<Page>
-----------------------------
OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response....... 5.0
-----------------------------
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 811-05309
---------------------------------------------
First American Investment Funds, Inc.
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
800 Nicollet Mall Minneapolis, MN 55402
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Robert H. Nelson 800 Nicollet Mall Minneapolis, MN 55402
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 800-677-3863
----------------------------
Date of fiscal year end: September 30, 2003
--------------------------
Date of reporting period: March 31, 2003
-------------------------
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.
<Page>
Item 1. Report to Shareholders
<Page>
[FIRST AMERICAN FUNDS(TM) LOGO]
2003
SEMIANNUAL REPORT
INDEX FUNDS
OUR STRENGTH
WE ARE A PERFORMANCE-DRIVEN, INDEPENDENT-STYLE FIRM, BACKED BY THE RESOURCES AND
STABILITY OF A LEADING FINANCIAL ORGANIZATION.
OUR GOAL
SUPERIOR LONG-TERM PERFORMANCE.
OUR PLEDGE
WE TAILOR OUR APPROACH TO YOUR INVESTMENT NEEDS AND MEASURE OUR PERFORMANCE
AGAINST YOUR GOALS.
[GRAPHIC]
<Page>
FIRST AMERICAN FUNDS
ON THE COVER
OUR CORPORATE CONSTITUTION
THIS STATEMENT IS DESIGNED TO CAPTURE THE CHARACTER AND AMBITION OF OUR FIRM. WE
ARE FOUNDED ON STRENGTH, FOCUSED ON OUR GOAL, AND COMMITTED TO OUR PLEDGE.
OUR IMAGE-GEORGE WASHINGTON
HIS RICH LEGACY AS PATRIOT AND LEADER IS WIDELY RECOGNIZED AS EMBODYING THE
SOUND JUDGMENT, RELIABILITY, AND STRATEGIC VISION THAT ARE CENTRAL TO OUR BRAND.
FASHIONED IN A STYLE REMINISCENT OF AN 18TH-CENTURY ENGRAVING, THE ILLUSTRATION
CONVEYS THE SYMBOLIC STRENGTH AND VITALITY OF WASHINGTON, WHICH ARE ATTRIBUTES
THAT WE VALUE AT FIRST AMERICAN FUNDS.
MUTUAL FUND INVESTING INVOLVES RISK; PRINCIPAL LOSS IS POSSIBLE.
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE
[SIDENOTE]
OUR FUND FAMILY
- HIGHER RISK AND RETURN POTENTIAL
SECTOR FUNDS
INTERNATIONAL FUND
SMALL CAP FUNDS
MID CAP FUNDS
LARGE CAP FUNDS
GROWTH & INCOME FUNDS
- INDEX FUNDS
- EQUITY INDEX
- MID CAP INDEX
- SMALL CAP INDEX
ASSET ALLOCATION FUNDS
BOND FUNDS
TAX FREE BOND FUNDS
MONEY MARKET FUNDS
- LOWER RISK AND RETURN POTENTIAL
FUND CATEGORIES ARE PRESENTED ACCORDING TO RISK AND RETURN POTENTIAL. FUNDS
WITHIN EACH CATEGORY ARE LISTED IN ALPHABETICAL ORDER.
<Page>
FIRST AMERICAN FUNDS ONLINE
@ firstamericanfunds.com
Visit the First American Funds website for useful information on each of our
funds, including fund prices, performance, fund management bios, dividends, and
downloadable fact sheets. You'll also find college and retirement planning tools
and general investor education.
[GRAPHIC]
ONLINE FEATURES AND FUNCTIONALITY INCLUDE:
- - The ability to deepen your understanding of the fund family by learning
about the full range of investment choices available to you through First
American Funds
- - The ability to educate yourself through market and investment strategy
commentaries
We stand behind our commitment to serve you with excellence. For more
information, call First American Funds Investor Services at 800.677.FUND or
visit firstamericanfunds.com.
[SIDENOTE]
TABLE OF CONTENTS
Schedule of Investments 2
Statements of Assets and Liabilities 32
Statements of Operations 33
Statements of Changes in Net Assets 34
Financial Highlights 36
Notes to Financial Statements 40
1
<Page>
SCHEDULE OF INVESTMENTS MARCH 31, 2003 (UNAUDITED)
<Table>
<Caption>
EQUITY INDEX FUND
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS - 97.2%
CONSUMER DISCRETIONARY - 13.3%
American Greetings, Cl A* 13,500 $ 177
AOL Time Warner* 916,300 9,951
AutoNation* 63,170 805
Autozone* (A) 20,966 1,441
Bed Bath & Beyond* 60,276 2,082
Best Buy* (A) 65,951 1,779
Big Lots* 23,808 268
Black & Decker 16,275 567
Brunswick 18,482 351
Carnival (A) 120,313 2,901
Centex (A) 12,650 688
Circuit City Stores 43,155 224
Clear Channel Communications* 125,602 4,260
Comcast, Cl A* (A) 473,103 13,526
Cooper Tire & Rubber 12,899 157
Costco Wholesale* (A) 92,059 2,765
Dana 30,456 215
Darden Restaurants 35,039 625
Delphi Automotive Systems 112,793 770
Dillards, Cl A (A) 17,102 221
Dollar General 68,320 834
Dow Jones & Company (A) 16,792 595
Eastman Kodak (A) 59,808 1,770
eBay* (A) 63,284 5,397
Family Dollar Stores 34,937 1,079
Federated Department Stores* (A) 39,618 1,110
Ford Motor (A) 376,166 2,829
Fortune Brands 30,596 1,312
Gannett (A) 54,786 3,859
Gap (A) 181,181 2,625
General Motors (A) 114,879 3,862
Goodyear Tire & Rubber* (A) 35,413 183
Harley-Davidson (A) 62,036 2,463
Harrah's Entertainment* 22,916 818
Hasbro (A) 35,497 493
Hilton Hotels 77,138 896
Home Depot (A) 476,740 11,613
International Game Technology* (A) 17,504 1,434
Interpublic Group of Companies (A) 79,051 735
J.C. Penney (A) 55,002 1,080
Johnson Controls (A) 17,857 1,294
Jones Apparel Group* (A) 26,415 725
KB HOME (A) 9,902 450
Knight-Ridder (A) 16,636 973
Kohl's* (A) 69,112 3,910
Leggett & Platt 37,997 695
Limited 107,232 1,380
Liz Claiborne 21,904 677
Lowe's (A) 160,079 6,534
Marriott International, Cl A (A) 47,928 1,525
Mattel (A) 89,625 2,017
May Department Stores (A) 58,217 1,158
Maytag 15,997 304
McDonald's 257,051 3,717
McGraw-Hill (A) 39,728 2,208
Meredith 10,017 382
New York Times, Cl A 31,023 1,339
Newell Rubbermaid (A) 54,798 $ 1,554
Nike, Cl B (A) 54,210 2,787
Nordstrom 27,758 450
Office Depot* 63,254 748
Omnicom Group (A) 38,549 2,088
Pulte 12,627 633
RadioShack (A) 34,527 770
Reebok International* 12,293 404
Sears Roebuck and Company (A) 64,834 1,566
Sherwin Williams 30,722 812
Snap-On Tools (A) 11,800 292
Stanley Works 18,097 434
Staples* (A) 97,021 1,778
Starbucks* (A) 79,454 2,047
Starwood Hotels & Resorts Worldwide 40,939 974
Target (A) 186,279 5,451
Tiffany & Company (A) 29,754 744
TJX 107,694 1,895
TMP Worldwide* 22,790 245
Toys ORO Us* (A) 43,551 365
Tribune (A) 62,473 2,812
Tupperware 11,960 165
Univision Communications, Cl A* (A) 46,959 1,151
V.F 22,274 838
Viacom, Cl B* 360,988 13,183
Visteon 25,007 149
Wal-Mart Stores (A) 900,554 46,856
Walt Disney (A) 415,096 7,065
Wendy's International 23,657 651
Whirlpool 13,775 675
Yum! Brands* 59,692 1,452
-----------
219,082
-----------
CONSUMER STAPLES - 8.8%
Alberto-Culver (A) 11,971 590
Albertson's (A) 77,722 1,465
Altria Group 423,466 12,687
Anheuser-Busch (A) 175,449 8,178
Archer-Daniels-Midland (A) 132,343 1,429
Avon Products (A) 48,235 2,752
Campbell Soup (A) 84,119 1,767
Clorox (A) 45,105 2,083
Coca-Cola 504,557 20,424
Coca-Cola Enterprises 90,767 1,696
Colgate-Palmolive (A) 110,330 6,006
ConAgra Foods 108,473 2,178
Coors Adolph 7,436 361
CVS (A) 80,542 1,921
General Mills (A) 74,317 3,385
Gillette (A) 213,416 6,603
H.J. Heinz (A) 70,913 2,071
Hershey Foods (A) 27,498 1,723
Kellogg (A) 82,460 2,527
Kimberly-Clark 105,430 4,793
Kroger* 156,178 2,054
McCormick 28,680 692
Pepsi Bottling 57,493 1,031
PepsiCo (A) 354,016 14,161
Procter & Gamble (A) 262,443 23,371
R J Reynolds Tobacco Holdings 17,650 569
Safeway* (A) 92,787 1,756
</Table>
The accompanying notes are an integral part of the financial statements.
2
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Sara Lee (A) 160,434 $ 3,000
SUPERVALU 27,403 425
Sysco (A) 133,997 3,409
UST (A) 33,212 917
Walgreen (A) 207,013 6,103
Winn-Dixie Stores 28,863 382
Wrigley, William Jr. (A) 43,192 2,440
-----------
144,949
-----------
ENERGY - 6.0%
Amerada Hess (A) 18,286 809
Anadarko Petroleum (A) 50,216 2,285
Apache 32,767 2,023
Ashland 13,989 415
Baker Hughes (A) 69,062 2,067
BJ Services* (A) 32,343 1,112
Burlington Resources (A) 41,265 1,969
ChevronTexaco (A) 213,915 13,830
Conoco, Cl B 136,713 7,328
Devon Energy 32,111 1,548
EOG Resources 23,681 937
Exxon Mobil (A) 1,373,250 47,995
Halliburton (A) 89,455 1,854
Kerr-McGee 20,271 823
Marathon Oil 63,984 1,534
Nabors Industries* (A) 29,664 1,183
Noble* 27,437 862
Occidental Petroleum (A) 76,134 2,281
Rowan* (A) 19,173 377
Schlumberger 119,345 4,536
Sunoco 15,646 572
Transocean Sedco Forex 65,439 1,338
Unocal 52,094 1,371
-----------
99,049
-----------
FINANCIALS - 19.5%
ACE 53,843 1,559
AFLAC 105,810 3,391
Allstate 144,092 4,780
Ambac Financial Group (A) 21,722 1,097
American Express 269,410 8,952
American International Group (A) 534,713 26,442
AmSouth Bancorp 71,786 1,427
Aon (A) 63,501 1,313
Apartment Investment & Management (REIT) 18,920 690
Bank of America 307,955 20,584
Bank of New York (A) 157,080 3,220
Bank One (A) 238,609 8,261
BB&T (A) 94,728 2,977
Bear Stearns (A) 20,645 1,354
Capital One Financial (A) 45,483 1,365
Charles Schwab (A) 275,424 1,989
Charter One Financial 46,319 1,281
Chubb 35,062 1,554
Cincinnati Financial 32,443 1,138
Citigroup 1,053,748 36,302
Comerica 35,815 1,357
Equity Office Properties Trust (REIT) 80,847 2,058
Equity Residential Properties Trust (REIT) (A) 55,516 1,336
Fannie Mae 203,956 13,329
Federal Home Loan Mortgage 142,442 $ 7,564
Fifth Third Bancorp 118,286 5,931
First Tennessee National (A) 24,344 967
FleetBoston Financial 215,147 5,138
Franklin Resources 52,765 1,736
Golden West Financial 36,649 2,636
Goldman Sachs Group (A) 96,744 6,586
H & R Block (A) 36,501 1,558
Hartford Financial Services Group (A) 52,357 1,848
Huntington Bancshares (A) 47,332 880
J P Morgan Chase (A) 409,252 9,703
Janus Capital Group 45,601 519
Jefferson-Pilot (A) 28,591 1,100
John Hancock Financial Services 59,055 1,641
KeyCorp 85,826 1,936
Lehman Brothers Holdings (A) 49,716 2,871
Lincoln National 36,295 1,016
Loew's 38,013 1,514
Marsh & McLennan 110,084 4,693
Marshall & Ilsley 44,107 1,127
MBIA (A) 29,746 1,149
MBNA 261,897 3,942
Mellon Financial 88,332 1,878
Merrill Lynch & Company (A) 177,195 6,273
Metlife (A) 143,548 3,787
MGIC Investment (A) 20,595 809
Moody's (A) 30,975 1,432
Morgan Stanley (A) 222,055 8,516
National City 123,590 3,442
North Fork Bancorp (A) 33,105 975
Northern Trust (A) 45,286 1,379
Plum Creek Timber 37,336 806
PNC Financial Services (A) 58,212 2,467
Principal Financial Group (A) 68,630 1,863
Progressive (A) 44,639 2,648
Providian Financial* 59,249 389
Prudential Financial (A) 116,045 3,394
Regions Financial (A) 46,657 1,512
SAFECO (A) 27,915 976
Simon Property Group (REIT) (A) 36,214 1,298
SLM (A) 31,014 3,440
SouthTrust 70,061 1,789
St. Paul Companies (A) 46,421 1,476
State Street (A) 68,084 2,153
SunTrust Banks (A) 55,975 2,947
Synovus Financial (A) 62,439 1,117
T. Rowe Price Group 25,071 680
Torchmark 24,280 869
Travelers Property Casualty, Cl B 206,229 2,910
U.S. Bancorp (A) 386,919 7,344
Union Planters 40,018 1,052
UnumProvident (A) 49,506 485
Wachovia 274,762 9,361
Washington Mutual (A) 194,052 6,844
Wells Fargo 346,802 15,603
XL Capital Limited, Cl A 27,454 1,943
Zions Bancorporation 18,364 786
-----------
319,943
-----------
</Table>
3
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
HEALTH CARE - 15.1%
Abbott Laboratories 320,469 $ 12,053
Aetna 30,855 1,521
Allergan (A) 26,527 1,809
AmerisourceBergen (A) 22,594 1,186
Amgen* (A) 263,826 15,183
Anthem* 28,989 1,921
Applera - Applied Biosystems Group (A) 42,938 680
Bard C.R 10,444 659
Bausch & Lomb (A) 10,893 358
Baxter International (A) 121,616 2,267
Becton, Dickinson & Company (A) 51,858 1,786
Biogen* 30,560 916
Biomet (A) 53,077 1,627
Boston Scientific* (A) 83,597 3,407
Bristol-Myers Squibb 391,249 8,267
Cardinal Health (A) 92,684 5,280
Chiron* (A) 38,196 1,432
Cigna (A) 28,612 1,308
Eli Lilly 229,804 13,133
Forest Laboratories, Cl A* (A) 74,408 4,016
Genzyme* (A) 43,979 1,603
Guidant* (A) 62,898 2,277
HCA 105,076 4,346
Health Management Associates, Cl (A) 48,921 930
Humana* 33,258 319
Johnson & Johnson (A) 608,915 35,238
King Pharmaceuticals* (A) 49,349 589
Manor Care* (A) 19,258 370
McKesson HBOC (A) 59,642 1,487
MedImmune* (A) 51,558 1,693
Medtronic (A) 247,685 11,176
Merck 460,301 25,215
Pfizer (A) 1,263,128 39,359
Pharmacia 261,641 11,329
Quest Diagnostics* (A) 21,560 1,287
Quintiles Transnational* 23,778 289
Schering-Plough 300,631 5,360
St. Jude Medical* (A) 36,399 1,774
Stryker (A) 39,987 2,745
Tenet Healthcare* (A) 98,508 1,645
UnitedHealth Group (A) 62,409 5,721
Watson Pharmaceuticals* (A) 21,920 631
Wellpoint Health Networks* 30,494 2,340
Wyeth (A) 271,730 10,277
Zimmer Holdings* (A) 39,976 1,944
-----------
248,753
-----------
INDUSTRIALS - 10.4%
3M (A) 79,982 10,400
Allied Waste Industries* 39,825 318
American Power Conversion* 40,201 572
American Standard* 14,854 1,022
Apollo Group, Cl A* (A) 35,731 1,783
Avery Dennison 22,175 1,301
Boeing (A) 169,571 4,249
Burlington Northern Santa Fe 77,598 1,932
Caterpillar (A) 70,551 3,471
Cendant* (A) 211,155 2,682
Cintas Group (A) 34,906 1,148
Concord EFS* 104,285 $ 980
Convergys* (A) 35,570 470
Cooper Industries 19,109 682
Crane 12,022 209
CSX (A) 45,884 1,309
Cummins Engine 8,380 206
Danaher (A) 31,240 2,054
Deere & Company 49,039 1,925
Delta Air Lines (A) 24,329 217
Donnelley RR & Sons 22,891 419
Dover (A) 41,476 1,005
Eaton (A) 14,452 1,011
Emerson Electric (A) 86,281 3,913
Equifax 29,157 583
FedEx 61,173 3,369
Fluor (A) 16,465 555
General Dynamics 41,186 2,268
General Electric (A) 2,039,781 52,014
Genuine Parts (A) 33,408 1,019
Goodrich 24,085 339
Grainger, W.W 18,742 804
Honeywell International 175,376 3,746
Illinois Tool Works 63,018 3,664
IMS Health (A) 56,743 886
Ingersoll-Rand, Cl A 34,698 1,339
ITT Industries 17,287 923
Lockheed Martin 92,123 4,380
Masco (A) 100,856 1,878
McDermott International* 13,070 38
Molex 39,310 844
Navistar International* 13,988 344
Norfolk Southern 79,748 1,480
Northrop Grumman 36,769 3,155
Paccar (A) 23,404 1,177
Pall (A) 25,205 504
Parker-Hannifin (A) 24,216 938
Paychex (A) 77,138 2,119
Pitney Bowes (A) 46,637 1,489
Power-One* (A) 16,380 72
Raytheon (A) 83,198 2,360
Robert Half International* 35,520 473
Rockwell Automation (A) 38,056 788
Rockwell Collins 36,949 679
Ryder System 12,811 263
Sabre Group Holdings, Cl A* (A) 29,251 465
Southwest Airlines (A) 158,786 2,280
Textron 27,872 765
Thomas & Betts* 11,773 167
Tyco International (A) 409,163 5,262
Union Pacific (A) 52,028 2,862
United Parcel Service, Cl B (A) 230,368 13,131
United Technologies 96,421 5,571
Waste Management (A) 122,934 2,604
Worthington Industries 17,319 207
-----------
171,082
-----------
INFORMATION TECHNOLOGY - 15.0%
ADC Telecommunications* 164,337 339
Adobe Systems (A) 47,728 1,471
Advanced Micro Devices* (A) 69,376 429
</Table>
The accompanying notes are an integral part of the financial statements.
4
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Agilent Technologies* (A) 95,731 $ 1,259
Altera* (A) 78,413 1,062
Analog Devices* (A) 74,665 2,053
Andrew* (A) 20,155 111
Apple Computer* (A) 72,488 1,025
Applied Materials* (A) 338,280 4,256
Applied Micro Circuits* 57,392 187
Autodesk (A) 22,781 348
Automatic Data Processing 122,906 3,784
Avaya* 67,528 138
BMC Software* 46,642 704
Broadcom, Cl A* (A) 56,547 698
Ciena* 88,859 388
Cisco Systems* (A) 1,459,364 18,943
Citrix Systems* (A) 35,052 461
Computer Associates International (A) 116,638 1,593
Computer Sciences* (A) 38,374 1,249
Compuware* 76,336 259
Comverse Technology* 38,479 435
Corning (A) 245,713 1,435
Dell Computer* (A) 525,726 14,358
Deluxe 12,649 508
Electronic Arts* (A) 28,543 1,674
Electronic Data Systems (A) 97,651 1,719
EMC* 450,916 3,260
First Data (A) 154,177 5,706
Fiserv* (A) 39,226 1,235
Gateway* 61,341 145
Hewlett-Packard (A) 625,685 9,729
IBM (A) 346,439 27,171
Intel (A) 1,358,000 22,108
Intuit* (A) 42,166 1,569
Jabil Circuit* (A) 40,624 711
JDS Uniphase* 290,119 827
KLA-Tencor* (A) 38,985 1,401
Lexmark International Group, Cl A* 25,817 1,728
Linear Technology 64,127 1,980
LSI Logic* 75,108 339
Lucent Technologies* (A) 801,713 1,179
Maxim Integrated Products 64,705 2,337
Mercury Interactive* (A) 17,313 514
Micron Technology* (A) 122,210 995
Microsoft (A) 2,193,590 53,107
Millipore (A) 9,921 324
Motorola (A) 471,658 3,896
National Semiconductor* (A) 37,244 635
NCR* (A) 19,709 361
Network Appliance* (A) 69,559 778
Novell* 73,609 158
Novellus Systems* (A) 30,384 829
NVIDIA* (A) 32,313 415
Oracle Systems* (A) 1,081,821 11,737
Parametric Technology* 49,999 108
PeopleSoft* (A) 64,160 982
PerkinElmer 25,898 230
PMC-Sierra* (A) 33,821 201
QLogic* (A) 19,233 714
QUALCOMM (A) 161,705 5,831
Sanmina* 106,692 431
Scientific-Atlanta (A) 31,339 431
Seagate Escrow Security 48,686 $ --
Siebel Systems* (A) 99,325 796
Solectron* (A) 169,363 511
Sun Microsystems* 654,894 2,135
SunGard Data Systems* 58,043 1,236
Symantec* 30,400 1,191
Symbol Technologies (A) 47,263 407
Tektronix* 17,820 306
Tellabs* (A) 84,456 489
Teradyne* (A) 37,532 437
Texas Instruments 354,829 5,809
Thermo Electron* 33,515 607
Unisys (A) 65,537 607
VERITAS Software* (A) 84,375 1,483
Waters* (A) 26,469 560
Xerox* (A) 150,721 1,311
Xilinx* 69,166 1,619
Yahoo!* (A) 123,889 2,976
-----------
247,468
-----------
MATERIALS - 2.7%
Air Products and Chemicals 46,576 1,930
Alcoa (A) 172,569 3,344
Allegheny Technologies 14,676 43
Ball (A) 11,474 639
Bemis 10,154 427
Boise Cascade 11,775 257
Brown-Forman, Cl B 13,813 1,062
Dow Chemical 186,756 5,156
E.I. du pont de Nemours 203,895 7,923
Eastman Chemical 15,846 459
Ecolab 26,678 1,316
Engelhard 26,193 561
Freeport-McMoran Copper & Gold, Cl B* (A) 29,264 499
Georgia-Pacific (A) 51,258 712
Great Lakes Chemical 10,139 225
Hercules* 22,388 195
International Flavors & Fragrances 19,339 601
International Paper (A) 96,154 3,250
Louisiana Pacific* (A) 21,125 168
MeadWestvaco 40,400 920
Monsanto (A) 53,583 879
Newmont Mining (A) 75,803 1,982
Nucor (A) 15,465 590
Pactiv* 32,479 659
Phelps Dodge* (A) 17,961 583
PPG Industries (A) 33,852 1,526
Praxair (A) 33,153 1,868
Rohm & Haas 45,323 1,350
Sealed Air* (A) 17,209 691
Sigma-Aldrich (A) 14,694 654
Temple-Inland (A) 10,852 406
USX-U.S. Steel Group 20,664 203
Vulcan Materials (A) 20,809 629
Weyerhaeuser (A) 44,220 2,115
-----------
43,822
-----------
TELECOMMUNICATION SERVICES - 3.6%
ALLTEL 63,751 2,853
AT&T (A) 157,917 2,558
AT&T Wireless Services* (A) 555,305 3,665
</Table>
5
<Page>
<Table>
<Caption>
PAR (000)/
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
BellSouth 381,473 $ 8,267
CenturyTel (A) 29,232 807
Citizens Communications* (A) 57,851 577
Nextel Communications, Cl A* (A) 198,022 2,652
Qwest Communications International* (A) 347,518 1,213
SBC Communications 680,576 13,652
Sprint (A) 183,367 2,155
Sprint PCS Group* (A) 204,795 893
Verizon Communications 560,785 19,824
-----------
59,116
-----------
UTILITIES - 2.8%
AES* 111,474 404
Allegheny Energy* (A) 25,760 160
Ameren 27,339 1,068
American Electric Power (A) 79,705 1,821
Calpine* (A) 77,483 256
Centerpoint Energy 62,383 440
Cinergy (A) 34,004 1,144
CMS Energy* 29,539 130
Consolidated Edison 43,791 1,685
Constellation Energy 33,770 936
Dominion Resources (A) 62,970 3,487
DTE Energy (A) 34,330 1,327
Duke Energy (A) 182,760 2,657
Dynegy* 76,126 199
Edison International* (A) 66,787 914
El Paso (A) 122,777 743
Entergy (A) 45,509 2,191
Exelon 66,209 3,338
FirstEnergy (A) 61,006 1,922
FPL Group (A) 37,414 2,205
KeySpan 32,067 1,034
Kinder Morgan (A) 24,991 1,125
Mirant* (A) 82,792 132
NICOR 9,018 246
NiSource (A) 51,007 928
People's Energy 7,160 256
PG&E* (A) 83,544 1,124
Pinnacle West Capital 18,533 616
PPL 33,711 1,200
Progress Energy (A) 48,620 1,903
Progress Energy-CVO 8,576 1
Public Service Enterprises (A) 45,592 1,673
Sempra Energy 42,245 1,054
Southern (A) 144,112 4,099
TECO Energy (A) 36,002 383
TXU (A) 66,032 1,179
Williams (A) 105,912 485
Xcel Energy (A) 80,530 1,032
-----------
45,497
-----------
TOTAL COMMON STOCKS 1,598,761
-----------
U.S. TREASURY OBLIGATION - 0.4%
U.S. Treasury Bill
1.290%, 6/05/03 (B) $ 6,300 6,287
-----------
TOTAL U.S. TREASURY OBLIGATION
(Cost $6,287) 6,287
RELATED PARTY MONEY MARKET FUND - 2.3%
First American Prime Obligations Fund, ClY (C) 38,376,265 $ 38,376
-----------
TOTAL RELATED PARTY MONEY MARKET FUND
(Cost $38,376) 38,376
-----------
INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING - 51.3%
COMMERCIAL PAPER - 7.4%
CS First Boston
1.638%, 12/01/03 $ 14,782 14,782
Danske Bank
1.508%, 12/22/03 14,782 14,782
Goldman Sachs
1.518%, 08/28/03 19,216 19,216
Morgan Stanley
1.518%, 06/17/03 7,391 7,391
1.518%, 07/08/03 5,321 5,321
1.518%, 09/22/03 7,391 7,391
Orchard Park
1.475%, 01/06/04 14,782 14,782
UBS Financial
1.390%, 04/01/03 36,949 36,949
-----------
TOTAL COMMERCIAL PAPER 120,614
-----------
CORPORATE OBLIGATIONS - 5.6%
CS First Boston
1.760%, 04/11/03 14,782 14,782
Deutsche Bank
1.470%, 04/11/03 7,391 7,391
1.580%, 12/11/03 5,913 5,913
General Electric Capital Corporation
1.355%, 07/09/07 7,391 7,391
Merrill Lynch
1.538%, 05/05/03 12,564 12,564
Monet Trust
1.360%, 12/28/03 14,782 14,782
SMM Trust 2002-M
1.450%, 09/23/03 14,782 14,782
URI Trust
1.460%, 09/18/03 14,782 14,782
-----------
TOTAL CORPORATE OBLIGATIONS 92,387
-----------
MONEY MARKET FUNDS - 4.8%
AIM Liquid Assets Portfolio 25,129,154 25,129
Dreyfus Cash Manage Plus Fund 1,478,185 1,478
Evergreen Institutional Money Market Fund 5,173,649 5,174
HSBC Investor Money Market Fund - Cl I 4,434,557 4,435
Merrill Lynch Premier Institutional Fund 28,630,261 28,630
Merrimac Cash Series Fund 4,434,557 4,435
One Group Institutional Prime
Money Market Fund 8,869,113 8,869
Reserve Primary Fund 739,093 739
-----------
TOTAL MONEY MARKET FUNDS 78,889
-----------
OTHER SHORT-TERM INVESTMENTS - 4.6%
Allied Irish Bank
1.340%, 05/09/03 14,782 14,782
1.330%, 06/02/03 7,391 7,391
Commonwealth Life
1.678%, 04/01/03 7,463 7,463
General Electric Capital Assurance
1.370%, 12/19/03 2,956 2,956
Premium Asset Trust 02-7
1.060%, 08/23/03 9,416 9,416
</Table>
The accompanying notes are an integral part of the financial statements.
6
<Page>
<Table>
<Caption>
PAR (000)/
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Security Life Denver
1.381%, 01/13/04 $ 19,217 $ 19,217
1.490%, 03/15/04 14,782 14,782
-----------
TOTAL OTHER SHORT-TERM INVESTMENTS 76,007
-----------
REPURCHASE AGREEMENTS - 28.9%
Bear Stearns
1.420%, 04/10/03 29,563 29,563
CS First Boston
1.370%, 04/01/03 29,563 29,563
1.380%, 04/01/03 4,582 4,582
1.380%, 04/01/03 36,955 36,955
Goldman Sachs
1.520%, 04/01/03 22,173 22,173
1.420%, 04/07/03 14,782 14,782
1.400%, 06/11/03 7,391 7,391
1.360%, 06/10/03 7,391 7,391
Greenwich Capital Markets
1.430%, 04/01/03 44,346 44,346
Lehman Brothers
1.560%, 04/01/03 14,782 14,782
1.640%, 04/01/03 11,086 11,086
1.640%, 04/01/03 48,041 48,041
Merrill Lynch
1.360%, 04/01/03 44,346 44,346
1.500%, 04/01/03 22,173 22,173
1.560%, 04/01/03 18,477 18,477
1.560%, 04/01/03 29,563 29,563
Morgan Stanley
1.470%, 04/01/03 22,173 22,173
1.510%, 04/01/03 45,972 45,972
Salomon Smith Barney
1.540%, 04/01/03 22,173 22,173
-----------
TOTAL REPURCHASE AGREEMENTS 475,532
-----------
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING
(Cost $843,429) 843,429
-----------
TOTAL INVESTMENTS - 151.2%
(Cost $2,502,577) 2,486,853
-----------
OTHER ASSETS AND LIABILITIES, NET - (51.2)% (841,770)
-----------
TOTAL NET ASSETS - 100.0% $ 1,645,083
-----------
</Table>
*Non-income producing security
(A) This security or a portion of this security is out on loan at March 31,
2003. Total loaned securities had a value of $798,805,924 at March 31,
2003. See note 2 in Notes to Financial Statements.
(B) Security has been deposited as initial margin on open future contracts.
Yield shown is effective yield at date of purchase. See note 7 in Notes to
Financial Statements.
(C) This money market fund is advised by U.S. Bancorp Asset Management, Inc.,
which also serves as advisor for this Fund. See note 3 in Notes to
Financial Statements.
Cl - Class
REIT - Real Estate Investment Trust
MID CAP INDEX FUND
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMMON STOCKS - 93.5%
CONSUMER DISCRETIONARY - 16.1%
99 Cents Only Stores* 18,536 $ 473
Abercrombie & Fitch* (A) 25,722 772
American Eagle Outfitters* 18,824 273
Applebee's International (A) 13,590 381
ArvinMeritor 18,613 260
Barnes & Noble* (A) 17,088 325
Belo 29,854 605
BJ's Wholesale Club* (A) 18,363 208
Blyth 12,454 317
Bob Evans Farms 9,268 224
Borders Group* 20,940 308
BorgWarner 7,114 340
Brinker International* (A) 25,638 782
Callaway Golf 19,268 229
CarMax* (A) 27,269 398
Catalina Marketing, Cl C* (A) 14,129 272
CBRL Group 13,981 384
CDW Computer Centers* (A) 22,200 906
Cheesecake Factory* (A) 13,260 429
Chico's FAS* (A) 21,400 428
Claire's Stores 12,927 305
Clayton Homes (A) 35,991 397
Coach* (A) 23,830 913
Copart* 25,947 199
D.R. Horton (A) 38,764 744
Dollar Tree Stores* 30,194 601
Emmis Communications, Cl A* (A) 14,154 239
Entercom Communications* (A) 12,581 553
Extended Stay America* 25,006 253
Federal Signal 11,258 160
Furniture Brands International* (A) 14,884 292
Gentex* 20,159 513
GTECH Holdings* 14,946 488
Harte-Hanks 24,073 460
Hispanic Broadcasting* 28,772 594
International Speedway, Cl A* 13,110 525
Kelly Services, Cl A 9,986 215
Krispy Kreme Doughnuts* (A) 14,867 504
Lancaster Colony 8,405 322
Lear* (A) 17,380 615
Lee Enterprises 13,069 412
Lennar (A) 17,171 919
Macrovision* 12,788 154
Mandalay Resort Group* (A) 17,448 481
Media General, Cl A 5,983 295
Michaels Stores* (A) 17,835 446
Modine Manufacturing 8,871 133
Mohawk Industries* 17,566 842
Neiman Marcus Group* 12,683 368
Outback Steakhouse (A) 20,044 709
Park Place Entertainment* (A) 79,480 567
Payless ShoeSource* 15,118 236
PETsMART* (A) 36,808 464
Pier 1 Imports 24,554 390
Pittston 14,352 199
Reader's Digest Association, Cl A* 27,538 281
Ross Stores 20,320 735
</Table>
7
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Ruby Tuesday (A) 18,500 $ 377
Saks* 36,241 279
Scholastic* 11,237 302
Six Flags* (A) 27,104 152
Sotheby's Holdings, Cl A* 16,256 149
Superior Industries 7,324 267
Timberland, Cl A* (A) 9,857 412
Toll Brothers* 21,589 417
Unifi* 16,285 78
United Rentals* (A) 20,586 198
Washington Post, Cl B 2,374 1,617
Westwood One* 27,873 871
Williams-Sonoma* (A) 30,771 671
-----------
30,627
-----------
CONSUMER STAPLES - 4.3%
Church and Dwight 10,550 320
Constellation Brands, CI A* 21,206 481
Dean Foods* (A) 24,133 1,036
Dial 22,985 446
Dreyer's Grand Ice Cream (A) 9,233 640
Hormel Foods 36,607 776
Interstate Bakeries 11,831 125
Longs Drug Stores 10,176 153
PepsiAmericas 39,748 467
Ruddick 13,084 161
Sensient Technologies 12,536 251
Smithfield Foods* (A) 28,929 513
Smucker, JM 13,147 460
Tootsie Roll Industries 14,755 421
Tyson Foods, Cl A 92,993 721
Universal 8,174 308
Whole Foods Market* (A) 15,484 861
-----------
8,140
-----------
ENERGY - 9.0%
Cooper Cameron* (A) 14,370 711
ENSCO International 39,431 1,005
Equitable Resources 16,287 610
FMC Technologies* 17,294 332
Forest Oil* 13,874 309
Grant Prideco* (A) 31,991 386
Hanover Compressor* 18,687 121
Helmerich & Payne 13,233 339
Murphy Oil 22,440 991
National-Oilwell* (A) 22,278 499
Noble Energy 15,150 520
Ocean Energy 46,988 940
Patterson-UTI Energy* (A) 21,183 685
Peabody Energy 12,979 362
Pepco Holdings 43,178 751
Pioneer Natural Resources* (A) 31,020 779
Pogo Producing 17,198 684
Pride International* (A) 37,769 510
Smith International* (A) 26,854 946
Tidewater (A) 13,178 379
Valero Energy (A) 29,943 1,239
Varco International* 25,624 469
Weatherford International* (A) 34,410 1,300
Westar Energy 19,424 235
Western Gas Resources (A) 8,740 $ 285
Wisconsin Energy 30,719 780
XTO Energy (A) 47,009 894
-----------
17,061
-----------
FINANCIALS - 18.2%
Allmerica Financial 14,672 206
AMB Property 21,856 617
American Financial Group 18,876 375
AmeriCredit* (A) 40,915 135
Amerus Group 10,960 269
Arthur J. Gallagher 22,061 542
Associated Banc-Corp 19,717 637
Astoria Financial (A) 23,025 534
Bank of Hawaii 16,072 495
Banknorth Group 42,647 930
Brown & Brown 18,300 573
City National (A) 13,198 580
Colonial BancGroup 32,712 368
Commerce Bancorp (A) 17,852 709
Compass Bancshares 33,900 1,060
Dime Bancorp* 23,400 4
E*TRADE Group* (A) 101,548 428
Eaton Vance 18,290 489
Edwards A.G. (A) 19,931 515
Everest Re Group 13,453 769
Fidelity National Financial 25,265 863
First American 17,113 418
First Virginia Banks 18,961 744
FirstMerit 22,356 412
Greater Bay Bancorp (A) 13,621 195
GreenPoint Financial (A) 25,813 1,157
HCC Insurance Holdings (A) 16,475 421
Hibernia, Cl A 41,654 707
Horace Mann Educators (A) 11,703 154
Hospitality Properties Trust (REIT) 13,805 422
Independence Community Bank 15,126 400
IndyMac Bancorp 15,362 299
Investors Financial Services (A) 17,148 418
LaBranche (A) 15,735 289
Legg Mason (A) 17,131 835
Leucadia National 16,571 592
Liberty Property Trust (REIT) (A) 20,190 632
M & T Bank (A) 22,788 1,790
Mack-Cali Realty (REIT) 11,760 364
Mercantile Bankshares 16,945 575
MONY Group 12,716 266
National Commerce Financial 54,012 1,280
Neuberger Berman 18,452 521
New Plan Excel Realty Trust (REIT) (A) 25,818 506
New York Community Bancorp (A) 28,349 845
Ohio Casualty* 18,829 243
Old Republic International 31,885 853
PMI Group 23,874 610
Protective Life 18,161 518
Provident Financial Group (A) 14,019 298
Radian Group (A) 24,723 825
Roslyn Bancorp 21,940 394
SEI Investments 28,047 735
Silicon Valley Bancshares* (A) 10,292 187
</Table>
The accompanying notes are an integral part of the financial statements.
8
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Sovereign Bancorp (A) 73,392 $ 1,016
Stancorp Financial Group 7,878 406
TCF Financial 19,452 779
United Dominion Realty Trust (REIT) 25,000 399
Unitrin 18,044 418
Waddell & Reed Financial 21,231 373
Webster Financial 12,633 444
Westamerica Bancorporation (A) 9,229 364
Wilmington Trust 13,429 372
-----------
34,574
-----------
HEALTH CARE - 13.1%
AdvancePCS* (A) 23,829 675
Apogent Technologies* 28,359 413
Apria Healthcare Group* 15,708 367
Barr Laboratories* (A) 17,136 976
Beckman Coulter (A) 15,373 523
Charles River Laboratories
International* (A) 13,124 335
Community Health Systems* 25,210 517
Covance* (A) 16,814 389
Coventry Health Care* (A) 15,835 521
Cytec* 30,640 400
DENTSPLY International (A) 20,719 721
Edwards Lifesciences* (A) 15,881 435
Express Scripts* (A) 20,603 1,148
First Health Group* (A) 26,823 682
Gilead Sciences* (A) 52,019 2,185
Health Net* 32,744 877
Henry Schein* 11,632 525
Hillenbrand Industries 15,747 803
ICN Pharmaceuticals 18,166 162
IDEC Pharmaceuticals* (A) 40,467 1,393
IVAX* (A) 51,464 630
Lifepoint Hospitals* 10,444 262
Lincare Holdings* (A) 27,956 858
Millennium Pharmaceuticals* (A) 76,108 598
Mylan Laboratories 46,737 1,343
Omnicare 24,934 679
Oxford Health Plans* 22,184 674
PacifiCare Health Systems* 9,470 228
Patterson Dental* (A) 17,986 826
Perrigo 17,477 208
Pharmaceutical Resources* 8,670 368
Protein Design Labs* 25,798 191
Sepracor* (A) 22,255 301
SICOR* 30,964 517
STERIS* 18,653 488
Triad Hospitals* 19,754 532
Universal Health Services* 16,010 653
Varian* 7,672 219
Varian Medical Systems* 18,023 972
Vertex Pharmaceuticals* 20,201 225
VISX* 14,492 154
-----------
24,973
-----------
INDUSTRIALS - 12.4%
AGCO* (A) 22,316 359
Airborne (A) 12,911 253
Alaska Air Group* 7,661 120
Alexander & Baldwin 10,866 270
AMETEK 9,280 287
Banta 7,363 $ 217
Bisys Group* (A) 31,662 517
C. H. Robinson Worldwide 22,339 731
Career Education* (A) 12,168 595
Carlisle Companies 8,569 347
Ceridian* 39,257 549
Certegy* 17,567 443
CheckFree* (A) 20,858 469
ChoicePoint* (A) 22,430 760
CNF (A) 13,026 397
Corinthian Colleges* (A) 11,680 461
CSG Systems International* 13,641 118
DeVry* 18,502 345
Donaldson 10,814 396
DST Systems* (A) 31,613 860
Dun & Bradstreet* (A) 19,652 752
Dycom Industries* 12,663 131
Education Management* 9,945 396
EGL* 12,431 185
Energizer Holdings* 23,134 590
Expeditors International of Washington (A) 27,527 990
Fastenal (A) 20,068 565
Flowserve* 14,596 170
GATX (A) 10,229 148
Granite Construction 12,363 194
Harsco 10,714 327
HON Industries 15,590 445
Hubbell, Cl B 16,907 529
Hunt (J.B.) Transport Services* 10,384 280
IMC Global 30,401 293
Jacobs Engineering Group* (A) 14,506 610
Kennametal (A) 9,313 262
Korn Ferry International* 10,005 65
L-3 Communications Holdings* (A) 24,979 1,003
Manpower (A) 20,424 610
Miller Herman (A) 20,644 332
MPS Group* 30,615 160
Nordson 6,319 152
Overseas Shipholding Group 9,115 152
Pentair 12,583 445
Precision Castparts 13,945 333
Quanta Services* (A) 22,004 70
Republic Services* 43,305 859
Rollins 11,836 272
Sequa* 2,544 87
SPX* (A) 21,294 727
Swift Transportation* 22,123 354
Sylvan Learning Systems* 10,664 169
Tecumseh Products, Cl A 2,881 118
Teleflex 11,157 398
Trinity Industries (A) 12,138 209
Valassis Communications* 13,937 367
Viad 23,299 500
Wallace Computer Services 12,529 312
Werner Enterprises 16,858 325
York International 10,488 220
-----------
23,600
-----------
</Table>
9
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - 10.7%
3Com* 94,794 $ 467
Activision* (A) 17,498 253
Acxiom* (A) 23,590 397
ADTRAN* (A) 9,843 353
Advanced Fiber Communications* 22,223 336
Advent Software* 8,657 105
Affiliated Computer Services, Cl A* (A) 35,055 1,551
Arrow Electronics* (A) 26,420 388
Ascential Software* 67,761 190
Atmel* 123,137 197
Avnet (A) 31,583 331
Avocent* 11,924 278
Cabot Microelectronics* (A) 6,440 270
Cadence Design Systems* (A) 71,106 711
CommScope* 15,666 118
Credence Systems* 16,115 109
Cree* (A) 19,373 359
Cypress Semiconductor* 32,734 226
Diebold 17,452 593
Fair Isaac 12,130 617
Fairchild Semiconductor International, Cl A* (A) 30,928 323
Gartner Group, Cl B* 23,020 173
Harris (A) 15,896 441
Imation* (A) 8,485 316
InFocus* 4,453 21
Integrated Device Technology* 27,397 218
International Rectifier* (A) 17,213 338
Internet Security Systems* 13,094 130
Intersil, Cl A* 36,185 563
Investment Technology Group* 12,678 177
Jack Henry & Associates 23,192 246
Keane* 18,854 154
KEMET* 22,796 178
Lam Research* (A) 33,314 380
Lattice Semiconductor* 29,699 224
Legato Systems* 32,635 167
LTX* 13,055 65
Macromedia* 16,479 199
McDATA, Cl A* (A) 30,074 258
Mentor Graphics* (A) 17,611 158
Micrel* 25,755 237
Microchip Technology (A) 53,799 1,070
National Instruments* 13,510 477
Network Associates* (A) 41,373 571
Newport* 11,299 133
Overture Services* (A) 15,672 238
Plantronics* (A) 8,954 131
Plexus* 11,175 102
Polycom* 26,311 213
Powerwave Technologies* 17,449 59
Quantum* 45,674 165
Retek* (A) 14,938 86
Reynolds & Reynolds, Cl A 17,833 452
RF Micro Devices* (A) 48,271 291
RSA Security* 15,040 107
SanDisk* (A) 18,230 307
Semtech* 19,330 293
Storage Technology* 28,369 574
Sybase* 25,019 $ 324
Synopsys* (A) 19,618 835
Tech Data* (A) 13,346 320
Titan* 21,919 163
Transaction Systems Architects, Cl A* 9,961 59
TriQuint Semiconductor* 37,224 105
Vishay Intertechnology* (A) 42,237 430
Wind River Systems* 20,930 62
-----------
20,382
-----------
MATERIALS - 3.9%
Airgas* 19,042 352
AK Steel Holdings* 28,532 93
Albemarle 11,023 269
Arch Coal 13,704 261
Bandag 5,175 161
Bowater (A) 14,615 543
Cabot Industrial 16,294 389
Carpenter Technology 5,112 52
Crompton 30,091 122
Cytec Industries* 10,913 304
Ferro 10,690 229
FMC* 9,274 145
Glatfelter 6,132 65
Longview Fibre 13,505 90
Lubrizol 13,609 409
Lyondell Chemical 39,740 556
Martin Marietta Materials 13,758 380
Minerals Technologies 5,333 203
Olin 12,195 222
Packaging Corporation of America* 29,350 529
Potlatch 7,268 141
Rayonier 7,624 336
RPM (A) 30,572 321
Solutia 29,420 46
Sonoco Products 23,557 493
Valspar 13,324 546
Wausau-Mosinee Paper 14,480 148
-----------
7,405
-----------
TELECOMMUNICATION SERVICES - 0.5%
Broadwing* 57,883 232
Price Communications* 14,429 173
Telephone & Data Systems 14,617 598
-----------
1,003
-----------
UTILITIES - 5.3%
AGL Resources 17,507 414
ALLETE 19,617 407
Alliant Energy 24,245 390
Aquila* 51,035 106
Black Hills 7,067 194
DPL 33,453 417
DQE 16,830 204
Energy East 38,342 683
Great Plains Energy 14,583 348
Hawaiian Electric Industries 9,684 395
IDACORP 6,382 146
MDU Resources Group 18,959 529
National Fuel Gas (A) 21,313 466
Northeast Utilities 38,140 531
NSTAR (A) 14,021 561
</Table>
The accompanying notes are an integral part of the financial statements.
10
<Page>
<Table>
<Caption>
PAR (000)/
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
OGE Energy 15,401 $ 277
Oneok 21,379 392
Philadelphia Suburban 14,430 317
PNM Resources 11,403 256
Puget Energy 24,517 523
Questar 21,664 641
SCANA 25,658 768
Sierra Pacific Resources* (A) 30,304 96
Vectren 17,930 386
WGL Holdings 12,852 340
WPS Resources 8,437 338
-----------
10,125
-----------
TOTAL COMMON STOCKS 177,890
-----------
U.S. TREASURY OBLIGATION - 0.2%
U.S. Treasury Bill
1.290%, 6/05/03 (B) $ 400 399
-----------
TOTAL U.S. TREASURY OBLIGATION
(Cost $399) 399
-----------
RELATED PARTY MONEY MARKET FUND - 0.1%
First American Prime Obligations Fund, Cl Y (C)
(Cost $295) 295,322 295
-----------
TOTAL RELATED PARTY MONEY MARKET FUND 295
INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING - 35.5%
COMMERCIAL PAPER - 5.1%
CS First Boston
1.638%, 12/01/03 1,184 1,184
Danske Bank
1.508%, 12/22/03 1,184 1,184
Goldman Sachs
1.518%, 08/28/03 1,538 1,538
Morgan Stanley
1.518%, 06/17/03 592 592
1.518%, 07/08/03 426 426
1.518%, 09/22/03 592 592
Orchard Park
1.475%, 01/06/04 1,183 1,183
UBS Financial
1.390%, 04/01/03 2,958 2,958
-----------
TOTAL COMMERCIAL PAPER 9,657
-----------
CORPORATE OBLIGATIONS - 3.9%
CS First Boston
1.760%, 04/11/03 1,184 1,184
Deutsche Bank
1.470%, 04/11/03 592 592
1.580%, 12/11/03 473 473
General Electric Capital Corporation
1.355%, 07/09/07 592 592
Merrill Lynch
1.538%, 05/05/03 1,006 1,006
Monet Trust
1.360%, 12/28/03 1,184 1,184
SMM Trust 2002-M
1.450%, 09/23/03 1,184 1,184
URI Trust
1.460%, 09/18/03 1,184 1,184
-----------
TOTAL CORPORATE OBLIGATIONS 7,399
-----------
MONEY MARKET FUNDS - 3.3%
AIM Liquid Assets Portfolio 2,011,871 $ 2,012
Dreyfus Cash Manage Plus Fund 118,345 118
Evergreen Institutional Money Market Fund 414,209 414
HSBC Investor Money Market Fund - Cl I 355,036 355
Merrill Lynch Premier Institutional Fund 2,292,174 2,292
Merrimac Cash Series Fund 355,036 355
One Group Institutional Prime
Money Market Fund 710,072 710
Reserve Primary Fund 59,173 59
-----------
TOTAL MONEY MARKET FUNDS 6,315
-----------
OTHER SHORT-TERM INVESTMENTS - 3.2%
Allied Irish Bank
1.340%, 05/09/03 $ 592 592
1.330%, 06/02/03 1,183 1,183
Commonwealth Life
1.678%, 04/01/03 598 598
General Electric Capital Assurance
1.370%, 12/19/03 237 237
Premium Asset Trust 02-7
1.060%, 08/23/03 754 754
Security Life Denver
1.381%, 01/13/04 1,538 1,538
1.490%, 03/15/04 1,183 1,183
-----------
TOTAL OTHER SHORT-TERM INVESTMENTS 6,085
-----------
REPURCHASE AGREEMENTS - 20.0%
Bear Stearns
1.420%, 04/10/03 2,367 2,367
CS First Boston
1.370%, 04/01/03 2,367 2,367
1.380%, 04/01/03 367 367
1.380%, 04/01/03 2,959 2,959
Goldman Sachs
1.520%, 04/01/03 1,775 1,775
1.420%, 04/07/03 1,183 1,183
1.360%, 06/10/03 592 592
1.400%, 06/11/03 592 592
Greenwich Capital Markets
1.430%, 04/01/03 3,550 3,550
Lehman Brothers
1.560%, 04/01/03 1,183 1,183
1.640%, 04/01/03 887 887
1.640%, 04/01/03 3,846 3,846
Merrill Lynch
1.360%, 04/01/03 3,550 3,550
1.500%, 04/01/03 1,775 1,775
1.560%, 04/01/03 1,479 1,479
1.560%, 04/01/03 2,367 2,367
</Table>
11
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------
Morgan Stanley
1.470%, 04/01/03 $ 1,775 $ 1,775
1.510%, 04/01/03 3,681 3,681
Salomon Smith Barney
1.540%, 04/01/03 1,775 1,775
-----------
TOTAL REPURCHASE AGREEMENTS 38,070
-----------
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING
(Cost $67,526) 67,526
-----------
TOTAL INVESTMENTS - 129.3%
(Cost $293,604) 246,110
-----------
OTHER ASSETS AND LIABILITIES, NET - (29.3)% (55,769)
-----------
TOTAL NET ASSETS - 100.0% $ 190,341
-----------
</Table>
* Non-income producing security
(A) This security or a portion of this security is out on loan at March 31,
2003. Total loaned securities had a value of $67,525,949 at March 31, 2003.
See note 2 in Notes to Financial Statements.
(B) Security has been deposited as intial margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 7 in Notes to
Financial Statements.
(C) This money market fund is advised by U.S. Bancorp Asset Management, Inc.,
which also serves as advisor for this Fund. See note 3 in Notes to
Financial Statements.
Cl - Class
REIT - Real Estate Investment Trust
SMALL CAP INDEX FUND
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
COMMON STOCKS - 90.9%
CONSUMER DISCRETIONARY - 11.9%
1-800 Flowers* 1,845 $ 12
4Kids Entertainment* 1,369 16
A.C. Moore Arts & Crafts* 1,946 27
Aaron Rents 2,039 42
Action Performance 2,244 47
Advanced Marketing Services 2,237 25
ADVO* 2,724 90
Aeropostale* 1,803 24
AFC Enterprises* 1,896 26
Alliance Gaming* 6,739 101
Ambassadors Group* 676 8
AMC Entertainment* 4,235 37
Ameristar Casinos* 1,490 16
ANC Rental* (B) 11,900 --
AnnTaylor Stores* (A) 6,339 130
APAC Customer Service* 4,319 10
Applica* 2,333 11
Applied Industrial Technology 2,501 42
Arctic Cat 2,264 35
Arden Group, Cl A* 18 1
Argosy Gaming* 3,591 72
Asbury Automotive Group* 1,294 10
Ascent Media Group* 3,021 4
Aztar* 4,933 66
Bally Total Fitness Holding* (A) 4,835 25
Bassett Furniture 1,448 15
Beasley Broadcast Group* 839 8
Beazer Homes USA* (A) 1,798 106
Bebe Stores* 692 8
Benihana* 696 7
Blair 1,115 26
Blyth 4,655 118
Bob Evans Farms 5,040 121
Boca Resorts, Cl A* 3,564 39
Bombay Company* 5,149 28
Boyd Gaming* 4,476 57
Boyds Collection Limited* 3,382 18
Bridgford Foods 172 1
BriteSmile* 118 1
Brookstone* 1,169 19
Brown Shoe 2,706 73
Buca* 2,365 13
Buckle* 1,041 18
Building Materials Holding 2,157 29
Burlington Coat Factory 2,061 34
Bush Industries, Cl A* 1,201 2
Cache* 370 4
California Pizza Kitchen* 2,178 50
Carmike Cinemas* 322 6
Cato 2,107 40
Champion Enterprise* 7,029 13
Champps Entertainment* 1,191 10
Charlotte Russe Holding* 1,081 9
Charming Shoppes* 17,120 60
Checkers Drive-in Restaurants* 1,101 6
Cherokee* 1,034 16
Chicago Pizza & Brewery* 1,563 11
</Table>
The accompanying notes are an integral part of the financial statements.
12
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Children's Place Retail Stores* 1,647 $ 15
Christopher & Banks* 3,385 60
Churchill Downs 867 29
CKE Restaurants* 8,935 39
Claire's Stores 6,100 144
Coachmen Industries 2,225 24
Coldwater Creek* 1,029 10
Cole National* 1,405 13
Concord Camera* 3,916 20
Cost Plus* 2,787 73
Courier 532 26
Cross Country* 4,649 53
Cross Media Marketing* (A) 1,203 --
Crown Media Holdings, Cl A* 3,925 11
CSK Auto* 4,108 37
CSS Industries 482 16
Dave & Busters* 1,766 16
Deb Shops 633 12
dELiA*s* 4,947 2
Department 56* 1,590 16
Dover Downs Gaming & Entertainment 511 5
Dover Motorsports 2,096 7
Dress Barn* 4,012 54
Dura Automotive Systems* 2,636 15
Electronics Boutique & Holdings* 1,544 26
Exult* 6,818 50
Factory 2-U Stores* 1,866 8
FAO* 2,653 1
Federal Signal 6,184 88
Finish Line, Cl A* 2,712 41
Finlay Enterprises* 967 12
Fisher Communications* 736 33
Foamex International* 4,243 5
Footstar* 2,899 24
Fossil* 2,891 50
Fred's 3,123 87
Friedman's 2,386 23
Gaiam* 648 3
Galyan's Trading* (A) 1,645 21
Gart Sports* 1,031 20
Gaylord Entertainment* 3,177 57
Genesco* 2,894 41
Goody's Family Clothing* 2,280 9
Great Atlantic & Pacific Tea* 1,477 6
Grey Global Group 87 54
Group 1 Automotive* 2,704 58
Guess?* 1,788 6
Guitar Center* 1,970 40
Gymboree* 2,990 45
Hall Kinion and Associates* 1,758 3
Hancock Fabrics 2,564 36
Handleman* 3,578 53
Haverty Furniture 2,394 26
Hibbett Sporting Goods* 1,078 27
Hollywood Entertainment* 7,611 122
Hot Topic* 4,550 106
Hovnanian Enterprises* 2,161 75
Hughes Supply 3,437 80
iDine Rewards Network* 2,449 18
IHOP 3,058 $ 69
IMPCO Technologies* 1,548 3
Information Holdings* 1,469 24
Ingles Markets, Cl A 723 7
Insight Communications* 5,950 71
Insight Enterprises* 5,909 42
InterTAN* 3,074 14
Isle of Capri Casinos* 2,089 24
J & J Snack Foods* 979 30
J. Jill Group* 2,597 30
Jack in the Box* 5,315 96
JAKKS Pacific* 3,651 38
Jo-Ann Stores, Cl A* (A) 2,061 41
Johnson Outdoors, Cl A* 597 5
Journal Register* 4,236 65
K2* 2,582 20
Kellwood 3,649 106
Kelly Services, Cl A 2,558 55
Kenneth Cole Productions* 1,248 27
Kimball International 4,877 68
Kmart* (A) 75,781 8
K-Swiss, Cl A 1,694 43
Landry's Restaurants 3,164 53
Libbey 2,139 53
Liberty 2,053 90
Linens 'N Things* 5,217 106
Lithia Motors* 1,571 19
LodgeNet Entertainment* 1,702 14
Lone Star Steakhouse & Saloon 2,443 52
Luby's* 2,947 4
M/I Schottenstein Homes 2,103 60
Macrovision* 5,829 70
Magna Entertainment* 6,375 27
Marcus 2,838 39
MarineMax* 1,132 10
Martha Stewart Living* 1,441 12
Marvel Enterprises* 2,457 34
Matthews International, Cl A 3,948 91
Maxwell Shoe* 2,084 23
MDC Holdings 2,788 107
Men's Wearhouse* (A) 4,438 66
Meritage* 1,506 50
Midas* 796 6
Midway Games* (A) 4,218 14
Modine Manufacturing 4,087 61
Monaco Coach* 3,439 36
Mossimo* 1,069 5
Mothers Work* (A) 348 8
Movado Group 1,334 25
Movie Gallery* 2,497 43
MTR Gaming Group* 3,407 23
Multimedia Games* 1,472 28
Nautica Enterprises* 3,621 35
Nautilus Group (A) 3,989 57
Netflix* 917 19
Oakley* 3,869 32
OfficeMax* 16,599 85
Oneida 2,269 24
OshKosh B' Gosh, Cl A 1,482 39
</Table>
13
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
O'Charley's* 2,520 $ 48
Overstock.com* 466 5
Oxford Industries 840 21
P. F. Chang's China Bistro* 2,324 86
Pacific Sunwear of California* 6,510 132
Palm Harbor Homes* 2,794 39
Panera Bread, Cl A* (A) 3,308 101
Papa John's International* (A) 2,053 51
ParkerVision* (A) 1,323 7
Party City* 1,057 8
Paxson Communications* 4,526 10
Payless ShoeSource* 9,147 143
PC Connection* 1,155 6
Penn National Gaming* 4,379 78
Penn Traffic* 1,488 2
Penton Media* 3,282 2
Pep Boys - Manny Moe & Jack 6,920 53
Phillips Van-Heusen 3,645 45
Pinnacle Entertainment* 3,470 17
Playboy Enterprises* (A) 2,092 18
Pomeroy Computer Resources* 1,432 10
Priceline.com* (A) 18,241 30
PriceSmart* 661 10
Prime Hospitality* 5,265 27
Private Media Group* 2,076 2
Pulitzer 1,287 56
Quaker Fabric 1,966 11
Quicksilver* 2,807 86
R.H. Donnelley* 3,951 117
Racing Champions Ertl* 1,221 19
RARE Hospitality International* 3,078 86
Regent Communication* 4,495 21
Rent-Way* 4,239 15
Restoration Hardware* 2,903 7
Rex Stores* 1,401 14
Russ Berrie and Company 1,031 33
Russell 3,496 61
Ryan's Family Steak Houses* 6,392 67
Saga Communications* 2,327 40
Salem Communications* 1,446 24
Salton* (A) 1,475 15
Sauer-Danfoss 1,515 12
School Specialty* (A) 2,301 41
Scientific Games* 6,591 36
SCP Pool* 2,585 77
Sharper Image* 1,170 21
Shoe Carnival* 1,040 16
Shopko* 3,667 43
Shuffle Master* (A) 2,569 52
Sinclair Broadcast Group, Cl A* 4,439 35
SITEL* 9,146 10
Skechers USA* 2,657 17
Skyline 941 25
Sonic* 5,244 134
Sotheby's Holdings, Cl A 6,473 59
SOURCECORP* 2,264 32
Spanish Broadcasting System* 5,592 34
Speedway Motorsports 1,949 46
Sports Authority* 4,720 33
Sports Resorts International* (A) 3,512 $ 18
Stage Stores* 2,486 53
Stamps.com* 5,052 21
Standard Motor Products 854 9
Standard Pacific (A) 5,044 129
Stanley Furniture 1,035 22
Station Casinos* (A) 4,970 105
Steak 'N Shake* 3,644 33
Stein Mart* 3,269 17
Steinway Musical Instruments* 600 9
Steven Madden* 1,528 24
Stoneridge* 1,854 18
Stride Rite 6,167 52
Sturm, Ruger & Company 1,560 14
Summit American Television* 5,079 12
Superior Industries 2,776 101
Tasty Baking 143 1
TBC* 2,739 38
The Wet Seal, Cl A* 3,683 27
Thor Industries 2,204 55
TiVo* (A) 2,842 15
Too* 4,577 76
Toro 1,780 125
Tower Automotive* 8,875 21
Tractor Supply* 1,967 65
Trans World Entertainment* 2,730 6
Triarc* 1,889 53
Tropical Sportswear International* 816 4
Tuesday Morning* 1,373 27
Tupperware 6,727 93
Tweeter Home Entertainment* 2,782 13
Ultimate Electronics* 1,581 13
Unifi* 8,019 39
United Auto Group* 2,431 29
Universal Electronics* 2,312 22
Urban Outfitters* 1,064 24
Vail Resorts* 1,171 13
ValueVision International* 2,756 28
Vans* 2,656 11
Wabtec 4,126 48
Wackenhut Corrections 1,498 15
WCI Communities* 1,708 18
Weis Markets 1,195 37
Wellman 4,590 43
WESCO International* 2,033 7
West Marine* 1,704 29
WestPoint Stevens* (A) 5,025 2
Whitehall Jewelers* 1,794 15
Wilsons The Leather Experts* 2,018 8
Winnebago Industries (A) 1,731 47
WMS Industries* 3,157 40
Wolverine World Wide 5,990 100
World Wrestling* 1,440 11
Wyndham International* 23,050 5
XM Satellite Radio Holdings* (A) 7,813 46
Yankee Candle* 3,906 67
-----------
10,619
-----------
</Table>
The accompanying notes are an integral part of the financial statements.
14
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
CONSUMER STAPLES - 2.9%
7-Eleven* 3,671 $ 26
Alico 273 7
American Italian Pasta* (A) 2,386 103
Aurora Foods* 3,665 1
Cadiz* 5,567 1
Casey's General Stores 5,613 67
Chiquita Brands International* 5,175 57
Coca-Cola Bottling 126 6
Corn Products International 4,865 142
Del Monte Foods* 5,229 39
Delta & Pine Land 5,297 120
DIMON 7,452 43
Duane Reade* (A) 3,128 40
Elizabeth Arden* 1,917 19
Farmer Brothers 132 41
Fleming Companies (A) 6,676 3
Flowers Foods 3,184 87
Green Mountain Coffee* 544 10
Hain Celestial Group* 3,384 51
Horizon Organic Holding* 1,047 14
International Multifoods* 2,276 44
Interstate Bakeries 6,284 66
Lance 3,500 28
Longs Drug Stores 4,443 67
Mondavi Robert, Cl A* 782 16
Monterey Pasta* 2,204 7
Nash-Finch 1,724 15
National Beverage* 581 8
Natures Sunshine Product 530 5
NBTY* (A) 5,903 112
Nu Skin Enterprises 6,376 64
Pathmark Stores* 4,154 28
Peets Coffee & Tea* 1,407 23
Pilgrims Pride 2,591 21
Playtex Products* 4,177 34
Ralcorp Holdings* 4,324 113
Regis 6,237 155
Revlon* (A) 803 2
Riviana Foods 733 17
Ruddick 4,517 56
Sanderson Farms 867 17
Schweitzer-Mauduit International 2,198 49
Seaboard 48 10
Sensient Technologies 6,280 126
Smart & Final* 1,700 6
Smucker, JM 6,409 224
Standard Commercial 2,047 32
Tejon Ranch* 1,008 27
Topps* 6,019 51
United Natural Foods* (A) 2,749 70
Universal 4,136 156
Vector Group 3,575 39
Wild Oats* 3,042 28
-----------
2,593
-----------
ENERGY - 4.2%
3TEC Energy* 2,255 34
Atwood Oceanics* 1,294 33
Berry Petroleum, Cl A 2,580 $ 39
Cabot Oil & Gas 3,997 96
Cal Dive International* (A) 4,935 89
Carbo Ceramics 932 31
Chesapeake Energy (A) 20,443 161
Comstock Resources* 3,714 38
Denbury Resources* 3,989 43
Dril-Quip* (A) 920 13
Encore Acquisition* 1,271 23
Energy Partners* 2,877 29
EnergySouth 437 12
Evergreen Resources* (A) 2,737 124
Exploration Company of Delaware* 2,536 8
Frontier Oil (A) 3,764 64
Global Industries* 9,599 45
Grey Wolf* (A) 24,113 95
Gulf Island Fabrication* 1,005 18
GulfMark Offshore* 1,934 26
Hanover Compressor* 6,956 45
Harvest Natural Resources* 6,005 29
Holly (A) 1,327 38
Horizon Offshore* 2,939 10
Hydril* 1,703 43
Input/Output* 6,518 23
Key Energy Services* (A) 16,187 163
Lone Star Technologies* 4,111 87
Lufkin Industries 309 6
Magnum Hunter Resources* 6,980 39
Magnum Hunter Resources Warrant* 1,160 --
Massey Energy 9,044 85
Maverick Tube* 5,423 101
Meridian Resource* 4,559 5
MGE Energy 1,849 49
Michael Baker* 787 7
Newpark Resources* 10,358 47
NS Group* 2,473 19
Nuevo Energy* 2,756 37
Oceaneering International* 3,316 72
Offshore Logistics* 2,686 48
Oil States International* 2,451 29
Parker Drilling* 11,198 27
Patina Oil & Gas 3,448 113
Penn Virginia 1,121 43
Petroleum Helicopters* 55 1
PetroQuest Energy* 4,389 7
Plains Exploration & Production* (A) 3,818 31
Plains Resources* 2,718 29
Prima Energy* 1,492 28
Quicksilver Resources* 1,632 39
Range Resources* 8,135 46
Remington Oil & Gas* 3,288 56
Resource America, Cl A 2,159 17
RPC 1,529 14
Seacor Smit* 2,505 88
Spinnaker Exploration* 3,364 65
St. Mary Land & Exploration 4,016 101
Stone Energy* 3,078 103
Superior Energy Services* 7,008 60
Swift Energy* 3,548 30
</Table>
15
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Syntroleum* 2,659 $ 7
Tesoro Petroleum* (A) 9,315 69
Tetra Technologies* (A) 1,319 30
The Houston Exploration* 1,531 41
Tom Brown* 4,821 117
TransMontaigne* 2,547 11
Trico Marine Services* 3,576 9
Unit* 5,675 115
Universal Compression Holdings* 2,373 41
Veritas DGC* 4,472 30
Vintage Petroleum 7,003 67
Westar Energy 7,083 86
Western Gas Resources (A) 2,399 78
Westport Resources* 2,307 46
W-H Energy Services* 3,335 57
World Fuel Services 818 17
-----------
3,722
-----------
FINANCIALS - 21.2%
1st Source 2,233 29
ABC Bancorp 1,248 17
Acadia Realty Trust (REIT) 1,930 15
Actrade Financial Technologies* (A) 1,449 1
Advanta, Cl B 3,188 24
Alabama National 1,404 58
Alexander's* 484 31
Alexandria Real Estate Equities 2,567 108
Alfa 5,026 58
Allegiant Bancorp 1,940 33
AMCORE Financial 3,537 77
American Capital Strategies (A) 5,427 122
American Home Mortgage Holdings 1,350 14
American Medical Security Group* 1,090 14
American National Bankshares 623 15
American Physicians Capital* 1,353 29
Ameritrade Holding* (A) 13,258 66
Amli Residential Properties Trust 1,928 41
Anchor Bancorp 3,041 67
Anthracite Capital (REIT) 6,632 76
Anworth Mortgage Asset 3,495 46
Apex Mortgage Capital 5,807 35
Argonaut Group 3,305 28
Arrow Financial 910 26
Associated Estates Realty (REIT) 2,345 13
Avatar Holdings* 615 16
Baldwin & Lyons 1,093 22
Banc 2,013 10
BancFirst 558 25
Bank Mutual 1,903 48
Bank of Granite 1,940 32
Bank of the Ozarks 692 19
BankAtlantic Bancorp 6,889 67
Banknorth Group 1,301 28
Bankunited Financial* 3,794 67
Banner 1,670 26
Bay View Capital* 9,660 53
Bedford Property Investors (REIT) 2,181 57
Berkshire Hills Bancorp 837 19
BKF Capital Group* 846 14
Boston Private Financial Holdings 2,930 44
BostonFed Bancorp 623 $ 14
Boykin Lodging (REIT) 2,486 18
Brandywine Realty Trust (REIT) 3,909 86
Brookline Bancorp 8,450 106
Bryn Mawr Bank 139 5
BSB Bancorp 1,243 27
California First National Bancorp 76 1
Camden National 1,213 31
Capital Automotive (REIT) 3,078 77
Capital City Bank Group 988 39
Capitol Bancorp 1,290 27
Capstead Mortgage 1,400 16
Cascade Bancorp 1,801 26
Cash America International 2,656 25
Cathay Bancorp 2,225 87
CB Bancshares 426 21
CBL & Associates Properties (REIT) 2,920 119
CCBT Financial 1,239 27
Central Coast Bancorp* 1,223 19
Century Bancorp, Cl A 416 11
CFS Bancorp 1,788 25
Charter Financial 619 19
Charter Mutual 5,101 90
Chateau Communities (REIT) 3,065 58
Chelsea Property Group (REIT) 4,033 150
Chemical Financial 3,415 91
Chittenden 5,433 142
Citizens* 3,261 20
Citizens First Bancorp 1,291 25
City Bank 1,147 26
City Holdings 2,435 67
Clark Bardes Holdings* 2,042 24
CNA Surety* 2,136 17
Coastal Bancorp 545 16
Coastal Financial 1,201 14
Cobiz 1,140 16
Colonial Properties Trust (REIT) 1,994 66
Columbia Bancorp 829 20
Columbia Banking System* 1,915 26
Commerce Group 3,538 121
Commercial Federal 6,534 142
Commercial Net Lease Realty (REIT) 5,280 80
Community Bank System 1,673 53
Community Banks 1,187 35
Community First Bankshares 5,116 131
Community Trust Bancorp 1,817 46
CompuCredit* 2,767 17
Connecticut Bancshares 1,618 67
Cornerstone Realty Income Trust (REIT) 6,917 48
Corporate Office Properties Trust (REIT) 3,014 45
Correctional Properties Trust (REIT) 812 17
Corrections Corporation of America* 4,044 71
Corus Bankshares 1,275 51
CPB 2,036 52
Crawford & Company 3,825 16
Credit Acceptance* 2,010 10
Crown American Realty Trust (REIT) 3,541 35
CVB Financial 4,748 92
Delphi Financial Group 1,940 76
</Table>
The accompanying notes are an integral part of the financial statements.
16
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Developers Diversified Realty (REIT) 2,598 $ 63
Dime Community Bancshares 3,221 74
DVI* 1,946 17
East West Bancorp 3,402 105
EastGroup Properties (REIT) 2,120 54
Elan Rights* 6,919 --
EMC Insurance Group 295 6
Entertainment Properties Trust (REIT) 2,466 65
Equity Inns (REIT) 5,831 34
Equity One (REIT) (A) 5,402 83
eSPEED, Cl A* 3,242 38
Essex Property Trust (REIT) 1,657 87
Euronet Worldwide* 2,056 16
F&M Bancorp 1,525 67
F.N.B 334 9
Farmers Capital Bank 363 12
FBL Financial Group, Cl A 1,643 32
Federal Agricultural Mortgage, Cl C* 1,144 25
Federal Realty Investment Trust (REIT) 5,559 169
FelCor Lodging Trust (REIT) 7,106 44
Fidelity Bankshares 2,281 42
Fidelity National Information Solutions* 2,088 37
Financial Federal* 1,735 33
Financial Industries 1,182 17
Financial Institutions 1,120 22
First Bancorp North Carolina 1,046 26
First Bank - Puerto Rico 4,799 129
First Busey 1,116 26
First Charter 4,446 78
First Citizens Bancshares 659 62
First Commonwealth Financial 8,462 99
First Community Bancorp 1,143 33
First Community Bancshares 1,352 45
First Defiance Financial 684 13
First Essex Bancorp 1,007 31
First Federal Capital 2,476 50
First Financial 1,054 50
First Financial Bancorp 5,199 82
First Financial Bankshares 1,780 63
First Financial Holdings 2,195 54
First Indiana 1,737 27
First Merchants 2,135 49
First National 1,101 28
First Niagara Financial Group 3,471 41
First Oak Brook Bancshares 630 19
First Place Financial 1,843 28
First Republic Bank* 1,489 32
First Sentinel Bancorp 3,574 49
First South Bancorp 323 11
First State Bancorporation 852 18
FirstFed American Bancorp 1,053 29
FirstFed Financial* 2,992 90
Flagstar Bancorp 2,457 65
Flushing Financial 1,661 29
FPIC Insurance Group* 1,268 9
Franklin Financial 428 12
Fremont General 8,416 58
Friedman, Billings, Ramsey Group* (A) 13,374 121
Frontier Financial 2,351 58
Gabelli Asset Management* 926 $ 26
Gables Residential Trust (REIT) 3,462 93
GBC Bancorp of California 1,228 30
German American 1,240 22
Getty Realty (REIT) 2,127 40
Glacier Bancorp 2,513 67
Gladstone Capital 1,347 22
Glenborough Realty Trust (REIT) 1,183 18
Glimcher Realty Trust (REIT) 4,074 78
Gold Banc 4,862 39
Great American Financial Resources 1,020 15
Great Lakes (REIT) 2,118 30
Great Southern Bancorp 819 30
Hancock Holding 1,895 82
Hanmi Financial* 1,470 25
Harbor Florida Bancshares 3,067 72
Harleysville Group 4,269 107
Harleysville National 2,760 67
Hawthorne Financial* 1,100 33
Health Care (REIT) 4,819 126
Healthcare Realty Trust (REIT) 5,325 130
Heritage Property Investment Trust (REIT) 2,596 65
Hilb, Rogal & Hamilton 4,345 136
Home Properties of New York (A) 3,757 125
Horace Mann Educators (A) 5,368 70
HRPT Properties Trust (REIT) 16,011 136
Hudson River 2,197 50
Humboldt Bancorp 1,828 23
IBERIABANK 863 35
IMPAC Mortgage Holdings (REIT) 7,234 94
Independence Holdings 532 10
Independent Bank 1,736 35
Independent Bank - Michigan 2,664 54
Innkeepers USA Trust (REIT) 3,631 24
Insignia Financial Group* 2,945 32
Integra Bank 2,272 39
Interchange Financial Services 1,112 19
International Bancshares 3,243 126
Investors Real Estate Trust (REIT) 4,581 43
Irwin Financial 2,415 47
ITLA Capital* 834 28
Jefferies Group 2,784 100
Jones Lang LaSalle* 4,364 60
Kansas City Life Insurance 540 23
Keystone Property Trust (REIT) 2,135 37
Kilroy Realty 2,610 58
Knight Trading Group* 11,744 46
Koger Equity (REIT) 2,752 42
Kramont Realty Trust 2,654 40
La Quinta (REIT)* 19,826 60
Lakeland Bancorp 1,736 28
Lakeland Financial 722 18
LandAmerica Financial Group 2,672 106
Lasalle Hotel Properties (REIT) 2,424 29
Lendingtree* (A) 1,076 13
Lexington Corporate Properties Trust (REIT) 3,702 63
LNR Property 3,232 109
Local Financial* 3,572 52
LSB Bancshares 1,085 17
</Table>
17
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
LTC Properties (REIT) 2,031 $ 13
Macatawa Bank 844 18
Macerich (REIT) 4,774 151
MAF Bancorp 2,743 92
Main Street Banks 1,635 30
MainSource Financial Group 560 13
Manufactured Home Communities (REIT) 1,783 53
MASSBANK 11 --
MB Financial 1,633 58
MCG Capital 3,091 31
Merchants Bancshares 297 7
MeriStar Hospitality (REIT) 5,880 20
Metris (A) 5,247 12
MFA Mortgage Investments (REIT) 4,863 42
Mid-America Apartment Communities (REIT) 2,025 48
Mid-Atlantic Realty Trust (REIT) 2,471 45
Midland 1,336 24
Mid-State Bancshares 3,474 58
Midwest Banc Holdings 1,491 27
Mills (REIT) 3,240 101
Mission West Properties (REIT) 1,840 17
Nara Bancorp 980 12
NASB Financial 569 13
National Health Investors (REIT)* 3,337 51
National Health Realty (REIT) 140 2
National Penn Bancshares 2,178 59
National Western Life Insurance, Cl A* 433 41
Nationwide Health Properties (REIT) 6,767 87
Navigators Group* 662 17
NBC Capital 426 10
NBT Bancorp 4,315 75
NetB@nk 7,237 67
New Century Financial 2,268 71
Northwest Bancorp 1,592 26
Novastar Financial (REIT) 1,119 38
NYMAGIC* 242 5
Oceanfirst Financial 1,582 34
Ocwen Financial* 5,724 17
Odyssey Re Holdings 2,614 47
Ohio Casualty* 7,329 95
Old Second Bancorp 997 38
Omega Financial 728 25
OMEGA Healthcare Investors (REIT)* 3,078 7
Oriental Financial Group 1,976 43
Pacific Capital Bancorp 5,042 149
Pacific Northwest Bancorp 2,218 62
Pacific Union Bank* 1,767 20
Pan Pacific Retail Properties (REIT) (A) 5,311 201
Parkvale Financial 176 4
Parkway Properties (REIT) 1,125 42
Partners Trust Financial Group 1,004 17
Peapack-Gladstone Financial 868 22
PennFed Financial Services 766 20
PennRock Financial Services 1,058 30
Pennsylvania (REIT) 1,928 55
Peoples Bancorp 1,221 28
Peoples Holding Company 753 32
PFF Bancorp 1,629 52
Philadelphia Consolidated Holding* 2,426 87
Pico Holdings* 939 $ 12
PMA Capital 4,049 27
Port Financial 672 32
Post Properties (REIT) 3,976 96
Prentiss Properties Trust (REIT) 4,345 118
Presidential Life 3,095 19
Price Legacy (REIT)* 2,664 7
PrivateBancorp 892 20
Proassurance* 3,467 82
Prosperity Bancshares 1,846 31
Provident Bancorp 405 13
Provident Bankshares 3,441 79
PS Business Parks (REIT) 1,437 43
Quaker City Bancorp* 904 31
R&G Financial 2,423 53
RAIT Investment Trust (REIT) 2,528 57
Ramco-Gershenson Properties Trust (REIT) 953 21
Realty Income (REIT) 4,678 167
Redwood Trust (REIT) (A) 1,782 58
Republic Bancorp 7,548 89
Republic Bancorp, Cl A 1,265 15
Republic Bancshares 758 15
RFS Hotel Investors 4,101 40
Riggs National 2,166 31
RLI 1,900 51
Royal Bancshares of Pennsylvania, Cl A 603 12
S Y Bancorp 743 27
S&T Bancorp 3,868 99
Sandy Spring Bancorp 2,094 68
Santander Bancorp 736 10
Saul Centers (REIT) 1,903 44
Saxon Capital* 4,046 54
Seacoast Banking 1,498 29
Seacoast Financial Services 3,499 64
Second Bancorp 1,316 29
Selective Insurance Group 3,971 97
Senior Housing Properties Trust (REIT) 6,427 74
Shurgard Storage Centers 4,184 130
Simmons First National, Cl A 990 36
Sizeler Property Investors (REIT) 40 --
SL Green Realty 3,803 116
SoundView Technology Group* 10,795 14
South Financial Group 6,449 140
Southwest Bancorp 582 13
Southwest Bancorp of Texas* 4,071 122
Sovran Self Storage 1,708 49
St. Francis Capital 1,065 24
State Auto Financial 1,965 33
State Bancorp 268 5
Staten Island Bancorp 7,954 119
Sterling Bancorp 1,545 38
Sterling Bancshares 5,497 65
Sterling Financial 2,527 57
Sterling Financial* 2,203 47
Stewart Information Services* 2,948 68
Suffolk Bancorp 1,692 52
Summit Bancshares 30 1
Summit Properties (REIT) 2,944 54
Sun Bancorp 83 2
</Table>
The accompanying notes are integral part of the financial statements.
18
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Sun Bancorp* 903 $ 13
Sun Communities 2,049 73
Superior Financial 1,082 20
Susquehanna Bancshares 4,827 100
SWS Group 1,948 27
Tanger Factory Outlet Centers (REIT) 950 29
Taubman Centers (REIT) 4,139 70
Texas Regional Bancshares, Cl A 3,500 106
The Trust Company of New Jersey 2,680 73
Thornburg Mortgage (REIT) 7,139 147
Tompkins Trustco 1,071 48
Town & Country Trust (REIT) 2,457 50
Trammell Crow* 4,243 34
Triad Guaranty* 1,232 42
TriCo Bancshares 612 15
Troy Financial 1,230 31
TrustCo Bank Corporation of New York 8,879 86
U.S. Restaurant Properties 2,822 40
UCBH Holdings 2,616 115
UICI* 5,559 53
UMB Financial 2,250 83
Umpqua Holdings 4,145 75
Union Bankshares 1,114 30
United Bankshares 4,672 129
United Community Banks 2,394 55
United Community Financial 4,512 39
United Fire & Casualty 1,061 32
United National Bancorp 2,372 56
Universal American Financial* 4,904 28
Universal Health Realty Income Trust (REIT) 1,222 32
Unizan Financial 3,175 58
Urstadt Biddle Properties, Cl A (REIT) 1,087 13
USB Holding 1,723 28
Ventas (REIT) 9,433 109
Vesta Insurance Group 4,937 11
Virginia Financial Group 986 26
W Holding 6,258 115
Walter Industries 3,874 34
Warwick Community Bancorp 598 18
Washington Real Estate Investment Trust 5,310 138
Washington Trust Bancorp 2,037 41
Waypoint Financial 5,152 89
Wellsford Real Properties* 772 11
Wesbanco 3,074 72
West Coast Bancorp 2,264 32
Westcorp 2,077 39
WFS Financial* 989 19
Willow Grove Bancorp 737 11
Winston Hotels 2,373 16
Wintrust Financial 2,118 61
World Acceptance* 1,515 14
WSFS Financial 1,136 36
Yardville National Bancorp 1,147 20
Zenith National Insurance 1,188 25
-----------
18,825
-----------
HEALTH CARE - 11.7%
1-800 Contacts* (A) 907 $ 18
AAI Pharma* 2,409 21
Abgenix* 11,257 98
ABIOMED* 1,606 6
Adolor* 4,496 45
Advanced Neuromodulation Systems* 1,302 56
Advisory Board* 668 23
Aksys* (A) 3,668 26
ALARIS Medical* 2,047 21
Albany Molecular Research* 2,982 44
Alexion Pharmaceuticals* 2,612 32
Align Technology* (A) 4,643 28
Alkermes* (A) 7,861 71
Alliance Imaging* 2,067 6
Allos Therapeutics* 3,310 13
Alpharma, Cl A 3,794 68
American Healthways* 1,731 33
American Medical Systems* 2,810 41
American Pharmaceutical Partners* (A) 1,195 23
AMERIGROUP* 1,389 41
Ameripath* 4,059 86
Amsurg, Cl A* (A) 2,945 74
Amylin Pharmaceuticals* (A) 8,832 143
Angelica 1,230 21
Antigenetics* (A) 3,159 26
Aphton* (A) 2,689 7
Applera* 9,899 85
Applied Molecular Evolution* 2,263 6
Apria Healthcare Group* 5,880 137
Arena Pharmaceuticals* 2,810 18
Ariad Pharmaceuticals* 4,658 6
Arqule* 3,288 8
Array Biopharma* 3,273 14
Arrow International 1,047 43
Arthrocare* 3,153 39
AtheroGenics* 3,886 36
Atrix Laboratories* 2,519 35
AVANIR Pharmaceuticals* 9,103 10
Avigen* (A) 2,900 8
Bentley Pharmaceuticals* 1,544 12
Beverly Enterprises* 14,126 29
BioMarin Pharmaceutical* (A) 5,670 64
Biopure* 2,880 10
Bio-Rad Laboratories, Cl A* 2,438 87
Bio-Reference Labs* 1,140 5
BioReliance* 510 10
Biosite* (A) 1,653 63
Bio-Technology General* 8,423 23
Bone Care International* 1,556 11
Bradley Pharmaceuticals* 1,163 16
Bruker Daltronics* 1,612 5
Caliper Technologies* 3,690 13
Cantel Medical* 806 10
Cardiac Science* 8,055 18
Cardinal Health (A) 1,159 66
CardioDynamics International* 4,852 15
Cell Genesys* 4,737 35
Cell Therapeutics* 4,783 40
Centene* 726 21
</Table>
19
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Ceres Group* 2,734 $ 5
Cerus* 1,973 17
Chattem* 1,498 23
Cholestech* 1,819 15
CIMA Labs* 1,727 37
Ciphergen Biosystems* 3,195 18
Closure Medical* 577 7
Cobalt* 1,541 22
Columbia Laboratories* 3,995 16
Conceptus* 2,424 22
CONMED* 3,888 64
Connetics* 4,415 74
Cooper (A) 4,396 131
Corixa* 6,634 45
Corvel* 624 20
Covance* (A) 8,969 207
Cryolife* (A) 2,355 16
Cubist Pharmaceuticals* 3,896 31
CuraGen* 6,171 25
Curative Health Services* 1,643 28
CV Therapeutics* (A) 3,906 70
Cyberonics* 3,134 67
D & K Healthcare Resources 1,946 20
Datascope 1,671 45
Decode Genetics* 5,226 10
Del Laboratories* 622 12
Deltagen* 1,205 --
Digene* 1,125 19
Discovery Partners International* 2,981 8
Diversa* 3,926 37
Drugstore.com* 4,112 16
Durect* 1,576 2
Dynacq International* 956 13
Embrex* 1,035 8
Endo Pharmaceuticals* 2,778 37
Endocardial Solutions* 1,858 5
Endocare* 2,788 7
Enzo Biochem* 3,322 43
Enzon* (A) 6,197 70
Eon Labs* 1,022 27
EPIX Medical* 1,987 16
eResearch Technology* (A) 1,244 33
Esperion Therapeutics* 3,302 33
Exact Sciences* 1,806 19
Exelixis* 6,501 43
First Horizon Pharmaceutical* 3,210 8
Gene Logic* 4,320 22
Genencor International* 1,774 18
Genesis Health Ventures* 4,031 60
Genta* (A) 6,149 44
Gentiva Health Services* 3,277 27
Genzyme* 5,431 6
Geron* (A) 3,860 20
Guilford Pharmaceuticals* 3,541 13
Haemonetics* 2,621 57
Hanger Orthopedic Group* 2,781 32
Harvard Bioscience* 2,383 9
Healthcare Services Group* 1,508 18
HealthExtras* 2,195 8
HealthTronics Surgical Services* 1,250 $ 10
Hologic* 2,775 24
Hooper Holmes 7,714 39
ICU Medical* 1,248 34
IDEXX Laboratories* 4,320 151
IGEN International* 2,296 81
ILEX Oncology* 4,681 43
Illumina* 3,780 9
ImClone Systems* (A) 7,376 122
Immucor* 1,511 33
ImmunoGen* 6,330 15
Immunomedics* 5,900 16
Impath* (A) 2,246 30
Impax Laboratories* 3,786 17
INAMED* 1,845 66
Incyte Genomics* 9,694 29
Indevus Pharmaceuticals* 5,448 13
Integra LifeSciences* 2,667 61
InterMune* 3,595 77
Interpore International* 2,524 20
Intuitive Surgical* 4,340 28
Invacare 3,452 109
Inverness Medical Innovations* 877 18
Isis Pharmaceuticals* (A) 6,726 24
Kendle International* 1,617 5
Kensey Nash* 953 20
Kindred Healthcare* 1,695 19
Kos Pharmaceuticals* 895 16
Kosan Biosciences* 2,648 12
K-V Pharmaceutical, Cl A* 3,284 59
Kyphon* 758 7
La Jolla Pharmaceutical* 6,100 10
LabOne* 764 15
Lannet* 858 9
Lexicon Genetics* 4,824 19
Lifecore Biomedical* 1,412 5
Ligand Pharmaceuticals* (A) 7,443 48
Luminex* 3,010 14
Martek Bioscience* 2,879 82
Matria Healthcare* 903 9
Maximus* 2,477 53
Maxygen* 4,120 30
Medarex* 10,043 32
MedCath* 1,091 6
Med-Design* (A) 1,223 4
Medical Staffing Network Holdings* 1,380 15
Medicines* 3,417 64
MedSource Technologies* 1,113 2
Mentor 5,282 90
Merit Medical Systems* 1,660 32
MGI Pharma* 3,610 46
MIM* 3,305 25
Mine Safety Appliances 779 28
Molecular Devices* 2,287 28
Myriad Genetics* 3,428 35
NABI Biopharmaceuticals* 5,571 33
NaPro BioTheraputics* 4,231 3
Nastech Pharmaceutical* 467 4
National Healthcare* 1,363 25
NDCHealth 4,646 78
Nektar Therapeutics* 7,963 50
</Table>
The accompanying notes are an integral part of the financial statements.
20
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
NeoPharm* 1,632 $ 19
Neose Technologies* 1,574 11
Neurocrine Biosciences* 4,062 170
Neurogen* 1,869 7
Noven Pharmaceuticals* 2,998 42
NPS Pharmaceuticals* 4,230 65
Ocular Sciences* 2,441 34
Odyssey Healthcare* 2,572 61
Onyx Pharmaceuticals* 2,019 17
Option Care* 1,920 16
Orasure Technologies* 4,288 25
OrthoLogic* 4,991 17
OSI Pharmaceuticals* (A) 5,228 84
Owens & Minor 4,917 86
PacifiCare Health Systems* 5,028 121
Pain Therapeutics* 442 1
PAREXEL International* 3,412 47
PDI* 1,313 10
Pediatrix Medical Group* 3,224 81
Penwest Pharmaceuticals* 1,348 22
Peregrine Pharmaceuticals* (A) 15,316 8
Perrigo 8,069 96
Per-Se Technologies* 4,335 34
Pharmaceutical Resources* 2,598 110
Pharmacopeia* 3,376 30
PolyMedica (A) 1,337 41
Possis Medical* 2,557 41
POZEN* 3,229 12
Praecis Pharmaceuticals* 7,870 30
Prime Medical Services* 1,891 14
Priority Healthcare, Cl B* 3,119 83
Progenics Pharmaceutical* 1,275 6
Protein Design Labs* 12,797 95
Province Healthcare* 6,888 61
ProxyMed Pharmacy* 532 4
PSS World Medical* 10,272 67
Q-Med* 1,075 7
Quest Diagnostics* (A) 1,003 60
Quidel* 3,831 13
Radiologix* 2,897 7
Regeneron Pharmaceutical* (A) 4,817 36
RehabCare Group* (A) 2,287 41
Res-Care* 2,867 8
ResMed* 4,385 140
Respironics* 4,475 154
Rigel Pharmaceuticals* 4,204 3
Rita Medical Systems* 1,464 6
Salix Pharmaceuticals* 2,677 18
Sangamo Biosciences* 2,903 8
Sangstat Medical* 3,805 37
Scios Nova* 6,670 294
Seattle Genetics* 2,664 6
Select Medical* 2,760 39
Sepracor* (A) 9,972 135
Sequenom* 5,668 10
Serologicals* 3,458 29
Sierra Health Services* (A) 3,900 50
Sola International* 3,133 39
Sonic Innovations* 1,483 4
Sonosite* 2,035 32
Specialty Laboratories* 916 $ 8
Stewart Enterprises, Cl A* 13,897 38
Sunrise Assisted Living* (A) 2,572 62
SuperGen* 4,638 13
SuriModics* (A) 1,918 59
Sybron Dental Specialties* 5,476 96
Tanox* 3,455 45
Techne* 5,996 124
Telik* 4,604 62
Texas Biotechnology* 6,927 9
Theragenics* 4,224 15
Therasense* (A) 3,250 22
Thoratec* 7,081 90
Transkaryotic Therapies* 4,025 24
Trimeris* (A) 2,156 89
TriPath Imaging* 3,020 13
Tripos* 1,135 6
Tularik* 5,995 30
U.S. Oncology* 9,899 70
U.S. Physical Therapy* 1,466 16
United Surgical Partners* (A) 2,391 44
United Therapeutics* (A) 2,250 39
Urologix* 1,931 4
Varian Medical Systems* 3,936 113
VCA Antech* 2,989 46
Ventana Medical Systems* 1,870 38
Viasys Healthcare* 3,753 53
Vical* 2,799 7
Vicuron Pharmaceuticals 3,078 33
Virbac* 736 4
VISX* 6,923 73
Vital Signs 735 20
Vivus* 4,736 16
West Pharmaceutical Services 1,735 34
Women First Healthcare* 2,251 1
Wright Medical Group* 2,259 40
Young Innovations* 515 11
Zoll Medical* 1,203 49
Zymogenetics* 1,188 11
-----------
10,366
-----------
INDUSTRIALS - 14.1%
3D Systems* 961 4
A.O. Smith 2,396 64
AAON* 1,350 17
AAR 3,945 15
ABM Industries 5,431 71
ACME Communication* 1,226 8
Active Power* 4,832 5
Actuant, Cl A* 1,320 46
Acuity Brands 5,966 80
Administaff* 3,158 20
Advanced Energy Industries* 2,701 23
Aftermarket Technology* 1,310 15
Airborne (A) 6,968 137
Airtran Holdings* 9,087 61
Alamo Group 704 8
Alaska Air Group* 3,470 54
Albany International, Cl A 3,730 85
Alderwoods Group* 6,278 22
</Table>
21
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Alexander & Baldwin 5,890 $ 146
Amerco* 1,781 7
American Superconductor* 2,952 11
American Woodmark 779 34
AMETEK 4,762 157
Apogee Enterprises 4,398 36
Arbitron* 4,233 134
Arkansas Best 3,093 79
Armor Holdings* 3,402 34
Artesyn Technologies* 4,370 14
Astec Industries* 2,714 16
AstroPower* 2,699 11
ATA Holdings* 325 1
Atlantic Coast Airline Holdings* 5,851 36
Atlas Air Worldwide Holdings* 2,895 2
Aviall* 2,684 21
Baldor Electric 4,387 94
Banta 3,614 107
Barnes Group 1,489 32
BE Aerospace* (A) 5,144 10
Belden 3,268 35
Bowne & Company 4,829 48
Brady, Cl A 2,318 66
Briggs & Stratton 2,806 109
Bright Horizons Family Solutions* 1,462 41
Butler Manufacturing 775 13
C&D Technologies 3,748 45
Capstone Turbine* 11,168 8
Carlisle Companies 4,376 177
Cascade 1,353 19
Casella Waste Systems* 2,399 20
CCC Information Services Group* 1,770 29
CDI* 1,908 44
Central Parking 2,811 28
Century Business Services* 11,356 29
Checkpoint Systems* 3,923 39
Chemed 1,502 48
Choice Hotels International* 2,933 72
Circor International 1,515 21
CLARCOR 3,171 115
Coinstar* (A) 2,856 48
Collins & Aikman* 3,789 15
Columbus McKinnon* 2,466 4
Comfort Systems USA* 5,459 12
Consolidated Graphics* 1,601 27
Corinthian Colleges* (A) 5,452 215
Cornell Companies* 2,229 19
Corporate Executive Board* (A) 5,327 190
CoStar Group* 1,875 42
Covenant Transport, Cl A* 935 16
CPI 229 3
Cubic 2,219 36
Culp* 1,076 5
CUNO* 2,252 76
Curtiss-Wright 1,425 86
Daisytek International* 2,434 5
DHB Industries* 2,048 5
DiamondCluster, Cl A* 2,924 4
Dollar Thrifty Automotive* 3,897 65
Dominion Homes* 589 $ 8
Drew Industries* 1,012 15
DRS Technologies* 2,383 60
Ducommun* 994 10
Dycom Industries* 6,895 71
EDO 2,206 40
eFunds* 6,718 46
EGL* 4,976 74
Electro Scientific Industries* 3,964 50
ElkCorp 2,793 53
Emcor Group* 2,143 103
Encore Wire* 1,914 16
Energy Conversion Devices* 2,152 18
Engineered Support Systems 1,841 72
Ennis Business Forms 2,237 25
Escalade* 521 7
ESCO Technologies* 1,726 57
Esterline Technologies* 2,994 51
ExpressJet Holdings* 4,917 40
FactSet Research Systems (A) 2,997 97
First Consulting Group* 2,831 18
Fleetwood Enterprises 5,041 20
Florida East Coast Industries, Cl A 2,825 69
Flow International* 1,755 4
Forward Air* 1,771 39
Frontier Airlines* 4,260 21
FTI Consulting* 3,136 145
FuelCell Energy* 4,927 25
Gardner Denver* 2,283 42
GenCorp 4,479 28
General Cable 4,773 18
Genesee & Wyoming, Cl A* 1,248 19
Genlyte Group* 1,739 58
Global Power Equipment* 3,385 17
Gorman-Rupp 921 18
Granite Construction 4,622 73
Greif Brothers, Cl A 1,857 33
Griffon* 3,812 49
Headwaters* 3,943 55
Heartland Express* 4,294 82
Hecla Mining* 13,931 46
HEICO 2,099 19
Heidrick & Struggles International* 2,610 30
Herley Industries* 1,719 30
Hexcel* 3,544 10
Hollinger International 8,101 64
ICT Group* 493 5
IDEX 3,578 104
II-VI* 1,461 24
Imagistics International* 2,406 45
Information Resources* 4,108 5
infoUSA* 4,276 21
Insurance Auto Auctions* 1,697 19
Integrated Electrical Services* 5,522 24
Interpool 1,267 17
Invision Technologies* 1,667 37
Ionics* 2,524 42
ITT Educational Services* 6,124 171
J.B. Hunt Transport Services* (A) 3,213 86
JLG Industries 7,249 34
John H. Harland 4,205 102
</Table>
The accompanying notes are an integral part of the financial statements.
22
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Joy Global* 6,686 $ 72
Kadant* 1,250 20
Kaman 3,278 32
Kansas City Southern Industries* 8,368 94
Kaydon 3,962 75
Kennametal 4,580 129
Keystone Automotive Industries* 1,579 28
Kforce* 3,022 8
Kirby* 2,686 66
Knight Transportation* 3,446 68
Korn Ferry International* 6,108 40
Kroll* (A) 3,774 81
L.S. Starrett, Cl A 222 3
Labor Ready* 6,975 40
Ladish* 1,368 6
Landauer 858 31
Landstar* 2,202 127
Lawson Products 545 14
Learning Tree International* 1,504 20
Lennox International (A) 6,159 89
Lightbridge* 4,070 26
Lincoln Electric Holdings 4,579 83
Lindsay Manufacturing 944 20
Littelfuse* 2,824 51
LSI Industries 1,646 15
Lydall* 2,117 19
MagneTek* 2,829 7
Mail-Well* 4,097 8
Manitowoc 4,224 71
Manufacturers' Services* 2,164 10
Marine Products 1,425 13
MasTec* 3,299 7
McGrath Rentcorp 1,483 34
MCSi* 3,168 1
Mediacom Communications* 7,728 68
Medis Technologies* 1,554 8
MedQuist* 1,460 25
MemberWorks* 1,240 26
Mercury Computer Systems* 3,115 85
Mesa Air Group* 4,727 23
Mesaba Holdings* 1,385 8
Midwest Express Holdings* 1,782 2
Milacron 2,432 10
Mobile Mini* 1,972 32
Modtech Holdings* 1,541 11
Monro Muffler Brake* 958 20
MPS Group* 13,527 71
Mueller Industries* 3,645 91
Nacco Industries, Cl A 777 36
National Presto Industries 761 20
Navigant Consulting* 6,053 32
Navigant International* 1,742 18
NCI Building Systems* 2,647 41
NCO Group* 2,695 39
Nordson 2,704 65
Northwest Pipe* 797 10
On Assignment* 3,049 13
Orbital Sciences* 6,944 36
Oshkosh Truck 2,165 135
Overseas Shipholding Group 3,922 65
P A M Transportation Services* 549 $ 12
Paxar* 4,581 52
Pegasus Solutions* 3,578 40
Penn Engineering & Manufacturing 1,684 19
Power-One* 7,774 34
Prepaid Legal Services* (A) 1,884 33
PRG-Schultz International* 5,141 37
PRIMEDIA* 19,899 49
Princeton Review* 2,578 11
ProBusiness Services* 3,033 40
Protection One* 2,475 4
Proton Energy Systems* 3,488 9
Quanta Services* 4,621 15
Quixote 866 14
RailAmerica* 4,202 26
Rayovac* 4,618 50
Regal Beloit 3,330 51
Reliance Steel & Aluminum 3,417 52
RemedyTemp, Cl A* 821 10
Resources Connection* 2,741 58
Right Management Consultants* 2,798 36
Roadway Express 1,695 57
Robbins & Myers 1,411 19
Rollins 3,192 74
ScanSoft* (A) 7,500 34
Schawk 1,087 11
Schnitzer Steel Industries, Cl A 368 9
SCS Transportation* 2,258 24
Sequa* 897 31
Service Corporation International* (A) 42,372 118
Simpson Manufacturing* 2,092 71
Sirius Satellite Radio* 10,753 8
Spartan Motors 1,485 13
Spherion* (A) 8,482 34
SPS Technologies* 1,775 43
Standard Register 2,505 37
Standex International 1,568 30
Stericycle* (A) 4,539 171
Stewart & Stevenson Services 4,105 45
Strattec Security* 344 15
Strayer Education 1,188 65
SureBeam* (A) 9,154 32
Sylvan Learning Systems* 4,567 73
Technical Olympic USA* 971 16
Tecumseh Products, Cl A 1,871 77
Teletech Holdings* 5,618 31
Tennant 1,344 42
Tenneco Automotive* 6,239 14
Terex* 6,904 85
Tetra Technologies* 7,215 102
Thomas & Betts* 6,247 89
Thomas Industries 2,079 52
Thomas Nelson* 1,152 10
TRC* 728 10
Tredegar 3,736 45
Trex* 932 30
Trinity Industries (A) 4,569 79
Triumph Group* 2,019 45
U.S. Industries* 11,209 44
U.S. Xpress Enterprises* 862 7
</Table>
23
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
UniFirst 1,126 $ 17
United Defense Industries* 3,043 66
United Industrial 1,459 18
United Stationers* 4,325 92
Universal Forest Products 1,964 30
UNOVA* 5,956 32
URS* 3,297 38
USFreightways 3,871 98
USG* (A) 6,250 26
Valmont Industries 1,584 34
ValueClick* 9,235 28
Vicor* 2,902 17
Virco Manufacturing 916 9
Volt Information Sciences* 1,272 13
Wabash National* 3,310 21
Wallace Computer Services 5,375 134
Waste Connections* (A) 3,697 128
Water Pik Technologies* 1,902 13
Watsco 2,464 34
Watson Wyatt & Company Holdings* 2,892 58
WD-40 Company 2,045 51
Werner Enterprises 5,551 107
William Lyon Homes* 1,073 27
Wilson Greatbatch Technologies* 3,017 84
Woodward Governor 1,277 45
Worthington Industries 9,049 108
Yellow* 4,178 101
-----------
12,548
-----------
INFORMATION TECHNOLOGY - 16.0%
Acacia Technologies* 3,151 4
Acclaim Entertainment* 11,182 4
Actel* 3,033 52
Actuate* 7,089 10
ADE* 1,416 8
ADTRAN* (A) 2,920 105
Advanced Digital Information* 8,974 62
Advanced Power Technology* 729 2
Aeroflex* 8,657 49
Agile Software* 5,443 35
Akamai Technologies* 15,629 22
Allen Telecom* 3,963 39
Alliance Semiconductor* 3,218 10
Alloy* 4,498 23
Allscripts Healthcare Solutions* 3,610 10
Altiris* 813 10
American Management Systems* 5,649 68
ANADIGICS* 4,649 10
Analogic 737 34
Anaren Microwave* 3,240 28
Anixter International* (A) 4,116 93
Answerthink* 6,751 15
ANSYS* 2,127 51
Anteon International* 2,158 48
Applied Films* 1,589 26
aQuantive* 5,003 22
Ariba* (A) 38,095 107
Arris Group* (A) 9,943 37
Artisan Components* 2,141 35
Ascential Software* 34,776 97
AsiaInfo Holdings* 4,695 $ 19
Aspect Communication* 8,249 25
Aspen Technology* (A) 5,733 14
Asyst Technologies* 5,508 30
ATMI* 3,906 75
Audiovox* 2,345 17
August Technology* 1,058 4
Avanex* (A) 8,436 7
Avid Technology* 3,587 79
Avocent* 5,683 133
Axcelis Technologies* 14,114 67
AXT* 2,934 2
BARRA* (A) 2,154 64
BEI Technologies 1,598 15
Bel Fuse 1,015 20
Bell Microproducts* 2,503 13
Benchmark Electronics* 3,280 93
Black Box (A) 2,735 81
Borland Software* 8,739 80
Brooks Automation* (A) 4,874 47
Bruker AXS* 1,460 2
Cable Design Technologies* 6,397 43
Cabot Microelectronics* (A) 3,261 137
Caci International, Cl A* 4,101 137
Caminus* 1,566 14
Carreker* 3,061 6
Catapult Communications* 772 5
C-COR.net* 4,911 16
Centillium Communications* 4,000 16
Cepheid* 3,787 16
Charles River Associates* 1,023 17
ChipPAC, Cl A* 8,546 31
Chordiant Software* 5,996 7
CIBER* 8,029 38
Cirrus Logic* 10,462 21
ClearOne Communications* (B) 1,090 --
CNET Networks* 17,888 45
Cognex* 4,842 103
Cognizant Technology Solutions* 1,179 79
Coherent* 4,160 78
Cohu 2,981 44
CombiMatrix* 1,758 3
CommScope* 7,432 56
Compucom Systems* 3,288 12
Computer Horizons* 4,469 14
Computer Network Technology* (A) 3,663 25
Computer Programs & Systems* 433 11
Concord Communications* 2,289 20
Concurrent Computer* 9,262 20
Covansys* 2,971 7
Cray* 6,638 44
Credence Systems* 8,727 59
Cree* (A) 10,496 194
CTS 4,301 26
Daktronics* 2,175 34
Datastream Systems* 2,267 15
DDI* 6,979 1
Dendrite International* 4,460 38
Digimarc* 1,282 15
Digital Insight* 4,066 57
</Table>
The accompanying notes are an integral part of the financial statements.
24
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Digital River* 3,863 $ 53
Digitas* 1,264 4
Dionex* 2,230 74
Docucorp International* 1,286 4
Documentum* 5,700 75
DoubleClick* 17,101 133
Drexler Technology* 1,125 16
DSP Group* 3,894 71
DuPont Photomasks* 1,725 35
Dynamics Research* 1,020 13
E.piphany* 9,032 36
EarthLink* 18,022 104
Echelon* 3,605 38
Eclipsys* 4,979 40
Electro Rent* 2,019 19
Electroglas* 3,236 3
Electronics for Imaging* 7,366 130
Embarcadero Technologies* 1,359 9
Emcore* 3,510 6
EMS Technologies* 1,507 21
Entegris* 6,610 66
Enterasys Networks* 23,283 43
Entrust* 6,911 17
EPIQ Systems* 1,426 27
ESS Technology* 4,371 26
eUniverse* 2,194 11
Exar* 5,635 72
Excel Technologies* 1,265 26
Extreme Networks* 14,847 64
F5 Networks* 3,198 40
FalconStor Software* (A) 4,910 19
FEI* 3,477 55
Filenet* 4,797 50
Finisar* (A) 19,176 15
FLIR Systems* 2,155 102
Forrester Research* 2,105 30
Foundry Networks* 12,406 100
Franklin Electric 709 33
FreeMarkets* 5,655 31
FSI International* 4,244 10
Gartner, Cl A* 11,925 83
General Binding* 709 6
Genesis Microchip* (A) 4,405 55
Global Imaging Systems* 1,177 22
GlobespanVirata* 15,946 72
GSI Commerce* 3,124 5
Handspring* (A) 5,913 4
Harmonic* 8,585 29
Harris Interactive* 5,461 30
Helix Technology 3,763 32
Homestore* 11,473 6
Hutchinson Technology* 3,334 82
Hypercom* 4,874 18
Hyperion Solutions* (A) 4,799 116
Identix* 12,092 54
IDX Systems* 2,434 38
iGATE* 3,462 10
I-many* 6,345 5
Imation* (A) 4,805 179
Inet Technologies* 2,123 13
InFocus* 4,334 $ 21
Infogrames* 807 1
Informatica* 8,255 53
Inforte* 902 5
Inrange Technologies, Cl B* 1,395 3
Insituform Technologies, Cl A* 3,270 44
Integral Systems* 1,333 28
Integrated Defense Technologies* 1,075 15
Integrated Silicon Solution* 3,858 9
InterCept* 2,255 9
InterDigital Communications* 8,059 182
Intergraph* 6,739 117
Interland* 17,767 12
Intermagnetics General* 2,126 38
Internet Security Systems* 5,489 55
Inter-Tel 2,610 39
Interwoven* 15,286 28
Iomega* 6,407 71
Itron* 3,023 51
ITXC* 2,881 4
IXIA* 3,097 15
IXYS* 1,750 9
JDA Software* 4,037 41
Keane* 8,001 65
Keithley Instruments 805 9
Keynote Systems* 3,464 32
Kopin* 10,001 50
Kronos* 2,666 93
Kulicke & Soffa* 7,100 34
Lattice Semiconductor* 12,297 93
Lawson Software* 2,028 9
LeCroy* 1,124 11
Legato Systems* 12,556 64
Lexar Media* 4,692 15
Liberate Technologies* 15,407 32
Lifeline Systems* 576 12
LookSmart* 9,857 27
LTX* 6,569 33
Magma Design Automation* 2,668 21
Manhattan Associates* 2,797 49
ManTech International* 1,121 17
Manugistics Group* (A) 8,562 20
MAPICS* 1,921 13
MapInfo* 2,181 8
MatrixOne* 6,766 23
Mattson Technology* 3,243 6
Maxtor* 28,724 162
McDATA, Cl A* (A) 9,122 78
MEMC Electronic Materials* 8,151 92
Mentor Graphics* 9,427 84
Merix* 1,929 8
MetaSolv* 4,257 6
Methode Electronics, Cl A 4,922 40
Micro Systems* 2,393 56
MicroAge* 3,579 --
Micromuse* (A) 10,769 56
Microsemi* 4,162 46
Microtune* 5,850 12
MIPS Technologies, Cl A* 5,137 9
Monolithic System Technology* (A) 2,833 20
</Table>
25
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Moog, Cl A* 2,174 $ 67
MRO Software* 2,537 17
MRV Communications* 13,065 15
MSC.Software* 3,669 28
MTS Systems 3,031 33
Mykrolis* 5,717 48
Nanometrics* 1,179 5
Nassda* 779 5
Neoforma* 1,222 15
Net2Phone* 2,454 8
Netegrity* 4,317 16
NetIQ* 5,333 60
NetRatings* 1,412 9
Netro* 3,497 9
NetScout Systems* 2,830 8
NetScreen Technologies* 1,340 22
Network Plus* 1,155 --
New England Business Service 1,671 43
New Focus* 9,602 30
Newport* 5,466 65
Next Level Communications* 2,169 3
NIC* 3,737 7
Novadigm* 2,263 4
Novell* 52,290 112
Nu Horizons Electronics* 2,001 10
Nuance Communications* 4,355 9
Nyfix* 3,603 13
Oak Technology* 8,738 31
Omnicell* 1,867 6
OmniVision Technologies* (A) 2,856 59
ON Semiconductor* 4,257 5
ONYX Software* 6,822 6
Openwave System* 25,087 36
Oplink Communications* 16,544 16
OPNET Technologies* 1,528 8
Optical Communication Products* 2,060 2
OSI Systems* 969 15
Overland Storage* 1,089 16
Overture Services* 7,355 112
Packeteer* 3,248 32
Palm* 4,173 42
Paradyne Networks* 4,057 5
Parametric Technology* 37,611 82
Park Electrochemical 2,483 38
PC-tel* 2,887 26
PDF Solutions* 1,720 11
PEC Solutions* 1,204 14
Pegasystems* 1,084 4
Pericom Semiconductor* 2,840 22
Phoenix Technology* 3,731 16
Photon Dynamics* 2,454 40
Photronics* 4,001 48
Pinnacle Systems* 8,470 88
Pioneer Standard Electronics 4,323 36
Pixelworks* (A) 5,304 29
Planar Systems* 1,960 23
Plantronics* (A) 5,445 80
Plato Learning* 2,642 12
Plexus* 6,043 55
Plug Power* (A) 2,649 $ 13
PLX Technology* 2,194 5
Portal Software* 18,530 13
Powell Industries* 1,012 14
Power Integrations* 3,632 75
Powerwave Technologies* 9,437 32
PracticeWorks* 2,250 23
Presstek* 4,417 20
Progress Software* 4,519 81
ProQuest* (A) 2,419 50
Proxim, Cl A* (A) 17,181 10
QRS* 1,964 10
QuadraMed* 3,918 5
Quantum* 18,699 68
Quest Software* 5,351 48
Quovadx* 3,217 6
Radiant Systems* 2,477 18
RadiSys* 2,448 16
Rainbow Technologies* 3,691 35
Rambus* (A) 12,040 159
Read-Rite* 1,247 1
Red Hat* 16,322 89
Register.com* 4,609 25
REMEC* 7,228 35
Renaissance Learning* (A) 1,469 26
Research Frontiers* 1,297 9
Retek* (A) 7,527 43
Richardson Electronics 732 6
Riverstone Networks* 17,481 24
Rogers* 2,279 68
Roper Industries 3,954 114
Roxio* 2,769 17
RSA Security* 6,503 46
Rudolph Technologies* (A) 1,326 19
S1* 10,211 52
Safeguard Scientifics* 17,228 24
Sanchez Computer Associates* 2,100 9
SanDisk* (A) 8,727 147
Sapient* 11,717 18
SBS Technologies* 1,328 10
ScanSource* 1,144 21
SCM Microsystems* 1,383 3
SeaChange International* 3,195 23
Secure Computing* 4,226 16
SeeBeyond Technologies* 7,531 15
Semitool* 2,503 10
SERENA Software* (A) 2,505 40
Silicon Graphics* (A) 27,319 42
Silicon Image* 8,357 33
Silicon Laboratories* (A) 3,786 99
Silicon Storage Technology* 11,159 26
Siliconix* 843 20
SimpleTech* 1,213 3
SIPEX* 3,675 14
SkillSoft* 4,686 12
Skyworks Solutions* (A) 19,468 121
Somera Communications* 4,890 5
SonicWALL* 7,365 27
SpectraLink* 2,409 18
SpeechWorks International* 3,392 8
SPSS* 1,713 19
</Table>
The accompanying notes are an intergral part of the financial statements.
26
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
SRA International, Cl A* 736 $ 17
SS&C Technologies* 1,170 14
Standard Microsystems* 2,084 32
StarTek* 1,498 34
StorageNetworks* 9,520 9
Suntron* 207 1
Supertex* 1,477 20
Sykes Enterprises* 3,758 15
Synaptics* 554 4
Synplicity* 1,560 5
Syntel* 902 17
Sypris Solutions 736 6
Systems & Computer Technologies* 4,464 34
Take-Two Interactive Software* (A) 5,446 122
TALX 1,772 23
Technitrol* 5,779 85
Tekelec* (A) 6,693 58
Teledyne Technologies* 4,371 55
Terayon Communications* 9,375 16
Therma-Wave* 3,723 2
THQ* (A) 5,671 74
Three Five Systems* 3,153 16
TIBCO Software* 11,562 49
Tier Technologies* 2,081 21
Tollgrade Communications* 1,838 26
Transaction Systems Architects, Cl A* 4,584 27
Transmeta* 16,194 16
Trikon Technologies* 1,374 5
Trimble Navigation* 3,633 69
TriQuint Semiconductor* 18,953 53
TriZetto Group* (A) 4,786 20
TTM Technologies* 2,346 8
Turnstone Systems* 5,103 14
Tyler Technologies* 4,645 16
Ulticom* 1,454 9
Ultratech Stepper* 3,256 39
United Online* 2,997 52
Universal Display* 2,752 23
Varian Semiconductor Equipment Associates* (A) 4,418 90
Vastera* 4,611 18
Veeco Instruments* (A) 3,643 56
Verint Systems* 699 12
Verity* 3,189 44
Vialta* 133 --
Viasat* 2,767 31
Viewpoint* 5,902 3
Vignette* 33,877 51
Virage Logic* 1,791 11
Vitalworks* 5,462 21
Vitesse Semiconductor* 28,955 62
Vitria Technology* 12,120 8
WatchGuard Technologies* 4,012 24
WebEx Communications* (A) 3,336 34
webMethods* 6,498 59
Websense* 3,035 45
Western Digital* (A) 27,705 251
White Electronic Designs* 2,757 19
Wind River Systems* 9,836 29
Witness Systems* 2,259 7
Woodhead Industries 1,609 19
Xicor* 2,956 $ 12
X-Rite 1,509 13
Zomax* 4,805 14
Zoran* (A) 3,889 50
Zygo* (A) 2,241 13
-----------
14,178
-----------
MATERIALS - 4.1%
A. Schulman 4,241 62
AEP Industries* 589 5
Airgas* 8,307 154
AMCOL International 2,862 16
Ameron International 512 31
Arch Chemicals 2,891 54
Arch Coal (A) 6,049 115
Bandag 1,502 48
Brush Engineered Metals* 2,208 11
Buckeye Technologies* 3,984 19
Calgon Carbon 5,084 25
Cambrex 2,907 70
Caraustar Industries* 3,801 26
Carpenter Technology 2,767 28
Centex Construction Products 922 33
Central Garden & Pet* 2,083 45
Century Aluminum 1,852 12
Chesapeake 2,021 34
Cleveland Cliffs* 854 16
Commercial Metals 3,480 49
Crompton 16,366 66
Crown Holdings* (A) 22,976 129
Cytec Industries* 5,712 159
Deltic Timber 1,426 34
Earthshell* 9,889 5
Ferro 4,676 100
Florida Rock 2,840 96
FMC* 4,312 68
Fuller H.B 3,590 83
G & K Services, Cl A 2,812 67
Georgia Gulf 3,959 80
Gibraltar Steel 1,272 24
Glatfelter 863 9
GrafTech International* 8,190 23
Graphic Packaging International* 3,261 18
Great Lakes Chemical 5,393 120
IMCO Recycling* 1,713 11
Interface, Cl A* 7,551 25
Intermet 3,537 13
Jarden* 1,655 43
Liquidmetal Technologies* 787 4
Longview Fibre* 7,369 49
Louisiana Pacific* 15,076 120
MacDermid 3,738 76
Material Sciences* 1,289 13
Millennium Chemicals 9,070 106
Minerals Technologies 2,950 112
Myers Industries 2,666 25
NL Industries 1,197 19
NN 1,221 11
Octel* 1,719 25
Olin 6,650 121
</Table>
27
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Omnova Solutions* 5,711 $ 17
Oregon Steel Mills* 4,048 10
Penford 1,104 13
PolyOne 11,344 44
Pope & Talbot (A) 2,248 28
Potlatch 4,090 79
Quaker Chemicals 548 11
Quanex 2,360 75
Raytech* 5,990 35
Roanoke Electric Steel 1,192 10
Rock-Tenn, Cl A 1,619 21
Royal Gold 2,017 29
RTI International Metals* 3,043 30
Ryerson Tull 2,018 13
Seminis, Cl A* 2,338 7
Silgan Holdings* 1,685 37
Solutia 15,111 23
Southern Peru Copper 2,096 31
Spartech 2,124 41
Steel Dynamics* 4,599 54
Stephan 834 19
Stillwater Mining* 6,219 16
Symyx Technologies* 3,304 50
Terra Industries* 5,943 8
Texas Industries 3,029 58
U.S. Concrete* 3,546 15
USEC 9,942 55
Valhi 3,326 37
W R Grace & Company* 9,443 14
Watts Industries, Cl A 2,283 36
Wausau-Mosinee Paper 5,220 53
-----------
3,676
-----------
TELECOMMUNICATION SERVICES - 1.5%
Aether Systems* 4,715 15
AirGate PCS* 3,525 1
Alamosa Holdings* 10,629 4
Alaska Communications Systems Holdings* 859 2
Allegiance Telecom* (A) 17,663 5
American Tower, Cl A* 23,293 129
AT Road* 3,019 20
Boston Communications Group* 1,324 21
Broadwing* 27,612 110
Centennial Communications, Cl A* 1,124 2
Commonwealth Telephone Enterprises* (A) 1,568 61
Crown Castle International* (A) 29,497 162
CT Communications 2,265 22
Focal Communications Warrants* (B) 1,496 --
General Communication* 5,965 35
Golden Telecom* 2,023 30
Gray Television, Cl A 1,283 14
HickoryTech 2,027 18
Infonet Services, Cl B* 9,949 13
Intrado* 2,339 18
J2 Global Communications* (A) 882 25
Metro One Telecommunications* 2,671 13
Neon Communications* (B) 34,093 --
Nextel Partners, Cl A* 8,962 45
North Pittsburgh 2,126 29
Price Communications* 6,328 76
PTEK Holdings* 6,805 $ 25
Raindance Communications* 6,233 10
RCN* (A) 8,746 6
Redback Networks* (A) 21,753 13
RMH Teleservices* 1,857 12
Shenandoah Telecommunications 253 7
Sonus Networks* 26,072 59
Stratex Networks* 11,885 25
SureWest Communications 1,915 52
Sycamore Networks* 22,926 70
Talk America Holdings* 3,628 26
Tellium* 3,156 2
Time Warner Telecom, Cl A* 6,660 22
Touch America Holdings* 15,332 1
Triton PCS Holdings, Cl A* 2,801 6
U.S. Unwired* 5,441 2
UbiquiTel* 9,172 3
Western Wireless, Cl A* (A) 7,690 43
Wireless Facilities* 3,404 20
Young Broadcasting, Cl A* 2,378 29
-----------
1,303
-----------
UTILITIES - 3.3%
AGL Resources 8,003 189
American States Water 2,120 51
Atmos Energy 5,166 110
Avista 6,444 68
Black Hills 3,409 94
California Water Service 1,695 44
Cascade Natural Gas 1,485 29
Central Vermont Public Service 943 16
CH Energy Group 1,991 83
CLECO (A) 5,052 63
Connecticut Water Services 1,104 29
DQE 9,428 115
El Paso Electric* 6,752 73
Empire District Electric 2,092 37
Energen 4,954 159
Laclede Group 1,898 44
Middlesex Water 461 10
New Jersey Resources 3,747 122
Northwestern* 3,588 8
Northwestern Natural Gas 3,360 84
NUI 2,275 33
Oneok 7,723 142
Otter Tail 3,075 80
Piedmont Natural Gas 3,906 139
PNM Resources 4,651 105
Semco Energy 2,792 10
Sierra Pacific Resources* (A) 14,727 47
SJW 83 6
South Jersey Industries 1,635 52
Southern Union* 5,849 71
Southwest Gas 4,739 96
Southwest Water 1,442 18
Southwestern Energy* 4,002 52
UGI 3,950 181
UIL Holdings 1,339 46
Unisource Energy Holding 4,128 71
WGL Holdings 6,311 167
</Table>
The accompanying notes are an integral part of the financial statements.
28
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
WPS Resources 4,019 $ 161
-----------
2,905
-----------
TOTAL COMMON STOCKS
(Cost $103,936) 80,735
-----------
U.S. TREASURY OBLIGATION - 0.7%
U.S. Treasury Bill
1.290%, 06/05/03 (C) $ 700 699
-----------
TOTAL U.S. TREASURY OBLIGATION
(Cost $699) 699
-----------
RELATED PARTY MONEY MARKET FUND - 8.5%
First American Prime Obligations Fund, Cl Y (D) 7,511,225 7,511
-----------
TOTAL RELATED PARTY MONEY MARKET FUND
(Cost $7,511) 7,511
-----------
INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING - 11.6%
COMMERCIAL PAPER - 1.7%
CS First Boston
1.638%, 12/01/03 181 181
Danske Bank
1.508%, 12/22/03 181 181
Goldman Sachs
1.518%, 08/28/03 235 235
Morgan Stanley
1.518%, 06/17/03 90 90
1.518%, 07/08/03 65 65
1.518%, 09/22/03 90 90
Orchard Park
1.475%, 01/06/04 181 181
UBS Financial
1.390%, 04/01/03 451 451
-----------
TOTAL COMMERCIAL PAPER 1,474
-----------
CORPORATE OBLIGATIONS - 1.3%
CS First Boston
1.760%, 04/11/03 181 181
Deutsche Bank
1.470%, 04/11/03 90 90
1.580%, 12/11/03 72 72
General Electric Capital Corporation
1.355%, 07/09/07 90 90
Merrill Lynch
1.538%, 05/05/03 153 153
Monet Trust
1.360%, 12/28/03 181 181
SMM Trust 2002-M
1.450%, 09/23/03 181 181
URI Trust
1.460%, 09/18/03 181 181
-----------
TOTAL CORPORATE OBLIGATIONS 1,129
-----------
MONEY MARKET FUNDS - 1.1%
AIM Liquid Assets Portfolio 306,996 307
Dreyfus Cash Manage Plus Fund 18,059 18
Evergreen Institutional Money Market Fund 63,205 63
HSBC Investor Money Market Fund - Cl I 54,176 54
Merrill Lynch Premier Institutional Fund 349,768 350
Merrimac Cash Series Fund 54,176 54
One Group Institutional Prime Money Market Fund 108,352 108
Reserve Primary Fund 9,029 9
-----------
TOTAL MONEY MARKET FUNDS 963
-----------
OTHER SHORT-TERM INVESTMENTS - 1.0%
Allied Irish Bank
1.340%, 05/09/03 $ 90 $ 90
1.330%, 06/02/03 181 181
Commonwealth Life
1.678%, 04/01/03 91 91
General Electric Capital Assurance
1.370%, 12/19/03 36 36
Premium Asset Trust 02-7
1.060%, 08/23/03 115 115
Security Life Denver
1.381%, 01/13/04 235 235
1.490%, 03/15/04 181 181
-----------
TOTAL OTHER SHORT-TERM INVESTMENTS 929
-----------
REPURCHASE AGREEMENTS - 6.5%
Bear Stearns
1.420%, 04/10/03 361 361
CS First Boston
1.370%, 04/01/03 361 361
1.380%, 04/01/03 56 56
1.380%, 04/01/03 451 451
Goldman Sachs
1.520%, 04/01/03 271 271
1.420%, 04/07/03 181 181
1.360%, 06/10/03 90 90
1.400%, 06/11/03 90 90
Greenwich Capital Markets
1.430%, 04/01/03 542 542
Lehman Brothers
1.560%, 04/01/03 181 181
1.640%, 04/01/03 135 135
1.640%, 04/01/03 586 586
Merrill Lynch
1.360%, 04/01/03 542 542
1.500%, 04/01/03 271 271
1.560%, 04/01/03 226 226
1.560%, 04/01/03 361 361
Morgan Stanley
1.470%, 04/01/03 271 271
1.510%, 04/01/03 562 562
Salomon Smith Barney
1.540%, 04/01/03 271 271
-----------
TOTAL REPURCHASE AGREEMENTS 5,809
-----------
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING
(Cost $10,304) 10,304
-----------
TOTAL INVESTMENTS - 111.7%
(Cost $122,450) 99,249
-----------
OTHER ASSETS AND LIABILITIES, NET - (11.7)% (10,425)
-----------
TOTAL NET ASSETS - 100.0% $ 88,824
-----------
</Table>
29
<Page>
*Non-income producing security
(A) This security or a portion of this security is out on loan at March 31,
2003. Total loaned securities had a value of $9,398,310 at March 31, 2003.
See note 2 in Notes to Financial Statements.
(B) Security is fair valued. As of March 31, 2003, the value of these
investment is $0, or 0.0% of total net assets. See note 2 in Notes to
Financial Statements.
(C) Security has been deposited as initial margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 7 in Notes to
Financial Statements.
(D) This money market fund is advised by U.S. Bancorp Asset Management, Inc.,
which also serves as advisor for this Fund. See note 3 in Notes to
Financial Statements.
Cl - Class
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
30
<Page>
(This page has been left blank intentionally.)
<Page>
STATEMENTS OF ASSETS AND LIABILITIES March 31, 2003 (unaudited), in thousands,
except per share data
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND INDEX FUND INDEX FUND
- ----------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in securities, at value* + $2,486,853 $246,110 $ 99,249
Cash 60 -- 1
Dividends and interest receivable 2,269 137 108
Receivable for investment securities sold 2,750 13,329 --
Capital shares sold 1,678 109 61
Prepaid expenses and other assets 97 32 15
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 2,493,707 259,717 99,434
- ----------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for investment securities purchased 1,224 1,161 --
Payable upon return of securities loaned 843,429 67,526 10,304
Capital shares redeemed 2,726 584 176
Variation margin payable 707 9 72
Payable for advisory, co-administration, and custodian fees 420 72 35
Distribution and shareholder servicing fees 117 4 2
Accrued expenses and other liabilities 1 20 21
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 848,624 69,376 10,610
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSETS $1,645,083 $190,341 $ 88,824
- ----------------------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Portfolio capital $1,711,324 $236,716 $114,674
Undistributed net investment income 250 24 61
Accumulated net realized gain (loss) (50,124) 1,101 (2,700)
Unrealized depreciation of investments (15,724) (47,494) (23,201)
Unrealized depreciation of futures contracts (643) (6) (10)
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSETS $1,645,083 $190,341 $ 88,824
- ----------------------------------------------------------------------------------------------------------------------------
*Investments in securities, at cost $2,502,577 $293,604 $122,450
+ Including securities loaned $ 798,806 $ 67,526 $ 9,398
CLASS A:
Net assets $ 137,573 $ 3,775 $ 2,206
Shares issued and outstanding ($0.0001 par value-- 2 billion authorized) 8,638 453 257
Net asset value and redemption price per share $ 15.93 $ 8.33 $ 8.59
Maximum offering price per share (1) $ 16.86 $ 8.81 $ 9.09
CLASS B:
Net assets $ 63,998 $ 1,610 $ 512
Shares issued and outstanding ($0.0001 par value-- 2 billion authorized) 4,065 195 60
Net asset value, offering price, and redemption price per share (2) $ 15.74 $ 8.25 $ 8.50
CLASS C:
Net assets $ 27,520 $ 1,107 $ 693
Shares issued and outstanding ($0.0001 par value-- 2 billion authorized) 1,738 134 81
Net asset value and redemption price per share (2) $ 15.83 $ 8.28 $ 8.57
Maximum offering price per share (3) $ 15.99 $ 8.36 $ 8.66
CLASS S:
Net assets $ 42,078 $ 3,241 $ 1,837
Shares issued and outstanding ($0.0001 par value-- 2 billion authorized) 2,643 389 215
Net asset value, offering price, and redemption price per share $ 15.92 $ 8.33 $ 8.54
CLASS Y:
Net assets $1,373,914 $180,608 $ 83,576
Shares issued and outstanding ($0.0001 par value-- 2 billion authorized) 86,321 21,673 9,701
Net asset value, offering price, and redemption price per share $ 15.92 $ 8.33 $ 8.61
</Table>
(1)The offering price is calculated by dividing the net asset value by 1 minus
the maximum sales charge of 5.50%.
(2)Class B and C have a contigent deferred sales charge. For a description of
this sales charge, see notes 1 and 3 in Notes to Financial Statements.
(3)The offering price is calculated by dividing the net asset value by 1 minus
the maximum sales charge of 1.00%.
The accompanying notes are an integral part of the financial statements.
32
<Page>
STATEMENTS OF OPERATIONS For the six months ended March 31, 2003 (unaudited),
in thousands
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND INDEX FUND INDEX FUND
- ----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $ 371 $ 57 $ 58
Dividends 14,835 1,263 643
Securities lending 261 28 15
Other 37
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 15,504 1,348 716
- ---------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 2,033 269 193
Co-administration fees and expenses (including per account transfer agency fees) 2,259 316 177
Custodian fees 81 11 5
Directors' fees 11 2 1
Registration fees 2 16 17
Professional fees 20 3 1
Other 44 23 22
Printing 29 4 2
Distribution and shareholder servicing fees - Class A 181 5 3
Distribution and shareholder servicing fees - Class B 344 8 2
Distribution and shareholder servicing fees - Class C 140 5 3
Shareholder servicing fees - Class S 58 4 10
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 5,202 666 436
- ---------------------------------------------------------------------------------------------------------------------------
Less: Waiver of expenses (1,470) (106) (90)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL NET EXPENSES 3,732 560 346
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME - NET 11,772 788 370
- ----------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS AND FUTURES CONTRACTS - NET:
Net realized gain (loss) on investments (2,719) 2,793 (955)
Net realized loss on in-kind distributions -- -- (654)
Net realized loss on futures contracts (1,689) (794) (453)
Net change in unrealized appreciation or depreciation of investments 49,406 (1,764) 2,351
Net change in unrealized appreciation or depreciation of future contracts 1,653 475 314
- ----------------------------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS 46,651 710 603
- ----------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $58,423 $1,498 $ 973
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
The accompanying notes are an integral part of the financial statements.
33
<Page>
STATEMENTS OF CHANGES IN NET ASSETS in thousands
<Table>
<Caption>
EQUITY MID CAP
INDEX FUND INDEX FUND
- --------------------------------------------------------------------------------------------------------------------------
10/1/02 10/1/01 10/1/02 10/1/01
TO TO TO TO
3/31/03 9/30/02 3/31/03 9/30/02
- ---------------------------------------------------------------------------------------------------------------------------
(unaudited) (unaudited)
OPERATIONS:
Investment income - net $ 11,772 $ 20,971 $ 788 $ 1,425
Net realized gain (loss) on investments (2,719) (17,129) 2,793 5,952
Net realized gain (loss) on in-kind distributions 88,012 -- 1,965
Net realized gain (loss) on futures contracts (1,689) 3,192 (794) (247)
Net change in unrealized appreciation or depreciation of investments 49,406 (480,909) (1,764) (25,621)
Net change in unrealized appreciation or depreciation of futures contracts 1,653 (3,348) 475 (473)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from operations 58,423 (389,211) 1,498 (16,999)
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income - net:
Class A (931) (1,724) (10) (15)
Class B (201) (183) -- --
Class C (90) (56) -- --
Class S (305) (434) (9) (16)
Class Y (10,422) (18,598) (762) (1,389)
Net realized gain on investments:
Class A -- -- (97) (123)
Class B -- -- (40) (49)
Class C -- -- (26) (1)
Class S -- -- (95) (150)
Class Y -- -- (5,505) (7,356)
- ---------------------------------------------------------------------------------------------------------------------------
Total distributions (11,949) (20,995) (6,544) (9,099)
===========================================================================================================================
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Proceeds from sales 12,145 35,313 1,062 2,725
Reinvestment of distributions 887 1,650 106 136
Payments for redemptions (20,261) (47,666) (887) (1,767)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class A transactions (7,229) (10,703) 281 1,094
- ---------------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from sales 2,408 9,748 224 712
Reinvestment of distributions 196 178 40 48
Payments for redemptions (8,202) (19,649) (87) (328)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class B transactions (5,598) (9,723) 177 432
- ---------------------------------------------------------------------------------------------------------------------------
Class C:
Proceeds from sales 10,512 6,194 356 1,044
Reinvestment of distributions 88 54 25 1
Payments for redemptions (5,224) (7,962) (36) (52)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class C transactions 5,376 (1,714) 345 993
- ---------------------------------------------------------------------------------------------------------------------------
Class S:
Proceeds from sales 18,245 33,391 610 2,554
Reinvestment of distributions 293 419 89 123
Payments for redemptions (21,206) (16,746) (762) (3,369)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class S transactions (2,668) 17,064 (63) (692)
- ---------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from sales 429,993 608,090 53,864 104,570
Reinvestment of distributions 7,768 14,444 4,701 6,651
Payments for redemptions (235,129) (720,539) (71,707) (64,557)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class Y transactions 202,632 (98,005) (13,142) 46,664
- ---------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from capital share transactions 192,513 (103,081) (12,402) 48,491
- ---------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 238,987 (513,287) (17,448) 22,393
NET ASSETS AT BEGINNING OF PERIOD 1,406,096 1,919,383 207,789 185,396
===========================================================================================================================
NET ASSETS AT END OF PERIOD $1,645,083 $1,406,096 $190,341 $207,789
===========================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME AT END OF PERIOD $ 250 $ 427 $ 24 $ 17
===========================================================================================================================
</Table>
(1)See note 5 in Notes to Financial Statements for additional information.
The accompanying notes are an integral part of the financial statements.
34
<Page>
<Table>
<Caption>
SMALL CAP
INDEX FUND
- ------------------------------------------------------------------------------------------------
10/1/02 10/1/01
TO TO
3/31/03 9/30/02
- ------------------------------------------------------------------------------------------------
(unaudited)
OPERATIONS:
Investment income - net $ 370 $ 769
Net realized gain (loss) on investments (955) 2,012
Net realized gain (loss) on in-kind distributions (654) 503
Net realized gain (loss) on futures contracts (453) (524)
Net change in unrealized appreciation or depreciation of investments 2,351 (26,213)
Net change in unrealized appreciation or depreciation of futures contract 314 (324)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from operations 973 (23,777)
- ------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income - net:
Class A (6) (8)
Class B -- --
Class C -- --
Class S (29) (68)
Class Y (327) (641)
Net realized gain on investments: -- --
Class A -- --
Class B -- --
Class C -- --
Class S -- --
Class Y -- --
- ------------------------------------------------------------------------------------------------
Total distributions (362) (717)
================================================================================================
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Proceeds from sales 711 4,956
Reinvestment of distributions 6 8
Payments for redemptions (417) (2,719)
- ------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class A transactions 300 2,245
- ------------------------------------------------------------------------------------------------
Class B:
Proceeds from sales 155 474
Reinvestment of distributions -- --
Payments for redemptions (58) (34)
- ------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class B transactions 97 440
- ------------------------------------------------------------------------------------------------
Class C:
Proceeds from sales 287 592
Reinvestment of distributions -- --
Payments for redemptions (34) (16)
- ------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class C transactions 253 576
- ------------------------------------------------------------------------------------------------
Class S:
Proceeds from sales 1,030 4,483
Reinvestment of distributions 29 67
Payments for redemptions (13,433) (2,761)
- ------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class S transactions (12,374) 1,789
- ------------------------------------------------------------------------------------------------
Class Y:
Proceeds from sales 26,482 116,156
Reinvestment of distributions 189 402
Payments for redemptions (37,838) (54,512)
- ------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class Y transactions (11,167) 62,046
- ------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from capital share transactions (22,891) 67,096
- ------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (22,280) 42,602
NET ASSETS AT BEGINNING OF PERIOD 111,104 68,502
================================================================================================
NET ASSETS AT END OF PERIOD $ 88,824 $111,104
================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME AT END OF PERIOD $ 61 $ 53
================================================================================================
</Table>
35
<Page>
FINANCIAL HIGHLIGHTS For a share outstanding throughout the periods ended
September 30, unless otherwise indicated.
<Table>
<Caption>
REALIZED AND
NET ASSET UNREALIZED DIVIDENDS
VALUE NET GAINS OR FROM NET DISTRIBUTIONS
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM
OF PERIOD INCOME (LOSS) INVESTMENTS INCOME CAPITAL GAINS
- -------------------------------------------------------------------------------------------------------------------------
<s>
EQUITY INDEX FUND
Class A
2003 (1) (2) $15.31 $0.11 $0.62 $(0.11) $ --
2002 (1) 19.50 0.18 (4.19) (0.18) --
2001 (1) 27.75 0.18 (7.43) (0.17) (0.83)
2000 25.52 0.17 2.91 (0.17) (0.68)
1999 20.61 0.21 5.36 (0.22) (0.44)
1998 20.76 0.24 1.39 (0.24) (1.54)
Class B
2003 (1) (2) $15.13 $0.04 $0.62 $(0.05) $ --
2002 (1) 19.29 0.03 (4.15) (0.04) --
2001 (1) 27.49 -- (7.35) (0.02) (0.83)
2000 25.34 -- 2.84 (0.01) (0.68)
1999 20.49 0.05 5.30 (0.06) (0.44)
1998 20.67 0.09 1.36 (0.09) (1.54)
Class C
2003 (1) (2) $15.23 $0.05 $0.60 $(0.05) $ --
2002 (1) 19.41 0.03 (4.17) (0.04) --
2001 (1) 27.66 -- (7.40) (0.02) (0.83)
2000 25.48 -- 2.88 (0.02) (0.68)
1999 (3) 25.35 0.06 0.13 (0.06) --
Class S
2003 (1) (2) $15.30 $0.11 $0.62 $(0.11) $ --
2002 (1) 19.50 0.18 (4.20) (0.18) --
2001 (1) (4) 18.80 -- 0.70 -- --
Class Y
2003 (1) (2) $15.30 $0.13 $0.62 $(0.13) $ --
2002 (1) 19.49 0.23 (4.19) (0.23) --
2001 (1) 27.74 0.23 (7.42) (0.23) (0.83)
2000 25.51 0.23 2.91 (0.23) (0.68)
1999 20.60 0.28 5.35 (0.28) (0.44)
1998 20.74 0.29 1.40 (0.29) (1.54)
- ---------------------------------------------------------------------------------------------------------------------------
MID CAP INDEX FUND (5)
Class A
2003 (2) $ 8.51 $0.02 $0.05 $(0.02) $(0.23)
2002 (1) 9.38 0.04 (0.49) (0.04) (0.38)
2001 (1) (6) 12.56 0.05 (2.11) (0.05) (1.07)
2000 (7) 10.00 0.04 2.56 (0.04) --
Class B
2003 (2) $ 8.44 $(0.01) $0.05 $ -- $(0.23)
2002 (1) 9.33 (0.03) (0.48) -- (0.38)
2001 (1) (6) 12.52 -- (2.12) -- (1.07)
2000 (7) 10.00 (0.01) 2.56 (0.03) --
Class C
2003 (2) $ 8.47 $(0.01) $0.05 $ -- $(0.23)
2002 (1) 9.38 (0.02) (0.51) -- (0.38)
2001 (1) (4) 9.07 -- 0.31 -- --
Class S
2003 (2) $ 8.50 $0.02 $0.06 $(0.02) $(0.23)
2002 (1) 9.38 0.04 (0.50) (0.04) (0.38)
2001 (1) (8) 11.07 0.04 (1.67) (0.06) --
Class Y
2003 (2) $ 8.51 $0.03 $0.05 $(0.03) $(0.23)
2002 (1) 9.38 0.06 (0.49) (0.06) (0.38)
2001 (1) (6) 12.55 0.08 (2.11) (0.07) (1.07)
2000 (7) 10.00 0.08 2.55 (0.08) --
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Per share data calculated using average shares outstanding method.
(2) For the six months ended March 31, 2003 (unaudited). All ratios for the
period have been annualized, except total return and portfolio turnover.
(3) Class of shares has been offered since February 1, 1999. All ratios for the
period have been annualized, except total return and portfolio turnover.
(4) Class of shares has been offered since September 24, 2001. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(5) The financial highlights for the Mid Cap Index Fund as set forth herein
include the historical financial highlights of the Firstar Mid Cap Index
Fund. The assets of the Firstar Fund were acquired by the First American
Mid Cap Index Fund on September 24, 2001. In connection with such
acquisition, (i) Class A shares of the Firstar Mid Cap Index Fund were
exchanged for Class A shares of the First American Mid Cap Index Fund, (ii)
Firstar Class B shares were exchanged for Class B shares of the First
American Fund, (iii) Firstar Class Y shares were exchanged for Class S
shares of the First American Fund, and (iv) Firstar Institutional Class
shares were exchanged for Class Y shares of the First American Fund.
The accompanying notes are an integral part of the financial statements.
36
<Page>
<Table>
<Caption>
RATIO OF RATIO OF NET
RATIO OF NET EXPENSES TO INVESTMENT
NET ASSET RATIO INVESTMENT AVERAGE INCOME (LOSS)
VALUE NET ASSET EXPENSES TO INCOME (LOSS) NET ASSETS TO AVERAGE NET PORTFOLIO
END OF TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER
PERIOD RETURN (9) PERIOD (OOO) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- ------------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX FUND
Class A
2003 (1) (2) $15.93 4.78% $ 137,573 0.62% 1.28% 0.80% 1.10% 1%
2002 (1) 15.31 (20.75) 139,007 0.62 0.91 0.80 0.73 8
2001 (1) 19.50 (26.95) 188,410 0.60 0.74 1.14 0.20 6
2000 27.75 12.11 134,180 0.60 0.62 1.14 0.08 16
1999 25.52 27.30 110,439 0.60 0.85 1.14 0.31 7
1998 20.61 8.50 46,010 0.60 1.11 1.13 0.58 14
Class B
2003 (1) (2) $15.74 4.34% $ 63,998 1.37% 0.53% 1.55% 0.35% 1%
2002 (1) 15.13 (21.40) 66,835 1.37 0.16 1.55 (0.02) 8
2001 (1) 19.29 (27.49) 95,586 1.35 (0.01) 1.89 (0.55) 6
2000 27.49 11.25 121,092 1.35 (0.13) 1.89 (0.67) 16
1999 25.34 26.38 99,054 1.35 0.10 1.89 (0.44) 7
1998 20.49 7.66 44,122 1.35 0.37 1.88 (0.16) 14
Class C
2003 (1) (2) $15.83 4.25% $ 27,520 1.37% 0.53% 1.55% 0.35% 1%
2002 (1) 15.23 (21.38) 21,637 1.37 0.16 1.55 (0.02) 8
2001 (1) 19.41 (27.51) 29,560 1.35 (0.01) 1.89 (0.55) 6
2000 27.66 11.32 34,811 1.35 (0.13) 1.89 (0.67) 16
1999 (3) 25.48 0.76 16,861 1.35 0.07 1.89 (0.47) 7
Class S
2003 (1) (2) $15.92 4.72% $ 42,078 0.62% 1.28% 0.80% 1.10% 1%
2002 (1) 15.30 (20.79) 42,964 0.62 0.93 0.80 0.75 8
2001 (1) (4) 19.50 3.72 38,220 0.72 0.89 1.20 0.41 6
Class Y
2003 (1) (2) $15.92 4.84% $1,373,914 0.37% 1.54% 0.55% 1.36% 1%
2002 (1) 15.30 (20.56) 1,135,653 0.37 1.16 0.55 0.98 8
2001 (1) 19.49 (26.78) 1,567,607 0.35 0.99 0.89 0.45 6
2000 27.74 12.38 1,400,086 0.35 0.87 0.89 0.33 16
1999 25.51 27.61 1,206,072 0.35 1.11 0.89 0.57 7
1998 20.60 8.82 996,528 0.35 1.36 0.88 0.83 14
- ------------------------------------------------------------------------------------------------------------------------------------
MID CAP INDEX FUND (5)
Class A
2003 (2) $ 8.33 0.65% $ 3,775 0.75% 0.50% 0.85% 0.40% 10%
2002 (1) 8.51 (5.45) 3,581 0.75 0.37 0.83 0.29 19
2001 (1) (6) 9.38 (17.60) 2,972 0.75 0.51 0.80 0.46 43
2000 (7) 12.56 26.48 1,918 0.75 0.75 0.90 0.60 45
Class B
2003 (2) $ 8.25 0.31% $ 1,610 1.50% (0.25)% 1.60% (0.35)% 10%
2002 (1) 8.44 (6.07) 1,475 1.50 (0.37) 1.58 (0.45) 19
2001 (1) (6) 9.33 (18.15) 1,265 1.50 (0.24) 1.54 (0.28) 43
2000 (7) 12.52 25.65 905 1.50 0.00 1.65 (0.15) 45
Class C
2003 (2) $ 8.28 0.31% $ 1,107 1.50% (0.25)% 1.60% (0.35)% 10%
2002 (1) 8.47 (6.22) 795 1.50 (0.37) 1.58 (0.45) 19
2001 (1) (4) 9.38 3.42 -- 0.00 0.00 0.00 0.00 43
Class S
2003 (2) $ 8.33 0.77% $ 3,241 0.75% 0.50% 0.85% 0.40% 10%
2002 (1) 8.50 (5.56) 3,393 0.75 0.37 0.83 0.29 19
2001 (1) (8) 9.38 (14.77) 4,301 0.75 0.47 0.80 0.42 43
Class Y
2003 (2) $ 8.33 0.76% $ 180,608 0.50% 0.75% 0.60% 0.65% 10%
2002 (1) 8.51 (5.23) 198,545 0.50 0.63 0.58 0.55 19
2001 (1) (6) 9.38 (17.34) 176,857 0.50 0.75 0.53 0.72 43
2000 (7) 12.55 26.62 125,881 0.50 1.00 0.65 0.85 45
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
(6) Effective in 2001, the Fund's fiscal year end was changed from October 31
to September 30.
(7) Commenced operations on November 4, 1999. All ratios for the period have
been annualized, except total return and portfolio turnover.
(8) Class of shares has been offered since November 27, 2000. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(9) Total return does not reflect sales charges. Total return would have been
lower had certain expenses not been waived.
37
<Page>
<Table>
<Caption>
REALIZED AND
NET ASSET UNREALIZED DIVIDENDS
VALUE NET GAINS OR FROM NET DISTRIBUTIONS
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM
OF PERIOD INCOME (LOSS) INVESTMENTS INCOME CAPITAL GAINS
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP INDEX FUND (1)
Class A
2003 (2) $ 8.55 $ 0.03 $0.04 $(0.03) $ --
2002 (3) 9.68 0.05 (1.13) (0.05) --
2001 (3) (4) 12.23 (0.01) (1.49) -- (1.05)
2000 (5) 10.18 (0.01) 2.20 -- (0.14)
1999 (6) 10.00 -- 0.19 (0.01) --
Class B
2003 (2) $ 8.47 $ -- $0.04 $(0.01) $ --
2002 9.63 (0.03) (1.13) -- --
2001 (7) 10.97 (0.01) (1.33) -- --
Class C
2003 (2) $ 8.54 $(0.01) $0.05 $(0.01) $ --
2002 (3) 9.68 (0.03) (1.11) -- --
2001 (3) (8) 9.49 -- 0.19 -- --
Class S
2003 (2) $ 8.52 $ 0.01 $0.04 $(0.03) $ --
2002 (3) 9.64 0.05 (1.12) (0.05) --
2001 (3) (4) 12.19 (0.01) (1.49) -- (1.05)
2000 (5) 10.17 (0.01) 2.18 (0.01) (0.14)
1999 (6) 10.00 -- 0.17 -- --
Class Y
2003 (2) $ 8.57 $ 0.03 $0.04 $(0.03) $ --
2002 (3) 9.70 0.07 (1.13) (0.07) --
2001 (3) (4) 12.24 0.02 (1.50) (0.01) (1.05)
2000 (5) 10.19 0.02 2.19 (0.02) (0.14)
1999 (6) 10.00 0.01 0.19 (0.01) --
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The financial highlights for the Small Cap Index Fund as set forth herein
include the historical financial highlights of the Firstar Small Cap Index
Fund. The assets of the Firstar Fund were acquired by the First American
Small Cap Index Fund on September 24, 2001. In connection with such
acquisition, (i) Class A shares of the Firstar Small Cap Index Fund were
exchanged for Class A shares of the First American Fund, (ii) Firstar Class
B shares were exchanged for Class B shares of the First American Fund,
(iii) Firstar Class Y shares were exchanged for Class S shares of the First
American Fund, and (iv) Firstar Institutional Class shares were exchanged
for Class Y shares of the First American Fund.
(2) For the six months ended March 31, 2003 (unaudited). All ratios for the
period have been annualized, except total return and portfolio turnover.
(3) Per share data calculated using average shares outstanding method.
(4) Effective in 2001, the Fund's fiscal year end was changed from October 31
to September 30.
(5) Effective in 2000, the Fund's fiscal year end was changed from November 30
to October 31.
(6) Commenced operations on December 30, 1998. All ratios for the period have
been annualized, except total return and portfolio turnover.
(7) Class of shares has been offered since December 11, 2000. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(8) Class of shares has been offered since September 24, 2001. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(9) Total return does not reflect sales charges. Total return would have been
lower had certain expenses not been waived.
The accompanying notes are an integral part of the financial statements.
38
<Page>
<Table>
<Caption>
RATIO OF RATIO OF NET
RATIO OF NET EXPENSES TO INVESTMENT
NET ASSET RATIO OF INVESTMENT AVERAGE INCOME (LOSS)
VALUE NET ASSETS EXPENSES TO INCOME (LOSS) NET ASSETS TO AVERAGE NET PORTFOLIO
END OF TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER
PERIOD RETURN (9) PERIOD (OOO) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL CAP INDEX FUND (1)
Class A
2003 (2) $ 8.59 0.74% $ 2,206 0.93% 0.57% 1.12% 0.38% 4%
2002 (3) 8.55 (11.28) 1,908 0.93 0.46 1.09 0.30 49
2001 (3) (4) 9.68 (12.76) 341 0.91 (0.07) 0.94 (0.10) 102
2000 (5) 12.23 21.81 177 0.99 (0.11) 1.09 (0.21) 32
1999 (6) 10.18 1.86 134 1.00 (0.15) 1.14 (0.29) 35
Class B
2003 (2) $ 8.50 0.43% $ 512 1.68% (0.18)% 1.87% (0.37)% 4%
2002 8.47 (12.03) 424 1.68 (0.29) 1.84 (0.45) 49
2001 (7) 9.63 (12.11) 107 1.65 (0.84) 1.69 (0.88) 102
Class C
2003 (2) $ 8.57 0.43% $ 693 1.68% (0.17)% 1.87% (0.36)% 4%
2002 (3) 8.54 (11.72) 447 1.68 (0.26) 1.84 (0.42) 49
2001 (3) (8) 9.68 2.11 -- 0.00 0.00 0.00 0.00 102
Class S
2003 (2) $ 8.54 0.51% $ 1,837 0.93% 0.59% 1.12% 0.40% 4%
2002 (3) 8.52 (11.26) 13,576 0.93 0.42 1.09 0.26 49
2001 (3) (4) 9.64 (12.82) 13,886 0.88 (0.05) 0.91 (0.08) 102
2000 (5) 12.19 21.54 18,057 0.99 (0.11) 1.09 (0.21) 32
1999 (6) 10.17 1.74 14,955 0.92 (0.06) 1.12 (0.26) 35
Class Y
2003 (2) $ 8.61 0.85% $83,576 0.68% 0.80% 0.87% 0.61% 4%
2002 (3) 8.57 (11.09) 94,749 0.68 0.68 0.84 0.52 49
2001 (3) (4) 9.70 (12.56) 54,169 0.66 0.19 0.68 0.17 102
2000 (5) 12.24 21.93 60,771 0.69 0.19 1.09 (0.21) 32
1999 (6) 10.19 2.01 45,331 0.68 0.18 1.13 (0.27) 35
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
39
<Page>
NOTES TO FINANCIAL STATEMENTS March 31, 2003 (unaudited)
1 > ORGANIZATION
The First American Equity Index Fund, Mid Cap Index Fund, and Small Cap
Index Fund (each a "Fund" and collectively, the "Funds") are mutual funds
offered by First American Investment Funds, Inc. ("FAIF"), which is a
member of the First American Family of Funds. FAIF currently offers 37
funds, including the Funds. FAIF is registered under the Investment Company
Act of 1940, as amended, as an open-end management investment company.
FAIF's articles of incorporation permit the Funds' board of directors to
create additional funds in the future.
The Funds offer Class A, Class B, Class C, Class S, and Class Y shares.
Class A shares are sold with a front-end sales charge. Class B shares are
subject to a contingent deferred sales charge for six years and
automatically convert to Class A shares after eight years. Class C shares
are sold with a front-end sales charge, are subject to a contingent
deferred sales charge for 18 months, and will not convert to Class A
shares. Class S shares have no sales charge and are offered through banks
and other financial institutions. Class Y shares have no sales charge and
are offered only to qualifying institutional investors.
The Funds' prospectuses provide descriptions of each Fund's investment
objectives, policies, and strategies. All classes of shares have identical
voting, dividend, liquidation, and other rights, and the same terms and
conditions, except that the level of distribution and shareholder servicing
fees charged may differ among classes.
2 > SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The significant accounting policies followed by the Funds are as follows:
SECURITY VALUATION - Security valuations for the Funds' investments are
furnished by independent pricing services that have been approved by the
Funds' board of directors. Investments in equity securities that are traded
on a national securities exchange (or reported on the NASDAQ national
market system) are stated at the last quoted sales price if readily
available for such securities on each business day. Other equity securities
traded in the over-the-counter market and listed equity securities for
which no sale was reported on that date are stated at the last quoted bid
price. Debt obligations exceeding 60 days to maturity are valued by an
independent pricing service. The pricing service may employ methodologies
that utilize actual market transactions, broker-dealer supplied valuations,
or other formula-driven valuation techniques. These techniques generally
consider such factors as yields or prices of bonds of comparable quality,
type of issue, coupon, maturity, ratings, and general market conditions.
Securities for which prices are not available from an independent pricing
service but where an active market exists are valued using market
quotations obtained from one or more dealers that make markets in the
securities or from a widely used quotation system. When market quotations
are not readily available, securities are valued at fair value as
determined in good faith by procedures established and approved by the
Funds' board of directors. As of March 31, 2003, the Small Cap Index Fund
had fair valued securities with a total value of $0. Debt obligations with
60 days or less remaining until maturity may be valued at their amortized
cost. Foreign securities are valued at the closing prices on the principal
exchange on which they trade. The prices for foreign securities are
reported in local currency and converted to U.S. dollars using currency
exchange rates. Exchange rates are provided daily by recognized independent
pricing agents.
DISTRIBUTIONS TO SHAREHOLDERS - Distributions from net investment income
are declared and paid monthly. Any net realized capital gains on sales of a
Fund's securities are distributed to shareholders at least annually.
FEDERAL TAXES - It is each Fund's intention to continue to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal income taxes is required.
Net investment income and realized gains (losses) may differ for financial
statement and tax purposes because of temporary or permanent book/tax
differences. These differences are primarily due to losses deferred from
wash sales and the tax recognition of mark to market gains (losses) on open
futures contracts.
40
<Page>
The character of distributions made during the year from net investment
income or net realized gains may differ from its ultimate
characterization for federal income tax purposes. The character of the
distributions paid during the fiscal year ended September 30, 2002 and
the six months ended March 31, 2003 (estimated) were as follows:
<Table>
<Caption>
2003
- --------------------------------------------------------------------------
ORDINARY LONG TERM RETURN
FUND INCOME (000) GAIN (000) OF CAPITAL TOTAL (000)
- --------------------------------------------------------------------------
Equity Index $11,949 $ -- $-- $11,949
Mid Cap Index 782 5,212 -- 5,994
Small Cap Index 363 -- -- 363
- --------------------------------------------------------------------------
</Table>
<Table>
<Caption>
2002
- --------------------------------------------------------------------------
ORDINARY LONG TERM RETURN
FUND INCOME (000) GAIN (000) OF CAPITAL TOTAL (000)
- --------------------------------------------------------------------------
Equity Index $20,995 $-- $-- $20,995
Mid Cap Index 1,421 7,678 -- 9,099
Small Cap Index 717 -- -- 717
- --------------------------------------------------------------------------
</Table>
As of September 30, 2002, the Funds' most recently completed fiscal year
end, the components of accumulated earnings (deficit) on a tax basis were:
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX (000) INDEX (000) INDEX (000)
- ----------------------------------------------------------------------------
Undistributed Ordinary Income $ 426 $ 17 $ 43
Undistributed Long Term
Capital Gains -- 5,114 --
---------- --------- ---------
Accumulated Earnings 426 5,131 43
Accumulated Capital and
Post-October Losses (33,817) -- (690)
Unrealized Depreciation (79,324) (46,460) (25,814)
---------- --------- ---------
Total Accumulated
Earnings (Deficit) $(112,715) $(41,329) $(26,461)
- ----------------------------------------------------------------------------
</Table>
The difference between book and tax basis unrealized depreciation is
primarily due to the tax deferral of losses on wash sales and the amount of
gain (loss) recognized for tax purposes due to mark to market adjustments
on open futures contracts.
In addition, due to the timing of dividend distributions, the fiscal year
in which the amounts are distributed may differ from the year that the
income or realized gains (losses) were recorded by the Fund. To the extent
differences in character or timing are permanent, adjustments are made to
the appropriate equity accounts in the period that the difference arises.
As of September 30, 2002, the Funds' most recently completed fiscal year
end, the following Funds have capital loss carryforwards:
<Table>
<Caption>
FUND AMOUNT (000) EXPIRATION DATE
-------------------------------------------------------------------------
Equity Index $16,649 2008-2010
Small Cap Index 690 2009
--------------------------------------------------------------------------
</Table>
The Equity Index Fund incurred a loss of $17,168,058 for tax purposes for
the period from November 1, 2001 to September 30, 2002. As permitted by tax
regulations, the Fund intends to elect to defer and treat these losses as
arising in the fiscal year ending September 30, 2003.
SECURITY TRANSACTIONS AND INVESTMENT INCOME - The Funds record security
transactions on the trade date of the security purchase or sale. Dividend
income is recorded on the ex-dividend date. Interest income, including
amortization of bond premium and discount, is recorded on the accrual
basis. Security gains and losses are determined on the basis of identified
cost, which is the same basis used for federal income tax purposes.
FUTURES TRANSACTIONS - In order to gain exposure to or protect against
changes in the market, certain Funds may enter into S&P and Russell Index
futures contracts and other stock futures contracts.
41
<Page>
Upon entering into a futures contract, the Fund is required to deposit cash
or pledge U.S. government securities in an amount equal to 5% percent of
the purchase price indicated in the futures contract (initial margin).
Subsequent payments, which are dependent on the daily fluctuations in the
value of the underlying security or securities, are made or received by the
Fund each day (daily variation margin) and are recorded as unrealized gains
(losses) until the contract is closed. When the contract is closed, the
Fund records a realized gain (loss) equal to the difference between the
proceeds from (or cost of) the closing transaction and the Fund's basis in
the contract.
SECURITIES LENDING - Each Fund may lend up to one-third of the value of its
total assets to broker-dealers, banks, or other institutional borrowers of
securities in order to earn additional income. Each Fund's policy is to
maintain collateral in the form of cash, U.S. government securities, or
other high-grade debt obligations equal to at least 100% of the value of
securities loaned. The collateral is then "marked-to-market" daily until
the securities are returned.
USBAM serves as the securities lending agent of the Funds in transactions
involving the lending of portfolio securities on behalf of the Funds. For
these services, USBAM received $216,609, $23,561, $11,179 in securities
lending fees for the six months ended March 31, 2003, from the Equity Index
Fund, Mid Cap Index Fund, and Small Cap Index Fund, respectively.
EXPENSES - Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses are generally
allocated to the Funds on the basis of relative net assets of all funds
within the First American Fund complex. Class specific expenses are
borne by that class. Income, other expenses, and realized and unrealized
gains and losses of a Fund are allocated to each respective class in
proportion to the relative net assets of each class.
HISTORICAL FINANCIAL STATEMENT INFORMATION - The financial information
presented for the Small Cap Index Fund and the Mid Cap Index Fund, prior to
September 24, 2001, is that of Firstar Small Cap Index Fund and Firstar Mid
Cap Index Fund, respectively.
USE OF ESTIMATES IN PREPARATION OF FINANCIAL STATEMENTS - The preparation
of financial statements, in conformity with accounting principles generally
accepted in the United States, requires management to make estimates and
assumptions that affect the reported amount of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the
financial statements and the reported results of operations during the
reporting period. Actual results could differ from those estimates.
3 > FEES AND EXPENSES
ADVISORY FEES - Pursuant to an investment advisory agreement (the
"Agreement"), U.S. Bancorp Asset Management, Inc. ("USBAM"), manages each
Fund's assets and furnishes related office facilities, equipment, research,
and personnel. The Agreement requires each Fund to pay USBAM a monthly fee
based upon average daily net assets. The fee for the Equity Index Fund and
Mid Cap Index Fund is equal to an annual rate of 0.25% of the average daily
net assets. The fee for the Small Cap Index Fund is equal to an annual rate
of 0.40% of average daily net assets. USBAM voluntarily waived fees during
the six month period ending March 31, 2003, so that the total fund
operating expenses did not exceed expense limitations described in the
Funds' prospectuses.
The Funds may invest in the money market funds that are series of First
American Funds, Inc. ("FAF"), subject to certain limitations. The terms of
such transactions are identical to those of non related entities except
that, to avoid duplicative investment advisory fees, USBAM reimburses each
FAIF Fund an amount equal to the investment advisory fee paid by FAF to
USBAM related to such investments.
CO-ADMINISTRATION FEES - USBAM and U.S. Bancorp Fund Services, LLC
("USBFS") (collectively the "Administrators"), serve as co-administrators
pursuant to a co-administration agreement between the Administrators and
the Funds. USBAM is a subsidiary of U.S. Bank National Association ("U.S.
Bank"). Both U.S. Bank and USBFS are direct subsidiaries of U.S. Bancorp.
Under the co-administration agreement, the Administrators are compensated
to provide or compensate other entities to provide services to the Funds.
These services include various legal, oversight and administrative
services, accounting services, transfer agency and dividend disbursing
services, and shareholder services. The Funds pay the Administrators at an
annual rate, calculated daily and paid monthly based on the average daily
net assets of all open-end mutual funds in the First American Family of
Funds, equal to each Fund's pro rata share of an amount equal to 0.25% of
the aggregate average daily net assets up to $8 billion, 0.235% on the
next $17 billion of aggregate average daily assets, 0.22% on the next $25
billion of
42
<Page>
aggregate average daily net assets, and 0.20% of the aggregate average
daily net assets of all open-end mutual funds in the First American Family
of Funds in excess of $50 billion. In addition, the Funds pay the
Administrators annual fees of $18,500 per class and additional per account
fees for transfer agent services.
For the six months ended March 31, 2003, administration and transfer agent
fees paid to USBAM and USBFS for the Funds included in this semiannual
report were as follows:
<Table>
<Caption>
FUND AMOUNT (000)
-----------------------------------------------------------------------
Equity Index Fund $2,228
Mid Cap Index Fund 295
Small Cap Index Fund 132
-----------------------------------------------------------------------
</Table>
CUSTODIAN FEES - Through a separate contractual agreement, U.S. Bank serves
as the Funds' custodian. The fee for each Fund is equal to an annual rate
of 0.01% of average daily net assets, which is computed daily and paid
monthly.
DISTRIBUTION AND SHAREHOLDER SERVICING FEES - Quasar Distributors, LLC
("Quasar"), a subsidiary of U.S. Bancorp, served as distributor for the
Funds for the six months ended March 31, 2003. Under the respective
distribution agreements, the Funds paid Quasar a monthly distribution
and/or shareholder servicing fee equal to a rate of 0.25% of each Fund's
average daily net assets of the Class A shares, 1.00% of the Class B
shares, and 1.00% of the Class C shares, which may be used by Quasar to
provide compensation for sales support, distribution activities, and
shareholder servicing activities.
FAIF has adopted and entered into a shareholder service plan and agreement
with Quasar with respect to the Class S shares. Each Fund pays to Quasar a
monthly shareholder servicing fee equal to an annual rate of 0.25% of each
Fund's average daily net assets of the Class S shares. No distribution and
shareholder servicing fees are paid by Class Y shares. Under these
distribution and shareholder servicing agreements, the following amounts
were retained by Quasar or paid to affiliates of USBAM for the six months
ended March 31, 2003:
<Table>
<Caption>
FUND AMOUNT (000)
------------------------------------------------------------------------
Equity Index Fund $342
Mid Cap Index Fund 15
Small Cap Index Fund 15
------------------------------------------------------------------------
</Table>
OTHER FEES - In addition to the investment advisory fees, custodian fees,
distribution and shareholder servicing fees, and co-administration fees,
each Fund is responsible for paying most other operating expenses including
fees and expenses of outside directors, registration fees, printing
shareholder reports, legal, auditing, insurance, and other miscellaneous
expenses. For the six months ended March 31, 2003, legal fees and expenses
were paid to a law firm of which the Secretary and two Assistant
Secretaries of the Funds are partners.
SALES CHARGES - A contingent deferred sales charge ("CDSC") is imposed on
redemptions made in the Class B shares. The CDSC varies depending on the
number of years from time of payment for the purchase of Class B shares
until the redemption of such shares.
<Table>
<Caption>
CDSC AS A
PERCENTAGE OF DOLLAR
YEAR SINCE PURCHASE AMOUNT SUBJECT TO CHARGE
------------------------------------------------------------------------
First 5.00%
Second 5.00%
Third 4.00%
Fourth 3.00%
Fifth 2.00%
Sixth 1.00%
Seventh --
Eighth --
------------------------------------------------------------------------
</Table>
Class B shares will automatically convert to Class A shares eight years
after the first day of the month shares are purchased.
A CDSC of 1.00% is imposed on redemptions made in Class C shares for the
first 18 months.
The CDSC for Class B shares and Class C shares is imposed on the value of
the purchased shares or the value at the time of redemption, whichever is
less.
43
<Page>
For the six months ended March 31, 2003, sales charges paid to affiliates
of USBAM for distributing the Funds' shares were as follows:
<Table>
<Caption>
FUND AMOUNT (000)
------------------------------------------------------------------------
Equity Index Fund $135
Mid Cap Index Fund 11
Small Cap Index Fund 8
------------------------------------------------------------------------
</Table>
4 > INVESTMENT IN AFFILIATE
As disclosed in the Schedule of Investments, Equity Index Fund owns common
stock issued by U.S. Bancorp. For the six months ended March 31, 2003, the
Equity Index Fund recorded no realized gains from sales of U.S. Bancorp
common stock and $154,768 of income from U.S. Bancorp common stock.
5 > CAPITAL SHARE TRANSACTIONS
FAIF has 420 billion shares of $0.0001 par value capital stock authorized.
Capital share transactions for the Funds were as follows:
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND (000) INDEX FUND (000) INDEX FUND (000)
- ------------------------------------------------------------------------------------------------------------------------------------
10/01/02 10/01/01 10/01/02 10/01/01 10/01/02 10/01/01
TO TO TO TO TO TO
03/31/03 09/30/02 03/31/03 09/30/02 03/31/03 09/30/02
- ------------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
Class A:
Shares issued 742 1,767 123 261 80 426
Shares issued in lieu of cash distributions 54 85 12 14 1 1
Shares redeemed (1,240) (2,430) (103) (171) (47) (239)
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS (444) (578) 32 104 34 188
- ------------------------------------------------------------------------------------------------------------------------------------
Class B:
Shares issued 147 488 26 67 17 42
Shares issued in lieu of cash distributions 12 11 4 5
Shares redeemed (510) (1,038) (10) (33) (7) (3)
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS (351) (539) 20 39 10 39
====================================================================================================================================
Class C:
Shares issued 632 310 41 99 33 54
Shares issued in lieu of cash distributions 5 3 3 -- -- --
Shares redeemed (320) (415) (4) (5) (4) (2)
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS C TRANSACTIONS 317 (102) 40 94 29 52
====================================================================================================================================
Class S:
Shares issued 1,108 1,684 71 258 114 408
Shares issued in lieu of cash distributions 18 22 10 12 3 6
Shares redeemed (1,291) (859) (91) (330) (1,496) (260)
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS S TRANSACTIONS (165) 847 (10) (60) (1,379) 154
====================================================================================================================================
Class Y:
Shares issued 25,915 30,730 6,184 10,260 2,955 10,511
Shares issued in lieu of cash distributions 469 747 522 666 21 38
Shares redeemed (14,305) (37,657) (8,364) (6,449) (4,335) (5,075)
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS Y TRANSACTIONS 12,079 (6,180) (1,658) 4,477 (1,359) 5,474
====================================================================================================================================
NET INCREASE (DECREASE) IN CAPITAL SHARES 11,436 (6,552) (1,576) 4,654 (2,665) 5,907
====================================================================================================================================
</Table>
44
<Page>
6 > INVESTMENT SECURITY TRANSACTIONS
During the six months ended March 31, 2003, purchases of securities and
proceeds from sales of securities, other than temporary investments in
short-term securities, were as follows:
<Table>
<Caption>
FUND PURCHASES (000) SALES (000)
------------------------------------------------------------------------
Equity Index $184,440 $ 8,420
Mid Cap Index 19,785 44,086
Small Cap Index 3,901 28,633
------------------------------------------------------------------------
</Table>
The aggregate gross unrealized appreciation and depreciation of securities
held by the Funds and the total cost of securities for federal income tax
purposes at March 31, 2003, are as follows:
<Table>
<Caption>
AGGREGATE AGGREGATE FEDERAL
GROSS GROSS INCOME
FUND APPRECIATION DEPRECIATION NET TAX COST
(000) (000) (000) (000)
---------------------------------------------------------------------------
Equity Index $411,617 $(442,179) $(30,562) $2,517,415
Mid Cap Index 21,237 (68,667) (47,430) 293,540
Small Cap Index 7,346 (30,817) (23,471) 122,720
---------------------------------------------------------------------------
</Table>
7 > FUTURES CONTRACTS
The Funds' investment in S&P Index futures contracts is designed to
maintain sufficient liquidity to meet redemption requests and to increase
the level of Fund assets devoted to replicating the composition of the S&P
and Russell Indices while reducing transaction costs. Risks of entering
into futures contracts, in general, include the possibility that there will
not be a perfect price correlation between the futures contracts and the
underlying securities. Second, it is possible that a lack of liquidity for
futures contracts could exist in the secondary market, resulting in an
inability to close a futures position prior to its maturity date. Third,
the purchase of a futures contract involves the risk that a fund could lose
more than the original margin deposit required to initiate a futures
transaction. Unrealized gains (losses) on outstanding positions in futures
contracts held at the close of the year will be recognized as capital gains
(losses) for federal income tax purposes. As of March 31, 2003, futures
contracts for the Equity Index Fund, Mid Cap Index Fund, and Small Cap
Index Fund, were as follows:
<Table>
<Caption>
MARKET VALUE UNREALIZED
NUMBER OF COVERED BY SETTLEMENT GAIN (LOSS)
FUND CONTRACTS CONTRACTS (000) MONTH (000)
------------------------------------------------------------------------------
Equity Index
S&P 500 Index 178 $37,692 June - 03 $(643)
Mid Cap Index
S&P MidCap 400 Index 38 6,925 June - 03 (10)
Small Cap Index
Russell 2000 Index 4 819 June - 03 (6)
------------------------------------------------------------------------------
</Table>
45
<Page>
Board of Directors First American Investment Funds, Inc.
ROGER GIBSON
Director of First American Investment Funds, Inc.
Vice President, Cargo-United Airlines
LEONARD KEDROWSKI
Director of First American Investment Funds, Inc.
Owner and President of Executive and Management Consulting, Inc.
JOHN MURPHY JR.
Director of First American Investment Funds, Inc.
Retired; former Executive Vice President of U.S. Bancorp
RICHARD RIEDERER
Director of First American Investment Funds, Inc.
Retired; former President and Chief Executive Officer of Weirton Steel
JOSEPH STRAUSS
Director of First American Investment Funds, Inc.
Former Chairperson of First American Investment Funds, Inc.
Owner and President of Strauss Management Company
VIRGINIA STRINGER
Chairperson of First American Investment Funds, Inc.
Owner and President of Strategic Management Resources, Inc.
JAMES WADE
Director of First American Investment Funds, Inc.
Owner and President of Jim Wade Homes
<Page>
DIRECT FUND CORRESPONDENCE TO:
FIRST AMERICAN FUNDS
P.O. Box 1330
Minneapolis, MN 55440-1330
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the corporation and are not intended
to be a forecast of future events, a guarantee of future results, nor investment
advice. Further, there is no assurance that certain securities will remain in or
out of each fund's portfolio.
This material must be preceded or accompanied by a current prospectus, which
contains more complete information about First American Funds, including risks,
fees, and expenses. Please contact your investment professional, call First
American Funds Investor Services at 800.677.FUND, or visit
firstamericanfunds.com for additional information about First American Funds.
Past performance does not guarantee future results. The principal value of an
investment will fluctuate so that an investor's shares, when redeemed, may be
worth more or less than their original cost.
INVESTMENT ADVISOR
U.S. BANCORP ASSET MANAGEMENT, INC.
800 Nicollet Mall
Minneapolis, Minnesota 55402
CO-ADMINISTRATORS
U.S. BANCORP ASSET MANAGEMENT, INC.
800 Nicollet Mall
Minneapolis, Minnesota 55402
U.S. BANCORP FUND SERVICES, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
CUSTODIAN
U.S. BANK NATIONAL ASSOCIATION
180 East Fifth Street
St. Paul, Minnesota 55101
DISTRIBUTOR
QUASAR DISTRIBUTORS, LLC
615 East Michigan Street, 2nd floor
Milwaukee, Wisconsin 53202
INDEPENDENT AUDITORS
ERNST & YOUNG LLP
220 South Sixth Street
Suite 1400
Minneapolis, Minnesota 55402
COUNSEL
DORSEY & WHITNEY LLP
50 South Sixth Street
Suite 1500
Minneapolis, Minnesota 55402
FIRST AMERICAN FUNDS
P.O. Box 1330
Minneapolis, MN 55440-1330
In an attempt to reduce shareholder costs and help eliminate duplication, First
American Funds will try to limit their mailing to one report for each address
that lists one or more shareholders with the same last name. If you would like
additional copies, please call First American Funds Investor Services at
800.677.FUND. Visit us at firstamericanfunds.com.
2055-03 5/2003 SAR-INDEX
<Page>
Item 2 - Did registrant adopt a code of ethics, as of the end of the period
covered by this report, that applies to the registrant's principal executive
officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party? If not, why not?
Briefly describe any amendments or waivers that occurred during the period.
State here if code of ethics/amendments/waivers are on website and give website
address-. State here if fund will send code of ethics to shareholders without
charge upon request--N/A (not answered until July 15, 2003 and only annually
for funds)
Item 3 - Did the registrant's board of directors determine that the registrant
either: (i) has at least one audit committee financial expert serving on its
audit committee; or (ii) does not have an audit committee financial expert
serving on its audit committee? If yes, disclose name of financial expert and
whether he/she is "independent," (fund may, but is not required, to disclose
name/independence of more than one financial expert) If no, explain why not. -
N/A (not answered until July 15, 2003 and only annually for funds)
Item 4 - Disclose annually only (not answered until December 15, 2003)
(a) Audit Fees - Disclose aggregate fees billed for each of the last two
fiscal years for professional services rendered by the principal
accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for
those fiscal years. N/A.
(b) Audit-Related Fees - Disclose aggregate fees billed in each of the
last two fiscal years for assurance and related services by the
principal accountant that are reasonably related to the performance of
the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item. Registrants shall describe
the nature of the services comprising the fees disclosed under this
category. N/A.
(c) Tax Fees - Disclose aggregate fees billed in each of the last two
fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning.
Registrants shall describe the nature of the services comprising the
fees disclosed under this category. N/A.
(d) All Other Fees - Disclose aggregate fees billed in each of the last
two fiscal years for products and services provided by the principal
accountant, other than the services reported in paragraphs (a) through
(c) of this Item. Registrants shall describe the nature of the
services comprising the fees disclosed under this category. N/A.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. N/A.
(e)(2) Disclose the percentage of services described in each of paragraphs
(b) through (d) of this Item that were approved by the audit committee
pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
N/A.
(f) If greater than 50%, disclose the percentage of hours expended on the
principal accountant's engagement to audit the registrant's financial
statements for the most recent fiscal year that were attributed to
work performed by
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persons other than the principal accountant's full-time, permanent
employees. N/A.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to
the registrant's investment adviser (not including any sub-adviser
whose role is primarily portfolio management and is subcontracted with
or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the adviser
that provides ongoing services to the registrant for each of the last
two fiscal years of the registrant. N/A.
(h) Disclose whether the registrant's audit committee has considered
whether the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any subadviser whose
role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling,
controlled by, or under common control with the investment adviser
that provides ongoing services to the registrant that were not
pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X is compatible with maintaining the principal
accountant's independence. N/A.
Items 5-6 - Reserved
Item 7 - For closed - end funds that contain voting securities in their
portfolio, describe the policies and procedures that it uses to determine how to
vote proxies relating to those portfolio securities. N/A.
Item 8 -- Reserved
Item 9(a)- Disclose the conclusions of the registrant's principal executive
officer or officers and principal financial officer or officers, or persons
performing similar functions, about the effectiveness of the registrant's
disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act
(17 CFR 270.30a-2(c))) based on their evaluation of these controls and
procedures as of a date within 90 days of the filing date of the report that
includes the disclosure required by this paragraph. N/A.
Item 9(b)-- Disclose whether or not there were 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. N/A
Item 10 - Exhibits
10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or
amendments/waivers is on website or offered to shareholders upon request without
charge. N/A.
10(b) - Attach certifications (4 in total pursuant to Sections 302 and 906 for
CEO/CFO). Attached hereto.
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SIGNATURES
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.
First American Investment Funds, Inc.
By /S/ THOMAS S. SCHREIER, JR.
----------------------------
Thomas S. Schreier, Jr.
President
Date: May ____, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By /S/ THOMAS S. SCHREIER, JR.
----------------------------
Thomas S. Schreier, Jr.
President
Date: May ____, 2003
By /S/ ROBERT H. NELSON
---------------------
Robert H. Nelson
Treasurer
Date: May ____, 2003