UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-6093
Name of Registrant: Vanguard Institutional Index Funds
Address of Registrant: P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service: R. Gregory Barton, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant's telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2004 - June 30, 2004
Item 1: Reports to Shareholders
VANGUARD(R) INSTITUTIONAL INDEX FUND
JUNE 30, 2004
SEMIANNUAL REPORT
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).
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CONTENTS
1 LETTER FROM THE CHAIRMAN
6 FUND PROFILE
7 GLOSSARY OF INVESTMENT TERMS
8 PERFORMANCE SUMMARY
9 ABOUT YOUR FUND'S EXPENSES
11 FINANCIAL STATEMENTS
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SUMMARY
* Vanguard Institutional Index Fund returned 3.4% in the first half of its
fiscal year, matching the return of its target benchmark.
* The fund's small advances in both the first and second quarters reflected the
relatively moderate price swings that occurred in the broad U.S. stock market.
* Energy-related stocks were among the leading performers during the period.
LETTER FROM THE CHAIRMAN
Dear Shareholder,
During the six months ended June 30, 2004, both share classes of Vanguard
Institutional Index Fund returned 3.4% as the U.S. stock market traded within a
relatively narrow range. Your fund's return matched the 3.4% return of its
benchmark, the Standard & Poor's 500 Index, and surpassed the 2.0% average
return of its peer fund group.
[PICTURES OF JOHN J. BRENNAN]
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TOTAL RETURNS SIX MONTHS ENDED
JUNE 30, 2004
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VANGUARD INSTITUTIONAL INDEX FUND
Institutional Shares 3.4%
Institutional Plus Shares 3.4
S&P 500 Index 3.4
Average Large-Cap Core Fund* 2.0
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*Derived from data provided by Lipper Inc.
The adjacent table provides the total returns for your fund (both the
Institutional Shares and the Institutional Plus Shares) and its comparative
yardsticks. A more detailed look at your fund's total returns on a per-share
basis appears on page 5.
STOCKS GAINED AS THE ECONOMY REBOUNDED
Stock markets worldwide showed moderate gains across the board as investors took
heart from a generally positive economic environment. In the United States,
corporate earnings were strong, and Wall Street boosted its earnings-growth
forecasts as the economic expansion accelerated. Consumer confidence solidified
during the half-year as job creation increased.
Gains were tempered, however, by a two-month period in which indicators of
rising inflation rattled investors. Unrest in the Middle East and growing global
demand pushed the price of oil past a level last seen more than 20 years
earlier, during the Iran-Iraq War. But good economic news was back in the
headlines in May and June, prompting a snapback for stocks.
1
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Across the market-cap spectrum, value-oriented stocks outdistanced growth
stocks.
- --------------------------------------------------------------------------------
For the six months, the broad U.S. stock market, as measured by the Dow Jones
Wilshire 5000 Composite Index, returned 3.9%. The Russell 1000 Index of mid- to
large-capitalization stocks produced a 3.3% gain, while the Russell 2000 Index,
a proxy for small-cap stocks, jumped 6.8%. Across the market-cap spectrum,
value-oriented stocks (those that generally trade at below-market valuations
relative to their book values and other fundamental measures) outdistanced
growth stocks (those expected to produce above-average earnings growth).
European and Pacific markets produced local-currency returns topping those of
U.S. stocks. However, international stock returns were dampened somewhat for
U.S.-based investors as the rebounding domestic economy and rising interest
rates caused the U.S. dollar to strengthen against many currencies. (A stronger
U.S. currency means that foreign returns translate into fewer dollars.)
Emerging-markets returns, in aggregate, were negative for the six-month period.
BONDS REACTED TO THE STRONGER ECONOMY
In the fixed income markets, interest rates rose across bond maturities,
depressing prices. Rates stayed at historically low levels during the first half
of the period, then rose sharply in April as the economy strengthened. For the
six months, the yield of the benchmark 10-year U.S. Treasury note increased 33
basis points (0.33 percentage point), from 4.25% to 4.58%. At the short end of
the maturity spectrum, rates climbed more sharply in anticipation of the Federal
Reserve Board's increase in its target federal funds rate. The Fed acted on June
30, lifting its target by 25 basis points, the first increase in four years. The
yield of the 3-month Treasury bill, a proxy for money market rates, climbed from
0.92% at year-end 2003 to 1.26% on June 30.
As earnings growth fortified corporate balance sheets, corporate bonds became
more attractive, enhancing their performance relative to Treasuries. This trend
particularly benefited lesser-quality bonds; the Lehman Brothers High Yield Bond
Index, a benchmark of below-investment-grade bonds, posted a six-month return of
1.4%, compared with the 0.2% return of the broad market, as measured by the
Lehman Aggregate Bond Index.
2
THE FUND'S PERFORMANCE WAS RELATIVELY PLACID
Consistent with the relatively narrow trading ranges that the U.S. stock market
navigated during the first half of 2004, Vanguard Institutional Index Fund
quietly tacked its way to a 3.4% gain, closely following the S&P 500 Index. At
the beginning of the year, the fund was still riding the momentum of last year's
28.7% gain, and by early March it had advanced an additional 4.4%. However,
investor sentiment then cooled, and the fund backtracked to end the first
quarter with a 1.7% gain. The second quarter was similarly indecisive, with a
mildly up-and-down pattern that ended with another three-month increase of 1.7%.
During the six-month period, higher energy prices and improved earnings fueled a
rally in the integrated oils sector. These big oil companies, including
ExxonMobil, ChevronTexaco, and ConocoPhillips, collectively rose about 11%. The
"other energy" companies, which typically focus on specialized aspects of oil
and natural gas exploration, production, and related products and services,
advanced about 17%. Taken together, these two energy-related sectors were the
leading engine for Vanguard Institutional Index Fund's gain.
MARKET BAROMETER TOTAL RETURNS
PERIODS ENDED JUNE 30, 2004
-----------------------------
SIX ONE FIVE
MONTHS YEAR YEARS*
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STOCKS
Russell 1000 Index (Large-caps) 3.3% 19.5% 1.6%
Russell 2000 Index (Small-caps) 6.8 33.4 6.6
Dow Jones Wilshire 5000 Index 3.9 21.2 1.0
(Entire market)
MSCI All Country World Index
ex USA (International) 4.1 32.5 1.0
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BONDS
Lehman Aggregate Bond Index 0.2% 0.3% 6.9%
(Broad taxable market)
Lehman Municipal Bond Index 0.7 0.8 5.9
Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1
================================================================================
CPI
Consumer Price Index 2.9% 3.3% 2.7%
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*Annualized.
The "other" sector, which includes conglomerates such as General Electric and
3M, was another standout, returning more than 8%. The consumer discretionary
group--mostly retailers, media, and entertainment companies--benefited from
healthy consumer spending and therefore also performed better than average,
gaining about 4.5%.
Among the sectors with substandard performances was the fund's largest,
financial services, which is typically vulnerable to rising interest rates. It
advanced in the neighborhood of 2%. The only sector to lose ground was
technology, the fund's second-largest, which cooled off after a sizzling 2003
and declined by less than 1%.
3
THE ENDURING BENEFITS OF INDEX INVESTING
Investing in the stock market is often compared with riding a roller coaster.
Since 1995, that analogy has been particularly apt, with the overall U.S. market
delivering double-digit gains in six different calendar years and double-digit
losses in three others. Thus far in 2004, Vanguard Institutional Index Fund,
like its benchmark, has changed the tempo by gliding more than gyrating.
Of course, no one knows for sure whether the ride for the rest of 2004 and
beyond will be smooth or dizzying. That's why we encourage all our shareholders
to continue to evaluate investments from a long-term perspective. The march of
time smoothes out short-term patterns and, based on history, rewards patience.
And investing in an index fund such as Vanguard Institutional Index Fund is an
ideal way to capitalize on the stock market's long-term potential. Because the
fund holds all 500 stocks that make up the S&P 500, your investment is
broad-based and well positioned to benefit from any gains that the U.S. economy
generates in the future.
In fact, your fund's characteristics of diversification, low turnover, and low
costs constitute a model for managing any portfolio. We're more convinced than
ever that the best plan for long-term success is to maintain a steady,
diversified mix of low-cost stock, bond, and cash investments tailored to your
organization's financial situation.
We appreciate your continued confidence in Vanguard, and we look forward to
reporting to you in early 2005.
Sincerely,
/S/JOHN J. BRENNAN
JOHN J. BRENNAN
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JULY 13, 2004
4
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YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2003 - JUNE 30, 2004
DISTRIBUTIONS PER SHARE
--------------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
INSTITUTIONAL INDEX FUND
Institutional Shares $101.78 $104.51 $0.750 $0.000
Institutional Plus Shares 101.78 104.51 0.763 0.000
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5
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FUND PROFILE
AS OF 6/30/2004
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.
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INSTITUTIONAL INDEX FUND
- ----------------------------------------------------
PORTFOLIO CHARACTERISTICS
TARGET
FUND INDEX*
- ----------------------------------------------------
Number of Stocks 505 500
Median Market Cap $51.7B $51.7B
Price/Earnings Ratio 20.6x 20.6x
Price/Book Ratio 3.0x 3.0x
Yield 1.7%
Institutional Shares 1.6%
Institutional Plus Shares 1.7%
Return on Equity 21.0% 21.0%
Earnings Growth Rate 8.0% 8.0%
Foreign Holdings 0.0% 0.0%
Turnover Rate 5%** --
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. 3.2%
(conglomerate)
Microsoft Corp. 2.9
(software)
ExxonMobil Corp. 2.7
(oil)
Pfizer Inc. 2.4
(pharmaceuticals)
Citigroup, Inc. 2.3
(banking)
Wal-Mart Stores, Inc. 2.1
(retail)
American International Group, Inc. 1.7
(insurance)
Intel Corp. 1.7
(electronics)
Bank of America Corp. 1.6
(banking)
Johnson & Johnson 1.5
(pharmaceuticals)
- --------------------------------------------
Top Ten 22.1%
- --------------------------------------------
"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 21 21
Health Care 13 13
Integrated Oils 5 5
Other Energy 2 2
Materials & Processing 3 3
Producer Durables 4 4
Technology 15 15
Utilities 7 7
Other 5 5
- ----------------------------------------------------
*S&P 500 Index.
**Annualized. Turnover rate excludes the value of portfolio securities received
or delivered as a result of in-kind purchases or redemptions of the fund's
capital shares.
- -------------------------
INVESTMENT FOCUS
Market Cap Large
Style Blend
- -------------------------
VISIT OUR WEBSITE AT VANGUARD.COM
FOR REGULARLY UPDATED FUND INFORMATION.
6
GLOSSARY OF INVESTMENT TERMS
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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.
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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.
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FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks
or depositary receipts of companies based outside the United States.
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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.
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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.
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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.
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7
- --------------------------------------------------------------------------------
PERFORMANCE SUMMARY
AS OF 6/30/2004
All of the returns in this report represent past performance, which is not a
guarantee of future results that may be achieved by the fund. (For the
performance data current to the most recent month-end, which may be higher or
lower than that cited, visit our website at www.vanguard.com.) Note, too, that
both investment returns and principal value can fluctuate widely, so an
investor's shares, when sold, could be worth more or less than their original
cost. The returns shown do not reflect taxes that a shareholder would pay on
fund distributions or on the sale of fund shares.
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INSTITUTIONAL INDEX FUND
- ------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993JUNE 30, 2004
INSTITUTIONAL INDEX FUND
FISCAL YEAR INSTITUTIONAL SHARES 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 -22.1
2003 28.7 28.7
2004* 3.4 3.4
- ------------------------------------------------------------
*Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 20 and 21 for dividend and
capital gains information.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2004
TEN YEARS
ONE FIVE ----------------------
INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------
Institutional Index Fund
Institutional Shares 7/31/1990 19.07% 2.15% 10.02% 1.87% 11.89%
Institutional Plus Shares 7/7/1997 19.10 2.12 3.36* 1.53* 4.89*
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*Return since inception.
8
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
fund, you incur ongoing costs, which include costs for portfolio management,
administrative services, and shareholder reports (like this one), among others.
Operating expenses, which are deducted from a fund's gross income, directly
reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. For the six months ended June 30, 2004,
the Institutional Index Fund's Institutional Shares had an annualized expense
ratio of 0.05%, and the fund's Institutional Plus Shares had an annualized
expense ratio of 0.025%.
The following examples are intended to help you understand the ongoing costs (in
dollars) of investing in your fund and to compare these costs with those of
other mutual funds. The examples are based on an investment of $1,000 made at
the beginning of the period shown and held for the entire period.
The table below illustrates your fund's costs in two ways:
* BASED ON ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and the third column shows the dollar
amount that would have been paid by an investor who started with $1,000 in the
fund. You may use the information here, together with the amount you invested,
to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for your fund under the heading "Expenses Paid During Period."
* BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that the fund had
a return of 5% before expenses during the period shown, but that the expense
ratio is unchanged. In this case--because the return used is not the fund's
actual return--the results do not apply to your investment. The example is
useful in making comparisons because the Securities and Exchange Commission
requires all mutual funds to calculate expenses based on a 5% return. You can
assess your fund's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other funds.
- --------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 2004
BEGINNING ENDING EXPENSES
ACCOUNT VALUE ACCOUNT VALUE PAID DURING
INSTITUTIONAL INDEX FUND 12/31/2003 6/30/2004 PERIOD*
- --------------------------------------------------------------------------------
BASED ON ACTUAL FUND RETURN
Institutional Shares $1,000 $1,034 $0.25
Institutional Plus Shares 1,000 1,034 0.13
BASED ON HYPOTHETICAL 5% RETURN
Institutional Shares $1,000 $1,050 $0.25
Institutional Plus Shares 1,000 1,050 0.13
- --------------------------------------------------------------------------------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 366.
9
Note that the expenses shown in the table on page 9 are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
or account maintenance fees. Your fund does not charge transaction fees, such as
purchase or redemption fees, nor does it carry a "sales load."
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
You can find more information about the fund's expenses, including annual
expense ratios for the past five years, in the Financial Statements section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the appropriate fund prospectus.
10
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AS OF 6/30/2004
FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Securities are
grouped and subtotaled by asset type (common stocks, bonds, etc.) and by
industry sector. Other assets are added to, and liabilities are subtracted from,
the value of Total Investments to calculate the fund's Net Assets. Finally, Net
Assets are divided by the outstanding shares of the fund to arrive at its share
price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. 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.
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MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.6%)(1)
- --------------------------------------------------------------------------------
Auto & Transportation (2 6%)
United Parcel Service, Inc. 4,558,553 342,666
Ford Motor Co. 7,405,192 115,891
General Motors Corp. 2,283,569 106,392
FedEx Corp. 1,208,149 98,694
Harley-Davidson, Inc. 1,193,929 73,952
Union Pacific Corp. 1,048,167 62,314
Southwest Airlines Co. 3,196,042 53,598
Burlington Northern
Santa Fe Corp. 1,500,130 52,610
Norfolk Southern Corp. 1,585,779 42,055
PACCAR, Inc. 709,598 41,150
CSX Corp. 868,415 28,458
Genuine Parts Co. 705,447 27,992
Delphi Corp. 2,266,140 24,202
Dana Corp. 602,775 11,814
* Navistar International Corp. 282,371 10,945
Cooper Tire & Rubber Co. 300,298 6,907
* The Goodyear Tire & Rubber Co. 708,942 6,444
Visteon Corp. 523,370 6,108
* Delta Air Lines, Inc. 505,750 3,601
-----------
1,115,793
-----------
CONSUMER DISCRETIONARY (13.7%)
Wal-Mart Stores, Inc. 17,347,461 915,252
* Time Warner, Inc. 18,439,061 324,159
Home Depot, Inc. 8,990,522 316,466
Viacom Inc. Class B 6,970,746 248,995
* eBay Inc. 2,659,008 244,496
The Walt Disney Co. 8,299,337 211,550
* Yahoo! Inc. 5,447,471 197,907
Gillette Co. 4,058,661 172,087
Lowe's Cos., Inc. 3,179,878 167,103
Target Corp. 3,694,741 156,916
Kimberly-Clark Corp. 2,027,515 133,573
McDonald's Corp. 5,091,720 132,385
Carnival Corp. 2,558,552 120,252
Cendant Corp. 4,124,849 100,976
Gannett Co., Inc. 1,102,440 93,542
Clear Channel
Communications, Inc. 2,484,498 91,802
The Gap, Inc. 3,641,191 88,299
Avon Products, Inc. 1,909,344 88,097
NIKE, Inc. Class B 1,067,901 80,894
Costco Wholesale Corp. 1,856,658 76,253
Waste Management, Inc. 2,348,101 71,969
* Starbucks Corp. 1,604,103 69,746
* Electronic Arts Inc. 1,224,660 66,805
Best Buy Co., Inc. 1,312,357 66,589
* Apollo Group, Inc. Class A 714,127 63,050
Tribune Co. 1,325,238 60,351
The McGraw-Hill Cos., Inc. 770,523 58,999
Staples, Inc. 2,011,666 58,962
* Kohl's Corp. 1,379,381 58,320
11
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.6%)(1)
- --------------------------------------------------------------------------------
Omnicom Group Inc. 764,665 58,030
International Game Technology 1,411,397 54,480
TJX Cos., Inc. 2,001,663 48,320
* Bed Bath & Beyond, Inc. 1,215,672 46,743
Marriott International, Inc.
Class A 914,967 45,639
* Yum! Brands, Inc. 1,170,833 43,578
J.C. Penney Co., Inc.
(Holding Co.) 1,141,157 43,090
* Univision Communications Inc. 1,307,985 41,764
Starwood Hotels & Resorts
Worldwide, Inc. 837,355 37,555
Federated Department
Stores, Inc. 727,234 35,707
Limited Brands, Inc. 1,905,960 35,642
Cintas Corp. 692,295 33,002
Sears, Roebuck & Co. 860,785 32,503
May Department Stores Co. 1,176,402 32,339
Eastman Kodak Co. 1,159,502 31,283
Mattel, Inc. 1,708,422 31,179
R.R. Donnelley & Sons Co. 878,708 29,015
Hilton Hotels Corp. 1,550,459 28,932
* AutoZone Inc. 336,219 26,931
New York Times Co. Class A 601,380 26,888
Newell Rubbermaid, Inc. 1,111,465 26,119
Dollar General Corp. 1,333,554 26,084
Harrah's Entertainment, Inc. 456,323 24,687
Nordstrom, Inc. 562,662 23,975
* Interpublic Group of Cos., Inc. 1,694,264 23,262
Knight Ridder 318,428 22,927
* Office Depot, Inc. 1,265,647 22,668
Tiffany & Co. 592,328 21,827
VF Corp. 444,442 21,644
Family Dollar Stores, Inc. 693,821 21,106
Leggett & Platt, Inc. 776,756 20,747
Robert Half International, Inc. 694,151 20,665
Jones Apparel Group, Inc. 510,294 20,146
Black & Decker Corp. 320,302 19,900
Whirlpool Corp. 279,086 19,145
RadioShack Corp. 650,615 18,627
* AutoNation, Inc. 1,081,521 18,494
Alberto-Culver Co. Class B 365,941 18,348
* Allied Waste Industries, Inc. 1,283,781 16,920
Liz Claiborne, Inc. 448,729 16,145
Wendy's International, Inc. 461,582 16,082
Sabre Holdings Corp. 562,599 15,590
The Stanley Works 330,414 15,060
International Flavors &
Fragrances, Inc. 381,742 14,277
* Toys R Us, Inc. 865,425 13,786
Hasbro, Inc. 713,591 13,558
Darden Restaurants Inc. 651,333 13,385
* Monster Worldwide Inc. 474,046 12,193
Meredith Corp. 203,215 11,169
Circuit City Stores, Inc. 804,006 10,412
* Convergys Corp. 579,556 8,925
Reebok International Ltd. 242,517 8,726
Snap-On Inc. 235,581 7,904
Maytag Corp. 319,107 7,821
Dillard's Inc. 338,474 7,548
* Big Lots Inc. 465,835 6,736
Viacom Inc. Class A 36,030 1,310
-----------
5,906,333
-----------
CONSUMER STAPLES (7.7%)
The Procter & Gamble Co. 10,398,738 566,107
The Coca-Cola Co. 9,851,017 497,279
Altria Group, Inc. 8,295,045 415,167
PepsiCo, Inc. 6,903,528 371,962
Anheuser-Busch Cos., Inc. 3,252,860 175,654
Walgreen Co. 4,143,492 150,036
Colgate-Palmolive Co. 2,152,275 125,800
Sysco Corp. 2,585,836 92,754
Sara Lee Corp. 3,196,698 73,492
General Mills, Inc. 1,528,645 72,657
Kellogg Co. 1,660,988 69,512
CVS Corp. 1,606,947 67,524
ConAgra Foods, Inc. 2,137,539 57,885
Wm. Wrigley Jr. Co. 908,539 57,283
H.J. Heinz Co. 1,424,116 55,825
Coca-Cola Enterprises, Inc. 1,901,714 55,131
* The Kroger Co. 3,003,305 54,660
Hershey Foods Corp. 1,049,314 48,552
The Clorox Co. 858,130 46,150
* Safeway, Inc. 1,805,386 45,748
Campbell Soup Co. 1,662,266 44,682
Albertson's, Inc. 1,487,600 39,481
The Pepsi Bottling Group, Inc. 1,041,613 31,811
UST, Inc. 669,341 24,096
Brown-Forman Corp. Class B 491,653 23,732
R.J. Reynolds Tobacco
Holdings, Inc. 344,872 23,310
McCormick & Co., Inc. 556,410 18,918
SuperValu Inc. 545,238 16,690
Adolph Coors Co. Class B 150,381 10,879
Winn-Dixie Stores, Inc. 574,791 4,138
-----------
3,336,915
-----------
FINANCIAL SERVICES (21.4%)
Citigroup, Inc. 20,921,375 972,844
American International
Group, Inc. 10,551,731 752,127
Bank of America Corp. 8,246,498 697,819
Wells Fargo & Co. 6,824,705 390,578
12
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.6%)(1)
- --------------------------------------------------------------------------------
J.P. Morgan Chase & Co. 8,418,981 326,404
Fannie Mae 3,919,734 279,712
American Express Co. 5,167,899 265,527
Wachovia Corp. 5,317,138 236,613
Morgan Stanley 4,446,088 234,620
Bank One Corp. 4,542,119 231,648
U.S. Bancorp 7,665,037 211,248
Merrill Lynch & Co., Inc. 3,887,800 209,863
The Goldman Sachs Group, Inc. 1,952,097 183,810
Freddie Mac 2,784,358 176,250
First Data Corp. 3,529,006 157,111
Washington Mutual, Inc. 3,497,814 135,156
MBNA Corp. 5,168,034 133,284
Allstate Corp. 2,842,001 132,295
Fifth Third Bancorp 2,276,457 122,428
Metropolitan Life Insurance Co. 3,057,276 109,603
St. Paul Travelers Cos., Inc. 2,697,820 109,370
Automatic Data Processing, Inc. 2,387,842 100,003
Prudential Financial, Inc. 2,127,287 98,855
Marsh & McLennan Cos., Inc. 2,116,644 96,053
National City Corp. 2,673,390 93,595
The Bank of New York Co., Inc. 3,144,223 92,692
Lehman Brothers Holdings, Inc. 1,120,068 84,285
AFLAC Inc. 2,056,868 83,941
BB&T Corp. 2,269,317 83,897
The Hartford Financial Services Group Inc. 1,181,353 81,206
Countrywide Financial Corp. 1,130,117 79,391
Progressive Corp. of Ohio 879,658 75,035
SunTrust Banks, Inc. 1,142,485 74,250
SLM Corp. 1,775,861 71,834
State Street Corp. 1,358,624 66,627
Capital One Financial Corp. 969,843 66,318
Golden West Financial Corp. 617,456 65,666
PNC Financial Services Group 1,141,020 60,565
Charles Schwab Corp. 5,519,947 53,047
The Chubb Corp. 767,420 52,323
SouthTrust Corp. 1,333,800 51,765
Paychex, Inc. 1,527,507 51,752
Franklin Resources Corp. 1,011,201 50,641
Mellon Financial Corp. 1,717,237 50,367
KeyCorp 1,660,021 49,618
ACE Ltd. 1,145,316 48,424
Loews Corp. 750,208 44,983
The Principal Financial Group, Inc. 1,291,213 44,908
Equity Office Properties Trust REIT 1,632,350 44,400
Simon Property Group, Inc. REIT 841,696 43,280
XL Capital Ltd. Class A 558,593 42,151
M & T Bank Corp. 479,438 41,855
Charter One Financial, Inc. 905,316 40,006
CIGNA Corp. 571,936 39,355
Moody's Corp. 605,414 39,146
Comerica, Inc. 700,708 38,455
Northern Trust Corp. 891,450 37,691
Aon Corp. 1,274,644 36,289
AmSouth Bancorp 1,424,667 36,286
Bear Stearns Co., Inc. 424,356 35,778
Marshall & Ilsley Corp. 898,542 35,124
Lincoln National Corp. 721,178 34,076
H & R Block, Inc. 707,657 33,741
Equity Residential REIT 1,133,333 33,694
MBIA, Inc. 583,989 33,358
Regions Financial Corp. 886,906 32,416
Ambac Financial Group, Inc. 438,459 32,200
Synovus Financial Corp. 1,232,823 31,215
* Fiserv, Inc. 788,511 30,665
* SunGard Data Systems, Inc. 1,173,533 30,512
MGIC Investment Corp. 399,533 30,309
Cincinnati Financial Corp. 680,457 29,614
Jefferson-Pilot Corp. 565,636 28,734
North Fork Bancorp, Inc. 699,575 26,619
T. Rowe Price Group Inc. 512,350 25,822
Sovereign Bancorp, Inc. 1,131,543 25,007
SAFECO Corp. 563,413 24,790
Torchmark Corp. 450,227 24,222
ProLogis REIT 733,473 24,146
Plum Creek Timber Co. Inc. REIT 741,015 24,142
Union Planters Corp. 769,413 22,936
First Horizon National Corp. 501,654 22,810
Zions Bancorp 362,246 22,260
Huntington Bancshares Inc. 928,227 21,256
UnumProvident Corp. 1,198,860 19,062
* Providian Financial Corp. 1,177,873 17,279
* E*TRADE Financial Corp. 1,478,245 16,482
Janus Capital Group Inc. 968,495 15,970
Dow Jones & Co., Inc. 331,100 14,933
Equifax, Inc. 554,201 13,717
Federated Investors, Inc. 437,247 13,266
Apartment Investment & Management Co.
Class A REIT 381,133 11,865
Ryder System, Inc. 264,580 10,602
Deluxe Corp. 201,673 8,773
Provident Financial Group, Inc. 53,900 2,127
-----------
9,238,787
-----------
HEALTH CARE (13.2%)
Pfizer Inc. 30,869,495 1,058,206
Johnson & Johnson 12,007,318 668,808
Merck & Co., Inc. 8,986,534 426,860
13
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.6%)(1)
- --------------------------------------------------------------------------------
Eli Lilly & Co. 4,568,627 319,393
* Amgen, Inc. 5,143,784 280,696
Abbott Laboratories 6,307,371 257,088
Medtronic, Inc. 4,903,155 238,882
Wyeth 5,392,605 194,997
Bristol-Myers Squibb Co. 7,862,946 192,642
UnitedHealth Group Inc. 2,490,948 155,062
* Boston Scientific Corp. 3,377,733 144,567
Cardinal Health, Inc. 1,740,569 121,927
Schering-Plough Corp. 5,952,310 109,999
Stryker Corp. 1,618,954 89,042
* Zimmer Holdings, Inc. 987,276 87,078
* Biogen Idec Inc. 1,374,154 86,915
Baxter International, Inc. 2,479,197 85,557
* Forest Laboratories, Inc. 1,496,340 84,738
HCA Inc. 1,964,174 81,690
Guidant Corp. 1,268,808 70,901
* WellPoint Health Networks Inc. Class A 629,531 70,514
* Caremark Rx, Inc. 1,850,130 60,943
* St. Jude Medical, Inc. 712,581 53,907
Becton, Dickinson & Co. 1,024,507 53,069
Aetna Inc. 616,302 52,386
* Anthem, Inc. 560,732 50,219
Allergan, Inc. 531,248 47,557
Biomet, Inc. 1,029,145 45,735
* Genzyme Corp. General Division 916,308 43,369
* Medco Health Solutions, Inc. 1,096,388 41,115
McKesson Corp. 1,184,396 40,660
* Gilead Sciences, Inc. 531,791 35,630
Quest Diagnostics, Inc. 418,480 35,550
* Chiron Corp. 764,264 34,117
AmerisourceBergen Corp. 454,188 27,151
* Tenet Healthcare Corp. 1,882,655 25,246
* Express Scripts Inc. 315,229 24,976
C.R. Bard, Inc. 422,087 23,911
* MedImmune Inc. 1,006,079 23,542
IMS Health, Inc. 950,941 22,290
Health Management Associates Class A 983,512 22,050
Mylan Laboratories, Inc. 1,086,641 22,004
* Hospira, Inc. 631,246 17,422
Bausch & Lomb, Inc. 214,122 13,933
* Watson Pharmaceuticals, Inc. 440,464 11,848
Manor Care, Inc. 359,502 11,749
* Millipore Corp. 199,315 11,235
* King Pharmaceuticals, Inc. 976,274 11,178
* Humana Inc. 653,050 11,037
-----------
5,699,391
-----------
INTEGRATED OILS (4.6%)
ExxonMobil Corp. 26,453,057 1,174,780
ChevronTexaco Corp. 4,327,453 407,257
ConocoPhillips Co. 2,773,720 211,607
Occidental Petroleum Corp. 1,582,210 76,595
Marathon Oil Corp. 1,397,084 52,866
Unocal Corp. 1,066,054 40,510
Amerada Hess Corp. 364,022 28,827
-----------
1,992,442
-----------
OTHER ENERGY (1.8%)
Schlumberger Ltd. 2,382,571 151,317
Devon Energy Corp. 970,026 64,022
Anadarko Petroleum Corp. 1,018,874 59,706
Burlington Resources, Inc. 1,604,662 58,057
Apache Corp. 1,315,363 57,284
Halliburton Co. 1,780,590 53,881
Baker Hughes, Inc. 1,347,154 50,720
Valero Energy Corp. 520,655 38,404
* Transocean Inc. 1,297,444 37,548
Kerr-McGee Corp. 604,896 32,525
* BJ Services Co. 650,713 29,829
EOG Resources, Inc. 471,383 28,146
* Nabors Industries, Inc. 600,888 27,172
Williams Cos., Inc. 2,102,187 25,016
* Noble Corp. 545,448 20,667
El Paso Corp. 2,593,755 20,439
Sunoco, Inc. 305,765 19,453
* Rowan Cos., Inc. 427,812 10,409
* Calpine Corp. 1,682,448 7,268
* Dynegy, Inc. 1,532,357 6,528
-----------
798,391
-----------
MATERIALS & Processing (3.4%)
E.I. du Pont de Nemours & Co. 4,045,118 179,684
Dow Chemical Co. 3,786,138 154,096
Alcoa Inc. 3,516,007 116,134
International Paper Co. 1,963,390 87,764
Newmont Mining Corp. (Holding Co.) 1,792,461 69,476
Weyerhaeuser Co. 975,491 61,573
Masco Corp. 1,771,730 55,243
Praxair, Inc. 1,314,364 52,456
Air Products & Chemicals, Inc. 919,443 48,225
Archer-Daniels-Midland Co. 2,628,694 44,110
PPG Industries, Inc. 693,877 43,360
Monsanto Co. 1,074,457 41,367
Georgia Pacific Group 1,031,247 38,136
Rohm & Haas Co. 906,556 37,695
* American Standard Cos., Inc. 869,859 35,064
Ecolab, Inc. 1,039,293 32,946
* Phelps Dodge Corp. 378,076 29,305
Avery Dennison Corp. 446,843 28,602
14
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.6%)(1)
- --------------------------------------------------------------------------------
Nucor Corp. 319,320 24,511
Sherwin-Williams Co. 579,233 24,067
MeadWestvaco Corp. 815,050 23,954
Freeport-McMoRan Copper & Gold, Inc. Class B 715,978 23,735
Vulcan Materials Co. 413,046 19,640
* Sealed Air Corp. 341,065 18,169
Sigma-Aldrich Corp. 279,665 16,671
Ball Corp. 227,999 16,427
Engelhard Corp. 502,743 16,244
United States Steel Corp. 458,306 16,096
Fluor Corp. 335,866 16,011
Temple-Inland Inc. 223,932 15,507
* Pactiv Corp. 619,794 15,458
Ashland, Inc. 284,621 15,031
Eastman Chemical Co. 313,176 14,478
Boise Cascade Corp. 354,716 13,352
Bemis Co., Inc. 432,577 12,220
Louisiana-Pacific Corp. 440,026 10,407
Worthington Industries, Inc. 351,097 7,208
Allegheny Technologies Inc. 328,573 5,931
Great Lakes Chemical Corp. 204,883 5,544
* Hercules, Inc. 444,520 5,419
-----------
1,491,316
-----------
PRODUCER DURABLES (4.2%)
United Technologies Corp. 2,078,621 190,152
The Boeing Co. 3,409,767 174,205
* Applied Materials, Inc. 6,818,907 133,787
Illinois Tool Works, Inc. 1,252,711 120,123
Caterpillar, Inc. 1,382,810 109,850
Emerson Electric Co. 1,706,159 108,426
Lockheed Martin Corp. 1,814,994 94,525
Northrop Grumman Corp. 1,454,094 78,085
Deere & Co. 1,006,932 70,626
Danaher Corp. 1,245,837 64,597
* Agilent Technologies, Inc. 1,947,235 57,015
* Lexmark International, Inc. 525,532 50,730
Ingersoll-Rand Co. 700,919 47,880
* Xerox Corp. 3,237,055 46,937
Pitney Bowes, Inc. 935,053 41,376
* KLA-Tencor Corp. 795,037 39,259
Dover Corp. 822,090 34,610
Parker Hannifin Corp. 483,526 28,750
Pulte Homes, Inc. 512,659 26,674
Molex, Inc. 766,932 24,603
Rockwell Collins, Inc. 717,381 23,903
* Waters Corp. 483,494 23,101
Centex Corp. 499,085 22,833
Cooper Industries, Inc. Class A 374,131 22,227
W.W. Grainger, Inc. 367,680 21,142
* Thermo Electron Corp. 670,378 20,607
* Novellus Systems, Inc. 598,253 18,809
* Teradyne, Inc. 784,644 17,811
American Power Conversion Corp. 809,983 15,916
Goodrich Corp. 475,793 15,382
Pall Corp. 506,001 13,252
* Andrew Corp. 649,922 13,005
KB HOME 188,875 12,963
Tektronix, Inc. 342,239 11,643
Cummins Inc. 174,432 10,902
Crane Co. 240,732 7,557
Thomas & Betts Corp. 237,696 6,472
* Power-One, Inc. 337,190 3,702
-----------
1,823,437
-----------
TECHNOLOGY (15.0%)
Microsoft Corp. 43,662,802 1,247,010
Intel Corp. 26,162,074 722,073
* Cisco Systems, Inc. 27,348,997 648,171
International Business Machines Corp. 6,815,940 600,825
* Dell Inc. 10,204,943 365,541
Hewlett-Packard Co. 12,331,879 260,203
* Oracle Corp. 21,008,933 250,637
QUALCOMM Inc. 3,277,162 239,167
Motorola, Inc. 9,479,916 173,008
Texas Instruments, Inc. 7,000,558 169,273
* EMC Corp. 9,885,057 112,690
General Dynamics Corp. 805,217 79,958
* Corning, Inc. 5,550,881 72,495
Analog Devices, Inc. 1,520,246 71,573
Maxim Integrated Products, Inc. 1,303,727 68,341
Computer Associates International, Inc. 2,365,794 66,384
* Lucent Technologies, Inc. 17,333,074 65,519
Raytheon Co. 1,810,838 64,774
* Broadcom Corp. 1,270,803 59,436
* Sun Microsystems, Inc. 13,454,784 58,394
* Symantec Corp. 1,261,665 55,236
* Apple Computer, Inc. 1,537,363 50,026
Linear Technology Corp. 1,251,619 49,401
* Veritas Software Corp. 1,747,349 48,402
Xilinx, Inc. 1,403,889 46,764
Adobe Systems, Inc. 965,809 44,910
* Micron Technology, Inc. 2,469,447 37,807
Electronic Data Systems Corp. 1,958,981 37,515
* Computer Sciences Corp. 758,674 35,225
* Altera Corp. 1,514,066 33,643
* National Semiconductor Corp. 1,451,054 31,909
* Network Appliance, Inc. 1,405,702 30,265
* Intuit, Inc. 774,919 29,896
15
- --------------------------------------------------------------------------------
MARKET
VALUE*
INSTITUTIONAL INDEX FUND SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS (99.6%)(1)
- --------------------------------------------------------------------------------
* Affiliated Computer Services, Inc. Class A 550,133 29,124
* Avaya Inc. 1,794,557 28,336
Rockwell Automation, Inc. 751,786 28,199
* PeopleSoft, Inc. 1,475,701 27,300
* Solectron Corp. 3,887,981 25,155
* Advanced Micro Devices, Inc. 1,430,381 22,743
* JDS Uniphase Corp. 5,826,220 22,081
* Siebel Systems, Inc. 2,032,402 21,706
Scientific-Atlanta, Inc. 619,592 21,376
* Jabil Circuit, Inc. 811,925 20,444
Autodesk, Inc. 459,057 19,652
* Sanmina-SCI Corp. 2,107,299 19,176
* NCR Corp. 382,666 18,976
* Unisys Corp. 1,348,292 18,714
* Mercury Interactive Corp. 372,958 18,585
Applera Corp. Applied Biosystems Group 816,618 17,761
* BMC Software, Inc. 901,501 16,678
* Comverse Technology, Inc. 791,526 15,783
* Tellabs, Inc. 1,681,896 14,700
* Citrix Systems, Inc. 688,645 14,021
Symbol Technologies, Inc. 948,742 13,984
* NVIDIA Corp. 671,318 13,762
* Novell, Inc. 1,564,520 13,126
* LSI Logic Corp. 1,545,515 11,777
PerkinElmer, Inc. 516,437 10,349
* Compuware Corp. 1,561,961 10,309
* PMC Sierra Inc. 714,308 10,250
* QLogic Corp. 377,060 10,026
* ADC Telecommunications, Inc. 3,271,461 9,291
* CIENA Corp. 2,295,754 8,540
* Gateway, Inc. 1,505,782 6,776
* Applied Micro Circuits Corp. 1,260,502 6,706
* Parametric Technology Corp. 1,083,790 5,419
-----------
6,477,296
-----------
UTILITIES (6.7%)
Verizon Communications Inc. 11,203,376 405,450
SBC Communications Inc. 13,395,565 324,842
* Comcast Corp. Class A 8,128,574 227,844
BellSouth Corp. 7,419,419 194,537
* AT&T Wireless Services Inc. 11,031,247 157,968
* Nextel Communications, Inc. 4,488,234 119,656
Sprint Corp. 5,768,084 101,518
Exelon Corp. 2,673,007 88,984
Southern Co. 2,982,865 86,951
Dominion Resources, Inc. 1,320,622 83,305
Duke Energy Corp. 3,700,411 75,081
ALLTEL Corp. 1,246,860 63,116
TXU Corp. 1,309,816 53,061
Entergy Corp. 931,423 52,169
American Electric Power Co., Inc. 1,600,257 51,208
FirstEnergy Corp. 1,334,008 49,905
FPL Group, Inc. 747,511 47,803
* PG&E Corp. 1,694,889 47,355
AT&T Corp. 3,210,823 46,974
Progress Energy, Inc. 997,427 43,937
Consolidated Edison Inc. 974,842 38,760
Public Service Enterprise Group, Inc. 957,125 38,314
Edison International 1,317,840 33,697
Ameren Corp. 777,758 33,412
PPL Corp. 719,280 33,015
Sempra Energy 929,347 31,997
Kinder Morgan, Inc. 501,852 29,755
DTE Energy Co. 701,513 28,439
Cinergy Corp. 727,616 27,649
Xcel Energy, Inc. 1,614,911 26,985
* Comcast Corp. Special Class A 940,053 25,955
* Qwest Communications International Inc. 7,217,418 25,911
Constellation Energy Group, Inc. 681,576 25,832
* AES Corp. 2,577,432 25,594
KeySpan Corp. 647,897 23,778
NiSource, Inc. 1,065,583 21,972
CenturyTel, Inc. 561,864 16,878
Pinnacle West Capital Corp. 369,520 14,925
CenterPoint Energy Inc. 1,242,867 14,293
* Citizens Communications Co. 1,163,025 14,073
TECO Energy, Inc. 761,761 9,134
* Allegheny Energy, Inc. 513,472 7,913
Peoples Energy Corp. 151,493 6,385
NICOR Inc. 178,431 6,061
* CMS Energy Corp. 661,239 6,037
-----------
2,888,428
-----------
OTHER (5.3%)
General Electric Co. 42,697,871 1,383,411
3M Co. 3,162,841 284,687
Tyco International Ltd. 8,110,439 268,780
Honeywell International Inc. 3,473,570 127,237
Fortune Brands, Inc. 591,547 44,620
Johnson Controls, Inc. 768,573 41,026
Eaton Corp. 609,083 39,432
Textron, Inc. 556,530 33,030
ITT Industries, Inc. 374,429 31,078
Brunswick Corp. 383,244 15,636
-----------
2,268,937
-----------
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(COST $38,667,439) 43,037,466
- --------------------------------------------------------------------------------
16
- --------------------------------------------------------------------------------
FACE MARKET
AMOUNT VALUE*
SHARES (000)
- --------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.3%)(1)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.05%, 7/14/2004 $17,000 16,992
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.46%, 7/1/2004--Note E 45,125 45,125
1.47%, 7/1/2004 83,319 83,319
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(COST $145,436) 145,436
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (99.9%)
(COST $38,812,875) 43,182,902
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.1%)
- --------------------------------------------------------------------------------
Other Assets 334,337
Liabilities--Note E (281,425)
-----------
52,912
-----------
- --------------------------------------------------------------------------------
NET ASSETS (100%) $43,235,814
================================================================================
*See Note A in Notes to Financial Statements.
*Non-income-producing security.
(1)The fund invests a portion of its cash reserves in equity markets through the
use of index futures contracts. After giving effect to futures investments, the
fund's effective common stock and temporary cash investment positions represent
99.9% and 0.0%, 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 JUNE 30, 2004, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $40,877,406
Undistributed Net Investment Income 23,608
Accumulated Net Realized Losses (2,036,432)
Unrealized Appreciation
Investment Securities 4,370,027
Futures Contracts 1,205
- --------------------------------------------------------------------------------
NET ASSETS $43,235,814
================================================================================
Institutional Shares--Net Assets
Applicable to 300,144,534 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $31,366,807
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $104.51
================================================================================
Institutional Plus Shares--Net Assets
Applicable to 113,571,048 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $11,869,007
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL PLUS SHARES $104.51
================================================================================
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
SIX MONTHS ENDED JUNE 30, 2004
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Dividends $ 332,121
Interest 887
Security Lending 91
- --------------------------------------------------------------------------------
Total Income 333,099
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative
Institutional Shares 7,657
Institutional Plus Shares 1,291
- --------------------------------------------------------------------------------
Total Expenses 8,948
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 324,151
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold (130,760)
Futures Contracts 13,367
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (117,393)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 1,155,215
Futures Contracts (5,278)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 1,149,937
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $1,356,695
================================================================================
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
-----------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2004 DEC. 31, 2003
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 324,151 $ 581,883
Realized Net Gain (Loss) (117,393) 1,488,925
Change in Unrealized Appreciation (Depreciation) 1,149,937 6,564,004
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Operations 1,356,695 8,634,812
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Institutional Shares (223,196) (422,249)
Institutional Plus Shares (82,255) (157,952)
Realized Capital Gain
Institutional Shares -- --
Institutional Plus Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (305,451) (580,201)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--NOTE F
Institutional Shares 1,098,908 3,213,652
Institutional Plus Shares 2,822,724 (2,408,925)
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions 3,921,632 804,727
- --------------------------------------------------------------------------------
Total Increase (Decrease) 4,972,876 8,859,338
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 38,262,938 29,403,600
- --------------------------------------------------------------------------------
End of Period $43,235,814 $38,262,938
================================================================================
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
- -----------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, -----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $101.78 $ 80.45 $104.89 $120.72 $134.02 $112.85
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .79 1.54 1.42 1.374 1.403 1.501
Net Realized and Unrealized 2.69 21.32 (24.45) (15.829) (13.303) 22.143
- -----------------------------------------------------------------------------------------------------------------
Total from Investment Opera 3.48 22.86 (23.03) (14.455) (11.900) 23.644
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.75) (1.53) (1.41) (1.375) (1.400) (1.514)
Distributions from Realized Capital Gains -- -- -- -- -- (.960)
- -----------------------------------------------------------------------------------------------------------------
Total Distributions (.75) (1.53) (1.41) (1.375) (1.400) (2.474)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $104.51 $101.78 $ 80.45 $104.89 $120.72 $134.02
=================================================================================================================
TOTAL RETURN 3.43% 28.66% -22.03% -11.93% -8.95% 21.17%
=================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $31,367 $29,458 $20,361 $24,165 $26,406 $28,918
Ratio of Total Expenses to Average Net Assets 0.05%* 0.05% 0.05% 0.05% 0.06% 0.06%
Ratio of Net Investment Income to
Average Net Assets 1.58%* 1.74% 1.57% 1.27% 1.10% 1.25%
Portfolio Turnover Rate** 5%* 4% 8% 5% 7% 3%
=================================================================================================================
*Annualized.
**Excludes the value of portfolio securities received or delivered as a result
of in-kind purchases or redemptions of the fund's capital shares.
20
INSTITUTIONAL INDEX FUND INSTITUTIONAL PLUS SHARES
- -----------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, -----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $101.78 $ 80.45 $104.89 $120.72 $134.02 $112.85
- -----------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .803 1.562 1.438 1.405 1.449 1.542
Net Realized and Unrealized Gain (Loss)
on Investments 2.690 21.320 (24.446) (15.829) (13.302) 22.143
- -----------------------------------------------------------------------------------------------------------------
Total from Investment Operations 3.493 22.882 (23.008) (14.424) (11.853) 23.685
- -----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.763) (1.552) (1.432) (1.406) (1.447) (1.555)
Distributions from Realized Capital Gains -- -- -- -- -- (.960)
- -----------------------------------------------------------------------------------------------------------------
Total Distributions (.763) (1.552) (1.432) (1.406) (1.447) (2.515)
- -----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $104.51 $101.78 $ 80.45 $104.89 $120.72 $134.02
=================================================================================================================
TOTAL RETURN 3.45% 28.69% -22.01% -11.90% -8.92% 21.21%
=================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $11,869 $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% 0.025%
Ratio of Net Investment Income to
Average Net Assets 1.60% 1.76% 1.59% 1.31% 1.14% 1.29%
Portfolio Turnover Rate 5%* 4% 8% 5% 7% 3%
=================================================================================================================
*Annualized.
**Excludes the value of portfolio securities received or delivered as a result
of in-kind purchases or redemptions of the fund's capital shares.
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,
21
NOTES TO FINANCIAL STATEMENTS (continued)
and minimizing transaction costs. The fund may purchase futures contracts to
immediately invest incoming cash in the market, or sell futures in response to
cash outflows, thereby simulating a fully invested position in the underlying
index while maintaining a cash balance for liquidity. The fund may seek to
enhance returns by using futures contracts instead of the underlying securities
when futures are believed to be priced more attractively than the underlying
securities. The primary risks associated with the use of futures contracts are
imperfect correlation between changes in market values of stocks held by the
fund and the prices of futures contracts, and the possibility of an illiquid
market.
Futures contracts are valued at their quoted daily settlement prices. The
aggregate principal amounts of the contracts are not recorded in the financial
statements. Fluctuations in the value of the contracts are recorded in the
Statement of Net Assets as an asset (liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized futures gains (losses).
3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard
Group, transfers uninvested cash balances into a pooled cash account, which is
invested in repurchase agreements secured by U.S. government securities.
Securities pledged as collateral for repurchase agreements are held by a
custodian bank until the agreements mature. Each agreement requires that the
market value of the collateral be sufficient to cover payments of interest and
principal; however, in the event of default or bankruptcy by the other party to
the agreement, retention of the collateral may be subject to legal proceedings.
4. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a regulated
investment company and distribute all of its taxable income. Accordingly, no
provision for federal income taxes is required in the financial statements.
5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend
date.
6. OTHER: Dividend income is recorded on the ex-dividend date. Security
transactions are accounted for on the date securities are bought or sold. Costs
used to determine realized gains (losses) on the sale of investment securities
are those of the specific securities sold. Class-specific shareholder servicing
fees are charged to each class at the contractual rate. Income, expenses not
attributable to a specific class, and realized and unrealized gains and losses
on investments 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 six months ended June 30, 2004, the fund realized $99,515,000 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.
22
The fund's tax-basis capital gains and losses are determined only at the end of
each fiscal year. For tax purposes, at December 31, 2003, 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. The fund will use these capital losses to offset net taxable capital
gains, if any, realized during the year ending December 31, 2004; should the
fund realize net capital losses for the year, the losses will be added to the
loss carryforward balances above.
At June 30, 2004, net unrealized appreciation of investment securities for tax
purposes was $4,370,027,000, consisting of unrealized gains of $8,494,980,000 on
securities that had risen in value since their purchase and $4,124,953,000 in
unrealized losses on securities that had fallen in value since their purchase.
At June 30, 2004, the aggregate settlement value of open futures contracts
expiring in September 2004 and the related unrealized appreciation
(depreciation) were:
- --------------------------------------------------------------------------------
(000)
----------------------------
Aggregate Unrealized
Number of Settlement Appreciation
Futures Contracts Long Contracts Value (Depreciation)
- --------------------------------------------------------------------------------
S&P 500 Index 559 $159,371 $1,190
E-Mini S&P 500 Index 140 7,983 15
- --------------------------------------------------------------------------------
Unrealized appreciation (depreciation) on open futures contracts is required to
be treated as realized gain (loss) for tax purposes.
D. During the six months ended June 30, 2004, the fund purchased $5,056,335,000
of investment securities and sold $1,102,068,000 of investment securities, other
than temporary cash investments.
E. The market value of securities on loan to broker/dealers at June 30, 2004,
was $41,199,000, for which the fund held cash collateral of $45,125,000. The
fund invests cash collateral received in repurchase agreements, and records a
liability for the return of the collateral, during the period the securities are
on loan.
F. Capital share transactions for each class of shares were:
- --------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2004 DECEMBER 31, 2003
----------------------- ---------------------------
AMOUNT SHARES AMOUNT SHARES
(000) (000) (000) (000)
- --------------------------------------------------------------------------------------------------------
Institutional Shares
Issued $ 5,197,464 50,198 $ 7,987,042 90,051
Issued in Lieu of Cash Distributions 200,423 1,953 380,701 4,185
Redeemed (4,298,979) (41,436) (5,154,091) (57,889)
- --------------------------------------------------------------------------------------------------------
Net Increase (Decrease)--Institutional Shares 1,098,908 10,715 3,213,652 36,347
- --------------------------------------------------------------------------------------------------------
Institutional Plus Shares
Issued 3,318,916 31,848 1,660,391 18,568
Issued in Lieu of Cash Distributions 78,565 765 149,700 1,662
Redeemed (574,757) (5,556) (4,219,016) (46,105)
---------------------------------------------------
Net Increase (Decrease)--Institutional Plus Shares 2,822,724 27,057 (2,408,925) (25,875)
- --------------------------------------------------------------------------------------------------------
23
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
(129)
- ------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor
(1937) (129) 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) (129) 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 (129) 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) (127) Director of Vanguard Investment Series plc (Irish investment 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) (129) 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) (129) (chemicals); Director of Cummins Inc. (diesel engines), The Mead
April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical
distribution); Trustee of Vanderbilt University.
- ------------------------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc.;
(1951) (129) 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) (129) 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 LOGO]
THE VANGUARD GROUP(R)
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.
S&P 500(R), Standard & Poor's 500, and 500 are trademarks of The McGraw-Hill
Companies, Inc., and have been licensed for use by The Vanguard Group, Inc.
Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard
& Poor's, and Standard & Poor's makes no representation regarding the
advisability of investing in the funds.
All other marks are the exclusive property of their respective owners.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted.
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.
You can obtain a free copy of Vanguard's proxy voting guidelines by visiting our
website, www.vanguard.com, and searching for "proxy voting guidelines," or by
calling 1-800-662-2739. They are also available from the SEC's website,
www.sec.gov.
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.
Q942 082004
VANGUARD(R) INSTITUTIONAL
TOTAL BOND MARKET INDEX FUND
JUNE 30, 2004
SEMIANNUAL REPORT
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
5 FUND PROFILE
6 GLOSSARY OF INVESTMENT TERMS
7 PERFORMANCE SUMMARY
8 ABOUT YOUR FUND'S EXPENSES
10 FINANCIAL STATEMENTS
38 ADVANTAGES OF VANGUARD.COM
================================================================================
SUMMARY
- - Vanguard Institutional Total Bond Market Index Fund posted a 0.1% return
during the first half of 2004, in line with its bogey and the average
mutual fund peer.
- - Yields rose and prices fell during the six months, resulting in virtually
flat returns for bonds.
- - Mortgage-backed securities fared somewhat better than nominal U.S. Treasury
and investment-grade corporate securities.
================================================================================
LETTER FROM THE CHAIRMAN
Dear Shareholder,
During the first half of 2004, returns from investment-grade bonds were
virtually flat as meaningful price declines in April and May offset price gains
in the other months and the six months' income distributions.
In this environment, Vanguard Institutional Total Bond Market Index Fund posted
a six-month total return of 0.1%, which closely matched the return of its target
benchmark and was a tad higher than the average return of its mutual fund peer
group.
The adjacent table shows the total returns (capital change plus reinvested
distributions) for your fund and its comparative measures. The fund's per-share
distributions and change in share price during the period are shown in the table
on page 4.
================================================================================
TOTAL RETURNS SIX MONTHS ENDED
JUNE 30, 2004
- --------------------------------------------------------------------------------
VANGUARD INSTITUTIONAL TOTAL BOND MARKET INDEX FUND 0.1%
Lehman Aggregate Bond Index 0.2
Average Intermediate Investment Grade Debt Fund* -0.1
- --------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc.
Reflective of the overall rising interest-rate environment, the yield of your
fund stood at 4.18% on June 30, or 28 basis points (0.28 percentage point)
higher than at the start of the year.
STRONG ECONOMIC DATA DAMPENED BOND RETURNS
Fixed income securities enjoyed solid price gains during the first quarter of
2004, and yields again approached historical lows. However, the picture changed
early in the second quarter, as inflationary fears fueled by surging energy
prices and reports indicating the economy was recovering at a healthy
pace--coupled with the Federal Reserve Board's telegraphing its intent to start
raising short-term interest rates as early as June--caused bond prices to fall
in April and May.
1
For the full six months, interest income barely offset the price declines, with
the Lehman Brothers Aggregate Bond Index--a proxy for the broad U.S. taxable,
investment-grade bond market--posting a total return of 0.2%. Within the index,
marginally negative returns in nominal U.S. Treasury securities and
investment-grade corporate bonds were offset by modestly positive results from
mortgage-backed securities (MBSs), which account for more than one-third of the
index's value. Treasury inflation-indexed securities and high-yield bonds--which
are not part of the aggregate index--registered higher total returns, though
those too were modest (+1.9% and +1.4%, respectively).
================================================================================
MARKET BAROMETER TOTAL RETURNS
PERIODS ENDED JUNE 30, 2004
--------------------------------
SIX ONE FIVE
MONTHS YEAR YEARS*
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 0.2% 0.3% 6.9%
(Broad taxable market)
Lehman Municipal Bond Index -0.7 0.8 5.9
Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1
- --------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 3.3% 19.5% -1.6%
Russell 2000 Index (Small-caps) 6.8 33.4 6.6
Dow Jones Wilshire 5000 Index 3.9 21.2 -1.0
(Entire market)
MSCI All Country World Index
ex USA (International) 4.1 32.5 1.0
================================================================================
CPI
Consumer Price Index 2.9% 3.3% 2.7%
- --------------------------------------------------------------------------------
*Annualized.
For the fiscal half-year, the yield of the bellwether 10-year Treasury note
increased 33 basis points, from 4.25% to 4.58%. At the shorter end of the
maturity spectrum, rates climbed more sharply in anticipation of the Federal
Reserve's increase in its target federal funds rate. The Fed acted on June 30,
lifting its target by 25 basis points, the first increase in four years. The
yield of the 3-month Treasury bill, a proxy for money market rates, climbed from
0.92% at year-end 2003 to 1.26% on June 30.
STOCKS MADE MODERATE GAINS
The generally positive economic environment was good news for stock investors
worldwide. In the United States, corporate earnings were strong, and Wall Street
boosted its earnings-growth forecasts as the economic expansion accelerated.
Consumer confidence solidified during the half-year as job creation increased.
The broad U.S. stock market returned 3.9%. Developed markets overseas did even
better, but a stronger U.S. dollar dampened returns from foreign securities for
U.S.-based investors. Gains overall might have been higher but for
2
concerns raised by unrest in the Middle East. In addition, the price of crude
oil reached a two-decade high, causing stock prices to dip during the middle of
the period.
MORTGAGE-BACKED SECURITIES KEPT FUND IN THE BLACK
The Institutional Total Bond Market Index Fund's six-month return of 0.1% was
just shy of the return of its benchmark, though by a margin consistent with the
effects of real-world operating costs, which the fund incurs but the index does
not. As we mentioned earlier, the return of MBSs helped the index and your fund
to stay in the black. The higher coupon rates of MBSs versus Treasuries with
equivalent maturities have allowed MBSs to better weather periods of rising
interest rates in the recent past, though they have also experienced more
moderate price appreciation in an environment of declining interest rates. (We
should note that the lower volatility of MBSs may not hold going forward. Unlike
noncallable bonds, the durations of MBSs are very volatile and tend to follow
the direction of interest rates.)
In recent years, the volatility of bonds in general has been higher than the
norm. Despite bonds' strong showing during the first quarter, the downward trend
for fixed income securities that began in mid-2003 continued during the
half-year. For the 12 months ended June 30, your fund's share price fell -3.5%,
which was offset by a 3.8% income return for a total return of 0.3%.
================================================================================
RISING RATES MAY RESULT IN A TEMPORARY DECLINE IN PRINCIPAL VALUE< BU A HIGHER
TOTAL RETURN OVER THE LONG RUN.
================================================================================
BONDS CONTINUE TO PLAY A VALUABLE ROLE
In last year's letter, I mentioned that no one should expect bonds' stellar
gains in recent years to be the norm going forward and that bonds' short-term
performances might be disappointing due to the likelihood that interest rates
would rise from their historical lows. With the possibility of more rate hikes
to come, that may still be true. But there is a silver lining. For investors
with longer time horizons who reinvest their distributions, rising interest
rates are good news: While rising rates initially result in a decline of bonds'
principal value on paper, they also mean that interest income will be reinvested
in securities with lower prices and higher yields, resulting in higher total
returns over the long run.
3
Regardless of the direction of short-term interest rates and their effect on
bond prices, bond funds continue to fulfill the important role of
diversification in an overall portfolio. The past several years--in which stock
and bond prices moved in an almost seesaw motion--only reinforced the
tried-and-true value of a balanced approach. Index funds can further enhance
your investment plan by providing low-cost, broad exposure to different asset
classes.
Thank you for investing your assets with Vanguard.
Sincerely,
/S/ John J. Brennan
JOHN J. BRENNAN
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JULY 21, 2004
- --------------------------------------------------------------------------------
YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2003--JUNE 30, 2004
DISTRIBUTIONS PER SHARE
------------------------
STARTING ENDING INCOME CAPITAL
SHARE PRICE SHARE PRICE DIVIDENDS GAINS
- --------------------------------------------------------------------------------
Institutional Total Bond
Market Index Fund $51.80 $50.81 $1.056 $0.017
- --------------------------------------------------------------------------------
4
- --------------------------------------------------------------------------------
AS OF 6/30/2004
FUND PROFILE
This Profile provides a snapshot of the fund's characteristics, compared where
appropriate with its unmanaged target index. Key terms are defined on page 6.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- ---------------------------------------------------------------
FINANCIAL ATTRIBUTES
- ------------------------------------------------------
TARGET
FUND INDEX*
- ------------------------------------------------------
Number of Issues 2,199 5,700
Yield 4.2% --
Yield to Maturity 4.7%** 4.7%
Average Coupon 5.9% 5.4%
Average Effective Maturity 7.6 years 7.5 years
Average Quality+ Aa1 Aa1
Average Duration 4.8 years 4.8 years
Expense Ratio 0.05%++ --
Short-Term Reserves 0% --
- ------------------------------------------------------
- ------------------------------------------------------
DISTRIBUTION BY CREDIT QUALITY+
(% of portfolio)
Treasury/Agency/GSEs(double dagger) 69%
Aaa 7
Aa 3
A 10
Baa 11
- ------------------------------------------------------
Total 100%
- ------------------------------------------------------
- -----------------------------------
INVESTMENT FOCUS
CREDIT QUALITY -- TREASURY/AGENCY
AVERAGE MATURITY -- MEDIUM
- -----------------------------------
- -----------------------------------
DISTRIBUTION BY MATURITY
(% of portfolio)
1-5 Years 36%
5-10 Years 48
10-20 Years 9
20-30 Years 7
- -----------------------------------
Total 100%
- -----------------------------------
- -----------------------------------------------
SECTOR DIVERSIFICATION
(% of portfolio)
Asset-Backed /Commercial Mortgage-Backed 5%
Finance 8
Foreign 4
Government Mortgage-Backed 36
Industrial 12
Treasury/Agency 33
Utilities 2
- -----------------------------------------------
Total 100%
- -----------------------------------------------
*Lehman Aggregate Bond Index.
**Before expenses.
+Source: Moody's Investors Service.
++Annualized.
(dougle dagger)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.
5
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.
6
AS OF 6/30/2004
PERFORMANCE SUMMARY
All of the returns in this report represent past performance, which is not a
guarantee of future results that may be achieved by the fund. (For the
performance data current to the most recent month-end, which may be higher or
lower than that cited, visit our website at www.vanguard.com.) Note, too, that
both investment returns and principal value can fluctuate widely, so an
investor's shares, when sold, could be worth more or less than their original
cost. The returns shown do not reflect taxes that a shareholder would pay on
fund distributions or on the sale of fund shares.
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- --------------------------------------------------------------------------------
Fiscal-Year Total Returns (%) April 26, 2002--June 30, 2004
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
2004** -1.9 2.0 0.1 0.2
- ---------------------------------------------------------
*Lehman Aggregate Bond Index.
**Six months ended June 30, 2004.
Note: See Financial Highlights table on page 34 for dividend and capital gains
information.
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2004
SINCE INCEPTION
ONE ----------------------------
INCEPTION DATE YEAR CAPITAL INCOME TOTAL
- --------------------------------------------------------------------------------
Institutional Total Bond Market
Index Fund 4/26/2002 0.28% 0.92% 4.35% 5.27%
- --------------------------------------------------------------------------------
7
ABOUT YOUR FUND'S EXPENSES
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
fund, you incur ongoing costs, which include costs for portfolio management,
administrative services, and shareholder reports (like this one), among others.
Operating expenses, which are deducted from a fund's gross income, directly
reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. For the six months ended June 30, 2004,
the Institutional Total Bond Market Index Fund had an annualized expense ratio
of 0.05%.
The following examples are intended to help you understand the ongoing costs (in
dollars) of investing in your fund and to compare these costs with those of
other mutual funds. The examples are based on an investment of $1,000 made at
the beginning of the period shown and held for the entire period.
The table below illustrates your fund's costs in two ways:
* Based on actual fund return. This section helps you to estimate the actual
expenses that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with
$1,000 in the fund. You may use the information here, together with the
amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
* Based on hypothetical 5% return. This section is intended to help you
compare your fund's costs with those of other mutual funds. It assumes that
the fund had a return of 5% before expenses during the period shown, but
that the expense ratio is unchanged. In this case--because the return used
is not the fund's actual return--the results do not apply to your
investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to calculate
expenses based on a 5% return. You can assess your fund's costs by
comparing this hypothetical example with the hypothetical examples that
appear in shareholder reports of other funds.
- --------------------------------------------------------------------------------
Six Months Ended June 30, 2004
INSTITUTIONAL TOTAL BEGINNING ENDING EXPENSES
BOND MARKET ACCOUNT VALUE ACCOUNT VALUE PAID DURING
INDEX FUND 12/31/2003 6/30/2004 PERIOD*
- --------------------------------------------------------------------------------
Based on Actual
Fund Return $1,000 $1,001 $0.25
Based on Hypothetical
5% Return $1,000 $1,050 $0.25
- --------------------------------------------------------------------------------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 366.
- --------------------------------------------------------------------------------
8
Note that the expenses shown in the table on page 8 are meant to highlight
and help you compare ongoing costs only and do not reflect any
transactional costs or account maintenance fees. Your fund does not charge
transaction fees, such as purchase or redemption fees, nor does it carry a
"sales load."
The calculations assume no shares were bought or sold during the period.
Your actual costs may have been higher or lower, depending on the amount of
your investment and the timing of any purchases or redemptions.
You can find more information about the fund's expenses in the Financial
Statements section of this report. For additional information on operating
expenses and other shareholder costs, please refer to the appropriate fund
prospectus.
9
AS OF 6/30/2004
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Securities are
grouped and subtotaled by bond type (U.S. government and agency issues,
corporate bonds, sovereign bonds, etc.); corporate bonds are further classified
by industry sector. Other assets are added to, and liabilities are subtracted
from, the value of Total Investments to calculate the fund's Net Assets.
Finally, Net Assets are divided by the outstanding shares of the fund to arrive
at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. Undistributed Net Investment Income is
minimal because the fund distributes its net income to shareholders as a
dividend each day. Any realized gains must be distributed annually, so the bulk
of net assets consists of Paid-in Capital (money invested by shareholders). The
balance shown for Accumulated Net Realized Gains usually approximates the amount
available to distribute to shareholders as capital gains as of the statement
date, but may differ because certain investments or transactions may be treated
differently for financial statement and tax purposes. Any Accumulated Net
Realized Losses, and any cumulative excess of distributions over net realized
gains, will appear as negative balances. Unrealized Appreciation (Depreciation)
is the difference between the value of the fund's investments and their cost,
and reflects the gains (losses) that would be realized if the fund were to sell
all of its investments at their statement-date values.
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (67.1%)
- ----------------------------------------------------------------------------------------------------------------
U.S. Government Securities (21.3%)
U.S. Treasury Bond 10.375% 11/15/2009 1,530 1,579
U.S. Treasury Bond 10.00% 5/15/2010 850 908
U.S. Treasury Bond 12.00% 8/15/2013 1,500 1,980
U.S. Treasury Bond 13.25% 5/15/2014 750 1,061
U.S. Treasury Bond 12.50% 8/15/2014 1,975 2,757
U.S. Treasury Bond 11.75% 11/15/2014 750 1,030
U.S. Treasury Bond 11.25% 2/15/2015 575 887
U.S. Treasury Bond 9.875% 11/15/2015 600 864
U.S. Treasury Bond 9.25% 2/15/2016 3,100 4,304
U.S. Treasury Bond 7.50% 11/15/2016 225 277
U.S. Treasury Bond 8.75% 5/15/2017 875 1,186
U.S. Treasury Bond 8.875% 8/15/2017 7,965 10,915
U.S. Treasury Bond 9.125% 5/15/2018 6,825 9,581
U.S. Treasury Bond 8.875% 2/15/2019 6,000 8,304
U.S. Treasury Bond 8.125% 8/15/2019 1,280 1,676
U.S. Treasury Bond 8.50% 2/15/2020 400 541
U.S. Treasury Bond 8.75% 5/15/2020 540 747
U.S. Treasury Bond 8.75% 8/15/2020 275 381
U.S. Treasury Bond 7.875% 2/15/2021 990 1,278
U.S. Treasury Bond 8.125% 8/15/2021 1,425 1,885
U.S. Treasury Bond 8.00% 11/15/2021 1,805 2,366
U.S. Treasury Bond 7.25% 8/15/2022 3,300 4,043
U.S. Treasury Bond 7.625% 11/15/2022 4,695 5,971
U.S. Treasury Bond 6.25% 8/15/2023 25 28
- ----------------------------------------------------------------------------------------------------------------
10
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
U.S. Treasury Bond 6.875% 8/15/2025 1,850 2,200
U.S. Treasury Bond 6.625% 2/15/2027 30 35
U.S. Treasury Bond 6.375% 8/15/2027 6,050 6,830
U.S. Treasury Bond 5.50% 8/15/2028 1,350 1,368
U.S. Treasury Bond 5.25% 11/15/2028 675 661
U.S. Treasury Bond 6.25% 5/15/2030 250 280
U.S. Treasury Note 6.50% 8/15/2005 5,250 5,500
U.S. Treasury Note 2.00% 8/31/2005 4,500 4,489
U.S. Treasury Note 1.875% 11/30/2005 9,750 9,683
U.S. Treasury Note 1.875% 12/31/2005 7,550 7,487
U.S. Treasury Note 1.875% 1/31/2006 5,000 4,953
U.S. Treasury Note 1.625% 2/28/2006 4,375 4,311
U.S. Treasury Note 4.625% 5/15/2006 3,925 4,065
U.S. Treasury Note 6.875% 5/15/2006 9,415 10,136
U.S. Treasury Note 7.00% 7/15/2006 13,215 14,322
U.S. Treasury Note 6.50% 10/15/2006 5,700 6,155
U.S. Treasury Note 6.25% 2/15/2007 1,525 1,648
U.S. Treasury Note 4.375% 5/15/2007 300 310
U.S. Treasury Note 6.625% 5/15/2007 4,175 4,573
U.S. Treasury Note 6.125% 8/15/2007 4,350 4,720
U.S. Treasury Note 5.625% 5/15/2008 13,380 14,407
U.S. Treasury Note 3.125% 9/15/2008 3,725 3,656
U.S. Treasury Note 3.125% 10/15/2008 5,275 5,170
U.S. Treasury Note 4.75% 11/15/2008 725 758
U.S. Treasury Note 3.375% 12/15/2008 1,450 1,432
U.S. Treasury Note 3.25% 1/15/2009 1,450 1,422
U.S. Treasury Note 6.50% 2/15/2010 975 1,099
U.S. Treasury Note 5.00% 8/15/2011 175 183
U.S. Treasury Note 4.875% 2/15/2012 12,290 12,695
U.S. Treasury Note 4.375% 8/15/2012 7,965 7,931
---------
207,028
---------
AGENCY BONDS AND NOTES (11.6%)
Federal Home Loan Bank* 3.25% 8/15/2005 1,125 1,136
Federal Home Loan Bank* 2.50% 12/15/2005 2,000 1,997
Federal Home Loan Bank* 5.125% 3/6/2006 2,650 2,750
Federal Home Loan Bank* 2.50% 3/15/2006 1,150 1,144
Federal Home Loan Bank* 2.875% 9/15/2006 3,000 2,981
Federal Home Loan Bank* 6.50% 8/15/2007 2,450 2,660
Federal Home Loan Bank* 5.865% 9/2/2008 550 589
Federal Home Loan Bank* 3.625% 11/14/2008 750 737
Federal Home Loan Bank* 6.50% 11/13/2009 1,300 1,427
Federal Home Loan Bank* 7.625% 5/14/2010 5,350 6,195
Federal Home Loan Bank* 5.75% 5/15/2012 800 843
Federal Home Loan Bank* 4.50% 9/16/2013 800 764
Federal Home Loan Mortgage Corp.* 7.00% 7/15/2005 8,000 8,385
Federal Home Loan Mortgage Corp.* 2.125% 11/15/2005 2,250 2,237
Federal Home Loan Mortgage Corp.* 5.25% 1/15/2006 1,050 1,090
Federal Home Loan Mortgage Corp.* 4.00% 6/12/2006 850 774
Federal Home Loan Mortgage Corp.* 5.50% 7/15/2006 1,050 1,100
Federal Home Loan Mortgage Corp.* 2.875% 12/15/2006 1,000 992
Federal Home Loan Mortgage Corp.* 5.75% 4/15/2008 2,725 2,908
- ----------------------------------------------------------------------------------------------------------------
11
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.* 5.75% 3/15/2009 2,000 2,129
Federal Home Loan Mortgage Corp.* 6.625% 9/15/2009 2,100 2,320
Federal Home Loan Mortgage Corp.* 7.00% 3/15/2010 2,500 2,812
Federal Home Loan Mortgage Corp.* 6.875% 9/15/2010 5,900 6,628
Federal Home Loan Mortgage Corp.* 5.875% 3/21/2011 750 789
Federal Home Loan Mortgage Corp.* 6.00% 6/15/2011 1,500 1,609
Federal Home Loan Mortgage Corp.* 5.50% 9/15/2011 1,100 1,147
Federal Home Loan Mortgage Corp.* 5.75% 1/15/2012 2,550 2,689
Federal Home Loan Mortgage Corp.* 5.125% 7/15/2012 500 506
Federal Home Loan Mortgage Corp.* 4.50% 1/15/2013 1,250 1,203
Federal Home Loan Mortgage Corp.* 4.50% 7/15/2013 500 478
Federal Home Loan Mortgage Corp.* 6.75% 3/15/2031 889 991
Federal Home Loan Mortgage Corp.* 6.25% 7/15/2032 132 138
Federal National Mortgage Assn.* 7.00% 7/15/2005 8,500 8,909
Federal National Mortgage Assn.* 5.50% 2/15/2006 1,500 1,565
Federal National Mortgage Assn.* 5.25% 6/15/2006 1,750 1,824
Federal National Mortgage Assn.* 7.125% 3/15/2007 1,500 1,644
Federal National Mortgage Assn.* 6.625% 10/15/2007 3,560 3,887
Federal National Mortgage Assn.* 5.75% 2/15/2008 1,850 1,970
Federal National Mortgage Assn.* 6.00% 5/15/2008 1,000 1,076
Federal National Mortgage Assn.* 6.375% 6/15/2009 600 656
Federal National Mortgage Assn.* 6.625% 9/15/2009 5,015 5,542
Federal National Mortgage Assn.* 7.25% 1/15/2010 2,830 3,218
Federal National Mortgage Assn.* 6.625% 11/15/2010 500 555
Federal National Mortgage Assn.* 6.25% 2/1/2011 225 242
Federal National Mortgage Assn.* 6.00% 5/15/2011 1,000 1,073
Federal National Mortgage Assn.* 5.375% 11/15/2011 2,500 2,584
Federal National Mortgage Assn.* 6.125% 3/15/2012 4,850 5,222
Federal National Mortgage Assn.* 4.625% 5/1/2013 1,150 1,087
Federal National Mortgage Assn.* 5.125% 1/2/2014 300 292
Federal National Mortgage Assn.* 7.125% 1/15/2030 750 872
Federal National Mortgage Assn.* 7.25% 5/15/2030 1,550 1,829
Federal National Mortgage Assn.* 6.625% 11/15/2030 800 880
Private Export Funding Corp.
(U.S. Government Guaranteed) 7.20% 1/15/2010 1,325 1,503
State of Israel (U.S. Government Guaranteed) 5.50% 9/18/2023 250 248
State of Israel (U.S. Government Guaranteed) 5.50% 12/4/2023 200 199
State of Israel (U.S. Government Guaranteed) 5.50% 4/26/2024 125 124
Tennessee Valley Auth.* 5.375% 11/13/2008 325 342
Tennessee Valley Auth.* 7.125% 5/1/2030 1,650 1,920
----------
113,411
----------
MORTGAGE-BACKED SECURITIES (34.2%)
Federal Home Loan Mortgage Corp.* 4.00% 7/1/2008-4/1/2019(1) 7,186 6,933
Federal Home Loan Mortgage Corp.* 4.50% 3/1/2008-4/1/2034(1) 19,102 18,700
Federal Home Loan Mortgage Corp.* 5.00% 6/1/2007-5/1/2034(1) 36,344 35,663
Federal Home Loan Mortgage Corp.* 5.50% 12/1/2005-11/1/2035(1) 26,170 26,268
Federal Home Loan Mortgage Corp.* 6.00% 1/1/2006-6/1/2033(1) 14,074 14,495
Federal Home Loan Mortgage Corp.* 6.50% 10/1/2004-8/1/2032(1) 11,987 12,554
Federal Home Loan Mortgage Corp.* 7.00% 10/27/2004-6/1/2032(1) 5,520 5,836
Federal Home Loan Mortgage Corp.* 7.50% 10/1/2012-2/1/2032(1) 1,810 1,943
Federal Home Loan Mortgage Corp.* 8.00% 6/1/2012-11/1/2031(1) 935 1,013
- ----------------------------------------------------------------------------------------------------------------
12
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.* 8.50% 6/1/2025-5/1/2030(1) 419 460
Federal Home Loan Mortgage Corp.* 9.00% 2/1/2025-9/1/2030(1) 35 38
Federal Home Loan Mortgage Corp.* 9.50% 2/1/2025(1) 5 5
Federal National Mortgage Assn.* 4.00% 8/1/2010-11/1/2018(1) 4,757 4,581
Federal National Mortgage Assn.* 4.50% 5/1/2018-10/1/2033(1) 21,789 21,104
Federal National Mortgage Assn.* 5.00% 9/1/2009-3/1/2034(1) 34,402 33,578
Federal National Mortgage Assn.* 5.50% 5/1/2009-6/1/2034(1) 53,731 53,763
Federal National Mortgage Assn.* 6.00% 10/1/2008-4/1/2034(1) 27,090 27,796
Federal National Mortgage Assn.* 6.50% 1/1/2012-3/1/2033(1) 14,312 14,944
Federal National Mortgage Assn.* 7.00% 7/1/2014-7/1/2032(1) 4,658 4,920
Federal National Mortgage Assn.* 7.50% 11/1/2011-10/1/2031(1) 2,122 2,273
Federal National Mortgage Assn.* 8.00% 12/1/2029-6/1/2031(1) 506 548
Federal National Mortgage Assn.* 8.50% 4/1/2030-4/1/2031(1) 210 226
Federal National Mortgage Assn.* 9.00% 8/1/2030(1) 10 11
Federal National Mortgage Assn.* 9.50% 11/1/2025(1) 16 18
Government National Mortgage Assn. 4.50% 8/15/2018-9/15/2033(1) 1,658 1,595
Government National Mortgage Assn. 5.00% 2/15/2018-5/15/2034(1) 7,095 6,932
Government National Mortgage Assn. 5.50% 2/15/2017-5/15/2034(1) 13,337 13,352
Government National Mortgage Assn. 6.00% 9/15/2013-3/15/2034(1) 8,992 9,234
Government National Mortgage Assn. 6.50% 5/15/2013-11/15/2032(1) 6,148 6,435
Government National Mortgage Assn. 7.00% 10/15/2010-6/15/2032(1) 3,935 4,186
Government National Mortgage Assn. 7.50% 5/15/2023-10/15/2031(1) 1,732 1,866
Government National Mortgage Assn. 8.00% 7/15/2025-11/15/2030(1) 1,378 1,506
Government National Mortgage Assn. 8.50% 12/15/2024-7/15/2030(1) 108 119
Government National Mortgage Assn. 9.00% 5/15/2025-9/15/2030(1) 64 70
Government National Mortgage Assn. 9.50% 11/15/2017(1) 26 29
---------
332,994
---------
- ----------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $659,903) 653,433
- ----------------------------------------------------------------------------------------------------------------
CORPORATE BONDS (29.8%)
- ----------------------------------------------------------------------------------------------------------------
Asset-Backed/Commercial Mortgage-Backed Securities (6.6%)
American Express Credit Account Master Trust 1.369% 11/17/2008(1)(3) 4,100 4,111
Bank of America Mortgage Securities 4.654% 6/25/2032(1) 54 54
California Infrastructure & Economic Development
Bank Special Purpose Trust PG&E-1 6.42% 9/25/2008(1) 769 803
California Infrastructure & Economic Development
Bank Special Purpose Trust SDG&E-1 6.31% 9/25/2008(1) 822 858
Carco Auto Loan Master Trust 1.304% 11/15/2006(1)(3) 5,000 5,006
Chase Credit Card Master Trust 1.339% 2/15/2007(1)(3) 1,000 1,000
Chase Credit Card Master Trust 1.299% 3/17/2008(1)(3) 1,000 1,001
Chase Credit Card Master Trust 1.379% 6/16/2008(1)(3) 10,000 10,023
Citibank Credit Card Master Trust 5.875% 3/10/2011(1) 1,750 1,868
Countrywide Home Loans 4.557% 9/19/2032(1) 388 388
Countrywide Home Loans 4.145% 5/25/2033(1) 1,078 1,080
Discover Card Master Trust I 1.519% 2/16/2007(1)(3) 2,000 2,001
Discover Card Master Trust I 1.369% 4/16/2007(1)(3) 4,000 4,001
Discover Card Master Trust I 1.419% 9/18/2007(1)(3) 4,000 4,005
First USA Credit Card Master Trust 1.42% 4/17/2007(1)(3) 1,000 1,000
First USA Credit Card Master Trust 1.43% 9/19/2008(1)(3) 6,000 6,012
Harley-Davidson Motorcycle Trust 4.50% 1/15/2010(1) 1,650 1,683
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13
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FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Honda Auto Receivables Owner Trust 4.22% 4/16/2007(1) 325 330
Household Credit Card Master Note Trust I 1.379% 8/15/2008(1)(3) 3,000 3,005
MBNA Credit Card Master Note Trust 1.369% 2/15/2007(1)(3) 4,000 4,001
MBNA Credit Card Master Note Trust 4.95% 6/15/2009(1) 1,300 1,350
MBNA Master Credit Card Trust 1.359% 2/15/2007(1)(3) 4,000 4,001
PECO Energy Transition Trust 5.80% 3/1/2007(1) 1,908 1,944
PP&L Transition Bond Co. LLC 6.96% 12/26/2007(1) 1,500 1,574
PSE&G Transition Funding LLC 6.89% 12/15/2017(1) 200 225
Residential Asset Securities Corp. 4.988% 2/25/2027(1) 371 372
Salomon Brothers Mortgage Securities VII 4.161% 9/25/2033(1) 1,627 1,610
Toyota Auto Receivables Owner Trust 2.65% 11/15/2006(1) 982 985
Toyota Auto Receivables Owner Trust 4.00% 7/15/2008(1) 100 101
Washington Mutual Mortgage
Pass-Through Certificates 5.435% 2/25/2032(1) 23 23
Washington Mutual Mortgage
Pass-Through Certificates 5.50% 4/26/2032(1) 355 356
Washington Mutual Mortgage
Pass-Through Certificates 5.55% 4/26/2032(1) 27 27
World Omni Auto Receivables Trust 3.79% 11/21/2005(1) 9 9
----------
64,807
----------
FINANCE (9.3%)
BANKING (4.9%)
ABN AMRO Bank NV 7.55% 6/28/2006 250 271
Abbey National PLC 7.95% 10/26/2029 400 475
African Development Bank 3.25% 8/1/2008 300 294
Asian Development Bank 5.593% 7/16/2018 325 332
Asian Development Bank 4.875% 2/5/2007 850 883
BB&T Corp. 4.75% 10/1/2012 150 144
BB&T Corp. 5.20% 12/23/2015 250 240
BBVA-Bancomer Capital Trust I 10.50% 2/16/2011(2) 225 253
BSCH Issuances Ltd. 7.625% 9/14/2010 500 572
Bank One Corp. 6.875% 8/1/2006 600 643
Bank One Corp. 2.625% 6/30/2008 100 94
Bank One Corp. 6.00% 2/17/2009 795 842
Bank One Corp. 7.875% 8/1/2010 725 839
Bank of America Corp. 7.125% 9/15/2006 600 648
Bank of America Corp. 5.25% 2/1/2007 550 573
Bank of America Corp. 3.375% 2/17/2009 250 240
Bank of America Corp. 7.40% 1/15/2011 700 797
Bank of America Corp. 5.375% 6/15/2014 150 149
Bank of New York Co., Inc. 3.75% 2/15/2008 375 373
BankAmerica Capital II 8.00% 12/15/2026 500 547
Bayerische Landesbank 2.875% 10/15/2008 250 238
Citicorp 6.375% 11/15/2008 250 272
Citicorp Capital II 8.015% 2/15/2027 100 110
Citicorp Lease Pass-Through Trust 8.04% 12/15/2019(2) 225 256
Citigroup, Inc. 6.75% 12/1/2005 1,750 1,847
Citigroup, Inc. 5.625% 8/27/2012 975 1,000
Citigroup, Inc. 4.875% 5/7/2015 200 189
Citigroup, Inc. 6.625% 6/15/2032 275 284
Citigroup, Inc. 6.00% 10/31/2033 450 425
CoreStates Capital Corp. 8.00% 12/15/2026(2) 425 465
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14
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Corporacion Andina de Fomento 5.20% 5/21/2013 125 121
Credit Suisse First Boston USA, Inc. 5.75% 4/15/2007 675 711
Credit Suisse First Boston USA, Inc. 4.625% 1/15/2008 500 509
Credit Suisse First Boston USA, Inc. 6.50% 1/15/2012 600 642
Credit Suisse First Boston USA, Inc. 5.50% 8/15/2013 100 100
Credit Suisse First Boston USA, Inc. 5.125% 1/15/2014(1) 300 290
Credit Suisse First Boston USA, Inc. 7.125% 7/15/2032 200 219
Deutsche Bank Financial LLC 5.375% 3/2/2015 325 319
European Investment Bank 5.625% 1/24/2006 500 523
European Investment Bank 3.00% 8/15/2006 300 302
European Investment Bank 4.875% 9/6/2006 800 831
European Investment Bank 4.625% 3/1/2007 1,300 1,344
European Investment Bank 3.00% 6/16/2008 425 415
European Investment Bank 3.375% 3/16/2009 525 511
Export-Import Bank of Korea 7.10% 3/15/2007 250 269
Fifth Third Bancorp 6.75% 7/15/2005 300 312
Fifth Third Bank 3.375% 8/15/2008 200 195
First Union Corp. 7.50% 4/15/2035 100 116
First Union National Bank (NC) 7.80% 8/18/2010 275 318
Fleet Boston Financial Corp. 7.25% 9/15/2005 200 211
Fleet Capital Trust II 7.92% 12/11/2026 400 435
Golden West Financial 4.125% 8/15/2007 300 303
HSBC Holdings PLC 7.50% 7/15/2009 350 396
HSBC Holdings PLC 5.25% 12/12/2012 550 550
Inter-American Development Bank 6.125% 3/8/2006 525 554
Inter-American Development Bank 6.375% 10/22/2007 450 488
Inter-American Development Bank 5.625% 4/16/2009 700 747
Inter-American Development Bank 7.00% 6/15/2025 150 173
Inter-American Development Bank 8.50% 3/15/2011 325 398
International Bank for
Reconstruction & Development 5.00% 3/28/2006 700 727
International Bank for
Reconstruction & Development 4.125% 8/12/2009 825 831
International Bank for
Reconstruction & Development 8.875% 3/1/2026 250 349
J.P. Morgan Chase & Co. 5.25% 5/30/2007 950 989
J.P. Morgan Chase & Co. 3.625% 5/1/2008 900 885
J.P. Morgan Chase & Co. 5.25% 5/1/2015 200 191
J.P. Morgan, Inc. 6.70% 11/1/2007 400 435
JPM Capital Trust II 7.95% 2/1/2027 150 163
KFW International Finance, Inc. 2.50% 10/17/2005 1,125 1,125
KFW International Finance, Inc. 5.25% 6/28/2006 200 209
KFW International Finance, Inc. 4.75% 1/24/2007 500 519
Korea Development Bank 3.875% 3/2/2009 300 288
Korea Development Bank 5.75% 9/10/2013 250 249
Marshall & Ilsley Bank 4.125% 9/4/2007 225 229
Mellon Capital II 7.995% 1/15/2027 500 552
Mellon Funding Corp. 5.00% 12/1/2014 200 193
Mizuho Finance (Cayman) 5.79% 4/15/2014(2) 150 145
National City Bank of Indiana 4.875% 7/20/2007 300 310
NationsBank Corp. 6.375% 2/15/2008 500 538
NationsBank Corp. 7.25% 10/15/2025 500 557
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15
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FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Nordic Investment Bank 3.125% 4/24/2008 250 246
North Fork Bancorp 5.875% 8/15/2012 250 257
Oesterreich Kontrollbank 5.50% 1/20/2006 250 260
Oesterreich Kontrollbank 5.125% 3/20/2007 300 314
PNC Funding Corp. 5.75% 8/1/2006 500 523
Regions Financial Corp. 6.375% 5/15/2012 300 321
Royal Bank of Scotland Group PLC 4.70% 7/3/2018 250 221
Royal Bank of Scotland Group PLC 7.648% 8/31/2049 500 561
Sanwa Bank Ltd. 8.35% 7/15/2009 150 171
Sanwa Bank Ltd. 7.40% 6/15/2011 325 354
Southtrust Corp. 5.80% 6/15/2014 125 127
Standard Chartered Bank 8.00% 5/30/2031(2) 125 145
Sumitomo Mitsui Banking Corp. 8.00% 6/15/2012 115 134
SunTrust Banks, Inc. 6.00% 2/15/2026 500 524
SunTrust Capital II 7.90% 6/15/2027 200 219
Swiss Bank Corp. 7.00% 10/15/2015 100 113
Swiss Bank Corp. 7.375% 6/15/2017 100 118
Synovus Financial Corp. 7.25% 12/15/2005 175 186
The Chase Manhattan Corp. 6.00% 11/1/2005 150 156
The Chase Manhattan Corp. 7.125% 2/1/2007 250 271
UFJ Finance Aruba AEC 6.75% 7/15/2013 200 207
US Bancorp 5.10% 7/15/2007 500 520
US Bancorp 3.125% 3/15/2008 350 340
US Bank NA 2.85% 11/15/2006 175 173
US Bank NA 6.375% 8/1/2011 100 108
US Bank NA 6.30% 2/4/2014 100 106
Union Planters Bank NA 5.125% 6/15/2007 200 208
Union Planters Corp. 7.75% 3/1/2011 100 115
UnionBanCal Corp. 5.25% 12/16/2013 75 74
Wachovia Corp. 4.95% 11/1/2006 825 856
Wachovia Corp. 3.50% 8/15/2008 500 487
Washington Mutual Bank 6.875% 6/15/2011 1,200 1,338
Wells Fargo & Co. 5.125% 2/15/2007 250 260
Wells Fargo & Co. 3.50% 4/4/2008 625 617
Wells Fargo & Co. 6.45% 2/1/2011 625 679
Wells Fargo & Co. 4.95% 10/16/2013 200 193
Zions Bancorp. 6.00% 9/15/2015 100 101
BROKERAGE (1.4%)
Bear Stearns Co., Inc. 5.70% 1/15/2007 600 631
Bear Stearns Co., Inc. 4.00% 1/31/2008 200 200
Bear Stearns Co., Inc. 5.70% 11/15/2014 600 602
Goldman Sachs Group, Inc. 7.625% 8/17/2005 500 527
Goldman Sachs Group, Inc. 4.125% 1/15/2008 475 476
Goldman Sachs Group, Inc. 3.875% 1/15/2009 400 390
Goldman Sachs Group, Inc. 6.875% 1/15/2011 400 438
Goldman Sachs Group, Inc. 5.70% 9/1/2012 350 354
Goldman Sachs Group, Inc. 5.25% 10/15/2013 250 242
Goldman Sachs Group, Inc. 5.15% 1/15/2014 350 337
Goldman Sachs Group, Inc. 5.50% 11/15/2014 350 344
Goldman Sachs Group, Inc. 6.125% 2/15/2033 200 189
Goldman Sachs Group, Inc. 6.345% 2/15/2034 375 352
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16
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc. 4.00% 1/22/2008 300 300
Lehman Brothers Holdings, Inc. 7.00% 2/1/2008 700 766
Lehman Brothers Holdings, Inc. 3.60% 3/13/2009 850 817
Lehman Brothers Holdings, Inc. 6.625% 1/18/2012 175 189
Lehman Brothers Holdings, Inc. 4.80% 3/13/2014 100 94
Merrill Lynch & Co., Inc. 6.15% 1/26/2006 350 367
Merrill Lynch & Co., Inc. 5.36% 2/1/2007 250 261
Merrill Lynch & Co., Inc. 4.00% 11/15/2007 400 402
Merrill Lynch & Co., Inc. 4.125% 1/15/2009 100 99
Merrill Lynch & Co., Inc. 5.30% 9/30/2015 150 146
Merrill Lynch & Co., Inc. 6.875% 11/15/2018 450 491
Morgan Stanley Dean Witter 6.10% 4/15/2006 1,000 1,055
Morgan Stanley Dean Witter 6.875% 3/1/2007 200 216
Morgan Stanley Dean Witter 5.80% 4/1/2007 700 739
Morgan Stanley Dean Witter 3.625% 4/1/2008 500 491
Morgan Stanley Dean Witter 3.875% 1/15/2009 350 341
Morgan Stanley Dean Witter 4.75% 4/1/2014 525 485
Morgan Stanley Dean Witter 7.25% 4/1/2032 450 502
Salomon Smith Barney Holdings Inc. 6.50% 2/15/2008 200 216
Salomon Smith Barney Holdings Inc. 5.875% 3/15/2006 275 288
Waddell & Reed Financial, Inc. 7.50% 1/18/2006 250 266
FINANCE COMPANIES (1.9%)
American Express Co. 3.75% 11/20/2007 350 349
American Express Co. 4.75% 6/17/2009 100 101
American Express Credit Corp. 3.00% 5/16/2008 300 289
American General Finance Corp. 5.875% 7/14/2006 200 210
American General Finance Corp. 5.75% 3/15/2007 500 528
American General Finance Corp. 5.375% 10/1/2012 225 227
CIT Group, Inc. 4.125% 2/21/2006 550 559
CIT Group, Inc. 7.375% 4/2/2007 350 384
CIT Group, Inc. 4.00% 5/8/2008 250 248
CIT Group, Inc. 4.75% 12/15/2010 50 49
CIT Group, Inc. 7.75% 4/2/2012 200 228
CIT Group, Inc. 5.00% 2/13/2014 150 142
Capital One Bank 4.875% 5/15/2008 675 684
Capital One Bank 4.25% 12/1/2008 100 98
Countrywide Home Loan 5.50% 8/1/2006 550 573
Countrywide Home Loan 5.50% 2/1/2007 500 522
Countrywide Home Loan 2.875% 2/15/2007 125 122
Countrywide Home Loan 5.625% 5/15/2007 50 52
General Electric Capital Corp. 2.75% 9/25/2006 300 297
General Electric Capital Corp. 2.80% 1/15/2007 350 346
General Electric Capital Corp. 5.375% 3/15/2007 1,050 1,101
General Electric Capital Corp. 4.25% 1/15/2008 1,000 1,014
General Electric Capital Corp. 3.50% 5/1/2008 250 246
General Electric Capital Corp. 4.625% 9/15/2009 500 505
General Electric Capital Corp. 7.375% 1/19/2010 750 852
General Electric Capital Corp. 4.25% 12/1/2010 100 97
General Electric Capital Corp. 6.125% 2/22/2011 500 534
General Electric Capital Corp. 6.75% 3/15/2032 900 968
Household Finance Corp. 6.50% 1/24/2006 475 501
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17
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FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Household Finance Corp. 7.20% 7/15/2006 125 135
Household Finance Corp. 5.75% 1/30/2007 350 369
Household Finance Corp. 4.625% 1/15/2008 850 865
Household Finance Corp. 6.375% 10/15/2011 525 561
Household Finance Corp. 7.00% 5/15/2012 925 1,021
Household Finance Corp. 7.35% 11/27/2032 50 57
International Lease Finance Corp. 3.125% 5/3/2007 25 25
International Lease Finance Corp. 5.625% 6/1/2007 575 602
International Lease Finance Corp. 4.50% 5/1/2008 250 252
International Lease Finance Corp. 6.375% 3/15/2009 250 268
MBNA America Bank NA 7.75% 9/15/2005(2) 750 791
SLM Corp. 5.625% 8/1/2033 325 297
SLM Corp. 5.05% 11/14/2014 450 431
USA Education, Inc. 5.625% 4/10/2007 975 1,025
INSURANCE (0.7%)
ACE Capital Trust II 9.70% 4/1/2030 100 130
ACE Ltd. 6.00% 4/1/2007 150 158
AEGON NV 4.75% 6/1/2013 125 119
AXA SA 8.60% 12/15/2030 350 431
Allstate Corp. 5.375% 12/1/2006 150 157
Allstate Corp. 7.20% 12/1/2009 475 535
American General Capital II 8.50% 7/1/2030 50 64
American International Group, Inc. 2.875% 11/15/2004(3) 150 145
American International Group, Inc. 2.85% 12/1/2005 300 301
Aon Capital Trust 8.205% 1/1/2027 250 274
Arch Capital Group Ltd. 7.35% 5/1/2034 150 149
Assurant, Inc. 5.625% 2/15/2014 50 49
Assurant, Inc. 6.75% 2/15/2034 100 99
Commerce Group, Inc. 5.95% 12/9/2013 75 75
Fidelity National Financial, Inc. 7.30% 8/15/2011 175 195
GE Global Insurance Holdings Corp. 7.00% 2/15/2026 75 79
GE Global Insurance Holdings Corp. 7.75% 6/15/2030 200 228
Genworth Financial, Inc. 4.75% 6/15/2009 100 101
Genworth Financial, Inc. 5.75% 6/15/2014 100 101
Genworth Financial, Inc. 6.50% 6/15/2034 150 152
Hartford Financial Services Group, Inc. 4.625% 7/15/2013 200 189
Hartford Life, Inc. 7.375% 3/1/2031 300 341
Loews Corp. 5.25% 3/15/2016 150 139
Marsh & McLennan Cos., Inc. 6.25% 3/15/2012 400 424
MetLife, Inc. 5.25% 12/1/2006 375 390
MetLife, Inc. 5.00% 11/24/2013 125 121
MetLife, Inc. 6.375% 6/15/2034 200 200
Monumental Global Funding II 6.05% 1/19/2006(2) 150 157
Nationwide Life Global Funding 5.35% 2/15/2007(2) 125 131
Principal Life Inc. Funding 5.10% 4/15/2014 200 195
Progressive Corp. 6.625% 3/1/2029 200 211
Protective Life Secured Trust 3.70% 11/24/2008 350 342
Prudential Financial, Inc. 4.50% 7/15/2013 125 116
Prudential Financial, Inc. 5.75% 7/15/2033 125 115
Safeco Capital Trust I 8.072% 7/15/2037 100 109
St. Paul Cos., Inc. 5.75% 3/15/2007 125 131
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18
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Travelers Property Casualty Corp. 3.75% 3/15/2008 175 173
Travelers Property Casualty Corp. 6.375% 3/15/2033 125 124
REAL ESTATE INVESTMENT TRUSTS (0.3%)
Boston Properties, Inc. 5.625% 4/15/2015 150 147
EOP Operating LP 7.75% 11/15/2007 500 556
EOP Operating LP 7.00% 7/15/2011 150 163
EOP Operating LP 4.75% 3/15/2014 125 115
EOP Operating LP 7.875% 7/15/2031 50 56
ERP Operating LP 6.625% 3/15/2012 350 379
Health Care REIT, Inc. 6.00% 11/15/2013 250 247
Health Care Property Investment, Inc. 6.45% 6/25/2012 300 317
ProLogis 5.50% 3/1/2013 100 100
Rouse Co. 5.375% 11/26/2013 100 97
Simon Property Group Inc. 6.375% 11/15/2007 700 746
OTHER (0.1%)
Berkshire Hathaway, Inc. 3.375% 10/15/2008 125 121
Berkshire Hathaway, Inc. 4.20% 12/15/2010 200 194
Berkshire Hathaway, Inc. 4.625% 10/15/2013 100 96
J. Paul Getty Trust 5.875% 10/1/2033 125 122
---------
90,428
---------
INDUSTRIAL (12.0%)
BASIC INDUSTRY (0.7%)
Alcan, Inc. 4.50% 5/15/2013 275 258
Alcan, Inc. 5.20% 1/15/2014 250 246
Alcan, Inc. 6.125% 12/15/2033 75 73
Alcoa, Inc. 4.25% 8/15/2007 825 837
Celulosa Arauco Constitution SA 8.625% 8/15/2010 150 175
Dow Chemical Co. 6.125% 2/1/2011 675 709
Dow Chemical Co. 7.375% 11/1/2029 100 108
E.I. du Pont de Nemours & Co. 6.875% 10/15/2009 300 336
E.I. du Pont de Nemours & Co. 4.125% 4/30/2010 150 147
E.I. du Pont de Nemours & Co. 4.875% 4/30/2014 50 49
E.I. du Pont de Nemours & Co. 6.50% 1/15/2028 100 106
ICI Wilmington 4.375% 12/1/2008 200 197
Inco Ltd. 5.70% 10/15/2015 200 195
International Paper Co. 6.75% 9/1/2011 300 324
International Paper Co. 5.85% 10/30/2012 425 432
International Paper Co. 5.50% 1/15/2014 100 98
International Paper Co. 5.25% 4/1/2016 200 188
Noranda, Inc. 7.25% 7/15/2012 200 210
Placer Dome, Inc. 6.45% 10/15/2035 100 100
Potash Corp. of Saskatchewan 7.75% 5/31/2011 200 228
Praxair, Inc. 6.90% 11/1/2006 125 135
Praxair, Inc. 3.95% 6/1/2013 350 321
Rohm & Haas Co. 9.80% 4/15/2020 220 280
Rohm & Haas Co. 7.85% 7/15/2029 100 120
Vale Overseas Ltd. 8.625% 3/8/2007 200 214
Westvaco Corp. 8.20% 1/15/2030 225 257
Weyerhaeuser Co. 5.50% 3/15/2005 267 272
Weyerhaeuser Co. 7.375% 3/15/2032 375 408
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19
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FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
CAPITAL GOODS (1.3%)
BAE Systems 2001 7.156% 12/15/2011(2) 113 121
Boeing Capital Corp. 6.50% 2/15/2012 675 729
Bombardier Capital Corp. 6.125% 6/29/2006(2) 100 100
CRH America Inc. 6.95% 3/15/2012 200 221
CRH America Inc. 6.40% 10/15/2033 100 100
Caterpillar Financial Services Corp. 5.95% 5/1/2006 500 526
Caterpillar, Inc. 7.375% 3/1/2097 250 284
Emerson Electric Co. 4.625% 10/15/2012 500 485
General Dynamics Corp. 2.125% 5/15/2006 100 98
General Dynamics Corp. 3.00% 5/15/2008 100 97
General Dynamics Corp. 4.25% 5/15/2013 350 326
General Electric Co. 5.00% 2/1/2013 675 665
Goodrich Corp. 6.45% 12/15/2007 300 321
Hanson PLC 5.25% 3/15/2013 325 316
Honeywell International, Inc. 6.125% 11/1/2011 200 213
Hutchison Whampoa International Ltd. 5.45% 11/24/2010(2) 125 123
Ingersoll-Rand Co. 6.25% 5/15/2006 150 158
John Deere Capital Corp. 3.90% 1/15/2008 750 750
John Deere Capital Corp. 7.00% 3/15/2012 350 392
Lockheed Martin Corp. 7.65% 5/1/2016 425 492
Lockheed Martin Corp. 8.50% 12/1/2029 200 250
Masco Corp. 6.75% 3/15/2006 500 530
Masco Corp. 6.50% 8/15/2032 100 102
Northrop Grumman Corp. 7.75% 2/15/2031 150 175
Raytheon Co. 4.50% 11/15/2007 800 813
Raytheon Co. 5.50% 11/15/2012 200 202
Raytheon Co. 5.375% 4/1/2013 100 100
Republic Services, Inc. 7.125% 5/15/2009 200 222
TRW, Inc. 7.75% 6/1/2029 450 520
Textron Financial Corp. 5.875% 6/1/2007 300 318
Textron, Inc. 6.50% 6/1/2012 100 108
The Boeing Co. 8.75% 8/15/2021 300 376
The Boeing Co. 6.125% 2/15/2033 125 121
Tyco International Group SA 5.80% 8/1/2006 250 261
Tyco International Group SA 6.75% 2/15/2011 175 190
Tyco International Group SA 6.375% 10/15/2011 175 187
Tyco International Group SA 6.00% 11/15/2013 175 180
Tyco International Group SA 6.875% 1/15/2029 175 182
USA Waste Services, Inc. 7.00% 7/15/2028 150 157
United Technologies Corp. 4.875% 11/1/2006 425 440
United Technologies Corp. 7.50% 9/15/2029 200 237
Waste Management, Inc. 6.50% 11/15/2008 250 271
Waste Management, Inc. 7.375% 8/1/2010 100 112
Waste Management, Inc. 5.00% 3/15/2014 75 71
Waste Management, Inc. 7.75% 5/15/2032 100 114
COMMUNICATION (2.7%)
AT&T Broadband Corp. 8.375% 3/15/2013 100 118
AT&T Broadband Corp. 9.455% 11/15/2022 100 129
AT&T Corp. 8.05% 11/15/2011 150 154
AT&T Corp. 8.75% 11/15/2031 525 511
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20
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
AT&T Wireless Services, Inc. 7.875% 3/1/2011 450 513
AT&T Wireless Services, Inc. 8.125% 5/1/2012 375 434
AT&T Wireless Services, Inc. 8.75% 3/1/2031 500 612
America Movil SA de C.V. 4.125% 3/1/2009(2) 250 235
America Movil SA de C.V. 5.50% 3/1/2014(2) 125 115
BellSouth Capital Funding 7.875% 2/15/2030 900 1,045
BellSouth Corp. 6.55% 6/15/2034 75 75
BellSouth Telecommunications 6.375% 6/1/2028 250 247
British Sky Broadcasting Corp. 7.30% 10/15/2006 75 81
British Sky Broadcasting Corp. 6.875% 2/23/2009 75 82
British Sky Broadcasting Corp. 8.20% 7/15/2009 75 87
British Telecommunications PLC 7.875% 12/15/2005 650 695
British Telecommunications PLC 8.875% 12/15/2030 525 649
Century Tel Enterprises 6.875% 1/15/2028 100 97
Cingular Wireless 7.125% 12/15/2031 100 105
Citizens Communications 9.00% 8/15/2031 275 268
Clear Channel Communications, Inc. 7.65% 9/15/2010 500 564
Comcast Cable Communications, Inc. 6.375% 1/30/2006 250 262
Comcast Cable Communications, Inc. 6.75% 1/30/2011 250 270
Comcast Cable Communications, Inc. 8.875% 5/1/2017 200 244
Comcast Corp. 5.30% 1/15/2014 400 386
Comcast Corp. 6.50% 1/15/2015 350 364
Comcast Corp. 7.05% 3/15/2033 100 104
Cox Communications, Inc. 3.875% 10/1/2008 250 244
Cox Communications, Inc. 7.75% 11/1/2010 200 226
Deutsche Telekom International Finance 3.875% 7/22/2008 100 98
Deutsche Telekom International Finance 8.50% 6/15/2010 600 700
Deutsche Telekom International Finance 5.25% 7/22/2013 100 98
Deutsche Telekom International Finance 8.75% 6/15/2030 400 488
France Telecom 8.20% 3/1/2006 500 536
France Telecom 8.75% 3/1/2011 250 289
France Telecom 9.50% 3/1/2031 275 345
GTE Corp. 8.75% 11/1/2021 100 123
GTE South, Inc. 6.125% 6/15/2007 700 742
International Telecom Satellite 7.625% 4/15/2012 75 72
Koninklijke KPN NV 8.00% 10/1/2010 275 319
Koninklijke KPN NV 8.375% 10/1/2030 200 242
New England Telephone & Telegraph Co. 7.875% 11/15/2029 100 115
News America Holdings, Inc. 9.25% 2/1/2013 200 252
News America Holdings, Inc. 8.00% 10/17/2016 175 205
News America Holdings, Inc. 8.15% 10/17/2036 125 150
News America Holdings, Inc. 7.75% 12/1/2045 300 343
R.R. Donnelley & Sons Co. 3.75% 4/1/2009(2) 100 97
R.R. Donnelley & Sons Co. 4.95% 4/1/2014(2) 125 119
SBC Communications, Inc. 5.75% 5/2/2006 200 209
SBC Communications, Inc. 6.25% 3/15/2011 225 239
SBC Communications, Inc. 5.875% 8/15/2012 1,000 1,030
Sprint Capital Corp. 6.00% 1/15/2007 400 419
Sprint Capital Corp. 6.125% 11/15/2008 400 421
Sprint Capital Corp. 7.625% 1/30/2011 100 111
Sprint Capital Corp. 8.75% 3/15/2032 1,025 1,194
TCI Communications, Inc. 8.00% 8/1/2005 465 491
- ----------------------------------------------------------------------------------------------------------------
21
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
TCI Communications, Inc. 8.75% 8/1/2015 175 211
Tele-Communications, Inc. 7.875% 8/1/2013 150 172
Telecom Italia Capital 4.00% 11/15/2008(2) 375 368
Telecom Italia Capital 5.25% 11/15/2013(2) 250 242
Telecom Italia Capital 6.375% 11/15/2033(2) 100 96
Telecomunicaciones de Puerto Rico 6.65% 5/15/2006 125 132
Telefonica Europe BV 7.35% 9/15/2005 275 290
Telefonica Europe BV 8.25% 9/15/2030 375 456
Telefonos de Mexico SA 8.25% 1/26/2006 175 187
Telefonos de Mexico SA 4.50% 11/19/2008 200 193
Telus Corp. 7.50% 6/1/2007 175 191
Telus Corp. 8.00% 6/1/2011 275 315
Time Warner Entertainment 8.375% 3/15/2023 100 116
Time Warner Entertainment 8.375% 7/15/2033 450 532
US Cellular 6.70% 12/15/2033 175 166
USA Interactive 7.00% 1/15/2013 300 325
Univision Communications, Inc. 2.875% 10/15/2006 100 99
Univision Communications, Inc. 3.50% 10/15/2007 150 148
Verizon Global Funding Corp. 4.00% 1/15/2008 100 100
Verizon Global Funding Corp. 6.75% 12/1/2005 325 343
Verizon New Jersey, Inc. 5.875% 1/17/2012 400 412
Verizon New York, Inc. 6.875% 4/1/2012 175 188
Verizon New York, Inc. 7.375% 4/1/2032 600 630
Verizon Pennsylvania, Inc. 5.65% 11/15/2011 475 482
Verizon Wireless Capital 5.375% 12/15/2006 400 418
Vodafone AirTouch PLC 7.75% 2/15/2010 175 201
Vodafone AirTouch PLC 7.875% 2/15/2030 625 739
WPP Finance USA Corp. 5.875% 6/15/2014(2) 150 151
CONSUMER CYCLICAL (2.9%)
AOL Time Warner, Inc. 6.125% 4/15/2006 650 682
AOL Time Warner, Inc. 6.15% 5/1/2007 525 557
AOL Time Warner, Inc. 6.75% 4/15/2011 100 108
AOL Time Warner, Inc. 7.625% 4/15/2031 600 658
AOL Time Warner, Inc. 7.70% 5/1/2032 150 166
Brinker International 5.75% 6/1/2014(2) 75 75
Cendant Corp. 6.25% 1/15/2008 350 371
Cendant Corp. 7.375% 1/15/2013 175 195
Cendant Corp. 6.875% 8/15/2006 245 262
Centex Corp. 5.125% 10/1/2013 100 94
Costco Wholesale Corp. 5.50% 3/15/2007 175 184
DaimlerChrysler North America Holding Corp. 7.375% 9/15/2006 975 1,048
DaimlerChrysler North America Holding Corp. 4.05% 6/4/2008 250 245
DaimlerChrysler North America Holding Corp. 8.00% 6/15/2010 200 226
DaimlerChrysler North America Holding Corp. 7.30% 1/15/2012 225 244
DaimlerChrysler North America Holding Corp. 6.50% 11/15/2013 300 307
DaimlerChrysler North America Holding Corp. 8.50% 1/18/2031 400 458
Dayton Hudson Corp. 6.65% 8/1/2028 250 266
Delphi Corp. 6.50% 8/15/2013 300 304
The Walt Disney Co. 5.375% 6/1/2007 500 520
The Walt Disney Co. 6.375% 3/1/2012 250 268
Federated Department Stores, Inc. 6.90% 4/1/2029 200 207
- ----------------------------------------------------------------------------------------------------------------
22
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Ford Capital BV 9.50% 6/1/2010 225 255
Ford Motor Co. 7.45% 7/16/2031 875 830
Ford Motor Co. 9.98% 2/15/2047 650 762
Ford Motor Credit Co. 6.875% 2/1/2006 1,275 1,338
Ford Motor Credit Co. 6.50% 1/25/2007 1,575 1,656
Ford Motor Credit Co. 7.375% 10/28/2009 100 107
Ford Motor Credit Co. 7.875% 6/15/2010 250 272
Ford Motor Credit Co. 7.375% 2/1/2011 125 132
Ford Motor Credit Co. 7.25% 10/25/2011 1,000 1,046
Ford Motor Credit Co. 7.00% 10/1/2013 450 454
General Motors Acceptance Corp. 6.75% 1/15/2006 200 209
General Motors Acceptance Corp. 4.50% 7/15/2006 375 380
General Motors Acceptance Corp. 6.125% 9/15/2006 600 625
General Motors Acceptance Corp. 5.625% 5/15/2009 125 125
General Motors Acceptance Corp. 7.75% 1/19/2010 1,075 1,166
General Motors Acceptance Corp. 7.25% 3/2/2011 250 262
General Motors Acceptance Corp. 6.875% 9/15/2011 500 513
General Motors Acceptance Corp. 7.00% 2/1/2012 825 849
General Motors Acceptance Corp. 6.875% 8/28/2012 900 914
General Motors Acceptance Corp. 8.00% 11/1/2031 100 102
General Motors Corp. 7.20% 1/15/2011 250 261
General Motors Corp. 8.25% 7/15/2023 150 157
General Motors Corp. 7.40% 9/1/2025 350 337
General Motors Corp. 6.75% 5/1/2028 375 337
General Motors Corp. 8.375% 7/15/2033 400 421
Harrah's Operating Co., Inc. 7.125% 6/1/2007 175 188
Harrah's Operating Co., Inc. 7.50% 1/15/2009 250 273
Harrah's Operating Co., Inc. 5.375% 12/15/2013 25 23
Kohl's Corp. 6.00% 1/15/2033 100 96
Liberty Media Corp. 3.50% 9/25/2006 200 200
Liberty Media Corp. 8.25% 2/1/2030 250 287
Lowe's Cos., Inc. 6.875% 2/15/2028 250 273
May Department Stores Co. 9.75% 2/15/2021 340 429
McDonald's Corp. 6.00% 4/15/2011 250 266
Nordstrom, Inc. 6.95% 3/15/2028 100 105
Pulte Homes, Inc. 5.25% 1/15/2014 175 166
Pulte Homes, Inc. 7.875% 6/15/2032 75 82
Target Corp. 3.375% 3/1/2008 500 492
Target Corp. 5.40% 10/1/2008 450 471
Target Corp. 6.35% 11/1/2032 100 103
Toyota Motor Credit Corp. 4.35% 12/15/2010 200 198
Tricon Global Restaurants, Inc. 8.875% 4/15/2011 200 241
Viacom International Inc. 7.75% 6/1/2005 375 392
Viacom International Inc. 6.625% 5/15/2011 100 109
Viacom International Inc. 5.625% 8/15/2012 300 304
Viacom International Inc. 7.875% 7/30/2030 225 266
Viacom International Inc. 5.50% 5/15/2033 100 89
Wal-Mart Stores, Inc. 4.375% 7/12/2007 250 255
Wal-Mart Stores, Inc. 4.125% 2/15/2011 175 169
Wal-Mart Stores, Inc. 7.55% 2/15/2030 400 479
Wal-Mart Stores, Inc. Canada 5.58% 5/1/2006(2) 1,150 1,202
Yum! Brands, Inc. 7.70% 7/1/2012 100 114
- ----------------------------------------------------------------------------------------------------------------
23
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
CONSUMER NONCYCLICAL (2.1%)
Abbott Laboratories 5.625% 7/1/2006 300 314
Abbott Laboratories 3.50% 2/17/2009 175 170
Albertson's, Inc. 7.50% 2/15/2011 150 168
Albertson's, Inc. 7.45% 8/1/2029 150 161
Albertson's, Inc. 8.00% 5/1/2031 150 172
Altria Group, Inc. 5.625% 11/4/2008 275 275
Anheuser-Busch Cos., Inc. 7.125% 7/1/2017 475 524
Archer-Daniels-Midland Co. 8.125% 6/1/2012 300 360
Archer-Daniels-Midland Co. 5.935% 10/1/2032 150 146
AstraZeneca PLC 5.40% 6/1/2014 150 153
C.R. Bard, Inc. 6.70% 12/1/2026 200 213
Baxter International, Inc. 5.25% 5/1/2007 250 259
Boston Scientific 5.45% 6/15/2014 125 126
Bottling Group LLC 4.625% 11/15/2012 250 243
Bristol-Myers Squibb Co. 4.00% 8/15/2008(2) 250 248
Bristol-Myers Squibb Co. 5.75% 10/1/2011 550 571
Bristol-Myers Squibb Co. 5.25% 8/15/2013(2) 250 249
Bunge Ltd. Finance Corp. 4.375% 12/15/2008 200 198
Bunge Ltd. Finance Corp. 5.35% 4/15/2014(2) 100 96
CIGNA Corp. 7.40% 5/15/2007 200 218
Campbell Soup Co. 6.75% 2/15/2011 400 441
Cia. Brasil de Bebidas AmBev 10.50% 12/15/2011 90 103
Cia. Brasil de Bebidas AmBev 8.75% 9/15/2013(2) 150 158
Coca-Cola Enterprises Inc. 6.125% 8/15/2011 800 859
Coca-Cola Enterprises Inc. 8.50% 2/1/2022 75 95
Coca-Cola Enterprises Inc. 6.75% 9/15/2028 250 270
Conagra, Inc. 7.875% 9/15/2010 575 660
Diageo Capital PLC 3.375% 3/20/2008 250 245
Eli Lilly & Co. 6.00% 3/15/2012 125 133
Fred Meyer, Inc. 7.375% 3/1/2005 400 414
General Mills, Inc. 2.625% 10/24/2006 300 294
General Mills, Inc. 5.125% 2/15/2007 475 492
GlaxoSmithKline Capital Inc. 2.375% 4/16/2007 25 24
GlaxoSmithKline Capital Inc. 4.375% 4/15/2014 350 329
Grand Metropolitan Investment Corp. 9.00% 8/15/2011 400 491
Health Care Services Corp. 7.75% 6/15/2011(2) 200 223
H.J. Heinz Co. 6.375% 7/15/2028 225 232
Hospira, Inc. 4.95% 6/15/2009(2) 125 126
Hospira, Inc. 5.90% 6/15/2014(2) 75 76
Imperial Tobacco 7.125% 4/1/2009 175 192
International Flavors & Fragrances 6.45% 5/15/2006 75 79
Johnson & Johnson 3.80% 5/15/2013 225 207
Johnson & Johnson 4.95% 5/15/2033 125 109
Kellogg Co. 6.00% 4/1/2006 300 315
Kellogg Co. 7.45% 4/1/2031 350 403
Kimberly-Clark Corp. 5.625% 2/15/2012 100 105
Kraft Foods, Inc. 4.625% 11/1/2006 925 947
Kraft Foods, Inc. 5.625% 11/1/2011 225 229
Kraft Foods, Inc. 6.50% 11/1/2031 225 227
Kroger Co. 7.70% 6/1/2029 175 197
Kroger Co. 8.00% 9/15/2029 250 290
- ----------------------------------------------------------------------------------------------------------------
24
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Merck & Co. 6.40% 3/1/2028 125 132
Pepsi Bottling Group, Inc. 7.00% 3/1/2029 250 278
Pfizer, Inc. 4.50% 2/15/2014 725 694
Philip Morris Cos., Inc. 7.00% 7/15/2005 475 491
Procter & Gamble Co. ESOP 9.36% 1/1/2021 600 788
Quest Diagnostic, Inc. 6.75% 7/12/2006 325 347
Safeway, Inc. 6.50% 3/1/2011 450 477
Safeway, Inc. 5.80% 8/15/2012 125 126
Sara Lee Corp. 6.125% 11/1/2032 200 199
Schering-Plough Corp. 5.30% 12/1/2013 200 196
Schering-Plough Corp. 6.50% 12/1/2033 150 149
Tyson Foods, Inc. 7.25% 10/1/2006 200 214
Tyson Foods, Inc. 8.25% 10/1/2011 200 230
Unilever Capital Corp. 6.875% 11/1/2005 400 422
Unilever Capital Corp. 7.125% 11/1/2010 150 169
UnitedHealth Group, Inc. 5.20% 1/17/2007 375 390
Wellpoint Health Networks Inc. 6.375% 1/15/2012 200 212
Wyeth 4.375% 3/1/2008 425 426
Wyeth 5.50% 3/15/2013 250 242
Wyeth 6.50% 2/1/2034 100 94
Wyeth 5.50% 2/1/2014 100 96
ENERGY (1.2%)
Alberta Energy Co. Ltd. 7.375% 11/1/2031 225 254
Anadarko Finance Co. 7.50% 5/1/2031 350 400
Anadarko Petroleum Corp. 6.125% 3/15/2012 200 211
Apache Finance Canada 7.75% 12/15/2029 75 91
BP Capital Markets PLC 2.35% 6/15/2006 500 495
BP Capital Markets PLC 2.75% 12/29/2006 50 50
BP Capital Markets PLC 2.625% 3/15/2007 150 147
Baker Hughes, Inc. 6.25% 1/15/2009 300 325
Burlington Resources, Inc. 7.40% 12/1/2031 250 284
Canadian Natural Resources 5.45% 10/1/2012 100 101
Canadian Natural Resources 7.20% 1/15/2032 200 224
Conoco Funding Co. 5.45% 10/15/2006 500 523
Conoco Funding Co. 6.35% 10/15/2011 775 841
ConocoPhillips 5.90% 10/15/2032 500 484
Devon Energy Corp. 7.95% 4/15/2032 300 347
Devon Financing Corp. 7.875% 9/30/2031 100 115
Devon Financing Corp. 6.875% 9/30/2011 500 544
Encana Holdings Finance Corp. 5.80% 5/1/2014 100 102
Halliburton Co. 5.50% 10/15/2010 125 126
Halliburton Co. 8.75% 2/15/2021 100 119
Kerr McGee Corp. 6.95% 7/1/2024 125 125
LG Caltex Oil Corp. 7.75% 7/25/2011(2) 200 226
Marathon Oil Corp. 6.125% 3/15/2012 300 317
Marathon Oil Corp. 6.80% 3/15/2032 100 104
Nexen, Inc. 5.05% 11/20/2013 200 192
Norsk Hydro 7.25% 9/23/2027 200 227
Norsk Hydro 7.15% 1/15/2029 300 337
Occidental Petroleum 6.75% 1/15/2012 200 220
Occidental Petroleum 7.20% 4/1/2028 200 223
- ----------------------------------------------------------------------------------------------------------------
25
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
PF Export Receivables Master Trust 6.60% 12/1/2011(1)(2) 300 315
PanCanadian Energy Corp. 7.20% 11/1/2031 125 138
Pemex Project Funding Master Trust 7.875% 2/1/2009 200 217
Pemex Project Funding Master Trust 7.375% 12/15/2014 350 356
Pemex Project Funding Master Trust 8.625% 2/1/2022 350 362
Petro-Canada 4.00% 7/15/2013 400 355
Suncor Energy, Inc. 7.15% 2/1/2032 325 363
Texaco Capital, Inc. 5.50% 1/15/2009 500 528
Transocean Sedco Forex, Inc. 6.625% 4/15/2011 425 465
Union Oil Co. of California 5.05% 10/1/2012 300 296
Valero Energy Corp. 6.875% 4/15/2012 425 459
TECHNOLOGY (0.5%)
Computer Sciences Corp. 6.75% 6/15/2006 225 240
Eastman Kodak Co. 3.625% 5/15/2008 250 238
Electronic Data Systems 6.00% 8/1/2013 350 335
First Data Corp. 4.70% 11/1/2006 250 258
First Data Corp. 3.375% 8/1/2008 300 292
Hewlett-Packard Co. 3.625% 3/15/2008 800 790
International Business Machines Corp. 6.45% 8/1/2007 600 649
International Business Machines Corp. 7.00% 10/30/2025 450 500
International Business Machines Corp. 7.125% 12/1/2096 275 298
Motorola, Inc. 7.625% 11/15/2010 400 449
Motorola, Inc. 8.00% 11/1/2011 100 115
Motorola, Inc. 7.50% 5/15/2025 200 214
Science Applications International Corp. 6.25% 7/1/2012 50 53
Science Applications International Corp. 5.50% 7/1/2033 50 44
SunGard Data Systems, Inc. 3.75% 1/15/2009 50 48
SunGard Data Systems, Inc. 4.875% 1/15/2014 50 47
Texas Instruments, Inc. 6.125% 2/1/2006 100 105
TRANSPORTATION (0.6%)
American Airlines, Inc.
Pass-Through Certificates 7.024% 10/15/2009 325 323
Burlington Northern Santa Fe Corp. 7.875% 4/15/2007 350 388
CNF, Inc. 6.70% 5/1/2034(2) 150 147
CSX Corp. 6.75% 3/15/2011 200 217
Canadian National Railway Co. 6.80% 7/15/2018 375 408
Canadian Pacific Rail 6.25% 10/15/2011 325 349
Consolidated Rail Corp. 9.75% 6/15/2020 100 134
Continental Airlines Enhanced Equipment
Trust Certificates 6.648% 9/15/2017 277 257
Delta Air Lines Enhanced Equipment
Trust Certificates 7.111% 9/18/2011 350 321
ERAC USA Finance Co. 7.35% 6/15/2008(2) 175 194
FedEx Corp. 2.65% 4/1/2007(2) 150 146
FedEx Corp. 3.50% 4/1/2009(2) 75 72
Hertz Corp. 6.35% 6/15/2010 100 100
Hertz Corp. 7.40% 3/1/2011 525 549
Hertz Corp. 7.625% 6/1/2012 125 131
MISC Capital Ltd. 5.00% 7/1/2009(2) 175 175
MISC Capital Ltd. 6.125% 7/1/2014(2) 200 199
- ----------------------------------------------------------------------------------------------------------------
26
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp. 8.375% 5/15/2005 525 549
Norfolk Southern Corp. 7.90% 5/15/2097 325 375
Northwest Airlines, Inc.
Pass-Through Certificates 6.841% 4/1/2011 100 97
Southwest Airlines Co. 6.50% 3/1/2012 150 158
Union Pacific Corp. 3.625% 6/1/2010 500 468
Union Pacific Corp. 7.00% 2/1/2016 300 330
OTHER
Rockwell International Corp. 6.70% 1/15/2028 100 105
--------
116,948
--------
UTILITIES (1.9%)
ELECTRIC (1.5%)
AEP Texas Central Co. 5.50% 2/15/2013 225 226
AEP Texas Central Co. 6.65% 2/15/2033 150 154
Alabama Power Co. 5.50% 10/15/2017 275 275
American Electric Power 6.125% 5/15/2006 125 131
Arizona Public Service Co. 4.65% 5/15/2015 500 455
Boston Edison Co. 4.875% 4/15/2014 100 97
Cincinnati Gas & Electric Co. 5.70% 9/15/2012 350 356
Cleveland Electric Illumination Co. 7.88% 11/1/2017 100 115
Commonwealth Edison Co. 3.70% 2/1/2008 100 99
Commonwealth Edison Co. 6.15% 3/15/2012 100 107
Commonwealth Edison Co. 4.70% 4/15/2015 100 95
Consolidated Edison, Inc. 6.625% 12/15/2005 325 343
Constellation Energy Group, Inc. 6.125% 9/1/2009 500 530
Constellation Energy Group, Inc. 7.00% 4/1/2012 125 136
Consumers Energy Co. 4.25% 4/15/2008 100 99
Consumers Energy Co. 4.80% 2/17/2009 250 251
Consumers Energy Co. 5.375% 4/15/2013 100 98
Dominion Resources, Inc. 5.25% 8/1/2015 100 96
Duke Capital Corp. 6.75% 2/15/2032 175 170
Duke Energy Corp. 6.45% 10/15/2032 350 343
Energy East Corp. 6.75% 6/15/2012 300 321
Entergy Gulf States 3.60% 6/1/2005 150 145
Florida Power & Light 6.875% 12/1/2005 600 634
Florida Power & Light 5.95% 10/1/2033 150 148
HQI Transelec Chile SA 7.875% 4/15/2011 225 251
Jersey Central Power & Light 5.625% 5/1/2016(2) 150 147
MidAmerican Energy Co. 6.75% 12/30/2031 625 676
National Rural Utilities
Cooperative Finance Corp. 6.50% 3/1/2007 200 215
National Rural Utilities
Cooperative Finance Corp. 5.75% 8/28/2009 1,000 1,059
NiSource Finance Corp. 3.20% 11/1/2006 300 298
NiSource Finance Corp. 7.875% 11/15/2010 150 172
Oncor Electric Delivery Co. 6.375% 5/1/2012 150 161
Oncor Electric Delivery Co. 6.375% 1/15/2015 200 212
Oncor Electric Delivery Co. 7.25% 1/15/2033 200 225
PSEG Power Corp. 6.875% 4/15/2006 225 239
PSEG Power Corp. 6.95% 6/1/2012 200 217
PSEG Power Corp. 8.625% 4/15/2031 125 153
- ----------------------------------------------------------------------------------------------------------------
27
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
PacifiCorp 6.90% 11/15/2011 275 305
Pacific Gas & Electric Co. 3.60% 3/1/2009 100 96
Pacific Gas & Electric Co. 4.20% 3/1/2011 125 119
Pacific Gas & Electric Co. 4.80% 3/1/2014 75 71
Pacific Gas & Electric Co. 6.05% 3/1/2034 525 494
Pepco Holdings, Inc. 6.45% 8/15/2012 200 207
Pepco Holdings, Inc. 7.45% 8/15/2032 100 107
Progress Energy, Inc. 6.05% 4/15/2007 100 105
Progress Energy, Inc. 7.10% 3/1/2011 850 931
Public Service Co. of Colorado 4.375% 10/1/2008 550 554
SCANA Corp. 6.25% 2/1/2012 400 424
Southern California Edison Co. 5.00% 1/15/2014 150 146
Southern California Edison Co. 6.00% 1/15/2034 250 240
Southern California Edison Co. 5.75% 4/1/2035 125 116
United Utilities PLC 5.375% 2/1/2019 350 325
Virginia Electric & Power Co. 5.375% 2/1/2007 475 495
Wisconsin Electric Power Co. 5.625% 5/15/2033 100 93
XCEL Energy, Inc. 7.00% 12/1/2010 125 139
NATURAL GAS (0.4%)
Columbia Energy Group 7.62% 11/28/2025 150 159
Consolidated Natural Gas 5.375% 11/1/2006 425 442
Consolidated Natural Gas 6.25% 11/1/2011 500 533
Duke Energy Field Services 7.50% 8/16/2005 225 236
Duke Energy Field Services 8.125% 8/16/2030 150 175
Keyspan Corp. 7.25% 11/15/2005 425 449
Kinder Morgan Energy Partners, LP 7.30% 8/15/2033 250 265
Kinder Morgan, Inc. 6.50% 9/1/2012 500 529
Panhandle Eastern Pipeline 2.75% 3/15/2007(2) 100 97
Sempra Energy 6.95% 12/1/2005 350 369
Southern Union Co. 7.60% 2/1/2024 200 211
Texas Gas Transmission 4.60% 6/1/2015 150 137
Trans-Canada Pipelines 4.00% 6/15/2013 375 342
---------
18,360
---------
- ----------------------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $288,378) 290,543
- ----------------------------------------------------------------------------------------------------------------
SOVEREIGN BONDS (U.S. Dollar-Denominated) (2.4%)
- ----------------------------------------------------------------------------------------------------------------
Canadian Government 6.75% 8/28/2006 650 701
Eksportfinans 4.375% 7/15/2009 225 226
Export Development Canada 4.00% 8/1/2007 200 202
Federation of Malaysia 8.75% 6/1/2009 250 295
Federation of Malaysia 7.50% 7/15/2011 175 199
Hellenic Republic 6.95% 3/4/2008 250 276
Instituto de Credito Oficial 6.00% 5/19/2008 200 215
International Finance Corp. 3.00% 4/15/2008 450 441
Kredit Fuer Wiederaufbau 2.375% 9/25/2006 200 197
Kredit Fuer Wiederaufbau 3.375% 1/23/2008 200 198
Kredit Fuer Wiederaufbau 3.25% 3/30/2009 75 73
Landwirtschaft Rentenbank 3.375% 11/15/2007 500 496
Landwirtschaft Rentenbank 3.25% 6/16/2008 200 196
Landwirtschaft Rentenbank 3.875% 9/4/2008 250 250
- ----------------------------------------------------------------------------------------------------------------
28
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Ontario Hydro Electric 6.10% 1/30/2008 200 215
People's Republic of China 7.30% 12/15/2008 100 112
People's Republic of China 4.75% 10/29/2013 100 96
Petroleos Mexicanos 6.50% 2/1/2005 750 769
Province of British Columbia 5.375% 10/29/2008 470 497
Province of Manitoba 7.50% 2/22/2010 500 579
Province of New Brunswick 3.50% 10/23/2007 200 199
Province of Nova Scotia 5.75% 2/27/2012 125 133
Province of Ontario 5.50% 10/1/2008 1,600 1,692
Province of Quebec 5.75% 2/15/2009 550 588
Province of Quebec 5.00% 7/17/2009 500 517
Province of Quebec 7.50% 9/15/2029 250 303
Province of Saskatchewan 7.375% 7/15/2013 250 294
Quebec Hydro Electric 6.30% 5/11/2011 500 546
Quebec Hydro Electric 7.50% 4/1/2016 500 598
Region of Lombardy 5.804% 10/25/2032 250 246
Republic of Chile 5.625% 7/23/2007 450 471
Republic of Finland 5.875% 2/27/2006 125 131
Republic of Finland 4.75% 3/6/2007 125 130
Republic of Italy 4.375% 10/25/2006 500 513
Republic of Italy 3.625% 9/14/2007 2,225 2,225
Republic of Italy 3.25% 5/15/2009 50 48
Republic of Italy 5.625% 6/15/2012 1,400 1,474
Republic of Italy 6.875% 9/27/2023 425 481
Republic of Italy 5.375% 6/15/2033 50 47
Republic of Korea 8.875% 4/15/2008 200 232
Republic of Korea 4.25% 6/1/2013 250 230
Republic of South Africa 7.375% 4/25/2012 225 244
Republic of South Africa 6.50% 6/2/2014 175 177
Republic of South Africa 8.50% 6/23/2017 175 199
State of Israel 4.625% 6/15/2013 125 115
Swedish Export Credit 2.875% 1/26/2007 225 223
United Mexican States 9.875% 1/15/2007 600 684
United Mexican States 8.625% 3/12/2008 175 197
United Mexican States 4.625% 10/8/2008 325 319
United Mexican States 9.875% 2/1/2010 300 360
United Mexican States 8.375% 1/14/2011 1,275 1,438
United Mexican States 6.375% 1/16/2013 250 249
United Mexican States 11.375% 9/15/2016 50 70
United Mexican States 8.125% 12/30/2019 100 107
United Mexican States 8.30% 8/15/2031 1,100 1,150
United Mexican States 7.50% 4/8/2033 150 145
- ----------------------------------------------------------------------------------------------------------------
TOTAL SOVEREIGN BONDS
(Cost $23,114) 23,008
- ----------------------------------------------------------------------------------------------------------------
TAXABLE MUNICIPAL BONDS (0.2%)
- ----------------------------------------------------------------------------------------------------------------
Illinois (Taxable Pension) GO 4.95% 6/1/2023 75 68
Illinois (Taxable Pension) GO 5.10% 6/1/2033 1,100 980
Kansas Dev. Finance Auth. Rev.
(Public Employee Retirement System) 5.501% 5/1/2034 25 24
New Jersey Econ. Dev. Auth. State Pension Rev. 7.425% 2/15/2029 175 207
New Jersey Turnpike Auth. Rev. 4.252% 1/1/2016 175 162
- ----------------------------------------------------------------------------------------------------------------
29
- ----------------------------------------------------------------------------------------------------------------
FACE MARKET
INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE*
MARKET INDEX FUND COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------
Oregon (Taxable Pension) GO 5.762% 6/1/2023 125 126
Oregon (Taxable Pension) GO 5.892% 6/1/2027 125 126
Wisconsin Public Service Rev. 4.80% 5/1/2013 150 147
Wisconsin Public Service Rev. 5.70% 5/1/2026 150 147
- ----------------------------------------------------------------------------------------------------------------
TOTAL TAXABLE MUNICIPAL BONDS
(Cost $2,016) 1,987
- ----------------------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (1.7%)
- ----------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS
Collateralized by U.S. Government Obligations
in a Pooled Cash Account--Note E 1.466% 7/1/2004 2,018 2,018
Collateralized by U.S. Government Obligations
in a Pooled Cash Account 1.468% 7/1/2004 14,714 14,714
- ----------------------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $16,732) 16,732
- ----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (101.2%)
(Cost $990,143) 985,703
- ----------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-1.2%)
Other Assets 28,807
Liabilities--Note E (40,566)
---------
(11,759)
---------
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------------------------
Applicable to 19,169,943 outstanding $.001 par value
shares of beneficial interest (unlimited authorization) $973,944
================================================================================================================
NET ASSET VALUE PER SHARE $50.81
================================================================================================================
*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)Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be sold in transactions exempt from registration,
normally to qualified institutional buyers. At June 30, 2004, the aggregate
value of these securities was $8,281,000, representing 0.9% of net assets.
(3)Adjustable-rate note.
GO-Government Obligation Bond.
30
AMOUNT PER
(000) SHARE
================================================================================
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Paid-in Capital $979,519 $51.10
Undistributed Net Investment Income -- --
Accumulated Net Realized Losses (1,197) (.06)
Unrealized Appreciation (Depreciation)
Investment Securities (4,440) (.23)
Swap Contracts 62 --
- --------------------------------------------------------------------------------
NET ASSETS $973,944 $50.81
================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
31
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by the fund during the reporting
period, and details the operating expenses charged to the fund. These expenses
directly reduce the amount of investment income available to pay to shareholders
as income dividends. This Statement also shows any Net Gain (Loss) realized on
the sale of investments, and the increase or decrease in the Unrealized
Appreciation (Depreciation) of investments during the period.
================================================================================
INSTITUTIONAL TOTAL BOND
MARKET INDEX FUND
SIX MONTHS ENDED JUNE 30, 2004
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME
Interest $23,084
Security Lending 33
- --------------------------------------------------------------------------------
Total Income 23,117
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative 283
- --------------------------------------------------------------------------------
Total Expenses 283
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 22,834
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 4,034
Swap Contracts 135
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 4,169
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities (23,251)
Swap Contracts (339)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (23,590)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 3,413
================================================================================
32
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the fund's total net assets changed during the two most
recent reporting periods. The Operations section summarizes information detailed
in the Statement of Operations. Because the fund distributes its income to
shareholders each day, the amounts of Distributions--Net Investment Income
approximate the net income earned as shown under the Operations section. The
amounts of Distributions--Realized Capital Gain may not match the capital gains
shown in the Operations section, because distributions are determined on a tax
basis and may be made in a period different from the one in which the gains were
realized on the financial statements. The Capital Share Transactions section
shows the amount shareholders invested in the fund, either by purchasing shares
or by reinvesting distributions, as well as the amounts redeemed. The
corresponding numbers of Shares Issued and Redeemed are shown at the end of the
Statement.
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2004 DEC. 31, 2003
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 22,834 $ 39,556
Realized Net Gain (Loss) 4,169 9,009
Change in Unrealized Appreciation (Depreciation) (23,590) (5,503)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 3,413 43,062
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (23,330) (40,547)
Realized Capital Gain* (359) (4,003)
- --------------------------------------------------------------------------------
Total Distributions (23,689) (44,550)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS1
Issued 114,284 423,202
Issued in Lieu of Cash Distributions 16,860 33,805
Redeemed (321,542) (275,964)
- --------------------------------------------------------------------------------
Net Increase (Decrease) from Capital
Share Transactions (190,398) 181,043
- --------------------------------------------------------------------------------
Total Increase (Decrease) (210,674) 179,555
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,184,618 1,005,063
- --------------------------------------------------------------------------------
End of Period $973,944 $1,184,618
- --------------------------------------------------------------------------------
1Shares Issued (Redeemed)
Issued 2,200 8,136
Issued in Lieu of Cash Distributions 326 650
Redeemed (6,227) (5,282)
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding (3,701) 3,504
================================================================================
*Includes fiscal 2004 and 2003 short-term gain distributions totaling $0 and
$2,653,000, respectively. Short-term gain distributions are treated as ordinary
income dividends for tax purposes.
33
FINANCIAL HIGHLIGHTS
This table summarizes the fund's investment results and distributions to
shareholders on a per-share basis. It also presents the Total Return and shows
net investment income and expenses as percentages of average net assets. These
data will help you assess: the variability of the fund's net income and total
returns from year to year; the relative contributions of net income and capital
gains to the fund's total return; how much it costs to operate the fund; and the
extent to which the fund tends to distribute capital gains. The table also shows
the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of
100% means that the average security is held in the fund for one year.
INSTITUTIONAL TOTAL BOND MARKET INDEX FUND
- ------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED APRIL 26* TO
JUNE 30, DEC. 31, DEC. 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $51.80 $51.89 $50.00
- ------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income 1.030 1.952 1.701
Net Realized and Unrealized Gain (Loss) on Investments (.947) .133 1.891
- ------------------------------------------------------------------------------------------------------
Total from Investment Operations .083 2.085 3.592
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (1.056) (1.997) (1.690)
Distributions from Realized Capital Gains (.017) (.178) (.012)
- ------------------------------------------------------------------------------------------------------
Total Distributions (1.073) (2.175) (1.702)
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $50.81 $51.80 $51.89
- ------------------------------------------------------------------------------------------------------
TOTAL RETURN 0.14% 4.08% 7.30%
- ------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $974 $1,185 $1,005
Ratio of Total Expenses to Average Net Assets 0.05%** 0.05% 0.05%**
Ratio of Net Investment Income to Average Net Assets 4.04%** 3.81% 4.57%**
Portfolio Turnover+ 53%** 60% 64%
======================================================================================================
*Inception.
**Annualized.
+Excludes the value of portfolio securities received or delivered as a result of
in-kind purchases or redemptions of the fund's capital shares.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
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. 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.
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.
35
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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. Differences in classification may also result from the
treatment of short-term gains as ordinary income for tax purposes. The fund's
tax-basis capital gains and losses are determined only at the end of each fiscal
year.
During the six months ended June 30, 2004, the fund realized $4,810,000 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.
Realized and unrealized gains (losses) on certain of the fund's swap contracts
are treated as ordinary income (loss) for tax purposes; the effect on the fund's
income dividends to shareholders is offset by a change in principal return.
Realized gains on swap contracts of $496,000 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 June 30, 2004, net unrealized depreciation of investment securities for tax
purposes was $4,440,000, consisting of unrealized gains of $7,154,000 on
securities that had risen in value since their purchase and $11,594,000 in
unrealized losses on securities that had fallen in value since their purchase.
At June 30, 2004, 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
7/31/2004 DBS $ 9,000 0.56% $ 20
8/30/2004 BA 5,100 0.56 12
10/31/2004 BA 15,000 0.51 35
- ------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 6.00% 30-Year
7/31/2004 UBS 2,000 1.01 (36)
- ------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 5.50% 30-Year
10/31/2004 UBS 5,000 1.13 1
- ------------------------------------------------------------------------------------------------------
Federal National Mortgage Association, 5.00% 15-Year
8/31/2004 UBS 7,000 1.18 38
10/31/2004 UBS 4,000 1.16 (7)
- ------------------------------------------------------------------------------------------------------
Federal National Mortgage Association, 5.00% 30-Year
10/31/2004 UBS 2,000 1.16 (1)
------
$ 62
- ------------------------------------------------------------------------------------------------------
*BA--Bank of America.
DBS--Deutsche Bank Securities.
USB--UBS Warburg.
**Based on one-month London InterBank Offered Rate (LIBOR).
36
D. During the six months ended June 30, 2004, the fund purchased $63,002,000 of
investment securities and sold $141,822,000 of investment securities other than
U.S. government securities and temporary cash investments. Purchases and sales
of U.S. government securities were $339,421,000 and $380,057,000, respectively.
E. The market value of securities on loan to broker/dealers at June 30, 2004,
was $12,322,000, for which the fund held as collateral cash of $2,018,000 and
U.S. government and agency securities with a market value of $10,777,000. 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.
37
INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM
If you're like many Vanguard investors, you believe in planning and taking
control of your own investments. Vanguard.com was built for you--and it keeps
getting better.
RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE
Use our PLANNING & Advice and RESEARCH FUNDS & Stocks sections to:
* Determine what asset allocation might best suit your needs--by taking our
Investor Questionnaire.
* Find out how much to save for retirement and your children's college
education-- by using our planning tools.
* Learn how to achieve your goals--by reading our PlainTalk(R) investment
guides.
* Find your next fund--by using the Compare Funds, Compare Costs, and Narrow
Your Fund Choices tools.
* Look up fund price, performance history, and distribution information--in a
snap.
INVEST AND MANAGE ACCOUNTS WITH EASE
Log on to Vanguard.com to:
* See what you own (at Vanguard and elsewhere) and how your investments are
doing.
* Elect to receive online statements, fund reports (like this one),
prospectuses, and tax forms.
* Analyze your portfolio's holdings and performance.
* Open new accounts, buy and sell shares, and exchange money between
funds--securely and easily.
* Sign up to receive electronic newsletters from Vanguard informing you of
news on our funds, products, and services, as well as on investing and the
financial markets.
Find out what Vanguard.com can do for you. Log on today!
38
CAPITALIZE ON YOUR IRA
Are you taking full advantage of your individual retirement account? You really
should be. These tax-deferred accounts are powerful options for retirement
savers.
Here's how you can exploit your IRA--and improve your chances of having the
retirement of your dreams.
CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR
It may be an obvious point, but if you invest as much in your IRA as the law
allows--currently $3,000 per tax year if you are under age 50 and $3,500 if you
are age 50 or over--you will increase the odds of meeting your retirement goals.
"Max out" every year you can.
MAKE IT AUTOMATIC
Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment
Plan. Your IRA contributions will be deducted from your bank account on a
schedule of your choosing, making retirement investing a healthy habit.
CONSIDER COST
The owners of low-cost investments keep a larger portion of their gross returns
than the owners of high-cost investments. Over the long term, avoiding costlier
mutual funds and brokerage commissions could significantly boost your retirement
savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice.
REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS
Don't spend your retirement assets before you've retired. When you change jobs,
roll your 401(k) or other employer-sponsored retirement plan assets directly
into your IRA.
If you have questions about your IRA, want to transfer an IRA from another
institution to Vanguard, or need help with any other IRA transaction, call our
Retirement Resource Center at 1-800-205-6189 or visit VANGUARD.COM. You can open
or fund your IRA on our website and have a confirmation in your hand within
minutes.
THE PEOPLE WHO GOVERN YOUR FUND
- --------------------------------------------------------------------------------
The trustees of your mutual fund are there to see that the fund is operated and
managed in your best interests since, as a shareholder, you are a part owner of
the fund. Your fund trustees also serve on the board of directors of The
Vanguard Group, Inc., which is owned by the Vanguard(R) funds and provides
services to them on an at-cost basis.
A majority of Vanguard's board members are independent, meaning that they have
no affiliation with Vanguard or the funds they oversee, apart from the 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 of
(1954) Board, Chief The Vanguard Group, Inc., and of each of the investment companies
May 1987 Executive Officer, served by The Vanguard Group.
and Trustee
(131)
- ------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor
(1937) (131) 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) (131) 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 (commu-
nications components); Board Member of the American Chemistry
Council; Trustee of Drexel University.
- ------------------------------------------------------------------------------------------------------------------
JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the
HEISEN (131) Executive Committee of Johnson & Johnson (pharmaceuticals/
(1950) consumer products); Director of the University Medical Center at
July 1998 Princeton and Women's Research and Education Institute.
- ------------------------------------------------------------------------------------------------------------------
BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton
(1932) (129) University; Director of Vanguard Investment Series plc (Irish invest-
May 1977 ment fund) (since November 2001), Vanguard Group (Ireland)
Limited (Irish investment management firm) (since November 2001),
Prudential Insurance Co. of America, BKF Capital (investment
management), The Jeffrey Co. (holding company), and NeuVis, Inc.
(software company).
- ------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment
advisors for the funds; monitoring fund operations, performance, and costs;
reviewing contracts; nominating and selecting new trustees/directors; and
electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee's
retirement, resignation, or death; or otherwise as specified in the fund's
organizational documents. Any trustee may be removed at a shareholders' meeting
by a vote representing two-thirds of the net asset value of all shares of the
fund together with shares of other Vanguard funds organized within the same
trust. The table on these two pages shows information for each trustee and
executive officer of the fund. The mailing address of the trustees and officers
is P.O. Box 876, Valley Forge, PA 19482.
- --------------------------------------------------------------------------------
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
ALFRED M. RANKIN, JR. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO
(1941) (131) 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) (131) (chemicals); Director of Cummins Inc. (diesel engines), The Mead
April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical
distribution); Trustee of Vanderbilt University.
- ------------------------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc.;
(1951) (131) 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) (131) 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.
- --------------------------------------------------------------------------------
THE VANGUARD GROUP (R)
Post Office Box 2600
Valley Forge, PA 19482-2600
Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, PlainTalk, and the
ship logo are trademarks of The Vanguard Group, Inc.
All other marks are the exclusive property of their respective owners.
All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted.
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.
You can obtain a free copy of Vanguard's proxy voting guidelines by visiting our
website, www.vanguard.com, and searching for "proxy voting guidelines," or by
calling 1-800-662-2739. They are also available from the SEC's website,
www.sec.gov. In addition, beginning August 31, 2004, you may obtain a free
report on how the fund voted the proxies for securities it owned during the 12
months ended June 30. To get the report, visit either www.vanguard.com or
www.sec.gov.
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.
Q3372 082004
VANGUARD(R) INSTITUTIONAL
TOTAL STOCK MARKET INDEX FUND
June 30, 2004
[GRAPHIC OF SAILS]
semiannual report
THE VANGUARD GROUP (R) LOGO
HOW TO READ YOUR FUND REPORT
- --------------------------------------------------------------------------------
This report contains information that can help you evaluate your investment. It
includes details about your fund's return and presents data and analysis that
provide insight into the fund's performance and investment approach.
By reading the letter from Vanguard's chairman, you'll get an understanding of
how the fund invests and how the market environment affected its performance.
The statistical information that follows can help you understand how the fund's
performance and characteristics stack up against those of similar funds and
market benchmarks.
It's important to keep in mind that any opinions expressed here are just that:
informed opinions. They should not be considered promises or advice. These
opinions, like the statistics, cover the period through the date on the cover of
this report. The risks of investing in the fund are spelled out in the
prospectus.
Frequent updates on the fund's performance and information about some of its
holdings are available on Vanguard.com(R).
- --------------------------------------------------------------------------------
CONTENTS
1 LETTER FROM THE CHAIRMAN
5 FUND PROFILE
6 GLOSSARY OF INVESTMENT TERMS
7 PERFORMANCE SUMMARY
8 ABOUT YOUR FUND'S EXPENSES
10 FINANCIAL STATEMENTS
54 ADVANTAGES OF VANGUARD.COM
================================================================================
SUMMARY
* Vanguard Institutional Total Stock Market Index Fund met its objective of
closely tracking the return of its target index during the six months ended
June 30.
* Large-capitalization stocks advanced modestly, as rising interest rates
provoked investor anxiety. Small-cap stocks posted stronger returns.
* Financial stocks, which play a significant role in the fund, generated
modestly positive returns, but were restrained by rising rates. Energy
stocks, which benefited from high oil prices, provided the best returns.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LETTER FROM THE CHAIRMAN
- --------------------------------------------------------------------------------
[PICTURES OF JOHN J. BRENNAN]
Dear Shareholder,
During the six months ended June 30, 2004, the U.S. stock market got off to a
strong start, but stalled as robust economic growth led to higher interest rates
and raised the specter of rising inflation. Vanguard Institutional Total Stock
Market Index Fund posted a modest half-year return, but succeeded in its
objective of closely tracking the return of the Dow Jones Wilshire 5000
Composite Index.
- --------------------------------------------------------------------------------
TOTAL RETURNS SIX MONTHS ENDED
June 30, 2004
- --------------------------------------------------------------------------------
VANGUARD INSTITUTIONAL
TOTAL STOCK MARKET INDEX FUND
Institutional Shares 4.0%
Institutional Plus Shares 4.0
Dow Jones Wilshire 5000 Index 3.9
Average Multi-Cap Core Fund* 3.3
- --------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc.
The adjacent table presents the total returns of the fund and its target
index. For additional perspective, we also show the average return of
multi-capitalization core funds. This group consists primarily of actively
managed portfolios. The fund's starting and ending net asset values, as
well as its income distributions, appear in a table on page 4.
STOCKS GAINED AS THE ECONOMY REBOUNDED
The U.S. stock market registered moderate returns in a positive economic
environment. Corporate earnings growth was strong, and consumers grew more
confident as economic growth--and job creation--accelerated.
Gains were tempered, however, by a two-month period in which indicators of
rising inflation rattled investors. Unrest in the Middle East and growing global
demand pushed the price of oil past a level last seen more than 20 years
earlier, during the Iran-Iraq War. But good economic news was back in the
headlines in May and June, prompting a snapback for stocks.
1
For the six months, the Russell 1000 Index of mid- to large-cap stocks produced
a 3.3% gain, while the Russell 2000 Index, a proxy for small-cap stocks, jumped
6.8%. Across the market-cap spectrum, value-oriented stocks (those that
generally trade at below-market valuations relative to their earnings and other
fundamental measures) outdistanced growth stocks (those expected to produce
above-average earnings growth).
BONDS REACTED TO THE STRONGER ECONOMY
In the fixed income markets, rates stayed at historically low levels during the
first half of the period, then rose sharply in April as the economy
strengthened. For the six months, the yield of the benchmark 10-year U.S.
Treasury note increased 33 basis points (0.33 percentage point), from 4.25% to
4.58%. At the short end of the maturity spectrum, rates climbed more sharply in
anticipation of the Federal Reserve Board's increase in its target federal funds
rate. The Fed acted on June 30, lifting its target by 25 basis points, the first
increase in four years. The yield of the 3-month Treasury bill, a proxy for
money market rates, climbed from 0.92% at year-end 2003 to 1.26% on June 30.
As earnings growth fortified corporate balance sheets, corporate bonds became
more attractive, enhancing their performance relative to Treasuries. This trend
was particularly obvious among lesser-quality bonds; the Lehman Brothers High
Yield Bond Index, a benchmark of below-investment-grade bonds, posted a
six-month return of 1.4%, compared with the 0.2% return of the broad market, as
measured by the Lehman Aggregate Bond Index.
- --------------------------------------------------------------------------------
MARKET BAROMETER Total Returns
Periods Ended June 30, 2004
---------------------------
Six One Five
Months Year Years*
- --------------------------------------------------------------------------------
STOCKS
Russell 1000 Index (Large-caps) 3.3% 19.5% -1.6%
Russell 2000 Index (Small-caps) 6.8 33.4 6.6
Dow Jones Wilshire 5000 Index 3.9 21.2 -1.0
(Entire market)
MSCI All Country World Index
ex USA (International) 4.1 32.5 1.0
- --------------------------------------------------------------------------------
BONDS
Lehman Aggregate Bond Index 0.2% 0.3% 6.9%
(Broad taxable market)
Lehman Municipal Bond Index -0.7 0.8 5.9
Citigroup 3-Month Treasury Bill Index 0.5 1.0 3.1
================================================================================
CPI
Consumer Price Index 2.9% 3.3% 2.7%
- --------------------------------------------------------------------------------
*Annualized.
2
FINANCIALS WERE SUBDUED, WHILE ENERGY WAS STRONG
During the past six months, the return of Vanguard Institutional Total Stock
Market Index Fund was the product of subdued-to-weak results from large industry
sectors such as financial services and technology, and stronger performances
from small sectors such as "other energy." Energy-related stocks benefited from
persistently high oil prices, while financial services stocks, which make up the
broad stock market's largest sector, teetered as interest rates rose. (Higher
rates boost the cost of funds for banks and brokerages, reducing the
profitability of lending as well as other financial services operations.)
Technology stocks, another sizable market sector, were the weakest performers,
posting a modest loss overall.
- ----------------------------------------
Corporate earnings growth was strong,
but inlfationary presures cooled
investor enthusiasm.
- ----------------------------------------
The net result of these different sector performances was a six-month return of
4.0% for the Institutional and Institutional Plus Shares. The fund got a boost
relative to funds that track the more widely followed Standard & Poor's 500
Index from its exposure to small and mid-sized companies, which, as noted
earlier, outperformed large stocks.
Of course, index fund managers can't control the market's absolute returns. The
measure of an index fund manager's skill is a portfolio's ability to match index
returns. Unlike indexes, which are theoretical constructs free of costs, index
fund managers must develop portfolio-construction and trading techniques that
minimize the real-world burden of operating and transaction costs. During the
six-month period, the return of Vanguard Institutional Total Stock Market Index
Fund was 0.1 percentage point higher than the index return, a testament to the
index-portfolio-management skills of Vanguard Quantitative Equity Group, the
fund's advisor.
DO NOT WAVER IN THE FACE OF VOLATILITy
The recent rise in interest rates has reverberated through both the stock and
bond markets. A prudent response to this volatility is to remain focused on an
investment plan designed to help your institution meet its financial goals.
Vanguard has long advised its institutional clients that such a plan include an
allocation to stock, bond, and money market
3
portfolios in proportions suited to the organization's unique circumstances.
Vanguard Institutional Total Stock Market Index Fund is an excellent means of
capturing the returns of the broad stock market at extremely low cost.
Thank you for entrusting your institution's assets to Vanguard.
Sincerely,
/s/John J. Brennan
John J. Brennan
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
JULY 14, 2004
- -----------------------------------------------------------------------------------------------
YOUR FUND'S PERFORMANCE AT A GLANCE December 31, 2003-June 30, 2004
Distributions Per Share
------------------------------------------------
Starting Ending Income Capital
Share Price Share Price Dividends Gains
- -----------------------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK
MARKET INDEX FUND
Institutional Shares $23.33 $24.10 $0.160 $0.000
Institutional Plus Shares 23.33 24.10 0.164 0.000
- ------------------------------------------------------------------------------------------------
4
AS OF 06/30/2004 FUND PROFILE
This Profile provides a snapshot of the fund's
characteristics, compared where appropriate with its
unmanaged target index. Key terms are defined on page 6.
- ------------------------------------------------
INSTITUTIONAL TOTAL STOCK MARKET
INDEX FUND
- ---------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
Target
Fund Index*
- ---------------------------------------------------------------
Number of Stocks 3,395 5,064
Median Market Cap $27.5B $27.1B
Price/Earnings Ratio 22.6x 22.5x
Price/Book Ratio 2.8x 2.8x
Yield 1.6%
Institutional Shares 1.4%
Institutional Plus Shares 1.4%
Return on Equity 15.6% 15.7%
Earnings Growth Rate 6.8% 6.7%
Foreign Holdings 0.9% 0.9%
Turnover Rate 8%** --
Expense Ratio --
Institutional Shares 0.06%**
Institutional Plus Shares 0.025%**
Short-Term Reserves 0% --
- ---------------------------------------------------------------
- ---------------------------------------------------------------
Ten Largest Holdings (% of total net assets)
General Electric Co. 2.4%
(conglomerate)
Microsoft Corp. 2.2
(software)
ExxonMobil Corp. 2.1
(oil)
Pfizer Inc. 1.9
(pharmaceuticals)
Citigroup, Inc. 1.7
(banking)
Wal-Mart Stores, Inc. 1.6
(retail)
American International Group, Inc. 1.3
(insurance)
Intel Corp. 1.3
(electronics)
Bank of America Corp. 1.2
(banking)
Johnson & Johnson 1.2
(pharmaceuticals)
Short-Term Reserves 0% --
- ---------------------------------------------------------------
Top Ten 16.9%
- ---------------------------------------------------------------
"Ten Largest Holdings" excludes any temporary cash
investments and equity index products.
- ---------------------------------------
VOLATILITY MEASURES
Target
Fund Index*
- ----------------------------------------
R-Squared 1.00 1.00
Beta 1.00 1.00
- ---------------------------------------
- ---------------------------
INVESTMENT FOCUS
[CHART]
Market Cap Large
Style Blend
- ---------------------------
- ---------------------------------------------------------------
SECTOR DIVERSIFICATIONY
(% of portfolio)
Target
Fund Index*
- ---------------------------------------------------------------
Auto & Transportation 3% 3%
Consumer Discretionary 16 15
Consumer Staples 7 7
Financial Services 23 23
Health Care 13 13
Integrated Oils 3 4
Other Energy 4 3
Materials & Processing 3 4
Producer Durables 4 4
Technology 14 14
Utilities 6 6
Other 4 4
- ---------------------------------------------------------------
*Dow Jones Wilshire 5000 Index
**Annualized.
YSecurity classification based on Wilshire Associates methodology.
5
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
6
- --------------------------------------------------------------------------------
AS OG 06/30/2004 PERFORMANCE SUMMARY
All of the returns in this report represent past
performance, which is not a guarantee of future results that
may be achieved by the fund. (For the performance data
current to the most recent month-end, which may be higher or
lower than that cited, visit our website at
www.vanguard.com.) Note, too, that both investment returns
and principal value can fluctuate widely, so an investor's
shares, when sold, could be worth more or less than their
original cost. The returns shown do not reflect taxes that a
shareholder would pay on fund distributions or on the sale
of fund shares.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND
- --------------------------------------------------------------------------------
FISCAL-YEAR TOTAL RETURNS (%) August 31, 2001-June 30, 2004
[BAR CHART]
[40%---3%]
INSTITUTIONAL TOTAL STOCK DOW JONES
MARKET FUND WILSHIRE 5000
YEAR INSTITUTIONAL SHARES INDEX
2001 2.3% 2.3%
2002 -20.8 -20.9
2003 31.7 31.6
2004* 4.0 3.9
- --------------------------------------------------------------------------------
*Six months ended June 30, 2004.
Note: See Financial Highlights tables on pages 49 and 50 for dividend and
capital gains information.
- -----------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2004
Since Inception
One---------------------------------
Inception Date Year Capital Income Total
- ---------------------------------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND
INSTITUTIONAL SHARES 8/31/2001 21.33% 2.10% 1.67% 3.77%
INSTITUTIONAL PLUS SHARES 5/31/2001 21.31 -1.18 1.52 0.34
- -----------------------------------------------------------------------------------------------------------
7
- --------------------------------------------------------------------------------
ABOUT YOUR FUND'S EXPENSES
- --------------------------------------------------------------------------------
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
fund, you incur ongoing costs, which include costs for portfolio management,
administrative services, and shareholder reports (like this one), among others.
Operating expenses, which are deducted from a fund's gross income, directly
reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. In the six months ended June 30, 2004, the
Institutional Shares of the Institutional Total Stock Market Index Fund had an
annualized expense ratio of 0.06%; the fund's Institutional Plus Shares had an
annualized expense ratio of 0.025%.
The following examples are intended to help you understand the ongoing costs (in
dollars) of investing in your fund and to compare these costs with those of
other mutual funds. The examples are based on an investment of $1,000 made at
the beginning of the period shown and held for the entire period.
The table below illustrates your fund's costs in two ways:
* BASED ON ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with
$1,000 in the fund. You may use the information here, together with the
amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for your fund under the heading "Expenses Paid During Period."
* BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your fund's costs with those of other mutual funds. It assumes that the fund had
a return of 5% before expenses during the period shown, but that the expense
ratio is unchanged. In this case--because the return used is not the fund's
actual return--the results do not apply to your investment. The example is
useful in making comparisons because the Securities and Exchange Commission
requires all mutual funds to calculate expenses based on a 5% return. You can
assess your fund's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other funds.
Six Months Ended June 30, 2004
Beginning Ending Expenses
INSTITUTIONAL TOTAL Account Value Account Value Paid During
STOCK MARKET INDEX FUND 12/31/2003 6/30/2004 Period*
- -------------------------------------------------------------------------------------------------------------------
Based on Actual Fund Return
Institutional Shares $1,000 $1,040 $0.30
Institutional Plus Shares 1,000 1,040 0.13
Based on Hypothetical 5% Return
Institutional Shares $1,000 $1,050 $0.31
Institutional Plus Shares 1,000 1,050 0.13
- -------------------------------------------------------------------------------------------------------------------
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent fiscal half-year, then divided by 366.
8
Note that the expenses shown in the table on page 8 are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs
or account maintenance fees. Your fund does not charge transaction fees, such as
purchase or redemption fees, nor does it carry a "sales load."
The calculations assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
You can find more information about the fund's expenses, including annual
expense ratios for the past five years, in the Financial Statements section of
this report. For additional information on operating expenses and other
shareholder costs, please refer to the appropriate fund prospectus.
9
- --------------------------------------------------------------------------------
06/30/2004 FINANCIAL STATEMENTS (unaudited)
- --------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
This Statement provides a detailed list of the fund's holdings, including each
security's market value on the last day of the reporting period. Securities are
grouped and subtotaled by asset type (common stocks, bonds, etc.) and by
industry sector according to Frank Russell Company. Other assets are added to,
and liabilities are subtracted from, the value of Total Investments to calculate
the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares
of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets, you will find a table displaying the
composition of the fund's net assets. 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)
- ------------------------------------------------------------------------------------------------------------------------
AUTO & Transportation (2.7%)
United Parcel Service, Inc. 83,718 $ 6,293
Ford Motor Co. 134,920 2,111
General Motors Corp. 42,984 2,003
FedEx Corp. 22,858 1,867
Harley-Davidson, Inc. 22,538 1,396
Union Pacific Corp. 19,846 1,180
Southwest Airlines Co. 60,577 1,016
Burlington Northern Santa Fe Corp. 28,491 999
Norfolk Southern Corp. 30,064 797
PACCAR, Inc. 13,386 776
CSX Corp. 16,341 535
Genuine Parts Co. 13,316 528
Delphi Corp. 42,737 456
Expeditors International of Washington, Inc. 8,050 398
Lear Corp. 5,164 305
C.H. Robinson Worldwide, Inc. 6,450 296
J.B. Hunt Transport Services, Inc. 6,112 236
Gentex Corp. 5,800 230
* JetBlue Airways Corp. 7,728 227
Dana Corp. 11,311 222
* Navistar International Corp. 5,275 204
BorgWarner, Inc. 4,090 179
Polaris Industries, Inc. 3,412 164
CNF Inc. 3,819 159
American Axle & Manufacturing Holdings, Inc. 4,106 149
Oshkosh Truck Corp. 2,600 149
* AMR Corp. 12,141 147
* Yellow Roadway Corp. 3,637 145
Thor Industries, Inc. 4,324 145
* TRW Automotive Holdings Corp. 7,600 143
Cooper Tire & Rubber Co. 5,834 134
Overseas Shipholding Group Inc. 3,004 133
Tidewater Inc. 4,318 129
Werner Enterprises, Inc. 6,016 127
* Landstar System, Inc. 2,304 122
* The Goodyear Tire & Rubber Co. 13,093 119
Visteon Corp. 9,909 116
* Swift Transportation Co., Inc. 6,304 113
Florida East CoastIndustries, Inc. Class A 2,868 112
Modine Manufacturing Co. 3,404 108
Alexander & Baldwin, Inc. 3,224 108
Heartland Express, Inc. 3,881 106
ArvinMeritor, Inc. 5,325 104
* Laidlaw International Inc. 7,900 102
* General Maritime Corp. 3,680 101
* EGL, Inc. 3,790 101
Winnebago Industries, Inc. 2,600 97
* AirTran Holdings, Inc. 6,498 92
10
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Sauer-Danfoss, Inc. 5,138 $ 88
* Wabash National Corp. 3,119 86
* Kansas City Southern 5,407 84
OMI Corp. 7,000 83
* Knight Transportation, Inc. 2,880 83
Wabtec Corp. 4,454 80
Arkansas Best Corp. 2,400 79
Bandag, Inc. 1,769 79
Skywest, Inc. 4,516 79
* Pacer International, Inc. 4,200 78
* Offshore Logistics, Inc. 2,748 77
USF Corp. 2,116 74
* Northwest Airlines Corp.Class A 6,676 74
* Delta Air Lines, Inc. 9,818 70
Superior Industries International, Inc. 2,037 68
* Old Dominion Freight Line, Inc. 2,304 68
* Fleetwood Enterprises, Inc. 4,542 66
* ExpressJet Holdings, Inc. 5,400 66
* Alaska Air Group, Inc. 2,745 66
* RailAmerica, Inc. 4,270 62
* Forward Air Corp. 1,664 62
* Aviall Inc. 3,273 62
* Continental Airlines, Inc. Class B 5,119 58
* Tenneco Automotive, Inc. 4,329 57
* TBC Corp. 2,311 55
* Kirby Corp. 1,300 51
Coachmen Industries, Inc. 2,915 47
* AAR Corp. 3,994 45
* Strattec Security Corp. 658 45
Overnite Corp. 1,442 42
Monaco Coach Corp. 1,500 42
Titan International, Inc. 3,911 40
Marine Products Corp. 2,166 40
* Mesa Air Group Inc. 4,847 39
* Aftermarket Technology Corp. 2,319 38
Todd Shipyards Corp. 2,030 36
* SCS Transportation, Inc. 1,283 34
* Gulfmark Offshore, Inc. 1,972 31
* Tower Automotive, Inc. 7,675 29
* Collins & Aikman Corp. 4,968 28
Standard Motor Products, Inc. 1,792 26
* Atlantic Coast Airlines Holdings Inc. 4,572 26
* America West Holdings Corp.Class B 2,845 26
* MAIR Holdings, Inc. 3,039 25
Spartan Motors, Inc. 1,961 24
* Stoneridge, Inc. 1,318 22
* Frontier Airlines, Inc. 2,000 22
* Petroleum Helicopters, Inc. 1,085 21
* Pinnacle Airlines Corp. 1,800 20
* Conrad Industries, Inc. 7,466 18
* Seabulk International, Inc. 2,019 17
* Genesee & Wyoming Inc. Class A 700 17
* Dura Automotive Systems, Inc. 1,752 16
* A.S.V., Inc. 500 16
* International Shipholding Corp. 1,039 15
* Allied Holdings, Inc. 3,465 15
* Keystone Automotive Industries, Inc. 500 14
* Hayes Lemmerz International, Inc. 800 13
Maritrans Inc. 700 11
* Republic Airways Holdings Inc. 600 9
* Miller Industries, Inc. 609 6
* Impco Technologies Inc. 921 6
* The Greenbrier Cos., Inc. 300 6
* Quantum Fuel Systems Technologies Worldwide, Inc. 921 6
* Quality Distribution Inc. 378 4
* Trailer Bridge, Inc. 823 4
* Central Freight Lines, Inc. 205 2
-------
28,277
------
CONSUMER DISCRETIONARY (15.7%)
Wal-Mart Stores, Inc. 325,692 17,184
Home Depot, Inc. 170,861 6,014
* Time Warner, Inc. 333,254 5,859
Viacom Inc. Class B 132,475 4,732
* eBay Inc. 49,866 4,585
The Walt Disney Co. 155,878 3,973
* Yahoo! Inc. 102,998 3,742
Gillette Co. 76,424 3,240
Lowe's Cos., Inc. 59,667 3,136
Target Corp. 69,937 2,970
Kimberly-Clark Corp. 38,403 2,530
McDonald's Corp. 95,916 2,494
Carnival Corp. 48,390 2,274
Liberty Media Corp. 218,220 1,962
Cendant Corp. 77,658 1,901
* DirecTV Group, Inc. 104,870 1,793
Gannett Co., Inc. 20,794 1,764
Clear Channel Communications, Inc. 47,209 1,744
* Amazon.com, Inc. 30,937 1,683
Avon Products, Inc. 36,206 1,671
The Gap, Inc. 68,701 1,666
* InterActiveCorp 52,605 1,586
NIKE, Inc. Class B 20,128 1,525
Costco Wholesale Corp. 35,114 1,442
Waste Management, Inc. 44,193 1,356
* Starbucks Corp. 30,337 1,319
11
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Best Buy Co., Inc. 24,844 $ 1,261
* Electronic Arts Inc. 22,900 1,249
* Apollo Group, Inc. Class A 13,473 1,190
Tribune Co. 25,312 1,153
The McGraw-Hill Cos., Inc. 14,679 1,124
Staples, Inc. 37,953 1,112
Omnicom Group Inc. 14,619 1,109
* Kohl's Corp. 26,068 1,102
International Game Technology 26,576 1,026
TJX Cos., Inc. 38,532 930
* Bed Bath & Beyond, Inc. 22,860 879
Marriott International, Inc. Class A 17,597 878
* Fox Entertainment Group, IncClass A 32,752 874
* Yum! Brands, Inc. 21,964 818
J.C. Penney Co., Inc. (Holding Co.) 21,260 803
* Univision Communications Inc. 24,679 788
Starwood Hotels & Resorts Worldwide, Inc. 15,628 701
Washington Post Co. Class B 732 681
Federated Department Stores, Inc. 13,809 678
Limited Brands, Inc. 35,862 671
E.W. Scripps Co. Class A 6,217 653
* Coach, Inc. 14,310 647
Royal Caribbean Cruises, Ltd. 14,785 642
Cintas Corp. 13,230 631
Sears, Roebuck & Co. 16,467 622
R.R. Donnelley & Sons Co. 18,635 615
May Department Stores Co. 22,050 606
Mattel, Inc. 32,944 601
Eastman Kodak Co. 21,941 592
* EchoStar Communications Corp.Class A 18,604 572
Hilton Hotels Corp. 29,061 542
* MGM Mirage, Inc. 10,943 514
New York Times Co. Class A 11,483 513
* AutoZone Inc. 6,306 505
Dollar General Corp. 25,720 503
Newell Rubbermaid, Inc. 21,108 496
* Kmart Holding Corp. 6,900 495
Harrah's Entertainment, Inc. 8,670 469
Harman International Industries, Inc. 5,086 464
Estee Lauder Cos. Class A 9,388 458
Nordstrom, Inc. 10,463 446
Knight Ridder 6,109 440
* Interpublic Group of Cos., Inc. 31,627 434
* Office Depot, Inc. 23,689 424
CDW Corp. 6,485 413
Tiffany & Co. 11,179 412
VF Corp. 8,307 406
* XM Satellite Radio Holdings, Inc. 14,635 399
Family Dollar Stores, Inc. 13,120 399
Leggett & Platt, Inc. 14,614 390
Robert Half International, Inc. 13,100 390
Jones Apparel Group, Inc. 9,704 383
* Liberty Media International INC-A 10,316 383
* Mohawk Industries, Inc. 5,067 372
* VeriSign, Inc. 18,454 367
Black & Decker Corp. 5,881 365
Whirlpool Corp. 5,303 364
RadioShack Corp. 12,508 358
Mandalay Resort Group 5,211 358
PETsMART, Inc. 10,915 354
Manpower Inc. 6,902 350
* AutoNation, Inc. 20,457 350
Republic Services, Inc. Class A 12,086 350
* Career Education Corp. 7,670 349
Alberto-Culver Co. Class B 6,931 348
* Caesars Entertainment, Inc. 23,070 346
Fastenal Co. 5,802 330
* Weight Watchers International, Inc. 8,153 319
* Iron Mountain, Inc. 6,527 315
* Allied Waste Industries, Inc. 23,788 314
Ross Stores, Inc. 11,572 310
* Chico's FAS, Inc. 6,806 307
* ChoicePoint Inc. 6,657 304
Wendy's International, Inc. 8,676 302
Liz Claiborne, Inc. 8,362 301
* Williams-Sonoma, Inc. 9,044 298
* Pixar, Inc. 4,250 295
Sabre Holdings Corp. 10,632 295
* Sirius Satellite Radio, Inc. 94,779 292
* Lamar Advertising Co. Class A 6,626 287
Abercrombie & Fitch Co. 7,379 286
Michaels Stores, Inc. 5,162 284
The Stanley Works 6,218 283
* Fisher Scientific International Inc. 4,845 280
ServiceMaster Co. 22,534 278
International Flavors & Fragrances, Inc. 7,173 268
Foot Locker, Inc. 10,891 265
Darden Restaurants Inc. 12,598 260
* Toys R Us, Inc. 16,226 258
Polo Ralph Lauren Corp. 7,498 258
* Getty Images, Inc. 4,294 258
Hasbro, Inc. 13,301 253
12
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Brinker International, Inc. 7,303 $ 249
* Advance Auto Parts, Inc. 5,600 247
The McClatchy Co. Class A 3,468 243
* Dollar Tree Stores, Inc. 8,770 242
Belo Corp. Class A 8,844 237
Outback Steakhouse 5,707 236
Station Casinos, Inc. 4,795 232
* Wynn Resorts Ltd. 5,962 230
Aramark Corp. Class B 8,000 230
* Monster Worldwide Inc. 8,830 227
Metro-Goldwyn-Mayer Inc. 18,639 226
Meredith Corp. 3,832 211
GTECH Holdings Corp. 4,540 210
The Neiman Marcus Group, Inc. Class A 3,724 207
Circuit City Stores, Inc. 15,959 207
International Speedway Corp. 4,016 195
* O'Reilly Automotive, Inc. 4,169 188
* Education Management Corp. 5,702 187
* Rent-A-Center, Inc. 6,260 187
* Urban Outfitters, Inc. 3,000 183
* Westwood One, Inc. 7,639 182
Viad Corp. 6,704 181
* Copart, Inc. 6,778 181
* Barnes & Noble, Inc. 5,208 177
* Timberland Co. 2,705 175
Talbots Inc. 4,452 174
* Hewitt Associates, Inc. 6,300 173
* CarMax, Inc. 7,907 173
* Tech Data Corp. 4,332 170
* Corinthian Colleges, Inc. 6,824 169
* Service Corp. International 22,860 168
* Ask Jeeves, Inc. 4,305 168
Lee Enterprises, Inc. 3,497 168
* Convergys Corp. 10,845 167
The Corporate Executive Board Co. 2,886 167
* Columbia Sportswear Co. 3,037 166
* Activision, Inc. 10,362 165
Harte-Hanks, Inc. 6,724 164
* Marvel Enterprises Inc. 8,345 163
* The Cheesecake Factory 4,087 163
Reebok International Ltd. 4,508 162
* American Eagle Outfitters, Inc. 5,429 157
Saks Inc. 10,445 157
Regis Corp. 3,475 155
Claire's Stores, Inc. 7,134 155
John Wiley & Sons Class A 4,745 152
* AnnTaylor Stores Corp. 5,223 151
* Gemstar-TV Guide International, Inc. 31,228 150
* Fossil, Inc. 5,436 148
Snap-On Inc. 4,404 148
* Citadel Broadcasting Corp. 10,100 147
Maytag Corp. 5,992 147
* DeVry, Inc. 5,326 147
Applebee's International, Inc. 6,287 146
* Entercom Communications Corp. 3,869 144
The Brink's Co. 4,151 142
Borders Group, Inc. 6,032 141
* NetFlix.com, Inc. 3,900 140
Ruby Tuesday, Inc. 5,052 139
* West Corp. 5,154 135
Nu Skin Enterprises, Inc. 5,309 134
* BJ's Wholesale Club, Inc. 5,335 133
Dillard's Inc. 5,954 133
The Toro Co. 1,894 133
Choice Hotel International, Inc. 2,644 133
* ITT Educational Services, Inc. 3,486 133
Boyd Gaming Corp. 4,950 132
IKON Office Solutions, Inc. 11,438 131
* Big Lots Inc. 8,928 129
* Laureate Education Inc 3,355 128
* Earthlink, Inc. 12,251 127
Reader's Digest Association, Inc. 7,671 123
* PETCO Animal Supplies, Inc. 3,800 122
SCP Pool Corp. 2,700 122
Blyth, Inc. 3,483 120
Pier 1 Imports Inc. 6,790 120
* Tractor Supply Co. 2,864 120
* Valassis Communications, Inc. 3,930 120
* CNET Networks, Inc. 10,743 119
* Aeropostale, Inc. 4,350 117
CBRL Group, Inc. 3,782 117
* Kroll Inc. 3,160 117
* The Yankee Candle Co., Inc. 3,968 116
* Pacific Sunwear of California, Inc. 5,871 115
* American Greetings Corp. Class A 4,953 115
Strayer Education, Inc. 1,015 113
The Pep Boys (Manny, Moe & Jack) 4,434 112
Hollinger International, Inc. 6,686 112
Furniture Brands International Inc. 4,462 112
* R.H. Donnelley Corp. 2,514 110
Speedway Motorsports, Inc. 3,268 109
Media General, Inc. Class A 1,697 109
* Corrections Corp. of America REIT 2,750 109
* Zale Corp. 3,962 108
Ethan Allen Interiors, Inc. 2,917 105
* Take-Two Interactive Software, Inc. 3,400 104
13
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Aztar Corp. 3,711 $ 104
* Sonic Corp. 4,555 104
* United Stationers, Inc. 2,577 102
* Linens 'n Things, Inc. 3,444 101
Hearst-Argyle Television Inc. 3,888 101
MSC Industrial Direct Co., Inc.Class A 3,043 100
* MPS Group, Inc. 8,234 100
* Quiksilver, Inc. 4,190 100
* Penn National Gaming, Inc. 3,000 100
* Gaylord Entertainment Co. 3,151 99
* Sirva Inc. 4,300 99
* Waste Connections, Inc. 3,324 99
Grey Global Group Inc. 100 99
* United Natural Foods, Inc. 3,400 98
* Charming Shoppes, Inc. 11,006 98
United Auto Group, Inc. 3,200 98
* Radio One, Inc. Class D 5,830 93
Journal Communications, Inc. 4,900 92
* Tuesday Morning Corp. 3,180 92
* Scientific Games Corp. 4,796 92
* InfoSpace, Inc. 2,389 92
* Charter Communications, Inc. 23,084 90
Tupperware Corp. 4,586 89
* Insight Enterprises, Inc. 4,991 89
* Emmis Communications, Inc. 4,216 88
Matthews International Corp. 2,682 88
* Navigant Consulting, Inc. 4,120 88
* Krispy Kreme Doughnuts, Inc. 4,602 88
* Helen of Troy Ltd. 2,372 87
* Scholastic Corp. 2,918 87
Kellwood Co. 2,000 87
* ValueClick, Inc. 7,237 87
Banta Corp. 1,948 87
* THQ Inc. 3,764 86
* CEC Entertainment Inc. 2,916 86
ABM Industries Inc. 4,406 86
* Jack in the Box Inc. 2,870 85
* The Warnaco Group, Inc. 4,000 85
* United Online, Inc. 4,830 85
* MAXIMUS, Inc. 2,398 85
* Arbitron Inc. 2,315 85
* DoubleClick Inc. 10,745 83
* 99 Cents Only Stores 5,470 83
* CKE Restaurants Inc. 6,189 82
* Korn/Ferry International 4,253 82
* Argosy Gaming Co. 2,179 82
* Stewart Enterprises, Inc. Class A 10,041 82
* Priceline.com, Inc. 3,023 81
* Men's Wearhouse, Inc. 3,079 81
* Shuffle Master, Inc. 2,226 81
Kelly Services, Inc. Class A 2,703 81
* Guitar Center, Inc. 1,800 80
* Stein Mart, Inc. 4,922 80
Rollins, Inc. 3,468 80
* Select Comfort Corp. 2,800 80
* Catalina Marketing Corp. 4,317 79
* Wesco International, Inc. 4,291 79
* Panera Bread Co. 2,200 79
* Payless ShoeSource, Inc. 5,268 79
* P.F. Chang's China Bistro, Inc. 1,900 78
* Hot Topic, Inc. 3,766 77
* Boca Resorts, Inc. Class A 3,883 77
Wolverine World Wide, Inc. 2,919 77
Landry's Restaurants, Inc. 2,563 77
IHOP Corp. 2,141 77
* Labor Ready, Inc. 4,896 76
* Rare Hospitality International Inc. 3,030 75
Liberty Corp. 1,601 75
ADVO, Inc. 2,270 75
* NetRatings, Inc. 4,580 75
Kenneth Cole Productions, Inc. 2,172 74
Bob Evans Farms, Inc. 2,717 74
* Journal Register Co. 3,704 74
* Stage Stores, Inc. 1,965 74
La-Z-Boy Inc. 4,115 74
Ameristar Casinos, Inc. 2,200 74
G & K Services, Inc. Class A 1,833 74
* WMS Industries, Inc. 2,455 73
Burlington Coat Factory Warehouse Corp. 3,763 73
* The Sports Authority, Inc. 2,021 73
Regal Entertainment Group Class A 4,000 72
* Tempur-Pedic International Inc. 5,125 72
* The Children's Place Retail Stores, Inc. 3,043 72
* Teletech Holdings Inc. 8,151 71
Renaissance Learning, Inc. 3,186 71
Sonic Automotive, Inc. 3,213 71
* Universal Technical Institute Inc. 1,772 71
* Resources Connection, Inc. 1,800 70
* A.C. Moore Arts & Crafts, Inc. 2,514 69
* Cross Country Healthcare, Inc. 3,800 69
* Ryan's Restaurant Group, Inc. 4,362 69
* Group 1 Automotive, Inc. 2,062 68
Fred's, Inc. 3,100 68
* Cumulus Media Inc. 3,999 67
Callaway Golf Co. 5,926 67
* Consolidated Graphics, Inc. 1,521 67
* bebe stores, inc. 3,342 67
* ProQuest Co. 2,451 67
14
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Oakley, Inc. 5,157 $ 67
Aaron Rents, Inc. Class B 2,000 66
* Tetra Tech, Inc. 4,050 66
* The Dress Barn, Inc. 3,854 66
* Electronics Boutique Holdings Corp. 2,500 66
CDI Corp. 1,894 66
* Alliance Gaming Corp. 3,788 65
* J. Jill Group, Inc. 2,748 65
* Jarden Corp. 1,800 65
* CoStar Group, Inc. 1,400 65
World Fuel Services Corp. 1,411 64
* CSK Auto Corp. 3,706 64
* Midway Games Inc. 5,509 63
* Hollywood Entertainment Corp. 4,724 63
Startek, Inc. 1,746 63
Handleman Co. 2,692 62
* Global Imaging Systems, Inc. 1,700 62
* Dollar Thrifty Automotive Group, Inc. 2,267 62
* PRIMEDIA Inc. 22,261 62
Central Parking Corp. 3,284 62
* CMGI Inc. 31,155 61
* Bright Horizons Family Solutions, Inc. 1,133 61
* Dick's Sporting Goods, Inc. 1,800 60
Cato Corp. Class A 2,672 60
* Coldwater Creek Inc. 2,235 59
The Nautilus Group, Inc. 3,000 59
K-Swiss, Inc. 2,888 58
* Six Flags, Inc. 7,923 58
* Spherion Corp. 5,660 57
* Vail Resorts Inc. 2,972 57
* Cox Radio, Inc. 3,272 57
* Crown Media Holdings, Inc. 6,671 57
* Guess?, Inc. 3,499 56
* Multimedia Games Inc. 2,100 56
Gevity HR, Inc. 2,138 56
* Cost Plus, Inc. 1,700 55
* Wireless Facilities, Inc. 5,579 55
* infoUSA Inc. 5,316 54
Movado Group, Inc. 3,124 54
* Central Garden and Pet Co. 1,500 54
* Playtex Products, Inc. 6,835 53
* Hibbett Sporting Goods, Inc. 1,950 53
Christopher & Banks Corp. 3,000 53
* Steak n Shake Co. 2,900 53
* FTI Consulting, Inc. 3,200 53
Movie Gallery, Inc. 2,700 53
* Ventiv Health, Inc. 3,362 52
* K2 Inc. 3,291 52
* Administaff, Inc. 3,104 52
The Buckle, Inc. 1,819 51
* PDI, Inc. 1,691 51
* Prime Hospitality Corp. 4,794 51
Watson Wyatt & Co. Holdings 1,900 51
* aQuantive, Inc. 5,110 51
* Too Inc. 3,006 50
* Papa John's International, Inc. 1,697 50
Lone Star Steakhouse & Saloon, Inc. 1,837 50
* The Advisory Board Co. 1,400 50
* ShopKo Stores, Inc. 3,520 50
* USANA Health Sciences, Inc. 1,600 50
* Spanish Broadcasting System, Inc. 5,339 50
* SOURCECORP, Inc. 1,805 50
Oxford Industries, Inc. 1,140 50
Blockbuster Inc. Class A 3,257 49
* Exult Inc. 9,154 49
* The Gymboree Corp. 3,192 49
Gray Television, Inc. 3,500 49
The Marcus Corp. 2,816 49
Bowne & Co., Inc. 3,062 49
* Finish Line, Inc. 1,600 48
* Entravision Communications Corp. 6,283 48
Phillips-Van Heusen Corp. 2,489 48
* Trans World Entertainment Corp. 4,768 48
Russell Corp. 2,654 48
* Pinnacle Entertainment, Inc. 3,777 48
* Big 5 Sporting Goods Corp. 1,800 47
Churchill Downs, Inc. 1,151 47
* Lin TV Corp. 2,200 47
* GameStop Corp. 3,000 46
* Amerco, Inc. 1,922 46
* Clark, Inc. 2,460 46
* Cole National Corp. Class A 1,950 46
* ValueVision Media, Inc. 3,477 45
* Volt Information Sciences Inc. 1,436 45
* Forrester Research, Inc. 2,390 45
Libbey, Inc. 1,604 45
* MemberWorks, Inc. 1,494 44
* Coinstar, Inc. 2,013 44
* JAKKS Pacific, Inc. 2,124 44
* Charles River Associates Inc. 1,424 44
* Carter's, Inc. 1,500 44
The Topps Co., Inc. 4,456 43
* Insight Communications Co., Inc. 4,648 43
Advanced Marketing Services 3,322 43
* Jo-Ann Stores, Inc. 1,450 43
* AMN Healthcare Services, Inc. 2,781 43
* Lakes Entertainment, Inc. 3,662 42
15
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Leapfrog Enterprises, Inc. 2,100 $ 42
Chemed Corp. 857 42
* Lifeline Systems, Inc. 1,734 41
* School Specialty, Inc. 1,122 41
* Salem Communications Corp. 1,500 41
Triarc Cos., Inc. Class B 3,988 41
* Skechers U.S.A., Inc. 3,108 41
* NIC Inc. 5,631 40
* Playboy Enterprises, Inc. Class B 3,463 40
National Presto Industries, Inc. 974 40
* Isle of Capri Casinos, Inc. 2,300 40
Pulitzer, Inc. 816 40
* Dave & Busters, Inc. 2,097 39
* Pre-Paid Legal Services, Inc. 1,650 39
* Century Business Services, Inc. 8,949 39
Sinclair Broadcast Group, Inc. 3,767 39
Hancock Fabrics, Inc. 3,023 39
* AMC Entertainment, Inc. 2,500 38
* Red Robin Gourmet Burgers 1,400 38
The Stride Rite Corp. 3,457 38
Blair Corp. 1,319 38
Brown Shoe Co., Inc. 929 38
Stanley Furniture Co., Inc. 900 38
* TiVo Inc. 5,343 38
Thomas Nelson, Inc. 1,661 38
* 1-800-FLOWERS.COM, Inc. 4,632 38
* Sharper Image Corp. 1,200 38
* Water Pik Technologies, Inc. 2,229 37
* Pegasus Solutions Inc. 2,764 36
* S&K Famous Brands Inc. 2,167 36
* Benihana Inc. Class A 2,406 36
* Jos. A. Bank Clothiers, Inc. 1,140 36
Dover Downs Gaming & Entertainment, Inc. 3,167 36
* Casella Waste Systems, Inc. 2,692 35
* Shoe Carnival, Inc. 2,340 35
* Insurance Auto Auctions, Inc. 2,048 35
Action Performance Cos., Inc. 2,309 35
* Regent Communications, Inc. 5,607 35
* Perry Ellis International Corp. 1,372 35
* iVillage Inc. 5,432 34
* Applica Inc. 3,844 34
* California Pizza Kitchen, Inc. 1,779 34
* Friendly Ice Cream Corp. 2,582 34
* Radio One, Inc. 2,100 34
* The Boyds Collection, Ltd. 10,116 34
Bassett Furniture Industries, Inc. 1,535 33
* GSI Commerce, Inc. 3,468 33
* Galyan's Trading Co. 2,000 33
* Learning Tree International, Inc. 2,288 33
L.S. Starrett Co. Class A 2,036 33
Angelica Corp. 1,287 32
* RC2 Corp. 903 32
* Overstock.com, Inc. 800 31
* Kforce Inc. 3,231 31
* Revlon, Inc. Class A 10,328 31
World Wrestling Entertainment, Inc. 2,365 30
* FindWhat.com 1,300 30
* Hartmarx Corp. 4,764 30
* Steven Madden, Ltd. 1,500 30
* MTR Gaming Group Inc. 2,686 29
* Central European Distribution Corp. 1,125 29
* Nashua Corp. 2,999 29
* Universal Electronics, Inc. 1,648 29
* 4Kids Entertainment Inc. 1,200 29
* iPass Inc. 2,700 29
Superior Uniform Group, Inc. 1,793 28
* Innotrac Corp. 3,214 28
* Heidrick & Struggles International, Inc. 954 28
* Retail Ventures, Inc. 3,569 28
* O'Charley's Inc. 1,600 28
* PC Connection, Inc. 4,148 27
* Drugstore.com, Inc. 7,678 27
* SITEL Corp. 6,305 27
* Chicago Pizza & Brewery, Inc. 1,700 26
CPI Corp. 1,745 26
* Navigant International, Inc. 1,440 26
* Saga Communications, Inc. 1,400 26
* Asbury Automotive Group, Inc. 1,700 26
* PLATO Learning, Inc. 2,572 25
Courier Corp. 600 25
* Navarre Corp. 1,714 25
* FreeMarkets, Inc. 3,766 25
* Neoforma, Inc. 1,998 24
* America's Car-Mart, Inc. 800 24
American Woodmark Corp. 400 24
Dover Motorsports, Inc. 5,954 24
* Young Broadcasting Inc. 1,770 23
* Hudson Highland Group, Inc. 759 23
* The Wet Seal, Inc. Class A 4,443 23
* Spherix Inc. 4,519 23
Traffix, Inc. 3,467 23
* First Consulting Group, Inc. 4,092 23
* MarketWatch.com, Inc. 1,915 22
* Enesco Group, Inc. 2,497 22
* Brightpoint, Inc. 1,620 22
* Syms Corp. 2,395 22
* Harris Interactive Inc. 3,300 22
* Autobytel Inc. 2,441 22
16
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Department 56 Inc. 1,426 $ 22
* Information Holdings Inc. 800 22
* Casual Male Retail Group, Inc. 2,977 22
* Martha Stewart Living Omnimedia, Inc. 2,387 21
* West Marine, Inc. 800 21
Cadmus Communications 1,449 21
UniFirst Corp. 726 21
* Elizabeth Arden, Inc. 1,000 21
* 1-800 CONTACTS, Inc. 1,400 21
* Midas Inc. 1,185 21
Triarc Cos., Inc. Class A 1,994 21
* Kirkland's, Inc. 1,700 20
* LodgeNet Entertainment Corp. 1,200 20
* DiamondCluster International, Inc. 2,278 20
* Alloy, Inc. 3,200 20
* Orbitz, Inc. 900 19
* Genesco, Inc. 800 19
* Atari, Inc. 7,811 19
Ambassadors Group, Inc. 800 19
* EZCORP, Inc. 1,891 19
Stamps.com Inc. 1,779 18
* On Assignment, Inc. 3,055 18
Russ Berrie and Co., Inc. 900 17
* Luby's, Inc. 2,513 17
Fedders Corp. 3,786 16
* The Princeton Review, Inc. 2,100 16
* Carmike Cinemas, Inc. 400 16
Goody's Family Clothing 1,495 16
* Bally Total Fitness Holding Corp. 3,038 15
* Fisher Communications, Inc. 300 15
Lithia Motors, Inc. 600 15
Allen Organ Co. 283 15
* Beasley Broadcast Group, Inc. 980 15
* Lazare Kaplan International, Inc. 1,707 14
* MarineMax, Inc. 500 14
Strategic Distribution, Inc. 1,081 14
CSS Industries, Inc. 400 14
* Geo Group Inc. 677 14
* Nexstar Broadcasting Group, Inc. 1,252 14
* Carriage Services, Inc. 2,708 14
* SM&A Corp. 1,556 13
* Wyndham International, Inc. Class A 13,380 13
* Cellstar Corp. 1,817 13
* The Pantry, Inc. 600 13
* Digital Theater Systems Inc. 500 13
* Cenveo Inc. 4,425 13
* Pegasus Communications Corp. 528 13
* Charlotte Russe Holding Inc. 600 13
* Gartner, Inc. Class B 979 13
* Checkers Drive-In Restaurants, Inc. 1,088 13
Inter Parfums, Inc. 600 13
* Correctional Services Corp. 3,725 12
* Greg Manning Auctions, Inc. 800 12
* Cornell Companies, Inc. 900 12
* Brookstone, Inc. 600 12
* Clean Harbors Inc. 1,200 11
* Blue Nile Inc. 300 11
* ParkerVision, Inc. 1,902 11
* Raindance Communications, Inc. 5,187 11
Haverty Furniture Cos., Inc. 600 10
* Franklin Electronic Publishers, Inc. 2,242 10
* Worldwide RestaurantConcepts Inc. 2,964 10
* LookSmart, Ltd. 4,764 10
* Internap Network Services Corp. 8,392 10
Haggar Corp. 500 10
* Gadzooks, Inc. 3,843 10
* Monarch Casino & Resort, Inc. 700 10
* Digital Generation Systems 6,395 9
* Conn's, Inc. 595 9
* QRS Corp. 1,390 9
* Paxson Communications Corp. 2,800 9
* Total Entertainment Restaurant Corp. 667 9
* Medical Staffing Network Holdings, Inc. 1,400 9
* Daily Journal Corp. 260 9
* LKQ Corp. 473 9
* Alderwoods Group, Inc. 709 9
* Buca, Inc. 1,600 9
* WCA Waste Corp. 1,000 9
* Big Dog Holdings, Inc. 1,650 8
Stephan Co. 1,743 8
* Mothers Work, Inc. 400 8
* Management Network Group Inc. 3,210 8
* Interstate Hotels & Resorts, Inc. 1,462 8
* Candie's, Inc. 2,808 8
* Emerson Radio Corp. 2,400 8
* Champps Entertainment Inc. 900 7
* Perficient, Inc. 1,810 7
Flexsteel Industry 300 7
* Maxwell Shoe Co. Inc. 300 7
* PriceSmart, Inc. 1,105 7
* Oneida Ltd. 4,222 7
* Edgewater Technology, Inc. 1,077 7
* Digital Impact, Inc. 3,471 7
* SPEEDUS Corp. 2,777 7
* LECG Corp. 334 6
17
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Metro One Telecommunications, Inc. 3,900 $ 6
* Systemax Inc. 848 6
* Empire Resorts Inc. 400 6
* Concord Camera Corp. 1,700 6
* Acme Communications, Inc. 800 6
* Century Casinos, Inc. 1,000 5
* Cabela's Inc. 200 5
* Brillian Corp. 666 5
* Medialink Worldwide, Inc. 1,489 5
* eMerge Interactive, Inc. 2,734 5
* COMFORCE Corp. 2,081 5
* Gander Mountain Co. 200 5
* Tweeter Home Entertainment Group, Inc. 800 4
* Synagro Technologies Inc. 1,506 4
* Trump Hotels & Casino Resorts, Inc. 1,687 4
* ICT Group, Inc. 375 3
* Acclaim Entertainment Inc. 9,860 3
* APAC Teleservices, Inc. 1,928 3
Lawson Products, Inc. 84 3
ILX Resorts Inc. 329 3
* Pfsweb Inc. 1,689 3
* SciQuest, Inc. 446 3
* Protection One, Inc. 9,439 3
* Exponent, Inc. 100 3
* Commerce One, Inc. 2,823 3
* Register.com, Inc. 397 2
* Mayor's Jeweler's, Inc. 2,977 2
Waste Industries USA, Inc. 200 2
* 24/7 Real Media, Inc. 380 2
* Rainmaker Systems, Inc. 992 2
Craftmade International, Inc. 100 2
The First Years Inc. 100 2
* Gallery of History, Inc. 466 2
* Fresh Choice, Inc. 1,092 2
* A.T. Cross Co. Class A 300 1
* SportsLine.com, Inc. 1,287 1
* Verticalnet, Inc. 850 1
Star Buffet, Inc. 186 1
* Onvia.com, Inc. 174 1
* Bush Industries, Inc. 3,784 1
* Hanover Direct, Inc. 6,816 1
* Liquid Audio, Inc. 2,723 1
* Marchex, Inc. 60 1
* National Technical Systems, Inc. 107 1
* Geerlings & Wade Inc. 764 --
* VCampus Corp. 142 --
* Major Automotive Cos., Inc. 435 --
* Visual Data Corp. 139 --
* EasyLink Services Corp. 148 --
* Headway Corporate Resources, Inc. 3,808 --
-------
164,593
-------
CONSUMER STAPLES (6.6%)
The Procter & Gamble Co. 196,322 10,688
The Coca-Cola Co. 185,001 9,339
Altria Group, Inc. 155,696 7,793
PepsiCo, Inc. 130,348 7,023
Anheuser-Busch Cos., Inc. 61,389 3,315
Walgreen Co. 77,785 2,817
Colgate-Palmolive Co. 40,592 2,373
Sysco Corp. 48,496 1,740
Sara Lee Corp. 60,654 1,394
General Mills, Inc. 28,685 1,363
Kellogg Co. 31,407 1,314
CVS Corp. 30,235 1,270
Wm. Wrigley Jr. Co. 17,265 1,089
ConAgra Foods, Inc. 40,072 1,085
H.J. Heinz Co. 26,973 1,057
Coca-Cola Enterprises, Inc. 35,891 1,040
* The Kroger Co. 57,082 1,039
Hershey Foods Corp. 19,848 918
The Clorox Co. 16,115 867
* Safeway, Inc. 33,939 860
Campbell Soup Co. 31,538 848
Albertson's, Inc. 28,127 746
Kraft Foods Inc. 21,455 680
The Pepsi Bottling Group, Inc. 20,086 613
Tyson Foods, Inc. 26,975 565
UST, Inc. 12,676 456
Brown-Forman Corp. Class B 9,306 449
Whole Foods Market, Inc. 4,680 447
* Dean Foods Co. 11,923 445
R.J. Reynolds Tobacco Holdings, Inc. 6,448 436
McCormick & Co., Inc. 10,550 359
Hormel Foods Corp. 10,614 330
SuperValu Inc. 10,262 314
* Constellation Brands, Inc.Class A 8,148 303
* Smithfield Foods, Inc. 8,436 248
PepsiAmericas, Inc. 11,008 234
* Rite Aid Corp. 39,557 206
J.M. Smucker Co. 4,396 202
Adolph Coors Co. Class B 2,674 193
* Del Monte Foods Co. 15,829 161
* 7-Eleven, Inc. 8,685 155
* NBTY, Inc. 5,236 154
Church & Dwight, Inc. 3,209 147
Pilgrim's Pride Corp. 5,058 146
18
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Tootsie Roll Industries, Inc. 3,867 $ 126
Fresh Del Monte Produce Inc. 4,343 110
Ruddick Corp. 4,415 99
Universal Corp. (VA) 1,901 97
* Performance Food Group Co. 3,487 93
Flowers Foods, Inc. 3,526 92
Sanderson Farms, Inc. 1,650 88
Casey's General Stores, Inc. 4,478 82
Longs Drug Stores, Inc. 3,382 81
Winn-Dixie Stores, Inc. 11,051 80
Sensient Technologies Corp. 3,612 78
* Ralcorp Holdings, Inc. 2,162 76
Weis Markets, Inc. 2,072 73
* Hain Celestial Group, Inc. 3,924 71
Schweitzer-Mauduit International, Inc. 2,085 64
Vector Group Ltd. 3,872 61
* Chiquita Brands International, Inc. 2,816 59
Lance, Inc. 3,549 55
Riviana Foods, Inc. 1,997 52
Standard Commercial Tobacco Co. 2,540 46
* Duane Reade Inc. 2,800 46
American Italian Pasta Co. 1,451 44
Interstate Bakeries Corp. 3,974 43
* The Great Atlantic & Pacific Tea Co., Inc. 5,133 39
* Pathmark Stores, Inc. 4,660 36
* Chalone Wine Group Ltd. 2,901 31
Coca-Cola Bottling Co. 522 30
* M&F Worldwide Corp. 2,122 29
* Todhunter International, Inc. 1,975 28
Nash-Finch Co. 1,099 28
Farmer Brothers, Inc. 980 26
Dimon Inc. 4,458 26
Seaboard Corp. 50 25
* Boston Beer Co., Inc. Class A 886 18
* Provide Commerce Inc. 800 16
* Wild Oats Markets Inc. 900 13
* J & J Snack Foods Corp. 300 12
* Robert Mondavi Corp. Class A 300 11
* Omega Protein Corp. 1,100 11
* Lifeway Foods, Inc. 654 10
* Smart & Final Inc. 800 10
* Green Mountain Coffee Roasters, Inc. 500 9
* Nutraceutical International Corp. 300 6
* John B. Sanfilippo & Son, Inc. 200 5
Rocky Mountain Chocolate Factory, Inc. 251 3
* Nutrition 21 Inc. 4,377 3
* Redhook Ale Brewery, Inc. 825 2
------
69,364
------
FINANCIAL SERVICES (21.9%)
Citigroup, Inc. 392,776 18,264
American International Group, Inc. 198,101 14,121
Bank of America Corp. 154,801 13,099
Wells Fargo & Co. 128,175 7,335
J.P. Morgan Chase & Co. 158,167 6,132
Fannie Mae 73,521 5,246
American Express Co. 97,063 4,987
Wachovia Corp. 99,871 4,444
Morgan Stanley 83,402 4,401
Bank One Corp. 85,705 4,371
U.S. Bancorp 144,693 3,988
Merrill Lynch & Co., Inc. 72,704 3,925
The Goldman Sachs Group, Inc. 36,845 3,469
Freddie Mac 52,240 3,307
First Data Corp. 66,605 2,965
Washington Mutual, Inc. 66,181 2,557
MBNA Corp. 97,040 2,503
Allstate Corp. 53,336 2,483
Fifth Third Bancorp 42,682 2,295
St. Paul Travelers Cos., Inc. 50,812 2,060
Metropolitan Life Insurance Co. 57,359 2,056
Automatic Data Processing, Inc. 45,234 1,894
Prudential Financial, Inc. 40,123 1,865
Marsh & McLennan Cos., Inc. 39,795 1,806
The Bank of New York Co., Inc. 59,468 1,753
National City Corp. 47,475 1,662
Lehman Brothers Holdings, Inc. 21,254 1,599
AFLAC Inc. 39,059 1,594
BB&T Corp. 41,863 1,548
The Hartford Financial Services Group Inc. 22,351 1,536
Countrywide Financial Corp. 21,183 1,488
Progressive Corp. of Ohio 16,656 1,421
SunTrust Banks, Inc. 21,557 1,401
SLM Corp. 33,508 1,355
Capital One Financial Corp. 18,344 1,254
State Street Corp. 25,565 1,254
Golden West Financial Corp. 11,687 1,243
PNC Financial Services Group 21,333 1,132
Charles Schwab Corp. 104,077 1,000
The Chubb Corp. 14,461 986
SouthTrust Corp. 25,259 981
Paychex, Inc. 28,903 979
Mellon Financial Corp. 32,995 968
Franklin Resources Corp. 19,120 958
KeyCorp 31,871 953
19
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
The Principal Financial Group, Inc. 24,700 $ 859
Loews Corp. 14,227 853
Equity Office Properties Trust REIT 30,705 835
* Genworth Financial Inc. 35,880 823
Simon Property Group, Inc. REIT 15,960 821
M & T Bank Corp. 9,210 804
Charter One Financial, Inc. 17,004 751
CIGNA Corp. 10,785 742
Moody's Corp. 11,427 739
Comerica, Inc. 13,404 736
Northern Trust Corp. 16,866 713
AmSouth Bancorp 26,855 684
Aon Corp. 24,013 684
Marshall & Ilsley Corp. 17,376 679
Bear Stearns Co., Inc. 7,901 666
Lincoln National Corp. 13,652 645
H & R Block, Inc. 13,246 632
MBIA, Inc. 11,054 631
UnionBanCal Corp. 11,193 631
CIT Group Inc. 16,372 627
Equity Residential REIT 21,080 627
Regions Financial Corp. 17,036 623
Ambac Financial Group, Inc. 8,189 601
Synovus Financial Corp. 23,161 586
* CNA Financial Corp. 19,533 578
* Fiserv, Inc. 14,855 578
MGIC Investment Corp. 7,513 570
* SunGard Data Systems, Inc. 21,892 569
Jefferson-Pilot Corp. 10,839 551
Vornado Realty Trust REIT 9,356 534
Cincinnati Financial Corp. 12,189 530
Sovereign Bancorp, Inc. 23,436 518
National Commerce Financial Corp. 15,714 511
North Fork Bancorp, Inc. 13,036 496
Fidelity National Financial, Inc. 13,157 491
T. Rowe Price Group Inc. 9,655 487
General Growth Properties Inc. REIT 16,437 486
Hudson City Bancorp, Inc. 14,482 484
SAFECO Corp. 10,747 473
Torchmark Corp. 8,679 467
Legg Mason Inc. 5,018 457
Plum Creek Timber Co. Inc. REIT 13,972 455
ProLogis REIT 13,736 452
Public Storage, Inc. REIT 9,731 448
First Horizon National Corp. 9,616 437
Popular, Inc. 10,140 434
Union Planters Corp. 14,379 429
Archstone-Smith Trust REIT 14,559 427
Banknorth Group, Inc. 13,110 426
Zions Bancorp 6,875 422
Boston Properties, Inc. REIT 8,102 406
New York Community Bancorp, Inc. 20,609 405
Green Point Financial Corp. 10,176 404
Compass Bancshares Inc. 9,332 401
Huntington Bancshares Inc. 17,441 399
Kimco Realty Corp. REIT 8,469 385
Rouse Co. REIT 7,892 375
* Ameritrade Holding Corp. 32,339 367
The Chicago Mercantile Exchange 2,500 361
UnumProvident Corp. 22,541 358
White Mountains Insurance Group Inc. 678 346
Radian Group, Inc. 7,208 345
Duke Realty Corp. REIT 10,808 344
Commerce Bancorp, Inc. 6,034 332
Total System Services, Inc. 15,147 332
iStar Financial Inc. REIT 8,230 329
Old Republic International Corp. 13,797 327
Transatlantic Holdings, Inc. 4,026 326
* Providian Financial Corp. 22,109 324
The PMI Group Inc. 7,362 320
TCF Financial Corp. 5,389 313
Avalonbay Communities, Inc.REIT 5,517 312
* E*TRADE Financial Corp. 27,916 311
* DST Systems, Inc. 6,444 310
* Host Marriott Corp. REIT 24,738 306
Janus Capital Group Inc. 18,337 302
* The Dun & Bradstreet Corp. 5,584 301
Hibernia Corp. Class A 11,783 286
Doral Financial Corp. 8,213 283
Mercantile Bankshares Corp. 6,051 283
Dow Jones & Co., Inc. 6,233 281
Developers Diversified Realty Corp. REIT 7,907 280
W.R. Berkley Corp. 6,406 275
Assurant, Inc. 10,300 272
Leucadia National Corp. 5,323 265
Equifax, Inc. 10,623 263
* Alliance Data Systems Corp. 6,200 262
Liberty Property Trust REIT 6,384 257
Federated Investors, Inc. 8,255 250
Associated Banc-Corp. 8,347 247
City National Corp. 3,678 242
Health Care Properties Investors REIT 10,038 241
Commerce Bancshares, Inc. 5,178 238
20
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* AmeriCredit Corp. 12,174 $ 238
Allied Capital Corp. 9,710 237
SEI Corp. 8,033 233
Brown & Brown, Inc. 5,388 232
Independence Community Bank Corp. 6,277 228
Apartment Investment & Management Co. Class A REIT 7,312 228
Erie Indemnity Co. Class A 4,854 227
* CapitalSource Inc. 9,000 220
* Conseco, Inc. 11,050 220
Astoria Financial Corp. 6,008 220
Unitrin, Inc. 5,128 218
Investors Financial Services Corp. 4,994 218
Chelsea Property Group REIT 3,334 217
People's Bank 6,973 217
AMB Property Corp. REIT 6,257 217
Hospitality Properties Trust REIT 5,059 214
Student Loan Corp. 1,554 212
* WellChoice Inc. 5,100 211
Friedman, Billings, Ramsey Group, Inc. REIT 10,651 211
A.G. Edwards & Sons, Inc. 6,194 211
The Macerich Co. REIT 4,386 210
Protective Life Corp. 5,402 209
Arthur J. Gallagher & Co. 6,823 208
Mercury General Corp. 4,159 206
* Markel Corp. 742 206
* CheckFree Corp. 6,815 204
Weingarten Realty Investors REIT 6,521 204
Ryder System, Inc. 5,023 201
Eaton Vance Corp. 5,161 197
Fulton Financial Corp. 9,751 196
Regency Centers Corp. REIT 4,576 196
Webster Financial Corp. 4,167 196
Catellus Development Corp. REIT 7,893 195
American National Insurance Co. 2,105 194
United Dominion Realty Trust REIT 9,811 194
Reinsurance Group of America, Inc. 4,748 193
Mack-Cali Realty Corp. REIT 4,636 192
Valley National Bancorp 7,507 190
Bank of Hawaii Corp. 4,177 189
Certegy, Inc. 4,864 189
* The First Marblehead Corp. 4,675 188
Nuveen Investments, Inc. Class A 7,016 188
Wilmington Trust Corp. 5,024 187
Trizec Properties, Inc. REIT 11,500 187
Westcorp, Inc. 4,094 186
Mills Corp. REIT 3,921 183
Fair, Isaac, Inc. 5,400 180
Cullen/Frost Bankers, Inc. 3,948 178
Colonial BancGroup, Inc. 9,677 176
Sky Financial Group, Inc. 7,073 175
First American Corp. 6,743 175
* BOK Financial Corp. 4,444 175
New Plan Excel Realty Trust REIT 7,391 173
American Financial Group, Inc. 5,561 170
FirstMerit Corp. 6,396 169
Deluxe Corp. 3,861 168
Rayonier Inc. REIT 3,775 168
Capitol Federal Financial 5,606 168
Thornburg Mortgage, Inc. REIT 6,072 164
* Alleghany Corp. 568 163
HCC Insurance Holdings, Inc. 4,847 162
Nationwide Financial Services, Inc. 4,244 160
Pan Pacific RetailProperties, Inc. REIT 3,129 158
Federal Realty Investment Trust REIT 3,720 155
International Bancshares Corp. 3,805 154
WFS Financial, Inc. 3,101 154
StanCorp Financial Group, Inc. 2,243 150
Annaly Mortgage Management Inc. REIT 8,845 150
Raymond James Financial, Inc. 5,635 149
Provident Financial Group, Inc. 3,728 147
Ventas, Inc. REIT 6,237 146
Washington Federal Inc. 5,992 144
Arden Realty Group, Inc. REIT 4,877 143
SL Green Realty Corp. REIT 3,033 142
American Capital Strategies, Ltd. 5,022 141
Reckson Associates Realty Corp. REIT 5,096 140
Camden Property Trust REIT 3,045 139
W Holding Co., Inc. 8,118 139
Whitney Holdings Corp. 3,108 139
Waddell & Reed Financial, Inc. 6,235 138
IndyMac Bancorp, Inc. REIT 4,333 137
CenterPoint Properties Corp. REIT 1,784 137
* Allmerica Financial Corp. 4,007 135
Jack Henry & Associates Inc. 6,717 135
BRE Properties Inc. Class A REIT 3,876 135
Westamerica Bancorporation 2,564 134
UCBH Holdings, Inc. 3,400 134
BancorpSouth, Inc. 5,957 134
21
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Jefferies Group, Inc. 4,296 $ 133
HRPT Properties Trust REIT 13,099 131
The South Financial Group, Inc. 4,616 131
* BISYS Group, Inc. 9,258 130
First Midwest Bancorp, Inc. 3,686 130
Shurgard Storage Centers, Inc. Class A REIT 3,452 129
Health Care Inc. REIT 3,958 129
Old National Bancorp 5,165 128
Trustmark Corp. 4,418 128
Hudson United Bancorp 3,423 128
Global Payments Inc. 2,823 127
CBL & Associates Properties, Inc. REIT 2,303 127
New Century Financial Corp. 2,700 126
Realty Income Corp. REIT 3,026 126
First BanCorp Puerto Rico 3,083 126
Cathay General Bancorp 1,882 126
AmerUs Group Co. 3,011 125
Park National Corp. 971 124
Healthcare Realty Trust Inc. REIT 3,271 123
* Interactive Data Corp. 7,006 122
CarrAmerica Realty Corp. REIT 4,034 122
Crescent Real Estate, Inc. REIT 7,500 121
Commerce Group, Inc. 2,439 120
* The MONY Group Inc. 3,847 120
Cousins Properties, Inc. REIT 3,647 120
FactSet Research Systems Inc. 2,534 120
Odyssey Re Holdings Corp. 4,980 120
* National Processing, Inc. 4,130 119
Essex Property Trust, Inc. REIT 1,731 118
* Instinet Group Inc. 22,401 118
Greater Bay Bancorp 4,041 117
East West Bancorp, Inc. 3,800 117
Texas Regional Bancshares, Inc. 2,531 116
Prentiss Properties Trust REIT 3,447 116
Southwest Bancorporation of Texas, Inc. 2,601 115
Downey Financial Corp. 2,101 112
* La Quinta Corp. REIT 13,301 112
* Affiliated Managers Group, Inc. 2,191 110
First Industrial Realty Trust REIT 2,977 110
* United Rentals, Inc. 6,008 107
United Bankshares, Inc. 3,302 107
MAF Bancorp, Inc. 2,510 107
Delphi Financial Group, Inc. 2,406 107
Impac Mortgage Holdings, Inc. REIT 4,700 106
* Silicon Valley Bancshares 2,668 106
* NewAlliance Bancshares, Inc. 7,486 105
* UICI 4,389 105
Citizens Banking Corp. 3,331 103
* Philadelphia Consolidated Holding Corp. 1,713 103
American Financial Realty Trust REIT 7,200 103
Susquehanna Bancshares, Inc. 4,084 103
GATX Corp. 3,777 103
Fremont General Corp. 5,749 101
Chittenden Corp. 2,865 101
Pennsylvania REIT 2,935 101
Pacific Capital Bancorp 3,546 100
* Arch Capital Group Ltd. 2,500 100
United Community Banks, Inc. 3,900 98
Home Properties, Inc. REIT 2,480 97
Hilb, Rogal and Hamilton Co. 2,708 97
* Kronos, Inc. 2,327 96
Heritage Property Investment Trust REIT 3,500 95
MB Financial, Inc. 2,567 94
Brandywine Realty Trust REIT 3,474 94
State Auto Financial Corp. 3,071 94
Equity One, Inc. REIT 5,199 94
Highwood Properties, Inc. REIT 3,980 94
* Ohio Casualty Corp. 4,644 93
Washington REIT 3,170 93
Nationwide Health Properties, Inc. REIT 4,902 93
Waypoint Financial Corp. 3,348 92
Flagstar Bancorp, Inc. 4,638 92
Community First Bankshares, Inc. 2,821 91
* Ocwen Financial Corp. 7,537 91
The Phoenix Cos., Inc. 7,400 91
Post Properties, Inc. REIT 3,091 90
* Knight Trading Group, Inc. 8,967 90
BlackRock, Inc. 1,400 89
Corus Bankshares Inc. 2,157 89
Taubman Co. REIT 3,866 88
First Citizens BancShares Class A 723 88
Alfa Corp. 6,254 88
Zenith National Insurance Corp. 1,801 88
* NCO Group, Inc. 3,251 87
21st Century Insurance Group 6,666 86
FBL Financial Group, Inc. Class A 3,027 86
Commercial Federal Corp. 3,151 85
Alexandria Real Estate Equities, Inc. REIT 1,500 85
UMB Financial Corp. 1,645 85
Northwest Bancorp, Inc. 3,708 85
Senior Housing Properties Trust REIT 5,034 85
* Commercial Capital Bancorp, Inc. 4,859 84
22
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Maguire Properties, Inc. REIT 3,400 $ 84
Chemical Financial Corp. 2,236 82
PS Business Parks, Inc. REIT 2,049 82
Kilroy Realty Corp. REIT 2,414 82
Horace Mann Educators Corp. 4,645 81
* Triad Guaranty, Inc. 1,394 81
Hancock Holding Co. 2,784 81
Summit Properties, Inc. REIT 3,136 80
Redwood Trust, Inc. REIT 1,431 80
BankAtlantic Bancorp, Inc.Class A 4,301 79
John H. Harland Co. 2,696 79
Republic Bancorp, Inc. 5,687 79
* Jones Lang Lasalle Inc. 2,908 79
* Alexander's, Inc. REIT 469 79
First Commonwealth Financial Corp. 6,040 78
Wintrust Financial Corp. 1,550 78
CVB Financial Corp. 3,589 78
Santander BanCorp 3,158 78
Seacoast Financial Services Corp. 2,249 78
S & T Bancorp, Inc. 2,428 78
First Niagara Financial Group, Inc. 6,449 77
* Sotheby's Holdings Class A 4,837 77
Amcore Financial, Inc. 2,534 76
TrustCo Bank NY 5,822 76
Capital Automotive REIT 2,600 76
First Federal Capital Corp. 2,727 76
* ProAssurance Corp. 2,200 75
R.L.I. Corp. 2,044 75
* eFunds Corp. 4,242 74
First Financial Bankshares, Inc. 1,770 74
Brookline Bancorp, Inc. 5,044 74
Advanta Corp. Class A 3,370 74
NDCHealth Corp. 3,170 74
First National Bankshares of Florida 3,867 73
National Health Investors REIT 2,690 73
First Financial Bancorp 4,067 72
Lexington Corporate Properties Trust REIT 3,600 72
* CB Richard Ellis Group, Inc. 3,733 71
Provident Bankshares Corp. 2,462 71
First Republic Bank 1,641 71
F.N.B. Corp. 3,454 70
Commercial Net Lease Realty REIT 4,079 70
* Piper Jaffray Cos., Inc. 1,518 69
Novastar Financial, Inc. REIT 1,800 68
Glimcher Realty Trust REIT 3,038 67
* First Federal Financial Corp. 1,615 67
* S1 Corp. 6,755 67
Presidential Life Corp. 3,711 67
McGrath Rent Corp. 1,808 67
City Holding Co. 2,106 67
* BankUnited Financial Corp. 2,577 66
Cash America International Inc. 2,888 66
Dime Community Bancshares 3,795 66
Irwin Financial Corp. 2,511 66
First Charter Corp. 3,003 65
* CompuCredit Corp. 3,732 65
Anchor Bancorp Wisconsin Inc. 2,434 64
* Digital Insight Corp. 3,101 64
Harbor Florida Bancshares, Inc. 2,335 64
Sun Communities, Inc. REIT 1,706 64
NBT Bancorp, Inc. 2,847 64
* USI Holdings Corp. 4,000 63
Harleysville National Corp. 2,457 63
Manufactured Home Communities, Inc. REIT 1,887 63
Central Pacific Financial Co. 2,276 63
First Sentinel Bancorp Inc. 3,004 62
Getty Realty Holding Corp. REIT 2,451 62
* Financial Federal Corp. 1,743 61
CB Bancshares Inc. (HI) 653 61
Riggs National Corp. 2,878 61
Corporate Office Properties Trust, Inc. REIT 2,440 61
Koger Equity, Inc. REIT 2,621 61
First Source Corp. 2,422 61
PFF Bancorp, Inc. 1,624 60
Westbanco Inc. 2,076 60
Community Bank System, Inc. 2,648 60
Gold Banc Corp., Inc. 3,888 60
First Financial Corp. (IN) 1,876 60
Selective Insurance Group 1,500 60
Hanmi Financial Corp. 2,024 60
R & G Financial Corp. Class B 1,800 60
Sterling Bancshares, Inc. 4,166 59
LandAmerica Financial Group, Inc. 1,516 59
Sovran Self Storage, Inc. REIT 1,530 58
Equity Inns, Inc. REIT 6,282 58
Great American Financial Resources, Inc. 3,654 58
Glacier Bancorp, Inc. 2,062 58
Charter Financial Corp. 1,700 58
Parkway Properties Inc. REIT 1,300 58
American Home MortgageInvestment Corp. REIT 2,214 57
23
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Newcastle Investment Corp. REIT 1,900 $ 57
Colonial Properties Trust REIT 1,463 56
Gables Residential Trust REIT 1,641 56
* FelCor Lodging Trust, Inc. REIT 4,608 56
Independent Bank Corp. (MA) 1,909 55
* Advent Software, Inc. 3,040 55
Net.Bank, Inc. 4,980 54
* Danielson Holdings Corp. 7,834 54
Mid-State Bancshares 2,287 54
Correctional Properties Trust REIT 1,826 53
* Investment Technology Group, Inc. 4,156 53
* CNA Surety Corp. 4,842 53
Anthracite Capital Inc. REIT 4,411 53
Glenborough Realty Trust, Inc. REIT 2,872 53
Kansas City Life Insurance Co. 1,231 52
Boston Private Financial Holdings, Inc. 2,231 52
Harleysville Group, Inc. 2,700 51
Oriental Financial Group Inc. 1,872 51
Stewart Information Services Corp. 1,500 51
Hudson River Bancorp. Inc. 2,960 51
Great Southern Bancorp, Inc. 1,712 50
First Community Bancorp 1,300 50
* Nelnet, Inc. 2,800 50
EastGroup Properties, Inc. REIT 1,475 50
* Credit Acceptance Corp. 3,295 50
* InterCept, Inc. 3,018 49
* Universal American Financial Corp. 4,500 49
Interchange Financial Services Corp. 1,925 48
Town & Country Trust REIT 1,884 48
* eSPEED, Inc. Class A 2,667 47
Umpqua Holdings Corp. 2,240 47
* Sterling Financial Corp. 1,452 46
First Place Financial Corp. 2,489 46
Bryn Mawr Bank Corp. 2,030 46
Fidelity Bankshares, Inc. 1,300 46
First Indiana Corp. 2,391 46
* Metris Cos., Inc. 5,190 45
* PICO Holdings, Inc. 2,356 45
Community Trust Bancorp Inc. 1,476 45
First Financial Holdings, Inc. 1,562 45
Capital City Bank Group, Inc. 1,125 45
Alabama National BanCorporation 800 44
Quaker City Bancorp, Inc. 807 44
U.S.B. Holding Co., Inc. 1,922 44
Suffolk Bancorp 1,348 44
* Accredited Home Lenders Holding Co. 1,560 44
WSFS Financial Corp. 882 43
First Merchants Corp. 1,653 43
Universal Health RealtyIncome REIT 1,494 43
* World Acceptance Corp. 2,327 43
United Fire & Casualty Co. 730 42
Independent Bank Corp. (MI) 1,650 42
BancFirst Corp. 700 42
Unizan Financial Corp. 1,600 42
* Stifel Financial Corp. 1,532 42
Midland Co. 1,400 42
* HomeStore, Inc. 10,278 41
West Coast Bancorp 1,908 41
NYMAGIC, Inc. 1,545 41
National Penn Bancshares Inc. 1,365 41
Washington Trust Bancorp, Inc. 1,558 40
Community Banks, Inc. 1,373 40
Peoples Holding Co. 1,165 40
* Argonaut Group, Inc. 2,177 40
Columbia Banking System, Inc. 1,803 40
Bank Mutual Corp. 3,668 40
* United PanAm Financial Corp. 2,341 40
HMN Financial, Inc. 1,513 40
* Saxon Capital Inc. 1,700 39
LaBranche & Co. Inc. 4,605 39
* National Western Life Insurance Co. Class A 251 39
Ziegler Cos., Inc. 2,124 38
* Ace Cash Express, Inc. 1,483 38
Flushing Financial Corp. 2,142 38
Crawford & Co. Class B 7,625 38
Seacoast Banking Corp of Florida 1,789 37
Arrow Financial Corp. 1,226 37
First Bancorp (NC) 1,108 37
Value Line, Inc. 1,037 37
Associated Estates Realty Corp. REIT 4,513 36
Humboldt Bancorp 1,733 36
Midwest Banc Holdings, Inc. 1,620 36
Entertainment PropertiesTrust REIT 1,000 36
Medallion Financial Corp. 4,472 36
Capital Bank Corp. 2,169 36
Vesta Insurance Group, Inc. 5,486 35
MCG Capital Corp. 2,300 35
American Land Lease, Inc. REIT 1,851 35
24
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* American Physicians Capital, Inc. 1,500 $ 35
MFA Mortgage Investments, Inc. REIT 3,900 35
* Tradestation Group Inc. 4,806 35
Capital Corp. of the West 889 35
Omega Financial Corp. 992 34
Mid-America Apartment Communities, Inc. REIT 900 34
Sanders Morris Harris Group Inc. 2,300 34
Keystone Property Trust REIT 1,400 34
Cross Timbers Royalty Trust 1,210 33
Banner Corp. 1,141 33
Infinity Property & Casualty Corp. 1,000 33
* iPayment Holdings, Inc. 800 33
LTC Properties, Inc. REIT 1,970 33
First South Bancorp, Inc. 1,456 33
Century Bancorp, Inc. Class A 990 33
OceanFirst Financial Corp. 1,349 32
Winston Hotels, Inc. REIT 3,118 32
BSB Bancorp, Inc. 907 32
Horizon Financial Corp. 1,605 32
CFS Bancorp, Inc. 2,400 32
* MeriStar Hospitality Corp. REIT 4,629 32
* PRG-Schultz International, Inc. 5,772 32
* CyberSource Corp. 3,774 32
* Apollo Investment Corp. 2,341 32
Simmons First National Corp. 1,210 31
Provident Bancorp, Inc. 2,761 31
FNB Financial Services Corp. 1,847 31
Innkeepers USA Trust REIT 3,021 31
* Florida Banks, Inc. 1,419 31
TF Financial Corp. 1,016 30
* Portfolio Recovery Associates, Inc. 1,100 30
Farmers Capital Bank Corp. 846 30
* Euronet Worldwide, Inc. 1,300 30
Safety Insurance Group, Inc. 1,400 30
Kramont Realty Trust REIT 1,872 30
Second Bancorp, Inc. 949 30
Wayne Savings Bancshares, Inc. 1,873 30
Capstead Mortgage Corp. REIT 2,186 29
First Federal Bancshares of Arkansas, Inc. 1,506 29
Frontier Financial Corp. 839 29
* Ameriserv Financial Inc. 5,269 29
Prosperity Bancshares, Inc. 1,200 29
Nara Bancorp, Inc. 1,672 29
Cascade Bancorp 1,542 28
* Willis Lease Finance Corp. 3,389 28
Southwest Bancorp, Inc. 1,540 28
* First Mariner Bancorp, Inc. 1,646 28
Newmil Bancorp, Inc. 950 28
Sizeler PropertyInvestors, Inc. REIT 3,028 28
HopFed Bancorp, Inc. 1,705 28
Sterling Bancorp 1,000 28
Sandy Spring Bancorp, Inc. 794 28
PrivateBancorp, Inc. 1,000 27
KNBT Bancorp Inc. 1,643 27
BCSB Bankcorp, Inc. 2,051 27
Tanger Factory Outlet Centers, Inc. REIT 692 27
Affordable Residential Communities 1,622 27
First Keystone Financial, Inc. 1,097 27
Summit Bancshares, Inc. 912 27
AMLI Residential Properties Trust REIT 900 26
Comm Bancorp, Inc. 639 26
Sterling Financial Corp. (PA) 1,006 26
Anworth Mortgage Asset Corp. REIT 2,200 26
Capitol Bancorp Ltd. 1,000 26
Capital Trust Class A 970 26
First Midwest Financial, Inc. 1,049 25
Wainwright Bank & Trust Co. 2,050 25
RAIT Investment Trust REIT 1,000 25
Omega Healthcare Investors, Inc. REIT 2,437 24
Greater Community Bancorp 1,710 24
LaSalle Hotel Properties REIT 1,000 24
Pulaski Financial Corp. 1,362 24
Codorus Valley Bancorp, Inc. 1,297 24
Investors Title Co. 748 24
* CCC Information Services Group 1,400 24
* Prime Group Realty Trust REIT 4,282 23
Main Street Banks, Inc. 800 22
Ameriana Bancorp 1,500 22
LSB Corp. 1,398 22
Oak Hill Financial, Inc. 710 22
* Ceres Group, Inc. 3,566 22
HF Financial Corp. 1,414 22
* DutchFork Bancshares, Inc. 559 22
Partners Trust Financial Group, Inc. 1,100 22
Gabelli Asset Management Inc. 500 21
Columbia Bancorp 726 21
* Carreker Corp. 2,100 21
State Financial Services Corp.Class A 701 21
Cornerstone RealtyIncome Trust, Inc. REIT 2,287 20
25
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
German American Bancorp 1,188 $ 20
Price Legacy Corp. REIT 1,075 20
Merchants Bancshares, Inc. 752 20
Peoples Bancorp, Inc. 735 20
Team Financial, Inc. 1,658 19
* Federal Agricultural Mortgage Corp. Class A 1,021 19
Greater Delaware Valley Savings Bank 663 19
First State Bancorporation 600 18
Community West Bancshares 2,110 18
* Navigators Group, Inc. 624 18
PMA Capital Corp. Class A 2,000 18
IBERIABANK Corp. 300 18
Provident Financial Holdings, Inc. 706 17
* HealthExtras, Inc. 1,000 17
North Valley Bancorp 1,042 17
Heritage Financial Corp. 862 16
Old Second Bancorp, Inc. 300 16
BancTrust Financial Group, Inc. 900 16
Shore Bancshares, Inc. 600 15
* Amnet Mortgage INC 1,460 15
* Ampal-American Israel Corp. 4,703 15
* Investors Capital Holdings, Ltd. 3,067 15
Bristol West Holdings, Inc. 800 15
Government Properties Trust, Inc. 1,400 15
* Criimi Mae, Inc. REIT 1,204 14
Massbank Corp. 413 14
* Franklin Bank Corp. 900 14
Rainier Pacific Financial Group Inc. 875 14
Highland Hospitality Corp. 1,400 14
Penn-America Group, Inc. 1,000 14
Bank of the Ozarks, Inc. 600 14
* Marlin Business Services Inc. 900 14
* E-LOAN, Inc. 5,008 14
* Banc Corp. 2,068 13
* Signature Bank 566 13
Commercial Bankshares, Inc. 500 13
American Equity Investment Life Holding Co. 1,300 13
Chester Valley Bancorp 601 13
Saul Centers, Inc. REIT 400 13
First Potomac REIT 669 13
First M&F Corp. 400 12
SWS Group, Inc. 800 12
* ITLA Capital Corp. 300 12
Ramco-Gershenson Properties Trust REIT 500 12
Sound Federal Bancorp Inc. 900 12
Urstadt Biddle Properties Class A REIT 800 12
* Hypercom Corp. 1,400 12
United Community Financial Corp. 900 12
Bay View Capital Corp. 5,600 12
Foothill Independent Bancorp. 545 11
TriCo Bancshares 600 11
American National Bankshares Inc. 500 11
MutualFirst Financial Inc. 500 11
FirstBank Corp. 396 11
Baldwin & Lyons, Inc. Class B 400 11
FNB Corp. (VA) 371 11
Peapack Gladstone Financial Corp. 330 11
* AmericanWest Bancorporation 550 11
Security Bank Corp. 300 10
* First Union Real Estate REIT 3,259 10
Pennfed Financial Services, Inc. 300 10
* Central Coast Bancorp 550 10
Ashford Hospitality Trust 1,200 10
First United Corp. 500 10
LSB Bancshares, Inc. 600 10
Unity Bancorp, Inc. 717 10
Center Bancorp, Inc. 840 9
Camco Financial Corp. 670 9
* Consumer Portfolio Services, Inc. 2,020 9
Yardville National Bancorp 363 9
* The Bancorp Bank 500 9
First Defiance Financial Corp. 400 9
Integra Bank Corp. 400 9
* Portal Software, Inc. 2,426 9
Citizens First Financial Corp. 387 9
Bedford Property Investors, Inc. REIT 300 9
Webster City Federal Bancorp 600 9
United Mobile Homes, Inc. REIT 648 9
* First Cash Financial Services, Inc. 400 9
* Asset Acceptance Capital Corp. 500 9
Luminent Mortgage Capital, Inc. 700 8
* TheStreet.com, Inc. 2,242 8
Belmont Bancorp 1,366 8
First Financial Service Corp. 330 8
Capital Title Group, Inc. 1,848 8
Citizens South Banking Corp. 600 8
Jefferson Bancshares, Inc. 600 8
ESB Financial Corp. 600 8
Financial Institutions, Inc. 300 7
Mission West Properties Inc. REIT 600 7
Community Bancorp Inc. 300 7
Track Data Corp. 6,608 7
EFC Bancorp, Inc. 300 7
Royal Bancshares of Pennsylvania, Inc. 280 7
26
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Humphrey Hospitality Trust, Inc. REIT 1,565 $ 7
Leesport Financial Corp. 300 7
* Sun Bancorp, Inc. (NJ) 315 7
* Republic First Bancorp, Inc. 500 6
* American Independence Corp. 390 6
Republic Bancorp, Inc. Class A 315 6
Bank of Granite Corp. 300 6
* Intersections Inc. 260 6
Investors Real Estate Trust REIT 600 6
CoBiz Inc. 450 6
Westfield Financial, Inc. 300 6
Eastern Virginia Bankshares, Inc. 300 6
AmeriVest Properties, Inc. REIT 1,000 6
BNP Residential Properties, Inc. REIT 444 6
* Falcon Financial Investment Trust REIT 700 5
* Pacific Mercantile Bancorp. 500 5
Habersham Bancorp. 209 5
* Texas Capital Bancshares, Inc. 300 5
Cavalry Bancorp, Inc. 300 5
U.S. RestaurantProperties, Inc. REIT 300 5
* Heritage Commerce Corp. 300 4
First Busey Corp. 146 4
* Greenhill & Co., Inc. 200 4
American Mortgage Acceptance Co. REIT 300 4
Community Bank of Northern Virginia 300 4
BostonFed Bancorp, Inc. 100 4
BRT Realty Trust REIT 200 4
FNB Corp. (NC) 200 4
Pennrock FinancialServices Corp. 129 4
Berkshire Hills Bancorp, Inc. 100 4
* Intelidata Technologies Corp. 5,592 4
Warwick Community Bancorp, Inc. 109 3
National Health Realty Inc. REIT 200 3
* Pacific Premier Bancorp, Inc. 305 3
Maxcor Financial Group Inc. 300 3
Citizens 1st Bancorp, Inc. 125 3
Princeton National Bancorp, Inc. 100 3
Northern States Financial Corp. 100 3
FFLC Bancorp, Inc. 100 3
Home Federal Bancorp 100 3
* Boykin Lodging Co. REIT 300 2
NASB Financial Inc. 51 2
Clifton Savings Bancorp, Inc. 173 2
Burnham Pacific Properties, Inc. REIT 15,143 2
United Financial Corp. 75 2
Acadia Realty Trust REIT 100 1
* InsWeb Corp. 237 1
Hoenig Group, Inc.Rights Exp. 9/1/2006 3,670 1
* Cardinal Financial Corp. 78 1
Pittsburgh & West Virginia Railroad REIT 73 1
* FirstCity Financial Corp. 71 1
* Pinnacle Warrants Exp. 11/13/2007 9 --
-------
229,670
--------
HEALTH CARE (12.9%)
Pfizer Inc. 579,585 19,868
Johnson & Johnson 225,485 12,560
Merck & Co., Inc. 168,706 8,014
Eli Lilly & Co. 86,033 6,015
* Amgen, Inc. 96,581 5,270
Abbott Laboratories 119,270 4,861
Medtronic, Inc. 91,988 4,482
Wyeth 101,295 3,663
Bristol-Myers Squibb Co. 147,661 3,618
UnitedHealth Group Inc. 46,956 2,923
* Boston Scientific Corp. 63,826 2,732
Cardinal Health, Inc. 32,719 2,292
* Genentech, Inc. 40,572 2,280
Schering-Plough Corp. 112,747 2,084
Stryker Corp. 30,562 1,681
* Biogen Idec Inc. 25,952 1,641
* Zimmer Holdings, Inc. 18,572 1,638
Baxter International, Inc. 46,834 1,616
* Forest Laboratories, Inc. 28,154 1,594
HCA Inc. 35,436 1,474
Guidant Corp. 23,905 1,336
* WellPoint Health Networks Inc. Class A 11,690 1,309
* Caremark Rx, Inc. 35,150 1,158
* Gilead Sciences, Inc. 16,402 1,099
* St. Jude Medical, Inc. 13,488 1,020
Becton, Dickinson & Co. 19,341 1,002
Aetna Inc. 11,687 993
* Anthem, Inc. 10,610 950
Allergan, Inc. 9,994 895
Biomet, Inc. 19,545 869
* Genzyme Corp.-General Division 17,424 825
* Medco Health Solutions, Inc. 20,723 777
McKesson Corp. 22,310 766
Quest Diagnostics, Inc. 7,937 674
* Chiron Corp. 14,350 641
27
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
AmerisourceBergen Corp. 8,653 $ 517
* ImClone Systems, Inc. 5,769 495
* Tenet Healthcare Corp. 35,441 475
* Express Scripts Inc. 5,976 473
* MedImmune Inc. 19,066 446
C.R. Bard, Inc. 7,874 446
* Laboratory Corp. of America Holdings 10,992 436
IMS Health, Inc. 18,306 429
Mylan Laboratories, Inc. 20,617 417
* Varian Medical Systems, Inc. 5,248 416
Health Management Associates Class A 18,514 415
* Patterson Dental Co. 5,213 399
* IVAX Corp. 14,976 359
* Celgene Corp. 6,253 358
Oxford Health Plans, Inc. 6,266 345
* Sepracor Inc. 6,487 343
* Coventry Health Care Inc. 6,923 339
Omnicare, Inc. 7,785 333
* Hospira, Inc. 11,927 329
* Millennium Pharmaceuticals, Inc. 22,990 317
DENTSPLY International Inc. 6,057 316
Beckman Coulter, Inc. 4,791 292
* Eon Labs, Inc. 7,100 291
* Invitrogen Corp. 3,876 279
* Barr Pharmaceuticals Inc. 7,742 261
Bausch & Lomb, Inc. 3,958 258
* Lincare Holdings, Inc. 7,540 248
* PacifiCare Health Systems, Inc. 6,388 247
* Kinetic Concepts, Inc. 4,900 245
* Endo Pharmaceuticals Holdings, Inc. 10,035 235
* DaVita, Inc. 7,531 232
* Cephalon, Inc. 4,299 232
* Health Net Inc. 8,598 228
* Watson Pharmaceuticals, Inc. 8,288 223
Manor Care, Inc. 6,741 220
* WebMD Corp. 23,522 219
* Apogent Technologies Inc. 6,784 217
* Triad Hospitals, Inc. 5,718 213
* OSI Pharmaceuticals, Inc. 3,014 212
* Cytyc Corp. 8,331 211
* Millipore Corp. 3,740 211
* King Pharmaceuticals, Inc. 18,335 210
* Henry Schein, Inc. 3,315 209
* Humana Inc. 12,275 207
* Community Health Systems, Inc. 7,539 202
Universal Health Services Class B 4,188 192
* Renal Care Group, Inc. 5,695 189
* Covance, Inc. 4,734 183
* Charles River Laboratories, Inc. 3,528 172
* Gen-Probe Inc. 3,600 170
* INAMED Corp. 2,700 170
* IDEXX Laboratories Corp. 2,692 169
Medicis Pharmaceutical Corp. 4,182 167
* American Pharmaceuticals Partners, Inc. 5,400 164
* Stericycle, Inc. 3,163 164
Cooper Cos., Inc. 2,582 163
* Amylin Pharmaceuticals, Inc. 7,103 162
* Respironics, Inc. 2,681 158
* Edwards Lifesciences Corp. 4,464 156
* Andrx Group 5,448 152
* Dade Behring Holdings Inc. 3,200 152
* Affymetrix, Inc. 4,610 151
* MGI Pharma, Inc. 5,380 145
* ICOS Corp. 4,784 143
* Accredo Health, Inc. 3,621 141
* Neurocrine Biosciences, Inc. 2,700 140
* VCA Antech, Inc. 3,100 139
* Protein Design Labs, Inc. 7,062 135
* Techne Corp. 3,107 135
* Pharmaceutical Product Development, Inc. 4,215 134
* ResMed Inc. 2,533 129
* Martek Biosciences Corp. 2,284 128
* Nektar Therapeutics 6,424 128
Valeant Pharmaceuticals International 6,265 125
* STERIS Corp. 5,512 124
* Pediatrix Medical Group, Inc. 1,780 124
* Tularik, Inc. 4,903 122
* Cerner Corp. 2,670 119
* Bio-Rad Laboratories, Inc. Class A 1,974 116
* Human Genome Sciences, Inc. 9,776 114
Mentor Corp. 3,280 112
* The Medicines Co. 3,653 111
* First Health Group Corp. 7,134 111
* eResearch Technology, Inc. 3,975 111
* Onyx Pharmaceuticals, Inc. 2,600 110
* Apria Healthcare Group Inc. 3,827 110
* LifePoint Hospitals, Inc. 2,879 107
* NeighborCare Inc. 3,319 104
Invacare Corp. 2,290 102
Perrigo Co. 5,381 102
Select Medical Corp. 7,548 101
* VISX Inc. 3,745 100
Arrow International, Inc. 3,342 100
* AMERIGROUP Corp. 2,000 98
28
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Pharmion Corp. 2,000 $ 98
Diagnostic Products Corp. 2,220 98
* Ocular Sciences, Inc. 2,525 96
* Ligand Pharmaceuticals Inc. Class B 5,500 96
* US Oncology, Inc. 6,455 95
* Sierra Health Services, Inc. 2,100 94
* Advanced Medical Optics, Inc. 2,198 94
* ILEX Oncology, Inc. 3,724 93
* Kos Pharmaceuticals, Inc. 2,800 92
* Alkermes, Inc. 6,750 92
* PAR Pharmaceutical Cos. Inc. 2,600 92
* Magellan Health Services, Inc. 2,701 90
* Wright Medical Group, Inc. 2,500 89
* Sybron Dental Specialties, Inc. 2,949 88
* Inveresk Research Group Inc. 2,800 86
* Sunrise Senior Living, Inc. 2,200 86
* Beverly Enterprises, Inc. 9,947 86
* Impax Laboratories, Inc. 4,400 85
* K-V Pharmaceutical Co. Class A 3,692 85
* Cyberonics, Inc. 2,538 85
* Integra LifeSciences Holdings 2,400 85
* Kyphon Inc. 3,000 85
* United Surgical Partners International, Inc. 2,125 84
* Align Technology, Inc. 4,400 84
* American Medical Systems Holdings, Inc. 2,475 83
Alpharma, Inc. Class A 3,999 82
* Haemonetics Corp. 2,728 81
* Kindred Healthcare, Inc. 3,064 81
* Abgenix, Inc. 6,832 80
Owens & Minor, Inc. Holding Co. 3,061 79
* ArthroCare Corp. 2,713 79
* Telik, Inc. 3,300 79
* Zymogenetics, Inc. 4,125 78
* Priority Healthcare Corp.Class B 3,353 77
* PSS World Medical, Inc. 6,807 76
* Province Healthcare Co. 4,425 76
* Genencor International Inc. 4,597 75
* Dendreon Corp. 5,937 73
* Possis Medical Inc. 2,100 72
* Viasys Healthcare Inc. 3,425 72
* IDX Systems Corp. 2,243 72
* Noven Pharmaceuticals, Inc. 3,223 71
* Intuitive Surgical, Inc. 3,706 70
* RehabCare Group, Inc. 2,600 69
* Immucor Inc. 2,103 68
* Exelixis, Inc. 6,633 67
* Nabi Biopharmaceuticals 4,658 66
* Applera Corp.-Celera Genomics Group 5,723 66
* Centene Corp. 1,700 66
* Tanox, Inc. 3,394 65
* Vertex Pharmaceuticals, Inc. 5,967 65
* Ventana Medical Systems, Inc. 1,349 64
* United Therapeutics Corp. 2,394 61
* CIMA Labs Inc. 1,808 61
* NPS Pharmaceuticals Inc. 2,841 60
* Salix Pharmaceuticals, Ltd. 1,800 59
* PAREXEL International Corp. 2,938 58
* Atrix Laboratories, Inc. 1,686 58
* Sola International Inc. 3,342 58
* Eclipsys Corp. 3,731 57
* Hologic, Inc. 2,438 57
* AmSurg Corp. 2,250 57
* Medarex, Inc. 7,745 56
* MedCath Corp. 2,800 56
* American Medical Security Group, Inc. 2,053 56
* Per-Se Technologies, Inc. 3,825 56
* OraSure Technologies, Inc. 5,632 55
* CONMED Corp. 1,972 54
* Biosite Inc. 1,191 54
* Adolor Corp. 4,184 53
* Gentiva Health Services, Inc. 3,250 53
* Odyssey Healthcare, Inc. 2,800 53
* Advanced Neuromodulation Systems, Inc. 1,600 52
* CTI Molecular Imaging, Inc. 3,700 52
* Vicuron Pharmaceuticals Inc. 4,166 52
Hooper Holmes, Inc. 9,039 52
* Quality Systems, Inc. 1,051 52
* Digene Corp. 1,394 51
* Maxygen Inc. 4,741 50
* Transkaryotic Therapies, Inc. 3,314 50
* Closure Medical Corp. 1,964 49
* Aspect Medical Systems, Inc. 2,654 49
* Enzon Pharmaceuticals, Inc. 3,804 49
* Orthodontic Centers of America, Inc. 5,896 48
* Genesis Healthcare Corp. 1,659 48
* Incyte Corp. 6,148 47
* Thoratec Corp. 4,317 46
* Serologicals Corp. 2,300 46
* American Healthways Inc. 1,700 45
* TriPath Imaging, Inc. 4,789 45
* CV Therapeutics, Inc. 2,683 45
* Encysive Pharmaceuticals, Inc. 5,223 44
* Molecular Devices Corp. 2,494 44
PolyMedica Corp. 1,400 43
29
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Bruker BioSciences Corp. 8,844 $ 43
* Regeneron Pharmaceuticals, Inc. 4,081 43
* VaxGen, Inc. 3,020 43
* Cepheid, Inc. 3,700 43
* ABIOMED, Inc. 3,375 42
* Enzo Biochem, Inc. 2,827 42
Vital Signs, Inc. 1,457 42
* SurModics, Inc. 1,711 42
* SonoSite, Inc. 1,762 42
* Indevus Pharmaceuticals, Inc. 6,819 42
* Maxim Pharmaceuticals, Inc. 4,304 42
* Albany Molecular Research, Inc. 3,206 41
Meridian Bioscience Inc. 3,732 41
* CorVel Corp. 1,452 41
* Cell Genesys, Inc. 3,948 41
* InterMune Inc. 2,625 40
* Connetics Corp. 2,000 40
* Luminex Corp. 4,004 40
* Candela Corp. 4,092 40
* Zoll Medical Corp. 1,141 40
* Alexion Pharmaceuticals, Inc. 2,112 39
* Inspire Pharmaceuticals, Inc. 2,300 38
* AtheroGenics, Inc. 2,000 38
* CardioDynamics International Corp. 7,532 38
* LCA-Vision Inc. 1,291 38
* ImmunoGen, Inc. 6,130 37
* Lexicon Genetics Inc. 4,729 37
* Cubist Pharmaceuticals, Inc. 3,337 37
* Alliance Imaging, Inc. 8,100 37
* DJ Orthopedics Inc. 1,600 37
* Myriad Genetics, Inc. 2,400 36
* Isis Pharmaceuticals, Inc. 6,225 36
* Regeneration Technologies, Inc. 3,290 35
* Wilson Greatbatch Technologies, Inc. 1,200 34
* Diversa Corp. 3,302 33
* CuraGen Corp. 5,529 33
* SFBC International, Inc. 1,050 33
* BioMarin Pharmaceutical Inc. 5,435 33
* SuperGen, Inc. 4,928 32
* Specialty Laboratories, Inc. 3,533 32
* US Physical Therapy, Inc. 2,300 32
* Stratagene Holding Corp. 3,795 31
* National Dentex Corp. 1,077 31
* Pharmacyclics, Inc. 3,019 31
* Cell Therapeutics, Inc. 3,930 29
* Kensey Nash Corp. 828 29
* First Horizon Pharmaceutical Corp. 1,500 28
* Allscripts Healthcare Solutions, Inc. 3,570 28
* Dyax Corp. 2,379 28
* GenVec, Inc. 9,030 28
* Accelrys Inc. 2,797 28
* Laserscope 1,000 28
* Molina Healthcare Inc. 700 27
* Trimeris, Inc. 1,826 26
* Air Methods Corp. 3,041 26
* Antigenics, Inc. 3,021 26
* Bone Care International, Inc. 1,093 26
* Eyetech Pharmaceuticals Inc. 594 25
* PRAECIS Pharmaceuticals Inc. 6,704 25
Analogic Corp. 600 25
West Pharmaceutical Services, Inc. 600 25
* Superior Consultant Holdings Corp. 4,112 25
* Immunomedics Inc. 5,002 24
* BioLase Technology, Inc. 1,800 24
* VistaCare, Inc. 1,300 24
* MedQuist, Inc. 2,003 24
Datascope Corp. 600 24
* Ciphergen Biosystems, Inc. 3,206 23
* Chattem, Inc. 800 23
* Nanogen, Inc. 3,386 23
* Matria Healthcare, Inc. 904 23
* Rochester Medical Corp. 2,716 22
* SciClone Pharmaceuticals, Inc. 4,366 22
* LabOne, Inc. 700 22
* Nuvelo, Inc. 2,308 22
* Gene Logic Inc. 5,467 22
* Inverness Medical Innovations, Inc. 1,007 22
* Third Wave Technologies 4,741 21
* Corixa Corp. 4,497 21
* Alcide Corp. 1,009 21
* Illumina, Inc. 3,276 21
* Aclara Biosciences, Inc. 4,614 21
* Able Laboratories, Inc. 1,000 21
* XOMA Ltd. 4,538 20
* Conceptus, Inc. 1,800 20
* Medical Action Industries Inc. 1,100 20
* Penwest Pharmaceuticals Co. 1,563 20
* Lifecore Biomedical Inc. 3,233 20
* Exactech, Inc. 900 20
* Bradley Pharmaceuticals, Inc. 700 20
* SONUS Pharmaceuticals, Inc. 4,183 19
* Vivus, Inc. 5,306 19
* Embrex, Inc. 1,419 19
* Theragenics Corp. 4,093 19
* Nastech Pharmaceutical Co., Inc. 1,785 18
* Progenics Pharmaceuticals, Inc. 1,070 18
30
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Trover Solutions, Inc. 2,600 $ 18
* Neurogen Corp. 2,387 18
* Advanced Magnetics, Inc. 1,173 18
* IVAX Diagnostics, Inc. 2,766 18
* Geron Corp. 2,138 17
* ARIAD Pharmaceuticals, Inc. 2,300 17
* Savient Pharmaceuticals Inc. 6,883 17
* ICU Medical, Inc. 500 17
Landauer, Inc. 375 17
* Sangamo BioSciences, Inc. 2,740 16
* InKine Pharmaceutical Co., Inc. 4,225 16
* Spectranetics Corp. 2,779 16
* Durect Corp. 4,425 15
* Novavax, Inc. 2,847 15
* Harvard Bioscience, Inc. 3,410 15
* Curative Health Services, Inc. 1,739 15
* Neogen Corp. 875 15
* Pozen Inc. 2,165 15
* EPIX Medical, Inc. 700 15
* Oscient Pharmaceuticals 2,887 15
* HMS Holdings Corp. 2,468 15
* Genta Inc. 5,819 15
* Curis, Inc. 3,275 14
* Hollis-Eden Pharmaceuticals, Inc. 1,200 14
* BioSphere Medical Inc. 4,500 14
* CYTOGEN Corp. 879 14
* VitalWorks Inc. 3,890 13
* Genaissance Pharmaceuticals, Inc. 3,100 13
* Lipid Sciences, Inc. 2,862 13
* Curon Medical Inc. 7,226 12
* CryoLife Inc. 2,226 12
* NMT Medical, Inc. 3,100 12
* Axonyx Inc. 2,200 12
* Oxigene, Inc. 1,815 11
* SRI/Surgical Express, Inc. 1,677 11
* AP Pharma Inc. 3,352 11
* Merit Medical Systems, Inc. 700 11
* Tapestry Pharmaceuticals Inc. 6,104 11
* aaiPharma Inc. 2,000 11
* Vical, Inc. 1,846 11
* Novoste Corp. 3,865 11
* Emisphere Technologies, Inc. 2,550 10
* Caliper Life Sciences, Inc. 2,209 10
* Sonic Innovations, Inc. 1,778 10
* Cytokinetics, Inc. 671 10
* Aphton Corp. 2,490 10
* Insmed Inc. 4,380 10
* Hi-Tech Pharmacal Co., Inc. 600 10
* Chronimed Inc. 1,200 10
* Allied Healthcare International Inc. 1,980 10
* Cypress Bioscience, Inc. 700 10
* Abaxis, Inc. 500 9
* La Jolla Pharmaceutical Co. 3,848 9
* Large Scale Biology Corp. 6,609 9
* Titan Pharmaceuticals, Inc. 3,367 9
* Symbion, Inc. 500 9
* NeoPharm, Inc. 814 8
* Microvision, Inc. 1,000 8
* Kendle International Inc. 1,075 8
* Corgentech Inc. 500 8
* Iridex Corp. 1,100 8
* Pharmacopeia Drug Discovery 1,398 8
* Orchid Biosciences, Inc. 1,004 8
* Discovery Laboratories, Inc. 800 8
Psychemedics Corp. 725 8
* V.I. Technologies, Inc. 6,546 7
* Tercica, Inc. 800 7
* Kosan Biosciences, Inc. 800 6
* Neurobiological Technologies, Inc. 1,600 6
* Rita Medical Systems, Inc. 1,400 6
* Targeted Genetics Corp. 3,721 6
* MacroChem Corp. 3,800 6
* Seattle Genetics, Inc. 800 6
* Carrington Labs Inc. 1,246 6
* EntreMed, Inc. 2,738 6
* Virologic, Inc. 2,205 5
* Proxymed Pharmacy, Inc. 320 5
* Sequenom, Inc. 3,558 5
* Columbia Laboratories Inc. 1,500 5
* Orphan Medical, Inc. 500 5
* Aradigm Corp. 5,575 5
* Collagenex Pharmaceuticals, Inc. 500 5
* Cerus Corp. 1,842 4
* Aksys, Ltd. 737 4
* Northfield Laboratories, Inc. 300 4
* Ista Pharmaceuticals Inc. 398 4
* Alteon, Inc. 3,513 4
* ViroPharma Inc. 2,238 4
* Lanvision Systems, Inc. 1,425 4
* Transgenomic, Inc. 2,841 4
* Cortex Pharmaceuticals, Inc. 1,300 3
* GTC Biotherapeutics, Inc. 2,100 3
* Synovis Life Technologies, Inc. 300 3
* Continucare Corp. 1,581 3
* Five Star Quality Care, Inc. 668 3
* Interpharm Holdings, Inc. 739 3
* Santarus Inc. 196 3
* Renovis, Inc. 300 3
* Paradigm Genetics, Inc. 3,296 3
31
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Repligen Corp. 1,000 $ 2
* Cardima, Inc. 4,715 2
* PharmaNetics, Inc. 5,064 2
* Applied Imaging Corp. 2,500 2
* Matritech Inc. 1,700 2
* Biopure Corp. 3,100 2
* Aastrom Biosciences, Inc. 2,400 2
* GTx, Inc. 200 2
* Avigen, Inc. 604 2
* Osteotech, Inc. 300 2
* Bioject Medical Technologies Inc. 1,000 2
* Animas Corp. 100 2
* IntraBiotics Pharmaceuticals, Inc. 470 2
* SIGA Technologies, Inc. 1,265 2
* eXegenics Inc. 2,293 2
* Myogen, Inc. 200 2
Wellcare Group Inc. 100 2
* The Immune Response Corp. 981 1
* Valentis, Inc. 165 1
* Epimmune Inc. 643 1
* IGI, Inc. 418 1
* Lynx Therapeutics, Inc. 408 1
* Corcept Therapeutics Inc. 107 1
* HealthAxis, Inc. 225 1
* Barrier Therapeutics Inc. 100 1
* Precision Optics Corp., Inc. 391 --
* Pure Bioscience 571 --
---------
135,553
---------
INTEGRATED OILS (3.6%)
ExxonMobil Corp. 496,715 22,059
ChevronTexaco Corp. 81,238 7,645
ConocoPhillips Co. 52,086 3,974
Occidental Petroleum Corp. 29,706 1,438
Marathon Oil Corp. 26,143 989
Unocal Corp. 19,839 754
Amerada Hess Corp. 6,882 545
Murphy Oil Corp. 7,014 517
Hugoton Royalty Trust 3,800 87
* KCS Energy, Inc. 5,533 74
* Giant Industries, Inc. 2,210 49
* Delta Petroleum Corp. 3,500 47
* NewMarket Corp. 1,463 31
* GMX Resources Inc. 3,450 27
---------
38,236
---------
OTHER ENERGY (2.6%)
Schlumberger Ltd. 44,882 2,850
Devon Energy Corp. 18,115 1,196
Anadarko Petroleum Corp. 19,222 1,126
Burlington Resources, Inc. 30,236 1,094
Apache Corp. 24,860 1,083
Halliburton Co. 33,550 1,015
Baker Hughes, Inc. 25,598 964
Valero Energy Corp. 10,009 738
* Transocean Inc. 24,531 710
Kerr-McGee Corp. 11,391 612
XTO Energy, Inc. 19,607 584
* BJ Services Co. 12,162 558
EOG Resources, Inc. 8,817 526
* Nabors Industries, Inc. 11,258 509
GlobalSantaFe Corp. 17,874 474
Williams Cos., Inc. 39,518 470
* Weatherford International Ltd. 10,086 454
* Smith International, Inc. 7,976 445
* Noble Corp. 10,337 392
El Paso Corp. 48,859 385
Sunoco, Inc. 5,973 380
ENSCO International, Inc. 11,457 333
Pioneer Natural Resources Co. 9,182 322
Chesapeake Energy Corp. 18,005 265
Peabody Energy Corp. 4,684 262
Texas Genco Holdings, Inc. 5,674 256
Equitable Resources, Inc. 4,738 245
CONSOL Energy, Inc. 6,804 245
Pogo Producing Co. 4,921 243
* Reliant Energy, Inc. 22,445 243
* Newfield Exploration Co. 4,323 241
* Premcor, Inc. 6,300 236
Diamond Offshore Drilling, Inc. 9,874 235
Noble Energy, Inc. 4,329 221
* Ultra Petroleum Corp. 5,678 212
Patterson-UTI Energy, Inc. 6,323 211
* National-Oilwell, Inc. 6,499 205
* Cooper Cameron Corp. 4,144 202
* Rowan Cos., Inc. 7,863 191
* NRG Energy 7,591 188
* Pride International, Inc. 10,288 176
* Grant Prideco, Inc. 9,532 176
Massey Energy Co. 5,791 163
* Varco International, Inc. 7,409 162
Patina Oil & Gas Corp. 5,350 160
* FMC Technologies Inc. 5,123 148
Arch Coal, Inc. 4,011 147
* Tesoro Petroleum Corp. 5,000 138
* Calpine Corp. 31,345 135
* Evergreen Resources, Inc. 3,326 134
* Quicksilver Resources, Inc. 1,894 127
* Houston Exploration Co. 2,382 123
* Dynegy, Inc. 28,866 123
* Forest Oil Corp. 4,080 111
Vintage Petroleum, Inc. 6,431 109
* Unit Corp. 3,452 109
Cabot Oil & Gas Corp. 2,462 104
32
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Plains Exploration & Production Co. 5,655 $ 104
* Spinnaker Exploration Co. 2,576 101
Helmerich & Payne, Inc. 3,776 99
St. Mary Land & Exploration Co. 2,710 97
* Cimarex Energy Co. 3,192 96
* Key Energy Services, Inc. 10,156 96
* Stone Energy Corp. 2,041 93
* Encore Acquisition Co. 3,315 92
* Denbury Resources, Inc. 4,200 88
* Oceaneering International, Inc. 2,499 86
* Cal Dive International, Inc. 2,818 85
CARBO Ceramics Inc. 1,190 81
* Magnum Hunter Resources Inc. 7,780 81
* Swift Energy Co. 3,391 75
Range Resources Corp. 5,100 74
Frontier Oil Corp. 3,476 74
* Seacor Holdings INC 1,659 73
* Universal Compression Holdings, Inc. 2,362 72
* Hanover Compressor Co. 6,075 72
Holly Corp. 1,918 72
* Comstock Resources, Inc. 3,665 71
Berry Petroleum Class A 2,385 70
* Remington Oil & Gas Corp. 2,958 70
Penn Virginia Corp. 1,912 69
* Enbridge Energy Management LLC 1,600 68
* Plug Power, Inc. 8,936 67
* Global Industries Ltd. 11,658 67
* Veritas DGC Inc. 2,845 66
* Grey Wolf, Inc. 15,529 66
* Atwood Oceanics, Inc. 1,554 65
RPC Inc. 4,091 65
* Energy Partners, Ltd. 4,208 64
* Newpark Resources, Inc. 10,383 64
* TETRA Technologies, Inc. 2,335 63
* Input/Output, Inc. 7,542 63
* Superior Energy Services, Inc. 6,200 62
* Prima Energy Corp. 1,558 62
Resource America, Inc. 2,534 60
* Whiting Petroleum Corp. 2,217 56
* Petroleum Development Corp. 2,000 55
* Harvest Natural Resources, Inc. 3,500 52
* Plains Resources Inc. 2,927 50
* W-H Energy Services, Inc. 2,487 49
* Brigham Exploration Co. 5,300 49
* ATP Oil & Gas Corp. 6,200 48
* Syntroleum Corp. 6,873 45
* McMoRan Exploration Co. 2,795 44
* Dril-Quip, Inc. 2,328 44
* TransMontaigne Inc. 8,059 43
* Parker Drilling Co. 11,063 42
* PetroQuest Energy, Inc. 9,400 40
* Hydrill Co. 1,200 38
* The Meridian Resource Corp. 5,349 37
* FuelCell Energy, Inc. 3,060 36
* Oil States International, Inc. 2,300 35
* Parallel Petroleum Corp. 6,000 30
* Double Eagle Petroleum Co. 2,171 30
* Callon Petroleum Co. 1,966 28
* Prime Energy Corp. 1,426 26
Gulf Island Fabrication, Inc. 1,148 25
* The Exploration Co.of Delaware, Inc. 6,500 25
* KFX, Inc. 3,200 24
* Todco 1,300 20
* Beta Oil & Gas Inc. 2,900 19
* Toreador Resources Corp. 2,315 17
* Capstone Turbine Corp. 7,214 16
* Clayton Williams Energy, Inc. 647 15
* Goodrich Petroleum Corp. 1,400 12
* Royale Energy, Inc. 775 11
* Torch Offshore, Inc. 3,600 10
* Harken Energy Corp. 19,883 10
* Global Power Equipment Group Inc. 1,215 10
* Magellan Petroleum Corp. 5,434 7
* Abraxas Petroleum Corp. 3,800 6
* Westmoreland Coal Co. 300 6
* Horizon Offshore, Inc. 4,889 5
* U.S. Energy Systems, Inc. 4,134 4
* Infinity, Inc. 800 3
* FX Energy, Inc. 200 2
* Wilshire Enterprises, Inc. 190 1
* ICO, Inc. 357 1
--------
27,485
---------
MATERIALS & Processing (4.0%)
E.I. du Pont de Nemours & Co. 76,463 3,396
Dow Chemical Co. 71,374 2,905
Alcoa Inc. 66,589 2,199
International Paper Co. 36,789 1,644
Newmont Mining Corp (Holding Co.) 30,735 1,191
Weyerhaeuser Co. 17,023 1,074
Masco Corp. 33,423 1,042
Praxair, Inc. 24,882 993
Air Products & Chemicals, Inc. 17,401 913
Archer-Daniels-Midland Co. 49,693 834
PPG Industries, Inc. 13,074 817
Monsanto Co. 20,336 783
Georgia Pacific Group 19,483 720
33
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co. 17,053 $ 709
* American Standard Cos., Inc. 16,606 669
Ecolab, Inc. 19,700 624
* Phelps Dodge Corp. 7,177 556
Avery Dennison Corp. 8,405 538
Sherwin-Williams Co. 11,174 464
Nucor Corp. 6,000 461
MeadWestvaco Corp. 15,373 452
Freeport-McMoRan Copper & Gold, Inc. Class B 13,586 450
Smurfit-Stone Container Corp. 18,871 376
Vulcan Materials Co. 7,768 369
* Sealed Air Corp. 6,525 348
Ball Corp. 4,358 314
Sigma-Aldrich Corp. 5,267 314
Engelhard Corp. 9,560 309
Bunge Ltd. 7,900 308
United States Steel Corp. 8,687 305
Fluor Corp. 6,299 300
* Pactiv Corp. 11,973 299
Temple-Inland Inc. 4,174 289
Ashland, Inc. 5,277 279
* Energizer Holdings, Inc. 6,189 279
Eastman Chemical Co. 5,922 274
Precision Castparts Corp. 4,951 271
Boise Cascade Corp. 6,717 253
Lyondell Chemical Co. 13,515 235
Bemis Co., Inc. 8,104 229
The St. Joe Co. 5,762 229
Lafarge North America Inc. 5,236 227
* International Steel Group, Inc. 7,500 223
Forest City Enterprise Class A 3,753 199
Valspar Corp. 3,908 197
Packaging Corp. of America 8,024 192
Louisiana-Pacific Corp. 8,054 190
Cabot Corp. 4,680 190
Sonoco Products Co. 7,419 189
* Owens-Illinois, Inc. 11,257 189
The Timken Co. 6,772 179
Bowater Inc. 4,276 178
* Glamis Gold, Ltd. 9,900 174
Martin Marietta Materials, Inc. 3,836 170
* Jacobs Engineering Group Inc. 4,298 169
* Scotts Co. 2,514 161
Harsco Corp. 3,138 147
Cytec Industries, Inc. 3,123 142
Lubrizol Corp. 3,870 142
Florida Rock Industries, Inc. 3,342 141
Worthington Industries, Inc. 6,684 137
Corn Products International, Inc. 2,879 134
RPM International, Inc. 8,809 134
Airgas, Inc. 5,524 132
Hughes Supply, Inc. 2,235 132
Southern Peru Copper Corp. 3,053 126
York International Corp. 3,055 125
* Crown Holdings, Inc. 12,372 123
AptarGroup Inc. 2,747 120
* FMC Corp. 2,735 118
IMC Global Inc. 8,630 116
Allegheny Technologies Inc. 6,136 111
* Steel Dynamics, Inc. 3,755 108
Great Lakes Chemical Corp. 3,964 107
Simpson Manufacturing Co. 1,900 107
* Hercules, Inc. 8,590 105
Valhi, Inc. 9,126 104
Albemarle Corp. 3,246 103
* Dycom Industries, Inc. 3,656 102
Reliance Steel & Aluminum Co. 2,500 101
* Stillwater Mining Co. 6,686 100
* Meridian Gold Co. 7,732 100
Texas Industries, Inc. 2,341 96
Mueller Industries Inc. 2,652 95
* Longview Fibre Co. 6,400 94
* URS Corp. 3,409 93
Potlatch Corp. 2,237 93
Brady Corp. Class A 2,020 93
Olin Corp. 5,151 91
* OM Group, Inc. 2,720 90
Acuity Brands, Inc. 3,311 89
Georgia Gulf Corp. 2,491 89
Minerals Technologies, Inc. 1,537 89
* Rogers Corp. 1,255 88
Clarcor Inc. 1,894 87
Lennox International Inc. 4,784 87
Greif Inc. Class A 2,019 85
Kaydon Corp. 2,757 85
Albany International Corp. 2,500 84
* Millennium Chemicals, Inc. 4,840 84
* Symyx Technologies, Inc. 3,468 84
Ferro Corp. 3,107 83
LNR Property Corp. 1,518 82
* Maverick Tube Corp. 3,082 81
Spartech Corp. 3,108 81
* NCI Building Systems, Inc. 2,460 80
Silgan Holdings, Inc. 1,986 80
Carpenter Technology Corp. 2,340 80
USEC Inc. 8,955 79
Commercial Metals Co. 2,354 76
MacDermid, Inc. 2,244 76
Kronos Worldwide, Inc. 2,200 75
* Armor Holdings, Inc. 2,200 75
Watsco, Inc. 2,653 74
34
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Wausau-Mosinee Paper Corp. 4,286 $ 74
* GrafTech International Ltd. 6,942 73
* WCI Communities, Inc. 3,250 73
Glatfelter 5,139 72
H.B. Fuller Co. 2,546 72
* Lone Star Technologies, Inc. 2,616 72
* Graphic Packaging Corp. 8,200 71
Tredegar Corp. 4,344 70
Arch Chemicals, Inc. 2,388 69
A. Schulman Inc. 3,174 68
Brookfield Homes Corp. 2,600 68
* Coeur d'Alene Mines Corp. 16,261 66
* Oregon Steel Mills, Inc. 4,488 66
* Tejon Ranch Co. 1,877 65
AMCOL International Corp. 3,408 65
Delta & Pine Land Co. 2,913 64
* PolyOne Corp. 8,571 64
* Buckeye Technology, Inc. 5,499 63
Crompton Corp. 9,725 61
NL Industries, Inc. 4,088 59
Ryerson Tull, Inc. 3,730 59
Granite Construction Co. 3,233 59
* Cabot Microelectronics Corp. 1,921 59
Chesapeake Corp. of Virginia 2,187 58
* USG Corp. 3,299 58
Cambrex Corp. 2,289 58
* Hexcel Corp. 4,979 58
* Century Aluminum Co. 2,290 57
* Quanta Services, Inc. 9,079 56
* Trammell Crow Co. 3,872 55
* Jacuzzi Brands, Inc. 6,753 54
* Caraustar Industries, Inc. 3,795 54
ElkCorp 2,210 53
* EMCOR Group, Inc. 1,200 53
Barnes Group, Inc. 1,809 52
* AK Steel Corp. 9,745 51
* Avatar Holding, Inc. 1,234 51
* Insituform Technologies Inc.Class A 3,150 51
Eagle Materials, Inc. B Shares 725 50
* Hecla Mining Co. 8,792 50
Myers Industries, Inc. 3,513 50
Eagle Materials, Inc. 697 50
* Shaw Group, Inc. 4,862 49
* Encore Wire Corp. 1,783 49
Rock-Tenn Co. 2,900 49
* Interface, Inc. 5,627 49
* Trex Co., Inc. 1,200 45
Schnitzer Steel Industries, Inc.
Class A 1,275 43
* Mobile Mini, Inc. 1,523 43
* Titanium Metals Corp. 461 43
* Omnova Solutions Inc. 6,933 42
* Material Sciences Corp. 3,688 39
Quanex Corp. 800 39
* Terra Industries, Inc. 6,769 38
* A.M. Castle & Co. 3,520 38
CIRCOR International, Inc. 1,846 38
Apogee Enterprises, Inc. 3,608 38
* Zoltek Cos., Inc. 4,979 36
Oil-Dri Corp. of America 2,123 35
* Integrated Electrical Services, Inc. 4,211 34
* AAON, Inc. 1,650 33
The Standard Register Co. 2,700 32
* Lydall, Inc. 3,277 32
* NS Group Inc. 1,926 32
* Maxxam Inc. 1,190 32
Penford Corp. 1,785 31
Ampco-Pittsburgh Corp. 2,429 31
* Griffon Corp. 1,400 31
* Northwest Pipe Co. 1,751 31
* CompX International Inc. 1,929 29
* Energy Conversion Devices, Inc. 2,557 29
* Griffin Land & Nurseries, Inc. 1,126 29
* Stratus Properties Inc. 2,199 28
* Cleveland-Cliffs Inc. 500 28
Wellman, Inc. 3,463 28
Valmont Industries, Inc. 1,200 27
LSI Industries Inc. 2,257 26
* Synalloy Corp. 2,538 26
* Huttig Building Products, Inc. 3,365 26
* Ceradyne, Inc. 700 25
Royal Gold, Inc. 1,700 24
Aceto Corp. 1,350 24
Calgon Carbon Corp. 3,497 23
Gibraltar Steel 700 23
* W.R. Grace & Co. 3,562 22
Steel Technologies, Inc. 1,000 22
Consolidated-Tomoka Land Co. 580 22
Alico, Inc. 532 21
WD-40 Co. 700 21
* Comfort Systems USA, Inc. 3,106 20
* Valence Technology Inc. 5,663 19
* Unifi, Inc. 6,614 19
* Acmat Corp. Class A 1,503 19
Stepan Co. 680 18
* Anthony & Sylvan Pools Corp. 3,845 16
Compass Minerals International 800 16
Deltic Timber Corp. 400 15
* Tarragon Realty Investors Inc. REIT 1,000 15
Quaker Chemical Corp. 524 14
35
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Layne Christensen Co. 856 $ 14
Universal Forest Products, Inc. 400 13
* Juno Lighting, Inc. 361 13
Intermet Corp. 2,894 12
* Zapata Corp. 200 12
* Foamex International, Inc. 2,519 12
* Medis Technology Ltd. 700 11
* TransPro Inc. 1,789 10
* U.S. Energy Corp. 3,571 9
Ameron International Corp. 240 8
* Drew Industries, Inc. 200 8
* Perini Corp. 700 7
* Infrasource Services Inc. 600 7
* Lesco, Inc. 500 7
* Wellsford Real Properties Inc. 426 7
Penn Engineering & Manufacturing Corp. 300 6
* Eden Bioscience Corp. 7,422 6
Ennis Business Forms, Inc. 300 6
Anchor Glass Container Corp. 400 5
* Liquidmetal Technologies Inc. 2,600 4
* U.S. Concrete, Inc. 500 4
* Baker (Michael) Corp. 200 3
* Nonophase Technologies Corp. 300 2
* Webco Industries, Inc. 577 2
* American Real
Estate Partners, LP 100 2
* Impreso, Inc. 800 2
* EarthShell Corp. 938 2
* Badger Paper Mills, Inc. 238 1
* Advanced Environmental Recycling Technologies, Inc. 600 1
* WHX Corp. 222 --
* BMC Industries, Inc. 4,603 --
* Cone Mills Corp. 2,187 --
---------
42,129
---------
PRODUCER DURABLES (4.5%)
United Technologies Corp. 39,086 3,576
The Boeing Co. 63,973 3,268
* Applied Materials, Inc. 128,040 2,512
Illinois Tool Works, Inc. 23,656 2,268
Caterpillar, Inc. 26,154 2,078
Emerson Electric Co. 32,334 2,055
Lockheed Martin Corp. 34,054 1,774
Northrop Grumman Corp. 27,352 1,469
Deere & Co. 18,880 1,324
Danaher Corp. 23,496 1,218
* Agilent Technologies, Inc. 36,798 1,077
* Lexmark International, Inc. 9,854 951
Ingersoll-Rand Co. 13,451 919
* Xerox Corp. 60,903 883
Pitney Bowes, Inc. 17,896 792
* KLA-Tencor Corp. 15,050 743
Dover Corp. 15,563 655
Parker Hannifin Corp. 9,061 539
Lennar Corp. Class A 11,860 530
D. R. Horton, Inc. 17,794 505
Pulte Homes, Inc. 9,624 501
Molex, Inc. 14,593 468
Rockwell Collins, Inc. 13,629 454
* Waters Corp. 9,329 446
Centex Corp. 9,432 432
Cooper Industries, Inc. Class A 7,185 427
W.W. Grainger, Inc. 7,007 403
* Thermo Electron Corp. 12,464 383
* Novellus Systems, Inc. 11,634 366
* Teradyne, Inc. 14,585 331
American Power Conversion Corp. 15,078 296
Diebold, Inc. 5,520 292
Goodrich Corp. 8,950 289
* LAM Research Corp. 10,148 272
* American Tower Corp. Class A 17,139 261
Pentair, Inc. 7,574 255
Pall Corp. 9,691 254
KB HOME 3,619 248
* Crown Castle International Corp. 16,761 247
* Andrew Corp. 12,126 243
* NVR, Inc. 500 242
* Toll Brothers, Inc. 5,596 237
Tektronix, Inc. 6,467 220
Hubbell Inc. Class B 4,580 214
Cummins Inc. 3,265 204
Donaldson Co., Inc. 6,656 195
HNI Corp 4,515 191
* Alliant Techsystems, Inc. 2,903 184
* Polycom, Inc. 7,493 168
Graco, Inc. 5,286 164
Roper Industries Inc. 2,828 161
* Hovnanian Enterprises Inc.Class A 4,632 161
MDC Holdings, Inc. 2,509 160
Herman Miller, Inc. 5,509 159
Ametek, Inc. 5,158 159
Briggs & Stratton Corp. 1,708 151
Ryland Group, Inc. 1,900 149
* Plantronics, Inc. 3,440 145
Crane Co. 4,488 141
* United Defense Industries Inc. 4,000 140
* AGCO Corp. 6,795 138
Cognex Corp. 3,394 131
Standard Pacific Corp. 2,638 130
36
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
Kennametal, Inc. 2,827 $ 129
* Terex Corp. 3,770 129
IDEX Corp. 3,715 128
Thomas & Betts Corp. 4,557 124
Nordson Corp. 2,695 117
Joy Global Inc. 3,900 117
Engineered Support Systems, Inc. 1,900 111
Beazer Homes USA, Inc. 1,100 110
Lincoln Electric Holdings, Inc. 3,222 110
* Varian Semiconductor Equipment Associates, Inc. 2,804 108
* Flowserve Corp. 4,304 107
* Cymer, Inc. 2,794 105
* Axcelis Technologies, Inc. 7,674 95
* Electro Scientific Industries, Inc. 3,259 92
* Dionex Corp. 1,672 92
* Actuant Corp. 2,352 92
Mine Safety Appliances Co. 2,716 92
* Rayovac Corp. 3,238 91
* MKS Instruments, Inc. 3,983 91
* CUNO Inc. 1,660 89
The Manitowoc Co., Inc. 2,555 86
* FEI Co. 3,565 85
* William Lyon Homes, Inc. 914 84
* Interdigital Communications Corp. 4,382 82
* Esterline Technologies Corp. 2,774 82
* ATMI, Inc. 2,993 82
* Credence Systems Corp. 5,887 81
Technical Olympic USA, Inc. 3,526 79
NACCO Industries, Inc. Class A 824 78
A.O. Smith Corp. 2,400 76
* Littelfuse, Inc. 1,782 76
* Technitrol, Inc. 3,443 75
Franklin Electric, Inc. 1,956 74
* Meritage Corp. 1,066 73
Woodward Governor Co. 1,000 72
Baldor Electric Co. 3,061 71
Federal Signal Corp. 3,758 70
* Taser International Inc. 1,600 69
* Power-One, Inc. 6,265 69
* Mykrolis Corp. 3,881 68
* Photronics Inc. 3,560 67
* Brooks Automation, Inc. 3,332 67
Regal-Beloit Corp. 2,927 65
* Entegris Inc. 5,613 65
Stewart & Stevenson Services, Inc. 3,513 63
Tecumseh Products Co. Class A 1,512 62
* LTX Corp. 5,744 62
* Orbital Sciences Corp. 4,451 61
* Kulicke & Soffa Industries, Inc. 5,595 61
Watts Water Technologies, Inc. 2,238 60
* Photon Dynamics, Inc. 1,713 60
Curtiss-Wright Corp. Class B 1,094 59
* Powerwave Technologies, Inc. 7,639 59
JLG Industries, Inc. 4,196 58
* Ionics, Inc. 2,050 58
Helix Technology Corp. 2,701 58
* Paxar Corp. 2,900 57
Belden, Inc. 2,633 56
C & D Technologies, Inc. 3,149 56
* Cable Design Technologies Corp. 5,292 56
Kimball International, Inc. Class B 3,691 54
MTS Systems Corp. 2,300 54
* Moog Inc. 1,450 54
CTS Corp. 4,421 53
* Kadant Inc. 2,272 53
* FARO Technologies, Inc. 2,032 52
* Headwaters Inc. 2,000 52
* Teledyne Technologies, Inc. 2,582 52
* Itron, Inc. 2,253 52
* Gardner Denver Inc. 1,847 52
* Vicor Corp. 2,786 51
* Mattson Technology, Inc. 4,200 50
* Arris Group Inc. 8,355 50
Steelcase Inc. 3,510 49
* Symmetricom Inc. 5,419 48
* Imagistics International Inc. 1,347 48
* Audiovox Corp. 2,790 47
* Palm Harbor Homes, Inc. 2,645 47
* General Cable Corp. 5,352 46
* Magnatek, Inc. 5,390 45
* Genlyte Group, Inc. 700 44
* DuPont Photomasks, Inc. 2,152 44
* Presstek, Inc. 4,073 43
* Veeco Instruments, Inc. 1,654 43
* Champion Enterprises, Inc. 4,638 43
* Artesyn Technologies, Inc. 4,685 42
* General Binding Corp. 2,685 42
* Triumph Group, Inc. 1,300 42
* Advanced Energy Industries, Inc. 2,587 41
* Ultratech, Inc. 2,448 40
Lindsay Manufacturing Co. 1,642 39
Alamo Group, Inc. 2,394 38
* EnPro Industries, Inc. 1,650 38
X-Rite Inc. 2,435 35
* C-COR Electronics, Inc. 3,345 34
* Axsys Technologies, Inc. 1,536 34
* SBA Communications Corp. 7,477 33
* Zygo Corp. 2,931 33
* ESCO Technologies Inc. 600 32
HEICO Corp. 1,623 30
37
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
M/I Homes, Inc. 700 $ 28
* MTC Technologies, Inc. 1,100 28
* AZZ Inc. 1,865 28
* Levitt Corp. Class A 1,075 28
Thomas Industries, Inc. 800 27
* Blount International, Inc. 2,084 27
* Virco Manufacturing Corp. 3,740 26
United Industrial Corp. 1,100 26
* California Amplifier, Inc. 3,600 25
Met-Pro Corp. 1,673 25
Applied Industrial Technology, Inc. 800 24
* BE Aerospace, Inc. 3,140 24
Tech/Ops Sevcon, Inc. 4,019 24
Curtiss-Wright Corp. 416 23
* Paragon Technologies, Inc. 2,370 23
SpectraLink Corp. 1,500 22
* Aetrium, Inc. 3,024 22
The Middleby Corp. 400 22
Standex International Corp. 800 22
* Strategic Diagnostics Inc. 5,050 21
* Lancer Corp. 3,372 21
* Asyst Technologies, Inc. 2,038 21
* Baldwin Technology Class A 5,881 21
* FSI International, Inc. 2,666 21
* Mastec Inc. 3,811 21
* Proxim Corp. Class A 17,225 20
* Milacron Inc. 5,055 20
* Catalytica Energy Systems, Inc. 7,012 20
* Terayon Communications Systems, Inc. 8,314 19
* Ducommun, Inc. 800 17
* Tollgrade Communications, Inc. 1,609 17
Gorman-Rupp Co. 612 17
* Fairchild Corp. 3,873 17
* Park-Ohio Holdings Corp. 1,316 16
Paul Mueller Co. 488 15
* Sonic Solutions, Inc. 700 15
* BTU International, Inc. 2,880 15
* Arotech Corp. 6,122 13
* Distributed Energy Systems Corp. 4,650 13
* Therma-Wave Inc. 2,443 12
* Active Power, Inc. 3,664 12
BHA Group Holdings Inc. 300 11
* Cavalier Homes, Inc. 2,095 11
* EMCORE Corp. 3,364 11
Applied Signal Technology, Inc. 300 11
Keithley Instruments Inc. 465 10
* Cavco Industries, Inc. 248 10
* Perceptron, Inc. 1,378 10
* Electroglas, Inc. 1,784 10
* The Allied Defense Group, Inc. 500 9
Tennant Co. 200 8
* DDi Corp. 1,000 8
Skyline Corp. 200 8
* Somera Communications, Inc. 5,038 8
Cohu, Inc. 400 8
* Astec Industries, Inc. 400 8
* Darling International, Inc. 1,756 7
Astro-Med, Inc. 718 7
* Capital Pacific Holdings, Inc. 1,789 7
Robbins & Myers, Inc. 300 7
* Global Payment Tech Inc. 1,783 7
* Katy Industries, Inc. 1,331 7
Cascade Corp. 200 6
* Genus, Inc. 1,700 6
* Applied Films Corp. 200 6
* LMI Aerospace, Inc. 4,197 5
* Summa Industries 500 5
* American Superconductor Corp. 400 5
* Peco II, Inc. 6,467 5
* Applied Innovation Inc. 1,262 5
* TRC Cos., Inc. 300 5
* SatCon Technology Corp. 1,860 5
* Duratek, Inc. 300 5
* Bell Industries, Inc. 1,505 5
* Optical Cable Corp. 800 4
* Flanders Corp. 500 4
HEICO Corp. Class A 296 4
* Versar Inc. 800 4
* Copper Mountain Networks, Inc. 255 3
Woodhead Industries, Inc. 200 3
* Teleglobe International Holdings Ltd. 576 3
* American Access Technologies Inc. 1,753 3
* Team, Inc. 173 3
* Tut Systems, Inc. 783 2
* Airnet Communications Corp. 3,283 2
* Nanometrics Inc. 200 2
* Allied Motion Technologies, Inc. 301 1
* Serrento Networks Corp. 335 1
* UQM Technologies, Inc. 400 1
* ZEVEX International, Inc. 306 1
* General Bearing Corp. 196 1
* RF Monolithics, Inc. 73 1
* Andrea Radio Corp. 3,118 --
* DT Industries, Inc. 1,000 --
-------
47,745
-------
TECHNOLOGY (14.1%)
Microsoft Corp. 819,886 23,416
Intel Corp. 491,284 13,559
* Cisco Systems, Inc. 513,557 12,171
38
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
International Business Machines Corp. 127,932 $ 11,277
* Dell Inc. 192,860 6,908
Hewlett-Packard Co. 232,595 4,908
* Oracle Corp. 395,883 4,723
QUALCOMM Inc. 61,720 4,504
Motorola, Inc. 178,453 3,257
Texas Instruments, Inc. 131,489 3,179
* EMC Corp. 185,313 2,113
General Dynamics Corp. 15,200 1,509
* Corning, Inc. 104,609 1,366
Analog Devices, Inc. 28,603 1,347
Maxim Integrated Products, Inc. 24,478 1,283
Computer Associates International, Inc. 44,343 1,244
* Lucent Technologies, Inc. 326,430 1,234
Raytheon Co. 31,864 1,140
* Broadcom Corp. 23,727 1,110
* Sun Microsystems, Inc. 252,060 1,094
* Symantec Corp. 23,796 1,042
* Juniper Networks, Inc. 39,663 975
* Apple Computer, Inc. 29,028 945
Linear Technology Corp. 23,922 944
* Veritas Software Corp. 32,739 907
Xilinx, Inc. 26,368 878
Adobe Systems, Inc. 18,247 848
* Micron Technology, Inc. 46,692 715
Electronic Data Systems Corp. 36,906 707
* Computer Sciences Corp. 14,389 668
* Altera Corp. 29,006 645
* National Semiconductor Corp. 27,324 601
* Intuit, Inc. 15,191 586
* Network Appliance, Inc. 26,465 570
L-3 Communications Holdings, Inc. 8,141 544
Rockwell Automation, Inc. 14,329 537
* PeopleSoft, Inc. 28,755 532
* Avaya Inc. 33,615 531
* Affiliated Computer Services, Inc. Class A 9,840 521
Microchip Technology, Inc. 15,887 501
Seagate Technology 34,400 496
* Solectron Corp. 73,181 473
* Advanced Micro Devices, Inc. 26,592 423
* JDS Uniphase Corp. 110,345 418
* Siebel Systems, Inc. 38,294 409
Scientific-Atlanta, Inc. 11,632 401
* Jabil Circuit, Inc. 15,288 385
Autodesk, Inc. 8,634 370
* Sanmina-SCI Corp. 39,878 363
* NCR Corp. 7,246 359
* Mercury Interactive Corp. 7,074 352
* Unisys Corp. 25,225 350
Applera Corp.- Applied Biosystems Group 15,759 343
* Synopsys, Inc. 11,760 334
* Red Hat, Inc. 13,970 321
* BMC Software, Inc. 17,161 317
* Zebra Technologies Corp. Class A 3,564 310
* Cadence Design Systems, Inc. 20,879 305
* Comverse Technology, Inc. 14,704 293
* Tellabs, Inc. 31,872 279
* PanAmSat Corp. 11,450 266
* SanDisk Corp. 12,252 266
* Citrix Systems, Inc. 13,046 266
Symbol Technologies, Inc. 17,603 259
* NVIDIA Corp. 12,602 258
Harris Corp. 5,057 257
* Ceridian Corp. 11,322 255
* BEA Systems, Inc. 30,793 253
* UTStarcom, Inc. 8,258 250
* Cognizant Technology Solutions Corp. 9,676 246
* Storage Technology Corp. 8,458 245
* Novell, Inc. 29,080 244
* Arrow Electronics, Inc. 8,551 229
Intersil Corp. 10,536 228
* Vishay Intertechnology, Inc. 12,172 226
* Amphenol Corp. 6,720 224
* Network Associates, Inc. 12,298 223
* LSI Logic Corp. 28,949 221
* Agere Systems Inc. Class B 102,499 220
* Atmel Corp. 35,933 213
* Avnet, Inc. 9,226 209
* International Rectifier Corp. 5,020 208
ADTRAN Inc. 6,050 202
* Compuware Corp. 29,426 194
PerkinElmer, Inc. 9,599 192
* QLogic Corp. 7,178 191
AVX Corp. 13,160 190
National Instruments Corp. 5,965 183
* 3Com Corp. 29,215 183
* Silicon Laboratories Inc. 3,901 181
* ADC Telecommunications, Inc. 61,565 175
* Ingram Micro, Inc. Class A 11,523 167
* Akamai Technologies, Inc. 9,182 165
Acxiom Corp. 6,548 163
* CIENA Corp. 43,048 160
* SpectraSite, Inc. 3,700 160
* MEMC Electronic Materials, Inc. 15,791 156
* Conexant Systems, Inc. 34,846 151
* Integrated Circuit Systems, Inc. 5,444 148
39
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Fairchild Semiconductor International, Inc. 8,974 $ 147
* Foundry Networks, Inc. 10,301 145
* FLIR Systems, Inc. 2,520 138
* Advanced Fibre Communications, Inc. 6,787 137
* Rambus Inc. 7,694 137
* Western Digital Corp. 15,733 136
* Semtech Corp. 5,632 133
* Avocent Corp. 3,584 132
* BearingPoint, Inc. 14,806 131
* Cree, Inc. 5,605 130
* Cypress Semiconductor Corp. 9,188 130
* Sybase, Inc. 7,227 130
* Gateway, Inc. 28,579 129
* Hyperion Solutions Corp. 2,923 128
* TIBCO Software Inc. 14,995 127
* Macromedia, Inc. 5,137 126
* Avid Technology, Inc. 2,309 126
* Applied Micro Circuits Corp. 23,399 124
* Maxtor Corp. 18,700 124
* PalmOne, Inc. 3,494 121
* Gartner, Inc. Class A 9,100 120
Reynolds & Reynolds Class A 5,100 118
* Electronics for Imaging, Inc. 4,170 118
* Brocade Communications Systems, Inc. 19,664 118
Imation Corp. 2,733 116
* Siliconix, Inc. 2,304 114
* Varian, Inc. 2,711 114
* Perot Systems Corp. 8,395 111
* Integrated Device Technology Inc. 7,960 110
* Trimble Navigation Ltd. 3,946 110
* Amkor Technology, Inc. 13,207 108
* AMIS Holdings Inc. 6,300 107
* RF Micro Devices, Inc. 14,112 106
* Parametric Technology Corp. 20,716 104
* Silicon Image, Inc. 7,742 102
* Skyworks Solutions, Inc. 11,558 101
* Coherent, Inc. 3,357 100
* Microsemi Corp. 7,000 99
* Verint Systems Inc. 2,900 99
* ON Semiconductor Corp. 19,310 97
* CommScope, Inc. 4,512 97
* Wind River Systems Inc. 8,095 95
Anixter International Inc. 2,786 95
* Macrovision Corp. 3,764 94
* Quest Software, Inc. 7,280 94
* RSA Security Inc. 4,550 93
* FileNET Corp. 2,930 93
* UNOVA, Inc. 4,526 92
* Intergraph Corp. 3,523 91
* Emulex Corp. 6,330 91
* Sycamore Networks, Inc. 21,328 90
* CACI International, Inc. 2,200 89
* Benchmark Electronics, Inc. 3,050 89
* Sonus Networks, Inc. 18,508 88
* Micrel, Inc. 7,192 87
* Anteon International Corp. 2,660 87
* CSG Systems International, Inc. 4,189 87
* Openwave Systems Inc. 6,694 85
* RealNetworks, Inc. 12,416 85
* Tekelec 4,633 84
* Aspect Communications Corp. 5,902 84
* The Titan Corp. 6,403 83
* InVision Technologies, Inc. 1,664 83
* Manhattan Associates, Inc. 2,684 83
Black Box Corp. 1,753 83
* KEMET Corp. 6,710 82
* Mentor Graphics Corp. 5,275 82
* Transaction Systems Architects, Inc. 3,710 80
* Vitesse Semiconductor Corp. 16,264 79
* Aeroflex, Inc. 5,536 79
* FormFactor Inc. 3,500 79
* Digital River, Inc. 2,404 78
* SafeNet, Inc. 2,823 78
* Sapient Corp. 12,787 77
* Ascential Software Corp. 4,694 75
* Websense, Inc. 2,000 74
* Silicon Storage Technology, Inc. 7,150 74
* Epicor Software Corp. 5,197 73
* Opsware, Inc. 9,072 72
* Adaptec, Inc. 8,464 72
* Keane, Inc. 5,197 71
* F5 Networks, Inc. 2,678 71
* Newport Corp. 4,356 70
* WebEx Communications, Inc. 3,229 70
* Pixelworks, Inc. 4,556 70
* Digitas Inc. 6,238 69
* Dendrite International, Inc. 3,681 68
* Artisan Components, Inc. 2,636 68
* SonicWALL, Inc. 7,891 68
* OmniVision Technologies, Inc. 4,200 67
* DSP Group Inc. 2,453 67
* Intermagnetics General Corp. 1,960 67
* SERENA Software, Inc. 3,463 66
* Progress Software Corp. 2,991 65
* Exar Corp. 4,377 64
* Internet Security Systems, Inc. 4,172 64
EDO Corp. 2,640 64
* Magma Design Automation, Inc. 3,300 63
40
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* ANSYS, Inc. 1,344 $ 63
* NetIQ Corp. 4,779 63
* ViaSat, Inc. 2,500 62
* Lattice Semiconductor Corp. 8,845 62
* Power Integrations, Inc. 2,475 62
* Zoran Corp. 3,285 60
* Borland Software Corp. 7,021 60
* Cirrus Logic 9,805 59
* Ciber, Inc. 7,113 58
* Agere Systems Inc. Class A 24,959 57
* Ulticom, Inc. 4,897 57
Cubic Corp. 2,724 57
* TriQuint Semiconductor, Inc. 10,426 57
* ChipPAC, Inc. 9,068 57
* Checkpoint Systems, Inc. 3,110 56
* Informatica Corp. 7,308 56
* j2 Global Communications, Inc. 1,996 55
* ESS Technology, Inc. 5,175 55
* Altiris, Inc. 2,000 55
* SRA International, Inc. 1,300 55
* Quantum Corp. 17,735 55
* Ditech Communications Corp. 2,329 54
* SigmaTel Inc. 1,856 54
* Ixia 5,467 54
* Tyler Technologies, Inc. 5,666 54
Bel Fuse, Inc. Class A 1,477 53
* Corvis Corp. 37,565 53
* Inet Technologies, Inc. 4,212 53
* MICROS Systems, Inc. 1,094 52
* Echelon Corp. 4,549 51
Syntel, Inc. 3,063 51
* Extreme Networks, Inc. 9,124 50
* Vignette Corp. 29,966 50
* Harmonic, Inc. 5,833 50
* Hutchinson Technology, Inc. 2,016 50
Agilysys, Inc. 3,591 50
* DRS Technologies, Inc. 1,544 49
* Integrated Silicon Solution, Inc. 4,033 49
* MRO Software Inc. 3,596 49
* Sykes Enterprises, Inc. 6,471 49
* Advanced Digital Information Corp. 5,031 49
* Infonet Services Corp. 27,586 48
* McDATA Corp. Class A 8,973 48
* Mercury Computer Systems, Inc. 1,921 48
* webMethods, Inc. 5,497 47
* SeaChange International, Inc. 2,765 47
* Embarcadero Technologies, Inc. 3,748 46
* Packeteer, Inc. 2,854 46
* MIPS Technologies, Inc. 7,483 46
* Keynote Systems Inc. 3,329 46
* Micromuse Inc. 6,747 45
* Agile Software Corp. 5,155 45
* Plexus Corp. 3,274 44
* Interwoven Inc. 4,379 44
* EMS Technologies, Inc. 2,231 43
* TTM Technologies, Inc. 3,634 43
* I.D. Systems, Inc. 2,818 42
* FalconStor Software, Inc. 5,418 42
* Ariba, Inc. 21,121 42
Talx Corp. 1,700 42
* The TriZetto Group, Inc. 6,192 41
* Secure Computing Corp. 3,540 41
* SupportSoft, Inc. 4,741 41
* JDA Software Group, Inc. 3,088 41
* OPNET Technologies, Inc. 3,104 41
* Mapics Inc. 3,848 41
* Entrust, Inc. 8,998 40
Inter-Tel, Inc. 1,614 40
* Lexar Media, Inc. 6,023 40
* InFocus Corp. 4,671 40
* eCollege.com Inc. 2,475 40
* Pinnacle Systems, Inc. 5,519 39
* Hifn, Inc. 3,266 39
* Covansys Corp. 3,740 39
* Remec, Inc. 6,030 38
* Mindspeed Technologies, Inc. 7,618 38
* Carrier Access Corp. 3,154 38
Methode Electronics, Inc. Class A 2,893 38
* MatrixOne, Inc. 5,418 37
* IXYS Corp. 4,747 37
* Lawson Software Inc. 5,200 37
* SPSS, Inc. 2,031 36
* Cray Inc. 5,500 36
* Interactive Intelligence Inc. 6,083 36
* Pericom Semiconductor Corp. 3,380 36
* MicroStrategy Inc. 843 36
* ScanSource, Inc. 600 36
* Finisar Corp. 17,994 36
* Group 1 Software, Inc. 1,536 35
* Enterasys Networks, Inc. 16,652 35
Iomega Corp. 6,288 35
* Bottomline Technologies, Inc. 3,300 35
* Netegrity, Inc. 3,997 34
* Identix, Inc. 4,513 34
* Transmeta Corp. 15,389 34
* Pegasystems Inc. 3,788 33
* PLX Technology, Inc. 1,900 33
* Blue Coat Systems, Inc. 978 33
* Novatel Wireless, Inc. 1,231 33
* Kopin Corp. 6,294 32
41
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Safeguard Scientifics, Inc. 13,946 $ 32
* Extended Systems Inc. 6,414 32
* E.piphany Inc. 6,636 32
* Anaren, Inc. 1,960 32
* NMS Communications Corp. 4,321 32
* SeeBeyond Technology Corp. 8,403 32
* Answerthink Consulting Group, Inc. 5,511 32
* Xicor, Inc. 2,030 31
* InterVoice, Inc. 2,669 31
* Alliance Semiconductor Corp. 5,110 30
* PEC Solutions, Inc. 2,500 30
* Zix Corp. 3,704 29
* Retek Inc. 4,775 29
* Tessera Technologies, Inc. 1,624 29
* PC-Tel, Inc. 2,475 29
* Stratex Networks, Inc. 9,762 29
* Aether Systems, Inc. 8,337 29
* Avanex Corp. 7,346 29
* Gerber Scientific, Inc. 4,036 28
* Clarus Corp. 2,461 28
* Sirenza Microdevices, Inc. 6,774 28
* MSC Software Corp. 3,100 28
* Aspen Technologies, Inc. 3,811 28
* WatchGuard Technologies, Inc. 3,827 28
* TippingPoint Technologies Inc. 1,079 27
* Equinix, Inc. 802 27
* SCM Microsystems, Inc. 4,186 27
* Jupitermedia Corp. 1,906 27
* Universal Display Corp. 2,500 27
* QAD Inc. 2,499 27
* Radiant Systems, Inc. 5,607 26
* LCC International, Inc. Class A 5,363 26
* Manugistics Group, Inc. 7,983 26
* Verity, Inc. 1,918 26
* Aware, Inc. 6,553 26
* Phoenix Technologies Ltd. 3,670 26
* Captaris Inc. 3,923 25
* Mechanical Technology Inc. 4,184 25
* iGATE Corp. 6,274 25
* ActivCard Corp. 3,400 25
* Witness Systems, Inc. 2,006 24
* COMARCO, Inc. 3,450 24
* Actel Corp. 1,300 24
* Silicon Graphics, Inc. 10,760 24
* NETGEAR, Inc. 2,200 24
* MRV Communications Inc. 8,615 24
* Chordiant Software, Inc. 5,093 23
* BindView Development Corp. 6,537 23
* Numerex Corp. 4,974 23
* Dynamics Research Corp. 1,261 23
* Comtech Telecommunications Corp. 1,000 23
* Concord Communications, Inc. 1,975 23
* ManTech International Corp. 1,200 23
* Stellent Inc. 2,632 22
* Virage Logic Corp. 2,453 22
* SiRF Technology Holdings, Inc. 1,700 22
* EPIQ Systems, Inc. 1,500 22
* NYFIX, Inc. 4,410 22
* Herley Industries Inc. 1,102 22
* Westell Technologies, Inc. 4,201 21
* Datastream Systems, Inc. 3,299 21
* Selectica, Inc. 4,294 20
* Actuate Software Corp. 5,144 20
* Concurrent Computer Corp. 9,854 20
* Drexler Technology Corp. 1,461 19
* Merix Corp. 1,710 19
* TranSwitch Corp. 10,935 19
* Standard Microsystem Corp. 826 19
* Analysts International Corp. 6,206 19
* Genesis Microchip Inc. 1,366 19
* WJ Communications, Inc. 5,246 19
* Avici Systems Inc. 1,376 19
* Glenayre Technologies, Inc. 7,769 18
* PDF Solutions, Inc. 2,100 18
Park Electrochemical Corp. 700 18
* Paradyne Networks, Inc. 3,175 17
* Oplink Communications, Inc. 9,088 17
* Digi International, Inc. 1,621 17
* PalmSource, Inc. 1,007 17
* Net2Phone, Inc. 3,773 17
* Telular Corp. 2,339 17
* Verso Technologies, Inc. 9,594 17
* VA Software Corp. 6,843 17
* Netopia, Inc. 2,531 17
* Corio, Inc. 7,620 17
* Tumbleweed Communications Corp. 3,880 17
* Marimba, Inc. 1,981 16
* Bioveris Corp. 1,914 16
* Centillium Communications, Inc. 4,148 16
* Computer Horizons Corp. 3,949 16
* Captiva Software Corp. 1,620 16
* Zhone Technologies 3,992 16
* At Road, Inc. 2,000 15
* Roxio, Inc. 3,088 15
* Intellisync Corp. 5,258 15
* MetaSolv, Inc. 5,311 15
* Daktronics, Inc. 600 15
* Atheros Communications 1,418 15
* Interlink Electronics Inc. 1,500 15
42
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Optical Communication Products, Inc. 5,929 $ 14
* SYNNEX Corp. 900 14
* Zomax Inc. 3,737 14
* Nuance Communications Inc. 3,079 14
* Sumtotal Systems Inc. 2,141 14
* Network Equipment Technologies, Inc. 1,700 14
* BroadVision, Inc. 3,249 14
* Sipex Corp. 2,394 14
* Three-Five Systems, Inc. 2,665 14
* Mobius Management Systems, Inc. 2,203 14
* Synaptics Inc. 700 13
* Verisity Ltd. 2,200 13
* Ramtron International Corp. 2,886 13
Integral Systems, Inc. 799 13
* KVH Industries, Inc. 1,000 13
* Open Solutions Inc. 500 12
* ScanSoft, Inc. 2,521 12
* Dot Hill Systems Corp. 1,100 12
* Fargo Electronics 1,100 12
* QuickLogic Corp. 3,495 12
* Nu Horizons Electronics Corp. 1,354 12
* RadiSys Corp. 656 12
* NASSDA Corp. 2,900 12
Sunrise Telecom Inc. 4,513 12
BEI Technologies, Inc. 400 12
SS&C Technologies, Inc. 600 11
* Art Technology Group, Inc. 9,046 11
* Braun Consulting, Inc. 5,992 11
* Visual Networks, Inc. 3,538 11
* ImageWare Systems, Inc. 3,800 10
* Docucorp International, Inc. 1,179 10
* Computer Task Group, Inc. 2,557 10
* Excel Technology, Inc. 300 10
* Neoware Systems, Inc. 1,200 10
* Niku Corp. 871 10
* Digital Lightwave, Inc. 5,717 10
Lowrance Electronics, Inc. 318 10
* All American Semiconductor, Inc. 1,057 10
* Applix, Inc. 2,208 10
* Vyyo Inc. 1,423 9
* II-VI, Inc. 300 9
* Inforte Corp. 907 9
* Vitria Technology, Inc. 2,928 9
* Viewpoint Corp. 4,486 9
* Technology Solutions Co. 7,836 8
* Wave Systems Corp. 6,508 8
Celeritek, Inc. 2,197 8
* SteelCloud Inc. 3,121 8
* Lantronix, Inc. 6,475 8
TSR, Inc. 1,253 8
* Tripath Technology Inc. 2,491 8
* Centra Software, Inc. 3,329 7
* Komag, Inc. 524 7
* Merge Technologies, Inc. 500 7
* ePlus Inc. 683 7
* Click Commerce, Inc. 1,239 7
* NetManage, Inc. 877 7
* Ebix, Inc. 487 7
* AuthentiDate Holding Corp. 600 7
* Internet Capital Group Inc 825 6
* Lionbridge Technologies, Inc. 800 6
* Cherokee International Corp. 533 6
* WorldGate Communications, Inc. 2,858 6
* Computer Network Technology Corp. 1,000 6
* Kana Software, Inc. 2,458 6
* Omtool, Ltd. 596 6
* ONYX Software Corp. 1,345 6
* Blue Martini Software, Inc. 1,258 6
* AXT, Inc. 2,800 5
* Forgent Networks, Inc. 3,983 5
* TechTeam Global, Inc. 600 5
* I-many, Inc. 4,500 5
* Loudeye Corp. 3,369 5
* SAVVIS Communications Corp. 3,840 5
* Saba Software, Inc. 1,374 5
* Channell Commercial Corp. 1,100 5
* Intraware, Inc. 2,604 5
* Micro Linear Corp. 800 5
* Staktek Holdings Inc. 861 5
* Norstan, Inc. 1,483 4
* Stratos International Inc. 802 4
* Network Engines, Inc. 1,561 4
* The SCO Group, Inc. 705 4
* VIA NET.WORKS, Inc. 5,204 4
* Crossroads Systems, Inc. 2,314 4
* Leadis Technology Inc. 300 4
* eLoyalty Corp. 614 4
* BSQUARE Corp. 3,786 4
* MTI Technology Corp. 2,045 4
* Stratasys, Inc. 150 4
* Versant Corp. 2,795 4
* PowerDsine Ltd. 300 4
* Argonaut Technologies Inc. 2,664 4
* LightPath Technologies, Inc.Class A 568 3
* Quovadx, Inc. 2,693 3
* Concur Technologies, Inc. 300 3
* Astea International, Inc. 330 3
43
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* Primus Knowledge Solutions, Inc. 1,489 $ 3
* Cosine Communications, Inc. 623 3
* Superconductor Technologies Inc. 2,100 3
* ACT Teleconferencing, Inc. 1,000 3
* Applied Digital Solutions, Inc. 1,000 2
* DigitalNet Holdings, Inc. 100 2
* IPIX Corp. 143 2
* Insightful Corp. 884 2
* Plumtree Software, Inc. 500 2
* Interland, Inc. 655 2
* Critical Path, Inc. 1,328 2
* Ezenia!, Inc. 2,547 2
* HEI, Inc. 700 2
Net Perceptions, Inc. 2,405 2
* Versata, Inc. 832 2
* On2 Technologies, Inc. 2,193 2
* Axeda Systems Inc. 1,400 1
* GraphOn Corp. 2,730 1
* ACE Corp. 593 1
* Research Frontiers, Inc. 200 1
* Redback Networks Inc. 217 1
* Amtech Systems, Inc. 269 1
* Larscom Inc. 284 1
Dynabazaar, Inc. 3,795 1
* NaviSite, Inc. 293 1
* DSL.Net, Inc. 3,371 1
* Storage Computer Corp. 2,856 1
* Artisoft, Inc. 366 1
* The A Consulting Team, Inc. 114 1
* Ampex Corp. Class A 437 1
* Pemstar Inc. 300 1
* GoAmerica, Inc. 630 1
* Callidus Software Inc. 100 1
* eGain Communications Corp. 436 --
* Network-1 Security Solutions, Inc. 975 --
* Universal Access Global Holdings Inc. 287 --
* Navidec, Inc. 182 --
* NexPrise, Inc. 106 --
* Cogent Communications Group, Inc. 65 --
* Media 100 Inc. 1,614 --
---------
148,165
---------
UTILITIES (6.2%)
Verizon Communications Inc. 210,359 7,613
SBC Communications Inc. 252,422 6,121
* Comcast Corp. Class A 145,568 4,080
BellSouth Corp. 139,296 3,652
* AT&T Wireless Services Inc. 208,129 2,980
* Nextel Communications, Inc. 81,563 2,174
Sprint Corp. 101,512 1,787
Exelon Corp. 50,442 1,679
Southern Co. 56,402 1,644
Dominion Resources, Inc. 24,899 1,571
Duke Energy Corp. 69,516 1,410
* Cox Communications, Inc.Class A 45,507 1,265
ALLTEL Corp. 23,348 1,182
TXU Corp. 24,804 1,005
Entergy Corp. 17,506 981
American Electric Power Co., Inc. 30,249 968
FirstEnergy Corp. 25,230 944
FPL Group, Inc. 14,172 906
AT&T Corp. 60,519 885
* PG&E Corp. 30,357 848
Progress Energy, Inc. 18,785 827
Consolidated Edison Inc. 18,228 725
* Comcast Corp. Special Class A 26,044 719
Public Service Enterprise Group, Inc. 17,958 719
Edison International 25,017 641
PPL Corp. 13,554 622
Sempra Energy 17,357 598
Ameren Corp. 13,880 596
Kinder Morgan, Inc. 9,477 562
DTE Energy Co. 13,266 538
Cinergy Corp. 13,643 518
Xcel Energy, Inc. 30,574 511
* Qwest Communications International Inc. 135,902 488
Constellation Energy Group, Inc. 12,811 486
* AES Corp. 47,891 476
KeySpan Corp. 12,158 446
NiSource, Inc. 20,000 412
* NTL Inc. 6,618 381
* Cablevision Systems NY Group Class A 16,865 332
CenturyTel, Inc. 11,000 330
Telephone & Data Systems, Inc. 4,364 311
SCANA Corp. 8,431 307
Wisconsin Energy Corp. 9,040 295
Pinnacle West Capital Corp. 7,020 284
Energy East Corp. 11,091 269
CenterPoint Energy Inc. 23,341 268
* Citizens Communications Co. 21,717 263
* U.S. Cellular Corp. 6,542 252
Questar Corp. 6,296 243
Pepco Holdings, Inc. 13,038 238
* Nextel Partners, Inc. 13,918 222
Alliant Energy Corp. 8,430 220
MDU Resources Group, Inc. 8,829 212
44
- -------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE^
Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
* UnitedGlobalCom Inc. Class A 28,925 $ 210
NSTAR 4,103 196
Northeast Utilities 9,635 188
DPL Inc. 9,647 187
* Western Wireless Corp. Class A 6,415 185
* Level 3 Communications, Inc. 51,833 184
ONEOK, Inc. 7,862 173
Western Gas Resources, Inc. 5,314 173
TECO Energy, Inc. 14,322 172
Great Plains Energy, Inc. 5,691 169
OGE Energy Corp. 6,588 168
Puget Energy, Inc. 7,418 163
Hawaiian Electric Industries Inc. 6,064 158
National Fuel Gas Co. 6,236 156
* Allegheny Energy, Inc. 9,787 151
Vectren Corp. 5,746 144
Aqua America, Inc. 7,113 143
AGL Resources Inc. 4,855 141
* Kinder Morgan Management, LLC 3,721 137
Energen Corp. 2,732 131
WPS Resources Corp. 2,772 128
Westar Energy, Inc. 6,446 128
UGI Corp. Holding Co. 3,888 125
Piedmont Natural Gas, Inc. 2,861 122
Peoples Energy Corp. 2,843 120
* Southern Union Co. 5,554 117
NICOR Inc. 3,341 113
* CMS Energy Corp. 12,266 112
Duquesne Light Holdings, Inc. 5,786 112
WGL Holdings Inc. 3,788 109
Atmos Energy Corp. 4,154 106
* Southwestern Energy Co. 3,572 102
Avista Corp. 5,245 97
PNM Resources Inc. 4,649 97
UniSource Energy Corp. 3,650 91
New Jersey Resources Corp. 2,123 88
* Cincinnati Bell Inc. 18,732 83
Black Hills Corp. 2,612 82
* Centennial Communications Corp. Class A 11,480 82
IDACORP, Inc. 3,000 81
* Commonwealth Telephone Enterprises, Inc. 1,784 80
* Price Communications Corp. 5,162 76
Cleco Corp. 4,164 75
Southwest Gas Corp. 3,016 73
MGE Energy, Inc. 2,221 72
* Sierra Pacific Resources 9,150 71
CH Energy Group, Inc. 1,506 70
* PTEK Holdings, Inc. 5,968 69
Northwest Natural Gas Co. 2,233 68
UIL Holdings Corp. 1,379 67
The Laclede Group, Inc. 2,300 63
Otter Tail Corp. 2,258 61
* Mediacom Communications Corp. 7,745 61
* Aquila, Inc. 16,582 59
Empire District Electric Co. 2,904 58
* El Paso Electric Co. 3,300 51
Surewest Communications 1,600 51
SJW Corp. 1,383 47
* UbiquiTel Inc. 10,558 45
Central Vermont Public Service Corp. 2,082 43
Connecticut Water Services, Inc. 1,606 41
Middlesex Water Co. 2,040 40
* Primus Telecommunications Group, Inc. 6,670 34
* Triton PCS, Inc. 7,286 32
* IDT Corp. 1,658 30
Green Mountain Power Corp. 1,099 29
* Alamosa Holdings, Inc. 3,700 27
* IDT Corp. Class B 1,458 27
* Dobson Communications Corp. 8,200 27
South Jersey Industries, Inc. 600 26
* Hector Communications Corp. 1,219 25
* Talk America Holdings, Inc. 3,135 24
* Time Warner Telecom Inc. 5,653 24
* Global Crossing Ltd. 1,500 23
American States Water Co. 971 23
* General Communication, Inc. 2,800 22
NUI Corp. 1,411 21
Maine & Maritimes Corp. 624 20
California Water Service Group 500 14
Atlantic Tele-Network, Inc. 380 12
Cascade Natural Gas Corp. 500 11
* Covista Communications, Inc. 3,805 10
Southwest Water Co. 753 9
D&E Communications, Inc. 629 8
Shenandoah Telecommunications Co. 310 8
* Intrado Inc. 500 8
* Penn Octane Corp. 3,564 7
* BayCorp Holdings, Ltd. 500 6
* Hungarian Telephoneand Cable Corp. 300 3
* Z-Tel Technologies, Inc. 1,950 3
* McLeod USA Inc. 3,739 2
* RCN Corp. 10,437 1
* Pac-West Telecom, Inc. 1,175 1
* FiberNet Telecom Group, Inc. 10 --
--------
65,288
--------
45
- -------------------------------------------------------------------------------------------------------------------------
MARKET
INSTITUTIONAL TOTAL STOCK VALUE^
MARKET INDEX FUND Shares (000)
- ------------------------------------------------------------------------------------------------------------------------
OTHER (4.5%)
General Electric Co. 791,667 $ 25,650
* Berkshire Hathaway Inc.Class A 87 7,739
3M Co. 59,582 5,363
Honeywell International Inc. 65,267 2,391
Fortune Brands, Inc. 11,176 843
Johnson Controls, Inc. 14,486 773
Eaton Corp. 11,694 757
Textron, Inc. 10,596 629
ITT Industries, Inc. 7,104 590
Brunswick Corp. 7,273 297
Hillenbrand Industries, Inc. 4,704 284
SPX Corp. 5,816 270
Allete, Inc. 6,638 221
Wesco Financial Corp. 558 202
Teleflex Inc. 3,064 154
Carlisle Co., Inc. 2,316 144
Lancaster Colony Corp. 2,747 114
Trinity Industries, Inc. 3,527 112
GenCorp, Inc. 5,889 79
* Global Signal, Inc. 3,400 75
Walter Industries, Inc. 5,091 69
* McDermott International, Inc. 6,735 68
* Sequa Corp. Class A 615 36
* United Capital Corp. 1,046 18
Raven Industries, Inc. 500 18
* Foster Wheeler Ltd. 6,755 9
* Xanser Corp. 2,966 7
Kaman Corp. Class A 400 6
* Adesa, Inc. 100 2
---------
46,920
---------
- --------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $965,326) 1,043,425
- --------------------------------------------------------------------------------------------------------------------
Face
Amount
(000)
- --------------------------------------------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (0.9%)(1)
- --------------------------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSN.
(2) 1.05%, 7/14/2004 $1,000 1,000
REPURCHASE AGREEMENTS
Collateralized by U.S. Government
Obligations in a Pooled
Cash Account
1.47%, 7/1/2004 5,749 5,749
1.47%, 7/1/2004--Note E 3,027 3,027
- --------------------------------------------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $9,776) 9,776
- --------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.2%)
(Cost $975,102) 1,053,201
- --------------------------------------------------------------------------------------------------------------------
Market
Value*
(000)
- --------------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.2%)
- --------------------------------------------------------------------------------------------------------------------
Other Assets $ 1,739
Liabilities--Note E (3,653)
----------
(1,914)
---------
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS (100%) $1,051,287
====================================================================================================================
^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
100.1% and 0.1%, respectively, of net assets. See Note C in Notes to Financial
Statements.
(2)Security segregated as initial margin for open futures contracts.
REIT--Real Estate Investment Trust.
====================================================================================================================
AT JUNE 30, 2004, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------------------------------------------
Amount
(000)
- --------------------------------------------------------------------------------------------------------------------
Paid-in Capital $1,127,254
Undistributed Net Investment Income 511
Accumulated Net Realized Losses (154,693)
Unrealized Appreciation
Investment Securities 78,099
Futures Contracts 116
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS $1,051,287
====================================================================================================================
Institutional Shares--Net Assets
Applicable to 23,409,232 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $564,114
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL SHARES $24.10
====================================================================================================================
Institutional Plus Shares--Net Assets
Applicable to 20,215,464 outstanding $.001
par value shares of beneficial interest
(unlimited authorization) $487,173
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE--
INSTITUTIONAL PLUS SHARES $24.10
====================================================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net
assets.
46
STATEMENT OF OPERATIONS
This Statement shows the types of income earned by the fund during the reporting
period, and details the operating expenses charged to each class of its shares.
These expenses directly reduce the amount of investment income available to pay
to shareholders as income dividends. This Statement also shows any Net Gain
(Loss) realized on the sale of investments, and the increase or decrease in the
Unrealized Appreciation (Depreciation) of investments during the period.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK
MARKET INDEX FUND
Six Months Ended June 30, 2004
(000)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Income
Dividends $ 7,712
Interest 30
Security Lending 35
- --------------------------------------------------------------------------------
Total Income 7,777
- --------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Management and Administrative
Institutional Shares 166
Institutional Plus Shares 60
- --------------------------------------------------------------------------------
Total Expenses 226
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 7,551
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 847
Futures Contracts 404
- --------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 1,251
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Investment Securities 32,631
Futures Contracts (86)
- --------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 32,545
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $41,347
================================================================================
47
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how the fund's total net assets changed during the two most
recent reporting periods. The Operations section summarizes information detailed
in the Statement of Operations. The amounts shown as Distributions to
shareholders from the fund's net income and capital gains may not match the
amounts shown in the Operations section, because distributions are determined on
a tax basis and may be made in a period different from the one in which the
income was earned or the gains were realized on the financial statements. The
Capital Share Transactions section shows the net amount shareholders invested in
or redeemed from the fund. Distributions and Capital Share Transactions are
shown separately for each class of shares.
- --------------------------------------------------------------------------------
INSTITUTIONAL TOTAL STOCK
MARKET INDEX FUND
---------------------------------
Six Months Year
Ended Ended
June 30, 2004 Dec. 31, 2003
(000) (000)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net Investment Income $ 7,551 $ 15,679
Realized Net Gain (Loss) 1,251 (34,979)
Change in Unrealized Appreciation
(Depreciation) 32,545 287,848
- --------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 41,347 268,548
- --------------------------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income
Institutional Shares (3,696) (5,582)
Institutional Plus Shares (3,321) (10,097)
Realized Capital Gain
Institutional Shares -- --
Institutional Plus Shares -- --
- --------------------------------------------------------------------------------
Total Distributions (7,017) (15,679)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS--Note F
Institutional Shares (17,697) 230,314
Institutional Plus Shares (7,590) (366,054)
- --------------------------------------------------------------------------------
Net Increase (Decrease) from
Capital Share Transactions (25,287) (135,740)
- --------------------------------------------------------------------------------
Total Increase (Decrease) 9,043 117,129
- --------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,042,244 925,115
- --------------------------------------------------------------------------------
End of Period $1,051,287 $1,042,244
================================================================================
48
FINANCIAL HIGHLIGHTS
This table summarizes the fund's investment results and distributions to
shareholders on a per-share basis for each class of shares. It also presents the
Total Return and shows net investment income and expenses as percentages of
average net assets. These data will help you assess: the variability of the
fund's net income and total returns from year to year; the relative
contributions of net income and capital gains to the fund's total return; how
much it costs to operate the fund; and the extent to which the fund tends to
distribute capital gains. The table also shows the Portfolio Turnover Rate, a
measure of trading activity. A turnover rate of 100% means that the average
security is held in the fund for one year.
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES
- -------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUG. 31* TO
JUNE 30, DECEMBER 31, DEC. 31,
--------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $23.33 $18.00 $23.10 $22.72
- ------------------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income .17 .33 .32 .098
Net Realized and Unrealized Gain (Loss) on Investments .76 5.33 (5.10) .421
- ------------------------------------------------------------------------------------------------------
Total from Investment Operations .93 5.66 (4.78) .519
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.16) (.33) (.32) (.139)
Distributions from Realized Capital Gains -- -- -- --
- ------------------------------------------------------------------------------------------------------
Total Distributions (.16) (.33) (.32) (.139)
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.10 $23.33 $18.00 $23 10
=======================================================================================================
Total Return 4.00% 31.70% -20.77% 2.33%
========================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $564 $563 $245 $358
Ratio of Total Expenses to Average Net Assets 0.06%** 0.06% 0.06% 0.06%**
Ratio of Net Investment Income to Average Net Assets 1.44%** 1.62% 1.45% 1.33%**
Portfolio Turnover Rate 8%** 11% 9% 15%
========================================================================================================
*Inception.
**Annualized.
49
FINANCIAL HIGHLIGHTS (continued)
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL PLUS SHARES
- ------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended May 31* to
June 30, December 31, Dec. 31,
-------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2004 2003 2002 2001
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $23.33 $18.00 $23.10 $25.00
- ------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .175 .337 .327 .151
Net Realized and Unrealized Gain (Loss) on Investments .759 5.330 (5.100) (1.900)
Total from Investment Operations .934 5.667 (4.773) (1.749)
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.164) (.337) (.327) (.151)
Distributions from Realized Capital Gains -- -- -- --
- ------------------------------------------------------------------------------------------------------
Total Distributions (.164) (.337) (.327) (.151)
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $24.10 $23.33 $18.00 $23.10
=======================================================================================================
TOTAL RETURN 4.02% 31.74% -20.74% -6.96%
=======================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $487 $479 $680 $1,189
Ratio of Total Expenses to Average Net Assets 0.025%** 0.025% 0.025% 0.025%**
Ratio of Net Investment Income to Average Net Assets 1.48%** 1.64% 1.48% 1.36%**
Portfolio Turnover Rate 8%** 11% 9% 15%
=======================================================================================================
*Inception.
**Annualized.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
50
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.
51
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.
The fund's tax-basis capital gains and losses are determined only at the end of
each fiscal year. For tax purposes, at December 31, 2003, 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. The fund
will use these capital losses to offset net taxable capital gains, if any,
realized during the year ending December 31, 2004; should the fund realize net
capital losses for the year, the losses will be added to the loss carryforward
balances above.
At June 30, 2004, net unrealized appreciation of investment securities for tax
purposes was $78,099,000, consisting of unrealized gains of $190,595,000 on
securities that had risen in value since their purchase and $112,496,000 in
unrealized losses on securities that had fallen in value since their purchase.
At June 30, 2004, the aggregate settlement value of open futures contracts
expiring in September 2004 and the related unrealized appreciation
(depreciation) were:
- --------------------------------------------------------------------------------
(000)
--------------------------------------
Aggregate Unrealized
Number of Settlement Appreciation
Futures Contracts Long Contracts Value (Depreciation)
- --------------------------------------------------------------------------------
S&P 500 Index 23 $6,557 $47
Russell 2000 Index 4 1,185 48
S&P MidCap 400 Index 3 912 21
- --------------------------------------------------------------------------------
Unrealized appreciation (depreciation) on open futures contracts is required to
be treated as realized gain (loss) for tax purposes.
D. During the six months ended June 30, 2004, the fund purchased $42,504,000 of
investment securities and sold $67,489,000 of investment securities, other than
temporary cash investments.
52
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
E. The market value of securities on loan to broker/dealers at June 30, 2004,
was $2,587,000, for which the fund held cash collateral of $3,027,000. The fund
invests cash collateral received in repurchase agreements, and records a
liability for the return of the collateral, during the period the securities are
on loan.
F. Capital share transactions for each class of shares were:
- -------------------------------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2004 December 31, 2003
-------------------------- -------------------------
Amount Shares Amount Shares
- -------------------------------------------------------------------------------------------------
(000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------
Institutional Shares
Issued $47,834 2,020 $290,822 13,540
Issued in Lieu of Cash Distributions 2,736 116 4,901 235
Redeemed (68,267) (2,863) (65,409) (3,260)
--------------------------------------------------
Net Increase (Decrease)--Institutional Shares (17,697) (727) 230,314 10,515
--------------------------------------------------
Institutional Plus Shares
Issued 1,157 48 53,910 2,434
Issued in Lieu of Cash Distributions 290 12 1,781 90
Redeemed (9,037) (378) (421,745) (19,760)
--------------------------------------------------
Net Increase (Decrease)--Institutional
Plus Shares (7,590) (318) (366,054) (17,236)
- -------------------------------------------------------------------------------------------------
53
INVESTING IS FAST, EASY, AND SECURE ON VANGUARD.COM
If you're like many Vanguard investors, you believe in planning and taking
control of your own investments. Vanguard.com was built for you--and it keeps
getting better.
RESEARCH AND PLAN YOUR INVESTMENTS WITH CONFIDENCE
Use our Planning & Advice and Research Funds & Stocks sections to:
* Determine what asset allocation might best suit your needs--by taking our
Investor Questionnaire.
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education-- by using our planning tools.
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guides.
* Find your next fund--by using the Compare Funds, Compare Costs, and Narrow
Your Fund Choices tools.
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INVEST AND MANAGE ACCOUNTS WITH EASE
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Find out what Vanguard.com can do for you. Log on today!
54
- --------------------------------------------------------------------------------
CAPITALIZE ON YOUR IRA
- --------------------------------------------------------------------------------
Are you taking full advantage of your individual retirement account? You really
should be. These tax-deferred accounts are powerful options for retirement
savers.
Here's how you can exploit your IRA--and improve your chances of having the
retirement of your dreams.
CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR
It may be an obvious point, but if you invest as much in your IRA as the law
allows--currently $3,000 per tax year if you are under age 50 and $3,500 if you
are age 50 or over--you will increase the odds of meeting your retirement goals.
"Max out" every year you can.
MAKE IT AUTOMATIC
Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment
Plan. Your IRA contributions will be deducted from your bank account on a
schedule of your choosing, making retirement investing a healthy habit.
CONSIDER COST
The owners of low-cost investments keep a larger portion of their gross returns
than the owners of high-cost investments. Over the long term, avoiding costlier
mutual funds and brokerage commissions could significantly boost your retirement
savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice.
REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS
Don't spend your retirement assets before you've retired. When you change jobs,
roll your 401(k) or other employer-sponsored retirement plan assets directly
into your IRA.
If you have questions about your IRA, want to transfer an IRA from another
institution to Vanguard, or need help with any other IRA transaction, call our
Retirement Resource Center at 1-800-205-6189 or visit Vanguard.com. You can open
or fund your IRA on our website and have a confirmation in your hand within
minutes.
THE PEOPLE WHO GOVERN YOUR FUND
- --------------------------------------------------------------------------------
The trustees of your mutual fund are there to see that the fund is operated and
managed in your best interests since, as a shareholder, you are a part owner of
the fund. Your fund trustees also serve on the board of directors of The
Vanguard Group, Inc., which is owned by the Vanguard(R) funds and provides
services to them on an at-cost basis.
A majority of Vanguard's board members are independent, meaning that they have
no affiliation with Vanguard or the funds they oversee, apart from the 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 of
(1954) Board, Chief The Vanguard Group, Inc., and of each of the investment companies
May 1987 Executive Officer, served by The Vanguard Group.
and Trustee
(131)
- ------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor
(1937) (131) 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) (131) 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 (commu-
nications components); Board Member of the American Chemistry
Council; Trustee of Drexel University.
- ------------------------------------------------------------------------------------------------------------------
JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the
HEISEN (131) Executive Committee of Johnson & Johnson (pharmaceuticals/
(1950) consumer products); Director of the University Medical Center at
July 1998 Princeton and Women's Research and Education Institute.
- ------------------------------------------------------------------------------------------------------------------
BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton
(1932) (129) University; Director of Vanguard Investment Series plc (Irish invest-
May 1977 ment fund) (since November 2001), Vanguard Group (Ireland)
Limited (Irish investment management firm) (since November 2001),
Prudential Insurance Co. of America, BKF Capital (investment
management), The Jeffrey Co. (holding company), and NeuVis, Inc.
(software company).
- ------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
the funds. Among board members' responsibilities are selecting investment
advisors for the funds; monitoring fund operations, performance, and costs;
reviewing contracts; nominating and selecting new trustees/directors; and
electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee's
retirement, resignation, or death; or otherwise as specified in the fund's
organizational documents. Any trustee may be removed at a shareholders' meeting
by a vote representing two-thirds of the net asset value of all shares of the
fund together with shares of other Vanguard funds organized within the same
trust. The table on these two pages shows information for each trustee and
executive officer of the fund. The mailing address of the trustees and officers
is P.O. Box 876, Valley Forge, PA 19482.
- --------------------------------------------------------------------------------
POSITION(S) HELD WITH
NAME FUND (NUMBER OF
(YEAR OF BIRTH) VANGUARD FUNDS
TRUSTEE/OFFICER OVERSEEN BY
SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------
ALFRED M. RANKIN, JR. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO
(1941) (131) 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) (131) (chemicals); Director of Cummins Inc. (diesel engines), The Mead
April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical
distribution); Trustee of Vanderbilt University.
- ------------------------------------------------------------------------------------------------------------
EXECUTIVE OFFICERS*
R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc.;
(1951) (131) 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) (131) 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 comparative mutual fund data are from Lipper Inc. or Morningstar, Inc.,
unless otherwise noted.
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
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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.
You can obtain a free copy of Vanguard's proxy voting guidelines by visiting our
website, www.vanguard.com, and searching for "proxy voting guidelines," or by
calling 1-800-662-2739. They are also available from the SEC's website,
www.sec.gov. In addition, beginning August 31, 2004, you may obtain a free
report on how the fund voted the proxies for securities it owned during the 12
months ended June 30. To get the report, visit either www.vanguard.com or
www.sec.gov.
WORLD WIDE WEB
www.vanguard.com
FUND INFORMATION
1-800-662-7447
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1-800-523-1036
TEXT TELEPHONE
1-800-952-3335
(C) 2004 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing
Corporation, Distributor.
08712 082004
Q8712 082004
Item 2: Not applicable.
Item 3: Not applicable.
Item 4: Not applicable.
Item 5: Not applicable.
Item 6: Not applicable.
Item 7: Not applicable.
Item 8: Not applicable.
Item 9: Not applicable.
Item 10: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and
Financial Officers concluded that the Registrant's Disclosure Controls and
Procedures are effective based on their evaluation of the Disclosure Controls
and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Controls. There were no significant changes in Registrant's
internal controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
Item 11: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD INSTITUTIONAL INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: August 16, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
VANGUARD INSTITUTIONAL INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
JOHN J. BRENNAN*
CHIEF EXECUTIVE OFFICER
Date: August 16, 2004
VANGUARD INSTITUTIONAL INDEX FUNDS
BY: (signature)
----------------------------------------
(HEIDI STAM)
THOMAS J. HIGGINS*
TREASURER
Date: August 16, 2004
*By Power of Attorney. See File Number 2-57689, filed on December 26, 2002.
Incorporated by Reference.