<Page>
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: 811-09259
Morgan Stanley Total Market Index Fund
(Exact name of registrant as specified in charter)
1221 Avenue of the Americas, New York, New York 10020
(Address of principal executive offices) (Zip code)
Ronald E. Robison
1221 Avenue of the Americas, New York, New York 10020
(Name and address of agent for service)
Registrant's telephone number, including area code: 212-762-4000
Date of fiscal year end: July 31, 2004
Date of reporting period: January 31, 2004
Item 1 - Report to Shareholders
<Page>
WELCOME, SHAREHOLDER:
IN THIS REPORT, YOU'LL LEARN ABOUT HOW YOUR INVESTMENT IN MORGAN STANLEY TOTAL
MARKET INDEX FUND PERFORMED DURING THE SEMIANNUAL PERIOD. WE WILL PROVIDE AN
OVERVIEW OF THE MARKET CONDITIONS, AND DISCUSS SOME OF THE FACTORS THAT AFFECTED
PERFORMANCE DURING THE REPORTING PERIOD. IN ADDITION, THIS REPORT INCLUDES THE
FUND'S FINANCIAL STATEMENTS AND A LIST OF FUND INVESTMENTS.
THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A PROSPECTUS FOR THE FUND BEING
OFFERED. MARKET FORECASTS PROVIDED IN THIS REPORT MAY NOT NECESSARILY COME TO
PASS. THERE IS NO ASSURANCE THAT THE FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE.
THE FUND IS SUBJECT TO MARKET RISK, WHICH IS THE POSSIBILITY THAT MARKET VALUES
OF SECURITIES OWNED BY THE FUND WILL DECLINE AND, THEREFORE, THE VALUE OF THE
FUND'S SHARES MAY BE LESS THAN WHAT YOU PAID FOR THEM. ACCORDINGLY, YOU CAN LOSE
MONEY INVESTING IN THIS FUND.
<Page>
FUND REPORT
For the six-month period ended January 31, 2004
TOTAL RETURN FOR THE SIX MONTHS ENDED JANUARY 31, 2004
<Table>
<Caption>
WILSHIRE
5000
TOTAL LIPPER MULTI-
MARKET CAP CORE
CLASS A CLASS B CLASS C CLASS D INDEX(1) FUNDS INDEX(2)
15.45% 15.02% 15.22% 15.63% 15.43% 16.48%
</Table>
THE PERFORMANCE OF THE FUND'S FOUR SHARE CLASSES VARIES BECAUSE EACH HAS
DIFFERENT EXPENSES. THE FUND'S TOTAL RETURN FIGURES ASSUME THE REINVESTMENT OF
ALL DISTRIBUTIONS BUT DO NOT REFLECT THE DEDUCTION OF ANY APPLICABLE SALES
CHARGES. SUCH COSTS WOULD LOWER PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF
FUTURE RESULTS. SEE PERFORMANCE SUMMARY FOR STANDARDIZED PERFORMANCE
INFORMATION.
MARKET OVERVIEW
The U.S. equity markets rallied in the six-month period ending January 31, 2004,
as investors drew assurance from improvements in key economic indicators. The
rally was supported by stimuli from the federal government; the Federal Reserve
kept interest rates extremely low and the federal tax cut gave consumers
additional disposable income. Consumer spending remained strong, and investor
confidence rose as corporate profits climbed in all sectors. Economically
sensitive sectors, led by information technology, gained most sharply as
investors focused on the industries best positioned to benefit from an improving
economy. This environment was highly beneficial for higher-beta,
small-capitalization stocks, which handily outperformed their larger
counterparts.
PERFORMANCE ANALYSIS
Morgan Stanley Total Market Index Fund's Class B and C shares fell short of the
Wilshire 5000 Index and the Lipper Multi-Cap Core Funds Index for the six months
ended January 31, 2004. The Fund's Class A and D shares outperformed the
Wilshire 5000 Index and underperformed the Lipper Multi-Cap Core Funds Index.
The majority of the difference between the Fund and the Wilshire 5000 can be
attributed to the Fund's optimization process. Because owning all 5,200
securities in the Wilshire benchmark would be impractical, a statistical
sampling process directs our stock selection within those 5,200 companies. We
moved to improve the Fund's optimization model during the period by expanding
the number of its holdings in order to track the benchmark more closely.
Much of the Fund's strong performance was driven by the sectors that had
suffered most heavily in the bear market of 2001-2002 but were poised to rebound
most aggressively entering the period. Information technology, materials and
industrials all posted notable positive returns in anticipation of improving
economic conditions. Energy stocks also gained, on a combination of increasing
demand and limited capacity. Financial-services stocks likewise performed well,
as these companies benefited from low interest rates and improving capital
markets.
While all of the Fund's sectors gained during the six-month period under review,
several lagged the overall market. Telecommunications companies continued to
suffer from overcapacity and heavy competition, exacerbated by the enactment of
number portability. Utilities performed positively during the period but lagged
in the rally, along with the more stable health care and consumer staples
sectors.
2
<Page>
TOP 10 HOLDINGS
<Table>
General Electric 2.5%
Microsoft 2.2%
Pfizer 2.1%
Exxon Mobil 2.0%
Citigroup 1.9%
Wal-Mart Stores 1.7%
Intel 1.5%
American Int'l Group 1.3%
Cisco Systems 1.3%
Int'l Business Machines 1.3%
</Table>
TOP FIVE INDUSTRIES
<Table>
Pharmaceuticals: Major 6.0%
Major Banks 3.9%
Industrial Conglomerates 3.7%
Packaged Software 3.6%
Financial Conglomerates 3.5%
</Table>
SUBJECT TO CHANGE DAILY. ALL PERCENTAGES ARE A PERCENTAGE OF NET ASSETS.
PROVIDED FOR INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE DEEMED A
RECOMMENDATION TO BUY OR SELL THE SECURITIES MENTIONED. MORGAN STANLEY IS A
FULL-SERVICE SECURITIES FIRM ENGAGED IN SECURITIES TRADING AND BROKERAGE
ACTIVITIES, INVESTMENT BANKING, RESEARCH AND ANALYSIS, FINANCING AND FINANCIAL
ADVISORY SERVICES.
INVESTMENT STRATEGY
1. MORGAN STANLEY TOTAL MARKET INDEX FUND SEEKS TO PROVIDE INVESTMENT RESULTS
THAT, BEFORE EXPENSES, CORRESPOND TO THE TOTAL RETURN OF THE U.S. STOCK
MARKET AS MEASURED BY THE WILSHIRE 5000 TOTAL MARKET INDEX.
2. THE WILSHIRE 5000 TOTAL MARKET INDEX CONSISTS OF SUBSTANTIALLY ALL OF THE
STOCKS THAT ARE ACTIVELY TRADED IN THE UNITED STATES (CURRENTLY, MORE THAN
5,200). THE INDEX CONSISTS OF LARGE-CAPITALIZATION, MID-CAPITALIZATION AND
SMALL-CAPITALIZATION STOCKS. BECAUSE THE INDEX IS
MARKET-CAPITALIZATION-WEIGHTED, CURRENTLY LARGE-CAPITALIZATION STOCKS IN THE
INDEX REPRESENT APPROXIMATELY TWO THIRDS OF ITS VALUE.
3. THE INDEX MAY INCLUDE SOME FOREIGN COMPANIES.
4. THE FUND WILL NORMALLY INVEST AT LEAST 80 PERCENT OF ITS ASSETS IN STOCKS
INCLUDED IN THE INDEX. NOT ALL STOCKS IN THE INDEX ARE PURCHASED, BECAUSE OF
THE PRACTICAL DIFFICULTIES AND EXPENSE OF PURCHASING AND SELLING OVER 5,200
STOCKS. INSTEAD, STATISTICAL SAMPLING IS USED IN AN ATTEMPT TO RECREATE THE
INDEX IN TERMS OF INDUSTRY, SIZE, DIVIDEND YIELD AND OTHER CHARACTERISTICS.
5. THE FUND GENERALLY EXPECTS THAT ITS PORTFOLIO WILL INCLUDE THE LARGEST 2,000
TO 2,500 U.S. STOCKS (MEASURED BY MARKET CAPITALIZATION).
6. THE INCLUSION OF A STOCK IN THE INDEX IS IN NO WAY AN ENDORSEMENT BY WILSHIRE
ASSOCIATES OF THE STOCK AS AN INVESTMENT, NOR IS WILSHIRE ASSOCIATES A
SPONSOR OF THE FUND OR IN ANY WAY AFFILIATED WITH IT.
7. THE REMAINING 20 PERCENT OF THE FUND'S ASSETS MAY BE INVESTED IN OPTIONS AND
FUTURES CONTRACTS. THE FUND ALSO MAY UTILIZE FORWARD FOREIGN CURRENCY
EXCHANGE CONTRACTS.
8. THE FUND MAY MAKE TEMPORARY INVESTMENTS IN MONEY MARKET INSTRUMENTS TO MANAGE
CASH FLOWS INTO AND OUT OF THE FUND.
9. IN PURSUING THE FUND'S INVESTMENT OBJECTIVE, THE INVESTMENT MANAGER HAS
CONSIDERABLE LEEWAY IN DECIDING WHICH TRADING OR INVESTMENT STRATEGIES IT
USES. FOR EXAMPLE, THE INVESTMENT MANAGER IN ITS DISCRETION MAY DETERMINE TO
USE SOME PERMITTED TRADING OR INVESTMENT STRATEGIES WHILE NOT USING OTHERS.
PROXY VOTING POLICIES AND PROCEDURES
A DESCRIPTION OF THE FUND'S POLICIES AND PROCEDURES WITH RESPECT TO THE VOTING
OF PROXIES RELATING TO THE FUND'S PORTFOLIO SECURITIES IS AVAILABLE WITHOUT
CHARGE, UPON REQUEST, BY CALLING (800) 869-NEWS (6397). THIS INFORMATION IS ALSO
AVAILABLE ON THE SECURITIES AND EXCHANGE COMMISSION'S WEB SITE AT
HTTP://www.sec.gov.
3
<Page>
PERFORMANCE SUMMARY
AVERAGE ANNUAL TOTAL RETURNS--PERIOD ENDED JANUARY 31, 2004
<Table>
<Caption>
CLASS A SHARES* CLASS B SHARES** CLASS C SHARES+ CLASS D SHARES++
(SINCE 09/28/99) (SINCE 09/28/99) (SINCE 09/28/99) (SINCE 09/28/99)
SYMBOL TMIAX TMIBX TMICX TMIDX
1 YEAR 35.65%(3) 34.60%(3) 34.65%(3) 36.04%(3)
28.52(4) 29.60(4) 33.65(4) --
SINCE INCEPTION (0.76)(3) (1.53)(3) (1.49)(3) (0.51)(3)
(1.99)(4) (1.98)(4) (1.49)(4) --
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE. WHEN YOU SELL FUND SHARES, THEY MAY BE WORTH
LESS THAN THEIR ORIGINAL COST. THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION
OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF
FUND SHARES. PERFORMANCE FOR CLASS A, CLASS B, CLASS C, AND CLASS D SHARES WILL
VARY DUE TO DIFFERENCES IN SALES CHARGES AND EXPENSES.
Notes on Performance
(1) THE WILSHIRE 5000 TOTAL MARKET INDEX MEASURES THE PERFORMANCE OF ALL U.S.
HEADQUARTERED EQUITY SECURITIES AND IS THE BEST MEASURE OF THE ENTIRE U.S.
STOCK MARKET. OVER 7,000 CAPITALIZATION WEIGHTED SECURITY RETURNS ARE USED
TO ADJUST THE INDEX. THE INDEX DOES NOT INCLUDE ANY EXPENSES, FEES OR
CHARGES. SUCH COSTS WOULD LOWER PERFORMANCE. IT IS NOT POSSIBLE TO INVEST
DIRECTLY IN AN INDEX.
(2) THE LIPPER MULTI-CAP CORE FUNDS INDEX IS AN EQUALLY WEIGHTED PERFORMANCE
INDEX OF THE LARGEST QUALIFYING FUNDS (BASED ON NET ASSETS) IN THE LIPPER
MULTI-CAP CORE FUNDS CLASSIFICATION. THE INDEX, WHICH IS ADJUSTED FOR
CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS, IS UNMANAGED AND SHOULD
NOT BE CONSIDERED AN INVESTMENT. THERE ARE CURRENTLY 30 FUNDS REPRESENTED
IN THIS INDEX.
(3) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND DOES NOT REFLECT
THE DEDUCTION OF ANY SALES CHARGES.
(4) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND THE DEDUCTION OF
THE MAXIMUM APPLICABLE SALES CHARGE. SEE THE FUND'S CURRENT PROSPECTUS FOR
COMPLETE DETAILS ON FEES AND SALES CHARGES.
* THE MAXIMUM FRONT-END SALES CHARGE FOR CLASS A IS 5.25%.
** THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) FOR CLASS B IS 5.0%. THE
CDSC DECLINES TO 0% AFTER SIX YEARS.
+ THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C IS 1.0% FOR SHARES
REDEEMED WITHIN ONE YEAR OF PURCHASE.
++ CLASS D HAS NO SALES CHARGE.
4
<Page>
MORGAN STANLEY TOTAL MARKET INDEX FUND
PORTFOLIO OF INVESTMENTS - JANUARY 31, 2004
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON AND PREFERRED STOCKS,
RIGHTS AND WARRANTS (96.7%)
ADVERTISING/MARKETING
SERVICES (0.3%)
588 Abitron Inc.* $ 25,596
813 ADVO, Inc. 26,309
1,225 Catalina Marketing Corp.* 23,397
3,396 DoubleClick Inc.* 40,888
8,397 Gemstar-TV Guide
International, Inc.* 49,122
1,099 Getty Images, Inc.* 54,236
34 Grey Global Group Inc. 23,222
1,066 Harris Interactive Inc.* 9,018
1,753 Harte-Hanks Inc. 38,040
1,015 infoUSA, Inc.* 9,551
8,045 Interpublic Group of
Companies, Inc. (The)* 133,064
1,683 Lamar Advertising Co.* 64,762
636 Nautilus Group, Inc. 9,018
659 Netratings, Inc.* 8,106
3,681 Omnicom Group, Inc. 303,314
787 R.H. Donnelley Corp.* 32,897
1,086 Valassis
Communications, Inc.* 33,232
1,448 ValueClick, Inc.* 15,088
---------------
898,860
---------------
AEROSPACE & DEFENSE (1.0%)
620 AAR Corp.* 8,277
1,287 Aeroflex Inc.* 18,945
748 Alliant Techsystems, Inc.* 41,888
540 Armor Holdings, Inc.* 14,753
614 Aviall, Inc.* 9,456
16,362 Boeing Co. 683,113
481 Cubic Corp. 10,519
478 Curtiss-Wright Corp. 21,821
473 DRS Technologies, Inc.* 13,580
385 EDO Corp. 9,201
526 Engineered Support
Systems, Inc. 26,242
250 ESCO Technologies Inc.* 11,212
409 Esterline Corp.* 11,350
854 GenCorp Inc. $ 9,052
3,831 General Dynamics Corp. 350,268
2,279 Goodrich Corp. 70,307
337 IniVision Techonologies, Inc.* 12,452
1,892 L-3 Communications
Holdings, Inc. 101,146
8,736 Lockheed Martin Corp. 424,744
413 Mercury Computer
Systems, Inc.* 12,196
255 Moog Inc. (Class A)* 13,382
3,548 Northrop Grumman Corp. 343,127
924 Orbital Sciences Corp.* 11,670
1,029 Precision Castparts Corp. 48,147
8,082 Raytheon Co. 246,582
3,430 Rockwell Collins, Inc. 112,127
204 Sequa Corp. (Class A)* 11,608
628 Teledyne Technologies Inc.* 12,089
1,578 Titan Corp. (The)* 34,306
309 Triumph Group, Inc.* 10,954
412 United Defense
Industries, Inc.* 12,072
---------------
2,716,586
---------------
AGRICULTURAL COMMODITIES/
MILLING (0.1%)
12,589 Archer-Daniels-Midland Co. 197,144
1,935 Bunge Ltd. (Bermuda) 66,177
938 Corn Products
International, Inc. 32,989
1,066 Delta & Pine Land Co. 27,684
---------------
323,994
---------------
AIR FREIGHT/COURIERS (0.8%)
1,110 ABX Air, Inc.* 6,160
1,636 C.H. Robinson
Worldwide, Inc. 62,004
963 CNF Inc. 30,758
1,217 EGL, Inc.* 19,533
2,034 Expeditors International of
Washington, Inc. 76,092
5,828 FedEx Corp. 392,108
416 Forward Air Corp.* 11,777
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
5
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
980 Pacer International, Inc.* $ 18,130
21,783 United Parcel Service,
Inc. (Class B) 1,552,474
---------------
2,169,036
---------------
AIRLINES (0.2%)
1,497 AirTran Holdings, Inc.* 17,245
520 Alaska Air Group, Inc.* 14,456
673 America West Holdings
Corp. (Class B)* 7,531
3,203 AMR Corp.* 52,529
885 Atlantic Coast Airlines
Holdings, Inc.* 7,531
1,498 Continental Airlines,
Inc. (Class B)* 23,354
2,634 Delta Air Lines, Inc. 27,657
1,367 ExpressJet Holdings, Inc.* 19,370
678 Frontier Airlines, Inc.* 6,685
1,992 JetBlue Airways Corp.* 45,278
615 Mesa Air Group, Inc.* 6,710
2,003 Northwest Airlines
Corp. (Class A)* 22,874
1,185 SkyWest, Inc. 22,894
15,253 Southwest Airlines Co. 228,032
---------------
502,146
---------------
ALTERNATIVE POWER
GENERATION (0.0%)
8,037 Calpine Corp.* 46,775
1,190 Plug Power Inc.* 11,234
---------------
58,009
---------------
ALUMINUM (0.2%)
16,518 Alcoa, Inc. 564,585
---------------
APPAREL/FOOTWEAR (0.5%)
348 Brown Shoe Co., Inc. 12,873
3,309 Cintas Corp. 149,401
3,540 Coach, Inc.* 125,422
776 Columbia Sportswear Co.* 41,229
843 Guess ? Inc.* 11,144
2,448 Jones Apparel Group, Inc. 83,403
640 Kellwood Co. 26,118
383 Kenneth Cole Productions,
Inc. (Class A) $ 12,811
1,124 K-Swiss, Inc. (Class A) 29,898
2,114 Liz Claiborne, Inc. 75,618
5,085 Nike, Inc. (Class B) 354,221
314 Oxford Industries, Inc. 12,026
592 Phillips-Van Heusen Corp. 10,330
1,189 Polo Ralph Lauren Corp. 35,908
1,186 Quiksilver, Inc.* 19,545
1,141 Reebok International Ltd. 44,248
761 Russell Corp. 13,401
770 Stride Rite Corp. 8,455
678 Timberland Co. (Class A)* 33,778
2,094 V.F. Corp. 88,995
907 Wolverine World Wide, Inc. 18,884
---------------
1,207,708
---------------
APPAREL/FOOTWEAR
RETAIL (0.6%)
2,026 Abercrombie & Fitch
Co. (Class A)* 52,473
725 Aeropostale* 21,641
1,510 American Eagle
Outfitters, Inc.* 28,086
943 AnnTaylor Stores Corp.* 38,191
501 bebe stores, inc.* 13,587
413 Buckle (The), Inc. 10,635
912 Burlington Coat Factory
Warehouse Corp. 17,337
396 Cato Corp. (The) (Class A) 8,296
2,208 Charming Shoppes, Inc.* 12,873
1,726 Chico's FAS, Inc.* 63,586
520 Children's Place Retail
Stores, Inc. (The)* 13,983
715 Christopher & Banks Corp. 13,935
569 Dress Barn, Inc.* 8,637
383 Finish Line, Inc. (Class A)* 13,022
2,777 Foot Locker, Inc. 68,703
17,358 Gap, Inc. (The) 322,512
575 Gymboree Corp. (The)* 8,343
946 Hot Topic, Inc.* 28,825
10,011 Limited Brands, Inc. 182,200
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
6
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
921 Men's Wearhouse, Inc. (The)* $ 21,450
2,663 Nordstrom, Inc. 104,656
1,368 Pacific Sunwear of
California, Inc.* 31,368
1,379 Payless ShoeSource, Inc.* 18,534
2,945 Ross Stores, Inc. 82,313
369 Stage Stores, Inc.* 12,022
810 Stein Mart, Inc.* 8,618
1,097 Talbot's, Inc. (The) 35,652
9,751 TJX Companies, Inc. (The) 224,175
774 Too, Inc.* 11,842
732 Urban Outfitters, Inc.* 29,639
---------------
1,507,134
---------------
AUTO PARTS: O.E.M. (0.4%)
1,027 American Axle & Manufacturing
Holdings, Inc.* 39,807
1,327 ArvinMeritor, Inc. 29,459
531 BorgWarner, Inc. 49,341
1,627 Collins & Aikman Corp.* 9,469
2,880 Dana Corp. 59,904
10,856 Delphi Corp. 114,856
1,466 Eaton Corp. 170,276
1,486 Gentex Corp. 64,983
3,496 Johnson Controls, Inc. 205,740
1,311 Lear Corp. 86,080
860 Modine Manufacturing Co. 23,022
926 Sauer-Danfoss, Inc. 12,557
770 Superior Industries
International, Inc. 31,863
3,098 Visteon Corp. 33,149
---------------
930,506
---------------
AUTOMOTIVE AFTERMARKET (0.1%)
513 Bandag, Inc. 21,500
440 Barnes Group, Inc. 13,746
729 CLARCOR Inc. 31,602
1,431 Cooper Tire & Rubber Co. 29,006
3,566 Goodyear Tire &
Rubber Co. (The)* 33,877
---------------
129,731
---------------
BEVERAGES: ALCOHOLIC (0.4%)
15,787 Anheuser-Busch
Companies, Inc. $ 800,717
498 Brown-Forman
Corp. (Class B) 23,262
2,039 Constellation Brands
Inc. (Class A)* 68,388
749 Coors (Adolph)
Co. (Class B) 42,348
---------------
934,715
---------------
BEVERAGES:
NON-ALCOHOLIC (1.0%)
47,500 Coca-Cola Co. (The) 2,338,900
8,614 Coca-Cola Enterprises Inc. 197,261
5,092 Pepsi Bottling Group,
Inc. (The) 134,989
2,846 PepsiAmericas, Inc. 48,894
---------------
2,720,044
---------------
BIOTECHNOLOGY (1.7%)
1,999 Abgenix, Inc.* 31,184
618 Adolor Corp.* 8,294
1,255 Affymetrix, Inc.* 39,344
426 Alexion
Pharmaceuticals, Inc.* 7,736
1,735 Alkermes, Inc.* 25,990
24,994 Amgen Inc.* 1,611,863
1,940 Amylin Pharmaceuticals, Inc.* 37,481
771 Antigenics Inc.* 8,442
1,936 Applera Corp. - Celera
Genomics Group* 29,466
887 ARIAD Pharmaceuticals, Inc.* 7,318
6,347 Biogen Idec Inc.* 271,588
1,390 BioMarin
Pharmaceutical, Inc.* 11,105
1,679 Bruker BioSciences Corp.* 9,570
1,574 Celgene Corp.* 63,605
767 Cell Genesys, Inc.* 10,508
1,078 Cephalon, Inc.* 59,096
816 Charles River Laboratories
International, Inc.* 32,762
3,674 Chiron Corp.* 189,946
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
7
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
563 Ciphergen Biosystem, Inc.* $ 5,951
1,071 Corixa Corp.* 6,330
778 Cubist Pharmaceuticals, Inc.* 10,674
689 CV Therapeutics, Inc.* 11,300
859 Dendreon Corp.* 12,026
823 Discovery Laboratories, Inc.* 9,711
834 Diversa Corp.* 9,224
817 Enzo Biochem, Inc.* 15,931
1,101 Enzon, Inc.* 14,753
1,389 Exelixis, Inc.* 10,945
1,541 Genencor International Inc.* 20,511
4,275 Genentech, Inc.* 408,262
469 Gen-Probe Inc.* 17,691
1,542 Genta Inc.* 19,676
4,263 Genzyme Corp.* 233,826
647 Geron Corp.* 7,085
3,903 Gilead Sciences, Inc.* 214,158
2,768 Human Genome
Sciences, Inc.* 38,171
1,309 ICOS Corp.* 57,151
669 IDEXX Laboratories, Inc.* 32,801
884 ILEX Oncology, Inc.* 20,553
1,507 ImClone Systems, Inc.* 61,727
974 Immunomedics, Inc.* 4,665
1,404 Incyte Genomics, Inc.* 12,538
713 InterMune Inc.* 13,654
990 Invitrogen Corp.* 76,230
1,222 Lexicon Genetics Inc.* 9,703
1,321 Ligand Pharmaceuticals
Inc. (Class B)* 19,168
532 Martek Biosciences Corp.* 34,506
677 Maxygen Inc.* 6,601
1,513 Medarex, Inc.* 13,254
1,047 Medicines Company (The)* 31,808
4,796 MedImmune, Inc.* 112,706
587 MGI Pharma, Inc.* 27,994
5,778 Millennium
Pharmaceuticals, Inc.* 101,924
527 Myriad Genetics, Inc.* 9,049
899 Nabi Biopharmaceuticals* 14,537
666 Neurocrine Biosciences, Inc.* 37,689
862 NPS Pharmaceuticals, Inc.* $ 29,748
569 Onyx Pharmaceuticals, Inc.* 19,164
805 OSI Pharmaceuticals Inc.* 28,014
1,816 Protein Design Labs, Inc.* 36,683
1,018 Regeneron
Pharmaceuticals, Inc.* 15,107
864 SciClone
Pharmaceuticals, Inc.* 5,530
690 SuperGen, Inc.* 7,549
948 Tanox, Inc.* 16,599
795 Techne Corp.* 30,989
700 Telik, Inc.* 16,795
685 Transkaryotic Therapies, Inc.* 9,152
456 Trimeris, Inc.* 7,720
1,328 Tularik Inc.* 22,948
1,739 Vertex Pharmaceuticals, Inc.* 17,233
1,051 Vicuron
Pharmaceuticals, Inc.* 24,919
1,595 XOMA Ltd.* 10,399
1,051 Zymogenetics, Inc.* 19,118
---------------
4,537,448
---------------
BROADCASTING (0.5%)
430 Citadel Broadcasting Corp.* 8,148
11,927 Clear Channel
Communications, Inc. 536,596
966 Cox Radio, Inc. (Class A)* 22,479
1,046 Cumulus Media, Inc.
(Class A)* 21,380
1,281 Emmis Communications
Corp. (Class A)* 33,268
995 Entercom Communications
Corp.* 47,372
1,723 Entravision Communications
Corp. (Class A)* 18,040
168 Fisher Communications, Inc.* 8,375
855 Gray Television, Inc. 12,321
1,002 Hearst-Argyle Television, Inc. 27,385
544 Liberty (Corp.) (The) 25,595
567 Lin TV Corp. (Class A)* 13,812
2,142 Radio One, Inc. (Class A)* 39,434
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
8
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
350 Salem Communications
Corp.* $ 9,275
1,191 Sinclair Broadcast Group,
Inc. (Class A)* 16,293
20,843 Sirius Satellite Radio Inc.* 56,693
721 Spanish Broadcasting System,
Inc. (Class A)* 8,342
6,265 Univision Communications Inc.
(Class A)* 221,593
1,937 Westwood One, Inc.* 59,175
2,629 XM Satellite Radio Holdings
Inc. (Class A)* 62,044
---------------
1,247,620
---------------
BUILDING PRODUCTS (0.2%)
1,411 American Standard
Companies, Inc.* 149,848
577 Griffon Corp.* 12,579
1,468 Lennox International Inc. 24,222
8,974 Masco Corp. 239,247
632 Simpson Manufacturing
Co., Inc. 31,259
508 Watsco, Inc. 11,704
954 York International Corp. 36,395
---------------
505,254
---------------
CABLE/SATELLITE TV (1.2%)
4,254 Cablevision Systems New York
Group (Class A)* 108,817
5,974 Charter Communications, Inc.
(Class A)* 28,795
43,614 Comcast Corp. (Class A)* 1,488,110
11,488 Cox Communications, Inc.
(Class A)* 393,579
4,769 EchoStar Communications
Corp. (Class A)* 174,068
17,693 Hughes International Corp* 296,181
1,229 Insight Communications
Co., Inc.* 12,671
52,365 Liberty Media Corp.
(Class A)* 609,529
2,167 Mediacom Communications
Corp.* 19,373
2,055 UnitedGlobalCom, Inc.
(Class A)* $ 19,522
575 UnitedGlobalCom, Inc. (Rights)
(expire 02/12/04)* 1,928
---------------
3,152,573
---------------
CASINO/GAMING (0.3%)
1,124 Alliance Gaming Corp.* 27,088
517 Ameristar Casinos, Inc.* 14,636
661 Argosy Gaming Co.* 18,045
789 Aztar Corp.* 17,555
1,194 Boyd Gaming Corp. 19,725
5,818 Caesars Enertainment, Inc.* 66,616
258 Churchill Downs Inc. 9,159
1,142 GTECH Holdings Corp. 63,507
2,140 Harrah's Entertainment, Inc. 113,420
6,708 International Game Technology 251,282
571 Isle of Capri Casinos, Inc.* 11,888
1,191 Mandalay Resort Group 55,822
3,059 MGM Mirage* 123,614
256 Multimedia Games, Inc.* 10,936
783 Penn National Gaming, Inc.* 19,433
325 Shuffle Master, Inc.* 11,056
1,102 Station Casinos, Inc. 38,581
676 Wynn Resorts, Ltd.* 19,901
---------------
892,264
---------------
CATALOG/SPECIALTY
DISTRIBUTION (0.0%)
902 Insight Enterprises, Inc.* 17,914
701 Valuevision Media Inc.
(Class A)* 12,415
---------------
30,329
---------------
CHEMICALS: AGRICULTURAL (0.1%)
2,422 IMC Global Inc. 27,393
5,196 Monsanto Co. 158,946
625 Scotts Company (The)
(Class A)* 39,444
---------------
225,783
---------------
CHEMICALS: MAJOR
DIVERSIFIED (0.7%)
1,316 Cabot Corp. 41,428
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
9
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
17,867 Dow Chemical Co. (The) $ 749,521
19,384 Du Pont (E.I.) de
Nemours & Co. 850,958
1,496 Eastman Chemical Co. 59,675
2,431 Engelhard Corp. 68,967
2,434 Hercules Inc.* 29,695
4,387 Rohm & Haas Co. 172,277
2,041 Solutia, Inc. 684
---------------
1,973,205
---------------
CHEMICALS: SPECIALTY (0.4%)
4,403 Air Products &
Chemicals, Inc. 219,754
1,432 Airgas, Inc. 32,492
1,081 Albemarle Corp. 31,987
439 Arch Chemicals, Inc. 10,887
669 Cambrex Corp. 18,551
2,198 Crompton Corp. 15,606
841 Cytec Industries, Inc. 29,359
662 FMC Corp.* 22,634
689 Georgia Gulf Corp. 17,838
1,089 Great Lakes Chemical Corp. 27,878
664 Kronos Worldwide, Inc. 16,992
999 Lubrizol Corp. (The) 31,718
3,644 Lyondell Chemical Co. 62,458
1,455 Millennium Chemicals Inc. 18,435
1,328 NL Industries, Inc. 17,994
554 OM Group, Inc.* 17,811
1,784 Polyone Corp.* 11,971
6,341 Praxair, Inc. 224,535
576 Schulman (A.), Inc. 10,022
1,125 Sensient Technologies Corp. 22,984
1,343 Sigma-Aldrich Corp. 78,686
422 TETRA Technologies, Inc.* 10,136
2,209 Valhi, Inc. 30,440
---------------
981,168
---------------
COAL (0.1%)
1,020 Arch Coal, Inc. 28,172
1,635 CONSOL Energy, Inc. 37,768
1,460 Massey Energy Co. 29,200
1,051 Peabody Energy Corp. 42,072
---------------
137,212
---------------
COMMERCIAL PRINTING/
FORMS (0.1%)
567 Banta Corp. $ 26,082
659 Bowne & Co., Inc. 10,004
979 Deluxe Corp. 39,542
2,202 Donnelley (R.R.) & Sons Co. 68,812
583 Harland (John H.) Co. 16,382
552 Standard Register Co. 10,157
---------------
170,979
---------------
COMPUTER
COMMUNICATIONS (1.6%)
7,227 3Com Corp.* 55,648
3,081 Adaptec, Inc.* 28,869
8,135 Avaya Inc.* 141,386
909 Avocent Corp.* 33,233
4,992 Brocade Communications
Systems, Inc.* 31,999
133,759 Cisco Systems, Inc.* 3,429,581
1,213 Echelon Corp.* 12,955
1,605 Emulex Corp.* 43,544
4,875 Enterasys Networks, Inc.* 20,719
2,962 Extreme Networks, Inc.* 25,147
526 F5 Networks, Inc.* 17,889
901 FalconStor Software, Inc.* 8,100
4,152 Finisar Corp.* 14,034
2,528 Foundry Networks, Inc.* 60,242
1,139 Ixia* 16,629
7,542 Juniper Networks, Inc.* 217,888
2,550 McDATA Corp. (Class A)* 22,414
2,040 MRV Communications, Inc.* 8,935
552 NETGEAR, Inc. 9,318
---------------
4,198,530
---------------
COMPUTER PERIPHERALS (0.5%)
1,736 Advanced Digital
Information Corp.* 30,970
595 Avid Technology, Inc.* 28,173
809 Dot Hill Systems Corp.* 11,504
1,020 Electronics for Imaging, Inc.* 27,305
45,197 EMC Corp.* 634,566
750 Imation Corp. 27,487
2,489 Lexmark International, Inc.* 206,313
4,757 Maxtor Corp.* 44,002
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
10
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
6,685 Network Appliance, Inc.* $ 149,477
1,564 Pinnacle Systems, Inc.* 12,496
3,304 Quantum Corp. - DLT &
Storage Systems* 12,060
257 SafeNet, Inc.* 10,151
1,927 ScanSoft, Inc.* 9,789
1,415 Seagate Technology (ADR)
(Cayman Islands)* 23,064
417 Sonic Solutions* 8,340
2,143 Storage Technology Corp.* 62,147
3,970 Western Digital Corp.* 40,613
916 Zebra Technologies Corp.
(Class A)* 59,174
---------------
1,397,631
---------------
COMPUTER PROCESSING
HARDWARE (1.4%)
7,024 Apple Computer, Inc.* 158,461
1,353 Cray, Inc.* 10,486
49,611 Dell Inc.* 1,660,480
6,968 Gateway, Inc.* 32,889
59,080 Hewlett-Packard Co. 1,405,513
1,833 NCR Corp.* 76,161
619 PalmOne, Inc.* 6,376
63,297 Sun Microsystems, Inc.* 336,107
---------------
3,686,473
---------------
CONSTRUCTION MATERIALS (0.1%)
553 AMCOL International Corp. 11,010
544 Centex Construction
Products, Inc.* 30,187
381 ElkCorp. 10,935
924 Florida Rock Industries, Inc. 38,207
1,340 Lafarge North America, Inc. 57,352
948 Martin Marietta Materials, Inc. 43,608
412 Texas Industries, Inc. 14,383
392 Trex Co., Inc.* 15,190
841 USG Corp.* 15,340
2,003 Vulcan Materials Co. 95,543
---------------
331,755
---------------
CONSUMER SUNDRIES (0.0%)
1,388 American Greetings Corp.
(Class A)* $ 29,120
1,119 Blyth Industries, Inc. 37,229
1,507 Oakley, Inc. 20,646
485 Sola International, Inc.* 10,282
1,156 Yankee Candle Co.,
Inc. (The)* 30,333
---------------
127,610
---------------
CONTAINERS/PACKAGING (0.3%)
920 Aptargroup, Inc. 36,864
1,132 Ball Corp. 70,829
1,029 Bemis Company, Inc. 49,876
543 Caraustar Industries, Inc.* 7,602
3,279 Crown Holdings, Inc.* 27,478
435 Greif Bros. Corp. (Class A) 16,447
586 Myers Industries, Inc. 7,325
3,046 Owens-Illinois, Inc.* 34,054
2,043 Packaging Corp. of America 44,211
3,047 Pactiv Corp.* 66,089
681 Rock-Tenn Co. (Class A) 10,412
1,647 Sealed Air Corp.* 82,004
356 Silgan Holdings, Inc.* 15,230
4,793 Smurfit-Stone Container
Corp.* 82,631
1,891 Sonoco Products Co. 44,590
1,057 Temple-Inland, Inc. 62,416
---------------
658,058
---------------
CONTRACT DRILLING (0.3%)
2,525 Diamond Offshore Drilling,
Inc. 57,317
2,904 ENSCO International Inc. 82,764
4,523 GlobalSantaFe Corp.
(Cayman Islands) 123,478
3,712 Grey Wolf, Inc.* 15,516
1,185 Helmerich & Payne, Inc. 34,389
2,910 Nabors Industries, Ltd.
(Bermuda)* 128,040
2,592 Noble Corp.* 96,163
1,663 Patterson-UTI Energy, Inc.* 57,507
2,628 Pride International, Inc.* 49,538
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
11
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
1,823 Rowan Companies, Inc.* $ 41,710
6,198 Transocean Inc.
(Cayman Island)* 166,974
---------------
853,396
---------------
DATA PROCESSING
SERVICES (1.0%)
1,617 Acxiom Corp. 30,772
2,543 Affiliated Computer Services,
Inc. (Class A)* 141,009
11,518 Automatic Data
Processing, Inc. 492,394
2,405 BISYS Group, Inc. (The)* 43,290
3,048 Ceridian Corp.* 62,667
1,256 Certergy Inc. 40,280
1,684 CheckFree Corp.* 52,861
3,629 Computer Sciences Corp.* 162,035
9,012 Concord EFS, Inc.* 127,249
2,787 Convergys Corp.* 46,599
1,134 CSG Systems
International, Inc.* 16,250
1,617 DST Systems, Inc.* 69,224
914 eFunds Corp.* 15,876
14,121 First Data Corp. 552,978
3,738 Fiserv, Inc.* 139,652
696 Global Payments Inc. 32,364
566 Hewitt Associates, Inc.* 19,584
319 iPayment Holdings, Inc.* 11,120
1,026 National Processing, Inc.* 21,033
7,305 Paychex, Inc. 273,791
5,636 SunGard Data Systems Inc.* 175,449
3,814 Total System Services, Inc. 87,150
792 Tyler Technologies, Inc.* 7,920
---------------
2,621,547
---------------
DEPARTMENT STORES (0.4%)
1,683 Dillard's, Inc. (Class A) 28,544
3,503 Federated Department
Stores, Inc. 166,322
6,670 Kohl's Corp.* 295,481
5,592 May Department Stores Co. 183,977
948 Neiman Marcus Group, Inc.
(The) (Class A) 52,330
5,405 Penney (J.C.) Co., Inc. 141,503
2,657 Saks, Inc.* $ 45,169
4,938 Sears, Roebuck & Co. 218,506
---------------
1,131,832
---------------
DISCOUNT STORES (2.3%)
1,394 99 Cents Only Stores* 35,338
2,369 Big Lots, Inc.* 33,474
1,457 BJ's Wholesale Club, Inc.* 31,544
8,869 Costco Wholesale Corp.* 328,863
6,530 Dollar General Corp. 145,097
2,262 Dollar Tree Stores, Inc.* 72,407
3,382 Family Dollar Stores, Inc. 117,152
628 Fred's, Inc. 17,584
568 ShopKo Stores, Inc.* 7,997
17,660 Target Corp. 670,374
83,855 Wal-Mart Stores, Inc. 4,515,592
---------------
5,975,422
---------------
DRUGSTORE CHAINS (0.4%)
7,698 CVS Corp. 274,973
991 Longs Drug Stores Corp. 22,070
10,421 Rite Aid Corp.* 60,233
19,864 Walgreen Co. 686,301
---------------
1,043,577
---------------
ELECTRIC UTILITIES (2.3%)
12,099 AES Corp. (The)* 118,086
2,648 Allegheny Energy, Inc.* 33,418
2,014 Alliant Energy, Inc. 52,142
3,159 Ameren Corp. 152,548
7,685 American Electric Power
Co., Inc. 250,915
3,762 Aquila, Inc.* 14,484
1,235 Avista Corp. 22,045
761 Black Hills Corp. 22,678
5,931 CenterPoint Energy, Inc. 62,275
3,474 Cinergy Corp. 134,340
1,129 Cleco Corp. 20,514
3,007 CMS Energy Corp.* 26,401
308 CN Energy Group, Inc. 14,236
4,368 Consolidated Edison, Inc. 191,449
3,241 Constellation Energy
Group, Inc. 130,385
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
12
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
6,286 Dominion Resources, Inc. $ 403,310
2,451 DPL, Inc. 49,608
3,273 DTE Energy Co. 127,974
17,434 Duke Energy Corp. 378,841
1,742 Duquesne Light Co. 33,168
6,313 Edison International 138,886
1,339 El Paso Electric Co.* 18,719
445 Empire District Electric
Co. (The) 9,701
2,846 Energy East Corp. 66,881
4,451 Entergy Corp. 260,294
6,362 Exelon Corp. 426,127
6,223 FirstEnergy Corp. 233,487
3,585 FPL Group, Inc. 235,714
1,346 Great Plains Energy, Inc. 44,714
731 Hawaiian Electric
Industries, Inc. 37,142
1,078 IDACORP, Inc. 33,202
669 MGE Energy Inc. 20,960
2,608 Northeast Utilities 50,204
1,035 NSTAR 50,663
1,665 OGE Energy Corp. 40,676
819 Otter Tail Corp. 21,744
3,321 Pepco Holdings, Inc. 66,852
8,036 PG&E Corp.* 215,767
1,769 Pinnacle West Capital Corp. 69,433
1,131 PNM Resources Inc.* 34,043
3,436 PPL Corp. 157,094
4,753 Progress Energy, Inc. 212,839
4,419 Public Service Enterprise
Group, Inc. 200,799
1,826 Puget Energy, Inc. 43,148
5,973 Reliant Resources, Inc.* 46,350
2,166 SCANA Corp. 75,204
2,379 Sierra Pacific Resources* 18,723
14,187 Southern Co. (The) 422,773
3,878 TECO Energy, Inc. 55,339
6,276 TXU Corp. 150,624
458 UIL Holdings Corp. 21,421
655 UniSource Energy Corp. 16,113
1,559 Westar Energy, Inc. 30,525
2,287 Wisconsin Energy Corp. 75,677
634 WPS Resources Corp. $ 30,438
7,728 Xcel Energy, Inc. 133,849
---------------
6,004,942
---------------
ELECTRICAL PRODUCTS (0.4%)
932 Acuity Brands, Inc. 22,648
3,847 American Power
Conversion Corp.* 95,367
1,231 Baldor Electric Co. 28,633
496 Belden Inc. 9,970
499 C&D Technologies, Inc. 10,145
874 Cable Design Technologies
Corp.* 8,749
1,809 Cooper Industries Ltd.
(Class A) (Bermuda) 101,847
8,153 Emerson Electric Co. 520,977
1,638 Energizer Holdings, Inc.* 67,961
268 Franklin Electric Co., Inc. 16,249
263 Genlyte Group Inc. (The)* 14,465
1,160 Hubbell, Inc. (Class B) 46,574
426 Littelfuse, Inc.* 12,354
3,718 Molex Inc. 129,163
1,998 Power-One, Inc.* 25,015
634 Rayovac Corp.* 15,216
1,141 Thomas & Betts Corp. 23,653
336 Thomas Industries, Inc. 11,421
366 Wilson Greatbatch
Technologies, Inc.* 14,786
---------------
1,175,193
---------------
ELECTRONIC COMPONENTS (0.4%)
832 Amphenol Corp. (Class A)* 54,970
3,390 AVX Corp. 59,020
724 Benchmark Electronics, Inc.* 25,456
1,728 Cree, Inc.* 43,321
675 CTS Corp. 9,335
646 Hutchinson Technology Inc.* 19,076
323 Intermagnetics
General Corp.* 8,114
3,882 Jabil Circuit, Inc.* 114,907
1,686 Kemet Corp.* 25,627
1,357 Kopin Corp.* 9,770
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
13
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
3,937 MEMC Electronic
Materials, Inc.* $ 41,417
696 Methode Electronics, Inc.
(Class A) 8,756
510 OmniVision
Technologies, Inc.* 24,760
386 Park Electrochemical Corp. 10,383
830 Plexus Corp.* 18,202
1,830 QLogic Corp.* 82,277
1,576 SanDisk Corp.* 85,797
9,960 Sanmina-SCI Corp.* 130,576
16,198 Solectron Corp.* 115,006
1,264 Superconductor
Technologies Inc.* 7,458
1,228 Technitrol, Inc.* 23,086
783 TTM Technologies, Inc.* 13,702
816 Vicor Corp.* 9,792
3,109 Vishay Intertechnology, Inc.* 72,253
---------------
1,013,061
---------------
ELECTRONIC DISTRIBUTORS (0.1%)
707 Anixter International, Inc.* 19,549
1,968 Arrow Electronics, Inc.* 52,664
2,333 Avnet, Inc.* 61,475
1,615 CDW Corp. 109,723
2,936 Ingram Micro Inc. (Class A)* 49,031
2,328 Safeguard Scientifics, Inc.* 11,966
239 ScanSource, Inc.* 12,034
1,101 Tech Data Corp.* 45,680
---------------
362,122
---------------
ELECTRONIC EQUIPMENT/
INSTRUMENTS (0.6%)
9,213 Agilent Technologies, Inc.* 339,591
640 Checkpoint Systems, Inc.* 12,768
888 Coherent, Inc.* 27,164
1,407 Diebold, Inc. 73,713
267 Digital Theater Systems Inc.* 6,766
1,680 Identix Inc.* 8,938
400 Itron, Inc.* 8,264
27,803 JDS Uniphase Corp.* 141,795
676 Kronos, Inc.* 26,269
1,479 Lexar Media, Inc.* $ 21,593
1,007 National Instruments Corp. 49,615
1,105 Newport Corp.* 22,177
762 Paxar Corp.* 10,691
3,635 Rockwell Automation, Inc. 118,392
2,942 Scientific-Atlanta, Inc. 99,557
525 SeaChange International, Inc.* 10,605
4,467 Symbol Technologies, Inc. 77,279
1,657 Tektronix, Inc. 51,483
3,168 Thermo Electron Corp.* 88,292
1,165 Unova, Inc.* 28,554
905 Varian, Inc.* 36,200
2,353 Waters Corp.* 89,202
15,439 Xerox Corp.* 226,027
---------------
1,574,935
---------------
ELECTRONIC PRODUCTION
EQUIPMENT (0.7%)
630 Advanced Energy
Industries, Inc.* 14,118
3,564 Amkor Technology, Inc.* 62,049
32,358 Applied Materials, Inc.* 704,110
428 Artisan Components, Inc.* 7,764
766 Asyst Technologies, Inc.* 11,735
1,170 ATMI, Inc.* 31,028
1,931 Axcelis Technologies, Inc.* 24,504
724 Brooks Automation Inc.* 18,100
5,097 Cadence Design
Systems, Inc.* 84,457
2,247 Chippac Inc. (Class A)* 16,471
1,155 Cognex Corp. 37,018
414 Cohu, Inc. 8,408
1,232 Credence Systems Corp.* 17,470
699 Cymer, Inc.* 30,763
353 DuPont Photomasks, Inc.* 8,271
544 Electro Scientific
Industries, Inc.* 13,981
1,795 Entegris Inc.* 22,904
934 FEI Co.* 23,425
669 FormFactor Inc.* 12,457
510 Helix Technology Corp. 12,245
3,716 KLA-Tencor Corp.* 212,072
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
14
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
977 Kulicke & Soffa
Industries, Inc.* $ 14,284
2,476 Lam Research Corp.* 66,233
967 LTX Corp.* 16,845
878 Mattson Technology, Inc.* 10,211
1,557 Mentor Graphics Corp.* 24,320
1,003 MKS Instruments, Inc.* 23,711
778 Mykrolis Corp.* 13,389
2,956 Novellus Systems, Inc.* 100,681
316 Photon Dynamics, Inc.* 12,100
963 Photronics, Inc.* 18,721
3,044 Synopsys, Inc.* 107,423
3,707 Teradyne, Inc.* 99,718
736 Tessera Technologies, Inc.* 13,248
446 Ultratech Stepper, Inc.* 12,961
672 Varian Semiconductor
Equipment Associates, Inc.* 32,753
670 Veeco Instruments, Inc.* 20,167
---------------
1,960,115
---------------
ELECTRONICS/APPLIANCE
STORES (0.2%)
6,271 Best Buy Co., Inc. 315,996
683 Blockbuster, Inc. (Class A) 12,786
4,059 Circuit City Stores - Circuit
City Group. 43,431
485 Electronics Boutique
Holdings Corp.* 12,227
1,227 Hollywood Entertainment
Corp.* 14,785
658 Movie Gallery, Inc. 13,199
3,180 RadioShack Corp. 103,604
---------------
516,028
---------------
ELECTRONICS/APPLIANCES (0.2%)
5,553 Eastman Kodak Co. 157,761
1,258 Harman International
Industries, Inc. 93,381
551 Helen of Troy Ltd.* 15,781
1,560 Maytag Corp. 44,678
1,350 Whirlpool Corp. 102,532
---------------
414,133
---------------
ENGINEERING &
CONSTRUCTION (0.1%)
1,431 Dycom Industries, Inc.* $ 37,020
352 EMCOR Group, Inc.* 14,365
1,638 Fluor Corp. 60,704
827 Granite Construction Inc. 17,632
516 Insituform Technologies, Inc.
(Class A)* 8,302
1,124 Jacobs Engineering
Group, Inc.* 50,445
1,013 KFx Inc.* 7,851
939 MasTec, Inc.* 11,794
2,277 Quanta Services, Inc.* 18,626
737 Shaw Group Inc. (The)* 8,608
636 URS Corp.* 17,585
---------------
252,932
---------------
ENVIRONMENTAL SERVICES (0.2%)
4,223 Allied Waste Industries, Inc.* 57,644
344 Ionics, Inc.* 9,422
1,575 Newpark Resources, Inc.* 7,749
3,069 Republic Services, Inc. 76,572
1,043 Tetra Tech, Inc.* 22,842
626 Waste Connections, Inc.* 23,287
11,286 Waste Management, Inc. 313,299
---------------
510,815
---------------
FINANCE/RENTAL/LEASING (1.8%)
639 Aaron Rents, Inc (Class A) 13,604
530 Advanta Corp. (Class A) 7,764
2,397 Allied Capital Corp. 69,321
401 AMERCO* 9,207
1,338 American Capital
Strategies, Ltd. 42,843
3,187 AmeriCredit Corp.* 54,816
1,243 Bay View Capital Corp.* 2,896
4,437 Capital One Financial Corp. 315,382
504 Cash American
International, Inc. 11,017
806 Charter Municipal Mortgage
Acceptance Co. 17,587
4,133 CIT Group, Inc. 156,723
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
15
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
914 CompuCredit Corp.* $ 21,095
3,540 Countrywide Financial Corp. 295,767
828 Credit Acceptance Corp.* 13,662
483 Dollar Thrifty Automotive
Group, Inc.* 12,003
2,160 Doral Financial Corp.
(Puerto Rico) 70,135
18,827 Fannie Mae 1,451,562
362 Financial Federal Corp.* 12,297
13,535 Freddie Mac 844,855
1,547 Fremont General Corp. 28,666
1,157 GATX Corp. 26,148
980 IndyMac Bancorp, Inc. 30,517
534 Interpool, Inc. 8,010
24,756 MBNA Corp. 667,422
753 MCG Capital Corp. 15,512
506 NCO Group, Inc.* 12,311
709 New Century Financial Corp. 32,621
1,307 Ocwen Financial Corp.* 13,344
5,651 Providian Financial Corp.* 77,362
1,333 Ryder System, Inc. 49,054
558 Saxon Capital, Inc.* 15,284
8,803 SLM Corp. 338,035
390 Student Loan Corp. (The) 56,125
1,493 United Rentals, Inc.* 33,443
810 WFS Financial Inc.* 34,530
---------------
4,860,920
---------------
FINANCIAL
CONGLOMERATES (3.5%)
24,923 American Express Co. 1,292,008
99,954 Citigroup Inc. 4,945,724
524 Euronet Services, Inc.* 8,515
39,532 J.P. Morgan Chase & Co. 1,537,399
5,606 John Hancock Financial
Services, Inc. 232,537
1,315 Leucadia National Corp. 64,685
6,258 Principal Financial Group, Inc. 217,153
10,473 Prudential Financial, Inc. 455,575
6,476 State Street Corp. 348,733
139 Wesco Financial Corp. 50,179
---------------
9,152,508
---------------
FINANCIAL PUBLISHING/
SERVICES (0.3%)
634 Advent Software, Inc.* $ 11,951
429 BARRA, Inc. 13,698
1,436 D&B Corp.* 71,671
2,842 Equifax, Inc. 73,920
800 FactSet Research
Systems Inc. 30,440
2,131 Interactive Data Corp.* 38,081
3,712 McGraw-Hill Companies,
Inc. (The) 278,474
2,945 Moody's Corp. 188,156
615 National Financial Insurance 20,412
2,043 SEI Investments Co. 69,299
195 Value Line, Inc. 9,730
---------------
805,832
---------------
FOOD DISTRIBUTORS (0.2%)
1,832 ARAMARK Corp. (Class B) 48,218
888 Performance Food
Group Co.* 27,830
12,539 SYSCO Corp. 475,604
380 United Natural Foods, Inc.* 15,135
---------------
566,787
---------------
FOOD RETAIL (0.4%)
2,161 7-Eleven, Inc.* 35,937
7,109 Albertson's, Inc. 166,066
1,350 Casey's General Stores, Inc. 22,477
14,437 Kroger Co.* 267,518
1,313 Ruddick Corp. 24,816
8,570 Safeway Inc.* 193,596
2,598 Supervalu, Inc. 75,082
798 Weis Markets, Inc. 27,571
1,218 Whole Foods Market, Inc.* 82,178
584 Wild Oats Markets, Inc.* 7,563
3,012 Winn-Dixie Stores, Inc. 19,759
---------------
922,563
---------------
FOOD: MAJOR DIVERSIFIED (1.2%)
7,951 Campbell Soup Co. 209,350
4,345 Del Monte Foods Co.* 46,752
7,234 General Mills, Inc. 328,641
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
16
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
6,866 Heinz (H.J.) Co. $ 242,919
7,970 Kellogg Co. 301,346
5,463 Kraft Foods Inc. (Class A) 175,963
33,264 PepsiCo, Inc. 1,572,057
15,119 Sara Lee Corp. 322,337
---------------
3,199,365
---------------
FOOD: MEAT/FISH/DAIRY (0.3%)
10,403 ConAgra Foods Inc. 269,854
3,022 Dean Foods Co.* 96,704
698 Dreyer's Grand Ice Cream
Holdings, Inc. 54,444
2,701 Hormel Foods Corp. 72,846
537 Pilgrim's Pride Corp. (Class B) 10,697
253 Sanderson Farms, Inc. 12,432
2,145 Smithfield Foods, Inc.* 49,356
6,790 Tyson Foods, Inc. (Class A) 104,430
---------------
670,763
---------------
FOOD: SPECIALTY/
CANDY (0.3%)
340 American Italian Pasta Co.
(Class A) 13,192
779 Chiquita Brands
International, Inc.* 18,540
49 Farmer Brothers Co. 15,435
1,032 Flowers Foods Inc. 24,923
1,107 Fresh Del Monte Produce, Inc. 28,782
878 Hain Celestial Group, Inc.* 19,852
2,550 Hershey Foods Corp. 192,550
376 International Multifoods
Corp.* 7,050
942 Interstate Bakeries Corp. 13,584
769 Lancaster Colony Corp. 32,921
567 Lance, Inc. 8,925
2,703 McCormick & Co., Inc.
(Non-Voting). 80,225
1,420 NBTY, Inc.* 46,548
843 Ralcorp Holdings, Inc.* 27,920
280 Riviana Foods, Inc. 7,165
970 Smucker (J.M.) Co. 45,192
1,008 Tootsie Roll Industries, Inc. 36,288
795 Topps Co., Inc. (The) $ 7,322
4,379 Wrigley (Wm.) Jr. Co.
(Class A) 246,406
---------------
872,820
---------------
FOREST PRODUCTS (0.1%)
2,052 Louisiana-Pacific Corp. 43,646
346 Universal Forest Products, Inc. 10,553
4,279 Weyerhaeuser Co. 262,987
---------------
317,186
---------------
GAS DISTRIBUTORS (0.4%)
1,245 AGL Resources, Inc. 36,553
1,187 Atmos Energy Corp. 30,387
7,239 Dynegy, Inc. (Class A)* 32,358
1,011 Energen Corp. 43,473
1,215 Equitable Resources, Inc. 53,326
3,083 KeySpan Corp. 112,437
2,388 Kinder Morgan, Inc. 140,892
372 Laclede Group, Inc. (The) 11,067
2,194 MDU Resources Group, Inc. 51,822
1,576 National Fuel Gas Co. 39,558
531 New Jersey Resources Corp. 20,491
732 Nicor Inc. 24,266
5,086 NiSource, Inc. 106,806
502 Northwest Natural Gas Co. 15,462
1,842 ONEOK, Inc. 41,795
940 Peoples Energy Corp. 39,912
653 Piedmont Natural
Gas Co., Inc. 27,302
1,609 Questar Corp. 56,524
4,384 Sempra Energy 136,518
245 South Jersey Industries, Inc. 10,084
1,372 Southern Union Co.* 24,641
642 Southwest Gas Corp. 15,081
830 UGI Corp. 26,767
1,465 Vectren Corp. 36,244
949 WGL Holdings Inc. 26,525
---------------
1,160,291
---------------
HOME BUILDING (0.4%)
287 Beazer Homes USA Inc. 26,757
650 Brookfield Homes Corp. 16,919
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
17
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
66 Cavco Industries, Inc.* $ 2,079
1,204 Centex Corp. 127,504
1,119 Champion Enterprises, Inc.* 7,475
4,707 D.R. Horton, Inc. 132,267
585 Hovnanian Enterprises, Inc.* 43,161
898 KB HOME 60,651
2,768 Lennar Corp. (Class A) 122,069
291 Levitt Corp. (Class A)* 6,024
621 M.D.C. Holdings, Inc. 38,906
316 M/I Schottenstein
Homes, Inc. 12,194
216 Meritage Corp.* 14,018
140 NVR, Inc.* 60,830
446 Palm Harbor Homes, Inc.* 7,738
2,405 Pulte Homes, Inc. 103,752
479 Ryland Group, Inc. (The) 36,524
698 Standard Pacific Corp. 32,597
595 Technical Olympic USA, Inc. 15,333
1,399 Toll Brothers, Inc.* 54,715
825 WCI Communities, Inc.* 18,026
193 William Lyon Homes, Inc.* 12,084
---------------
951,623
---------------
HOME FURNISHINGS (0.2%)
1,031 Ethan Allen Interiors, Inc. 45,055
1,081 Furniture Brands
International, Inc. 33,100
426 Jarden Corp.* 13,832
1,386 La-Z-Boy, Inc. 30,811
3,719 Leggett & Platt, Inc. 91,636
265 Libbey, Inc. 7,648
1,294 Mohawk Industries, Inc.* 90,037
5,306 Newell Rubbermaid, Inc. 129,626
646 Select Comfort Corp.* 15,039
1,275 Tupperware Corp. 22,504
---------------
479,288
---------------
HOME IMPROVEMENT
CHAINS (1.0%)
1,470 Fastenal Co. 70,678
44,085 Home Depot, Inc. (The) 1,563,695
15,236 Lowe's Companies, Inc. 815,888
2,850 Sherwin-Williams Co. $ 96,159
---------------
2,546,420
---------------
HOSPITAL/NURSING
MANAGEMENT (0.4%)
444 Amsurg Corp.* 16,721
2,091 Beverly Enterprises, Inc.* 16,686
2,039 Community Health
Systems Inc.* 57,622
9,601 HCA, Inc. 431,085
4,631 Health Management
Associates, Inc. (Class A) 113,506
732 LifePoint Hospitals, Inc.* 25,261
1,727 Manor Care, Inc. 61,654
981 Orthodontic Centers of
America, Inc.* 7,691
951 Province Healthcare Co.* 17,308
1,876 Select Medical Corp. 32,455
566 Sunrise Assisted Living, Inc.* 22,917
9,197 Tenet Healthcare Corp.* 114,043
1,525 Triad Hospitals, Inc.* 54,671
542 United Surgical Partners
International Inc.* 20,672
1,123 Universal Health Services, Inc.
(Class B) 61,675
1,731 US Oncology, Inc.* 22,745
---------------
1,076,712
---------------
HOTELS/RESORTS/
CRUISELINES (0.5%)
760 Boca Resorts, Inc. (Class A)* 12,532
12,205 Carnival Corp. (Panama) 542,146
870 Choice Hotels
International, Inc. 33,060
2,010 Extended Stay America, Inc. 30,753
1,101 Gaylord Entertainment Co.* 31,962
7,351 Hilton Hotels Corp. 117,616
3,606 La Quinta Corp.* 27,153
576 Marcus Corp. (The) 9,504
4,532 Marriott International, Inc.
(Class A) 201,175
873 Prime Hospitality Corp.* 8,957
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
18
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
3,741 Royal Caribbean Cruises Ltd.
(Liberia) $ 158,506
3,977 Starwood Hotels & Resorts
Worldwide, Inc. 140,547
542 Vail Resorts, Inc.* 9,577
---------------
1,323,488
---------------
HOUSEHOLD/PERSONAL
CARE (2.0%)
1,139 Alberto-Culver Co. (Class B) 71,393
4,583 Avon Products, Inc. 290,196
784 Church & Dwight Co., Inc. 31,242
4,089 Clorox Co. (The) 199,870
10,410 Colgate-Palmolive Co. 533,721
1,868 Dial Corp. (The) 53,425
2,352 Estee Lauder Companies, Inc.
(The) (Class A) 96,361
19,603 Gillette Co. (The) 710,609
1,815 International Flavors &
Fragrances, Inc. 66,538
9,774 Kimberly-Clark Corp. 577,252
1,368 Nu Skin Enterprises, Inc.
(Class A) 26,539
1,191 Playtex Products, Inc.* 9,754
25,125 Procter & Gamble Co. (The) 2,539,635
---------------
5,206,535
---------------
INDUSTRIAL
CONGLOMERATES (3.7%)
15,208 3M Co. 1,202,801
1,684 ALLETE, Inc. 55,151
194,915 General Electric Co.** 6,554,991
16,732 Honeywell International, Inc. 604,360
3,333 Ingersoll Rand Co. (Class A)
(Bermuda) 221,744
1,788 ITT Industries, Inc. 133,278
1,476 SPX Corp.* 83,748
2,636 Textron, Inc. 140,446
9,153 United Technologies Corp. 874,478
816 Walter Industries, Inc. 9,792
---------------
9,880,789
---------------
INDUSTRIAL MACHINERY (0.4%)
458 Actuant Corp. (Class A)* 16,644
764 FLIR Systems, Inc.* $ 27,657
1,244 Flowserve Corp.* 23,947
769 FuelCell Energy, Inc.* 10,082
891 Graco Inc. 36,736
897 IDEX Corp. 37,405
6,011 Illinois Tool Works Inc. 469,459
876 Kennametal Inc. 37,142
941 Lincoln Electric Holdings, Inc. 23,280
942 Nordson Corp. 34,119
2,307 Parker-Hannifin Corp. 126,862
489 Regal-Beloit Corp. 10,000
695 Roper Industries, Inc. 33,701
377 Tecumseh Products Co.
(Class A) 16,803
532 Watts Water Technologies, Inc. 11,810
217 Woodward Governor Co. 12,781
---------------
928,428
---------------
INDUSTRIAL SPECIALTIES (0.3%)
719 Buckeye Technologies Inc.* 6,464
664 Cabot Microelectronics Corp.* 30,146
840 Donaldson Co., Inc. 45,377
4,992 Ecolab Inc. 135,633
1,228 Ferro Corp. 31,867
625 Fuller (H.B.) Co. 17,500
1,306 GrafTech International Ltd.* 16,247
543 Headwaters Inc.* 12,581
740 MacDermid, Inc. 25,375
717 Mine Safety Appliances Co. 20,442
412 Minerals Technologies, Inc. 21,807
3,292 PPG Industries, Inc. 191,693
315 Rogers Corp.* 14,663
2,325 RPM International, Inc. 39,292
651 Spartech Corp. 15,689
611 Symyx Technologies, Inc.* 15,984
981 Valspar Corp. (The) 48,559
325 WD-40 Co. 9,912
---------------
699,231
---------------
INFORMATION TECHNOLOGY
SERVICES (1.7%)
1,015 American Management
Systems, Inc.* 16,819
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
19
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
599 Anteon International Corp.* $ 17,425
3,768 BearingPoint, Inc.* 36,173
513 Black Box Corp. 26,691
586 CACI International Inc.
(Class A)* 25,919
1,236 CIBER, Inc.* 11,445
3,180 Citrix Systems, Inc.* 63,950
1,193 Cognizant Technology
Solutions Corp.* 64,458
9,378 Electronic Data
Systems Corp. 224,697
857 Epicor Software Corp.* 13,592
1,728 Henry (Jack) &
Associates, Inc. 31,553
5,912 Infonet Services Corp.
(Class B)* 12,533
988 Intergraph Corp.* 23,959
33,335 International Business
Machines Corp. 3,307,832
557 JDA Software Group, Inc.* 8,656
1,745 Keane, Inc.* 28,147
12,788 Level 3 Communications,
Inc.* 76,728
320 ManTech International
Corp.* 6,848
339 MICROS Systems, Inc.* 15,191
7,083 PeopleSoft, Inc.* 152,639
2,521 Perot Systems Corp.
(Class A)* 34,008
639 QAD, Inc.* 9,949
1,299 Reynolds & Reynolds Co. (The)
(Class A) 34,566
1,240 RSA Security, Inc.* 20,497
2,357 Sapient Corp.* 14,472
314 SRA International, Inc.
(Class A)* 11,737
1,197 Syntel, Inc. 34,569
660 Systems & Computer
Technology Corp.* 10,857
6,402 Unisys Corp.* 88,604
582 Verint Systems Inc.* 14,317
1,558 Wind River Systems, Inc.* $ 13,056
---------------
4,451,887
---------------
INSURANCE BROKERS/
SERVICES (0.3%)
6,134 AON Corp. 150,712
1,336 Brown & Brown, Inc. 46,306
512 CCC Information Services
Group, Inc.* 9,446
1,589 ChoicePoint Inc.* 61,177
948 Crawford & Co. (Class B) 6,503
1,768 Gallagher (Arthur J.) & Co. 55,303
764 Hilb, Rogal & Hamilton Co. 24,425
10,274 Marsh & McLennan
Companies, Inc. 482,159
---------------
836,031
---------------
INTEGRATED OIL (3.1%)
1,745 Amerada Hess Corp. 98,401
20,712 ChevronTexaco Corp. 1,788,481
812 Cimarex Energy Co.* 21,421
13,228 ConocoPhillips 871,461
128,071 Exxon Mobil Corp. 5,224,016
1,835 Murphy Oil Corp. 111,128
---------------
8,114,908
---------------
INTERNET RETAIL (0.3%)
7,771 Amazon.com, Inc.* 392,280
1,364 Drugstore.com, Inc.* 9,262
488 Interactive Corp. (Warrants)
(due 02/04/09)* 19,339
12,536 InterActiveCorp* 406,166
403 Netflix Inc.* 29,592
---------------
856,639
---------------
INTERNET SOFTWARE/
SERVICES (0.5%)
1,002 Agile Software Corp.* 10,421
2,333 Akamai Technologies, Inc.* 30,142
6,074 Ariba, Inc.* 19,741
951 Ask Jeeves, Inc.* 20,646
7,861 BEA Systems, Inc.* 99,284
1,827 Borland Software Corp.* 18,836
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
20
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
9,125 CMGI Inc.* $ 25,185
3,333 CNET Networks, Inc.* 35,796
638 Digital Insight Corp.* 14,463
600 Digital River, Inc.* 14,208
1,146 Digitas Inc.* 12,950
3,167 Earthlink, Inc.* 29,801
792 GSI Commerce, Inc.* 7,904
4,035 Internap Network
Services Corp.* 9,240
1,125 Internet Security
Systems, Inc.* 20,070
447 J2 Global
Communications, Inc.* 10,290
897 Lionbridge Technologies, Inc.* 7,095
237 MicroStrategy Inc. (Class A)* 14,786
674 Netegrity, Inc.* 6,706
1,137 NIC INC* 8,982
1,181 Openwave Systems, Inc.* 17,526
620 Packeteer, Inc.* 10,317
530 PEC Solutions, Inc.* 7,632
1,098 Progress Software Corp.* 24,496
2,958 RealNetworks, Inc.* 16,476
1,369 S1 Corp.* 11,773
627 Secure Computing Corp.* 10,753
9,608 Siebel Systems, Inc.* 128,075
1,321 SonicWALL, Inc.* 12,365
670 Support.com, Inc.* 8,971
1,194 United Online, Inc.* 22,232
4,873 VeriSign, Inc.* 85,180
6,854 Vignette Corp.* 16,313
816 WebEx Communications, Inc.* 15,953
1,016 webMethods, Inc.* 10,912
429 Websense, Inc. 14,114
12,631 Yahoo! Inc.* 591,762
---------------
1,421,396
---------------
INVESTMENT BANKS/
BROKERS (1.8%)
8,182 AmeriTrade Holding Corp.* 129,685
1,899 Bear Stearns
Companies, Inc. (The) 156,383
639 Chicago Marcantile
Exchange (The) $ 55,861
7,093 E*TRADE Group, Inc.* 99,231
1,553 Edwards (A.G.), Inc. 59,092
590 eSPEED, Inc (Class A)* 13,275
9,174 Goldman Sachs
Group, Inc. (The) 913,272
1,058 Investment Technology
Group, Inc.* 17,193
1,056 Jefferies Group, Inc. 40,065
2,213 Knight Trading Group, Inc.* 30,539
1,355 LaBranche & Co., Inc.* 13,523
1,283 Legg Mason, Inc. 113,610
5,261 Lehman Brothers Holdings Inc. 431,928
18,255 Merrill Lynch & Co., Inc. 1,073,211
21,161 Morgan Stanley (Note 4) 1,231,782
376 Piper Jaffray Companies, Inc.* 17,653
949 Raymond James Financial, Inc. 36,100
26,285 Schwab (Charles) Corp. (The) 330,928
802 Tradestation Group Inc.* 8,004
---------------
4,771,335
---------------
INVESTMENT MANAGERS (0.4%)
413 Affiliated Managers
Group, Inc.* 35,022
1,502 Alliance Capital Management
Holding L.P. 55,364
490 BlackRock, Inc. 28,430
1,336 Eaton Vance Corp.
(Non-Voting) 50,434
2,105 Federated Investors, Inc.
(Class B) 65,023
4,863 Franklin Resources, Inc. 280,936
1,265 Investors Financial
Services Corp. 52,422
4,663 Janus Capital Group, Inc. 78,245
8,336 Mellon Financial Corp. 272,671
1,797 Nuveen Investments (Class A) 51,772
2,413 Price (T.) Rowe Group, Inc. 125,790
1,596 Waddell & Reed Financial,
Inc. (Class A) 42,358
---------------
1,138,467
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
21
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
INVESTMENT TRUSTS/
MUTUAL FUNDS (0.0%)
418 BP Prudhoe Bay Royalty Trust $ 10,759
28 Cross Timbers Royalty Trust 731
1,322 Hugoton Royalty Trust 25,356
---------------
36,846
---------------
LIFE/HEALTH INSURANCE (0.7%)
9,937 AFLAC, Inc. 366,477
513 American National
Insurance Co. 46,272
676 AmerUs Group Co. 24,775
680 Citizens, Inc.* 6,344
823 Delphi Financial Group, Inc.
(Class A) 31,142
893 FBL Financial Group, Inc.
(Class A) 24,763
1,075 Great American Financial
Resources, Inc. 17,566
2,740 Jefferson-Pilot Corp. 140,672
233 Kansas City Life
Insurance Co. 10,716
3,449 Lincoln National Corp. 152,273
14,841 MetLife, Inc. 497,916
65 National Western Life
Insurance Co. (Class A)* 10,154
2,405 Phoenix Companies Ltd. 30,544
573 Presidential Life Corp. 8,429
1,401 Protective Life Corp. 49,595
1,172 Reinsurance Group of
America, Inc. 46,423
533 StanCorp Financial
Group, Inc. 34,645
1,038 The MONY Group Inc.* 32,957
2,230 Torchmark Corp. 105,791
872 UICI* 11,074
1,049 Universal American
Financial Corp.* 10,899
5,778 UnumProvident Corp. 90,310
---------------
1,749,737
---------------
MAJOR BANKS (3.9%)
28,789 Bank of America Corp. 2,345,152
15,069 Bank of New York Co.,
Inc. (The) $ 478,441
21,661 Bank One Corp. 1,096,263
10,543 BB&T Corp. 91,145
3,398 Comerica, Inc. 194,060
20,473 FleetBoston Financial Corp. 912,686
4,435 Huntington Bancshares, Inc. 99,034
8,121 KeyCorp 252,482
11,779 National City Corp. 406,611
5,372 PNC Financial
Services Group. 303,572
2,583 Popular, Inc. 114,324
6,429 SouthTrust Corp. 218,522
5,496 SunTrust Banks, Inc. 397,691
2,818 UnionBanCal Corp. 149,608
25,649 Wachovia Corp. 1,186,010
32,675 Wells Fargo & Co. 1,875,872
---------------
10,421,473
---------------
MAJOR
TELECOMMUNICATIONS (2.1%)
6,088 ALLTEL Corp. 296,364
15,146 AT&T Corp. 294,741
35,809 BellSouth Corp. 1,046,697
5,323 Cincinnati Bell Inc. 29,277
1,276 Primus Telecommunications
Group, Inc.* 15,401
64,147 SBC Communications, Inc. 1,635,749
17,515 Sprint Corp. (FON Group) 304,936
53,508 Verizon Communications Inc. 1,972,305
---------------
5,595,470
---------------
MANAGED HEALTH CARE (0.8%)
2,966 Aetna, Inc. 207,620
399 AMERIGROUP Corp.* 16,279
2,679 Anthem, Inc.* 219,089
5,234 Caremark Rx, Inc.* 140,010
383 Centene Corp.* 12,183
2,723 CIGNA Corp. 168,880
1,172 Coventry Health Care, Inc.* 77,704
1,921 First Health Group Corp.* 38,074
2,202 Health Net Inc.* 73,327
3,025 Humana, Inc.* 70,573
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
22
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
903 Mid Atlantic Medical
Services, Inc.* $ 61,178
1,569 Oxford Health Plans, Inc. 75,626
1,462 PacifiCare Health
Systems, Inc.* 48,027
506 Sierra Health Services, Inc.* 14,876
11,367 UnitedHealth Group Inc. 692,023
326 WellChoice, Inc.* 11,932
2,866 WellPoint Health
Networks, Inc.* 300,930
---------------
2,228,331
---------------
MARINE SHIPPING (0.0%)
809 Alexander & Baldwin, Inc. 26,106
1,540 CMI Corp. (Class A) 15,292
722 General Maritime Corp. 15,162
629 Kirby Corp.* 20,675
---------------
77,235
---------------
MEDIA CONGLOMERATES (1.5%)
39,631 Disney (Walt) Co. (The) 951,144
2,040 News Corporation Ltd. (The)
(Pref.) (ADR) (Australia) 65,402
87,613 Time Warner Inc.* 1,539,360
33,893 Viacom Inc.
(Class B) (Non-Voting) 1,365,888
---------------
3,921,794
---------------
MEDICAL DISTRIBUTORS (0.4%)
2,194 AmerisourceBergen Corp. 120,780
1,518 Andrx Group* 37,996
8,389 Cardinal Health, Inc. 537,819
846 Henry Schein, Inc.* 59,338
5,767 McKesson Corp. 169,434
649 Owens & Minor, Inc. 14,895
1,344 Patterson Dental Co.* 88,637
484 PolyMedica Industries, Inc. 12,826
943 Priority Healthcare
Corp. (Class B)* 24,414
1,307 PSS World Medical, Inc.* 16,494
---------------
1,082,633
---------------
MEDICAL SPECIALTIES (2.1%)
568 Advanced Medical Optics,
Inc.* $ 13,002
420 Advanced Neuromodulation
System* 18,560
1,410 Alaris Medical Systems,
Inc.* 28,200
1,228 Align Technology, Inc.* 25,604
643 American Medical System
Holdings* 17,875
339 Analogic Corp. 14,475
1,795 Apogent Technologies Inc.* 48,752
4,130 Applera Corp. - Applied
Biosystems Group 97,633
1,344 Arrow International, Inc. 36,221
403 ArthroCare Corp.* 9,861
409 Atrix Laboratories, Inc.* 10,417
1,027 Bard (C.R.), Inc. 96,743
1,016 Bausch & Lomb, Inc. 54,610
11,888 Baxter International, Inc. 346,535
1,195 Beckman Coulter, Inc. 65,139
5,006 Becton, Dickinson & Co. 225,570
5,056 Biomet, Inc. 195,465
507 Bio-Rad Laboratories, Inc.
(Class A)* 27,403
375 Biosite Diagnostics Inc.* 10,481
15,872 Boston Scientific Corp.* 647,419
639 CONMED Corp.* 16,371
762 Cooper Companies, Inc. (The) 36,881
839 CTI Molecular Imaging, Inc.* 14,028
435 Cyberonics Inc.* 13,202
2,224 Cytyc Corp.* 36,029
782 Dade Behring Holdings, Inc.* 30,303
288 Datascope Corp. 10,037
1,462 DENTSPLY International, Inc. 61,404
576 Diagnostic Products Corp. 27,907
362 Digene Corp.* 15,114
1,148 Edwards Lifesciences Corp.* 39,985
6,026 Guidant Corp. 384,941
470 Haemonetics Corp.* 13,395
1,234 Hillenbrand Industries, Inc. 77,125
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
23
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
556 IGEN International, Inc.* $ 35,022
379 Immucor, Inc.* 8,190
448 INAMED Corp.* 23,090
604 Integra LifeSciences
Holding, Inc.* 19,648
521 Intuitive Surgical, Inc.* 9,175
669 Invacare Corp. 28,647
1,243 KV Pharmaceutical Co.
(Class A)* 31,286
754 Kyphon Inc.* 21,858
23,485 Medtronic, Inc. 1,155,932
1,095 Mentor Corp. 31,098
499 Merit Medical Systems, Inc.* 10,969
950 Millipore Corp.* 49,353
465 Ocular Sciences, Inc.* 14,220
752 OraSure Technologies, Inc.* 7,009
2,422 Pall Corp. 62,972
355 Penwest
Pharmaceuticals Co.* 6,102
2,661 Peregrine
Pharmaceuticals, Inc.* 6,466
2,458 PerkinElmer, Inc. 50,758
727 ResMed, Inc.* 32,024
692 Respironics, Inc.* 34,074
3,342 St. Jude Medical, Inc.* 240,123
1,440 STERIS Corp.* 36,432
3,896 Stryker Corp. 345,731
378 SurModics, Inc.* 7,851
853 Sybron Dental
Specialties, Inc.* 23,969
807 Therasense, Inc.* 21,587
1,215 Thoratec Corp.* 18,711
1,328 Varian Medical
Systems, Inc.* 110,144
324 Ventana Medical
Systems, Inc.* 14,301
586 Viasys Healthcare, Inc.* 13,923
1,030 VISX, Inc.* 20,569
252 Vital Signs, Inc. 8,946
283 West Pharmaceutical
Services, Inc. 10,075
673 Wright Medical Group, Inc.* 21,947
4,431 Zimmer Holdings, Inc.* $ 338,972
---------------
5,637,861
---------------
MEDICAL/NURSING
SERVICES (0.1%)
612 American Healthways, Inc.* 16,879
1,213 Apria Healthcare Group, Inc.* 36,936
1,296 DaVita, Inc.* 51,996
1,265 Hooper Holmes, Inc. 8,703
349 Kindred Healthcare, Inc.* 19,537
1,906 Lincare Holdings, Inc.* 61,335
581 Pediatrix Medical Group, Inc.* 34,163
965 Renal Care Group, Inc.* 41,891
1,193 VCA Antech, Inc.* 34,001
---------------
305,441
---------------
METAL FABRICATIONS (0.1%)
546 Commercial Metals Co. 15,528
808 Harsco Corp. 37,168
1,034 Kaydon Corp. 28,549
669 Mueller Industries, Inc.* 20,619
1,683 Timken Co. (The) 37,110
---------------
138,974
---------------
MISCELLANEOUS COMMERCIAL
SERVICES (0.3%)
1,371 ABM Industries Inc. 24,747
1,180 Bright Horizons Family
Solutions, Inc.* 52,097
1,678 Century Business
Services, Inc.* 7,954
2,011 Copart, Inc.* 33,885
722 Corporate Executive
Board Co. 34,476
312 Costar Group, Inc.* 12,907
673 DiamondCluster
International, Inc. (Class A)* 7,396
2,272 Exult Inc.* 14,336
958 FTI Consulting, Inc.* 14,370
666 G & K Services, Inc.
(Class A) 25,808
2,393 Gartner, Inc. (Class B)* 26,084
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
24
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
419 Global Imaging
Systems, Inc.* $ 13,274
2,837 IKON Office Solutions, Inc. 33,789
1,654 Iron Mountain Inc.* 68,856
745 Kroll Inc.* 20,041
479 MAXIMUS, Inc.* 18,442
235 MemberWorks Inc.* 8,641
849 Navigant Consulting, Inc.* 15,392
489 ProQuest Co.* 15,448
2,790 Sabre Holdings Corp. 58,897
316 SOURCECORP, Inc.* 8,333
278 StarTek, Inc. 11,092
891 Sylvan Learning
Systems, Inc.* 26,917
1,449 TeleTech Holdings, Inc.* 15,084
1,413 The Brink's Co. 33,502
1,712 Viad Corp. 42,920
1,044 Wireless Facilities, Inc.* 14,940
---------------
659,628
---------------
MISCELLANEOUS
MANUFACTURING (0.3%)
708 Ametek, Inc. 36,462
619 Brady (W.H.) Co. (Class A) 23,442
598 Carlisle Companies, Inc. 34,780
1,151 Crane Co. 34,576
398 CUNO, Inc.* 16,589
2,990 Danaher Corp. 273,735
688 Dionex Corp.* 36,842
3,955 Dover Corp. 163,421
1,463 Jacuzzi Brands, Inc.* 12,582
957 Pentair, Inc. 43,716
782 Smith (A.O.) Corp. 24,406
769 Teleflex Inc. 37,604
743 Tredegar Corp. 11,635
464 Valmont Industries, Inc. 10,134
---------------
759,924
---------------
MOTOR VEHICLES (0.5%)
35,641 Ford Motor Co. 518,220
10,909 General Motors Corp. 541,959
5,870 Harley-Davidson, Inc. 299,605
---------------
1,359,784
---------------
MOVIES/ENTERTAINMENT (0.2%)
717 AMC Entertainment, Inc.* $ 11,042
985 Cedar Fair, L.P. 30,732
1,441 Crown Media Holdings, Inc.
(Class A)* 12,263
6,829 Fox Entertainment Group, Inc.
(Class A)* 204,460
1,031 International Speedway
Corp. (Class A) 48,467
5,029 Metro-Goldwyn-Mayer Inc.* 80,011
1,071 Pixar, Inc.* 71,222
1,207 Regal Entertainment Group
(Class A) 24,345
2,012 Six Flags, Inc. 14,567
1,092 Speedway Motorsports, Inc. 33,568
1,332 TiVo Inc.* 14,346
---------------
545,023
---------------
MULTI-LINE INSURANCE (1.7%)
50,531 American International
Group, Inc. 3,509,378
4,246 CNA Financial Corp.* 109,419
5,514 Hartford Financial Services
Group, Inc. (The) 354,771
1,175 HCC Insurance Holdings, Inc. 36,190
1,032 Horace Mann
Educators Corp. 16,099
3,533 Loews Corp. 189,581
1,164 Nationwide Financial
Services, Inc. (Class A) 41,729
2,735 Safeco Corp. 119,055
1,319 Unitrin, Inc. 58,115
367 Zenith National
Insurance Corp. 12,783
---------------
4,447,120
---------------
OFFICE EQUIPMENT/
SUPPLIES (0.2%)
2,140 Avery Dennison Corp. 133,022
1,130 Hon Industries, Inc. 47,313
1,097 Kimball International, Inc.
(Class B) 17,892
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
25
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
1,422 Miller (Herman), Inc. $ 34,327
4,568 Pitney Bowes, Inc. 185,369
855 Steelcase, Inc. (Class A) 11,654
---------------
429,577
---------------
OIL & GAS PIPELINES (0.2%)
799 Buckeye Partners, L.P. 33,398
11,759 El Paso Corp. 99,952
196 Enbridge Energy
Management, LLC* 9,409
4,134 Enterprise Products
Partners L.P. 95,867
948 Kinder Morgan
Management, LLC* 40,036
267 Magellan Midstream
Parners, L.P. 13,796
862 Plains All American
Pipeline, L.P. 27,213
323 TC Pipelines, L.P. 10,498
1,221 TEPPCO Partners, L.P. 47,033
644 Western Gas
Resources, Inc. 29,882
10,218 Williams Companies,
Inc. (The) 103,611
---------------
510,695
---------------
OIL & GAS PRODUCTION (1.0%)
4,861 Anadarko Petroleum Corp. 242,564
6,280 Apache Corp. 241,654
408 Berry Petroleum Co.
(Class A) 7,862
750 Brown (Tom), Inc.* 23,325
3,849 Burlington Resources, Inc. 210,694
790 Cabot Oil & Gas Corp. 24,095
4,455 Chesapeake Energy Corp. 55,509
625 Comstock Resources Inc.* 10,925
1,316 Denbury Resources Inc.* 18,740
4,506 Devon Energy Corp. 254,409
909 Encore Acquisition Co.* 23,107
626 Energy Partners, Ltd.* 8,582
2,230 EOG Resources, Inc. 101,019
964 Evergreen Resources, Inc.* 31,176
1,042 Forest Oil Corp.* $ 25,894
801 Houston Exploration Co.
(The)* 28,956
805 Kcs Energy Inc* 8,042
1,954 Kerr-McGee Corp. 95,199
1,313 Magnum Hunter
Resources, Inc.* 11,476
1,085 Newfield Exploration Co.* 51,201
1,100 Noble Energy, Inc. 48,620
378 Nuevo Energy Co.* 9,998
7,462 Occidental Petroleum Corp. 328,701
661 Patina Oil & Gas Corp. 28,985
175 Penn Virginia Corp. 9,662
2,287 Pioneer Natural
Resources Co.* 73,001
790 Plains Exploration &
Production Co.* 12,142
1,275 Pogo Producing Co. 50,873
350 Quicksilver Resources Inc.* 11,984
1,093 Range Resources Corp. 11,258
523 Remington Oil & Gas Corp.* 9,864
844 Southwestern Energy Co.* 17,429
646 Spinnaker Exploration Co.* 21,977
681 St. Mary Land &
Exploration Co. 19,545
559 Stone Energy Corp.* 23,545
535 Swift Energy Co.* 8,924
1,441 Ultra Petroleum Corp.
(Canada)* 35,103
940 Unit Corp.* 23,340
5,017 Unocal Corp. 184,726
1,388 Vintage Petroleum, Inc. 17,378
1,304 Westport Resources Corp.* 38,064
3,571 XTO Energy Inc. 93,667
---------------
2,553,215
---------------
OIL REFINING/MARKETING (0.2%)
1,333 Ashland, Inc. 61,731
510 Frontier Oil Corp. 9,073
303 Holly Corp. 8,454
6,011 Marathon Oil Corp. 195,237
1,251 Premcor Inc.* 37,880
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
26
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
1,502 Sunoco, Inc. $ 83,286
1,262 Tesoro Petroleum Corp.* 19,182
2,365 Valero Energy Corp. 125,156
---------------
539,999
---------------
OILFIELD SERVICES/
EQUIPMENT (0.8%)
6,488 Baker Hughes Inc. 227,599
3,067 BJ Services Co.* 120,042
859 Cal Dive International, Inc.* 19,740
493 Carbo Ceramics, Inc. 26,597
1,046 Cooper Cameron Corp.* 43,618
1,283 FMC Technologies, Inc.* 31,575
2,148 Global Industries Ltd.* 10,933
2,452 Grant Prideco, Inc.* 33,347
8,488 Halliburton Co. 255,913
1,370 Hanover Compressor Co.* 17,084
484 Hydril Co.* 12,071
3,095 Key Energy Services, Inc.* 34,602
624 Lone Star Technologies, Inc.* 10,259
819 Maverick Tube Corp.* 14,873
1,283 McDermott
International, Inc.* 13,664
1,674 National-Oilwell, Inc.* 43,039
545 Oceaneering
International, Inc.* 16,977
440 Offshore Logistics, Inc.* 9,394
1,262 Oil States International Inc.* 19,271
676 Overseas Shipholding
Group, Inc. 23,809
11,375 Schlumberger Ltd.
(Netherlands; Antilles) 695,923
366 SEACOR Holdings, Inc.* 15,130
1,940 Smith International, Inc.* 94,012
1,730 Superior Energy
Services, Inc.* 16,695
1,174 Tidewater, Inc. 37,627
760 Universal Compression
Holdings, Inc.* 23,309
262 Valero L.P. 13,166
1,891 Varco International, Inc.* 41,035
652 Veritas DGC Inc.* 8,280
2,521 Weatherford International Ltd.
(Bermuda)* $ 101,647
589 W-H Energy Services Inc.* 9,324
---------------
2,040,555
---------------
OTHER CONSUMER
SERVICES (0.9%)
778 Alderwoods Group, Inc.* 7,784
3,466 Apollo Group, Inc. (Class A)* 257,385
724 Autobytel.com, Inc.* 8,970
3,454 Block (H.&R.), Inc. 200,090
1,850 Career Education Corp.* 93,166
19,632 Cendant Corp.* 444,665
705 Central Parking Corp. 14,100
918 Corinthian Colleges, Inc.* 57,182
1,357 DeVry, Inc.* 40,208
12,536 eBay Inc.* 840,288
1,234 Education Management
Corp.* 41,425
631 HealthExtras, Inc.* 6,512
2,340 Homestore.com, Inc.* 10,109
839 ITT Educational
Services, Inc.* 46,455
339 Pre-Paid Legal
Services, Inc.* 7,726
785 Priceline.com Inc.* 15,001
807 Renaissance Learning, Inc. 23,871
881 Rollins, Inc. 22,289
6,015 Service Corp. International* 41,323
5,760 ServiceMaster Co. (The) 62,496
1,202 Sotheby's Holdings, Inc.
(Class A)* 16,852
2,045 Stewart Enterprises, Inc.
(Class A)* 13,068
199 Strayer Education, Inc. 22,467
2,154 Weight Watchers
International, Inc.* 81,960
---------------
2,375,392
---------------
OTHER CONSUMER
SPECIALTIES (0.1%)
2,826 Fortune Brands, Inc. 198,244
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
27
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
1,049 Fossil, Inc.* $ 30,431
690 Matthews International Corp.
(Class A) 20,700
335 RC2 Corp.* 8,224
449 Russ Berrie & Co., Inc. 14,202
---------------
271,801
---------------
OTHER METALS/MINERALS (0.1%)
2,143 Hecla Mining Co.* 16,073
1,293 Olin Corp. 24,658
1,738 Phelps Dodge Corp.* 131,514
1,974 USEC Inc. 16,345
---------------
188,590
---------------
PACKAGED SOFTWARE (3.6%)
4,534 Adobe Systems, Inc. 174,378
480 Altiris, Inc.* 17,352
294 ANSYS, Inc.* 11,157
1,151 Ascential Software Corp.* 27,854
1,064 Aspect
Communications Corp.* 18,567
2,162 Autodesk, Inc. 55,239
4,384 BMC Software, Inc.* 87,242
11,220 Computer Associates
International, Inc. 293,291
7,827 Compuware Corp.* 62,851
1,439 E.piphany, Inc.* 12,275
934 Fair Isaac Corp. 55,452
1,052 FileNET Corp.* 30,824
873 Hyperion Solutions Corp.* 30,005
754 Inet Technologies, Inc.* 11,257
2,274 Informatica Corp.* 22,490
3,846 Intuit Inc.* 193,915
1,378 Macromedia, Inc.* 24,873
1,144 Macrovision Corp.* 27,685
745 Magma Design
Automation, Inc.* 21,344
611 Manhattan Associates, Inc.* 17,169
1,371 Manugistics Group, Inc.* 11,023
1,800 Mercury Interactive Corp.* 84,492
1,928 Micromuse Inc.* 15,501
209,502 Microsoft Corp. 5,792,730
1,315 NetIQ Corp.* 17,529
2,996 Network Associates, Inc.* $ 51,981
7,235 Novell, Inc.* 91,885
101,271 Oracle Corp.* 1,398,553
191 PalmSource, Inc.* 3,534
6,243 Parametric
Technology Corp.* 26,158
2,161 Quest Software, Inc.* 36,348
3,343 Red Hat, Inc.* 63,617
1,053 Retek, Inc.* 10,119
1,029 Serena Software, Inc.* 23,811
1,844 Sybase, Inc.* 39,867
6,026 Symantec Corp.* 233,809
4,122 TIBCO Software, Inc.* 32,399
696 Transaction Systems
Architects, Inc. (Class A)* 15,618
820 Ulticom, Inc.* 9,102
8,248 VERITAS Software Corp.* 271,029
831 Verity, Inc.* 13,288
---------------
9,437,613
---------------
PERSONNEL SERVICES (0.1%)
739 AMN Healthcare
Services, Inc.* 14,189
380 CDI Corp. 12,373
485 Gentiva Health
Services, Inc.* 6,058
805 Kelly Services, Inc. (Class A) 23,426
732 Korn/Ferry International* 9,370
785 Labor Ready, Inc.* 10,323
1,510 Manpower, Inc. 70,034
2,185 Monster Worldwide Inc.* 53,489
2,551 MPS Group, Inc.* 26,148
438 Resources Connection Inc.* 15,006
3,318 Robert Half
International, Inc.* 77,940
1,163 Spherion Corp.* 11,293
942 Watson Wyatt & Co. Holdings
(Class A)* 21,525
---------------
351,174
---------------
PHARMACEUTICALS:
GENERIC DRUGS (0.2%)
1,113 Alpharma Inc. (Class A) 24,174
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
28
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
1,264 Barr Laboratories, Inc.* $ 95,167
858 Eon Labs, Inc.* 49,018
1,026 Impax Laboratories, Inc.* 19,391
3,806 IVAX Corp.* 95,150
5,209 Mylan Laboratories, Inc. 127,048
706 Pharmaceutical
Resources, Inc.* 43,779
1,652 Valeant Pharmaceuticals
International 38,789
2,117 Watson
Pharmaceuticals, Inc.* 98,462
---------------
590,978
---------------
PHARMACEUTICALS: MAJOR (6.0%)
30,291 Abbott Laboratories 1,304,936
37,576 Bristol-Myers Squibb Co. 1,054,007
57,511 Johnson & Johnson 3,072,238
21,757 Lilly (Eli) & Co. 1,480,346
43,111 Merck & Co. Inc. 2,052,084
147,868 Pfizer Inc. 5,416,405
28,471 Schering-Plough Corp. 499,381
25,805 Wyeth 1,056,715
---------------
15,936,112
---------------
PHARMACEUTICALS: OTHER (0.4%)
2,554 Allergan, Inc. 211,599
713 AtheroGenics, Inc.* 14,866
662 Cell Therapeutics, Inc.* 6,428
283 Cima Labs, Inc.* 9,373
767 Columbia Laboratories, Inc.* 5,484
730 Connetics Corp.* 16,067
2,636 Endo Pharmaceuticals
Holdings, Inc.* 57,017
656 Esperion Therapeutics, Inc.* 22,671
680 First Horizon
Pharmaceutical Corp.* 10,880
7,084 Forest Laboratories, Inc.* 527,687
620 Inspire Pharmaceuticals, Inc.* 8,072
516 Inveresk Research
Group Inc.* 12,209
330 Inverness Medical
Innovations, Inc.* 7,623
4,761 King Pharmaceuticals, Inc.* 79,413
419 Kos Pharmaceuticals, Inc.* 21,373
1,056 Medicis Pharmaceutical Corp.
(Class A) $ 38,396
1,732 Perrigo Co. 28,872
554 POZEN Inc.* 8,277
421 Salix Pharmaceuticals, Ltd.* 9,611
1,764 Sepracor, Inc.* 47,716
437 Teva Pharmaceutical
Industries Ltd.
(ADR) (Israel) 27,379
414 United Therapeutics Corp.* 8,632
---------------
1,179,645
---------------
PRECIOUS METALS (0.2%)
4,027 Coeur D'Alene Mines Corp.* 21,947
3,288 Freeport-McMoRan Copper &
Gold, Inc. (Class B) 121,196
2,496 Glamis Gold Ltd. (Canada)* 37,440
1,933 Meridian Gold Inc. (Canada)* 25,129
7,967 Newmont Mining Corp. 331,905
1,752 Stillwater Mining Co.* 20,078
---------------
557,695
---------------
PROPERTY - CASUALTY
INSURERS (1.8%)
2,307 21st Century
Insurance Group 33,105
1,715 Alfa Corp. 23,101
146 Alleghany Corp.* 34,018
1,044 Allmerica Financial Corp.* 36,206
13,632 Allstate Corp. (The) 619,711
1,153 American Financial
Group, Inc. 32,999
681 Arch Capital Group Ltd.
(Bermuda)* 29,869
1,710 Berkley (W.R.) Corp. 65,852
22 Berkshire Hathaway,
Inc. (Class A)* 1,968,780
3,660 Chubb Corp. (The) 261,653
3,195 Cincinnati Financial Corp. 138,407
667 Commerce Group, Inc. (The) 28,194
1,242 Erie Indemnity Co. (Class A) 53,530
617 Harleysville Group, Inc. 12,556
400 Infinity Property &
Casualty Corp. 14,576
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
29
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
1,054 Mercury General Corp. $ 50,265
344 Midland Co. (The) 8,376
1,421 Odyssey Re Holdings Corp. 33,109
990 Ohio Casualty Corp.* 17,672
3,573 Old Republic
International Corp. 92,434
413 Philadelphia Consolidated
Holding Corp.* 20,572
612 PMA Capital Corp. (Class A) 3,182
4,185 Progressive Corp. (The) 345,890
489 RLI Corp. 19,873
661 Selective Insurance
Group, Inc. 23,399
4,332 St. Paul Companies,
Inc. (The) 182,507
767 State Auto Financial Corp. 18,999
1,017 Transatlantic Holdings, Inc. 84,513
19,469 Travelers Property
Casualty Corp. (Class B) 352,389
174 White Mountains Insurance
Group, Ltd. (Bermuda) 78,909
---------------
4,684,646
---------------
PUBLISHING: BOOKS/
MAGAZINES (0.1%)
407 Information Holdings Inc.* 9,251
1,218 John Wiley & Sons, Inc.
(Class A) 32,582
1,037 Meredith Corp. 52,275
5,580 PRIMEDIA Inc.* 15,680
2,367 Reader's Digest Assoc., Inc.
(The) (Class A) 32,807
754 Scholastic Corp.* 24,203
---------------
166,798
---------------
PUBLISHING: NEWSPAPERS (0.6%)
2,217 Belo Corp. (Series A) 61,078
1,580 Dow Jones & Co., Inc. 78,178
5,247 Gannett Co., Inc. 449,720
1,689 Hollinger International, Inc.
(Class A) 27,463
1,399 Journal Register Co.* 29,533
1,548 Knight-Ridder, Inc. 119,072
864 Lee Enterprises, Inc. $ 39,061
900 McClatchy Co. (The) (Class A) 63,882
581 Media General, Inc. (Class A) 37,358
2,886 New York Times Co. (The)
(Class A) 140,260
187 Pulitzer Inc. 9,948
1,570 Scripps (E.W.) Co. (Class A) 149,323
6,050 Tribune Co. 309,700
186 Washington Post Co. (The)
(Class B) 157,265
---------------
1,671,841
---------------
PULP & PAPER (0.3%)
1,081 Bowater, Inc. 48,375
4,936 Georgia-Pacific Corp. 138,702
1,110 Glatfelter (P.H.) Co. 13,320
9,362 International Paper Co. 395,732
997 Longview Fibre Co. 12,792
3,912 MeadWestvaco Corp. 105,507
560 Potlatch Corp. 20,888
288 Schweitzer-Mauduit
International, Inc. 9,187
1,156 Wausau-Mosinee Paper Corp. 14,693
---------------
759,196
---------------
RAILROADS (0.3%)
7,270 Burlington Northern
Santa Fe Corp. 233,585
4,177 CSX Corp. 131,826
827 Florida East Coast
Industries, Inc. 27,374
1,705 Kansas City Southern
Industries, Inc.* 25,132
7,618 Norfolk Southern Corp. 169,881
622 RailAmerica, Inc.* 7,277
4,971 Union Pacific Corp. 320,132
---------------
915,207
---------------
REAL ESTATE
DEVELOPMENT (0.1%)
968 Forest City Enterprise,
Inc. (Class A) 50,336
420 Getty Realty Corp. 11,206
614 Jones Lang LaSalle, Inc.* 13,048
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
30
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
627 LNR Property Corp. $ 31,281
1,487 St. Joe Co. (The) 58,737
283 Tejon Ranch Co.* 11,348
716 Trammell Crow Co.* 9,881
1,134 W.P. Carey & Co., LLC 34,133
---------------
219,970
---------------
REAL ESTATE INVESTMENT
TRUSTS (1.7%)
532 Acadia Reality Trust 7,129
98 Alexander's, Inc.* 14,210
373 Alexandria Real Estate
Equities, Inc. 23,070
1,594 AMB Property Corp. 55,710
1,092 American Financial
Reality Trust 19,787
372 Amli Residential
Properties Trust 9,784
1,757 Annaly Mortgage
Management Inc. 34,472
1,387 Anthracite Capital, Inc. 15,063
657 Anworth Mortgage
Asset Corp. 9,152
1,837 Apartment Investment &
Management Co. (Class A) 64,626
3,838 Archstone-Smith Trust 105,276
1,245 Arden Realty, Inc. 38,595
1,379 Avalonbay Communities, Inc. 67,709
323 Bedford Property
Investors, Inc. 9,512
1,897 Boston Properties, Inc. 94,907
905 Brandywine Realty Trust 25,032
962 BRE Properties, Inc. (Class A) 31,804
743 Burnham Pacific
Properties, Inc.* 349
768 Camden Property Trust 33,408
1,000 Capital Automotive REIT 35,290
1,018 CarrAmerica Realty Corp. 32,342
1,780 Catellus Development Corp. 46,565
589 CBL & Associates
Properties, Inc. 35,605
448 CenterPoint Properties Corp. 35,885
846 Chelsea Property Group, Inc. $ 46,970
787 Colonial Properties Trust 31,637
1,493 Commercial Net Lease Realty 27,322
1,069 Cornerstone Realty
Income Trust, Inc. 9,920
574 Corporate Office
Properties Trust 12,691
596 Corrections Corporation of
America* 16,938
947 Cousins Properties, Inc. 29,073
1,923 Crescent Real Estate
Equities Co. 34,614
1,674 Developers Diversified
Realty Corp. 57,552
2,649 Duke Realty Corp. 87,073
358 EastGroup Properties, Inc. 12,441
393 Entertainment
Properties Trust 13,912
828 Equity Inns, Inc. 7,825
7,761 Equity Office
Properties Trust 230,114
1,877 Equity One, Inc. 34,161
5,325 Equity Residential 154,958
509 Essex Property Trust, Inc. 31,634
953 Federal Realty
Investment Trust 39,349
1,152 FelCor Lodging Trust, Inc.* 13,536
1,118 First Industrial Realty
Trust, Inc. 40,896
2,725 Friedman, Billings,
Ramsey Group, Inc. 64,855
538 Gables Residential Trust 19,422
4,191 General Growth
Properties, Inc. 125,730
856 Glenborough Realty Trust Inc. 16,615
862 Glimcher Realty Trust 21,714
1,237 Health Care Property
Investors, Inc. 69,557
827 Health Care REIT, Inc. 32,005
835 Healthcare Realty Trust, Inc. 34,277
816 Heritage Property
Investment Trust 23,786
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
31
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
1,036 Highwoods Properties, Inc. $ 28,283
565 Home Properties of
New York, Inc. 22,628
1,213 Hospitality
Properties Trust 50,764
5,877 Host Marriott Corp.* 74,462
3,496 HRPT Properties Trust 37,058
1,135 Impac Mortgage
Holdings, Inc. 22,814
722 Investors Real Estate Trust 7,545
1,962 iStar Financial Inc. 78,519
426 Keystone Property Trust 10,041
859 Kilroy Realty Corp. 28,132
2,139 Kimco Realty Corp. 98,672
416 Koger Equity, Inc. 9,622
468 Kramont Reality Trust 8,705
686 Lexington Corporate
Properties Trust 14,475
1,547 Liberty Property Trust 59,683
933 Macerich Co. (The) 44,905
1,129 Mack-Cali Realty Corp. 45,804
833 Maguire Properties, Inc. 20,242
437 Manufactured Home
Communities, Inc. 14,683
1,189 MeriStar Hospitality Corp.* 8,228
381 Mid-America Apartment
Communities, Inc. 13,148
933 Mills Corp. 43,888
522 National Health Investors, Inc. 13,546
1,683 Nationwide Health
Properties, Inc. 36,689
1,893 New Plan Excel Realty Trust 47,723
496 Novastar Financial, Inc. 24,364
784 Pan Pacific Retail
Properties, Inc. 40,070
202 Parkway Properties, Inc. 9,494
680 Pennsylvania Real Estate
Investment Trust 25,405
3,572 Plum Creek Timber Co., Inc. 107,874
1,062 Post Properties, Inc. 29,683
1,172 Prentiss Properties Trust 39,262
3,503 ProLogis Trust 114,338
417 PS Business Parks,
Inc. (Class A) $ 18,056
2,460 Public Storage, Inc. 116,875
486 RAIT Investment Trust 12,796
970 Rayonier Inc. 38,315
684 Realty Income Corp. 28,242
1,321 Reckson Associates
Realty Corp. 33,752
507 Redwood Trust, Inc. 27,900
1,161 Regency Center Corp. 48,414
1,722 Rouse Co. (The) 84,791
307 Saul Centers, Inc. 8,449
1,240 Senior Housing
Properties Trust 22,419
878 Shurgard Storage
Centers, Inc. (Class A) 33,373
3,742 Simon Property Group, Inc. 194,771
668 SL Green Realty Corp. 28,704
261 Sovran Self Storage, Inc. 9,735
721 Summit Properties Inc. 16,641
359 Sun Communities, Inc. 14,130
202 Tanger Factory Outlet
Centers, Inc. 8,464
1,271 Taubman Centers, Inc. 29,525
1,397 Thornburg Mortgage, Inc. 40,345
320 Town & Country Trust 8,160
2,936 Trizec Properties, Inc. 46,653
2,344 United Dominion Realty
Trust, Inc. 43,364
1,550 Ventas, Inc. 38,750
2,231 Vornado Realty Trust 124,824
910 Washington Real Estate
Investment Trust 26,663
1,018 Weingarten Realty Investors 48,355
---------------
4,569,074
---------------
RECREATIONAL PRODUCTS (0.3%)
349 Action Performance
Companies, Inc. 6,006
1,718 Activision, Inc.* 32,316
426 Arctic Cat, Inc. 10,820
2,358 Atari, Inc.* 7,970
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
32
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
1,860 Brunswick Corp. $ 64,821
1,831 Callaway Golf Co. 32,793
5,772 Electronic Arts Inc.* 270,476
3,381 Hasbro, Inc. 66,775
529 K2 Inc.* 9,506
594 Leapfrog Enterprises, Inc.
(Class A)* 16,579
1,400 Marvel Enterprises, Inc.* 45,122
8,329 Mattel, Inc. 157,501
567 Monaco Coach Corp.* 12,616
422 Polaris Industries Inc. 34,992
1,174 Scientific Games Corp.
(Class A)* 17,598
859 Take-Two Interactive
Software, Inc.* 24,911
1,192 Thor Industries, Inc. 35,760
834 THQ, Inc.* 13,928
396 Winnebago Industries, Inc. 27,625
584 WMS Industries, Inc.* 16,965
---------------
905,080
---------------
REGIONAL BANKS (2.4%)
412 1st Source Corp. 8,652
306 Alabama National
BanCorporation 16,301
950 Amcore Financial, Inc. 26,410
6,802 AmSouth Bancorporation 168,009
1,420 Associated Banc-Corp. 61,330
152 BancFirst Corp. 8,500
1,511 BancorpSouth, Inc. 33,862
1,084 Bank of Hawaii Corp. 47,468
3,173 Banknorth Group, Inc. 102,171
1,106 BOK Financial Corp.* 43,543
444 Boston Private Financial
Holdings, Inc. 11,446
258 Capital City Bank Group, Inc. 11,032
356 Cathay Bancorp, Inc. 19,608
313 Central Pacific
Financial Corp. 8,529
4,314 Charter One Financial, Inc. 156,210
483 Chemical Financial Corp. 16,726
854 Chittenden Corp. 27,883
1,247 Citizens Banking Corp. $ 41,538
325 City Holding Co. 11,265
949 City National Corp. 57,433
2,411 Colonial BancGroup,
Inc. (The) 40,649
1,446 Commerce Bancorp, Inc. 84,663
1,349 Commerce Bancshares, Inc. 65,993
253 Community Bank
System, Inc. 12,055
1,027 Community First
Bankshares, Inc. 28,510
2,359 Compass Bancshares, Inc. 92,992
724 Corus Bankshares, Inc. 26,223
1,005 Cullen/Frost Bankers, Inc. 40,632
1,373 CVB Financial Corp. 27,721
532 East West Bancorp, Inc. 27,824
902 F.N.B Corp. 18,626
11,085 Fifth Third Bancorp 640,602
775 First Bancorp (Puerto Rico) 31,357
1,027 First Charter Corp. 20,540
303 First Citizens
BancShares, Inc. (Class A) 35,760
1,523 First Commonwealth
Financial Corp. 21,901
309 First Community Bancorp 11,961
1,503 First Financial Bancorp 24,980
302 First Financial
Bankshares, Inc. 12,123
264 First Financial Corp. 7,775
361 First Merchants Corp. 9,025
909 First Midwest Bancorp, Inc. 30,042
902 First National
Bankshares of Florida 15,605
284 First Republic Bank 10,877
2,432 First Tennessee
National Corp. 108,029
1,679 FirstMerit Corp. 43,587
1,013 Flagstar Bancorp 23,481
563 Frontier Financial Corp. 19,103
2,136 Fulton Financial Corp. 46,287
377 Glacier Bancorp, Inc. 11,612
760 Gold Banc Corp., Inc. 10,473
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
33
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
1,019 Greater Bay Bancorp $ 27,737
297 Hancock Holding Co. 17,078
465 Harleysville National Corp. 14,117
3,047 Hibernia Corp. (Class A) 69,106
868 Hudson United Bancorp 32,932
285 Independent Bank
Corp. - Massachusetts 8,807
750 International
Bancshares Corp. 37,493
661 Irwin Financial Corp. 21,978
2,326 M&T Bank Corp. 209,270
369 Main Street Banks, Inc. 9,594
4,387 Marshall & Ilsley Corp. 168,154
1,627 Mercantile Bankshares Corp. 71,084
457 Mid-State Bancshares 11,137
348 Midwest Banc Holdings, Inc. 8,456
3,972 National Commerce
Financial Corp. 112,725
772 National Penn
Bancshares, Inc. 25,013
894 NBT Bancorp, Inc. 19,552
2,939 North Fork
Bancorporation, Inc. 123,879
4,270 Northern Trust Corp. 202,825
1,299 Old National Bancorp 27,772
379 Oriental Financial Group, Inc. 9,665
660 Pacific Capital Bancorp 24,044
267 Park National Corp. 29,773
370 Prosperity Bancshares, Inc. 8,751
787 Provident Bankshares Corp. 24,192
947 Provident Financial
Group, Inc. 32,283
1,034 R&G Financial Corp.
(Class B) (Puerto Rico) 30,282
4,305 Regions Financial Corp. 161,438
1,568 Republic Bancorp Inc. 21,215
558 Riggs National Corp. 8,565
818 S & T Bancorp, Inc. 24,745
283 Sandy Spring Bancorp, Inc. 10,117
968 Santander Bancorp
(Puerto Rico) 26,572
512 Seacoast Financial
Services Corp. $ 17,695
865 Silicon Valley Bancshares* 29,912
1,763 Sky Financial Group, Inc. 47,901
1,143 South Financial
Group, Inc. (The) 33,936
735 Southwest Bancorporation of
Texas, Inc. 27,614
291 Sterling Bancorp 8,817
863 Sterling Bancshares, Inc. 10,770
331 Sterling Financial Corp. 9,599
215 Suffolk Bancorp 7,411
776 Susquehanna
Bancshares, Inc. 19,625
5,847 Synovus Financial Corp. 146,760
1,375 TCF Financial Corp. 68,833
689 Texas Regional
Bancshares, Inc. (Class A) 26,485
448 Trust Co. of New Jersey (The) 18,847
2,142 Trustco Bank Corp. of
New York 28,896
1,133 Trustmark Corp. 33,582
37,371 U.S. Bancorp 1,056,478
974 UCBH Holdings, Inc. 38,824
572 UMB Financial Corp. 28,057
704 Umpqua Holdings Corp. 14,291
3,654 Union Planters Corp. 110,607
1,234 United Bankshares, Inc. 37,168
417 United Community
Banks, Inc. 14,432
422 Unizan Financial Corp. 10,609
1,831 Valley National Bancorp 52,110
391 WesBanco, Inc. 10,882
639 Westamerica Bancorporation 31,528
857 Whitney Holding Corp. 34,546
1,279 Wilmington Trust Corp. 47,745
364 Wintrust Financial Corp. 17,042
1,741 Zions Bancorporation 102,092
---------------
6,252,369
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
34
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
RESTAURANTS (0.7%)
1,065 Applebee's International, Inc. $ 40,598
942 Bob Evans Farms, Inc. 29,701
1,873 Brinker International, Inc.* 66,211
959 CBRL Group, Inc. 35,991
720 CEC Entertainment, Inc.* 34,330
1,002 Cheesecake
Factory, Inc. (The)* 42,896
1,124 CKE Restaurants, Inc.* 8,509
3,194 Darden Restaurants, Inc. 63,880
619 IHOP Corp. 21,975
1,003 Jack in the Box Inc.* 24,072
1,124 Krispy Kreme
Doughnuts, Inc.* 40,059
558 Landry's Restaurants, Inc. 15,462
405 Lone Star Steakhouse &
Saloon, Inc. 10,453
24,591 McDonald's Corp. 632,972
1,450 Outback Steakhouse, Inc. 64,293
570 P.F. Chang's China
Bistro, Inc.* 26,391
604 Panera Bread Co. (Class A)* 24,613
350 Papa John's
International, Inc.* 11,918
798 RARE Hospitality
International, Inc.* 20,612
297 Red Robin Gourmet
Burgers Inc.* 8,245
1,260 Ruby Tuesday, Inc. 35,204
1,231 Ryan's Family Steak
Houses, Inc.* 20,225
694 Sonic Corp.* 22,791
7,578 Starbucks Corp.* 278,567
528 The Steak n Shake Co.* 10,549
934 Triarc Co., Inc. (Class A) 10,881
1,868 Triarc Companies, Inc.
(Class B) 21,669
2,301 Wendy's International, Inc. 91,419
5,699 Yum! Brands, Inc.* 193,253
---------------
1,907,739
---------------
SAVINGS BANKS (0.9%)
728 Anchor Bancorp
Wisconsin, Inc. $ 19,219
1,538 Astoria Financial Corp. 60,705
2,535 Bank Mutual Corp. 27,809
1,164 BankAtlantic Bancorp,
Inc. (Class A) 19,206
578 BankUnited Financial Corp.* 15,959
1,492 Brookline Bancorp, Inc. 23,693
1,422 Capitol Federal Financial 54,392
580 Charter Financial Corp. 23,177
987 Commercial Federal Corp. 27,379
214 Connecticut Bancshares, Inc. 11,077
552 Dime Community Bancshares 16,808
600 Downey Financial Corp. 30,858
293 Fidelity Bankshares, Inc. 10,542
151 First Essex Bamcorp, Inc. 8,723
386 First Federal Capital Corp. 8,226
1,577 First Niagara Financial
Group, Inc. 23,229
540 First Sentinel Bancorp, Inc. 11,480
339 Firstfed America
Bancorp, Inc. 9,390
446 Firstfed Financial Corp.* 19,071
2,944 Golden West Financial Corp. 305,381
2,584 GreenPoint Financial Corp. 102,275
513 Harbor Florida
Bancshares, Inc. 14,749
3,712 Hudson City Bancorp, Inc. 146,438
592 Hudson River Bancorp, Inc. 12,278
1,161 Independence Community
Bank Corp. 44,873
480 MAF Bancorp, Inc. 20,664
739 MB Financial, Inc. 27,432
984 Net.B@nk, Inc. 11,218
3,730 New York Community
Bancorp, Inc. 153,863
1,139 Northwest Bancorp, Inc. 25,605
1,199 People's Bank 45,454
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
35
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
323 PFF Bancorp, Inc. $ 12,258
5,507 Sovereign Bancorp, Inc. 124,513
1,269 Staten Island Bancorp, Inc. 29,847
289 Sterling Financial Corp.* 10,965
665 United Community
Financial Corp. 8,080
2,050 W. Holding Co., Inc.
(Puerto Rico) 40,283
1,351 Washington Federal, Inc. 37,828
17,426 Washington Mutual, Inc. 771,972
658 Waypoint Financial Corp. 15,252
884 Webster Financial Corp. 44,509
836 Westcorp 33,440
---------------
2,460,120
---------------
SEMICONDUCTORS (3.2%)
487 Actel Corp.* 12,472
6,754 Advanced Micro
Devices, Inc.* 100,364
32,357 Agere Systems
Inc. (Class A)* 124,574
7,466 Altera Corp.* 167,164
584 Amis Holdings, Inc.* 11,324
7,132 Analog Devices, Inc. 341,266
5,948 Applied Micro Circuits Corp.* 43,242
9,135 Atmel Corp.* 64,493
5,735 Broadcom Corp. (Class A)* 232,784
1,650 Cirrus Logic, Inc.* 12,293
5,378 Conexant Systems, Inc.* 35,871
2,310 Cypress
Semiconductor Corp.* 48,972
964 DSP Group, Inc.* 25,507
755 ESS Technology, Inc.* 12,495
788 Exar Corp.* 15,933
2,290 Fairchild Semiconductor
Corp. (Class A)* 56,105
617 Genesis Microchip, Inc.* 12,124
3,316 GlobespanVirata, Inc.* 26,362
1,398 Integrated Circuit
Systems, Inc.* 35,999
2,031 Integrated Device
Technology, Inc.* 37,005
546 Integrated Silicon
Solution, Inc.* $ 8,829
126,651 Intel Corp. 3,875,521
1,253 International Rectifier Corp.* 63,402
2,692 Intersil Corp. (Class A) 70,638
3,152 Lattice
Semiconductor Corp.* 33,821
6,111 Linear Technology Corp. 244,440
7,345 LSI Logic Corp.* 75,580
6,339 Maxim Integrated
Products, Inc. 324,240
2,555 Micrel, Inc.* 43,307
4,019 Microchip Technology Inc. 115,747
11,831 Micron Technology, Inc.* 190,597
566 Microsemi Corp.* 17,235
2,122 Mindspeed Technologies Inc.* 20,562
3,589 National
Semiconductor Corp.* 137,997
3,142 NVIDIA Corp.* 69,910
4,212 ON Semiconductor Corp.* 29,484
871 Pixelworks, Inc.* 14,154
840 Power Integrations, Inc.* 24,856
1,897 Rambus Inc.* 59,243
3,599 RF Micro Devices, Inc.* 34,262
1,430 Semtech Corp.* 35,650
655 Sigmatel Corp.* 16,375
1,378 Silicon Image, Inc.* 13,987
964 Silicon Laboratories Inc.* 49,424
1,853 Silicon Storage
Technology, Inc.* 22,292
847 Siliconix, Inc.* 41,215
3,371 Skyworks Solutions, Inc.* 36,036
328 Standard Microsystems
Corp.* 10,653
33,533 Texas Instruments Inc. 1,051,260
2,740 Transmeta Corp.* 10,412
4,484 TriQuint Semiconductor, Inc.* 38,428
5,650 Vitesse
Semiconductor Corp.* 46,613
6,655 Xilinx, Inc.* 278,911
793 Zoran Corp.* 15,210
---------------
8,536,640
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
36
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
SERVICES TO THE
HEALTH INDUSTRY (0.5%)
543 aaiPharma Inc.* $ 15,448
912 Accredo Health, Inc.* 30,917
1,874 AdvancePCS* 106,987
262 Advisory Board Co. (The)* 10,265
621 Albany Molecular
Research, Inc.* 9,352
696 Cerner Corp.* 27,283
1,141 Covance, Inc.* 32,667
789 Dendrite International, Inc.* 13,405
890 Eclipsys Corp.* 12,700
643 eResearch Technology, Inc.* 21,541
1,539 Express Scripts, Inc.
(Class A)* 106,453
574 IDX Systems Corp.* 16,812
4,640 IMS Health Inc. 119,387
2,773 Laboratory Corp. of
America Holdings* 118,407
5,354 Medco Health Solutions Inc.* 197,295
1,067 MedQuist Inc.* 18,416
681 NDC Health Corp. 19,218
825 Odyssey Healthcare, Inc.* 24,387
1,857 Omnicare, Inc. 81,764
501 PAREXEL International Corp.* 8,642
593 Per-Se Technologies, Inc.* 9,411
1,144 Pharmaceutical Product
Development, Inc.* 33,748
1,982 Quest Diagnostics Inc. 168,470
804 Stericycle, Inc.* 35,537
306 VistaCare, Inc. (Class A)* 9,731
5,947 WebMD Corp.* 53,523
---------------
1,301,766
---------------
SPECIALTY INSURANCE (0.3%)
2,084 Ambac Financial Group, Inc. 155,821
839 CNA Surety Corp.* 8,507
2,628 Fidelity National
Financial, Inc. 108,300
1,515 First American Corp. 45,541
318 LandAmerica Financial
Group, Inc. 17,350
191 Markel Corp.* 51,835
2,774 MBIA Inc. 174,762
1,949 MGIC Investment Corp. $ 134,364
1,811 PMI Group, Inc. (The) 69,941
919 Proassurance Corp.* 29,913
1,762 Radian Group, Inc. 82,039
349 Stewart Information
Services Corp. 16,316
279 Triad Guaranty, Inc.* 14,480
---------------
909,169
---------------
SPECIALTY STORES (0.8%)
376 Ac Moore Arts & Crafts, Inc.* 8,456
1,394 Advance Auto Parts, Inc.* 54,254
633 Asbury Automotive
Group Inc.* 11,046
5,330 AutoNation, Inc.* 87,305
1,747 AutoZone, Inc.* 147,307
1,307 Barnes & Noble, Inc.* 44,242
5,737 Bed Bath & Beyond Inc.* 232,980
1,137 Boise Cascade Corp. 36,896
685 Bombay Co., Inc. (The)* 5,158
1,500 Borders Group, Inc. 32,955
2,008 CarMax Inc.* 66,967
351 Central Garden & Pet Co.* 11,888
2,004 Claire's Stores, Inc. 36,673
445 Cost Plus, Inc.* 19,304
1,037 CSK Auto Corp.* 20,232
311 Dick's Sporting Goods, Inc.* 15,472
495 Group 1 Automotive, Inc.* 18,196
530 Guitar Center, Inc.* 18,211
428 Haverty Furniture
Companies, Inc. 9,018
300 Hibbett Sporting
Goods, Inc.* 9,330
450 Jo-Ann Stores, Inc.* 10,593
960 Linens `N Things, Inc.* 27,706
1,347 Michaels Stores, Inc. 60,305
6,239 Office Depot, Inc.* 99,512
1,052 O'Reilly Automotive, Inc.* 40,470
1,052 Pep Boys-Manny Moe & Jack 23,186
283 PETCO Animal Supplies Inc.* 8,974
2,667 PETSMART, Inc. 62,594
1,723 Pier 1 Imports, Inc. 35,752
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
37
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
846 Regis Corp. $ 36,547
1,685 Rent-A-Center, Inc.* 52,521
295 Sharper Image Corp.* 10,667
673 Sonic Automotive, Inc. 15,062
9,451 Staples, Inc.* 251,491
2,841 Tiffany & Co. 112,617
4,136 Toys `R' Us, Inc.* 58,400
678 Tractor Supply Co.* 28,713
838 Tuesday Morning Corp.* 26,489
721 United Auto Group, Inc. 20,433
388 West Marine, Inc.* 10,674
2,262 Williams-Sonoma, Inc.* 72,633
725 Zale Corp.* 39,186
---------------
1,990,415
---------------
SPECIALTY
TELECOMMUNICATIONS (0.3%)
3,878 American Tower Corp.
(Class A)* 42,619
2,794 CenturyTel, Inc. 73,762
5,511 Citizens
Communications Co.* 64,644
579 Commonwealth Telephone
Enterprises, Inc.* 21,301
4,372 Covad Communications
Group, Inc. (c)* 15,346
4,260 Crown Castle
International Corp.* 52,824
1,093 General Communication,
Inc. (Class A)* 9,804
490 IDT Corp.* 10,315
1,686 NTL, Inc.* 111,849
2,908 PanAmSat Corp.* 61,359
1,056 PTEK Holdings, Inc.* 10,243
33,764 Qwest Communications
International, Inc.* 136,407
284 SureWest Communications 9,824
957 Time Warner Telecom Inc.
(Class A)* 10,450
1,874 Verso Technologies, Inc.* 4,142
1,302 West Corp.* 32,810
---------------
667,699
---------------
STEEL (0.1%)
2,110 AK Steel Holding Corp.* $ 10,339
1,585 Allegheny Technologies Inc. 14,899
436 Carpenter Technology Corp. 13,193
1,517 Nucor Corp. 85,422
314 Quanex Corp. 14,042
921 Reliance Steel &
Aluminum Co. 26,709
213 Schnitzer Steel
Industries, Inc. 9,574
1,225 Steel Dynamics, Inc.* 27,318
2,001 United States Steel Corp. 68,134
1,668 Worthington Industries, Inc. 27,238
---------------
296,868
---------------
TELECOMMUNICATION
EQUIPMENT (1.3%)
15,595 ADC
Telecommunications, Inc.* 54,583
1,533 ADTRAN, Inc. 52,766
1,684 Advanced Fibre
Communications, Inc.* 39,759
2,998 Andrew Corp.* 51,386
1,462 Arris Group, Inc.* 13,450
1,030 At Road, Inc.* 13,833
2,492 Avanex Corp.* 16,248
708 C-COR.net Corp.* 11,824
9,454 CIENA Corp.* 68,542
1,822 CommScope, Inc.* 33,944
272 Comtech
Telecommunications Corp.* 8,704
3,888 Comverse Technology, Inc.* 68,429
25,991 Corning Inc.* 335,804
7,904 Corvis Corp.* 19,049
605 Ditech
Communications Corp.* 12,663
1,180 Harmonic, Inc.* 12,414
1,290 Harris Corp. 62,797
1,201 InterDigital
Communications Corp.* 29,208
488 Inter-Tel, Inc. 13,786
668 InterVoice-Brite, Inc.* 8,150
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
38
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
81,229 Lucent Technologies Inc.* $ 363,906
45,103 Motorola, Inc. 747,808
3,099 Oplink Communications, Inc.* 8,274
853 Plantronics, Inc.* 34,163
1,922 Polycom, Inc.* 45,494
1,231 Powerwave
Technologies, Inc.* 12,125
15,441 QUALCOMM Inc. 902,063
1,150 REMEC, Inc.* 11,512
4,721 Sonus Networks, Inc.* 39,987
357 SpectraLink Corp. 6,444
1,620 Stratex Network, Inc.* 8,667
7,073 Sycamore Networks, Inc.* 39,750
1,427 Tekelec* 29,039
8,084 Tellabs, Inc.* 80,032
1,454 Terayon Communication
Systems, Inc.* 6,965
813 Trimble Navigation Ltd.* 30,203
512 ViaSat, Inc.* 11,955
961 Westell Technologies,
Inc. (Class A)* 7,592
---------------
3,313,318
---------------
TEXTILES (0.0%)
939 Albany International Corp.
(Class A) 30,283
---------------
TOBACCO (0.9%)
39,356 Altria Group, Inc. 2,187,800
1,649 R. J. Reynolds Tobacco
Holdings, Inc. 97,390
761 Universal Corp. 37,190
3,214 UST, Inc. 114,772
943 Vector Group Ltd. 16,125
---------------
2,453,277
---------------
TOOLS/HARDWARE (0.1%)
1,506 Black & Decker Corp. (The) 77,183
464 Briggs & Stratton Corp. 30,643
1,129 Snap-On, Inc. 35,168
1,570 Stanley Works (The) 59,472
---------------
202,466
---------------
TRUCKING (0.1%)
580 Arkansas Best Corp. $ 16,431
1,170 Heartland Express, Inc. 25,553
1,636 Hunt (J.B.) Tansport
Services, Inc.* 43,043
803 Knight Transportation, Inc.* 19,786
768 Landstar System, Inc.* 27,809
314 Old Dominion Freight
Line, Inc.* 9,734
543 Overnite Corp. 12,169
1,620 Swift Transportation
Co., Inc.* 32,076
715 USF Corp. 24,467
1,545 Werner Enterprises, Inc. 28,258
575 Yellow Roadway Corp.* 18,083
---------------
257,409
---------------
TRUCKS/CONSTRUCTION/
FARM MACHINERY (0.5%)
1,496 AGCO Corp.* 30,159
6,737 Caterpillar Inc. 526,362
820 Cummins Inc. 41,599
4,650 Deere & Co. 291,090
1,619 Federal Signal Corp. 29,952
840 JLG Industries, Inc. 13,390
1,172 Joy Global Inc. 30,859
710 Manitowoc Co., Inc. 21,215
128 NACCO Industries, Inc.
(Class A) 10,976
1,330 Navistar International Corp.* 63,242
696 OshKosh Truck Corp. 40,563
2,261 PACCAR, Inc. 177,782
558 Stewart & Stevenson
Services, Inc. 7,617
1,048 Terex Corp.* 30,937
664 Toro Co. (The) 31,606
899 Trinity Industries, Inc. 28,858
504 Wabash National Corp.* 13,865
848 Wabtec Corp. 13,797
---------------
1,403,869
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
39
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------------------
WATER UTILITIES (0.0%)
1,791 Aqua America Inc. $ 39,044
331 California Water
Service Group 9,430
---------------
48,474
---------------
WHOLESALE DISTRIBUTORS (0.2%)
370 Applied Industries
Technologies, Inc. 9,135
1,043 Fisher Scientific
International, Inc.* 46,570
3,371 Genuine Parts Co. 111,108
1,783 Grainger (W.W.), Inc. 85,834
485 Handleman Co. 10,626
512 Hughes Supply, Inc. 25,318
331 Imagistics International Inc.* 13,214
939 MSC Industrial Direct
Co., Inc. (Class A) 26,527
366 School Specialty, Inc.* 13,432
1,005 SCP Pool Corp.* 32,210
424 TBC Corp.* 11,448
452 TIMCO Aviation Services, Inc.
(Warrants) (due 02/28/07) 0
732 United Stationers, Inc.* 29,046
788 WESCO International, Inc.* 8,085
---------------
422,553
---------------
WIRELESS
TELECOMMUNICATIONS (0.6%)
52,596 AT&T Wireless Services Inc.* 581,186
1,872 Centennial Communications
Corp. (Class A)* 13,029
2,170 Dobson Communications
Corp. (Class A)* 15,429
21,391 Nextel Communications,
Inc. (Class A)* 564,508
3,538 Nextel Partners, Inc.
(Class A)* 45,746
1,058 Price Communications
Corp.* 15,817
20,149 Sprint Corp. (PCS Group)* 163,811
1,120 Telephone & Data
Systems, Inc. 74,234
1,186 Triton PCS Holdings, Inc.
(Class A)* 7,662
1,675 United States
Cellular Corp.* $ 65,074
1,644 Western Wireless Corp.
(Class A)* 37,253
---------------
1,583,749
---------------
TOTAL COMMON AND
PREFERRED STOCKS, RIGHTS
AND WARRANTS
(COST $245,785,507) 255,399,518
---------------
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS
---------
SHORT-TERM INVESTMENT (3.2%)
REPURCHASE AGREEMENT
$ 8,555 Joint repurchase agreement
account 1.02% due 02/02/04
(dated 01/30/04; proceeds
$8,555,727) (a)
(COST $8,555,000) 8,555,000
---------------
TOTAL INVESTMENTS
(COST $254,340,507) (b) (c) 99.9% 263,954,518
OTHER ASSETS IN EXCESS OF
LIABILITIES 0.1 134,118
----- ---------------
NET ASSETS 100.0% $ 264,088,636
===== ===============
</Table>
- ----------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
** A PORTION OF THIS SECURITY HAS BEEN PHYSICALLY SEGREGATED IN
CONNECTION WITH OPEN FUTURES CONTRACTS IN THE AMOUNT OF $4,035,600.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) SECURITIES HAVE BEEN DESIGNATED AS COLLATERAL IN AN AMOUNT EQUAL TO
$4,493,018 IN CONNECTION WITH OPEN FUTURES CONTRACTS.
(c) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $55,765,037 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $46,151,026, RESULTING IN NET UNREALIZED APPRECIATION
OF $9,614,011.
SEE NOTES TO FINANCIAL STATEMENTS
40
<Page>
FUTURES CONTRACTS OPEN AT JANUARY 31, 2004:
<Table>
<Caption>
NUMBER OF LONG/ DESCRIPTION, DELIVERY MONTH, UNDERLYING FACE UNREALIZED
CONTRACTS SHORT AND YEAR AMOUNT AT VALUE APPRECIATION
- --------------------------------------------------------------------------------------------
55 Long Russell 2000 E-Mini Index March 2004 $ 3,194,950 $ 119,052
97 Long S&P 500 E-Mini Index March 2004 5,480,015 26,929
------------
Total unrealized appreciation $ 145,981
============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
41
<Page>
MORGAN STANLEY TOTAL MARKET INDEX FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 31, 2004 (UNAUDITED)
<Table>
ASSETS:
Investments in securities, at value (cost $254,340,507) $ 263,954,518
Receivable for:
Shares of beneficial interest sold 276,826
Dividends 256,213
Variation margin 2,670
Prepaid expenses and other assets 49,648
--------------
TOTAL ASSETS 264,539,875
--------------
LIABILITIES:
Payable for:
Distribution fee 198,963
Shares of beneficial interest redeemed 161,108
Investment management fee 57,138
Accrued expenses and other payables 34,030
--------------
TOTAL LIABILITIES 451,239
--------------
NET ASSETS $ 264,088,636
==============
COMPOSITION OF NET ASSETS:
Paid-in-capital $ 318,517,832
Net unrealized appreciation 9,759,992
Accumulated undistributed net investment income 164,550
Accumulated net realized loss (64,353,738)
--------------
NET ASSETS $ 264,088,636
==============
CLASS A SHARES:
Net Assets $ 10,832,607
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 1,135,398
NET ASSET VALUE PER SHARE $ 9.54
==============
MAXIMUM OFFERING PRICE PER SHARE,
(NET ASSET VALUE PLUS 5.54% OF NET ASSET VALUE) $ 10.07
==============
CLASS B SHARES:
Net Assets $ 201,908,898
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 21,677,741
NET ASSET VALUE PER SHARE $ 9.31
==============
CLASS C SHARES:
Net Assets $ 29,971,679
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 3,217,588
NET ASSET VALUE PER SHARE $ 9.31
==============
CLASS D SHARES:
Net Assets $ 21,375,452
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 2,224,862
NET ASSET VALUE PER SHARE $ 9.61
==============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
42
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2004 (UNAUDITED)
<Table>
NET INVESTMENT INCOME:
INCOME
Dividends $ 2,041,114
Interest 24,087
-------------
TOTAL INCOME 2,065,201
-------------
EXPENSES
Distribution fee (Class A shares) 15,955
Distribution fee (Class B shares) 959,369
Distribution fee (Class C shares) 134,311
Investment management fee 496,034
Transfer agent fees and expenses 198,301
Shareholder reports and notices 41,817
Registration fees 38,770
Professional fees 25,956
Custodian fees 13,459
Other 5,396
-------------
TOTAL EXPENSES 1,929,368
Less: amounts waived/reimbursed (199,691)
-------------
NET EXPENSES 1,729,677
-------------
NET INVESTMENT INCOME 335,524
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
NET REALIZED GAIN (LOSS) ON:
Investments (685,392)
Futures contracts 570,278
-------------
NET REALIZED LOSS (115,114)
-------------
NET CHANGE IN UNREALIZED APPRECIATION ON:
Investments 34,610,044
Futures contracts 81,561
-------------
NET APPRECIATION 34,691,605
-------------
NET GAIN 34,576,491
-------------
NET INCREASE $ 34,912,015
=============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
43
<Page>
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
JANUARY 31, 2004 JULY 31, 2003
---------------- -------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 335,524 $ 747,216
Net realized loss (115,114) (14,456,988)
Net change in unrealized appreciation 34,691,605 34,518,786
---------------- -------------
NET INCREASE 34,912,015 20,809,014
---------------- -------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Class A shares (96,917) (52,697)
Class B shares (377,254) (194,798)
Class C shares (74,261) (25,335)
Class D shares (191,598) (39,178)
---------------- -------------
TOTAL DIVIDENDS (740,030) (312,008)
---------------- -------------
Net decrease from transactions in shares of beneficial interest (2,710,265) (24,245,533)
---------------- -------------
NET INCREASE (DECREASE) 31,461,720 (3,748,527)
NET ASSETS:
Beginning of period 232,626,916 236,375,443
---------------- -------------
END OF PERIOD
(INCLUDING ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME OF
$164,550 AND $569,056, RESPECTIVELY) $ 264,088,636 $ 232,626,916
================ =============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
44
<Page>
MORGAN STANLEY TOTAL MARKET INDEX FUND
NOTES TO FINANCIAL STATEMENTS - JANUARY 31, 2004 (UNAUDITED)
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Total Market Index Fund (the "Fund") is registered under the
Investment Company Act of 1940, as amended (the "Act"), as a diversified,
open-end management investment company. The Fund's investment objective is to
provide investment results that, before expenses, correspond to the total return
of the Wilshire 5000 Equity Index (the "Index"). The Fund seeks to achieve its
objective by investing at least 80% of its total assets in stocks included in
the Index. The Fund was organized as a Massachusetts business trust on March 11,
1999 and commenced operations on September 28, 1999.
The Fund offers Class A shares, Class B shares, Class C shares and Class D
shares. The four classes are substantially the same except that most Class A
shares are subject to a sales charge imposed at the time of purchase and some
Class A shares, and most Class B shares and Class C shares are subject to a
contingent deferred sales charge imposed on shares redeemed within one year, six
years and one year, respectively. Class D shares are not subject to a sales
charge. Additionally, Class A shares, Class B shares and Class C shares incur
distribution expenses.
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS -- (1) an equity portfolio security listed or traded
on the New York Stock Exchange ("NYSE") or American Stock Exchange or other
exchange is valued at its latest sale price prior to the time when assets are
valued; if there were no sales that day, the security is valued at the mean
between the last reported bid and asked price; (2) an equity portfolio security
listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price;
if there were no sales that day, the security is valued at the mean between the
last reported bid and asked price; (3) all other equity portfolio securities for
which over-the-counter market quotations are readily available are valued at the
mean between the last reported bid and asked price. In cases where a security is
traded on more than one exchange, the security is valued on the exchange
designated as the primary market; (4) for equity securities traded on foreign
exchanges, the last reported sale price or the latest bid price may be used if
there were no sales on a particular day; (5) futures are valued at the latest
price published by the commodities exchange on which they trade; (6) when market
quotations are not readily available or Morgan Stanley Investment Advisors Inc.
(the "Investment Manager") determines that the latest sale price, the bid price
or the mean between the last reported bid and asked price do not reflect a
security's market value, portfolio securities are valued at their fair value as
determined in good faith under procedures established by and under the general
supervision of the Fund's Trustees. Occasionally, developments affecting the
closing prices of securities and other assets may occur between the times at
which valuations of such securities are determined (that is, close of the
foreign market on which the securities trade) and the close of business on the
NYSE. If developments occur during such periods that are expected to materially
affect the value of such securities, such valuations may be adjusted to reflect
the estimated fair value of such securities as of the close of the NYSE, as
determined in good faith by the Fund's Trustees or by the
45
<Page>
Investment Manager using a pricing service and/or procedures approved by the
Trustees of the Fund; and (7) certain portfolio securities may be valued by an
outside pricing service approved by the Fund's Trustees; and (8) short-term debt
securities having a maturity date of more than sixty days at time of purchase
are valued on a mark-to-market basis until sixty days prior to maturity and
thereafter at amortized cost based on their value on the 61st day. Short-term
debt securities having a maturity date of sixty days or less at the time of
purchase are valued at amortized cost.
B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on security transactions are determined by the identified cost method.
Dividend income and other distributions are recorded on the ex-dividend date.
Discounts are accreted and premiums are amortized over the life of the
respective securities. Interest income is accrued daily.
C. REPURCHASE AGREEMENTS -- Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated
entities managed by the Investment Manager, may transfer uninvested cash
balances into one or more joint repurchase agreement accounts. These balances
are invested in one or more repurchase agreements and are collateralized by
cash, U.S. Treasury or federal agency obligations. The Fund may also invest
directly with institutions in repurchase agreements. The Fund's custodian
receives the collateral, which is marked-to-market daily to determine that the
value of the collateral does not decrease below the repurchase price plus
accrued interest.
D. MULTIPLE CLASS ALLOCATIONS -- Investment income, expenses (other than
distribution fees), and realized and unrealized gains and losses are allocated
to each class of shares based upon the relative net asset value on the date such
items are recognized. Distribution fees are charged directly to the respective
class.
E. FUTURES CONTRACTS -- A futures contract is an agreement between two parties
to buy and sell financial instruments or contracts based on financial indices at
a set price on a future date. Upon entering into such a contract, the Fund is
required to pledge to the broker cash, U.S. Government securities or other
liquid portfolio securities equal to the minimum initial margin requirements of
the applicable futures exchange. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments known as
variation margin are recorded by the Fund as unrealized gains and losses. Upon
closing of the contract, the Fund realizes a gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
F. FEDERAL INCOME TAX POLICY -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Accordingly, no federal income tax provision is required.
46
<Page>
G. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to
shareholders are recorded on the ex-dividend date.
H. USE OF ESTIMATES -- The preparation of financial statements in accordance
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts and disclosures.
Actual results could differ from those estimates.
2. INVESTMENT MANAGEMENT AGREEMENT
Pursuant to an Investment Management Agreement, the Fund pays the Investment
Manager a management fee, accrued daily and payable monthly, by applying the
annual rate of 0.40% to the net assets of the Fund determined as of the close of
each business day.
The Investment Manager has agreed to assume all operating expenses (except for
distribution fees) and to waive the compensation provided for in its Investment
Management Agreement to the extent that such expenses and compensation on an
annualized basis exceed 0.50% of the daily net assets of the Fund.
3. PLAN OF DISTRIBUTION
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the
"Distributor"), an affiliate of the Investment Manager. The Fund has adopted a
Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. The Plan
provides that the Fund will pay the Distributor a fee which is accrued daily and
paid monthly at the following annual rates: (i) Class A -- up to 0.25% of the
average daily net assets of Class A; (ii) Class B -- 1.0% of the average daily
net assets of Class B; and (iii) Class C -- up to 1.0% of the average daily net
assets of Class C.
In the case of Class B shares, provided that the Plan continues in effect, any
cumulative expenses incurred by the Distributor but not yet recovered may be
recovered through the payment of future distribution fees from the Fund pursuant
to the Plan and contingent deferred sales charges paid by investors upon
redemption of Class B shares. Although there is no legal obligation for the Fund
to pay expenses incurred in excess of payments made to the Distributor under the
Plan and the proceeds of contingent deferred sales charges paid by investors
upon redemption of shares, if for any reason the Plan is terminated, the
Trustees will consider at that time the manner in which to treat such expenses.
The Distributor has advised the Fund that such excess amounts totaled
$13,769,819 at January 31, 2004.
In the case of Class A shares and Class C shares, expenses incurred pursuant to
the Plan in any calendar year in excess of 0.25% or 1.0% of the average daily
net assets of Class A or Class C, respectively, will not be reimbursed by the
Fund through payments in any subsequent year, except that expenses representing
a gross sales credit to Morgan Stanley Financial Advisors or other selected
47
<Page>
broker-dealer representatives may be reimbursed in the subsequent calendar year.
For the six months ended January 31, 2004, the distribution fee was accrued for
Class A shares and Class C shares at the annual rate of 0.25% and 1.0%,
respectively.
The Distributor has informed the Fund that for the six months ended January 31,
2004, it received contingent deferred sales charges from certain redemptions of
the Fund's Class A shares, Class B shares and Class C shares of $269, $223,043
and $427, respectively and received $36,007 in front-end sales charges from
sales of the Fund's Class A shares. The respective shareholders pay such charges
which are not an expense of the Fund.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales of portfolio securities, excluding
short-term investments, for the six months ended January 31, 2004 aggregated
$7,324,572 and $13,301,853, respectively. Included in the aforementioned
transactions are sales of common stock of Morgan Stanley, an affiliate of the
Investment Manager and Distributor, of $130,982, including a net realized gain
of $10,264.
Morgan Stanley Trust, an affiliate of Investment Manager and Distributor, is the
Fund's transfer agent. At January 31, 2004, the Fund had transfer agent fees and
expenses payable of approximately $2,700.
5. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS
To hedge against adverse interest rate, foreign currency and market risks, the
Fund may purchase and sell interest rate, currency and index futures contracts
("futures contracts").
Futures contracts involve elements of market risk in excess of the amounts
reflected in the Statement of Assets and Liabilities. The Fund bears the risk of
an unfavorable change in the value of the underlying securities or currencies.
Risks may also arise upon entering into these contracts from the potential
inability of the counterparties to meet the terms of their contracts.
48
<Page>
6. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<Table>
<Caption>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
JANUARY 31, 2004 JULY 31, 2003
------------------------- -------------------------
(UNAUDITED)
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
CLASS A SHARES
Sold 120,566 $ 1,084,586 252,945 $ 1,891,906
Reinvestment of dividends 9,754 90,036 6,409 47,556
Redeemed (540,268) (4,939,024) (498,025) (3,839,268)
---------- ------------ ---------- ------------
Net decrease -- Class A (409,948) (3,764,402) (238,671) (1,899,806)
---------- ------------ ---------- ------------
CLASS B SHARES
Sold 1,530,634 13,319,042 3,515,430 25,785,791
Reinvestment of dividends 37,902 341,492 24,256 176,104
Redeemed (2,451,129) (21,223,531) (7,065,998) (50,975,769)
---------- ------------ ---------- ------------
Net decrease -- Class B (882,593) (7,562,997) (3,526,312) (25,013,874)
---------- ------------ ---------- ------------
CLASS C SHARES
Sold 726,511 6,283,008 458,830 3,372,957
Reinvestment of dividends 7,001 63,080 3,154 22,902
Redeemed (409,724) (3,551,001) (912,895) (6,577,269)
---------- ------------ ---------- ------------
Net increase (decrease) -- Class C 323,788 2,795,087 (450,911) (3,181,410)
---------- ------------ ---------- ------------
CLASS D SHARES
Sold 838,982 7,655,287 978,399 7,744,537
Reinvestment of dividends 17,250 160,258 4,311 32,200
Redeemed (221,105) (1,993,498) (252,541) (1,927,180)
---------- ------------ ---------- ------------
Net increase -- Class D 635,127 5,822,047 730,169 5,849,557
---------- ------------ ---------- ------------
Net decrease in Fund (333,626) $ (2,710,265) (3,485,725) $(24,245,533)
========== ============ ========== ============
</Table>
7. LEGAL MATTERS
The Investment Manager, certain affiliates of the Investment Manager and certain
investment companies advised by the Investment Manager or its affiliates,
including the Fund, are named as defendants in a number of recently filed,
similar class action complaints. These complaints generally allege that
defendants, including the Fund, violated their statutory disclosure obligations
and fiduciary duties by failing properly to disclose (i) that the Investment
Manager and certain affiliates of the Investment Manager allegedly offered
economic incentives to brokers and others to steer investors to the funds
advised by the Investment Manager or its affiliates rather than funds managed by
other companies, and (ii) that the funds advised by the Investment Manager or
its affiliates, including the Fund, allegedly paid excessive commissions to
brokers in return for their alleged efforts to steer
49
<Page>
investors to these funds. The complaints seek, among other things, unspecified
compensatory damages, rescissionary damages, fees and costs. The defendants
intend to move to dismiss these actions and otherwise vigorously to defend them.
While the Fund believes that it has meritorious defenses, the ultimate outcome
of these matters is not presently determinable at this early stage of the
litigation, and no provision has been made in the Fund's financial statements
for the effect, if any, of these matters.
8. FEDERAL INCOME TAX STATUS
The amount of dividends and distributions from net investment income and net
realized capital gains are determined in accordance with federal income tax
regulations which may differ from generally accepted accounting principles.
These "book/tax" differences are either considered temporary or permanent in
nature. To the extent these differences are permanent in nature, such amounts
are reclassified within the capital accounts based on their federal tax-basis
treatment; temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized capital gains
for tax purposes are reported as distributions of paid-in-capital.
As of July 31, 2003, the Fund had a net capital loss carryforward of $53,206,862
of which $1,011,048 will expire on July 31, 2009, $19,339,256 will expire on
July 31, 2010 and $32,856,558 will expire on July 31, 2011 to offset future
capital gains to the extent provided by regulations.
As of July 31, 2003, the Fund had temporary book/tax differences primarily
attributable to post-October losses (capital losses incurred after October 31
within the taxable year which are deemed to arise on the first business day of
the Fund's next taxable year).
50
<Page>
MORGAN STANLEY TOTAL MARKET INDEX FUND
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999*
MONTH ENDED ------------------------------ THROUGH
JANUARY 31, 2004 2003 2002 2001 JULY 31, 2000
---------------- -------- -------- -------- -------------------
(UNAUDITED)
CLASS A SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 8.33 $ 7.52 $ 9.70 $ 11.38 $ 10.00
---------------- -------- -------- -------- --------------
Income (loss) from investment operations:
Net investment income++ 0.04 0.08 0.06 0.06 0.06
Net realized and unrealized gain (loss) 1.24 0.76 (2.24) (1.74) 1.34
---------------- -------- -------- -------- --------------
Total income (loss) from investment
operations 1.28 0.84 (2.18) (1.68) 1.40
---------------- -------- -------- -------- --------------
Less dividends and distributions from:
Net investment income (0.07) (0.03) - - -
Net realized gains - - - - (0.02)
---------------- -------- -------- -------- --------------
Total dividends and distributions (0.07) (0.03) - - (0.02)
---------------- -------- -------- -------- --------------
Net asset value, end of period $ 9.54 $ 8.33 $ 7.52 $ 9.70 $ 11.38
================ ======== ======== ======== ==============
TOTAL RETURN+ 15.45%(1) 11.23% (22.47)% (14.76)% 13.99%(1)
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 0.75%(2) 0.75% 0.75% 0.71% 0.75%(2)
Net investment income 0.92%(2) 1.01% 0.67% 0.58% 0.58%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 10,833 $ 12,865 $ 13,410 $ 16,678 $ 22,895
Portfolio turnover rate 3%(1) 4% 4% 7% 2%(1)
</Table>
- ----------
* COMMENCEMENT OF OPERATIONS.
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY THE
INVESTMENT MANAGER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME RATIOS
WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED RATIO INCOME RATIO
---------------- ------- --------------
JANUARY 31, 2004 0.91% 0.76%
JULY 31, 2003 0.94% 0.82%
JULY 31, 2002 0.90% 0.52%
JULY 31, 2001 0.81% 0.48%
JULY 31, 2000 0.90% 0.43%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
51
<Page>
<Table>
<Caption>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999*
MONTH ENDED --------------------------------- THROUGH
JANUARY 31, 2004 2003 2002 2001 JULY 31, 2000
---------------- --------- --------- --------- -------------------
(UNAUDITED)
CLASS B SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 8.11 $ 7.35 $ 9.56 $ 11.31 $ 10.00
---------------- --------- --------- --------- -------------
Income (loss) from investment operations:
Net investment income (loss)++ 0.01 0.02 (0.01) (0.02) (0.02)
Net realized and unrealized gain (loss) 1.21 0.75 (2.20) (1.73) 1.35
---------------- --------- --------- --------- -------------
Total income (loss) from investment
operations 1.22 0.77 (2.21) (1.75) 1.33
---------------- --------- --------- --------- -------------
Less dividends and distributions from:
Net investment income (0.02) (0.01) - - -
Net realized gains - - - - (0.02)
---------------- --------- --------- --------- -------------
Total dividends and distributions (0.02) (0.01) - - (0.02)
---------------- --------- --------- --------- -------------
Net asset value, end of period $ 9.31 $ 8.11 $ 7.35 $ 9.56 $ 11.31
================ ========= ========= ========= =============
TOTAL RETURN+ 15.02%(1) 10.46% (23.12)% (15.47)% 13.29%(1)
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 1.50%(2) 1.50% 1.50% 1.50% 1.50%(2)
Net investment income (loss) 0.17%(2) 0.26% (0.08)% (0.21)% (0.17)%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 201,909 $ 182,932 $ 191,843 $ 290,758 $ 356,899
Portfolio turnover rate 3%(1) 4% 4% 7% 2%(1)
</Table>
- ----------
* COMMENCEMENT OF OPERATIONS.
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY THE
INVESTMENT MANAGER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME (LOSS)
RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED RATIO INCOME (LOSS) RATIO
---------------- ------- -------------------
JANUARY 31, 2004 1.66% 0.01%
JULY 31, 2003 1.69% 0.07%
JULY 31, 2002 1.65% (0.23)%
JULY 31, 2001 1.60% (0.31)%
JULY 31, 2000 1.65% (0.32)%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
52
<Page>
<Table>
<Caption>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999*
MONTH ENDED ------------------------------ THROUGH
JANUARY 31, 2004 2003 2002 2001 JULY 31, 2000
---------------- -------- -------- -------- -------------------
(UNAUDITED)
CLASS C SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 8.11 $ 7.36 $ 9.56 $ 11.31 $ 10.00
---------------- -------- -------- -------- --------------
Income (loss) from investment operations:
Net investment income (loss)++ 0.01 0.02 0.00 (0.02) (0.02)
Net realized and unrealized gain (loss) 1.21 0.74 (2.20) (1.73) 1.35
---------------- -------- -------- -------- --------------
Total income (loss) from investment
operations 1.22 0.76 (2.20) (1.75) 1.33
---------------- -------- -------- -------- --------------
Less dividends and distributions from:
Net investment income (0.02) (0.01) - - -
Net realized gains - - - - (0.02)
---------------- -------- -------- -------- --------------
Total dividends and distributions (0.02) (0.01) - - (0.02)
---------------- -------- -------- -------- --------------
Net asset value, end of period $ 9.31 $ 8.11 $ 7.36 $ 9.56 $ 11.31
================ ======== ======== ======== ==============
TOTAL RETURN+ 15.22%(1) 10.31% (23.01)% (15.47)% 13.29%(1)
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 1.50%(2) 1.50% 1.42% 1.50% 1.50%(2)
Net investment income (loss) 0.17%(2) 0.26% 0.00% (0.21)% (0.17)%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 29,972 $ 23,483 $ 24,616 $ 35,607 $ 43,901
Portfolio turnover rate 3%(1) 4% 4% 7% 2%(1)
</Table>
- ----------
* COMMENCEMENT OF OPERATIONS.
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY THE
INVESTMENT MANAGER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME (LOSS)
RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED RATIO INCOME (LOSS) RATIO
---------------- ------- -------------------
JANUARY 31, 2004 1.66% 0.01%
JULY 31, 2003 1.69% 0.07%
JULY 31, 2002 1.57% (0.15)%
JULY 31, 2001 1.60% (0.31)%
JULY 31, 2000 1.65% (0.32)%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
53
<Page>
<Table>
<Caption>
FOR THE PERIOD
FOR THE SIX FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999*
MONTH ENDED ------------------------------ THROUGH
JANUARY 31, 2004 2003 2002 2001 JULY 31, 2000
---------------- -------- -------- -------- -------------------
(UNAUDITED)
CLASS D SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 8.40 $ 7.57 $ 9.74 $ 11.41 $ 10.00
---------------- -------- -------- -------- ---------------
Income (loss) from investment operations:
Net investment income++ 0.05 0.09 0.08 0.08 0.08
Net realized and unrealized gain (loss) 1.26 0.78 (2.25) (1.75) 1.35
---------------- -------- -------- -------- ---------------
Total income (loss) from investment
operations 1.31 0.87 (2.17) (1.67) 1.43
---------------- -------- -------- -------- ---------------
Less dividends and distributions from:
Net investment income (0.10) (0.04) - - -
Net realized gains - - - - (0.02)
---------------- -------- -------- -------- ---------------
Total dividends and distributions (0.10) (0.04) - - (0.02)
---------------- -------- -------- -------- ---------------
Net asset value, end of period $ 9.61 $ 8.40 $ 7.57 $ 9.74 $ 11.41
================ ======== ======== ======== ===============
TOTAL RETURN+ 15.63%(1) 11.54% (22.28)% (14.64)% 14.30%(1)
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 0.50%(2) 0.50% 0.50% 0.50% 0.50%(2)
Net investment income 1.17%(2) 1.26% 0.92% 0.79% 0.83%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $ 21,375 $ 13,347 $ 6,506 $ 7,329 $ 3,628
Portfolio turnover rate 3%(1) 4% 4% 7% 2%(1)
</Table>
- ----------
* COMMENCEMENT OF OPERATIONS.
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD. + CALCULATED BASED ON THE NET ASSET VALUE AS
OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY THE
INVESTMENT MANAGER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME RATIOS
WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED RATIO INCOME RATIO
---------------- ------- --------------
JANUARY 31, 2004 0.66% 1.01%
JULY 31, 2003 0.69% 1.07%
JULY 31, 2002 0.65% 0.77%
JULY 31, 2001 0.60% 0.69%
JULY 31, 2000 0.65% 0.68%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
54
<Page>
(This page has been left blank intentionally.)
<Page>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
Wayne E. Hedien
James F. Higgins
Dr. Manuel H. Johnson
Joseph J. Kearns
Michael E. Nugent
Philip J. Purcell
Fergus Reid
OFFICERS
Charles A. Fiumefreddo
CHAIRMAN OF THE BOARD
Mitchell M. Merin
PRESIDENT
Ronald E. Robison
EXECUTIVE VICE PRESIDENT and PRINCIPAL EXECUTIVE OFFICER
Barry Fink
VICE PRESIDENT and GENERAL COUNSEL
Joseph J. McAlinden
VICE PRESIDENT
Stefanie V. Chang
VICE PRESIDENT
Francis J. Smith
TREASURER and CHIEF FINANCIAL OFFICER
Thomas F. Caloia
VICE PRESIDENT
Mary E. Mullin
SECRETARY
TRANSFER AGENT
Morgan Stanley Trust
Harborside Financial Center, Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT AUDITORS
Deloitte & Touche LLP
Two World Financial Center
New York, New York 10281
INVESTMENT MANAGER
Morgan Stanley Investment Advisors Inc.
1221 Avenue of the Americas
New York, New York 10020
The financial statements included herein have been taken from the records of the
Fund without examination by the independent auditors and accordingly they do not
express an opinion thereon.
This report is submitted for the general information of the shareholders of the
Fund. For more detailed information about the Fund, its fees and expenses and
other pertinent information, please read its Prospectus. The Fund's Statement of
Additional Information contains additional information about the Fund, including
its trustees. It is available, without charge, by calling (800) 869-NEWS.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective Prospectus. Read the
Prospectus carefully before investing.
Investments and services offered through Morgan Stanley DW Inc., member SIPC.
Morgan Stanley Distributors Inc., member NASD.
(C) 2004 Morgan Stanley
[MORGAN STANLEY LOGO]
38588RPT-00-13961C04-AP-3/04
[GRAPHIC]
MORGAN STANLEY FUNDS
MORGAN STANLEY
TOTAL MARKET
INDEX FUND
SEMIANNUAL REPORT
JANUARY 31, 2004
[MORGAN STANLEY LOGO]
<Page>
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semiannual reports.
Item 6. [Reserved.]
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable for semiannual reports.
Item 8. [Reserved.]
Item 9 - Controls and Procedures
(a) The Fund's principal executive officer and principal financial officer have
concluded that the Fund's disclosure controls and procedures are sufficient to
ensure that information required to be disclosed by the Fund in this Form N-CSR
was recorded, processed, summarized and reported within the time periods
specified in the Securities and Exchange Commission's rules and forms, based
upon such officers' evaluation of these controls and procedures as of a date
within 90 days of the filing date of the report.
There were no significant changes or corrective actions with regard to
significant deficiencies or material weaknesses in the Fund's internal controls
or in other factors that could significantly affect the Fund's internal controls
subsequent to the date of their evaluation.
<Page>
(b) There were no changes in the registrant's internal control over financial
reporting that occurred during the registrant's most recent fiscal half-year
(the registrant's second fiscal half-year in the case of an annual report) that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
Item 10 Exhibits
(a) Code of Ethics - Not applicable for semiannual reports.
(b) A separate certification for each principal executive officer and principal
financial officer of the registrant are attached hereto as part of EX-99.CERT.
<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.
Morgan Stanley Total Market Index Fund
/s/ Ronald E. Robison
Ronald E. Robison
Principal Executive Officer
March 19, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
/s/ Ronald E. Robison
Ronald E. Robison
Principal Executive Officer
March 19, 2004
/s/ Francis Smith
Francis Smith
Principal Financial Officer
March 19, 2004