<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
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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
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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