<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