer Homes USA, Inc. 44,052 4,302
Staten Island Bancorp, Inc. 190,951 4,296
* Cree, Inc. 241,613 4,274
East West Bancorp, Inc. 79,325 4,258
* Fossil, Inc. 151,352 4,239
* Dycom Industries, Inc. 157,777 4,232
United Auto Group, Inc. 134,724 4,217
* Akamai Technologies, Inc. 391,967 4,214
FactSet Research Systems Inc. 110,265 4,213
Heritage Property Investment
Trust REIT 148,076 4,213
* MGI Pharma, Inc. 102,150 4,203
* P.F. Chang's China Bistro, Inc. 82,581 4,202
Pennsylvania REIT 115,607 4,197
* Pediatrix Medical Group, Inc. 76,107 4,193
Flagstar Bancorp, Inc. 195,574 4,189
* Skyworks Solutions, Inc. 480,866 4,184
Joy Global Inc. 159,379 4,168
Fremont General Corp. 246,007 4,160
First Citizens BancShares Class A 34,160 4,151
Callaway Golf Co. 245,201 4,132
* Arbitron Inc. 98,833 4,123
* Anteon International Corp. 114,272 4,120
* OSI Pharmaceuticals, Inc. 127,868 4,119
* Choice Hotel International, Inc. 116,575 4,109
Commerce Group, Inc. 103,910 4,104
* Take-Two Interactive
Software, Inc. 142,411 4,103
* Vitesse Semiconductor Corp. 698,859 4,102
Pacific Capital Bancorp 110,918 4,084
* VCA Antech, Inc. 131,762 4,082
Invacare Corp. 100,939 4,075
* Simpson Manufacturing Co. 80,102 4,074
* Sylvan Learning Systems, Inc. 141,319 4,069
Imation Corp. 115,748 4,069
* Silicon Valley Bancshares 112,532 4,059
Corn Products International, Inc. 117,715 4,055
* National Processing, Inc. 172,026 4,051
* Tuesday Morning Corp. 133,887 4,050
Home Properties, Inc. REIT 100,233 4,048
* Alliance Gaming Corp. 164,093 4,045
The Pep Boys
(Manny, Moe & Jack) 176,791 4,043
* K-V Pharmaceutical Co. Class A 157,846 4,025
* Gaylord Entertainment Co. 134,836 4,025
Chittenden Corp. 119,495 4,020
Speedway Motorsports, Inc. 138,698 4,011
* Coeur D'Alene Mines Corp. 693,436 4,008
The Brink's Co. 177,262 4,008
* R.H. Donnelley Corp. 100,575 4,007
* CEC Entertainment Inc. 84,548 4,007
Cognex Corp. 141,874 4,007
* Trimble Navigation Ltd. 107,476 4,002
* Cincinnati Bell Inc. 792,242 4,001
Albemarle Corp. 133,169 3,991
Florida East Coast Industries, Inc.
Class A 120,033 3,973
Atmos Energy Corp. 163,425 3,971
Fred's, Inc. 127,574 3,952
* Cabot Microelectronics Corp. 80,643 3,952
* FMC Corp. 115,521 3,943
Cabot Oil & Gas Corp. 134,287 3,941
* GrafTech International Ltd. 291,889 3,941
Overseas Shipholding Group Inc. 115,668 3,938
* Kronos, Inc. 99,181 3,929
Reckson Associates
Realty Corp. REIT 161,622 3,927
Heartland Express, Inc. 162,220 3,924
Nu Skin Enterprises, Inc. 229,290 3,919
Minerals Technologies, Inc. 66,107 3,917
* Alkermes, Inc. 289,897 3,914
* FLIR Systems, Inc. 107,165 3,912
* Hyperion Solutions Corp. 129,775 3,911
* Sonic Corp. 127,513 3,904
* KEMET Corp. 282,985 3,874
* Esperion Therapeutics, Inc. 111,683 3,865
* Beverly Enterprises, Inc. 449,723 3,863
* Charter Communications, Inc. 960,946 3,863
21st Century Insurance Group 279,647 3,845
* Panera Bread Co. 97,174 3,841
* Mueller Industries Inc. 111,607 3,835
Nordson Corp. 110,987 3,832
Strayer Education, Inc. 35,160 3,826
Olin Corp. 190,564 3,823
Flowers Foods, Inc. 147,900 3,816
Commercial Federal Corp. 142,516 3,807
Hughes Supply, Inc. 76,611 3,801
* American Eagle Outfitters, Inc. 231,762 3,801
* Power Integrations, Inc. 113,278 3,790
* SCP Pool Corp. 115,722 3,782
Superior Industries
International, Inc. 86,843 3,779
* Kos Pharmaceuticals, Inc. 87,754 3,777
* Ralcorp Holdings, Inc. 120,364 3,775
* Cumulus Media Inc. 171,438 3,772
13
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Nationwide Health
Properties, Inc. REIT 192,647 3,766
Equity One, Inc. REIT 222,693 3,759
Washington REIT 128,361 3,748
* Flowserve Corp. 179,137 3,740
* Landstar System, Inc. 98,282 3,739
Hilb, Rogal and Hamilton Co. 116,356 3,732
Mine Safety Appliances Co. 46,927 3,731
The Toro Co. 80,166 3,720
Hugoton Royalty Trust 170,000 3,720
* Houston Exploration Co. 101,707 3,714
Centex Construction
Products, Inc. 61,547 3,709
La-Z-Boy Inc. 176,735 3,708
Bob Evans Farms, Inc. 114,208 3,707
IDACORP, Inc. 123,795 3,704
* Steel Dynamics, Inc. 157,581 3,702
* NPS Pharmaceuticals Inc. 120,339 3,699
IMC Global Inc. 372,507 3,699
* Teletech Holdings Inc. 327,271 3,698
The Phoenix Cos., Inc. 306,836 3,694
PNM Resources Inc. 131,274 3,689
* LifePoint Hospitals, Inc. 125,243 3,688
* Interdigital Communications Corp. 178,465 3,684
* NetFlix.com, Inc. 67,116 3,671
* Stone Energy Corp. 86,363 3,666
Albany International Corp. 107,771 3,653
Ferro Corp. 134,056 3,648
* Radio One, Inc. 186,528 3,647
Cathay General Bancorp 65,481 3,646
* VISX Inc. 157,031 3,635
* Arch Capital Group Ltd. 91,166 3,634
Clarcor Inc. 82,389 3,633
Delphi Financial Group, Inc. 100,534 3,619
Universal Corp. (VA) 81,929 3,619
* Macromedia, Inc. 202,840 3,619
* Cimarex Energy Co. 135,449 3,615
K-Swiss, Inc. 150,150 3,613
Mentor Corp. 150,125 3,612
Alexandria Real Estate
Equities, Inc. REIT 62,312 3,608
Redwood Trust, Inc. REIT 70,734 3,597
* Macrovision Corp. 159,061 3,593
Perrigo Co. 228,102 3,586
* Abgenix, Inc. 287,500 3,582
Kellwood Co. 87,198 3,575
Kilroy Realty Corp. REIT 109,078 3,572
* McDATA Corp. Class A 374,613 3,570
Texas Regional Bancshares, Inc. 96,338 3,565
Community First Bankshares, Inc. 123,022 3,560
Arrow International, Inc. 142,465 3,559
* Intergraph Corp. 148,769 3,559
* Lattice Semiconductor Corp. 367,338 3,556
* eSPEED, Inc. Class A 151,852 3,555
* Kroll Inc. 136,672 3,553
* United Online, Inc. 211,072 3,544
* Select Comfort Corp. 142,961 3,540
Tupperware Corp. 203,608 3,531
* Catalina Marketing Corp. 174,979 3,528
Regal Entertainment Group
Class A 171,763 3,525
* Northwest Airlines Corp.
Class A 278,868 3,519
* Alaris Medical Systems, Inc. 231,337 3,519
* Spinnaker Exploration Co. 109,015 3,518
* Philadelphia Consolidated
Holding Corp. 72,029 3,517
* Wright Medical Group, Inc. 115,337 3,511
Acuity Brands, Inc. 135,925 3,507
* Sybron Dental Specialties, Inc. 124,592 3,501
* Ligand Pharmaceuticals Inc.
Class B 238,024 3,497
* Waste Connections, Inc. 92,443 3,492
Brandywine Realty Trust REIT 129,644 3,471
* Odyssey Healthcare, Inc. 118,420 3,465
* Continental Airlines, Inc. Class B 212,899 3,464
Reliance Steel & Aluminum Co. 104,282 3,463
* Tularik, Inc. 214,056 3,457
* Tesoro Petroleum Corp. 237,193 3,456
Post Properties, Inc. REIT 123,682 3,453
New Jersey Resources Corp. 89,670 3,453
* Hecla Mining Co. 416,542 3,453
Allegheny Technologies Inc. 261,075 3,451
* Ohio Casualty Corp. 198,286 3,442
St. Mary Land & Exploration Co. 120,734 3,441
First Niagara Financial
Group, Inc. 230,159 3,432
* Cox Radio, Inc. 135,947 3,430
* Quicksilver Resources, Inc. 106,113 3,427
MacDermid, Inc. 100,075 3,427
* Cost Plus, Inc. 83,494 3,423
* Brooks Automation, Inc. 141,589 3,422
* Scientific Games Corp. 200,653 3,413
Alpharma, Inc. Class A 169,374 3,404
* Parametric Technology Corp. 863,967 3,404
Colonial Properties Trust REIT 85,927 3,403
Delta & Pine Land Co. 133,952 3,402
* Denbury Resources, Inc. 244,466 3,401
Skywest, Inc. 187,417 3,396
Banta Corp. 83,779 3,393
* Priority Healthcare Corp.
Class B 140,655 3,391
14
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
UMB Financial Corp. 71,314 3,390
* Silicon Storage Technology, Inc. 307,909 3,387
Boyd Gaming Corp. 209,570 3,382
Santander BanCorp 138,791 3,380
LNR Property Corp. 68,204 3,377
Capital Automotive REIT 105,419 3,373
BankAtlantic Bancorp, Inc.
Class A 177,462 3,372
* FileNET Corp. 124,507 3,372
Maguire Properties, Inc. REIT 138,700 3,370
Vintage Petroleum, Inc. 279,993 3,368
* Unit Corp. 142,916 3,366
Alfa Corp. 261,299 3,360
* AMERIGROUP Corp. 78,736 3,358
Lincoln Electric Holdings, Inc. 135,693 3,357
A.O. Smith Corp. 95,755 3,356
Novastar Financial, Inc. REIT 78,108 3,356
* Axcelis Technologies, Inc. 327,373 3,346
* Aeropostale, Inc. 121,600 3,334
Taubman Co. REIT 161,753 3,332
Avista Corp. 183,187 3,319
MSC Industrial Direct Co., Inc.
Class A 120,511 3,314
* Corrections Corp. of
America REIT 114,869 3,312
* Wynn Resorts Ltd. 118,065 3,307
Northwest Bancorp, Inc. 154,756 3,306
* AirTran Holdings, Inc. 277,475 3,302
Wabtec Corp. 193,496 3,297
Northwest Natural Gas Co. 107,164 3,295
Kelly Services, Inc. Class A 115,401 3,294
Impac Mortgage
Holdings, Inc. REIT 180,818 3,293
Rollins, Inc. 145,997 3,292
Longs Drug Stores, Inc. 132,918 3,288
Senior Housing Properties
Trust REIT 190,223 3,278
* Journal Register Co. 157,836 3,267
* Encore Acquisition Co. 132,381 3,263
* CompuCredit Corp. 153,006 3,256
* Vicuron Pharmaceuticals Inc. 174,444 3,253
Potlatch Corp. 93,494 3,251
USF Corp. 95,003 3,248
* Applera Corp.-Celera
Genomics Group 233,220 3,244
Susquehanna Bancshares, Inc. 129,640 3,242
* OMI Corp. 362,700 3,239
* Mentor Graphics Corp. 222,499 3,235
* US Oncology, Inc. 300,263 3,231
* Men's Wearhouse, Inc. 128,715 3,219
Modine Manufacturing Co. 118,482 3,197
Weis Markets, Inc. 88,005 3,195
Arkansas Best Corp. 101,630 3,190
* Chiquita Brands International, Inc. 141,501 3,188
* Internet Security Systems, Inc. 168,847 3,179
Lennox International Inc. 190,157 3,176
* FTI Consulting, Inc. 135,876 3,175
* MPS Group, Inc. 339,528 3,175
* eResearch Technology, Inc. 124,863 3,174
* United Surgical Partners
International, Inc. 94,780 3,173
TrustCo Bank NY 241,157 3,171
Syntel, Inc. 128,154 3,167
* Nektar Therapeutics 232,465 3,164
* Stillwater Mining Co. 330,463 3,163
Granite Construction Co. 134,393 3,157
* Kyphon Inc. 126,906 3,151
BlackRock, Inc. 59,297 3,149
Oakley, Inc. 227,358 3,147
* Transaction Systems
Architects, Inc. 138,965 3,145
* CNET Networks, Inc. 460,834 3,143
LandAmerica Financial Group, Inc. 60,078 3,140
* Align Technology, Inc. 189,917 3,137
* Dionex Corp. 68,048 3,132
Georgia Gulf Corp. 108,368 3,130
* Commonwealth Telephone
Enterprises, Inc. 82,890 3,129
* Armor Holdings, Inc. 118,778 3,125
* Quiksilver, Inc. 175,548 3,112
Black Hills Corp. 104,262 3,110
* La Quinta Corp. REIT 483,801 3,101
* Inveresk Research Group Inc. 125,354 3,100
* General Maritime Corp. 175,899 3,096
* American Medical Systems
Holdings, Inc. 141,970 3,095
* Adaptec, Inc. 350,073 3,091
Schnitzer Steel
Industries, Inc. Class A 51,072 3,090
ADVO, Inc. 97,126 3,085
Lexington Corporate
Properties Trust REIT 152,389 3,077
* CommScope, Inc. 187,850 3,068
NDCHealth Corp. 119,406 3,059
* Tekelec 196,440 3,055
* United Defense Industries Inc. 95,789 3,054
* TriQuint Semiconductor, Inc. 431,677 3,052
S & T Bancorp, Inc. 102,035 3,051
* Kansas City Southern 212,370 3,041
* Meritage Corp. 45,848 3,040
* Knight Transportation, Inc. 118,427 3,038
Corus Bankshares Inc. 95,986 3,029
* RealNetworks, Inc. 527,560 3,012
Black Box Corp. 65,363 3,011
15
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Casey's General Stores, Inc. 170,488 3,011
* Keane, Inc. 205,590 3,010
* AK Steel Corp. 589,234 3,005
* ExpressJet Holdings, Inc. 199,766 2,996
Burlington Coat Factory
Warehouse Corp. 141,607 2,996
* Ditech Communications Corp. 156,805 2,995
Irwin Financial Corp. 95,278 2,992
* Comstock Resources, Inc. 154,415 2,980
State Auto Financial Corp. 127,314 2,978
* The Sports Authority, Inc. 77,485 2,975
* Wilson Greatbatch
Technologies, Inc. 70,243 2,969
Gables Residential Trust REIT 85,465 2,969
MB Financial, Inc. 81,499 2,967
Matthews International Corp. 100,235 2,966
* Magnum Hunter Resources Inc. 311,873 2,966
PS Business Parks, Inc. REIT 71,825 2,963
Bank Mutual Corp. 260,159 2,963
* Telik, Inc. 128,775 2,963
* Penn National Gaming, Inc. 128,342 2,962
* DSP Group Inc. 118,868 2,961
* Genencor International Inc. 187,674 2,956
* Veeco Instruments, Inc. 104,817 2,956
* Southwestern Energy Co. 123,674 2,956
Chemical Financial Corp. 81,178 2,954
H.B. Fuller Co. 99,271 2,952
* Radio One, Inc. Class D 152,170 2,937
* Kulicke & Soffa Industries, Inc. 203,748 2,930
* ProAssurance Corp. 91,128 2,930
* Informatica Corp. 284,166 2,927
* Entegris Inc. 227,488 2,923
* Plains Exploration &
Production Co. 189,412 2,915
Sensient Technologies Corp. 147,222 2,911
* Digital Insight Corp. 116,863 2,910
Hancock Holding Co. 53,323 2,910
Community Bank System, Inc. 59,284 2,905
ABM Industries Inc. 166,770 2,903
* Actuant Corp. 80,155 2,902
* Wabash National Corp. 98,691 2,892
* Payless ShoeSource, Inc. 215,184 2,883
Kimball International, Inc.
Class B 185,336 2,882
* Aztar Corp. 128,056 2,881
USEC Inc. 342,594 2,878
Selective Insurance Group 88,797 2,873
* Technitrol, Inc. 138,465 2,872
* Advanced Neuromodulation
Systems, Inc. 62,394 2,869
R.L.I. Corp. 76,426 2,863
* WMS Industries, Inc. 109,265 2,863
First Financial Bancorp 179,026 2,855
UniSource Energy Corp. 115,786 2,855
* Global Imaging Systems, Inc. 89,918 2,855
* ESS Technology, Inc. 167,750 2,853
* Dendrite International, Inc. 182,015 2,852
Brookfield Homes Corp. 110,677 2,852
IHOP Corp. 73,776 2,839
Crompton Corp. 395,016 2,832
Wolverine World Wide, Inc. 138,858 2,830
Ruddick Corp. 158,074 2,830
* Gartner, Inc. Class B 259,823 2,827
* Anixter International Inc. 109,113 2,824
* Rare Hospitality
International Inc. 115,418 2,821
* WCI Communities, Inc. 136,795 2,819
* Power-One, Inc. 259,443 2,810
CVB Financial Corp. 145,465 2,806
* Sinclair Broadcast Group, Inc. 187,729 2,801
* SEACOR SMIT Inc. 66,625 2,800
Brady Corp. Class A 68,668 2,798
* Advanced Digital
Information Corp. 199,593 2,794
* Group 1 Automotive, Inc. 77,191 2,794
Federal Signal Corp. 158,956 2,785
* Hain Celestial Group, Inc. 119,690 2,778
* MICROS Systems, Inc. 63,929 2,772
CDI Corp. 84,494 2,767
American Financial Realty
Trust REIT 162,200 2,766
CARBO Ceramics Inc. 53,946 2,765
Grey Global Group Inc. 4,045 2,763
* Universal Compression
Holdings, Inc. 105,604 2,763
Manufactured Home
Communities, Inc. REIT 73,357 2,762
Barra, Inc. 77,565 2,753
Zenith National Insurance Corp. 84,556 2,752
* Cyberonics, Inc. 85,957 2,751
* ProQuest Co. 93,403 2,751
Dime Community Bancshares 89,349 2,748
* Kirby Corp. 78,769 2,747
* Sierra Pacific Resources 373,905 2,744
Commercial Metals Co. 90,274 2,744
* Jones Lang Lasalle Inc. 132,333 2,743
* AmSurg Corp. 72,138 2,733
Millennium Chemicals, Inc. 215,540 2,733
Wintrust Financial Corp. 60,581 2,732
* Financial Federal Corp. 89,406 2,731
* Teledyne Technologies, Inc. 144,828 2,730
First Commonwealth
Financial Corp. 191,322 2,728
* Extreme Networks, Inc. 378,046 2,726
16
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* WellChoice Inc. 78,917 2,723
Waypoint Financial Corp. 125,121 2,714
Cleco Corp. 150,911 2,713
* PSS World Medical, Inc. 224,445 2,709
Tecumseh Products Co. Class A 55,921 2,708
Brookline Bancorp, Inc. 176,338 2,705
* Watson Wyatt & Co. Holdings 111,960 2,704
Stewart Information
Services Corp. 66,644 2,702
* Maverick Tube Corp. 140,142 2,698
G & K Services, Inc. Class A 73,193 2,690
* Cal Dive International, Inc. 111,554 2,690
* Entravision
Communications Corp. 241,422 2,680
Kaydon Corp. 103,629 2,678
* Range Resources Corp. 283,148 2,676
* Quanta Services, Inc. 366,337 2,674
Quanex Corp. 58,000 2,674
* EMCOR Group, Inc. 60,851 2,671
* EGL, Inc. 151,940 2,668
* RSA Security Inc. 187,890 2,668
Hudson River Bancorp. Inc. 68,354 2,668
Surewest Communications 65,974 2,667
John H. Harland Co. 97,643 2,666
* CUNO Inc. 59,120 2,662
* AMIS Holdings Inc. 145,500 2,660
Mid-State Bancshares 104,374 2,655
* Electronics Boutique
Holdings Corp. 115,807 2,651
* Headwaters Inc. 135,072 2,650
* Hollywood Entertainment Corp. 192,288 2,644
* Credence Systems Corp. 200,783 2,642
* InfoSpace, Inc. 114,597 2,641
* Argosy Gaming Co. 101,631 2,641
Horace Mann Educators Corp. 188,655 2,636
* Jack in the Box Inc. 123,248 2,633
* WebEx Communications, Inc. 130,469 2,622
* LTX Corp. 174,443 2,622
* BankUnited Financial Corp. 101,450 2,616
* Integra LifeSciences Holdings 91,376 2,616
* Finish Line, Inc. 87,271 2,616
* ATMI, Inc. 112,976 2,614
* First Federal Financial Corp. 60,024 2,611
* Corvis Corp. 1,531,493 2,604
* Aspect Communications Corp. 165,052 2,601
* IDX Systems Corp. 96,411 2,586
* Remington Oil & Gas Corp. 131,223 2,584
Glimcher Realty Trust REIT 115,373 2,582
* Manhattan Associates, Inc. 93,396 2,581
* Advanced Energy Industries, Inc. 99,063 2,581
* Triad Guaranty, Inc. 51,210 2,578
* Genesis Healthcare Corp. 113,143 2,577
* Renaissance Learning, Inc. 106,987 2,576
* Regeneron Pharmaceuticals, Inc. 175,030 2,575
* FEI Co. 114,318 2,572
* Ask Jeeves, Inc. 141,899 2,571
Provident Bankshares Corp. 87,293 2,570
Sun Communities, Inc. REIT 66,303 2,566
* Wireless Facilities, Inc. 172,418 2,562
* Ariba, Inc. 853,212 2,560
Liberty Corp. 56,557 2,556
The Laclede Group, Inc. 89,215 2,547
The Trust Co. of New Jersey 64,146 2,545
* Magma Design Automation, Inc. 109,036 2,545
MCG Capital Corp. 130,481 2,544
* Price Communications Corp. 185,226 2,543
Penn Virginia Corp. 45,675 2,542
* Trex Co., Inc. 66,894 2,541
* Too Inc. 150,477 2,540
* Hanover Compressor Co. 227,774 2,540
* Old Dominion Freight Line, Inc. 74,516 2,540
AMCOL International Corp. 125,489 2,535
Charter Financial Corp. 67,997 2,534
CH Energy Group, Inc. 53,984 2,532
Summit Properties, Inc. REIT 104,852 2,519
Handleman Co. 122,613 2,517
Republic Bancorp, Inc. 186,570 2,517
* Rayovac Corp. 120,014 2,514
Watsco, Inc. 110,584 2,514
* KCS Energy, Inc. 238,051 2,511
* Guitar Center, Inc. 77,041 2,510
* DRS Technologies, Inc. 90,279 2,508
* Lin TV Corp. 96,988 2,503
* CSK Auto Corp. 133,308 2,502
* American Italian Pasta Co. 59,718 2,502
Harleysville National Corp. 83,084 2,501
* Hutchinson Technology, Inc. 81,338 2,500
* ChipPAC, Inc. 329,300 2,499
Southern Peru Copper Corp. 52,968 2,498
* Asyst Technologies, Inc. 143,905 2,497
* Vertex Pharmaceuticals, Inc. 243,844 2,495
* InterMune Inc. 107,519 2,490
* NeighborCare Inc. 126,074 2,490
Boston Private Financial
Holdings, Inc. 100,195 2,489
* Ultratech, Inc. 84,692 2,487
* GlobespanVirata, Inc. 422,976 2,487
* Symyx Technologies, Inc. 120,946 2,485
* Rogers Corp. 56,280 2,483
* MAXIMUS, Inc. 63,384 2,480
Spartech Corp. 100,617 2,479
Brown Shoe Co., Inc. 65,352 2,479
* Mindspeed Technologies, Inc. 361,838 2,479
Harbor Florida Bancshares, Inc. 83,415 2,478
17
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Citadel Broadcasting Corp. 110,600 2,474
A. Schulman Inc. 115,769 2,468
* Altiris, Inc. 67,638 2,467
* Sunrise Senior Living, Inc. 63,667 2,466
Landry's Restaurants, Inc. 95,790 2,464
* Thoratec Corp. 189,350 2,463
* Prima Energy Corp. 70,005 2,461
Connecticut Bancshares, Inc. 47,729 2,460
* Therasense, Inc. 121,036 2,457
* United Natural Foods, Inc. 68,390 2,456
* Swift Energy Co. 145,746 2,456
* Shaw Group, Inc. 179,911 2,450
* Credit Acceptance Corp. 159,980 2,448
* CTI Molecular Imaging, Inc. 144,671 2,446
Owens & Minor, Inc. Holding Co. 111,610 2,445
* Mastec Inc. 165,085 2,445
* Multimedia Games Inc. 59,472 2,444
* Commercial Capital Bancorp, Inc. 114,119 2,443
* Nuevo Energy Co. 100,972 2,440
* Sharper Image Corp. 74,745 2,440
* NetIQ Corp. 184,182 2,440
* Adolor Corp. 121,775 2,438
Wausau-Mosinee Paper Corp. 180,081 2,435
* Investment Technology
Group, Inc. 150,692 2,434
* Exar Corp. 142,466 2,433
Umpqua Holdings Corp. 116,844 2,429
PFF Bancorp, Inc. 66,954 2,429
* USANA Health Sciences, Inc. 79,202 2,424
* The Advisory Board Co. 69,294 2,419
Amcore Financial, Inc. 89,423 2,416
* ANSYS, Inc. 60,807 2,414
* Energy Partners, Ltd. 173,668 2,414
* Genta Inc. 231,706 2,412
Seacoast Financial
Services Corp. 87,970 2,411
* eFunds Corp. 138,961 2,411
* Coherent, Inc. 101,280 2,410
* American Management
Systems, Inc. 159,789 2,408
* Six Flags, Inc. 320,196 2,408
Commercial Net Lease
Realty REIT 135,201 2,407
* USG Corp. 144,959 2,402
* Big 5 Sporting Goods Corp. 114,512 2,399
* S1 Corp. 297,884 2,398
* Petroleum Development Corp. 100,840 2,390
* Oceaneering International, Inc. 85,313 2,389
* Borland Software Corp. 244,892 2,383
* Playtex Products, Inc. 308,159 2,382
* Helen of Troy Ltd. 102,743 2,379
* OM Group, Inc. 90,682 2,375
* CapitalSource Inc. 109,500 2,374
* Progress Software Corp. 115,955 2,372
* Mediacom
Communications Corp. 273,415 2,371
American Home Mortgage
Investment Corp. 105,181 2,368
Cambrex Corp. 93,707 2,367
Main Street Banks, Inc. 89,157 2,363
* PRIMEDIA Inc. 833,727 2,359
* Photon Dynamics, Inc. 58,550 2,356
* TTM Technologies, Inc. 139,415 2,353
* Priceline.com, Inc. 131,466 2,353
* McDermott International, Inc. 196,872 2,353
* Enterasys Networks, Inc. 627,265 2,352
* American Pharmaceuticals
Partners, Inc. 69,832 2,346
* Ryan's Family Steak
Houses, Inc. 154,667 2,342
* Ocwen Financial Corp. 264,141 2,340
* Plug Power, Inc. 322,530 2,338
* Micromuse Inc. 338,565 2,336
Interstate Bakeries Corp. 164,031 2,334
* Exult Inc. 327,612 2,333
Oxford Industries, Inc. 68,772 2,330
Vector Group Ltd. 142,443 2,325
Christopher & Banks Corp. 119,023 2,325
Getty Realty Holding Corp. REIT 88,891 2,324
Russ Berrie and Co., Inc. 68,435 2,320
* Leapfrog Enterprises, Inc. 87,442 2,320
Frontier Oil Corp. 134,647 2,319
First Sentinel Bancorp Inc. 110,039 2,317
Net.Bank, Inc. 173,516 2,316
* Kindred Healthcare, Inc. 44,502 2,313
Entertainment Properties
Trust REIT 66,618 2,312
* THQ Inc. 136,741 2,312
* Superior Energy Services, Inc. 245,792 2,310
The Standard Register Co. 137,269 2,310
* Oil States International, Inc. 165,389 2,306
* Pinnacle Systems, Inc. 269,681 2,300
* DJ Orthopedics Inc. 85,819 2,300
NBT Bancorp, Inc. 107,217 2,299
* Newport Corp. 138,982 2,297
Gevity HR, Inc. 103,233 2,296
* URS Corp. 91,721 2,294
LaBranche & Co. Inc. 196,383 2,292
Alabama National
BanCorporation 43,604 2,291
* Integrated Silicon Solution, Inc. 146,049 2,289
* Dollar Thrifty Automotive
Group, Inc. 88,199 2,288
Southwest Gas Corp. 101,614 2,281
18
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Alexander's, Inc. REIT 18,299 2,281
* Enbridge Energy Management 47,177 2,280
Parkway Properties Inc. REIT 54,751 2,278
Franklin Electric, Inc. 37,653 2,278
* CSG Systems International, Inc. 182,252 2,276
* Boca Resorts, Inc. Class A 152,061 2,275
UIL Holdings Corp. 50,401 2,273
Sterling Bancshares, Inc. 170,500 2,273
First Financial Bankshares, Inc. 54,492 2,272
* Papa John's International, Inc. 67,969 2,269
Baldor Electric Co. 99,286 2,269
* Griffon Corp. 111,915 2,267
Infinity Property &
Casualty Corp. 68,461 2,263
* SERENA Software, Inc. 123,300 2,263
Holly Corp. 82,144 2,259
Blockbuster Inc. Class A 125,733 2,257
* School Specialty, Inc. 66,289 2,254
* Dobson Communications Corp. 342,928 2,253
Texas Industries, Inc. 60,823 2,250
* Checkpoint Systems, Inc. 118,990 2,250
Sauer-Danfoss, Inc. 138,570 2,245
* CMGI Inc. 1,259,782 2,242
* Sotheby's Holdings Class A 163,983 2,240
City Holding Co. 63,998 2,240
* Impax Laboratories, Inc. 155,610 2,239
* Digene Corp. 55,794 2,237
* Trammell Crow Co. 168,768 2,236
Berry Petroleum Class A 110,347 2,235
First Republic Bank 62,382 2,233
* PTEK Holdings, Inc. 253,209 2,231
* Imagistics International Inc. 59,322 2,225
United National Bancorp 62,228 2,223
* USI Holdings Corp. 170,086 2,220
Ramco-Gershenson
Properties Trust REIT 78,331 2,217
* International Steel Group, Inc. 56,900 2,216
* Time Warner Telecom Inc. 218,763 2,216
* Harvest Natural Resources, Inc. 222,213 2,211
* Primus Telecommunications
Group, Inc. 217,011 2,209
* Cirrus Logic 287,201 2,203
Watts Water Technologies, Inc. 98,346 2,183
* UnitedGlobalCom Inc. Class A 257,454 2,183
* FuelCell Energy, Inc. 167,560 2,178
* Silgan Holdings, Inc. 51,131 2,178
* Shuffle Master, Inc. 62,869 2,177
* Rudolph Technologies, Inc. 88,237 2,165
* Pacer International, Inc. 106,959 2,163
United Community Banks, Inc. 65,710 2,162
EastGroup Properties, Inc. REIT 66,743 2,161
Inter-Tel, Inc. 86,499 2,161
* Cray Inc. 217,548 2,160
Anchor Bancorp Wisconsin Inc. 86,742 2,160
* Ventana Medical Systems, Inc. 54,784 2,158
* Plains Resources Inc. 134,421 2,157
Cash America International Inc. 101,770 2,155
* Opsware, Inc. 289,839 2,145
* Aeroflex, Inc. 183,464 2,145
* Epicor Software Corp. 167,690 2,140
* VistaCare, Inc. 60,815 2,138
* CONMED Corp. 89,558 2,131
Cubic Corp. 92,570 2,129
Walter Industries, Inc. 159,331 2,127
Carpenter Technology Corp. 71,824 2,124
National Penn Bancshares Inc. 65,873 2,116
* Mercury Computer Systems, Inc. 84,937 2,115
* Red Robin Gourmet Burgers 69,451 2,114
* Tejon Ranch Co. 51,490 2,112
Fidelity Bankshares, Inc. 67,176 2,109
* FormFactor Inc. 106,500 2,109
* Digital River, Inc. 95,271 2,105
* Esterline Technologies Corp. 78,847 2,103
World Fuel Services Corp. 61,934 2,103
* Verity, Inc. 125,943 2,102
* Synaptics Inc. 140,283 2,101
* Arris Group Inc. 289,917 2,099
* Movie Gallery, Inc. 112,165 2,095
* Insight Enterprises, Inc. 111,164 2,090
* America West Holdings Corp.
Class B 168,464 2,089
* Forward Air Corp. 75,582 2,079
* California Amplifier, Inc. 147,427 2,074
* Labor Ready, Inc. 158,320 2,074
Bandag, Inc. 50,101 2,064
* Offshore Logistics, Inc. 84,127 2,063
* Advent Software, Inc. 118,251 2,061
* Hewitt Associates, Inc. 68,926 2,061
National Health Investors REIT 82,814 2,060
The Manitowoc Co., Inc. 66,029 2,060
* K2 Inc. 135,096 2,055
* Local Financial Corp. 98,560 2,054
* UTStarcom, Inc. 55,362 2,052
Farmer Brothers, Inc. 6,592 2,052
* Grey Wolf, Inc. 547,561 2,048
Otter Tail Corp. 76,513 2,045
* InterVoice, Inc. 171,973 2,041
U.S. Restaurant
Properties, Inc. REIT 119,781 2,041
* PAREXEL International Corp. 125,506 2,041
PolyMedica Corp. 77,534 2,040
* Tanox, Inc. 137,218 2,038
Regal-Beloit Corp. 92,523 2,036
Landauer, Inc. 49,835 2,032
19
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* El Paso Electric Co. 152,203 2,032
* McMoRan Exploration Co. 107,992 2,025
Westbanco Inc. 73,085 2,024
* Tradestation Group Inc. 228,392 2,024
* F5 Networks, Inc. 80,505 2,021
Coca-Cola Bottling Co. 37,738 2,019
South Jersey Industries, Inc. 49,838 2,018
* The Meridian Resource Corp. 339,799 2,018
* MedQuist, Inc. 125,587 2,017
* Daktronics, Inc. 80,127 2,016
* Guess ?, Inc. 166,939 2,015
* Connetics Corp. 110,943 2,015
Russell Corp. 114,662 2,013
* Tyler Technologies, Inc. 209,047 2,013
* Centene Corp. 71,734 2,009
* Standard Microsystem Corp. 79,112 2,002
* William Lyon Homes, Inc. 31,885 2,001
First Charter Corp. 102,347 2,001
* Haemonetics Corp. 83,603 1,997
* Interwoven Inc. 157,949 1,996
* Keystone Automotive
Industries, Inc. 78,716 1,996
* Advanced Medical Optics, Inc. 101,568 1,996
Omega Healthcare
Investors, Inc. REIT 213,848 1,995
Equity Inns, Inc. REIT 220,377 1,994
Anthracite Capital Inc. REIT 179,658 1,989
Glacier Bancorp, Inc. 61,358 1,988
National Financial Partners Corp. 72,100 1,986
Flushing Financial Corp. 108,652 1,986
Glenborough Realty
Trust, Inc. REIT 99,156 1,978
Corporate Office Properties
Trust, Inc. REIT 93,997 1,974
Barnes Group, Inc. 60,999 1,971
* Mannatech, Inc. 181,092 1,967
* Actel Corp. 81,569 1,966
Kansas City Life Insurance Co. 42,542 1,965
* Carrier Access Corp. 156,923 1,965
* C-COR Electronics, Inc. 175,910 1,958
* Pixelworks, Inc. 177,210 1,956
* Safeguard Scientifics, Inc. 483,212 1,952
NACCO Industries, Inc. Class A 21,814 1,952
Royal Gold, Inc. 93,152 1,950
* bebe stores, inc 74,995 1,949
JLG Industries, Inc. 127,852 1,947
* CNA Surety Corp. 204,633 1,946
* FARO Technologies, Inc. 77,868 1,945
* Mesa Air Group Inc. 155,333 1,945
* The Children's Place Retail
Stores, Inc. 72,632 1,941
* Aviall Inc. 125,121 1,941
* Ocular Sciences, Inc. 67,576 1,940
* Saxon Capital Inc. 92,375 1,935
* Clayton Williams Energy, Inc. 66,548 1,935
Analogic Corp. 47,138 1,933
FBL Financial Group, Inc.
Class A 74,739 1,928
* Province Healthcare Co. 120,461 1,927
* MRV Communications Inc. 511,890 1,925
* Vail Resorts Inc. 112,621 1,915
* Per-Se Technologies, Inc. 125,319 1,912
Midwest Banc Holdings, Inc. 85,888 1,911
* Ixia 163,230 1,910
Harleysville Group, Inc. 96,000 1,909
* Stein Mart, Inc. 231,709 1,909
OceanFirst Financial Corp. 70,288 1,909
* InVision Technologies, Inc. 56,829 1,908
Aceto Corp. 74,620 1,906
* Silicon Image, Inc. 263,520 1,905
* Biosite Inc. 65,808 1,905
* Oregon Steel Mills, Inc. 327,728 1,904
Integra Bank Corp. 86,514 1,901
* PalmOne, Inc. 161,808 1,901
* Alliance Data Systems Corp. 68,665 1,901
* Littelfuse, Inc. 65,925 1,900
Kenneth Cole Productions, Inc. 64,563 1,898
* Remec, Inc. 225,281 1,895
* FTD, Inc. 76,800 1,892
Nara Bancorp, Inc. 69,290 1,892
* Pre-Paid Legal Services, Inc. 72,346 1,890
Woodward Governor Co. 33,219 1,888
* Moog Inc. 38,159 1,885
* SuperGen, Inc. 171,114 1,882
* Navigant Consulting, Inc. 99,506 1,877
* ILEX Oncology, Inc. 88,158 1,873
* Charming Shoppes, Inc. 346,875 1,873
* Global Industries Ltd. 363,698 1,873
* Netegrity, Inc. 181,564 1,872
* Verint Systems Inc. 82,593 1,863
* Consolidated Graphics, Inc. 58,927 1,861
M/I Schottenstein Homes, Inc. 47,654 1,861
* Onyx Pharmaceuticals, Inc. 65,904 1,860
Pulitzer, Inc. 34,444 1,860
* I-STAT Corp. 121,159 1,854
Correctional Properties
Trust REIT 64,322 1,852
West Pharmaceutical
Services, Inc. 54,612 1,851
* Inspire Pharmaceuticals, Inc. 130,732 1,851
* PETCO Animal Supplies, Inc. 60,589 1,845
* ValueVision Media, Inc. 110,341 1,843
* ScanSource, Inc. 40,275 1,837
* Artesyn Technologies, Inc. 215,363 1,835
20
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Enzon Pharmaceuticals, Inc. 152,761 1,833
Curtiss-Wright Corp. 40,714 1,833
* Immucor Inc. 89,782 1,831
C & D Technologies, Inc. 95,433 1,829
Lance, Inc. 121,389 1,824
* KVH Industries, Inc. 66,402 1,824
* Charles River Associates Inc. 57,016 1,824
Value Line, Inc. 36,547 1,824
* Enzo Biochem, Inc. 101,823 1,824
* Brightpoint, Inc. 105,527 1,820
Oriental Financial Group Inc. 70,808 1,820
* Hydrill Co. 75,998 1,819
Pilgrim's Pride Corp. 111,290 1,817
* John B. Sanfilippo & Son, Inc. 35,495 1,812
* Microsemi Corp. 73,552 1,808
Tanger Factory Outlet
Centers, Inc. REIT 44,411 1,808
* UICI 135,950 1,805
* NCO Group, Inc. 79,211 1,804
MGE Energy, Inc. 57,117 1,800
* Gartner, Inc. Class A 158,990 1,798
Koger Equity, Inc. REIT 85,854 1,797
Longview Fibre Co. 145,253 1,794
* BioLase Technology, Inc. 107,900 1,791
* Technical Olympic USA, Inc. 65,037 1,790
* The Gymboree Corp. 103,859 1,789
* Argonaut Group, Inc. 115,068 1,788
Greif Inc. Class A 50,354 1,788
* ViaSat, Inc. 93,358 1,787
* Insight Communications Co., Inc. 173,156 1,785
* American Healthways Inc. 74,782 1,785
* Sapient Corp. 318,743 1,785
* Sterling Financial Corp. 52,141 1,785
* At Road, Inc. 133,366 1,774
* Closure Medical Corp. 52,265 1,773
* Quantum Corp. 568,256 1,773
* webMethods, Inc. 193,737 1,773
* Zymogenetics, Inc. 114,132 1,769
Gold Banc Corp., Inc. 125,616 1,766
Phillips-Van Heusen Corp. 99,532 1,766
* Secure Computing Corp. 98,483 1,764
* Overnite Corp. 77,516 1,763
* TransMontaigne Inc. 272,916 1,760
Sonic Automotive, Inc. 76,690 1,758
* ManTech International Corp. 70,344 1,755
* Albany Molecular Research, Inc. 116,603 1,751
* Euronet Worldwide, Inc. 97,242 1,750
* ArthroCare Corp. 71,438 1,750
* The Warnaco Group, Inc. 109,633 1,749
* j2 Global Communications, Inc. 70,573 1,748
* Plexus Corp. 101,709 1,746
* MemberWorks, Inc. 64,244 1,746
* PolyOne Corp. 273,122 1,745
Sovran Self Storage, Inc. REIT 46,960 1,745
Resource America, Inc. 116,123 1,742
* Openwave Systems Inc. 158,347 1,742
Glatfelter 139,695 1,739
* Monaco Coach Corp. 72,982 1,737
Central Pacific Financial Co. 57,746 1,735
* United Therapeutics Corp. 75,508 1,733
* AAR Corp. 115,828 1,732
* MeriStar Hospitality Corp. REIT 265,964 1,731
R & G Financial Corp. Class B 43,477 1,730
* LCA-Vision Inc. 81,732 1,730
* Talk America Holdings, Inc. 149,815 1,726
* RTI International Metals, Inc. 102,262 1,725
* Central Garden and Pet Co. 61,528 1,725
Capstead Mortgage Corp. REIT 102,759 1,724
Schweitzer-Mauduit
International, Inc. 57,753 1,720
* Orbital Sciences Corp. 142,878 1,717
* Bright Horizons Family
Solutions, Inc. 40,857 1,716
* Discovery Laboratories, Inc. 163,574 1,716
BSB Bancorp, Inc. 43,410 1,715
* Sierra Health Services, Inc. 62,370 1,712
MTS Systems Corp. 89,023 1,712
* Rainbow Technologies, Inc. 151,918 1,711
* Cleveland-Cliffs Inc. 33,535 1,709
* Century Business Services, Inc. 382,023 1,708
First Financial Holdings, Inc. 54,568 1,706
* Smart & Final Inc. 168,779 1,701
Empire District Electric Co. 77,530 1,700
Independent Bank Corp. (MI) 59,946 1,700
* Atwood Oceanics, Inc. 53,208 1,699
Churchill Downs, Inc. 46,899 1,698
* Taser International Inc. 20,600 1,697
* Genlyte Group, Inc. 29,061 1,697
* SCS Transportation, Inc. 96,459 1,696
* Learning Tree International, Inc. 97,359 1,693
Arch Chemicals, Inc. 65,963 1,693
Apogee Enterprises, Inc. 148,866 1,690
First Federal Capital Corp. 74,939 1,688
* First Horizon
Pharmaceutical Corp. 150,536 1,686
* Mykrolis Corp. 104,828 1,686
* M&F Worldwide Corp. 126,168 1,686
* Dick's Sporting Goods, Inc. 34,621 1,685
* Concurrent Computer Corp. 385,157 1,683
* Photronics Inc. 84,388 1,681
* Overstock.com, Inc. 84,602 1,680
* Stamps.com Inc. 270,311 1,676
Gray Television, Inc. 110,674 1,673
* SRA International, Inc. 38,789 1,672
21
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
NL Industries, Inc. 142,457 1,667
* Hexcel Corp. 224,747 1,665
Community Trust Bancorp Inc. 55,100 1,664
Simmons First National Corp. 59,466 1,659
Advanta Corp. Class A 127,572 1,657
MFA Mortgage
Investments, Inc. REIT 169,701 1,655
Central Parking Corp. 110,755 1,654
* VA Software Corp. 422,485 1,652
* BioMarin Pharmaceutical Inc. 212,149 1,648
* RailAmerica, Inc. 139,628 1,648
* TETRA Technologies, Inc. 67,965 1,647
* Sola International Inc. 87,570 1,646
* Xicor, Inc. 143,564 1,628
Newcastle Investment Corp. REIT 59,834 1,622
* Zoll Medical Corp. 45,665 1,620
* Rofin-Sinar Technologies Inc. 46,867 1,620
* Caraustar Industries, Inc. 117,360 1,620
Independent Bank Corp. (MA) 56,106 1,617
Banner Corp. 64,259 1,616
Town & Country Trust REIT 63,726 1,615
* Geron Corp. 161,911 1,614
* Right Management
Consultants, Inc. 86,353 1,611
* Transkaryotic Therapies, Inc. 103,093 1,609
* Ionics, Inc. 50,518 1,609
U.S.B. Holding Co., Inc. 82,888 1,607
* Mattson Technology, Inc. 131,151 1,603
* InFocus Corp. 165,553 1,603
* RC2 Corp. 77,179 1,601
WD-40 Co. 45,244 1,600
* Zoran Corp. 91,988 1,600
Patriot Bank Corp. 55,904 1,599
Universal Health Realty
Income REIT 53,094 1,598
The Stride Rite Corp. 140,328 1,597
* Administaff, Inc. 91,864 1,597
* Portfolio Recovery
Associates, Inc. 60,051 1,594
* NetScout Systems, Inc. 209,726 1,594
* Wind River Systems Inc. 181,954 1,594
* SonicWALL, Inc. 204,299 1,594
* Finisar Corp. 508,103 1,590
* W-H Energy Services, Inc. 98,153 1,590
* Zygo Corp. 96,420 1,590
* Wackenhut Corrections Corp. 69,694 1,589
* Capital Corp. of the West 40,059 1,588
* Ashford Hospitality Trust 169,100 1,588
* aQuantive, Inc. 154,707 1,586
Lennar Corp. Class B 17,338 1,585
* CorVel Corp. 42,110 1,583
ElkCorp 59,264 1,582
Cross Timbers Royalty Trust 55,441 1,581
NUI Corp. 98,065 1,581
* Hologic, Inc. 91,140 1,579
* Navigators Group, Inc. 51,153 1,579
Cascade Natural Gas Corp. 74,855 1,579
* Atrix Laboratories, Inc. 65,640 1,578
* National Western Life
Insurance Co. Class A 10,189 1,578
* Cardiac Science, Inc. 394,576 1,574
Great American Financial
Resources, Inc. 97,053 1,574
* Lone Star Technologies, Inc. 98,499 1,574
The Nautilus Group, Inc. 112,018 1,574
* PEC Solutions, Inc. 92,784 1,573
EDO Corp. 63,795 1,573
Cato Corp. Class A 76,678 1,572
CIRCOR International, Inc. 65,117 1,569
* Vignette Corp. 690,985 1,569
* Fleetwood Enterprises, Inc. 152,676 1,566
* Korn/Ferry International 117,386 1,566
* SeeBeyond Technology Corp. 364,303 1,563
* Harmonic, Inc. 215,524 1,563
Movado Group, Inc. 55,206 1,558
Frontier Financial Corp. 46,931 1,556
* Alaska Air Group, Inc. 57,015 1,556
Medallion Financial Corp. 163,900 1,555
Belden, Inc. 73,717 1,555
* Gardner Denver Inc. 65,078 1,553
Pennfed Financial Services, Inc. 46,278 1,550
* J. Jill Group, Inc. 121,902 1,549
* California Pizza Kitchen, Inc. 76,949 1,549
Roto-Rooter, Inc. 33,577 1,548
* Sigma Designs, Inc. 205,274 1,546
McGrath Rent Corp. 56,591 1,542
* Nanogen, Inc. 171,149 1,542
* Whiting Petroleum Corp. 83,801 1,542
* 4Kids Entertainment Inc. 59,005 1,535
* CoStar Group, Inc. 36,738 1,531
* aaiPharma Inc. 60,941 1,531
WSFS Financial Corp. 34,113 1,530
* Jarden Corp. 55,800 1,526
* Electro Scientific Industries, Inc. 64,093 1,525
* Hifn, Inc. 128,123 1,525
Triarc Cos., Inc. Class B 141,030 1,520
NYMAGIC, Inc. 55,397 1,519
* Captiva Software Corp. 119,830 1,517
* NCI Building Systems, Inc. 63,389 1,515
* Kronos Worldwide, Inc. 68,234 1,515
The Middleby Corp. 37,382 1,513
* CIMA Labs Inc. 46,370 1,513
Riggs National Corp. 91,497 1,512
* Metrologic Instruments, Inc. 55,873 1,509
22
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Columbia Bancorp 47,216 1,509
Tredegar Corp. 97,120 1,508
First Financial Corp. (IN) 50,239 1,508
Allegiant Bancorp, Inc. 53,670 1,505
* Lifeline Systems, Inc. 79,214 1,505
* PICO Holdings, Inc. 95,965 1,504
* SM&A Corp. 128,515 1,504
* FelCor Lodging Trust, Inc. REIT 135,629 1,503
Cherokee Inc. 66,050 1,502
* The Dress Barn, Inc. 100,019 1,499
* ATP Oil & Gas Corp. 238,346 1,497
* Encysive Pharmaceuticals, Inc. 167,169 1,496
Coastal Bancorp, Inc. 36,377 1,495
Cross Country Healthcare, Inc. 100,129 1,494
* CCC Information Services Group 88,331 1,493
* Perry Ellis International Corp. 57,870 1,492
* Actuate Software Corp. 479,638 1,492
* Aquila, Inc. 439,196 1,489
Bedford Property
Investors, Inc. REIT 51,983 1,488
* Charlotte Russe Holding Inc. 107,207 1,486
Texas Genco Holdings, Inc. 45,705 1,485
* CardioDynamics
International Corp. 248,481 1,483
Southwest Bancorp, Inc. 82,576 1,476
Libbey, Inc. 51,834 1,476
* QAD Inc. 120,200 1,474
* Clark, Inc. 76,484 1,472
United Fire & Casualty Co. 36,436 1,471
Interchange Financial
Services Corp. 58,015 1,468
* Jo-Ann Stores, Inc. 71,933 1,467
Rock-Tenn Co. 84,988 1,467
* Syntroleum Corp. 339,109 1,465
American States Water Co. 58,596 1,465
* Dyax Corp. 178,131 1,464
* Comfort Systems USA, Inc. 266,994 1,463
* PDI, Inc. 54,553 1,463
* SupportSoft, Inc. 111,145 1,462
Partners Trust Financial
Group, Inc. 42,980 1,461
* Young Broadcasting Inc. 72,852 1,460
Chesapeake Corp. of Virginia 55,080 1,459
* Novoste Corp. 304,394 1,458
* Novavax, Inc. 242,970 1,458
* Medical Action Industries Inc. 77,770 1,455
* Tessera Technologies, Inc. 77,217 1,452
* Ciber, Inc. 167,717 1,452
* ValueClick, Inc. 159,934 1,452
* RadiSys Corp. 86,090 1,451
Vesta Insurance Group, Inc. 376,614 1,450
Thomas Industries, Inc. 41,815 1,449
* AMN Healthcare Services, Inc. 83,662 1,436
Newmil Bancorp, Inc. 49,400 1,435
* SurModics, Inc. 60,018 1,434
* Kopin Corp. 213,595 1,433
Thomas Nelson, Inc. 74,090 1,432
* Stewart Enterprises, Inc.
Class A 251,762 1,430
Computer Programs and
Systems, Inc. 71,053 1,430
* Concord Camera Corp. 154,139 1,426
* PetroQuest Energy, Inc. 456,886 1,425
* Viasys Healthcare Inc. 69,167 1,425
* CV Therapeutics, Inc. 97,156 1,424
Vital Signs, Inc. 43,442 1,421
Investors Real Estate Trust REIT 143,471 1,420
* VaxGen, Inc. 178,998 1,418
* Mapics Inc. 108,254 1,417
Angelica Corp. 64,353 1,416
Sizeler Property
Investors, Inc. REIT 132,190 1,416
* KFX, Inc. 187,097 1,413
Nash-Finch Co. 63,170 1,411
Capital City Bank Group, Inc. 30,641 1,409
* Axonyx Inc. 289,351 1,409
* Heidrick & Struggles
International, Inc. 64,632 1,409
* Tempur-Pedic International Inc. 90,900 1,409
Anworth Mortgage
Asset Corp. REIT 101,141 1,409
* Ameristar Casinos, Inc. 57,471 1,406
* Avatar Holding, Inc. 38,052 1,406
* Gentiva Health Services, Inc. 111,179 1,405
* Transmeta Corp. 412,859 1,404
* La Jolla Pharmaceutical Co. 327,050 1,403
GenCorp, Inc. 130,068 1,401
* Merix Corp. 56,980 1,398
* Isle of Capri Casinos, Inc. 65,093 1,398
Urstadt Biddle Properties
Class A REIT 98,664 1,396
* Newpark Resources, Inc. 291,449 1,396
* Answerthink Consulting
Group, Inc. 251,218 1,394
* Dot Hill Systems Corp. 91,615 1,388
* The Neiman Marcus
Group, Inc. Class B 27,740 1,387
* ShopKo Stores, Inc. 90,948 1,387
Quaker City Bancorp, Inc. 29,757 1,385
* Aspect Medical Systems, Inc. 121,206 1,383
Seacoast Banking Corp.
of Florida 79,468 1,380
23
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* E-LOAN, Inc. 462,836 1,379
* Coinstar, Inc. 76,249 1,377
* TiVo Inc. 185,555 1,373
* Nuvelo, Inc. 395,628 1,373
* Possis Medical Inc. 69,266 1,368
X-Rite Inc. 120,788 1,367
* Trimeris, Inc. 65,141 1,367
* Playboy Enterprises, Inc. Class B 84,537 1,366
Yardville National Bancorp 52,973 1,364
* Incyte Corp. 199,175 1,362
* Palm Harbor Homes, Inc. 76,210 1,362
* Hawthorne Financial Corp. 48,634 1,361
Quaker Chemical Corp. 44,227 1,360
* Audiovox Corp. 105,837 1,359
Riviana Foods, Inc. 49,413 1,353
* Tumbleweed
Communications Corp. 161,484 1,353
Sandy Spring Bancorp, Inc. 36,177 1,353
* Pozen Inc. 132,636 1,353
* Mobius Management
Systems, Inc. 106,886 1,352
* Accredited Home Lenders
Holding Co. 44,168 1,352
First Source Corp. 62,797 1,351
Helix Technology Corp. 65,594 1,350
* IDT Corp. Class B 58,342 1,349
* SafeNet, Inc. 43,746 1,346
First Place Financial Corp. 68,824 1,344
* United PanAm Financial Corp. 80,299 1,342
* VitalWorks Inc. 303,442 1,341
Fedders Corp. 186,089 1,340
Great Southern Bancorp, Inc. 28,889 1,340
* TriPath Imaging, Inc. 171,737 1,340
* Jos. A. Bank Clothiers, Inc. 38,599 1,339
* Embarcadero Technologies, Inc. 83,917 1,338
* Aspen Technologies, Inc. 130,242 1,336
Mid-America Apartment
Communities, Inc. REIT 39,783 1,336
* Callon Petroleum Co. 128,586 1,333
Bassett Furniture Industries, Inc. 80,765 1,333
* Quantum Fuel Systems
Technologies Worldwide, Inc. 164,554 1,323
* Microvision, Inc. 173,498 1,322
* Genesis Microchip Inc. 73,182 1,320
Sturm, Ruger & Co., Inc. 115,944 1,318
Milacron Inc. 315,968 1,318
Bel Fuse, Inc. Class B 40,350 1,317
Provident Financial Holdings, Inc. 36,269 1,315
* Wiser Oil Co. 155,648 1,315
* iGATE Corp. 167,461 1,315
Startek, Inc. 32,179 1,313
Bank of the Ozarks, Inc. 58,286 1,312
* EMCORE Corp. 278,521 1,312
Old Second Bancorp, Inc. 26,471 1,310
* Banc Corp. 154,070 1,310
* infoUSA Inc. 176,480 1,309
* PDF Solutions, Inc. 87,684 1,306
* Giant Industries, Inc. 109,008 1,306
Merchants Bancshares, Inc. 42,715 1,305
Omega Financial Corp. 33,896 1,305
* America's Car-Mart, Inc. 48,323 1,301
Hooper Holmes, Inc. 210,236 1,299
* Quality Systems, Inc. 29,111 1,298
* MIPS Technologies, Inc. 238,391 1,298
Associated Estates
Realty Corp. REIT 177,512 1,298
* Foamex International, Inc. 259,156 1,296
Aaron Rents, Inc. Class B 64,349 1,295
* Forrester Research, Inc. 72,445 1,295
* Dendreon Corp. 160,586 1,294
* Intermagnetics General Corp. 58,405 1,294
* Eclipsys Corp. 111,173 1,294
* Echelon Corp. 116,130 1,294
* Champion Enterprises, Inc. 184,626 1,292
* Diodes Inc. 67,825 1,289
* Triton PCS, Inc. 230,621 1,287
* General Cable Corp. 157,876 1,287
Suffolk Bancorp 37,255 1,286
Great Lakes, Inc. REIT 81,930 1,286
Bryn Mawr Bank Corp. 52,506 1,286
Keystone Property Trust REIT 58,109 1,284
* HomeStore, Inc. 271,295 1,283
* Peregrine Pharmaceuticals, Inc. 580,597 1,283
* AtheroGenics, Inc. 85,566 1,279
* Triumph Group, Inc. 35,041 1,275
* TBC Corp. 49,258 1,271
* Witness Systems, Inc. 136,136 1,270
* Cole National Corp. Class A 63,461 1,269
* Websense, Inc. 43,355 1,268
* EZCORP, Inc. 149,109 1,267
* American Medical Security
Group, Inc. 56,501 1,267
* Resources Connection, Inc. 46,345 1,266
Kramont Realty Trust REIT 69,897 1,265
* Fargo Electronics 99,421 1,265
* Ace Cash Express, Inc. 59,467 1,264
Cascade Bancorp 65,590 1,263
* Packeteer, Inc. 74,356 1,263
Met-Pro Corp. 78,169 1,262
* Beasley Broadcast Group, Inc. 76,830 1,262
* LookSmart, Ltd. 813,501 1,261
* Insituform Technologies Inc.
Class A 76,412 1,261
* Water Pik Technologies, Inc. 102,672 1,260
24
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Bowne & Co., Inc. 92,798 1,258
* Cubist Pharmaceuticals, Inc. 103,465 1,258
* ICU Medical, Inc. 36,686 1,258
* The Exploration Co. of
Delaware, Inc. 206,062 1,257
* SFBC International, Inc. 47,278 1,256
American Land Lease, Inc. REIT 62,938 1,256
* Silicon Graphics, Inc. 916,252 1,255
* Encore Wire Corp. 70,790 1,254
* Netscreen Technologies, Inc. 50,615 1,253
* Strattec Security Corp. 20,545 1,251
Prosperity Bancshares, Inc. 55,567 1,251
* Lionbridge Technologies, Inc. 129,873 1,248
* Saga Communications, Inc. 67,351 1,248
* Stage Stores, Inc. 44,697 1,247
* MTC Technologies, Inc. 38,689 1,247
* Digital Generation Systems 555,031 1,243
Crawford & Co. Class B 175,940 1,242
* Shoe Carnival, Inc. 69,700 1,241
* eCollege.com Inc. 67,157 1,240
AMLI Residential Properties
Trust REIT 46,183 1,238
* Powerwave Technologies, Inc. 161,771 1,238
* Virage Logic Corp. 121,644 1,237
LTC Properties, Inc. REIT 83,892 1,237
* Stratasys, Inc. 45,250 1,234
* Ciphergen Biosystems, Inc. 109,739 1,233
Peoples Holding Co. 37,375 1,233
* MicroStrategy Inc. 23,472 1,232
* Orbitz, Inc. 53,000 1,230
Heritage Financial Corp. 56,165 1,229
* Hartmarx Corp. 294,636 1,229
Stewart & Stevenson
Services, Inc. 87,414 1,228
Arctic Cat, Inc. 49,677 1,227
* Jacuzzi Brands, Inc. 173,014 1,227
Middlesex Water Co. 60,400 1,226
Agilysys, Inc. 109,932 1,226
* Itron, Inc. 66,740 1,225
* The Wet Seal, Inc. Class A 123,814 1,225
Lone Star Steakhouse &
Saloon, Inc. 52,719 1,222
* OneSource Information
Services, Inc. 129,600 1,221
* Skechers U.S.A., Inc. 149,772 1,221
Steelcase Inc. 84,930 1,220
* Rubio's Restaurants, Inc. 203,894 1,219
* FindWhat.com 64,884 1,217
* Salem Communications Corp. 44,840 1,216
* OPNET Technologies, Inc. 73,853 1,216
* Internap Network Services Corp. 495,642 1,214
Todd Shipyards Corp. 68,351 1,214
* First Mariner Bancorp, Inc. 64,759 1,213
* 1-800-FLOWERS.COM, Inc. 109,671 1,213
* Vivus, Inc. 319,238 1,210
Century Bancorp, Inc. Class A 34,120 1,210
* SOURCECORP, Inc. 47,197 1,210
* Central European
Distribution Corp. 38,253 1,209
* NeoPharm, Inc. 65,853 1,206
* Nabi Biopharmaceuticals 94,846 1,205
Lowrance Electronics, Inc. 58,883 1,205
* Antigenics, Inc. 106,340 1,204
* Inet Technologies, Inc. 100,204 1,202
* Spherion Corp. 122,291 1,197
* Avanex Corp. 239,756 1,196
* Infonet Services Corp. 703,499 1,196
Valmont Industries, Inc. 51,556 1,194
* Manugistics Group, Inc. 190,881 1,193
* Cell Genesys, Inc. 92,188 1,193
* Presstek, Inc. 163,876 1,191
* Specialty Laboratories, Inc. 70,687 1,187
LSB Corp. 68,522 1,186
* Casual Male Retail Group, Inc. 170,742 1,185
* Concord Communications, Inc. 59,290 1,184
Coachmen Industries, Inc. 65,363 1,184
Arrow Financial Corp. 42,592 1,183
* Bombay Co. 145,277 1,183
* Prime Hospitality Corp. 115,794 1,181
RPC Inc. 107,458 1,181
* II-VI, Inc. 45,761 1,181
Alico, Inc. 33,905 1,179
* ESCO Technologies Inc. 26,990 1,178
* Systems & Computer
Technology Corp. 72,047 1,178
* Tenneco Automotive, Inc. 175,642 1,175
* Progenics Pharmaceuticals, Inc. 62,245 1,174
* Zix Corp. 134,974 1,173
* Applied Films Corp. 35,490 1,172
* Kensey Nash Corp. 50,351 1,171
Winston Hotels, Inc. REIT 114,757 1,171
* Keynote Systems Inc. 98,331 1,170
First Community Bancorp 32,375 1,170
* Crown Media Holdings, Inc. 141,187 1,168
* Florida Banks, Inc. 83,269 1,166
* Blue Rhino Corp. 83,772 1,164
Horizon Financial Corp. 66,436 1,163
* Isis Pharmaceuticals, Inc. 178,957 1,163
* Steven Madden, Ltd. 56,939 1,162
* S&K Famous Brands Inc. 67,333 1,161
* Ventiv Health, Inc. 126,824 1,160
* 24/7 Real Media, Inc. 864,002 1,158
California Water Service Group 42,220 1,157
* Innotrac Corp. 110,258 1,156
25
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Agile Software Corp. 116,588 1,154
* Navarre Corp. 189,684 1,153
The Buckle, Inc. 52,020 1,152
* Tower Automotive, Inc. 168,611 1,152
* RehabCare Group, Inc. 54,161 1,151
Lindsay Manufacturing Co. 45,594 1,151
* Neurogen Corp. 136,692 1,150
Massbank Corp. 26,988 1,150
* Asbury Automotive Group, Inc. 64,131 1,149
* QuickLogic Corp. 230,787 1,147
* Wesco International, Inc. 129,382 1,145
* Unifi, Inc. 177,441 1,144
Marine Products Corp. 60,843 1,144
North Valley Bancorp 74,939 1,144
* Buckeye Technology, Inc. 113,775 1,143
* America Service Group Inc. 36,950 1,142
LSI Industries Inc. 84,590 1,142
* Atlantic Coast Airlines
Holdings Inc. 115,179 1,140
* Paxar Corp. 85,091 1,140
* LabOne, Inc. 35,089 1,139
* Pumatech, Inc. 285,846 1,138
* Docucorp International, Inc. 111,850 1,135
Dover Downs Gaming &
Entertainment, Inc. 119,999 1,135
* OraSure Technologies, Inc. 142,396 1,133
Action Performance Cos., Inc. 57,761 1,132
National Presto Industries, Inc. 31,268 1,130
* DuPont Photomasks, Inc. 46,752 1,129
* CuraGen Corp. 153,691 1,127
* EntreMed, Inc. 336,720 1,125
Meridian Bioscience Inc. 107,709 1,123
* National Dentex Corp. 46,765 1,122
Capital Bank Corp. 72,631 1,122
* Penwest Pharmaceuticals Co. 64,836 1,120
* Noven Pharmaceuticals, Inc. 73,616 1,120
* Double Eagle Petroleum Co. 74,465 1,118
Sanderson Farms, Inc. 27,705 1,117
* Sequa Corp. Class A 22,776 1,116
* Volt Information Sciences Inc. 49,375 1,116
* MedAmicus, Inc. 84,700 1,114
CTS Corp. 96,848 1,114
* Kadant Inc. 51,342 1,112
RAIT Investment Trust REIT 43,373 1,110
Atlantic Tele-Network, Inc. 39,540 1,109
Superior Uniform Group, Inc. 67,397 1,109
* West Marine, Inc. 39,857 1,108
* World Acceptance Corp. 55,658 1,108
Capital Trust Class A 48,757 1,107
* On2 Technologies, Inc. 844,807 1,107
* Stratex Networks, Inc. 260,268 1,106
* Curis, Inc. 245,575 1,105
Central Vermont Public
Service Corp. 46,968 1,104
* Therma-Wave Inc. 187,000 1,103
* Sonic Innovations, Inc. 170,907 1,102
* Retek Inc. 118,754 1,102
* XOMA Ltd. 166,649 1,100
* Duane Reade Inc. 64,994 1,100
* Dynamics Research Corp. 68,154 1,099
* Exelixis, Inc. 155,118 1,098
* A.C. Moore Arts & Crafts, Inc. 56,979 1,097
* Centennial Communications
Corp. Class A 208,626 1,097
* ScanSoft, Inc. 206,262 1,097
California Independent Bancorp 28,491 1,097
Ameron International Corp. 31,619 1,097
Goody's Family Clothing 117,010 1,095
* KNBT Bancorp Inc. 62,206 1,094
Standard Commercial
Tobacco Co. 54,425 1,092
* ImmunoGen, Inc. 216,144 1,092
* Diversa Corp. 117,793 1,090
Cornerstone Realty Income
Trust, Inc. REIT 124,303 1,089
Consolidated-Tomoka Land Co. 33,267 1,088
Presidential Life Corp. 82,648 1,088
* SonoSite, Inc. 50,685 1,087
* Applied Molecular Evolution, Inc. 61,030 1,086
* Instinet Group Inc. 210,635 1,085
Myers Industries, Inc. 89,433 1,084
* Molecular Devices Corp. 57,047 1,083
* Medarex, Inc. 173,608 1,082
* I.D. Systems, Inc. 157,530 1,079
CB Bancshares Inc. (HI) 17,113 1,078
First Merchants Corp. 42,154 1,076
* Omnicell, Inc. 66,400 1,076
* Rewards Network Inc. 100,864 1,075
* Sequenom, Inc. 338,083 1,075
* SeaChange International, Inc. 69,747 1,074
* 1-800 CONTACTS, Inc. 51,144 1,074
* Lakes Entertainment, Inc. 66,500 1,074
* iPayment Holdings, Inc. 31,537 1,072
News Corp. Ltd. Pfd. ADR 35,446 1,072
Hancock Fabrics, Inc. 74,026 1,072
Connecticut Water Services, Inc. 38,743 1,071
* Candela Corp. 58,881 1,070
* Pacific Premier Bancorp, Inc. 96,501 1,070
* Luminex Corp. 114,086 1,070
Summit Bancshares, Inc. 38,350 1,068
* Casella Waste Systems, Inc. 77,933 1,067
* AMC Entertainment, Inc. 70,132 1,067
26
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Datascope Corp. 29,752 1,067
* Spanish Broadcasting
System, Inc. 101,549 1,066
* Universal Display Corp. 77,861 1,064
* Coldwater Creek Inc. 96,726 1,064
* United States Exploration, Inc. 381,300 1,064
Stanley Furniture Co., Inc. 33,766 1,064
* Gulfmark Offshore, Inc. 75,965 1,064
* Aftermarket Technology Corp. 77,473 1,063
* Orthodontic Centers of
America, Inc. 131,766 1,061
* International Multifoods Corp. 58,922 1,061
* Veritas DGC Inc. 101,099 1,060
* Merit Medical Systems, Inc. 47,566 1,059
* Intuitive Surgical, Inc. 61,915 1,058
* Alliance Semiconductor Corp. 148,750 1,058
* Advanced Magnetics, Inc. 81,310 1,057
* Regeneration Technologies, Inc. 96,303 1,055
The Topps Co., Inc. 102,854 1,055
Blair Corp. 43,334 1,055
Community Banks, Inc. 26,790 1,053
Midland Co. 44,583 1,053
* Frontier Airlines, Inc. 73,840 1,053
* Layne Christensen Co. 89,505 1,052
* Bone Care International, Inc. 82,542 1,052
* PRG-Schultz International, Inc. 214,249 1,050
* Petrocorp, Inc. 77,887 1,048
First Federal Bancshares of
Arkansas, Inc. 25,525 1,047
United Industrial Corp. 57,958 1,046
TF Financial Corp. 30,784 1,046
* Valence Technology Inc. 271,251 1,044
* Garden Fresh Restaurant Corp. 65,018 1,044
United Capital Corp. 50,384 1,044
* Input/Output, Inc. 230,842 1,041
* Mail-Well, Inc. 225,660 1,040
* Pinnacle Airlines Corp. 74,700 1,038
* Digitas Inc. 111,126 1,036
Gibraltar Steel 41,172 1,035
* Boston Beer Co., Inc. Class A 56,947 1,033
* Cable Design Technologies Corp. 114,873 1,033
* Vicor Corp. 90,449 1,032
* Netopia, Inc. 70,688 1,031
Iomega Corp. 172,284 1,030
* Oxigene, Inc. 127,224 1,028
Applied Industrial
Technology, Inc. 43,031 1,027
* Virginia Commerce Bancorp, Inc. 32,044 1,026
* Metris Cos., Inc. 231,060 1,026
* Targeted Genetics Corp. 468,003 1,025
* iPass Inc. 63,900 1,024
* Serologicals Corp. 54,977 1,023
Investors Title Co. 32,952 1,022
* Cepheid, Inc. 106,283 1,018
* The SCO Group, Inc. 59,867 1,018
Dover Motorsports, Inc. 289,763 1,014
* Genus, Inc. 169,009 1,014
* Neogen Corp. 40,934 1,014
* Sun Bancorp, Inc. (NJ) 38,347 1,012
MutualFirst Financial Inc. 39,804 1,009
Unizan Financial Corp. 49,806 1,009
FloridaFirst Bancorp, Inc. 30,431 1,007
Covest Bankshares, Inc. 36,703 1,007
* General Communication, Inc. 115,755 1,007
* ITXC Corp. 232,896 1,006
Pulaski Financial Corp. 59,513 1,005
* Chattem, Inc. 56,027 1,003
Oil-Dri Corp. of America 63,015 1,003
* AAON, Inc. 51,516 1,000
Republic Bancshares, Inc. 31,772 1,000
North Pittsburgh Systems, Inc. 52,814 999
* E.piphany Inc. 138,402 998
* SBA Communications Corp. 263,820 997
* Mobile Mini, Inc. 50,482 996
* Sykes Enterprises, Inc. 116,197 995
* Titanium Metals Corp. 18,927 994
* Dril-Quip, Inc. 60,922 993
First Bancorp (NC) 31,607 993
* Sonic Solutions, Inc. 64,876 993
* CryoLife Inc. 171,542 992
* Exact Sciences Corp. 97,964 991
* Blue Coat Systems, Inc. 44,383 990
* Energy Conversion Devices, Inc. 109,371 988
Universal Forest Products, Inc. 30,646 986
CPI Corp. 48,791 986
Greater Delaware Valley
Savings Bank 35,216 986
Ryerson Tull, Inc. 85,936 984
The Marcus Corp. 59,960 983
SJW Corp. 11,009 983
* Kirkland's, Inc. 55,573 981
* PLX Technology, Inc. 110,700 980
Ingles Markets, Inc. 95,159 977
Gorman-Rupp Co. 37,002 977
* Indevus Pharmaceuticals, Inc. 165,467 975
* Carreker Corp. 69,470 973
* Innovex, Inc. 115,372 973
* Wave Systems Corp. 592,832 972
* JDA Software Group, Inc. 58,808 971
* Nastech Pharmaceutical Co., Inc. 100,932 969
* MTR Gaming Group Inc. 93,975 968
* InKine Pharmaceutical Co., Inc. 200,331 968
27
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Oak Hill Financial, Inc. 31,402 967
Maxcor Financial Group Inc. 74,664 966
* Dura Automotive Systems, Inc. 75,640 966
* Digi International, Inc. 100,512 965
Penford Corp. 70,255 965
* GameStop Corp. 62,568 964
* Pegasystems Inc. 111,692 963
* Myriad Genetics, Inc. 74,856 963
Keithley Instruments Inc. 52,570 962
* Interface, Inc. 173,920 962
* Drexler Technology Corp. 70,206 960
* Constar International Inc. 177,801 958
* Revlon, Inc. Class A 427,752 958
* Bruker BioSciences Corp. 210,073 956
* NETGEAR, Inc. 59,600 953
* Stoneridge, Inc. 63,188 951
* Ceres Group, Inc. 162,679 950
* Identix, Inc. 213,223 949
* EMS Technologies, Inc. 46,082 947
Traffix, Inc. 173,633 946
* MRO Software Inc. 70,225 945
Journal Communications, Inc. 51,000 945
* Universal American
Financial Corp. 95,192 943
Citizens South Banking Corp. 67,450 941
Saul Centers, Inc. REIT 32,716 938
* Park-Ohio Holdings Corp. 126,584 937
Park Electrochemical Corp. 35,354 937
First South Bancorp, Inc. 25,647 936
* Equinix, Inc. 33,132 934
American Woodmark Corp. 16,962 934
* SITEL Corp. 400,491 933
* Worldwide Restaurant
Concepts Inc. 333,261 933
* Nuance Communications Inc. 122,083 933
* NS Group Inc. 96,088 932
* Price Legacy Corp. REIT 244,190 930
* Pathmark Stores, Inc. 122,181 929
First Essex Bancorp, Inc. 15,950 927
World Wrestling
Entertainment, Inc. 70,701 926
* Benihana Inc. Class A 72,046 926
* Pharmacopeia, Inc. 65,106 925
United Community Financial Corp. 81,064 925
* Rochester Medical Corp. 98,694 925
* Axsys Technologies, Inc. 65,018 923
IXYS Corp. 98,667 923
HF Financial Corp. 56,357 921
Quixote Corp. 37,711 921
* RMH Teleservices, Inc. 177,307 915
* Symmetricom Inc. 125,511 914
* Serrento Networks Corp. 308,184 912
* The Great Atlantic &
Pacific Tea Co., Inc. 108,239 909
* Savient Pharmaceuticals Inc. 197,098 909
* LodgeNet Entertainment Corp. 49,653 908
* Amerco, Inc. 42,178 907
* Nexstar Broadcasting Group, Inc. 66,133 907
* Insurance Auto Auctions, Inc. 69,278 904
* ParkerVision, Inc. 92,228 903
* MarineMax, Inc. 46,376 901
* Applica Inc. 118,109 898
Second Bancorp, Inc. 33,923 896
* Kana Software, Inc. 265,679 895
* Artisan Components, Inc. 43,630 894
* Lightbridge, Inc. 97,949 891
* Lexicon Genetics Inc. 151,173 890
* Steak n Shake Co. 49,827 889
* Integrated Electrical
Services, Inc. 96,126 889
* Workflow Management, Inc. 152,419 887
* Strategic Diagnostics Inc. 187,036 885
* ABIOMED, Inc. 128,026 885
* Neurobiological
Technologies, Inc. 151,607 884
* Pegasus Solutions Inc. 84,354 883
BancFirst Corp. 15,005 881
* IntraBiotics Pharmaceuticals, Inc. 54,705 881
HMN Financial, Inc. 36,237 880
Columbia Banking System, Inc. 40,612 880
* Chordiant Software, Inc. 161,259 879
* PalmSource, Inc. 40,309 878
* Anaren, Inc. 62,140 877
* Sirva Inc. 44,900 877
* Ethyl Corp. 40,104 877
* Active Power, Inc. 301,200 873
FNB Financial Services Corp. 43,750 873
* The First Marblehead Corp. 39,875 872
Talx Corp. 37,883 872
* Midas Inc. 60,936 871
* DHB Industries, Inc. 124,338 870
Troy Financial Corp. 24,863 870
* GenVec, Inc. 262,743 867
* Information Holdings Inc. 39,227 867
* Investors Capital Holdings, Ltd. 151,895 866
* ePlus Inc. 69,998 863
* Tier Technologies, Inc. 105,609 863
First Keystone Financial, Inc. 31,603 863
Cohu, Inc. 45,049 863
* A.M. Castle & Co. 118,086 862
Wellman, Inc. 84,193 860
* Westell Technologies, Inc. 136,180 859
28
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
Innkeepers USA Trust REIT 102,352 857
* Gulf Island Fabrication, Inc. 50,300 857
* Enesco Group, Inc. 82,983 856
* FalconStor Software, Inc. 97,984 856
* DutchFork Bancshares, Inc. 22,229 856
* Cardinal Financial Corp. 103,342 856
UniFirst Corp. 36,057 855
* Argonaut Technologies Inc. 485,529 855
* Bioreliance Corp. 17,868 854
* Lydall, Inc. 83,505 851
* Blount International, Inc. 107,925 849
* SIGA Technologies, Inc. 370,359 848
Intermet Corp. 155,765 846
Sterling Financial Corp. (PA) 30,469 846
* FreeMarkets, Inc. 126,014 843
* Graphic Packaging Corp. 207,624 843
* MSC.Software Corp. 89,124 842
* Syms Corp. 122,048 841
Hovnanian Enterprises Inc.
Class A 9,650 840
* Ulticom, Inc. 86,877 838
* Titan Pharmaceuticals, Inc. 287,590 837
* Applied Innovation Inc. 124,138 835
* Zomax Inc. 167,263 835
Methode Electronics, Inc.
Class A 68,199 834
* Fisher Communications, Inc. 16,345 834
* Harris Interactive Inc. 100,416 833
* Mechanical Technology Inc. 152,351 833
Cadmus Communications 64,086 833
* Spectranetics Corp. 221,621 831
* Fairchild Corp. 164,644 830
* Hollis-Eden
Pharmaceuticals, Inc. 75,328 829
* Federal Agricultural
Mortgage Corp. Class A 37,006 828
* Gerber Scientific, Inc. 103,609 825
Ampco-Pittsburgh Corp. 60,218 823
HEICO Corp. 45,214 823
Dimon Inc. 121,838 822
* Datastream Systems, Inc. 104,746 822
* Manufacturers' Services Ltd. 135,095 821
* CyberSource Corp. 159,014 821
Triarc Cos., Inc. Class A 69,353 820
* MatrixOne, Inc. 132,565 817
* Bell Microproducts Inc. 90,017 816
Baldwin & Lyons, Inc. Class B 28,994 814
* Stifel Financial Corp. 41,705 813
* Latitude Communications, Inc. 206,814 813
Union Bankshares Corp. 26,644 813
* SciClone Pharmaceuticals, Inc. 119,530 810
* Friendly Ice Cream Corp. 83,843 809
* Tweeter Home Entertainment
Group, Inc. 85,465 808
* FSI International, Inc. 109,386 807
* American Physicians Capital, Inc. 43,873 807
* Department 56 Inc. 61,588 807
* Carter's, Inc. 31,700 807
* Concerto Software Inc. 67,203 805
* Paradyne Networks, Inc. 233,983 805
Provident Bancorp, Inc. 17,110 804
* Forgent Networks, Inc. 319,066 804
Advanced Marketing Services 70,423 803
* Xanser Corp. 338,634 803
* Telular Corp. 122,337 801
* Impco Technologies Inc. 91,826 801
* Centra Software, Inc. 202,690 801
* LCC International, Inc. Class A 148,922 799
Tennant Co. 18,433 798
Penn-America Group, Inc. 60,133 798
* The Boyds Collection, Ltd. 187,751 798
* Proxim Corp. Class A 477,544 797
* Switchboard Inc. 115,361 797
* ANADIGICS, Inc. 133,490 796
* Universal Technical Institute Inc. 26,500 795
* Wild Oats Markets Inc. 61,480 795
* Matria Healthcare, Inc. 37,609 795
* TheStreet.com, Inc. 192,786 794
* Atari, Inc. 188,969 794
* Radiant Systems, Inc. 94,350 793
Raven Industries, Inc. 26,834 792
* Tollgrade Communications, Inc. 45,138 791
* COMARCO, Inc. 71,768 789
* Verso Technologies, Inc. 246,144 788
* Covenant Transport, Inc. 41,429 788
* Palatin Technologies, Inc. 314,610 787
Pacific Union Bank 30,747 785
* NYFIX, Inc. 98,728 785
* Synovis Life Technologies, Inc. 38,568 784
* Sirenza Microdevices, Inc. 163,312 784
* Aclara Biosciences, Inc. 214,491 783
* TranSwitch Corp. 340,371 783
* Abaxis, Inc. 43,200 783
* Conceptus, Inc. 73,677 782
* Team, Inc. 76,215 782
* IMPAC Medical Systems, Inc. 30,590 782
* Midway Games Inc. 201,021 780
* Pegasus Communications Corp. 27,753 779
* Theragenics Corp. 142,441 779
* Alderwoods Group, Inc. 82,566 778
* Universal Electronics, Inc. 60,916 776
29
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* American Residential
Investment Trust, Inc. REIT 108,540 776
* QRS Corp. 95,326 774
* Elizabeth Arden, Inc. 38,837 774
* PRAECIS Pharmaceuticals Inc. 119,914 772
* Kforce Inc. 82,669 772
* Inverness Medical
Innovations, Inc. 35,431 772
* Chalone Wine Group Ltd. 87,314 768
* Array BioPharma Inc. 134,511 765
* CKE Restaurants Inc. 119,694 765
* Pericom Semiconductor Corp. 71,697 764
* Aetrium, Inc. 244,511 763
BHA Group Holdings Inc. 30,331 763
* Cornell Companies, Inc. 55,816 762
* Corixa Corp. 125,881 760
* Applix, Inc. 214,980 759
* White Electronic Designs Corp. 86,104 758
Curtiss-Wright Corp. Class B 16,860 757
* Navigant International, Inc. 54,658 757
* TransPro Inc. 180,536 756
* Ameriserv Financial Inc. 151,259 756
* AmericanWest Bancorporation 33,159 756
* Drugstore.com, Inc. 137,018 755
* Stellent Inc. 76,618 754
* Genesee & Wyoming Inc. Class A 23,804 750
Haverty Furniture Cos., Inc. 37,699 749
* Del Laboratories, Inc. 29,836 746
Standex International Corp. 26,597 745
* Highland Hospitality Corp. 68,300 744
* Autobytel Inc. 81,924 744
* Hi-Tech Pharmacal Co., Inc. 31,653 744
* Acmat Corp. Class A 60,347 743
* IDT Corp. 33,509 742
Standard Motor Products, Inc. 61,041 742
* Nu Horizons Electronics Corp. 75,595 741
* Horizon Offshore, Inc. 168,348 741
* Vitria Technology, Inc. 104,300 741
Firstfed America Bancorp, Inc. 28,436 740
SWS Group, Inc. 41,553 740
Oshkosh B' Gosh, Inc. Class A 34,451 739
Allen Organ Co. 15,974 739
Greater Community Bancorp 43,486 738
* Hibbett Sporting Goods, Inc. 24,754 738
* Genesco, Inc. 48,749 738
Bay View Capital Corp. 344,447 737
* Capstone Turbine Corp. 396,111 737
* Retail Ventures, Inc. 155,031 736
* Griffin Land & Nurseries, Inc. 51,772 736
* Harken Energy Corp. 628,047 735
* iVillage Inc. 204,985 734
* Illumina, Inc. 103,978 733
* On Assignment, Inc. 140,665 733
* PC Connection, Inc. 87,435 732
* Reading International Inc.
Class A 123,514 731
* Portal Software, Inc. 108,547 731
* PC-Tel, Inc. 68,849 730
Material Sciences Corp. 72,228 730
* MarketWatch.com, Inc. 84,759 730
* Curative Health Services, Inc. 52,851 729
* Maxxam Inc. 38,429 728
* Salix Pharmaceuticals, Ltd. 32,119 728
* Visual Networks, Inc. 324,823 728
* STAAR Surgical Co. 64,590 727
* Westmoreland Coal Co. 41,497 726
Sterling Bancorp 25,472 726
* UbiquiTel Inc. 269,842 726
* Management Network
Group Inc. 219,690 725
New England Business
Service, Inc. 24,521 723
Spartan Motors, Inc. 71,460 722
Virco Manufacturing Corp. 113,615 721
IBERIABANK Corp. 12,200 720
* First Potomac REIT 38,407 720
* Sipex Corp. 93,209 719
* Terayon Communications
Systems, Inc. 158,911 715
Peapack Gladstone
Financial Corp. 23,039 714
Alamo Group, Inc. 46,761 714
* NIC Inc. 88,815 713
* Clarus Corp. 98,886 713
* ActivCard Corp. 90,375 712
* Clean Harbors Inc. 79,792 711
* DiamondCluster International, Inc. 69,255 706
* SPSS, Inc. 39,409 705
* BindView Development Corp. 186,851 704
* Pemco Aviation Group, Inc. 20,400 704
West Coast Bancorp 32,960 703
FNB Corp. VA 23,572 700
* Juno Lighting, Inc. 31,103 700
Chesapeake Utilities Corp. 26,844 699
* New Focus, Inc. 139,104 698
* Maxim Pharmaceuticals, Inc. 78,421 698
* MapInfo Corp. 69,133 697
Inter Parfums, Inc. 30,822 696
* Marimba, Inc. 126,540 696
* Stratus Properties Inc. 69,211 693
* Cardima, Inc. 699,785 693
* Ag Services of America, Inc. 81,403 690
30
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* W.R. Grace & Co. 268,517 690
* Collins & Aikman Corp. 159,167 689
* Trans World Entertainment Corp. 96,664 688
* Herley Industries Inc. 33,114 685
* Perceptron, Inc. 90,106 685
* The Pantry, Inc. 30,123 684
Willow Grove Bancorp, Inc. 38,383 682
* Maxygen Inc. 64,087 681
Maine & Maritimes Corp. 19,454 681
* SONUS Pharmaceuticals, Inc. 133,817 680
* Network Equipment
Technologies, Inc. 61,641 678
* ePresence, Inc. 180,749 678
* Vastera, Inc. 169,381 678
* Oplink Communications, Inc. 282,499 675
* OpenTV Corp. 201,376 675
First Oak Brook Bancshares, Inc. 22,426 673
* The Smith & Wollensky
Restaurant Group, Inc. 106,040 672
* Durect Corp. 260,268 671
Gabelli Asset Management Inc. 16,819 669
Lakeland Financial Corp. 18,952 669
* Dave & Busters, Inc. 52,741 669
* Guilford Pharmaceuticals, Inc. 98,635 669
Team Financial, Inc. 52,863 669
* O'Charley's Inc. 37,243 669
* Lifecore Biomedical Inc. 111,040 668
* Repligen Corp. 152,876 668
* ARIAD Pharmaceuticals, Inc. 89,671 668
* eMerge Interactive, Inc. 460,233 667
* Cerus Corp. 146,987 667
* Galyan's Trading Co. 55,424 667
* Medical Staffing Network
Holdings, Inc. 60,858 666
* AZZ Inc. 49,898 666
BNP Residential
Properties, Inc. REIT 57,306 665
* Tut Systems, Inc. 103,067 662
* InterCept, Inc. 58,488 660
L.S. Starrett Co. Class A 39,964 657
* Mothers Work, Inc. 26,827 655
* NetRatings, Inc. 57,223 654
* Crossroads Systems, Inc. 234,919 653
* Jupitermedia Corp. 141,547 651
* Peet's Coffee & Tea Inc. 37,374 651
* Alloy, Inc. 124,575 649
Peoples Bancorp, Inc. 21,981 649
* EnPro Industries, Inc. 46,460 648
* Baldwin Technology Class A 281,219 647
* Sirna Therapeutics, Inc. 124,246 646
* Todhunter International, Inc. 55,986 644
Applied Signal Technology, Inc. 27,957 643
* Interlink Electronics Inc. 91,205 640
* Hector Communications Corp. 45,652 640
* Total Entertainment
Restaurant Corp. 52,934 639
Hawkins, Inc. 45,795 639
* The Greenbrier Cos., Inc. 38,127 639
Tompkins Trustco, Inc. 13,841 637
* Phoenix Technologies Ltd. 78,832 637
Stepan Co. 24,770 635
* Cell Therapeutics, Inc. 72,982 635
* Orchid Biosciences, Inc. 342,986 635
* MedCath Corp. 60,300 631
State Financial Services Corp.
Class A 23,695 629
Acadia Realty Trust REIT 50,205 628
* Aether Systems, Inc. 131,771 626
* Parker Drilling Co. 245,365 626
* WatchGuard Technologies, Inc. 107,435 625
* Lazare Kaplan International, Inc. 89,948 625
* Cache, Inc. 29,760 620
Green Mountain Power Corp. 26,263 620
First Busey Corp. 22,940 619
* Xybernaut Corp. 394,040 619
* Comtech
Telecommunications Corp. 21,396 618
* The TriZetto Group, Inc. 95,606 617
* Checkers Drive-In
Restaurants, Inc. 59,228 617
* Superconductor Technologies Inc. 110,431 616
* Group 1 Software, Inc. 34,962 616
Sanders Morris Harris Group Inc. 49,502 614
* Interpore International 47,185 613
* Online Resources Corp. 92,800 613
* PLATO Learning, Inc. 57,987 612
* Optical Communication
Products, Inc. 165,247 611
* Pfsweb Inc. 381,875 611
* Hudson Highland Group, Inc. 25,611 611
* Bally Total Fitness Holding Corp. 87,208 610
Integral Systems, Inc. 28,290 609
* Virologic, Inc. 161,911 609
Capitol Bancorp Ltd. 21,418 608
PrivateBancorp, Inc. 13,352 608
Financial Institutions, Inc. 21,504 607
* Nelnet, Inc. 27,100 607
Seaboard Corp. 2,152 607
* GSI Commerce, Inc. 62,172 607
* Curon Medical Inc. 192,760 606
* Pinnacle Entertainment, Inc. 64,955 605
Paul Mueller Co. 15,168 605
31
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Niku Corp. 71,176 605
* Arotech Corp. 332,129 604
* Immunomedics Inc. 132,451 604
* Darling International, Inc. 217,991 602
* HealthExtras, Inc. 44,896 602
TriCo Bancshares 18,932 597
* Lynx Therapeutics, Inc. 93,763 597
Strategic Distribution, Inc. 41,983 597
* BE Aerospace, Inc. 109,805 593
CCBT Financial Cos. Inc. 16,911 591
* Orleans Homebuilders, Inc. 20,833 590
* Zoltek Cos., Inc. 116,521 590
* EPIQ Systems, Inc. 34,413 589
* Carriage Services, Inc. 159,214 589
* Collagenex Pharmaceuticals, Inc. 52,550 589
* Aastrom Biosciences, Inc. 449,600 589
* Carmike Cinemas, Inc. 16,888 589
Deltic Timber Corp. 19,338 588
* Encore Capital Group, Inc. 39,300 584
* Computer Task Group, Inc. 149,835 583
* Trover Solutions, Inc. 87,900 583
* Compass Minerals International 40,800 583
* Excel Technology, Inc. 17,713 582
* Novatel Wireless, Inc. 97,147 582
Humphrey Hospitality
Trust, Inc. REIT 125,678 579
LaSalle Hotel Properties REIT 31,227 579
* Exponent, Inc. 26,934 576
* Celeritek, Inc. 77,515 575
Comm Bancorp, Inc. 15,421 574
* SeraCare Life Sciences, Inc. 56,626 574
Ennis Business Forms, Inc. 37,418 572
* JAKKS Pacific, Inc. 43,483 572
* Raindance Communications, Inc. 207,992 572
* BroadVision, Inc. 134,204 572
* Cellstar Corp. 45,175 571
* WJ Communications, Inc. 111,088 569
* Capital Title Group, Inc. 131,733 568
* Buca, Inc. 83,200 567
* Hampshire Group, Ltd. 18,029 566
* ITLA Capital Corp. 11,272 565
* Royale Energy, Inc. 45,844 563
* Digital Theater Systems Inc. 22,777 562
* Glenayre Technologies, Inc. 208,556 561
Chester Valley Bancorp 24,166 560
* SAFLINK Corp. 207,814 559
* Regent Communications, Inc. 87,967 559
Calgon Carbon Corp. 89,939 559
* Corio, Inc. 202,280 554
* Verticalnet, Inc. 469,548 554
* Neoware Systems, Inc. 40,407 554
BCSB Bankcorp, Inc. 29,749 552
Royal Bancshares of
Pennsylvania, Inc. 21,527 549
* Danielson Holdings Corp. 188,455 548
* Vyyo Inc. 64,284 548
* Robert Mondavi Corp. Class A 14,111 548
* HMS Holdings Corp. 136,929 548
* NPTest Holding Corp. 49,600 548
* Loudeye Corp. 279,834 546
* Captaris Inc. 96,998 545
* Harvard Bioscience, Inc. 61,087 544
CFS Bancorp, Inc. 36,464 541
* Pharmos Corp. 154,400 540
* Pain Therapeutics, Inc. 77,734 540
* First Consulting Group, Inc. 95,799 539
* Genaissance
Pharmaceuticals, Inc. 179,700 539
* Gene Logic Inc. 103,260 536
* US Physical Therapy, Inc. 34,042 535
* SoundView Technology
Group, Inc. 34,521 535
* OSI Systems Inc. 27,827 535
First Indiana Corp. 28,498 534
* Capital Pacific Holdings, Inc. 139,064 534
* Century Aluminum Co. 28,072 534
* J & J Snack Foods Corp. 14,128 533
* AVANT Immunotherapeutics, Inc. 194,322 532
* Neoforma, Inc. 50,028 532
* Allied Healthcare
International Inc. 85,126 531
* Ceradyne, Inc. 15,561 530
* CompuCom Systems, Inc. 101,054 530
* Planar Systems, Inc. 21,771 529
Shenandoah
Telecommunications Co. 10,298 528
Parkvale Financial Corp. 19,655 528
American Equity Investment Life
Holding Co. 52,900 527
* Torch Offshore, Inc. 99,700 526
* AVI BioPharma, Inc. 128,742 524
* Magnatek, Inc. 79,378 523
* TechTeam Global, Inc. 74,600 521
CSS Industries, Inc. 16,716 518
Codorus Valley Bancorp, Inc. 24,795 518
* Paxson Communications Corp. 134,288 517
* Plumtree Software, Inc. 109,900 517
* Alexion Pharmaceuticals, Inc. 30,132 513
Urstadt Biddle Properties REIT 37,652 512
* Insmed Inc. 172,165 511
* Computer Horizons Corp. 130,060 511
* Ista Pharmaceuticals Inc. 54,974 510
* Prime Group Realty Trust REIT 81,318 510
Sound Federal Bancorp Inc. 32,665 509
32
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Allos Therapeutics Inc. 141,700 509
* Systemax Inc. 76,352 509
* Inforte Corp. 61,104 507
* Daily Journal Corp. 16,075 506
Citizens First Financial Corp. 19,813 505
Sunrise Telecom Inc. 144,280 505
* U.S. Energy Corp. 169,389 505
* NMS Communications Corp. 80,847 504
Klamath First Bancorp 18,996 504
NN, Inc. 39,888 502
Hanmi Financial Corp. 25,334 501
* Interpharm Holdings, Inc. 106,561 501
* Steinway Musical
Instruments Inc. 20,250 500
* Centillium Communications, Inc. 88,599 499
* CYTOGEN Corp. 45,735 498
Community Bank of
Northern Virginia 26,079 495
* Monro Muffler Brake, Inc. 24,729 495
* First Union Real Estate REIT 228,962 495
* Intrado Inc. 22,527 494
ISCO, Inc. 53,212 492
* Entrust, Inc. 120,457 491
Astro-Med, Inc. 37,947 491
* Sanchez Computer
Associates, Inc. 118,199 491
Concur Technologies, Inc. 50,623 490
* Supertex, Inc. 25,642 490
Washington Trust
Bancorp, Inc. 18,636 488
* Cholestech Corp. 63,946 488
* Franklin Electronic
Publishers, Inc. 123,940 486
* Biopure Corp. 203,699 485
Commercial Bankshares, Inc. 14,439 485
* Rainier Pacific Financial
Group Inc. 30,300 482
* Boston Communications
Group, Inc. 51,872 482
* Hycor Biomedical Inc. 123,473 482
* Aksys, Ltd. 54,520 481
* Covansys Corp. 43,720 481
* Republic First Bancorp, Inc. 39,363 478
* Aerosonic Corp. 54,354 477
* General Binding Corp. 26,478 477
EnergySouth, Inc. 13,615 477
SpectraLink Corp. 24,773 475
* Citizens, Inc. 50,326 475
* Horizon Organic Holding Corp. 19,790 474
* Monolithic System
Technology, Inc. 55,292 473
* Exactech, Inc. 32,043 473
Lithia Motors, Inc. 18,616 469
* Extended Systems Inc. 107,886 468
FirstBank Corp. 15,330 465
* Lancer Corp. 68,213 464
* Overland Storage, Inc. 24,587 462
* Electro Rent Corp. 34,608 462
* Columbia Laboratories Inc. 72,899 459
* Green Mountain Coffee
Roasters, Inc. 19,940 459
* Roxio, Inc. 95,704 458
* Bottomline Technologies, Inc. 50,800 457
CompX International Inc. 71,397 457
D&E Communications, Inc. 31,375 455
* Provide Commerce Inc. 30,000 455
HopFed Bancorp, Inc. 26,395 455
* Verisity Ltd. 35,663 455
First United Corp. 18,635 454
Mission West
Properties Inc. REIT 35,009 453
* LKQ Corp. 25,255 453
* Embrex, Inc. 32,981 453
* Network Engines, Inc. 103,874 453
* Intelidata Technologies Corp. 274,416 453
* Miller Industries, Inc. 59,790 449
Distributed Energy
Systems Corp. 156,742 448
Wainwright Bank & Trust Co. 31,309 447
* Nashua Corp. 52,515 446
* Hanger Orthopedic Group, Inc. 28,556 445
* Paragon Technologies, Inc. 45,730 444
Courier Corp. 11,503 443
* Katy Industries, Inc. 77,069 440
* DT Industries, Inc. 356,100 438
* Aware, Inc. 150,647 438
* LECG Corp. 19,088 437
United Mobile Homes, Inc. REIT 25,654 436
First M&F Corp. 11,469 435
* AP Pharma Inc. 176,924 433
* barnesandnoble.com inc 146,333 432
* Ampal-American Israel Corp. 131,908 430
* Intraware, Inc. 207,726 430
* Main Street & Main, Inc. 153,007 430
Camden National Corp. 14,155 430
* Gadzooks, Inc. 277,226 430
* Merge Technologies, Inc. 24,330 429
* Allscripts Healthcare
Solutions, Inc. 80,360 428
* Correctional Services Corp. 158,860 427
Click Commerce, Inc. 83,232 426
* Trident Microsystems, Inc. 24,450 426
* Emerson Radio Corp. 113,213 426
* Zhone Technologies 86,097 425
33
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
TSR, Inc. 54,847 422
FFLC Bancorp, Inc. 14,652 421
* Alliance Imaging, Inc. 113,793 421
* Liquidmetal Technologies Inc. 148,209 421
* Lifeway Foods, Inc. 31,158 421
* Net2Phone, Inc. 61,819 420
* Epimmune Inc. 229,682 420
Lawson Products, Inc. 12,666 420
Kaman Corp. Class A 33,004 420
Titan International, Inc. 137,239 420
* A.S.V., Inc. 11,195 418
* Third Wave Technologies 91,755 417
* Alcide Corp. 28,391 417
* Aphton Corp. 69,075 414
* Neose Technologies, Inc. 44,927 413
* TippingPoint Technologies Inc. 13,771 413
* NetManage, Inc. 78,246 412
* BTU International, Inc. 116,844 411
* Luminent Mortgage Capital, Inc. 29,100 410
* Art Technology Group, Inc. 267,840 410
* APAC Teleservices, Inc. 157,468 409
* Caliper Technologies Corp. 61,893 407
* Avici Systems Inc. 51,058 406
* Rentrak Corp. 41,700 406
Andersons, Inc. 25,400 406
* Pinnacor Inc. 173,723 405
* National Beverage Corp. 24,783 404
* Genome Therapeutics Corp. 128,943 404
S.Y. Bancorp, Inc. 19,577 403
Robbins & Myers, Inc. 21,177 402
* EPIX Medical, Inc. 24,663 402
* Spherix Inc. 64,236 401
* Ceva, Inc. 38,554 401
Deb Shops, Inc. 18,559 399
One Liberty Properties, Inc. REIT 20,000 399
* TRC Cos., Inc. 18,935 399
* Quovadx, Inc. 81,356 399
Track Data Corp. 284,712 399
* Medis Technology Ltd. 37,234 398
* Able Laboratories, Inc. 22,025 398
* MAIR Holdings, Inc. 54,473 397
* Eden Bioscience Corp. 277,460 396
* RF Monolithics, Inc. 40,135 395
* Selectica, Inc. 92,165 394
* DigitalThink, Inc. 140,133 394
* Arena Pharmaceuticals, Inc. 63,096 391
* Cortex Pharmaceuticals, Inc. 150,400 391
* Research Frontiers, Inc. 42,054 391
* Interstate Hotels & Resorts, Inc. 72,853 390
BRT Realty Trust REIT 13,477 389
Bank of Granite Corp. 17,768 387
Young Innovations, Inc. 10,745 387
* Allied Holdings, Inc. 81,035 387
* Quidel Corp. 35,645 386
* P.A.M. Transportation
Services, Inc. 18,016 384
CityBank Lynnwood WA 11,815 384
* Introgen Therapeutics, Inc. 45,300 383
* Bradley Pharmaceuticals, Inc. 15,046 383
SS&C Technologies, Inc. 13,689 383
Steel Technologies, Inc. 21,500 380
* Hypercom Corp. 79,538 379
* SigmaTel Inc. 15,300 378
* ViroPharma Inc. 135,586 377
AmeriVest Properties, Inc. REIT 52,400 376
* Northwest Pipe Co. 28,181 375
Penn Engineering &
Manufacturing Corp. 19,694 375
* Factory 2-U Stores Inc. 273,260 375
Habersham Bancorp 15,291 374
* Brookstone, Inc. 17,514 373
Center Bancorp, Inc. 18,813 370
* International Shipholding Corp. 24,861 367
* Optika Inc. 80,396 366
CoBiz Inc. 19,850 366
* Norstan, Inc. 114,478 365
* Convera Corp. 107,089 365
* Chicago Pizza & Brewery, Inc. 24,424 364
* Computer Network
Technology Corp. 38,048 363
* Quality Distribution Inc. 18,542 362
* EarthShell Corp. 200,931 362
* Cavalier Homes, Inc. 121,227 361
* Metro One
Telecommunications, Inc. 138,563 360
Safety Insurance Group, Inc. 20,937 358
Ameriana Bancorp 24,700 358
Unity Bancorp, Inc. 31,315 358
Weyco Group, Inc. 10,630 358
* Versant Corp. 229,003 357
* Ramtron International Corp. 136,297 357
* Synalloy Corp. 51,479 356
* Perficient, Inc. 159,005 356
* Aradigm Corp. 206,717 353
* American Superconductor Corp. 25,500 353
* Ansoft Corp. 27,506 353
* Air Methods Corp. 39,260 353
Oneida Ltd. 59,690 352
* Chronimed Inc. 41,423 351
Ziegler Cos., Inc. 24,576 350
* Braun Consulting, Inc. 118,706 350
Skyline Corp. 10,028 350
* Emisphere Technologies, Inc. 63,466 348
* MetaSolv, Inc. 142,723 347
34
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
PMA Capital Corp. Class A 67,331 345
* Midwest Air Group Inc. 81,728 344
* Saba Software, Inc. 99,624 344
* SimpleTech, Inc. 57,163 344
* Numerex Corp. 89,442 340
* Global Power Equipment
Group Inc. 50,814 339
* Martha Stewart Living
Omnimedia, Inc. 34,382 339
* Commerce One, Inc. 266,069 338
* Northfield Laboratories, Inc. 50,900 336
* DOV Pharmaceutical, Inc. 24,928 336
* Omnova Solutions Inc. 69,881 335
NASB Financial Inc. 7,954 333
* Z-Tel Technologies, Inc. 163,922 331
* Carrington Labs Inc. 80,174 330
* Semitool, Inc. 30,771 330
* Candie's, Inc. 157,692 328
Pennrock Financial
Services Corp. 10,558 328
* NetSolve, Inc. 40,500 328
* Wellsford Real Properties Inc. 17,574 327
Farmers Capital Bank Corp. 9,610 327
* Five Star Quality Care, Inc. 74,159 326
Jefferson Bancshares, Inc. 23,553 325
Woodhead Industries, Inc. 19,153 324
* Digital Impact, Inc. 111,909 322
* Osteotech, Inc. 36,465 321
Hubbell Inc. Class A 7,600 320
EMC Insurance Group, Inc. 15,078 319
Pope & Talbot, Inc. 18,083 318
* Digimarc Corp. 23,942 318
Foothill Independent Bancorp 13,428 318
Eastern Virginia Bankshares, Inc. 10,992 317
* ebix.com Inc. 25,774 316
Security Bank Corp. 10,029 316
* Bentley Pharmaceuticals, Inc. 23,666 315
* Zonagen, Inc. 169,873 314
* Somera Communications, Inc. 195,262 312
* Consumer Portfolio Services, Inc. 83,980 312
* SteelCloud Inc. 72,599 312
* Falcon Financial Investment
Trust REIT 31,800 312
Franklin Financial Corp. 10,124 311
* ICT Group, Inc. 26,420 310
* Parallel Petroleum Corp. 71,200 310
Schawk, Inc. 22,689 309
* Party City Corp. 24,265 308
GA Financial, Inc. 8,834 307
Abigail Adams National
Bancorp., Inc. 16,140 307
BioSphere Medical Inc. 76,790 306
* ONYX Software Corp. 77,272 304
* SAVVIS Communications Corp. 202,779 303
FLAG Financial Corp. 23,443 302
* Luby's, Inc. 81,846 302
* SBS Technologies, Inc. 20,464 301
Stephan Co. 69,807 301
Donegal Group Inc. 15,566 300
* SatCon Technology Corp. 146,133 300
* Primus Knowledge
Solutions, Inc. 47,511 299
Anchor Glass Container Corp. 18,600 298
* SCM Microsystems, Inc. 38,527 297
Nature's Sunshine Inc. 35,178 297
* Analysts International Corp. 87,783 296
* Bush Industries, Inc. 70,117 294
* Catalytica Energy Systems, Inc. 83,770 293
* NaPro BioTherapeutics, Inc. 148,676 293
BEI Technologies, Inc. 14,462 289
* American Power Technology, Inc. 33,200 287
First State Bancorporation 8,216 286
* Catalina Lighting, Inc. 23,200 284
HEICO Corp. Class A 20,051 282
* McLeod USA Inc. 190,595 282
* IntegraMed America, Inc. 45,061 282
First of Long Island Corp. 6,525 281
* BSQUARE Corp. 196,047 280
* Restoration Hardware, Inc. 58,833 279
* Big Dog Holdings, Inc. 74,520 278
* SRI/Surgical Express, Inc. 44,528 277
* MIM Corp. 39,434 277
Berkshire Hills Bancorp, Inc. 7,651 277
* Trailer Bridge, Inc. 50,046 276
* NASSDA Corp. 38,039 276
United Financial Corp. 10,411 274
* Huttig Building Products, Inc. 90,960 273
* Goodrich Petroleum Corp. 52,100 272
* Raytech Corp. 82,064 272
* Electroglas, Inc. 74,154 271
* Sangamo BioSciences, Inc. 48,321 268
Republic Bancorp, Inc. Class A 13,659 267
CT Communications, Inc. 19,743 267
* Avigen, Inc. 45,312 266
* GTC Biotherapeutics, Inc. 83,315 266
* Innovative Companies, Inc. 52,650 265
* National Healthcare Corp. 13,316 265
German American Bancorp 15,127 265
* Tripath Technology Inc. 38,359 265
Rock of Ages Corp. 45,700 264
* RCN Corp. 328,743 263
* Drew Industries, Inc. 9,427 262
Lufkin Industries 9,073 261
* August Technology Corp. 14,000 260
35
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Rita Medical Systems, Inc. 58,239 259
* US LEC Corp. Class A 32,871 259
* AuthentiDate Holding Corp. 21,720 258
* Molina Healthcare Inc. 10,200 257
Northern States Financial Corp. 8,896 257
* Petroleum Helicopters, Inc. 9,515 257
* Proxymed Pharmacy, Inc. 14,629 256
Tech/Ops Sevcon, Inc. 46,681 256
* Dynacq Healthcare, Inc 33,272 256
* Beacon Power Corp. 234,364 255
* Ducommun, Inc. 11,405 255
* Cypress Bioscience, Inc. 16,800 255
Southern Financial Bancorp, Inc. 5,885 253
* Badger Paper Mills, Inc. 45,643 251
* Infinity, Inc. 63,600 251
* Community West Bancshares 28,743 249
Arden Group Inc. Class A 3,211 249
* Copper Mountain Networks, Inc. 23,092 249
* Edgewater Technology, Inc. 51,034 248
* Lipid Sciences, Inc. 69,352 248
* Kosan Biosciences, Inc. 25,001 247
* Global Payment Tech Inc. 73,317 246
* Toreador Resources Corp. 52,537 244
* Whitehall Jewellers, Inc. 24,672 244
* Prime Energy Corp. 16,656 243
* Peco II, Inc. 216,898 243
* Foster Wheeler Ltd. 235,171 242
ILX Resorts Inc. 34,176 242
* Capital Crossing Bank 5,100 241
* Astec Industries, Inc. 19,592 240
ESB Financial Corp. 14,660 240
* Tarragon Realty
Investors Inc. REIT 14,510 240
* Kendle International Inc. 37,725 239
Camco Financial Corp. 13,771 239
* Three-Five Systems, Inc. 45,150 237
* Optical Cable Corp. 33,311 236
* Seabulk International, Inc. 29,071 236
Pomeroy IT Solutions, Inc. 15,744 232
American National Bankshares Inc. 8,704 230
* Prime Medical Services, Inc. 49,089 230
* Gallery of History, Inc. 53,902 229
* Radiologix Inc. 67,100 227
* Option Care, Inc. 21,174 226
* ADE Corp. 12,200 226
D&K Healthcare Resources, Inc. 16,598 225
* Redhook Ale Brewery, Inc. 86,380 225
Psychemedics Corp. 23,937 224
* Res-Care, Inc. 27,600 224
* Hall, Kinion & Associates, Inc. 43,925 222
* Iridex Corp. 40,500 221
* Sports Resorts International, Inc. 43,255 219
* Wilshire Enterprises, Inc. 35,810 218
Saucony Inc. 12,600 218
* U.S. Concrete, Inc. 33,824 218
Citizens 1st Bancorp, Inc. 9,533 217
* WorldGate Communications, Inc. 201,242 217
* 3D Systems Corp. 21,400 217
First Midwest Financial, Inc. 9,751 217
* Maxwell Shoe Co. Inc. 12,714 216
* Greg Manning Auctions, Inc. 18,150 215
California National Bancorp 15,012 215
* Central Freight Lines, Inc. 12,000 213
Westfield Financial, Inc. 8,944 213
* Large Scale Biology Corp. 115,456 212
* All American Semiconductor, Inc. 47,681 212
* Airnet Communications Corp. 247,224 210
* HEI, Inc. 64,450 209
* Nutrition 21 Inc. 261,445 209
Hickory Tech Corp. 18,210 209
* Micro Linear Corp. 37,212 208
* Salton, Inc. 15,900 207
* Datalink Corp. 54,600 207
* MedSource Technologies, Inc. 45,800 206
* The Immune Response Corp. 135,959 205
Cascade Corp. 9,129 204
* Horizon Group
Properties, Inc. REIT 48,293 203
* Stratos International Inc. 29,911 203
* NMT Medical, Inc. 45,042 203
* Wyndham International, Inc.
Class A 300,330 201
Monmouth Real Estate
Investment Corp. REIT 23,091 201
Wayne Savings Bancshares, Inc. 11,126 200
* Orphan Medical, Inc. 19,500 200
* Powell Industries, Inc. 10,428 200
* American Independence Corp. 16,815 199
* Dominion Homes, Inc. 6,522 198
* Webco Industries, Inc. 48,123 197
Building Materials Holding Corp. 12,696 197
Mainsource Financial Group, Inc. 6,420 197
* MTI Technology Corp. 83,119 196
* Bioject Medical Technologies Inc. 64,900 195
* Terra Industries, Inc. 58,781 195
* Register.com, Inc. 36,939 194
* Evergreen Solar, Inc. 114,659 194
* Brillian Corp. 22,859 193
* Medialink Worldwide, Inc. 59,611 191
* Criimi Mae, Inc. REIT 18,188 190
Boykin Lodging Co. REIT 20,680 189
* Acclaim Entertainment Inc. 290,919 189
36
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Abraxas Petroleum Corp. 152,300 187
* Cosine Communications, Inc. 25,188 186
Warwick Valley Telephone Co. 6,236 185
* Retractable Technologies, Inc. 30,292 182
* Bell Industries, Inc. 69,698 181
* Central Coast Bancorp 9,913 180
* LMI Aerospace, Inc. 89,603 179
Healthcare Services Group, Inc. 9,244 178
* Merisel, Inc. 30,163 178
* Apropos Technology, Inc. 51,100 178
Pamrapo Bancorp, Inc. 6,936 176
* Mobility Electronics, Inc. 19,660 176
Shore Bancshares, Inc. 4,605 175
* SPEEDUS Corp. 125,356 174
* Summa Industries 19,702 174
* PharmaNetics, Inc. 93,688 173
* Nutraceutical International Corp. 15,613 172
* V.I. Technologies, Inc. 155,054 171
* Pharmion Corp. 11,100 169
* Allied Motion Technologies, Inc. 42,978 169
First SecurityFed Financial, Inc. 5,540 168
* Internet Capital Group, Inc. 484,628 167
* Bluegreen Corp. 26,600 166
* Synagro Technologies Inc. 75,440 166
* Covista Communications, Inc. 62,285 165
* Omega Protein Corp. 21,000 162
* Pharmacyclics, Inc. 21,890 162
* Laserscope 10,200 159
* Texas Capital Bancshares, Inc. 10,900 158
Knape & Vogt Manufacturing Co. 12,986 155
BancTrust Financial Group, Inc. 9,632 154
Belmont Bancorp 27,394 153
* Paradigm Genetics, Inc. 103,833 153
* Bankrate, Inc. 12,248 152
* Myogen, Inc. 10,600 152
Friedman's, Inc. Class A 22,537 151
* Encore Medical Corp. 18,500 151
* Superior Consultant
Holdings Corp. 36,388 150
* EasyLink Services Corp. 100,311 149
* America Online Latin
America, Inc. 103,663 147
* Ultimate Electronics, Inc. 19,094 146
* Vical, Inc. 29,486 145
ABC Bancorp 9,007 144
* Continucare Corp. 103,019 143
* Lantronix, Inc. 120,839 141
* Maui Land & Pineapple Co., Inc. 4,044 140
* Diedrich Coffee, Inc. 36,209 139
Home Federal Bancorp 4,916 139
* Interactive Intelligence Inc. 26,516 138
* Pac-West Telecom, Inc. 71,645 138
* Docent, Inc. 29,706 137
TIB Financial Corp. 5,721 135
* Interep National Radio Sales, Inc. 98,600 134
* Trump Hotels & Casino
Resorts, Inc. 61,313 132
* VIA NET.WORKS, Inc. 76,174 130
National Health Realty Inc. REIT 6,488 128
* Century Casinos, Inc. 38,500 127
* Seneca Foods Corp. 5,900 127
* Physiometrix, Inc. 56,991 125
Aaron Rents, Inc. 6,750 125
* PriceSmart, Inc. 19,895 125
Maritrans Inc. 7,452 125
* The Princeton Review, Inc. 12,762 124
Warwick Community
Bancorp, Inc. 3,617 124
* Alteon, Inc. 79,068 124
* eLoyalty Corp. 33,913 124
The First Years Inc. 8,260 123
* Interland, Inc. 18,885 123
* Microtek Medical Holdings, Inc. 24,500 123
* Rigel Pharmaceuticals, Inc. 6,400 122
* Cytrx Corp. 65,059 121
* Willis Lease Finance Corp. 16,345 120
* eXegenics Inc. 131,711 118
* Creative Host Services, Inc. 49,298 118
* Technology Solutions Co. 94,439 118
* GMX Resources Inc. 29,205 117
Cavalry Bancorp, Inc. 6,571 115
* United National Group Ltd. Class A 6,500 115
* Onvia.com, Inc. 24,695 115
Sypris Solutions, Inc. 6,721 113
Sun Bancorp, Inc. 5,944 113
* Mayor's Jeweler's, Inc. 151,566 112
* Hungarian Telephone and
Cable Corp. 11,367 112
First Defiance Financial Corp. 4,192 112
Rocky Mountain Chocolate
Factory, Inc. 8,881 111
* General Bearing Corp. 36,504 111
* Benihana Inc. 8,400 111
* Critical Path, Inc. 83,104 111
* Mestek, Inc. 5,722 110
Financial Industries Corp. 7,795 110
LSB Bancshares, Inc. 6,293 109
* Amtech Systems, Inc. 18,932 109
* Matritech Inc. 56,793 107
* Cavco Industries, Inc. 4,453 107
* Viewpoint Corp. 141,539 106
* Newtek Business Services, Inc. 15,073 105
37
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* Anthony & Sylvan Pools Corp. 26,081 104
* DigitalNet Holdings, Inc. 5,300 103
Independence Holding Co. 4,298 103
* Conrad Industries, Inc. 33,845 102
* Rainmaker Systems, Inc. 72,308 101
* InterVideo Inc. 8,602 101
* ACT Teleconferencing, Inc. 93,300 101
* Insightful Corp. 49,316 101
* Larscom Inc. 22,652 100
* IVAX Diagnostics, Inc. 20,534 100
* Transgenomic, Inc. 49,307 99
* Matrix Service Co. 5,400 98
* Perini Corp. 10,505 96
* Redback Networks Inc. 414,613 96
* American Access
Technologies Inc. 70,247 94
* JLM Industries, Inc. 69,052 94
* Callidus Software Inc. 5,300 94
* Lanvision Systems, Inc. 28,581 93
Coastal Financial Corp. 5,249 93
* Digital Lightwave, Inc. 113,520 92
* InsWeb Corp. 19,920 92
* Nobel Learning Communities, Inc. 17,000 91
* Omtool, Ltd. 11,972 89
* Applied Digital Solutions, Inc. 186,700 88
* Magellan Petroleum Corp. 65,266 85
* NaviSite, Inc. 12,899 85
* A.D.A.M., Inc. 43,345 85
* Pemstar Inc. 25,578 84
* Gundle/SLT Environmental, Inc. 4,029 84
* Catapult Communications Corp. 5,722 83
Bel Fuse, Inc. Class A 2,773 83
CNB Florida Bancshares, Inc. 3,600 83
* Blue Martini Software, Inc. 16,795 82
Noland Co. 1,969 82
State Bancorp, Inc. 3,335 81
* ICO, Inc. 58,778 80
* SportsLine.com, Inc. 60,513 77
* Fresh Choice, Inc. 43,708 76
American Mortgage
Acceptance Co. REIT 4,542 74
* Terremark Worldwide, Inc. 114,800 73
* REX Stores Corp. 5,124 73
* AXT, Inc. 23,300 72
* Universal Access Global
Holdings Inc. 23,908 70
* ARK Restaurants Corp. 5,000 70
Exchange National
Bancshares, Inc. 1,942 70
* U.S. Energy Systems, Inc. 59,910 68
* MacroChem Corp. 79,800 67
* Internet Pictures Corp. 37,575 66
* Impreso, Inc. 32,000 65
* Immtech International, Inc. 5,800 64
* Evolving Systems, Inc. 4,700 63
* Wilsons The Leather Experts Inc. 17,691 62
* ImageWare Systems, Inc. 18,400 55
* Lesco, Inc. 4,100 53
* SVB Financial Services 3,307 53
* The Allied Defense Group, Inc. 2,200 53
FNB Corp./North Carolina 2,474 52
* National Technical Systems, Inc. 9,597 52
* ACE, Inc. 20,705 51
* First Cash Financial Services, Inc. 2,000 51
* Andrea Radio Corp. 124,782 51
* Finlay Enterprises, Inc. 3,594 51
* I-Flow Corp. 3,600 50
* DSL.Net, Inc. 82,929 50
* Franklin Bank Corp. 2,600 49
* ZEVEX International, Inc. 12,257 49
* Media 100 Inc. 93,278 49
* I-many, Inc. 47,380 47
* Hanover Direct, Inc. 228,984 46
* COMFORCE Corp. 83,292 44
* Artisoft, Inc. 16,051 43
* Versar Inc. 12,700 43
* Protection One, Inc. 113,561 41
* Astea International, Inc. 13,249 40
Commercial National
Financial Corp. 1,500 39
* Applied Imaging Corp. 25,900 39
* Micro Therapeutics, Inc. 12,094 39
* SureBeam Corp. 177,337 38
* Star Scientific, Inc. 19,947 37
APCO Argentina Inc. 1,300 35
* Channell Commercial Corp. 8,100 34
* American Realty Investors, Inc. 3,670 34
Liquid Audio, Inc. 114,175 33
* Precision Optics Corp., Inc. 15,765 33
* Star Buffet, Inc. 7,414 33
* IGI, Inc. 20,672 32
* Datawatch Corp. 5,688 31
* Direct Insite Corp. 30,651 31
* Rainbow Rentals, Inc. 3,800 29
* Storage Computer Corp. 78,329 28
* HealthAxis, Inc. 9,014 27
Pittsburgh & West Virginia
Railroad REIT 2,927 26
* Ezenia!, Inc. 102,053 26
* Transcontinental Realty
Investors, Inc. REIT 1,500 25
* WHX Corp. 9,344 25
38
- --------------------------------------------------------------------------------
MARKET
TOTAL STOCK MARKET VALUE*
INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
* LightPath Technologies, Inc.
Class A 8,807 25
* GraphOn Corp. 113,770 23
Burnham Pacific
Properties, Inc. REIT 102,335 23
Bandag, Inc. Class A 538 22
* SciQuest, Inc. 6,126 22
Dynabazaar, Inc. 65,665 22
* Beta Oil & Gas, Inc. 10,800 21
Net Perceptions, Inc. 52,195 21
* Natrol, Inc. 7,220 20
* eGain Communications Corp. 9,782 20
Provident Financial Services Inc. 1,034 20
* FirstCity Financial Corp. 2,929 18
* The A Consulting Team, Inc. 18,542 17
* Bioanalytical Systems, Inc. 4,400 17
* Provo International Inc. 52,685 16
* Penn Octane Corp. 6,536 16
* Geerlings & Wade Inc. 30,636 15
* Hoenig Group, Inc.
Rights Exp. 9/1/2006 62,830 14
Webster City Federal Bancorp 1,000 14
* Vermont Teddy Bear Co., Inc. 3,272 14
* FiberNet Telecom Group, Inc. 10,903 14
* Major Automotive Cos., Inc. 17,395 13
* Click2learn, Inc. 6,000 13
* Ampex Corp. Class A 17,507 12
* Landenburg Thalmann Financial
Services, Inc. 21,199 12
* Visual Data Corp. 5,529 12
* Fedders Corp.
Rights Exp. 1/16/2004 186,089 11
* Versata, Inc. 6,605 11
* BMC Industries, Inc. 211,416 11
Collins Industries, Inc. 2,300 10
* DGSE Companies, Inc. 4,000 9
* Datakey, Inc. 13,300 9
* Oakwood Homes Corp. 81,969 9
* VCampus Corp. 5,698 8
* Navidec, Inc. 7,254 8
* GoAmerica, Inc. 20,195 7
* Network-1 Security
Solutions, Inc. 39,125 7
* Championship Auto Racing
Teams, Inc. 77,500 7
* Virbac Corp. 1,099 7
Magnum Hunter Resources Inc.
Warrants Exp. 3/21/2005 12,588 7
* CTI Industries Corp. 2,904 7
* Pure Bioscience 6,829 6
* NexPrise, Inc. 4,253 6
* Segue Software, Inc. 2,000 5
* Auspex Systems, Inc. 116,823 5
* Accessity Corp. 9,268 5
* Interactivecorp Cvt. Pfd. 76 4
* Microstrategy Inc.
Warrants Exp. 6/24/2007 16,344 4
* Corrpro Cos., Inc. 3,200 4
* Valentis, Inc. 1,345 4
* The Penn Traffic Co. 65,411 4
* Cogent Communications
Group, Inc. 2,570 3
* Cone Mills Corp. 104,013 3
* DiaSys Corp. 5,071 2
* Suburban Lodges of America, Inc. 5,000 2
* M-WAVE, Inc. 4,000 2
* SpectRx, Inc. 1,000 2
* Optical Cable Corp.
Warrants Exp. 10/24/2007 796 2
* InterActiveCorp
Warrants Exp. 2/4/2009 38 2
* Alanco Technologies, Inc. 1,687 1
* T-3 Energy Services, Inc. 177 1
* Headway Corporate
Resources, Inc. 152,392 1
* General Chemical Group Inc. 17,001 1
* Wilshire Financial Services
Group Inc. 64 --
* XO Communications, Inc.
Rights Exp. 1/14/2004 48,114 --
* Pinnacle
Warrants Exp. 11/13/2007 433 --
* ProcureNet, Inc. 22,500 --
-------
TOTAL COMMON STOCKS (Cost $38,900,615) 42,493,002
-------
39
- --------------------------------------------------------------------------------
FACE MARKET
TOTAL STOCK MARKET ACCOUNT VALUE*
INDEX FUND (000) (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.9%)(1)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.6%)(1)
- -------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.05%, 1/20/2004 $ 8,000 7,996
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
0.98%, 1/2/2004 207,946 207,946
0.99%, 1/2/2004--Note E 467,633 467,633
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $683,574) 683,575
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.5%)
(Cost $39,584,189) 43,176,577
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.5%)
Other Assets--Note B 161,719
Liabilities--Note E (793,301)
----------
(631,582)
----------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $42,544,995
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
100.0% and 1.5%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Security segregated as initial margin for open futures contracts.
ADR--American Depositary Receipt.
REIT--Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $40,052,186
Overdistributed Net Investment Income (27,259)
Accumulated Net Realized Losses (1,072,630)
Unrealized Appreciation
Investment Securities 3,592,388
Futures Contracts 310
- --------------------------------------------------------------------------------
NET ASSETS $42,544,995
================================================================================
Investor Shares--Net Assets
Applicable to 925,631,786 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $24,058,995
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INVESTOR SHARES $25.99
================================================================================
Admiral Shares--Net Assets
Applicable to 306,562,703 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $7,968,576
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
ADMIRAL SHARES $25.99
================================================================================
Institutional Shares--Net Assets
Applicable to 307,739,555 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $8,000,241
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $26.00
================================================================================
VIPER Shares--Net Assets
Applicable to 23,567,450 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $2,517,183
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
VIPER SHARES $106.81
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
(C) 2004 THE VANGUARD GROUP, INC.
ALL RIGHTS RESERVED.
VANGUARD MARKETING
CORPORATION, DISTRIBUTOR.
F850 022004
40
ITEM 2: Code of Ethics. The Board of Trustees has adopted a code of ethics that
applies to the principal executive officer, principal financial officer,
principal accounting officer or controller of the Registrant and The Vanguard
Group, Inc., and to persons performing similar functions.
ITEM 3: Audit Committee Financial Expert. All of the members of the Audit
Committee have been determined by the Registrant's Board of Trustees to be Audit
Committee Financial Experts. The members of the Audit Committee are: Charles D.
Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, Burton G. Malkiel, Alfred M.
Rankin, Jr., and J. Lawrence Wilson. All Audit Committee members are independent
under applicable rules.
ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(A) AUDIT FEES.
AUDIT FEES OF THE REGISTRANT
Fiscal Year Ended December 31, 2003: $153,000
Fiscal Year Ended December 31, 2002: $120,000
AGGREGATE AUDIT FEES OF REGISTERED INVESTMENT COMPANIES IN THE VANGUARD GROUP
Fiscal Year Ended December 31, 2003: $1,660,800
Fiscal Year Ended December 31, 2002: $1,620,200
(B) AUDIT-RELATED FEES.
Fiscal Year Ended December 31, 2003: $324,460
Fiscal Year Ended December 31, 2002: $420,280
Includes fees billed in connection with assurance and related services provided
to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and
other registered investment companies in the Vanguard Group.
(C) TAX FEES.
Fiscal Year Ended December 31, 2003: $409,900
Fiscal Year Ended December 31, 2002: $103,200
Includes fees billed in connection with compliance, planning, and advice
services provided to the Registrant, The Vanguard Group, Inc., Vanguard
Marketing Corporation, and other registered investment companies in the Vanguard
Group and related to income, excise, and stamp taxes.
(D) ALL OTHER FEES.
Fiscal Year Ended December 31, 2003: $31,000
Fiscal Year Ended December 31, 2002: $367,500
Includes fees billed in connection with benefit plans and statements, risk
management, privacy matters, educational training materials, and other business
advisory services provided to the Registrant, The Vanguard Group, Inc., Vanguard
Marketing Corporation, and other registered investment companies in the Vanguard
Group.
(E) (1) PRE-APPROVAL POLICIES. The policy of the Registrant's Audit Committee is
to consider and, if appropriate, approve before the principal accountant is
engaged for such services, all specific audit and permitted non-audit services
provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other
entities controlled by The Vanguard Group, Inc. that provide ongoing services to
the Registrant; and (4) other registered investment companies in the Vanguard
Group. In making a determination, the Audit Committee considers whether the
services are consistent with maintaining the principal accountant's
independence.
In the event of a contingency situation in which the principal accountant
is needed to provide services in between scheduled Audit Committee meetings, the
chairman of the Audit Committee would be called on to consider and, if
appropriate, pre-approve audit or permitted non-audit services in an amount
sufficient to complete services through the next Audit Committee meeting, and to
determine if such services would be consistent with maintaining the accountant's
independence. At the next scheduled Audit Committee meeting, services and fees
would be presented to the Audit Committee for formal consideration, and, if
appropriate, approval by the entire Audit Committee. The Audit Committee would
again consider whether such services and fees are consistent with maintaining
the principal accountant's independence.
The Registrant's Audit Committee is informed at least annually of all audit
and non-audit services provided by the principal accountant to the Vanguard
complex, whether such services are provided to: (1) the Registrant; (2) The
Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc.
that provide ongoing services to the Registrant; or (4) other registered
investment
companies in the Vanguard Group.
(2) No percentage of the principal accountant's fees or services were
approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01
of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the
principal accountant's engagement were not performed by persons other than
full-time, permanent employees of the principal accountant.
(G) AGGREGATE NON-AUDIT FEES.
Fiscal Year Ended December 31, 2003: $440,900
Fiscal Year Ended December 31, 2002: $470,700
Includes fees billed for non-audit services provided to the Registrant, The
Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered
investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the
provision of all non-audit services was consistent with maintaining the
principal accountant's independence.
ITEM 5: 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 Control Over Financial Reporting. There were no significant
changes in Registrant's internal control over financial reporting or in other
factors that could significantly affect this control subsequent to the date of
the evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
ITEM 10: EXHIBITS. The following exhibits are attached hereto:
(a) Code of Ethics
(b) Certifications
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD INDEX FUNDS
BY:_____________(signature)________________
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: February 20, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
VANGUARD INDEX FUNDS
BY:_____________(signature)________________
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: February 20, 2004
VANGUARD INDEX FUNDS
BY:_____________(signature)________________
(HEIDI STAM)
THOMAS J. HIGGINS*
TREASURER
Date: February 20, 2004
*By Power of Attorney. See File Number 2-57689, filed on December 26, 2002.
Incorporated by Reference.