<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09259
Morgan Stanley Total Market Index Fund
(Exact name of registrant as specified in charter)
1221 Avenue of the Americas, New York, New York 10020
(Address of principal executive offices) (Zip code)
Ronald E. Robison
1221 Avenue of the Americas, New York, New York 10020
(Name and address of agent for service)
Registrant's telephone number, including area code: 212-762-4000
Date of fiscal year end: July 31, 2005
Date of reporting period: January 31, 2005
Item 1 - Report to Shareholders
<Page>
WELCOME, SHAREHOLDER:
IN THIS REPORT, YOU'LL LEARN ABOUT HOW YOUR INVESTMENT IN MORGAN STANLEY TOTAL
MARKET INDEX FUND PERFORMED DURING THE SEMIANNUAL PERIOD. WE WILL PROVIDE AN
OVERVIEW OF THE MARKET CONDITIONS, AND DISCUSS SOME OF THE FACTORS THAT AFFECTED
PERFORMANCE DURING THE REPORTING PERIOD. IN ADDITION, THIS REPORT INCLUDES THE
FUND'S FINANCIAL STATEMENTS AND A LIST OF FUND INVESTMENTS.
THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A PROSPECTUS FOR THE FUND BEING
OFFERED. MARKET FORECASTS PROVIDED IN THIS REPORT MAY NOT NECESSARILY COME TO
PASS. THERE IS NO ASSURANCE THAT THE FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE.
THE FUND IS SUBJECT TO MARKET RISK, WHICH IS THE POSSIBILITY THAT MARKET VALUES
OF SECURITIES OWNED BY THE FUND WILL DECLINE AND, THEREFORE, THE VALUE OF THE
FUND'S SHARES MAY BE LESS THAN WHAT YOU PAID FOR THEM. ACCORDINGLY, YOU CAN LOSE
MONEY INVESTING IN THIS FUND.
<Page>
FUND REPORT
For the six-month period ended January 31, 2005
TOTAL RETURN FOR THE 6 MONTHS ENDED JANUARY 31, 2005
<Table>
<Caption>
DOW
JONES LIPPER
WILSHIRE MULTI-CAP
5000 CORE
CLASS A CLASS B CLASS C CLASS D INDEX(1) FUNDS INDEX(2)
------- ------- ------- ------- -------- ---------------
9.26% 8.78% 8.71% 9.32% 9.41% 10.07%
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE FIGURES
SHOWN. FOR THE MOST RECENT MONTH-END PERFORMANCE FIGURES, PLEASE VISIT
morganstanley.com, OR SPEAK WITH YOUR FINANCIAL ADVISOR. INVESTMENT RETURNS AND
PRINCIPAL VALUE WILL FLUCTUATE AND FUND SHARES, WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST.
THE PERFORMANCE OF THE FUND'S FOUR SHARE CLASSES VARIES BECAUSE EACH HAS
DIFFERENT EXPENSES. THE FUND'S TOTAL RETURNS ASSUME THE REINVESTMENT OF ALL
DISTRIBUTIONS BUT DO NOT REFLECT THE DEDUCTION OF ANY APPLICABLE SALES CHARGES.
SUCH COSTS WOULD LOWER PERFORMANCE. SEE PERFORMANCE SUMMARY FOR STANDARDIZED
PERFORMANCE INFORMATION.
MARKET CONDITIONS
Performance for the U.S. equity market was generally strong over the six months
ended January 31, 2005. The Federal Open Market Committee raised the federal
funds target rate a number of times during that period, but the increases
apparently did not take many investors by surprise. As a result, the stock
market was largely unaffected. The U.S. economy continued to grow steadily and
the labor market improved, though fewer jobs were created than some economists
and investors had expected. Investor confidence was shaken over the summer and
early fall by fears of terrorism and concern over the possibility of a disputed
presidential election, which hampered the market's gains. The market went on to
rally late in the year when the election ended without incident and fears
related to terrorism subsided. A pick-up in consumer spending and a drop in the
price of crude oil further helped to lift stocks as 2004 drew to a close,
although weaker-than-expected economic numbers contributed in part to the
slowing performance of equities in the final month of the period.
PERFORMANCE ANALYSIS
Morgan Stanley Total Market Index Fund underperformed the Dow Jones Wilshire
5000 Index and the Lipper Multi-Cap Core Funds Index for the six months ended
January 31, 2005, assuming no deduction of applicable sales charges. During this
period stock performance varied across sectors, and a number of sectors
contributed more positively to performance than others due to relative size. Due
to their large size, the financial, consumer discretionary and industrial
sectors were the most significant contributors to the Fund's performance. In
spite of their smaller weighting in the portfolio, utilities stocks were among
the best performing in part due to the rising interest rate environment, and
many names within the sector were also helped by the merger activity which
occurred during the period. The rising price of oil benefited many energy
companies, and within the sector a number of drilling and exploration companies
performed particularly well.
Some sectors underperformed others during the six months and contributed much
less to positive performance. Health care stocks were the worst-performing for
the period, as large pharmaceutical companies suffered from the voluntary recall
of drugs from the market by a number of companies. Telecommunications stocks
also underperformed other sectors over the six months; the sector made the
2
<Page>
smallest contribution to the Fund's performance. Although some companies within
the sector were helped by merger activity during the period, a number of the
larger companies that sought to acquire others were significantly hurt. In
addition, many smaller companies including telecom equipment producers
experienced earnings problems that further hindered the sector's performance. A
number of large-cap technology stocks weighed on that sector's performance and
offset some of the gains made by other technology names.
THE INVESTMENT PERFORMANCE OF THE DOW JONES WILSHIRE 5000 INDEX DOES NOT INCLUDE
ANY EXPENSES, SALES CHARGES OR FEES. INDEXES ARE UNMANAGED AND SUCH COSTS WOULD
LOWER PERFORMANCE. AS A RESULT, THE FUND'S PERFORMANCE WILL NOT EXACTLY TRACK
THE PERFORMANCE OF THE INDEX. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
THERE IS NO GUARANTEE THAT ANY SECTORS MENTIONED WILL CONTINUE TO PERFORM WELL
OR BE HELD BY THE FUND IN THE FUTURE.
TOP 10 HOLDINGS
<Table>
General Electric Co. 2.7%
Exxon Mobil Corp. 2.4
Microsoft Corp. 1.9
Citigroup Inc. 1.8
Johnson & Johnson 1.4
Bank of America Corp. 1.4
Pfizer, Inc. 1.3
IBM Corp. 1.1
American International Group, Inc. 1.1
Intel Corp. 1.1
</Table>
TOP FIVE INDUSTRIES
<Table>
Pharmaceuticals: Major 5.0%
Industrial Conglomerates 4.1
Integrated Oil 3.8
Major Banks 3.8
Financial Conglomerates 3.7
</Table>
DATA AS OF JANUARY 31, 2005. SUBJECT TO CHANGE DAILY. ALL PERCENTAGES FOR TOP 10
HOLDINGS AND TOP FIVE INDUSTRIES ARE AS A PERCENTAGE OF NET ASSETS. THESE DATA
ARE PROVIDED FOR INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE DEEMED A
RECOMMENDATION TO BUY OR SELL THE SECURITIES MENTIONED. MORGAN STANLEY IS A
FULL-SERVICE SECURITIES FIRM ENGAGED IN SECURITIES TRADING AND BROKERAGE
ACTIVITIES, INVESTMENT BANKING, RESEARCH AND ANALYSIS, FINANCING AND FINANCIAL
ADVISORY SERVICES.
3
<Page>
INVESTMENT STRATEGY
THE DOW JONES WILSHIRE 5000 COMPOSITE INDEX CONSISTS OF SUBSTANTIALLY ALL OF THE
STOCKS WHICH ARE ACTIVELY TRADED IN THE UNITED STATES (CURRENTLY, MORE THAN
5,000). THE INDEX CONSISTS OF LARGE CAPITALIZATION, MID CAPITALIZATION AND SMALL
CAPITALIZATION STOCKS. BECAUSE THE INDEX IS WEIGHTED BY FLOAT-ADJUSTED MARKET
CAPITALIZATIONS, CURRENTLY LARGE CAPITALIZATION STOCKS IN THE INDEX REPRESENT
APPROXIMATELY THREE QUARTERS OF ITS VALUE. THE INDEX MAY INCLUDE SOME FOREIGN
COMPANIES. THE FUND WILL NORMALLY INVEST AT LEAST 80 PERCENT OF ITS ASSETS IN
STOCKS INCLUDED IN THE INDEX.
FOR MORE INFORMATION ABOUT PORTFOLIO HOLDINGS
EACH MORGAN STANLEY FUND PROVIDES A COMPLETE SCHEDULE OF PORTFOLIO HOLDINGS IN
ITS SEMIANNUAL AND ANNUAL REPORTS WITHIN 60 DAYS OF THE END OF THE FUND'S SECOND
AND FOURTH FISCAL QUARTERS BY FILING THE SCHEDULE ELECTRONICALLY WITH THE
SECURITIES AND EXCHANGE COMMISSION (SEC). THE SEMIANNUAL REPORTS ARE FILED ON
FORM N-CSRS AND THE ANNUAL REPORTS ARE FILED ON FORM N-CSR. MORGAN STANLEY ALSO
DELIVERS THE SEMIANNUAL AND ANNUAL REPORTS TO FUND SHAREHOLDERS AND MAKES THESE
REPORTS AVAILABLE ON ITS PUBLIC WEB SITE, www.morganstanley.com. EACH MORGAN
STANLEY FUND ALSO FILES A COMPLETE SCHEDULE OF PORTFOLIO HOLDINGS WITH THE SEC
FOR THE FUND'S FIRST AND THIRD FISCAL QUARTERS ON FORM N-Q. MORGAN STANLEY DOES
NOT DELIVER THE REPORTS FOR THE FIRST AND THIRD FISCAL QUARTERS TO SHAREHOLDERS,
NOR ARE THE REPORTS POSTED TO THE MORGAN STANLEY PUBLIC WEB SITE. YOU MAY,
HOWEVER, OBTAIN THE FORM N-Q FILINGS (AS WELL AS THE FORM N-CSR AND N-CSRS
FILINGS) BY ACCESSING THE SEC'S WEB SITE, http://www.sec.gov. YOU MAY ALSO
REVIEW AND COPY THEM AT THE SEC'S PUBLIC REFERENCE ROOM IN WASHINGTON, DC.
INFORMATION ON THE OPERATION OF THE SEC'S PUBLIC REFERENCE ROOM MAY BE OBTAINED
BY CALLING THE SEC AT (800) SEC-0330. YOU CAN ALSO REQUEST COPIES OF THESE
MATERIALS, UPON PAYMENT OF A DUPLICATING FEE, BY ELECTRONIC REQUEST AT THE SEC'S
E-MAIL ADDRESS (publicinfo@sec.gov) OR BY WRITING THE PUBLIC REFERENCE SECTION
OF THE SEC, WASHINGTON, DC 20549-0102. YOU MAY OBTAIN COPIES OF A FUND'S FISCAL
QUARTER FILINGS BY CONTACTING MORGAN STANLEY CLIENT RELATIONS AT (800) 869-NEWS.
PROXY VOTING POLICIES AND PROCEDURES
A DESCRIPTION OF (1) THE FUND'S POLICIES AND PROCEDURES WITH RESPECT TO THE
VOTING OF PROXIES RELATING TO THE FUND'S PORTFOLIO SECURITIES AND (2) HOW THE
FUND VOTED PROXIES RELATING TO PORTFOLIO SECURITIES DURING THE MOST RECENT
12-MONTH PERIOD ENDED JUNE 30, 2004, IS AVAILABLE WITHOUT CHARGE, UPON REQUEST,
BY CALLING (800) 869-NEWS OR BY VISITING THE MUTUAL FUND CENTER ON OUR WEB SITE
AT www.morganstanley.com. THIS INFORMATION IS ALSO AVAILABLE ON THE SECURITIES
AND EXCHANGE COMMISSION'S WEB SITE AT http://www.sec.gov.
HOUSEHOLDING NOTICE
TO REDUCE PRINTING AND MAILING COSTS, THE FUND ATTEMPTS TO ELIMINATE DUPLICATE
MAILINGS TO THE SAME ADDRESS. THE FUND DELIVERS A SINGLE COPY OF CERTAIN
SHAREHOLDER DOCUMENTS, INCLUDING SHAREHOLDER REPORTS, PROSPECTUSES AND PROXY
MATERIALS, TO INVESTORS WITH THE SAME LAST NAME WHO RESIDE AT THE SAME ADDRESS.
YOUR PARTICIPATION IN THIS PROGRAM WILL CONTINUE FOR AN UNLIMITED PERIOD OF TIME
UNLESS YOU INSTRUCT US OTHERWISE. YOU CAN REQUEST MULTIPLE COPIES OF THESE
DOCUMENTS BY CALLING (800) 350-6414, 8:00 A.M. TO 8:00 P.M., ET. ONCE OUR
CUSTOMER SERVICE CENTER HAS RECEIVED YOUR INSTRUCTIONS, WE WILL BEGIN SENDING
INDIVIDUAL COPIES FOR EACH ACCOUNT WITHIN 30 DAYS.
4
<Page>
PERFORMANCE SUMMARY
AVERAGE ANNUAL TOTAL RETURNS--PERIOD ENDED JANUARY 31, 2005
<Table>
<Caption>
CLASS A SHARES* CLASS B SHARES** CLASS C SHARES+ CLASS D SHARES++
(SINCE 09/28/99) (SINCE 09/28/99) (SINCE 09/28/99) (SINCE 09/28/99)
SYMBOL TMIAX TMIBX TMICX TMIDX
1 YEAR 6.74%(3) 5.97%(3) 5.79%(3) 6.93%(3)
1.14(4) 0.97(4) 4.79(4) --
5 YEARS (1.77)(3) (2.51)(3) (2.51)(3) (1.54)(3)
(2.82)(4) (2.91)(4) (2.51)(4) --
SINCE INCEPTION 0.60(3) (0.16)(3) (0.16)(3) 0.84(3)
(0.41)(4) (0.35)(4) (0.16)(4) --
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE FIGURES
SHOWN. FOR THE MOST RECENT MONTH-END PERFORMANCE FIGURES, PLEASE VISIT
morganstanley.com OR SPEAK WITH YOUR FINANCIAL ADVISOR. INVESTMENT RETURNS AND
PRINCIPAL VALUE WILL FLUCTUATE AND FUND SHARES, WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. THE TABLE DOES NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF
FUND SHARES. PERFORMANCE FOR CLASS A, CLASS B, CLASS C, AND CLASS D SHARES WILL
VARY DUE TO DIFFERENCES IN SALES CHARGES AND EXPENSES.
* THE MAXIMUM FRONT-END SALES CHARGE FOR CLASS A IS 5.25%.
** THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) FOR CLASS B IS 5.0%.
THE CDSC DECLINES TO 0% AFTER SIX YEARS.
+ THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C IS 1.0% FOR SHARES
REDEEMED WITHIN ONE YEAR OF PURCHASE.
++ CLASS D HAS NO SALES CHARGE.
(1) THE DOW JONES WILSHIRE 5000 (FLOAT ADJ) COMPOSITE INDEX MEASURES THE
PERFORMANCE OF ALL U.S. HEADQUARTERED EQUITY SECURITIES AND IS THE BEST
MEASURE OF THE ENTIRE U.S. STOCK MARKET. OVER 5,000 CAPITALIZATION WEIGHTED
SECURITY RETURNS ARE USED TO ADJUST THE INDEX. THE INDEX IS WEIGHTED BY
FLOAT-ADJUSTED MARKET CAPITALIZATION. INDEXES ARE UNMANAGED AND THEIR
RETURNS DO NOT INCLUDE ANY SALES CHARGES OR FEES. SUCH COSTS WOULD LOWER
PERFORMANCE. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
(2) THE LIPPER MULTI-CAP CORE FUNDS INDEX IS AN EQUALLY WEIGHTED PERFORMANCE
INDEX OF THE LARGEST QUALIFYING FUNDS (BASED ON NET ASSETS) IN THE LIPPER
MULTI-CAP CORE FUNDS CLASSIFICATION. THE INDEX, WHICH IS ADJUSTED FOR
CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS, IS UNMANAGED AND SHOULD
NOT BE CONSIDERED AN INVESTMENT. THERE ARE CURRENTLY 30 FUNDS REPRESENTED
IN THIS INDEX.
(3) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND DOES NOT REFLECT
THE DEDUCTION OF ANY SALES CHARGES.
(4) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND THE DEDUCTION OF
THE MAXIMUM APPLICABLE SALES CHARGE. SEE THE FUND'S CURRENT PROSPECTUS FOR
COMPLETE DETAILS ON FEES AND SALES CHARGES.
5
<Page>
EXPENSE EXAMPLE
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments and redemption fees;
and (2) ongoing costs, including management fees; distribution and service
(12b-1) fees; and other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the Fund and to
compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period 08/01/04 - 01/31/05.
ACTUAL EXPENSES
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table below provides information about hypothetical
expenses based on the Fund's actual expense ratio and an assumed rate of return
of 5% per year before expenses, which is not the Fund's actual return. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing cost of investing in the Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) and redemption fees. Therefore, the second line of the table is
useful in comparing ongoing costs, and will not help you determine the relative
total cost of owning different funds. In addition, if these transactional costs
were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD *
------------- ------------- ---------------
08/01/04 -
08/01/04 01/31/05 01/31/05
------------- ------------- ---------------
CLASS A
Actual (9.26% return) $ 1,000.00 $ 1,092.60 $ 3.43
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,021.93 $ 3.31
CLASS B
Actual (8.78% return) $ 1,000.00 $ 1,087.80 $ 7.37
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,018.15 $ 7.12
CLASS C
Actual (8.71% return) $ 1,000.00 $ 1,087.10 $ 7.36
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,018.15 $ 7.12
CLASS D
Actual (9.32% return) $ 1,000.00 $ 1,093.20 $ 2.11
Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,023.19 $ 2.04
</Table>
- ----------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 0.65%, 1.40%,
1.40% AND 0.40% RESPECTIVELY, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER
THE PERIOD, MULTIPLIED BY 184/365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
IF THE FUND HAD BORNE ALL OF ITS EXPENSES, THE ANNUALIZED EXPENSE RATIOS
WOULD HAVE BEEN 0.90%, 1.65%, 1.65% AND 0.65%, RESPECTIVELY.
6
<Page>
MORGAN STANLEY TOTAL MARKET INDEX FUND
PORTFOLIO OF INVESTMENTS - JANUARY 31, 2005 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
COMMON STOCKS (97.1%)
ADVERTISING/MARKETING SERVICES (0.4%)
588 Abitron Inc.* $ 24,049
813 ADVO, Inc. 29,902
1,225 Catalina Marketing Corp.* 31,482
3,396 DoubleClick Inc.* 27,711
8,397 Gemstar-TV Guide
International, Inc.* 46,351
1,099 Getty Images, Inc.* 76,600
34 Grey Global Group Inc. 37,060
1,066 Harris Interactive Inc.* 7,952
1,753 Harte-Hanks Inc. 46,367
1,015 infoUSA, Inc.* 10,586
8,045 Interpublic Group of
Companies, Inc. (The)* 104,987
1,683 Lamar Advertising Co.
(Class A)* 72,335
636 Nautilus Group, Inc. 13,311
659 Netratings, Inc.* 12,027
3,462 Omnicom Group, Inc. 293,889
787 R.H. Donnelley Corp.* 46,590
1,086 Valassis
Communications, Inc.* 36,870
1,448 ValueClick, Inc.* 19,157
---------------
937,226
---------------
AEROSPACE & DEFENSE (1.2%)
620 AAR Corp.* 7,223
1,287 Aeroflex Inc.* 12,381
748 Alliant Techsystems, Inc.* 49,802
540 Armor Holdings, Inc.* 23,744
614 Aviall, Inc.* 17,689
13,193 Boeing Co. 667,566
481 Cubic Corp. 10,967
478 Curtiss-Wright Corp. 24,469
473 DRS Technologies, Inc.* 19,204
385 EDO Corp. 12,301
526 Engineered Support
Systems, Inc. 30,513
250 ESCO Technologies Inc.* 17,953
409 Esterline Corp.* 12,274
764 FLIR Systems, Inc.* 46,566
854 GenCorp Inc. $ 15,867
3,090 General Dynamics Corp. 319,042
2,279 Goodrich Corp. 78,170
1,892 L-3 Communications
Holdings, Inc. 135,108
6,548 Lockheed Martin Corp. 378,540
413 Mercury Computer
Systems, Inc.* 12,791
382 Moog Inc. (Class A)* 16,613
6,420 Northrop Grumman Corp. 333,070
924 Orbital Sciences Corp. (c) 9,388
1,029 Precision Castparts Corp. 72,339
8,082 Raytheon Co. 302,267
2,991 Rockwell Collins, Inc. 128,314
204 Sequa Corp. (Class A)* 11,985
628 Teledyne Technologies Inc.* 18,884
1,578 Titan Corp. (The)* 26,510
309 Triumph Group, Inc.* 10,954
412 United Defense
Industries, Inc.* 19,747
---------------
2,842,241
---------------
AGRICULTURAL COMMODITIES/MILLING (0.1%)
10,969 Archer-Daniels-Midland Co. 265,450
1,876 Corn Products
International, Inc. 55,079
1,066 Delta & Pine Land Co. 31,383
---------------
351,912
---------------
AIR FREIGHT/COURIERS (0.7%)
1,636 C.H. Robinson
Worldwide, Inc. 84,254
963 CNF Inc. 45,174
1,217 EGL, Inc.* 36,790
2,034 Expeditors International of
Washington, Inc. 114,189
5,334 FedEx Corp. 510,197
416 Forward Air Corp.* 17,728
980 Pacer International, Inc.* 19,169
10,650 United Parcel Service, Inc.
(Class B) 795,342
---------------
1,622,843
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
7
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
AIRLINES (0.2%)
1,497 AirTran Holdings, Inc.* $ 12,784
520 Alaska Air Group, Inc.* 15,491
673 America West Holdings Corp.
(Class B)* 3,372
3,203 AMR Corp.* 27,546
1,498 Continental Airlines, Inc.
(Class B)* 15,609
2,634 Delta Air Lines, Inc.* 14,197
1,367 ExpressJet Holdings, Inc.* 15,078
885 Flyi Inc. 1,620
678 Frontier Airlines, Inc.* 5,749
1,992 JetBlue Airways Corp.* 39,422
615 Mesa Air Group, Inc.* 4,533
2,003 Northwest Airlines Corp.
(Class A)* 14,802
1,185 SkyWest, Inc. 20,406
13,002 Southwest Airlines Co. 188,269
---------------
378,878
---------------
ALTERNATIVE POWER GENERATION (0.0%)
8,037 Calpine Corp.* 26,763
1,190 Plug Power Inc.* 6,474
---------------
33,237
---------------
ALUMINUM (0.2%)
15,525 Alcoa, Inc. 458,143
---------------
APPAREL/FOOTWEAR (0.5%)
348 Brown Shoe Co., Inc. 10,078
2,623 Cintas Corp.* 114,100
3,540 Coach, Inc.* 198,594
776 Columbia Sportswear Co.* 42,579
843 Guess ? Inc.* 11,971
2,448 Jones Apparel Group, Inc. 82,326
640 Kellwood Co. 18,522
383 Kenneth Cole Productions, Inc.
(Class A) 10,222
1,124 K-Swiss, Inc. (Class A) 34,001
2,114 Liz Claiborne, Inc. 88,661
3,199 Nike, Inc. (Class B) 277,129
314 Oxford Industries, Inc. 11,675
592 Phillips-Van Heusen Corp. 16,108
1,189 Polo Ralph Lauren Corp. $ 46,312
1,186 Quiksilver, Inc.* 35,426
1,141 Reebok International Ltd. 50,809
761 Russell Corp. 13,698
770 Stride Rite Corp. 9,425
678 Timberland Co. (Class A)* 44,572
1,662 V.F. Corp. 88,335
907 Wolverine World Wide, Inc. 28,507
---------------
1,233,050
---------------
APPAREL/FOOTWEAR RETAIL (0.7%)
2,026 Abercrombie & Fitch Co.
(Class A) 101,543
1,087 Aeropostale* 30,208
1,510 American Eagle
Outfitters, Inc.* 76,708
1,414 AnnTaylor Stores Corp.* 30,387
1,126 bebe stores, Inc.* 29,175
413 Buckle (The), Inc. 11,816
912 Burlington Coat Factory
Warehouse Corp. 23,539
396 Cato Corp. (The) (Class A) 12,038
2,208 Charming Shoppes, Inc.* 18,326
1,726 Chico's FAS, Inc.* 90,926
520 Children's Place Retail
Stores, Inc. (The)* 19,729
715 Christopher & Banks Corp. 12,706
569 Dress Barn, Inc.* 10,891
766 Finish Line, Inc. (Class A)* 15,550
2,777 Foot Locker, Inc. 74,757
12,135 Gap, Inc. (The) 267,091
575 Gymboree Corp. (The)* 7,406
946 Hot Topic, Inc.* 18,333
6,320 Limited Brands, Inc. 149,784
921 Men's Wearhouse, Inc. (The)* 30,642
2,014 Nordstrom, Inc. 97,176
1,368 Pacific Sunwear of
California, Inc.* 33,502
1,379 Payless ShoeSource, Inc.* 16,286
2,945 Ross Stores, Inc. 84,286
369 Stage Stores, Inc.* 14,587
810 Stein Mart, Inc.* 15,981
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
8
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
1,097 Talbot's, Inc. (The) $ 29,696
9,306 TJX Companies, Inc. (The) 233,022
774 Too, Inc.* 21,022
1,464 Urban Outfitters, Inc.* 61,590
---------------
1,638,703
---------------
AUTO PARTS: O.E.M. (0.3%)
1,027 American Axle & Manufacturing
Holdings, Inc.* 27,575
1,327 ArvinMeritor, Inc. 25,266
1,062 BorgWarner, Inc. 57,019
1,627 Collins & Aikman Corp.* 5,629
2,880 Dana Corp. 45,706
10,856 Delphi Corp. 82,397
2,801 Eaton Corp. 190,440
1,486 Gentex Corp. 50,271
3,496 Johnson Controls, Inc. 206,823
1,311 Lear Corp. 70,794
860 Modine Manufacturing Co. 27,116
926 Sauer-Danfoss, Inc. 18,131
770 Superior Industries
International, Inc. 19,381
3,098 Visteon Corp. 22,987
---------------
849,535
---------------
AUTOMOTIVE AFTERMARKET (0.1%)
513 Bandag, Inc. 24,829
440 Barnes Group, Inc. 11,286
729 CLARCOR Inc. 39,709
1,431 Cooper Tire & Rubber Co. 30,924
3,566 Goodyear Tire & Rubber
Co. (The)* 55,059
---------------
161,807
---------------
BEVERAGES: ALCOHOLIC (0.4%)
14,361 Anheuser-Busch
Companies, Inc. 706,274
1,048 Brown-Forman Corp.
(Class B) 50,545
2,039 Constellation Brands Inc.
(Class A)* 105,865
749 Coors (Adolph) Co. (Class B) 55,875
---------------
918,559
---------------
BEVERAGES: NON-ALCOHOLIC (0.8%)
41,575 Coca-Cola Co. (The) $ 1,724,947
4,737 Coca-Cola Enterprises Inc. 103,977
3,202 Pepsi Bottling Group, Inc. (The) 87,575
1,314 PepsiAmericas, Inc. 27,923
---------------
1,944,422
---------------
BIOTECHNOLOGY (1.7%)
1,999 Abgenix, Inc.* 17,551
618 Adolor Corp.* 5,457
1,255 Affymetrix, Inc.* 51,656
426 Alexion
Pharmaceuticals, Inc.* 10,539
1,735 Alkermes, Inc.* 21,982
23,306 Amgen Inc.* 1,450,565
1,940 Amylin Pharmaceuticals, Inc.* 43,475
771 Antigenics Inc.* 6,399
1,936 Applera Corp. - Celera
Genomics Group* 25,691
887 ARIAD Pharmaceuticals, Inc.* 6,661
6,067 Biogen Idec Inc.* 394,112
1,390 BioMarin
Pharmaceutical, Inc.* 8,409
1,679 Bruker BioSciences Corp.* 6,053
3,148 Celgene Corp.* 86,066
767 Cell Genesys, Inc.* 5,369
1,078 Cephalon, Inc.* 53,038
1,063 Charles River Laboratories
International, Inc.* 50,365
2,088 Chiron Corp.* 68,591
563 Ciphergen Biosystem, Inc.* 1,689
1,071 Corixa Corp.* 4,038
778 Cubist Pharmaceuticals, Inc.* 8,885
689 CV Therapeutics, Inc.* 14,200
859 Dendreon Corp.* 5,841
823 Discovery Laboratories, Inc.* 6,411
834 Diversa Corp.* 6,355
857 Enzo Biochem, Inc.* 15,537
1,101 Enzon Pharmaceuticals, Inc.* 14,203
1,389 Exelixis, Inc.* 10,779
1,541 Genencor International Inc.* 29,371
8,550 Genentech, Inc.* 407,920
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
9
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
469 Gen-Probe Inc.* $ 22,892
1,542 Genta Inc.* 2,405
4,216 Genzyme Corp.* 245,413
647 Geron Corp.* 5,247
7,806 Gilead Sciences, Inc.* 258,379
2,768 Human Genome
Sciences, Inc.* 33,078
1,309 ICOS Corp.* 32,764
1,507 ImClone Systems, Inc.* 63,219
974 Immunomedics, Inc.* 3,448
1,404 Incyte Corp.* 12,580
713 InterMune Inc.* 8,135
990 Invitrogen Corp.* 68,023
1,222 Lexicon Genetics Inc.* 8,187
1,321 Ligand Pharmaceuticals Inc.
(Class B)* 13,752
532 Martek Biosciences Corp.* 28,100
677 Maxygen Inc.* 7,444
1,513 Medarex, Inc.* 14,389
1,047 Medicines Company (The)* 28,803
4,600 MedImmune, Inc.* 108,813
1,174 MGI Pharma, Inc.* 26,638
5,778 Millennium
Pharmaceuticals, Inc.* 53,215
950 Millipore Corp.* 41,354
527 Myriad Genetics, Inc.* 13,049
899 Nabi Biopharmaceuticals* 11,606
666 Neurocrine Biosciences, Inc.* 30,470
862 NPS Pharmaceuticals, Inc.* 14,223
569 Onyx Pharmaceuticals, Inc.* 16,524
805 OSI Pharmaceuticals Inc.* 52,406
1,816 Protein Design Labs, Inc.* 36,629
1,018 Regeneron
Pharmaceuticals, Inc.* 7,330
864 SciClone
Pharmaceuticals, Inc.* 2,532
690 SuperGen, Inc.* 3,429
948 Tanox, Inc.* 11,253
795 Techne Corp.* 27,722
700 Telik, Inc.* 13,314
685 Transkaryotic Therapies, Inc.* 16,426
456 Trimeris, Inc.* $ 5,481
1,739 Vertex Pharmaceuticals Inc.* 17,686
1,051 Vicuron
Pharmaceuticals, Inc.* 15,923
1,595 XOMA Ltd.* 3,142
1,051 ZymoGenetics, Inc.* 21,703
---------------
4,244,334
---------------
BROADCASTING (0.4%)
430 Citadel Broadcasting Corp.* 6,024
9,945 Clear Channel
Communications, Inc. 322,516
966 Cox Radio, Inc. (Class A)* 15,224
1,046 Cumulus Media, Inc.
(Class A)* 14,477
1,281 Emmis Communications Corp.
(Class A)* 22,507
995 Entercom
Communications Corp.* 31,193
1,723 Entravision Communications
Corp. (Class A)* 13,784
168 Fisher Communications, Inc.* 8,408
855 Gray Television, Inc. 12,363
1,002 Hearst-Argyle Television, Inc. 26,072
544 Liberty (Corp.) (The) 21,564
567 Lin TV Corp. (Class A)* 10,552
2,142 Radio One, Inc. (Class A)* 33,415
350 Salem
Communications Corp.* 7,784
1,191 Sinclair Broadcast Group, Inc.
(Class A) 9,802
20,843 Sirius Satellite Radio Inc.* 137,981
721 Spanish Broadcasting
System, Inc. (Class A)* 7,408
4,715 Univision Communications Inc.
(Class A)* 128,767
1,937 Westwood One, Inc.* 46,779
2,629 XM Satellite Radio Holdings
Inc. (Class A)* 83,891
---------------
960,511
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
10
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS (0.2%)
3,444 American Standard
Companies, Inc.* $ 137,898
577 Griffon Corp.* 15,539
1,468 Lennox International Inc. 29,301
8,212 Masco Corp. 302,202
1,264 Simpson Manufacturing
Co., Inc. 45,378
508 Watsco, Inc. 17,582
954 York International Corp. 34,649
---------------
582,549
---------------
CABLE/SATELLITE TV (1.0%)
3,707 Cablevision Systems New York
Group (Class A)* 101,535
5,974 Charter Communications, Inc.
(Class A)* 9,618
40,212 Comcast Corp. (Class A)* 1,294,424
16,901 DIRECTV Group, Inc. (The) 254,360
3,991 EchoStar Communications
Corp. (Class A)* 121,765
1,229 Insight Communications
Co., Inc.* 12,425
47,856 Liberty Media Corp.
(Class A)* 499,617
2,618 Liberty Media International,
Inc. (Class A)* 118,543
2,167 Mediacom Communications
Corp.* 12,959
2,055 UnitedGlobalCom, Inc.
(Class A)* 20,077
---------------
2,445,323
---------------
CASINO/GAMING (0.4%)
1,124 Alliance Gaming Corp.* 11,206
517 Ameristar Casinos, Inc.* 22,608
661 Argosy Gaming Co.* 30,532
789 Aztar Corp.* 25,429
1,194 Boyd Gaming Corp. 47,521
4,977 Caesars Enertainment, Inc.* 96,205
258 Churchill Downs Inc. 10,333
2,254 GTECH Holdings Corp. 52,699
2,140 Harrah's Entertainment, Inc. $ 135,334
6,452 International Game
Technology 201,948
571 Isle of Capri Casinos, Inc.* 14,515
1,191 Mandalay Resort Group 84,085
1,132 MGM Mirage* 81,289
512 Multimedia Games, Inc.* 4,511
783 Penn National Gaming, Inc.* 51,357
730 Shuffle Master, Inc.* 21,258
1,102 Station Casinos, Inc. 67,773
676 Wynn Resorts, Ltd.* 44,319
---------------
1,002,922
---------------
CATALOG/SPECIALTY DISTRIBUTION (0.0%)
902 Insight Enterprises, Inc.* 17,454
701 Valuevision Media Inc.
(Class A)* 9,989
---------------
27,443
---------------
CHEMICALS: AGRICULTURAL (0.1%)
4,938 Monsanto Co. 267,294
---------------
CHEMICALS: MAJOR DIVERSIFIED (0.8%)
1,316 Cabot Corp. 46,060
16,718 Dow Chemical Co. (The) 830,885
17,862 Du Pont (E.I.) de
Nemours & Co. 849,517
1,496 Eastman Chemical Co. 81,008
2,431 Engelhard Corp. 73,051
2,434 Hercules Inc.* 35,317
2,666 Rohm & Haas Co. 117,944
---------------
2,033,782
---------------
CHEMICALS: SPECIALTY (0.5%)
3,938 Air Products & Chemicals, Inc. 231,988
1,432 Airgas, Inc. 33,681
1,081 Albemarle Corp. 37,954
439 Arch Chemicals, Inc. 12,090
669 Cambrex Corp. 14,925
2,198 Crompton Corp. 25,607
841 Cytec Industries, Inc. 42,891
662 FMC Corp.* 31,240
689 Georgia Gulf Corp. 35,235
1,089 Great Lakes Chemical Corp. 28,804
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
11
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
695 Kronos Worldwide, Inc. $ 32,665
999 Lubrizol Corp. (The) 35,994
3,780 Lyondell Chemical Co. 111,208
1,328 NL Industries, Inc. 28,220
554 OM Group, Inc.* 17,961
1,784 Polyone Corp.* 15,432
6,013 Praxair, Inc. 259,461
576 Schulman (A.), Inc. 10,189
625 Scotts Company (The)
(Class A)* 42,475
1,125 Sensient Technologies Corp. 25,594
1,343 Sigma-Aldrich Corp. 84,408
2,209 Valhi, Inc. 33,864
---------------
1,191,886
---------------
COAL (0.1%)
1,020 Arch Coal, Inc. 37,281
1,635 CONSOL Energy, Inc. 68,981
1,460 Massey Energy Co. 55,378
1,051 Peabody Energy Corp. 89,072
---------------
250,712
---------------
COMMERCIAL PRINTING/FORMS (0.1%)
567 Banta Corp. 24,557
659 Bowne & Co., Inc. 9,786
979 Deluxe Corp. 37,466
4,051 Donnelley (R.R.) & Sons Co. 135,506
583 Harland (John H.) Co. 21,221
552 Standard Register Co. 6,894
---------------
235,430
---------------
COMPUTER COMMUNICATIONS (1.1%)
7,227 3Com Corp.* 26,523
3,081 Adaptec, Inc.* 18,486
7,696 Avaya Inc.* 110,438
909 Avocent Corp.* 33,188
4,992 Brocade Communications
Systems, Inc.* 30,950
120,745 Cisco Systems, Inc.* 2,178,240
1,213 Echelon Corp.* 8,661
1,605 Emulex Corp.* 26,274
4,875 Enterasys Networks, Inc.* 6,874
2,962 Extreme Networks, Inc.* 18,957
526 F5 Networks, Inc.* $ 25,216
901 FalconStor Software, Inc.* 7,352
4,152 Finisar Corp.* 7,266
2,528 Foundry Networks, Inc.* 25,988
1,139 Ixia* 17,677
7,542 Juniper Networks, Inc.* 189,530
2,550 McDATA Corp. (Class A)* 10,710
2,040 MRV Communications, Inc.* 7,385
552 NETGEAR, Inc. 8,302
1,830 QLogic Corp.* 70,052
---------------
2,828,069
---------------
COMPUTER PERIPHERALS (0.6%)
1,736 Advanced Digital
Information Corp.* 18,159
595 Avid Technology, Inc.* 37,515
809 Dot Hill Systems Corp.* 5,097
1,020 Electronics for Imaging, Inc.* 17,340
43,217 EMC Corp.* 566,143
750 Imation Corp. 25,867
2,395 Lexmark International, Inc.
(Class A)* 199,623
4,757 Maxtor Corp.* 22,501
6,685 Network Appliance, Inc.* 212,850
1,564 Pinnacle Systems, Inc.* 6,694
3,304 Quantum Corp. - DLT &
Storage Systems* 9,813
257 SafeNet, Inc.* 8,723
1,927 ScanSoft, Inc.* 8,113
2,968 Seagate Technology (ADR)
(Cayman Islands)* 50,218
417 Sonic Solutions* 7,427
2,143 Storage Technology Corp.* 67,483
3,970 Western Digital Corp.* 42,757
1,374 Zebra Technologies Corp.
(Class A)* 69,978
---------------
1,376,301
---------------
COMPUTER PROCESSING HARDWARE (1.5%)
7,024 Apple Computer, Inc.* 540,146
1,353 Cray, Inc.* 5,209
41,110 Dell Inc.* 1,716,754
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
12
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
6,968 Gateway, Inc.* $ 32,959
50,634 Hewlett-Packard Co. 991,920
923 NCR Corp.* 31,548
619 PalmOne, Inc.* 16,017
61,502 Sun Microsystems, Inc.* 268,149
---------------
3,602,702
---------------
CONSTRUCTION MATERIALS (0.2%)
553 AMCOL International Corp. 12,006
597 Eagle Materials Inc. 47,617
381 ElkCorp. 15,423
924 Florida Rock Industries, Inc. 57,704
572 Lafarge Corp. 31,025
948 Martin Marietta Materials, Inc. 51,211
412 Texas Industries, Inc. 26,178
392 Trex Co., Inc.* 19,228
841 USG Corp.* 26,996
2,003 Vulcan Materials Co. 113,129
---------------
400,517
---------------
CONSUMER SUNDRIES (0.1%)
1,388 American Greetings Corp.
(Class A)* 33,506
1,119 Blyth Industries, Inc. 35,148
351 Central Garden & Pet Co.* 14,384
1,507 Oakley, Inc. 19,335
485 Sola International, Inc.* 13,391
1,156 Yankee Candle Co.,
Inc. (The)* 37,871
---------------
153,635
---------------
CONTAINERS/PACKAGING (0.3%)
920 Aptargroup, Inc. 44,611
2,264 Ball Corp. 96,718
2,058 Bemis Company, Inc. 59,682
543 Caraustar Industries, Inc.* 7,330
3,279 Crown Holdings, Inc.* 44,234
435 Greif Bros. Corp. (Class A) 25,204
644 Myers Industries, Inc. 8,333
3,046 Owens-Illinois, Inc.* 69,205
2,043 Packaging Corp. of America 45,579
3,047 Pactiv Corp.* 67,674
681 Rock-Tenn Co. (Class A) 9,445
1,647 Sealed Air Corp.* $ 84,491
356 Silgan Holdings, Inc.* 21,271
4,793 Smurfit-Stone
Container Corp.* 72,087
1,891 Sonoco Products Co. 49,090
1,057 Temple-Inland Inc. 67,225
---------------
772,179
---------------
CONTRACT DRILLING (0.4%)
1,169 Diamond Offshore Drilling, Inc. 51,167
2,904 ENSCO International Inc. 99,404
3,646 GlobalSantaFe Corp.
(Cayman Islands) 128,922
3,712 Grey Wolf, Inc.* 19,674
1,185 Helmerich & Payne, Inc. 44,912
2,751 Nabors Industries, Ltd.
(Bermuda)* 138,650
2,476 Noble Corp.
(Cayman Islands)* 132,094
3,326 Patterson-UTI Energy, Inc.* 64,691
2,628 Pride International, Inc.* 61,469
1,823 Rowan Companies, Inc.* 51,336
5,933 Transocean Inc.
(Cayman Islands)* 261,052
---------------
1,053,371
---------------
DATA PROCESSING SERVICES (1.0%)
1,617 Acxiom Corp. 37,320
2,272 Affiliated Computer Services,
Inc. (Class A)* 123,120
865 Alliance Data Systems Corp.* 37,558
10,544 Automatic Data
Processing, Inc. 458,453
2,405 BISYS Group, Inc. (The)* 36,965
3,048 Ceridian Corp.* 53,950
1,256 Certergy Inc. 43,960
1,684 CheckFree Corp.* 65,676
3,468 Computer Sciences Corp.* 178,671
2,787 Convergys Corp.* 39,826
1,134 CSG Systems
International, Inc.* 20,548
1,617 DST Systems, Inc.* 78,392
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
13
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
914 eFunds Corp.* $ 20,382
15,580 First Data Corp. 634,729
3,611 Fiserv, Inc.* 138,121
696 Global Payments Inc. 39,874
1,020 Hewitt Associates, Inc.* 30,498
319 iPayment Holdings, Inc.* 14,980
6,232 Paychex, Inc. 190,014
5,333 SunGard Data Systems Inc.* 143,404
3,814 Total System Services, Inc. 90,049
792 Tyler Technologies, Inc.* 6,059
---------------
2,482,549
---------------
DEPARTMENT STORES (0.5%)
1,683 Dillard's, Inc. (Class A) 44,162
3,193 Federated Department
Stores, Inc. 181,362
5,608 Kohl's Corp.* 263,632
5,389 May Department Stores Co. 182,687
948 Neiman Marcus Group, Inc.
(The) (Class A) 63,421
4,687 Penney (J.C.) Co., Inc. 200,229
2,657 Saks, Inc.* 37,809
3,637 Sears, Roebuck & Co. 182,759
---------------
1,156,061
---------------
DISCOUNT STORES (1.7%)
1,394 99 Cents Only Stores* 20,910
2,369 Big Lots, Inc.* 26,675
1,457 BJ's Wholesale Club, Inc.* 41,685
8,527 Costco Wholesale Corp. 403,071
5,630 Dollar General Corp. 113,782
2,262 Dollar Tree Stores, Inc.* 61,594
2,935 Family Dollar Stores, Inc. 98,176
628 Fred's, Inc. 10,343
719 Kmart Holding Corp.* 67,715
568 ShopKo Stores, Inc.* 10,241
15,303 Target Corp. 776,933
48,756 Wal-Mart Stores, Inc. 2,554,814
---------------
4,185,939
---------------
DRUGSTORE CHAINS (0.5%)
7,346 CVS Corp. 340,487
991 Longs Drug Stores Corp. 26,024
10,421 Rite Aid Corp.* $ 36,890
18,296 Walgreen Co. 779,593
---------------
1,182,994
---------------
ELECTRIC UTILITIES (2.8%)
12,099 AES Corp. (The)* 169,991
2,648 Allegheny Energy, Inc.* 51,212
561 Allete Inc. 23,209
2,014 Alliant Energy, Inc. 55,385
3,159 Ameren Corp. 158,329
7,316 American Electric Power
Co., Inc. 257,889
3,762 Aquila, Inc.* 13,919
1,235 Avista Corp. 21,822
761 Black Hills Corp. 22,670
5,931 CenterPoint Energy, Inc. 66,724
3,112 Cinergy Corp. 125,382
1,129 Cleco Corp. 22,275
3,007 CMS Energy Corp.* 31,664
308 CN Energy Group, Inc. 14,568
4,368 Consolidated Edison, Inc. 191,624
3,241 Constellation Energy
Group, Inc. 162,050
5,831 Dominion Resources, Inc. 404,555
2,451 DPL, Inc.* 63,701
3,273 DTE Energy Co. 143,390
16,337 Duke Energy Corp. 437,668
1,742 Duquesne Light Holdings Co. 32,331
5,534 Edison International 179,689
1,339 El Paso Electric Co.* 26,030
445 Empire District Electric
Co. (The) 10,182
2,846 Energy East Corp. 74,565
4,196 Entergy Corp. 291,706
11,803 Exelon Corp. 522,283
6,099 FirstEnergy Corp. 242,496
3,150 FPL Group, Inc. 241,416
1,346 Great Plains Energy Inc. 40,797
1,462 Hawaiian Electric
Industries, Inc. 42,559
1,078 IDACORP, Inc. 32,653
669 MGE Energy Inc. 24,024
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
14
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
2,608 Northeast Utilities $ 48,770
1,035 NSTAR 58,250
1,665 OGE Energy Corp. 43,540
819 Otter Tail Power Co. 20,475
3,321 Pepco Holdings, Inc. 72,564
7,413 PG&E Corp.* 259,455
1,769 Pinnacle West Capital Corp. 73,767
1,696 PNM Resources Inc.* 42,790
3,436 PPL Corp. 185,544
4,563 Progress Energy, Inc. 201,913
4,419 Public Service Enterprise
Group, Inc. 233,102
1,826 Puget Energy, Inc. 43,861
5,973 Reliant Energy, Inc.* 74,364
2,166 SCANA Corp. 84,582
2,379 Sierra Pacific Resources* 23,409
13,172 Southern Co. (The) 444,818
3,878 TECO Energy, Inc. 62,087
5,488 TXU Corp. 379,770
458 UIL Holdings Corp. 22,602
655 UniSource Energy Corp. 19,978
1,559 Westar Energy, Inc. 36,325
2,287 Wisconsin Energy Corp. 78,170
634 WPS Resources Corp. 32,397
7,393 Xcel Energy, Inc. 134,479
---------------
6,875,770
---------------
ELECTRICAL PRODUCTS (0.5%)
932 Acuity Brands, Inc. 25,602
3,847 American Power
Conversion Corp. 81,826
1,231 Baldor Electric Co. 34,505
933 Belden CDT Inc. 18,949
499 C&D Technologies, Inc. 7,580
1,695 Cooper Industries Ltd.
(Class A) (Bermuda) 117,802
7,533 Emerson Electric Co. 506,519
1,638 Energizer Holdings, Inc.* 92,727
536 Franklin Electric Co., Inc. 23,579
263 Genlyte Group Inc. (The)* 21,043
1,160 Hubbell, Inc. (Class B) 57,443
426 Littelfuse, Inc.* 13,560
3,132 Molex Inc. $ 89,951
1,998 Power-One, Inc.* 14,845
634 Rayovac Corp.* 23,819
1,141 Thomas & Betts Corp.* 33,329
336 Thomas Industries, Inc. 13,101
366 Wilson Greatbatch
Technologies, Inc.* 6,515
---------------
1,182,695
---------------
ELECTRONIC COMPONENTS (0.3%)
1,664 Amphenol Corp. (Class A)* 65,445
3,390 AVX Corp. 39,324
724 Benchmark Electronics, Inc.* 23,146
1,728 Cree, Inc.* 41,524
675 CTS Corp. 8,984
646 Hutchinson Technology Inc.* 22,804
3,882 Jabil Circuit, Inc.* 91,499
1,686 Kemet Corp.* 14,247
1,357 Kopin Corp.* 5,034
3,937 MEMC Electronic
Materials, Inc.* 48,425
696 Methode Electronics, Inc. 8,721
1,020 OmniVision
Technologies, Inc.* 16,555
386 Park Electrochemical Corp. 7,546
830 Plexus Corp.* 9,562
3,152 SanDisk Corp.* 77,854
9,960 Sanmina-SCI Corp.* 61,553
16,198 Solectron Corp.* 80,504
1,264 Superconductor
Technologies Inc.* 1,289
1,228 Technitrol, Inc.* 21,785
783 TTM Technologies, Inc.* 7,360
816 Vicor Corp.* 11,383
3,109 Vishay Intertechnology, Inc.* 40,635
---------------
705,179
---------------
ELECTRONIC DISTRIBUTORS (0.1%)
707 Anixter International, Inc.* 23,635
1,968 Arrow Electronics, Inc.* 46,464
2,333 Avnet, Inc.* 41,807
1,242 CDW Corp. 72,657
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
15
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
2,936 Ingram Micro Inc. (Class A)* $ 54,257
2,328 Safeguard Scientifics, Inc.* 4,004
239 ScanSource, Inc.* 15,361
1,101 Tech Data Corp.* 46,275
---------------
304,460
---------------
ELECTRONIC EQUIPMENT/INSTRUMENTS (0.5%)
8,214 Agilent Technologies, Inc.* 181,611
640 Checkpoint Systems, Inc.* 9,958
888 Coherent, Inc.* 26,640
1,407 Diebold, Inc. 75,753
267 Digital Theater Systems Inc.* 5,449
688 Dionex Corp.* 40,723
1,680 Identix Inc.* 10,651
400 Itron, Inc.* 9,220
27,803 JDS Uniphase Corp.* 59,498
676 Kronos, Inc.* 36,349
1,479 Lexar Media, Inc.* 5,679
1,510 National Instruments Corp. 41,283
1,105 Newport Corp.* 14,365
762 Paxar Corp.* 18,174
3,090 Rockwell Automation, Inc. 175,049
2,942 Scientific-Atlanta, Inc. 89,172
525 SeaChange
International, Inc.* 8,621
4,467 Symbol Technologies, Inc. 81,746
1,801 Tektronix, Inc. 51,905
3,168 Thermo Electron Corp.* 94,850
1,165 Unova, Inc.* 26,865
905 Varian, Inc.* 36,137
15,439 Xerox Corp.* 245,171
---------------
1,344,869
---------------
ELECTRONIC PRODUCTION EQUIPMENT (0.5%)
630 Advanced Energy
Industries, Inc.* 4,504
3,564 Amkor Technology, Inc.* 15,788
30,105 Applied Materials, Inc.* 478,669
766 Asyst Technologies, Inc.* 3,370
1,170 ATMI, Inc.* 26,594
1,931 Axcelis Technologies, Inc.* 14,425
724 Brooks Automation Inc.* 11,070
5,097 Cadence Design
Systems, Inc.* $ 67,943
1,155 Cognex Corp. 30,157
414 Cohu, Inc. 6,984
1,232 Credence Systems Corp.* 9,856
699 Cymer, Inc.* 18,537
353 DuPont Photomasks, Inc.* 9,379
544 Electro Scientific
Industries, Inc.* 9,612
1,795 Entegris Inc.* 15,958
934 FEI Co.* 18,829
669 FormFactor Inc.* 15,233
510 Helix Technology Corp. 7,482
3,716 KLA-Tencor Corp.* 171,865
977 Kulicke & Soffa
Industries, Inc.* 6,517
2,476 Lam Research Corp.* 66,258
967 LTX Corp.* 5,618
878 Mattson Technology, Inc.* 7,274
1,557 Mentor Graphics Corp.* 21,689
1,003 MKS Instruments, Inc.* 15,697
778 Mykrolis Corp.* 10,262
2,956 Novellus Systems, Inc.* 77,299
316 Photon Dynamics, Inc.* 6,822
963 Photronics, Inc.* 14,445
1,954 Stats Chippac LTD-ADR 11,216
3,044 Synopsys, Inc.* 51,748
3,707 Teradyne, Inc.* 52,009
736 Tessera Technologies, Inc.* 28,630
446 Ultratech Stepper, Inc.* 6,605
672 Varian Semiconductor
Equipment Associates, Inc.* 23,036
670 Veeco Instruments, Inc.* 11,718
---------------
1,353,098
---------------
ELECTRONICS/APPLIANCE STORES (0.2%)
4,895 Best Buy Co., Inc. 263,302
683 Blockbuster, Inc. (Class A) 6,256
4,059 Circuit City Stores - Circuit
City Group 58,125
485 Electronics Boutique
Holdings Corp.* 17,019
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
16
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
1,227 Hollywood
Entertainment Corp.* $ 17,313
658 Movie Gallery, Inc. 13,785
2,974 RadioShack Corp. 98,499
---------------
474,299
---------------
ELECTRONICS/APPLIANCES (0.2%)
5,300 Eastman Kodak Co. 175,377
1,218 Harman International
Industries, Inc. 148,170
551 Helen of Troy Ltd.* 17,610
1,560 Maytag Corp. 24,508
1,350 Whirlpool Corp. 92,151
---------------
457,816
---------------
ENGINEERING & CONSTRUCTION (0.1%)
1,431 Dycom Industries, Inc.* 38,880
352 EMCOR Group, Inc.* 15,122
1,638 Fluor Corp. 87,698
827 Granite Construction Inc. 20,592
516 Insituform Technologies, Inc.
(Class A)* 8,106
1,124 Jacobs Engineering
Group, Inc.* 57,088
939 MasTec, Inc.* 8,348
2,277 Quanta Services, Inc.* 17,032
737 Shaw Group Inc. (The)* 12,389
636 URS Corp.* 17,942
---------------
283,197
---------------
ENVIRONMENTAL SERVICES (0.2%)
4,223 Allied Waste Industries, Inc.* 35,093
344 Ionics, Inc.* 15,088
1,575 Newpark Resources, Inc.* 8,190
3,069 Republic Services, Inc. 101,185
1,043 Tetra Tech, Inc.* 15,468
939 Waste Connections, Inc.* 29,541
10,722 Waste Management, Inc. 310,938
---------------
515,503
---------------
FINANCE/RENTAL/LEASING (1.8%)
530 Advanta Corp. (Class A) 11,231
401 Amerco* 18,233
3,187 AmeriCredit Corp.* $ 78,241
124 Bay View Capital Corp. 1,978
4,437 Capital One Financial Corp. 347,328
504 Cash American
International, Inc. 14,414
806 CharterMac L.P. 18,925
3,898 CIT Group, Inc. 157,362
914 CompuCredit Corp.* 26,195
9,978 Countrywide Financial Corp. 369,186
828 Credit Acceptance Corp.* 20,253
483 Dollar Thrifty Automotive
Group, Inc.* 15,074
2,160 Doral Financial Corp.
(Puerto Rico) 93,420
17,306 Fannie Mae 1,117,621
362 Financial Federal Corp.* 12,489
12,294 Freddie Mac 802,675
1,547 Fremont General Corp. 37,886
1,157 GATX Corp. 34,455
980 IndyMac Bancorp, Inc. 36,221
20,887 MBNA Corp. 555,176
506 NCO Group, Inc.* 11,527
1,307 Ocwen Financial Corp.* 11,240
5,651 Providian Financial Corp.* 94,259
1,333 Ryder System, Inc. 60,718
8,061 SLM Corp. 404,582
390 Student Loan Corp. (The) 70,457
1,493 United Rentals, Inc.* 25,396
810 WFS Financial Inc.* 40,460
---------------
4,487,002
---------------
FINANCIAL CONGLOMERATES (3.7%)
20,777 American Express Co. 1,108,453
92,351 Citigroup, Inc. 4,529,816
524 Euronet Services, Inc.* 12,602
63,633 JP Morgan Chase & Co. 2,375,420
1,318 Leucadia National Corp. 47,725
5,795 Principal Financial Group, Inc. 235,161
9,393 Prudential Financial, Inc. 506,377
6,218 State Street Corp. 278,629
139 Wesco Financial Corp. 52,820
---------------
9,147,003
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
17
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
FINANCIAL PUBLISHING/SERVICES (0.4%)
634 Advent Software, Inc.* $ 12,204
1,436 Dun & Bradstreet Corp.* 83,432
2,842 Equifax, Inc. 80,429
800 FactSet Research
Systems Inc. 42,720
2,131 Interactive Data Corp.* 45,433
3,539 McGraw-Hill Companies,
Inc. (The) 320,280
2,324 Moody's Corp. 194,705
615 National Financial
Partners Corp. 24,028
1,326 SEI Investments Co. 49,539
195 Value Line, Inc. 8,143
---------------
860,913
---------------
FOOD DISTRIBUTORS (0.2%)
1,832 ARAMARK Corp. (Class B) 47,614
888 Performance Food
Group Co.* 24,162
11,418 SYSCO Corp. 399,287
760 United Natural Foods, Inc.* 24,024
---------------
495,087
---------------
FOOD RETAIL (0.3%)
2,161 7-Eleven, Inc.* 51,540
6,085 Albertson's, Inc. 139,225
1,350 Casey's General Stores, Inc. 23,787
12,564 Kroger Co.* 214,844
1,313 Ruddick Corp. 27,704
8,252 Safeway Inc.* 155,550
2,598 Supervalu, Inc. 82,123
798 Weis Markets, Inc. 30,364
1,143 Whole Foods Market, Inc.* 102,207
584 Wild Oats Markets, Inc.* 4,234
3,012 Winn-Dixie Stores, Inc. 10,873
---------------
842,451
---------------
FOOD: MAJOR DIVERSIFIED (1.4%)
4,860 Campbell Soup Co. 142,495
9,771 ConAgra Foods Inc. 288,244
4,345 Del Monte Foods Co.* 49,012
5,986 General Mills, Inc. 317,198
6,511 Heinz (H.J.) Co. $ 246,181
4,371 Kellogg Co. 195,121
5,463 Kraft Foods Inc. (Class A) 185,633
30,483 PepsiCo, Inc. 1,636,937
14,614 Sara Lee Corp. 343,137
---------------
3,403,958
---------------
FOOD: MEAT/FISH/DAIRY (0.1%)
3,022 Dean Foods Co.* 106,465
1,424 Hormel Foods Corp. 44,856
537 Pilgrim's Pride Corp.
(Class B) 18,774
379 Sanderson Farms, Inc. 16,566
2,145 Smithfield Foods, Inc.* 64,929
6,123 Tyson Foods, Inc. (Class A) 105,132
---------------
356,722
---------------
FOOD: SPECIALTY/CANDY (0.3%)
340 American Italian Pasta Co.
(Class A) 9,214
779 Chiquita Brands
International, Inc.* 17,878
490 Farmer Brothers Co. 12,662
1,032 Flowers Foods Inc. 31,486
1,107 Fresh Del Monte Produce, Inc. 35,346
878 Hain Celestial Group, Inc.* 17,665
3,600 Hershey Foods Corp. 210,564
769 Lancaster Colony Corp. 32,536
567 Lance, Inc. 9,826
2,398 McCormick & Co., Inc.
(Non-Voting) 89,134
1,420 NBTY, Inc.* 38,880
843 Ralcorp Holdings, Inc.* 37,092
1,124 Smucker (J.M.) Co. 52,435
424 TBC Corporation* 10,829
1,038 Tootsie Roll Industries, Inc. 33,392
795 Topps Co., Inc. (The) 7,902
2,624 Wrigley (Wm.) Jr. Co. 184,703
---------------
831,544
---------------
FOREST PRODUCTS (0.1%)
2,052 Louisiana-Pacific Corp. 52,531
346 Universal Forest Products, Inc. 13,539
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
18
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
4,118 Weyerhaeuser Co. $ 256,963
---------------
323,033
---------------
GAS DISTRIBUTORS (0.5%)
1,245 AGL Resources, Inc. 43,139
1,187 Atmos Energy Corp. 32,880
7,239 Dynegy, Inc. (Class A)* 32,213
1,011 Energen Corp. 59,285
1,215 Equitable Resources, Inc. 69,304
2,962 KeySpan Corp. 116,910
372 Laclede Group, Inc. (The) 11,272
2,194 MDU Resources Group, Inc. 58,668
1,576 National Fuel Gas Co. 44,443
531 New Jersey Resources Corp. 23,284
732 Nicor Inc. 27,025
4,872 NiSource, Inc. 111,569
502 Northwest Natural Gas Co. 17,043
1,842 ONEOK, Inc. 51,023
940 Peoples Energy Corp. 40,260
1,306 Piedmont Natural Gas
Co., Inc. 30,338
1,609 Questar Corp. 81,737
3,769 Sempra Energy 140,282
245 South Jersey Industries, Inc. 13,059
1,440 Southern Union Co.* 33,581
642 Southwest Gas Corp. 16,288
830 UGI Corp. 34,586
1,465 Vectren Corp. 40,449
949 WGL Holdings Inc. 28,812
---------------
1,157,450
---------------
HOME BUILDING (0.5%)
287 Beazer Homes USA Inc. 42,619
650 Brookfield Homes Corp. 23,205
66 Cavco Industries, Inc.* 3,144
2,288 Centex Corp. 140,277
1,119 Champion Enterprises, Inc.* 12,074
4,060 D.R. Horton, Inc. 161,507
1,170 Hovnanian Enterprises, Inc.* 61,121
898 KB Home 97,568
2,486 Lennar Corp. (Class A) 140,384
291 Levitt Corp. (Class A)* 8,555
887 M.D.C. Holdings, Inc. $ 64,574
316 M/I Schottenstein Homes, Inc. 17,949
432 Meritage Corp.* 27,929
140 NVR, Inc.* 110,775
446 Palm Harbor Homes, Inc.* 6,498
1,938 Pulte Homes, Inc. 128,063
958 Ryland Group, Inc. (The) 62,145
698 Standard Pacific Corp. 46,438
892 Technical Olympic USA, Inc. 24,236
905 Toll Brothers, Inc.* 70,653
825 WCI Communities, Inc.* 26,285
193 William Lyon Homes, Inc.* 15,647
---------------
1,291,646
---------------
HOME FURNISHINGS (0.2%)
1,031 Ethan Allen Interiors, Inc. 36,332
1,081 Furniture Brands
International, Inc. 25,620
426 Jarden Corp.* 19,596
1,386 La-Z-Boy, Inc. 19,321
3,530 Leggett & Platt, Inc. 100,605
265 Libbey, Inc. 6,355
1,029 Mohawk Industries, Inc.* 91,077
5,083 Newell Rubbermaid, Inc. 109,386
646 Select Comfort Corp.* 12,642
---------------
420,934
---------------
HOME IMPROVEMENT CHAINS (1.0%)
1,470 Fastenal Co. 88,391
40,035 Home Depot, Inc. (The) 1,651,844
13,171 Lowe's Companies, Inc. 750,615
2,215 Sherwin-Williams Co. 95,688
---------------
2,586,538
---------------
HOSPITAL/NURSING MANAGEMENT (0.4%)
666 Amsurg Corp.* 17,589
2,091 Beverly Enterprises, Inc.* 25,573
2,039 Community Health
Systems Inc.* 59,090
7,390 HCA, Inc. 329,003
4,266 Health Management Associates,
Inc. (Class A) 94,193
732 LifePoint Hospitals, Inc.* 27,670
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
19
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
1,727 Manor Care, Inc. $ 59,668
981 OCA Inc. 5,435
951 Province Healthcare Co.* 21,531
1,876 Select Medical Corp. 33,261
566 Sunrise Assisted Living, Inc.* 25,940
9,197 Tenet Healthcare Corp.* 91,326
1,525 Triad Hospitals, Inc.* 62,052
542 United Surgical Partners
International Inc.* 21,349
1,123 Universal Health Services, Inc.
(Class B) 48,334
---------------
922,014
---------------
HOTELS/RESORTS/CRUISELINES (0.5%)
7,882 Carnival Corp. (Panama) 454,003
870 Choice Hotels
International, Inc. 50,460
1,101 Gaylord Entertainment Co.* 43,214
6,684 Hilton Hotels Corp. 148,719
3,606 La Quinta Corp.* 31,336
576 Marcus Corp. (The) 14,354
3,394 Marriott International,
Inc. (Class A) 214,433
3,849 Starwood Hotels & Resorts
Worldwide, Inc. 222,819
542 Vail Resorts, Inc.* 12,992
---------------
1,192,330
---------------
HOUSEHOLD/PERSONAL CARE (2.1%)
1,708 Alberto-Culver Co. (Class B) 92,659
8,447 Avon Products, Inc. 356,632
1,176 Church & Dwight Co., Inc. 40,490
2,876 Clorox Co. (The) 170,892
9,501 Colgate-Palmolive Co. 499,182
2,352 Estee Lauder Companies, Inc.
(The) (Class A) 106,169
16,856 Gillette Co. (The) 854,936
1,815 International Flavors &
Fragrances, Inc. 76,629
8,952 Kimberly-Clark Corp. 586,446
1,368 Nu Skin Enterprises, Inc.
(Class A) 31,984
1,191 Playtex Products, Inc.* $ 9,683
46,158 Procter & Gamble Co. (The) 2,456,990
---------------
5,282,692
---------------
INDUSTRIAL CONGLOMERATES (4.1%)
13,287 3M Co. 1,120,891
4,733 Danaher Corp. 259,747
186,124 General Electric Co.** 6,724,660
14,537 Honeywell International, Inc. 523,041
3,243 Ingersoll-Rand Co. Ltd.
(Class A) (Bermuda) 241,214
1,706 ITT Industries, Inc. 145,505
1,476 SPX Corp.* 61,844
2,222 Textron, Inc. 159,940
9,153 United Technologies Corp. 921,524
816 Walter Industries, Inc. 28,576
---------------
10,186,942
---------------
INDUSTRIAL MACHINERY (0.4%)
458 Actuant Corp. (Class A)* 23,940
1,244 Flowserve Corp.* 31,038
769 FuelCell Energy, Inc.* 7,013
1,336 Graco Inc. 47,628
1,345 IDEX Corp. 51,850
4,801 Illinois Tool Works Inc. 417,591
876 Kennametal Inc. 42,871
941 Lincoln Electric Holdings, Inc. 30,253
942 Nordson Corp. 35,447
2,211 Parker-Hannifin Corp. 144,069
489 Regal-Beloit Corp. 14,738
695 Roper Industries, Inc. 40,352
377 Tecumseh Products Co.
(Class A) 15,318
532 Watts Water Technologies, Inc. 17,051
217 Woodward Governor Co. 15,458
---------------
934,617
---------------
INDUSTRIAL SPECIALTIES (0.3%)
719 Buckeye Technologies Inc.* 9,246
664 Cabot Microelectronics
Corp.* 20,205
1,680 Donaldson Co., Inc. 52,382
3,539 Ecolab Inc. 119,087
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
20
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
1,228 Ferro Corp. $ 24,351
625 Fuller (H.B.) Co. 16,669
1,306 GrafTech International Ltd.* 10,631
543 Headwaters Inc.* 17,267
1,013 KFx Inc.* 14,091
740 MacDermid, Inc. 23,784
717 Mine Safety Appliances Co. 35,104
412 Minerals Technologies, Inc. 25,742
3,176 PPG Industries, Inc. 218,445
315 Rogers Corp.* 13,394
2,325 RPM International, Inc. 40,990
651 Spartech Corp. 15,116
611 Symyx Technologies, Inc.* 15,855
981 Valspar Corp. (The) 48,069
325 WD-40 Co. 10,537
---------------
730,965
---------------
INFORMATION TECHNOLOGY SERVICES (1.5%)
599 Anteon International Corp.* 20,558
3,768 BearingPoint, Inc.* 29,729
513 Black Box Corp. 23,870
586 CACI International Inc.
(Class A)* 30,560
1,236 CIBER, Inc.* 10,407
3,180 Citrix Systems, Inc.* 68,211
2,386 Cognizant Technology
Solutions Corp. (Class A)* 90,429
9,378 Electronic Data
Systems Corp. 200,877
857 Epicor Software Corp.* 11,561
1,728 Henry (Jack) &
Associates, Inc. 35,925
5,912 Infonet Services Corp.
(Class B)* 12,060
988 Intergraph Corp.* 29,353
30,097 International Business
Machines Corp. 2,811,662
557 JDA Software Group, Inc.* 6,695
1,745 Keane, Inc.* 22,807
12,788 Level 3
Communications, Inc.* 35,039
320 ManTech International Corp.
(Class A)* $ 6,896
339 MICROS Systems, Inc.* 23,696
2,521 Perot Systems Corp.
(Class A)* 37,185
639 QAD, Inc.* 5,278
1,299 Reynolds & Reynolds Co.
(The) (Class A) 35,424
1,240 RSA Security, Inc.* 21,836
2,357 Sapient Corp.* 18,573
314 SRA International, Inc.
(Class A)* 17,436
1,197 Syntel, Inc. 20,122
6,402 Unisys Corp.* 50,256
582 Verint Systems Inc.* 22,192
1,558 Wind River Systems, Inc.* 19,553
---------------
3,718,190
---------------
INSURANCE BROKERS/SERVICES (0.3%)
4,978 AON Corp. 113,200
1,336 Brown & Brown, Inc. 57,795
512 CCC Information Services
Group, Inc.* 11,873
1,589 ChoicePoint Inc.* 73,094
948 Crawford & Co. (Class B) 6,854
1,768 Gallagher (Arthur J.) & Co. 52,421
764 Hilb, Rogal & Hobbs Co. 27,168
9,120 Marsh & McLennan
Companies, Inc. 296,400
---------------
638,805
---------------
INTEGRATED OIL (3.8%)
1,526 Amerada Hess Corp. 132,228
38,216 ChevronTexaco Corp. 2,078,950
812 Cimarex Energy Co.* 29,435
11,553 ConocoPhillips 1,072,003
116,791 Exxon Mobil Corp. 6,026,416
1,613 Murphy Oil Corp. 144,009
---------------
9,483,041
---------------
INTERNET RETAIL (0.2%)
5,450 Amazon.com, Inc.* 235,549
1,364 Drugstore.com, Inc.* 3,894
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
21
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
9,323 IAC/InterActiveCorp.* $ 225,896
806 Netflix Inc.* 9,269
---------------
474,608
---------------
INTERNET SOFTWARE/SERVICES (0.6%)
1,002 Agile Software Corp.* 7,325
2,333 Akamai Technologies, Inc.* 30,562
1,012 Ariba, Inc. 14,047
951 Ask Jeeves, Inc.* 26,970
7,861 BEA Systems, Inc.* 66,976
1,827 Borland Software Corp.* 15,676
9,125 CMGI Inc.* 17,246
3,333 CNET Networks, Inc.* 36,663
638 Digital Insight Corp.* 10,604
600 Digital River, Inc.* 23,466
1,146 Digitas Inc.* 11,964
3,167 Earthlink, Inc.* 31,765
792 GSI Commerce, Inc.* 11,064
4,035 Internap Network
Services Corp.* 2,663
1,125 Internet Security
Systems, Inc.* 25,144
447 J2 Global
Communications, Inc.* 14,519
897 Lionbridge
Technologies, Inc.* 5,633
237 MicroStrategy Inc. (Class A)* 17,230
1,137 NIC Inc.* 5,486
1,181 Openwave Systems, Inc.* 16,085
620 Packeteer, Inc.* 9,040
530 PEC Solutions, Inc.* 6,487
1,098 Progress Software Corp.* 23,651
2,958 RealNetworks, Inc.* 17,955
1,369 S1 Corp.* 11,315
627 Secure Computing Corp.* 5,944
9,608 Siebel Systems, Inc.* 83,686
1,321 SonicWALL, Inc.* 8,534
670 Support.com, Inc.* 4,107
1,194 United Online, Inc.* 12,871
4,873 VeriSign, Inc.* 125,918
6,854 Vignette Corp.* 8,979
816 WebEx
Communications, Inc.* $ 16,402
1,016 webMethods, Inc.* 5,842
429 Websense, Inc.* 23,037
21,334 Yahoo! Inc.* 751,170
---------------
1,506,026
---------------
INVESTMENT BANKS/BROKERS (1.8%)
6,857 Ameritrade Holding Corp.* 88,661
1,899 Bear Stearns Companies,
Inc. (The) 191,913
520 Chicago Marcantile
Exchange (The) 111,540
7,093 E*TRADE Group, Inc.* 97,529
1,553 Edwards (A.G.), Inc. 66,251
590 eSPEED, Inc (Class A)* 6,354
7,620 Goldman Sachs Group,
Inc. (The) 821,817
1,058 Investment Technology
Group, Inc.* 21,065
1,056 Jefferies Group, Inc. 41,184
2,213 Knight Trading Group, Inc.* 21,931
1,355 LaBranche & Co., Inc.* 13,523
1,924 Legg Mason, Inc. 148,590
4,944 Lehman Brothers Holdings Inc. 450,843
15,921 Merrill Lynch & Co., Inc. 956,374
21,161 Morgan Stanley 1,184,170
1,423 Raymond James Financial, Inc. 44,355
20,878 Schwab (Charles) Corp. (The) 234,669
802 Tradestation Group Inc.* 4,892
---------------
4,505,661
---------------
INVESTMENT MANAGERS (0.4%)
619 Affiliated Managers
Group, Inc.* 39,251
1,502 Alliance Capital Management
Holding L.P. 67,575
490 BlackRock, Inc. (Class A) 39,347
2,672 Eaton Vance Corp.
(Non-Voting) 66,880
2,105 Federated Investors, Inc.
(Class B) 61,845
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
22
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
2,594 Franklin Resources, Inc. $ 176,029
1,265 Investors Financial
Services Corp. 63,769
4,663 Janus Capital Group, Inc. 69,152
7,840 Mellon Financial Corp. 230,104
267 Nuveen Investments (Class A) 9,906
2,413 Price (T.) Rowe Group, Inc. 144,418
1,596 Waddell & Reed Financial, Inc.
(Class A) 34,905
---------------
1,003,181
---------------
INVESTMENT TRUSTS/MUTUAL FUNDS (0.0%)
418 BP Prudhoe Bay Royalty Trust 22,091
28 Cross Timbers Royalty Trust 1,150
1,322 Hugoton Royalty Trust 34,835
---------------
58,076
---------------
LIFE/HEALTH INSURANCE (0.7%)
9,082 AFLAC, Inc. 358,830
513 American National
Insurance Co. 54,204
676 AmerUs Group Co. 30,129
728 Citizens, Inc.* 4,266
823 Delphi Financial Group, Inc.
(Class A) 36,986
893 FBL Financial Group, Inc.
(Class A) 24,834
2,770 Genworth Financial Inc.
(Class A)* 73,488
1,075 Great American Financial
Resources, Inc. 17,383
2,523 Jefferson-Pilot Corp. 125,898
233 Kansas City Life Insurance Co. 11,790
3,254 Lincoln National Corp. 150,140
7,743 MetLife, Inc. 307,784
65 National Western Life
Insurance Co. (Class A)* 11,255
2,405 Phoenix Companies Ltd. 31,433
573 Presidential Life Corp. 9,477
1,401 Protective Life Corp. 57,665
632 Reinsurance Group of
America, Inc. 29,717
533 StanCorp Financial
Group, Inc. $ 45,305
2,028 Torchmark Corp. 110,729
872 UICI* 26,962
1,049 Universal American
Financial Corp.* 15,987
5,481 UnumProvident Corp. 94,109
---------------
1,628,371
---------------
MAJOR BANKS (3.8%)
72,816 Bank of America Corp. 3,376,478
13,885 Bank of New York Co.,
Inc. (The) 412,523
9,905 BB&T Corp. 390,950
3,169 Comerica, Inc. 183,358
4,041 Huntington Bancshares, Inc. 92,822
7,522 KeyCorp 251,385
11,029 National City Corp. 392,081
5,221 PNC Financial Services
Group 281,255
4,517 Popular, Inc. 120,514
8,232 Regions Financial Corp. 263,424
5,129 SunTrust Banks, Inc. 369,391
946 UnionBanCal Corp. 58,255
25,018 Wachovia Corp. 1,372,237
30,136 Wells Fargo & Co. 1,847,337
---------------
9,412,010
---------------
MAJOR TELECOMMUNICATIONS (2.1%)
5,700 ALLTEL Corp. 313,728
14,605 AT&T Corp. 280,270
32,757 BellSouth Corp. 859,544
5,323 Cincinnati Bell Inc. 22,623
1,276 Primus Telecommunications
Group, Inc.* 2,935
59,143 SBC Communications, Inc. 1,405,238
23,307 Sprint Corp. 555,406
49,471 Verizon Communications Inc. 1,760,673
---------------
5,200,417
---------------
MANAGED HEALTH CARE (1.3%)
2,840 Aetna, Inc. 360,822
798 AMERIGROUP Corp.* 32,806
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
23
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
8,405 Caremark Rx, Inc.* $ 328,635
766 Centene Corp.* 25,699
2,543 CIGNA Corp. 204,076
2,102 Coventry Health Care, Inc.* 119,607
2,202 Health Net Inc.* 64,056
3,025 Humana, Inc.* 103,667
1,462 PacifiCare Health
Systems, Inc.* 89,957
506 Sierra Health Services, Inc.* 27,795
11,922 UnitedHealth Group Inc.* 1,059,866
326 WellChoice, Inc.* 17,353
5,486 WellPoint Inc.* 666,549
---------------
3,100,888
---------------
MARINE SHIPPING (0.1%)
809 Alexander & Baldwin, Inc. 37,214
722 General Maritime Corp. 33,140
629 Kirby Corp.* 27,701
1,540 OMI Corp. (Class A) 26,950
676 Overseas Shipholding
Group, Inc. 37,728
1,174 Tidewater, Inc. 45,504
---------------
208,237
---------------
MEDIA CONGLOMERATES (1.4%)
36,647 Disney (Walt) Co. (The) 1,049,204
78,366 Time Warner, Inc.* 1,410,588
28,490 Viacom Inc. (Class B)
(Non-Voting) 1,063,817
---------------
3,523,609
---------------
MEDICAL DISTRIBUTORS (0.4%)
2,079 AmerisourceBergen Corp. 121,164
1,518 Andrx Group* 33,153
7,685 Cardinal Health, Inc. 432,819
846 Henry Schein, Inc.* 57,579
5,091 McKesson Corp. 175,589
649 Owens & Minor, Inc. 18,529
2,154 Patterson Companies Inc.* 100,333
484 PolyMedica Industries, Inc. 18,116
943 Priority Healthcare Corp.
(Class B)* 21,746
1,307 PSS World Medical, Inc.* $ 16,403
---------------
995,431
---------------
MEDICAL SPECIALTIES (2.3%)
568 Advanced Medical
Optics, Inc.* 24,248
420 Advanced Neuromodulation
System* 16,594
1,228 Align Technology, Inc.* 10,634
643 American Medical System
Holdings, Inc.* 25,251
339 Analogic Corp. 13,902
4,130 Applera Corp. - Applied
Biosystems Group 82,806
1,344 Arrow International, Inc. 43,129
403 ArthroCare Corp.* 11,989
1,918 Bard (C.R.), Inc. 130,040
1,016 Bausch & Lomb, Inc. 74,056
11,368 Baxter International, Inc. 383,784
1,195 Beckman Coulter, Inc. 80,065
4,355 Becton, Dickinson & Co. 246,711
4,365 Biomet, Inc.* 185,425
507 Bio-Rad Laboratories, Inc.
(Class A)* 29,808
375 Biosite Diagnostics Inc.* 21,750
556 Bioveris Corp. 3,670
11,153 Boston Scientific Corp.* 368,718
639 CONMED Corp.* 18,563
942 Cooper Companies, Inc. (The) 72,251
839 CTI Molecular Imaging, Inc.* 12,358
435 Cyberonics Inc.* 10,949
2,224 Cytyc Corp.* 55,711
782 Dade Behring Holdings Inc.* 44,691
288 Datascope Corp. 11,387
1,462 DENTSPLY International, Inc. 81,974
576 Diagnostic Products Corp. 29,244
362 Digene Corp.* 9,271
1,148 Edwards Lifesciences Corp.* 46,724
2,195 Fisher Scientific
International, Inc.* 138,614
5,817 Guidant Corp. 421,674
470 Haemonetics Corp.* 18,269
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
24
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
1,234 Hillenbrand Industries, Inc. $ 67,043
2,946 Hospira, Inc.* 85,110
669 IDEXX Laboratories, Inc.* 38,809
852 Immucor, Inc.* 26,080
448 INAMED Corp.* 31,002
604 Integra LifeSciences
Holding, Inc.* 22,759
484 Intermagnetics General
Corp.* 12,240
521 Intuitive Surgical, Inc.* 20,788
669 Invacare Corp. 31,135
508 Kinetic Concepts, Inc.* 33,020
1,243 KV Pharmaceutical Co.
(Class A)* 25,544
754 Kyphon Inc.* 20,712
21,647 Medtronic, Inc. 1,136,251
1,095 Mentor Corp. 34,284
499 Merit Medical Systems, Inc.* 7,076
752 OraSure Technologies, Inc.* 4,294
2,422 Pall Corp. 65,224
355 Penwest
Pharmaceuticals Co.* 3,756
2,661 Peregrine
Pharmaceuticals, Inc.* 3,193
2,458 PerkinElmer, Inc. 56,509
727 ResMed, Inc.* 37,295
692 Respironics, Inc.* 40,067
6,684 St. Jude Medical, Inc.* 262,548
1,440 STERIS Corp.* 34,157
5,128 Stryker Corp. 251,990
378 SurModics, Inc.* 11,102
853 Sybron Dental
Specialties, Inc.* 32,209
1,215 Thoratec Corp.* 12,089
2,613 Varian Medical
Systems, Inc.* 98,588
324 Ventana Medical
Systems, Inc.* 21,799
586 Viasys Healthcare, Inc.* 10,718
1,030 VISX, Inc.* 27,686
252 Vital Signs, Inc. 10,120
2,234 Waters Corp.* $ 109,645
566 West Pharmaceutical
Services, Inc. 14,773
673 Wright Medical Group, Inc.* 18,474
4,431 Zimmer Holdings, Inc.* 349,384
---------------
5,791,733
---------------
MEDICAL/NURSING SERVICES (0.2%)
612 American Healthways, Inc.* 19,082
1,213 Apria Healthcare Group, Inc.* 39,786
1,944 DaVita, Inc.* 81,570
1,265 Hooper Holmes, Inc. 6,388
698 Kindred Healthcare, Inc.* 19,118
1,906 Lincare Holdings, Inc.* 79,099
581 Pediatrix Medical
Group, Inc.* 38,805
1,447 Renal Care Group, Inc.* 55,218
2,386 VCA Antech, Inc.* 44,260
---------------
383,326
---------------
METAL FABRICATIONS (0.1%)
1,092 Commercial Metals Co. 31,559
808 Harsco Corp. 44,109
1,034 Kaydon Corp. 32,085
669 Mueller Industries, Inc.* 21,207
1,683 Timken Co. (The) 43,354
---------------
172,314
---------------
MISCELLANEOUS COMMERCIAL SERVICES (0.3%)
1,371 ABM Industries Inc. 25,089
1,684 Adesa Inc. 34,808
248 Bright Horizons Family
Solutions, Inc.* 14,533
858 Century Business
Services, Inc.* 3,741
2,011 Copart, Inc.* 46,213
722 Corporate Executive Board
Co. (The) 46,136
596 Corrections Corporation of
America* 24,490
312 Costar Group, Inc.* 13,400
673 DiamondCluster International,
Inc. (Class A)* 10,065
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
25
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
958 FTI Consulting, Inc.* $ 18,585
666 G & K Services, Inc. (Class A) 29,697
419 Global Imaging
Systems, Inc.* 14,996
2,837 IKON Office Solutions, Inc. 30,498
2,481 Iron Mountain Inc.* 69,964
891 Laureate Education Inc.* 39,525
479 MAXIMUS, Inc. 14,408
849 Navigant Consulting, Inc.* 20,317
489 ProQuest Co.* 15,413
2,790 Sabre Holdings Corp. 58,869
316 SOURCECORP, Inc.* 5,688
278 StarTek, Inc. 6,950
1,449 TeleTech Holdings, Inc.* 15,388
1,413 The Brink's Co. 50,034
235 Vertrue Incorporated 8,817
428 Viad Corp. 11,886
1,044 Wireless Facilities, Inc.* 8,895
---------------
638,405
---------------
MISCELLANEOUS MANUFACTURING (0.2%)
1,416 Ametek, Inc. 54,091
1,238 Brady (W.H.) Co. (Class A) 35,147
598 Carlisle Companies, Inc. 37,716
1,151 Crane Co. 32,803
398 CUNO, Inc.* 22,857
3,760 Dover Corp. 144,008
1,463 Jacuzzi Brands, Inc.* 14,776
1,914 Pentair, Inc. 84,828
782 Smith (A.O.) Corp. 21,200
769 Teleflex Inc. 39,027
743 Tredegar Corp. 12,594
464 Valmont Industries, Inc. 11,243
---------------
510,290
---------------
MOTOR VEHICLES (0.4%)
31,429 Ford Motor Co. 413,920
8,557 General Motors Corp. 314,983
5,456 Harley-Davidson, Inc. 327,960
---------------
1,056,863
---------------
MOVIES/ENTERTAINMENT (0.2%)
985 Cedar Fair, L.P. $ 31,372
1,441 Crown Media Holdings, Inc.
(Class A)* 13,661
3,339 Fox Entertainment Group, Inc.
(Class A)* 112,357
1,031 International Speedway Corp.
(Class A) 56,622
5,029 Metro-Goldwyn-Mayer Inc.* 59,946
472 Pixar, Inc.* 41,144
1,207 Regal Entertainment Group
(Class A) 24,019
2,012 Six Flags, Inc. 8,611
1,092 Speedway Motorsports, Inc.* 42,315
1,332 TiVo Inc.* 5,341
---------------
395,388
---------------
MULTI-LINE INSURANCE (1.5%)
42,318 American International
Group, Inc. 2,805,260
652 CNA Financial Corp.* 17,239
5,209 Hartford Financial Services
Group, Inc. (The) 350,514
1,175 HCC Insurance Holdings, Inc. 38,622
1,032 Horace Mann Educators
Corp. 19,009
2,318 Loews Corp. 157,624
1,164 Nationwide Financial Services,
Inc. (Class A) 43,010
2,573 Safeco Corp. 119,130
1,319 Unitrin, Inc. 56,493
367 Zenith National Insurance
Corp. 17,348
---------------
3,624,249
---------------
OFFICE EQUIPMENT/SUPPLIES (0.2%)
1,806 Avery Dennison Corp. 108,522
1,130 HNI Corp. 45,595
1,097 Kimball International, Inc.
(Class B) 15,896
1,422 Miller (Herman), Inc. 37,996
4,274 Pitney Bowes, Inc. 191,219
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
26
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
855 Steelcase, Inc. (Class A) $ 11,645
---------------
410,873
---------------
OIL & GAS PIPELINES (0.3%)
799 Buckeye Partners, L.P. 35,835
11,759 El Paso Corp. 127,820
206 Enbridge Energy
Management, LLC* 10,799
1,645 Enterprise Products
Partners L.P. 45,089
1,015 Kinder Morgan
Management, LLC* 42,857
1,860 Kinder Morgan, Inc. 139,574
267 Magellan Midstream
Parners, L.P. 16,554
862 Plains All American
Pipeline, L.P. 34,437
323 TC Pipelines, L.P. 12,103
1,221 TEPPCO Partners, L.P. 48,559
262 Valero L.P. 16,142
1,288 Western Gas Resources, Inc. 39,220
9,614 Williams Companies,
Inc. (The) 161,611
---------------
730,600
---------------
OIL & GAS PRODUCTION (1.4%)
4,627 Anadarko Petroleum Corp. 306,354
6,028 Apache Corp. 328,044
408 Berry Petroleum Co. (Class A) 22,089
7,299 Burlington Resources, Inc. 319,039
790 Cabot Oil & Gas Corp. 37,193
4,455 Chesapeake Energy Corp. 78,274
625 Comstock Resources Inc.* 14,662
1,316 Denbury Resources Inc.* 38,427
8,479 Devon Energy Corp. 344,841
909 Encore Acquisition Co.* 33,906
626 Energy Partners, Ltd.* 13,741
2,230 EOG Resources, Inc. 165,577
1,042 Forest Oil Corp.* 35,105
801 Houston Exploration
Co. (The)* 43,422
805 Kcs Energy Inc* 11,713
2,389 Kerr-McGee Corp. $ 147,521
1,313 Magnum Hunter
Resources, Inc.* 19,577
1,085 Newfield Exploration Co.* 66,402
1,100 Noble Energy, Inc. 65,087
1,785 NRG Energy Inc.* 62,475
6,985 Occidental Petroleum Corp. 407,784
1,322 Patina Oil & Gas Corp. 48,491
350 Penn Virginia Corp. 14,826
2,287 Pioneer Natural
Resources Co.* 87,798
1,457 Plains Exploration &
Production Co.* 41,932
1,275 Pogo Producing Co. 54,226
700 Quicksilver Resources Inc.* 31,101
1,093 Range Resources Corp. 24,254
523 Remington Oil & Gas Corp.* 15,298
844 Southwestern Energy Co.* 43,297
646 Spinnaker Exploration Co.* 21,182
681 St. Mary Land &
Exploration Co. 29,290
559 Stone Energy Corp.* 23,925
535 Swift Energy Co.* 16,194
1,441 Ultra Petroleum Corp.
(Canada)* 74,255
940 Unit Corp.* 34,348
4,895 Unocal Corp. 232,855
1,388 Vintage Petroleum, Inc. 33,603
4,463 XTO Energy Inc. 160,266
---------------
3,548,374
---------------
OIL REFINING/MARKETING (0.3%)
1,333 Ashland, Inc. 81,820
510 Frontier Oil Corp. 14,265
606 Holly Corp. 18,337
6,011 Marathon Oil Corp. 232,806
1,251 Premcor Inc.* 60,048
1,393 Sunoco, Inc. 121,874
1,262 Tesoro Petroleum Corp.* 40,182
4,730 Valero Energy Corp. 246,102
---------------
815,434
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
27
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
OILFIELD SERVICES/EQUIPMENT (1.0%)
6,171 Baker Hughes Inc. $ 267,204
3,067 BJ Services Co. 147,369
859 Cal Dive International, Inc.* 37,538
493 Carbo Ceramics, Inc. 35,323
1,046 Cooper Cameron Corp.* 59,005
1,283 FMC Technologies, Inc.* 39,298
2,148 Global Industries Ltd.* 17,334
2,452 Grant Prideco, Inc.* 48,059
8,164 Halliburton Co. 335,785
1,370 Hanover Compressor Co.* 19,427
484 Hydril Co.* 24,200
3,095 Key Energy Services, Inc.* 38,409
624 Lone Star
Technologies, Inc.* 25,453
819 Maverick Tube Corp.* 27,895
1,283 McDermott
International, Inc.* 23,723
1,674 National-Oilwell, Inc.* 61,737
545 Oceaneering
International, Inc.* 20,770
440 Offshore Logistics, Inc.* 14,040
1,262 Oil States International Inc.* 24,041
10,521 Schlumberger Ltd.
(Netherlands Antilles) 715,849
366 SEACOR Holdings, Inc.* 20,492
1,940 Smith International, Inc.* 114,848
1,730 Superior Energy
Services, Inc.* 27,542
422 TETRA Technologies, Inc.* 11,774
760 Universal Compression
Holdings, Inc.* 29,579
1,891 Varco International, Inc.* 57,884
652 Veritas DGC Inc.* 16,293
2,521 Weatherford International
Ltd. (Bermuda)* 136,815
589 W-H Energy Services Inc.* 13,311
---------------
2,410,997
---------------
OTHER CONSUMER SERVICES (0.9%)
778 Alderwoods Group, Inc.* 9,363
2,852 Apollo Group, Inc. (Class A)* 222,998
724 Autobytel Inc.* $ 4,040
2,944 Block (H.&R.), Inc. 142,225
1,850 Career Education Corp.* 74,536
18,214 Cendant Corp. 428,940
705 Central Parking Corp. 10,067
1,836 Corinthian Colleges, Inc.* 35,306
1,357 DeVry, Inc.* 24,073
9,152 eBay Inc.* 745,888
1,234 Education Management
Corp.* 39,414
631 HealthExtras, Inc.* 9,736
2,340 Homestore.com, Inc.* 5,522
839 ITT Educational
Services, Inc.* 41,212
1,712 MoneyGram
International, Inc. 33,213
339 Pre-Paid Legal Services, Inc.* 12,584
785 Priceline.com Inc.* 17,733
807 Renaissance Learning, Inc. 13,243
881 Rollins, Inc. 21,849
6,015 Service Corp. International* 41,504
5,760 ServiceMaster Co. (The) 74,246
1,202 Sotheby's Holdings, Inc.
(Class A)* 21,564
2,045 Stewart Enterprises, Inc.
(Class A)* 13,129
199 Strayer Education, Inc. 21,363
840 Weight Watchers
International, Inc.* 39,362
---------------
2,103,110
---------------
OTHER CONSUMER SPECIALTIES (0.1%)
2,663 Fortune Brands, Inc. 223,639
1,573 Fossil, Inc.* 43,887
690 Matthews International Corp.
(Class A) 23,950
335 RC2 Corp.* 9,698
449 Russ Berrie & Co., Inc. 10,534
---------------
311,708
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
28
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
OTHER METALS/MINERALS (0.1%)
2,143 Hecla Mining Co.* $ 11,851
1,293 Olin Corp. 28,795
1,738 Phelps Dodge Corp. 167,369
1,428 Southern Peru Copper
Corp. (Peru) 67,245
1,974 USEC Inc. 23,135
---------------
298,395
---------------
PACKAGED SOFTWARE (3.2%)
4,412 Adobe Systems, Inc.* 251,043
480 Altiris, Inc.* 15,605
588 ANSYS, Inc.* 18,992
1,151 Ascential Software Corp.* 16,471
1,064 Aspect Communications
Corp.* 11,874
4,172 Autodesk, Inc. 122,532
4,384 BMC Software, Inc.* 73,783
8,876 Computer Associates
International, Inc. 241,338
7,827 Compuware Corp.* 54,006
1,439 E.piphany, Inc.* 6,173
1,401 Fair Isaac Corp. 48,405
1,052 FileNET Corp.* 23,512
873 Hyperion Solutions Corp.* 41,939
2,274 Informatica Corp.* 17,601
3,249 Intuit Inc.* 126,711
1,378 Macromedia, Inc.* 47,183
1,144 Macrovision Corp.* 26,690
745 Magma Design
Automation, Inc.* 10,058
611 Manhattan Associates, Inc.* 13,411
1,371 Manugistics Group, Inc.* 2,934
2,996 McAfee Inc.* 77,447
1,800 Mercury Interactive Corp.* 78,786
1,928 Micromuse Inc.* 9,910
178,791 Microsoft Corp. 4,698,627
1,315 NetIQ Corp.* 15,464
7,235 Novell, Inc.* 41,746
72,980 Oracle Corp.* 1,004,935
191 PalmSource, Inc.* 1,975
6,243 Parametric Technology
Corp.* $ 35,585
2,161 Quest Software, Inc.* 30,686
3,343 Red Hat, Inc.* 36,272
1,053 Retek, Inc.* 6,613
1,029 Serena Software, Inc.* 22,124
1,844 Sybase, Inc.* 35,903
11,655 Symantec Corp.* 272,144
4,122 TIBCO Software, Inc.* 45,301
696 Transaction Systems
Architects, Inc. (Class A)* 14,783
820 Ulticom, Inc.* 11,316
8,003 VERITAS Software Corp.* 205,837
831 Verity, Inc.* 10,030
---------------
7,825,745
---------------
PERSONNEL SERVICES (0.2%)
739 AMN Healthcare
Services, Inc.* 10,590
380 CDI Corp. 7,980
485 Gentiva Health
Services, Inc.* 7,711
805 Kelly Services, Inc. (Class A) 23,426
732 Korn/Ferry International* 14,442
785 Labor Ready, Inc.* 12,434
1,510 Manpower, Inc. 73,462
2,185 Monster Worldwide Inc.* 68,369
2,551 MPS Group, Inc.* 28,801
438 Resources Connection Inc.* 22,342
3,318 Robert Half International, Inc. 100,668
1,163 Spherion Corp.* 9,071
---------------
379,296
---------------
PHARMACEUTICALS: GENERIC DRUGS (0.2%)
1,113 Alpharma Inc. (Class A) 16,751
1,896 Barr Pharmaceuticals Inc.* 90,155
1,716 Eon Labs, Inc.* 44,033
1,026 Impax Laboratories, Inc.* 17,591
4,757 IVAX Corp.* 71,498
5,209 Mylan Laboratories, Inc. 86,626
706 Par Pharmaceutical Cos Inc. 26,757
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
29
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
1,652 Valeant Pharmaceuticals
International $ 41,250
2,117 Watson
Pharmaceuticals, Inc.* 63,150
---------------
457,811
---------------
PHARMACEUTICALS: MAJOR (5.0%)
27,852 Abbott Laboratories 1,253,897
34,722 Bristol-Myers Squibb Co. 813,884
53,012 Johnson & Johnson 3,429,876
17,846 Lilly (Eli) & Co. 967,967
39,682 Merck & Co., Inc. 1,113,080
136,265 Pfizer, Inc. 3,292,162
26,284 Schering-Plough Corp. 487,831
23,813 Wyeth 943,709
---------------
12,302,406
---------------
PHARMACEUTICALS: OTHER (0.3%)
2,436 Allergan, Inc. 185,014
713 AtheroGenics, Inc.* 13,226
662 Cell Therapeutics, Inc.* 6,355
767 Columbia Laboratories, Inc.* 1,664
730 Connetics Corp.* 17,827
2,636 Endo Pharmaceuticals
Holdings, Inc.* 55,382
680 First Horizon
Pharmaceutical Corp.* 12,158
6,847 Forest Laboratories, Inc.* 284,356
620 Inspire
Pharmaceuticals, Inc.* 9,176
330 Inverness Medical
Innovations, Inc.* 8,352
4,761 King Pharmaceuticals, Inc.* 50,038
419 Kos Pharmaceuticals, Inc.* 13,835
1,056 Medicis Pharmaceutical
Corp. (Class A) 38,122
1,732 Perrigo Co. 29,704
554 POZEN Inc.* 4,271
631 Salix Pharmaceuticals, Ltd.* 9,497
1,620 Sepracor, Inc.* 92,632
414 United Therapeutics Corp.* 17,665
---------------
849,274
---------------
PRECIOUS METALS (0.2%)
4,027 Coeur D'Alene Mines Corp.* $ 14,215
3,288 Freeport-McMoRan Copper &
Gold, Inc. (Class B) 121,031
2,496 Glamis Gold Ltd. (Canada)* 39,337
1,933 Meridian Gold Inc. (Canada)* 35,741
7,508 Newmont Mining Corp. 312,258
1,752 Stillwater Mining Co.* 18,536
---------------
541,118
---------------
PROPERTY - CASUALTY INSURERS (1.7%)
2,307 21st Century Insurance
Group 31,537
1,715 Alfa Corp. 24,893
148 Alleghany Corp.* 39,436
1,044 Allmerica Financial Corp.* 34,087
12,547 Allstate Corp. (The) 632,871
1,153 American Financial
Group, Inc. 35,501
681 Arch Capital Group Ltd.* 25,013
1,710 Berkley (W.R.) Corp. 81,567
20 Berkshire Hathaway, Inc.
(Class A)* 1,798,000
3,532 Chubb Corp. (The) 263,063
2,904 Cincinnati Financial Corp. 128,124
667 Commerce Group, Inc. (The) 43,562
560 Erie Indemnity Co. (Class A) 29,831
617 Harleysville Group, Inc. 13,327
400 Infinity Property & Casualty
Corp. 13,100
502 Mercury General Corp. 28,564
344 Midland Co. (The) 11,503
1,421 Odyssey Re Holdings Corp. 35,099
990 Ohio Casualty Corp.* 22,760
3,573 Old Republic International
Corp. 82,894
413 Philadelphia Consolidated
Holding Corp.* 27,700
612 PMA Capital Corp. (Class A) 6,200
3,246 Progressive Corp. (The) 271,528
489 RLI Corp. 21,252
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
30
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
661 Selective Insurance
Group, Inc. $ 28,535
11,913 St. Paul Travelers Companies,
Inc. (The) 447,214
767 State Auto Financial Corp. 20,310
527 Transatlantic Holdings, Inc. 32,015
---------------
4,229,486
---------------
PUBLISHING: BOOKS/MAGAZINES (0.1%)
1,218 John Wiley & Sons, Inc.
(Class A) 40,986
1,037 Meredith Corp. 49,807
5,580 PRIMEDIA Inc.* 21,650
2,367 Reader's Digest Assoc., Inc.
(The) (Class A) 38,156
754 Scholastic Corp.* 25,825
---------------
176,424
---------------
PUBLISHING: NEWSPAPERS (0.5%)
2,217 Belo Corp. (Series A) 51,856
862 Dow Jones & Co., Inc. 32,859
4,866 Gannett Co., Inc. 389,475
1,689 Hollinger International, Inc.
(Class A) 24,609
1,399 Journal Register Co.* 25,364
1,432 Knight-Ridder, Inc. 93,238
864 Lee Enterprises, Inc. 38,491
384 McClatchy Co. (The) (Class A) 26,853
581 Media General, Inc. (Class A) 37,167
2,715 New York Times Co. (The)
(Class A) 105,559
187 Pulitzer Inc. 11,867
1,583 Scripps (E.W.) Co. (Class A) 73,388
3,895 Tribune Co. 155,722
138 Washington Post Co. (The)
(Class B) 126,201
---------------
1,192,649
---------------
PULP & PAPER (0.3%)
1,081 Bowater, Inc. 41,078
4,212 Georgia-Pacific Corp. 135,205
1,110 Glatfelter (P.H.) Co. 15,074
8,669 International Paper Co. 339,391
997 Longview Fibre Co. $ 15,483
3,732 MeadWestvaco Corp. 107,817
271 Neenah Paper Inc. 8,642
560 Potlatch Corp. 25,771
288 Schweitzer-Mauduit
International, Inc. 9,660
1,156 Wausau-Mosinee Paper Corp. 17,132
---------------
715,253
---------------
RAILROADS (0.4%)
6,886 Burlington Northern Santa Fe
Corp. 331,767
3,972 CSX Corp. 158,761
827 Florida East Coast
Industries, Inc. 35,611
1,705 Kansas City Southern
Industries, Inc.* 29,769
7,322 Norfolk Southern Corp. 255,684
622 RailAmerica, Inc.* 8,067
4,793 Union Pacific Corp. 285,663
---------------
1,105,322
---------------
REAL ESTATE DEVELOPMENT (0.1%)
968 Forest City Enterprise, Inc.
(Class A) 56,105
420 Getty Realty Corp. 11,210
614 Jones Lang LaSalle, Inc.* 21,951
627 LNR Property Corp. 39,501
1,487 St. Joe Co. (The) 102,306
283 Tejon Ranch Co.* 12,243
716 Trammell Crow Co.* 12,129
1,134 W.P. Carey & Co., LLC 36,628
---------------
292,073
---------------
REAL ESTATE INVESTMENT TRUSTS (1.9%)
532 Acadia Reality Trust 8,544
98 Alexander's, Inc.* 21,452
373 Alexandria Real Estate
Equities, Inc. 24,827
1,594 AMB Property Corp. 59,345
1,092 American Financial Reality
Trust 16,435
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
31
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
372 Amli Residential Properties
Trust $ 10,833
1,757 Annaly Mortgage
Management Inc. 34,437
1,387 Anthracite Capital, Inc. 16,630
657 Anworth Mortgage Asset
Corp. 6,544
1,837 Apartment Investment &
Management Co. (Class A) 65,948
3,618 Archstone-Smith Trust 124,097
1,245 Arden Realty, Inc. 41,981
1,379 Avalonbay Communities, Inc. 92,283
323 Bedford Property
Investors, Inc. 8,110
1,897 Boston Properties, Inc. 109,609
743 BPP Liquidating Trust* 238
905 Brandywine Realty Trust 25,068
962 BRE Properties, Inc. (Class A) 35,373
768 Camden Property Trust 34,798
1,000 Capital Automotive REIT 32,670
1,018 CarrAmerica Realty Corp. 30,896
1,780 Catellus Development Corp. 47,740
589 CBL & Associates
Properties, Inc. 40,511
896 CenterPoint Properties Corp. 38,035
787 Colonial Properties Trust 28,568
1,493 Commercial Net Lease Realty 27,994
1,069 Cornerstone Realty Income
Trust, Inc. 10,273
574 Corporate Office Properties Trust 14,769
947 Cousins Properties, Inc. 28,685
1,923 Crescent Real Estate
Equities Co. 31,864
416 CRT Properties Inc. 9,551
1,674 Developers Diversified
Realty Corp. 66,541
2,649 Duke Realty Corp. 82,384
358 EastGroup Properties, Inc. 12,956
393 Entertainment Properties
Trust 16,549
828 Equity Inns, Inc. 9,025
437 Equity Lifestyle
Properties, Inc. $ 14,980
7,450 Equity Office Properties Trust 208,451
1,877 Equity One, Inc. 38,310
5,181 Equity Residential 163,409
509 Essex Property Trust, Inc. 36,623
953 Federal Realty Investment
Trust 44,963
1,152 FelCor Lodging Trust, Inc.* 16,082
1,118 First Industrial Realty
Trust, Inc. 43,736
2,725 Friedman, Billings, Ramsey
Group, Inc. 53,628
538 Gables Residential Trust 18,001
4,044 General Growth
Properties, Inc. 128,478
856 Glenborough Realty Trust Inc. 16,487
862 Glimcher Realty Trust 22,059
2,474 Health Care Property
Investors, Inc. 64,225
827 Health Care REIT, Inc. 27,704
835 Healthcare Realty Trust, Inc. 30,452
816 Heritage Property Investment
Trust 24,023
1,036 Highwoods Properties, Inc. 25,382
565 Home Properties of
New York, Inc. 22,826
1,213 Hospitality Properties Trust 51,734
5,877 Host Marriott Corp. 94,032
3,496 HRPT Properties Trust 41,637
1,135 Impac Mortgage
Holdings, Inc. 25,923
722 Investors Real Estate Trust 7,227
1,962 iStar Financial Inc. 82,110
859 Kilroy Realty Corp. 33,570
1,748 Kimco Realty Corp. 92,609
468 Kramont Reality Trust 10,956
686 Lexington Corporate
Properties Trust 14,680
1,547 Liberty Property Trust 60,410
933 Macerich Co. (The) 53,377
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
32
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
1,129 Mack-Cali Realty Corp. $ 47,395
833 Maguire Properties, Inc. 19,700
1,189 MeriStar Hospitality Corp.* 9,179
381 Mid-America Apartment
Communities, Inc. 14,409
933 Mills Corp. 52,183
522 National Health Investors, Inc. 13,353
1,683 Nationwide Health
Properties, Inc. 36,504
709 New Century Financial Corp. 42,462
1,893 New Plan Excel Realty Trust 47,836
496 Novastar Financial, Inc. 22,851
784 Pan Pacific Retail
Properties, Inc. 45,386
202 Parkway Properties, Inc. 9,393
680 Pennsylvania Real Estate
Investment Trust 27,214
3,390 Plum Creek Timber Co., Inc. 121,091
1,062 Post Properties, Inc. 33,644
1,172 Prentiss Properties Trust 41,993
3,362 ProLogis 128,227
417 PS Business Parks, Inc.
(Class A) 17,597
2,080 Public Storage, Inc. 109,221
486 RAIT Investment Trust 12,612
970 Rayonier Inc. 43,165
1,368 Realty Income Corp. 31,888
1,321 Reckson Associates Realty
Corp. 40,528
507 Redwood Trust, Inc. 28,727
1,161 Regency Centers Corp. 57,353
307 Saul Centers, Inc. 10,254
1,240 Senior Housing Properties
Trust 20,522
878 Shurgard Storage Centers, Inc.
(Class A) 35,910
3990 Simon Property Group L.P. 236,607
668 SL Green Realty Corp. 35,558
261 Sovran Self Storage, Inc. 10,388
721 Summit Properties Inc. 21,954
359 Sun Communities, Inc. 13,319
404 Tanger Factory Outlet
Centers, Inc. $ 9,534
1,271 Taubman Centers, Inc. 34,330
1,397 Thornburg Mortgage Asset
Corp. 38,906
320 Town & Country Trust 8,218
2,936 Trizec Properties, Inc. 51,997
2,344 United Dominion Realty
Trust, Inc. 52,084
1,550 Ventas, Inc. 39,680
2,231 Vornado Realty Trust 154,251
910 Washington Real Estate
Investment Trust 27,555
1,527 Weingarten Realty Investors 54,590
---------------
4,743,215
---------------
RECREATIONAL PRODUCTS (0.4%)
349 Action Performance
Companies, Inc. 3,664
2,577 Activision, Inc.* 58,240
426 Arctic Cat, Inc. 10,799
2,358 Atari, Inc.* 5,471
1,860 Brunswick Corp. 85,783
1,831 Callaway Golf Co. 24,371
5,527 Electronic Arts Inc.* 355,607
3,381 Hasbro, Inc. 66,268
529 K2 Inc.* 7,438
594 Leapfrog Enterprises, Inc.
(Class A)* 7,871
2,100 Marvel Enterprises, Inc.* 37,506
7,657 Mattel, Inc. 148,929
567 Monaco Coach Corp.* 10,495
844 Polaris Industries Inc. 56,970
1,174 Scientific Games Corp.
(Class A)* 30,195
859 Take-Two Interactive
Software, Inc.* 30,280
1,192 Thor Industries, Inc. 41,184
834 THQ, Inc.* 18,557
792 Winnebago Industries, Inc. 27,316
584 WMS Industries, Inc.* 18,303
---------------
1,045,247
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
33
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
REGIONAL BANKS (2.2%)
412 1st Source Corp. $ 9,876
306 Alabama National
BanCorporation 19,048
950 Amcore Financial, Inc. 28,899
6,541 AmSouth Bancorporation 163,132
2,295 Associated Banc-Corp. 75,804
152 BancFirst Corp. 11,664
1,511 BancorpSouth, Inc. 32,940
1,084 Bank of Hawaii Corp. 51,934
3,173 Banknorth Group, Inc. 113,784
1,139 BOK Financial Corp.* 47,963
444 Boston Private Financial
Holdings, Inc. 12,361
258 Capital City Bank Group, Inc. 10,070
712 Cathay Bancorp, Inc. 25,867
313 Central Pacific Financial Corp. 11,487
507 Chemical Financial Corp. 18,815
1,067 Chittenden Corp. 28,926
1,247 Citizens Banking Corp. 38,981
325 City Holding Co. 10,701
949 City National Corp. 66,231
2,411 Colonial BancGroup, Inc. (The) 48,654
1,446 Commerce Bancorp, Inc. 83,203
1,416 Commerce Bancshares, Inc. 68,067
506 Community Bank System, Inc. 12,068
2,359 Compass Bancshares, Inc. 110,472
724 Corus Bankshares, Inc. 36,345
1,005 Cullen/Frost Bankers, Inc. 47,195
1,716 CVB Financial Corp. 33,256
1,064 East West Bancorp, Inc. 41,432
902 F.N.B Corp. 17,842
8,750 Fifth Third Bancorp 406,612
775 First Bancorp (Puerto Rico) 41,920
1,027 First Charter Corp. 23,570
303 First Citizens BancShares,
Inc. (Class A) 43,026
1,523 First Commonwealth
Financial Corp. 21,855
309 First Community Bancorp 13,151
1,503 First Financial Bancorp 26,197
302 First Financial
Bankshares, Inc. $ 13,880
264 First Financial Corp. 8,356
2,284 First Horizon National Corp. 97,230
361 First Merchants Corp. 9,353
909 First Midwest Bancorp, Inc. 31,360
284 First Republic Bank 14,328
1,679 FirstMerit Corp. 44,493
1,013 Flagstar Bancorp 21,293
563 Frontier Financial Corp. 21,644
2,242 Fulton Financial Corp. 48,943
471 Glacier Bancorp, Inc. 15,011
760 Gold Banc Corp., Inc. 10,982
1,019 Greater Bay Bancorp 27,788
594 Hancock Holding Co. 19,198
488 Harleysville National Corp. 12,366
3,047 Hibernia Corp. (Class A) 80,197
868 Hudson United Bancorp 31,908
285 Independent Bank
Corp. - Massachusetts 8,422
937 International Bancshares Corp. 35,878
661 Irwin Financial Corp. 16,188
1,547 M&T Bank Corp. 158,351
369 Main Street Banks, Inc. 12,040
3,544 Marshall & Ilsley Corp. 151,719
1,627 Mercantile Bankshares Corp. 82,375
457 Mid-State Bancshares 12,892
348 Midwest Banc Holdings, Inc. 7,705
965 National Penn
Bancshares, Inc. 24,965
894 NBT Bancorp, Inc. 20,839
4,947 North Fork
Bancorporation, Inc. 141,979
4,065 Northern Trust Corp. 177,397
1,363 Old National Bancorp 29,672
416 Oriental Financial Group, Inc. 11,731
880 Pacific Capital Bancorp 26,998
280 Park National Corp. 33,958
370 Prosperity Bancshares, Inc. 10,279
787 Provident Bankshares Corp. 26,026
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
34
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
1,033 R&G Financial Corp. (Class B)
(Puerto Rico) $ 38,087
1,724 Republic Bancorp Inc. 24,601
558 Riggs National Corp. 12,187
818 S & T Bancorp, Inc. 30,151
283 Sandy Spring Bancorp, Inc. 10,427
1,064 Santander BanCorp.
(Puerto Rico) 36,102
865 Silicon Valley Bancshares* 37,749
1,763 Sky Financial Group, Inc. 46,825
1,143 South Financial Group,
Inc. (The) 34,907
1,470 Southwest Bancorporation of
Texas, Inc. 29,062
349 Sterling Bancorp 9,475
863 Sterling Bancshares, Inc. 12,677
413 Sterling Financial Corp. 11,461
215 Suffolk Bancorp 7,235
776 Susquehanna
Bancshares, Inc. 19,159
4,929 Synovus Financial Corp. 133,724
2,750 TCF Financial Corp. 77,303
1,033 Texas Regional Bancshares,
Inc. (Class A) 31,966
2,142 Trustco Bank Corp. of
New York 26,754
1,133 Trustmark Corp. 31,350
33,846 U.S. Bancorp 1,017,072
974 UCBH Holdings, Inc. 42,924
572 UMB Financial Corp. 31,368
704 Umpqua Holdings Corp. 17,093
1,234 United Bankshares, Inc. 42,079
625 United Community Banks, Inc. 16,231
422 Unizan Financial Corp. 10,305
1,922 Valley National Bancorp 49,588
391 WesBanco, Inc. 11,011
639 Westamerica Bancorporation 33,177
857 Whitney Holding Corp. 39,062
1,279 Wilmington Trust Corp. 44,471
364 Wintrust Financial Corp. 20,195
1,658 Zions Bancorporation $ 112,446
---------------
5,499,316
---------------
RESTAURANTS (0.9%)
1,597 Applebee's International, Inc. 44,492
942 Bob Evans Farms, Inc. 22,947
1,873 Brinker International, Inc.* 70,443
959 CBRL Group, Inc. 39,424
1,080 CEC Entertainment, Inc.* 42,271
1,503 Cheesecake Factory,
Inc. (The)* 48,652
1,124 CKE Restaurants, Inc.* 16,298
3,194 Darden Restaurants, Inc. 94,415
619 IHOP Corp. 26,697
1,003 Jack in the Box Inc.* 34,684
1,124 Krispy Kreme
Doughnuts, Inc.* 9,869
558 Landry's Restaurants, Inc. 15,736
405 Lone Star Steakhouse &
Saloon, Inc. 11,138
22,490 McDonald's Corp. 728,451
1,450 Outback Steakhouse, Inc. 66,773
570 P.F. Chang's China
Bistro, Inc.* 31,686
604 Panera Bread Co. (Class A)* 30,804
350 Papa John's
International, Inc.* 11,260
798 RARE Hospitality
International, Inc.* 25,137
297 Red Robin Gourmet
Burgers Inc.* 14,033
1,260 Ruby Tuesday, Inc. 32,054
1,231 Ryan's Restaurant Group Inc. 16,914
1,041 Sonic Corp.* 33,145
7,349 Starbucks Corp.* 396,846
528 The Steak n Shake Co.* 10,407
1,868 Triarc Companies, Inc.
(Class B) 27,553
2,301 Wendy's International, Inc. 90,245
5,417 Yum! Brands, Inc. 251,078
---------------
2,243,452
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
35
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
SAVINGS BANKS (0.8%)
728 Anchor Bancorp
Wisconsin, Inc. $ 19,656
1,538 Astoria Financial Corp. 57,890
2,535 Bank Mutual Corp. 30,623
1,164 BankAtlantic Bancorp, Inc.
(Class A) 22,372
578 BankUnited Financial Corp.* 16,866
1,492 Brookline Bancorp, Inc. 23,857
1,422 Capitol Federal Financial 51,178
580 Charter Financial Corp. 23,188
987 Commercial Federal Corp. 27,715
828 Dime Community Bancshares 13,621
600 Downey Financial Corp. 38,280
439 Fidelity Bankshares, Inc. 11,807
1,577 First Niagara Financial
Group, Inc. 21,526
446 Firstfed Financial Corp.* 23,727
5,650 Golden West Financial Corp. 365,103
513 Harbor Florida
Bancshares, Inc. 17,442
1,298 Hudson City Bancorp, Inc. 45,651
1,161 Independence Community
Bank Corp. 45,627
480 MAF Bancorp, Inc. 21,197
739 MB Financial, Inc. 29,331
984 Net.B@nk, Inc. 9,397
4,973 New York Community
Bancorp, Inc. 88,669
1,139 Northwest Bancorp, Inc. 25,605
1,798 People's Bank 66,580
323 PFF Bancorp, Inc. 13,870
589 Provident Financial
Services, Inc. 10,643
6,347 Sovereign Bancorp, Inc. 144,331
317 Sterling Financial Corp.* 11,888
3,136 W. Holding Co., Inc.
(Puerto Rico) 40,893
1,486 Washington Federal, Inc. 38,710
15,445 Washington Mutual, Inc. 623,206
1,016 Webster Financial Corp. 45,568
836 Westcorp $ 38,097
---------------
2,064,114
---------------
SEMICONDUCTORS (2.4%)
487 Actel Corp.* 8,235
6,754 Advanced Micro
Devices, Inc.* 106,713
32,357 Agere Systems Inc.
(Class A)* 46,594
6,874 Altera Corp.* 131,981
584 Amis Holdings, Inc.* 6,284
6,911 Analog Devices, Inc. 248,036
5,948 Applied Micro Circuits Corp.* 19,688
9,135 Atmel Corp.* 27,953
4,844 Broadcom Corp. (Class A)* 154,184
1,650 Cirrus Logic, Inc.* 7,573
9,350 Conexant Systems, Inc.* 15,334
2,310 Cypress Semiconductor
Corp.* 26,334
964 DSP Group, Inc.* 23,917
755 ESS Technology, Inc.* 4,568
788 Exar Corp.* 11,324
2,290 Fairchild Semiconductor Corp.
(Class A)* 32,678
4,622 Freescale Semiconductor Inc.
(Class B)* 80,746
617 Genesis Microchip, Inc.* 7,836
1,398 Integrated Circuit
Systems, Inc.* 26,562
2,031 Integrated Device
Technology, Inc.* 23,844
546 Integrated Silicon
Solution, Inc.* 3,560
115,504 Intel Corp. 2,593,065
1,253 International Rectifier Corp.* 49,055
2,692 Intersil Corp. (Class A) 39,922
3,152 Lattice Semiconductor Corp.* 14,152
5,721 Linear Technology Corp. 215,911
7,345 LSI Logic Corp.* 44,878
6,029 Maxim Integrated
Products, Inc. 235,191
2,555 Micrel, Inc.* 22,075
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
36
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
3,807 Microchip Technology Inc. $ 99,172
11,324 Micron Technology, Inc.* 117,883
1,132 Microsemi Corp.* 17,467
2,122 Mindspeed
Technologies Inc.* 4,934
6,634 National Semiconductor
Corp. 112,314
3,142 NVIDIA Corp.* 72,015
4,212 ON Semiconductor Corp.* 15,416
871 Pixelworks, Inc.* 8,179
840 Power Integrations, Inc.* 15,372
1,897 Rambus Inc.* 34,222
3,599 RF Micro Devices, Inc.* 19,687
1,430 Semtech Corp.* 26,283
655 Sigmatel Corp.* 25,814
1,378 Silicon Image, Inc.* 16,412
964 Silicon Laboratories Inc.* 32,872
1,853 Silicon Storage
Technology, Inc.* 8,505
847 Siliconix, Inc.* 25,639
3,371 Skyworks Solutions, Inc.* 25,586
328 Standard Microsystems
Corp.* 5,199
30,913 Texas Instruments Inc. 717,491
2,740 Transmeta Corp.* 3,014
4,484 TriQuint Semiconductor, Inc.* 15,156
5,650 Vitesse Semiconductor
Corp.* 16,385
6,418 Xilinx, Inc. 187,341
793 Zoran Corp.* 8,081
---------------
5,858,632
---------------
SERVICES TO THE HEALTH INDUSTRY (0.4%)
543 aaiPharma Inc.* 1,450
912 Accredo Health, Inc.* 27,159
262 Advisory Board Co. (The)* 9,340
621 Albany Molecular
Research, Inc.* 6,831
696 Cerner Corp.* 34,626
1,141 Covance, Inc.* 48,492
789 Dendrite International, Inc.* 14,273
890 Eclipsys Corp.* 16,732
964 eResearch Technology, Inc.* $ 11,838
1,173 Express Scripts, Inc.
(Class A)* 87,025
574 IDX Systems Corp.* 17,805
4,324 IMS Health Inc. 101,095
2,582 Laboratory Corp. of America
Holdings* 123,549
4,998 Medco Health Solutions Inc.* 212,765
681 NDC Health Corp. 10,596
825 Odyssey Healthcare, Inc.* 9,595
1,857 Omnicare, Inc. 57,103
501 PAREXEL International Corp.* 11,884
593 Per-Se Technologies, Inc.* 8,658
1,144 Pharmaceutical Product
Development, Inc.* 47,419
1,452 Quest Diagnostics Inc. 138,376
804 Stericycle, Inc.* 41,350
306 VistaCare, Inc. (Class A)* 4,697
5,947 WebMD Corp.* 44,900
---------------
1,087,558
---------------
SPECIALTY INSURANCE (0.4%)
2,005 Ambac Financial Group, Inc. 154,144
1,757 Assurant, Inc. 57,155
839 CNA Surety Corp.* 10,991
2,890 Fidelity National
Financial, Inc. 126,640
1,515 First American Financial Corp. 56,025
318 LandAmerica Financial
Group, Inc. 16,358
191 Markel Corp.* 65,131
2,649 MBIA Inc. 158,251
1,822 MGIC Investment Corp. 116,426
1,811 PMI Group, Inc. (The) 72,023
919 Proassurance Corp.* 35,152
1,762 Radian Group, Inc. 84,470
349 Stewart Information
Services Corp. 14,068
279 Triad Guaranty, Inc.* 15,097
---------------
981,931
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
37
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
SPECIALTY STORES (0.8%)
376 Ac Moore Arts & Crafts, Inc.* $ 10,355
1,394 Advance Auto Parts, Inc.* 60,081
633 Asbury Automotive
Group Inc.* 10,685
3,752 AutoNation, Inc.* 71,438
1,231 AutoZone, Inc.* 109,867
1,307 Barnes & Noble, Inc.* 42,739
5,517 Bed Bath & Beyond Inc.* 222,280
685 Bombay Co., Inc. (The)* 4,028
1,500 Borders Group, Inc. 39,375
2,008 CarMax Inc.* 58,091
2,004 Claire's Stores, Inc. 41,343
445 Cost Plus, Inc.* 11,672
1,037 CSK Auto Corp.* 16,353
622 Dick's Sporting Goods, Inc.* 21,148
555 GameStop Corp - CL B 10,767
495 Group 1 Automotive, Inc.* 14,489
530 Guitar Center, Inc.* 30,342
428 Haverty Furniture
Companies, Inc. 7,661
450 Hibbett Sporting Goods, Inc.* 11,610
450 Jo-Ann Stores, Inc.* 12,335
960 Linens `N Things, Inc.* 24,864
2,694 Michaels Stores, Inc. 82,841
5,793 Office Depot, Inc.* 100,161
1,137 OfficeMax Inc. 33,553
1,052 O'Reilly Automotive, Inc.* 48,108
1,052 Pep Boys-Manny Moe & Jack 18,115
283 PETCO Animal Supplies, Inc.* 10,746
2,667 PETsMART, Inc. 80,623
1,723 Pier 1 Imports, Inc. 30,514
846 Regis Corp. 33,755
1,685 Rent-A-Center, Inc.* 41,266
295 Sharper Image Corp.* 5,074
673 Sonic Automotive, Inc. 15,721
9,197 Staples, Inc.* 301,110
2,841 Tiffany & Co. 89,293
4,136 Toys 'R' Us, Inc.* 88,717
678 Tractor Supply Co.* 24,272
838 Tuesday Morning Corp.* 24,076
721 United Auto Group, Inc. $ 20,383
388 West Marine, Inc.* 9,161
2,262 Williams-Sonoma, Inc.* 78,265
1,450 Zale Corp.* 38,512
---------------
2,005,789
---------------
SPECIALTY TELECOMMUNICATIONS (0.3%)
3,878 American Tower Corp.
(Class A)* 70,269
790 Broadwing Corporation 4,345
2,794 CenturyTel, Inc. 91,084
5,511 Citizens Communications Co. 74,343
579 Commonwealth Telephone
Enterprises, Inc.* 27,699
4,372 Covad Communications
Group, Inc. (c)* 7,389
4,260 Crown Castle International
Corp.* 69,864
1,093 General Communication, Inc.
(Class A)* 10,908
490 IDT Corp.* 6,973
1,340 NTL, Inc.* 91,160
1,056 Premiere Global
Services, Inc. 10,380
26,978 Qwest Communications
International, Inc.* 113,308
284 SureWest Communications 6,881
957 Time Warner Telecom Inc.
(Class A)* 3,340
1,874 Verso Technologies, Inc.* 918
1,302 West Corp.* 43,474
---------------
632,335
---------------
STEEL (0.2%)
2,110 AK Steel Holding Corp.* 30,616
1,585 Allegheny Technologies Inc. 38,040
436 Carpenter Technology Corp. 26,709
2,664 Nucor Corp. 149,610
471 Quanex Corp. 24,831
921 Reliance Steel &
Aluminum Co. 35,339
319 Schnitzer Steel Industries, Inc. 10,990
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
38
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
1,225 Steel Dynamics, Inc.* $ 46,305
2,001 United States Steel Corp. 103,652
1,668 Worthington Industries, Inc. 34,161
---------------
500,253
---------------
TELECOMMUNICATION EQUIPMENT (1.2%)
15,595 ADC Telecommunications,
Inc.* 40,079
1,533 ADTRAN, Inc. 27,456
2,998 Andrew Corp.* 39,154
1,462 Arris Group, Inc.* 9,050
1,030 At Road, Inc.* 6,015
2,492 Avanex Corp.* 5,781
708 C-COR.net Corp.* 5,643
9,454 CIENA Corp.* 24,108
1,822 CommScope, Inc.* 27,385
272 Comtech Telecommunications
Corp.* 8,932
3,888 Comverse Technology, Inc.* 86,897
25,991 Corning Inc.* 284,341
605 Ditech Communications
Corp.* 8,047
1,180 Harmonic, Inc.* 13,452
1,290 Harris Corp. 83,553
1,201 InterDigital Communications
Corp.* 21,450
488 Inter-Tel, Inc. 12,927
668 InterVoice-Brite, Inc.* 7,929
79,686 Lucent Technologies Inc.* 259,776
41,862 Motorola, Inc. 658,908
3,099 Oplink Communications, Inc.* 4,679
853 Plantronics, Inc. 31,740
1,922 Polycom, Inc.* 33,212
1,231 Powerwave
Technologies, Inc.* 9,688
28,936 QUALCOMM Inc. 1,077,577
1,150 REMEC, Inc.* 8,165
4,721 Sonus Networks, Inc.* 28,940
357 SpectraLink Corp. 5,923
1,620 Stratex Network, Inc.* 3,694
7,073 Sycamore Networks, Inc.* 24,473
1,427 Tekelec* 26,043
8,932 Tellabs, Inc.* $ 63,596
1,454 Terayon Communication
Systems, Inc.* 4,653
1,219 Trimble Navigation Ltd.* 43,348
512 ViaSat, Inc.* 11,397
961 Westell Technologies, Inc.
(Class A)* 7,280
---------------
3,015,291
---------------
TEXTILES (0.0%)
939 Albany International Corp.
(Class A) 32,067
---------------
TOBACCO (1.1%)
36,622 Altria Group, Inc. 2,337,582
1,590 Reynolds American, Inc. 127,868
761 Universal Corp. 35,965
3,055 UST, Inc. 154,766
990 Vector Group Ltd. 16,078
---------------
2,672,259
---------------
TOOLS/HARDWARE (0.1%)
1,506 Black & Decker Corp. 124,094
928 Briggs & Stratton Corp. 35,997
1,129 Snap-On, Inc. 37,381
1,570 Stanley Works (The) 74,669
664 Toro Co. (The) 55,278
---------------
327,419
---------------
TRUCKING (0.2%)
580 Arkansas Best Corp. 23,299
1,755 Heartland Express, Inc. 37,276
1,636 Hunt (J.B.) Tansport
Services, Inc.* 72,180
1,204 Knight Transportation, Inc.* 29,618
1,536 Landstar System, Inc.* 53,422
471 Old Dominion Freight
Line, Inc.* 16,650
543 Overnite Corp. 16,768
1,620 Swift Transportation
Co., Inc.* 36,126
715 USF Corp. 23,566
1,545 Werner Enterprises, Inc. 32,939
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
39
<Page>
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------------------
575 Yellow Roadway Corp.* $ 32,557
---------------
374,401
---------------
TRUCKS/CONSTRUCTION/FARM MACHINERY (0.6%)
1,496 AGCO Corp.* 30,713
6,105 Caterpillar Inc. 543,955
820 Cummins Inc. 63,689
4,650 Deere & Co. 322,849
1,619 Federal Signal Corp. 26,762
840 JLG Industries, Inc. 14,792
1,758 Joy Global Inc. 49,101
710 Manitowoc Co., Inc. 25,844
128 NACCO Industries, Inc.
(Class A) 12,794
1,330 Navistar International Corp.* 51,764
696 OshKosh Truck Corp. 51,079
3,209 PACCAR, Inc. 226,748
558 Stewart & Stevenson
Services, Inc. 11,406
1,048 Terex Corp.* 45,116
899 Trinity Industries, Inc. 27,195
504 Wabash National Corp.* 12,792
848 Wabtec Corp. 15,807
---------------
1,532,406
---------------
WATER UTILITIES (0.0%)
1,791 Aqua America Inc. 43,038
331 California Water Service
Group 10,744
---------------
53,782
---------------
WHOLESALE DISTRIBUTORS (0.2%)
555 Applied Industries
Technologies, Inc. 16,062
3,236 Genuine Parts Co. 136,980
1,505 Grainger (W.W.), Inc. 92,121
485 Handleman Co. 9,433
1,024 Hughes Supply, Inc. 31,109
331 Imagistics International Inc.* 11,337
939 MSC Industrial Direct Co., Inc.
(Class A) 32,508
366 School Specialty, Inc.* 14,234
1,507 SCP Pool Corp.* 44,788
732 United Stationers, Inc.* $ 31,776
788 WESCO International, Inc.* 26,627
---------------
446,975
---------------
WIRELESS TELECOMMUNICATIONS (0.3%)
1,872 Centennial Communications
Corp. (Class A)* 16,286
2,170 Dobson Communications
Corp. (Class A)* 3,993
19,181 Nextel Communications, Inc.
(Class A)* 550,303
3,538 Nextel Partners, Inc.
(Class A)* 70,371
1,110 Price Communications
Corp.* 19,281
1,120 Telephone & Data
Systems, Inc. 92,198
1,186 Triton PCS Holdings, Inc.
(Class A)* 4,376
301 United States Cellular Corp.* 13,515
1,644 Western Wireless Corp.
(Class A)* 62,110
---------------
832,433
---------------
TOTAL COMMON STOCKS
(COST $217,964,238) 239,432,128
---------------
CONVERTIBLE PREFERRED STOCK (0.0%)
REAL ESTATE INVESTMENT TRUSTS
253 Simon Property Group, Inc.
(COST $13,548) 14,368
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
40
<Page>
<Table>
<Caption>
NUMBER OF EXPIRATION
SHARES DATE VALUE
- -------------------------------------------------------------------------------------------------------
WARRANTS (0.0%)
INTERNET RETAIL (0.0%)
488 IAC Interactive Corp.* 02/04/09 $ 11,624
---------------
TELECOMMUNICATION EQUIPMENT (0.0%)
8,571 Lucent Technologies
Inc.* 12/10/07 9,985
---------------
TOTAL WARRANTS
(COST $4,569) 21,609
---------------
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS
- ------------
SHORT-TERM INVESTMENT (2.8%)
REPURCHASE AGREEMENT
$ 6,909 Joint repurchase agreement account
2.485% due 02/01/05 (dated
01/31/05; proceeds $6,909,477) (a)
(COST $6,909,000) 6,909,000
---------------
TOTAL INVESTMENTS
(COST $224,891,355) (b)(c) 99.9% 246,377,105
---------------
OTHER ASSETS IN EXCESS
OF LIABILITIES 0.1 133,057
--------------- ---------------
NET ASSETS 100.0% $ 246,510,162
=============== ===============
</Table>
- ----------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
** A PORTION OF THIS SECURITY IS PHYSICALLY SEGREGATED IN CONNECTION WITH OPEN
FUTURES CONTRACTS IN THE AMOUNT OF $362,250.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) SECURITIES HAVE BEEN DESIGNATED AS COLLATERAL IN AN AMOUNT EQUAL TO
$6,836,101 IN CONNECTION WITH OPEN FUTURES CONTRACTS.
(c) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $67,941,069 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION
IS $46,455,319, RESULTING IN NET UNREALIZED APPRECIATION OF $21,485,750.
FUTURES CONTRACTS OPEN AT JANUARY 31, 2005:
<Table>
<Caption>
UNREALIZED
NUMBER OF DESCRIPTION, DELIVERY UNDERLYING FACE APPRECIATION
CONTRACTS LONG/SHORT MONTH, AND YEAR AMOUNT AT VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------
35 Long Russell 2000 E Mini Index $ 2,188,725 $ (16,398)
March 2005
5 Long S&P 500 E Mini Index 1,477,125 1,884
March 2005
60 Long S&P 500 Index 3,545,100 23,825
March 2005 ----------
Net unrealized appreciation $ 9,311
==========
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
41
<Page>
MORGAN STANLEY TOTAL MARKET INDEX FUND
SUMMARY OF INVESTMENTS - JANUARY 31, 2005 (UNAUDITED)
<Table>
<Caption>
PERCENT OF
SECTOR* VALUE NET ASSETS
- ----------------------------------------------------------
Finance $ 52,270,784 21.2%
Health Technology 23,645,558 9.6
Electronic Technology 22,940,712 9.3
Consumer Non-Durables 16,786,012 6.8
Producer Manufacturing 16,417,499 6.7
Technology Services 15,532,510 6.3
Consumer Services 15,235,718 6.2
Retail Trade 14,586,449 5.9
Energy Minerals 14,097,561 5.7
Utilities 8,120,239 3.3
Repurchase Agreement 6,909,000 2.8
Communications 6,660,840 2.7
Process Industries 6,095,338 2.5
Health Services 5,493,786 2.2
Consumer Durables 5,018,162 2.0
Industrial Services 4,993,669 2.0
Transportation 3,689,681 1.5
Commercial Services 3,051,270 1.3
Non-Energy Minerals 2,521,459 1.0
Distribution Services 2,252,782 0.9
Miscellaneous 58,076 0.0
--------------- ------
$ 246,377,105 99.9%
=============== ======
</Table>
- ----------
* DOES NOT INCLUDE OUTSTANDING LONG FUTURES CONTRACTS WITH AN UNDERLYING FACE
AMOUNT OF $7,210,950 WITH NET UNREALIZED APPRECIATION OF $9,311.
SEE NOTES TO FINANCIAL STATEMENTS
42
<Page>
MORGAN STANLEY TOTAL MARKET INDEX FUND
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 31, 2005 (UNAUDITED)
<Table>
ASSETS:
Investments in securities, at value (cost $224,891,355) $ 246,377,105
Receivable for:
Investments sold 310,688
Shares of beneficial interest sold 186,099
Dividends 177,207
Variation margin 60,425
Prepaid expenses and other assets 48,941
Receivable from affiliate 33,604
---------------
TOTAL ASSETS 247,194,069
---------------
LIABILITIES:
Payable for:
Shares of beneficial interest redeemed 363,713
Distribution fee 182,289
Investments purchased 26,689
Administration fee 6,774
Investment advisory fee 1,893
Accrued expenses and other payables 102,549
---------------
TOTAL LIABILITIES 683,907
---------------
NET ASSETS $ 246,510,162
===============
COMPOSITION OF NET ASSETS:
Paid-in-capital $ 287,751,221
Net unrealized appreciation 21,495,061
Accumulated undistributed net investment income 148,758
Accumulated net realized loss (62,884,878)
---------------
NET ASSETS $ 246,510,162
===============
CLASS A SHARES:
Net Assets $ 13,021,358
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 1,293,631
NET ASSET VALUE PER SHARE $ 10.07
===============
MAXIMUM OFFERING PRICE PER SHARE,
(NET ASSET VALUE PLUS 5.54% OF NET ASSET VALUE) $ 10.63
===============
CLASS B SHARES:
Net Assets $ 179,121,361
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 18,229,753
NET ASSET VALUE PER SHARE $ 9.83
===============
CLASS C SHARES:
Net Assets $ 29,845,420
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 3,038,410
NET ASSET VALUE PER SHARE $ 9.82
===============
CLASS D SHARES:
Net Assets $ 24,522,023
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 2,418,727
NET ASSET VALUE PER SHARE $ 10.14
===============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
43
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JANUARY 31, 2005 (UNAUDITED)
<Table>
NET INVESTMENT INCOME:
INCOME
Dividends $ 2,619,246
Interest 51,186
---------------
TOTAL INCOME 2,670,432
---------------
EXPENSES
Distribution fee (Class A shares) 15,743
Distribution fee (Class B shares) 918,987
Distribution fee (Class C shares) 149,584
Professional fees 274,947
Investment advisory fee 199,407
Transfer agent fees and expenses 184,387
Shareholder reports and notices 52,081
Administration fee 51,015
Registration fees 22,307
Custodian fees 13,513
Trustees' fees and expenses 1,430
Other 10,915
---------------
TOTAL EXPENSES 1,894,316
Less: amounts waived/reimbursed (309,158)
---------------
NET EXPENSES 1,585,158
---------------
NET INVESTMENT INCOME 1,085,274
---------------
NET REALIZED AND UNREALIZED GAIN:
NET REALIZED GAIN ON:
Investments 757,246
Futures contracts 239,156
---------------
NET REALIZED GAIN 996,402
---------------
NET CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 18,801,317
Futures contracts 243,901
---------------
NET APPRECIATION 19,045,218
---------------
NET GAIN 20,041,620
---------------
NET INCREASE $ 21,126,894
===============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
44
<Page>
STATEMENT OF CHANGES IN NET ASSETS
<Table>
<Caption>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
JANUARY 31, 2005 JULY 31, 2004
---------------- ----------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,085,274 $ 659,551
Net realized gain 996,402 232,261
Net change in unrealized appreciation 19,045,218 27,381,456
---------------- ----------------
NET INCREASE 21,126,894 28,273,268
---------------- ----------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME
Class A shares (144,845) (96,917)
Class B shares (690,071) (377,254)
Class C shares (125,529) (74,261)
Class D shares (339,565) (191,598)
---------------- ----------------
TOTAL DIVIDENDS (1,300,010) (740,030)
---------------- ----------------
Net decrease from transactions in shares of beneficial interest (18,702,758) (14,774,118)
---------------- ----------------
NET INCREASE 1,124,126 12,759,120
NET ASSETS:
Beginning of period 245,386,036 232,626,916
---------------- ----------------
END OF PERIOD
(INCLUDING ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME OF
$148,758 AND $363,494, RESPECTIVELY) $ 246,510,162 $ 245,386,036
================ ================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
45
<Page>
MORGAN STANLEY TOTAL MARKET INDEX FUND
NOTES TO FINANCIAL STATEMENTS - JANUARY 31, 2005 (UNAUDITED)
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Total Market Index Fund (the "Fund") is registered under the
Investment Company Act of 1940, as amended (the "Act"), as a diversified,
open-end management investment company. The Fund's investment objective is to
provide investment results that, before expenses, correspond to the total return
of the Dow Jones Wilshire 5000 Composite Index (the "Index"). The Fund was
organized as a Massachusetts business trust on March 11, 1999 and commenced
operations on September 28, 1999.
The Fund offers Class A shares, Class B shares, Class C shares and Class D
shares. The four classes are substantially the same except that most Class A
shares are subject to a sales charge imposed at the time of purchase and some
Class A shares, and most Class B shares and Class C shares are subject to a
contingent deferred sales charge imposed on shares redeemed within one year, six
years and one year, respectively. Class D shares are not subject to a sales
charge. Additionally, Class A shares, Class B shares and Class C shares incur
distribution expenses.
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS -- (1) an equity portfolio security listed or traded
on the New York Stock Exchange ("NYSE") or American Stock Exchange or other
exchange is valued at its latest sale price prior to the time when assets are
valued; if there were no sales that day, the security is valued at the mean
between the last reported bid and asked price; (2) an equity portfolio security
listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price;
if there were no sales that day, the security is valued at the mean between the
last reported bid and asked price; (3) all other portfolio securities for which
over-the-counter market quotations are readily available are valued at the mean
between the last reported bid and asked price. In cases where a security is
traded on more than one exchange, the security is valued on the exchange
designated as the primary market; (4) for equity securities traded on foreign
exchanges, the last reported sale price or the latest bid price may be used if
there were no sales on a particular day; (5) futures are valued at the latest
price published by the commodities exchange on which they trade; (6) when market
quotations are not readily available or Morgan Stanley Investment Advisors Inc.
(the "Investment Adviser") determines that the latest sale price, the bid price
or the mean between the last reported bid and asked price do not reflect a
security's market value, portfolio securities are valued at their fair value as
determined in good faith under procedures established by and under the general
supervision of the Fund's Trustees. Occasionally, developments affecting the
closing prices of securities and other assets may occur between the times at
which valuations of such securities are determined (that is, close of the
foreign market on which the securities trade) and the close of business on the
NYSE. If developments occur during such periods that are expected to materially
affect the value of such securities, such valuations may be adjusted to reflect
the estimated fair value of such securities as of the close of the NYSE, as
determined in good faith by the Fund's Trustees or by the Investment Adviser
using a pricing service and/or procedures approved
46
<Page>
by the Trustees of the Fund; (7) certain portfolio securities may be valued by
an outside pricing service approved by the Fund's Trustees; and (8) short-term
debt securities having a maturity date of more than sixty days at time of
purchase are valued on a mark-to-market basis until sixty days prior to maturity
and thereafter at amortized cost based on their value on the 61st day.
Short-term debt securities having a maturity date of sixty days or less at the
time of purchase are valued at amortized cost.
B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on security transactions are determined by the identified cost method.
Dividend income and other distributions are recorded on the ex-dividend date.
Discounts are accreted and premiums are amortized over the life of the
respective securities. Interest income is accrued daily.
C. REPURCHASE AGREEMENTS -- Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated
entities managed by the Investment Adviser, may transfer uninvested cash
balances into one or more joint repurchase agreement accounts. These balances
are invested in one or more repurchase agreements and are collateralized by
cash, U.S. Treasury or federal agency obligations. The Fund may also invest
directly with institutions in repurchase agreements. The Fund's custodian
receives the collateral, which is marked-to-market daily to determine that the
value of the collateral does not decrease below the repurchase price plus
accrued interest.
D. MULTIPLE CLASS ALLOCATIONS -- Investment income, expenses (other than
distribution fees), and realized and unrealized gains and losses are allocated
to each class of shares based upon the relative net asset value on the date such
items are recognized. Distribution fees are charged directly to the respective
class.
E. FUTURES CONTRACTS -- A futures contract is an agreement between two parties
to buy and sell financial instruments or contracts based on financial indices at
a set price on a future date. Upon entering into such a contract, the Fund is
required to pledge to the broker cash, U.S. Government securities or other
liquid portfolio securities equal to the minimum initial margin requirements of
the applicable futures exchange. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments known as
variation margin are recorded by the Fund as unrealized gains and losses. Upon
closing of the contract, the Fund realizes a gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
F. FEDERAL INCOME TAX POLICY -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Accordingly, no federal income tax provision is required.
47
<Page>
G. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to
shareholders are recorded on the ex-dividend date.
H. USE OF ESTIMATES -- The preparation of financial statements in accordance
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts and disclosures.
Actual results could differ from those estimates.
2. INVESTMENT ADVISORY/ADMINISTRATION AGREEMENTS
Effective November 1, 2004, pursuant to an Investment Advisory Agreement, the
Fund pays the Investment Adviser an advisory fee, accrued daily and payable
monthly, by applying the annual rate of 0.12% to the average net assets of the
Fund determined as of the close of each business day.
Effective November 1, 2004 pursuant to an Administration Agreement with Morgan
Stanley Services Company Inc. (the "Administrator"), an affiliate of the
Investment Adviser, the Fund pays an administration fee, accrued daily and
payable monthly, by applying the annual rate of 0.08% to the Fund's daily net
assets.
Prior to November 1, 2004, the Fund had retained the Investment Adviser to
provide administrative services and to manage the investment of the Fund's
assets pursuant to an investment management agreement pursuant to which the Fund
paid the Investment Adviser a monthly management fee accrued daily and payable
monthly, by applying the annual rate of 0.20% to the net assets of the Fund
determined as of the close of each business day.
The Investment Adviser has agreed to assume all operating expenses (except for
distribution fees) and to waive the compensation provided for in its Investment
Advisory Agreement to the extent that such expenses and compensation on an
annualized basis exceed 0.40% of the daily net assets of the Fund. Included in
the Statement of Assets and Liabilities is a receivable from affiliate which
represents expense reimbursements due to the Fund.
3. PLAN OF DISTRIBUTION
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the
"Distributor"), an affiliate of the Investment Adviser and Administrator. The
Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1
under the Act. The Plan provides that the Fund will pay the Distributor a fee
which is accrued daily and paid monthly at the following annual rates: (i) Class
A -- up to 0.25% of the average daily net assets of Class A; (ii) Class B -- up
to 1.0% of the average daily net assets of Class B; and (iii) Class C -- up to
1.0% of the average daily net assets of Class C.
48
<Page>
In the case of Class B shares, provided that the Plan continues in effect, any
cumulative expenses incurred by the Distributor but not yet recovered may be
recovered through the payment of future distribution fees from the Fund pursuant
to the Plan and contingent deferred sales charges paid by investors upon
redemption of Class B shares. Although there is no legal obligation for the Fund
to pay expenses incurred in excess of payments made to the Distributor under the
Plan and the proceeds of contingent deferred sales charges paid by investors
upon redemption of shares, if for any reason the Plan is terminated, the
Trustees will consider at that time the manner in which to treat such expenses.
The Distributor has advised the Fund that such excess amounts totaled
$12,244,157 at January 31, 2005.
In the case of Class A shares and Class C shares, expenses incurred pursuant to
the Plan in any calendar year in excess of 0.25% or 1.0% of the average daily
net assets of Class A or Class C, respectively, will not be reimbursed by the
Fund through payments in any subsequent year, except that expenses representing
a gross sales credit to Morgan Stanley Financial Advisors or other selected
broker-dealer representatives may be reimbursed in the subsequent calendar year.
For the six months ended January 31, 2005, the distribution fee was accrued for
Class A shares and Class C shares at the annual rate of 0.25% and 1.0%,
respectively.
The Distributor has informed the Fund that for the six months ended January 31,
2005, it received contingent deferred sales charges from certain redemptions of
the Fund's Class B shares and Class C shares of $210,066 and $2,720,
respectively and received $13,926 in front-end sales charges from sales of the
Fund's Class A shares. The respective shareholders pay such charges which are
not an expense of the Fund.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales of portfolio securities, excluding
short-term investments, for the six months ended January 31, 2005 aggregated
$6,489,623 and $22,452,291, respectively.
Morgan Stanley Trust, an affiliate of Investment Adviser, Administrator and
Distributor, is the Fund's transfer agent. At January 31, 2005, the Fund had
transfer agent fees and expenses payable of approximately $4,700.
Effective April 1, 2004, the Fund began an unfunded Deferred Compensation Plan
(the "Compensation Plan") which allows each independent Trustee to defer payment
of all, or a portion, of the fees he receives for serving on the Board of
Trustees. Each eligible Trustee generally may elect to have the deferred amounts
credited with a return equal to the total return on one or more of the Morgan
Stanley funds that are offered as investment options under the Compensation
Plan. Appreciation/depreciation
49
<Page>
and distributions received from these investments are recorded with an
offsetting increase/decrease in the deferred compensation obligation and do not
affect the net asset value of the Fund.
5. FEDERAL INCOME TAX STATUS
The amount of dividends and distributions from net investment income and net
realized capital gains are determined in accordance with federal income tax
regulations which may differ from generally accepted accounting principles.
These "book/tax" differences are either considered temporary or permanent in
nature. To the extent these differences are permanent in nature, such amounts
are reclassified within the capital accounts based on their federal tax-basis
treatment; temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized capital gains
for tax purposes are reported as distributions of paid-in-capital.
At July 31, 2004, the Fund had a net capital loss carryforward of $64,027,538 of
which $993,863 will expire on July 31, 2009, $19,339,053 will expire on July 31,
2010, $32,841,558 will expire on July 31, 2011 and $10,853,064 will expire on
July 31, 2012 to offset future capital gains to the extent provided by
regulations.
As of July 31, 2004, the Fund had temporary book/tax differences primarily
attributable to post-October losses (capital losses incurred after October 31
within the taxable year which are deemed to arise on the first business day of
the Fund's next taxable year), the mark-to-market of open futures contracts and
tax adjustments on real estate investment trusts held by the Fund.
6. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS
To hedge against adverse interest rate, foreign currency and market risks, the
Fund may purchase and sell interest rate, currency and index futures contracts
("futures contracts").
Futures contracts involve elements of market risk in excess of the amounts
reflected in the Statement of Assets and Liabilities. The Fund bears the risk of
an unfavorable change in the value of the underlying securities or currencies.
Risks may also arise upon entering into these contracts from the potential
inability of the counterparties to meet the terms of their contracts.
7. LEGAL MATTERS
The Investment Adviser, certain affiliates of the Investment Adviser, certain
officers of such affiliates and certain investment companies advised by the
Investment Adviser or its affiliates, including the Fund, are named as
defendants in a consolidated class action. This consolidated action also names
as defendants certain individual Trustees and Directors of the Morgan Stanley
funds. The consolidated amended complaint generally alleges that defendants,
including the Fund, violated their statutory disclosure obligations and
fiduciary duties by failing properly to disclose (i) that the Investment Adviser
50
<Page>
and certain affiliates of the Investment Adviser allegedly offered economic
incentives to brokers and others to recommend the funds advised by the
Investment Adviser or its affiliates to investors rather than funds managed by
other companies, and (ii) that the funds advised by the Investment Adviser or
its affiliates, including the Fund, allegedly paid excessive commissions to
brokers in return for their efforts to recommend these funds to investors. The
complaint seeks, among other things, unspecified compensatory damages,
rescissionary damages, fees and costs. The defendants have moved to dismiss the
action and intend to otherwise vigorously defend it. On March 10, 2005,
Plaintiffs sought leave to supplement their complaint to assert claims on behalf
of other investors. While the Fund and Adviser believe that each has meritorious
defenses, the ultimate outcome of this matter is not presently determinable at
this early stage of the litigation, and no provision has been made in the Fund's
financial statements for the effect, if any, of this matter.
8. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<Table>
<Caption>
FOR THE SIX
MONTHS ENDED FOR THE YEAR
JANUARY 31, 2005 ENDED
JULY 31, 2004
------------------------------ ------------------------------
(UNAUDITED)
SHARES AMOUNT SHARES AMOUNT
------------- ------------- ------------- -------------
CLASS A SHARES
Sold 293,691 $ 2,817,543 355,069 $ 3,324,259
Reinvestment of dividends 13,310 137,233 9,755 90,036
Redeemed (234,486) (2,287,838) (689,054) (6,348,294)
------------- ------------- ------------- -------------
Net increase (decrease)-- Class A 72,515 666,938 (324,230) (2,933,999)
------------- ------------- ------------- -------------
CLASS B SHARES
Sold 470,977 4,496,679 2,667,480 23,876,285
Reinvestment of dividends 61,790 622,226 37,902 341,491
Redeemed (2,490,864) (23,691,169) (5,077,866) (45,562,441)
------------- ------------- ------------- -------------
Net decrease -- Class B (1,958,097) (18,572,264) (2,372,484) (21,344,665)
------------- ------------- ------------- -------------
CLASS C SHARES
Sold 145,807 1,411,236 1,082,929 9,594,163
Reinvestment of dividends 10,801 108,765 7,001 63,080
Redeemed (373,200) (3,544,371) (728,728) (6,513,222)
------------- ------------- ------------- -------------
Net increase (decrease) -- Class C (216,592) (2,024,370) 361,202 3,144,021
------------- ------------- ------------- -------------
CLASS D SHARES
Sold 759,968 7,410,076 1,395,726 12,983,730
Reinvestment of dividends 26,843 278,634 17,251 160,258
Redeemed (651,209) (6,461,772) (719,586) (6,783,463)
------------- ------------- ------------- -------------
Net increase -- Class D 135,602 1,226,938 693,391 6,360,525
------------- ------------- ------------- -------------
Net decrease in Fund (1,966,572) $ (18,702,758) (1,642,121) $ (14,774,118)
============= ============= ============= =============
</Table>
51
<Page>
MORGAN STANLEY TOTAL MARKET INDEX FUND
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED JULY 31,
MONTHS ENDED -------------------------------------------
JANUARY 31, 2005 2004 2003
------------------- ------------------- -------------------
(UNAUDITED)
CLASS A SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.32 $ 8.33 $ 7.52
------------------- ------------------- -------------------
Income (loss) from investment operations:
Net investment income++ 0.07 0.08 0.08
Net realized and unrealized gain
(loss) 0.80 0.98 0.76
------------------- ------------------- -------------------
Total income (loss) from investment
operations 0.87 1.06 0.84
------------------- ------------------- -------------------
Less dividends and distributions from:
Net investment income (0.12) (0.07) (0.03)
Net realized gains - - -
------------------- ------------------- -------------------
Total dividends and distributions (0.12) (0.07) (0.03)
------------------- ------------------- -------------------
Net asset value, end of period $ 10.07 $ 9.32 $ 8.33
=================== =================== ===================
TOTAL RETURN+ 9.26%(1) 12.79% 11.23%
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 0.65%(2) 0.72% 0.75%
Net investment income 1.48%(2) 0.91% 1.01%
SUPPLEMENTAL DATA:
Net assets, end of period, in
thousands $ 13,021 $ 11,383 $ 12,865
Portfolio turnover rate 3%(1) 3% 4%
<Caption>
FOR THE PERIOD
FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999*
---------------------------------------------- THROUGH
2002 2001 JULY 31, 2000
------------------- ------------------- -------------------
CLASS A SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.70 $ 11.38 $ 10.00
------------------- ------------------- -------------------
Income (loss) from investment operations:
Net investment income++ 0.06 0.06 0.06
Net realized and unrealized gain
(loss) (2.24) (1.74) 1.34
------------------- ------------------- -------------------
Total income (loss) from investment
operations (2.18) (1.68) 1.40
------------------- ------------------- -------------------
Less dividends and distributions from:
Net investment income - - -
Net realized gains - - (0.02)
------------------- ------------------- -------------------
Total dividends and distributions - - (0.02)
------------------- ------------------- -------------------
Net asset value, end of period $ 7.52 $ 9.70 $ 11.38
=================== =================== ===================
TOTAL RETURN+ (22.47)% (14.76)% 13.99%(1)
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 0.75% 0.71% 0.75%(2)
Net investment income 0.67% 0.58% 0.58%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in
thousands $ 13,410 $ 16,678 $ 22,895
Portfolio turnover rate 4% 7% 2%(1)
</Table>
- ----------
* COMMENCEMENT OF OPERATIONS.
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY
THE INVESTMENT ADVISER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME
RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED RATIO INCOME RATIO
------------------- ------------------- --------------
JANUARY 31, 2005 0.90% 1.24%
JULY 31, 2004 0.87% 0.76%
JULY 31, 2003 0.94% 0.82%
JULY 31, 2002 0.90% 0.52%
JULY 31, 2001 0.81% 0.48%
JULY 31, 2000 0.90% 0.43%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
52
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED JULY 31,
MONTHS ENDED -------------------------------------------
JANUARY 31, 2005 2004 2003
------------------- ------------------- -------------------
(UNAUDITED)
CLASS B SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.07 $ 8.11 $ 7.35
------------------- ------------------- -------------------
Income (loss) from investment operations:
Net investment income (loss)++ 0.03 0.01 0.02
Net realized and unrealized gain
(loss) 0.77 0.97 0.75
------------------- ------------------- -------------------
Total income (loss) from investment
operations 0.80 0.98 0.77
------------------- ------------------- -------------------
Less dividends and distributions from:
Net investment income (0.04) (0.02) (0.01)
Net realized gains - - -
------------------- ------------------- -------------------
Total dividends and distributions (0.04) (0.02) (0.01)
------------------- ------------------- -------------------
Net asset value, end of period $ 9.83 $ 9.07 $ 8.11
=================== =================== ===================
TOTAL RETURN+ 8.78%(1) 12.05% 10.46%
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 1.40%(2) 1.47% 1.50%
Net investment income (loss) 0.73%(2) 0.16% 0.26%
SUPPLEMENTAL DATA:
Net assets, end of period, in
thousands $ 179,121 $ 183,031 $ 182,932
Portfolio turnover rate 3%(1) 3% 4%
<Caption>
FOR THE PERIOD
FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999*
---------------------------------------------- THROUGH
2002 2001 JULY 31, 2000
------------------- ------------------- -------------------
CLASS B SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.56 $ 11.31 $ 10.00
------------------- ------------------- -------------------
Income (loss) from investment operations:
Net investment income (loss)++ (0.01) (0.02) (0.02)
Net realized and unrealized gain
(loss) (2.20) (1.73) 1.35
------------------- ------------------- -------------------
Total income (loss) from investment
operations (2.21) (1.75) 1.33
------------------- ------------------- -------------------
Less dividends and distributions from:
Net investment income - - -
Net realized gains - - (0.02)
------------------- ------------------- -------------------
Total dividends and distributions - - (0.02)
------------------- ------------------- -------------------
Net asset value, end of period $ 7.35 $ 9.56 $ 11.31
=================== =================== ===================
TOTAL RETURN+ (23.12)% (15.47)% 13.29%(1)
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 1.50% 1.50% 1.50%(2)
Net investment income (loss) (0.08)% (0.21)% (0.17)%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in
thousands $ 191,843 $ 290,758 $ 356,899
Portfolio turnover rate 4% 7% 2%(1)
</Table>
- ----------
* COMMENCEMENT OF OPERATIONS.
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY
THE INVESTMENT ADVISER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME
(LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED RATIO INCOME (LOSS) RATIO
------------------- ------------------- -------------------
JANUARY 31, 2005 1.65% 0.49%
JULY 31, 2004 1.62% 0.01%
JULY 31, 2003 1.69% 0.07%
JULY 31, 2002 1.65% (0.23)%
JULY 31, 2001 1.60% (0.31)%
JULY 31, 2000 1.65% (0.32)%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
53
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED JULY 31,
MONTHS ENDED -------------------------------------------
JANUARY 31, 2005 2004 2003
------------------- ------------------- -------------------
(UNAUDITED)
CLASS C SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.07 $ 8.11 $ 7.36
------------------- ------------------- -------------------
Income (loss) from investment operations:
Net investment income (loss)++ 0.03 0.01 0.02
Net realized and unrealized gain
(loss) 0.76 0.97 0.74
------------------- ------------------- -------------------
Total income (loss) from investment
operations 0.79 0.98 0.76
------------------- ------------------- -------------------
Less dividends and distributions from:
Net investment income (0.04) (0.02) (0.01)
Net realized gains - - -
------------------- ------------------- -------------------
Total dividends and distributions (0.04) (0.02) (0.01)
------------------- ------------------- -------------------
Net asset value, end of period $ 9.82 $ 9.07 $ 8.11
=================== =================== ===================
TOTAL RETURN+ 8.71%(1) 12.13% 10.31%
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 1.40%(2) 1.47% 1.50%
Net investment income (loss) 0.73%(2) 0.16% 0.26%
SUPPLEMENTAL DATA:
Net assets, end of period, in
thousands $ 29,845 $ 29,514 $ 23,483
Portfolio turnover rate 3%(1) 3% 4%
<Caption>
FOR THE PERIOD
FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999*
---------------------------------------------- THROUGH
2002 2001 JULY 31, 2000
------------------- ------------------- -------------------
CLASS C SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.56 $ 11.31 $ 10.00
------------------- ------------------- -------------------
Income (loss) from investment operations:
Net investment income (loss)++ 0.00 (0.02) (0.02)
Net realized and unrealized gain
(loss) (2.20) (1.73) 1.35
------------------- ------------------- -------------------
Total income (loss) from investment
operations (2.20) (1.75) 1.33
------------------- ------------------- -------------------
Less dividends and distributions from:
Net investment income - - -
Net realized gains - - (0.02)
------------------- ------------------- -------------------
Total dividends and distributions - - (0.02)
------------------- ------------------- -------------------
Net asset value, end of period $ 7.36 $ 9.56 $ 11.31
=================== =================== ===================
TOTAL RETURN+ (23.01)% (15.47)% 13.29%(1)
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 1.42% 1.50% 1.50%(2)
Net investment income (loss) 0.00% (0.21)% (0.17)%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in
thousands $ 24,616 $ 35,607 $ 43,901
Portfolio turnover rate
4% 7% 2%(1)
</Table>
- ----------
* COMMENCEMENT OF OPERATIONS.
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY
THE INVESTMENT ADVISER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME
(LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED RATIO INCOME (LOSS) RATIO
------------------- ------------------- -------------------
JANUARY 31, 2005 1.65% 0.49%
JULY 31, 2004 1.62% 0.01%
JULY 31, 2003 1.69% 0.07%
JULY 31, 2002 1.57% (0.15)%
JULY 31, 2001 1.60% (0.31)%
JULY 31, 2000 1.65% (0.32)%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
54
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED JULY 31,
MONTHS ENDED -------------------------------------------
JANUARY 31, 2005 2004 2003
------------------- ------------------- -------------------
(UNAUDITED)
CLASS D SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.40 $ 8.40 $ 7.57
------------------- ------------------- -------------------
Income (loss) from investment operations:
Net investment income++ 0.09 0.11 0.09
Net realized and unrealized gain
(loss) 0.79 0.99 0.78
------------------- ------------------- -------------------
Total income (loss) from investment
operations 0.88 1.10 0.87
------------------- ------------------- -------------------
Less dividends and distributions from:
Net investment income (0.14) (0.10) (0.04)
Net realized gains - - -
------------------- ------------------- -------------------
Total dividends and distributions (0.14) (0.10) (0.04)
------------------- ------------------- -------------------
Net asset value, end of period $ 10.14 $ 9.40 $ 8.40
=================== =================== ===================
TOTAL RETURN+ 9.32%(1) 13.11% 11.54%
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 0.40%(2) 0.47% 0.50%
Net investment income 1.73%(2) 1.16% 1.26%
SUPPLEMENTAL DATA:
Net assets, end of period, in
thousands $ 24,522 $ 21,458 $ 13,347
Portfolio turnover rate 3%(1) 3% 4%
<Caption>
FOR THE PERIOD
FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999*
---------------------------------------------- THROUGH
2002 2001 JULY 31, 2000
------------------- ------------------- -------------------
CLASS D SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.74 $ 11.41 $ 10.00
------------------- ------------------- -------------------
Income (loss) from investment operations:
Net investment income++ 0.08 0.08 0.08
Net realized and unrealized gain
(loss) (2.25) (1.75) 1.35
------------------- ------------------- -------------------
Total income (loss) from investment
operations (2.17) (1.67) 1.43
------------------- ------------------- -------------------
Less dividends and distributions from:
Net investment income - - -
Net realized gains - - (0.02)
------------------- ------------------- -------------------
Total dividends and distributions - - (0.02)
------------------- ------------------- -------------------
Net asset value, end of period $ 7.57 $ 9.74 $ 11.41
=================== =================== ===================
TOTAL RETURN+ (22.28)% (14.64)% 14.30%(1)
RATIOS TO AVERAGE NET ASSETS(3)(4):
Expenses 0.50% 0.50% 0.50%(2)
Net investment income 0.92% 0.79% 0.83%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in
thousands $ 6,506 $ 7,329 $ 3,628
Portfolio turnover rate 4% 7% 2%(1)
</Table>
- ----------
* COMMENCEMENT OF OPERATIONS.
++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ CALCULATED BASED ON THE NET ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE
PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
(4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY
THE INVESTMENT ADVISER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME
RATIOS WOULD HAVE BEEN AS FOLLOWS:
<Table>
<Caption>
EXPENSE NET INVESTMENT
PERIOD ENDED RATIO INCOME RATIO
------------------- ------------------- --------------
JANUARY 31, 2005 0.65% 1.49%
JULY 31, 2004 0.62% 1.01%
JULY 31, 2003 0.69% 1.07%
JULY 31, 2002 0.65% 0.77%
JULY 31, 2001 0.60% 0.69%
JULY 31, 2000 0.65% 0.68%
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
55
<Page>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
Wayne E. Hedien
James F. Higgins
Dr. Manuel H. Johnson
Joseph J. Kearns
Michael E. Nugent
Fergus Reid
OFFICERS
Charles A. Fiumefreddo
CHAIRMAN OF THE BOARD
Mitchell M. Merin
PRESIDENT
Ronald E. Robison
EXECUTIVE VICE PRESIDENT AND PRINCIPAL EXECUTIVE OFFICER
Joseph J. McAlinden
VICE PRESIDENT
Barry Fink
VICE PRESIDENT
Amy R. Doberman
VICE PRESIDENT
Carsten Otto
CHIEF COMPLIANCE OFFICER
Stefanie V. Chang
VICE PRESIDENT
Francis J. Smith
TREASURER AND CHIEF FINANCIAL OFFICER
Thomas F. Caloia
VICE PRESIDENT
Mary E. Mullin
SECRETARY
TRANSFER AGENT
Morgan Stanley Trust
Harborside Financial Center, Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
Two World Financial Center
New York, New York 10281
INVESTMENT ADVISER
Morgan Stanley Investment Advisors Inc.
1221 Avenue of the Americas
New York, New York 10020
The financial statements included herein have been taken from the records of the
Fund without examination by the independent auditors and accordingly they do not
express an opinion thereon.
This report is submitted for the general information of the shareholders of the
Fund. For more detailed information about the Fund, its fees and expenses and
other pertinent information, please read its Prospectus. The Fund's Statement of
Additional Information contains additional information about the Fund, including
its trustees. It is available, without charge, by calling (800) 869-NEWS.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective Prospectus. Read the
Prospectus carefully before investing.
Investments and services offered through Morgan Stanley DW Inc., member SIPC.
Morgan Stanley Distributors Inc., member NASD.
(C) 2005 Morgan Stanley
36085RPT-RA05-00192P-Y01/05
[MORGAN STANLEY LOGO]
[GRAPHIC]
MORGAN STANLEY FUNDS
MORGAN STANLEY
TOTAL MARKET
INDEX FUND
SEMIANNUAL REPORT
JANUARY 31, 2005
[MORGAN STANLEY LOGO]
<Page>
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semiannual reports.
Item 6.
Refer to Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable for semiannual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Applicable only to reports filed by closed-end funds.
Item 9. Closed-End Fund Repurchases
Applicable to reports filed by closed-end funds.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
<Page>
Item 11. Controls and Procedures
(a) The Fund's principal executive officer and principal financial officer have
concluded that the Fund's disclosure controls and procedures are sufficient to
ensure that information required to be disclosed by the Fund in this Form N-CSR
was recorded, processed, summarized and reported within the time periods
specified in the Securities and Exchange Commission's rules and forms, based
upon such officers' evaluation of these controls and procedures as of a date
within 90 days of the filing date of the report.
(b) There were no changes in the registrant's internal control over financial
reporting that occurred during the registrant's most recent fiscal half-year
(the registrant's second fiscal half-year in the case of an annual report) that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
Item 12. Exhibits
(a) Code of Ethics - Not applicable for semiannual reports.
(b) A separate certification for each principal executive officer and principal
financial officer of the registrant are attached hereto as part of EX-99.CERT.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Morgan Stanley Total Market Index Fund
/s/ Ronald E. Robison
Ronald E. Robison
Principal Executive Officer
March 22, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
/s/ Ronald E. Robison
Ronald E. Robison
Principal Executive Officer
March 22, 2005
/s/ Francis Smith
Francis Smith
Principal Financial Officer
March 22, 2005