<Page>
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OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response....... 5.0
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05309
---------------------------------------------
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)
Jonathan P. Lillemoen 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: September 30, 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>
CONFIDENTIAL DRAFT
11/13/2003
[GRAPHIC]
[PHOTO OF GEORGE WASHINGTON]
[FIRST AMERICAN FUNDS(SM) LOGO]
2003
ANNUAL REPORT
INDEX
FUNDS
"NOTHING BUT HARMONY, HONESTY, INDUSTRY, AND FRUGALITY ARE NECESSARY TO MAKE US
A GREAT AND HAPPY PEOPLE."
GEORGE WASHINGTON
JANUARY 29, 1789
<Page>
[GRAPHIC]
FIRST AMERICAN FUNDS
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.
TABLE OF CONTENTS
<Table>
Message to Shareholders 1
Report of Independent Auditors 9
Schedule of Investments 10
Statements of Assets and Liabilities 42
Statements of Operations 43 page numbers not final
Statements of Changes in Net Assets 44
Financial Highlights 46
Notes to Financial Statements 48
Notice to Shareholders 54
</Table>
MUTUAL FUND INVESTING INVOLVES RISK; PRINCIPAL
LOSS IS POSSIBLE.
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE
<Page>
MESSAGE TO SHAREHOLDERS November 14, 2003
DEAR SHAREHOLDERS:
We invite you to take a few minutes to review the results of the
fiscal year ended September 30, 2003.
This report includes comparative performance graphs and tables,
portfolio commentaries, complete listings of portfolio holdings, and
additional fund information. We hope you will find this helpful in
monitoring your investment portfolio.
Also, through our website firstamericanfunds.com, we provide quarterly
performance fact sheets on all First American funds, the economic
outlook as viewed by our senior investment officers, and other
information about fund investments and portfolio strategies.
Please contact your financial professional if you have questions about
First American Funds or contact First American Investor Services at
800.677.FUND.
We appreciate your investment with First American Funds and look
forward to serving your financial needs in the future.
Sincerely,
/s/ Virginia L. Stringer /s/ Thomas S. Schreier Jr.
VIRGINIA L. STRINGER THOMAS S. SCHREIER, Jr.
CHAIRPERSON OF THE BOARD PRESIDENT
FIRST AMERICAN INVESTMENT FUNDS, INC. FIRST AMERICAN INVESTMENT
FUNDS, INC.
1
<Page>
EQUITY INDEX FUND
Investment Objective: TO PROVIDE INVESTMENT RESULTS THAT CORRESPOND TO THE
PERFORMANCE OF THE STANDARD & POOR'S 500 COMPOSITE INDEX (S&P 500 COMPOSITE
INDEX)
First American Equity Index Fund Class Y shares returned 23.89% for the fiscal
year (Class A shares returned 23.58% at net asset value for the same period). By
comparison, the Fund's benchmark, the S&P 500 Composite Index*, returned 24.40%.
The Fund tracks the S&P 500 Composite Index, which is comprised of 500 companies
with market values generally greater than $6 billion. The S&P 500 Composite
Index is market value-weighted (shares outstanding times stock price); each
company's influence on index performance is directly proportional to its market
value. Because the Fund attempts to replicate the composition of the S&P 500
Composite Index, and because additions to and deletions from the index were
relatively few, resulting in fairly low transaction costs, Fund performance was
similar to that of the index. When comparing index performance to Fund
performance, please note that unlike mutual funds, index returns do not
reflect any expenses, transaction costs, or cash flow effects. This is the
primary reason that the Fund's performance is lower than the index.
There was a resurgence of investor optimism in equity investments in the past 12
months. Stocks that were perceived to be the best opportunities for growth,
especially the information technology sector, rebounded. Standard &Poor's
classifies approximately 16% of the index names as information technology
stocks, and these firms outperformed relative to other sectors during the past
12 months. In contrast, defensive sectors such as consumer staples and
healthcare sectors gained less in value. The other sectors did not have a
significant impact on total returns because they either performed very much like
the average or they were such a small weighting that any performance difference
did not affect the overall portfolio.
2
<Page>
ANNUALIZED PERFORMANCE(1) as of September 30, 2003
<Table>
<Caption>
SINCE INCEPTION(4)
---------------------------------------------------
1 YEAR 5 YEARS 10 YEARS 2/4/1994 8/15/1994 2/1/1999 9/24/2001
Class A NAV 23.58% 0.42% 9.44% -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class A POP 16.86% -0.71% 8.81% -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class B NAV 22.72% -0.33% -- -- 9.24% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class B POP 17.72% -0.70% -- -- 9.24% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class C NAV 22.65% -- -- -- -- -5.08% --
- ------------------------------------------------------------------------------------------------------------------------------
Class C POP 20.46% -- -- -- -- -5.29% --
- ------------------------------------------------------------------------------------------------------------------------------
Class S 23.66% -- -- -- -- -- 0.79%
- ------------------------------------------------------------------------------------------------------------------------------
Class Y 23.89% 0.66% -- 9.69% -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
S&P 500 Composite Index(3) 24.40% 1.00% 10.05% 10.18% 10.37% -3.88% -0.55%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
VALUE OF A $10,000 INVESTMENT(1),(2) as of September 30, 2003
<Table>
<Caption>
CLASS A CLASS Y
First American Equity Index Fund, Class A NAV $24,636
First American Equity Index Fund, Class A POP $23,275
First American Equity Index Fund, Class Y $24,967
S&P 500 Composite Index(3) $26,052 $25,785
</Table>
[CHART]
Class A
<Table>
10000.00 9451.80 10000.00
10330.00 9759.00 10368.00
13315.00 12579.00 13452.00
15945.00 15064.00 16187.00
22239.00 21010.00 22735.00
24130.00 22796.00 24792.00
30718.00 29020.00 31685.00
34436.00 32533.00 35894.00
25155.00 23765.00 26339.00
19923.00 18822.00 20943.00
24636.00 23275.00 26052.00
</Table>
[CHART]
Class Y
<Table>
10000.00 10000.00
10018.10 10037.00
12940.00 13022.00
15524.90 15670.00
21711.50 22008.00
23626.10 23999.00
30148.80 30672.00
33882.30 34746.00
24809.80 25496.00
19709.60 20273.00
24967.00 25785.00
</Table>
* Unlike mutual funds, index returns do not reflect any expenses, transaction
costs, or cash flow effects.
(1) Past performance does not guarantee future results and does not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
redemption of fund shares. The principal value of an investment and
investment return will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. Performance
reflects voluntary fee waivers in effect. In the absence of such fee
waivers, total returns would be reduced. Index is for illustrative purposes
only and is not available for investment.
Total returns at net asset value ("NAV") reflect performance over the time
period indicated without including the Fund's maximum sales charge and
assume reinvestment of all distributions at NAV.
Total returns at public offering price ("POP") reflect performance over the
time period indicated including maximum sales charges of 5.50% for Class A
shares, 1.00% for Class C shares, and the maximum contingent deferred sales
charge ("CDSC") for Class B and Class C shares for the relevant period.
Maximum CDSC is 5.00% for Class B shares and 1.00% for Class C shares. Total
returns assume reinvestment of all dividends at NAV.
(2) Performance for Class B, Class C, and Class S shares is not presented.
Performance for Class B and Class C is lower due to higher expenses.
Performance for Class S is substantially similar to Class A share NAV
performance due to similar expenses.
(3) An unmanaged index of large-capitalization stocks.
(4) The performance since inception for the index is calculated from the month
end following the inception of the class.
3
<Page>
MID CAP INDEX FUND
Investment Objective: TO PROVIDE INVESTMENT RESULTS THAT CORRESPOND TO THE
PERFORMANCE OF THE STANDARD & POOR'S MIDCAP 400 COMPOSITE INDEX (S&P MIDCAP 400
INDEX)
First American Mid Cap Index Fund Class Y shares returned 25.86% for the fiscal
year (Class A shares returned 25.45% at net asset value for the same period). By
comparison, the Fund's benchmark, the S&P MidCap 400 Index*, returned 26.81%.
This Fund tracks the S&P MidCap 400 Index, which is comprised of 400 firms with
market values of approximately $1 billion to $6 billion. Because the Fund
attempts to replicate the composition of the S&P MidCap 400 Index, and because
additions to and deletions from the index were relatively few, resulting in
fairly low transaction costs, Fund performance was similar to that of the index.
When comparing index performance to Fund performance, please note that unlike
mutual funds, index returns do not reflect any expenses, transaction costs, or
cash flow effects. This is the primary reason that the Fund's performance is
lower than the index.
Midsized firms' stocks generally performed better than larger firms' stocks. We
interpret this as investors perceiving that the greater flexibility of the
midsized firms would allow them to grow and compete more effectively.
Standard &Poor's classifies approximately 15% of the mid-cap index names as
information technology stocks, and these firms outperformed relative to other
sectors during the past 12 months. Other sectors had returns closely in line
with the average sector or were such a small weight that they did not have a
significant impact on total returns.
4
<Page>
ANNUALIZED PERFORMANCE(1) as of September 30, 2003
<Table>
<Caption>
SINCE INCEPTION(4)
-----------------------------------------------
1 YEAR 11/4/1999 11/27/2000 9/24/2001
Class A NAV 25.45% 5.58% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class A POP 18.49% 4.06% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class B NAV 24.63% 4.87% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class B POP 19.63% 4.19% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class C NAV 24.55% -- -- 9.82%
- ------------------------------------------------------------------------------------------------------------------------------
Class C POP 22.25% -- -- 9.28%
- ------------------------------------------------------------------------------------------------------------------------------
Class S 25.60% -- 0.38% --
- ------------------------------------------------------------------------------------------------------------------------------
Class Y 25.86% 5.84% -- --
- ------------------------------------------------------------------------------------------------------------------------------
S&P MidCap 400 Index(3) 26.81% 6.38% 3.29% 9.93%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
VALUE OF A $10,000 INVESTMENT(1),(2) as of September 30, 2003
<Table>
<Caption>
CLASS A CLASS Y
First American Mid Cap Index Fund, Class A NAV $12,362
First American Mid Cap Index Fund, Class A POP $11,684
First American Mid Cap Index Fund, Class Y $12,485
S&P Mid Cap 400 Index(3) $12,674 $12,674
</Table>
[CHART]
Class A
<Table>
10000.00 9451.80 10000.00
12648.00 11954.60 12508.30
10421.60 9850.27 10487.20
9853.78 9313.60 9994.95
12362.00 11684.00 12674.00
</Table>
[CHART]
Class Y
<Table>
10000.00 10000.00
12662.30 12508.30
10466.60 10487.20
9919.55 9994.95
12485.00 12674.00
</Table>
* Unlike mutual funds, index returns do not reflect any expenses, transaction
costs, or cash flow effects.
(1) Past performance does not guarantee future results and does not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
redemption of fund shares. The principal value of an investment and
investment return will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. Performance
reflects voluntary fee waivers in effect. In the absence of such fee
waivers, total returns would be reduced. Index is for illustrative purposes
only and is not available for investment.
Stocks of mid-capitalization companies may be slightly less volatile than
those of small-capitalization companies, but they still involve substantial
risk and may be subject to more abrupt or erratic price fluctuations than
large-capitalization companies.
Total returns at net asset value ("NAV") reflect performance over the time
period indicated without including the Fund's maximum sales charge and
assume reinvestment of all distributions at NAV.
Total returns at public offering price ("POP") reflect performance over the
time period indicated including maximum sales charges of 5.50% for Class A
shares, 1.00% for Class C shares, and the maximum contingent deferred sales
charge ("CDSC") for Class B and Class C shares for the relevant period.
Maximum CDSC is 5.00% for Class B shares and 1.00% for Class C shares. Total
returns assume reinvestment of all dividends at NAV.
On September 24, 2001, the Mid Cap Index Fund became the successor by merger
to the Firstar MidCap Index Fund, a series of Firstar Funds, Inc. Prior to
the merger, the First American Fund had no assets or liabilities.
Performance presented prior to September 24, 2001, represents that of the
Firstar MidCap Index Fund.
(2) Performance for Class B, Class C, and Class S shares is not presented.
Performance for Class B and Class C is lower due to higher expenses.
Performance for Class S is substantially similar to Class A share NAV
performance due to similar expenses.
(3) An unmanaged, capitalization-weighted index that represents the aggregate
market value of the common equity of 400 companies chosen by Standard &
Poor's with a median capitalization of approximately $700 million to measure
the performance of the mid-range sector of the U.S. stock market.
(4) The performance since inception for the index is calculated from the month
end following the inception of the class.
5
<Page>
SMALL CAP INDEX FUND
Investment Objective: TO PROVIDE INVESTMENT RESULTS THAT CORRESPOND TO THE
PERFORMANCE OF THE RUSSELL 2000 INDEX
First American Small Cap Index Fund Class Y shares returned 35.23% for the
fiscal year (Class A shares returned 34.77% at net asset value for the same
period). By comparison, the Fund's benchmark, the Russell 2000 Index* returned
36.50%.
The Fund generally holds positions very similar to those in the Russell 2000
Index. Like the index, which rebalances its holdings once a year, the Fund also
rebalances its stocks during the same period to reflect the changes. Because the
shift in names can cause 25% to 35% turnover in the index holdings, the Fund
generally looks for opportunities to complete the rebalance with minimal extra
expense and tax realization so that there will be minor impact on our ability to
achieve Russell 2000 Index-like returns. When comparing index performance to
Fund performance, please note that unlike mutual funds, index returns do not
reflect any expenses, transaction costs, or cash flow effects. This is the
primary reason that the Fund's performance is lower than the index.
Small firms, as ranked by market capitalizations of $50 million to $2 billion,
significantly outperformed larger companies during the fiscal year ended
September 30, 2003. We believe that during the prior 12 months, investors
perceived that smaller companies, and especially technology firms among them,
represented increasingly better opportunities to regain wealth at the conclusion
of a bear market.
During the period, the Fund had approximately 18% of its weight in the
information technology sector, which rebounded during the past 12 months.
Likewise, healthcare firms, at about 12% of the Fund, contributed above-average
gains, while the positive performance in telecommunication stocks had only
slight impact on the portfolio, since most telecommunication stocks are those of
large-cap firms. Small-cap financial firms were relatively weak performers.
However, in this strong period, they still contributed positively.
6
<Page>
ANNUALIZED PERFORMANCE(1) as of September 30, 2003
<Table>
<Caption>
SINCE INCEPTION(4)
-------------------------------------
1 YEAR 12/30/1998 12/11/2000 9/24/2001
Class A NAV 34.77% 5.56% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class A POP 27.33% 4.31% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class B NAV 33.87% -- 1.20% --
- ------------------------------------------------------------------------------------------------------------------------------
Class B POP 28.87% -- -0.22% --
- ------------------------------------------------------------------------------------------------------------------------------
Class C NAV 33.94% -- -- 9.74%
- ------------------------------------------------------------------------------------------------------------------------------
Class C POP 31.56% -- -- 9.17%
- ------------------------------------------------------------------------------------------------------------------------------
Class S 34.54% 5.44% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Class Y 35.23% 5.79% -- --
- ------------------------------------------------------------------------------------------------------------------------------
Russell 2000 Index(3) 36.50% 4.49% 1.71% 11.27%
- ------------------------------------------------------------------------------------------------------------------------------
</Table>
VALUE OF A $10,000 INVESTMENT(1),(2) as of September 30, 2003
<Table>
<Caption>
CLASS A CLASS Y
First American Small Cap Index Fund, Class A NAV $12,930
First American Small Cap Index Fund, Class A POP $12,221
First American Small Cap Index Fund, Class Y $13,065
Russell 2000 Index(3) $11,822 $11,822
</Table>
[CHART]
Class A
<Table>
10000.00 9451.80 10000.00
10186.10 9627.66 11021.00
12408.10 11727.90 12065.00
10825.10 10231.70 9816.00
9594.07 9068.12 8783.00
12930.00 12221.00 11822.00
</Table>
[CHART]
Class Y
<Table>
10000.00 10000.00
10200.90 11021.00
12438.70 12065.00
10876.40 9816.00
9660.65 8783.00
13065.00 11822.00
</Table>
* Unlike mutual funds, index returns do not reflect any expenses, transaction
costs, or cash flow effects.
(1) Past performance does not guarantee future results and does not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
redemption of fund shares. The principal value of an investment and an
investment return will fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their original cost. Performance
reflects voluntary fee waivers in effect. In the absence of such fee
waivers, total returns would be reduced. Indexes are for illustrative
purposes only and are not available for investment.
Stocks of small-capitalization companies involve substantial risk. These
stocks historically have experienced greater price volatility than stocks of
larger companies, and they may be expected to do so in the future.
Total returns at net asset value ("NAV") reflect performance over the time
period indicated without including the Fund's maximum sales charge and
assume reinvestment of all distributions at NAV.
Total returns at public offering price ("POP") reflect performance over the
time period indicated including maximum sales charges of 5.50% for Class A
shares, 1.00% for Class C shares, and the maximum contingent deferred sales
charge ("CDSC") for Class B and Class C shares for the relevant period.
Maximum CDSC is 5.00% for Class B shares and 1.00% for Class C shares. Total
returns assume reinvestment of all dividends at NAV.
On September 24, 2001, the Small Cap Index Fund became the successor by
merger to the Firstar Small Cap Index Fund, a series of Firstar Funds, Inc.
Prior to the merger, the First American Fund had no assets or liabilities.
Performance presented prior to September 24, 2001, represents that of the
Firstar Small Cap Index Fund. The Firstar Small Cap Index Fund was organized
on December 11, 2000, and, prior to that, was a separate series of
Mercantile Mutual Funds, Inc.
(2) Performance for Class B, Class C, and Class S shares is not presented.
Performance for Class B and Class C is lower due to higher expenses.
Performance for Class S is substantially similar to Class A share NAV
performance due to similar expenses.
(3) An unmanaged index that measures the performance of the 2,000 smallest
companies in the Russell 3000 Index, which represents approximately 81% of
the total market capitalization of the Russell 3000 Index. The Russell 3000
Index measures the performance of the 3,000 largest U.S. companies based on
total market capitalization, which represents approximately 98% of the
investable U.S. equity market.
(4) The performance since inception for the index is calculated from the month
end following the inception of the class.
7
<Page>
REPORT OF INDEPENDENT AUDITORS
To the Shareholders and Board of Directors
First American Investment Funds, Inc.
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments of the Equity Index, Mid Cap Index,
and Small Cap Index Funds (certain funds constituting First American
Investment Funds, Inc.) (the "Funds") as of September 30, 2003, the related
statements of operations for the year then ended, the statements of changes
in net assets for each of the two years in the period then ended and the
financial highlights for each of the periods indicated therein, except as
noted below. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on
our audits. The financial highlights of the Small Cap Index and Mid Cap
Index Funds for the periods presented through October 31, 2000, were
audited by other auditors whose reports dated December 29, 2000 and January
21, 2000, expressed unqualified opinions on those financial highlights.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements and
financial highlights. Our procedures included confirmation of securities
owned as of September 30, 2003, by correspondence with the custodian and
brokers or by other appropriate auditing procedures where replies from
brokers were not received. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights audited
by us as referred to above, present fairly, in all material respects, the
financial position of the funds listed above of the First American
Investment Funds, Inc. at September 30, 2003, the results of their
operations for the year then ended, the changes in their net assets for
each of the two years in the period then ended and their financial
highlights for each of the periods indicated herein in conformity with
accounting principles generally accepted in the United States.
/s/ Ernst & Young LLP
Minneapolis, Minnesota
November 7, 2003
9
<Page>
SCHEDULE OF INVESTMENTS September 30, 2003
EQUITY INDEX FUND
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
COMMON STOCKS - 96.6%
CONSUMER DISCRETIONARY - 13.3%
American Greetings, Cl A* 14,470 $ 281
AutoNation* 63,170 1,108
Autozone* 19,624 1,757
Bed Bath & Beyond* 64,843 2,476
Best Buy* 70,713 3,360
Big Lots* 25,598 405
Black & Decker 17,039 691
Brunswick 19,853 510
Carnival 138,083 4,542
Centex 13,542 1,055
Circuit City Stores 45,805 437
Clear Channel Communications 132,455 5,073
Comcast, Cl A* 493,575 15,242
Cooper Tire & Rubber 15,289 243
Costco Wholesale* 100,250 3,116
Dana 32,596 503
Darden Restaurants 36,139 687
Delphi Automotive Systems 122,883 1,112
Dillards, Cl A 18,202 254
Dollar General 73,155 1,463
Dow Jones & Company 17,862 846
Eastman Kodak 62,841 1,316
eBay* 140,828 7,536
Family Dollar Stores 36,938 1,473
Federated Department Stores 40,655 1,703
Ford Motor 401,796 4,327
Fortune Brands 31,855 1,808
Gannett 58,584 4,544
Gap 194,711 3,333
General Motors 122,980 5,034
Goodyear Tire & Rubber* 38,453 253
Harley-Davidson 66,382 3,200
Harrah's Entertainment 23,552 992
Hasbro 38,097 712
Hilton Hotels 80,898 1,312
Home Depot 504,076 16,055
International Game Technology 75,680 2,130
Interpublic Group of Companies* 85,841 1,212
J.C. Penney 59,552 1,273
Johnson Controls 19,283 1,824
Jones Apparel Group 27,759 831
KB HOME 10,313 615
Knight-Ridder 17,633 1,176
Kohl's* 74,453 3,983
Leggett & Platt 42,197 913
Limited 114,362 1,725
Liz Claiborne 23,054 785
Lowe's 171,841 8,919
Marriott International, Cl A 48,881 2,103
Mattel 96,275 1,825
May Department Stores 61,940 1,526
Maytag 17,062 426
McDonald's 279,068 6,569
McGraw-Hill 41,936 2,605
Meredith 10,017 462
New York Times, Cl A 32,775 1,424
Newell Rubbermaid 60,178 $ 1,304
Nike, Cl B 57,839 3,518
Nordstrom 28,678 711
Office Depot* 67,954 955
Omnicom Group 41,681 2,995
Pulte 14,935 1,016
RadioShack 36,313 1,032
Reebok International 12,723 425
Sears Roebuck and Company 66,466 2,907
Sherwin Williams 32,012 941
Snap-On Tools 12,798 354
Stanley Works 18,659 551
Staples* 107,521 2,554
Starbucks* 85,776 2,470
Starwood Hotels & Resorts Worldwide 43,080 1,499
Target 195,545 7,358
Tiffany & Company 31,841 1,189
Time Warner* 989,758 14,955
TJX 111,964 2,174
Toys 'R' Us* 46,791 563
Tribune 68,801 3,158
Tupperware 12,530 168
Univision Communications, Cl A* 70,413 2,248
V.F. 23,558 917
Viacom, Cl B 384,958 14,744
Visteon 25,007 165
Wal-Mart Stores 952,967 53,223
Walt Disney 443,863 8,953
Wendy's International 24,887 804
Whirlpool 15,098 1,023
Yum! Brands* 63,964 1,895
-------------
277,854
-------------
CONSUMER STAPLES - 8.3%
Alberto-Culver, Cl B 12,891 758
Albertson's 80,472 1,655
Altria Group 445,121 19,496
Anheuser-Busch 179,140 8,839
Archer-Daniels-Midland 141,423 1,854
Avon Products 51,803 3,344
Campbell Soup 90,034 2,386
Clorox 47,533 2,180
Coca-Cola 539,051 23,158
Coca-Cola Enterprises 99,237 1,891
Colgate-Palmolive 118,002 6,595
ConAgra Foods 117,773 2,501
Coors Adolph 7,976 429
CVS 86,565 2,689
General Mills 79,795 3,756
Gillette 223,750 7,156
H.J. Heinz 77,130 2,644
Hershey Foods 28,647 2,082
Kellogg 88,972 2,967
Kimberly-Clark 111,117 5,703
Kroger* 164,798 2,945
McCormick 30,590 839
Pepsi Bottling 58,873 1,212
PepsiCo 378,470 17,345
</Table>
The accompanying notes are an integral part of the financial statements.
10
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Procter & Gamble 281,084 $ 26,090
R J Reynolds Tobacco Holdings 18,934 749
Safeway* 96,805 2,221
Sara Lee 170,444 3,129
SUPERVALU 29,361 701
Sysco 142,480 4,661
UST 35,826 1,260
Walgreen 224,782 6,887
Winn-Dixie Stores 30,883 298
Wrigley, William Jr. 49,363 2,730
-------------
173,150
-------------
ENERGY - 5.5%
Amerada Hess 19,730 988
Anadarko Petroleum 54,724 2,285
Apache 35,484 2,460
Ashland 14,969 492
Baker Hughes 73,406 2,172
BJ Services* 34,713 1,186
Burlington Resources 44,022 2,122
ChevronTexaco 234,407 16,748
Conoco, Cl B 149,124 8,165
Devon Energy 50,861 2,451
EOG Resources 25,201 1,052
Exxon Mobil 1,448,392 53,011
Halliburton 96,045 2,329
Kerr-McGee 21,656 967
Marathon Oil 68,024 1,939
Nabors Industries* 32,120 1,197
Noble* 29,313 996
Occidental Petroleum 83,514 2,942
Rowan* 20,583 506
Schlumberger 127,764 6,184
Sunoco 16,876 679
Transocean Sedco Forex* 70,162 1,403
Unocal 56,664 1,786
-------------
114,060
-------------
FINANCIALS - 20.1%
ACE 61,030 2,019
AFLAC 112,737 3,641
Allstate 154,347 5,638
Ambac Financial Group 23,409 1,498
American Express 278,467 12,548
American International Group 572,190 33,015
AmSouth Bancorp 76,916 1,632
Aon 68,617 1,431
Apartment Investment & Management (REIT) 19,128 753
Bank of America 327,808 25,582
Bank of New York 168,939 4,918
Bank One 247,910 9,582
BB&T 119,746 4,300
Bear Stearns 21,871 1,636
Capital One Financial 49,843 2,843
Charles Schwab 297,044 3,538
Charter One Financial 49,499 1,515
Chubb 41,118 2,668
Cincinnati Financial 35,181 1,406
Citigroup 1,129,704 51,413
Comerica 38,440 $ 1,791
Countrywide Credit Industries 29,825 2,335
Equity Office Properties Trust (REIT) 81,407 2,241
Equity Residential Properties Trust (REIT) 59,846 1,752
Fannie Mae 213,582 14,993
Federal Home Loan Mortgage 152,587 7,988
Federated Investors, Cl B 23,820 660
Fifth Third Bancorp 124,965 6,932
First Tennessee National 27,595 1,172
FleetBoston Financial 227,463 6,858
Franklin Resources 55,045 2,434
Golden West Financial 34,622 3,099
Goldman Sachs Group 103,970 8,723
H & R Block 39,403 1,700
Hartford Financial Services Group 61,939 3,260
Huntington Bancshares 50,162 993
J. P. Morgan Chase 446,670 15,334
Janus Capital Group 52,481 733
Jefferson-Pilot 31,093 1,380
John Hancock Financial Services 63,425 2,144
KeyCorp 90,776 2,321
Lehman Brothers Holdings 53,057 3,665
Lincoln National 38,985 1,379
Loew's 40,676 1,642
Marsh & McLennan 116,762 5,559
Marshall & Ilsley 49,857 1,571
MBIA 31,789 1,747
MBNA 280,223 6,389
Mellon Financial 94,446 2,847
Merrill Lynch 205,076 10,978
Metlife 166,713 4,676
MGIC Investment 21,598 1,125
Moody's 31,649 1,740
Morgan Stanley 238,553 12,037
National City 134,700 3,968
North Fork Bancorp 33,105 1,150
Northern Trust 48,426 2,055
Plum Creek Timber 38,606 982
PNC Financial Services 61,431 2,923
Principal Financial Group 70,990 2,200
Progressive 47,650 3,293
Prologis 39,350 1,190
Providian Financial* 63,639 750
Prudential Financial 119,690 4,472
Regions Financial 48,837 1,673
SAFECO 30,375 1,071
Simon Property Group (REIT) 40,150 1,750
SLM 97,100 3,783
SouthTrust 74,031 2,176
St. Paul Companies 49,966 1,850
State Street 73,005 3,285
SunTrust Banks 61,734 3,727
Synovus Financial 66,109 1,652
T. Rowe Price Group 27,086 1,118
Torchmark 25,047 1,018
Travelers Property Casualty, Cl B 220,859 3,507
U.S. Bancorp (d) 412,184 9,888
Union Planters 42,628 1,349
</Table>
11
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
UnumProvident 70,687 $ 1,044
Wachovia 288,820 11,896
Washington Mutual 202,496 7,972
Wells Fargo 368,358 18,970
XL Capital Limited, Cl A 29,959 2,320
Zions Bancorporation 19,680 1,099
-------------
419,905
-------------
HEALTH CARE - 13.2%
Abbott Laboratories 342,708 14,582
Aetna 33,747 2,060
Allergan 28,636 2,255
AmerisourceBergen 24,544 1,327
Amgen* 283,103 18,280
Anthem* 30,406 2,169
Applera - Applied Biosystems Group 45,828 1,022
Bard C.R. 10,610 753
Bausch & Lomb 11,422 504
Baxter International 128,723 3,741
Becton, Dickinson & Company 55,693 2,012
Biogen* 32,785 1,253
Biomet 55,397 1,862
Boston Scientific* 90,282 5,760
Bristol-Myers Squibb 418,774 10,746
Cardinal Health 97,913 5,717
Chiron* 40,860 2,112
Cigna 30,758 1,373
Eli Lilly 246,204 14,625
Express Scripts* 16,900 1,033
Forest Laboratories, Cl A* 80,043 4,118
Genzyme* 48,707 2,253
Guidant 66,414 3,111
HCA 109,841 4,049
Health Management Associates, Cl A 52,601 1,147
Humana* 35,458 640
Johnson & Johnson 650,959 32,235
King Pharmaceuticals* 52,869 801
Manor Care 19,538 586
McKesson HBOC 63,708 2,121
Medco Health Solutions* 59,313 1,538
MedImmune* 54,798 1,809
Medtronic 264,868 12,428
Merck 491,033 24,856
Pfizer 1,707,705 51,880
Quest Diagnostics* 23,068 1,399
Schering-Plough 322,233 4,911
St. Jude Medical* 37,674 2,026
Stryker 43,679 3,289
Tenet Healthcare* 101,728 1,473
UnitedHealth Group 130,764 6,580
Watson Pharmaceuticals* 23,627 985
Wellpoint Health Networks* 32,195 2,482
Wyeth 291,972 13,460
Zimmer Holdings* 49,776 2,743
-------------
276,106
-------------
INDUSTRIALS - 10.8%
3M 167,790 11,589
Allied Waste Industries* 44,885 485
American Power Conversion 43,261 $ 741
American Standard* 15,849 1,335
Apollo Group, Cl A* 38,543 2,545
Automatic Data Processing 131,161 4,702
Avery Dennison 24,225 1,224
Boeing 184,455 6,332
Burlington Northern Santa Fe 80,008 2,310
Caterpillar 75,677 5,210
Cendant* 222,348 4,156
Cintas Group 37,386 1,377
Concord EFS* 106,763 1,459
Convergys* 35,570 652
Cooper Industries 20,190 970
Crane 12,732 298
CSX 46,924 1,373
Cummins Engine 9,100 404
Danaher 33,596 2,481
Deere & Company 52,505 2,799
Delta Air Lines 27,053 360
Donnelley RR & Sons 24,331 605
Dover 44,432 1,572
Eaton 16,473 1,460
Emerson Electric 92,341 4,862
Equifax 30,777 685
FedEx 65,471 4,218
Fluor 17,911 669
General Dynamics 43,253 3,376
General Electric 2,197,371 65,504
Genuine Parts 36,138 1,156
Goodrich 25,785 625
Grainger, W.W. 19,973 950
Honeywell International 188,632 4,970
Illinois Tool Works 67,523 4,474
IMS Health 56,743 1,197
Ingersoll-Rand, Cl A 37,574 2,008
ITT Industries 20,256 1,212
Lockheed Martin 98,883 4,563
Masco 103,086 2,524
Molex 41,916 1,198
Monster Worldwide* 24,625 620
Navistar International* 14,992 559
Norfolk Southern 85,578 1,583
Northrop Grumman 38,182 3,292
Paccar 25,568 1,910
Pall 27,225 611
Parker Hannifin 25,913 1,158
Paychex 82,635 2,804
Pitney Bowes 48,177 1,846
Power-One* 18,220 187
Raytheon 90,231 2,526
Robert Half International* 37,380 729
Rockwell Automation 40,536 1,064
Rockwell Collins 39,329 993
Ryder System 13,911 408
Sabre Group Holdings, Cl A 31,490 677
Southwest Airlines 171,716 3,039
Textron 29,726 1,173
Thomas & Betts* 12,823 203
</Table>
The accompanying notes are an integral part of the financial statements.
12
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Tyco International 438,075 $ 8,950
Union Pacific 54,066 3,145
United Parcel Service, Cl B 243,681 15,547
United Technologies 102,823 7,946
Waste Management 124,050 3,246
Worthington Industries 17,319 218
-------------
225,064
-------------
INFORMATION TECHNOLOGY - 16.5%
ADC Telecommunications* 176,367 411
Adobe Systems 51,157 2,008
Advanced Micro Devices* 76,096 845
Agilent Technologies* 103,367 2,285
Altera* 83,872 1,585
Analog Devices* 80,123 3,046
Andrew* 33,675 414
Apple Computer* 78,497 1,619
Applied Materials* 363,508 6,594
Applied Micro Circuits* 63,212 308
Autodesk 22,781 388
Avaya* 91,388 996
BMC Software* 50,094 698
Broadcom, Cl A* 65,050 1,732
Ciena* 103,319 611
Cisco Systems* 1,539,379 30,079
Citrix Systems* 35,543 785
Computer Associates International 126,712 3,308
Computer Sciences* 41,041 1,542
Compuware* 83,936 450
Comverse Technology* 41,299 618
Corning* 276,863 2,608
Dell* 563,360 18,811
Deluxe 12,649 508
Electronic Arts* 32,289 2,978
Electronic Data Systems 105,188 2,125
EMC* 472,210 5,964
First Data 162,351 6,488
Fiserv* 42,456 1,538
Gateway* 64,821 367
Hewlett-Packard 669,604 12,964
IBM 379,469 33,518
Intel 1,427,800 39,279
Intuit* 45,013 2,171
Jabil Circuit* 43,617 1,136
JDS Uniphase* 313,669 1,129
KLA-Tencor* 41,664 2,142
Lexmark International Group, Cl A* 26,585 1,675
Linear Technology 67,199 2,406
LSI Logic* 83,068 747
Lucent Technologies* 912,513 1,971
Maxim Integrated Products 69,708 2,753
Mercury Interactive* 18,052 820
Micron Technology* 133,761 1,795
Microsoft 2,371,762 65,911
Millipore* 10,677 492
Motorola 510,418 6,110
National Semiconductor* 40,309 1,302
NCR* 20,738 657
Network Appliance* 74,985 1,539
Novell* 81,449 $ 434
Novellus Systems* 33,200 1,120
NVIDIA* 34,891 555
Oracle Systems* 1,147,889 12,879
Parametric Technology* 49,999 156
PeopleSoft* 79,845 1,452
PerkinElmer 27,078 415
PMC-Sierra* 37,381 493
QLogic* 20,673 972
QUALCOMM 174,077 7,249
Sanmina* 111,882 1,085
Scientific-Atlanta 32,675 1,018
Siebel Systems* 108,355 1,053
Solectron* 181,993 1,065
Sun Microsystems* 708,334 2,345
SunGard Data Systems* 62,591 1,647
Symantec* 31,162 1,964
Symbol Technologies 47,263 565
Tektronix 18,610 461
Tellabs* 90,556 615
Teradyne* 41,386 770
Texas Instruments 379,700 8,657
Thermo Electron* 35,595 772
Unisys* 70,377 952
VERITAS Software* 93,372 2,932
Waters* 26,609 730
Xerox* 173,441 1,779
Xilinx* 74,761 2,131
Yahoo!* 134,223 4,749
-------------
343,241
-------------
MATERIALS - 2.7%
Air Products and Chemicals 49,846 2,248
Alcoa 185,564 4,854
Allegheny Technologies 14,676 96
Ball 12,316 665
Bemis 11,405 505
Boise Cascade 12,515 345
Brown-Forman, Cl B 14,268 1,129
Dow Chemical 201,430 6,555
E.I. du pont de Nemours 218,519 8,743
Eastman Chemical 16,717 560
Ecolab 56,966 1,438
Engelhard 27,473 760
Freeport-McMoran Copper & Gold, Cl B 36,931 1,222
Georgia-Pacific 55,646 1,349
Great Lakes Chemical 10,789 217
Hercules* 24,318 276
International Flavors & Fragrances 20,659 683
International Paper 105,170 4,104
Louisiana Pacific* 22,945 316
MeadWestvaco 43,950 1,121
Monsanto 57,433 1,375
Newmont Mining 88,363 3,454
Nucor 17,150 787
Pactiv* 34,539 700
Phelps Dodge* 19,526 914
PPG Industries 36,437 1,903
Praxair 35,740 2,214
</Table>
13
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Rohm & Haas 48,773 $ 1,631
Sealed Air* 18,616 879
Sigma-Aldrich 15,523 806
Temple-Inland 11,879 577
USX-U.S. Steel Group 22,654 416
Vulcan Materials 22,282 889
Weyerhaeuser 48,068 2,810
-------------
56,541
-------------
TELECOMMUNICATION SERVICES - 3.3%
ALLTEL 65,652 3,042
AT&T 172,842 3,725
AT&T Wireless Services* 591,815 4,841
BellSouth 405,174 9,595
CenturyTel 31,563 1,070
Citizens Communications* 62,361 699
Nextel Communications, Cl A* 227,113 4,472
Qwest Communications International* 371,828 1,264
SBC Communications 728,936 16,219
Sprint 198,084 2,991
Sprint PCS Group* 226,885 1,300
Verizon Communications 604,517 19,611
-------------
68,829
-------------
UTILITIES - 2.9%
AES* 135,924 1,009
Allegheny Energy* 27,570 252
Ameren 34,613 1,485
American Electric Power 86,631 2,599
Calpine* 84,013 411
Centerpoint Energy 67,063 615
Cinergy 37,804 1,387
CMS Energy* 31,599 233
Consolidated Edison 49,335 2,011
Constellation Energy 36,608 1,310
Dominion Resources 70,923 4,390
DTE Energy 36,900 1,361
Duke Energy 198,357 3,533
Dynegy* 82,166 296
Edison International* 71,457 1,365
El Paso 131,707 961
Entergy 49,993 2,707
Exelon 71,467 4,538
FirstEnergy 71,418 2,278
FPL Group 39,890 2,521
KeySpan 34,766 1,220
Kinder Morgan 27,036 1,460
NICOR 10,118 356
NiSource 57,637 1,152
People's Energy 7,880 326
PG&E* 90,374 2,160
Pinnacle West 20,022 711
PPL 38,754 1,587
Progress Energy 51,701 2,299
Progress Energy-CVO (C) 8,576 1
Public Service Enterprises 49,651 2,085
Sempra Energy 45,775 1,344
Southern 159,782 4,685
TECO Energy 41,162 569
TXU 70,622 1,664
<Caption>
DESCRIPTION SHARES/PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
Williams 113,602 $ 1,070
Xcel Energy 82,070 1,270
-------------
59,221
-------------
TOTAL COMMON STOCKS
(Cost $1,751,680) 2,013,971
-------------
SHORT-TERM INVESTMENTS - 3.9%
U.S. TREASURY OBLIGATION - 0.5%
United States Treasury Bill (b)
0.970%, 03/11/04 $ 10,800 10,753
-------------
TOTAL U.S. TREASURY OBLIGATION 10,753
-------------
RELATED PARTY MONEY MARKET FUND - 3.4%
First American Prime Obligations Fund, Cl Z (a)(d) 71,467,566 71,468
-------------
TOTAL RELATED PARTY MONEY MARKET FUND 71,468
-------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $82,220) 82,221
-------------
INVESTMENTS PURCHASED WITH PROCEEDS FROM
SECURITIES LENDING - 35.2%
COMMERCIAL PAPER - 3.7%
Bluegrass
1.190%, 05/18/04 2,843 2,843
CS First Boston
1.415%, 10/01/03 11,371 11,371
Danske Bank
1.508%, 12/22/03 11,371 11,371
Independent IV
1.216%, 04/15/04 7,392 7,392
K2 USA
1.020%, 12/01/03 5,675 5,675
Leafs
1.339%, 04/20/04 7,846 7,846
Mitten Mortgage
1.130%, 10/08/03 7,958 7,958
Mortgage Interest Network
1.110%, 10/15/03 2,842 2,842
1.130%, 12/02/03 5,675 5,675
Orchard Park
1.245%, 04/06/04 1,137 1,137
1.220%, 07/06/04 12,616 12,616
-------------
TOTAL COMMERCIAL PAPER 76,726
-------------
CORPORATE OBLIGATIONS - 8.0%
Allstate Life Global
1.092%, 08/16/04 11,371 11,371
Bank of Scotland
1.100%, 03/05/04 5,686 5,686
Castle Hill III
1.176%, 09/16/04 3,412 3,412
Deutsche Bank
1.430%, 12/31/03 4,549 4,549
1.340%, 03/22/04 5,686 5,686
General Electric Capital Corporation
1.150%, 07/09/07 5,687 5,687
Halogen Fund
1.150%, 10/03/03 23,651 23,651
Lloyd's Bank
1.100%, 03/05/04 11,371 11,371
Metlife Global Funding
1.130%, 09/15/04 6,821 6,821
1.147%, 04/28/08 4,776 4,776
</Table>
The accompanying notes are an integral part of the financial statements.
14
<Page>
<Table>
<Caption>
DESCRIPTION SHARES/PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
Monet Trust
1.210%, 12/28/03 $ 11,371 $ 11,371
Residential Mortgage Securities
1.140%, 09/11/04 8,529 8,529
Sigma Finance
1.268%, 08/09/04 11,370 11,370
SMM Trust 2002-M
1.140%, 09/23/04 19,047 19,047
Svenska Handlsbankn
1.100%, 03/03/04 11,371 11,371
1.100%, 03/15/04 2,047 2,047
Wells Fargo Bank
1.050%, 10/17/03 11,371 11,371
1.060%, 10/31/03 7,960 7,960
-------------
TOTAL CORPORATE OBLIGATIONS 166,076
-------------
MONEY MARKET FUNDS - 0.1%
AIM Short Term Liquid Asset Portfolio 454,857 455
Merrill Lynch Premier Institutional Fund 1,490,055 1,490
-------------
TOTAL MONEY MARKET FUNDS 1,945
-------------
OTHER SHORT-TERM INVESTMENTS - 3.0%
Commonwealth Life
1.430%, 11/01/03 5,741 5,741
General Electric Capital Assurance
1.370%, 12/19/03 2,274 2,274
Liquid Funding
1.130%, 8/23/04 5,684 5,684
1.130%, 9/14/04 5,685 5,685
Premium Asset Trust 02-7
0.110%, 06/01/04 16,943 16,943
Security Life Denver
1.381%, 01/13/04 14,783 14,783
1.490%, 03/15/04 11,371 11,371
-------------
TOTAL OTHER SHORT-TERM INVESTMENTS 62,481
-------------
REPURCHASE AGREEMENTS - 20.4%
Bear Stearns
1.240%, dated 9/30/03, matures
10/1/03, repurchase price $22,754,592
(collateralized by Various Securities: Total
Market Value $23,208,132) 22,743 22,743
CS First Boston
1.140%, dated 9/30/03,
matures 10/1/03, repurchase price
$28,429,452 (collateralized by
U.S. Government Securities:
Total Market Value $28,997,390) 28,429 28,429
CS First Boston
1.140%, dated 9/30/03, matures
10/1/03, repurchase price $3,525,252
(collateralized by U.S. Government
Securities: Total Market Value $3,595,689) 3,525 3,525
CS First Boston
1.248%, dated 9/30/03, matures
10/1/03, repurchase price $9,097,452
(collateralized by Collateralized
Mortgage Obligation: Total Market
Value $9,552,283) 9,097 9,097
Deutsche Bank
1.080%, dated 9/30/03, matures
10/1/03, repurchase price $5,685,881
(collateralized by U.S. Government
Securities: Total Market Value
$5,799,425) 5,686 5,686
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
Deutsche Bank
1.080%, dated 9/30/03, matures
10/1/03, repurchase price
$22,743,524 (collateralized by
U.S. Government Securities: Total
Market Value $23,197,698) $ 22,743 $ 22,743
Deutsche Bank
1.248%, dated 9/30/03, matures
10/1/03, repurchase price
$45,487,259 (collateralized by
Corporate Securities: Total Market
Value $47,759,967) 45,486 45,486
Goldman Sachs
1.268%, dated 9/30/03, matures
10/1/03, repurchase price
$17,057,732 (collateralized by
Corporate Securities: Total Market
Value $17,906,293) 17,057 17,057
Goldman Sachs
1.330%, dated 9/30/03, matures
10/1/03, repurchase price
$11,371,841 (collateralized by
Various Securities: Total Market
Value $11,723,139) 11,371 11,371
Goldman Sachs
1.380%, dated 9/30/03, matures
10/1/03, repurchase price $5,685,928
(collateralized by Various Securities: Total
Market Value $5,801,843) 5,686 5,686
Lehman Brothers
1.120%, dated 9/30/03, matures
10/1/03, repurchase price
$31,272,380 (collateralized by
U.S. Government Securities: Total
Market Value $31,896,925) 31,271 31,271
Lehman Brothers
1.130%, dated 9/30/03, matures
10/1/03, repurchase price
$11,371,778 (collateralized by
U.S. Government Securities: Total
Market Value $11,599,263) 11,371 11,371
Lehman Brothers
1.388%, dated 9/30/03, matures
10/1/03, repurchase price $22,743,718
(collateralized by Various Securities: Total
Market Value $23,046,079) 22,743 22,743
Lehman Brothers
1.150%, dated 9/30/03, matures
10/1/03, repurchase price $6,481,917
(collateralized by
Mortgage Obligations: Total Market
Value $6,857,728) 6,482 6,482
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $34,115,313
(collateralized by U.S. Government
Securities: Total Market Value
$34,797,016) 34,114 34,114
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $1,026,666
(collateralized by U.S. Government
Securities: Total Market Value
$1,047,565.75) 1,027 1,027
</Table>
15
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $2,842,943
(collateralized by U.S. Government
Securities: Total Market Value
$2,899,876.25) $ 2,843 $ 2,843
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $6,823,063
(collateralized by U.S. Government
Securities: Total Market Value
$6,959,649.68) 6,823 6,823
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price
$22,743,542.58 (collateralized by
U.S. Government Securities: Total
Market Value $23,198,017) 22,743 22,743
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $28,429,428
(collateralized by U.S. Government
Securities: Total Market Value
$28,997,404) 28,429 28,429
Merrill Lynch
1.130%, dated 9/30/03, matures
10/1/03, repurchase price $22,743,555
(collateralized by Asset-Backed and
U.S. Government Securities: Total
Market Value $23,198,476) 22,743 22,743
Merrill Lynch
1.308%, dated 9/30/03, matures
10/1/03, repurchase price $22,743,667
(collateralized by Corporate Securities:
Total Market Value $23,880,029) 22,743 22,743
Morgan Stanley
1.258%, dated 9/30/03, matures
10/1/03, repurchase price $6,027,063
(collateralized by Asset-Backed
Securities: Total Market Value
$6,328,196) 6,027 6,027
Morgan Stanley
1.258%, dated 9/30/03, matures
10/1/03, repurchase price $35,366,354
(collateralized by
Mortgage Obligations and
Asset-Backed Securities: Total Market
Value $37,141,522) 35,365 35,365
-------------
TOTAL REPURCHASE AGREEMENTS 426,547
-------------
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $733,775) 733,775
-------------
TOTAL INVESTMENTS - 135.7%
(Cost $2,567,676) 2,829,967
-------------
OTHER ASSETS AND LIABILITIES, NET - (35.7)% (743,969)
-------------
TOTAL NET ASSETS - 100.0% $ 2,085,998
-------------
</Table>
* Non-income producing security
(a) 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.
(b) 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.
(c) Security is fair valued. As of September 30, 2003, the market value of
this investment is $1,372 or 0.00% of total net assets. See note 2 in
Notes to Financial Statements.
(d) Investments in affiliated securities. As of September 30, 2003, the
market value of these investments is $81,355,860 or 3.90% of total net
assets. See note 4 in Notes to Financial Statements.
Cl - Class
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
16
<Page>
MID CAP INDEX FUND
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
COMMON STOCKS - 96.8%
CONSUMER DISCRETIONARY - 16.6%
99 Cents Only Stores* 20,446 $ 661
Abercrombie & Fitch* 28,002 776
American Eagle Outfitters* 20,384 303
Applebee's International 15,910 501
ArvinMeritor 19,643 350
Barnes & Noble* 18,548 471
Belo, Cl A 32,574 790
BJ's Wholesale Club* 19,883 385
Blyth 14,934 403
Bob Evans Farms 9,938 265
Borders Group* 20,940 396
BorgWarner 7,744 525
Brinker International* 27,848 929
Callaway Golf 19,268 275
CarMax* 29,669 969
Catalina Marketing, Cl C* 15,319 233
CBRL Group 13,981 496
Cheesecake Factory* 14,840 537
Chico's FAS* 24,780 759
Claire's Stores 14,017 469
Coach* 26,050 1,422
D.R. Horton 44,584 1,458
Dollar Tree Stores* 32,794 1,099
Emmis Communications, Cl A* 15,594 315
Entercom Communications* 14,531 651
Extended Stay America* 27,446 410
Federal Signal 13,238 197
Furniture Brands International* 15,984 385
Gentex 21,909 763
GTECH Holdings 15,076 646
Harte-Hanks 25,453 469
Hovnanian Enterprises, Cl A* 8,590 553
International Speedway, Cl A 14,540 638
Kelly Services, Cl A 10,206 255
Krispy Kreme Doughnuts* 16,697 643
Lancaster Colony 9,095 362
Lear* 19,260 1,014
Lee Enterprises 13,159 509
Lennar 21,121 1,643
Macrovision* 13,978 258
Mandalay Resort Group 18,058 715
Media General, Cl A 6,713 410
Michaels Stores 19,105 779
Modine Manufacturing 9,801 233
Mohawk Industries* 19,026 1,357
Neiman Marcus Group* 13,593 567
O'Reilly Automotive* 15,470 569
Outback Steakhouse 21,484 814
Park Place Entertainment* 86,600 780
Payless ShoeSource* 19,518 253
PETsMART 40,578 921
Pier 1 Imports 24,554 472
Reader's Digest Association, Cl A 34,218 479
Rent-A-Center* 23,540 760
Ross Stores 21,960 1,018
Ruby Tuesday 18,500 446
Saks* 40,651 $ 469
Scholastic* 11,237 324
Six Flags* 27,104 143
Sotheby's Holdings, Cl A* 16,836 182
Superior Industries 7,644 310
Timberland, Cl A* 10,207 435
Toll Brothers* 22,669 690
Unifi* 16,285 78
United Rentals* 22,066 355
Univision Communications, Cl A* 26,564 848
Washington Post, Cl B 2,554 1,698
Westwood One* 29,013 876
Williams-Sonoma* 33,351 900
-------------
42,064
-------------
CONSUMER STAPLES - 3.9%
Church and Dwight 11,370 398
Constellation Brands, CI A* 28,356 865
Dean Foods* 44,389 1,377
Dial 26,095 562
Hormel Foods 38,257 879
Interstate Bakeries 12,851 193
JM Smucker 14,327 604
Longs Drug Stores 10,176 205
PepsiAmericas 41,318 599
Ruddick 13,084 203
Sensient Technologies 13,446 282
Smithfield Foods* 31,289 601
Tootsie Roll Industries 14,754 457
Tyson Foods, Cl A 100,503 1,420
Universal 8,004 337
Whole Foods Market* 17,044 940
-------------
9,922
-------------
ENERGY - 7.4%
Cooper Cameron* 15,710 726
Cross Timbers Realty 371 8
ENSCO International 42,971 1,152
Equitable Resources 17,077 702
FMC Technologies* 18,914 405
Forest Oil* 13,874 332
Grant Prideco* 34,821 355
Hanover Compressor* 20,887 207
Helmerich & Payne 13,233 346
Murphy Oil 24,600 1,445
National-Oilwell* 24,358 442
Noble Energy 18,030 691
Patterson-UTI Energy* 23,203 628
Peabody Energy 15,339 481
Pepco Holdings 49,008 847
Pioneer Natural Resources* 33,790 860
Pogo Producing 20,368 922
Pride International* 38,749 657
Smith International* 28,704 1,033
Tidewater 16,548 468
Valero Energy 32,453 1,242
Varco International* 27,944 473
Weatherford International* 37,650 1,422
Westar Energy 19,784 365
</Table>
17
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Western Gas Resources 9,520 $ 362
Wisconsin Energy 33,589 1,027
XTO Energy 52,689 1,106
-------------
18,704
-------------
FINANCIALS - 19.1%
Allmerica Financial* 15,212 362
AMB Property 23,426 722
American Financial Group 19,976 434
AmeriCredit* 44,815 462
Amerus Group 11,210 381
Arthur J. Gallagher 25,241 714
Associated Banc-Corp 21,097 797
Astoria Financial 23,025 711
Bank of Hawaii 16,072 540
Banknorth Group 46,227 1,305
Brown & Brown 19,610 604
City National 13,908 709
Colonial BancGroup 35,652 515
Commerce Bancorp 21,482 1,029
Compass Bancshares 35,960 1,243
Cullen/Frost Bankers 14,760 550
Dime Bancorp* 23,400 4
E*TRADE Group* 103,898 962
Eaton Vance 19,830 664
Edwards A.G 21,921 842
Everest Re Group 15,903 1,195
Fidelity National Financial 38,618 1,161
First American 22,253 554
FirstMerit 24,226 599
Greater Bay Bancorp 14,921 310
GreenPoint Financial 39,379 1,176
HCC Insurance Holdings 18,265 531
Hibernia, Cl A 44,754 907
Horace Mann Educators 11,703 170
Hospitality Properties Trust (REIT) 16,655 584
Independence Community Bank 15,676 548
IndyMac Bancorp 17,212 399
Investors Financial Services 18,678 586
LaBranche 17,075 249
Legg Mason 18,561 1,340
Leucadia National 16,571 627
Liberty Property Trust (REIT) 22,730 841
M & T Bank 32,468 2,834
Mack-Cali Realty (REIT) 15,770 618
Mercantile Bankshares 22,785 911
MONY Group 12,716 414
National Commerce Financial 58,662 1,460
Neuberger Berman 20,082 841
New Plan Excel Realty Trust (REIT) 25,818 602
New York Community Bancorp 39,688 1,251
Ohio Casualty* 18,829 273
Old Republic International 33,945 1,123
PMI Group 25,484 860
Protective Life 19,761 590
Provident Financial Group 17,609 492
Radian Group 26,833 1,191
Roslyn Bancorp 21,940 515
SEI Investments 30,087 978
Silicon Valley Bancshares* 10,612 $ 293
Sovereign Bancorp 83,772 1,554
Stancorp Financial Group 8,348 480
TCF Financial 20,502 983
United Dominion Realty Trust (REIT) 34,430 630
Unitrin 18,044 550
W.R. Berkley 23,845 817
Waddell & Reed Financial 22,471 530
Washington Federal 19,990 504
Webster Financial 15,063 601
Westamerica Bancorporation 9,229 410
Wilmington Trust 17,969 553
-------------
48,185
-------------
HEALTH CARE - 12.9%
AdvancePCS* 26,389 1,203
Apogent Technologies* 28,359 592
Apria Healthcare Group* 15,708 430
Barr Laboratories* 19,156 1,307
Beckman Coulter 17,483 796
Charles River Laboratories International* 14,104 433
Community Health Systems* 28,510 619
Covance* 17,654 395
Coventry Health Care* 17,175 906
Cytyc* 31,450 473
DENTSPLY International 22,199 995
Edwards Lifesciences* 16,801 455
First Health Group* 27,203 711
Gilead Sciences* 57,739 3,229
Health Net* 33,324 1,055
Henry Schein* 12,472 707
Hillenbrand Industries 16,897 953
ICN Pharmaceuticals 22,946 394
IDEC Pharmaceuticals* 44,577 1,478
IVAX* 56,114 1,100
Lifepoint Hospitals* 11,124 268
Lincare Holdings* 28,636 1,049
Millennium Pharmaceuticals* 85,658 1,318
Mylan Laboratories 50,257 1,942
Omnicare 29,064 1,048
Oxford Health Plans* 23,794 983
PacifiCare Health Systems* 10,770 526
Patterson Dental* 19,546 1,125
Perrigo 17,877 228
Pharmaceutical Resources* 9,700 662
Protein Design Labs* 26,858 372
Sepracor* 24,295 669
SICOR* 34,114 658
STERIS* 19,873 457
Triad Hospitals* 23,654 716
Universal Health Services* 16,610 821
Varian Medical Systems* 19,583 1,126
Vertex Pharmaceuticals* 22,081 272
VISX* 14,492 276
-------------
32,747
-------------
INDUSTRIALS - 13.4%
ABX Air* 13,251 33
AGCO* 23,086 396
</Table>
The accompanying notes are an integral part of the financial statements.
18
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Alaska Air Group* 7,651 $ 213
Alexander & Baldwin 10,866 305
AMETEK 9,490 407
Banta 7,363 265
Bisys Group* 34,362 452
Brinks 15,562 270
C. H. Robinson Worldwide 24,159 899
Career Education* 28,436 1,288
Carlisle Companies 11,109 485
Ceridian* 42,487 791
Certegy 18,987 610
CheckFree* 22,718 454
ChoicePoint* 24,530 822
CNF 14,226 456
Copart* 28,157 304
Corinthian Colleges* 12,560 718
CSG Systems International* 15,001 222
DeVry* 20,172 477
Donaldson 12,224 659
DST Systems* 33,173 1,247
Dun & Bradstreet* 21,172 879
Dycom Industries* 13,733 280
Education Management* 10,225 590
EGL* 13,541 246
Energizer Holdings* 24,244 891
Expeditors International of Washington 30,017 1,033
Fastenal 20,748 784
Flowserve* 15,846 322
GATX 13,419 284
Graco 13,130 493
Granite Construction 12,363 231
Harsco 10,714 412
HON Industries 16,600 614
Hubbell, Cl B 18,447 673
IMC Global 33,021 212
J.B. Hunt Transport Services* 22,698 591
Jacobs Engineering Group* 15,906 717
Jetblue Airways* 19,160 1,168
Kennametal 10,153 380
Korn Ferry International* 15,715 130
L-3 Communications Holdings* 27,639 1,195
Manpower 22,294 827
Miller Herman 20,894 476
MPS Group* 30,615 276
Nordson 9,219 239
Overseas Shipholding Group 9,115 236
Pentair 14,153 564
Precision Castparts 14,135 496
Quanta Services* 33,444 277
Republic Services 45,485 1,030
Rollins 12,936 231
Sequa* 2,804 120
SPX* 21,964 995
Stericycle* 12,030 567
Swift Transportation* 23,923 543
Sylvan Learning Systems* 12,364 337
Tecumseh Products, Cl A 3,921 146
Teleflex 11,347 493
Trinity Industries 13,208 341
Valassis Communications* 14,917 $ 394
Viad 25,339 605
Werner Enterprises 18,328 420
York International 11,398 394
-------------
33,905
-------------
INFORMATION TECHNOLOGY - 13.9%
3Com* 105,614 623
Activision* 27,137 324
Acxiom* 24,480 386
ADTRAN* 11,073 677
Advanced Fiber Communications* 24,573 515
Advent Software* 8,657 139
Affiliated Computer Services, Cl A* 38,105 1,855
Arrow Electronics* 28,910 532
Ascential Software* 16,940 314
Atmel* 134,447 539
Avnet* 34,273 566
Avocent* 13,294 403
C D W 23,690 1,368
Cabot Microelectronics* 7,050 393
Cadence Design Systems* 77,856 1,043
CommScope* 15,666 189
Credence Systems* 18,095 208
Cree* 21,023 389
Cypress Semiconductor* 34,454 609
Diebold 19,202 973
Fair Isaac 13,820 815
Fairchild Semiconductor International, Cl A* 33,648 558
Gartner Group, Cl B* 23,020 251
Harris 18,696 669
Imation 10,185 333
Integrated Circuit Systems* 19,960 600
Integrated Device Technology* 29,857 371
International Rectifier* 18,403 689
Internet Security Systems* 14,264 178
Intersil, Cl A 39,635 943
Investment Technology Group* 13,558 260
Jack Henry & Associates 25,202 438
Keane* 18,854 241
KEMET* 24,776 316
Lam Research* 36,364 805
Lattice Semiconductor* 32,259 229
Legato Systems* 33,775 379
LTX* 14,205 160
Macromedia* 17,949 444
McDATA, Cl A* 32,834 393
Mentor Graphics* 19,741 346
Micrel* 26,485 323
Microchip Technology 58,759 1,407
National Instruments 14,080 567
Network Associates* 46,003 633
Newport* 11,299 159
Overture Services* 18,382 487
Plantronics* 11,934 285
Plexus* 11,175 174
Polycom* 28,351 471
Powerwave Technologies* 17,449 116
Quantum* 50,764 156
Retek* 15,468 104
</Table>
19
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Reynolds & Reynolds, Cl A 19,513 $ 538
RF Micro Devices* 52,861 491
RSA Security* 16,020 229
SanDisk* 20,020 1,276
Semtech* 21,040 388
Silicon Laboratories* 14,130 635
Storage Technology* 31,419 758
Sybase* 27,179 462
Synopsys* 44,536 1,370
Tech Data* 15,496 478
Titan* 23,029 480
Transaction Systems Architects, Cl A* 10,221 170
TriQuint Semiconductor* 38,474 215
Varian* 9,262 290
Vishay Intertechnology* 45,787 802
Wind River Systems* 26,370 150
-------------
35,077
-------------
MATERIALS - 3.6%
Airgas 21,042 375
Albemarle 11,823 325
Arch Coal 13,704 304
Bandag 5,065 171
Bowater 15,885 668
Cabot 17,694 504
Carpenter Technology 5,162 111
Crompton 31,891 185
Cytec Industries* 11,193 409
Ferro 11,690 250
FMC* 10,124 255
Glatfelter 11,952 141
Longview Fibre* 13,505 132
Lubrizol 14,269 463
Lyondell Chemical 46,420 593
Martin Marietta Materials 14,028 511
Minerals Technologies 5,773 294
Olin 15,885 251
Packaging Corporation of America* 29,900 581
Potlatch 8,228 245
Rayonier 11,896 483
RPM 33,152 433
Sonoco Products 26,437 580
Valspar 14,474 675
Wausau-Mosinee Paper 14,480 177
-------------
9,116
-------------
TELECOMMUNICATION SERVICES - 0.6%
Cincinnati Bell* 70,023 356
Price Communications* 15,549 193
Telephone & Data Systems 15,567 880
-------------
1,429
-------------
UTILITIES - 5.4%
AGL Resources 18,277 515
ALLETE 23,547 645
Alliant Energy 31,655 696
Aquila* 55,955 189
Black Hills 8,767 271
DPL 36,273 622
Duquesne Light Holdings 21,520 332
<Caption>
DESCRIPTION SHARES/PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
Energy East 41,812 $ 938
Great Plains Energy 18,923 574
Hawaiian Electric Industries 9,684 422
IDACORP 10,442 266
MDU Resources Group 21,649 731
National Fuel Gas 23,323 533
Northeast Utilities 38,140 683
NSTAR 14,191 674
OGE Energy 21,421 484
Oneok 21,379 431
Philadelphia Suburban 21,380 515
PNM Resources 11,403 320
Puget Energy 26,967 605
Questar 23,764 732
SCANA 31,808 1,089
Sierra Pacific Resources* 33,604 163
Vectren 21,400 505
WGL Holdings 13,942 385
WPS Resources 9,317 384
-------------
13,704
-------------
TOTAL COMMON STOCKS
(Cost $248,929) 244,853
-------------
SHORT-TERM INVESTMENTS - 4.2%
U.S. TREASURY OBLIGATION - 0.4%
United States Treasury Bill (b)
0.970%, 03/11/04 $ 1,000 995
-------------
TOTAL U.S. TREASURY OBLIGATION 995
-------------
RELATED PARTY MONEY MARKET FUND - 3.8%
First American Prime Obligations Fund, Cl Z (a) 9,530,707 9,531
-------------
TOTAL RELATED PARTY MONEY MARKET FUND 9,531
-------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $10,526) 10,526
-------------
INVESTMENTS PURCHASED WITH PROCEEDS FROM
SECURITIES LENDING - 34.9%
COMMERCIAL PAPER - 3.6%
Bluegrass
1.190%, 05/18/04 342 342
CS First Boston
1.415%, 10/01/03 1,369 1,369
Danske Bank
1.508%, 12/22/03 1,369 1,369
Independent IV
1.216%, 04/15/04 890 890
K2 USA
1.020%, 12/01/03 683 683
Leafs
1.339%, 04/20/04 945 945
Mitten Mortgage
1.130%, 10/08/03 958 958
Mortgage Interest Network
1.110%, 10/15/03 342 342
1.130%, 12/02/03 683 683
Orchard Park
1.245%, 04/06/04 137 137
1.220%, 07/06/04 1,519 1,519
-------------
TOTAL COMMERCIAL PAPER 9,237
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
20
<Page>
<Table>
<Caption>
DESCRIPTION SHARES/PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
CORPORATE OBLIGATIONS - 7.9%
Allstate Life Global
1.092%, 08/16/04 $ 1,369 $ 1,369
Bank of Scotland
1.100%, 03/05/04 685 685
Castle Hill III
1.176%, 09/16/04 411 411
Deutsche Bank
1.430%, 12/31/03 548 548
1.340%, 03/22/04 685 685
General Electric Capital Corporation
1.150%, 07/09/07 685 685
Halogen Fund
1.150%, 10/03/03 2,848 2,848
Lloyd's Bank
1.100%, 03/05/04 1,369 1,369
Metlife Global Funding
1.130%, 09/15/04 821 821
1.147%, 04/28/08 575 575
Monet Trust
1.210%, 12/28/03 1,369 1,369
Residential Mortgage Securities
1.140%, 09/11/04 1,027 1,027
Sigma Finance
1.268%, 08/09/04 1,369 1,369
SMM Trust 2002-M
1.140%, 09/23/04 2,294 2,294
Svenska Handlsbankn
1.100%, 03/03/04 1,369 1,369
1.100%, 03/15/04 246 246
Wells Fargo Bank
1.050%, 10/17/03 1,369 1,369
1.060%, 10/31/03 959 959
-------------
TOTAL CORPORATE OBLIGATIONS 19,998
-------------
MONEY MARKET FUNDS - 0.1%
AIM Short Term Liquid Asset Portfolio 54,776 55
Merrill Lynch Premier Institutional Fund 179,439 180
-------------
TOTAL MONEY MARKET FUNDS 235
-------------
OTHER SHORT-TERM INVESTMENTS - 3.0%
Commonwealth Life
1.430%, 11/01/03 691 691
General Electric Capital Assurance
1.370%, 12/19/03 274 274
Liquid Funding
1.130%, 8/23/04 684 684
1.130%, 9/14/04 685 685
Premium Asset Trust 02-7
0.110%, 06/01/04 2,040 2,040
Security Life Denver
1.381%, 01/13/04 1,780 1,780
1.490%, 03/15/04 1,369 1,369
-------------
TOTAL OTHER SHORT-TERM INVESTMENTS 7,523
-------------
REPURCHASE AGREEMENTS - 20.3%
Bear Stearns
1.240%, dated 9/30/03, matures
10/1/03, repurchase price $2,740,208
(collateralized by Various Securities: Total
Market Value $2,794,825) 2,739 2,739
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
CS First Boston
1.140%, dated 9/30/03, matures
10/1/03, repurchase price $3,423,600
(collateralized by U.S. Government
Securities: Total Market Value
$3,491,993) $ 3,424 $ 3,424
CS First Boston
1.140%, dated 9/30/03, matures
10/1/03, repurchase price $424,526
(collateralized by U.S. Government
Securities: Total Market Value $433,009) 425 425
CS First Boston
1.248%, dated 9/30/03, matures
10/1/03, repurchase price $1,095,555
(collateralized by Collateralized
Mortgage Obligation: Total Market
Value $1,150,328) 1,096 1,096
Deutsche Bank
1.080%, dated 9/30/03, matures
10/1/03, repurchase price $684,719
(collateralized by U.S. Government
Securities: Total Market Value $698,392) 685 685
Deutsche Bank
1.080%, dated 9/30/03, matures
10/1/03, repurchase price $2,738,875
(collateralized by U.S. Government
Securities: Total Market Value
$2,793,569) 2,739 2,739
Deutsche Bank
1.248%, dated 9/30/03, matures
10/1/03, repurchase price $5,477,776
(collateralized by Corporate Securities:
Total Market Value $5,751,465) 5,478 5,478
Goldman Sachs
1.268%, dated 9/30/03, matures
10/1/03, repurchase price $2,054,167
(collateralized by Corporate Securities:
Total Market Value $2,156,355) 2,054 2,054
Goldman Sachs
1.330%, dated 9/30/03, matures
10/1/03, repurchase price $1,369,477
(collateralized by Various Securities: Total
Market Value $1,411,752) 1,369 1,369
Goldman Sachs
1.380%, dated 9/30/03, matures
10/1/03, repurchase price $684,724
(collateralized by Various Securities: Total
Market Value $698,684) 685 685
Lehman Brothers
1.120%, dated 9/30/03, matures
10/1/03, repurchase price $3,765,957
(collateralized by U.S. Government
Securities: Total Market Value
$3,841,168) 3,766 3,766
Lehman Brothers
1.130%, dated 9/30/03, matures
10/1/03, repurchase price $1,369,439
(collateralized by U.S. Government
Securities: Total Market Value
$1,396,834) 1,369 1,369
Lehman Brothers
1.388%, dated 9/30/03, matures
10/1/03, repurchase price $2,738,899
(collateralized by Various Securities: Total
Market Value $2,775,310) 2,739 2,739
</Table>
21
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
Lehman Brothers
1.150%, dated 9/30/03, matures
10/1/03, repurchase price $780,581
(collateralized by
Mortgage Obligations: Total Market
Value $825,838) $ 781 $ 781
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $4,108,316
(collateralized by U.S. Government
Securities: Total Market Value
$4,190,410) 4,108 4,108
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $123,636
(collateralized by U.S. Government
Securities: Total Market Value
$126,152) 124 124
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $342,360
(collateralized by U.S. Government
Securities: Total Market Value
$349,216) 342 342
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $821,663
(collateralized by U.S. Government
Securities: Total Market Value
$838,112) 822 822
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $2,738,877
(collateralized by U.S. Government
Securities: Total Market Value
$2,793,607) 2,739 2,739
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $3,423,597
(collateralized by U.S. Government
Securities: Total Market Value
$3,491,995) 3,424 3,424
Merrill Lynch
1.130%, dated 9/30/03, matures
10/1/03, repurchase price $2,738,878
(collateralized by Asset-Backed and
U.S. Government Securities: Total
Market Value $2,793,663) 2,739 2,739
Merrill Lynch
1.308%, dated 9/30/03, matures
10/1/03, repurchase price $2,738,892
(collateralized by Corporate Securities:
Total Market Value $2,875,738) 2,739 2,739
Morgan Stanley
1.258%, dated 9/30/03, matures
10/1/03, repurchase price $725,805
(collateralized by Asset-Backed
Securities: Total Market Value $762,069) 726 726
Morgan Stanley
1.258%, dated 9/30/03, matures
10/1/03, repurchase price $4,258,972
(collateralized by
Mortgage Obligations and
Asset-Backed Securities: Total Market
Value $4,472,745) $ 4,259 $ 4,259
-------------
TOTAL REPURCHASE AGREEMENTS 51,371
-------------
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $88,364) 88,364
-------------
TOTAL INVESTMENTS - 135.9%
(Cost $347,819) $ 343,743
-------------
OTHER ASSETS AND LIABILITIES, NET - (35.9)% (90,928)
-------------
TOTAL NET ASSETS - 100.0% $ 252,815
-------------
</Table>
* Non-income producing security
(a) 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.
(b) 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.
Cl - Class
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
22
<Page>
SMALL CAP INDEX FUND
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
COMMON STOCKS - 93.9%
CONSUMER DISCRETIONARY - 14.0%
1-800 Flowers* 2,935 $ 22
4Kids Entertainment* 1,796 38
A.C. Moore Arts & Crafts* 1,866 42
Aaron Rents 4,529 95
Action Performance 2,276 56
Advanced Marketing Services 2,284 23
ADVO* 3,122 130
Aeropostale* 2,991 81
AFC Enterprises* 2,107 34
Alliance Gaming* 7,745 157
Ambassadors Group* 676 12
AMC Entertainment* 4,780 64
American Eagle Outfitters* 8,192 122
American Greetings, Cl A* 9,665 188
America's Car-Mart* 672 20
Ameristar Casinos* 1,715 43
ANC Rental* (c) 11,900 --
AnnTaylor Stores* 6,993 225
APAC Customer Service* 4,771 12
Applica* 3,249 20
Applied Industrial Technology 2,377 47
Arctic Cat 2,234 43
Arden Group, Cl A 156 10
Argosy Gaming* 4,123 101
Asbury Automotive Group* 2,030 34
Aztar* 4,410 78
Bally Total Fitness Holding* 4,406 38
Bassett Furniture 1,542 21
Beasley Broadcast Group* 508 7
Beazer Homes USA* 2,064 174
Bebe Stores* 727 20
Big 5 Sporting Goods* 2,729 42
Blair 1,039 22
Blue Rhino* 1,723 19
Bob Evans Farms 5,272 141
Boca Resorts, Cl A* 3,754 49
Bombay Company* 4,971 49
Boyd Gaming 4,868 74
Boyds Collection Limited* 3,051 14
Brookfield Homes 2,547 47
Brookstone* 1,882 37
Brown Shoe 2,623 83
Buckle 1,178 23
Building Materials Holding 2,031 27
Burlington Coat Factory 2,760 52
California Pizza Kitchen* 2,541 44
Callaway Golf 10,315 147
Carmike Cinemas* 202 5
Casual Male Retail Group* 4,682 35
Catalina Marketing, Cl C* 5,670 86
Cato, Cl A 2,618 53
CEC Entertainment* 3,564 140
Champion Enterprise* 9,290 59
Charlotte Russe Holding* 1,758 18
Charming Shoppes* 17,809 102
Charter Communications, Cl A* 40,654 167
Cherokee* 1,014 21
Chicago Pizza & Brewery* 1,680 $ 20
Children's Place Retail Stores* 1,858 32
Christopher & Banks 5,517 132
Churchill Downs 867 33
CKE Restaurants* 9,042 58
Coachmen Industries 2,114 25
Coldwater Creek* 1,872 18
Cole National* 1,765 22
Concord Camera* 3,783 40
Cooper Tire & Rubber 10,256 163
Cost Plus* 3,356 124
Courier 602 31
Cross Media Marketing* (c) 1,203 --
Crown Media Holdings, Cl A* 1,798 15
CSK Auto* 5,747 89
CSS Industries 723 19
Cumulus Media, Cl A* 6,745 115
Dave & Busters* 1,710 18
Deb Shops 449 8
Department 56* 2,067 26
Dicks Sporting Goods* 1,981 74
Digital Generation Systems* 4,560 10
Dillards, Cl A 9,648 135
Dover Downs Gaming & Entertainment 1,109 9
Dover Motorsports 2,291 9
Dress Barn* 2,874 39
Dura Automotive Systems* 2,554 24
Electronics Boutique & Holdings* 1,967 56
Emerson Radio* 2,827 11
Emmis Communications, Cl A* 6,958 140
Extended Stay America* 11,182 167
Exult* 4,933 40
Federal Signal 7,526 112
Finish Line, Cl A* 2,595 68
Finlay Enterprises* 1,018 15
Fisher Communications* 697 33
Footstar* 2,834 19
Fossil* 3,787 92
Fred's 6,056 200
Friedman's 3,512 49
FTD, Cl A* 498 11
Galyan's Trading* 1,086 11
GameStop* 3,119 50
Gaylord Entertainment* 1,849 45
Genesco* 3,217 52
Goodyear Tire & Rubber* 23,643 155
Goody's Family Clothing 2,852 28
Gray Television 5,961 70
Great Atlantic & Pacific Tea* 2,188 18
Grey Global Group 140 107
Group 1 Automotive* 2,562 88
Guess?* 1,303 12
Guitar Center* 1,997 64
Gymboree* 4,347 61
Hampshire Group* 320 10
Hancock Fabrics 2,181 34
Handleman 3,523 59
Haverty Furniture 2,337 43
Hibbett Sporting Goods* 1,609 38
</Table>
23
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Hollywood Entertainment* 8,331 $ 142
Hooker Furniture 558 20
Hot Topic* 7,386 166
Hughes Supply 3,680 119
iDine Rewards Network* 3,314 54
IHOP 3,029 100
Information Holdings* 2,003 40
Ingles Markets, Cl A 954 9
Insight Communications* 7,495 71
Insight Enterprises* 7,787 119
InterActiveCorp* 1,539 51
InterTAN* 3,039 28
Isle of Capri Casinos* 2,445 48
J & J Snack Foods* 1,394 49
J. Jill Group* 2,543 29
Jack in the Box* 5,201 93
JAKKS Pacific* 3,637 44
Jo-Ann Stores, Cl A* 2,241 63
JOS A Bank Clothiers* 680 30
Journal Register* 5,704 107
K2* 3,685 55
Kellwood 4,119 138
Kelly Services, Cl A 2,526 63
Kenneth Cole Productions 885 23
Kimball International 3,282 48
Kirkland's* 1,681 27
K-Swiss, Cl A 1,781 64
Landry's Restaurants 3,338 69
Libbey 1,748 49
Liberty 2,548 107
Lin TV, Cl A* 4,037 86
Linens `N Things* 6,919 165
Lithia Motors 2,085 42
LodgeNet Entertainment* 1,602 25
Lone Star Steakhouse & Saloon 2,234 47
M/I Schottenstein Homes 1,521 60
Macrovision* 6,430 119
Magna Entertainment* 6,098 25
Marcus 2,928 45
MarineMax* 1,277 19
Martha Stewart Living* 1,946 18
Matthews International, Cl A 4,293 113
Maxwell Shoe* 2,140 31
Men's Wearhouse* 5,447 140
Meritage* 1,730 82
Mestek* 292 5
Midas* 2,172 29
Midway Games* 3,849 11
Modine Manufacturing 3,458 82
Monaco Coach* 4,439 73
Mothers Work* 639 19
Movado Group 1,104 24
Movie Gallery* 3,795 75
MTR Gaming Group* 3,564 31
Multimedia Games* 1,567 57
Nautilus Group 4,215 53
Netflix* 1,568 53
Noland 66 2
Oakley* 3,669 37
OfficeMax* 19,485 $ 183
Oneida* 2,302 7
OshKosh B' Gosh, Cl A 1,191 31
O'Charley's* 3,111 46
Overstock.com* 1,304 19
Oxford Industries 878 56
P. F. Chang's China Bistro* 3,971 180
Pacific Sunwear of California* 11,077 229
Palm Harbor Homes* 3,374 58
Panera Bread, Cl A* 4,364 179
Papa John's International* 1,742 43
Party City* 1,578 20
Paxson Communications* 4,526 22
Payless ShoeSource* 10,658 138
PC Connection* 1,112 10
Penn National Gaming* 4,989 106
Pep Boys - Manny Moe & Jack 7,530 115
Perry Ellis International* 1,115 32
Petco Animal Supplies* 6,117 191
Phillips Van-Heusen 3,835 58
Pinnacle Entertainment* 3,470 24
Playboy Enterprises* 2,204 32
Pomeroy Computer Resources* 1,501 19
Priceline.com* 3,236 94
Prime Hospitality* 5,450 47
Pulitzer 726 38
Quicksilver* 8,640 138
R.H. Donnelley* 3,110 126
RARE Hospitality International* 4,509 112
RC2* 1,981 38
Reading International, Cl A* 2,387 14
Red Robin Gourmet Burgers* 1,376 35
Regent Communication* 5,303 32
Rent-Way* 3,506 19
Restoration Hardware* 3,043 18
Rex Stores* 1,143 15
Russ Berrie and Company 1,409 47
Russell 4,005 65
Ryan's Family Steak Houses* 6,542 84
Saga Communications* 1,984 38
Salem Communications* 1,320 26
Sauer-Danfoss 1,500 21
School Specialty* 2,557 72
Scientific Games* 7,728 88
SCP Pool* 4,877 136
Select Comfort* 3,078 82
Sharper Image* 1,380 32
Shoe Carnival* 1,118 16
Shopko* 4,296 64
Shuffle Master* 2,463 67
Sinclair Broadcast Group, Cl A* 5,788 59
Six Flags* 14,524 76
Skechers USA* 2,962 22
Skyline 914 29
Sonic* 5,912 149
Sonic Automotive, Cl A 4,275 103
Sonic Solutions* 2,180 30
Sotheby's Holdings, Cl A* 6,592 71
Source Interlink Companies* 1,931 18
</Table>
The accompanying notes are an integral part of the financial statements.
24
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
SOURCECORP* 2,252 $ 52
Spanish Broadcasting System* 4,828 41
Speedway Motorsports 2,208 65
Sports Authority* 6,514 205
Sports Resorts International* 367 2
Stage Stores* 2,168 55
Stamps.com* 5,577 32
Standard Motor Products 578 6
Standard Pacific 5,046 191
Stanley Furniture 867 26
Steak 'N Shake* 3,538 53
Stein Mart* 3,120 17
Steinway Musical Instruments* 654 12
Steven Madden* 1,569 30
Stoneridge* 1,949 29
Stride Rite 5,603 61
Sturm, Ruger & Company 3,331 34
Summit American Television* 5,596 16
Superior Industries 3,504 142
Systemax* 2,620 17
TBC* 3,277 82
The Wet Seal, Cl A* 3,298 33
Thor Industries 2,804 151
TiVo* 4,950 37
Too* 5,351 79
Toro 3,704 167
Tower Automotive* 11,054 50
Tractor Supply* 4,568 150
Trans World Entertainment* 2,215 13
Triarc 1,831 18
Triarc, Cl A 3,662 38
Tuesday Morning* 2,019 56
Tupperware 8,153 109
Tweeter Home Entertainment* 3,077 24
Ultimate Electronics* 1,722 16
Unifi* 8,229 40
United Auto Group* 2,970 68
Universal Electronics* 2,241 26
Urban Outfitters* 3,720 97
Vail Resorts* 2,893 41
Value Line 210 10
ValueVision International* 2,500 40
Vans* 2,807 31
Visteon 20,502 135
Wabtec 4,546 72
Wackenhut Corrections* 1,372 23
Warnaco Group, Cl A* 6,289 98
WCI Communities* 2,495 41
Weis Markets 1,461 50
Wellman 4,717 35
WESCO International* 3,003 16
West Marine* 1,758 33
Weyco Group 267 13
Whitehall Jewelers* 1,711 19
Wilsons The Leather Experts* 2,613 21
Winnebago Industries 1,841 82
WMS Industries* 3,357 76
Wolverine World Wide 6,254 121
World Wrestling 1,675 17
Yankee Candle* 4,882 $ 124
Zales* 5,032 223
-------------
17,932
-------------
CONSUMER STAPLES - 2.5%
7-Eleven* 3,627 50
Alico 1,113 31
American Italian Pasta* 2,294 89
BJ's Wholesale Club* 10,864 210
Casey's General Stores 6,709 94
Central European Distributors* 998 27
Chiquita Brands International* 5,305 94
Chronimed* 1,943 18
Coca-Cola Bottling 564 28
Corn Products International 5,431 173
Delta & Pine Land 5,667 130
DIMON 8,067 56
Duane Reade* 3,193 51
Elizabeth Arden* 1,819 30
Farmer Brothers 145 46
Flowers Foods 4,779 109
Green Mountain Coffee* 563 11
Hain Celestial Group* 3,443 62
Horizon Organic Holding* 970 23
Inter Parfums 601 6
International Multifoods* 3,401 79
Interstate Bakeries 6,896 103
John B. Sanfilippo & Son* 868 18
Lance 3,618 36
Longs Drug Stores 4,398 89
M & F Worldwide* 1,655 16
Maui Land & Pineapple* 432 11
Mondavi Robert, Cl A* 852 26
Nash-Finch 1,765 27
National Beverage* 1,720 26
Natures Sunshine Product 1,018 8
NBTY* 8,076 189
Nu Skin Enterprises 4,993 64
Omega Protein* 982 6
Pantry* 960 12
Pathmark Stores* 4,161 29
Peets Coffee & Tea* 1,924 38
Pilgrims Pride 2,502 31
Playtex Products* 4,600 27
Ralcorp Holdings* 4,472 124
Revlon* 4,927 13
Riviana Foods 893 25
Ruddick 4,879 76
Sanderson Farms 848 27
Schweitzer-Mauduit International 2,244 57
Seaboard 48 10
Sensient Technologies 5,986 126
Smart & Final* 1,915 12
Standard Commercial 2,515 46
Star Scientific* 4,547 8
Tejon Ranch* 1,677 56
Topps 4,983 49
United Natural Foods* 2,967 98
Universal 3,864 163
Usana Health Sciences* 664 32
</Table>
25
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Vector Group 3,648 $ 53
Wild Oats* 3,809 42
-------------
3,190
-------------
ENERGY - 3.6%
Atwood Oceanics* 1,201 29
Berry Petroleum, Cl A 2,305 42
Cabot Oil & Gas 3,811 99
Cal Dive International* 5,498 107
Carbo Ceramics 1,449 52
Cimarex Energy* 6,357 125
Clayton Williams Energy* 614 12
Comstock Resources* 4,563 61
Denbury Resources* 5,307 66
Dril-Quip* 973 16
Encore Acquisition* 1,377 30
Energy Partners* 3,330 37
EnergySouth 506 16
Evergreen Resources* 5,902 159
Forest Oil* 6,320 151
Frontier Oil 4,102 60
Global Industries* 10,523 48
Grey Wolf* 29,983 104
Gulf Island Fabrication* 1,106 17
GulfMark Offshore* 2,007 28
Hanover Compressor* 8,133 81
Harvest Natural Resources* 5,656 35
Holly 975 24
Horizon Offshore* 4,177 17
Hydril* 2,162 44
Input/Output* 6,598 26
KCS Energy* 5,473 37
Lone Star Technologies* 3,954 53
Lufkin Industries 798 19
Magnum Hunter Resources* 12,188 97
Magnum Hunter Resources Warrant* 1,160 --
Maritrans 944 14
Massey Energy 9,635 128
Matrix Service* 1,312 23
Maverick Tube* 6,566 102
McMoRan Exploration* 1,794 19
Meridian Resource* 5,510 24
MGE Energy 2,347 71
Newpark Resources* 11,388 49
North Coast Energy* 465 6
NS Group* 2,157 14
Nuevo Energy* 2,797 51
Oceaneering International* 3,324 78
Offshore Logistics* 2,752 56
Oil States International* 3,751 48
Parker Drilling* 12,825 30
Patina Oil & Gas 4,567 166
Penn Virginia 1,057 47
Petrocorp* 2,005 27
Petroleum Developement* 2,555 31
Petroleum Helicopters* 551 16
Plains Exploration & Production* 7,293 91
Plains Resources* 3,144 39
Prima Energy* 1,405 35
Quicksilver Resources* 2,177 53
Range Resources* 9,953 $ 68
Remington Oil & Gas* 3,277 59
Resource America, Cl A 2,287 27
RPC 1,398 14
Seabulk International* 1,912 14
Seacor Smit* 2,589 94
Spinnaker Exploration* 3,799 91
St. Mary Land & Exploration 4,298 109
Stone Energy* 3,472 122
Superior Energy Services* 7,107 70
Swift Energy* 4,085 58
Tesoro Petroleum* 8,547 72
Tetra Technologies* 3,067 63
The Houston Exploration* 2,096 74
Tom Brown* 4,785 123
TransMontaigne* 2,708 16
Unit* 5,580 105
Universal Compression Holdings* 2,605 56
Veritas DGC* 4,548 36
Vintage Petroleum 7,611 83
Westar Energy 9,895 183
W-H Energy Services* 3,296 59
World Fuel Services 1,467 41
-------------
4,547
-------------
FINANCIALS - 20.4%
1st Source 1,868 36
21st Century Insurance Group 3,474 48
ABC Bancorp 1,370 21
Acadia Realty Trust (REIT) 2,272 25
Accredited Home Lenders Holdings* 1,525 33
Advanta, Cl B 3,058 33
Affiliated Managers Group* 3,082 194
Alabama National 1,448 69
Alexander's (REIT)* 547 58
Alexandria Real Estate Equities 2,824 136
Alfa 5,026 63
Allegiant Bancorp 2,100 42
Allmerica Financial* 8,345 199
AMCORE Financial 3,671 92
American Home Mortgage Holdings 1,688 30
American Land Lease (REIT) 708 13
American Medical Security Group* 1,806 37
American Mortgage Acceptance (REIT) 1,260 21
American National Bankshares 557 14
American Physicians Capital* 1,353 38
American Realty Investors* 345 3
AmericanWest Bancorp* 1,462 27
Amerus Group, Cl A 5,999 204
Amli Residential Properties Trust (REIT) 1,989 52
Anchor Bancorp 3,238 76
Anthracite Capital (REIT) 7,423 72
Anworth Mortgage Asset (REIT) 4,692 67
Apex Mortgage Capital (REIT)* 4,790 26
Argonaut Group* 4,016 52
Arrow Financial 1,266 33
Associated Estates Realty (REIT) 2,443 16
Avatar Holdings* 850 27
Baldwin & Lyons 1,190 28
BancFirst 558 30
</Table>
The accompanying notes are an integral part of the financial statements.
26
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
BancTrust Financial Group 947 $ 14
Bank Mutual 1,574 67
Bank of Granite 1,889 35
Bank of the Ozarks 757 34
BankAtlantic Bancorp 7,836 112
Bankunited Financial* 4,598 97
Banner 1,617 33
Bay View Capital* 9,915 60
Bedford Property Investors (REIT) 2,011 52
Berkshire Hills Bancorp 794 27
Boston Private Financial Holdings 3,815 90
Boykin Lodging (REIT) 2,578 21
Brandywine Realty Trust (REIT) 3,707 95
Brookline Bancorp 8,642 127
BRT Realty Trust (REIT) 82 2
Bryn Mawr Bank 457 19
BSB Bancorp 1,153 32
C & F Financial 513 23
Camco Financial 1,149 20
Camden National 1,238 37
Capital Automotive (REIT) 3,796 116
Capital City Bank Group 1,324 51
Capital Corporation of the West* 772 25
Capitol Bancorp 1,381 37
Capstead Mortgage (REIT) 1,692 21
Cascade Bancorp 1,948 33
Cash America International 3,673 60
Cathay Bancorp 2,359 104
Cavalry Bancorp 725 12
CB Bancshares 633 39
CCBT Financial 1,333 33
Center Bancorp 1,115 18
Center Financial 711 14
Central Coast Bancorp* 1,267 21
Central Pacific Financial 2,237 55
Century Bancorp, Cl A 474 16
CFS Bancorp 1,452 20
Charter Financial 495 15
Charter Mutual 4,967 91
Chateau Communities (REIT) 3,158 94
Chemical Financial 3,535 109
Chittenden 5,253 156
Citizens* 4,313 35
Citizens Banking 6,791 179
Citizens First Bancorp 1,384 29
Citizens South Banking 1,269 19
City Bank 1,248 40
City Holdings 2,530 84
Clark* 2,445 33
CNA Surety* 2,546 26
CNB Financial 529 22
Coastal Bancorp 722 23
Coastal Financial 1,797 25
Cobiz 2,497 40
Colonial Properties Trust (REIT) 2,294 83
Columbia Bancorp 829 22
Columbia Bancorp - Oregon 1,121 16
Columbia Banking System 1,976 35
Commerce Group 3,630 138
Commercial Bankshares 462 $ 14
Commercial Capital Bancorp* 1,367 21
Commercial Federal 6,947 169
Commercial Net Lease Realty (REIT) 5,326 91
Community Bank Northern Virginia 650 11
Community Bank System 1,730 76
Community Banks 1,269 42
Community First Bankshares 5,707 151
Community Trust Bancorp 1,881 55
CompuCredit* 2,112 37
Connecticut Bancshares 1,741 89
Cornerstone Realty Income Trust (REIT) 7,886 64
Corporate Office Properties Trust (REIT) 4,609 85
Correctional Properties Trust (REIT) 1,624 41
Corrections Corporation of America* 5,491 135
Corus Bankshares 1,153 62
Crawford & Company 1,583 11
Credit Acceptance* 2,010 23
Criimi Mae (REIT)* 1,849 19
Crown American Realty Trust (REIT) 3,794 45
CVB Financial 4,922 94
Delphi Financial Group 2,494 116
Dime Community Bancshares 3,143 72
Donegal Group, Cl A 520 8
DVI* 2,090 --
East West Bancorp 3,404 146
Eastern Virginia Bankshares 697 19
EastGroup Properties (REIT) 2,281 63
E-Loan* 6,608 24
EMC Insurance Group 288 5
Enstar Group* 512 20
Entertainment Properties Trust (REIT) 2,634 79
Equity Inns (REIT) 6,372 48
Equity One (REIT) 4,028 68
ESB Financial 1,268 18
eSPEED, Cl A* 3,479 79
Essex Property Trust (REIT) 2,405 151
Euronet Worldwide* 2,529 31
EverTrust Financial Group 588 17
Exchange National Bancshares 624 22
F.N.B. - North Carolina 749 19
F.N.B. - Virginia 837 23
Farmers Capital Bank 815 27
FBL Financial Group, Cl A 1,802 44
Federal Agricultural Mortgage, Cl C* 1,236 33
FelCor Lodging Trust (REIT)* 8,895 92
FFLC Bancorp 633 18
Fidelity Bankshares 2,058 54
Fidelity National Information Solutions* 1,878 47
Financial Federal* 2,234 68
Financial Industries 1,182 17
Financial Institutions 1,325 29
First Albany Companies 1,109 14
First Bancorp North Carolina 1,171 33
First Busey 1,233 32
First Charter 4,565 89
First Citizens Bancorp 559 15
First Citizens Bancshares, Cl A 895 95
First Commonwealth Financial 8,709 115
</Table>
27
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
First Community Bancorp 1,915 $ 64
First Community Bancshares 1,470 52
First Defiance Financial 770 18
First Essex Bancorp 1,035 53
First Federal Capital 2,677 55
First Financial 1,054 64
First Financial - Kentucky 469 14
First Financial Bancorp 4,624 68
First Financial Bankshares 1,990 74
First Financial Holdings 2,007 61
First Indiana 1,831 34
First Industrial Realty Trust (REIT) 6,154 197
First M & F 491 18
First Merchants 2,760 71
First National 1,159 31
First Niagara Financial Group 11,097 168
First Oak Brook Bancshares 992 25
First of Long Island 530 20
First Place Financial 1,874 33
First Republic Bank 1,716 53
First Sentinel Bancorp 3,465 62
First South Bancorp 405 13
First State Bancorporation 1,164 34
First United 864 19
Firstbank - Michigan 789 25
FirstFed American Bancorp 2,434 54
FirstFed Financial* 3,303 130
Flag Financial 1,008 13
Flagstar Bancorp 4,324 99
FloridaFirst Bancorp 820 22
Flushing Financial 1,596 33
FMS Financial 636 11
Foothill Independant Bancorp 587 12
Franklin Financial 534 17
Fremont General 9,554 121
Frontier Financial 2,319 69
G B & T Bancshares 692 15
GA Financial 593 16
Gabelli Asset Management* 963 34
Gables Residential Trust (REIT) 3,719 120
GATX 6,257 132
GBC Bancorp of California 1,148 44
German American 1,317 23
Getty Realty (REIT) 2,449 60
Glacier Bancorp 2,639 72
Gladstone Capital 1,372 27
Glenborough Realty Trust (REIT) 2,364 45
Glimcher Realty Trust (REIT) 4,582 97
Gold Banc 7,096 86
Great American Financial Resources 1,128 16
Great Lakes (REIT) 2,201 35
Great Southern Bancorp 893 35
Greater Bay Bancorp 8,148 169
Greater Community Bancorp 709 11
Greene County Bancshares 906 22
Hancock Holding 1,944 96
Hanmi Financial 1,470 29
Harbor Florida Bancshares 3,204 85
Harleysville Group 4,458 104
Harleysville National 3,620 $ 85
Hawthorne Financial* 1,347 54
Health Care (REIT) 5,844 180
Heartland Financial USA 980 27
Heritage Commerce* 1,782 19
Heritage Financial 844 18
Heritage Property Investment Trust (REIT) 2,464 71
Highwoods Properties (REIT) 8,392 200
Hilb, Rogal & Hamilton 4,442 138
Home Properties of New York (REIT) 4,086 160
Horace Mann Educators 5,927 86
Horizon Financial 1,550 25
Hudson River 2,248 72
Humboldt Bancorp 1,974 31
IBERIABANK 1,030 54
IBT Bancorp 356 18
IMPAC Mortgage Holdings (REIT) 7,917 128
Independence Holdings 515 11
Independent Bank 1,867 48
Independent Bank - Michigan 2,661 78
Infinity Property & Casualty 1,829 51
Innkeepers USA Trust (REIT) 6,271 55
Integra Bank 2,332 45
Interchange Financial Services 1,596 33
Investment Technology Group* 7,405 142
Investors Real Estate Trust (REIT) 5,696 56
Irwin Financial 2,465 60
ITLA Capital* 688 29
Jones Lang LaSalle* 4,592 85
Kansas City Life Insurance 538 25
Keystone Property Trust (REIT) 2,680 54
Kilroy Realty (REIT) 3,551 101
Klamath First Bancorp 864 19
Knight Trading Group* 11,381 130
Koger Equity (REIT) 2,710 51
Kramont Realty Trust (REIT) 3,329 56
L N B Bancorp 730 15
La Quinta (REIT)* 24,062 150
Lakeland Bancorp 1,823 29
Lakeland Financial 722 24
LandAmerica Financial Group 2,908 133
Lasalle Hotel Properties (REIT) 4,268 74
Lexington Corporate Properties Trust (REIT) 4,689 90
Local Financial* 3,033 54
LSB Bancshares 1,229 23
LTC Properties (REIT) 2,108 24
Macatawa Bank 1,313 30
MAF Bancorp 3,361 128
Main Street Banks 2,091 52
MainSource Financial Group 851 22
Manufactured Home Communities (REIT) 2,096 82
MASSBANK 473 17
MB Financial 1,755 78
MBT Financial 2,488 39
MCG Capital 3,451 54
Medallion Financial 2,066 13
Mercantile Bank 732 24
Merchants Bancshares 630 18
MeriStar Hospitality (REIT)* 6,851 49
</Table>
The accompanying notes are an integral part of the financial statements.
28
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Metris* 4,380 $ 18
MFA Mortgage Investments (REIT) 7,188 68
Mid-America Apartment Communities (REIT) 2,163 65
Mid-Atlantic Realty Trust (REIT) 2,803 59
Midland 1,152 25
Mid-State Bancshares 3,562 79
Midwest Banc Holdings 1,709 38
Mission West Properties (REIT) 2,288 28
MutualFirst Financial 619 16
Nara Bancorp 1,449 25
NASB Financial 540 18
National Bankshares - Virginia 428 19
National Health Investors (REIT) 3,261 59
National Health Realty (REIT) 970 15
National Penn Bancshares 3,194 88
National Western Life Insurance, Cl A* 351 48
Nationwide Health Properties (REIT) 8,779 154
Navigators Group* 662 22
NBC Capital 889 22
NBT Bancorp 4,875 99
NetB@nk 8,411 105
New Century Financial 4,440 126
Newcastle Investment (REIT) 3,889 89
Newtek Business Services* 1,217 6
Northern States Financial 200 6
Northwest Bancorp 1,609 30
Novastar Financial (REIT) 1,471 85
NYMAGIC 1,010 23
Oak Hill Financial 429 12
Oceanfirst Financial 943 24
Ocwen Financial* 5,780 26
Ohio Casualty* 8,702 126
Old Point Financial 349 11
Old Second Bancorp 1,113 48
Omega Financial 1,135 37
OMEGA Healthcare Investors (REIT) 2,966 23
Oneida Financial 231 5
Oriental Financial Group 2,063 50
Orleans Homebuilders* 516 6
PAB Bankshares 1,093 15
Pacific Capital Bancorp 5,142 157
Pacific Northwest Bancorp 2,498 89
Pacific Union Bank 760 14
Parkvale Financial 660 17
Parkway Properties (REIT) 1,431 63
Partners Trust Financial Group 1,072 24
Patriot Bank - Pennsylvania 1,062 20
Peapack-Gladstone Financial 1,051 33
Penn-America Group 1,362 20
PennFed Financial Services 691 20
PennRock Financial Services 1,163 33
Penns Woods Bancorp 423 18
Pennsylvania (REIT) 2,192 73
Peoples Bancorp 1,601 43
Peoples Holding Company 838 38
PFF Bancorp 2,030 65
Philadelphia Consolidated Holding* 2,867 132
Phoenix Companies 14,767 171
Pico Holdings* 1,016 13
PMA Capital 3,169 $ 40
Post Properties (REIT) 4,278 116
Prentiss Properties Trust (REIT) 4,499 139
Presidential Life 3,193 48
Price Legacy (REIT)* 7,098 25
PrivateBancorp 1,556 52
Proassurance* 4,188 108
Prosperity Bancshares 2,036 43
Provident Bancorp 526 22
Provident Bankshares 3,486 98
Provident Financial Holdings 555 17
Provident Financial Services 7,086 136
PS Business Parks (REIT) 1,979 75
Quaker City Bancorp 874 35
R&G Financial 2,704 79
RAIT Investment Trust (REIT) 3,097 71
Ramco-Gershenson Properties Trust (REIT) 1,666 42
Reckson Associates Realty (REIT) 7,617 176
Redwood Trust (REIT) 2,072 88
Republic Bancorp 7,935 106
Republic Bancorp, Cl A 1,295 25
Republic Bancshares 1,195 34
Resources Bankshares 697 20
Riggs National 2,508 40
RLI 2,763 91
Royal Bancshares of Pennsylvania, Cl A 670 18
S Y Bancorp 1,486 28
S&T Bancorp 3,862 110
Safety Insurance Group 1,559 24
Sanders Morris Harris Group 1,540 14
Sandy Spring Bancorp 2,182 71
Santander Bancorp 426 8
Saul Centers (REIT) 2,841 75
Saxon Capital* 4,210 72
Seacoast Banking 1,712 30
Seacoast Financial Services 4,155 86
Second Bancorp 1,280 35
Security Bank 568 17
Selective Insurance Group 4,087 122
Senior Housing Properties Trust (REIT) 7,126 103
Shore Bancshares 825 28
Sierra Bancorp 814 13
Silicon Valley Bancshares* 4,905 136
Simmons First National, Cl A 2,189 52
Sizeler Property Investors (REIT) 1,810 19
SL Green Realty 4,120 149
Sound Federal Bancorp 2,087 31
Soundview Technology Group* 2,487 24
South Financial Group 7,321 182
Southern Financial Bancorp 833 33
Southside Bancshares 1,421 23
Southwest Bancorp 1,554 26
Southwest Bancorp of Texas 4,434 162
Sovran Self Storage (REIT) 1,871 62
St. Francis Capital 1,130 33
State Auto Financial 1,998 50
State Bancorp 1,553 31
State Financial Services, Cl A 802 20
Staten Island Bancorp 8,322 162
</Table>
29
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Sterling Bancorp 1,997 $ 54
Sterling Bancshares 5,854 70
Sterling Financial 2,608 66
Sterling Financial* 2,534 71
Stewart Information Services* 3,210 91
Suffolk Bancorp 1,616 54
Summit Bancshares 740 20
Summit Properties (REIT) 3,545 81
Sun Bancorp 748 14
Sun Bancorp* 1,103 24
Sun Communities (REIT) 1,978 78
Susquehanna Bancshares 5,810 149
SWS Group 2,191 43
Tanger Factory Outlet Centers (REIT) 980 36
Taragon Realty Investors* 997 15
Taubman Centers (REIT) 6,737 132
Taylor Capital Group 496 11
Texas Regional Bancshares, Cl A 3,555 120
The Trust Company of New Jersey 2,742 88
TierOne* 3,341 70
Tompkins Trustco 1,202 55
Town & Country Trust (REIT) 2,370 56
Trammell Crow* 4,854 60
Transcontinental Realty Investors (REIT)* 1,258 15
Triad Guaranty* 1,199 59
TriCo Bancshares 820 23
Troy Financial 987 35
TrustCo Bank Corporation of New York 11,687 144
U.S. Restaurant Properties (REIT) 2,822 46
UCBH Holdings 5,867 177
UICI* 5,803 73
UMB Financial 2,569 121
Umpqua Holdings 5,431 103
Union Bankshares 1,158 35
United Community Banks 3,701 102
United Community Financial 4,593 45
United Fire & Casualty 1,104 40
United Mobile Homes (REIT) 740 11
United National Bancorp 2,891 96
United Panam Financial* 624 11
United Security Bancshares 960 24
United Security Bancshares - California 518 13
Universal American Financial* 4,033 36
Universal Health Realty Income Trust (REIT) 1,718 47
Unizan Financial 3,348 67
Urstadt Biddle Properties, Cl A (REIT) 3,314 45
USB Holding 2,016 35
USI Holdings* 3,439 45
Ventas (REIT) 11,068 189
Virginia Commerce Bancorp* 765 17
Virginia Financial Group 1,089 33
W Holding 6,717 120
Walter Industries 4,820 52
Warwick Community Bancorp 440 12
Washington Real Estate Investment Trust (REIT) 5,397 157
Washington Trust Bancorp 2,053 49
Wayne Bancorp 946 27
Waypoint Financial 4,925 99
Wesbanco 2,716 64
West Bancorporation 2,447 $ 42
West Coast Bancorp 2,377 46
Westcorp 2,610 91
Western Sierra Bancorp* 548 20
Westfield Financial 750 17
WFS Financial* 1,926 71
Willow Grove Bancorp 1,663 27
Winston Hotels (REIT) 2,650 24
Wintrust Financial 2,705 102
World Acceptance* 2,314 31
WSFS Financial 1,431 60
Yadkin Valley Bank & Trust 1,134 20
Yardville National Bancorp 1,454 30
Zenith National Insurance 1,324 37
-------------
26,062
-------------
HEALTH CARE - 12.5%
1-800 Contacts* 848 17
AAI Pharma* 2,067 35
Abgenix* 13,787 200
Able Laboratories* 1,947 36
Accredo Health* 7,489 210
Aclara Biosciences* 3,602 14
Adolor* 4,951 91
Advanced Medical Optics* 4,285 77
Advanced Neuromodulation Systems* 2,849 114
Advisory Board* 1,448 66
Aksys* 4,134 41
ALARIS Medical* 2,223 37
Albany Molecular Research* 3,885 58
Alexion Pharmaceuticals* 2,422 40
Align Technology* 6,937 87
Alkermes* 7,328 101
Alliance Imaging* 2,154 7
Alpharma, Cl A 6,073 113
Alteon* 5,189 10
American Healthways* 2,056 86
American Medical Systems* 3,123 68
AMERIGROUP* 3,235 144
AMN Healthcare Services* 2,675 43
Amsurg, Cl A* 2,699 89
Angelica 1,309 25
Antigenetics* 2,996 37
Aphton* 3,178 18
Applera* 11,299 132
Arena Pharmaceuticals* 2,896 21
Ariad Pharmaceuticals* 5,434 33
Arrow International 3,346 77
Arthrocare* 2,707 48
Aspect Medical Systems* 1,387 14
AtheroGenics* 5,710 96
Atrix Laboratories* 3,037 63
Avant Immunotherapeutics* 9,572 23
AVI BioPharma* 3,231 17
Bentley Pharmaceuticals* 1,865 30
Beverly Enterprises* 15,564 92
Biolase Technology* 2,783 32
BioMarin Pharmaceutical* 9,944 76
Biopure* 6,167 40
BioReliance* 759 19
</Table>
The accompanying notes are an integral part of the financial statements.
30
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Biosite* 1,638 $ 46
Bone Care International* 1,367 17
Bradley Pharmaceuticals* 1,179 32
Bruker Biosciences* 3,420 15
Candela* 1,174 15
Cantel Medical* 971 13
Cardiac Science* 7,749 32
CardioDynamics International* 5,061 23
Cell Genesys* 5,387 68
Cell Therapeutics* 4,886 56
Centene* 2,301 70
Cerner* 4,439 137
Cerus* 2,153 10
Chattem* 2,133 30
Cholestech* 2,034 15
CIMA Labs* 2,121 59
Ciphergen Biosystems* 3,174 39
Closure Medical* 959 23
Collagenex Pharmaceuticals* 1,012 11
Columbia Laboratories* 5,157 62
Conceptus* 2,562 34
CONMED* 4,536 94
Connetics* 4,380 79
Cooper 4,852 198
Corixa* 6,313 50
Corvel* 926 33
Covance* 9,635 216
Cross Country Healthcare* 3,743 53
Cryolife* 2,430 15
CTI Molecular Imaging* 3,664 54
Cubist Pharmaceuticals* 5,233 56
CuraGen* 6,684 34
Curative Health Services* 1,604 29
CV Therapeutics* 4,439 98
Cyberonics* 3,119 96
Cytyc* 17,585 264
D & K Healthcare Resources 1,839 26
Dade Behring Holdings* 6,284 178
Datascope 1,516 47
Decode Genetics* 7,110 33
Del Laboratories* 622 18
Dendreon* 1,093 10
Diagnostic Products 3,048 111
Digene* 2,112 86
Discovery Laboratories* 4,179 30
Diversa* 3,017 23
DJ Orthopedics* 1,042 15
Dov Pharmaceutical* 1,456 26
Drugstore.com* 4,680 36
Durect* 4,104 14
Dynacq International* 965 17
Encysive Pharmaceuticals* 6,546 41
Enzo Biochem* 3,517 69
Enzon* 6,817 79
EPIX Medical* 1,987 34
eResearch Technology* 2,806 98
Esperion Therapeutics* 4,400 85
Exact Sciences* 2,275 31
Exactech* 885 14
Exelixis* 8,869 $ 63
First Horizon Pharmaceutical* 2,990 19
Gene Logic* 4,592 22
Genencor International* 1,369 21
Genesis Health Ventures* 3,781 92
Gen-Probe* 3,733 202
Genta* 7,368 93
Gentiva Health Services* 3,713 43
Geron* 4,374 60
GTC Biotherapeutics* 3,696 11
Guilford Pharmaceuticals* 3,461 21
Haemonetics* 2,371 56
Hanger Orthopedic Group* 3,305 51
Healthcare Services Group 1,467 24
HealthExtras* 2,289 20
Hi-Tech Pharmaceutical* 660 15
Hollis-Eden Pharmaceuticals* 949 23
Hologic* 2,913 40
Hooper Holmes 10,523 70
ICU Medical* 1,561 42
IGEN International* 2,814 163
ILEX Oncology* 5,130 85
Immucor* 2,005 54
ImmunoGen* 6,407 29
Immunomedics* 7,336 54
IMPAC Medical Systems* 937 17
Impath* 2,433 4
Impax Laboratories* 4,055 51
INAMED* 2,787 205
Incyte Genomics* 12,905 59
Indevus Pharmaceuticals* 5,552 30
Inspire Pharmaceuticals* 4,919 85
Integra LifeSciences* 2,788 79
InterMune* 3,927 75
Interpore International* 2,648 41
Intuitive Surgical* 3,553 59
Invacare 4,119 155
Inveresk Research Group* 4,384 87
Inverness Medical Innovations* 1,500 38
Isis Pharmaceuticals* 6,966 45
I-Stat* 2,352 31
Kensey Nash* 1,108 26
Kindred Healthcare* 1,798 67
Kos Pharmaceuticals* 1,702 59
Kosan Biosciences* 2,720 22
K-V Pharmaceutical, Cl A* 5,048 114
Kyphon* 2,700 53
La Jolla Pharmaceutical* 6,293 25
LabOne* 1,178 27
Lannet* 876 15
Laserscope* 1,971 23
Lexicon Genetics* 4,898 25
Lifepoint Hospitals* 5,879 141
Ligand Pharmaceuticals* 8,943 115
Luminex* 3,295 22
Martek Bioscience* 3,553 187
Matria Healthcare* 1,400 24
Maximus* 2,337 81
Maxygen* 4,375 45
</Table>
31
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Medarex* 11,554 $ 69
Medical Action Industries* 1,087 14
Medical Staffing Network Holdings* 1,807 14
Medicines* 6,544 170
Mentor 5,512 126
Meridian Bioscience 1,515 15
Merit Medical Systems* 2,445 54
MGI Pharma* 3,977 156
Micro Therapeutics* 1,381 7
MIM* 3,404 26
Mine Safety Appliances 992 54
Molecular Devices* 2,110 37
Myriad Genetics* 4,853 55
NABI Biopharmaceuticals* 6,991 59
National Healthcare* 1,033 15
NDCHealth 5,468 115
Nektar Therapeutics* 7,358 94
NeoPharm* 2,052 31
Neose Technologies* 2,153 20
Noven Pharmaceuticals* 3,048 35
Novoste* 2,389 11
NPS Pharmaceuticals* 4,612 128
Nuvelo* 6,449 17
Ocular Sciences* 2,748 61
Odyssey Healthcare* 5,015 150
Onyx Pharmaceuticals* 3,737 81
Option Care* 2,000 24
Orasure Technologies* 5,354 51
Orthodontic Centers of America* 7,426 59
OrthoLogic* 4,968 27
OSI Pharmaceuticals* 6,072 197
Osteotech* 2,266 19
Owens & Minor 4,938 119
Pain Therapeutics* 2,667 16
Palatin Technologies* 6,217 30
PAREXEL International* 3,791 58
PDI* 1,080 26
Pediatrix Medical Group* 3,697 170
Penwest Pharmaceuticals* 2,063 44
Peregrine Pharmaceuticals* 17,662 38
Perrigo 9,583 122
Per-Se Technologies* 4,143 66
Pharmacopeia* 3,608 46
PolyMedica 2,666 71
Possis Medical* 2,379 37
POZEN* 3,542 63
Praecis Pharmaceuticals* 6,945 47
Priority Healthcare, Cl B* 5,138 106
Progenics Pharmaceutical* 1,275 22
Province Healthcare* 7,192 93
PSS World Medical* 10,641 94
Quidel* 4,142 28
Regeneration Technologies* 3,523 32
Regeneron Pharmaceutical* 5,370 95
RehabCare Group* 2,495 43
Repligen* 4,684 25
Retractable Technologies* 959 6
Salix Pharmaceuticals* 2,677 52
Savient Pharmaceuticals* 10,988 55
SciClone Pharmaceuticals* 5,888 $ 47
Seattle Genetics* 3,297 20
Select Medical* 3,620 104
Serologicals* 3,350 44
SFBC International* 846 24
Sierra Health Services* 3,656 75
Sirna Therapeutics* 1,701 10
Sola International* 3,398 54
Sonosite* 2,166 43
Specialty Laboratories* 1,091 14
Staar Surgical* 2,533 27
Stewart Enterprises, Cl A* 17,384 66
Sunrise Assisted Living* 2,600 68
SuperGen* 4,560 34
SuriModics* 2,067 55
Sybron Dental Specialties* 5,989 150
Synovis Life Technologies* 1,286 31
Tanox* 3,742 75
Techne* 6,393 203
Telik* 5,038 101
Theragenics* 4,536 26
Therasense* 3,609 45
Third Wave Technologies* 3,735 12
Thoratec* 7,484 127
Transkaryotic Therapies* 4,618 48
Trimeris* 2,134 54
TriPath Imaging* 3,394 30
Tularik* 6,887 68
U.S. Oncology* 10,771 79
U.S. Physical Therapy* 1,884 23
United Surgical Partners* 2,682 76
United Therapeutics* 2,674 60
VCA Antech* 5,361 126
Ventana Medical Systems* 1,843 74
Vertex Pharmaceuticals* 12,035 148
Viasys Healthcare* 4,678 94
Vicuron Pharmaceuticals* 6,412 113
Virbac* 1,009 7
VistaCare, Cl A* 1,702 53
VISX* 6,375 121
Vital Images* 1,376 26
Vital Signs 831 24
Vivus* 5,904 21
Wellpoint Health Networks* 320 25
West Pharmaceutical Services 1,551 49
Wright Medical Group* 2,311 58
Young Innovations 550 18
Zoll Medical* 1,269 41
Zymogenetics* 1,817 27
-------------
15,992
-------------
INDUSTRIALS - 13.5%
A. S. V.* 1,062 20
A.O. Smith 2,564 72
AAON* 1,399 23
AAR* 4,977 40
ABM Industries 5,567 79
ABX Air* 7,169 18
Aceto 1,395 20
ACME Communication* 1,112 8
</Table>
The accompanying notes are an integral part of the financial statements.
32
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Actuant, Cl A* 1,637 $ 92
Acuity Brands 6,516 118
Administaff* 2,897 26
Advanced Energy Industries* 2,636 50
Aftermarket Technology* 2,253 26
Airtran Holdings* 10,350 173
Alamo Group 850 12
Alaska Air Group* 3,595 100
Albany International, Cl A 4,167 129
Alderwoods Group* 5,711 44
Alexander & Baldwin 6,489 182
Ambassadors International 822 10
America West Holdings, Cl B* 4,618 45
American Woodmark 862 39
Ampco-Pittsburgh 730 9
AMR* 24,527 281
Apogee Enterprises 3,492 36
Applied Signal Technology 1,306 26
Arbitron* 4,670 165
Arkansas Best 3,216 88
Armor Holdings* 3,013 50
Artesyn Technologies* 4,786 36
Astec Industries* 2,361 24
Atlantic Coast Airline Holdings* 6,150 52
Aviall* 2,925 36
Baldor Electric 4,487 95
Banta 3,542 128
Barnes Group 1,804 47
Belden 3,535 62
BHA Group Holdings 507 12
Blount International* 906 4
Bowne & Company 4,972 74
Brady, Cl A 2,665 85
Briggs & Stratton 3,392 199
Bright Horizons Family Solutions* 2,255 90
Brinks 8,514 148
C&D Technologies 3,246 61
Career Education* 396 18
Cascade 2,036 45
Casella Waste Systems* 1,879 23
CCC Information Services Group* 1,876 31
CDI 1,807 49
Central Parking 2,679 33
Century Business Services* 12,561 53
Ceradyne* 1,299 34
Checkpoint Systems* 4,881 77
Choice Hotels International* 3,032 88
Circor International 1,884 36
CLARCOR 3,907 152
Clean Harbors* 1,188 5
Coinstar* 3,218 43
Collins & Aikman* 4,832 16
Consolidated Graphics* 1,647 42
Consolidated Tomoka Land 873 25
Continental Airlines, Cl B* 10,311 171
Copart* 10,662 115
Cornell Companies* 1,822 30
CoStar Group* 1,966 51
Covenant Transport, Cl A* 1,163 21
CPI 1,275 $ 23
Cubic 2,350 59
CUNO* 2,206 86
Curtiss-Wright 1,243 88
Darling International* 8,740 23
DHB Industries* 3,137 14
Dollar Thrifty Automotive* 4,125 94
Dominion Homes* 700 18
Drew Industries* 1,050 19
DRS Technologies* 3,477 84
Ducommun* 1,035 17
Duratek* 1,020 9
Dycom Industries* 7,513 153
EDO 2,371 48
eFunds* 7,333 91
EGL* 5,749 105
Electro Scientific Industries* 4,120 87
ElkCorp 2,892 68
Emcor Group* 2,018 86
Encore Wire* 1,553 21
Energy Conversion Devices* 2,579 27
Engineered Support Systems 1,756 106
Ennis Business Forms 2,561 34
ENPRO Industries* 3,026 29
ESCO Technologies* 1,801 82
Esterline Technologies* 3,158 61
ExpressJet Holdings* 4,446 61
Fairchild, Cl A* 1,816 9
First Consulting Group* 2,894 14
Fleetwood Enterprises* 5,638 52
Florida East Coast Industries, Cl A 2,169 62
Flowserve* 7,980 162
Forward Air* 1,676 46
Frontier Airlines* 4,649 77
FTI Consulting* 6,465 112
FuelCell Energy* 5,330 62
Gardner Denver* 2,468 52
GenCorp 4,878 44
General Cable* 5,339 42
Genesee & Wyoming, Cl A* 1,784 42
Genlyte Group* 1,851 82
GEVITY HR 2,092 31
Global Power Equipment* 3,965 21
Gorman-Rupp 993 22
Granite Construction 5,025 94
Greenbrier Companies* 657 9
Greif Brothers, Cl A 2,080 54
Griffon* 5,179 93
Gundle Environmental Systems* 950 15
Headwaters* 3,845 62
Heartland Express 4,558 109
Hecla Mining* 19,025 100
HEICO 2,002 27
Heidrick & Struggles International* 2,410 41
Herley Industries* 1,650 29
Hexcel* 4,994 29
Hollinger International 6,206 77
Hudson Highland Group* 1,095 21
ICT Group* 885 9
</Table>
33
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
IDEX 4,329 $ 158
II-VI* 1,649 33
Imagistics International* 2,311 67
infoUSA* 4,370 33
Insurance Auto Auctions* 1,415 16
Integrated Electrical Services* 5,224 36
Interpool 1,150 18
Invision Technologies* 2,542 62
Ionics* 2,689 66
Jacuzzi Brands* 13,529 84
JLG Industries 7,960 92
John H. Harland 4,115 109
Joy Global* 7,504 118
Kadant* 1,773 34
Kaman 3,432 44
Kansas City Southern Industries* 9,670 107
Kaydon 4,153 99
Kennametal 5,220 195
Keystone Automotive Industries* 1,743 38
Kirby* 2,810 81
Knight Transportation* 3,808 95
Korn Ferry International* 6,026 50
Kroll* 5,660 105
KVH Industries* 1,434 36
Labor Ready* 7,472 75
Landauer 1,252 44
Landstar* 2,310 141
Lawson Products 650 17
Learning Tree International* 1,455 24
Lennox International 6,616 97
Lightbridge* 4,142 39
Lincoln Electric Holdings 4,784 106
Lindsay Manufacturing 1,745 35
Littelfuse* 2,896 67
LSI Industries 2,232 31
Lydall* 2,310 28
Mail-Well* 5,231 18
Mair Holdings* 1,344 9
Manitowoc 4,664 101
Manufacturers' Services* 2,385 12
Marine Products 1,260 19
MasTec* 2,917 28
McGrath Rentcorp 1,189 33
Mediacom Communications* 7,408 50
Medis Technologies* 1,807 18
MedQuist* 1,510 29
MemberWorks* 1,142 36
Mercury Computer Systems* 3,161 67
Mesa Air Group* 3,902 43
Milacron 5,260 12
Mobile Mini* 2,150 41
Modtech Holdings* 1,376 11
Monro Muffler Brake* 1,022 30
MPS Group* 14,790 133
MTC Technologies* 874 20
Mueller Industries* 5,081 129
Nacco Industries, Cl A 735 53
National Presto Industries 673 23
Navigant Consulting* 6,558 81
Navigant International* 1,987 $ 28
NCI Building Systems* 3,005 60
NCO Group* 2,687 63
Nordson 3,811 99
Northwest Airlines* 9,154 89
Old Dominion Freight Lines* 2,117 62
Orbital Sciences* 7,224 67
Oshkosh Truck 4,746 188
Overseas Shipholding Group 2,365 61
P A M Transportation Services* 896 18
Pacer International* 3,450 69
Paxar* 4,109 53
Pegasus Solutions* 3,664 51
Penn Engineering & Manufacturing 1,483 23
Perini* 2,726 19
Portfolio Recovery Associates* 1,663 42
Power-One* 10,220 105
Prepaid Legal Services* 2,324 54
PRG-Schultz International* 5,780 33
PRIMEDIA* 26,281 75
Princeton Review* 2,595 17
Quanta Services* 11,481 95
Quixote 947 24
RailAmerica* 4,537 39
Raven Industries 964 24
Rayovac* 4,806 70
Regal Beloit 3,553 72
Reliance Steel & Aluminum 3,626 80
Resources Connection* 2,916 71
Right Management Consultants* 2,684 49
Roadway Express 1,810 88
Robbins & Myers 1,661 37
Rollins 2,917 52
Roto Rooter 1,517 54
ScanSoft* 13,275 56
Schawk 1,261 15
Schnitzer Steel Industries, Cl A 1,370 41
SCS Transportation* 2,191 33
Sequa* 556 24
Shaw Group* 6,342 67
Simpson Manufacturing* 2,209 90
SkyWest 8,949 155
Spherion* 9,296 65
SPS Technologies* 1,264 57
Standard Register 1,783 30
Standex International 1,639 40
Stewart & Stevenson Services 4,215 63
Strattec Security* 458 22
Strayer Education 1,667 161
SureBeam* 11,145 16
Sylvan Learning Systems* 5,207 142
Technical Olympic USA* 498 14
Tecumseh Products, Cl A 2,408 90
Teletech Holdings* 5,129 33
Tennant 1,283 47
Tenneco Automotive* 6,772 43
Terex* 6,861 127
Tetra Technologies* 7,862 157
Thomas & Betts* 6,692 106
</Table>
The accompanying notes are an integral part of the financial statements.
34
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Thomas Industries 1,443 $ 41
Thomas Nelson 1,348 19
TRC* 1,718 28
Tredegar 4,529 68
Trex* 1,168 36
Trinity Industries 5,515 143
Triumph Group* 2,112 63
U.S. Xpress Enterprises* 934 11
UniFirst 1,426 34
United Capital* 484 9
United Industrial 1,434 23
United Rentals* 8,966 144
United Stationers* 4,786 180
Universal Forest Products 2,516 61
UNOVA* 7,216 106
URS* 2,558 50
USF 4,238 133
USG* 5,736 99
Valence Technology* 7,683 26
Valmont Industries 2,138 42
ValueClick* 10,359 87
Vicor* 2,882 27
Volt Information Sciences* 1,272 21
Wabash National* 4,025 64
Washington Group International* 3,733 101
Waste Connections* 3,964 139
Watsco 2,859 55
Watson Wyatt & Company Holdings* 4,988 112
WD-40 Company 2,406 76
William Lyon Homes* 771 39
Wilson Greatbatch Technologies* 3,119 112
Woodward Governor 1,389 61
Yellow* 4,663 139
York International 6,224 215
-------------
17,351
-------------
INFORMATION TECHNOLOGY - 19.3%
Actel* 3,444 83
ActivCard* 5,185 43
Activision* 13,779 165
Adaptec* 16,820 127
Advanced Digital Information* 9,711 136
Advent Software* 5,018 81
Aeroflex* 8,198 73
Agile Software* 6,777 65
Agilysys 4,179 37
Akamai Technologies* 17,648 76
Alliance Semiconductor* 3,181 17
Alloy* 6,705 38
Allscripts Healthcare Solutions* 3,680 15
Altiris* 1,324 35
American Management Systems* 6,616 84
Analogic 1,139 55
Anaren Microwave* 3,408 43
Andrew* 23,166 285
Anixter International* 4,883 111
Ansoft* 1,013 10
ANSYS* 2,324 83
Anteon International* 2,790 85
Applied Films* 1,748 52
aQuantive* 6,157 $ 57
Ariba* 44,945 137
Arris Group* 7,864 45
Artisan Components* 2,455 41
Ascential Software* 9,094 169
AsiaInfo Holdings* 4,402 30
Ask Jeeves* 5,424 94
Aspect Communication* 4,684 39
Aspen Technology* 5,421 21
Asyst Technologies* 6,587 93
Atari* 1,179 5
ATMI* 4,200 106
Audiovox* 2,608 33
Autobytel* 4,132 39
Avanex* 9,057 44
Avid Technology* 4,440 235
Axcelis Technologies* 15,431 127
Bankrate* 833 12
BARRA* 2,202 83
BEI Technologies 1,631 25
Bel Fuse 1,440 38
Benchmark Electronics* 3,866 163
Black Box 2,665 106
Borland Software* 11,099 102
Brillian* 807 7
Broadvision* 3,792 19
Brooks Automation* 6,015 126
Cable Design Technologies* 6,289 50
Cabot Microelectronics* 2,882 161
Caci International, Cl A* 4,509 193
Catapult Communications* 885 11
C-COR.net* 4,818 32
Centillium Communications* 4,599 33
Cepheid* 4,245 20
Charles River Associates* 1,079 31
ChipPAC, Cl A* 7,489 44
CIBER* 7,931 60
Cirrus Logic* 10,862 60
CMGI* 57,891 90
CNET Networks* 15,842 112
Cognex 5,319 140
Coherent* 4,598 113
Cohu 3,178 62
CommScope* 7,626 92
Compucom Systems* 3,474 15
Computer Horizons* 4,631 17
Computer Network Technology* 4,031 35
Computer Programs & Systems 899 16
Comtech Telecommunications* 1,737 42
Concord Communications* 2,408 32
Concur Technologies* 3,388 40
Concurrent Computer* 9,277 35
Conexant Systems* 42,002 238
Convera* 1,653 7
Corvis* 47,968 61
Cray* 10,248 113
Credence Systems* 9,901 114
CSG Systems International* 8,204 121
CTS 5,054 62
</Table>
35
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
CyberGuard* 1,596 $ 15
Cymer* 5,417 223
Daktronics* 2,176 35
Datastream Systems* 2,655 21
Dendrite International* 4,654 71
Digimarc* 1,408 21
Digital Insight* 4,554 91
Digital River* 4,269 117
DigitalThink* 5,206 13
Digitas* 2,389 17
Diodes* 664 14
Dionex* 2,614 103
Ditech Communications* 3,950 35
Documentum* 6,900 147
Dot Hill Systems* 4,181 58
Drexler Technology* 1,183 17
DSP Group* 4,300 107
DuPont Photomasks* 1,797 41
E.piphany* 8,233 41
EarthLink* 18,482 152
Echelon* 4,244 51
Eclipsys* 5,451 87
eCollege.com* 1,804 36
Electro Rent* 2,655 33
Electronics for Imaging* 7,277 170
Embarcadero Technologies* 2,192 22
EMS Technologies* 1,599 27
Entegris* 8,279 94
Enterasys Networks* 31,859 127
Entrust* 7,399 36
Epicor Software* 5,928 53
EPIQ Systems* 1,941 33
ESS Technology* 4,512 49
eUniverse* (c) 2,194 5
Exar* 6,277 89
Excel Technologies* 1,345 34
Extreme Networks* 15,129 95
F5 Networks* 3,486 67
FalconStor Software* 5,023 31
Fargo Electronics* 1,594 20
FEI* 3,836 90
Filenet* 5,329 107
FindWhat.com* 1,641 28
Finisar* 21,614 49
FLIR Systems* 5,171 132
Forrester Research* 2,105 30
Franklin Electric 1,331 74
FreeMarkets* 5,474 43
Gartner, Cl A* 12,252 135
Gateway* 34,000 192
General Binding* 831 9
Genesis Microchip* 4,892 55
Gerber Scientific* 3,188 23
Global Imaging Systems* 2,132 52
GlobespanVirata* 16,554 120
Group 1 Software* 1,404 25
GSI Commerce* 2,280 23
Handspring* 8,222 9
Harmonic* 8,940 56
Harris Interactive* 6,280 $ 44
Helix Technology 4,093 67
Homestore* 15,543 43
Hutchinson Technology* 3,589 119
Hypercom* 3,821 21
Hyperion Solutions* 5,714 165
Identix* 14,954 78
IDX Systems* 2,623 61
iGATE* 3,224 19
Inet Technologies* 1,919 25
InFocus* 5,479 27
Informatica* 11,048 82
InfoSpace* 4,040 82
Innovex* 2,350 23
Insituform Technologies, Cl A* 3,558 63
Integral Systems* 1,467 27
Integrated Defense Technologies* 1,467 25
Integrated Silicon Solution* 4,236 42
InteliData Technologies* 7,247 17
InterCept* 2,743 37
Intergraph* 7,225 168
Interland* 4,016 31
Intermagnetics General* 2,434 54
Internet Security Systems* 5,829 73
Inter-Tel 2,750 68
InterVoice* 5,047 45
Interwoven* 15,224 40
Iomega* 8,052 90
iPayment* 785 18
Itron* 3,013 60
IXIA* 3,515 38
IXYS* 2,704 25
JDA Software* 4,475 67
JNI* 3,477 24
Kana Software* 3,560 14
Keane* 8,098 103
Keithley Instruments 1,819 26
KEMET* 13,524 172
Keynote Systems* 2,858 33
KFX* 3,716 19
Komag* 3,529 62
Kopin* 10,887 75
Kronos* 3,108 164
Kulicke & Soffa* 8,555 93
Lattice Semiconductor* 15,863 113
Lawson Software* 6,262 44
Legato Systems* 13,554 152
Lexar Media* 8,364 143
Lifeline Systems* 721 23
Lionbridge Technologies* 3,337 25
LookSmart* 11,968 38
LTX* 7,774 88
Magma Design Automation* 3,283 64
Manhattan Associates* 3,414 88
ManTech International* 2,026 50
Manugistics Group* 11,131 61
MAPICS* 2,638 26
MarketWatch.com* 910 8
MatrixOne* 6,356 31
</Table>
The accompanying notes are an integral part of the financial statements.
36
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Mattson Technology* 4,211 $ 38
Mentor Graphics* 10,575 185
Methode Electronics, Cl A 4,928 58
Metrologic Instruments* 424 15
Micrel* 8,779 107
Micro Systems* 2,435 83
MicroAge* (c) 3,579 --
Micromuse* 8,580 70
Microsemi* 4,543 69
MicroStrategy* 1,488 68
Mindspeed Technologies* 16,755 90
MKS Instruments* 4,099 89
Mobius Management Systems* 1,151 9
Monolithic System Technology* 3,327 28
Moog, Cl A* 2,837 111
MRO Software* 2,835 39
MRV Communications* 16,360 46
MSC.Software* 3,700 27
MTS Systems 3,118 47
Mykrolis* 5,201 63
Nassda* 2,100 17
National Processing* 1,088 21
Neoforma* 1,222 17
Neoware Systems* 2,077 35
Net2Phone* 3,825 24
Netegrity* 4,868 49
NetIQ* 8,368 100
NetRatings* 1,589 15
NetScout Systems* 2,987 15
Network Equip Technologies* 3,400 31
Network Plus* (c) 1,155 --
New England Business Service 1,577 42
New Focus* 8,455 38
Newport* 6,069 86
NIC* 4,609 22
Nuance Communications* 870 5
Nyfix* 3,869 22
Omnicell* 2,129 35
OmniVision Technologies* 3,226 136
ON Semiconductor* 4,525 19
Openwave System* 28,339 120
Oplink Communications* 21,201 54
OPNET Technologies* 1,705 21
Opsware* 7,499 55
Optical Communication Products* 2,480 6
OSI Systems* 1,943 34
Overland Storage* 1,161 17
Overture Services* 9,992 265
Packeteer* 4,130 50
Palm* 4,560 89
Parametric Technology* 33,552 105
Park Electrochemical 2,704 62
ParthusCeva* 2,169 19
PC-tel* 2,904 31
PDF Solutions* 2,258 25
PEC Solutions* 1,346 20
Pegasus Communications* 464 7
Pegasystems* 1,524 11
Pemstar* 3,822 14
Pericom Semiconductor* 3,162 $ 32
Perot Systems, Cl A* 11,492 115
Photon Dynamics* 2,508 73
Photronics* 4,476 95
Pinnacle Systems* 9,038 76
Pixelworks* 5,366 46
Planar Systems* 2,071 44
Plantronics* 6,287 150
Plexus* 6,284 98
Plug Power* 3,647 19
Portal Software* 4,388 64
Powell Industries* 1,047 18
Power Integrations* 4,031 134
Powerwave Technologies* 10,350 69
PracticeWorks* 2,791 60
Presstek* 4,800 35
Progress Software* 3,863 83
ProQuest* 3,727 98
Proxim, Cl A* 17,978 27
Pumatech* 5,481 26
QAD* 1,624 18
Quality Systems* 499 20
Quantum* 22,154 68
Quest Software* 6,161 75
Radiant Systems* 2,583 16
RadiSys* 2,656 48
Rainbow Technologies* 3,639 33
Register.com* 4,829 22
REMEC* 8,959 91
Renaissance Learning* 1,153 27
Research Frontiers* 1,517 17
Retek* 8,441 57
RF Micro Devices* 26,957 250
Richardson Electronics 830 9
Riverstone Networks* 19,319 19
Rofin-Sinar Technologies* 1,895 40
Rogers* 2,356 73
Roper Industries 4,294 187
Roxio* 4,316 37
RSA Security* 7,476 107
Rudolph Technologies* 1,722 33
S1* 10,255 52
Safeguard Scientifics* 18,714 64
SAFENET* 1,671 60
SAFLINK* 3,888 18
Sanchez Computer Associates* 2,178 8
Sapient* 11,436 41
SBS Technologies* 1,934 21
ScanSource* 1,580 58
SeaChange International* 3,515 44
Secure Computing* 5,016 59
SeeBeyond Technologies* 7,094 18
Semitool* 2,503 20
Semtech* 9,210 170
SERENA Software* 3,566 66
Sigma Designs* 2,496 21
Silicon Graphics* 30,664 29
Silicon Image* 10,880 49
Silicon Storage Technology* 13,484 118
</Table>
37
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
Siliconix* 886 $ 45
SimpleTech* 1,200 9
SIPEX* 3,755 29
Skyworks Solutions* 21,748 198
SM & A* 1,905 22
Sohu.com* 2,647 82
SonicWALL* 7,619 44
SpectraLink* 2,409 45
SPSS* 1,887 32
SRA International, Cl A* 1,328 50
SS&C Technologies 1,123 22
Standard Microsystems* 1,802 49
StarTek 1,615 52
Stellent* 2,731 21
StorageNetworks* 15,089 25
Stratasys* 681 29
Superconductor Technologies* 7,709 30
Supertex* 1,332 24
Supportsoft* 3,657 41
Sybase* 13,670 233
Sykes Enterprises* 3,629 24
Symmetricom* 5,681 36
Synaptics* 2,402 26
Synplicity* 1,941 11
Syntel 974 22
Sypris Solutions 788 11
Systems & Computer Technologies* 4,977 52
Take-Two Interactive Software* 6,057 207
TALX 2,009 49
Technitrol* 6,304 116
Tekelec* 7,983 125
Teledyne Technologies* 5,900 86
Terayon Communications* 10,259 59
TheStreet.com* 1,922 9
THQ* 5,965 98
Three Five Systems* 3,229 18
TIBCO Software* 13,163 70
Tier Technologies* 2,177 19
Titan* 12,456 260
Tollgrade Communications* 2,004 32
Tradestation Group* 2,571 19
Transaction Systems Architects, Cl A* 5,781 96
Transmeta* 17,487 49
Trimble Navigation* 4,965 115
TriQuint Semiconductor* 22,732 127
TriZetto Group* 4,582 31
TTM Technologies* 2,948 42
Turnstone Systems* 4,809 14
Tyler Technologies* 6,162 44
Ulticom* 1,700 18
Ultratech Stepper* 3,155 89
United Online* 4,465 155
Universal Display* 2,221 23
Varian* 4,591 144
Varian Semiconductor Equipment Associates* 4,461 167
Vastera* 4,142 21
Veeco Instruments* 3,577 71
Verint Systems* 1,376 29
Verity* 3,098 40
Verso Technologies* 14,070 $ 53
Vialta* 133 --
Viasat* 3,074 55
Vignette* 35,719 82
Virage Logic* 1,929 15
Vitalworks* 5,827 31
Vitesse Semiconductor* 32,245 206
Vitria Technology* 2,711 14
WatchGuard Technologies* 5,069 27
WebEx Communications* 3,774 72
webMethods* 7,166 57
Websense* 3,087 66
Westell Technologies, Cl A* 6,942 52
White Electronic Designs* 3,203 34
Wind River Systems* 11,878 68
Woodhead Industries 1,515 23
Xicor* 3,904 36
X-Rite 2,964 34
Zoran* 6,356 124
Zygo* 2,414 40
-------------
24,676
-------------
MATERIALS - 4.0%
A. Schulman 4,488 71
AK Steel Holdings* 14,325 29
Albemarle 5,004 137
Allegheny Technologies 12,695 83
AMCOL International 2,750 34
Ameron International 1,043 34
Arch Chemicals 3,016 63
Arch Coal 7,232 161
Bandag 1,504 51
Brush Engineered Metals* 2,001 21
Buckeye Technologies* 4,439 40
Calgon Carbon 5,219 29
Cambrex 2,855 65
Caraustar Industries* 5,756 50
Carpenter Technology 3,135 67
Centex Construction Products 973 43
Central Garden & Pet* 2,366 62
Century Aluminum* 1,942 21
Chesapeake 2,223 50
Cleveland Cliffs* 1,334 34
Coeur D'Alene Mines* 32,267 100
Commercial Metals 3,939 72
Crompton 17,942 104
Crown Holdings* 25,858 175
Deltic Timber 1,479 43
Ethyl* 2,401 30
Ferro 5,250 112
FMC* 5,524 139
Fuller, H.B 4,202 102
G & K Services, Cl A 2,681 94
Georgia Gulf 4,370 102
Gibraltar Steel 1,433 32
Glatfelter 4,290 51
GrafTech International* 8,600 69
Graphic Packaging* 3,706 19
Great Lakes Chemical 5,435 109
Hercules* 15,544 176
</Table>
The accompanying notes are an integral part of the financial statements.
38
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- ----------------------------------------------------------------------------------
IMC Global 16,996 $ 109
Interface, Cl A* 7,028 38
Jarden* 2,159 82
Liquidmetal Technologies* 2,592 8
Longview Fibre* 8,006 78
Louisiana Pacific* 16,407 226
MacDermid 4,244 112
Material Sciences* 1,105 11
Millennium Chemicals* 9,955 95
Minerals Technologies 2,565 131
Myers Industries 3,045 30
NL Industries 1,059 17
NN 1,535 20
Octel 1,632 28
Olin 8,435 133
OM Group* 4,190 61
Omnova Solutions* 5,235 18
PolyOne* 16,839 66
Pope & Talbot 2,382 36
Potlatch 3,947 117
Quaker Chemicals 1,148 27
Quanex 2,465 83
Raytech* 1,271 4
Rock-Tenn, Cl A 3,777 55
Royal Gold 2,686 49
RTI International Metals* 2,855 30
Ryerson Tull 3,402 27
Seminis, Cl A 2,523 10
Silgan Holdings* 1,718 55
Solutia 16,608 66
Spartech 3,410 73
Steel Dynamics* 5,554 84
Stephan 760 17
Stillwater Mining* 6,504 41
Symyx Technologies* 3,636 78
Texas Industries 3,229 79
USEC 9,931 65
Valhi 4,013 45
W R Grace & Company* 9,689 30
Watts Industries, Cl A 1,625 29
Wausau-Mosinee Paper 5,533 68
Westmoreland Coal* 988 14
-------------
5,119
-------------
TELECOMMUNICATION SERVICES - 1.7%
Aether Systems* 5,169 24
AT Road* 4,075 55
Boston Communications Group* 2,511 25
Centennial Communications, Cl A* 1,416 7
Cincinnati Bell* 27,241 139
Commonwealth Telephone Enterprises* 3,395 136
CT Communications 2,620 30
D & E Communications 1,887 27
Dobson Communications, Cl A* 2,939 24
General Communication* 8,132 68
Golden Telecom* 1,965 54
HickoryTech 1,764 20
Hungarian Telephone & Cable* 527 5
Infonet Services, Cl B* 10,573 22
Intrado* 2,139 49
J2 Global Communications* 2,610 $ 99
McLeodUSA, Cl A* 9,026 13
Metro One Telecommunications* 2,981 10
Neon Communications* (c) 34,093 --
NII Holdings, Class B* 1,901 113
North Pittsburgh 2,169 37
Price Communications* 6,107 76
Primus Telecommunications Group* 8,644 58
PTEK Holdings* 6,461 53
Raindance Communications* 7,069 20
RCN* 11,086 20
Redback Networks* 23,943 15
SBA Communications* 6,587 21
Shenandoah Telecommunications 442 17
Sonus Networks* 31,083 215
Stratex Networks* 15,238 59
SureWest Communications 2,166 72
Sycamore Networks* 25,883 127
Talk America Holdings* 4,101 47
Tellium* 14,637 21
Time Warner Telecom, Cl A* 7,363 68
Triton PCS Holdings, Cl A* 3,237 14
Warwick Valley Telephone 253 20
Western Wireless, Cl A* 8,253 154
Wiltel Communications Group* 4,122 66
Wireless Facilities* 3,973 47
Young Broadcasting, Cl A* 1,924 38
-------------
2,185
-------------
UTILITIES - 2.4%
Allegheny Energy* 19,853 181
American States Water 2,224 52
Aquila* 28,842 97
Atmos Energy 7,823 187
Avista 7,205 112
Black Hills 5,028 155
California Water Service 2,022 52
Cascade Natural Gas 1,416 28
Central Vermont Public Service 1,855 41
CH Energy Group 1,842 81
Chesapeake Utilities 526 12
CLECO 6,935 113
CMS Energy* 21,272 157
Connecticut Water Services 1,083 29
El Paso Electric* 7,326 85
Empire District Electric 3,559 78
Energen 5,193 188
IDACORP 4,777 122
Laclede Group 2,601 70
Middlesex Water 1,032 25
New Jersey Resources 3,868 139
Northwestern Natural Gas 3,481 101
NUI 2,358 35
Otter Tail 4,026 105
PNM Resources 5,852 164
Semco Energy 3,005 14
Sierra Pacific Resources* 20,187 98
SJW 276 23
South Jersey Industries 1,746 66
Southern Union* 8,633 147
</Table>
39
<Page>
<Table>
<Caption>
DESCRIPTION SHARES/PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
Southwest Gas 4,545 $ 103
Southwest Water 2,373 33
Southwestern Energy* 5,540 100
UIL Holdings 1,642 57
Unisource Energy Holding 4,233 81
-------------
3,131
-------------
TOTAL COMMON STOCKS
(Cost $115,383) 120,185
-------------
SHORT-TERM INVESTMENTS - 6.3%
U.S. TREASURY OBLIGATION - 0.5%
United States Treasury Bill (b)
0.990%, 03/11/04 $ 700 697
-------------
TOTAL U.S. TREASURY OBLIGATION 697
-------------
RELATED PARTY MONEY MARKET FUND - 5.8%
First American Prime Obligations Fund, Cl Z (a) 7,477,487 7,478
-------------
TOTAL RELATED PARTY MONEY MARKET FUND 7,478
-------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $8,175) 8,175
-------------
INVESTMENTS PURCHASED WITH PROCEEDS FROM
SECURITIES LENDING - 12.4%
COMMERCIAL PAPER - 1.3%
Bluegrass
1.190%, 05/18/04 61 61
CS First Boston
1.415%, 10/01/03 244 244
Danske Bank
1.508%, 12/22/03 244 244
Independent IV
1.216%, 04/15/04 159 159
K2 USA
1.020%, 12/01/03 122 122
Leafs
1.339%, 04/20/04 169 169
Mitten Mortgage
1.130%, 10/08/03 171 171
Mortgage Interest Network
1.110%, 10/15/03 61 61
1.130%, 12/02/03 122 122
Orchard Park
1.245%, 04/06/04 24 24
1.220%, 07/06/04 271 271
-------------
TOTAL COMMERCIAL PAPER 1,648
-------------
CORPORATE OBLIGATIONS - 2.8%
Allstate Life Global
1.092%, 08/16/04 244 244
Bank of Scotland
1.100%, 03/05/04 122 122
Castle Hill III
1.176%, 09/16/04 73 73
Deutsche Bank
1.430%, 12/31/03 98 98
1.340%, 03/22/04 122 122
General Electric Capital Corporation
1.150%, 07/09/07 122 122
Halogen Fund
1.150%, 10/03/03 508 508
Lloyd's Bank
1.100%, 03/05/04 244 244
Metlife Global Funding
1.130%, 09/15/04 $ 147 $ 147
1.147%, 04/28/08 103 103
Monet Trust
1.210%, 12/28/03 244 244
Residential Mortgage Securities
1.140%, 09/11/04 183 183
Sigma Finance
1.268%, 08/09/04 244 244
SMM Trust 2002-M
1.140%, 09/23/04 409 409
Svenska Handlsbankn
1.100%, 03/03/04 244 244
1.100%, 03/15/04 44 44
Wells Fargo Bank
1.050%, 10/17/03 244 244
1.060%, 10/31/03 171 171
-------------
TOTAL CORPORATE OBLIGATIONS 3,566
-------------
MONEY MARKET FUNDS - 0.0%
AIM Short Term Liquid Asset Portfolio 9,772 10
Merrill Lynch Premier Institutional Fund 32,012 32
-------------
TOTAL MONEY MARKET FUNDS 42
-------------
OTHER SHORT-TERM INVESTMENTS - 1.1%
Commonwealth Life
1.430%, 11/01/03 123 123
General Electric Capital Assurance
1.370%, 12/19/03 49 49
Liquid Funding
1.130%, 8/23/04 122 122
1.130%, 9/14/04 122 122
Premium Asset Trust 02-7
0.110%, 06/01/04 364 364
Security Life Denver
1.381%, 01/13/04 318 318
1.490%, 03/15/04 244 244
-------------
TOTAL OTHER SHORT-TERM INVESTMENTS 1,342
-------------
REPURCHASE AGREEMENTS - 7.2%
Bear Stearns
1.240%, dated 9/30/03, matures
10/1/03, repurchase price $488,847
(collateralized by Various Securities: Total
Market Value $498,591) 489 489
CS First Boston
1.140%, dated 9/30/03, matures
10/1/03, repurchase price $610,764
(collateralized by U.S. Government
Securities: Total Market Value $622,965) 611 611
CS First Boston
1.140%, dated 9/30/03, matures
10/1/03, repurchase price $75,735
(collateralized by U.S. Government
Securities: Total Market Value $77,248) 76 76
CS First Boston
1.248%, dated 9/30/03, matures
10/1/03, repurchase price $195,445
(collateralized by Collateralized Mortgage
Obligation: Total Market Value $205,216) 196 196
Deutsche Bank
1.080%, dated 9/30/03, matures
10/1/03, repurchase price $122,153
(collateralized by U.S. Government
Securities: Total Market Value $124,592) 122 122
</Table>
The accompanying notes are an integral part of the financial statements.
40
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------
Deutsche Bank
1.080%, dated 9/30/03, matures
10/1/03, repurchase price $488,610
(collateralized by U.S. Government
Securities: Total Market Value $498,367) $ 489 $ 489
Deutsche Bank
1.248%, dated 9/30/03, matures
10/1/03, repurchase price $977,225
(collateralized by Corporate
Securities: Total Market Value $1,026,050) 977 977
Goldman Sachs
1.268%, dated 9/30/03, matures
10/1/03, repurchase price $366,459
(collateralized by Corporate
Securities: Total Market Value $384,689) 366 366
Goldman Sachs
1.330%, dated 9/30/03, matures
10/1/03, repurchase price $244,307
(collateralized by Various Securities: Total
Market Value $251,854) 244 244
Goldman Sachs
1.380%, dated 9/30/03, matures
10/1/03, repurchase price $122,153
(collateralized by Various Securities: Total
Market Value $124,644) 122 122
Lehman Brothers
1.120%, dated 9/30/03, matures
10/1/03, repurchase price $671,840
(collateralized by U.S. Government
Securities: Total Market Value $685,257) 672 672
Lehman Brothers
1.130%, dated 9/30/03, matures
10/1/03, repurchase price $244,305
(collateralized by U.S. Government
Securities: Total Market Value $249,193) 244 244
Lehman Brothers
1.388%, dated 9/30/03, matures
10/1/03, repurchase price $488,595
(collateralized by Various Securities: Total
Market Value $495,110) 489 489
Lehman Brothers
1.150%, dated 9/30/03, matures
10/1/03, repurchase price $139,254
(collateralized by Mortgage
Obligations: Total Market Value $147,328) 139 139
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $732,916
(collateralized by U.S. Government
Securities: Total Market Value $747,561) 733 733
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $22,056
(collateralized by U.S. Government
Securities: Total Market Value $22,505) 22 22
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $61,076
(collateralized by U.S. Government
Securities: Total Market Value $62,299) 61 61
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $146,583
(collateralized by U.S. Government
Securities: Total Market Value $149,517) 147 147
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $488,610
(collateralized by U.S. Government
Securities: Total Market Value $498,374) $ 489 $ 489
Merrill Lynch
1.110%, dated 9/30/03, matures
10/1/03, repurchase price $610,763
(collateralized by U.S. Government
Securities: Total Market Value $622,965) 611 611
Merrill Lynch
1.130%, dated 9/30/03, matures
10/1/03, repurchase price $488,611
(collateralized by Asset-Backed and
U.S. Government Securities:
Total Market Value $498,384) 489 489
Merrill Lynch
1.308%, dated 9/30/03, matures
10/1/03, repurchase price $488,613
(collateralized by Corporate
Securities: Total Market Value $513,026) 489 489
Morgan Stanley
1.258%, dated 9/30/03, matures
10/1/03, repurchase price $129,482
(collateralized by Asset-Backed
Securities: Total Market Value $135,952) 129 129
Morgan Stanley
1.258%, dated 9/30/03, matures
10/1/03, repurchase price $759,792
(collateralized by Mortgage
Obligations and Asset-Backed
Securities: Total Market Value $797,929) 760 760
-------------
TOTAL REPURCHASE AGREEMENTS 9,166
-------------
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING
(Cost $15,764) 15,764
-------------
TOTAL INVESTMENTS - 112.6%
(Cost $139,322) 144,124
-------------
OTHER ASSETS AND LIABILITIES, NET - (12.6)% (16,071)
-------------
TOTAL NET ASSETS - 100.0% $ 128,053
-------------
</Table>
* Non-income producing security
(a) 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.
(b) 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.
(c) Security is fair valued. As of September 30, 2003, the market value of
these investments is $4,671 or 0.00% of total net assets. See note 2 in
Notes to Financial Statements.
Cl - Class
REIT - Real Estate Investment Trust
41
<Page>
STATEMENTS OF ASSETS AND LIABILITIES September 30, 2003, in thousands, except
for per share data
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND INDEX FUND INDEX FUND
- ----------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value*+ $ 2,748,611 $ 334,212 $ 136,646
Investments in affiliated securities, at value** 81,356 9,531 7,478
Cash 14 -- --
Dividends and interest receivable 2,427 147 111
Capital shares sold 2,348 263 96
Prepaid expenses and other assets 70 12 11
- ----------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 2,834,826 344,165 144,342
======================================================================================================================
LIABILITIES:
Payable upon return of securities loaned 733,775 88,364 15,764
Capital shares redeemed 13,609 2,793 350
Variation margin payable 773 75 80
Payable for advisory, co-administration, and
custodian fees 500 72 49
Distribution and shareholder servicing fees 131 5 3
Accrued expenses and other liabilities 40 41 43
- ----------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 748,828 91,350 16,289
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 2,085,998 $ 252,815 $ 128,053
======================================================================================================================
COMPOSITION OF NET ASSETS:
Portfolio capital $ 1,863,513 $ 253,010 $ 122,876
Undistributed net investment income 601 21 67
Accumulated net realized gain (loss) (39,155) 3,991 525
Unrealized appreciation (depreciation) of investments 262,291 (4,076) 4,802
Unrealized depreciation of futures contracts (1,252) (131) (217)
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 2,085,998 $ 252,815 $ 128,053
======================================================================================================================
* Investments in unaffiliated securities, at cost $ 2,487,040 $ 338,288 $ 131,844
**Investments in affiliated securities, at cost $ 80,636 $ 9,531 $ 7,478
+ Including securities loaned, at value $ 695,659 $ 84,147 $ 14,763
CLASS A:
Net assets $ 158,324 $ 5,332 $ 3,480
Shares issued and outstanding ($0.0001 par value --
2 billion authorized) 8,466 514 303
Net asset value, and redemption price per share $ 18.70 $ 10.36 $ 11.47
Maximum offering price per share (1) $ 19.79 $ 10.96 $ 12.14
CLASS B:
Net assets $ 71,624 $ 2,419 $ 993
Shares issued and outstanding ($0.0001 par value --
2 billion authorized) 3,875 236 88
Net asset value, offering price, and redemption
price per share (2) $ 18.48 $ 10.25 $ 11.33
CLASS C:
Net assets $ 31,330 $ 1,756 $ 1,268
Shares issued and outstanding ($0.0001 par value --
2 billion authorized) 1,685 171 111
Net asset value, and redemption price per share (2) $ 18.59 $ 10.28 $ 11.43
Maximum offering price per share (3) $ 18.78 $ 10.38 $ 11.55
CLASS S:
Net assets $ 52,925 $ 4,134 $ 3,210
Shares issued and outstanding ($0.0001 par value --
2 billion authorized) 2,831 399 281
Net asset value, offering price, and redemption
price per share $ 18.70 $ 10.36 $ 11.41
CLASS Y:
Net assets $ 1,771,795 $ 239,174 $ 119,102
Shares issued and outstanding ($0.0001 par value --
2 billion authorized) 94,787 23,060 10,348
Net asset value, offering price, and redemption
price per share $ 18.69 $ 10.37 $ 11.51
</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 contingent 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.
42
<Page>
STATEMENTS OF OPERATIONS For the fiscal year ended September 30, 2003, in
thousands
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND INDEX FUND INDEX FUND
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest from unaffiliated securities $ 77 $ 12 $ 10
Interest from affiliated securities 810 107 84
Dividends 30,840 2,489 1,301
Securities lending 507 56 30
Other income 659 -- --
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 32,893 2,664 1,425
======================================================================================================================
EXPENSES:
Investment advisory fees 4,478 551 419
Co-administration fees and expenses (including per account
transfer agency fees) 4,902 621 338
Custodian fees 179 22 10
Directors' fees 30 4 2
Registration fees 14 29 20
Professional fees 64 8 4
Printing 68 9 4
Other 150 60 52
Distribution and shareholder servicing fees - Class A 376 10 6
Distribution and shareholder servicing fees - Class B 702 18 6
Distribution and shareholder servicing fees - Class C 296 12 8
Shareholder servicing fees - Class S 120 10 13
- ----------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 11,379 1,354 882
======================================================================================================================
Less: Fee waivers (3,258) (200) (136)
- ----------------------------------------------------------------------------------------------------------------------
TOTAL NET EXPENSES 8,121 1,154 746
======================================================================================================================
INVESTMENT INCOME - NET 24,772 1,510 679
======================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FUTURES CONTRACTS - NET:
Net realized gain (loss) on investments (3,233) 3,462 (183)
Net realized loss on in-kind distribution (663) -- --
Net realized gain on futures contracts 9,771 1,434 702
Net change in unrealized appreciation or depreciation of
investments 327,421 41,654 30,354
Net change in unrealized appreciation or depreciation of
future contracts 1,044 350 107
- ----------------------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS 334,340 46,900 30,980
======================================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 359,112 $ 48,410 $ 31,659
======================================================================================================================
</Table>
The accompanying notes are an integral part of the financial statements.
43
<Page>
STATEMENTS OF CHANGES IN NET ASSETS in thousands
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND INDEX FUND INDEX FUND
- ------------------------------------------------------------------------------------------------------------------------------
10/1/02 10/1/01 10/1/02 10/1/01 10/1/02 10/1/01
TO TO TO TO TO TO
9/30/03 9/30/02 9/30/03 9/30/02 9/30/03 9/30/02
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income - net $ 24,772 $ 20,971 $ 1,510 $ 1,425 $ 679 $ 769
Net realized gain (loss) on investments (3,233) (17,129) 3,462 5,952 (183) 2,012
Net realized gain (loss) on in-kind
distributions (663) 88,012 -- 1,965 -- 503
Net realized gain (loss) on futures
contracts 9,771 3,192 1,471 (247) 702 (524)
Net change in unrealized appreciation
or depreciation of investments 327,421 (480,909) 41,654 (25,621) 30,354 (26,213)
Net change in unrealized appreciation
or depreciation of futures contracts 1,044 (3,348) 313 (473) 107 (324)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 359,112 (389,211) 48,410 (16,999) 31,659 (23,777)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income - net:
Class A (1,752) (1,724) (20) (15) (11) (8)
Class B (330) (183) (1) -- -- --
Class C (145) (56) (1) -- (1) --
Class S (570) (434) (18) (16) (33) (68)
Class Y (21,115) (18,598) (1,472) (1,389) (639) (641)
Net realized gain on investments:
Class A -- -- (97) (123) -- --
Class B -- -- (41) (49) -- --
Class C -- -- (26) (1) -- --
Class S -- -- (95) (150) -- --
Class Y -- -- (5,505) (7,356) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions (23,912) (20,995) (7,276) (9,099) (684) (717)
==============================================================================================================================
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Proceeds from sales 25,928 35,313 1,994 2,725 1,423 4,956
Reinvestment of distributions 1,673 1,650 116 136 11 8
Payments for redemptions (37,906) (47,666) (1,218) (1,767) (639) (2,719)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from Class A transactions (10,305) (10,703) 892 1,094 795 2,245
- ------------------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from sales 5,525 9,748 731 712 513 474
Reinvestment of distributions 321 178 41 48 -- --
Payments for redemptions (14,832) (19,649) (201) (328) (131) (34)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from Class B transactions (8,986) (9,723) 571 432 382 440
- ------------------------------------------------------------------------------------------------------------------------------
Class C:
Proceeds from sales 13,645 6,194 843 1,044 744 592
Reinvestment of distributions 142 54 25 1 1 --
Payments for redemptions (9,354) (7,962) (162) (52) (151) (16)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from Class C transactions 4,433 (1,714) 706 993 594 576
- ------------------------------------------------------------------------------------------------------------------------------
Class S:
Proceeds from sales 27,976 33,391 1,734 2,554 1,887 4,483
Reinvestment of distributions 549 419 97 123 33 67
Payments for redemptions (27,845) (16,746) (1,930) (3,369) (13,558) (2,761)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from Class S transactions 680 17,064 (99) (692) (11,638) 1,789
- ------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from sales 890,946 608,090 114,594 104,570 51,061 116,156
Reinvestment of distributions 15,659 14,444 5,064 6,651 372 402
Payments for redemptions (547,725) (720,539) (117,836) (64,557) (55,592) (54,512)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from Class Y transactions 358,880 (98,005) 1,822 46,664 (4,159) 62,046
- ------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets
from capital share transactions 344,702 (103,081) 3,892 48,491 (14,026) 67,096
- ------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 679,902 (513,287) 45,026 22,393 16,949 42,602
NET ASSETS AT BEGINNING OF PERIOD 1,406,096 1,919,383 207,789 185,396 111,104 68,502
==============================================================================================================================
NET ASSETS AT END OF PERIOD $ 2,085,998 $ 1,406,096 $ 252,815 $ 207,789 $ 128,053 $ 111,104
==============================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME AT
END OF PERIOD $ 601 $ 427 $ 21 $ 17 $ 67 $ 53
==============================================================================================================================
</Table>
(1) See note 5 in Notes to Financial Statements for additional information.
The accompanying notes are an integral part of the financial statements.
44
<Page>
(This page has been left blank intentionally.)
<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 FROM NET DISTRIBUTIONS
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET
OF PERIOD INCOME (LOSS) INVESTMENTS INCOME REALIZED GAINS
- ----------------------------------------------------------------------------------------------------------------------
EQUITY INDEX FUND
Class A
2003 (1) $ 15.31 $ 0.21 $ 3.38 $ (0.20) $ --
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)
Class B
2003 (1) $ 15.13 $ 0.08 $ 3.35 $ (0.08) $ --
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)
Class C
2003 (1) $ 15.23 $ 0.08 $ 3.36 $ (0.08) $ --
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 (2) 25.35 0.06 0.13 (0.06) --
Class S (1)
2003 $ 15.30 $ 0.21 $ 3.39 $ (0.20) $ --
2002 19.50 0.18 (4.20) (0.18) --
2001 (3) 18.80 -- 0.70 -- --
Class Y
2003 (1) $ 15.30 $ 0.25 $ 3.38 $ (0.24) $ --
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)
- ----------------------------------------------------------------------------------------------------------------------
MID CAP INDEX FUND (4)
Class A
2003 (1) $ 8.51 $ 0.04 $ 2.08 $ (0.04) $ (0.23)
2002 (1) 9.38 0.04 (0.49) (0.04) (0.38)
2001 (1) (5) 12.56 0.05 (2.11) (0.05) (1.07)
2000 (6) (7) 10.00 0.04 2.56 (0.04) --
Class B
2003 (1) $ 8.44 $ (0.03) $ 2.07 $ -- $ (0.23)
2002 (1) 9.33 (0.03) (0.48) -- (0.38)
2001 (1) (5) 12.52 -- (2.12) -- (1.07)
2000 (6) (7) 10.00 (0.01) 2.56 (0.03) --
Class C (1)
2003 $ 8.47 $ (0.03) $ 2.07 $ -- $ (0.23)
2002 9.38 (0.02) (0.51) -- (0.38)
2001 (3) 9.07 -- 0.31 -- --
Class S (1)
2003 $ 8.50 $ 0.04 $ 2.09 $ (0.04) $ (0.23)
2002 9.38 0.04 (0.50) (0.04) (0.38)
2001 (8) 11.07 0.04 (1.67) (0.06) --
Class Y
2003 (1) $ 8.51 $ 0.06 $ 2.09 $ (0.06) $ (0.23)
2002 (1) 9.38 0.06 (0.49) (0.06) (0.38)
2001 (1) (5) 12.55 0.08 (2.11) (0.07) (1.07)
2000 (6) (7) 10.00 0.08 2.55 (0.08) --
- ----------------------------------------------------------------------------------------------------------------------
SMALL CAP INDEX FUND (9)
Class A
2003 (1) $ 8.55 $ 0.04 $ 2.92 $ (0.04) $ --
2002 (1) 9.68 0.05 (1.13) (0.05) --
2001 (1) (5) 12.23 (0.01) (1.49) -- (1.05)
2000 (10) 10.18 (0.01) 2.20 -- (0.14)
1999 (11) (12) 10.00 -- 0.19 (0.01) --
Class B (1)
2003 $ 8.47 $ (0.03) $ 2.90 $ (0.01) $ --
2002 9.63 (0.03) (1.13) -- --
2001 (13) 10.97 (0.01) (1.33) -- --
Class C (1)
2003 $ 8.54 $ (0.03) $ 2.93 $ (0.01) $ --
2002 9.68 (0.03) (1.11) -- --
2001 (3) 9.49 -- 0.19 -- --
Class S
2003 (1) $ 8.52 $ 0.05 $ 2.88 $ (0.04) $ --
2002 (1) 9.64 0.05 (1.12) (0.05) --
2001 (1) (5) 12.19 (0.01) (1.49) -- (1.05)
2000 (10) 10.17 (0.01) 2.18 (0.01) (0.14)
1999 (11) (12) 10.00 -- 0.17 -- --
Class Y
2003 (1) $ 8.57 $ 0.07 $ 2.94 $ (0.07) $ --
2002 (1) 9.70 0.07 (1.13) (0.07) --
2001 (1) (5) 12.24 0.02 (1.50) (0.01) (1.05)
2000 (10) 10.19 0.02 2.19 (0.02) (0.14)
1999 (11) (12) 10.00 0.01 0.19 (0.01) --
</Table>
(1) Per share data calculated using average shares outstanding method.
(2) Class of shares have been offered since February 1, 1999. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(3) Class of shares have been offered since September 24, 2001. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(4) 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.
(5) For the period November 1, 2000 to September 30, 2001. Effective in
2001, the Fund's fiscal year end changed from October 31 to
September 30. All ratios for the period have been annualized, except
total return and portfolio turnover.
(6) Commenced operations on November 4, 1999. All ratios for the period have
been annualized, except total return and portfolio turnover.
(7) For the fiscal period ended October 31.
The accompanying notes are an integral part of the financial statements.
46
<Page>
<Table>
<Caption>
RATIO OF NET
NET ASSET RATIO OF INVESTMENT
VALUE NET ASSETS EXPENSES TO INCOME (LOSS)
END OF TOTAL END OF AVERAGE TO AVERAGE
PERIOD RETURN (14) PERIOD (000) NET ASSETS NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
EQUITY INDEX FUND
Class A
2003 (1) $ 18.70 23.58% $ 158,324 0.62% 1.22%
2002 (1) 15.31 (20.75) 139,007 0.62 0.91
2001 (1) 19.50 (26.95) 188,410 0.60 0.74
2000 27.75 12.11 134,180 0.60 0.62
1999 25.52 27.30 110,439 0.60 0.85
Class B
2003 (1) $ 18.48 22.72% $ 71,624 1.37% 0.47%
2002 (1) 15.13 (21.40) 66,835 1.37 0.16
2001 (1) 19.29 (27.49) 95,586 1.35 (0.01)
2000 27.49 11.25 121,092 1.35 (0.13)
1999 25.34 26.38 99,054 1.35 0.10
Class C
2003 (1) $ 18.59 22.65% $ 31,330 1.37% 0.47%
2002 (1) 15.23 (21.38) 21,637 1.37 0.16
2001 (1) 19.41 (27.51) 29,560 1.35 (0.01)
2000 27.66 11.32 34,811 1.35 (0.13)
1999 (2) 25.48 0.76 16,861 1.35 0.07
Class S (1)
2003 $ 18.70 23.66% $ 52,925 0.62% 1.22%
2002 15.30 (20.79) 42,964 0.62 0.93
2001 (3) 19.50 3.72 38,220 0.72 0.89
Class Y
2003 (1) $ 18.69 23.89% $ 1,771,795 0.37% 1.46%
2002 (1) 15.30 (20.56) 1,135,653 0.37 1.16
2001 (1) 19.49 (26.78) 1,567,607 0.35 0.99
2000 27.74 12.38 1,400,086 0.35 0.87
1999 25.51 27.61 1,206,072 0.35 1.11
- -----------------------------------------------------------------------------------------------------------------------
MID CAP INDEX FUND (4)
Class A
2003 (1) $ 10.36 25.45% $ 5,332 0.75% 0.45%
2002 (1) 8.51 (5.45) 3,581 0.75 0.37
2001 (1) (5) 9.38 (17.60) 2,972 0.75 0.51
2000 (6) (7) 12.56 26.48 1,918 0.75 0.75
Class B
2003 (1) $ 10.25 24.63% $ 2,419 1.50% (0.30)%
2002 (1) 8.44 (6.07) 1,475 1.50 (0.37)
2001 (1) (5) 9.33 (18.15) 1,265 1.50 (0.24)
2000 (6) (7) 12.52 25.65 905 1.50 --
Class C (1)
2003 $ 10.28 24.55% $ 1,756 1.50% (0.30)%
2002 8.47 (6.22) 795 1.50 (0.37)
2001 (3) 9.38 3.42 -- -- --
Class S (1)
2003 $ 10.36 25.60% $ 4,134 0.75% 0.46%
2002 8.50 (5.56) 3,393 0.75 0.37
2001 (8) 9.38 (14.77) 4,301 0.75 0.47
Class Y
2003 (1) $ 10.37 25.86% $ 239,174 0.50% 0.71%
2002 (1) 8.51 (5.23) 198,545 0.50 0.63
2001 (1) (5) 9.38 (17.34) 176,857 0.50 0.75
2000 (6) (7) 12.55 26.62 125,881 0.50 1.00
- -----------------------------------------------------------------------------------------------------------------------
SMALL CAP INDEX FUND (9)
Class A
2003 (1) $ 11.47 34.77% $ 3,480 0.93% 0.42%
2002 (1) 8.55 (11.28) 1,908 0.93 0.46
2001 (1) (5) 9.68 (12.76) 341 0.91 (0.07)
2000 (10) 12.23 21.81 177 0.99 (0.11)
1999 (11) (12) 10.18 1.86 134 1.00 (0.15)
Class B (1)
2003 $ 11.33 33.87% $ 993 1.68% (0.33)%
2002 8.47 (12.03) 424 1.68 (0.29)
2001 (13) 9.63 (12.11) 107 1.65 (0.84)
Class C (1)
2003 $ 11.43 33.94% $ 1,268 1.68% (0.33)%
2002 8.54 (11.72) 447 1.68 (0.26)
2001 (3) 9.68 2.11 -- -- --
Class S
2003 (1) $ 11.41 34.54% $ 3,210 0.93% 0.52%
2002 (1) 8.52 (11.26) 13,576 0.93 0.42
2001 (1) (5) 9.64 (12.82) 13,886 0.88 (0.05)
2000 (10) 12.19 21.54 18,057 0.99 (0.11)
1999 (11) (12) 10.17 1.74 14,955 0.92 (0.06)
Class Y
2003 (1) $ 11.51 35.23% $ 119,102 0.68% 0.68%
2002 (1) 8.57 (11.09) 94,749 0.68 0.68
2001 (1) (5) 9.70 (12.56) 54,169 0.66 0.19
2000 (10) 12.24 21.93 60,771 0.69 0.19
1999 (11) (12) 10.19 2.01 45,331 0.68 0.18
<Caption>
RATIO OF RATIO OF NET
EXPENSES TO INVESTMENT
AVERAGE INCOME (LOSS)
NET ASSETS TO AVERAGE NET PORTFOLIO
(EXCLUDING ASSETS (EXCLUD- TURNOVER
WAIVERS) ING WAIVERS) RATE
- ----------------------------------------------------------------------------------
EQUITY INDEX FUND
Class A
2003 (1) 0.80% 1.04% 1%
2002 (1) 0.80 0.73 8
2001 (1) 1.14 0.20 6
2000 1.14 0.08 16
1999 1.14 0.31 7
Class B
2003 (1) 1.55% 0.29% 1%
2002 (1) 1.55 (0.02) 8
2001 (1) 1.89 (0.55) 6
2000 1.89 (0.67) 16
1999 1.89 (0.44) 7
Class C
2003 (1) 1.55% 0.29% 1%
2002 (1) 1.55 (0.02) 8
2001 (1) 1.89 (0.55) 6
2000 1.89 (0.67) 16
1999 (2) 1.89 (0.47) 7
Class S (1)
2003 0.80% 1.04% 1%
2002 0.80 0.75 8
2001 (3) 1.20 0.41 6
Class Y
2003 (1) 0.55% 1.28% 1%
2002 (1) 0.55 0.98 8
2001 (1) 0.89 0.45 6
2000 0.89 0.33 16
1999 0.89 0.57 7
- ----------------------------------------------------------------------------------
MID CAP INDEX FUND (4)
Class A
2003 (1) 0.84% 0.36% 23%
2002 (1) 0.83 0.29 19
2001 (1) (5) 0.80 0.46 43
2000 (6) (7) 0.90 0.60 45
Class B
2003 (1) 1.59% (0.39)% 23%
2002 (1) 1.58 (0.45) 19
2001 (1) (5) 1.54 (0.28) 43
2000 (6) (7) 1.65 (0.15) 45
Class C (1)
2003 1.59% (0.39)% 23%
2002 1.58 (0.45) 19
2001 (3) -- -- 43
Class S (1)
2003 0.84% 0.37% 23%
2002 0.83 0.29 19
2001 (8) 0.80 0.42 43
Class Y
2003 (1) 0.59% 0.62% 23%
2002 (1) 0.58 0.55 19
2001 (1) (5) 0.53 0.72 43
2000 (6) (7) 0.65 0.85 45
- ----------------------------------------------------------------------------------
SMALL CAP INDEX FUND (9)
Class A
2003 (1) 1.05% 0.30% 41%
2002 (1) 1.09 0.30 49
2001 (1) (5) 0.94 (0.10) 102
2000 (10) 1.09 (0.21) 32
1999 (11) (12) 1.14 (0.29) 35
Class B (1)
2003 1.80% (0.45)% 41%
2002 1.84 (0.45) 49
2001 (13) 1.69 (0.88) 102
Class C (1)
2003 1.80% (0.45)% 41%
2002 1.84 (0.42) 49
2001 (3) -- -- 102
Class S
2003 (1) 1.05% 0.40% 41%
2002 (1) 1.09 0.26 49
2001 (1) (5) 0.91 (0.08) 102
2000 (10) 1.09 (0.21) 32
1999 (11) (12) 1.12 (0.26) 35
Class Y
2003 (1) 0.80% 0.56% 41%
2002 (1) 0.84 0.52 49
2001 (1) (5) 0.68 0.17 102
2000 (10) 1.09 (0.21) 32
1999 (11) (12) 1.13 (0.27) 35
</Table>
(8) Class of shares have been offered since November 27, 2000. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(9) 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.
(10) For the period December 1, 1999 to October 31, 2000. Effective in 2001,
the Fund's fiscal year end changed from November 30 to October 31. All
ratios for the period have been annualized, except total return and
portfolio turnover.
(11) Commenced operations on December 30, 1998. All ratios for the period have
been annualized, except total return and portfolio turnover.
(12) For the fiscal period ended November 30.
(13) Class of shares have been offered since December 11, 2000. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(14) Total return does not reflect sales charges. Total return would have been
lower had certain expenses not been waived.
47
<Page>
NOTES TO FINANCIAL STATEMENTS September 30, 2003
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
and Class Y shares have no sales charge and are offered only to qualifying
institutional investors and certain other qualifying accounts.
The Funds' prospectuses provide descriptions of each Fund's investment
objective, 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 VALUATIONS - 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. For securities traded on the Nasdaq
national market system, the Funds utilize the Nasdaq Official Closing Price
which compares the last trade to the bid/ask range of a security. If the
last trade falls within the bid/ask range, then that price will be the
closing price. If the last trade is outside the bid/ask range, and falls
above the ask, the ask will be the closing price. If the last price is below
the bid, the bid will be the closing price. 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. If
events occur that materially affect the value of securities (including
non-U.S. securities) between the close of trading in those securities and
the close of regular trading on the New York Stock Exchange, the securities
will be valued at fair value. As of September 30, 2003, the Equity Index
Fund and Small Cap Index Fund had fair valued securities with a total market
value of $1,372 and $4,671 respectively, or 0.0% of total net assets for
both funds, respectively. Mid Cap Index Fund had no fair valued securities.
Debt obligations with 60 days or less remaining until maturity may be valued
at their amortized cost, which approximates market value. 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. As of September 30,
2003, the Funds had no investments in foreign securities.
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 - Each Fund is treated as a separate taxable entity. Each Fund
intends to continue to qualify as a regulated investment company as provided
in Subchapter M of the Internal Revenue Code, as amended, and to distribute
all taxable income, if any, to its shareholders. Accordingly, no provision
for federal income taxes is required.
48
<Page>
Net investment income and net 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. To the extent these differences are permanent,
reclassifications are made to the appropriate equity accounts in the period
that the difference arises.
On the Statements of Assets and Liabilities the following reclassifications
were made (000):
<Table>
<Caption>
ACCUMULATED UNDISTRIBUTED
NET REALIZED NET INVESTMENT PORTFOLIO
FUND GAIN (LOSS) INCOME CAPITAL
-------------------------------------------------------------------
Equity Index $ 686 $ (686) $ --
Mid Cap Index (6) 6 --
Small Cap Index 644 19 (663)
</Table>
The characterization 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. 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) are recorded by the Fund. The distributions paid during the fiscal
years ended September 30, 2003 and 2002, were characterized as follows
(000):
<Table>
<Caption>
2003
ORDINARY LONG TERM
FUND INCOME GAIN TOTAL
--------------------------------------------------------------------
Equity Index $ 23,912 $ -- $ 23,912
Mid Cap Index 1,700 5,576 7,276
Small Cap Index 576 108 684
</Table>
<Table>
<Caption>
2002
ORDINARY LONG TERM
FUND INCOME GAIN TOTAL
--------------------------------------------------------------------
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, 2003, the components of accumulated earnings (deficit)
on a tax basis were (000):
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX INDEX INDEX
--------------------------------------------------------------------
Undistributed Ordinary
Income $ 592 $ 478 $ --
Undistributed Long Term
Capital Gains -- 4,076 451
-----------------------------------------
Accumulated Earnings 592 4,554 451
Accumulated Capital and
Post-October Losses (27,551) -- --
Unrealized Appreciation
(Depreciation) 249,444 (4,749) 4,726
-----------------------------------------
Total Accumulated
Earnings (Deficit) $ 222,485 $ (195) $ 5,177
</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.
As of September 30, 2003, the following Fund had a capital loss carryforward
(000):
<Table>
<Caption>
FUND AMOUNT EXPIRATION DATE
-------------------------------------------------------------------
Equity Index $ 27,551 2008-2011
</Table>
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 an 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. Each Fund
reserves the right to pay part or all of the proceeds from a redemption
request in a proportionate share of readily marketable securities in the
Fund instead of cash. The resulting gain/loss is calculated as the
difference between the fair value and the underlying cost of the security on
the transaction date.
FUTURES TRANSACTIONS - In order to gain exposure to or protect against
changes in the market, the Funds may enter into S&P and Russell Index
futures contracts and other stock index futures contracts.
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% 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 - In order to generate additional income, each Fund may
lend securities representing up to one-third of the value of its total
assets (which includes collateral for securities on loan) to broker-dealers,
banks, or other institutional borrowers of securities. Each Fund's policy is
to maintain collateral in the form of cash, U.S. government securities, or
other high-grade debt obligations
49
<Page>
equal to at least 100% of the value of securities loaned. The collateral is
then " marked-to-market" daily until the securities are returned. As with
other extensions of credit, there may be risks of delay in recovery of the
securities or even loss of rights in the collateral should the borrower of
the security fail financially.
U.S. Bancorp Asset Management, Inc. ("USBAM") serves as the securities
lending agent for the Funds in transactions involving the lending of
portfolio securities on behalf of the Funds. For these services, USBAM
received $416,323, $46,121 and $24,246 in securities lending fees for the
fiscal year ended September 30, 2003, from the Equity Index, Mid Cap Index,
and Small Cap Index Fund, respectively.
OTHER INCOME - Income from settlement proceeds related to specific portfolio
securities is recorded as an adjustment to realized or unrealized gains or
losses. Income from settlement proceeds related to securities that are no
longer included in the portfolio is recorded in other income. For the year
ended September 30, 2003, the Equity Index Fund recorded $659,139 in other
income for settlement proceeds related to securities no longer included in
the portfolio.
INTERFUND LENDING PROGRAM - Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the Funds, along with other registered
investment companies in the First American Family of Funds, may participate
in an interfund lending program. This program provides an alternative credit
facility allowing the Funds to borrow from, or lend money to, other
participating funds. The Funds did not have any interfund lending
transactions during the fiscal year ended September 30, 2003.
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, such as
12b-1 fees, 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.
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
ADVISOR FEES - Pursuant to an investment advisory agreement (the
"Agreement"), 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 each Fund's average daily net assets. The fee for the Small Cap
Index Fund is equal to an annual rate of 0.40% of its average daily net
assets. USBAM voluntarily waived fees during the most recently completed
fiscal year so that the total fund operating expenses did not exceed expense
limitations described in the Funds' prospectus.
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 investments are identical to those of investments by non-related
entities except that, to avoid duplicative investment advisory fees, USBAM
reimburses each Fund an amount equal to the investment advisory fee paid by
FAF to USBAM related to such investments. For financial statement purposes,
these reimbursements are recorded as investment income.
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% of the next $17 billion of
the aggregate average daily assets, 0.22% of the next $25 billion of the
aggregate average
50
<Page>
daily net assets, and 0.20% of the aggregate average daily net assets in
excess of $50 billion. The Funds, along with all other open-end mutual funds
in the First American Family of Funds, pay transfer agent fees of $18,500 per
share class. These fees are allocated to each Fund based upon the Fund's pro
rata share of aggregate average daily net assets of the Funds that comprise
FAIF. Each Fund also pays additional per account fees for transfer agent
services. For the fiscal year ended September 30, 2003, administration
fees paid to USBAM and USBFS by the Funds included in this annual report
were as follows (000):
<Table>
<Caption>
FUND AMOUNT
-------------------------------------------------------------
Equity Index Fund $ 4,841
Mid Cap Index Fund 596
Small Cap Index Fund 283
</Table>
CUSTODIAN FEES - U.S. Bank serves as the Funds' custodian pursuant to a
custodian agreement with FAIF. The fee for each Fund is equal to an annual
rate of 0.01% of average daily net assets. All fees are computed daily and
paid monthly.
DISTRIBUTION AND SHAREHOLDER SERVICING FEES - Quasar Distributors, LLC ("
Quasar" ), a subsidiary of U.S. Bancorp, serves as distributor of the Funds
pursuant to a distribution agreement with FAIF. Under the distribution
agreement, each of the Funds pays Quasar a monthly distribution and/or
shareholder servicing fee equal to an annual 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. These fees 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 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 or
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 fiscal year ended
September 30, 2003 (000):
<Table>
<Caption>
FUND AMOUNT
-------------------------------------------------------------
Equity Index Fund $ 724
Mid Cap Index Fund 32
Small Cap Index Fund 26
</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 of shareholder
reports, legal, auditing, insurance, and other miscellaneous expenses. For
the fiscal year ended September 30, 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. Class B shares automatically convert to Class
A shares after eight years.
<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>
A CDSC of 1.00% is imposed on redemptions made in Class C shares for the
first eighteen 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.
For the fiscal year ended September 30, 2003, sales charges retained by
affiliates of USBAM for distributing the Funds' shares were as follows (000):
<Table>
<Caption>
FUND AMOUNT
-------------------------------------------------------------
Equity Index Fund $ 510
Mid Cap Index Fund 54
Small Cap Index Fund 39
</Table>
4 > INVESTMENT IN COMMON STOCK OF AFFILIATE
As disclosed in the Schedule of Investments, Equity Index Fund owns common
stock issued by U.S. Bancorp. For the fiscal year ended September 30, 2003,
the Equity Index Fund recorded no realized gains or losses from sales of
U.S. Bancorp common stock and $319,975 of income from U.S. Bancorp common
stock.
51
<Page>
NOTES TO Financial STATEMENTS September 30, 2003
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 (000):
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND INDEX FUND INDEX FUND
- --------------------------------------------------------------------------------------------------------------------------------
10/1/02 10/1/01 10/1/02 10/1/01 10/1/02 10/1/01
TO TO TO TO TO TO
9/30/03 9/30/02 9/30/03 9/30/02 9/30/03 9/30/02
- --------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares issued 1,495 1,767 217 261 147 426
Shares issued in lieu of cash distributions 97 85 13 14 1 1
Shares redeemed (2,208) (2,430) (137) (171) (68) (239)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS (616) (578) 93 104 80 188
================================================================================================================================
Class B:
Shares issued 321 488 79 67 52 42
Shares issued in lieu of cash distributions 19 11 4 5 -- --
Shares redeemed (881) (1,038) (22) (33) (14) (3)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS (541) (539) 61 39 38 39
================================================================================================================================
Class C:
Shares issued 806 310 91 99 74 54
Shares issued in lieu of cash distributions 8 3 3 -- -- --
Shares redeemed (550) (415) (17) (5) (15) (2)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS C TRANSACTIONS 264 (102) 77 94 59 52
================================================================================================================================
Class S:
Shares issued 1,647 1,684 196 258 192 408
Shares issued in lieu of cash distributions 32 22 10 12 3 6
Shares redeemed (1,656) (859) (206) (330) (1,508) (260)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS S TRANSACTIONS 23 847 -- (60) (1,313) 154
================================================================================================================================
Class Y:
Shares issued 50,895 30,730 12,500 10,260 5,268 10,511
Shares issued in lieu of cash distributions 904 747 560 666 39 38
Shares redeemed (31,254) (37,657) (13,331) (6,449) (6,019) (5,075)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS Y TRANSACTIONS 20,545 (6,180) (271) 4,477 (712) 5,474
================================================================================================================================
NET INCREASE (DECREASE) IN CAPITAL SHARES 19,675 (6,552) (40) 4,654 (1,848) 5,907
================================================================================================================================
</Table>
52
<Page>
6 > INVESTMENT SECURITY TRANSACTIONS
During the fiscal year ended September 30, 2003, purchases of securities and
proceeds from sales of securities, other than temporary investments in
short-term securities, were as follows (000):
<Table>
<Caption>
FUND PURCHASES SALES
---------------------------------------------------------------------------
Equity Index $ 326,609 $ 12,215
Mid Cap Index 48,059 49,484
Small Cap Index 40,129 54,754
</Table>
The aggregate gross unrealized appreciation and depreciation of securities
held by the Funds and the total cost of securities (including cost of
securities purchased with proceeds from securities lending) for federal
income tax purposes at September 30, 2003, were as follows (000):
<Table>
<Caption>
AGGREGATE AGGREGATE FEDERAL
GROSS GROSS INCOME
FUND APPRECIATION DEPRECIATION NET TAX COST
---------------------------------------------------------------------------------------------------------------------
Equity Index $ 576,590 $ (327,146) $ 249,444 $ 2,580,523
Mid Cap Index 40,456 (45,205) (4,749) 348,492
Small Cap Index 19,640 (14,914) 4,726 139,398
</Table>
7 > FUTURES CONTRACTS
The Funds' investment in stock 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 September 30, 2003, futures contracts for
the Equity Index Fund, Mid Cap Index Fund, and Small Cap Index Fund were as
follows (000):
<Table>
<Caption>
MARKET VALUE
NAME OF NUMBER OF COVERED BY SETTLEMENT UNREALIZED
FUND CONTRACT CONTRACTS CONTRACTS MONTH LOSS
----------------------------------------------------------------------------------------------------------------------------
Equity Index S&P 500 Index 258 $ 64,119 Dec-03 $ (1,252)
Mid Cap Index S&P MidCap 400 Index 27 6,890 Dec-03 (131)
Small Cap Index Russell 2000 Index 30 7,318 Dec-03 (217)
</Table>
53
<Page>
NOTICE TO SHAREHOLDERS September 30, 2003 (unaudited)
TAX NOTICE
THE INFORMATION SET FORTH BELOW IS FOR EACH FUND'S FISCAL YEAR AS REQUIRED
BY FEDERAL LAWS. MOST SHAREHOLDERS, HOWEVER, MUST REPORT DISTRIBUTIONS ON A
CALENDAR YEAR BASIS FOR INCOME TAX PURPOSES, THAT MAY INCLUDE DISTRIBUTIONS
FOR PORTIONS OF TWO FISCAL YEARS OF A FUND. ACCORDINGLY, THE INFORMATION
NEEDED FOR INCOME TAX PURPOSES WILL BE SENT IN EARLY 2004 ON FORM 1099.
PLEASE CONSULT YOUR TAX ADVISOR FOR PROPER TREATMENT OF THIS INFORMATION.
Dear First American Fund Shareholders:
For the fiscal year ended September 30, 2003, each Fund has designated
long-term capital gain dividends, dividends qualifying for the corporate
received deduction, and qualified dividend income with regard to
distributions paid during the year as follows:
<Table>
<Caption>
LONG TERM ORDINARY CORPORATE
CAPITAL GAINS INCOME TOTAL DIVIDENDS QUALIFIED
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS RECEIVED DIVIDEND
FUND (TAX BASIS) (a) (TAX BASIS) (b) (TAX BASIS) DEDUCTION (c) INCOME (d)
--------------------------------------------------------------------------------------------------------------
Equity Index --% 100% 100% 100% 76%
Mid Cap Index 77 23 100 100 80
Small Cap Index 16 84 100 100 100
</Table>
(a) and (b) are based on a percentage of the Fund's total
distributions.
(c) is based on a percentage of ordinary income distributions
of the Fund.
(d) For the fiscal year ended September 30, 2003 certain
dividends paid by the funds may be subject to a maximum tax
rate of 15%, as provided for by the Jobs and Growth Tax
Relief Reconciliation Act of 2003. The Funds intend to
designate up to the maximum amount of $18,240,208;
$1,351,613; and $661,306 for the Equity Index, Mid Cap, and
Small Cap Funds, respectively. Complete information will be
computed and reported in conjunction with your 2003 Form
1099-DIV. As of September 30, 2003, the calendar year to date
percentages for each of the Funds was 100%.
HOW TO OBTAIN A COPY OF THE FUNDS' PROXY VOTING POLICIES
A description of the policies and procedures that the Funds use to determine
how to vote proxies relating to portfolio securities is available (1)
without charge upon request by calling 800.677.FUND; (2) at
firstamericanfunds.com; and (3) on the U.S. Securities and Exchange
Commission's website at sec.gov.
54
<Page>
Directors and Officers of the Funds
Independent Directors
<Table>
<Caption>
OTHER
POSITION(S) TERM OF OFFICE NUMBER OF PORTFOLIOS DIRECTORSHIPS
NAME, ADDRESS, AND HELD AND LENGTH OF PRINCIPAL OCCUPATION(S) IN FUND COMPLEX HELD BY
YEAR OF BIRTH WITH FUND TIME SERVED DURING PAST 5 YEARS OVERSEEN BY DIRECTOR DIRECTOR +
- --------------------------------------------------------------------------------------------------------------------------------
Benjamin R. Field III, Director Term expiring Senior Financial First American Funds None
800 Nicollet Mall, earlier of death, Advisor, Bemis Complex: twelve
Minneapolis, MN resignation, Company, Inc. since registered
55402 (1939) removal, 2002; Senior Vice investment
disqualification, or President, Chief companies, including
successor duly Financial Officer sixty one portfolios
elected and and Treasurer,
qualified. Director Bemis, through 2002
of FAIF, since
September 2003
Mickey P. Foret, Director Term expiring Consultant to First American Funds ADC
800 Nicollet Mall, earlier of death, Northwest Airlines, Complex: twelve Telecommunications,
Minneapolis, MN resignation, Inc. since 2002; registered Inc.,
55402 (1946) removal, Executive Vice investment URS Corporation,
disqualification, or President and Chief companies, including Champion
successor duly Financial Officer, sixty one portfolios Airlines, Inc.
elected and Northwest Airlines,
qualified. Director through 2002
of FAIF since
September 2003
Roger A. Gibson, Director Term expiring Vice President, First American Funds None
800 Nicollet Mall, earlier of death, Cargo - United Complex: twelve
Minneapolis, MN resignation, Airlines, since July registered
55402 (1946) removal, 2001; Vice investment
disqualification, or President, North companies, including
successor duly America-Mountain sixty one portfolios
elected and Region, United
qualified. Director Airlines, prior to
of FAIF since July 2001
October 1997
Victoria J. Herget, Director Term expiring Investment First American Funds None
800 Nicollet Mall, earlier of death, consultant and Complex: twelve
Minneapolis, MN resignation, non-profit board registered
55402 (1952) removal, member since 2001; investment
disqualification, or Managing Director of companies, including
successor duly Zurich Scudder sixty one portfolios
elected and Investments through
qualified. Director 2001
of FAIF since
September 2003
Leonard W. Kedrowski, Director Term expiring Owner, Executive and First American Funds None
800 Nicollet Mall, earlier of death, Management Complex: twelve
Minneapolis, MN resignation, Consulting, Inc., a registered
55402 (1941) removal, management investment
disqualification, or consulting firm; companies, including
successor duly former Chief sixty one portfolios
elected and Executive Officer,
qualified. Director Creative Promotions
of FAIF since International, LLC,
November 1993 a promotional award
programs and
products company,
through October
2003; Board member,
GC McGuiggan
Corporation (DBA
Smyth Companies), a
label printer;
Advisory Board
member, Designer
Doors, manufacturer
of designer doors,
through 2002; acted
as CEO of Graphics
Unlimited Director
through 1998
Richard K. Riederer, Director Term expiring Retired; Director, First American Funds None
800 Nicollet Mall, earlier of death, President and Chief Complex: twelve
Minneapolis, MN resignation, Executive Officer, registered
55402 (1944) removal, Weirton Steel investment
disqualification, or through 2001 companies, including
successor duly sixty one portfolios
elected and
qualified. Director
of FAIF since August
2001
</Table>
55
<Page>
<Table>
<Caption>
OTHER
POSITION(S) TERM OF OFFICE NUMBER OF PORTFOLIOS DIRECTORSHIPS
NAME, ADDRESS, AND HELD AND LENGTH OF PRINCIPAL OCCUPATION(S) IN FUND COMPLEX HELD BY
YEAR OF BIRTH WITH FUND TIME SERVED DURING PAST 5 YEARS OVERSEEN BY DIRECTOR DIRECTOR +
- --------------------------------------------------------------------------------------------------------------------------------
Joseph D. Strauss, Director Term expiring Owner and President, First American Funds None
800 Nicollet Mall, earlier of death, Excensus TM LLC, a Complex: twelve
Minneapolis, MN resignation, consulting firm, registered
55402 (1940) removal, since 2001; Owner investment
disqualification, or and President, companies, including
successor duly Strauss Management sixty one portfolios
elected and Company, a Minnesota
qualified. Director holding company for
of FAIF since April various
1991 organizational
management business
ventures; Owner,
Chairman and Chief
Executive Officer,
Community Resource
Partnerships, Inc.,
a strategic
planning, operations
management,
government
relations,
transportation
planning and public
relations
organization;
attorney at law
Virginia L. Stringer, Chair; Chair Term three Owner and President, First American Funds None
800 Nicollet Mall, Director years. Directors Strategic Management Complex: twelve
Minneapolis, MN Term expiring Resources, Inc., a registered
55402 (1944) earlier of death, management investment
resignation, consulting firm; companies, including
removal, Executive Consultant sixty one portfolios
disqualification, or for State Farm
successor duly Insurance Company
elected and
qualified. Chair of
FAIF's Board since
September 1997;
Director of FAIF
since August 1987
James M. Wade, Director Term expiring Owner and President, First American Funds None
800 Nicollet Mall, earlier of death, Jim Wade Homes, a Complex: twelve
Minneapolis, MN resignation, homebuilding registered
55402 (1943) removal, company, since 1999 investment
disqualification, or companies, including
successor duly sixty one portfolios
elected and
qualified. Director
of FAIF since August
2001
</Table>
+ Includes only directorships in a company with a class of securities
registered pursuant to Section 12 of the Securities Exchange Act or subject
to the requirements of Section 15(d) of the Securities Exchange Act, or any
company registered as an investment company under the Investment Company Act.
The Statement of Additional Information (SAI) includes additional information
about fund directors and is available upon request without charge by calling
800-677-FUND or writing to First American Funds, P.O. Box 1330, Minneapolis,
Minnesota, 55440-1330.
56
<Page>
Officers
<Table>
<Caption>
POSITION(S) TERM OF OFFICE
NAME, ADDRESS, AND HELD AND LENGTH OF
YEAR OF BIRTH WITH FUND TIME SERVED PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
- --------------------------------------------------------------------------------------------------------------------------------
Thomas S. Schreier, Jr., President Re-elected by the Chief Executive Officer of U.S. Bancorp
U.S. Bancorp Asset Board annually; Asset Management, Inc. since May 2001;
Management, Inc., President of FAIF Chief Executive Officer of First American
800 Nicollet Mall, since February 2001 Asset Management from December 2000 through
Minneapolis, MN May 2001 and of Firstar Investment &
55402 (1962) * Research Management Company from February
2001 through May 2001; Senior Managing
Director and Head of Equity Research of
U.S. Bancorp Piper Jaffray from October
1998 through December 2000; prior to
October 1998, Senior Airline Equity Analyst
and a Director in the Equity Research
Department, Credit Suisse First Boston
Mark S. Jordahl, Vice Re-elected by the Chief Investment Officer of U.S. Bancorp
U.S. Bancorp Asset President- Board annually; Vice Asset Management, Inc. since September
Management, Inc. Investments President - 2001; President and Chief Investment
800 Nicollet Mall, Investments of FAIF Officer, ING Investment Management -
Minneapolis, MN since September 2001 Americas, September 2000 to June 2001;
55402 (1960) * Senior Vice President and Chief Investment
Officer, ReliaStar Financial Corp., January
1998 to September 2000
Jeffery M. Wilson, Vice Re-elected by the Senior Vice President of U.S. Bancorp Asset
U.S. Bancorp Asset President- Board annually; Vice Management since May 2001; prior thereto,
Management, Inc. Administration President - Senior Vice President of First American
800 Nicollet Mall, Administration of Asset Management
Minneapolis, MN FAIF since March
55402 (1956) * 2000
Robert H. Nelson, Treasurer Re-elected by the Senior Vice President of U.S. Bancorp Asset
U.S. Bancorp Asset Board annually; Management since May 2001; prior thereto,
Management, Inc. Treasurer of FAIF Senior Vice President of First American
800 Nicollet Mall, since March 2000 Asset Management since 1998 and of Firstar
Minneapolis, MN Investment & Research Management Company
55402 (1963) * since February 2001; Senior Vice President
of Piper Capital Management Inc. through
1998
James D. Alt, Secretary Re-elected by the Partner, Dorsey & Whitney LLP, a
50 South Sixth Street, Board annually; Minneapolis-based law firm
Suite 1500, Assistant Secretary
Minneapolis, MN of FAIF from
55402 (1951) September 1998
through June 2002.
Secretary of FAIF
since June 2002
Michael J. Radmer, Assistant Re-elected by the Partner, Dorsey & Whitney LLP, a
50 South Sixth Street, Secretary Board annually; Minneapolis- based law firm
Suite 1500, Assistant Secretary
Minneapolis, MN of FAIF since March
55402 (1945) 2000; Secretary of
FAIF from September
1999 through March
2000
Kathleen L. Prudhomme, Assistant Re-elected by the Partner, Dorsey & Whitney LLP, a
50 South Sixth Street, Secretary Board annually; Minneapolis- based law firm
Suite 1500, Assistant Secretary 03
Minneapolis, MN of FAIF since
55402 (1953) September 1998
James R. Arnold, Assistant Re-elected by the Vice President, U.S. Bancorp Fund Services,
615 E. Michigan Street, Secretary Board annually; LLC since March 2002; Senior Administration
Milwaukee, WI Assistant Secretary Services Manager, UMB Fund Services, Inc.
53202 (1957) * of FAIF since June through March 2002
2003
Richard J. Ertel, Assistant Re-elected by the Disclosure Counsel, U.S. Bancorp Asset
U.S. Bancorp Asset Secretary Board annually; Management, Inc. since May 2003; Associate
Management, Inc. Assistant Secretary Counsel, Hartford Life and Accident
800 Nicollet Mall, of FAIF since June Insurance Company from April 2001 through
Minneapolis, MN 2003 May 2003; Attorney and Law Clerk, Fortis
55402 (1967)* Financial Group, through March 2001
Douglas G. Hess, Assistant Re-elected by the Vice President, U.S. Bancorp Fund Services,
615 E. Michigan Street, Secretary Board annually; LLC since November 2002; prior thereto,
Milwaukee, WI Assistant Secretary Assistant Vice President, Fund Compliance
53202 (1967) * of FAIF since Administrator, U.S. Bancorp Fund Services,
September 2001 LLC
</Table>
* Messrs. Schreier, Jordahl, Wilson, Nelson, and Ertel are each officers of
U.S. Bancorp Asset Management, Inc., which serves as investment advisor and
co-administrator for FAIF. Messrs. Hess and Arnold are officers of U.S.
Bancorp Fund Services, LLC, which is a subsidiary of U.S. Bancorp and which
serves as co-administrator for FAIF.
57
<Page>
Board of Directors First American Investment Funds, Inc.
Virginia Stringer
Chairperson of First American Investment Funds, Inc.
Owner and President of Strategic Management Resources, Inc.
Benjamin Field III
Director of First American Investment Funds, Inc.
Senior Financial Advisor to, and formerly Senior Vice President,
Chief Financial Officer, and Treasurer of, Bemis Company, Inc.
Mickey Foret
Director of First American Investment Funds, Inc.
Consultant to, and formerly Executive Vice President and Chief
Financial Officer of, Northwest Airlines, Inc.
Roger Gibson
Director of First American Investment Funds, Inc.
Vice President, Cargo-United Airlines
Victoria Herget
Director of First American Investment Funds, Inc.
Investment Consultant; former Managing Director of Zurich Scudder
Investments
Leonard Kedrowski
Director of First American Investment Funds, Inc.
Owner and President of Executive and Management Consulting, Inc.
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 Chairman of First American Investment Funds, Inc.
Owner and President of Strauss Management Company
James Wade
Director of First American Investment Funds, Inc.
Owner and President of Jim Wade Homes
FIRST AMERICAN INVESTMENT FUNDS' BOARD OF DIRECTORS IS COMPRISED
ENTIRELY OF INDEPENDENT DIRECTORS.
<Page>
[FIRST AMERICAN FUNDS(SM) LOGO]
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. The views expressed in this report reflect those
of the portfolio managers only through the period ended September 30, 2003. The
portfolio managers' views are subject to change at any time based upon market or
other conditions.
Please refer to the prospectus, which contains more complete information on
First American Funds, including risks, fees, and expenses. Please read it
carefully before investing or sending money. This report must be preceded or
accompanied by a current prospectus.
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
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 Bulk Rate
P.O. Box 1330 U.S. Postage
Minneapolis, MN 55440-1330 PAID
Mpls, MN
In an attempt to reduce shareholder costs and help Permit No. 26388
eliminate duplication, First American Funds will
try to limit their mailing to one report for each USPS Mailer 881
address that lists one or more shareholders with Approved Poly
the same last name. If you would like additional
copies, please call First American Investor
Services at 800.677.FUND or visit
firstamericanfunds.com.
0214-03 11/2003 AR-INDEX
<Page>
ITEM 2--CODE OF ETHICS
RESPONSE: The registrant has adopted a code of ethics (designated as the "Code
of Ethical Conduct") that applies to its principal executive officer and
principal financial officer. The registrant undertakes to furnish a copy of such
Code of Ethical Conduct to any person upon request, without charge, by calling
1-800-677-3863.
ITEM 3--AUDIT COMMITTEE FINANCIAL EXPERT
RESPONSE: The registrant's Board of Directors has determined that Leonard
Kedrowski, Benjamin Field, and Mickey Foret, members of the registrant's Audit
Committee, are each an "audit committee financial expert" and are "independent,"
as these terms are defined in this Item. This designation will not increase the
designees' duties, obligations or liability as compared to their duties,
obligations and liability as members of the Audit Committee and of the Board of
Directors.
ITEM 4--PRINCIPAL ACCOUNTANT FEES AND SERVICES
RESPONSE: Not required for annual reports filed for periods ending before
December 15, 2003.
ITEM 5--AUDIT COMMITTEE OF LISTED REGISTRANTS
RESPONSE: Not applicable to the registrant.
ITEM 6 - Reserved.
ITEM 7--DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
RESPONSE: Not applicable to the registrant.
ITEM 8 - Reserved.
ITEM 9--CONTROLS AND PROCEDURES
(a) RESPONSE: The registrant's Principal Executive Officer and Principal
Financial Officer have evaluated the registrant's disclosure controls and
procedures within 90 days of the date of this filing and have concluded
that the registrant's disclosure controls and procedures were effective, as
of that date, in ensuring that information required to be disclosed by the
registrant in this Form N-CSR was recorded, processed, summarized and
reported timely. Notwithstanding this conclusion, the registrant's
Principal Executive Officer and Principal Financial Officer seek continuous
improvements to the registrant's disclosure controls and procedures.
(b) RESPONSE: There were no changes in the registrant's internal control over
financial reporting that occurred during the registrant's most recent
fiscal half-year that have
<Page>
materially affected, or are reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 10 - EXHIBITS
10(a) - Code of Ethical Conduct
RESPONSE: Attached hereto.
10(b) - Attach certifications (4 in total pursuant to Sections 302 and 906 for
PEO/PFO).
RESPONSE: Attached hereto.
<Page>
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: December 8, 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: December 8, 2003
By /s/ Jonathan P. Lillemoen
---------------------------
Jonathan P. Lillemoen
Director, USBAM Fund Treasury
Date: December 8, 2003