<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, 2006 Date of reporting period: January 31, 2006 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. PLEASE SEE THE PROSPECTUS FOR MORE COMPLETE INFORMATION ON INVESTMENT RISKS. <Page> FUND REPORT For the six months ended January 31, 2006 TOTAL RETURN FOR THE 6 MONTHS ENDED JANUARY 31, 2006 <Table> <Caption> DOW JONES LIPPER WILSHIRE 5000 MULTI-CAP COMPOSITE CORE FUNDS CLASS A CLASS B CLASS C CLASS D INDEX(1) INDEX(2) 5.33% 5.02% 4.96% 5.52% 5.75% 7.18% </Table> 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 AND BENCHMARK INFORMATION. MARKET CONDITIONS During the six-month period ended January 31, 2006, the U.S. stock market advanced. Returns were earned at an uneven pace, in terms of overall performance and market leadership. As the period opened in August, mixed economic data and additional increases in the federal funds rate stoked investor anxiety. Consternation rose as the Gulf Coast hurricanes sent oil prices spiking and heightened anxiety about the economy. However, as October wound to a close, the stock market showed signs of renewed optimism. Falling oil prices, better-than-expected economic data, the nomination of Ben S. Bernanke to head the Federal Reserve (the "Fed"), and strengthening consumer trends lifted investor sentiment. Stocks continued to advance through November, buoyed by indications that the Fed might soon slow the pace of rate increases, encouraging consumer confidence data, continued declines in oil prices, strong retail trends (excluding the beleaguered auto industry), and acceptable housing data. Stocks delivered more muted performance in December as cross currents buffeted the market. Rising gold prices, the ongoing struggles of the auto industry, an additional Fed tightening and trends in bond market yields rekindled concern. Yet, the market found positive signals as well, including favorable productivity, employment and consumer confidence data; consolidation activity in the oil industry; corporate litigation developments; and notes from the Fed's meeting minutes which more strongly suggested that its tightening cycle could be nearer to an end. Throughout these first five months of the reporting period, smaller capitalization stocks found themselves outpaced by larger capitalization issues. The tide turned in the new calendar year, however. Small cap stocks surged overall, with the smallest issues leading the way. Although geopolitical risk, oil prices and mixed corporate earnings weighed on investors, the "January Effect" was still rather pronounced. (The "January Effect" is a historical trend wherein the market rallies in the first month of the calendar year, particularly in higher-volatility segments of the market such as small-cap stocks.) PERFORMANCE ANALYSIS Morgan Stanley Total Market Index Fund underperformed the Dow Jones Wilshire 5000 Composite Index and the Lipper Multi-Cap Core Funds Index for the six months ended January 31, 2006, assuming no deduction of applicable sales charges. The gains of the Fund and the Dow Jones Wilshire 5000 Composite Index were supported by positive 2 <Page> performance across nine of the 10 broad sector groups within the Index. On the basis of absolute performance, the top three performing sectors were energy, materials and financials. Energy stocks continued to benefit from favorable supply and demand trends and soaring commodity prices. Meanwhile, the materials sector was well positioned to benefit from global economic growth, which in turn spurred steady demand for coal, copper and other natural resources. Strength in precious metals stocks, such as gold, provided additional support for the sector. Performance in the financials sector was supported by gains in diversified financial services companies, many of which benefited from increased investment banking activity, such as corporate merger-and-acquisition activity. Within the Index and the Fund, consumer discretionary was the only sector to post a negative return for the period. As the deepening woes of the auto industry soured investor sentiment, auto manufacturer and auto parts and equipment stocks represented the most significant pockets of weakness. The Internet retail, houseware products and houseware specialties industries further detracted from the sector's gains. Because the Dow Jones Wilshire 5000 Composite Index is market capitalization weighted (and the Fund seeks to replicate the performance attributes of the Index, before Fund fees), the overall contribution of each sector was influenced by its relative size within the Index and the Fund portfolio. In terms of overall contribution, the energy, financials and technology sectors were most beneficial. While the contribution of the energy sector was underpinned by particularly strong stock performance, that of the financials sector was driven more significantly by its large proportional representation within the Index. Within the technology sector, a diverse group of holdings fueled overall returns. In contrast, consumer discretionary, utilities and telecommunication services contributed the least. Consumer discretionary faltered due to weakness in several industries, as discussed previously. The meager contributions of the utilities and telecommunications sectors reflected lackluster performance as well as the small size of each group. THERE IS NO GUARANTEE THAT ANY SECTORS MENTIONED WILL CONTINUE TO PERFORM AS DISCUSSED HEREIN OR THAT SECURITIES IN SUCH SECTORS WILL BE HELD BY THE FUND IN THE FUTURE. 3 <Page> TOP 10 HOLDINGS <Table> Exxon Mobil Corp. 2.7% General Electric Co. 2.4 Microsoft Corp. 1.8 Citigroup, Inc. 1.6 Bank of America Corp. 1.4 Procter & Gamble Co. (The) 1.4 Pfizer, Inc. 1.3 Johnson & Johnson 1.2 Altria Group, Inc. 1.0 American International Group, Inc. 1.0 </Table> TOP FIVE INDUSTRIES <Table> Pharmaceuticals: Major 4.7% Integrated Oil 4.4 Industrial Conglomerates 3.9 Major Banks 3.8 Financial Conglomerates 3.6 </Table> DATA AS OF JANUARY 31, 2006. 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. 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, APPROXIMATELY 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 85 PERCENT 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 4 <Page> 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. PROXY VOTING POLICY AND PROCEDURES AND PROXY VOTING RECORD YOU MAY OBTAIN A COPY OF THE FUND'S PROXY VOTING POLICY AND PROCEDURES WITHOUT CHARGE, UPON REQUEST, BY CALLING TOLL FREE (800) 869-NEWS OR BY VISITING THE MUTUAL FUND CENTER ON OUR WEB SITE AT www.morganstanley.com. IT IS ALSO AVAILABLE ON THE SECURITIES AND EXCHANGE COMMISSION'S WEB SITE AT http://www.sec.gov. YOU MAY OBTAIN INFORMATION REGARDING HOW THE FUND VOTED PROXIES RELATING TO PORTFOLIO SECURITIES DURING THE MOST RECENT TWELVE-MONTH PERIOD ENDED JUNE 30 WITHOUT CHARGE 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. 5 <Page> PERFORMANCE SUMMARY AVERAGE ANNUAL TOTAL RETURNS--PERIOD ENDED JANUARY 31, 2006 <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 12.34%(3) 11.53%(3) 11.59%(3) 12.70%(3) 6.45(4) 6.53(4) 10.59(4) -- 5 YEARS 1.27(3) 0.51(3) 0.52(3) 1.52(3) 0.19(4) 0.12(4) 0.52(4) -- SINCE INCEPTION 2.37(3) 1.60(3) 1.60(3) 2.62(3) 1.50(4) 1.60(4) 1.60(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 MOST RECENT MONTH-END PERFORMANCE FIGURES, PLEASE VISIT www.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. 6 <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 advisory 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 08/01/05 - 01/31/06. 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 * --------------- --------------- --------------- 08/01/05 - 08/01/05 01/31/06 01/31/06 --------------- --------------- --------------- CLASS A Actual (5.33% return) $ 1,000.00 $ 1,053.30 $ 3.31 Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,021.98 $ 3.26 CLASS B Actual (5.02% return) $ 1,000.00 $ 1,050.20 $ 7.23 Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,018.15 $ 7.12 CLASS C Actual (4.96% return) $ 1,000.00 $ 1,049.60 $ 7.18 Hypothetical (5% annual return before expenses) $ 1,000.00 $ 1,018.20 $ 7.07 CLASS D Actual (5.52% return) $ 1,000.00 $ 1,055.20 $ 2.07 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 0.64%, 1.40%, 1.39% AND 0.40% FOR CLASS A, CLASS B, CLASS C AND CLASS D SHARES, RESPECTIVELY, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 184/365. IF THE FUND HAD BORNE ALL OF ITS EXPENSES, THE ANNUALIZED EXPENSE RATIOS WOULD HAVE BEEN 0.76%, 1.52%, 1.51% AND 0.52% FOR CLASS A, CLASS B, CLASS C AND CLASS D SHARES, RESPECTIVELY. 7 <Page> MORGAN STANLEY TOTAL MARKET INDEX FUND PORTFOLIO OF INVESTMENTS - JANUARY 31, 2006 (UNAUDITED) <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- COMMON STOCKS (98.4%) ADVERTISING/MARKETING SERVICES (0.3%) 588 Arbitron Inc.* $ 23,344 502 ADVO, Inc. 16,506 841 Aquantive Inc. 21,874 804 Catalina Marketing Corp. 17,969 4,443 Gemstar-TV Guide International, Inc.* 14,662 684 Getty Images, Inc.* 55,849 1,066 Harris Interactive Inc.* 5,724 910 Harte-Hanks Inc. 25,826 1,015 infoUSA, Inc. 11,124 6,056 Interpublic Group of Companies, Inc. (The)* 61,166 1,233 Lamar Advertising Co. (Class A)* 56,619 636 Nautilus Group, Inc. 10,399 171 Netratings, Inc.* 2,298 2,587 Omnicom Group, Inc. 211,591 831 R.H. Donnelley Corp.* 54,510 743 Valassis Communications, Inc.* 20,730 1,448 ValueClick, Inc.* 27,251 -------------- 637,442 -------------- AEROSPACE & DEFENSE (1.2%) 620 AAR Corp.* 14,775 1,287 Aeroflex Inc.* 15,559 485 Alliant Techsystems, Inc.* 37,588 540 Armor Holdings, Inc.* 25,742 458 Aviall, Inc.* 15,828 10,342 Boeing Co. 706,462 481 Cubic Corp. 10,721 355 Curtiss-Wright Corp. 21,066 473 DRS Technologies, Inc. 23,503 385 EDO Corp. 10,638 644 Engineered Support Systems, Inc. 27,705 500 ESCO Technologies Inc.* 24,570 409 Esterline Corp.* 16,920 981 FLIR Systems, Inc.* 23,250 854 GenCorp Inc.* $ 17,106 2,355 General Dynamics Corp. 274,028 1,725 Goodrich Corp. 67,913 1,687 L-3 Communications Holdings, Inc. 136,681 4,979 Lockheed Martin Corp. 336,829 573 Moog Inc. (Class A)* 19,201 4,748 Northrop Grumman Corp. 294,993 924 Orbital Sciences Corp. (c)* 11,920 1,874 Precision Castparts Corp. 93,606 6,409 Raytheon Co. 262,577 2,264 Rockwell Collins, Inc. 106,227 97 Sequa Corp. (Class A)* 7,910 490 Teledyne Technologies Inc.* 16,013 309 Triumph Group, Inc.* 13,058 -------------- 2,632,389 -------------- AGRICULTURAL COMMODITIES/ MILLING (0.2%) 8,589 Archer-Daniels-Midland Co. 270,554 1,585 Bunge Ltd. 93,452 1,062 Corn Products International, Inc. 28,961 664 Delta & Pine Land Co. 15,631 -------------- 408,598 -------------- AIR FREIGHT/COURIERS (0.7%) 2,494 C.H. Robinson Worldwide, Inc. 100,907 774 CNF Inc. 39,668 610 EGL, Inc.* 24,955 1,520 Expeditors International of Washington, Inc. 111,781 4,025 FedEx Corp. 407,129 624 Forward Air Corp. 24,336 613 Pacer International, Inc. 17,881 8,975 United Parcel Service, Inc. (Class B) 672,317 200 UTI Worldwide Inc. 20,946 -------------- 1,419,920 -------------- AIRLINES (0.2%) 1,497 AirTran Holdings, Inc.* 25,359 520 Alaska Air Group, Inc.* 16,603 </Table> SEE NOTES TO FINANCIAL STATEMENTS 8 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 2,171 AMR Corp.* $ 49,282 1,070 Continental Airlines, Inc. (Class B)* 22,374 625 ExpressJet Holdings, Inc.* 4,431 678 Frontier Airlines, Inc.* 4,556 2,282 JetBlue Airways Corp.* 29,757 615 Mesa Air Group, Inc.* 7,165 837 SkyWest, Inc. 24,424 10,258 Southwest Airlines Co. 168,847 277 US Airways Group Inc.* 8,127 -------------- 360,925 -------------- ALTERNATIVE POWER GENERATION (0.0%) 1,190 Plug Power Inc.* 7,081 -------------- ALUMINUM (0.2%) 12,511 Alcoa, Inc. 394,096 -------------- APPAREL/FOOTWEAR (0.4%) 348 Brown Shoe Co., Inc. 15,667 1,933 Cintas Corp. 82,346 5,486 Coach, Inc.* 197,222 269 Columbia Sportswear Co.* 13,894 766 Finish Line, Inc. (Class A) 13,750 255 Guess ? Inc.* 10,820 1,788 Jones Apparel Group, Inc. 55,929 640 Kellwood Co. 15,494 158 Kenneth Cole Productions, Inc. (Class A) 4,241 337 K-Swiss, Inc. (Class A) 10,666 1,597 Liz Claiborne, Inc. 55,448 2,413 Nike, Inc. (Class B) 195,332 314 Oxford Industries, Inc. 14,259 592 Phillips-Van Heusen Corp. 21,389 869 Polo Ralph Lauren Corp. 49,220 1,693 Quiksilver, Inc. 23,736 761 Russell Corp. 11,628 770 Stride Rite Corp. 11,142 776 Timberland Co. (Class A)* 27,129 1,256 V.F. Corp. 69,683 943 Wolverine World Wide, Inc. 22,679 -------------- 921,674 -------------- APPAREL/FOOTWEAR RETAIL (0.6%) 1,225 Abercrombie & Fitch Co. (Class A) $ 81,328 799 Aeropostale* 24,153 1,852 American Eagle Outfitters, Inc.* 49,967 1,069 AnnTaylor Stores Corp.* 35,619 295 bebe stores, inc. 5,953 142 Buckle (The), Inc. 5,006 412 Burlington Coat Factory Warehouse Corp. 18,408 594 Cato Corp. (The) (Class A) 12,824 1,717 Charming Shoppes, Inc.* 20,879 2,515 Chico's FAS, Inc.* 109,553 320 Children's Place Retail Stores, Inc. (The)* 14,013 715 Christopher & Banks Corp. 14,150 569 Dress Barn, Inc.* 26,254 2,293 Foot Locker, Inc. 52,097 9,169 Gap, Inc. (The) 165,867 575 Gymboree Corp. (The)* 14,168 946 Hot Topic, Inc.* 13,585 4,903 Limited Brands, Inc. 116,005 816 Men's Wearhouse, Inc. (The)* 27,883 3,328 Nordstrom, Inc. 138,844 1,100 Pacific Sunwear of California, Inc.* 26,961 975 Payless ShoeSource, Inc.* 23,751 2,164 Ross Stores, Inc. 61,674 553 Stage Stores, Inc. 16,419 437 Stein Mart, Inc. 7,245 421 Talbot's, Inc. (The) 11,733 6,896 TJX Companies, Inc. (The) 176,055 558 Too, Inc.* 16,143 1,686 Urban Outfitters, Inc.* 46,045 -------------- 1,332,582 -------------- AUTO PARTS: O.E.M. (0.2%) 726 American Axle & Manufacturing Holdings, Inc. 13,496 1,327 ArvinMeritor, Inc. 23,156 768 BorgWarner, Inc. 42,340 </Table> SEE NOTES TO FINANCIAL STATEMENTS 9 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 2,500 Dana Corp. $ 12,175 2,119 Eaton Corp. 140,278 2,285 Gentex Corp. 38,160 2,706 Johnson Controls, Inc. 187,363 984 Lear Corp. 24,944 796 MascoTech, Inc. (Escrow) (a) 0 531 Modine Manufacturing Co. 14,390 125 Proliance International Inc.* 638 226 Sauer-Danfoss, Inc. 4,714 356 Superior Industries International, Inc. 8,259 2,129 Visteon Corp.* 11,177 -------------- 521,090 -------------- AUTOMOTIVE AFTERMARKET (0.1%) 213 Bandag, Inc. 9,504 440 Barnes Group, Inc. 16,663 729 CLARCOR Inc. 24,844 1,030 Cooper Tire & Rubber Co. 15,440 2,569 Goodyear Tire & Rubber Co. (The)* 40,179 -------------- 106,630 -------------- BEVERAGES: ALCOHOLIC (0.3%) 11,146 Anheuser-Busch Companies, Inc. 461,890 754 Brown-Forman Corp. (Class B) 53,474 2,776 Constellation Brands Inc. (Class A)* 74,091 944 Molson Coors Brewing Co. (Class B) 59,000 -------------- 648,455 -------------- BEVERAGES: NON-ALCOHOLIC (0.7%) 31,760 Coca-Cola Co. (The) 1,314,229 3,649 Coca-Cola Enterprises Inc. 72,031 2,135 Pepsi Bottling Group, Inc. (The) 61,915 987 PepsiAmericas, Inc. 24,172 -------------- 1,472,347 -------------- BIOTECHNOLOGY (2.0%) 1,121 Abgenix, Inc.* 24,740 618 Adolor Corp.* 9,455 940 Affymetrix, Inc.* 35,889 426 Alexion Pharmaceuticals, Inc.* $ 12,277 1,286 Alkermes, Inc.* 31,301 17,707 Amgen Inc.* 1,290,663 1,489 Amylin Pharmaceuticals, Inc.* 63,134 771 Antigenics Inc.* 3,894 1,200 Applera Corp. - Celera Genomics Group* 14,112 887 ARIAD Pharmaceuticals, Inc.* 5,482 4,854 Biogen Idec Inc.* 217,217 1,390 BioMarin Pharmaceutical, Inc.* 16,305 1,679 Bruker BioSciences Corp.* 8,261 2,403 Celgene Corp.* 170,973 767 Cell Genesys, Inc.* 4,801 782 Cephalon, Inc.* 55,436 1,063 Charles River Laboratories International, Inc.* 49,036 1,557 Chiron Corp.* 70,999 563 Ciphergen Biosystem, Inc.* 1,036 778 Cubist Pharmaceuticals, Inc.* 16,836 689 CV Therapeutics, Inc.* 16,956 859 Dendreon Corp.* 4,338 823 Discovery Laboratories, Inc.* 6,543 834 Diversa Corp.* 4,495 857 Enzo Biochem, Inc.* 11,175 1,101 Enzon Pharmaceuticals, Inc.* 8,015 1,389 Exelixis, Inc.* 14,973 6,651 Genentech, Inc.* 571,454 670 Gen-Probe Inc.* 33,788 1,542 Genta Inc.* 4,040 3,725 Genzyme Corp.* 264,252 647 Geron Corp.* 4,962 6,509 Gilead Sciences, Inc.* 396,203 2,167 Human Genome Sciences, Inc.* 23,837 832 ICOS Corp.* 20,675 970 ImClone Systems, Inc.* 34,949 974 Immunomedics, Inc.* 3,117 1,404 Incyte Corp.* 7,146 713 InterMune Inc.* 14,424 771 Invitrogen Corp.* 53,106 1,222 Lexicon Genetics Inc.* 4,888 532 Martek Biosciences Corp.* 15,322 </Table> SEE NOTES TO FINANCIAL STATEMENTS 10 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 677 Maxygen Inc.* $ 5,585 1,513 Medarex, Inc.* 21,152 736 Medicines Company (The)* 14,168 3,568 MedImmune, Inc.* 121,740 1,174 MGI Pharma, Inc.* 19,571 4,494 Millennium Pharmaceuticals, Inc.* 46,468 726 Millipore Corp.* 49,934 527 Myriad Genetics, Inc.* 11,299 899 Nabi Biopharmaceuticals* 3,389 533 Neurocrine Biosciences, Inc.* 32,390 862 NPS Pharmaceuticals, Inc.* 12,240 569 Onyx Pharmaceuticals, Inc.* 15,983 805 OSI Pharmaceuticals Inc.* 22,669 1,553 PDL Biopharrma Inc.* 45,270 1,018 Regeneron Pharmaceuticals, Inc.* 15,504 864 SciClone Pharmaceuticals, Inc.* 1,970 690 SuperGen, Inc.* 3,519 396 Tanox, Inc.* 7,148 486 Techne Corp.* 27,629 700 Telik, Inc.* 13,433 456 Trimeris, Inc.* 5,727 1,333 Vertex Pharmaceuticals Inc.* 47,615 1,595 XOMA Ltd.* 2,648 660 ZymoGenetics, Inc.* 14,725 -------------- 4,182,281 -------------- BROADCASTING (0.3%) 430 Citadel Broadcasting Corp. 5,289 7,068 Clear Channel Communications, Inc. 206,880 966 Cox Radio, Inc. (Class A)* 13,621 1,046 Cumulus Media, Inc. (Class A)* 13,818 521 Emmis Communications Corp. (Class A)* 9,269 644 Entercom Communications Corp.* 19,442 904 Entravision Communications Corp. (Class A)* 6,418 168 Fisher Communications, Inc.* 7,212 855 Gray Television, Inc. $ 7,575 502 Hearst-Argyle Television, Inc. 11,988 269 Liberty (Corp.) (The) 12,740 567 Lin TV Corp. (Class A)* 5,800 938 Live Nation Inc. 16,650 1,445 Radio One, Inc. (Class A)* 15,722 350 Salem Communications Corp.* 5,369 1,191 Sinclair Broadcast Group, Inc. (Class A)* 9,480 17,180 Sirius Satellite Radio Inc.* 97,411 721 Spanish Broadcasting System, Inc. (Class A)* 4,081 3,567 Univision Communications, Inc. (Class A)* 113,573 1,349 Westwood One, Inc. 20,222 3,171 XM Satellite Radio Holdings Inc. (Class A)* 83,017 -------------- 685,577 -------------- BUILDING PRODUCTS (0.2%) 2,516 American Standard Companies, Inc. 90,576 577 Griffon Corp.* 13,617 781 Lennox International Inc. 24,953 6,273 Masco Corp. 185,994 661 Simpson Manufacturing Co., Inc. 25,574 345 Watsco, Inc. 24,405 -------------- 365,119 -------------- CABLE/SATELLITE TV (0.8%) 2,568 Cablevision Systems New York Group (Class A)* 63,173 5,974 Charter Communications, Inc. (Class A)* 7,109 29,572 Comcast Corp. (Class A)* 822,693 13,125 DIRECTV Group, Inc. (The)* 181,519 3,102 EchoStar Communications Corp. (Class A)* 85,615 6,799 Liberty Global Inc. (Class A)* 145,499 40,182 Liberty Media Corp. (Class A)* 335,922 </Table> SEE NOTES TO FINANCIAL STATEMENTS 11 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 1,011 Mediacom Communications Corp.* $ 6,076 -------------- 1,647,606 -------------- CASINO/GAMING (0.4%) 1,124 Alliance Gaming Corp.* 17,096 434 Ameristar Casinos, Inc. 9,761 569 Aztar Corp.* 17,559 676 Boyd Gaming Corp. 30,555 258 Churchill Downs Inc. 10,305 1,729 GTECH Holdings Corp. 57,783 2,664 Harrah's Entertainment, Inc. 196,070 4,893 International Game Technology 175,072 272 Isle of Capri Casinos, Inc.* 7,738 357 Kerzner International Ltd. (Bahamas)* 23,291 1,848 Las Vegas Sands Corp.* 94,895 1,758 MGM Mirage* 65,151 512 Multimedia Games, Inc.* 4,864 912 Penn National Gaming, Inc.* 29,275 730 Shuffle Master, Inc.* 18,542 707 Station Casinos, Inc. 47,263 933 Wynn Resorts, Ltd.* 60,253 -------------- 865,473 -------------- CATALOG/SPECIALTY DISTRIBUTION (0.0%) 902 Insight Enterprises, Inc.* 18,861 701 Valuevision Media Inc. (Class A)* 8,587 -------------- 27,448 -------------- CHEMICALS: AGRICULTURAL (0.2%) 3,831 Monsanto Co. 324,141 657 Scotts Miracle - Gro Company (The) (Class A) 32,522 1,810 The Mosaic Company* 27,983 -------------- 384,646 -------------- CHEMICALS: MAJOR DIVERSIFIED (0.7%) 797 Cabot Corp. 31,258 13,845 Dow Chemical Co. (The) 585,644 14,290 Du Pont (E.I.) de Nemours & Co. 559,454 1,134 Eastman Chemical Co. $ 54,670 1,720 Engelhard Corp. 69,316 1,655 Hercules Inc.* 19,380 2,058 Rohm & Haas Co. 104,752 -------------- 1,424,474 -------------- CHEMICALS: SPECIALTY (0.4%) 2,980 Air Products & Chemicals, Inc. 183,836 947 Airgas, Inc. 36,724 490 Albemarle Corp. 21,447 439 Arch Chemicals, Inc. 13,609 1,067 Ashland Inc.* 70,337 669 Cambrex Corp. 14,792 3,417 Chemtura Corp. 42,952 538 Cytec Industries, Inc. 26,685 505 FMC Corp. 28,492 689 Georgia Gulf Corp. 23,564 114 Kronos Worldwide, Inc. 3,580 999 Lubrizol Corp. (The) 45,694 3,130 Lyondell Chemical Co. 75,151 133 NL Industries, Inc. 1,792 554 OM Group, Inc.* 11,917 1,784 Polyone Corp.* 12,773 4,665 Praxair, Inc. 245,752 576 Schulman (A.), Inc. 14,198 721 Sensient Technologies Corp. 13,670 764 Sigma-Aldrich Corp. 49,568 214 Valhi, Inc. 3,931 -------------- 940,464 -------------- COAL (0.2%) 834 Arch Coal, Inc. 72,324 1,266 CONSOL Energy, Inc. 92,291 1,111 Massey Energy Co. 45,829 1,814 Peabody Energy Corp. 180,511 -------------- 390,955 -------------- COMMERCIAL PRINTING/FORMS (0.1%) 409 Banta Corp. 20,908 659 Bowne & Co., Inc. 9,925 721 Deluxe Corp. 19,308 3,091 Donnelley (R.R.) & Sons Co. 100,767 </Table> SEE NOTES TO FINANCIAL STATEMENTS 12 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 447 Harland (John H.) Co. $ 16,687 552 Standard Register Co. 10,019 -------------- 177,614 -------------- COMPUTER COMMUNICATIONS (1.1%) 7,227 3Com Corp.* 33,027 3,081 Adaptec, Inc.* 16,760 6,459 Avaya Inc.* 68,142 909 Avocent Corp.* 30,242 4,992 Brocade Communications Systems, Inc.* 22,963 94,462 Cisco Systems, Inc.* 1,754,159 528 Echelon Corp.* 4,699 1,187 Emulex Corp.* 21,781 609 Enterasys Networks Inc.* 8,319 2,962 Extreme Networks, Inc.* 14,514 526 F5 Networks, Inc.* 34,032 901 FalconStor Software, Inc.* 8,019 4,152 Finisar Corp.* 11,210 1,913 Foundry Networks, Inc.* 28,752 539 Ixia* 6,791 7,818 Juniper Networks, Inc.* 141,740 2,550 McDATA Corp. (Class A)* 10,889 2,040 MRV Communications, Inc.* 5,222 552 NETGEAR, Inc.* 10,002 1,263 QLogic Corp.* 50,103 -------------- 2,281,366 -------------- COMPUTER PERIPHERALS (0.5%) 1,023 Advanced Digital Information Corp.* 10,240 608 Avid Technology, Inc.* 30,199 809 Dot Hill Systems Corp.* 6,148 768 Electronics for Imaging, Inc.* 21,235 34,296 EMC Corp.* 459,566 453 Imation Corp. 20,534 1,703 Lexmark International, Inc. (Class A)* 82,715 3,548 Maxtor Corp.* 32,642 5,253 Network Appliance, Inc.* 163,894 3,304 Quantum Corp. - DLT & Storage Systems* 11,729 257 SafeNet, Inc.* 8,075 5,446 Seagate Technology (ADR) (Cayman Islands) $ 142,032 6,106 Seagate Technology (Escrow) (a)* 0 417 Sonic Solutions* 6,985 3,006 Western Digital Corp.* 65,711 1,016 Zebra Technologies Corp. (Class A)* 45,750 -------------- 1,107,455 -------------- COMPUTER PROCESSING HARDWARE (1.6%) 11,973 Apple Computer, Inc.* 904,081 1,353 Cray, Inc.* 3,044 31,405 Dell, Inc.* 920,481 4,168 Gateway, Inc.* 11,337 41,100 Hewlett-Packard Co. 1,281,498 2,734 NCR Corp.* 101,568 619 Palm, Inc.* 24,438 48,861 Sun Microsystems, Inc.* 219,875 -------------- 3,466,322 -------------- CONSTRUCTION MATERIALS (0.2%) 553 AMCOL International Corp. 14,920 195 Eagle Materials Inc. 31,764 381 ElkCorp. 13,400 746 Florida Rock Industries, Inc. 40,329 428 Lafarge North America, Inc. 26,373 687 Martin Marietta Materials, Inc. 58,244 412 Texas Industries, Inc. 22,170 392 Trex Co., Inc.* 9,792 472 USG Corp.* 44,934 1,296 Vulcan Materials Co. 93,156 -------------- 355,082 -------------- CONSUMER SUNDRIES (0.0%) 1,133 American Greetings Corp. (Class A) 23,125 597 Blyth Industries, Inc. 12,955 351 Central Garden & Pet Co.* 17,403 507 Oakley, Inc. 7,935 896 Yankee Candle Co., Inc. (The) 22,490 -------------- 83,908 -------------- </Table> SEE NOTES TO FINANCIAL STATEMENTS 13 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- CONTAINERS/PACKAGING (0.3%) 466 Aptargroup, Inc. $ 26,301 1,496 Ball Corp. 60,588 1,566 Bemis Company, Inc. 47,794 543 Caraustar Industries, Inc.* 5,908 2,445 Crown Holdings, Inc.* 45,746 240 Greif, Inc. 15,629 644 Myers Industries, Inc. 9,660 2,107 Owens-Illinois, Inc.* 46,333 1,101 Packaging Corp. of America 25,543 2,055 Pactiv Corp.* 45,703 681 Rock-Tenn Co. (Class A) 9,520 1,226 Sealed Air Corp.* 67,761 370 Silgan Holdings, Inc. 14,008 3,719 Smurfit-Stone Container Corp.* 47,566 1,416 Sonoco Products Co. 43,854 1,642 Temple-Inland Inc. 77,010 -------------- 588,924 -------------- CONTRACT DRILLING (0.7%) 892 Diamond Offshore Drilling, Inc. 75,704 2,177 ENSCO International Inc. 111,288 3,226 GlobalSantaFe Corp. 196,947 2,738 Grey Wolf, Inc.* 24,094 644 Helmerich & Payne, Inc. 50,464 2,215 Nabors Industries, Ltd. (Bermuda)* 179,969 1,836 Noble Corp. (Cayman Islands) 147,688 2,429 Patterson-UTI Energy, Inc. 91,379 2,268 Pride International, Inc.* 80,083 1,562 Rowan Companies, Inc. 70,024 869 Todco (Class A) 38,757 4,701 Transocean Inc. (Cayman Islands)* 381,486 -------------- 1,447,883 -------------- DATA PROCESSING SERVICES (0.9%) 1,073 Acxiom Corp. 25,397 1,712 Affiliated Computer Services, Inc. (Class A)* 107,171 997 Alliance Data Systems Corp.* $ 42,123 8,272 Automatic Data Processing, Inc. 363,472 1,723 BISYS Group, Inc. (The)* 24,966 2,177 Ceridian Corp.* 53,728 873 Certegy Inc. 37,932 1,019 CheckFree Corp.* 52,805 2,651 Computer Sciences Corp.* 134,406 2,074 Convergys Corp.* 35,673 787 CSG Systems International, Inc.* 17,920 884 DST Systems, Inc.* 50,087 914 eFunds Corp.* 21,552 10,961 First Data Corp. 494,341 2,769 Fiserv, Inc.* 121,781 1,109 Global Payments Inc. 56,481 643 Hewitt Associates, Inc.* 17,168 319 iPayment Holdings, Inc.* 13,283 4,835 Paychex, Inc. 175,752 672 Total System Services, Inc. 13,191 792 Tyler Technologies, Inc.* 6,890 -------------- 1,866,119 -------------- DEPARTMENT STORES (0.3%) 981 Dillard's, Inc. (Class A) 25,408 3,783 Federated Department Stores, Inc. 252,061 4,410 Kohl's Corp.* 195,760 3,159 Penney (J.C.) Co., Inc. 176,272 1,805 Saks, Inc.* 34,854 -------------- 684,355 -------------- DISCOUNT STORES (1.4%) 786 99 Cents Only Stores* 8,206 1,855 Big Lots, Inc.* 24,801 999 BJ's Wholesale Club, Inc.* 32,108 6,757 Costco Wholesale Corp. 337,107 4,266 Dollar General Corp. 72,095 1,597 Dollar Tree Stores, Inc.* 39,590 2,304 Family Dollar Stores, Inc. 55,181 628 Fred's, Inc. 9,973 1,346 Sears Holdings Corp.* 163,458 </Table> SEE NOTES TO FINANCIAL STATEMENTS 14 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 11,510 Target Corp. $ 630,173 37,052 Wal-Mart Stores, Inc. 1,708,468 -------------- 3,081,160 -------------- DRUGSTORE CHAINS (0.5%) 11,621 CVS Corp. 322,599 591 Longs Drug Stores Corp. 20,679 6,389 Rite Aid Corp.* 22,937 14,667 Walgreen Co. 634,788 -------------- 1,001,003 -------------- ELECTRIC UTILITIES (2.8%) 9,307 AES Corp. (The)* 158,591 2,318 Allegheny Energy, Inc.* 80,643 425 Allete Inc. 18,823 1,667 Alliant Energy, Inc. 49,443 2,754 Ameren Corp. 139,793 5,520 American Electric Power Co., Inc. 206,006 3,762 Aquila, Inc.* 13,731 796 Avista Corp. 15,212 533 Black Hills Corp. 18,975 3,980 CenterPoint Energy, Inc. 50,864 308 CH Energy Group, Inc. 14,445 2,601 Cinergy Corp. 113,013 812 Cleco Corp. 17,807 3,007 CMS Energy Corp.* 43,511 3,480 Consolidated Edison, Inc. 163,595 2,568 Constellation Energy Group, Inc. 149,637 4,886 Dominion Resources, Inc. 369,040 1,758 DPL, Inc. 45,075 2,541 DTE Energy Co. 107,230 12,559 Duke Energy Corp. 356,048 1,259 Duquesne Light Holdings Co. 22,637 4,293 Edison International 188,119 822 El Paso Electric Co.* 16,835 445 Empire District Electric Co. (The) 9,901 2,158 Energy East Corp. 53,626 2,977 Entergy Corp. 206,931 9,608 Exelon Corp. 551,691 4,732 FirstEnergy Corp. 237,073 5,193 FPL Group, Inc. $ 217,015 1,068 Great Plains Energy Inc. 30,470 1,153 Hawaiian Electric Industries, Inc. 30,243 720 IDACORP, Inc. 22,795 350 MGE Energy Inc. 12,079 2,078 Northeast Utilities 41,311 1,531 NSTAR 44,001 1,318 OGE Energy Corp. 35,784 422 Otter Tail Power Co. 12,913 2,704 Pepco Holdings, Inc. 62,219 5,309 PG&E Corp. 198,079 1,428 Pinnacle West Capital Corp. 60,847 980 PNM Resources Inc. 24,079 5,453 PPL Corp. 164,299 3,652 Progress Energy, Inc. 159,300 3,419 Public Service Enterprise Group, Inc. 238,031 1,663 Puget Energy, Inc. 35,073 4,371 Reliant Energy, Inc.* 44,235 1,497 SCANA Corp. 60,134 1,683 Sierra Pacific Resources* 22,216 10,656 Southern Co. (The) 370,829 2,925 TECO Energy, Inc. 49,959 6,506 TXU Corp. 329,464 228 UIL Holdings Corp. 11,022 655 UniSource Energy Corp. 20,259 1,227 Westar Energy, Inc. 25,276 1,678 Wisconsin Energy Corp. 69,654 634 WPS Resources Corp. 35,555 5,751 Xcel Energy, Inc. 111,684 -------------- 5,957,120 -------------- ELECTRICAL PRODUCTS (0.5%) 700 Acuity Brands, Inc. 26,523 2,624 American Power Conversion Corp. 62,189 527 Baldor Electric Co. 15,747 933 Belden CDT Inc. 25,284 499 C&D Technologies, Inc. 4,142 1,288 Cooper Industries Ltd. (Class A) (Bermuda) 105,165 </Table> SEE NOTES TO FINANCIAL STATEMENTS 15 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 5,893 Emerson Electric Co. $ 456,413 1,036 Energizer Holdings, Inc.* 56,058 507 Energy Conversion Devices, Inc.* 25,533 273 Franklin Electric Co., Inc. 12,285 399 Genlyte Group Inc. (The)* 23,078 366 Greatbatch, Inc.* 9,531 844 Hubbell, Inc. (Class B)* 37,938 426 Littelfuse, Inc.* 12,588 1,919 Molex Inc. 58,050 1,998 Power-One, Inc.* 12,068 634 Spectrum Brands, Inc.* 11,989 864 Thomas & Betts Corp.* 38,578 -------------- 993,159 -------------- ELECTRONIC COMPONENTS (0.3%) 1,283 Amphenol Corp. (Class A) 65,215 928 AVX Corp. 15,423 724 Benchmark Electronics, Inc.* 26,448 1,089 Cree, Inc.* 28,456 675 CTS Corp. 8,309 428 Hutchinson Technology Inc.* 11,847 2,538 Jabil Circuit, Inc.* 102,535 1,686 Kemet Corp.* 15,477 1,357 Kopin Corp.* 6,459 2,034 MEMC Electronic Materials, Inc.* 58,132 696 Methode Electronics, Inc. 8,561 1,020 OmniVision Technologies, Inc.* 25,735 386 Park Electrochemical Corp. 10,916 830 Plexus Corp.* 23,497 2,653 SanDisk Corp.* 178,706 7,476 Sanmina-SCI Corp.* 31,474 14,245 Solectron Corp.* 54,416 1,264 Superconductor Technologies Inc.* 758 607 Technitrol, Inc. 12,359 783 TTM Technologies, Inc.* 8,143 307 Vicor Corp. 5,204 2,420 Vishay Intertechnology, Inc.* 38,309 -------------- 736,379 -------------- ELECTRONIC DISTRIBUTORS (0.1%) 519 Anixter International, Inc. $ 24,025 1,690 Arrow Electronics, Inc.* 58,068 1,767 Avnet, Inc.* 43,203 852 CDW Corp. 47,712 1,837 Ingram Micro Inc. (Class A)* 35,546 2,328 Safeguard Scientifics, Inc.* 4,959 239 ScanSource, Inc.* 14,056 850 Tech Data Corp.* 35,046 -------------- 262,615 -------------- ELECTRONIC EQUIPMENT/ INSTRUMENTS (0.5%) 5,854 Agilent Technologies, Inc.* 198,509 640 Checkpoint Systems, Inc.* 17,261 588 Coherent, Inc.* 18,204 1,029 Diebold, Inc. 40,244 375 Dionex Corp.* 19,886 267 DTS, Inc.* 4,470 1,680 Identix Inc.* 13,423 682 Intermec Inc. 23,781 400 Itron, Inc.* 19,148 20,304 JDS Uniphase Corp.* 63,552 508 Kronos, Inc.* 19,964 1,479 Lexar Media, Inc.* 11,492 413 Mercury Computer Systems, Inc.* 7,996 757 National Instruments Corp. 25,049 1,105 Newport Corp.* 18,752 762 Paxar Corp.* 15,408 2,296 Rockwell Automation, Inc. 151,697 2,166 Scientific-Atlanta, Inc. 92,618 525 SeaChange International, Inc.* 4,368 3,555 Symbol Technologies, Inc. 43,904 1,212 Tektronix, Inc. 35,754 2,302 Thermo Electron Corp.* 77,439 13,680 Xerox Corp.* 195,761 -------------- 1,118,680 -------------- </Table> SEE NOTES TO FINANCIAL STATEMENTS 16 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- ELECTRONIC PRODUCTION EQUIPMENT (0.6%) 630 Advanced Energy Industries, Inc.* $ 9,884 1,502 Amkor Technology, Inc.* 8,456 23,276 Applied Materials, Inc. 443,408 766 Asyst Technologies, Inc.* 5,485 560 ATMI, Inc.* 18,816 1,931 Axcelis Technologies, Inc.* 12,204 1,290 Brooks Automation Inc.* 21,749 3,921 Cadence Design Systems, Inc.* 69,245 685 Cognex Corp. 19,988 414 Cohu, Inc. 11,737 1,232 Credence Systems Corp.* 10,780 699 Cymer, Inc.* 31,553 544 Electro Scientific Industries, Inc.* 13,856 1,787 Entegris Inc.* 18,764 427 FEI Co.* 9,855 477 FormFactor Inc.* 14,224 2,789 KLA-Tencor Corp. 144,972 977 Kulicke & Soffa Industries, Inc.* 10,933 1,951 Lam Research Corp.* 90,585 967 LTX Corp.* 5,251 878 Mattson Technology, Inc.* 11,414 1,557 Mentor Graphics Corp.* 17,127 588 MKS Instruments, Inc.* 12,789 2,058 Novellus Systems, Inc.* 58,344 316 Photon Dynamics, Inc.* 6,924 525 Photronics, Inc.* 9,471 2,127 Synopsys, Inc.* 47,028 2,844 Teradyne, Inc.* 49,542 736 Tessera Technologies, Inc.* 23,758 446 Ultratech Stepper, Inc.* 8,563 522 Varian Semiconductor Equipment Associates, Inc.* 25,855 670 Veeco Instruments, Inc.* 14,573 -------------- 1,257,133 -------------- ELECTRONICS/APPLIANCE STORES (0.2%) 5,702 Best Buy Co., Inc. $ 288,863 683 Blockbuster, Inc. (Class A) 2,821 2,613 Circuit City Stores - Circuit City Group 65,874 658 Movie Gallery, Inc. 3,586 1,967 RadioShack Corp. 43,667 -------------- 404,811 -------------- ELECTRONICS/APPLIANCES (0.1%) 4,112 Eastman Kodak Co. 103,211 881 Harman International Industries, Inc. 96,910 551 Helen of Troy Ltd.* 10,557 1,183 Maytag Corp. 20,371 916 Whirlpool Corp. 73,903 -------------- 304,952 -------------- ENGINEERING & CONSTRUCTION (0.2%) 931 Dycom Industries, Inc.* 22,958 242 EMCOR Group, Inc.* 19,849 1,268 Fluor Corp. 111,521 600 Foster Wheeler Ltd. (Bermuda) 29,550 531 Granite Construction Inc. 21,495 516 Insituform Technologies, Inc. (Class A)* 13,112 824 Jacobs Engineering Group, Inc.* 68,697 1,631 Quanta Services, Inc.* 22,589 1,037 Shaw Group Inc. (The)* 36,938 636 URS Corp.* 27,208 -------------- 373,917 -------------- ENVIRONMENTAL SERVICES (0.2%) 3,052 Allied Waste Industries, Inc.* 27,743 1,575 Newpark Resources, Inc.* 14,317 1,738 Republic Services, Inc. 65,783 1,043 Tetra Tech, Inc.* 17,470 665 Waste Connections, Inc.* 23,235 7,916 Waste Management, Inc. 249,987 -------------- 398,535 -------------- </Table> SEE NOTES TO FINANCIAL STATEMENTS 17 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- FINANCE/RENTAL/LEASING (1.4%) 144 Amerco* $ 11,668 2,001 AmeriCredit Corp.* 57,549 124 Bay View Capital Corp. 2,182 4,211 Capital One Financial Corp. 350,776 1,510 CapitalSource, Inc. 33,160 504 Cash American International, Inc. 13,351 806 CharterMac L.P. 17,772 3,005 CIT Group, Inc. 160,287 299 CompuCredit Corp.* 12,008 8,530 Countrywide Financial Corp. 285,243 483 Dollar Thrifty Automotive Group, Inc.* 18,320 1,678 Doral Financial Corp. (Puerto Rico) 18,240 13,885 Fannie Mae 804,497 362 Financial Federal Corp. 16,200 9,907 Freddie Mac 672,289 959 Fremont General Corp. 23,496 601 GATX Corp. 23,866 880 IndyMac Bancorp, Inc. 35,957 506 NCO Group, Inc.* 8,617 1,307 Ocwen Financial Corp.* 13,161 700 PHH Corp. 20,167 939 Ryder System, Inc. 41,973 5,987 SLM Corp. 335,033 71 Student Loan Corp. (The) 15,549 947 United Rentals, Inc.* 27,757 117 WFS Financial Inc.* 9,302 -------------- 3,028,420 -------------- FINANCIAL CONGLOMERATES (3.6%) 15,841 American Express Co. 830,860 74,628 Citigroup, Inc. 3,476,172 2,208 Conseco Inc.* 53,809 524 Euronet Services, Inc.* 16,909 50,478 JPMorgan Chase & Co. 2,006,501 1,182 Leucadia National Corp. 62,020 468 National Financial Partners Corp. 25,043 4,019 Principal Financial Group, Inc. 189,536 7,484 Prudential Financial, Inc. 563,845 4,704 State Street Corp. $ 284,404 25 Wesco Financial Corp. 9,689 -------------- 7,518,788 -------------- FINANCIAL PUBLISHING/ SERVICES (0.3%) 365 Advent Software, Inc.* 9,584 949 Dun & Bradstreet Corp.* 68,594 1,897 Equifax, Inc. 72,693 553 FactSet Research Systems Inc. 22,054 632 Interactive Data Corp. 14,245 5,374 McGraw-Hill Companies, Inc. (The) 274,289 3,603 Moody's Corp. 228,142 959 SEI Investments Co. 39,559 21 Value Line, Inc. 730 -------------- 729,890 -------------- FOOD DISTRIBUTORS (0.1%) 583 Performance Food Group Co.* 16,073 8,899 SYSCO Corp. 273,021 539 United Natural Foods, Inc.* 17,426 -------------- 306,520 -------------- FOOD RETAIL (0.3%) 4,942 Albertson's, Inc. 124,291 771 Casey's General Stores, Inc. 19,622 10,455 Kroger Co.* 192,372 624 Ruddick Corp. 14,421 6,402 Safeway Inc. 150,063 1,938 Supervalu, Inc. 61,880 137 Weis Markets, Inc. 5,747 1,782 Whole Foods Market, Inc. 131,636 584 Wild Oats Markets, Inc.* 7,061 -------------- 707,093 -------------- FOOD: MAJOR DIVERSIFIED (1.2%) 3,664 Campbell Soup Co. 109,664 7,444 ConAgra Foods Inc. 154,314 2,859 Del Monte Foods Co.* 30,563 5,097 General Mills, Inc. 247,765 5,022 Heinz (H.J.) Co. 170,447 3,351 Kellogg Co. 143,758 3,699 Kraft Foods Inc. (Class A) 108,899 23,828 PepsiCo, Inc. 1,362,485 </Table> SEE NOTES TO FINANCIAL STATEMENTS 18 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 11,323 Sara Lee Corp. $ 206,984 525 TreeHouse Foods, Inc.* 10,316 -------------- 2,545,195 -------------- FOOD: MEAT/FISH/DAIRY (0.1%) 2,118 Dean Foods Co.* 80,336 1,088 Hormel Foods Corp. 36,481 537 Pilgrim's Pride Corp. (Class B) 13,071 379 Sanderson Farms, Inc. 10,612 1,276 Smithfield Foods, Inc.* 34,248 3,462 Tyson Foods, Inc. (Class A) 49,610 -------------- 224,358 -------------- FOOD: SPECIALTY/CANDY (0.2%) 340 American Italian Pasta Co. (Class A) 1,241 779 Chiquita Brands International, Inc. 14,108 104 Farmer Brothers Co. 2,165 807 Flowers Foods Inc. 22,201 448 Fresh Del Monte Produce, Inc. 10,300 490 Hain Celestial Group, Inc.* 11,422 2,414 Hershey Co. (The) 123,597 454 Lancaster Colony Corp. 18,827 567 Lance, Inc. 12,281 1,714 McCormick & Co., Inc. (Non-Voting) 51,780 995 NBTY, Inc.* 20,587 543 Ralcorp Holdings, Inc.* 21,340 806 Smucker (J.M.) Co. 35,061 430 Tootsie Roll Industries, Inc. 12,492 795 Topps Co., Inc. (The) 6,153 1,979 Wrigley (Wm.) Jr. Co. 126,577 -------------- 490,132 -------------- FOREST PRODUCTS (0.1%) 1,501 Louisiana-Pacific Corp. 44,204 346 Universal Forest Products, Inc. 19,815 3,447 Weyerhaeuser Co. 240,463 -------------- 304,482 -------------- GAS DISTRIBUTORS (0.5%) 1,069 AGL Resources, Inc. $ 38,249 1,187 Atmos Energy Corp. 31,194 4,638 Dynegy, Inc. (Class A)* 25,509 927 Energen Corp. 36,172 1,651 Equitable Resources, Inc. 60,922 2,435 KeySpan Corp. 87,465 372 Laclede Group, Inc. (The) 12,135 1,592 MDU Resources Group, Inc. 57,630 1,158 National Fuel Gas Co. 38,098 531 New Jersey Resources Corp. 24,134 632 Nicor Inc. 25,849 3,882 NiSource, Inc. 79,697 502 Northwest Natural Gas Co. 17,866 1,308 ONEOK, Inc. 36,964 679 Peoples Energy Corp. 25,272 1,033 Piedmont Natural Gas Co., Inc. 25,050 1,187 Questar Corp. 96,717 3,199 Sempra Energy 153,711 490 South Jersey Industries, Inc. 14,406 1,512 Southern Union Co.* 38,102 642 Southwest Gas Corp. 17,751 1,488 UGI Corp. 31,947 1,113 Vectren Corp. 30,452 698 WGL Holdings Inc. 21,764 -------------- 1,027,056 -------------- HOME BUILDING (0.5%) 573 Beazer Homes USA Inc. 41,737 219 Brookfield Homes Corp. 11,311 132 Cavco Industries, Inc.* 5,597 1,813 Centex Corp. 129,430 1,119 Champion Enterprises, Inc.* 15,341 3,920 D.R. Horton, Inc. 146,294 502 Hovnanian Enterprises, Inc.* 24,307 1,065 KB Home 81,153 1,929 Lennar Corp. (Class A) 120,678 291 Levitt Corp. (Class A) 7,106 472 M.D.C. Holdings, Inc. 29,948 188 M/I Homes, Inc. 7,494 360 Meritage Homes Corp.* 21,780 </Table> SEE NOTES TO FINANCIAL STATEMENTS 19 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 84 NVR, Inc.* $ 66,717 446 Palm Harbor Homes, Inc.* 9,455 3,046 Pulte Homes, Inc. 121,535 694 Ryland Group, Inc. (The) 50,218 974 Standard Pacific Corp. 37,889 261 Technical Olympic USA, Inc. 5,925 1,558 Toll Brothers, Inc.* 52,972 632 WCI Communities, Inc.* 17,405 77 William Lyon Homes, Inc.* 7,909 -------------- 1,012,201 -------------- HOME FURNISHINGS (0.2%) 631 Ethan Allen Interiors, Inc. 26,824 816 Furniture Brands International, Inc. 19,633 639 Jarden Corp.* 15,745 864 La-Z-Boy, Inc. 14,118 2,796 Leggett & Platt, Inc. 68,838 265 Libbey, Inc. 2,899 790 Mohawk Industries, Inc.* 67,182 3,949 Newell Rubbermaid, Inc. 93,354 646 Select Comfort Corp.* 17,830 -------------- 326,423 -------------- HOME IMPROVEMENT CHAINS (1.0%) 1,990 Fastenal Co. 75,919 30,791 Home Depot, Inc. (The) 1,248,575 10,065 Lowe's Companies, Inc. 639,631 1,639 Sherwin-Williams Co. 86,703 -------------- 2,050,828 -------------- HOSPITAL/NURSING MANAGEMENT (0.3%) 475 Amsurg Corp.* 10,303 1,610 Beverly Enterprises, Inc.* 19,658 1,276 Community Health Systems Inc.* 46,434 6,081 HCA, Inc. 298,455 3,389 Health Management Associates, Inc. (Class A) 71,237 751 LifePoint Hospitals, Inc.* 23,168 1,130 Manor Care, Inc. 44,183 600 Psychiatric Solutions, Inc. $ 19,794 732 Sunrise Senior Living, Inc.* 26,608 6,718 Tenet Healthcare Corp.* 48,840 1,226 Triad Hospitals, Inc.* 50,340 581 United Surgical Partners International Inc.* 22,520 748 Universal Health Services, Inc. (Class B) 35,537 -------------- 717,077 -------------- HOTELS/RESORTS/CRUISELINES (0.5%) 6,132 Carnival Corp. (Panama) 317,392 511 Choice Hotels International, Inc. 24,288 567 Gaylord Entertainment Co.* 24,381 5,186 Hilton Hotels Corp. 129,287 576 Marcus Corp. (The) 13,864 2,677 Marriott International, Inc. (Class A) 178,395 1,975 Royal Caribbean Cruises Ltd. (Liberia) 80,778 3,177 Starwood Hotels & Resorts Worldwide, Inc. 193,193 542 Vail Resorts, Inc.* 16,471 -------------- 978,049 -------------- HOUSEHOLD/PERSONAL CARE (2.0%) 1,200 Alberto-Culver Co. 53,160 6,576 Avon Products, Inc. 186,232 930 Church & Dwight Co., Inc. 34,224 2,158 Clorox Co. (The) 129,156 7,432 Colgate-Palmolive Co. 407,942 1,925 Estee Lauder Companies, Inc. (The) (Class A) 70,205 1,274 International Flavors & Fragrances, Inc. 41,991 6,702 Kimberly-Clark Corp. 382,818 911 Nu Skin Enterprises, Inc. (Class A) 17,728 </Table> SEE NOTES TO FINANCIAL STATEMENTS 20 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 523 Playtex Products, Inc.* $ 7,019 49,025 Procter & Gamble Co. (The) 2,903,751 -------------- 4,234,226 -------------- INDUSTRIAL CONGLOMERATES (3.9%) 10,124 3M Co. 736,521 3,686 Danaher Corp. 208,775 152,148 General Electric Co.** 4,982,847 11,057 Honeywell International, Inc. 424,810 4,746 Ingersoll-Rand Co. Ltd. (Class A) (Bermuda) 186,375 1,252 ITT Industries, Inc. 128,330 1,115 SPX Corp. 53,197 1,575 Textron, Inc. 133,025 25,000 Tyco International Ltd. (Bermuda) 651,250 13,560 United Technologies Corp. 791,497 489 Walter Industries, Inc. 30,929 -------------- 8,327,556 -------------- INDUSTRIAL MACHINERY (0.4%) 358 Actuant Corp. (Class A) 20,495 793 Flowserve Corp.* 36,462 769 FuelCell Energy, Inc.* 8,313 1,011 Graco Inc. 40,622 668 IDEX Corp. 30,728 3,598 Illinois Tool Works Inc. 303,275 534 Kennametal Inc. 31,239 518 Lincoln Electric Holdings, Inc. 23,056 467 Nordson Corp. 21,211 1,651 Parker Hannifin Corp. 125,096 489 Regal-Beloit Corp. 18,039 1,254 Roper Industries, Inc. 50,599 377 Tecumseh Products Co. (Class A) 9,557 532 Watts Water Technologies, Inc. 17,918 154 Woodward Governor Co. 14,407 -------------- 751,017 -------------- INDUSTRIAL SPECIALTIES (0.3%) 719 Buckeye Technologies Inc.* 6,773 407 Cabot Microelectronics Corp.* 13,516 1,070 Donaldson Co., Inc. $ 36,969 2,714 Ecolab Inc. 97,188 689 Ferro Corp. 13,553 460 Fuller (H.B.) Co. 17,383 1,306 GrafTech International Ltd.* 9,756 543 Headwaters Inc.* 18,734 1,013 KFx Inc.* 20,351 417 MacDermid, Inc. 12,573 478 Mine Safety Appliances Co. 19,039 331 Minerals Technologies, Inc. 18,493 2,433 PPG Industries, Inc. 144,764 315 Rogers Corp.* 14,840 1,664 RPM International, Inc. 31,450 651 Spartech Corp. 15,644 611 Symyx Technologies, Inc.* 16,900 1,383 Valspar Corp. (The) 37,645 325 WD-40 Co. 10,208 -------------- 555,779 -------------- INFORMATION TECHNOLOGY SERVICES (1.4%) 8,220 Accenture Ltd. (Class A) (Bermuda) 259,177 488 Anteon International Corp.* 26,913 2,787 BearingPoint, Inc.* 22,909 288 Black Box Corp. 14,581 413 CACI International Inc. (Class A)* 23,582 1,236 CIBER, Inc.* 7,762 2,471 Citrix Systems, Inc.* 76,206 1,951 Cognizant Technology Solutions Corp. (Class A)* 102,174 7,540 Electronic Data Systems Corp. 189,933 857 Epicor Software Corp.* 11,398 1,094 Henry (Jack) & Associates, Inc. 22,394 454 Intergraph Corp.* 17,347 22,893 International Business Machines Corp. 1,861,201 557 JDA Software Group, Inc.* 8,539 932 Keane, Inc.* 10,094 8,896 Level 3 Communications, Inc.* 33,360 </Table> SEE NOTES TO FINANCIAL STATEMENTS 21 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 320 ManTech International Corp. (Class A)* $ 8,947 543 MICROS Systems, Inc.* 25,059 1,521 Perot Systems Corp. (Class A)* 22,921 639 QAD, Inc. 5,138 927 Reynolds & Reynolds Co. (The) (Class A) 26,327 1,240 RSA Security, Inc.* 19,059 1,318 Sapient Corp.* 8,699 275 SRA International, Inc. (Class A)* 8,734 120 Syntel, Inc. 2,586 4,964 Unisys Corp.* 33,209 282 Verint Systems Inc.* 10,223 1,558 Wind River Systems, Inc.* 20,846 -------------- 2,879,318 -------------- INSURANCE BROKERS/SERVICES (0.3%) 3,761 AON Corp. 128,701 1,641 Brown & Brown, Inc. 47,146 181 CCC Information Services Group, Inc.* 4,791 1,298 ChoicePoint, Inc.* 53,374 948 Crawford & Co. (Class B) 6,143 1,360 Gallagher (Arthur J.) & Co. 39,658 521 Hilb, Rogal & Hobbs Co. 20,256 7,521 Marsh & McLennan Companies, Inc. 228,563 -------------- 528,632 -------------- INTEGRATED OIL (4.4%) 1,209 Amerada Hess Corp. 187,153 32,322 Chevron Corp. 1,919,280 1,191 Cimarex Energy Co.* 54,262 18,196 ConocoPhillips 1,177,281 91,320 Exxon Mobil Corp. 5,730,330 2,458 Murphy Oil Corp. 140,106 -------------- 9,208,412 -------------- INTERNET RETAIL (0.2%) 4,268 Amazon.com, Inc.* 191,292 1,364 Drugstore.com, Inc.* 4,433 736 Gamestop Corp (Class A)* $ 29,668 4,168 IAC/InterActiveCorp* 120,955 436 Netflix Inc.* 12,012 -------------- 358,360 -------------- INTERNET SOFTWARE/SERVICES (1.2%) 1,002 Agile Software Corp.* 6,442 1,968 Akamai Technologies, Inc.* 42,961 1,012 Ariba, Inc.* 9,452 5,654 BEA Systems, Inc.* 58,632 1,827 Borland Software Corp.* 11,857 9,125 CMGI Inc.* 13,688 1,948 CNET Networks, Inc.* 29,259 638 Digital Insight Corp.* 22,885 600 Digital River, Inc.* 20,148 1,146 Digitas Inc.* 15,001 2,116 Earthlink, Inc.* 24,165 2,817 Google, Inc. (Class A)* 1,220,465 282 GSI Commerce, Inc.* 4,757 4,035 Internap Network Services Corp.* 2,058 619 Internet Security Systems, Inc.* 13,197 447 J2 Global Communications, Inc.* 21,344 897 Lionbridge Technologies, Inc.* 6,844 237 MicroStrategy Inc. (Class A)* 22,778 1,137 NIC Inc.* 6,765 1,181 Openwave Systems, Inc.* 25,462 620 Packeteer, Inc.* 8,023 698 Progress Software Corp.* 20,074 1,811 RealNetworks, Inc.* 14,579 1,369 S1 Corp.* 5,709 627 Secure Computing Corp.* 9,129 6,876 Siebel Systems, Inc. 72,954 1,321 SonicWALL, Inc.* 10,885 670 Supportsoft, Inc.* 2,921 1,194 United Online, Inc.* 16,322 3,650 VeriSign, Inc.* 86,688 685 Vignette Corporation* 11,604 </Table> SEE NOTES TO FINANCIAL STATEMENTS 22 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 520 WebEx Communications, Inc.* $ 12,626 1,016 webMethods, Inc.* 7,833 329 Websense, Inc.* 21,691 19,072 Yahoo!, Inc.* 654,932 -------------- 2,534,130 -------------- INVESTMENT BANKS/BROKERS (2.2%) 3,158 Ameriprise Financial, Inc.* 128,499 1,482 Bear Stearns Companies, Inc. (The) 187,414 399 Chicago Mercantile Exchange Holdings, Inc. 168,877 5,298 E*TRADE Group, Inc.* 126,039 1,060 Edwards (A.G.), Inc. 50,424 590 eSPEED, Inc (Class A)* 5,416 5,522 Goldman Sachs Group, Inc. (The) 779,983 589 Investment Technology Group, Inc.* 6,493 721 Jefferies Group, Inc. 39,273 2,213 Knight Capital Group, Inc.* 25,206 1,355 LaBranche & Co., Inc.* 15,515 237 Ladenburg Thalmann Financial Services Inc* 135 1,574 Legg Mason, Inc. 204,148 3,952 Lehman Brothers Holdings Inc. 555,058 12,083 Merrill Lynch & Co., Inc. 907,071 15,080 Morgan Stanley 926,666 868 Nasdaq Stock Market Inc.* 36,378 887 Raymond James Financial, Inc. 37,751 15,173 Schwab (Charles) Corp. (The) 224,409 3,916 TD AmeriTrade Holding Corp. 79,260 802 Tradestation Group Inc.* 14,187 -------------- 4,538,202 -------------- INVESTMENT MANAGERS (0.4%) 422 Affiliated Managers Group, Inc.* 39,161 362 Alliance Capital Management Holding L.P. 21,879 144 BlackRock, Inc. (Class A) $ 19,123 1,952 Eaton Vance Corp. (Non-Voting) 56,257 1,404 Federated Investors, Inc. (Class B) 4,208 2,055 Franklin Resources, Inc. 202,418 971 Investors Financial Services Corp. 45,579 3,324 Janus Capital Group, Inc. 69,438 5,998 Mellon Financial Corp. 211,549 879 Nuveen Investments (Class A) 39,880 1,799 Price (T.) Rowe Group, Inc. 137,498 1,184 Waddell & Reed Financial, Inc. (Class A) 26,380 -------------- 923,370 -------------- INVESTMENT TRUSTS/MUTUAL FUNDS (0.0%) 344 BP Prudhoe Bay Royalty Trust 24,390 28 Cross Timbers Royalty Trust 1,343 326 Hugoton Royalty Trust 12,558 -------------- 38,291 -------------- LIFE/HEALTH INSURANCE (0.7%) 7,213 AFLAC, Inc. 338,650 181 American National Insurance Co. 21,449 573 AmerUs Group Co. 35,165 779 Citizens, Inc.* 4,160 523 Delphi Financial Group, Inc. (Class A) 24,926 222 FBL Financial Group, Inc. (Class A) 7,404 5,470 Genworth Financial Inc. (Class A) 179,197 175 Great American Financial Resources, Inc. 3,999 1,923 Jefferson-Pilot Corp. 112,169 67 Kansas City Life Insurance Co. 3,377 2,476 Lincoln National Corp. 135,016 5,879 MetLife, Inc. 294,891 </Table> SEE NOTES TO FINANCIAL STATEMENTS 23 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 65 National Western Life Insurance Co. (Class A) $ 14,040 1,479 Phoenix Companies Ltd. 22,318 573 Presidential Life Corp. 12,302 922 Protective Life Corp. 41,444 515 Reinsurance Group of America, Inc. 24,978 832 StanCorp Financial Group, Inc. 41,392 1,489 Torchmark Corp. 83,533 533 UICI 19,470 514 Universal American Financial Corp.* 8,466 4,269 UnumProvident Corp. 86,789 -------------- 1,515,135 -------------- MAJOR BANKS (3.8%) 67,475 Bank of America Corp. 2,984,419 11,145 Bank of New York Co., Inc. (The) 354,522 7,780 BB&T Corp. 303,731 2,371 Comerica, Inc. 131,519 3,096 Huntington Bancshares, Inc. 71,827 5,841 KeyCorp 206,713 8,038 National City Corp. 274,739 4,176 PNC Financial Services Group 270,855 3,510 Popular, Inc. 71,288 6,629 Regions Financial Corp. 219,950 5,177 SunTrust Banks, Inc. 369,897 1,244 TD Banknorth, Inc. 36,051 746 UnionBanCal Corp. 50,049 22,285 Wachovia Corp. 1,221,887 23,989 Wells Fargo & Co. 1,495,954 -------------- 8,063,401 -------------- MAJOR TELECOMMUNICATIONS (2.3%) 4,698 ALLTEL Corp. 282,021 56,334 AT&T Inc. 1,461,867 26,278 BellSouth Corp. 756,018 3,950 Cincinnati Bell Inc.* 13,825 1,276 Primus Telecommunications Group, Inc.* 995 42,076 Sprint Nextel Corp. $ 963,120 42,014 Verizon Communications Inc. 1,330,163 -------------- 4,808,009 -------------- MANAGED HEALTH CARE (1.5%) 4,103 Aetna, Inc. 397,170 798 AMERIGROUP Corp.* 17,811 6,452 Caremark Rx, Inc.* 318,084 766 Centene Corp.* 20,138 1,841 CIGNA Corp. 223,866 2,329 Coventry Health Care, Inc.* 138,739 1,642 Health Net Inc.* 81,066 2,307 Humana, Inc.* 128,661 800 Sierra Health Services, Inc.* 31,696 19,550 UnitedHealth Group Inc.* 1,161,661 9,404 WellPoint Inc.* 722,227 -------------- 3,241,119 -------------- MARINE SHIPPING (0.1%) 603 Alexander & Baldwin, Inc. 31,699 627 General Maritime Corp. 23,538 321 Kirby Corp.* 18,018 1,540 OMI Corp. (Class A) 27,042 391 Overseas Shipholding Group, Inc. 20,168 600 Teekay Shipping Corp. 23,304 733 Tidewater, Inc. 42,822 -------------- 186,591 -------------- MEDIA CONGLOMERATES (1.5%) 10,511 CBS Corp. (Class B) 274,652 4,018 Discovery Holding Company (Class A)* 60,913 28,837 Disney (Walt) Co. (The) 729,864 35,339 News Corp. (Class A) 556,943 63,252 Time Warner, Inc. 1,108,808 10,511 Viacon, Inc. (Class B shares) 435,996 -------------- 3,167,176 -------------- MEDICAL DISTRIBUTORS (0.5%) 2,992 AmerisourceBergen Corp. 130,571 6,143 Cardinal Health, Inc. 442,542 1,235 Henry Schein, Inc.* 57,600 4,006 McKesson Corp. 212,318 649 Owens & Minor, Inc. 20,314 </Table> SEE NOTES TO FINANCIAL STATEMENTS 24 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 1,671 Patterson Companies, Inc.* $ 57,700 484 PolyMedica Industries, Inc. 19,224 1,307 PSS World Medical, Inc.* 23,199 -------------- 963,468 -------------- MEDICAL SPECIALTIES (2.3%) 916 Advanced Medical Optics, Inc.* 40,835 1,228 Align Technology, Inc.* 10,045 1,027 American Medical System Holdings, Inc.* 23,272 181 Analogic Corp. 10,046 2,895 Applera Corp. - Applied Biosystems Group 82,044 394 Arrow International, Inc. 12,608 403 ArthroCare Corp.* 18,050 1,492 Bard (C.R.), Inc. 94,623 779 Bausch & Lomb, Inc. 52,621 8,890 Baxter International, Inc. 327,597 862 Beckman Coulter, Inc. 51,332 3,371 Becton, Dickinson & Co. 218,441 3,316 Biomet, Inc. 125,378 31 Bio-Rad Laboratories, Inc. (Class A)* 2,089 272 Biosite Diagnostics Inc.* 13,578 556 Bioveris Corp.* 2,446 8,420 Boston Scientific Corp.* 184,145 639 CONMED Corp.* 15,106 584 Cooper Companies, Inc. (The) 32,371 435 Cyberonics Inc.* 13,054 1,632 Cytyc Corp.* 49,123 1,281 Dade Behring Holdings, Inc. 50,126 288 Datascope Corp. 10,109 948 DENTSPLY International, Inc. 50,908 374 Diagnostic Products Corp. 18,999 362 Digene Corp.* 12,018 827 Edwards Lifesciences Corp.* 35,511 1,747 Fisher Scientific International, Inc.* 116,822 4,727 Guidant Corp. 347,907 470 Haemonetics Corp.* 24,440 836 Hillenbrand Industries, Inc. 41,148 600 Hologic, Inc. $ 30,876 2,272 Hospira, Inc.* 101,672 493 IDEXX Laboratories, Inc.* 37,872 852 Immucor, Inc.* 25,603 448 INAMED Corp.* 41,265 296 Integra LifeSciences Holding, Inc.* 11,544 484 Intermagnetics General Corp.* 19,525 521 Intuitive Surgical, Inc.* 71,716 494 Invacare Corp. 17,087 699 Kinetic Concepts, Inc.* 25,297 721 KV Pharmaceutical Co. (Class A)* 17,340 457 Kyphon Inc.* 18,997 17,350 Medtronic, Inc. 979,755 510 Mentor Corp. 22,950 499 Merit Medical Systems, Inc.* 7,041 1,300 Nektar Therapeutics* 25,740 752 OraSure Technologies, Inc.* 8,204 1,823 Pall Corp. 52,502 355 Penwest Pharmaceuticals Co.* 7,324 2,661 Peregrine Pharmaceuticals, Inc.* 3,699 1,765 PerkinElmer, Inc. 40,136 1,053 ResMed, Inc.* 41,530 1,034 Respironics, Inc.* 37,255 5,238 St. Jude Medical, Inc.* 257,342 986 STERIS Corp. 26,622 4,005 Stryker Corp. 199,850 378 SurModics, Inc.* 13,941 540 Sybron Dental Specialties, Inc.* 23,004 691 Thoratec Corp.* 17,482 1,877 Varian Medical Systems, Inc.* 113,014 517 Ventana Medical Systems, Inc.* 20,856 586 Viasys Healthcare, Inc.* 16,596 99 Vital Signs, Inc. 5,080 1,588 Waters Corp.* 66,617 566 West Pharmaceutical Services, Inc. 17,280 </Table> SEE NOTES TO FINANCIAL STATEMENTS 25 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 422 Wright Medical Group, Inc.* $ 9,419 3,542 Zimmer Holdings, Inc.* 244,221 -------------- 4,763,046 -------------- MEDICAL/NURSING SERVICES (0.2%) 489 American Healthways, Inc.* 21,849 880 Apria Healthcare Group, Inc.* 21,446 1,420 DaVita, Inc.* 77,745 1,265 Hooper Holmes, Inc. 4,428 438 Kindred Healthcare, Inc.* 10,030 1,470 Lincare Holdings, Inc.* 62,122 360 Pediatrix Medical Group, Inc.* 31,565 982 Renal Care Group, Inc.* 46,586 1,175 VCA Antech, Inc.* 32,512 -------------- 308,283 -------------- METAL FABRICATIONS (0.1%) 818 Commercial Metals Co. 38,716 608 Harsco Corp. 48,166 504 Kaydon Corp. 16,854 669 Mueller Industries, Inc. 19,421 1,213 Timken Co. (The) 43,874 -------------- 167,031 -------------- MISCELLANEOUS COMMERCIAL SERVICES (0.3%) 771 ABM Industries Inc. 14,734 1,315 Adesa Inc. 33,664 1,710 ARAMARK Corp. (Class B) 45,572 496 Bright Horizons Family Solutions, Inc.* 19,384 858 CBIZ, Inc.* 5,139 959 Copart, Inc.* 24,157 544 Corporate Executive Board Co. (The) 45,772 596 Corrections Corporation of America* 25,300 312 Costar Group, Inc.* 15,600 673 DiamondCluster International, Inc. (Class A)* 6,400 686 FTI Consulting, Inc.* 18,556 366 G & K Services, Inc. (Class A) $ 14,545 419 Global Imaging Systems, Inc.* 14,816 1,935 IKON Office Solutions, Inc. 22,872 1,575 Iron Mountain Inc.* 65,646 654 Laureate Education Inc.* 34,073 304 MAXIMUS, Inc. 11,892 849 Navigant Consulting, Inc.* 19,289 489 ProQuest Co.* 14,548 1,883 Sabre Holdings Corp. (Class A) 46,134 316 SOURCECORP, Inc.* 8,317 278 StarTek, Inc. 5,643 634 TeleTech Holdings, Inc.* 7,392 883 The Brink's Co. 46,976 235 Vertrue Incorporated* 10,166 428 Viad Corp. 12,185 1,044 Wireless Facilities, Inc.* 5,575 -------------- 594,347 -------------- MISCELLANEOUS MANUFACTURING (0.2%) 975 Ametek, Inc. 40,112 604 Brady (W.H.) Co. (Class A) 24,021 456 Carlisle Companies, Inc. 31,651 736 Crane Co. 27,468 2,892 Dover Corp. 132,830 1,463 Jacuzzi Brands, Inc.* 13,884 1,485 Pentair, Inc. 57,024 382 Smith (A.O.) Corp. 16,460 465 Teleflex Inc. 29,328 743 Tredegar Corp. 11,093 253 Valmont Industries, Inc. 10,133 561 Varian, Inc.* 21,526 -------------- 415,530 -------------- MOTOR VEHICLES (0.3%) 25,249 Ford Motor Co. 216,636 6,059 General Motors Corp. 145,780 3,940 Harley-Davidson, Inc. 210,908 -------------- 573,324 -------------- </Table> SEE NOTES TO FINANCIAL STATEMENTS 26 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- MOVIES/ENTERTAINMENT (0.1%) 765 Cedar Fair, L.P. $ 21,550 241 Crown Media Holdings, Inc. (Class A)* 2,200 497 International Speedway Corp. (Class A) 23,483 843 Pixar, Inc.* 48,709 654 Regal Entertainment Group (Class A)* 12,106 2,012 Six Flags, Inc.* 23,359 244 Speedway Motorsports, Inc. 8,725 1,332 TiVo Inc.* 7,339 -------------- 147,471 -------------- MULTI-LINE INSURANCE (1.4%) 32,699 American International Group, Inc. 2,140,477 1,745 Axis Capital Holdings Ltd. 52,176 652 CNA Financial Corp.* 20,616 4,243 Hartford Financial Services Group, Inc. (The) 348,902 1,534 HCC Insurance Holdings, Inc. 47,646 688 Horace Mann Educators Corp. 13,478 1,738 Loews Corp. 171,523 827 Nationwide Financial Services, Inc. (Class A) 35,197 700 PartnerRe Ltd. 43,246 1,772 Safeco Corp. 92,587 653 Unitrin, Inc. 28,869 393 Zenith National Insurance Corp. 21,729 -------------- 3,016,446 -------------- OFFICE EQUIPMENT/SUPPLIES (0.2%) 1,384 Avery Dennison Corp. 82,680 640 HNI Corp. 36,928 588 Kimball International, Inc. (Class B) 8,267 1,044 Miller (HERMAN), Inc. 31,633 3,272 Pitney Bowes, Inc. $ 139,845 855 Steelcase, Inc. (Class A) 14,407 -------------- 313,760 -------------- OIL & GAS PIPELINES (0.4%) 480 Buckeye Partners, L.P. 21,653 9,182 El Paso Corp. 123,590 218 Enbridge Energy Management, LLC* 10,355 3,079 Enterprise Products Partners L.P. 77,806 690 Kinder Morgan Management, LLC* 31,277 1,484 Kinder Morgan, Inc. 142,835 802 Magellan Midstream Parners, L.P. 25,897 762 Plains All American Pipeline, L.P. 32,530 323 TC Pipelines, L.P. 10,743 1,004 TEPPCO Partners, L.P. 37,198 462 Valero L.P. 23,673 943 Western Gas Resources, Inc. 44,793 8,261 Williams Companies, Inc. (The) 196,942 -------------- 779,292 -------------- OIL & GAS PRODUCTION (2.1%) 3,217 Anadarko Petroleum Corp. 346,857 4,707 Apache Corp. 355,520 297 Berry Petroleum Co. (Class A) 23,600 5,423 Burlington Resources, Inc. 494,903 683 Cabot Oil & Gas Corp. 35,222 691 Cheniere Energy Inc.* 26,866 4,828 Chesapeake Energy Corp. 169,173 625 Comstock Resources Inc.* 20,000 1,640 Denbury Resources Inc.* 48,823 6,384 Devon Energy Corp. 435,453 647 Encore Acquisition Co.* 23,389 626 Energy Partners, Ltd.* 17,572 3,425 EOG Resources, Inc. 289,550 768 Forest Oil Corp.* 39,552 </Table> SEE NOTES TO FINANCIAL STATEMENTS 27 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 405 Houston Exploration Co. (The)* $ 25,146 805 Kcs Energy Inc* 23,369 1,531 Kerr-McGee Corp. 169,007 1,813 Newfield Exploration Co.* 95,001 2,523 Noble Energy, Inc. 116,764 1,354 NRG Energy, Inc.* 65,358 6,026 Occidental Petroleum Corp. 588,832 264 Penn Virginia Corp. 17,271 2,064 Pioneer Natural Resources Co. 109,598 1,104 Plains Exploration & Production Co.* 49,503 782 Pogo Producing Co. 46,912 810 Quicksilver Resources Inc.* 40,719 1,839 Range Resources Corp. 54,931 351 Remington Oil & Gas Corp.* 15,725 2,348 Southwestern Energy Co.* 101,293 826 St. Mary Land & Exploration Co. 36,046 413 Stone Energy Corp.* 20,654 535 Swift Energy Co.* 26,440 2,139 Ultra Petroleum Corp. (Canada)* 147,142 565 Unit Corp.* 33,731 500 Whiting Petroleum Corp.* 23,150 4,980 XTO Energy Inc. 244,418 -------------- 4,377,490 -------------- OIL REFINING/MARKETING (0.6%) 767 Frontier Oil Corp. 36,348 305 Holly Corp. 22,448 5,240 Marathon Oil Corp. 402,799 1,917 Sunoco, Inc. 182,498 981 Tesoro Corp. 71,093 8,768 Valero Energy Corp. 547,386 -------------- 1,262,572 -------------- OILFIELD SERVICES/ EQUIPMENT (1.6%) 4,890 Baker Hughes Inc. 378,682 4,624 BJ Services Co. 187,226 1,012 Cal Dive International, Inc.* 42,484 316 CARBO Ceramics, Inc. 21,289 1,608 Cooper Cameron Corp.* $ 77,811 992 FMC Technologies, Inc.* 51,405 1,263 Global Industries Ltd.* 17,682 1,809 Grant Prideco, Inc.* 90,613 7,303 Halliburton Co. 580,954 1,370 Hanover Compressor Co.* 22,687 319 Hydril Co.* 26,270 376 Lone Star Technologies, Inc.* 21,394 610 Maverick Tube Corp.* 29,189 846 McDermott International, Inc.* 43,992 2,425 National OilwellVarco, Inc.* 184,470 405 Oceaneering International, Inc.* 24,061 440 Offshore Logistics, Inc.* 15,796 562 Oil States International Inc.* 22,986 8,458 Schlumberger Ltd. (Netherlands Antilles) 1,077,972 366 SEACOR Holdings, Inc.* 27,186 3,029 Smith International, Inc. 136,305 1,077 Superior Energy Services, Inc.* 29,241 633 TETRA Technologies, Inc.* 25,117 332 Universal Compression Holdings, Inc.* 15,936 505 Veritas DGC Inc.* 22,755 4,892 Weatherford International Ltd. (Bermuda)* 219,064 589 W-H Energy Services Inc.* 28,437 -------------- 3,421,004 -------------- OTHER CONSUMER SERVICES (0.8%) 778 Alderwoods Group, Inc.* 13,443 2,115 Apollo Group, Inc. (Class A)* 117,742 724 Autobytel Inc.* 3,511 4,283 Block (H.&R.), Inc. 104,762 1,400 Career Education Corp.* 45,486 14,695 Cendant Corp. 245,994 705 Central Parking Corp. 10,399 1,836 Corinthian Colleges, Inc.* 23,280 986 DeVry, Inc.* 22,668 </Table> SEE NOTES TO FINANCIAL STATEMENTS 28 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 14,946 eBay, Inc.* $ 644,173 951 Education Management Corp.* 29,120 4,074 Expedia, Inc.* 106,005 452 First Marblehead Corp. (The) 14,636 631 HealthExtras, Inc.* 20,760 2,610 HomeStore, Inc.* 15,764 636 ITT Educational Services, Inc.* 37,079 1,297 MoneyGram International, Inc. 34,448 339 Pre-Paid Legal Services, Inc.* 12,946 396 Priceline.com Inc. 8,732 107 Renaissance Learning, Inc. 1,746 621 Rollins, Inc. 13,345 4,541 Service Corp. International 37,145 4,280 ServiceMaster Co. (The) 55,383 758 Sotheby's Holdings, Inc. (Class A)* 15,077 2,045 Stewart Enterprises, Inc. (Class A) 11,329 199 Strayer Education, Inc. 17,623 531 Weight Watchers International, Inc.* 24,978 -------------- 1,687,574 -------------- OTHER CONSUMER SPECIALTIES (0.1%) 2,039 Fortune Brands, Inc. 152,843 690 Fossil, Inc.* 16,353 518 Matthews International Corp. (Class A) 19,368 335 RC2 Corp.* 11,681 449 Russ Berrie & Co., Inc. 5,684 -------------- 205,929 -------------- OTHER METALS/MINERALS (0.1%) 2,143 Hecla Mining Co.* 11,315 1,293 Olin Corp. 26,507 1,277 Phelps Dodge Corp. 204,959 454 Southern Copper Corp. 39,543 1,385 USEC Inc. 21,177 -------------- 303,501 -------------- OTHER TRANSPORTATION (0.0%) 1,438 Laidlaw International Inc. $ 39,114 -------------- PACKAGED SOFTWARE (3.0%) 8,653 Adobe Systems, Inc. 343,697 480 Altiris, Inc.* 9,384 588 ANSYS, Inc.* 25,790 3,315 Autodesk, Inc. 134,556 3,103 BMC Software, Inc.* 68,576 6,706 Computer Associates International, Inc. 183,074 5,058 Compuware Corp.* 41,678 947 Fair Isaac Corp. 41,971 681 Filenet Corp.* 19,109 856 Hyperion Solutions Corp.* 29,455 1,422 Informatica Corp.* 20,932 2,335 Intuit Inc.* 122,191 796 Macrovision Corp.* 14,798 745 Magma Design Automation, Inc.* 7,532 611 Manhattan Associates, Inc.* 13,295 1,371 Manugistics Group, Inc.* 2,907 2,430 McAfee Inc.* 56,352 1,928 Micromuse Inc.* 19,184 136,004 Microsoft Corp. 3,828,513 1,252 NAVTEQ Corp* 56,227 1,315 NetIQ Corp.* 17,279 5,507 Novell, Inc.* 53,638 1,927 Nuance Communications Inc.* 16,457 56,413 Oracle Corp.* 709,111 3,847 Parametric Technology Corp.* 24,082 919 Quest Software, Inc.* 14,557 2,410 Red Hat, Inc.* 69,770 1,117 Salesforce.com Inc.* 45,852 529 Serena Software, Inc.* 12,489 1,287 Sybase, Inc.* 27,786 17,104 Symantec Corp.* 314,372 2,846 TIBCO Software, Inc.* 22,740 </Table> SEE NOTES TO FINANCIAL STATEMENTS 29 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 696 Transaction Systems Architects, Inc. (Class A)* $ 22,961 198 Ulticom, Inc.* 2,004 -------------- 6,392,319 -------------- PERSONNEL SERVICES (0.2%) 739 AMN Healthcare Services, Inc.* 14,906 380 CDI Corp. 10,363 485 Gentiva Health Services, Inc.* 9,210 405 Kelly Services, Inc. (Class A) 10,846 732 Korn/Ferry International* 14,464 785 Labor Ready, Inc.* 18,283 1,220 Manpower, Inc. 65,673 1,590 Monster Worldwide, Inc.* 67,829 1,730 MPS Group, Inc.* 24,583 876 Resources Connection Inc.* 23,818 2,520 Robert Half International, Inc. 92,056 1,163 Spherion Corp.* 13,026 -------------- 365,057 -------------- PHARMACEUTICALS: GENERIC DRUGS (0.2%) 667 Alpharma Inc. (Class A) 22,311 720 American Pharmaceuticals Partners, Inc.* 24,062 1,282 Andrx Group* 22,499 1,298 Barr Pharmaceuticals Inc.* 85,123 3,460 IVAX Corp.* 89,891 3,148 Mylan Laboratories, Inc. 62,016 706 Par Pharmaceutical Cos Inc.* 23,354 1,312 Valeant Pharmaceuticals International 23,564 1,495 Watson Pharmaceuticals, Inc.* 49,470 -------------- 402,290 -------------- PHARMACEUTICALS: MAJOR (4.7%) 22,342 Abbott Laboratories 964,057 28,033 Bristol-Myers Squibb Co. 638,872 42,657 Johnson & Johnson 2,454,484 13,872 Lilly (Eli) & Co. 785,433 31,605 Merck & Co., Inc. 1,090,373 106,665 Pfizer, Inc. $ 2,739,157 21,161 Schering-Plough Corp. 405,233 19,140 Wyeth 885,225 -------------- 9,962,834 -------------- PHARMACEUTICALS: OTHER (0.4%) 1,930 Allergan, Inc. 224,652 713 AtheroGenics, Inc.* 12,656 662 Cell Therapeutics, Inc.* 1,337 767 Columbia Laboratories, Inc.* 3,835 730 Connetics Corp.* 10,935 1,496 Endo Pharmaceuticals Holdings, Inc.* 42,935 680 First Horizon Pharmaceutical Corp.* 11,431 5,041 Forest Laboratories, Inc.* 233,297 620 Inspire Pharmaceuticals, Inc.* 3,088 330 Inverness Medical Innovations, Inc.* 8,861 3,541 King Pharmaceuticals, Inc.* 66,394 237 Kos Pharmaceuticals, Inc.* 10,383 780 Medicis Pharmaceutical Corp. (Class A) 24,110 1,732 Perrigo Co. 27,037 554 POZEN Inc.* 8,986 631 Salix Pharmaceuticals, Ltd.* 10,973 1,520 Sepracor, Inc.* 86,503 314 United Therapeutics Corp.* 20,306 -------------- 807,719 -------------- PRECIOUS METALS (0.3%) 4,027 Coeur D'Alene Mines Corp.* 20,860 2,530 Freeport-McMoRan Copper & Gold, Inc. (Class B) 162,553 1,919 Glamis Gold Ltd. (Canada)* 61,350 1,453 Meridian Gold Inc. (Canada)* 39,493 5,907 Newmont Mining Corp. 365,053 718 Stillwater Mining Co.* 10,411 -------------- 659,720 -------------- </Table> SEE NOTES TO FINANCIAL STATEMENTS 30 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- PROPERTY - CASUALTY INSURERS (1.9%) 463 21st Century Insurance Group $ 7,519 4,471 ACE Ltd. (Cayman Islands) 244,787 715 Alfa Corp. 12,147 88 Alleghany Corp.* 25,542 9,664 Allstate Corp. (The) 503,011 573 American Financial Group, Inc. 21,556 418 Arch Capital Group Ltd.* 22,714 1,568 Berkley (W.R.) Corp. 77,459 15 Berkshire Hathaway, Inc. (Class A)* 1,342,350 2,804 Chubb Corp. (The) 264,557 2,210 Cincinnati Financial Corp. 100,643 438 Commerce Group, Inc. (The) 23,608 1,551 Covanta Holding Corp. 26,832 848 Endurance Specialty Holdings 27,925 456 Erie Indemnity Co. (Class A) 24,168 857 Everest Re Group, Ltd. (ADR) (Bermuda) 82,829 779 Hanover Insurance Group 37,743 221 Harleysville Group, Inc. 6,091 400 Infinity Property & Casualty Corp. 15,432 378 Mercury General Corp. 21,308 344 Midland Co. (The) 12,831 1,189 Montpelier Re Holdings Ltd. 22,948 226 Odyssey Re Holdings Corp. 5,566 890 Ohio Casualty Corp. 26,825 2,460 Old Republic International Corp. 52,767 207 Philadelphia Consolidated Holding Corp.* 20,110 700 Platinum Underwriters Holdings Ltd. (ADR) (Bermuda) 21,455 612 PMA Capital Corp. (Class A)* 5,685 2,469 Progressive Corp. (The) 259,344 1,006 RenaissanceRe Holdings Ltd. (ADR) (Bermuda) 45,582 364 RLI Corp. 19,893 357 Selective Insurance Group, Inc. $ 20,706 9,899 St. Paul Travelers Companies, Inc. (The) 449,216 200 State Auto Financial Corp. 7,694 363 Transatlantic Holdings, Inc. 22,996 120 White Mountains Insurance Group, Ltd. (Bermuda) 63,720 2,457 XL Capital Ltd. (Class A) (Cayman Islands) 166,241 -------------- 4,111,800 -------------- PUBLISHING: BOOKS/MAGAZINES (0.1%) 635 John Wiley & Sons, Inc. (Class A) 24,067 570 Meredith Corp. 31,213 2,780 PRIMEDIA Inc.* 5,588 1,567 Reader's Digest Assoc., Inc. (The) (Class A) 24,900 484 Scholastic Corp.* 14,544 -------------- 100,312 -------------- PUBLISHING: NEWSPAPERS (0.3%) 1,405 Belo Corp. (Series A) 32,048 652 Dow Jones & Co., Inc. 24,783 3,563 Gannett Co., Inc. 220,193 753 Hollinger International, Inc. (Class A) 6,807 724 Journal Register Co. 10,288 964 Knight-Ridder, Inc. 60,009 585 Lee Enterprises, Inc. 20,586 384 McClatchy Co. (The) (Class A) 21,696 381 Media General, Inc. (Class A) 18,231 2,084 New York Times Co. (The) (Class A) 58,977 1,217 Scripps (E.W.) Co. (Class A) 58,829 3,000 Tribune Co. 87,030 85 Triple Crown Media 650 89 Washington Post Co. (The) (Class B) 67,905 -------------- 688,032 -------------- </Table> SEE NOTES TO FINANCIAL STATEMENTS 31 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- PULP & PAPER (0.2%) 798 Bowater, Inc. $ 21,817 616 Glatfelter (P.H.) Co. 8,760 7,035 International Paper Co. 229,552 997 Longview Fibre Co. 18,993 2,639 MeadWestvaco Corp. 70,435 271 Neenah Paper Inc. 7,940 459 Potlatch Corp. 23,515 288 Schweitzer-Mauduit International, Inc. 7,667 1,156 Wausau Paper Corp. 14,739 -------------- 403,418 -------------- RAILROADS (0.6%) 5,357 Burlington Northern Santa Fe Corp. 429,203 3,066 CSX Corp. 164,123 410 Florida East Coast Industries, Inc. 20,000 1,082 Kansas City Southern Industries, Inc.* 28,110 5,865 Norfolk Southern Corp. 292,312 622 RailAmerica, Inc.* 6,127 3,768 Union Pacific Corp. 333,317 -------------- 1,273,192 -------------- REAL ESTATE DEVELOPMENT (0.1%) 789 CB Richard Ellis Group, Inc. (Class A)* 49,802 919 Forest City Enterprise, Inc. (Class A) 34,803 420 Getty Realty Corp. 11,983 377 Jones Lang LaSalle, Inc. 22,194 971 St. Joe Co. (The) 61,609 144 Tejon Ranch Co.* 6,108 716 Trammell Crow Co.* 20,342 492 W.P. Carey & Co., LLC 13,028 -------------- 219,869 -------------- REAL ESTATE INVESTMENT TRUSTS (2.1%) 532 Acadia Realty Trust 11,348 33 Alexander's, Inc.* 8,146 273 Alexandria Real Estate Equities, Inc. $ 24,092 1,211 AMB Property Corp. 63,214 1,680 American Financial Realty Trust 20,882 372 Amli Residential Properties Trust 14,091 1,757 Annaly Mortgage Management Inc. 21,840 857 Anthracite Capital, Inc. 9,616 657 Anworth Mortgage Asset Corp. 5,401 1,386 Apartment Investment & Management Co. (Class A) 58,933 2,937 Archstone-Smith Trust 137,628 977 Arden Realty, Inc. 44,131 1,005 AvalonBay Communities, Inc. 99,977 323 Bedford Property Investors, Inc. 7,494 1,617 Boston Properties, Inc. 126,546 743 BPP Liquidating Trust 37 1,285 Brandywine Realty Trust 40,413 743 BRE Properties, Inc. (Class A) 37,076 768 Camden Property Trust 49,997 805 CarrAmerica Realty Corp. 29,624 879 CBL & Associates Properties, Inc. 37,199 677 CenterPoint Properties Trust 33,606 656 Colonial Properties Trust 30,320 895 Commercial Net Lease Realty 20,522 574 Corporate Office Properties Trust 23,241 643 Cousins Properties, Inc. 20,074 1,456 Crescent Real Estate Equities Co. 30,853 1,574 Developers Diversified Realty Corp. 77,535 2,023 Duke Realty Corp. 73,394 358 EastGroup Properties, Inc. 16,905 393 Entertainment Properties Trust 17,080 828 Equity Inns, Inc. 13,082 </Table> SEE NOTES TO FINANCIAL STATEMENTS 32 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 437 Equity Lifestyle Properties, Inc. $ 20,102 5,833 Equity Office Properties Trust 185,606 649 Equity One, Inc. 15,557 4,160 Equity Residential 176,426 306 Essex Property Trust, Inc. 30,410 768 Federal Realty Investment Trust 51,318 753 FelCor Lodging Trust, Inc. 14,955 620 First Industrial Realty Trust, Inc. 24,223 2,376 Friedman, Billings, Ramsey Group, Inc. 27,514 3,195 General Growth Properties, Inc. 164,862 856 Glenborough Realty Trust Inc. 16,846 583 Glimcher Realty Trust 15,939 1,944 Health Care Property Investors, Inc. 53,946 827 Health Care REIT, Inc. 30,756 675 Healthcare Realty Trust, Inc. 23,652 459 Heritage Property Investment Trust 16,295 769 Highwoods Properties, Inc. 24,254 565 Home Properties, Inc. 25,917 976 Hospitality Properties Trust 41,841 4,672 Host Marriott Corp. 93,206 3,010 HRPT Properties Trust 32,297 1,135 Impac Mortgage Holdings, Inc. 9,920 722 Investors Real Estate Trust 6,989 1,629 iStar Financial Inc. 58,465 357 Kilroy Realty Corp. 24,130 3,095 Kimco Realty Corp. 108,604 686 Lexington Corporate Properties Trust 15,229 1,240 Liberty Property Trust 56,122 833 Macerich Co. (The) 60,451 900 Mack-Cali Realty Corp. 40,248 597 Maguire Properties, Inc. 20,179 1,189 MeriStar Hospitality Corp.* 12,199 381 Mid-America Apartment Communities, Inc. $ 19,450 734 Mills Corp. 30,424 522 National Health Investors, Inc. 14,303 969 Nationwide Health Properties, Inc. 22,161 832 New Century Financial Corp. 32,639 1,498 New Plan Excel Realty Trust 36,926 496 Novastar Financial, Inc. 15,619 532 Pan Pacific Retail Properties, Inc. 36,814 202 Parkway Properties, Inc. 8,549 541 Pennsylvania Real Estate Investment Trust 21,997 2,694 Plum Creek Timber Co., Inc. 99,516 585 Post Properties, Inc. 23,804 3,429 ProLogis 175,633 264 PS Business Parks, Inc. (Class A) 14,480 1,245 Public Storage, Inc. 90,350 486 RAIT Investment Trust 13,175 1,058 Rayonier Inc. 45,230 1,201 Realty Income Corp. 27,971 1,179 Reckson Associates Realty Corp. 47,077 375 Redwood Trust, Inc. 16,294 891 Regency Centers Corp. 57,425 307 Saul Centers, Inc. 11,359 963 Senior Housing Properties Trust 17,266 615 Shurgard Storage Centers, Inc. (Class A) 37,085 3,161 Simon Property Group, Inc. 261,857 595 SL Green Realty Corp. 50,004 261 Sovran Self Storage, Inc. 12,927 359 Sun Communities, Inc. 11,930 404 Tanger Factory Outlet Centers, Inc. 12,730 729 Taubman Centers, Inc. 27,374 1,397 Thornburg Mortgage Asset Corp. 35,805 </Table> SEE NOTES TO FINANCIAL STATEMENTS 33 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 320 Town & Country Trust $ 11,856 1,354 Trizec Properties, Inc. 31,535 1,942 United Dominion Realty Trust, Inc. 49,346 1,401 Ventas, Inc. 42,871 1,896 Vornado Realty Trust 167,493 686 Washington Real Estate Investment Trust 22,624 1,236 Weingarten Realty Investors 50,095 -------------- 4,406,749 -------------- RECREATIONAL PRODUCTS (0.3%) 3,898 Activision, Inc.* 55,897 426 Arctic Cat, Inc. 9,934 2,358 Atari, inc.* 2,073 1,419 Brunswick Corp. 53,340 1,069 Callaway Golf Co. 16,334 4,345 Electronic Arts, Inc.* 237,150 2,320 Hasbro, Inc. 49,184 529 K2 Inc.* 6,295 594 Leapfrog Enterprises, Inc. (Class A)* 6,736 1,372 Marvel Entertainment, Inc.* 22,844 5,793 Mattel, Inc. 95,585 567 Monaco Coach Corp. 7,677 635 Polaris Industries Inc. 34,639 964 Scientific Games Corp. (Class A)* 30,896 1,186 Take-Two Interactive Software, Inc.* 18,810 559 Thor Industries, Inc. 23,841 964 THQ, Inc.* 25,305 549 Winnebago Industries, Inc. 17,189 334 WMS Industries, Inc.* 8,747 -------------- 722,476 -------------- REGIONAL BANKS (1.9%) 412 1st Source Corp. 10,889 306 Alabama National BanCorporation 21,273 450 Amcore Financial, Inc. 13,649 4,987 AmSouth Bancorporation 137,691 1,769 Associated Banc-Corp. 59,863 60 BancFirst Corp. $ 4,990 1,033 BancorpSouth, Inc. 23,800 783 Bank of Hawaii Corp. 40,880 376 BOK Financial Corp. 17,146 444 Boston Private Financial Holdings, Inc. 13,560 322 Capital City Bank Group, Inc. 11,454 612 Cathay General Bancorp, Inc. 21,855 313 Central Pacific Financial Corp. 11,518 507 Chemical Financial Corp. 15,945 759 Chittenden Corp. 21,533 660 Citizens Banking Corp. 18,361 325 City Holding Co. 12,110 666 City National Corp. 49,930 2,210 Colonial BancGroup, Inc. (The) 55,029 2,368 Commerce Bancorp, Inc. 79,186 950 Commerce Bancshares, Inc. 48,023 506 Community Bank System, Inc. 11,770 1,763 Compass Bancshares, Inc. 85,893 273 Corus Bankshares, Inc. 17,529 759 Cullen/Frost Bankers, Inc. 40,789 1,075 CVB Financial Corp. 17,684 762 East West Bancorp, Inc. 28,125 902 F.N.B. Corp. 15,190 6,750 Fifth Third Bancorp 253,598 1,225 First Bancorp (Puerto Rico) 15,656 627 First Charter Corp. 15,048 94 First Citizens BancShares, Inc. (Class A) 18,054 1,118 First Commonwealth Financial Corp. 15,093 309 First Community Bancorp 18,571 803 First Financial Bancorp 14,205 402 First Financial Bankshares, Inc. 14,725 264 First Financial Corp. (Indiana) 7,392 1,772 First Horizon National Corp. 67,106 361 First Merchants Corp. 9,238 774 First Midwest Bancorp, Inc. 27,020 </Table> SEE NOTES TO FINANCIAL STATEMENTS 34 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 426 First Republic Bank $ 16,171 1,123 FirstMerit Corp. 28,356 509 Flagstar Bancorp 7,727 465 Frontier Financial Corp. 15,238 2,302 Fulton Financial Corp. 41,321 588 Glacier Bancorp, Inc. 18,687 760 Gold Banc Corp., Inc. 13,802 825 Greater Bay Bancorp 21,401 594 Hancock Holding Co. 24,354 512 Harleysville National Corp. 13,389 645 Hudson United Bancorp 26,864 285 Independent Bank Corp.- Massachusetts 8,405 683 International Bancshares Corp. 19,978 291 Irwin Financial Corp. 6,233 1,097 M&T Bank Corp. 118,805 369 Main Street Banks, Inc. 9,410 2,722 Marshall & Ilsley Corp. 114,161 1,718 Mercantile Bankshares Corp. 65,179 457 Mid-State Bancshares 12,787 348 Midwest Banc Holdings, Inc. 8,272 676 National Penn Bancshares, Inc. 15,399 536 NBT Bancorp, Inc. 12,408 6,365 North Fork Bancorporation, Inc. 163,708 2,758 Northern Trust Corp. 143,995 992 Old National Bancorp 20,763 416 Oriental Financial Group, Inc. 5,728 619 Pacific Capital Bancorp 22,773 190 Park National Corp. 22,270 370 Prosperity Bancshares, Inc. 10,778 543 Provident Bankshares Corp. 19,944 528 R&G Financial Corp. (Class B) (Puerto Rico) 6,859 1,272 Republic Bancorp Inc. 16,472 380 S & T Bancorp, Inc. 13,973 283 Sandy Spring Bancorp, Inc. 9,879 94 Santander BanCorp. (Puerto Rico) 2,403 1,566 Sky Financial Group, Inc. 40,278 1,143 South Financial Group, Inc. (The) $ 29,809 366 Sterling Bancorp 8,473 863 Sterling Bancshares, Inc. 14,455 516 Sterling Financial Corp. 10,686 215 Suffolk Bancorp 7,727 776 Susquehanna Bancshares, Inc. 18,733 509 SVB Financial Group* 25,185 3,701 Synovus Financial Corp. 102,407 1,881 TCF Financial Corp. 47,006 744 Texas Regional Bancshares, Inc. (Class A) 22,900 1,283 Trustco Bank Corp. of New York 16,268 837 Trustmark Corp. 23,704 26,057 U.S. Bancorp 779,365 1,309 UCBH Holdings, Inc. 22,711 270 UMB Financial Corp. 18,187 704 Umpqua Holdings Corp. 19,839 591 United Bankshares, Inc. 22,027 625 United Community Banks, Inc. 17,444 422 Unizan Financial Corp. 11,305 1,630 Valley National Bancorp 38,175 391 WesBanco, Inc. 11,640 456 Westamerica Bancorporation 24,542 902 Whitney Holding Corp. 29,676 988 Wilmington Trust Corp. 41,002 364 Wintrust Financial Corp. 19,547 1,489 Zions Bancorporation 117,770 -------------- 4,000,124 -------------- RESTAURANTS (0.9%) 1,164 Applebee's International, Inc. 27,901 580 Bob Evans Farms, Inc. 15,486 1,293 Brinker International, Inc. 52,625 670 CBRL Group, Inc. 29,413 655 CEC Entertainment, Inc.* 23,593 1,139 Cheesecake Factory, Inc. (The)* 41,972 1,124 CKE Restaurants, Inc.* 17,591 1,980 Darden Restaurants, Inc. 80,507 </Table> SEE NOTES TO FINANCIAL STATEMENTS 35 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 419 IHOP Corp. $ 20,602 703 Jack in the Box Inc.* 27,951 1,124 Krispy Kreme Doughnuts, Inc.* 7,306 287 Landry's Restaurants, Inc. 8,794 405 Lone Star Steakhouse & Saloon, Inc. 10,971 18,183 McDonald's Corp. 636,587 1,046 Outback Steakhouse, Inc. 48,357 397 P.F. Chang's China Bistro, Inc.* 20,350 419 Panera Bread Co. (Class A)* 28,534 396 Papa John's International, Inc.* 13,753 557 RARE Hospitality International, Inc.* 17,573 297 Red Robin Gourmet Burgers Inc.* 11,788 900 Ruby Tuesday, Inc. 25,749 685 Ryan's Restaurant Group Inc.* 8,953 848 Sonic Corp.* 24,550 11,024 Starbucks Corp.* 349,461 528 The Steak n Shake Co.* 9,684 545 Triarc Companies, Inc. (Class B) 9,025 1,663 Wendy's International, Inc. 98,034 4,061 Yum! Brands, Inc. 200,898 -------------- 1,868,008 -------------- SAVINGS BANKS (0.8%) 355 Anchor Bancorp Wisconsin, Inc. 11,051 1,487 Astoria Financial Corp. 42,826 1,335 Bank Mutual Corp. 14,912 763 BankAtlantic Bancorp, Inc. (Class A) 10,682 578 BankUnited Financial Corp. 16,242 1,013 Brookline Bancorp, Inc. 15,185 376 Capitol Federal Financial 12,070 70 Charter Financial Corp. 2,663 828 Dime Community Bancshares 12,246 400 Downey Financial Corp. $ 26,192 439 Fidelity Bankshares, Inc. 14,957 1,577 First Niagara Financial Group, Inc. 21,763 270 Firstfed Financial Corp.* 16,929 4,386 Golden West Financial Corp. 309,739 350 Harbor Florida Bancshares, Inc. 13,633 8,574 Hudson City Bancorp, Inc. 106,489 1,161 Independence Community Bank Corp. 46,428 480 MAF Bancorp, Inc. 20,635 470 MB Financial, Inc. 16,483 984 Net.B@nk, Inc. 7,390 3,455 New York Community Bancorp, Inc. 58,942 1,638 Newalliance Bancshares Inc. 23,849 221 Northwest Bancorp, Inc. 4,893 852 People's Bank 26,148 484 PFF Bancorp, Inc. 15,319 589 Provident Financial Services, Inc. 10,779 5,376 Sovereign Bancorp, Inc. 117,197 475 Sterling Financial Corp.* 13,310 2,177 W. Holding Co., Inc. (Puerto Rico) 18,744 1,268 Washington Federal, Inc. 30,610 14,069 Washington Mutual, Inc. 595,400 787 Webster Financial Corp. 37,068 328 Westcorp 22,694 -------------- 1,713,468 -------------- SEMICONDUCTORS (2.6%) 487 Actel Corp.* 7,393 5,789 Advanced Micro Devices, Inc.* 242,327 2,647 Agere Systems Inc.* 32,849 5,200 Altera Corp.* 100,412 584 Amis Holdings, Inc.* 6,044 5,262 Analog Devices, Inc. 209,270 5,948 Applied Micro Circuits Corp.* 19,569 9,135 Atmel Corp.* 36,083 </Table> SEE NOTES TO FINANCIAL STATEMENTS 36 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 3,880 Broadcom Corp. (Class A)* $ 264,616 1,650 Cirrus Logic, Inc.* 13,976 9,350 Conexant Systems, Inc.* 31,416 1,917 Cypress Semiconductor Corp.* 32,455 564 DSP Group, Inc.* 16,553 755 ESS Technology, Inc.* 3,020 788 Exar Corp.* 10,614 1,713 Fairchild Semiconductor Corp. (Class A)* 34,174 5,738 Freescale Semiconductor Inc. (Class B)* 144,885 617 Genesis Microchip, Inc.* 11,353 2,937 Integrated Device Technology, Inc.* 40,795 546 Integrated Silicon Solution, Inc.* 3,598 87,408 Intel Corp. 1,859,168 1,072 International Rectifier Corp.* 38,989 2,205 Intersil Corp. (Class A) 64,077 1,719 Lattice Semiconductor Corp.* 7,787 4,405 Linear Technology Corp. 163,910 5,681 LSI Logic Corp.* 51,981 3,159 Marvell Technology Group, Ltd. (Bermuda)* 216,139 4,677 Maxim Integrated Products, Inc. 191,944 1,255 Micrel, Inc.* 15,399 3,030 Microchip Technology Inc. 113,655 8,785 Micron Technology, Inc.* 128,964 910 Microsemi Corp.* 27,700 2,122 Mindspeed Technologies Inc.* 6,727 4,930 National Semiconductor Corp. 139,075 2,292 NVIDIA Corp.* 103,048 1,766 ON Semiconductor Corp.* 13,263 871 Pixelworks, Inc.* 4,973 2,835 PMC - Sierra, Inc.* 26,819 508 Power Integrations, Inc.* 13,457 1,378 Rambus Inc.* $ 40,293 3,599 RF Micro Devices, Inc.* 26,201 1,430 Semtech Corp.* 27,570 655 Sigmatel Corp.* 8,371 1,378 Silicon Image, Inc.* 15,943 564 Silicon Laboratories Inc.* 27,766 1,853 Silicon Storage Technology, Inc.* 8,931 2,506 Skyworks Solutions, Inc.* 13,232 328 Standard Microsystems Corp.* 11,296 24,431 Texas Instruments Inc. 714,118 2,740 Transmeta Corp.* 3,836 2,257 TriQuint Semiconductor, Inc.* 11,014 5,650 Vitesse Semiconductor Corp.* 14,690 4,979 Xilinx, Inc. 140,209 793 Zoran Corp.* 15,551 -------------- 5,527,498 -------------- SERVICES TO THE HEALTH INDUSTRY (0.5%) 262 Advisory Board Co. (The)* 13,094 621 Albany Molecular Research, Inc.* 7,054 828 Cerner Corp.* 37,260 899 Covance, Inc.* 51,072 789 Dendrite International, Inc.* 11,456 890 Eclipsys Corp.* 19,633 5,195 Emdeon Corp.* 48,521 964 eResearch Technology, inc.* 17,227 1,737 Express Scripts, Inc.* 158,571 3,438 IMS Health Inc. 84,575 1,907 Laboratory Corp. of America Holdings* 111,846 4,412 Medco Health Solutions Inc.* 238,689 825 Odyssey Healthcare, Inc.* 16,814 1,683 Omnicare, Inc. 83,645 501 PAREXEL International Corp.* 12,214 746 Per-Se Technologies, Inc.* 18,553 707 Pharmaceutical Product Development, Inc. 48,910 </Table> SEE NOTES TO FINANCIAL STATEMENTS 37 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 2,238 Quest Diagnostics Inc. $ 110,624 603 Stericycle, Inc.* 36,041 374 Verso Technologies Inc. 542 306 VistaCare, Inc. (Class A)* 4,256 -------------- 1,130,597 -------------- SPECIALTY INSURANCE (0.4%) 1,489 Ambac Financial Group, Inc. 114,370 1,657 Assurant, Inc. 76,089 256 CNA Surety Corp.* 4,119 2,336 Fidelity National Financial, Inc. 92,202 418 Fidelity National Title Group, Inc. (Class A) 10,191 1,223 First American Financial Corp. 57,261 318 LandAmerica Financial Group, Inc. 20,982 1,884 MBIA Inc. 115,979 1,351 MGIC Investment Corp. 89,180 1,374 PMI Group, Inc. (The) 59,398 482 Proassurance Corp.* 24,674 1,210 Radian Group, Inc. 69,248 349 Stewart Information Services Corp. 18,654 279 Triad Guaranty, Inc.* 11,718 -------------- 764,065 -------------- SPECIALTY STORES (0.7%) 376 Ac Moore Arts & Crafts, Inc.* 5,704 1,526 Advance Auto Parts, Inc.* 66,488 249 Asbury Automotive Group Inc.* 4,482 2,857 AutoNation, Inc.* 63,683 818 AutoZone, Inc.* 79,960 772 Barnes & Noble, Inc. 32,748 4,259 Bed Bath & Beyond Inc.* 159,329 685 Bombay Co., Inc. (The)* 2,233 1,047 Borders Group, Inc. 25,777 1,524 CarMax Inc.* 45,552 1,200 Claire's Stores, Inc. 37,992 445 Cost Plus, Inc.* 8,700 1,037 CSK Auto Corp.* 16,799 622 Dick's Sporting Goods, Inc.* $ 22,871 495 Group 1 Automotive, Inc.* 17,068 413 Guitar Center, Inc.* 22,170 428 Haverty Furniture Companies, Inc. 6,360 675 Hibbett Sporting Goods, Inc.* 20,689 450 Jo-Ann Stores, Inc.* 5,909 727 Linens 'N Things, Inc.* 20,072 1,987 Michaels Stores, Inc. 66,823 4,431 Office Depot, Inc.* 146,888 928 OfficeMax Inc. 26,513 1,595 O'Reilly Automotive, Inc.* 52,348 1,052 Pep Boys-Manny Moe & Jack 16,411 283 PETCO Animal Supplies, Inc.* 6,186 2,105 PETsMART, Inc. 52,751 1,279 Pier 1 Imports, Inc. 13,839 635 Regis Corp. 24,606 1,237 Rent-A-Center, Inc.* 25,359 295 Sharper Image Corp.* 2,660 673 Sonic Automotive, Inc. 15,836 10,492 Staples, Inc. 248,765 2,043 Tiffany & Co. 77,021 466 Tractor Supply Co.* 23,803 457 Tuesday Morning Corp. 9,725 347 United Auto Group, Inc. 13,290 388 West Marine, Inc.* 5,044 1,365 Williams-Sonoma, Inc.* 54,300 935 Zale Corp.* 22,917 -------------- 1,569,671 -------------- SPECIALTY TELECOMMUNICATIONS (0.3%) 5,891 American Tower Corp. (Class A)* 182,268 790 Broadwing Corporation* 6,992 1,766 CenturyTel, Inc. 58,808 4,915 Citizens Communications Co. 60,307 364 Commonwealth Telephone Enterprises, Inc. 12,147 </Table> SEE NOTES TO FINANCIAL STATEMENTS 38 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 4,403 Covad Communications Group, Inc. (c)* $ 5,196 3,222 Crown Castle International Corp.* 101,912 1,093 General Communication, Inc. (Class A)* 11,859 939 MasTec, Inc.* 11,315 15,971 McLeadUSA Inc. (Class A) (Escrow) (a) 0 1,160 NTL, Inc.* 73,370 1,056 Premiere Global Services Inc* 9,493 22,179 Qwest Communications International, Inc.* 133,518 284 SureWest Communications 7,949 957 Time Warner Telecom Inc. (Class A)* 10,336 379 West Corp.* 15,475 -------------- 700,945 -------------- STEEL (0.3%) 2,110 AK Steel Holding Corp.* 24,286 1,138 Allegheny Technologies Inc. 59,005 250 Carpenter Technology Corp. 22,640 412 Chaparral Steel Co.* 16,913 316 Cleveland-Cliffs, Inc. 34,081 2,010 Nucor Corp. 169,302 471 Quanex Corp. 29,254 404 Reliance Steel & Aluminum Co. 32,118 319 Schnitzer Steel Industries, Inc. 10,667 650 Steel Dynamics, Inc. 30,173 1,672 United States Steel Corp. 99,902 1,167 Worthington Industries, Inc. 24,075 -------------- 552,416 -------------- TELECOMMUNICATION EQUIPMENT (1.6%) 1,697 ADC Telecommunications, Inc.* 43,036 833 ADTRAN, Inc. 24,431 2,486 Andrew Corp.* 32,243 1,462 Arris Group, Inc.* $ 17,193 1,030 At Road, Inc.* 5,366 2,492 Avanex Corp.* 2,816 708 C-COR Inc.* 4,524 8,165 CIENA Corp.* 32,660 1,022 CommScope, Inc.* 22,596 408 Comtech Telecommunications Corp.* 13,003 2,747 Comverse Technology, Inc.* 75,240 21,862 Corning, Inc.* 532,340 605 Ditech Communications Corp.* 5,512 829 Garmin Ltd. (Cayman Islands) 51,572 1,180 Harmonic, Inc.* 6,514 1,916 Harris Corp. 88,960 878 InterDigital Communications Corp.* 22,679 488 Inter-Tel, Inc. 10,580 668 Intervoice, Inc.* 5,678 64,229 Lucent Technologies Inc.* 169,565 35,732 Motorola, Inc. 811,474 442 Oplink Communications Inc.* 7,876 853 Plantronics, Inc. 29,855 1,426 Polycom, Inc.* 27,636 1,407 Powerwave Technologies, Inc.* 20,556 23,610 QUALCOMM Inc. 1,132,336 4,721 Sonus Networks, Inc.* 22,094 357 SpectraLink Corp. 4,409 1,620 Stratex Network, Inc.* 6,723 3,373 Sycamore Networks, Inc.* 16,696 1,033 Tekelec* 16,166 5,893 Tellabs, Inc.* 75,371 1,454 Terayon Communication Systems, Inc.* 3,475 769 Trimble Navigation Ltd.* 30,775 512 ViaSat, Inc.* 12,902 961 Westell Technologies, Inc. (Class A)* 4,276 -------------- 3,389,128 -------------- </Table> SEE NOTES TO FINANCIAL STATEMENTS 39 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- TEXTILES (0.0%) 539 Albany International Corp. (Class A) $ 19,943 -------------- TOBACCO (1.2%) 29,709 Altria Group, Inc. 2,149,149 1,037 Loews Corp.- Carolina Group 47,826 1,199 Reynolds American, Inc. 121,255 461 Universal Corp. 21,782 2,370 UST, Inc. 92,288 359 Vector Group Ltd. 6,523 -------------- 2,438,823 -------------- TOOLS/HARDWARE (0.1%) 1,148 Black & Decker Corp. 99,072 739 Briggs & Stratton Corp. 25,710 767 Snap-On, Inc. 30,780 1,222 Stanley Works (The) 59,927 620 Toro Co. (The) 27,410 -------------- 242,899 -------------- TRUCKING (0.1%) 369 Arkansas Best Corp. 15,797 818 Heartland Express, Inc. 19,051 1,843 Hunt (J.B.) Transport Services, Inc. 43,863 1,056 Knight Transportation, Inc. 21,479 829 Landstar System, Inc. 35,067 706 Old Dominion Freight Line, Inc.* 20,149 945 Swift Transportation Co., Inc.* 22,330 977 Werner Enterprises, Inc. 21,054 800 YRC Worldwide Inc. 39,872 -------------- 238,662 -------------- TRUCKS/CONSTRUCTION/ FARM MACHINERY (0.7%) 1,295 AGCO Corp.* 23,323 9,804 Caterpillar Inc. 665,692 580 Cummins Inc. 56,434 3,460 Deere & Co. 248,290 919 Federal Signal Corp. 16,294 731 JLG Industries, Inc. 39,825 1,714 Joy Global Inc. $ 92,625 385 Manitowoc Co., Inc. 25,603 128 NACCO Industries, Inc. (Class A) 17,516 890 Navistar International Corp.* 24,208 1,074 OshKosh Truck Corp. 52,959 2,429 PACCAR, Inc. 169,058 558 Stewart & Stevenson Services, Inc. 14,491 669 Terex Corp.* 47,165 612 Trinity Industries, Inc. 31,243 504 Wabash National Corp. 10,750 848 Wabtec Corp. 26,771 -------------- 1,562,247 -------------- WATER UTILITIES (0.0%) 1,855 Aqua America Inc. 52,237 331 California Water Service Group 14,051 1,208 Nalco Holding Co. 22,288 -------------- 88,576 -------------- WHOLESALE DISTRIBUTORS (0.2%) 555 Applied Industries Technologies, Inc. 23,588 2,560 Genuine Parts Co. 108,877 1,133 Grainger (W.W.), Inc. 80,364 485 Handleman Co. 5,762 924 Hughes Supply, Inc. 42,596 657 MSC Industrial Direct Co., Inc. (Class A) 29,519 366 School Specialty, Inc.* 13,743 774 SCP Pool Corp. 30,867 453 United Stationers, Inc.* 22,664 629 WESCO International, Inc.* 30,148 -------------- 388,128 -------------- WIRELESS TELECOMMUNICATIONS (0.1%) 2,097 Alamosa Holdings, Inc.* 39,297 472 Centennial Communications Corp. (Class A)* 4,451 2,170 Dobson Communications Corp. (Class A)* 16,101 </Table> SEE NOTES TO FINANCIAL STATEMENTS 40 <Page> <Table> <Caption> NUMBER OF SHARES VALUE - ------------------------------------------------------------------------- 2,187 Nextel Partners, Inc. (Class A)* $ 61,214 1,896 NII Holdings, Inc. (Class B)* 93,776 694 Price Communications Corp.* 10,486 1,156 SBA Communications Corp.* 25,259 1,186 Suncom Wireless Holdings Inc. (Class A)* 2,135 1,362 Telephone & Data Systems, Inc. 48,800 301 United States Cellular Corp.* 15,321 -------------- 316,840 -------------- TOTAL COMMON STOCKS (COST $168,462,098) 207,918,007 -------------- WARRANTS (0.0%) AEROSPACE & DEFENSE (0.0%) 452 TIMCO Aviation Services, Inc. (expire 02/28/07)* 0 -------------- INTERNET RETAIL (0.0%) 488 Expedia Inc. (expire 02/04/09)* 7,149 488 IAC/InterActiveCorp (expire 02/04/09)* 7,149 -------------- TOTAL WARRANTS (COST $4,569) 14,298 -------------- PRINCIPAL AMOUNT IN THOUSANDS - -------------- SHORT-TERM INVESTMENT (1.7%) REPURCHASE AGREEMENT $ 3,590 Joint repurchase agreement account 4.44% due 02/01/06 (dated 01/31/06; proceeds $3,590,443)(b) (COST $3,590,000) $ 3,590,000 -------------- TOTAL INVESTMENTS (COST $172,056,667) (c) (d) 100.1% 211,522,305 LIABILITIES IN EXCESS OF OTHER ASSETS (0.1) (168,263) ----- -------------- NET ASSETS 100.0% $ 211,354,042 ===== ============== </Table> - ---------- ADR AMERICAN DEPOSITARY RECEIPT. * NON-INCOME PRODUCING SECURITY. ** A PORTION OF THIS SECURITY IS PHYSICALLY SEGREGATED IN CONNECTION WITH OPEN FUTURES CONTRACTS IN THE AMOUNT OF $141,750. (a) SECURITIES WITH TOTAL MARKET VALUES EQUAL TO $0 HAVE BEEN VALUED AT THEIR FAIR VALUE AS DETERMINED IN GOOD FAITH UNDER PROCEDURES ESTABLISHED BY AND UNDER THE GENERAL SUPERVISION OF THE FUND'S TRUSTEES. (b) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS. (c) SECURITIES HAVE BEEN DESIGNATED AS COLLATERAL IN AN AMOUNT EQUAL TO $3,240,737 IN CONNECTION WITH OPEN FUTURES CONTRACTS. (d) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED APPRECIATION IS $71,337,475 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS $31,871,837, RESULTING IN NET UNREALIZED APPRECIATION OF $39,465,638. SEE NOTES TO FINANCIAL STATEMENTS 41 <Page> FUTURES CONTRACTS OPEN AT JANUARY 31, 2006: <Table> <Caption> NUMBER OF DESCRIPTION, DELIVERY UNDERLYING FACE UNREALIZED CONTRACTS LONG/SHORT MONTH AND YEAR AMOUNT AT VALUE APPRECIATION - ------------------------------------------------------------------------------------------------- 35 Long Russell 2000 E-Mini Index $ 2,578,450 $ 145,427 March 2006 3 Long S&P 500 Index 962,700 13,147 March 2006 --------------- Total Unrealized Appreciation $ 158,574 =============== </Table> SEE NOTES TO FINANCIAL STATEMENTS 42 <Page> MORGAN STANLEY TOTAL MARKET INDEX FUND SUMMARY OF INVESTMENTS - JANUARY 31, 2006 <Table> <Caption> PERCENT OF SECTOR VALUE NET ASSETS - -------------------------------------------------- Finance $ 44,321,637 21.0% Electronic Technology 21,544,868 10.2 Health Technology 20,118,170 9.5 Energy Minerals 15,239,429 7.2 Technology Services 13,671,886 6.5 Producer Manufacturing 13,422,393 6.3 Consumer Non-Durables 13,045,368 6.2 Consumer Services 11,835,278 5.6 Retail Trade 11,245,359 5.3 Utilities 7,106,665 3.4 Industrial Services 6,420,631 3.0 Communications 5,819,344 2.8 Health Services 5,396,534 2.6 Process Industries 4,726,246 2.2 Repurchase Agreement 3,590,000 1.7 Transportation 3,518,404 1.7 Consumer Durables 3,467,424 1.6 Non-Energy Minerals 2,569,297 1.2 Commercial Services 2,504,350 1.2 Distribution Services 1,920,731 0.9 Miscellaneous 38,291 0.0 ------------- ----- $ 211,522,305* 100.1% ============= ===== </Table> - ---------- * DOES NOT INCLUDE OUTSTANDING LONG FUTURES CONTRACTS WITH AN UNDERLYING FACE AMOUNT OF $3,541,150 WITH TOTAL UNREALIZED APPRECIATION OF $158,574. SEE NOTES TO FINANCIAL STATEMENTS 43 <Page> MORGAN STANLEY TOTAL MARKET INDEX FUND FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES JANUARY 31, 2006 (UNAUDITED) <Table> ASSETS: Investments in securities, at value (cost $172,056,667) $ 211,522,305 Cash 56,587 Receivable for: Dividends 159,556 Shares of beneficial interest sold 120,457 Investments sold 73,004 Variation margin 7,175 Interest 443 Foreign withholding taxes reclaimed 219 Prepaid expenses and other assets 43,921 ----------------- TOTAL ASSETS 211,983,667 ----------------- LIABILITIES: Payable for: Shares of beneficial interest redeemed 370,905 Distribution fee 151,324 Investments purchased 24,402 Administration fee 14,872 Transfer agent fee 13,361 Investment advisory fee 1,380 Accrued expenses and other payables 53,381 ----------------- TOTAL LIABILITIES 629,625 ----------------- NET ASSETS $ 211,354,042 ================= COMPOSITION OF NET ASSETS: Paid-in-capital $ 228,814,820 Net unrealized appreciation 39,624,212 Accumulated undistributed net investment income 326,265 Accumulated net realized loss (57,411,255) ----------------- NET ASSETS $ 211,354,042 ================= CLASS A SHARES: Net Assets $ 26,002,289 Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 2,325,582 NET ASSET VALUE PER SHARE $ 11.18 ================= MAXIMUM OFFERING PRICE PER SHARE, (NET ASSET VALUE PLUS 5.54% OF NET ASSET VALUE) $ 11.80 ================= CLASS B SHARES: Net Assets $ 136,163,449 Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 12,458,430 NET ASSET VALUE PER SHARE $ 10.93 ================= CLASS C SHARES: Net Assets $ 29,076,813 Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 2,664,052 NET ASSET VALUE PER SHARE $ 10.91 ================= CLASS D SHARES: Net Assets $ 20,111,491 Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 1,784,855 NET ASSET VALUE PER SHARE $ 11.27 ================= </Table> STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2006 (UNAUDITED) <Table> NET INVESTMENT INCOME: INCOME Dividends (net of $203 foreign withholding tax) $ 1,946,196 Interest 94,044 ----------------- TOTAL INCOME 2,040,240 ----------------- EXPENSES Distribution fee (Class A shares) 30,980 Distribution fee (Class B shares) 716,087 Distribution fee (Class C shares) 145,659 Transfer agent fees and expenses 174,114 Investment advisory fee 133,013 Administration fee 88,675 Shareholder reports and notices 60,369 Professional fees 40,816 Registration fees 38,213 Custodian fees 31,662 Trustees' fees and expenses 1,238 Other 11,398 ----------------- TOTAL EXPENSES 1,472,224 ----------------- Less: amounts waived/reimbursed (136,121) NET EXPENSES 1,336,103 ----------------- NET INVESTMENT INCOME 704,137 ----------------- NET REALIZED AND UNREALIZED GAIN: NET REALIZED GAIN ON: Investments 2,764,402 Futures contracts 269,300 Capital gain distribution received 1,408 ----------------- NET REALIZED GAIN 3,035,110 ----------------- NET CHANGE IN UNREALIZED APPRECIATION/ DEPRECIATION ON: Investments 6,689,740 Futures contracts (79,977) ----------------- NET APPRECIATION 6,609,763 ----------------- NET GAIN 9,644,873 ----------------- NET INCREASE $ 10,349,010 ================= </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, 2006 JULY 31, 2005 ----------------- ----------------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income $ 704,137 $ 1,785,442 Net realized gain 3,035,110 3,359,329 Net change in unrealized appreciation 6,609,763 30,564,606 ----------------- ----------------- NET INCREASE 10,349,010 35,709,377 ----------------- ----------------- DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME: Class A shares (296,305) (144,845) Class B shares (424,554) (690,071) Class C shares (127,434) (125,529) Class D shares (302,919) (339,565) ----------------- ----------------- TOTAL DIVIDENDS (1,151,212) (1,300,010) ----------------- ----------------- Net decrease from transactions in shares of beneficial interest (34,844,474) (42,794,685) ----------------- ----------------- NET DECREASE (25,646,676) (8,385,318) NET ASSETS: Beginning of period 237,000,718 245,386,036 ----------------- ----------------- END OF PERIOD INCLUDING ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME OF $326,265 AND $773,340, RESPECTIVELY) $ 211,354,042 $ 237,000,718 ================= ================= </Table> SEE NOTES TO FINANCIAL STATEMENTS 45 <Page> MORGAN STANLEY TOTAL MARKET INDEX FUND NOTES TO FINANCIAL STATEMENTS - JANUARY 31, 2006 (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 eighteen months, 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. Effective August 29, 2005, the Board of Trustees of the Fund approved the implementation of a 2% redemption fee on Class A shares, Class B shares, Class C shares, and Class D shares, which is paid directly to the Fund, for shares redeemed within seven days of purchase. The redemption fee is designed to protect the Fund and its remaining shareholders from the effects of short-term trading. 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 46 <Page> 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 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. 47 <Page> 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. 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 Pursuant to an Investment Advisory Agreement, the Fund pays the Investment Adviser an advisory fee, accrued daily and payable monthly, by applying the following annual rates to the net asset of the Fund determined as of the close of each business day: 0.12% to the portion of the daily net assets not exceeding $2 billion and 0.10% to the portion of the daily net assets in excess of $2 billion. 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. The Investment Adviser has agreed to cap the Fund's operating expenses (except for brokerage and 12b-1 fees) by assuming the Fund's "other expenses" and/or waiving the Fund's Advisory fees, and the Administrator has agreed to waive the Fund's administrative fees, to the extent that such operating expenses exceed 0.40% of the average daily net assets of the Fund on an annualized basis. 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. 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 48 <Page> 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 $11,042,604 at January 31, 2006. 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, 2006, the distribution fee was accrued for Class A shares and Class C shares at the annual rate of 0.24% and 0.99%, respectively. The Distributor has informed the Fund that for the six months ended January 31, 2006, it received contingent deferred sales charges from certain redemptions of the Fund's Class B shares and Class C shares of $180,393 and $2,117, respectively and received $5,403 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, 2006 aggregated $3,250,944 and $35,725,418, respectively. Included in the aforementioned are sales of common stock of Morgan Stanley, an affiliate of the Investment Adviser, Administrator and Distributor, of $152,273, including a realized gain of $26,357. Morgan Stanley Trust, an affiliate of the Investment Adviser, Administrator and Distributor, is the Fund's transfer agent. The Fund has 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 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. 49 <Page> 5. SHARES OF BENEFICIAL INTEREST Transactions in shares of beneficial interest were as follows: <Table> <Caption> FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED JANUARY 31, 2006 JULY 31, 2005 ----------------------------- ----------------------------- (UNAUDITED) SHARES AMOUNT SHARES AMOUNT ------------- ------------- ------------- ------------- CLASS A SHARES Sold 77,802 $ 840,710 446,059 $ 4,701,247 Conversion from Class B 114,258 1,236,677 1,287,631 12,398,688 Reinvestment of dividends 25,066 274,974 13,311 137,233 Redeemed (376,047) (4,042,384) (483,614) (4,852,539) ------------- ------------- ------------- ------------- Net increase (decrease) -- Class A (158,921) (1,690,023) 1,263,387 12,384,629 ------------- ------------- ------------- ------------- CLASS B SHARES Sold 126,904 1,330,672 787,822 7,648,409 Conversion to Class A (117,254) (1,236,677) (1,254,944) (12,398,688) Reinvestment of dividends 35,940 385,639 61,790 622,226 Redeemed (2,324,730) (24,323,761) (5,044,948) (48,868,919) ------------- ------------- ------------- ------------- Net decrease -- Class B (2,279,140) (23,844,127) (5,450,280) (52,996,972) ------------- ------------- ------------- ------------- CLASS C SHARES Sold 142,120 1,494,111 419,450 4,138,191 Reinvestment of dividends 10,428 111,788 10,801 108,765 Redeemed (410,816) (4,277,371) (762,933) (7,432,572) ------------- ------------- ------------- ------------- Net decrease -- Class C (258,268) (2,671,472) (332,682) (3,185,616) ------------- ------------- ------------- ------------- CLASS D SHARES Sold 194,732 2,112,668 1,178,414 11,738,141 Reinvestment of dividends 23,316 257,646 26,843 278,634 Redeemed (826,756) (9,009,166) (1,094,819) (11,013,501) ------------- ------------- ------------- ------------- Net increase (decrease) -- Class D (608,708) (6,638,852) 110,438 1,003,274 ------------- ------------- ------------- ------------- Net decrease in Fund (3,305,037) $ (34,844,474) (4,409,137) $ (42,794,685) ============= ============= ============= ============= </Table> 6. 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. 50 <Page> As of July 31, 2005, the Fund had a net capital loss carryforward of $60,161,051 of which $16,466,437 will expire on July 31, 2010, $32,841,558 will expire on July 31, 2011 and $10,853,056 will expire on July 31, 2012 to offset future capital gains to the extent provided by regulations. As of July 31, 2005, the Fund had temporary book/tax differences primarily attributable to capital loss deferrals on wash sales, the mark-to-market of open futures contracts and tax adjustments on real estate investment trust ("REITs") and partnership investments held by the Fund. 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, filed in the United States District Court Southern District of New York on April 16, 2004, 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 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 9, 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 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. 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 ("futures contracts"). Futures contracts involve elements of market risk in excess of the amount reflected in the Statement of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the value of the underlying securities. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. 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, 2006 2005 2004 2003 2002 2001 ----------------- -------- -------- -------- -------- -------- (UNAUDITED) CLASS A SHARES SELECTED PER SHARE DATA: Net asset value, beginning of period $ 10.74 $ 9.32 $ 8.33 $ 7.52 $ 9.70 $ 11.38 ----------------- -------- -------- -------- -------- -------- Income (loss) from investment operations: Net investment income++ 0.06 0.13 0.08 0.08 0.06 0.06 Net realized and unrealized gain (loss) 0.51 1.41 0.98 0.76 (2.24) (1.74) ----------------- -------- -------- -------- -------- -------- Total income (loss) from investment operations 0.57 1.54 1.06 0.84 (2.18) (1.68) ----------------- -------- -------- -------- -------- -------- Less dividends from net investment income (0.13) (0.12) (0.07) (0.03) - - ----------------- -------- -------- -------- -------- -------- Net asset value, end of period $ 11.18 $ 10.74 $ 9.32 $ 8.33 $ 7.52 $ 9.70 ================= ======== ======== ======== ======== ======== TOTAL RETURN+ 5.33%(1) 16.53% 12.79% 11.23% (22.47)% (14.76)% RATIOS TO AVERAGE NET ASSETS(3)(4): Expenses 0.64%(2) 0.65% 0.72% 0.75% 0.75% 0.71% Net investment income 1.20%(2) 1.33% 0.91% 1.01% 0.67% 0.58% SUPPLEMENTAL DATA: Net assets, end of period, in thousands $ 26,002 $ 26,673 $ 11,383 $ 12,865 $ 13,410 $ 16,678 Portfolio turnover rate 2%(1) 5% 3% 4% 4% 7% </Table> - ---------- ++ 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 AND ADMINISTRATOR, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME RATIOS WOULD HAVE BEEN AS FOLLOWS: <Table> <Caption> EXPENSE NET INVESTMENT YEAR ENDED RATIO INCOME RATIO ---------------- ------------- ------------------- JANUARY 31, 2006 0.76% 1.07% JULY 31, 2005 0.84 1.14 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 </Table> SEE NOTES TO FINANCIAL STATEMENTS 52 <Page> <Table> <Caption> FOR THE SIX FOR THE YEAR ENDED JULY 31, MONTHS ENDED ------------------------------------------------------------- JANUARY 31, 2006 2005 2004 2003 2002 2001 ---------------- --------- --------- --------- --------- --------- (UNAUDITED) CLASS B SHARES SELECTED PER SHARE DATA: Net asset value, beginning of period $ 10.44 $ 9.07 $ 8.11 $ 7.35 $ 9.56 $ 11.31 ---------------- --------- --------- --------- --------- --------- Income (loss) from investment operations: Net investment income (loss)++ 0.02 0.06 0.01 0.02 (0.01) (0.02) Net realized and unrealized gain (loss) 0.50 1.35 0.97 0.75 (2.20) (1.73) ---------------- --------- --------- --------- --------- --------- Total income (loss) from investment operations 0.52 1.41 0.98 0.77 (2.21) (1.75) ---------------- --------- --------- --------- --------- --------- Less dividends from net investment income (0.03) (0.04) (0.02) (0.01) - - ---------------- --------- --------- --------- --------- --------- Net asset value, end of period $ 10.93 $ 10.44 $ 9.07 $ 8.11 $ 7.35 $ 9.56 ================ ========= ========= ========= ========= ========= TOTAL RETURN+ 5.02%(1) 15.53% 12.05% 10.46% (23.12)% (15.47)% RATIOS TO AVERAGE NET ASSETS(3)(4): Expenses 1.40%(2) 1.40% 1.47% 1.50% 1.50% 1.50% Net investment income (loss) 0.44%(2) 0.58% 0.16% 0.26% (0.08) (0.21) SUPPLEMENTAL DATA: Net assets, end of period, in thousands $ 136,163 $ 153,897 $ 183,031 $ 182,932 $ 191,843 $ 290,758 Portfolio turnover rate 2%(1) 5% 3% 4% 4% 7% </Table> - ---------- ++ 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 AND ADMINISTRATOR, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME (LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS: <Table> <Caption> EXPENSE NET INVESTMENT YEAR ENDED RATIO INCOME (LOSS) RATIO ---------------- -------- ------------------- JANUARY 31, 2006 1.52% 0.32% JULY 31, 2005 1.59 0.39 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) </Table> SEE NOTES TO FINANCIAL STATEMENTS 53 <Page> <Table> <Caption> FOR THE SIX FOR THE YEAR ENDED JULY 31, MONTHS ENDED ------------------------------------------------------------ JANUARY 31, 2006 2005 2004 2003 2002 2001 ----------------- -------- -------- -------- -------- -------- (UNAUDITED) CLASS C SHARES SELECTED PER SHARE DATA: Net asset value, beginning of period $ 10.44 $ 9.07 $ 8.11 $ 7.36 $ 9.56 $ 11.31 Income (loss) from investment operations: ----------------- -------- -------- -------- -------- -------- Net investment income (loss)++ 0.02 0.06 0.01 0.02 0.00 (0.02) Net realized and unrealized gain (loss) 0.50 1.35 0.97 0.74 (2.20) (1.73) ----------------- -------- -------- -------- -------- -------- Total income (loss) from investment operations 0.52 1.41 0.98 0.76 (2.20) (1.75) ----------------- -------- -------- -------- -------- -------- Less dividends from net investment income (0.05) (0.04) (0.02) (0.01) - - ----------------- -------- -------- -------- -------- -------- Net asset value, end of period $ 10.91 $ 10.44 $ 9.07 $ 8.11 $ 7.36 $ 9.56 ================= ======== ======== ======== ======== ======== TOTAL RETURN+ 4.96%(1) 15.57% 12.13% 10.31% (23.01)% (15.47)% RATIOS TO AVERAGE NET ASSETS(3)(4): Expenses 1.39%(2) 1.38% 1.47% 1.50% 1.42% 1.50% Net investment income (loss) 0.45%(2) 0.60% 0.16% 0.26% 0.00% (0.21)% SUPPLEMENTAL DATA: Net assets, end of period, in thousands $ 29,077 $ 30,513 $ 29,514 $ 23,483 $ 24,616 $ 35,607 Portfolio turnover rate 2%(1) 5% 3% 4% 4% 7% </Table> - ---------- ++ 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 AND ADMINISTRATOR, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME (LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS: <Table> <Caption> EXPENSE NET INVESTMENT YEAR ENDED RATIO INCOME (LOSS) RATIO ---------------- ------------- ------------------- JANUARY 31, 2006 1.51% 0.33% JULY 31, 2005 1.57 0.41 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) </Table> SEE NOTES TO FINANCIAL STATEMENTS 54 <Page> <Table> <Caption> FOR THE SIX FOR THE YEAR ENDED JULY 31, MONTHS ENDED ------------------------------------------------------------ JANUARY 31, 2006 2005 2004 2003 2002 2001 ----------------- -------- -------- -------- -------- -------- (UNAUDITED) CLASS D SHARES SELECTED PER SHARE DATA: Net asset value, beginning of period $ 10.83 $ 9.40 $ 8.40 $ 7.57 $ 9.74 $ 11.41 Income (loss) from investment operations: ----------------- -------- -------- -------- -------- -------- Net investment income++ 0.08 0.16 0.11 0.09 0.08 0.08 Net realized and unrealized gain (loss) 0.51 1.41 0.99 0.78 (2.25) (1.75) ----------------- -------- -------- -------- -------- -------- Total income (loss)from investment operations 0.59 1.57 1.10 0.87 (2.17) (1.67) ----------------- -------- -------- -------- -------- -------- Less dividends from net investment income (0.15) (0.14) (0.10) (0.04) - - ----------------- -------- -------- -------- -------- -------- Net asset value, end of period $ 11.27 $ 10.83 $ 9.40 $ 8.40 $ 7.57 $ 9.74 ================= ======== ======== ======== ======== ======== TOTAL RETURN+ 5.52%(1) 16.75% 13.11% 11.54% (22.28)% (14.64)% RATIOS TO AVERAGE NET ASSETS(3)(4): Expenses 0.40%(2) 0.40% 0.47% 0.50% 0.50% 0.50% Net investment income 1.44%(2) 1.58% 1.16% 1.26% 0.92% 0.79% SUPPLEMENTAL DATA: Net assets, end of period, in thousands $ 20,111 $ 25,918 $ 21,458 $ 13,347 $ 6,506 $ 7,329 Portfolio turnover rate 2%(1) 5% 3% 4% 4% 7% </Table> - ---------- ++ 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 AND ADMINISTRATOR, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME RATIOS WOULD HAVE BEEN AS FOLLOWS: <Table> <Caption> EXPENSE NET INVESTMENT YEAR ENDED RATIO INCOME RATIO ---------------- ------------- ------------------- JANUARY 31, 2006 0.52% 1.32% JULY 31, 2005 0.59 1.39 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 </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 Ronald E. Robison PRESIDENT AND PRINCIPAL EXECUTIVE OFFICER J. David Germany VICE PRESIDENT Dennis F. Shea 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) 2006 Morgan Stanley 36085RPT-RA06-00227P-Y01/06 [MORGAN STANLEY LOGO] [GRAPHIC] MORGAN STANLEY FUNDS MORGAN STANLEY TOTAL MARKET INDEX FUND Semiannual Report January 31, 2006 [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 23, 2006 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 23, 2006 /s/ Francis Smith Francis Smith Principal Financial Officer March 23, 2006