<Page>
-----------------------------
OMB APPROVAL
-----------------------------
OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response....... 5.0
-----------------------------
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05309
---------------------------------------------
First American Investment Funds, Inc.
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
800 Nicollet Mall Minneapolis, MN 55402
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Joseph M. Ulrey III 800 Nicollet Mall Minneapolis, MN 55402
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 800-677-3863
----------------------------
Date of fiscal year end: September 30, 2004
--------------------------
Date of reporting period: March 31, 2004
-------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
<Page>
Item 1. Report to Shareholders
<Page>
[GRAPHIC]
[FIRST AMERICAN FUNDS(TM) LOGO]
2004 SEMIANNUAL REPORT
INDEX FUNDS
[GRAPHIC]
"NOTHING BUT HARMONY, HONESTY, INDUSTRY, AND FRUGALITY ARE NECESSARY TO MAKE US
A GREAT AND HAPPY PEOPLE."
GEORGE WASHINGTON
JANUARY 29, 1789
<Page>
FIRST AMERICAN FUNDS
OUR IMAGE-GEORGE WASHINGTON
HIS RICH LEGACY AS PATRIOT AND LEADER IS WIDELY RECOGNIZED AS EMBODYING THE
SOUND JUDGMENT, RELIABILITY, AND STRATEGIC VISION THAT ARE CENTRAL TO OUR BRAND.
FASHIONED IN A STYLE REMINISCENT OF AN 18TH CENTURY ENGRAVING, THE ILLUSTRATION
CONVEYS THE SYMBOLIC STRENGTH AND VITALITY OF WASHINGTON, WHICH ARE ATTRIBUTES
THAT WE VALUE AT FIRST AMERICAN FUNDS.
MUTUAL FUND INVESTING INVOLVES RISK; PRINCIPAL LOSS IS POSSIBLE.
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE
<Page>
FIRST AMERICAN FUNDS ONLINE
@ firstamericanfunds.com
Visit the First American Funds website for useful information on each of our
funds, including fund prices, performance, fund management bios, dividends, and
downloadable fact sheets. You'll also find college and retirement planning tools
and general investor education.
[GRAPHIC]
ONLINE FEATURES AND FUNCTIONALITY INCLUDE:
- - The ability to deepen your understanding of the fund family by learning about
the full range of investment choices available to you through First American
Funds
- - The ability to educate yourself through market and investment strategy
commentaries
We stand behind our commitment to serve you with excellence. For more
information, call First American Investor Services at 800.677.FUND or visit
firstamericanfunds.com.
TABLE OF CONTENTS
<Table>
Schedule of Investments 2
Statements of Assets and Liabilities 34
Statements of Operations 35
Statements of Changes in Net Assets 36
Financial Highlights 38
Notes to Financial Statements 44
</Table>
1
<Page>
SCHEDULE OF INVESTMENTS March 31, 2004 (unaudited)
EQUITY INDEX FUND
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
COMMON STOCKS - 95.7%
CONSUMER DISCRETIONARY - 10.3%
American Greetings, Cl A* (a) 14,470 $ 329
AutoNation* (a) 63,170 1,077
Autozone* (a) 19,624 1,687
Bed Bath & Beyond* (a) 65,823 2,749
Best Buy 71,623 3,704
Big Lots* 25,598 371
Black & Decker (a) 17,039 970
Boise Cascade 19,245 667
Brunswick 20,653 843
Carnival (a) 138,973 6,241
Centex (a) 27,084 1,464
Circuit City Stores 45,805 518
Clear Channel Communications 135,795 5,751
Comcast, Cl A* (a) 496,545 14,271
Cooper Tire & Rubber 15,289 308
Dana (a) 32,596 647
Darden Restaurants (a) 36,139 896
Delphi (a) 122,883 1,224
Dillards, Cl A 18,202 349
Dollar General 74,345 1,427
Dow Jones & Company (a) 17,862 856
Eastman Kodak (a) 62,841 1,645
Family Dollar Stores 36,938 1,328
Federated Department Stores (a) 40,655 2,197
Ford Motor (a) 401,796 5,452
Fortune Brands (a) 31,855 2,441
Gannett 59,794 5,270
Gap (a) 197,621 4,332
General Motors (a) 122,980 5,792
Genuine Parts (a) 38,378 1,256
Goodyear Tire & Rubber* (a) 38,453 328
Harley-Davidson (a) 66,832 3,565
Harrah's Entertainment 24,552 1,348
Hasbro (a) 38,097 829
Hilton Hotels (a) 83,688 1,360
Home Depot 501,906 18,751
International Game Technology (a) 76,500 3,439
Interpublic Group of Companies* (a) 85,841 1,320
J.C. Penney 59,552 2,071
Johnson Controls (a) 41,596 2,460
Jones Apparel Group 27,759 1,004
KB HOME 10,313 833
Knight-Ridder 17,633 1,292
Kohl's* (a) 74,453 3,598
Leggett & Platt 42,197 1,001
Limited 113,342 2,267
Liz Claiborne 24,074 883
Lowe's (a) 173,471 9,737
Marriott International, Cl A 50,751 2,159
Mattel (a) 96,275 1,775
May Department Stores (a) 61,940 2,142
Maytag 17,062 539
McDonald's 279,068 7,973
McGraw-Hill (a) 41,936 3,193
Meredith (a) 11,067 560
New York Times, Cl A 32,775 1,449
Newell Rubbermaid (a) 60,178 1,396
Nike, Cl B (a) 57,839 $ 4,504
Nordstrom (a) 30,318 1,210
Office Depot* (a) 67,954 1,279
Omnicom Group (a) 41,681 3,345
Pulte (a) 29,870 1,661
RadioShack (a) 36,313 1,204
Reebok International 12,723 526
Sears Roebuck and Company (a) 55,676 2,392
Sherwin Williams 32,012 1,230
Snap-On Tools 12,798 414
Stanley Works (a) 18,659 796
Staples (a) 110,151 2,797
Starbucks* (a) 87,386 3,299
Starwood Hotels & Resorts Worldwide (a) 44,010 1,782
Target 198,945 8,960
Tiffany & Company 32,351 1,235
Time Warner* (a) 1,004,348 16,933
TJX (a) 110,394 2,711
Toys 'R' Us* 46,791 786
Tribune (a) 72,831 3,674
Univision Communications, Cl A* (a) 70,413 2,324
V.F. 23,558 1,100
Viacom, Cl B (a) 385,878 15,130
Visteon 27,827 266
Walt Disney* 448,223 11,201
Wendy's International 24,887 1,013
Whirlpool 15,098 1,040
Yum! Brands* 65,064 2,472
---------------
248,618
---------------
CONSUMER STAPLES - 10.8%
Alberto-Culver, Cl B 19,336 848
Albertson's (a) 80,472 1,782
Altria Group (a) 445,121 24,237
Anheuser-Busch 179,470 9,153
Archer-Daniels-Midland (a) 142,943 2,411
Avon Products (a) 51,803 3,930
Brown-Forman, Cl B 26,616 1,269
Campbell Soup (a) 90,034 2,455
Clorox (a) 47,533 2,325
Coca-Cola 539,411 27,132
Coca-Cola Enterprises (a) 101,237 2,447
Colgate-Palmolive (a) 118,002 6,502
ConAgra Foods (a) 117,773 3,173
Coors Adolph (a) 7,976 554
Costco Wholesale* (a) 100,250 3,765
CVS (a) 87,445 3,087
General Mills (a) 82,685 3,860
Gillette 223,750 8,749
H.J. Heinz 77,130 2,876
Hershey Foods (a) 28,647 2,373
Kellogg 90,972 3,570
Kimberly-Clark 111,117 7,011
Kroger* (a) 164,798 2,742
McCormick 30,590 1,025
Pepsi Bottling (a) 58,873 1,751
PepsiCo 376,580 20,279
Procter & Gamble (a) 282,134 29,590
R J Reynolds Tobacco Holdings (a) 18,934 1,146
Safeway* (a) 96,805 1,992
</Table>
The accompanying notes are an integral part of the financial statements.
2
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Sara Lee 174,534 $ 3,815
SUPERVALU (a) 29,361 897
Sysco 142,480 5,564
UST (a) 35,826 1,293
Walgreen 226,092 7,450
Wal-Mart Stores 951,187 56,776
Winn-Dixie Stores* (a) 30,883 235
Wrigley, William Jr. (a) 49,363 2,918
---------------
260,982
---------------
ENERGY - 5.7%
Amerada Hess (a) 19,730 1,288
Anadarko Petroleum (a) 54,724 2,838
Apache 70,968 3,064
Ashland 14,969 696
Baker Hughes 73,406 2,678
BJ Services* (a) 36,113 1,563
Burlington Resources 44,022 2,801
ChevronTexaco (a) 234,617 20,595
ConocoPhillips 150,924 10,536
Devon Energy (a) 50,861 2,958
EOG Resources (a) 25,201 1,156
Exxon Mobil 1,448,392 60,239
Halliburton (a) 96,045 2,919
Kerr-McGee (a) 21,656 1,115
Marathon Oil 74,934 2,523
Nabors Industries* (a) 32,120 1,470
Noble* 29,313 1,126
Occidental Petroleum (a) 85,544 3,939
Rowan* (a) 22,973 485
Schlumberger (a) 129,434 8,264
Sunoco (a) 16,876 1,053
Transocean Sedco Forex* (a) 70,162 1,957
Unocal 56,664 2,112
---------------
137,375
---------------
FINANCIALS - 20.4%
ACE 61,030 2,604
AFLAC 112,467 4,514
Allstate 154,867 7,040
Ambac Financial Group (a) 23,409 1,727
American Express 280,947 14,567
American International Group (a) 575,520 41,063
AmSouth Bancorp (a) 76,916 1,808
Aon (a) 68,617 1,915
Apartment Investment & Management (REIT), Cl A 19,128 595
Bank of America (a) 327,808 26,546
Bank of New York 170,289 5,364
Bank One 247,910 13,516
BB&T (a) 119,746 4,227
Bear Stearns (a) 22,591 1,981
Capital One Financial (a) 49,843 3,760
Charles Schwab (a) 299,254 3,474
Charter One Financial 49,499 1,750
Chubb 41,118 2,859
Cincinnati Financial 35,181 1,529
Citigroup 1,129,704 58,406
Comerica (a) 38,440 2,088
Countrywide Financial (a) 40,486 3,883
E*TRADE Financial* 76,750 1,025
Equity Office Properties Trust (REIT) 88,187 $ 2,548
Equity Residential Properties Trust (REIT) 59,846 1,786
Fannie Mae (a) 213,582 15,880
Federal Home Loan Mortgage 152,587 9,012
Federated Investors, Cl B 23,820 749
Fifth Third Bancorp 124,965 6,919
First Tennessee National (a) 27,595 1,316
FleetBoston Financial 236,013 10,597
Franklin Resources 55,045 3,065
Golden West Financial 35,642 3,990
Goldman Sachs Group (a) 106,620 11,126
Hartford Financial Services Group (a) 64,269 4,094
Huntington Bancshares 50,162 1,113
J. P. Morgan Chase 446,670 18,738
Janus Capital Group (a) 52,481 860
Jefferson-Pilot (a) 31,093 1,710
John Hancock Financial Services 63,425 2,771
KeyCorp (a) 90,776 2,750
Lehman Brothers Holdings (a) 61,157 5,068
Lincoln National 38,985 1,845
Loew's 40,676 2,402
M & T Bank (a) 25,810 2,319
Marsh & McLennan 116,762 5,406
Marshall & Ilsley 49,857 1,885
MBIA (a) 31,789 1,993
MBNA 280,223 7,743
Mellon Financial (a) 94,446 2,955
Merrill Lynch (a) 214,046 12,749
Metlife 166,903 5,955
MGIC Investment (a) 21,598 1,387
Moody's (a) 31,649 2,241
Morgan Stanley 241,983 13,866
National City (a) 134,700 4,793
North Fork Bancorp (a) 33,105 1,401
Northern Trust (a) 48,426 2,256
Plum Creek Timber 39,206 1,273
PNC Financial Services (a) 61,431 3,405
Principal Financial Group 70,990 2,529
Progressive (a) 47,650 4,174
Prologis 39,350 1,411
Providian Financial* (a) 63,639 834
Prudential Financial (a) 119,690 5,360
Regions Financial 48,837 1,784
SAFECO 30,375 1,311
Simon Property Group (REIT) (a) 40,020 2,339
SLM 97,100 4,064
SouthTrust 74,031 2,455
St. Paul Companies 49,966 1,999
State Street 73,985 3,857
SunTrust Banks (a) 61,734 4,303
Synovus Financial 66,109 1,616
T. Rowe Price Group 27,766 1,495
Torchmark 25,047 1,347
Travelers Property Casualty, Cl B 220,859 3,814
U.S. Bancorp (b) 423,524 11,710
Union Planters (a) 42,628 1,272
UnumProvident (a) 66,337 971
Wachovia 288,820 13,575
Washington Mutual 198,166 8,464
Wells Fargo 368,358 20,875
</Table>
3
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
XL Capital Limited, Cl A 29,959 $ 2,278
Zions Bancorporation 19,680 1,126
---------------
491,170
---------------
HEALTH CARE - 12.6%
Abbott Laboratories 342,708 14,085
Aetna (a) 33,747 3,028
Allergan (a) 28,636 2,410
AmerisourceBergen (a) 24,544 1,342
Amgen* 287,523 16,725
Anthem* (a) 30,406 2,756
Applera - Applied Biosystems Group 45,828 906
Bard C.R. (a) 10,610 1,036
Bausch & Lomb (a) 11,422 685
Baxter International (a) 134,633 4,159
Becton, Dickinson & Company (a) 55,693 2,700
Biogen IDEC* (a) 72,262 4,018
Biomet (a) 55,397 2,125
Boston Scientific* (a) 180,564 7,652
Bristol-Myers Squibb 427,404 10,356
Cardinal Health 97,603 6,725
Caremark Rx* 95,610 3,179
Chiron* (a) 41,370 1,821
CIGNA 30,758 1,815
Eli Lilly (a) 246,204 16,471
Express Scripts* (a) 16,900 1,261
Forest Laboratories, Cl A* (a) 80,473 5,763
Genzyme* (a) 49,447 2,326
Guidant 68,714 4,354
HCA (a) 109,841 4,462
Health Management Associates, Cl A (a) 52,601 1,221
Humana* 35,458 674
IMS Health (a) 55,643 1,294
Johnson & Johnson 650,959 33,017
King Pharmaceuticals* 52,869 890
Manor Care 19,538 690
McKesson HBOC (a) 63,708 1,917
Medco Health Solutions* (a) 59,313 2,017
MedImmune* (a) 54,798 1,265
Medtronic 267,408 12,769
Merck 491,033 21,699
Millipore* 10,677 549
Pfizer 1,675,975 58,743
Quest Diagnostics 23,068 1,911
Schering-Plough 322,233 5,227
St. Jude Medical* 37,674 2,716
Stryker (a) 43,679 3,867
Tenet Healthcare* (a) 101,728 1,135
UnitedHealth Group 136,034 8,766
Watson Pharmaceuticals* (a) 23,627 1,011
Wellpoint Health Networks* 34,215 3,891
Wyeth 291,972 10,964
Zimmer Holdings* 53,346 3,936
---------------
302,329
---------------
INDUSTRIALS - 10.2%
3M 172,860 14,152
Allied Waste Industries* (a) 70,635 940
American Power Conversion (a) 43,261 995
American Standard* (a) 15,849 1,803
Apollo Group, Cl A* (a) 38,853 3,346
Avery Dennison (a) 24,225 $ 1,507
Boeing 184,455 7,576
Burlington Northern Santa Fe 84,298 2,655
Caterpillar (a) 76,597 6,057
Cendant (a) 222,348 5,423
Cintas (a) 38,106 1,657
Cooper Industries 22,720 1,299
Crane 12,732 420
CSX (a) 46,924 1,421
Cummins (a) 9,100 532
Danaher (a) 33,946 3,170
Deere & Company 53,715 3,723
Delta Air Lines* (a) 26,733 212
Deluxe (a) 10,649 427
Donnelley RR & Sons (a) 47,261 1,430
Dover 44,432 1,723
Eaton 32,946 1,851
Emerson Electric (a) 93,041 5,575
Equifax 30,777 795
FedEx (a) 65,471 4,921
Fluor (a) 17,911 693
General Dynamics 43,253 3,864
General Electric 2,249,651 68,659
Goodrich 25,785 724
Grainger, W.W. 19,973 959
H & R Block 39,403 2,011
Honeywell International 188,632 6,385
Illinois Tool Works 67,973 5,386
Ingersoll-Rand, Cl A (a) 38,684 2,617
ITT Industries 20,256 1,546
Lockheed Martin (a) 98,103 4,477
Masco (a) 103,086 3,138
Monster Worldwide* (a) 24,625 645
Navistar International* 14,992 687
Norfolk Southern 85,578 1,890
Northrop Grumman (a) 38,622 3,801
Paccar (a) 38,352 2,157
Pall (a) 27,225 618
Parker Hannifin (a) 25,913 1,464
Pitney Bowes (a) 48,177 2,053
Power-One* 18,220 202
Raytheon 90,231 2,828
Robert Half International* 37,380 883
Rockwell Automation (a) 40,666 1,410
Rockwell Collins 38,099 1,204
Ryder System (a) 13,871 537
Southwest Airlines 173,666 2,468
Textron (a) 30,036 1,596
Thomas & Betts* 12,823 280
Tyco International 441,175 12,640
Union Pacific (a) 57,096 3,415
United Parcel Service, Cl B 245,301 17,132
United Technologies 113,753 9,817
Waste Management 127,260 3,841
---------------
245,637
---------------
INFORMATION TECHNOLOGY - 16.7%
ADC Telecommunications* 176,367 511
Adobe Systems (a) 51,157 2,017
Advanced Micro Devices* (a) 76,096 1,235
</Table>
The accompanying notes are an integral part of the financial statements.
4
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Agilent Technologies* (a) 104,897 $ 3,318
Altera* (a) 83,872 1,715
Analog Devices (a) 82,453 3,959
Andrew* (a) 35,035 613
Apple Computer* 81,557 2,206
Applied Materials* (a) 370,928 7,930
Applied Micro Circuits* 67,342 387
Autodesk 24,881 787
Automatic Data Processing 131,161 5,509
Avaya* (a) 91,388 1,451
BMC Software* 50,094 979
Broadcom, Cl A* (a) 66,430 2,602
Ciena* (a) 103,319 514
Cisco Systems* 1,514,309 35,617
Citrix Systems* 35,543 768
Computer Associates International (a) 126,712 3,403
Computer Sciences* (a) 41,041 1,655
Compuware* 83,936 625
Comverse Technology* (a) 41,299 749
Convergys* 35,570 541
Corning* (a) 297,333 3,324
Dell* (a) 563,360 18,940
eBay* (a) 142,498 9,879
Electronic Arts* (a) 64,578 3,485
Electronic Data Systems (a) 105,188 2,035
EMC* (a) 533,500 7,261
First Data (a) 201,319 8,488
Fiserv* 42,456 1,519
Gateway* (a) 82,601 436
Hewlett-Packard 669,604 15,294
IBM 379,309 34,836
Intel (a) 1,432,850 38,974
Intuit* (a) 45,013 2,020
Jabil Circuit* (a) 43,617 1,284
JDS Uniphase* (a) 313,669 1,277
KLA-Tencor* (a) 42,714 2,151
Lexmark International Group, Cl A* (a) 28,345 2,608
Linear Technology 68,529 2,537
LSI Logic* (a) 83,068 776
Lucent Technologies* (a) 939,723 3,862
Maxim Integrated Products (a) 72,078 3,394
Mercury Interactive* (a) 19,862 890
Micron Technology* (a) 133,761 2,235
Microsoft 2,377,092 59,356
Molex 41,916 1,274
Motorola (a) 516,338 9,088
National Semiconductor* (a) 40,659 1,806
NCR* (a) 20,738 914
Network Appliance* (a) 74,985 1,608
Novell* 81,449 927
Novellus Systems* (a) 33,200 1,055
NVIDIA* (a) 35,571 942
Oracle Systems* 1,153,179 13,850
Parametric Technology* (a) 49,999 226
Paychex (a) 82,635 2,942
PeopleSoft* (a) 79,845 1,476
PerkinElmer 27,078 560
PMC-Sierra* (a) 37,841 642
QLogic* (a) 20,673 682
QUALCOMM (a) 177,607 $ 11,797
Sabre Group Holdings, Cl A 31,490 781
Sanmina* 114,452 1,260
Scientific-Atlanta (a) 33,645 1,088
Siebel Systems* (a) 108,355 1,247
Solectron* (a) 181,993 1,006
Sun Microsystems* 725,074 3,016
SunGard Data Systems* 62,591 1,715
Symantec* (a) 67,134 3,108
Symbol Technologies 48,673 672
Tektronix 18,610 609
Tellabs* (a) 90,556 782
Teradyne* (a) 41,386 986
Texas Instruments (a) 382,160 11,167
Thermo Electron* 35,595 1,007
Unisys* 73,187 1,045
VERITAS Software* (a) 93,372 2,513
Waters* (a) 26,609 1,087
Xerox* (a) 175,971 2,564
Xilinx* (a) 76,051 2,890
Yahoo!* (a) 146,733 7,130
---------------
401,414
---------------
MATERIALS - 2.8%
Air Products and Chemicals 49,846 2,498
Alcoa (a) 191,984 6,660
Allegheny Technologies 17,686 214
Ball 12,316 835
Bemis (a) 23,440 609
Dow Chemical 201,430 8,114
E.I. du pont de Nemours 218,519 9,226
Eastman Chemical (a) 16,717 713
Ecolab (a) 56,966 1,625
Engelhard 27,473 821
Freeport-McMoran Copper & Gold, Cl B (a) 40,741 1,593
Georgia-Pacific (a) 55,646 1,875
Great Lakes Chemical 10,789 257
Hercules* 24,318 279
International Flavors & Fragrances 20,659 733
International Paper (a) 105,990 4,479
Louisiana Pacific (a) 22,945 592
MeadWestvaco (a) 43,950 1,243
Monsanto 58,193 2,134
Newmont Mining (a) 94,773 4,419
Nucor 17,150 1,054
Pactiv* (a) 34,539 769
Phelps Dodge* (a) 20,456 1,670
PPG Industries 37,777 2,202
Praxair (a) 71,480 2,653
Rohm & Haas 48,773 1,943
Sealed Air* (a) 18,616 926
Sigma-Aldrich 15,523 859
Temple-Inland (a) 11,879 752
USX-U.S. Steel Group (a) 24,964 930
Vulcan Materials (a) 22,282 1,057
Weyerhaeuser (a) 49,118 3,217
Worthington Industries (a) 19,069 366
---------------
67,317
---------------
</Table>
5
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES - 3.4%
ALLTEL (a) 66,042 $ 3,295
AT&T 175,052 3,426
AT&T Wireless Services* 600,985 8,179
BellSouth 405,174 11,219
CenturyTel 31,563 868
Citizens Communications* (a) 62,361 807
Nextel Communications, Cl A* (a) 239,563 5,924
Qwest Communications International* (a) 387,888 1,672
SBC Communications (a) 728,936 17,888
Sprint (a) 199,404 3,675
Sprint PCS Group* (a) 226,885 2,087
Verizon Communications 609,187 22,260
---------------
81,300
---------------
UTILITIES - 2.8%
AES* 135,924 1,159
Allegheny Energy* (a) 27,570 378
Ameren (a) 40,133 1,850
American Electric Power (a) 86,631 2,852
Calpine* (a) 90,623 423
Centerpoint Energy (a) 67,063 767
Cinergy 37,804 1,546
CMS Energy* (a) 35,349 316
Consolidated Edison (a) 49,335 2,176
Constellation Energy 36,608 1,463
Dominion Resources 70,923 4,560
DTE Energy (a) 36,900 1,518
Duke Energy (a) 198,357 4,483
Dynegy* (a) 82,166 325
Edison International 71,457 1,736
El Paso (a) 153,577 1,092
Entergy 49,993 2,975
Exelon (a) 71,467 4,922
FirstEnergy (a) 72,348 2,827
FPL Group (a) 39,890 2,667
KeySpan (a) 34,766 1,329
Kinder Morgan (a) 27,036 1,704
NICOR 10,118 356
NiSource 57,637 1,225
People's Energy 7,880 352
PG&E* (a) 92,424 2,678
Pinnacle West Capital 20,022 788
PPL (a) 38,754 1,767
Progress Energy (a) 54,061 2,545
Progress Energy-CVO (c) 8,576 3
Public Service Enterprises (a) 52,101 2,448
Sempra Energy (a) 50,125 1,594
Southern (a) 159,782 4,873
TECO Energy (a) 41,162 602
TXU (a) 70,622 2,024
Williams 113,602 1,087
Xcel Energy 85,260 1,518
---------------
66,928
---------------
TOTAL COMMON STOCKS
(Cost $1,778,008) 2,303,070
---------------
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 4.4%
U.S. TREASURY OBLIGATION - 0.5%
United States Treasury Bill (d)
0.950%, 09/09/04 $ 10,800 $ 10,754
---------------
TOTAL U.S. TREASURY OBLIGATION 10,754
---------------
AFFILIATED MONEY MARKET FUND - 3.9%
First American Prime
Obligations Fund, Cl Z (b) (e) 94,401,202 94,401
---------------
TOTAL AFFILIATED MONEY MARKET FUND 94,401
---------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $105,155) 105,155
---------------
INVESTMENTS PURCHASED WITH PROCEEDS FROM
SECURITIES LENDING - 27.2%
COMMERCIAL PAPER - 7.7%
Bluegrass
1.160%, 11/18/04 $ 2,619 2,619
1.160%, 2/18/05 2,619 2,619
CIBC NY
1.110%, 9/09/04 13,553 13,553
Concord Min Capital
1.100%, 4/07/04 14,771 14,771
1.100%, 4/08/04 4,819 4,819
1.100%, 4/14/04 2,095 2,095
Descartes Funding Trust
1.150%, 11/15/04 5,238 5,238
Emerald Trust
1.063%, 5/06/04 5,232 5,232
Ford Credit Floor Plan
1.063%, 5/03/04 15,699 15,699
Goldman Sachs
1.163%, 1/18/05 5,238 5,238
Independent IV
1.048%, 10/15/04 6,809 6,809
Lakeside Funding
1.142%, 4/08/04 11,994 11,994
Leafs
1.339%, 4/20/04 7,228 7,228
Lehman Brothers
1.133%, 7/23/04 3,666 3,666
1.123%, 8/23/04 2,619 2,619
Moat Funding
1.157%, 5/05/04 10,465 10,465
Morgan Stanley
1.054%, 6/11/04 5,238 5,238
Mortgage Interest Network
1.062%, 4/27/04 5,234 5,234
1.042%, 5/11/04 5,232 5,232
1.063%, 6/07/04 5,228 5,228
Norddeutsche Landesbank
1.110%, 9/09/04 5,213 5,213
Orchard Park
1.180%, 7/06/04 11,314 11,314
1.200%, 10/06/04 3,666 3,666
Park Granada
1.083%, 4/07/04 4,713 4,713
1.063%, 4/13/04 3,142 3,142
1.063%, 4/13/04 8,377 8,377
1.063%, 5/06/04 1,569 1,569
Sigma Finance
1.157%, 5/04/04 10,465 10,465
---------------
TOTAL COMMERCIAL PAPER 184,055
---------------
</Table>
The accompanying notes are an integral part of the financial statements.
6
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS - 6.0%
Allstate Life Global
1.040%, 2/15/05 $ 10,476 $ 10,476
Castle Hill III
1.211%, 9/16/04 3,143 3,143
Duke Funding VI
1.180%, 4/08/05 6,338 6,338
General Electric Capital Corporation
1.139%, 4/08/05 5,245 5,245
Jefferson Pilot
1.062%, 2/17/05 5,238 5,238
Metlife Global Funding
1.137%, 3/28/05 4,400 4,400
0.991%, 4/15/05 6,286 6,286
Merrill Lynch & Co
1.063%, 4/04/05 10,474 10,474
Morgan Stanley
1.137%, 3/24/05 5,237 5,237
Northlake CDO
1.205%, 3/07/05 3,143 3,143
Premium Asset Trust
1.254%, 6/01/04 15,609 15,609
1.037%, 12/22/04 7,856 7,856
Residential Mortgage Securities
1.102%, 9/11/04 7,354 7,354
Sigma Finance
1.143%, 8/09/04 10,474 10,474
SMM Trust 2003-H
1.183%, 9/23/04 13,554 13,554
Societe Generale NYC
1.148%, 12/08/04 10,475 10,475
WestDeutsche LandesBank
1.220%, 6/03/04 8,380 8,380
1.150%, 8/02/04 10,475 10,475
---------------
TOTAL CORPORATE OBLIGATIONS 144,157
---------------
MONEY MARKET FUNDS - 0.3%
AIM Short Term Liquid Asset Portfolio 1,571,332 1,571
Merrill Lynch Premier Institutional Fund 6,581,069 6,581
---------------
TOTAL MONEY MARKET FUNDS 8,152
---------------
OTHER SHORT-TERM INVESTMENTS - 1.6%
Commonwealth Life
1.303%, 4/01/04 $ 5,289 5,289
General Electric Capital Assurance
1.200%, 1/19/05 2,095 2,095
HBOS Treasury Services
1.020%, 3/01/05 5,755 5,755
Liquid Funding
1.065%, 8/23/04 5,237 5,237
0.488%, 9/14/04 5,238 5,238
Security Life Denver
1.270%, 7/13/04 13,618 13,618
---------------
TOTAL OTHER SHORT-TERM INVESTMENTS 37,232
---------------
REPURCHASE AGREEMENTS - 11.6%
Bear Stearns
1.200%, dated 3/31/04, matures 4/20/04,
repurchase price $20,965,059 (collateralized
by Various Securities:
Total Market Value $21,868,438) 20,951 20,951
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------------------
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $6,076,001 (collateralized
by U.S. Government Securities:
Total Market Value $6,197,341) $ 6,076 $ 6,076
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $7,856,897 (collateralized
by U.S. Government Securities:
Total Market Value $8,014,185) 7,857 7,857
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $28,808,623 (collateralized
by U.S. Government Securities:
Total Market Value $29,384,206) 28,808 28,808
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $3,666,566 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $3,849,907) 3,666 3,666
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $7,333,132 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $7,699,678) 7,333 7,333
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $8,380,722 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $8,799,755) 8,380 8,380
Deutsche Bank
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $10,475,860 (collateralized
by U.S. Government Securities:
Total Market Value $10,685,057) 10,476 10,476
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $2,095,172 (collateralized
by U.S. Government Securities:
Total Market Value $2,137,011) 2,095 2,095
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $11,523,446 (collateralized
by U.S. Government Securities:
Total Market Value $11,753,562) 11,523 11,523
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $3,142,770 (collateralized
by Corporate Securities:
Total Market Value $3,239,860) 3,143 3,143
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $7,333,129 (collateralized
by Corporate Securities:
Total Market Value $7,559,674) 7,333 7,333
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $10,475,899 (collateralized
by Corporate Securities:
Total Market Value $10,799,639) 10,476 10,476
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $29,856,311 (collateralized
by Corporate Securities:
Total Market Value $30,778,675) 29,855 29,855
</Table>
7
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------------------
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $5,237,958 (collateralized
by Corporate Securities:
Total Market Value $5,344,689) $ 5,238 $ 5,238
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $5,237,958 (collateralized
by Corporate Securities:
Total Market Value $5,399,771) 5,238 5,238
J P Morgan
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $5,447,449 (collateralized
by U.S. Government Securities:
Total Market Value $5,556,570) 5,447 5,447
Lehman Brothers
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $26,189,650 (collateralized
by Various Securities:
Total Market Value $26,713,073) 26,189 26,189
Lehman Brothers
1.200%, dated 3/31/04, matures 4/1/04,
repurchase price $3,666,563 (collateralized
by Corporate Securities:
Total Market Value $4,205,182) 3,666 3,666
Lehman Brothers
1.243%, dated 3/31/04, matures 4/1/04,
repurchase price $20,951,815 (collateralized
by Various Securities:
Total Market Value $21,370,113) 20,951 20,951
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $4,714,138 (collateralized
by U.S. Government Securities:
Total Market Value $4,808,276) 4,714 4,714
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $8,380,690 (collateralized
by U.S. Government Securities:
Total Market Value $8,581,543) 8,380 8,380
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $9,428,277 (collateralized
by U.S. Government Securities:
Total Market Value $9,661,035) 9,428 9,428
Morgan Stanley
1.133%, dated 3/31/04, matures 4/1/04,
repurchase price $32,579,972 (collateralized
by Collateralized Mortgage Obligations &
Asset-Backed Securities:
Total Market Value $34,334,801) 32,579 32,579
---------------
TOTAL REPURCHASE AGREEMENTS 279,802
---------------
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM
SECURITIES LENDING
(Cost $653,398) 653,398
---------------
TOTAL INVESTMENTS - 127.3%
(Cost $2,536,561) 3,061,623
---------------
OTHER ASSETS AND LIABILITIES, NET - (27.3)% (655,699)
---------------
TOTAL NET ASSETS - 100.0% $ 2,405,924
---------------
</Table>
* Non-income producing security
(a) This security or a portion of this security is out on loan at March 31,
2004. Total loaned securities had a market value of $632,049,285 or 26.27%
of total net assets at March 31, 2004. See note 2 in Notes to Financial
Statements.
(b) Investments in affiliated securities. As of March 31, 2004, the market value
of these investments is $106,111,640 or 4.39% of total net assets. See note
4 in Notes to Financial Statements.
(c) Security considered illiquid investment under guidelines established by the
Board of Directors. As of March 31, 2004, the market value of this
investment is $2,487 or 0.00% of total net assets. See note 2 in Notes to
Financial Statements.
(d) Security has been deposited as initial margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 7 in Notes to
Financial Statements.
(e) This money market fund is advised by U.S. Bancorp Asset Management, Inc.,
which also serves as advisor for this Fund. See note 3 in Notes to Financial
Statements.
Cl - Class
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
8
<Page>
MID CAP INDEX FUND
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
COMMON STOCKS - 93.6%
CONSUMER DISCRETIONARY - 17.3%
99 Cents Only Stores* (a) 23,146 $ 565
Abercrombie & Fitch (a) 30,432 1,030
American Eagle Outfitters* (a) 22,454 605
AnnTaylor Stores* (a) 14,180 607
Applebee's International 17,500 724
ArvinMeritor 21,863 434
Bandag 5,775 287
Barnes & Noble* (a) 21,488 700
Belo, Cl A (a) 36,144 1,003
Blyth 15,184 496
Bob Evans Farms (a) 10,948 355
Borders Group 24,660 585
BorgWarner (a) 8,594 729
Boyd Gaming (a) 20,640 472
Brinker International* (a) 30,288 1,149
Caesars Entertainment* (a) 98,460 1,284
Callaway Golf 22,838 433
CarMax* (a) 32,719 955
Catalina Marketing, Cl C* 16,729 324
CBRL Group 15,501 614
Cheesecake Factory* (a) 16,300 752
Chico's FAS* (a) 27,440 1,273
Claire's Stores 30,964 645
Coach* (a) 58,880 2,414
D.R. Horton (a) 73,856 2,617
Dollar Tree Stores* (a) 36,354 1,123
Emmis Communications, Cl A* 17,134 408
Entercom Communications* (a) 16,091 728
Extended Stay America 30,626 593
Furniture Brands International 17,594 567
Gentex (a) 24,299 1,054
GTECH Holdings 17,246 1,020
Harman International (a) 20,600 1,640
Harte-Hanks 27,373 641
Hovnanian Enterprises, Cl A* (a) 19,160 827
International Speedway, Cl A 16,670 784
Krispy Kreme Doughnuts* (a) 20,177 693
Lear 21,590 1,338
Lee Enterprises 14,179 641
Lennar (a) 49,372 2,668
Mandalay Resort Group (a) 20,468 1,172
Media General, Cl A 7,373 496
Michaels Stores (a) 21,395 1,040
Modine Manufacturing 10,821 282
Mohawk Industries* (a) 21,016 1,731
Neiman Marcus Group (a) 14,853 801
O'Reilly Automotive* 17,120 685
Outback Steakhouse 23,814 1,160
Payless ShoeSource* (a) 21,318 298
PETsMART (a) 45,118 1,230
Pier 1 Imports 27,854 660
Reader's Digest Association, Cl A 33,778 476
Regis 13,980 621
Rent-A-Center* (a) 25,520 842
Ross Stores (a) 47,200 1,445
Ruby Tuesday (a) 20,960 674
Ryland Group 7,210 640
Saks* 42,951 756
Scholastic* 13,627 $ 371
Six Flags* 29,014 228
Superior Industries 8,374 297
Timberland, Cl A* (a) 12,037 716
Toll Brothers* (a) 23,129 1,051
Tupperware 18,460 329
Valassis Communications* (a) 17,767 540
Washington Post, Cl B 3,004 2,657
Westwood One* 30,933 911
Williams-Sonoma* (a) 37,041 1,267
---------------
59,153
---------------
CONSUMER STAPLES - 4.3%
BJ's Wholesale Club* (a) 22,013 560
Church and Dwight 12,520 542
Constellation Brands, CI A* (a) 32,776 1,052
Dean Foods* 49,219 1,644
Energizer Holdings* 26,474 1,236
Hormel Foods 43,447 1,274
Interstate Bakeries 14,031 160
JM Smucker 15,677 827
Lancaster Colony 9,375 379
Longs Drug Stores 11,816 223
PepsiAmericas 46,008 939
Ruddick 14,494 293
Smithfield Foods* (a) 36,909 1,001
Tootsie Roll Industries 17,104 625
Tyson Foods, Cl A (a) 111,213 2,007
Universal 8,174 415
Whole Foods Market (a) 19,224 1,441
---------------
14,618
---------------
ENERGY - 6.6%
Cooper Cameron* (a) 17,030 750
ENSCO International (a) 47,611 1,341
FMC Technologies* (a) 20,744 561
Forest Oil* (a) 17,444 440
Grant Prideco* (a) 38,301 594
Hanover Compressor* (a) 23,047 279
Helmerich & Payne 15,333 439
Murphy Oil 28,940 1,822
National-Oilwell* 26,828 759
Newfield Exploration* 17,880 857
Noble Energy 19,530 920
Overseas Shipholding Group 12,165 444
Patterson-UTI Energy* (a) 26,083 924
Pioneer Natural Resources (a) 37,640 1,216
Pogo Producing 20,238 928
Pride International* (a) 42,789 730
Smith International* (a) 31,584 1,690
Tidewater 18,668 525
Valero Energy (a) 39,803 2,387
Varco International* (a) 30,784 554
Weatherford International* (a) 41,420 1,741
Western Gas Resources (a) 10,410 529
XTO Energy (a) 87,088 2,198
---------------
22,628
---------------
FINANCIALS - 18.0%
Allmerica Financial* (a) 16,612 574
AMB Property 25,536 949
</Table>
9
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
American Financial Group 22,866 $ 682
AmeriCredit* 49,545 844
Amerus Group, Cl A (a) 12,360 499
Arthur J. Gallagher 28,391 925
Associated Banc-Corp 22,957 1,028
Astoria Financial 25,045 952
Bank of Hawaii 17,502 811
Banknorth Group (a) 51,357 1,748
Brown & Brown 21,650 839
City National (a) 15,328 918
Colonial BancGroup 40,072 741
Commerce Bancorp (a) 23,922 1,576
Compass Bancshares (a) 37,570 1,558
Cullen/Frost Bankers 16,240 694
Dime Bancorp* 23,400 4
Eaton Vance 21,600 823
Edwards A.G. 25,261 988
Everest Re Group (a) 17,113 1,462
Fidelity National Financial 52,028 2,060
First American 24,503 745
FirstMerit 26,486 690
GATX (a) 15,059 334
Greater Bay Bancorp (a) 16,681 488
GreenPoint Financial 42,059 1,838
HCC Insurance Holdings 19,985 646
Hibernia, Cl A 48,614 1,142
Highwoods Properties (REIT) (a) 15,810 414
Horace Mann Educators 12,743 200
Hospitality Properties Trust (REIT) 20,855 968
Independence Community Bank (a) 17,936 731
IndyMac Bancorp (a) 17,422 632
Investors Financial Services (a) 20,798 859
Jefferies Group (a) 17,080 603
LaBranche (a) 20,235 227
Legg Mason (a) 20,701 1,921
Leucadia National 21,111 1,125
Liberty Property Trust (REIT) 26,370 1,187
Mack-Cali Realty (REIT) (a) 17,330 778
Mercantile Bankshares 24,935 1,071
MONY Group* (a) 14,776 465
National Commerce Financial 64,662 1,850
New Plan Excel Realty Trust (REIT) (a) 29,878 817
New York Community Bancorp (a) 85,204 2,921
Ohio Casualty* 19,089 382
Old Republic International 56,787 1,395
PMI Group (a) 29,744 1,111
Protective Life (a) 21,641 810
Provident Financial Group 17,609 707
Radian Group 29,613 1,262
Raymond James Financial (a) 22,845 568
Rayonier (a) 16,790 734
SEI Investments 33,257 1,097
Silicon Valley Bancshares* (a) 10,882 353
Sovereign Bancorp 96,612 2,069
Stancorp Financial Group 8,858 578
TCF Financial 22,352 1,142
United Dominion Realty Trust (REIT) (a) 39,760 780
Unitrin 21,394 918
W.R. Berkley 26,115 1,041
Waddell & Reed Financial 25,801 $ 633
Washington Federal 24,746 632
Webster Financial (a) 14,283 724
Westamerica Bancorporation 10,229 516
Wilmington Trust 19,649 734
---------------
61,513
---------------
HEALTH CARE - 11.1%
Apogent Technologies* 28,269 867
Apria Healthcare Group* (a) 16,198 485
Barr Pharmaceuticals* (a) 31,859 1,462
Beckman Coulter (a) 19,313 1,053
Cephalon* (a) 17,550 1,006
Charles River Laboratories International* (a) 14,434 619
Community Health Systems* 31,070 865
Covance* (a) 19,784 681
Coventry Health Care* (a) 28,422 1,203
Cytyc* (a) 34,530 768
DENTSPLY International 24,789 1,099
Edwards Lifesciences* (a) 18,471 590
First Health Group* 30,923 676
Gilead Sciences* (a) 63,879 3,563
Health Net* (a) 35,854 894
Henry Schein* (a) 13,672 976
Hillenbrand Industries 19,457 1,321
IVAX* (a) 61,524 1,401
Lifepoint Hospitals* 11,804 382
Lincare Holdings* (a) 31,026 975
Millennium Pharmaceuticals* (a) 95,038 1,606
Mylan Laboratories 84,205 1,914
Omnicare (a) 32,314 1,432
Oxford Health Plans 26,114 1,276
PacifiCare Health Systems* 26,350 1,042
Patterson Dental* (a) 21,376 1,467
Perrigo 20,877 419
Pharmaceutical Resources* (a) 10,510 598
Protein Design Labs* (a) 29,558 704
Sepracor* (a) 27,695 1,332
STERIS* (a) 22,023 568
Triad Hospitals* (a) 23,764 732
Universal Health Services 18,290 843
Valeant Pharmaceuticals International 25,386 606
Varian Medical Systems* (a) 21,623 1,866
Vertex Pharmaceuticals* (a) 24,821 234
VISX* 15,142 296
---------------
37,821
---------------
INDUSTRIALS - 11.2%
AGCO* (a) 23,956 496
Alaska Air Group* 8,281 204
Alexander & Baldwin 12,416 411
ALLETE (a) 27,417 962
AMETEK 20,910 536
Banta 8,003 370
Brinks 16,992 469
C. H. Robinson Worldwide 26,449 1,098
Career Education* (a) 31,586 1,789
Carlisle Companies 10,899 617
ChoicePoint* 27,570 1,048
CNF (a) 15,576 523
</Table>
The accompanying notes are an integral part of the financial statements.
10
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Copart* 28,157 $ 612
Corinthian Colleges* (a) 28,300 936
DeVry* (a) 22,112 667
Donaldson 27,168 721
Dun & Bradstreet* (a) 22,772 1,218
Dycom Industries* 15,223 404
Education Management* 23,010 732
Expeditors International of Washington (a) 33,117 1,308
Fastenal (a) 23,938 1,285
Federal Signal 14,308 284
Flowserve* 17,426 365
Graco 21,615 629
Granite Construction 13,013 309
Harsco 12,144 553
HON Industries 18,370 683
Hubbell, Cl B (a) 19,867 797
ITT Educational Services* 14,400 449
J.B. Hunt Transport Services* 25,288 712
Jacobs Engineering Group* 17,646 787
Jetblue Airways* (a) 32,290 817
Kelly Services, Cl A 10,966 325
Kennametal 11,293 466
Korn Ferry International* 12,545 201
L-3 Communications Holdings (a) 33,229 1,976
Manpower (a) 27,944 1,299
Miller Herman (a) 23,234 619
Nordson 10,919 409
Pentair (a) 15,573 919
Precision Castparts 20,385 898
Quanta Services* 36,514 259
Republic Services 49,375 1,337
Rollins 14,126 364
Sequa, Cl A* 3,274 162
Sotheby's Holdings, Cl A* (a) 19,326 248
SPX 23,854 1,085
Stericycle* 13,180 631
Swift Transportation* 26,373 453
Sylvan Learning Systems* (a) 13,644 479
Tecumseh Products, Cl A 5,791 244
Teleflex (a) 12,947 637
Trinity Industries (a) 14,778 411
United Rentals* (a) 24,926 443
Viad 27,679 669
Werner Enterprises 24,980 473
York International 12,548 493
---------------
38,291
---------------
INFORMATION TECHNOLOGY - 14.9%
3Com* 120,684 852
Activision* 42,375 670
Acxiom 26,580 584
ADTRAN (a) 24,786 744
Advanced Fiber Communications* 27,223 600
Advent Software* 10,337 193
Affiliated Computer Services, Cl A* (a) 42,905 2,227
Arrow Electronics* (a) 35,360 900
Ascential Software* 18,610 408
Atmel* (a) 148,707 967
Avnet* 37,903 928
Avocent* (a) 15,064 554
Bisys Group* 37,962 $ 636
CDW (a) 26,250 1,775
Cabot Microelectronics* (a) 7,750 327
Cadence Design Systems* (a) 82,976 1,223
Ceridian* 47,127 929
Certegy 20,307 711
CheckFree* (a) 25,968 765
Cognizant Technology Solutions* 20,150 912
CommScope* (a) 18,566 309
Credence Systems* 20,175 240
Cree* (a) 23,243 518
CSG Systems International* 16,391 282
Cypress Semiconductor* (a) 37,664 771
Diebold (a) 22,422 1,079
DST Systems* (a) 26,313 1,193
Fair Isaac (a) 22,650 817
Fairchild Semiconductor International, Cl A* 37,138 892
Gartner, Cl A* (a) 44,970 524
Harris (a) 21,036 1,018
Imation (a) 10,155 382
Integrated Circuit Systems* (a) 22,800 571
Integrated Device Technology* 33,247 499
International Rectifier* (a) 20,743 954
Internet Security Systems* (a) 15,704 277
Intersil, Cl A 43,825 977
Jack Henry & Associates 28,272 545
Keane* (a) 20,064 316
KEMET* 26,926 386
Lam Research* (a) 42,014 1,059
Lattice Semiconductor* (a) 35,319 308
LTX* (a) 18,605 281
Macromedia* 21,229 426
Macrovision* 15,328 286
McDATA, Cl A* (a) 36,894 260
Mentor Graphics* (a) 21,361 381
Micrel* (a) 28,865 385
Microchip Technology (a) 65,639 1,743
MPS Group* 32,705 364
National Instruments (a) 24,430 769
Network Associates* (a) 50,923 917
Newport* 12,219 204
Plantronics* 14,484 530
Plexus* 13,315 237
Polycom* (a) 31,061 659
Powerwave Technologies* (a) 19,949 156
Quantum* 55,754 206
Retek* (a) 17,118 129
Reynolds & Reynolds, Cl A 20,513 583
RF Micro Devices* (a) 58,611 496
RSA Security* (a) 18,850 354
SanDisk 50,200 1,424
Semtech* 23,120 528
Silicon Laboratories* (a) 16,160 855
Storage Technology* 34,649 964
Sybase* 30,289 636
Synopsys* (a) 49,386 1,430
Tech Data* (a) 17,966 736
Titan* 25,519 515
Transaction Systems Architects, Cl A* (a) 11,961 277
TriQuint Semiconductor* 42,044 307
</Table>
11
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Varian* 10,852 $ 436
Vishay Intertechnology* (a) 50,397 1,075
Wind River Systems* 26,370 292
Zebra Technology, Cl A* (a) 14,810 1,027
---------------
50,690
---------------
MATERIALS - 3.8%
Airgas 23,152 493
Albemarle 13,063 379
Arch Coal 16,494 518
Bowater (a) 17,375 758
Cabot 19,334 634
Crompton 34,851 222
Cytec Industries 12,223 435
Ferro 12,930 338
FMC* 11,054 473
Glatfelter 11,192 126
IMC Global* (a) 36,301 519
Longview Fibre* 15,995 179
Lubrizol 15,649 493
Lyondell Chemical (a) 55,780 828
Martin Marietta Materials 15,328 708
Minerals Technologies 6,423 367
Olin (a) 21,525 384
Packaging Corporation of America (a) 33,020 745
Peabody Energy 16,759 779
Potlatch 9,008 367
RPM 36,232 599
Scotts* 10,220 656
Sensient Technologies 14,616 273
Sonoco Products (a) 30,257 735
Valspar 15,854 781
---------------
12,789
---------------
TELECOMMUNICATION SERVICES - 0.5%
Cincinnati Bell* 77,033 314
Price Communications* 16,939 266
Telephone & Data Systems (a) 17,607 1,248
---------------
1,828
---------------
UTILITIES - 5.9%
AGL Resources 20,127 584
Alliant Energy (a) 34,675 904
Aqua America 28,955 628
Aquila* 61,125 288
Black Hills 9,577 305
DPL 39,623 743
Duquesne Light Holdings 23,590 460
Energy East (a) 46,062 1,168
Equitable Resources 18,567 825
Great Plains Energy (a) 21,023 710
Hawaiian Electric Industries 12,534 650
IDACORP 11,602 347
MDU Resources Group 36,823 865
National Fuel Gas (a) 24,883 612
Northeast Utilities 41,920 782
NSTAR (a) 16,611 843
OGE Energy (a) 25,971 687
Oneok 32,238 727
Pepco Holdings (a) 54,058 1,105
PNM Resources (a) 12,603 379
<Caption>
DESCRIPTION SHARES/PAR (000) VALUE (000)
- -------------------------------------------------------------------------------------------
Puget Energy (a) 29,507 $ 660
Questar 26,014 948
SCANA (a) 34,688 1,226
Sierra Pacific Resources* (a) 39,664 294
Vectren 23,680 584
Westar Energy (a) 29,094 610
WGL Holdings 13,942 420
Wisconsin Energy 37,389 1,202
WPS Resources 10,777 515
---------------
20,071
---------------
TOTAL COMMON STOCKS
(Cost $278,777) 319,402
---------------
SHORT-TERM INVESTMENTS - 6.2%
U.S. TREASURY OBLIGATION - 0.4%
United States Treasury Bill (b)
0.950%, 09/09/04 $ 1,500 1,494
---------------
TOTAL U.S. TREASURY OBLIGATION 1,494
---------------
AFFILIATED MONEY MARKET FUND - 5.8%
First American Prime
Obligations Fund, Cl Z (c) 19,614,245 19,614
---------------
TOTAL AFFILIATED MONEY MARKET FUND 19,614
---------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $21,108) 21,108
---------------
INVESTMENTS PURCHASED WITH PROCEEDS FROM
SECURITIES LENDING - 44.2%
COMMERCIAL PAPER - 12.4%
Bluegrass
1.160%, 11/18/04 $ 604 604
1.160%, 2/18/05 604 604
CIBC NY
1.110%, 9/09/04 3,128 3,128
Concord Min Capital
1.100%, 4/07/04 3,409 3,409
1.100%, 4/08/04 1,112 1,112
1.100%, 4/14/04 484 484
Descartes Funding Trust
1.150%, 11/15/04 1,209 1,209
Emerald Trust
1.063%, 5/06/04 1,208 1,208
Ford Credit Floor Plan
1.063%, 5/03/04 3,623 3,623
Goldman Sachs
1.163%, 1/18/05 1,209 1,209
Independent IV
1.048%, 10/15/04 1,571 1,571
Lakeside Funding
1.142%, 4/08/04 2,768 2,768
Leafs
1.339%, 4/20/04 1,668 1,668
Lehman Brothers
1.133%, 7/23/04 846 846
1.123%, 8/23/04 604 604
Moat Funding
1.157%, 5/05/04 2,415 2,415
Morgan Stanley
1.054%, 6/11/04 1,209 1,209
Mortgage Interest Network
1.062%, 4/27/04 1,208 1,208
1.042%, 5/11/04 1,207 1,207
1.063%, 6/07/04 1,206 1,206
</Table>
The accompanying notes are an integral part of the financial statements.
12
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Norddeutsche Landesbank
1.110%, 9/09/04 $ 1,203 $ 1,203
Orchard Park
1.180%, 7/06/04 2,611 2,611
1.200%, 10/06/04 846 846
Park Granada
1.083%, 4/07/04 1,088 1,088
1.063%, 4/13/04 725 725
1.063%, 4/13/04 1,933 1,933
1.063%, 5/06/04 362 362
Sigma Finance
1.157%, 5/04/04 2,415 2,415
---------------
TOTAL COMMERCIAL PAPER 42,475
---------------
CORPORATE OBLIGATIONS - 9.8%
Allstate Life Global
1.040%, 2/15/05 2,418 2,418
Castle Hill III
1.211%, 9/16/04 725 725
Duke Funding VI
1.180%, 4/08/05 1,463 1,463
General Electric Capital Corporation
1.139%, 4/08/05 1,210 1,210
Jefferson Pilot
1.062%, 2/17/05 1,209 1,209
Metlife Global Funding
1.137%, 3/28/05 1,015 1,015
0.991%, 4/15/05 1,451 1,451
Merrill Lynch & Co
1.063%, 4/04/05 2,417 2,417
Morgan Stanley
1.137%, 3/24/05 1,209 1,209
Northlake CDO
1.205%, 3/07/05 725 725
Premium Asset Trust
1.254%, 6/01/04 3,602 3,602
1.037%, 12/22/04 1,813 1,813
Residential Mortgage Securities
1.102%, 9/11/04 1,697 1,697
Sigma Finance
1.143%, 8/09/04 2,417 2,417
SMM Trust 2003-H
1.183%, 9/23/04 3,128 3,128
Societe Generale NYC
1.148%, 12/08/04 2,417 2,417
WestDeutsche LandesBank
1.220%, 6/03/04 1,934 1,934
1.150%, 8/02/04 2,418 2,418
---------------
TOTAL CORPORATE OBLIGATIONS 33,268
---------------
MONEY MARKET FUNDS - 0.6%
AIM Short Term Liquid Asset Portfolio 362,625 362
Merrill Lynch Premier Institutional Fund 1,518,751 1,519
---------------
TOTAL MONEY MARKET FUNDS 1,881
---------------
OTHER SHORT-TERM INVESTMENTS - 2.5%
Commonwealth Life
1.303%, 4/01/04 $ 1,220 1,220
General Electric Capital Assurance
1.200%, 1/19/05 483 483
HBOS Treasury Services
1.020%, 3/01/05 1,328 1,328
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------------------
Liquid Funding
1.065%, 8/23/04 $ 1,209 $ 1,209
0.488%, 9/14/04 1,209 1,209
Security Life Denver
1.270%, 7/13/04 3,143 3,143
---------------
TOTAL OTHER SHORT-TERM INVESTMENTS 8,592
---------------
REPURCHASE AGREEMENTS - 18.9%
Bear Stearns
1.200%, dated 3/31/04, matures 4/20/04,
repurchase price $4,838,227 (collateralized
by Various Securities:
Total Market Value $5,046,705) 4,835 4,835
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,402,194 (collateralized
by U.S. Government Securities:
Total Market Value $1,430,196) 1,402 1,402
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,813,181 (collateralized
by U.S. Government Securities:
Total Market Value $1,849,480) 1,813 1,813
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $6,648,331 (collateralized
by U.S. Government Securities:
Total Market Value $6,781,162) 6,648 6,648
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $846,154 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $888,465) 846 846
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $1,692,309 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $1,776,899) 1,692 1,692
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $1,934,067 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $2,030,770) 1,934 1,934
Deutsche Bank
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $2,417,574 (collateralized
by U.S. Government Securities:
Total Market Value $2,465,852) 2,418 2,418
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $483,515 (collateralized
by U.S. Government Securities:
Total Market Value $493,170) 484 484
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $2,659,332 (collateralized
by U.S. Government Securities:
Total Market Value $2,712,437) 2,659 2,659
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $725,275 (collateralized
by Corporate Securities:
Total Market Value $747,681) 725 725
</Table>
13
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------------------
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $1,692,308 (collateralized
by Corporate Securities:
Total Market Value $1,744,589) $ 1,692 $ 1,692
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $2,417,583 (collateralized
by Corporate Securities:
Total Market Value $2,492,294) 2,418 2,418
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $6,890,112 (collateralized
by Corporate Securities:
Total Market Value $7,102,972) 6,890 6,890
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $1,208,794 (collateralized
by Corporate Securities:
Total Market Value $1,233,425) 1,209 1,209
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $1,208,794 (collateralized
by Corporate Securities:
Total Market Value $1,246,136) 1,209 1,209
J P Morgan
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,257,139 (collateralized
by U.S. Government Securities:
Total Market Value $1,282,321) 1,257 1,257
Lehman Brothers
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $6,043,936 (collateralized
by Various Securities:
Total Market Value $6,164,729) 6,044 6,044
Lehman Brothers
1.200%, dated 3/31/04, matures 4/1/04,
repurchase price $846,154 (collateralized
by Corporate Securities:
Total Market Value $970,454) 846 846
Lehman Brothers
1.243%, dated 3/31/04, matures 4/1/04,
repurchase price $4,835,171 (collateralized
by Various Securities:
Total Market Value $4,931,704) 4,835 4,835
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,087,909 (collateralized
by U.S. Government Securities:
Total Market Value $1,109,633) 1,088 1,088
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,934,060 (collateralized
by U.S. Government Securities:
Total Market Value $1,980,412) 1,934 1,934
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $2,175,818 (collateralized
by U.S. Government Securities:
Total Market Value $2,229,532) 2,176 2,176
Morgan Stanley
1.133%, dated 3/31/04, matures 4/1/04,
repurchase price $7,518,667 (collateralized
by Collateralized Mortgage Obligations &
Asset-Backed Securities:
Total Market Value $7,923,639) $ 7,518 $ 7,518
---------------
TOTAL REPURCHASE AGREEMENTS 64,572
---------------
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM
SECURITIES LENDING
(Cost $150,788) 150,788
---------------
TOTAL INVESTMENTS - 144.0%
(Cost $450,673) 491,298
---------------
OTHER ASSETS AND LIABILITIES, NET - (44.0)% (150,043)
---------------
TOTAL NET ASSETS - 100.0% $ 341,255
---------------
</Table>
* Non-income producing security
(a) This security or a portion of this security is out on loan at March 31,
2004. Total loaned securities had a market value of $145,728,673 at March
31, 2004. See note 2 in Notes to Financial Statements.
(b) Security has been deposited as initial margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 7 in Notes to
Financial Statements.
(c) Investment in affiliated security. This money market fund is advised by U.S.
Bancorp Asset Management, Inc., which also serves as advisor for this Fund.
See note 3 in Notes to Financial Statements.
Cl - Class
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
14
<Page>
SMALL CAP INDEX FUND
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
COMMON STOCKS - 97.1%
CONSUMER DISCRETIONARY - 14.5%
1-800 Flowers* 3,155 $ 30
4Kids Entertainment* 2,036 46
A.C. Moore Arts & Crafts* 2,116 57
Aaron Rents 3,959 99
ACME Communications* 1,402 11
Action Performance 2,576 39
Advanced Marketing Services 2,284 23
ADVO 5,013 162
Aeropostale* 3,201 116
Aftermarket Technology* 2,253 33
Alliance Gaming* 8,285 266
Alloy* 6,705 32
Ambassadors Group 866 21
AMC Entertainment* 5,180 80
American Eagle Outfitters* (a) 8,762 236
American Greetings, Cl A* (a) 10,345 236
America's Car-Mart* 672 18
Ameristar Casinos* 1,795 61
AnnTaylor Stores* (a) 7,473 320
APAC Customer Service* 4,771 14
Applica* 3,249 37
Arctic Cat 2,494 64
Argosy Gaming* 3,803 135
Asbury Automotive Group* (a) 2,030 35
Aztar* 4,710 115
Bally Total Fitness Holding* 5,206 31
Bandag 1,914 95
Bassett Furniture 1,542 31
Beasley Broadcast Group* 688 12
Beazer Homes USA (a) 2,194 232
Bebe Stores* 727 24
Big 5 Sporting Goods* 2,539 64
Blair 1,039 28
Blount International* 906 9
Blue Rhino* 1,723 29
Bob Evans Farms (a) 5,872 190
Boca Resorts, Cl A* 4,094 71
Bombay Company* 5,571 44
Boyd Gaming (a) 5,308 122
Boyds Collection Limited* 3,051 8
Brookfield Homes 2,547 89
Brookstone* 2,022 56
Brown Shoe 2,983 109
Buckle 1,178 34
Building Materials Holding 2,031 36
Burlington Coat Factory 3,070 61
California Pizza Kitchen* 2,781 56
Callaway Golf 11,045 210
Carmike Cinemas* 202 8
Casual Male Retail Group* (a) 5,072 52
Catalina Marketing, Cl C* 6,440 125
Cato, Cl A 2,248 45
CEC Entertainment* 5,796 201
Champion Enterprise* (a) 8,780 93
Charlotte Russe Holding* 1,908 35
Charming Shoppes* 17,009 133
Charter Communications, Cl A* (a) 43,454 205
Cherokee 1,014 24
Chicago Pizza & Brewery* 1,810 $ 24
Children's Place Retail Stores* 2,108 65
Choice Hotels International (a) 3,292 147
Christopher & Banks 5,907 125
Churchill Downs 967 38
CKE Restaurants* 7,852 78
Coachmen Industries 2,314 39
Coldwater Creek* 1,872 40
Cole National* 2,005 44
Collins & Aikman* 5,232 29
Concord Camera* 4,073 26
Cooper Tire & Rubber (a) 10,956 221
Cost Plus* 3,586 150
Courier 903 40
Cross Media Marketing* (b) 1,203 --
Crown Media Holdings, Cl A* 2,098 17
CSK Auto* (a) 5,747 104
CSS Industries 723 24
Cumulus Media, Cl A* 7,215 144
Dave & Busters* 1,860 28
Deb Shops 99 3
Department 56* 2,067 31
DHB Industries* 3,137 23
Dicks Sporting Goods* (a) 2,121 123
Digital Generation Systems* 4,560 7
Dillards, Cl A (a) 8,918 171
Dominion Homes* 700 27
Dover Downs Gaming & Entertainment 1,689 18
Dover Motorsports 2,661 10
Dress Barn* 2,974 52
Drew Industries* 1,050 37
Drugstore.com* 5,310 29
Dura Automotive Systems* 3,174 42
Electronics Boutique & Holdings* 2,167 64
Emerson Radio* 2,827 11
Emmis Communications, Cl A* 7,448 177
Extended Stay America 11,882 230
Finish Line, Cl A* 2,955 109
Finlay Enterprises* 1,018 18
Fisher Communications* 717 35
Fleetwood Enterprises* (a) 6,438 79
Fossil* (a) 3,987 133
Fred's (a) 6,266 152
Friedman's* 3,512 20
Galyan's Trading* (a) 1,086 11
GameStop* 3,539 64
Gaylord Entertainment* (a) 2,029 63
Genesco* (a) 3,647 85
Goodyear Tire & Rubber* (a) 25,243 216
Goody's Family Clothing (a) 3,052 44
Gray Television 6,461 94
Grey Global Group 140 97
Group 1 Automotive* 2,742 99
GSI Commerce* 2,590 26
Guess?* 1,303 23
Guitar Center* (a) 2,267 84
Gymboree* 4,937 83
Hampshire Group* 320 10
Hancock Fabrics 2,181 35
Handleman 3,923 94
</Table>
15
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Harris Interactive* 7,130 $ 60
Haverty Furniture 2,657 57
Hibbett Sporting Goods* 1,829 70
Hollinger International 7,006 139
Hollywood Entertainment* 8,921 121
Hooker Furniture 956 22
Hot Topic* (a) 7,916 209
IHOP (a) 3,319 114
Information Holdings* 2,003 41
Insight Communications* 7,495 75
Insight Enterprises* 7,747 149
Interface, Cl A* 7,228 57
InterTAN* 3,449 48
Isle of Capri Casinos* 2,735 69
J Jill Group* 2,883 59
Jack in the Box* (a) 5,711 143
JAKKS Pacific* 4,037 61
Jarden* 4,378 155
Jo-Ann Stores* 2,577 72
JOS A Bank Clothiers* 1,200 43
Journal Register* 5,234 109
K2* 4,085 65
Kellwood 4,409 173
Kenneth Cole Productions 885 30
Keystone Automotive Industries* 1,933 53
Kimball International 3,282 51
Kirkland's* 1,801 29
K-Swiss, Cl A 4,042 99
La Quinta (REIT)* 26,692 201
Landry's Restaurants (a) 3,628 108
Libbey 1,748 45
Liberty 2,548 118
Lin TV, Cl A* (a) 4,487 107
Linens 'N Things* (a) 7,319 259
Lithia Motors 2,175 60
LodgeNet Entertainment* (a) 1,752 33
Lone Star Steakhouse & Saloon 2,554 75
M/I Schottenstein Homes 1,731 82
Magna Entertainment* (a) 6,598 40
Marcus 3,228 56
Marine Products 1,890 26
MarineMax* 1,357 36
Martha Stewart Living* (a) 1,946 21
Maxwell Shoe* 2,140 48
Mediacom Communications* 8,408 67
Men's Wearhouse* (a) 5,437 144
Meritage* (a) 1,720 128
Mestek* 492 9
MicroAge* (b) 3,579 --
Midas* 2,272 44
Modine Manufacturing 3,858 101
Modtech Holdings* 1,376 10
Monaco Coach 4,369 117
Monro Muffler Brake* 1,533 38
Mothers Work* 639 17
Movado Group 1,204 36
Movie Gallery 4,065 80
MTR Gaming Group* 3,824 38
Multimedia Games* (a) 3,574 88
National Presto Industries* 673 $ 26
Nautilus Group (a) 4,785 75
Navigant International* 1,987 36
Netflix* (a) 3,556 121
Noland 66 3
Oakley 4,069 60
Oneida* 2,302 6
OshKosh B' Gosh, Cl A 1,291 30
O'Charley's* 3,351 61
Overstock.com* 1,484 46
Oxford Industries 2,076 96
P. F. Chang's China Bistro* (a) 4,241 213
Pacific Sunwear of California* (a) 11,777 289
Palm Harbor Homes* 3,374 71
Panera Bread, Cl A* (a) 4,664 182
Papa John's International* 1,892 64
Party City* 1,578 23
Paxson Communications* 4,926 19
Payless ShoeSource* (a) 11,408 159
PC Connection* 1,112 9
Pegasus Communications* 524 20
Penn National Gaming* 5,169 149
Pep Boys - Manny Moe & Jack 8,030 223
Perry Ellis International* 1,065 29
Petco Animal Supplies* 6,017 170
Phillips Van-Heusen 4,185 77
Pinnacle Entertainment* 3,570 49
Playboy Enterprises, Cl B* 2,404 34
Pomeroy IT Solutions* 1,501 22
Priceline.com* (a) 3,456 93
Prime Hospitality* 6,160 70
PRIMEDIA* 26,281 71
ProQuest* (a) 3,987 116
Pulitzer 726 35
Quiksilver* (a) 9,040 198
R.H. Donnelley* (a) 3,330 156
RARE Hospitality International* 4,909 136
Raytech* 1,271 4
RC2* 2,251 62
RCN* (a) 11,086 3
Reading International, Cl A* 2,387 16
Red Robin Gourmet Burgers* 1,466 42
Regent Communication* 5,803 38
Rent-Way* 3,506 31
Restoration Hardware* 3,223 16
Rex Stores* 1,143 18
Russ Berrie and Company 1,409 49
Russell 4,405 80
Ryan's Family Steak Houses* 7,182 123
Saga Communications, Cl A* 2,274 42
Salem Communications* 1,460 40
Sauer-Danfoss 1,500 21
Scientific Games* (a) 8,268 155
SCP Pool* 5,016 187
Select Comfort* (a) 3,368 93
Sharper Image* 1,570 51
Shoe Carnival* 1,118 17
Shopko* 4,296 63
Shuffle Master* (a) 2,793 130
Sinclair Broadcast Group, Cl A* (a) 6,288 79
</Table>
The accompanying notes are an integral part of the financial statements.
16
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Six Flags* 15,524 $ 122
Skechers USA* 2,962 39
Skyline 914 35
Sonic* 6,492 223
Sonic Automotive, Cl A 4,475 112
Source Interlink Companies* 1,931 24
Spanish Broadcasting System* 5,308 55
Speedway Motorsports 2,358 71
Sports Authority* 3,354 134
Sports Resorts International* 367 1
Stage Stores* 2,458 95
Stamps.com* 6,137 37
Standard Motor Products 1,078 17
Standard Pacific (a) 5,346 321
Stanley Furniture 867 34
Steak 'N Shake* 3,718 72
Stein Mart* 3,400 47
Steinway Musical Instruments* 734 24
Steven Madden* 1,659 33
Stoneridge* 1,949 28
Strattec Security* 538 34
Stride Rite 6,183 66
Sturm, Ruger & Company 3,331 45
Summit American Television* 5,596 23
Superior Industries 3,654 130
Systemax* 1,430 8
TBC* 2,817 83
Technical Olympic USA* 498 16
Tenneco Automotive* 6,972 88
The Wet Seal, Cl A* 3,748 31
Thomas Nelson 1,348 37
Thor Industries 5,988 161
TiVo* (a) 5,600 50
Too* 5,651 118
Tower Automotive* (a) 9,384 47
Tractor Supply* (a) 4,888 189
Trans World Entertainment* 2,215 21
Triarc, Cl A 5,642 62
Tuesday Morning* 2,219 76
Tupperware 8,153 145
Tweeter Home Entertainment* 3,357 32
Ultimate Electronics* 1,722 11
Unifi* 8,049 36
UniFirst 1,506 42
United Auto Group 2,770 76
Universal Electronics* 2,241 30
Urban Outfitters* 4,120 198
Vail Resorts* 3,093 49
Value Line 210 11
ValueVision International* 2,830 43
Vans* 2,807 42
Vialta* 133 --
Visteon 21,802 209
Warnaco Group, Cl A* 6,119 123
WCI Communities* (a) 2,825 71
WESCO International* 3,003 45
West Marine* (a) 1,998 64
Weyco Group 470 17
Whitehall Jewelers* 1,711 16
William Lyon Homes* 771 72
Wilsons The Leather Experts* 2,903 $ 8
Winnebago Industries 3,882 121
WMS Industries* 3,697 115
Wolverine World Wide 6,694 162
World Wrestling 2,005 29
Yankee Candle* (a) 4,862 134
Young Broadcasting, Cl A* 2,024 37
Zale* 4,322 266
---------------
23,175
---------------
CONSUMER STAPLES - 2.8%
7-Eleven* 3,857 59
Alico 1,113 36
American Italian Pasta* (a) 2,504 100
Arden Group, Cl A 236 18
BJ's Wholesale Club* (a) 11,564 294
Casey's General Stores 7,439 123
Central European Distributors* (a) 998 32
Central Garden & Pet* 2,366 85
Chattem* 2,333 60
Chiquita Brands International* 5,775 120
Chronimed* 1,943 15
Coca-Cola Bottling 784 40
Corn Products International 6,031 241
Del Laboratories* 654 22
Delta & Pine Land 6,287 157
DIMON 7,377 52
Duane Reade* 3,593 61
Elizabeth Arden* 2,519 53
Farmer Brothers 125 45
Flowers Foods 5,279 139
Great Atlantic & Pacific Tea* 2,388 18
Green Mountain Coffee* 563 11
Hain Celestial Group* 3,743 83
Ingles Markets, Cl A 2,564 27
Inter Parfums 601 14
International Multifoods* 3,401 84
Interstate Bakeries 7,516 85
J & J Snack Foods* 1,394 63
John B. Sanfilippo & Son* 868 32
Lance 4,148 68
Longs Drug Stores (a) 4,898 92
M & F Worldwide* 1,655 23
Maui Land & Pineapple* 432 15
Mondavi Robert, Cl A* 1,342 51
Nash-Finch 1,865 44
National Beverage* 1,740 17
Natures Sunshine Product 1,018 15
NBTY* 8,576 319
Neighborcare* 4,051 98
Nu Skin Enterprises (a) 4,633 93
Omega Protein* 982 7
Pantry* 960 19
Pathmark Stores* 4,541 36
Peets Coffee & Tea* 1,924 41
Pilgrims Pride 3,522 79
Playtex Products* 4,900 34
Ralcorp Holdings* 4,852 148
Rayovac* (a) 5,446 156
Revlon* (a) 3,267 9
</Table>
17
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Riviana Foods 893 $ 25
Ruddick 5,479 111
Sanderson Farms 1,272 47
Seaboard 48 16
Smart & Final* 2,015 23
Standard Commercial 1,765 33
Star Scientific* 4,547 19
Topps 4,983 48
United Natural Foods* 3,217 155
Universal 4,044 206
Usana Health Sciences* 1,478 34
Vector Group 3,908 66
WD-40 Company 2,496 87
Weis Markets 1,751 59
Wild Oats Markets* 4,159 49
---------------
4,511
---------------
ENERGY - 4.0%
Atwood Oceanics* 1,201 43
Berry Petroleum, Cl A 2,655 72
Cabot Oil & Gas 4,211 129
Cal Dive International* (a) 5,888 152
Carbo Ceramics 1,729 109
Cimarex Energy* 6,967 201
Clayton Williams Energy* 614 21
Comstock Resources* 5,003 99
Denbury Resources* 5,747 97
Dril-Quip* 973 16
Encore Acquisition* 2,067 57
Energy Partners* 3,530 47
Evergreen Resources* (a) 6,542 225
Forest Oil* (a) 7,420 187
Frontier Oil 4,102 79
Global Industries* 11,943 70
Grey Wolf* 27,973 116
Gulf Island Fabrication 1,106 22
GulfMark Offshore* 2,207 35
Hanover Compressor* 8,633 104
Harvest Natural Resources* 5,916 86
Holly 1,145 36
Horizon Offshore* 4,177 13
Hydril* 2,232 58
Input/Output* (a) 7,398 57
KCS Energy* 7,273 78
Lone Star Technologies* 4,224 75
Lufkin Industries 968 30
Magnum Hunter Resources* 12,188 124
Magnum Hunter Resources Warrant* 1,160 1
Maritrans 1,304 20
Matrix Service* 2,624 36
Maverick Tube* 6,966 164
McMoRan Exploration* 1,974 29
Meridian Resource* 6,910 42
Newpark Resources* 11,388 59
NS Group* 2,157 28
Nuevo Energy* 2,897 94
Oceaneering International* 3,774 115
Offshore Logistics* 3,052 70
Oil States International* (a) 4,251 57
Overseas Shipholding Group 2,565 94
Parker Drilling* 14,555 $ 61
Patina Oil & Gas 10,014 263
Penn Virginia 1,217 74
Petroleum Developement* 2,555 73
Petroleum Helicopters* 571 14
Plains Exploration & Production* 7,293 136
Plains Resources* 3,144 57
Prima Energy* 1,495 52
Quicksilver Resources* 2,177 84
Range Resources 8,783 107
Remington Oil & Gas* 3,517 69
Resource America, Cl A 2,477 46
RPC 1,398 16
Seabulk International* 2,182 19
Seacor Smit* 2,809 115
Southwestern Energy* 5,940 143
Spinnaker Exploration* 4,099 147
St. Mary Land & Exploration 4,718 158
Stone Energy* 3,772 187
Superior Energy Services* 8,067 81
Swift Energy* 4,285 81
Tesoro Petroleum* (a) 9,697 182
Tetra Technologies* 3,347 87
The Houston Exploration* 2,286 102
Tom Brown* (a) 6,125 230
TransMontaigne* 2,708 17
Unit* 6,160 169
Universal Compression Holdings* 2,805 92
Veritas DGC* 5,108 106
Vintage Petroleum 8,211 120
W-H Energy Services* 3,736 54
World Fuel Services 1,467 54
---------------
6,443
---------------
FINANCIALS - 20.9%
1st Source 2,068 51
21st Century Insurance Group 3,474 50
ABC Bancorp 1,640 31
Acadia Realty Trust (REIT) 2,272 32
Accredited Home Lenders Holdings* (a) 1,625 64
Advanta, Cl B 3,158 52
Affiliated Managers Group* (a) 5,298 289
Alabama National 1,548 86
Alexander's (REIT)* 547 88
Alexandria Real Estate Equities 3,194 201
Alfa 5,026 68
Allegiant Bancorp* 2,100 62
Allmerica Financial* (a) 8,845 306
AMCORE Financial 3,971 118
American Home Mortgage Investment (REIT) (a) 3,141 90
American Land Lease (REIT) 948 19
American Medical Security Group* 1,916 51
American Mortgage Acceptance (REIT) 1,260 23
American National Bankshares 767 19
American Physicians Capital* 1,353 28
American Realty Investors* 345 3
AmericanWest Bancorp* 1,608 32
Amerus Group, Cl A (a) 6,499 262
Amli Residential Properties Trust (REIT) 2,679 76
</Table>
The accompanying notes are an integral part of the financial statements.
18
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Anchor Bancorp 3,488 $ 89
Anthracite Capital (REIT) (a) 8,023 102
Anworth Mortgage Asset (REIT) 6,232 87
Argonaut Group* 4,016 76
Arrow Financial 1,406 42
Associated Estates Realty (REIT) 2,723 25
Avatar Holdings* 850 32
Baldwin & Lyons, Cl B 1,190 35
BancFirst 558 31
BancTrust Financial Group 947 17
Bank Mutual 6,284 70
Bank of Granite 2,219 46
Bank of the Ozarks 1,634 45
BankAtlantic Bancorp 6,986 118
Bankunited Financial* 4,788 142
Banner 1,617 47
Bay View Capital* 9,915 22
Bedford Property Investors (REIT) 2,011 61
Berkshire Hills Bancorp 904 32
Boston Private Financial Holdings 3,815 107
Boykin Lodging (REIT) 2,908 27
Brandywine Realty Trust (REIT) 3,707 113
Brookline Bancorp 9,672 154
BRT Realty Trust (REIT) 582 14
Bryn Mawr Bank 1,184 27
BSB Bancorp 1,353 52
C & F Financial 513 21
Camco Financial 1,259 21
Camden National 1,348 43
Capital Automotive (REIT) (a) 4,136 146
Capital City Bank Group 1,474 61
Capital Corporation of the West 772 30
Capitol Bancorp 1,621 44
Capstead Mortgage (REIT) (a) 2,672 49
Cascade Bancorp 2,108 48
Cash America International 4,673 108
Cathay General Bancorp 3,338 220
Cavalry Bancorp 855 14
CB Bancshares 723 51
CCBT Financial 1,333 49
Center Bancorp 1,265 20
Center Financial 1,422 22
Central Coast Bancorp* 1,393 26
Central Pacific Financial 2,407 72
Century Bancorp, Cl A 534 18
CFS Bancorp 1,452 21
Charter Financial 495 19
Charter Mutual 6,917 171
Chemical Financial 3,975 143
Chittenden 5,253 173
Citizens* (a) 4,797 36
Citizens Banking 7,251 237
Citizens First Bancorp 1,384 33
Citizens South Banking 1,469 20
City Bank 1,348 46
City Holdings 2,790 96
Clark* 2,615 44
CNA Surety* 2,546 28
CNB Financial 609 26
Coastal Bancorp 722 30
Coastal Financial 1,976 $ 32
Cobiz 2,497 51
Colonial Properties Trust (REIT) 2,934 120
Columbia Bancorp 919 28
Columbia Bancorp - Oregon 1,121 18
Columbia Banking System 2,246 63
Commerce Group 3,630 174
Commercial Bankshares 715 19
Commercial Capital Bancorp* 1,821 42
Commercial Federal 7,347 203
Commercial Net Lease Realty (REIT) 6,446 127
Community Bank - Northern Virginia 650 11
Community Bank System 1,910 88
Community Banks 1,630 51
Community First Bankshares 5,707 183
Community Trust Bancorp 2,267 75
CompuCredit* 2,212 47
Connecticut Bancshares 1,841 96
Consolidated Tomoka Land 873 32
Cornerstone Realty Income Trust (REIT) 9,166 86
Corporate Office Properties Trust (REIT) 4,879 122
Correctional Properties Trust (REIT) 1,624 50
Corus Bankshares 2,306 93
Crawford & Company 1,583 8
Credit Acceptance* 2,010 38
Criimi Mae (REIT)* 2,079 23
CVB Financial (a) 6,085 126
Delphi Financial Group 4,041 170
Dime Community Bancshares 5,014 102
Donegal Group, Cl A 520 10
East West Bancorp 3,794 212
Eastern Virginia Bankshares 697 16
EastGroup Properties (REIT) 2,771 98
E-Loan* (a) 7,508 23
EMC Insurance Group 288 6
Enstar Group* 512 24
Entertainment Properties Trust (REIT) 3,374 138
Equity Inns (REIT) 6,802 63
Equity One (REIT) 4,568 88
ESB Financial 1,318 18
eSPEED, Cl A* 3,949 83
Essex Property Trust (REIT) 3,025 198
EverTrust Financial Group 1,032 19
Exchange National Bancshares 704 22
F.N.B. - North Carolina 749 16
F.N.B. - Virginia 977 27
Farmers Capital Bank 1,005 35
FBL Financial Group, Cl A 1,962 55
Federal Agricultural Mortgage, Cl C* 1,306 34
FelCor Lodging Trust (REIT)* 8,895 93
FFLC Bancorp 633 17
Fidelity Bankshares 2,218 81
Financial Federal* 2,444 82
Financial Industries* 1,332 18
Financial Institutions 1,325 30
First Albany Companies 1,109 15
First Bancorp North Carolina 1,171 37
First Busey 1,483 40
First Charter 4,995 105
First Citizens Bancorp 699 19
</Table>
19
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
First Citizens Bancshares, Cl A 1,025 $ 126
First Commonwealth Financial (a) 9,909 146
First Community Bancorp 2,075 78
First Community Bancshares 1,570 48
First Defiance Financial 770 21
First Federal Capital 2,857 61
First Financial 2,278 67
First Financial - Kentucky 469 12
First Financial Bancorp 5,434 101
First Financial Bankshares 2,280 91
First Financial Holdings 2,127 64
First Indiana 1,831 37
First Industrial Realty Trust (REIT) (a) 6,154 243
First M & F 491 17
First Merchants 3,090 74
First Niagara Financial Group 13,207 180
First Oak Brook Bancshares 1,081 33
First of Long Island 530 27
First Place Financial 1,874 34
First Republic Bank 1,716 66
First Sentinel Bancorp 3,665 78
First South Bancorp 485 19
First State Bancorporation 1,244 38
First United 1,024 24
Firstbank Fractional Shares (c) 45,000 --
Firstbank - Michigan 933 25
FirstFed American Bancorp 2,434 68
FirstFed Financial* 2,823 130
Flag Financial 1,008 13
Flagstar Bancorp 4,904 126
FloridaFirst Bancorp 820 22
Flushing Financial 2,394 43
FMS Financial 636 11
Foothill Independant Bancorp 836 18
Franklin Financial 534 17
Fremont General (a) 10,154 311
Frontier Financial 2,579 89
G B & T Bancshares 942 27
GA Financial 703 25
Gabelli Asset Management 1,093 44
Gables Residential Trust (REIT) 4,629 168
GATX 6,957 154
German American 1,487 25
Getty Realty (REIT) 2,979 79
Glacier Bancorp 2,999 97
Gladstone Capital 1,372 31
Glenborough Realty Trust (REIT) 2,904 65
Glimcher Realty Trust (REIT) 5,162 140
Gold Banc 7,096 116
Great American Financial Resources 1,128 18
Great Lakes (REIT) 2,201 34
Great Southern Bancorp 893 44
Greater Bay Bancorp (a) 8,718 255
Greater Community Bancorp 869 14
Greene County Bancshares 906 20
Hancock Holding 4,488 139
Hanmi Financial 1,470 39
Harbor Florida Bancshares 3,514 102
Harleysville Group 5,058 94
Harleysville National 3,990 $ 111
Hawthorne Financial* 2,020 89
Health Care (REIT) 8,264 336
Heartland Financial USA 1,470 27
Heritage Commerce* 1,782 23
Heritage Financial 844 18
Heritage Property Investment Trust (REIT) 2,784 87
Highwoods Properties (REIT) (a) 8,392 220
Hilb, Rogal & Hamilton (a) 5,302 202
Home Properties of New York (REIT) (a) 4,676 191
Horace Mann Educators 6,527 103
Horizon Financial 1,790 33
Hudson River 5,096 105
Humboldt Bancorp 1,974 39
IBERIABANK 1,130 67
IBT Bancorp 436 21
IMPAC Mortgage Holdings (REIT) 10,197 277
Independence Holdings 515 16
Independent Bank 1,967 60
Independent Bank - Michigan 3,327 93
Infinity Property & Casualty 2,079 65
Innkeepers USA Trust (REIT) 6,271 57
Integra Bank 2,572 62
Interchange Financial Services 1,876 46
Investment Technology Group* (a) 7,925 121
Investors Real Estate Trust (REIT) 6,026 59
Irwin Financial 2,615 71
ITLA Capital* 788 39
Jones Lang LaSalle* 5,212 134
Kansas City Life Insurance 578 25
Keystone Property Trust (REIT) 3,670 89
Kilroy Realty (REIT) 4,331 154
Knight Trading Group* 12,181 154
Koger Equity (REIT) 3,160 74
Kramont Realty Trust (REIT) 3,569 67
L N B Bancorp 730 15
Lakeland Bancorp 2,022 33
Lakeland Financial 862 29
LandAmerica Financial Group 2,908 132
Lasalle Hotel Properties (REIT) 4,268 101
Levitt* 1,959 48
Lexington Corporate Properties Trust (REIT) 5,249 114
Local Financial* 3,033 66
LSB Bancshares 1,429 25
LTC Properties (REIT) 2,108 38
Macatawa Bank 1,403 39
MAF Bancorp 4,493 195
Main Street Banks 2,191 60
MainSource Financial Group 1,051 38
Manufactured Home Communities (REIT) (a) 2,296 81
MASSBANK 623 25
MB Financial 2,887 113
MBT Financial 2,688 46
MCG Capital 4,571 92
Medallion Financial 2,336 20
Mercantile Bank 982 35
Merchants Bancshares 630 18
MeriStar Hospitality (REIT)* (a) 9,581 67
Metris* (a) 4,760 38
</Table>
The accompanying notes are an integral part of the financial statements.
20
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
MFA Mortgage Investments (REIT) (a) 9,928 $ 100
Mid-America Apartment Communities (REIT) 2,663 99
Midland 1,152 29
Mid-State Bancshares 3,942 93
Midwest Banc Holdings 1,709 40
Mission West Properties (REIT) 3,298 44
MutualFirst Financial 739 18
Nara Bancorp 1,569 46
NASB Financial 540 21
National Bankshares - Virginia 588 30
National Health Investors (REIT) 3,721 115
National Health Realty (REIT) 970 18
National Penn Bancshares 3,654 115
National Western Life Insurance, Cl A* 351 52
Nationwide Health Properties (REIT) 10,199 227
Navigators Group* 972 28
NBC Capital 1,119 29
NBT Bancorp 5,445 123
NetB@nk 8,411 103
New Century Financial (a) 4,740 230
Newcastle Investment (REIT) (a) 4,579 154
Newtek Business Services* 1,217 6
Northern States Financial 490 13
Northwest Bancorp 1,609 41
Novastar Financial (REIT) (a) 3,612 238
NYMAGIC 840 21
Oak Hill Financial 549 18
Oceanfirst Financial 943 24
Ocwen Financial* 6,560 63
Ohio Casualty* 9,302 186
Old Point Financial 349 10
Old Second Bancorp 1,113 57
Omega Financial 1,365 50
OMEGA Healthcare Investors (REIT) 2,966 32
Oneida Financial 346 5
Oriental Financial Group 2,269 72
Orleans Homebuilders* 516 12
PAB Bankshares 1,093 14
Pacific Capital Bancorp 5,772 229
Pacific Union Bank 760 22
Parkvale Financial 660 19
Parkway Properties (REIT) 1,531 72
Partners Trust Financial Group 1,072 37
Patriot Bank - Pennsylvania 1,062 31
Peapack-Gladstone Financial 1,130 38
Penn-America Group 1,362 20
PennFed Financial Services 691 24
PennRock Financial Services 1,283 37
Penns Woods Bancorp 555 25
Pennsylvania (REIT) 4,625 174
Peoples Bancorp 1,791 50
Peoples Holding Company 1,407 47
PFF Bancorp 2,030 77
Philadelphia Consolidated Holdings* 2,867 166
Phoenix Companies (a) 15,797 212
PMA Capital (a) 3,169 19
Post Properties (REIT) 4,898 141
Prentiss Properties Trust (REIT) 5,559 205
Presidential Life 3,463 52
Price Legacy (REIT)* 1,774 30
PrivateBancorp 1,276 $ 66
Proassurance* 4,188 147
Prosperity Bancshares 2,036 48
Provident Bancorp 2,331 28
Provident Bankshares 3,856 121
Provident Financial Holdings 832 22
Provident Financial Services 7,956 149
PS Business Parks (REIT) 1,979 92
Quaker City Bancorp 874 48
R&G Financial 4,611 159
RAIT Investment Trust (REIT) 3,667 108
Ramco-Gershenson Properties Trust (REIT) 1,666 47
Reckson Associates Realty (REIT) 8,417 237
Redwood Trust (REIT) 2,372 147
Republic Bancorp 10,208 144
Republic Bancorp, Cl A 1,360 26
Republic Bancshares 1,445 43
Resources Bankshares 697 23
Rewards Network* 3,764 38
Riggs National 2,508 43
RLI 3,003 116
Royal Bancshares of Pennsylvania, Cl A 683 17
S Y Bancorp 1,766 40
S&T Bancorp 4,362 131
Safety Insurance Group 1,559 30
Sanders Morris Harris Group 1,540 18
Sandy Spring Bancorp 2,432 88
Santander Bancorp 816 22
Saul Centers (REIT) 2,841 87
Saxon Capital* 5,100 145
SCBT Financial 1,289 41
Seacoast Banking 1,912 40
Seacoast Financial Services 4,445 149
Second Bancorp 1,280 41
Security Bank 628 19
Selective Insurance Group 4,487 157
Senior Housing Properties Trust (REIT) (a) 7,126 139
Shore Bancshares 905 30
Sierra Bancorp 814 12
Silicon Valley Bancshares* 4,905 159
Simmons First National, Cl A 2,379 66
Sizeler Property Investors (REIT) 1,810 21
SL Green Realty (a) 5,290 252
Sound Federal Bancorp 2,087 31
South Financial Group (a) 8,721 258
Southern Financial Bancorp 1,006 45
Southern Financial Bancorp Fractional Shares (c) 30,000 --
Southside Bancshares 1,421 26
Southwest Bancorp - Oklahoma 1,784 31
Southwest Bancorp of Texas 4,744 179
Sovran Self Storage (REIT) 2,151 90
State Auto Financial 1,998 52
State Bancorp 1,553 37
State Financial Services, Cl A 802 23
Staten Island Bancorp 8,902 221
Sterling Bancorp 2,177 63
Sterling Bancshares (a) 6,654 89
Sterling Financial 3,547 91
Sterling Financial - Washington* 3,322 123
Stewart Information Services 3,130 123
</Table>
21
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Suffolk Bancorp 1,856 $ 64
Summit Bancshares 880 26
Summit Properties (REIT) 3,545 85
Sun Bancorp 908 18
Sun Bancorp - New Jersey* 1,103 28
Sun Communities (REIT) (a) 2,308 99
Susquehanna Bancshares 6,660 171
SWS Group 2,191 39
Tanger Factory Outlet Centers (REIT) 1,490 68
Tarragon Realty Investors* 1,246 18
Taubman Centers (REIT) 7,377 186
Taylor Capital Group 636 15
Tejon Ranch* 1,677 62
Texas Regional Bancshares, Cl A 3,855 164
The Trust Company of New Jersey 3,042 126
TierOne 3,791 89
Tompkins Trustco 1,362 62
Town & Country Trust (REIT) 2,600 71
Trammell Crow* 5,154 72
Transcontinental Realty Investors (REIT)* 1,258 18
Triad Guaranty* 1,199 63
TriCo Bancshares 820 31
TrustCo Bank Corporation of New York 11,687 157
U.S. Restaurant Properties (REIT) 3,772 71
UCBH Holdings (a) 6,967 279
UICI* 6,273 93
UMB Financial 2,569 130
Umpqua Holdings (a) 4,691 95
Union Bankshares 1,278 41
United Community Banks 3,031 108
United Community Financial 4,993 65
United Fire & Casualty 1,104 47
United Mobile Homes (REIT) 870 14
United Panam Financial* 624 10
United Security Bancshares 1,080 29
United Security Bancshares - California 518 13
Universal American Financial* 4,033 48
Universal Health Realty Income Trust (REIT) 1,718 58
Unizan Financial 3,548 88
Urstadt Biddle Properties, Cl A (REIT) 3,314 55
USB Holding 2,016 49
USI Holdings* 3,439 51
Ventas (REIT) 12,448 342
Virginia Commerce Bancorp* 765 23
Virginia Financial Group 1,199 42
W Holding 11,653 218
Warwick Community Bancorp 440 15
Washington Real Estate Investment Trust (REIT) 6,107 198
Washington Trust Bancorp 2,193 58
Wayne Bancorp 993 23
Waypoint Financial 5,125 137
Wesbanco 3,016 92
West Bancorporation 2,697 46
West Coast Bancorp 2,557 58
Westcorp 2,510 111
Western Sierra Bancorp* 648 28
Westfield Financial 750 18
WFS Financial* 2,036 88
Willow Grove Bancorp 1,663 30
Winston Hotels (REIT) (a) 3,380 $ 36
Wintrust Financial 3,135 152
World Acceptance* 2,414 47
WSFS Financial 1,301 65
Yadkin Valley Bank & Trust 1,314 22
Yardville National Bancorp 1,454 36
Zenith National Insurance (a) 1,324 52
---------------
33,345
---------------
HEALTH CARE - 13.2%
1-800 Contacts* 848 15
AAI Pharma* (a) 2,267 15
Abgenix* (a) 14,687 195
Able Laboratories* 2,627 51
Accredo Health* 8,019 306
Aclara Biosciences* 4,072 16
Adolor* 6,261 94
Advanced Medical Optics* 4,865 119
Advanced Neuromodulation Systems* 3,049 110
Advisory Board* (a) 1,598 58
Aksys* (a) 4,624 30
ALARIS Medical* 2,923 55
Albany Molecular Research* 5,455 87
Alderwoods Group* 6,231 65
Alexion Pharmaceuticals* 3,292 78
Align Technology* 7,337 139
Alkermes* 10,788 173
Alliance Imaging* 3,224 13
Alpharma, Cl A 6,073 119
Alteon* 6,369 11
American Healthways* (a) 4,312 105
American Medical Systems* (a) 3,453 92
AMERIGROUP* (a) 4,015 183
AMN Healthcare Services* (a) 2,215 41
Amsurg, Cl A* 4,438 101
Analogic 1,139 52
Antigenetics* (a) 3,306 35
Aphton* (a) 4,168 20
Applera* 12,089 175
Arena Pharmaceuticals* (a) 3,116 20
Ariad Pharmaceuticals* 6,844 65
Arrow International (a) 3,876 116
Arthrocare* 2,977 69
Aspect Medical Systems* 1,557 23
AtheroGenics* 6,120 140
Atrix Laboratories* 3,447 88
Avant Immunotherapeutics* 10,862 27
AVI BioPharma* 3,471 11
Bentley Pharmaceuticals* 2,155 26
Beverly Enterprises* (a) 15,564 100
Biolase Technology* (a) 3,163 55
BioMarin Pharmaceutical* 10,644 80
Biopure* (a) 5,587 9
Biosite* (a) 1,638 52
Bioveris* 3,014 36
Bone Care International* 1,377 28
Bradley Pharmaceuticals* (a) 1,889 48
Bruker Biosciences* 3,420 17
Candela* 2,588 35
Cantel Medical* 1,141 20
</Table>
The accompanying notes are an integral part of the financial statements.
22
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Cardiac Science* 8,639 $ 38
CardioDynamics International* 5,571 35
Cell Genesys* 5,767 69
Cell Therapeutics* (a) 5,236 44
Centene* 2,931 90
Cepheid* 5,875 55
Cerner* (a) 4,749 215
Cerus* 2,293 8
Cholestech* 2,284 20
CIMA Labs* 2,401 75
Ciphergen Biosystems* 3,794 32
Closure Medical* 1,119 31
Collagenex Pharmaceuticals* 1,292 17
Columbia Laboratories* 5,517 27
Computer Programs & Systems 1,039 20
Conceptus* (a) 2,902 35
CONMED* 4,836 143
Connetics* (a) 4,690 104
Cooper (a) 5,192 280
Corixa* (a) 7,593 49
Corvel* 1,026 37
Covance* (a) 10,315 355
Cross Country Healthcare* 3,203 53
Cryolife* (a) 2,740 16
CTI Molecular Imaging* (a) 4,064 59
Cubist Pharmaceuticals* 6,523 60
CuraGen* 7,184 45
Curative Health Services* 1,704 23
CV Therapeutics* (a) 4,749 72
Cyberonics* 3,339 80
Cytyc* (a) 18,785 418
D & K Healthcare Resources 2,109 22
Dade Behring Holdings* 6,684 297
Datascope 1,766 62
Decode Genetics* 7,650 81
Dendreon* 2,323 31
Dendrite International* 4,984 80
Diagnostic Products 3,048 132
Digene* 2,112 73
Discovery Laboratories* 5,949 73
Diversa* 3,257 29
DJ Orthopedics* 1,042 27
Dov Pharmaceutical* 1,966 31
Durect* (a) 4,584 16
Dynacq Healthcare* (a) 965 5
Eclipsys* 5,751 78
Encysive Pharmaceuticals* 8,526 88
Enzo Biochem* 3,717 63
Enzon* 7,297 113
EPIX Medical* 2,747 57
eResearch Technology* (a) 4,509 126
Exact Sciences* 2,455 19
Exactech* 995 18
Exelixis* 8,869 76
First Horizon Pharmaceutical* (a) 3,400 54
Gene Logic* 5,212 26
Genencor International* 1,369 18
Genesis Healthcare* 2,025 49
Gen-Probe* (a) 7,996 267
Genta* (a) 7,878 83
Gentiva Health Services* 4,113 $ 64
Geron* 6,524 61
GTC Biotherapeutics* 3,696 8
Guilford Pharmaceuticals* (a) 3,801 27
Haemonetics* 2,681 84
Hanger Orthopedic Group* 3,475 63
HealthExtras* (a) 2,589 30
Hi-Tech Pharmaceutical* 830 16
Hollis-Eden Pharmaceuticals* 1,649 16
Hologic* 3,303 67
Hooper Holmes 10,523 66
ICU Medical* (a) 1,771 54
IDX Systems* 2,893 100
ILEX Oncology* 6,390 153
Immucor* 3,217 58
ImmunoGen* 6,817 46
Immunomedics* 6,996 28
IMPAC Medical Systems* 1,037 23
Impax Laboratories* 4,905 110
INAMED* (a) 4,480 239
Incyte* 12,035 100
Indevus Pharmaceuticals* 6,302 38
Inspire Pharmaceuticals* 4,709 61
Integra LifeSciences* 2,988 91
InterMune* 4,197 82
Interpore International* 2,918 42
Intuitive Surgical* 4,623 79
Invacare 4,399 199
Inveresk Research Group* 4,974 141
Inverness Medical Innovations* 1,800 33
Isis Pharmaceuticals* 7,366 57
Kensey Nash* 1,288 32
Kindred Healthcare* (a) 1,978 99
Kos Pharmaceuticals* 2,242 91
Kosan Biosciences* 2,960 31
K-V Pharmaceutical, Cl A* 5,427 133
Kyphon* 3,010 72
La Jolla Pharmaceutical* 8,533 24
LabOne* 1,248 38
Lannet* 876 15
Laserscope* (a) 2,191 43
Lexicon Genetics* 6,278 39
Lifeline Systems* 1,582 30
Lifepoint Hospitals* 6,289 203
Ligand Pharmaceuticals* 9,543 192
Luminex* 3,525 32
Martek Bioscience* (a) 3,953 225
Matria Healthcare* 1,500 38
Matthews International, Cl A 4,783 159
Maxygen* 4,375 42
Medarex* (a) 12,374 111
Medical Action Industries* 1,297 27
Medical Staffing Network Holdings* 1,827 14
Medicines* (a) 6,994 225
Mentor 6,382 192
Meridian Bioscience 1,645 17
Merit Medical Systems* 3,700 80
MGI Pharma* 5,667 347
Micro Therapeutics* 1,581 7
MIM* 3,704 28
</Table>
23
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Mine Safety Appliances 2,976 $ 84
Molecular Devices* 2,310 44
Myriad Genetics* 4,853 79
NABI Biopharmaceuticals* 9,281 144
National Healthcare* 1,033 27
NDCHealth 5,848 159
Nektar Therapeutics* 7,868 170
NeoPharm* (a) 2,192 41
Neose Technologies* 2,333 22
Noven Pharmaceuticals* (a) 3,398 73
Novoste* 2,739 9
NPS Pharmaceuticals* 4,932 141
Nuvelo* 2,689 34
Ocular Sciences* 3,118 91
Odyssey Healthcare* 5,365 101
Omnicell* 2,429 48
Onyx Pharmaceuticals* 5,687 230
Option Care* 2,100 24
Orasure Technologies* 6,494 67
Orthodontic Centers of America* (a) 8,436 67
OrthoLogic* 5,518 43
OSI Pharmaceuticals* (a) 6,502 250
Osteotech* 2,566 17
Owens & Minor 5,238 133
Pain Therapeutics* 3,867 27
Palatin Technologies* 8,737 36
PAREXEL International* 4,301 77
PDI* 1,160 29
Pediatrix Medical Group* 3,897 246
Penwest Pharmaceuticals* 2,703 39
Peregrine Pharmaceuticals* (a) 19,842 49
Perrigo 9,583 192
Per-Se Technologies* 4,443 50
Pharmacopeia* 3,978 80
PolyMedica (a) 3,026 81
Possis Medical* 2,619 74
POZEN* 3,792 52
Praecis Pharmaceuticals* 7,525 44
Priority Healthcare, Cl B* 5,798 123
Progenics Pharmaceutical* 1,715 33
Province Healthcare* 7,692 122
PSS World Medical* 11,391 127
Quidel* 4,552 30
Regeneration Technologies* 3,823 43
Regeneron Pharmaceutical* 5,750 78
RehabCare Group* 2,595 52
Repligen* 5,014 15
Retractable Technologies* 959 6
Salix Pharmaceuticals* 2,997 87
Savient Pharmaceuticals* 10,498 40
SciClone Pharmaceuticals* 7,428 40
Seattle Genetics* 6,317 53
Select Medical 7,740 129
Serologicals* (a) 3,800 78
SFBC International* 936 28
Sierra Health Services* 3,906 142
Sirna Therapeutics* 1,701 7
Sola International* 3,948 92
Sonosite* 2,386 51
Specialty Laboratories* 1,091 12
Staar Surgical* 3,073 $ 28
Stewart Enterprises, Cl A* 17,384 126
Sunrise Senior Living* (a) 2,720 98
SuperGen* (a) 5,300 68
SuriModics* (a) 2,347 47
Sybron Dental Specialties* 6,409 175
Synovis Life Technologies* 1,666 24
Tanox* 4,002 60
Techne* 6,843 279
Telik* 6,348 170
Theragenics* 5,026 27
Therasense* 4,039 109
Third Wave Technologies* 3,935 18
Thoratec* (a) 8,004 100
Transkaryotic Therapies* 4,918 84
Trimeris* 2,284 34
TriPath Imaging* 3,704 34
TriZetto Group* 5,182 40
Tularik* 8,117 199
U.S. Oncology* 10,701 158
U.S. Physical Therapy* 1,994 28
United Surgical Partners* (a) 2,892 98
United Therapeutics* 2,924 70
VCA Antech* 5,301 189
Ventana Medical Systems* 2,063 85
Vertex Pharmaceuticals* (a) 12,875 121
Viasys Healthcare* 4,978 113
Vicuron Pharmaceuticals* 7,752 176
VistaCare, Cl A* 1,932 52
VISX* 6,375 124
Vital Images* 1,496 15
Vital Signs 971 33
Vitalworks* 6,277 24
Vivus* 6,324 38
West Pharmaceutical Services 1,751 65
Wilson Greatbatch Technologies* (a) 3,339 121
Wright Medical Group* 2,641 81
Young Innovations 680 24
Zoll Medical* 1,429 57
Zymogenetics* 2,417 37
---------------
21,130
---------------
INDUSTRIALS - 13.5%
A. S. V.* 1,062 32
A.O. Smith 2,764 80
AAON* 1,529 30
AAR* 5,277 65
ABM Industries 6,257 112
Aceto 2,242 35
Actuant, Cl A* (a) 3,544 139
Acuity Brands 6,916 165
Administaff* 3,287 57
Airtran Holdings* (a) 12,650 150
Alamo Group 850 15
Alaska Air Group* 3,715 92
Albany International, Cl A 4,367 117
Alexander & Baldwin 6,889 228
Ambassadors International 822 11
America West Holdings, Cl B* (a) 4,958 47
American Woodmark 922 61
</Table>
The accompanying notes are an integral part of the financial statements.
24
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Ampco-Pittsburgh 730 $ 9
AMR* (a) 25,987 331
Angelica 1,309 30
Apogee Enterprises 3,492 43
Applied Industrial Technology 2,857 65
Applied Signal Technology 1,306 36
Arbitron* 5,000 201
Arkansas Best 3,616 97
Armor Holdings* (a) 3,413 113
Artesyn Technologies* (a) 5,306 51
Astec Industries* 2,361 38
Atlantic Coast Airline Holdings* 6,980 51
Aviall* 5,215 79
Baldor Electric 4,917 113
Banta 3,952 183
Barnes Group 2,054 57
Belden 3,735 71
BHA Group Holdings 657 20
Bowne & Company 5,572 95
Brady, Cl A 2,975 113
Briggs & Stratton 3,592 242
Bright Horizons Family Solutions* 1,975 93
Brinks 9,014 249
C&D Technologies 3,426 57
Cascade 1,786 36
Casella Waste Systems* 1,879 27
CDI 2,047 66
Central Parking 3,039 61
Century Business Services* 12,561 62
Ceradyne* 1,389 50
Charles River Associates* 1,229 40
Circor International 1,984 45
CLARCOR 4,187 185
Clean Harbors* 1,188 9
Coinstar* 3,638 58
Consolidated Graphics* 1,867 72
Continental Airlines, Cl B* 11,011 138
Copart* 11,412 248
Cornell Companies* 2,072 24
Corrections Corporation of America* 5,871 209
CoStar Group* 2,226 82
Covenant Transport, Cl A* 1,233 22
CPI 1,275 24
Cubic 2,600 68
CUNO* 2,406 108
Curtiss-Wright 2,686 126
Darling International* 9,380 32
Dollar Thrifty Automotive* 3,815 96
DRS Technologies* 4,094 115
Ducommun* 1,035 24
Duratek* 1,020 16
Dycom Industries* 8,033 213
EDO 2,601 63
EGL* (a) 5,449 98
Electro Rent* 2,755 28
ElkCorp 3,282 89
Emcor Group* (a) 2,198 81
Encore Wire* 1,743 65
Energy Conversion Devices* 2,739 27
Engineered Support Systems 2,904 142
Ennis Business Forms 2,561 $ 43
ENPRO Industries* 3,426 65
ESCO Technologies* 2,011 93
Esterline Technologies* 3,398 84
ExpressJet Holdings* 5,046 63
Exult* (a) 5,603 35
Fairchild, Cl A* 1,816 9
Federal Signal 8,056 160
First Consulting Group* 3,194 20
Florida East Coast Industries, Cl A 2,169 78
Flowserve* 7,870 165
Forward Air* 1,826 60
Franklin Electric 1,151 73
Frontier Airlines* 5,829 61
FTI Consulting* (a) 6,915 115
FuelCell Energy* 6,840 93
G & K Services, Cl A 2,851 106
Gardner Denver* 2,668 72
GenCorp 5,178 56
General Binding* 951 16
General Cable* 5,569 41
Genesee & Wyoming, Cl A* 3,066 76
Genlyte Group* 1,951 109
Geo Group* 1,572 36
Gerber Scientific* 3,508 24
GEVITY HR 2,092 61
Global Power Equipment* 3,965 33
Gorman-Rupp 1,233 32
Granite Construction 5,475 130
Greenbrier Companies* 757 13
Griffon* (a) 4,749 103
Gundle Environmental Systems* 950 18
Healthcare Services Group 2,350 39
Heartland Express (a) 5,078 116
HEICO 2,202 35
Heidrick & Struggles International* 2,730 65
Herley Industries* 1,820 34
Hexcel* 3,664 27
Hudson Highland Group* 1,245 35
Hughes Supply 4,510 236
ICT Group* 885 12
IDEX (a) 4,479 195
II-VI* 1,839 45
Imagistics International* 2,601 115
Insurance Auto Auctions* 1,415 21
Integrated Electrical Services* 5,224 59
Intermagnetics General* 2,734 72
Invision Technologies* 2,882 143
Ionics* (a) 2,889 82
Jacuzzi Brands* 12,509 117
JLG Industries 7,220 103
John H. Harland (a) 4,665 145
Joy Global (a) 7,504 211
Kadant* 1,973 41
Kaman 3,432 51
Kansas City Southern Industries* 9,950 138
Kaydon 4,153 114
Kelly Services, Cl A 2,806 83
Kennametal 5,580 230
Kirby* 3,090 104
</Table>
25
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Knight Transportation* 4,008 $ 96
Korn Ferry International* 5,266 84
Kroll* (a) 6,050 162
KVH Industries* (a) 2,054 30
Labor Ready* 6,682 90
Landstar* 4,600 188
Lawson Products 810 26
Learning Tree International* 1,455 23
Lennox International (a) 7,356 136
Lincoln Electric Holdings 5,404 152
Lindsay Manufacturing 1,965 47
LSI Industries 3,002 37
Lydall* 2,460 25
Mail-Well* 7,791 35
Mair Holdings* 1,294 12
Manitowoc 4,664 138
MasTec* 3,307 31
McGrath Rentcorp 1,279 39
Medis Technologies* (a) 1,977 26
MemberWorks* 1,242 43
Mercury Computer Systems* (a) 3,551 91
Mesa Air Group* (a) 4,422 37
Milacron* 5,660 20
Mobile Mini* 2,220 38
Moog, Cl A* 4,255 145
MTC Technologies* 964 24
Mueller Industries 5,681 193
Nacco Industries, Cl A 735 61
Navigant Consulting* (a) 7,018 142
NCI Building Systems* 3,005 71
NCO Group* 2,987 70
New England Business Service 1,697 57
Nordson 4,291 161
Northwest Airlines* (a) 10,204 103
Old Dominion Freight Lines* 1,867 63
Orbital Sciences* 7,724 97
Oshkosh Truck 5,026 280
P A M Transportation Services* 896 16
Pacer International* 3,740 82
Penn Engineering & Manufacturing (a) 1,713 29
Perini* 2,726 43
Pico Holdings* 1,016 17
Plug Power* 3,907 30
Portfolio Recovery Associates* 2,053 55
Powell Industries* 1,047 19
Power-One* 10,620 117
Prepaid Legal Services* (a) 2,634 64
PRG-Schultz International* 6,560 29
Princeton Review* 2,595 22
Quanta Services* 12,281 87
Quixote 1,147 24
RailAmerica* 4,967 60
Raven Industries 1,104 34
Regal Beloit 3,943 79
Reliance Steel & Aluminum 4,026 142
Resources Connection* (a) 3,216 142
Robbins & Myers 1,761 38
Rollins 3,197 82
Roper Industries (a) 4,594 222
Roto Rooter 1,647 $ 83
Schawk 1,261 17
School Specialty* (a) 2,657 95
SCS Transportation* 2,291 50
Sequa, Cl A* 556 27
Shaw Group* (a) 9,702 105
Simpson Manufacturing 2,409 118
SkyWest 9,479 182
Sotheby's Holdings, Cl A* (a) 7,482 96
SOURCECORP* 2,552 68
Spherion* 9,896 101
Standard Register 1,783 29
Standex International 1,839 50
Stewart & Stevenson Services 4,715 69
Strayer Education (a) 1,787 209
Sylvan Learning Systems* (a) 5,857 206
Tecumseh Products, Cl A 2,708 114
Teledyne Technologies* 5,470 102
Teletech Holdings* 5,819 36
Tennant 1,283 51
Terex* (a) 7,261 268
Tetra Technologies* (a) 8,362 179
Thomas & Betts* 7,092 155
Thomas Industries 1,443 45
Toro 4,104 254
TRC* 1,748 33
Tredegar 5,129 75
Trex* 1,248 43
Trinity Industries (a) 5,515 153
Triumph Group* 2,332 77
U.S. Xpress Enterprises* 934 13
United Capital* 484 11
United Industrial 1,444 27
United Rentals* (a) 8,906 158
United Stationers* 5,126 216
Universal Forest Products (a) 2,606 80
URS* 2,658 76
USF 4,538 155
USG* 6,136 107
Valence Technology* (a) 8,313 37
Valmont Industries 2,458 49
Vicor* 3,222 40
Volt Information Sciences* 1,272 31
Wabash National* (a) 4,225 100
Wabtec 5,246 75
Walter Industries 4,820 58
Washington Group International* 4,193 154
Waste Connections* (a) 4,154 165
Watsco 3,059 89
Watson Wyatt & Company Holdings* 5,528 140
Watts Water Technologies, Cl A 1,625 38
Woodward Governor 1,489 95
Yellow Roadway* (a) 6,645 224
York International 6,654 262
---------------
21,529
---------------
INFORMATION TECHNOLOGY - 19.2%
Actel* 3,684 83
ActivCard* 5,885 38
Activision* 22,018 348
</Table>
The accompanying notes are an integral part of the financial statements.
26
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Adaptec* (a) 17,920 $ 157
Advanced Digital Information* 10,391 118
Advanced Energy Industries* 2,816 57
Advent Software* 5,368 100
Aeroflex* (a) 9,628 130
Agile Software* 7,257 64
Agilysys 4,679 56
Akamai Technologies* 17,248 227
Alliance Semiconductor* 3,581 27
Allscripts Healthcare Solutions* 4,050 39
Altiris* 1,614 45
American Management Systems* 7,016 135
Anaren* 3,728 59
Andrew* (a) 24,766 433
Anixter International* 4,883 138
Ansoft* 1,013 15
ANSYS* 2,484 99
Anteon International* 3,130 90
Applied Films* (a) 2,468 69
aQuantive* 6,587 63
Ariba* 45,005 127
Arris Group* 8,924 82
Artisan Components* 2,935 65
Ascential Software* 9,734 213
AsiaInfo Holdings* 4,992 33
Ask Jeeves* (a) 5,874 210
Aspect Communication* 5,154 81
Aspen Technology* (a) 5,901 48
Asyst Technologies* (a) 7,627 63
Atari* 1,179 4
ATMI* (a) 4,500 118
Audiovox* 2,788 56
Autobytel* 5,552 73
Avanex* 9,697 42
Avid Technology* 5,010 231
Axcelis Technologies* 16,431 183
Bankrate* 943 19
BARRA (a) 2,502 88
BEI Technologies 1,831 41
Bel Fuse 1,640 54
Benchmark Electronics* 6,309 199
Black Box (a) 2,665 143
Bookham Technology (a) 11,336 25
Borland Software* (a) 11,799 107
Broadvision* 4,302 26
Brooks Automation* 7,225 152
Cable Design Technologies* 7,089 67
Cabot Microelectronics* (a) 3,092 131
Caci International, Cl A* 4,819 207
Catapult Communications* 885 16
CCC Information Services Group* 2,076 37
C-COR.net* 5,288 74
Celestica* 894 15
Centillium Communications* 4,919 22
Ceva* 2,469 23
Checkpoint Systems* 5,491 104
ChipPAC, Cl A* (a) 8,009 63
CIBER* 8,481 93
Cirrus Logic* 11,622 88
CMGI* 61,951 152
CNET Networks* (a) 16,942 $ 175
Cognex 5,689 189
Coherent* 4,898 129
Cohu 3,518 66
CommScope* (a) 8,626 144
Compucom Systems* 3,974 22
Computer Horizons* 4,631 20
Computer Network Technology* 4,531 36
Comtech Telecommunications* 2,337 54
Concord Communications* 2,738 39
Concur Technologies* 3,788 42
Concurrent Computer* 10,417 36
Conexant Systems* 92,706 571
Convera* 2,163 8
Corvis* (a) 58,708 113
Cray* 11,638 77
Credence Systems* 10,501 125
CSG Systems International* 8,774 151
CTS 5,734 75
CyberGuard* 1,796 18
Cymer* 5,797 224
Daktronics* 2,376 54
Datastream Systems* 2,905 21
Digimarc* 1,568 19
Digital Insight* (a) 4,854 101
Digital River* 4,569 107
DigitalThink* 6,716 16
Digitas* (a) 2,389 25
Diodes* 1,041 23
Dionex* 2,614 138
Ditech Communications* 4,580 76
Dot Hill Systems* 5,951 60
Drexler Technology* (a) 1,393 19
DSP Group* 4,610 119
DuPont Photomasks* 1,967 46
E.piphany* 9,343 67
EarthLink* (a) 19,782 175
Echelon* 4,744 53
eCollege.com* 2,364 49
eFunds* 7,833 128
Electro Scientific Industries* 4,670 110
Electronics for Imaging* 7,277 179
Embarcadero Technologies* 2,292 29
Entegris* (a) 8,779 111
Enterasys Networks* 34,099 86
Entrust* 8,129 36
Epicor Software* 6,348 84
EPIQ Systems* 2,141 35
ESS Technology* 5,122 75
Euronet Worldwide* 2,679 51
Exar* 6,677 124
Excel Technologies* 1,445 45
Extreme Networks* (a) 16,199 117
F5 Networks* 4,126 140
FalconStor Software* (a) 5,703 42
Fargo Electronics* 1,894 21
FEI* (a) 4,096 90
Filenet* (a) 5,709 152
FindWhat.com* (a) 2,011 44
Finisar* (a) 25,264 55
</Table>
27
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
FLIR Systems* (a) 5,251 $ 200
Forrester Research* 2,325 44
FreeMarkets* 6,214 51
Gartner, Cl A* 13,112 153
Gateway* (a) 36,300 192
Genesis Microchip* 5,232 88
Global Imaging Systems* 2,482 82
Group 1 Software* 1,404 23
Harmonic* (a) 11,660 113
Helix Technology 4,293 104
Homestore* 14,593 62
Hutchinson Technology* 3,839 108
Hypercom* 3,821 30
Hyperion Solutions* (a) 6,334 263
Identix* 14,364 83
iGATE* 3,224 22
Inet Technologies* 2,179 27
InFocus* 6,249 58
Informatica* 10,948 94
InfoSpace* 4,260 166
infoUSA* 4,960 52
Innovex* 2,840 19
Insituform Technologies, Cl A* 3,778 59
Integral Systems 1,627 31
Integrated Silicon Solution* 5,706 101
InteliData Technologies* (a) 8,217 10
Intellisync* 8,521 28
InterCept* 3,003 37
Intergraph* 6,005 145
Interland* 3,116 13
Internet Security Systems* (a) 6,239 110
Inter-Tel 3,050 92
InterVoice* 5,727 97
Interwoven* 6,678 67
Intrado* 2,429 47
Iomega* 8,052 45
iPayment* 925 31
Itron* 3,423 64
IXIA* 3,855 42
IXYS* 2,894 27
J2 Global Communications* 2,790 63
JDA Software* 4,785 70
Kana Software* 3,860 17
Keane* 8,598 135
Keithley Instruments 2,049 42
KEMET* 14,424 207
Keynote Systems* 2,858 37
KFX* 4,216 44
Komag* 3,949 73
Kopin* 11,647 67
Kronos* 4,672 152
Kulicke & Soffa* 8,395 98
Landauer 1,252 53
Lattice Semiconductor* 16,963 148
Lawson Software* 7,112 59
Lexar Media* (a) 10,124 168
Lightbridge* 4,552 27
Lionbridge Technologies* 5,277 51
Littelfuse* 3,226 120
LookSmart* 12,808 $ 25
LTX* (a) 8,984 136
Macrovision* 6,880 129
Magma Design Automation* 3,513 73
Manhattan Associates* 3,654 102
ManTech International* 2,226 46
Manugistics Group* 10,181 70
MAPICS* 2,938 24
MarketWatch.com* 910 13
MatrixOne* 7,216 52
Mattson Technology* 4,681 56
Maximus* 2,587 91
MedQuist* 1,510 24
Mentor Graphics* (a) 11,275 201
Methode Electronics, Cl A 5,598 72
Metrologic Instruments* 1,218 29
Micrel* (a) 9,399 125
Micromuse* 9,180 72
Micros Systems* 2,765 125
Microsemi* (a) 9,706 133
MicroStrategy, Cl A* 1,788 95
Midway Games* (a) 4,349 32
Mindspeed Technologies* 15,675 102
MKS Instruments* 4,389 105
Mobius Management Systems* 1,211 11
Monolithic System Technology* 3,777 51
MPS Group* 15,790 176
MRO Software* 3,225 37
MRV Communications* 17,510 58
MSC.Software* (a) 4,020 35
MTS Systems 3,518 97
Mykrolis* 5,441 78
Nassda* 2,270 16
National Processing* 1,088 21
Neoforma* 1,222 13
Neoware Systems* 2,547 26
Net2Phone* 4,755 25
Netegrity* 4,288 36
NetIQ* 8,868 124
NetRatings* 1,589 18
NetScout Systems* 3,227 25
Network Equip Technologies* 3,800 38
Newport* 6,469 108
NIC* 4,949 30
Nuance Communications* 870 6
Nyfix* 4,389 23
OmniVision Technologies* 7,952 217
ON Semiconductor* 6,525 49
Openwave Systems* 10,106 135
Oplink Communications* 19,011 48
OPNET Technologies* 1,835 27
Opsware* (a) 8,029 61
Optical Communication Products* 2,480 8
OSI Systems* 2,163 43
Overland Storage* 1,471 25
Packeteer* 3,880 51
Palmone* (a) 6,199 132
Palmsource* 1,662 30
Parametric Technology* (a) 35,912 162
Park Electrochemical 2,704 68
</Table>
The accompanying notes are an integral part of the financial statements.
28
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Paxar* 4,669 $ 69
PC-tel* 3,294 34
PDF Solutions* 2,418 28
PEC Solutions* 1,436 19
Pegasus Solutions* 4,164 49
Pegasystems* 1,524 13
Pemstar* 4,902 18
Pericom Semiconductor* 3,502 40
Perot Systems, Cl A* 12,292 163
Photon Dynamics* (a) 2,678 87
Photronics* 4,786 85
Pinnacle Systems* 9,678 87
Pixelworks* (a) 5,786 99
Planar Systems* 2,271 32
Plantronics* 6,587 241
Plexus* 6,684 119
Portal Software* 4,818 32
Power Integrations* 4,311 126
Powerwave Technologies* (a) 11,070 86
Presstek* 5,130 56
Progress Software* 4,383 105
Proxim, Cl A* (a) 20,408 36
QAD* 1,624 22
Quality Systems* 549 25
Quantum* 23,714 88
Quest Software* (a) 6,561 107
Radiant Systems* 2,833 17
RadiSys* (a) 2,976 62
Raindance Communications* 8,019 23
Redback Networks* 326 2
Redback Networks - Warrant* (a) 344 2
Redback Networks - Warrant* (a) 363 3
Register.com* 3,439 20
REMEC* (a) 9,589 73
Renaissance Learning* (a) 1,283 34
Research Frontiers* (a) 1,517 15
Retek* (a) 9,041 68
RF Micro Devices* (a) 28,847 244
Richardson Electronics 1,050 13
Rofin-Sinar Technologies* 1,945 58
Rogers* 2,676 143
Roxio* (a) 4,616 21
RSA Security* (a) 7,996 150
Rudolph Technologies* 1,962 37
S1* 11,645 89
Safeguard Scientifics* 20,024 74
SAFENET* (a) 3,282 123
SAFLINK* 4,348 13
Sanchez Computer Associates* 2,178 14
Sapient* 12,976 78
SBS Technologies* 2,284 35
ScanSoft* 12,435 70
ScanSource* 1,780 85
SeaChange International* 3,985 61
Secure Computing* 5,706 93
SeeBeyond Technologies* 8,054 33
Semitool* 2,723 35
Semtech* 9,810 224
SERENA Software* (a) 3,816 78
Sigma Designs* (a) 2,956 21
Silicon Graphics* (a) 34,264 $ 87
Silicon Image* 11,650 120
Silicon Storage Technology* 13,344 173
Siliconix* 986 46
SimpleTech* 1,550 7
SIPEX* 4,155 26
Skyworks Solutions* (a) 24,948 291
SM & A* 2,045 23
Sohu.com* (a) 2,837 71
Sonic Solutions* (a) 2,530 48
SonicWALL* 8,649 77
Sonus Networks* (a) 35,913 133
SpectraLink 2,689 46
SPSS* 2,057 38
SRA International, Cl A* 1,428 53
SS&C Technologies 1,834 45
Standard Microsystems* 2,012 54
StarTek 1,765 64
Stellent* 2,861 21
StorageNetworks* (c) 15,089 --
Stratasys* (a) 1,381 26
Stratex Networks* 13,848 66
Superconductor Technologies* 9,009 21
Supertex* 1,482 25
Supportsoft* 4,937 54
Sybase* 14,630 307
Sycamore Networks* 27,683 113
Sykes Enterprises* 4,009 24
Symmetricom* 6,311 57
Synaptics* 2,702 47
Synplicity* 1,941 14
Syntel 974 27
Sypris Solutions 788 13
Take-Two Interactive Software* (a) 6,907 254
TALX 2,279 50
Technitrol* 6,744 127
Tekelec* (a) 8,543 142
Terayon Communications* 10,979 38
TheStreet.com* 1,922 9
THQ* (a) 6,385 129
Three Five Systems* 3,229 21
TIBCO Software* (a) 14,083 115
Tier Technologies* 2,177 23
Titan* 13,326 269
Tollgrade Communications* 2,274 36
Tradestation Group* (a) 2,911 20
Transaction Systems Architects, Cl A* (a) 5,781 134
Transmeta* 19,137 76
Trimble Navigation* 7,972 183
TriQuint Semiconductor* 22,362 163
TTM Technologies* 3,228 40
Tyler Technologies* 6,762 66
Ulticom* 1,820 19
Ultratech* 3,385 79
United Online* 7,167 119
Universal Display* 2,671 34
UNOVA* 7,716 167
ValueClick* 11,079 120
Varian* 4,911 197
Varian Semiconductor Equipment Associates* 4,771 200
</Table>
29
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Vastera* 4,492 $ 17
Veeco Instruments* 3,777 106
Verint Systems* 1,036 32
Verity* 3,518 48
Verso Technologies* (a) 19,350 32
Viasat* 3,494 87
Vignette* 35,409 73
Virage Logic* 3,119 29
Vitesse Semiconductor* 34,505 245
Vitria Technology* 3,081 18
WatchGuard Technologies* 5,509 43
WebEx Communications* 4,044 120
webMethods* 7,676 72
Websense* 3,287 97
Westell Technologies, Cl A* 7,432 54
White Electronic Designs* 3,433 26
Wind River Systems* 12,208 135
Woodhead Industries 1,515 23
Xicor* 4,204 64
X-Rite 3,364 50
Zhone Technologies* 6,509 25
Zoran* 6,756 117
Zygo* 2,654 41
---------------
30,730
---------------
MATERIALS - 5.2%
A. Schulman 4,948 97
AK Steel Holdings* 16,225 95
Albemarle 5,354 155
Allegheny Technologies 13,495 163
AMCOL International 3,150 55
Ameron International 1,113 38
Arch Chemicals 3,316 94
Arch Coal 7,242 227
Brush Engineered Metals* 2,241 45
Buckeye Technologies* 4,439 46
Calgon Carbon 5,719 44
Cambrex 3,245 87
Caraustar Industries* 4,826 56
Carpenter Technology 3,185 105
Century Aluminum* 2,072 58
Chesapeake 2,403 57
Cleveland Cliffs* 1,514 99
Coeur D'Alene Mines* (a) 34,737 243
Commercial Metals 4,219 134
Crompton 19,142 122
Crown Holdings* (a) 27,668 258
Deltic Timber 1,619 57
Eagle Materials 1,923 113
Ethyl* 2,441 48
Ferro 5,960 156
FMC* (a) 5,904 253
Fuller, H.B. 4,762 135
Georgia Gulf 4,670 141
Gibraltar Steel 1,883 46
Glatfelter 4,690 53
GrafTech International* (a) 14,080 210
Great Lakes Chemical 6,035 144
Greif, Cl A 2,600 91
Headwaters* 5,155 132
Hecla Mining* 19,495 $ 164
Hercules* 15,544 178
IMC Global* (a) 18,096 259
Kronos Worldwide 623 19
Liquidmetal Technologies* (a) 2,592 8
Longview Fibre* 8,506 95
Louisiana Pacific (a) 17,507 452
MacDermid 4,234 149
Massey Energy (a) 10,305 227
Material Sciences* 1,105 12
Millennium Chemicals* (a) 10,655 159
Minerals Technologies 2,915 166
Myers Industries 3,225 40
NL Industries 1,229 17
NN 1,785 21
Octel 1,632 49
Olin (a) 9,025 161
OM Group* (a) 4,760 145
Omnova Solutions* 5,235 27
PolyOne* 16,699 111
Pope & Talbot 2,622 45
Potlatch 4,347 177
Quaker Chemical 1,318 33
Quanex 2,665 113
Rock-Tenn, Cl A 4,077 59
Royal Gold (a) 2,986 53
RTI International Metals* 2,855 45
Ryerson Tull 3,402 45
Schnitzer Steel Industries, Cl A (a) 2,310 74
Schweitzer-Mauduit International 2,484 80
Sensient Technologies 6,656 124
Silgan Holdings* 1,818 83
Spartech 3,870 96
Steel Dynamics* (a) 6,254 155
Stephan 860 20
Stillwater Mining* 7,374 116
Symyx Technologies* 3,886 111
Texas Industries 3,529 128
USEC 13,781 116
Valhi 4,493 57
W R Grace & Company* 10,999 34
Wausau-Mosinee Paper 6,183 87
Wellman 5,317 44
Westmoreland Coal* 988 18
---------------
8,229
---------------
TELECOMMUNICATION SERVICES - 1.2%
Aether Systems* 6,109 28
AT Road* 4,795 59
Boston Communications Group* 2,611 31
Centennial Communications, Cl A* 1,916 13
Cincinnati Bell* 32,011 130
Commonwealth Telephone Enterprises* (a) 3,495 143
CT Communications 2,950 41
D & E Communications 2,157 30
Dobson Communications, Cl A* 4,739 14
EMS Technologies* 1,789 35
General Communication* 8,132 74
Golden Telecom (a) 2,105 72
HickoryTech 2,084 26
</Table>
The accompanying notes are an integral part of the financial statements.
30
<Page>
<Table>
<Caption>
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Hungarian Telephone & Cable* 527 $ 5
Infonet Services, Cl B* 10,973 22
McLeodUSA, Cl A* (a) 10,246 15
Metro One Telecommunications* 2,981 7
Neon Communications* (b) 34,093 68
Network Plus* (b) 1,155 --
NII Holdings, Class B* (a) 6,603 231
North Pittsburgh 2,349 47
Price Communications* 6,387 100
Primus Telecommunications Group* 11,124 94
PTEK Holdings* 7,161 66
SBA Communications* 7,267 28
Shenandoah Telecommunications 1,104 25
SureWest Communications 2,376 64
Talk America Holdings* (a) 4,391 37
Time Warner Telecom, Cl A* 6,713 44
Triton PCS Holdings, Cl A* 3,697 20
Warwick Valley Telephone 839 21
Western Wireless, Cl A* 9,823 230
Wiltel Communications Group (c) 4,122 --
Wireless Facilities* 4,763 52
---------------
1,872
---------------
UTILITIES - 2.6%
Allegheny Energy* (a) 21,253 291
American States Water 2,554 62
Aquila* 30,872 145
Atmos Energy 7,823 200
Avista 8,095 153
Black Hills 5,028 160
California Water Service 2,452 69
Cascade Natural Gas 1,736 38
Central Vermont Public Service 1,855 42
CH Energy Group 2,142 105
Chesapeake Utilities 876 22
CLECO (a) 6,935 132
CMS Energy* (a) 23,392 209
Connecticut Water Services 1,243 35
El Paso Electric* 8,226 114
Empire District Electric 3,559 81
Energen 5,863 242
EnergySouth 686 24
IDACORP 6,407 192
Laclede Group 3,121 95
MGE Energy 2,947 91
Middlesex Water 1,629 34
New Jersey Resources 3,848 145
Northwestern Natural Gas 4,311 135
NUI 2,358 40
Otter Tail 4,026 106
PNM Resources (a) 6,562 197
Semco Energy 4,665 26
Sierra Pacific Resources* (a) 20,187 149
SJW 828 29
South Jersey Industries 1,746 71
Southern Union* 9,313 176
Southwest Gas 5,115 120
<Caption>
DESCRIPTION SHARES/PAR (000) VALUE (000)
- -------------------------------------------------------------------------------------------
Southwest Water (a) 3,164 $ 43
UIL Holdings 1,642 79
Unisource Energy Holding 4,773 117
Westar Energy (a) 11,195 235
---------------
4,204
---------------
TOTAL COMMON STOCKS
(Cost $124,387) 155,168
---------------
SHORT-TERM INVESTMENTS - 6.2%
U.S. TREASURY OBLIGATION - 0.4%
United States Treasury Bill (d)
0.960%, 09/09/04 $ 700 697
---------------
TOTAL U.S. TREASURY OBLIGATION 697
---------------
AFFILIATED MONEY MARKET FUND - 5.8%
First American Prime
Obligations Fund, Cl Z (e) 9,209,025 9,209
---------------
TOTAL AFFILIATED MONEY MARKET FUND 9,209
---------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $9,906) 9,906
---------------
INVESTMENTS PURCHASED WITH PROCEEDS FROM
SECURITIES LENDING - 23.1%
COMMERCIAL PAPER - 6.5%
Bluegrass
1.160%, 11/18/04 $ 148 148
1.160%, 2/18/05 148 148
CIBC NY
1.110%, 9/09/04 765 765
Concord Min Capital
1.100%, 4/07/04 833 833
1.100%, 4/08/04 272 272
1.100%, 4/14/04 118 118
Descartes Funding Trust
1.150%, 11/15/04 296 296
Emerald Trust
1.063%, 5/06/04 295 295
Ford Credit Floor Plan
1.063%, 5/03/04 886 886
Goldman Sachs
1.163%, 1/18/05 296 296
Independent IV
1.048%, 10/15/04 384 384
Lakeside Funding
1.142%, 4/08/04 677 677
Leafs
1.339%, 4/20/04 408 408
Lehman Brothers
1.133%, 7/23/04 207 207
1.123%, 8/23/04 148 148
Moat Funding
1.157%, 5/05/04 591 591
Morgan Stanley
1.054%, 6/11/04 295 295
Mortgage Interest Network
1.062%, 4/27/04 295 295
1.042%, 5/11/04 295 295
1.063%, 6/07/04 295 295
Norddeutsche Landesbank
1.110%, 9/09/04 294 294
Orchard Park
1.180%, 7/06/04 638 638
1.200%, 10/06/04 207 207
</Table>
31
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- -------------------------------------------------------------------------------------------
Park Granada
1.083%, 4/07/04 $ 266 $ 266
1.063%, 4/13/04 177 177
1.063%, 4/13/04 473 473
1.063%, 5/06/04 89 89
Sigma Finance
1.157%, 5/04/04 590 590
---------------
TOTAL COMMERCIAL PAPER 10,386
---------------
CORPORATE OBLIGATIONS - 5.1%
Allstate Life Global
1.040%, 2/15/05 591 591
Castle Hill III
1.211%, 9/16/04 177 177
Duke Funding VI
1.180%, 4/08/05 358 358
General Electric Capital Corporation
1.139%, 4/08/05 296 296
Jefferson Pilot
1.062%, 2/17/05 296 296
Metlife Global Funding
1.137%, 3/28/05 248 248
0.991%, 4/15/05 355 355
Merrill Lynch & Co
1.063%, 4/04/05 591 591
Morgan Stanley
1.137%, 3/24/05 296 296
Northlake CDO
1.205%, 3/07/05 177 177
Premium Asset Trust
1.254%, 6/01/04 881 881
1.037%, 12/22/04 443 443
Residential Mortgage Securities
1.102%, 9/11/04 415 415
Sigma Finance
1.143%, 8/09/04 591 591
SMM Trust 2003-H
1.183%, 9/23/04 765 765
Societe Generale NYC
1.148%, 12/08/04 591 591
WestDeutsche LandesBank
1.220%, 6/03/04 473 473
1.150%, 8/02/04 591 591
---------------
TOTAL CORPORATE OBLIGATIONS 8,135
---------------
MONEY MARKET FUNDS - 0.3%
AIM Short Term Liquid Asset Portfolio 88,669 89
Merrill Lynch Premier Institutional Fund 371,366 371
---------------
TOTAL MONEY MARKET FUNDS 460
---------------
OTHER SHORT-TERM INVESTMENTS - 1.3%
Commonwealth Life
1.303%, 4/01/04 $ 298 298
General Electric Capital Assurance
1.200%, 1/19/05 118 118
HBOS Treasury Services
1.020%, 3/01/05 325 325
Liquid Funding
1.065%, 8/23/04 296 296
0.488%, 9/14/04 296 296
Security Life Denver
1.270%, 7/13/04 768 768
---------------
TOTAL OTHER SHORT-TERM INVESTMENTS 2,101
---------------
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 9.9%
Bear Stearns
1.200%, dated 3/31/04, matures 4/20/04,
repurchase price $1,183,046 (collateralized
by Various Securities:
Total Market Value $1,234,024) $ 1,182 $ 1,182
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $342,865 (collateralized
by U.S. Government Securities:
Total Market Value $349,712) 343 343
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $443,360 (collateralized
by U.S. Government Securities:
Total Market Value $452,236) 443 443
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,625,654 (collateralized
by U.S. Government Securities:
Total Market Value $1,658,134) 1,626 1,626
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $206,902 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $217,248) 207 207
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $413,804 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $434,488) 414 414
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $472,919 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $496,565) 473 473
Deutsche Bank
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $591,147 (collateralized
by U.S. Government Securities:
Total Market Value $602,952) 591 591
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $118,229 (collateralized
by U.S. Government Securities:
Total Market Value $120,590) 118 118
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $650,262 (collateralized
by U.S. Government Securities:
Total Market Value $663,247) 650 650
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $177,345 (collateralized
by Corporate Securities:
Total Market Value $182,823) 177 177
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $413,804 (collateralized
by Corporate Securities:
Total Market Value $426,588) 414 414
</Table>
The accompanying notes are an integral part of the financial statements.
32
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- -------------------------------------------------------------------------------------------
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $591,149 (collateralized
by Corporate Securities:
Total Market Value $609,417) $ 591 $ 591
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $1,684,775 (collateralized
by Corporate Securities:
Total Market Value $1,736,823) 1,685 1,685
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $295,575 (collateralized
by Corporate Securities:
Total Market Value $301,598) 296 296
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $295,575 (collateralized
by Corporate Securities:
Total Market Value $304,706) 296 296
J P Morgan
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $307,396 (collateralized
by U.S. Government Securities:
Total Market Value $313,554) 307 307
Lehman Brothers
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $1,477,867 (collateralized
by Various Securities:
Total Market Value $1,507,404) 1,478 1,478
Lehman Brothers
1.200%, dated 3/31/04, matures 4/1/04,
repurchase price $206,902 (collateralized
by Corporate Securities:
Total Market Value $237,296) 207 207
Lehman Brothers
1.243%, dated 3/31/04, matures 4/1/04,
repurchase price $1,182,299 (collateralized
by Various Securities:
Total Market Value $1,205,903) 1,182 1,182
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $266,016 (collateralized
by U.S. Government Securities:
Total Market Value $271,328) 266 266
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $472,918 (collateralized
by U.S. Government Securities:
Total Market Value $484,252) 473 473
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $532,032 (collateralized
by U.S. Government Securities:
Total Market Value $545,167) 532 532
Morgan Stanley
1.133%, dated 3/31/04, matures 4/1/04,
repurchase price $1,838,469 (collateralized
by Collateralized Mortgage Obligations &
Asset-Backed Securities:
Total Market Value $1,937,493) $ 1,838 $ 1,838
---------------
TOTAL REPURCHASE AGREEMENTS 15,789
---------------
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM
SECURITIES LENDING
(Cost $36,871) 36,871
---------------
TOTAL INVESTMENTS - 126.4%
(Cost $171,164) 201,945
---------------
OTHER ASSETS AND LIABILITIES, NET - (26.4)% (42,187)
---------------
TOTAL NET ASSETS - 100.0% $ 159,758
---------------
</Table>
* Non-income producing security
(a) This security or a portion of this security is out on loan at March 31,
2004. Total loaned securities had a market value of $35,263,230 at March 31,
2004. See note 2 in Notes to Financial Statements.
(b) Securities considered illiquid investments under guidelines established by
the Board of Directors. As of March 31, 2004, the market value of these
investments is $68,188 or 0.04% of total net assets. See note 2 in Notes to
Financial Statements.
(c) Securities considered illiquid investments and are fair valued under
guidelines established by the Board of Directors. As of March 31, 2004, the
fair value of these investments is $0 or 0.0% of total net assets. See
note 2 in Notes to Financial Statements.
(d) Security has been deposited as initial margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 7 in Notes to
Financial Statements.
(e) Investment in affiliated security. This money market fund is advised by U.S.
Bancorp Asset Management, Inc., which also serves as advisor for this Fund.
See note 3 in Notes to Financial Statements.
Cl - Class
REIT - Real Estate Investment Trust
33
<Page>
STATEMENTS OF ASSETS AND LIABILITIES March 31, 2004 (unaudited), in thousands,
except for per share data
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND INDEX FUND INDEX FUND
- ---------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value*+ $ 2,955,512 $ 471,684 $ 192,736
Investments in affiliated securities, at value** 106,111 19,614 9,209
Cash 15 -- --
Dividends and interest receivable 2,897 205 133
Receivable for investment securities sold -- 1,541 --
Receivable for capital shares sold 2,882 170 736
Variation margin receivable -- 87 46
Prepaid expenses and other assets 77 15 13
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 3,067,494 493,316 202,873
===========================================================================================================================
LIABILITIES:
Payable for investment securities purchased -- 627 --
Payable upon return of securities loaned 653,398 150,788 36,871
Payable for capital shares redeemed 7,252 524 6,191
Variation margin payable 102 -- --
Payable for advisory, co-administration, and custodian fees 667 90 46
Payable for distribution and shareholder servicing fees 146 7 5
Payable for other accrued expenses and liabilities 5 25 2
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 661,570 152,061 43,115
===========================================================================================================================
NET ASSETS $ 2,405,924 $ 341,255 $ 159,758
===========================================================================================================================
COMPOSITION OF NET ASSETS:
Portfolio capital $ 1,910,161 $ 298,288 $ 127,446
Undistributed net investment income 637 50 85
Accumulated net realized gain (loss) on investments (30,895) 1,854 1,182
Unrealized appreciation of investments 525,062 40,625 30,781
Unrealized appreciation of futures contracts 959 438 264
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 2,405,924 $ 341,255 $ 159,758
===========================================================================================================================
* Investments in unaffiliated securities, at cost $ 2,432,807 $ 431,059 $ 161,955
** Investments in affiliated securities, at cost $ 103,754 $ 19,614 $ 9,209
+ Including securities loaned, at value $ 632,049 $ 145,729 $ 35,263
CLASS A:
Net assets $ 213,674 $ 10,116 $ 5,419
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 10,109 840 393
Net asset value, and redemption price per share $ 21.14 $ 12.04 $ 13.79
Maximum offering price per share (1) $ 22.37 $ 12.74 $ 14.59
CLASS B:
Net assets $ 77,257 $ 3,116 $ 1,461
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 3,699 262 108
Net asset value, offering price, and redemption price per share (2) $ 20.88 $ 11.89 $ 13.59
CLASS C:
Net assets $ 32,739 $ 2,663 $ 1,931
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 1,559 223 141
Net asset value, offering price, and redemption price per share (2) $ 21.00 $ 11.92 $ 13.70
CLASS S:
Net assets $ 30,177 $ 2,438 $ 4,242
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 1,428 203 309
Net asset value, offering price, and redemption price per share $ 21.13 $ 12.04 $ 13.72
CLASS Y:
Net assets $ 2,052,077 $ 322,922 $ 146,705
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 97,120 26,804 10,603
Net asset value, offering price, and redemption price per share $ 21.13 $ 12.05 $ 13.84
</Table>
(1) The offering price is calculated by dividing the net asset value by 1 minus
the maximum sales charge of 5.50%.
(2) Class B and C have a contigent deferred sales charge. For a description of
this sales charge, see notes 1 and 3 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
34
<Page>
STATEMENTS OF OPERATIONS For the six months ended March 31, 2004 (unaudited), in
thousands
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND INDEX FUND INDEX FUND
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest from unaffiliated securities $ 54 $ 7 $ 5
Interest from affiliated money market fund 441 90 29
Dividends from unaffiliated securities 19,257 1,744 868
Dividends from affiliated security 201 -- --
Securities lending 214 31 18
Other income 199 -- 9
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 20,366 1,872 929
===========================================================================================================================
EXPENSES:
Investment advisory fees 2,892 383 302
Co-administration fees and expenses (including per account transfer agency fees) 3,070 411 239
Custodian fees 116 15 8
Directors' fees 17 2 1
Registration fees 29 12 9
Professional fees 39 5 2
Printing 23 3 1
Other 36 4 2
Distribution and shareholder servicing fees - Class A 220 8 6
Distribution and shareholder servicing fees - Class B 384 14 6
Distribution and shareholder servicing fees - Class C 165 11 9
Shareholder servicing fees - Class S 74 6 5
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 7,065 874 590
===========================================================================================================================
Less: Fee waivers (1,941) (69) (51)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL NET EXPENSES 5,124 805 539
===========================================================================================================================
INVESTMENT INCOME - NET 15,242 1,067 390
- ---------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND FUTURES
CONTRACTS - NET:
Net realized gain on investments 881 991 278
Net realized gain on futures contracts 7,379 1,769 1,299
Net change in unrealized appreciation or depreciation of investments 262,771 44,701 25,979
Net change in unrealized appreciation or depreciation of future contracts 2,211 569 481
- ---------------------------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS AND FUTURES CONTRACTS 273,242 48,030 28,037
===========================================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 288,484 $ 49,097 $ 28,427
===========================================================================================================================
</Table>
35
<Page>
STATEMENTS OF CHANGES IN NET ASSETS in thousands
<Table>
<Caption>
EQUITY MID CAP
INDEX FUND INDEX FUND
- -----------------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/1/02
TO TO TO TO
3/31/04 9/30/03 3/31/04 9/30/03
- -----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
OPERATIONS:
Investment income - net $ 15,242 $ 24,772 $ 1,067 $ 1,510
Net realized gain (loss) on investments 881 (3,233) 991 3,462
Net realized loss on in-kind distributions -- (663) -- --
Net realized gain on futures contracts 7,379 9,771 1,769 1,471
Net change in unrealized appreciation or depreciation of investments 262,771 327,421 44,701 41,654
Net change in unrealized appreciation or depreciation of futures contracts 2,211 1,044 569 313
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 288,484 359,112 49,097 48,410
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income - net:
Class A (1,015) (1,752) (15) (20)
Class B (190) (330) -- (1)
Class C (81) (145) -- (1)
Class S (339) (570) (10) (18)
Class Y (13,581) (21,115) (1,013) (1,472)
Net realized gain on investments:
Class A -- -- (99) (97)
Class B -- -- (46) (41)
Class C -- -- (33) (26)
Class S -- -- (76) (95)
Class Y -- -- (4,643) (5,505)
- -----------------------------------------------------------------------------------------------------------------------------------
Total distributions (15,206) (23,912) (5,935) (7,276)
===================================================================================================================================
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Proceeds from sales 50,393 25,928 4,664 1,994
Reinvestment of distributions 972 1,673 113 116
Payments for redemptions (16,645) (37,906) (924) (1,218)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class A transactions 34,720 (10,305) 3,853 892
- -----------------------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from sales 2,982 5,525 357 731
Reinvestment of distributions 185 321 45 41
Payments for redemptions (6,714) (14,832) (108) (201)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class B transactions (3,547) (8,986) 294 571
- -----------------------------------------------------------------------------------------------------------------------------------
Class C:
Proceeds from sales 2,891 13,645 900 843
Reinvestment of distributions 79 142 32 25
Payments for redemptions (5,550) (9,354) (335) (162)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class C transactions (2,580) 4,433 597 706
- -----------------------------------------------------------------------------------------------------------------------------------
Class S:
Proceeds from sales 9,875 27,976 874 1,734
Reinvestment of distributions 334 549 77 97
Payments for redemptions (39,906) (27,845) (3,317) (1,930)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class S transactions (29,697) 680 (2,366) (99)
- -----------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from sales 341,097 890,946 76,218 114,594
Reinvestment of distributions 9,562 15,659 3,427 5,064
Payments for redemptions (302,907) (547,725) (36,745) (117,836)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class Y transactions 47,752 358,880 42,900 1,822
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from capital share transactions 46,648 344,702 45,278 3,892
- -----------------------------------------------------------------------------------------------------------------------------------
Total increase in net assets 319,926 679,902 88,440 45,026
NET ASSETS AT BEGINNING OF PERIOD 2,085,998 1,406,096 252,815 207,789
===================================================================================================================================
NET ASSETS AT END OF PERIOD $ 2,405,924 $ 2,085,998 $ 341,255 $ 252,815
===================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME AT END OF PERIOD $ 637 $ 601 $ 50 $ 21
===================================================================================================================================
<Caption>
SMALL CAP
INDEX FUND
- -------------------------------------------------------------------------------------------------------
10/1/03 10/1/02
TO TO
3/31/04 9/30/03
- -------------------------------------------------------------------------------------------------------
(UNAUDITED)
OPERATIONS:
Investment income - net $ 390 $ 679
Net realized gain (loss) on investments 278 (183)
Net realized loss on in-kind distributions -- --
Net realized gain on futures contracts 1,299 702
Net change in unrealized appreciation or depreciation of investments 25,979 30,354
Net change in unrealized appreciation or depreciation of futures contracts 481 107
- -------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 28,427 31,659
- -------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income - net:
Class A (6) (11)
Class B -- --
Class C -- (1)
Class S (5) (33)
Class Y (361) (639)
Net realized gain on investments:
Class A (25) --
Class B (7) --
Class C (10) --
Class S (23) --
Class Y (855) --
- -------------------------------------------------------------------------------------------------------
Total distributions (1,292) (684)
=======================================================================================================
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Proceeds from sales 1,429 1,423
Reinvestment of distributions 31 11
Payments for redemptions (277) (639)
- -------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class A transactions 1,183 795
- -------------------------------------------------------------------------------------------------------
Class B:
Proceeds from sales 300 513
Reinvestment of distributions 7 --
Payments for redemptions (53) (131)
- -------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class B transactions 254 382
- -------------------------------------------------------------------------------------------------------
Class C:
Proceeds from sales 647 744
Reinvestment of distributions 10 1
Payments for redemptions (272) (151)
- -------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class C transactions 385 594
- -------------------------------------------------------------------------------------------------------
Class S:
Proceeds from sales 1,287 1,887
Reinvestment of distributions 27 33
Payments for redemptions (968) (13,558)
- -------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class S transactions 346 (11,638)
- -------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from sales 50,480 51,061
Reinvestment of distributions 840 372
Payments for redemptions (48,918) (55,592)
- -------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class Y transactions 2,402 (4,159)
- -------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from capital share transactions 4,570 (14,026)
- -------------------------------------------------------------------------------------------------------
Total increase in net assets 31,705 16,949
NET ASSETS AT BEGINNING OF PERIOD 128,053 111,104
=======================================================================================================
NET ASSETS AT END OF PERIOD $ 159,758 $ 128,053
=======================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME AT END OF PERIOD $ 85 $ 67
=======================================================================================================
</Table>
(1) See note 5 in Notes to Financial Statements for additional information.
The accompanying notes are an integral part of the financial statements.
36
<Page>
(This page has been left blank intentionally.)
37
<Page>
FINANCIAL HIGHLIGHTS For a share outstanding throughout the periods ended
September 30, unless otherwise indicated.
<Table>
<Caption>
REALIZED AND
NET ASSET UNREALIZED DIVIDENDS NET ASSET
VALUE NET GAINS OR FROM NET DISTRIBUTIONS VALUE
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET END OF
OF PERIOD INCOME INVESTMENTS INCOME REALIZED GAINS PERIOD
- ----------------------------------------------------------------------------------------------------------------------
EQUITY INDEX FUND
Class A
2004 (1) (2) $ 18.70 $ 0.12 $ 2.44 $ (0.12) $ -- $ 21.14
2003 (1) 15.31 0.21 3.38 (0.20) -- 18.70
2002 (1) 19.50 0.18 (4.19) (0.18) -- 15.31
2001 (1) 27.75 0.18 (7.43) (0.17) (0.83) 19.50
2000 25.52 0.17 2.91 (0.17) (0.68) 27.75
1999 20.61 0.21 5.36 (0.22) (0.44) 25.52
Class B
2004 (1) (2) $ 18.48 $ 0.04 $ 2.41 $ (0.05) $ -- $ 20.88
2003 (1) 15.13 0.08 3.35 (0.08) -- 18.48
2002 (1) 19.29 0.03 (4.15) (0.04) -- 15.13
2001 (1) 27.49 -- (7.35) (0.02) (0.83) 19.29
2000 25.34 -- 2.84 (0.01) (0.68) 27.49
1999 20.49 0.05 5.30 (0.06) (0.44) 25.34
Class C
2004 (1) (2) $ 18.59 $ 0.04 $ 2.42 $ (0.05) $ -- $ 21.00
2003 (1) 15.23 0.08 3.36 (0.08) -- 18.59
2002 (1) 19.41 0.03 (4.17) (0.04) -- 15.23
2001 (1) 27.66 -- (7.40) (0.02) (0.83) 19.41
2000 25.48 -- 2.88 (0.02) (0.68) 27.66
1999 (3) 25.35 0.06 0.13 (0.06) -- 25.48
Class S (1)
2004 (2) $ 18.70 $ 0.12 $ 2.43 $ (0.12) $ -- $ 21.13
2003 15.30 0.21 3.39 (0.20) -- 18.70
2002 19.50 0.18 (4.20) (0.18) -- 15.30
2001 (4) 18.80 -- 0.70 -- -- 19.50
Class Y
2004 (1) (2) $ 18.69 $ 0.14 $ 2.44 $ (0.14) $ -- $ 21.13
2003 (1) 15.30 0.25 3.38 (0.24) -- 18.69
2002 (1) 19.49 0.23 (4.19) (0.23) -- 15.30
2001 (1) 27.74 0.23 (7.42) (0.23) (0.83) 19.49
2000 25.51 0.23 2.91 (0.23) (0.68) 27.74
1999 20.60 0.28 5.35 (0.28) (0.44) 25.51
</Table>
(1) Per share data calculated using average shares outstanding method.
(2) For the six months ended March 31, 2004 (unaudited). All ratios for the
period have been annualized, exept total return and portfolio turnover.
(3) Class of shares has been offered since February 1, 1999. All ratios for the
period have been annualized, except total return and portfolio turnover.
(4) Class of shares has been offered since September 24, 2001. All ratios for
the period have been annualized, except total return and portfolio turnover.
(5) Total return does not reflect sales charges. Total return would have been
lower had certain expenses not been waived.
The accompanying notes are an integral part of the financial statements.
38
<Page>
<Table>
<Caption>
RATIO OF RATIO OF NET
RATIO OF NET EXPENSES TO INVESTMENT
RATIO OF INVESTMENT AVERAGE INCOME (LOSS)
NET ASSETS EXPENSES TO INCOME (LOSS) NET ASSETS TO AVERAGE NET PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER
RETURN (5) PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- -------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX FUND
Class A
2004 (1) (2) 13.71% $ 213,674 0.62% 1.14% 0.79% 0.97% --%
2003 (1) 23.58 158,324 0.62 1.22 0.80 1.04 1
2002 (1) (20.75) 139,007 0.62 0.91 0.80 0.73 8
2001 (1) (26.95) 188,410 0.60 0.74 1.14 0.20 6
2000 12.11 134,180 0.60 0.62 1.14 0.08 16
1999 27.30 110,439 0.60 0.85 1.14 0.31 7
Class B
2004 (1) (2) 13.27% $ 77,257 1.37% 0.39% 1.54% 0.22% --%
2003 (1) 22.72 71,624 1.37 0.47 1.55 0.29 1
2002 (1) (21.40) 66,835 1.37 0.16 1.55 (0.02) 8
2001 (1) (27.49) 95,586 1.35 (0.01) 1.89 (0.55) 6
2000 11.25 121,092 1.35 (0.13) 1.89 (0.67) 16
1999 26.38 99,054 1.35 0.10 1.89 (0.44) 7
Class C
2004 (1) (2) 13.24% $ 32,739 1.37% 0.39% 1.54% 0.22% --%
2003 (1) 22.65 31,330 1.37 0.47 1.55 0.29 1
2002 (1) (21.38) 21,637 1.37 0.16 1.55 (0.02) 8
2001 (1) (27.51) 29,560 1.35 (0.01) 1.89 (0.55) 6
2000 11.32 34,811 1.35 (0.13) 1.89 (0.67) 16
1999 (3) 0.76 16,861 1.35 0.07 1.89 (0.47) 7
Class S (1)
2004 (2) 13.65% $ 30,177 0.62% 1.14% 0.79% 0.97% --%
2003 23.66 52,925 0.62 1.22 0.80 1.04 1
2002 (20.79) 42,964 0.62 0.93 0.80 0.75 8
2001 (4) 3.72 38,220 0.72 0.89 1.20 0.41 6
Class Y
2004 (1) (2) 13.84% $ 2,052,077 0.37% 1.39% 0.54% 1.22% --%
2003 (1) 23.89 1,771,795 0.37 1.46 0.55 1.28 1
2002 (1) (20.56) 1,135,653 0.37 1.16 0.55 0.98 8
2001 (1) (26.78) 1,567,607 0.35 0.99 0.89 0.45 6
2000 12.38 1,400,086 0.35 0.87 0.89 0.33 16
1999 27.61 1,206,072 0.35 1.11 0.89 0.57 7
</Table>
39
<Page>
<Table>
<Caption>
REALIZED AND
NET ASSET UNREALIZED DIVIDENDS NET ASSET
VALUE NET GAINS OR FROM NET DISTRIBUTIONS VALUE
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET END OF
OF PERIOD INCOME (LOSS) INVESTMENTS INCOME REALIZED GAINS PERIOD
- --------------------------------------------------------------------------------------------------------------------------
MID CAP INDEX FUND (1)
Class A
2004 (2) (3) $ 10.36 $ 0.03 $ 1.87 $ (0.03) $ (0.19) $ 12.04
2003 (2) 8.51 0.04 2.08 (0.04) (0.23) 10.36
2002 (2) 9.38 0.04 (0.49) (0.04) (0.38) 8.51
2001 (2) (4) 12.56 0.05 (2.11) (0.05) (1.07) 9.38
2000 (5) (6) 10.00 0.04 2.56 (0.04) -- 12.56
Class B
2004 (2) (3) $ 10.25 $ (0.02) $ 1.85 $ -- $ (0.19) $ 11.89
2003 (2) 8.44 (0.03) 2.07 -- (0.23) 10.25
2002 (2) 9.33 (0.03) (0.48) -- (0.38) 8.44
2001 (2) (4) 12.52 -- (2.12) -- (1.07) 9.33
2000 (5) (6) 10.00 (0.01) 2.56 (0.03) -- 12.52
Class C (2)
2004 (3) $ 10.28 $ (0.02) $ 1.85 $ -- $ (0.19) $ 11.92
2003 8.47 (0.03) 2.07 -- (0.23) 10.28
2002 9.38 (0.02) (0.51) -- (0.38) 8.47
2001 (7) 9.07 -- 0.31 -- -- 9.38
Class S (2)
2004 (3) $ 10.36 $ 0.03 $ 1.87 $ (0.03) $ (0.19) $ 12.04
2003 8.50 0.04 2.09 (0.04) (0.23) 10.36
2002 9.38 0.04 (0.50) (0.04) (0.38) 8.50
2001 (8) 11.07 0.04 (1.67) (0.06) -- 9.38
Class Y
2004 (2) (3) $ 10.37 $ 0.04 $ 1.87 $ (0.04) $ (0.19) $ 12.05
2003 (2) 8.51 0.06 2.09 (0.06) (0.23) 10.37
2002 (2) 9.38 0.06 (0.49) (0.06) (0.38) 8.51
2001 (2) (4) 12.55 0.08 (2.11) (0.07) (1.07) 9.38
2000 (5) (6) 10.00 0.08 2.55 (0.08) -- 12.55
</Table>
(1) The financial highlights for the Mid Cap Index Fund as set forth herein
include the historical financial highlights of the Firstar Mid Cap Index
Fund. The assets of the Firstar Fund were acquired by the First American Mid
Cap Index Fund on September 24, 2001. In connection with such acquisition,
(i) Class A shares of the Firstar Mid Cap Index Fund were exchanged for
Class A shares of the First American Fund, (ii) Firstar Class B shares were
exchanged for Class B shares of the First American Fund, (iii) Firstar Class
Y shares were exchanged for Class S shares of the First American Fund, and
(iv) Firstar Institutional Class shares were exchanged for Class Y shares of
the First American Fund.
(2) Per share data calculated using average shares outstanding method.
(3) For the six months ended March 31, 2004 (unaudited). All ratios for the
period have been annualized, exept total return and portfolio turnover.
(4) For the period November 1, 2000 to September 30, 2001. Effective in 2001,
the Fund's fiscal year end was changed from October 31 to September 30. All
ratios for the period have been annualized, except total return and
portfolio turnover.
(5) Commenced operations on November 4, 1999. All ratios for the period have
been annualized, except total return and portfolio turnover.
(6) For the fiscal period ended October 31.
(7) Class of shares has been offered since September 24, 2001. All ratios for
the period have been annualized, except total return and portfolio turnover.
(8) Class of shares has been offered since November 27, 2000. All ratios for the
period have been annualized, except total return and portfolio turnover.
(9) Total return does not reflect sales charges. Total return would have been
lower had certain expenses not been waived.
The accompanying notes are an integral part of the financial statements.
40
<Page>
<Table>
<Caption>
RATIO OF RATIO OF NET
RATIO OF NET EXPENSES TO INVESTMENT
RATIO OF INVESTMENT AVERAGE INCOME (LOSS)
NET ASSETS EXPENSES TO INCOME (LOSS) NET ASSETS TO AVERAGE NET PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER
RETURN (9) PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- --------------------------------------------------------------------------------------------------------------------------
MID CAP INDEX FUND (1)
Class A
2004 (2) (3) 18.49% $ 10,116 0.75% 0.47% 0.79% 0.43% 5%
2003 (2) 25.45 5,332 0.75 0.45 0.84 0.36 23
2002 (2) (5.45) 3,581 0.75 0.37 0.83 0.29 19
2001 (2) (4) (17.60) 2,972 0.75 0.51 0.80 0.46 43
2000 (5) (6) 26.48 1,918 0.75 0.75 0.90 0.60 45
Class B
2004 (2) (3) 18.02% $ 3,116 1.50% (0.28)% 1.54% (0.32)% 5%
2003 (2) 24.63 2,419 1.50 (0.30) 1.59 (0.39) 23
2002 (2) (6.07) 1,475 1.50 (0.37) 1.58 (0.45) 19
2001 (2) (4) (18.15) 1,265 1.50 (0.24) 1.54 (0.28) 43
2000 (5) (6) 25.65 905 1.50 -- 1.65 (0.15) 45
Class C (2)
2004 (3) 17.97% $ 2,663 1.50% (0.28)% 1.54% (0.32)% 5%
2003 24.55 1,756 1.50 (0.30) 1.59 (0.39) 23
2002 (6.22) 795 1.50 (0.37) 1.58 (0.45) 19
2001 (7) 3.42 -- -- -- -- -- 43
Class S (2)
2004 (3) 18.49% $ 2,438 0.75% 0.47% 0.79% 0.43% 5%
2003 25.60 4,134 0.75 0.46 0.84 0.37 23
2002 (5.56) 3,393 0.75 0.37 0.83 0.29 19
2001 (8) (14.77) 4,301 0.75 0.47 0.80 0.42 43
Class Y
2004 (2) (3) 18.62% $ 322,922 0.50% 0.72% 0.54% 0.68% 5%
2003 (2) 25.86 239,174 0.50 0.71 0.59 0.62 23
2002 (2) (5.23) 198,545 0.50 0.63 0.58 0.55 19
2001 (2) (4) (17.34) 176,857 0.50 0.75 0.53 0.72 43
2000 (5) (6) 26.62 125,881 0.50 1.00 0.65 0.85 45
</Table>
41
<Page>
<Table>
<Caption>
REALIZED AND
NET ASSET UNREALIZED DIVIDENDS NET ASSET
VALUE NET GAINS OR FROM NET DISTRIBUTIONS VALUE
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET END OF
OF PERIOD INCOME (LOSS) INVESTMENTS INCOME REALIZED GAINS PERIOD
- --------------------------------------------------------------------------------------------------------------------------
SMALL CAP INDEX FUND (1)
Class A
2004 (2) (3) $ 11.47 $ 0.02 $ 2.40 $ (0.02) $ (0.08) $ 13.79
2003 (2) 8.55 0.04 2.92 (0.04) -- 11.47
2002 (2) 9.68 0.05 (1.13) (0.05) -- 8.55
2001 (2) (4) 12.23 (0.01) (1.49) -- (1.05) 9.68
2000 (5) 10.18 (0.01) 2.20 -- (0.14) 12.23
1999 (6) (7) 10.00 -- 0.19 (0.01) -- 10.18
Class B (2)
2004 (3) $ 11.33 $ (0.03) $ 2.37 $ -- $ (0.08) $ 13.59
2003 8.47 (0.03) 2.90 (0.01) -- 11.33
2002 9.63 (0.03) (1.13) -- -- 8.47
2001 (8) 10.97 (0.01) (1.33) -- -- 9.63
Class C (2)
2004 (3) $ 11.43 $ (0.03) $ 2.38 $ -- $ (0.08) $ 13.70
2003 8.54 (0.03) 2.93 (0.01) -- 11.43
2002 9.68 (0.03) (1.11) -- -- 8.54
2001 (9) 9.49 -- 0.19 -- -- 9.68
Class S
2004 (2) (3) $ 11.41 $ 0.02 $ 2.39 $ (0.02) $ (0.08) $ 13.72
2003 (2) 8.52 0.05 2.88 (0.04) -- 11.41
2002 (2) 9.64 0.05 (1.12) (0.05) -- 8.52
2001 (2) (4) 12.19 (0.01) (1.49) -- (1.05) 9.64
2000 (5) 10.17 (0.01) 2.18 (0.01) (0.14) 12.19
1999 (6) (7) 10.00 -- 0.17 -- -- 10.17
Class Y
2004 (2) (3) $ 11.51 $ 0.04 $ 2.41 $ (0.04) $ (0.08) $ 13.84
2003 (2) 8.57 0.07 2.94 (0.07) -- 11.51
2002 (2) 9.70 0.07 (1.13) (0.07) -- 8.57
2001 (2) (4) 12.24 0.02 (1.50) (0.01) (1.05) 9.70
2000 (5) 10.19 0.02 2.19 (0.02) (0.14) 12.24
1999 (6) (7) 10.00 0.01 0.19 (0.01) -- 10.19
</Table>
(1) The financial highlights for the Small Cap Index Fund as set forth herein
include the historical financial highlights of the Firstar Small Cap Index
Fund. The assets of the Firstar Fund were acquired by the First American
Small Cap Index Fund on September 24, 2001. In connection with such
acquisition, (i) Class A shares of the Firstar Small Cap Index Fund were
exchanged for Class A shares of the First American Fund, (ii) Firstar Class
B shares were exchanged for Class B shares of the First American Fund,
(iii) Firstar Class Y shares were exchanged for Class S shares of the First
American Fund, and (iv) Firstar Institutional Class shares were exchanged
for Class Y shares of the First American Fund.
(2) Per share data calculated using average shares outstanding method.
(3) For the six months ended March 31, 2004 (unaudited). All ratios for the
period have been annualized, exept total return and portfolio turnover.
(4) For the period November 1, 2000 to September 30, 2001. Effective in 2001,
the Fund's fiscal year end was changed from October 31 to September 30. All
ratios for the period have been annualized, except total return and
portfolio turnover.
(5) For the period December 1, 1999 to October 31, 2000. Effective in 2000, the
Fund's fiscal year end was changed from November 30 to October 31. All
ratios for the period have been annualized, except total return and
portfolio turnover.
(6) Commenced operations on December 30, 1998. All ratios for the period have
been annualized, except total return and portfolio turnover.
(7) For the fiscal period ended November 30.
(8) Class of shares has been offered since December 11, 2000. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(9) Class of shares has been offered since September 24, 2001. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(10) Total return does not reflect sales charges. Total return would have been
lower had certain expenses not been waived.
The accompanying notes are an integral part of the financial statements.
42
<Page>
<Table>
<Caption>
RATIO OF RATIO OF NET
RATIO OF NET EXPENSES TO INVESTMENT
RATIO OF INVESTMENT AVERAGE INCOME (LOSS)
NET ASSETS EXPENSES TO INCOME (LOSS) NET ASSETS TO AVERAGE NET PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER
RETURN (10) PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- -------------------------------------------------------------------------------------------------------------------------------
SMALL CAP INDEX FUND (1)
Class A
2004 (2) (3) 21.17% $ 5,419 0.93% 0.30% 1.00% 0.23% 2%
2003 (2) 34.77 3,480 0.93 0.42 1.05 0.30 41
2002 (2) (11.28) 1,908 0.93 0.46 1.09 0.30 49
2001 (2) (4) (12.76) 341 0.91 (0.07) 0.94 (0.10) 102
2000 (5) 21.81 177 0.99 (0.11) 1.09 (0.21) 32
1999 (6) (7) 1.86 134 1.00 (0.15) 1.14 (0.29) 35
Class B (2)
2004 (3) 20.74% $ 1,461 1.68% (0.45)% 1.75% (0.52)% 2%
2003 33.87 993 1.68 (0.33) 1.80 (0.45) 41
2002 (12.03) 424 1.68 (0.29) 1.84 (0.45) 49
2001 (8) (12.11) 107 1.65 (0.84) 1.69 (0.88) 102
Class C (2)
2004 (3) 20.65% $ 1,931 1.68% (0.46)% 1.75% (0.53)% 2%
2003 33.94 1,268 1.68 (0.33) 1.80 (0.45) 41
2002 (11.72) 447 1.68 (0.26) 1.84 0.42 49
2001 (9) 2.11 -- -- -- -- -- 102
Class S
2004 (2) (3) 21.19% $ 4,242 0.93% 0.29% 1.00% 0.22% 2%
2003 (2) 34.54 3,210 0.93 0.52 1.05 0.40 41
2002 (2) (11.26) 13,576 0.93 0.42 1.09 0.26 49
2001 (2) (4) (12.82) 13,886 0.88 (0.05) 0.91 (0.08) 102
2000 (5) 21.54 18,057 0.99 (0.11) 1.09 (0.21) 32
1999 (6) (7) 1.74 14,955 0.92 (0.06) 1.12 (0.26) 35
Class Y
2004 (2) (3) 21.33% $ 146,705 0.68% 0.55% 0.75% 0.48% 2%
2003 (2) 35.23 119,102 0.68 0.68 0.80 0.56 41
2002 (2) (11.09) 94,749 0.68 0.68 0.84 0.52 49
2001 (2) (4) (12.56) 54,169 0.66 0.19 0.68 0.17 102
2000 (5) 21.93 60,771 0.69 0.19 1.09 (0.21) 32
1999 (6) (7) 2.01 45,331 0.68 0.18 1.13 (0.27) 35
</Table>
43
<Page>
NOTES TO FINANCIAL STATEMENTS March 31, 2004 (unaudited)
1> Organization
The First American Equity Index Fund, Mid Cap Index Fund, and Small Cap
Index Fund (each a "Fund" and collectively, the "Funds") are mutual funds
offered by First American Investment Funds, Inc. ("FAIF") which is a member
of the First American Family of Funds. FAIF currently offers 37 funds,
including the Funds. FAIF is registered under the Investment Company Act of
1940, as amended, as an open-end management investment company. FAIF's
articles of incorporation permit the Funds' board of directors to create
additional funds in the future. The Equity Index Fund, Mid Cap Index Fund,
and Small Cap Index Fund are each diversified open-end management
investment companies.
The Funds offer Class A, Class B, Class C, Class S, and Class Y shares.
Class A shares are sold with a front-end sales charge. Class B shares are
subject to a contingent deferred sales charge for six years and
automatically convert to Class A shares after eight years. Class C shares
are subject to a contingent deferred sales charge for 18 months, and will
not convert to Class A shares. Class S and Class Y shares have no sales
charge and are offered only to qualifying institutional investors and
certain other qualifying accounts.
The Funds' prospectuses provide descriptions of each Fund's investment
objective, policies, and strategies. All classes of shares have identical
voting, dividend, liquidation, and other rights, and the same terms and
conditions, except that the level of distribution and shareholder servicing
fees charged may differ among classes.
2> Summary of Significant Accounting Policies
The significant accounting policies followed by the Funds are as follows:
SECURITY VALUATIONS - Security valuations for the Funds' investments are
furnished by independent pricing services that have been approved by the
Funds' board of directors. Investments in equity securities that are traded
on a national securities exchange are stated at the last quoted sales price
if readily available for such securities on each business day. For
securities traded on the Nasdaq national market system, the Funds utilize
the Nasdaq Official Closing Price which compares the last trade to the
bid/ask range of a security. If the last trade falls within the bid/ask
range, then that price will be the closing price. If the last trade is
outside the bid/ask range, and falls above the ask, the ask will be the
closing price. If the last price is below the bid, the bid will be the
closing price. Other equity securities traded in the over-the-counter
market and listed equity securities for which no sale was reported on that
date are stated at the last quoted bid price. Debt obligations exceeding 60
days to maturity are valued by an independent pricing service. The pricing
service may employ methodologies that utilize actual market transactions,
broker-dealer supplied valuations, or other formula-driven valuation
techniques. These techniques generally consider such factors as yields or
prices of bonds of comparable quality, type of issue, coupon, maturity,
ratings, and general market conditions. Securities for which prices are not
available from an independent pricing service, but where an active market
exists, are valued using market quotations obtained from one or more
dealers that make markets in the securities or from a widely-used quotation
system. When market quotations are not readily available, securities are
valued at fair value as determined in good faith by procedures established
and approved by the Funds' board of directors. Some of the factors which
may be considered by the board of directors in determining fair value are
fundamental analytical data relating to the investment; the nature and
duration of any restrictions on disposition; trading in similar securities
of the same issuer or comparable companies; information from
broker-dealers; and an evaluation of the forces that influence the market
in which the securities are purchased and sold. If events occur that
materially affect the value of securities (including non-U.S. securities)
between the close of trading in those securities and the close of regular
trading on the New York Stock Exchange, the securities will be valued at
fair value. As of March 31, 2004, the Small Cap Index Fund had fair valued
securities with a total market value of $0 or 0.0% of total net assets for
the fund. Equity Index Fund and Mid Cap Index Fund had no fair valued
securities. Debt obligations with 60 days or less remaining until maturity
may be valued at their amortized cost, which approximates market value.
Foreign securities are valued at the closing prices on the principal
exchange on which they trade. The prices for foreign securities are
reported in local currency and converted to U.S. dollars using currency
exchange rates. Exchange rates are provided daily by recognized independent
pricing agents. As of March 31, 2004, the Funds had no investments in
foreign securities.
44
<Page>
DISTRIBUTIONS TO SHAREHOLDERS - Distributions from net investment income
are declared and paid monthly. Any net realized capital gains on sales of a
Fund's securities are distributed to shareholders at least annually.
FEDERAL TAXES - Each Fund is treated as a separate taxable entity. Each
Fund intends to continue to qualify as a regulated investment company as
provided in Subchapter M of the Internal Revenue Code, as amended, and to
distribute all taxable income, if any, to its shareholders. Accordingly, no
provision for federal income taxes is required.
Net investment income and net realized gains (losses) may differ for
financial statement and tax purposes because of temporary or permanent
book/tax differences. These differences are primarily due to losses
deferred from wash sales and the tax recognition of mark to market gains
(losses) on open futures contracts. To the extent these differences are
permanent, reclassifications are made to the appropriate equity accounts in
the period that the difference arises.
The characterization of distributions made during the year from net
investment income or net realized gains may differ from its ultimate
characterization for federal income tax purposes. In addition, due to the
timing of dividend distributions, the fiscal year in which the amounts are
distributed may differ from the year that the income or realized gains
(losses) are recorded by the Fund. The distributions paid during the six
months ended March 31, 2004 (estimated) and the fiscal year ended September
30, 2003, were characterized as follows (000):
<Table>
<Caption>
2004
---------------------------------------------------------------------------
ORDINARY LONG TERM
FUND INCOME GAIN TOTAL
---------------------------------------------------------------------------
Equity Index Fund $ 15,206 $ -- $ 15,206
Mid Cap Index Fund 1,038 4,897 5,935
Small Cap Index Fund 372 920 1,292
<Caption>
2003
---------------------------------------------------------------------------
ORDINARY LONG TERM
FUND INCOME GAIN TOTAL
---------------------------------------------------------------------------
Equity Index Fund $ 23,912 $ -- $ 23,912
Mid Cap Index Fund 1,700 5,576 7,276
Small Cap Index Fund 576 108 684
</Table>
As of September 30, 2003, the Funds' most recently completed fiscal year
end, the components of accumulated earnings (deficit) on a tax basis were
(000):
<Table>
<Caption>
ACCUMULATED TOTAL
UNDISTRIBUTED UNDISTRIBUTED CAPITAL AND UNREALIZED ACCUMULATED
ORDINARY LONG TERM ACCUMULATED POST-OCTOBER APPRECIATION EARNINGS
FUND INCOME CAPITAL GAINS EARNINGS LOSSES (DEPRECIATION) (DEFICIT)
----------------------------------------------------------------------------------------------------------------
Equity Index Fund $ 592 $ -- $ 592 $ (27,551) $ 249,444 $ 222,485
Mid Cap Index Fund 478 4,076 4,554 -- (4,749) (195)
Small Cap Index Fund -- 451 451 -- 4,726 5,177
</Table>
The difference between book and tax basis unrealized depreciation is
primarily due to the tax deferral of losses on wash sales and the amount of
gain (loss) recognized for tax purposes due to mark to market adjustments
on open futures contracts.
45
<Page>
As of September 30, 2003, the Funds' most recently completed fiscal year
end, the following Fund had a capital loss carryforward (000):
<Table>
<Caption>
FUND AMOUNT EXPIRATION YEAR
---------------------------------------------------------------------------
Equity Index Fund $ 8,440 2008
8,210 2010
10,901 2011
---------
Total $ 27,551
</Table>
SECURITY TRANSACTIONS AND INVESTMENT INCOME - The Funds record security
transactions on the trade date of the security purchase or sale. Dividend
income is recorded on the ex-dividend date. Interest income is recorded on
an accrual basis. Security gains and losses are determined on the basis of
identified cost, which is the same basis used for federal income tax
purposes. Each Fund reserves the right to pay part or all of the proceeds
from a redemption request in a proportionate share of readily marketable
securities in the Fund instead of cash. The resulting gain/loss is
calculated as the difference between the fair value and the underlying cost
of the security on the transaction date.
FUTURES TRANSACTIONS - In order to gain exposure to or protect against
changes in the market, the Funds may enter into S&P and Russell Index
futures contracts and other stock index futures contracts.
Upon entering into a futures contract, the Fund is required to deposit cash
or pledge U.S. government securities in an amount equal to 5% of the
purchase price indicated in the futures contract (initial margin).
Subsequent payments, which are dependent on the daily fluctuations in the
value of the underlying security or securities, are made or received by the
Fund each day (daily variation margin) and are recorded as unrealized gains
(losses) until the contract is closed. When the contract is closed, the
Fund records a realized gain (loss) equal to the difference between the
proceeds from (or cost of) the closing transaction and the Fund's basis in
the contract.
ILLIQUID SECURITIES AND RESTRICTED SECURITIES - At March 31, 2004,
investments in securities in the Equity Index Fund and Small Cap Index Fund
included issues that are illiquid. A security may be considered illiquid if
it lacks a readily available market or if its valuation has not changed for
a certain period of time. Each Fund intends to invest no more than 15% of
its net assets (determined at the time of purchase and reviewed
periodically) in illiquid securities.
Certain restricted securities may be considered illiquid. Restricted
securities are often purchased in private placement transactions, are not
registered under the Securities Act of 1933, may have contractual
restrictions on resale, and may be valued under methods approved by the
Funds' board of directors as reflecting fair value. Certain restricted
securities eligible for resale to qualified institutional investors,
including Rule 144A securities, are not subject to the limitation on a
Fund's investment in illiquid securities if they are determined to be
liquid in accordance with procedures adopted by the Funds' board of
directors.
At March 31, 2004, the aggregate value of illiquid securities subject to
the limitation on investment was as follows (000):
<Table>
<Caption>
PERCENTAGE OF
FUND VALUE NET ASSETS
---------------------------------------------------------------------------
Equity Index Fund $ 3 0.0%
Small Cap Index Fund 68 0.0
</Table>
Information concerning illiquid securities, including restricted securities
considered to be illiquid, is as follows (000):
EQUITY INDEX FUND
<Table>
<Caption>
SECURITY SHARES DATES ACQUIRED COST BASIS
---------------------------------------------------------------------------
Progress Energy-CVO 8,576 6/99-11/02 $ --
</Table>
SMALL CAP INDEX FUND
<Table>
<Caption>
SECURITY SHARES DATES ACQUIRED COST BASIS
---------------------------------------------------------------------------
Cross Media Marketing 1,203 6/02-12/02 $ 10
Firstbank Fractional Shares 45,000 1/04 --
MicroAge 3,579 1/99-12/99 29
Neon Communications 34,093 9/01-6/02 3
Network Plus 1,155 9/01 2
Southern Financial Bancorp
Fractional Shares 30,000 6/03 --
StorageNetworks 15,089 6/02-6/03 1
Wiltel Communications Group 4,122 4/03-8/03 --
</Table>
SECURITIES LENDING - In order to generate additional income, each Fund may
lend securities representing up to one-third of the value of its total
assets (which includes collateral for securities on loan) to
broker-dealers, banks, or other institutional borrowers of securities. Each
Fund's policy is to maintain collateral in the form of cash, U.S.
government securities, or other high-grade debt obligations equal to at
least 100% of the value of securities loaned. The collateral is then
"marked-to-market" daily until the securities are returned. As with other
extensions of credit, there may be risks of delay in recovery of the
securities or
46
<Page>
even loss of rights in the collateral should the borrower of the security
fail financially.
USBAM acts as the securities lending agent pursuant to, and subject to
compliance with conditions contained in, an SEC exemptive order. USBAM
currently receives fees equal to 25% of the Funds' income from securities
lending transactions. The Funds also pay an administrative fee equal to
0.025% based on the cash collateral held for the securities on loan. Fees
paid to USBAM from the Funds for the six months ended March 31, 2004 were
as follows (000): $199, $31 and $18, respectively, from the Equity Index,
Mid Cap Index and Small Cap Index Fund.
OTHER INCOME - Income from settlement proceeds related to specific
portfolio securities is recorded as an adjustment to realized or unrealized
gains or losses. Income from settlement proceeds related to securities that
are no longer included in the portfolio is recorded in other income. For
the six months ended March 31, 2004, the Equity Index Fund and the Small
Cap Index Fund recorded $198,505 and $9,392 respectively in other income
for settlement proceeds related to securities no longer included in the
portfolios.
INTERFUND LENDING PROGRAM - Pursuant to an SEC exemptive order, the Funds,
along with other registered investment companies in the First American
Family of Funds, may participate in an interfund lending program. This
program provides an alternative credit facility allowing the Funds to
borrow from, or lend money to, other participating funds. The Funds did not
have any interfund lending transactions during the six months ended
March 31, 2004.
EXPENSES - Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses are generally
allocated to the Funds on the basis of relative net assets of all funds
within the First American Fund complex. Class specific expenses, such as
12b-1 fees, are borne by that class. Income, other expenses, and realized
and unrealized gains and losses of a Fund are allocated to each respective
class in proportion to the relative net assets of each class.
USE OF ESTIMATES IN PREPARATION OF FINANCIAL STATEMENTS - The preparation
of financial statements, in conformity with accounting principles generally
accepted in the United States, requires management to make estimates and
assumptions that affect the reported amount of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the
financial statements and the reported results of operations during the
reporting period. Actual results could differ from those estimates.
3> Fees and Expenses
ADVISOR FEES - Pursuant to an investment advisory agreement (the
"Agreement"), USBAM manages each Fund's assets and furnishes related office
facilities, equipment, research, and personnel. The Agreement requires each
Fund to pay USBAM a monthly fee based upon average daily net assets. The
fee for the Equity Index Fund and Mid Cap Index Fund is equal to an annual
rate of 0.25% of each Fund's average daily net assets. The fee for the
Small Cap Index Fund is equal to an annual rate of 0.40% of its average
daily net assets. USBAM voluntarily waived fees during the most recently
completed fiscal year so that the total fund operating expenses, as a
percentage of average daily net assets, did not exceed the following
amounts:
<Table>
<Caption>
SHARE CLASS
--------------------------------------
FUND A B C S Y
---------------------------------------------------------------------------
Equity Index Fund 0.62% 1.37% 1.37% 0.62% 0.37%
Mid Cap Index Fund 0.75 1.50 1.50 0.75 0.50
Small Cap Index Fund 0.93 1.68 1.68 0.93 0.68
</Table>
The Funds may invest in the money market funds that are series of First
American Funds, Inc. ("FAF"), subject to certain limitations. In order to
avoid the payment of duplicative investment advisory fees to USBAM, which
acts as the investment adviser to both the investing Funds and the related
money market funds, USBAM will reimburse each investing Fund an amount
equal to that portion of their investment advisory fee received from the
related money market funds that is attributable to the assets of the
investing Fund. For financial statement purposes, these reimbursements are
recorded as investment income.
CO-ADMINISTRATION FEES - USBAM and U.S. Bancorp Fund Services, LLC
("USBFS") (collectively the "Administrators") serve as co-administrators
pursuant to a co-administration agreement between the Administrators and
the Funds. USBAM is a subsidiary of U.S. Bank National Association ("U.S.
Bank"). Both U.S. Bank and USBFS are direct subsidiaries of U.S. Bancorp.
Under the co-administration agreement, the Administrators are compensated
to provide, or compensate other entities to provide, services to the Funds.
These services include various legal, oversight and administrative
services, accounting services, transfer agency and dividend disbursing
services, and shareholder services. The Funds pay the Administrators at an
annual rate, calculated daily and paid monthly, based on the average daily
net assets of all open-end mutual funds in the First American Family of
Funds, equal to each Fund's pro rata share of an amount equal to 0.25% of
the aggregate average daily net assets up to $8 billion, 0.235% of the next
$17 billion of the
47
<Page>
aggregate average daily assets, 0.22% of the next $25 billion of the
aggregate average daily net assets, and 0.20% of the aggregate average
daily net assets in excess of $50 billion. The Funds pay transfer agent
fees of $18,500 per share class. These fees are allocated to each Fund
based upon the Fund's pro rata share of aggregate average daily net assets
of the Funds that comprise FAIF. Each Fund also pays additional per account
fees for transfer agent services. For the six months ended March 31, 2004,
administration fees paid to USBAM and USBFS by the Funds included in this
semiannual report were as follows (000):
<Table>
<Caption>
FUND AMOUNT
-------------------------------------------------------------------------
Equity Index Fund $ 3,040
Mid Cap Index Fund 402
Small Cap Index Fund 199
</Table>
CUSTODIAN FEES - U.S. Bank serves as the Funds' custodian pursuant to a
custodian agreement with FAIF. The fee for each Fund is equal to an annual
rate of 0.01% of average daily net assets. All fees are computed daily and
paid monthly.
DISTRIBUTION AND SHAREHOLDER SERVICING FEES - Quasar Distributors, LLC
("Quasar" ), a subsidiary of U.S. Bancorp, serves as distributor of the
Funds pursuant to a distribution agreement with FAIF. Under the
distribution agreement, each of the Funds pays Quasar a monthly
distribution and/or shareholder servicing fee equal to an annual rate of
0.25% of each Fund's average daily net assets of the Class A shares, 1.00%
of the Class B shares, and 1.00% of the Class C shares. These fees may be
used by Quasar to provide compensation for sales support, distribution
activities, and shareholder servicing activities.
FAIF has adopted and entered into a shareholder service plan and agreement
with Quasar with respect to the Class S shares. Each Fund pays Quasar a
monthly shareholder servicing fee equal to an annual rate of 0.25% of each
Fund's average daily net assets of the Class S shares. No distribution or
shareholder servicing fees are paid by Class Y shares. Under these
distribution and shareholder servicing agreements, the following amounts
were retained by Quasar or paid to affiliates of USBAM for the six months
ended March 31, 2004 (000):
<Table>
<Caption>
FUND AMOUNT
-------------------------------------------------------------------------
Equity Index Fund $ 550
Mid Cap Index Fund 29
Small Cap Index Fund 20
</Table>
OTHER FEES - In addition to the investment advisory fees, custodian fees,
distribution and shareholder servicing fees, and co-administration fees,
each Fund is responsible for paying most other operating expenses including
fees and expenses of outside directors, registration fees, printing of
shareholder reports, legal, auditing, insurance, and other miscellaneous
expenses. For the six months ended March 31, 2004, legal fees and expenses
were paid to a law firm of which the Secretary and two Assistant
Secretaries of the Funds are partners.
SALES CHARGES - A contingent deferred sales charge ("CDSC") is imposed on
redemptions made in the Class B shares. The CDSC varies depending on the
number of years from time of payment for the purchase of Class B shares
until the redemption of such shares. Class B shares automatically convert
to Class A shares after eight years.
<Table>
<Caption>
CDSC AS A
PERCENTAGE OF DOLLAR
YEAR SINCE PURCHASE AMOUNT SUBJECT TO CHARGE
-------------------------------------------------------------------------
First 5.00%
Second 5.00%
Third 4.00%
Fourth 3.00%
Fifth 2.00%
Sixth 1.00%
Seventh --
Eighth --
</Table>
A CDSC of 1.00% is imposed on redemptions made in Class C shares for the
first eighteen months.
The CDSC for Class B shares and Class C shares is imposed on the value of
the purchased shares or the value at the time of redemption, whichever is
less.
For the six months ended March 31, 2004, sales charges retained by
affiliates of USBAM for distributing the Funds' shares were as follows
(000):
<Table>
<Caption>
FUND AMOUNT
-------------------------------------------------------------------------
Equity Index Fund $ 392
Mid Cap Index Fund 68
Small Cap Index Fund 42
</Table>
4> Investment in Common Stock of Affiliate
As disclosed in the Schedule of Investments, Equity Index Fund owns common
stock issued by U.S. Bancorp. For the six months ended March 31, 2004, the
Equity Index Fund recorded no realized gains or losses from sales of U.S.
Bancorp common stock and $200,570 of income from U.S. Bancorp common stock.
48
<Page>
5> Capital Share Transactions
FAIF has 420 billion shares of $0.0001 par value capital stock authorized.
Capital share transactions for the Funds were as follows (000):
<Table>
<Caption>
EQUITY MID CAP SMALL CAP
INDEX FUND INDEX FUND INDEX FUND
- ----------------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/1/02 10/1/03 10/1/02
TO TO TO TO TO TO
3/31/04 9/30/03 3/31/04 9/30/03 3/31/04 9/30/03
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
Class A:
Shares issued 2,401 1,495 395 217 108 147
Shares issued in lieu of cash distributions 47 97 10 13 3 1
Shares redeemed (805) (2,208) (79) (137) (21) (68)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS 1,643 (616) 326 93 90 80
==================================================================================================================================
Class B:
Shares issued 146 321 31 79 23 52
Shares issued in lieu of cash distributions 9 19 4 4 1 --
Shares redeemed (331) (881) (9) (22) (4) (14)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS (176) (541) 26 61 20 38
==================================================================================================================================
Class C:
Shares issued 141 806 78 91 50 74
Shares issued in lieu of cash distributions 4 8 3 3 1 --
Shares redeemed (271) (550) (29) (17) (21) (15)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS C TRANSACTIONS (126) 264 52 77 30 59
==================================================================================================================================
Class S:
Shares issued 478 1,647 76 196 99 192
Shares issued in lieu of cash distributions 16 32 7 10 2 3
Shares redeemed (1,897) (1,656) (279) (206) (73) (1,508)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS S TRANSACTIONS (1,403) 23 (196) -- 28 (1,313)
==================================================================================================================================
Class Y:
Shares issued 16,635 50,895 6,604 12,500 3,826 5,268
Shares issued in lieu of cash distributions 468 904 311 560 68 39
Shares redeemed (14,770) (31,254) (3,171) (13,331) (3,639) (6,019)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS Y TRANSACTIONS 2,333 20,545 3,744 (271) 255 (712)
==================================================================================================================================
NET INCREASE (DECREASE) IN CAPITAL SHARES 2,271 19,675 3,952 (40) 423 (1,848)
==================================================================================================================================
</Table>
6> Investment Security Transactions
During the six months ended March 31, 2004, purchases of securities and
proceeds from sales of securities, other than temporary investments in
short-term securities, were as follows (000):
<Table>
<Caption>
FUND PURCHASES SALES
---------------------------------------------------------------------------
Equity Index Fund $ 29,331 $ 3,886
Mid Cap Index Fund 44,912 15,717
Small Cap Index Fund 12,611 3,711
</Table>
The aggregate gross unrealized appreciation and depreciation of securities
held by the Funds and the total cost of securities (including cost of
securities purchased with proceeds from securities lending) for federal
income tax purposes at March 31, 2004, were as follows (000):
<Table>
<Caption>
AGGREGATE AGGREGATE FEDERAL
GROSS GROSS INCOME
FUND APPRECIATION DEPRECIATION NET TAX COST
---------------------------------------------------------------------------
Equity Index Fund $ 797,295 $ (282,864) $ 514,431 $ 2,549,319
Mid Cap Index Fund 74,954 (34,647) 40,307 451,346
Small Cap Index Fund 41,932 (10,957) 30,975 171,301
</Table>
49
<Page>
7> Futures Contracts
The Funds' investment in stock index futures contracts is designed to
maintain sufficient liquidity to meet redemption requests and to increase
the level of Fund assets devoted to replicating the composition of the S&P
and Russell Indices while reducing transaction costs. Risks of entering
into futures contracts, in general, include the possibility that there will
not be a perfect price correlation between the futures contracts and the
underlying securities. Second, it is possible that a lack of liquidity for
futures contracts could exist in the secondary market, resulting in an
inability to close a futures position prior to its maturity date. Third,
the purchase of a futures contract involves the risk that a fund could lose
more than the original margin deposit required to initiate a futures
transaction. Unrealized gains (losses) on outstanding positions in futures
contracts held at the close of the year will be recognized as capital gains
(losses) for federal income tax purposes. As of March 31, 2004, futures
contracts for the Equity Index Fund, Mid Cap Index Fund, and Small Cap
Index Fund were as follows (000):
<Table>
<Caption>
MARKET VALUE
NAME OF NUMBER OF COVERED BY SETTLEMENT UNREALIZED
FUND CONTRACT CONTRACTS CONTRACTS MONTH GAIN
- ------------------------------------------------------------------------------------------------
Equity Index Fund S&P 500 Index 336 $ 94,490 June-04 $ 959
Mid Cap Index Fund S&P MidCap 400 Index 63 19,010 June-04 438
Small Cap Index Fund Russell 2000 Index 14 4,157 June-04 264
</Table>
8> Indemnifications
The Funds enter into contracts that contain a variety of indemnifications.
The Funds maximum exposure under these arrangements is unknown. However,
the Funds have not had prior claims or losses pursuant to these contracts
and expect the risk of loss to be remote.
HOW TO OBTAIN A COPY OF THE FUNDS' PROXY VOTING POLICIES
A description of the policies and procedures that the funds use to
determine how to vote proxies relating to portfolio securities is
available (1) without charge upon request by calling 800.677.FUND; (2)
at firstamericanfunds.com; and (3) on the U.S. Securities and Exchange
Commission's website at sec.gov.
50
<Page>
BOARD OF DIRECTORS First American Investment Funds, Inc.
Virginia Stringer
Chairperson of First American Investment Funds, Inc.
Owner and President of Strategic Management Resources, Inc.
Benjamin Field III
Director of First American Investment Funds, Inc.
Senior Financial Advisor to, and formerly Senior Vice President,
Chief Financial Officer, and Treasurer of, Bemis Company, Inc.
Mickey Foret
Director of First American Investment Funds, Inc.
Consultant to, and formerly Executive Vice President and Chief Financial
Officer of, Northwest Airlines, Inc.
Roger Gibson
Director of First American Investment Funds, Inc.
Retired; former Vice President of Cargo-United Airlines
Victoria Herget
Director of First American Investment Funds, Inc.
Investment Consultant; former Managing Director of Zurich Scudder
Investments
Leonard Kedrowski
Director of First American Investment Funds, Inc.
Owner and President of Executive and Management Consulting, Inc.
Richard Riederer
Director of First American Investment Funds, Inc.
Retired; former President and Chief Executive Officer of Weirton Steel
Joseph Strauss
Director of First American Investment Funds, Inc.
Owner and President of Strauss Management Company
James Wade
Director of First American Investment Funds, Inc.
Owner and President of Jim Wade Homes
FIRST AMERICAN INVESTMENT FUNDS, INC.'S BOARD OF DIRECTORS IS COMPRISED
ENTIRELY OF INDEPENDENT DIRECTORS.
<Page>
[FIRST AMERICAN FUNDS(TM) LOGO]
DIRECT FUND CORRESPONDENCE TO:
FIRST AMERICAN FUNDS
P.O. Box 1330
Minneapolis, MN 55440-1330
This report and the financial statements contained herein are not intended to be
a forecast of future events, a guarantee of future results, or investment
advice. Further, there is no assurance that certain securities will remain in or
out of each fund's portfolio.
This report is for the information of shareholders of the First American
Investment Funds, Inc. It may also be used as sales literature when preceded or
accompanied by a current prospectus, which contains information concerning
investment objectives, risks, and charges and expenses of the Funds. Read the
prospectus carefully before investing.
THE FIGURES IN THIS REPORT REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE
FUTURE RESULTS. THE PRINCIPAL VALUE OF AN INVESTMENT AND INVESTMENT RETURN WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST.
INVESTMENT ADVISOR
U.S. BANCORP ASSET MANAGEMENT, INC.
800 Nicollet Mall
Minneapolis, Minnesota 55402
CO-ADMINISTRATORS
U.S. BANCORP ASSET MANAGEMENT, INC.
800 Nicollet Mall
Minneapolis, Minnesota 55402
U.S. BANCORP FUND SERVICES, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
CUSTODIAN
U.S. BANK NATIONAL ASSOCIATION
180 East Fifth Street
St. Paul, Minnesota 55101
DISTRIBUTOR
QUASAR DISTRIBUTORS, LLC
615 East Michigan Street, 2nd floor
Milwaukee, Wisconsin 53202
INDEPENDENT AUDITOR
ERNST & YOUNG LLP
220 South Sixth Street
Suite 1400
Minneapolis, Minnesota 55402
COUNSEL
DORSEY & WHITNEY LLP
50 South Sixth Street
Suite 1500
Minneapolis, Minnesota 55402
FIRST AMERICAN FUNDS
P.O. Box 1330
Minneapolis, MN 55440-1330
In an attempt to reduce shareholder costs and help eliminate duplication, First
American Funds will try to limit their mailing to one report for each address
that lists one or more shareholders with the same last name. If you would like
additional copies, please call First American Investor Services at 800.677.FUND.
Visit us at firstamericanfunds.com.
0137-04 5/2004 SAR-INDEX
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ITEM 2--CODE OF ETHICS - Did registrant adopt a code of ethics, as of the end of
the period covered by this report, that applies to the registrant's principal
executive officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party? If not, why not?
Briefly describe any amendments or waivers that occurred during the period.
State here if code of ethics/amendments/waivers are on website and give website
address. State here if fund will send code of ethics to shareholders without
charge upon request.
RESPONSE: Not applicable to semi-annual report.
ITEM 3--AUDIT COMMITTEE FINANCIAL EXPERT - Did the registrant's board of
directors determine that the registrant either: (i) has at least one audit
committee financial expert serving on its audit committee; or (ii) does not have
an audit committee financial expert serving on its audit committee? If yes,
disclose name of financial expert and whether he/she is "independent," (fund
may, but is not required, to disclose name/independence of more than one
financial expert) If no, explain why not.
RESPONSE: Not applicable to semi-annual report.
ITEM 4--PRINCIPAL ACCOUNTANT FEES AND SERVICES - Disclose annually only (not
answered until December 15, 2003).
RESPONSE: Not applicable to semi-annual report.
(a) Audit Fees - Disclose aggregate fees billed for each of the last
two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual
financial statements or services that are normally provided by the
accountant in connection with statutory and regulatory filings or
engagements for those fiscal years.
(b) Audit-Related Fees - Disclose aggregate fees billed in each of the
last two fiscal years for assurance and related services by the
principal accountant that are reasonably related to the performance
of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item. Registrants shall
describe the nature of the services comprising the fees disclosed
under this category.
(c) Tax Fees - Disclose aggregate fees billed in each of the last two
fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning.
Registrants shall describe the nature of the services comprising
the fees disclosed under this category.
(d) All Other Fees - Disclose aggregate fees billed in each of the last
two fiscal years for products and services provided by the
principal accountant, other than the services reported in
paragraphs (a) through (c) of this Item.
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Registrants shall describe the nature of the services comprising
the fees disclosed under this category.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
pursuant to paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(e)(2) Disclose the percentage of services described in each of paragraphs (b)
through (d) of this Item that were approved by the audit committee pursuant
to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50%, disclose the percentage of hours expended on the
principal accountant's engagement to audit the registrant's financial
statements for the most recent fiscal year that were attributed to work
performed by persons other than the principal accountant's full-time,
permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to the
registrant's investment adviser (not including any sub-adviser whose
role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling,
controlled by, or under common control with the adviser that provides
ongoing services to the registrant for each of the last two fiscal
years of the registrant.
(h) Disclose whether the registrant's audit committee has considered
whether the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any subadviser whose
role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling,
controlled by, or under common control with the investment adviser that
provides ongoing services to the registrant that were not pre-approved
pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is
compatible with maintaining the principal accountant's independence.
ITEM 5--AUDIT COMMITTEE OF LISTED REGISTRANTS
RESPONSE: Not applicable.
ITEM 6 - Reserved.
ITEM 7--DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES - For closed-end funds that contain voting
securities in their portfolio, describe the policies and procedures that it uses
to determine how to vote proxies relating to those portfolio securities.
RESPONSE: Not applicable.
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ITEM 8 - Reserved.
ITEM 9--CONTROLS AND PROCEDURES
(a) Disclose the conclusions of the registrant's principal executive officer or
officers and principal financial officer or officers, or persons performing
similar functions, about the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR
270.30a-3(c))) based on their evaluation of these controls and procedures
as of a date within 90 days of the filing date of the report that includes
the disclosure required by this paragraph.
RESPONSE: The registrant's Principal Executive Officer and Principal
Financial Officer have evaluated the registrant's disclosure controls and
procedures within 90 days of the date of this filing and have concluded
that the registrant's disclosure controls and procedures were effective, as
of that date, in ensuring that information required to be disclosed by the
registrant in this Form N-CSR was recorded, processed, summarized and
reported timely. Notwithstanding this conclusion, the registrant's
Principal Executive Officer and Principal Financial Officer seek continuous
improvements to the registrant's disclosure controls and procedures.
(b) Disclose any change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c)))
that occurred during the registrant's last 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.
RESPONSE: There were no changes in the registrant's internal control over
financial reporting that occurred during the registrant's most recent
fiscal half-year that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 10 - EXHIBITS
10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or
amendments/waivers is on website or offered to shareholders upon request without
charge.
RESPONSE: Not applicable to semi-annual report.
10(b) - Attach certifications (4 in total pursuant to Sections 302 and 906 for
PEO/PFO).
RESPONSE: Attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
First American Investment Funds, Inc.
By:
/s/ Thomas S. Schreier, Jr.
-------------------------------
Thomas S. Schreier, Jr.
President
Date: June 4, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By:
/s/ Thomas S. Schreier, Jr.
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Thomas S. Schreier, Jr.
President
Date: June 4, 2004
By:
/s/ Joseph M. Ulrey III
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Joseph M. Ulrey III
Treasurer
Date: June 4, 2004