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: 33-34494
Name of Registrant: VANGUARD INSTITUTIONAL INDEX FUND
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) INSTITUTIONAL INDEX FUND
DECEMBER 31, 2003
Annual Report
[Cover Art]
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 the 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 PROFILE
8 GLOSSARY OF INVESTMENT TERMS
9 PERFORMANCE SUMMARY
10 YOUR FUND'S AFTER-TAX RETURNS
11 FINANCIAL STATEMENTS
SUMMARY
* Vanguard Institutional Index Fund returned 28.7% in 2003, which matched the
return of its target benchmark.
* 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.
LETTER FROM THE CHAIRMAN
Dear Shareholder,
Both share classes of Vanguard Institutional Index Fund returned 28.7% in 2003,
as U.S. stocks rebounded sharply after a three-year bear market.
[PHOTOS--John J. Brennan]
- ---------------------------------------------------
2003 TOTAL RETURNS FISCAL YEAR ENDED
DECEMBER 31
- ---------------------------------------------------
VANGUARD INSTITUTIONAL INDEX FUND
Institutional Shares 28.7%
Institutional Plus Shares 28.7
S&P 500 Index 28.7
Average Large-Cap Core Fund* 25.6
- ---------------------------------------------------
*Derived from data provided by Lipper Inc.
Your fund's returns matched the 28.7% return of the fund's benchmark, the
Standard & Poor's 500 Index, and surpassed the 25.6% average return of its peer
fund group.
The adjacent table provides the total returns for your fund (both the
Institutional Shares and the Institutional Plus 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.
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; 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
1
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 economy's strong growth, which reached an annual rate of
8.2% in the third quarter.
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.
- --------------------------------------------------------------------------------
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%
- --------------------------------------------------------------------------------
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
2
level not seen since Dwight D. 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%.
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 Institutional 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's Institutional
Shares 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.
The fund's Institutional Shares posted consecutive quarterly gains of 15.4%,
2.6%, and 12.2% to close 2003 with a one-year total return (including reinvested
distributions) of 28.7%, the best performance since a 28.8% advance in 1998.
- --------------------------------------------------------------------------------
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
services 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 water. Materials & processing stocks, a relatively small sector, more
than carried their weight with a 37.1% gain. So did the multisector companies in
3
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 Institutional Index Fund, the ups and downs of recent
years have been dizzying to say the least. But the fund's long-term performance
continues to prove the merits of index investing. As shown in the adjacent
table, the Institutional Shares' ten-year annualized return of 11.1% a year is
2.2 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
right-hand column.
- --------------------------------------------------------------------------------
TOTAL RETURNS TEN YEARS ENDED
DECEMBER 31, 2003
- --------------------------------------------------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $10,000
RETURN INITIAL INVESTMENT
- --------------------------------------------------------------------------------
Institutional Index Fund
Institutional Shares 11.1% $28,720,067
S&P 500 Index 11.1 28,562,712
Average Large-Cap Core Fund 8.9 23,353,217
- --------------------------------------------------------------------------------
JULY 7, 1997* THROUGH
DECEMBER 31, 2003
- --------------------------------------------------------------------------------
AVERAGE FINAL VALUE OF A
ANNUAL $200,000,000
RETURN INITIAL INVESTMENT
- --------------------------------------------------------------------------------
Institutional Index Fund
Institutional Plus Shares 4.7% $269,856,390
S&P 500 Index 4.6 268,064,741
Average Large-Cap Core Fund 3.2 245,997,296
- --------------------------------------------------------------------------------
*Share-class inception.
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 expenses in trying to beat the
market. As the table above shows, clients who invested $10 million in the fund's
Institutional Shares over the past ten years would have received nearly $5.4
million more in returns than institutions invested in a fund posting the average
returns for the industry. 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 success of
Vanguard Institutional Index Fund is powerful evidence that a diversified,
low-cost index fund is an ideal long-term investment for any
4
organization that places a high priority on fiduciary responsibility as it seeks
to fulfill its mission.
It's worth noting that, when it comes to tracking an index, your fund's advisor,
Vanguard's Quantitative Equity Group, has provided consistently stellar results.
An index is a theoretical portfolio that incurs no investment expenses, making
it a tough bogie to hit. Yet thanks to our proprietary tracking techniques, the
Institutional Index Fund slightly outperformed the S&P 500 Index over the
ten-year period, despite the fund's real-world expenses.
KEEPING AN EVEN KEEL IN GOOD TIMES AND BAD
Although we were as pleased 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
Institutional Index Fund, even after three consecutive years of decline, had a
ten-year annualized return of 9.4%, 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 Institutional 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 Institutional 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.
Of course, successful investing typically requires holding more than one asset
class. We hope that no matter what the stock and bond markets do in the short
run, your institution will maintain a steady and well-diversified mix of stocks,
bonds, and short-term reserves tailored to your organization's circumstances and
goals. This kind of balanced, low-cost approach remains a proven way to meet
long-term goals-- and Vanguard offers a full range of funds to help you execute
this strategy successfully.
Staying the course is easier if you trust the company that manages your money.
In light of the disturbing reports of late trading and market-timing at some
competing investment management firms, I want to
5
assure you 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 your continued confidence in Vanguard.
Sincerely,
/S/JOHN J. BRENNAN
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JANUARY 12, 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
- --------------------------------------------------------------------------------
Institutional Index Fund
Institutional Shares $80.45 $101.78 $1.530 $0.000
Institutional Plus Shares 80.45 101.78 1.552 0.000
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
INSTITUTIONAL INDEX FUND
- ------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- ------------------------------------------------
Number of Stocks 502 500
Median Market Cap $52.3B $52.3B
Price/Earnings Ratio 22.6x 22.6x
Price/Book Ratio 3.2x 3.2x
Yield 1.6%
Institutional Shares 1.6%
Institutional Plus 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 13% --
Expense Ratio --
Institutional Shares 0.05%
Institutional Plus Shares 0.025%
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
(pharmaceuticals)
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
MARKET CAP Large
STYLE Blend
- ------------------------------------
VISIT OUR WEBSITE AT VANGUARD.COM
FOR REGULARLY UPDATED FUND INFORMATION.
7
- --------------------------------------------------------------------------------
GLOSSARY OF INVESTMENT TERMS
- --------------------------------------------------------------------------------
BETA. A measure of the magnitude of a fund's past share-price fluctuations in
relation to the ups and downs of 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.
- --------------------------------------------------------------------------------
INSTITUTIONAL INDEX FUND
CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003
[MOUNTAIN CHART]
- --------------------------------------------------------------------------------
INSTITUTIONAL AVERAGE
FISCAL INDEX FUND LARGE-CAP S&P 500 WILSHIRE
YEAR INSTITUTIONAL SHARES CORE FUND INDEX 5000 INDEX
- --------------------------------------------------------------------------------
199312 10000000 10000000 10000000 10000000
199403 9619022 9659000 9620769 9627111
199406 9659080 9567000 9661282 9551945
199409 10130762 9977000 10133632 10071017
199412 10130849 9861000 10132048 9993539
199503 11115901 10672229 11118581 10895947
199506 12175790 11583724 12179947 11913160
199509 13145795 12461273 13147895 13001916
199512 13940247 13050047 13939444 13636045
199603 14692623 13741562 14687558 14401917
199606 15348224 14254930 15346796 15036542
199609 15826479 14718010 15821240 15461910
199612 17154678 15727917 17139978 16528416
199703 17610651 15929219 17599410 16635397
199706 20687355 18490070 20671979 19444971
199709 22239884 19882559 22220320 21341883
199712 22877769 20174199 22858438 21700346
199803 26070312 22888695 26047022 24578077
199806 26935530 23482389 26907156 25056895
199809 24263654 20787216 24230679 22042806
199812 29464430 25300463 29391062 26784944
199903 30937559 26564619 30855435 27795874
199906 33112375 28277493 33030208 29965303
199909 31048599 26553589 30967666 27983334
199912 35703417 30955117 35575394 33095286
200003 36511568 32329141 36391107 34358380
200006 35569738 31492644 35424550 32816716
200009 35250381 31280128 35081397 32872507
200012 32508159 28181538 32336475 29489841
200103 28647357 25177935 28502839 25849469
200106 30321959 26573493 30170978 27781834
200109 25867578 22706245 25742430 23363647
200112 28630174 24303759 28493018 26253618
200203 28706521 24707108 28571336 26506137
200206 24857555 21508585 24743472 23164051
200209 20586776 18071900 20468847 19269870
200212 22322079 18594806 22195909 20777185
200303 21618420 18337615 21496862 20135766
200306 24949272 21091318 24805932 23458640
200309 25606401 21841699 25462300 24329077
200312 28720067 23353217 28562712 27351227
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
---------------------------------
FINAL VALUE
ONE FIVE TEN OF A $10,000
YEAR YEARS YEARS INVESTMENT
- --------------------------------------------------------------------------------
Institutional Index Fund
Institutional Shares 28.66% -0.51% 11.13% $28,720,067
Wilshire 5000 Index 31.64 0.42 10.59 27,351,227
S&P 500 Index 28.68 -0.57 11.07 28,562,712
Average Large-Cap Core Fund* 25.59 -1.59 8.85 23,353,217
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FINAL VALUE OF A
ONE FIVE SINCE $200,000,000
YEAR YEARS INCEPTION** INVESTMENT
- --------------------------------------------------------------------------------
Institutional Index Fund
Institutional Plus Shares 28.69% -0.48% 4.73% $269,856,390
Wilshire 5000 Index 31.64 0.42 4.99 274,220,940
S&P 500 Index 28.68 -0.57 4.62 268,064,741
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003
[BAR CHART]
- --------------------------------------------------------------------------------
FISCAL YEAR TOTAL RETURN S&P 500 INDEX
- --------------------------------------------------------------------------------
1994 1.3 1.3
1995 37.6 37.6
1996 23.1 23
1997 33.4 33.4
1998 28.8 28.6
1999 21.2 21
2000 -8.9 -9.1
2001 -11.9 -11.9
2002 -22.0 -22.1
2003 28.7 28.7
- --------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc.
**July 7, 1997.
Note: See FINANCIAL HIGHLIGHTS tables on pages 20 and 21 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 Institutional 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
----------------------------------
INSTITUTIONAL INDEX FUND INSTITUTIONAL SHARES
Returns Before Taxes 28.66% -0.51% 11.13%
Returns After Taxes on Distributions 28.34 -1.01 10.28
Returns After Taxes on Distributions
and Sale of Fund Shares 18.99 -0.70 9.40
- --------------------------------------------------------------------------------
10
- --------------------------------------------------------------------------------
AS OF 12/31/2003
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
TOTAL COMMON STOCKS to calculate the fund's NET ASSETS. Finally, NET ASSETS are
divided by the outstanding shares of the fund to arrive at its share price, or
NET ASSET VALUE (NAV) PER SHARE.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. Because all income and any realized gains
must be distributed to shareholders each year, the bulk of net assets consists
of PAID-IN CAPITAL (money invested by shareholders). The amounts shown for
UNDISTRIBUTED NET INVESTMENT INCOME and ACCUMULATED NET REALIZED GAINS usually
approximate the sums the fund had available to distribute to shareholders as
income dividends or capital gains as of the statement date, but may differ
because certain investments or transactions may be treated differently for
financial statement and tax purposes. Any ACCUMULATED NET REALIZED LOSSES, and
any cumulative excess of distributions over net income or net realized gains,
will appear as negative balances. UNREALIZED APPRECIATION (DEPRECIATION) is the
difference between the market value of the fund's investments and their cost,
and reflects the gains (losses) that would be realized if the fund were to sell
all of its investments at their statement-date values.
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.5%)(1)
- --------------------------------------------------------------------------------
General Electric Co. 37,160,266 1,151,225
Microsoft Corp. 40,015,952 1,102,039
ExxonMobil Corp. 24,462,346 1,002,956
Pfizer Inc. 28,243,641 997,848
Citigroup, Inc. 19,091,850 926,718
Wal-Mart Stores, Inc. 16,016,757 849,689
Intel Corp. 24,174,382 778,415
American International Group, Inc. 9,651,865 639,726
* Cisco Systems, Inc. 25,548,741 620,579
International Business Machines Corp. 6,367,143 590,107
Johnson & Johnson 10,984,870 567,478
The Procter & Gamble Co. 4,799,168 479,341
The Coca-Cola Co. 9,072,902 460,450
Bank of America Corp. 5,498,945 442,280
Altria Group, Inc. 7,517,221 409,087
Merck & Co., Inc. 8,234,579 380,438
Wells Fargo & Co. 6,262,177 368,780
Verizon Communications 10,220,348 358,530
ChevronTexaco Corp. 3,956,233 341,779
* Dell Inc. 9,475,980 321,804
SBC Communications Inc. 12,252,666 319,427
United Parcel Service, Inc. 4,160,758 310,185
* Time Warner, Inc. 16,734,736 301,058
Home Depot, Inc. 8,420,509 298,844
PepsiCo, Inc. 6,353,621 296,206
* Amgen, Inc. 4,774,098 295,039
Eli Lilly & Co. 4,155,875 292,283
Viacom Inc. Class B 6,437,849 285,712
J.P. Morgan Chase & Co. 7,551,002 277,348
Fannie Mae 3,596,136 269,926
Abbott Laboratories 5,785,884 269,622
Hewlett-Packard Co. 11,284,783 259,211
* Oracle Corp. 19,343,616 255,336
3M Co. 2,904,896 247,003
* Comcast Corp. Class A 7,398,609 243,192
Morgan Stanley 4,008,374 231,965
American Express Co. 4,760,537 229,601
Wachovia Corp. 4,899,209 228,254
Medtronic, Inc. 4,485,842 218,057
U.S. Bancorp 7,138,272 212,578
Wyeth 4,929,042 209,238
Bristol-Myers Squibb Co. 7,177,295 205,271
Merrill Lynch & Co., Inc. 3,498,560 205,191
Tyco International Ltd. 7,398,588 196,063
BellSouth Corp. 6,839,906 193,569
Bank One Corp. 4,137,446 188,626
Texas Instruments, Inc. 6,404,993 188,179
The Walt Disney Co. 7,569,915 176,606
The Goldman Sachs Group, Inc. 1,752,378 173,012
FleetBoston Financial Corp. 3,902,967 170,365
E.I. du Pont de Nemours & Co. 3,689,088 169,292
11
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
ConocoPhillips Co. 2,519,617 165,211
United Technologies Corp. 1,741,545 165,046
Lowe's Cos., Inc. 2,910,357 161,205
QUALCOMM Inc. 2,961,129 159,694
Anheuser-Busch Cos., Inc. 3,015,451 158,854
* eBay Inc. 2,390,800 154,422
Freddie Mac 2,574,813 150,163
Dow Chemical Co. 3,406,968 141,628
* Applied Materials, Inc. 6,155,354 138,188
Walgreen Co. 3,794,360 138,039
Gillette Co. 3,744,389 137,531
Washington Mutual, Inc. 3,328,449 133,537
The Boeing Co. 3,113,472 131,202
Target Corp. 3,373,344 129,536
UnitedHealth Group Inc. 2,171,202 126,321
Fifth Third Bancorp 2,106,010 124,465
Alcoa Inc. 3,202,746 121,704
Motorola, Inc. 8,615,153 121,215
Schlumberger Ltd. 2,166,773 118,566
MBNA Corp. 4,728,760 117,510
McDonald's Corp. 4,697,266 116,633
* EMC Corp. 8,894,321 114,915
* Nextel Communications, Inc. 4,069,395 114,187
Allstate Corp. 2,603,992 112,024
* Boston Scientific Corp. 3,031,769 111,448
First Data Corp. 2,697,394 110,836
General Motors Corp. 2,075,369 110,825
Kimberly-Clark Corp. 1,867,098 110,327
* Yahoo! Inc. 2,432,816 109,890
Ford Motor Co. 6,776,785 108,429
Caterpillar, Inc. 1,285,200 106,697
Clear Channel Communications, Inc. 2,278,344 106,695
Honeywell International Inc. 3,190,480 106,658
Emerson Electric Co. 1,557,486 100,847
Colgate-Palmolive Co. 1,988,362 99,518
Cardinal Health, Inc. 1,602,351 98,000
Illinois Tool Works, Inc. 1,140,422 95,693
The Bank of New York Co., Inc. 2,863,093 94,826
Metropolitan Life Insurance Co. 2,813,493 94,730
Schering-Plough Corp. 5,438,441 94,574
Marsh & McLennan Cos., Inc. 1,962,487 93,984
Carnival Corp. 2,331,419 92,627
Gannett Co., Inc. 1,003,302 89,454
Sysco Corp. 2,395,191 89,173
Automatic Data Processing, Inc. 2,200,109 87,146
Lockheed Martin Corp. 1,668,764 85,774
* Forest Laboratories, Inc. 1,353,279 83,633
Prudential Financial, Inc. 2,000,456 83,559
* Cendant Corp. 3,750,003 83,513
Southern Co. 2,709,972 81,977
Exelon Corp. 1,210,394 80,322
* AT&T Wireless Services Inc. 10,046,567 80,272
HCA Inc. 1,833,931 78,786
BB&T Corp. 2,023,037 78,170
Newmont Mining Corp. Holding Co. 1,599,120 77,733
Lehman Brothers Holdings, Inc. 1,004,989 77,605
The Gap, Inc. 3,315,563 76,954
International Paper Co. 1,778,276 76,661
Dominion Resources, Inc. 1,200,700 76,641
National City Corp. 2,249,964 76,364
FedEx Corp. 1,104,098 74,527
SunTrust Banks, Inc. 1,042,003 74,503
Guidant Corp. 1,151,056 69,294
Baxter International, Inc. 2,258,808 68,939
Duke Energy Corp. 3,358,883 68,689
AFLAC Inc. 1,898,047 68,671
Progressive Corp. of Ohio 799,457 66,827
NIKE, Inc. Class B 971,329 66,497
General Dynamics Corp. 731,850 66,152
Union Pacific Corp. 944,513 65,625
Northrop Grumman Corp. 677,834 64,801
State Street Corp. 1,237,027 64,424
Waste Management, Inc. 2,155,859 63,813
Sara Lee Corp. 2,925,117 63,504
Travelers Property Casualty Corp. Class B 3,718,997 63,111
* Zimmer Holdings, Inc. 895,051 63,012
* Costco Wholesale Corp. 1,694,256 62,992
SLM Corp. 1,668,644 62,875
Stryker Corp. 738,382 62,770
General Mills, Inc. 1,381,969 62,603
Best Buy Co., Inc. 1,197,807 62,573
Analog Devices, Inc. 1,359,501 62,061
The Hartford Financial Services Group Inc. 1,047,113 61,811
Omnicom Group Inc. 703,317 61,421
Maxim Integrated Products, Inc. 1,216,216 60,568
Occidental Petroleum Corp. 1,425,421 60,210
Tribune Co. 1,155,748 59,637
Charles Schwab Corp. 5,020,941 59,448
AT&T Corp. 2,923,502 59,347
Avon Products, Inc. 875,353 59,078
* Veritas Software Corp. 1,582,598 58,809
12
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Computer Associates International, Inc. 2,143,281 58,597
Golden West Financial Corp. 562,401 58,034
Deere & Co. 888,342 57,787
Kellogg Co. 1,510,583 57,523
* Kohl's Corp. 1,258,527 56,558
PNC Financial Services Group 1,026,247 56,166
Sprint Corp. 3,345,694 54,936
* WellPoint Health Networks Inc. Class A 562,426 54,550
* Sun Microsystems, Inc. 12,090,815 54,288
ALLTEL Corp. 1,155,038 53,802
Harley-Davidson, Inc. 1,121,399 53,300
CVS Corp. 1,461,791 52,800
* Electronic Arts Inc. 1,102,490 52,677
ConAgra Foods, Inc. 1,987,346 52,446
Capital One Financial Corp. 854,751 52,388
Danaher Corp. 568,376 52,148
Weyerhaeuser Co. 813,666 52,075
Paychex, Inc. 1,395,539 51,914
Countrywide Financial Corp. 681,484 51,691
* Agilent Technologies, Inc. 1,759,993 51,462
* Corning, Inc. 4,921,638 51,333
Mellon Financial Corp. 1,592,440 51,133
* The Kroger Co. 2,757,816 51,047
* Staples, Inc. 1,832,641 50,031
The McGraw-Hill Cos., Inc. 709,223 49,589
Devon Energy Corp. 860,761 49,287
* Xilinx, Inc. 1,267,140 49,089
Linear Technology Corp. 1,156,283 48,645
Apache Corp. 599,811 48,645
Entergy Corp. 846,904 48,384
Franklin Resources Corp. 928,974 48,362
* Starbucks Corp. 1,447,533 47,855
* Bed Bath & Beyond, Inc. 1,096,000 47,512
H.J. Heinz Co. 1,302,374 47,445
* Univision Communications Inc. 1,193,674 47,377
Anadarko Petroleum Corp. 928,661 47,371
The Chubb Corp. 695,051 47,333
Southwest Airlines Co. 2,913,629 47,026
Masco Corp. 1,714,296 46,989
Wm. Wrigley Jr. Co. 831,907 46,761
Raytheon Co. 1,540,562 46,278
Praxair, Inc. 1,203,543 45,975
International Game Technology 1,281,430 45,747
KeyCorp 1,551,406 45,487
American Electric Power Co., Inc. 1,462,056 44,607
* Biogen Idec Inc 1,212,555 44,598
FPL Group, Inc. 680,846 44,541
Burlington Northern Santa Fe Corp. 1,374,049 44,450
Air Products & Chemicals, Inc. 841,243 44,443
* Apollo Group, Inc. Class A 652,816 44,391
* Lucent Technologies, Inc. 15,521,264 44,080
Electronic Data Systems Corp. 1,778,030 43,633
Ingersoll-Rand Co. 642,171 43,591
FirstEnergy Corp. 1,220,889 42,975
ACE Ltd. 1,032,940 42,784
Sears, Roebuck & Co. 939,530 42,739
* PG&E Corp. 1,535,204 42,633
Equity Office Properties Trust REIT 1,479,649 42,392
* KLA-Tencor Corp. 720,754 42,287
Halliburton Co. 1,621,434 42,157
TJX Cos., Inc. 1,862,820 41,075
Progress Energy, Inc. 907,128 41,057
* Genzyme Corp.-General Division 829,607 40,933
Burlington Resources, Inc. 735,269 40,719
Campbell Soup Co. 1,518,854 40,705
* Xerox Corp. 2,930,895 40,446
PPG Industries, Inc. 628,947 40,265
SouthTrust Corp. 1,228,143 40,197
John Hancock Financial Services, Inc. 1,070,887 40,158
Baker Hughes, Inc. 1,239,421 39,860
* Chiron Corp. 694,815 39,598
Marriott International, Inc. Class A 855,933 39,544
The Principal Financial Group, Inc. 1,195,415 39,532
* Symantec Corp. 1,140,254 39,510
XL Capital Ltd. Class A 508,117 39,404
* St. Jude Medical, Inc. 638,595 39,178
* Intuit, Inc. 734,751 38,876
Johnson Controls, Inc. 334,334 38,823
Becton, Dickinson & Co. 939,995 38,671
Fortune Brands, Inc. 539,955 38,601
* Anthem, Inc. 511,877 38,391
* Broadcom Corp. 1,120,936 38,213
Aetna Inc. 564,791 38,169
Public Service Enterprise Group, Inc. 870,458 38,126
Marathon Oil Corp. 1,148,387 38,000
The Clorox Co. 781,116 37,931
Northern Trust Corp. 815,657 37,863
* Yum! Brands, Inc. 1,088,749 37,453
* Lexmark International, Inc. 475,581 37,400
Allergan, Inc. 482,828 37,086
Hershey Foods Corp. 481,599 37,078
13
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Coca-Cola Enterprises, Inc. 1,683,722 36,823
PACCAR, Inc. 431,906 36,764
H & R Block, Inc. 659,878 36,537
Archer-Daniels-Midland Co. 2,393,503 36,429
Comerica, Inc. 649,095 36,388
Consolidated Edison Inc. 834,528 35,893
* Safeway, Inc. 1,637,108 35,869
Unocal Corp. 958,498 35,301
Rohm & Haas Co. 824,158 35,200
Pitney Bowes, Inc. 864,649 35,122
McKesson Corp. 1,078,710 34,691
Limited Brands, Inc. 1,912,455 34,482
Biomet, Inc. 946,366 34,457
Norfolk Southern Corp. 1,445,154 34,178
Adobe Systems, Inc. 866,182 34,041
* Medco Health Solutions, Inc. 1,000,526 34,008
Loews Corp. 686,450 33,945
St. Paul Cos., Inc. 844,523 33,485
Moody's Corp. 550,765 33,349
Simon Property Group, Inc. REIT 708,143 32,815
Synovus Financial Corp. 1,116,938 32,302
Marshall & Ilsley Corp. 838,147 32,059
AmSouth Bancorp 1,299,505 31,838
* Altera Corp. 1,401,974 31,825
Cintas Corp. 632,104 31,687
* PeopleSoft, Inc. 1,387,823 31,642
MBIA, Inc. 533,523 31,601
Federated Department Stores, Inc. 669,258 31,542
May Department Stores Co. 1,068,172 31,052
Albertson's, Inc. 1,358,200 30,763
* Computer Sciences Corp. 693,402 30,669
Mattel, Inc. 1,591,180 30,662
Regions Financial Corp. 822,360 30,592
* Micron Technology, Inc. 2,260,091 30,443
Eaton Corp. 281,319 30,377
Equity Residential REIT 1,019,633 30,089
CIGNA Corp. 520,074 29,904
Dover Corp. 749,691 29,800
* SunGard Data Systems, Inc. 1,063,452 29,468
* Comcast Corp. Special Class A 932,053 29,155
Bear Stearns Co., Inc. 362,905 29,014
Georgia Pacific Group 940,688 28,851
Textron, Inc. 503,530 28,731
PPL Corp. 656,364 28,716
* Apple Computer, Inc. 1,341,813 28,675
CSX Corp. 792,214 28,472
Charter One Financial, Inc. 823,317 28,446
TXU Corp. 1,198,846 28,437
* Transocean Inc. 1,184,071 28,430
* Fiserv, Inc. 716,766 28,319
* Qwest Communications International Inc. 6,545,304 28,276
* Quest Diagnostics, Inc. 384,775 28,131
* AutoZone Inc. 328,618 28,002
Monsanto Co. 969,784 27,910
Freeport-McMoRan Copper & Gold, Inc. Class B 659,679 27,792
Aon Corp. 1,159,790 27,765
Ameren Corp. 600,599 27,628
* Tenet Healthcare Corp. 1,718,842 27,587
Ambac Financial Group, Inc. 395,523 27,445
Eastman Kodak Co. 1,059,821 27,206
* American Standard Cos., Inc. 269,574 27,146
* National Semiconductor Corp. 686,209 27,044
Kinder Morgan, Inc. 456,159 26,959
Starwood Hotels & Resorts Worldwide, Inc. 747,967 26,904
Lincoln National Corp. 658,892 26,599
J.C. Penney Co., Inc. (Holding Co.) 1,010,677 26,561
Jefferson-Pilot Corp. 522,135 26,446
* Edison International 1,204,901 26,423
New York Times Co. Class A 551,406 26,352
* Network Appliance, Inc. 1,276,000 26,196
Dollar General Corp. 1,246,373 26,161
Parker Hannifin Corp. 438,973 26,119
Ecolab, Inc. 953,710 26,103
Cinergy Corp. 658,535 25,558
* Concord EFS, Inc. 1,720,083 25,526
* Siebel Systems, Inc. 1,833,855 25,436
ITT Industries, Inc. 341,621 25,352
Sempra Energy 837,465 25,174
* Phelps Dodge Corp. 330,772 25,168
Xcel Energy, Inc. 1,474,952 25,045
Cincinnati Financial Corp. 593,836 24,870
Centex Corp. 229,886 24,747
Rockwell Automation, Inc. 690,135 24,569
Molex, Inc. 703,964 24,561
DTE Energy Co. 622,995 24,546
Tiffany & Co. 542,305 24,512
Constellation Energy Group, Inc. 618,629 24,226
* Sanmina-SCI Corp. 1,914,906 24,147
Hilton Hotels Corp. 1,403,093 24,035
* Interpublic Group of Cos., Inc. 1,534,842 23,944
* Novellus Systems, Inc. 563,929 23,713
The Pepsi Bottling Group, Inc. 971,833 23,499
AmerisourceBergen Corp. 414,246 23,260
* MedImmune Inc. 915,432 23,252
Newell Rubbermaid, Inc. 1,014,780 23,107
14
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Avery Dennison Corp. 408,556 22,887
Family Dollar Stores, Inc. 637,708 22,881
Knight Ridder 295,465 22,860
North Fork Bancorp, Inc. 561,514 22,724
* Nabors Industries, Inc. 542,688 22,522
MeadWestvaco Corp. 741,727 22,066
IMS Health, Inc. 885,641 22,017
Union Planters Corp. 697,343 21,959
UST, Inc. 613,354 21,891
T. Rowe Price Group Inc. 460,513 21,833
* AES Corp. 2,302,805 21,738
KeySpan Corp. 588,300 21,649
* Sprint PCS 3,827,878 21,513
Pulte Homes, Inc. 229,766 21,511
Genuine Parts Co. 643,415 21,361
ProLogis REIT 665,431 21,354
NiSource, Inc. 971,543 21,316
Health Management Associates Class A 886,900 21,286
Delphi Corp. 2,072,077 21,156
* BJ Services Co. 585,443 21,017
Brown-Forman Corp. Class B 224,401 20,970
* Jabil Circuit, Inc. 738,773 20,907
MGIC Investment Corp. 364,461 20,752
Plum Creek Timber Co. Inc. REIT 676,809 20,609
First Tennessee National Corp. 464,009 20,463
Zions Bancorp 332,678 20,403
Harrah's Entertainment, Inc. 408,919 20,352
Cooper Industries, Inc. Class A 345,273 20,002
SAFECO Corp. 512,990 19,971
* Avaya Inc. 1,540,952 19,940
EOG Resources, Inc. 426,047 19,671
Rockwell Collins, Inc. 654,708 19,661
* JDS Uniphase Corp. 5,311,610 19,387
* Office Depot, Inc. 1,158,238 19,354
* Express Scripts Inc. 290,791 19,317
* Advanced Micro Devices, Inc. 1,289,167 19,209
Huntington Bancshares Inc. 847,301 19,064
Torchmark Corp. 418,626 19,064
Williams Cos., Inc. 1,918,197 18,837
Whirlpool Corp. 257,906 18,737
Sherwin-Williams Co. 539,040 18,726
* AutoNation, Inc. 1,017,326 18,688
RadioShack Corp. 606,954 18,621
El Paso Corp. 2,249,313 18,422
* Watson Pharmaceuticals, Inc. 399,637 18,383
* Solectron Corp. 3,091,720 18,272
R.J. Reynolds Tobacco Holdings, Inc. 313,364 18,222
* Unisys Corp. 1,222,013 18,147
* QLogic Corp. 349,739 18,047
* Teradyne, Inc. 707,665 18,010
American Power Conversion Corp. 734,364 17,955
Vulcan Materials Co. 376,470 17,909
* Noble Corp. 494,893 17,707
Amerada Hess Corp. 332,412 17,674
Nordstrom, Inc. 508,332 17,436
CenturyTel, Inc. 533,898 17,416
Kerr-McGee Corp. 373,397 17,359
VF Corp. 400,027 17,297
UnumProvident Corp. 1,094,946 17,267
* Sealed Air Corp. 314,632 17,034
Wendy's International, Inc. 421,799 16,551
Jones Apparel Group, Inc. 467,692 16,477
Nucor Corp. 289,830 16,230
* Mercury Interactive Corp. 332,992 16,197
W.W. Grainger, Inc. 337,268 15,983
Applera Corp.-Applied Biosystems Group 769,136 15,929
* BMC Software, Inc. 837,551 15,620
C.R. Bard, Inc. 191,794 15,583
McCormick & Co., Inc. 513,969 15,470
Leggett & Platt, Inc. 709,703 15,351
Scientific-Atlanta, Inc. 561,619 15,332
* Thermo Electron Corp. 602,746 15,189
Dow Jones & Co., Inc. 301,478 15,029
* Waters Corp. 449,491 14,905
* Allied Waste Industries, Inc. 1,072,094 14,881
* Robert Half International, Inc. 633,881 14,795
Sigma-Aldrich Corp. 256,426 14,662
Janus Capital Group Inc. 890,076 14,606
Sunoco, Inc. 285,457 14,601
* Novell, Inc. 1,381,039 14,529
Symbol Technologies, Inc. 852,051 14,391
Liz Claiborne, Inc. 404,027 14,327
Black & Decker Corp. 287,565 14,183
SuperValu Inc. 495,509 14,167
* NVIDIA Corp. 599,832 13,946
* Pactiv Corp. 582,159 13,914
Engelhard Corp. 463,650 13,886
Hasbro, Inc. 645,272 13,731
Alberto-Culver Co. Class B 217,178 13,700
* King Pharmaceuticals, Inc. 891,849 13,610
* Humana Inc. 595,578 13,609
* NCR Corp. 349,750 13,570
Pinnacle West Capital Corp. 337,609 13,511
United States Steel Corp. 381,957 13,376
* Citizens Communications Co. 1,051,880 13,064
* Tellabs, Inc. 1,541,735 12,997
15
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Goodrich Corp. 434,977 12,914
* PMC Sierra Inc. 639,005 12,876
* Citrix Systems, Inc. 607,019 12,875
Darden Restaurants Inc. 609,259 12,819
R.R. Donnelley & Sons Co. 419,902 12,660
Equifax, Inc. 514,904 12,615
Temple-Inland Inc. 200,589 12,571
* Comverse Technology, Inc. 713,150 12,544
* Providian Financial Corp. 1,072,441 12,483
KB HOME 171,484 12,436
* LSI Logic Corp. 1,401,812 12,434
Ball Corp. 208,364 12,412
Pall Corp. 461,838 12,391
* Navistar International Corp. 253,861 12,157
International Flavors & Fragrances, Inc. 346,002 12,082
Fluor Corp. 303,176 12,018
Apartment Investment & Management Co.
Class A REIT 348,132 12,011
Federated Investors, Inc. 401,916 11,800
* CIENA Corp. 1,750,703 11,625
Sabre Holdings Corp. 530,307 11,449
Manor Care, Inc. 329,653 11,396
The Stanley Works 299,416 11,339
Eastman Chemical Co. 286,180 11,313
Ashland, Inc. 253,558 11,172
CenterPoint Energy Inc. 1,132,009 10,969
Brunswick Corp. 338,257 10,767
Boise Cascade Corp. 319,555 10,501
Autodesk, Inc. 413,030 10,152
Dana Corp. 549,104 10,076
Bausch & Lomb, Inc. 193,709 10,054
TECO Energy, Inc. 694,579 10,009
* Toys R Us, Inc. 790,475 9,992
Tektronix, Inc. 312,559 9,877
Bemis Co., Inc. 196,237 9,812
* Convergys Corp. 529,055 9,237
* Monster Worldwide Inc. 417,088 9,159
Meredith Corp. 185,369 9,048
* ADC Telecommunications, Inc. 2,976,503 8,840
* Compuware Corp. 1,419,234 8,572
Reebok International Ltd. 217,710 8,560
Ryder System, Inc. 237,003 8,094
Maytag Corp. 289,963 8,075
* Rowan Cos., Inc. 347,595 8,054
PerkinElmer, Inc. 468,235 7,993
Circuit City Stores, Inc. 773,998 7,841
* Millipore Corp. 180,415 7,767
Deluxe Corp. 186,733 7,718
Cummins Inc. 156,355 7,652
Adolph Coors Co. Class B 134,388 7,539
* Calpine Corp. 1,528,531 7,352
* Louisiana-Pacific Corp. 391,282 6,996
Snap-On Inc. 215,607 6,951
* Applied Micro Circuits Corp. 1,134,048 6,782
Crane Co. 219,419 6,745
* Andrew Corp. 568,167 6,540
* Big Lots Inc. 432,129 6,141
* Allegheny Energy, Inc. 469,665 5,993
* Dynegy, Inc. 1,391,429 5,955
Cooper Tire & Rubber Co. 273,145 5,840
Worthington Industries, Inc. 318,461 5,742
Peoples Energy Corp. 136,038 5,719
NICOR Inc. 162,679 5,538
* Gateway, Inc. 1,197,275 5,507
Delta Air Lines, Inc. 456,646 5,393
* American Greetings Corp. Class A 245,416 5,367
Winn-Dixie Stores, Inc. 523,312 5,207
* The Goodyear Tire & Rubber Co. 647,869 5,092
Great Lakes Chemical Corp. 186,856 5,081
* CMS Energy Corp. 595,385 5,073
Dillard's Inc. 307,806 5,067
Visteon Corp. 482,392 5,022
* Hercules, Inc. 409,802 5,000
Thomas & Betts Corp. 216,097 4,946
Allegheny Technologies Inc. 298,117 3,941
* Parametric Technology Corp. 984,085 3,877
Tupperware Corp. 216,033 3,746
* Power-One, Inc. 306,935 3,324
Viacom Inc. Class A 36,030 1,595
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $34,849,778) 38,064,590
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.5%)(1)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.05%, 1/20/2004 $20,000 19,990
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
0.98%, 1/2/2004 99,126 99,126
0.99%, 1/2/2004--Note E 79,452 79,452
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $198,568) 198,568
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(COST $35,048,346) 38,263,158
- --------------------------------------------------------------------------------
16
- --------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.0%)
- --------------------------------------------------------------------------------
Other Assets $ 592,814
Liabilities--Note E (593,034)
------------
(220)
------------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $38,262,938
================================================================================
*See Note A in NOTES TO FINANCIAL STATEMENTS.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
100.0% and 0.0%, respectively, of net assets. See Note C in NOTES TO FINANCIAL
STATEMENTS.
(2)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 $36,856,259
Undistributed Net Investment Income 4,908
Accumulated Net Realized Losses (1,819,524)
Unrealized Appreciation
Investment Securities 3,214,812
Futures Contracts 6,483
- --------------------------------------------------------------------------------
NET ASSETS $38,262,938
================================================================================
Institutional Shares--Net Assets
Applicable to 289,429,805 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $29,457,524
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $101.78
================================================================================
Institutional Plus Shares--Net Assets
Applicable to 86,514,528 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $8,805,414
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL PLUS SHARES $101.78
================================================================================
See Note C in NOTES TO FINANCIAL STATEMENTS for the tax-basis components of net
assets.
17
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by the fund during the reporting
period, and details the operating expenses charged to each class of its shares.
These expenses directly reduce the amount of investment income available to pay
to shareholders as income dividends. This Statement also shows any NET GAIN
(LOSS) realized on the sale of investments, and the increase or decrease in the
UNREALIZED APPRECIATION (DEPRECIATION) of investments during the period.
- --------------------------------------------------------------------------------
INSTITUTIONAL INDEX FUND
YEAR ENDED DECEMBER 31, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 592,882
Interest 2,977
Security Lending 288
- --------------------------------------------------------------------------------
Total Income 596,147
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative
Institutional Shares 11,978
Institutional Plus Shares 2,286
- --------------------------------------------------------------------------------
Total Expenses 14,264
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 581,883
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 1,427,250
Futures Contracts 61,675
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 1,488,925
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 6,552,118
Futures Contracts 11,886
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 6,564,004
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $8,634,812
================================================================================
18
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the fund's total net assets changed during the two most
recent reporting periods. The OPERATIONS section summarizes information detailed
in the Statement of Operations. The amounts shown as DISTRIBUTIONS to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the OPERATIONS section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. THE
CAPITAL SHARE TRANSACTIONS section shows the net amount shareholders invested in
or redeemed from the fund. DISTRIBUTIONS AND CAPITAL SHARE TRANSACTIONS are
shown separately for each class of shares.
- --------------------------------------------------------------------------------
INSTITUTIONAL INDEX FUND
-------------------------
YEAR ENDED DECEMBER 31,
-------------------------
2003 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 581,883 $ 511,688
Realized Net Gain (Loss) 1,488,925 (809,110)
Change in Unrealized Appreciation (Depreciation) 6,564,004 (8,001,191)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 8,634,812 (8,298,613)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Institutional Shares (422,249) (343,006)
Institutional Plus Shares (157,952) (166,485)
Realized Capital Gain
Institutional Shares -- --
Institutional Plus Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (580,201) (509,491)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--NOTE F
Institutional Shares 3,213,652 2,043,582
Institutional Plus Shares (2,408,925) 654,816
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital Share Transactions 804,727 2,698,398
- --------------------------------------------------------------------------------
Total Increase (Decrease) 8,859,338 (6,109,706)
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 29,403,600 35,513,306
- --------------------------------------------------------------------------------
End of Period $38,262,938 $29,403,600
================================================================================
19
FINANCIAL HIGHLIGHTS
This table summarizes the fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
TOTAL RETURN and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the PORTFOLIO TURNOVER RATE, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
INSTITUTIONAL INDEX FUND INSTITUTIONAL SHARES
- -----------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 80.45 $104.89 $120.72 $134.02 $112.85
- -----------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.54 1.42 1.374 1.403 1.501
Net Realized and Unrealized Gain (Loss) on Investments 21.32 (24.45) (15.829) (13.303) 22.143
- -----------------------------------------------------------------------------------------------------
Total from Investment Operations 22.86 (23.03) (14.455) (11.900) 23.644
- -----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.53) (1.41) (1.375) (1.400) (1.514)
Distributions from Realized Capital Gains -- -- -- -- (.960)
- -----------------------------------------------------------------------------------------------------
Total Distributions (1.53) (1.41) (1.375) (1.400) (2.474)
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $101.78 $ 80.45 $104.89 $120.72 $134.02
=====================================================================================================
TOTAL RETURN 28.66% -22.03% -11.93% -8.95% 21.17%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $29,458 $20,361 $24,165 $26,406 $28,918
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.06% 0.06%
Ratio of Net Investment Income to Average Net Assets 1.74% 1.57% 1.27% 1.10% 1.25%
Portfolio Turnover Rate* 13% 10% 8% 11% 14%
=====================================================================================================
*Portfolio turnover rates excluding in-kind redemptions were 4%, 8%, 5%, 7%, and
3%, respectively.
20
FINANCIAL HIGHLIGHTS (CONTINUED)
INSTITUTIONAL INDEX FUND INSTITUTIONAL PLUS SHARES
- -----------------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 80.45 $104.89 $120.72 $134.02 $112.85
- -----------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.562 1.438 1.405 1.449 1.542
Net Realized and Unrealized Gain (Loss) on Investments 21.320 (24.446) (15.829) (13.302) 22.143
- -----------------------------------------------------------------------------------------------------
Total from Investment Operations 22.882 (23.008) (14.424) (11.853) 23.685
- -----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.552) (1.432) (1.406) (1.447) (1.555)
Distributions from Realized Capital Gains -- -- -- -- (.960)
- -----------------------------------------------------------------------------------------------------
Total Distributions (1.552) (1.432) (1.406) (1.447) (2.515)
- -----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $101.78 $ 80.45 $104.89 $120.72 $134.02
=====================================================================================================
TOTAL RETURN 28.69% -22.01% -11.90% -8.92% 21.21%
=====================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $8,805 $9,042 $11,349 $10,765 $6,861
Ratio of Total Expenses to Average Net Assets 0.025% 0.025% 0.025% 0.025% 0.025%
Ratio of Net Investment Income to Average Net Assets 1.76% 1.59% 1.31% 1.14% 1.29%
Portfolio Turnover Rate* 13% 10% 8% 11% 14%
=====================================================================================================
*Portfolio turnover rates excluding in-kind redemptions were 4%, 8%, 5%, 7%, and
3%, respectively.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
21
NOTES TO FINANCIAL STATEMENTS
Vanguard Institutional Index Fund is registered under the Investment Company Act
of 1940 as an open-end investment company, or mutual fund. The fund offers two
classes of shares, Institutional Shares and Institutional Plus Shares, to
investors who invest minimum amounts of $10 million and $200 million,
respectively.
A. The following significant accounting policies conform to generally accepted
accounting principles for U.S. mutual funds. The fund consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Securities are valued as of the close of trading on the
New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation
date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such
securities not traded on the valuation date are valued at the mean of the latest
quoted bid and asked prices. Securities for which market quotations are not
readily available, or whose values have been materially affected by events
occurring before the fund's pricing time but after the close of the securities'
primary markets, are valued by methods deemed by the board of trustees to
represent fair value. Temporary cash investments acquired over 60 days to
maturity are valued using the latest bid prices or using valuations based on a
matrix system (which considers such factors as security prices, yields,
maturities, and ratings), both as furnished by independent pricing services.
Other temporary cash investments are valued at amortized cost, which
approximates market value.
2. FUTURES CONTRACTS: The fund uses S&P 500 Index futures contracts to a limited
extent, with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity, and minimizing transaction costs. The
fund may purchase futures contracts to immediately invest incoming cash in the
market, or sell futures in response to cash outflows, thereby simulating a fully
invested position in the underlying index while maintaining a cash balance for
liquidity. The fund may seek to enhance returns by using futures contracts
instead of the underlying securities when futures are believed to be priced more
attractively than the underlying securities. The primary risks associated with
the use of futures contracts are imperfect correlation between changes in market
values of stocks held by the fund and the prices of futures contracts, and the
possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard
Group, transfers uninvested cash balances into a pooled cash account, which is
invested in repurchase agreements secured by U.S. government securities.
Securities pledged as collateral for repurchase agreements are held by a
custodian bank until the agreements mature. Each agreement requires that the
market value of the collateral be sufficient to cover payments of interest and
principal; however, in the event of default or bankruptcy by the other party to
the agreement, retention of the collateral may be subject to legal proceedings.
4. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a regulated
investment company and distribute all of its taxable income. Accordingly, no
provision for federal income taxes is required in the financial statements.
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend
date.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale
22
of investment securities are those of the specific securities sold.
Class-specific shareholder servicing fees are charged to each class at the
contractual rate. Income, expenses not attributable to a specific class, and
realized and unrealized gains and losses on investments are allocated to each
class of shares based on its relative net assets.
B. The Vanguard Group provides investment advisory, corporate management,
administrative, marketing, and distribution services and pays for all other
operating expenses, except for taxes, in return for a fee calculated at an
annual percentage rate of the average net assets of the fund, or, for
shareholder services, each class of shares. The fund's trustees and officers are
also directors and officers of Vanguard.
C. 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 $1,558,735,000 of net
capital gains resulting from in-kind redemptions--in which shareholders
exchanged fund shares for securities held by the fund rather than for cash.
Because such gains are not taxable to the fund, and are not distributed to
shareholders, they have been reclassified from accumulated net realized gains to
paid-in capital.
For tax purposes, at December 31, 2003, the fund had $4,472,000 of ordinary
income available for distribution. The fund had available realized losses of
$1,812,605,000 to offset future net capital gains of $48,662,000 through
December 31, 2008, $385,639,000 through December 31, 2009, $1,269,960,000
through December 31, 2010, and $108,344,000 through December 31, 2011.
At December 31, 2003, net unrealized appreciation of investment securities for
tax purposes was $3,214,812,000, consisting of unrealized gains of
$7,548,805,000 on securities that had risen in value since their purchase and
$4,333,993,000 in unrealized losses on securities that had fallen in value since
their purchase.
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 626 $173,809 $5,823
E-Mini S&P 500 Index 541 30,042 660
- --------------------------------------------------------------------------------
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 $5,050,197,000 of
investment securities and sold $4,118,444,000 of investment securities, other
than temporary cash investments.
23
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
E. The market value of securities on loan to broker/dealers at December 31,
2003, was $75,656,000, for which the fund held cash collateral of $79,452,000.
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 DECEMBER 31,
--------------------------------------------
2003 2002
-------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
(000) (000) (000) (000)
- --------------------------------------------------------------------------------
Institutional Shares
Issued $7,987,042 90,051 $7,072,507 78,769
Issued in Lieu of Cash
Distributions 380,701 4,185 304,440 3,556
Redeemed (5,154,091) (57,889) (5,333,365) (59,617)
- --------------------------------------------------------------------------------
Net Increase (Decrease)
--Institutional Shares 3,213,652 36,347 2,043,582 22,708
- --------------------------------------------------------------------------------
Institutional Plus Shares
Issued 1,660,391 18,568 3,287,769 34,935
Issued in Lieu of Cash
Distributions 149,700 1,662 146,545 1,711
Redeemed (4,219,016) (46,105) (2,779,498) (32,450)
- --------------------------------------------------------------------------------
Net Increase (Decrease)
--Institutional Plus Shares (2,408,925) (25,875) 654,816 4,196
- --------------------------------------------------------------------------------
24
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees of Vanguard Institutional 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 Institutional 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 6, 2004
- --------------------------------------------------------------------------------
SPECIAL 2003 TAX INFORMATION
(unaudited) for vanguard institutional 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.
- --------------------------------------------------------------------------------
25
- --------------------------------------------------------------------------------
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.
26
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.
27
THE PEOPLE WHO GOVERN YOUR FUND
The trustees of your mutual fund are there to see that the fund is operated and
managed in your best interests since, as a shareholder, you are a part owner of
the fund. Your fund trustees also serve on the board of directors of The
Vanguard Group, Inc., which is owned by the Vanguard funds and provides services
to them on an at-cost basis.
A majority of Vanguard's board members are independent, meaning that they have
no affiliation with Vanguard or the funds they oversee, apart from the sizable
personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business,
academia, and public service to their task of working with Vanguard officers to
establish the policies and oversee the activities of
- ------------------------------------------------------------------------------------------------------------
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
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
(112)
- ------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor
(1937) (112) 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) (112) 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 (112) 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) (110) 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) (112) 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) (112) (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) (112) 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) (112) 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.
- ------------------------------------------------------------------------------------------------------------
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ALL RIGHTS RESERVED.
VANGUARD MARKETING
CORPORATION, DISTRIBUTOR.
Q940 022004
VANGUARD(R) INSTITUTIONAL TOTAL BOND MARKET
INDEX FUND DECEMBER 31, 2003
Annual Report
[Cover Art]
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
6 FUND PROFILE
7 GLOSSARY OF INVESTMENT TERMS
8 PERFORMANCE SUMMARY
9 FINANCIAL STATEMENTS
35 CAPITALIZE ON YOUR IRA
SUMMARY
* Vanguard Institutional Total Bond Market Index Fund provided close tracking of
its benchmark index in 2003, earning a total return of 4.1%
* As interest rates drifted higher during the year, the prices of some bonds
declined. Returns for Treasury securities were barely above the inflation rate,
but low-quality, high-yield bonds soared.
* Stocks broke a three-year losing streak, posting big gains for the 12 months.
The broad U.S. stock market, as measured by the Wilshire 5000 Index, returned
31.6%.
LETTER FROM THE CHAIRMAN
Dear Shareholder,
Bond returns fell back to more normal levels during 2003, ending a heady
three-year run. Interest rates edged up during the second half of the 12-month
period, hurting prices of some intermediate- and long-term bonds, particularly
Treasuries.
- ---------------------------------------------------
2003 TOTAL RETURNS FISCAL YEAR ENDED
DECEMBER 31
- ---------------------------------------------------
VANGUARD INSTITUTIONAL TOTAL BOND
MARKET INDEX FUND 4.1%
Lehman Aggregate Bond Index 4.1
Average Intermediate Investment
Grade Debt Fund* 4.6
- ---------------------------------------------------
*Derived from data provided by Lipper Inc.
For the year, Vanguard Institutional Total Bond Market Index Fund returned 4.1%,
matching the return of its target, the Lehman Brothers Aggregate Bond Index, a
broad measure of the taxable, investment-grade U.S. market. This is a
respectable result, of course, but it is considerably shy of the average annual
return of 10.1% registered by the index during the previous three years.
Generally, price gains played a far smaller role in bond fund returns during
2003 than they had for several years previously. Interest rates for all but the
shortest-maturity securities rose during the year, pushing prices down. As you
can see in the adjacent table, Vanguard Institutional Total Bond Market Index
Fund's return matched that of its target index, though it fell a bit short of
the average return of its mutual fund peers. At the end of the year, the fund's
yield was 3.90%, slightly lower than its 4.33% yield at year-end 2002.
For 2003, the fund's total return consisted of an income return of 3.9% and a
capital return of 0.2%. (A fund's capital return reflects the changes in prices
of the securities it owns.) Detailed figures for the fund, including
distributions and starting and ending share prices, are presented in the table
on page 5.
1
"JUNK" REIGNED SUPREME IN 2003, AND YIELDS HIT NEW LOWS
The past year saw striking changes that dramatically affected both the bond and
stock markets. 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: the Federal Reserve Board's interest rate cuts;
the decline of the U.S. dollar, which aided businesses dependent on exports;
sinking mortgage rates, which spurred further home-buying; federal tax cuts and
refunds to consumers; a spike in spending by businesses; and the rapid growth of
the economy.
These factors drew many investors back into the stock market, and helped put an
end to the unusually high returns that bonds had enjoyed since the stock bubble
ended in 2000. Still, investors' renewed appetite for risk made itself felt in
the fixed income market. 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 High Yield Bond Index.
- ----------------------------------------------------------------------------
MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
---------------------------------
ONE THREE FIVE
YEAR YEARS YEARS
- ----------------------------------------------------------------------------
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
- ----------------------------------------------------------------------------
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
============================================================================
CPI
Consumer Price Index 1.9% 1.9% 2.4%
- ----------------------------------------------------------------------------
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. For the full 12 months, Treasuries' total returns were
still in positive territory, but were barely ahead of inflation. Mortgage-backed
securities did only marginally better, while investment-grade corporate
bonds--particularly those with longer maturities--posted solid returns.
2
Short-term interest rates also hit historical lows during the year as the
Federal Reserve Board took action to bolster the economy. As noted above, 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.
STOCKS REBOUNDED FROM THE FIERCE BEAR MARKET
While most bond prices drooped, 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 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. 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.
SKILL AND LOW COSTS KEPT THE FUND IN STEP WITH THE INDEX
As you know, the key gauge of success for an index fund is how closely it tracks
its target. By this measure, 2003 was a very good year for the Institutional
Total Bond Market Index Fund.
The fund's tight tracking of the target index is largely due to our extremely
low expense ratio (annualized operating expenses as a percentage of average net
assets) of 0.05%. This low level of expenses not only helps the fund produce
returns that closely match those of the index but provides an advantage over
higher-cost funds. The investment management skills of Vanguard's Fixed Income
Group also contributed to the tight index tracking.
Your fund has performed well during its brief lifespan--it was launched in April
2002--but its record over the long term will determine its ultimate success.
We're confident that the management skill and low costs that have led the fund
to its strong record so far will continue to benefit shareholders in the future.
3
But as you look ahead, keep in mind that the past ten years have been unusual
for the fixed income market in that interest rates, on balance, declined. As a
result, bond prices generally rose. Investors who are counting on more of the
same in the decade ahead will probably be disappointed. When rates move higher,
as they likely will at some point, the prices of existing bonds will decline and
the capital returns of bond funds will suffer.
2003 BROUGHT SOLID RETURNS--AND DISAPPOINTMENT
The past several years have provided a real-life demonstration of what investors
should expect when they make investments in the bond and stock markets:
often-unpredictable bursts of remarkable gains and deep declines. This is why we
believe that 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, although both stocks and bonds ended the year with positive
returns, 2003 provided another kind of disappointment to many investors. The
reports of late trading and market-timing at some other 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 with Vanguard.
Sincerely,
/S/JOHN J. BRENNAN
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JANUARY 20, 2004
4
- --------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------
Institutional Total Bond
Market Fund Index Fund $51.89 $51.80 $1.997 $0.178
- --------------------------------------------------------------------------------
5
- --------------------------------------------------------------------------------
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 7.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- --------------------------------------------------------------------------------
- -----------------------------------------------------
FINANCIAL ATTRIBUTES
TARGET
FUND INDEX*
- -----------------------------------------------------
Number of Issues 2,306 6,766
Yield 3.9% --
Yield to Maturity 4.2%** 4.2%
Average Coupon 5.9% 5.7%
Average Effective Maturity 7.6 years 7.6 years
Average Quality Aaa Aaa
Average Duration 4.5 years 4.5 years
Expense Ratio 0.05% --
Short-Term Reserves 0% --
- -----------------------------------------------------
- -----------------------------------------------
DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO)
Treasury/Agency/GSEs+ 68%
Aaa 7
Aa 3
A 11
Baa 11
- -----------------------------------------------
Total 100%
- -----------------------------------------------
- ----------------------------------------
INVESTMENT FOCUS
CREDIT QUALITY Treasury/Agency
AVERAGE MATURITY Medium
- ----------------------------------------
- -----------------------------------------------
DISTRIBUTION BY MATURITY (% OF PORTFOLIO)
Under 1 Year 1%
1-5 Years 40
5-10 Years 40
10-20 Years 13
20-30 Years 6
- -----------------------------------------------
Total 100%
- -----------------------------------------------
- -----------------------------------------------
SECTOR DIVERSIFICATION (% OF PORTFOLIO)
Asset-Backed 3%
Commercial Mortgage-Backed 2
Finance 8
Foreign 4
Government Mortgage-Backed 36
Industrial 13
Treasury/Agency 32
Utilities 2
- -----------------------------------------------
Total 100%
- -----------------------------------------------
*Lehman Aggregate Bond Index.
**Before expenses.
+Includes debt issued by government-sponsored enterprises, which may include
government mortgage-backed bonds.
VISIT OUR WEBSITE AT VANGUARD.COM
FOR REGULARLY UPDATED FUND INFORMATION.
6
GLOSSARY OF INVESTMENT TERMS
AVERAGE COUPON. The average interest rate paid on the fixed income securities
held by a fund. It is expressed as a percentage of face value
- --------------------------------------------------------------------------------
AVERAGE DURATION. An estimate of how much the value of the bonds held by a fund
will fluctuate in response to a change in interest rates. To see how the value
could change, multiply the average duration by the change in rates. If interest
rates rise by 1 percentage point, the value of the bonds in a fund with an
average duration of five years would decline by about 5%. If rates decrease by a
percentage point, the value would rise by 5%.
- --------------------------------------------------------------------------------
AVERAGE EFFECTIVE MATURITY. The average length of time until fixed income
securities held by a fund reach maturity and are repaid, taking into
consideration the possibility that the issuer may call the bond before its
maturity date. The figure reflects the proportion of fund assets represented by
each security; it also reflects any futures contracts held. In general, the
longer the average effective maturity, the more a fund's share price will
fluctuate in response to changes in market interest rates.
- --------------------------------------------------------------------------------
AVERAGE QUALITY. An indicator of credit risk, this figure is the average of the
ratings assigned to a fund's fixed income holdings by credit-rating agencies.
The agencies make their judgment after appraising an issuer's ability to meet
its obligations. Quality is graded on a scale, with Aaa or AAA indicating the
most creditworthy bond issuers. U.S. Treasury securities are considered to have
the highest credit quality.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid,
short-term securities that can be readily converted to cash.
- --------------------------------------------------------------------------------
YIELD. A snapshot of a fund's interest income. The yield, expressed as a
percentage of the fund's net asset value, is based on income earned over the
past 30 days (7 days for money market funds) and is annualized, or projected
forward for the coming year.
- --------------------------------------------------------------------------------
YIELD TO MATURITY. The rate of return an investor would receive if the fixed
income securities held by a fund were held to their maturity dates.
- --------------------------------------------------------------------------------
7
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- --------------------------------------------------------------------
CUMULATIVE PERFORMANCE APRIL 26, 2002-DECEMBER 31, 2003
[MOUNTAIN CHART]
- --------------------------------------------------------------------
INSTITUTIONAL AVERAGE INTERMEDIATE
FISCAL TOTAL BOND LEHMAN AGGREGATE INVESTMENT GRADE
YEAR MARKET INDEX FUND BOND INDEX DEBT FUND**
- --------------------------------------------------------------------
4/26/2002 100000000 100000000 100000000
200206 101342804 101618213 100845965
200209 105772512 106274247 104654258
200212 107302679 107946188 106415717
200303 108757239 109449355 108022594
200306 111530637 112186952 110920477
200309 111366976 112023444 110902117
200312 111680525 112376808 111257632
- --------------------------------------------------------------------
- --------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
---------------------------------
FINAL VALUE
ONE SINCE OF A $10,000
YEAR INCEPTION INVESTMENT
- --------------------------------------------------------------------
Institutional Total Bond Market
Index Fund 4.08% 6.79% $111,680,525
Lehman Aggregate Bond Index 4.10 7.18 112,376,808
Average Intermediate Investment
Grade Debt Fund** 4.55 6.55 111,257,632
- --------------------------------------------------------------------
- --------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) APRIL 26, 2002-DECEMBER 31, 2003
- --------------------------------------------------------------------
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- ----------------------------------------------
LEHMAN+
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ----------------------------------------------
2002 3.8% 3.5% 7.3% 7.9%
2003 0.2 3.9 4.1 4.1
- ----------------------------------------------
*April 26, 2002.
**Derived from data provided by Lipper Inc.
+Lehman Aggregate Bond Index.
Note: See FINANCIAL HIGHLIGHTS table on page 30 for dividend and capital gains
information.
8
As of 12/31/2003
financial statements
statement of net assets
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Securities are
grouped and subtotaled by bond type (U.S. government and agency issues,
corporate bonds, sovereign bonds, etc.); corporate bonds are further classified
by industry sector. Other assets are added to, and liabilities are subtracted
from, the value of Total Investments to calculate the fund's Net Assets.
Finally, Net Assets are divided by the outstanding shares of the fund to arrive
at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each fund, you will find a table
displaying the composition of the fund's net assets. Undistributed Net
Investment Income is minimal because the fund distributes its net income to
shareholders as a dividend each day. Any realized gains must be distributed
annually, so the bulk of net assets consists of Paid-in Capital (money invested
by shareholders). The balance shown for Accumulated Net Realized Gains usually
approximates the amount available to distribute to shareholders as capital gains
as of the statement date, but may differ because certain investments or
transactions may be treated differently for financial statement and tax
purposes. Any Accumulated Net Realized Losses, and any cumulative excess of
distributions over net realized gains, will appear as negative balances.
Unrealized Appreciation (Depreciation) is the difference between the value of
the fund's investments and their cost, and reflects the gains (losses) that
would be realized if the fund were to sell all of its investments at their
statement-date values.
- ------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (65.2%)
- ------------------------------------------------------------------------------------------------
U.S. Government Securities (20.0%)
U.S. Treasury Bond 10.375% 11/15/2007 800 1,020
U.S. Treasury Bond 10.375% 11/15/2009 1,530 1,649
U.S. Treasury Bond 10.00% 5/15/2010 850 946
U.S. Treasury Bond 11.25% 2/15/2015 1,125 1,801
U.S. Treasury Bond 9.25% 2/15/2016 625 897
U.S. Treasury Bond 7.50% 11/15/2016 225 287
U.S. Treasury Bond 8.875% 8/15/2017 11,065 15,679
U.S. Treasury Bond 9.125% 5/15/2018 11,325 16,434
U.S. Treasury Bond 8.125% 8/15/2019 1,530 2,067
U.S. Treasury Bond 8.75% 5/15/2020 540 771
U.S. Treasury Bond 7.875% 2/15/2021 990 1,318
U.S. Treasury Bond 8.125% 8/15/2021 1,800 2,454
U.S. Treasury Bond 8.00% 11/15/2021 8,080 10,916
U.S. Treasury Bond 7.25% 8/15/2022 3,900 4,924
U.S. Treasury Bond 7.625% 11/15/2022 7,345 9,624
U.S. Treasury Bond 6.25% 8/15/2023 275 314
U.S. Treasury Bond 6.625% 2/15/2027 305 365
U.S. Treasury Bond 6.375% 8/15/2027 8,500 9,877
U.S. Treasury Bond 5.25% 11/15/2028 1,550 1,562
U.S. Treasury Note 2.00% 8/31/2005 4,500 4,529
U.S. Treasury Note 1.625% 9/30/2005 29,425 29,411
U.S. Treasury Note 1.875% 11/30/2005 9,750 9,768
U.S. Treasury Note 6.875% 5/15/2006 465 517
9
- ------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ------------------------------------------------------------------------------------------------
U.S. Treasury Note 6.50% 10/15/2006 17,300 19,276
U.S. Treasury Note 6.625% 5/15/2007 3,025 3,424
U.S. Treasury Note 6.125% 8/15/2007 3,575 4,002
U.S. Treasury Note 5.625% 5/15/2008 28,430 31,504
U.S. Treasury Note 3.125% 9/15/2008 8,050 8,048
U.S. Treasury Note 3.375% 12/15/2008 5,700 5,739
U.S. Treasury Note 6.50% 2/15/2010 975 1,133
U.S. Treasury Note 5.75% 8/15/2010 250 280
U.S. Treasury Note 4.875% 2/15/2012 32,115 34,027
U.S. Treasury Note 4.375% 8/15/2012 825 842
Private Export Funding Corp.
(U.S. Government Guaranteed) 7.20% 1/15/2010 1,325 1,557
--------------
236,962
--------------
AGENCY BONDS AND NOTES (10.8%)
AID-Israel 5.50% 9/18/2023 250 253
AID-Israel 5.50% 12/4/2023 200 199
Federal Home Loan Bank* 4.625% 4/15/2005 1,950 2,026
Federal Home Loan Bank* 3.25% 8/15/2005 1,125 1,151
Federal Home Loan Bank* 5.125% 3/6/2006 4,900 5,203
Federal Home Loan Bank* 2.50% 3/15/2006 1,150 1,157
Federal Home Loan Bank* 2.875% 9/15/2006 4,000 4,039
Federal Home Loan Bank* 6.50% 8/15/2007 2,450 2,743
Federal Home Loan Bank* 5.865% 9/2/2008 550 605
Federal Home Loan Bank* 6.50% 11/13/2009 1,300 1,478
Federal Home Loan Bank* 7.625% 5/14/2010 6,100 7,323
Federal Home Loan Bank* 5.75% 5/15/2012 1,300 1,414
Federal Home Loan Bank* 4.50% 9/16/2013 800 788
Federal Home Loan Mortgage Corp.* 6.875% 1/15/2005 5,450 5,757
Federal Home Loan Mortgage Corp.* 7.00% 7/15/2005 10,000 10,797
Federal Home Loan Mortgage Corp.* 5.25% 1/15/2006 1,050 1,117
Federal Home Loan Mortgage Corp.* 5.50% 7/15/2006 1,050 1,129
Federal Home Loan Mortgage Corp.* 5.75% 4/15/2008 2,725 2,988
Federal Home Loan Mortgage Corp.* 5.75% 3/15/2009 2,000 2,192
Federal Home Loan Mortgage Corp.* 6.625% 9/15/2009 2,100 2,399
Federal Home Loan Mortgage Corp.* 7.00% 3/15/2010 2,500 2,911
Federal Home Loan Mortgage Corp.* 6.875% 9/15/2010 6,900 8,010
Federal Home Loan Mortgage Corp.* 6.00% 6/15/2011 1,500 1,659
Federal Home Loan Mortgage Corp.* 5.75% 1/15/2012 1,800 1,958
Federal Home Loan Mortgage Corp.* 6.75% 3/15/2031 2,739 3,167
Federal Home Loan Mortgage Corp.* 6.25% 7/15/2032 132 144
Federal National Mortgage Assn.* 7.125% 2/15/2005 3,000 3,190
Federal National Mortgage Assn.* 7.00% 7/15/2005 13,000 14,035
Federal National Mortgage Assn.* 6.625% 10/15/2007 3,560 4,010
Federal National Mortgage Assn.* 5.75% 2/15/2008 1,850 2,027
Federal National Mortgage Assn.* 6.00% 5/15/2008 1,000 1,107
Federal National Mortgage Assn.* 6.40% 5/14/2009 675 687
Federal National Mortgage Assn.* 6.375% 6/15/2009 600 678
Federal National Mortgage Assn.* 6.625% 9/15/2009 6,515 7,442
Federal National Mortgage Assn.* 7.25% 1/15/2010 2,830 3,333
Federal National Mortgage Assn.* 6.625% 11/15/2010 500 573
Federal National Mortgage Assn.* 6.25% 2/1/2011 225 248
10
- ----------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.* 6.125% 3/15/2012 7,100 7,895
Federal National Mortgage Assn.* 4.625% 5/1/2013 1,150 1,120
Federal National Mortgage Assn.* 5.125% 1/2/2014 300 300
Federal National Mortgage Assn.* 7.125% 1/15/2030 750 903
Federal National Mortgage Assn.* 7.25% 5/15/2030 2,975 3,637
Federal National Mortgage Assn.* 6.625% 11/15/2030 800 910
Tennessee Valley Auth.* 5.375% 11/13/2008 325 351
Tennessee Valley Auth.* 7.125% 5/1/2030 1,850 2,230
----------
127,283
----------
MORTGAGE-BACKED SECURITIES (34.4%)
Federal Home Loan Mortgage Corp.* 4.00% 7/1/2008--9/1/2018(1) 6,138 6,052
Federal Home Loan Mortgage Corp.* 4.50% 5/1/2008--9/1/2033(1) 21,125 21,147
Federal Home Loan Mortgage Corp.* 5.00% 6/1/2007--11/1/2033(1) 38,349 38,474
Federal Home Loan Mortgage Corp.* 5.50% 12/1/2005--10/1/2033(1) 27,245 27,863
Federal Home Loan Mortgage Corp.* 6.00% 1/1/2006--6/1/2033(1) 27,280 28,375
Federal Home Loan Mortgage Corp.* 6.50% 10/1/2004--7/1/2032(1) 16,663 17,538
Federal Home Loan Mortgage Corp.* 7.00% 2/1/2004--6/1/2032(1) 7,526 7,990
Federal Home Loan Mortgage Corp.* 7.50% 10/1/2012--2/1/2032(1) 2,505 2,682
Federal Home Loan Mortgage Corp.* 8.00% 6/1/2012--11/1/2031(1) 1,160 1,258
Federal Home Loan Mortgage Corp.* 8.50% 6/1/2025--5/1/2030(1) 514 562
Federal Home Loan Mortgage Corp.* 9.00% 2/1/2025--9/1/2030(1) 44 48
Federal Home Loan Mortgage Corp.* 9.50% 2/1/2025(1) 6 7
Federal National Mortgage Assn.* 4.00% 8/1/2010--9/1/2018(1) 5,688 5,581
Federal National Mortgage Assn.* 4.50% 5/1/2018--10/1/2033(1) 20,542 20,270
Federal National Mortgage Assn.* 5.00% 9/1/2009--10/1/2033(1) 35,209 35,136
Federal National Mortgage Assn.* 5.50% 5/1/2009--12/1/2033(1) 63,963 65,127
Federal National Mortgage Assn.* 6.00% 10/1/2008--4/1/2033(1) 31,203 32,408
Federal National Mortgage Assn.* 6.50% 1/1/2012--8/1/2032(1) 23,348 24,488
Federal National Mortgage Assn.* 7.00% 7/1/2014--7/1/2032(1) 10,056 10,674
Federal National Mortgage Assn.* 7.50% 11/1/2011--10/1/2031(1) 2,901 3,104
Federal National Mortgage Assn.* 8.00% 12/1/2029--6/1/2031(1) 664 722
Federal National Mortgage Assn.* 8.50% 4/1/2030--4/1/2031(1) 287 312
Federal National Mortgage Assn.* 9.00% 8/1/2030(1) 14 15
Federal National Mortgage Assn.* 9.50% 11/1/2025(1) 20 22
Government National Mortgage Assn. 4.50% 8/15/2018--9/15/2033(1) 1,741 1,699
Government National Mortgage Assn. 5.00% 2/15/2018--10/15/2033(1) 7,409 7,381
Government National Mortgage Assn. 5.50% 2/15/2017--8/15/2033(1) 13,288 13,548
Government National Mortgage Assn. 6.00% 9/15/2013--4/15/2033(1) 11,462 11,958
Government National Mortgage Assn. 6.50% 5/15/2013--7/15/2032(1) 10,331 10,928
Government National Mortgage Assn. 7.00% 10/15/2010--6/15/2032(1) 6,785 7,240
Government National Mortgage Assn. 7.50% 5/15/2023--10/15/2031(1) 2,572 2,763
Government National Mortgage Assn. 8.00% 7/15/2025--11/15/2030(1) 1,973 2,145
Government National Mortgage Assn. 8.50% 12/15/2024--7/15/2030(1) 165 178
Government National Mortgage Assn. 9.00% 5/15/2025--9/15/2030(1) 94 104
Government National Mortgage Assn. 9.50% 11/15/2017(1) 30 33
----------
407,832
----------
- ----------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(COST $766,876) 772,077
- ----------------------------------------------------------------------------------------------------------
11
- --------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- --------------------------------------------------------------------------------------------------
CORPORATE BONDS (30.7%)
- --------------------------------------------------------------------------------------------------
Asset-Backed/Commercial Mortgage-Backed Securities (5.7%)
Bank of America Mortgage Securities 4.654% 6/25/2032(1) 98 99
Bear Stearns Commercial Mortgage
Securities Inc. 5.61% 11/15/2033(1) 1,150 1,219
California Infrastructure & Econ. Dev. Bank
Special Purpose Trust PG&E-1 6.42% 9/25/2008(1) 2,195 2,334
California Infrastructure & Econ. Dev. Bank
Special Purpose Trust SDG&E-1 6.31% 9/25/2008(1) 1,000 1,064
Capital One Auto Finance Trust 4.88% 9/15/2008(1) 1,175 1,222
Carco Auto Loan Master Trust 1.185% 11/15/2006(1)(2) 5,000 5,014
Chase Credit Card Master Trust 1.22% 2/15/2007(1)(2) 1,000 1,001
Chase Credit Card Master Trust 1.18% 3/17/2008(1)(2) 1,000 1,001
CIT RV Trust 5.96% 4/15/2011(1) 7 7
Citigroup Mortgage Loan Trust 4.185% 9/25/2033(1) 2,565 2,573
Commercial Mortgage Lease-Backed Certificate 6.746% 6/20/2031(1)(3) 1,006 1,100
Countrywide Home Loans 4.508% 9/19/2032(1) 646 654
Countrywide Home Loans 4.18% 5/25/2033(1) 1,550 1,549
Discover Card Master Trust I 1.442% 2/16/2007(1)(2) 2,000 2,003
Discover Card Master Trust I 1.25% 4/16/2007(1)(2) 4,000 4,003
Discover Card Master Trust I 1.30% 9/18/2007(1)(2) 4,000 4,006
First Union National Bank Commercial
Mortgage Securities 6.223% 12/12/2033(1) 500 551
First USA Credit Card Master Trust 1.29% 9/10/2006(1)(2) 6,000 6,000
First USA Credit Card Master Trust 1.21% 11/20/2006(1)(2) 3,000 3,000
First USA Credit Card Master Trust 1.218% 4/17/2007(1)(2) 1,000 1,000
Ford Credit Auto Owner Trust 3.13% 11/15/2006(1) 250 254
Harley-Davidson Motorcycle Trust 4.50% 1/15/2010(1) 1,650 1,710
Honda Auto Receivables Owner Trust 2.19% 9/15/2006(1) 700 705
Honda Auto Receivables Owner Trust 4.22% 4/15/2007(1) 325 334
Mach One CDO, Ltd. 6.70% 5/29/2030(1)(3) 154 154
MBNA Master Credit Card Trust 1.24% 2/15/2007(1)(2) 4,000 4,003
MBNA Master Credit Card Trust 1.25% 2/15/2007(1)(2) 4,000 4,002
MBNA Master Credit Card Trust 4.95% 6/15/2009(1) 3,150 3,332
Nissan Auto Receivables Owner Trust 4.28% 10/16/2006(1) 1,500 1,549
PECO Energy Transition Trust 5.80% 3/1/2007(1) 3,376 3,473
PP&L Transition Bond Co. LLC 6.96% 12/26/2007(1) 2,100 2,264
PSE&G Transition Funding LLC 6.89% 12/15/2017(1) 200 232
Residential Asset Securities Corp. 4.988% 2/25/2027(1) 1,466 1,488
Sears Credit Account Master Trust 6.05% 1/15/2008(1) 333 334
Toyota Auto Receivables Owner Trust 2.65% 11/15/2006(1) 1,900 1,918
Toyota Auto Receivables Owner Trust 4.00% 7/15/2008(1) 100 103
Washington Mutual Mortgage
Pass-Through Certificates 5.435% 2/25/2032(1) 45 46
Washington Mutual Mortgage
Pass-Through Certificates 5.548% 4/26/2032(1) 666 675
Washington Mutual Mortgage
Pass-Through Certificates 5.55% 4/26/2032(1) 48 49
WFS Financial Owner Trust 4.50% 2/20/2010(1) 250 259
World Omni Auto Receivable Trust 3.79% 11/21/2005(1) 80 80
World Omni Auto Receivable Trust 2.58% 9/15/2009(1) 1,500 1,508
-------
67,872
-------
12
- ---------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ---------------------------------------------------------------------------------------------
FINANCE (9.8%)
BANKING (5.3%)
Abbey National PLC 7.95% 10/26/2029 300 373
African Development Bank 3.25% 8/1/2008 300 298
Asian Development Bank 4.875% 2/5/2007 1,000 1,066
Asian Development Bank 5.593% 7/16/2018 400 421
Associates Corp. of North America 6.20% 5/16/2005 1,000 1,057
Bank of America Corp. 7.125% 9/15/2006 600 669
Bank of America Corp. 5.25% 2/1/2007 1,050 1,125
Bank of America Corp. 7.40% 1/15/2011 700 821
Bank of America Corp. 6.25% 4/15/2012 100 110
Bank of New York 3.75% 2/15/2008 600 611
Bank One Corp. 6.875% 8/1/2006 850 943
Bank One Corp. 6.00% 2/17/2009 795 875
Bank One Corp. 7.875% 8/1/2010 925 1,106
BankAmerica Capital II 8.00% 12/15/2026 750 852
Bayerische Landesbank 2.875% 10/15/2008 250 244
BB&T Corp. 4.75% 10/1/2012 150 150
BBVA-Bancomer Capital Trust I 10.50% 2/16/2011(3) 375 423
Branch Bank & Trust 5.20% 12/23/2015 250 249
The Chase Manhattan Corp. 6.00% 11/1/2005 150 160
The Chase Manhattan Corp. 7.125% 2/1/2007 250 278
Citicorp Capital II 8.015% 2/15/2027 100 114
Citicorp Lease Pass-Through Trust 8.04% 12/15/2019(3) 225 264
Citigroup Inc. 6.75% 12/1/2005 2,350 2,552
Citigroup Inc. 5.625% 8/27/2012 1,850 1,950
Citigroup Inc. 4.875% 5/7/2015 200 195
Citigroup Inc. 6.625% 6/15/2032 275 300
Citigroup Inc. 6.00% 10/31/2033 650 650
CoreStates Capital Corp. 8.00% 12/15/2026(3) 525 597
Credit Suisse First Boston USA Inc. 5.75% 4/15/2007 875 942
Credit Suisse First Boston USA Inc. 4.625% 1/15/2008 500 520
Credit Suisse First Boston USA Inc. 6.50% 1/15/2012 600 664
Credit Suisse First Boston USA Inc. 7.125% 7/15/2032 200 227
Deutsche Ausgleichbank 7.00% 6/23/2005 600 646
Deutsche Bank Financial LLC 5.375% 3/2/2015 325 330
European Investment Bank 4.00% 3/15/2005 1,800 1,858
European Investment Bank 5.625% 1/24/2006 500 536
European Investment Bank 4.875% 9/6/2006 300 319
European Investment Bank 4.625% 3/1/2007 1,200 1,270
Export-Import Bank of Korea 7.10% 3/15/2007 750 831
Fifth Third Bank 6.75% 7/15/2005 500 536
Fifth Third Bank 3.375% 8/15/2008 200 200
First Union Corp. 7.80% 8/18/2010 475 571
Fleet Boston Financial Corp. 7.25% 9/15/2005 1,000 1,086
Fleet Boston Financial Corp. 4.875% 12/1/2006 250 265
Fleet Capital Trust II 7.92% 12/11/2026 400 440
Golden West Financial 4.125% 8/15/2007 550 567
HSBC Holdings PLC 7.50% 7/15/2009 750 880
HSBC Holdings PLC 5.25% 12/12/2012 225 231
Inter-American Development Bank 6.125% 3/8/2006 525 569
13
- ---------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ---------------------------------------------------------------------------------------------
Inter-American Development Bank 6.375% 10/22/2007 450 504
Inter-American Development Bank 5.625% 4/16/2009 1,300 1,430
Inter-American Development Bank 8.50% 3/15/2011 500 629
Inter-American Development Bank 7.00% 6/15/2025 150 176
International Bank for
Reconstruction & Development 5.00% 3/28/2006 1,300 1,381
International Bank for
Reconstruction & Development 4.375% 9/28/2006 250 262
International Bank for
Reconstruction & Development 4.125% 8/12/2009 1,600 1,650
International Bank for
Reconstruction & Development 8.875% 3/1/2026 250 358
International Finance Corp. 3.00% 4/15/2008 450 449
Korea Development Bank 5.75% 9/10/2013 250 262
Landwirtschaft Rentenbank 3.375% 11/15/2007 1,000 1,010
Landwirtschaft Rentenbank 3.25% 6/16/2008 200 199
Landwirtschaft Rentenbank 3.875% 9/4/2008 250 255
Marshall & Ilsley Bank 4.125% 9/4/2007 700 725
Mellon Capital II 7.995% 1/15/2027 500 559
Mercantile Bancorp (Firstar) 7.30% 6/15/2007 250 285
J.P. Morgan & Co., Inc. 6.70% 11/1/2007 1,000 1,117
J.P. Morgan Chase & Co. 5.25% 5/30/2007 1,350 1,447
J.P. Morgan Chase & Co. 3.625% 5/1/2008 900 902
J.P. Morgan Chase & Co. 5.25% 5/1/2015 200 201
National City Bank of Indiana 4.875% 7/20/2007 300 317
National City Corp. 7.20% 5/15/2005 800 854
NationsBank Corp. 6.375% 2/15/2008 500 555
NationsBank Corp. 7.25% 10/15/2025 500 587
Nordic Investment Bank 3.125% 4/24/2008 250 250
North Fork Bancorp 5.875% 8/15/2012 250 266
Oesterreich Kontrollbank 5.50% 1/20/2006 250 267
Oesterreich Kontrollbank 5.125% 3/20/2007 300 323
PaineWebber Group, Inc. 6.50% 11/1/2005 500 539
PNC Funding Corp. 5.75% 8/1/2006 700 752
Regions Financial Corp. 6.375% 5/15/2012 925 1,018
Royal Bank of Scotland Group PLC 7.648% 9/30/2031 500 589
Santander Central Hispano SA 7.625% 9/14/2010 500 593
Sanwa Bank Ltd. 8.35% 7/15/2009 150 175
Sanwa Bank Ltd. 7.40% 6/15/2011 475 529
Standard Chartered Bank 8.00% 5/30/2031(3) 325 395
Sumitomo Mitsui Banking Corp. 8.00% 6/15/2012 115 137
SunTrust Banks, Inc. 6.00% 2/15/2026 500 534
Suntrust Capital 7.90% 6/15/2027 200 225
Synovus Financial Corp. 7.25% 12/15/2005 175 192
UFJ Finance Aruba AEC 6.75% 7/15/2013 200 214
Union Planters Bank NA 5.125% 6/15/2007 200 212
Union Planters Corp. 7.75% 3/1/2011 275 323
UnionBanCal Corp. 5.25% 12/16/2013 75 76
US Bancorp 5.10% 7/15/2007 500 534
US Bancorp 3.125% 3/15/2008 350 346
US Bank National Assoc. 2.85% 11/15/2006 300 301
14
- ---------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ---------------------------------------------------------------------------------------------
Wachovia Corp. 4.95% 11/1/2006 825 875
Washington Mutual Bank 6.875% 6/15/2011 1,200 1,366
Wells Fargo & Co. 5.125% 2/15/2007 250 267
Wells Fargo & Co. 3.50% 4/4/2008 1,000 1,005
Wells Fargo & Co. 6.25% 4/15/2008 915 1,015
Wells Fargo & Co. 6.45% 2/1/2011 1,000 1,120
Zions Bancorp. 6.00% 9/15/2015 100 106
BROKERAGE (1.3%)
Bear Stearns & Co., Inc. 6.625% 1/15/2004 1,000 1,001
Bear Stearns & Co., Inc. 7.80% 8/15/2007 400 461
Bear Stearns & Co., Inc. 6.75% 12/15/2007 150 167
Bear Stearns & Co., Inc. 4.00% 1/31/2008 200 204
Bear Stearns & Co., Inc. 5.70% 11/15/2014 400 416
Goldman Sachs Group Inc. 7.625% 8/17/2005 500 544
Goldman Sachs Group Inc. 4.125% 1/15/2008 625 639
Goldman Sachs Group Inc. 6.875% 1/15/2011 400 453
Goldman Sachs Group Inc. 5.70% 9/1/2012 750 784
Goldman Sachs Group Inc. 5.25% 10/15/2013 250 253
Goldman Sachs Group Inc. 5.50% 11/15/2014 350 357
Goldman Sachs Group Inc. 6.125% 2/15/2033 200 201
Lehman Brothers Holdings Inc. 7.75% 1/15/2005 1,950 2,080
Lehman Brothers Holdings Inc. 6.625% 2/15/2008 750 836
Lehman Brothers Holdings Inc. 6.625% 1/18/2012 275 308
Merrill Lynch & Co., Inc. 7.00% 3/15/2006 300 327
Merrill Lynch & Co., Inc. 5.36% 2/1/2007 250 266
Merrill Lynch & Co., Inc. 4.00% 11/15/2007 400 409
Merrill Lynch & Co., Inc. 5.30% 9/30/2015 150 150
Merrill Lynch & Co., Inc. 6.875% 11/15/2018 600 684
Morgan Stanley Dean Witter Discover & Co. 6.10% 4/15/2006 1,650 1,782
Morgan Stanley Dean Witter Discover & Co. 6.875% 3/1/2007 200 223
Morgan Stanley Dean Witter Discover & Co. 5.80% 4/1/2007 1,000 1,085
Morgan Stanley Dean Witter Discover & Co. 3.625% 4/1/2008 500 499
Morgan Stanley Dean Witter Discover & Co. 7.25% 4/1/2032 450 522
Salomon Smith Barney Holdings Inc. 5.875% 3/15/2006 275 295
Waddell & Reed Financial 7.50% 1/18/2006 250 271
FINANCE COMPANIES (1.9%)
American Express Co. 3.75% 11/20/2007 550 559
American Express Credit Corp. 3.00% 5/16/2008 500 489
American General Finance Corp. 5.75% 3/15/2007 500 540
Capital One Bank 4.875% 5/15/2008 875 907
Capital One Bank 4.25% 12/1/2008 100 100
CIT Group Inc. 4.125% 2/21/2006 775 799
CIT Group Inc. 7.375% 4/2/2007 350 395
CIT Group Inc. 4.00% 5/8/2008 250 253
CIT Group Inc. 4.75% 12/15/2010 50 50
CIT Group Inc. 7.75% 4/2/2012 200 236
Countrywide Home Loan 5.50% 8/1/2006 550 588
Countrywide Home Loan 5.50% 2/1/2007 850 910
Countrywide Home Loan 5.625% 5/15/2007 50 54
15
- ---------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ---------------------------------------------------------------------------------------------
General Electric Capital Corp. 2.85% 1/30/2006 500 506
General Electric Capital Corp. 2.75% 9/25/2006 300 301
General Electric Capital Corp. 5.375% 3/15/2007 1,600 1,717
General Electric Capital Corp. 4.25% 1/15/2008 1,000 1,030
General Electric Capital Corp. 3.50% 5/1/2008 250 250
General Electric Capital Corp. 4.625% 9/15/2009 500 517
General Electric Capital Corp. 7.375% 1/19/2010 750 876
General Electric Capital Corp. 4.25% 12/1/2010 100 99
General Electric Capital Corp. 6.125% 2/22/2011 500 548
General Electric Capital Corp. 5.00% 2/1/2013 1,000 1,010
General Electric Capital Corp. 6.75% 3/15/2032 1,175 1,301
Household Finance Corp. 6.50% 1/24/2006 875 947
Household Finance Corp. 7.20% 7/15/2006 300 332
Household Finance Corp. 5.75% 1/30/2007 350 377
Household Finance Corp. 4.625% 1/15/2008 850 885
Household Finance Corp. 6.375% 10/15/2011 525 577
Household Finance Corp. 7.00% 5/15/2012 1,100 1,250
Household Finance Corp. 7.35% 11/27/2032 50 58
International Lease Finance Corp. 5.625% 6/1/2007 975 1,047
International Lease Finance Corp. 4.50% 5/1/2008 250 258
MBNA America Bank NA 7.75% 9/15/2005(3) 750 816
SLM Corp. 5.05% 11/14/2014 450 446
SLM Corp. 5.625% 8/1/2033 325 309
USA Education Inc. 5.625% 4/10/2007 1,175 1,267
INSURANCE (0.9%)
ACE Capital Trust II 9.70% 4/1/2030 250 326
ACE Ltd. 6.00% 4/1/2007 300 324
AEGON NV 4.75% 6/1/2013 125 123
Allstate Corp. 5.375% 12/1/2006 500 536
Allstate Corp. 7.20% 12/1/2009 875 1,013
American General Capital II 8.50% 7/1/2030 50 65
American International Group Inc. 2.85% 12/1/2005 750 761
American International Group Inc. 2.875% 5/15/2008(3) 150 146
Aon Capital Trust 8.205% 1/1/2027 250 276
AXA SA 8.60% 12/15/2030 350 441
Berkshire Hathaway Inc. 3.375% 10/15/2008(3) 125 124
Berkshire Hathaway Inc. 4.20% 12/15/2010(3) 200 199
Berkshire Hathaway Inc. 4.625% 10/15/2013(3) 100 98
Commerce Group Inc. 5.95% 12/9/2013 75 76
Fidelity National Financial Inc. 7.30% 8/15/2011 375 422
GE Global Insurance 7.75% 6/15/2030 200 234
General Electric Global Insurance
Holdings Corp. 7.00% 2/15/2026 75 81
Hartford Life Inc. 7.375% 3/1/2031 200 234
Jackson National Life Insurance Co. 6.125% 5/30/2012(3) 350 370
John Hancock Global Funding II 5.625% 6/27/2006(3) 400 428
Marsh & McLennan Cos. Inc. 6.25% 3/15/2012 600 652
MetLife Inc. 5.25% 12/1/2006 475 507
MetLife Inc. 5.00% 11/24/2013 225 222
Monumental Global Funding II 6.05% 1/19/2006(3) 600 643
Nationwide Life Global Funding 5.35% 2/15/2007(3) 225 240
16
- ---------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ---------------------------------------------------------------------------------------------
Principal Life Global Funding I 6.125% 3/1/2006(3) 500 538
Progressive Corp. 6.625% 3/1/2029 400 435
Protective Life 3.70% 11/24/2008 350 348
Reinsurance Group of America 6.75% 12/15/2011 250 271
St. Paul Cos. Inc. 5.75% 3/15/2007 125 135
Travelers Property Casualty 3.75% 3/15/2008 175 175
Travelers Property Casualty 6.375% 3/15/2033 250 260
Unum Corp. 6.75% 12/15/2028 50 47
UnumProvident Corp. 7.625% 3/1/2011 175 193
REAL ESTATE INVESTMENT TRUSTS (0.4%)
Boston Properties Inc. 5.625% 4/15/2015 150 151
EOP Operating LP 7.75% 11/15/2007 500 569
EOP Operating LP 7.00% 7/15/2011 150 169
EOP Operating LP 7.875% 7/15/2031 50 58
Equity Residential Properties Trust 6.625% 3/15/2012 350 387
Health Care REIT 6.00% 11/15/2013 250 254
Health Care Property Investment Inc. 6.45% 6/25/2012 500 540
HRPT Properties Trust 6.50% 1/15/2013 500 535
ProLogis 5.50% 3/1/2013 100 102
Rouse Co. 5.375% 11/26/2013 100 99
Shurgard Storage Centers, Inc. 7.75% 2/22/2011 425 486
Simon Property Group LP 6.375% 11/15/2007 900 976
OTHER
J Paul Getty Trust 5.875% 10/1/2033 125 125
----------
115,814
----------
INDUSTRIAL (13.0%)
BASIC INDUSTRY (1.0%)
Alcan Inc. 4.50% 5/15/2013 275 264
Alcan Inc. 5.20% 1/15/2014 250 252
Alcan Inc. 6.125% 12/15/2033 75 75
Alcoa Inc. 4.25% 8/15/2007 1,250 1,298
BHP Finance USA Ltd. 6.75% 11/1/2013 500 577
Celulosa Arauco Constitution SA 8.625% 8/15/2010 350 417
Corporacion Nacional del Cobre de
Chile (CODELCO) 7.375% 5/1/2009(3) 500 573
Domtar Inc. 7.875% 10/15/2011 450 525
Dow Chemical Co. 6.125% 2/1/2011 875 935
Dow Chemical Co. 7.375% 11/1/2029 100 112
E.I. du Pont de Nemours & Co. 6.875% 10/15/2009 300 344
Eastman Chemical Co. 7.00% 4/15/2012 450 494
ICI Wilmington Inc. 4.375% 12/1/2008 200 199
ICI Wilmington Inc. 5.625% 12/1/2013 175 176
Inco Ltd. 5.70% 10/15/2015 200 202
International Paper Co. 6.75% 9/1/2011 300 332
International Paper Co. 5.85% 10/30/2012 425 442
Noranda Inc. 7.25% 7/15/2012 100 112
Placer Dome Inc. 6.45% 10/15/2035(3) 100 102
Potash Corp. of Saskatchewan 7.75% 5/31/2011 375 438
Praxair, Inc. 6.90% 11/1/2006 125 139
Praxair, Inc. 3.95% 6/1/2013 350 326
17
- ---------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ---------------------------------------------------------------------------------------------
Rohm & Haas Co. 9.80% 4/15/2020 227 293
Vale Overseas Ltd. 8.625% 3/8/2007 400 445
Westvaco Corp. 8.20% 1/15/2030 475 552
Weyerhaeuser Co. 5.50% 3/15/2005 900 936
Weyerhaeuser Co. 7.375% 3/15/2032 575 621
CAPITAL GOODS (1.3%)
Boeing Capital Corp. 6.50% 2/15/2012 750 823
The Boeing Co. 8.75% 8/15/2021 350 448
The Boeing Co. 6.625% 2/15/2038 250 261
Bombardier Capital Corp. 6.125% 6/29/2006(3) 375 398
British Aerospace 7.156% 12/15/2011(1)(3) 116 126
Caterpillar Financial Services Corp. 5.95% 5/1/2006 500 539
Caterpillar, Inc. 7.375% 3/1/2097 600 699
CHR America Inc. 6.40% 10/15/2033 100 102
CRH Capital Inc. 6.95% 3/15/2012 200 226
Deere & Co. 8.50% 1/9/2022 725 931
John Deere Capital Corp. 7.00% 3/15/2012 750 865
Emerson Electric Co. 4.625% 10/15/2012 1,000 993
General Dynamics 2.125% 5/15/2006 100 99
General Dynamics 3.00% 5/15/2008 100 98
General Dynamics 4.25% 5/15/2013 350 335
Goodrich Corp. 6.45% 12/15/2007 300 326
Hanson PLC 5.25% 3/15/2013 125 125
Hutchison Whampoa International Ltd. 5.45% 11/24/2010(3) 225 227
Hutchison Whampoa International Ltd. 6.25% 1/24/2014(3) 375 378
Hutchison Whampoa International Ltd. 7.45% 11/24/2033(3) 300 307
Ingersoll-Rand Co. 6.25% 5/15/2006 150 163
Lockheed Martin Corp. 7.65% 5/1/2016 650 794
Masco Corp. 6.75% 3/15/2006 700 762
Northrop Grumman Corp. 7.75% 2/15/2031 150 183
Raytheon Co. 4.50% 11/15/2007 1,000 1,028
Raytheon Co. 5.50% 11/15/2012 200 202
Raytheon Co. 5.375% 4/1/2013 100 100
Republic Service 7.125% 5/15/2009 200 230
Textron Financial Corp. 5.875% 6/1/2007 1,000 1,077
Textron Inc. 6.50% 6/1/2012 100 109
TRW. Inc. 7.75% 6/1/2029 450 535
United Technologies Corp. 4.875% 11/1/2006 1,225 1,300
USA Waste Services Inc. 7.00% 7/15/2028 300 320
Waste Management, Inc. 6.50% 11/15/2008 425 468
Waste Management, Inc. 7.375% 8/1/2010 150 173
COMMUNICATION (2.8%)
AT&T Broadband Corp. 9.455% 11/15/2022 100 135
AT&T Corp 7.25% 11/15/2006 485 535
AT&T Corp. 8.05% 11/15/2011 250 286
AT&T Corp. 8.00% 11/15/2031 525 611
AT&T Wireless Services Inc. 7.875% 3/1/2011 450 518
AT&T Wireless Services Inc. 8.125% 5/1/2012 375 436
AT&T Wireless Services Inc. 8.75% 3/1/2031 400 491
BellSouth Capital Funding 7.875% 2/15/2030 900 1,089
18
- -------------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -------------------------------------------------------------------------------------------------------------------
BellSouth Telecommunication 6.375% 6/1/2028 250 259
British Sky Broadcasting 7.30% 10/15/2006 75 84
British Sky Broadcasting 6.875% 2/23/2009 75 84
British Sky Broadcasting 8.20% 7/15/2009 75 89
British Telecommunications PLC 7.875% 12/15/2005 650 715
British Telecommunications PLC 8.875% 12/15/2030 625 816
CenturyTel Inc. 7.875% 8/15/2012 175 208
Citizens Communications 9.00% 8/15/2031 375 436
Clear Channel Communications Inc. 7.65% 9/15/2010 750 876
Comcast Cable Communications Inc. 6.375% 1/30/2006 250 269
Comcast Cable Communications Inc. 6.75% 1/30/2011 400 445
Comcast Cable Communications Inc. 8.875% 5/1/2017 200 255
Comcast Corp. 5.30% 1/15/2014 400 398
Comcast Corp. 6.50% 1/15/2015 600 650
Comcast Corp. 7.05% 3/15/2033 100 108
Cox Communications, Inc. 7.75% 11/1/2010 200 234
Cox Enterprises 7.875% 9/15/2010(3) 575 669
Deutsche Telekom International Finance 8.25% 6/15/2005 500 543
Deutsche Telekom International Finance 3.875% 7/22/2008 100 100
Deutsche Telekom International Finance 8.50% 6/15/2010 750 906
Deutsche Telekom International Finance 5.25% 7/22/2013 100 100
Deutsche Telekom International Finance 8.75% 6/15/2030 625 794
France Telecom 8.45% 3/1/2006 500 556
France Telecom 9.00% 3/1/2011 250 300
France Telecom 9.75% 3/1/2031 650 857
Grupo Televisa SA 8.625% 8/8/2005 475 521
GTE Corp. 8.75% 11/1/2021 100 124
GTE South Inc. 6.125% 6/15/2007 875 954
Intelsat Ltd. 5.25% 11/1/2008(3) 125 129
Intelsat Ltd. 7.625% 4/15/2012 300 337
Intelsat Ltd. 6.50% 11/1/2013(3) 125 130
Koninklijke KPN NV 8.00% 10/1/2010 475 567
Koninklijke KPN NV 8.375% 10/1/2030 200 250
New England Telephone & Telegraph Co. 7.875% 11/15/2029 100 119
New York Telephone Co. 7.25% 2/15/2024 100 103
News America Holdings Inc. 9.25% 2/1/2013 200 258
News America Holdings Inc. 8.00% 10/17/2016 250 302
News America Holdings Inc. 8.15% 10/17/2036 200 245
News America Holdings Inc. 7.75% 12/1/2045 100 118
SBC Communications Inc. 5.75% 5/2/2006 200 213
SBC Communications Inc. 6.25% 3/15/2011 225 246
SBC Communications Inc. 5.875% 8/15/2012 1,000 1,062
Sprint Capital Corp. 7.90% 3/15/2005 1,100 1,172
Sprint Capital Corp. 8.75% 3/15/2032 1,175 1,388
TCI Communications Inc. 8.75% 8/1/2015 175 220
TCI Communications Inc. 8.00% 8/1/2005 990 1,077
Telecom Italia Capital 4.00% 11/15/2008(3) 375 378
Telecom Italia Capital 5.25% 11/15/2013(3) 400 400
Telecom Italia Capital 6.375% 11/15/2033(3) 150 150
Telecomunicaciones de Puerto Rico 6.65% 5/15/2006 125 136
Telefonica Europe BV 7.35% 9/15/2005 775 843
Telefonica Europe BV 8.25% 9/15/2030 375 476
19
- -------------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -------------------------------------------------------------------------------------------------------------------
Telefonos de Mexico SA 8.25% 1/26/2006 350 386
Telefonos de Mexico SA 4.50% 11/19/2008(3) 200 201
Thomson Corp. 5.75% 2/1/2008 100 107
Time Warner Entertainment 8.375% 3/15/2023 100 123
Time Warner Entertainment 8.375% 7/15/2033 600 758
Univision Communications Inc. 2.875% 10/15/2006 100 100
Univision Communications Inc. 3.50% 10/15/2007 150 150
US Cellular 6.70% 12/15/2033 175 175
USA Interactive 7.00% 1/15/2013 300 331
Verizon Global Funding Corp. 6.75% 12/1/2005 325 352
Verizon New Jersey Inc. 5.875% 1/17/2012 825 872
Verizon New York Inc. 6.875% 4/1/2012 175 192
Verizon New York Inc. 7.375% 4/1/2032 675 736
Verizon Pennsylvania Inc. 5.65% 11/15/2011 650 683
Verizon Wireless Inc. 5.375% 12/15/2006 400 427
Vodafone AirTouch PLC 7.625% 2/15/2005 325 346
Vodafone AirTouch PLC 7.75% 2/15/2010 175 207
Vodafone AirTouch PLC 7.875% 2/15/2030 625 761
CONSUMER CYCLICAL (3.2%)
AOL Time Warner Inc. 6.125% 4/15/2006 1,000 1,076
AOL Time Warner Inc. 6.15% 5/1/2007 525 572
AOL Time Warner Inc. 6.75% 4/15/2011 100 112
AOL Time Warner Inc. 7.625% 4/15/2031 750 862
AOL Time Warner Inc. 7.70% 5/1/2032 150 174
Auburn Hills Trust 12.375% 5/1/2020 100 142
Cendant Corp. 6.875% 8/15/2006 445 487
Cendant Corp. 6.25% 1/15/2008 350 381
Cendant Corp. 7.375% 1/15/2013 175 201
Costco Wholesale Corp. 5.50% 3/15/2007 875 942
DaimlerChrysler North America Holding Corp. 7.40% 1/20/2005 300 316
DaimlerChrysler North America Holding Corp. 7.375% 9/15/2006 2,000 2,212
DaimlerChrysler North America Holding Corp. 4.05% 6/4/2008 250 248
DaimlerChrysler North America Holding Corp. 7.30% 1/15/2012 225 251
DaimlerChrysler North America Holding Corp. 6.50% 11/15/2013 300 315
DaimlerChrysler North America Holding Corp. 8.50% 1/18/2031 400 475
Dayton Hudson Corp. 6.65% 8/1/2028 350 377
Delphi Corp. 6.50% 8/15/2013 300 314
The Walt Disney Co. 5.375% 6/1/2007 1,000 1,062
The Walt Disney Co. 6.375% 3/1/2012 250 275
Federated Department Stores, Inc. 6.90% 4/1/2029 200 216
Ford Capital BV 9.50% 6/1/2010 225 255
Ford Motor Co. 7.45% 7/16/2031 800 802
Ford Motor Co. 9.98% 2/15/2047 900 1,104
Ford Motor Credit Co. 6.875% 2/1/2006 2,300 2,452
Ford Motor Credit Co. 6.50% 1/25/2007 2,000 2,130
Ford Motor Credit Co. 7.375% 10/28/2009 100 109
Ford Motor Credit Co. 7.25% 10/25/2011 1,150 1,240
Ford Motor Credit Co. 7.00% 10/1/2013 450 473
General Motors Acceptance Corp. 5.25% 5/16/2005 250 259
General Motors Acceptance Corp. 6.75% 1/15/2006 200 214
20
- ---------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ---------------------------------------------------------------------------------------------
General Motors Acceptance Corp. 4.50% 7/15/2006 500 514
General Motors Acceptance Corp. 6.125% 9/15/2006 600 641
General Motors Acceptance Corp. 7.75% 1/19/2010 1,725 1,942
General Motors Acceptance Corp. 6.875% 9/15/2011 500 538
General Motors Acceptance Corp. 7.00% 2/1/2012 950 1,025
General Motors Acceptance Corp. 6.875% 8/28/2012 900 965
General Motors Corp. 7.20% 1/15/2011 250 273
General Motors Corp. 8.25% 7/15/2023 150 169
General Motors Corp. 6.75% 5/1/2028 700 679
General Motors Corp. 8.375% 7/15/2033 550 626
Harrah's Operating Co. Inc. 7.125% 6/1/2007 175 194
Harrah's Operating Co. Inc. 7.50% 1/15/2009 250 285
Harrah's Operating Co. Inc. 5.375% 12/15/2013(3) 250 247
International Paper Co. 5.50% 1/15/2014 100 100
Kohl's Corp. 6.00% 1/15/2033 100 101
Liberty Media Corp. 3.50% 9/25/2006 200 201
Liberty Media Corp. 7.75% 7/15/2009 550 631
Liberty Media Corp. 8.25% 2/1/2030 250 298
Lowe's Cos., Inc. 6.875% 2/15/2028 500 565
May Department Stores Co. 9.75% 2/15/2021 525 678
McDonald's Corp. 6.00% 4/15/2011 400 433
Pulte Homes Inc. 7.875% 6/15/2032 275 321
Target Corp. 3.375% 3/1/2008 500 500
Target Corp. 5.40% 10/1/2008 750 808
Toyota Motor Credit Corp. 4.35% 12/15/2010 200 203
Toys R Us, Inc. 7.875% 4/15/2013 100 107
Toys R Us, Inc. 7.375% 10/15/2018 100 101
Toys R Us, Inc. 8.75% 9/1/2021 50 55
VF Corp. 6.00% 10/15/2033(3) 150 149
Viacom Inc. 7.75% 6/1/2005 1,375 1,488
Viacom Inc. 5.625% 8/15/2012 300 319
Viacom Inc. 5.50% 5/15/2033 250 231
Visteon Corp. 7.95% 8/1/2005 150 160
Visteon Corp. 8.25% 8/1/2010 150 168
Wal-Mart Stores, Inc. 4.375% 7/12/2007 250 261
Wal-Mart Stores, Inc. 7.55% 2/15/2030 500 615
Wal-Mart Stores, Inc. Canada 5.58% 5/1/2006(3) 1,400 1,502
Wendy's International 6.20% 6/15/2014 300 327
CONSUMER NONCYCLICAL (2.1%)
Abbott Laboratories 5.625% 7/1/2006 300 323
Albertson's Inc. 8.00% 5/1/2031 150 173
Altria Group Inc. 5.625% 11/4/2008 275 282
Altria Group Inc. 7.00% 11/4/2013 150 160
Anheuser-Busch Cos., Inc. 7.50% 3/15/2012 500 596
Anheuser-Busch Cos., Inc. 7.125% 7/1/2017 650 722
Archer-Daniels-Midland Co. 8.125% 6/1/2012 50 62
C.R. Bard, Inc. 6.70% 12/1/2026 350 383
Becton, Dickinson, & Co. 4.55% 4/15/2013 150 147
Becton, Dickinson, & Co. 4.90% 4/15/2018 150 146
Bottling Group LLC 4.625% 11/15/2012 450 447
21
- -------------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -------------------------------------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 4.00% 8/15/2008(3) 250 254
Bristol-Myers Squibb Co. 5.75% 10/1/2011 1,050 1,132
Bristol-Myers Squibb Co. 5.25% 8/15/2013(3) 250 258
Bunge Ltd. Finance Corp. 4.375% 12/15/2008(3) 200 201
Campbell Soup Co. 6.75% 2/15/2011 900 1,022
Cia. Brasil de Bebidas AmBev 10.50% 12/15/2011 90 105
Cia. Brasil de Bebidas AmBev 8.75% 9/15/2013(3) 150 160
Coca-Cola Enterprises, Inc. 6.125% 8/15/2011 1,200 1,324
Coca-Cola Enterprises, Inc. 8.50% 2/1/2022 75 98
Coca-Cola Enterprises, Inc. 6.75% 9/15/2028 250 278
Conagra Foods, Inc. 7.875% 9/15/2010 1,000 1,193
Diageo Capital PLC 3.375% 3/20/2008 500 498
General Mills Inc. 2.625% 10/24/2006 500 497
General Mills Inc. 5.125% 2/15/2007 475 505
Grand Metropolitan Investment Corp. 9.00% 8/15/2011 400 510
H.J. Heinz Co. 6.375% 7/15/2028 225 239
Healthcare Services 7.75% 6/15/2011(3) 200 232
Imperial Tobacco 7.125% 4/1/2009 175 197
International Flavors & Fragrances 6.45% 5/15/2006 150 162
Johnson & Johnson 3.80% 5/15/2013 225 212
Johnson & Johnson 4.95% 5/15/2033 125 113
Kellogg Co. 6.00% 4/1/2006 300 323
Kellogg Co. 7.45% 4/1/2031 350 413
Kraft Foods Inc. 4.625% 11/1/2006 925 966
Kraft Foods Inc. 5.625% 11/1/2011 225 237
Kraft Foods Inc. 6.50% 11/1/2031 325 341
Kroger Co. 7.70% 6/1/2029 175 203
Kroger Co. 8.00% 9/15/2029 250 300
Fred Meyer, Inc. 7.375% 3/1/2005 500 531
Newell Rubbermaid Inc. 6.75% 3/15/2012 150 165
Pepsi Bottling Group Inc. 7.00% 3/1/2029 250 286
Pharmacia Corp. 5.75% 12/1/2005 1,000 1,068
Philip Morris Cos., Inc. 7.00% 7/15/2005 675 712
Procter & Gamble Co. ESOP 9.36% 1/1/2021 1,000 1,353
Quest Diagnostic Inc. 6.75% 7/12/2006 125 136
Safeway Inc. 6.50% 3/1/2011 450 490
Safeway Inc. 5.80% 8/15/2012 125 129
Sara Lee Corp. 1.95% 6/15/2006 350 344
Sara Lee Corp. 6.125% 11/1/2032 500 517
Schering-Plough Corp. 5.30% 12/1/2013 200 202
Schering-Plough Corp. 6.50% 12/1/2033 150 156
Tyson Foods Inc. 7.25% 10/1/2006 200 219
Tyson Foods Inc. 8.25% 10/1/2011 200 233
Unilever Capital Corp. 6.875% 11/1/2005 400 434
United Health Group Inc. 5.20% 1/17/2007 375 400
Wellpoint Health Network 6.375% 1/15/2012 400 439
Wyeth 4.125% 3/1/2008 525 543
Wyeth 5.25% 3/15/2013 350 355
Wyeth 5.50% 2/1/2014 475 480
Wyeth 6.45% 2/1/2024 75 76
Wyeth 6.50% 2/1/2034 100 102
22
- -------------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -------------------------------------------------------------------------------------------------------------------
ENERGY (1.3%)
Alberta Energy Co. Ltd. 7.375% 11/1/2031 400 473
Amerada Hess Corp. 7.30% 8/15/2031 425 438
Anadarko Finance Co. 7.50% 5/1/2031 300 356
Anadarko Petroleum Corp. 6.125% 3/15/2012 200 216
Baker Hughes Inc. 6.25% 1/15/2009 500 557
BP Capital Markets PLC 2.35% 6/15/2006 500 503
BP Capital Markets PLC 2.75% 12/29/2006 250 250
Burlington Resources Inc. 7.40% 12/1/2031 250 290
Canadian Natural Resources 7.20% 1/15/2032 200 233
Conoco Funding Co. 5.45% 10/15/2006 500 537
Conoco Funding Co. 6.35% 10/15/2011 775 868
Conoco Phillips Corp. 5.90% 10/15/2032 500 501
Devon Energy Corp. 6.875% 9/30/2011 500 563
Devon Energy Corp. 7.875% 9/30/2031 100 119
Devon Energy Corp. 7.95% 4/15/2032 100 121
Halliburton Co. 5.50% 10/15/2010(3) 125 130
Kerr McGee Corp. 7.875% 9/15/2031 275 314
LG Caltex Oil Corp. 7.75% 7/25/2011(3) 400 457
Marathon Oil Corp. 6.125% 3/15/2012 300 323
Nexen Inc. 5.05% 11/20/2013 100 99
Norsk Hydro 7.15% 1/15/2029 300 350
Occidental Petroleum 6.75% 1/15/2012 200 226
Occidental Petroleum 7.20% 4/1/2028 200 229
PanCanadian Energy Corp. 7.20% 11/1/2031 250 288
Pemex Project Funding Master Trust 7.875% 2/1/2009 200 226
Pemex Project Funding Master Trust 7.375% 12/15/2014 600 632
Pemex Project Funding Master Trust 8.625% 2/1/2022 400 441
Petro-Canada 4.00% 7/15/2013 400 370
Petroleos Mexicanos 6.50% 2/1/2005 1,200 1,256
PF Export Receivables Master Trust 6.60% 12/1/2011(1)(3) 500 553
Phillips Petroleum Co. 8.50% 5/25/2005 750 821
Schlumberger Technology Corp. 6.50% 4/15/2012(3) 200 223
Suncor Energy Inc. 7.15% 2/1/2032 325 375
Texaco Capital Corp. 8.625% 4/1/2032 175 243
Transocean Sedco Forex Inc. 6.625% 4/15/2011 425 471
Union Oil Co. of California 5.05% 10/1/2012 300 303
Valero Energy Corp. 6.875% 4/15/2012 425 469
TECHNOLOGY (0.6%)
Computer Sciences Corp. 6.75% 6/15/2006 225 247
Computer Sciences Corp. 5.00% 2/15/2013 400 403
Eastman Kodak Co. 3.625% 5/15/2008 250 238
Electronic Data Systems 6.00% 8/1/2013 350 343
First Data Corp. 4.70% 11/1/2006 500 526
First Data Corp. 3.375% 8/1/2008 500 496
Hewlett-Packard Co. 3.625% 3/15/2008 1,300 1,305
International Business Machines Corp. 6.45% 8/1/2007 1,000 1,117
International Business Machines Corp. 7.00% 10/30/2025 550 632
International Business Machines Corp. 7.125% 12/1/2096 275 312
Motorola Inc. 7.625% 11/15/2010 600 681
Motorola Inc. 8.00% 11/1/2011 100 116
23
- -------------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -------------------------------------------------------------------------------------------------------------------
Motorola Inc. 7.50% 5/15/2025 200 217
Texas Instruments Inc. 6.125% 2/1/2006 100 107
TRANSPORTATION (0.7%)
American Airlines Inc. Pass-Through Certificates 7.024% 10/15/2009 725 727
Burlington Northern Santa Fe Corp. 7.875% 4/15/2007 500 577
Burlington Northern Santa Fe Corp. 6.75% 3/15/2029 150 163
Burlington Northern Santa Fe Corp. 7.25% 8/1/2097 350 385
Canadian National Railway Co. 6.80% 7/15/2018 375 430
Canadian Pacific Rail 6.25% 10/15/2011 525 578
Continental Airlines, Inc. Pass-Through Certificates 6.648% 9/15/2017 282 276
CSX Corp. 9.00% 8/15/2006 750 863
Delta Air Lines, Inc. Pass-Through Certificates 7.111% 9/18/2011 625 631
ERAC USA Finance Co. 7.35% 6/15/2008(3) 325 368
Hertz Corp. 7.40% 3/1/2011 525 554
Hertz Corp. 7.625% 6/1/2012 125 133
Norfolk Southern Corp. 8.375% 5/15/2005 725 785
Norfolk Southern Corp. 7.90% 5/15/2097 325 385
Northwest Airlines, Inc. Pass-Through Certificates 6.841% 4/1/2011 100 100
Southwest Airlines Co. 6.50% 3/1/2012 700 762
Union Pacific Corp. 3.625% 6/1/2010 500 477
Union Pacific Corp. 7.00% 2/1/2016 500 572
OTHER
Steelcase Inc. 6.375% 11/15/2006 125 129
-----------
154,319
-----------
UTILITIES (2.2%)
ELECTRIC (1.7%)
AEP Texas Central Co. 5.50% 2/15/2013 350 357
AEP Texas Central Co. 6.65% 2/15/2033 250 261
Alabama Power 4.70% 12/1/2010 275 278
Alabama Power 5.50% 10/15/2017 775 802
Arizona Public Service Co. 4.65% 5/15/2015 500 471
Cincinnati Gas & Electric Co. 5.70% 9/15/2012 350 368
Commonwealth Edison Co. 3.70% 2/1/2008 100 100
Commonwealth Edison Co. 6.15% 3/15/2012 100 109
Commonwealth Edison Co. 4.70% 4/15/2015 100 97
Consolidated Edison Inc. 6.625% 12/15/2005 525 569
Constellation Energy Group Inc. 6.125% 9/1/2009 700 768
Constellation Energy Group Inc. 7.00% 4/1/2012 125 141
Consumers Energy Co. 4.25% 4/15/2008(3) 100 101
Consumers Energy Co. 4.80% 2/17/2009(3) 250 255
Consumers Energy Co. 5.375% 4/15/2013(3) 100 100
Corporacion Andina De Fomento 5.20% 5/21/2013 125 123
Detroit Edison Co. 7.50% 2/1/2005 1,000 1,057
Duke Capital Corp. 6.75% 2/15/2032 175 179
Duke Energy Corp. 6.45% 10/15/2032 700 720
Energy East Corp. 6.75% 6/15/2012 600 660
24
- -------------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -------------------------------------------------------------------------------------------------------------------
Entergy Gulf States, Inc. 3.60% 6/1/2008(3) 150 146
FirstEnergy Corp. 5.50% 11/15/2006 350 363
FirstEnergy Corp. 6.45% 11/15/2011 800 827
Florida Power & Light 6.875% 12/1/2005 800 869
Georgia Power Co. 5.125% 11/15/2012 225 230
HQI Transelec Chile SA 7.875% 4/15/2011 475 546
Korea Electric Power 4.25% 9/12/2007(3) 325 330
MidAmerican Energy Co. 6.75% 12/30/2031 825 905
National Rural Utilities Cooperative Finance Corp. 6.50% 3/1/2007 500 551
National Rural Utilities Cooperative Finance Corp. 5.75% 8/28/2009 1,000 1,083
NiSource Finance Corp. 3.20% 11/1/2006 300 302
NiSource Finance Corp. 7.875% 11/15/2010 150 179
Ohio Power Co. 4.85% 1/15/2014 300 293
Ohio Power Co. 6.375% 7/15/2033 300 312
Oncor Electric Delivery 6.375% 5/1/2012 150 165
Oncor Electric Delivery 6.375% 1/15/2015 200 215
Oncor Electric Delivery 7.25% 1/15/2033 200 225
PacifiCorp 6.90% 11/15/2011 275 315
PECO Energy Co. 5.95% 11/1/2011 400 435
Pepco Holdings Inc. 6.45% 8/15/2012 200 217
Progress Energy Inc. 6.05% 4/15/2007 100 108
Progress Energy Inc. 7.10% 3/1/2011 850 958
PSEG Power Corp. 6.875% 4/15/2006 225 246
PSEG Power Corp. 7.75% 4/15/2011 100 118
PSEG Power Corp. 6.95% 6/1/2012 200 225
PSEG Power Corp. 8.625% 4/15/2031 200 257
Public Service of Colorado 4.375% 10/1/2008 750 769
Scana Corp. 6.25% 2/1/2012 600 654
Virginia Electric & Power Co. 5.375% 2/1/2007 675 722
Wisconsin Electric Power 5.625% 5/15/2033 100 96
XCEL Energy Inc. 7.00% 12/1/2010 125 141
NATURAL GAS (0.5%)
Columbia Energy Group 7.62% 11/28/2025 150 162
Consolidated Natural Gas 5.375% 11/1/2006 425 457
Consolidated Natural Gas 6.25% 11/1/2011 500 547
Duke Energy Field Services 7.50% 8/16/2005 225 243
Duke Energy Field Services 8.125% 8/16/2030 150 183
Enterprise Products Operating LP 8.25% 3/15/2005 300 323
Keyspan Corp. 7.25% 11/15/2005 1,175 1,281
Kinder Morgan Energy Partners, LP 7.30% 8/15/2033 250 284
Kinder Morgan Inc. 6.50% 9/1/2012 500 551
Sempra Energy 6.95% 12/1/2005 500 542
Southern Union Co. 7.60% 2/1/2024 200 217
Texas Gas Transmission 4.60% 6/1/2015 150 142
Trans-Canada Pipelines 4.00% 6/15/2013 375 349
-----------
25,599
-----------
- -------------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(COST $350,857) 363,604
- -------------------------------------------------------------------------------------------------------------------
25
- -----------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- -----------------------------------------------------------------------------------------------------------------
SOVEREIGN BONDS (U.S. Dollar-Denominated) (2.5%)
- -----------------------------------------------------------------------------------------------------------------
Canadian Government 6.75% 8/28/2006 900 1,002
Export Development Canada 4.00% 8/1/200 200 207
Federation of Malaysia 8.75% 6/1/2009 250 307
Federation of Malaysia 7.50% 7/15/2011 400 474
Instit De Credito Official 6.00% 5/19/2008 200 222
KFW International Finance, Inc. 2.50% 10/17/2005 2,500 2,526
KFW International Finance, Inc. 4.75% 1/24/2007 500 531
Kredit Weideraufbau 2.375% 9/25/2006 700 699
Ontario Hydro Electric 6.10% 1/30/2008 200 221
Province of British Columbia 5.375% 10/29/2008 970 1,049
Province of Manitoba 7.50% 2/22/2010 500 599
Province of New Brunswick 3.50% 10/23/2007 1,000 1,013
Province of Newfoundland 7.32% 10/13/2023 600 733
Province of Ontario 5.50% 10/1/2008 2,000 2,170
Province of Quebec 5.75% 2/15/2009 500 547
Province of Quebec 5.00% 7/17/2009 1,000 1,057
Province of Quebec 7.50% 9/15/2029 250 311
Province of Saskatchewan 7.375% 7/15/2013 400 485
Quebec Hydro Electric 6.30% 5/11/2011 500 565
Quebec Hydro Electric 7.50% 4/1/2016 1,000 1,223
Region of Lombardy 5.804% 10/25/2032 250 258
Republic of Chile 5.625% 7/23/2007 650 694
Republic of Italy 4.375% 10/25/2006 500 524
Republic of Italy 2.75% 12/15/2006 250 250
Republic of Italy 3.625% 9/14/2007 2,400 2,451
Republic of Italy 5.625% 6/15/2012 1,650 1,795
Republic of Italy 6.875% 9/27/2023 500 593
Republic of Korea 8.875% 4/15/2008 200 241
Republic of Korea 4.25% 6/1/2013 250 242
Republic of South Africa 7.375% 4/25/2012 500 560
Republic of South Africa 8.50% 6/23/2017 250 298
State of Israel 4.625% 6/15/2013 125 119
Swedish Export Credit 2.875% 1/26/2007 225 226
United Mexican States 9.875% 1/15/2007 600 714
United Mexican States 8.625% 3/12/2008 175 206
United Mexican States 4.625% 10/8/2008 325 330
United Mexican States 8.375% 1/14/2011 1,725 2,044
United Mexican States 6.375% 1/16/2013 250 259
United Mexican States 8.30% 8/15/2031 1,550 1,749
United Mexican States 7.50% 4/8/2033 150 156
- -----------------------------------------------------------------------------------------------------------------
TOTAL SOVEREIGN BONDS
(COST $28,808) 29,650
- -----------------------------------------------------------------------------------------------------------------
TAXABLE MUNICIPAL BONDS (0.2%)
- -----------------------------------------------------------------------------------------------------------------
Illinois (Taxable Pension) GO 4.95% 6/1/2023 75 70
Illinois (Taxable Pension) GO 5.10% 6/1/2033 1,400 1,281
Oregon (Taxable Pension) GO 5.762% 6/1/2023 125 128
Oregon (Taxable Pension) GO 5.892% 6/1/2027 125 129
26
- ------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ------------------------------------------------------------------------------------------------------------
Wisconsin Public Service Rev. 4.80% 5/1/2013 150 150
Wisconsin Public Service Rev. 5.70% 5/1/2026 150 151
- ------------------------------------------------------------------------------------------------------------
TOTAL TAXABLE MUNICIPAL BONDS
(COST $1,888) 1,909
- ------------------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (2.0%)
- ------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS
Collateralized by U.S. Government Obligations
in a Pooled Cash Account 0.98% 1/2/2004 16,034 16,034
Collateralized by U.S. Government Obligations
in a Pooled Cash Account--Note E 0.99% 1/2/2004 8,182 8,182
- ------------------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $24,216) 24,216
- ------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.6%)
(COST $1,172,645) 1,191,456
- ------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.6%)
- ------------------------------------------------------------------------------------------------------------
Other Assets 32,674
Liabilities--Note E (39,512)
------------
(6,838)
------------
- ------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ------------------------------------------------------------------------------------------------------------
Applicable to 22,871,216 outstanding $.001 par value shares of beneficial
interest (unlimited authorization) $1,184,618
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $51.80
============================================================================================================
*See Note A in Notes to Financial Statements.
*The issuer operates under a congressional charter; its securities are neither
issued nor guaranteed by the U.S. government. If needed, access to additional
funding from the U.S. Treasury (beyond the issuer's line of credit), would
require congressional action.
(1)The average maturity is shorter than the final maturity shown due to
scheduled interim principal payments and prepayments.
(2)Adjustable-rate note.
(3)Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be sold in transactions exempt from registration,
normally to qualified institutional buyers. At December 31, 2003, the aggregate
value of these securities was $16,369,000, representing 1.4% of net assets.
GO--General Obligation Bond.
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- --------------------------------------------------------------------------------
Paid-in Capital $1,165,107 $50.95
Undistributed Net Investment Income -- --
Accumulated Net Realized Gains 299 .01
Unrealized Appreciation
Investment Securities 18,811 .82
Swap Contracts 401 .02
- --------------------------------------------------------------------------------
NET ASSETS $1,184,618 $51.80
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets. 27
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by the fund during the reporting
period, and details the operating expenses charged to the fund. These expenses
directly reduce the amount of investment income available to pay to shareholders
as income dividends. This Statement also shows any Net Gain (Loss) realized on
the sale of investments, and the increase or decrease in the Unrealized
Appreciation (Depreciation) of investments during the period.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL BOND
MARKET INDEX FUND
YEAR ENDED DECEMBER 31, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Interest $40,042
Security Lending 40
- --------------------------------------------------------------------------------
Total Income 40,082
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative 526
- --------------------------------------------------------------------------------
Total Expenses 526
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 39,556
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 8,233
Swap Contracts 776
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 9,009
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (5,775)
Swap Contracts 272
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (5,503)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $43,062
================================================================================
28
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the fund's total net assets changed during the two most
recent reporting periods. The Operations section summarizes information detailed
in the Statement of Operations. Because the fund distributes its income to
shareholders each day, the amounts of Distributions--Net Investment Income
approximate the net income earned as shown under the Operations section. The
amounts of Distributions--Realized Capital Gain may not match the capital gains
shown in the Operations section, because distributions are determined on a tax
basis and may be made in a period different from the one in which the gains were
realized on the financial statements. The Capital Share Transactions section
shows the amount shareholders invested in the fund, either by purchasing shares
or by reinvesting distributions, as well as the amounts redeemed. The
corresponding numbers of Shares Issued and Redeemed are shown at the end of the
Statement.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL BOND
MARKET INDEX FUND
------------------------------------
YEAR ENDED APRIL 26*TO
DEC. 31, 2003 DEC. 31, 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 39,556 $ 19,184
Realized Net Gain (Loss) 9,009 291
Unrealized Appreciation (Depreciation) (5,503) 24,715
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 43,062 44,190
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (40,547) (18,969)
Realized Capital Gain** (4,003) (227)
- --------------------------------------------------------------------------------
Total Distributions (44,550) (19,196)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS1
Issued 423,202 1,012,589
Issued in Lieu of Cash Distributions 33,805 11,291
Redeemed (275,964) (43,811)
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 181,043 980,069
- --------------------------------------------------------------------------------
Total Increase (Decrease) 179,555 1,005,063
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,005,063 --
- --------------------------------------------------------------------------------
End of Period $1,184,618 $1,005,063
================================================================================
(1)Shares Issued (Redeemed)
Issued 8,136 20,000
Issued in Lieu of Cash Distributions 650 220
Redeemed (5,282) (853)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Shares
Outstanding 3,504 19,367
================================================================================
*Inception.
**Includes fiscal 2003 and 2002 short-term gain distributions totaling
$2,653,000 and $227,000, respectively. Short-term gain distributions are treated
as ordinary income dividends for tax purposes.
29
FINANCIAL HIGHLIGHTS
This table summarizes the fund's investment results and distributions to
shareholders on a per-share basis. It also presents the Total Return and shows
net investment income and expenses as percentages of average net assets. These
data will help you assess: the variability of the fund's net income and total
returns from year to year; the relative contributions of net income and capital
gains to the fund's total return; how much it costs to operate the fund; and the
extent to which the fund tends to distribute capital gains. The table also shows
the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of
100% means that the average security is held in the fund for one year.
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- --------------------------------------------------------------------------------
YEAR ENDED APRIL 26* TO
DEC. 31, DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002
- --------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $51.89 $50.00
- --------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.952 1.701
Net Realized and Unrealized Gain (Loss)
on Investments .133 1.891
- --------------------------------------------------------------------------------
Total from Investment Operations 2.085 3.592
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.997) (1.690)
Distributions from Realized Capital Gains (.178) (.012)
- --------------------------------------------------------------------------------
Total Distributions (2.175) (1.702)
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $51.80 $51.89
================================================================================
TOTAL RETURN 4.08% 7.30%
================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,185 $1,005
Ratio of Total Expenses to Average Net Assets 0.05% 0.05%**
Ratio of Net Investment Income to Average Net Assets 3.81% 4.57%**
Portfolio Turnover Rate+ 70% 64%
================================================================================
*Inception.
**Annualized.
+Portfolio turnover rates excluding in-kind redemptions were 60% and 64%,
respectively.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
NOTES TO FINANCIAL STATEMENTS
Vanguard Institutional Total Bond Market Index Fund is registered under the
Investment Company Act of 1940 as an open-end investment company, or mutual
fund. The fund is offered to investors who meet certain administrative and
servicing criteria and invest a minimum of $100 million. The fund commenced
operations on April 26, 2002. Certain of the fund's investments are in corporate
debt instruments; the issuers' abilities to meet their obligations may be
affected by economic developments in their respective industries.
A. The following significant accounting policies conform to generally accepted
accounting principles for U.S. mutual funds. The fund consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Bonds, and temporary cash investments acquired over 60
days to maturity, are valued using the latest bid prices or using valuations
based on a matrix system (which considers such factors as security prices,
yields, maturities, and ratings), both as furnished by independent pricing
services. Other temporary cash investments are valued at amortized cost, which
approximates market value. Securities for which market quotations are not
readily available, or whose values have been materially affected by events
occurring before the fund's pricing time but after the close of the securities'
primary markets, are valued by methods deemed by the board of trustees to
represent fair value.
2. SWAP CONTRACTS: The fund has entered into swap transactions to earn the total
return on a specified security or index of fixed income securities. Under the
terms of the swaps, the fund receives the total return (either receiving the
increase or paying the decrease) on a reference security or index applied to a
notional principal amount. In return, the fund agrees to pay the counterparty a
floating rate, which is reset periodically based on short-term interest rates,
applied to the same notional amount. At the same time, the fund invests an
amount equal to the notional amount of the swaps in high-quality floating-rate
securities.
The notional amounts of swap contracts are not recorded in the financial
statements. Swaps are valued daily, and the change in value is recorded as
unrealized appreciation (depreciation) until the termination of the swap, at
which time realized gain (loss) is recorded. The primary risk associated with
total return swaps is that a counterparty will default on its obligation to pay
net amounts due to the fund.
3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard
Group, transfers uninvested cash balances into a pooled cash account, which is
invested in repurchase agreements secured by U.S. government securities.
Securities pledged as collateral for repurchase agreements are held by a
custodian bank until the agreements mature. Each agreement requires that the
market value of the collateral be sufficient to cover payments of interest and
principal; however, in the event of default or bankruptcy by the other party to
the agreement, retention of the collateral may be subject to legal proceedings.
4. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a regulated
investment company and distribute all of its income. Accordingly, no provision
for federal income taxes is required in the financial statements.
31
5. DISTRIBUTIONS: Distributions from net investment income are declared daily
and paid on the first business day of the following month. Annual distributions
from realized capital gains, if any, are recorded on the ex-dividend date.
6. OTHER: Security transactions are accounted for on the date securities are
bought or sold. Costs used to determine realized gains (losses) on the sale of
investment securities are those of the specific securities sold. Premiums and
discounts on debt securities purchased are amortized and accreted, respectively,
to interest income over the lives of the respective securities.
B. The Vanguard Group provides investment advisory, corporate management,
administrative, marketing, and distribution services and pays for all other
operating expenses, except for taxes, in return for a fee calculated at an
annual percentage rate of the average net assets of the fund. The fund's
trustees and officers are also directors and officers of Vanguard.
C. Capital gain distributions are determined on a tax basis and may differ from
realized capital gains for financial reporting purposes. Differences may be
permanent or temporary. Permanent differences are reclassified among capital
accounts in the financial statements to reflect their tax character. Temporary
differences arise when gains or losses are recognized in different periods for
financial statement and tax purposes; these differences will reverse at some
time in the future.
During the year ended December 31, 2003, the fund realized $3,609,000 of net
capital gains resulting from in-kind redemptions--in which shareholders
exchanged fund shares for securities held by the fund rather than for cash.
Because such gains are not taxable to the fund, and are not distributed to
shareholders, they have been reclassified from accumulated net realized gains to
paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of
capital shares redeemed during the year as distributions from realized capital
gains. Accordingly, the fund has reclassified $386,000 from accumulated net
realized gains to paid-in capital.
Realized and unrealized gains (losses) on certain of the fund's total return
swap contracts (used to replicate specific bond market segments or securities)
are treated as ordinary income (loss) for tax purposes, affecting the fund's
income dividends to shareholders but having no effect on the fund's tracking of
the index as the effect on income dividends is offset by a change in principal
return. Realized gains on swap contracts of $776,000 have been reclassified from
accumulated net realized gains to undistributed net investment income. Taxable
income on swap contracts is accumulated monthly and included in income dividends
paid to shareholders in the following month. At December 31, 2003, the fund had
$227,000 of net swap gains available to distribute to shareholders as ordinary
income dividends.
For tax purposes at December 31, 2003, the fund had long-term capital gains of
$382,000 available for distribution.
At December 31, 2003, net unrealized appreciation of investment securities for
tax purposes was $18,743,000, consisting of unrealized gains of $21,927,000 on
securities that had risen in value since their purchase and $3,184,000 in
unrealized losses on securities that had fallen in value since their purchase.
32
AT DECEMBER 31, 2003, THE FUND HAD THE FOLLOWING OPEN SWAP CONTRACTS:
TOTAL RETURN SWAPS
- ----------------------------------------------------------------------------------------------
FLOATING UNREALIZED
NOTIONAL INTEREST APPRECIATION
AMOUNT RATE (DEPRECIATION)
REFERENCE ENTITY/TERMINATION DATE DEALER* (000) PAID** (000)
- ----------------------------------------------------------------------------------------------
Commercial Mortgage-Backed Securities Index
1/31/2004 MSCP $ 3,000 0.72% $ 30
Commercial Mortgage-Backed Securities Index
1/31/2004 DBS 900 0.62 9
Federal National Mortgage Assn., 5.00% 15-Year
1/31/2004 UBS 4,000 1.00 20
Commercial Mortgage-Backed Securities Index
2/29/2004 MSCP 5,100 0.57 170
Commercial Mortgage-Backed Securities Index
4/30/2004 BA 10,000 0.57 102
Commercial Mortgage-Backed Securities Index
4/30/2004 BA 5,000 0.57 51
Federal National Mortgage Assn. 5.00% 15-Year
5/31/2004 UBS 7,000 0.97 19
---------
$401
- ----------------------------------------------------------------------------------------------
*BA--Bank of America.
DBS--Deutsche Bank Securities.
MSCP--Morgan Stanley Credit Products.
UBS--UBS Warburg.
**Based on one-month London Interbank Offered Rate (LIBOR).
D. During the year ended December 31, 2003, the fund purchased $181,210,000 of
investment securities and sold $161,936,000 of investment securities other than
U.S. government securities and temporary cash investments. Purchases and sales
of U.S. government securities were $962,453,000 and $556,936,000, respectively.
E. The market value of securities on loan to broker/dealers at December 31,
2003, was $51,041,000, for which the fund held as collateral cash of $8,182,000
and U.S. government and agency securities with a market value of $44,544,000.
The fund invests cash collateral received in repurchase agreements, and records
a liability for the return of the collateral, during the period the securities
are on loan. Security loans are required to be secured at all times by
collateral at least equal to the market value of securities loaned; however, in
the event of default or bankruptcy by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
33
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees of Vanguard Institutional Bond Market 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 Institutional Total Bond Market Index Fund (the "Fund") at December 31,
2003, the results of its operations for the year then ended and the changes in
its net assets 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 Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audit. 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 brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 9, 2004
- --------------------------------------------------------------------------------
SPECIAL 2003 TAX INFORMATION
(UNAUDITED) FOR VANGUARD INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
This information for the fiscal year ended December 31, 2003, is included
pursuant to provisions of the Internal Revenue Code.
The fund distributed $1,504,000 as capital gain dividends (from net long-term
capital gains) to shareholders during the fiscal year.
- --------------------------------------------------------------------------------
34
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.
35
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
(112)
- ------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor
(1937) (112) 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) (112) 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 (112) 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) (110) 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) (112) 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) (112) (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) (112) 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) (112) 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.
- ------------------------------------------------------------------------------------------------------------
[SHIP]
[THE VANGUARD GROUP(R) LOGO]
Post Office Box 2600
Valley Forge, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, and the ship logo are trademarks of
The Vanguard Group, Inc.
All other marks are the exclusive property of their respective owners.
ABOUT OUR COVER
The photographs that appear on the cover of this report are copyrighted by
Michael Kahn.
FOR MORE INFORMATION
This report is intended for the fund's shareholders. It may not be distributed
to prospective investors unless it is preceded or accompanied by the current
fund prospectus.
To receive a free copy of the prospectus or the Statement of Additional
Information, or to request additional information about the fund or other
Vanguard funds, please contact us at one of the adjacent telephone numbers or by
e-mail through Vanguard.com. Prospectuses may also be viewed online.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted.
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
DIRECT INVESTOR ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
TEXT TELEPHONE
1-800-952-3335
(C) 2004 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
Q3370 022004
VANGUARD(R) INSTITUTIONAL
TOTAL STOCK MARKET INDEX FUND
December 31, 2003
ANNUAL REPORT
[GRAPHIC]
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
6 FUND PROFILE
7 GLOSSARY OF INVESTMENT TERMS
8 PERFORMANCE SUMMARY
9 YOUR FUND'S AFTER-TAX RETURNS
10 FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SUMMARY
- - The stock market bounced back dramatically in 2003, and Vanguard
Institutional Total Stock Market Index Fund met its objective of closely
tracking the return of the Wilshire 5000 Index. Both the Institutional
Shares and the Institutional Plus Shares returned 31.7%.
- - Small-capitalization stocks and high-yield bonds were the best performers
in their respective asset classes, while technology shares of all sizes
returned to the fore.
- - Though its history is brief, the fund has demonstrated some of the
long-term benefits of indexing.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LETTER FROM THE CHAIRMAN
- --------------------------------------------------------------------------------
Dear 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 you can see in the adjacent table, Vanguard Institutional Total Stock Market
Index Fund met its objective of closely tracking the return of this unmanaged
benchmark. The fund's returns were also quite strong compared with the return of
the fund's peer-group average, which is made up primarily of actively managed
funds.
- --------------------------------------------------------------------------------
2003 TOTAL RETURNS YEAR ENDED
DECEMBER 31
- --------------------------------------------------------------------------------
Vanguard Institutional Total Stock
Market Index Fund
Institutional Shares 31.7%
Institutional Plus Shares 31.7
Wilshire 5000 Index 31.6
Average Multi-Cap Core Fund* 29.9
- --------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc.
Details of the per-share components of your fund's total returns appear on page
5. If you hold your shares in a taxable account, you may wish to review the
fund's after-tax returns on page 9.
STOCKS REBOUNDED FROM THE FIERCE BEAR MARKET
The long and painful downturn of the broad 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 subsequent swift completion of major
combat operations in Iraq ignited a broad-based rally that propelled the
Wilshire 5000 Index higher.
Other factors contributing to the rebound included the Federal Reserve Board's
reduction in its target for short-term interest rates to a 45-year low of 1.00%;
low mortgage rates, which spurred home-buying
1
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 rapid growth in
U.S. economic output, which expanded at an 8.2% annual rate in the third
quarter.
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. 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.
'JUNK' REIGNED SUPREME
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.
- --------------------------------------------------------------------------------
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%
- --------------------------------------------------------------------------------
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
2
market was barely positive. Overall, the broad U.S. investment-grade taxable
bond market earned 4.1%.
- --------------------------------------------------------------------------------
Technology stocks, which were among the hardest hit in the stock market's long
downturn, staged a remarkable recovery. Chip-makers and software companies began
to profit from a rebound in capital spending.
- --------------------------------------------------------------------------------
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 FUND'S RESURGENCE WAS REMARKABLE IN ITS BREADTH AND STRENGTH
Vanguard Institutional Total Stock Market Index Fund's impressive returns in
2003 were a remarkable rebound from the dispiriting performances recorded in
2001 and 2002. It's worth noting that focusing on the total market in 2003
proved superior to the more typical indexing concentration on large-cap stocks,
as the market's smaller shares outpaced their larger counterparts.
The market's resurgence was powered by economically sensitive stocks, most
notably those in the technology sector, which was battered during the long
downturn. As corporations boosted capital spending, one result was strong
earnings growth among software- and hardware- makers, such as chip producers.
Producer durables and materials & processing stocks also generated strong
returns. These companies, which make the economy's basic building blocks, often
perform well as an expansion gathers momentum. Heavy-machinery-maker Caterpillar
and the big names in the red-hot housing sector all registered impressive gains.
No sector performed poorly, except on a relative basis. (After all, "average"
performance was, by definition, a market-level 31.6%.) 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 nevertheless
recorded double-digit gains.
THE CASE FOR INDEXING HAS BEEN COMPELLING
In essence, the objective of an index fund is to capture the return of an index
with minimal tracking error. As illustrated by the tables on page 4, Vanguard's
Quantitative Equity Group has succeeded in that objective, even after accounting
for the operating and transaction costs
3
that the fund, but not the unmanaged index, must bear.
- --------------------------------------------------------------------------------
TOTAL RETURNS AUGUST 31, 2001* THROUGH
DECEMBER 31, 2003
- --------------------------------------------------------------------------------
AVERAGE FINAL VALUE OF
ANNUAL A $200,000,000
RETURN INITIAL INVESTMENT
- --------------------------------------------------------------------------------
Institutional Total Stock
Market Index Fund
Institutional Shares 2.9% $213,560,549
Wilshire 5000 Index 2.8 213,102,366
Average Multi-Cap
Core Fund 1.5 207,278,741
- --------------------------------------------------------------------------------
May 31, 2001* Through
December 31, 2003
- --------------------------------------------------------------------------------
Average Final Value of
Annual a $500,000,000
Return Initial Investment
- --------------------------------------------------------------------------------
Institutional Total Stock
Market Index Fund
Institutional Plus Shares -1.1% $485,783,892
Wilshire 5000 Index -1.2 484,001,170
Average Multi-Cap
Core Fund -2.0 474,488,925
- --------------------------------------------------------------------------------
*Share-class inception.
Because investors have a choice between indexed and active investment
approaches, it's also instructive to evaluate the performance of an index
portfolio relative to the returns of active strategies. Therefore, the tables at
left also present the average annual return of multi-cap core mutual funds from
each share class's inception through December 31, 2003. Although the periods are
brief, the results are consistent with our longer-term expectations for an
indexing strategy. Both share classes produced a higher annualized return than
the peer-group average.
The keys to strong relative performance over the long term are full investment
in stocks (eliminating the "drag" of uninvested cash in a market that has tended
to rise more often than it falls), broad-market diversification, excellent
execution by the Quantitative Equity Group, and low trading and operating costs.
These attributes don't produce winning comparisons in every single period, but
their cumulative effect can be imposing.
THE YEAR BROUGHT A WELCOME CHANGE AND A DISAPPOINTMENT
This year marks the first time since 1999 that I've had the pleasure to report
positive returns to investors in Vanguard's broad market index funds. Although
the market's resurgence has made my task more pleasant, it has in no way altered
the advice 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.
4
Unfortunately, 2003 was also 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 20, 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
- --------------------------------------------------------------------------------
Institutional Total Stock
Market Index Fund
Institutional Shares $18.00 $23.33 $0.330 $0.000
Institutional Plus Shares 18.00 23.33 0.337 0.000
- --------------------------------------------------------------------------------
5
- --------------------------------------------------------------------------------
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 7.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- --------------------------------------------------------------------------------
Number of Stocks 3,335 5,216
Median Market Cap $29.3B $29.3B
Price/Earnings Ratio 25.7x 25.6x
Price/Book Ratio 3.1x 3.1x
Yield 1.5%
Institutional Shares 1.5%
Institutional Plus Shares 1.5%
Return on Equity 15.8% 15.9%
Earnings Growth Rate 5.2% 5.3%
Foreign Holdings 0.8% 0.8%
Turnover Rate 11% --
Expense Ratio --
Institutional Shares 0.06%
Institutional Plus Shares 0.025%
Short-Term Reserves 0% --
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7 6
Other 4 5
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS)
General Electric Co. 2.3%
(conglomerate)
Microsoft Corp. 2.2
(software)
ExxonMobil Corp. 2.0
(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 17.5%
- --------------------------------------------------------------------------------
The "Ten Largest Holdings" excludes any temporary cash investments and equity
index products.
- --------------------------------------------------------------------------------
INVESTMENT FOCUS
Market Cap Large
Style Blend
Visit our website at VANGUARD.COM for regularly updated fund information.
*Wilshire 5000 Index.
6
- --------------------------------------------------------------------------------
GLOSSARY OF INVESTMENT TERMS
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
7
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND
- --------------------------------------------------------------------------------
CUMULATIVE PERFORMANCE AUGUST 31, 2001-DECEMBER 31, 2003
INSTITUTIONAL TOTAL
STOCK MARKET INDEX FUND WILSHIRE 5000 AVERAGE MULTI-CAP
INSTITUTIONAL SHARES INDEX CORE FUND
8/31/2001 200,000,000 200,000,000 200,000,000
200109 182,075,281 182,033,820 180,200,000
200112 204,661,063 204,550,528 203,936,377
200203 206,610,216 206,517,990 204,507,399
200206 180,483,758 180,478,704 179,973,853
200209 150,081,946 150,137,867 148,975,789
200212 162,161,670 161,881,852 159,580,215
200303 157,106,285 156,884,342 154,546,241
200306 183,053,446 182,773,941 179,217,963
200309 189,951,197 189,555,803 184,521,412
200312 213,560,549 213,102,366 207,278,740
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED DECEMBER 31, 2003
------------------------------- FINAL VALUE OF A
ONE SINCE $200,000,000
YEAR INCEPTION* INVESTMENT
- --------------------------------------------------------------------------------
Institutional Total Stock Market Index Fund
Institutional Shares 31.70% 2.85% $213,560,549
Wilshire 5000 Index 31.64 2.76 213,102,366
Average Multi-Cap Core Fund** 29.89 1.54 207,278,741
- --------------------------------------------------------------------------------
FINAL VALUE OF A
ONE SINCE $500,000,000
YEAR INCEPTION* INVESTMENT
- --------------------------------------------------------------------------------
Institutional Total Stock Market Index Fund
Institutional Plus Shares 31.74% -1.11% $485,783,892
Wilshire 5000 Index 31.64 -1.25 484,001,170
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) AUGUST 31, 2001-DECEMBER 31, 2003
INSTITUTIONAL TOTAL STOCK
MARKET INDEX FUND WILSHIRE 5000
INSTITUTIONAL SHARES INDEX
2001 2.3 2.3
2002 -20.8 -20.9
2003 31.7 31.6
- --------------------------------------------------------------------------------
*Inception dates are: for Institutional Shares, August 31, 2001; for
Institutional Plus Shares, May 31, 2001.
**Derived from data provided by Lipper Inc.
Note: See Financial Highlights tables on pages 47 and 48 for dividend and
capital gains information.
8
- --------------------------------------------------------------------------------
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 Institutional 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
SINCE
ONE YEAR INCEPTION*
--------------------------------
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND
INSTITUTIONAL SHARES
Returns Before Taxes 31.70% 2.85%
Returns After Taxes on Distributions 31.38 2.35
Returns After Taxes on Distributions and Sale
of Fund Shares 20.95 2.15
- --------------------------------------------------------------------------------
*August 31, 2001.
9
- --------------------------------------------------------------------------------
AS OF 12/31/2003 FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Common stocks
are listed in descending market-value order. Temporary cash investments and
other assets are added to, and liabilities are subtracted from, the value of
Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are
divided by the outstanding shares of the fund to arrive at its share price, or
Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. Because all income and any realized gains
must be distributed to shareholders each year, the bulk of net assets consists
of Paid-in Capital (money invested by shareholders). The amounts shown for
Undistributed Net Investment Income and Accumulated Net Realized Gains usually
approximate the sums the fund had available to distribute to shareholders as
income dividends or capital gains as of the statement date, but may differ
because certain investments or transactions may be treated differently for
financial statement and tax purposes. Any Accumulated Net Realized Losses, and
any cumulative excess of distributions over net income or net realized gains,
will appear as negative balances. Unrealized Appreciation (Depreciation) is the
difference between the market value of the fund's investments and their cost,
and reflects the gains (losses) that would be realized if the fund were to sell
all of its investments at their statement-date values.
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.3%)(1)
- --------------------------------------------------------------------------------
General Electric Co. 790,467 24,489
Microsoft Corp. 851,186 23,442
ExxonMobil Corp. 520,215 21,329
Pfizer Inc. 600,785 21,226
Citigroup, Inc. 406,276 19,721
Wal-Mart Stores, Inc. 340,807 18,080
Intel Corp. 514,284 16,560
American International
Group, Inc. 205,301 13,607
* Cisco Systems, Inc. 543,557 13,203
International Business Machines Corp. 135,532 12,561
Johnson & Johnson 233,685 12,072
The Procter & Gamble Co. 102,155 10,203
The Coca-Cola Co. 193,001 9,795
Bank of America Corp. 116,850 9,398
Altria Group, Inc. 159,896 8,702
Merck & Co., Inc. 175,206 8,095
Wells Fargo & Co. 133,275 7,849
* Berkshire Hathaway Inc.
Class A 91 7,667
Verizon Communications 217,359 7,625
ChevronTexaco Corp. 84,238 7,277
* Dell Inc. 201,574 6,845
SBC Communications Inc. 260,522 6,792
United Parcel Service, Inc. 88,518 6,599
* Time Warner, Inc. 355,954 6,404
Home Depot, Inc. 179,176 6,359
PepsiCo, Inc. 135,248 6,305
* Amgen, Inc. 101,581 6,278
Eli Lilly & Co. 88,458 6,221
Viacom Inc. Class B 137,745 6,113
J.P. Morgan Chase & Co. 160,667 5,901
Fannie Mae 76,521 5,744
Abbott Laboratories 123,070 5,735
Hewlett-Packard Co. 239,895 5,510
* Oracle Corp. 411,483 5,432
3M Co. 61,882 5,262
* Comcast Corp. Class A 151,176 4,969
Morgan Stanley 85,302 4,936
American Express Co. 101,263 4,884
Wachovia Corp. 104,221 4,856
Medtronic, Inc. 95,488 4,642
U.S. Bancorp 151,893 4,523
Wyeth 104,895 4,453
Bristol-Myers Squibb Co. 152,761 4,369
Merrill Lynch & Co., Inc. 74,420 4,365
BellSouth Corp. 145,496 4,118
Bank One Corp. 88,005 4,012
Texas Instruments, Inc. 136,089 3,998
The Walt Disney Co. 161,078 3,758
The Goldman Sachs Group, Inc. 37,345 3,687
FleetBoston Financial Corp. 83,070 3,626
10
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
E.I. du Pont de Nemours & Co. 78,463 3,600
ConocoPhillips Co. 53,686 3,520
United Technologies Corp. 37,086 3,515
Lowe's Cos., Inc. 61,867 3,427
QUALCOMM Inc. 63,020 3,399
Anheuser-Busch Cos., Inc. 64,189 3,381
* eBay Inc. 50,866 3,285
Freddie Mac 54,740 3,192
Dow Chemical Co. 72,374 3,009
* Applied Materials, Inc. 130,972 2,940
Walgreen Co. 80,685 2,935
Gillette Co. 79,624 2,925
Washington Mutual, Inc. 70,781 2,840
The Boeing Co. 66,273 2,793
Target Corp. 71,737 2,755
UnitedHealth Group Inc. 46,156 2,685
Fifth Third Bancorp 44,882 2,653
Alcoa Inc. 68,089 2,587
Motorola, Inc. 183,353 2,580
Schlumberger Ltd. 46,082 2,522
* Liberty Media Corp. 212,032 2,521
MBNA Corp. 100,640 2,501
McDonald's Corp. 99,916 2,481
* EMC Corp. 189,313 2,446
* Nextel Communications, Inc. 86,463 2,426
Allstate Corp. 55,436 2,385
* Boston Scientific Corp. 64,526 2,372
First Data Corp. 57,412 2,359
General Motors Corp. 44,084 2,354
Kimberly-Clark Corp. 39,703 2,346
* Yahoo! Inc. 51,749 2,338
Ford Motor Co. 144,220 2,306
Clear Channel Communications, Inc. 48,609 2,276
Caterpillar, Inc. 27,354 2,271
Honeywell International Inc. 67,767 2,265
Emerson Electric Co. 33,134 2,145
Colgate-Palmolive Co. 42,292 2,117
Cardinal Health, Inc. 34,019 2,081
Illinois Tool Works, Inc. 24,256 2,035
The Bank of New York Co., Inc. 60,868 2,016
Metropolitan Life Insurance Co. 59,859 2,015
Schering-Plough Corp. 115,747 2,013
Marsh & McLennan Cos., Inc. 41,695 1,997
Carnival Corp. 49,490 1,966
Gannett Co., Inc. 21,294 1,899
Sysco Corp. 50,896 1,895
Automatic Data Processing, Inc. 46,834 1,855
Lockheed Martin Corp. 35,454 1,822
* Forest Laboratories, Inc. 28,754 1,777
* Cendant Corp. 79,758 1,776
Prudential Financial, Inc. 42,523 1,776
Southern Co. 57,602 1,742
* InterActiveCorp 51,005 1,731
Exelon Corp. 25,721 1,707
* AT&T Wireless Services Inc. 213,429 1,705
HCA Inc. 39,036 1,677
BB&T Corp. 42,969 1,660
* Amazon.com, Inc. 31,537 1,660
Newmont Mining Corp.Holding Company) 33,935 1,650
Lehman Brothers Holdings, Inc. 21,354 1,649
The Gap, Inc. 70,601 1,639
International Paper Co. 37,889 1,632
Dominion Resources, Inc. 25,499 1,627
* Genentech, Inc. 17,386 1,627
National City Corp. 47,801 1,622
* Cox Communications, Inc. Class A 46,607 1,606
SunTrust Banks, Inc. 22,157 1,584
FedEx Corp. 23,458 1,583
Guidant Corp. 24,505 1,475
Baxter International, Inc. 48,134 1,469
Duke Energy Corp. 71,416 1,460
AFLAC Inc. 40,359 1,460
Progressive Corp. of Ohio 16,956 1,417
NIKE, Inc. Class B 20,628 1,412
General Dynamics Corp. 15,600 1,410
Union Pacific Corp. 20,046 1,393
Northrop Grumman Corp. 14,376 1,374
State Street Corp. 26,265 1,368
Waste Management, Inc. 46,093 1,364
Sara Lee Corp. 62,254 1,352
Travelers Property Casualty Corp. Class B 79,144 1,343
* Costco Wholesale Corp. 36,014 1,339
Stryker Corp. 15,731 1,337
* Zimmer Holdings, Inc. 18,972 1,336
SLM Corp. 35,408 1,334
Best Buy Co., Inc. 25,444 1,329
General Mills, Inc. 29,285 1,327
Analog Devices, Inc. 28,903 1,319
The Hartford Financial Services Group Inc. 22,251 1,313
Omnicom Group Inc. 14,919 1,303
Maxim Integrated Products, Inc. 25,878 1,288
Occidental Petroleum Corp. 30,206 1,276
Charles Schwab Corp. 107,077 1,268
Tribune Co. 24,512 1,264
AT&T Corp. 62,219 1,263
Avon Products, Inc. 18,603 1,256
* Veritas Software Corp. 33,539 1,246
Computer Associates International, Inc. 45,443 1,242
Golden West Financial Corp. 11,987 1,237
11
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Deere & Co. 18,880 1,228
Kellogg Co. 32,107 1,223
* Kohl's Corp. 26,768 1,203
PNC Financial Services Group 21,833 1,195
* Hughes Electronic Corp. 72,070 1,193
Sprint Corp. 71,279 1,170
* WellPoint Health Networks Inc.Class A 11,990 1,163
* Sun Microsystems, Inc. 257,360 1,156
ALLTEL Corp. 24,648 1,148
Harley-Davidson, Inc. 23,838 1,133
CVS Corp. 31,035 1,121
* Electronic Arts Inc. 23,400 1,118
ConAgra Foods, Inc. 42,172 1,113
Capital One Financial Corp. 18,144 1,112
Danaher Corp. 12,048 1,105
Paychex, Inc. 29,703 1,105
Weyerhaeuser Co. 17,223 1,102
Countrywide Financial Corp. 14,489 1,099
* Agilent Technologies, Inc. 37,498 1,096
* Corning, Inc. 104,509 1,090
* The Kroger Co. 58,682 1,086
Mellon Financial Corp. 33,795 1,085
* Staples, Inc. 38,753 1,058
The McGraw-Hill Cos., Inc. 15,079 1,054
Devon Energy Corp. 18,215 1,043
* Xilinx, Inc. 26,868 1,040
Apache Corp. 12,780 1,036
Linear Technology Corp. 24,622 1,036
Entergy Corp. 18,106 1,034
Franklin Resources Corp. 19,820 1,032
* Starbucks Corp. 30,837 1,019
The Chubb Corp. 14,861 1,012
H.J. Heinz Co. 27,773 1,012
* Bed Bath & Beyond, Inc. 23,260 1,008
* Univision Communications Inc. 25,379 1,007
Anadarko Petroleum Corp. 19,722 1,006
Southwest Airlines Co. 61,877 999
Masco Corp. 36,423 998
Wm. Wrigley Jr. Co. 17,665 993
Raytheon Co. 32,764 984
Praxair, Inc. 25,582 977
International Game Technology 27,276 974
KeyCorp 32,971 967
American Electric Power Co., Inc. 31,049 947
* Biogen Idec Inc 25,752 947
FPL Group, Inc. 14,472 947
Air Products & Chemicals, Inc. 17,901 946
Burlington Northern Santa Fe Corp. 29,191 944
* Apollo Group, Inc. Class A 13,773 937
* Lucent Technologies, Inc. 328,830 934
Electronic Data Systems Corp. 37,906 930
Ingersoll-Rand Co. 13,651 927
M & T Bank Corp. 9,410 925
* Gilead Sciences, Inc. 15,902 924
FirstEnergy Corp. 25,930 913
Sears, Roebuck & Co. 19,967 908
* PG&E Corp. 32,557 903
Equity Office Properties Trust REIT 31,505 903
Halliburton Co. 34,450 896
* KLA-Tencor Corp. 15,250 895
* Genzyme Corp.-General Division 17,724 875
TJX Cos., Inc. 39,632 874
SouthTrust Corp. 26,688 873
Campbell Soup Co. 32,438 869
Progress Energy, Inc. 19,185 868
Burlington Resources, Inc. 15,618 865
* Xerox Corp. 62,303 860
PPG Industries, Inc. 13,374 856
John Hancock FinancialServices, Inc. 22,774 854
Baker Hughes, Inc. 26,398 849
* Chiron Corp. 14,850 846
Marriott International, Inc. Class A 18,297 845
* Symantec Corp. 24,196 838
The Principal Financial Group, Inc. 25,300 837
* St. Jude Medical, Inc. 13,588 834
* Intuit, Inc. 15,691 830
Fortune Brands, Inc. 11,576 828
Becton, Dickinson & Co. 20,041 824
Johnson Controls, Inc. 7,093 824
* Anthem, Inc. 10,910 818
* Comcast Corp. Special Class A 26,044 815
Public Service Enterprise Group, Inc. 18,558 813
* Fox Entertainment Group, Inc.Class A 27,852 812
The Clorox Co. 16,715 812
Aetna Inc. 11,987 809
Marathon Oil Corp. 24,443 809
Northern Trust Corp. 17,366 806
* Broadcom Corp. 23,627 804
* Lexmark International, Inc. 10,154 799
* Yum! Brands, Inc. 23,164 797
Allergan, Inc. 10,294 791
Hershey Foods Corp. 10,224 787
Coca-Cola Enterprises, Inc. 35,791 783
PACCAR, Inc. 9,191 782
Comerica, Inc. 13,904 779
H & R Block, Inc. 14,046 778
Archer-Daniels-Midland Co. 50,893 775
* Safeway, Inc. 34,839 763
Consolidated Edison Inc. 17,728 762
12
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Rohm & Haas Co. 17,553 750
Unocal Corp. 20,339 749
Pitney Bowes, Inc. 18,396 747
McKesson Corp. 22,910 737
Biomet, Inc. 20,145 733
Limited Brands, Inc. 40,668 733
Norfolk Southern Corp. 30,864 730
Loews Corp. 14,627 723
* Medco Health Solutions, Inc. 21,223 721
Adobe Systems, Inc. 18,347 721
St. Paul Cos., Inc. 18,025 715
Kraft Foods Inc. 22,055 711
Moody's Corp. 11,727 710
Simon Property Group, Inc. REIT 15,160 703
Synovus Financial Corp. 23,761 687
Marshall & Ilsley Corp. 17,876 684
* Altera Corp. 29,806 677
AmSouth Bancorp 27,555 674
Cintas Corp. 13,430 673
MBIA, Inc. 11,354 672
* PeopleSoft, Inc. 29,455 671
Federated Department Stores, Inc. 14,209 670
May Department Stores Co. 22,750 661
* EchoStar Communications Corp. Class A 19,404 660
Albertson's, Inc. 29,027 657
UnionBanCal Corp. 11,393 656
* Computer Sciences Corp. 14,789 654
Mattel, Inc. 33,944 654
Regions Financial Corp. 17,536 652
* Micron Technology, Inc. 48,092 648
Eaton Corp. 5,997 648
Equity Residential REIT 21,580 637
Dover Corp. 15,963 635
CIGNA Corp. 10,985 632
* SunGard Data Systems, Inc. 22,692 629
Textron, Inc. 10,796 616
Bear Stearns Co., Inc. 7,701 616
PPL Corp. 14,054 615
Georgia Pacific Group 19,983 613
* Apple Computer, Inc. 28,528 610
TXU Corp. 25,604 607
CSX Corp. 16,841 605
Charter One Financial, Inc. 17,504 605
* Transocean Inc. 25,131 603
CIT Group Inc. 16,772 603
* Fiserv, Inc. 15,255 603
* Qwest Communications International Inc. 139,402 602
Lennar Corp. Class A 6,230 598
* AutoZone Inc. 7,006 596
Washington Post Co. Class B 752 595
* Quest Diagnostics, Inc. 8,137 595
E.W. Scripps Co. Class A 6,317 594
Monsanto Co. 20,636 594
Freeport-McMoRan Copper & Gold, Inc. Class B 14,086 593
Aon Corp. 24,713 592
* Tenet Healthcare Corp. 36,841 591
Ambac Financial Group, Inc. 8,489 589
Ameren Corp. 12,780 588
Eastman Kodak Co. 22,641 581
* National Semiconductor Corp. 14,662 578
* American Standard Cos., Inc. 5,702 574
* Juniper Networks, Inc. 30,738 574
New York Community Bancorp, Inc. 15,082 574
Hudson City Bancorp, Inc. 14,982 572
Kinder Morgan, Inc. 9,677 572
Starwood Hotels & Resorts Worldwide, Inc. 15,828 569
Jefferson-Pilot Corp. 11,139 564
J.C. Penney Co., Inc. (Holding Co.) 21,460 564
Lincoln National Corp. 13,952 563
* Affiliated Computer Services, Inc. Class A 10,340 563
New York Times Co. Class A 11,783 563
* Edison International 25,617 562
Ecolab, Inc. 20,300 556
* Coach, Inc. 14,710 555
Dollar General Corp. 26,420 555
* Network Appliance, Inc. 26,965 554
Parker Hannifin Corp. 9,261 551
Sovereign Bancorp, Inc. 23,146 550
* Siebel Systems, Inc. 39,294 545
* Concord EFS, Inc. 36,698 545
Microchip Technology, Inc. 16,287 543
ITT Industries, Inc. 7,304 542
Cinergy Corp. 13,943 540
* Phelps Dodge Corp. 7,077 538
Mylan Laboratories, Inc. 21,317 538
D. R. Horton, Inc. 12,396 536
Xcel Energy, Inc. 31,374 533
Cincinnati Financial Corp. 12,680 531
Sempra Energy 17,657 531
* Caremark Rx, Inc. 20,886 529
Royal Caribbean Cruises, Ltd. 15,185 528
Rockwell Automation, Inc. 14,729 524
Centex Corp. 4,866 524
Tiffany & Co. 11,579 523
Molex, Inc. 14,993 523
DTE Energy Co. 13,166 519
13
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Hilton Hotels Corp. 30,061 515
Constellation Energy Group, Inc. 13,111 513
* Sanmina-SCI Corp. 40,478 510
* Interpublic Group of Cos., Inc. 32,627 509
* Novellus Systems, Inc. 12,034 506
The Pepsi Bottling Group, Inc. 20,786 503
Vornado Realty Trust REIT 9,056 496
* MedImmune Inc. 19,466 494
Newell Rubbermaid, Inc. 21,608 492
AmerisourceBergen Corp. 8,753 491
Knight Ridder 6,309 488
Avery Dennison Corp. 8,705 488
Family Dollar Stores, Inc. 13,520 485
Total System Services, Inc. 15,547 484
* NTL Inc. 6,918 483
North Fork Bancorp, Inc. 11,891 481
Union Planters Corp. 15,079 475
General Growth Properties Inc. REIT 17,037 473
IMS Health, Inc. 19,006 472
MeadWestvaco Corp. 15,873 471
* Nabors Industries, Inc. 11,358 471
Murphy Oil Corp. 7,214 471
Popular, Inc. 10,440 469
* Ameritrade Holding Corp. 33,339 469
T. Rowe Price Group Inc. 9,855 467
* AES Corp. 49,091 463
UST, Inc. 12,976 463
* Sprint PCS 81,909 460
GlobalSantaFe Corp. 18,474 459
KeySpan Corp. 12,458 458
Health Management Associates Class A 19,014 456
Genuine Parts Co. 13,716 455
Pulte Homes, Inc. 4,862 455
Fidelity National Financial, Inc. 11,720 455
Delphi Corp. 44,437 454
ProLogis REIT 14,136 454
NiSource, Inc. 20,600 452
Brown-Forman Corp. Class B 4,803 449
* BJ Services Co. 12,462 447
MGIC Investment Corp. 7,813 445
* Jabil Circuit, Inc. 15,688 444
Plum Creek Timber Co. Inc. REIT 14,572 444
National Commerce Financial Corp. 16,114 440
* Millennium Pharmaceuticals, Inc. 23,490 439
Harrah's Entertainment, Inc. 8,770 436
Valero Energy Corp. 9,409 435
Public Storage, Inc. REIT 10,031 435
Zions Bancorp 7,075 434
First Tennessee National Corp. 9,816 433
* MGM Mirage, Inc. 11,443 430
Cooper Industries, Inc. Class A 7,385 428
* CNA Financial Corp. 17,733 427
* Avaya Inc. 32,915 426
SAFECO Corp. 10,847 422
Archstone-Smith Trust REIT 15,059 421
* Laboratory Corp. of America Holdings 11,392 421
Rockwell Collins, Inc. 13,929 418
Banknorth Group, Inc. 12,843 418
* Express Scripts Inc. 6,276 417
EOG Resources, Inc. 9,017 416
* JDS Uniphase Corp. 112,845 412
* Advanced Micro Devices, Inc. 27,592 411
* Synopsys, Inc. 12,160 411
XTO Energy, Inc. 14,506 411
* Office Depot, Inc. 24,489 409
* Barr Pharmaceuticals Inc. 5,295 407
* Cablevision Systems-NY Group Class A 17,365 406
Huntington Bancshares Inc. 18,041 406
* Dean Foods Co. 12,323 405
Torchmark Corp. 8,879 404
Williams Cos., Inc. 41,018 403
Legg Mason Inc. 5,218 403
Whirlpool Corp. 5,503 400
* AutoNation, Inc. 21,757 400
Sherwin-Williams Co. 11,474 399
RadioShack Corp. 12,908 396
* Watson Pharmaceuticals, Inc. 8,588 395
* BEA Systems, Inc. 32,093 395
Kimco Realty Corp. REIT 8,769 392
El Paso Corp. 47,559 390
* Solectron Corp. 65,681 387
* L-3 Communications Holdings, Inc. 7,541 387
R.J. Reynolds Tobacco Holdings, Inc. 6,648 387
* Unisys Corp. 26,025 386
* QLogic Corp. 7,478 386
* Teradyne, Inc. 15,085 384
Harman International Industries, Inc. 5,186 384
* AdvancePCS 7,262 382
CDW Corp. 6,585 380
Vulcan Materials Co. 7,968 379
* SanDisk Corp. 6,198 379
American Power Conversion Corp. 15,478 378
* Noble Corp. 10,537 377
Amerada Hess Corp. 7,082 377
Boston Properties, Inc. REIT 7,802 376
14
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Compass Bancshares Inc. 9,532 375
Nordstrom, Inc. 10,863 373
Estee Lauder Cos. Class A 9,488 372
* Cadence Design Systems, Inc. 20,679 372
* Mohawk Industries, Inc. 5,267 372
Green Point Financial Corp. 10,476 370
UnumProvident Corp. 23,441 370
* IVAX Corp. 15,476 370
* Varian Medical Systems, Inc. 5,348 370
CenturyTel, Inc. 11,300 369
Tyson Foods, Inc. 27,775 368
* Weatherford International Ltd. 10,186 367
Old Republic International Corp. 14,397 365
Kerr-McGee Corp. 7,853 365
VF Corp. 8,407 364
* E*TRADE Financial Corp. 28,616 362
* Sealed Air Corp. 6,625 359
Smurfit-Stone Container Corp. 19,271 358
Radian Group, Inc. 7,308 356
Wendy's International, Inc. 9,076 356
Jones Apparel Group, Inc. 10,004 352
* Mercury Interactive Corp. 7,174 349
* SPX Corp. 5,916 348
* Patterson Dental Co. 5,413 347
Nucor Corp. 6,200 347
Applera Corp.- Applied Biosystems Group 16,559 343
W.W. Grainger, Inc. 7,107 337
Transatlantic Holdings, Inc. 4,126 333
Rouse Co. REIT 7,092 333
C.R. Bard, Inc. 4,087 332
Duke Realty Corp. REIT 10,708 332
* BMC Software, Inc. 17,761 331
* Smith International, Inc. 7,976 331
* Metro-Goldwyn-Mayer Inc. 19,339 331
Leggett & Platt, Inc. 15,214 329
Lear Corp. 5,364 329
Scientific-Atlanta, Inc. 12,032 328
* LAM Research Corp. 10,148 328
* Thermo Electron Corp. 12,964 327
McCormick & Co., Inc. 10,850 327
Omnicare, Inc. 8,085 327
White Mountains Insurance Group Inc. 708 326
ENSCO International, Inc. 11,957 325
* Williams-Sonoma, Inc. 9,244 321
* Weight Watchers International, Inc. 8,353 321
* Allied Waste Industries, Inc. 22,888 318
Republic Services, Inc. Class A 12,386 317
Ross Stores, Inc. 11,972 316
* Waters Corp. 9,529 316
Dow Jones & Co., Inc. 6,333 316
* Robert Half International, Inc. 13,500 315
* XM Satellite Radio Holdings, Inc. 11,935 315
Expeditors International of Washington, Inc. 8,350 314
* Whole Foods Market, Inc. 4,680 314
* Host Marriott Corp. REIT 25,438 313
* Novell, Inc. 29,780 313
Commerce Bancorp, Inc. 5,934 313
Sigma-Aldrich Corp. 5,467 313
Wisconsin Energy Corp. 9,340 312
* Career Education Corp. 7,770 311
Janus Capital Group Inc. 18,937 311
Sunoco, Inc. 6,073 311
* VeriSign, Inc. 18,954 309
iStar Financial Inc. REIT 7,930 308
Diebold, Inc. 5,720 308
* Level 3 Communications, Inc. 54,033 308
Symbol Technologies, Inc. 18,203 307
Liz Claiborne, Inc. 8,662 307
* Coventry Health Care Inc. 4,749 306
Black & Decker Corp. 6,181 305
Hillenbrand Industries, Inc. 4,904 304
SCANA Corp. 8,831 302
SuperValu Inc. 10,562 302
* Pixar, Inc. 4,350 301
Fastenal Co. 6,002 300
* Pioneer Natural Resources Co. 9,382 300
* Agere Systems Inc. Class B 102,499 297
Hasbro, Inc. 13,901 296
* NVIDIA Corp. 12,702 295
Engelhard Corp. 9,860 295
* Pactiv Corp. 12,273 293
* NCR Corp. 7,546 293
* Vishay Intertechnology, Inc. 12,772 292
* Humana Inc. 12,775 292
Alberto-Culver Co. Class B 4,621 291
* Health Net Inc. 8,898 291
Manpower Inc. 6,178 291
* Celgene Corp. 6,453 291
* King Pharmaceuticals, Inc. 19,035 290
Mercantile Bankshares Corp. 6,351 289
* The Dun & Bradstreet Corp. 5,684 288
Hibernia Corp. Class A 12,183 286
Telephone & Data Systems, Inc. 4,564 285
Pinnacle West Capital Corp. 7,120 285
United States Steel Corp. 8,087 283
DENTSPLY International Inc. 6,257 283
TCF Financial Corp. 5,489 282
* Foundry Networks, Inc. 10,301 282
15
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Hormel Foods Corp. 10,914 282
* Oxford Health Plans, Inc. 6,466 281
* Citizens Communications Co. 22,517 280
* Tellabs, Inc. 33,172 280
Allied Capital Corp. 10,010 279
* Invitrogen Corp. 3,976 278
Doral Financial Corp. 8,613 278
The PMI Group Inc. 7,462 278
Darden Restaurants Inc. 13,198 278
Friedman, Billings, Ramsey Group, Inc. 11,951 276
* Dollar Tree Stores, Inc. 9,170 276
ServiceMaster Co. 23,634 275
* Constellation Brands, Inc. Class A 8,348 275
Goodrich Corp. 9,250 275
Intersil Corp. 11,036 274
* DST Systems, Inc. 6,544 273
* Sirius Satellite Radio, Inc. 86,279 273
* Citrix Systems, Inc. 12,846 272
R.R. Donnelley & Sons Co. 9,031 272
* Iron Mountain, Inc. 6,827 270
Gentex Corp. 6,100 269
PETsMART, Inc. 11,315 269
Avalonbay Communities, Inc. REIT 5,617 268
* Westwood One, Inc. 7,839 268
Temple-Inland Inc. 4,274 268
* Providian Financial Corp. 23,009 268
Equifax, Inc. 10,923 268
* Comverse Technology, Inc. 15,104 266
* LSI Logic Corp. 29,949 266
Ball Corp. 4,458 266
Pall Corp. 9,891 265
Foot Locker, Inc. 11,291 265
Commerce Bancshares, Inc. 5,378 264
Bunge Ltd. 8,000 263
* Park Place Entertainment Corp. 24,270 263
Pepco Holdings, Inc. 13,438 263
KB HOME 3,619 262
* Navistar International Corp. 5,475 262
Energy East Corp. 11,691 262
* ChoicePoint Inc. 6,857 261
* NVR, Inc. 560 261
Apartment Investment & Management Co. Class A REIT 7,512 259
* Lamar Advertising Co. Class A 6,926 258
* Red Hat, Inc. 13,770 258
* SICOR, Inc. 9,478 258
Fluor Corp. 6,499 258
International Flavors & Fragrances, Inc. 7,373 257
SEI Corp. 8,433 257
Outback Steakhouse 5,807 257
Belo Corp. Class A 9,044 256
C.H. Robinson Worldwide, Inc. 6,750 256
* Chico's FAS, Inc. 6,906 255
Health Care Properties Investors REIT 5,019 255
Federated Investors, Inc. 8,655 254
* PanAmSat Corp. 11,750 253
* Amkor Technology, Inc. 13,907 253
* International Rectifier Corp. 5,120 253
The McClatchy Co. Class A 3,668 252
* Brinker International, Inc. 7,603 252
* CIENA Corp. 37,848 251
* CarMax, Inc. 8,107 251
Associated Banc-Corp 5,865 250
Leucadia National Corp. 5,423 250
* Zebra Technologies Corp. Class A 3,764 250
Beckman Coulter, Inc. 4,891 249
* Ceridian Corp. 11,822 248
* Energizer Holdings, Inc. 6,589 247
* Rite Aid Corp. 40,957 247
Manor Care, Inc. 7,141 247
Universal Health Services Class B 4,588 246
* Mid Atlantic Medical Services, Inc. 3,781 245
Liberty Property Trust REIT 6,284 244
The Stanley Works 6,418 243
Pogo Producing Co. 5,021 243
Sabre Holdings Corp. 11,232 242
* 3Com Corp. 29,615 242
Ashland, Inc. 5,477 241
City National Corp. 3,878 241
* U.S. Cellular Corp. 6,742 239
* Rambus Inc. 7,794 239
Eastman Chemical Co. 6,022 238
CenterPoint Energy Inc. 24,541 238
* ImClone Systems, Inc. 5,969 237
* Advance Auto Parts, Inc. 2,900 236
* Lincare Holdings, Inc. 7,840 235
Arthur J. Gallagher & Co. 7,223 235
Lyondell Chemical Co. 13,815 234
Michaels Stores, Inc. 5,262 233
Chesapeake Energy Corp. 17,105 232
Developers Diversified
Realty Corp. REIT 6,907 232
Questar Corp. 6,596 232
* Fairchild Semiconductor
International, Inc. 9,274 232
Brunswick Corp. 7,273 231
Astoria Financial Corp. 6,208 231
W.R. Berkley Corp. 6,606 231
* Henry Schein, Inc. 3,415 231
16
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Toll Brothers, Inc. 5,796 230
AVX Corp. 13,860 230
GTECH Holdings Corp. 4,640 230
Lafarge North America Inc. 5,636 228
Student Loan Corp. 1,554 227
* Atmel Corp. 37,633 226
The St. Joe Co. 6,062 226
* Storage Technology Corp. 8,758 226
* Cognizant Technology Solutions Corp. 4,938 225
* Getty Images, Inc. 4,494 225
Unitrin, Inc. 5,428 225
A.G. Edwards & Sons, Inc. 6,194 224
Boise Cascade Corp. 6,817 224
* WebMD Corp. 24,522 220
Precision Castparts Corp. 4,851 220
Alliant Energy Corp. 8,830 220
Mandalay Resort Group 4,911 220
Autodesk, Inc. 8,934 220
* PacifiCare Health Systems, Inc. 3,244 219
Dana Corp. 11,911 219
Erie Indemnity Co. Class A 5,154 218
* Amphenol Corp. 3,410 218
Dial Corp. 7,626 217
AMB Property Corp. REIT 6,557 216
* Toys R Us, Inc. 17,026 215
MDU Resources Group, Inc. 9,029 215
Valley National Bancorp 7,350 215
Northeast Utilities 10,635 215
TECO Energy, Inc. 14,822 214
* Maxtor Corp. 19,200 213
* Cephalon, Inc. 4,399 213
* JetBlue Airways Corp. 8,028 213
Diamond Offshore Drilling, Inc. 0,374 213
Allete, Inc. 6,938 212
DPL Inc. 10,147 212
* Jacobs Engineering Group Inc. 4,398 211
Aramark Corp. Class B 7,700 211
Hubbell Inc. Class B 4,780 211
Bausch & Lomb, Inc. 4,058 211
* Entercom Communications Corp. 3,969 210
Bemis Co., Inc. 4,202 210
Capitol Federal Financial 5,806 209
* Avnet, Inc. 9,626 208
* Patterson-UTI Energy, Inc. 6,323 208
Equitable Resources, Inc. 4,838 208
Tektronix, Inc. 6,567 208
Bowater Inc. 4,476 207
* ICOS Corp. 4,984 206
* Community Health Systems, Inc. 7,739 206
* The Neiman Marcus Group, Inc.Class A 3,824 205
Hospitality Properties Trust REIT 4,959 205
* Fisher Scientific International Inc. 4,945 205
Harris Corp. 5,357 203
Mercury General Corp. 4,359 203
* Endo Pharmaceuticals Holdings, Inc. 10,535 203
Donaldson Co., Inc. 3,428 203
* Cypress Semiconductor Corp. 9,488 203
* Cooper Cameron Corp. 4,344 202
* Hovnanian Enterprises Inc. Class A 2,316 202
* Pride International, Inc. 10,788 201
* Triad Hospitals, Inc. 6,018 200
Wesco Financial Corp. 568 200
* Convergys Corp. 11,445 200
The Macerich Co. REIT 4,486 200
Investors Financial Services Corp. 5,194 200
NSTAR 4,103 199
* AmeriCredit Corp. 12,474 199
* Monster Worldwide Inc. 9,030 198
* Markel Corp. 782 198
Valspar Corp. 4,008 198
Nuveen Investments, Inc. Class A 7,416 198
PepsiAmericas, Inc. 11,508 197
* Newfield Exploration Co. 4,423 197
Meredith Corp. 4,032 197
Noble Energy, Inc. 4,429 197
* Nextel Partners, Inc. 14,618 197
Eaton Vance Corp. 5,361 196
* DaVita, Inc. 5,021 196
HON Industries, Inc. 4,515 196
* Corinthian Colleges, Inc. 3,512 195
Mack-Cali Realty Corp. REIT 4,636 193
* Crown Castle International Corp. 17,461 193
* Western Digital Corp. 16,333 193
Sonoco Products Co. 7,819 193
* Network Associates, Inc. 12,798 192
New Plan Excel Realty Trust REIT 7,791 192
Sky Financial Group, Inc. 7,373 191
Fulton Financial Corp. 8,706 191
ADTRAN Inc. 6,150 191
Regency Centers Corp. REIT 4,776 190
* ADC Telecommunications, Inc. 64,065 190
* Rent-A-Center, Inc. 6,360 190
* Ingram Micro, Inc. Class A 11,923 190
Chelsea Property Group REIT 3,434 188
The Chicago Mercantile Exchange 2,600 188
Wilmington Trust Corp. 5,224 188
Forest City Enterprise Class A 3,953 188
Reinsurance Group of America, Inc. 4,848 187
* Abercrombie & Fitch Co. 7,579 187
Weingarten Realty Investors REIT 4,214 187
National Instruments Corp. 4,110 187
17
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
CONSOL Energy, Inc. 7,204 187
* Arrow Electronics, Inc. 8,051 186
Protective Life Corp. 5,502 186
American National Insurance Co. 2,204 186
First American Corp. 6,243 186
Trizec Properties, Inc. REIT 12,000 185
Bank of Hawaii Corp. 4,377 185
United Dominion Realty Trust REIT 9,611 185
* Compuware Corp. 30,526 184
Packaging Corp. of America 8,424 184
International Speedway Corp. 4,116 184
FirstMerit Corp. 6,796 183
BorgWarner, Inc. 2,145 182
Fair, Isaac, Inc. 3,700 182
Reebok International Ltd. 4,608 181
Martin Marietta Materials, Inc. 3,836 180
* American Tower Corp. Class A 16,639 180
* The Cheesecake Factory 4,087 180
* Tech Data Corp. 4,532 180
* Alliant Techsystems, Inc. 3,103 179
Brown & Brown, Inc. 5,488 179
* BOK Financial Corp. 4,618 179
* Smithfield Foods, Inc. 8,636 179
Puget Energy, Inc. 7,518 179
Peabody Energy Corp. 4,284 179
Pentair, Inc. 3,887 178
Viad Corp. 7,104 178
Ryland Group, Inc. 2,000 177
* Emulex Corp. 6,630 177
* Pharmaceutical Resources, Inc. 2,700 176
* Krispy Kreme Doughnuts, Inc. 4,802 176
* Rowan Cos., Inc. 7,563 175
Maytag Corp. 6,292 175
Great Plains Energy, Inc. 5,491 175
* CheckFree Corp. 6,315 175
J.M. Smucker Co. 3,848 174
PerkinElmer, Inc. 10,199 174
* Del Monte Foods Co. 16,729 174
* Education Management Corp. 5,602 174
Catellus Development Corp. 7,193 173
* Conseco, Inc. 7,950 173
* Eon Labs, Inc. 3,400 173
* Glamis Gold, Ltd. 10,100 173
Colonial BancGroup, Inc. 9,977 173
* Kmart Holding Corp. 7,200 172
Applebee's International, Inc. 4,391 172
Ryder System, Inc. 5,023 172
* Barnes & Noble, Inc. 5,208 171
* Columbia Sportswear Co. 3,137 171
* J.B. Hunt Transport Services, Inc. 6,312 170
* Reliant Resources, Inc. 23,145 170
* Millipore Corp. 3,940 170
ONEOK, Inc. 7,662 169
Circuit City Stores, Inc. 16,659 169
* ITT Educational Services, Inc. 3,586 168
* O'Reilly Automotive, Inc. 4,369 168
* Amylin Pharmaceuticals, Inc. 7,503 167
Webster Financial Corp. 3,634 167
Certegy, Inc. 5,064 166
* American Axle & Manufacturing Holdings, Inc. 4,106 166
Valeant Pharmaceuticals International 6,565 165
* AMR Corp. 12,741 165
Cummins Inc. 3,365 165
* Silicon Laboratories Inc. 3,801 164
* Gemstar-TV Guide International, Inc. 32,528 164
Cullen/Frost Bankers, Inc. 4,048 164
OGE Energy Corp. 6,788 164
* Marvel Enterprises Inc. 5,630 164
Mills Corp. REIT 3,721 164
Deluxe Corp. 3,961 164
HCC Insurance Holdings, Inc. 5,147 164
* Apogent Technologies Inc. 7,084 163
* Kinder Morgan Management, LLC 3,797 163
* Sepracor Inc. 6,787 162
* Westport Resources Corp. 5,424 162
Philadelphia Suburban Corp. 7,313 162
* Saks Inc. 10,745 162
People's Bank 4,949 161
Adolph Coors Co. Class B 2,874 161
* Varco International, Inc. 7,809 161
* Calpine Corp. 33,245 160
Cabot Corp. 4,980 159
* Integrated Circuit Systems, Inc. 5,544 158
* MEMC Electronic Materials, Inc. 16,391 158
Washington Federal Inc. 5,539 157
National Fuel Gas Co. 6,436 157
* Stericycle, Inc. 3,363 157
Reynolds & Reynolds Class A 5,400 157
W Holding Co., Inc. 8,424 157
Rayonier Inc. 3,775 157
* Renal Care Group, Inc. 3,797 156
Independence Community Bank Corp. 4,346 156
Medicis Pharmaceutical Corp. 2,191 156
* Polycom, Inc. 7,993 156
Waddell & Reed Financial, Inc. 6,635 156
* BearingPoint, Inc. 15,406 155
American Capital Strategies, Ltd. 5,222 155
Pier 1 Imports Inc. 7,090 155
* Sybase, Inc. 7,527 155
* 99 Cents Only Stores 5,670 154
18
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Thornburg Mortgage, Inc. REIT 5,672 154
Arden Realty Group, Inc. REIT 5,077 154
Teleflex Inc. 3,164 153
* Neurocrine Biosciences, Inc. 2,800 153
Lee Enterprises, Inc. 3,497 153
American Financial Group, Inc. 5,761 152
* National-Oilwell, Inc. 6,799 152
Snap-On Inc. 4,704 152
RPM International, Inc. 9,209 152
Polaris Industries, Inc. 1,706 151
Federal Realty Investment Trust REIT 3,920 150
AGL Resources Inc. 5,155 150
Westcorp, Inc. 4,094 150
Tootsie Roll Industries, Inc. 4,152 149
* Louisiana-Pacific Corp. 8,354 149
Graco, Inc. 3,724 149
Pan Pacific Retail Properties,Inc. REIT 3,129 149
* Scotts Co. 2,514 149
Harte-Hanks, Inc. 6,824 148
BancorpSouth, Inc. 6,257 148
* RF Micro Devices, Inc. 14,712 148
Claire's Stores, Inc. 7,834 148
* Sonus Networks, Inc. 19,508 147
StanCorp Financial Group, Inc. 2,343 147
Crane Co. 4,788 147
MDC Holdings, Inc. 2,281 147
Carlisle Co., Inc. 2,416 147
Nationwide Financial Services, Inc. 4,444 147
Ruby Tuesday, Inc. 5,152 147
* First Health Group Corp. 7,534 147
Vectren Corp. 5,946 147
* Timberland Co. 2,805 146
* Gen-Probe Inc. 4,000 146
* Applied Micro Circuits Corp. 24,299 145
Jefferies Group, Inc. 4,396 145
CBRL Group, Inc. 3,782 145
Jack Henry & Associates Inc. 7,017 144
Valhi, Inc. 9,626 144
Tidewater Inc. 4,818 144
Station Casinos, Inc. 4,695 144
Hawaiian Electric Industries Inc. 3,032 144
* Integrated Device Technology Inc. 8,360 144
* NBTY, Inc. 5,336 143
Oshkosh Truck Corp. 2,800 143
Health Care Inc. REIT 3,958 142
Global Payments Inc. 3,023 142
* Ultra Petroleum Corp. 5,778 142
* Martek Biosciences Corp. 2,184 142
Harsco Corp. 3,238 142
Raymond James Financial, Inc. 3,757 142
* DeVry, Inc. 5,626 141
Herman Miller, Inc. 5,809 141
* Swift Transportation Co., Inc. 6,704 141
* Andrew Corp. 12,226 141
International Bancshares Corp. 2,981 141
* Edwards Lifesciences Corp. 4,664 140
UCBH Holdings, Inc. 3,600 140
Talbots Inc. 4,552 140
* The Titan Corp. 6,403 140
* 7-Eleven, Inc. 8,685 139
* The Corporate Executive Board Co. 2,986 139
Camden Property Trust REIT 3,145 139
* BISYS Group, Inc. 9,358 139
Annaly Mortgage Management Inc. REIT 7,545 139
* Owens-Illinois, Inc. 11,657 139
Trustmark Corp. 4,718 138
The Timken Co. 6,872 138
Shurgard Storage Centers, Inc.Class A REIT 3,652 137
* Human Genome Sciences, Inc. 10,376 137
Regis Corp. 3,475 137
Ventas, Inc. REIT 6,237 137
* Advanced Fibre Communications, Inc. 6,787 137
* Borders Group, Inc. 6,232 137
CNF Inc. 4,019 136
* WFS Financial, Inc. 3,201 136
* AnnTaylor Stores Corp. 3,482 136
* Andrx Group 5,648 136
CBL & Associates Properties, Inc. REIT 2,403 136
IKON Office Solutions, Inc. 11,438 136
* Avocent Corp. 3,684 135
* Big Lots Inc. 9,428 134
Hudson United Bancorp 3,623 134
CenterPoint Properties Corp. REIT 1,784 134
Crescent Real Estate, Inc. REIT 7,800 134
* Performance Food Group Co. 3,687 133
F.N.B. Corp. 3,754 133
* Knight Trading Group, Inc. 9,067 133
* Semtech Corp. 5,832 133
Lubrizol Corp. 4,070 132
* Protein Design Labs, Inc. 7,362 132
* Yellow Roadway Corp. 3,637 132
Whitney Holdings Corp. 3,208 131
Patina Oil & Gas Corp. 2,675 131
* Alleghany Corp. 587 131
* Dynegy, Inc. 30,466 130
* Pacific Sunwear of California, Inc. 6,171 130
Thor Industries, Inc. 2,312 130
* INAMED Corp. 2,700 130
19
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Covance, Inc. 4,834 130
BRE Properties Inc. Class A REIT 3,876 129
* Allmerica Financial Corp. 4,207 129
Ametek, Inc. 2,679 129
* IDEXX Laboratories Corp. 2,792 129
IndyMac Bancorp, Inc. REIT 4,333 129
* Cymer, Inc. 2,794 129
Lancaster Colony Corp. 2,847 129
ArvinMeritor, Inc. 5,325 128
WPS Resources Corp. 2,772 128
Arch Coal, Inc. 4,111 128
Standard Pacific Corp. 2,638 128
Furniture Brands International Inc. 4,362 128
Florida Rock Industries, Inc. 2,328 128
Westamerica Bancorporation 2,564 127
Church & Dwight, Inc. 3,209 127
* Service Corp. International 23,560 127
* Allegheny Energy, Inc. 9,887 126
John Wiley & Sons Class A 4,845 126
First BanCorp Puerto Rico 3,183 126
* Activision, Inc. 6,908 126
* Earthlink, Inc. 12,551 126
* Respironics, Inc. 2,781 125
* Acxiom Corp. 6,748 125
Airgas, Inc. 5,824 125
Werner Enterprises, Inc. 6,416 125
* Techne Corp. 3,307 125
* BJ's Wholesale Club, Inc. 5,435 125
Cooper Tire & Rubber Co. 5,834 125
* STERIS Corp. 5,512 125
* Charles River Laboratories, Inc. 3,628 125
Roper Industries Inc. 2,528 125
* Interactive Data Corp. 7,506 124
* Grant Prideco, Inc. 9,532 124
Healthcare Realty Trust Inc. REIT 3,471 124
Peoples Energy Corp. 2,943 124
Media General, Inc. Class A 1,897 123
CarrAmerica Realty Corp. REIT 4,134 123
The South Financial Group, Inc. 4,416 123
Select Medical Corp. 7,548 123
First Midwest Bancorp, Inc. 3,786 123
Massey Energy Co. 5,891 123
* Varian Semiconductor Equipment Associates, Inc. 2,804 123
Provident Financial Group, Inc. 3,828 122
* Forest Oil Corp. 4,280 122
Ethan Allen Interiors, Inc. 2,917 122
* West Corp. 5,254 122
* Pharmaceutical Product Development, Inc. 4,515 122
* Ascential Software Corp. 4,694 122
Cooper Cos., Inc. 2,582 122
* Western Wireless Corp. Class A 6,615 121
* Valassis Communications, Inc. 4,130 121
Park National Corp. 1,071 121
Realty Income Corp. REIT 3,026 121
Western Gas Resources, Inc. 2,557 121
* Accredo Health, Inc. 3,821 121
Cousins Properties, Inc. REIT 3,947 121
NICOR Inc. 3,541 121
Worthington Industries, Inc. 6,684 121
* Gateway, Inc. 26,179 120
SL Green Realty Corp. REIT 2,933 120
Energen Corp. 2,932 120
* Cytyc Corp. 8,731 120
* Cytec Industries, Inc. 3,123 120
York International Corp. 3,255 120
* Bio-Rad Laboratories, Inc. Class A 2,074 120
* FMC Technologies Inc. 5,123 119
* AGCO Corp. 5,895 119
* Perot Systems Corp. 8,795 119
* Copart, Inc. 7,178 118
* Brocade Communications Systems, Inc. 20,464 118
UGI Corp. Holding Co. 3,488 118
Essex Property Trust, Inc. REIT 1,831 118
* Crown Holdings, Inc. 12,972 118
* The MONY Group Inc. 3,747 117
* Tom Brown, Inc. 3,609 116
* Zale Corp. 2,181 116
* OmniVision Technologies, Inc. 2,100 116
Delta Air Lines, Inc. 9,818 116
* United Rentals, Inc. 6,008 116
Piedmont Natural Gas, Inc. 2,661 116
* Avid Technology, Inc. 2,409 116
* Affiliated Managers Group, Inc. 1,661 116
* MKS Instruments, Inc. 3,983 116
Blyth, Inc. 3,583 115
* Micrel, Inc. 7,392 115
Briggs & Stratton Corp. 1,708 115
* Gartner, Inc. Class B 10,579 115
Greater Bay Bancorp 4,041 115
Trinity Industries, Inc. 3,727 115
AptarGroup Inc. 2,947 115
* Apria Healthcare Group Inc. 4,027 115
Old National Bancorp 5,015 115
Odyssey Re Holdings Corp. 5,080 115
* Dade Behring Holdings Inc. 3,200 114
Westar Energy, Inc. 5,646 114
* Emmis Communications, Inc. 4,216 114
Reader's Digest Association, Inc. 7,771 114
* ResMed Inc. 2,733 114
* Affymetrix, Inc. 4,610 113
Downey Financial Corp. 2,301 113
20
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Benchmark Electronics, Inc. 3,250 113
* Varian, Inc. 2,711 113
* Meridian Gold Co. 7,732 113
* IGEN International, Inc. 1,914 113
* American Greetings Corp. Class A 5,153 113
Hearst-Argyle Television Inc. 4,088 113
* Radio One, Inc. Class D 5,830 113
Kennametal, Inc. 2,827 112
* TIBCO Software Inc. 16,595 112
* Plantronics, Inc. 3,440 112
Polo Ralph Lauren Corp. 3,898 112
HRPT Properties Trust REIT 11,099 112
* Premcor, Inc. 4,300 112
* Sycamore Networks, Inc. 21,328 112
Reckson Associates Realty Corp. REIT 4,596 112
* ON Semiconductor Corp. 17,310 112
* Tractor Supply Co. 2,864 111
* Urban Outfitters, Inc. 3,000 111
* Electronics for Imaging, Inc. 4,270 111
New Century Financial Corp. 2,800 111
Helmerich & Payne, Inc. 3,976 111
* Hot Topic, Inc. 3,766 111
* UNOVA, Inc. 4,826 111
* CMS Energy Corp. 12,966 110
Winn-Dixie Stores, Inc. 11,051 110
* DoubleClick Inc. 10,745 110
Seagate Technology 5,800 110
Dillard's Inc. 6,654 110
Visteon Corp. 10,509 109
MAF Bancorp, Inc. 2,610 109
Extended Stay America, Inc. 7,552 109
United Bankshares, Inc. 3,502 109
Citizens Banking Corp. 3,331 109
Southwest Bancorporation of Texas, Inc. 2,801 109
AmerUs Group Co. 3,111 109
Highwood Properties, Inc. REIT 4,280 109
* Cerner Corp. 2,870 109
Alexander & Baldwin, Inc. 3,224 109
IDEX Corp. 2,610 109
* The Yankee Candle Co., Inc. 3,968 108
MSC Industrial Direct Co., Inc.Class A 3,943 108
Fresh Del Monte Produce Inc. 4,543 108
* Tetra Tech, Inc. 4,350 108
* Evergreen Resources, Inc. 3,326 108
* The Goodyear Tire & Rubber Co. 13,693 108
* The Medicines Co. 3,653 108
Hollinger International, Inc. 6,886 108
Beazer Homes USA, Inc. 1,100 107
* Terex Corp. 3,770 107
Prentiss Properties Trust REIT 3,247 107
* CACI International, Inc. 2,200 107
Allegheny Technologies Inc. 8,036 106
* Scholastic Corp. 3,118 106
* Conexant Systems, Inc. 21,354 106
Duquesne Light Holdings, Inc. 5,786 106
* Southern Union Co. 5,754 106
GATX Corp. 3,777 106
* United Stationers, Inc. 2,577 105
* Siliconix, Inc. 2,304 105
WGL Holdings Inc. 3,788 105
Great Lakes Chemical Corp. 3,864 105
* Lexar Media, Inc. 6,023 105
* Hercules, Inc. 8,590 105
* Key Energy Services, Inc. 10,156 105
Engineered Support Systems, Inc. 1,900 105
Staten Island Bancorp, Inc. 4,644 104
FactSet Research Systems Inc. 2,734 104
Thomas & Betts Corp. 4,557 104
* Akamai Technologies, Inc. 9,682 104
First Industrial Realty Trust REIT 3,077 104
* Linens 'n Things, Inc. 3,444 104
* Pediatrix Medical Group, Inc. 1,880 104
* OSI Pharmaceuticals, Inc. 3,214 104
* Dycom Industries, Inc. 3,856 103
* Quest Software, Inc. 7,280 103
* Skyworks Solutions, Inc. 11,858 103
* Anteon International Corp. 2,860 103
Imation Corp. 2,933 103
* Cree, Inc. 5,805 103
Modine Manufacturing Co. 3,804 103
* Southwestern Energy Co. 4,272 102
Joy Global Inc. 3,900 102
Diagnostic Products Corp. 2,220 102
* Fossil, Inc. 3,624 102
The Pep Boys (Manny, Moe & Jack) 4,434 101
* Alliance Gaming Corp. 4,088 101
* Cincinnati Bell Inc. 19,932 101
Fremont General Corp. 5,949 101
Invacare Corp. 2,490 101
Home Properties of New York,Inc. REIT 2,480 100
United Auto Group, Inc. 3,200 100
* R.H. Donnelley Corp. 2,514 100
First Citizens BancShares Class A 823 100
Callaway Golf Co. 5,926 100
* Vitesse Semiconductor Corp. 16,964 100
* Sylvan Learning Systems, Inc. 3,455 99
Flagstar Bancorp, Inc. 4,638 99
Pennsylvania REIT 2,735 99
21
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* FLIR Systems, Inc. 2,720 99
* K-V Pharmaceutical Co. Class A 3,892 99
* VCA Antech, Inc. 3,200 99
Atmos Energy Corp. 4,054 99
Washington REIT 3,370 98
The Brink's Co. 4,351 98
* MGI Pharma, Inc. 2,390 98
* CommScope, Inc. 6,012 98
* Trimble Navigation Ltd. 2,631 98
* Take-Two Interactive Software, Inc. 3,400 98
Pacific Capital Bancorp 2,660 98
* Alkermes, Inc. 7,250 98
* Transaction Systems Architects, Inc. 4,310 98
Speedway Motorsports, Inc. 3,368 97
Albemarle Corp. 3,246 97
* National Processing, Inc. 4,130 97
* Hyperion Solutions Corp. 3,223 97
Minerals Technologies, Inc. 1,637 97
* CEC Entertainment Inc. 2,044 97
Heritage Property InvestmentTrust REIT 3,400 97
* Choice Hotel International, Inc. 2,744 97
* P.F. Chang's China Bistro, Inc. 1,900 97
* Simpson Manufacturing Co. 1,900 97
East West Bancorp, Inc. 1,800 97
* Arbitron Inc. 2,315 97
Nordson Corp. 2,795 97
Chittenden Corp. 2,865 96
Commerce Group, Inc. 2,439 96
Winnebago Industries, Inc. 1,400 96
* Silicon Valley Bancshares 2,668 96
* Tuesday Morning Corp. 3,180 96
Fred's, Inc. 3,100 96
Hughes Supply, Inc. 1,935 96
Cognex Corp. 3,394 96
Corn Products International, Inc. 2,779 96
Overseas Shipholding Group Inc. 2,804 95
* Landstar System, Inc. 2,504 95
Avista Corp. 5,245 95
Florida East Coast Industries, Inc.Class A 2,868 95
* SCP Pool Corp. 2,900 95
* Kos Pharmaceuticals, Inc. 2,200 95
Equity One, Inc. REIT 5,599 95
* Therasense, Inc. 4,650 94
* Houston Exploration Co. 2,582 94
* Cabot Microelectronics Corp. 1,921 94
* Gaylord Entertainment Co. Class A 3,151 94
Heartland Express, Inc. 3,881 94
* MAXIMUS, Inc. 2,398 94
* Insight Enterprises, Inc. 4,991 94
* GrafTech International Ltd. 6,942 94
* NPS Pharmaceuticals Inc. 3,041 93
* FMC Corp. 2,735 93
* Aspect Communications Corp. 5,902 93
* Sonic Corp. 3,037 93
* NetFlix.com, Inc. 1,700 93
* Esperion Therapeutics, Inc. 2,683 93
* Coeur D'Alene Mines Corp. 16,061 93
* Charter Communications, Inc. 23,084 93
Ferro Corp. 3,407 93
The Toro Co. 1,994 93
* Cumulus Media Inc. 4,199 92
Commercial Federal Corp. 3,451 92
* Kronos, Inc. 2,327 92
* Teletech Holdings Inc. 8,151 92
American Financial Realty Trust REIT 5,400 92
* KEMET Corp. 6,710 92
21st Century Insurance Group 6,666 92
Albany International Corp. 2,700 92
* Wabash National Corp. 3,119 91
Sauer-Danfoss, Inc. 5,638 91
* Wright Medical Group, Inc. 3,000 91
Olin Corp. 4,551 91
* United Surgical Partners International, Inc. 2,725 91
* Mueller Industries Inc. 2,652 91
* Hain Celestial Group, Inc. 3,924 91
Flowers Foods, Inc. 3,526 91
* Panera Bread Co. 2,300 91
Nu Skin Enterprises, Inc. 5,309 91
* LifePoint Hospitals, Inc. 3,079 91
* American Eagle Outfitters, Inc. 5,529 91
* Cimarex Energy Co. 3,392 91
La-Z-Boy Inc. 4,315 91
* Interdigital Communications Corp. 4,382 90
Kellwood Co. 2,200 90
Hilb, Rogal and Hamilton Co. 2,808 90
UniSource Energy Corp. 3,650 90
Nationwide Health Properties,Inc. REIT 4,602 90
Texas Regional Bancshares, Inc. 2,431 90
* Flowserve Corp. 4,304 90
IDACORP, Inc. 3,000 90
* Alaris Medical Systems, Inc. 5,900 90
IMC Global Inc. 9,030 90
* Wynn Resorts Ltd. 3,200 90
Centex Construction Products, Inc. 1,482 89
* Encore Acquisition Co. 3,615 89
The Phoenix Cos., Inc. 7,400 89
22
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
The Trust Co. of New Jersey 2,245 89
* VISX Inc. 3,845 89
* US Oncology, Inc. 8,255 89
Strayer Education, Inc. 815 89
Superior Industries International, Inc. 2,037 89
* Philadelphia Consolidated Holding Corp. 1,813 89
Regal Entertainment Group Class A 4,300 88
* Steel Dynamics, Inc. 3,755 88
Bob Evans Farms, Inc. 2,717 88
* Macromedia, Inc. 4,937 88
* ESS Technology, Inc. 5,175 88
* Agere Systems Inc. Class A 28,759 88
* Arch Capital Group Ltd. 2,200 88
Brandywine Realty Trust REIT 3,274 88
* Nektar Therapeutics 6,424 87
Community First Bankshares, Inc. 3,021 87
* Kroll Inc. 3,360 87
PNM Resources Inc. 3,099 87
* Catalina Marketing Corp. 4,317 87
USEC Inc. 10,355 87
Alexandria Real Estate Equities,Inc. REIT 1,500 87
* Ocular Sciences, Inc. 3,025 87
* Ligand Pharmaceuticals Inc.Class B 5,900 87
* Stone Energy Corp. 2,041 87
Texas Industries, Inc. 2,341 87
Delphi Financial Group, Inc. 2,406 87
* LTX Corp. 5,744 86
Mentor Corp. 3,580 86
* United Online, Inc. 5,130 86
* Microsemi Corp. 3,500 86
Novastar Financial, Inc. REIT 2,000 86
* Tularik, Inc. 5,303 86
* Lattice Semiconductor Corp. 8,845 86
United Community Banks, Inc. 2,600 86
* McDATA Corp. Class A 8,973 86
* Beverly Enterprises, Inc. 9,947 85
Acuity Brands, Inc. 3,311 85
* AMERIGROUP Corp. 2,000 85
* Triad Guaranty, Inc. 1,694 85
* Sunrise Senior Living, Inc. 2,200 85
Corus Bankshares Inc. 2,698 85
* Actuant Corp. 2,352 85
* Abgenix, Inc. 6,832 85
* Macrovision Corp. 3,764 85
* Pacer International, Inc. 4,200 85
* La Quinta Corp. REIT 13,201 85
Perrigo Co. 5,381 85
* Silgan Holdings, Inc. 1,986 85
PS Business Parks, Inc. REIT 2,049 85
* Intergraph Corp. 3,523 84
* Northwest Airlines Corp. Class A 6,676 84
First Niagara Financial Group, Inc. 5,649 84
* Silicon Storage Technology, Inc. 7,650 84
A.O. Smith Corp. 2,400 84
* Ohio Casualty Corp. 4,844 84
* Inveresk Research Group Inc. 3,400 84
* Mentor Graphics Corp. 5,775 84
Universal Corp. (VA) 1,901 84
* Adolor Corp. 4,184 84
* Waste Connections, Inc. 2,216 84
MacDermid, Inc. 2,444 84
Longs Drug Stores, Inc. 3,382 84
Clarcor Inc. 1,894 84
* Aztar Corp. 3,711 83
Georgia Gulf Corp. 2,891 83
Arrow International, Inc. 3,342 83
* Ask Jeeves, Inc. 4,605 83
* Vicuron Pharmaceuticals Inc. 4,466 83
* Continental Airlines, Inc. Class B 5,119 83
* Spinnaker Exploration Co. 2,576 83
Reliance Steel & Aluminum Co. 2,500 83
* Wireless Facilities, Inc. 5,579 83
* Sybron Dental Specialties, Inc. 2,949 83
Maguire Properties, Inc. REIT 3,400 83
* Cox Radio, Inc. 3,272 83
* Anixter International Inc. 3,186 82
IHOP Corp. 2,141 82
Brady Corp. Class A 2,020 82
* PSS World Medical, Inc. 6,807 82
* AirTran Holdings, Inc. 6,898 82
* FileNET Corp. 3,030 82
* Odyssey Healthcare, Inc. 2,800 82
MB Financial, Inc. 2,250 82
National Health Investors REIT 3,290 82
* Rogers Corp. 1,855 82
Skywest, Inc. 4,516 82
* Adaptec, Inc. 9,264 82
Santander BanCorp 3,358 82
New Jersey Resources Corp. 2,123 82
BankAtlantic Bancorp, Inc. Class A 4,301 82
* Parametric Technology Corp. 20,716 82
* Magnum Hunter Resources Inc. 8,580 82
* Scientific Games Corp. 4,796 82
Lennox International Inc. 4,884 82
* Axcelis Technologies, Inc. 7,974 81
CARBO Ceramics Inc. 1,590 81
Chemical Financial Corp. 2,236 81
* The Children's Place RetailStores, Inc. 3,043 81
Northwest Bancorp, Inc. 3,808 81
23
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Gables Residential Trust REIT 2,341 81
* Unit Corp. 3,452 81
* Cyberonics, Inc. 2,538 81
NDCHealth Corp. 3,170 81
* UnitedGlobalCom Inc. Class A 9,565 81
* Aeroflex, Inc. 6,936 81
Cabot Oil & Gas Corp. 2,762 81
* ExpressJet Holdings, Inc. 5,400 81
* Align Technology, Inc. 4,900 81
* Priority Healthcare Corp. Class B 3,353 81
Black Box Corp. 1,753 81
Post Properties, Inc. REIT 2,891 81
* Sapient Corp. 14,387 81
* Quicksilver Resources, Inc. 2,494 81
* Brooks Automation, Inc. 3,332 81
* McDermott International, Inc. 6,735 80
* Kulicke & Soffa Industries, Inc. 5,595 80
Alfa Corp. 6,254 80
Alpharma, Inc. Class A 3,999 80
* Ralcorp Holdings, Inc. 2,562 80
* FEI Co. 3,565 80
* Universal Compression
Holdings, Inc. 3,062 80
Capital Automotive REIT 2,500 80
Kelly Services, Inc. Class A 2,803 80
* Coherent, Inc. 3,357 80
Boyd Gaming Corp. 4,950 80
The Manitowoc Co., Inc. 2,555 80
Lincoln Electric Holdings, Inc. 3,222 80
* United Defense Industries Inc. 2,500 80
Oakley, Inc. 5,757 80
Taubman Co. REIT 3,866 80
* Kindred Healthcare, Inc. 1,532 80
Burlington Coat Factory
Warehouse Corp. 3,763 80
* Applera Corp.-
Celera Genomics Group 5,723 80
Tupperware Corp. 4,586 80
* Aeropostale, Inc. 2,900 80
* CompuCredit Corp. 3,732 79
Matthews International Corp. 2,682 79
* WCI Communities, Inc. 3,850 79
* Corrections Corp. of America REIT 2,750 79
Amcore Financial, Inc. 2,934 79
LandAmerica Financial Group, Inc. 1,516 79
* ILEX Oncology, Inc. 3,724 79
Casey's General Stores, Inc. 4,478 79
Kilroy Realty Corp. REIT 2,414 79
Longview Fibre Co. 6,400 79
Ruddick Corp. 4,415 79
Banta Corp. 1,948 79
CVB Financial Corp. 4,090 79
Irwin Financial Corp. 2,511 79
Walter Industries, Inc. 5,891 79
* Internet Security Systems, Inc. 4,172 79
Impac Mortgage Holdings,
Inc. REIT 4,300 78
Rollins, Inc. 3,468 78
UMB Financial Corp. 1,645 78
Senior Housing Properties
Trust REIT 4,534 78
FBL Financial Group, Inc. Class A 3,027 78
* CNET Networks, Inc. 11,443 78
First Sentinel Bancorp Inc. 3,704 78
Susquehanna Bancshares, Inc. 3,118 78
Black Hills Corp. 2,612 78
Dime Community Bancshares 2,530 78
Potlatch Corp. 2,237 78
Colonial Properties Trust REIT 1,963 78
* Navigant Consulting, Inc. 4,120 78
* Electro Scientific Industries, Inc. 3,259 78
* Kansas City Southern 5,407 77
Brookline Bancorp, Inc. 5,044 77
* Digital Insight Corp. 3,101 77
* RealNetworks, Inc. 13,516 77
* Magma Design Automation, Inc. 3,300 77
* Men's Wearhouse, Inc. 3,079 77
* MPS Group, Inc. 8,234 77
* Tejon Ranch Co. 1,877 77
* WebEx Communications, Inc. 3,829 77
Cathay General Bancorp 1,382 77
* Dionex Corp. 1,672 77
* Renaissance Learning, Inc. 3,186 77
Republic Bancorp, Inc. 5,687 77
ABM Industries Inc. 4,406 77
* Tekelec 4,933 77
* Journal Register Co. 3,704 77
Spartech Corp. 3,108 77
R.L.I. Corp. 2,044 77
TrustCo Bank NY 5,822 77
State Auto Financial Corp. 3,271 77
* Rayovac Corp. 3,638 76
* AAR Corp. 5,094 76
* Power Integrations, Inc. 2,275 76
* Keane, Inc. 5,197 76
Hancock Holding Co. 1,392 76
Granite Construction Co. 3,233 76
Wabtec Corp. 4,454 76
* Helen of Troy Ltd. 3,272 76
H.B. Fuller Co. 2,546 76
Syntel, Inc. 3,063 76
Arkansas Best Corp. 2,400 75
Summit Properties, Inc. REIT 3,136 75
* Informatica Corp. 7,308 75
24
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Weis Markets, Inc. 2,072 75
* Cirrus Logic 9,805 75
* Cal Dive International, Inc. 3,118 75
LNR Property Corp. 1,518 75
* Symyx Technologies, Inc. 3,656 75
* Alaska Air Group, Inc. 2,745 75
* Commonwealth Telephone
Enterprises, Inc. 1,984 75
Cleco Corp. 4,164 75
* FTI Consulting, Inc. 3,200 75
* Exar Corp. 4,377 75
* CUNO Inc. 1,660 75
* Group 1 Automotive, Inc. 2,062 75
* Kyphon Inc. 3,000 74
First Commonwealth Financial Corp. 5,215 74
BlackRock, Inc. 1,400 74
* Quiksilver, Inc. 4,190 74
* Manhattan Associates, Inc. 2,684 74
* Rare Hospitality International Inc. 3,030 74
Delta & Pine Land Co. 2,913 74
* Esterline Technologies Corp. 2,774 74
Harleysville National Corp. 2,457 74
Watsco, Inc. 3,253 74
* Knight Transportation, Inc. 2,880 74
* Penn National Gaming, Inc. 3,200 74
First Financial Bankshares, Inc. 1,770 74
NACCO Industries, Inc. Class A 824 74
* TriQuint Semiconductor, Inc. 10,426 74
City Holding Co. 2,106 74
Sonic Automotive, Inc. 3,213 74
* Openwave Systems Inc. 6,694 74
John H. Harland Co. 2,696 74
* eFunds Corp. 4,242 74
* Advanced Neuromodulation
Systems, Inc. 1,600 74
* InfoSpace, Inc. 3,189 74
Tecumseh Products Co. Class A 1,512 73
* Altiris, Inc. 2,000 73
Bandag, Inc. 1,769 73
Redwood Trust, Inc. REIT 1,431 73
* Korn/Ferry International 5,453 73
* InVision Technologies, Inc. 2,164 73
Waypoint Financial Corp. 3,348 73
Commercial Net Lease Realty REIT 4,079 73
S & T Bancorp, Inc. 2,428 73
* TBC Corp. 2,811 73
* eResearch Technology, Inc. 2,850 72
* Genencor International Inc. 4,597 72
Liberty Corp. 1,601 72
USF Corp. 2,116 72
* Power-One, Inc. 6,665 72
* ProQuest Co. 2,451 72
* Entegris Inc. 5,613 72
ADVO, Inc. 2,269 72
* Newport Corp. 4,356 72
* Ultratech, Inc. 2,448 72
* EGL, Inc. 4,090 72
Wolverine World Wide, Inc. 3,519 72
Sovran Self Storage, Inc. REIT 1,930 72
Greif Inc. Class A 2,019 72
Commercial Metals Co. 2,354 72
St. Mary Land & Exploration Co. 2,510 72
Sensient Technologies Corp. 3,612 71
* Technitrol, Inc. 3,443 71
Kaydon Corp. 2,757 71
* OM Group, Inc. 2,720 71
Startek, Inc. 1,746 71
Manufactured Home
Communities, Inc. REIT 1,887 71
* Photronics Inc. 3,560 71
* Wind River Systems Inc. 8,095 71
* Province Healthcare Co. 4,425 71
* Comstock Resources, Inc. 3,665 71
* Meritage Corp. 1,066 71
CH Energy Group, Inc. 1,506 71
* Payless ShoeSource, Inc. 5,268 71
* Viasys Healthcare Inc. 3,425 71
* Advanced Digital Information Corp. 5,031 70
* URS Corp. 2,809 70
* First Federal Financial Corp. 1,615 70
Millennium Chemicals, Inc. 5,540 70
MGE Energy, Inc. 2,221 70
* Oceaneering International, Inc. 2,499 70
Baldor Electric Co. 3,061 70
* The Sports Authority, Inc. 1,821 70
Wintrust Financial Corp. 1,550 70
* Entravision Communications Corp. 6,283 70
Crompton Corp. 9,725 70
* SEACOR SMIT Inc. 1,659 70
* Cost Plus, Inc. 1,700 70
Handleman Co. 3,392 70
Provident Bankshares Corp. 2,364 70
* CSK Auto Corp. 3,706 70
Pilgrim's Pride Corp. 4,258 70
K-Swiss, Inc. 2,888 69
Harbor Florida Bancshares, Inc. 2,335 69
* Ariba, Inc. 23,121 69
Mine Safety Appliances Co. 872 69
* Select Comfort Corp. 2,800 69
* FormFactor Inc. 3,500 69
* ATMI, Inc. 2,993 69
Carpenter Technology Corp. 2,340 69
25
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Maverick Tube Corp. 3,582 69
* Photon Dynamics, Inc. 1,713 69
AMCOL International Corp. 3,408 69
* ChipPAC, Inc. 9,068 69
* Stage Stores, Inc. 2,465 69
* Hewitt Associates, Inc. 2,300 69
* Integra LifeSciences Holdings 2,400 69
Northwest Natural Gas Co. 2,233 69
* Armor Holdings, Inc. 2,600 68
Zenith National Insurance Corp. 2,101 68
Central Pacific Financial Co. 2,276 68
* Credit Acceptance Corp. 4,466 68
* Borland Software Corp. 7,021 68
Grey Global Group Inc. 100 68
* Nuevo Energy Co. 2,826 68
* Vignette Corp. 29,966 68
Glimcher Realty Trust REIT 3,038 68
Vintage Petroleum, Inc. 5,631 68
* Hanover Compressor Co. 6,075 68
Southwest Gas Corp. 3,016 68
A. Schulman Inc. 3,174 68
* California Amplifier, Inc. 4,800 68
* Price Communications Corp. 4,917 68
Tredegar Corp. 4,344 67
* American Management
Systems, Inc. 4,473 67
* Advanced Energy Industries, Inc. 2,587 67
* Offshore Logistics, Inc. 2,748 67
G & K Services, Inc. Class A 1,833 67
* Sierra Pacific Resources 9,150 67
* Mediacom Communications Corp. 7,745 67
* Opsware, Inc. 9,072 67
* Investment Technology Group, Inc. 4,156 67
Owens & Minor, Inc. Holding Co. 3,061 67
Brookfield Homes Corp. 2,600 67
* Ocwen Financial Corp. 7,537 67
* Closure Medical Corp. 1,964 67
Net.Bank, Inc. 4,980 66
* ArthroCare Corp. 2,713 66
* BankUnited Financial Corp. 2,577 66
* Epicor Software Corp. 5,197 66
* Quanta Services, Inc. 9,079 66
* Shaw Group, Inc. 4,862 66
* Sotheby's Holdings Class A 4,837 66
* Ryan's Family Steak Houses, Inc. 4,362 66
Sun Communities, Inc. REIT 1,706 66
Landry's Restaurants, Inc. 2,563 66
Federal Signal Corp. 3,758 66
* Extreme Networks, Inc. 9,124 66
* ValueClick, Inc. 7,237 66
The Laclede Group, Inc. 2,300 66
* Jack in the Box Inc. 3,070 66
* NeighborCare Inc. 3,319 66
* Verint Systems Inc. 2,900 65
* Ionics, Inc. 2,050 65
* Exult Inc. 9,154 65
* Haemonetics Corp. 2,728 65
EDO Corp. 2,640 65
* Systems & Computer
Technology Corp. 3,975 65
* Hollywood Entertainment Corp. 4,724 65
Barra, Inc. 1,829 65
Horace Mann Educators Corp. 4,645 65
Community Bank System, Inc. 1,324 65
First Financial Bancorp 4,067 65
* Credence Systems Corp. 4,927 65
* Plug Power, Inc. 8,936 65
* Technical Olympic USA, Inc. 2,351 65
Surewest Communications 1,600 65
* RSA Security Inc. 4,550 65
* Argosy Gaming Co. 2,479 64
Regal-Beloit Corp. 2,927 64
* WMS Industries, Inc. 2,455 64
* ProAssurance Corp. 2,000 64
* Labor Ready, Inc. 4,896 64
* United Therapeutics Corp. 2,794 64
Getty Realty Holding Corp. REIT 2,451 64
* Energy Partners, Ltd. 4,608 64
Glatfelter 5,139 64
* Ixia 5,467 64
First Essex Bancorp, Inc. 1,100 64
* Zymogenetics, Inc. 4,125 64
JLG Industries, Inc. 4,196 64
Kenneth Cole Productions, Inc. 2,172 64
* Primus Telecommunications
Group, Inc. 6,270 64
* The Warnaco Group, Inc. 4,000 64
Empire District Electric Co. 2,904 64
* THQ Inc. 3,764 64
* SERENA Software, Inc. 3,463 64
* Chiquita Brands International, Inc. 2,816 63
GenCorp, Inc. 5,889 63
* Spanish Broadcasting System, Inc. 6,039 63
* Secure Computing Corp. 3,540 63
Charter Financial Corp. 1,700 63
* Intuitive Surgical, Inc. 3,706 63
* NetIQ Corp. 4,779 63
* Integrated Silicon Solution, Inc. 4,033 63
Vector Group Ltd. 3,872 63
* PRIMEDIA Inc. 22,261 63
* Advanced Medical Optics, Inc. 3,198 63
* Sola International Inc. 3,342 63
26
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
United National Bancorp 1,758 63
* Wesco International, Inc. 7,091 63
Cubic Corp. 2,724 63
* CTI Molecular Imaging, Inc. 3,700 63
* Enterasys Networks, Inc. 16,652 62
* eSPEED, Inc. Class A 2,667 62
* Mykrolis Corp. 3,881 62
* SupportSoft, Inc. 4,741 62
UIL Holdings Corp. 1,379 62
Schweitzer-Mauduit
International, Inc. 2,085 62
CDI Corp. 1,894 62
* Hutchinson Technology, Inc. 2,016 62
Value Line, Inc. 1,237 62
* Ciber, Inc. 7,113 62
* SonicWALL, Inc. 7,891 62
* NetRatings, Inc. 5,380 61
First Federal Capital Corp. 2,727 61
* TTM Technologies, Inc. 3,634 61
Arch Chemicals, Inc. 2,388 61
* Progress Software Corp. 2,991 61
Cash America International Inc. 2,888 61
* DSP Group Inc. 2,453 61
* United Natural Foods, Inc. 1,700 61
* Vertex Pharmaceuticals, Inc. 5,967 61
NBT Bancorp, Inc. 2,847 61
* Titanium Metals Corp. 1,161 61
* GlobespanVirata, Inc. 10,363 61
Stewart Information
Services Corp. 1,500 61
* Clark, Inc. 3,160 61
* American Italian Pasta Co. 1,451 61
* InterMune Inc. 2,625 61
* PAREXEL International Corp. 3,738 61
* Mesa Air Group Inc. 4,847 61
* Consolidated Graphics, Inc. 1,921 61
Anchor Bancorp Wisconsin Inc. 2,434 61
* Genta Inc. 5,819 61
* Arris Group Inc. 8,355 60
* American Pharmaceuticals
Partners, Inc. 1,800 60
* Centennial Communications
Corp. Class A 11,480 60
C & D Technologies, Inc. 3,149 60
Otter Tail Corp. 2,258 60
* Jones Lang Lasalle Inc. 2,908 60
* IDX Systems Corp. 2,243 60
* Corvis Corp. 35,365 60
* Global Industries Ltd. 11,658 60
* Regeneron Pharmaceuticals, Inc. 4,081 60
Universal Health Realty
Income REIT 1,994 60
Frontier Oil Corp. 3,476 60
* RailAmerica, Inc. 5,070 60
* CSG Systems International, Inc. 4,789 60
* Embarcadero Technologies, Inc. 3,748 60
* F5 Networks, Inc. 2,378 60
* Noven Pharmaceuticals, Inc. 3,923 60
MTS Systems Corp. 3,100 60
* Six Flags, Inc. 7,923 60
* Charming Shoppes, Inc. 11,006 59
* Specialty Laboratories, Inc. 3,533 59
Great American Financial
Resources, Inc. 3,654 59
* Atwood Oceanics, Inc. 1,854 59
* Nabi Biopharmaceuticals 4,658 59
Franklin Electric, Inc. 978 59
Bel Fuse, Inc. Class A 1,977 59
ElkCorp 2,210 59
* CIMA Labs Inc. 1,808 59
PFF Bancorp, Inc. 1,624 59
* Swift Energy Co. 3,491 59
* Checkpoint Systems, Inc. 3,110 59
* Dollar Thrifty Automotive
Group, Inc. 2,267 59
* NCI Building Systems, Inc. 2,460 59
First Republic Bank 1,641 59
* PDI, Inc. 2,191 59
First Charter Corp. 3,003 59
Christopher & Banks Corp. 3,000 59
* Websense, Inc. 2,000 58
* Alexander's, Inc. REIT 469 58
Blockbuster Inc. Class A 3,257 58
Barnes Group, Inc. 1,809 58
* Denbury Resources, Inc. 4,200 58
* KCS Energy, Inc. 5,533 58
* Per-Se Technologies, Inc. 3,825 58
* CoStar Group, Inc. 1,400 58
* UICI 4,389 58
* Superior Energy Services, Inc. 6,200 58
Holly Corp. 2,118 58
Mid-State Bancshares 2,287 58
* Digitas Inc. 6,238 58
* Boca Resorts, Inc. Class A 3,883 58
* Grey Wolf, Inc. 15,529 58
* ValueVision Media, Inc. 3,477 58
* Palm Harbor Homes, Inc. 3,245 58
Wausau-Mosinee Paper Corp. 4,286 58
Chesapeake Corp. of Virginia 2,187 58
* bebe stores, inc 2,228 58
Cambrex Corp. 2,289 58
* The Dress Barn, Inc. 3,854 58
Hudson River Bancorp. Inc. 1,480 58
* Dendrite International, Inc. 3,681 58
27
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
The Marcus Corp. 3,516 58
* Impax Laboratories, Inc. 4,000 58
* Digital River, Inc. 2,604 58
Westbanco Inc. 2,076 57
Kimball International, Inc. Class B 3,691 57
* William Lyon Homes, Inc. 914 57
* Time Warner Telecom Inc. 5,653 57
* Electronics Boutique Holdings Corp. 2,500 57
* Zoran Corp. 3,285 57
* Stewart Enterprises, Inc. Class A 10,041 57
Kansas City Life Insurance Co. 1,231 57
Equity Inns, Inc. REIT 6,282 57
* AmSurg Corp. 1,500 57
Woodward Governor Co. 1,000 57
* Lin TV Corp. 2,200 57
* Cross Country Healthcare, Inc. 3,800 57
* Papa John's International, Inc. 1,697 57
* TETRA Technologies, Inc. 2,335 57
Interstate Bakeries Corp. 3,974 57
* Mastec Inc. 3,811 56
* Safeguard Scientifics, Inc. 13,946 56
* Finisar Corp. 17,994 56
* Local Financial Corp. 2,702 56
First Financial Corp. (IN) 1,876 56
* NCO Group, Inc. 2,470 56
* Plexus Corp. 3,274 56
* Aquila, Inc. 16,582 56
* Sinclair Broadcast Group, Inc. 3,767 56
* Thoratec Corp. 4,317 56
* SRA International, Inc. 1,300 56
* Silicon Image, Inc. 7,742 56
* Playboy Enterprises, Inc. Class B 3,463 56
* Digene Corp. 1,394 56
Hooper Holmes, Inc. 9,039 56
* Leapfrog Enterprises, Inc. 2,100 56
* MedQuist, Inc. 3,464 56
Helix Technology Corp. 2,701 56
Sterling Bancshares, Inc. 4,166 56
Belden, Inc. 2,633 56
Boston Private Financial
Holdings, Inc. 2,231 55
* Spherion Corp. 5,660 55
* Sykes Enterprises, Inc. 6,471 55
Movado Group, Inc. 1,962 55
* OMI Corp. 6,200 55
* Interwoven Inc. 4,379 55
* Quantum Corp. 17,735 55
* RehabCare Group, Inc. 2,600 55
* Buckeye Technology, Inc. 5,499 55
* Crown Media Holdings, Inc. 6,671 55
Independent Bank Corp. (MA) 1,909 55
* The Gymboree Corp. 3,192 55
* I-STAT Corp. 3,587 55
Koger Equity, Inc. REIT 2,621 55
* Fleetwood Enterprises, Inc. 5,342 55
Cato Corp. Class A 2,672 55
* PolyOne Corp. 8,571 55
Riviana Foods, Inc. 1,997 55
* Zoll Medical Corp. 1,541 55
Gold Banc Corp., Inc. 3,888 55
* USG Corp. 3,299 55
* Cray Inc. 5,500 55
* Powerwave Technologies, Inc. 7,139 55
* CorVel Corp. 1,452 55
* Tyler Technologies, Inc. 5,666 55
* International Steel Group, Inc. 1,400 55
* Intermagnetics General Corp. 2,460 55
* S1 Corp. 6,755 54
Southern Peru Copper Corp. 1,153 54
* SuperGen, Inc. 4,928 54
Advanta Corp. Class A 4,170 54
* Priceline.com, Inc. 3,023 54
Parkway Properties Inc. REIT 1,300 54
* Artisan Components, Inc. 2,636 54
* Global Imaging Systems, Inc. 1,700 54
* Administaff, Inc. 3,104 54
* Rainbow Technologies, Inc. 4,789 54
* Dobson Communications Corp. 8,200 54
* Ameristar Casinos, Inc. 2,200 54
Crawford & Co. Class B 7,625 54
LaBranche & Co. Inc. 4,605 54
Harleysville Group, Inc. 2,700 54
* ShopKo Stores, Inc. 3,520 54
* Onyx Pharmaceuticals, Inc. 1,900 54
Great Southern Bancorp, Inc. 1,156 54
* Orbital Sciences Corp. 4,451 54
Glacier Bancorp, Inc. 1,650 53
Seacoast Financial Services Corp. 1,949 53
* ANSYS, Inc. 1,344 53
Lance, Inc. 3,549 53
Glenborough Realty Trust, Inc. REIT 2,672 53
* Financial Federal Corp. 1,743 53
* Ventana Medical Systems, Inc. 1,349 53
Resource America, Inc. 3,534 53
* Cole National Corp. Class A 2,650 53
* Advent Software, Inc. 3,040 53
Gray Television, Inc. 3,500 53
* Playtex Products, Inc. 6,835 53
* PalmOne, Inc. 4,494 53
Coachmen Industries, Inc. 2,915 53
* EMCOR Group, Inc. 1,200 53
Correctional Properties Trust REIT 1,826 53
* PTEK Holdings, Inc. 5,968 53
Superior Uniform Group, Inc. 3,193 53
28
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Tower Automotive, Inc. 7,675 52
* McMoRan Exploration Co. 2,795 52
* aQuantive, Inc. 5,110 52
* Caraustar Industries, Inc. 3,795 52
* Old Dominion Freight Line, Inc. 1,536 52
* Remington Oil & Gas Corp. 2,658 52
* Transmeta Corp. 15,389 52
* USI Holdings Corp. 4,000 52
* Mindspeed Technologies, Inc. 7,618 52
First Source Corp. 2,422 52
* TransMontaigne Inc. 8,059 52
* Insituform Technologies Inc. Class A 3,150 52
* DuPont Photomasks, Inc. 2,152 52
* Steak n Shake Co. 2,900 52
Capital City Bank Group, Inc. 1,125 52
* Transkaryotic Therapies, Inc. 3,314 52
* Stillwater Mining Co. 5,386 52
Quaker City Bancorp, Inc. 1,107 52
Schnitzer Steel Industries, Inc.
Class A 850 51
* Shuffle Master, Inc. 1,484 51
* Littelfuse, Inc. 1,782 51
* Mattson Technology, Inc. 4,200 51
* Trammell Crow Co. 3,872 51
World Fuel Services Corp. 1,511 51
Corporate Office Properties
Trust, Inc. REIT 2,440 51
* 1-800-FLOWERS.COM, Inc. 4,632 51
* CMGI Inc. 28,755 51
* S&K Famous Brands Inc. 2,967 51
* OPNET Technologies, Inc. 3,104 51
* Cell Genesys, Inc. 3,948 51
* FelCor Lodging Trust, Inc. REIT 4,608 51
* Agile Software Corp. 5,155 51
* JDA Software Group, Inc. 3,088 51
Standard Commercial Tobacco Co. 2,540 51
* Ventiv Health, Inc. 5,562 51
CTS Corp. 4,421 51
* Aviall Inc. 3,273 51
* FARO Technologies, Inc. 2,032 51
* Too Inc. 3,006 51
* Wilson Greatbatch
Technologies, Inc. 1,200 51
* Remec, Inc. 6,030 51
* General Maritime Corp. 2,880 51
* Echelon Corp. 4,549 51
* Enzo Biochem, Inc. 2,827 51
* Inet Technologies, Inc. 4,212 51
* Vail Resorts Inc. 2,972 51
* Imagistics International Inc. 1,347 51
* Movie Gallery, Inc. 2,700 50
Steelcase Inc. 3,510 50
* Tanox, Inc. 3,394 50
* Maxygen Inc. 4,741 50
* Mapics Inc. 3,848 50
* CardioDynamics International Corp. 8,432 50
* Pixelworks, Inc. 4,556 50
* webMethods, Inc. 5,497 50
* aaiPharma Inc. 2,000 50
* K2 Inc. 3,291 50
Rock-Tenn Co. 2,900 50
* Covansys Corp. 4,540 50
* Manugistics Group, Inc. 7,983 50
Comm Bancorp, Inc. 1,339 50
American Home Mortgage
Investment Corp. 2,214 50
* Newpark Resources, Inc. 10,383 50
Bryn Mawr Bank Corp. 2,030 50
* AK Steel Corp. 9,745 50
Watts Industries Class A 2,238 50
* Hecla Mining Co. 5,992 50
* j2 Global Communications, Inc. 1,996 49
* Isle of Capri Casinos, Inc. 2,300 49
Stewart & Stevenson Services, Inc. 3,513 49
McGrath Rent Corp. 1,808 49
* iGATE Corp. 6,274 49
* Jarden Corp. 1,800 49
* Kadant Inc. 2,272 49
* Keynote Systems Inc. 4,129 49
Curtiss-Wright Corp. Class B 1,094 49
Central Parking Corp. 3,284 49
* Maxim Pharmaceuticals, Inc. 5,504 49
* USANA Health Sciences, Inc. 1,600 49
Central Vermont Public
Service Corp. 2,082 49
* Prime Hospitality Corp. 4,794 49
* Radio One, Inc. 2,500 49
* The Advisory Board Co. 1,400 49
Presidential Life Corp. 3,711 49
Anthracite Capital Inc. REIT 4,411 49
First Financial Holdings, Inc. 1,562 49
Interchange Financial
Services Corp. 1,925 49
* Teledyne Technologies, Inc. 2,582 49
* HomeStore, Inc. 10,278 49
First Place Financial Corp. 2,489 49
* Ace Cash Express, Inc. 2,283 49
* Packeteer, Inc. 2,854 48
* A.C. Moore Arts & Crafts, Inc. 2,514 48
* MRO Software Inc. 3,596 48
* Zygo Corp. 2,931 48
* General Binding Corp. 2,685 48
29
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
Berry Petroleum Class A 2,385 48
* American Medical Security
Group, Inc. 2,153 48
* Medarex, Inc. 7,745 48
* Albany Molecular Research, Inc. 3,206 48
* Plains Exploration & Production Co. 3,127 48
Oriental Financial Group Inc. 1,872 48
Wayne Savings Bancshares, Inc. 2,673 48
* Finish Line, Inc. 1,600 48
* Insight Communications Co., Inc. 4,648 48
* Jacuzzi Brands, Inc. 6,753 48
* Dendreon Corp. 5,937 48
* ViaSat, Inc. 2,500 48
* E.piphany Inc. 6,636 48
* Mercury Computer Systems, Inc. 1,921 48
NL Industries, Inc. 4,088 48
EastGroup Properties, Inc. REIT 1,475 48
R & G Financial Corp. Class B 1,200 48
Town & Country Trust REIT 1,884 48
* Accredited Home Lenders
Holding Co. 1,560 48
* AMN Healthcare Services, Inc. 2,781 48
Vital Signs, Inc. 1,457 48
* Centene Corp. 1,700 48
* Bright Horizons Family
Solutions, Inc. 1,133 48
* Cable Design Technologies Corp. 5,292 48
Riggs National Corp. 2,878 48
Gevity HR, Inc. 2,138 48
* Orthodontic Centers of
America, Inc. 5,896 47
* MICROS Systems, Inc. 1,094 47
* Aspect Medical Systems, Inc. 4,154 47
* Duane Reade Inc. 2,800 47
* Molecular Devices Corp. 2,494 47
* FalconStor Software, Inc. 5,418 47
* Lakes Entertainment, Inc. 2,931 47
* Triumph Group, Inc. 1,300 47
* Ulticom, Inc. 4,897 47
* Encore Wire Corp. 2,667 47
* Radiant Systems, Inc. 5,607 47
* Pinnacle Systems, Inc. 5,519 47
First Community Bancorp 1,300 47
* Exelixis, Inc. 6,633 47
* CONMED Corp. 1,972 47
* Infonet Services Corp. 27,586 47
* Quality Systems, Inc. 1,051 47
Independent Bank Corp. (MI) 1,650 47
* Encysive Pharmaceuticals, Inc. 5,223 47
* Veeco Instruments, Inc. 1,654 47
Russell Corp. 2,654 47
Umpqua Holdings Corp. 2,240 47
* Micromuse Inc. 6,747 47
Suffolk Bancorp 1,348 47
* World Acceptance Corp. 2,327 46
* SOURCECORP, Inc. 1,805 46
* GameStop Corp. 3,000 46
National Presto Industries, Inc. 1,274 46
* CNA Surety Corp. 4,842 46
* Telik, Inc. 2,000 46
* International Multifoods Corp. 2,555 46
* Watson Wyatt & Co. Holdings 1,900 46
* EMS Technologies, Inc. 2,231 46
* Forward Air Corp. 1,664 46
Curtiss-Wright Corp. 1,016 46
The Topps Co., Inc. 4,456 46
* VistaCare, Inc. 1,300 46
* eCollege.com Inc. 2,475 46
Libbey, Inc. 1,604 46
* Enzon Pharmaceuticals, Inc. 3,804 46
* Avatar Holding, Inc. 1,234 46
* Trex Co., Inc. 1,200 46
* Charles River Associates Inc. 1,424 46
The Standard Register Co. 2,700 45
* Kronos Worldwide, Inc. 2,044 45
* Atlantic Coast Airlines Holdings Inc. 4,572 45
Action Performance Cos., Inc. 2,309 45
* NIC Inc. 5,631 45
* InFocus Corp. 4,671 45
* Sterling Financial Corp. (Spokane) 1,320 45
* Indevus Pharmaceuticals, Inc. 7,669 45
* Trans World Entertainment Corp. 6,331 45
RPC Inc. 4,091 45
MCG Capital Corp. 2,300 45
First Indiana Corp. 2,391 45
* OraSure Technologies, Inc. 5,632 45
* Audiovox Corp. 3,490 45
* Universal American Financial Corp. 4,500 45
Texas Genco Holdings, Inc. 1,372 45
Community Trust Bancorp Inc. 1,476 45
CIRCOR International, Inc. 1,846 44
* Ditech Communications Corp. 2,329 44
Connecticut Water Services, Inc. 1,606 44
* IXYS Corp. 4,747 44
Sanderson Farms, Inc. 1,100 44
* Omnova Solutions Inc. 9,233 44
* Retek Inc. 4,775 44
Blair Corp. 1,819 44
* MicroStrategy Inc. 843 44
* Prima Energy Corp. 1,258 44
Phillips-Van Heusen Corp. 2,489 44
* Gardner Denver Inc. 1,847 44
30
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Pulitzer, Inc. 816 44
* El Paso Electric Co. 3,300 44
* The Wet Seal, Inc. Class A 4,443 44
National Penn Bancshares Inc. 1,365 44
Hancock Fabrics, Inc. 3,023 44
* Plains Resources Inc. 2,727 44
* Florida Banks, Inc. 3,119 44
* General Cable Corp. 5,352 44
* Eclipsys Corp. 3,731 43
* PRAECIS Pharmaceuticals Inc. 6,704 43
* Multimedia Games Inc. 1,050 43
* Chalone Wine Group Ltd. 4,901 43
* The Great Atlantic &
Pacific Tea Co., Inc. 5,133 43
* Pre-Paid Legal Services, Inc. 1,650 43
* Concurrent Computer Corp. 9,854 43
* The Boyds Collection, Ltd. 10,116 43
Triarc Cos., Inc. Class B 3,988 43
* DRS Technologies, Inc. 1,544 43
* Immucor Inc. 2,103 43
* DJ Orthopedics Inc. 1,600 43
Community Banks, Inc. 1,090 43
* Serologicals Corp. 2,300 43
* Interface, Inc. 7,727 43
* Forrester Research, Inc. 2,390 43
Ryerson Tull, Inc. 3,730 43
* Unifi, Inc. 6,614 43
* Candela Corp. 2,346 43
* Red Robin Gourmet Burgers 1,400 43
Lone Star Steakhouse &
Saloon, Inc. 1,837 43
* Tradestation Group Inc. 4,806 43
* SeaChange International, Inc. 2,765 43
Myers Industries, Inc. 3,513 43
Associated Estates Realty
Corp. REIT 5,813 42
Medallion Financial Corp. 4,472 42
* PEC Solutions, Inc. 2,500 42
NYMAGIC, Inc. 1,545 42
* Drugstore.com, Inc. 7,678 42
* Harmonic, Inc. 5,833 42
* Hologic, Inc. 2,438 42
* Guess ?, Inc. 3,499 42
* Kopin Corp. 6,294 42
* BioMarin Pharmaceutical Inc. 5,435 42
First Merchants Corp. 1,653 42
The Nautilus Group, Inc. 3,000 42
Penn Virginia Corp. 756 42
* Incyte Corp. 6,148 42
* Central Garden and Pet Co. 1,500 42
Alabama National BanCorporation 800 42
* Merix Corp. 1,710 42
* Lone Star Technologies, Inc. 2,616 42
Bank Mutual Corp. 3,668 42
Churchill Downs, Inc. 1,151 42
* Shoe Carnival, Inc. 2,340 42
Bowne & Co., Inc. 3,062 42
* Maxxam Inc. 2,190 42
* Stratex Networks, Inc. 9,762 41
* Possis Medical Inc. 2,100 41
Lindsay Manufacturing Co. 1,642 41
Middlesex Water Co. 2,040 41
* Applica Inc. 5,444 41
* Itron, Inc. 2,253 41
* Amerco, Inc. 1,922 41
* Benihana Inc. Class A 3,209 41
* Netegrity, Inc. 3,997 41
SJW Corp. 461 41
CB Bancshares Inc. (HI) 653 41
BancFirst Corp. 700 41
* Gentiva Health Services, Inc. 3,250 41
* A.M. Castle & Co. 5,620 41
* Century Business Services, Inc. 9,173 41
Apogee Enterprises, Inc. 3,608 41
Stanley Furniture Co., Inc. 1,300 41
* SurModics, Inc. 1,711 41
Fidelity Bankshares, Inc. 1,300 41
Washington Trust Bancorp, Inc. 1,558 41
* Salix Pharmaceuticals, Ltd. 1,800 41
* MIPS Technologies, Inc. 7,483 41
West Coast Bancorp 1,908 41
* Salem Communications Corp. 1,500 41
* Triton PCS, Inc. 7,286 41
* MemberWorks, Inc. 1,494 41
* Cubist Pharmaceuticals, Inc. 3,337 41
* Stein Mart, Inc. 4,922 41
* Atrix Laboratories, Inc. 1,686 41
* CuraGen Corp. 5,529 41
* Isis Pharmaceuticals, Inc. 6,225 40
Inter-Tel, Inc. 1,614 40
First South Bancorp, Inc. 1,104 40
The Buckle, Inc. 1,819 40
* W-H Energy Services, Inc. 2,487 40
Aaron Rents, Inc. Class B 2,000 40
* Brucker BioSciences Corp. 8,844 40
Green Mountain Power Corp. 1,699 40
* Strattec Security Corp. 658 40
Agilysys, Inc. 3,591 40
* The TriZetto Group, Inc. 6,192 40
* Artesyn Technologies, Inc. 4,685 40
* Learning Tree International, Inc. 2,288 40
* FuelCell Energy, Inc. 3,060 40
31
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Pharmacopeia, Inc. 2,797 40
* Aether Systems, Inc. 8,337 40
WSFS Financial Corp. 882 40
* CKE Restaurants Inc. 6,189 40
* TiVo Inc. 5,343 40
Roto-Rooter, Inc. 857 40
Wainwright Bank & Trust Co. 2,764 39
* Carrier Access Corp. 3,154 39
* Symmetricom Inc. 5,419 39
* infoUSA Inc. 5,316 39
* Concord Communications, Inc. 1,975 39
The Stride Rite Corp. 3,457 39
* CV Therapeutics, Inc. 2,683 39
* Headwaters Inc. 2,000 39
* Sharper Image Corp. 1,200 39
Flushing Financial Corp. 2,142 39
Talx Corp. 1,700 39
* United PanAm Financial Corp. 2,341 39
* Aspen Technologies, Inc. 3,811 39
* Integrated Electrical Services, Inc. 4,211 39
Meridian Bioscience Inc. 3,732 39
* National Western Life
Insurance Co. Class A 251 39
* hi/fn, inc 3,266 39
* Paxar Corp. 2,900 39
* Hibbett Sporting Goods, Inc. 1,300 39
* MedCath Corp. 3,700 39
Oxford Industries, Inc. 1,140 39
* Commercial Capital Bancorp, Inc. 1,800 39
Peoples Holding Co. 1,165 38
* Trimeris, Inc. 1,826 38
Omega Financial Corp. 992 38
* School Specialty, Inc. 1,122 38
BCSB Bankcorp, Inc. 2,051 38
* AMC Entertainment, Inc. 2,500 38
MFA Mortgage Investments,
Inc. REIT 3,900 38
* COMARCO, Inc. 3,450 38
* Dril-Quip, Inc. 2,328 38
* Petrocorp, Inc. 2,814 38
Advanced Marketing Services 3,322 38
* Genesis Healthcare Corp 1,659 38
* SonoSite, Inc. 1,762 38
* Big 5 Sporting Goods Corp. 1,800 38
Iomega Corp. 6,288 38
* Luminex Corp. 4,004 38
* Terayon Communications
Systems, Inc. 8,314 37
Partners Trust Financial Group, Inc. 1,100 37
* TriPath Imaging, Inc. 4,789 37
Material Sciences Corp. 3,688 37
U.S.B. Holding Co., Inc. 1,922 37
* C-COR Electronics, Inc. 3,345 37
Columbia Banking System, Inc. 1,718 37
American Land Lease, Inc. REIT 1,851 37
* PICO Holdings, Inc. 2,356 37
* Netopia, Inc. 2,531 37
* Hexcel Corp. 4,979 37
Penford Corp. 2,685 37
FNB Financial Services Corp. 1,848 37
* Casella Waste Systems, Inc. 2,692 37
PolyMedica Corp. 1,400 37
* Wiser Oil Co. 4,352 37
HMN Financial, Inc. 1,513 37
* Dave & Busters, Inc. 2,897 37
* IDT Corp. 1,658 37
* Entrust, Inc. 8,998 37
First Midwest Financial, Inc. 1,649 37
Capstead Mortgage Corp. REIT 2,186 37
* Avanex Corp. 7,346 37
OceanFirst Financial Corp. 1,349 37
Alamo Group, Inc. 2,394 37
* Coinstar, Inc. 2,013 36
* Alliance Semiconductor Corp. 5,110 36
* Connetics Corp. 2,000 36
* SPSS, Inc. 2,031 36
* US Physical Therapy, Inc. 2,300 36
Coastal Bancorp, Inc. 879 36
* Talk America Holdings, Inc. 3,135 36
* Regeneration Technologies, Inc. 3,290 36
Todd Shipyards Corp. 2,030 36
* SeeBeyond Technology Corp. 8,403 36
Midwest Banc Holdings, Inc. 1,620 36
* Ciphergen Biosystems, Inc. 3,206 36
* Pericom Semiconductor Corp. 3,380 36
* Alexion Pharmaceuticals, Inc. 2,112 36
BSB Bancorp, Inc. 907 36
* California Pizza Kitchen, Inc. 1,779 36
CFS Bancorp, Inc. 2,400 36
* Saxon Capital Inc. 1,700 36
* Regent Communications, Inc. 5,607 36
* Hawthorne Financial Corp. 1,272 36
Royal Gold, Inc. 1,700 36
* Magnatek, Inc. 5,390 36
* UTStarcom, Inc. 958 36
* Young Broadcasting Inc. 1,770 35
* Cepheid, Inc. 3,700 35
* MTC Technologies, Inc. 1,100 35
* Pathmark Stores, Inc. 4,660 35
Methode Electronics, Inc. Class A 2,893 35
* Perry Ellis International Corp. 1,372 35
* Asyst Technologies, Inc. 2,038 35
32
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Wellman, Inc. 3,463 35
* America West Holdings Corp.
Class B 2,845 35
CPI Corp. 1,745 35
* Capital Corp. of the West 889 35
Brown Shoe Co., Inc. 929 35
* Pinnacle Entertainment, Inc. 3,777 35
* NETGEAR, Inc. 2,200 35
Century Bancorp, Inc. Class A 990 35
* NYFIX, Inc. 4,410 35
* J. Jill Group, Inc. 2,748 35
First Bancorp (NC) 1,108 35
* PC Connection, Inc. 4,148 35
Codorus Valley Bancorp, Inc. 1,661 35
TF Financial Corp. 1,016 35
* Biosite Inc. 1,191 34
* Input/Output, Inc. 7,642 34
* Antigenics, Inc. 3,021 34
* Cell Therapeutics, Inc. 3,930 34
* Universal Display Corp. 2,500 34
* InterCept, Inc. 3,018 34
Arrow Financial Corp. 1,226 34
Kramont Realty Trust REIT 1,872 34
* Aftermarket Technology Corp. 2,469 34
* GSI Commerce, Inc. 3,468 34
* Argonaut Group, Inc. 2,177 34
Oil-Dri Corp. of America 2,123 34
Simmons First National Corp. 1,210 34
* IDT Corp. Class B 1,458 34
* Innotrac Corp. 3,214 34
Capital Bank Corp. 2,169 34
L.S. Starrett Co. Class A 2,036 33
* Synalloy Corp. 4,838 33
* Lydall, Inc. 3,277 33
* MatrixOne, Inc. 5,418 33
* Zoltek Cos., Inc. 6,579 33
Ampco-Pittsburgh Corp. 2,429 33
* Syntroleum Corp. 7,673 33
* DutchFork Bancshares, Inc. 859 33
Midland Co. 1,400 33
Infinity Property & Casualty Corp. 1,000 33
* Lifeline Systems, Inc. 1,734 33
* Atari, Inc. 7,811 33
* Applied Molecular Evolution, Inc. 1,838 33
* GMX Resources Inc. 8,150 33
* Pegasystems Inc. 3,788 33
* Inspire Pharmaceuticals, Inc. 2,300 33
Patriot Bank Corp. 1,137 33
* Prime Energy Corp. 2,226 33
Newcastle Investment Corp. REIT 1,200 33
* Sirenza Microdevices, Inc. 6,774 33
* Tumbleweed Communications Corp. 3,880 33
* Champion Enterprises, Inc. 4,638 32
* Giant Industries, Inc. 2,710 32
* Volt Information Sciences Inc. 1,436 32
Sizeler Property Investors, Inc. REIT 3,028 32
Unizan Financial Corp. 1,600 32
* MRV Communications Inc. 8,615 32
* TippingPoint Technologies Inc. 1,079 32
* SCM Microsystems, Inc. 4,186 32
Lexington Corporate Properties
Trust REIT 1,600 32
* Zix Corp. 3,704 32
* Netscreen Technologies, Inc. 1,300 32
* Gerber Scientific, Inc. 4,036 32
Thomas Nelson, Inc. 1,661 32
* AAON, Inc. 1,650 32
* Verity, Inc. 1,918 32
* Ethyl Corp. 1,463 32
Winston Hotels, Inc. REIT 3,118 32
* Vicor Corp. 2,786 32
* SafeNet, Inc. 1,032 32
* Savient Pharmaceuticals Inc. 6,883 32
* Axsys Technologies, Inc. 2,236 32
* Interactive Intelligence Inc. 6,083 32
* InterVoice, Inc. 2,669 32
* Actel Corp. 1,300 31
* PDF Solutions, Inc. 2,100 31
* 4Kids Entertainment Inc. 1,200 31
* Hector Communications Corp. 2,219 31
Seacoast Banking Corp. of Florida 1,789 31
* ImmunoGen, Inc. 6,130 31
First Federal Bancshares of
Arkansas, Inc. 753 31
* Myriad Genetics, Inc. 2,400 31
* First Mariner Bancorp, Inc. 1,646 31
* Willis Lease Finance Corp. 4,189 31
* Verso Technologies, Inc. 9,594 31
Anworth Mortgage Asset
Corp. REIT 2,200 31
* QAD Inc. 2,499 31
* Steven Madden, Ltd. 1,500 31
* Answerthink Consulting Group, Inc. 5,511 31
* Diversa Corp. 3,302 31
* Nanogen, Inc. 3,386 31
Farmer Brothers, Inc. 98 31
LSI Industries Inc. 2,257 30
* Asbury Automotive Group, Inc. 1,700 30
California Independent Bancorp 789 30
* Harvard Bioscience, Inc. 3,410 30
Ziegler Cos., Inc. 2,124 30
* Sequa Corp. Class A 615 30
33
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* MeriStar Hospitality Corp. REIT 4,629 30
Dimon Inc. 4,458 30
* Stratus Properties Inc. 2,999 30
* Mobile Mini, Inc. 1,523 30
* Kirkland's, Inc. 1,700 30
* Alliance Imaging, Inc. 8,100 30
Dover Downs Gaming &
Entertainment, Inc. 3,167 30
* XOMA Ltd. 4,538 30
First Keystone Financial, Inc. 1,097 30
* ManTech International Corp. 1,200 30
* AtheroGenics, Inc. 2,000 30
* BioLase Technology, Inc. 1,800 30
* Stifel Financial Corp. 1,532 30
* Veritas DGC Inc. 2,845 30
* GenVec, Inc. 9,030 30
* Bottomline Technologies, Inc. 3,300 30
Sandy Spring Bancorp, Inc. 794 30
World Wrestling
Entertainment, Inc. 2,265 30
* Phoenix Technologies Ltd. 3,670 30
* Presstek, Inc. 4,073 30
* SciClone Pharmaceuticals, Inc. 4,366 30
* Jo-Ann Stores, Inc. 1,450 30
HEICO Corp. 1,623 30
United Fire & Casualty Co. 730 29
* Carreker Corp. 2,100 29
* 1-800 CONTACTS, Inc. 1,400 29
Hopfed Bancorp, Inc. 1,705 29
* MSC Software Corp. 3,100 29
* Petroleum Helicopters, Inc. 1,085 29
Provident Bancorp, Inc. 623 29
* Portfolio Recovery Associates, Inc. 1,100 29
* Dick's Sporting Goods, Inc. 600 29
Connecticut Bancshares, Inc. 564 29
News Corp. Ltd. Pfd. ADR 960 29
LTC Properties, Inc. REIT 1,970 29
Greater Community Bancorp 1,710 29
* Tenneco Automotive, Inc. 4,329 29
* Pegasus Solutions Inc. 2,764 29
* KNBT Bancorp Inc. 1,643 29
* Comtech Telecommunications Corp. 1,000 29
* Friendly Ice Cream Corp. 2,982 29
Farmers Capital Bank Corp. 846 29
* Proxim Corp. Class A 17,225 29
* LCC International, Inc. Class A 5,363 29
SpectraLink Corp. 1,500 29
* O'Charley's Inc. 1,600 29
* Hydrill 1,200 29
Banner Corp. 1,141 29
* Garden Fresh Restaurant Corp. 1,782 29
* Frontier Airlines, Inc. 2,000 29
Sanders Morris Harris Group Inc. 2,300 29
Sterling Bancorp 1,000 29
* Petroleum Development Corp. 1,200 28
Capitol Bancorp Ltd. 1,000 28
* UbiquiTel Inc. 10,558 28
* Gene Logic Inc. 5,467 28
* M&F Worldwide Corp. 2,122 28
Angelica Corp. 1,287 28
* PRG-Schultz International, Inc. 5,772 28
* SBA Communications Corp. 7,477 28
* Pharmacyclics, Inc. 3,819 28
* Spherix Inc. 4,519 28
* Parker Drilling Co. 11,063 28
* Tollgrade Communications, Inc. 1,609 28
Tanger Factory Outlet Centers,
Inc. REIT 692 28
Horizon Financial Corp. 1,605 28
* Verisity Ltd. 2,200 28
* JAKKS Pacific, Inc. 2,124 28
* Brightpoint, Inc. 1,620 28
Coca-Cola Bottling Co. 522 28
* Mobius Management Systems, Inc. 2,203 28
* Lexicon Genetics Inc. 4,729 28
* Extended Systems Inc. 6,414 28
Valmont Industries, Inc. 1,200 28
* Chordiant Software, Inc. 5,093 28
* Alliance Data Systems Corp. 1,000 28
* Anaren, Inc. 1,960 28
* MTR Gaming Group Inc. 2,686 28
* Gulfmark Offshore, Inc. 1,972 28
* American Physicians Capital, Inc. 1,500 28
Newmil Bancorp, Inc. 950 28
X-Rite Inc. 2,435 28
Southwest Bancorp, Inc. 1,540 28
* KVH Industries, Inc. 1,000 27
* Harris Interactive Inc. 3,300 27
* Water Pik Technologies, Inc. 2,229 27
* LCA-Vision Inc. 1,291 27
* Air Methods Corp. 3,041 27
Fedders Corp. 3,786 27
* Corixa Corp. 4,497 27
Marine Products Corp. 1,444 27
* PLATO Learning, Inc. 2,572 27
* Group 1 Software, Inc. 1,536 27
Prosperity Bancshares, Inc. 1,200 27
Met-Pro Corp. 1,673 27
* Penwest Pharmaceuticals Co. 1,563 27
* NMS Communications Corp. 4,321 27
* Kforce Inc. 2,883 27
* WJ Communications, Inc. 5,246 27
34
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Prime Group Realty Trust REIT 4,282 27
* ActivCard Corp. 3,400 27
* VA Software Corp. 6,843 27
* Insurance Auto Auctions, Inc. 2,048 27
* At Road, Inc. 2,000 27
* New Focus, Inc. 5,296 27
* Westell Technologies, Inc. 4,201 27
* The Meridian Resource Corp. 4,449 26
* Jos. A. Bank Clothiers, Inc. 760 26
Titan International, Inc. 8,611 26
* Ameriserv Financial Inc. 5,269 26
* PC-Tel, Inc. 2,475 26
* Oregon Steel Mills, Inc. 4,488 26
* Saga Communications, Inc. 1,400 26
* Datastream Systems, Inc. 3,299 26
* National Dentex Corp. 1,077 26
* Enesco Group, Inc. 2,497 26
* EPIQ Systems, Inc. 1,500 26
* Manufacturers' Services Ltd. 4,222 26
* Net2Phone, Inc. 3,773 26
* Nashua Corp. 2,999 25
* Rochester Medical Corp. 2,716 25
Summit Bancshares, Inc. 912 25
* Chicago Pizza & Brewery, Inc. 1,700 25
* Skechers U.S.A., Inc. 3,108 25
Bassett Furniture Industries, Inc. 1,535 25
Innkeepers USA Trust REIT 3,021 25
* Right Management
Consultants, Inc. 1,355 25
* FreeMarkets, Inc. 3,766 25
* TranSwitch Corp. 10,935 25
Second Bancorp, Inc. 949 25
* Pinnacle Airlines Corp. 1,800 25
* Virage Logic Corp. 2,453 25
* AZZ Inc. 1,865 25
Oneida Ltd. 4,222 25
* Tempur-Pedic International Inc. 1,600 25
* Interpore International 1,900 25
* Moog Inc. 500 25
* BindView Development Corp. 6,537 25
* Genesis Microchip Inc. 1,366 25
* Coldwater Creek Inc. 2,235 25
Nash-Finch Co. 1,099 25
* Catalytica Energy Systems, Inc. 7,012 25
* FindWhat.com 1,300 24
* General Communication, Inc. 2,800 24
American States Water Co. 971 24
LSB Corp. 1,398 24
* KFX, Inc. 3,200 24
* Galyan's Trading Co. 2,000 24
* Hycor Biomedical Inc. 6,163 24
* Nuvelo, Inc. 6,924 24
* Curative Health Services, Inc. 1,739 24
* Workflow Management, Inc. 4,120 24
Safety Insurance Group, Inc. 1,400 24
* VaxGen, Inc. 3,020 24
* Strategic Diagnostics Inc. 5,050 24
Cascade Bancorp 1,234 24
Virco Manufacturing Corp. 3,740 24
* Central European Distribution Corp. 750 24
Southern Financial Bancorp, Inc. 550 24
* CCC Information Services Group 1,400 24
Triarc Cos., Inc. Class A 1,994 24
* Nuance Communications Inc. 3,079 24
* Martha Stewart Living
Omnimedia, Inc. 2,387 24
* American Medical Systems
Holdings, Inc. 1,075 23
* Centillium Communications, Inc. 4,148 23
* Northwest Pipe Co. 1,751 23
* ABIOMED, Inc. 3,375 23
* DiamondCluster International, Inc. 2,278 23
Investors Title Co. 748 23
Columbia Bancorp 726 23
* Revlon, Inc. Class A 10,328 23
HF Financial Corp. 1,415 23
* Illumina, Inc. 3,276 23
* Energy Conversion Devices, Inc. 2,557 23
Courier Corp. 600 23
* Metris Cos., Inc. 5,190 23
* First Consulting Group, Inc. 4,092 23
* Xicor, Inc. 2,030 23
* EnPro Industries, Inc. 1,650 23
Pulaski Financial Corp. 1,362 23
* Paragon Technologies, Inc. 2,370 23
Aceto Corp. 900 23
Merchants Bancshares, Inc. 752 23
* Cellstar Corp. 1,817 23
* Lancer Corp. 3,372 23
* Mechanical Technology Inc. 4,184 23
Shore Bancshares, Inc. 600 23
* Federal Agricultural Mortgage
Corp. Class A 1,021 23
Nara Bancorp, Inc. 836 23
* Herley Industries Inc. 1,102 23
* Immunomedics Inc. 5,002 23
PrivateBancorp, Inc. 500 23
NUI Corp. 1,411 23
Omega Healthcare Investors,
Inc. REIT 2,437 23
* Curon Medical Inc. 7,226 23
* Todhunter International, Inc. 1,975 23
35
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* SCS Transportation, Inc. 1,283 23
* Terra Industries, Inc. 6,769 22
Standex International Corp. 800 22
* Conrad Industries, Inc. 7,466 22
* Theragenics Corp. 4,093 22
* Dura Automotive Systems, Inc. 1,752 22
Sterling Financial Corp. (PA) 805 22
* WatchGuard Technologies, Inc. 3,827 22
* Autobytel Inc. 2,441 22
* Mair Holdings, Inc. 3,039 22
* Pozen Inc. 2,165 22
* Stamps.com Inc. 3,559 22
* Captaris Inc. 3,923 22
Tech/Ops Sevcon, Inc. 4,019 22
Capital Trust Class A 970 22
* PalmSource, Inc. 1,007 22
* Optical Communication
Products, Inc. 5,929 22
* LodgeNet Entertainment Corp. 1,200 22
* Inverness Medical Innovations, Inc. 1,007 22
Oak Hill Financial, Inc. 710 22
Maine & Maritimes Corp. 624 22
* Blue Coat Systems, Inc. 978 22
* Valence Technology Inc. 5,663 22
Standard Motor Products, Inc. 1,792 22
Ameriana Bancorp 1,500 22
Hanmi Financial Corp. 1,100 22
* Oplink Communications, Inc. 9,088 22
Calgon Carbon Corp. 3,497 22
Peoples Bancorp, Inc. 735 22
United Capital Corp. 1,046 22
* Third Wave Technologies 4,741 22
* America's Car-Mart, Inc. 800 22
* Horizon Offshore, Inc. 4,889 22
* Collins & Aikman Corp. 4,968 22
* Overnite Corp. 942 21
* Geron Corp. 2,138 21
* PETCO Animal Supplies, Inc. 700 21
* Bally Total Fitness Holding Corp. 3,038 21
* Neoforma, Inc. 1,998 21
* SONUS Pharmaceuticals, Inc. 4,183 21
* Stellent Inc. 2,147 21
Vesta Insurance Group, Inc. 5,486 21
Milacron Inc. 5,055 21
* NASSDA Corp. 2,900 21
* Universal Electronics, Inc. 1,648 21
Team Financial, Inc. 1,658 21
* Pumatech, Inc. 5,258 21
* Analysts International Corp. 6,206 21
* Glenayre Technologies, Inc. 7,769 21
* Standard Microsystem Corp. 826 21
* Corio, Inc. 7,620 21
First State Bancorporation 600 21
Dover Motorsports, Inc. 5,954 21
* Ceres Group, Inc. 3,566 21
* Heidrick & Struggles
International, Inc. 954 21
German American Bancorp 1,188 21
* Vitria Technology, Inc. 2,928 21
* Casual Male Retail Group, Inc. 2,977 21
* Double Eagle Petroleum Co. 1,371 21
* Medical Action Industries Inc. 1,100 21
* Telular Corp. 3,139 21
* Internap Network Services Corp. 8,392 21
* Whiting Petroleum Corp. 1,117 21
* Captiva Software Corp. 1,620 21
* The Princeton Review, Inc. 2,100 20
Pacific Union Bank 800 20
* InKine Pharmaceutical Co., Inc. 4,225 20
* Mail-Well, Inc. 4,425 20
* Callon Petroleum Co. 1,966 20
* Dynamics Research Corp. 1,261 20
* Progenics Pharmaceuticals, Inc. 1,070 20
* Vivus, Inc. 5,306 20
* Identix, Inc. 4,513 20
* Neurogen Corp. 2,387 20
Cornerstone Realty Income Trust,
Inc. REIT 2,287 20
* Drexler Technology Corp. 1,461 20
* Navigant International, Inc. 1,440 20
Gabelli Asset Management Inc. 500 20
* Hartmarx Corp. 4,764 20
United Industrial Corp. 1,100 20
* Stoneridge, Inc. 1,318 20
Spartan Motors, Inc. 1,961 20
* Zhone Technologies 3,992 20
* FSI International, Inc. 2,666 20
* Dyax Corp. 2,379 20
* Gulf Island Fabrication, Inc. 1,148 20
* Fairchild Corp. 3,873 20
* Embrex, Inc. 1,419 19
* CyberSource Corp. 3,774 19
Paul Mueller Co. 488 19
* Lifecore Biomedical Inc. 3,233 19
* iVillage Inc. 5,432 19
* Midway Games Inc. 5,009 19
* I.D. Systems, Inc. 2,818 19
* Navigators Group, Inc. 624 19
* Kensey Nash Corp. 828 19
* Sierra Health Services, Inc. 700 19
* Conceptus, Inc. 1,800 19
* Matria Healthcare, Inc. 904 19
36
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Aware, Inc. 6,553 19
* Allscripts Healthcare Solutions, Inc. 3,570 19
* Torch Offshore, Inc. 3,600 19
Consolidated-Tomoka Land Co. 580 19
* Numerex Corp. 4,974 19
Traffix, Inc. 3,467 19
Heritage Financial Corp. 862 19
Cadmus Communications 1,449 19
* Clayton Williams Energy, Inc. 647 19
Ambassadors Group, Inc. 800 19
* RMH Teleservices, Inc. 3,633 19
* RC2 Corp. 903 19
* Witness Systems, Inc. 2,006 19
* Network Equipment
Technologies, Inc. 1,700 19
* NS Group Inc. 1,926 19
* Department 56 Inc. 1,426 19
* A.S.V., Inc. 500 19
* Zomax Inc. 3,737 19
* ParkerVision, Inc. 1,902 19
State Financial Services Corp.
Class A 701 19
* SFBC International, Inc. 700 19
Greater Delaware Valley
Savings Bank 663 19
* Instinet Group Inc. 3,601 19
* Novoste Corp. 3,865 19
* Acmat Corp. Class A 1,503 19
Alico, Inc. 532 18
* Sipex Corp. 2,394 18
* Selectica, Inc. 4,294 18
* Community West Bancshares 2,110 18
* SM&A Corp. 1,556 18
* Sanchez Computer Associates, Inc. 4,375 18
* Hudson Highland Group, Inc. 759 18
* Able Laboratories, Inc. 1,000 18
* BioSphere Medical Inc. 4,500 18
* Ducommun, Inc. 800 18
* Bradley Pharmaceuticals, Inc. 700 18
* Clarus Corp. 2,461 18
IBERIABANK Corp. 300 18
Steel Technologies, Inc. 1,000 18
* Braun Consulting, Inc. 5,992 18
Massbank Corp. 413 18
* Banc Corp. 2,068 18
* Genlyte Group, Inc. 300 18
* Investors Capital Holdings, Ltd. 3,067 17
CompX International Inc. 2,729 17
Stepan Co. 680 17
* QuickLogic Corp. 3,495 17
* Neogen Corp. 700 17
* Trover Solutions, Inc. 2,600 17
UniFirst Corp. 726 17
Integral Systems, Inc. 799 17
* VitalWorks Inc. 3,890 17
* Tripath Technology Inc. 2,491 17
* Nexstar Broadcasting Group, Inc. 1,252 17
* Nastech Pharmaceutical Co., Inc. 1,785 17
ISCO, Inc. 1,847 17
Provident Financial Holdings, Inc. 471 17
* Novavax, Inc. 2,847 17
* Comfort Systems USA, Inc. 3,106 17
* iPayment Holdings, Inc. 500 17
* Superior Consultant Holdings Corp. 4,112 17
* BE Aerospace, Inc. 3,140 17
* Retail Ventures, Inc. 3,569 17
* Midas Inc. 1,185 17
* ITXC Corp. 3,903 17
* Aclara Biosciences, Inc. 4,614 17
* PLX Technology, Inc. 1,900 17
* Oil States International, Inc. 1,200 17
* Alloy, Inc. 3,200 17
* Dot Hill Systems Corp. 1,100 17
* Allied Holdings, Inc. 3,465 17
* La Jolla Pharmaceutical Co. 3,848 17
* Syms Corp. 2,395 17
* Neoware Systems, Inc. 1,200 16
* Blount International, Inc. 2,084 16
* Price Legacy Corp. REIT 4,303 16
* Seabulk International, Inc. 2,019 16
Covest Bankshares, Inc. 597 16
* Portal Software, Inc. 2,426 16
* Celeritek, Inc. 2,197 16
Gorman-Rupp Co. 612 16
Quaker Chemical Corp. 524 16
* Beasley Broadcast Group, Inc. 980 16
* EZCORP, Inc. 1,891 16
* Boston Beer Co., Inc. Class A 886 16
* Griffin Land & Nurseries, Inc. 1,126 16
* Actuate Software Corp. 5,144 16
* On Assignment, Inc. 3,055 16
North Valley Bancorp 1,042 16
* Bush Industries, Inc. 3,784 16
* EMCORE Corp. 3,364 16
Sunrise Telecom Inc. 4,513 16
Center Bancorp, Inc. 800 16
* Concord Camera Corp. 1,700 16
Intermet Corp. 2,894 16
* Nelnet, Inc. 700 16
Firstfed America Bancorp, Inc. 600 16
* Digi International, Inc. 1,621 16
* Computer Horizons Corp. 3,949 16
37
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Tessera Technologies, Inc. 824 15
* Wackenhut Corrections Corp. 677 15
* Switchboard Inc. 2,230 15
* Anthony & Sylvan Pools Corp. 3,845 15
Strategic Distribution, Inc. 1,081 15
* Ampal-American Israel Corp. 4,703 15
* Medical Staffing Network
Holdings, Inc. 1,400 15
* International Shipholding Corp. 1,039 15
Landauer, Inc. 375 15
* Highland Hospitality Corp. 1,400 15
* Advanced Magnetics, Inc. 1,173 15
* Sangamo BioSciences, Inc. 2,740 15
First M&F Corp. 400 15
* ITLA Capital Corp. 300 15
* Aphton Corp. 2,490 15
* E-LOAN, Inc. 5,008 15
* NeoPharm, Inc. 814 15
Old Second Bancorp, Inc. 300 15
* Alcide Corp. 1,009 15
* Pegasus Communications Corp. 528 15
* Sigmatel Inc. 600 15
* Roxio, Inc. 3,088 15
* The First Marblehead Corp. 675 15
Raven Industries, Inc. 500 15
* Silicon Graphics, Inc. 10,760 15
* Curis, Inc. 3,275 15
* SoundView Technology Group, Inc. 951 15
* SITEL Corp. 6,305 15
* Oxigene, Inc. 1,815 15
* Caliper Technologies Corp. 2,209 15
BancTrust Financial Group, Inc. 900 14
* Therma-Wave Inc. 2,443 14
* Digital Generation Systems 6,395 14
* Raindance Communications, Inc. 5,187 14
SWS Group, Inc. 800 14
* Griffon Corp. 700 14
* Hi-Tech Pharmacal Co., Inc. 600 14
Sound Federal Bancorp Inc. 900 14
Goody's Family Clothing 1,495 14
* Fargo Electronics 1,100 14
* Emisphere Technologies, Inc. 2,550 14
* Three-Five Systems, Inc. 2,665 14
* NMT Medical, Inc. 3,100 14
* Rainier Pacific Financial Group Inc. 875 14
* Bone Care International, Inc. 1,093 14
Chester Valley Bancorp 601 14
* BroadVision, Inc. 3,249 14
* Art Technology Group, Inc. 9,046 14
* ATP Oil & Gas Corp. 2,200 14
California Water Service Group 500 14
* Baldwin Technology Class A 5,881 14
Bank of the Ozarks, Inc. 600 14
Commercial Bankshares, Inc. 400 13
* SteelCloud Inc. 3,121 13
* Capstone Turbine Corp. 7,214 13
* IVAX Diagnostics, Inc. 2,766 13
* ScanSoft, Inc. 2,521 13
Distributed Energy Systems Corp. 4,650 13
* Exactech, Inc. 900 13
Penn-America Group, Inc. 1,000 13
* Nu Horizons Electronics Corp. 1,354 13
* NPTest Holding Corp. 1,200 13
American National Bankshares Inc. 500 13
* Hollis-Eden Pharmaceuticals, Inc. 1,200 13
* Tarragon Realty Investors Inc. REIT 800 13
* Quovadx, Inc. 2,693 13
* Centra Software, Inc. 3,329 13
Allen Organ Co. 283 13
* Danielson Holdings Corp. 4,477 13
* Insmed Inc. 4,380 13
American Equity Investment
Life Holding Company 1,300 13
* MetaSolv, Inc. 5,311 13
Universal Forest Products, Inc. 400 13
* CryoLife Inc. 2,226 13
* Keystone Automotive
Industries, Inc. 500 13
MutualFirst Financial Inc. 500 13
* Foamex International, Inc. 2,519 13
* Criimi Mae, Inc. REIT 1,204 13
* First Potomac REIT 669 13
* Allied Healthcare International Inc. 1,980 12
* Cornell Companies, Inc. 900 12
First United Corp. 500 12
* Large Scale Biology Corp. 6,609 12
* Vyyo Inc. 1,423 12
* Provide Commerce Inc. 800 12
* NaPro BioTherapeutics, Inc. 6,104 12
FirstBank Corp. 396 12
* The SCO Group, Inc. 705 12
Bay View Capital Corp. 5,600 12
* Docucorp International, Inc. 1,179 12
* The Allied Defense Group, Inc. 500 12
Haverty Furniture Cos., Inc. 600 12
* Harken Energy Corp. 10,183 12
* Lazare Kaplan International, Inc. 1,707 12
Foothill Independent Bancorp 500 12
* Superconductor Technologies Inc. 2,100 12
Maritrans Inc. 700 12
Cross Timbers Royalty Trust 410 12
* DigitalThink, Inc. 4,140 12
38
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
Camco Financial Corp. 670 12
* Zapata Corp. 200 12
* Green Mountain Coffee
Roasters, Inc. 500 12
* Sonic Innovations, Inc. 1,778 11
Saul Centers, Inc. REIT 400 11
* Concerto Software Inc. 957 11
* Durect Corp. 4,425 11
* AmericanWest Bancorporation 500 11
* ImageWare Systems, Inc. 3,800 11
* Checkers Drive-In Restaurants, Inc. 1,088 11
Urstadt Biddle Properties
Class A REIT 800 11
* Sequenom, Inc. 3,558 11
* QRS Corp. 1,390 11
* Ashford Hospitality Trust 1,200 11
* Citadel Broadcasting Corp. 500 11
* Arotech Corp. 6,122 11
* RadiSys Corp. 656 11
United Mobile Homes, Inc. REIT 648 11
FNB Corp. VA 371 11
* Intrado Inc. 500 11
* MarketWatch.com, Inc. 1,274 11
* Avici Systems Inc. 1,376 11
* Paradyne Networks, Inc. 3,175 11
* Buca, Inc. 1,600 11
* Marimba, Inc. 1,981 11
* CapitalSource Inc. 500 11
* Paxson Communications Corp. 2,800 11
* Toreador Resources Corp. 2,315 11
* Axonyx Inc. 2,200 11
* Clean Harbors Inc. 1,200 11
* Wave Systems Corp. 6,508 11
First Defiance Financial Corp. 400 11
Atlantic Tele-Network, Inc. 380 11
* U.S. Energy Corp. 3,571 11
* Active Power, Inc. 3,664 11
* Eden Bioscience Corp. 7,422 11
* Management Network Group Inc. 3,210 11
Cascade Natural Gas Corp. 500 11
* Interlink Electronics Inc. 1,500 11
* Perceptron, Inc. 1,378 10
* SRI/Surgical Express, Inc. 1,677 10
LSB Bancshares, Inc. 600 10
* American Residential Investment
Trust, Inc. REIT 1,460 10
* Spectranetics Corp. 2,779 10
* Navarre Corp. 1,714 10
GA Financial, Inc. 300 10
Thomas Industries, Inc. 300 10
* Gundle/SLT Environmental, Inc. 500 10
* The Exploration Co. of
Delaware, Inc. 1,700 10
* First Union Real Estate REIT 4,772 10
United Community Financial Corp. 900 10
PMA Capital Corp. Class A 2,000 10
Peapack Gladstone Financial Corp. 330 10
* Lipid Sciences, Inc. 2,862 10
* John B. Sanfilippo & Son, Inc. 200 10
* Genus, Inc. 1,700 10
* Chronimed Inc. 1,200 10
* barnesandnoble.com inc 3,443 10
* Metro One
Telecommunications, Inc. 3,900 10
* BTU International, Inc. 2,880 10
* Huttig Building Products, Inc. 3,365 10
Mid-America Apartment
Communities, Inc. REIT 300 10
* Covista Communications, Inc. 3,805 10
* Layne Christensen Co. 856 10
Pennfed Financial Services, Inc. 300 10
* Forgent Networks, Inc. 3,983 10
* Correctional Services Corp. 3,725 10
* Carriage Services, Inc. 2,708 10
* ePresence, Inc. 2,671 10
* Digital Impact, Inc. 3,471 10
* Compass Minerals International 700 10
* Computer Task Group, Inc. 2,557 10
* HMS Holdings Corp. 2,468 10
* Luminent Mortgage Capital, Inc. 700 10
Citizens First Financial Corp. 387 10
ESB Financial Corp. 600 10
* Technology Solutions Co. 7,836 10
* Titan Pharmaceuticals, Inc. 3,367 10
* Mothers Work, Inc. 400 10
* Park-Ohio Holdings Corp. 1,316 10
TSR, Inc. 1,253 10
* CYTOGEN Corp. 879 10
Applied Industrial Technology, Inc. 400 10
* Computer Network
Technology Corp. 1,000 10
* Aradigm Corp. 5,575 10
TriCo Bancshares 300 9
* Columbia Laboratories Inc. 1,500 9
Security Bank Corp. 300 9
Republic Bancshares, Inc. 300 9
* Aetrium, Inc. 3,024 9
* PharmaNetics, Inc. 5,064 9
* Latitude Communications, Inc. 2,383 9
* Primus Knowledge Solutions, Inc. 1,489 9
Yardville National Bancorp 363 9
* Neurobiological Technologies, Inc. 1,600 9
39
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Genaissance Pharmaceuticals, Inc. 3,100 9
* Orchid Biosciences, Inc. 5,021 9
* Luby's, Inc. 2,513 9
Allegiant Bancorp, Inc. 330 9
Track Data Corp. 6,608 9
* TheStreet.com, Inc. 2,242 9
* Intelidata Technologies Corp. 5,592 9
* W.R. Grace & Co. 3,562 9
* EntreMed, Inc. 2,738 9
D&E Communications, Inc. 629 9
First SecurityFed Financial, Inc. 300 9
* Vical, Inc. 1,846 9
* Central Coast Bancorp 500 9
Southwest Water Co. 565 9
* Genome Therapeutics Corp. 2,887 9
* Emerson Radio Corp. 2,400 9
* Wyndham International, Inc.
Class A 13,380 9
* VIA NET.WORKS, Inc. 5,204 9
New England Business Service, Inc. 300 9
* Information Holdings Inc. 400 9
* Merge Technologies, Inc. 500 9
Integra Bank Corp. 400 9
* Franklin Electronic Publishers, Inc. 2,242 9
* Jupitermedia Corp. 1,906 9
* AXT, Inc. 2,800 9
* Parallel Petroleum Corp. 2,000 9
Tennant Co. 200 9
Eastern Virginia Bankshares, Inc. 300 9
CCBT Financial Cos. Inc. 247 9
* Royale Energy, Inc. 702 9
Bedford Property Investors,
Inc. REIT 300 9
* Equinix, Inc. 302 9
Keithley Instruments Inc. 465 9
* Applied Innovation Inc. 1,262 8
* Omega Protein Corp. 1,100 8
* LKQ Corp. 473 8
Financial Institutions, Inc. 300 8
Astro-Med, Inc. 653 8
* ePlus Inc. 683 8
Webster City Federal Bancorp 600 8
* LMI Aerospace, Inc. 4,197 8
Citizens South Banking Corp. 600 8
* Cerus Corp. 1,842 8
* RCN Corp. 10,437 8
Ameron International Corp. 240 8
First Federal Financial Corp.
of Kentucky 330 8
* Worldwide Restaurant
Concepts Inc. 2,964 8
* Virologic, Inc. 2,205 8
* Kana Software, Inc. 2,458 8
Jefferson Bancshares, Inc. 600 8
* AP Pharma Inc. 3,352 8
* Daily Journal Corp. 260 8
* Targeted Genetics Corp. 3,721 8
* Juno Lighting, Inc. 361 8
* Global Power Equipment Group Inc. 1,215 8
* Somera Communications, Inc. 5,038 8
* Total Entertainment
Restaurant Corp. 667 8
* Impco Technologies Inc. 921 8
* Capital Title Group, Inc. 1,848 8
Main Street Banks, Inc. 300 8
Shenandoah
Telecommunications Co. 155 8
* Visual Networks, Inc. 3,538 8
* Wellsford Real Properties Inc. 426 8
* Sun Bancorp, Inc. (NJ) 300 8
* Docent, Inc. 1,705 8
* Interstate Hotels & Resorts, Inc. 1,462 8
Unity Bancorp, Inc. 683 8
* Applix, Inc. 2,208 8
Mission West Properties Inc. REIT 600 8
* II-VI, Inc. 300 8
* Monarch Casino & Resort, Inc. 700 8
Cohu, Inc. 400 8
Belmont Bancorp 1,366 8
* LECG Corp. 334 8
* Carter's, Inc. 300 8
* Microvision, Inc. 1,000 8
* Katy Industries, Inc. 1,331 8
* Lantronix, Inc. 6,475 8
* Molina Healthcare Inc. 300 8
* IntraBiotics Pharmaceuticals, Inc. 470 8
* Ramtron International Corp. 2,886 8
* Tweeter Home Entertainment
Group, Inc. 800 8
BHA Group Holdings Inc. 300 8
* Inforte Corp. 907 8
* Consumer Portfolio Services, Inc. 2,020 8
Stephan Co. 1,743 8
* TransPro Inc. 1,789 7
* Quantum Fuel Systems
Technologies Worldwide, Inc. 921 7
* Niku Corp. 871 7
* Quality Distribution Inc. 378 7
* LookSmart, Ltd. 4,764 7
* Liquidmetal Technologies Inc. 2,600 7
* Biopure Corp. 3,100 7
* Goodrich Petroleum Corp. 1,400 7
40
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Peco II, Inc. 6,467 7
Humphrey Hospitality Trust,
Inc. REIT 1,565 7
* V.I. Technologies, Inc. 6,546 7
AmeriVest Properties, Inc. REIT 1,000 7
EFC Bancorp, Inc 300 7
Westfield Financial, Inc. 300 7
Leesport Financial Corp. 300 7
* Acme Communications, Inc. 800 7
* Xanser Corp. 2,966 7
Royal Bancshares of
Pennsylvania, Inc. 275 7
* Foster Wheeler Ltd. 6,755 7
* PriceSmart, Inc. 1,105 7
Applied Signal Technology, Inc. 300 7
* Capital Pacific Holdings, Inc. 1,789 7
* Falcon Financial Investment Trust 700 7
* Kendle International Inc. 1,075 7
* Ceradyne, Inc. 200 7
* Network Engines, Inc. 1,561 7
Psychemedics Corp. 725 7
Flexsteel Industry 300 7
* Champps Entertainment Inc. 900 7
* GTC Biotherapeutics, Inc. 2,100 7
Keystone Property Trust REIT 300 7
FloridaFirst Bancorp, Inc. 200 7
* Applied Films Corp. 200 7
* Loudeye Corp. 3,369 7
Bank of Granite Corp. 300 7
* BayCorp Holdings, Ltd. 500 7
* Electroglas, Inc. 1,784 7
Lowrance Electronics, Inc. 318 7
* Aksys, Ltd. 737 7
* Lesco, Inc. 500 6
* Crossroads Systems, Inc. 2,314 6
* Acclaim Entertainment Inc. 9,860 6
* Perini Corp. 700 6
Anchor Glass Container Corp. 400 6
Click Commerce, Inc. 1,239 6
* TRC Cos., Inc. 300 6
* Cavalier Homes, Inc. 2,095 6
* Rita Medical Systems, Inc. 1,400 6
* ViroPharma Inc. 2,238 6
* Blue Martini Software, Inc. 1,258 6
* Big Dog Holdings, Inc. 1,650 6
* Synovis Life Technologies, Inc. 300 6
* Republic First Bancorp, Inc. 500 6
* Iridex Corp. 1,100 6
* Global Payment Tech Inc. 1,783 6
* ebix.com Inc. 487 6
* Gadzooks, Inc. 3,843 6
* Cavco Industries, Inc. 248 6
Investors Real Estate Trust REIT 600 6
* Ag Services of America, Inc. 697 6
* Community Bancorp Inc. 300 6
* Click2learn, Inc. 2,800 6
Republic Bancorp, Inc. Class A 300 6
* Sirva Inc. 300 6
* Candie's, Inc. 2,808 6
BRT Realty Trust REIT 200 6
* SAVVIS Communications Corp. 3,840 6
* Alderwoods Group, Inc. 609 6
Penn Engineering &
Manufacturing Corp. 300 6
Robbins & Myers, Inc. 300 6
* Internet Capital Group, Inc. 16,508 6
Community Bank of
Northern Virginia 300 6
* Transgenomic, Inc. 2,841 6
* Optical Cable Corp. 800 6
* Systemax Inc. 848 6
* Brillian Corp. 666 6
* Pinnacor Inc. 2,412 6
* Collagenex Pharmaceuticals, Inc. 500 6
* Proxymed Pharmacy, Inc. 320 6
LaSalle Hotel Properties REIT 300 6
* Drew Industries, Inc. 200 6
* American Superconductor Corp. 400 6
* McLeod USA Inc. 3,739 6
CoBiz Inc. 300 6
* Alteon, Inc. 3,513 6
* Stratos International Inc. 802 5
* Penn Octane Corp. 2,264 5
* BSQUARE Corp. 3,786 5
* Intraware, Inc. 2,604 5
* ONYX Software Corp. 1,345 5
Cavalry Bancorp, Inc. 300 5
* Westmoreland Coal Co. 300 5
* Edgewater Technology, Inc. 1,077 5
BNP Residential Properties,
Inc. REIT 444 5
* Carrington Labs Inc. 1,246 5
* Orphan Medical, Inc. 500 5
Habersham Bancorp 209 5
U.S. Restaurant Properties, Inc. REIT 300 5
Kaman Corp. Class A 400 5
* Tut Systems, Inc. 783 5
* The Greenbrier Cos., Inc. 300 5
* Optika Inc. 1,104 5
* APAC Teleservices, Inc. 1,928 5
American Mortgage Acceptance
Co. REIT 300 5
41
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Darling International, Inc. 1,756 5
* Paradigm Genetics, Inc. 3,296 5
* Pacific Mercantile Bancorp 500 5
* MTI Technology Corp. 2,045 5
* Medialink Worldwide, Inc. 1,489 5
* Saba Software, Inc. 1,374 5
* Norstan, Inc. 1,483 5
Great Lakes, Inc. REIT 300 5
* All American Semiconductor, Inc. 1,057 5
* Applied Digital Solutions, Inc. 10,000 5
* Argonaut Technologies Inc. 2,664 5
* U.S. Energy Systems, Inc. 4,134 5
* Cardima, Inc. 4,715 5
* Digital Lightwave, Inc. 5,717 5
* NetManage, Inc. 877 5
* Lanvision Systems, Inc. 1,425 5
* American Independence Corp. 390 5
* Cosine Communications, Inc. 623 5
Ennis Business Forms, Inc. 300 5
* Channell Commercial Corp. 1,100 5
* Miller Industries, Inc. 609 5
* Trailer Bridge, Inc. 823 5
* I-many, Inc. 4,500 5
* Micro Linear Corp. 800 4
Cascade Corp. 200 4
* Lifeway Foods, Inc. 327 4
* Summa Industries 500 4
* ICT Group, Inc. 375 4
* Repligen Corp. 1,000 4
* Versant Corp. 2,795 4
* Texas Capital Bancshares, Inc. 300 4
* Interland, Inc. 655 4
FNB Corp./North Carolina 200 4
* TechTeam Global, Inc. 600 4
* Blue Rhino Corp. 300 4
* Stratasys, Inc. 150 4
* Perficient, Inc. 1,810 4
Pennrock Financial Services Corp. 129 4
* eMerge Interactive, Inc. 2,734 4
First Busey Corp. 146 4
National Health Realty Inc. REIT 200 4
* Z-Tel Technologies, Inc. 1,950 4
* Hall, Kinion & Associates, Inc. 775 4
* Bell Industries, Inc. 1,505 4
* Duratek, Inc. 300 4
Maxcor Financial Group Inc. 300 4
* SPEEDUS Corp. 2,777 4
* SatCon Technology Corp. 1,860 4
* Applied Imaging Corp. 2,500 4
Warwick Community Bancorp, Inc. 109 4
* Ista Pharmaceuticals Inc. 398 4
* Heritage Commerce Corp. 300 4
* Redback Networks Inc. 15,843 4
* Trump Hotels & Casino
Resorts, Inc. 1,687 4
* Central Freight Lines, Inc. 205 4
Berkshire Hills Bancorp, Inc. 100 4
* Commerce One, Inc. 2,823 4
Datascope Corp. 100 4
* Avigen, Inc. 604 4
* Beta Oil & Gas, Inc. 1,800 4
* Nutrition 21 Inc. 4,377 4
BostonFed Bancorp, Inc. 100 3
* Interpharm Holdings, Inc. 739 3
* Abraxas Petroleum Corp. 2,800 3
* Protection One, Inc. 9,439 3
* Pacific Premier Bancorp, Inc. 305 3
* Cortex Pharmaceuticals, Inc. 1,300 3
Woodhead Industries, Inc. 200 3
* Viewpoint Corp. 4,486 3
Burnham Pacific Properties,
Inc. REIT 15,143 3
* Synagro Technologies Inc. 1,506 3
* Nutraceutical International Corp. 300 3
* Century Casinos, Inc. 1,000 3
* Flanders Corp. 500 3
* U.S. Concrete, Inc. 500 3
* Matritech Inc. 1,700 3
* MacroChem Corp. 3,800 3
* Infinity, Inc. 800 3
* Aastrom Biosciences, Inc. 2,400 3
* WorldGate Communications, Inc. 2,858 3
* Bioject Medical Technologies Inc. 1,000 3
* Hungarian Telephone and
Cable Corp. 300 3
* Nanometrics Inc. 200 3
* Five Star Quality Care, Inc. 668 3
* Concur Technologies, Inc. 300 3
* SIGA Technologies, Inc. 1,265 3
Hemlock Federal Financial Corp. 100 3
Northern States Financial Corp. 100 3
* Creative Host Services, Inc. 1,202 3
FFLC Bancorp, Inc. 100 3
* On2 Technologies, Inc. 2,193 3
* Myogen, Inc. 200 3
Princeton National Bancorp, Inc. 100 3
Citizens 1st Bancorp, Inc. 125 3
Home Federal Bancorp 100 3
* Airnet Communications Corp. 3,283 3
Lawson Products, Inc. 84 3
* Copper Mountain Networks, Inc. 255 3
Boykin Lodging Co. REIT 300 3
42
- --------------------------------------------------------------------------------
MARKET
VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
* Pfsweb Inc. 1,689 3
AMLI Residential Properties
Trust REIT 100 3
* Versar Inc. 800 3
* Osteotech, Inc. 300 3
Craftmade International, Inc. 100 3
* Lynx Therapeutics, Inc. 408 3
* 24/7 Real Media, Inc. 1,898 3
* Magellan Petroleum Corp. 1,934 3
* Nonophase Technologies Corp. 300 2
* Webco Industries, Inc. 577 2
* Plumtree Software, Inc. 500 2
* American Access Technologies Inc. 1,753 2
* GoAmerica, Inc. 6,305 2
ILX Resorts Inc. 329 2
Waste Industries USA, Inc. 200 2
* HEI, Inc. 700 2
* Rainbow Rentals, Inc. 300 2
* Pac-West Telecom, Inc. 1,175 2
* eLoyalty Corp. 614 2
* Omtool, Ltd. 298 2
* Mayor's Jeweler's, Inc. 2,977 2
Butler Manufacturing Co. 100 2
* Continucare Corp. 1,581 2
* Redhook Ale Brewery, Inc. 825 2
* Exponent, Inc. 100 2
NASB Financial Inc. 51 2
* Optical Cable Corp.
Warrants Exp. 10/24/2007 959 2
* Register.com, Inc. 397 2
* Baker (Michael) Corp. 200 2
* eXegenics Inc. 2,293 2
* DSL.Net, Inc. 3,371 2
* A.T. Cross Co. Class A 300 2
* Northfield Laboratories, Inc. 300 2
* Gallery of History, Inc. 466 2
United Financial Corp. 75 2
* NaviSite, Inc. 293 2
* Fresh Choice, Inc. 1,092 2
Rocky Mountain Chocolate
Factory, Inc. 152 2
* Axeda Systems Inc. 1,400 2
* Franklin Bank Corp. 100 2
* Research Frontiers, Inc. 200 2
* Factory 2-U Stores Inc. 1,316 2
* Insightful Corp. 884 2
* Team, Inc. 173 2
* Callidus Software Inc 100 2
* United National Group Ltd-Class A 100 2
* Critical Path, Inc. 1,328 2
HEICO Corp. Class A 122 2
* EarthShell Corp. 938 2
* SureBeam Corp. 7,764 2
* SportsLine.com, Inc. 1,287 2
* Impreso, Inc. 800 2
* iPass Inc. 100 2
* LightPath Technologies, Inc. Class A 568 2
* SciQuest, Inc. 446 2
* Amtech Systems, Inc. 269 2
* Pharmion Corp. 100 2
The First Years Inc. 100 1
* The Immune Response Corp. 981 1
* ACE 593 1
* Rainmaker Systems, Inc. 992 1
* Novatel Wireless, Inc. 231 1
* Zonagen, Inc. 743 1
* Versata, Inc. 832 1
* Hanover Direct, Inc. 6,816 1
* Badger Paper Mills, Inc. 238 1
* Andrea Radio Corp. 3,118 1
Dynabazaar, Inc. 3,795 1
Acadia Realty Trust REIT 100 1
* Larscom Inc. 284 1
* DT Industries, Inc. 1,000 1
* ZEVEX International, Inc. 306 1
* UQM Technologies, Inc. 400 1
* Allied Motion Technologies, Inc. 301 1
* Epimmune Inc. 643 1
* Wilshire Enterprises, Inc. 190 1
* COMFORCE Corp. 2,081 1
* InsWeb Corp. 237 1
* ACT Teleconferencing, Inc. 1,000 1
* Storage Computer Corp. 2,856 1
* Verticalnet, Inc. 850 1
* Serrento Networks Corp. 335 1
* Astea International, Inc. 330 1
* Artisoft, Inc. 366 1
* Pemstar Inc. 300 1
Net Perceptions, Inc. 2,405 1
* Advanced Environmental
Recycling Technologies, Inc. 600 1
* eGain Communications Corp. 436 1
* Hoenig Group, Inc.
Rights Exp. 9/1/2006 3,670 1
* Universal Access Global
Holdings Inc. 287 1
* Media 100 Inc. 1,614 1
* Star Buffet, Inc. 186 1
* Precision Optics Corp., Inc. 391 1
* Onvia.com, Inc. 174 1
Liquid Audio, Inc. 2,723 1
43
- --------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE*
MARKET INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
* Magnum Hunter Resources Inc.
Warrants Exp. 3/21/2005 1,391 1
* RF Monolithics, Inc. 73 1
* HealthAxis, Inc. 225 1
* JLM Industries, Inc. 495 1
* IGI, Inc. 418 1
Pittsburgh & West Virginia
Railroad REIT 73 1
* Cardinal Financial Corp. 78 1
* Ezenia!, Inc. 2,547 1
* General Bearing Corp. 196 1
* WHX Corp. 222 1
* National Technical Systems, Inc. 107 1
* GraphOn Corp. 2,730 1
* Pure Bioscience 571 1
* Pinnacle Warrants Exp. 11/13/2007 9 --
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $989,966) 1,035,434
- --------------------------------------------------------------------------------
FACE
AMOUNT
(000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.8%)(1)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.05%, 1/20/2004 $1,000 999
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled Cash Account
0.98%, 1/2/2004 5,982 5,982
0.99%, 1/2/2004--Note E 1,249 1,249
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $8,230) 8,230
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.1%)
(Cost $998,196) 1,043,664
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.1%)
- --------------------------------------------------------------------------------
Other Assets 3,101
Liabilities--Note E (4,521)
----------
(1,420)
----------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $1,042,244
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
100.0% and 0.1%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Security segregated as initial margin for open futures contracts.
ADR--American Depositary Receipt.
REIT--Real Estate Investment Trust.
- --------------------------------------------------------------------------------
AMOUNT
(000)
- --------------------------------------------------------------------------------
AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $1,152,541
Overdistributed Net Investment Income (23)
Accumulated Net Realized Losses (155,944)
Unrealized Appreciation
Investment Securities 45,468
Futures Contracts 202
- --------------------------------------------------------------------------------
NET ASSETS $1,042,244
================================================================================
Institutional Shares--Net Assets
Applicable to 24,135,908 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $563,144
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $23.33
================================================================================
Institutional Plus Shares--Net Assets
Applicable to 20,533,025 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $479,100
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE-- INSTITUTIONAL PLUS SHARES $23.33
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
44
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by the fund during the reporting
period, and details the operating expenses charged to each class of its shares.
These expenses directly reduce the amount of investment income available to pay
to shareholders as income dividends. This Statement also shows any Net Gain
(Loss) realized on the sale of investments, and the increase or decrease in the
Unrealized Appreciation (Depreciation) of investments during the period.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK
MARKET INDEX FUND
YEAR ENDED DECEMBER 31, 2003
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Income
Dividends $ 15,864
Interest 71
Security Lending 86
- --------------------------------------------------------------------------------
Total Income 16,021
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative
Institutional Shares 176
Institutional Plus Shares 166
- --------------------------------------------------------------------------------
Total Expenses 342
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 15,679
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (35,903)
Futures Contracts 924
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (34,979)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 287,436
Futures Contracts 412
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 287,848
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $268,548
================================================================================
45
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the fund's total net assets changed during the two most
recent reporting periods. The Operations section summarizes information detailed
in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the net amount shareholders invested in
or redeemed from the fund. Distributions and Capital Share Transactions are
shown separately for each class of shares.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK
MARKET INDEX FUND
--------------------------
YEAR ENDED DECEMBER 31,
--------------------------
2003 2002
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 15,679 $ 18,195
Realized Net Gain (Loss) (34,979) (110,317)
Change in Unrealized Appreciation (Depreciation) 287,848 (212,323)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 268,548 (304,445)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Institutional Shares (5,582) (4,572)
Institutional Plus Shares (10,097) (13,622)
Realized Capital Gain
Institutional Shares -- --
Institutional Plus Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (15,679) (18,194)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--Note F
Institutional Shares 230,314 (36,344)
Institutional Plus Shares (366,054) (263,357)
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (135,740) (299,701)
- --------------------------------------------------------------------------------
Total Increase (Decrease) 117,129 (622,340)
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 925,115 1,547,455
- --------------------------------------------------------------------------------
End of Period $1,042,244 $925,115
================================================================================
46
FINANCIAL HIGHLIGHTS
This table summarizes the fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
- --------------------------------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, AUG. 31* TO
----------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $18.00 $23.10 $ 22.72
- --------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .33 .32 .098
Net Realized and Unrealized Gain (Loss) on Investments 5.33 (5.10) .421
- --------------------------------------------------------------------------------------------
Total from Investment Operations 5.66 (4.78) .519
- --------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.33) (.32) (.139)
Distributions from Realized Capital Gains -- -- --
- --------------------------------------------------------------------------------------------
Total Distributions (.33) (.32) (.139)
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $23.33 $18.00 $23.10
============================================================================================
TOTAL RETURN 31.70% -20.77% 2.33%
============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $563 $245 $358
Ratio of Total Expenses to Average Net Assets 0.06% 0.06% 0.06%**
Ratio of Net Investment Income to Average Net Assets 1.62% 1.45% 1.33%**
Portfolio Turnover Rate 11% 9% 15%
============================================================================================
*Inception.
**Annualized.
47
FINANCIAL HIGHLIGHTS (CONTINUED)
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL PLUS SHARES
- --------------------------------------------------------------------------------------------
YEAR ENDED
DECEMBER 31, AUG. 31* TO
----------------- DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $18.00 $23.10 $25.00
- --------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .337 .327 .151
Net Realized and Unrealized Gain (Loss) on Investments 5.330 (5.100) (1.900)
- --------------------------------------------------------------------------------------------
Total from Investment Operations 5.667 (4.773) (1.749)
- --------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.337) (.327) (.151)
Distributions from Realized Capital Gains -- -- --
- --------------------------------------------------------------------------------------------
Total Distributions (.337) (.327) (.151)
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $23.33 $18.00 $23.10
============================================================================================
TOTAL RETURN 31.74% -20.74% -6.96%
============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $479 $680 $1,189
Ratio of Total Expenses to Average Net Assets 0.025% 0.025% 0.025%**
Ratio of Net Investment Income to Average Net Assets 1.64% 1.48% 1.36%**
Portfolio Turnover Rate 11% 9% 15%
============================================================================================
*Inception.
**Annualized.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
48
NOTES TO FINANCIAL STATEMENTS
Vanguard Institutional Total Stock Market Index Fund is registered under the
Investment Company Act of 1940 as an open-end investment company, or mutual
fund. The fund offers two classes of shares, Institutional Shares and
Institutional Plus Shares, to investors who invest minimum amounts of $200
million and $500 million, respectively.
A. The following significant accounting policies conform to generally accepted
accounting principles for U.S. mutual funds. The fund consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Securities are valued as of the close of trading on the
New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation
date. Equity securities are valued at the latest quoted sales prices or
official closing prices taken from the primary market in which each
security trades; such securities not traded on the valuation date are
valued at the mean of the latest quoted bid and asked prices. Securities
for which market quotations are not readily available, or whose values have
been materially affected by events occurring before the fund's pricing time
but after the close of the securities' primary markets, are valued by
methods deemed by the board of trustees to represent fair value. Temporary
cash investments acquired over 60 days to maturity are valued using the
latest bid prices or using valuations based on a matrix system (which
considers such factors as security prices, yields, maturities, and
ratings), both as furnished by independent pricing services. Other
temporary cash investments are valued at amortized cost, which approximates
market value.
2. FUTURES CONTRACTS: The fund uses S&P 500 Index, S&P MidCap 400 Index, and
Russell 2000 Index futures contracts to a limited extent, with the
objectives of maintaining full exposure to the stock market, enhancing
returns, maintaining liquidity, and minimizing transaction costs. The fund
may purchase futures contracts to immediately invest incoming cash in the
market, or sell futures in response to cash outflows, thereby simulating a
fully invested position in the underlying index while maintaining a cash
balance for liquidity. The fund may seek to enhance returns by using
futures contracts instead of the underlying securities when futures are
believed to be priced more attractively than the underlying securities. The
primary risks associated with the use of futures contracts are imperfect
correlation between changes in market values of stocks held by the fund and
the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the
financial statements. Fluctuations in the value of the contracts are
recorded in the Statement of Net Assets as an asset (liability) and in the
Statement of Operations as unrealized appreciation (depreciation) until the
contracts are closed, when they are recorded as realized futures gains
(losses).
3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard
Group, transfers uninvested cash balances into a pooled cash account, which
is invested in repurchase agreements secured by U.S. government securities.
Securities pledged as collateral for repurchase agreements are held by a
custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of
interest and principal; however, in the event of default or bankruptcy by
the other party to the agreement, retention of the collateral may be
subject to legal proceedings.
4. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required in the
financial statements.
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the
ex-dividend date.
49
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. Class-specific
shareholder servicing fees are charged to each class at the contractual
rate. Income, expenses not attributable to a specific class, and realized
and unrealized gains and losses on investments are allocated to each class
of shares based on its relative net assets.
B. The Vanguard Group provides investment advisory, corporate management,
administrative, marketing, and distribution services and pays for all other
operating expenses, except for taxes, in return for a fee calculated at an
annual percentage rate of the average net assets of the fund or, for shareholder
services, each class of shares. The fund's trustees and officers are also
directors and officers of Vanguard.
C. 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.
For tax purposes, at December 31, 2003, the fund had no ordinary income
available for distribution. The fund had available realized losses of
$155,692,000 to offset future net capital gains of $4,981,000 through December
31, 2009, $99,548,000 through December 31, 2010, $44,357,000 through December
31, 2011, and $6,806,000 through December 31, 2012.
At December 31, 2003, net unrealized appreciation of investment securities for
tax purposes was $45,468,000, consisting of unrealized gains of $162,311,000 on
securities that had risen in value since their purchase and $116,843,000 in
unrealized losses on securities that had fallen in value since their purchase.
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 17 $4,720 $165
S&P MidCap 400 Index 3 864 12
Russell 2000 Index 4 1,115 25
- --------------------------------------------------------------------------------
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 $99,947,000 of
investment securities and sold $233,004,000 of investment securities, other than
temporary cash investments.
E. The market value of securities on loan to broker/dealers at December 31,
2003, was $1,087,000, for which the fund held cash collateral of $1,249,000. 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.
50
F. Capital share transactions for each class of shares were:
- --------------------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
-------------------------------------------------
2003 2002
---------------------- ---------------------
AMOUNT SHARES AMOUNT SHARES
(000) (000) (000) (000)
- --------------------------------------------------------------------------------------------
Institutional Shares
Issued $ 290,822 13,540 $ 35,745 1,787
Issued in Lieu of Cash Distributions 4,901 235 4,572 238
Redeemed (65,409) (3,260) (76,661) (3,919)
-------------------------------------------------
Net Increase (Decrease)--
Institutional Shares 230,314 10,515 (36,344) (1,894)
-------------------------------------------------
Institutional Plus Shares
Issued 53,910 2,434 56,247 3,294
Issued in Lieu of Cash Distributions 1,781 90 2,538 131
Redeemed (421,745) (19,760) (322,142) (17,132)
-------------------------------------------------
Net Increase (Decrease)--
Institutional Plus Shares (366,054) (17,236) (263,357) (13,707)
- --------------------------------------------------------------------------------------------
51
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Trustees of Vanguard Institutional Total Stock Market
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 Institutional Total Stock Market 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 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 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 6, 2004
- --------------------------------------------------------------------------------
SPECIAL 2003 TAX INFORMATION
(UNAUDITED) FOR VANGUARD INSTITUTIONAL TOTAL STOCK MARKET 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, 95.9% 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.
- --------------------------------------------------------------------------------
52
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
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
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.
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JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996.
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[VANGUARD SHIP LOGO]
THE VANGUARD GROUP(R)
POST OFFICE BOX 2600
VALLEY FORGE, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, Admiral, Explorer, Morgan,
LifeStrategy, STAR, Wellesley, Wellington, Windsor, and the ship logo are
trademarks of The Vanguard Group, Inc.
S&P 500(R), 500, and S&P MidCap 400 are trademarks of The McGraw-Hill Companies,
Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual
funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and
Standard & Poor's makes no representation regarding the advisability of
investing in the funds.
Calvert Social Index is a trademark of Calvert Group, Ltd., and has been
licensed for use by The Vanguard Group, Inc. Vanguard Calvert Social Index Fund
is not sponsored, endorsed, sold, or promoted by Calvert Group, Ltd., and
Calvert Group, Ltd., makes no representation regarding the advisability of
investing in the fund.
All other marks are the exclusive property of their respective owners.
ABOUT OUR COVER
The photographs that appear on the cover of this report are copyrighted by
Michael Kahn.
FOR MORE INFORMATION
This report is intended for the fund's shareholders. It may not be distributed
to prospective investors unless it is preceded or accompanied by the current
fund prospectus.
To receive a free copy of the prospectus or the Statement of Additional
Information, or to request additional information about the fund or other
Vanguard funds, please contact us at one of the adjacent telephone numbers or by
e-mail through VANGUARD.COM. Prospectuses may also be viewed online.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted.
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
DIRECT INVESTOR ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
TEXT TELEPHONE
1-800-952-3335
(C) 2004 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
Q8710 022004
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: $0
Fiscal Year Ended December 31, 2002: $0
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 INSTITUTIONAL INDEX FUND
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 INSTITUTIONAL INDEX FUND
BY:_____________(signature)________________
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: February 20, 2004
VANGUARD INSTITUTIONAL INDEX FUND
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.