<Page>
OMB APPROVAL
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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 811-08941
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The Vantagepoint Funds
------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
777 North Capitol Street, NE, Washington D.C. 20002-4240
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(Address of principal executive offices) (Zip code)
Paul Gallagher, Secretary of the registrant
777 North Capitol Street, NE, Suite 600, Washington D.C. 20002-4240
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(Name and address of agent for service)
Registrant's telephone number, including area code: 202-962-4600
------------------
Date of fiscal year end: 12/31/02
-----------------
Date of reporting period: 01/01/02 - 12/31/02
----------------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1 (REPORT TO SHAREHOLDERS): The Annual Report is attached.
<Page>
[GRAPHIC]
THE VANTAGEPOINT FUNDS
ANNUAL REPORT
DECEMBER 31, 2002
[THE VANTAGEPOINT(R) FUNDS LOGO]
<Page>
TABLE OF CONTENTS
<Table>
Letter from the President of the Vantagepoint Funds 1
Letter from the Vantagepoint Investment Advisers 2
Management's Discussion of Fund Performance 5
VANTAGEPOINT FUNDS
Independent Auditors' Report 52
Statements of Assets and Liabilities 53
Statements of Operations 57
Statements of Changes in Net Assets 61
Financial Highlights 72
Notes to the Financial Statements 96
Schedules of Investments 115
MASTER INVESTMENT PORTFOLIO
Independent Accountants' Report 165
Statements of Assets and Liabilities 166
Statements of Operations 167
Statements of Changes in Net Assets 168
Notes to the Financial Statements 170
Schedules of Investments 177
</Table>
<Page>
GIRARD MILLER, CFA 777 North Capitol Street, NE
PRESIDENT Washington, DC 20002-4240
LETTER FROM THE PRESIDENT OF THE VANTAGEPOINT FUNDS
Dear Fellow Shareholders:
For most of us, 2002 was a very difficult year for retirement investing. Few
could predict that the market would sustain its third consecutive year of
negative returns. It was truly a year that tested our commitment to the
principles of long-term investing.
Our Vantagepoint Funds continued to fulfill our mission of providing quality
investment opportunities for public sector employees building for their
retirement. There were certainly some encouraging signs amid the overall
negative landscape.
In particular, our fixed income products served their purpose of helping to
diversify investor holdings in the capital markets. The Core Bond Index Fund and
the US Government Securities Fund both provided strong positive returns. The
Income Preservation Fund also provided a safe haven for conservative investors.
Our Equity Income Fund, though showing a negative return for the year,
significantly outperformed its benchmark, the S&P/BARRA 500 Value Index. Among
its peer group, it outperformed averages for the one-, three- and five-year
periods.
Our Model Portfolio Funds also performed as expected. For many years, we at the
ICMA Retirement Corporation have encouraged our participants to spread their
investments among asset classes to take advantage of the risk-reduction
potential of diversification. For those who prefer an investment option with
preset levels of risk, I would urge you to consider one of our five Model
Portfolio Funds.*
Throughout the year, our team of investment professionals continued to monitor
the funds to maintain the correct balance among our diverse group of
subadvisers. We also replaced several subadvisers with an eye toward future
returns. This is the essence of the multi-management system that is central to
our investment philosophy.
Other areas of our operation also continued to help meet the needs of our
investors. Our IRA Wizard has proven to be a very popular feature, allowing
quick on-line enrollment and asset transfer capabilities. We encourage you to
consider consolidating your retirement assets through this useful tool at
www.icmarc.org.
Looking forward into the new year, we are excited about the prospect of the
addition of Deemed, or "Sidecar", IRAs, which will be available to our
participating deferred compensation plan employers. This additional saving
opportunity can have significant advantages in terms of convenience for our many
retirement investors. We have been featured in a number of national financial
publications as an authority in this new provision of the federal tax code.
As always, ICMA-RC and the Vantagepoint Funds are dedicated to helping you meet
your retirement goals. You can be assured we will offer consistent investment
philosophy and top-quality service while retaining our reputation as the Public
Sector Expert.
Sincerely,
/s/ Girard Miller
Girard Miller
[THE VANTAGEPOINT(R) FUNDS LOGO]
* Please consult the current prospectus carefully prior to investing any
money. Vantagepoint securities are distributed by ICMA-RC Services, LLC, a
broker-dealer affiliate of ICMA-RC, member NASD/SIPC. 1-800-669-7400.
1
<Page>
JOHN TOBEY, CFA 777 North Capitol Street, NE
CHIEF INVESTMENT OFFICER Washington, DC 20002-4240
LETTER FROM THE VANTAGEPOINT INVESTMENT ADVISERS
Dear Shareholders:
The year 2002 was a year of historical investment comparisons:
- Short-term interest rates fell to 40-year lows.
- U.S. Government bond yields also fell to 40-year lows.
- Yield curve "steepness" remained high (that is, longer-term yields stayed
well above short-yields)
- Credit "spreads" remained high (that is, corporate bond yields stayed
well above U.S. Government yields)
- Stocks fell for a third year, something not seen since 1941.
Why so many historical comparisons?
The economy is only partially the cause. It's looking like the U.S. recession
was short-lived, beginning in March 2001 and ending in the fourth quarter of
2001 (the latter date has yet to be officially determined). Otherwise, the
economy has grown. The comparison with growth in the late 1990s, however, makes
the current growth rate look anemic.
The Federal Reserve, in an effort to prevent a serious recession, lowered
short-term interest rates 11 times in 2001 and once again in November 2002.
Credit-worthy borrowers are benefiting, as exemplified by mortgage rates
approaching a 40-year low. At this writing, expectations are that these low
rates will remain in 2003.
The yield curve steepness is due to investors believing that short-term rates
are abnormally low, and that the Federal Reserve will raise them when the
economy returns to "normal". In the long run, bond investors desire a yield of
inflation plus a "real" return. Thus, if inflation is expected to be about 3%,
bond investors want a rate higher than that -- not the 1% - 2% level where
short-term rates are today.
The credit spreads result from uncertainty about future corporate profits and
cash flow, especially for those companies that owe sizable debt. Highly rated
companies with low debt are able to borrow at attractive rates.
Why did the stock market fall so sharply?
Stocks (and stock investors) were buffeted by an abnormal number of negative
influences:
1. THE ECONOMY. As described above, this hasn't been a major negative, but its
slowing growth dampened earnings forecasts, thereby undercutting stock
valuations. Also, some industries, anticipating growth, built up capacity
only to see it now unused (e.g. telecommunications).
2. COMPETITION FROM BONDS. Bonds were passed over by many investors in the
late 1990s. As shown on the next page, as yields overall declined, bond
prices rose (bond prices rise when interest rates decline, and vice versa),
and provided attractive returns.
[VANTAGEPOINT(R) INVESTMENT ADVISERS, LLC LOGO]
2
<Page>
BOND RETURNS HAVE BEEN COMPELLING
<Table>
<Caption>
S&P 500 INDEX LEHMAN BROTHERS AGGREGATE
ANNUAL RETURN BOND INDEX RETURN
2000 -9.1% 11.6%
2001 -11.9% 8.4%
2002 -22.1% 10.3%
3 years (2000-2002) -14.6% 10.1%
</Table>
3. CORPORATE SCANDALS AND "ERRORS OF JUDGMENT." These have generated wide
media coverage, thereby casting a pall over corporate management in
general.
4. THE ABANDONMENT OF GROWTH STOCKS. Many investors once viewed these as the
only way to invest. Now, they feel ownership of growth stocks is too risky.
This anti-growth sentiment and selling, which began in 2001, caused growth
stocks to fall more than the general indexes.
5. RECOGNITION OF GEOPOLITICAL RISKS. Beginning with the 9/11 attacks and
augmented by subsequent events and U.S. Government actions, general safety
and security have given way to worry about terrorism and negative world
events. This concern doesn't necessarily translate into adverse corporate
effects. However, the general uncertainty created does lessen stock
investors' willingness to fully value expected future growth.
6. NEGATIVE INVESTOR SENTIMENT. Wall Street has two beliefs about stock market
bottoms:
- Climactic selling is good because it moves stocks from weak hands to
strong.
- Buying frenzy (as in late 1999 and early 2000) is offset by selling
frenzy. This is known as "capitulation" by investors pulled into the
stock market by its good returns and frightened out by its poor returns.
These beliefs are represented by the selling that occurred in late June
through mid-July. The weight of the negative issues above combined with the
large stock market losses over the preceding two-plus years caused some
investors to throw in the towel.
7. IRAQ. This potential conflict deserves special mention, not so much for the
typical war uncertainty, but rather for its possible impact on global trade
relations. The August/September stock market decline occurred as talks of a
"unilateral" U.S. attack built. The concern is that, if the U.S. goes
against the wishes of the UN and its global trading partners, there could
be negative economic effects.
The cure? Look to the future.
Now, more than ever, is the time to look ahead. Yes, for stock investors, times
were glorious in the late 1990s and, yes, they were painful over the past three
years.
However, those times are past, with the last three years undoing the
over-optimism that built in the late 1990s. So, look to the future with these
thoughts:
- The economy is growing and has the capacity to grow faster.
- Stock valuations already reflect the uncertainties we read about.
- Managers of the actively managed Vantagepoint Funds are enthusiastic
about their holdings and their potential.
And one last thought: we are waiting for the new millennium's first bull market.
It can't arrive soon enough.
Wishing you all a bright investing future,
/s/ John S. Tobey
John S. Tobey
3
<Page>
<Table>
<Caption>
FUND RETURNS
FOURTH QUARTER YEAR ENDED
VANTAGEPOINT ACTIVELY MANAGED FUNDS 2002 2002
- --------------------------------------------------------------------------------
Vantagepoint Money Market Fund 0.3% 1.3%
Vantagepoint Income Preservation Fund 1.1% 4.1%
Vantagepoint US Government Securities Fund 0.6% 8.8%
Vantagepoint Asset Allocation Fund 9.4% -15.8%
Vantagepoint Equity Income Fund 4.9% -15.0%
Vantagepoint Growth & Income Fund 9.2% -22.9%
Vantagepoint Growth Fund 6.3% -24.3%
Vantagepoint Aggressive Opportunities Fund 4.3% -38.5%
Vantagepoint International Fund 6.4% -16.1%
VANTAGEPOINT INDEX FUNDS, CLASS II SHARES
- --------------------------------------------------------------------------------
Vantagepoint Core Bond Index Fund 1.6% 9.9%
Vantagepoint 500 Stock Index Fund 8.6% -22.2%
Vantagepoint Broad Market Index Fund 7.8% -21.4%
Vantagepoint Mid/Small Company Index Fund 5.4% -18.3%
Vantagepoint Overseas Equity Index Fund 6.2% -16.6%
VANTAGEPOINT MODEL PORTFOLIO FUNDS
- --------------------------------------------------------------------------------
Vantagepoint Savings Oriented Fund 2.5% -1.4%
Vantagepoint Conservative Growth Fund 3.3% -6.7%
Vantagepoint Traditional Growth Fund 4.4% -12.6%
Vantagepoint Long-Term Growth Fund 5.5% -18.0%
Vantagepoint All-Equity Growth Fund 6.3% -24.1%
</Table>
4
<Page>
VANTAGEPOINT MONEY MARKET FUND
The Vantagepoint Money Market Fund's objective is to provide current income
consistent with preservation of capital. The Fund pursues this objective by
investing in the AIM SHORT-TERM INVESTMENT CO. LIQUID PORTFOLIO. Portfolio
holdings are high quality money market instruments, short-term U.S. Government
and agency securities and short-term corporate obligations. The Fund invests in
the AIM Short-Term Investments Co. Liquid Assets Portfolio, a registered money
market fund managed by AIM Advisors, Inc.
PERFORMANCE
The return for the Vantagepoint Money Market Fund was 1.3% for 2002. The Fund's
market benchmark, the 30-day U.S. Treasury bill, returned 1.7% in 2002. MFR
First Tier Retail Average, a group of money market funds, returned 1.1% in 2002.
COMMENTARY
Yields continued to decline in 2002, as rates hit their lowest levels in 40
years. The Federal Reserve cut the target Federal Funds rate by another 0.50% in
November, taking the rate to 1.25%. This was the twelfth time the Federal
Reserve lowered rates during the 2001-2002 time period.
Economic growth was moderate throughout the year, as economic signals were
mixed. Manufacturing, along with business spending and investing, was sluggish
during 2002. Conversely, housing and auto sales were robust as the consumer
showed resiliency. Uncertainty had a more pronounced impact on the financial
markets, explained largely by geopolitical risks confronting the United States.
Following the 0.50% Federal Reserve rate cut in November, rates on short-term
securities fell by a similar amount. This caused money market fund yields to
decline to low levels, with U.S. Treasury bill yields now at their lowest level
in 40 years. At year-end, the annual yield for a 30-day Treasury bill was only
1.14%. These low yields are affecting all money market funds. Following this
trend, the Vantagepoint Money Market Fund's yield (measured by the 7-day
effective yield) dropped from 1.5% at the beginning to 0.8% at year-end.
The portfolio's average maturity was 45 days at year-end. The portfolio has the
highest quality rating for money market funds, with all securities rated A-1/P-1
by Moody's Investors Service.*
* MOODY'S INVESTORS SERVICE IS ONE OF THE LEADING PROVIDERS OF INDEPENDENT
CREDIT RATINGS AND RESEARCH TO THE CAPITAL MARKETS. MOODY'S PUBLISHES
CREDIT OPINIONS, RESEARCH, AND RATINGS ON FIXED INCOME SECURITIES, ISSUERS
OF SECURITIES AND OTHER CREDIT OBLIGATIONS.
AIM ADVISORS, INC.
Founded: 1976
Investment Style: Seeks high returns consistent with high quality
investments.
Investment Approach: Invests in high-quality instruments such as
U.S. Government and bank obligations, commercial
paper and repurchase agreements.
5
<Page>
VANTAGEPOINT MONEY MARKET FUND VS. U.S. T-BILLS AVERAGE (30 DAY) AND MFR
FIRST TIER RETAIL AVERAGE: GROWTH OF $10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
US T-BILLS
VANTAGEPOINT MFR (30 DAY)
MONEY FIRST TIER (NO FEES OR
MARKET FUND RETAIL AVERAGE EXPENSES)
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,038 10,035 10,043
10,075 10,069 10,080
10,111 10,104 10,114
Jun 30, 1999 10,148 10,139 10,154
10,188 10,175 10,193
10,228 10,212 10,232
10,269 10,251 10,272
10,312 10,291 10,312
10,355 10,332 10,349
Dec 31, 1999 10,401 10,374 10,395
10,447 10,418 10,437
10,491 10,461 10,482
10,539 10,506 10,532
10,588 10,552 10,580
10,640 10,599 10,633
Jun 30, 2000 10,694 10,649 10,676
10,750 10,700 10,727
10,806 10,752 10,781
10,860 10,803 10,836
10,917 10,855 10,897
10,972 10,907 10,952
Dec 31, 2000 11,029 10,959 11,007
11,083 11,009 11,066
11,127 11,056 11,108
11,174 11,098 11,154
11,215 11,138 11,198
11,254 11,174 11,234
Jun 30, 2001 11,288 11,206 11,266
11,320 11,236 11,300
11,353 11,265 11,335
11,381 11,290 11,366
11,403 11,311 11,392
11,421 11,328 11,412
Dec 31, 2001 11,437 11,343 11,428
11,451 11,355 11,444
11,465 11,367 11,459
11,480 11,378 11,474
11,494 11,390 11,492
11,508 11,401 11,509
Jun 30, 2002 11,520 11,412 11,524
11,533 11,422 11,541
11,546 11,433 11,557
11,557 11,443 11,574
11,570 11,452 11,590
11,580 11,460 11,603
Dec 31, 2002 11,590 11,467 11,616
</Table>
Source for Benchmark Returns: iMoneyNet & Ibbotson Associates
VANTAGEPOINT MONEY MARKET FUND
TOTAL RETURN FOR THE PERIOD ENDED DECEMBER 31, 2002
<Table>
One Year 1.3%
Three Years 3.7%
Since Inception 3.9% - annualized
Fund Inception Date March 1, 1999
</Table>
Past performance does not guarantee future results. Investment return will
fluctuate. While the Fund seeks to maintain a net asset value of $1 per share,
there is no guarantee that this objective will be achieved. All returns reflect
reinvested dividends. The benchmark shown above measures the performance of a
group of money market funds. Please consult the current prospectus carefully
prior to investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
6
<Page>
VANTAGEPOINT INCOME PRESERVATION FUND
The Vantagepoint Income Preservation Fund's objective is to provide current
income consistent with preservation of capital. The Fund seeks to provide a
higher yield than money market funds, accompanied by a stable net asset value
per share. Three subadvisers (PAYDEN & RYGEL, PIMCO and WELLINGTON MANAGEMENT
COMPANY LLP) manage the Fund's assets. Two financial institutions (AIG and BANK
OF AMERICA) insure the Fund's stable net asset value.
PERFORMANCE
The return for the Vantagepoint Income Preservation Fund was 4.1% for the year.
The Fund's market benchmark, the 91-day U.S. Treasury bill, returned 1.8%. MFR
First Tier Retail Average, a group of money market funds, returned 1.1% in 2002.
COMMENTARY
The Federal Reserve cut the target Federal Funds rate by 0.50% in November,
taking the rate to 1.25%. This was the twelfth time the Federal Reserve lowered
rates during the 2001-2002 time period. Although the Fund's yield declined
throughout the year, it provided an approximate 3.0% advantage over money market
funds.
Growth in the U.S. was moderate throughout the year, as economic signals were
mixed. Manufacturing, along with business spending and investment, was sluggish
during 2002. Conversely, housing and auto sales were robust, as the consumer
showed resiliency. Uncertainty had a more pronounced impact on the financial
markets, explained largely by the geopolitical risks confronting the United
States.
Reflecting the general interest rate decline, the Fund's yield (measured by the
7-day effective yield) dropped from 4.45% to 4.22% from beginning to year-end.
The Fund's higher return in 2002 was due to two primary factors:
1. Since the Fund invests in longer-term securities, its yield is slower to
respond to short-term interest rate movements. This has been beneficial as
rates have fallen.
2. Short-term rates are well below longer-term yields. For example, at
year-end the difference between the 30-year Treasury bond and the 3-month
Treasury bill was 3.6%.
The Fund's year-end duration (similar to average maturity adjusted for cash
flows) was 2.8 years and its average quality was Aa1(1) (Moody's second highest
rating). The Fund's asset allocation was 21 percent corporate bonds, 37 percent
mortgage-backed securities, 6 percent asset-backed securities, 12 percent U.S.
Treasuries and 24 percent agency securities.
The Fund is available for investment to IRA investors and the Vantagepoint Model
Portfolio Funds.
(1) MOODY'S INVESTORS SERVICE IS ONE OF THE LEADING PROVIDERS OF INDEPENDENT
CREDIT RATINGS AND RESEARCH TO THE CAPITAL MARKETS. MOODY'S PUBLISHES
CREDIT OPINIONS, RESEARCH, AND RATINGS ON FIXED INCOME SECURITIES, ISSUERS
OF SECURITIES AND OTHER CREDIT OBLIGATIONS.
Aa1 OBLIGATIONS ARE AT THE HIGHEST END OF THE Aa CATEGORY (MOODY'S APPLIES
NUMERICAL MODIFIERS 1, 2, AND 3 IN EACH GENERIC RATING CLASSIFICATION FROM
Aa THROUGH Caa). Aa BONDS ARE JUDGED TO BE OF HIGH QUALITY BY ALL
STANDARDS. TOGETHER WITH THE Aaa GROUP THEY COMPRISE WHAT ARE GENERALLY
KNOWN AS HIGH-GRADE BONDS. THEY ARE RATED LOWER THAN THE BEST BONDS BECAUSE
MARGINS OF PROTECTION MAY NOT BE AS LARGE AS IN Aaa SECURITIES OR
FLUCTUATION OF PROTECTIVE ELEMENTS MAY BE OF GREATER AMPLITUDE OR THERE MAY
BE OTHER ELEMENTS PRESENT WHICH MAKE THE LONG-TERM RISK APPEAR SOMEWHAT
LARGER THAN THE Aaa SECURITIES.
SUBADVISER DATA
PAYDEN & RYGEL
Founded: 1983
Investment Style: Short-term bond management
Investment Approach: Pursuing a value added cash management approach.
7
<Page>
PACIFIC INVESTMENT MANAGEMENT COMPANY, LLC (PIMCO)
Founded: 1971
Investment Style: Core bond management
Investment Approach: Seeks value-added through traditional sector and
security selection across a wide range of
security types.
WELLINGTON MANAGEMENT COMPANY LLP
Founded: 1928
Investment Style: Core bond management
Investment Approach: Seeks value-added through traditional sector and
security selection across core fixed income
securities.
VANTAGEPOINT INCOME PRESERVATION FUND VS. U.S. T-BILLS AVERAGE (91 DAY) AND
MFR FIRST TIER RETAIL AVERAGE: GROWTH OF $10,000 INVESTED DECEMBER 4, 2000
[CHART]
<Table>
<Caption>
VANTAGEPOINT U.S. T-BILLS MFR
INCOME (91 DAY) FIRST TIER
PRESERVATION (NO FEES OR RETAIL
FUND EXPENSES) AVERAGE
Dec 4, 2000 10,000 10,000 10,000
Dec 31, 2000 10,040 10,055 10,048
10,090 10,121 10,094
10,134 10,160 10,136
10,180 10,206 10,175
10,226 10,251 10,212
10,273 10,291 10,244
Jun 30, 2001 10,314 10,321 10,274
10,355 10,355 10,302
10,394 10,389 10,328
10,437 10,433 10,351
10,482 10,460 10,370
10,521 10,483 10,386
Dec 31, 2001 10,560 10,499 10,399
10,596 10,515 10,411
10,624 10,529 10,422
10,656 10,545 10,432
10,691 10,561 10,442
10,727 10,580 10,453
Jun 30, 2002 10,764 10,595 10,463
10,803 10,611 10,472
10,841 10,626 10,482
10,879 10,643 10,491
10,916 10,659 10,500
10,955 10,676 10,508
Dec 31, 2002 10,993 10,689 10,514
</Table>
Source for Benchmark Returns: iMoneyNet & Ibbotson Associates
VANTAGEPOINT INCOME PRESERVATION FUND
TOTAL RETURN FOR THE PERIOD ENDED DECEMBER 31, 2002
<Table>
One Year 4.1%
Since Inception 4.7% - annualized
Fund Inception Date December 4, 2000
</Table>
Past performance does not guarantee future results. Investment return will
fluctuate. While the Fund seeks to maintain a net asset value of $100 per share,
there is no guarantee that this objective will be achieved. All returns reflect
reinvested dividends. The benchmark shown above measures the performance of a
group of money market funds. Please consult the current prospectus carefully
prior to investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
8
<Page>
VANTAGEPOINT US GOVERNMENT SECURITIES FUND
The Vantagepoint US Government Securities Fund's objective is to provide current
income and preservation of capital with minimal credit risk. The Fund pursues
this objective by investing in U.S. Treasury securities, government-sponsored
agency mortgage securities and government agency securities. The Fund's
subadviser, SEIX INVESTMENT ADVISORS, INC., seeks to add value by purchasing
Treasury, agency and mortgage-backed securities that offer attractive returns,
while maintaining an intermediate-term maturity to control volatility.
PERFORMANCE
The US Government Securities Fund returned 8.8% for the year, compared with 9.6%
for its benchmark, the Lehman Brothers Intermediate Government Bond Index, and
10.0% for its peer group, the Lipper Intermediate U.S. Government Funds Index, a
group of mutual funds with similar objectives.
COMMENTARY
Growth in the U.S. was moderate throughout the year, as economic signals were
mixed. Manufacturing, along with business spending and investment, was sluggish
during 2002. Conversely, housing and auto sales were robust, as the consumer
showed resiliency. Uncertainty had a more pronounced impact on the financial
markets, explained largely by the geopolitical risks confronting the United
States. During the year, interest rates fell across the maturity spectrum, with
the largest declines affecting intermediate and long-term bonds.
Capital markets were shaken by corporate scandals and corruption, but managed to
make a comeback in the final quarter. Investor confidence was aided by a 0.50%
interest rate cut in November.
Continuing economic uncertainty and war rhetoric led many investors to seek the
safety of bonds, particularly U.S. Government securities. U.S. Treasury bond
yields of all maturities declined, causing bond prices to rise (bond prices rise
when yields drop and vice versa).
The current allocation of the Fund is 40 percent U.S. Treasuries, 34 percent
agencies, 23 percent agency mortgage-backed securities and 3 percent cash. The
Fund maintained an average duration of 3.2 years over the course of the year,
compared with 2.8 years for the benchmark and maintained an average quality of
U.S. Government Agency.
SUBADVISER DATA
SEIX INVESTMENT ADVISORS, INC.
Founded: 1992
Investment Style: U.S. Government securities, duration neutral
Investment Approach: Selects U.S. Treasury, U.S. Government Agency and
agency mortgage-backed securities.
9
<Page>
[CHART]
VANTAGEPOINT US GOVERNMENT SECURITIES FUND VS. LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT BOND INDEX AND LIPPER INTERMEDIATE US GOVERNMENT FUNDS INDEX:
GROWTH OF $10,000 INVESTED MARCH 1, 1999
<Table>
<Caption>
LEHMAN
BROTHERS
VANTAGEPOINT INTERMEDIATE
US GOVERNMENT LIPPER
GOVERNMENT BOND INDEX INTERMEDIATE
SECURITIES (NO FEES OR US GOVERNMENT
FUND EXPENSES) FUNDS INDEX
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,072 10,066 10,064
10,094 10,093 10,091
9,953 10,032 9,998
Jun 30, 1999 9,929 10,047 9,965
9,882 10,048 9,930
9,877 10,062 9,920
9,993 10,148 10,027
10,007 10,169 10,049
9,991 10,176 10,050
Dec 31, 1999 9,934 10,144 10,000
9,864 10,110 9,969
9,954 10,194 10,079
10,129 10,310 10,207
10,098 10,306 10,170
10,128 10,333 10,159
Jun 30, 2000 10,323 10,498 10,355
10,391 10,567 10,434
10,541 10,685 10,582
10,619 10,778 10,654
10,703 10,853 10,730
10,903 11,012 10,906
Dec 31, 2000 11,125 11,206 11,117
11,241 11,355 11,268
11,363 11,460 11,381
11,430 11,542 11,433
11,318 11,505 11,366
11,334 11,552 11,425
Jun 30, 2001 11,364 11,589 11,461
11,636 11,806 11,712
11,748 11,911 11,835
12,022 12,166 12,010
12,261 12,356 12,259
12,005 12,209 12,057
Dec 31, 2001 11,952 12,150 11,959
12,011 12,202 12,041
12,115 12,304 12,166
11,944 12,118 11,945
12,147 12,344 12,176
12,231 12,431 12,285
Jun 30, 2002 12,355 12,586 12,414
12,565 12,823 12,609
12,710 12,969 12,808
12,918 13,192 13,036
12,896 13,183 12,977
12,783 13,079 12,895
Dec 31, 2002 12,999 13,321 13,155
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT US GOVERNMENT SECURITIES FUND VS. LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT BOND INDEX AND LIPPER INTERMEDIATE US GOVERNMENT FUNDS INDEX:
GROWTH OF $10,000 INVESTED DECEMBER 31, 1992
[CHART]
<Table>
<Caption>
LEHMAN
BROTHERS
VANTAGEPOINT INTERMEDIATE
US GOVERNMENT LIPPER
GOVERNMENT BOND INDEX INTERMEDIATE
SECURITIES (NO FEES OR US GOVERNMENT
FUND EXPENSES) FUNDS INDEX
Dec 31, 1992 10,000 10,000 10,000
10,264 10,186 10,189
10,476 10,336 10,355
10,514 10,374 10,399
10,635 10,455 10,468
10,601 10,427 10,459
10,835 10,578 10,629
10,844 10,599 10,671
11,083 10,757 10,836
11,136 10,801 10,880
11,143 10,827 10,901
11,024 10,774 10,825
Dec 31, 1993 11,064 10,818 10,869
11,210 10,925 10,990
10,947 10,776 10,799
10,682 10,618 10,586
10,569 10,549 10,484
10,564 10,557 10,466
10,526 10,559 10,447
10,691 10,697 10,590
10,706 10,728 10,608
10,540 10,639 10,486
10,502 10,641 10,475
10,421 10,594 10,424
Dec 31, 1994 10,469 10,629 10,466
10,645 10,802 10,643
10,908 11,011 10,860
10,956 11,072 10,929
11,111 11,200 11,055
11,557 11,516 11,410
11,626 11,589 11,476
11,578 11,595 11,451
11,712 11,690 11,567
11,836 11,769 11,662
11,992 11,898 11,800
12,181 12,043 11,958
Dec 31, 1995 12,359 12,163 12,095
12,462 12,265 12,176
12,187 12,135 11,983
12,063 12,079 11,900
11,961 12,044 11,833
11,912 12,038 11,807
12,036 12,161 11,941
12,064 12,198 11,967
12,047 12,212 11,952
12,237 12,369 12,139
12,503 12,572 12,377
12,736 12,724 12,569
Dec 31, 1996 12,568 12,656 12,461
12,596 12,704 12,495
12,591 12,724 12,516
12,455 12,651 12,397
12,635 12,794 12,565
12,738 12,894 12,666
12,875 13,005 12,802
13,218 13,244 13,114
13,093 13,194 13,006
13,284 13,338 13,185
13,497 13,494 13,359
13,525 13,524 13,398
Dec 31, 1997 13,662 13,633 13,523
13,875 13,810 13,698
13,838 13,795 13,674
13,866 13,838 13,716
13,927 13,904 13,775
14,043 14,000 13,894
14,148 14,094 14,009
14,187 14,148 14,036
14,543 14,415 14,296
15,032 14,751 14,636
14,984 14,776 14,553
14,925 14,730 14,574
Dec 31, 1998 14,987 14,788 14,628
15,048 14,854 14,699
14,682 14,651 14,424
14,788 14,747 14,517
14,821 14,787 14,556
14,613 14,697 14,421
14,578 14,719 14,373
14,510 14,721 14,323
14,502 14,741 14,308
14,672 14,868 14,463
14,692 14,898 14,495
14,669 14,908 14,496
Dec 31, 1999 14,585 14,862 14,425
14,482 14,811 14,379
14,614 14,934 14,538
14,872 15,104 14,723
14,826 15,098 14,669
14,870 15,139 14,654
15,157 15,380 14,936
15,257 15,481 15,050
15,476 15,655 15,264
15,591 15,791 15,368
15,715 15,900 15,477
16,008 16,134 15,731
Dec 31, 2000 16,335 16,418 16,036
16,505 16,636 16,254
16,683 16,789 16,416
16,782 16,910 16,491
16,618 16,856 16,394
16,641 16,925 16,480
16,684 16,979 16,531
17,085 17,297 16,894
17,249 17,451 17,072
17,652 17,824 17,323
18,002 18,102 17,683
17,626 17,887 17,391
Dec 31, 2001 17,547 17,801 17,251
17,635 17,877 17,369
17,787 18,026 17,548
17,536 17,754 17,230
17,834 18,086 17,563
17,957 18,212 17,720
18,140 18,440 17,906
18,449 18,786 18,187
18,661 19,001 18,474
18,967 19,327 18,803
18,935 19,314 18,719
18,768 19,161 18,600
Dec 31, 2002 19,085 19,516 18,975
</Table>
Source for Benchmark Returns: Ibbotson Associates
10
<Page>
VANTAGEPOINT US GOVERNMENT SECURITIES FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year 8.8%
Three Years 9.4%
Five Years 6.9%
Ten Years 6.7%
Fund Inception Date July 1, 1992
Fund Registration Date March 1, 1999
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. Performance information for periods
prior to March 1, 1999 represents the performance of the Fund prior to its SEC
registration. Please consult the current prospectus carefully prior to investing
any money. Vantagepoint securities are distributed by ICMA-RC Services, LLC, a
broker-dealer affiliate of ICMA-RC, member NASD/SIPC. 1-800-669-7400.
11
<Page>
VANTAGEPOINT ASSET ALLOCATION FUND
The Vantagepoint Asset Allocation Fund seeks long-term capital growth at a lower
level of risk than an all-equity portfolio. The Fund's subadviser, MELLON
CAPITAL MANAGEMENT CORPORATION, tactically allocates assets among stocks
(invested in the S&P 500 Index), bonds (invested in long-term U.S. Treasuries),
and cash according to their return and risk outlooks.
PERFORMANCE
The Vantagepoint Asset Allocation Fund declined 15.8% in 2002. The Fund's market
benchmark--comprised of 65 percent S&P 500 Index, 25 percent Lehman Long
Treasury Index and 10 percent 91-day Treasury bills--fell 10.7%. The Lipper
Flexible Portfolio Funds Index, a group of mutual funds with similar objectives,
dropped 14.7%.
COMMENTARY
For the first time in 60 years, the stock market, as represented by the S&P 500
Index, declined for the third consecutive year, falling 22.1%. High profile
bankruptcies, corporate scandals and evidence of Wall Street conflicts all took
their toll on investors' confidence during the year. Possible war with Iraq
filled the headlines and, as the year ended, North Korea revealed that it had a
secretly-developed nuclear capability. While stocks declined, high quality
long-term bond prices benefited from investors' moves to safety. The Lehman Long
Treasury Index rose 16.8% for the year and cash instruments returned 1.8%.
An overweighting in stocks throughout the year affected the Fund's 2002
performance. The Fund began the year with an allocation of 60 percent stock, 40
percent bonds and 0 percent cash. The Fund's subadviser, Mellon Capital
Management Corporation, manages exposure according to changes in return
expectations and observable changes in financial markets. Mellon believed this
year provided an opportunity to achieve favorable results from a high level of
stock exposure reached on only four other occasions since 1974. Beginning in
mid-January, declining bond yields prompted Mellon to shift the Fund's
allocation to 70 percent stock and 30 percent bonds. Then during June, Mellon
increased the Fund's stock exposure to 80 percent stock and 20 percent bonds in
response to market selling pressure that had reduced stock prices to very
attractive levels. During July, the selling pressure continued and Mellon
increased the stock allocation first to 90 percent on July 12, and then finally
to 100 percent on July 16. Mellon's move to 100 percent stocks was last reached
in 1986.
At year-end, the allocation was 100 percent stocks, 0 percent bonds and 0
percent cash. In Mellon's opinion, return expectations for 2003 and beyond
strongly support the move to 100 percent stocks.
SUBADVISER DATA
MELLON CAPITAL MANAGEMENT CORPORATION
Founded: 1983
Investment Style: Tactical asset allocation
Investment Approach: Active allocation between stocks, bonds and cash
Quantitative model based on expected asset class
returns
12
<Page>
VANTAGEPOINT ASSET ALLOCATION FUND VS. BLENDED BENCHMARK, LIPPER FLEXIBLE
PORTFOLIO FUNDS INDEX AND S&P 500 INDEX: GROWTH OF $10,000 INVESTED
MARCH 1, 1999
[CHART]
<Table>
<Caption>
BLENDED BENCHMARK: 65% STANDARD &
S&P 500/25% LIPPER POOR'S
VANTAGEPOINT LEHMAN LONG TREASURY FLEXIBLE 500 INDEX
ASSET INDEX/10% 91-DAY T-BILL PORTFOLIO (NO FEES OR
ALLOCATION FUND (NO FEES OR EXPENSES) FUNDS INDEX EXPENSES)
Mar 1, 1999 10,000 10,000 10,000 10,000
Mar 31, 1999 10,230 10,258 10,249 10,400
10,480 10,524 10,550 10,803
10,300 10,325 10,366 10,548
Jun 30, 1999 10,590 10,675 10,667 11,133
10,380 10,450 10,479 10,786
10,350 10,410 10,383 10,732
Sep 30, 1999 10,240 10,249 10,270 10,438
10,530 10,676 10,540 11,099
10,610 10,803 10,655 11,324
Dec 31, 1999 10,861 11,181 11,081 11,991
10,643 10,861 10,770 11,389
10,643 10,814 10,865 11,173
Mar 31, 2000 11,182 11,599 11,356 12,266
11,016 11,355 11,125 11,897
10,912 11,200 10,965 11,653
Jun 30, 2000 11,099 11,445 11,198 11,940
11,068 11,383 11,132 11,754
11,513 11,913 11,660 12,484
Sep 30, 2000 11,151 11,475 11,367 11,825
11,182 11,494 11,308 11,775
10,716 11,002 10,827 10,846
Dec 31, 2000 10,783 11,109 11,012 10,899
11,043 11,381 11,193 11,286
10,296 10,759 10,577 10,257
Mar 31, 2001 9,765 10,308 10,108 9,607
10,307 10,763 10,620 10,354
10,393 10,818 10,695 10,423
Jun 30, 2001 10,274 10,673 10,535 10,170
10,382 10,707 10,485 10,069
9,982 10,332 10,091 9,439
Sep 30, 2001 9,430 9,814 9,480 8,677
9,713 10,059 9,705 8,842
10,182 10,443 10,127 9,521
Dec 31, 2001 10,198 10,455 10,218 9,604
10,151 10,391 10,071 9,464
10,042 10,292 9,938 9,281
Mar 31, 2002 10,182 10,441 10,217 9,631
9,838 10,131 9,915 9,047
9,791 10,092 9,858 8,980
Jun 30, 2002 9,306 9,671 9,337 8,340
8,759 9,257 8,798 7,690
8,806 9,399 8,865 7,741
Sep 30, 2002 7,852 8,835 8,241 6,899
8,540 9,278 8,661 7,507
9,041 9,609 9,029 7,949
Dec 31, 2002 8,587 9,341 8,715 7,481
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT ASSET ALLOCATION FUND VS. BLENDED BENCHMARK, LIPPER FLEXIBLE
PORTFOLIO FUNDS INDEX AND S&P 500 INDEX: GROWTH OF $10,000 INVESTED
DECEMBER 31, 1992
[CHART]
<Table>
<Caption>
BLENDED BENCHMARK: 65% STANDARD &
S&P 500/25% LIPPER POOR'S
VANTAGEPOINT LEHMAN LONG TREASURY FLEXIBLE 500 INDEX
ASSET INDEX/10% 91-DAY T-BILL PORTFOLIO (NO FEES OR
ALLOCATION FUND (NO FEES OR EXPENSES) FUNDS INDEX EXPENSES)
Dec 31, 1992 10,000 10,000 10,000 10,000
10,146 10,406 10,168 10,073
10,338 10,587 10,192 10,209
10,505 10,744 10,406 10,428
10,251 10,597 10,300 10,173
10,434 10,794 10,509 10,448
10,552 10,934 10,590 10,482
10,566 10,948 10,631 10,433
10,944 11,332 10,992 10,830
10,863 11,290 11,033 10,750
11,045 11,462 11,193 10,968
10,920 11,322 11,038 10,865
Dec 31, 1993 11,019 11,425 11,274 10,999
11,334 11,745 11,582 11,367
11,019 11,421 11,329 11,061
10,689 10,976 10,874 10,579
10,694 11,039 10,917 10,717
10,753 11,141 10,955 10,892
10,586 10,940 10,725 10,623
10,805 11,272 10,980 10,974
11,003 11,553 11,292 11,421
10,794 11,286 11,095 11,146
10,874 11,449 11,175 11,401
10,739 11,197 10,907 10,982
Dec 31, 1994 10,830 11,352 10,974 11,143
11,039 11,622 11,060 11,432
11,345 12,003 11,382 11,876
11,543 12,266 11,622 12,228
11,785 12,559 11,841 12,583
12,264 13,129 12,217 13,080
12,484 13,374 12,468 13,388
12,781 13,617 12,792 13,834
12,873 13,723 12,901 13,871
13,266 14,166 13,137 14,452
13,305 14,239 13,040 14,402
13,785 14,742 13,420 15,035
Dec 31, 1995 13,997 15,025 13,563 15,313
14,424 15,368 13,826 15,840
14,431 15,284 13,898 15,992
14,502 15,309 13,996 16,146
14,573 15,398 14,206 16,383
14,796 15,643 14,387 16,806
14,900 15,775 14,365 16,875
14,485 15,327 13,918 16,124
14,633 15,497 14,159 16,466
15,235 16,178 14,696 17,391
15,632 16,632 14,962 17,868
16,517 17,598 15,686 19,224
Dec 31, 1996 16,200 17,275 15,476 18,847
16,912 17,949 15,923 20,017
16,996 18,053 15,901 20,179
16,439 17,457 15,420 19,340
17,077 18,248 15,824 20,495
17,759 19,037 16,497 21,753
18,365 19,687 16,982 22,723
19,624 21,001 17,938 24,527
18,741 20,105 17,375 23,164
19,544 20,969 18,112 24,432
19,281 20,699 17,731 23,616
19,955 21,399 18,052 24,710
Dec 31, 1997 20,302 21,737 18,301 25,135
20,595 22,014 18,409 25,414
21,696 23,015 19,302 27,247
22,525 23,804 19,953 28,642
22,732 23,992 20,078 28,930
22,567 23,849 19,878 28,433
23,299 24,627 20,261 29,588
23,113 24,441 20,050 29,272
21,088 22,431 18,081 25,040
22,072 23,582 18,801 26,644
23,090 24,749 19,692 28,812
23,988 25,780 20,502 30,558
Dec 31, 1998 24,854 26,742 21,324 32,319
25,524 27,539 21,735 33,670
24,767 26,652 21,135 32,624
25,337 27,341 21,662 33,929
25,956 28,049 22,299 35,243
25,510 27,519 21,908 34,411
26,229 28,451 22,546 36,321
25,709 27,851 22,147 35,187
25,634 27,745 21,945 35,013
25,362 27,315 21,706 34,053
26,080 28,453 22,277 36,208
26,278 28,792 22,520 36,944
Dec 31, 1999 26,899 29,800 23,421 39,120
26,361 28,946 22,762 37,155
26,361 28,821 22,963 36,451
27,694 30,915 24,001 40,017
27,284 30,263 23,513 38,813
27,027 29,850 23,175 38,017
27,489 30,503 23,668 38,954
27,412 30,338 23,529 38,345
28,515 31,751 24,644 40,727
27,617 30,582 24,026 38,577
27,694 30,634 23,901 38,413
26,540 29,323 22,882 35,385
Dec 31, 2000 26,706 29,608 23,274 35,558
27,350 30,332 23,658 36,820
25,500 28,676 22,354 33,462
24,186 27,472 21,364 31,342
25,527 28,685 22,446 33,778
25,741 28,831 22,604 34,004
25,446 28,445 22,267 33,177
25,714 28,537 22,160 32,850
24,722 27,538 21,329 30,794
23,355 26,156 20,037 28,307
24,057 26,808 20,512 28,847
25,219 27,832 21,404 31,060
Dec 31, 2001 25,258 27,864 21,597 31,332
25,142 27,694 21,286 30,875
24,870 27,431 21,005 30,280
25,218 27,828 21,594 31,418
24,366 27,000 20,956 29,514
24,249 26,897 20,834 29,296
23,049 25,776 19,733 27,209
21,694 24,673 18,596 25,088
21,811 25,051 18,736 25,253
19,449 23,546 17,417 22,508
21,152 24,728 18,305 24,490
22,392 25,610 19,083 25,931
Dec 31, 2002 21,268 24,896 18,420 24,406
</Table>
Source for Benchmark Returns: Ibbotson Associates
13
<Page>
VANTAGEPOINT ASSET ALLOCATION FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -15.8%
Three Years -7.5%
Five Years 0.9%
Ten Years 7.8%
Fund Inception Date December 1, 1974
Fund Registration Date March 1, 1999
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. The Lipper index measures the
performance of a group of mutual funds with similar objectives. Performance
information for periods prior to March 1, 1999 represents the performance of the
Fund prior to its SEC registration. Please consult the current prospectus
carefully prior to investing any money. Vantagepoint securities are distributed
by ICMA-RC Services, LLC, a broker-dealer affiliate of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
14
<Page>
VANTAGEPOINT EQUITY INCOME FUND
The Vantagepoint Equity Income Fund seeks long-term growth from dividend income
and capital appreciation. The Fund's subadvisers, BARROW, HANLEY, MEWHINNEY &
STRAUSS; SOUTHEASTERN ASSET MANAGEMENT, INC.; and T. ROWE PRICE ASSOCIATES,
INC., select primarily current dividend-paying common stocks, so the Fund's
yield is typically higher than the stock market's.
PERFORMANCE
The Vantagepoint Equity Income Fund declined 15.0% in 2002. The Fund's market
benchmark, the S&P/BARRA 500 Value Index, lost 20.9%. The Lipper Equity Income
Funds Index, a group of mutual funds with similar objectives, fell 16.4%.
COMMENTARY
For 2002, investor fear and uncertainty caused the stock market to suffer
double-digit declines. The risk factors of uncertain economic growth, volatile
earnings, corporate governance issues and war fears made investors wary of
making new investments in equities. For those already invested, there was little
place to hide from the downward selling pressure. Thus, in 2002, taking on the
risk of stock investing was not rewarded.
In this environment, value stocks and dividend-paying stocks - the kinds of
equities in which the Fund typically invests - declined less than the broader
stock market. By falling less, the Fund achieved two important goals: 1) it
preserved more investor capital for the future compared to the market average;
and, 2) it performed as designed in a difficult market environment.
The Fund held up better for several reasons. First, with its value orientation,
the Fund was well positioned to avoid the anti-growth sentiment that continued
in the markets this year. As sectors such as technology and telecommunications
declined further in 2002, investors avoided risk and sought out stocks with more
perceived safety.
Second, in this period, the Fund's dividend-paying orientation provided
investors some relief from the downward market pressures. Investors showed a
preference for dividend yield because it represented a more certain return than
capital gains.
Finally, the Fund's multi-management structure helped it perform better. A blend
of the subadvisers' three different value-investing styles produced combined
returns that held up better during the market uncertainty. The subadvisers
stayed within their distinct value disciplines and enabled the Fund to
outperform its benchmark and peer group for the year. The managers believe their
portfolios are well structured for future market conditions.
SUBADVISER DATA
BARROW, HANLEY, MEWHINNEY & STRAUSS, INC.
Founded: 1979
Investment Style: Contrarian value
Investment Approach: Bottom-up fundamental research
Moderately concentrated - fewer than 60 holdings
Low turnover - less than 50 percent per year
SOUTHEASTERN ASSET MANAGEMENT, INC.
Founded: 1975
Investment Style: Special situations value
Investment Approach: Bottom-up fundamental research
Concentrated - 12 to 20 holdings Low turnover -
less than 50 percent per year
15
<Page>
T. ROWE PRICE ASSOCIATES, INC.
Founded: 1937
Investment Style: Relative yield value
Investment Approach: Bottom-up fundamental research
Diversified - between 80 and 100 holdings
Low turnover - less than 50 percent per year
VANTAGEPOINT EQUITY INCOME FUND VS. S&P/BARRA 500 VALUE INDEX AND LIPPER
EQUITY INCOME FUNDS INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
S&P/
BARRA 500
VANTAGEPOINT VALUE INDEX LIPPER
EQUITY INCOME (NO FEES OR EQUITY INCOME
FUND EXPENSES) FUNDS INDEX
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,110 10,303 10,211
10,730 11,191 10,936
10,670 10,994 10,783
Jun 30, 1999 10,960 11,416 11,123
10,680 11,065 10,841
10,260 10,785 10,589
9,820 10,363 10,214
10,070 10,948 10,558
9,830 10,883 10,499
Dec 31, 1999 9,540 11,292 10,629
9,087 10,933 10,226
8,328 10,250 9,650
9,394 11,319 10,543
9,527 11,243 10,463
10,060 11,278 10,621
Jun 30, 2000 9,460 10,832 10,393
9,700 11,049 10,453
10,167 11,790 11,065
10,300 11,788 11,041
10,766 12,008 11,273
10,753 11,393 10,876
Dec 31, 2000 11,215 11,980 11,421
11,477 12,486 11,516
11,477 11,658 11,131
11,174 11,198 10,724
11,628 11,958 11,281
12,013 12,083 11,477
Jun 30, 2001 11,821 11,691 11,192
11,931 11,489 11,180
11,656 10,825 10,811
10,651 9,797 10,066
10,586 9,797 10,118
11,218 10,419 10,640
Dec 31, 2001 11,543 10,577 10,827
11,510 10,287 10,721
11,657 10,195 10,737
12,175 10,717 11,144
11,965 10,180 10,764
11,900 10,221 10,773
Jun 30, 2002 11,171 9,576 10,097
10,165 8,541 9,286
10,295 8,600 9,355
9,355 7,617 8,381
9,550 8,250 8,889
10,247 8,830 9,399
Dec 31, 2002 9,818 8,371 9,048
</Table>
Source for Benchmark Returns: Ibbotson Associates
16
<Page>
VANTAGEPOINT EQUITY INCOME FUND VS. S&P/BARRA 500 VALUE INDEX AND LIPPER
EQUITY INCOME FUNDS INDEX: GROWTH OF $10,000 INVESTED APRIL 1, 1994
[CHART]
<Table>
<Caption>
S&P/
BARRA 500
VANTAGEPOINT VALUE INDEX LIPPER
EQUITY INCOME (NO FEES OR EQUITY INCOME
FUND EXPENSES) FUNDS INDEX
Apr 1, 1994 10,000 10,000 10,000
10,155 10,211 10,131
10,199 10,380 10,246
10,064 10,093 10,096
10,299 10,434 10,381
10,664 10,729 10,726
10,469 10,351 10,524
10,544 10,577 10,580
10,278 10,148 10,185
Dec 31, 1994 10,352 10,273 10,263
10,759 10,551 10,447
11,095 10,961 10,783
11,261 11,263 11,038
11,518 11,634 11,303
11,935 12,151 11,650
11,981 12,243 11,804
12,188 12,665 12,128
12,415 12,773 12,277
12,975 13,218 12,659
12,981 13,012 12,479
13,532 13,694 13,005
Dec 31, 1995 14,012 14,073 13,326
14,291 14,494 13,631
14,318 14,630 13,730
14,405 14,972 13,903
14,371 15,125 14,031
14,661 15,353 14,239
14,860 15,278 14,260
14,391 14,634 13,794
14,641 15,038 14,106
15,256 15,682 14,625
15,719 16,213 14,970
16,689 17,454 15,825
Dec 31, 1996 16,575 17,167 15,724
17,222 17,959 16,299
17,707 18,090 16,524
17,116 17,471 15,989
17,591 18,126 16,465
18,596 19,263 17,413
19,317 19,999 18,072
20,323 21,599 19,160
19,579 20,622 18,546
20,718 21,831 19,487
20,381 21,029 18,916
21,472 21,830 19,544
Dec 31, 1997 22,206 22,315 19,995
22,134 22,040 19,987
23,165 23,693 21,067
24,269 24,893 22,021
23,932 25,188 22,010
23,494 24,833 21,739
23,903 25,022 21,915
23,525 24,478 21,350
21,294 20,542 18,775
22,861 21,790 19,740
24,244 23,497 20,907
25,158 24,721 21,791
Dec 31, 1998 25,764 25,589 22,349
25,253 26,106 22,320
24,720 25,544 21,907
24,992 26,318 22,369
26,525 28,587 23,957
26,376 28,082 23,622
27,093 29,161 24,366
26,401 28,264 23,750
25,363 27,548 23,196
24,275 26,470 22,375
24,893 27,964 23,129
24,300 27,801 23,000
Dec 31, 1999 23,584 28,845 23,285
22,464 27,927 22,402
20,586 26,182 21,141
23,222 28,912 23,097
23,551 28,719 22,921
24,868 28,808 23,267
23,386 27,670 22,767
23,979 28,224 22,899
25,132 30,116 24,241
25,461 30,110 24,188
26,614 30,673 24,695
26,581 29,103 23,826
Dec 31, 2000 27,724 30,602 25,020
28,371 31,894 25,228
28,371 29,780 24,385
27,622 28,604 23,492
28,745 30,545 24,713
29,697 30,864 25,143
29,221 29,865 24,519
29,493 29,348 24,493
28,813 27,652 23,684
26,330 25,025 22,052
26,169 25,025 22,166
27,732 26,613 23,310
Dec 31, 2001 28,533 27,018 23,719
28,454 26,277 23,487
28,815 26,041 23,521
30,097 27,376 24,412
29,577 26,004 23,581
29,417 26,108 23,601
27,614 24,462 22,120
25,128 21,817 20,344
25,450 21,967 20,494
23,126 19,457 18,361
23,607 21,075 19,474
25,331 22,555 20,591
Dec 31, 2002 24,269 21,384 19,821
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT EQUITY INCOME FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -15.0%
Three Years 1.0%
Five Years 1.8%
Since Inception 10.7%
Fund Inception Date April 1, 1994
Fund Registration Date March 1, 1999
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. The Lipper index measures the
performance of a group of mutual funds with similar objectives. Performance
information for periods prior to March 1, 1999 represents the performance of the
Fund prior to its SEC registration. Please consult the current prospectus
carefully prior to investing any money. Vantagepoint securities are distributed
by ICMA-RC Services, LLC, a broker-dealer affiliate of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
17
<Page>
VANTAGEPOINT GROWTH & INCOME FUND
The Vantagepoint Growth & Income Fund seeks long-term capital growth and current
income. The Fund's subadvisers, CAPITAL GUARDIAN TRUST COMPANY, T. ROWE PRICE
ASSOCIATES, INC. and WELLINGTON MANAGEMENT COMPANY LLP, use distinct investment
strategies to select quality companies with the potential to outperform over a
full market cycle.
PERFORMANCE
The Vantagepoint Growth & Income Fund declined 22.9% in 2002. The Fund's market
benchmark, the S&P 500 Index, lost 22.1%. The Lipper Growth & Income Funds
Index, a group of mutual funds with similar objectives, declined 17.9%.
COMMENTARY
For 2002, investor fear and uncertainty caused the stock market to suffer
double-digit declines. The risk factors of uncertain economic growth, volatile
earnings, corporate governance issues and war fears made investors wary of
making new investments in equities. For those already invested there was little
place to hide from the downward selling pressure.
The year began as a continuation of 2001 - stocks generally fell from the start.
Further declines in sectors such as technology and telecommunications shook
investor confidence. With the uncertain backdrop, taking on the risk of stock
investing was not rewarded in 2002.
While stocks did decline in 2002, it was the third quarter that affected
investors most. Investors sold heavily at the beginning and ending of that
quarter, as the focus was on risk avoidance.
During the broad-based selling, the Fund's subadvisers were unable to add much
value through stock selection. Nevertheless, the Fund's multi-management
structure did help to shield investors from wild market swings during the year.
Blending the subadvisers' three different investing styles (value, core and
growth) produced a combination with a consistent, market-like return.
Having weathered similarly uncertain times in the past, the experienced
subadvisers have used this period to search for investment opportunities on
which to build for future returns. They believe their portfolios are well
structured for future market conditions.
SUBADVISER DATA
CAPITAL GUARDIAN TRUST COMPANY
Founded: 1968
Investment Style: Selected opportunities
Investment Approach: Bottom-up fundamental research
Diversified--more than 100 holdings
Low turnover--less than 50 percent per year
T. ROWE PRICE ASSOCIATES, INC.
Founded: 1937
Investment Style: Blue chip growth
Investment Approach: Bottom-up fundamental research
Diversified--between 80 to 100 holdings
Low turnover--less than 50 percent per year
18
<Page>
WELLINGTON MANAGEMENT COMPANY LLP
Founded: 1928
Investment Style: Yield-focused value
Investment Approach: Bottom-up fundamental research
Diversified--between 60 to 80 holdings
Moderate to high turnover--50 percent to 100
percent per year
VANTAGEPOINT GROWTH & INCOME FUND VS. S&P 500 INDEX AND LIPPER GROWTH &
INCOME FUNDS INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
LIPPER
VANTAGEPOINT S&P 500 INDEX GROWTH &
GROWTH & (NO FEES OR INCOME
INCOME FUND EXPENSES) FUNDS INDEX
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,420 10,400 10,345
10,780 10,803 11,015
10,520 10,548 10,856
Jun 30, 1999 11,170 11,133 11,305
10,930 10,786 10,981
10,730 10,732 10,738
10,500 10,438 10,401
11,040 11,099 10,846
11,320 11,324 10,941
Dec 31, 1999 12,350 11,991 11,333
11,756 11,389 10,889
11,902 11,173 10,535
12,892 12,266 11,524
12,642 11,897 11,319
12,631 11,653 11,277
Jun 30, 2000 12,652 11,940 11,234
12,725 11,754 11,194
13,569 12,484 11,890
13,080 11,825 11,564
13,069 11,775 11,598
12,235 10,846 10,962
Dec 31, 2000 12,869 10,899 11,377
13,107 11,286 11,606
12,204 10,257 10,980
11,705 9,607 10,482
12,560 10,354 11,183
12,774 10,423 11,326
Jun 30, 2001 12,537 10,170 11,050
12,454 10,069 10,952
11,824 9,439 10,447
10,826 8,677 9,607
11,128 8,842 9,729
12,023 9,521 10,363
Dec 31, 2001 12,256 9,604 10,532
12,035 9,464 10,379
11,763 9,281 10,311
12,256 9,631 10,714
11,543 9,047 10,311
11,452 8,980 10,298
Jun 30, 2002 10,480 8,340 9,624
9,662 7,690 8,857
9,610 7,741 8,945
8,650 6,899 8,040
9,428 7,507 8,567
10,090 7,949 9,040
Dec 31, 2002 9,446 7,481 8,647
</Table>
Source for Benchmark Returns: Ibbotson Associates
19
<Page>
VANTAGEPOINT GROWTH & INCOME FUND VS. S&P 500 INDEX AND LIPPER GROWTH &
INCOME FUNDS INDEX: GROWTH OF $10,000 INVESTED OCTOBER 2, 1998
[CHART]
<Table>
<Caption>
LIPPER
VANTAGEPOINT S&P 500 INDEX GROWTH &
GROWTH & (NO FEES OR INCOME
INCOME FUND EXPENSES) FUNDS INDEX
Oct 2, 1998 10,000 10,000 10,000
11,135 11,149 11,018
11,830 11,825 11,550
Dec 31, 1998 12,776 12,506 11,942
13,413 13,029 12,054
13,038 12,624 11,788
13,586 13,129 12,195
14,055 13,638 12,985
13,716 13,316 12,797
14,564 14,055 13,326
14,251 13,616 12,944
13,990 13,549 12,658
13,690 13,177 12,260
14,394 14,011 12,785
14,759 14,296 12,898
Dec 31, 1999 16,102 15,138 13,359
15,328 14,377 12,836
15,518 14,105 12,419
16,809 15,485 13,585
16,483 15,019 13,343
16,469 14,711 13,294
16,497 15,074 13,243
16,592 14,838 13,195
17,692 15,760 14,016
17,054 14,928 13,632
17,040 14,865 13,672
15,953 13,693 12,922
Dec 31, 2000 16,780 13,760 13,411
17,090 14,248 13,682
15,912 12,949 12,943
15,261 12,128 12,357
16,377 13,071 13,182
16,656 13,159 13,351
16,346 12,838 13,026
16,237 12,712 12,910
15,416 11,916 12,315
14,115 10,954 11,325
14,509 11,163 11,469
15,675 12,019 12,216
Dec 31, 2001 15,980 12,124 12,415
15,692 11,947 12,235
15,338 11,717 12,155
15,980 12,158 12,630
15,050 11,421 12,155
14,931 11,337 12,139
13,664 10,529 11,345
12,598 9,708 10,441
12,530 9,772 10,545
11,278 8,710 9,478
12,293 9,477 10,098
13,156 10,034 10,656
Dec 31, 2002 12,315 9,444 10,193
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT GROWTH & INCOME FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -22.9%
Three Years -8.6%
Since Inception 5.0%
Fund Inception Date October 2, 1998
Fund Registration Date March 1, 1999
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. The Lipper index measures the
performance of a group of mutual funds with similar objectives. Performance
information for periods prior to March 1, 1999 represents the performance of the
Fund prior to its SEC registration. Please consult the current prospectus
carefully prior to investing any money. Vantagepoint securities are distributed
by ICMA-RC Services, LLC, a broker-dealer affiliate of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
20
<Page>
VANTAGEPOINT GROWTH FUND
The Vantagepoint Growth Fund seeks long-term capital growth by investing
primarily in companies with above-average earnings growth potential. The Fund's
subadvisers, BARCLAYS GLOBAL FUND ADVISORS, BROWN CAPITAL MANAGEMENT, INC.,
FIDELITY MANAGEMENT AND RESEARCH COMPANY, PEREGRINE CAPITAL MANAGEMENT and
TUKMAN CAPITAL MANAGEMENT, INC., use different growth investing approaches to
produce capital gains.
PERFORMANCE
The Vantagepoint Growth Fund declined 24.3% in 2002. The Fund's market
benchmark, the Wilshire 5000 Index, fell 20.9%. The Lipper Growth Funds Index, a
group of mutual funds with similar objectives, lost 24.2%.
COMMENTARY
Stocks of all sizes and styles suffered double-digit declines in 2002, as
investors tried to avoid risk and uncertainty. The Vantagepoint Growth Fund was
not immune.
Investors' concerns over economic uncertainty, company mismanagement, and the
two-year stock market decline led to heavy selling that culminated in July.
Following a brief rise, the market declined again with the buildup of war
uncertainties. A change occurred in early October, when economic news and
earnings forecasts began to improve. The fourth quarter rise could not offset
the previous declines. Moreover, growth stocks, which are more dependent on
future earnings forecasts, significantly lagged.
In July, the Vantagepoint Funds Board of Directors approved changes to the Fund.
TCW Investment Management and Atlanta Capital Management were terminated as
managers. In addition, the S&P 500 Index allocation was lowered from 20% to 5%.
Peregrine Capital Management, which follows a concentrated growth strategy, was
retained as a replacement for TCW. Assets previously managed by Atlanta Capital
Management, as well as the assets from the reduced index allocation, were
reallocated to existing Fund managers Brown Capital Management and Tukman
Capital Management. The Fund's assets are now allocated as follows: Fidelity and
Peregrine Capital Management, 25% each; Brown Capital Management and Tukman
Capital Management, 22.5% each; and Barclays Global Fund Advisors, 5%.
Vantagepoint Investment Advisers believes these changes will continue the Fund's
historical tradition of providing long-term gains.
Started in 1983, the Vantagepoint Growth Fund has weathered turbulent times and
difficult markets to the benefit of long-term investors. The Fund's subadvisers
have a wealth of experience in looking for future growth opportunities, even
during uncertain market environments. Growth stock investing has historically
provided investors with long-term returns.
SUBADVISER DATA
BARCLAYS GLOBAL FUND ADVISORS
Founded: 1990 (1971 as Wells Fargo)
Investment Style: Equitized cash
Investment Approach: Replication of S&P 500 Index
BROWN CAPITAL MANAGEMENT, INC.
Founded: 1983
Investment Style: Well-priced growth
Investment Approach: Bottom-up fundamental research
Moderately diversified - between 55 to 75
holdings Moderate to high turnover - 50 percent
to 100 percent per year
21
<Page>
FIDELITY MANAGEMENT AND RESEARCH COMPANY
Founded: 1981
Investment Style: Aggressive growth
Investment Approach: Bottom-up fundamental research
Broadly diversified - over 200 holdings
High turnover - 75 percent to 150 percent per year
TUKMAN CAPITAL MANAGEMENT, INC.
Founded: 1980
Investment Style: Contrarian growth
Investment Approach: Bottom-up fundamental research
Concentrated - between 15 and 20 holdings
Low turnover - less than 50 percent per year
PEREGRINE CAPITAL MANAGEMENT
Founded: 1984
Investment Style: Concentrated growth
Investment Approach: Bottom-up fundamental analysis
Moderately concentrated - 25 to 35 holdings
Low turnover - less than 50 percent per year
22
<Page>
VANTAGEPOINT GROWTH FUND VS. WILSHIRE 5000 INDEX AND LIPPER GROWTH FUNDS
INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
WILSHIRE
VANTAGEPOINT 5000 INDEX
GROWTH (NO FEES OR LIPPER GROWTH
FUND EXPENSES) FUNDS INDEX
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,570 10,386 10,434
11,340 10,884 10,699
11,080 10,645 10,490
Jun 30, 1999 11,750 11,197 11,110
11,430 10,838 10,836
11,160 10,737 10,714
11,050 10,456 10,535
11,810 11,121 11,184
12,430 11,493 11,657
Dec 31, 1999 14,003 12,366 12,706
13,398 11,853 12,247
14,511 12,118 12,971
15,391 12,838 13,631
14,427 12,169 12,949
13,897 11,744 12,378
Jun 30, 2000 14,904 12,262 13,063
14,480 12,012 12,773
15,889 12,884 13,727
15,211 12,283 12,888
14,904 12,022 12,526
13,218 10,826 11,187
Dec 31, 2000 13,645 11,019 11,322
14,012 11,441 11,618
12,238 10,356 10,270
11,149 9,659 9,462
12,352 10,454 10,350
12,352 10,558 10,338
Jun 30, 2001 12,175 10,381 10,123
11,795 10,209 9,844
10,946 9,591 9,158
9,667 8,730 8,173
10,339 8,952 8,474
11,387 9,636 9,196
Dec 31, 2001 11,569 9,810 9,286
11,513 9,688 9,057
10,982 9,489 8,698
11,569 9,904 9,088
10,912 9,420 8,609
10,716 9,310 8,497
Jun 30, 2002 9,878 8,655 7,811
9,096 7,957 7,240
9,152 8,003 7,299
8,244 7,200 6,592
8,984 7,751 7,126
9,389 8,218 7,526
Dec 31, 2002 8,762 7,763 7,039
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT GROWTH FUND VS. WILSHIRE 5000 INDEX AND LIPPER GROWTH FUNDS
INDEX: GROWTH OF $10,000 INVESTED DECEMBER 31, 1992
[CHART]
<Table>
<Caption>
WILSHIRE
VANTAGEPOINT 5000 INDEX
GROWTH (NO FEES OR LIPPER GROWTH
FUND EXPENSES) FUNDS INDEX
Dec 31, 1992 10,000 10,000 10,000
10,104 10,123 10,143
9,542 10,165 10,010
9,866 10,426 10,297
9,440 10,138 10,018
10,132 10,456 10,416
10,378 10,504 10,448
10,447 10,503 10,436
10,924 10,908 10,880
11,216 10,929 10,950
11,257 11,112 11,131
10,806 10,931 10,905
Dec 31, 1993 11,162 11,128 11,197
11,522 11,479 11,584
11,289 11,221 11,394
10,618 10,713 10,862
10,697 10,816 10,949
10,564 10,922 11,002
10,218 10,630 10,624
10,541 10,945 10,925
11,099 11,428 11,390
10,902 11,207 11,146
11,216 11,390 11,358
10,689 10,973 10,926
Dec 31, 1994 10,747 11,121 11,021
10,730 11,361 11,062
11,215 11,814 11,471
11,573 12,125 11,818
11,834 12,427 12,153
12,085 12,847 12,521
12,689 13,257 13,083
13,529 13,803 13,715
13,695 13,937 13,859
14,098 14,469 14,271
13,751 14,324 14,081
14,475 14,930 14,557
Dec 31, 1995 14,685 15,175 14,618
14,960 15,581 14,972
15,567 15,853 15,207
15,767 16,027 15,277
16,343 16,423 15,660
16,770 16,872 15,938
16,305 16,733 15,781
15,216 15,830 14,928
16,040 16,337 15,378
16,886 17,206 16,238
16,883 17,447 16,472
17,882 18,603 17,513
Dec 31, 1996 17,858 18,393 17,180
18,609 19,378 18,075
18,176 19,369 17,936
17,461 18,512 17,115
17,998 19,320 17,868
19,399 20,689 19,104
20,154 21,639 19,819
22,119 23,303 21,461
21,891 22,427 20,670
23,156 23,750 21,852
22,052 22,959 21,146
22,019 23,711 21,632
Dec 31, 1997 22,473 24,149 21,998
22,115 24,280 22,145
23,913 26,048 23,707
25,096 27,351 24,721
25,487 27,676 24,986
24,348 26,939 24,371
25,054 27,884 25,424
24,142 27,273 25,154
19,403 23,026 21,115
21,087 24,530 22,523
22,598 26,355 24,082
24,067 28,014 25,517
Dec 31, 1998 26,931 29,807 27,650
28,022 30,903 28,831
26,117 29,783 27,848
27,605 30,932 29,056
29,616 32,415 29,794
28,937 31,705 29,213
30,687 33,346 30,940
29,851 32,277 30,176
29,146 31,976 29,835
28,859 31,141 29,336
30,844 33,121 31,143
32,463 34,230 32,461
Dec 31, 1999 36,570 36,829 35,382
34,992 35,301 34,105
37,899 36,091 36,121
40,197 38,235 37,959
37,678 36,243 36,061
36,293 34,977 34,471
38,923 36,520 36,377
37,816 35,775 35,570
41,498 38,372 38,227
39,726 36,581 35,891
38,923 35,804 34,882
34,522 32,242 31,153
Dec 31, 2000 35,635 32,817 31,530
36,595 34,074 32,353
31,963 30,842 28,600
29,117 28,766 26,350
32,260 31,133 28,822
32,260 31,443 28,790
31,797 30,916 28,191
30,805 30,406 27,412
28,588 28,566 25,503
25,246 26,000 22,759
27,002 26,661 23,597
29,739 28,700 25,610
Dec 31, 2001 30,214 29,216 25,860
30,069 28,853 25,222
28,682 28,260 24,221
30,214 29,497 25,307
28,498 28,057 23,975
27,988 27,727 23,663
25,799 25,778 21,752
23,756 23,697 20,162
23,901 23,836 20,326
21,530 21,444 18,358
23,463 23,086 19,845
24,521 24,477 20,959
Dec 31, 2002 22,883 23,121 19,602
</Table>
Source for Benchmark Returns: Ibbotson Associates
23
<Page>
VANTAGEPOINT GROWTH FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -24.3%
Three Years -14.5%
Five Years 0.4%
Ten Years 8.6%
Fund Inception Date April 1, 1983
Fund Registration Date March 1, 1999
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. The Lipper index measures the
performance of a group of mutual funds with similar objectives. Performance
information for periods prior to March 1, 1999 represents the performance of the
Fund prior to its SEC registration. Please consult the current prospectus
carefully prior to investing any money. Vantagepoint securities are distributed
by ICMA-RC Services, LLC, a broker-dealer affiliate of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
24
<Page>
VANTAGEPOINT AGGRESSIVE OPPORTUNITIES FUND
The Vantagepoint Aggressive Opportunities Fund seeks high long-term capital
appreciation. The Fund's subadvisers, ROXBURY CAPITAL MANAGEMENT LLC,
SOUTHEASTERN ASSET MANAGEMENT, INC., and WELLINGTON MANAGEMENT COMPANY LLP,
invest primarily in stocks of small- to medium-sized which have produced
historically competitive returns.
PERFORMANCE
The Vantagepoint Aggressive Opportunities Fund fell 38.5% in 2002. The Fund's
market benchmark, the Wilshire 4500 Index, lost 17.7%. The Lipper Capital
Appreciation Funds Index, a group of mutual funds with similar objectives,
declined 24.0%.
COMMENTARY
While stocks declined broadly in 2002, those stocks viewed as high risk were hit
especially hard. These are the types of stocks generally held by the Fund's
managers. The managers pursue higher return/higher risk stocks in keeping with
the Fund's objective of high long-term capital appreciation.
Investors' concerns owing to economic uncertainty, company mismanagement and the
two-year stock market decline led to heavy selling that culminated in July.
Following a brief rise, the market declined again with the buildup of war
uncertainties. A change occurred in early October, when economic news and
earnings forecasts began to improve. The fourth quarter rise could not offset
the previous declines. Moreover, growth stocks, which are more dependent on
future forecasts, significantly lagged.
The Fund made an important change in July. Two managers were replaced with two
new subadvisers, both of whom look in the U.S. and internationally for stock
opportunities. Southeastern Asset Management, Inc. and Wellington Management
Company LLP replaced MFS Institutional Advisors and TCW Investment Management.
Wellington pursues smaller growth companies worldwide. Southeastern concentrates
on special situations worldwide. Foreign currencies are generally hedged to the
U.S. dollar to diminish any foreign currency risk.
As has been evident over the Fund's eight-year history, the aggressive nature of
the Fund has historically produced returns that fluctuate more than the general
stock market, in both up and down markets. Unfortunately, this means the Fund
has produced large negative returns during the extended bear market. The
managers have focused on taking advantage of the price declines to establish
portfolios that they believe will perform well in the future.
SUBADVISER DATA
ROXBURY CAPITAL MANAGEMENT LLC
Founded: 1986
Investment Style: Quality growth
Investment Approach: Bottom-up fundamental research
Moderately diversified - 45 to 65 holdings
Moderate to high turnover--50 percent to 100
percent per year
SOUTHEASTERN ASSET MANAGEMENT, INC.
Founded: 1975
Investment Style: Worldwide special situations
Investment Approach: Bottom-up fundamental research
Concentrated--12 to 20 holdings
Low turnover--less than 50 percent per year
25
<Page>
WELLINGTON CAPITAL MANAGEMENT LLP
Founded: 1928
Investment Style: Worldwide growth opportunities
Investment Approach: Bottom-up fundamental research
Broadly Diversified - 150 to 200 holdings
Moderate to high turnover - 50 percent to 100
percent per year
VANTAGEPOINT AGGRESSIVE OPPORTUNITIES FUND VS. WILSHIRE 4500 INDEX AND
LIPPER CAPITAL APPRECIATION FUNDS INDEX: GROWTH OF $10,000 INVESTED
MARCH 1, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT WILSHIRE LIPPER
AGGRESSIVE 4500 INDEX CAPITAL
OPPORTUNITIES (NO FEES OR APPRECIATION
FUND EXPENSES) FUNDS INDEX
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,580 10,390 10,511
11,310 11,219 11,020
11,350 11,122 10,870
Jun 30, 1999 12,320 11,589 11,531
11,650 11,238 11,260
11,570 10,959 11,149
Sep 30, 1999 11,680 10,874 11,074
12,520 11,430 11,677
13,960 12,394 12,351
Dec 31, 1999 16,339 14,102 13,959
15,647 13,933 13,558
18,167 16,101 14,878
Mar 31, 2000 17,733 15,505 15,215
16,411 13,640 13,583
15,430 12,633 12,836
Jun 30, 2000 17,113 14,151 13,744
16,545 13,749 13,442
18,487 15,283 14,732
Sep 30, 2000 17,909 14,661 13,972
16,669 13,463 13,348
13,715 11,172 11,722
Dec 31, 2000 14,812 11,879 12,153
16,228 12,525 12,847
13,985 11,003 11,307
Mar 31, 2001 12,343 9,993 10,420
14,436 11,050 11,421
14,499 11,312 11,424
Jun 30, 2001 14,687 11,403 11,252
13,684 10,876 10,792
12,356 10,347 10,106
Sep 30, 2001 10,226 9,016 8,872
10,957 9,489 9,267
12,123 10,226 10,011
Dec 31, 2001 12,775 10,774 10,219
11,947 10,571 9,975
11,082 10,272 9,629
Mar 31, 2002 11,948 10,968 10,128
11,133 10,861 9,656
10,607 10,620 9,492
Jun 30, 2002 9,503 9,898 8,677
8,375 8,938 7,913
8,237 8,990 7,942
Sep 30, 2002 7,535 8,384 7,314
7,798 8,659 7,797
8,325 9,257 8,293
Dec 31, 2002 7,861 8,867 7,768
</Table>
Source for Benchmark Returns: Ibbotson Associates
26
<Page>
VANTAGEPOINT AGGRESSIVE OPPORTUNITIES FUND VS. WILSHIRE 4500 INDEX AND
LIPPER CAPITAL APPRECIATION FUNDS INDEX: GROWTH OF $10,000 INVESTED
OCTOBER 1, 1994
[CHART]
<Table>
<Caption>
VANTAGEPOINT WILSHIRE LIPPER
AGGRESSIVE 4500 INDEX CAPITAL
OPPORTUNITIES (NO FEES OR APPRECIATION
FUND EXPENSES) FUNDS INDEX
Oct 1, 1994 10,000 10,000 10,000
10,355 10,043 10,117
10,099 9,637 9,768
Dec 31, 1994 10,504 9,750 9,857
10,359 9,844 9,911
10,955 10,262 10,273
11,401 10,488 10,544
11,546 10,623 10,725
11,883 10,859 10,994
12,691 11,383 11,530
13,791 12,053 12,210
14,069 12,334 12,345
14,588 12,668 12,667
14,142 12,328 12,419
14,571 12,852 12,877
Dec 31, 1995 14,638 13,014 12,969
15,047 13,148 13,216
15,759 13,575 13,545
15,847 13,783 13,684
17,064 14,424 14,263
17,798 14,878 14,681
17,110 14,411 14,288
15,967 13,329 13,242
16,853 14,049 13,833
17,841 14,719 14,635
17,728 14,502 14,447
18,434 15,114 15,074
Dec 31, 1996 18,371 15,250 14,910
18,815 15,743 15,524
18,428 15,410 15,037
17,515 14,605 14,236
17,665 14,641 14,519
19,346 16,097 15,734
20,035 16,860 16,423
21,262 18,021 17,614
21,312 18,185 17,283
22,602 19,445 18,320
21,749 18,704 17,591
21,819 18,710 17,626
Dec 31, 1997 21,565 19,167 17,885
21,412 18,894 17,890
23,173 20,339 19,266
24,253 21,390 20,170
24,672 21,661 20,361
23,684 20,649 19,708
23,858 20,971 20,510
22,359 19,783 19,948
17,867 15,950 16,521
19,039 17,101 17,566
20,244 18,073 18,577
21,940 19,197 19,652
Dec 31, 1998 24,188 20,822 21,456
25,202 21,156 22,469
23,402 20,005 21,395
24,759 20,786 22,488
26,467 22,444 23,577
26,561 22,249 23,256
28,831 23,184 24,670
27,263 22,483 24,090
27,076 21,923 23,854
27,333 21,753 23,692
29,299 22,865 24,983
32,669 24,795 26,425
Dec 31, 1999 38,235 28,211 29,865
36,616 27,874 29,008
42,513 32,210 31,830
41,498 31,018 32,553
38,405 27,287 29,060
36,109 25,273 27,462
40,048 28,308 29,406
38,719 27,505 28,759
43,263 30,574 31,520
41,909 29,330 29,894
39,009 26,933 28,557
32,097 22,349 25,079
Dec 31, 2000 34,663 23,764 26,002
37,976 25,057 27,487
32,727 22,012 24,191
28,886 19,992 22,294
33,783 22,106 24,434
33,930 22,629 24,442
34,369 22,813 24,073
32,023 21,757 23,090
28,915 20,700 21,623
23,930 18,038 18,981
25,642 18,983 19,827
28,371 20,458 21,417
Dec 31, 2001 29,896 21,554 21,864
27,959 21,147 21,341
25,935 20,548 20,602
27,960 21,942 21,670
26,054 21,727 20,659
24,821 21,246 20,309
22,240 19,802 18,563
19,600 17,881 16,930
19,277 17,985 16,991
17,634 16,772 15,649
18,250 17,323 16,683
19,481 18,518 17,743
Dec 31, 2002 18,396 17,738 16,621
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT AGGRESSIVE OPPORTUNITIES FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -38.5%
Three Years -21.6%
Five Years -3.1%
Since Inception 7.7%
Fund Inception Date October 1, 1994
Fund Registration Date March 1, 1999
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. The Lipper index measures the
performance of a group of mutual funds with similar objectives. Performance
information for periods prior to March 1, 1999 represents the performance of the
Fund prior to its SEC registration. Please consult the current prospectus
carefully prior to investing any money. Vantagepoint securities are distributed
by ICMA-RC Services, LLC, a broker-dealer affiliate of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
27
<Page>
VANTAGEPOINT INTERNATIONAL FUND
The Vantagepoint International Fund seeks long-term capital growth and
diversification by country. The Fund's subadvisers use distinct investment
strategies to select among countries and companies. Two subadvisers manage the
Fund: CAPITAL GUARDIAN TRUST COMPANY and ARTISAN PARTNERS LP. Each manager
employs a unique investment strategy to achieve the Fund's objective.
PERFORMANCE
The International Fund declined 16.1% for the year. The Fund's benchmark, the
Morgan Stanley Capital International Europe, Australasia, and Far East (EAFE)
Index of stocks in developed countries, was down 15.7%. The Lipper International
Funds Index, a group of mutual funds with similar objectives, lost 13.8%.
COMMENTARY
The international equity market was as challenging for international stocks as
the domestic market was for U.S. equities. Stocks in most countries were hurt by
investors trying to avoid risk and uncertainty. Slowing economies, war fears and
the further fall of technology and telecommunication stocks shook investor
confidence. With all economic sectors declining sharply, it was a year in which
stock investors had little place to hide.
Although down for the year, international equity markets as a whole outperformed
the U.S. market. In "local" stock market terms, international returns were
slightly worse. ("Local" means priced in that country's currency.) However, for
U.S. investors, the foreign returns were more favorable because many foreign
currencies rose against the U.S. dollar.
Despite poor Japanese economic news, stocks in Japan declined less than their
European counterparts.
Artisan Partners was added to the Fund in October. The firm's "International
Growth Opportunities" investment approach seeks to find growing companies with a
sustainable competitive advantage. The analyst team conducts in-depth stock
research, with Mark Yockey, CFA, who has worked in international investments
since 1981, managing the portfolio. Artisan Partners was founded in 1995 and has
approximately $18 billion in assets under management. The firm's opportunistic
approach complements Capital Guardian's "selected opportunities" investing
style. The two subadvisers each manage one-half of the Fund.
On balance, the Fund's subadvisers are focusing on the stocks of higher quality
companies, which have been marked down as a result of the global stock sell-off.
They believe that many high-quality companies are selling at prices lower than
comparable U.S. companies, offering the potential to continue with historical
long-term returns.
SUBADVISER DATA
CAPITAL GUARDIAN TRUST COMPANY
Founded: 1968
Investment Style: International selected opportunities
Investment Approach: Bottom-up fundamental research
Broadly diversified - more than 150 holdings
Low turnover - less than 50 percent per year
28
<Page>
ARTISAN PARTNERS LP
Founded: 1995
Investment Style: International growth opportunities
Investment Approach: Bottom-up fundamental research
Diversified - 80 to 120 holdings
Low to moderate turnover - 30 percent to 80
percent per year
VANTAGEPOINT INTERNATIONAL FUND VS. MSCI EAFE INDEX AND LIPPER
INTERNATIONAL FUNDS INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT MSCI EAFE INDEX LIPPER
INTERNATIONAL (NO FEES OR INTERNATIONAL
FUND EXPENSES) FUNDS INDEX
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,450 10,420 10,333
10,940 10,844 10,815
10,530 10,288 10,412
Jun 30, 1999 11,070 10,692 10,906
11,460 11,012 11,149
11,640 11,055 11,237
11,760 11,169 11,273
12,160 11,589 11,666
12,800 11,994 12,522
Dec 31, 1999 14,262 13,073 14,060
13,423 12,245 13,238
13,879 12,577 14,112
14,252 13,067 14,148
13,588 12,381 13,251
13,236 12,081 12,887
Jun 30, 2000 13,816 12,557 13,484
13,319 12,033 13,047
13,526 12,140 13,267
12,666 11,551 12,494
12,262 11,281 12,069
11,816 10,860 11,560
Dec 31, 2000 12,136 11,248 11,991
12,249 11,243 12,062
11,378 10,401 11,215
10,598 9,712 10,426
11,378 10,394 11,061
10,971 10,035 10,793
Jun 30, 2001 10,553 9,628 10,489
10,247 9,454 10,216
10,010 9,216 10,011
8,890 8,285 8,920
9,158 8,497 9,162
9,536 8,811 9,504
Dec 31, 2001 9,690 8,863 9,673
9,228 8,393 9,283
9,334 8,452 9,413
9,867 8,914 9,911
9,855 8,978 9,981
9,914 9,100 10,123
Jun 30, 2002 9,512 8,741 9,724
8,543 7,879 8,753
8,496 7,863 8,760
7,646 7,020 7,817
8,130 7,398 8,222
8,473 7,735 8,611
Dec 31, 2002 8,132 7,475 8,336
</Table>
Source for Benchmark Returns: Ibbotson Associates
29
<Page>
VANTAGEPOINT INTERNATIONAL FUND VS. MSCI EAFE INDEX AND LIPPER
INTERNATIONAL FUNDS INDEX: GROWTH OF $10,000 INVESTED OCTOBER 1, 1994
[CHART]
<Table>
<Caption>
VANTAGEPOINT MSCI EAFE INDEX LIPPER
INTERNATIONAL (NO FEES OR INTERNATIONAL
FUND EXPENSES) FUNDS INDEX
Oct 1, 1994 10,000 10,000 10,000
10,255 10,335 10,179
9,809 9,841 9,704
Dec 31, 1994 9,643 9,905 9,575
9,267 9,527 9,100
9,372 9,502 9,097
9,597 10,097 9,336
9,952 10,479 9,680
10,107 10,357 9,775
10,122 10,178 9,812
10,628 10,815 10,351
10,382 10,405 10,176
10,548 10,611 10,346
10,331 10,328 10,131
10,427 10,618 10,237
Dec 31, 1995 10,683 11,049 10,533
11,000 11,097 10,782
11,086 11,137 10,828
11,222 11,377 10,997
11,529 11,710 11,356
11,565 11,497 11,343
11,661 11,565 11,447
11,313 11,230 11,061
11,530 11,257 11,205
11,728 11,559 11,456
11,763 11,444 11,410
12,254 11,902 11,946
Dec 31, 1996 12,442 11,752 12,052
12,448 11,343 12,068
12,595 11,531 12,286
12,641 11,576 12,352
12,728 11,640 12,406
13,343 12,401 13,106
13,866 13,087 13,735
14,228 13,302 14,176
13,310 12,311 13,154
14,119 13,003 13,998
13,048 12,007 12,936
12,962 11,887 12,827
Dec 31, 1997 12,999 11,994 12,927
13,249 12,545 13,240
13,988 13,353 14,080
14,565 13,767 14,845
14,664 13,879 15,074
14,314 13,815 15,104
14,045 13,922 14,972
14,061 14,067 15,201
12,015 12,327 13,014
11,868 11,952 12,609
13,038 13,202 13,536
13,556 13,881 14,214
Dec 31, 1998 13,644 14,432 14,564
13,445 14,393 14,653
13,298 14,053 14,276
13,896 14,643 14,752
14,548 15,240 15,439
14,003 14,458 14,865
14,721 15,025 15,569
15,239 15,475 15,916
15,479 15,535 16,042
15,638 15,695 16,093
16,170 16,287 16,655
17,021 16,856 17,876
Dec 31, 1999 18,965 18,372 20,073
17,849 17,208 18,899
18,455 17,674 20,146
18,952 18,363 20,198
18,069 17,400 18,918
17,601 16,978 18,398
18,373 17,646 19,249
17,711 16,910 18,626
17,987 17,060 18,940
16,843 16,233 17,836
16,305 15,853 17,230
15,713 15,262 16,503
Dec 31, 2000 16,138 15,808 17,118
16,289 15,800 17,219
15,130 14,617 16,010
14,093 13,649 14,885
15,130 14,606 15,790
14,589 14,102 15,408
14,033 13,531 14,974
13,626 13,286 14,584
13,311 12,952 14,292
11,822 11,643 12,735
12,178 11,941 13,080
12,681 12,382 13,568
Dec 31, 2001 12,885 12,456 13,810
12,272 11,795 13,253
12,413 11,878 13,438
13,120 12,526 14,149
13,105 12,617 14,248
13,183 12,788 14,452
12,649 12,284 13,882
11,360 11,072 12,496
11,298 11,050 12,506
10,167 9,866 11,159
10,811 10,397 11,738
11,268 10,870 12,294
Dec 31, 2002 10,814 10,505 11,900
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT INTERNATIONAL FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -16.1%
Three Years -17.1%
Five Years -3.6%
Since Inception 1.0%
Fund Inception Date October 1, 1994
Fund Registration Date March 1, 1999
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. The Lipper index measures the
performance of a group of mutual funds with similar objectives. Performance
information for periods prior to March 1, 1999 represents the performance of the
Fund prior to its SEC registration. Please consult the current prospectus
carefully prior to investing any money. Vantagepoint securities are distributed
by ICMA-RC Services, LLC, a broker-dealer affiliate of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
30
<Page>
VANTAGEPOINT INDEX FUNDS
COMMENTARY
The U.S. bond market continued its upward trend in recent years, outperforming
the stock market for the third consecutive year. Bond prices moved higher as
investors shied away from the risk of stock ownership in favor of the relative
safety of bonds. The Vantagepoint Core Bond Index Fund (Class II shares)
responded accordingly, rising 9.9%. The Fund tracks the Lehman Brothers
Aggregate Bond Index, which gained 10.3%.
The U.S. equity markets continued their descent in 2002, marking their third
consecutive annual decline. Doubts about the economy and corporate earnings,
along with increased global tension, weighed on investors' confidence and pushed
the major indexes lower. The Vantagepoint 500 Stock Index Fund (Class II shares)
fell 22.2%. The Fund tracks the S&P 500 Index, which dropped 22.1%. The
Vantagepoint Broad Market Index Fund (Class II shares) declined 21.4%. The Fund
tracks the Wilshire 5000 Index, which fell 20.9%. The Wilshire 5000 comprises
all U.S. headquartered equity securities. The Vantagepoint Mid/Small Company
Index Fund (Class II shares) dropped 18.3%. The Fund tracks the Wilshire 4500
Index, which declined 17.7% in 2002. The Wilshire 4500 Index measures the
performance of small- and mid-sized companies.
International markets also experienced disappointing returns, but fared better
than U.S. equities thanks to the U.S. dollar's depreciation. Stocks in Europe
and Asia generally outperformed U.S. stocks. The MSCI Europe, Australasia, Far
East Free Index (EAFE) dropped 15.7%, composed of a 25.8% stock price decline,
and 10.2% currency gain. The Vantagepoint Overseas Equity Index Fund (Class II
shares) declined 16.6%.
Each Vantagepoint Index Fund invests in a portfolio managed by BARCLAYS GLOBAL
FUND ADVISORS, INC., one of the world's largest index managers. The portfolio
management approach is designed to match benchmark performance and minimize
transaction costs.
31
<Page>
VANTAGEPOINT CORE BOND INDEX FUND
VANTAGEPOINT CORE BOND INDEX FUND CLASS I VS. LEHMAN BROTHERS AGGREGATE
BOND INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT LEHMAN BROTHERS
CORE BOND AGGREGATE BOND INDEX
INDEX FUND (NO FEES OR
CLASS I EXPENSES)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,049 10,055
10,056 10,087
9,938 9,998
Jun 30, 1999 9,896 9,966
9,871 9,925
9,858 9,920
9,955 10,035
9,971 10,072
9,969 10,071
Dec 31, 1999 9,895 10,022
9,878 9,989
10,005 10,110
10,145 10,244
10,088 10,214
10,061 10,209
Jun 30, 2000 10,265 10,421
10,370 10,516
10,516 10,669
10,557 10,736
10,628 10,807
10,804 10,984
Dec 31, 2000 11,026 11,188
11,196 11,371
11,315 11,469
11,362 11,527
11,279 11,478
11,342 11,547
Jun 30, 2001 11,385 11,591
11,677 11,851
11,818 11,987
11,941 12,126
12,250 12,380
12,046 12,209
Dec 31, 2001 11,965 12,131
12,051 12,229
12,175 12,347
11,944 12,142
12,177 12,378
12,273 12,483
Jun 30, 2002 12,362 12,592
12,520 12,744
12,722 12,960
12,924 13,170
12,875 13,109
12,861 13,105
Dec 31, 2002 13,125 13,376
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT CORE BOND INDEX FUND CLASS II VS. LEHMAN BROTHERS AGGREGATE
BOND INDEX: GROWTH OF $10,000 INVESTED APRIL 5, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT LEHMAN BROTHERS
CORE BOND AGGREGATE BOND INDEX
INDEX FUND (NO FEES OR
CLASS II EXPENSES)
Apr 5, 1999 10,000 10,000
10,033 10,032
9,914 9,944
Jun 30, 1999 9,877 9,912
9,856 9,870
9,845 9,865
9,935 9,980
9,956 10,017
9,949 10,016
Dec 31, 1999 9,881 9,968
9,876 9,935
9,994 10,055
10,135 10,188
10,079 10,158
10,065 10,153
Jun 30, 2000 10,270 10,364
10,366 10,459
10,513 10,610
10,556 10,677
10,628 10,747
10,817 10,924
Dec 31, 2000 11,040 11,127
11,212 11,308
11,332 11,407
11,381 11,464
11,289 11,416
11,353 11,484
Jun 30, 2001 11,410 11,528
11,692 11,786
11,846 11,921
11,972 12,060
12,282 12,312
12,081 12,142
Dec 31, 2001 12,001 12,064
12,089 12,162
12,215 12,280
11,986 12,076
12,221 12,310
12,319 12,415
Jun 30, 2002 12,410 12,523
12,571 12,674
12,775 12,889
12,980 13,097
12,933 13,037
12,920 13,033
Dec 31, 2002 13,187 13,303
</Table>
Source for Benchmark Returns: Ibbotson Associates
32
<Page>
VANTAGEPOINT CORE BOND INDEX FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
<Caption>
CLASS I SHARES CLASS II SHARES
One Year 9.7% 9.9%
Three Years 9.9% 10.1%
Five Years 6.9% 7.1%
Since Inception 7.5% 7.7%
Inception Date June 2, 1997 June 2, 1997
Offering Date March 1, 1999 April 5, 1999
</Table>
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. Please consult the current prospectus carefully
prior to investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
33
<Page>
VANTAGEPOINT 500 STOCK INDEX FUND
VANTAGEPOINT 500 STOCK INDEX FUND CLASS I VS. S&P 500 INDEX: GROWTH OF
$10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT S&P 500
500 STOCK INDEX
INDEX FUND (NO FEES OR
CLASS I EXPENSES)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,400 10,400
10,790 10,803
10,530 10,548
Jun 30, 1999 11,110 11,133
10,760 10,786
10,710 10,732
10,410 10,438
11,070 11,099
11,290 11,324
Dec 31, 1999 11,952 11,991
11,347 11,389
11,125 11,173
12,204 12,266
11,831 11,897
11,589 11,653
Jun 30, 2000 11,861 11,940
11,680 11,754
12,396 12,484
11,740 11,825
11,680 11,775
10,762 10,846
Dec 31, 2000 10,804 10,899
11,187 11,286
10,162 10,257
9,509 9,607
10,245 10,354
10,317 10,423
Jun 30, 2001 10,058 10,170
9,955 10,069
9,323 9,439
8,567 8,677
8,733 8,842
9,392 9,521
Dec 31, 2001 9,476 9,604
9,330 9,464
9,152 9,281
9,487 9,631
8,911 9,047
8,837 8,980
Jun 30, 2002 8,209 8,340
7,570 7,690
7,612 7,741
6,785 6,899
7,382 7,507
7,811 7,949
Dec 31, 2002 7,354 7,481
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT 500 STOCK INDEX FUND CLASS II VS. S&P 500 INDEX: GROWTH OF
$10,000 INVESTED APRIL 5, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT S&P 500
500 STOCK INDEX
INDEX FUND (NO FEES OR
CLASS II EXPENSES)
Apr 5, 1999 10,000 10,000
10,320 10,387
10,080 10,142
Jun 30, 1999 10,640 10,705
10,300 10,371
10,250 10,319
9,970 10,037
10,600 10,672
10,810 10,889
Dec 31, 1999 11,443 11,530
10,867 10,951
10,655 10,743
11,696 11,794
11,342 11,440
11,110 11,205
Jun 30, 2000 11,373 11,481
11,201 11,302
11,888 12,003
11,262 11,370
11,211 11,322
10,321 10,429
Dec 31, 2000 10,372 10,480
10,737 10,852
9,757 9,862
9,132 9,238
9,841 9,956
9,903 10,022
Jun 30, 2001 9,663 9,778
9,559 9,682
8,965 9,076
8,235 8,343
8,391 8,502
9,036 9,154
Dec 31, 2001 9,110 9,235
8,972 9,100
8,804 8,924
9,131 9,260
8,572 8,699
8,508 8,635
Jun 30, 2002 7,906 8,019
7,282 7,394
7,335 7,443
6,532 6,634
7,113 7,218
7,525 7,643
Dec 31, 2002 7,090 7,193
</Table>
Source for Benchmark Returns: Ibbotson Associates
34
<Page>
VANTAGEPOINT 500 STOCK INDEX FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
<Caption>
CLASS I SHARES CLASS II SHARES
One Year -22.4% -22.2%
Three Years -14.9% -14.8%
Five Years -1.0% -0.8%
Since Inception 1.7% 1.9%
Inception Date June 2, 1997 June 2, 1997
Offering Date March 1, 1999 April 5, 1999
</Table>
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. Please consult the current prospectus carefully
prior to investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
35
<Page>
VANTAGEPOINT BROAD MARKET INDEX FUND
VANTAGEPOINT BROAD MARKET INDEX FUND CLASS I VS. WILSHIRE 5000 INDEX:
GROWTH OF $10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT WILSHIRE
BROAD MARKET 5000 INDEX
INDEX FUND (NO FEES OR
CLASS I EXPENSES)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,390 10,386
10,880 10,884
10,660 10,645
Jun 30, 1999 11,220 11,197
10,870 10,838
10,770 10,737
Sep 30, 1999 10,510 10,456
11,150 11,121
11,520 11,493
Dec 31, 1999 12,407 12,366
11,888 11,853
12,173 12,118
Mar 31, 2000 12,904 12,838
12,224 12,169
11,817 11,744
Jun 30, 2000 12,356 12,262
12,132 12,012
13,016 12,884
Sep 30, 2000 12,356 12,283
12,081 12,022
10,882 10,826
Dec 31, 2000 11,069 11,019
11,494 11,441
10,373 10,356
Mar 31, 2001 9,644 9,659
10,449 10,454
10,547 10,558
Jun 30, 2001 10,362 10,381
10,177 10,209
9,567 9,591
Sep 30, 2001 8,686 8,730
8,902 8,952
9,590 9,637
Dec 31, 2001 9,756 9,810
9,601 9,688
9,390 9,489
Mar 31, 2002 9,800 9,904
9,301 9,420
9,202 9,310
Jun 30, 2002 8,548 8,655
7,849 7,957
7,893 8,003
Sep 30, 2002 7,106 7,200
7,638 7,751
8,104 8,218
Dec 31, 2002 7,646 7,763
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT BROAD MARKET INDEX FUND CLASS II VS. WILSHIRE 5000 INDEX:
GROWTH OF $10,000 INVESTED APRIL 5, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT WILSHIRE
BROAD MARKET 5000 INDEX
INDEX FUND (NO FEES OR
CLASS II EXPENSES)
Apr 5, 1999 10,000 10,000
10,410 10,479
10,210 10,250
Jun 30, 1999 10,750 10,780
10,410 10,435
10,320 10,338
10,070 10,067
10,690 10,708
11,040 11,066
Dec 31, 1999 11,901 11,907
11,402 11,412
11,677 11,668
12,380 12,361
11,728 11,717
11,341 11,308
Jun 30, 2000 11,850 11,806
11,646 11,566
12,492 12,405
11,870 11,826
11,595 11,575
10,454 10,424
Dec 31, 2000 10,628 10,609
11,046 11,016
9,958 9,971
9,265 9,300
10,046 10,065
10,134 10,165
Jun 30, 2001 9,958 9,995
9,782 9,830
9,199 9,235
8,353 8,405
8,562 8,619
9,225 9,278
Dec 31, 2001 9,382 9,445
9,236 9,328
9,044 9,136
9,438 9,536
8,966 9,070
8,865 8,964
Jun 30, 2002 8,235 8,334
7,561 7,661
7,605 7,706
6,842 6,933
7,370 7,463
7,809 7,913
Dec 31, 2002 7,374 7,475
</Table>
Source for Benchmark Returns: Ibbotson Associates
36
<Page>
VANTAGEPOINT BROAD MARKET INDEX FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
<Caption>
CLASS I SHARES CLASS II SHARES
One Year -21.6% -21.4%
Three Years -14.9% -14.7%
Five Years -1.4% -1.2%
Ten Years 8.6% 8.9%
Inception Date October 1, 1994 October 1, 1994
Offering Date March 1, 1999 April 5, 1999
</Table>
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. Please consult the current prospectus carefully
prior to investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
37
<Page>
VANTAGEPOINT MID/SMALL COMPANY INDEX FUND
VANTAGEPOINT MID/SMALL COMPANY INDEX FUND CLASS I VS. WILSHIRE 4500 INDEX:
GROWTH OF $10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT WILSHIRE 4500
MID/SMALL INDEX
COMPANY INDEX (NO FEES OR
FUND CLASS I EXPENSES)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,370 10,390
11,190 11,219
11,140 11,122
Jun 30, 1999 11,610 11,589
11,230 11,238
10,980 10,959
10,870 10,874
11,430 11,430
12,370 12,394
Dec 31, 1999 14,090 14,102
13,888 13,933
16,024 16,101
15,457 15,505
13,655 13,640
12,663 12,633
Jun 30, 2000 14,191 14,151
13,817 13,749
15,345 15,283
14,718 14,661
13,534 13,463
11,266 11,172
Dec 31, 2000 11,990 11,879
12,626 12,525
11,093 11,003
10,061 9,993
11,125 11,050
11,375 11,312
Jun 30, 2001 11,500 11,403
10,958 10,876
10,416 10,347
9,050 9,016
9,512 9,489
10,263 10,226
Dec 31, 2001 10,803 10,774
10,602 10,571
10,295 10,272
10,993 10,968
10,877 10,861
10,623 10,620
Jun 30, 2002 9,893 9,898
8,941 8,938
8,972 8,990
8,359 8,384
8,634 8,659
9,205 9,257
Dec 31, 2002 8,814 8,867
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MID/SMALL COMPANY INDEX FUND CLASS II VS. WILSHIRE 4500 INDEX:
GROWTH OF $10,000 INVESTED APRIL 5, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT WILSHIRE 4500
MID/SMALL INDEX
COMPANY INDEX (NO FEES OR
FUND CLASS II EXPENSES)
Apr 5, 1999 10,000 10,000
10,760 10,798
10,720 10,704
Jun 30, 1999 11,170 11,154
10,810 10,816
10,560 10,547
10,460 10,465
11,000 11,000
11,910 11,929
Dec 31, 1999 13,564 13,572
13,371 13,410
15,431 15,496
14,883 14,923
13,158 13,128
12,194 12,159
Jun 30, 2000 13,675 13,619
13,320 13,232
14,791 14,709
14,183 14,110
13,057 12,958
10,865 10,752
Dec 31, 2000 11,563 11,433
12,182 12,055
10,703 10,590
9,706 9,618
10,734 10,635
10,976 10,887
Jun 30, 2001 11,102 10,975
10,587 10,467
10,062 9,958
8,751 8,678
9,187 9,133
9,924 9,842
Dec 31, 2001 10,447 10,370
10,255 10,174
9,955 9,886
10,628 10,556
10,521 10,453
10,275 10,222
Jun 30, 2002 9,570 9,526
8,651 8,602
8,673 8,652
8,096 8,069
8,353 8,334
8,919 8,909
Dec 31, 2002 8,534 8,534
</Table>
Source for Benchmark Returns: Ibbotson Associates
38
<Page>
VANTAGEPOINT MID/SMALL COMPANY INDEX FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
<Caption>
CLASS I SHARES CLASS II SHARES
One Year -18.4% -18.3%
Three Years -14.5% -14.3%
Five Years -2.2% -2.0%
Since Inception 1.0% 1.2%
Inception Date June 2, 1997 June 2, 1997
Offering Date March 1, 1999 April 5, 1999
</Table>
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. Please consult the current prospectus carefully
prior to investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
39
<Page>
VANTAGEPOINT OVERSEAS EQUITY INDEX FUND
VANTAGEPOINT OVERSEAS EQUITY INDEX FUND CLASS I VS. MSCI EAFE FREE INDEX:
GROWTH OF $10,000 INVESTED MARCH 1, 1999
[CHART]
<Table>
<Caption>
VANTAGEPOINT MSCI EAFE FREE
OVERSEAS INDEX
EQUITY INDEX (NO FEES OR
FUND CLASS I EXPENSES)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,420 10,415
10,840 10,843
10,270 10,279
Jun 30, 1999 10,650 10,678
10,950 10,998
11,000 11,038
11,100 11,151
11,520 11,571
11,920 11,975
Dec 31, 1999 13,003 13,052
12,075 12,225
12,371 12,556
12,850 13,045
12,157 12,361
11,963 12,062
Jun 30, 2000 12,330 12,536
11,831 12,013
11,922 12,120
11,351 11,532
11,096 11,262
10,658 10,842
Dec 31, 2000 11,025 11,230
11,025 11,225
10,176 10,384
9,501 9,696
10,154 10,376
9,795 10,019
Jun 30, 2001 9,392 9,613
9,218 9,438
8,978 9,201
8,130 8,271
8,281 8,483
8,580 8,796
Dec 31, 2001 8,625 8,849
8,170 8,379
8,203 8,438
8,691 8,899
8,702 8,963
8,813 9,085
Jun 30, 2002 8,458 8,727
7,616 7,866
7,583 7,850
6,773 7,009
7,117 7,386
7,438 7,722
Dec 31, 2002 7,182 7,463
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT OVERSEAS EQUITY INDEX FUND CLASS II VS. MSCI EAFE FREE INDEX:
GROWTH OF $10,000 INVESTED APRIL 5, 1999
[CHART]
<Table>
<Caption>
MSCI
VANTAGEPOINT EAFE FREE
OVERSEAS INDEX
EQUITY INDEX (NO FEES OR
FUND CLASS II EXPENSES)
Apr 5, 1999 10,000 10,000
Apr 30, 1999 10,380 10,411
9,840 9,870
Jun 30, 1999 10,200 10,252
10,500 10,559
10,530 10,598
10,630 10,707
11,030 11,109
11,410 11,497
Dec 31, 1999 12,459 12,531
11,570 11,737
11,856 12,055
12,316 12,525
11,662 11,868
11,468 11,581
Jun 30, 2000 11,826 12,036
11,345 11,534
11,437 11,637
10,896 11,072
10,640 10,813
10,221 10,410
Dec 31, 2000 10,588 10,782
10,588 10,777
9,776 9,970
9,127 9,310
9,754 9,963
9,413 9,619
Jun 30, 2001 9,018 9,229
8,853 9,062
8,633 8,834
7,765 7,942
7,957 8,145
8,249 8,445
Dec 31, 2001 8,305 8,496
7,856 8,045
7,901 8,102
8,360 8,544
8,371 8,606
8,484 8,723
Jun 30, 2002 8,147 8,379
7,327 7,552
7,304 7,537
6,519 6,729
6,856 7,092
7,170 7,414
Dec 31, 2002 6,925 7,166
</Table>
Source for Benchmark Returns: Ibbotson Associates
40
<Page>
VANTAGEPOINT OVERSEAS EQUITY INDEX FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
<Caption>
CLASS I SHARES CLASS II SHARES
One Year -16.7% -16.6%
Three Years -18.0% -17.8%
Five Years -3.5% -3.3%
Since Inception -4.0% -3.8%
Inception Date June 2, 1997 June 2, 1997
Offering Date March 1, 1999 April 5, 1999
</Table>
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
market index shown above is unmanaged and does not reflect the costs of
portfolio management or trading. Please consult the current prospectus carefully
prior to investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
41
<Page>
VANTAGEPOINT MODEL PORTFOLIO SAVINGS ORIENTED FUND
The Vantagepoint Model Portfolio Savings Oriented Fund is designed to pursue
conservation of principal, reasonable current income and modest profits without
undue risk. It attempts to achieve those objectives by emphasizing stable value
and fixed income (bond) investments (75 percent) with the remainder invested in
funds featuring holdings in larger company stocks (20 percent) and international
equities (5 percent). This Fund is designed for conservative investors who seek
a diversified portfolio. Its 25 percent investment in equity securities has
historically provided growth as well as inflation protection.
PERFORMANCE
The Vantagepoint Model Portfolio Savings Oriented Fund returned -1.4% for the
year, outperforming the -3.0% posted by its custom composite benchmark.
The Fund invests in five other Vantagepoint Funds: the Vantagepoint Income
Preservation Fund (65 percent), the Vantagepoint US Government Securities Fund
(10 percent), the Vantagepoint Equity Income Fund (10 percent), the Vantagepoint
Growth & Income Fund (10 percent) and the Vantagepoint International Fund (5
percent).
COMMENTARY
The Fund generated positive performance from its allocation to stable value and
fixed income securities. The Vantagepoint Income Preservation Fund and the
Vantagepoint US Government Securities Fund positively contributed to the Fund's
total return.
Because the stock market drop was so pervasive, the Fund's equity holdings - the
Vantagepoint Equity Income Fund, the Vantagepoint Growth & Income Fund and the
Vantagepoint International Fund - more than offset the positive fixed income
returns.
This was the first year since the Fund's creation in February 1995 that the
return was negative.
[CHART]
VANTAGEPOINT MODEL PORTFOLIO SAVINGS ORIENTED FUND VS. BLENDED BENCHMARK
AND LEHMAN BROTHERS AGGREGATE BOND INDEX: GROWTH OF $10,000 INVESTED
DECEMBER 4, 2000
<Table>
<Caption>
BLENDED
BENCHMARK: 65%
30-DAY T-BILL/10%
LEHMAN BROTHERS
AGGREGATE LEHMAN
VANTAGEPOINT BOND/20% BROTHERS
MODEL WILSHIRE 5000/5% AGGREGATE
PORTFOLIO MSCI BOND
SAVINGS EAFE INDEX
ORIENTED (NO FEES OR (NO FEES OR
FUND EXPENSES) EXPENSES)
Dec 4, 2000 10,000 10,000 10,000
Dec 31, 2000 10,146 10,105 10,186
10,235 10,234 10,352
10,166 10,035 10,442
10,097 9,899 10,494
10,267 10,118 10,450
10,332 10,148 10,513
Jun 30, 2001 10,304 10,116 10,553
10,344 10,116 10,789
10,292 10,013 10,913
10,105 9,812 11,040
10,190 9,909 11,271
10,354 10,076 11,115
Dec 31, 2001 10,431 10,119 11,044
10,408 10,084 11,133
10,431 10,065 11,241
10,554 10,172 11,055
10,513 10,106 11,269
10,531 10,108 11,365
Jun 30, 2002 10,386 9,963 11,464
10,204 9,775 11,603
10,250 9,811 11,799
10,036 9,586 11,990
10,199 9,763 11,935
10,382 9,910 11,931
Dec 31, 2002 10,289 9,811 12,178
</Table>
Source for Benchmark Returns: Ibbotson Associates
42
<Page>
[CHART]
VANTAGEPOINT MODEL PORTFOLIO SAVINGS ORIENTED FUND VS. BLENDED BENCHMARK
AND LEHMAN BROTHERS AGGREGATE BOND INDEX: GROWTH OF $10,000 INVESTED
FEBRUARY 9, 1995
<Table>
<Caption>
BLENDED
BENCHMARK: 65%
30-DAY T-BILL/10%
LEHMAN BROTHERS
AGGREGATE LEHMAN
VANTAGEPOINT BOND/20% BROTHERS
MODEL WILSHIRE 5000/5% AGGREGATE
PORTFOLIO MSCI BOND
SAVINGS EAFE INDEX
ORIENTED (NO FEES OR (NO FEES OR
FUND EXPENSES) EXPENSES)
Feb 9, 1995 10,000 10,000 10,000
10,033 10,128 10,238
10,085 10,250 10,300
10,208 10,364 10,445
10,370 10,504 10,849
10,413 10,602 10,928
10,516 10,751 10,904
10,588 10,798 11,036
10,741 10,931 11,143
10,774 10,943 11,288
10,927 11,097 11,457
Dec 31, 1995 11,070 11,207 11,618
11,183 11,308 11,694
11,206 11,358 11,491
11,249 11,416 11,410
11,292 11,517 11,346
11,375 11,599 11,324
11,459 11,629 11,475
11,411 11,524 11,506
11,494 11,628 11,487
11,658 11,821 11,687
11,792 11,907 11,946
12,026 12,140 12,151
Dec 31, 1996 12,039 12,130 12,038
12,183 12,278 12,075
12,296 12,321 12,105
12,239 12,235 11,971
12,373 12,398 12,150
12,598 12,666 12,266
12,772 12,863 12,412
12,997 13,142 12,747
12,889 13,018 12,638
13,145 13,265 12,825
13,118 13,181 13,011
13,292 13,301 13,071
Dec 31, 1997 13,447 13,410 13,203
13,521 13,510 13,372
13,716 13,784 13,362
13,921 13,983 13,407
13,945 14,068 13,477
13,928 14,041 13,605
14,023 14,194 13,720
14,026 14,179 13,749
13,727 13,712 13,973
14,013 13,944 14,300
14,320 14,246 14,224
14,516 14,498 14,306
Dec 31, 1998 14,681 14,752 14,348
14,715 14,903 14,450
14,638 14,786 14,197
14,783 14,980 14,276
15,023 15,195 14,321
14,990 15,110 14,195
15,169 15,330 14,150
15,166 15,286 14,090
15,122 15,299 14,083
15,069 15,283 14,247
15,237 15,550 14,299
15,285 15,718 14,298
Dec 31, 1999 15,403 16,064 14,229
15,248 15,918 14,182
15,144 16,075 14,354
15,585 16,367 14,543
15,612 16,198 14,501
15,771 16,117 14,494
15,737 16,366 14,796
15,835 16,332 14,930
16,084 16,653 15,147
16,091 16,523 15,242
16,198 16,504 15,343
16,135 16,227 15,594
Dec 31, 2000 16,370 16,397 15,884
16,514 16,606 16,143
16,403 16,284 16,284
16,292 16,063 16,365
16,566 16,418 16,296
16,670 16,467 16,394
16,624 16,415 16,456
16,690 16,415 16,825
16,605 16,247 17,019
16,305 15,921 17,216
16,441 16,079 17,576
16,706 16,351 17,333
Dec 31, 2001 16,831 16,420 17,222
16,794 16,364 17,362
16,831 16,332 17,530
17,029 16,506 17,239
16,963 16,400 17,574
16,992 16,402 17,723
16,757 16,167 17,877
16,464 15,862 18,094
16,538 15,920 18,399
16,192 15,556 18,697
16,456 15,842 18,611
16,751 16,081 18,606
Dec 31, 2002 16,600 15,920 18,991
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO SAVINGS ORIENTED FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -1.4%
Three Years 2.6%
Five Years 4.3%
Since Inception 6.7%
Fund Inception Date February 9, 1995
Fund Registration Date December 4, 2000
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
blended benchmark shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. Performance information for periods
prior to December 4, 2000 represents the performance of the Fund prior to its
SEC registration. Please consult the current prospectus carefully prior to
investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
43
<Page>
VANTAGEPOINT MODEL PORTFOLIO CONSERVATIVE GROWTH FUND
The Vantagepoint Model Portfolio Conservative Growth Fund has a moderately
conservative asset allocation favoring current income with the potential for
growth. It attempts to accomplish this by distributing assets between fixed
income (60 percent) and equity (40 percent) investments. This Fund is designed
for investors seeking a conservative balance between principal preservation and
growth. Its 40 percent allocation to equity securities has historically provided
modest capital growth.
PERFORMANCE
The Vantagepoint Model Portfolio Conservative Growth Fund returned -6.7% for the
year, slightly trailing the -6.5% return posted by its custom composite
benchmark.
The Fund invests in seven other Vantagepoint Funds: the Vantagepoint Income
Preservation Fund (50 percent), the Vantagepoint Core Bond Index Fund (10
percent), the Vantagepoint Equity Income Fund (10 percent), the Vantagepoint
Growth & Income Fund (10 percent), the Vantagepoint Growth Fund (10 percent),
the Vantagepoint Aggressive Opportunities Fund (5 percent) and the Vantagepoint
International Fund (5 percent).
COMMENTARY
Fixed income securities produced positive returns in 2002, and the Fund
benefited from the Vantagepoint Income Preservation Fund and the Vantagepoint
Core Bond Index Fund holdings.
However, the steep stock market decline caused the Fund's equity holdings to
detract from performance. The Vantagepoint Equity Income Fund, the Vantagepoint
Growth & Income Fund, the Vantagepoint Growth Fund, the Vantagepoint Aggressive
Opportunities Fund and the Vantagepoint International Fund all posted negative
returns because the market decline was broad, affecting virtually all stocks
(especially those of growth companies).
[CHART]
VANTAGEPOINT MODEL PORTFOLIO CONSERVATIVE GROWTH FUND VS. BLENDED
BENCHMARK, LEHMAN BROTHERS AGGREGATE BOND INDEX AND WILSHIRE 5000 INDEX:
GROWTH OF $10,000 INVESTED DECEMBER 4, 2000
<Table>
<Caption>
BLENDED
BENCHMARK: 50% 30-
DAY T-BILL/10%
LEHMAN BROTHERS LEHMAN
AGGREGATE BROTHERS
VANTAGEPOINT BOND/35% WILSHIRE AGGREGATE WILSHIRE
MODEL 5000/5% MSCI BOND 5000
PORTFOLIO EAFE INDEX INDEX
CONSERVATIVE (NO FEES OR (NO FEES OR (NO FEES OR
GROWTH FUND EXPENSES) EXPENSES) EXPENSES)
Dec 4, 2000 10,000 10,000 10,000 10,000
Dec 31, 2000 10,219 10,124 10,186 10,178
10,388 10,303 10,352 10,568
10,096 9,951 10,442 9,566
9,869 9,709 10,494 8,922
10,224 10,038 10,450 9,656
10,285 10,078 10,513 9,752
Jun 30, 2001 10,244 10,016 10,553 9,589
10,211 9,987 10,789 9,430
10,030 9,790 10,913 8,860
9,626 9,458 11,040 8,064
9,815 9,584 11,271 8,269
10,119 9,854 11,115 8,901
Dec 31, 2001 10,229 9,919 11,044 9,061
10,167 9,865 11,133 8,949
10,105 9,813 11,241 8,765
10,310 9,981 11,055 9,148
10,171 9,841 11,269 8,702
10,143 9,823 11,365 8,599
Jun 30, 2002 9,863 9,576 11,464 7,995
9,544 9,278 11,603 7,350
9,587 9,318 11,799 7,393
9,245 8,962 11,990 6,651
9,487 9,229 11,935 7,160
9,735 9,449 11,931 7,591
Dec 31, 2002 9,548 9,276 12,178 7,171
</Table>
Source for Benchmark Returns: Ibbotson Associates
44
<Page>
[CHART]
VANTAGEPOINT MODEL PORTFOLIO CONSERVATIVE GROWTH FUND VS. BLENDED
BENCHMARK, LEHMAN BROTHERS AGGREGATE BOND INDEX AND WILSHIRE 5000 INDEX:
GROWTH OF $10,000 INVESTED APRIL 1, 1996
<Table>
<Caption>
BLENDED
BENCHMARK: 50% 30-
DAY T-BILL/10%
LEHMAN BROTHERS LEHMAN
AGGREGATE BROTHERS
VANTAGEPOINT BOND/35% WILSHIRE AGGREGATE WILSHIRE
MODEL 5000/5% MSCI BOND 5000
PORTFOLIO EAFE INDEX INDEX
CONSERVATIVE (NO FEES OR (NO FEES OR (NO FEES OR
GROWTH FUND EXPENSES) EXPENSES) EXPENSES)
Apr 1, 1996 10,000 10,000 10,000 10,000
10,023 10,118 9,944 10,247
10,126 10,225 9,924 10,527
10,179 10,233 10,057 10,441
10,042 10,051 10,084 9,877
10,175 10,184 10,067 10,193
10,389 10,427 10,242 10,736
10,512 10,518 10,470 10,886
10,806 10,823 10,649 11,607
Dec 31, 1996 10,809 10,788 10,550 11,477
10,993 10,999 10,582 12,091
11,076 11,030 10,609 12,085
10,959 10,873 10,491 11,551
11,123 11,082 10,648 12,055
11,427 11,431 10,750 12,909
11,652 11,681 10,877 13,502
11,987 12,061 11,171 14,540
11,840 11,872 11,076 13,993
12,165 12,195 11,240 14,819
12,058 12,049 11,403 14,325
12,253 12,210 11,456 14,794
Dec 31, 1997 12,427 12,336 11,571 15,068
12,461 12,430 11,719 15,150
12,767 12,810 11,710 16,252
13,043 13,084 11,750 17,066
13,057 13,179 11,811 17,268
12,970 13,092 11,923 16,809
13,095 13,296 12,025 17,398
13,038 13,230 12,050 17,017
12,417 12,477 12,246 14,367
12,794 12,801 12,533 15,305
13,221 13,216 12,466 16,444
13,538 13,569 12,537 17,480
Dec 31, 1998 13,896 13,929 12,575 18,598
14,011 14,141 12,664 19,282
13,823 13,945 12,443 18,583
14,050 14,200 12,511 19,300
14,401 14,498 12,551 20,225
14,308 14,362 12,441 19,782
14,599 14,674 12,401 20,806
14,536 14,553 12,349 20,139
14,432 14,536 12,343 19,952
14,349 14,455 12,486 19,430
14,630 14,838 12,532 20,666
14,769 15,064 12,531 21,358
Dec 31, 1999 15,130 15,558 12,471 22,980
14,865 15,310 12,429 22,026
14,893 15,502 12,580 22,519
15,466 15,912 12,746 23,857
15,362 15,612 12,709 22,614
15,451 15,440 12,703 21,824
15,519 15,772 12,967 22,787
15,567 15,679 13,085 22,322
15,998 16,146 13,274 23,942
15,895 15,895 13,358 22,825
15,902 15,813 13,446 22,340
15,497 15,299 13,667 20,118
Dec 31, 2000 15,837 15,489 13,921 20,476
16,098 15,763 14,148 21,261
15,645 15,224 14,271 19,244
15,294 14,854 14,342 17,949
15,843 15,357 14,282 19,426
15,939 15,418 14,368 19,619
15,875 15,324 14,422 19,290
15,824 15,279 14,745 18,972
15,543 14,977 14,915 17,824
14,917 14,469 15,088 16,223
15,210 14,663 15,403 16,635
15,682 15,075 15,191 17,908
Dec 31, 2001 15,851 15,176 15,094 18,229
15,756 15,092 15,216 18,003
15,660 15,013 15,363 17,633
15,976 15,270 15,108 18,405
15,762 15,055 15,402 17,506
15,718 15,027 15,532 17,300
15,284 14,651 15,668 16,084
14,791 14,194 15,857 14,786
14,857 14,255 16,125 14,873
14,327 13,712 16,386 13,380
14,702 14,119 16,311 14,404
15,086 14,457 16,306 15,272
Dec 31, 2002 14,796 14,191 16,644 14,426
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO CONSERVATIVE GROWTH FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -6.7%
Three Years -0.7%
Five Years 3.6%
Since Inception 6.0%
Fund Inception Date April 1, 1996
Fund Registration Date December 4, 2000
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
blended benchmark shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. Performance information for periods
prior to December 4, 2000 represents the performance of the Fund prior to its
SEC registration. Please consult the current prospectus carefully prior to
investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
45
<Page>
VANTAGEPOINT MODEL PORTFOLIO TRADITIONAL GROWTH FUND
The Vantagepoint Model Portfolio Traditional Growth Fund seeks to offer moderate
capital growth and reasonable current income. The Fund's asset allocation is
based on the traditional definition of a balanced portfolio: 60 percent
allocated to equity and 40 percent to fixed income investments. This asset mix
is designed to provide the benefit of the higher returns expected from stocks
while the income generated by fixed income securities should dampen volatility.
The Fund allocates 60 percent of assets to equity funds and 40 percent to fixed
income funds, designed for investors seeking moderate growth with some current
income.
PERFORMANCE
The Vantagepoint Model Portfolio Traditional Growth Fund posted a -12.6% return
for the year, trailing the -10.8% return posted by its custom composite
benchmark.
The Fund invests in seven other Vantagepoint Funds: the Vantagepoint Income
Preservation Fund (30 percent), the Vantagepoint Core Bond Index Fund (10
percent), the Vantagepoint Equity Income Fund (10 percent), the Vantagepoint
Growth & Income Fund (15 percent), the Vantagepoint Growth Fund (15 percent),
the Vantagepoint Aggressive Opportunities Fund (10 percent) and the Vantagepoint
International Fund (10 percent).
COMMENTARY
Fixed income securities produced positive returns in 2002, and the Fund
benefited from the Vantagepoint Income Preservation Fund and the Vantagepoint
Core Bond Index Fund holdings.
However, the steep stock market decline caused the Fund's equity holdings to
detract from performance. The Vantagepoint Equity Income Fund, the Vantagepoint
Growth & Income Fund, the Vantagepoint Growth Fund, the Vantagepoint Aggressive
Opportunities Fund and the Vantagepoint International Fund all posted negative
returns because the market decline was broad, affecting virtually all stocks
(especially those of growth companies).
[CHART]
VANTAGEPOINT MODEL PORTFOLIO TRADITIONAL GROWTH FUND VS. BLENDED BENCHMARK,
LEHMAN BROTHERS AGGREGATE BOND INDEX AND WILSHIRE 5000 INDEX: GROWTH OF
$10,000 INVESTED DECEMBER 4, 2000
<Table>
<Caption>
BLENDED
BENCHMARK: 30%
30-DAY T-BILL/10%
LEHMAN BROTHERS
AGGREGATE LEHMAN
BOND/50% BROTHERS
VANTAGEPOINT WILSHIRE AGGREGATE
MODEL 5000/10% MSCI BOND WILSHIRE 5000
PORTFOLIO EAFE INDEX INDEX
TRADITIONAL (NO FEES OR (NO FEES OR (NO FEES OR
GROWTH FUND EXPENSES) EXPENSES) EXPENSES)
Dec 4, 2000 10,000 10,000 10,000 10,000
Dec 31, 2000 10,307 10,159 10,186 10,178
10,541 10,386 10,352 10,568
10,027 9,836 10,442 9,566
9,634 9,457 10,494 8,922
10,169 9,920 10,450 9,656
10,215 9,951 10,513 9,752
Jun 30, 2001 10,140 9,839 10,553 9,589
10,031 9,771 10,789 9,430
9,722 9,471 10,913 8,860
9,086 8,969 11,040 8,064
9,345 9,131 11,271 8,269
9,781 9,506 11,115 8,901
Dec 31, 2001 9,934 9,595 11,044 9,061
9,800 9,496 11,133 8,949
9,667 9,418 11,241 8,765
9,969 9,664 11,055 9,148
9,741 9,458 11,269 8,702
9,677 9,427 11,365 8,599
Jun 30, 2002 9,256 9,071 11,464 7,995
8,775 8,630 11,603 7,350
8,800 8,672 11,799 7,393
8,310 8,162 11,990 6,651
8,636 8,518 11,935 7,160
8,953 8,816 11,931 7,591
Dec 31, 2002 8,678 8,564 12,178 7,171
</Table>
Source for Benchmark Returns: Ibbotson Associates
46
<Page>
[CHART]
VANTAGEPOINT MODEL PORTFOLIO TRADITIONAL GROWTH FUND VS. BLENDED BENCHMARK,
LEHMAN BROTHERS AGGREGATE BOND INDEX AND WILSHIRE 5000 INDEX: GROWTH OF
$10,000 INVESTED APRIL 1, 1996
<Table>
<Caption>
BLENDED
BENCHMARK: 30%
30-DAY T-BILL/10%
LEHMAN BROTHERS
AGGREGATE LEHMAN
BOND/50% BROTHERS
VANTAGEPOINT WILSHIRE AGGREGATE
MODEL 5000/10% MSCI BOND WILSHIRE 5000
PORTFOLIO EAFE INDEX INDEX
TRADITIONAL (NO FEES OR (NO FEES OR (NO FEES OR
GROWTH FUND EXPENSES) EXPENSES) EXPENSES)
10,000 10,000 10,000 10,000
Apr 1, 1996 10,074 10,161 9,944 10,247
10,207 10,292 9,924 10,527
10,231 10,282 10,057 10,441
9,984 9,992 10,084 9,877
10,178 10,165 10,067 10,193
10,463 10,493 10,242 10,736
10,597 10,593 10,470 10,886
10,981 11,017 10,649 11,607
Dec 31, 1996 10,985 10,946 10,550 11,477
11,210 11,219 10,582 12,091
11,284 11,251 10,609 12,085
11,088 11,009 10,491 11,551
11,282 11,286 10,648 12,055
11,739 11,787 10,750 12,909
12,034 12,150 10,877 13,502
12,521 12,685 11,171 14,540
12,284 12,357 11,076 13,993
12,752 12,826 11,240 14,819
12,515 12,549 11,403 14,325
12,731 12,762 11,456 14,794
Dec 31, 1997 12,937 12,923 11,571 15,068
12,951 13,051 11,719 15,150
13,430 13,624 11,710 16,252
13,828 14,028 11,750 17,066
13,853 14,148 11,811 17,268
13,656 13,984 11,923 16,809
13,792 14,269 12,025 17,398
13,646 14,147 12,050 17,017
12,560 12,912 12,246 14,367
13,050 13,343 12,533 15,305
13,701 13,984 12,466 16,444
14,182 14,517 12,537 17,480
Dec 31, 1998 14,761 15,060 12,575 18,598
14,959 15,360 12,664 19,282
14,600 15,034 12,443 18,583
14,979 15,415 12,511 19,300
15,505 15,869 12,551 20,225
15,331 15,617 12,441 19,782
15,826 16,096 12,401 20,806
15,682 15,897 12,349 20,139
15,529 15,847 12,343 19,952
15,416 15,693 12,486 19,430
15,880 16,275 12,532 20,666
16,203 16,622 12,531 21,358
Dec 31, 1999 17,001 17,417 12,471 22,980
16,523 16,961 12,429 22,026
16,795 17,239 12,580 22,519
17,542 17,865 12,746 23,857
17,217 17,326 12,709 22,614
17,195 17,006 12,703 21,824
17,446 17,504 12,967 22,787
17,404 17,294 13,085 22,322
18,130 17,988 13,274 23,942
17,835 17,520 13,358 22,825
17,722 17,334 13,446 22,340
16,902 16,462 13,667 20,118
Dec 31, 2000 17,421 16,723 13,921 20,476
17,817 17,097 14,148 21,261
16,947 16,192 14,271 19,244
16,283 15,568 14,342 17,949
17,188 16,330 14,282 19,426
17,265 16,380 14,368 19,619
17,138 16,197 14,422 19,290
16,954 16,085 14,745 18,972
16,431 15,591 14,915 17,824
15,356 14,764 15,088 16,223
15,794 15,030 15,403 16,635
16,531 15,648 15,191 17,907
Dec 31, 2001 16,790 15,795 15,094 18,229
16,564 15,632 15,216 18,003
16,338 15,504 15,363 17,633
16,850 15,908 15,108 18,405
16,464 15,569 15,402 17,506
16,355 15,519 15,532 17,300
15,644 14,932 15,668 16,084
14,832 14,207 15,857 14,786
14,873 14,276 16,125 14,873
14,045 13,436 16,386 13,380
14,597 14,022 16,311 14,404
15,133 14,512 16,306 15,272
Dec 31, 2002 14,667 14,097 16,644 14,426
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO TRADITIONAL GROWTH FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -12.6%
Three Years -4.8%
Five Years 2.5%
Since Inception 5.8%
Fund Inception Date April 1, 1996
Fund Registration Date December 4, 2000
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
blended benchmark shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. Performance information for periods
prior to December 4, 2000 represents the performance of the Fund prior to its
SEC registration. Please consult the current prospectus carefully prior to
investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
47
<Page>
VANTAGEPOINT MODEL PORTFOLIO LONG-TERM GROWTH FUND
The Vantagepoint Model Portfolio Long-Term Growth Fund seeks to provide
long-term growth of capital. This Fund allocates 80 percent to equity and 20
percent to fixed income investments. This allocation can result in considerable
growth in capital, but also involves risk of loss in the event of adverse
developments. Income generated by fixed income securities should dampen overall
volatility.
This Fund is designed for more aggressive investors with a longer investment
time horizon.
PERFORMANCE
The Vantagepoint Model Portfolio Long-Term Growth Fund posted a -18.0% return
for the year, trailing the -14.2% return posted by its custom composite
benchmark.
The Fund invests in seven other Vantagepoint Funds: the Vantagepoint Core Bond
Index Fund (20 percent), the Vantagepoint Equity Income Fund (10 percent), the
Vantagepoint Growth & Income Fund (20 percent), the Vantagepoint Growth Fund (20
percent), the Vantagepoint Aggressive Opportunities Fund (15 percent), the
Vantagepoint Overseas Equity Index Fund (5 percent) and the Vantagepoint
International Fund (10 percent).
COMMENTARY
Fixed income securities produced positive returns in 2002, and the Fund
benefited from the Vantagepoint Core Bond Index Fund holdings.
However, the steep stock market decline caused the Fund's equity holdings to
detract from performance. The Vantagepoint Equity Income Fund, the Vantagepoint
Growth & Income Fund, the Vantagepoint Growth Fund, the Vantagepoint Aggressive
Opportunities Fund, the Vantagepoint Overseas Equity Index Fund and the
Vantagepoint International Fund all posted negative returns because the market
decline was broad, affecting virtually all stocks (especially those of growth
companies).
[CHART]
VANTAGEPOINT MODEL PORTFOLIO LONG-TERM GROWTH FUND VS. BLENDED BENCHMARK
AND WILSHIRE 5000 INDEX: GROWTH OF $10,000 INVESTED DECEMBER 4, 2000
<Table>
<Caption>
BLENDED
BENCHMARK:
20% LEHMAN
BROTHERS
AGGREGATE
BOND/65%
VANTAGEPOINT WILSHIRE WILSHIRE
MODEL 5000/15% MSCI 5000
PORTFOLIO EAFE INDEX
LONG-TERM (NO FEES OR (NO FEES OR
GROWTH FUND EXPENSES) EXPENSES)
Dec 4, 2000 10,000 10,000 10,000
Dec 31, 2000 10,403 10,207 10,178
10,708 10,493 10,568
9,974 9,747 9,566
9,423 9,233 8,922
10,123 9,817 9,656
10,153 9,841 9,752
Jun 30, 2001 10,042 9,682 9,589
9,881 9,595 9,430
9,457 9,203 8,860
8,609 8,548 8,064
8,949 8,758 8,269
9,488 9,217 8,901
Dec 31, 2001 9,659 9,321 9,061
9,462 9,187 8,949
9,271 9,092 8,765
9,639 9,395 9,148
9,337 9,143 8,702
9,246 9,107 8,599
Jun 30, 2002 8,701 8,653 7,995
8,091 8,092 7,350
8,107 8,148 7,393
7,507 7,512 6,651
7,890 7,939 7,160
8,257 8,304 7,591
Dec 31, 2002 7,920 7,998 7,171
</Table>
Source for Benchmark Returns: Ibbotson Associates
48
<Page>
[CHART]
VANTAGEPOINT MODEL PORTFOLIO LONG-TERM GROWTH FUND VS. BLENDED BENCHMARK
AND WILSHIRE 5000 INDEX: GROWTH OF $10,000 INVESTED APRIL 1, 1996
<Table>
<Caption>
BLENDED
BENCHMARK:
20% LEHMAN
BROTHERS
AGGREGATE
BOND/65%
VANTAGEPOINT WILSHIRE WILSHIRE
MODEL 5000/15% MSCI 5000
PORTFOLIO EAFE INDEX
LONG-TERM (NO FEES OR (NO FEES OR
GROWTH FUND EXPENSES) EXPENSES)
10,000 10,000 10,000
Apr 1, 1996 10,264 10,193 10,247
10,459 10,343 10,527
10,344 10,324 10,441
9,898 9,923 9,877
10,212 10,129 10,193
10,618 10,556 10,736
10,693 10,683 10,886
11,179 11,244 11,607
Dec 31, 1996 11,144 11,119 11,477
11,420 11,455 12,091
11,344 11,486 12,085
11,028 11,137 11,551
11,254 11,495 12,055
11,923 12,159 12,909
12,330 12,652 13,502
13,040 13,384 14,540
12,724 12,884 13,993
13,354 13,525 14,819
12,876 13,116 14,325
12,963 13,388 14,794
Dec 31, 1997 13,069 13,594 15,068
13,095 13,770 15,150
13,858 14,553 16,252
14,379 15,104 17,066
14,537 15,254 17,268
14,170 15,009 16,809
14,338 15,394 17,398
14,000 15,205 17,017
12,083 13,434 14,367
12,625 14,006 15,305
13,411 14,888 16,444
14,116 15,629 17,480
Dec 31, 1998 15,012 16,381 18,598
15,373 16,789 19,282
14,710 16,276 18,583
15,316 16,804 19,300
16,006 17,441 20,225
15,691 17,028 19,782
16,453 17,691 20,806
16,188 17,386 20,139
16,076 17,289 19,952
16,066 17,063 19,430
16,807 17,877 20,666
17,619 18,359 21,358
Dec 31, 1999 19,294 19,496 22,980
18,532 18,772 22,026
19,659 19,167 22,519
20,268 20,069 23,857
19,344 19,220 22,614
18,816 18,712 21,824
19,800 19,437 22,787
19,414 19,093 22,322
20,612 20,074 23,942
19,911 19,345 22,825
19,647 19,035 22,340
18,387 17,760 20,118
Dec 31, 2000 19,128 18,127 20,476
19,689 18,637 21,261
18,340 17,311 19,244
17,327 16,399 17,949
18,613 17,435 19,426
18,668 17,478 19,619
18,465 17,195 19,290
18,169 17,041 18,972
17,389 16,345 17,824
15,829 15,181 16,223
16,454 15,554 16,635
17,446 16,370 17,908
Dec 31, 2001 17,761 16,555 18,229
17,399 16,316 18,003
17,047 16,147 17,633
17,724 16,685 18,405
17,167 16,239 17,506
17,001 16,175 17,300
16,000 15,369 16,084
14,878 14,372 14,786
14,906 14,471 14,873
13,803 13,341 13,380
14,507 14,101 14,404
15,183 14,748 15,272
Dec 31, 2002 14,562 14,204 14,426
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO LONG-TERM GROWTH FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -18.0%
Three Years -9.0%
Five Years 2.2%
Since Inception 5.7%
Fund Inception Date April 1, 1996
Fund Registration Date December 4, 2000
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
blended benchmark shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. Performance information for periods
prior to December 4, 2000 represents the performance of the Fund prior to its
SEC registration. Please consult the current prospectus carefully prior to
investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
49
<Page>
VANTAGEPOINT MODEL PORTFOLIO ALL-EQUITY GROWTH FUND
The Vantagepoint Model Portfolio All-Equity Growth Fund seeks to offer high
long-term capital growth. The Fund allocates 100 percent of assets to equity
investments, which can result in considerable growth of capital, but also
involves risk of loss in the event of adverse developments. This Fund is
expected to have the same degree of volatility as the stock market.
This Fund invests 100 percent of its assets in equity securities and, therefore,
is designed for stock investors with a long investment time horizon.
PERFORMANCE
The Vantagepoint Model Portfolio All-Equity Growth Fund posted a -24.1% return
for the year, trailing the -19.8% return posted by its custom composite
benchmark.
The Fund invests in five other Vantagepoint Funds: the Vantagepoint Equity
Income Fund (15 percent), the Vantagepoint Growth & Income Fund (20 percent),
the Vantagepoint Growth Fund (25 percent), the Vantagepoint Aggressive
Opportunities Fund (20 percent) and the Vantagepoint International Fund (20
percent).
COMMENTARY
The steep stock market decline caused the Fund's equity holdings to detract from
performance. The Vantagepoint Equity Income Fund, the Vantagepoint Growth &
Income Fund, the Vantagepoint Growth Fund, the Vantagepoint Aggressive
Opportunities Fund and the Vantagepoint International Fund all posted negative
returns because the market decline was broad, affecting virtually all stocks
(especially those of growth companies).
[CHART]
VANTAGEPOINT MODEL PORTFOLIO ALL-EQUITY GROWTH FUND VS. BLENDED BENCHMARK
AND WILSHIRE 5000 INDEX: GROWTH OF $10,000 INVESTED DECEMBER 4, 2000
<Table>
<Caption>
BLENDED
BENCHMARK:
VANTAGEPOINT 80% WILSHIRE
MODEL 5000/20% MSCI WILSHIRE 5000
PORTFOLIO ALL- EAFE INDEX
EQUITY (NO FEES OR (NO FEES OR
GROWTH FUND EXPENSES) EXPENSES)
Dec 4, 2000 10,000 10,000 10,000
Dec 31, 2000 10,469 10,214 10,178
10,836 10,526 10,568
9,878 9,570 9,566
Mar 31, 2001 9,171 8,928 8,922
10,055 9,641 9,656
10,076 9,651 9,752
Jun 30, 2001 9,930 9,443 9,589
9,658 9,284 9,430
9,119 8,788 8,860
Sep 30, 2001 8,058 7,979 8,064
8,398 8,182 8,269
9,069 8,743 8,901
Dec 31, 2001 9,304 8,901 9,061
9,045 8,718 8,949
8,805 8,587 8,765
Mar 31, 2002 9,290 8,981 9,148
8,897 8,643 8,702
8,762 8,586 8,599
Jun 30, 2002 8,106 8,035 7,995
7,358 7,358 7,350
7,348 7,389 7,393
Sep 30, 2002 6,644 6,638 6,651
7,065 7,116 7,160
7,477 7,523 7,591
Dec 31, 2002 7,064 7,140 7,171
</Table>
Source for Benchmark Returns: Ibbotson Associates
50
<Page>
[CHART]
VANTAGEPOINT MODEL PORTFOLIO ALL-EQUITY GROWTH FUND VS. BLENDED BENCHMARK
AND WILSHIRE 5000 INDEX: GROWTH OF $10,000 INVESTED OCTOBER 1, 2000
<Table>
<Caption>
BLENDED
BENCHMARK:
VANTAGEPOINT 80% WILSHIRE
MODEL 5000/20% MSCI WILSHIRE 5000
PORTFOLIO ALL- EAFE INDEX
EQUITY (NO FEES OR (NO FEES OR
GROWTH FUND EXPENSES) EXPENSES)
Oct 1, 2000 10,000 10,000 10,000
9,946 9,783 9,788
9,097 8,932 8,814
Dec 31, 2000 9,524 9,123 8,971
9,857 9,402 9,315
8,986 8,547 8,431
Mar 31, 2001 8,343 7,974 7,864
9,147 8,611 8,511
9,167 8,620 8,595
Jun 30, 2001 9,033 8,434 8,451
8,786 8,293 8,312
8,296 7,849 7,809
Sep 30, 2001 7,330 7,127 7,107
7,639 7,308 7,288
8,250 7,809 7,846
Dec 31, 2001 8,464 7,950 7,987
8,228 7,786 7,887
8,010 7,669 7,725
Mar 31, 2002 8,451 8,022 8,063
8,093 7,720 7,670
7,971 7,668 7,579
Jun 30, 2002 7,374 7,177 7,047
6,693 6,571 6,478
6,685 6,600 6,516
Sep 30, 2002 6,044 5,928 5,862
6,427 6,355 6,311
6,802 6,720 6,691
Dec 31, 2002 6,426 6,377 6,320
</Table>
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO ALL-EQUITY GROWTH FUND
AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2002
<Table>
One Year -24.1%
Since Inception -17.9%
Fund Inception Date October 1, 2000
Fund Registration Date December 4, 2000
</Table>
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends. The
blended benchmark shown above is unmanaged and does not reflect the costs of
portfolio management or trading. The Fund's portfolio may differ significantly
from the securities in the market index. Performance information for periods
prior to December 4, 2000 represents the performance of the Fund prior to its
SEC registration. Please consult the current prospectus carefully prior to
investing any money. Vantagepoint securities are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
51
<Page>
INDEPENDENT AUDITORS' REPORT
To the Shareholders and Board of Directors of
the Vantagepoint Funds
We have audited the accompanying statements of assets and liabilities, including
the schedule of investments, of the Vantagepoint Funds (the "Company")
(Collective the "Funds") consisting of Vantagepoint Money Market Fund,
Vantagepoint Income Preservation Fund, Vantagepoint US Government Securities
Fund, Vantagepoint Asset Allocation Fund, Vantagepoint Equity Income Fund,
Vantagepoint Growth & Income Fund, Vantagepoint Growth Fund, Vantagepoint
Aggressive Opportunities Fund, Vantagepoint International Fund, Vantagepoint
Core Bond Index Fund, Vantagepoint 500 Stock Index Fund, Vantagepoint Broad
Market Index Fund, Vantagepoint Mid/Small Company Index Fund, Vantagepoint
Overseas Equity Index Fund, Vantagepoint Model Portfolio Savings Oriented Fund,
Vantagepoint Model Portfolio Conservative Growth Fund, Vantagepoint Model
Portfolio Traditional Growth Fund, Vantagepoint Model Portfolio Long-Term Growth
Fund, and Vantagepoint Model Portfolio All-Equity Growth Fund as of December 31,
2002, and the related statements of operations for the year then ended and
statements of changes in net assets and financial highlights for each of the two
years in the period then ended. These financial statements and financial
highlights are the responsibility of the Company's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights for each of
the three years in the period ended December 31, 2000 were audited by other
auditors whose report dated February 12, 2001, expressed an unqualified opinion
on such statement and financial highlights.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. These standards require that we plan and
perform the audits to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of December 31, 2002, by correspondence with the custodian
and brokers; where replies were not received from brokers we performed
alternative procedures. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial presentation. We believe that our audit
provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material aspects, the financial position of
aforementioned funds as of December 31, 2002, the results of their operations
for the year then ended, changes in net assets and financial highlights for each
of the two years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
February 12, 2003
52
<Page>
VANTAGEPOINT FUNDS
STATEMENTS OF ASSETS & LIABILITIES
DECEMBER 31, 2002
<Table>
<Caption>
US
MONEY INCOME GOVERNMENT ASSET EQUITY
MARKET PRESERVATION SECURITIES ALLOCATION INCOME
------------- ------------- ------------- ------------- -------------
ASSETS:
Securities, at market value+ $ 138,155,700 $ 583,548,609 $ 249,419,662 $ 610,474,944 $ 635,444,102
Cash -- 3,218,542 -- 7,902,092 1,605,884
Receivable for:
Dividends -- -- -- 756,069 1,284,238
Interest 1,882 3,385,842 2,418,262 -- 21,122
Investments sold -- 200,000 13,875,000 55,888,910 175,000
Fund shares sold 152,071 52,709 270,860 155,219 171,520
Recoverable foreign taxes -- -- -- -- 731
Variation margin on futures contracts -- -- -- 376,780 --
When issued securities -- 1,182,035 -- -- --
------------- ------------- ------------- ------------- -------------
Total Assets 138,309,653 591,587,737 265,983,784 675,554,014 638,702,597
------------- ------------- ------------- ------------- -------------
LIABILITIES:
Payable for:
Investments purchased -- 5,396,537 5,596,866 -- 1,512,606
When issued securities -- 104,452,911 -- -- --
Fund shares redeemed -- 190,902 33,546 77,860 4,827
Variation margin on futures contracts -- 67,594 -- -- --
Collateral for securities loaned -- 5,332,490 24,532,500 26,535,524 71,221,315
Administrative services fees 4,152 11,169 6,751 14,290 12,494
Advisory fees 11,997 39,601 20,076 58,047 50,087
Subadviser fees -- 253,084 53,370 399,990 594,508
Wrapper agreements -- 20,820,846 -- -- --
Other accrued expense 61,902 339,170 96,649 312,363 260,848
------------- ------------- ------------- ------------- -------------
Total Liabilities 78,051 136,904,304 30,339,758 27,398,074 73,656,685
------------- ------------- ------------- ------------- -------------
NET ASSETS $ 138,231,602 $ 454,683,433 $ 235,644,026 $ 648,155,940 $ 565,045,912
============= ============= ============= ============= =============
NET ASSETS REPRESENTED BY:
Paid-in capital $ 138,231,602 $ 464,766,435 $ 228,916,823 $ 834,841,097 $ 696,876,035
Net unrealized appreciation (depreciation) on
investments, futures contracts, foreign
currency transactions, wrapper agreements
and written options -- (8,984,877) 5,736,293 (81,008,197) (74,883,460)
Undistributed net investment income (loss) -- 26,325 18,586 12,127,455 473,949
Accumulated net realized gain (loss) on
investments, futures contracts and foreign
currency transactions -- (1,124,450) 972,324 (117,804,415) (57,420,612)
------------- ------------- ------------- ------------- -------------
NET ASSETS $ 138,231,602 $ 454,683,433 $ 235,644,026 $ 648,155,940 $ 565,045,912
============= ============= ============= ============= =============
CAPITAL SHARES:
Net Assets $ 138,231,602 $ 454,683,433 $ 235,644,026 $ 648,155,940 $ 565,045,912
Shares Outstanding 138,231,602 4,546,834 21,892,627 118,030,627 94,511,242
Net Asset Value, offering and redemption price
per share (net assets divided by shares
outstanding) $ 1.00 $ 100.00 $ 10.76 $ 5.49 $ 5.98
Cost of investments $ 138,155,700 $ 572,682,945 $ 243,683,369 $ 688,833,169 $ 710,327,562
- ----------
+ Includes securities on loan with market
values of: $ -- $ 5,209,726 $ 24,031,901 $ 25,624,517 $ 67,360,994
</Table>
See Notes to Financial Statements.
53
<Page>
<Table>
<Caption>
GROWTH & AGGRESSIVE
INCOME GROWTH OPPORTUNITIES INTERNATIONAL
--------------- --------------- --------------- ---------------
ASSETS:
Securities, at market value+ $ 552,906,141 $ 2,284,474,814 $ 695,099,686 $ 304,847,318
Cash 1,387,662 131 -- --
Cash denominated in foreign currencies -- -- -- 113,959
Receivable for:
Dividends 638,291 2,058,878 591,499 291,657
Interest 43,531 40,078 125,695 9,179
Investments sold 297,904 2,010,783 2,146,887 621,801
Fund shares sold 396,016 251,652 377,840 147,971
Recoverable foreign taxes 606 4,217 11,005 149,627
Variation margin on futures contracts -- 2,730 -- --
Gross unrealized gain on forward foreign
currency exchange contracts -- 1,550 727,927 538,743
--------------- --------------- --------------- ---------------
Total Assets 555,670,151 2,288,844,833 699,080,539 306,720,255
--------------- --------------- --------------- ---------------
LIABILITIES:
Payable for:
Investments purchased 199,845 17,213,144 1,984,284 1,568,670
Fund shares redeemed 1,067 124,740 53,610 344,159
Collateral for securities loaned 39,198,537 207,084,894 120,511,328 21,009,206
Foreign cash due to custodian -- -- 898,076 --
Administrative services fees 13,495 25,577 12,995 7,750
Advisory fees 46,025 185,805 51,174 24,784
Subadviser fees 387,779 2,745,726 1,061,050 415,474
Other accrued expense 226,808 909,475 281,414 147,560
Gross unrealized loss on forward foreign
currency exchange contracts -- -- 1,756,518 281,778
--------------- --------------- --------------- ---------------
Total Liabilities 40,073,556 228,289,361 126,610,449 23,799,381
--------------- --------------- --------------- ---------------
NET ASSETS $ 515,596,595 $ 2,060,555,472 $ 572,470,090 $ 282,920,874
=============== =============== =============== ===============
NET ASSETS REPRESENTED BY:
Paid-in capital $ 655,891,579 $ 3,272,521,546 $ 1,042,384,110 $ 413,675,846
Net unrealized depreciation on investments,
futures contracts and foreign currency
transactions (69,132,680) (215,221,251) (32,153,070) (22,529,946)
Undistributed net investment income (loss) 534,435 120,070 (4,292,555) (764,222)
Accumulated net realized loss on investments,
futures contracts and foreign currency
transactions (71,696,739) (996,864,893) (433,468,395) (107,460,804)
--------------- --------------- --------------- ---------------
NET ASSETS $ 515,596,595 $ 2,060,555,472 $ 572,470,090 $ 282,920,874
=============== =============== =============== ===============
CAPITAL SHARES:
Net Assets $ 515,596,595 $ 2,060,555,472 $ 572,470,090 $ 282,920,874
Shares Outstanding 71,239,779 328,744,627 91,332,595 41,634,929
Net Asset Value, offering and redemption price
per share (net assets divided by shares
outstanding) $ 7.24 $ 6.27 $ 6.27 $ 6.80
Cost of investments $ 622,038,821 $ 2,499,637,875 $ 726,242,929 $ 327,654,613
Cost of cash denominated in foreign currencies $ -- $ -- $ (889,521) $ 108,428
- ----------
+ Includes securities on loan with market
value of: $ 37,675,237 $ 199,248,177 $ 114,679,009 $ 19,814,080
</Table>
See Notes to Financial Statements.
54
<Page>
<Table>
<Caption>
BROAD MID/SMALL OVERSEAS
CORE BOND 500 STOCK MARKET COMPANY EQUITY
INDEX INDEX INDEX INDEX INDEX
------------- ------------- ------------- ------------- -------------
ASSETS:
Securities, at market value* $ 534,312,516 $ 205,871,794 $ 379,565,313 $ 52,674,927 $ 43,082,742
Receivable for:
Fund shares sold 618,189 229,815 204,688 67,516 13,556
------------- ------------- ------------- ------------- -------------
Total Assets 534,930,705 206,101,609 379,770,001 52,742,443 43,096,298
------------- ------------- ------------- ------------- -------------
LIABILITIES:
Payable for:
Fund shares redeemed 57,314 -- -- 23,949 3,745
Administrative services fees 6,954 3,305 5,342 807 662
Advisory fees 23,056 9,178 16,978 2,333 1,861
Other accrued expense 155,542 55,150 99,454 15,278 15,915
------------- ------------- ------------- ------------- -------------
Total Liabilities 242,866 67,633 121,774 42,367 22,183
------------- ------------- ------------- ------------- -------------
NET ASSETS $ 534,687,839 $ 206,033,976 $ 379,648,227 $ 52,700,076 $ 43,074,115
============= ============= ============= ============= =============
NET ASSETS REPRESENTED BY:
Paid-in capital $ 508,562,953 $ 316,360,833 $ 584,803,718 $ 84,289,870 $ 63,223,028
Net unrealized appreciation (depreciation) on
investments, futures contracts and foreign
currency transactions 24,253,282 (77,987,989) (155,144,534) (24,418,406) (14,013,217)
Undistributed net investment income (loss) 568,891 9,943 5,041,019 450,410 (101,025)
Accumulated net realized gain (loss) on
investments, futures contracts and foreign
currency transactions 1,302,713 (32,348,811) (55,051,976) (7,621,798) (6,034,671)
------------- ------------- ------------- ------------- -------------
NET ASSETS $ 534,687,839 $ 206,033,976 $ 379,648,227 $ 52,700,076 $ 43,074,115
============= ============= ============= ============= =============
CAPITAL SHARES:
Net Assets--Class I $ 384,323,110 $ 85,250,258 $ 190,706,193 $ 27,426,995 $ 35,412,915
Shares Outstanding--Class I 36,744,966 12,287,260 27,661,848 3,294,165 5,566,609
Net Asset Value--Class I, offering and
redemption price per share (net assets divided
by shares outstanding) $ 10.46 $ 6.94 $ 6.89 $ 8.33 $ 6.36
Net Assets--Class II $ 150,364,729 $ 120,783,718 $ 188,942,034 $ 25,273,081 $ 7,661,200
Shares Outstanding--Class II 14,332,268 18,285,979 28,881,842 3,164,368 1,269,071
Net Asset Value--Class II, offering and
redemption price per share
(net assets divided by shares outstanding) $ 10.49 $ 6.61 $ 6.54 $ 7.99 $ 6.04
Cost of investments $ 510,059,234 $ 283,422,752 $ 534,338,128 $ 77,003,323 $ 57,127,481
</Table>
- ----------
* Investment in Master Portfolio (Note 1)
See Notes to Financial Statements.
55
<Page>
<Table>
<Caption>
MODEL PORTFOLIOS
-------------------------------------------------------------------------------
SAVINGS CONSERVATIVE TRADITIONAL LONG-TERM ALL-EQUITY
ORIENTED GROWTH GROWTH GROWTH GROWTH
------------- ------------- ------------- ------------- -------------
ASSETS:
Securities, at market value $ 159,512,496 $ 280,810,577 $ 566,598,397 $ 528,752,910 $ 54,786,087
Receivable for:
Investments sold 180,251 35,390 219,319 64,839 53,845
Fund shares sold 26,816 105,297 2,919 309,517 35,811
------------- ------------- ------------- ------------- -------------
Total Assets 159,719,563 280,951,264 566,820,635 529,127,266 54,875,743
------------- ------------- ------------- ------------- -------------
LIABILITIES:
Payable for:
Investments purchased 1,015 105,297 2,812 309,517 14,985
Fund shares redeemed 185,469 -- 149,953 -- 66,218
Administrative services fees 3,645 4,396 7,354 7,114 896
Advisory fees 13,860 24,639 49,891 46,527 4,807
Other accrued expense 19,009 30,364 56,117 53,925 9,748
------------- ------------- ------------- ------------- -------------
Total Liabilities 222,998 164,696 266,127 417,083 96,654
------------- ------------- ------------- ------------- -------------
NET ASSETS $ 159,496,565 $ 280,786,568 $ 566,554,508 $ 528,710,183 $ 54,779,089
============= ============= ============= ============= =============
NET ASSETS REPRESENTED BY:
Paid-in capital $ 174,550,299 $337,940,129 $ 730,980,555 $ 730,847,739 $ 73,804,194
Net unrealized depreciation on investments (4,338,958) (21,025,188) (97,652,422) (155,114,491) (12,852,528)
Undistributed net investment income (loss) 460,646 9,382 713,381 -- --
Accumulated net realized loss on investments (11,175,422) (36,137,755) (67,487,006) (47,023,065) (6,172,577)
------------- ------------- ------------- ------------- -------------
NET ASSETS $ 159,496,565 $ 280,786,568 $ 566,554,508 $ 528,710,183 $ 54,779,089
============= ============= ============= ============= =============
CAPITAL SHARES:
Net Assets $ 159,496,565 $ 280,786,568 $ 566,554,508 $ 528,710,183 $ 54,779,089
Shares Outstanding 7,276,151 14,373,172 32,962,754 34,145,677 3,731,791
Net Asset Value, offering and redemption price
per share (net assets divided by shares
outstanding) $ 21.92 $ 19.54 $ 17.19 $ 15.48 $ 14.68
Cost of investments $ 163,851,454 $ 301,835,765 $ 664,250,819 $ 683,867,401 $ 67,638,615
</Table>
See Notes to Financial Statements.
56
<Page>
VANTAGEPOINT FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2002
<Table>
<Caption>
MONEY INCOME US GOVERNMENT ASSET EQUITY
MARKET PRESERVATION SECURITIES ALLOCATION INCOME
------------- ------------- ------------- --------------- ---------------
INVESTMENT INCOME:
Dividends $ 2,437,419 $ -- $ -- $ 8,255,257 $ 12,565,523
Interest+ -- 20,928,064 6,864,007 9,556,498 654,834
Foreign taxes withheld on dividends -- -- -- (21,927) (92,324)
------------- ------------- ------------- --------------- ---------------
Total investment income 2,437,419 20,928,064 6,864,007 17,789,828 13,128,033
------------- ------------- ------------- --------------- ---------------
EXPENSES:
Subadviser 153,095 797,110 169,681 1,716,830 2,538,101
Custodian 30,504 167,299 41,393 203,421 127,111
Advisory 127,529 431,446 175,420 754,034 614,640
Fund services 191,293 647,168 263,130 1,131,051 921,960
Investor services 255,057 862,891 350,840 1,508,068 1,229,281
Administration 26,182 87,674 35,883 153,332 124,775
Wrapper -- 509,930 -- -- --
Other expenses 27,321 94,856 28,538 193,643 128,887
------------- ------------- ------------- --------------- ---------------
Total expenses before reductions and
reimbursements 810,981 3,598,374 1,064,885 5,660,379 5,684,755
Less reductions (Note 8) -- -- -- -- (141,311)
Less reimbursements (Note 3) (35,836) -- -- -- --
------------- ------------- ------------- --------------- ---------------
Total expenses net of reductions and
reimbursements 775,145 3,598,374 1,064,885 5,660,379 5,543,444
------------- ------------- ------------- --------------- ---------------
NET INVESTMENT INCOME 1,662,274 17,329,690 5,799,122 12,129,449 7,584,589
------------- ------------- ------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) (NOTE 2):
Net realized gain (loss) on sale of
investments -- 1,530,919 2,165,104 2,351,563 (2,081,024)
Net realized gain (loss) on futures
contracts, foreign currency transactions
and written options -- 2,822,549 -- (16,548,069) --
Net change in unrealized appreciation
(depreciation) of investments and wrapper
agreements -- (5,805,541) 6,680,131 (129,778,406) (109,063,573)
Net change in unrealized appreciation
(depreciation) on futures contracts, foreign
currency transactions and written options -- 1,475,271 -- (2,561,400) --
------------- ------------- ------------- --------------- ---------------
NET GAIN (LOSS) -- 23,198 8,845,235 (146,536,312) (111,144,597)
------------- ------------- ------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 1,662,274 $ 17,352,888 $ 14,644,357 $ (134,406,863) $ (103,560,008)
============= ============= ============= =============== ===============
- ----------
+ Interest income includes securities lending
income of: $ -- $ 11,062 $ 69,806 $ 94,525 $ 174,300
</Table>
See Notes to Financial Statements.
57
<Page>
<Table>
<Caption>
GROWTH & AGGRESSIVE
INCOME GROWTH OPPORTUNITIES INTERNATIONAL
--------------- --------------- --------------- ---------------
INVESTMENT INCOME:
Dividends $ 6,580,020 $ 20,010,738 $ 2,736,552 $ 6,349,395
Interest+ 725,988 1,904,046 1,326,067 471,005
Foreign taxes withheld on dividends (38,225) (64,581) (101,962) (794,527)
--------------- --------------- --------------- ---------------
Total investment income 7,267,783 21,850,203 3,960,657 6,025,873
--------------- --------------- --------------- ---------------
EXPENSES:
Subadviser 1,470,369 9,606,302 4,222,300 1,557,707
Custodian 125,992 563,561 308,120 518,330
Advisory 454,475 2,413,751 663,766 294,834
Fund services 681,713 3,620,627 995,649 442,250
Investor services 908,950 4,827,503 1,327,532 589,667
Administration 92,490 471,308 135,815 61,095
Other expenses 86,589 630,455 165,399 65,090
--------------- --------------- --------------- ---------------
Total expenses before reductions and reimbursements 3,820,578 22,133,507 7,818,581 3,528,973
Less reductions (Note 8) (137,555) (791,819) (260,443) (113,196)
--------------- --------------- --------------- ---------------
Total expenses net of reductions and reimbursements 3,683,023 21,341,688 7,558,138 3,415,777
--------------- --------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) 3,584,760 508,515 (3,597,481) 2,610,096
--------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (NOTE 2):
Net realized loss on sale of investments (36,696,928) (598,822,433) (307,303,559) (69,886,296)
Net realized gain (loss) on futures contracts and foreign
currency transactions -- (611,741) (681,349) 753,117
Net change in unrealized appreciation (depreciation) of
investments (72,845,078) (83,633,316) (21,731,514) 17,388,290
Net change in unrealized appreciation (depreciation) on
futures contracts and foreign currency transactions -- (58,554) (1,009,827) (335,964)
--------------- --------------- --------------- ---------------
NET LOSS (109,542,006) (683,126,044) (330,726,249) (52,080,853)
--------------- --------------- --------------- ---------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ (105,957,246) $ (682,617,529) $ (334,323,730) $ (49,470,757)
=============== =============== =============== ===============
- ----------
+ Interest income includes securities lending income of: $ 62,367 $ 335,449 $ 373,771 $ 196,639
</Table>
See Notes to Financial Statements.
58
<Page>
<Table>
<Caption>
BROAD MID/SMALL OVERSEAS
CORE BOND 500 STOCK MARKET COMPANY EQUITY
INDEX INDEX INDEX INDEX INDEX
------------- ------------- ------------- ------------- -------------
INVESTMENT INCOME:
Dividends* $ -- $ 3,463,273 $ 6,370,631 $ 659,877 $ 1,025,070
Interest* 25,962,616 164,304 359,499 45,969 52,477
Foreign taxes withheld on dividends* -- (9,552) (15,650) (460) (120,200)
Expenses* (386,691) (110,383) (346,451) (57,252) (108,128)
------------- ------------- ------------- ------------- -------------
Total investment income 25,575,925 3,507,642 6,368,029 648,134 849,219
------------- ------------- ------------- ------------- -------------
EXPENSES:
Legal 45,890 61,939 61,689 6,865 5,462
Custodian 32,220 28,263 33,759 22,879 24,522
Advisory Class I 178,133 44,950 109,791 14,536 17,633
Advisory Class II 63,414 65,365 105,940 14,075 3,986
Fund services Class I 534,398 134,849 329,324 43,607 52,900
Fund services Class II 63,414 65,365 105,924 14,075 3,986
Investor services Class I 534,398 134,849 329,324 43,607 52,900
Investor services Class II 63,414 65,365 105,924 14,075 3,986
Administration 83,165 37,756 75,600 9,148 6,813
Other expenses 56,203 29,378 68,852 9,120 6,173
------------- ------------- ------------- ------------- -------------
Total expenses 1,654,649 668,079 1,326,127 191,987 178,361
------------- ------------- ------------- ------------- -------------
NET INVESTMENT INCOME 23,921,276 2,839,563 5,041,902 456,147 670,858
------------- ------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) (NOTE 2):
Net realized gain (loss) on sale of
investments 8,643,953 (22,570,591) (42,666,980) (3,279,770) (3,276,401)
Net realized gain (loss) on futures contracts
and foreign currency transactions -- (1,602,593) 369,791 (241,366) (214,208)
Net change in unrealized appreciation
(depreciation) of investments 13,203,505 (35,045,201) (68,190,921) (8,895,458) (4,468,235)
Net change in unrealized appreciation
(depreciation) on futures contracts and
foreign currency transactions -- (213,921) (1,720,795) (22,241) 28,195
------------- ------------- ------------- ------------- -------------
NET GAIN (LOSS) 21,847,458 (59,432,306) (112,208,905) (12,438,835) (7,930,649)
------------- ------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 45,768,734 $ (56,592,743) $(107,167,003) $ (11,982,688) $ (7,259,791)
============= ============= ============= ============= =============
</Table>
- ----------
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
59
<Page>
<Table>
<Caption>
MODEL PORTFOLIOS
------------------------------------------------------------------------------
SAVINGS CONSERVATIVE TRADITIONAL LONG-TERM ALL-EQUITY
ORIENTED GROWTH GROWTH GROWTH GROWTH
------------- ------------- ------------- -------------- -------------
INVESTMENT INCOME:
Dividends $ 4,730,190 $ 7,920,334 $ 11,909,292 $ 8,168,867 $ 298,390
------------- ------------- ------------- -------------- -------------
Total investment income 4,730,190 7,920,334 11,909,292 8,168,867 298,390
------------- ------------- ------------- -------------- -------------
EXPENSES:
Legal 10,958 22,972 46,533 43,316 2,551
Custodian 28,645 31,541 37,526 36,771 25,493
Advisory 147,255 283,875 573,086 528,894 46,867
Administration 26,701 49,843 100,770 93,247 8,119
Other expenses 12,968 27,395 53,036 51,254 4,139
------------- ------------- ------------- -------------- -------------
Total expenses 226,527 415,626 810,951 753,482 87,169
------------- ------------- ------------- -------------- -------------
NET INVESTMENT INCOME 4,503,663 7,504,708 11,098,341 7,415,385 211,221
------------- ------------- ------------- -------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) (NOTE 2):
Net realized loss on sale of investments (7,234,573) (28,542,209) (61,939,874) (39,677,761) (4,883,573)
Realized gain distributions from Vantagepoint
Funds 651,521 672,253 827,635 40,063 --
Net change in unrealized appreciation
(depreciation) of investments 101,995 (119,112) (29,534,899) (74,027,001) (8,289,658)
------------- ------------- ------------- -------------- -------------
NET LOSS (6,481,057) (27,989,068) (90,647,138) (113,664,699) (13,173,231)
------------- ------------- ------------- -------------- -------------
NET DECREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ (1,977,394) $ (20,484,360) $ (79,548,797) $ (106,249,314) $ (12,962,010)
============= ============= ============= ============== =============
</Table>
See Notes to Financial Statements.
60
<Page>
VANTAGEPOINT FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
MONEY MARKET INCOME PRESERVATION
-------------------------------- --------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income $ 1,662,274 $ 3,781,100 $ 17,329,690 $ 18,542,632
Net realized gain on sale of
investments, futures contracts and written
options -- -- 4,353,468 4,356,896
Net change in unrealized depreciation
of investments and wrapper agreements -- -- (4,330,270) (4,331,513)
-------------- -------------- -------------- --------------
Net increase in net assets resulting from
operations 1,662,274 3,781,100 17,352,888 18,568,015
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,662,274) (3,781,100) (17,352,883) (18,035,788)
Net realized gain on investments -- -- (2,131,958) (9,198,918)
Return of capital -- -- -- (532,227)
-------------- -------------- -------------- --------------
Total distributions (1,662,274) (3,781,100) (19,484,841) (27,766,933)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares 68,222,014 73,580,928 169,725,103 118,426,186
Reinvestment of distributions 1,662,274 3,781,100 19,484,841 27,766,933
Value of shares redeemed (51,304,773) (51,094,799) (141,304,755) (57,221,263)
-------------- -------------- -------------- --------------
Net increase from capital share transactions 18,579,515 26,267,229 47,905,189 88,971,856
-------------- -------------- -------------- --------------
Total increase in net assets 18,579,515 26,267,229 45,773,236 79,772,938
-------------- -------------- -------------- --------------
NET ASSETS at beginning of year 119,652,087 93,384,858 408,910,197 329,137,259
-------------- -------------- -------------- --------------
NET ASSETS at end of year $ 138,231,602 $ 119,652,087 $ 454,683,433 $ 408,910,197
============== ============== ============== ==============
Undistributed net investment income included in
net assets at end of year $ -- $ -- $ 26,325 $ --
SHARE TRANSACTIONS:
Number of shares sold 68,222,014 73,580,928 1,689,321 1,157,562
Number of shares issued through
reinvestment of dividends and distributions 1,662,274 3,781,100 215,330 362,856
Reverse stock split (Note 10) -- -- (21,320) (91,989)
Number of shares redeemed (51,304,773) (51,094,799) (1,406,462) (556,493)
-------------- -------------- -------------- --------------
Net increase in shares outstanding 18,579,515 26,267,229 476,869 871,936
============== ============== ============== ==============
</Table>
See Notes to Financial Statements.
61
<Page>
<Table>
<Caption>
US GOVERNMENT SECURITIES ASSET ALLOCATION
-------------------------------- --------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income $ 5,799,122 $ 5,370,312 $ 12,129,449 $ 19,792,099
Net realized gain (loss) on sale of
investments and futures contracts 2,165,104 5,726,126 (14,196,506) 102,002,097
Net change in unrealized appreciation
(depreciation) of investments and
futures contracts 6,680,131 (3,643,331) (132,339,806) (176,642,318)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets
resulting from operations 14,644,357 7,453,107 (134,406,863) (54,848,122)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (5,929,290) (5,416,030) -- (19,180,435)
Net realized gain on investments (2,217,757) -- -- (103,172,139)
In excess of net realized gain on investments -- -- -- (114,357,807)
Return of capital -- -- -- (26,801,404)
-------------- -------------- -------------- --------------
Total distributions (8,147,047) (5,416,030) -- (263,511,785)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares 105,891,443 94,598,854 40,717,398 58,612,692
Reinvestment of distributions 8,147,047 5,416,030 -- 263,511,785
Value of shares redeemed (35,698,562) (38,454,325) (134,361,628) (114,061,811)
-------------- -------------- -------------- --------------
Net increase (decrease) from capital
share transactions 78,339,928 61,560,559 (93,644,230) 208,062,666
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets 84,837,238 63,597,636 (228,051,093) (110,297,241)
-------------- -------------- -------------- --------------
NET ASSETS at beginning of year 150,806,788 87,209,152 876,207,033 986,504,274
-------------- -------------- -------------- --------------
NET ASSETS at end of year $ 235,644,026 $ 150,806,788 $ 648,155,940 $ 876,207,033
============== ============== ============== ==============
Undistributed net investment income
included in net assets at end of year $ 18,586 $ -- $ 12,127,455 $ --
SHARE TRANSACTIONS:
Number of shares sold 9,958,757 9,134,422 6,546,092 6,688,909
Number of shares issued through
reinvestment of dividends and distributions 768,058 527,085 -- 41,563,373
Number of shares redeemed (3,417,825) (3,740,335) (22,946,312) (12,831,331)
-------------- -------------- -------------- --------------
Net increase (decrease) in shares outstanding 7,308,990 5,921,172 (16,400,220) 35,420,951
============== ============== ============== ==============
</Table>
See Notes to Financial Statements.
62
<Page>
<Table>
<Caption>
EQUITY INCOME GROWTH & INCOME
-------------------------------- --------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income $ 7,584,589 $ 8,235,940 $ 3,584,760 $ 2,152,140
Net realized gain (loss) on sale of investments (2,081,024) 10,061,226 (36,696,928) (2,987,420)
Net change in unrealized depreciation
of investments (109,063,573) (3,276,378) (72,845,078) (16,208,665)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets
resulting from operations (103,560,008) 15,020,788 (105,957,246) (17,043,945)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (7,085,602) (8,055,306) (3,050,319) (2,187,827)
Net realized gain on investments -- (21,333,733) -- --
In excess of net realized gain on investments -- (57,261,552) -- (28,824,850)
Return of capital -- (1,953,056) -- (2,512,838)
-------------- -------------- -------------- --------------
Total distributions (7,085,602) (88,603,647) (3,050,319) (33,525,515)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares 138,947,288 161,810,064 279,118,876 110,061,667
Reinvestment of distributions 7,085,602 88,603,647 3,050,284 33,525,515
Value of shares redeemed (98,416,776) (71,709,649) (93,850,401) (32,869,193)
-------------- -------------- -------------- --------------
Net increase from capital share transactions 47,616,114 178,704,062 188,318,759 110,717,989
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets (63,029,496) 105,121,203 79,311,194 60,148,529
-------------- -------------- -------------- --------------
NET ASSETS at beginning of year 628,075,408 522,954,205 436,285,401 376,136,872
-------------- -------------- -------------- --------------
NET ASSETS at end of year $ 565,045,912 $ 628,075,408 $ 515,596,595 $ 436,285,401
============== ============== ============== ==============
Undistributed net investment income
included in net assets at end of year $ 473,949 $ 137,900 $ 534,435 $ --
SHARE TRANSACTIONS:
Number of shares sold 20,639,980 19,944,999 37,140,624 11,021,496
Number of shares issued through
reinvestment of dividends and distributions 1,171,174 13,126,464 415,005 3,762,681
Number of shares redeemed (15,486,100) (9,020,145) (12,465,750) (3,379,288)
-------------- -------------- -------------- --------------
Net increase in shares outstanding 6,325,054 24,051,318 25,089,879 11,404,889
============== ============== ============== ==============
</Table>
See Notes to Financial Statements.
63
<Page>
<Table>
<Caption>
GROWTH AGGRESSIVE OPPORTUNITIES
--------------------------------- ---------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income (loss) $ 508,515 $ (1,093,413) $ (3,597,481) $ (5,368,111)
Net realized loss on sale of investments,
futures contracts and foreign
currency transactions (599,434,174) (185,128,284) (307,984,908) (115,374,342)
Net change in unrealized appreciation
(depreciation) of investments, futures
contracts and foreign currency transactions (83,691,870) (326,464,317) (22,741,341) 3,042,933
--------------- --------------- --------------- ---------------
Net decrease in net assets resulting
from operations (682,617,529) (512,686,014) (334,323,730) (117,699,520)
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (383,794) -- -- --
In excess of net realized gain on investments -- (220,092,786) -- (337,032)
Return of capital -- (25,384,129) -- --
--------------- --------------- --------------- ---------------
Total distributions (383,794) (245,476,915) -- (337,032)
--------------- --------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares 269,469,421 282,819,549 205,386,982 235,623,000
Reinvestment of distributions 383,794 245,476,915 -- 337,032
Value of shares redeemed (336,842,418) (309,205,412) (117,640,044) (149,791,954)
--------------- --------------- --------------- ---------------
Net increase (decrease) from
capital share transactions (66,989,203) 219,091,052 87,746,938 86,168,078
--------------- --------------- --------------- ---------------
Total decrease in net assets (749,990,526) (539,071,877) (246,576,792) (31,868,474)
--------------- --------------- --------------- ---------------
NET ASSETS at beginning of year 2,810,545,998 3,349,617,875 819,046,882 850,915,356
--------------- --------------- --------------- ---------------
NET ASSETS at end of year $ 2,060,555,472 $ 2,810,545,998 $ 572,470,090 $ 819,046,882
=============== =============== =============== ===============
Undistributed net investment income (loss)
included in net assets at end of year $ 120,070 $ (14) $ (4,292,555) $ 2,080
SHARE TRANSACTIONS:
Number of shares sold 37,320,386 32,362,927 26,304,320 22,969,744
Number of shares issued through
reinvestment of dividends and distributions 59,968 31,633,612 -- 36,474
Number of shares redeemed (48,247,155) (35,423,636) (15,314,898) (14,646,955)
--------------- --------------- --------------- ---------------
Net increase (decrease) in shares outstanding (10,866,801) 28,572,903 10,989,422 8,359,263
=============== =============== =============== ===============
</Table>
See Notes to Financial Statements.
64
<Page>
<Table>
<Caption>
INTERNATIONAL
----------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
2002 2001
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income $ 2,610,096 $ 1,701,546
Net realized loss on sale of investments and foreign currency transactions (69,133,179) (28,852,288)
Net change in unrealized appreciation (depreciation)
of investments and foreign currency transactions 17,052,326 (41,818,423)
--------------- ---------------
Net decrease in net assets resulting from operations (49,470,757) (68,969,165)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (3,314,155) --
In excess of net realized gain on investments -- (8,528,037)
Return of capital -- (3,768,095)
--------------- ---------------
Total distributions (3,314,155) (12,296,132)
--------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares 120,470,050 81,380,363
Reinvestment of distributions 3,314,155 12,296,132
Value of shares redeemed (92,435,140) (34,588,453)
--------------- ---------------
Net increase from capital share transactions 31,349,065 59,088,042
--------------- ---------------
Total decrease in net assets (21,435,847) (22,177,255)
--------------- ---------------
NET ASSETS at beginning of year 304,356,721 326,533,976
--------------- ---------------
NET ASSETS at end of year $ 282,920,874 $ 304,356,721
=============== ===============
Undistributed net investment loss included in net assets at end of year $ (764,222) $ (840,084)
SHARE TRANSACTIONS:
Number of shares sold 16,229,303 8,948,769
Number of shares issued through reinvestment of dividends and distributions 490,260 1,546,685
Number of shares redeemed (12,219,928) (3,782,816)
--------------- ---------------
Net increase in shares outstanding 4,499,635 6,712,638
=============== ===============
</Table>
See Notes to Financial Statements.
65
<Page>
<Table>
<Caption>
CORE BOND INDEX 500 STOCK INDEX
-------------------------------- --------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS:
Net investment income $ 23,921,276 $ 23,400,029 $ 2,839,563 $ 2,382,435
Net realized gain (loss) on sale
of investments and futures contracts 8,643,953 3,770,048 (24,173,184) (7,430,380)
Net change in unrealized appreciation
(depreciation) of investments and
futures contracts 13,203,505 5,887,209 (35,259,122) (26,246,467)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets
resulting from operations 45,768,734 33,057,286 (56,592,743) (31,294,412)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income--Class I (19,372,054) (18,802,590) (1,029,588) (812,013)
Net investment income--Class II (7,148,210) (6,291,447) (1,798,646) (1,638,567)
Net realized gain on investments--Class I (140,771) -- -- --
Net realized gain on investments--Class II (54,748) -- -- --
Return of capital--Class I -- (27,631) -- (151,289)
Return of capital--Class II -- (8,910) -- (218,426)
-------------- -------------- -------------- --------------
Total distributions (26,715,783) (25,130,578) (2,828,234) (2,820,295)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares--Class I 135,172,672 87,037,532 20,553,300 20,952,965
Proceeds from sale of shares--Class II 48,722,632 51,939,920 38,870,388 43,862,293
Reinvestment of distributions--Class I 19,512,825 18,830,221 1,029,588 963,302
Reinvestment of distributions--Class II 7,202,957 6,300,357 1,798,646 1,856,993
Value of shares redeemed--Class I (128,481,875) (61,607,338) (9,619,170) (10,828,416)
Value of shares redeemed--Class II (27,138,959) (25,083,962) (29,229,543) (30,795,586)
-------------- -------------- -------------- --------------
Net increase from capital share transactions 54,990,252 77,416,730 23,403,209 26,011,551
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets 74,043,203 85,343,438 (36,017,768) (8,103,156)
-------------- -------------- -------------- --------------
NET ASSETS at beginning of year 460,644,636 375,301,198 242,051,744 250,154,900
-------------- -------------- -------------- --------------
NET ASSETS at end of year $ 534,687,839 $ 460,644,636 $ 206,033,976 $ 242,051,744
============== ============== ============== ==============
Undistributed net investment income (loss)
included in net assets at end of year $ 568,891 $ (1,846,861) $ 9,943 $ --
SHARE TRANSACTIONS:
Number of shares sold--Class I 13,213,503 8,626,636 2,674,304 2,215,139
Number of shares issued through reinvestment
of dividends and distributions--Class I 1,911,677 1,872,613 145,834 110,852
Number of shares redeemed--Class I (12,538,004) (6,108,042) (1,306,697) (1,206,564)
-------------- -------------- -------------- --------------
Net increase in shares outstanding--Class I 2,587,176 4,391,207 1,513,441 1,119,427
============== ============== ============== ==============
Number of shares sold--Class II 4,744,429 5,123,520 5,152,715 4,998,381
Number of shares issued through reinvestment
of dividends and distributions--Class II 702,794 624,338 267,656 224,546
Number of shares redeemed--Class II (2,666,482) (2,492,175) (3,906,130) (3,467,372)
-------------- -------------- -------------- --------------
Net increase in shares outstanding--Class II 2,780,741 3,255,683 1,514,241 1,755,555
============== ============== ============== ==============
</Table>
See Notes to Financial Statements.
66
<Page>
<Table>
<Caption>
BROAD MARKET INDEX MID/SMALL COMPANY INDEX
-------------------------------- --------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS:
Net investment income $ 5,041,902 $ 4,726,697 $ 456,147 $ 423,965
Net realized loss on sale
of investments and futures contracts (42,297,189) (11,036,878) (3,521,136) (3,821,523)
Net change in unrealized depreciation
of investments and futures contracts (69,911,716) (59,175,098) (8,917,699) (3,281,607)
-------------- -------------- -------------- --------------
Net decrease in net assets resulting from
operations (107,167,003) (65,485,279) (11,982,688) (6,679,165)
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income--Class I (205,731) (1,731,172) -- (146,973)
Net investment income--Class II (696,586) (2,311,130) -- (220,112)
Net realized gain on investments--Class I -- (2,658,602) -- (225,226)
Net realized gain on investments--Class II -- (2,616,558) -- (234,399)
Return of capital--Class I -- -- -- (13,836)
Return of capital--Class II -- -- -- (13,168)
-------------- -------------- -------------- --------------
Total distributions (902,317) (9,317,462) -- (853,714)
-------------- -------------- -------------- --------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares--Class I 15,948,446 16,271,757 7,661,369 6,821,108
Proceeds from sale of shares--Class II 35,809,654 53,516,091 10,098,189 12,655,660
Reinvestment of distributions--Class I 205,731 4,389,774 -- 386,036
Reinvestment of distributions--Class II 696,586 4,927,688 -- 467,678
Value of shares redeemed--Class I (25,917,829) (35,679,525) (4,335,481) (6,677,078)
Value of shares redeemed--Class II (35,173,689) (34,307,814) (9,119,613) (13,880,931)
-------------- -------------- -------------- --------------
Net increase (decrease) from capital share
transactions (8,431,101) 9,117,971 4,304,464 (227,527)
-------------- -------------- -------------- --------------
Total decrease in net assets (116,500,421) (65,684,770) (7,678,224) (7,760,406)
-------------- -------------- -------------- --------------
NET ASSETS at beginning of year 496,148,648 561,833,418 60,378,300 68,138,706
-------------- -------------- -------------- --------------
NET ASSETS at end of year $ 379,648,227 $ 496,148,648 $ 52,700,076 $ 60,378,300
============== ============== ============== ==============
Undistributed net investment income
included in net assets at end of year $ 5,041,019 $ 950,452 $ 450,410 $ 15,692
SHARE TRANSACTIONS:
Number of shares sold--Class I 2,050,345 1,784,797 818,052 658,108
Number of shares issued through reinvestment
of dividends and distributions--Class I 29,390 525,720 -- 41,734
Number of shares redeemed--Class I (3,457,595) (4,084,926) (483,286) (680,293)
-------------- -------------- -------------- --------------
Net increase (decrease) in shares
outstanding--Class I (1,377,860) (1,774,409) 334,766 19,549
============== ============== ============== ==============
Number of shares sold--Class II 4,672,939 6,468,658 1,099,171 1,306,980
Number of shares issued through reinvestment
of dividends and distributions--Class II 104,908 622,181 -- 52,845
Number of shares redeemed--Class II (4,697,785) (3,989,596) (1,020,003) (1,389,678)
-------------- -------------- -------------- --------------
Net increase (decrease) in shares
outstanding--Class II 80,062 3,101,243 79,168 (29,853)
============== ============== ============== ==============
</Table>
See Notes to Financial Statements.
67
<Page>
<Table>
<Caption>
OVERSEAS EQUITY INDEX
----------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
2002 2001
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income $ 670,858 $ 458,351
Net realized loss on sale of investments, futures contracts and
foreign currency transactions (3,490,609) (2,227,718)
Net change in unrealized depreciation of investments, futures contracts and
foreign currency transactions (4,440,040) (8,480,535)
--------------- ---------------
Net decrease in net assets resulting from operations (7,259,791) (10,249,902)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income--Class I (635,500) (282,325)
Net investment income--Class II (159,550) (91,340)
Net realized gain on investments--Class I -- (58,805)
Net realized gain on investments--Class II -- (15,216)
Return of capital--Class I -- (255,052)
Return of capital--Class II -- (64,873)
--------------- ---------------
Total distributions (795,050) (767,611)
--------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares--Class I 27,578,438 14,734,883
Proceeds from sale of shares--Class II 6,047,539 6,353,886
Reinvestment of distributions--Class I 635,500 596,182
Reinvestment of distributions--Class II 159,550 171,429
Value of shares redeemed--Class I (21,992,521) (5,088,531)
Value of shares redeemed--Class II (5,195,291) (5,971,849)
--------------- ---------------
Net increase from capital share transactions 7,233,215 10,796,000
--------------- ---------------
Total decrease in net assets (821,626) (221,513)
--------------- ---------------
NET ASSETS at beginning of year 43,895,741 44,117,254
--------------- ---------------
NET ASSETS at end of year $ 43,074,115 $ 43,895,741
=============== ===============
Undistributed net investment loss included in net assets at end of year $ (101,025) $ (53,495)
SHARE TRANSACTIONS:
Number of shares sold--Class I 3,968,047 1,713,021
Number of shares issued through reinvestment of dividends and distributions--Class I 101,356 77,831
Number of shares redeemed--Class I (3,083,746) (582,339)
--------------- ---------------
Net increase in shares outstanding--Class I 985,657 1,208,513
=============== ===============
Number of shares sold--Class II 881,236 774,569
Number of shares issued through reinvestment of dividends and distributions--Class II 26,815 23,580
Number of shares redeemed--Class II (752,349) (717,382)
--------------- ---------------
Net increase in shares outstanding--Class II 155,702 80,767
=============== ===============
</Table>
See Notes to Financial Statements.
68
<Page>
<Table>
<Caption>
MODEL PORTFOLIOS
------------------------------------------------------------------------
SAVINGS ORIENTED CONSERVATIVE GROWTH
---------------------------------- ----------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS:
Net investment income $ 4,503,663 $ 4,594,008 $ 7,504,708 $ 8,227,357
Net realized gain (loss) on sale
of investments (6,583,052) 3,124,705 (27,869,956) 7,934,907
Net change in unrealized appreciation
(depreciation) of investments 101,995 (4,156,813) (119,112) (15,729,059)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations (1,977,394) 3,561,900 (20,484,360) 433,205
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (4,305,011) (7,661,282) (7,771,919) (14,002,741)
Net realized gain on investments (447,282) (4,407,990) -- (12,988,555)
In excess of net realized gain on investments -- (1,938,786) -- (5,812,353)
Return of capital -- (691,580) -- (2,197,371)
--------------- --------------- --------------- ---------------
Total distributions (4,752,293) (14,699,638) (7,771,919) (35,001,020)
--------------- --------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares 47,233,918 57,501,046 67,052,117 89,955,808
Reinvestment of distributions 4,750,820 14,699,638 7,771,919 35,001,020
Value of shares redeemed (22,787,815) (25,126,167) (46,594,286) (46,258,116)
--------------- --------------- --------------- ---------------
Net increase from capital share transactions 29,196,923 47,074,517 28,229,750 78,698,712
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets 22,467,236 35,936,779 (26,529) 44,130,897
--------------- --------------- --------------- ---------------
NET ASSETS at beginning of year 137,029,329 101,092,550 280,813,097 236,682,200
--------------- --------------- --------------- ---------------
NET ASSETS at end of year $ 159,496,565 $ 137,029,329 $ 280,786,568 $ 280,813,097
=============== =============== =============== ===============
Undistributed net investment income included
in net assets at end of year $ 460,646 $ -- $ 9,382 $ --
SHARE TRANSACTIONS:
Number of shares sold 2,083,573 2,319,342 3,208,447 3,751,668
Number of shares issued through reinvestment
of dividends and distributions 217,231 657,114 398,969 1,697,431
Number of shares redeemed (1,006,308) (1,023,453) (2,282,113) (1,940,309)
--------------- --------------- --------------- ---------------
Net increase in shares outstanding 1,294,496 1,953,003 1,325,303 3,508,790
=============== =============== =============== ===============
</Table>
See Notes to Financial Statements.
69
<Page>
<Table>
<Caption>
MODEL PORTFOLIOS
------------------------------------------------------------------------
TRADITIONAL GROWTH LONG-TERM GROWTH
---------------------------------- ----------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
--------------- --------------- --------------- ---------------
INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS:
Net investment income $ 11,098,341 $ 11,427,898 $ 7,415,385 $ 6,755,793
Net realized gain (loss) on sale of investments (61,112,239) 24,346,021 (39,637,698) 25,202,072
Net change in unrealized depreciation
of investments (29,534,899) (54,258,560) (74,027,001) (66,324,871)
--------------- --------------- --------------- ---------------
Net decrease in net assets resulting
from operations (79,548,797) (18,484,641) (106,249,314) (34,367,006)
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (10,721,918) (21,413,490) (7,427,368) (14,154,913)
Net realized gain on investments -- (41,389,517) (235,462) (47,509,680)
In excess of net realized gain on investments -- (14,458,286) -- (13,276,786)
Return of capital -- (3,190,398) -- (229,312)
--------------- --------------- --------------- ---------------
Total distributions (10,721,918) (80,451,691) (7,662,830) (75,170,691)
--------------- --------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares 129,954,625 157,859,011 133,236,681 138,742,916
Reinvestment of distributions 10,721,918 80,451,691 7,662,830 75,170,691
Value of shares redeemed (55,208,788) (57,807,641) (31,625,132) (38,550,364)
--------------- --------------- --------------- ---------------
Net increase from capital share transactions 85,467,755 180,503,061 109,274,379 175,363,243
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets (4,802,960) 81,566,729 (4,637,765) 65,825,546
--------------- --------------- --------------- ---------------
NET ASSETS at beginning of year 571,357,468 489,790,739 533,347,948 467,522,402
--------------- --------------- --------------- ---------------
NET ASSETS at end of year $ 566,554,508 $ 571,357,468 $ 528,710,183 $ 533,347,948
=============== =============== =============== ===============
Undistributed net investment income included
in net assets at end of year $ 713,381 $ -- $ -- $ --
SHARE TRANSACTIONS:
Number of shares sold 6,906,104 6,875,408 7,657,339 6,284,276
Number of shares issued through reinvestment
of dividends and distributions 626,280 4,272,528 497,585 4,249,332
Number of shares redeemed (3,051,931) (2,543,437) (1,841,046) (1,758,188)
--------------- --------------- --------------- ---------------
Net increase in shares outstanding 4,480,453 8,604,499 6,313,878 8,775,420
=============== =============== =============== ===============
</Table>
See Notes to Financial Statements.
70
<Page>
<Table>
<Caption>
MODEL PORTFOLIOS
----------------------------------
ALL-EQUITY GROWTH
----------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
2002 2001
--------------- ---------------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income $ 211,221 $ 50,186
Net realized gain (loss) on sale of investments (4,883,573) 827,551
Net change in unrealized depreciation of investments (8,289,658) (3,032,469)
--------------- ---------------
Net decrease in net assets resulting from operations (12,962,010) (2,154,732)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (211,221) (622,721)
Net realized gain on investments -- (1,496,220)
In excess of net realized gain on investments -- (716,550)
Return of capital (1,535) (20,416)
--------------- ---------------
Total distributions (212,756) (2,855,907)
--------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares 38,467,020 35,462,826
Reinvestment of distributions 212,756 2,855,907
Value of shares redeemed (8,537,730) (7,193,739)
--------------- ---------------
Net increase from capital share transactions 30,142,046 31,124,994
--------------- ---------------
Total increase in net assets 16,967,280 26,114,355
--------------- ---------------
NET ASSETS at beginning of year 37,811,809 11,697,454
--------------- ---------------
NET ASSETS at end of year $ 54,779,089 $ 37,811,809
=============== ===============
Undistributed net investment income included in net assets at end of year $ -- $ --
SHARE TRANSACTIONS:
Number of shares sold 2,284,622 1,637,144
Number of shares issued through reinvestment of dividends and distributions 14,592 163,288
Number of shares redeemed (515,131) (334,765)
--------------- ---------------
Net increase in shares outstanding 1,784,083 1,465,667
=============== ===============
</Table>
See Notes to Financial Statements.
71
<Page>
VANTAGEPOINT FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
MONEY MARKET
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.01 0.04 0.06 0.04
Net realized and unrealized gain on investments 0.00 0.00 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS 0.01 0.04 0.06 0.04
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.01) (0.04) (0.06) (0.04)
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.01) (0.04) (0.06) (0.04)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
=============== =============== =============== ===============
Total return 1.32% 3.70% 6.05% 4.00%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 138,232 $ 119,652 $ 93,385 $ 76,773
Ratios to average net assets:
Ratio of expenses to average net assets 0.61% 0.55% 0.55% 0.55%+
Ratio of net investment income
to average net assets 1.30% 3.54% 5.89% 4.70%+
Ratio of expenses to average net assets prior to
expense reductions and reimbursed expenses 0.64% 0.62% 0.61% 0.60%+
Ratio of net investment income to average net
assets prior to expense reductions and
reimbursed expenses 1.27% 3.47% 5.83% 4.65%+
Portfolio turnover N/A N/A N/A N/A
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
72
<Page>
<Table>
<Caption>
INCOME PRESERVATION
------------------------------------------------------------
FOR THE PERIOD
FROM DECEMBER 4,
2000* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002@ 2001(a)# 2000#
---------------- ---------------- ----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 100.00 $ 100.00 $ 100.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 4.02 5.08 0.47
Net realized and unrealized gain on
investments and futures and foreign
currency transactions 0.00** 0.00** 0.00
---------------- ---------------- ----------------
TOTAL FROM INVESTMENT OPERATIONS 4.02 5.08 0.47
---------------- ---------------- ----------------
LESS DISTRIBUTIONS:
From net investment income (4.02) (4.93) (0.47)
From net realized gains (0.47) (2.45) 0.00
Reverse stock split (Note 10) 0.47 2.45 0.00
Return of capital 0.00 (0.15) 0.00
---------------- ---------------- ----------------
TOTAL DISTRIBUTIONS (4.02) (5.08) (0.47)
---------------- ---------------- ----------------
NET ASSET VALUE, END OF PERIOD $ 100.00 $ 100.00 $ 100.00
================ ================ ================
Total return 4.09% 5.18% 0.46%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 454,683 $ 408,910 $ 329,137
Ratios to average net assets:
Ratio of expenses to average net assets 0.83% 0.84% 0.78%+
Ratio of net investment income
to average net assets 4.02% 5.06% 6.90%+
Portfolio turnover 310% 213% 139%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
@ --Per share amounts were calculated using average shares outstanding.
(a) --The Fund has adopted the provisions of the AICPA Audit and Accounting
Guide for Investment Companies and began amortizing premium and
discount on debt securities. The effect of this change for the period
ended December 31, 2001 was an increase in net investment income per
share of less than $0.01, a decrease in net realized and unrealized
gains and losses per share of less than $0.01, and an increase in the
ratio of net investment income to average net assets of less than
0.01%. Per share data and ratios/supplemental data for the period prior
to January 1, 2001 have not been restated to reflect this change in
position.
** --Rounds to less than $0.01
# --Per share amounts were restated to reflect a 0.9953 reverse stock split
effective December 27, 2002.
See Notes to Financial Statements.
73
<Page>
<Table>
<Caption>
US GOVERNMENT SECURITIES
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001(a) 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.34 $ 10.07 $ 9.50 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.34 0.46 0.53 0.44
Net realized and unrealized gain (loss) on
investments 0.54 0.27 0.57 (0.50)
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS 0.88 0.73 1.10 (0.06)
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.35) (0.46) (0.53) (0.44)
From net realized gains (0.11) 0.00 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.46) (0.46) (0.53) (0.44)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 10.76 $ 10.34 $ 10.07 $ 9.50
=============== =============== =============== ===============
Total return 8.76% 7.42% 12.00% -0.66%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 235,644 $ 150,807 $ 87,209 $ 76,468
Ratios to average net assets:
Ratio of expenses to average net assets 0.61% 0.64% 0.68% 0.66%+
Ratio of net investment income
to average net assets 3.30% 4.52% 5.54% 5.26%+
Portfolio turnover 114% 278% 121% 176%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
(a) --The Fund has adopted the provisions of the AICPA Audit and Accounting
Guide for Investment Companies and began amortizing premium and
discount on debt securities. The effect of this change for the year
ended December 31, 2001 was an increase in net investment income per
share of less than $0.01, a decrease in net realized and unrealized
gains and losses per share of less than $0.01, and an increase in the
ratio of net investment income to average net assets of less than
0.01%. Per share data and ratios/supplemental data for the periods
prior to January 1, 2001 have not been restated to reflect this change
in presentation.
See Notes to Financial Statements.
74
<Page>
<Table>
<Caption>
ASSET ALLOCATION
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001(a) 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.52 $ 9.96 $ 10.49 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.10 0.21 0.29 0.24
Net realized and unrealized gain (loss) on
investments and futures and
foreign currency transactions (1.13) (0.83) (0.36) 0.62
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.03) (0.62) (0.07) 0.86
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income 0.00 (0.21) (0.29) (0.24)
From net realized gains 0.00 (1.10) (0.17) (0.13)
In excess of net realized gain on investments 0.00 (1.22) 0.00 0.00
Return of capital 0.00 (0.29) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS 0.00 (2.82) (0.46) (0.37)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 5.49 $ 6.52 $ 9.96 $ 10.49
=============== =============== =============== ===============
Total return -15.80% -5.42% -0.71% 8.61%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 648,156 $ 876,207 $ 986,504 $ 1,100,101
Ratios to average net assets:
Ratio of expenses to average net assets 0.75% 0.75% 0.78% 0.80%+
Ratio of net investment income
to average net assets 1.61% 2.21% 2.61% 2.68%+
Portfolio turnover 25% 107% 19% 6%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
(a) --The Fund has adopted the provisions of the AICPA Audit and Accounting
Guide for Investment Companies and began amortizing premium and
discount on debt securities. The effect of this change for the year
ended December 31, 2001 was an increase in net investment income per
share of less than $0.01, a decrease in net realized and unrealized
gains and losses per share of less than $0.01, and an increase in the
ratio of net investment income to average net assets of less than
0.01%. Per share data and ratios/supplemental data for the periods
prior to January 1, 2001 have not been restated to reflect this change
in presentation.
See Notes to Financial Statements.
75
<Page>
<Table>
<Caption>
EQUITY INCOME
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.12 $ 8.15 $ 7.16 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.09 0.11 0.15 0.18
Net realized and unrealized gain (loss) on
investments and futures and
foreign currency transactions (1.15) 0.06 1.11 (0.68)
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.06) 0.17 1.26 (0.50)
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.08) (0.11) (0.15) (0.18)
From net realized gains 0.00 (0.29) (0.12) (2.16)
In excess of net realized gain on investments 0.00 (0.78) 0.00 0.00
Return of capital 0.00 (0.02) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.08) (1.20) (0.27) (2.34)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 5.98 $ 7.12 $ 8.15 $ 7.16
=============== =============== =============== ===============
Total return -14.96% 2.92% 17.56% -4.60%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 565,046 $ 628,075 $ 522,954 $ 486,690
Ratios to average net assets:
Ratio of expenses to average net assets 0.90% 0.92% 0.79% 0.75%+
Ratio of net investment income
to average net assets 1.23% 1.39% 2.06% 2.08%+
Ratio of expenses to average net assets prior to
expense reductions and reimbursed expenses 0.92% 0.94% 0.85% 0.76%+
Ratio of net investment income to average net
assets prior to expense reductions and
reimbursed expenses 1.21% 1.37% 2.00% 2.07%+
Portfolio turnover 17% 16% 58% 77%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
76
<Page>
<Table>
<Caption>
GROWTH & INCOME
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.45 $ 10.83 $ 11.85 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.05 0.05 0.06 0.01
Net realized and unrealized gain (loss) on
investments and futures and
foreign currency transactions (2.22) (0.62) 0.44 2.31
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (2.17) (0.57) 0.50 2.32
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.04) (0.05) (0.06) (0.01)
From net realized gains 0.00 0.00 (1.46) (0.46)
In excess of net realized gain on investments 0.00 (0.70) 0.00 0.00
Return of capital 0.00 (0.06) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.04) (0.81) (1.52) (0.47)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 7.24 $ 9.45 $ 10.83 $ 11.85
=============== =============== =============== ===============
Total return -22.93% -4.77% 4.21% 23.50%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 515,597 $ 436,285 $ 376,137 $ 235,062
Ratios to average net assets:
Ratio of expenses to average net assets 0.81% 0.85% 0.79% 0.94%+
Ratio of net investment income
to average net assets 0.79% 0.55% 0.61% 0.17%+
Ratio of expenses to average net assets prior to
expense reductions and reimbursed expenses 0.84% 0.88% 0.82% 0.96%+
Ratio of net investment income to average net
assets prior to expense reductions and
reimbursed expenses 0.76% 0.52% 0.58% 0.15%+
Portfolio turnover 29% 58% 94% 51%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
77
<Page>
<Table>
<Caption>
GROWTH
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.28 $ 10.77 $ 13.21 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00** (0.00)** (0.01) 0.00**
Net realized and unrealized gain (loss) on
investments and futures and
foreign currency transactions (2.01) (1.69) (0.33) 3.95
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (2.01) 1.69 (0.34) 3.95
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.00)** (0.00) (0.02) (0.00)**
From net realized gains 0.00 (0.00) (2.08) (0.74)
In excess of net realized gain on investments 0.00 (0.72) 0.00 0.00
Return of capital 0.00 (0.08) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.00)** (0.80) (2.10) (0.74)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 6.27 $ 8.28 $ 10.77 $ 13.21
=============== =============== =============== ===============
Total return -24.26% -15.21% -2.56% 40.03%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 2,060,555 $ 2,810,546 $ 3,349,618 $ 3,361,695
Ratios to average net assets:
Ratio of expenses to average net assets 0.88% 0.88% 0.84% 0.80%+
Ratio of net investment income (loss)
to average net assets 0.02% -0.04% -0.07% -0.01%+
Ratio of expenses to average net
assets prior to expense reductions and
reimbursed expenses 0.91% 0.89% 0.86% 0.81%+
Ratio of net investment loss to average net
assets prior to expense reductions and
reimbursed expenses -0.01% -0.05% -0.09% -0.02%+
Portfolio turnover 74% 40% 59% 129%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Rounds to less than $0.01
See Notes to Financial Statements.
78
<Page>
<Table>
<Caption>
AGGRESSIVE OPPORTUNITIES
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.19 $ 11.82 $ 15.82 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment loss (0.04) (0.07) (0.03) (0.04)
Net realized and unrealized gain (loss) on
investments and futures and
foreign currency transactions (3.88) (1.56) (1.45) 6.34
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (3.92) (1.63) (1.48) 6.30
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net realized gains 0.00 0.00 (2.52) (0.48)
In excess of net realized gain on investments 0.00 (0.00)** 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS 0.00 0.00 (2.52) (0.48)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 6.27 $ 10.19 $ 11.82 $ 15.82
=============== =============== =============== ===============
Total return -38.47% -13.75% -9.35% 63.39%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 572,470 $ 819,047 $ 850,915 $ 631,505
Ratios to average net assets:
Ratio of expenses to average net assets 1.14% 1.19% 1.24% 1.28%+
Ratio of net investment loss
to average net assets -0.54% -0.67% -0.28% -0.48%+
Ratio of expenses to average net assets prior to
expense reductions and reimbursed expenses 1.18% 1.24% 1.25% 1.28%+
Ratio of net investment loss to average net
assets prior to expense reductions and
reimbursed expenses -0.58% -0.72% -0.29% -0.48%+
Portfolio turnover 128% 102% 41% 50%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Rounds to less than $0.01
See Notes to Financial Statements.
79
<Page>
<Table>
<Caption>
INTERNATIONAL
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.20 $ 10.73 $ 13.76 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.07 0.06 0.07 0.08
Net realized and unrealized gain (loss) on
investments and futures and
foreign currency transactions (1.39) (2.23) (2.12) 4.15
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.32) (2.17) (2.05) 4.23
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.08) 0.00 (0.12) (0.15)
From net realized gains 0.00 0.00 (0.86) (0.32)
In excess of net realized gain on investments 0.00 (0.25) 0.00 0.00
Return of capital 0.00 (0.11) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.08) (0.36) (0.98) (0.47)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 6.80 $ 8.20 $ 10.73 $ 13.76
=============== =============== =============== ===============
Total return -16.08% -20.16% -14.91% 42.62%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 282,921 $ 304,357 $ 326,534 $ 316,937
Ratios to average net assets:
Ratio of expenses to average net assets 1.16% 1.18% 1.13% 1.12%+
Ratio of net investment income
to average net assets 0.89% 0.56% 0.46% 0.86%+
Ratio of expenses to average net assets prior to
expense reductions and reimbursed expenses 1.20% 1.20% 1.15% 1.14%+
Ratio of net investment income to average net
assets prior to expense reductions and
reimbursed expenses 0.85% 0.54% 0.44% 0.84%+
Portfolio turnover 81% 37% 40% 29%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
80
<Page>
<Table>
<Caption>
CORE BOND INDEX CLASS I
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001(a) 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.07 $ 9.85 $ 9.41 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.50 0.52 0.60 0.49
Net realized and unrealized gain (loss) on
investments 0.44 0.30 0.44 (0.59)
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS 0.94 0.82 1.04 (0.10)
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.55) (0.60) (0.60) (0.49)
From net realized gains (0.00)** 0.00 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.55) (0.60) (0.60) (0.49)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 10.46 $ 10.07 $ 9.85 $ 9.41
=============== =============== =============== ===============
Total return 9.69% 8.51% 11.43% -1.05%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 384,323 $ 343,980 $ 293,330 $ 261,607
Ratios to average net assets:
Ratio of expenses to average net assets*** 0.48% 0.48% 0.47% 0.47%+
Ratio of net investment income
to average net assets 4.90% 5.58% 6.30% 5.99%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
(a) --The Fund has adopted the provisions of the AICPA Audit and Accounting
Guide for Investment Companies and began amortizing premium and
discount on debt securities. The effect of this change for the period
ended December 31, 2001 was a decrease in net investment income per
share of $0.08, an increase in net realized and unrealized gains and
losses per share of $0.08 and a decrease in the ratio of net investment
income to average net assets from 5.98% to 5.58%. Per share data and
ratios/supplemental data for the period prior to January 1, 2001 have
not been restated to reflect this change in presentation.
** --Rounds to less than $0.01.
*** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
81
<Page>
<Table>
<Caption>
CORE BOND INDEX CLASS II
------------------------------------------------------------------------
FOR THE PERIOD
FROM APRIL 5,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001(a) 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.10 $ 9.88 $ 9.43 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.53 0.55 0.62 0.45
Net realized and unrealized gain (loss) on
investments 0.43 0.29 0.45 (0.57)
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS 0.96 0.84 1.07 (0.12)
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.57) (0.62) (0.62) (0.45)
From net realized gains (0.00)** 0.00 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.57) (0.62) (0.62) (0.45)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 10.49 $ 10.10 $ 9.88 $ 9.43
=============== =============== =============== ===============
Total return 9.88% 8.71% 11.73% -1.19%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 150,365 $ 116,664 $ 81,972 $ 48,288
Ratios to average net assets:
Ratio of expenses to average net assets*** 0.28% 0.28% 0.27% 0.27%+
Ratio of net investment income
to average net assets 5.10% 5.78% 6.53% 6.26%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
(a) --The Fund has adopted the provisions of the AICPA Audit and Accounting
Guide for Investment Companies and began amortizing premium and
discount on debt securities. The effect of this change for the period
ended December 31, 2001 was a decrease in net investment income per
share of $0.07, an increase in net realized and unrealized gains and
losses per share of $0.07 and a decrease in the ratio of net investment
income to average net assets from 6.17% to 5.78%. Per share data and
ratios/supplemental data for the period prior to January 1, 2001 have
not been restated to reflect this change in presentation.
** --Rounds to less than $0.01.
*** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
82
<Page>
<Table>
<Caption>
500 STOCK INDEX CLASS I
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.05 $ 10.43 $ 11.85 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.09 0.08 0.10 0.09
Net realized and unrealized gain (loss) on
investments and futures and
foreign currency transactions (2.11) (1.37) (1.24) 1.86
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (2.02) (1.29) (1.14) 1.95
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.09) (0.08) (0.07) (0.07)
From net realized gains 0.00 0.00 (0.21) (0.03)
Return of capital 0.00 (0.01) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.09) (0.09) (0.28) (0.10)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 6.94 $ 9.05 $ 10.43 $ 11.85
=============== =============== =============== ===============
Total return -22.39% -12.29% -9.61% 19.52%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 85,250 $ 97,478 $ 100,732 $ 135,372
Ratios to average net assets:
Ratio of expenses to average net assets** 0.47% 0.47% 0.44% 0.44%+
Ratio of net investment income
to average net assets 1.17% 0.89% 0.83% 1.04%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
83
<Page>
<Table>
<Caption>
500 STOCK INDEX CLASS II
------------------------------------------------------------------------
FOR THE PERIOD
FROM APRIL 5,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.62 $ 9.95 $ 11.32 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.10 0.09 0.10 0.08
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions (2.01) (1.31) (1.16) 1.36
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.91) (1.22) (1.06) 1.44
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.10) (0.10) (0.10) (0.09)
From net realized gains 0.00 0.00 (0.21) (0.03)
Return of capital 0.00 (0.01) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.10) (0.11) (0.31) (0.12)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 6.61 $ 8.62 $ 9.95 $ 11.32
=============== =============== =============== ===============
Total return -22.17% -12.17% -9.36% 14.44%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 120,784 $ 144,574 $ 149,423 $ 119,236
Ratios to average net assets:
Ratio of expenses to average net assets** 0.27% 0.27% 0.24% 0.24%+
Ratio of net investment income
to average net assets 1.37% 1.09% 1.02% 1.23%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
84
<Page>
<Table>
<Caption>
BROAD MARKET INDEX CLASS I
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.80 $ 10.17 $ 12.21 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.09 0.08 0.11 0.10
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions (1.99) (1.30) (1.42) 2.30
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.90) (1.22) (1.31) 2.40
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.01) (0.06) (0.08) (0.09)
From net realized gains 0.00 (0.09) (0.65) (0.10)
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.01) (0.15) (0.73) (0.19)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 6.89 $ 8.80 $ 10.17 $ 12.21
=============== =============== =============== ===============
Total return -21.62% -11.87% -10.78% 24.07%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 190,706 $ 255,532 $ 313,268 $ 519,581
Ratios to average net assets:
Ratio of expenses to average net assets** 0.49% 0.47% 0.47% 0.46%+
Ratio of net investment income
to average net assets 1.07% 0.85% 0.74% 0.99%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
85
<Page>
<Table>
<Caption>
BROAD MARKET INDEX CLASS II
------------------------------------------------------------------------
FOR THE PERIOD
FROM APRIL 5,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.35 $ 9.67 $ 11.68 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.09 0.09 0.10 0.09
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions (1.88) (1.24) (1.35) 1.80
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.79) (1.15) (1.25) 1.89
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.02) (0.08) (0.11) (0.11)
From net realized gains 0.00 (0.09) (0.65) (0.10)
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.02) (0.17) (0.76) (0.21)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 6.54 $ 8.35 $ 9.67 $ 11.68
=============== =============== =============== ===============
Total return -21.39% -11.73% -10.69% 19.01%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 188,942 $ 240,617 $ 248,565 $ 163,050
Ratios to average net assets:
Ratio of expenses to average net assets** 0.29% 0.27% 0.27% 0.26%+
Ratio of net investment income
to average net assets 1.27% 1.05% 0.94% 1.18%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
86
<Page>
<Table>
<Caption>
MID/SMALL COMPANY INDEX CLASS I
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.21 $ 11.50 $ 13.92 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.06 0.07 0.06 0.06
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions (1.94) (1.22) (2.14) 4.02
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.88) (1.15) (2.08) 4.08
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income 0.00 (0.05) (0.05) (0.06)
From net realized gains 0.00 (0.08) (0.29) (0.10)
Return of capital 0.00 (0.01) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS 0.00 (0.14) (0.34) (0.16)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 8.33 $ 10.21 $ 11.50 $ 13.92
=============== =============== =============== ===============
Total return -18.41% -9.90% -14.91% 40.90%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 27,427 $ 30,220 $ 33,805 $ 21,548
Ratios to average net assets:
Ratio of expenses to average net assets** 0.53% 0.55% 0.51% 0.60%+
Ratio of net investment income
to average net assets 0.70% 0.63% 0.52% 0.75%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
87
<Page>
<Table>
<Caption>
MID/SMALL COMPANY INDEX CLASS II
------------------------------------------------------------------------
FOR THE PERIOD
FROM APRIL 5,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.78 $ 11.02 $ 13.37 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.08 0.08 0.09 0.07
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions (1.87) (1.16) (2.06) 3.48
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.79) (1.08) (1.97) 3.55
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income 0.00 (0.08) (0.09) (0.08)
From net realized gains 0.00 (0.08) (0.29) (0.10)
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS 0.00 (0.16) (0.38) (0.18)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 7.99 $ 9.78 $ 11.02 $ 13.37
=============== =============== =============== ===============
Total return -18.30% -9.65% -14.75% 35.64%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 25,273 $ 30,158 $ 34,334 $ 9,296
Ratios to average net assets:
Ratio of expenses to average net assets** 0.33% 0.35% 0.31% 0.40%+
Ratio of net investment income
to average net assets 0.90% 0.83% 0.73% 0.97%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
88
<Page>
<Table>
<Caption>
OVERSEAS EQUITY INDEX CLASS I
------------------------------------------------------------------------
FOR THE PERIOD
FROM MARCH 1,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.78 $ 10.13 $ 12.75 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.10 0.09 0.16 0.11
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions (1.40) (2.30) (2.10) 2.88
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.30) (2.21) (1.94) 2.99
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.12) (0.07) (0.11) (0.17)
From net realized gains 0.00 (0.01) (0.57) (0.07)
Return of capital 0.00 (0.06) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.12) (0.14) (0.68) (0.24)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 6.36 $ 7.78 $ 10.13 $ 12.75
=============== =============== =============== ===============
Total return -16.73% -21.77% -15.21% 30.03%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 35,413 $ 35,682 $ 34,167 $ 48,416
Ratios to average net assets:
Ratio of expenses to average net assets** 0.70% 0.68% 0.67% 0.95%+
Ratio of net investment income
to average net assets 1.51% 1.05% 1.07% 1.17%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
89
<Page>
<Table>
<Caption>
OVERSEAS EQUITY INDEX CLASS II
------------------------------------------------------------------------
FOR THE PERIOD
FROM APRIL 5,
1999* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000 1999
--------------- --------------- --------------- ---------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.40 $ 9.64 $ 12.19 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.12 0.10 0.13 0.15
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions (1.35) (2.19) (1.96) 2.30
--------------- --------------- --------------- ---------------
TOTAL FROM INVESTMENT OPERATIONS (1.23) (2.09) (1.83) 2.45
--------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.13) (0.08) (0.15) (0.19)
From net realized gains 0.00 (0.01) (0.57) (0.07)
Return of capital 0.00 (0.06) 0.00 0.00
--------------- --------------- --------------- ---------------
TOTAL DISTRIBUTIONS (0.13) (0.15) (0.72) (0.26)
--------------- --------------- --------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 6.04 $ 7.40 $ 9.64 $ 12.19
=============== =============== =============== ===============
Total return -16.59% -21.56% -15.02% 24.59%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 7,661 $ 8,234 $ 9,950 $ 8,623
Ratios to average net assets:
Ratio of expenses to average net assets** 0.50% 0.48% 0.47% 0.75%+
Ratio of net investment income
to average net assets 1.71% 1.28% 1.20% 1.53%+
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
90
<Page>
<Table>
<Caption>
MODEL PORTFOLIO
SAVINGS ORIENTED
------------------------------------------------------------
FOR THE PERIOD
FROM DECEMBER 4,
2000* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000
---------------- ---------------- ----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 22.91 $ 25.09 $ 25.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.64 0.96 0.16
Net realized and unrealized gain (loss) on investments (0.96) (0.32) 0.21
---------------- ---------------- ----------------
TOTAL FROM INVESTMENT OPERATIONS (0.32) 0.64 0.37
---------------- ---------------- ----------------
LESS DISTRIBUTIONS:
From net investment income (0.61) (1.47) (0.15)
From net realized gains (0.06) (0.85) (0.13)
In excess of net realized gain on investments 0.00 (0.37) 0.00
Return of capital 0.00 (0.13) 0.00
---------------- ---------------- ----------------
TOTAL DISTRIBUTIONS (0.67) (2.82) (0.28)
---------------- ---------------- ----------------
NET ASSET VALUE, END OF PERIOD $ 21.92 $ 22.91 $ 25.09
================ ================ ================
Total return -1.38% 2.81% 1.48%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 159,497 $ 137,029 $ 101,093
Ratios to average net assets:
Ratio of expenses to average net assets 0.16% 0.18% 0.13%+
Ratio of net investment income
to average net assets 3.06% 3.76% 8.95%+
Portfolio turnover 10% 14% 2%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
91
<Page>
<Table>
<Caption>
MODEL PORTFOLIO
CONSERVATIVE GROWTH
------------------------------------------------------------
FOR THE PERIOD
FROM DECEMBER 4,
2000* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000
---------------- ---------------- ----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 21.52 $ 24.81 $ 25.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.53 0.83 0.14
Net realized and unrealized gain (loss) on investments (1.96) (0.95) 0.33
---------------- ---------------- ----------------
TOTAL FROM INVESTMENT OPERATIONS (1.43) (0.12) 0.47
---------------- ---------------- ----------------
LESS DISTRIBUTIONS:
From net investment income (0.55) (1.27) (0.14)
From net realized gains 0.00 (1.17) (0.52)
In excess of net realized gain on investments 0.00 (0.53) 0.00
Return of capital 0.00 (0.20) 0.00
---------------- ---------------- ----------------
TOTAL DISTRIBUTIONS (0.55) (3.17) (0.66)
---------------- ---------------- ----------------
NET ASSET VALUE, END OF PERIOD $ 19.54 $ 21.52 $ 24.81
================ ================ ================
Total return -6.66% 0.09% 1.89%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 280,787 $ 280,813 $ 236,682
Ratios to average net assets:
Ratio of expenses to average net assets 0.15% 0.15% 0.12%+
Ratio of net investment income
to average net assets 2.64% 3.17% 8.26%+
Portfolio turnover 12% 15% 1%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
92
<Page>
<Table>
<Caption>
MODEL PORTFOLIO
TRADITIONAL GROWTH
------------------------------------------------------------
FOR THE PERIOD
FROM DECEMBER 4,
2000* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000
---------------- ---------------- ----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 20.06 $ 24.64 $ 25.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.34 0.57 0.14
Net realized and unrealized gain (loss) on investments (2.88) (1.69) 0.47
---------------- ---------------- ----------------
TOTAL FROM INVESTMENT OPERATIONS (2.54) (1.12) 0.61
---------------- ---------------- ----------------
LESS DISTRIBUTIONS:
From net investment income (0.33) (0.92) (0.14)
From net realized gains 0.00 (1.78) (0.83)
In excess of net realized gain on investments 0.00 (0.62) 0.00
Return of capital 0.00 (0.14) 0.00
---------------- ---------------- ----------------
TOTAL DISTRIBUTIONS (0.33) (3.46) (0.97)
---------------- ---------------- ----------------
NET ASSET VALUE, END OF PERIOD $ 17.19 $ 20.06 $ 24.64
================ ================ ================
Total return -12.64% -3.62% 2.46%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 566,555 $ 571,357 $ 489,791
Ratios to average net assets:
Ratio of expenses to average net assets 0.14% 0.15% 0.11%+
Ratio of net investment income
to average net assets 1.94% 2.20% 8.22%+
Portfolio turnover 11% 13% 0%++**
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Rounds to less than 1%
See Notes to Financial Statements.
93
<Page>
<Table>
<Caption>
MODEL PORTFOLIO
LONG-TERM GROWTH
------------------------------------------------------------
FOR THE PERIOD
FROM DECEMBER 4,
2000* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000
---------------- ---------------- ----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 19.16 $ 24.53 $ 25.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.22 0.36 0.15
Net realized and unrealized gain (loss) on investments (3.67) (2.39) 0.66
---------------- ---------------- ----------------
TOTAL FROM INVESTMENT OPERATIONS (3.45) (2.03) 0.81
---------------- ---------------- ----------------
LESS DISTRIBUTIONS:
From net investment income (0.22) (0.62) (0.15)
From net realized gains (0.01) (2.11) (1.13)
In excess of net realized gain on investments 0.00 (0.59) 0.00
Return of capital 0.00 (0.02) 0.00
---------------- ---------------- ----------------
TOTAL DISTRIBUTIONS (0.23) (3.34) (1.28)
---------------- ---------------- ----------------
NET ASSET VALUE, END OF PERIOD $ 15.48 $ 19.16 $ 24.53
================ ================ ================
Total return -18.01% -7.15% 3.23%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 528,710 $ 533,348 $ 467,522
Ratios to average net assets:
Ratio of expenses to average net assets 0.14% 0.15% 0.11%+
Ratio of net investment income
to average net assets 1.40% 1.40% 8.05%+
Portfolio turnover 9% 10% 0%++**
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
** --Rounds to less than 1%
See Notes to Financial Statements.
94
<Page>
<Table>
<Caption>
MODEL PORTFOLIO
ALL-EQUITY GROWTH
------------------------------------------------------------
FOR THE PERIOD
FROM DECEMBER 4,
2000* TO
FOR THE YEAR ENDED DECEMBER 31, DECEMBER 31,
2002 2001 2000
---------------- ---------------- ----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 19.41 $ 24.27 $ 25.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.06 0.13 0.16
Net realized and unrealized gain (loss) on investments (4.73) (3.05) 0.72
---------------- ---------------- ----------------
TOTAL FROM INVESTMENT OPERATIONS (4.67) (2.92) 0.88
---------------- ---------------- ----------------
LESS DISTRIBUTIONS:
From net investment income (0.06) (0.42) (0.16)
From net realized gains 0.00 (1.02) (1.45)
In excess of net realized gain on investments 0.00 (0.49) 0.00
Return of capital 0.00 (0.01) 0.00
---------------- ---------------- ----------------
TOTAL DISTRIBUTIONS (0.06) (1.94) (1.61)
---------------- ---------------- ----------------
NET ASSET VALUE, END OF PERIOD $ 14.68 $ 19.41 $ 24.27
================ ================ ================
Total return -24.07% -11.13% 3.53%++
Ratios/Supplemental data:
Net assets, end of period (000) $ 54,779 $ 37,812 $ 11,697
Ratios to average net assets:
Ratio of expenses to average net assets 0.18% 0.20% 0.13%+
Ratio of net investment income
to average net assets 0.45% 0.21% 9.23%+
Portfolio turnover 6% 18% 2%++
</Table>
- ----------
+ --Annualized
++ --Not annualized
* --Commencement of operations
See Notes to Financial Statements.
95
<Page>
VANTAGEPOINT FUNDS
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
The Vantagepoint Funds (the "Company") is registered under the Investment
Company Act of 1940 (the "1940 Act"), as amended, as an open-end management
investment company organized as a Delaware business trust. The Company commenced
operations on March 1, 1999 and currently consists of the following series
(together, the "Funds" and each individually a "Fund"):
<Table>
<Caption>
THE "FUNDS": THE "INDEX FUNDS": THE "MODEL PORTFOLIO FUNDS":
Money Market Fund Core Bond Index Fund Savings Oriented Fund
Income Preservation Fund 500 Stock Index Fund Conservative Growth Fund
US Government Securities Fund Broad Market Index Fund Traditional Growth Fund
Asset Allocation Fund Mid/Small Company Index Fund Long-Term Growth Fund
Equity Income Fund Overseas Equity Index Fund All-Equity Growth Fund
Growth & Income Fund
Growth Fund
Aggressive Opportunities Fund
International Fund
</Table>
The Income Preservation Fund and the Model Portfolio Savings Oriented Fund,
the Model Portfolio Conservative Growth Fund, the Model Portfolio Traditional
Growth Fund, the Model Portfolio Long-Term Growth Fund, and the Model Portfolio
All-Equity Growth Fund commenced operations on December 4, 2000 by acquiring all
of the assets of certain funds of the ICMA Retirement Trust. The acquisition was
accomplished by a tax-free transfer of net assets of the corresponding Trust
Funds in exchange for shares in the newly formed funds.
The Funds and Model Portfolio Funds offer a single class of shares. The
Index Funds offer two classes of shares: Class I Shares and Class II Shares. The
two classes of shares differ principally in their respective fund services and
investor services fees. Shareholders of each Index Fund bear the common expenses
of the Index Fund and earn income from the Master Portfolio pro rata based on
the daily net assets of each class. Ordinary dividends to shareholders are
allocated to each class, based upon shares outstanding on the date of
distribution. Neither class has preferential dividend rights. Differences in per
share dividend rates are generally due to differences in separate class
expenses.
INDEX FUND STRUCTURE
Each Index Fund is a "feeder" fund in a "master-feeder" structure. Instead
of investing directly in individual securities in the portfolio, the feeder
fund, which is offered to the Index Fund Shareholders, invests in a Master
Portfolio that has substantially the same investment objectives as the feeder
fund. It is the Master Portfolio that actually invests in individual securities.
Barclays Global Fund Advisors (BGFA) is the investment adviser for the Master
Portfolios. The Index Funds invest in the following Master Portfolios:
<Table>
<Caption>
INDEX FUND INVESTS IN MASTER PORTFOLIO
----------- ---------- -------------------
Core Bond ---> Bond Index
500 Stock ---> S&P 500 Index
Broad Market ---> U.S. Equity Index
Mid/Small Company ---> Extended Index
Overseas Equity ---> International Index
</Table>
The financial statements of the Master Portfolios, including their
Schedules of Investments, are included elsewhere in this report and should be
read in conjunction with the financial statements of the Index Funds.
96
<Page>
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by
the Company in the preparation of its financial statements in accordance with
accounting principles generally accepted in the United States of America. In the
preparation of the financial statements, management makes estimates and
assumptions that affect the reported amounts of assets, liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
INVESTMENT POLICY AND SECURITY VALUATION
The equity securities held by each Fund normally are valued at the last
reported sale price on the exchange on which the security is principally traded.
Equity securities not traded on an exchange normally are valued at the last
reported sale price in the over-the-counter market. If a security does not trade
on a particular day, then the security normally is valued at the mean between
the highest bid price and the lowest priced offer obtained from quotation
sources believed to be reliable. Fixed income debt instruments, such as
commercial paper, bankers' acceptances and U.S. Treasury Bills, with a remaining
maturity of less than 60 days, are valued at cost. Prices for other fixed income
securities normally are obtained from a commercial pricing service which may use
pricing matrices or other methodologies designed to identify the value of fixed
income securities. Any security for which market value as described above is not
readily available is valued at fair value as determined in good faith in
accordance with policies approved by the Company's Board of Directors.
The value of each Index Fund's interest in the net assets of the Master
Portfolio in which it invests reflects that Index Fund's interest in the net
assets of that Master Portfolio (84.75%, 8.80%, 100.00%, 40.15% and 47.38%) for
the Bond Index, S&P 500 Index, U.S. Equity Index, Extended Index and
International Index Master Portfolios, respectively, as of December 31, 2002.
See "Investment Policy and Security Valuation" for the Master Portfolios
included elsewhere in this report.
The Model Portfolio Funds invest in certain other Vantagepoint Funds
("underlying funds") rather than investing directly in a portfolio of
securities. Each Model Portfolio Fund is diversified among various asset classes
and each reflects a different degree of potential risk and reward. Shares of
underlying funds are valued at their net asset value as reported on each
business day.
The Money Market Fund invests all of its assets in the Short Term
Investments Co. Liquid Assets Portfolio Institutional Class. The Short Term
Investments Co. Liquid Assets Portfolio uses the amortized cost method of
valuation to determine the value of its portfolio securities in accordance with
Rule 2a-7 under the 1940 Act. Amortized cost, which is a security's historical
cost adjusted for amortization of discount or premium, if any, approximates
market value.
The Income Preservation Fund seeks a high level of current income
consistent with preserving principal and seeking to maintain a stable net asset
value per share by investing primarily in high-quality short and intermediate
term debt securities, and entering into wrapper agreements. Wrapper agreements
permit book value accounting (cost plus accrued interest) for the securities and
offset daily market fluctuations. The wrapper agreements are nontransferable but
provide for benefit responsive withdrawals by shareholders at the contract value
in accordance with the provisions of the plan. Wrapper agreements are reported
at their estimated fair value. In determining fair value, the Company primarily
considers such factors as the benefit responsiveness of the investment contract
and the ability of the parties to the wrapper agreement
97
<Page>
to perform in accordance with the terms of the agreement. Generally, fair value
approximates contract value (contributions made plus interest accrued at the
contract rate, less withdrawals and fees). If, however, an event has occurred
that may impair the ability of the contract issuer to perform in accordance with
the contract terms, fair value may be less than contract value. The fair value
of investment contracts that are not benefit-responsive is determined by or
under the supervision of the Company, generally by discounting the related cash
flows based on current yields of similar instruments with comparable durations.
FOREIGN CURRENCY
The accounting records of the Funds are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day. Purchases and sales of securities, income receipts and
expense payments are translated into U.S. dollars at the prevailing exchange
rate on the respective dates of such transactions. Unrealized gains and losses,
not relating to securities, which result from changes in foreign currency
exchange rates, have been included in unrealized appreciation/(depreciation) of
securities. Net realized foreign currency gains and losses include foreign
currency gains and losses resulting from changes in exchange rates between trade
date and settlement date on investment securities transactions, gains and losses
on foreign currency transactions, and the difference between the amounts of
interest and dividends recorded on the books of the Funds and the amounts
actually received. The portion of foreign currency gains and losses related to
fluctuations in exchange rates between the initial purchase trade date and
subsequent sale trade date is included in realized gains/(losses) from security
transactions.
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest is recognized on a daily accrual basis. Realized gains or
losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized for both financial reporting and tax
purposes.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income of the Core Bond Index
Fund and US Government Securities Fund are declared and paid monthly. Dividends
to shareholders from net investment income of the Money Market Fund and Income
Preservation Fund are declared daily and paid monthly. Dividends to shareholders
from net investment income of the remaining Funds, Index Funds and Model
Portfolio Funds are declared and paid annually. Distributions to shareholders
from any net realized capital gains are generally declared and paid annually.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments of
income and gains on various investment securities held by the Funds, dividends
payable, and differing characterization of distributions made by each Fund as a
whole. The following reclassifications were made in the financial statements to
present each Fund's components of its net asset accounts on a tax basis. Net
investment income per share calculations in the financial highlights were not
affected by these reclassifications.
98
<Page>
<Table>
<Caption>
UNDISTRIBUTED ACCUMULATED NET REALIZED
PAID-IN CAPITAL NET INVESTMENT INCOME GAIN/(LOSS)
INCREASE (DECREASE) INCREASE (DECREASE) INCREASE (DECREASE)
------------------- --------------------- ------------------------
Income Preservation $ (794,913) $ 49,518 $ 745,395
US Government Securities 1 148,754 (148,755)
Asset Allocation (10,214,333) (1,994) 10,216,327
Equity Income (1,679,677) (162,938) 1,842,615
Growth & Income -- (6) 6
Growth (3,060,290) (4,637) 3,064,927
Aggressive Opportunities (2) (697,154) 697,156
International 156 779,921 (780,077)
Core Bond Index (1,758,762) 5,014,740 (3,255,978)
500 Stock Index 341,514 (1,386) (340,128)
Broad Market Index 528,929 (49,018) (479,911)
Mid/Small Company Index 15,945 (21,429) 5,484
Overseas Equity Index (158,628) 76,662 81,966
Savings Oriented 649,900 261,994 (911,894)
Conservative Growth (1,508,330) 276,593 1,231,737
Traditional Growth (15,105,991) 336,958 14,769,033
Long-Term Growth (12,152,550) 11,983 12,140,567
All-Equity Growth (1,534) 1,535 (1)
</Table>
FEDERAL INCOME TAXES
Each of the Funds intends to qualify as a regulated investment company
under Subchapter M of the Internal Revenue Code for federal tax purposes.
Accordingly, each fund intends to make distributions of substantially all of its
net investment company taxable income and any net realized capital gains (after
reduction for capital loss carryforwards) sufficient to relieve it from all, or
substantially all, federal income and excise taxes. Therefore, no provision for
federal income or excise taxes is required.
At December 31, 2002, Aggressive Opportunities, 500 Stock Index, Broad
Market Index, Mid/Small Company Index and Overseas Equity Index had net capital
loss carryforwards of $40,413,813, $4,424,869, $6,592,204, $3,459,010 and
$177,974, respectively, that expire in the year 2009. In addition, the Asset
Allocation, Equity Income, Growth & Income, Growth, Aggressive Opportunities,
International, 500 Stock Index, Broad Market Index, Mid/Small Company Index,
Overseas Equity Index, Savings Oriented, Conservative Growth, Traditional Growth
and All-Equity Growth had net capital loss carryforwards of $26,917,112,
$14,422,337, $31,506,872, $736,830,157, $387,829,841, $79,543,159, $17,629,329,
$31,532,544, $3,683,071, $3,812,746, $979,850, $220,902, $806,403 and $359,640,
respectively, that expire in 2010.
US Government Securities, Growth & Income, Aggressive Opportunities,
International, 500 Stock Index, Broad Market Index, Mid/Small Company Index,
Overseas Equity Index, Savings Oriented, Conservative Growth and All-Equity
Growth incurred and elected to defer post-October 31 net capital losses of
$3,834, $13,158,739, $137,271, $4,200,692, $866,643, $1,408,418, $205,326,
$76,502, $131,879, $1,688,097 and $48,181, respectively, to the year ended
December 31, 2003. In addition, Growth & Income, Aggressive Opportunities and
International incurred and elected to defer post-October 31 net currency losses
of $6, $5,189,573 and $438,158, respectively, to the year ended December 31,
2003.
FUTURES CONTRACTS
The Funds may purchase futures contracts to gain exposure to market changes
as this may be more efficient or cost effective than actually buying the
securities. A futures contract is an agreement between two parties to buy and
sell a security at a set price amount of cash, U.S. Government securities or
other high-quality debt securities equal to the minimum "initial margin"
99
<Page>
requirements. Pursuant to the contract, the Funds agree to receive from or pay
to the broker an amount of cash equal to the daily fluctuation in the value of
the contract. Such receipts or payments are known as "variation margin" and are
recorded by the Funds as unrealized gains or losses. When the contract is
closed, the Funds record a gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed. Pursuant to regulations and/or published positions of the Securities and
Exchange Commission, the Funds are required to segregate cash or liquid
instruments in connection with futures transactions in an amount generally equal
to the entire futures contract amount. Risks of entering into futures contracts
include the possibility that there may be an illiquid market and that a change
in the value of the contracts may not correlate with changes in the value of the
underlying securities. The amounts of risk under such futures may exceed the
amounts reflected in the financial statements. As of December 31, 2002, the
following Funds had open futures contracts:
INCOME PRESERVATION
<Table>
<Caption>
NET
NUMBER OF NOTIONAL UNREALIZED
CONTRACTS TYPE EXPIRATION DATE CONTRACT VALUE APPRECIATION
- --------- ---- --------------- -------------- ------------
OPEN PURCHASE CONTRACTS:
25,700,000 CBT U.S. 10 Year
Treasury Note March 2003 $ 29,567,047 $ 856,657
2,600,000 CBT U.S. Long Bond March 2003 $ 2,929,875 113,648
------------
TOTAL UNREALIZED APPRECIATION ON FUTURES $ 970,305
============
</Table>
ASSET ALLOCATION
<Table>
<Caption>
NET
UNREALIZED
NUMBER OF NOTIONAL APPRECIATION/
CONTRACTS TYPE EXPIRATION DATE CONTRACT VALUE (DEPRECIATION)
- --------- ---- --------------- -------------- --------------
OPEN PURCHASE CONTRACTS:
78,000 CME E-MINI S&P 500 Index March 2003 $ 68,554,200 $ 294,891
141,750 CME S&P 500 Index March 2003 $ 124,584,075 (2,944,863)
--------------
TOTAL UNREALIZED DEPRECIATION ON FUTURES $ (2,649,972)
==============
</Table>
GROWTH
<Table>
<Caption>
NET
NUMBER OF NOTIONAL UNREALIZED
CONTRACTS TYPE EXPIRATION DATE CONTRACT VALUE (DEPRECIATION)
- --------- ---- --------------- -------------- --------------
OPEN PURCHASE CONTRACTS:
200 CME E-MINI S&P 500 Index March 2003 $ 175,780 $ (4,680)
1,750 CME S&P 500 Index March 2003 $ 1,538,075 (53,323)
--------------
TOTAL UNREALIZED DEPRECIATION ON FUTURES $ (58,003)
==============
</Table>
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Fund's schedule of investments. The Funds require that the cash investment
be fully collateralized based on values that are marked to market daily. The
collateral is generally held by an agent bank under a tri-party agreement. It is
the adviser's responsibility to value collateral daily and to obtain additional
collateral as necessary to maintain the value at equal to or greater than
100
<Page>
102% of market value. The repurchase agreements entered into on December 31,
2002 are collateralized by U.S. Government Securities. If the custodian or
counterparty becomes bankrupt, the Funds' realization of collateral might be
delayed, or the Funds may incur a cost or possible losses of principal and
income in selling the collateral.
WRAPPER AGREEMENTS
The Income Preservation Fund will seek to maintain a stable net asset value
("NAV") by purchasing wrapper agreements from financial institutions such as
insurance companies and banks ("wrap providers"). These agreements are designed
to maintain the Fund's NAV at a stable share price. These agreements offset
daily market value fluctuations by permitting book value accounting for the
fixed income securities. Risks of purchasing wrapper agreements include the
possibility that the wrapper agreement purchased by the Fund will fail to
achieve the goal of limiting fluctuations in the Fund's NAV. Wrap providers do
not assume the credit risk associated with fixed income securities. Therefore,
if the issuer of a security defaults on payment of principal or interest or has
its credit rating downgraded, the Fund may have to sell such a security quickly
and at a price that may not reflect its book value, and the wrapper agreements
will not shield the Fund from any resultant loss. Additionally, the wrapper
agreements are not liquid investments. As of December 31, 2002, the Fund has
entered into wrapper agreements with Bank of America, N.A. and AIG Financial
Products and the current contractual fee related to both these agreements is
0.13% of the average net assets assigned to each contract of the Fund.
OPTION CONTRACTS
The Income Preservation Fund may use options to obtain exposure to fixed
income sectors without incurring leverage. When an option is written, the Fund
receives a premium and becomes obligated to sell or purchase the underlying
security at a fixed price, upon exercise of the option. In writing an option,
the Fund bears the market risk of an unfavorable change in the price of the
security underlying the written option. Exercise of an option written by the
Fund could result in the Fund buying or selling a security at a price different
from the current market value. When an option is exercised, the proceeds on
sales for a written call option or the purchase cost for a written put option,
or the cost of the security for a purchased put or call option is adjusted by
the amount of premium received or paid. Options written are reported as a
liability in the Statement of Assets and Liabilities. Gains and losses are
reported in the Statement of Operations. The risk in writing a call option is
that the Fund gives up the opportunity for profit if the market price of the
security increases and the option is exercised. The risk in writing a put option
is that the Fund may incur a loss if the market price of the security decreases
and the option is exercised. The risk in buying an option is that the Fund pays
a premium whether or not the option is exercised. Written option activity for
the year ended December 31, 2002, was as follows:
<Table>
<Caption>
PUT OPTIONS
INCOME PRESERVATION CONTRACTS PREMIUM
- ------------------- ----------- ---------
Beginning Balance as of 12/31/2001 134 $ 81,097
Contracts written -- --
Contracts closed (134) $ (81,097)
Contracts expired -- --
Ending balance as of 12/31/2002 -- $ --
</Table>
At December 31, 2002, there were no written options open or outstanding.
101
<Page>
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
A forward foreign currency exchange contract is an agreement to pay or
receive specific amounts of a currency at a future date in exchange for another
currency at an agreed upon exchange rate. The Funds may use forward foreign
currency exchange contracts to hedge certain foreign currency assets and
liabilities. Contracts are recorded at market value and marked to market daily.
Risks of entering into forward foreign currency exchange contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities. The amount at risk for such forward foreign currency exchange
contracts may exceed the amount reflected in the financial statements. Realized
and unrealized gains or losses on forward foreign currency exchange contracts
are reflected in the accompanying financial statements. As of December 31, 2002,
the Funds had the following open forward foreign currency exchange contracts
outstanding:
GROWTH FUND
<Table>
<Caption>
EXCHANGE FOREIGN CURRENCY U.S. DOLLAR VALUE AT NET UNREALIZED
CURRENCY DATE COST/PROCEEDS (U.S.$) DECEMBER 31, 2002 GAIN
- -------- -------- --------------------- -------------------- --------------
PURCHASE CONTRACTS
Euro Dollar 01/02/2003 $ 91,839 $ 93,389 $ 1,550
--------
NET GAIN ON PURCHASE CONTRACTS $ 1,550
NET UNREALIZED GAIN ON FORWARD
FOREIGN CURRENCY CONTRACTS $ 1,550
========
</Table>
102
<Page>
AGGRESSIVE OPPORTUNITIES FUND
<Table>
<Caption>
EXCHANGE FOREIGN CURRENCY U.S. DOLLAR VALUE AT NET UNREALIZED
CURRENCY DATE COST/PROCEEDS (U.S.$) DECEMBER 31, 2002 GAIN/(LOSS)
- -------- ---------- --------------------- -------------------- --------------
PURCHASE CONTRACTS
Australian Dollar 03/03/2003 $ 3,025,048 $ 3,056,359 $ 31,311
British Pound Sterling 03/03/2003 3,379,428 3,477,664 98,236
08/01/2005 3,549,667 3,701,788 152,121
Euro Dollar 01/02/2003 28,684 28,988 304
01/03/2003 114,453 114,317 (136)
01/07/2003 242,360 242,033 (327)
08/01/2005 6,038,705 6,484,291 445,586
Japanese Yen 03/03/2003 2,726,960 2,808,899 81,939
08/01/2005 3,318,942 3,160,528 (158,414)
Swedish Krona 03/03/2003 976,979 996,803 19,824
Swiss Franc 08/02/2005 897,170 954,653 57,483
--------------
NET GAIN ON PURCHASE CONTRACTS $ 727,927
SALE CONTRACTS
Australian Dollar 01/02/2003 $ 12,191 $ 12,192 $ (1)
03/03/2003 669,120 672,960 (3,840)
08/02/2005 4,031,960 4,227,981 (196,021)
British Pound Sterling 01/02/2003 219,683 220,702 (1,019)
03/03/2003 1,324,992 1,346,192 (21,200)
08/01/2005 17,432,460 18,102,789 (670,329)
Canadian Dollar 06/27/2003 10,072,586 10,057,723 14,863
Danish Krone 08/01/2005 2,005,175 2,145,997 (140,822)
Euro Dollar 01/02/2003 106,393 107,291 (898)
01/03/2003 96,069 96,683 (614)
03/03/2003 4,898,761 5,182,930 (284,169)
06/27/2003 21,940,421 23,014,761 (1,074,340)
08/01/2005 28,613,280 30,387,067 (1,773,787)
Japanese Yen 01/06/2003 180,066 182,307 (2,241)
01/07/2003 128,947 129,018 (72)
03/03/2003 2,606,077 2,664,106 (58,029)
06/27/2003 36,583,614 35,727,733 855,881
08/01/2005 34,026,829 31,720,959 2,305,870
New Zealand Dollar 08/01/2005 324,216 369,696 (45,480)
Republic of Korea Won 03/03/2003 4,024,244 4,133,806 (109,562)
Singapore Dollar 03/03/2003 1,696,452 1,730,902 (34,450)
Swedish Krona 01/02/2003 8,964 9,175 (211)
01/03/2003 16,697 16,949 (252)
01/07/2003 3,454 3,485 (31)
03/03/2003 1,591,686 1,672,796 (81,110)
08/01/2005 3,491,968 3,885,973 (394,005)
Swiss Franc 08/02/2005 914,004 954,653 (40,649)
--------------
NET LOSS ON SALE CONTRACTS $ (1,756,518)
NET UNREALIZED LOSS ON FORWARD
FOREIGN CURRENCY CONTRACTS $ (1,028,591)
==============
</Table>
103
<Page>
INTERNATIONAL FUND
<Table>
<Caption>
EXCHANGE FOREIGN CURRENCY U.S. DOLLAR VALUE AT NET UNREALIZED
CURRENCY DATE COST/PROCEEDS (U.S.$) DECEMBER 31, 2002 GAIN/(LOSS)
- -------- ---------- --------------------- -------------------- --------------
PURCHASE CONTRACTS
British Pound Sterling 01/02/2003 $ 87,983 $ 88,245 $ 262
01/03/2003 10,657 10,646 (11)
Canadian Dollar 01/02/2003 57,024 56,611 (413)
01/03/2003 55,526 55,382 (144)
Euro Dollar 01/02/2003 194,118 194,870 752
01/03/2003 253,150 253,151 1
01/06/2003 125,865 125,676 (189)
01/15/2003 835,911 895,557 59,646
02/21/2003 719,739 745,513 25,774
02/24/2003 839,183 881,768 42,585
02/26/2003 1,318,945 1,394,470 75,525
03/04/2003 712,220 737,477 25,257
03/12/2003 679,228 743,281 64,053
03/31/2003 1,710,998 1,857,627 146,629
04/22/2003 495,989 541,216 45,227
06/09/2003 567,118 599,944 32,826
Japanese Yen 03/12/2003 664,914 685,640 20,726
Mexican Peso 01/02/2003 6,423 6,433 10
Norwegian Krone 01/03/2003 18,094 18,116 22
01/06/2003 22,462 22,462 0
Swedish Krona 01/03/2003 7,090 7,131 41
Swiss Franc 01/06/2003 71,743 71,907 164
--------------
NET GAIN ON PURCHASE CONTRACTS $ 538,743
SALE CONTRACTS
British Pound Sterling 01/03/2003 $ 14,348 $ 14,394 $ (46)
01/06/2003 2,553 2,551 2
Canadian Dollar 02/21/2003 719,739 716,446 3,293
Euro Dollar 01/02/2003 55,055 55,908 (853)
01/03/2003 29,873 29,905 (32)
03/12/2003 664,914 705,202 (40,288)
03/12/2003 19,671 20,750 (1,079)
Japanese Yen 01/06/2003 95,407 96,603 (1,196)
01/07/2003 201,581 203,614 (2,033)
01/08/2003 72,397 72,359 38
01/15/2003 835,911 870,750 (34,839)
02/24/2003 839,183 868,042 (28,859)
02/26/2003 1,318,945 1,367,902 (48,957)
03/12/2003 679,228 702,006 (22,778)
03/31/2003 1,710,998 1,772,788 (61,790)
04/22/2003 495,989 526,502 (30,513)
06/09/2003 567,118 600,874 (33,756)
Mexican Peso 03/04/2003 712,220 690,312 21,908
--------------
NET LOSS ON SALE CONTRACTS $ (281,778)
NET UNREALIZED GAIN ON FORWARD
FOREIGN CURRENCY CONTRACTS $ 256,965
==============
</Table>
104
<Page>
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Vantagepoint Investment Advisers LLC (the "VIA"), a wholly owned subsidiary
of the ICMA Retirement Corporation ("RC"), provides investment advisory services
to each of the Funds, Index Funds and Model Portfolio Funds. Pursuant to a
Master Advisory Agreement, VIA is entitled to receive 0.10% of the average daily
net assets of each Fund and Model Portfolio Fund and 0.05% of the average daily
net assets of Class I and Class II for the Index Funds. VIA and the Company
contract with one or more subadvisers ("Subadvisers") for the day-to-day
management of each of the Funds and Index Funds. The Model Portfolio Funds do
not have Subadviser fees. Each Subadviser is paid a fee by the Funds during the
year based on average net assets under management. The fee structure for many of
the subadvisers provides for a range of fees so that as average net assets of a
Fund increase the rate of fee paid decreases. With other subadvisers, one fee is
applicable to all levels of assets under management. The specifics of each
subadviser's fee are presented in detail in the Funds' prospectus and statement
of additional information. Presented below are the fees paid by the Funds as a
percentage of average net assets for the year ended December 31, 2002:
<Table>
<Caption>
FEE AS A
PERCENTAGE OF
AVERAGE DAILY
FUND SUBADVISER NET ASSETS
- ---- ---------- -------------
Money Market AIM Advisors, Inc.***** 0.12%
Income Preservation Payden & Rygel 0.09%
Pacific Investment Management
Company, LLC**** 0.25%
Wellington Management Company LLP 0.22%
US Government Securities Seix Investment Advisors 0.10%
Asset Allocation Mellon Capital Management
Corporation 0.23%
Equity Income Barrow, Hanley, Mewhinney
& Strauss, Inc. 0.29%
T. Rowe Price Associates, Inc. 0.40%
Southeastern Asset Management, Inc. 0.56%
Growth & Income Capital Guardian Trust Company** 0.28%
T. Rowe Price Associates, Inc. 0.40%
Wellington Management Company LLP 0.32%
Growth Barclays Global Fund Advisors 0.02%
Brown Capital Management, Inc. 0.32%
Fidelity Management & Research
Company 0.61%
Peregrine Capital Management 0.41%
Tukman Capital Management Inc.**** 0.50%
Aggressive Opportunities Roxbury Capital Management, LLC 0.64%
Southeastern Asset Management, Inc. 0.82%
Wellington Management Company LLP 0.70%
International Capital Guardian Trust Company* 0.49%
Artisan Partners Limited Partnership**** 0.70%
Core Bond Index Barclays Global Fund Advisors*** 0.08%
</Table>
105
<Page>
<Table>
<Caption>
FEE AS A
PERCENTAGE OF
AVERAGE DAILY
FUND SUB-ADVISER NET ASSETS
- ---- ----------- -------------
500 Stock Index Barclays Global Fund Advisors*** 0.05%
Broad Market Index Barclays Global Fund Advisors*** 0.08%
Mid/Small Company Index Barclays Global Fund Advisors*** 0.10%
Overseas Equity Index Barclays Global Fund Advisors*** 0.25%
</Table>
- ----------
* Minimum fee of $167,500 per year.
** Minimum fee of $337,000 per year.
*** Allocated from Master Investment Portfolio (Note 1).
**** Fee is applicable for all Fund assets managed by Subadviser.
***** This reflects the share borne by the Money Market Fund, as an investor in
The Short Term Investments Co. Liquid Assets Portfolio ("Portfolio"), of
the advisory fees paid by the Portfolio to its investment adviser, AIM
Advisors, Inc. AIM Advisors, Inc. is not a subadviser of the Money Market
Fund.
Vantagepoint Transfer Agents, LLC ("VTA"), a wholly owned subsidiary of RC,
is the Transfer Agent for the Funds and the Model Portfolio Funds. Pursuant to a
Transfer Agency and Administrative Services Agreement with the Vantagepoint
Funds, VTA is entitled to receive a fee for investor services and fund services
stated as an annual percentage of average daily net assets. For all funds,
except the Index Funds, VTA receives 0.20% for investor services and 0.15% for
fund services. For Class I Shares of the Index Funds, VTA receives 0.15% for
investor services and 0.15% for fund services. For Class II Shares of the Index
Funds, VTA receives 0.05% for investor services and 0.05% for fund services.
Investors Bank & Trust Company ("IBT") serves as the Custodian to each Fund
in the Company and also provides portfolio accounting services. IBT is entitled
to certain transaction charges plus a monthly fee at an annual rate based on
average daily net assets. IBT also provides administrative services for the
Funds, Index Funds and Model Portfolio Funds.
EXPENSES
The Model Portfolio Funds will incur fees and expenses indirectly as
shareholders in the underlying funds. Because the underlying funds have varied
expense and fee levels and the Model Portfolio Funds may own different
proportions of underlying funds at different times, the amount of fees and
expenses indirectly incurred by the Model Portfolio Funds will vary.
A transaction fee of 2% may be applied to the value of amounts withdrawn
from the Income Preservation Fund by IRA investors. This fee will be applied
only during periods beginning when the current yield of Money Market Funds, as
measured by the yield of the Vantagepoint Money Market Fund, exceed the current
yield of the Income Preservation Fund. The fee will be removed at such time as
the current yield of the Income Preservation Fund exceeds that of the Money
Market Fund by 0.25% or 25 basis points. For Vantagepoint Elite investors, a
redemption fee of $50 and an exchange fee of $8 will be charged on the
redemption or exchange of shares from any of the Funds, except the Money Market
Fund, held for less than one year. Exchanges from the Money Market Fund to any
other Fund may be made without incurring the exchange fee. Redemptions of shares
of the Money Market Fund held less than one year will be subject to a $30
redemption fee.
106
<Page>
FEE WAIVER
VIA originally agreed for a period of two years from March 31, 1999, to
waive any fees that would result in total fund expenses of the Money Market Fund
in excess of an annual amount of 0.55% of average net assets. This waiver
continued in place until May 1, 2002.
4. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for
each Fund and Model Portfolio Fund for the period ended December 31, 2002 are as
follows:
<Table>
<Caption>
INCOME US GOVERNMENT ASSET
AGGREGATE PURCHASES AND SALES OF: PRESERVATION SECURITIES ALLOCATION EQUITY INCOME
- --------------------------------- --------------- --------------- --------------- ---------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 1,141,538,162 $ 274,021,507 $ 52,884,669 $ --
Sales proceeds 1,067,559,711 187,775,502 391,595,383 --
OTHER SECURITIES:
Purchases at cost $ 195,482,865 $ -- $ 110,237,620 $ 162,563,503
Sales proceeds 86,359,802 -- 22,173,057 99,763,025
<Caption>
GROWTH & AGGRESSIVE
AGGREGATE PURCHASES AND SALES OF: INCOME GROWTH OPPORTUNITIES INTERNATIONAL
- --------------------------------- --------------- --------------- --------------- ---------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ -- $ -- $ -- $ --
Sales proceeds -- -- -- --
OTHER SECURITIES:
Purchases at cost $ 309,865,579 $ 1,744,482,685 $ 912,380,364 $ 260,721,999
Sales proceeds 126,663,912 1,777,322,843 798,529,049 226,336,589
<Caption>
SAVINGS CONSERVATIVE TRADITIONAL LONG-TERM
AGGREGATE PURCHASES AND SALES OF: ORIENTED GROWTH GROWTH GROWTH
- --------------------------------- --------------- --------------- --------------- ---------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ -- $ -- $ -- $ --
Sales proceeds -- -- -- --
OTHER SECURITIES:
Purchases at cost $ 26,802,143 $ 47,948,075 $ 97,363,466 $ 91,324,281
Sales proceeds 14,437,937 31,106,661 65,507,787 48,892,559
<Caption>
ALL-EQUITY
AGGREGATE PURCHASES AND SALES OF: GROWTH
- --------------------------------- ---------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ --
Sales proceeds --
OTHER SECURITIES:
Purchases at cost $ 13,058,570
Sales proceeds 2,765,346
</Table>
107
<Page>
5. UNREALIZED APPRECIATION/(DEPRECIATION)
At December 31, 2002, net unrealized appreciation (depreciation) on
securities investments was as follows:
<Table>
<Caption>
TAX BASIS
FEDERAL GROSS GROSS NET UNREALIZED
INCOME TAX UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION (DEPRECIATION)
---------------- -------------- ------------- --------------
Money Market $ 138,155,700 $ -- $ -- $ --
Income Preservation 573,337,963 10,841,559 (630,913) 10,210,646
US Government Securities 243,804,727 5,662,031 (47,096) 5,614,935
Asset Allocation 782,370,929 -- (171,895,985) (171,895,985)
Equity Income 753,165,038 -- (117,720,936) (117,720,936)
Growth & Income 647,896,536 -- (94,990,395) (94,990,395)
Growth 2,759,730,801 -- (475,255,987) (475,255,987)
Aggressive Opportunities 730,836,888 22,079,562 (57,816,764) (35,737,202)
International 348,269,293 -- (43,421,975) (43,421,975)
Savings Oriented 173,915,147 -- (14,402,651) (14,402,651)
Conservative Growth 336,064,521 -- (55,253,944) (55,253,944)
Traditional Growth 730,931,422 -- (164,333,025) (164,333,025)
Long-Term Growth 731,037,266 -- (202,284,356) (202,284,356)
All-Equity Growth 73,403,371 -- (18,617,284) (18,617,284)
</Table>
6. PORTFOLIO SECURITIES LOANED
As of December 31, 2002, certain Funds had loaned securities, which were
collateralized by cash, cash equivalents, or U.S. Government Obligations. Each
Fund receives compensation for providing services in connection with the
securities lending program. The risks to the Funds associated with securities
lending are that the borrower may not provide additional collateral when
required or return the securities when due. The value of the securities on loan
and the value of the related collateral were as follows:
<Table>
<Caption>
FUND SECURITIES ON LOAN COLLATERAL
---- ------------------ --------------
Income Preservation $ 5,209,726 $ 5,332,490
US Government Securities 24,031,901 24,532,500
Asset Allocation 25,624,517 26,535,524
Equity Income 67,360,994 71,221,315
Growth & Income 37,675,237 39,198,537
Growth 199,248,177 207,084,894
Aggressive Opportunities 114,679,009 120,511,328
International 19,814,080 21,009,206
</Table>
7. TRANSACTIONS WITH AFFILIATED FUNDS
At December 31, 2002, the Model Portfolio Funds held investments in a
number of Funds. The figures presented below represent the percentage of shares
outstanding in each of the underlying Funds owned by the Model Portfolio Funds:
108
<Page>
<Table>
<Caption>
SAVINGS CONSERVATIVE TRADITIONAL LONG-TERM ALL-EQUITY
UNDERLYING FUND ORIENTED GROWTH GROWTH GROWTH GROWTH
- --------------- -------- ------------ ----------- --------- ----------
Income Preservation 22.85% 31.00% 37.83% -- --
US Government Securities 6.79% -- -- -- --
Equity Income 2.81% 4.96% 10.03% 9.33% 1.45%
Growth & Income 3.06% 5.40% 16.25% 20.22% 2.12%
Growth -- 1.35% 4.03% 5.04% 0.66%
Aggressive Opportunities -- 2.43% 9.81% 13.72% 1.91%
International 2.82% 4.98% 20.06% 18.75% 3.91%
Core Bond Index Class I -- 7.34% 15.09% 28.45% --
Overseas Equity Index Class I -- -- -- 75.75% --
</Table>
Additionally, at December 31, 2002, the VantageTrust, an affiliated group
of common trust funds, held shares of the Funds, Index Funds and Model Portfolio
Funds. The figures presented below represent the percentage of shares
outstanding in each of the funds held by the VantageTrust:
<Table>
<Caption>
% OWNED
BY THE
FUND TRUST
---- -------
Money Market 51.41%
US Government Securities 67.60%
Asset Allocation 71.19%
Equity Income 66.11%
Growth & Income 65.98%
Growth 69.10%
Aggressive Opportunities 68.48%
International 65.10%
Core Bond Index Class I 86.83%
Core Bond Index Class II 33.93%
500 Stock Index Class I 94.24%
500 Stock Index Class II 26.83%
Broad Market Index Class I 97.17%
Broad Market Index Class II 34.32%
Mid/Small Company Index Class I 94.12%
Mid/Small Company Index Class II 36.84%
Overseas Equity Index Class I 93.81%
Overseas Equity Index Class II 34.24%
Savings Oriented 54.20%
Conservative Growth 59.72%
Traditional Growth 68.20%
Long-Term Growth 70.05%
All-Equity Growth 72.08%
</Table>
8. REDUCTION OF EXPENSES
Certain Funds have entered into agreements with brokers whereby the brokers
will rebate a portion of brokerage commissions. Such amounts earned by the
Funds, under such agreements, are used to reduce operating expenses and are
presented as a reduction of expenses in the Statement of Operations.
109
<Page>
9. CHANGE IN ACCOUNTING POLICY
Effective January 1, 2001, the Income Preservation Fund, US Government
Securities Fund and Asset Allocation Fund adopted the provisions of the revised
AICPA Audit and Accounting Guide for Investment Companies and began amortizing
de minimus premiums and discounts on debt securities using the daily effective
yield method. Prior to January 1, 2001, original issue discount, market discount
and premium were accreted or amortized using the daily effective yield method,
however, de minimus original issue discount, market discount and premium were
not. Also, effective January 1, 2001, the Bond Index Master Portfolio adopted
the provisions of the revised AICPA Audit and Accounting Guide for Investment
Companies and began amortizing premiums on debt securities. Prior to January 1,
2001, the Bond Index Master Portfolio did not amortize premiums on debt
securities. The cumulative effect of this change had no impact on net assets.
10. ADDITIONAL DISTRIBUTIONS
In order to comply with requirements of the Internal Revenue Code
applicable to regulated investment companies, the Income Preservation Fund is
required to distribute accumulated net realized gains, if any, on an annual
basis. When such distributions are made, the immediate impact is a corresponding
reduction in the net asset value per share. Given the objective of the fund to
maintain a stable net asset value per share, the fund will declare a reverse
stock split immediately subsequent to the distribution at a rate that will cause
the total number of shares held by each shareholder, including shares acquired
on reinvestment of that distribution, to remain the same as before the
distribution was paid and reinstate the same net asset value of $100 per share
as before the distribution.
On December 27, 2002, the Fund declared a capital gain distribution of
$0.470187 per share and a corresponding reverse stock split of $0.995320134 per
share. There was no effect on the value of the total holdings of each
shareholder (assuming reinvestment of such distributions) as a result of this
activity.
110
<Page>
VANTAGEPOINT FUNDS
ADDITIONAL INFORMATION (UNAUDITED)
A. TAX DISCLOSURES
For corporate shareholders, a portion of the ordinary dividends paid during
the Funds' year ended December 31, 2002 qualified for the dividends received
deduction as follows:
<Table>
Equity Income 100.00%
Growth & Income 100.00%
Growth 100.00%
500 Stock Index 100.00%
Broad Market Index 97.65%
Savings Oriented 94.68%
Conservative Growth 100.00%
Traditional Growth 100.00%
Long-Term Growth 100.00%
All-Equity Growth 100.00%
</Table>
Pursuant to Section 852 of the Internal Revenue Code, the Funds designate
the following capital gain dividends for the year ended December 31, 2002:
<Table>
<Caption>
LONG TERM
CAPITAL GAIN DIVIDEND
---------------------
Income Preservation $ 1,241,079
US Government Securities 1,360,985
Core Bond Index 195,519
Long-Term Growth 247,445
</Table>
B. FOREIGN TAXES PAID
For the year ended December 31, 2002, dividends from foreign countries were
$3,751,315 and $659,877 for the International and Overseas Equity Index Funds,
respectively. Taxes paid to foreign countries were $780,194 and $87,553 for the
International and Overseas Equity Index Funds, respectively.
C. SOURCES OF INCOME
The following table summarizes the percentage of income received by the
Vantagepoint Funds in 2002 from various obligors:
<Table>
<Caption>
OTHER
U.S. TREASURY U.S. GOVERNMENT
FUND OBLIGATIONS GNMA FNMA FHLMC AGENCY
- ---- ------------- -------- -------- --------- ---------------
Income Preservation 7.36% 7.93% 10.88% 5.63% 1.80%
US Government Securities 31.40% 13.20% 30.45% 5.99% 5.52%
Asset Allocation 42.46% -- -- -- --
Core Bond Index 20.81% 6.95% 17.00% 16.93% 3.45%
500 Stock Index 0.28% -- -- -- --
</Table>
111
<Page>
D. DIRECTORS TABLE
DISINTERESTED DIRECTORS:
<Table>
<Caption>
NUMBER OF
TERM OF OFFICE PRINCIPAL PORTFOLIOS IN OTHER
POSITION(S) AND LENGTH OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS
NAME, ADDRESS HELD WITH OF TIME DURING PAST OVERSEEN HELD BY
AND AGE FUND SERVED 5 YEARS BY DIRECTOR DIRECTOR
- --------------------------------------------------------------------------------------------------------------------
N. Anthony Calhoun Chairman of Elected Treasurer and 19 N/A
Chevy Chase, MD (55) the Board November, Chief Financial
and Director 1998; Officer - District
Term Expires of Columbia (2001
October, 2006 to present); Deputy
Executive Director &
Chief Financial
Officer - Pension
Benefit Guaranty
Corp. (1993-2001)
Donna Gilding Director Elected Chief Investment 19 N/A
San Francisco, CA (62) November, Officer - Progress
1998; Term Investment
Expires Management
October, 2006 Company (2001
to present);
Chief Investment
Officer - New York
City Comptroller's
Office (1993-2001)
Arthur Lynch Director Elected Chief Financial 19 N/A
Glendale, AZ (48) November, Officer -
1998; City of Glendale,
Term Expires Arizona (1985
October, 2006 to present)
Eddie N. Moore, Jr. Director Elected President - Virginia 19 Director -
Petersburg, VA (55) November, State University Universal
1998; (1993 to present) Corporation
Term Expires (2000 to
October, 2004 present)
Peter Meenan Director Elected President and CEO 19 Director -
Concord, MA (61) December, Babson - United, Eclipse Funds,
2001; Term Inc., Babson - United Inc. (2002 to
Expires Investment Advisors Present);
October, 2004 (2000 to present); Trustee -
Independent Eclipse Funds,
Consultant (1999- Inc. (2002 to
2000); Head of Present);
Global Funds for Director -
Investment Products New York Life
& Distribution Group - Institutional
Citicorp (1995-1999) Funds, Inc.
(2002 to
Present);
Director -
Babson -
United, Inc.
(2000 to
present)
</Table>
112
<Page>
INTERESTED DIRECTORS:
<Table>
<Caption>
NUMBER OF
TERM OF OFFICE PRINCIPAL PORTFOLIOS IN OTHER
POSITION(S) AND LENGTH OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS
NAME, ADDRESS HELD WITH OF TIME DURING PAST OVERSEEN HELD BY
AND AGE FUND SERVED 5 YEARS BY DIRECTOR DIRECTOR
- --------------------------------------------------------------------------------------------------------------------
Robin Wiessman* Director Elected Principal - Brown, 19 Director -
Newtown, PA (49) November, Wiessman Group Council
1998; (2001 to present) of Lafayette
Term Expires Managing Director - Women;
October, 2004 Dain Rauscher Trustee -
(1999-2001) Founding Citizens
Principal and Budget
President - Artemis Commission of
Capital Group, Inc. New York
(1990-1998)
Howard Tipton* Director Elected Chief Administrative 19 Director - ICMA
Port Orange, FL (66) December, Services Officer - Retirement
2001; City of Orlando, Corporation,
Term Expires Florida, Retired 1999; Director -
October, 2003 President - Wayne Underwriters
Densch Center, Laboratories
Retired 2001
Girard Miller** President Elected President and CEO - 19 Director -
Washington D.C. (51) November, ICMA Retirement National
1998 and will Corporation (1993 to Defined
serve until present); Manager Contribution
successor is and President - Council (2000
chosen Vantagepoint to present)
Investment Advisers,
LLC (1999 to present);
Manager and President
- ICMA RC Services,
LLC, broker-dealer
</Table>
113
<Page>
<Table>
<Caption>
NUMBER OF
TERM OF OFFICE PRINCIPAL PORTFOLIOS IN OTHER
POSITION(S) AND LENGTH OCCUPATION(S) FUND COMPLEX DIRECTORSHIPS
NAME, ADDRESS HELD WITH OF TIME DURING PAST OVERSEEN HELD BY
AND AGE FUND SERVED 5 YEARS BY DIRECTOR DIRECTOR
- --------------------------------------------------------------------------------------------------------------------
Paul Breault** Treasurer Elected Senior Vice 19 N/A
Washington D.C. (55) November, President/
1998 and will Chief Financial
serve until Officer - ICMA
successor is Retirement
chosen Corporation (1998 to
present); Treasurer -
Vantagepoint
Investment Advisers,
LLC (1999 to present);
Treasurer ICMA RC
Services, LLC, broker-
dealer; Sr. Vice
President/Group Chief
Financial Officer -
Fidelity Investments
(1993-1997)
Paul Gallagher** Secretary Elected Vice President/ 19 N/A
Washington D.C. (43) November, Secretary and
1998 and will General Counsel -
serve until ICMA Retirement
successor is Corporation (1998 to
chosen present); Secretary -
Vantagepoint
Investment Advisers,
LLC (1999 to present);
Principal/Assistant
General Counsel -
The Vanguard Group
(1985-1998)
</Table>
* Ms. Wiessman and Mr. Tipton are considered interested directors because
they are also current or prior directors of ICMA Retirement Corporation
("RC"). Vantagepoint Investment Advisers, LLC, the adviser to The
Vantagepoint Funds, is a wholly-owned subsidiary of RC.
** Mssrs. Miller, Breault and Gallagher are the executive officers of The
Vantagepoint Funds and are considered interested persons as defined in the
1940 Act.
114
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
<Table>
<Caption>
VANTAGEPOINT MONEY MARKET FUND SHARES VALUE
- ----------------------------------------------------------------------------------
Short Term Investment Co.
Liquid Assets Portfolio
(Cost $138,155,700) 138,155,700 $ 138,155,700
-------------
TOTAL INVESTMENTS--99.9%
Other assets less liabilities--(0.1%) 75,902
-------------
NET ASSETS--100.0% $ 138,231,602
=============
</Table>
See accompanying notes to financial statements.
115
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
VANTAGEPOINT INCOME PRESERVATION FUND
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--22.4%
- ----------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.2%
Honeywell International, Inc.
7.000% 03/15/2007 $ 500,000 $ 565,456
TRW, Inc.
6.625% 06/01/2004 460,000 478,259
-------------
1,043,715
-------------
AIRLINES--0.3%
American Airlines, Inc.
7.858% 10/01/2011 145,000 140,749
**Atlas Air Worldwide Holdings, Inc.
7.380% 01/02/2018 510,330 335,381
**Atlas Air, Inc., Ser. 991A
7.200% 01/02/2019 45,123 30,456
**Continental Airlines, Inc.
6.648% 09/15/2017 443,441 387,696
Delta Air Lines, Inc.
7.920% 11/18/2010 500,000 417,248
-------------
1,311,530
-------------
AUTOMOTIVE--1.7%
DaimlerChrysler NA Holdings
7.750% 05/27/2003 1,500,000 1,530,033
DaimlerChrysler NA Holdings
3.400% 12/15/2004 700,000 705,122
Ford Motor Company
7.450% 07/16/2031 1,000,000 872,209
Ford Motor Credit Company
7.875% 06/15/2010 500,000 503,832
Ford Motor Credit Company
7.500% 03/15/2005 300,000 306,232
Ford Motor Credit Company
6.700% 07/16/2004 1,500,000 1,528,900
Ford Motor Credit Company
6.500% 01/25/2007 700,000 692,009
General Motors Acceptance Corporation
8.000% 11/01/2031 750,000 756,208
General Motors Acceptance Corporation
6.875% 08/28/2012 1,000,000 987,463
-------------
7,882,008
-------------
BANKING--2.5%
ABN Amro Bank
7.250% 05/31/2005 660,000 728,597
African Development Bank (Supra National)
9.750% 12/15/2003 650,000 699,238
Bank of America Corporation
6.625% 06/15/2004 680,000 725,795
Bank One Corporation
7.625% 08/01/2005 650,000 732,808
# Bank One NA Illinois
1.595% 05/10/2004 1,300,000 1,301,681
First Union National Bank
7.800% 08/18/2010 300,000 362,713
Korea Development Bank
7.125% 04/22/2004 405,000 430,688
Mellon Funding Corporation
5.000% 12/01/2014 425,000 432,933
Popular North America, Inc.
6.625% 01/15/2004 700,000 729,940
Regions Financial Corporation
7.000% 03/01/2011 360,000 413,196
SLM Corporation
5.125% 08/27/2012 $ 500,000 $ 513,779
Wachovia Corporation
6.700% 06/21/2004 680,000 727,482
Wachovia Corporation
6.605% 10/01/2025 1,000,000 1,088,352
Wachovia Corporation
4.950% 11/01/2006 250,000 266,999
Wells Fargo & Company
6.625% 07/15/2004 680,000 727,700
Wells Fargo & Company
5.000% 11/15/2014 500,000 506,157
Wells Fargo Company
6.875% 04/15/2003 245,000 248,671
Wells Fargo Financial, Inc.
6.700% 09/22/2004 650,000 700,888
-------------
11,337,617
-------------
BEVERAGES, FOOD & TOBACCO--1.0%
Coca-Cola Company
4.000% 06/01/2005 700,000 733,257
ConAgra Foods, Inc.
9.875% 11/15/2005 295,000 352,290
PepsiCo, Inc.
4.500% 09/15/2004 700,000 727,828
Safeway, Inc.
7.250% 09/15/2004 1,430,000 1,539,668
Unilever Capital Corporation
6.875% 11/01/2005 1,010,000 1,133,312
Unilever Capital Corporation
6.750% 11/01/2003 200,000 208,615
-------------
4,694,970
-------------
CHEMICALS--0.3%
Dow Chemical Company (The)
6.000% 10/01/2012 600,000 614,329
Monsanto Company
7.375% 08/15/2012 500,000 539,982
Potash Corporation of
Saskatchewan, Inc. (Canada)
7.750% 05/31/2011 200,000 233,523
-------------
1,387,834
-------------
COMMERCIAL SERVICES--0.1%
R.R. Donnelley & Sons Company
5.000% 11/15/2006 490,000 503,992
-------------
COMMUNICATIONS--0.1%
Citizens Communications Company
9.250% 05/15/2011 250,000 298,293
-------------
COMPUTER SOFTWARE & PROCESSING--0.4%
Electronic Data Systems Corporation
6.850% 10/15/2004 690,000 710,223
First Data Corporation
5.625% 11/01/2011 650,000 689,019
IBM Credit Corporation
5.875% 11/29/2032 400,000 397,183
-------------
1,796,425
-------------
COSMETICS & PERSONAL CARE--0.1%
Procter & Gamble Company
6.600% 12/15/2004 500,000 545,319
-------------
DIVERSIFIED--0.4%
General Electric Capital Corporation
6.000% 06/15/2012 900,000 973,472
General Electric Capital Corporation
4.250% 01/28/2005 700,000 731,482
-------------
1,704,954
-------------
</Table>
116
<Page>
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--(CONTINUED)
- ----------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.5%
# Alabama Power Company, Series O
1.525% 03/03/2003 $ 290,000 $ 290,304
American Electric Power
Company, Inc.
6.125% 05/15/2006 500,000 492,840
+ Chilquinta Energia Financial (Chile)
6.620% 04/01/2011 255,000 278,804
Commonwealth Edison Company
6.150% 03/15/2012 75,000 83,122
Florida Power & Light Company
6.875% 12/01/2005 2,000,000 2,231,604
NSTAR
8.000% 02/15/2010 500,000 607,381
Niagara Mohawk Power Company
7.750% 05/15/2006 1,000,000 1,134,144
PSEG Power, LLC
8.625% 04/15/2031 350,000 378,120
PSEG Power, LLC
6.950% 06/01/2012 265,000 269,617
Virginia Electric & Power Company
5.750% 03/31/2006 1,000,000 1,075,044
-------------
6,840,980
-------------
ELECTRICAL EQUIPMENT--0.1%
Old Dominion Electric
6.250% 06/01/2011 350,000 387,668
-------------
ENTERTAINMENT & LEISURE--0.2%
AOL Time Warner, Inc.
7.700% 05/01/2032 250,000 261,113
Walt Disney Company (The)
4.875% 07/02/2004 508,000 522,925
-------------
784,038
-------------
FINANCIAL SERVICES--6.1%
Abbey National First Capital
8.200% 10/15/2004 650,000 717,051
+ AIG Sun America Global Financial
6.300% 05/10/2011 500,000 552,015
+ AIG Sun America Global Financial II
7.600% 06/15/2005 500,000 560,732
American Express Company
3.750% 11/20/2007 425,000 430,654
# Bear Stearns Company, Inc.
2.024% 05/24/2004 800,000 803,626
BP Capital Markets PLC
4.000% 04/29/2005 700,000 732,119
Caterpillar Financial Services Corporation
5.950% 05/01/2006 340,000 367,932
CIT Group, Inc.
7.375% 04/02/2007 495,000 540,146
CIT Group, Inc.
5.500% 02/15/2004 1,500,000 1,534,288
Citigroup, Inc.
6.000% 02/21/2012 750,000 824,509
Countrywide Home Loans, Inc.
7.260% 05/10/2004 1,000,000 1,064,947
Countrywide Home Loans, Inc.
5.250% 06/15/2004 700,000 728,298
Diageo Capital PLC (United Kingdom)
6.625% 06/24/2004 670,000 715,103
Duke Capital Corporation
7.250% 10/01/2004 690,000 705,190
FPL Group Capital, Inc.
6.125% 05/15/2007 $ 500,000 $ 540,959
+ Frank Russell Company
5.625% 01/15/2009 500,000 545,890
Goldman Sachs Group, Inc.
6.600% 01/15/2012 250,000 276,725
Heller Financial, Inc.
7.875% 05/15/2003 2,000,000 2,045,288
Household Finance Corporation
7.200% 07/15/2006 700,000 757,947
Household Finance Corporation
7.000% 08/01/2003 900,000 924,163
Household Finance Corporation
6.375% 10/15/2011 400,000 418,906
International Lease Finance Corporation
5.750% 10/15/2006 750,000 787,000
J.P. Morgan Chase & Company
6.625% 03/15/2012 1,600,000 1,737,118
Merrill Lynch & Company, Inc.
7.000% 01/15/2007 375,000 421,730
Merrill Lynch & Company, Inc.
5.350% 06/15/2004 700,000 730,861
# Merrill Lynch & Company, Inc.
1.720% 05/21/2004 1,100,000 1,099,735
Morgan Stanley
6.600% 04/01/2012 400,000 444,105
National Rural Utilities Cooperative
Finance Corporation
5.250% 07/15/2004 700,000 730,672
# National Rural Utilities Cooperative
Finance Corporation
2.830% 04/26/2004 2,000,000 2,007,242
Nomura Asset Securities Corporation
6.590% 03/15/2030 1,000,000 1,135,694
Pemex Finance Ltd. (Cayman Islands)
9.690% 08/15/2009 540,000 657,879
Pemex Finance Ltd. (Cayman Islands)
7.330% 05/15/2012 600,000 679,509
Private Export Funding Corporation
7.200% 01/15/2010 1,040,000 1,255,191
-------------
27,473,224
-------------
HEALTH CARE PROVIDERS--0.0%
Wellpoint Health Networks, Inc.
6.375% 01/15/2012 80,000 86,972
-------------
HEAVY CONSTRUCTION--0.1%
Centex Corporation
5.800% 09/15/2009 300,000 302,226
-------------
INSURANCE--2.0%
ACE INA Holdings
8.300% 08/15/2006 750,000 848,972
Allstate Corporation
7.200% 12/01/2009 500,000 580,669
Allstate Corporation
6.750% 06/15/2003 300,000 306,682
Axa Company (France)
8.600% 12/15/2030 750,000 859,727
Everest Reinsurance Holdings
8.500% 03/15/2005 500,000 547,106
+ Florida Windstorm
Underwriting Association
6.850% 08/25/2007 700,000 795,010
+#GE Life-Prem Assets
2.060% 10/06/2005 2,000,000 2,000,838
Hartford Life, Inc.
7.375% 03/01/2031 250,000 279,291
</Table>
117
<Page>
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--(CONTINUED)
- ----------------------------------------------------------------------------------
+ Liberty Mutual
7.697% 10/15/2097 $ 500,000 $ 377,011
Mony Group, Inc.
7.450% 12/15/2005 250,000 260,542
Progressive Corporation
6.250% 12/01/2032 425,000 437,534
RenaissanceRe Holdings Ltd. (Bermuda)
7.000% 07/15/2008 500,000 529,120
United Health Group, Inc.
7.500% 11/15/2005 500,000 564,392
W.R. Berkley Corporation
9.875% 05/15/2008 300,000 360,446
XL Capital Ltd. (Bermuda)
6.500% 01/15/2012 215,000 233,201
-------------
8,980,541
-------------
MEDIA--BROADCASTING & PUBLISHING--1.1%
CBS Corporation
8.625% 08/01/2012 250,000 315,953
Cox Communications, Inc.
7.125% 10/01/2012 345,000 383,888
Gannett Company, Inc.
4.950% 04/01/2005 1,160,000 1,228,278
Reed Elsevier Capital, Inc.
6.750% 08/01/2011 500,000 565,259
Time Warner, Inc.
9.150% 02/01/2023 500,000 575,805
Viacom, Inc.
7.875% 07/30/2030 500,000 624,398
Viacom, Inc.
7.750% 06/01/2005 400,000 448,390
Viacom, Inc.
6.875% 09/01/2003 1,000,000 1,026,092
-------------
5,168,063
-------------
METALS & MINING--0.3%
Alcan, Inc. (Canada)
7.250% 03/15/2031 370,000 440,203
# Alcoa, Inc.
1.700% 12/06/2004 500,000 501,569
+ Codelco, Inc. (Chile)
6.375% 11/30/2012 90,000 94,508
Masco Corporation
6.000% 05/03/2004 405,000 422,915
-------------
1,459,195
-------------
OIL & GAS--1.6%
Burlington Resources Finance Company (Canada)
7.400% 12/01/2031 210,000 247,016
Canadian National Resources Ltd. (Canada)
6.450% 06/30/2033 280,000 290,394
ChevronTexaco Capital Corporation
3.500% 09/17/2007 450,000 458,571
Conoco, Inc.
5.900% 04/15/2004 510,000 534,030
Consolidated Natural Gas Company
7.250% 10/01/2004 405,000 436,418
Devon Energy Corporation
7.950% 04/15/2032 370,000 446,229
+#Kerr-McGee Corporation
2.150% 06/28/2004 1,000,000 1,000,704
KeySpan Corporation
7.625% 11/15/2010 $ 250,000 $ 296,732
Progress Energy, Inc.
7.000% 10/30/2031 1,000,000 1,046,095
+ Schlumberger Technology Corporation
6.500% 04/15/2012 750,000 844,172
Total Fina Elf SA (France)
7.000% 10/05/2005 1,150,000 1,284,572
Vastar Resources, Inc.
6.950% 11/08/2006 500,000 556,627
-------------
7,441,560
-------------
PHARMACEUTICALS--0.4%
Abbott Laboratories
5.125% 07/01/2004 690,000 724,586
American Home Products Corporation
7.900% 02/15/2005 500,000 553,234
American Home Products Corporation
6.250% 03/15/2006 400,000 434,894
-------------
1,712,714
-------------
REAL ESTATE--0.2%
Duke Realty LP
7.300% 06/30/2003 300,000 307,145
Equity Office Properties Operating
Limited Partnership
6.625% 02/15/2005 400,000 424,264
-------------
731,409
-------------
RETAILERS--0.6%
Kohl's Corporation
6.000% 01/15/2033 425,000 428,745
Target Corporation
7.500% 02/15/2005 510,000 563,579
Target Corporation
6.350% 11/01/2032 400,000 419,573
Wal-Mart Stores, Inc.
7.550% 02/15/2030 350,000 443,701
Wal-Mart Stores, Inc.
6.550% 08/10/2004 670,000 720,443
-------------
2,576,041
-------------
SPECIAL PURPOSE ENTITY--0.1%
+ ASIF Global Financing
3.850% 11/26/2007 500,000 513,215
-------------
TELECOMMUNICATIONS--0.6%
AT&T Wireless Services, Inc.
8.125% 05/01/2012 505,000 508,510
Deutsche Telekom International
Finance (Netherlands)
8.750% 06/15/2030 175,000 202,841
Telefonica Europe NV (Netherlands)
7.750% 09/15/2010 500,000 579,036
Verizon Global Funding Corporation
7.375% 09/01/2012 350,000 403,545
Verizon Global Funding Corporation
6.750% 12/01/2005 250,000 276,447
Verizon Pennsylvania, Inc.
5.650% 11/15/2011 250,000 262,667
Vodafone Group PLC (United Kingdom)
7.750% 02/15/2010 500,000 590,685
-------------
2,823,731
-------------
TRANSPORTATION--0.0%
Fedex Corporation
7.650% 01/15/2022 94,834 109,314
-------------
</Table>
118
<Page>
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--(CONTINUED)
- ----------------------------------------------------------------------------------
UTILITIES--0.4%
Dominion Resources, Inc.
7.600% 07/15/2003 $ 1,000,000 $ 1,023,427
Hydro-Quebec (Canada)
7.500% 04/01/2016 500,000 625,684
+ Pedernales Electric Cooperative, Inc.
6.202% 11/15/2032 275,000 283,019
-------------
1,932,130
-------------
TOTAL CORPORATE OBLIGATIONS
(Cost $97,900,860) 101,829,678
-------------
- ----------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--71.5%
- ----------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES--MORTGAGE BACKED--49.1%
Federal Home Loan Bank
6.500% 01/01/2018 5,000,000 5,275,000
6.000% 01/01/2029-
09/01/2032 4,788,158 4,963,970
5.750% 08/15/2011 700,000 775,637
4.125% 01/14/2005 10,610,000 11,097,243
Federal Home Loan Mortgage Corporation
7.000% 07/15/2005 2,250,000 2,525,533
6.500% 10/01/2007-
06/01/2022 5,225,352 5,491,910
6.085% 09/25/2029 897,442 956,492
6.000% 01/15/2028 2,893,672 2,958,490
5.125% 07/15/2012 1,500,000 1,599,526
4.250% 06/15/2005 700,000 737,399
3.875% 02/15/2005 6,600,000 6,882,249
3.000% 07/15/2004 4,600,000 4,701,904
Federal National Mortgage Association
7.125% 02/15/2005 1,400,000 1,553,493
7.015% 12/01/2010 983,593 1,146,206
7.000% 03/01/2008-
01/01/2033 15,368,185 16,190,190
6.865% 08/01/2009 980,900 1,125,890
6.568% 04/01/2008 1,000,000 1,118,573
# 6.533% 12/25/2020 233,445 233,285
6.500% 05/01/2008-
06/01/2029 4,959,156 5,217,753
6.200% 08/12/2008 2,000,000 2,052,244
6.000% 01/01/2018-
11/01/2032 38,394,568 40,100,951
5.897% 04/01/2012 993,725 1,089,643
5.775% 11/01/2011 1,063,135 1,159,083
5.729% 02/01/2032 5,764,514 5,943,295
5.607% 12/01/2011 988,854 1,071,710
5.500% 01/01/2018 1,000,000 1,036,250
5.125% 02/13/2004 4,762,000 4,962,775
4.750% 11/14/2003 1,700,000 1,750,665
2.958% 12/01/2026 1,127,030 1,159,378
2.917% 10/01/2026 528,599 543,628
2.750% 11/14/2005 3,740,000 3,764,523
Federal National Mortgage Association TBA
7.500% 01/01/2033 3,000,000 3,185,625
6.500% 01/01/2017-
01/01/2031 39,620,000 41,282,814
6.000% 01/01/2032 3,720,000 3,845,550
Government National Mortgage Association
8.000% 06/15/2026-
03/15/2032 $ 5,185,037 $ 5,597,815
7.500% 07/15/2025-
09/15/2031 16,217,675 17,294,451
7.000% 01/15/2028-
12/15/2031 8,111,532 8,601,955
6.500% 03/15/2028-
03/15/2031 3,841,030 4,035,412
5.750% 07/20/2025 62,328 64,196
-------------
223,092,706
-------------
U.S. GOVERNMENT AGENCY--DISCOUNT NOTES--22.4%
Federal Home Loan Bank
1.280% 01/08/2003 6,000,000 5,998,507
1.280% 01/17/2003 4,700,000 4,697,326
1.270% 01/03/2003 4,000,000 3,999,718
1.260% 01/29/2003 1,800,000 1,798,236
1.258% 02/21/2003 500,000 499,109
Federal Home Loan Mortgage Corporation
1.840% 07/17/2003 750,000 742,600
1.830% 07/17/2003 950,000 940,333
1.780% 07/17/2003 700,000 693,181
1.520% 11/06/2003 500,000 493,477
1.280% 03/20/2003 500,000 498,613
1.270% 01/07/2003 3,000,000 2,999,365
1.240% 01/14/2003 11,500,000 11,494,851
Federal National Mortgage Association
1.640% 07/25/2003 550,000 544,863
1.290% 05/14/2003 22,000,000 21,895,152
1.285% 03/26/2003 20,200,000 20,139,434
1.280% 03/26/2003 2,000,000 1,994,027
1.275% 03/05/2003 5,000,000 4,988,844
1.270% 01/28/2003 7,200,000 7,193,142
1.245% 01/17/2003 400,000 399,779
1.245% 01/17/2003 9,000,000 8,995,020
* 1.240% 02/12/2003 40,000 39,942
1.240% 01/15/2003 900,000 899,566
* 1.235% 02/12/2003 80,000 79,885
-------------
102,024,970
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $321,514,385) 325,117,676
-------------
- ----------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--13.3%
- ----------------------------------------------------------------------------------
U.S. TREASURY BILLS--2.2%
U.S. Treasury Bill
1.210% 02/27/2003 3,000,000 2,994,252
1.195% 02/20/2003 320,000 319,469
* 1.193% 02/13/2003 40,000 39,943
1.170% 01/16/2003 1,500,000 1,499,269
1.110% 02/06/2003 5,000,000 4,994,604
-------------
9,847,537
-------------
U.S. TREASURY BONDS--1.7%
U.S. Treasury Bond
7.250% 05/15/2016 1,750,000 2,241,368
5.625% 02/15/2006 2,400,000 2,658,377
5.500% 08/15/2028 2,523,000 2,726,813
-------------
7,626,558
-------------
</Table>
119
<Page>
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--(CONTINUED)
- ----------------------------------------------------------------------------------
U.S. TREASURY NOTES--9.3%
U.S. Treasury Inflation Index Note
3.875% 01/15/2009 $ 2,210,860 $ 2,464,764
3.625% 01/15/2008 3,366,480 3,694,715
U.S. Treasury Note
6.500% 10/15/2006-
02/15/2010 4,750,000 5,609,144
6.125% 08/15/2007 425,000 488,850
6.000% 08/15/2004 3,000,000 3,222,189
5.750% 11/15/2005 4,000,000 4,422,972
3.375% 04/30/2004 5,900,000 6,061,560
3.250% 12/31/2003 6,500,000 6,632,035
1.875% 09/30/2004 9,500,000 9,569,398
-------------
42,165,627
-------------
U.S. TREASURY STRIPS--0.1%
U.S. Treasury Strip
0.000% 08/15/2020 1,500,000 602,864
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $58,032,316) 60,242,586
-------------
- ----------------------------------------------------------------------------------
MUNICIPAL OBLIGATIONS--0.2%
- ----------------------------------------------------------------------------------
FINANCIAL SERVICES--0.2%
Alameda Corridor Transportation
Authority (California)
5.900% 10/01/2010 575,000 636,950
Delaware River Port Authorities PA & NJ
7.630% 01/01/2021 180,000 218,997
-------------
TOTAL MUNICIPAL OBLIGATIONS
(Cost $793,170) 855,947
-------------
- ----------------------------------------------------------------------------------
SOVEREIGN DEBT OBLIGATIONS--0.3%
- ----------------------------------------------------------------------------------
GOVERNMENT ISSUED--0.3%
Ontario (Province Of) (Canada)
5.500% 10/01/2008 500,000 553,615
Republic of Finland (Finland)
7.875% 07/28/2004 608,000 664,913
-------------
TOTAL SOVEREIGN DEBT OBLIGATIONS
(Cost $1,162,539) 1,218,528
-------------
- ----------------------------------------------------------------------------------
ASSET BACKED SECURITIES--10.8%
- ----------------------------------------------------------------------------------
AUTOMOTIVE--1.7%
AmeriCredit Automobile Receivables
Trust, Ser. 2002-D, Class A1
1.755% 10/06/2003 258,087 258,359
BMW Vehicle Owner Trust,
Ser. 2002-A, Class A4
4.460% 05/25/2007 1,000,000 1,055,576
Capital One Auto Finance Trust,
Ser. 2001-A, Class A4
5.400% 05/15/2008 1,250,000 1,330,855
Chase Manhattan Auto Owner Trust,
Ser. 2001-B, Class A4
3.800% 05/15/2008 850,000 880,705
Honda Auto Receivables Owners Trust,
Ser. 2001-2, Class A4
5.090% 10/18/2006 445,000 464,165
Household Automotive Trust,
Ser. 2001-2, Class A4
5.390% 08/17/2008 $ 2,500,000 $ 2,651,890
Household Automotive Trust,
Ser. 2002-2, Class A1
1.770% 09/17/2003 272,620 272,946
MMCA Auto Lease Trust,
Ser. 2002-A, Class A1
+ 1.827% 10/15/2003 333,648 333,972
Peoplefirst.com Auto Receivables
Owner Trust, Ser. 2000-2, Class A3
6.340% 09/15/2004 171,938 172,806
USAA Auto Owner Trust,
Ser. 2002-1, Class A1
1.789% 10/15/2003 223,098 223,396
-------------
7,644,670
-------------
BANKING--0.3%
Wells Fargo Mortgage Backed
Securities Trust, Ser. 2001-25, Class IIIA
# 6.508% 10/25/2031 952,356 959,120
Wells Fargo Mortgage Backed Securities
Trust, Ser. 2002-A, Class A2
5.900% 03/25/2032 622,474 624,834
-------------
1,583,954
-------------
ELECTRIC UTILITIES--0.2%
Peco Energy Transition Trust,
Ser. 1999-A, Class A
5.800% 03/01/2007 525,000 557,798
Peco Energy Transition Trust,
Ser. 2001-A, Class A1
6.520% 12/31/2010 500,000 571,961
-------------
1,129,759
-------------
FINANCIAL SERVICES--8.6%
Aames Mortgage Trust,
Ser. 1999-2, Class AV2
# 1.831% 10/15/2029 542,567 541,739
Amortizing Residential Collateral Trust,
Ser. 2002-BC4, Class A
# 1.710% 06/25/2004 2,300,726 2,293,875
Asset Securitization Corporation,
Ser. 1997-D4, Class A1C
7.420% 04/14/2029 500,000 544,688
Asset Securitization Corporation,
Ser. 1997-D5, Class A1C
6.750% 02/14/2043 260,000 288,414
Bank of America Mortgage Securities,
Ser. 2001-C, Class A6
# 6.190% 07/25/2031 376,503 382,634
Bank of America Mortgage Securities,
Ser. 2002-K, Class 2A1
5.796% 10/20/2032 2,176,234 2,195,483
Bayview Financial Acquisition Trust,
Ser. 2000-A, Class A
+# 1.800% 02/25/2030 446,015 445,875
Bear Stearns Commercial Mortgage
Securities, Ser. 1999-C1, Class A2
6.020% 02/14/2031 750,000 830,848
CDC Mortgage Capital Trust,
Ser. 2002-HE2, Class A
# 1.710% 01/25/2033 934,281 931,720
Chase Funding Mortgage Loan
Asset-Backed, Ser. 2002-1, Class 1A3
5.039% 12/25/2023 1,000,000 1,043,969
CIT Equipment Collateral Trust,
Ser. 2002-VT1, Class A3
4.030% 01/20/2006 2,800,000 2,876,056
</Table>
120
<Page>
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
ASSET BACKED SECURITIES--(CONTINUED)
- ----------------------------------------------------------------------------------
CIT Equipment Collateral,
Ser. 2001-A, Class A4
4.840% 09/20/2012 $ 400,000 $ 419,268
Citibank Credit Card Master Trust I,
Ser. 1999-7, Class B
6.900% 11/15/2006 1,000,000 1,084,256
Countrywide Home Loans, Inc.,
Ser. 2002-1, Class 5A1
# 5.933% 03/19/2032 1,126,041 1,142,645
Countrywide Home Loans, Inc.,
Ser. 2002-HYB2, Class 6A1
# 5.006% 09/19/2032 1,968,877 1,994,821
Credit Suisse First Boston
Mortgage Securities Corporation,
Ser. 1997-C1, Class A1C
7.240% 06/20/2029 834,000 943,239
Credit Suisse First Boston
Mortgage Securities Corporation,
Ser. 2000-HE1, Class A2
# 1.680% 12/15/2030 338,669 339,074
Credit Suisse First Boston
Mortgage Securities Corporation,
Ser. 2001-1, Class A
7.500% 02/25/2031 168,042 175,518
Credit-Based Asset Servicing
and Securitization Company,
Ser. 2002-CB1, Class A2A
# 1.760% 08/25/2029 1,382,541 1,383,215
Credit-Based Asset Servicing
and Securitization Company,
Ser. 2002-CB3, Class A
# 1.740% 06/25/2032 1,127,111 1,125,040
Cross Country Master Credit
Card Trust, Ser. 1999-1, Class A
+# 1.920% 06/15/2006 750,000 752,297
Green Tree Home Equity
Loan Trust, Ser. 1999-C, Class A4
7.180% 07/15/2030 1,046,755 1,064,821
GSR Mortgage Loan Trust,
Ser. 2001-1, Class A2
5.575% 10/25/2031 1,460,657 1,481,105
Merrill Lynch Mortgage Investors,
Inc., Ser.1997-C2, Class A2
6.540% 12/10/2029 500,000 560,497
MLCC Mortgage Investors, Inc.,
Ser. 1999-A, Class A
# 1.800% 03/15/2025 495,413 495,166
Morgan Stanley Dean Witter
Capital Corporation,
Ser. 2001-Top 1, Class A3
6.460% 02/15/2033 740,000 829,151
Morgan Stanley Dean Witter
Capital Corporation,
Ser. 2001-Top 3, Class A3
6.200% 07/15/2033 660,000 734,921
Morgan Stanley Dean Witter
Capital I, Inc., Ser. 2001-HE1, Class A2
# 1.750% 07/25/2032 1,095,655 1,093,153
Morgan Stanley Dean Witter
Capital I, Inc., Ser. 2001-Top 5, Class A2
5.900% 10/15/2035 750,000 823,810
Navistar Financial Corporation
Owner Trust, Ser. 2002-A, Class A4
4.760% 04/15/2009 750,000 794,537
PNC Mortgage Securities
Corporation, Ser. 1998-10, Class 1A8
6.500% 12/25/2028 $ 165,699 $ 167,365
Residential Asset Securities
Corporation, Ser. 2001-KS1,
Class AI3
4.988% 02/25/2027 1,000,000 1,038,591
Salomon Brothers Mortgage
Securities VII, Ser. 1997-TZH, Class A1
+ 7.150% 03/25/2025 1,947,923 2,102,531
Salomon Brothers Mortgage
Securities VII, Ser. 1999-AQ1, Class A
# 1.740% 04/25/2029 849,212 845,978
Salomon Brothers Mortgage
Securities VII, Ser. 1999-LB1, Class A
# 1.720% 06/25/2029 299,934 298,019
Salomon Brothers Mortgage
Securities VII, Ser. 2000-BOA1, Class A
# 7.607% 08/25/2030 12,260 12,318
Structured Asset Mortgage
Investments, Inc., Ser. 2002-AR1, Class 6A
# 7.198% 03/25/2032 1,264,152 1,367,893
Union Acceptance Corporation,
Ser. 2001-A, Class A4
5.610% 07/09/2007 500,000 529,096
Washington Mutual,
Ser. 2000-3, Class A
# 3.681% 12/25/2040 759,450 769,718
Washington Mutual,
Ser. 2002-S4, Class A1
6.500% 10/19/2029 833,241 853,023
Washington Mutual,
Ser.1999-WM1, Class M1
# 6.532% 10/19/2039 1,327,039 1,346,890
-------------
38,943,257
-------------
TOTAL ASSET BACKED SECURITIES
(Cost $48,297,223) 49,301,640
-------------
- ----------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT--0.1%
- ----------------------------------------------------------------------------------
BANKING--0.1%
Deutsche Bank AG - NY
1.300% 01/16/2003 330,000 330,000
Rabobank Nederland
2.505% 03/28/2003 250,000 250,786
-------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $580,684) 580,786
-------------
- ----------------------------------------------------------------------------------
COMMERCIAL PAPER--4.8%
- ----------------------------------------------------------------------------------
AUTOMOTIVE--0.1%
BMW US Capital Corporation
1.350% 01/09/2003 150,000 149,955
Toyota Motor Credit Corporation
1.320% 01/16/2003 350,000 349,807
-------------
499,762
-------------
BANKING--1.5%
Barclays US Funding Corporation
1.330% 02/25/2003 350,000 349,289
Danske Corporation
1.325% 03/05/2003 400,000 399,073
Danske Corporation
1.310% 03/12/2003 2,000,000 1,994,906
Lloyds Bank PLC
1.305% 03/26/2003 4,000,000 3,987,820
</Table>
121
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
COMMERCIAL PAPER--(CONTINUED)
- ----------------------------------------------------------------------------------
Westdeutsche Landesbank
1.310% 01/28/2003 $ 300,000 $ 299,705
-------------
7,030,793
-------------
DIVERSIFIED--0.1%
General Electric Capital Corporation
1.340% 02/05/2003 300,000 299,609
-------------
FINANCIAL SERVICES--2.7%
American Express Credit Corporation
1.310% 01/07/2003 150,000 149,967
HBOS Treasury Services
1.350% 03/05/2003 500,000 498,819
HBOS Treasury Services
1.335% 02/20/2003 700,000 698,702
HBOS Treasury Services
1.330% 03/18/2003 1,800,000 1,794,946
Salomon Smith Barney Holdings, Inc.
1.330% 01/09/2003 350,000 349,897
UBS Finance (Delaware) LLC
1.335% 01/07/2003 300,000 299,933
UBS Finance (Delaware) LLC
1.320% 03/12/2003 7,000,000 6,982,033
Westpac Capital Corporation
1.340% 03/25/2003 1,500,000 1,495,366
-------------
12,269,663
-------------
INSURANCE--0.1%
Marsh & McLennan Companies, Inc.
1.330% 01/23/2003 300,000 299,756
Metlife Funding, Inc.
1.560% 01/10/2003 300,000 299,883
-------------
599,639
-------------
OIL & GAS--0.2%
BP America, Inc.
1.220% 01/02/2003 650,000 649,978
Schlumberger Technology Corporation
1.340% 01/09/2003 300,000 299,911
-------------
949,889
-------------
PHARMACEUTICALS--0.1%
Pfizer, Inc.
1.300% 01/15/2003 300,000 299,848
-------------
TOTAL COMMERCIAL PAPER
(Cost $21,949,203) 21,949,203
-------------
- ----------------------------------------------------------------------------------
CASH EQUIVALENTS--1.2%
- ----------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET FUNDS--0.1%
@ Dreyfus Cash Management Plus Fund
1.358% 01/02/2003 88,970 88,970
@ Merrimac Cash Fund-Premium Class
1.422% 01/02/2003 293,600 293,600
-------------
382,570
-------------
BANK & CERTIFICATE DEPOSITS/OFFSHORE
TIME DEPOSITS--0.2%
@ Bank of Montreal
1.320% 01/30/2003 172,242 172,242
@ BNP Paribas
1.320% 02/07/2003 418,158 418,158
@ Royal Bank of Scotland PLC
1.780% 01/21/2003 106,764 106,764
@ Royal Bank of Scotland PLC
1.330% 01/15/2003 $ 53,382 $ 53,382
-------------
750,546
-------------
FLOATING RATE INSTRUMENTS/MASTER
NOTES--0.9%
@ Canadian Imperial Bank of Commerce
1.225% 05/19/2003 222,424 222,424
@ Comerica Bank
1.400% 11/19/2003 88,970 88,970
@ Credit Suisse First Boston Corporation
1.353% 01/02/2003 889,698 889,698
@ Falcon Asset Securitization Corp.
1.353% 02/03/2003 88,970 88,970
@ Galaxy Funding
1.353% 02/07/2003 62,279 62,279
@ Goldman Sachs Group Inc.
1.433% 01/03/2003 266,909 266,909
@ Goldman Sachs Group Inc.
1.410% 02/03/2003 177,940 177,940
@ Goldman Sachs Group Inc.
1.320% 03/21/2003 222,424 222,424
@ Honda Motor Company Ltd.
1.414% 04/08/2003 400,364 400,364
@ Jupiter Securitzation Corp.
1.323% 01/17/2003 222,424 222,424
@ Merrill Lynch & Company
1.340% 04/16/2003 44,485 44,485
@ Merrill Lynch & Company
1.325% 11/26/2003 88,970 88,970
@ Morgan Stanley Dean Witter & Company
1.383% 05/07/2003 222,424 222,424
@ Morgan Stanley Dean Witter & Company
1.363% 03/25/2003 444,849 444,849
@ Morgan Stanley Dean Witter & Company
1.363% 09/26/2003 44,485 44,485
@ National City Corporation
1.245% 01/23/2003 133,455 133,455
@ Parkland (USA) LLC
1.410% 11/26/2003 88,970 88,970
@ Prefco
1.353% 01/24/2003 311,394 311,394
@ Prefco
1.313% 01/06/2003 177,940 177,940
-------------
4,199,374
-------------
TOTAL CASH EQUIVALENTS
(Cost $5,332,490) 5,332,490
-------------
- ----------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.8%
- ----------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 12/31/2002 due 01/02/2003, with a maturity
value of $17,121,026 and an effective yield of
1.00% collateralized by a U.S. Government
Obligation with a rate of 5.63%, maturity date of
01/01/2032 and an aggregate market value
of $17,976,079. 17,120,075 17,120,075
-------------
TOTAL INVESTMENTS^--128.4%
(Cost $572,682,945) 583,548,609
-------------
</Table>
122
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
VANTAGEPOINT INCOME PRESERVATION FUND
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
WRAPPER AGREEMENTS--(4.6%)
- ----------------------------------------------------------------------------------
++American International Group, Inc.
(contractual effective yield of 5.310%) $ (10,410,423)
++Bank of America (contractual
effective yield of 5.310%) (10,410,423)
--------------
TOTAL WRAPPER AGREEMENTS (20,820,846)
--------------
Other assets less liabilities--(23.8%) (108,044,330)
--------------
NET ASSETS--100.0% $ 454,683,433
==============
</Table>
NOTES TO THE SCHEDULE OF INVESTMENTS:
TBA To Be Announced
** Sinking fund debt security. Portions of the issue are paid off prior to
maturity.
# Rate is subject to change. Rate shown reflects current rate.
+ Securities acquired pursuant to Rule 144A.
* Security has been pledged as collateral for futures contracts.
@ Represents collateral received from securities lending transactions.
++ Wrapper Agreements-Each Wrapper Agreement obligates the wrap provider to
maintain the book value of a portion of the Fund's assets up to a specified
dollar amount, upon the occurrence of certain specified events.
^ Fund has securities on loan. See note 6.
123
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
VANTAGEPOINT US GOVERNMENT SECURITIES FUND
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--56.1%
- ----------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES--MORTGAGE BACKED--56.1%
Federal Home Loan Bank
4.875% 04/16/2004 $ 7,400,000 $ 7,725,496
Federal Home Loan Mortgage Corporation
5.000% 05/15/2004 7,400,000 7,756,895
4.500% 06/15/2003 7,400,000 7,508,669
Federal National Mortgage Association
7.125% 06/15/2010 3,500,000 4,229,859
7.000%
09/01/2030-12/01/2031 6,573,705 6,916,333
6.625%
10/15/2007-11/15/2010 17,250,000 20,199,894
6.500%
09/01/2028-05/01/2029 10,776,562 11,229,264
6.000%
10/01/2017-05/01/2031 19,468,465 20,235,868
5.750% 02/15/2008 8,000,000 8,973,488
5.625% 05/14/2004 7,400,000 7,821,289
5.500% 12/01/2017 2,624,008 2,725,415
4.375%
10/15/2006-09/15/2012 7,500,000 7,735,953
3.125% 11/15/2003 7,400,000 7,518,911
Government National Mortgage Association
6.500%
05/15/2029-09/15/2031 11,154,792 11,719,302
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $127,832,521) 132,296,636
--------------
- ----------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--33.6%
- ----------------------------------------------------------------------------------
U.S. TREASURY BONDS--17.7%
U.S. Treasury Bond
5.000% 08/15/2011 38,150,000 41,845,819
--------------
U.S. TREASURY NOTES--15.9%
U.S. Treasury Note
7.000% 07/15/2006 4,000,000 4,638,908
6.875% 05/15/2006 1,350,000 1,553,661
6.500% 10/15/2006 8,450,000 9,708,264
6.000% 08/15/2009 5,245,000 6,099,773
5.625% 05/15/2008 6,750,000 7,660,197
3.000% 11/30/2003 7,650,000 7,775,215
--------------
37,436,018
--------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $78,009,659) 79,281,837
--------------
- ----------------------------------------------------------------------------------
CASH EQUIVALENTS--10.4%
- ----------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET FUNDS--0.7%
+ Dreyfus Cash Management Plus Fund
1.358% 01/02/2003 409,312 409,312
+ Merrimac Cash Fund--Premium Class
1.422% 01/02/2003 1,350,729 1,350,729
--------------
1,760,041
--------------
BANK & CERTIFICATE DEPOSITS/OFFSHORE
TIME DEPOSITS--1.5%
+ Bank of Montreal
1.320% 01/30/2003 792,417 792,417
+ BNP Paribas
1.320% 02/07/2003 1,923,765 1,923,765
+ Royal Bank of Scotland PLC
1.780% 01/21/2003 491,174 491,174
+ Royal Bank of Scotland PLC
1.330% 01/15/2003 $ 245,587 $ 245,587
--------------
3,452,943
--------------
FLOATING RATE INSTRUMENTS/MASTER NOTES--8.2%
+ Canadian Imperial Bank of Commerce
1.225% 05/19/2003 1,023,279 1,023,279
+ Comerica Bank
1.400% 11/19/2003 409,312 409,312
+ Credit Suisse First Boston Corporation
1.353% 01/02/2003 4,093,118 4,093,118
+ Falcon Asset Securitization Corp.
1.353% 02/03/2003 409,312 409,312
+ Galaxy Funding
1.353% 02/07/2003 286,518 286,518
+ Goldman Sachs Group Inc.
1.433% 01/03/2003 1,227,935 1,227,935
+ Goldman Sachs Group Inc.
1.410% 02/03/2003 818,624 818,624
+ Goldman Sachs Group Inc.
1.320% 03/21/2003 1,023,279 1,023,279
+ Honda Motor Company Ltd.
1.414% 04/08/2003 1,841,903 1,841,903
+ Jupiter Securitzation Corp.
1.323% 01/17/2003 1,023,279 1,023,279
+ Merrill Lynch & Company
1.340% 04/16/2003 204,656 204,656
+ Merrill Lynch & Company
1.325% 11/26/2003 409,312 409,312
+ Morgan Stanley Dean Witter & Company
1.393% 05/07/2003 1,023,279 1,023,279
+ Morgan Stanley Dean Witter & Company
1.363% 03/25/2003 2,046,559 2,046,559
+ Morgan Stanley Dean Witter & Company
1.363% 09/26/2003 204,656 204,656
+ National City Corporation
1.245% 01/23/2003 613,968 613,968
+ Parkland (USA) LLC
1.410% 11/26/2003 409,312 409,312
+ Prefco
1.353% 01/24/2003 1,432,591 1,432,591
+ Prefco
1.313% 01/06/2003 818,624 818,624
--------------
19,319,516
--------------
TOTAL CASH EQUIVALENTS
(Cost $24,532,500) 24,532,500
--------------
- ----------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--5.7%
- ----------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 12/31/2002 due
01/02/2003, with a maturity
value of $13,309,428 and an
effective yield of 1.00%
collateralized by a U.S.
Government Obligation with a
rate of 5.13%, maturity date of
09/01/2029 and an aggregate
market value of $13,974,132. 13,308,689 13,308,689
TOTAL INVESTMENTS^--105.8%
(Cost $243,683,369) 249,419,662
Other assets less liabilities--(5.8%) (13,775,636)
--------------
NET ASSETS--100.0% $ 235,644,026
==============
</Table>
NOTES TO THE SCHEDULE OF INVESTMENTS:
+ Represents collateral received from securities lending transactions.
^ Fund has securities on loan. See note 6.
124
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
VANTAGEPOINT ASSET ALLOCATION FUND
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--70.2%
- --------------------------------------------------------------------------------------
ADVERTISING--0.2%
Interpublic Group, Inc. 21,700 $ 305,536
Omnicom Group 10,600 684,760
* TMP Worldwide, Inc. 6,200 70,122
---------------
1,060,418
---------------
AEROSPACE & DEFENSE--1.1%
Boeing Company 46,692 1,540,369
General Dynamics
Corporation 11,500 912,755
Honeywell International,
Inc. 45,325 1,087,800
Lockheed Martin
Corporation 25,100 1,449,525
Northrop Grumman
Corporation 9,996 969,612
Raytheon Company 22,600 694,950
Rockwell Collins, Inc. 10,400 241,904
Textron, Inc. 7,700 331,023
---------------
7,227,938
---------------
AIRLINES--0.1%
* AMR Corporation 8,700 57,420
Delta Air Lines, Inc. 6,400 77,440
Southwest Airlines, Inc. 43,912 610,377
---------------
745,237
---------------
AUTOMOTIVE--0.7%
Cooper Tire & Rubber
Company 4,200 64,428
Dana Corporation 8,324 97,890
Delphi Corporation 30,335 244,197
Ford Motor Company 100,846 937,868
General Motors
Corporation 31,000 1,142,660
Genuine Parts Company 9,425 290,290
Goodyear Tire & Rubber
Company 9,300 63,333
Harley-Davidson, Inc. 16,800 776,160
ITT Industries, Inc. 4,800 291,312
Johnson Controls, Inc. 4,700 376,799
* Navistar International
Corporation 3,700 89,947
Visteon Corporation 8,204 57,100
---------------
4,431,984
---------------
BANKING--7.8%
Amsouth Bancorp 21,400 410,880
BB&T Corporation 27,400 1,013,526
Bank of America
Corporation 84,616 5,886,735
Bank of New York
Company, Inc. 42,100 1,008,716
Bank One Corporation 65,169 2,381,927
Capital One Financial
Corporation 11,900 353,668
Charter One Financial,
Inc. 13,155 377,943
Citigroup, Inc. 288,348 10,146,966
Comerica, Inc. 9,650 417,266
Fifth Third Bancorp 32,868 1,924,421
First Tennessee National
Corporation 7,000 251,580
Fleet Boston Financial
Corporation 58,187 1,413,944
Golden West Financial
Corporation 9,100 653,471
Household International,
Inc. 26,119 $ 726,369
Huntington Bancshares, Inc. 14,936 279,453
J.P. Morgan Chase &
Company 110,300 2,647,200
KeyCorp 24,400 613,416
MBNA Corporation 72,940 1,387,319
Marshall & Ilsley
Corporation 12,000 328,560
Mellon Financial
Corporation 24,500 639,695
National City Corporation 33,700 920,684
North Fork Bancorporation,
Inc. 9,000 303,660
Northern Trust Corporation 12,800 448,640
PNC Financial Services
Group 16,200 678,780
Regions Financial
Corporation 12,400 413,664
Safeco Corporation 7,600 263,492
Southtrust Corporation 20,000 497,000
State Street Corporation 18,000 702,000
Suntrust Banks, Inc. 16,000 910,720
Synovus Financial
Corporation 17,100 331,740
U.S. Bancorp 106,505 2,260,036
Union Planters Corporation 12,150 341,901
Wachovia Corporation 76,984 2,805,297
Washington Mutual, Inc. 53,714 1,854,744
Wells Fargo & Company 94,860 4,446,088
Zions Bancorporation 5,500 216,419
---------------
50,257,920
---------------
BEVERAGES, FOOD & TOBACCO--4.2%
Adolph Coor Company
ClassB 2,100 128,625
Anheuser Busch Companies,
Inc. 49,400 2,390,960
Archer-Daniels-Midland
Company 35,824 444,218
Brown Forman Corporation
ClassB 3,700 241,832
Campbell Soup Company 23,500 551,545
Coca Cola Company 139,100 6,095,362
Coca Cola Enterprises, Inc. 25,600 556,032
Conagra, Inc. 30,800 770,308
General Mills, Inc. 20,700 971,865
Heinz HJ Company 19,350 636,034
Hershey Foods Corporation 7,900 532,776
Kellogg Company 22,500 771,075
* Kroger Company 44,400 685,980
Pepsi Bottling Group, Inc.
(The) 15,600 400,920
Pepsico, Inc. 97,030 4,096,607
Philip Morris Companies,
Inc. 116,200 4,709,586
R.J. Reynolds Tobacco
Holdings, Inc. 5,000 210,550
Sara Lee Corporation 44,700 1,006,197
Supervalu, Inc. 7,600 125,476
Sysco Corporation 36,900 1,099,251
UST, Inc. 9,800 327,614
WM Wrigley Jr. Company 12,900 707,952
---------------
27,460,765
---------------
BIO-TECHNOLOGY--0.1%
* Chiron Corporation 10,900 409,840
---------------
BUILDING MATERIALS--0.8%
Home Depot, Inc. 132,200 3,167,512
---------------
</Table>
125
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
* Louisiana Pacific Corporation 6,000 $ 48,360
Lowe's Companies, Inc. 43,200 1,620,000
Vulcan Materials Company 5,500 206,250
---------------
5,042,122
---------------
CHEMICALS--1.1%
Air Products & Chemicals,
Inc. 12,500 534,375
Avery-Dennison Corporation 6,400 390,912
BF Goodrich Company 5,800 106,256
Clorox Company 12,700 523,875
Dow Chemicals Company 50,236 1,492,009
Du Pont (E.I.) de Nemours 57,300 2,429,520
Eastman Chemical Company 4,375 160,869
Engelhard Corporation 6,637 148,337
Great Lakes Chemical
Corporation 2,900 69,252
* Hercules, Inc. 6,100 53,680
International Flavors &
Fragrances 5,400 189,540
Praxair, Inc. 8,700 502,599
Rohm & Haas Company 12,075 392,196
Tupperware Corporation 3,200 48,256
---------------
7,041,676
---------------
COMMERCIAL SERVICES--0.7%
* Allied Waste Industries, Inc. 11,900 119,000
* Cendant Corporation 56,000 586,880
Cintas Corporation 9,200 420,900
* Concord EFS, Inc. 28,800 453,312
* Convergys Corporation 9,400 142,410
Deluxe Corporation 3,400 143,140
Equifax, Inc. 8,700 201,318
Fluor Corporation 4,400 123,200
Halliburton Company 23,300 435,943
Monsanto Company 15,549 299,318
Paychex, Inc. 21,450 598,455
* Quintiles Transnational
Corporation 6,600 79,860
* Robert Half International, Inc. 9,500 153,045
RR Donnelley & Sons
Company 6,600 143,682
Ryder System, Inc. 3,300 74,052
Waste Management, Inc. 35,327 809,695
---------------
4,784,210
---------------
COMMUNICATIONS--0.2%
* ADC Telecommunications,
Inc. 43,000 89,870
* Andrew Corporation 4,587 47,154
* Avaya, Inc. 16,168 39,612
* JDS Uniphase Corporation 76,300 188,461
* Network Appliance, Inc. 19,400 194,000
* Nextel Communications, Inc.
ClassA 50,400 582,120
Scientific Atlanta, Inc. 8,400 99,624
* Tellabs, Inc. 22,200 161,394
---------------
1,402,235
---------------
COMPUTER SOFTWARE & PROCESSING--4.2%
Adobe Systems, Inc. 12,800 317,453
Autodesk, Inc. 7,000 100,100
Automatic Data Processing,
Inc. 35,200 1,381,600
* BMC Software, Inc. 13,300 227,563
* Citrix Systems, Inc. 10,200 125,664
Computer Associates
International, Inc. 33,025 $ 445,837
* Compuware Corporation 20,200 96,960
* Electronic Arts, Inc. 7,500 373,275
Electronic Data Systems
Corporation 27,100 499,453
First Data Corporation 42,600 1,508,466
* Fiserv, Inc. 11,000 373,450
* Intuit, Inc. 11,500 539,580
* Mercury Interactive
Corporation 4,400 130,460
* Microsoft Corporation 300,200 15,520,340
* NCR Corporation 5,800 137,692
* Novell, Inc. 19,600 65,464
* NVIDIA Corporation 8,300 95,533
* Oracle Corporation 307,320 3,319,056
* Parametric Technology
Corporation 16,400 41,328
* PeopleSoft, Inc. 17,400 318,420
* Siebel Systems, Inc. 25,300 187,220
* Sun Microsystems, Inc. 180,800 562,288
* Sungard Data Systems, Inc. 15,500 365,180
* Unisys Corporation 17,800 176,220
* Veritas Software
Corporation 21,933 342,593
---------------
27,251,195
---------------
COMPUTERS & INFORMATION--4.6%
* Apple Computer, Inc. 19,600 280,868
* Cisco Systems, Inc. 410,700 5,380,170
* Computer Sciences
Corporation 9,700 334,165
* Comverse Technology, Inc. 11,200 112,224
* Dell Computer
Corporation 145,800 3,898,692
* EMC Corporation 123,200 756,448
* Gateway, Inc. 18,200 57,148
Hewlett-Packard Company 172,096 2,987,587
IMS Health, Inc. 17,500 280,000
Intel Corporation 376,100 5,855,877
International Business
Machines Corporation 94,900 7,354,750
* International Game
Technology 5,000 379,600
* Jabil Circuit, Inc. 10,900 195,328
* Lexmark International
Group, Inc. 7,600 459,800
* Micron Technology, Inc. 33,300 324,342
Pitney Bowes, Inc. 13,200 431,112
* Rational Software
Corporation 11,000 114,290
* Sabre Holdings Corporation 7,930 143,612
Symbol Technologies, Inc. 12,700 104,394
* Yahoo!, Inc. 32,600 533,010
---------------
29,983,417
---------------
CONSTRUCTION--0.1%
Centex Corporation 3,700 185,740
KB Home 2,700 115,695
* McDermott International, Inc. 3,000 13,140
Pulte Corporation 3,100 148,397
---------------
462,972
---------------
CONTAINERS & PACKAGING--0.1%
Ball Corporation 3,400 174,046
Bemis Company 3,000 148,890
* Pactiv Corporation 8,300 181,438
* Sealed Air Corporation 5,065 188,924
---------------
693,298
---------------
</Table>
126
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
COSMETICS & PERSONAL CARE--1.7%
Alberto Culver Company
Class B 3,200 $ 161,280
Avon Products, Inc. 13,000 700,310
Colgate-Palmolive
Company 30,700 1,609,601
Ecolab, Inc. 6,900 341,550
Gillette Company 58,900 1,788,204
Procter & Gamble
Company 73,000 6,273,620
---------------
10,874,565
---------------
DIVERSIFIED--3.0%
3M Company 22,300 2,749,590
General Electric Company 556,900 13,560,515
Loews Corporation 10,900 484,614
Newell Rubbermaid, Inc. 14,560 441,605
PerkinElmer, Inc. 6,900 56,925
Temple Inland, Inc. 3,000 134,430
Tyco International Ltd. 111,549 1,905,257
---------------
19,332,936
---------------
EDUCATION--0.1%
* Apollo Group, Inc. ClassA 9,500 418,000
---------------
ELECTRIC UTILITIES--0.4%
Allegheny Energy, Inc. 6,800 51,408
Dominion Resources, Inc. 15,571 854,848
Exelon Corporation 17,762 937,301
* Mirant Corporation 22,365 42,270
Pinnacle West Capital
Corporation 4,500 153,405
Progress Energy, Inc. 12,500 541,875
TECO Energy, Inc. 8,400 129,948
Xcel Energy, Inc. 19,870 218,570
---------------
2,929,625
---------------
ELECTRICAL EQUIPMENT--0.0%
Cooper Industries Ltd. ClassA 4,800 174,960
---------------
ELECTRONICS--1.5%
* Advanced Micro Devices,
Inc. 19,900 128,554
* Agilent Technologies, Inc. 26,469 475,383
* Altera Corporation 21,000 258,930
* American Power Conversion
Corporation 11,300 171,195
* Analog Devices, Inc. 20,800 496,496
* Applied Micro Circuits
Corporation 15,400 56,826
* Broadcom Corporation
ClassA 15,100 227,406
Emerson Electric Company 23,400 1,189,890
* LSI Logic Corporation 19,900 114,823
Linear Technology
Corporation 17,500 450,100
Maxim Integrated Products,
Inc. 18,500 611,240
Molex, Inc. 10,575 243,648
Motorola, Inc. 124,090 1,073,379
* National Semiconductor
Corporation 9,500 142,595
* Novellus System, Inc. 7,800 219,024
* PMC-Sierra, Inc. 9,600 53,376
* Power-One, Inc. 3,800 21,546
* Qlogic Corporation 5,500 189,805
* Qualcomm, Inc. 42,700 1,553,853
* Sanmina Corporation 30,000 134,700
* Solectron Corporation 47,200 167,560
* Teradyne, Inc. 9,800 $ 127,498
Texas Instruments, Inc. 97,000 1,455,970
* Thomas & Betts
Corporation 3,200 54,080
* Xilinx, Inc. 19,100 393,460
---------------
10,011,337
---------------
ENTERTAINMENT & LEISURE--0.5%
Carnival Corporation 32,500 810,875
* Harrah's Entertainment, Inc. 6,050 239,580
Hasbro, Inc. 9,775 112,901
Mattel, Inc. 23,678 453,434
Walt Disney Company 113,900 1,857,709
---------------
3,474,499
---------------
FINANCIAL SERVICES--3.1%
American Express
Company 74,600 2,637,110
Bear Stearns & Company,
Inc. 5,533 328,660
Charles Schwab
Corporation 75,722 821,584
Countrywide Financial
Corporation 6,600 340,890
Federal Home Loan
Mortgage Corporation 39,600 2,338,380
Federal National Mortgage
Association 55,900 3,596,047
Franklin Resources, Inc. 14,100 480,528
Goldman Sachs Group, Inc.
(The) 26,500 1,804,650
H&R Block, Inc. 10,700 430,140
Lehman Brothers, Inc. 13,600 724,744
Merrill Lynch & Company,
Inc. 48,500 1,840,575
Moody's Corporation 8,700 359,223
Morgan Stanley Dean
Witter & Company 61,530 2,456,278
Paccar, Inc. 6,315 291,311
* Providian Financial
Corporation 16,500 107,085
SLM Corporation 9,000 934,740
Stillwell Financial Inc. 12,300 160,761
T. Rowe Price Group, Inc. 6,700 182,776
Worthington Industries, Inc. 4,975 75,819
---------------
19,911,301
---------------
FOOD RETAILERS--0.1%
Albertson's, Inc. 22,442 499,559
Winn Dixie, Inc. 8,200 125,296
---------------
624,855
---------------
FOREST PRODUCTS & PAPER--0.6%
Boise Cascade Corporation 3,200 80,704
Georgia-Pacific Group 12,538 202,614
International Paper
Company 27,502 961,745
Kimberly-Clark Corporation 29,320 1,391,820
MeadWestvaco Corporation 10,814 267,214
Plum Creek Timber Company,
Inc. 9,500 224,200
Weyerhauser Company 12,400 610,204
---------------
3,738,501
---------------
HEALTH CARE PROVIDERS--0.6%
HCA, Inc. 28,677 1,190,095
Health Management
Associates, Inc. 13,300 238,070
* Healthsouth Corporation 23,100 97,020
* Manor Care, Inc. 6,300 117,243
</Table>
127
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<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
* Quest Diagnostics Inc. 5,400 $ 307,260
* Tenet Healthcare
Corporation 27,150 445,260
UnitedHealth Group, Inc. 17,600 1,469,600
---------------
3,864,548
---------------
HEAVY MACHINERY--1.2%
* American Standard
Companies, Inc. 4,000 284,560
* Applied Materials, Inc. 92,800 1,209,184
Baker Hughes, Inc. 19,280 620,623
Black & Decker Corporation 4,200 180,138
Caterpillar, Inc. 19,100 873,252
Cummins, Inc. 2,300 64,699
Deere & Company 13,500 618,975
Dover Corporation 11,000 320,760
Eaton Corporation 4,200 328,062
Grainger WW, Inc. 5,600 288,680
Ingersoll-Rand Company
ClassA 9,150 393,999
Pall Corporation 6,766 112,857
Parker-Hannifin
Corporation 6,925 319,450
Rockwell International
Corporation 10,400 215,384
Stanley Works 5,200 179,816
United Technologies
Corporation 26,800 1,659,992
---------------
7,670,431
---------------
HOME FURNISHING & APPLIANCES--0.1%
* Corning, Inc. 54,400 180,064
Leggett & Platt, Inc. 10,700 240,108
Maytag Corporation 4,400 125,400
Whirlpool Corporation 3,600 187,992
---------------
733,564
---------------
HOUSEHOLD PRODUCTS--0.3%
Fortune Brands, Inc. 8,100 376,731
Illinois Tool Works, Inc. 16,900 1,096,134
PPG Industries, Inc. 9,124 457,569
Snap-On, Inc. 3,250 91,357
---------------
2,021,791
---------------
INSURANCE--3.7%
ACE Ltd. (Bermuda) 14,500 425,430
AFLAC Corporation 28,900 870,468
Aetna, Inc. 7,837 322,257
Allstate Corporation 38,738 1,432,919
Ambac Financial Group, Inc. 5,750 323,380
American International Group,
Inc 146,390 8,468,661
* Anthem, Inc. 7,900 496,910
Aon Corporation 15,525 293,267
Chubb Corporation 9,660 504,252
Cigna Corporation 8,000 328,960
Cincinnati Financial
Corporation 8,800 330,440
Hartford Financial Services
Group 14,000 636,020
* Humana, Inc. 9,600 96,000
Jefferson Pilot Corporation 8,187 312,007
John Hancock Financial
Services, Inc. 17,200 479,880
Lincoln National
Corporation 10,900 344,222
MBIA, Inc. 8,650 379,389
MGIC Investment
Corporation 5,900 $ 243,670
Marsh & McLennan
Companies, Inc. 30,600 1,414,026
Metlife, Inc. 40,300 1,089,712
Principal Financial Group,
Inc 20,000 602,600
Progressive Corporation 12,000 595,560
Prudential Financial, Inc. 32,500 1,031,550
St. Paul Companies, Inc. 12,204 415,546
Torchmark Corporation 6,700 244,751
* Travelers Property Casualty
Corporation ClassA 8,357 122,430
* Travelers Property Casualty
Corporation ClassB 50,953 746,461
UnumProvident
Corporation 13,118 230,090
* Wellpoint Health Networks 8,000 569,280
XL Capital Ltd. ClassA
(Bermuda) 7,500 579,375
---------------
23,929,513
---------------
LODGING--0.1%
Hilton Hotels Corporation 20,800 264,368
Marriott International
ClassA 13,900 456,893
Starwood Hotels & Resorts
Worldwide, Inc. 10,800 256,392
---------------
977,653
---------------
MEDIA--BROADCASTING & PUBLISHING--2.4%
* American Greetings
Corporation ClassA 3,300 52,140
* AOL Time Warner, Inc. 250,710 3,284,301
* Clear Channel
Communications 34,800 1,297,692
* Comcast Corporation
Special, ClassA 42,080 950,587
* Comcast Corporation,
Class A 86,980 2,050,119
Dow Jones & Company, Inc. 4,600 198,858
Gannett Company, Inc. 14,700 1,055,460
Knight Ridder, Inc. 4,900 309,925
McGraw-Hill Companies, Inc. 11,100 670,884
Meredith Corporation 2,900 119,219
New York Times Company
ClassA 8,200 374,986
Tribune Company 16,467 748,590
* Univision Communications,
Inc 13,500 330,750
* Viacom, Inc. ClassB 98,881 4,030,390
---------------
15,473,901
---------------
MEDICAL EQUIPMENT & SUPPLIES--2.9%
Allergan, Inc. 7,100 409,102
Applied Biosystems Group --
Applera Corporation 12,400 217,496
Bard C.R., Inc. 2,600 150,800
Bausch & Lomb, Inc. 3,406 122,616
Baxter International, Inc. 33,900 949,200
Becton Dickinson &
Company 14,000 429,660
Biomet, Inc. 15,825 453,544
* Boston Scientific
Corporation 23,200 986,464
* Guidant Corporation 16,700 515,195
Johnson & Johnson 166,688 8,952,812
* KLA-Tencor Corporation 10,700 378,459
Medtronics, Inc. 67,700 3,087,120
</Table>
128
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
* St. Jude Medical, Inc. 9,500 $ 377,340
Stryker Corporation 10,700 718,184
* Tektronix, Inc. 5,400 98,226
* Thermo Electron
Corporation 10,600 213,272
* Waters Corporation 7,100 154,638
* Zimmer Holdings, Inc. 10,490 435,545
---------------
18,649,673
---------------
METALS & MINING--0.5%
Alcoa, Inc. 47,260 1,076,583
Allegheny Technologies, Inc. 4,483 27,929
Crane Company 3,325 66,267
Danaher Corporation 8,200 538,740
* Freeport-McMoRan Copper
& Gold, Inc. 8,400 140,952
Masco Corporation 28,300 595,715
Newmont Mining
Corporation 21,668 629,022
Nucor Corporation 4,600 189,980
* Phelps Dodge Corporation 4,828 152,806
United States Steel
Corporation 5,020 65,862
---------------
3,483,856
---------------
OFFICE EQUIPMENT & SUPPLIES--0.0%
* Xerox Corporation 39,500 317,975
---------------
OIL & GAS--4.2%
Amerada Hess Corporation 4,800 264,240
Anadarko Petroleum
Corporation 14,270 683,533
Apache Corporation 8,520 485,555
Ashland, Inc. 4,000 114,120
* BJ Services Company 8,500 274,635
Burlington Resources, Inc. 11,002 469,235
ChevronTexaco Corporation 59,690 3,968,191
ConocoPhillips 37,409 1,810,222
Devon Energy Corporation 8,400 385,560
Dynegy, Inc. ClassA 20,400 24,072
EOG Resources, Inc. 6,300 251,496
El Paso Corporation 30,977 215,600
Exxon Mobil Corporation 379,758 13,268,745
Kerr-McGee Corporation 5,471 242,365
KeySpan Corporation 7,600 267,824
Kinder Morgan, Inc. 6,600 278,982
Marathon Oil Corporation 17,800 378,962
* Nabors Industries Ltd. 7,600 268,052
Nicor, Inc. 2,600 88,478
* Noble Corporation 7,200 253,080
Occidental Petroleum
Corporation 21,490 611,390
Peoples Energy Corporation 2,000 77,300
Rowan Companies, Inc. 5,400 122,580
Schlumberger Ltd. 32,900 1,384,761
Sempra Energy 11,269 266,512
Sunoco, Inc. 4,600 152,628
Transocean, Inc. 18,311 424,815
Unocal Corporation 13,210 403,962
Williams Companies, Inc. 29,600 79,920
---------------
27,516,815
---------------
PHARMACEUTICALS--6.8%
Abbott Laboratories 87,700 3,508,000
AmerisourceBergen
Corporation 5,600 $ 304,136
* Amgen, Inc. 71,844 3,472,939
* Biogen, Inc. 8,200 328,492
Bristol-Myers Squibb
Company 108,200 2,504,830
Cardinal Health, Inc. 25,050 1,482,710
Eli Lilly & Company 62,900 3,994,150
* Forest Laboratories, Inc. 10,200 1,001,844
* Genzyme Corporation 12,200 360,754
* King Pharmaceuticals, Inc. 14,166 243,514
McKesson HBOC, Inc. 16,489 445,698
* MedImmune, Inc. 14,200 385,814
Merck & Company, Inc. 126,000 7,132,860
* Millipore Corporation 2,500 85,000
Pfizer, Inc. 346,300 10,586,391
Pharmacia Corporation 73,566 3,075,059
Schering-Plough
Corporation 81,700 1,813,740
Sigma Aldrich Corporation 4,000 194,800
* Watson Pharmaceutical, Inc. 6,400 180,928
Wyeth 73,800 2,760,120
---------------
43,861,779
---------------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES--0.1%
Eastman Kodak Company 16,000 560,640
---------------
REAL ESTATE--0.2%
Equity Office Properties Trust
REIT 23,800 594,524
Equity Residential Properties
Trust REIT 14,900 366,242
Simon Property Group, Inc.
REIT 9,800 333,886
---------------
1,294,652
---------------
RESTAURANTS--0.4%
Darden Restaurants, Inc. 10,200 208,590
McDonald's Corporation 71,700 1,152,936
* Starbucks Corporation 22,000 448,360
Wendy's International, Inc. 7,000 189,490
* Yum! Brands, Inc. 15,900 385,098
---------------
2,384,474
---------------
RETAILERS--4.2%
* Autozone, Inc. 5,800 409,770
* Bed Bath & Beyond, Inc. 16,700 576,651
* Best Buy Company, Inc. 18,000 434,700
* Big Lots, Inc. 6,400 84,672
CVS Corporation 21,600 539,352
Circuit City Stores 11,900 88,298
* Costco Wholesale
Corporation 25,776 723,275
Dillards, Inc. ClassA 5,100 80,886
Dollar General Corporation 17,940 214,383
* Ebay, Inc. 17,500 1,186,850
Family Dollar Stores, Inc. 9,400 293,374
* Federated Department
Stores 10,500 301,980
Gap, Inc. 49,487 768,038
J.C. Penney Company, Inc. 14,300 329,043
* Kohls Corporation 18,600 1,040,670
Limited Brands, Inc. 29,400 409,542
May Department Stores
Company 16,100 369,978
Nordstrom, Inc. 7,700 146,069
</Table>
129
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
* Office Depot, Inc. 16,600 $ 245,016
RadioShack Corporation 10,400 194,896
* Safeway, Inc. 27,900 651,744
Sears, Roebuck & Company 18,400 440,680
Sherwin Williams Company 9,300 262,725
* Staples, Inc. 25,200 461,160
TJX Companies, Inc. 31,400 612,928
Target Corporation 50,400 1,512,000
Tiffany & Company 8,600 205,626
* Toys 'R' Us, Inc. 10,800 108,000
Walgreen Company 57,000 1,663,830
Wal-Mart Stores, Inc. 249,800 12,617,398
---------------
26,973,534
---------------
TELECOMMUNICATIONS--2.9%
Alltel Corporation 17,700 902,700
AT&T Corporation 43,067 1,124,479
* AT&T Wireless Services,
Inc. 150,376 849,624
BellSouth Corporation 105,000 2,716,350
Centurytel, Inc. 7,700 226,226
* Ciena Corporation 19,300 99,202
* Citizens Communications
Company 14,200 149,810
* Lucent Technologies, Inc. 194,619 245,220
* Qwest Communications
International, Inc. 95,429 477,145
SBC Communications,
Inc. 187,652 5,087,246
Sprint Corporation
(FON Group) 50,900 737,032
* Sprint Corporation
(PCS Group) 56,400 247,032
Verizon Communications 152,971 5,927,626
---------------
18,789,692
---------------
TEXTILES, CLOTHING & FABRICS--0.2%
* Jones Apparel Group, Inc. 6,800 240,992
Liz Claiborne, Inc. 6,000 177,900
Nike, Inc. ClassB 14,800 658,156
* Reebok International Ltd. 3,200 94,080
VF Corporation 6,000 216,300
---------------
1,387,428
---------------
TRANSPORTATION--1.1%
Brunswick Corporation 5,100 101,286
Burlington Northern
Santa Fe 21,156 550,268
CSX Corporation 12,500 353,875
FedEx Corporation 17,040 923,909
Norfolk Southern
Corporation 21,200 423,788
Union Pacific Corporation 13,700 820,219
United Parcel Service,
Inc. ClassB 62,500 3,942,500
---------------
7,115,845
---------------
UTILITIES--1.3%
* AES Corporation 30,700 92,714
Ameren Corporation 7,500 311,775
American Electric Power,
Inc. 18,460 504,512
CMS Energy Corporation 7,600 71,744
* Calpine Corporation 18,100 59,006
CenterPoint Energy, Inc. 17,426 148,121
Cinergy Corporation 9,500 320,340
Consolidated Edison, Inc. 11,500 492,430
Constellation Energy Group 8,900 $ 247,598
DTE Energy Company 8,900 412,960
Duke Energy Corporation 49,024 957,929
* Edison International 17,700 209,745
Entergy Corporation 12,700 578,993
FPL Group, Inc. 10,100 607,313
Firstenergy Corporation 17,073 562,897
NiSource, Inc. 11,202 224,040
* PG&E Corporation 22,600 314,140
PPL Corporation 10,000 346,800
Public Service Enterprise
Group, Inc. 11,300 362,730
Southern Company 38,600 1,095,854
TXU Corporation 15,167 283,320
---------------
8,204,961
---------------
TOTAL COMMON STOCKS
(Cost $533,294,002) 454,958,531
---------------
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- --------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--0.6%
- --------------------------------------------------------------------------------------
BANKING--0.6%
# Associates Manufactured
Housing Corporation
1.650% 07/15/2030 2,495,699 2,472,327
# Washington Mutual Bank FA
1.544% 05/24/2006 1,600,000 1,601,723
---------------
TOTAL CORPORATE OBLIGATIONS
(Cost $4,096,804) 4,074,050
---------------
- --------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--1.9%
- --------------------------------------------------------------------------------------
U.S. TREASURY BILLS--1.9%
U.S. Treasury Bill
** 1.185% 03/13/2003 11,000,000 10,974,292
** 1.110% 03/13/2003 1,000,000 997,811
---------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $11,972,103) 11,972,103
---------------
- --------------------------------------------------------------------------------------
COMMERCIAL PAPER--17.4%
- --------------------------------------------------------------------------------------
BANKING--8.5%
Citicorp
1.340% 01/24/2003 20,000,000 19,982,878
Corporate Receivables Corporation
1.330% 01/27/2003 15,000,000 14,985,592
J.P. Morgan Chase & Company
1.570% 01/13/2003 20,000,000 19,989,533
---------------
54,958,003
---------------
COMPUTERS & INFORMATION--0.3%
International Business Machines
Corporation
1.250% 02/14/2003 2,000,000 1,996,944
---------------
DIVERSIFIED--1.5%
General Electric Capital Corporation
1.350% 01/03/2003 5,000,000 4,999,625
General Electric Capital Corporation
1.250% 01/02/2003 4,490,000 4,489,844
---------------
9,489,469
---------------
FINANCIAL SERVICES--5.6%
Edison Asset Securitization LLC
1.320% 02/24/2003 20,560,000 20,519,291
</Table>
130
<Page>
<Table>
<Caption>
- --------------------------------------------------------------------------------------
COUPON MATURITY
RATE DATE FACE VALUE
- --------------------------------------------------------------------------------------
COMMERCIAL PAPER--(CONTINUED)
- --------------------------------------------------------------------------------------
Eiffel Funding LLC
1.340% 01/27/2003 $ 12,000,000 $ 11,988,387
International Lease Finance
Corporation
1.330% 01/06/2003 2,000,000 1,999,631
PACCAR Financial Corporation
1.300% 02/28/2003 2,000,000 1,995,811
---------------
36,503,120
---------------
OIL & GAS--1.5%
BP America, Inc.
1.280% 02/06/2003 10,000,000 9,987,200
---------------
TOTAL COMMERCIAL PAPER
(Cost $112,934,736) 112,934,736
---------------
- --------------------------------------------------------------------------------------
CASH EQUIVALENTS--4.1%
- --------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET FUNDS--0.3%
+ Dreyfus Cash Management Plus Fund
1.358% 01/02/2003 442,731 442,731
+ Merrimac Cash Fund--Premium Class
1.422% 01/02/2003 1,461,013 1,461,013
---------------
1,903,744
---------------
BANK & CERTIFICATE DEPOSITS/
OFFSHORE TIME DEPOSITS--0.6%
+ Bank of Montreal
1.320% 01/30/2003 857,117 857,117
+ BNP Paribas
1.320% 02/07/2003 2,080,836 2,080,836
+ Royal Bank of Scotland PLC
1.780% 01/21/2003 531,277 531,277
+ Royal Bank of Scotland PLC
1.330% 01/15/2003 265,639 265,639
---------------
3,734,869
---------------
FLOATING RATE INSTRUMENTS/MASTER NOTES--3.2%
+ Canadian Imperial Bank of Commerce
1.225% 05/19/2003 1,106,828 1,106,828
+ Comerica Bank
1.400% 11/19/2003 442,731 442,731
+ Credit Suisse First Boston
Corporation
1.353% 01/02/2003 4,427,312 4,427,312
+ Falcon Asset Securitization Corp.
1.353% 02/03/2003 442,731 442,731
+ Galaxy Funding
1.353% 02/07/2003 309,912 309,912
+ Goldman Sachs Group Inc.
1.433% 01/03/2003 1,328,193 1,328,193
+ Goldman Sachs Group Inc.
1.410% 02/03/2003 885,462 885,462
+ Goldman Sachs Group Inc.
1.320% 03/21/2003 1,106,828 1,106,828
+ Honda Motor Company Ltd.
1.414% 04/08/2003 1,992,290 1,992,290
+ Jupiter Securitzation Corp.
1.323% 01/17/2003 1,106,828 1,106,828
+ Merrill Lynch & Company
1.340% 04/16/2003 221,366 221,366
+ Merrill Lynch & Company
1.325% 11/26/2003 442,731 442,731
+ Morgan Stanley Dean Witter & Company
1.393% 05/07/2003 1,106,828 1,106,828
+ Morgan Stanley Dean Witter & Company
1.363% 03/25/2003 $ 2,213,656 $ 2,213,656
+ Morgan Stanley Dean Witter & Company
1.363% 09/26/2003 221,366 221,366
+ National City Corporation
1.245% 01/23/2003 664,097 664,097
+ Parkland (USA) LLC
1.410% 11/26/2003 442,731 442,731
+ Prefco
1.353% 01/24/2003 1,549,559 1,549,559
+ Prefco
1.313% 01/06/2003 885,462 885,462
---------------
20,896,911
---------------
TOTAL CASH EQUIVALENTS
(Cost $26,535,524) 26,535,524
---------------
TOTAL INVESTMENTS^--94.2%
(Cost $688,833,169) 610,474,944
Other assets less liabilities--5.8% 37,680,996
---------------
NET ASSETS--100.0% $ 648,155,940
===============
</Table>
NOTES TO THE SCHEDULE OF INVESTMENTS:
REIT Real Estate Investment Trust
* Non-income producing security.
# Rate is subject to change. Rate shown reflects current rate.
** Security has been pledged as collateral for futures contracts.
+ Represents collateral received from securities lending transactions.
^ Fund has securities on loan. See Note 6.
See accompanying notes to financial statements.
131
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
VANTAGEPOINT
EQUITY INCOME FUND
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--96.3%
- --------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--2.5%
Boeing Company 67,400 $ 2,223,525
Honeywell International,
Inc. 255,200 6,124,800
Lockheed Martin
Corporation 35,000 2,021,250
Northrop Grumman
Corporation 16,071 1,558,887
Raytheon Company 55,000 1,691,250
Rockwell Collins, Inc. 30,000 697,800
---------------
14,317,512
---------------
AUTOMOTIVE--4.1%
Fiat SpA (Italy) 1,118,500 8,892,075
Ford Motor Company 200,000 1,860,000
General Motors
Corporation 295,000 10,873,700
Genuine Parts Company 42,552 1,310,601
---------------
22,936,376
---------------
BANKING--7.4%
Bank of America
Corporation 30,000 2,087,100
Bank One Corporation 76,200 2,785,110
Citigroup, Inc. 150,069 5,280,928
Fleet Boston Financial
Corporation 312,308 7,589,084
J.P. Morgan Chase &
Company 150,129 3,603,096
KeyCorp 75,000 1,885,500
Mellon Financial
Corporation 48,656 1,270,408
Mercantile Bankshares
Corporation 30,400 1,173,136
PNC Financial Services
Group 71,400 2,991,660
Safeco Corporation 70,000 2,426,900
U.S. Bancorp 50,000 1,061,000
Wachovia Corporation 120,004 4,372,946
Washington Mutual, Inc. 155,645 5,374,422
---------------
41,901,290
---------------
BEVERAGES, FOOD & TOBACCO--4.5%
Brown Forman Corporation
Class B 20,500 1,339,880
Campbell Soup Company 78,712 1,847,371
* Del Monte Foods Company 66,788 514,267
General Mills, Inc. 64,022 3,005,833
Heinz HJ Company 149,549 4,915,676
Hershey Foods Corporation 25,000 1,686,000
Imperial Tobacco Group PLC
(United Kingdom) 144,300 4,834,050
Philip Morris Companies,
Inc. 130,000 5,268,900
UST, Inc. 56,537 1,890,032
---------------
25,302,009
---------------
BUILDING MATERIALS--0.1%
Home Depot, Inc. 25,000 599,000
---------------
CHEMICALS--1.9%
Clorox Company 50,000 2,062,500
Dow Chemicals Company 39,771 1,181,199
Du Pont (E.I.) de Nemours 56,446 2,393,310
Great Lakes Chemical
Corporation 40,500 967,140
* Hercules, Inc. 48,000 422,400
International Flavors &
Fragrances 45,900 $ 1,611,090
Lyondell Chemical
Company 176,100 2,225,904
---------------
10,863,543
---------------
COMMERCIAL SERVICES--4.0%
* D&B 37,500 1,293,375
RR Donnelley & Sons
Company 70,000 1,523,900
Waste Management, Inc. 855,600 19,610,352
---------------
22,427,627
---------------
COMPUTER SOFTWARE & PROCESSING--0.3%
* Microsoft Corporation 35,000 1,809,500
---------------
COMPUTERS & INFORMATION--1.1%
Hewlett-Packard Company 120,450 2,091,012
IMS Health, Inc. 148,300 2,372,800
Pitney Bowes, Inc. 56,000 1,828,960
---------------
6,292,772
---------------
COSMETICS & PERSONAL CARE--0.3%
Gillette Company 50,000 1,518,000
---------------
DIVERSIFIED--1.7%
3M Company 13,090 1,613,997
General Electric Company 100,000 2,435,000
Hanson PLC ADR
(United Kingdom) 130,800 2,901,144
Tyco International Ltd. 171,656 2,931,884
---------------
9,882,025
---------------
ELECTRICAL EQUIPMENT--0.5%
Cooper Industries Ltd.
Class A 75,000 2,733,750
---------------
ELECTRONICS--3.9%
* Agere Systems, Inc.
Class A 125,455 180,655
Emerson Electric Company 99,100 5,039,235
* General Motors
Corporation Class H 1,286,000 13,760,200
Motorola, Inc. 85,000 735,250
Sony Corporation ADR
(Japan) 35,000 1,445,850
Texas Instruments, Inc. 60,000 900,600
---------------
22,061,790
---------------
ENTERTAINMENT & LEISURE--3.5%
Carnival Corporation 74,000 1,846,300
Hasbro, Inc. 110,000 1,270,500
Walt Disney Company 1,029,000 16,782,990
---------------
19,899,790
---------------
FINANCIAL SERVICES--1.2%
American Express Company 50,000 1,767,500
Federal National Mortgage
Association 31,806 2,046,080
Moody's Corporation 30,000 1,238,700
SLM Corporation 18,000 1,869,480
---------------
6,921,760
---------------
FOREST PRODUCTS & PAPER--1.2%
International Paper
Company 150,268 5,254,872
Kimberly-Clark Corporation 27,259 1,293,985
---------------
6,548,857
---------------
HEAVY MACHINERY--1.3%
Baker Hughes, Inc. 57,500 1,850,925
Black & Decker Corporation 40,000 1,715,600
</Table>
132
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Dover Corporation 55,000 $ 1,603,800
Pall Corporation 120,000 2,001,600
---------------
7,171,925
---------------
HOUSEHOLD PRODUCTS--0.8%
Fortune Brands, Inc. 37,765 1,756,450
Illinois Tool Works, Inc. 38,900 2,523,054
---------------
4,279,504
---------------
INSURANCE--8.8%
Allstate Corporation 131,100 4,849,389
American International
Group, Inc. 31,014 1,794,160
Aon Corporation 598,700 11,309,443
Chubb Corporation 33,000 1,722,600
Cigna Corporation 74,300 3,055,216
Fairfax Financial
Holdings Ltd. (Canada) 140,000 10,734,663
Hartford Financial
Services Group 118,400 5,378,912
Lincoln National
Corporation 25,086 792,216
MGIC Investment
Corporation 83,900 3,465,070
UnumProvident
Corporation 105,000 1,841,700
XL Capital Ltd. Class A
(Bermuda) 64,900 5,013,525
---------------
49,956,894
---------------
LODGING--5.4%
Hilton Hotels Corporation 1,299,000 16,510,290
Marriott International
Class A 391,000 12,852,170
Starwood Hotels & Resorts
Worldwide, Inc. 53,000 1,258,220
---------------
30,620,680
---------------
MEDIA--BROADCASTING & PUBLISHING--7.9%
* AOL Time Warner, Inc. 160,000 2,096,000
* Comcast Corporation
Special, Class A 524,000 11,837,160
* Comcast Corporation,
Class A 80,875 1,906,224
Dow Jones &
Company, Inc. 50,000 2,161,500
Hollinger
International, Inc. 1,260,000 12,801,600
Knight Ridder, Inc. 188,000 11,891,000
Reader's Digest
Association 50,000 755,000
* Rogers Communications,
Inc. (Canada) 125,000 1,172,500
---------------
44,620,984
---------------
MEDICAL EQUIPMENT & SUPPLIES--0.2%
Becton Dickinson &
Company 35,000 1,074,150
---------------
METALS & MINING--0.2%
Hubbell, Inc. Class B 30,000 1,054,200
---------------
OFFICE EQUIPMENT & SUPPLIES--0.4%
Ikon Office Solutions, Inc. 239,000 1,708,850
* Xerox Corporation 51,000 410,550
---------------
2,119,400
---------------
OIL & GAS--7.4%
Amerada Hess Corporation 35,000 1,926,750
BP Amoco PLC ADR
(United Kingdom) 202,454 $ 8,229,755
ChevronTexaco
Corporation 148,850 9,895,548
ConocoPhillips 110,500 5,347,095
EnCana Corporation
(Canada) 113,700 3,536,070
Exxon Mobil Corporation 124,760 4,359,114
Occidental Petroleum
Corporation 199,100 5,664,395
Royal Dutch Petroleum
Company NY Shares
(Netherlands) 35,781 1,575,080
Unocal Corporation 50,000 1,529,000
---------------
42,062,807
---------------
PHARMACEUTICALS--4.4%
Abbott Laboratories 60,000 2,400,000
Bristol-Myers Squibb
Company 327,300 7,576,995
Merck & Company, Inc. 80,000 4,528,800
Schering-Plough
Corporation 398,700 8,851,140
Wyeth 43,947 1,643,618
---------------
25,000,553
---------------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES--0.3%
Eastman Kodak Company 47,741 1,672,845
---------------
REAL ESTATE--0.7%
Crescent Real Estate
Equities Company REIT 100,000 1,664,000
Simon Property Group,
Inc. REIT 60,000 2,044,200
---------------
3,708,200
---------------
RESTAURANTS--3.4%
McDonald's Corporation 125,000 2,010,000
Wendy's International, Inc. 149,000 4,033,430
* Yum! Brands, Inc. 555,000 13,442,100
---------------
19,485,530
---------------
RETAILERS--4.4%
Dollar General Corporation 227,800 2,722,210
J.C. Penney Company, Inc. 112,121 2,579,904
May Department Stores
Company 55,765 1,281,480
* Neiman Marcus Group,
Inc 201,500 5,506,995
* Neiman Marcus Group,
Inc. Class A 198,000 6,017,220
Nordstrom, Inc. 60,000 1,138,200
Sears, Roebuck &
Company 168,400 4,033,180
* Toys 'R' Us, Inc. 135,000 1,350,000
---------------
24,629,189
---------------
TELECOMMUNICATIONS--3.0%
Alltel Corporation 30,000 1,530,000
AT&T Corporation 50,000 1,305,500
* Lucent Technologies, Inc. 200,000 252,000
* Qwest Communications
International, Inc. 400,000 2,000,000
SBC Communications, Inc. 159,000 4,310,490
Sprint Corporation
(FON Group) 100,000 1,448,000
Verizon Communications 163,541 6,337,214
---------------
17,183,204
---------------
</Table>
133
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
TRANSPORTATION--5.1%
Burlington Northern Santa
Fe 216,100 $ 5,620,761
FedEx Corporation 340,000 18,434,800
Norfolk Southern
Corporation 84,540 1,689,955
Union Pacific Corporation 50,997 3,053,190
---------------
28,798,706
---------------
UTILITIES--4.4%
CMS Energy Corporation 100,000 944,000
CenterPoint Energy, Inc. 379,800 3,228,300
Cinergy Corporation 169,000 5,698,680
Constellation Energy Group 50,000 1,391,000
Entergy Corporation 120,100 5,475,359
Firstenergy Corporation 41,000 1,351,770
NiSource, Inc. 60,000 1,200,000
Northeast Utilities 353,400 5,361,078
---------------
24,650,187
---------------
TOTAL COMMON STOCKS
(Cost $618,900,081) 544,104,559
---------------
- --------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS--0.0%
- --------------------------------------------------------------------------------------
TELECOMMUNICATIONS--0.0%
* Lucent Technologies, Inc.
(Cost $175,000) 175 87,063
---------------
<Caption>
- --------------------------------------------------------------------------------------
COUPON MATURITY
RATE DATE FACE VALUE
- --------------------------------------------------------------------------------------
COMMERCIAL PAPER--1.1%
- --------------------------------------------------------------------------------------
FINANCIAL SERVICES--0.8%
New York State Power Authority
1.400% 01/21/2003 $ 2,000,000 1,998,444
Tulip Funding Corporation
1.380% 01/17/2003 2,275,000 2,273,605
---------------
4,272,049
---------------
INSURANCE--0.3%
New York Life Capital Corporation
1.310% 01/23/2003 2,000,000 1,998,399
---------------
TOTAL COMMERCIAL PAPER
(Cost $6,270,448) 6,270,448
---------------
- --------------------------------------------------------------------------------------
CASH EQUIVALENTS--12.6%
- --------------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET FUNDS--0.9%
+ Dreyfus Cash Management Plus Fund
1.358% 01/02/2003 1,188,289 1,188,289
+ Merrimac Cash Fund -- Premium Class
1.422% 01/02/2003 3,921,356 3,921,356
---------------
5,109,645
---------------
BANK & CERTIFICATE DEPOSITS/OFFSHORE
TIME DEPOSITS--1.8%
+ Bank of Montreal
1.320% 01/30/2003 2,300,501 2,300,501
+ BNP Paribas
1.320% 02/07/2003 5,584,962 5,584,962
+ Royal Bank of Scotland PLC
1.780% 01/21/2003 1,425,948 1,425,948
+ Royal Bank of Scotland PLC
1.330% 01/15/2003 712,974 712,974
---------------
10,024,385
---------------
FLOATING RATE INSTRUMENTS/MASTER NOTES--9.9%
+ Canadian Imperial Bank of Commerce
1.225% 05/19/2003 2,970,725 $ 2,970,725
+ Comerica Bank
1.400% 11/19/2003 1,188,290 1,188,290
+ Credit Suisse First Boston Corporation
1.353% 01/02/2003 $ 11,882,899 11,882,899
+ Falcon Asset Securitization Corp.
1.353% 02/03/2003 1,188,290 1,188,290
+ Galaxy Funding
1.353% 02/07/2003 831,803 831,803
+ Goldman Sachs Group, Inc.
1.433% 01/03/2003 3,564,870 3,564,870
+ Goldman Sachs Group, Inc.
1.410% 02/03/2003 2,376,580 2,376,580
+ Goldman Sachs Group, Inc.
1.320% 03/21/2003 2,970,725 2,970,725
+ Honda Motor Company Ltd.
1.414% 04/08/2003 5,347,304 5,347,304
+ Jupiter Securitization Corp.
1.323% 01/17/2003 2,970,725 2,970,725
+ Merrill Lynch & Company
1.340% 04/16/2003 594,145 594,145
+ Merrill Lynch & Company
1.325% 11/26/2003 1,188,290 1,188,290
+ Morgan Stanley Dean Witter & Company
1.393% 05/07/2003 2,970,725 2,970,725
+ Morgan Stanley Dean Witter & Company
1.363% 03/25/2003 5,941,449 5,941,449
+ Morgan Stanley Dean Witter & Company
1.363% 09/26/2003 594,145 594,145
+ National City Corporation
1.245% 01/23/2003 1,782,435 1,782,435
+ Parkland (USA) LLC
1.410% 11/26/2003 1,188,290 1,188,290
+ Prefco
1.353% 01/24/2003 4,159,015 4,159,015
+ Prefco
1.313% 01/06/2003 2,376,580 2,376,580
---------------
56,087,285
---------------
TOTAL CASH EQUIVALENTS
(Cost $71,221,315) 71,221,315
---------------
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.5%
- --------------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 12/31/2002 due
01/02/2003, with a maturity
value of $13,761,482 and an
effective yield of 1.00%
collateralized by U.S.
Government Obligations with
rates ranging from 4.50% to
6.26%, maturity dates ranging
from 09/01/2018 to 02/25/2032
and an aggregate market value of
$14,448,960. $ 13,760,717 13,760,717
---------------
TOTAL INVESTMENTS^--112.5%
(Cost $710,327,562) 635,444,102
Other assets less liabilities--(12.5%) (70,398,190)
---------------
NET ASSETS--100.0% $ 565,045,912
===============
</Table>
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
* Non-incomeproducing security.
+ Represents collateral received from securities lending transactions.
^ Fund has securities on loan. See Note 6.
See accompanying notes to financial statements.
134
<Page>
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--96.2%
- ----------------------------------------------------------------------------------
ADVERTISING--0.4%
Interpublic Group, Inc. 42,200 $ 594,176
Omnicom Group 12,000 775,200
* TMP Worldwide, Inc. 63,600 719,316
-------------
2,088,692
-------------
AEROSPACE & DEFENSE--0.0%
Raytheon Company 7,400 227,550
-------------
AIRLINES--0.4%
Southwest Airlines, Inc. 140,300 1,950,170
-------------
AUTOMOTIVE--0.1%
* Navistar International
Corporation 22,800 554,268
-------------
BANKING--11.6%
Bank of America
Corporation 109,400 7,610,958
Bank of New York
Company, Inc. 28,000 670,880
Bank One Corporation 120,700 4,411,585
Citigroup, Inc. 391,112 13,763,231
Comerica, Inc. 36,800 1,591,232
Fifth Third Bancorp 15,350 898,742
Golden West Financial
Corporation 1,700 122,077
Household International,
Inc. 23,000 639,630
J.P. Morgan Chase &
Company 117,000 2,808,000
Mellon Financial
Corporation 70,000 1,827,700
National City Corporation 143,300 3,914,956
Northern Trust Corporation 14,000 490,700
PNC Financial Services
Group 32,900 1,378,510
State Street Corporation 50,000 1,950,000
U.S. Bancorp 50,000 1,061,000
Washington Mutual, Inc. 278,000 9,599,340
Wells Fargo & Company 154,300 7,232,041
-------------
59,970,582
-------------
BEVERAGES, FOOD & TOBACCO--3.2%
Anheuser Busch
Companies, Inc. 18,984 918,826
Campbell Soup Company 55,900 1,311,973
Coca Cola Company 55,000 2,410,100
* Del Monte Foods Company 6,252 48,140
General Mills, Inc. 20,000 939,000
Heinz HJ Company 14,000 460,180
Kellogg Company 52,000 1,782,040
Kraft Foods, Inc. Class A 8,600 334,798
Pepsico, Inc. 115,200 4,863,744
Philip Morris Companies,
Inc. 81,503 3,303,317
-------------
16,372,118
-------------
BUILDING MATERIALS--1.0%
Home Depot, Inc. 86,000 2,060,560
Lowe's Companies, Inc. 78,700 2,951,250
-------------
5,011,810
-------------
CHEMICALS--1.8%
Air Products & Chemicals,
Inc. 35,300 1,509,075
Dow Chemicals Company 62,300 1,850,310
Du Pont (E.I.) de Nemours 125,600 5,325,440
NOVA Chemicals
Corporation (Canada) 24,800 $ 453,840
-------------
9,138,665
-------------
COMMERCIAL SERVICES--1.6%
* Concord EFS, Inc. 143,800 2,263,412
Fluor Corporation 48,100 1,346,800
Monsanto Company 50,806 978,015
Paychex, Inc. 30,000 837,000
* Quintiles Transnational
Corporation 33,400 404,140
* Republic Services, Inc. 82,400 1,728,752
* Robert Half International,
Inc. 42,300 681,453
-------------
8,239,572
-------------
COMPUTER SOFTWARE & PROCESSING--3.7%
Adobe Systems, Inc. 30,000 744,030
Automatic Data Processing,
Inc. 40,000 1,570,000
* Cadence Design Systems,
Inc. 39,100 460,989
* CheckFree Corporation 63,500 1,016,064
First Data Corporation 88,000 3,116,080
* Fiserv, Inc. 20,000 679,000
* Macromedia, Inc. 22,900 243,885
* Microsoft Corporation 183,400 9,481,780
* Oracle Corporation 65,000 702,000
* Veritas Software
Corporation 72,400 1,130,888
-------------
19,144,716
-------------
COMPUTERS & INFORMATION--4.3%
* Cisco Systems, Inc. 439,000 5,750,900
* Dell Computer Corporation 70,000 1,871,800
Hewlett-Packard Company 144,373 2,506,315
Intel Corporation 336,400 5,237,748
International Business
Machines Corporation 29,300 2,270,750
* Lexmark International
Group, Inc. 20,000 1,210,000
* Micron Technology, Inc. 159,100 1,549,634
* Sabre Holdings
Corporation 34,100 617,551
* Seagate Technology
(Cayman Islands) 11,500 123,395
Thomson Corporation
(Canada) 9,300 248,589
* Verisign, Inc. 108,500 870,170
-------------
22,256,852
-------------
COSMETICS & PERSONAL CARE--0.8%
Avon Products, Inc. 7,500 404,025
Colgate-Palmolive
Company 22,000 1,153,460
Estee Lauder Companies
Class A 25,200 665,280
Procter & Gamble
Company 22,000 1,890,680
-------------
4,113,445
-------------
DIVERSIFIED--2.6%
3M Company 7,000 863,100
* Berkshire Hathaway, Inc.
Class A 38 2,764,500
General Electric Company 286,600 6,978,710
Tyco International Ltd. 176,700 3,018,036
-------------
13,624,346
-------------
</Table>
135
<Page>
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
EDUCATION--0.2%
* Apollo Group, Inc. Class A 20,000 $ 880,000
-------------
ELECTRIC UTILITIES--1.6%
Dominion Resources, Inc. 31,750 1,743,075
Exelon Corporation 74,400 3,926,088
Pinnacle West Capital
Corporation 10,900 371,581
Progress Energy, Inc. 53,900 2,336,565
-------------
8,377,309
-------------
ELECTRONICS--4.9%
* Agere Systems, Inc.
Class A 148,000 213,120
* Agilent Technologies, Inc. 105,614 1,896,827
* Altera Corporation 140,400 1,731,132
* Analog Devices, Inc. 55,000 1,312,850
* Applied Micro Circuits
Corporation 98,600 363,834
* Broadcom Corporation
Class A 20,500 308,730
Emerson Electric Company 60,300 3,066,255
* General Motors
Corporation Class H 50,200 537,140
Linear Technology
Corporation 26,600 684,152
Maxim Integrated Products,
Inc. 82,000 2,709,280
* Novellus System, Inc. 15,400 432,432
* PMC-Sierra, Inc. 66,100 367,516
* Polycom, Inc. 52,500 499,800
* Qualcomm, Inc. 99,000 3,602,610
Sony Corporation ADR
(Japan) 6,000 247,860
* Teradyne, Inc. 285,800 3,718,258
Texas Instruments, Inc. 65,000 975,650
* Xilinx, Inc. 113,800 2,344,280
-------------
25,011,726
-------------
ENTERTAINMENT & LEISURE--0.8%
Carnival Corporation 73,900 1,843,805
Hasbro, Inc. 22,100 255,255
Walt Disney Company 132,200 2,156,182
-------------
4,255,242
-------------
FINANCIAL SERVICES--5.9%
American Express
Company 20,000 707,000
* AmeriCredit Corporation 71,600 554,184
Charles Schwab
Corporation 40,000 434,000
Federal Home Loan
Mortgage Corporation 89,000 5,255,450
Federal National Mortgage
Association 124,800 8,028,384
Franklin Resources, Inc. 10,000 340,800
Goldman Sachs Group,
Inc. (The) 76,600 5,216,460
* Indymac Mortgage
Holdings 34,500 637,905
Legg Mason, Inc. 19,000 922,260
Merrill Lynch & Company,
Inc. 20,000 759,000
Morgan Stanley Dean
Witter & Company 30,000 1,197,600
SLM Corporation 61,800 6,418,548
-------------
30,471,591
-------------
FOREST PRODUCTS & PAPER--1.1%
Bowater, Inc. 22,200 $ 931,290
Kimberly-Clark Corporation 36,600 1,737,402
Weyerhauser Company 56,100 2,760,681
-------------
5,429,373
-------------
HEALTH CARE PROVIDERS--1.3%
HCA, Inc. 30,000 1,245,000
* Lincare Holdings, Inc. 21,600 682,992
UnitedHealth Group, Inc. 55,000 4,592,500
-------------
6,520,492
-------------
HEAVY MACHINERY--4.1%
* American Standard
Companies, Inc. 14,800 1,052,872
* Applied Materials, Inc. 408,900 5,327,967
Baker Hughes, Inc. 125,100 4,026,969
Caterpillar, Inc. 52,300 2,391,156
Dover Corporation 14,600 425,736
Ingersoll-Rand Company
Class A 17,300 744,938
Stanley Works 132,000 4,564,560
United Technologies
Corporation 38,700 2,397,078
-------------
20,931,276
-------------
HOUSEHOLD PRODUCTS--0.6%
Illinois Tool Works, Inc. 45,900 2,977,074
-------------
INSURANCE--5.0%
ACE Ltd. (Bermuda) 76,800 2,253,312
American International
Group, Inc. 68,000 3,933,800
Chubb Corporation 34,100 1,780,020
Cigna Corporation 32,300 1,328,176
Hartford Financial Services
Group 90,400 4,106,872
Marsh & McLennan
Companies, Inc. 59,300 2,740,253
PMI Group, Inc. 29,200 877,168
PartnerRe Ltd. (Bermuda) 15,300 792,846
St. Paul Companies, Inc. 47,300 1,610,565
Stancorp Financial Group,
Inc. 42,000 2,051,700
* Travelers Property Casualty
Corporation Class A 70,000 1,025,500
* Travelers Property Casualty
Corporation Class B 4 59
* WellChoice, Inc. 2,400 57,480
* Wellpoint Health Networks 20,000 1,423,200
XL Capital Ltd. Class A
(Bermuda) 24,300 1,877,175
-------------
25,858,126
-------------
LODGING--0.1%
Starwood Hotels & Resorts
Worldwide, Inc. 21,400 508,036
-------------
MEDIA--BROADCASTING & PUBLISHING--5.8%
* AOL Time Warner, Inc. 534,000 6,995,400
* Cablevision Systems
Corporation 164,081 2,746,716
* Clear Channel
Communications 70,000 2,610,300
* Comcast Corporation
Special Class A 330,400 7,463,736
* Comcast Corporation
Class A 2,200 51,854
* Cox Communications, Inc.
Class A 40,300 1,144,520
</Table>
136
<Page>
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
* Entercom Communications
Corporation 2,300 $ 107,916
Knight Ridder, Inc. 7,300 461,725
* Liberty Media Corporation
Class A 114,088 1,019,947
* Radio One, Inc. 5,600 80,808
* USA Interactive, Inc. 126,200 2,892,504
* Viacom, Inc. Class B 104,800 4,271,648
Vivendi Universal SA ADR
(France) 13,700 220,159
-------------
30,067,233
-------------
MEDICAL EQUIPMENT & SUPPLIES--4.6%
Allergan, Inc. 80,900 4,661,458
Applied Biosystems
Group-Applera
Corporation 92,600 1,624,204
Bard C.R., Inc. 27,200 1,577,600
Baxter International, Inc. 30,000 840,000
Beckman Coulter, Inc. 70,700 2,087,064
Becton Dickinson &
Company 39,000 1,196,910
Biomet, Inc. 20,000 573,200
* Credence Systems
Corporation 20,900 194,997
* Guidant Corporation 42,777 1,319,670
Johnson & Johnson 75,000 4,028,250
* KLA-Tencor Corporation 83,200 2,942,784
Medtronics, Inc. 58,600 2,672,160
-------------
23,718,297
-------------
METALS & MINING--1.6%
Alcoa, Inc. 77,300 1,760,894
Danaher Corporation 50,000 3,285,000
Newmont Mining
Corporation 20,400 592,212
Nucor Corporation 60,700 2,506,910
-------------
8,145,016
-------------
OIL & GAS--8.1%
Ashland, Inc. 85,600 2,442,168
* BJ Services Company 38,000 1,227,780
ChevronTexaco
Corporation 62,900 4,181,592
El Paso Corporation 99,500 692,520
Exxon Mobil Corporation 413,100 14,433,714
Global Santa Fe
Corporation 122,200 2,971,904
* Kinder Morgan
Management LLC 37,571 1,186,868
Kinder Morgan, Inc. 26 1,099
National Fuel Gas
Company 81,600 1,691,568
Royal Dutch Petroleum
Company NY Shares
(Netherlands) 45,900 2,020,518
Schlumberger Ltd. 62,200 2,617,998
Shell Transport & Trading
Company ADR
(United Kingdom) 69,900 2,720,508
* Smith International, Inc. 25,000 815,500
Transocean, Inc. 20,700 480,240
Unocal Corporation 84,800 2,593,184
* Weatherford International
Ltd. 33,900 1,353,627
Williams Companies, Inc. 109,300 295,110
-------------
41,725,898
-------------
PHARMACEUTICALS--8.4%
Abbott Laboratories 46,000 $ 1,840,000
AmerisourceBergen
Corporation 11,000 597,410
* Amgen, Inc. 30,000 1,450,200
AstraZeneca Group
PLC ADR
(United Kingdom) 160,700 5,638,963
Bristol-Myers Squibb
Company 10,000 231,500
Cardinal Health, Inc. 22,000 1,302,180
Eli Lilly & Company 42,300 2,686,050
* Forest Laboratories, Inc. 61,700 6,060,174
* Genentech, Inc. 11,300 374,708
* IDEC Pharmaceuticals
Corporation 19,000 630,230
* MedImmune, Inc. 16,000 434,720
Merck & Company, Inc. 1,000 56,610
* Millennium
Pharmaceuticals, Inc. 23,600 187,384
Pfizer, Inc. 443,400 13,554,738
Pharmacia Corporation 77,490 3,239,082
Schering-Plough
Corporation 111,400 2,473,080
Wyeth 75,000 2,805,000
-------------
43,562,029
-------------
REAL ESTATE--0.2%
Archstone-Smith Trust REIT 40,800 960,432
-------------
RESTAURANTS--0.4%
McDonald's Corporation 114,800 1,845,984
-------------
RETAILERS--3.4%
* Amazon.com, Inc. 35,000 661,150
* AutoNation, Inc. 155,100 1,948,056
* Best Buy Company, Inc. 22,000 531,300
CVS Corporation 87,600 2,187,372
Dollar General Corporation 41,900 500,705
* Ebay, Inc. 28,900 1,959,998
Family Dollar Stores, Inc. 26,300 820,823
* Kohls Corporation 20,000 1,119,000
May Department Stores
Company 23,500 540,030
RadioShack Corporation 25,500 477,870
Target Corporation 55,000 1,650,000
Walgreen Company 20,000 583,800
Wal-Mart Stores, Inc. 81,000 4,091,310
* Williams-Sonoma, Inc. 26,200 711,330
-------------
17,782,744
-------------
TELECOMMUNICATIONS--5.4%
* Amdocs Ltd. 41,700 409,494
AT&T Corporation 132,280 3,453,831
BellSouth Corporation 140,700 3,639,909
Nokia Corporation ADR
(Finland) 70,000 1,085,000
SBC Communications, Inc. 268,100 7,268,191
Sprint Corporation
(FON Group) 287,500 4,163,000
* Sprint Corporation
(PCS Group) 482,700 2,114,226
Verizon Communications 96,100 3,723,875
Vodafone Group PLC ADR
(United Kingdom) 115,000 2,083,800
-------------
27,941,326
-------------
TEXTILES, CLOTHING & FABRICS--0.4%
Nike, Inc. Class B 49,700 2,210,159
-------------
</Table>
137
<Page>
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
TRANSPORTATION--0.3%
Canadian National Railway
Company (Canada) 7,000 $ 290,920
United Parcel Service, Inc.
Class B 20,000 1,261,600
-------------
1,552,520
-------------
UTILITIES--0.5%
* AES Corporation 206,800 624,536
Duke Energy Corporation 26,400 515,856
NiSource, Inc. 22,400 448,000
Scana Corporation 26,300 814,248
-------------
2,402,640
-------------
TOTAL COMMON STOCKS
(Cost $564,953,088) 495,827,309
-------------
- ----------------------------------------------------------------------------------
PREFERRED STOCKS--0.1%
- ----------------------------------------------------------------------------------
AUTOMOTIVE--0.1%
Ford Capital Trust II,
6.50% Conv Pfd
(Cost $753,348) 14,700 600,495
-------------
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--0.2%
- ----------------------------------------------------------------------------------
RETAILERS--0.1%
Amazon.com, Inc.
4.750% 02/01/2009 $ 1,100,000 812,625
-------------
TELECOMMUNICATIONS--0.1%
Nextel Communications,
Inc.
4.750% 07/01/2007 551,000 462,151
-------------
TOTAL CORPORATE OBLIGATIONS
(Cost $1,128,824) 1,274,776
-------------
- ----------------------------------------------------------------------------------
COMMERCIAL PAPER--1.1%
- ----------------------------------------------------------------------------------
BEVERAGES, FOOD & TOBACCO--0.2%
Coca Cola Company
1.300% 01/17/2003 1,100,000 1,099,365
-------------
FINANCIAL SERVICES--0.9%
Asset Portfolio Funding
Corporation
1.320% 01/23/2003 1,000,000 999,193
CBA Finance, Inc.
1.300% 03/05/2003 502,000 500,858
CDC Commercial Paper
Corporation
1.310% 01/23/2003 2,000,000 1,998,399
Falcon Asset Securitization
Corporation
1.350% 01/23/2003 1,000,000 999,175
-------------
4,497,625
-------------
TOTAL COMMERCIAL PAPER
(Cost $5,596,990) 5,596,990
-------------
- ----------------------------------------------------------------------------------
CASH EQUIVALENTS--7.6%
- ----------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET FUNDS--0.5%
+ Dreyfus Cash Management Plus Fund
1.358% 01/02/2003 $ 654,007 $ 654,007
+ Merrimac Cash Fund--Premium Class
1.422% 01/02/2003 2,158,222 2,158,222
-------------
2,812,229
-------------
BANK & CERTIFICATE DEPOSITS/OFFSHORE
TIME DEPOSITS--1.1%
+ Bank of Montreal
1.320% 01/30/2003 1,266,142 1,266,142
+ BNP Paribas
1.320% 02/07/2003 3,073,832 3,073,832
+ Royal Bank of Scotland PLC
1.780% 01/21/2003 784,808 784,808
+ Royal Bank of Scotland PLC
1.330% 01/15/2003 392,404 392,404
-------------
5,517,186
-------------
FLOATING RATE INSTRUMENTS/MASTER NOTES--6.0%
+ Canadian Imperial Bank of Commerce
1.225% 05/19/2003 1,635,017 1,635,017
+ Comerica Bank
1.400% 11/19/2003 654,007 654,007
+ Credit Suisse First Boston Corporation
1.353% 01/02/2003 6,540,068 6,540,068
+ Falcon Asset Securitization Corp.
1.353% 02/03/2003 654,007 654,007
+ Galaxy Funding
1.353% 02/07/2003 457,805 457,805
+ Goldman Sachs Group, Inc.
1.433% 01/03/2003 1,962,020 1,962,020
+ Goldman Sachs Group, Inc.
1.410% 02/03/2003 1,308,014 1,308,014
+ Goldman Sachs Group, Inc.
1.320% 03/21/2003 1,635,017 1,635,017
+ Honda Motor Company Ltd.
1.414% 04/08/2003 2,943,031 2,943,031
+ Jupiter Securitization Corp.
1.323% 01/17/2003 1,635,017 1,635,017
+ Merrill Lynch & Company
1.340% 04/16/2003 327,003 327,003
+ Merrill Lynch & Company
1.325% 11/26/2003 654,007 654,007
+ Morgan Stanley Dean Witter &
Company
1.393% 05/07/2003 1,635,017 1,635,017
+ Morgan Stanley Dean Witter &
Company
1.363% 03/25/2003 3,270,034 3,270,034
+ Morgan Stanley Dean Witter &
Company
1.363% 09/26/2003 327,003 327,003
+ National City Corporation
1.245% 01/23/2003 981,010 981,010
+ Parkland (USA) LLC
1.410% 11/26/2003 654,007 654,007
+ Prefco
1.353% 01/24/2003 2,289,024 2,289,024
</Table>
138
<Page>
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
CASH EQUIVALENTS (CONTINUED)
- ----------------------------------------------------------------------------------
+ Prefco
1.313% 01/06/2003 $ 1,308,014 $ 1,308,014
-------------
30,869,122
-------------
TOTAL CASH EQUIVALENTS
(Cost $39,198,537) 39,198,537
-------------
- ----------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.0%
- ----------------------------------------------------------------------------------
IBT Repurchase Agreement dated 12/31/2002 due
01/02/2003, with a maturity value of $10,408,612
and an effective yield of 1.00% collateralized
by U.S. Government Obligations with rates
ranging from 3.56% to 5.97%, maturity dates from
08/15/2008 to 08/01/2030 and an aggregate market
value of $10,928,597. $ 10,408,034 10,408,034
-------------
TOTAL INVESTMENTS^--107.2%
(Cost $622,038,821) 552,906,141
Other assets less liabilities--(7.2%) (37,309,546)
-------------
NET ASSETS--100.0% $ 515,596,595
=============
</Table>
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
* Non-income producing security.
+ Represents collateral received from securities lending transactions.
^ Fund has securities on loan. See Note 6.
See accompanying notes to financial statements.
139
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
VANTAGEPOINT GROWTH FUND
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--97.4%
- ----------------------------------------------------------------------------------
ADVERTISING--0.3%
* DST Systems, Inc. 125,200 $ 4,450,860
Interpublic Group, Inc. 3,563 50,167
Omnicom Group 30,508 1,970,817
* TMP Worldwide, Inc. 19,042 215,365
-------------
6,687,209
-------------
AEROSPACE & DEFENSE--0.4%
Boeing Company 7,568 249,668
General Dynamics
Corporation 1,819 144,374
Honeywell International,
Inc. 7,423 178,152
Lockheed Martin
Corporation 114,512 6,613,068
Northrop Grumman
Corporation 1,646 159,662
Raytheon Company 3,685 113,314
Rockwell Collins, Inc. 1,451 33,750
Textron, Inc. 1,266 54,425
* United Defense Industries,
Inc. 6,200 144,460
-------------
7,690,873
-------------
AIRLINES--0.1%
* AMR Corporation 1,211 7,993
* Alaska Air Group, Inc. 7,000 151,550
Delta Air Lines, Inc. 969 11,725
Southwest Airlines, Inc. 108,146 1,503,229
-------------
1,674,497
-------------
APPAREL RETAILERS--0.0%
* Urban Outfitters, Inc. 15,900 374,763
-------------
AUTOMOTIVE--1.4%
* Carmax, Inc. 9,600 171,648
Coachmen Industries, Inc. 72,900 1,151,820
Cooper Tire & Rubber
Company 567 8,698
Dana Corporation 1,117 13,136
Delphi Corporation 5,188 41,763
Ford Motor Company 16,596 154,343
General Motors
Corporation 5,062 186,585
Genuine Parts Company 78,212 2,408,930
Goodyear Tire & Rubber
Company 1,238 8,431
Harley-Davidson, Inc. 97,744 4,515,773
ITT Industries, Inc. 847 51,404
Johnson Controls, Inc. 814 65,258
* Monaco Coach Corporation 40,900 676,895
* Navistar International
Corporation 432 10,502
Thor Industries, Inc. 327,680 11,282,022
Visteon Corporation 1,021 7,106
Winnebago Industries,
Inc. 193,500 7,591,005
-------------
28,345,319
-------------
BANKING--4.5%
Amsouth Bancorp 3,261 62,611
BB&T Corporation 4,331 160,204
Bank of America
Corporation 13,433 934,534
Bank of New York
Company, Inc. 6,570 157,417
Bank One Corporation 10,476 382,898
Capital One Financial
Corporation 2,037 $ 60,540
Charter One Financial,
Inc. 2,077 59,672
Citigroup, Inc. 429,801 15,124,697
Comerica, Inc. 1,599 69,141
CPB, Inc. 400 10,980
Fifth Third Bancorp 134,303 7,863,441
First Tennessee National
Corporation 1,166 41,906
Fleet Boston Financial
Corporation 9,466 230,024
Golden West Financial
Corporation 1,395 100,175
Household International,
Inc. 4,296 119,472
Huntington Bancshares,
Inc. 1,886 35,287
J.P. Morgan Chase &
Company 17,952 430,848
KeyCorp 3,866 97,191
MBNA Corporation 11,527 219,244
Marshall & Ilsley
Corporation 2,010 55,034
Mellon Financial
Corporation 3,918 102,299
National City Corporation 5,537 151,271
North Fork
Bancorporation, Inc. 1,491 50,306
Northern Trust
Corporation 29,621 1,038,216
PNC Financial Services
Group 2,580 108,102
Regions Financial
Corporation 2,026 67,587
Safeco Corporation 1,112 38,553
Southtrust Corporation 3,167 78,700
State Street Corporation 172,644 6,733,116
Suntrust Banks, Inc. 2,568 146,171
Synovus Financial
Corporation 80,463 1,560,982
U.S. Bancorp 17,235 365,727
Union Planters
Corporation 1,827 51,412
Wachovia Corporation 12,230 445,661
Washington Mutual, Inc. 8,525 294,368
Wells Fargo & Company 1,168,493 54,767,267
Zions Bancorporation 730 28,725
-------------
92,243,779
-------------
BEVERAGES, FOOD & TOBACCO--5 4%
Adolph Coor Company
Class B 283 17,334
Anheuser Busch
Companies, Inc. 955,400 46,241,360
Archer-Daniels-Midland
Company 5,915 73,346
Brown Forman
Corporation Class B 71,535 4,675,528
Campbell Soup Company 3,735 87,660
Coca Cola Company 22,249 974,951
Coca Cola Enterprises,
Inc. 4,095 88,943
Conagra, Inc. 4,870 121,799
* Constellation Brands, Inc. 126,000 2,987,460
* Del Monte Foods
Company 194,226 1,495,540
Fresh Del Monte Produce,
Inc. (Cayman Islands) 20,300 383,873
</Table>
140
<Page>
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
General Mills, Inc. 3,328 $ 156,250
Heinz HJ Company 438,090 14,400,018
Hershey Foods Corporation 1,242 83,760
Kellogg Company 3,701 126,833
Kraft Foods, Inc. Class A 179,300 6,980,149
* Kroger Company 7,025 108,536
McCormick & Company, Inc. 7,600 176,320
Pepsi Bottling Group, Inc.
(The) 2,570 66,049
Pepsico, Inc. 693,011 29,258,924
Philip Morris Companies,
Inc. 18,572 752,723
Pilgrims Pride Corporation,
Class B 400 3,280
R.J. Reynolds Tobacco
Holdings, Inc. 668 28,129
Riviana Foods, Inc. 200 5,404
Sara Lee Corporation 7,053 158,763
Supervalu, Inc. 1,065 17,583
Sysco Corporation 5,935 176,804
Tootsie Roll Industries, Inc. 14,400 441,792
UST, Inc. 1,351 45,164
WM Wrigley Jr. Company 14,546 798,284
-------------
110,932,559
-------------
BIO-TECHNOLOGY--0.0%
* Chiron Corporation 1,724 64,822
-------------
BUILDING MATERIALS--3.0%
Fastenal Company 329,100 12,305,049
Florida Rock Industries 3,400 129,370
Home Depot, Inc. 954,303 22,865,100
* Ingram Micro, Inc. 26,000 321,100
* Louisiana Pacific
Corporation 757 6,101
Lowe's Companies, Inc. 690,533 25,894,987
* Trex Company, Inc. 3,900 137,670
Vulcan Materials Company 785 29,437
-------------
61,688,814
-------------
CHEMICALS--0.5%
Air Products & Chemicals,
Inc. 2,070 88,493
Avery-Dennison
Corporation 116,609 7,122,478
BF Goodrich Company 833 15,261
* Cabot Microelectronics
Corporation 29,900 1,411,280
Clorox Company 2,007 82,789
Dow Chemicals Company 15,815 469,706
Du Pont (E.I.) de Nemours 8,937 378,929
Eastman Chemical
Company 591 21,731
Engelhard Corporation 992 22,171
Great Lakes Chemical
Corporation 378 9,027
* Hercules, Inc. 841 7,401
International Flavors &
Fragrances 7,766 272,587
Praxair, Inc. 1,474 85,153
Rohm & Haas Company 2,027 65,837
Tupperware Corporation 470 7,088
-------------
10,059,931
-------------
COMMERCIAL SERVICES--3.2%
* Allied Waste Industries,
Inc. 1,509 15,090
Angelica Corporation 6,000 123,900
* BISYS Group, Inc. 133,000 $ 2,114,700
* Cendant Corporation 9,425 98,774
Cintas Corporation 342,457 15,667,408
* Concord EFS, Inc. 854,252 13,445,926
* Convergys Corporation 1,380 20,907
Deluxe Corporation 460 19,366
Equifax, Inc. 162,837 3,768,048
Fluor Corporation 639 17,892
G&K Services, Inc. 7,400 261,967
Halliburton Company 3,990 74,653
* Hewitt Associates, Inc.,
Class A 2,000 63,380
* Hotels.com Class A 14,800 808,524
John H. Harland Company 113,500 2,511,755
Landauer, Inc. 16,400 569,900
Monsanto Company 2,419 46,566
Moore Corporation, Ltd.
(Canada) 5,600 50,664
Paychex, Inc. 631,073 17,606,937
* Quintiles Transnational
Corporation 890 10,769
* Republic Services, Inc. 15,700 329,386
* Right Management
Consultants, Inc. 2,150 28,488
* Robert Half International,
Inc. 462,227 7,446,477
Rollins, Inc. 1,600 40,720
RR Donnelley & Sons
Company 837 18,221
Ryder System, Inc. 479 10,749
* Startek, Inc. 600 16,560
UniFirst Corporation 3,600 72,720
Waste Management, Inc. 5,518 126,473
-------------
65,386,920
-------------
COMMUNICATIONS--0.7%
* ADC Telecommunications,
Inc. 81,584 170,511
* Advanced Fibre
Communications, Inc. 18,800 313,584
* Andrew Corporation 1,001,303 10,293,395
* Avaya, Inc. 2,816 6,899
* JDS Uniphase Corporation 10,494 25,920
* Network Appliance, Inc. 2,601 26,010
* Nextel Communications,
Inc. Class A 83,451 963,859
* Plantronics, Inc. 144,500 2,186,285
Scientific Atlanta, Inc. 1,200 14,232
* Tellabs, Inc. 3,194 23,220
-------------
14,023,915
-------------
COMPUTER SOFTWARE & PROCESSING--9.1%
* Acxiom Corporation 27,600 424,488
Adobe Systems, Inc. 23,775 589,644
Autodesk, Inc. 896 12,813
Automatic Data Processing,
Inc. 685,604 26,909,957
* BMC Software, Inc. 32,426 554,809
* Cadence Design Systems,
Inc. 546,200 6,439,698
* Cerner Corporation 128,200 4,007,532
* ChoicePoint, Inc. 25,800 1,018,842
* Citrix Systems, Inc. 1,352 16,657
* Cognizant Technology
Solutions Corporation 7,800 563,394
Computer Associates
International, Inc. 225,647 3,046,235
* Compuware Corporation 2,897 13,906
* Electronic Arts, Inc. 97,894 4,872,184
</Table>
141
<Page>
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
Electronic Data Systems
Corporation 4,350 $ 80,171
First Data Corporation 818,581 28,985,953
* Fiserv, Inc. 678,157 23,023,430
* Intuit, Inc. 159,870 7,501,100
Jack Henry & Associates,
Inc. 123,600 1,488,144
* Mentor Graphics
Corporation 207,100 1,627,806
* Mercury Interactive
Corporation 668 19,806
* Microsoft Corporation 1,194,223 61,741,329
* NCR Corporation 796 18,897
* Novell, Inc. 2,834 9,466
* NVIDIA Corporation 1,206 13,881
* Oracle Corporation 48,130 519,804
* Parametric Technology
Corporation 2,014 5,075
* PeopleSoft, Inc. 2,880 52,704
* RSA Security, Inc. 7,800 46,722
* RealNetworks, Inc. 358,400 1,365,504
* Siebel Systems, Inc. 3,665 27,121
* Sun Microsystems, Inc. 28,358 88,193
* Sungard Data Systems,
Inc. 220,399 5,192,600
* Symantec Corporation 113,000 4,577,630
* Unisys Corporation 2,507 24,819
* Veritas Software
Corporation 227,476 3,553,175
* WatchGuard Technologies,
Inc. 1,500 9,572
-------------
188,443,061
-------------
COMPUTERS & INFORMATION--8.6%
* Apple Computer, Inc. 3,319 47,561
* Cisco Systems, Inc. 2,259,057 29,593,647
* Computer Sciences
Corporation 1,581 54,465
* Comverse Technology,
Inc. 24,726 247,755
* Dell Computer
Corporation 659,162 17,625,992
Diebold, Inc. 8,500 350,370
* EMC Corporation 1,266,654 7,777,256
* Emulex Corporation 934,100 17,327,555
* Foundry Networks, Inc. 42,700 300,608
* Gateway, Inc. 2,447 7,684
Hewlett-Packard
Company 27,426 476,115
IMS Health, Inc. 515,411 8,246,576
Intel Corporation 1,775,756 27,648,521
International Business
Machines Corporation 575,964 44,637,210
* International Game
Technology 177,696 13,490,680
* Jabil Circuit, Inc. 239,318 4,288,579
* Juniper Networks, Inc. 7,800 53,040
* Lexmark International
Group, Inc. 1,152 69,696
* Micron Technology, Inc. 272,063 2,649,894
* Paxar Corporation 41,300 609,175
Pitney Bowes, Inc. 2,164 70,676
* Rational Software
Corporation 1,464 15,211
* Sabre Holdings
Corporation 1,074 19,450
Symbol Technologies, Inc. 1,744 $ 14,336
* Yahoo!, Inc. 106,283 1,737,727
-------------
177,359,779
-------------
CONSTRUCTION--0.2%
Centex Corporation 500 25,100
* Clayton Homes, Inc. 269,100 3,277,638
* Dycom Industries, Inc. 11,100 147,075
KB Home 384 16,454
* McDermott International,
Inc. 445 1,949
Pulte Corporation 441 21,111
-------------
3,489,327
-------------
CONTAINERS & PACKAGING--0.1%
Ball Corporation 470 24,059
Bemis Company 407 20,199
* Crown Cork & Seal
Company, Inc. 129,900 1,032,705
* Packaging Corporation of
America 18,400 335,616
* Pactiv Corporation 57,849 1,264,579
* Sealed Air Corporation 634 23,648
-------------
2,700,806
-------------
COSMETICS & PERSONAL CARE--2.0%
Alberto Culver Company
Class B 480 24,192
Avon Products, Inc. 2,135 115,012
Colgate-Palmolive
Company 4,851 254,338
Ecolab, Inc. 1,191 58,955
Gillette Company 9,502 288,481
Procter & Gamble
Company 474,860 40,809,468
-------------
41,550,446
-------------
DIVERSIFIED--2.8%
3M Company 3,509 432,660
General Electric
Company 1,867,531 45,474,380
Hillenbrand Industries,
Inc. 186,500 9,009,815
Loews Corporation 1,696 75,404
Nacco Industries, Inc.
Class A 1,100 48,147
Newell Rubbermaid, Inc. 65,743 1,993,985
PerkinElmer, Inc. 966 7,970
Temple Inland, Inc. 436 19,537
Tyco International Ltd. 57,175 976,549
-------------
58,038,447
-------------
EDUCATION--0.2%
* Apollo Group, Inc. Class A 1,596 70,224
* DeVry, Inc. 272,700 4,529,547
* University of Phoenix
Online 3,900 139,776
-------------
4,739,547
-------------
ELECTRIC UTILITIES--0.0%
Allegheny Energy, Inc. 958 7,242
Dominion Resources, Inc. 2,780 152,622
Exelon Corporation 2,922 154,194
* Mirant Corporation 3,131 5,918
Pinnacle West Capital
Corporation 663 22,602
Progress Energy, Inc. 2,156 93,463
</Table>
142
<Page>
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
TECO Energy, Inc. 1,374 $ 21,256
Xcel Energy, Inc. 3,097 34,067
-------------
491,364
-------------
ELECTRICAL EQUIPMENT--0.0%
Cooper Industries Ltd.
Class A 25,525 930,386
-------------
ELECTRONICS--3.3%
* ASM Lithography
Holdings NV
(Netherlands) 94,500 790,020
* Advanced Micro Devices,
Inc. 2,630 16,990
* Agilent Technologies, Inc. 4,262 76,546
* Altera Corporation 190,147 2,344,513
* American Power
Conversion Corporation 1,522 23,058
* Analog Devices, Inc. 276,936 6,610,462
* Applied Micro Circuits
Corporation 2,297 8,476
* Broadcom Corporation
Class A 2,563 38,599
* Celestica, Inc. (Canada) 222,420 3,136,122
* Cree, Inc. 69,000 1,128,150
Emerson Electric
Company 3,802 193,332
* Flextronics International
Ltd. (Singapore) 266,200 2,180,178
* FLIR Systems, Inc. 22,400 1,093,120
* Garmin Ltd.
(Cayman Islands) 16,200 474,660
Harman International
Industries, Inc. 14,200 844,900
* Itron, Inc. 5,900 113,103
* LSI Logic Corporation 2,865 16,531
Linear Technology
Corporation 43,951 1,130,420
Maxim Integrated
Products, Inc. 10,814 357,295
Molex, Inc. 1,530 35,251
Motorola, Inc. 20,781 179,756
* National Semiconductor
Corporation 1,353 20,309
* Novellus System, Inc. 1,160 32,573
* PMC-Sierra, Inc. 1,334 7,417
* Power-One, Inc. 593 3,362
* Qlogic Corporation 1,023,773 35,330,406
* Qualcomm, Inc. 64,574 2,349,848
* RF Micro Devices, Inc. 51,500 377,495
* Sanmina Corporation 4,039 18,135
* Skyworks Solutions, Inc. 3,900 33,618
* Solectron Corporation 6,304 22,379
Taiwan Semiconductor
Manufacturing Company
Ltd. ADR (Taiwan) 39,300 277,065
* Teradyne, Inc. 1,397 18,175
Texas Instruments, Inc. 159,007 2,386,695
* Thomas & Betts
Corporation 471 7,960
* Trimble Navigation
Limited 10,800 134,892
* Varian Semiconductor
Equipment Associates,
Inc. 41,000 974,201
* Vishay Intertechnology,
Inc. 235,900 2,637,362
* Xilinx, Inc. 108,590 2,236,954
-------------
67,660,328
-------------
ENTERTAINMENT & LEISURE--1.9%
Carnival Corporation 363,017 $ 9,057,274
* Harrah's Entertainment, Inc. 1,064 42,134
Hasbro, Inc. 1,297 14,980
International Speedway
Corporation Class A 118,935 4,435,086
International Speedway
Corporation Class B 53,500 1,979,500
* Johnson Outdoors, Inc.
Class A 2,500 24,675
Mattel, Inc. 197,495 3,782,029
* Ticketmaster
Online-CitySearch, Inc. 2,000 42,440
Walt Disney Company 1,167,991 19,049,933
-------------
38,428,051
-------------
FINANCIAL SERVICES--9.6%
A.G. Edwards, Inc. 362,000 11,931,520
American Express
Company 11,819 417,802
Bank of Hawaii
Corporation 210,500 6,397,095
Bear Stearns & Company,
Inc. 886 52,628
* Champion Enterprises,
Inc. 452,300 1,289,055
Charles Schwab
Corporation 2,649,825 28,750,601
Countrywide Financial
Corporation 1,161 59,966
Federal Home Loan
Mortgage Corporation 6,259 369,594
Federal National
Mortgage Association 721,339 46,403,738
Franklin Resources, Inc. 2,372 80,838
Goldman Sachs Group,
Inc. (The) 894,300 60,901,830
H&R Block, Inc. 1,656 66,571
Investors Financial
Services Corporation 218,700 5,990,193
Legg Mason, Inc. 112,000 5,436,480
Lehman Brothers, Inc. 2,155 114,840
Merrill Lynch & Company,
Inc. 262,584 9,965,063
Moody's Corporation 1,389 57,352
Morgan Stanley
Dean Witter & Company 9,765 389,819
* Net.B@nk, Inc. 67,600 654,368
Paccar, Inc. 33,371 1,539,381
* Providian Financial
Corporation 2,184 14,174
SEI Investment Company 112,240 3,050,683
SLM Corporation 53,490 5,555,471
Stillwell Financial Inc. 1,696 22,167
T. Rowe Price Group, Inc. 274,779 7,495,971
Worthington Industries,
Inc. 700 10,668
-------------
197,017,868
-------------
FOOD RETAILERS--0.0%
Albertson's, Inc. 3,464 77,109
Winn Dixie, Inc. 1,124 17,175
-------------
94,284
-------------
FOREST PRODUCTS & PAPER--0.1%
Boise Cascade Corporation 465 11,727
Bowater, Inc. 12,900 541,155
Georgia-Pacific Group 2,029 32,789
International Paper
Company 4,341 151,805
</Table>
143
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<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
Kimberly-Clark
Corporation 4,640 $ 220,261
MeadWestvaco
Corporation 7,469 184,559
Plum Creek Timber
Company, Inc. 1,719 40,568
Schweitzer-Mauduit
International, Inc. 20,200 494,900
* Smurfit-Stone Container
Corporation 54,400 837,270
Weyerhauser Company 1,992 98,026
-------------
2,613,060
-------------
HEALTH CARE PROVIDERS--1.7%
* Community Health
Systems, Inc. 3,700 76,183
* Coventry Health Care, Inc. 33,800 981,214
* Express Scripts, Inc.
Class A 77,600 3,727,904
HCA, Inc. 154,034 6,392,411
Health Management
Associates, Inc. 571,973 10,238,317
* Healthsouth Corporation 3,006 12,625
* Lincare Holdings, Inc. 2,500 79,050
* Manor Care, Inc. 738 13,734
* Quest Diagnostics Inc. 70,002 3,983,114
* Tenet Healthcare
Corporation 4,466 73,242
* Triad Hospitals, Inc. 22,700 677,141
UnitedHealth Group, Inc. 99,246 8,287,041
-------------
34,541,976
-------------
HEAVY MACHINERY--1.2%
* AGCO Corporation 40,200 888,420
* American Standard
Companies, Inc. 670 47,664
* Applied Materials, Inc. 364,375 4,747,806
Baker Hughes, Inc. 3,053 98,276
Black & Decker Corporation 623 26,720
Caterpillar, Inc. 3,117 142,509
Cummins, Inc. 339 9,536
Deere & Company 2,170 99,495
Dover Corporation 1,864 54,354
Eaton Corporation 565 44,132
Grainger WW, Inc. 848 43,714
* Hydril Company 1,400 32,998
Ingersoll-Rand Company
Class A 1,551 66,786
Lindsay Manufacturing
Company 23,900 511,460
Pall Corporation 930 15,512
Parker-Hannifin Corporation 945 43,593
Rockwell International
Corporation 1,442 29,864
Stanley Works 494,598 17,103,199
Thomas Industries, Inc. 300 7,818
United Technologies
Corporation 4,268 264,360
-------------
24,278,216
-------------
HOME FURNISHINGS & APPLIANCES--0.2%
* Corning, Inc. 9,058 29,982
Ethan Allen Interiors, Inc. 42,000 1,443,540
* Furniture Brands
International, Inc. 118,100 2,816,685
La-Z-Boy, Inc. 1,200 28,776
Leggett & Platt, Inc. 1,809 40,594
Maytag Corporation 590 16,815
Skyline Corporation 6,000 $ 177,000
Steelcase, Inc. Class A 4,300 47,128
Whirlpool Corporation 639 33,369
-------------
4,633,889
-------------
HOUSEHOLD PRODUCTS--0.5%
Fortune Brands, Inc. 1,369 63,672
* Gentex Corporation 10,900 344,822
Illinois Tool Works, Inc. 159,469 10,343,159
* Owens-Illinois, Inc. 36,900 538,002
PPG Industries, Inc. 1,548 77,632
Snap-On, Inc. 443 12,453
-------------
11,379,740
-------------
INSURANCE--4.0%
ACE Ltd. (Bermuda) 2,404 70,533
AFLAC Corporation 4,674 140,781
Aetna, Inc. 1,385 56,951
Allstate Corporation 6,338 234,443
Ambac Financial
Group, Inc. 976 54,890
American International
Group, Inc. 1,331,902 77,050,531
* Anthem, Inc. 34,189 2,150,488
Aon Corporation 2,854 53,912
Chubb Corporation 1,561 81,484
Cigna Corporation 1,283 52,757
Cincinnati Financial
Corporation 1,486 55,799
Hartford Financial
Services Group 2,319 105,352
* Humana, Inc. 94,713 947,130
Jefferson Pilot
Corporation 1,325 50,496
John Hancock Financial
Services, Inc. 2,634 73,489
Lincoln National
Corporation 1,633 51,570
MBIA, Inc. 1,333 58,465
MGIC Investment
Corporation 776 32,049
Marsh & McLennan
Companies, Inc. 4,844 223,841
Metlife, Inc. 6,329 171,136
Principal Financial
Group, Inc. 3,067 92,409
Progressive Corporation 1,981 98,317
Prudential Financial, Inc. 5,120 162,509
St. Paul Companies, Inc. 2,073 70,586
Torchmark Corporation 915 33,425
* Travelers Property Casualty
Corporation Class B 9,092 133,198
UnumProvident Corporation 2,248 39,430
* Wellpoint Health Networks 1,354 96,351
XL Capital Ltd. Class A
(Bermuda) 1,236 95,481
-------------
82,537,803
-------------
LODGING--0.1%
* Aztar Corporation 66,300 946,764
Hilton Hotels Corporation 3,488 44,332
Marriott International
Class A 2,176 71,525
Starwood Hotels &
Resorts Worldwide, Inc. 1,849 43,895
-------------
1,106,516
-------------
</Table>
144
<Page>
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
MEDIA--BROADCASTING & PUBLISHING--3.1%
* American Greetings
Corporation Class A 519 $ 8,200
* AOL Time Warner, Inc. 71,274 933,689
* Cablevision Systems
Corporation 112,100 1,876,554
* Clear Channel
Communications 21,630 806,583
* Comcast Corporation
Special, Class A 406,400 9,180,576
* Comcast Corporation,
Class A 20,745 488,960
* Cox Communications, Inc.
Class A 69,300 1,968,120
Dow Jones & Company,
Inc. 773 33,417
E.W. Scripps Company
(The) 19,000 1,462,050
Gannett Company, Inc. 568,116 40,790,729
Knight Ridder, Inc. 652 41,239
* Liberty Media Corporation
Class A 226,300 2,023,122
McGraw-Hill Companies,
Inc. 1,761 106,435
Media General, Inc.
Class A 4,400 263,780
Meredith Corporation 40,819 1,678,069
New York Times Company
Class A 1,390 63,565
Tribune Company 2,764 125,651
* USA Interactive, Inc. 21,052 482,512
* Univision Communications,
Inc. 2,111 51,720
* Viacom, Inc. Class B 34,917 1,423,217
Wiley John & Sons, Inc.
Class A 12,100 290,521
-------------
64,098,709
-------------
MEDICAL EQUIPMENT & SUPPLIES--7.0%
* Advanced Neuromodulation
Systems, Inc. 7,400 259,740
Allergan, Inc. 9,585 552,288
Analogic Corporation 700 35,202
Applied Biosystems
Group-Applera
Corporation 1,632 28,625
Bard C.R., Inc. 55,423 3,214,534
Bausch & Lomb, Inc. 447 16,092
Baxter International, Inc. 5,369 150,332
Becton Dickinson &
Company 2,348 72,060
Biomet, Inc. 92,379 2,647,582
* Biosite, Inc. 5,800 197,316
* Boston Scientific
Corporation 588,789 25,035,308
* CTI Molecular
Imaging, Inc. 8,300 204,678
* CUNO, Inc. 2,400 79,488
Fresenius Medical Care
AG ADR (Germany) 13,500 185,895
* Guidant Corporation 2,788 86,010
Johnson & Johnson 453,347 24,349,267
* KLA-Tencor Corporation 18,631 658,978
* Lifecore Biomedical, Inc. 5,800 49,764
Medtronics, Inc. 1,420,065 64,754,964
Mentor Corporation 15,700 604,450
* PolyMedica Corporation 7,500 $ 231,300
* St. Jude Medical, Inc. 81,028 3,218,432
Stryker Corporation 107,696 7,228,556
* Tektronix, Inc. 726 13,206
* Thermo Electron
Corporation 1,262 25,391
* Varian Medical
Systems, Inc. 87,800 4,354,880
* Waters Corporation 1,039 22,629
* Zimmer Holdings, Inc. 159,021 6,602,552
* Zoll Medical Corporation 5,800 206,886
-------------
145,086,405
-------------
METALS & MINING--0.2%
Alcoa, Inc. 11,430 260,375
Allegheny Technologies,
Inc. 647 4,031
Crane Company 430 8,570
Danaher Corporation 1,388 91,192
* Freeport-McMoRan Copper
& Gold, Inc. 15,092 253,244
* Inco Ltd. (Canada) 18,100 384,082
JSC Mining and
Metallurgical Company
Norilsk Nickel ADR
(Russia) 57,800 1,168,728
Masco Corporation 48,379 1,018,378
Newmont Mining
Corporation 3,649 105,930
Nucor Corporation 624 25,771
* Phelps Dodge Corporation 10,986 347,707
United States Steel
Corporation 788 10,339
-------------
3,678,347
-------------
OFFICE EQUIPMENT & SUPPLIES--0.1%
Wallace Computer
Services, Inc. 28,500 613,035
* Xerox Corporation 162,171 1,305,477
-------------
1,918,512
-------------
OIL & GAS--2.2%
Amerada Hess Corporation 826 45,471
Anadarko Petroleum
Corporation 2,258 108,158
Apache Corporation 1,315 74,942
Ashland, Inc. 509 14,522
* BJ Services Company 1,449 46,817
Burlington Resources, Inc. 1,839 78,433
* Cal Dive International, Inc. 133,400 3,134,900
ChevronTexaco Corporation 9,594 637,809
ConocoPhillips 6,096 294,985
Devon Energy Corporation 1,435 65,867
Diamond Offshore
Drilling, Inc. 11,900 260,015
Dynegy, Inc. Class A 2,826 3,335
EOG Resources, Inc. 1,072 42,794
El Paso Corporation 5,576 38,809
Ensco International, Inc. 402,600 11,856,570
Exxon Mobil Corporation 60,340 2,108,280
Global Santa Fe
Corporation 135,632 3,298,570
Kerr-McGee Corporation 808 35,794
KeySpan Corporation 1,140 40,174
Kinder Morgan, Inc. 978 41,340
Marathon Oil Corporation 2,866 61,017
* Nabors Industries Ltd. 5,538 195,325
* Newfield Exploration
Company 20,300 731,815
</Table>
145
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<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
Nicor, Inc. 311 $ 10,583
* Noble Corporation 1,240 43,586
Occidental Petroleum
Corporation 3,430 97,584
Peoples Energy
Corporation 248 9,585
Rowan Companies, Inc. 712 16,162
Schlumberger Ltd. 5,238 220,467
Sempra Energy 1,598 37,793
* Smith International, Inc. 443,100 14,453,922
Sunoco, Inc. 581 19,278
Transocean, Inc. 2,922 67,790
Unocal Corporation 2,359 72,138
Williams Companies, Inc. 3,982 10,751
YUKOS ADR (Russia) 43,700 6,158,619
-------------
44,434,000
-------------
PHARMACEUTICALS--5.2%
Abbott Laboratories 14,042 561,680
AmerisourceBergen
Corporation 123,276 6,695,120
* Amgen, Inc. 468,763 22,660,003
* Biogen, Inc. 85,972 3,444,038
Bristol-Myers Squibb
Company 17,420 403,273
Cardinal Health, Inc. 261,140 15,456,877
* Charles River Laboratories
International, Inc. 101,000 3,886,480
* CIMA Labs, Inc. 1,500 36,287
Eli Lilly & Company 10,090 640,715
* Forest Laboratories, Inc. 13,237 1,300,138
* Genzyme Corporation 1,971 58,282
* Gilead Sciences, Inc. 2,900 98,600
* King Pharmaceuticals, Inc. 1,911 32,850
McKesson HBOC, Inc. 2,664 72,008
* MedImmune, Inc. 2,302 62,545
Merck & Company, Inc. 24,049 1,361,414
* Millipore Corporation 357 12,138
Mylan Laboratories, Inc. 3,600 125,640
Omnicare, Inc. 16,200 386,046
Pfizer, Inc. 1,402,819 42,884,177
* Pharmaceutical
Resources, Inc. 69,900 2,083,020
Pharmacia Corporation 11,622 485,800
Schering-Plough
Corporation 13,208 293,218
Sigma Aldrich Corporation 672 32,726
* Watson Pharmaceutical, Inc. 6,741 190,568
Wyeth 81,119 3,033,851
-------------
106,297,494
-------------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES--0.3%
Eastman Kodak Company 178,255 6,246,055
-------------
REAL ESTATE--0.0%
Equity Office Properties
Trust REIT 3,748 93,625
Equity Residential Properties
Trust REIT 2,487 61,130
Simon Property Group,
Inc. REIT 1,725 58,771
-------------
213,526
-------------
RESTAURANTS--1.2%
* California Pizza
Kitchen, Inc. 95,000 2,394,000
* Cheesecake Factory, Inc. 381,300 13,783,995
Darden Restaurants, Inc. 1,299 26,565
* Krispy Kreme
Doughnuts, Inc. 97,900 $ 3,306,083
McDonald's Corporation 11,468 184,405
* O'Charleys, Inc. 6,100 125,233
Outback Steakhouse, Inc. 39,600 1,363,824
* P.F. Chang's China
Bistro, Inc. 83,400 3,027,420
* Quality Dining, Inc. 39,300 114,756
* Starbucks Corporation 3,551 72,369
Wendy's International, Inc. 847 22,928
* Yum! Brands, Inc. 2,709 65,612
-------------
24,487,190
-------------
RETAILERS--9.6%
Advanced Marketing
Services, Inc. 1,900 27,930
* Autozone, Inc. 206,504 14,589,508
* Bed Bath & Beyond, Inc. 157,464 5,437,232
* Best Buy Company, Inc. 2,945 71,122
* Big Lots, Inc. 904 11,960
CVS Corporation 3,582 89,443
* Chico's FAS, Inc. 67,200 1,270,752
Circuit City Stores 1,653 12,265
Claire's Stores, Inc. 89,700 1,979,679
* Costco Wholesale
Corporation 579,137 16,250,584
* Dick's Sporting Goods, Inc. 1,600 30,720
Dillards, Inc. Class A 633 10,039
Dollar General Corporation 2,591 30,962
* Ebay, Inc. 379,188 25,716,530
Esprit Holdings Ltd.
(Hong Kong) 155,500 262,204
Family Dollar Stores, Inc. 181,398 5,661,432
* Federated Department
Stores 1,811 52,084
Gap, Inc. 63,021 978,086
* Guitar Center, Inc. 4,800 79,488
J.C. Penney Company, Inc. 2,467 56,766
* Kenneth Cole
Productions, Inc. Class A 37,300 757,190
* Kohls Corporation 610,048 34,132,186
Limited Brands, Inc. 65,492 912,304
May Department Stores
Company 2,648 60,851
* Michaels Stores, Inc. 17,500 547,750
* Movie Gallery, Inc. 1,800 23,400
Nordstrom, Inc. 238,020 4,515,239
* Office Depot, Inc. 2,408 35,542
Pier 1 Imports, Inc. 3,900 73,827
RadioShack Corporation 1,334 24,999
* Safeway, Inc. 4,016 93,814
* Saks, Inc. 227,330 2,668,854
* SCP Pool Corporation 3,800 110,960
Sears, Roebuck
& Company 2,897 69,383
Sherwin Williams
Company 1,395 39,409
* Stamps.Com, Inc. 31,100 145,237
* Staples, Inc. 142,797 2,613,185
Stride Rite Corporation 263,100 1,886,427
TJX Companies, Inc. 325,909 6,361,744
Target Corporation 8,191 245,730
Tiffany & Company 396,696 9,485,001
* Toys 'R' Us, Inc. 1,670 16,700
Walgreen Company 9,235 269,570
Wal-Mart Stores, Inc. 1,193,884 60,303,081
* Wet Seal, Inc. (The),
Class A 14,300 153,882
-------------
198,165,051
-------------
</Table>
146
<Page>
<Table>
<Caption>
SHARES VALUE
- ----------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- ----------------------------------------------------------------------------------
TELECOMMUNICATIONS--1.9%
Alltel Corporation 2,815 $ 143,565
AT&T Corporation 6,958 181,673
* AT&T Wireless Services,
Inc. 24,514 138,504
BellSouth Corporation 16,710 432,288
Centurytel, Inc. 1,327 38,987
* Ciena Corporation 101,306 520,713
* Citizens Communications
Company 2,196 23,168
* Crown Castle International
Corporation 33,600 126,000
* Lucent Technologies, Inc. 163,588 206,121
Nokia Corporation ADR
(Finland) 1,294,700 20,067,850
* Nortel Networks
Corporation (Canada) 46,400 74,704
* Qwest Communications
International, Inc. 618,878 3,094,390
SBC Communications, Inc. 29,806 808,041
Sprint Corporation
(FON Group) 8,120 117,578
* Sprint Corporation
(PCS Group) 9,275 40,625
* Triton PCS Holdings, Inc.
Class A 13,200 51,876
Verizon Communications 320,153 12,405,929
Vodafone Group PLC ADR
(United Kingdom) 12,100 219,252
-------------
38,691,264
-------------
TELEPHONE SYSTEMS--0.0%
* ADTRAN, Inc. 17,500 575,750
-------------
TEXTILES, CLOTHING & FABRICS--0.5%
* Columbia Sportswear
Company 63,200 2,807,344
* Jones Apparel Group, Inc. 1,198 42,457
K-Swiss, Inc. Class A 41,600 903,136
Liz Claiborne, Inc. 32,678 968,903
* Mohawk Industries, Inc. 29,600 1,685,720
Nike, Inc. Class B 2,411 107,217
OshKosh B'Gosh, Inc.
Class A 11,800 330,990
Puma AG Rudolf Dassler
Sport (Germany) 12,689 865,271
* Quicksilver, Inc. 61,800 1,647,588
* Reebok International Ltd. 37,508 1,102,735
* Tommy Hilfiger
Corporation 18,500 128,575
VF Corporation 863 31,111
Wolverine World Wide,
Inc. 21,900 330,909
-------------
10,951,956
-------------
TRANSPORTATION--0.7%
Alexander & Baldwin, Inc. 121,600 3,136,064
* Arkansas Best Corporation 18,300 475,452
Brunswick Corporation 716 14,220
Burlington Northern
Santa Fe 3,439 89,448
CSX Corporation 1,961 55,516
Dial Corporation 170,600 3,475,122
* Expedia, Inc. 26,800 1,793,729
FedEx Corporation 2,699 146,340
Fleetwood Enterprises, Inc. 279,000 2,190,150
* Heartland Express, Inc. 12,450 285,242
* Landstar System, Inc. 17,300 $ 1,009,628
Norfolk Southern
Corporation 3,558 71,124
Union Pacific Corporation 2,294 137,342
United Parcel Service, Inc.
Class B 10,029 632,629
-------------
13,512,006
-------------
UTILITIES--0.3%
* AES Corporation 4,139 12,500
Ameren Corporation 1,412 58,697
American Electric Power,
Inc. 54,089 1,478,252
CMS Energy Corporation 1,134 10,705
* Calpine Corporation 2,870 9,356
CenterPoint Energy, Inc. 2,388 20,298
Cinergy Corporation 1,552 52,333
Consolidated Edison, Inc. 1,948 83,413
Constellation Energy Group 1,528 42,509
DTE Energy Company 1,533 71,131
Duke Energy Corporation 8,065 157,590
* Edison International 186,086 2,205,119
Entergy Corporation 2,021 92,137
FPL Group, Inc. 1,660 99,816
Firstenergy Corporation 2,711 89,382
* Ionics, Inc. 81,200 1,851,360
NiSource, Inc. 2,258 45,160
* PG&E Corporation 3,733 51,889
PPL Corporation 1,315 45,604
Public Service Enterprise
Group, Inc. 2,039 65,452
Southern Company 6,445 182,974
TXU Corporation 2,967 55,424
-------------
6,781,101
-------------
TOTAL COMMON STOCKS
(Cost $2,221,496,595) 2,006,345,661
-------------
- ----------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS--0.0%
- ----------------------------------------------------------------------------------
MEDIA--BROADCASTING & PUBLISHING--0.0%
* USA Interactive, Inc.
--Series A
(Cost $49,633) 798 37,506
-------------
- ----------------------------------------------------------------------------------
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--0.0%
- ----------------------------------------------------------------------------------
U.S. TREASURY BILLS--0.0%
U.S. Treasury Bill
** 1.150% 03/27/2003
(Cost $199,457) $ 200,000 199,457
-------------
- ----------------------------------------------------------------------------------
CASH EQUIVALENTS--10.1%
- ----------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET FUNDS--0.8%
+ Dreyfus Cash
Management Plus Fund
1.358% 01/02/2003 3,455,102 3,455,102
+ Merrimac Cash Fund
--Premium Class
1.422% 01/02/2003 11,401,835 11,401,835
-------------
14,856,937
-------------
</Table>
147
<Page>
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- ----------------------------------------------------------------------------------
CASH EQUIVALENTS--(CONTINUED)
- ----------------------------------------------------------------------------------
BANK & CERTIFICATE DEPOSITS/OFFSHORE
TIME DEPOSITS--1.4%
+ Bank of Montreal
1.320% 01/30/2003 $ 6,688,998 $ 6,688,998
+ BNP Paribas
1.320% 02/07/2003 16,238,978 16,238,978
+ Royal Bank of Scotland PLC
1.780% 01/21/2003 4,146,122 4,146,122
+ Royal Bank of Scotland PLC
1.330% 01/15/2003 2,073,061 2,073,061
---------------
29,147,159
---------------
FLOATING RATE INSTRUMENTS/MASTER NOTES--7.9%
+ Canadian Imperial Bank of Commerce
1.225% 05/19/2003 8,637,754 8,637,754
+ Comerica Bank
1.400% 11/19/2003 3,455,102 3,455,102
+ Credit Suisse First Boston Corporation
1.353% 01/02/2003 34,551,017 34,551,017
+ Falcon Asset Securitization Corp.
1.353% 02/03/2003 3,455,102 3,455,102
+ Galaxy Funding
1.353% 02/07/2003 2,418,571 2,418,571
+ Goldman Sachs Group Inc.
1.433% 01/03/2003 10,365,305 10,365,305
+ Goldman Sachs Group Inc.
1.410% 02/03/2003 6,910,203 6,910,203
+ Goldman Sachs Group Inc.
1.320% 03/21/2003 8,637,754 8,637,754
+ Honda Motor Company Ltd.
1.414% 04/08/2003 15,547,957 15,547,957
+ Jupiter Securitization Corp.
1.323% 01/17/2003 8,637,754 8,637,754
+ Merrill Lynch & Company
1.340% 04/16/2003 1,727,551 1,727,551
+ Merrill Lynch & Company
1.325% 11/26/2003 3,455,102 3,455,102
+ Morgan Stanley Dean Witter & Company
1.393% 05/07/2003 8,637,754 8,637,754
+ Morgan Stanley Dean Witter & Company
1.363% 03/25/2003 17,275,508 17,275,508
+ Morgan Stanley Dean Witter & Company
1.363% 09/26/2003 1,727,551 1,727,551
+ National City Corporation
1.245% 01/23/2003 5,182,652 5,182,652
+ Parkland (USA) LLC
1.410% 11/26/2003 3,455,102 3,455,102
+ Prefco
1.353% 01/24/2003 12,092,856 12,092,856
+ Prefco
1.313% 01/06/2003 6,910,203 6,910,203
---------------
163,080,798
---------------
TOTAL CASH EQUIVALENTS
(Cost $207,084,894) 207,084,894
---------------
- ----------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.4%
- ----------------------------------------------------------------------------------
IBT Repurchase Agreement dated
12/31/2002, due 01/02/2003,
with a maturity value of
$70,811,219 and an effective
yield of 1.00% collateralized by
U.S. Government Obligations
with rates ranging from 1.82%
to 6.63%, maturity dates ranging
from 12/20/2023 to 04/01/2032
and an aggregate market value
of $74,353,363. $ 70,807,296 $ 70,807,296
---------------
TOTAL INVESTMENTS^--110.9%
(Cost $2,499,637,875) 2,284,474,814
Other assets less liabilities--(10.9%) (223,919,342)
---------------
NET ASSETS--100.0% $ 2,060,555,472
===============
</Table>
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
* Non-income producing security.
** Security has been pledged as collateral for futures contracts.
+ Represents collateral received from securities lending transactions.
^ Fund has securities on loan. See Note 6.
See accompanying notes to financial statements.
148
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
VANTAGEPOINT AGGRESSIVE OPPORTUNITIES FUND
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--96.6%
- --------------------------------------------------------------------------------
ADVERTISING--0.1%
Asatsu-DK, Inc. (Japan) 39,800 $ 705,746
--------------
AEROSPACE & DEFENSE--0.6%
@* Alliant Techsystems, Inc. 20,500 1,278,175
Alvis PLC
(United Kingdom) 292,500 725,956
* Titan Corporation (The) 98,500 1,024,400
UMECO PLC
(United Kingdom) 101,900 447,687
--------------
3,476,218
--------------
APPAREL RETAILERS--0.1%
* Wilsons The Leather
Experts, Inc. 121,500 610,537
--------------
AUTOMOTIVE--2.4%
@* Aftermarket Technology
Corporation 130,500 1,892,250
* American Axle &
Manufacturing Holdings,
Inc. 36,000 843,120
@ Fiat SpA (Italy) 1,065,000 8,654,935
* Group 1 Automotive, Inc. 43,500 1,038,780
@* Lithia Motors, Inc. Class A 73,500 1,153,215
--------------
13,582,300
--------------
BANKING--4.1%
@ Banca Popolare di Milano
SCRL (Italy) 333,600 1,213,870
Bank of Bermuda Ltd.
(Bermuda) 26,900 858,110
Capital One Financial
Corporation 119,500 3,551,540
@ Chugoku Bank Ltd. (The)
(Japan) 239,000 1,437,513
Commerce Bancorp, Inc. 119,000 5,139,610
First Community Bancorp 31,000 1,020,861
* FirstFed Financial
Corporation 22,300 645,585
@ Higo Bank Ltd. (The)
(Japan) 343,000 1,384,005
@ KorAm Bank
(South Korea) 210,960 1,316,222
North Fork
Bancorporation, Inc. 143,000 4,824,820
PFF Bancorp, Inc. 26,200 818,750
* TierOne Corporation 70,500 1,068,780
--------------
23,279,666
--------------
BEVERAGES, FOOD & TOBACCO--1.8%
Bunge Ltd. 40,600 976,836
Fraser & Neave Ltd.
(Singapore) 203,000 912,810
@* Great Atlantic & Pacific
Tea Company 202,500 1,632,150
Kikkoman Corporation
(Japan) 134,000 929,009
@ Kirin Beverage
Corporation (Japan) 91,000 1,422,758
@ Meiji Seika Kaisha Ltd.
(Japan) 612,000 1,799,219
Nong Shim Company Ltd.
(South Korea) 10,600 643,480
Numico NV (Netherlands) 59,300 715,093
Pilgrims Pride
Corporation, Class B 75,900 622,380
Remy Cointreau SA
(France) 20,900 $ 650,899
--------------
10,304,634
--------------
CHEMICALS--0.5%
Croda International PLC
(United Kingdom) 282,500 1,104,744
Fujimi, Inc. (Japan) 55,700 1,013,495
Zeon Corporation (Japan) 173,000 654,338
--------------
2,772,577
--------------
COAL--0.1%
Arch Coal, Inc. 36,000 777,240
--------------
COMMERCIAL SERVICES--11.2%
* Affiliated Computer
Services, Inc. Class A 159,400 8,392,410
@ Autoliv, Inc. SDR (Sweden) 63,660 1,307,284
* BISYS Group, Inc. 225,500 3,585,450
@ Cegedim SA (France) 29,864 1,283,934
Cheil Communications, Inc.
(South Korea) 11,710 919,186
* Clark/Bardes, Inc. 56,000 1,078,000
* Corinthian Colleges, Inc. 102,600 3,884,436
* Corporate Executive
Board Company 70,000 2,234,400
* Genzyme Corporation-
Genzyme Biosurgery
Division 105,800 269,790
GfK AG (Germany) 73,500 963,401
@* Incyte Genomics, Inc. 308,000 1,404,480
Intrum Justitia AB (Sweden) 37,420 174,351
@* Iron Mountain, Inc. 47,500 1,567,975
Massey Energy Company 94,400 917,568
@* Mobile Mini, Inc. 100,000 1,567,000
@ Regis Corporation 60,800 1,580,192
* Ritchie Brothers
Auctioneers, Inc. (Canada) 34,000 1,099,900
RM PLC (United Kingdom) 503,200 715,047
Securicor PLC
(United Kingdom) 769,900 1,050,067
Shanks Group PLC
(United Kingdom) 598,200 991,576
SNT Group NV
(Netherlands) 76,725 978,320
* SureBeam Corporation,
Class A 197,400 797,496
@* TeleTech Holdings, Inc. 166,500 1,208,790
@ Vivendi Universal SA
(France) 798,700 12,889,421
Waste Management, Inc. 530,000 12,147,600
@* Watson Wyatt & Company
Holdings 60,000 1,305,000
--------------
64,313,074
--------------
COMPUTER SOFTWARE & PROCESSING--3.6%
* Activision, Inc. 76,000 1,108,840
* Borland Software
Corporation 71,500 879,450
* BSQUARE Corporation 201,600 254,218
Cegid (France) 7,000 304,619
@ Dassault Systemes SA
(France) 61,900 1,333,221
Fair, Isaac & Company, Inc. 43,400 1,853,180
@ Ines Corporation (Japan) 211,600 1,285,174
* JNI Corporation 197,000 545,690
LogicaCMG PLC
(United Kingdom) 262,800 634,373
</Table>
149
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
* Magma Design
Automation, Inc. 102,800 $ 984,824
@* MSC.Software Corporation 219,900 1,697,628
* NDS Group PLC ADR
(United Kingdom) 88,900 675,640
* Quovadx, Inc. 421,200 1,019,304
* Red Hat, Inc. 107,500 635,325
Sage Group PLC (The)
(United Kingdom) 292,100 625,211
* Symantec Corporation 111,800 4,529,018
* Take-Two Interactive
Software, Inc. 61,000 1,432,890
* THQ, Inc. 61,000 808,250
--------------
20,606,855
--------------
COMPUTERS & INFORMATION--1.0%
* CDW Computer Centers,
Inc. 81,000 3,551,850
* Emulex Corporation 85,000 1,576,750
* Maxtor Corporation 130,200 658,812
--------------
5,787,412
--------------
COSMETICS & PERSONAL CARE--1.2%
@* 1-800 Contacts, Inc. 47,800 1,317,846
Alberto Culver Company
Class B 78,200 3,941,280
@ Clarins SA (France) 33,912 1,511,309
--------------
6,770,435
--------------
DIVERSIFIED--1.2%
Abbot Group PLC
(United Kingdom) 307,300 662,692
* Armor Holdings, Inc. 72,000 991,440
* FEI Company 67,500 1,032,075
* Yankee Candle Company,
Inc. (The) 254,200 4,067,200
--------------
6,753,407
--------------
EDUCATION--0.9%
* Career Education
Corporation 46,000 1,840,000
* Education Management
Corporation 43,000 1,616,800
Strayer Education, Inc. 33,100 1,903,250
--------------
5,360,050
--------------
ELECTRIC UTILITIES--0.4%
@ OGE Energy Corporation 75,000 1,320,000
PNM Resources, Inc. 36,500 869,430
--------------
2,189,430
--------------
ELECTRICAL EQUIPMENT--0.2%
Alpine Electronics, Inc.
(Japan) 75,000 919,260
Munters AB (Sweden) 21,530 478,043
--------------
1,397,303
--------------
ELECTRONICS--4.7%
* Actel Corporation 35,500 575,810
* Adaptec, Inc. 158,000 892,700
* ARM Holdings PLC
(United Kingdom) 874,725 675,725
* AstroPower, Inc. 142,700 1,140,173
EMCORE Corporation 1,970,000 938,212
* General Motors
Corporation Class H 1,242,000 $ 13,289,400
* Intersil Holding
Corporation 204,700 2,853,518
* Qlogic Corporation 41,900 1,445,969
* Rofin-Sinar Technologies,
Inc. 91,300 751,399
* Rudolph Technologies, Inc. 56,500 1,082,540
* Semtech Corporation 238,000 2,603,720
Ultra Electronics Holdings
PLC (United Kingdom) 89,600 647,235
--------------
26,896,401
--------------
ENTERTAINMENT & LEISURE--2.3%
Walt Disney Company 798,000 13,015,380
--------------
FINANCIAL SERVICES--3.3%
* Affiliated Managers Group,
Inc. 62,600 3,148,780
@ American Home Mortgage
Holdings, Inc. 116,500 1,281,500
* Chicago Mercantile
Exchange 4,100 179,006
Instinet Group, Inc. 174,600 738,558
Investors Financial
Services Corporation 63,400 1,736,526
@* Net.B@nk, Inc. 129,300 1,251,624
SEI Investment Company 79,500 2,160,810
TCF Financial Corporation 150,700 6,584,083
Tower Ltd. (New Zealand) 840,000 923,412
**++ TSX Group, Inc. 144A
(Canada) 47,118 614,891
--------------
18,619,190
--------------
FOREST PRODUCTS & PAPER--0.3%
Hokuetsu Paper Mills Ltd.
(Japan) 125,000 619,150
@ Universal Forest Products,
Inc. 54,000 1,151,334
--------------
1,770,484
--------------
HEALTH CARE PROVIDERS--3.8%
@* AmSurg Corporation 62,800 1,283,004
BML, Inc. (Japan) 55,100 1,011,862
* Community Health
Systems, Inc. 236,200 4,863,358
* Express Scripts, Inc.
Class A 109,400 5,255,576
@ Generale De Sante (France) 164,923 1,893,679
* Lincare Holdings, Inc. 172,300 5,448,126
@* MedCath Corporation 131,500 1,315,000
NIC Corporation (Japan) 81,100 935,951
--------------
22,006,556
--------------
HEAVY CONSTRUCTION--0.3%
* Horizon Offshore, Inc. 188,500 938,730
* WCI Communities, Inc. 80,500 821,100
--------------
1,759,830
--------------
HEAVY MACHINERY--1.2%
@ Alfa Laval AB (Sweden) 224,290 1,806,230
* Asyst Technologies, Inc. 130,000 955,500
@ Eiffage SA (France) 17,300 1,292,533
* Terex Corporation 102,500 1,141,850
@ Volker Wessels Stevin NV
CVA (Netherlands) 75,300 1,516,821
--------------
6,712,934
--------------
</Table>
150
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES--1.3%
Ryland Group, Inc. (The) 90,200 $ 3,008,170
Standard-Pacific
Corporation 36,500 903,375
* Toll Brothers, Inc. 170,000 3,434,000
--------------
7,345,545
--------------
INDUSTRIAL--DIVERSIFIED--0.4%
@ Shimano, Inc. (Japan) 106,600 1,616,376
Vossloh AG (Germany) 27,200 683,958
--------------
2,300,334
--------------
INSURANCE--9.6%
Aon Corporation 685,000 12,939,650
Brown & Brown, Inc. 166,600 5,384,512
Fairfax Financial Holdings
Ltd. (Canada) 129,410 9,922,662
Gallagher (Arthur J.) &
Company 181,300 5,326,594
HCC Insurance Holdings,
Inc. 43,000 1,057,800
Kansas City Life Insurance
Company 19,300 731,470
@ Nipponkoa Insurance
Company Ltd. (Japan) 3,398,000 12,795,169
* Platinum Underwriters
Holdings Ltd. (Bermuda) 35,600 938,060
@ PMA Capital Corporation,
Class A 83,500 1,196,555
@ Pohjola Group PLC,
Series D (Finland) 109,300 1,704,282
Radian Group, Inc. 82,600 3,068,590
--------------
55,065,344
--------------
LODGING--3.2%
Hilton Hotels Corporation 1,165,000 14,807,150
Starwood Hotels &
Resorts Worldwide, Inc. 145,000 3,442,300
--------------
18,249,450
--------------
MEDIA--BROADCASTING & PUBLISHING--11.4%
@ Caltagirone Editore SpA
(Italy) 251,550 1,490,333
* Comcast Corporation
Special, Class A 800,000 18,072,000
Eniro AB (Sweden) 132,260 836,862
News Corporation Ltd.
(Australia) 928,000 5,993,117
News Corporation Ltd.
ADR (Australia) 348,000 9,135,000
@ NRJ Group (France) 107,700 1,637,546
@ Shaw Communications,
Inc. Class B (Canada) 1,203,400 12,370,952
@ SKY Perfect
Communications, Inc.
(Japan) 12,400 9,401,061
@ Telefonica Publicidad e
Informacion SA (Spain) 500,400 1,589,921
@ Vivendi Universal SA
ADR (France) 300,300 4,825,821
--------------
65,352,613
--------------
MEDICAL EQUIPMENT & SUPPLIES--2.4%
@* Applera Corporation--
Celera Genomics Group 124,600 1,189,930
@* Bio-Rad Laboratories, Inc.
Class A 37,100 1,435,770
Biosite, Inc. 26,400 $ 898,128
* Conmed Corporation 54,000 1,057,860
* Edwards Lifesciences
Corporation 29,500 751,365
@* PolyMedica Corporation 52,500 1,619,100
@ SRL, Inc. (Japan) 152,000 1,325,242
* St. Jude Medical, Inc. 87,600 3,479,472
* Techne Corporation 77,000 2,199,736
--------------
13,956,603
--------------
METALS & MINING--0.3%
Lihir Gold Ltd. (Australia) 862,000 698,306
* Steel Dynamics, Inc. 83,500 1,004,505
--------------
1,702,811
--------------
OFFICE EQUIPMENT & SUPPLIES--0.3%
@ Societe BIC SA (France) 42,100 1,450,202
--------------
OIL & GAS--3.4%
Australian Pipeline Trust
(Australia) 476,321 712,767
* Cimarex Energy Company 42,109 753,751
Global Santa Fe
Corporation 145,000 3,526,400
Helmerich & Payne, Inc. 30,500 851,255
@ IHC Caland NV
(Netherlands) 30,900 1,629,811
* Key Energy Services, Inc. 442,500 3,969,225
* Nabors Industries Ltd. 113,100 3,989,037
* Nuevo Energy Company 82,900 920,190
Penn Virginia Corporation 24,500 890,575
Peoples Energy
Corporation 22,000 850,300
* Superior Energy Services,
Inc. 85,000 697,000
* Willbros Group, Inc.
(Panama) 77,800 639,516
--------------
19,429,827
--------------
PHARMACEUTICALS--4.3%
@* Abgenix, Inc. 180,500 1,330,285
Actelion Ltd. (Switzerland) 13,980 616,571
AmerisourceBergen
Corporation 53,400 2,900,154
@ Banyu Pharmaceutical
Company, Ltd. (Japan) 208,000 1,951,914
* Biovail Corporation
(Canada) 63,400 1,674,394
* Cephalon, Inc. 34,400 1,674,179
* CV Therapeutics, Inc. 54,500 992,990
* Human Genome Sciences,
Inc. 112,500 991,125
@ Kissei Pharmaceutical
Company Ltd. (Japan) 109,000 1,551,768
* MedImmune, Inc. 69,000 1,874,730
@ Nippon Shinyaku Company
Ltd. (Japan) 380,000 1,997,470
@ Novozymes A/S, Class B
(Denmark) 70,460 1,472,142
* Regeneron
Pharmaceuticals, Inc. 62,000 1,147,620
Santen Pharmaceutical
Company Ltd. (Japan) 102,800 956,040
* Texas Biotechnology
Corporation 305,000 427,000
@ Towa Pharmaceutical
Company Ltd. (Japan) 118,000 1,669,948
@ Viropharma, Inc. 3,000,000 1,256,250
--------------
24,484,580
--------------
</Table>
151
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
REAL ESTATE--1.9%
Arden Realty, Inc. 49,000 $ 1,085,350
Macerich Company (The) 23,000 707,250
MFA Mortgage
Investments, Inc. 122,000 1,024,800
Reckson Associates
Realty Corporation 50,000 1,052,500
Trizec Canada, Inc.
(Canada) 993,000 7,166,977
--------------
11,036,877
--------------
RESTAURANTS--2.2%
* AFC Enterprises, Inc. 51,500 1,082,015
* Brinker International, Inc. 133,200 4,295,700
* Cheesecake Factory, Inc. 133,000 4,807,950
Ruby Tuesday, Inc. 123,900 2,142,231
--------------
12,327,896
--------------
RETAILERS--4.7%
* 99 Cents Only Stores 64,000 1,719,049
* Advance Auto Parts, Inc. 92,700 4,533,030
* Charming Shoppes, Inc. 247,000 1,032,460
David Jones Ltd.
(Australia) 1,134,444 689,288
* Dollar Tree Store, Inc. 241,300 5,928,741
* Duane Reade, Inc. 51,000 867,000
* Electronics Boutique
Holdings Corporation 72,000 1,138,320
* GameStop Corporation 90,000 882,000
@* Guitar Center, Inc. 70,500 1,167,480
* O'Reilly Automotive, Inc. 42,500 1,074,825
Ross Stores, Inc. 112,700 4,777,353
* SCP Pool Corporation 34,500 1,007,400
Shinsegae Company Ltd.
(South Korea) 4,890 616,378
Tsuruha Company Ltd.
(Japan) 55,500 1,072,970
* Tweeter Home
Entertainment Group,
Inc. 117,300 687,378
--------------
27,193,672
--------------
TELECOMMUNICATIONS--3.4%
* Corvis Corporation 1,075,100 763,321
@ Elisa Communications
OYJ, Class A (Finland) 206,950 1,241,286
@ Ericsson SpA (Italy) 65,858 1,381,181
@ Informa Group PLC
(United Kingdom) 568,800 1,556,123
* MRV Communications,
Inc. 303,030 324,242
MobileOne (Asia) Ltd.
(Singapore) 1,150,000 808,795
@ Nippon Telegraph &
Telephone Corporation
(Japan) 3,100 11,255,160
* REMEC, Inc. 279,500 1,084,460
* SeaChange International,
Inc. 119,000 731,850
Vodafone Telecel-
Comunicacoes Pessoai
SA (Portugal) 72,100 559,474
--------------
19,705,892
--------------
TEXTILES, CLOTHING & FABRICS--0.6%
Camaieu (France) 14,651 $ 553,071
* Genesco Inc. 46,000 856,980
Nagaileben Company Ltd.
(Japan) 49,600 1,117,681
* Timberland Company
(The) 22,200 790,542
--------------
3,318,274
--------------
TRANSPORTATION--1.7%
@ Beijing Capital
International Airport
Company Ltd. (China) 7,232,000 1,622,861
Companhia de
Concessoes
Rodoviarias (Brazil) 92,500 193,362
@ Cosco Pacific Ltd.
(Hong Kong) 1,532,000 1,257,312
* Expedia, Inc. 35,600 2,382,715
FirstGroup PLC
(United Kingdom) 301,600 1,143,034
Hutech Norin Company
Ltd. (Japan) 36,700 366,350
* Knight Transportation,
Inc. 51,000 1,071,000
Mitsui-Soko Company
Ltd. (Japan) 294,000 527,524
USFreightways
Corporation 34,000 977,500
--------------
9,541,658
--------------
UTILITIES--0.2%
@ Kelda Group PLC
(United Kingdom) 196,700 1,342,163
--------------
TOTAL COMMON STOCKS
(Cost $584,177,870) 553,271,400
--------------
- --------------------------------------------------------------------------------
PREFERRED STOCKS--0.3%
- --------------------------------------------------------------------------------
HEAVY MACHINERY--0.2%
Jungheinrich AG
(Germany) 79,000 762,121
Krones AG (Germany) 12,500 572,799
--------------
1,334,920
--------------
RETAILERS--0.1%
Hornbach Holding AG
(Germany) 11,000 530,592
--------------
TOTAL PREFERRED STOCKS
(Cost $2,102,286) 1,865,512
--------------
- --------------------------------------------------------------------------------
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- --------------------------------------------------------------------------------
CASH EQUIVALENTS--21.1%
- --------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET FUNDS--1.5%
+ Dreyfus Cash Management Plus Fund
1.358% 01/02/2003 $ 2,010,668 2,010,668
+ Merrimac Cash Fund-Premium Class
1.422% 01/02/2003 6,635,203 6,635,203
--------------
8,645,871
--------------
</Table>
152
<Page>
<Table>
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- --------------------------------------------------------------------------------
CASH EQUIVALENTS--(CONTINUED)
- --------------------------------------------------------------------------------
BANK & CERTIFICATE DEPOSITS/OFFSHORE
TIME DEPOSITS--3.0%
+ Bank of Montreal
1.320% 01/30/2003 $ 3,892,605 $ 3,892,605
+ BNP Paribas
1.320% 02/07/2003 9,450,138 9,450,138
+ Royal Bank of Scotland PLC
1.780% 01/21/2003 2,412,801 2,412,801
+ Royal Bank of Scotland PLC
1.330% 01/15/2003 1,206,401 1,206,401
--------------
16,961,945
--------------
FLOATING RATE INSTRUMENTS/MASTER NOTES--16.6%
+ Canadian Imperial Bank of Commerce
1.225% 05/19/2003 5,026,669 5,026,669
+ Comerica Bank
1.400% 11/19/2003 2,010,668 2,010,668
+ Credit Suisse First Boston Corporation
1.353% 01/02/2003 20,106,676 20,106,676
+ Falcon Asset Securitization Corp.
1.353% 02/03/2003 2,010,668 2,010,668
+ Galaxy Funding
1.353% 02/07/2003 1,407,467 1,407,467
+ Goldman Sachs Group Inc.
1.433% 01/03/2003 6,032,003 6,032,003
+ Goldman Sachs Group Inc.
1.410% 02/03/2003 4,021,335 4,021,335
+ Goldman Sachs Group Inc.
1.320% 03/21/2003 5,026,669 5,026,669
+ Honda Motor Company Ltd.
1.414% 04/08/2003 9,048,004 9,048,004
+ Jupiter Securitzation Corp.
1.323% 01/17/2003 5,026,669 5,026,669
+ Merrill Lynch & Company
1.340% 04/16/2003 1,005,334 1,005,334
+ Merrill Lynch & Company
1.325% 11/26/2003 2,010,668 2,010,668
+ Morgan Stanley Dean Witter & Company
1.393% 05/07/2003 5,026,669 5,026,669
+ Morgan Stanley Dean Witter & Company
1.363% 03/25/2003 10,053,338 10,053,338
+ Morgan Stanley Dean Witter & Company
1.363% 09/26/2003 1,005,334 1,005,334
+ National City Corporation
1.245% 01/23/2003 3,016,001 3,016,001
+ Parkland (USA) LLC
1.410% 11/26/2003 2,010,668 2,010,668
+ Prefco
1.353% 01/24/2003 7,037,337 7,037,337
+ Prefco
1.313% 01/06/2003 4,021,335 4,021,335
--------------
94,903,512
--------------
TOTAL CASH EQUIVALENTS
(Cost $120,511,328) 120,511,328
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.4%
- --------------------------------------------------------------------------------
IBT Repurchase Agreement dated
12/31/2002 due 01/02/2003,
with a maturity value of
$19,452,527 and an effective
yield of 1.00% collateralized
by U.S. Government
Obligations with rates
ranging from 1.87% to 5.66%,
maturity dates from 06/25/2014
to 03/20/2032 and an aggregate
market value of $20,425,264. $ 19,451,445 $ 19,451,446
--------------
TOTAL INVESTMENTS(^)-- 121.4%
(Cost $726,242,929) 695,099,686
Other assets less liabilities--(21.4%) (122,629,596)
--------------
NET ASSETS--100.0% $ 572,470,090
==============
</Table>
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
SDR Swedish Depositary Receipt
* Non-income producing security.
@ Security has been pledged as collateral for forward foreign currency
exchange contracts.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified buyers.
++ Security valued at fair value as determined by policies approved by the
board of directors.
+ Represents collateral received from securities lending transactions.
^ Fund has securities on loan See Note 6.
See accompanying notes to financial statements.
153
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
VANTAGEPOINT INTERNATIONAL FUND
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--94.4%
- --------------------------------------------------------------------------------
AUSTRALIA--2.0%
Alumina Ltd. 57,800 $ 159,326
Australia & New Zealand
Banking Group Ltd. 56,656 552,974
BHP Finance Ltd. 33,566 191,659
Brambles Industries Ltd. 7,300 19,301
Commonwealth Bank of
Australia 66,600 1,011,574
Foster's Brewing Group
Ltd. 534,563 1,353,246
National Australia Bank
Ltd. 58,100 1,037,724
News Corporation Ltd. 48,404 312,598
QBE Insurance Group Ltd. 63,974 293,308
* WMC Resources Ltd. 57,800 137,217
Woolworths Ltd. 85,236 546,627
--------------
5,615,554
--------------
BELGIUM--2.2%
Colruyt NV 600 33,031
Fortis 210,930 3,684,884
Interbrew 102,600 2,420,703
--------------
6,138,618
--------------
BRAZIL--0.7%
Companhia Vale do Rio
Doce ADR 11,407 329,776
Companhia Vale do Rio
Doce PFD ADR 17,000 467,500
Petroleo Brasileiro SA 22,760 311,760
Tele Norte Leste
Participacoes SA ADR 54,400 399,840
Telesp Celular Partcipacoes
SA ADR 160,800 490,440
--------------
1,999,316
--------------
CANADA--2.0%
Abitibi-Consolidated, Inc. 40,200 308,720
Bank of Nova Scotia 6,400 213,374
@ BCE, Inc. 52,200 941,881
* CanWest Global
Communications
Corporation 63,300 258,492
* Corus Entertainment, Inc.,
Class B 49,300 591,477
EnCana Corporation 43,400 1,340,331
Fairfax Financial
Holdings Ltd. 800 61,341
Placer Dome Inc. Stock 900 10,262
Suncor Energy, Inc. 21,400 334,651
TELUS Corporation 34,800 355,823
Thomson Corporation 50,900 1,353,467
--------------
5,769,819
--------------
DENMARK--0.5%
Novo Nordisk A/S 47,620 1,374,766
--------------
FINLAND--1.0%
Kone OYJ, Class B 5,200 156,003
Nokia OYJ 140,500 2,232,025
UPM-Kymmene OYJ 17,800 571,152
--------------
2,959,180
--------------
FRANCE--8.3%
Accor SA 14,200 429,730
AXA 169,264 2,270,101
BNP Paribas SA 39,700 1,616,473
Bouygues SA 49,800 $ 1,390,107
Carrefour Supermarche SA 51,000 2,269,102
Casino Guichard
Perrachon SA 4,800 356,105
Essilor International SA 11,500 473,314
Groupe Danone 5,800 779,699
* JC Decaux SA 149,800 1,806,423
LMVH 1,100 45,158
L'Air Liquide SA 7,287 960,495
Pechiney SA Class A 11,000 385,718
Renault SA 26,600 1,249,040
Rhodia SA 173,600 1,436,280
Sanofi-Synthelabo SA 76,738 4,687,241
Schneider Electric SA 16,300 770,688
Societe Television
Francaise 1 11,200 299,011
STMicroelectronics NV 56,170 1,100,252
STMicroelectronics NV
NY Shares 2,400 46,824
Vivendi Universal SA 75,700 1,221,647
--------------
23,593,408
--------------
GERMANY--6.1%
Aixtron AG 8,000 38,169
Allianz AG 48,003 4,562,964
Bayerische Motoren
Werke AG 9,500 288,093
DaimlerChrysler AG 17,100 526,278
Deutsche Bank AG 6,000 276,202
Deutsche Boerse AG 43,600 1,744,641
Deutsche Telekom AG 78,900 1,013,502
* Epcos AG 6,071 62,833
Infineon Technologies
AG ADR 5,900 42,421
Linde AG 57,600 2,113,983
Metro AG 16,400 391,233
Muenchener
Rueckversicherungs-
Gesellschaft AG 38,325 4,577,381
Siemens AG 29,100 1,235,830
Thyssen Krupp AG 25,900 289,241
--------------
17,162,771
--------------
GREECE--0.0%
Hellenic
Telecommunications
Organization SA 8,200 90,284
--------------
HONG KONG--1.6%
Cheung Kong (Holdings)
Ltd. 98,000 637,745
* China Mobile Ltd. 136,000 323,490
Hang Lung Properties Ltd. 323,000 312,696
Hang Seng Bank Ltd. 68,200 725,853
Hong Kong Land
Holdings Ltd. 203,000 280,140
Hutchison Whampoa Ltd. 99,100 620,128
Johnson Electric
Holdings Ltd. 384,000 421,018
Li & Fung Ltd. 450,000 427,005
Shangri-La Asia Ltd. 200,000 130,800
Sun Hung Kai Properties
Ltd. 43,000 254,741
Swire Pacific Ltd. Class A 79,400 303,403
--------------
4,437,019
--------------
IRELAND--0.3%
Allied Irish Banks PLC 3,000 41,147
</Table>
154
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
CRH PLC 52,521 $ 649,869
Irish Life & Permanent PLC 17,100 184,690
--------------
875,706
--------------
ITALY--2.1%
Assicurazioni Generali 8,900 182,918
* Autogrill SpA 76,700 596,772
ENI SpA 120,700 1,917,476
Mediaset SpA 36,200 275,587
Telecom Italia SpA RNC 561,900 2,834,111
--------------
5,806,864
--------------
JAPAN--13.0%
Acom Co. Ltd. 11,600 381,097
Advantest Corporation 17,800 797,709
Aiful Corporation 8,500 319,350
Banyu Pharmaceutical
Company, Ltd. 112,300 1,053,846
Canon, Inc. 16,000 602,477
Chubu Electric Power
Company, Inc. 21,000 375,031
Chugai Pharmaceutical
Company Ltd. 41,400 394,087
Dai Nippon Printing
Company Ltd. 23,000 254,394
Daiwa Securities
Company Ltd. 90,000 399,546
Fuji Soft ABC, Inc. 700 11,056
Hirose Electronics
Company Ltd. 8,900 679,252
Hitachi Ltd. 71,000 272,136
Honda Motor Company,
Ltd. 121,200 4,482,085
Hoya Corporation 9,400 658,024
@ Aeon Company Ltd. 56,000 1,325,582
* Japan Airlines System
Corporation 105,000 223,776
Japan Telecom Holdings
Company Ltd. 88 272,799
Japan Tobacco, Inc. 255 1,705,585
Kansai Electric Power
Co. (The) 20,500 309,632
Keyence Corporation 1,640 285,283
Mitsubishi Estate
Company, Ltd. 68,000 517,834
@ Mitsubishi Heavy
Industries Ltd. 263,000 642,483
* Mitsubishi Motor
Corporation 102,000 219,106
@ Mitsui Fudosan
Company Ltd. 101,000 655,126
Mitsui Sumitomo
Insurance Company Ltd. 67,420 310,092
Murata Manufacturing
Company Ltd. 9,000 352,540
NEC Corporation 151,000 564,770
NTT DoCoMo, Inc. 773 1,426,055
@ Nikko Cordial Corporation 172,000 579,571
* Nikon Corporation 44,000 330,620
Nintendo Company Ltd. 3,500 326,973
Nippon Telegraph &
Telephone Corporation 105 381,223
@ Nissan Motor
Company Ltd. 191,000 1,489,896
Nitto Denko Corporation 13,600 387,229
Nomura Holdings Inc. 56,000 629,300
Orix Corporation 14,600 940,865
Promise Co., Ltd. 60,400 $ 2,152,239
Rohm Company Ltd. 9,700 1,234,665
Sankyo Company Ltd. 36,000 451,555
Sekisui House Ltd. 56,000 396,262
Shimamura Company, Ltd. 800 50,948
Shionogi & Co. Ltd. 48,000 678,494
Sony Corporation 29,800 1,245,119
Sumitomo Realty &
Development Co. Ltd. 28,000 113,924
Suzuki Motor Corporation 83,000 901,944
TDK Corporation 15,200 612,046
@ Tokyo Electronics Ltd. 32,600 1,474,703
Tokyu Corporation 100,000 352,120
Toray Industries, Inc. 137,000 290,824
Toyota Motor Credit
Corporation 58,800 1,580,085
Ushio, Inc. 4,000 43,804
Yamanouchi Pharmaceutical
Company Ltd. 12,400 359,330
Yamato Transport
Company Ltd. 17,000 221,969
--------------
36,716,461
--------------
LUXEMBOURG--0.1%
Societe Europeenne des
Satellites 33,800 203,797
--------------
MEXICO--4.5%
America Movil SA de CV
ADR 29,700 426,492
Fomento Economico
Mexicano ADR (Mexico) 52,433 1,909,610
Grupo Modelo SA de CV,
Class C 545,700 1,335,000
Grupo Televisa SA ADR 48,600 1,357,398
@ Telefonos de Mexico
SA ADR 182,192 5,826,500
Wal-Mart de Mexico SA de
CV Series V 761,000 1,738,276
--------------
12,593,276
--------------
NETHERLANDS--9.0%
ABN AMRO Holding NV 247,432 4,042,346
* ASM Lithography
Holdings NV 122,000 1,018,322
Aegon NV 189,738 2,439,253
Hagemeyer NV 19,600 141,814
Heineken Holding NV
Class A 20,675 599,449
Heineken NV 78,300 3,054,326
ING Groep NV 66,340 1,122,765
* KPN NV 220,300 1,432,236
Koninklijke (Royal) Philips
Electronics NV 24,000 420,281
Koninklijke (Royal) Philips
Electronics NV NY Shares 5,600 99,008
Koninklijke Numico NV CVA 9,200 115,765
Royal Dutch Petroleum
Company 78,900 3,470,724
Royal Dutch Petroleum
Company NY Shares 73,620 3,240,752
Unilever NV CVA 35,100 2,154,989
VNU NV 14,029 365,565
Wolters Kluwer NV 106,424 1,852,501
--------------
25,570,096
--------------
NEW ZEALAND--0.1%
Telecom Corporation of
New Zealand Ltd. 82,561 195,793
--------------
</Table>
155
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
NORWAY--0.5%
Norsk Hydro ASA 9,600 $ 429,845
Norske Skogindustrier ASA 16,500 233,178
Statoil ASA 91,300 770,207
* Storebrand ASA 11,500 43,117
--------------
1,476,347
--------------
POLAND--0.1%
* Bank Pekao SA 14,100 347,989
--------------
PORTUGAL--0.6%
Portugal Telecom SA
Vodafone 230,098 1,580,382
Telecel-Comunicacoes
Pessoai SA 15,600 121,051
--------------
1,701,433
--------------
RUSSIA--0.2%
OAO Lukoil Holding ADR 7,700 473,094
--------------
SINGAPORE--1.6%
DBS Group Holdings Ltd. 238,000 1,509,238
**++ DBS Group Holdings
Ltd. ADR 144A 118,000 748,278
Singapore Airlines Ltd. 55,000 323,406
Singapore Press
Holdings Ltd. 42,000 440,664
Singapore Technologies
Engineering Ltd. 250,000 237,800
Singapore
Telecommunications
Ltd. 1,253,000 895,644
Venture Corporation Ltd. 38,000 304,498
--------------
4,459,528
--------------
SOUTH KOREA--1.2%
** Hyundai Motor
Company GDR 29,200 341,596
** Samsung Electronics
Co., Ltd. GDR 144A 22,975 3,061,419
--------------
3,403,015
--------------
SPAIN--3.3%
Altadis SA 10,000 227,966
Banco Bilbao Vizcaya SA 142,100 1,358,945
Centros Comerciales
Carrefour SA 105,600 1,237,991
Industria de Diseno Textil
SA (Inditex) 144,100 3,401,336
Promotora de
Informaciones
SA (PRISA) 105,600 687,646
Repsol SA 114,819 1,517,035
* Telefonica SA 87,597 783,520
--------------
9,214,439
--------------
SWEDEN--0.6%
Assa Abloy AB 66,100 756,640
ForeningsSparbanken AB 60,900 721,641
SKF AB, Class B 1,400 36,400
Svenska Handelsbanken AB
Class A 23,400 312,275
--------------
1,826,956
--------------
SWITZERLAND--12.0%
Ciba Specialty Chemicals
AG 64,450 4,492,068
Clariant AG 152,200 2,431,943
Compagnie Financiere
Richemont AG 83,248 $ 1,552,883
* Credit Suisse Group 151,993 3,296,789
Holcim Ltd. 3,733 128,743
Holcim Ltd. Class B 5,373 975,073
Julius Baer Holding AG,
Class B 4,560 989,083
Nestle SA 32,704 6,928,114
Novartis AG 119,528 4,359,903
Roche Holding AG 8,035 559,737
Swiss Re 34,631 2,271,008
Swisscom AG 6,230 1,804,002
Synthes-Stratec, Inc. 483 296,135
* UBS AG 77,606 3,770,604
--------------
33,856,085
--------------
TAIWAN--0.1%
Taiwan Semiconductor
Manufacturing Company
Ltd. ADR 51,815 365,296
--------------
UNITED KINGDOM--20.8%
* ARM Holdings PLC 80,000 61,800
AstraZeneca Group PLC 141,384 4,996,151
AstraZeneca Group
PLC ADR 100 3,509
BG Group PLC 204,600 882,419
BOC Group PLC 39,000 557,330
Barclays PLC 98,000 607,188
BHP Billiton PLC 228,728 1,221,133
Boots Company PLC 98,000 924,189
Brambles Industries PLC 63,000 154,104
British Aerospace PLC 1,351,679 2,697,275
British American
Tobacco PLC 155,700 1,554,774
Carlton Communications
PLC 417,600 902,225
Centrica PLC 117,100 322,248
Compass Group PLC 1,024,070 5,438,529
Diageo PLC 428,504 4,654,710
GlaxoSmithKline PLC 12,000 230,194
Granada Compass PLC 1,576,777 2,023,636
HBOS PLC 73,600 775,810
Imperial Chemical
Industries PLC 632,100 2,339,655
Lloyds TSB Group PLC 548,100 3,933,988
Marks & Spencer
Group PLC 725,923 3,679,921
* MM02 PLC 353,000 251,371
National Grid Transco PLC 120,500 885,241
Next PLC 113,800 1,348,815
Pearson PLC 129,600 1,198,204
Prudential Corporation PLC 122,300 864,025
Reuters Group PLC 274,600 784,395
Royal Bank of Scotland
Group PLC 92,200 2,207,849
* Shire Pharmaceuticals
Group PLC 25,300 161,842
Smiths Group PLC 124,000 1,387,882
Standard Chartered PLC 83,700 950,966
Tesco PLC 1,081,335 3,375,928
TI Automotive Ltd. 70,000 0
Unilever PLC 103,700 986,280
Vodafone Group PLC 3,425,934 6,243,765
Vodafone Group PLC ADR 1,300 23,556
* Xstrata PLC 15,500 161,887
--------------
58,792,794
--------------
</Table>
156
<Page>
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $289,706,740) $ 267,019,704
--------------
- --------------------------------------------------------------------------------
PREFERRED STOCKS--1.0%
- --------------------------------------------------------------------------------
GERMANY--1.0%
Henkel KGaA, Vorzug
(Cost $3,057,325) 46,450 2,937,066
--------------
- --------------------------------------------------------------------------------
<Caption>
COUPON MATURITY
RATE DATE FACE VALUE
- --------------------------------------------------------------------------------
CASH EQUIVALENTS--7.4%
- --------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET FUNDS--0.5%
+ Dreyfus Cash Management
Plus Fund
1.358% 01/02/2003 $ 350,527 $ 350,527
+ Merrimac Cash Fund-
Premium Class
1.422% 01/02/2003 1,156,741 1,156,741
--------------
1,507,268
--------------
BANK & CERTIFICATE DEPOSITS/OFFSHORE
TIME DEPOSITS--1.0%
+ Bank of Montreal
1.320% 01/30/2003 678,614 678,614
+ BNP Paribas
1.320% 02/07/2003 1,647,479 1,647,479
+ Royal Bank of Scotland PLC
1.780% 01/21/2003 420,633 420,633
+ Royal Bank of Scotland PLC
1.330% 01/15/2003 210,316 210,316
--------------
2,957,042
--------------
FLOATING RATE INSTRUMENTS/MASTER NOTES--5.9%
+ Canadian Imperial Bank
of Commerce
1.225% 05/19/2003 876,319 876,319
+ Comerica Bank
1.400% 11/19/2003 350,527 350,527
+ Credit Suisse First
Boston Corporation
1.353% 01/02/2003 3,505,275 3,505,275
+ Falcon Asset
Securitization Corp.
1.353% 02/03/2003 350,527 350,527
+ Galaxy Funding
1.353% 02/07/2003 245,369 245,369
+ Goldman Sachs Group Inc.
1.433% 01/03/2003 1,051,582 1,051,582
+ Goldman Sachs Group Inc.
1.410% 02/03/2003 701,055 701,055
+ Goldman Sachs Group Inc.
1.320% 03/21/2003 876,319 876,319
+ Honda Motor Company Ltd.
1.414% 04/08/2003 1,577,374 1,577,374
+ Jupiter Securitzation Corp.
1.323% 01/17/2003 876,319 876,319
+ Merrill Lynch & Company
1.340% 04/16/2003 175,264 175,264
+ Merrill Lynch & Company
1.325% 11/26/2003 350,527 350,527
+ Morgan Stanley Dean
Witter & Company
1.393% 05/07/2003 $ 876,319 $ 876,319
+ Morgan Stanley Dean
Witter & Company
1.363% 09/26/2003 175,264 175,264
+ Morgan Stanley Dean
Witter & Company
1.363% 03/25/2003 1,752,637 1,752,637
+ National City Corporation
1.245% 01/23/2003 525,791 525,791
+ Parkland (USA) LLC
1.410% 11/26/2003 350,527 350,527
+ Prefco
1.353% 01/24/2003 1,226,846 1,226,846
+ Prefco
1.313% 01/06/2003 701,055 701,055
--------------
16,544,896
--------------
TOTAL CASH EQUIVALENTS
(Cost $21,009,206) 21,009,206
--------------
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--4.9%
- --------------------------------------------------------------------------------
UNITED STATES--4.9%
IBT Repurchase Agreement dated 12/31/2002
due 01/02/2003, with a maturity value of
$13,882,163 and an effective yield of 1.00%
collateralized by U.S. Government Obligations
with rates ranging from 1.87% to 5.75%, maturity
dates from10/25/2022 to 12/15/2028 and an
aggregate market value of $14,584,618. 13,881,342 13,881,342
--------------
TOTAL INVESTMENTS(^)--107.8%
(Cost $327,654,613) 304,847,318
Other assets less liabilities--(7.8%) (21,926,444)
--------------
NET ASSETS--100.0% $ 282,920,874
==============
</Table>
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
GDR Global Depositary Receipt
PFD Preferred
* Non-income producing security.
@ Security has been pledged as collateral for forward foreign currency
exchange contracts.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified buyers.
++ Security valued at fair value as determined by policies approved by the
board of directors.
+ Represents collateral received from securities lending transactions.
^ Fund has securities on loan. See Note 6.
157
<Page>
<Table>
<Caption>
PERCENTAGE OF PORTFOLIO BY INDUSTRY (UNAUDITED):
Beverages, Food & Tobacco 12.6%
Banking 9.9%
Telecommunications 8.9%
Floating Rate Instruments/Master Notes 5.9%
Electronics 5.8%
Financial Services 5.6%
Insurance 5.5%
Oil & Gas 5.2%
Pharmaceuticals 5.2%
Repurchase Agreements 4.9%
Chemicals 4.5%
Retailers 4.0%
Automotive 3.6%
Media--Broadcasting & Publishing 3.4%
Diversified 2.5%
Food Retailers 2.1%
Real Estate 1.8%
Medical Equipment & Supplies 1.8%
Communications 1.4%
Metals & Mining 1.3%
Textiles, Clothing & Fabrics 1.3%
Commercial Services 1.1%
Aerospace & Defense 1.0%
Cosmetics & Personal Care 1.0%
Bank & Certificate Deposits/Offshore Time Deposits 1.0%
Heavy Machinery 0.7%
Industrial - Diversified 0.7%
Heavy Construction 0.6%
Advertising 0.6%
Electric Utilities 0.6%
Transportation 0.5%
Institutional Money Market Funds 0.5%
Forest Products & Paper 0.4%
Telephone Systems 0.3%
Lodging 0.2%
Medical Supplies 0.2%
Electrical Equipment 0.2%
Construction 0.2%
Restaurants 0.2%
Airlines 0.2%
Computers & Information 0.2%
Photographic Equipment & Supplies 0.1%
Entertainment & Leisure 0.1%
Computer Software & Processing 0.0%
Office Equipment & Supplies 0.0%
-----
TOTAL INVESTMENTS 107.8%
Other assets less liabilities (7.8)%
-----
TOTAL NET ASSETS 100.0%
=====
</Table>
See accompanying notes to financial statements.
158
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
MODEL PORTFOLIO SAVINGS ORIENTED FUND
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
MUTUAL FUNDS--100.0%
- --------------------------------------------------------------------------------
Vantagepoint Equity
Income Fund 2,652,872 $ 15,864,174
Vantagepoint Growth &
Income Fund 2,176,608 15,758,645
Vantagepoint Income
Preservation Fund 1,038,976 103,897,649
Vantagepoint International
Fund 1,175,734 7,994,994
Vantagepoint US
Government Securities
Fund 1,486,713 15,997,034
-------------
159,512,496
-------------
TOTAL INVESTMENTS--100.0%
(Cost $163,851,454) 159,512,496
Other assets less liabilities--(0.0%) (15,931)
-------------
NET ASSETS--100.0% $ 159,496,565
=============
</Table>
See accompanying notes to financial statements.
159
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
MODEL PORTFOLIO CONSERVATIVE GROWTH FUND
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
MUTUAL FUNDS--100.0%
- --------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 2,222,968 $ 13,938,011
Vantagepoint Core Bond
Index Fund Class I 2,698,458 28,225,871
Vantagepoint Equity
Income Fund 4,689,275 28,041,863
Vantagepoint Growth &
Income Fund 3,844,058 27,830,981
Vantagepoint Growth
Fund 4,424,309 27,740,419
Vantagepoint Income
Preservation Fund 1,409,341 140,934,080
Vantagepoint International
Fund 2,073,434 14,099,352
-------------
280,810,577
-------------
TOTAL INVESTMENTS--100.0%
(Cost $301,835,765) 280,810,577
Other assets less liabilities--(0.0%) (24,009)
-------------
NET ASSETS--100.0% $ 280,786,568
=============
</Table>
See accompanying notes to financial statements.
160
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
MODEL PORTFOLIO TRADITIONAL GROWTH FUND
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
MUTUAL FUNDS--100.0%
- --------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 8,961,440 $ 56,188,230
Vantagepoint Core Bond
Index Fund Class I 5,543,783 57,987,972
Vantagepoint Equity
Income Fund 9,475,053 56,660,817
Vantagepoint Growth &
Income Fund 11,574,074 83,796,299
Vantagepoint Growth
Fund 13,262,449 83,155,553
Vantagepoint Income
Preservation Fund 1,720,144 172,014,388
Vantagepoint
International Fund 8,352,226 56,795,138
-------------
566,598,397
-------------
TOTAL INVESTMENTS--100.0%
(Cost $664,250,819) 566,598,397
Other assets less liabilities--(0.0%) (43,889)
-------------
NET ASSETS--100.0% $ 566,554,508
=============
</Table>
See accompanying notes to financial statements.
161
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
MODEL PORTFOLIO LONG-TERM GROWTH FUND
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
MUTUAL FUNDS--100.0%
- --------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 12,534,217 $ 78,589,540
Vantagepoint Core Bond
Index Fund Class I 10,454,526 109,354,340
Vantagepoint Equity
Income Fund 8,817,996 52,731,614
Vantagepoint Growth &
Income Fund 14,407,392 104,309,518
Vantagepoint Growth
Fund 16,564,343 103,858,434
Vantagepoint
International Fund 7,807,561 53,091,413
Vantagepoint Overseas
Equity Index Fund
Class I 4,216,675 26,818,051
-------------
528,752,910
-------------
TOTAL INVESTMENTS--100.0%
(Cost $683,867,401) 528,752,910
Other assets less liabilities--(0.0%) (42,727)
-------------
NET ASSETS--100.0% $ 528,710,183
=============
</Table>
See accompanying notes to financial statements.
162
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
MODEL PORTFOLIO ALL-EQUITY GROWTH FUND
<Table>
<Caption>
SHARES VALUE
- --------------------------------------------------------------------------------
MUTUAL FUNDS--100.0%
- --------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 1,745,723 $ 10,945,683
Vantagepoint Equity
Income Fund 1,374,108 8,217,165
Vantagepoint Growth &
Income Fund 1,508,149 10,918,999
Vantagepoint Growth
Fund 2,176,179 13,644,644
Vantagepoint
International Fund 1,626,411 11,059,596
-------------
54,786,087
-------------
TOTAL INVESTMENTS--100.0%
(Cost $67,638,615) 54,786,087
Other assets less liabilities--(0.0%) (6,998)
-------------
NET ASSETS--100.0% $ 54,779,089
=============
</Table>
See accompanying notes to financial statements.
163
<Page>
Audited Financial Statements
of
Master Investment Portfolio
164
<Page>
INDEPENDENT ACCOUNTANTS' REPORT
To the Interestholders and Board of Trustees of
Master Investment Portfolio:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Bond Index Master Portfolio,
Extended Index Master Portfolio, International Index Master Portfolio, S&P 500
Index Master Portfolio and U.S. Equity Index Master Portfolio, five portfolios
of Master Investment Portfolio (the "Portfolios"), at December 31, 2002, the
results of each of their operations for the year then ended, and the changes in
each of their net assets and their financial highlights for each of the two
years in the period then ended, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Portfolios' management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States of America, which require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at December 31, 2002 by correspondence with the custodian and
brokers, provide a reasonable basis for our opinion.
The financial statements of the Portfolios at December 31, 2000 and for the
periods then ended were audited by other auditors, whose report dated February
9, 2001 expressed an unqualified opinion on those statements.
PricewaterhouseCoopers LLP
San Francisco, California
February 7, 2003
165
<Page>
MASTER INVESTMENT PORTFOLIO
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2002
<Table>
<Caption>
EXTENDED INTERNATIONAL S&P 500 U.S. EQUITY
BOND INDEX INDEX INDEX INDEX INDEX
MASTER MASTER MASTER MASTER MASTER
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- --------------- ---------------
ASSETS
Investments at cost:
Unaffiliated issuers $ 694,784,708 $ 203,434,973 $ 126,577,983 $ 2,783,787,551 $ --
------------- ------------- ------------- --------------- ---------------
Non-controlled affiliated issuers $ -- $ -- $ 1,202,439 $ -- $ --
------------- ------------- ------------- --------------- ---------------
Foreign currency, at cost $ -- $ -- $ 314,729 $ -- $ --
------------- ------------- ------------- --------------- ---------------
Investments in securities, at value
(including securities on loan(1)) (Note 1):
Unaffiliated issuers $ 724,016,320 $ 142,548,501 $ 94,160,360 $ 2,381,582,384 $ 379,654,346
Non-controlled affiliated issuers -- -- 1,234,556 -- --
Cash pledged for margin requirements (Note 1) -- -- 1,047,634 -- --
Foreign currency, at value -- -- 318,703 -- --
Receivables:
Investment securities sold 2,135,266 93,884 98,420 -- --
Dividends and interest 6,629,259 165,814 276,721 3,890,765 --
Due from broker - variation margin -- 7,650 -- 146,195 --
Unrealized gain on forward foreign currency
exchange contracts -- -- 53,654 -- --
------------- ------------- ------------- --------------- ---------------
Total Assets 732,780,845 142,815,849 97,190,048 2,385,619,344 379,654,346
------------- ------------- ------------- --------------- ---------------
LIABILITIES
Payables:
Investment securities purchased 58,757,412 210,154 486,714 -- --
Due to broker - variation margin -- -- 967,579 -- --
Collateral for securities loaned (Note 4) 42,834,635 11,353,317 4,729,279 45,475,450 --
Due to Bank 613,362 -- 30,097 1,736 --
Advisory fees (Note 2) 90,861 25,816 17,966 223,073 40,696
Administration fees (Note 2) -- 34,756 22,964 -- 40,696
------------- ------------- ------------- --------------- ---------------
Total Liabilities 102,296,270 11,624,043 6,254,599 45,700,259 81,392
------------- ------------- ------------- --------------- ---------------
NET ASSETS $ 630,484,575 $ 131,191,806 $ 90,935,449 $ 2,339,919,085 $ 379,572,954
============= ============= ============= =============== ===============
</Table>
- ----------
(1) Securities on loan with market values of $41,953,891, $10,781,600,
$4,441,500, $43,498,462 and $--, respectively. See Note 4.
The accompanying notes are an integral part of these financial statements.
166
<Page>
MASTER INVESTMENT PORTFOLIO
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2002
<Table>
<Caption>
EXTENDED INTERNATIONAL S&P 500 U.S. EQUITY
BOND INDEX INDEX INDEX INDEX INDEX
MASTER MASTER MASTER MASTER MASTER
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- ------------- --------------- ---------------
NET INVESTMENT INCOME
Dividends(1) $ -- $ 1,680,806 $ 1,917,524 $ 40,333,823 $ 6,358,761(2)
Interest 30,615,160 43,141 15,149 1,442,527 257,383(2)
Securities lending income 75,792 44,454 56,010 92,278 --
Expenses allocated from Master Portfolio
(Note 1) -- -- -- -- (260,563)(2)
------------- ------------- ------------- --------------- ---------------
Total investment income 30,690,952 1,768,401 1,988,683 41,868,628 6,355,581
------------- ------------- ------------- --------------- ---------------
EXPENSES (NOTE 2)
Advisory fees 458,620 117,244 137,255 1,291,462 43,427
Administration fees -- 29,311 91,503 -- 43,233
------------- ------------- ------------- --------------- ---------------
Total expenses 458,620 146,555 228,758 1,291,462 86,660
------------- ------------- ------------- --------------- ---------------
NET INVESTMENT INCOME 30,232,332 1,621,846 1,759,925 40,577,166 6,268,921
------------- ------------- ------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on sale of investments 9,762,741 (6,790,654) (6,476,929) (236,862,884) (42,334,208)(2)
Net realized loss on futures contracts -- (617,403) (474,945) (18,956,405) --
Net realized gain on foreign currency transactions -- -- 18,684 -- --
Net increase from payments by affiliates (Note 2) -- -- 20,295 -- --
Net change in unrealized appreciation
(depreciation) of investments 16,148,940 (24,491,579) (10,665,066) (454,424,345) (69,941,398)(2)
Net change in unrealized appreciation
(depreciation) of futures contracts -- (59,420) (20,887) (2,667,819) --
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities in foreign currencies -- -- 74,418 -- --
------------- ------------- ------------- --------------- ---------------
NET GAIN (LOSS) ON INVESTMENTS 25,911,681 (31,959,056) (17,524,430) (712,911,453) (112,275,606)
------------- ------------- ------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 56,144,013 $ (30,337,210) $ (15,764,505) $ (672,334,287) $ (106,006,685)
============= ============= ============= =============== ===============
</Table>
- ----------
(1) Net of foreign withholding tax of $--, $1,167, $254,858, $113,931 and
$15,650, respectively.
(2) Allocated from underlying Master Portfolios.
The accompanying notes are an integral part of these financial statements.
167
<Page>
MASTER INVESTMENT PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
BOND INDEX MASTER PORTFOLIO EXTENDED INDEX MASTER PORTFOLIO
------------------------------- -------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
-------------- -------------- ------------- -------------
INCREASE (DECREASE)
IN NET ASSETS
OPERATIONS:
Net investment income $ 30,232,332 $ 29,705,456 $ 1,621,846 $ 1,814,086
Net realized gain (loss) 9,762,741 4,158,973 (7,408,057) (3,951,315)
Net change in unrealized
appreciation (depreciation) 16,148,940 7,352,844 (24,550,999) (16,994,665)
-------------- -------------- ------------- -------------
Net increase (decrease) in
net assets resulting from
operations 56,144,013 41,217,273 (30,337,210) (19,131,894)
-------------- -------------- ------------- -------------
INTERESTHOLDER TRANSACTIONS:
Contributions 235,474,677 181,551,157 30,975,705 37,677,854
Withdrawals (204,797,701) (129,983,477) (32,385,207) (54,858,624)
-------------- -------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
interestholder transactions 30,676,976 51,567,680 (1,409,502) (17,180,770)
-------------- -------------- ------------- -------------
Increase (decrease) in net assets 86,820,989 92,784,953 (31,746,712) (36,312,664)
-------------- -------------- ------------- -------------
NET ASSETS:
Beginning of year 543,663,586 450,878,633 162,938,518 199,251,182
-------------- -------------- ------------- -------------
End of year $ 630,484,575 $ 543,663,586 $ 131,191,806 $ 162,938,518
============== ============== ============= =============
<Caption>
INTERNATIONAL INDEX MASTER PORTFOLIO
------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
2002 2001
------------- -------------
INCREASE (DECREASE)
IN NET ASSETS
OPERATIONS:
Net investment income $ 1,759,925 $ 1,424,834
Net realized gain (loss) (6,912,895) (4,519,519)
Net change in unrealized
appreciation (depreciation) (10,611,535) (20,462,098)
------------- -------------
Net increase (decrease) in
net assets resulting from
operations (15,764,505) (23,556,783)
------------- -------------
INTERESTHOLDER TRANSACTIONS:
Contributions 48,313,518 27,264,274
Withdrawals (34,072,197) (17,072,044)
------------- -------------
Net increase (decrease) in net
assets resulting from
interestholder transactions 14,241,321 10,192,230
------------- -------------
Increase (decrease) in net assets (1,523,184) (13,364,553)
------------- -------------
NET ASSETS:
Beginning of year 92,458,633 105,823,186
------------- -------------
End of year $ 90,935,449 $ 92,458,633
============= =============
</Table>
The accompanying notes are an integral part of these financial statements.
168
<Page>
MASTER INVESTMENT PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
S&P 500 INDEX MASTER PORTFOLIO U.S. EQUITY INDEX MASTER PORTFOLIO
--------------------------------- ----------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2002 2001 2002 2001
--------------- --------------- -------------- --------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income $ 40,577,166 $ 37,024,939 $ 6,268,921 $ 6,308,497
Net realized loss (255,819,289) (12,632,674) (42,334,208) (11,289,846)
Net change in unrealized appreciation (depreciation) (457,092,164) (404,143,934) (69,941,398) (60,134,004)
--------------- --------------- -------------- --------------
Net decrease in net assets resulting from operations (672,334,287) (379,751,669) (106,006,685) (65,115,353)
--------------- --------------- -------------- --------------
INTERESTHOLDER TRANSACTIONS:
Contributions 1,124,925,648 931,988,808 51,638,612 72,159,296
Withdrawals (904,586,226) (988,412,872) (67,100,403) (79,455,509)
--------------- --------------- -------------- --------------
Net increase (decrease) in net assets resulting from
interestholder transactions 220,339,422 (56,424,064) (15,461,791) (7,296,213)
--------------- --------------- -------------- --------------
Decrease in net assets (451,994,865) (436,175,733) (121,468,476) (72,411,566)
--------------- --------------- -------------- --------------
NET ASSETS:
Beginning of year 2,791,913,950 3,228,089,683 501,041,430 573,452,996
--------------- --------------- -------------- --------------
End of year $ 2,339,919,085 $ 2,791,913,950 $ 379,572,954 $ 501,041,430
=============== =============== ============== ==============
</Table>
The accompanying notes are an integral part of these financial statements.
169
<Page>
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company organized as a Delaware business trust. MIP currently
consists of the following separate portfolios: Asset Allocation, Bond Index,
Extended Index, International Index, LifePath Income, LifePath 2010, LifePath
2020, LifePath 2030, LifePath 2040, Money Market, Russell 2000 Index, S&P 500
Index and U.S. Equity Index Master Portfolios.
These financial statements relate only to the Bond Index, Extended Index,
International Index, S&P 500 Index and U.S. Equity Index Master Portfolios
(each, a "Master Portfolio", collectively the "Master Portfolios").
The following is a summary of significant accounting policies which are
consistently followed by MIP in the preparation of its financial statements.
Such policies are in conformity with accounting principles generally accepted in
the United States of America ("U.S. GAAP") for investment companies. The
preparation of financial statements in conformity with U.S. GAAP requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosure of contingent assets and liabilities at
the date of the financial statements and the reported amounts of revenue and
expenses during the reporting period. Actual results could differ from those
estimates.
SECURITY VALUATION
The equity securities of each Master Portfolio are valued at the last
reported sales price on the primary securities exchange or national securities
market on which such securities are traded. Securities not listed on an exchange
or national securities market, or securities in which there was no last reported
sales price, are valued at the most recent bid prices. Debt securities are
generally traded in the over-the-counter market and are valued at a price deemed
best to reflect fair value as quoted by dealers who make markets in those
securities or by an independent pricing source. U.S. Government obligations are
valued at the last reported bid price. Debt securities maturing in 60 days or
less are valued at amortized cost, which approximates market value. Mutual fund
shares are valued at net asset value. Any securities, restricted securities or
other assets for which market quotations are not readily available, or for which
a significant event has occurred since the time of the most recent market
quotation, are valued in accordance with fair value pricing policies approved by
MIP's Board of Trustees.
The U.S. Equity Index Master Portfolio seeks to achieve its investment
objective by investing all of its assets in the Extended Index and S&P 500 Index
Master Portfolios. The value of the U.S. Equity Index Master Portfolio's
investment in the Extended Index and S&P 500 Index Master Portfolios reflects
the U.S. Equity Index Master Portfolio's interest in the net assets of these
Master Portfolios (59.84% and 12.87%, respectively, as of December 31, 2002).
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on trade date. Dividend income is
recognized on the ex-dividend date, and interest income is accrued daily.
Realized gains and losses on investment transactions are determined using the
specific identification method. The Master Portfolios amortize premium and
accrete discount on debt securities purchased using a constant yield to maturity
method.
170
<Page>
The U.S. Equity Index Master Portfolio records daily its proportionate
interest in the net investment income and realized and unrealized capital gains
and losses of the Extended Index and S&P 500 Index Master Portfolios. The
expenses allocated from Master Portfolios on the Statement of Operations include
Advisory and Administration fees of $242,705 and $17,858, respectively,
allocated from the Extended Index and S&P 500 Index Master Portfolios. In
addition, the U.S. Equity Index Master Portfolio accrues its own expenses.
FOREIGN CURRENCY TRANSLATION
The accounting records of each Master Portfolio are maintained in U.S.
dollars. Investment securities and other assets and liabilities denominated in
foreign currencies are translated into U.S. dollars at the prevailing rates of
exchange at the end of each day. Purchases and sales of securities, income
receipts and expense payments are translated into U.S. dollars at the prevailing
exchange rate on the respective date of such transactions.
Each Master Portfolio does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities. Such fluctuations are reflected by the Master Portfolios as a
component of realized and unrealized gains and losses from investments for
financial reporting purposes.
FEDERAL INCOME TAXES
MIP believes that each Master Portfolio has and will continue to be
operated in a manner so as to qualify it as a partnership for federal income tax
purposes. Provided that each Master Portfolio so qualifies, it will not be
subject to any federal income tax on its income and gain (if any). However, each
investor in a Master Portfolio will be taxed on its distributive share of the
Master Portfolio's taxable income in determining its federal income tax
liability. As a partnership for federal income tax purposes, each Master
Portfolio will be deemed to have "passed through" to interestholders any
interest, dividends, gains or losses for such purposes. The determination of
such share will be made in accordance with the Internal Revenue Code of 1986, as
amended (the "Code"), and regulations promulgated thereunder.
It is intended that each Master Portfolio's assets, income and
distributions will be managed in such a way that an entity electing and
qualifying as a "regulated investment company" under the Code can continue to so
qualify by investing substantially all of its assets through the Master
Portfolio, provided that the regulated investment company meets other
requirements for such qualifications not within the control of the Master
Portfolio (e.g., distributing at least 90% of the regulated investment company's
"investment company taxable income" annually).
FUTURES CONTRACTS
The Master Portfolios may purchase futures contracts to gain exposure to
market changes as this may be more efficient or cost effective than actually
buying the securities. A futures contract is an agreement between two parties to
buy and sell a security at a set price on a future date and is exchange traded.
Upon entering into a futures contract, the Master Portfolios are required to
pledge to the broker an amount of cash, U.S. Government securities or other
high-quality debt securities equal to the minimum "initial margin" requirements
of the exchange. Pursuant to the contract, the Master Portfolios agree to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Master Portfolios as unrealized gains
or losses. When the contract is closed, the Master Portfolios record a gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed. Pursuant to regulations
and/or published positions of the Securities and Exchange
171
<Page>
Commission, the Master Portfolios are required to segregate cash, U.S.
Government securities or high quality, liquid debt instruments in connection
with futures transactions. Risks of entering into futures contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities.
At December 31, 2002, the open futures contracts outstanding were as
follows:
<Table>
<Caption>
NUMBER OF FUTURES EXPIRATION NOTIONAL NET UNREALIZED
MASTER PORTFOLIO CONTRACTS INDEX DATE CONTRACT VALUE DEPRECIATION
- ---------------- --------- ------- ---------- -------------- --------------
Extended Index S&P MidCap
Master Portfolio 6 400 03/20/03 $ 1,289,700 $ (18,170)
============
International Index
Master Portfolio 12 Euro 50 03/20/03 $ 301,598 $ (9,406)
4 FTSE 100 03/20/03 251,885 (1,971)
12 Nikkei 300 03/20/03 166,647 (3,399)
------------
$ (14,776)
============
S&P 500 Index
Master Portfolio 361 S&P 500 03/20/03 $ 79,320,725 $ (2,398,295)
============
</Table>
The Extended Index and S&P 500 Index Master Portfolios have pledged to
brokers U.S. Treasury Bills for initial margin requirements with face amounts of
$100,000 and $8,150,000, respectively.
The International Index Master Portfolio has pledged to a broker a cash
balance in the amount of $1,047,634 for initial margin requirements.
REPURCHASE AGREEMENTS
Each Master Portfolio may enter into repurchase agreements with banks and
securities dealers. These transactions involve the purchase of securities with a
simultaneous commitment to resell the securities to the bank or the dealer at an
agreed-upon date and price. A repurchase agreement is accounted for as a loan by
the Master Portfolio to the seller, collateralized by securities, which are
delivered to the Master Portfolio's custodian, or to an agent bank under a
tri-party agreement. The securities are marked-to-market daily and additional
securities are acquired as needed, to ensure that their value equals or exceeds
the repurchase price plus accrued interest. None of the Master Portfolios held
repurchase agreements at December 31, 2002.
FORWARD CURRENCY EXCHANGE CONTRACTS
A foreign currency or cross currency exchange contract is an agreement to
pay or receive specific amounts of a currency at a future date in exchange for
another currency at an agreed upon exchange rate. The International Index Master
Portfolio may use foreign currency or cross currency exchange contracts to hedge
certain foreign currency assets and liabilities. Contracts are recorded at
market value and marked-to-market daily. The International Index Master
Portfolio could be exposed to risk if the counterparties to the contracts were
unable to meet the terms of the contract, or if there were unanticipated
movements in the value of a foreign currency relative to the U.S. dollar and
other foreign currencies. The amount at risk for such foreign currency or cross
currency exchange contracts may exceed the amount reflected in the financial
statements.
172
<Page>
As of December 31, 2002, the International Index Master Portfolio held the
following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY CONTRACTS
<Table>
<Caption>
FOREIGN FOREIGN NET
CURRENCY EXCHANGE CURRENCY U.S. DOLLAR UNREALIZED
CURRENCY PURCHASED/SOLD DATE COST/PROCEEDS VALUE GAIN
- -------- -------------- -------- ------------- ----------- ----------
PURCHASE CONTRACTS
British Pound Sterling 250,536 02/7/03 $ 389,574 $ 402,239 $ 12,665
Euro 707,517 02/7/03 703,887 741,257 37,370
Japanese Yen 17,042,460 02/7/03 140,205 143,824 3,619
----------
TOTAL $ 53,654
==========
</Table>
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is
entitled to receive 0.15% of the first $1 billion, and 0.10% thereafter of the
average daily net assets of the International Index Master Portfolio and 0.08%,
0.08%, 0.05%, and 0.01% of the average daily net assets of the Bond Index,
Extended Index, S&P 500 Index, and U.S. Equity Index Master Portfolios,
respectively, as compensation for advisory services.
Investors Bank & Trust Company ("IBT") serves as the custodian to each
Master Portfolio. IBT will not be entitled to receive fees for its custodial
services so long as it is entitled to receive a separate fee from Barclays
Global Investors, N.A. ("BGI") for its services as sub-administrator of each
Master Portfolio.
Stephens Inc. ("Stephens") is the sponsor and placement agent for the
Master Portfolios.
MIP has entered into administrative services arrangements with BGI and
Stephens as co-administrators who have agreed jointly to provide general
administrative services to the Master Portfolios, such as managing and
coordinating third-party service relationships. BGI and Stephens are entitled to
receive a fee at an annual rate of 0.02% and 0.01% of the average daily net
assets of the Extended Index and U.S. Equity Index Master Portfolios,
respectively, and 0.10% of the first $1 billion, and 0.07% thereafter, of the
average daily net assets of the International Index Master Portfolio. Stephens
and BGI are not entitled to compensation for providing administration services
to the S&P 500 Index and the Bond Index Master Portfolios for so long as BGI or
Stephens are entitled to compensation for providing co-administration services
to corresponding feeder funds that invest substantially all of their assets in
the Master Portfolios, or either BGI and Stephens (or an affiliate) receives
advisory fees from the Master Portfolios. BGI and Stephens may delegate certain
of their administration duties to sub-administrators.
Barclays Global Investors Services ("BGIS"), a subsidiary of BGI, may serve
as a broker-dealer for the Master Portfolios. For the year ended December 31,
2002, BGIS received $330 in brokerage commissions from the International Index
Master Portfolio.
As a result of using an index approach to investing, the International
Index Master Portfolio held shares of Barclays PLC, with a current market value
of $677,640, as of December 31, 2002. Barclays PLC is an affiliate of BGFA, the
Master Portfolios' investment advisor.
173
<Page>
Pursuant to an exemptive order issued by the Securities and Exchange
Commission, each Master Portfolio may invest in the Institutional Shares of the
Institutional Money Market Fund ("IMMF") of Barclays Global Investors Funds. The
IMMF is a feeder fund in a master/feeder fund structure that invests
substantially all of its assets in the Money Market Master Portfolio, which is
managed by BGFA, the Master Portfolios' investment advisor. The IMMF is an
open-end money market fund available only to institutional investors, including
other investment companies managed by BGFA. The IMMF seeks a high level of
income consistent with liquidity and the preservation of capital. While the IMMF
does not directly charge an advisory fee, the master portfolio in which it
invests does charge an advisory fee. Income distributions from the IMMF are
declared daily and paid monthly from net investment income. Income distributions
earned by the Master Portfolios are recorded as either interest income or
securities lending income in the accompanying Statements of Operations.
The Master Portfolios may invest in the shares of Exchange Traded Funds
("ETFs"), including shares of ETFs that are affiliated with MIP, to obtain
exposure to the stock market while maintaining flexibility to meet the liquidity
needs of the Master Portfolio. As of December 31, 2002, the International Index
Master Portfolio held shares of the iShares MSCI EAFE Index Fund, an investment
portfolio of iShares Trust. iShares Trust is an open-end management investment
company managed by BGFA, the investment advisor for MIP.
Transactions in shares of affiliated ETFs for the International Index
Master Portfolio, including dividend income and net realized capital gains
(losses) during the year ended December 31, 2002 were as follows:
<Table>
<Caption>
NUMBER OF NUMBER OF
SHARES HELD SHARES HELD NET
BEGINNING GROSS GROSS END OF DIVIDEND REALIZED
AFFILIATED ETF OF PERIOD ADDITIONS REDUCTIONS PERIOD INCOME LOSS
- -------------- ---------- --------- ---------- ---------- -------- ---------
iShares MSCI EAFE Index Fund -- 65,126 52,657 12,469 $ 23,471 $ (93,620)
</Table>
Pursuant to Rule 17a-7 of the 1940 Act, the S&P 500 Index Master Portfolio
executed cross trades for the year ended December 31, 2002. Cross trading is the
buying or selling of portfolio securities between funds to which BGFA serves as
investment advisor. The Board has concluded that all such transactions were done
in compliance with the requirements and restrictions set forth by Rule 17a-7.
BGFA made a voluntary reimbursement to the International Index Master
Portfolio of $20,295, to compensate the Master Portfolio for a loss incurred in
executing investment transactions.
Certain officers and trustees of MIP are also officers or employees of
Stephens and BGI. As of December 31, 2002 these officers or employees of
Stephens and BGI collectively owned less than 1% of the Master Portfolios'
outstanding beneficial interests.
174
<Page>
3. INVESTMENT PORTFOLIO TRANSACTIONS
Investment transactions (exclusive of short-term investments) for the year
ended December 31, 2002 were as follows:
<Table>
<Caption>
U.S. GOVERNMENT OBLIGATIONS OTHER SECURITIES
-------------------------------- ---------------------------------
MASTER PORTFOLIO PURCHASES SALES PURCHASES SALES
- ---------------- ------------- ------------- ------------ -------------
Bond Index Master Portfolio $ 718,238,470 $ 514,162,741 $ 98,945,936 $ 152,236,750
Extended Index Master
Portfolio -- -- 21,689,283 19,820,410
International Index Master
Portfolio -- -- 33,200,999 18,097,138
S&P 500 Index Master
Portfolio -- -- 491,534,041 300,747,965
</Table>
At December 31, 2002, the Master Portfolios' aggregate unrealized
appreciation and depreciation based on cost for federal income tax purposes were
as follows:
<Table>
<Caption>
NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
MASTER PORTFOLIO TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
- ---------------- -------------- ------------- ------------ ---------------
Bond Index Master Portfolio $ 697,172,011 $ 27,359,067 $ (514,758) $ 26,844,309
Extended Index Master
Portfolio 204,305,353 23,080,985 (84,837,837) (61,756,852)
International Index Master
Portfolio 131,540,223 -- (36,145,307) (36,145,307)
S&P 500 Index Master
Portfolio 2,891,970,317 94,505,075 (604,893,008) (510,387,933)
</Table>
4. PORTFOLIO SECURITIES LOANED
Each Master Portfolio may lend its investment securities to approved
borrowers such as brokers, dealers and other financial institutions. The
borrower pledges and maintains with the Master Portfolio collateral consisting
of cash, an irrevocable letter of credit issued by a bank, or securities issued,
or guaranteed by the U.S. Government. The initial collateral received is
required to have a value of at least 102% of the market value of the loaned
securities for securities denominated in U.S. dollars and a value of at least
105% for all other securities. The collateral is maintained thereafter, at a
value equal to at least 100% of the current market value of the securities on
loan. The risks to the Master Portfolios of securities lending are that the
borrower may not provide additional collateral when required, or return the
securities when due.
As of December 31, 2002, certain Master Portfolios had loaned securities
which were collateralized by cash. The cash collateral was invested in money
market mutual funds. The market value of the securities on loan at December 31,
2002 and the value of the related collateral are disclosed in the Statements of
Assets and Liabilities.
175
<Page>
5. FINANCIAL HIGHLIGHTS
Financial highlights for each of the Master Portfolios were as follows:
<Table>
<Caption>
YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, FEBRUARY 28, FEBRUARY 28,
2002 2001 2000 1999 1999 1998
------------ ------------ ------------ ------------ ------------ ------------
BOND INDEX MASTER PORTFOLIO
Ratio of expenses to average
net assets(4) 0.08% 0.08% 0.08% 0.08%(1) 0.08% 0.08%
Ratio of net investment income
to average net assets(4) 5.27% 5.98%(7) 6.73% 6.44%(1) 6.31% 6.73%
Portfolio turnover rate 118% 53% 52% 25%(1) 28% 59%
Total return 10.05% 8.94% 11.91% (0.67)%(1)(5) 6.39% 10.51%
EXTENDED INDEX MASTER
PORTFOLIO
Ratio of expenses to average
net assets(4) 0.10% 0.10% 0.10% 0.10%(2) N/A N/A
Ratio of net investment income
to average net assets(4) 1.11% 1.08% 0.93% 1.26%(2) N/A N/A
Portfolio turnover rate 14% 17% 38% 17%(2) N/A N/A
Total return (18.01)% (9.44)% (14.53)% 36.30%(2)(5) N/A N/A
INTERNATIONAL INDEX MASTER
PORTFOLIO
Ratio of expenses to average
net assets(4) 0.25% 0.25% 0.25% 0.25%(3) N/A N/A
Ratio of net investment income
to average net assets(4) 1.92% 1.50% 1.47% 0.82%(3) N/A N/A
Portfolio turnover rate 20% 7% 45% 39%(3) N/A N/A
Total return (16.36)%(9) (21.35)% (14.85)% 20.50%(3)(5) N/A N/A
S&P 500 INDEX MASTER
PORTFOLIO
Ratio of expenses to average
net assets(4) 0.05% 0.05% 0.05% 0.05%(1) 0.05% 0.05%
Ratio of net investment income
to average net assets(4) 1.57% 1.31% 1.22% 1.44%(1) 1.61% 1.89%
Portfolio turnover rate 12% 9% 10% 7%(1) 11% 6%
Total return (22.05)% (11.96)% (9.19)% 19.82%(1)(5) 19.65% 34.77%
U.S. EQUITY INDEX MASTER
PORTFOLIO
Ratio of expenses to average
net assets(4)(6) 0.08% 0.09% 0.08% 0.08%(2) N/A N/A
Ratio of net investment income
to average net assets(4)(6) 1.45% 1.37% 1.13% 1.39%(2) N/A N/A
Portfolio turnover rate(8) 12% 11% 17% 9%(2) N/A N/A
Total return (20.50)% (11.51)% (10.54)% 21.40%(2)(5) N/A N/A
</Table>
- ----------
(1) For the ten months ended December 31, 1999. The Bond Index and S&P 500 Index
Master Portfolios changed their fiscal year end from February 28 to December
31.
(2) Period from March 1, 1999 (commencement of operations) to December 31, 1999.
(3) Period from October 1, 1999 (commencement of operations) to December 31,
1999.
(4) Annualized for periods of less than one year.
(5) Not annualized.
(6) Includes expenses allocated from the underlying Master Portfolios in which
this Master Portfolio invests (see Note 1).
(7) Effective January 1, 2001, the Bond Index Master Portfolio adopted the
provisions of the revised AICPA Audit and Accounting Guide for Investment
Companies and began amortizing premiums on debt securities. The effect of
this change for the year ended December 31, 2001 was to decrease the ratio
of net investment income to average net assets from 6.37% to 5.98%. Ratios
and supplemental data for the periods prior to January 1, 2001 have not been
restated to reflect this change in policy.
(8) Calculated on a weighted average of the portfolio turnover rates of each of
the underlying Master Portfolios in which this Master Portfolio invests (see
Note 1).
(9) The voluntary reimbursement made by the investment advisor had no material
impact on the total return for the year (see Note 2).
176
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
BOND INDEX MASTER PORTFOLIO
<Table>
<Caption>
SECURITY FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--27.21%
- --------------------------------------------------------------------------------------
AEROSPACE / DEFENSE--0.60%
Goodrich (B.F.) Co.
6.45%, 12/15/07 $ 100,000 $ 102,064
Lockheed Martin Corp.
8.20%, 12/01/09 1,000,000 1,235,808
Northrop Grumman Corp.
7.75%, 02/15/31 250,000 299,716
Raytheon Co.
7.38%, 07/15/25 1,000,000 1,073,018
United Technologies Corp.
6.63%, 11/15/04 1,000,000 1,082,155
---------------
3,792,761
---------------
AIRLINES--0.23%
American Airlines Inc.
7.02%, 10/15/09 157,000 149,082
Continental Airlines Inc.
6.65%, 09/15/17 886,881 774,838
Delta Air Lines Inc.
7.57%, 11/18/10 500,000 499,483
---------------
1,423,403
---------------
AUTO MANUFACTURERS--0.40%
DaimlerChrysler NA Holding Corp.
7.20%, 09/01/09 500,000 555,868
8.50%, 01/18/31 500,000 615,358
Ford Motor Company
6.63%, 10/01/28 1,125,000 897,000
General Motors Corp.
6.75%, 05/01/28 500,000 435,422
---------------
2,503,648
---------------
BANKS--7.11%
ABN Amro Bank NV
7.13%, 06/18/07 250,000 280,637
Anthem Inc.
6.80%, 08/01/12 250,000 272,025
Banco Santander Central Hispano Issuances
7.63%, 09/14/10 500,000 568,716
Bank of America Corp.
6.25%, 04/01/08 1,000,000 1,121,530
Bank of Tokyo-Mitsubishi Ltd.
8.40%, 04/15/10 250,000 295,818
Bank One Corp.
5.90%, 11/15/11 1,000,000 1,084,090
BankBoston Corp.
6.50%, 12/19/07 500,000 557,390
Bankers Trust Corp.
7.25%, 10/15/11 250,000 281,821
Chase Manhattan Corp.
5.75%, 04/15/04 1,000,000 1,040,875
Credit Suisse First Boston
5.75%, 04/15/07 500,000 535,240
6.38%, 12/16/35 1,000,000 1,115,306
6.50%, 01/15/12 500,000 534,379
European Investment Bank
4.00%, 08/30/05 500,000 526,712
4.63%, 03/01/07 1,000,000 1,072,063
First Union Capital Corp.
8.04%, 12/01/26 1,000,000 1,127,616
First Union Corp.
6.63%, 07/15/05 500,000 547,973
First Union National Bank
7.74%, 05/17/32 1,584,633 1,791,573
Fleet Credit Card Master Trust II
3.86%, 03/15/07 6,870,000 7,101,713
Household Finance Corp.
6.40%, 06/17/08 $ 250,000 $ 266,584
HSBC Holdings PLC
5.25%, 12/12/12 250,000 256,245
HSBC USA Inc.
7.00%, 11/01/06 250,000 280,648
International Bank for Reconstruction &
Development
4.13%, 08/12/09 500,000 520,969
6.38%, 07/21/05 1,000,000 1,106,068
7.00%, 01/27/05 1,500,000 1,657,201
John Deere Capital Corp.
7.00%, 03/15/12 500,000 579,713
KeyCorp
6.75%, 03/15/06 1,500,000 1,648,296
KFW International Finance Inc.
7.63%, 02/15/04 1,000,000 1,057,363
8.00%, 02/15/10 250,000 298,080
Korea Development Bank
7.13%, 04/22/04 1,000,000 1,063,030
LB Commercial Conduit Mortgage Trust
6.78%, 06/15/31 6,000,000 6,830,780
Lehman Brothers Holdings
6.63%, 04/01/04 250,000 263,559
Mellon Funding Corp.
6.38%, 02/15/10 500,000 560,140
National City Corp.
7.20%, 05/15/05 500,000 550,082
NationsBank Corp.
7.75%, 08/15/15 1,000,000 1,230,080
PNC Funding Corp.
5.75%, 08/01/06 250,000 267,613
Regency Centers LP
7.40%, 04/01/04 250,000 263,841
Royal Bank of Scotland Group PLC
5.00%, 10/01/14 250,000 251,692
Sanwa Bank Ltd.
7.40%, 06/15/11 250,000 246,396
Simon Property Group LP
(1) 6.35%, 08/28/12 250,000 260,716
SLM Corp.
5.13%, 08/27/12 250,000 256,403
Sprint Capital Corp.
8.38%, 03/15/12 500,000 497,500
SunTrust Banks Inc.
5.05%, 07/01/07 500,000 536,319
Tyco Capital Corp.
7.63%, 08/16/05 1,045,000 1,124,265
Union Bank of Switzerland
7.25%, 07/15/06 250,000 283,180
US Bank NA Minnesota
6.38%, 08/01/11 1,000,000 1,121,554
Wells Fargo & Company
6.63%, 07/15/04 500,000 534,878
Wells Fargo Bank NA
7.55%, 06/21/10 1,000,000 1,190,034
---------------
44,858,706
---------------
BEVERAGES--0.48%
Anheuser-Busch Companies Inc.
6.80%, 01/15/31 500,000 583,550
Bottling Group LLC
(1) 4.63%, 11/15/12 100,000 99,955
Coca-Cola Enterprises Inc.
5.25%, 05/15/07 500,000 537,574
6.13%, 08/15/11 250,000 276,273
8.50%, 02/01/22 250,000 323,459
Diageo Capital PLC
6.13%, 08/15/05 1,000,000 1,094,911
</Table>
177
<Page>
<Table>
<Caption>
SECURITY FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(CONTINUED)
- --------------------------------------------------------------------------------------
PepsiAmericas Inc.
3.88%, 09/12/07 $ 100,000 $ 101,721
---------------
3,017,443
---------------
BUILDING MATERIALS--0.04%
Masco Corp.
5.88%, 07/15/12 250,000 262,929
---------------
262,929
---------------
CHEMICALS--0.25%
Chevron Phillips Chemical Co.
5.38%, 06/15/07 500,000 523,979
Dow Chemical Co. (The)
6.00%, 10/01/12 250,000 255,501
8.63%, 04/01/06 500,000 561,014
Du Pont (E.I.) de Nemours
6.75%, 10/15/04 250,000 271,281
---------------
1,611,775
---------------
COMMERCIAL SERVICES--0.04%
Hertz Corp.
8.25%, 06/01/05 250,000 254,022
---------------
254,022
---------------
COMPUTER SYSTEMS--0.02%
Computer Sciences Corp.
7.38%, 06/15/11 100,000 114,631
---------------
114,631
---------------
COMPUTERS--0.33%
Hewlett-Packard Co.
5.50%, 07/01/07 500,000 536,245
International Business Machines Corp.
4.75%, 11/29/12 500,000 501,935
4.88%, 10/01/06 1,000,000 1,067,194
---------------
2,105,374
---------------
COSMETICS / PERSONAL CARE--0.19%
Procter & Gamble Co.
6.88%, 09/15/09 1,000,000 1,179,537
---------------
1,179,537
---------------
DISTRIBUTION / WHOLESALE--0.04%
Costco Wholesale Corp.
5.50%, 03/15/07 250,000 269,020
---------------
269,020
---------------
DIVERSIFIED FINANCIAL SERVICES--6.57%
American Express Co.
3.75%, 11/20/07 250,000 253,046
American General Finance Corp.
5.88%, 07/14/06 1,000,000 1,076,455
Associates Corp. NA
6.88%, 11/15/08 410,000 464,583
6.95%, 11/01/18 250,000 283,282
AXA Financial Inc.
7.75%, 08/01/10 1,000,000 1,131,546
Bear Stearns Companies Inc.
6.63%, 10/01/04 1,000,000 1,073,494
Boeing Capital Corp.
5.65%, 05/15/06 1,500,000 1,571,728
BP Capital Market PLC
4.00%, 04/29/05 250,000 261,326
Burlington Resources Finance
7.20%, 08/15/31 250,000 286,231
Capital One Bank
6.88%, 02/01/06 $ 1,000,000 $ 967,452
Citigroup Inc.
5.70%, 02/06/04 500,000 520,078
6.00%, 02/21/12 500,000 548,698
6.63%, 06/15/32 250,000 272,932
6.75%, 12/01/05 1,000,000 1,111,975
7.25%, 10/01/10 500,000 580,434
Countrywide Home Loans Inc.
3.50%, 12/19/05 250,000 252,218
5.63%, 05/15/07 500,000 534,812
Ford Credit Auto Owner Trust
3.62%, 01/15/06 1,000,000 1,019,849
4.36%, 09/15/36 2,000,000 2,094,604
Ford Motor Credit Co.
6.88%, 02/01/06 1,000,000 1,001,752
7.25%, 10/25/11 500,000 485,838
7.50%, 03/15/05 1,000,000 1,020,264
7.88%, 06/15/10 1,000,000 1,006,264
FPL Group Capital Inc.
7.38%, 06/01/09 100,000 110,701
General Electric Capital Corp.
5.38%, 03/15/07 1,100,000 1,177,476
6.50%, 12/10/07 1,000,000 1,127,721
6.75%, 03/15/32 1,000,000 1,105,590
General Motors Acceptance Corp.
5.71%, 10/15/38 1,000,000 1,078,196
6.13%, 09/15/06 500,000 508,063
6.75%, 01/15/06 1,000,000 1,035,621
6.88%, 09/15/11 1,000,000 997,260
7.25%, 03/02/11 500,000 509,515
7.72%, 12/15/09 1,707,000 2,031,799
Goldman Sachs Group Inc.
5.70%, 09/01/12 250,000 260,011
6.60%, 01/15/12 250,000 276,249
6.88%, 01/15/11 250,000 279,060
7.63%, 08/17/05 500,000 563,880
Household Finance Corp.
5.75%, 01/30/07 250,000 261,654
6.50%, 01/24/06 750,000 798,691
8.00%, 07/15/10 1,000,000 1,129,687
JP Morgan Chase & Co.
6.75%, 02/01/11 1,000,000 1,087,219
Lehman Brothers Inc.
7.63%, 06/01/06 1,000,000 1,130,338
MBNA America Bank NA
5.38%, 01/15/08 500,000 513,002
Merrill Lynch & Co. Inc.
4.00%, 11/15/07 100,000 101,020
6.00%, 02/17/09 1,000,000 1,086,544
Morgan Stanley
6.02%, 02/15/33 564,103 603,792
7.75%, 06/15/05 1,000,000 1,115,711
8.00%, 06/15/10 1,000,000 1,187,880
National Rural Utilities
6.50%, 03/01/07 500,000 550,041
7.25%, 03/01/12 500,000 573,459
Sears Roebuck Acceptance Corp.
7.00%, 06/01/32 500,000 419,146
Textron Finance Corp.
6.00%, 11/20/09 200,000 208,537
Toyota Motor Credit Corp.
2.80%, 01/18/06 100,000 100,889
Verizon Global Funding Corp.
7.75%, 12/01/30 500,000 582,278
Washington Mutual Inc.
7.50%, 08/15/06 1,000,000 1,124,461
---------------
41,454,352
---------------
</Table>
178
<Page>
<Table>
<Caption>
SECURITY FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(CONTINUED)
- --------------------------------------------------------------------------------------
ELECTRIC--1.28%
American Electric Power Inc., Series A
6.13%, 05/15/06 $ 100,000 $ 98,480
Commonwealth Edison
7.00%, 07/01/05 500,000 551,742
Consolidated Edison Inc.
4.88%, 02/01/13 200,000 202,773
Constellation Energy Group
7.60%, 04/01/32 250,000 255,527
Consumers Energy Co.
6.00%, 03/15/05 500,000 495,623
Dominion Resources Inc.
7.63%, 07/15/05 500,000 548,508
8.13%, 06/15/10 500,000 581,700
DTE Energy Co.
7.05%, 06/01/11 500,000 554,890
FirstEnergy Corp.
5.50%, 11/15/06 500,000 502,823
7.38%, 11/15/31 250,000 242,346
Florida Power & Light Co.
4.85%, 02/01/13 150,000 153,231
KN Energy Inc.
7.25%, 03/01/28 250,000 255,520
MidAmerican Energy Co.
6.75%, 12/30/31 250,000 260,181
Niagara Mohawk Power Corp.
7.63%, 10/01/05 529,268 586,435
Northern States Power Co.
(1) 8.00%, 08/28/12 250,000 283,405
Oncor Electric Delivery
(1) 6.38%, 05/01/12 500,000 514,981
Progress Energy Inc.
7.75%, 03/01/31 500,000 568,266
PSEG Energy Holdings Inc.
8.50%, 06/15/11 250,000 203,750
Union Electric Co.
5.25%, 09/01/12 100,000 104,775
Wisconsin Energy Corp.
5.88%, 04/01/06 500,000 543,299
6.50%, 04/01/11 500,000 554,493
---------------
8,062,748
---------------
FOOD--1.19%
Albertson's Inc.
7.45%, 08/01/29 500,000 552,215
Archer-Daniels-Midland Co.
8.38%, 04/15/17 500,000 656,716
ConAgra Foods Inc.
6.00%, 09/15/06 500,000 547,127
7.40%, 09/15/04 500,000 541,793
General Mills Inc.
5.13%, 02/15/07 1,000,000 1,062,432
Heinz (H.J.) Co.
(1) 6.63%, 07/15/11 250,000 282,918
Kellogg Co.
6.60%, 04/01/11 1,000,000 1,126,245
Kraft Foods Inc.
5.63%, 11/01/11 500,000 534,532
6.50%, 11/01/31 500,000 549,425
McDonald's Corp.
3.88%, 08/15/07 250,000 255,796
Safeway Inc.
6.50%, 11/15/08 1,000,000 1,101,646
Tyson Foods Inc.
8.25%, 10/01/11 $ 250,000 $ 295,579
---------------
7,506,424
---------------
FOREST PRODUCTS & PAPER--0.39%
International Paper Co.
6.75%, 09/01/11 500,000 556,355
MeadWestvaco Corp.
6.85%, 04/01/12 250,000 277,407
Weyerhaeuser Co.
6.00%, 08/01/06 500,000 527,597
6.13%, 03/15/07 1,000,000 1,070,588
---------------
2,431,947
---------------
GAS--0.11%
KeySpan Corp.
7.63%, 11/15/10 500,000 592,383
Southern California Gas Co.
4.80%, 10/01/12 100,000 100,708
---------------
693,091
---------------
HAND / MACHINE TOOLS--0.02%
Emerson Electric Co.
5.00%, 12/15/14 150,000 152,970
---------------
HEALTH CARE--0.04%
Tenet Healthcare Corp.
5.00%, 07/01/07 250,000 226,250
---------------
HOUSEHOLD PRODUCTS / WARES--0.19%
Newell Rubbermaid Inc.
4.63%, 12/15/09 100,000 102,012
Unilever Capital Corp.
6.88%, 11/01/05 1,000,000 1,121,218
---------------
1,223,230
---------------
INSURANCE--0.20%
Allstate Corp.
7.20%, 12/01/09 1,000,000 1,159,727
MetLife Inc.
6.50%, 12/15/32 100,000 103,793
---------------
1,263,520
---------------
MACHINERY-CONSTRUCTION & MINING--0.19%
Caterpillar Inc.
7.25%, 09/15/09 1,000,000 1,171,235
---------------
MANUFACTURING--0.10%
Norsk Hydro ASA
6.36%, 01/15/09 590,000 640,028
---------------
MEDIA--0.97%
AOL Time Warner Inc.
6.88%, 05/01/12 500,000 528,052
Comcast Cable Communications
8.38%, 05/01/07 500,000 560,982
Liberty Media Corp.
7.88%, 07/15/09 500,000 542,258
TCI Communications Inc.
8.75%, 08/01/15 1,000,000 1,150,993
Time Warner Entertainment Co.
8.38%, 03/15/23 1,000,000 1,125,281
Viacom Inc.
5.63%, 08/15/12 250,000 266,708
7.75%, 06/01/05 1,000,000 1,120,353
Walt Disney Co. (The)
6.38%, 03/01/12 250,000 273,443
6.75%, 03/30/06 500,000 546,025
---------------
6,114,095
---------------
</Table>
179
<Page>
<Table>
<Caption>
SECURITY FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(CONTINUED)
- --------------------------------------------------------------------------------------
MINING--0.19%
Alcoa Inc.
7.38%, 08/01/10 $ 1,000,000 $ 1,182,055
---------------
MULTI-NATIONAL--0.47%
Asian Development Bank
6.75%, 06/11/07 1,000,000 1,152,942
Inter-American Development Bank
7.38%, 01/15/10 1,000,000 1,233,949
8.50%, 03/15/11 450,000 581,594
---------------
2,968,485
---------------
OFFICE / BUSINESS EQUIPMENT--0.02%
Pitney Bowes Inc.
5.95%, 02/01/05 150,000 161,057
---------------
OIL & GAS PRODUCERS--1.15%
Amerada Hess Corp.
7.30%, 08/15/31 500,000 543,339
Anadarko Petroleum Corp.
7.15%, 05/15/28 500,000 554,091
Conoco Funding Co.
6.35%, 10/15/11 500,000 558,340
Conoco Inc.
5.90%, 04/15/04 1,000,000 1,046,794
Devon Financing Corp. ULC
6.88%, 09/30/11 1,000,000 1,113,857
Marathon Oil Corp.
6.13%, 03/15/12 500,000 533,034
Occidental Petroleum Corp.
7.20%, 04/01/28 250,000 280,269
Petroleos Mexicanos
9.38%, 12/02/08 1,000,000 1,155,000
Phillips 66 Capital Trust II
8.00%, 01/15/37 1,000,000 1,082,412
Transocean Inc.
6.75%, 04/15/05 250,000 270,128
Union Oil Co. of California
5.05%, 10/01/12 100,000 99,954
---------------
7,237,218
---------------
PHARMACEUTICALS--0.21%
Abbott Laboratories
5.13%, 07/01/04 250,000 262,437
American Home Products Corp.
6.25%, 03/15/06 500,000 543,223
Bristol-Myers Squibb Co.
5.75%, 10/01/11 500,000 532,428
---------------
1,338,088
---------------
PIPELINES--0.25%
Duke Energy Field Services Corp.
7.50%, 08/16/05 500,000 527,066
7.88%, 08/16/10 500,000 529,162
Kinder Morgan Energy Partners LP
5.35%, 08/15/07 500,000 523,203
---------------
1,579,431
---------------
PUBLISHING--0.17%
News America Holdings Inc.
7.60%, 10/11/15 1,000,000 1,055,996
---------------
REAL ESTATE--0.09%
EOP Operating LP
7.00%, 07/15/11 500,000 544,782
---------------
REAL ESTATE INVESTMENT TRUSTS--0.02%
Archstone-Smith Trust
5.00%, 08/15/07 $ 100,000 $ 102,088
---------------
RETAIL--0.52%
Fred Meyer Inc.
7.45%, 03/01/08 1,000,000 1,136,628
May Department Stores Co.
7.90%, 10/15/07 250,000 292,170
Target Corp.
7.00%, 07/15/31 500,000 566,392
Wal-Mart Stores Inc.
7.55%, 02/15/30 1,000,000 1,263,581
---------------
3,258,771
---------------
TELECOMMUNICATION EQUIPMENT--0.08%
Motorola Inc.
6.75%, 02/01/06 500,000 517,500
TELECOMMUNICATIONS--0.86%
Alltel Corp.
7.00%, 07/01/12 250,000 288,114
AT&T Wireless Services Inc.
7.88%, 03/01/11 750,000 753,750
British Telecom PLC
7.88%, 12/15/05 500,000 563,853
8.38%, 12/15/10 500,000 599,449
Citizens Communications
8.50%, 05/15/06 500,000 553,698
Cox Communications Inc.
7.50%, 08/15/04 1,000,000 1,062,503
Verizon Wireless Inc.
5.38%, 12/15/06 1,000,000 1,044,686
Vodafone Group PLC
7.75%, 02/15/10 500,000 589,693
---------------
5,455,746
---------------
TELEPHONE--1.26%
AT&T Corp.
6.50%, 11/15/06 500,000 534,402
8.50%, 11/15/31 500,000 551,117
BellSouth Corp.
6.00%, 10/15/11 500,000 548,292
6.88%, 10/15/31 500,000 560,442
Deutsche Telekom International Finance AG
8.50%, 06/15/10 1,000,000 1,151,734
France Telecom SA
8.70%, 03/01/06 200,000 218,973
9.25%, 03/01/11 250,000 289,068
10.00%, 03/01/31 250,000 304,334
Koninklijke KPN NV
8.00%, 10/01/10 500,000 585,538
Pacific Bell
7.13%, 03/15/26 500,000 577,356
Sprint Capital Corp.
6.13%, 11/15/08 1,000,000 910,000
Telefonica Europe BV
8.25%, 09/15/30 500,000 614,043
Verizon New York Inc.
7.38%, 04/01/32 500,000 578,188
Verizon Pennsylvania Inc.
5.65%, 11/15/11 500,000 524,237
---------------
7,947,724
---------------
</Table>
180
<Page>
<Table>
<Caption>
SECURITY FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(CONTINUED)
- --------------------------------------------------------------------------------------
TOBACCO--0.13%
Philip Morris
7.00%, 07/15/05 $ 250,000 $ 271,541
RJ Reynolds Tobacco Holdings Inc.
6.50%, 06/01/07 500,000 521,662
---------------
793,203
---------------
TRANSPORTATION--0.81%
Burlington Northern Santa Fe Corp.
7.13%, 12/15/10 1,000,000 1,153,804
Canadian National Railway Co.
6.45%, 07/15/06 800,000 876,670
CSX Corp.
7.95%, 05/01/27 580,000 711,614
Norfolk Southern Corp.
7.70%, 05/15/17 1,000,000 1,223,400
Union Pacific Corp.
6.79%, 11/09/07 1,000,000 1,138,823
---------------
5,104,311
---------------
TOTAL CORPORATE BONDS & NOTES
(Cost: $160,493,844) 171,579,594
---------------
- --------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS & NOTES(3)--1.82%
- --------------------------------------------------------------------------------------
British Columbia (Province of)
6.50%, 01/15/26 250,000 286,422
Canada (Government of)
5.25%, 11/05/08 250,000 276,295
Hydro-Quebec
6.30%, 05/11/11 500,000 569,254
Italy (Republic of)
4.38%, 10/25/06 1,000,000 1,055,147
6.00%, 02/22/11 1,000,000 1,113,629
Malaysia (Government of)
7.50%, 07/15/11 250,000 287,425
Manitoba (Province of)
4.25%, 11/20/06 1,000,000 1,053,430
Mexico Government International Bond
9.88%, 01/15/07 1,000,000 1,194,000
New Brunswick (Province of)
3.50%, 10/23/07 150,000 152,356
Nova Scotia (Province of)
5.75%, 02/27/12 500,000 548,904
Ontario (Province of)
7.63%, 06/22/04 1,000,000 1,080,618
Quebec (Province of)
5.75%, 02/15/09 1,000,000 1,112,044
6.13%, 01/22/11 1,000,000 1,110,347
United Mexican States
8.13%, 12/30/19 1,000,000 1,055,000
8.50%, 02/01/06 500,000 566,250
---------------
TOTAL FOREIGN GOVERNMENT
BONDS & NOTES
(Cost: $10,660,263) 11,461,121
---------------
- --------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS--69.92%
- --------------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES--21.47%
U.S. Treasury Bonds
5.25%, 02/15/29 $ 1,700,000 $ 1,776,434
5.38%, 02/15/31 1,500,000 1,635,234
6.00%, 02/15/26 1,800,000 2,062,759
6.13%, 11/15/27 2,600,000 3,037,835
6.25%, 05/15/30 700,000 837,676
6.50%, 11/15/26 1,500,000 1,825,840
7.13%, 02/15/23 2,700,000 3,476,882
7.25%, 05/15/16 1,800,000 2,304,844
7.63%, 02/15/25 3,200,000 4,373,501
8.00%, 11/15/21 4,250,000 5,921,776
8.13%, 08/15/19 1,850,000 2,576,848
8.13%, 05/15/21 2,000,000 2,811,016
8.75%, 11/15/08 500,000 531,230
8.75%, 05/15/17 1,600,000 2,313,250
8.75%, 05/15/20 1,800,000 2,654,579
9.13%, 05/15/18 1,500,000 2,247,070
9.25%, 02/15/16 600,000 890,344
9.38%, 02/15/06 800,000 975,906
9.88%, 11/15/15 400,000 617,500
10.38%, 11/15/09 3,100,000 3,591,400
10.38%, 11/15/12 1,300,000 1,737,531
11.25%, 02/15/15 650,000 1,082,479
11.75%, 11/15/14 500,000 751,894
12.50%, 08/15/14 400,000 614,641
12.75%, 11/15/10 2,200,000 2,847,282
13.25%, 05/15/14 850,000 1,333,338
13.88%, 05/15/11 600,000 823,898
U.S. Treasury Notes
1.88%, 09/30/04 3,000,000 3,020,976
2.13%, 08/31/04 4,750,000 4,802,882
2.88%, 06/30/04 2,000,000 2,044,218
3.00%, 11/15/07 1,000,000 1,012,031
3.25%, 12/31/03 5,000,000 5,100,000
3.25%, 05/31/04 5,800,000 5,954,518
3.38%, 04/30/04 1,100,000 1,129,777
3.50%, 11/15/06 2,300,000 2,393,437
3.63%, 03/31/04 1,600,000 1,646,000
4.00%, 11/15/12 3,100,000 3,143,837
4.38%, 05/15/07 2,000,000 2,147,656
4.38%, 08/15/12 2,650,000 2,769,973
4.63%, 05/15/06 1,000,000 1,078,516
4.75%, 11/15/08 900,000 982,406
4.88%, 02/15/12 2,500,000 2,714,745
5.00%, 08/15/11 1,800,000 1,973,812
5.50%, 05/15/09 800,000 907,656
5.63%, 02/15/06 1,000,000 1,107,344
5.63%, 05/15/08 2,500,000 2,836,327
5.75%, 11/15/05 4,200,000 4,642,806
5.75%, 08/15/10 1,600,000 1,839,626
5.88%, 02/15/04 1,000,000 1,051,523
5.88%, 11/15/04 1,800,000 1,944,070
6.00%, 08/15/04 4,200,000 4,509,750
6.00%, 08/15/09 2,000,000 2,325,312
6.13%, 08/15/07 3,100,000 3,564,758
6.25%, 02/15/07 1,200,000 1,376,766
6.50%, 05/15/05 1,000,000 1,110,039
6.50%, 02/15/10 1,800,000 2,151,562
6.75%, 05/15/05 4,000,000 4,459,532
6.88%, 05/15/06 1,100,000 1,265,602
7.00%, 07/15/06 1,400,000 1,623,180
7.88%, 11/15/04 1,000,000 1,116,680
---------------
135,400,304
---------------
</Table>
181
<Page>
<Table>
<Caption>
SECURITY FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS--(CONTINUED)
- --------------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES--35.34%
Federal Home Loan Mortgage Corporation
(2) 5.00%, 01/01/18 $ 6,000,000 $ 6,144,372
5.50%, 01/01/17 1,768,242 1,836,246
5.50%, 03/01/17 4,478,930 4,650,889
5.50%, 04/01/17 1,863,731 1,935,285
(2) 5.50%, 01/01/33 3,000,000 3,057,186
(2) 5.50%, 01/21/33 3,000,000 3,108,750
6.00%, 11/01/16 817,784 856,206
6.00%, 02/01/17 849,291 889,194
6.00%, 04/01/17 875,204 915,800
6.00%, 05/01/17 834,114 872,803
6.00%, 06/01/17 907,928 950,041
6.00%, 09/01/32 14,458,524 14,971,418
6.00%, 11/01/32 2,272,931 2,353,560
6.50%, 01/01/17 7,116,722 7,525,978
6.50%, 06/01/31 1,617,981 1,686,131
6.50%, 09/01/31 742,492 773,766
6.50%, 11/01/31 6,067,004 6,322,549
(2) 6.50%, 01/14/33 4,000,000 4,165,000
7.00%, 02/01/16 2,730,081 2,904,439
7.00%, 12/01/31 3,207,148 3,370,896
7.00%, 01/01/32 4,182,210 4,395,742
7.00%, 04/01/32 2,161,316 2,272,425
7.50%, 06/01/27 1,365,888 1,458,131
7.50%, 01/01/28 2,353,935 2,512,904
7.50%, 10/01/29 2,031,309 2,171,677
8.00%, 12/01/24 5,129,683 5,569,854
Federal National Mortgage Association
(2) 5.00%, 01/01/18 2,000,000 2,048,124
(2) 5.50%, 01/01/18 2,000,000 2,071,876
(2) 5.50%, 01/01/33 4,000,000 4,078,752
6.00%, 06/01/16 759,315 794,862
6.00%, 07/01/16 839,477 878,777
6.00%, 01/01/17 921,519 964,660
(2) 6.00%, 01/01/18 8,000,000 8,360,000
6.00%, 12/01/32 10,994,188 11,380,755
(2) 6.00%, 01/14/33 10,000,000 10,334,380
6.50%, 02/01/17 2,587,432 2,735,592
6.50%, 01/01/29 18,074,242 18,849,265
6.50%, 03/01/32 397,430 413,994
6.50%, 08/01/32 13,849,020 14,426,194
6.50%, 09/01/32 2,718,405 2,831,697
7.00%, 03/01/30 4,956,210 5,217,495
7.00%, 08/01/31 3,413,871 3,590,859
7.00%, 02/01/32 4,136,038 4,350,320
7.50%, 06/01/30 351,424 373,231
7.50%, 07/01/31 515,134 547,348
Government National Mortgage Association
(2) 6.00%, 01/01/33 7,000,000 7,280,000
6.50%, 09/15/31 595,063 624,981
6.50%, 03/15/32 861,689 905,026
6.50%, 04/15/32 847,588 890,217
6.50%, 05/15/32 9,837,072 10,331,818
(2) 6.50%, 01/01/33 4,000,000 4,195,000
7.00%, 09/15/31 8,306,171 8,809,419
7.50%, 12/15/23 7,293,827 7,840,467
---------------
222,796,351
---------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--13.11%
Federal Home Loan Bank
5.38%, 05/15/06 $ 3,000,000 $ 3,278,469
5.95%, 07/28/08 3,500,000 3,967,362
6.09%, 06/02/06 1,500,000 1,674,751
6.75%, 08/15/07 700,000 813,109
Federal Home Loan Mortgage Corporation
3.25%, 01/15/04 5,000,000 5,098,280
3.50%, 09/15/07 1,500,000 1,531,247
4.75%, 10/11/12 4,000,000 4,041,250
5.50%, 07/15/06 1,600,000 1,758,822
5.75%, 03/15/09 500,000 561,461
5.75%, 01/15/12 2,200,000 2,447,938
6.25%, 07/15/32 2,160,000 2,446,904
6.75%, 09/15/29 70,000 82,897
6.88%, 01/15/05 3,500,000 3,851,460
6.88%, 09/15/10 200,000 238,541
7.00%, 07/15/05 1,000,000 1,121,798
Federal National Mortgage Association
0.00%, 06/01/17 1,000,000 453,325
3.00%, 06/15/04 3,000,000 3,064,869
3.13%, 11/15/03 1,000,000 1,015,850
3.50%, 09/15/04 3,800,000 3,917,496
3.88%, 03/15/05 6,000,000 6,268,344
5.13%, 02/13/04 7,004,000 7,297,314
5.25%, 03/22/07 2,000,000 2,094,060
5.25%, 01/15/09 1,000,000 1,094,067
5.50%, 03/15/11 3,300,000 3,616,813
5.88%, 02/02/06 1,700,000 1,874,956
6.00%, 05/15/11 1,500,000 1,695,545
6.25%, 02/01/11 1,000,000 1,119,091
6.38%, 06/15/09 394,000 455,900
6.50%, 08/15/04 1,500,000 1,617,003
6.63%, 10/15/07 1,000,000 1,157,660
6.63%, 11/15/10 2,000,000 2,348,240
7.00%, 07/15/05 3,500,000 3,923,955
7.25%, 01/15/10 800,000 969,376
Financing Corp.
8.60%, 09/26/19 1,150,000 1,586,953
9.65%, 11/02/18 500,000 745,442
Tennessee Valley Authority
6.25%, 12/15/17 1,600,000 1,805,798
6.88%, 12/15/43 1,000,000 1,064,037
7.13%, 05/01/30 450,000 558,818
---------------
82,659,201
---------------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS
(Cost: $423,510,852) 440,855,856
---------------
</Table>
182
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
SHORT TERM INSTRUMENTS--15.88%
- --------------------------------------------------------------------------------------
Barclays Global Investors
Funds Institutional
Money Market Fund,
Institutional Shares 93,946,388 $ 93,946,388
BlackRock Temp Cash
Money Market Fund 5,315,885 5,315,885
Dreyfus Money Market Fund 458,266 458,266
Goldman Sachs
Financial Square Prime
Obligation Fund 399,210 399,210
---------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $100,119,749) 100,119,749
---------------
TOTAL INVESTMENTS
IN SECURITIES--114.83%
(Cost $694,784,708) 724,016,320
Other Assets, Less Liabilities--(14.83%) (93,531,745)
---------------
NET ASSETS--100.00% $ 630,484,575
===============
</Table>
(1) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(2) TBA.
(3) Investment is denominated in U.S. Dollars.
The accompanying notes are an integral part of these financial statements.
183
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
EXTENDED INDEX MASTER PORTFOLIO
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--98.92%
- --------------------------------------------------------------------------------------
ADVERTISING--0.56%
(1) ADVO Inc. 1,702 $ 55,877
(1) APAC Customer Services
Inc. 3,944 9,229
(1) Catalina Marketing Corp. 3,451 63,843
(1) Donnelley (R.H.) Corp. 2,230 65,361
(1) Getty Images Inc. 3,366 102,831
Grey Global Group Inc. 55 33,610
Harte-Hanks Inc. 5,214 97,345
(1) Interep National Radio
Sales Inc. "A" 3,040 7,083
(1) Lamar Advertising Co. 5,176 174,172
(1) MKTG Services Inc. 1,300 182
(1) Modem Media Inc. 2,000 5,200
(1) Obie Media Corp. 1,917 6,345
(1) Penton Media Inc. 2,119 1,441
(1) SITEL Corp. 4,768 5,722
(1) 24/7 Real Media Inc. 2,732 628
(1) ValueVision Media Inc. "A" 2,142 32,087
(1) West Corp. 4,233 70,268
---------------
731,224
---------------
AEROSPACE/DEFENSE--0.65%
AAR Corp. 2,040 10,506
(1) Alliant Techsystems Inc. 2,206 137,544
(1) BE Aerospace Inc. 2,187 7,961
Curtiss-Wright Corp. 1,056 67,394
(1) DRS Technologies Inc. 1,200 37,596
(1) Fairchild Corp. (The) "A" 6,531 32,394
GenCorp. Inc. 2,957 23,419
HEICO Corp. 1,209 12,827
HEICO Corp. "A" 1,469 12,149
(1) Integrated Defense
Technologies Inc. 300 4,350
(1) Kreisler Manufacturing
Corp. 2,500 14,500
(1) L-3 Communications
Holdings Inc. 5,802 260,568
(1) Orbital Sciences Corp. 4,247 17,922
(1) Sequa Corp. "A" 864 33,791
(1) Teledyne Technologies Inc. 1,800 28,224
(1) Titan Corp. (The) 4,376 45,510
(1) United Defense Industries
Inc. 1,873 43,641
(1) Veridian Corp. 2,960 63,166
---------------
853,462
---------------
AGRICULTURE--0.18%
Bunge Ltd. 6,129 147,464
Delta & Pine Land Co. 3,114 63,557
DIMON Inc. 4,000 24,000
(1) Northland Cranberries
Inc. "A" 532 479
(1) Scheid Vineyards Inc. "A" 1,000 2,600
---------------
238,100
---------------
AIRLINES--0.27%
(1) Airtran Holdings Inc. 3,693 14,403
(1) Alaska Air Group Inc. 1,572 34,034
(1) American West Holdings
Corp. "B" 2,024 3,643
(1) Atlantic Coast Airlines
Holdings Inc. 2,718 32,698
(1) Continental Airlines
Inc. "B" 3,764 27,289
(1) ExpressJet Holdings Inc. 3,909 $ 40,067
(1) JetBlue Airways Corp. 3,752 101,304
(1) Midwest Express Holdings
Inc. 1,830 9,790
(1) Northwest Airlines Corp.
"A" 6,335 46,499
SkyWest Inc. 3,168 41,406
(1) UAL Corp. 3,676 5,257
---------------
356,390
---------------
APPAREL--0.26%
(1) Cherokee Inc. 1,989 29,039
(1) Dickie Walker Marine Inc. 1,800 4,104
(1) Gymboree Corp. 2,800 44,408
(1) JLM Couture Inc. 2,100 7,350
Oxford Industries Inc. 1,514 38,834
Phillips-Van Heusen Corp. 2,403 27,779
(1) Quiksilver Inc. 1,669 44,496
Stride Rite Corp. 4,777 34,251
(1) Timberland Co. "A" 2,452 87,316
(1) Unifi Inc. 4,132 21,693
---------------
339,270
---------------
AUTO MANUFACTURERS--0.26%
(1) Aftermarket Technology
Corp. 1,845 26,752
(1) American Axle &
Manufacturing Holdings
Inc. 3,100 72,602
CLARCOR Inc. 1,991 64,250
(1) Dura Automotive Systems
Inc. 1,122 11,265
(1) Hastings Manufacturing
Co. 1,700 17,612
Oshkosh Truck Corp. 1,007 61,930
Smith (A.O.) Corp. "B" 1,742 47,051
(1) Starcraft Corp. 2,200 17,820
Titan International Inc. 2,171 2,909
(1) Wabash National Corp. 2,527 21,176
---------------
343,367
---------------
AUTO PARTS & EQUIPMENT--0.40%
ArvinMeritor Inc. 4,538 75,648
Bandag Inc. 1,481 57,285
BorgWarner Inc. 1,581 79,714
(1) Collins & Aikman Corp. 2,400 10,680
(1) Edelbrock Corp. 1,907 21,721
(1) Lear Corp. 4,050 134,784
Modine Manufacturing Co. 1,524 26,944
(1) Strattec Security Corp. 247 11,841
Superior Industries
International Inc. 1,424 58,897
(1) Tenneco Automotive Inc. 6,600 26,664
(1) Tower Automotive Inc. 3,068 13,806
---------------
517,984
---------------
BANKS--9.95%
AMB Financial Corp. 1,800 26,750
AMCORE Financial Inc. 2,295 49,801
(1) American Pacific Bank "B" 4,500 22,770
Anchor BanCorp Wisconsin
Inc. 2,823 58,577
(1) Arch Capital Group Ltd. 2,263 70,538
Associated Bancorp 4,261 144,618
Astoria Financial Corp. 5,892 159,968
Banc Corp. (The) 1,790 13,890
BancFirst Corp. 415 19,505
BancorpSouth Inc. 4,398 85,409
Bank Mutual Corp. 1,500 34,695
</Table>
184
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Bank of Hawaii Corp. 4,988 $ 151,585
Banknorth Group Inc. 9,064 204,846
(1) Bay View Capital Corp. 3,641 20,936
(1) Blue River Bancshares Inc. 2,893 12,440
(1) BOK Financial Corp. 4,159 134,710
Boston Private Financial
Holdings Inc. 1,600 31,776
BostonFed Bancorp Inc. 1,892 50,516
Brookline Bancorp Inc. 7,531 89,619
Bryn Mawr Bank Corp. 1,058 38,755
California Independent
Bancorp 975 23,985
Capital Bank Corp. 2,500 32,350
Capital City Bank Group Inc. 1,426 55,885
(1) Capital Crossing Bank 2,481 64,702
Cathay Bancorp Inc. 1,802 68,458
CFS Bancorp Inc. 3,746 53,568
Chemical Financial Corp. 2,818 90,599
Chester Bancorp Inc. 1,100 26,125
Chester Valley Bancorp 1,356 30,727
Chittenden Corp. 1,436 36,589
Citizens Banking Corp. 2,343 58,060
Citizens First Financial Corp. 1,522 38,507
City National Corp. 3,111 136,853
CoBiz Inc. 1,419 21,072
Colonial BancGroup Inc.
(The) 8,391 100,105
Commerce Bancorp Inc. 4,204 181,571
Commerce Bancshares Inc. 3,953 155,313
Commercial Federal Corp. 2,708 63,232
Community First Bankshares
Inc. 2,411 63,795
Community Trust Bancorp
Inc. 1,100 27,654
Compass Bancshares Inc. 7,845 245,313
Connecticut Bankshares Inc. 1,000 38,450
Corus Bankshares Inc. 1,651 72,083
Cullen/Frost Bankers Inc. 3,188 104,248
CVB Financial Corp. 3,458 87,937
Downey Financial Corp. 1,480 57,720
East West Bancorp Inc. 2,200 79,376
Farmers Capital Bank Corp. 1,078 35,843
Fidelity Bankshares Inc. 3,019 54,040
Fidelity National Corp. 2,763 27,600
Financial Institutions Inc. 1,000 29,360
First Bancorp 3,199 72,297
First Bancorp North Carolina 858 20,172
(1) First Banks America Inc. 1,000 40,540
First Citizens BancShares
Inc. "A" 909 87,809
First Commonwealth
Financial Corp. 2,868 32,982
First Federal Financial of
Kentucky 552 13,513
First Financial Bancorp 3,790 62,122
First Kansas Financial Corp. 1,900 26,733
First Merchants Corp. 849 19,349
First Midwest Bancorp Inc. 2,460 65,707
First Niagara Financial
Group Inc. 2,931 76,558
First Oak Brook Bancshares
"A" 380 11,940
(1) First Republic Bank 1,000 19,990
First Sentinel Bancorp Inc. 4,730 68,065
1st Source Corp. 2,146 35,945
First Virginia Banks Inc. 4,560 $ 169,769
FIRSTFED AMERICA
BANCORP INC. 1,289 32,032
(1) FirstFed Financial Corp. 1,845 53,413
FirstMerit Corp. 5,590 121,079
FMS Financial Corp. 1,000 13,420
FNB Corp. 2,538 69,846
Frontier Financial Corp. 2,004 51,262
Fulton Financial Corp. 5,340 94,304
GA Financial Inc. 1,963 46,523
GBC Bancorp 1,033 19,999
Glacier Bancorp Inc. 1,000 23,560
Greater Bay Bancorp 2,758 47,686
GreenPoint Financial Corp. 6,038 272,797
Hancock Holding Co. 1,752 78,227
Harbor Florida Bancshares
Inc. 4,183 94,201
Hibernia Corp. "A" 10,096 194,449
Home City Financial Corp. 800 9,360
Home Financial Bancorp 2,015 9,450
Horizon Financial Services
Corp. 900 9,954
Hudson City Bancorp Inc. 13,600 253,368
Hudson River Bancorp Inc. 1,500 37,125
Hudson United Bancorp 2,721 84,623
Independence Community
Bank Corp. 3,455 87,688
Independent Bank Corp.
(Massachusetts) 1,748 39,854
Independent Bank Corp.
(Michigan) 2,287 69,205
(1) IndyMac Bancorp Inc. 4,338 80,210
Integra Bank Corp. 1,697 30,241
International Bancshares
Corp. 2,435 96,061
Investors Financial Services
Corp. 4,200 115,038
Irwin Financial Corp. 2,369 39,088
(1) Local Financial Corp. 1,300 19,045
M&T Bank Corp. 5,692 451,660
(1) Madison Bancshares Group
Ltd. 4,277 17,921
MAF Bancorp Inc. 2,336 79,424
Mahaska Investment Co. 1,062 17,003
Main Street Banks Inc. 1,000 19,200
Medallion Financial Corp. 1,916 7,472
Mercantile Bankshares Corp. 4,394 169,564
Merchants Bancshares Inc. 1,143 25,763
(1) Metropolitan Financial
Corp. 1,200 5,808
National Commerce
Financial Corp. 12,473 297,481
National Penn Bancshares
Inc. 1,926 51,135
(1) Net.B@nk Inc. 5,701 55,186
New York Community
Bancorp Inc. 6,858 198,059
Northwest Bancorp Inc. 5,896 87,202
NSD Bancorp Inc. 1,051 27,326
(1) Ocwen Financial Corp. 6,716 18,805
Old National Bancorp 4,582 111,343
Pacific Capital Bancorp 1,973 50,213
(1) Pacific Premier Bancorp
Inc. 1,953 10,370
Park National Corp. 1,036 102,357
Parkvale Financial Corp. 1,233 28,433
Patriot Bank Corp. 4,128 63,447
Peoples Bancorp Inc. 1,518 38,861
People's Bank 4,591 115,418
</Table>
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<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Peoples Financial Corp. 700 $ 10,500
Popular Inc. 7,868 265,938
Provident Bankshares Corp. 2,688 62,122
Provident Financial Group
Inc. 2,864 74,550
(1) QCF Bancorp Inc. 400 12,000
R&G Financial Corp. "B" 2,074 48,220
Republic Bancorp Inc. 5,643 66,418
Republic Bancorp Inc. "A" 2,640 29,753
(1) Republic Bancshares Inc. 1,754 34,466
Riggs National Corp. 2,971 46,021
Roslyn Bancorp Inc. 6,978 125,813
Royal Bancshares of
Pennsylvania "A" 1,539 32,935
S&T Bancorp Inc. 3,736 93,591
Santander BanCorp 4,147 53,911
(1) Silicon Valley Bancshares 2,146 39,164
Simmons First National
Corp. "A" 911 33,388
Sky Financial Group Inc. 5,152 102,576
Sobieski Bancorp Inc. 1,600 21,584
South Financial Group
Inc. (The) 4,373 90,346
SouthFirst Bancshares Inc. 800 11,200
(1) Southwest Bancorp of Texas
Inc. 1,806 52,031
Sovereign Bancorp Inc. 17,225 242,011
Staten Island Bancorp Inc. 4,184 84,266
Sterling Bancorp -
NY Shares 1,716 45,165
Sterling Bancshares Inc. 3,142 38,395
Sterling Financial Corp.
(Pennsylvania) 1,995 47,182
(1) Sterling Financial Corp.
(Washington) 2,495 46,956
Suffolk Bancorp 3,600 113,832
Susquehanna Bancshares
Inc. 3,704 77,195
TCF Financial Corp. 4,700 205,343
Texas Regional Bancshares
Inc. "A" 2,547 90,523
Tompkins Trustco Inc. 1,000 44,100
Trust Co. of
New Jersey (The) 2,085 58,028
TrustCo Bank Corp. NY 5,945 64,087
Trustmark Corp. 3,856 91,773
UCBH Holdings Inc. 1,198 50,855
UMB Financial Corp. 1,991 76,178
UnionBanCal Corp. 9,310 365,604
United Bancshares Inc. 2,324 67,538
United National Bancorp 1,684 38,816
United Tennessee
Bankshares Inc. 1,100 12,804
Unizan Financial Corp. 3,187 62,943
Valley National Bancorp 6,007 158,405
W Holding Co. Inc. 6,883 112,950
Warwick Community
Bancorp 2,643 74,876
Washington Federal Inc. 3,688 91,647
Washington Trust Bancorp
Inc. 1,000 19,530
Waypoint Financial Corp. 6,900 122,820
Webster Financial Corp. 3,668 127,646
WesBanco Inc. 3,399 79,503
Westamerica Bancorp 2,108 84,699
Westcorp Inc. 3,031 63,651
Westfield Financial Inc. 600 $ 9,300
Whitney Holding Corp. 2,167 72,226
Wilmington Trust Corp. 4,392 139,139
Wintrust Financial Corp. 601 18,823
---------------
13,054,210
---------------
BEVERAGES--0.32%
(1) Chalone Wine Group Ltd. 2,320 19,117
Coca-Cola Bottling Co.
Consolidated 874 56,382
(1) Constellation Brands Inc. 5,196 123,197
Farmer Brothers Co. 186 57,474
PepsiAmericas Inc. 9,213 123,731
(1) Robert Mondavi Corp.
(The) "A" 762 23,622
(1) Sylvan Inc. 1,885 19,415
---------------
422,938
---------------
BIOTECHNOLOGY--1.83%
(1) ACLARA BioSciences Inc. 2,840 5,964
(1) Affymetrix Inc. 3,454 79,062
(1) Alexion Pharmaceuticals
Inc. 1,616 22,818
(1) Applera Corp. - Celera
Genomics Group 4,707 44,952
(1) Arena Pharmaceuticals
Inc. 1,900 12,369
(1) Ariad Pharmaceuticals Inc. 3,100 7,192
(1) Avant Immunotherapeutics
Inc. 2,900 3,291
(1) Bio-Technology General
Corp. 2,779 8,896
Cambrex Corp. 1,890 57,097
(1) Cellegy Pharmaceuticals
Inc. 3,100 12,558
(1) Cephalon Inc. 3,459 168,343
(1) Charles River Laboratories
International Inc. 2,800 107,744
(1) Ciphergen Biosystems Inc. 3,000 10,350
(1) CryoLife Inc. 1,750 11,952
(1) CuraGen Corp. 3,200 14,880
(1) CYTOGEN Corp. 450 1,462
(1) Deltagen Inc. 3,500 1,680
(1) Diversa Corp. 2,387 21,602
(1) EntreMed Inc. 1,378 1,185
(1) Exact Sciences Corp. 2,500 27,075
(1) eXegenics Inc. 4,756 1,665
(1) Exelixis Inc. 4,520 36,160
(1) Genaera Corporation 1,822 1,166
(1) Gene Logic Inc. 1,900 11,951
(1) Genencor International
Inc. 4,500 44,010
(1) Genentech Inc. 13,689 453,927
(1) Genome Therapeutics
Corp. 3,020 4,741
(1) GTC Biotherapeutics Inc. 7,976 9,412
(1) Human Genome Sciences
Inc. 8,712 76,753
(1) ICOS Corp. 4,116 96,356
(1) IDEC Pharmaceuticals
Corp. 9,376 311,002
(1) Illumina Inc. 2,560 8,627
(1) Immunomedics Inc. 3,393 15,676
(1) Incyte Genomics Inc. 4,282 19,526
(1) Integra LifeSciences
Holdings Corp. 2,000 35,300
(1) Invitrogen Corp. 3,692 115,523
(1) Kosan Biosciences Inc. 4,000 24,280
(1) Large Scale Biology Corp. 1,704 1,363
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Maxim Pharmaceuticals
Inc. 7,365 $ 21,285
(1) Maxygen Inc. 2,462 18,760
(1) Millennium Pharmaceuticals
Inc. 17,837 141,626
(1) Myriad Genetics Inc. 1,673 24,426
(1) Nanogen Inc. 7,100 11,005
(1) Neurobiological
Technologies Inc. 3,414 19,463
(1) Protein Design Labs Inc. 5,220 44,370
(1) Regeneron Pharmaceuticals
Inc. 3,143 58,177
(1) Ribapharm Inc. 897 5,875
(1) Sequenom Inc. 3,687 6,637
(1) Targeted Genetics Corp. 3,300 1,320
(1) TECHNE Corp. 2,192 62,621
(1) Telik Inc. 2,100 24,486
(1) Third Wave Technologies
Inc. 2,454 6,601
(1) Transkaryotic Therapies
Inc. 2,355 23,314
(1) V.I. Technologies Inc. 3,152 3,184
(1) Variagenics Inc. 3,496 4,790
(1) XOMA Ltd. 8,476 35,853
---------------
2,401,703
---------------
BUILDING MATERIALS--0.71%
(1) Advanced Lighting
Technologies Inc. 1,945 642
Apogee Enterprises Inc. 2,500 22,377
Centex Construction
Products Inc. 1,509 53,041
(1) Ceradyne Inc. 2,800 21,840
(1) Comfort Systems USA Inc. 4,359 14,603
ElkCorp 1,370 23,701
Florida Rock Industries Inc. 1,567 59,624
(1) Genlyte Group Inc. (The) 1,102 34,338
(1) Homasote Co. 900 8,370
(1) Integrated Electrical Services
Inc. 3,692 14,214
Lafarge North America Inc. 4,101 134,718
Lennox International Inc. 3,521 44,189
LSI Industries Inc. 1,734 24,016
Martin Marietta Materials
Inc. 3,483 106,789
(1) NCI Building Systems Inc. 1,307 28,519
(1) Nortek Holdings Inc. 900 41,175
Rayonier Inc. 1,546 69,956
(1) Rock of Ages Corp. 2,774 15,673
(1) Simpson Manufacturing Co.
Inc. 1,834 60,339
Texas Industries Inc. 1,249 30,351
(1) Trex Co. Inc. 1,300 45,890
(1) USG Corp. 2,423 20,474
(1) Waxman Industries Inc. 1,900 10,545
York International Corp. 1,892 48,378
---------------
933,762
---------------
CHEMICALS--1.54%
(1) Airgas Inc. 5,251 90,580
Albemarle Corp. 2,602 74,027
Arch Chemicals Inc. 2,100 38,325
(1) Atlantis Plastics Inc. "A" 600 3,120
Cabot Corp. 3,977 105,550
(1) Cabot Microelectronics
Corp. 1,810 $ 85,432
Crompton Corp. 8,406 50,016
(1) Cytec Industries Inc. 2,335 63,699
(1) Detrex Corp. 2,000 5,400
Ferro Corp. 2,485 60,709
Flamemaster Corp. (The) 1,600 10,190
(1) Foamex International Inc. 2,122 6,706
Fuller (H.B.) Co. 2,050 53,054
(1) General Chemical Group
Inc. (The) 4,900 3,038
Georgia Gulf Corp. 2,179 50,422
IMC Global Inc. 7,815 83,386
(1) International Specialty
Products Inc. 3,376 34,469
(1) JLM Industries Inc. 2,200 2,134
(1) Landec Corp. 1,973 3,946
Lubrizol Corp. 3,866 117,913
Lyondell Chemical Co. 8,434 106,606
MacDermid Inc. 1,924 43,963
Millennium Chemicals Inc. 3,774 35,928
Minerals Technologies Inc. 985 42,503
(1) Mississippi Chemical Corp. 2,577 825
Myers Industries Inc. 3,121 33,395
NL Industries Inc. 3,832 65,144
Olin Corp. 2,793 43,431
OM Group Inc. 1,760 12,109
(1) OMNOVA Solutions Inc. 2,357 9,499
Penford Corp. 1,571 22,135
PolyOne Corp. 4,908 19,239
(1) Rogers Corp. 962 21,404
RPM International Inc. 6,547 100,038
Schulman (A.) Inc. 2,888 53,746
Solutia Inc. 6,927 25,145
Spartech Corp. 2,902 59,868
Stepan Co. 663 16,575
(1) SurModics Inc. 1,148 32,925
(1) Symyx Technologies Inc. 1,700 21,403
(1) Terra Industries Inc. 5,000 7,650
(1) U.S. Plastic Lumber Co. 1,954 373
Valhi Inc. 6,622 54,963
Valspar Corp. (The) 3,155 139,388
(1) Vertex Pharmaceuticals Inc. 4,698 74,463
Wellman Inc. 2,600 35,074
---------------
2,019,908
---------------
COAL--0.08%
CONSOL Energy Inc. 4,500 77,760
Massey Energy Co. 2,268 22,045
---------------
99,805
---------------
COMMERCIAL SERVICES--4.11%
Aaron Rents Inc. "A" 1,271 29,106
(1) Ablest Inc. 1,700 9,435
ABM Industries Inc. 2,912 45,136
(1) Actuant Corp. "A" 557 25,873
(1) Administaff Inc. 1,570 9,420
(1) Advisory Board Co. (The) 1,900 56,810
(1) AHL Services Inc. 2,230 1,786
(1) Albany Molecular Research
Inc. 2,100 31,061
(1) AMN Healthcare Services
Inc. 3,900 65,949
(1) Answerthink Inc. 2,281 5,702
(1) ARAMARK Corp. "B" 2,574 60,489
(1) Arbitron Inc. 2,400 80,400
(1) Armor Holdings Inc. 3,000 41,310
(1) Atrix Laboratories Inc. 1,816 27,856
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Barrett Business Services
Inc. 5,200 $ 16,120
(1) BearingPoint Inc. 9,349 64,508
(1) Blount International Inc. 3,065 11,678
(1) Blue Rhino Corp. 1,881 32,711
Bowne & Co. Inc. 2,846 34,010
(1) Bright Horizons Family
Solutions Inc. 1,019 28,654
(1) Career Education Corp. 3,500 140,000
(1) Caremark Rx Inc. 14,794 240,402
(1) CDI Corp. 2,262 61,029
Central Parking Corp. 2,122 40,021
(1) Charles River Associates
Inc. 1,972 28,002
Chemed Corp. 1,162 41,077
(1) Coinstar Inc. 1,800 40,770
(1) Corinthian Colleges Inc. 2,800 106,008
(1) Corporate Executive Board
Co. (The) 1,900 60,648
(1) CoStar Group Inc. 1,228 22,657
(1) Cross Country Inc. 1,700 23,715
(1) DeVry Inc. 4,301 71,440
(1) DiamondCluster
International Inc. "A" 2,863 8,990
(1) divine inc. "A" 1,257 1,760
(1) Dun & Bradstreet Corp. 5,100 175,899
(1) eBenx Inc. 3,010 14,328
(1) Edgewater Technology
Inc. 3,066 14,472
(1) Edison Schools Inc. 3,000 4,860
(1) Education Management
Corp. 2,005 75,388
(1) Electro Rent Corp. 1,901 23,287
(1) Exult Inc. 10,700 34,026
(1) First Consulting Group
Inc. 2,194 12,637
(1) First Health Group Corp. 5,842 142,253
(1) FTI Consulting Inc. 1,500 60,225
(1) Gartner Inc. "B" 5,300 50,085
Gevity HR Inc. 1,928 7,808
(1) Griffin Land & Nurseries
Inc. 1,300 18,837
(1) GSI Commerce Inc. 2,939 10,727
(1) Harris Interactive Inc. 5,460 16,107
(1) Healthcare Services Group
Inc. 2,214 28,871
(1) Heidrick & Struggles
International Inc. 1,500 22,005
(1) Hewitt Associates Inc. "A" 761 24,116
(1) Interactive Data Corp. 7,842 107,827
(1) Interstate National Dealer
Services Inc. 3,200 19,043
(1) Iron Mountain Inc. 5,170 170,662
(1) ITT Educational Services
Inc. 3,416 80,447
(1) j2 Global Communications
Inc. 283 5,388
Kelly Services Inc. "A" 1,746 43,144
(1) Korn/Ferry International 2,500 18,700
(1) Kroll Inc. 3,624 69,146
(1) Labor Ready Inc. 4,970 31,907
Landauer Inc. 1,617 56,191
(1) Learning Tree International
Inc. 1,311 17,961
(1) LendingTree Inc. 4,366 56,234
(1) Mail-Well Inc. 5,584 $ 13,960
(1) Management Network
Group Inc. (The) 3,200 4,864
Manpower Inc. 4,542 144,890
(1) MAXIMUS Inc. 2,104 54,914
McGrath Rentcorp 916 21,206
(1) Medical Staffing Network
Holdings Inc. 1,014 16,224
(1) MedQuist Inc. 2,616 53,000
(1) Midas Inc. 2,555 16,429
(1) MPS Group Inc. 5,602 31,035
(1) MPW Industrial Services
Group Inc. 1,095 1,971
(1) National Research Corp. 2,500 23,570
(1) Navigant Consulting Co. 4,627 27,299
(1) Neff Corp. 4,392 527
(1) NetRatings Inc. 2,328 16,759
(1) Neurogen Corp. 1,733 6,291
(1) New Horizons Worldwide
Inc. 1,608 6,352
(1) On Assignment Inc. 1,578 13,445
(1) PDI Inc. 878 9,474
(1) PFSweb Inc. 2,656 1,116
(1) Pharmaceutical Product
Development Inc. 3,321 97,206
(1) Pharmacopeia Inc. 1,300 11,596
(1) Plexus Corp. 2,360 20,721
(1) Precis Inc. 2,884 15,923
(1) Predictive Systems Inc. 2,100 756
(1) Pre-Paid Legal Services
Inc. 1,100 28,820
(1) PRG-Schultz International
Inc. 3,046 27,109
(1) Princeton Review Inc.
(The) 1,637 8,103
(1) ProsoftTraining 2,672 401
(1) Quanta Services Inc. 4,875 17,062
(1) Rainbow Rentals Inc. 1,065 5,538
(1) RCM Technologies Inc. 3,186 12,457
(1) Rent-A-Center Inc. 2,217 110,739
(1) Rent-Way Inc. 1,445 5,057
(1) Resources Connection Inc. 1,300 30,173
Rollins Inc. 3,166 80,575
Roper Industries Inc. 2,199 80,483
(1) Security Associates
International Inc. 3,200 368
(1) Service Corp.
International 11,600 38,512
ServiceMaster Co. (The) 18,725 207,848
(1)Sotheby's Holdings Inc.
"A" 3,645 32,805
(1) SOURCECORP Inc. 1,406 26,138
(1) Spherion Corp. 3,724 24,951
(1) SPS Technologies Inc. 866 20,567
(1) Stewart Enterprises
Inc. "A" 5,516 30,730
Strayer Education Inc. 1,102 63,365
(1) Student Advantage Inc. 360 140
(1) Sylvan Learning Systems
Inc. 2,373 38,917
(1) TeleTech Holdings Inc. 4,895 35,538
(1) Trimeris Inc. 1,216 52,495
(1) Tyler Technologies Inc. 3,772 15,729
(1) United Rentals Inc. 4,160 44,762
(1) Universal Security
Instruments Inc. 2,100 17,850
(1) URS Corp. 842 11,982
(1) Valassis Communications
Inc. 3,335 98,149
</Table>
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<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Viad Corp. 5,147 $ 115,035
(1) Volt Information Sciences
Inc. 1,067 18,246
(1) Wackenhut Corrections
Corp. 1,500 16,665
(1) Watson Wyatt & Co.
Holdings 3,200 69,600
(1) Weight Watchers
International Inc. 6,661 306,206
(1) Westaff Inc. 1,884 4,710
(1) Wireless Facilities Inc. 2,500 15,025
World Fuel Services Corp. 4,155 85,177
---------------
5,384,669
---------------
COMPUTER SYSTEMS--0.00%
(1) MetaSolv Inc. 2,760 3,809
---------------
3,809
---------------
COMPUTERS--4.54%
(1) Accrue Software Inc. 2,100 63
(1) ACE*COMM Corp. 4,000 4,200
(1) Activision Inc. 3,922 57,222
(1) Advanced Digital
Information Corp. 3,140 21,069
(1) Advent Software Inc. 2,194 29,904
(1) Affiliated Computer
Services Inc. "A" 8,115 427,255
(1) Agile Software Corp. 3,100 23,994
(1) American Software
Inc. "A" 3,900 10,725
(1) Anteon International
Corp. 3,200 76,800
(1) Applix Inc. 1,058 1,174
(1) Art Technology Group Inc. 4,400 5,456
(1) Ask Jeeves Inc. 3,000 7,680
(1) Aspen Technology Inc. 2,506 7,092
(1) Auspex Systems Inc. 2,748 1,017
(1) Avici Systems Inc. 734 2,628
(1) BARRA Inc. 1,431 43,402
(1) BindView Development
Corp. 4,020 5,829
(1) BISYS Group Inc. (The) 7,364 117,088
Black Box Corp. 1,271 56,941
(1) Blue Coat Systems Inc. 584 2,295
(1) Braun Consulting Inc. 3,200 2,912
(1) Brio Software Inc. 2,347 3,638
(1) Brocade Communications
Systems Inc. 14,800 61,272
(1) BSQUARE Corp. 1,800 2,270
(1) CACI International Inc. "A" 1,800 64,152
(1) Calico Commerce Inc. 1,824 511
(1) Carreker Corp. 1,313 5,948
(1) Catalyst International Inc. 2,159 1,101
(1) CCC Information Services
Group Inc. 3,164 56,095
(1) Ceridian Corp. 9,500 136,990
(1) CIBER Inc. 3,099 15,960
(1) Ciprico Inc. 1,618 5,339
(1) Cogent Communications
Group Inc. 3,800 1,444
(1) Cognizant Technology
Solutions Corp. 758 54,750
(1) Commerce One Inc. 1,244 3,421
(1) Computer Network
Technology Corp. 1,415 10,046
(1) Concur Technologies Inc. 4,166 $ 13,373
(1) Concurrent Computer
Corp. 3,566 10,270
(1) Covansys Corp. 2,955 11,105
(1) Critical Path Inc. 4,989 2,544
(1) Crossroads Systems Inc. 2,600 2,522
(1) CyberSource Corp. 2,300 5,635
(1) Cylink Corp. 2,873 3,479
(1) Cysive Inc. 2,500 6,750
(1) Daleen Technologies Inc. 1,700 187
(1) Data Translation Inc. 2,700 1,377
(1) Dataram Corp. 2,350 7,261
(1) Datatec Systems Inc. 3,783 5,448
(1) Dendrite International Inc. 2,959 22,104
Diebold Inc. 4,777 196,908
(1) Digex Inc. 2,600 1,118
(1) Digital River Inc. 3,738 44,669
(1) Digitas Inc. 4,795 16,591
(1) DocuCorp International
Inc. 898 5,946
(1) Dot Hill Systems Corp. 2,640 8,184
(1) DSP Group Inc. 1,792 28,349
(1) DST Systems Inc. 7,486 266,127
(1) E.piphany Inc. 5,150 21,475
(1) Echelon Corp. 2,298 25,761
(1) Eclipsys Corp. 2,793 14,943
(1) eGain Communications
Corp. 2,751 578
(1) Elcom International Inc. 4,021 885
(1) Electronics For Imaging
Inc. 5,078 82,573
(1) Elite Information Group
Inc. 2,800 25,900
(1) Ener1 Inc. 2,600 143
(1) Engage Inc. 11,800 1,581
(1) Enterasys Networks Inc. 11,776 18,371
(1) Entrust Inc. 4,400 14,784
(1) Equinix Inc. 139 793
(1) Evolving Systems Inc. 5,519 6,098
(1) Exabyte Corp. 3,131 1,659
(1) Extended Systems Inc. 1,500 2,835
(1) Extreme Networks Inc. 6,900 22,563
FactSet Research Systems
Inc. 2,354 66,548
Fair Isaac and Co. Inc. 3,307 141,209
(1) Fidelity National Information
Solutions Inc. 1,744 30,084
(1) First Virtual
Communications Inc. 4,601 1,380
(1) Forgent Networks Inc. 2,700 4,509
(1) Foundry Networks Inc. 7,300 51,392
(1) Hall Kinion & Associates
Inc. 1,325 7,408
Henry (Jack) & Associates
Inc. 6,112 73,588
(1) Hypercom Corp. 3,574 13,331
(1) Hyperion Solutions Corp. 2,443 62,712
(1) IDX Systems Corp. 2,485 42,320
(1) iGATE Corp. 2,794 7,320
(1) iManage Inc. 2,500 8,000
(1) InFocus Corp. 2,918 17,975
(1) Inforte Corp. 3,794 29,403
(1) infoUSA Inc. 3,416 16,978
(1) Integral Systems Inc. 1,262 25,303
(1) InterCept Inc. 1,200 20,317
(1) Intergraph Corp. 3,688 65,499
(1) Interliant Inc. 4,100 74
(1) Internap Network Services
Corp. 10,300 3,811
</Table>
189
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<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Internet Security Systems
Inc. 3,224 $ 59,096
(1) Intertrust Technologies
Corp. 6,000 25,380
(1) Interwoven Inc. 6,200 16,120
(1) Intraware Inc. 2,300 2,530
(1) Intrusion.com Inc. 2,128 681
(1) Iomega Corp. 1,709 13,416
(1) ION Networks Inc. 800 192
(1) ITXC Corp. 3,600 8,352
(1) Juniper Networks Inc. 22,807 155,088
(1) Jupiter Media Metrix Inc. 7,751 1,318
(1) Keynote Systems Inc. 2,800 21,616
(1) Kronos Inc. 1,282 47,421
(1) Larscom Inc. "A" 2,700 999
(1) Level 8 Systems Inc. 2,797 1,063
(1) Lexar Media Inc. 4,300 26,961
(1) Liberate Technologies 6,400 9,152
(1) LookSmart Ltd. 5,000 12,400
(1) Manhattan Associates Inc. 1,961 46,397
(1) MapInfo Corp. 922 5,117
(1) Marimba Inc. 2,100 3,423
(1) Maxtor Corp. 14,233 72,019
(1) McDATA Corp. "A" 6,934 49,231
(1) Media 100 Inc. 1,360 870
(1) Mentor Graphics Corp. 3,740 29,396
(1) MICROS Systems Inc. 1,421 31,859
(1) Micros-To-Mainframes Inc. 1,000 580
(1) Mitek Systems Inc. 3,300 4,092
(1) Mobius Management
Systems Inc. 1,756 4,214
(1) MTI Technology Corp. 3,350 1,474
MTS Systems Corp. 4,285 42,936
(1) Multex.com Inc. 1,714 7,199
(1) National Instruments
Corp. 3,709 120,505
(1) NaviSite Inc. 4,300 645
(1) Neoware Systems Inc. 1,800 26,838
(1) Net Perceptions Inc. 3,000 4,140
(1) NetScout Systems Inc. 2,500 10,875
(1) Netsmart Technologies
Inc. 4,200 19,610
(1) Novadigm Inc. 1,945 4,532
(1) Nuance Communications
Inc. 2,329 5,776
(1) NYFIX Inc. 1,983 8,923
(1) Odetics Inc. "A" 1,335 868
(1) On2 Technologies Inc. 2,100 630
(1) OneSource Information
Services Inc. 2,900 22,243
(1) ONYX Software Corp. 2,900 4,495
(1) Packeteer Inc. 3,800 26,068
(1) Palm Inc. 1,560 24,492
(1) PEC Solutions Inc. 2,400 71,760
(1) Pegasus Solutions Inc. 2,005 20,110
(1) Performance Technologies
Inc. 1,587 5,174
(1) Perot Systems Corp. "A" 6,811 73,014
(1) Phoenix Technologies Ltd. 1,569 9,053
(1) Primus Knowledge
Solutions Inc. 2,500 1,050
(1) ProBusiness Services Inc. 1,516 15,160
(1) Progress Software Corp. 1,928 24,968
(1) QAD Inc. 2,989 10,192
(1) Quantum Corp. 9,760 26,059
(1) Quest Software Inc. 5,800 $ 59,798
(1) Radiant Systems Inc. 2,038 19,626
(1) RadiSys Corp. 1,563 12,473
(1) Radview Software Ltd. 2,092 314
(1) Rainbow Technologies
Inc. 2,864 20,535
(1) Read-Rite Corp. 7,300 2,555
(1) Red Hat Inc. 10,000 59,100
(1) Redback Networks Inc. 9,200 7,728
(1) Retek Inc. 3,155 8,582
(1) Riverstone Networks Inc. 7,510 15,921
(1) RSA Security Inc. 3,093 18,527
(1) RWD Technologies Inc. 1,550 2,402
(1) Safeguard Scientifics Inc. 7,939 10,797
(1) Sagent Technology Inc. 2,400 720
(1) Sanchez Computer
Associates Inc. 2,362 6,803
(1) SanDisk Corp. 4,022 81,647
(1) ScanSource Inc. 222 10,945
(1) Scientific Learning Corp. 3,800 5,510
(1) SCM Microsystems Inc. 2,988 12,699
(1) Seagate Technology 4,600 49,358
(1) Secure Computing Corp. 2,230 14,294
(1) SEEC Inc. 2,300 2,300
SEI Investment Co. 6,888 187,216
(1) Silicon Storage
Technology Inc. 5,987 24,187
(1) SmartDisk Corp. 1,900 684
(1) SmartServ Online Inc. 3,200 4,160
(1) Socket Communications
Inc. 2,600 1,872
(1) Sonic Foundry Inc. 2,400 1,152
(1) SONICblue Inc. 5,029 2,313
(1) SonicWALL Inc. 4,200 15,246
(1) Speedus Corp. 3,600 2,776
(1) SportsLine.com Inc. 3,955 3,955
(1) SRA International Inc. "A" 900 24,381
(1) SS&C Technologies Inc. 3,939 41,954
(1) Storage Technology Corp. 8,066 172,774
(1) StorageNetworks Inc. 2,316 2,687
(1) Stratasys Inc. 2,400 22,920
(1) Stratos Lightwave Inc. 700 3,079
(1) Sykes Enterprises Inc. 2,159 7,082
(1) Synaptics Inc. 600 4,560
(1) Synopsys Inc. 4,830 222,904
(1) Syntel Inc. 3,108 65,299
(1) T/R Systems Inc. 3,632 2,008
(1) Take-Two Interactive
Software Inc. 2,620 61,544
(1) Tanning Technology Corp. 1,800 1,368
(1) Technology Solutions Co. 3,925 4,278
(1) Teknowledge Corp. 700 623
(1) Tellium Inc. 6,019 3,852
(1) TenFold Corp. 2,000 290
(1) THQ Inc. 2,760 36,570
(1) 3Com Corp. 22,888 105,971
(1) 3D Systems Corp. 2,317 18,073
(1) Tidel Technologies Inc. 1,200 468
(1) Tier Technologies Inc. "B" 1,884 30,144
(1) TransAct Technologies Inc. 3,700 17,538
(1) Tumbleweed
Communications Corp. 2,204 3,418
(1) Turnstone Systems Inc. 7,062 19,067
(1) Ultimate Software Group
Inc. 2,485 8,573
(1) USDATA Corp. 660 488
(1) VeriSign Inc. 15,231 122,153
(1) Verity Inc. 2,268 30,371
(1) Versant Corp. 3,800 2,584
</Table>
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<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Verso Technologies Inc. 2,283 $ 1,189
(1) Vertel Corp. 2,100 231
(1) Vialink Co. (The) 2,188 383
(1) Vitria Technology Inc. 9,200 6,900
(1) WatchGuard Technologies
Inc. 2,200 14,038
(1) Wave Systems Corp. "A" 3,069 4,082
(1) Webb Interactive Services 1,672 468
(1) Western Digital Corp. 10,771 68,827
(1) Xanser Corp. 2,200 3,476
(1) Xybernaut Corp. 5,065 2,629
(1) Zamba Corp. 2,800 224
---------------
5,961,168
---------------
COSMETICS/PERSONAL CARE--0.15%
Estee Lauder Companies
Inc. "A" 7,442 196,469
---------------
196,469
---------------
DISTRIBUTION/WHOLESALE--0.72%
(1) Advanced Energy Industries
Inc. 1,793 22,807
Advanced Marketing
Services Inc. 1,449 21,300
(1) Bell Microproducts Inc. 2,292 12,698
(1) Brightpoint Inc. 777 6,139
(1) CellStar Corp. 2,739 15,612
(1) Chindex International Inc. 2,000 14,840
(1) Daisytek International
Corp. 2,166 17,176
Fastenal Co. 4,594 171,770
(1) First Aviation Services Inc. 2,400 10,920
(1) Handleman Co. 3,314 38,111
Hughes Supply Inc. 1,672 45,679
(1) Ingram Micro Inc. "A" 10,364 127,995
(1) Keystone Automotive
Industries Inc. 3,486 52,360
(1) Margo Caribe Inc. 2,116 7,977
Nitches Inc. 1,900 13,034
(1) NuCo2 Inc. 2,522 20,302
Owens & Minor Inc. 2,557 41,986
(1) SCP Pool Corp. 2,165 63,218
(1) Tech Data Corp. 3,874 104,443
(1) TIMCO Aviation Services
Inc. 215 146
(1) United Stationers Inc. 2,246 64,687
Watsco Inc. 3,306 54,152
(1) WESCO International Inc. 3,100 17,019
---------------
944,371
---------------
DIVERSIFIED FINANCIAL SERVICES--2.68%
Advanta Corp. "A" 2,893 25,982
(1) Affiliated Managers Group
Inc. 1,284 64,585
(1) Alleghany Corp. 268 47,570
Allied Capital Corp. 7,075 154,447
American Capital Strategies
Ltd. 4,107 88,670
(1) AmeriCredit Corp. 6,503 50,333
(1) Ameritrade Holding Corp. 11,359 64,292
(1) Ampal-American Israel
Corp. "A" 2,783 6,651
Avalon Capital Inc. 900 11,970
(1) BlackRock Inc. 1,300 51,220
Capitol Federal Financial 4,700 135,360
(1) Chicago Mercantile
Exchange 1,974 $ 86,185
CIT Group Inc. 12,260 240,296
(1) CompuCredit Corp. 2,500 17,675
(1) Diamond Hill Investment
Group 2,052 8,044
(1) Digital Insight Corp. 2,589 22,498
Doral Financial Corp. 4,362 124,753
(1) DVI Inc. 1,919 14,488
(1) E*TRADE Group Inc. 22,308 108,417
Eaton Vance Corp. 4,316 121,927
Edwards (A.G.) Inc. 4,812 158,604
(1) E-LOAN Inc. 4,300 7,951
(1) Empire Financial Holding
Co. 3,100 2,852
(1) Equitex Inc. 6,339 2,599
(1) Factual Data Corp. 900 6,750
Federated Investors Inc. "B" 6,990 177,336
(1) Financial Federal Corp. 1,665 41,841
(1) Forrester Research Inc. 1,166 18,155
(1) Friedman Billings Ramsey
Group Inc. "A" 2,455 22,979
(1) Gabelli Asset Management
Inc. "A" 800 24,032
(1) Greg Manning Auctions
Inc. 1,400 2,044
(1) HPSC Inc. 2,200 17,050
Instinet Group Inc. 2,582 10,922
(1) Investment Technology
Group Inc. 3,231 72,245
Jeffries Group Inc. 1,440 60,437
John Nuveen Co. "A" 6,706 169,997
(1) Kent Financial Services
Inc. 2,200 6,886
(1) Kirlin Holding Corp. 4,000 1,400
(1) Knight Trading Group Inc. 7,490 35,877
(1) LaBranche & Co. Inc. 4,000 106,560
Legg Mason Inc. 3,763 182,656
(1) M.H. Meyerson & Co. Inc. 3,900 1,599
(1) Matrix Bancorp Inc. 1,947 18,428
MCG Capital Corp. 4,000 43,080
(1) MemberWorks Inc. 1,498 26,934
Metris Companies Inc. 3,983 9,838
(1) National Processing Inc. 4,265 68,453
(1) NCO Group Inc. 1,960 31,262
Neuberger Berman Inc. 4,500 150,705
(1) New Century Equity
Holdings Corp. 3,028 787
New Century Financial Corp. 747 18,966
(1) Online Resources Corp. 1,400 3,933
Phoenix Companies Inc. 6,993 53,147
(1) Rampart Capital Corp. 2,300 3,473
Raymond James Financial
Inc. 2,566 75,902
Resource America Inc. "A" 2,574 23,194
(1) S1 Corp. 4,503 20,083
(1) Sagemark Companies Ltd.
(The) 2,176 7,616
(1) Saxon Capital Inc. 230 2,877
(1) Siebert Financial Corp. 2,939 6,410
(1) SoundView Technology
Group Inc. 4,800 7,200
(1) StarTek Inc. 1,989 54,896
Student Loan Corp. 1,094 106,993
(1) Sutter Holding Co. Inc. 1,700 18,700
SWS Group Inc. 1,601 21,710
Waddell & Reed Financial
Inc. "A" 5,155 101,399
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Westwood Holdings Group
Inc. 1,000 $ 13,410
(1) WFS Financial Inc. 2,248 47,008
---------------
3,512,539
---------------
ELECTRIC--2.15%
ALLETE Inc. 4,517 102,446
Alliant Energy Corp. 5,851 96,834
Avista Corp. 3,199 36,980
Black Hills Corp. 1,765 46,808
CH Energy Group Inc. 1,356 63,230
Cleco Corp. 3,212 44,968
DPL Inc. 8,404 128,917
DQE Inc. 2,478 37,765
(1) El Paso Electric Co. 3,496 38,456
Empire District Electric
Co. (The) 1,961 35,690
Energy East Corp. 11,385 251,495
Great Plains Energy Inc. 2,969 67,931
Green Mountain Power
Corp. 2,136 44,792
Hawaiian Electric Industries
Inc. 2,439 107,267
IDACORP Inc. 1,982 49,213
MDU Resources Group Inc. 4,272 110,260
MGE Energy Inc. 3,119 83,499
Northeast Utilities 10,402 157,798
NorthWestern Corp. 2,128 10,810
NSTAR 3,628 161,047
OGE Energy Corp. 5,413 95,269
Otter Tail Corp. 1,960 52,724
Pepco Holdings Inc. 8,703 168,751
(1) Plug Power Inc. 2,600 11,674
PNM Resources Inc. 2,469 58,812
Puget Energy Inc. 6,183 136,335
SCANA Corp. 6,835 211,612
Sierra Pacific Resources 5,187 33,715
UIL Holdings Corp. 441 15,378
UniSource Energy Corp. 3,142 54,325
Westar Energy Inc. 4,046 40,055
Wisconsin Energy Corp. 7,457 187,916
WPS Resources Corp. 1,816 70,497
---------------
2,813,269
---------------
ELECTRICAL COMPONENTS & EQUIPMENT--0.31%
(1) Active Power Inc. 2,186 3,891
C&D Technologies Inc. 1,414 24,985
(1) Capstone Turbine Corp. 4,900 4,410
(1) Energizer Holdings Inc. 6,061 169,102
(1) GrafTech International Ltd. 2,812 16,760
Hubbell Inc. "B" 3,842 135,008
(1) ISCO International Inc. 4,000 1,280
(1) Medis Technologies Ltd. 1,067 5,335
(1) Proton Energy Systems
Inc. 2,100 6,300
(1) Superconductor
Technologies Inc. 3,200 3,008
(1) Wilson Greatbatch
Technologies Inc. 1,300 37,960
---------------
408,039
---------------
ELECTRONICS--2.64%
(1) Actel Corp. 2,137 34,662
(1) ADE Corp. 1,586 9,468
(1) Aeroflex Inc. 3,466 23,915
(1) Alpha Technologies Group
Inc. 2,496 $ 2,546
(1) Alpine Group Inc. (The) 1,396 1,047
(1) American Superconductor
Corp. 1,366 4,112
AMETEK Inc. 2,034 78,289
(1) Amphenol Corp. "A" 2,898 110,124
Analogic Corp. 966 48,578
(1) Andrea Electronics Corp. 2,596 779
(1) Arrow Electronics Inc. 6,367 81,434
(1) Artesyn Technologies Inc. 2,290 8,794
(1) AstroPower Inc. 2,400 19,176
(1) ATMI Inc. 1,590 29,447
(1) Ault Inc. 2,400 4,560
(1) Avnet Inc. 7,724 83,651
AVX Corp. 11,542 113,112
Barnes Group Inc. 1,790 36,426
(1) Bel Fuse Inc. "A" 1,091 19,747
Belden Inc. 1,088 16,559
(1) Benchmark Electronics
Inc. 1,419 40,669
(1) Blonder Tongue Laboratories
Inc. 4,570 7,312
Brady Corp. "A" 1,207 40,253
(1) Cable Design Technologies
Corp. 2,643 15,594
(1) California Amplifier Inc. 1,100 5,566
(1) Caliper Technologies Corp. 1,734 5,133
(1) Catalyst Semiconductor
Inc. 3,300 8,316
(1) Checkpoint Systems Inc. 2,497 25,819
(1) Coherent Inc. 2,160 43,092
(1) Concord Camera Corp. 6,302 34,220
CTS Corp. 1,216 9,424
Cubic Corp. 3,384 62,367
(1) Cymer Inc. 2,166 69,853
(1) Daktronics Inc. 3,600 48,168
(1) DDi Corp. 2,360 519
(1) Dionex Corp. 2,393 71,000
(1) DuPont Photomasks Inc. 1,284 29,853
EDO Corp. 2,396 49,789
(1) Electric Fuel Corp. 2,539 1,625
(1) Electro Scientific Industries
Inc. 1,275 25,500
Electro-Sensors Inc. 4,000 11,796
(1) Energy Conversion Devices
Inc. 1,563 15,319
(1) ESS Technology Inc. 3,518 22,128
(1) Evans & Sutherland
Computer Corp. 3,765 23,531
(1) Exar Corp. 2,028 25,147
(1) Excel Technology Inc. 1,006 17,997
(1) Fairchild Semiconductor
International Corp. "A" 7,000 74,970
(1) FEI Co. 1,869 28,577
(1) Fisher Scientific
International Inc. 3,361 101,099
Frequency Electronics Inc. 1,643 16,808
(1) FSI International Inc. 2,428 10,950
(1) FuelCell Energy Inc. 2,800 18,346
General Cable Corp. 2,647 10,059
(1) Gentex Corp. 4,560 144,278
(1) Genus Inc. 1,400 3,206
(1) HEI Inc. 2,100 6,720
Helix Technology Corp. 1,597 17,886
(1) Hickok Inc. "A" 2,300 9,246
(1) Hifn Inc. 1,039 6,005
(1) Hutchinson Technology
Inc. 2,299 47,589
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) ImageX.com Inc. 2,100 $ 462
(1) Innovex Inc. 3,844 16,222
(1) Interlink Electronics Inc. 3,850 14,938
(1) International Electronics
Inc. 2,300 7,705
(1) inTEST Corp. 1,900 9,101
(1) Invision Technologies Inc. 1,539 40,568
(1) JMAR Technologies Inc. 2,400 2,448
(1) JNI Corp. 3,600 9,972
(1) KEMET Corp. 5,608 49,014
(1) Lifeline Systems Inc. 1,214 27,230
(1) Littelfuse Inc. 1,208 20,367
(1) Lowrance Electronics Inc. 2,700 16,713
(1) Mackie Designs Inc. 2,661 3,672
(1) Mattson Technology Inc. 1,653 4,728
(1) Maxwell Technologies Inc. 613 3,709
(1) Meade Instruments Corp. 3,280 10,234
(1) Mechanical Technology
Inc. 1,914 3,196
(1) MedicaLogic/Medscape
Inc. 5,227 862
(1) Mercury Computer Systems
Inc. 1,744 53,227
(1) Mesa Laboratories Inc. 2,400 15,888
Methode Electronics
Inc. "A" 2,190 24,024
(1) Micrel Inc. 5,568 50,001
(1) Micro Linear Corp. 2,880 9,216
(1) Microsemi Corp. 2,034 12,387
(1) MIPS Technologies Inc.
"A" 2,467 7,475
(1) MKS Instruments Inc. 2,385 39,186
(1) Molecular Devices Corp. 1,818 29,942
(1) Nu Horizons Electronics
Corp. 2,415 13,765
(1) O.I. Corp. 3,200 12,992
(1) Oak Technology Inc. 4,600 12,190
(1) Oilgear Co. (The) 2,600 8,164
(1) Optelecom Inc. 2,200 10,210
OPTi Inc. 2,083 2,656
(1) Orbit International Corp. 3,600 16,380
(1) OSI Systems Inc. 1,734 29,443
(1) OYO Geospace Corp. 1,100 8,800
(1) PCD Inc. 3,210 530
(1) Photon Dynamics Inc. 1,200 27,360
(1) Photronics Inc. 2,147 29,414
Pioneer-Standard
Electronics Inc. 2,671 24,520
(1) PLX Technology Inc. 2,100 8,211
(1) Power Integrations Inc. 1,812 30,804
(1) QuickLogic Corp. 2,100 2,226
(1) Ramtron International
Corp. 3,840 10,752
(1) Rayovac Corp. 2,929 39,044
(1) Recoton Corp. 1,631 1,925
(1) REMEC Inc. 3,501 13,584
(1) Reptron Electronics Inc. 3,600 3,132
(1) Research Frontiers Inc. 1,504 12,543
(1) Robotic Vision Systems
Inc. 2,513 603
(1) Rudolph Technologies Inc. 1,317 25,234
(1) SBS Technologies Inc. 1,930 17,679
(1) Semtech Corp. 4,436 48,441
(1) Silicon Image Inc. 5,000 30,000
(1) Siliconix Inc. 1,401 32,783
(1) Sipex Corp. 2,060 7,622
(1) Spectrum Control Inc. 2,390 $ 12,547
(1) Spire Corp. 5,000 11,650
(1) Taser International Inc. 1,300 5,252
Tech/Ops Sevcon Inc. 1,439 7,339
Technitrol Inc. 1,846 29,794
(1) Therma-Wave Inc. 1,515 1,591
(1) Three-Five Systems Inc. 1,445 9,320
Trans-Lux Corp. 1,400 7,350
(1) Trimble Navigation Ltd. 1,915 23,918
(1) Triumph Group Inc. 1,015 32,419
(1) Tvia Inc. 2,220 1,576
(1) Ultrak Inc. 542 688
(1) Universal Display Corp. 2,700 21,303
(1) Universal Electronics Inc. 1,278 12,448
(1) Valence Technology Inc. 3,746 4,870
(1) Varian Inc. 1,930 55,372
(1) Verisity Ltd. 2,503 47,707
(1) Vicor Corp. 2,475 20,421
(1) Vishay Intertechnology
Inc. 9,564 106,926
Watts Industries Inc. "A" 2,401 37,792
Woodhead Industries Inc. 1,806 20,408
Woodward Governor Co. 816 35,496
X-Rite Inc. 3,781 26,429
(1) Zoran Corp. 2,058 28,956
(1) Zygo Corp. 911 6,368
---------------
3,463,589
---------------
ENERGY & RELATED--0.01%
(1) H Power Corp. 788 3,018
(1) Millennium Cell Inc. 3,400 8,126
(1) Syntroleum Corp. 2,492 4,311
---------------
15,455
---------------
ENGINEERING & CONSTRUCTION--0.16%
(1) EMCOR Group Inc. 1,200 63,612
Granite Construction Inc. 2,254 34,937
(1) Jacobs Engineering Group
Inc. 3,223 114,739
(1) UNIFAB International Inc. 3,300 726
---------------
214,014
---------------
ENTERTAINMENT--1.17%
(1) Alliance Gaming Corp. 3,300 56,199
(1) AMC Entertainment Inc. 3,050 26,992
(1) Ameristar Casinos Inc. 2,700 38,070
(1) Argosy Gaming Co. 1,703 32,238
(1) barnesandnoble.com Inc. 2,900 3,335
(1) Championship Auto Racing
Teams Inc. 1,178 4,359
Churchill Downs Inc. 1,277 48,756
Dover Downs Gaming &
Entertainment Inc. 2,303 20,934
Dover Motorsports Inc. 3,290 15,298
(1) Expedia Inc. "A" 1,318 88,214
(1) Gaylord Entertainment
Co. "A" 1,267 26,100
(1) GTECH Holdings Corp. 3,692 102,859
(1) Hollywood Casino
Corp. "A" 4,100 50,348
(1) Hollywood Entertainment
Corp. 3,393 51,234
(1) Image Entertainment Inc. 599 1,486
International Speedway
Corp. "A" 3,538 131,932
(1) Isle of Capri Casinos Inc. 1,700 22,508
(1) Macrovision Corp. 3,060 49,082
(1) Metro-Goldwyn-Mayer
Inc. 15,040 195,520
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) NetFlix Inc. 3,295 $ 36,278
(1) Penn National Gaming
Inc. 3,986 63,218
(1) Pinnacle Entertainment
Inc. 1,651 11,441
Regal Entertainment
Group "A" 3,965 84,930
(1) Six Flags Inc. 6,474 36,967
Speedway Motorsports Inc. 2,656 68,472
(1) Steinway Musical
Instruments Inc. 1,325 21,558
(1) Ticketmaster "B" 7,113 150,938
(1) Vail Resorts Inc. 2,910 44,145
(1) World Wrestling
Entertainment Inc. 1,900 15,295
(1) Wynn Resorts Ltd. 2,095 27,465
(1) Zomax Inc. 2,356 10,013
---------------
1,536,184
---------------
ENVIRONMENTAL CONTROL--0.49%
(1) Catalytica Energy Systems
Inc. 1,705 4,706
(1) Crown Andersen Inc. 3,900 9,477
(1) Duratek Inc. 2,430 20,290
(1) IMCO Recycling Inc. 5,713 46,447
(1) Ionics Inc. 920 20,976
(1) Layne Christensen Co. 6,420 52,644
Mine Safety Appliances Co. 963 31,057
(1) MPM Technologies Inc. 1,900 551
(1) Republic Services Inc. "A" 11,167 234,284
(1) Stericycle Inc. 2,800 90,661
(1) Tetra Tech Inc. 2,746 33,501
(1) U S Liquids Inc. 5,654 2,318
(1) Waste Connections Inc. 2,100 81,081
(1) Waste Holdings Inc. 2,593 18,799
---------------
646,792
---------------
FOOD--3.12%
(1) American Italian Pasta
Co. "A" 1,309 47,098
Andersons Inc. 2,101 26,683
Applebee's International Inc. 3,921 90,932
(1) Arden Group Inc. "A" 520 31,470
Bridgeford Food Corp. 1,119 12,544
(1) CEC Entertainment Inc. 1,809 55,536
(1) Cheesecake Factory (The) 2,974 107,510
(1) Chiquita Brands
International Inc. 4,300 57,018
Corn Products International
Inc. 2,003 60,350
(1) Dean Foods Co. 5,410 200,711
(1) Del Monte Foods Co. 12,913 99,430
Dole Food Co. 2,850 92,853
Dreyer's Grand Ice Cream
Inc. 2,164 153,557
Fleming Companies Inc. 2,911 19,125
Flowers Foods Inc. 1,729 33,733
Fresh Brands Inc. 3,742 61,743
Fresh Del Monte Produce
Inc. 3,702 70,005
(1) Gardenburger Inc. 3,019 755
(1) Green Mountain Coffee
Inc. 1,000 15,110
(1) Hain Celestial Group Inc. 2,289 34,793
Hormel Foods Corp. 8,986 209,643
(1) IHOP Corp. 1,282 30,768
Interstate Bakeries Corp. 2,520 $ 38,430
(1) Jack in the Box Inc. 1,951 33,733
Kraft Foods Inc. 16,675 649,158
Lance Inc. 2,741 32,451
Landry's Restaurants Inc. 768 16,312
(1) M&F Worldwide Corp. 1,561 8,429
McCormick & Co. Inc. 8,304 192,653
(1) P.F. Chang's China Bistro
Inc. 1,906 69,188
(1) Panera Bread Co. "A" 2,500 87,025
(1) Papa John's International
Inc. 1,521 42,405
Paradise Inc. 400 7,000
(1) Pathmark Stores Inc. 1,900 9,633
(1) Performance Food Group
Co. 2,523 85,679
(1) Ralcorp Holdings Inc. 2,028 50,984
(1) Rare Hospitality
International Inc. 1,967 54,329
Ruddick Corp. 2,487 34,047
(1) Schlotzsky's Inc. 972 3,266
Seaboard Corp. 166 39,840
Sensient Technologies Corp. 2,590 58,197
(1) Smithfield Foods Inc. 6,558 130,111
Smucker (J.M.) Co. (The) 2,974 118,395
(1) Sonic Corp. 2,739 56,122
(1) SonomaWest Holdings
Inc. 3,400 19,550
(1) Tejon Ranch Co. 1,368 40,630
Tootsie Roll Industries Inc. 3,443 105,631
Tyson Foods Inc. "A" 22,989 257,937
(1) United Heritage Corp. 6,360 1,908
(1) United Natural Foods Inc. 1,913 48,495
Weis Markets Inc. 2,768 85,946
(1) Whole Foods Market Inc. 3,498 184,450
(1) Wild Oats Markets Inc. 1,876 19,360
---------------
4,092,661
---------------
FOREST PRODUCTS & PAPER--0.35%
American Woodmark Corp. 800 38,000
Bowater Inc. 3,415 143,259
(1) Buckeye Technologies Inc. 2,502 15,387
(1) Caraustar Industries Inc. 3,220 30,526
Chesapeake Corp. 1,159 20,688
(1) Fibermark Inc. 1,686 12,780
Glatfelter Co. 3,481 45,810
Pope & Talbot Inc. 1,397 19,921
Potlatch Corp. 2,200 52,536
Rock-Tenn Co. "A" 2,900 39,092
Wausau-Mosinee Paper
Corp. 3,433 38,518
---------------
456,517
---------------
GAS--0.27%
AGL Resources Inc. 2,957 71,855
NUI Corp. 1,366 23,577
ONEOK Inc. 3,720 71,424
UGI Corp. 1,170 43,746
Vectren Corp. 4,092 94,116
WGL Holdings Inc. 2,044 48,892
---------------
353,610
---------------
HAND/MACHINE TOOLS--0.31%
(1) Axsys Technologies Inc. 1,179 9,196
Baldor Electric Co. 1,856 36,656
Franklin Electric Co. Inc. 700 33,607
Kennametal Inc. 1,822 62,823
(1) Powell Industries Inc. 2,091 35,712
Regal-Beloit Corp. 1,935 40,054
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) SPX Corp. 5,082 $ 190,321
---------------
408,369
---------------
HEALTH CARE--5.11%
(1) ABIOMED Inc. 1,772 6,450
(1) Accredo Health Inc. 2,736 96,444
(1) Alliance Imaging Inc. 2,859 15,153
(1) Alliance Pharmaceutical
Corp. 640 77
(1) American Healthways Inc. 184 3,220
(1) American Medical Systems
Holdings Inc. 3,000 48,630
(1) AMERIGROUP Corp. 878 26,612
(1) AmeriPath Inc. 1,673 35,969
(1) AmSurg Corp. 300 6,129
(1) Apogent Technologies
Inc. 6,318 131,414
(1) Apria Healthcare Group
Inc. 3,516 78,196
(1) Aradigm Corp. 2,248 3,642
Arrow International Inc. 1,139 46,323
(1) ArthroCare Corp. 1,560 15,366
(1) AVAX Technologies Inc. 2,900 409
(1) Avigen Inc. 1,500 8,565
Beckman Coulter Inc. 3,687 108,840
Bei Technologies Inc. 900 10,071
(1) BioMarin Pharmaceutical
Inc. 4,800 33,840
(1) Bio-Rad Laboratories
Inc. "A" 1,816 70,279
(1) Bioreliance Corp. 2,049 47,475
(1) Biosite Inc. 977 33,238
(1) BriteSmile Inc. 6,500 2,145
(1) Bruker Daltonics Inc. 3,335 16,208
(1) CardioDynamics
International Corp. 2,800 8,596
(1) CardioGenesis Corp. 2,404 914
(1) Cerner Corp. 2,467 77,118
(1) Cerus Corp. 1,347 28,960
(1) ChromaVision Medical
Systems Inc. 3,736 4,969
(1) Closure Medical Corp. 1,294 13,561
(1) Cobalt Corp. 2,800 38,640
(1) Colorado Medtech Inc. 1,974 4,066
(1) Community Health Systems
Inc. 5,900 121,481
(1) Computer Motion Inc. 1,959 2,018
(1) Conceptus Inc. 440 5,271
(1) CONMED Corp. 2,515 49,269
Cooper Companies Inc. 2,334 58,397
(1) Covance Inc. 3,805 93,565
(1) Coventry Health Care Inc. 4,132 119,952
(1) CTI Molecular Imaging
Inc. 3,390 83,597
(1) Cyber-Care Inc. 5,200 213
(1) Cyberonics Inc. 1,143 21,031
(1) Cygnus Inc. 2,359 1,557
(1) Cytyc Corp. 7,458 76,072
Datascope Corp. 978 24,255
(1) DaVita Inc. 5,721 141,137
Diagnostic Products Corp. 1,634 63,105
(1) Diametrics Medical Inc. 3,462 5,712
(1) DIANON Systems Inc. 772 36,832
(1) Dynacq International Inc. 2,800 40,230
(1) Edwards Lifesciences
Corp. 3,700 94,239
(1) ENDOcare Inc. 280 $ 963
(1) Enzo Biochem Inc. 1,882 26,348
(1) Enzon Pharmaceuticals
Inc. 3,284 54,908
(1) Epimmune Inc. 2,000 1,840
(1) Express Scripts Inc. "A" 4,908 235,780
(1) Flir Systems Inc. 1,000 48,800
(1) Genesis Health Ventures
Inc. 3,900 60,255
(1) Gen-Probe Inc. 939 22,347
(1) Haemonetics Corp. 1,692 36,310
(1) Hanger Orthopedic Group
Inc. 1,139 14,978
(1) Health Net Inc. 7,267 191,849
(1) HealthTronics Surgical
Services Inc. 2,400 19,226
Hillenbrand Industries Inc. 3,693 178,409
(1) Hologic Inc. 2,693 32,882
Hooper Holmes Inc. 3,918 24,057
(1) IDEXX Laboratories Inc. 2,329 77,556
(1) IGEN International Inc. 1,785 76,487
(1) I-many Inc. 1,903 2,702
(1) Immtech International Inc. 4,400 10,120
(1) Impath Inc. 1,124 22,165
(1) INAMED Corp. 1,100 33,880
(1) Intermagnetics General
Corp. 1,020 20,033
(1) Interpore International 2,927 18,733
Invacare Corp. 1,337 44,522
(1) i-STAT Corp. 1,362 5,448
(1) Kensey Nash Corp. 1,733 31,662
(1) Kindred Healthcare Inc. 1,800 32,672
(1) Kyphon Inc. 424 3,621
(1) LabOne Inc. 651 11,536
(1) Laboratory Corp. of America
Holdings 8,861 205,930
(1) Lasersight Inc. 1,588 318
(1) LifeCell Corp. 600 1,806
(1) LifePoint Hospitals Inc. 2,300 68,841
(1) Lincare Holdings Inc. 6,608 208,945
(1) Luminex Corp. 2,140 8,795
(1) Matria Healthcare Inc. 1,160 10,080
(1) Med-Design Corp. (The) 2,100 16,800
(1) Medwave Inc. 1,841 1,749
Mentor Corp. 1,484 57,134
Meridian Bioscience Inc. 4,830 33,230
(1) Merit Medical Systems
Inc. 3,125 62,250
(1) Micro Therapeutics Inc. 3,300 7,095
(1) Microtek Medical Holdings
Inc. 2,500 5,950
(1) Mid Atlantic Medical
Services Inc. 3,220 104,328
(1) Monarch Dental Corp. 3,800 20,140
(1) Novamed Eyecare Inc. 2,500 3,250
(1) Novavax Inc. 3,100 8,060
Novitron International Inc. 2,000 8,960
(1) Novoste Corp. 1,694 12,231
(1) Oakley Inc. 4,562 46,852
(1) Ocular Sciences Inc. 2,303 35,743
(1) Odyssey Healthcare Inc. 859 29,807
(1) OraSure Technologies Inc. 2,701 14,720
(1) Ortec Inernational Inc. 3,263 1,566
(1) Orthodontic Centers of
America Inc. 3,298 35,981
(1) Orthologic Corp. 3,033 10,949
(1) Osteotech Inc. 2,997 19,301
(1) Oxford Health Plans Inc. 5,596 203,974
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) PacifiCare Health Systems
Inc. "A" 2,236 $ 62,832
(1) Palatin Technologies Inc. 1,800 3,564
(1) Pediatrix Medical Group
Inc. 1,483 59,409
(1) PharmaNetics Inc. 2,400 16,680
(1) PolyMedica Corp. 800 24,672
(1) Possis Medical Inc. 2,556 46,008
(1) Prime Medical Service
Inc. 2,659 23,054
(1) Province Healthcare Co. 3,552 34,561
(1) PSS World Medical Inc. 7,148 48,892
Psychemedics Corp. 604 5,635
(1) RehabCare Group Inc. 1,278 24,384
(1) Renal Care Group Inc. 2,813 89,003
(1) Res-Care Inc. 2,444 8,869
(1) ResMed Inc. 2,412 73,735
(1) Respironics Inc. 2,313 70,387
(1) Ribozyme Pharmaceuticals
Inc. 3,000 720
(1) SciQuest.com Inc. 3,205 1,442
(1) Select Medical Corp. 2,800 37,772
(1) Sierra Health Services Inc. 943 11,325
(1) Sola International Inc. 2,813 36,569
(1) Specialty Laboratories Inc. 1,300 12,558
(1) Spectranetics Corp. 3,055 7,485
(1) SPECTRASCIENCE Inc. 2,000 290
(1) Staar Surgical Co. 1,696 6,258
(1) Steris Corp. 4,554 110,434
(1) Sunrise Assisted Living
Inc. 1,950 48,536
(1) Theragenics Corp. 2,984 12,026
(1) Therasense Inc. 4,600 38,410
(1) Thoratec Corp. 3,876 29,574
(1) Triad Hospitals Inc. 4,584 136,741
(1) TriPath Imaging Inc. 3,479 9,324
(1) U.S. Physical Therapy Inc. 2,600 28,990
(1) Unilab Corp. 1,772 32,428
(1) Universal Health Services
Inc. "B" 3,630 163,713
(1) Urologix Inc. 2,100 6,951
(1) US Oncology Inc. 4,023 34,879
(1) Valentis Inc. 3,876 853
(1) Varian Medical Systems
Inc. 4,260 211,296
(1) VCA Antech Inc. 2,214 33,210
(1) Ventana Medical Systems
Inc. 1,393 32,109
(1) VISX Inc. 4,020 38,512
Vital Sign Inc. 1,269 37,918
(1) WebMD Corp. 23,096 197,471
(1) WellChoice Inc. 1,240 29,698
West Pharmaceutical
Services Inc. 1,171 28,572
(1) Wright Medical Group
Inc. 2,000 34,918
(1) Young Innovations Inc. 1,354 31,508
(1) ZEVEX International Inc. 1,200 2,280
(1) Zoll Medical Corp. 677 24,149
---------------
6,704,930
---------------
HOLDING COMPANIES-DIVERSIFIED--5.33%
(1) Berkshire Hathaway
Inc. "A" 95 6,911,250
(1) Triarc Companies Inc. 1,708 44,818
Walter Industries Inc. 3,486 $ 37,753
---------------
6,993,821
---------------
HOME BUILDERS--1.06%
(1) Beazer Homes USA Inc. 731 44,299
(1) Champion Enterprises
Inc. 4,252 12,118
(1) Clayton Homes Inc. 8,105 98,719
D.R. Horton Inc. 9,217 159,915
(1) Dominion Homes Inc. 1,300 18,525
(1) Fleetwood Enterprises
Inc. 3,500 27,475
(1) Hovnanian Enterprises
Inc. "A" 1,021 32,366
(1) KIT Manufacturing Co. 1,000 1,300
Lennar Corp. 3,904 201,446
M.D.C. Holdings Inc. 1,655 63,320
(1) Meritage Corp. 1,300 43,745
(1) Monaco Coach Corp. 2,752 45,546
(1) NVR Inc. 481 156,566
(1) Palm Harbor Homes
Inc. 2,363 41,282
Ryland Group Inc. 1,514 50,492
Skyline Corp. 1,441 42,510
Standard-Pacific Corp. 2,326 57,569
(1) Technical Olympic USA
Inc. 1,914 28,346
Thor Industries Inc. 2,592 89,243
(1) Toll Brothers Inc. 4,508 91,062
(1) WCI Communities Inc. 2,000 20,400
(1) William Lyon Homes
Inc. 638 13,928
Winnebago Industries Inc. 1,220 47,861
---------------
1,388,033
---------------
HOME FURNISHINGS--0.50%
(1) Applica Inc. 3,014 15,070
Bassett Furniture
Industries Inc. 2,279 32,635
Ethan Allen Interiors Inc. 2,449 84,172
Fedders Corp. 3,656 10,346
(1) Furniture Brands
International Inc. 3,320 79,182
Harman International
Industries Inc. 1,970 117,215
Kimball International
Inc. "B" 1,920 27,360
(1) Lazare Kaplan
International Inc. 2,279 12,398
La-Z-Boy Inc. 3,606 86,472
Libbey Inc. 1,373 35,698
Movado Group Inc. 1,678 31,563
Oneida Ltd. 1,947 21,475
(1) ParkerVision Inc. 1,320 10,771
(1) Polycom Inc. 5,848 55,673
(1) Rowe Furniture Corp. 499 878
(1) Royal Appliance
Manufacturing Co. 2,194 15,950
(1) Salton Inc. 1,283 12,342
(1) Vialta Inc. 49 15
---------------
649,215
---------------
HOUSEHOLD PRODUCTS/WARES--0.76%
Blyth Inc. 3,000 80,280
Church & Dwight Co.
Inc. 2,224 67,676
Dial Corp. (The) 6,317 128,677
(1) Enesco Group Inc. 7,002 49,574
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<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Ennis Business Forms
Inc. 980 $ 11,388
(1) Fossil Inc. 4,206 85,550
Harland (John H.) Co. 1,887 41,759
(1) Helen of Troy Ltd. 2,599 30,252
(1) Jarden Corp. 419 10,002
(1) Nashua Corp. 3,083 27,069
National Presto
Industries Inc. 1,071 31,466
(1) Playtex Products Inc. 4,899 48,402
Russ Berrie & Co. Inc. 1,794 60,601
(1) Scotts Co. (The) "A" 1,835 89,988
Standard Register Co.
(The) 2,728 49,104
Toro Co. 1,275 81,473
Wallace Computer
Services Inc. 2,335 50,226
(1) Yankee Candle Co. Inc.
(The) 3,500 56,000
---------------
999,487
---------------
INSURANCE--4.02%
(1) Acceptance Insurance
Companies Inc. 3,741 94
Alfa Corp. 3,856 46,314
(1) Allmerica Financial
Corp. 3,561 35,966
American Financial
Group Inc. 3,854 88,912
(1) American Independence
Corp. 3,518 9,569
(1) American Medical
Security Group Inc. 840 11,743
American National
Insurance Co. 1,284 105,314
(1) American Physicians
Capital Inc. 168 3,160
AmerUs Group Co. 1,849 52,271
Argonaut Group Inc. 2,775 40,931
Baldwin & Lyons Inc. "B" 1,513 35,646
Berkley (W.R.) Corp. 3,129 123,940
Brown & Brown Inc. 4,016 129,797
(1) Clark/Bardes Inc. 512 9,856
(1) CNA Financial Corp. 13,100 335,360
CNA Surety Corp. 2,972 23,330
Commerce Group Inc. 2,012 75,430
Crawford & Co. "B" 3,782 18,910
(1) Danielson Holding
Corp. 980 1,372
Delphi Financial Group
Inc. "A" 1,248 47,374
Donegal Group Inc. "B" 855 9,619
EMC Insurance Group
Inc. 682 12,187
Erie Indemnity Co. "A" 4,499 163,134
FBL Financial Group
Inc. "A" 2,105 40,984
Fidelity National
Financial Inc. 5,647 185,391
Financial Industries
Corp. 1,320 18,797
First American Corp. 4,918 109,180
Fremont General Corp. 3,527 15,836
(1) Gainsco Inc. 770 65
Gallagher (Arthur J.)
& Co. 4,881 $ 143,404
Great American
Financial Resources
Inc. 2,609 44,875
Harleysville Group Inc. 2,703 71,440
HCC Insurance
Holdings Inc. 3,276 80,590
(1) HealthExtras Inc. 3,729 15,102
Hilb, Rogal &
Hamilton Co. 2,094 85,645
Horace Mann Educators
Corp. 2,702 41,422
Independence Holding
Co. 1,069 22,951
Kansas City Life
Insurance Co. 1,354 51,317
LandAmerica Financial
Group Inc. 1,690 59,911
Leucadia National
Corp. 3,434 128,123
(1) Markel Corp. 646 132,753
Mercury General Corp. 3,749 140,887
MONY Group Inc. (The) 3,493 83,622
Nationwide Financial
Services Inc. 2,850 81,653
(1) Navigators Group Inc. 1,877 43,077
Odyssey Re Holdings
Corp. 3,926 69,490
(1) Ohio Casualty Corp. 4,478 57,990
Old Republic
International Corp. 7,200 201,600
(1) Philadelphia Consolidated
Holding Corp. 1,645 58,233
(1) PICO Holdings Inc. 2,300 30,454
PMA Capital Corp. "A" 2,309 33,088
PMI Group Inc. (The) 5,470 164,319
Presidential Life Corp. 2,120 21,052
(1) ProAssurance Corp. 3,295 69,195
Protective Life Corp. 3,782 104,081
Radian Group Inc. 5,676 210,863
Reinsurance Group of
America Inc. 2,557 69,244
RLI Corp. 2,328 64,951
Selective Insurance Group
Inc. 1,963 49,428
(1) Southern Security Life
Insurance Co. 2,249 9,558
StanCorp Financial Group
Inc. 1,700 83,045
State Auto Financial Corp. 3,976 61,628
(1) Stewart Information
Services Corp. 2,478 53,004
Transatlantic Holdings Inc. 3,085 205,770
(1) Triad Guaranty Inc. 1,298 47,844
21st Century Insurance
Group 4,619 57,830
(1) UICI 4,968 77,252
United Fire & Casualty Co. 1,251 41,846
Unitrin Inc. 4,544 132,776
(1) Universal American
Financial Corp. 3,000 17,457
Wesco Financial Corp. 318 98,564
White Mountains
Insurance Group Ltd. 520 167,960
Zenith National Insurance
Corp. 1,762 41,442
---------------
5,277,218
---------------
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<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
IRON/STEEL--0.17%
(1) AK Steel Holding Corp. 8,844 $ 70,752
Carpenter Technology
Corp. 1,180 14,691
Gibraltar Steel Corp. 1,160 22,086
(1) National Steel Corp. "B" 4,836 508
Reliance Steel &
Aluminum Co. 1,537 32,031
Ryerson Tull Inc. 2,942 17,946
(1) Shiloh Industries Inc. 2,882 6,485
(1) Steel Dynamics Inc. 4,841 58,237
(1) Weirton Steel Corp. 2,700 756
(1) WHX Corp. 585 1,433
---------------
224,925
---------------
LEISURE TIME--0.42%
(1) Ambassadors
International Inc. 965 8,675
(1) Bally Total Fitness
Holding Corp. 1,835 13,010
Callaway Golf Co. 4,560 60,420
(1) Cannondale Corp. 3,074 3,289
(1) Hotels.com "A" 1,082 59,110
(1) K2 Inc. 1,082 10,171
(1) Nautilus Group Inc.
(The) 2,400 32,064
Polaris Industries Inc. 1,447 84,794
(1) Rawlings Sporting Goods
Co. 3,098 27,293
(1) ResortQuest International
Inc. 3,354 12,645
Royal Caribbean Cruises
Ltd. 12,404 207,147
(1) WMS Industries Inc. 2,502 37,480
---------------
556,098
---------------
LODGING--0.80%
(1) Aztar Corp. 2,668 38,099
(1) Boca Resorts Inc. "A" 2,661 28,473
(1) Boyd Gaming Corp. 4,980 69,969
(1) Choice Hotels
International Inc. 2,889 65,580
(1) Extended Stay America
Inc. 5,792 85,432
(1) International Leisure Hosts
Ltd. 2,400 10,200
(1) John Q Hammons Hotels
Inc. 2,600 14,378
(1) Mandalay Resort Group 4,156 127,215
Marcus Corp. 2,495 35,429
(1) MGM Grand Inc. 9,382 309,325
(1) Park Place Entertainment
Corp. 19,847 166,715
(1) Prime Hospitality Corp. 3,038 24,760
(1) ShoLodge Inc. 1,700 5,542
(1) Station Casinos Inc. 4,168 73,774
---------------
1,054,891
---------------
MACHINERY--1.27%
(1) AGCO Corp. 3,886 85,881
Albany International
Corp. "A" 2,107 43,531
Applied Industrial
Technologies Inc. 1,369 25,874
(1) Astec Industries Inc. 1,643 16,315
(1) Asyst Technologies Inc. 2,036 $ 14,965
(1) Benthos Inc. 3,900 12,285
Briggs & Stratton Corp. 1,600 67,952
(1) Brooks-PRI Automation
Inc. 2,536 29,063
(1) Cognex Corp. 2,291 42,223
Donaldson Co. Inc. 2,664 95,904
(1) DT Industries Inc. 2,068 5,397
(1) Dycom Industries Inc. 3,314 43,911
(1) Electroglas Inc. 1,827 2,814
Engineered Support
Systems Inc. 540 19,796
(1) Esterline Technologies
Corp. 1,575 27,830
(1) Flowserve Corp. 3,518 52,031
(1) Gardner Denver Inc. 1,793 36,398
(1) Gerber Scientific Inc. 3,216 13,057
(1) Global Payment
Technologies Inc. 2,540 14,097
Graco Inc. 3,595 102,997
(1) Hurco Companies Inc. 600 948
Idex Corp. 1,612 52,712
(1) Imation Corp. 2,718 95,347
(1) Insituform Technologies
Inc. "A" 1,780 30,349
JLG Industries Inc. 2,372 17,861
(1) Kadant Inc. 830 12,450
(1) Kulicke & Soffa
Industries Inc. 3,584 20,500
Lincoln Electric Holding
Inc. 3,754 86,905
(1) Magnetek Inc. 2,812 12,485
Manitowoc Co. Inc.
(The) 1,659 42,305
Nordson Corp. 2,262 56,165
(1) Paragon Technologies
Inc. 3,600 30,492
(1) Paxar Corp. 3,943 58,159
(1) PPT Vision Inc. 1,600 800
(1) Presstek Inc. 1,890 8,713
Robbins & Myers Inc. 1,306 24,030
(1) Semitool Inc. 1,816 11,277
Stewart & Stevenson
Services Inc. 2,732 38,630
(1) SureBeam
Corporation "A" 3,057 12,350
Tecumseh Products
Co. "A" 739 32,612
(1) Tegal Corp. 4,300 1,742
Tennant Co. 1,215 39,609
(1) Terex Corp. 1,330 14,816
Thomas Industries Inc. 1,910 49,775
(1) Ultratech Stepper Inc. 1,943 19,117
(1) Unova Inc. 4,748 28,488
(1) Zebra Technologies
Corp. "A" 2,098 120,215
---------------
1,671,173
---------------
MANUFACTURERS--0.65%
(1) AZZ Incorporated 1,300 16,146
Carlisle Companies Inc. 2,050 84,829
(1) CUNO Inc. 1,796 59,484
Federal Signal Corp. 2,427 47,132
(1) FMC Corp. 1,838 50,214
Harsco Corp. 2,089 66,618
Lancaster Colony Corp. 2,693 105,242
Pentair Inc. 2,818 97,362
Pittston Brink's Group 2,775 51,282
(1) Polymer Group Inc. 3,131 235
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<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Samsonite Corp. 2,267 $ 1,134
Sturm Ruger & Co. Inc. 2,392 22,891
Teleflex Inc. 2,194 94,101
Tredegar Corp. 2,217 33,255
Trinity Industries Inc. 2,837 53,790
(1) U.S. Industries Inc. 5,310 13,965
Wabtec Corp. 3,405 47,806
---------------
845,486
---------------
MANUFACTURING--0.04%
(1) International Smart
Sourcing Inc. 3,590 16,514
Kaydon Corp. 1,638 34,742
(1) Servotronics Inc. 1,410 5,006
---------------
56,262
---------------
MEDIA--4.65%
(1) Acme Communications
Inc. 2,400 19,128
(1) Andersen Group Inc. 3,800 15,390
Banta Corp. 1,494 46,717
(1) Beasley Broadcast Group
Inc. "A" 2,300 27,508
Belo (A.H.) Corp. 7,894 168,300
(1) Big City Radio Inc. 2,600 4,420
(1) Cablevision Systems
Corp. 13,724 229,740
Courier Corp. 309 14,165
(1) Cox Radio Inc. "A" 2,465 56,227
(1) Crown Media Holdings
Inc. 11,798 26,663
(1) Cumulus Media Inc. "A" 3,327 49,339
(1) Emmis Communications
Corp. 3,174 66,114
(1) Entercom Communications
Corp. 3,400 159,528
(1) Entravision
Communications Corp. 2,600 25,948
(1) Fox Entertainment
Group Inc. "A" 21,250 551,013
(1) Gemstar-TV Guide
International Inc. 24,500 79,625
(1) Granite Broadcasting
Corp. 1,368 2,804
Gray Television Inc. 2,271 22,142
(1) Hearst-Argyle Television
Inc. 6,173 148,831
(1) Hispanic Broadcasting
Corp. 6,746 138,630
Hollinger International
Inc. 5,722 58,136
(1) Hollywood Media Corp. 2,989 2,989
(1) HyperFeed Technologies
Inc. 997 299
(1) Information Holdings
Inc. 1,958 30,388
(1) Insight Communications
Co. Inc. 2,900 35,902
(1) Journal Register Co. 2,867 50,975
Lee Enterprises Inc. 2,493 83,565
Liberty Corp. 1,034 40,119
(1) Liberty Media Corp.
"A" 144,610 1,292,813
(1) Lin TV Corp. "A" 2,838 69,105
(1) LodgeNet Entertainment
Corp. 2,500 $ 26,700
McClatchy Co. (The) "A" 2,499 141,768
Media General Inc. "A" 1,097 65,765
(1) Mediacom
Communications Corp. 4,950 43,610
(1) Metromedia International
Group Inc. 4,997 500
(1) National Lampoon Inc. 3,300 21,450
(1) New Frontier Media Inc. 1,500 1,500
(1) On Command Corp. 3,249 2,209
(1) Paxson Communications
Corp. 4,748 9,781
(1) Pegasus Communications
Corp. 3,312 4,339
(1) Playboy Enterprises
Inc. "B" 2,398 24,292
(1) Primedia Inc. 10,516 21,663
Pulitzer Inc. 1,506 67,695
(1) Radio One Inc. 5,346 78,159
(1) Radio Unica
Communications Corp. 3,800 1,140
Readers Digest
Association Inc. (The) 6,294 95,039
(1) Regent Communications
Inc. 3,200 18,912
(1) Salem Communications
Corp. "A" 1,700 42,449
(1) Scholastic Corp. 2,660 95,627
Scripps (E.W.) Co. "A" 4,887 376,055
(1) Sinclair Broadcast
Group Inc. "A" 4,099 47,671
(1) Spanish Broadcasting
System Inc. "A" 2,600 18,720
(1) TiVo Inc. 3,800 19,798
(1) UnitedGlobalCom
Inc. "A" 5,046 12,110
(1) USA Interactive 23,575 540,339
Value Line Inc. 1,146 49,782
Washington Post
Company (The) "B" 558 411,804
(1) Westwood One Inc. 6,675 249,378
Wiley (John) & Sons
Inc. "A" 3,234 77,648
(1) XM Satellite Radio
Holdings Inc. "A" 4,500 12,105
(1) Young Broadcasting
Inc. "A" 555 7,309
(1) Youthstream Media
Networks Inc. 2,318 185
---------------
6,102,025
---------------
METAL FABRICATE/HARDWARE--0.21%
(1) Amcast Industrial Corp. 1,839 3,126
Penn Engineering &
Manufacturing Corp. 1,834 19,532
Precision Castparts Corp. 2,678 64,942
(1) Shaw Group Inc. (The) 2,670 43,922
Timken Co. (The) 3,739 71,415
(1) TransTechnology Corp. 2,532 26,535
Valmont Industries Inc. 2,324 45,086
---------------
274,558
---------------
METALS-DIVERSIFIED--0.26%
Ameron International Corp. 500 27,575
AptarGroup Inc. 1,812 56,607
(1) Atchison Casting Corp. 457 137
Commercial Metals Co. 3,540 57,490
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Matthews International
Corp. "A" 1,974 $ 44,081
(1) Maverick Tube Corp. 1,669 21,747
(1) Mueller Industries Inc. 2,301 62,702
(1) Niagara Corp. 600 966
(1) NS Group Inc. 1,534 10,002
Quanex Corp. 543 18,191
(1) Titanium Metals Corp. 2,200 4,202
(1) TransPro Inc. 1,600 8,960
Tremont Corp. 1,000 29,800
---------------
342,460
---------------
MINING--0.39%
Arch Coal Inc. 3,365 72,650
(1) Brush Engineered
Materials Inc. 1,404 7,722
Century Aluminum Co. 1,637 12,130
(1) Charles & Colvard Ltd. 2,811 15,123
(1) Glamis Gold Ltd. 5,100 57,834
(1) Golden Cycle Gold
Corp. 1,800 28,800
(1) Liquidmetal
Technologies 672 6,908
(1) MAXXAM Inc. 1,713 15,931
(1) Meridian Gold Inc. 8,994 158,564
Peabody Energy Corp. 3,167 92,571
(1) Stillwater Mining Co. 2,620 14,017
USEC Inc. 5,274 31,749
---------------
513,999
---------------
OFFICE/BUSINESS EQUIPMENT--0.25%
(1) General Binding Corp. 3,195 27,094
(1) Global Imaging Systems
Inc. 579 10,642
Herman Miller Inc. 4,846 89,166
HON Industries Inc. 4,562 129,013
(1) Imagistics International
Inc. 204 4,080
(1) Insight Enterprises Inc. 2,872 23,866
Steelcase Inc. "A" 1,929 21,142
Virco Manufacturing
Corp. 1,598 16,300
---------------
321,303
---------------
OIL & GAS PRODUCERS--3.64%
Adams Resources &
Energy Inc. 1,600 8,400
Apco Argentina Inc. 971 16,934
Atmos Energy Corp. 1,953 45,544
(1) ATP Oil & Gas Corp. 1,370 5,576
(1) Atwood Oceanics Inc. 1,402 42,200
Berry Petroleum Co. "A" 2,178 37,135
(1) Blue Dolphin Energy
Co. 7,300 3,358
BP Prudhoe Bay Royalty
Trust 1,489 21,978
Cabot Oil & Gas Corp. "A" 2,315 57,366
(1) CAL Dive International
Inc. 2,072 48,692
(1) Callon Petroleum Co. 1,559 5,223
Cascade Natural Gas
Corp. 1,007 20,140
Chesapeake Energy Corp. 10,300 79,722
(1) Cimarex Energy Co. 1,700 30,430
(1) Clayton Williams Energy
Inc. 1,100 $ 13,354
(1) Dawson Geophysical Co. 2,400 13,920
(1) Denbury Resources Inc. 4,397 49,686
Diamond Offshore Drilling
Inc. 8,223 179,673
(1) Encore Acquisition Co. 1,937 35,680
Energen Corp. 1,408 40,973
(1) Energy Partners Ltd. 2,000 21,400
ENSCO International Inc. 9,215 271,382
Equitable Resources Inc. 4,022 140,931
(1) Evergreen Resources Inc. 1,793 80,416
(1) Exploration Company of
Delaware (The) 10,100 30,098
(1) Forest Oil Corp. 2,866 79,245
(1) Giant Industries Inc. 2,584 7,623
(1) Grey Wolf Inc. 9,565 38,164
(1) Hanover Compressor
Co. 4,052 37,197
Helmerich & Payne Inc. 3,200 89,312
(1) Houston Exploration Co. 1,769 54,131
(1) Key Energy Services Inc. 5,818 52,187
(1) Magnum Hunter Resources
Inc. 2,900 17,255
(1) Mallon Resources Corp. 3,500 3,815
(1) MarkWest Hydrocarbon
Inc. 1,779 10,140
McMoRan Exploration Co. 2,119 10,807
(1) Meridian Resource Corp.
(The) 5,900 5,310
(1) Mission Resources Corp. 1,833 752
Murphy Oil Corp. 5,820 249,387
(1) National-Oilwell Inc. 5,282 115,359
New Jersey Resources
Corp. 1,944 61,411
(1) Newfield Exploration
Co. 3,250 117,163
Noble Energy Inc. 3,685 138,372
Northwest Natural Gas Co. 909 24,598
(1) Nuevo Energy Co. 1,327 14,730
Ocean Energy Inc. 10,362 206,929
(1) Parker Drilling Co. 6,495 14,419
Patina Oil & Gas Corp. 1,500 47,475
Penn Virginia Corp. 1,500 54,525
(1) Petroleum Development
Corp. 2,500 13,250
Piedmont Natural Gas Co. 1,771 62,605
(1) Pioneer Natural
Resources Co. 7,283 183,896
(1) Plains Exploration &
Production Co. 3,300 32,175
(1) Plains Resource Inc. 3,300 39,105
Pogo Producing Co. 3,731 138,980
(1) Premcor Inc. 4,747 105,526
(1) Pride International Inc. 8,295 123,596
(1) Prima Energy Corp. 1,030 23,031
(1) Remington Oil & Gas
Corp. 2,200 36,102
(1) SEACOR SMIT Inc. 1,050 46,725
(1) Seitel Inc. 1,764 970
SEMCO Energy Inc. 1,700 10,370
(1) Southern Union Co. 3,425 56,513
Southwest Gas Corp. 1,656 38,833
(1) Spinnaker Exploration
Co. 2,700 59,535
St. Mary Land &
Exploration Co. 1,598 39,950
(1) Stone Energy Corp. 1,615 53,876
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Superior Energy Services
Inc. 5,800 $ 47,560
(1) Swift Energy Co. 1,629 15,752
(1) Tesoro Petroleum Corp. 3,192 14,428
(1) 3TEC Energy Corp. 1,700 24,123
(1) Tom Brown Inc. 2,156 54,116
(1) Ultra Petroleum Corp. 3,701 36,640
(1) Unit Corp. 2,349 43,574
Valero Energy Corp. 6,491 239,778
Vintage Petroleum Inc. 3,458 36,482
WD-40 Co. 1,899 50,172
Western Gas Resources
Inc. 2,585 95,257
(1) Westport Resources
Corp. 4,576 95,181
(1) W-H Energy Services
Inc. 1,400 20,426
XTO Energy Inc. 7,614 188,066
---------------
4,777,110
---------------
OIL & GAS SERVICES--1.51%
CARBO Ceramics Inc. 983 33,127
(1) Cooper Cameron Corp. 3,502 174,470
(1) Dril-Quip Inc. 1,536 25,958
(1) FMC Technologies Inc. 3,426 69,993
(1) Global Industries Ltd. 5,078 21,175
GlobalSantaFe Corp. 15,127 367,889
(1) Grant Prideco Inc. 7,960 92,654
(1) Hydril Co. 2,000 47,140
(1) Input/Output Inc. 4,854 20,630
(1) Lone Star Technologies
Inc. 1,606 23,913
(1) Mitcham Industries Inc. 2,200 2,640
(1) Newpark Resources Inc. 6,968 30,311
(1) Oceaneering International
Inc. 2,232 55,220
(1) Oil States International
Inc. 2,906 37,487
(1) Patterson-UTI Energy
Inc. 4,975 150,096
(1) Smith International Inc. 6,376 207,985
Tidewater Inc. 3,838 119,362
(1) Universal Compression
Holdings Inc. 2,500 47,825
(1) Varco International Inc. 5,849 101,773
(1) Veritas DGC Inc. 1,922 15,184
(1) Weatherford International
Ltd. 8,431 336,650
---------------
1,981,482
---------------
PACKAGING & CONTAINERS--0.63%
(1) AEP Industries Inc. 745 9,737
(1) BWAY Corporation 1,143 22,609
(1) Crown Cork & Seal Co.
Inc. 7,624 60,611
Greif Brothers Corp. "A" 1,625 38,675
(1) Longview Fibre Co. 3,612 26,115
(1) Owens-Illinois Inc. 8,200 119,556
(1) Packaging Corporation
of America 6,850 124,944
(1) Silgan Holdings Inc. 2,054 50,693
(1) Smurfit-Stone Container
Corp. 15,116 232,650
Sonoco Products Co. 6,346 145,514
---------------
831,104
---------------
PHARMACEUTICALS--3.51%
(1) aaiPharma Inc. 1,732 $ 24,283
(1) Abgenix Inc. 5,032 37,086
(1) Able Laboratories Inc. 1,640 19,024
(1) Adolor Corp. 1,700 23,647
(1) Advanced Medical Optics
Inc. 800 9,576
(1) AdvancePCS 6,000 133,260
(1) Align Technology Inc. 2,948 8,139
(1) Alkermes Inc. 3,692 23,149
(1) Allou Health Care Inc. 2,961 7,906
(1) Allscripts Healthcare
Solutions Inc. 4,600 10,994
Alpharma Inc. "A" 3,095 36,861
(1) Amylin Pharmaceuticals
Inc. 4,592 74,115
(1) Andrx Group 4,401 64,563
(1) Antigenics Inc. 1,600 16,384
(1) Aphton Corp. 2,832 10,903
(1) ArQule Inc. 1,444 4,404
(1) AtheroGenics Inc. 1,675 12,412
(1) AVANIR Pharmaceuticals
"A" 4,000 4,000
(1) AVI BioPharma Inc. 4,800 24,000
(1) Barr Laboratories Inc. 2,812 183,033
(1) Biopure Corp. 2,300 8,556
(1) Bone Care International
Inc. 1,973 19,197
(1) Boston Life Sciences Inc. 3,693 4,136
(1) Celgene Corp. 4,738 101,725
(1) Cell Genesys Inc. 2,359 26,305
(1) Cell Therapeutics Inc. 2,590 18,829
(1) CIMA Labs Inc. 1,000 24,191
(1) CollaGenex
Pharmaceuticals Inc. 3,116 29,571
(1) Connetics Corp. 3,237 38,909
(1) Corixa Corp. 3,112 19,886
(1) Corvas International Inc. 2,500 3,875
(1) Cubist Pharmaceuticals
Inc. 2,144 17,645
(1) CV Therapeutics Inc. 2,100 38,262
D&K Healthcare Resources
Inc. 2,276 23,309
DENTSPLY International
Inc. 4,672 173,798
(1) Digene Corp. 1,428 16,365
(1) Durect Corp. 3,800 7,676
(1) Emisphere Technologies
Inc. 1,405 4,889
(1) Endo Pharmaceuticals
Holdings Inc. 5,500 42,345
(1) Eon Labs Inc. 2,425 45,857
(1) Epix Medical Inc. 1,921 13,889
(1) Essential Therapeutics
Inc. 2,892 1,591
(1) First Horizon
Pharmaceutical Corp. 1,800 13,460
(1) Genta Inc. 4,000 30,760
(1) Geron Corp. 2,194 7,898
(1) Gilead Sciences Inc. 12,166 413,644
(1) Guilford Pharmaceuticals
Inc. 1,220 4,856
(1) Hemispherx Biopharma
Inc. 1,841 3,921
(1) Henry Schein Inc. 2,680 120,600
(1) Hi-Tech Pharmacal Co. 2,400 61,560
(1) Hyseq Inc. 1,152 1,002
ICN Pharmaceuticals Inc. 6,623 72,257
(1) ILEX Oncology Inc. 3,766 26,588
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) ImClone Systems Inc. 4,580 $ 48,644
(1) Immune Response Corp.
(The) 866 841
(1) Immunogen Inc. 2,500 7,750
(1) Impax Laboratories Inc. 4,000 16,040
(1) Inhale Therapeutic
Systems Inc. 3,004 24,272
(1) InKine Pharmaceutical Co.
Inc. 3,300 5,379
(1) InterMune Inc. 3,000 76,530
(1) Intuitive Surgical Inc. 2,200 13,552
(1) Isis Pharmaceuticals Inc. 3,408 22,459
(1) IVAX Corp. 13,480 163,512
(1) Kos Pharmaceuticals Inc. 1,853 35,207
(1) KV Pharmaceuticals Co. 1,842 42,734
(1) Ligand Pharmaceuticals
Inc. "B" 2,582 13,865
(1) Martek Biosciences Corp. 1,748 43,770
(1) Medarex Inc. 4,728 18,676
(1) Medicines Co. (The) 1,900 30,438
(1) Medicis Pharmaceutical
Corp. "A" 1,843 91,542
(1) MIM Corp. 386 2,239
(1) Miravant Medical
Technologies 1,991 1,812
Mylan Laboratories Inc. 7,504 261,890
(1) Nabi Biopharmaceuticals 3,300 20,460
(1) NaPro BioTherapeutics
Inc. 2,500 1,650
(1) Nastech Pharmaceutical
Co. Inc. 3,000 25,650
(1) Natrol Inc. 2,290 2,634
(1) NBTY Inc. 3,730 65,573
(1) Neose Technologies Inc. 953 8,234
(1) Neurocrine Biosciences
Inc. 2,371 108,260
(1) Noven Pharmaceuticals
Inc. 2,700 24,921
(1) NPS Pharmaceuticals
Inc. 2,151 54,141
Nu Skin Enterprises Inc. "A" 3,109 37,215
Omnicare Inc. 5,605 133,567
(1) OSI Pharmaceuticals Inc. 2,498 40,967
(1) Patterson Dental Co. 3,980 174,085
(1) Perrigo Co. 5,276 64,103
(1) Pharmaceutical Resources
Inc. 2,400 71,520
(1) Pharmacyclics Inc. 1,356 4,841
(1) Praecis Pharmaceuticals
Inc. 3,000 9,750
(1) Priority Healthcare Corp.
"B" 3,376 78,323
(1) SangStat Medical Corp. 1,921 21,707
(1) SciClone Pharmaceuticals
Inc. 3,400 10,812
(1) Scios Inc. 2,761 89,953
(1) Sepracor Inc. 5,946 57,498
(1) Serologicals Corp. 2,187 24,057
(1) SICOR Inc. 7,663 121,459
(1) SuperGen Inc. 2,151 7,808
(1) Sybron Dental Specialties
Inc. 2,006 29,789
(1) Synaptic Pharmaceutical
Corp. 2,594 16,446
(1) Tanox Inc. 2,500 22,625
(1) Texas Biotech Corp. 4,257 $ 5,960
(1) 3 Dimensional
Pharmaceuticals Inc. 7,277 23,505
(1) Titan Pharmaceuticals
Inc. 1,487 2,126
(1) Triangle Pharmaceuticals
Inc. 3,876 23,023
(1) Tularik Inc. 2,636 19,665
(1) Twinlab Corp. 2,806 281
(1) United Surgical Partners
International Inc. 725 11,325
(1) United Therapeutics Inc. 1,400 23,380
(1) VaxGen Inc. 1,500 28,965
(1) Versicor Inc. 3,600 38,844
(1) Vion Pharmaceuticals Inc. 2,523 835
(1) ViroPharma Inc. 1,323 1,932
(1) VIVUS Inc. 2,800 10,444
(1) Zonagen Inc. 1,801 1,765
---------------
4,606,341
---------------
PIPELINES--0.20%
Aquila Inc. 11,616 20,560
National Fuel Gas Co. 4,331 89,782
Questar Corp. 5,390 149,950
---------------
260,292
---------------
REAL ESTATE--2.47%
(1) American Residential
Investment Trust Inc. 560 2,229
AMLI Residential
Properties Trust 1,844 39,240
Anthracite Capital Inc. 2,200 23,980
Arizona Land Income
Corp. "A" 2,100 8,295
Bedford Property
Investors Inc. 3,013 77,404
Brandywine Realty Trust 2,800 61,068
BRE Properties Inc. "A" 2,277 71,042
(1) California Coastal
Communities Inc. 535 2,959
(1) Catellus Development
Corp. 6,076 120,609
CenterPoint Properties
Corp. 1,438 82,182
Chateau Communities Inc. 1,647 37,881
Colonial Properties Trust 1,165 39,540
Commercial Net Lease
Realty Inc. 4,713 72,250
Cornerstone Realty Income
Trust Inc. 4,949 39,394
(1) Corrections Corp. of
America 3,800 65,170
Cousins Properties Inc. 2,927 72,297
Developers Diversified
Realty Corp. 2,963 65,156
EastGroup Properties Inc. 1,329 33,890
Equity Inns Inc. 6,529 39,305
First Industrial Realty Trust
Inc. 2,697 75,516
Forest City Enterprises
Inc. "A" 3,211 107,087
Gables Residential Trust 1,571 39,165
Glenborough Realty Trust
Inc. 1,619 28,851
Glimcher Realty Trust 2,660 47,215
(1) Grubb & Ellis Company 1,305 1,331
Healthcare Realty Trust Inc. 1,986 58,091
HMG/Courtland Properties
Inc. 2,900 17,980
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Home Properties of
New York Inc. 1,754 $ 60,425
(1) Income Opportunity Realty
Investors Inc. 2,900 54,549
Innkeepers USA Trust 4,029 30,862
(1) Insignia Financial
Group Inc. 3,857 27,963
IRT Property Co. 6,387 75,814
JDN Realty Corp. 4,362 47,764
(1) Jones Lang LaSalle Inc. 3,226 49,616
Kilroy Realty Corp. 1,936 44,625
LNR Property Corp. 1,720 60,888
Macerich Co. (The) 2,518 77,429
Manufactured Home
Communities Inc. 1,868 55,349
Meristar Hospitality Corp. 2,369 15,635
Mills Corp. 2,680 78,631
Monmouth Capital Corp. 2,500 8,825
Monmouth Real Estate
Investment Corp. "A" 2,500 17,300
(1) National Golf Properties
Inc. 2,360 27,730
National Health Investors
Inc. 4,195 67,456
Nationwide Health
Properties Inc. 2,267 33,846
Pan Pacific Retail
Properties Inc. 2,446 89,352
PMC Commercial Trust-SBI 600 7,470
Prentiss Properties Trust 1,341 37,923
(1) Prime Group Realty Trust 4,457 20,547
PS Business Parks Inc. 1,457 46,333
Realty Income Corp. 2,099 73,465
Reckson Associates Realty
Corp. 2,791 58,751
Redwood Trust Inc. 2,017 55,871
RFS Hotel Investors Inc. 4,113 44,667
Shurgard Storage Centers
Inc. "A" 2,179 68,290
Sovran Self Storage Inc. 1,479 41,944
St. Joe Company (The) 5,824 174,720
Summit Properties Inc. 1,437 25,579
Sun Communities Inc. 1,563 57,159
Taubman Centers Inc. 4,167 67,630
Town & Country Trust (The) 2,581 54,459
(1) Trammell Crow Co. 4,232 38,088
(1) Transcontinental Realty
Investments Inc. 1,538 27,130
(1) United Capital Corp. 690 24,426
W.P. Carey & Co. LLC 2,232 55,242
---------------
3,232,880
---------------
REAL ESTATE INVESTMENT TRUSTS--4.63%
Acadia Realty Trust 2,637 19,567
(1) Alexander's Inc. 723 46,670
Alexandria Real Estate
Equities Inc. 2,562 109,141
AMB Property Corp. 5,742 157,101
American Land Lease Inc. 2,793 39,353
American Mortgage
Acceptance Corp. 3,300 46,497
Annaly Mortgage
Management Inc. 4,400 82,720
Apartment Investment &
Management Co. "A" 6,024 225,780
Archstone-Smith Trust 9,685 $ 227,985
Arden Realty Inc. 3,392 75,133
AvalonBay Communities
Inc. 4,401 172,255
Boston Properties Inc. 5,743 211,687
Camden Property Trust 2,293 75,669
Capital Alliance Income
Trust Ltd. 1,300 22,620
Capital Automotive 1,600 37,920
Capstead Mortgage Corp. 4,800 118,320
CarrAmerica Realty Corp. 6,510 163,076
CBL & Associates
Properties Inc. 1,482 59,354
(1) Cedar Income Fund Ltd. 3,500 14,000
Chelsea Property Group
Inc. 2,285 76,113
Crescent Real Estate
Equities Co. 6,613 110,040
Crown American Realty
Trust 2,566 23,607
Duke Realty Corp. 8,040 204,618
Essex Property Trust Inc. 1,544 78,512
FBR Asset Investment
Corp. 1,089 36,917
Federal Realty Investment
Trust 2,283 64,198
FelCor Lodging Trust Inc. 3,037 34,743
General Growth Properties
Inc. 4,105 213,460
Getty Realty Corp. 2,600 49,270
Great Lakes REIT Inc. 3,419 56,926
Health Care Property
Investors Inc. 4,057 155,383
Health Care REIT Inc. 1,854 50,151
Highwoods Properties Inc. 2,659 58,764
Hospitality Properties Trust 4,735 166,672
(1) Host Marriott Corp. 14,160 125,316
HRPT Properties Trust 8,685 71,564
iStar Financial Inc. 6,770 189,899
Kimco Realty Corp. 5,954 182,431
Koger Equity Inc. 2,289 35,708
Kramont Realty Trust 1,700 24,905
Liberty Property Trust 4,578 146,221
Mack-Cali Realty Corp. 3,700 112,110
Mid-America Apartment
Communities Inc. 1,642 40,147
Mission West Properties
Inc. 2,400 23,760
New Plan Excel Realty
Trust 6,847 130,709
Parkway Properties Inc. 1,252 43,920
Post Properties Inc. 1,583 37,834
ProLogis 11,256 283,088
Public Storage Inc. 7,055 227,947
Regency Centers Corp. 3,440 111,456
Rouse Co. (The) 5,274 167,186
Senior Housing Properties
Trust 4,318 45,814
SL Green Realty Corp. 3,471 109,684
Thornbury Mortgage Inc. 2,392 48,079
Trizec Properties Inc. 9,116 85,599
United Dominion Realty
Trust Inc. 7,634 124,892
Vornado Realty Trust 6,648 247,306
Washington Real Estate
Investment Trust 2,196 55,998
Weingarten Realty
Investors 3,300 121,638
---------------
6,077,433
---------------
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
RETAIL--5.34%
(1) Abercrombie & Fitch
Co. "A" 6,320 $ 129,307
(1) AC Moore Arts & Crafts
Inc. 134 1,703
(1) Advance Auto Parts Inc. 2,145 104,891
(1) Aeropostale Inc. 2,630 27,799
(1) AFC Enterprises Inc. 1,869 39,268
(1) AG Services of America
Inc. 1,533 11,038
(1) Amazon.com Inc. 23,590 445,615
(1) American Eagle Outfitters
Inc. 4,555 62,768
Angelo and Maxie's Inc. 5,088 17,299
(1) AnnTaylor Stores Corp. 2,620 53,500
(1) AutoNation Inc. 20,298 254,943
(1) Barnes & Noble Inc. 4,268 77,123
(1) Bebe Stores Inc. 2,424 32,482
(1) Big 5 Sporting Goods
Corp. 700 7,553
(1) Big Dog Holdings Inc. 3,241 7,979
(1) BJ's Wholesale Club Inc. 4,572 83,668
Blockbuster Inc. 2,500 30,625
Bob Evans Farms Inc. 2,133 49,806
(1) Borders Group Inc. 5,035 81,064
(1) Brinker International Inc. 6,199 199,918
Brown Shoe Co. Inc. 1,408 33,553
(1) Buckle Inc. (The) 1,782 32,076
Burlington Coat Factory
Warehouse Corp. 3,019 54,191
(1) CarMax Inc. 6,335 113,270
Casey's General Store Inc. 2,654 32,405
Cash America International
Inc. 4,822 45,905
Cato Corp. "A" 2,013 43,461
CBRL Group Inc. 3,436 103,527
(1) CDW Computer Centers
Inc. 5,244 229,949
(1) Charlotte Russe Holding
Inc. 2,200 23,342
(1) Charming Shoppes Inc. 6,277 26,238
(1) Chico's FAS Inc. 5,022 94,966
(1) Children's Place Retail
Stores Inc. (The) 1,911 20,333
(1) Christopher & Banks
Corp. 1,968 40,836
Claire's Stores Inc. 3,172 70,006
(1) Coach Inc. 5,800 190,936
(1) Coldwater Creek Inc. 1,075 20,640
(1) Cole National Corp. 2,758 31,441
(1) Copart Inc. 4,773 56,512
(1) Cost Plus Inc. 1,283 36,784
(1) CSK Auto Corp. 2,542 27,962
(1) Dollar Tree Stores Inc. 7,069 173,685
(1) Dress Barn Inc. 1,901 25,283
(1) Drugstore.com Inc. 7,600 18,240
(1) Duane Reade Inc. 1,259 21,403
(1) Elder-Beerman Stores
Corp. 779 1,402
(1) Electronics Boutique
Holdings Corp. 1,502 23,747
(1) Factory 2-U Stores Inc. 1,223 4,172
(1) FAO Inc. 3,600 1,692
(1) Foot Locker Inc. 7,763 81,512
(1) Footstar Inc. 2,797 19,467
Fred's Inc. 2,375 $ 61,038
(1) FreeMarkets Inc. 3,271 21,062
(1) Galyan's Trading Co. 1,026 10,260
(1) GameStop Corp. 1,080 10,584
(1) Genesco Inc. 1,499 27,926
(1) Goody's Family Clothing
Inc. 3,491 15,500
(1) Group 1 Automotive Inc. 1,000 23,880
(1) Guitar Center Inc. 1,598 26,463
Haverty Furniture
Companies Inc. 2,222 30,886
(1) Holiday RV Superstores
Inc. 40 36
(1) Hot Topic Inc. 2,046 46,812
IKON Office Solutions Inc. 5,600 40,040
(1) Jewett-Cameron Trading
Co. Ltd. 1,400 11,340
(1) Jill (J.) Group Inc. (The) 2,031 28,393
(1) Jo-Ann Stores Inc. 2,202 50,580
(1) Kenneth Cole Productions
"A" 1,374 27,892
(1) Kirkland's Inc. 520 5,876
(1) Krispy Kreme Doughnuts
Inc. 3,720 125,624
(1) Linens `N Things Inc. 2,442 55,189
(1) Lithia Motors Inc. "A" 1,725 27,065
Lone Star Steakhouse &
Saloon Inc. 2,249 43,496
Longs Drug Stores Corp. 3,000 62,220
(1) MarineMax Inc. 919 10,853
(1) Men's Wearhouse Inc.
(The) 2,896 49,666
(1) Michaels Stores Inc. 3,943 123,416
(1) Mothers Work Inc. 1,200 42,276
(1) Movie Gallery Inc. 1,094 14,222
(1) MSC Industrial Direct Co.
Inc. "A" 2,211 39,245
(1) Neiman-Marcus Group
Inc. "A" 2,992 90,927
(1) 99 Cents Only Stores 4,545 122,079
(1) Nyer Medical Group Inc. 1,220 1,525
(1) O'Charley's Inc. 1,668 34,244
(1) Odd Job Stores Inc. 408 775
(1) OfficeMax Inc. 7,191 35,955
(1) 1-800 CONTACTS INC. 774 21,339
(1) O'Reilly Automotive Inc. 3,404 86,087
Outback Steakhouse Inc. 4,694 161,661
(1) Overstock.com Inc. 700 9,100
(1) Pacific Sunwear of
California Inc. 3,617 63,976
(1) Pantry Inc. (The) 2,400 9,624
(1) Payless ShoeSource
Inc. 1,404 72,264
(1) PC Connection Inc. 1,709 8,665
Pep Boys-Manny, Moe &
Jack Inc. 913 10,591
(1) PETCO Animal Supplies
Inc. 492 11,532
(1) PETsMART Inc. 8,300 142,179
Pier 1 Imports Inc. 6,351 120,224
(1) Priceline.com Inc. 11,722 18,755
Regis Corp. 2,499 64,949
(1) Rite Aid Corp. 25,700 62,965
Ross Stores Inc. 4,900 207,711
Ruby Tuesday Inc. 2,892 50,003
(1) Ryan's Family Steak
Houses Inc. 5,636 63,969
(1) Saks Inc. 9,662 113,432
(1) School Specialty Inc. 1,452 29,011
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) 7-Eleven Inc. 5,909 $ 44,318
(1) Sharper Image Corp. 353 6,153
(1) ShopKo Stores Inc. 3,700 46,065
(1) Smart & Final Inc. 3,830 19,916
(1) Sonic Automotive Inc. 2,312 34,379
(1) Sports Resorts
International Inc. 4,862 28,540
(1) Stage Stores Inc. 639 13,445
(1) Stamps.com Inc. 4,200 19,614
(1) Steak n Shake Company
(The) 2,389 23,890
(1) Stein Mart Inc. 2,429 14,817
(1) Systemax Inc. 2,716 4,210
Talbots Inc. (The) 3,808 104,834
(1) Too Inc. 2,200 51,744
(1) Tractor Supply Co. 1,500 56,400
(1) Trans World Entertainment
Corp. 3,864 14,026
(1) Tuesday Morning Corp. 3,000 51,300
(1) Tweeter Home
Entertainment Group
Inc. 1,364 7,884
(1) Ultimate Electronics Inc. 661 6,709
(1) United Auto Group Inc. 2,700 33,669
(1) Urban Outfitters Inc. 1,853 43,675
(1) Value City Department
Stores Inc. 2,744 5,022
(1) Wet Seal Inc. "A" 2,493 26,827
(1) Whitehall Jewellers Inc. 879 8,351
(1) Williams-Sonoma Inc. 7,376 200,258
(1) Wilsons The Leather
Experts Inc. 1,298 6,490
(1) Zale Corp. 2,104 67,118
---------------
7,002,321
---------------
SEMICONDUCTORS--1.53%
(1) Aetrium Inc. 1,228 946
(1) Agere Systems Inc. "A" 36,200 52,128
(1) Agere Systems Inc. "B" 65,300 91,420
(1) Alliance Semiconductor
Corp. 2,230 8,764
(1) Amkor Technology Inc. 11,173 53,183
(1) ANADIGICS Inc. 1,914 4,938
(1) Atmel Corp. 28,920 64,492
(1) Axcelis Technologies
Inc. 5,870 32,925
(1) AXT Inc. 1,892 3,406
(1) ChipPAC Inc. "A" 4,400 15,620
(1) Cirrus Logic Inc. 5,157 14,852
Cohu Inc. 1,718 25,255
(1) Conexant Systems Inc. 15,721 25,311
(1) Credence Systems
Corp. 4,230 39,466
(1) Cree Inc. 4,772 78,022
(1) Cypress Semiconductor
Corp. 7,447 42,597
(1) EMCORE Corp. 2,438 5,339
(1) Entegris Inc. 6,390 65,817
(1) GlobeSpanVirata Inc. 8,988 39,637
(1) Integrated Circuit Systems
Inc. 4,400 80,300
(1) Integrated Device
Technology Inc. 6,781 56,757
(1) Integrated Silicon Solution
Inc. 1,368 5,964
(1) International Rectifier
Corp. 4,266 $ 78,750
(1) Intersil Corp. "A" 8,953 124,805
(1) IXYS Corp. 1,720 12,143
(1) Kopin Corp. 4,600 18,032
(1) Lam Research Corp. 8,399 90,709
(1) Lattice Semiconductor
Corp. 6,092 53,427
(1) LTX Corp. 3,108 18,741
(1) MEMC Electronics
Materials Inc. 9,740 73,732
Microchip Technology Inc. 12,246 299,415
(1) Microtune Inc. 3,186 9,972
(1) Monolithic System
Technology Inc. 897 10,836
(1) Multilink Technology
Corp. 4,087 11,035
(1) OmniVision Technologies
Inc. 3,101 42,081
(1) ParthusCeva Inc. 597 3,528
(1) Pericom Semiconductor
Corp. 1,688 14,027
(1) Pixelworks Inc. 2,494 14,465
(1) Rambus Inc. 6,132 41,146
(1) Silicon Laboratories Inc. 3,300 62,964
(1) Skyworks Solutions Inc. 8,232 70,960
(1) Transmeta Corp. 7,945 9,296
(1) TranSwitch Corp. 4,966 3,422
(1) Tripath Technology Inc. 347 97
(1) TriQuint Semiconductor
Inc. 7,729 32,771
(1) Varian Semiconductor
Equipment Associates
Inc. 2,130 50,611
(1) Veeco Instruments Inc. 1,710 19,768
(1) Virage Logic Corp. 1,566 15,707
(1) Vitesse Semiconductor
Corp. 5,493 12,002
---------------
2,001,581
---------------
SOFTWARE--3.26%
(1) Actuate Corp. 3,664 6,485
(1) Acxiom Corp. 5,172 79,545
(1) Akamai Technologies
Inc. 7,077 12,243
(1) Alloy Inc. 3,700 40,515
(1) American Management
Systems Inc. 2,578 30,910
(1) Applied Graphics
Technologies Inc. 1,090 523
(1) Apropos Technology Inc. 1,800 2,448
(1) Ariba Inc. 15,700 38,936
(1) Artemis International
Solutions Corp. 2,786 111
(1) Ascential Software Corp. 17,525 42,060
(1) AvantGo Inc. 1,863 1,826
(1) Avid Technology Inc. 2,096 48,103
(1) Axeda Systems Inc. 2,600 2,080
(1) BEA Systems Inc. 25,752 295,375
(1) Blue Martini Software
Inc. 629 1,824
(1) Borland Software Corp. 5,168 63,566
(1) Cadence Design
Systems Inc. 16,315 192,354
(1) Caminus Corp. 1,260 2,948
(1) Captaris Inc. 1,718 4,123
(1) CareCentric Inc. 56 36
(1) Centillium Communications
Inc. 1,976 4,466
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Certegy Inc. 4,200 $ 103,110
(1) CheckFree Corp. 5,381 86,101
(1) ChoicePoint Inc. 5,402 213,325
(1) Chordiant Software Inc. 5,254 7,566
(1) CMGI Inc. 20,155 19,772
(1) CNET Networks Inc. 7,635 20,691
(1) Computer Horizons
Corp. 2,694 8,809
(1) Concero Inc. 600 198
(1) Concerto Software Inc. 1,762 11,894
(1) Corillian Corp. 2,647 2,409
(1) Corio Inc. 3,664 2,748
(1) CSG Systems International
Inc. 3,298 45,018
(1) DataTRAK International
Inc. 1,587 2,730
(1) Datawatch Corp. 3,500 10,430
(1) Digi International Inc. 3,953 11,503
(1) Digital Impact Inc. 3,503 6,656
(1) DigitalThink Inc. 2,890 5,055
(1) Docent Inc. 867 2,470
(1) Documentum Inc. 2,888 45,226
(1) DoubleClick Inc. 8,778 49,684
(1) DSL.net Inc. 3,700 1,813
(1) EarthLink Inc. 8,398 45,769
(1) EasyLink Services Corp.
"A" 466 298
(1) ebix.com Inc. 179 465
eBT International Inc. 2,669 227
(1) Edwards (J.D.) & Co. 7,079 79,851
(1) eFunds Corp. 4,500 40,995
(1) Elevon Inc. 1,028 1,429
(1) Embarcadero Technologies
Inc. 2,200 13,134
(1) eMerge Interactive Inc.
"A" 2,362 614
(1) ePresence Inc. 2,346 4,551
(1) eSpeed, Inc. 1,100 18,635
(1) eUniverse Inc. 4,156 23,606
(1) Evolve Software Inc. 86 354
(1) EXE Technologies Inc. 4,300 2,365
(1) Extensity Inc. 2,620 4,559
(1) F5 Networks Inc. 2,400 25,776
(1) FileNET Corp. 1,873 22,851
(1) FirePond Inc. 275 677
(1) Frontstep Inc. 341 665
(1) Geoworks Corp. 1,820 31
Global Payments Inc. 2,132 68,245
(1) GraphOn Corp. 2,600 338
(1) i2 Technologies Inc. 25,334 29,134
(1) Identix Inc. 2,342 12,061
(1) Informatica Corp. 4,600 26,496
(1) Information Architects
Corp. 488 29
(1) Information Resources
Inc. 6,741 10,786
(1) InfoSpace Inc. 1,856 15,681
(1) Inktomi Corp. 7,744 12,390
(1) InteliData Technologies
Corp. 3,100 2,790
(1) Interactive Intelligence
Inc. 1,900 4,940
(1) Interland Inc. 8,267 10,747
(1) Internet Capital Group
Inc. 1,984 714
(1) Internet Pictures Corp. 322 $ 338
Inter-Tel Inc. 2,668 55,788
(1) iVillage Inc. 4,553 4,280
(1) JDA Software Group Inc. 2,263 21,861
(1) Jupitermedia Corp. 2,900 7,221
(1) Kana Software Inc. 1,753 3,453
(1) Keane Inc. 3,849 34,603
(1) Legato Systems Inc. 5,682 28,580
(1) Lightspan Inc. 4,460 4,687
(1) Liquid Audio Inc. 2,300 5,658
(1) Loudeye Technologies
Inc. 3,412 1,075
(1) Macromedia Inc. 4,209 44,826
(1) Magma Design Automation
Inc. 1,900 18,202
(1) Manugistics Group Inc. 4,258 10,219
(1) Mercator Software Inc. 1,682 1,632
(1) Micromuse Inc. 4,592 17,541
(1) MicroStrategy Inc. "A" 216 3,262
(1) Navidec Inc. 239 540
NDCHealth Corp. 1,916 38,128
(1) Neoforma Inc. 1,383 16,527
(1) Net2Phone Inc. 2,300 9,315
(1) Netegrity Inc. 2,180 7,092
(1) netGuru Inc. 1,600 2,142
(1) NetIQ Corp. 3,362 41,521
(1) Network Associates Inc. 9,653 155,317
(1) Network Commerce Inc. 446 10
(1) Netzee Inc. 288 127
(1) NexPrise Inc. 193 266
(1) NIC Inc. 4,900 6,909
(1) Niku Corp. 442 1,768
(1) Numerical Technologies
Inc. 1,848 6,394
(1) Openwave Systems
Inc. 10,192 20,384
(1) Opsware Inc. 4,347 7,694
(1) Optika Inc. 2,200 2,288
(1) Overture Services Inc. 3,700 101,047
(1) Pegasystems Inc. 4,283 21,886
(1) Per-Se Technologies Inc. 1,301 11,669
(1) Pinnacle Systems Inc. 3,968 54,004
(1) Pinnacor Inc. 3,770 4,599
(1) Pixar Inc. 3,209 170,045
(1) PLATO Learning Inc. 2,666 15,836
(1) Portal Software Inc. 11,200 9,050
(1) PracticeWorks Inc. 2,223 17,562
(1) Previo Inc. 2,300 5,520
(1) Printcafe Software Inc. 1,900 2,337
(1) ProQuest Co. 1,440 28,224
(1) Pumatech Inc. 3,134 2,225
(1) Razorfish Inc. "A" 171 291
(1) RealNetworks Inc. 11,688 44,531
(1) Renaissance Learning
Inc. 2,612 49,367
(1) Resonate Inc. 1,960 3,469
Reynolds & Reynolds
Co. (The) "A" 4,577 116,576
(1) Roxio Inc. 1,004 4,789
(1) Saba Software Inc. 4,733 5,017
(1) SeaChange International
Inc. 1,609 9,895
(1) SeeBeyond Technology
Corp. 5,000 12,150
(1) SERENA Software Inc. 3,000 47,370
(1) SpeechWorks International
Inc. 2,100 5,838
(1) SPSS Inc. 1,333 18,649
(1) Stellent Inc. 1,622 7,200
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) SupportSoft Inc. 2,388 $ 9,409
(1) SVI Solutions Inc. 3,111 2,147
(1) Sybase Inc. 6,604 88,494
(1) Symantec Corp. 8,978 363,699
(1) Synplicity Inc. 2,100 7,938
(1) SynQuest Inc. 247 96
(1) Tarantella Inc. 2,667 483
(1) TeleCommunication
Systems Inc. 2,400 4,824
(1) 3DO Co. (The) 457 928
(1) TIBCO Software Inc. 12,741 78,739
Total System Services Inc. 11,881 160,394
(1) TradeStation Group Inc. 1,545 2,225
(1) Trident Microsystems
Inc. 3,746 13,860
(1) TriZetto Group Inc.
(The) 3,100 19,034
(1) Ulticom Inc. 2,644 19,804
(1) United Leisure Corp. 1,400 840
(1) VA Software Corp. 3,372 3,069
(1) ValueClick Inc. 8,117 22,646
(1) Verticalnet Inc. 540 427
(1) VIA NET.WORKS Inc. 5,295 3,601
(1) Vie Financial Group Inc. 3,000 90
(1) Viewpoint Corp. 2,281 4,265
(1) Vignette Corp. 14,744 18,091
(1) VitalStream Holdings Inc. 2,000 460
(1) VitalWorks Inc. 3,692 14,214
(1) V-One Corp. 2,900 406
(1) webMethods Inc. 3,956 32,518
(1) Websense Inc. 1,400 29,905
(1) Wind River Systems Inc. 4,198 17,212
---------------
4,277,500
---------------
TELECOMMUNICATION EQUIPMENT--0.50%
(1) ADTRAN Inc. 2,418 79,552
(1) Advanced Fibre
Communications Inc. 4,785 79,814
(1) AltiGen Communications
Inc. 4,300 2,451
(1) American Tower Corp.
"A" 11,171 39,434
(1) Arris Group Inc. 2,793 9,971
(1) Avanex Corp. 4,246 4,331
(1) Carrier Access Corp. 2,356 895
(1) ClearOne Communications
Inc. 1,500 6,675
(1) CommScope Inc. 3,405 26,900
(1) Copper Mountain
Networks Inc. 310 1,321
(1) Corvis Corp. 22,585 16,035
(1) CoSine Communications
Inc. 689 4,162
(1) Digital Lightwave Inc. 1,877 2,311
8X8 Inc. 2,583 568
(1) Endwave Corp. 650 621
(1) Glenayre Technologies
Inc. 4,286 4,886
(1) Handspring Inc. 8,220 7,809
(1) Harmonic Inc. 4,053 9,322
Harris Corp. 4,200 110,460
(1) Integrated Telecom Express
Inc. 2,206 3,508
(1) Ixia 2,956 10,789
(1) Network Engines Inc. 2,444 2,444
(1) New Focus Inc. 4,270 $ 16,397
(1) NMS Communications
Corp. 1,980 3,802
(1) NumereX Corp. "A" 3,600 9,684
(1) Oplink Communications
Inc. 10,617 8,281
(1) Optical Cable Corp. 481 1,135
(1) P-Com Inc. 821 156
(1) Peco II Inc. 1,314 841
(1) Proxim Corp. "A" 4,338 3,774
(1) RF Micro Devices Inc. 10,452 76,613
(1) SBA Communications
Corp. 2,700 1,107
(1) Sonus Networks Inc. 12,374 12,374
(1) Stratex Networks Inc. 5,360 11,846
(1) Sycamore Networks Inc. 17,300 49,997
(1) Telaxis Communications
Corp. 1,737 313
(1) Terayon Communication
Systems Inc. 5,168 10,594
(1) Tollgrade Communications
Inc. 928 10,885
(1) Viasat Inc. 1,314 15,164
---------------
657,222
---------------
TELECOMMUNICATIONS--3.05%
(1) ACTV Inc. 3,667 2,567
(1) Adaptec Inc. 6,100 34,465
(1) Aether Systems Inc. 2,500 9,400
(1) AirGate PCS Inc. 3,100 1,922
(1) Airnet Communications
Corp. 2,639 1,372
(1) Alamosa Holdings Inc. 4,736 2,463
(1) Alaska Communications
Systems Group Inc. 5,700 10,488
(1) Allegiance Telecom Inc. 7,328 4,910
(1) Allen Telecom Inc. 2,811 26,620
(1) American Access
Technologies Inc. 2,800 1,540
(1) Anaren Inc. 1,506 13,253
(1) Anixter International Inc. 1,973 45,872
(1) Applied Digital Solutions
Inc. 3,900 1,599
(1) Applied Innovation Inc. 1,000 3,030
(1) Applied Signal Technology
Inc. 2,475 29,329
(1) Aspect Communications
Corp. 3,988 11,326
(1) Audiovox Corp. "A" 2,436 25,191
(1) Avocent Corp. 3,047 67,704
(1) Broadwing Inc. 13,326 46,908
(1) Catapult Communications
Corp. 1,500 17,925
(1) C-COR.net Corp. 2,770 9,196
(1) Celeritek Inc. 1,200 7,992
(1) Cellular Technical Services
Co. Inc. 1,000 690
(1) Centennial
Communications Corp.
"A" 6,072 15,848
(1) Charter Communications
Inc. "A" 18,900 22,302
(1) Choice One
Communications Inc. 3,557 569
(1) Com21 Inc. 5,130 1,134
(1) Commonwealth Telephone
Enterprises Inc. 1,623 58,168
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Comtech
Telecommunications
Corp. 1,200 $ 12,959
(1) Cox Communications
Inc. "A" 36,479 1,036,004
(1) Crown Castle International
Corp. 12,909 48,409
D&E Communications Inc. 3,424 28,625
(1) Deltathree Inc. 2,063 980
(1) Ditech Communications
Corp. 1,800 3,924
(1) EchoStar Communications
Corp. 15,856 352,955
(1) EMS Technologies Inc. 1,920 29,894
(1) Emulex Corp. 5,308 98,463
(1) Finisar Corp. 11,000 10,450
(1) General Communication
Inc. "A" 5,033 33,771
(1) General Motors Corp.
"H" 55,734 596,354
(1) GoAmerica Inc. 3,846 1,115
Hickory Tech Corp. 1,303 12,418
(1) High Speed Access
Corp. 8,400 10,920
(1) Hungarian Telephone and
Cable Corp. 1,300 10,231
(1) IDT Corp. 1,739 30,067
(1) IDT Corp. "B" 2,339 36,278
(1) I-Link Inc. 2,839 355
(1) Inet Technologies Inc. 3,100 18,910
(1) Infonet Services Corp.
"B" 19,395 38,402
(1) InterDigital
Communications Corp. 3,387 49,315
(1) InterVoice-Brite Inc. 2,790 6,026
(1) Intrado Inc. 3,100 30,780
(1) Itron Inc. 1,079 20,684
(1) LCC International Inc.
"A" 2,000 3,900
(1) Leap Wireless
International Inc. 3,255 488
(1) Level 3 Communications
Inc. 23,341 114,371
(1) Lexent Inc. 2,535 2,180
(1) Liberty Satellite &
Technology Inc. "A" 310 822
(1) Lightbridge Inc. 2,241 13,782
(1) LightPath Technologies
Inc. "A" 1,700 544
(1) Loral Space &
Communications Ltd. 17,697 7,610
(1) MarketWatch.com Inc. 2,525 12,350
(1) MasTec Inc. 3,042 8,974
(1) MCK Communications
Inc. 1,300 1,417
(1) Metro One
Telecommunications
Inc. 1,915 12,352
(1) MRV Communications
Inc. 9,135 9,774
(1) Netro Corp. 3,300 8,979
(1) Newport Corp. 2,305 28,951
(1) Next Level
Communications Inc. 5,900 4,785
(1) Nextel Partners Inc. "A" 11,000 66,770
(1) NTELOS Inc. 1,582 $ 585
(1) Nucentrix Broadband
Networks Inc. 2,700 2,973
(1) Pac-West Telecomm Inc. 2,800 1,400
(1) PanAmSat Corp. 9,654 141,335
(1) Plantronics Inc. 2,620 39,641
(1) Powerwave Technologies
Inc. 3,813 20,590
(1) Price Communications
Corp. 3,564 49,290
(1) Primus
Telecommunications
Group Inc. 2,354 4,708
(1) PTEK Holdings Inc. 4,348 19,131
(1) RCN Corp. 6,317 3,348
(1) Rural Cellular Corp. "A" 1,086 923
(1) Savvis Communications
Corp. 6,224 2,490
(1) Sirius Satellite Radio Inc. 3,837 2,456
(1) Somera Communications
Inc. 5,500 14,850
(1) SpectraLink Corp. 2,266 16,249
(1) STM Wireless Inc. "A" 1,900 399
(1) Superior Telecom Inc. 4,027 604
(1) Tekelec 3,821 39,929
(1) Time Warner Telecom Inc.
"A" 2,500 5,275
(1) Touch America Holdings
Inc. 6,924 2,700
(1) Triton PCS Holdings
Inc. "A" 3,700 14,541
(1) Tut Systems Inc. 2,700 3,402
(1) United Online Inc. 2,800 44,635
(1) United States Cellular
Corp. 5,909 147,843
(1) UTStarcom Inc. 1,600 31,728
(1) Vixel Corp. 3,900 7,800
(1) WebEx Communications
Inc. 3,000 45,000
(1) Westell Technologies Inc.
"A" 3,058 3,670
(1) Western Wireless Corp.
"A" 4,526 23,988
(1) WorldGate
Communications Inc. 2,600 1,092
(1) XETA Technologies Inc. 3,893 12,224
(1) Zoom Telephonics Inc. 2,200 1,562
(1) Z-Tel Technologies Inc. 3,200 2,592
---------------
3,999,074
---------------
TELEPHONE--0.15%
(1) Covista Communications
Inc. 1,984 5,873
(1) Focal Communications
Corp. 120 6
(1) TALK America Holdings
Inc. 2,796 15,658
Telephone & Data Systems
Inc. 3,829 180,040
---------------
201,577
---------------
TEXTILES--0.53%
(1) Columbia Sportswear
Co. 2,443 108,518
(1) Cone Mills Corp. 3,737 6,428
(1) Culp Inc. 581 4,939
(1) Dan River Inc. "A" 1,800 4,950
G&K Services Inc. "A" 2,016 71,368
(1) Guess ? Inc. 2,319 9,717
</Table>
208
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Guilford Mills Inc. 1 $ 4
(1) Hallwood Group Inc. 2,000 13,200
Kellwood Co. 2,341 60,866
(1) Mohawk Industries Inc. 4,171 237,538
(1) Nautica Enterprises Inc. 2,466 27,397
(1) Polo Ralph Lauren Corp. 2,206 48,003
(1) Quaker Fabric Corp. 5,100 35,445
(1) Sport-Haley Inc. 1,232 4,312
(1) Tag-It Pacific Inc. 500 1,815
(1) Tarrant Apparel Group 2,213 9,051
(1) WestPoint Stevens Inc. 3,330 1,965
Wolverine World Wide Inc. 3,059 46,221
---------------
691,737
---------------
TOBACCO--0.05%
Universal Corp. 1,106 40,878
Vector Group Ltd. 1,810 21,032
---------------
61,910
---------------
TOYS/GAMES/HOBBIES--0.16%
Action Performance
Companies Inc. 1,445 27,455
(1) Boyds Collection Ltd.
(The) 5,400 35,910
(1) Fotoball USA Inc. 2,400 9,912
(1) Jakks Pacific Inc. 1,528 20,582
(1) LeapFrog Enterprises
Inc. 840 21,126
(1) Marvel Enterprises Inc. 3,233 29,032
(1) Media Arts Group Inc. 2,281 5,931
(1) Multimedia Games Inc. 800 21,968
(1) Topps Co. (The) 4,511 39,246
---------------
211,162
---------------
TRANSPORTATION--1.28%
Air T Inc. 1,000 2,001
Airborne Inc. 2,660 39,448
(1) Airnet Systems Inc. 5,219 25,677
Alexander & Baldwin Inc. 1,900 49,001
(1) Allied Holdings Inc. 490 1,597
(1) Arkansas Best Corp. 1,023 26,579
(1) Atlas Air Worldwide
Holdings Inc. 2,404 3,630
(1) Boyd Brothers
Transportation Inc. 2,400 8,208
CH Robinson Worldwide
Inc. 5,686 177,403
CNF Inc. 3,138 104,307
(1) Dollar Thrifty Automotive
Group Inc. 1,879 39,741
(1) EGL Inc. 3,073 43,790
Expeditors International
Washington Inc. 6,808 222,281
Florida East Coast
Industries Inc. 2,523 58,534
(1) Forward Air Corp. 1,393 27,038
(1) General Maritime Corp. 2,733 20,361
(1) GulfMark Offshore Inc. 2,000 29,500
(1) Heartland Express Inc. 4,221 96,707
(1) Hunt (J.B.) Transport
Services Inc. 2,092 61,296
(1) Kirby Corp. 1,735 47,522
(1) Landair Corp. 3,000 38,310
(1) Landstar System Inc. 1,128 65,830
(1) Offshore Logistics Inc. 1,491 32,683
Overseas Shipholding
Group Inc. 1,746 $ 31,253
(1) P.A.M. Transportation
Services Inc. 513 12,933
(1) Pacer International Inc. 2,195 29,194
(1) Petroleum Helicopters
NV 1,145 34,339
Roadway Corp. 1,765 64,970
(1) SCS Transportation Inc. 724 7,175
(1) Swift Transportation Co.
Inc. 5,822 116,545
USFreightways Corp. 1,375 39,531
(1) Velocity Express Corp. 200 130
Werner Enterprises Inc. 4,029 86,744
(1) Yellow Corp. 1,448 36,477
---------------
1,680,735
---------------
TRUCKING & LEASING--0.08%
(1) AMERCO 1,611 7,121
GATX Corp. 3,600 82,152
(1) Willis Lease Finance
Corp. 2,468 12,463
---------------
101,736
---------------
WATER--0.32%
American Water Works Inc. 6,276 285,432
California Water Service
Group 1,464 34,624
Connecticut Water Service
Inc. 1,000 25,231
Philadelphia Suburban
Corp. 3,456 71,194
---------------
416,481
---------------
TOTAL COMMON STOCKS
(Cost: $190,656,134) 129,769,209
---------------
- --------------------------------------------------------------------------------------
PREFERRED STOCKS--0.00%
- --------------------------------------------------------------------------------------
BANKS--0.00%
Cardinal Financial
Corp. "A" 181 1,059
---------------
1,059
---------------
TOTAL PREFERRED STOCKS
(Cost: $606) 1,059
---------------
</Table>
209
<Page>
<Table>
<Caption>
SHARES OR
SECURITY FACE AMOUNT VALUE
- --------------------------------------------------------------------------------------
SHORT TERM INSTRUMENTS--9.74%
- --------------------------------------------------------------------------------------
Barclays Global
Investors Funds
Institutional Money
Market Fund,
Institutional Shares 11,042,255 $ 11,042,255
BlackRock Temp Cash
Money Market Fund 1,408,975 1,408,975
Dreyfus Money Market
Fund 121,463 121,463
Goldman Sachs
Financial Square
Prime Obligation
Fund 105,811 105,811
U.S. Treasury Bill
1.17%(2), 03/27/03(3) $ 100,000 99,729
---------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $12,778,233) 12,778,233
---------------
TOTAL INVESTMENTS IN
SECURITIES--108.66%
(Cost $203,434,973) 142,548,501
Other Assets, Less Liabilities--(8.66%) (11,356,695)
---------------
NET ASSETS--100.00% $ 131,191,806
===============
</Table>
(1) Non-income earning securities.
(2) Yield to Maturity.
(3) This U.S. Treasury Bill is held in a segregated account in connection with
the Master Portfolio's holdings of index futures contracts. See Note 1.
The accompanying notes are an integral part of these financial statements.
210
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
INTERNATIONAL INDEX MASTER PORTFOLIO
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--98.44%
- --------------------------------------------------------------------------------------
AUSTRALIA--4.39%
Alumina Ltd. 19,375 $ 53,459
Amcor Ltd. 16,544 79,092
AMP Ltd. 17,961 113,073
Aristocrat Leisure Ltd. 7,572 19,955
Australia and New Zealand
Banking Group Ltd. 24,764 241,939
Australian Gas & Light
Co. Ltd. 8,142 48,323
(1) BHP Steel 18,682 33,979
Boral Ltd. 14,687 35,976
Brambles Industries Ltd. 16,888 44,695
Broken Hill Proprietary
Co. Ltd. 60,864 347,866
Coca-Cola Amatil Ltd. 9,429 27,981
Cochlear Ltd. 1,365 29,961
Coles Myer Ltd. 20,140 71,447
Commonwealth Bank of
Australia 20,920 318,061
Computershare Ltd. 14,372 14,972
CSL Ltd. 2,833 34,458
CSR Ltd. 17,322 61,645
Foster's Group Ltd. 37,100 94,010
Gandel Retail Trust 50,892 39,260
General Property Trust 35,746 59,782
Goodman Fielder Ltd. 29,210 29,278
Insurance Australia
Group Ltd. 34,206 52,776
James Hardie Industries NV 9,568 36,798
Leighton Holdings Ltd. 3,673 21,034
Lend Lease Corp. Ltd. 7,461 40,837
M.I.M. Holdings Ltd. 46,398 39,451
Macquarie Bank Ltd. 4,319 57,396
Macquarie Infrastructure
Group 35,504 63,975
Mayne Nickless Ltd. 17,615 32,336
National Australia Bank Ltd. 25,587 457,455
Newcrest Mining Ltd. 5,122 20,766
News Corp. Ltd. 24,774 160,149
Orica Ltd. 6,721 39,738
QBE Insurance Group Ltd. 10,253 47,054
Rio Tinto Ltd. 5,490 104,954
Santos Ltd. 16,612 56,312
Southcorp Ltd. 12,300 31,860
Stockland Trust Group 21,942 59,554
Suncorp-Metway Ltd. 9,458 59,383
TABCORP Holdings Ltd. 7,754 46,501
Telstra Corp. Ltd. 33,910 84,208
Transurban Group 12,480 28,250
Wesfarmers Ltd. 6,626 99,247
Westfield Holdings Ltd. 6,952 52,652
Westfield Trust 35,405 69,180
Westpac Banking Corp. Ltd. 27,074 209,624
(1) WMC Resources Ltd. 19,375 46,040
Woodside Petroleum Ltd. 8,679 60,503
Woolworths Ltd. 18,405 118,148
---------------
3,995,393
---------------
AUSTRIA--0.14%
Erste Bank der
Oesterreichischen
Sparkassen AG 480 32,313
Oesterreichische
Elektrizitaetswirtschafts
AG "A" 208 17,711
OMV AG 344 $ 33,782
(1) Telekom Austria AG 3,919 39,687
---------------
123,493
---------------
BELGIUM--1.00%
AGFA Gevaert NV 2,333 52,025
Colruyt NV 525 28,924
Delhaize-Le Lion SA 2,091 38,883
Dexia Group 10,916 135,516
Electrabel SA 490 119,039
Fortis Group 15,823 278,958
Groupe Bruxelles
Lambert SA 1,208 49,452
Interbrew SA 2,419 57,116
KBC Bankverzekerings
Holding NV 1,581 50,420
Solvay SA 663 45,711
UCB SA 1,730 54,464
---------------
910,508
---------------
DENMARK--0.70%
A/S Dampskibsselskabet
Svendborg "B" 4 40,687
Carlsberg A/S "B" 501 22,048
D/S 1912 "B" 6 42,128
Danisco A/S 1,188 40,364
Danske Bank A/S 9,218 152,367
Group 4 Falck A/S 1,350 28,513
H. Lundbeck A/S 1,079 28,658
(1) ISS A/S 893 32,171
Novo Nordisk A/S "B" 4,665 134,776
Novozymes A/S "B" 1,438 30,067
TDC A/S 2,101 51,053
Vestas Wind Systems A/S 1,838 18,306
(1) William Demant Holding 883 19,024
---------------
640,162
---------------
FINLAND--1.95%
Fortum OYJ 8,554 56,104
Instrumentarium Corp. 1,071 42,911
Kone Corp. "B" 1,058 31,765
Metso Corp. 2,294 24,795
Nokia OYJ 78,432 1,246,944
Outokumpu OYJ 1,962 17,089
Sampo OYJ "A" 5,017 38,170
Stora Enso OYJ "R" 11,253 118,679
TietoEnator OYJ 2,252 30,722
UPM-Kymmene OYJ 4,377 140,553
Uponor OYJ 1,139 23,284
---------------
1,771,016
---------------
FRANCE--8.88%
Accor SA 3,432 103,940
Alcatel SA "A" 18,093 79,365
(1) Alstom 4,728 23,567
Altran Technologies SA 3,360 16,114
(1) Autoroutes du Sud de la
France SA 1,586 38,330
Aventis SA 11,243 611,157
AXA AG 23,052 309,400
BIC SA 943 32,508
BNP Paribas SA 13,362 544,477
Bouygues SA 2,745 76,682
Cap Gemini SA 1,654 37,804
Carrefour SA 8,745 389,380
Compagnie de
Saint-Gobain SA 5,081 149,083
</Table>
211
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- -------------------------------------------------------------------------------------
Compagnie Generale des
Etablissements
Michelin "B" 2,102 $ 72,484
Dassault Systemes SA 842 18,149
Essilor International SA 1,801 74,181
Etablissements
Economiques du Casino
Guichard-Perrachon SA 544 40,389
European Aeronautic
Defence and Space Co. 5,182 53,564
France Telecom SA 6,992 122,388
Groupe Danone 2,076 279,291
Lafarge SA 2,199 165,688
Lagardere S.C.A. 2,347 95,340
L'Air Liquide SA 1,691 223,059
L'Oreal SA 5,624 428,177
LVMH Moet Hennessy
Louis Vuitton SA 3,580 147,081
Pechiney SA "A" 1,248 43,795
Pernod Ricard 739 71,579
Pinault-Printemps-
Redoute SA 1,216 89,453
PSA Peugeot Citroen 2,824 115,162
Publicis Groupe 1,884 39,937
Renault SA 2,749 129,181
Sagem SA 316 21,389
Sanofi-Synthelabo SA 6,583 402,403
Schneider Electric SA 3,493 165,280
Societe Generale "A" 4,934 287,365
Societe Television
Francaise 1 2,438 65,138
Sodexho Alliance SA 1,659 38,301
STMicroelectronics NV 9,908 194,224
Suez SA 13,542 235,050
Technip-Coflexip SA 539 38,576
Thales/Ex Thomson CSF 1,206 31,930
(1) Thomson Multimedia SA 3,204 54,671
TotalFinaElf SA 10,595 1,513,213
Union du Credit
Bail Immobilier 846 60,192
Valeo SA 1,268 39,786
Vinci SA 1,028 57,931
Vivendi Universal SA 15,150 244,677
---------------
8,070,831
---------------
GERMANY--5.46%
Adidas-Salomon AG 831 71,770
Allianz AG 2,993 284,718
Altana AG 1,162 53,044
BASF AG 8,872 335,915
Bayer AG 11,507 246,943
Bayerische Hypo- und
Vereinsbank AG 5,976 95,448
Beiersdorf AG 543 60,458
(1) Continental AG 2,043 31,944
DaimlerChrysler AG 14,133 435,295
Deutsche Bank AG 9,171 422,496
Deutsche Boerse AG 1,131 45,291
(1) Deutsche Lufthansa AG 3,321 30,599
Deutsche Post AG 6,154 64,580
Deutsche Telekom AG 35,217 452,720
E.ON AG 9,594 387,112
(1) Epcos AG 900 9,322
Fresenius Medical Care AG 705 29,194
Gehe AG 722 28,109
Heidelberger Zement AG 647 $ 24,103
(1) Infineon Technologies AG 6,329 46,425
Karstadtquelle AG 926 16,034
Linde AG 1,524 55,975
MAN AG 2,250 31,049
Marschollek,
Lautenschlaeger und
Partner AG 1,081 10,663
Merck KGaA 1,409 37,557
Metro AG 2,428 57,966
Muenchener
Rueckversicherungs-
Gesellschaft AG 1,737 207,800
RWE AG 5,924 153,551
SAP AG 3,451 273,494
Schering AG 3,078 133,886
Siemens AG 13,380 568,659
ThyssenKrupp AG 5,536 61,871
TUI AG 2,530 42,905
Volkswagen AG 3,797 138,424
(1) WCM Beteiligungs &
Grundbesi AG 6,293 16,510
---------------
4,961,830
---------------
GREECE--0.35%
Alpha Bank AE 5,380 64,926
Coca-Cola Hellenic
Bottling Co. SA 2,250 31,262
Commercial Bank of Greece 2,100 31,954
EFG Eurobank Ergasias 4,550 53,477
Hellenic Telecommunications
Organization SA 6,910 76,139
National Bank of Greece SA 4,085 57,872
---------------
315,630
---------------
HONG KONG--1.55%
Bank of East Asia Ltd. 28,000 47,933
(1) BOC Hong Kong
Holdings Ltd. 43,000 44,112
Cathay Pacific Airways Ltd. 18,000 24,582
Cheung Kong (Holdings)
Ltd. 25,000 162,695
CLP Holdings Ltd. 29,700 119,587
Esprit Holdings Ltd. 12,000 20,235
Hang Seng Bank Ltd. 13,000 138,363
Henderson Land
Development Co. Ltd. 11,000 33,007
Hong Kong & China Gas
Co. Ltd. 65,672 85,055
Hong Kong Exchanges &
Clearing Ltd. 20,000 25,134
Hongkong Electric Holdings
Ltd. 23,500 88,897
Hutchison Whampoa Ltd. 33,700 210,886
Johnson Electric Holdings
Ltd. 27,000 29,602
Li & Fung Ltd. 28,000 26,570
MTR Corp. Ltd. 25,500 26,977
New World Development
Co. Ltd. 36,000 18,004
(1) Pacific Century
CyberWorks Ltd. 150,591 23,752
Shangri-La Asia Ltd. 30,000 19,620
Sino Land Co. Ltd. 48,000 15,388
Sun Hung Kai
Properties Ltd. 21,000 124,411
Swire Pacific Ltd. "A" 16,000 61,141
Television Broadcasts Ltd. 7,000 22,082
</Table>
212
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Wharf Holdings Ltd. 21,000 $ 39,585
---------------
1,407,618
---------------
IRELAND--0.73%
Allied Irish Banks PLC 15,033 206,157
Bank of Ireland 17,167 176,367
CRH PLC 8,495 105,193
(1) Elan Corporation PLC 5,605 12,058
Irish Life & Permanent PLC 5,332 57,633
Kerry Group PLC "A" 2,876 38,480
(1) Ryanair Holdings PLC 9,364 66,329
---------------
662,217
---------------
ITALY--3.77%
(1) Alitalia SpA 45,858 11,646
Alleanza Assicurazioni SpA 7,501 56,833
Arnoldo Mondadori
Editore SpA 3,573 22,122
Assicurazioni Generali SpA 16,665 342,770
(1) Autogrill SpA 3,786 29,480
Autostrade SpA 14,223 141,495
Banca Monte dei Paschi di
Siena SpA 17,830 42,006
(1) Banca Nazionale del
Lavoro SpA 34,342 38,021
Benetton Group SpA 1,637 14,602
Bulgari SpA 6,805 32,278
Capitalia SpA 29,934 38,261
Enel SpA 33,385 173,770
Eni SpA 47,038 747,829
Fiat SpA 4,995 40,624
(1) Fineco SpA 32,974 15,398
Gruppo Editoriale
L'Espresso SpA 4,516 14,739
IntesaBci SpA 61,296 129,291
Italgas SpA 4,020 54,673
Luxottica Group SpA 2,482 32,740
Mediaset SpA 10,047 76,545
Mediobanca SpA 7,961 65,497
Parmalat Finanziaria SpA 11,566 27,552
Pirelli SpA 23,821 21,998
Riunione Adriatica di
Sicurta SpA 6,408 78,005
Sanpaolo IMI SpA 14,550 94,666
(1) Seat-Pagine Gialle SpA 81,951 55,814
Snam Rete Gas SpA 13,475 45,957
Telecom Italia Mobile SpA 61,903 282,580
Telecom Italia SpA 33,350 168,338
Telecom Italia SpA "A" 38,665 293,358
(1) Tiscali SpA 3,079 13,829
Unicredito Italiano SpA 56,638 226,451
---------------
3,429,168
---------------
JAPAN--20.81%
Acom Co. Ltd. 1,200 39,437
Advantest Corp. 1,300 58,279
AEON Co. Ltd. 4,100 97,084
AIFUL Corp. 700 26,308
Ajinomoto Co. Inc. 10,000 104,407
Alps Electric Co. Ltd. 3,000 33,117
Amada Co. Ltd. 5,000 13,651
Asahi Breweries Ltd. 7,000 45,892
Asahi Glass Co. Ltd. 13,000 79,641
Asahi Kasei Corp. 21,000 52,027
Bank of Fukuoka Ltd. 11,000 44,122
Bank of Yokohama Ltd. 16,000 63,234
Banyu Pharmaceutical
Co. Ltd. 3,000 $ 28,162
Benesse Corp. 1,500 16,811
Bridgestone Corp. 10,000 123,873
Canon Inc. 14,000 527,345
Casio Computer Co. Ltd. 5,000 27,850
Central Japan Railway Co. 15 93,410
Chiba Bank Ltd. (The) 11,000 35,038
Chubu Electric Power
Co. Inc. 10,700 191,152
Chugai Pharmaceutical
Co. Ltd. 4,700 44,754
Citizen Watch Co. Ltd. 5,000 22,289
Credit Saison Co. Ltd. 2,200 37,541
CSK Corp. 1,100 23,081
Dai Nippon Printing
Co. Ltd. 12,000 132,772
Daiichi Pharmaceutical Co. Ltd. 4,000 57,403
Daikin Industries Ltd. 3,000 47,527
(1) Dainippon Ink & Chemical
Inc. 14,000 22,415
Daito Trust Construction
Co. Ltd. 1,600 35,392
Daiwa House Industry
Co. Ltd. 9,000 50,662
Daiwa Securities Group Inc. 20,000 88,818
Denso Corp. 7,900 129,614
East Japan Railway Co. 53 263,057
Ebara Corporation 7,000 21,648
Eisai Co. Ltd. 4,000 89,829
FamilyMart Co. Ltd. 1,500 29,388
Fanuc Ltd. 1,900 84,057
Fast Retailing Co. Ltd. 1,000 35,224
Fuji Photo Film Co. Ltd. 8,000 260,892
Fuji Soft ABC Inc. 800 12,640
Fuji Television Network Inc. 5 20,140
Fujikura Ltd. 7,000 16,634
Fujisawa Pharmaceutical
Co. Ltd. 4,000 91,514
Fujitsu Ltd. 27,000 77,130
Furukawa Electric Co. Ltd. 8,000 16,786
Gunma Bank Ltd. 9,000 39,134
Heavy Industries Co., Ltd. 19,000 17,292
Hirose Electric Co. Ltd. 600 45,808
Hitachi Ltd. 48,000 184,040
Honda Motor Co. Ltd. 10,600 392,129
Hoya Corp. 1,800 126,047
Isetan Co. Ltd. 3,000 20,578
Itochu Corp. 23,000 49,810
Ito-Yokado Co. Ltd. 6,000 176,961
(1) Japan Airlines
System Corp. 16,000 34,111
Japan Tobacco Inc. 13 86,981
(1) JFE Holdings Inc. 8,500 103,215
JGC Corp. 4,000 22,381
Joyo Bank Ltd. 16,000 44,493
JSR Corp. 3,000 30,134
Kajima Corp. 14,000 31,263
Kaneka Corp. 5,000 26,755
Kansai Electric Power
Co. Inc. 11,500 173,755
Kao Corp. 10,000 219,516
(1) Kawasaki Heavy
Industries Ltd. 24,000 19,011
Keihin Electric Express
Railway Co. Ltd. 9,000 40,954
Keio Electric Railway Co. Ltd. 11,000 58,305
</Table>
213
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Keyence Corp. 500 $ 87,006
Kinden Corp. 5,000 18,455
(1) Kinki Nippon Railway
Co. Ltd. 27,000 58,246
Kirin Brewery Co. Ltd. 12,000 76,346
Komatsu Ltd. 17,000 55,439
Konami Company Ltd. 1,700 39,252
Konica Corp. 5,000 36,277
Kubota Corp. 17,000 46,128
Kuraray Co. Ltd. 8,000 49,617
Kurita Water Industries Ltd. 2,000 20,140
Kyocera Corp. 2,800 163,040
Kyowa Hakko Kogyo
Co. Ltd. 7,000 29,022
Kyushu Electric Power Co. Inc. 7,200 105,327
Lawson Inc. 1,300 31,331
Mabuchi Motor Co. Ltd. 500 46,010
(1) Marubeni Corp. 27,000 24,800
Marui Co. Ltd. 6,000 58,751
Matsushita Electric
Industrial Co. Ltd. 38,000 374,652
Matsushita Electric
Works Ltd. 8,000 49,482
Meiji Seika Kaisha Ltd. 8,000 23,527
(1) Millea Holdings Inc. 24 172,714
Minebea Co. Ltd. 7,000 24,362
(1) Mitsubishi Chemical
Corp. 27,000 53,923
Mitsubishi Corp. 17,000 103,859
(1) Mitsubishi Electric Corp. 29,000 66,959
Mitsubishi Estate Co. Ltd. 15,000 114,266
Mitsubishi Heavy
Industries Ltd. 48,000 117,300
(1) Mitsubishi Materials
Corp. 18,000 19,719
Mitsubishi Rayon Co. 11,000 25,120
Mitsubishi Tokyo Financial
Group Inc. 56 305,461
Mitsui & Co. Ltd. 22,000 102,705
Mitsui Chemicals Inc. 11,000 49,035
(1) Mitsui Engineering &
Shipbuilding Co. Ltd. 17,000 12,320
Mitsui Fudosan Co. Ltd. 12,000 77,863
Mitsui Mining & Smelting
Co. Ltd. 11,000 25,398
Mitsui O.S.K. Lines Ltd. 18,000 37,314
Mitsui Sumitomo
Insurance Co. Ltd. 22,000 101,222
Mitsui Trust Holdings Inc. 12,000 19,516
Mitsukoshi Ltd. 8,000 16,651
Mizuho Holdings Inc. 91 85,118
Murata Manufacturing
Co. Ltd. 4,100 160,656
NEC Corp. 28,000 104,761
NGK Insulators Ltd. 6,000 32,763
NGK Spark Plug Co. Ltd. 3,000 19,415
Nidec Corp. 600 37,415
Nikko Cordial Corp. 23,000 77,526
(1) Nikon Corp. 5,000 37,583
Nintendo Co. Ltd. 1,700 158,869
Nippon COMSYS Corp. 3,000 10,163
Nippon Express Co. Ltd. 14,000 54,858
Nippon Meat Packers Inc. 3,000 29,957
(1) Nippon Mining
Holdings Inc. 9,000 $ 12,059
Nippon Oil Corp. 23,000 104,272
Nippon Sheet Glass Co. Ltd. 6,000 10,769
Nippon Steel Corp. 88,000 103,076
Nippon Telegraph &
Telephone Corp. 92 334,137
Nippon Unipac Holding 15 65,096
Nippon Yusen Kabushiki
Kaisha 18,000 60,672
Nissan Motor Co. Ltd. 38,900 303,543
Nisshin Seifun Group Inc. 5,000 33,286
Nissin Food Products Co. Ltd. 1,800 40,195
Nitto Denko Corp. 2,400 68,358
Nomura Holdings Inc. 29,000 325,996
NSK Ltd. 8,000 20,629
NTN Corp. 9,000 31,095
NTT Data Corp. 24 66,335
NTT DoCoMo Inc. 297 548,100
Obayashi Corp. 10,000 22,247
Oji Paper Co. Ltd. 13,000 55,869
Olympus Optical Co. Ltd. 4,000 65,189
Omron Corp. 4,000 58,987
Onward Kashiyama Co. Ltd. 3,000 23,511
Oracle Corp. Japan 500 12,113
Oriental Land Co. Ltd. 800 48,471
ORIX Corp. 1,400 90,250
Osaka Gas Co. Ltd. 38,000 93,823
Pioneer Corp. 3,100 58,123
Promise Co. Ltd. 1,400 49,903
(1) Resona Holdings Inc. 65,000 35,603
Ricoh Co. Ltd. 11,000 180,475
Rohm Co. Ltd. 1,800 229,190
Sankyo Co. Ltd. 6,800 85,322
Sanyo Electric Co. Ltd. 28,000 72,908
Secom Co. Ltd. 3,500 120,039
(1) Sega Corp. 1,600 15,775
Sekisui Chemical Co. Ltd. 9,000 23,283
Sekisui House Ltd. 8,000 56,628
Seven-Eleven Japan Co. Ltd. 7,000 213,533
77 Bank Ltd. (The) 9,000 36,859
Sharp Corp. 16,000 151,951
Shimamura Co. Ltd. 400 25,482
Shimano Inc. 1,900 28,819
Shimizu Corp. 10,000 25,027
Shin-Etsu Chemical Co. Ltd. 6,000 196,680
Shionogi & Co. Ltd. 5,000 70,700
Shiseido Co. Ltd. 6,000 78,015
Shizuoka Bank Ltd. 10,000 64,464
(1) Showa Denko K.K. 17,000 21,631
Showa Shell Sekiyu K.K. 4,000 27,774
Skylark Co. 1,900 25,201
SMC Corp. 900 84,486
Softbank Corp. 3,000 34,255
Sompo Japan Insurance
Inc. 14,000 81,756
Sony Corp. 14,800 618,589
Stanley Electric Co. Ltd. 3,000 33,496
Sumitomo Chemical
Co. Ltd. 18,000 71,138
Sumitomo Corp. 12,000 51,572
Sumitomo Electric
Industries Ltd. 10,000 64,802
(1) Sumitomo Metal
Industries Ltd. 55,000 19,929
Sumitomo Metal Mining
Co. Ltd. 9,000 37,541
</Table>
214
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
(1) Sumitomo Mitsui Financial
Group Inc. 61 $ 190,705
Sumitomo Realty &
Development Co. Ltd. 6,000 24,421
Sumitomo Trust & Banking
Co. Ltd. (The) 14,000 56,746
Taiheiyo Cement Corp. 16,000 20,224
Taisei Corp. 13,000 20,704
Taisho Pharmaceutical
Co. Ltd. 3,000 44,114
Taiyo Yuden Co. Ltd. 2,000 21,202
Takara Holdings Inc. 4,000 17,426
Takashimaya Co. Ltd. 6,000 23,511
Takeda Chemical
Industries Ltd. 13,400 560,074
Takefuji Corp. 1,190 68,690
TDK Corp. 2,100 84,588
Teijin Ltd. 15,000 35,898
Terumo Corp. 3,100 42,894
THK Co. Ltd. 2,200 24,230
TIS Inc. 1,500 22,145
(1) Tobu Railway Co. Ltd. 16,000 42,471
Toho Co. Ltd. 3,000 28,794
Tohoku Electric Power
Co. Inc. 7,600 111,883
Tokyo Broadcasting System 1,000 12,573
Tokyo Electric Power
Co. Inc. (The) 19,200 364,844
Tokyo Electron Ltd. 2,500 113,129
Tokyo Gas Co. Ltd. 44,000 137,929
Tokyu Corp. 16,000 56,358
TonenGeneral Sekiyu K.K. 6,000 39,437
Toppan Printing Co. Ltd. 12,000 90,301
Toray Industries Inc. 20,000 42,471
(1) Toshiba Corp. 46,000 144,198
Tosoh Corporation 11,000 26,510
Tostem Inax Holding Corp. 5,000 75,841
Toto Ltd. 8,000 29,595
Toyo Seikan Kaisha Ltd. 3,000 35,771
Toyota Industries
Corporation 2,600 39,108
Toyota Motor Corp. 39,100 1,051,058
(1) Trend Micro Inc. 1,500 25,659
(1) Ube Industries Ltd. 17,000 17,047
UFJ Holdings Inc. 54 54,605
Uni-Charm Corp. 900 35,721
Uny Co. Ltd. 3,000 29,350
Wacoal Corp. 3,000 23,131
West Japan Railway Company 16 56,762
World Co. Ltd. 700 13,449
Yakult Honsha Co. Ltd. 3,000 34,179
Yamada Denki Co. Ltd. 1,600 33,774
Yamaha Corp. 3,000 27,732
Yamanouchi Pharmaceutical
Co. Ltd. 5,400 156,535
Yamato Transport Co. Ltd. 7,000 91,430
Yokogawa Electric Corp. 5,000 31,052
---------------
18,921,655
---------------
LUXEMBOURG--0.08%
(1) Arcelor 5,959 73,290
---------------
73,290
---------------
NETHERLANDS--5.40%
ABN AMRO Holding NV 23,521 $ 384,560
Aegon NV 21,371 274,952
Akzo Nobel NV 4,898 155,381
(1) ASML Holding NV 7,649 63,894
Burhmann NV 1,897 8,281
(1) Getronics NV 10,140 6,172
Hagemeyer NV 2,174 15,742
Heineken NV 3,368 131,479
IHC Caland NV 745 39,325
ING Groep NV 27,961 473,584
Koninklijke Ahold NV 10,530 133,707
Koninklijke Numico NV 2,735 34,441
Koninklijke Philips
Electronics NV 22,240 389,756
(1) Koninklijke (Royal) KPN NV 28,825 187,544
(1) QIAGEN NV 4,074 20,735
Reed Elsevier NV 10,885 133,075
Royal Dutch Petroleum Co. 35,447 1,560,460
TNT Post Group NV 6,340 102,792
Unilever NV-CVA 9,627 591,506
Vedior NV 2,340 13,358
VNU NV 3,937 102,667
Wolters Kluwer NV-CVA 4,998 87,065
---------------
4,910,476
---------------
NEW ZEALAND--0.13%
Carter Holt Harvey Ltd. 27,340 25,025
Contact Energy Ltd. 12,981 26,955
Telecom Corp. of
New Zealand Ltd. 28,516 67,566
---------------
119,546
---------------
NORWAY--0.48%
DNB Holding ASA 6,487 30,526
Gjensidige NOR ASA 1,329 43,547
Norsk Hydro ASA 2,634 118,055
Norske Skogindustrier ASA 2,197 31,079
Orkla ASA 3,495 59,530
Statoil ASA 7,496 63,298
(1) Storebrand ASA 4,981 18,694
(1) Tandberg ASA 2,262 13,061
Telenor ASA 8,100 30,984
Tomra Systems ASA 3,804 24,764
---------------
433,538
---------------
PORTUGAL--0.38%
Banco Comercial
Portugues SA "R" 23,396 55,978
Banco Espirito Santo e
Comercial de Lisboa SA 2,554 33,502
BPI-SPGS SA-Registered 12,731 29,125
Brisa-Auto Estradas de
Portugal SA 7,538 41,767
CIMPOR-Cimentos de
Portugal SGPS SA 793 13,315
Electricidade de
Portugal SA 32,737 54,623
Portugal Telecom SGPS SA 15,991 109,915
(1) Sonae SGPS SA 26,102 10,957
---------------
349,182
---------------
SINGAPORE--0.90%
Capitaland Ltd. 32,000 20,479
(1) Chartered Semiconductor
Manufacturing Ltd. 18,000 7,368
City Developments Ltd. 11,000 26,382
DBS Group Holdings Ltd. 19,652 124,631
</Table>
215
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Fraser & Neave Ltd. 5,400 $ 24,284
Haw Par Corp. Ltd. 14,792 27,802
Keppel Corp. Ltd. 16,000 34,131
Oversea-Chinese Banking
Corp Ltd. - Ordinary
Shares 18,350 102,091
Singapore Airlines Ltd. 13,000 76,449
Singapore Press
Holdings Ltd. 7,000 73,451
Singapore Technologies
Engineering Ltd. 32,000 30,441
Singapore
Telecommunications Ltd. 134,000 95,797
United Overseas Bank Ltd. 21,392 145,532
Venture Corp. Ltd. 4,000 32,055
---------------
820,893
---------------
SPAIN--3.19%
Acerinox SA 1,044 38,334
Acesa Infraestructuras SA 3,427 38,840
(1) Acesa Infraestructuras SA
Rights 3,427 1,978
Actividades de Construccion
y Servicios SA 882 28,369
Altadis SA 5,421 123,674
Amadeus Global Travel
Distribution SA "A" 4,604 18,988
Banco Bilbao Vizcaya
Argentaria SA 51,492 492,806
Banco Santander Central
Hispano SA 71,081 487,834
Endesa SA 15,700 183,703
Fomento de Construcciones
y Contratas SA 1,111 24,950
Gas Natural SDG SA 3,991 75,680
Grupo Dragados SA 2,879 48,944
Grupo Ferrovial SA 1,209 30,640
Iberdrola SA 13,448 188,400
Industria de Diseno
Textil SA 3,961 93,567
Repsol YPF SA 15,765 208,452
Sociedad General de
Aguas de Barcelona SA 2,893 29,145
(1) Telefonica SA 76,306 683,044
(1) Terra Networks SA 6,752 28,413
Union Fenosa SA 4,548 59,897
Zeltia SA Rights 2,783 15,829
---------------
2,901,487
---------------
SWEDEN--1.88%
ASSA Abloy AB "B" 5,141 58,707
Atlas Copco AB "A" 2,002 39,060
Drott AB "B" 2,450 27,274
Electrolux AB "B" 5,910 93,263
Gambro AB "A" 3,797 21,135
Hennes & Mauritz AB "B" 8,045 155,115
(1) Modern Times
Group AB "B" 1,910 15,454
Nordea AB 38,920 171,523
OM AB 4,142 19,775
Sandvik AB 4,143 92,481
Securitas AB "B" 5,726 68,344
Skandia Forsakrings AB 14,766 39,316
Skandinaviska Enskilda
Banken AB "A" 8,269 68,803
Skanska AB "B" 6,817 $ 39,901
SKF AB "B" 1,399 36,286
Svenska Cellulosa AB "B" 3,257 109,896
Svenska
Handelsbanken AB "A" 9,356 124,556
Swedish Match AB 6,895 54,205
(1) Tele2 AB "B" 1,708 45,183
(1) Telefonaktiebolaget LM
Ericsson AB "B" 263,049 184,155
Telia AB 32,548 122,522
Trelleborg AB "B" 2,686 21,733
Volvo AB "A" 1,873 29,234
Volvo AB "B" 3,521 57,381
WM-Data AB "B" 17,160 14,967
---------------
1,710,269
---------------
SWITZERLAND--7.91%
(1) ABB Ltd. 17,326 49,245
Adecco SA 2,179 85,414
(1) Centerpulse
AG-Registered 227 39,565
Ciba Specialty
Chemicals AG 1,164 81,153
Clariant AG-Registered 2,410 38,520
Compagnie Financiere
Richemont AG 9,096 169,724
(1) Credit Suisse Group 19,863 430,961
Givaudan SA-Registered 140 62,776
Holcim Ltd. "B" 508 92,217
(1) Kudelski SA-Bearer 577 7,824
(1) Logitech International
SA-Registered 750 22,375
Lonza Group AG-Registered 1,094 66,461
Nestle SA 6,607 1,400,051
Novartis AG 45,555 1,662,146
Roche Holding AG-Bearer 833 105,428
Roche Holding
AG-Genusschein 11,632 810,547
Serono SA 130 69,668
Societe Generale de
Surveillance Holding SA 113 33,997
Swatch Group (The)
AG-Registered 1,482 25,080
Swatch Group (The) AG "B" 594 49,403
Swiss Re 5,218 342,281
Swisscom AG 459 132,950
Syngenta AG 1,802 104,325
Synthes-Stratec Inc. 78 47,837
(1) UBS AG-Registered 20,997 1,020,466
Unaxis Holding AG "R" 230 15,387
Zurich Financial Services AG 2,460 229,508
---------------
7,195,309
---------------
UNITED KINGDOM--27.00%
AMEC PLC 5,249 12,105
Amersham PLC 12,270 109,829
AMVESCAP PLC 10,098 64,702
(1) Arm Holdings PLC 16,811 12,991
Associated British Ports
Holdings PLC 6,146 39,528
AstraZeneca PLC 28,745 1,027,340
Aviva PLC 36,898 263,151
(1) AWG PLC 3,963 27,657
BAA PLC 17,955 145,685
BAE Systems PLC 51,963 103,733
Balfour Beatty PLC 7,911 18,403
(2) Barclays PLC 109,330 677,640
</Table>
216
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
Barratt Developments PLC 4,556 $ 28,679
BBA Group PLC 11,951 35,546
Berkeley Group (The) PLC 2,351 22,463
BG Group PLC 57,557 248,332
BHP Billiton PLC 40,056 213,933
BOC Group PLC 8,230 117,655
Boots Co. PLC 15,128 142,718
BP PLC 375,006 2,577,894
BPB PLC 9,923 39,299
Brambles Industries PLC 15,750 38,541
(1) British Airways PLC 9,883 21,479
British American
Tobacco PLC 27,089 270,604
British Land Co. PLC 8,357 60,812
(1) British Sky Broadcasting
Group PLC 20,668 212,617
BT Group PLC 144,411 453,350
Bunzl PLC 9,965 60,962
Cable & Wireless PLC 39,464 28,431
Cadbury Schweppes PLC 33,510 208,778
(1) Canary Wharf Finance PLC 8,565 32,473
Capita Group PLC 11,482 45,750
Carlton
Communications PLC 11,690 25,265
(1) Celltech Group PLC 4,521 25,110
Centrica PLC 70,433 193,897
Chubb PLC 15,278 21,583
Close Brothers Group PLC 3,009 26,934
Compass Group PLC 37,119 197,201
(1) Corus Group PLC 50,808 22,289
Daily Mail and General
Trust PLC "A" 5,187 48,558
De La Rue PLC 4,444 20,855
Diageo PLC 53,302 579,223
Dixons Group PLC 34,552 80,657
Electrocomponents PLC 7,289 33,678
EMI Group PLC 13,920 31,150
Exel PLC 5,770 63,909
FirstGroup PLC 7,937 30,092
FKI PLC 11,736 16,627
George Wimpey PLC 6,840 29,291
GKN PLC 12,002 38,789
GlaxoSmithKline PLC 100,729 1,932,990
Granada PLC 45,433 58,331
GUS PLC 17,159 159,392
Hammerson PLC 5,164 39,157
Hanson PLC 11,831 52,569
Hays PLC 33,912 50,637
HBOS PLC 62,049 654,297
Hilton Group PLC 28,656 77,043
HSBC Holdings PLC 156,488 1,729,500
IMI PLC 7,298 30,841
Imperial Chemical
Industries PLC 21,454 79,439
Imperial Tobacco
Group PLC 12,431 211,134
(1) International Power PLC 18,789 28,963
Invensys PLC 55,332 46,989
J Sainsbury PLC 23,509 105,499
Johnson Matthey PLC 3,841 49,469
Kelda Group PLC 8,092 55,236
Kidde PLC 16,008 18,233
Kingfisher PLC 43,154 154,579
Land Securities Group PLC 7,864 99,383
Legal & General Group PLC 104,500 161,505
Lloyds TSB Group PLC 91,168 $ 654,600
LogicaCMG PLC 14,705 35,510
Man Group PLC 4,439 63,388
Marks & Spencer
Group PLC 39,264 199,115
Misys PLC 10,969 31,080
National Grid Transco PLC 50,704 372,634
Next PLC 5,395 63,968
Novar PLC 12,999 22,706
P&O Princess Cruises PLC 11,447 79,427
Pearson PLC 13,313 123,130
Peninsular & Oriental
Steam Navigation
Co. PLC 15,236 40,349
Pilkington PLC 20,386 19,035
Provident Financial PLC 4,961 47,441
Prudential Corp. PLC 33,763 238,619
Rank Group PLC 11,036 47,349
Reckitt Benckiser PLC 9,340 181,189
Reed International PLC 21,798 186,693
Rentokil Initial PLC 33,757 119,560
Reuters Group PLC 24,366 69,628
Rexam PLC 7,482 51,072
Rio Tinto PLC 17,775 354,838
RMC Group PLC 4,624 27,320
Rolls Royce PLC 28,381 48,889
Royal Bank of Scotland
Group PLC 45,779 1,096,650
Royal Sun Alliance
Industries Group PLC 27,051 52,586
SABMiller PLC 13,065 92,862
Safeway PLC 20,525 70,465
Sage Group PLC 20,461 43,810
Schroders PLC 2,680 22,047
Scottish & Newcastle PLC 12,527 93,475
Scottish & Southern
Energy PLC 14,064 153,963
Scottish Power PLC 31,382 183,142
Serco Group PLC 9,643 23,752
Severn Trent PLC 6,011 67,159
Shell Transport & Trading
Co. PLC 160,076 1,054,019
Signet Group PLC 30,914 33,843
Six Continents PLC 15,471 125,032
Slough Estates PLC 7,368 40,211
Smith & Nephew PLC 14,952 91,591
Smiths Group PLC 9,900 110,849
SSL International PLC 4,550 18,862
Stagecoach Group PLC 22,950 10,899
Tate & Lyle PLC 7,802 39,565
Taylor Woodrow PLC 10,062 27,457
Tesco PLC 117,974 368,457
3i Group PLC 9,474 84,650
Unilever PLC 46,332 440,826
United Business
Media PLC 6,060 28,292
United Utilities PLC 9,896 99,413
Vodafone Group PLC 1,140,536 2,079,439
Whitebread PLC 5,511 47,998
Wolseley PLC 10,259 86,131
WPP Group PLC 19,499 148,952
---------------
24,557,311
---------------
</Table>
217
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------------
UNITED STATES--1.36%
(3) iShares MSCI EAFE
Index Fund 12,469 $ 1,234,556
---------------
1,234,556
---------------
TOTAL COMMON STOCKS
(Cost: $121,753,500) 89,515,378
---------------
- --------------------------------------------------------------------------------------
PREFERRED STOCKS--0.44%
- --------------------------------------------------------------------------------------
AUSTRALIA--0.19%
News Corporation Ltd.
(The) 32,734 176,030
---------------
176,030
---------------
GERMANY--0.21%
Henkel KGaA 941 59,792
Hugo Boss AG 843 8,873
Porsche AG 160 66,490
Prosieben Satellite
Media AG 1,594 10,873
Volkswagen AG 1,739 45,623
---------------
191,651
---------------
ITALY--0.04%
IntesaBci SpA-RNC 19,873 32,742
---------------
32,742
---------------
TOTAL PREFERRED STOCKS
(Cost: $547,807) 400,423
---------------
- --------------------------------------------------------------------------------------
SHORT TERM INSTRUMENTS--6.02%
- --------------------------------------------------------------------------------------
Barclays Global Investors
Funds Institutional
Money Market Fund,
Institutional Shares 4,797,528 $ 4,797,528
BlackRock Temp Cash
Money Market Fund 586,915 586,915
Dreyfus Money
Market Fund 50,596 50,596
Goldman Sachs Financial
Square Prime Obligation
Fund 44,076 44,076
---------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $5,479,115) 5,479,115
---------------
TOTAL INVESTMENTS
IN SECURITIES--104.90%
(Cost $127,780,422) 95,394,916
Other Assets, Less Liabilities--(4.90%) (4,459,467)
---------------
NET ASSETS--100.00% $ 90,935,449
===============
</Table>
(1) Non-income earning securities.
(2) Issuer is affiliated with the Master Portfolio's investment advisor. See
Note 2.
(3) Non-controlled affiliated issuer. See Note 2.
The accompanying notes are an integral part of these financial statements.
218
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
S&P 500 INDEX MASTER PORTFOLIO
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--95.94%
- --------------------------------------------------------------------------------
ADVERTISING--0.22%
Interpublic Group of
Companies Inc. 106,708 $ 1,502,449
Omnicom Group Inc. 52,061 3,363,141
(1) TMP Worldwide Inc. 30,808 348,438
---------------
5,214,028
---------------
AEROSPACE/DEFENSE--1.61%
Boeing Co. (The) 232,443 7,668,295
General Dynamics Corp. 55,670 4,418,528
Goodrich (B.F.) Co. 31,812 582,796
Lockheed Martin Corp. 126,277 7,292,497
Northrop Grumman Corp. 50,399 4,888,703
Raytheon Co. 112,360 3,455,070
Rockwell Collins Inc. 50,561 1,176,049
United Technologies Corp. 131,149 8,123,369
---------------
37,605,307
---------------
AIRLINES--0.16%
(1) AMR Corp. 43,555 287,463
Delta Air Lines Inc. 34,034 411,811
Southwest Airlines Co. 214,436 2,980,660
---------------
3,679,934
---------------
APPAREL--0.30%
(1) Jones Apparel Group Inc. 35,736 1,266,484
Liz Claiborne Inc. 29,515 875,120
Nike Inc. "B" 73,515 3,269,212
(1) Reebok International Ltd. 16,535 486,129
VF Corp. 30,033 1,082,690
---------------
6,979,635
---------------
AUTO MANUFACTURERS--0.53%
Ford Motor Company 508,063 4,724,986
General Motors Corp. "A" 155,166 5,719,419
(1) Navistar International
Corp. 16,744 407,047
PACCAR Inc. 32,089 1,480,266
---------------
12,331,718
---------------
AUTO PARTS & EQUIPMENT--0.11%
Cooper Tire & Rubber Co. 20,280 311,095
Dana Corp. 41,090 483,218
Delphi Corp. 154,547 1,244,103
Goodyear Tire & Rubber
Co. (The) 48,376 329,441
Visteon Corp. 36,112 251,340
---------------
2,619,197
---------------
BANKS--7.26%
AmSouth Bancorp 98,541 1,891,987
Bank of America Corp. 414,498 28,836,626
Bank of New York Co.
Inc. (The) 201,078 4,817,829
Bank One Corp. 322,565 11,789,751
BB&T Corp. 132,673 4,907,574
Charter One Financial Inc. 62,660 1,800,222
Comerica Inc. 48,414 2,093,421
Fifth Third Bancorp 160,039 9,370,284
First Tennessee National
Corp. 34,793 1,250,460
FleetBoston Financial
Corp. 290,604 7,061,677
Golden West Financial
Corp. 42,526 $ 3,053,792
Huntington Bancshares Inc. 65,348 1,222,661
KeyCorp 117,614 2,956,816
Marshall & Ilsley Corp. 60,424 1,654,409
Mellon Financial Corp. 119,422 3,118,108
National City Corp. 169,405 4,628,145
North Fork Bancorp Inc. 44,787 1,511,113
Northern Trust Corp. 61,113 2,142,011
PNC Financial Services
Group 78,618 3,294,094
Regions Financial Corp. 61,266 2,043,834
SouthTrust Corp. 96,002 2,385,650
State Street Corp. 89,796 3,502,044
SunTrust Banks Inc. 78,587 4,473,172
Synovus Financial Corp. 82,976 1,609,734
U.S. Bancorp 530,404 11,255,173
Union Planters Corp. 54,946 1,546,180
Wachovia Corp. 376,757 13,729,025
Washington Mutual Inc. 262,217 9,054,353
Wells Fargo & Company 468,566 21,961,688
Zions Bancorporation 25,218 992,303
---------------
169,954,136
---------------
BEVERAGES--2.92%
Anheuser-Busch
Companies Inc. 237,064 11,473,898
Brown-Forman Corp. "B" 18,930 1,237,265
Coca-Cola Co. (The) 686,491 30,082,036
Coca-Cola Enterprises Inc. 124,388 2,701,707
Coors (Adolf) Company "B" 10,068 616,665
Pepsi Bottling Group Inc. 77,753 1,998,252
PepsiCo Inc. 478,309 20,194,206
---------------
68,304,029
---------------
BIOTECHNOLOGY--0.97%
(1) Amgen Inc. 356,392 17,227,989
(1) Biogen Inc. 41,251 1,652,515
(1) Chiron Corp. 52,112 1,959,411
(1) Genzyme Corp.-General
Division 59,382 1,755,926
---------------
22,595,841
---------------
BUILDING MATERIALS--0.23%
(1) American Standard
Companies Inc. 20,050 1,426,357
Masco Corp. 136,352 2,870,210
Vulcan Materials Co. 28,072 1,052,700
---------------
5,349,267
---------------
CHEMICALS--1.50%
Air Products &
Chemicals Inc. 62,912 2,689,488
Ashland Inc. 18,833 537,305
Dow Chemical Co. (The) 252,266 7,492,300
Du Pont (E.I.) de
Nemours and Co. 275,088 11,663,731
Eastman Chemical Co. 21,470 789,452
Engelhard Corp. 35,305 789,067
Great Lakes Chemical Corp. 13,881 331,478
(1) Hercules Inc. 30,120 265,056
Monsanto Co. 72,449 1,394,643
PPG Industries Inc. 46,897 2,351,885
Praxair Inc. 44,762 2,585,901
Rohm & Haas Co. "A" 61,234 1,988,880
</Table>
219
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
Sherwin-Williams Co. (The) 41,444 $ 1,170,793
Sigma-Aldrich Corp. 19,900 969,130
---------------
35,019,109
---------------
COMMERCIAL SERVICES--0.95%
(1) Apollo Group Inc. "A" 48,284 2,124,496
Block (H & R) Inc. 50,058 2,012,332
(1) Cendant Corp. 286,894 3,006,649
(1) Concord EFS Inc. 141,028 2,219,781
(1) Convergys Corp. 48,153 729,518
Deluxe Corp. 17,149 721,973
Donnelley (R.R.) & Sons Co. 31,487 685,472
Ecolab Inc. 35,855 1,774,822
Equifax Inc. 39,495 913,914
McKesson Corp. 80,575 2,177,942
Moody's Corp. 41,898 1,729,968
Paychex Inc. 104,108 2,904,613
(1) Quintiles Transnational
Corp. 32,455 392,705
(1) Robert Half International
Inc. 48,072 774,440
---------------
22,168,625
---------------
COMPUTERS--4.99%
(1) Apple Computer Inc. 99,524 1,426,179
(1) Cisco Systems Inc. 2,000,957 26,212,537
(1) Computer Sciences Corp. 47,542 1,637,822
(1) Dell Computer Corp. 717,137 19,176,243
Electronic Data Systems
Corp. 132,049 2,433,663
(1) EMC Corp. 608,823 3,738,173
(1) Gateway Inc. 89,561 281,222
Hewlett-Packard Co. 844,953 14,668,384
International Business
Machines Corp. 468,005 36,270,387
(1) Lexmark International
Inc. "A" 34,837 2,107,638
(1) NCR Corp. 27,110 643,591
(1) Network Appliance Inc. 93,396 933,960
(1) Sun Microsystems Inc. 863,261 2,684,742
(1) SunGard Data Systems Inc. 78,364 1,846,256
(1) Unisys Corp. 89,809 889,109
(1) Veritas Software Corp. 113,912 1,779,305
---------------
116,729,211
---------------
COSMETICS/PERSONAL CARE--2.55%
Alberto-Culver Co. "B" 16,084 810,634
Avon Products Inc. 65,140 3,509,092
Colgate-Palmolive Co. 149,099 7,817,261
Gillette Co. (The) 292,078 8,867,488
International Flavors &
Fragrances Inc. 26,192 919,339
Kimberly-Clark Corp. 142,481 6,763,573
Procter & Gamble Co. 359,789 30,920,267
---------------
59,607,654
---------------
DISTRIBUTION/WHOLESALE--0.27%
(1) Costco Wholesale Corp. 126,166 3,540,218
Genuine Parts Co. 48,436 1,491,829
Grainger (W.W.) Inc. 25,366 1,307,617
---------------
6,339,664
---------------
DIVERSIFIED FINANCIAL SERVICES--7.16%
American Express Co. 364,024 12,868,248
Bear Stearns Companies
Inc. (The) 26,659 $ 1,583,545
Capital One Financial
Corp. 61,403 1,824,897
Citigroup Inc. 1,422,305 50,050,913
Countrywide Financial
Corp. 34,975 1,806,459
Fannie Mae 275,519 17,724,137
Franklin Resources Inc. 71,947 2,451,954
Freddie Mac 192,636 11,375,156
Goldman Sachs Group
Inc. (The) 132,250 9,006,225
Household International
Inc. 131,089 3,645,585
JP Morgan Chase & Co. 552,826 13,267,824
Lehman Brothers
Holdings Inc. 65,793 3,506,109
MBNA Corp. 353,755 6,728,420
Merrill Lynch & Co. Inc. 239,356 9,083,560
Morgan Stanley 300,686 12,003,385
(1) Providian Financial Corp. 79,795 517,870
Schwab (Charles)
Corp. (The) 372,292 4,039,368
SLM Corp. 42,539 4,418,101
Stilwell Financial Inc. 61,456 803,230
T. Rowe Price Group Inc. 33,810 922,337
---------------
167,627,323
---------------
ELECTRIC--2.45%
(1) AES Corp. (The) 151,277 456,857
Allegheny Energy Inc. 34,711 262,415
Ameren Corp. 42,511 1,767,182
American Electric Power
Co. Inc. 93,789 2,563,253
(1) Calpine Corp. 104,034 339,151
CenterPoint Energy Inc. 84,007 714,059
Cinergy Corp. 46,579 1,570,644
CMS Energy Corp. 39,777 375,495
Consolidated Edison Inc. 59,130 2,531,947
Constellation Energy
Group Inc. 45,579 1,268,008
Dominion Resources Inc. 85,055 4,669,519
DTE Energy Co. 46,359 2,151,058
Duke Energy Corp. 247,014 4,826,654
(1) Edison International 90,058 1,067,187
Entergy Corp. 61,529 2,805,107
Exelon Corp. 89,419 4,718,641
FirstEnergy Corp. 82,387 2,716,299
FPL Group Inc. 50,522 3,037,888
(1) Mirant Corp. 111,074 209,930
NiSource Inc. 67,454 1,349,080
(1) PG&E Corp. 111,986 1,556,605
Pinnacle West Capital
Corp. 25,015 852,761
PPL Corp. 45,508 1,578,217
Progress Energy Inc. 65,566 2,842,286
Public Service Enterprise
Group Inc. 61,557 1,975,980
Southern Co. 197,537 5,608,075
TECO Energy Inc. 48,567 751,331
TXU Corp. 89,142 1,665,173
Xcel Energy Inc. 110,441 1,214,851
---------------
57,445,653
---------------
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
ELECTRICAL COMPONENTS & EQUIPMENT--0.09%
(1) American Power Conversion
Corp. 54,433 $ 824,660
Molex Inc. 53,288 1,227,756
(1) Power-One Inc. 22,038 124,955
---------------
2,177,371
---------------
ELECTRONICS--0.55%
(1) Agilent Technologies Inc. 129,173 2,319,947
Applera Corp.-Applied
Biosystems Group 58,060 1,018,372
(1) Jabil Circuit Inc. 54,828 982,518
Johnson Controls Inc. 24,592 1,971,541
(1) Millipore Corp. 13,374 454,716
Parker Hannifin Corp. 32,686 1,507,805
PerkinElmer Inc. 35,154 290,020
(1) Sanmina-SCI Corp. 146,265 656,730
(1) Solectron Corp. 229,116 813,362
Symbol Technologies Inc. 64,038 526,392
(1) Tektronix Inc. 24,223 440,616
(1) Thermo Electron Corp. 45,398 913,408
(1) Thomas & Betts Corp. 16,140 272,766
(1) Waters Corp. 35,871 781,270
---------------
12,949,463
---------------
ENGINEERING & CONSTRUCTION--0.03%
Fluor Corp. 22,269 623,532
---------------
623,532
---------------
ENTERTAINMENT--0.08%
(1) International Game
Technology Inc. 24,007 1,822,611
---------------
1,822,611
---------------
ENVIRONMENTAL CONTROL--0.19%
(1) Allied Waste Industries Inc. 54,419 544,190
Waste Management Inc. 168,653 3,865,527
---------------
4,409,717
---------------
FOOD--1.98%
Albertson's Inc. 105,100 2,339,526
Archer-Daniels-Midland Co. 179,280 2,223,072
Campbell Soup Co. 113,580 2,665,723
ConAgra Foods Inc. 148,670 3,718,237
General Mills Inc. 101,858 4,782,233
Heinz (H.J.) Co. 96,959 3,187,042
Hershey Foods Corp. 37,685 2,541,476
Kellogg Co. 113,118 3,876,554
(1) Kroger Co. 214,276 3,310,564
(1) Safeway Inc. 122,247 2,855,690
Sara Lee Corp. 216,019 4,862,588
SUPERVALU Inc. 36,954 610,111
Sysco Corp. 181,958 5,420,529
Winn-Dixie Stores Inc. 38,863 593,827
Wrigley (William Jr.) Co. 62,382 3,423,524
---------------
46,410,696
---------------
FOREST PRODUCTS & PAPER--0.54%
Boise Cascade Corp. 16,135 406,925
Georgia-Pacific Corp. 69,177 1,117,900
International Paper Co. 132,897 4,647,408
(1) Louisiana-Pacific Corp. 28,933 233,200
MeadWestvaco Corp. 55,414 1,369,280
Plum Creek Timber Co. Inc. 51,288 1,210,397
Temple-Inland Inc. 14,839 664,936
Weyerhaeuser Co. 60,608 $ 2,982,520
---------------
12,632,566
---------------
GAS--0.15%
KeySpan Corp. 39,298 1,384,862
Nicor Inc. 12,155 413,635
Peoples Energy Corp. 9,777 377,881
Sempra Energy 56,771 1,342,634
---------------
3,519,012
---------------
HAND/MACHINE TOOLS--0.35%
Black & Decker Corp. 22,355 958,806
Emerson Electric Co. 116,576 5,927,890
Snap-On Inc. 16,155 454,117
Stanley Works (The) 24,410 844,098
---------------
8,184,911
---------------
HEALTH CARE--4.76%
Aetna Inc. 41,701 1,714,745
(1) Anthem Inc. 39,151 2,462,598
Bard (C.R.) Inc. 14,351 832,358
Bausch & Lomb Inc. 14,919 537,084
Baxter International Inc. 164,371 4,602,388
Becton, Dickinson & Co. 71,077 2,181,353
Biomet Inc. 72,018 2,064,036
(1) Boston Scientific Corp. 112,914 4,801,103
(1) Guidant Corp. 84,626 2,610,712
HCA Inc. 142,165 5,899,847
Health Management
Associates Inc. "A" 65,902 1,179,646
(1) HEALTHSOUTH Corp. 109,515 459,963
(1) Humana Inc. 45,153 451,530
Johnson & Johnson 822,592 44,181,416
(1) Manor Care Inc. 26,801 498,767
Medtronic Inc. 337,851 15,406,006
(1) Quest Diagnostics Inc. 27,062 1,539,828
(1) St. Jude Medical Inc. 49,138 1,951,761
Stryker Corp. 54,801 3,678,243
(1) Tenet Healthcare Corp. 135,059 2,214,968
UnitedHealth Group Inc. 84,295 7,038,632
(1) WellPoint Health
Networks Inc. 41,178 2,930,226
(1) Zimmer Holdings Inc. 53,988 2,241,582
---------------
111,478,792
---------------
HOME BUILDERS--0.10%
Centex Corp. 17,057 856,261
KB Home 13,310 570,333
Pulte Homes Inc. 16,946 811,205
---------------
2,237,799
---------------
HOME FURNISHINGS--0.12%
Leggett & Platt Inc. 53,917 1,209,897
Maytag Corp. 21,689 618,136
Whirlpool Corp. 18,889 986,384
---------------
2,814,417
---------------
HOUSEHOLD PRODUCTS/WARES--0.39%
(1) American Greetings
Corp. "A" 18,123 286,343
Avery Dennison Corp. 30,389 1,856,160
Clorox Co. 60,982 2,515,507
Fortune Brands Inc. 41,379 1,924,537
Newell Rubbermaid Inc. 73,997 2,244,329
Tupperware Corp. 16,141 243,406
---------------
9,070,282
---------------
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SECURITY SHARES VALUES
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
INSURANCE--4.87%
ACE Ltd. 72,695 $ 2,132,871
AFLAC Inc. 142,878 4,303,485
Allstate Corp. (The) 194,722 7,202,767
Ambac Financial Group Inc. 29,383 1,652,500
American International
Group Inc. 722,353 41,788,121
AON Corp. 85,721 1,619,270
Chubb Corp. 47,362 2,472,296
CIGNA Corp. 38,616 1,587,890
Cincinnati Financial Corp. 44,720 1,679,236
Hancock (John) Financial
Services Inc. 79,863 2,228,178
Hartford Financial Services
Group Inc. 70,632 3,208,812
Jefferson-Pilot Corp. 39,796 1,516,626
Lincoln National Corp. 49,101 1,550,610
Loews Corp. 51,322 2,281,776
Marsh & McLennan
Companies Inc. 148,699 6,871,381
MBIA Inc. 40,236 1,764,751
MetLife Inc. 193,915 5,243,462
MGIC Investment Corp. 27,879 1,151,403
Principal Financial Group
Inc. 93,368 2,813,178
Progressive Corp. (The) 60,282 2,991,796
Prudential Financial Inc. 156,842 4,978,165
SAFECO Corp. 38,240 1,325,781
St. Paul Companies Inc. 62,691 2,134,629
Torchmark Corp. 32,761 1,196,759
(1) Travelers Property
Casualty Corp. "B" 277,859 4,070,634
UNUMProvident Corp. 66,936 1,174,057
XL Capital Ltd. "A" 37,603 2,904,831
---------------
113,845,265
---------------
IRON/STEEL--0.06%
Allegheny Technologies Inc. 22,262 138,692
Nucor Corp. 21,692 895,880
United States Steel Corp. 28,165 369,525
---------------
1,404,097
---------------
LEISURE TIME--0.39%
Brunswick Corp. 24,900 494,514
Carnival Corp. "A" 162,446 4,053,028
Harley-Davidson Inc. 83,786 3,870,913
(1) Sabre Holdings Corp. 39,639 717,862
---------------
9,136,317
---------------
LODGING-0.26%
(1) Harrah's Entertainment
Inc. 30,945 1,225,422
Hilton Hotels Corp. 104,242 1,324,916
Marriott International
Inc. "A" 65,912 2,166,527
Starwood Hotels & Resorts
Worldwide Inc. 55,260 1,311,872
---------------
6,028,737
---------------
MACHINERY--0.53%
Caterpillar Inc. 95,286 4,356,476
Cummins Inc. 11,571 325,492
Deere & Co. 66,051 3,028,438
Dover Corp. 55,967 1,631,998
Ingersoll-Rand Co. "A" 46,843 2,017,060
(1) McDermott International
Inc. 17,537 $ 76,812
Rockwell Automation Inc. 51,589 1,068,408
---------------
12,504,684
---------------
MANUFACTURERS--4.83%
Cooper Industries Ltd. 25,578 932,318
Crane Co. 16,562 330,081
Danaher Corp. 42,187 2,771,686
Eastman Kodak Co. 80,765 2,830,006
Eaton Corp. 19,508 1,523,770
General Electric Co. 2,755,604 67,098,957
Honeywell International
Inc. 227,318 5,455,632
Illinois Tool Works Inc. 84,840 5,502,722
ITT Industries Inc. 25,416 1,542,497
Pall Corp. 33,888 565,252
Textron Inc. 38,055 1,635,984
3M Co. 108,044 13,321,825
Tyco International Ltd. 552,437 9,435,624
---------------
112,946,354
---------------
MEDIA--3.65%
(1) AOL Time Warner Inc. 1,237,789 16,215,036
(1) Clear Channel
Communications Inc. 169,647 6,326,137
(1) Comcast Corp. "A" 306,047 7,213,528
(1) Comcast Corp.
Special "A" 336,762 7,607,454
Dow Jones & Co. Inc. 22,885 989,319
Gannett Co. Inc. 73,997 5,312,985
Knight Ridder Inc. 22,841 1,444,693
McGraw-Hill Companies
Inc. (The) 53,641 3,242,062
Meredith Corp. 13,718 563,947
New York Times Co. "A" 41,919 1,916,956
Tribune Co. 84,377 3,835,778
(1) Univision Communications
Inc. "A" 63,517 1,556,166
(1) Viacom Inc. "B" 487,672 19,877,511
Walt Disney Co. (The) 565,445 9,222,408
---------------
85,323,980
---------------
METAL FABRICATE/HARDWARE--0.02%
Worthington Industries Inc. 23,643 360,319
---------------
360,319
---------------
MINING--0.43%
Alcoa Inc. 233,746 5,324,734
(1) Freeport-McMoRan Copper
& Gold Inc. 40,062 672,240
Newmont Mining Corp. 111,200 3,228,136
(1) Phelps Dodge Corp. 24,566 777,514
---------------
10,002,624
---------------
OFFICE/BUSINESS EQUIPMENT--0.16%
Pitney Bowes Inc. 65,570 2,141,516
(1) Xerox Corp. 203,474 1,637,966
---------------
3,779,482
---------------
OIL & GAS PRODUCERS--5.22%
Amerada Hess Corp. 24,742 1,362,047
Anadarko Petroleum Corp. 68,825 3,296,718
Apache Corp. 39,848 2,270,938
Burlington Resources Inc. 55,726 2,376,714
ChevronTexaco Corp. 295,777 19,663,255
ConocoPhillips 187,405 9,068,528
Devon Energy Corp. 43,360 1,990,224
EOG Resources Inc. 31,938 1,274,965
</Table>
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 1,863,431 $ 65,108,279
Kerr-McGee Corp. 27,760 1,229,768
Kinder Morgan Inc. 33,757 1,426,908
Marathon Oil Corp. 86,392 1,839,286
(1) Nabors Industries Ltd. 40,070 1,413,269
(1) Noble Corp. 37,086 1,303,573
Occidental Petroleum Corp. 104,346 2,968,644
Rowan Companies Inc. 25,919 588,361
Sunoco Inc. 21,204 703,549
Transocean Inc. 88,426 2,051,483
Unocal Corp. 71,381 2,182,831
---------------
122,119,340
---------------
OIL & GAS SERVICES--0.57%
Baker Hughes Inc. 93,029 2,994,604
(1) BJ Services Co. 43,415 1,402,739
Halliburton Co. 120,806 2,260,280
Schlumberger Ltd. 160,770 6,766,809
---------------
13,424,432
---------------
PACKAGING & CONTAINERS--0.14%
Ball Corp. 15,708 804,093
Bemis Co. 14,648 726,980
(1) Pactiv Corp. 43,979 961,381
(1) Sealed Air Corp. 23,304 869,239
---------------
3,361,693
---------------
PHARMACEUTICALS--8.30%
Abbott Laboratories 432,671 17,306,840
Allergan Inc. 35,820 2,063,948
AmerisourceBergen Corp. 29,299 1,591,229
Bristol-Myers Squibb Co. 536,359 12,416,711
Cardinal Health Inc. 122,575 7,255,214
(1) Forest Laboratories Inc. "A" 50,104 4,921,215
(1) King Pharmaceuticals Inc. 66,804 1,148,361
Lilly (Eli) and Co. 311,067 19,752,755
(1) MedImmune Inc. 69,469 1,887,473
Merck & Co. Inc. 621,819 35,201,174
Pfizer Inc. 1,706,501 52,167,736
Pharmacia Corp. 358,007 14,964,693
Schering-Plough Corp. 406,087 9,015,131
(1) Watson Pharmaceuticals
Inc. 29,563 835,746
Wyeth 367,070 13,728,418
---------------
194,256,644
---------------
PIPELINES--0.07%
Dynegy Inc. "A" 101,977 120,333
El Paso Corp. 165,708 1,153,328
Williams Companies Inc. 142,680 385,236
---------------
1,658,897
---------------
REAL ESTATE INVESTMENT TRUSTS--0.28%
Equity Office Properties
Trust 114,090 2,849,968
Equity Residential 75,100 1,845,958
Simon Property Group Inc. 51,927 1,769,153
---------------
6,465,079
---------------
RETAIL--6.83%
(1) AutoZone Inc. 27,299 1,928,674
(1) Bed Bath & Beyond Inc. 80,994 2,796,723
(1) Best Buy Co. Inc. 89,034 2,150,171
(1) Big Lots Inc. 32,004 423,413
Circuit City Stores Inc. 57,986 430,256
CVS Corp. 108,767 $ 2,715,912
Darden Restaurants Inc. 47,318 967,653
Dillards Inc. "A" 23,588 374,106
Dollar General Corp. 92,447 1,104,742
(1) eBay Inc. 85,478 5,797,118
Family Dollar Stores Inc. 47,872 1,494,085
(1) Federated Department
Stores Inc. 54,401 1,564,573
Gap Inc. (The) 244,699 3,797,728
Home Depot Inc. 644,139 15,433,570
(1) Kohls Corp. 93,353 5,223,100
Limited Brands Inc. 144,709 2,015,796
Lowe's Companies Inc. 216,079 8,102,963
May Department Stores
Co. (The) 79,779 1,833,321
McDonald's Corp. 351,642 5,654,403
Nordstrom Inc. 37,604 713,348
(1) Office Depot Inc. 85,430 1,260,947
Penney (J.C.) Co. Inc.
(Holding Co.) 74,147 1,706,122
RadioShack Corp. 46,757 876,226
Sears, Roebuck and Co. 87,545 2,096,703
(1) Staples Inc. 130,253 2,383,630
(1) Starbucks Corp. 107,517 2,191,196
Target Corp. 251,513 7,545,390
Tiffany & Co. 40,285 963,214
TJX Companies Inc. 146,384 2,857,416
(1) Toys R Us Inc. 58,659 586,590
Walgreen Co. 283,779 8,283,509
Wal-Mart Stores Inc. 1,222,359 61,741,353
Wendy's International Inc. 31,919 864,047
(1) Yum! Brands Inc. 81,811 1,981,462
---------------
159,859,460
---------------
SEMICONDUCTORS--2.69%
(1) Advanced Micro Devices
Inc. 95,331 615,838
(1) Altera Corp. 105,920 1,307,053
(1) Analog Devices Inc. 101,269 2,417,291
(1) Applied Materials Inc. 456,281 5,945,341
(1) Applied Micro Circuits
Corp. 83,336 307,510
(1) Broadcom Corp. "A" 76,318 1,149,349
Intel Corp. 1,834,728 28,566,715
(1) KLA-Tencor Corp. 52,280 1,849,144
Linear Technology Corp. 86,480 2,224,266
(1) LSI Logic Corp. 102,779 593,035
Maxim Integrated
Products Inc. 88,779 2,933,258
(1) Micron Technology Inc. 167,443 1,630,895
(1) National Semiconductor
Corp. 49,964 749,960
(1) Novellus Systems Inc. 41,127 1,154,846
(1) NVIDIA Corp. 42,227 486,033
(1) PMC-Sierra Inc. 46,151 256,600
(1) QLogic Corp. 25,949 895,500
(1) Teradyne Inc. 50,592 658,202
Texas Instruments Inc. 479,278 7,193,963
(1) Xilinx Inc. 93,460 1,925,276
---------------
62,860,075
---------------
SOFTWARE--5.45%
Adobe Systems Inc. 65,516 1,624,862
Autodesk Inc. 31,314 447,790
Automatic Data
Processing Inc. 165,898 6,511,497
(1) BMC Software Inc. 65,334 1,117,865
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SECURITY SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
- --------------------------------------------------------------------------------
(1) Citrix Systems Inc. 47,530 $ 585,570
Computer Associates
International Inc. 158,918 2,145,393
(1) Compuware Corp. 104,793 503,006
(1) Electronic Arts Inc. 39,105 1,946,256
First Data Corp. 208,345 7,377,496
(1) Fiserv Inc. 53,000 1,799,350
IMS Health Inc. 77,938 1,247,008
(1) Intuit Inc. 56,881 2,668,857
(1) Mercury Interactive
Corp. 23,385 693,365
(1) Microsoft Corp. 1,480,581 76,546,038
(1) Novell Inc. 100,672 336,244
(1) Oracle Corp. 1,483,370 16,020,396
(1) Parametric Technology
Corp. 72,157 181,836
(1) PeopleSoft Inc. 86,613 1,585,018
(1) Rational Software
Corp. 53,937 560,405
(1) Siebel Systems Inc. 134,033 1,002,567
(1) Yahoo! Inc. 163,765 2,677,558
---------------
127,578,377
---------------
TELECOMMUNICATION EQUIPMENT--0.81%
(1) ADC Telecommunications
Inc. 220,052 459,909
(1) Andrew Corp. 27,122 278,814
(1) Avaya Inc. 100,020 245,049
(1) CIENA Corp. 119,237 612,878
(1) Comverse Technology Inc. 52,190 522,944
(1) JDS Uniphase Corp. 391,304 966,521
(1) Lucent Technologies Inc. 952,066 1,199,603
Motorola Inc. 637,058 5,510,552
(1) QUALCOMM Inc. 217,375 7,910,276
Scientific-Atlanta Inc. 42,805 507,667
(1) Tellabs Inc. 114,412 831,775
---------------
19,045,988
---------------
TELECOMMUNICATIONS--1.80%
(1) AT&T Wireless Services
Inc. 750,014 4,237,579
(1) Citizens Communications
Co. 78,015 823,058
(1) Corning Inc. 318,577 1,054,490
(1) Nextel Communications
Inc. "A" 266,619 3,079,449
(1) Qwest Communications
International Inc. 469,256 2,346,280
(1) Sprint Corp. (PCS Group) 276,515 1,211,136
Verizon Communications
Inc. 757,559 29,355,411
---------------
42,107,403
---------------
TELEPHONE--2.26%
Alltel Corp. 86,109 4,391,559
AT&T Corp. 213,290 5,569,002
BellSouth Corp. 514,759 13,316,815
CenturyTel Inc. 39,454 1,159,159
SBC Communications Inc. 919,390 24,924,663
Sprint Corp. (FON Group) 247,643 3,585,871
---------------
52,947,069
---------------
TEXTILES--0.09%
Cintas Corp. 47,098 $ 2,154,734
---------------
2,154,734
---------------
TOBACCO--1.10%
Philip Morris
Companies Inc. 572,900 23,219,637
R.J. Reynolds Tobacco
Holdings Inc. 24,477 1,030,726
UST Inc. 46,743 1,562,618
---------------
25,812,981
---------------
TOYS/GAMES/HOBBIES--0.12%
Hasbro Inc. 47,830 552,437
Mattel Inc. 121,025 2,317,629
---------------
2,870,066
---------------
TRANSPORTATION--1.48%
Burlington Northern
Santa Fe Corp. 104,617 2,721,088
CSX Corp. 58,978 1,669,667
FedEx Corp. 82,555 4,476,132
Norfolk Southern Corp. 107,566 2,150,244
Union Pacific Corp. 70,120 4,198,084
United Parcel Service
Inc. "B" 309,187 19,503,516
---------------
34,718,731
---------------
TRUCKING & LEASING--0.02%
Ryder System Inc. 17,230 386,641
---------------
386,641
---------------
TOTAL COMMON STOCKS
(Cost: $2,647,065,540) 2,244,860,969
---------------
<Caption>
SHARES OR FACE
SECURITY AMOUNT VALUE
- --------------------------------------------------------------------------------
SHORT TERM INSTRUMENTS--5.84%
- --------------------------------------------------------------------------------
Barclays Global Investors
Funds Institutional
Money Market Fund,
Institutional Shares 122,039,520 122,039,520
BlackRock Temp Cash
Money Market Fund 5,643,616 5,643,616
Dreyfus Money
Market Fund 486,519 486,519
Goldman Sachs
Financial Square Prime
Obligation Fund 423,822 423,822
U.S. Treasury Bill
1.17%(2), 03/27/03(3) $ 8,150,000 8,127,938
---------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $136,722,011) 136,721,415
TOTAL INVESTMENTS IN SECURITIES--101.78%
(Cost $2,783,787,551) 2,381,582,384
Other Assets, Less Liabilities--(1.78%) (41,663,299)
---------------
NET ASSETS--100.00% $ 2,339,919,085
===============
</Table>
(1) Non-income earning securities.
(2) Yield to Maturity.
(3) This U.S. Treasury Bill is held in a segregated account in connection with
the Master Portfolio's holdings of index futures contracts. See Note 1.
The accompanying notes are an integral part of these financial statements.
224
<Page>
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2002
U.S. EQUITY INDEX MASTER PORTFOLIO
<Table>
<Caption>
VALUE
- --------------------------------------------------------------------------------
MASTER PORTFOLIOS--100.02%
Extended Index Master Portfolio $ 78,506,030
S&P 500 Index Master Portfolio 301,148,316
---------------
TOTAL MASTER PORTFOLIOS 379,654,346
---------------
TOTAL INVESTMENTS--100.02% 379,654,346
---------------
Other Assets Less Liabilities--(0.02%) (81,392)
---------------
NET ASSETS--100.00% $ 379,572,954
===============
</Table>
The accompanying notes are an integral part of these financial statements.
225
<Page>
MASTER INVESTMENT PORTFOLIO
TRUSTEES INFORMATION (UNAUDITED)
The Board of Trustees has responsibility for the overall management and
operations of the Master Portfolios. Each Trustee serves until he or she
resigns, retires, or his or her successor is elected and qualified. Each Officer
serves until his or her successor is chosen and qualified.
Master Investment Portfolio, Barclays Global Investors Funds ("BGIF"), iShares
Trust and iShares, Inc. are considered to be members of the same fund complex,
as defined in Form N-1A under the 1940 Act. Each Trustee also serves as a
Trustee for BGIF and oversees 23 portfolios within the fund complex. In
addition, Richard K. Lyons serves as a Trustee for iShares Trust and as a
Director for iShares, Inc. and oversees 101 portfolios within the fund complex.
Unless otherwise noted in the tables below, the address for each Trustee is 111
Center Street, Little Rock, Arkansas 72201. Additional information about the
Master Portfolios' Trustees may be found in the Master Portfolios' Statements of
Additional Information, which are available without charge upon request by
calling toll-free 1-888-204-3956.
INTERESTED TRUSTEES AND OFFICERS
<Table>
<Caption>
OTHER
PUBLIC COMPANY
POSITION(S), AND INVESTMENT
NAME, ADDRESS LENGTH OF PRINCIPAL OCCUPATION DURING COMPANY
AND AGE SERVICE PAST 5 YEARS DIRECTORSHIPS
- --------------------------------------------------------------------------------------------------------------
Lee T. Kranefuss,* Trustee since Chief Executive Officer of the None.
45 Fremont Street November 16, 2001, Individual Investors Business of
San Francisco, Chairman and President Barclays Global Investors, N.A. ("BGI")
CA 94105 (40)
Michael A. Latham, Treasurer and Chief Director of Mutual Fund Delivery of None.
45 Fremont Street Financial Officer the Individual Investors Business of
San Francisco, BGI (since 2000); Head of Operations,
CA 94105 (37) BGI Europe (1997-2000); Manager of
Portfolio Accounting Group (1994-1997)
Richard H. Blank, Jr., Secretary Senior Vice President Director of
(46) of Stephens Inc. Capo, Inc.
</Table>
* LEE T. KRANEFUSS IS DEEMED TO BE AN "INTERESTED PERSON" OF THE TRUST
BECAUSE HE SERVES AS CHIEF EXECUTIVE OFFICER OF THE INDIVIDUAL INVESTOR
BUSINESS OF BGI, THE CO-ADMINISTRATOR OF THE MASTER PORTFOLIOS AND THE
PARENT COMPANY OF BGFA, THE INVESTMENT ADVISOR OF THE MASTER PORTFOLIOS.
226
<Page>
MASTER INVESTMENT PORTFOLIO
TRUSTEES INFORMATION (UNAUDITED)
INDEPENDENT TRUSTEES
<Table>
<Caption>
OTHER
PUBLIC COMPANY
POSITION(S), AND INVESTMENT
NAME, ADDRESS LENGTH OF PRINCIPAL OCCUPATION DURING COMPANY
AND AGE SERVICE PAST 5 YEARS DIRECTORSHIPS
- --------------------------------------------------------------------------------------------------------------------
Mary G. F. Bitterman, Trustee since President and Chief Executive Director of Pacific
(58) November 16, 2001 Officer of The James Irvine Foundation Century Financial
(non-profit foundation); President and Corporation/Bank
Chief Executive Officer of KQED, Inc. of Hawaii.
(public television and radio)
from 1993-2002.
Jack S. Euphrat, Trustee since Private Investor None.
(80) October 20, 1993
W. Rodney Hughes, Trustee since Private Investor Trustee of the
(76) October 20, 1993 Wells Fargo Funds
(oversees 96
portfolios);
President of Wells
Fargo Funds November
1999 to May 2000.
Richard K. Lyons, Trustee since Professor, University of California, Director of Matthews
(41) November 16, 2001 Berkeley: Haas School of Business; Asian Funds
Member, Council of Foreign Relations (oversees 6
portfolios).
Leo Soong, Trustee since Managing Director of None.
(56) February 9, 2000 CG Roxane LLC (water company);
Co-Founder of Crystal Geyser
Water Co.; President of Crystal
Geyser Water Co. (through 2000).
</Table>
227
<Page>
Shares of the Vantagepoint funds are distributed by ICMA-RC
Services, LLC, a broker-dealer affiliate of the ICMA Retirement Corporation,
member NASD/SIPC.
[THE VANTAGEPOINT(R) FUNDS LOGO]
777 North Capitol Street, NE
Washington, DC 20002-4240
Toll-Free 1-800-669-7400
Para asistencia en Espanol llame al 1-800-669-8216
www.icmarc.org
ANR000-001-0203-214
<Page>
FORM N-CSR(2 OF 3)
ITEM 2 (CODE OF ETHICS): Not applicable to this filing.
ITEM 3 (AUDIT COMMITTEE FINANCIAL EXPERT): Not applicable to this filing.
ITEM 4 (PRINCIPAL ACCOUNTANT FEES AND SERVICES): Not applicable to this filing.
ITEM 5 (RESERVED)
ITEM 6 (RESERVED)
ITEM 7 (DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES): Not applicable to this filing.
ITEM 8 (RESERVED)
ITEM 9 (CONTROLS AND PROCEDURES):
SUB-ITEM 9a - Not applicable to this filing.
SUB-ITEM 9b - There were no significant changes in the registrant's
internal controls or in other factors that could significantly affect
these controls subsequent to the date of their evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.
ITEM 10 (EXHIBITS):
SUB-ITEM 10a - Not applicable to this filing.
SUB-ITEM 10b - Certification Exhibits are attached.
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.
The Vantagepoint Funds
By: /s/ Girard Miller
---------------------------------------------------------
Girard Miller, President and Chief Executive Officer
Date March 7, 2003
---------------------------------------------------------
<Page>
FORM N-CSR(3 OF 3)
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.
By: /s/ Girard Miller
---------------------------------------------------------
Girard Miller, President and Chief Executive Officer
Date March 7, 2003
------------------------
By: /s/ Paul A. Breault
---------------------------------------------------------
Paul A. Breault, Treasurer and Chief Financial Officer
Date March 7, 2003
------------------------