OMB APPROVAL
OMB Number: 3235-0570
Expires: Nov. 30, 2005
Estimated average burden hours per response: 5.0
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-08941
---------------------------------------------
The Vantagepoint Funds
-----------------------------------------------------------------------
(Exact name of registrant as specified in charter)
777 North Capitol Street, NE, Washington D.C. 20002-4240
-----------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Paul Gallagher, Secretary of the registrant
777 North Capitol Street, NE, Suite 600, Washington D.C. 20002-4240
-----------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 202-962-4600
-------------------
Date of fiscal year end: 12/31/03
----------------------------
Date of reporting period: 01/01/03 - 06/30/03
---------------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
Form N-CSR(2 of 3)
------------------
Item 1 (Report to Shareholders): The semi-annual report is attached.
THE VANTAGEPOINT FUNDS
Semiannual Report
June 30, 2003
[GRAPHIC]
[The Vantagepoint(R) funds logo]
Table of Contents
Letter from Joan McCallen ............................................... 1
Letter from VANTAGEPOINT INVESTMENT ADVISERS, LLC ....................... 2
Vantagepoint Fund Returns ............................................... 5
Vantagepoint Funds Investment Objectives ................................ 7
Vantagepoint Funds
Statements of Assets and Liabilities ................................. 12
Statements of Operations ............................................. 16
Statements of Changes in Net Assets .................................. 20
Financial Highlights ................................................. 31
Notes to Financial Statements ........................................ 55
Schedules of Investments ............................................. 69
Master Investment Portfolio
Statements of Assets and Liabilities ................................. 120
Statements of Operations ............................................. 121
Statements of Changes in Net Assets .................................. 122
Notes to the Financial Statements .................................... 124
Schedule of Investments .............................................. 131
JOAN McCALLEN 777 North Capitol Street, NE
Acting President Washington, DC 20002-4240
Dear Shareholders:
The prospects for improvement in the economy boosted the spirits of
shareholders, and the Vantagepoint Funds participated in this optimism during
the first half of the year. It was certainly a welcome relief for our investors.
Our long-term focus helps us maintain our perspective, maintaining a steady hand
during difficult periods and allowing our funds to participate when the trends
turn more favorable. We believe that our investors benefit from this investment
approach.
While past performance is no guarantee of future results, we believe that the
performance of our funds demonstrates the value of our multi-management
strategy, which helped us to weather the difficult periods, while still being
able to participate as the economy recovered.
With the economy providing mixed signals on its future path, we believe the
multi-management approach, with its diversification of fund managers, provides a
steadying influence that is appropriate for retirement plan investors.
Our team of investment professionals continues to closely monitor our funds to
seek to maintain the correct balance among our diverse group of skilled
subadvisers. This is the essence of the multi-management system that is central
to the investment philosophy followed by our funds.
Most of you invest in our funds through retirement accounts supported and
administered by the ICMA Retirement Corporation ("ICMA-RC"). ICMA-RC continues
to find new ways to help meet your investment needs. ICMA-RC's e-Delivery system
now provides online statements and confirmations for investors, speeding
delivery and reducing the paper burden. ICMA-RC's new VantageView service allows
participants to consolidate all of their investment accounts on a single Web
page.
ICMA-RC has also continued to add content and tools to enhance its VantageLink
Web site (www.icmarc.org), and the VantagePlanning service continues to expand
to provide guidance for those who want help in building their investment
program.
As always, ICMA-RC is dedicated to helping you meet your retirement goals, with
a consistent investment philosophy and top-quality service.
Sincerely,
/s/ Joan McCallen
Joan McCallen
[The Vantagepoint(R) funds logo]
Vantagepoint securities are distributed by ICMA-RC Services, LLC, a
broker-dealer affiliate of ICMA-RC, member NASD/SIPC. ICMA-RC Services LLC, 777
North Capitol Street NE, Washington, DC 20002-4240. VantagePlanning fee based
financial planning services are offered through the ICMA Retirement Corporation,
a federally registered Investment Adviser.
1
777 North Capitol Street, NE
Washington, DC 20002-4240
LETTER FROM VANTAGEPOINT INVESTMENT ADVISERS, LLC
Dear Shareholders:
For the six-months ended June 30, 2003, the financial markets generated positive
results across most asset classes. Investors who justifiably have come to dread
reviewing their account statements were cheered by the improved stock market.
The large-cap S&P 500 Index returned 11.8% and smaller stocks measured by the
Wilshire 4500 Index returned 17.5%. International stocks participated in the
rally as well, with the MSCI EAFE Index producing a total return of 9.8%, about
half of which can be credited to a weakening dollar. The Lehman Aggregate Bond
Index gained 3.9% as yields dropped sharply, before rebounding in mid-June.
Gains Occur in a Tumultuous First Half
The path to improved returns in the first half of 2003 was not smooth, however.
Stocks moved lower in January and February as investors shied away from risk in
a murky economic environment clouded by impending war and elevated terror
alerts. The turning point came on March 11-12 when war became a certainty,
eliminating some of the ambiguity that had previously limited risk-taking.
Belief in a quick U.S. victory whetted investors' appetites for risk and stocks
moved strongly off their lows.
The rally was fed further in May by the third-largest tax cut in history, which
included cuts in both the capital gains and dividend tax rates. The dividend tax
reduction was a particular boon to value stocks, which outperformed growth
stocks for the six months ended June 30, 2003.
The tax cuts may have been a clear positive for investors, but the economic data
released during the period sent mixed signals. The stock market, usually a
leading indicator of economic growth, gave some reason for optimism, especially
since small stocks led larger stocks, which is typical of recoveries. Gross
domestic product grew, albeit slowly, but consumer spending, rather than
business spending, was the sole source of growth. Job losses continued mounting
more than 18 months after the official end of the recession.
Without clear-cut evidence of sustainable economic strength, interest rates fell
during most of the first half of 2003. Wary investors piled into bonds early in
the year, pushing yields to 40- and 50-year lows in what some called a bubble,
before the stock market took off and interest rates abruptly began to rise in
mid-June. The Federal Reserve lowered the overnight lending target rate on June
24--the 13th consecutive reduction--to 1.00%, below the inflation rate, with the
goal of providing additional economic stimulus and insurance against deflation.
It remains to be seen whether or not these low interest rates will bring about
accelerated growth; in the meantime, they have pressured money market fund
yields to new low levels that are barely positive.
Vantagepoint Funds Perform Well Despite Difficult Market
At Vantagepoint Investment Advisers, LLC, we continue to believe that,
historically, diversification has been one of the keys to investment success
over the long-term and also in a volatile market driven by sudden gyrations in
sentiment. The Vantagepoint Funds' multi-management strategy is grounded in the
philosophy that diversification among skilled money managers with complementary
investment styles
[Vantagepoint(R) Investment Advisers, LLC logo]
2
can produce better results, balancing return and risk, than a single manager
alone. The multi-manager strategy employed for our equity funds dampened some of
the first-half year's volatility and enabled the Funds to perform well in both
the risk-averse first quarter and the risk-embracing second quarter:
Vantagepoint Actively Managed Funds
* indicates that the Fund is multi-managed
Money Market Fund 0.4%
* Income Preservation Fund 1.9%
US Government Securities Fund 2.5%
Asset Allocation Fund 11.3%
* Equity Income Fund 12.7%
* Growth & Income Fund 13.3%
* Growth Fund 11.2%
* Aggressive Opportunities Fund 18.7%
* International Fund 6.6%
Total return for six months ended 6/30/2003.
The Vantagepoint Model Portfolio Funds also performed well, reinforcing our
belief in the benefits of a diversified approach to investing. Each of the Model
Portfolio Funds earned a positive return consistent with its particular
investment objective and level of risk:
Vantagepoint Model Portfolio Funds
Savings Oriented Fund 4.5%
Conservative Growth Fund 6.5%
Traditional Growth Fund 8.6%
Long-term Growth Fund 11.0%
All-Equity Growth Fund 12.3%
Total return for six months ended 6/30/2003.
The Vantagepoint Index Funds continued to provide broad exposure to securities
represented by their target indices at relatively low cost:
Vantagepoint Index Funds Class I Class II
Core Bond Index Fund 3.7% 3.9%
500 Stock Index Fund 11.4% 11.5%
Broad Market Index Fund 12.6% 12.7%
Mid/Small Company Index Fund 16.7% 16.8%
Overseas Equity Index Fund 9.3% 9.3%
Total return for six months ended 6/30/2003.
Uncertain Future Demands Thoughtful Investing
Where will the economy and financial markets go from here? Based on available
data, the outlook is still unclear.
It is likely that the bull market in which bond investors flourished for the
past two decades has ended. Since reaching 45-year lows on June 13, U.S. bond
yields have risen sharply in reaction to increased government borrowing, a
growing deficit and conviction that the Fed will tolerate rising inflation in
order to stave off deflation. Since bond yields and bond prices move inversely,
bond prices tumbled and investors have experienced negative total returns in
recent weeks.
3
Higher interest rates may affect the pace of the economic recovery. While
consumers have done a yeoman's job of keeping the economy growing through their
spending, there are concerns that spending may slow as mortgage rates rise and
other credit becomes more expensive and if property values plateau or credit is
depleted. Further, the recovery thus far has been "jobless," a euphemistic term
that glosses over the fact that existing jobs have continued to be eliminated
since the recovery began. With the unemployment rate at a nine-year high and
nearly one million jobs eliminated since the end of the recession in November
2001, new job creation is needed to confirm a return to sustainable broad-based
economic growth.
While doubts exist about the consumer's stamina, business spending may have
turned a corner. In the second quarter, year-over-year business spending was
positive for the first time in more than two years. However, the return to
government deficits has the potential to inhibit business spending growth, since
it can both push interest rates higher and squeeze the private sector out of the
credit markets, further delaying investment.
Inflation remains low but positive. Federal Reserve Chairman Alan Greenspan has
signaled his determination to prevent deflation, a phenomenon that stymied
economic recovery in Japan after its stock market and real estate bubbles burst
in the early 1990s. While lower prices sound attractive on the surface,
deflation creates a pervasive economic downdraft in which consumers defer
purchases, anticipating lower prices to come. As a result, businesses slow
production, idling capacity and eroding employment, which further crimps
consumer spending. Continued positive inflation readings offer some comfort that
we're not consigned to the same pattern.
Turning from the economy to the stock market, equity market valuations are high
compared to long-run averages. As of June 30, the ratio of 2003 earnings to
current price for S&P 500 Index companies was 23.0. That's not inconsistent with
an average P/E ratio of 23.5 for S&P 500 companies since 1989, but about 50%
higher than the long-run average P/E ratio of 15.5. Given the uncertainties that
exist at the moment, should stocks command higher-than-average valuations?
Near-term earnings growth appears to be factored into today's stock prices
already. However, if the recovery accelerates and corporate revenues and
earnings follow suit, today's valuations may be justified.
In short, the facts we know today don't point investors definitively in one
direction. While the fundamentals are in place for a return to economic growth,
market-hampering risks remain. What matters in this environment is investors'
abilities to withstand and even profit from this volatile, unpredictable and
rotational market. We believe that our multi-management strategy has
historically produced competitive returns with lower volatility in a range of
market environments, and is structured to continue to serve investors in The
Vantagepoint Funds in these uncertain times.
Sincerely,
Vantagepoint Investment Advisers, LLC
The information herein was obtained from various sources; we do not guarantee
its accuracy or completeness. Neither the information nor any opinion expressed
constitutes an offer, or an invitation to make an offer, to buy or sell any
securities. This information is intended for educational purposes only and is
not to be construed or relied upon as investment advice. It does not have regard
to the specific investment objectives, financial situation and the particular
needs of any specific person who may receive this information. Investors should
seek financial advice regarding the appropriateness of investing in any
securities or investment strategies discussed or recommended here and should
understand that statements regarding future prospects may not be realized.
Investors should note that income from securities, if any, may fluctuate and
that each security's price or value may rise or fall. Accordingly, investors may
receive back less than originally invested. Past performance is not necessarily
a guide to future performance. Please consult the current Vantagepoint Funds
prospectus carefully prior to investing any money. Vantagepoint securities are
distributed by ICMA-RC Services, LLC, a broker-dealer affiliate of ICMA-RC,
member NASD/SIPC. ICMA-RC Services LLC, 777 North Capitol Street NE, Washington,
DC 20002-4240. 1-800-669-7400.
4
Vantagepoint Fund Returns*
01/01/03 - 1 Year 3 Years 5 Years 10 Years Since Inception
6/30/03 Inception Date
- -------------------------------------------------------------------------------------------------------------------------------
Actively Managed Funds
- -------------------------------------------------------------------------------------------------------------------------------
Money Market Fund(1) 0.36% 0.96% 2.83% -- -- 3.54% 3/99
Income Preservation 1.88% 4.04% -- -- -- 4.53% 12/00
US Government Securities Fund 2.46% 7.80% 8.86% 6.69% 6.08% -- 7/92
Asset Allocation Fund 11.29% 2.69% -4.86% 0.32% 8.41% -- 12/74
Equity Income Fund 12.71% -0.95% 5.36% 2.73% -- 11.49% 4/94
Growth & Income Fund 13.26% 2.08% -5.44% -- -- 7.26% 10/98
Growth Fund 11.16% -1.40% -13.22% 0.30% 9.38% -- 4/83
Aggressive Opportunities Fund 18.66% -1.85% -18.32% -1.76% -- 9.33% 10/94
International Fund 6.62% -8.86% -14.39% -3.87% -- 1.64% 10/94
- -------------------------------------------------------------------------------------------------------------------------------
Index Funds
- -------------------------------------------------------------------------------------------------------------------------------
Core Bond Index Fund I 3.72% 10.12% 9.87% 6.92% -- 7.54% 6/97
Core Bond Index Fund II 3.90% 10.41% 10.08% -- -- 7.72% 4/99
500 Stock Index Fund I 11.38% -0.21% -11.61% -2.06% -- 3.36% 6/97
500 Stock Index Fund II 11.50% 0.00% -11.42% -- -- -5.40% 4/99
Broad Market Index Fund I 12.63% 0.76% -11.34% -1.73% -- 9.60% 10/94
Broad Market Index Fund II 12.69% 0.91% -11.15% -- -- -4.27% 4/99
Mid/Small Company Index Fund I 16.69% 3.96% -10.18% -0.49% -- 3.51% 6/97
Mid/Small Company Index Fund II 16.77% 4.13% -10.01% -- -- -0.08% 4/99
Overseas Equity Index Fund I 9.28% -7.21% -13.98% -4.71% -- -2.25% 6/97
Overseas Equity Index Fund II 9.27% -7.10% -13.82% -- -- -6.36% 4/99
5
Vantagepoint Fund Returns*
01/01/03 - 1 Year 3 Years 5 Years 10 Years Since Inception
6/30/03 Inception Date
- -------------------------------------------------------------------------------------------------------------------------------
Model Portfolio Funds
- -------------------------------------------------------------------------------------------------------------------------------
Savings Oriented
Model Portfolio Fund 4.52% 3.53% 3.35% 4.38% -- 6.80% 2/95
Conservative Growth
Model Portfolio Fund 6.50% 3.10% 0.52% 3.78% -- 6.48% 4/96
Traditional Growth
Model Portfolio Fund 8.61% 1.83% -2.98% 2.92% -- 6.63% 4/96
Long-Term Growth
Model Portfolio Fund 10.98% 1.01% -6.54% 2.42% -- 6.85% 4/96
All-Equity Growth
Model Portfolio Fund 12.33% -2.10% -- -- -- -11.20% 10/00
The Vantagepoint Actively Managed Funds and Index Funds were registered in March
1999. The Model Portfolio Funds and the Income Preservation Fund were registered
in December 2000. However, certain Vantagepoint Funds (those with inception
dates prior to March 1999) are patterned on, have the same investment
objectives, and are operated in substantially the same fashion, as funds that
have been offered through the VantageTrust, an unregistered commingled fund
which holds and invests the assets of public sector retirement plans.
Substantially all of the portfolio securities of each Vantagepoint Fund were
transferred from the corresponding fund of the VantageTrust. The underlying
portfolio of each fund of the VantageTrust currently consists solely of the
shares of the corresponding Vantagepoint Fund in which it invests.
The performance shown for periods longer than three years (Actively Managed and
Index Funds) and one year (Model Portfolio and Income Preservation Funds) is the
performance an investor would have received had the funds of the VantageTrust
charged the same asset-based fees and expenses as the corresponding Vantagepoint
Funds. Those fees and expenses are set forth in the current Vantagepoint Funds
prospectus. The VantageTrust's index funds offered a single class of shares.
Actual performance of the Vantagepoint Funds may vary from that illustrated.
Past performance does not guarantee future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. All returns reflect reinvested dividends.
* Please consult both the current prospectus and Making Sound Investment
Decisions: A Retirement Investment Guide, carefully prior to investing any
money. Vantagepoint securities are distributed by ICMA-RC Services, LLC, a
broker-dealer affiliate of ICMA-RC, member NASD/SIPC. 1-800-669-7400.
(1) Investments in the Vantagepoint Money Market Fund are not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although the Fund seeks to preserve the value of your
investment at $1.00 per share, it is possible to lose money by investing in
the Fund.
6
Vantagepoint Funds Investment Objectives*
(Fund ticker symbols are included in parentheses after Fund names.)
Actively Managed Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Money Market Fund(1) (VAMXX) Year Founded: 1999 Total Net Assets: $119 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Current income consistent with maintaining liquidity and a stable share
price of $1.00
Investment Adviser: AIM Advisors, Inc. (AIM Short-Term Investment Co. Liquid Portfolio)
Market Benchmark: 30-Day T-Bill
- ------------------------------------------------------------------------------------------------------------------------------------
Income Preservation Fund(2) (VPIPX) Year Founded: 2000 Total Net Assets: $523 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Current income consistent with preserving principal and seeking to
maintain a stable net asset value per share
Investment Subadvisers: Payden & Rygel Investment Counsel
Pacific Investment Management Company, LLC (PIMCO)
Wellington Management Company, LLP
Market Benchmark: 91-Day T-Bill
- ------------------------------------------------------------------------------------------------------------------------------------
US Government Securities Fund (VPTSX) Year Founded: 1992 Total Net Assets: $234 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Current income
Investment Subadviser: Seix Investment Advisors, Inc.
Market Benchmark: Lehman Brothers Intermediate Government Bond Index
Mutual Fund Benchmark: Lipper Intermediate US Government Funds Index
- ------------------------------------------------------------------------------------------------------------------------------------
Asset Allocation Fund (VPAAX) Year Founded: 1974 Total Net Assets: $695 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Long-term capital growth at a lower level of risk than an all-equity portfolio
Investment Subadviser: Mellon Capital Management Corporation
Market Benchmark: 65% S&P 500 Index / 25% Lehman Long-Term Treasury Index /
10% 91-Day T-Bill
Mutual Fund Benchmark: Lipper Flexible Portfolio Funds Index
(1) Investments in the Vantagepoint Money Market Fund are not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although the Fund seeks to preserve the value of your
investment at $1.00 per share, it is possible to lose money by investing in
the Fund.
(2) For IRA and VantageCare Retirement Health Savings Plan investors, a
transaction fee of 2% may be applied to the value of amounts transferred
from the Income Preservation Fund, but only during certain periods. Consult
the current prospectus for additional information.
7
- ------------------------------------------------------------------------------------------------------------------------------------
Equity Income Fund (VPEIX) Year Founded: 1994 Total Net Assets: $643 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Long-term capital growth with consistency derived from dividend yield
Investment Subadvisers: Barrow, Hanley, Mewhinney, & Strauss, Inc.
Southeastern Asset Management, Inc.
T. Rowe Price Associates, Inc.
Market Benchmark: S&P/BARRA Value Index
Mutual Fund Benchmark: Lipper Equity Income Funds Index
- ------------------------------------------------------------------------------------------------------------------------------------
Growth & Income Fund (VPGIX) Year Founded: 1998 Total Net Assets: $603 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Long-term capital growth and current income
Investment Subadvisers: Capital Guardian Trust Company
T. Rowe Price Associates, Inc.
Wellington Management Company, LLP
Market Benchmark: S&P 500 Index
Mutual Fund Benchmark: Lipper Growth & Income Funds Index
- ------------------------------------------------------------------------------------------------------------------------------------
Growth Fund (VPGRX) Year Founded: 1983 Total Net Assets: $2,279 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Long-term capital growth
Investment Subadvisers: Barclays Global Fund Advisors
Brown Capital Management, Inc.
Fidelity Management and Research Company
Peregrine Capital Management, Inc.
Tukman Capital Management, Inc.
Market Benchmark: Wilshire 5000 Index
Mutual Fund Benchmark: Lipper Growth Funds Index
- ------------------------------------------------------------------------------------------------------------------------------------
Aggressive Opportunities Fund (VPAOX) Year Founded: 1994 Total Net Assets: $701 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: High long-term capital appreciation
Investment Subadvisers: Southeastern Asset Management, Inc.
T. Rowe Price Associates, Inc.
Wellington Management Company, LLP
Market Benchmark: Wilshire 4500 Index
Mutual Fund Benchmark: Lipper Capital Appreciation Funds Index
- ------------------------------------------------------------------------------------------------------------------------------------
International Fund (VPINX) Year Founded: 1994 Total Net Assets: $317 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Long-term capital growth and diversification by country
Investment Subadvisers: Artisan Partners Limited Partnership
Capital Guardian Trust Company
Market Benchmark: MSCI Europe, Australasia, Far East (EAFE) Index
Mutual Fund Benchmark: Lipper International Funds Index
8
Index Funds
Each Vantagepoint Index Fund invests in a Master Portfolio with the same
objectives and policies. The Master Portfolios are managed by Barclays Global
Fund Advisors.
(Class I and II ticker symbols are listed.)
- ------------------------------------------------------------------------------------------------------------------------------------
Core Bond Index Fund (VPCIX/VPCDX) Year Founded: 1997 Total Net Assets: $577 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Current income by approximating the performance of the Lehman
Brothers Aggregate Bond Index
Market Benchmark: Lehman Brothers Aggregate Bond Index
- ------------------------------------------------------------------------------------------------------------------------------------
500 Stock Index Fund (VPFIX/VPSKX) Year Founded: 1997 Total Net Assets: $253 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Long-term capital growth by approximating the performance of the
S&P 500 Index
Market Benchmark: S&P 500 Index
- ------------------------------------------------------------------------------------------------------------------------------------
Broad Market Index Fund (VPMIX/VPBMX) Year Founded: 1994 Total Net Assets: $444 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Long-term capital growth by approximating the performance of the
Wilshire 5000 Index
Market Benchmark: Wilshire 5000 Index
- ------------------------------------------------------------------------------------------------------------------------------------
Mid/Small Company Index Fund (VPSIX/VPMSX) Year Founded: 1997 Total Net Assets: $65 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Long-term capital growth by approximating the performance of the
Wilshire 4500 Index
Market Benchmark: Wilshire 4500 Index
- ------------------------------------------------------------------------------------------------------------------------------------
Overseas Equity Index Fund (VPOIX/VPOEX) Year Founded: 1997 Total Net Assets: $53 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Long-term capital growth and diversification by approximating the
performance of the Morgan Stanley Capital International Europe,
Australasia, Far East (EAFE) Free Index
Market Benchmark: MSCI Europe, Australasia, Far East (EAFE) Free Index
9
Model Portfolio Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Savings Oriented Fund (VPSOX) Year Founded: 1995 Total Net Assets: $176 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Capital preservation, reasonable current income, and some capital
growth, while limiting risk
Target Allocation: 65% Vantagepoint Income Preservation Fund
10% Vantagepoint US Government Securities Fund
10% Vantagepoint Equity Income Fund
10% Vantagepoint Growth & Income Fund
5% Vantagepoint International Fund
Market Benchmark: 65% 30-Day T-Bills / 10% Lehman Brothers Aggregate Bond Index /
20% Wilshire 5000 Index / 5% MSCI Europe, Australasia, Far East
(EAFE) Index
- ------------------------------------------------------------------------------------------------------------------------------------
Conservative Growth Fund (VPCGX) Year Founded: 1996 Total Net Assets: $316 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Reasonable current income and capital preservation, with modest
potential for capital growth
Target Allocation: 50% Vantagepoint Income Preservation Fund
10% Vantagepoint Core Bond Index Fund
10% Vantagepoint Equity Income Fund
10% Vantagepoint Growth & Income Fund
10% Vantagepoint Growth Fund
5% Vantagepoint Aggressive Opportunities Fund
5% Vantagepoint International Fund
Market Benchmark: 50% 30-Day T-Bills / 10% Lehman Brothers Aggregate Bond Index /
35% Wilshire 5000 Index / 5% MSCI Europe, Australasia, Far East
(EAFE) Index
- ------------------------------------------------------------------------------------------------------------------------------------
Traditional Growth Fund (VPTGX) Year Founded: 1996 Total Net Assets: $631 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: Moderate capital growth and reasonable current income
Target Allocation: 30% Vantagepoint Income Preservation Fund
10% Vantagepoint Core Bond Index Fund
10% Vantagepoint Equity Income Fund
15% Vantagepoint Growth & Income Fund
15% Vantagepoint Growth Fund
10% Vantagepoint Aggressive Opportunities Fund
10% Vantagepoint International Fund
Market Benchmark: 30% 30-Day T-Bills / 10% Lehman Brothers Aggregate Bond Index /
50% Wilshire 5000 Index / 10% MSCI Europe, Australasia, Far East
(EAFE) Index
10
- ------------------------------------------------------------------------------------------------------------------------------------
Long-Term Growth Fund (VPLGX) Year Founded: 1996 Total Net Assets: $633 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: High long-term capital growth and modest current income
Target Allocation: 20% Vantagepoint Core Bond Index Fund
10% Vantagepoint Equity Income Fund
20% Vantagepoint Growth & Income Fund
20% Vantagepoint Growth Fund
15% Vantagepoint Aggressive Opportunities Fund
5% Vantagepoint Overseas Equity Index Fund
10% Vantagepoint International Fund
Market Index: 20% Lehman Brothers Aggregate Bond Index /
65% Wilshire 5000 Index / 15% MSCI Europe, Australasia, Far East
(EAFE) Index
- ------------------------------------------------------------------------------------------------------------------------------------
All-Equity Growth Fund (VPAGX) Year Founded: 2000 Total Net Assets: $79 million
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Objective: High long-term capital growth
Target Allocation: 15% Vantagepoint Equity Income Fund
20% Vantagepoint Growth & Income Fund
25% Vantagepoint Growth Fund
20% Vantagepoint Aggressive Opportunities Fund
20% Vantagepoint International Fund
Market Index: 80% Wilshire 5000 Index / 20% MSCI Europe, Australasia, Far East
(EAFE) Index
* This information is current as of publication date.
11
VANTAGEPOINT FUNDS
Statements of Assets & Liabilities
June 30, 2003 (Unaudited)
Money Income
Market Preservation
----------------- ----------------
ASSETS:
Securities, at market value+ ....................... $ 119,265,166 $ 573,044,500
Cash ............................................... -- 9,753,786
Receivable for:
Dividends ......................................... -- --
Interest .......................................... 114,273 3,929,388
Investments sold .................................. -- 905,316
Recoverable foreign taxes ......................... -- --
Variation margin on futures contracts ............. -- 82,512
------------- -------------
Total Assets ..................................... 119,379,439 587,715,502
------------- -------------
LIABILITIES:
Payable for:
Investments purchased ............................. -- 2,924,395
When issued securities ............................ -- 30,988,150
Collateral for securities loaned .................. -- 4,897,420
Distribution to shareholders ....................... 63,516 1,532,834
Accrued Expenses:
Administrative services fees ...................... 1,794 9,767
Advisory fees ..................................... 10,165 43,647
Subadviser fees ................................... -- 265,216
Wrapper agreements ................................ -- 23,957,924
Other accrued expense ............................. 50,976 357,104
------------- -------------
Total Liabilities ................................ 126,451 64,976,457
------------- -------------
NET ASSETS ......................................... $ 119,252,988 $ 522,739,045
============= =============
NET ASSETS REPRESENTED BY:
Paid-in capital .................................... $ 119,252,988 $ 532,822,044
Net unrealized appreciation (depreciation) on
investments, futures contracts, foreign
currency transactions, wrapper agreements
and written options ............................... -- (11,672,390)
Undistributed net investment income (loss) ......... -- 19,404
Accumulated net realized gain (loss) on
investments, futures contracts, foreign
currency transactions and written options ......... -- 1,569,987
------------- -------------
NET ASSETS ......................................... $ 119,252,988 $ 522,739,045
============= =============
CAPITAL SHARES:
Net Assets ......................................... $ 119,252,988 $ 522,739,045
Shares Outstanding ................................. 119,252,988 5,227,390
Net Asset Value, offering and redemption price
per share (net assets divided by shares
outstanding) ...................................... $ 1.00 $ 100.00
Cost of investments ................................ $ 119,265,166 $ 560,677,738
- -------
+ Includes securities on loan with market
values of: $ -- $ 4,782,323
US
Government Asset Equity
Securities Allocation Income
--------------- ----------------- ---------------
ASSETS:
Securities, at market value+ ....................... $300,461,252 $ 675,492,449 $ 691,333,660
Cash ............................................... -- 51,205,112 761,828
Receivable for:
Dividends ......................................... -- 687,956 961,690
Interest .......................................... 2,196,789 24,363 13,190
Investments sold .................................. -- -- --
Recoverable foreign taxes ......................... -- -- 682
Variation margin on futures contracts ............. -- -- --
------------ --------------- -------------
Total Assets ..................................... 302,658,041 727,409,880 693,071,050
------------ --------------- -------------
LIABILITIES:
Payable for:
Investments purchased ............................. -- -- --
When issued securities ............................ -- -- --
Collateral for securities loaned .................. 68,142,437 31,412,408 49,334,798
Distribution to shareholders ....................... 436,631 -- --
Accrued Expenses:
Administrative services fees ...................... 3,722 12,652 11,902
Advisory fees ..................................... 20,153 59,755 54,992
Subadviser fees ................................... 55,440 404,605 640,017
Wrapper agreements ................................ -- -- --
Other accrued expense ............................. 90,173 293,052 264,660
------------ --------------- -------------
Total Liabilities ................................ 68,748,556 32,182,472 50,306,369
------------ --------------- -------------
NET ASSETS ......................................... $233,909,485 $ 695,227,408 $ 642,764,681
============ =============== =============
NET ASSETS REPRESENTED BY:
Paid-in capital .................................... $225,160,557 $ 811,295,162 $ 702,225,083
Net unrealized appreciation (depreciation) on
investments, futures contracts, foreign
currency transactions, wrapper agreements
and written options ............................... 6,951,206 (30,841,779) 4,787,830
Undistributed net investment income (loss) ......... (364,848) 14,837,864 4,273,460
Accumulated net realized gain (loss) on
investments, futures contracts, foreign
currency transactions and written options ......... 2,162,570 (100,063,839) (68,521,692)
------------ --------------- -------------
NET ASSETS ......................................... $233,909,485 $ 695,227,408 $ 642,764,681
============ =============== =============
CAPITAL SHARES:
Net Assets ......................................... $233,909,485 $ 695,227,408 $ 642,764,681
Shares Outstanding ................................. 21,548,188 113,730,315 95,374,388
Net Asset Value, offering and redemption price
per share (net assets divided by shares
outstanding) ...................................... $ 10.86 $ 6.11 $ 6.74
Cost of investments ................................ $293,510,046 $ 704,926,503 $ 686,545,830
- -------
+ Includes securities on loan with market
values of: $ 66,584,798 $ 30,038,447 $ 47,289,744
See Notes to Financial Statements.
12
VANTAGEPOINT FUNDS
Statements of Assets & Liabilities
June 30, 2003 (Unaudited)
Growth &
Income
---------------
ASSETS:
Securities, at market value+ .............................. $ 655,035,205
Cash ...................................................... 1,534,894
Cash denominated in foreign currencies .................... --
Receivable for:
Dividends ................................................ 656,080
Interest ................................................. 33,001
Investments sold ......................................... 582,741
Recoverable foreign taxes ................................ 679
Gross unrealized gain on forward foreign currency
exchange contracts ....................................... --
-------------
Total Assets ............................................ 657,842,600
-------------
LIABILITIES:
Payable for:
Investments purchased .................................... 3,156,552
Collateral for securities loaned ......................... 51,124,744
Administrative services fees .............................. 11,110
Advisory fees ............................................. 51,475
Subadviser fees ........................................... 466,287
Other accrued expense ..................................... 229,503
Gross unrealized loss on forward foreign currency
exchange contracts ....................................... --
-------------
Total Liabilities ....................................... 55,039,671
-------------
NET ASSETS ................................................ $ 602,802,929
=============
NET ASSETS REPRESENTED BY:
Paid-in capital ........................................... $ 673,426,061
Net unrealized appreciation on investments, futures
contracts and foreign currency transactions .............. 7,137,255
Undistributed net investment income (loss) ................ 2,867,528
Accumulated net realized loss on investments, futures
contracts and foreign currency transactions .............. (80,627,915)
-------------
NET ASSETS ................................................ $ 602,802,929
=============
CAPITAL SHARES:
Net Assets ................................................ $ 602,802,929
Shares Outstanding ........................................ 73,536,443
Net Asset Value, offering and redemption price per
share (net assets divided by shares outstanding) ......... $ 8.20
Cost of investments ....................................... $ 647,897,950
Cost of cash denominated in foreign currencies ............ $ --
- -------
+ Includes securities on loan with market values of: $ 49,350,650
Aggressive
Growth Opportunities International
------------------- ----------------- -----------------
ASSETS:
Securities, at market value+ .............................. $ 2,563,999,287 $ 817,689,810 $ 348,584,620
Cash ...................................................... -- 4,301,004 --
Cash denominated in foreign currencies .................... 1,014 545,680 799,711
Receivable for:
Dividends ................................................ 1,808,247 296,968 723,665
Interest ................................................. 58,972 144,948 40,846
Investments sold ......................................... 4,223,332 6,671,881 809,706
Recoverable foreign taxes ................................ 7,699 28,035 135,145
Gross unrealized gain on forward foreign currency
exchange contracts ....................................... -- 5,573,359 518,358
----------------- -------------- ---------------
Total Assets ............................................ 2,570,098,551 835,251,685 351,612,051
----------------- -------------- ---------------
LIABILITIES:
Payable for:
Investments purchased .................................... 5,169,866 3,621,392 1,442,018
Collateral for securities loaned ......................... 282,234,065 120,289,098 32,585,080
Administrative services fees .............................. 41,880 13,185 5,977
Advisory fees ............................................. 195,287 59,358 27,249
Subadviser fees ........................................... 2,945,413 1,104,826 439,769
Other accrued expense ..................................... 912,523 290,911 164,321
Gross unrealized loss on forward foreign currency
exchange contracts ....................................... 2 8,727,151 26,749
----------------- -------------- ---------------
Total Liabilities ....................................... 291,499,036 134,105,921 34,691,163
----------------- -------------- ---------------
NET ASSETS ................................................ $ 2,278,599,515 $ 701,145,764 $ 316,920,888
================= ============== ===============
NET ASSETS REPRESENTED BY:
Paid-in capital ........................................... $ 3,262,504,151 $1,060,920,503 $ 425,837,001
Net unrealized appreciation on investments, futures
contracts and foreign currency transactions .............. 57,487,345 91,467,383 3,181,534
Undistributed net investment income (loss) ................ (272,804) (4,294,144) 2,325,980
Accumulated net realized loss on investments, futures
contracts and foreign currency transactions .............. (1,041,119,177) (446,947,978) (114,423,627)
----------------- -------------- ---------------
NET ASSETS ................................................ $ 2,278,599,515 $ 701,145,764 $ 316,920,888
================= ============== ===============
CAPITAL SHARES:
Net Assets ................................................ $ 2,278,599,515 $ 701,145,764 $ 316,920,888
Shares Outstanding ........................................ 326,712,277 94,199,268 43,695,501
Net Asset Value, offering and redemption price per
share (net assets divided by shares outstanding) ......... $ 6.97 $ 7.44 $ 7.25
Cost of investments ....................................... $ 2,506,474,762 $ 723,062,941 $ 345,919,925
Cost of cash denominated in foreign currencies ............ $ 1,018 $ 549,791 $ 801,911
- -------
+ Includes securities on loan with market values of: $ 270,817,878 $ 113,133,014 $ 30,819,216
See Notes to Financial Statements.
13
VANTAGEPOINT FUNDS
Statements of Assets & Liabilities
June 30, 2003 (Unaudited)
Core Bond 500 Stock
Index Index
--------------- ---------------
ASSETS:
Securities, at market value* ....................... $579,109,118 $ 252,899,050
------------ -------------
Total Assets ..................................... 579,109,118 252,899,050
------------ -------------
LIABILITIES:
Distribution to shareholders ....................... 1,992,691 --
Administrative services fees ....................... 8,454 4,173
Advisory fees ...................................... 24,549 10,705
Other accrued expense .............................. 157,327 69,706
------------ -------------
Total Liabilities ................................ 2,183,021 84,584
------------ -------------
NET ASSETS ......................................... $576,926,097 $ 252,814,466
============ =============
NET ASSETS REPRESENTED BY:
Paid-in capital .................................... $543,139,698 $ 337,705,338
Net unrealized appreciation (depreciation) on
investments, futures contracts and foreign
currency transactions ............................. 29,642,384 (50,150,775)
Undistributed net investment income (loss) ......... (1,523,031) 1,566,736
Accumulated net realized gain (loss) on
investments, futures contracts and foreign
currency transactions ............................. 5,667,046 (36,306,833)
------------ -------------
NET ASSETS ......................................... $576,926,097 $ 252,814,466
============ =============
CAPITAL SHARES:
Net Assets--Class I ................................ $417,016,816 $ 102,878,281
Shares Outstanding--Class I ........................ 39,326,709 13,305,808
Net Asset Value--Class I, offering and
redemption price per share (net assets
divided by shares outstanding) .................... $ 10.60 $ 7.73
Net Assets--Class II ............................... $159,909,281 $ 149,936,185
Shares Outstanding--Class II ....................... 15,032,026 20,349,464
Net Asset Value--Class II, offering and
redemption price per share (net assets
divided by shares outstanding) .................... $ 10.64 $ 7.37
Cost of investments ................................ $549,466,734 $ 302,734,108
Broad Mid/Small Overseas
Market Company Equity
Index Index Index
----------------- ---------------- --------------
ASSETS:
Securities, at market value* ....................... $ 444,542,600 $ 64,672,100 $ 52,982,314
--------------- -------------- ------------
Total Assets ..................................... 444,542,600 64,672,100 52,982,314
--------------- -------------- ------------
LIABILITIES:
Distribution to shareholders ....................... -- -- --
Administrative services fees ....................... 7,324 944 894
Advisory fees ...................................... 18,984 2,703 2,260
Other accrued expense .............................. 101,240 15,300 16,751
--------------- -------------- ------------
Total Liabilities ................................ 127,548 18,947 19,905
--------------- -------------- ------------
NET ASSETS ......................................... $ 444,415,052 $ 64,653,153 $ 52,962,409
=============== ============== ============
NET ASSETS REPRESENTED BY:
Paid-in capital .................................... $ 600,092,610 $ 87,501,305 $ 68,540,704
Net unrealized appreciation (depreciation) on
investments, futures contracts and foreign
currency transactions ............................. (100,008,217) (14,323,941) (9,123,627)
Undistributed net investment income (loss) ......... 7,630,641 700,454 588,571
Accumulated net realized gain (loss) on
investments, futures contracts and foreign
currency transactions ............................. (63,299,982) (9,224,665) (7,043,239)
--------------- -------------- ------------
NET ASSETS ......................................... $ 444,415,052 $ 64,653,153 $ 52,962,409
=============== ============== ============
CAPITAL SHARES:
Net Assets--Class I ................................ $ 220,371,485 $ 32,473,890 $ 42,014,249
Shares Outstanding--Class I ........................ 28,408,184 3,342,339 6,043,953
Net Asset Value--Class I, offering and
redemption price per share (net assets
divided by shares outstanding) .................... $ 7.76 $ 9.72 $ 6.95
Net Assets--Class II ............................... $ 224,043,567 $ 32,179,263 $ 10,948,160
Shares Outstanding--Class II ....................... 30,410,532 3,449,259 1,658,116
Net Asset Value--Class II, offering and
redemption price per share (net assets
divided by shares outstanding) .................... $ 7.37 $ 9.33 $ 6.60
Cost of investments ................................ $ 544,357,758 $ 78,904,174 $ 62,145,203
- -------
* Investment in Master Portfolio (Note 1)
See Notes to Financial Statements.
14
VANTAGEPOINT FUNDS
Statements of Assets & Liabilities
June 30, 2003 (Unaudited)
Model Portfolios
--------------------------------
Savings Conservative
Oriented Growth
--------------- ----------------
ASSETS:
Securities of affiliated Mutual Funds,
at market value ................................... $ 175,685,395 $ 315,401,388
Receivable for:
Dividends ......................................... 358,628 553,573
------------- -------------
Total Assets ..................................... 176,044,023 315,954,961
------------- -------------
LIABILITIES:
Administrative services fees ....................... 2,654 4,875
Advisory fees ...................................... 14,966 26,739
Other accrued expense .............................. 15,689 24,734
------------- -------------
Total Liabilities ................................ 33,309 56,348
------------- -------------
NET ASSETS ......................................... $ 176,010,714 $ 315,898,613
============= =============
NET ASSETS REPRESENTED BY:
Paid-in capital .................................... $ 183,477,972 $ 354,445,661
Net unrealized appreciation (depreciation) on
investments ....................................... 2,720,860 (1,239,718)
Undistributed net investment income (loss) ......... 2,583,524 3,131,181
Accumulated net realized loss on investments (12,771,642) (40,438,511)
------------- -------------
NET ASSETS ......................................... $ 176,010,714 $ 315,898,613
============= =============
CAPITAL SHARES:
Net Assets ......................................... $ 176,010,714 $ 315,898,613
Shares Outstanding ................................. 7,684,109 15,189,648
Net Asset Value, offering and redemption price
per share (net assets divided by shares
outstanding) ...................................... $ 22.91 $ 20.80
Cost of investments ................................ $ 172,964,535 $ 316,641,106
Model Portfolios
----------------------------------------------
Traditional Long-Term All-Equity
Growth Growth Growth
--------------- --------------- --------------
ASSETS:
Securities of affiliated Mutual Funds,
at market value ................................... $ 630,253,928 $ 632,430,234 $ 78,721,347
Receivable for:
Dividends ......................................... 749,581 433,625 --
------------- ------------- ------------
Total Assets ..................................... 631,003,509 632,863,859 78,721,347
------------- ------------- ------------
LIABILITIES:
Administrative services fees ....................... 9,666 10,250 1,333
Advisory fees ...................................... 53,425 53,659 6,594
Other accrued expense .............................. 42,442 38,949 7,231
------------- ------------- ------------
Total Liabilities ................................ 105,533 102,858 15,158
------------- ------------- ------------
NET ASSETS ......................................... $ 630,897,976 $ 632,761,001 $ 78,706,189
============= ============= ============
NET ASSETS REPRESENTED BY:
Paid-in capital .................................... $ 747,319,522 $ 774,092,153 $ 89,526,169
Net unrealized appreciation (depreciation) on
investments ....................................... (28,915,329) (92,351,697) (3,762,450)
Undistributed net investment income (loss) ......... 4,837,208 2,207,698 (56,835)
Accumulated net realized loss on investments (92,343,425) (51,187,153) (7,000,695)
------------- ------------- ------------
NET ASSETS ......................................... $ 630,897,976 $ 632,761,001 $ 78,706,189
============= ============= ============
CAPITAL SHARES:
Net Assets ......................................... $ 630,897,976 $ 632,761,001 $ 78,706,189
Shares Outstanding ................................. 33,787,259 36,826,844 4,773,687
Net Asset Value, offering and redemption price
per share (net assets divided by shares
outstanding) ...................................... $ 18.67 $ 17.18 $ 16.49
Cost of investments ................................ $ 659,169,257 $ 724,781,931 $ 82,483,797
See Notes to Financial Statements.
15
VANTAGEPOINT FUNDS
Statements of Operations
For the Period from January 1, 2003 to June 30, 2003 (Unaudited)
Money Income US Government Asset Equity
Market Preservation Securities Allocation Income
----------- -------------- --------------- -------------- --------------
INVESTMENT INCOME:
Dividends ................................... $845,945 $ -- $ -- $ 4,158,066 $ 6,373,315
Interest+ ................................... -- 10,773,140 3,909,820 998,593 139,825
Foreign taxes withheld on dividends ......... -- -- -- -- (51,003)
-------- ------------ ---------- ----------- -----------
Total investment income ..................... 845,945 10,773,140 3,909,820 5,156,659 6,462,137
-------- ------------ ---------- ----------- -----------
EXPENSES:
Subadviser .................................. 69,548 422,570 109,495 785,724 1,209,797
Custodian ................................... 14,149 70,716 25,205 67,205 54,781
Advisory .................................... 62,757 235,121 118,273 322,154 286,147
Fund services ............................... 94,136 352,682 177,409 483,231 429,221
Investor services ........................... 125,514 470,242 236,546 644,308 572,294
Administration .............................. 10,479 43,009 19,836 60,835 53,690
Wrapper ..................................... -- 279,726 -- -- --
Other expenses .............................. 16,324 54,149 28,779 82,793 71,488
-------- ------------ ---------- ----------- -----------
Total expenses before reductions and
reimbursements ............................. 392,907 1,928,215 715,543 2,446,250 2,677,418
Less reductions (Note 8) .................... -- -- -- -- (14,792)
-------- ------------ ---------- ----------- -----------
Total expenses net of reductions and
reimbursements ............................. 392,907 1,928,215 715,543 2,446,250 2,662,626
-------- ------------ ---------- ----------- -----------
NET INVESTMENT INCOME ....................... 453,038 8,844,925 3,194,277 2,710,409 3,799,511
-------- ------------ ---------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) (Note 2):
Net realized gain (loss) on sale of
investments ................................ -- 310,024 1,190,246 63,368 (11,101,080)
Net realized gain on futures contracts,
foreign currency transactions and written
options .................................... -- 2,384,413 -- 17,677,208 --
Net change in unrealized appreciation
(depreciation) of investments and
wrapper agreements ......................... -- (1,635,980) 1,214,913 48,924,171 79,671,290
Net change in unrealized appreciation
(depreciation) on futures contracts,
foreign currency transactions and written
options .................................... -- (1,051,533) -- 1,242,247 --
-------- ------------ ---------- ----------- -----------
NET GAIN .................................... -- 6,924 2,405,159 67,906,994 68,570,210
-------- ------------ ---------- ----------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS .................. $453,038 $ 8,851,849 $5,599,436 $70,617,403 $72,369,721
======== ============ ========== =========== ===========
- -------
+ Interest income includes securities
lending income of: $ -- $ 8,945 $ 24,818 $ 13,772 $ 65,047
See Notes to Financial Statements.
16
VANTAGEPOINT FUNDS
Statements of Operations
For the Period from January 1, 2003 to June 30, 2003 (Unaudited)
Growth & Aggressive
Income Growth Opportunities International
--------------- ---------------- --------------- --------------
INVESTMENT INCOME:
Dividends .......................................... $ 4,440,183 $ 9,188,259 $ 3,184,884 $ 5,346,022
Interest+ .......................................... 178,438 363,153 652,553 138,502
Foreign taxes withheld on dividends ................ (31,912) (57,645) (263,190) (644,810)
------------ ------------- ------------ ------------
Total investment income ............................ 4,586,709 9,493,767 3,574,247 4,839,714
------------ ------------- ------------ ------------
EXPENSES:
Subadviser ......................................... 910,791 4,717,836 2,094,941 821,191
Custodian .......................................... 60,703 249,751 166,913 256,826
Advisory ........................................... 267,495 1,039,092 297,054 142,305
Fund services ...................................... 401,242 1,558,638 445,581 213,457
Investor services .................................. 534,990 2,078,184 594,108 284,610
Administration ..................................... 48,086 216,780 55,526 25,209
Other expenses ..................................... 65,633 264,882 73,003 35,375
------------ ------------- ------------ ------------
Total expenses before reductions and
reimbursements .................................... 2,288,940 10,125,163 3,727,126 1,778,973
Less reductions (Note 8) ........................... (35,324) (238,522) (151,290) (29,461)
------------ ------------- ------------ ------------
Total expenses net of reductions and
reimbursements .................................... 2,253,616 9,886,641 3,575,836 1,749,512
------------ ------------- ------------ ------------
NET INVESTMENT INCOME (LOSS) ....................... 2,333,093 (392,874) (1,589) 3,090,202
------------ ------------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
(Note 2):
Net realized loss on sale of investments ........... (8,931,176) (44,344,481) (7,625,662) (7,465,472)
Net realized gain (loss) on futures contracts and
foreign currency transactions ..................... -- 90,197 (5,853,921) 502,649
Net change in unrealized appreciation of
investments ....................................... 76,269,935 272,687,586 125,770,112 25,471,990
Net change in unrealized appreciation (depreciation)
on futures contracts and foreign currency
transactions ...................................... -- 21,010 (2,149,659) 239,490
------------ ------------- ------------ ------------
NET GAIN ........................................... 67,338,759 228,454,312 110,140,870 18,748,657
------------ ------------- ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS ........................................ $ 69,671,852 $ 228,061,438 $110,139,281 $ 21,838,859
============ ============= ============ ============
- -------
+ Interest income includes securities lending
income of: $ 25,574 $ 161,353 $ 223,716 $ 85,258
See Notes to Financial Statements.
17
VANTAGEPOINT FUNDS
Statements of Operations
For the Period from January 1, 2003 to June 30, 2003 (Unaudited)
Broad Mid/Small Overseas
Core Bond 500 Stock Market Company Equity
Index Index Index Index Index
--------------- --------------- --------------- --------------- ---------------
INVESTMENT INCOME:
Dividends* ................................... $ -- $ 1,874,630 $ 3,216,468 $ 355,342 $ 960,680
Interest* .................................... 12,052,459 70,343 122,660 13,864 13,080
Foreign taxes withheld on dividends* ......... -- (538) (1,234) (317) (135,815)
Expenses* .................................... (218,748) (54,728) (155,563) (26,906) (56,073)
----------- ------------ ------------ ------------ ------------
Total investment income ...................... 11,833,711 1,889,707 3,182,331 341,983 781,872
----------- ------------ ------------ ------------ ------------
EXPENSES:
Custodian .................................... 16,837 14,110 16,237 12,526 12,716
Advisory Class I ............................. 97,732 22,558 49,104 6,909 9,147
Advisory Class II ............................ 38,828 32,118 49,399 6,539 2,065
Fund services Class I ........................ 293,197 67,675 147,313 20,728 27,440
Fund services Class II ....................... 38,828 32,118 49,399 6,539 2,065
Investor services Class I .................... 293,197 67,675 147,313 20,728 27,440
Investor services Class II ................... 38,828 32,118 49,399 6,539 2,065
Administration ............................... 47,534 18,854 34,854 4,588 3,881
License and membership ....................... 14,038 24,279 10,244 1,415 1,129
Other expenses ............................... 53,828 21,409 39,447 5,428 4,328
----------- ------------ ------------ ------------ ------------
Total expenses ............................... 932,847 332,914 592,709 91,939 92,276
----------- ------------ ------------ ------------ ------------
NET INVESTMENT INCOME ........................ 10,900,864 1,556,793 2,589,622 250,044 689,596
----------- ------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) (Note 2):
Net realized gain (loss) on sale of
investments* ................................ 4,364,333 (4,621,961) (9,232,347) (1,622,337) (1,056,788)
Net realized gain on futures contracts and
foreign currency transactions* .............. -- 663,939 984,341 19,470 48,220
Net change in unrealized appreciation of
investments* ................................ 5,389,102 27,715,900 54,957,658 10,096,322 4,881,850
Net change in unrealized appreciation
(depreciation) on futures contracts and
foreign currency transactions* .............. -- 121,314 178,659 (1,857) 7,740
----------- ------------ ------------ ------------ ------------
NET GAIN ..................................... 9,753,435 23,879,192 46,888,311 8,491,598 3,881,022
----------- ------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ................... $20,654,299 $ 25,435,985 $ 49,477,933 $ 8,741,642 $ 4,570,618
=========== ============ ============ ============ ============
- -------
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
18
VANTAGEPOINT FUNDS
Statements of Operations
For the Period from January 1, 2003 to June 30, 2003 (Unaudited)
Model Portfolios
-----------------------------------------------------------------------------
Savings Conservative Traditional Long-Term All-Equity
Oriented Growth Growth Growth Growth
--------------- -------------- ---------------- --------------- -------------
INVESTMENT INCOME OF AFFILIATED
MUTUAL FUNDS:
Dividends ........................................ $ 2,252,779 $ 3,340,703 $ 4,550,579 $ 2,616,525 $ --
------------ ------------ ------------- ------------ ----------
Total investment income .......................... 2,252,779 3,340,703 4,550,579 2,616,525 --
------------ ------------ ------------- ------------ ----------
EXPENSES:
Legal ............................................ 7,987 14,188 28,716 26,772 2,767
Custodian ........................................ 14,331 15,371 17,861 17,504 13,482
Advisory ......................................... 82,843 143,702 286,785 276,178 31,195
Administration ................................... 12,901 24,614 50,827 48,693 5,288
Other expenses ................................... 11,839 21,029 42,563 39,680 4,103
------------ ------------ ------------- ------------ ----------
Total expenses ................................... 129,901 218,904 426,752 408,827 56,835
------------ ------------ ------------- ------------ ----------
NET INVESTMENT INCOME (LOSS) ..................... 2,122,878 3,121,799 4,123,827 2,207,698 (56,835)
------------ ------------ ------------- ------------ ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS) (Note 2):
Net realized loss on sale of investments ......... (1,596,220) (4,300,756) (24,856,419) (4,164,088) (828,118)
Net change in unrealized appreciation of
investments ..................................... 7,059,818 19,785,470 68,737,093 62,762,794 9,090,078
------------ ------------ ------------- ------------ ----------
NET GAIN ......................................... 5,463,598 15,484,714 43,880,674 58,598,706 8,261,960
------------ ------------ ------------- ------------ ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ....................... $ 7,586,476 $ 18,606,513 $ 48,004,501 $ 60,806,404 $8,205,125
============ ============ ============= ============ ==========
See Notes to Financial Statements.
19
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Money Market
-----------------------------------
For the Period
from January 1, For the
2003 to June 30, Year Ended
2003 December 31,
(Unaudited) 2002
------------------ ----------------
Increase (decrease) in net assets
resulting from operations:
Net investment income .................................. $ 453,038 $ 1,662,274
Net realized gain on sale of investments, futures
contracts and written options ......................... -- --
Net change in unrealized depreciation of
investments and wrapper agreements .................... -- --
------------- -------------
Net increase in net assets resulting from
operations ............................................ 453,038 1,662,274
------------- -------------
Distributions to shareholders from:
Net investment income .................................. (453,038) (1,662,274)
Net realized gain on investments ....................... -- --
------------- -------------
Total distributions ................................... (453,038) (1,662,274)
------------- -------------
Capital share transactions:
Proceeds from sale of shares ........................... 24,339,172 68,222,014
Reinvestment of distributions .......................... 389,523 1,662,274
Value of shares redeemed ............................... (43,707,309) (51,304,773)
------------- -------------
Net increase (decrease) from capital share
transactions ......................................... (18,978,614) 18,579,515
------------- -------------
Total increase (decrease) in net assets ................ (18,978,614) 18,579,515
------------- -------------
NET ASSETS at beginning of period ....................... 138,231,602 119,652,087
------------- -------------
NET ASSETS at end of period ............................. $ 119,252,988 $ 138,231,602
============= =============
Undistributed net investment income included in
net assets at end of period ........................... $ -- $ --
============= =============
SHARE TRANSACTIONS:
Number of shares sold .................................. 24,339,172 68,222,014
Number of shares issued through reinvestment
of dividends and distributions ........................ 389,523 1,662,274
Reverse stock split (Note 10) .......................... -- --
Number of shares redeemed .............................. (43,707,309) (51,304,773)
------------- -------------
Net increase (decrease) in shares outstanding ......... (18,978,614) 18,579,515
============= =============
Income Preservation
------------------------------------
For the Period
from January 1, For the
2003 to June 30, Year Ended
2003 December 31,
(Unaudited) 2002
------------------ -----------------
Increase (decrease) in net assets
resulting from operations:
Net investment income .................................. $ 8,844,925 $ 17,329,690
Net realized gain on sale of investments, futures
contracts and written options ......................... 2,694,437 4,353,468
Net change in unrealized depreciation of
investments and wrapper agreements .................... (2,687,513) (4,330,270)
------------- ---------------
Net increase in net assets resulting from
operations ............................................ 8,851,849 17,352,888
------------- ---------------
Distributions to shareholders from:
Net investment income .................................. (8,851,846) (17,352,883)
Net realized gain on investments ....................... -- (2,131,958)
------------- ---------------
Total distributions ................................... (8,851,846) (19,484,841)
------------- ---------------
Capital share transactions:
Proceeds from sale of shares ........................... 91,477,084 169,725,103
Reinvestment of distributions .......................... 7,319,012 19,484,841
Value of shares redeemed ............................... (30,740,487) (141,304,755)
------------- ---------------
Net increase (decrease) from capital share
transactions ......................................... 68,055,609 47,905,189
------------- ---------------
Total increase (decrease) in net assets ................ 68,055,612 45,773,236
------------- ---------------
NET ASSETS at beginning of period ....................... 454,683,433 408,910,197
------------- ---------------
NET ASSETS at end of period ............................. $ 522,739,045 $ 454,683,433
============= ===============
Undistributed net investment income included in
net assets at end of period ........................... $ 19,404 $ 26,325
============= ===============
SHARE TRANSACTIONS:
Number of shares sold .................................. 914,771 1,689,321
Number of shares issued through reinvestment
of dividends and distributions ........................ 73,190 215,330
Reverse stock split (Note 10) .......................... -- (21,320)
Number of shares redeemed .............................. (307,405) (1,406,462)
------------- ---------------
Net increase (decrease) in shares outstanding ......... 680,556 476,869
============= ===============
See Notes to Financial Statements.
20
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
US Government Securities Asset Allocation
----------------------------------- -----------------------------------
For the Period For the Period
from January 1, For the from January 1, For the
2003 to June 30, Year Ended 2003 to June 30, Year Ended
2003 December 31, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
------------------ ---------------- ------------------ ----------------
Increase (decrease) in net assets
resulting from operations:
Net investment income .............................. $ 3,194,277 $ 5,799,122 $ 2,710,409 $ 12,129,449
Net realized gain (loss) on sale of investments
and futures contracts ............................. 1,190,246 2,165,104 17,740,576 (14,196,506)
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts ......................................... 1,214,913 6,680,131 50,166,418 (132,339,806)
------------- ------------- ------------- --------------
Net increase (decrease) in net assets resulting
from operations ................................... 5,599,436 14,644,357 70,617,403 (134,406,863)
------------- ------------- ------------- --------------
Distributions to shareholders from:
Net investment income .............................. (3,577,711) (5,929,290) -- --
Net realized gain on investments ................... -- (2,217,757) -- --
------------- ------------- ------------- --------------
Total distributions ............................... (3,577,711) (8,147,047) -- --
------------- ------------- ------------- --------------
Capital share transactions:
Proceeds from sale of shares ....................... 20,321,404 105,891,443 7,915,638 40,717,398
Reinvestment of distributions ...................... 3,141,081 8,147,047 -- --
Value of shares redeemed ........................... (27,218,751) (35,698,562) (31,461,573) (134,361,628)
------------- ------------- ------------- --------------
Net increase (decrease) from capital share
transactions ..................................... (3,756,266) 78,339,928 (23,545,935) (93,644,230)
------------- ------------- ------------- --------------
Total increase (decrease) in net assets ............ (1,734,541) 84,837,238 47,071,468 (228,051,093)
------------- ------------- ------------- --------------
NET ASSETS at beginning of period ................... 235,644,026 150,806,788 648,155,940 876,207,033
------------- ------------- ------------- --------------
NET ASSETS at end of period ......................... $ 233,909,485 $ 235,644,026 $ 695,227,408 $ 648,155,940
============= ============= ============= ==============
Undistributed net investment income (loss)
included in net assets at end of period ........... $ (364,848) $ 18,586 $ 14,837,864 $ 12,127,455
============= ============= ============= ==============
SHARE TRANSACTIONS:
Number of shares sold .............................. 1,885,486 9,958,757 1,390,173 6,546,092
Number of shares issued through reinvestment
of dividends and distributions .................... 291,336 768,058 -- --
Number of shares redeemed .......................... (2,521,261) (3,417,825) (5,690,485) (22,946,312)
------------- ------------- ------------- --------------
Net increase (decrease) in shares outstanding ..... (344,439) 7,308,990 (4,300,312) (16,400,220)
============= ============= ============= ==============
See Notes to Financial Statements.
21
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Equity Income Growth & Income
------------------------------------ -----------------------------------
For the Period For the Period
from January 1, For the from January 1, For the
2003 to June 30, Year Ended 2003 to June 30, Year Ended
2003 December 31, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
------------------ ----------------- ------------------ ----------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 3,799,511 $ 7,584,589 $ 2,333,093 $ 3,584,760
Net realized loss on sale of investments .............. (11,101,080) (2,081,024) (8,931,176) (36,696,928)
Net change in unrealized appreciation
(depreciation) of investments ........................ 79,671,290 (109,063,573) 76,269,935 (72,845,078)
------------- -------------- ------------- --------------
Net increase (decrease) in net assets resulting
from operations ...................................... 72,369,721 (103,560,008) 69,671,852 (105,957,246)
------------- -------------- ------------- --------------
Distributions to shareholders from:
Net investment income ................................. -- (7,085,602) -- (3,050,319)
------------- -------------- ------------- --------------
Total distributions .................................. -- (7,085,602) -- (3,050,319)
------------- -------------- ------------- --------------
Capital share transactions:
Proceeds from sale of shares .......................... 37,205,987 138,947,288 42,156,172 279,118,876
Reinvestment of distributions ......................... -- 7,085,602 -- 3,050,284
Value of shares redeemed .............................. (31,856,939) (98,416,776) (24,621,690) (93,850,401)
------------- -------------- ------------- --------------
Net increase from capital share transactions ......... 5,349,048 47,616,114 17,534,482 188,318,759
------------- -------------- ------------- --------------
Total increase (decrease) in net assets ............... 77,718,769 (63,029,496) 87,206,334 79,311,194
------------- -------------- ------------- --------------
NET ASSETS at beginning of period ...................... 565,045,912 628,075,408 515,596,595 436,285,401
------------- -------------- ------------- --------------
NET ASSETS at end of period ............................ $ 642,764,681 $ 565,045,912 $ 602,802,929 $ 515,596,595
============= ============== ============= ==============
Undistributed net investment income included in
net assets at end of period .......................... $ 4,273,460 $ 473,949 $ 2,867,528 $ 534,435
============= ============== ============= ==============
SHARE TRANSACTIONS:
Number of shares sold ................................. 6,109,910 20,639,980 5,642,886 37,140,624
Number of shares issued through reinvestment
of dividends and distributions ....................... -- 1,171,174 -- 415,005
Number of shares redeemed ............................. (5,246,764) (15,486,100) (3,346,222) (12,465,750)
------------- -------------- ------------- --------------
Net increase in shares outstanding ................... 863,146 6,325,054 2,296,664 25,089,879
============= ============== ============= ==============
See Notes to Financial Statements.
22
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Growth
-------------------------------------
For the Period
from January 1, For the
2003 to June 30, Year Ended
2003 December 31,
(Unaudited) 2002
------------------ ------------------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) ........................... $ (392,874) $ 508,515
Net realized loss on sale of investments, futures
contracts and foreign currency transactions ........... (44,254,284) (599,434,174)
Net change in unrealized appreciation
(depreciation) of investments, futures contracts
and foreign currency transactions ..................... 272,708,596 (83,691,870)
-------------- --------------
Net increase (decrease) in net assets resulting
from operations ....................................... 228,061,438 (682,617,529)
-------------- --------------
Distributions to shareholders from:
Net investment income .................................. -- (383,794)
-------------- --------------
Total distributions ................................... -- (383,794)
-------------- --------------
Capital share transactions:
Proceeds from sale of shares ........................... 61,760,711 269,469,421
Reinvestment of distributions .......................... -- 383,794
Value of shares redeemed ............................... (71,778,106) (336,842,418)
-------------- --------------
Net increase (decrease) from capital share
transactions ......................................... (10,017,395) (66,989,203)
-------------- --------------
Total increase (decrease) in net assets ................ 218,044,043 (749,990,526)
-------------- --------------
NET ASSETS at beginning of period ....................... 2,060,555,472 2,810,545,998
-------------- --------------
NET ASSETS at end of period ............................. $2,278,599,515 $2,060,555,472
============== ==============
Undistributed net investment income (loss)
included in net assets at end of period ............... $ (272,804) $ 120,070
============== ==============
SHARE TRANSACTIONS:
Number of shares sold .................................. 9,568,554 37,320,386
Number of shares issued through reinvestment
of dividends and distributions ........................ -- 59,968
Number of shares redeemed .............................. (11,600,904) (48,247,155)
-------------- --------------
Net increase (decrease) in shares outstanding ......... (2,032,350) (10,866,801)
============== ==============
Aggressive Opportunities
------------------------------------
For the Period
from January 1, For the
2003 to June 30, Year Ended
2003 December 31,
(Unaudited) 2002
------------------ -----------------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) ........................... $ (1,589) $ (3,597,481)
Net realized loss on sale of investments, futures
contracts and foreign currency transactions ........... (13,479,583) (307,984,908)
Net change in unrealized appreciation
(depreciation) of investments, futures contracts
and foreign currency transactions ..................... 123,620,453 (22,741,341)
------------- ---------------
Net increase (decrease) in net assets resulting
from operations ....................................... 110,139,281 (334,323,730)
------------- ---------------
Distributions to shareholders from:
Net investment income .................................. -- --
------------- ---------------
Total distributions ................................... -- --
------------- ---------------
Capital share transactions:
Proceeds from sale of shares ........................... 55,600,528 205,386,982
Reinvestment of distributions .......................... -- --
Value of shares redeemed ............................... (37,064,135) (117,640,044)
------------- ---------------
Net increase (decrease) from capital share
transactions ......................................... 18,536,393 87,746,938
------------- ---------------
Total increase (decrease) in net assets ................ 128,675,674 (246,576,792)
------------- ---------------
NET ASSETS at beginning of period ....................... 572,470,090 819,046,882
------------- ---------------
NET ASSETS at end of period ............................. $ 701,145,764 $ 572,470,090
============= ===============
Undistributed net investment income (loss)
included in net assets at end of period ............... $ (4,294,144) $ (4,292,555)
============= ===============
SHARE TRANSACTIONS:
Number of shares sold .................................. 8,525,074 26,304,320
Number of shares issued through reinvestment
of dividends and distributions ........................ -- --
Number of shares redeemed .............................. (5,658,401) (15,314,898)
------------- ---------------
Net increase (decrease) in shares outstanding ......... 2,866,673 10,989,422
============= ===============
See Notes to Financial Statements.
23
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
International
-------------------------------------
For the Period
from January 1, For the
2003 to June 30, Year Ended
2003 December 31,
(Unaudited) 2002
------------------ ----------------
Increase (decrease) in net assets resulting from operations:
Net investment income ........................................................... $ 3,090,202 $ 2,610,096
Net realized loss on sale of investments and foreign currency transactions ...... (6,962,823) (69,133,179)
Net change in unrealized appreciation of investments and foreign currency
transactions ................................................................... 25,711,480 17,052,326
------------- -------------
Net increase (decrease) in net assets resulting from operations ................. 21,838,859 (49,470,757)
------------- -------------
Distributions to shareholders from:
Net investment income ........................................................... -- (3,314,155)
------------- -------------
Total distributions ............................................................ -- (3,314,155)
------------- -------------
Capital share transactions:
Proceeds from sale of shares .................................................... 30,457,554 120,470,050
Reinvestment of distributions ................................................... -- 3,314,155
Value of shares redeemed ........................................................ (18,296,399) (92,435,140)
------------- -------------
Net increase from capital share transactions ................................... 12,161,155 31,349,065
------------- -------------
Total increase (decrease) in net assets ......................................... 34,000,014 (21,435,847)
------------- -------------
NET ASSETS at beginning of period ................................................ 282,920,874 304,356,721
------------- -------------
NET ASSETS at end of period ...................................................... $ 316,920,888 $ 282,920,874
============= =============
Undistributed net investment income (loss) included in net assets at
end of period .................................................................. $ 2,325,980 $ (764,222)
============= =============
SHARE TRANSACTIONS:
Number of shares sold ........................................................... 4,763,022 16,229,303
Number of shares issued through reinvestment of dividends and distributions ..... -- 490,260
Number of shares redeemed ....................................................... (2,702,450) (12,219,928)
------------- -------------
Net increase in shares outstanding ............................................. 2,060,572 4,499,635
============= =============
See Notes to Financial Statements.
24
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Core Bond Index 500 Stock Index
----------------------------------- -----------------------------------
For the Period For the Period
from January 1, For the from January 1, For the
2003 to June 30, Year Ended 2003 to June 30, Year Ended
2003 December 31, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
------------------ ---------------- ------------------ ----------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 10,900,864 $ 23,921,276 $ 1,556,793 $ 2,839,563
Net realized gain (loss) on sale of investments
and futures contracts* ............................... 4,364,333 8,643,953 (3,958,022) (24,173,184)
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts* ........................................... 5,389,102 13,203,505 27,837,214 (35,259,122)
------------- -------------- ------------ -------------
Net increase (decrease) in net assets resulting
from operations ...................................... 20,654,299 45,768,734 25,435,985 (56,592,743)
------------- -------------- ------------ -------------
Distributions to shareholders from:
Net investment income--Class I ........................ (9,202,988) (19,372,054) -- (1,029,588)
Net investment income--Class II ....................... (3,789,798) (7,148,210) -- (1,798,646)
Net realized gain on investments--Class I ............. -- (140,771) -- --
Net realized gain on investments--Class II ............ -- (54,748) -- --
------------- -------------- ------------ -------------
Total distributions .................................. (12,992,786) (26,715,783) -- (2,828,234)
------------- -------------- ------------ -------------
Capital share transactions:
Proceeds from sale of shares--Class I ................. 56,761,258 135,172,672 14,520,980 20,553,300
Proceeds from sale of shares--Class II ................ 15,134,872 48,722,632 23,967,420 38,870,388
Reinvestment of distributions--Class I ................ 7,779,439 19,512,825 -- 1,029,588
Reinvestment of distributions--Class II ............... 3,220,656 7,202,957 -- 1,798,646
Value of shares redeemed--Class I ..................... (37,331,784) (128,481,875) (7,245,312) (9,619,170)
Value of shares redeemed--Class II .................... (10,987,696) (27,138,959) (9,898,583) (29,229,543)
------------- -------------- ------------ -------------
Net increase from capital share transactions ......... 34,576,745 54,990,252 21,344,505 23,403,209
------------- -------------- ------------ -------------
Total increase (decrease) in net assets ............... 42,238,258 74,043,203 46,780,490 (36,017,768)
------------- -------------- ------------ -------------
NET ASSETS at beginning of period ...................... 534,687,839 460,644,636 206,033,976 242,051,744
------------- -------------- ------------ -------------
NET ASSETS at end of period ............................ $ 576,926,097 $ 534,687,839 $252,814,466 $ 206,033,976
============= ============== ============ =============
Undistributed net investment income (loss)
included in net assets at end of period .............. $ (1,523,031) $ 568,891 $ 1,566,736 $ 9,943
============= ============== ============ =============
SHARE TRANSACTIONS:
Number of shares sold--Class I ........................ 5,387,719 13,213,503 2,039,833 2,674,304
Number of shares issued through reinvestment
of dividends and distributions--Class I .............. 739,423 1,911,677 -- 145,834
Number of shares redeemed--Class I .................... (3,545,399) (12,538,004) (1,021,285) (1,306,697)
------------- -------------- ------------ -------------
Net increase in shares outstanding--Class I .......... 2,581,743 2,587,176 1,018,548 1,513,441
============= ============== ============ =============
Number of shares sold--Class II ....................... 1,435,594 4,744,429 3,542,690 5,152,715
Number of shares issued through reinvestment
of dividends and distributions--Class II ............. 305,182 702,794 -- 267,656
Number of shares redeemed--Class II ................... (1,041,018) (2,666,482) (1,479,205) (3,906,130)
------------- -------------- ------------ -------------
Net increase in shares outstanding--Class II ......... 699,758 2,780,741 2,063,485 1,514,241
============= ============== ============ =============
- -------
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
25
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Broad Market Index Mid/Small Company Index
----------------------------------- ----------------------------------
For the Period For the Period
from January 1, For the from January 1, For the
2003 to June 30, Year Ended 2003 to June 30, Year Ended
2003 December 31, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
------------------ ---------------- ------------------ ---------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 2,589,622 $ 5,041,902 $ 250,044 $ 456,147
Net realized loss on sale of investments and
futures contracts* ................................... (8,248,006) (42,297,189) (1,602,867) (3,521,136)
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts* ........................................... 55,136,317 (69,911,716) 10,094,465 (8,917,699)
------------ -------------- ------------ -------------
Net increase (decrease) in net assets resulting
from operations ...................................... 49,477,933 (107,167,003) 8,741,642 (11,982,688)
------------ -------------- ------------ -------------
Distributions to shareholders from:
Net investment income--Class I ........................ -- (205,731) -- --
Net investment income--Class II ....................... -- (696,586) -- --
------------ -------------- ------------ -------------
Total distributions .................................. -- (902,317) -- --
------------ -------------- ------------ -------------
Capital share transactions:
Proceeds from sale of shares--Class I ................. 13,034,019 15,948,446 4,051,549 7,661,369
Proceeds from sale of shares--Class II ................ 17,711,045 35,809,654 5,293,750 10,098,189
Reinvestment of distributions--Class I ................ -- 205,731 -- --
Reinvestment of distributions--Class II ............... -- 696,586 -- --
Value of shares redeemed--Class I ..................... (7,821,159) (25,917,829) (3,414,362) (4,335,481)
Value of shares redeemed--Class II .................... (7,635,013) (35,173,689) (2,719,502) (9,119,613)
------------ -------------- ------------ -------------
Net increase (decrease) from capital share
transactions ........................................ 15,288,892 (8,431,101) 3,211,435 4,304,464
------------ -------------- ------------ -------------
Total increase (decrease) in net assets ............... 64,766,825 (116,500,421) 11,953,077 (7,678,224)
------------ -------------- ------------ -------------
NET ASSETS at beginning of period ...................... 379,648,227 496,148,648 52,700,076 60,378,300
------------ -------------- ------------ -------------
NET ASSETS at end of period ............................ $444,415,052 $ 379,648,227 $ 64,653,153 $ 52,700,076
============ ============== ============ =============
Undistributed net investment income included in
net assets at end of period .......................... $ 7,630,641 $ 5,041,019 $ 700,454 $ 450,410
============ ============== ============ =============
SHARE TRANSACTIONS:
Number of shares sold--Class I ........................ 1,863,115 2,050,345 450,523 818,052
Number of shares issued through reinvestment
of dividends and distributions--Class I .............. -- 29,390 -- --
Number of shares redeemed--Class I .................... (1,116,779) (3,457,595) (402,349) (483,286)
------------ -------------- ------------ -------------
Net increase (decrease) in shares
outstanding--Class I ................................ 746,336 (1,377,860) 48,174 334,766
============ ============== ============ =============
Number of shares sold--Class II ....................... 2,682,371 4,672,939 616,944 1,099,171
Number of shares issued through reinvestment
of dividends and distributions--Class II ............. -- 104,908 -- --
Number of shares redeemed--Class II ................... (1,153,681) (4,697,785) (332,053) (1,020,003)
------------ -------------- ------------ -------------
Net increase in shares outstanding--Class II ......... 1,528,690 80,062 284,891 79,168
============ ============== ============ =============
- -------
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
26
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Overseas Equity Index
------------------------------------
For the Period
from January 1, For the
2003 to June 30, Year Ended
2003 December 31,
(Unaudited) 2002
------------------ ---------------
Increase (decrease) in net assets resulting from operations:
Net investment income .......................................................... $ 689,596 $ 670,858
Net realized loss on sale of investments, futures contracts and foreign
currency transactions* ........................................................ (1,008,568) (3,490,609)
Net change in unrealized appreciation (depreciation) of investments, futures
contracts and foreign currency transactions* .................................. 4,889,590 (4,440,040)
------------ -------------
Net increase (decrease) in net assets resulting from operations ................ 4,570,618 (7,259,791)
------------ -------------
Distributions to shareholders from:
Net investment income--Class I ................................................. -- (635,500)
Net investment income--Class II ................................................ -- (159,550)
------------ -------------
Total distributions ........................................................... -- (795,050)
------------ -------------
Capital share transactions:
Proceeds from sale of shares--Class I .......................................... 6,595,527 27,578,438
Proceeds from sale of shares--Class II ......................................... 3,731,578 6,047,539
Reinvestment of distributions--Class I ......................................... -- 635,500
Reinvestment of distributions--Class II ........................................ -- 159,550
Value of shares redeemed--Class I .............................................. (3,690,946) (21,992,521)
Value of shares redeemed--Class II ............................................. (1,318,483) (5,195,291)
------------ -------------
Net increase from capital share transactions .................................. 5,317,676 7,233,215
------------ -------------
Total increase (decrease) in net assets ........................................ 9,888,294 (821,626)
------------ -------------
NET ASSETS at beginning of period ............................................... 43,074,115 43,895,741
------------ -------------
NET ASSETS at end of period ..................................................... $ 52,962,409 $ 43,074,115
============ =============
Undistributed net investment income (loss) included in net assets at
end of period ................................................................. $ 588,571 $ (101,025)
============ =============
SHARE TRANSACTIONS:
Number of shares sold--Class I ................................................. 1,057,270 3,968,047
Number of shares issued through reinvestment of dividends and
distributions--Class I ........................................................ -- 101,356
Number of shares redeemed--Class I ............................................. (579,926) (3,083,746)
------------ -------------
Net increase in shares outstanding--Class I ................................... 477,344 985,657
============ =============
Number of shares sold--Class II ................................................ 604,047 881,236
Number of shares issued through reinvestment of dividends and
distributions--Class II ....................................................... -- 26,815
Number of shares redeemed--Class II ............................................ (215,002) (752,349)
------------ -------------
Net increase in shares outstanding--Class II .................................. 389,045 155,702
============ =============
- -------
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
27
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Model Portfolios
-----------------------------------------------------------------------
Savings Oriented Conservative Growth
----------------------------------- -----------------------------------
For the Period For the Period
from January 1, For the from January 1, For the
2003 to June 30, Year Ended 2003 to June 30, Year Ended
2003 December 31, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
------------------ ---------------- ------------------ ----------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 2,122,878 $ 4,503,663 $ 3,121,799 $ 7,504,708
Net realized loss on sale of investments .............. (1,596,220) (6,583,052) (4,300,756) (27,869,956)
Net change in unrealized appreciation
(depreciation) of investments ........................ 7,059,818 101,995 19,785,470 (119,112)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations ...................................... 7,586,476 (1,977,394) 18,606,513 (20,484,360)
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ................................. -- (4,305,011) -- (7,771,919)
Net realized gain on investments ...................... -- (447,282) -- --
------------- ------------- ------------- -------------
Total distributions .................................. -- (4,752,293) -- (7,771,919)
------------- ------------- ------------- -------------
Capital share transactions:
Proceeds from sale of shares .......................... 22,934,066 47,233,918 32,317,006 67,052,117
Reinvestment of distributions ......................... -- 4,750,820 -- 7,771,919
Value of shares redeemed .............................. (14,006,393) (22,787,815) (15,811,474) (46,594,286)
------------- ------------- ------------- -------------
Net increase from capital share transactions ......... 8,927,673 29,196,923 16,505,532 28,229,750
------------- ------------- ------------- -------------
Total increase (decrease) in net assets ............... 16,514,149 22,467,236 35,112,045 (26,529)
------------- ------------- ------------- -------------
NET ASSETS at beginning of period ...................... 159,496,565 137,029,329 280,786,568 280,813,097
------------- ------------- ------------- -------------
NET ASSETS at end of period ............................ $ 176,010,714 $ 159,496,565 $ 315,898,613 $ 280,786,568
============= ============= ============= =============
Undistributed net investment income included in
net assets at end of period .......................... $ 2,583,524 $ 460,646 $ 3,131,181 $ 9,382
============= ============= ============= =============
SHARE TRANSACTIONS:
Number of shares sold ................................. 1,038,384 2,083,573 1,621,115 3,208,447
Number of shares issued through reinvestment
of dividends and distributions ....................... -- 217,231 -- 398,969
Number of shares redeemed ............................. (630,426) (1,006,308) (804,639) (2,282,113)
------------- ------------- ------------- -------------
Net increase in shares outstanding ................... 407,958 1,294,496 816,476 1,325,303
============= ============= ============= =============
See Notes to Financial Statements.
28
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Model Portfolios
-----------------------------------------------------------------------
Traditional Growth Long-Term Growth
----------------------------------- -----------------------------------
For the Period For the Period
from January 1, For the from January 1, For the
2003 to June 30, Year Ended 2003 to June 30, Year Ended
2003 December 31, 2003 December 31,
(Unaudited) 2002 (Unaudited) 2002
------------------ ---------------- ------------------ ----------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 4,123,827 $ 11,098,341 $ 2,207,698 $ 7,415,385
Net realized loss on sale of investments .............. (24,856,419) (61,112,239) (4,164,088) (39,637,698)
Net change in unrealized appreciation
(depreciation) of investments ........................ 68,737,093 (29,534,899) 62,762,794 (74,027,001)
------------- ------------- ------------- --------------
Net increase (decrease) in net assets resulting
from operations ...................................... 48,004,501 (79,548,797) 60,806,404 (106,249,314)
------------- ------------- ------------- --------------
Distributions to shareholders from:
Net investment income ................................. -- (10,721,918) -- (7,427,368)
Net realized gain on investments ...................... -- -- -- (235,462)
------------- ------------- ------------- --------------
Total distributions .................................. -- (10,721,918) -- (7,662,830)
------------- ------------- ------------- --------------
Capital share transactions:
Proceeds from sale of shares .......................... 56,508,005 129,954,625 58,099,350 133,236,681
Reinvestment of distributions ......................... -- 10,721,918 -- 7,662,830
Value of shares redeemed .............................. (40,169,038) (55,208,788) (14,854,936) (31,625,132)
------------- ------------- ------------- --------------
Net increase from capital share transactions ......... 16,338,967 85,467,755 43,244,414 109,274,379
------------- ------------- ------------- --------------
Total increase (decrease) in net assets ............... 64,343,468 (4,802,960) 104,050,818 (4,637,765)
------------- ------------- ------------- --------------
NET ASSETS at beginning of period ...................... 566,554,508 571,357,468 528,710,183 533,347,948
------------- ------------- ------------- --------------
NET ASSETS at end of period ............................ $ 630,897,976 $ 566,554,508 $ 632,761,001 $ 528,710,183
============= ============= ============= ==============
Undistributed net investment income included in
net assets at end of period .......................... $ 4,837,208 $ 713,381 $ 2,207,698 $ --
============= ============= ============= ==============
SHARE TRANSACTIONS:
Number of shares sold ................................. 3,203,601 6,906,104 3,658,126 7,657,339
Number of shares issued through reinvestment
of dividends and distributions ....................... -- 626,280 -- 497,585
Number of shares redeemed ............................. (2,379,096) (3,051,931) (976,959) (1,841,046)
------------- ------------- ------------- --------------
Net increase in shares outstanding ................... 824,505 4,480,453 2,681,167 6,313,878
============= ============= ============= ==============
See Notes to Financial Statements.
29
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Model Portfolios
------------------------------------
All-Equity Growth
------------------------------------
For the Period
from January 1, For the
2003 to June 30, Year Ended
2003 December 31,
(Unaudited) 2002
------------------ ---------------
Increase (decrease) in net assets resulting from operations:
Net investment income (loss) .................................................... $ (56,835) $ 211,221
Net realized loss on sale of investments ........................................ (828,118) (4,883,573)
Net change in unrealized appreciation (depreciation) of investments ............. 9,090,078 (8,289,658)
------------ -------------
Net increase (decrease) in net assets resulting from operations ................. 8,205,125 (12,962,010)
------------ -------------
Distributions to shareholders from:
Net investment income ........................................................... -- (211,221)
Return of capital ............................................................... -- (1,535)
------------ -------------
Total distributions ............................................................ -- (212,756)
------------ -------------
Capital share transactions:
Proceeds from sale of shares .................................................... 19,731,138 38,467,020
Reinvestment of distributions ................................................... -- 212,756
Value of shares redeemed ........................................................ (4,009,163) (8,537,730)
------------ -------------
Net increase from capital share transactions ................................... 15,721,975 30,142,046
------------ -------------
Total increase in net assets .................................................... 23,927,100 16,967,280
------------ -------------
NET ASSETS at beginning of period ................................................ 54,779,089 37,811,809
------------ -------------
NET ASSETS at end of period ...................................................... $ 78,706,189 $ 54,779,089
============ =============
Undistributed net investment income (loss) included in net assets at
end of period .................................................................. $ (56,835) $ --
============ =============
SHARE TRANSACTIONS:
Number of shares sold ........................................................... 1,307,202 2,284,622
Number of shares issued through reinvestment of dividends and distributions ..... -- 14,592
Number of shares redeemed ....................................................... (265,306) (515,131)
------------ -------------
Net increase in shares outstanding ............................................. 1,041,896 1,784,083
============ =============
See Notes to Financial Statements.
30
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Money Market
------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
------------------ ------------ ------------ ----------- ---------------
Net Asset Value, beginning of period ......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from investment operations:
Net investment income ....................... --** 0.01 0.04 0.06 0.04
Net realized and unrealized gain on
investments ................................ -- -- -- -- --
------- -------- -------- ------- --------
Total from investment operations ............. --** 0.01 0.04 0.06 0.04
------- -------- -------- ------- --------
Less distributions:
From net investment income .................. --** (0.01) (0.04) (0.06) (0.04)
------- -------- -------- ------- --------
Total distributions .......................... --** (0.01) (0.04) (0.06) (0.04)
------- -------- -------- ------- --------
Net Asset Value, end of period ............... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======== ======== ======= ========
Total return ................................. 0.36%++ 1.32% 3.70% 6.05% 4.00%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $119,253 $138,232 $119,652 $93,385 $ 76,773
Ratios to average net assets:
Ratio of expenses to average net assets ..... 0.63%+ 0.61% 0.55% 0.55% 0.55%+
Ratio of net investment income
to average net assets ...................... 0.72%+ 1.30% 3.54% 5.89% 4.70%+
Ratio of expenses to average net assets
prior to expense reductions and
reimbursed expenses ......................... N/A 0.64% 0.62% 0.61% 0.60%+
Ratio of net investment income to average
net assets prior to expense reductions
and reimbursed expenses ..................... N/A 1.27% 3.47% 5.83% 4.65%+
Portfolio turnover ........................... N/A N/A N/A N/A N/A
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than $0.01
See Notes to Financial Statements.
31
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Income Preservation
--------------------------------------------------------------
For the Period For the Period
from January 1, from December 4,
2003 to June 30, For the Year Ended 2000* to
2003 December 31, December 31,
(Unaudited) 2002o 2001(a)# 2000#
------------------ ------------ ------------ -----------------
Net Asset Value, beginning of period ................. $ 100.00 $ 100.00 $ 100.00 $ 100.00
Income from investment operations:
Net investment income ............................... 1.87 4.02 5.08 0.47
Net realized and unrealized gain on investments
and futures and foreign currency transactions ...... --** --** --** --
--------- -------- -------- ---------
Total from investment operations ..................... 1.87 4.02 5.08 0.47
--------- -------- -------- ---------
Less distributions:
From net investment income .......................... (1.87) (4.02) (4.93) (0.47)
From net realized gains ............................. -- (0.47) (2.45) --
Reverse stock split (Note 10) ....................... -- 0.47 2.45 --
Return of capital ................................... -- -- (0.15) --
--------- -------- -------- ---------
Total distributions .................................. (1.87) (4.02) (5.08) (0.47)
--------- -------- -------- ---------
Net Asset Value, end of period ....................... $ 100.00 $ 100.00 $ 100.00 $ 100.00
========= ======== ======== =========
Total return ......................................... 1.88%++ 4.09% 5.18% 0.46%++
Ratios/Supplemental data:
Net assets, end of period (000) ..................... $ 522,739 $454,683 $408,910 $ 329,137
Ratios to average net assets:
Ratio of expenses to average net assets ............. 0.82%+ 0.83% 0.84% 0.78%+
Ratio of net investment income to average
net assets ......................................... 3.76%+ 4.02% 5.06% 6.90%+
Portfolio turnover ................................... 129%++ 310% 213% 139%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
o Per share amounts were calculated using average shares outstanding.
(a) The Fund has adopted the provisions of the AICPA Audit and Accounting Guide
for Investment Companies and began amortizing premium and discount on debt
securities. The effect of this change for the period ended December 31,
2001 was an increase in net investment income per share of less than
$0.01, a decrease in net realized and unrealized gains and losses per
share of less than $0.01, and an increase in the ratio of net investment
income to average net assets of less than 0.01%. Per share data and
ratios/supplemental data for the period prior to January 1, 2001 have not
been restated to reflect this change in position.
** Rounds to less than $0.01
# Per share amounts were restated to reflect a 0.9953 reverse stock split
effective December 27, 2002.
See Notes to Financial Statements.
32
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
US Government Securities
------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001(a) 2000 1999
------------------ ------------ ------------ ----------- ---------------
Net Asset Value, beginning of period ......... $ 10.76 $ 10.34 $ 10.07 $ 9.50 $ 10.00
Income from investment operations:
Net investment income ....................... 0.14 0.34 0.46 0.53 0.44
Net realized and unrealized gain (loss)
on investments ............................. 0.12 0.54 0.27 0.57 (0.50)
-------- -------- ------- ------- -------
Total from investment operations ............. 0.26 0.88 0.73 1.10 (0.06)
-------- -------- ------- ------- -------
Less distributions:
From net investment income .................. (0.16) (0.35) (0.46) (0.53) (0.44)
From net realized gains ..................... -- (0.11) -- -- --
-------- -------- -------- ------- -------
Total distributions .......................... (0.16) (0.46) (0.46) (0.53) (0.44)
-------- -------- -------- ------- -------
Net Asset Value, end of period ............... $ 10.86 $ 10.76 $ 10.34 $ 10.07 $ 9.50
======== ======== ======== ======= =======
Total return ................................. 2.46%++ 8.76% 7.42% 12.00% (0.66)%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $233,909 $235,644 $150,807 $87,209 $76,468
Ratios to average net assets:
Ratio of expenses to average net assets ..... 0.60%+ 0.61% 0.64% 0.68% 0.66%+
Ratio of net investment income to
average net assets ......................... 2.70%+ 3.30% 4.52% 5.54% 5.26%+
Portfolio turnover ........................... 55%++ 114% 278% 121% 176%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
(a) The Fund has adopted the provisions of the AICPA Audit and Accounting Guide
for Investment Companies and began amortizing premium and discount on debt
securities. The effect of this change for the year ended December 31, 2001
was an increase in net investment income per share of less than $0.01, a
decrease in net realized and unrealized gains and losses per share of less
than $0.01, and an increase in the ratio of net investment income to
average net assets of less than 0.01%. Per share data and
ratios/supplemental data for the periods prior to January 1, 2001 have not
been restated to reflect this change in presentation.
See Notes to Financial Statements.
33
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Asset Allocation
----------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001(a) 2000 1999
------------------ ------------- ------------ ------------- ----------------
Net Asset Value, beginning of period ......... $ 5.49 $ 6.52 $ 9.96 $ 10.49 $ 10.00
Income from investment operations:
Net investment income ....................... 0.03 0.10 0.21 0.29 0.24
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.59 (1.13) (0.83) (0.36) 0.62
-------- -------- -------- -------- ----------
Total from investment operations ............. 0.62 (1.03) (0.62) (0.07) 0.86
-------- -------- -------- -------- ----------
Less distributions:
From net investment income .................. -- -- (0.21) (0.29) (0.24)
From net realized gains ..................... -- -- (1.10) (0.17) (0.13)
In excess of net realized gain on
investments ................................ -- -- (1.22) -- --
Return of capital ........................... -- -- (0.29) -- --
-------- -------- -------- -------- ----------
Total distributions .......................... -- -- (2.82) (0.46) (0.37)
-------- -------- -------- -------- ----------
Net Asset Value, end of period ............... $ 6.11 $ 5.49 $ 6.52 $ 9.96 $ 10.49
======== ======== ======== ======== ==========
Total return ................................. 11.29%++ (15.80)% (5.42)% (0.71)% 8.61%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $695,227 $648,156 $876,207 $986,504 $1,100,101
Ratios to average net assets:
Ratio of expenses to average net assets ..... 0.76%+ 0.75% 0.75% 0.78% 0.80%+
Ratio of net investment income to
average net assets ......................... 0.84%+ 1.61% 2.21% 2.61% 2.68%+
Portfolio turnover ........................... 1%++ 25% 107% 19% 6%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
(a) The Fund has adopted the provisions of the AICPA Audit and Accounting Guide
for Investment Companies and began amortizing premium and discount on debt
securities. The effect of this change for the year ended December 31, 2001
was an increase in net investment income per share of less than $0.01, a
decrease in net realized and unrealized gains and losses per share of less
than $0.01, and an increase in the ratio of net investment income to
average net assets of less than 0.01%. Per share data and
ratios/supplemental data for the periods prior to January 1, 2001 have not
been restated to reflect this change in presentation.
See Notes to Financial Statements.
34
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Equity Income
--------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
------------------ ------------- ------------ ------------ ---------------
Net Asset Value, beginning of period ......... $ 5.98 $ 7.12 $ 8.15 $ 7.16 $ 10.00
Income from investment operations:
Net investment income ....................... 0.04 0.09 0.11 0.15 0.18
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.72 (1.15) 0.06 1.11 (0.68)
-------- -------- -------- ------- --------
Total from investment operations ............. 0.76 (1.06) 0.17 1.26 (0.50)
-------- -------- -------- ------- --------
Less distributions:
From net investment income .................. -- (0.08) (0.11) (0.15) (0.18)
From net realized gains ..................... -- -- (0.29) (0.12) (2.16)
In excess of net realized gain on
investments ................................ -- -- (0.78) -- --
Return of capital ........................... -- -- (0.02) -- --
-------- -------- -------- -------- --------
Total distributions .......................... -- (0.08) (1.20) (0.27) (2.34)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 6.74 $ 5.98 $ 7.12 $ 8.15 $ 7.16
======== ======== ======== ======== ========
Total return ................................. 12.71%++ (14.96)% 2.92% 17.56% (4.60)%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $642,765 $565,046 $628,075 $522,954 $486,690
Ratios to average net assets:
Ratio of expenses to average net assets ..... 0.94%+ 0.92% 0.94% 0.85% 0.76%+
Ratio of net investment income to
average net assets ......................... 1.32%+ 1.21% 1.37% 2.00% 2.07%+
Ratio of expenses to average net assets
after expense reductions and reimbursed
expenses .................................... 0.93%+ 0.90% 0.92% 0.79% 0.75%+
Ratio of net investment income to average
net assets after expense reductions and
reimbursed expenses ......................... 1.33%+ 1.23% 1.39% 2.06% 2.08%+
Portfolio turnover ........................... 6%++ 17% 16% 58% 77%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
35
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Growth & Income
--------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- ---------- --------- ---------- --------------
Net Asset Value, beginning of period ............... $ 7.24 $ 9.45 $ 10.83 $ 11.85 $ 10.00
Income from investment operations:
Net investment income ............................. 0.03 0.05 0.05 0.06 0.01
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ............................ 0.93 (2.22) (0.62) 0.44 2.31
-------- -------- ------- -------- -------
Total from investment operations ................... 0.96 (2.17) (0.57) 0.50 2.32
-------- -------- ------- -------- -------
Less distributions:
From net investment income ........................ -- (0.04) (0.05) (0.06) (0.01)
From net realized gains ........................... -- -- -- (1.46) (0.46)
In excess of net realized gain on investments ..... -- -- (0.70) -- --
Return of capital ................................. -- -- (0.06) -- --
-------- -------- ------- -------- --------
Total distributions ................................ -- (0.04) (0.81) (1.52) (0.47)
-------- -------- ------- -------- --------
Net Asset Value, end of period ..................... $ 8.20 $ 7.24 $ 9.45 $ 10.83 $ 11.85
======== ======== ======= ======== ========
Total return ....................................... 13.26%++ (22.93)% (4.77)% 4.21% 23.50%++
Ratios/Supplemental data:
Net assets, end of period (000) ................... $602,803 $515,597 $436,285 $376,137 $235,062
Ratios to average net assets:
Ratio of expenses to average net assets ........... 0.86%+ 0.84% 0.88% 0.82% 0.96%+
Ratio of net investment income to average
net assets ....................................... 0.86%+ 0.76% 0.52% 0.58% 0.15%+
Ratio of expenses to average net assets after
expense reductions and reimbursed expenses ........ 0.84%+ 0.81% 0.85% 0.79% 0.94%+
Ratio of net investment income to average net
assets after expense reductions and
reimbursed expenses ............................... 0.87%+ 0.79% 0.55% 0.61% 0.17%+
Portfolio turnover ................................. 9%++ 29% 58% 94% 51%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
36
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Growth
------------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- ----------- ---------- ---------- ---------------
Net Asset Value, beginning of period ......... $ 6.27 $ 8.28 $ 10.77 $ 13.21 $ 10.00
Income from investment operations:
Net investment income (loss) ................ --** --** (0.00)** (0.01) --**
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.70 (2.01) (1.69) (0.33) 3.95
---------- ---------- ---------- ---------- ----------
Total from investment operations ............. 0.70 (2.01) (1.69) (0.34) 3.95
---------- ---------- ---------- ---------- ----------
Less distributions:
From net investment income .................. -- (0.00)** (0.00)** (0.02) (0.00)**
From net realized gains ..................... -- -- (0.00)** (2.08) (0.74)
In excess of net realized gain on
investments ................................ -- -- (0.72) -- --
Return of capital ........................... -- -- (0.08) -- --
---------- ---------- ---------- ---------- ----------
Total distributions .......................... -- (0.00)** (0.80) (2.10) (0.74)
---------- ---------- ---------- ---------- ----------
Net Asset Value, end of period ............... $ 6.97 $ 6.27 $ 8.28 $ 10.77 $ 13.21
========== ========== ========== ========== ==========
Total return ................................. 11.16%++ (24.26)% (15.21)% (2.56)% 40.03%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $2,278,600 $2,060,555 $2,810,546 $3,349,618 $3,361,695
Ratios to average net assets:
Ratio of expenses to average net assets ..... 0.97%+ 0.91% 0.89% 0.86% 0.81%+
Ratio of net investment income (loss) to
average net assets ......................... (0.06)%+ (0.01)% (0.05)% (0.09)% (0.02)%+
Ratio of expenses to average net assets
after expense reductions and reimbursed
expenses .................................... 0.95%+ 0.88% 0.88% 0.84% 0.80%+
Ratio of net investment loss to average net
assets after expense reductions and
reimbursed expenses ......................... (0.04)%+ 0.02% (0.04)% (0.07)% (0.01)%+
Portfolio turnover ........................... 21%++ 74% 40% 59% 129%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than $0.01
See Notes to Financial Statements.
37
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Aggressive Opportunities
----------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- ---------- ---------- --------- --------------
Net Asset Value, beginning of period ......... $ 6.27 $ 10.19 $ 11.82 $ 15.82 $ 10.00
Income from investment operations:
Net investment loss ......................... --** (0.04) (0.07) (0.03) (0.04)
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 1.17 (3.88) (1.56) (1.45) 6.34
-------- -------- -------- -------- --------
Total from investment operations ............. 1.17 (3.92) (1.63) (1.48) 6.30
-------- -------- -------- -------- --------
Less distributions:
From net realized gains ..................... -- -- -- (2.52) (0.48)
In excess of net realized gain on
investments ................................ -- -- (0.00)** -- --
-------- -------- -------- -------- --------
Total distributions .......................... -- -- -- (2.52) (0.48)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 7.44 $ 6.27 $ 10.19 $ 11.82 $ 15.82
======== ======== ======== ======== ========
Total return ................................. 18.66%++ (38.47)% (13.75)% (9.35)% 63.39%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $701,146 $572,470 $819,047 $850,915 $631,505
Ratios to average net assets:
Ratio of expenses to average net assets ..... 1.25%+ 1.18% 1.24% 1.25% 1.28%+
Ratio of net investment loss to average
net assets ................................. (0.05)%+ (0.58)% (0.72)% (0.29)% (0.48)%+
Ratio of expenses to average net assets
after expense reductions and reimbursed
expenses .................................... 1.20%+ 1.14% 1.19% 1.24% 1.28%+
Ratio of net investment loss to average net
assets after expense reductions and
reimbursed expenses ......................... (0.00)%+# (0.54)% (0.67)% (0.28)% (0.48)%+
Portfolio turnover ........................... 53%++ 128% 102% 41% 50%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than $0.01
# Rounds to less than 0.01%
See Notes to Financial Statements.
38
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
International
---------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- --------- ---------- ---------- --------------
Net Asset Value, beginning of period ......... $ 6.80 $ 8.20 $ 10.73 $ 13.76 $ 10.00
Income from investment operations:
Net investment income ....................... 0.07 0.07 0.06 0.07 0.08
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.38 (1.39) (2.23) (2.12) 4.15
-------- -------- -------- -------- --------
Total from investment operations ............. 0.45 (1.32) (2.17) (2.05) 4.23
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. -- (0.08) -- (0.12) (0.15)
From net realized gains ..................... -- -- -- (0.86) (0.32)
In excess of net realized gain on
investments ................................ -- -- (0.25) -- --
Return of capital ........................... -- -- (0.11) -- --
-------- -------- -------- -------- --------
Total distributions .......................... -- (0.08) (0.36) (0.98) (0.47)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 7.25 $ 6.80 $ 8.20 $ 10.73 $ 13.76
======== ======== ======== ======== ========
Total return ................................. 6.62%++ (16.08)% (20.16)% (14.91)% 42.62%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $316,921 $282,921 $304,357 $326,534 $316,937
Ratios to average net assets:
Ratio of expenses to average net assets ..... 1.25%+ 1.20% 1.20% 1.15% 1.14%+
Ratio of net investment income to
average net assets ......................... 2.15%+ 0.85% 0.54% 0.44% 0.84%+
Ratio of expenses to average net assets
after expense reductions and reimbursed
expenses .................................... 1.23%+ 1.16% 1.18% 1.13% 1.12%+
Ratio of net investment income to average
net assets after expense reductions and
reimbursed expenses ......................... 2.17%+ 0.89% 0.56% 0.46% 0.86%+
Portfolio turnover ........................... 18%++ 81% 37% 40% 29%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
39
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Core Bond Index Class I
---------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001(a) 2000 1999
------------------ -------------- ------------ ------------ ---------------
Net Asset Value, beginning of period ......... $ 10.46 $ 10.07 $ 9.85 $ 9.41 $ 10.00
Income from investment operations:
Net investment income ....................... 0.20 0.50 0.52 0.60 0.49
Net realized and unrealized gain (loss)
on investments ............................. 0.18 0.44 0.30 0.44 (0.59)
-------- -------- -------- ------- --------
Total from investment operations ............. 0.38 0.94 0.82 1.04 (0.10)
-------- -------- -------- ------- --------
Less distributions:
From net investment income .................. (0.24) (0.55) (0.60) (0.60) (0.49)
From net realized gains ..................... -- (0.00)** -- -- --
-------- -------- -------- -------- --------
Total distributions .......................... (0.24) (0.55) (0.60) (0.60) (0.49)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 10.60 $ 10.46 $ 10.07 $ 9.85 $ 9.41
======== ======== ======== ======== ========
Total return ................................. 3.72%++ 9.69% 8.51% 11.43% (1.05)%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $417,017 $384,323 $343,980 $293,330 $261,607
Ratios to average net assets:
Ratio of expenses to average net
assets*** .................................. 0.48%+ 0.48% 0.48% 0.47% 0.47%+
Ratio of net investment income to
average net assets ......................... 4.02%+ 4.90% 5.58% 6.30% 5.99%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
(a) The Fund has adopted the provisions of the AICPA Audit and Accounting
Guide for Investment Companies and began amortizing premium and discount
on debt securities. The effect of this change for the period ended
December 31, 2001 was a decrease in net investment income per share of
$0.08, an increase in net realized and unrealized gains and losses per
share of $0.08 and a decrease in the ratio of net investment income to
average net assets from 5.98% to 5.58%. Per share data and ratios/
supplemental data for the period prior to January 1, 2001 have not been
restated to reflect this change in presentation.
** Rounds to less than $0.01.
*** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
40
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Core Bond Index Class II
-------------------------------------------------------------------------
For the Period For the Period
from January 1, from April 5,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001(a) 2000 1999
---------------- ----------- ---------- --------- --------------
Net Asset Value, beginning of period ......... $ 10.49 $ 10.10 $ 9.88 $ 9.43 $ 10.00
Income from investment operations:
Net investment income ....................... 0.21 0.53 0.55 0.62 0.45
Net realized and unrealized gain (loss)
on investments ............................. 0.20 0.43 0.29 0.45 (0.57)
-------- -------- -------- ------ --------
Total from investment operations ............. 0.41 0.96 0.84 1.07 (0.12)
-------- -------- -------- ------ --------
Less distributions:
From net investment income .................. (0.26) (0.57) (0.62) (0.62) (0.45)
From net realized gains ..................... -- (0.00)** -- -- --
-------- -------- -------- ------- --------
Total distributions .......................... (0.26) (0.57) (0.62) (0.62) (0.45)
-------- -------- -------- ------- --------
Net Asset Value, end of period ............... $ 10.64 $ 10.49 $ 10.10 $ 9.88 $ 9.43
======== ======== ======== ======= ========
Total return ................................. 3.90%++ 9.88% 8.71% 11.73% (1.19)%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $159,909 $150,365 $116,664 $81,972 $ 48,288
Ratios to average net assets:
Ratio of expenses to average net
assets*** .................................. 0.28%+ 0.28% 0.28% 0.27% 0.27%+
Ratio of net investment income to
average net assets ......................... 3.92%+ 5.10% 5.78% 6.53% 6.26%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
(a) The Fund has adopted the provisions of the AICPA Audit and Accounting
Guide for Investment Companies and began amortizing premium and discount
on debt securities. The effect of this change for the period ended
December 31, 2001 was a decrease in net investment income per share of
$0.07, an increase in net realized and unrealized gains and losses per
share of $0.07 and a decrease in the ratio of net investment income to
average net assets from 6.17% to 5.78%. Per share data and ratios/
supplemental data for the period prior to January 1, 2001 have not been
restated to reflect this change in presentation.
** Rounds to less than $0.01.
*** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
41
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
500 Stock Index Class I
---------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- ---------- ---------- ----------- -------------
Net Asset Value, beginning of period ......... $ 6.94 $ 9.05 $ 10.43 $ 11.85 $ 10.00
Income from investment operations:
Net investment income ....................... 0.04 0.09 0.08 0.10 0.09
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.75 (2.11) (1.37) (1.24) 1.86
-------- -------- -------- -------- --------
Total from investment operations ............. 0.79 (2.02) (1.29) (1.14) 1.95
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. -- (0.09) (0.08) (0.07) (0.07)
From net realized gains ..................... -- -- -- (0.21) (0.03)
Return of capital ........................... -- -- (0.01) -- --
-------- -------- -------- -------- --------
Total distributions .......................... -- (0.09) (0.09) (0.28) (0.10)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 7.73 $ 6.94 $ 9.05 $ 10.43 $ 11.85
======== ======== ======== ======== ========
Total return ................................. 11.38%++ (22.39)% (12.29)% (9.61)% 19.52%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $102,878 $ 85,250 $ 97,478 $100,732 $135,372
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.47%+ 0.47% 0.47% 0.44% 0.44%+
Ratio of net investment income to
average net assets ......................... 1.31%+ 1.17% 0.89% 0.83% 1.04%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
42
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
500 Stock Index Class II
----------------------------------------------------------------------------
For the Period For the Period
from January 1, from April 5,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
------------------ ------------- ------------- ------------- ---------------
Net Asset Value, beginning of period ......... $ 6.61 $ 8.62 $ 9.95 $ 11.32 $ 10.00
Income from investment operations:
Net investment income ....................... 0.05 0.10 0.09 0.10 0.08
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.71 (2.01) (1.31) (1.16) 1.36
-------- -------- -------- -------- --------
Total from investment operations ............. 0.76 (1.91) (1.22) (1.06) 1.44
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. -- (0.10) (0.10) (0.10) (0.09)
From net realized gains ..................... -- -- -- (0.21) (0.03)
Return of capital ........................... -- -- (0.01) -- --
-------- -------- -------- -------- --------
Total distributions .......................... -- (0.10) (0.11) (0.31) (0.12)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 7.37 $ 6.61 $ 8.62 $ 9.95 $ 11.32
======== ======== ======== ======== ========
Total return ................................. 11.50%++ (22.17)% (12.17)% (9.36)% 14.44%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $149,936 $120,784 $144,574 $149,423 $119,236
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.27%+ 0.27% 0.27% 0.24% 0.24%+
Ratio of net investment income to
average net assets ......................... 1.50%+ 1.37% 1.09% 1.02% 1.23%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
43
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Broad Market Index Class I
---------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- ---------- ---------- ---------- --------------
Net Asset Value, beginning of period ......... $ 6.89 $ 8.80 $ 10.17 $ 12.21 $ 10.00
Income from investment operations:
Net investment income ....................... 0.04 0.09 0.08 0.11 0.10
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.83 (1.99) (1.30) (1.42) 2.30
-------- -------- -------- -------- --------
Total from investment operations ............. 0.87 (1.90) (1.22) (1.31) 2.40
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. -- (0.01) (0.06) (0.08) (0.09)
From net realized gains ..................... -- -- (0.09) (0.65) (0.10)
-------- -------- -------- -------- --------
Total distributions .......................... -- (0.01) (0.15) (0.73) (0.19)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 7.76 $ 6.89 $ 8.80 $ 10.17 $ 12.21
======== ======== ======== ======== ========
Total return ................................. 12.63%++ (21.62)% (11.87)% (10.78)% 24.07%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $220,371 $190,706 $255,532 $313,268 $519,581
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.48%+ 0.49% 0.47% 0.47% 0.46%+
Ratio of net investment income to
average net assets ......................... 1.22%+ 1.07% 0.85% 0.74% 0.99%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
44
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Broad Market Index Class II
---------------------------------------------------------------------------
For the Period For the Period
from January 1, from April 5,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- ----------- ---------- ---------- --------------
Net Asset Value, beginning of period ......... $ 6.54 $ 8.35 $ 9.67 $ 11.68 $ 10.00
Income from investment operations:
Net investment income ....................... 0.04 0.09 0.09 0.10 0.09
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.79 (1.88) (1.24) (1.35) 1.80
-------- -------- -------- -------- --------
Total from investment operations ............. 0.83 (1.79) (1.15) (1.25) 1.89
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. -- (0.02) (0.08) (0.11) (0.11)
From net realized gains ..................... -- -- (0.09) (0.65) (0.10)
-------- -------- -------- -------- --------
Total distributions .......................... -- (0.02) (0.17) (0.76) (0.21)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 7.37 $ 6.54 $ 8.35 $ 9.67 $ 11.68
======== ======== ======== ======== ========
Total return ................................. 12.69%++ (21.39)% (11.73)% (10.69)% 19.01%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $224,044 $188,942 $240,617 $248,565 $163,050
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.28%+ 0.29% 0.27% 0.27% 0.26%+
Ratio of net investment income to
average net assets ......................... 1.40%+ 1.27% 1.05% 0.94% 1.18%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
45
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Mid/Small Company Index Class I
-------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- ----------- --------- ---------- --------------
Net Asset Value, beginning of period ......... $ 8.33 $ 10.21 $ 11.50 $ 13.92 $ 10.00
Income from investment operations:
Net investment income ....................... 0.03 0.06 0.07 0.06 0.06
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 1.36 (1.94) (1.22) (2.14) 4.02
-------- -------- ------- -------- --------
Total from investment operations ............. 1.39 (1.88) (1.15) (2.08) 4.08
-------- -------- ------- -------- --------
Less distributions:
From net investment income .................. -- -- (0.05) (0.05) (0.06)
From net realized gains ..................... -- -- (0.08) (0.29) (0.10)
Return of capital ........................... -- -- (0.01) -- --
-------- -------- ------- -------- --------
Total distributions .......................... -- -- (0.14) (0.34) (0.16)
-------- -------- ------- -------- --------
Net Asset Value, end of period ............... $ 9.72 $ 8.33 $ 10.21 $ 11.50 $ 13.92
======== ======== ======= ======== ========
Total return ................................. 16.69%++ (18.41)% (9.90)% (14.91)% 40.90%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $ 32,474 $ 27,427 $30,220 $ 33,805 $ 21,548
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.54%+ 0.53% 0.55% 0.51% 0.60%+
Ratio of net investment income to
average net assets ......................... 0.83%+ 0.70% 0.63% 0.52% 0.75%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
46
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Mid/Small Company Index Class II
--------------------------------------------------------------------------
For the Period For the Period
from January 1, from April 5,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
------------------ ------------- ----------- ------------- ---------------
Net Asset Value, beginning of period ......... $ 7.99 $ 9.78 $ 11.02 $ 13.37 $ 10.00
Income from investment operations:
Net investment income ....................... 0.03 0.08 0.08 0.09 0.07
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 1.31 (1.87) (1.16) (2.06) 3.48
------- ------- ------- ------- -------
Total from investment operations ............. 1.34 (1.79) (1.08) (1.97) 3.55
------- ------- ------- ------- -------
Less distributions:
From net investment income .................. -- -- (0.08) (0.09) (0.08)
From net realized gains ..................... -- -- (0.08) (0.29) (0.10)
------- ------- ------- ------- -------
Total distributions .......................... -- -- (0.16) (0.38) (0.18)
------- ------- ------- ------- -------
Net Asset Value, end of period ............... $ 9.33 $ 7.99 $ 9.78 $ 11.02 $ 13.37
======= ======= ======= ======= =======
Total return ................................. 16.77%++ (18.30)% (9.65)% (14.75)% 35.64%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $32,179 $25,273 $30,158 $34,334 $ 9,296
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.34%+ 0.33% 0.35% 0.31% 0.40%+
Ratio of net investment income to
average net assets ......................... 1.03%+ 0.90% 0.83% 0.73% 0.97%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
47
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Overseas Equity Index Class I
---------------------------------------------------------------------------
For the Period For the Period
from January 1, from March 1,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- --------- --------- --------- --------------
Net Asset Value, beginning of period ......... $ 6.36 $ 7.78 $ 10.13 $ 12.75 $ 10.00
Income from investment operations:
Net investment income ....................... 0.09 0.10 0.09 0.16 0.11
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.50 (1.40) (2.30) (2.10) 2.88
------- ------- ------- ------- -------
Total from investment operations ............. 0.59 (1.30) (2.21) (1.94) 2.99
------- ------- ------- ------- -------
Less distributions:
From net investment income .................. -- (0.12) (0.07) (0.11) (0.17)
From net realized gains ..................... -- -- (0.01) (0.57) (0.07)
Return of capital ........................... -- -- (0.06) -- --
------- ------- ------- ------- -------
Total distributions .......................... -- (0.12) (0.14) (0.68) (0.24)
------- ------- ------- ------- -------
Net Asset Value, end of period ............... $ 6.95 $ 6.36 $ 7.78 $ 10.13 $ 12.75
======= ======= ======= ======= =======
Total return ................................. 9.28%++ (16.73)% (21.77)% (15.21)% 30.03%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $42,014 $35,413 $35,682 $34,167 $48,416
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.70%+ 0.70% 0.68% 0.67% 0.95%+
Ratio of net investment income to
average net assets ......................... 3.04%+ 1.51% 1.05% 1.07% 1.17%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
48
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Overseas Equity Index Class II
---------------------------------------------------------------------------
For the Period For the Period
from January 1, from April 5,
2003 to June 30, 1999* to
2003 For the Year Ended December 31, December 31,
(Unaudited) 2002 2001 2000 1999
---------------- --------- --------- --------- ---------------
Net Asset Value, beginning of period ......... $ 6.04 $ 7.40 $ 9.64 $ 12.19 $ 10.00
Income from investment operations:
Net investment income ....................... 0.09 0.12 0.10 0.13 0.15
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 0.47 (1.35) (2.19) (1.96) 2.30
------- ------- ------- ------- -------
Total from investment operations ............. 0.56 (1.23) (2.09) (1.83) 2.45
------- ------- ------- ------- -------
Less distributions:
From net investment income .................. -- (0.13) (0.08) (0.15) (0.19)
From net realized gains ..................... -- -- (0.01) (0.57) (0.07)
Return of capital ........................... -- -- (0.06) -- --
------- ------- ------- ------- -------
Total distributions .......................... -- (0.13) (0.15) (0.72) (0.26)
------- ------- ------- ------- -------
Net Asset Value, end of period ............... $ 6.60 $ 6.04 $ 7.40 $ 9.64 $ 12.19
======= ======= ======= ======= =======
Total return ................................. 9.27%++ (16.59)% (21.56)% (15.02)% 24.59%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $10,948 $ 7,661 $ 8,234 $ 9,950 $ 8,623
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.50%+ 0.50% 0.48% 0.47% 0.75%+
Ratio of net investment income to
average net assets ......................... 3.22%+ 1.71% 1.28% 1.20% 1.53%+
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
49
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
Savings Oriented
--------------------------------------------------------------
For the Period For the Period
from January 1, from December 4,
2003 to June 30, For the Year Ended 2000* to
2003 December 31, December 31,
(Unaudited) 2002 2001 2000
---------------- ---------- ---------- ----------------
Net Asset Value, beginning of period ................. $ 21.92 $ 22.91 $ 25.09 $ 25.00
Income from investment operations:
Net investment income ............................... 0.27 0.64 0.96 0.16
Net realized and unrealized gain (loss)
on investments ..................................... 0.72 (0.96) (0.32) 0.21
-------- -------- -------- --------
Total from investment operations ..................... 0.99 (0.32) 0.64 0.37
-------- -------- -------- --------
Less distributions:
From net investment income .......................... -- (0.61) (1.47) (0.15)
From net realized gains ............................. -- (0.06) (0.85) (0.13)
In excess of net realized gain on investments ....... -- -- (0.37) --
Return of capital ................................... -- -- (0.13) --
-------- -------- -------- --------
Total distributions .................................. -- (0.67) (2.82) (0.28)
-------- -------- -------- --------
Net Asset Value, end of period ....................... $ 22.91 $ 21.92 $ 22.91 $ 25.09
======== ======== ======== ========
Total return ......................................... 4.52%++ (1.38)% 2.81% 1.48%++
Ratios/Supplemental data:
Net assets, end of period (000) ..................... $176,011 $159,497 $137,029 $101,093
Ratios to average net assets:
Ratio of expenses to average net assets ............. 0.16%+ 0.16% 0.18% 0.13%+
Ratio of net investment income to average
net assets ......................................... 2.56%+ 3.06% 3.76% 8.95%+
Portfolio turnover ................................... 7%++ 10% 14% 2%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
50
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
Conservative Growth
--------------------------------------------------------------
For the Period For the Period
from January 1, from December 4,
2003 to June 30, For the Year Ended 2000* to
2003 December 31, December 31,
(Unaudited) 2002 2001 2000
---------------- ---------- ---------- ----------------
Net Asset Value, beginning of period ................. $ 19.54 $ 21.52 $ 24.81 $ 25.00
Income from investment operations:
Net investment income ............................... 0.21 0.53 0.83 0.14
Net realized and unrealized gain (loss)
on investments ..................................... 1.05 (1.96) (0.95) 0.33
-------- -------- -------- --------
Total from investment operations ..................... 1.26 (1.43) (0.12) 0.47
-------- -------- -------- --------
Less distributions:
From net investment income .......................... -- (0.55) (1.27) (0.14)
From net realized gains ............................. -- -- (1.17) (0.52)
In excess of net realized gain on investments ....... -- -- (0.53) --
Return of capital ................................... -- -- (0.20) --
-------- -------- -------- --------
Total distributions .................................. -- (0.55) (3.17) (0.66)
-------- -------- -------- --------
Net Asset Value, end of period ....................... $ 20.80 $ 19.54 $ 21.52 $ 24.81
======== ======== ======== ========
Total return ......................................... 6.50%++ (6.66)% 0.09% 1.89%++
Ratios/Supplemental data:
Net assets, end of period (000) ..................... $315,899 $280,787 $280,813 $236,682
Ratios to average net assets:
Ratio of expenses to average net assets ............. 0.15%+ 0.15% 0.15% 0.12%+
Ratio of net investment income to average
net assets ......................................... 2.17%+ 2.64% 3.17% 8.26%+
Portfolio turnover ................................... 7%++ 12% 15% 1%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
51
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
Traditional Growth
---------------------------------------------------------------
For the Period For the Period
from January 1, from December 4,
2003 to June 30, For the Year Ended 2000* to
2003 December 31, December 31,
(Unaudited) 2002 2001 2000
---------------- ---------- ----------- -----------------
Net Asset Value, beginning of period ................. $ 17.19 $ 20.06 $ 24.64 $ 25.00
Income from investment operations:
Net investment income ............................... 0.12 0.34 0.57 0.14
Net realized and unrealized gain (loss)
on investments ..................................... 1.36 (2.88) (1.69) 0.47
-------- -------- -------- --------
Total from investment operations ..................... 1.48 (2.54) (1.12) 0.61
-------- -------- -------- --------
Less distributions:
From net investment income .......................... -- (0.33) (0.92) (0.14)
From net realized gains ............................. -- -- (1.78) (0.83)
In excess of net realized gain on investments ....... -- -- (0.62) --
Return of capital ................................... -- -- (0.14) --
-------- -------- -------- --------
Total distributions .................................. -- (0.33) (3.46) (0.97)
-------- -------- -------- --------
Net Asset Value, end of period ....................... $ 18.67 $ 17.19 $ 20.06 $ 24.64
======== ======== ======== ========
Total return ......................................... 8.61%++ (12.64)% (3.62)% 2.46%++
Ratios/Supplemental data:
Net assets, end of period (000) ..................... $630,898 $566,555 $571,357 $489,791
Ratios to average net assets:
Ratio of expenses to average net assets ............. 0.15%+ 0.14% 0.15% 0.11%+
Ratio of net investment income to average
net assets ......................................... 1.44%+ 1.94% 2.20% 8.22%+
Portfolio turnover ................................... 10%++ 11% 13% 0%++**
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than 1%
See Notes to Financial Statements.
52
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
Long-Term Growth
---------------------------------------------------------------
For the Period For the Period
from January 1, from December 4,
2003 to June 30, For the Year Ended 2000* to
2003 December 31, December 31,
(Unaudited) 2002 2001 2000
---------------- ---------- ---------- -----------------
Net Asset Value, beginning of period ................. $ 15.48 $ 19.16 $ 24.53 $ 25.00
Income from investment operations:
Net investment income ............................... 0.06 0.22 0.36 0.15
Net realized and unrealized gain (loss) on
investments ........................................ 1.64 (3.67) (2.39) 0.66
-------- -------- -------- --------
Total from investment operations ..................... 1.70 (3.45) (2.03) 0.81
-------- -------- -------- --------
Less distributions:
From net investment income .......................... -- (0.22) (0.62) (0.15)
From net realized gains ............................. -- (0.01) (2.11) (1.13)
In excess of net realized gain on investments ....... -- -- (0.59) --
Return of capital ................................... -- -- (0.02) --
-------- -------- -------- --------
Total distributions .................................. -- (0.23) (3.34) (1.28)
-------- -------- -------- --------
Net Asset Value, end of period ....................... $ 17.18 $ 15.48 $ 19.16 $ 24.53
======== ======== ======== ========
Total return ......................................... 10.98%++ (18.01)% (7.15)% 3.23%++
Ratios/Supplemental data:
Net assets, end of period (000) ..................... $632,761 $528,710 $533,348 $467,522
Ratios to average net assets:
Ratio of expenses to average net assets ............. 0.15%+ 0.14% 0.15% 0.11%+
Ratio of net investment income to average
net assets ......................................... 0.80%+ 1.40% 1.40% 8.05%+
Portfolio turnover ................................... 4%++ 9% 10% 0%++**
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than 1%
See Notes to Financial Statements.
53
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
All-Equity Growth
----------------------------------------------------------------
For the Period For the Period
from January 1, from December 4,
2003 to June 30, For the Year Ended 2000* to
2003 December 31, December 31,
(Unaudited) 2002 2001 2000
------------------ ------------- ------------- -----------------
Net Asset Value, beginning of period ................. $ 14.68 $ 19.41 $ 24.27 $ 25.00
Income from investment operations:
Net investment income (loss) ........................ (0.01) 0.06 0.13 0.16
Net realized and unrealized gain (loss)
on investments ..................................... 1.82 (4.73) (3.05) 0.72
------- ------- ------- -------
Total from investment operations ..................... 1.81 (4.67) (2.92) 0.88
------- ------- ------- -------
Less distributions:
From net investment income .......................... -- (0.06) (0.42) (0.16)
From net realized gains ............................. -- -- (1.02) (1.45)
In excess of net realized gain on investments ....... -- -- (0.49) --
Return of capital ................................... -- -- (0.01) --
------- ------- ------- -------
Total distributions .................................. -- (0.06) (1.94) (1.61)
------- ------- ------- -------
Net Asset Value, end of period ....................... $ 16.49 $ 14.68 $ 19.41 $ 24.27
======= ======= ======= =======
Total return ......................................... 12.33%++ (24.07)% (11.13)% 3.53%++
Ratios/Supplemental data:
Net assets, end of period (000) ..................... $78,706 $54,779 $37,812 $11,697
Ratios to average net assets:
Ratio of expenses to average net assets ............. 0.18%+ 0.18% 0.20% 0.13%+
Ratio of net investment income (loss) to
average net assets ................................. (0.18)%+ 0.45% 0.21% 9.23%+
Portfolio turnover ................................... 3%++ 6% 18% 2%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
54
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS
(Unaudited)
1. Organization
The Vantagepoint Funds (the "Company") is registered under the Investment
Company Act of 1940 (the "1940 Act"), as amended, as an open-end management
investment company organized as a Delaware business trust. The Company commenced
operations on March 1, 1999 and currently consists of the following series
(together, the "Funds" and each individually a "Fund"):
The "Funds": The "Index Funds": The "Model Portfolio Funds":
Money Market Fund Core Bond Index Fund Savings Oriented Fund
Income Preservation Fund 500 Stock Index Fund Conservative Growth Fund
US Government Securities Fund Broad Market Index Fund Traditional Growth Fund
Asset Allocation Fund Mid/Small Company Index Fund Long-Term Growth Fund
Equity Income Fund Overseas Equity Index Fund All-Equity Growth Fund
Growth & Income Fund
Growth Fund
Aggressive Opportunities Fund
International Fund
The Model Portfolio Savings Oriented Fund, the Model Portfolio Conservative
Growth Fund, the Model Portfolio Traditional Growth Fund, the Model Portfolio
Long-Term Growth Fund, and the Model Portfolio All-Equity Growth Fund commenced
operations on December 4, 2000 by acquiring all of the assets of certain funds
of the ICMA Retirement Trust. The acquisition was accomplished by a tax-free
transfer of net assets of the corresponding Trust Funds in exchange for shares
in the newly formed funds. The Income Preservation Fund commenced operations on
December 4, 2000.
The Funds and Model Portfolio Funds offer a single class of shares. The
Index Funds offer two classes of shares: Class I Shares and Class II Shares. The
two classes of shares differ principally in their respective fund services and
investor services fees. Shareholders of each Index Fund bear the common expenses
of the Index Fund and earn income from the Master Portfolio pro rata based on
the daily net assets of each class. Ordinary dividends to shareholders are
allocated to each class, based upon shares outstanding on the date of
distribution. Neither class has preferential dividend rights. Differences in per
share dividend rates are generally due to differences in separate class
expenses.
Index Fund Structure
Each Index Fund is a "feeder" fund in a "master-feeder" structure. Instead
of investing directly in individual securities in the portfolio, the feeder
fund, which is offered to the Index Fund Shareholders, invests in a Master
Portfolio that has substantially the same investment objectives as the feeder
fund. It is the Master Portfolio that actually invests in individual securities.
Barclays Global Fund Advisors (BGFA) is the investment adviser for the Master
Portfolios. The Index Funds invest in the following Master Portfolios:
Index Fund Invests in Master Portfolio Ownership Interest
---------- ---------- ------------------- ------------------
Core Bond ------> Bond Index 88.29%
500 Stock ------> S&P 500 Index 8.87%
Broad Market ------> U.S. Equity Index 100.00%
Mid/Small Company ------> Extended Index 40.67%
Overseas Equity ------> International Index 47.44%
The financial statements of the Master Portfolios, including their
Schedules of Investments, are included elsewhere in this report and should be
read in conjunction with the financial statements of the Index Funds.
55
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
2. Significant Accounting Policies
The following significant accounting policies are consistently followed by
the Company in the preparation of its financial statements in accordance with
accounting principles generally accepted in the United States of America. In the
preparation of the financial statements, management makes estimates and
assumptions that affect the reported amounts of assets, liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates. Certain prior year
amounts have been reclassified to conform to the current year presentation.
Investment Policy and Security Valuation
The equity securities held by each Fund normally are valued at the last
reported sale price on the exchange on which the security is principally traded.
Beginning April 14, 2003, securities for which the primary market is the
National Association of Securities Dealers Automated Quotations National Market
System ("NASDAQ") are valued at the NASDAQ Official Closing Price. Equity
securities not traded on an exchange or on NASDAQ normally are valued at the
last reported sale price in the over-the-counter market. If a non-exchange
traded security does not trade on a particular day, then the security normally
is valued at the mean between the highest bid price and the lowest priced offer
obtained from quotation sources believed to be reliable. Fixed income debt
instruments, such as commercial paper, bankers' acceptances and U.S. Treasury
Bills, with a remaining maturity of less than 60 days, are valued at cost.
Prices for other fixed income securities normally are obtained from a commercial
pricing service which may use pricing matrices or other methodologies designed
to identify the value of fixed income securities. Any security for which market
value as described above is not readily available is valued at fair value as
determined in good faith in accordance with policies approved by the Company's
Board of Directors.
The value of each Index Fund's interest in the net assets of the Master
Portfolio in which it invests reflects the value of that Index Fund's interest
in the net assets of that Master Portfolio. See "Investment Policy and Security
Valuation" for the Master Portfolios included elsewhere in this report.
The Model Portfolio Funds invest in certain other Vantagepoint Funds
("underlying funds") rather than investing directly in a portfolio of
securities. Each Model Portfolio Fund is diversified among various asset classes
and each reflects a different degree of potential risk and reward. Shares of
underlying funds are valued at their net asset value as reported on each
business day.
The Money Market Fund invests all of its assets in the Short Term
Investments Co. Liquid Assets Portfolio Institutional Class. The Short Term
Investments Co. Liquid Assets Portfolio uses the amortized cost method of
valuation to determine the value of its portfolio securities in accordance with
Rule 2a-7 under the 1940 Act. Amortized cost, which is a security's historical
cost adjusted for amortization of discount or premium, if any, approximates
market value.
The Income Preservation Fund seeks a high level of current income
consistent with preserving principal and seeking to maintain a stable net asset
value per share by investing primarily in high-quality short and intermediate
term debt securities, and entering into wrapper agreements. The wrapper
agreements are nontransferable but provide for benefit responsive withdrawals by
shareholders at the contract value in accordance with the provisions of the
plan. Wrapper agreements are reported at their estimated fair value as
determined by the Board of Directors. In determining fair value, the Company
primarily considers such factors as the benefit responsiveness of the investment
contract and the ability of the parties to the wrapper agreement to perform in
accordance with the terms of the agreement. Generally, fair value approximates
contract value (contributions made plus interest accrued at the contract rate,
less withdrawals and fees). If, however, an event has occurred that may impair
the ability of the contract issuer to perform in accordance with the contract
terms, fair value may be less than contract value. The fair value of investment
contracts that are not benefit-responsive (none as of the reporting dates) is
56
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
determined by or under the supervision of the Company, generally by discounting
the related cash flows based on current yields of similar instruments with
comparable durations.
Foreign Currency
The accounting records of the Funds are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day. Purchases and sales of securities, income receipts and
expense payments are translated into U.S. dollars at the prevailing exchange
rate on the respective dates of such transactions. Unrealized gains and losses,
not relating to securities, which result from changes in foreign currency
exchange rates, have been included in unrealized appreciation/(depreciation) of
securities. Net realized foreign currency gains and losses include foreign
currency gains and losses resulting from changes in exchange rates between trade
date and settlement date on investment securities transactions, gains and losses
on foreign currency transactions, and the difference between the amounts of
interest and dividends recorded on the books of the Funds and the amounts
actually received. The portion of foreign currency gains and losses related to
fluctuations in exchange rates between the initial purchase trade date and
subsequent sale trade date is included in realized gains/(losses) from security
transactions.
Security Transactions and Income Recognition
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest is recognized on a daily accrual basis. Realized gains or
losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized for both financial reporting and tax
purposes.
Dividends and Distributions to Shareholders
Dividends to shareholders from net investment income of the Core Bond Index
Fund and US Government Securities Fund are declared and paid monthly. Dividends
to shareholders from net investment income of the Money Market Fund and Income
Preservation Fund are declared daily and paid monthly. Dividends to shareholders
from net investment income of the remaining Funds, Index Funds and Model
Portfolio Funds are declared and paid annually. Distributions to shareholders
from any net realized capital gains are generally declared and paid annually.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments of
income and gains on various investment securities held by the Funds, dividends
payable, and differing characterization of distributions made by each Fund as a
whole.
Federal Income Taxes
Each of the Funds intends to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code for federal tax
purposes. Accordingly, each fund intends to make distributions of substantially
all of its net investment company taxable income and any net realized capital
gains (after reduction for capital loss carryforwards) sufficient to relieve it
from all, or substantially all, federal income and excise taxes. Therefore, no
provision for federal income or excise taxes is required.
Futures Contracts
The Funds may purchase futures contracts to gain exposure to market changes
as this may be more efficient or cost effective than actually buying the
securities. A futures contract is an agreement between two parties to buy and
sell a security at a set price amount of cash, U.S.
57
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Government securities or other high-quality debt securities equal to the minimum
"initial margin" requirements. Pursuant to the contract, the Funds agree 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 are known as
"variation margin" and are recorded by the Funds as unrealized gains or losses.
When the contract is closed, the Funds record 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. Pursuant to regulations and/or published
positions of the Securities and Exchange Commission, the Funds are required to
segregate cash or liquid instruments in connection with futures transactions in
an amount generally equal to the entire futures contract amount. Risks of
entering into futures contracts include the possibility that there may be an
illiquid market and that a change in the value of the contracts may not
correlate with changes in the value of the underlying securities. The amounts of
risk under such futures may exceed the amounts reflected in the financial
statements. As of June 30, 2003, the following Funds had open futures contracts:
Income Preservation Fund
Net
Unrealized
Number of Notional Appreciation/
Contracts Type Expiration Date Contract Value (Depreciation)
- --------- ---- --------------- -------------- --------------
Open Purchase Contracts:
14,400,000 CBT U.S. 10 Year
Treasury Note September 2003 $ 16,911,000 $ (195,750)
2,600,000 CBT U.S. Long Bond September 2003 $ 3,050,938 (23,766)
92,500 CME 90 Day Eurodollar March 2004 $ 9,135,763 60,125
92,500 CME 90 Day Eurodollar June 2004 $ 9,118,188 78,163
----------
Total Unrealized Depreciation on Futures $ (81,228)
==========
Asset Allocation Fund
Net
Number of Notional Unrealized
Contracts Type Expiration Date Contract Value Depreciation
- --------- ---- --------------- -------------- ------------
Open Purchase Contracts:
196,000 CME S&P 500 Index September 2003 $190,766,800 $(1,407,725)
-----------
Total Unrealized Depreciation on Futures $(1,407,725)
===========
Growth Fund
Net
Number of Notional Unrealized
Contracts Type Expiration Date Contract Value Depreciation
- --------- ---- --------------- -------------- ------------
Open Purchase Contracts:
350 CME E-MINI S&P
500 Index September 2003 $ 340,655 $ (12,460)
1,500 CME S&P 500 Index September 2003 $ 1,459,950 (22,530)
----------
Total Unrealized Depreciation on Futures $ (34,990)
==========
Repurchase Agreements
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Fund's schedule of investments. The Funds require that the cash investment
be fully collateralized based on values that are marked to market daily. The
collateral is generally held by an agent bank under a tri-party agreement. It is
the adviser's responsibility to
58
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than 102% of market value. The
repurchase agreements entered into on June 30, 2003 are collateralized by U.S.
Government securities. If the custodian or counterparty becomes bankrupt, the
Funds' realization of collateral might be delayed, or the Funds may incur a cost
or possible losses of principal and income in selling the collateral.
Wrapper Agreements
The Income Preservation Fund will seek to maintain a stable net asset value
("NAV") by purchasing wrapper agreements from financial institutions such as
insurance companies and banks ("wrap providers"). These agreements are designed
to maintain the Fund's NAV at a stable share price. These agreements offset
daily market value fluctuations by permitting book value accounting for the
fixed income securities. Risks of purchasing wrapper agreements include the
possibility that the wrapper agreement purchased by the Fund will fail to
achieve the goal of limiting fluctuations in the Fund's NAV. Risks also include
potential change in regulatory guidelines for wrapper agreements. Wrap providers
do not assume the credit risk associated with fixed income securities.
Therefore, if the issuer of a security defaults on payment of principal or
interest or has its credit rating downgraded, the Fund may have to sell such a
security quickly and at a price that may not reflect its book value, and the
wrapper agreements will not shield the Fund from any resultant loss.
Additionally, the wrapper agreements are not liquid investments. As of June 30,
2003, the Fund has entered into wrapper agreements with Bank of America, N.A.
and AIG Financial Products and the current contractual fee related to both these
agreements is 0.13% of the average net assets assigned to each contract of the
Fund.
Option Contracts
The Income Preservation Fund may use options to obtain exposure to fixed
income sectors without incurring leverage. When an option is written, the Fund
receives a premium and becomes obligated to sell or purchase the underlying
security at a fixed price, upon exercise of the option. In writing an option,
the Fund bears the market risk of an unfavorable change in the price of the
security underlying the written option. Exercise of an option written by the
Fund could result in the Fund buying or selling a security at a price different
from the current market value. When a written call option is exercised, the
sales proceeds are adjusted by the amount of premium received or paid. When a
written put option is exercised, the purchase cost is adjusted by the amount of
premium received or paid. When a purchased put or purchased call option is
exercised, the cost of the security is adjusted by the amount of premium paid.
Options written are reported as a liability in the Statement of Assets and
Liabilities. Gains and losses are reported in the Statement of Operations. The
risk in writing a call option is that the Fund gives up the opportunity for
profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Fund may incur a loss if
the market price of the security decreases and the option is exercised. The risk
in buying an option is that the Fund pays a premium whether or not the option is
exercised. Written option activity for the six months ended June 30, 2003, was
as follows:
Call Options
------------------------
Income Preservation Fund Contracts Premium
- ------------------------ --------- ---------
Beginning Balance as of 01/01/2003 -- $ --
Contracts written 176 $ 191,637
Contracts closed (176) $(191,637)
Contracts expired -- $ --
Ending Balance as of 06/30/2003 -- $ --
At June 30, 2003, there were no written options open or outstanding.
59
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement to pay or
receive specific amounts of a currency at a future date in exchange for another
currency at an agreed upon exchange rate. The Funds may use forward foreign
currency exchange contracts to hedge certain foreign currency assets and
liabilities. Contracts are recorded at market value and marked to market daily.
Risks of entering into forward foreign currency exchange contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities. The amount at risk for such forward foreign currency exchange
contracts may exceed the amount reflected in the financial statements. Realized
and unrealized gains or losses on forward foreign currency exchange contracts
are reflected in the accompanying financial statements. As of June 30, 2003, the
Funds had the following open forward foreign currency exchange contracts
outstanding:
Growth Fund
Exchange Foreign Currency U.S. Dollar Value Net Unrealized
Currency Date Cost/Proceeds (U.S.$) at June 30, 2003 Loss
- -------- -------- --------------------- ----------------- --------------
Sale Contracts
Japanese Yen 07/01/2003 $1,012 $1,014 $ (2)
----
Net Loss on Sale Contracts $ (2)
Net Unrealized Loss on Forward
Foreign Currency Contracts $ (2)
====
60
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Aggressive Opportunities Fund
Exchange Foreign Currency U.S. Dollar Value Net Unrealized
Currency Date Cost/Proceeds (U.S.$) at June 30, 2003 Gain/(Loss)
- -------- ---------- --------------------- ----------------- --------------
Purchase Contracts
Australian Dollar 09/05/2003 $ 3,876,622 $ 3,970,862 $ 94,240
British Pound Sterling 09/05/2003 2,698,474 2,700,948 2,474
08/01/2005 3,549,667 3,803,104 253,437
Danish Krone 09/05/2003 123,658 119,786 (3,872)
Euro Dollar 08/01/2005 6,038,705 7,145,979 1,107,274
Japanese Yen 09/05/2003 1,524,979 1,482,753 (42,226)
08/01/2005 3,318,942 3,137,930 (181,012)
New Zealand Dollar 09/05/2003 626,615 640,819 14,204
08/01/2005 406,144 416,268 10,124
Swedish Krona 09/05/2003 1,585,052 1,533,516 (51,536)
Swiss Franc 08/02/2005 897,170 980,851 83,681
-----------
Net Gain on Purchase Contracts $ 1,286,788
Sale Contracts
Australian Dollar 08/02/2005 $ 4,031,960 $ 4,995,105 $ (963,145)
British Pound Sterling 08/01/2005 17,432,460 18,598,253 (1,165,793)
Canadian Dollar 03/26/2004 3,599,997 3,639,204 (39,207)
06/25/2004 11,827,653 11,831,422 (3,769)
Danish Krone 08/01/2005 2,005,175 2,372,989 (367,814)
Euro Dollar 07/01/2003 61,208 61,755 (547)
09/05/2003 6,926,957 6,711,434 215,523
06/25/2004 15,108,800 15,168,891 (60,091)
08/01/2005 28,613,280 33,487,910 (4,874,630)
Japanese Yen 07/01/2003 19,263 19,288 (25)
09/05/2003 5,473,515 5,384,073 89,442
03/26/2004 6,354,743 6,253,782 100,961
06/25/2004 39,109,507 38,386,034 723,473
08/01/2005 34,026,829 31,494,150 2,532,679
New Zealand Dollar 09/05/2003 636,900 640,819 (3,919)
08/01/2005 324,216 416,268 (92,052)
Republic of Korea Won 09/05/2003 5,181,826 5,235,527 (53,701)
Singapore Dollar 07/01/2003 296,758 296,244 514
09/05/2003 4,930,725 4,814,867 115,858
Swedish Krona 08/01/2005 3,491,968 4,248,580 (756,612)
Swiss Franc 07/01/2003 96,270 96,623 (353)
09/05/2003 4,303,987 4,074,512 229,475
08/02/2005 914,004 980,851 (66,847)
------------
Net Loss on Sale Contracts $ (4,440,580)
Net Unrealized Loss on Forward
Foreign Currency Contracts $ (3,153,792)
============
61
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
International Fund
Exchange Foreign Currency U.S. Dollar Value Net Unrealized
Currency Date Cost/Proceeds (U.S.$) at June 30, 2003 Gain/(Loss)
- ------------------------ ------------ ----------------------- ------------------- ---------------
Purchase Contracts
Australian Dollar 09/05/2003 $ 616,243 $ 630,295 $ 14,052
British Pound Sterling 07/01/2003 9,373 9,414 41
Canadian Dollar 07/02/2003 57,642 57,697 55
07/14/2003 815,843 879,643 63,800
07/17/2003 1,083,410 1,171,854 88,444
Euro Dollar 07/01/2003 57,082 57,257 175
09/12/2003 515,755 541,760 26,005
09/30/2003 2,633,406 2,857,244 223,838
10/16/2003 877,252 960,594 83,342
Japanese Yen 07/01/2003 47,003 46,740 (263)
Swiss Franc 07/01/2003 74,638 74,650 12
--------
Net Gain on Purchase Contracts $499,501
Sale Contracts
British Pound Sterling 07/01/2003 $ 143,535 $ 143,165 $ 370
07/02/2003 97,227 97,587 (360)
Euro Dollar 07/01/2003 11,850 11,933 (83)
07/02/2003 97,585 98,225 (640)
Hong Kong Dollar 10/16/2003 877,252 877,253 (1)
Japanese Yen 07/01/2003 29,748 29,582 166
07/17/2003 1,083,410 1,080,723 2,687
09/05/2003 616,243 614,119 2,124
09/12/2003 515,755 502,508 13,247
09/30/2003 2,633,406 2,639,668 (6,262)
Swiss Franc 07/01/2003 12,329 12,374 (45)
07/14/2003 815,843 834,938 (19,095)
--------
Net Loss on Sale Contracts $ (7,892)
Net Unrealized Gain on Forward
Foreign Currency Contracts $491,609
=========
62
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
3. Agreements and Other Transactions with Affiliates
Vantagepoint Investment Advisers LLC (the "VIA"), a wholly owned subsidiary
of the ICMA Retirement Corporation ("RC"), provides investment advisory services
to each of the Funds, Index Funds and Model Portfolio Funds. Pursuant to a
Master Advisory Agreement, VIA is entitled to receive 0.10% of the average daily
net assets of each Fund and Model Portfolio Fund and 0.05% of the average daily
net assets of Class I and Class II for the Index Funds. VIA and the Company
contract with one or more subadvisers ("Subadvisers") for the day-to-day
management of each of the Funds other than the Index Funds and the Model
Portfolio Funds. The Model Portfolio Funds do not have Subadviser fees. Each
Subadviser is paid a fee by the Funds during the year based on average net
assets under management. The fee structure for many of the subadvisers provides
for a range of fees so that as average net assets of a Fund increase the rate of
fee paid decreases. With other subadvisers, one fee is applicable to all levels
of assets under management. The specifics of each subadviser's fee are presented
in greater detail in the Funds' prospectus and statement of additional
information. Presented below are the fees paid by the Funds as an annual
percentage of average net assets for the six months ended June 30, 2003:
Fee as a
Percentage of
Average Daily
Fund Subadviser Net Assets
- ---- ---------- -------------
Money Market AIM Advisors, Inc.***** 0.11%
Income Preservation Payden & Rygel 0.09%
Pacific Investment Management
Company, LLC**** 0.25%
Wellington Management Company, LLP 0.21%
US Government Securities Seix Investment Advisors 0.09%
Asset Allocation Mellon Capital Management Corporation 0.24%
Equity Income Barrow, Hanley, Mewhinney & Strauss, Inc. 0.30%
T. Rowe Price Associates, Inc. 0.40%
Southeastern Asset Management, Inc. 0.56%
Growth & Income Capital Guardian Trust Company** 0.27%
T. Rowe Price Associates, Inc. 0.40%
Wellington Management Company, LLP 0.31%
Growth Barclays Global Fund Advisors 0.02%
Brown Capital Management, Inc. 0.30%
Fidelity Management & Research Company 0.61%
Peregrine Capital Management 0.41%
Tukman Capital Management, Inc.**** 0.50%
Aggressive Opportunities T. Rowe Price Associates, Inc. 0.60%
Southeastern Asset Management, Inc. 0.81%
Wellington Management Company, LLP 0.70%
International Capital Guardian Trust Company* 0.48%
Artisan Partners Limited Partnership**** 0.70%
Core Bond Index Barclays Global Fund Advisors*** 0.08%
500 Stock Index Barclays Global Fund Advisors*** 0.05%
63
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Fee as a
Percentage of
Average Daily
Fund Subadviser Net Assets
- ---- ---------- -------------
Broad Market Index Barclays Global Fund Advisors*** 0.08%
Mid/Small Company Index Barclays Global Fund Advisors*** 0.10%
Overseas Equity Index Barclays Global Fund Advisors*** 0.25%
- -----------
* Minimum fee of $167,500 per year.
** Minimum fee of $337,000 per year.
*** Allocated from Master Investment Portfolio (Note 1).
**** Fee is applicable for all Fund assets managed by Subadviser.
***** This reflects the share born by the Money Market Fund, as an investor in
The Short Term Investments Co. Liquid Assets Portfolio ("Portfolio"), of
the advisory fees paid by the Portfolio to its investment adviser, AIM
Advisors, Inc. AIM Advisors, Inc. is not a subadviser of the Money Market
Fund.
Vantagepoint Transfer Agents, LLC ("VTA"), a wholly owned subsidiary of RC,
is the Transfer Agent for the Funds and the Model Portfolio Funds. Pursuant to a
Transfer Agency and Administrative Services Agreement with the Vantagepoint
Funds, VTA is entitled to receive a fee for investor services and fund services
stated as an annual percentage of average daily net assets. For all funds,
except the Index Funds, VTA receives 0.20% for investor services and 0.15% for
fund services. For Class I Shares of the Index Funds, VTA receives 0.15% for
investor services and 0.15% for fund services. For Class II Shares of the Index
Funds, VTA receives 0.05% for investor services and 0.05% for fund services.
Investors Bank & Trust Company ("IBT") serves as the Custodian to each Fund
in the Company and also provides portfolio accounting services. IBT is entitled
to certain transaction charges plus a monthly fee at an annual rate based on
average daily net assets. IBT also provides administrative services for the
Funds, Index Funds and Model Portfolio Funds.
Expenses
The Model Portfolio Funds will incur fees and expenses indirectly as
shareholders in the underlying funds. Because the underlying funds have varied
expense and fee levels and the Model Portfolio Funds may own different
proportions of underlying funds at different times, the amount of fees and
expenses indirectly incurred by the Model Portfolio Funds will vary.
A transaction fee of 2% may be applied to the value of amounts withdrawn
from the Income Preservation Fund by IRA and VantageCare Retirement Health
Savings Plan investors. This fee will be applied only during periods beginning
when the current yield of Money Market Funds, as measured by the yield of the
Vantagepoint Money Market Fund, exceed the current yield of the Income
Preservation Fund. The fee will be removed at such time as the current yield of
the Income Preservation Fund exceeds that of the Money Market Fund by 0.25%. For
Vantagepoint Elite investors, a redemption fee of $50 and an exchange fee of $8
will be charged on the redemption or exchange of shares from any of the Funds,
except the Money Market Fund, held for less than one year. Exchanges from the
Money Market Fund to any other Fund may be made without incurring the exchange
fee. Redemptions of shares of the Money Market Fund held less than one year will
be subject to a $30 redemption fee.
Fee Waiver
From March 1, 1999 until May 1, 2002, VIA voluntarily agreed to waive any
fees that would result in total fund expenses of the Money Market Fund exceeding
an annual rate of 0.55% of average net assets.
64
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
4. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for
each Fund and Model Portfolio Fund for the six months ended June 30, 2003 are as
follows:
Income US Government Asset
Aggregate Purchases and Sales of: Preservation Securities Allocation Equity Income
- --------------------------------- ------------ ------------- ------------- -------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost ................. $535,221,436 $158,180,811 $ -- $ --
Sales proceeds .................... 504,604,568 118,175,595 -- --
OTHER SECURITIES:
Purchases at cost ................. $109,885,653 $ -- $ 6,463,266 $38,151,153
Sales proceeds .................... 53,262,869 -- 9,861,638 32,839,148
Growth & Aggressive
Aggregate Purchases and Sales of: Income Growth Opportunities International
- --------------------------------- ------------ ------------- ------------- -------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost ................. $ -- $ -- $ -- $ --
Sales proceeds .................... 539,043 -- -- --
OTHER SECURITIES:
Purchases at cost ................. $ 59,475,152 $421,889,662 $309,908,118 $64,867,679
Sales proceeds .................... 45,358,690 438,798,801 306,373,347 48,331,771
Savings Conservative Traditional Long-Term
Aggregate Purchases and Sales of: Oriented Growth Growth Growth
- --------------------------------- ------------ ------------- ------------ -------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost ................. $ -- $ -- $ -- $ --
Sales proceeds .................... -- -- -- --
OTHER SECURITIES:
Purchases at cost ................. $ 22,701,900 $ 40,511,758 $ 77,605,224 $67,806,356
Sales proceeds .................... 11,992,599 21,405,661 57,830,367 22,518,579
All-Equity
Aggregate Purchases and Sales of: Growth
- --------------------------------- ------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost ................. $ --
Sales proceeds .................... --
OTHER SECURITIES:
Purchases at cost ................. $17,438,607
Sales proceeds .................... 1,686,066
65
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
5. Tax Basis Unrealized Appreciation/(Depreciation)
At June 30, 2003, net unrealized appreciation (depreciation) on securities
investments was as follows:
Tax Basis
Federal Gross Gross Net Unrealized
Income Tax Unrealized Unrealized Appreciation/
Fund Cost Appreciation Depreciation (Depreciation)
- ---- ------------- ------------ ------------ --------------
Money Market $ 119,265,166 $ -- $ -- $ --
Income Preservation 560,677,738 12,837,183 470,421 12,366,762
US Government Securities 293,510,046 6,971,559 20,353 6,951,206
Asset Allocation 704,926,503 48,297,843 77,731,897 (29,434,054)
Equity Income 686,545,830 72,626,975 67,839,145 4,787,830
Growth & Income 647,897,950 49,082,486 41,945,231 7,137,255
Growth 2,506,474,762 213,057,306 155,532,781 57,524,525
Aggressive Opportunities 723,062,941 112,378,234 17,751,366 94,626,868
International 345,919,925 26,133,113 23,468,418 2,664,695
Savings Oriented 172,964,535 4,009,181 1,288,321 2,720,860
Conservative Growth 316,641,106 1,839,039 3,078,757 (1,239,718)
Traditional Growth 659,169,257 2,494,506 31,409,835 (28,915,329)
Long-Term Growth 724,781,931 3,796,021 96,147,718 (92,351,697)
All-Equity Growth 82,483,797 38,567 3,801,017 (3,762,450)
6. Portfolio Securities Loaned
As of June 30, 2003, certain Funds had loaned securities, which were
collateralized by cash, cash equivalents, or U.S. Government Obligations. Each
Fund receives compensation for providing services in connection with the
securities lending program. The risks to the Funds associated with securities
lending are that the borrower may not provide additional collateral when
required or return the securities when due. The value of the securities on loan
and the value of the related collateral were as follows:
Collateralization
Fund Securities on Loan Collateral %
---- ------------------ ------------ -----------------
Income Preservation .............. $ 4,782,323 $ 4,897,420 102%
US Government Securities ......... 66,584,798 68,142,437 102%
Asset Allocation ................. 30,038,447 31,412,408 105%
Equity Income .................... 47,289,744 49,334,798 104%
Growth & Income .................. 49,350,650 51,124,744 104%
Growth ........................... 270,817,878 282,234,065 104%
Aggressive Opportunities ......... 113,133,014 120,289,098 106%
International .................... 30,819,216 32,585,080 106%
7. Transactions with Affiliated Funds
At June 30, 2003, the Model Portfolio Funds held investments in a number of
Funds. The figures presented below represent the percentage of shares
outstanding in each of the underlying Funds owned by the Model Portfolio Funds:
66
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Savings Conservative Traditional Long-Term All-Equity
Underlying Fund Oriented Growth Growth Growth Growth
- --------------- -------- ------------ ----------- --------- ----------
Income Preservation 21.95% 30.31% 36.52% -- --
US Government Securities 7.50% -- -- -- --
Equity Income 2.71% 4.88% 9.76% 9.84% 1.84%
Growth & Income 2.88% 5.20% 15.56% 20.91% 2.60%
Growth -- 1.38% 4.13% 5.55% 0.86%
Aggressive Opportunities -- 2.25% 9.02% 13.59% 2.26%
International 2.72% 4.93% 19.75% 19.91% 4.97%
Core Bond Index Class I -- 7.55% 15.12% 30.46% --
Overseas Equity Index Class I -- -- -- 74.97% --
Additionally, at June 30, 2003, the VantageTrust, an affiliated group of
common trust funds, held shares of the Funds, Index Funds and Model Portfolio
Funds. The figures presented below represent the percentage of shares
outstanding in each of the funds held by the VantageTrust:
% Owned
by the
Fund VantageTrust
---- ------------
Money Market 46.83%
US Government Securities 66.74%
Asset Allocation 71.02%
Equity Income 65.82%
Growth & Income 65.57%
Growth 68.87%
Aggressive Opportunities 68.43%
International 64.45%
Core Bond Index Class I 87.91%
Core Bond Index Class II 34.71%
500 Stock Index Class I 94.65%
500 Stock Index Class II 26.45%
Broad Market Index Class I 96.60%
Broad Market Index Class II 34.13%
Mid/Small Company Index Class I 93.91%
Mid/Small Company Index Class II 35.94%
Overseas Equity Index Class I 93.84%
Overseas Equity Index Class II 29.75%
Savings Oriented 54.04%
Conservative Growth 59.88%
Traditional Growth 66.12%
Long-Term Growth 69.26%
All-Equity Growth 70.50%
8. Reduction of Expenses
Certain Funds have entered into agreements with brokers whereby the brokers
will rebate a portion of brokerage commissions. Such amounts earned by the
Funds, under such agreements, are used to reduce operating expenses and are
presented as a reduction of expenses in the Statement of Operations.
67
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
9. Change in Accounting Policy
Effective January 1, 2001, the Income Preservation Fund, US Government
Securities Fund and Asset Allocation Fund adopted the provisions of the revised
AICPA Audit and Accounting Guide for Investment Companies and began amortizing
de minimus premiums and discounts on debt securities using the daily effective
yield method. Prior to January 1, 2001, original issue discount, market discount
and premium were accreted or amortized using the daily effective yield method,
however, de minimus original issue discount, market discount and premium were
not. Also, effective January 1, 2001, the Bond Index Master Portfolio adopted
the provisions of the revised AICPA Audit and Accounting Guide for Investment
Companies and began amortizing premiums on debt securities. Prior to January 1,
2001, the Bond Index Master Portfolio did not amortize premiums on debt
securities. The cumulative effect of this change had no impact on net assets.
10. Additional Distributions
In order to comply with requirements of the Internal Revenue Code
applicable to regulated investment companies, the Income Preservation Fund is
required to distribute accumulated net realized gains, if any, on an annual
basis. When such distributions are made, the immediate impact is a corresponding
reduction in the net asset value per share. Given the objective of the fund to
maintain a stable net asset value per share, the fund will declare a reverse
stock split immediately subsequent to the distribution at a rate that will cause
the total number of shares held by each shareholder, including shares acquired
on reinvestment of that distribution, to remain the same as before the
distribution was paid and in effect reinstate the same net asset value of $100
per share as before the distribution.
68
Schedule of Investments
June 30, 2003 (Unaudited)
- ----------------------------------------------------------
Vantagepoint Money
Market Fund Shares Value
- ----------------------------------------------------------
Short Term Investment Co.
Liquid Assets Portfolio
(Cost $119,265,166) 119,265,166 $119,265,166
------------
TOTAL INVESTMENTS--100.0%
Other assets less liabilities--(0.0%) (12,178)
------------
NET ASSETS--100.0% $119,252,988
============
See accompanying notes to financial statements. 69
Schedule of Investments
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--26.8%
- --------------------------------------------------------------------------------
Aerospace & Defense--0.3%
General Dynamics Corporation
2.125% 05/15/2006 $1,240,000 $ 1,257,551
Honeywell International, Inc.
7.000% 03/15/2007 500,000 571,579
------------
1,829,130
------------
Automotive--0.4%
DaimlerChrysler NA Holdings
3.400% 12/15/2004 700,000 706,833
Ford Motor Company
7.450% 07/16/2031 + 1,000,000 918,606
General Motors Corporation
8.375% 07/15/2033 335,000 332,548
------------
1,957,987
------------
Banking--3.9%
Abbey National PLC (United Kingdom)
6.690% 10/17/2005 500,000 554,151
ABN Amro Bank
7.250% 05/31/2005 1,250,000 1,378,222
African Development Bank (Supra
National)
9.750% 12/15/2003 650,000 675,827
Bank of America Corporation
7.125% 10/15/2011 625,000 766,536
Bank of Scotland Treasury Services
144A (United Kingdom)
2.250% 05/01/2006 @ 1,130,000 1,132,401
Bank One Corporation
7.875% 08/01/2010 600,000 749,194
Bank One Corporation
7.625% 08/01/2005 1,250,000 1,401,319
Bank One Corporation
5.625% 02/17/2004 125,000 128,466
Bank One NA Illinois
1.595% 05/10/2004 #+ 1,300,000 1,302,530
Barclays Bank PLC (NY Shares)
1.240% 11/08/2004 + 1,400,000 1,400,134
First Union National Bank
7.800% 08/18/2010 300,000 372,757
J.P. Morgan Chase & Company
6.625% 03/15/2012 + 1,600,000 1,848,990
Mellon Funding Corporation
5.000% 12/01/2014 425,000 459,490
Popular North America, Inc.
6.625% 01/15/2004 700,000 719,126
Private Export Funding Corporation
5.730% 01/15/2004 250,000 256,290
Private Export Funding Corporation
3.400% 02/15/2008 575,000 597,371
Regions Financial Corporation
7.000% 03/01/2011 360,000 430,214
SLM Corporation
5.125% 08/27/2012 500,000 532,267
U.S. Bancorp
2.750% 03/30/2006 1,040,000 1,062,100
Wachovia Corporation
7.450% 07/15/2005 1,150,000 1,278,732
Wachovia Corporation
6.605% 10/01/2025 + 1,000,000 1,135,537
Wachovia Corporation
4.950% 11/01/2006 250,000 272,414
Wells Fargo & Company
7.250% 08/24/2005 680,000 760,065
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Wells Fargo & Company
5.000% 11/15/2014 $ 500,000 $ 530,889
Wells Fargo Financial, Inc.
6.700% 09/22/2004 650,000 691,447
------------
20,436,469
------------
Beverages, Food & Tobacco--1.4%
Brown-Forman Corporation
2.125% 03/15/2006 1,210,000 1,215,295
Coca-Cola Enterprises, Inc.
6.950% 11/15/2026 250,000 302,021
ConAgra Foods, Inc.
9.875% 11/15/2005 295,000 346,704
Diageo PLC (United Kingdom)
6.125% 08/15/2005 670,000 732,601
Kellogg Company
6.000% 04/01/2006 750,000 827,342
PepsiCo, Inc.
4.500% 09/15/2004 700,000 727,729
Sara Lee Corporation
1.950% 06/15/2006 1,500,000 1,501,135
Unilever Capital Corporation
6.875% 11/01/2005 1,190,000 1,329,175
Unilever Capital Corporation
6.750% 11/01/2003 200,000 203,695
------------
7,185,697
------------
Chemicals--0.3%
Dow Chemical Company (The)
6.000% 10/01/2012 600,000 653,897
Monsanto Company
7.375% 08/15/2012 500,000 597,190
Potash Corporation of
Saskatchewan, Inc. (Canada)
7.750% 05/31/2011 200,000 246,286
------------
1,497,373
------------
Commercial Services--0.3%
International Lease Finance
Corporation
4.000% 01/17/2006 1,230,000 1,264,968
R.R. Donnelley & Sons Company
5.000% 11/15/2006 490,000 520,370
------------
1,785,338
------------
Computer Software & Processing--0.3%
Computer Sciences Corporation
5.000% 02/15/2013 645,000 682,571
First Data Corporation
5.625% 11/01/2011 650,000 720,487
------------
1,403,058
------------
Cosmetics & Personal Care--0.2%
International Flavors & Fragrances, Inc.
6.450% 05/15/2006 700,000 782,034
Procter & Gamble Company
5.250% 09/15/2003 250,000 252,143
------------
1,034,177
------------
Diversified--0.4%
General Electric Capital Corporation
7.250% 05/03/2004 250,000 262,418
General Electric Capital Corporation
6.000% 06/15/2012 900,000 1,017,680
General Electric Capital Corporation
2.850% 01/30/2006 930,000 951,971
------------
2,232,069
------------
70 See accompanying notes to financial statements.
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--(Continued)
- --------------------------------------------------------------------------------
Electric Utilities--1.8%
Alabama Power Company
5.600% 03/15/2033 $ 380,000 $ 392,580
Appalachian Power Company
3.600% 05/15/2008 475,000 480,859
Chilquinta Energia Financial (Chile)
6.620% 04/01/2011 @ 255,000 290,535
Commonwealth Edison Company
6.150% 03/15/2012 75,000 86,138
Florida Power & Light Company
6.875% 12/01/2005 + 2,000,000 2,234,004
Niagara Mohawk Power Company
7.750% 05/15/2006 + 1,000,000 1,145,667
Pepco Holdings, Inc.
3.750% 02/15/2006 730,000 755,254
Progress Energy, Inc.
7.000% 10/30/2031 + 1,000,000 1,107,892
Progress Energy, Inc.
6.750% 03/01/2006 850,000 945,360
PSEG Power, LLC
8.625% 04/15/2031 350,000 452,866
PSEG Power, LLC
6.950% 06/01/2012 265,000 304,863
Virginia Electric & Power Company
5.750% 03/31/2006 + 1,000,000 1,092,755
Wisconsin Electric Power
4.500% 05/15/2013 170,000 174,715
------------
9,463,488
------------
Electrical Equipment--0.1%
Old Dominion Electric
6.250% 06/01/2011 350,000 401,454
------------
Financial Services--9.1%
Abbey National First Capital
8.200% 10/15/2004 650,000 705,413
AIG Sun America Global Financial II 144A
7.600% 06/15/2005 @ 500,000 556,053
AIG Sun America Global Financial VI 144A
6.300% 05/10/2011 @ 500,000 574,320
American Express Company
6.875% 11/01/2005 1,160,000 1,293,565
American Express Company
3.750% 11/20/2007 425,000 443,321
Bear Stearns Company, Inc.
6.500% 05/01/2006 1,500,000 1,679,814
Bear Stearns Company, Inc.
4.000% 01/31/2008 350,000 366,495
Caterpillar Finance Services
Corporation
4.690% 04/25/2005 1,215,000 1,281,265
Caterpillar Financial Services
Corporation
5.950% 05/01/2006 340,000 377,335
CIT Group, Inc.
7.375% 04/02/2007 495,000 565,645
CIT Group, Inc.
5.500% 02/15/2004 + 1,500,000 1,533,908
Citigroup, Inc.
6.000% 02/21/2012 750,000 854,638
Conoco Funding Company
5.450% 10/15/2006 1,000,000 1,104,712
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Countrywide Home Loan, Inc. MTN
5.500% 08/01/2006 $ 500,000 $ 546,870
Countrywide Home Loan, Inc. MTN
3.500% 12/19/2005 1,290,000 1,332,235
Countrywide Home Loans, Inc.
7.260% 05/10/2004 + 1,000,000 1,050,521
Credit Suisse First Boston, Inc.
7.125% 07/15/2032 700,000 847,047
FMR Corporation 144A
4.750% 03/01/2013 @ 425,000 450,126
Ford Motor Credit Company
6.875% 02/01/2006 750,000 795,920
Ford Motor Credit Company
6.700% 07/16/2004 + 1,500,000 1,557,963
Ford Motor Credit Company
6.500% 01/25/2007 700,000 737,070
FPL Group Capital, Inc.
6.125% 05/15/2007 500,000 551,910
FPL Group Capital, Inc.
3.250% 04/11/2006 1,180,000 1,211,835
Frank Russell Company
5.625% 01/15/2009 @ 500,000 562,583
General Motors Acceptance
Corporation
8.000% 11/01/2031 + 1,375,000 1,352,825
General Motors Acceptance
Corporation
6.875% 08/28/2012 + 1,000,000 999,330
General Motors Acceptance
Corporation
3.190% 05/19/2005 + 216,000 215,564
Goldman Sachs Group, Inc. (The)
7.625% 08/17/2005 1,120,000 1,262,752
Goldman Sachs Group, Inc. (The)
6.600% 01/15/2012 250,000 290,980
Goldman Sachs Group, Inc. (The)
4.125% 01/15/2008 + 1,300,000 1,367,519
Household Finance Corporation
7.200% 07/15/2006 + 700,000 799,638
Household Finance Corporation
6.375% 10/15/2011 400,000 455,570
Household Finance Corporation
4.625% 01/15/2008 + 1,000,000 1,068,136
International Lease Finance
Corporation
5.750% 10/15/2006 750,000 820,945
International Lease Finance
Corporation
2.950% 05/23/2006 300,000 301,717
Lehman Brothers Holdings
4.000% 01/22/2008 375,000 391,232
MBIA Global Funding LLC 144A
4.650% 07/01/2018 @ 625,000 597,168
Merrill Lynch & Company, Inc.
7.000% 01/15/2007 375,000 436,827
Merrill Lynch & Company, Inc.
5.700% 02/06/2004 250,000 256,613
Merrill Lynch & Company, Inc.
2.940% 01/30/2006 1,000,000 1,019,383
Merrill Lynch & Company, Inc.
1.640% 05/21/2004 #+ 1,100,000 1,103,880
Morgan Stanley
7.750% 06/15/2005 1,380,000 1,538,322
Morgan Stanley
6.600% 04/01/2012 400,000 462,939
Morgan Stanley
5.625% 01/20/2004 250,000 256,025
See accompanying notes to financial statements. 71
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--(Continued)
- --------------------------------------------------------------------------------
National Rural Utilities Cooperative
Finance Corporation
6.000% 05/15/2006 + $2,700,000 $ 3,000,767
National Rural Utilities Cooperative
Finance Corporation
3.000% 02/15/2006 900,000 925,385
National Rural Utilities Cooperative
Finance Corporation
2.320% 04/26/2004 #+ 2,000,000 2,012,760
Nomura Asset Securities Corporation
6.590% 03/15/2030 1,000,000 1,155,977
Pemex Finance Ltd. (Cayman Islands)
9.690% 08/15/2009 540,000 665,126
Pemex Finance Ltd. (Cayman Islands)
7.330% 05/15/2012 600,000 715,671
Private Export Funding Corporation
7.200% 01/15/2010 1,040,000 1,282,929
TIAA Global Markets 144A
3.875% 01/22/2008 @ 500,000 525,372
Toyota Motor Credit Corporation
5.625% 11/13/2003 250,000 254,103
U.S. Bancorp
6.500% 06/15/2004 250,000 262,267
USAA Capital Corporation
3.130% 12/15/2005 150,000 155,201
Washington Mutual Finance
6.250% 05/15/2006 700,000 775,078
------------
47,708,565
------------
Forest Products & Paper--0.3%
International Paper Company
8.125% 07/08/2005 750,000 836,562
Inversiones CMPC SA 144A (Chile)
4.875% 06/18/2013 @ 185,000 183,199
Weyerhaeuser Company
7.375% 03/15/2032 350,000 403,631
------------
1,423,392
------------
Health Care Providers--0.0%
Wellpoint Health Networks, Inc.
6.375% 01/15/2012 80,000 91,414
------------
Heavy Construction--0.2%
Centex Corporation
5.800% 09/15/2009 300,000 329,925
Masco Corporation
4.625% 08/15/2007 750,000 795,686
------------
1,125,611
------------
Heavy Machinery--0.1%
Deere & Company
7.125% 03/03/2031 275,000 333,833
------------
Insurance--2.4%
ACE INA Holdings
8.300% 08/15/2006 750,000 873,259
ACE Ltd. (Bermuda)
6.000% 04/01/2007 250,000 275,455
Allstate Corporation
7.875% 05/01/2005 1,330,000 1,478,182
Allstate Corporation
7.200% 12/01/2009 500,000 606,617
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Axa Company (France)
8.600% 12/15/2030 $ 330,000 $ 426,566
Everest Reinsurance Holdings
8.500% 03/15/2005 500,000 544,143
Florida Windstorm
Underwriting Association
6.850% 08/25/2007 @ 700,000 814,265
GE Life - Prem Assets
2.060% 10/06/2005 @#+ 2,000,000 2,001,972
Hartford Life, Inc.
7.375% 03/01/2031 250,000 297,054
Liberty Mutual
7.697% 10/15/2097 @ 500,000 368,696
Metlife, Inc.
3.911% 05/15/2005 1,200,000 1,250,440
Metropolitan Life Insurance
Company 144A
6.300% 11/01/2003 @ 225,000 228,789
Monumental Global Funding II 144A
6.050% 01/19/2006 @ 1,190,000 1,313,085
Monumental Global Funding II 144A
1.259% 09/26/2003 @ 250,000 250,157
Mony Group, Inc.
7.450% 12/15/2005 75,000 79,771
New York Life Insurance Company 144A
5.875% 05/15/2033 @ 140,000 147,457
Progressive Corporation
6.250% 12/01/2032 425,000 474,865
RenaissanceRe Holdings Ltd.
(Bermuda)
7.000% 07/15/2008 500,000 565,454
United Health Group, Inc.
7.500% 11/15/2005 500,000 565,993
------------
12,562,220
------------
Media--Broadcasting & Publishing--1.0%
AOL Time Warner, Inc.
7.700% 05/01/2032 250,000 292,969
AOL Time Warner, Inc.
7.625% 04/15/2031 200,000 231,688
CBS Corporation
8.625% 08/01/2012 250,000 328,665
Cox Communications, Inc.
7.125% 10/01/2012 345,000 412,697
Gannett Company, Inc.
4.950% 04/01/2005 1,160,000 1,226,651
Reed Elsevier Capital, Inc.
6.750% 08/01/2011 500,000 583,257
Time Warner, Inc.
9.150% 02/01/2023 500,000 633,950
Viacom, Inc.
7.750% 06/01/2005 400,000 445,698
Viacom, Inc.
6.875% 09/01/2003 + 1,000,000 1,009,205
------------
5,164,780
------------
Metals & Mining--0.5%
Alcan, Inc. (Canada)
7.250% 03/15/2031 370,000 461,801
Alcoa, Inc.
7.250% 08/01/2005 1,200,000 1,336,901
Alcoa, Inc.
1.538% 12/06/2004 # 500,000 501,402
Codelco, Inc. (Chile)
6.375% 11/30/2012 @ 365,000 402,858
------------
2,702,962
------------
72 See accompanying notes to financial statements.
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--(Continued)
- --------------------------------------------------------------------------------
Oil & Gas--1.1%
Burlington Resources Finance Company (Canada)
7.400% 12/01/2031 $ 210,000 $ 263,606
Canadian National Resources Ltd. (Canada)
6.450% 06/30/2033 280,000 317,194
ChevronTexaco Capital Corporation
3.500% 09/17/2007 450,000 468,106
Devon Energy Corporation
7.950% 04/15/2032 370,000 477,819
Kerr-McGee Corporation
1.850% 06/28/2004 @#+ 500,000 497,637
KeySpan Corporation
7.625% 11/15/2010 250,000 307,314
Phillips Petroleum Company
8.500% 05/25/2005 510,000 574,744
Schlumberger Technology Corporation
6.500% 04/15/2012 @ 750,000 872,265
Total Fina Elf SA (France)
7.000% 10/05/2005 1,150,000 1,279,658
Trans-Canada Pipelines (Canada)
4.000% 06/15/2013 325,000 317,683
Vastar Resources, Inc.
6.950% 11/08/2006 500,000 573,172
-----------
5,949,198
-----------
Pharmaceuticals--0.3%
American Home Products Corporation
7.900% 02/15/2005 500,000 548,953
American Home Products Corporation
6.250% 03/15/2006 400,000 443,812
Cardinal Health, Inc.
7.000% 10/15/2026 400,000 483,060
-----------
1,475,825
-----------
Real Estate--0.2%
Equity Office Properties Operating
Limited Partnership
6.625% 02/15/2005 400,000 428,054
Health Care Property
Investors, Inc. REIT
6.000% 03/01/2015 450,000 467,492
-----------
895,546
-----------
Restaurants--0.1%
McDonald's Corporation
4.125% 06/01/2013 275,000 270,373
-----------
Retailers--0.6%
Kohl's Corporation
6.000% 01/15/2033 425,000 461,420
Safeway, Inc.
7.250% 09/15/2004 + 1,000,000 1,062,889
Target Corporation
7.500% 02/15/2005 1,190,000 1,300,758
Wal-Mart Stores, Inc.
7.550% 02/15/2030 350,000 463,777
-----------
3,288,844
-----------
Special Purpose Entity--0.1%
ERAC USA Finance Company
6.950% 01/15/2006 710,000 786,380
-----------
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Telecommunications--1.1%
AT&T Corporation
7.800% 11/15/2011 $ 225,000 $ 257,685
AT&T Wireless Services, Inc.
8.125% 05/01/2012 505,000 609,646
British Telecommunications PLC
(United Kingdom)
7.875% 12/15/2005 420,000 478,638
Citizens Communications Company
9.250% 05/15/2011 250,000 324,061
Sing Telecommunications 144A
7.375% 12/01/2031 @ 350,000 429,127
Telefonica Europe NV (Netherlands)
7.750% 09/15/2010 500,000 618,017
Verizon Global Funding Corporation
7.375% 09/01/2012 350,000 427,784
Verizon Global Funding Corporation
6.750% 12/01/2005 1,420,000 1,585,595
Verizon Pennsylvania, Inc.
5.650% 11/15/2011 250,000 276,452
Vodafone Group PLC (United Kingdom)
7.750% 02/15/2010 500,000 616,204
------------
5,623,209
------------
Transportation--0.0%
Fedex Corporation
7.650% 01/15/2022 91,734 111,783
------------
Utilities--0.3%
Dominion Resources, Inc.
7.625% 07/15/2005 400,000 445,153
Hydro-Quebec (Canada)
7.500% 04/01/2016 500,000 661,507
Pedernales Electric Cooperative, Inc.
6.202% 11/15/2032 @ 275,000 297,724
------------
1,404,384
------------
TOTAL CORPORATE OBLIGATIONS
(Cost $133,400,410) 140,144,559
------------
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--39.9%
- --------------------------------------------------------------------------------
U.S. Government Agencies--
Mortgage Backed--30.2%
Federal Home Loan Bank
5.750% 08/15/2011 700,000 799,114
1.400% 03/05/2004 600,000 600,217
1.270% 06/21/2004 600,000 600,178
0.970% 07/25/2003 3,000,000 2,998,060
Federal Home Loan Mortgage Corporation
7.000% 07/15/2005 2,920,000 3,246,622
6.500% 09/01/2014-
06/01/2022 6,731,738 7,061,734
6.085% 09/25/2029 829,031 894,572
6.000% 01/15/2028 + 1,236,450 1,244,481
5.701% 01/01/2033 1,377,712 1,426,211
5.125% 07/15/2012 1,500,000 1,657,895
4.500% 08/15/2004 570,000 591,250
4.250% 06/15/2005 700,000 738,583
3.000% 05/15/2020 1,800,000 1,811,638
2.875% 09/15/2005 7,140,000 7,354,850
Federal National Mortgage Association
7.015% 12/01/2010 978,976 1,174,778
6.865% 08/01/2009 975,760 1,144,973
6.625% 11/15/2030 1,150,000 1,417,980
6.568% 04/01/2008 1,000,000 1,133,701
See accompanying notes to financial statements. 73
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--
(Continued)
- --------------------------------------------------------------------------------
6.539% 12/25/2020 #+ $ 23,951 $ 23,939
6.500% 05/01/2008-
06/01/2029 1,675,681 1,758,532
6.200% 08/12/2008 2,000,000 2,011,414
6.070% 03/01/2012 444,766 512,861
6.048% 03/01/2012 & 246,958 281,992
6.009% 11/01/2011 & 152,438 173,693
6.000% 01/01/2009-
09/01/2023 33,613,163 35,115,163
5.975% 02/01/2012 498,175 570,108
5.897% 04/01/2012 988,639 1,124,191
5.880% 01/01/2012 591,454 673,072
5.793% 11/01/2011 & 289,826 326,158
5.775% 11/01/2011 1,057,306 1,195,703
5.655% 11/01/2011 265,391 298,066
5.607% 12/01/2011 982,919 1,098,488
5.500% 09/01/2017-
05/01/2033 2,724,114 2,825,849
2.958% 12/01/2026 + 1,110,606 1,133,647
2.917% 10/01/2026 + 476,226 486,038
1.400% 04/19/2004 500,000 500,383
Federal National Mortgage Association TBA
6.000% 05/01/2018 & 1,000,000 1,044,421
5.500% 07/01/2018 3,200,000 3,324,000
5.000% 07/01/2018 24,390,000 25,194,108
Government National Mortgage Association
8.000% 06/15/2026-
03/15/2032 3,269,099 3,531,890
7.500% 07/15/2025-
09/15/2031 2,675,912 2,848,857
7.000% 01/15/2028-
01/15/2032 5,300,998 5,605,728
6.500% 03/15/2028-
03/15/2031 2,493,680 2,622,701
6.000% 11/15/2028-
05/15/2033 19,193,459 20,136,053
5.750% 07/20/2025 + 50,317 51,387
5.500% 09/20/2030-
04/15/2033 3,537,075 3,678,666
Government National Mortgage Association TBA
5.000% 07/01/2033 3,900,000 3,995,063
------------
158,039,008
------------
U.S. Government Agency--
Discount Notes--9.7%
Federal Home Loan Bank
1.175% 07/02/2003 4,400,000 4,399,856
Federal Home Loan Mortgage Corporation
1.840% 07/17/2003 750,000 749,539
1.830% 07/17/2003 950,000 949,074
1.780% 07/17/2003 700,000 699,446
1.195% 08/22/2003 + 13,100,000 13,077,388
1.165% 08/01/2003 + 400,000 399,598
Federal National Mortgage Association
1.200% 07/23/2003 + 6,700,000 6,695,087
1.190% 07/16/2003 1,000,000 999,504
1.170% 08/27/2003 + 4,500,000 4,491,664
1.150% 08/20/2003 + 4,300,000 4,293,132
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
1.050% 05/28/2004 $1,500,000 $ 1,485,563
0.950% 09/10/2003 + 2,600,000 2,595,129
0.920% 07/22/2003 1,000,000 999,770
0.700% 07/01/2003 8,791,000 8,791,000
------------
50,625,750
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(Cost $206,681,624)
208,664,758
------------
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--27.9%
- --------------------------------------------------------------------------------
U.S. Treasury Bills--4.2%
U.S. Treasury Bill
1.100% 08/07/2003 * 80,000 79,909
1.085% 08/07/2003 * 145,000 144,838
1.065% 08/14/2003 * 400,000 399,479
1.065% 08/14/2003 * 345,000 344,551
1.020% 08/14/2003 * 120,000 119,853
1.015% 08/14/2003 * 5,000 4,994
0.910% 07/10/2003 5,800,000 5,798,680
0.890% 07/17/2003 4,000,000 3,998,418
0.855% 09/04/2003 4,000,000 3,993,825
0.845% 07/10/2003 3,500,000 3,499,261
0.840% 12/18/2003 + 3,700,000 3,685,323
------------
22,069,131
------------
U.S. Treasury Bonds--0.8%
U.S. Treasury Bond
7.250% 05/15/2016 + 1,750,000 2,327,911
5.500% 08/15/2028 + 1,773,000 1,994,973
------------
4,322,884
------------
U.S. Treasury Notes--22.8%
U.S. Treasury Inflation Index Note
3.875% 01/15/2009 + 2,241,620 2,568,058
3.625% 01/15/2008 + 3,413,340 3,830,409
3.500% 01/15/2011 4,198,077 4,769,410
U.S. Treasury Note
6.500% 08/15/2005-
10/15/2006 4,250,000 4,771,818
6.125% 08/15/2007 2,000,000 2,314,142
6.000% 08/15/2004 + 3,000,000 3,166,173
5.750% 11/15/2005 6,360,000 7,001,718
5.625% 02/15/2006 6,720,000 7,432,165
4.750% 11/15/2008 + 9,500,000 10,534,246
4.625% 05/15/2006 130,000 140,964
2.125% 08/31/2004 1,735,000 1,756,757
2.000% 05/15/2006 3,000,000 3,032,814
1.875% 09/30/2004 9,500,000 9,596,492
1.750% 12/31/2004 8,500,000 8,576,373
1.625% 01/31/2005-
04/30/2005 + 36,700,000 36,961,460
1.500% 02/28/2005 1,400,000 1,407,165
1.250% 05/31/2005 11,000,000 10,996,997
------------
118,857,161
------------
U.S. Treasury Strips--0.1%
U.S. Treasury Strip
0.000% 08/15/2020 1,500,000 661,410
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $143,409,653)
145,910,586
------------
74 See accompanying notes to financial statements.
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
MUNICIPAL OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
Financial Services--0.2%
Alameda Corridor Transportation
Authority (California)
5.900% 10/01/2010 $ 575,000 $ 654,707
Delaware River Port Authorities PA & NJ
7.630% 01/01/2021 180,000 229,365
------------
TOTAL MUNICIPAL OBLIGATIONS
(Cost $791,197) 884,072
------------
- --------------------------------------------------------------------------------
SOVEREIGN DEBT OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
Government Issued--0.2%
Ontario (Province Of) (Canada)
5.500% 10/01/2008 500,000 565,529
State of Israel (Israel)
4.625% 06/15/2013 250,000 244,054
------------
TOTAL SOVEREIGN DEBT OBLIGATIONS
(Cost $747,504) 809,583
------------
- --------------------------------------------------------------------------------
ASSET BACKED SECURITIES--9.9%
- --------------------------------------------------------------------------------
Automotive--1.4%
BMW Vehicle Owner Trust,
Ser. 2002-A, Class A4
4.460% 05/25/2007 1,000,000 1,057,286
Capital One Auto Finance Trust,
Ser. 2001-A, Class A4
5.400% 05/15/2008 1,250,000 1,323,164
Chase Manhattan Auto Owner Trust,
Ser. 2001-B, Class A4
3.800% 05/15/2008 850,000 881,983
Honda Auto Receivables Owner Trust,
Ser. 2003-1, Class A4
2.480% 07/18/2008 3,000,000 3,048,377
Honda Auto Receivables Owner Trust,
Ser. 2003-2, Class A1
1.233% 06/11/2004 438,798 438,974
Honda Auto Receivables Owners Trust,
Ser. 2001-2, Class A4
5.090% 10/18/2006 445,000 458,586
------------
7,208,370
------------
Banking--0.2%
CNH Equipment Trust,
Ser. 2003-A, Class A1
1.263% 06/11/2004 324,567 324,929
Wells Fargo Mortgage Backed Securities
Trust, Ser. 2001-25, Class IIIA
6.543% 10/25/2031 # 436,059 437,397
------------
762,326
------------
Electric Utilities--0.2%
Peco Energy Transition Trust,
Ser. 1999-A, Class A
5.800% 03/01/2007 525,000 550,750
Peco Energy Transition Trust,
Ser. 2001-A, Class A1
6.520% 12/31/2010 500,000 591,939
------------
1,142,689
------------
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Financial Services--8.1%
Aames Mortgage Trust,
Ser. 1999-2, Class AV2
1.630% 10/15/2029 #+ $ 301,276 $ 301,761
Aesop Funding II LLC,
Ser. 2003-3A, Class A1
2.750% 07/20/2007 600,000 610,762
Amortizing Residential Collateral Trust,
Ser. 2002-BC4, Class A
1.325% 06/25/2004 #+ 1,788,811 1,788,570
Asset Securitization Corporation,
Ser. 1997-D4, Class A1C
7.420% 04/14/2029 500,000 536,700
Asset Securitization Corporation,
Ser. 1997-D5, Class A1C
6.750% 02/14/2043 260,000 298,572
Bank of America Mortgage Securities,
Ser. 2001-C, Class A6
6.184% 07/25/2031 #+ 151,944 154,400
Bank of America Mortgage Securities,
Ser. 2002-3, Class 1A6
6.250% 03/25/2032 + 230,917 231,852
Bank of America Mortgage Securities,
Ser. 2002-K, Class 2A1
5.768% 10/20/2032 + 1,275,600 1,317,652
Bayview Financial Acquisition Trust,
Ser. 2000-A, Class A
1.415% 02/25/2030 @#+ 366,500 366,907
Bear Stearns ARM Trust,
Ser. 2002-5, Class 6A
6.004% 06/25/2032 + 514,100 527,568
Bear Stearns Commercial Mortgage
Securities, Inc., Ser. 1999-C1, Class A2
6.020% 02/14/2031 750,000 854,438
Bear Stearns Commercial Mortgage
Securities, Inc., Ser. 2001-TOP4, Class A1
5.060% 11/15/2016 + 949,507 1,020,859
Bear Stearns Commercial Mortgage
Securities, Inc., Ser. 2002-PBW1, Class A2
4.720% 11/11/2035 1,365,000 1,431,741
CDC Mortgage Capital Trust,
Ser. 2002-HE2, Class A
1.325% 01/25/2033 #+ 742,204 742,402
CIT Equipment Collateral,
Ser. 2001-A, Class A4
4.840% 09/20/2012 400,000 418,170
Citibank Credit Card Insurance Trust,
Ser. 2000-A1, Class A1
6.900% 10/15/2007 1,680,000 1,870,058
Citibank Credit Card Issuance Trust,
Ser. 2000-B1, Class B1
7.050% 09/17/2007 1,100,000 1,221,032
Countrywide Home Loans, Inc.,
Ser. 2002-1, Class 5A1
5.521% 03/19/2032 #+ 540,206 548,809
Countrywide Home Loans, Inc.,
Ser. 2002-HYB2, Class 6A1
4.856% 09/19/2032 #+ 1,117,107 1,133,768
Credit Suisse First Boston Mortgage
Securities Corporation,
Ser. 02-24, Class 3A1
5.500% 09/25/2032 + 1,105,710 1,124,490
Credit Suisse First Boston Mortgage
Securities Corporation,
Ser. 1997-C1, Class A1C
7.240% 06/20/2029 834,000 952,854
See accompanying notes to financial statements. 75
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
ASSET BACKED SECURITIES--(Continued)
- --------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage
Securities Corporation,
Ser. 2000-C1, Class A2
7.545% 04/14/2062 $ 135,000 $ 164,547
Credit Suisse First Boston Mortgage
Securities Corporation,
Ser. 2000-HE1, Class A2
1.440% 12/15/2030 #+ 161,220 161,400
Credit Suisse First Boston Mortgage
Securities Corporation,
Ser. 2001-1, Class A
7.500% 02/25/2031 + 103,195 106,457
Credit-Based Asset Servicing
and Securitization Company,
Ser. 2002-CB1, Class A2A
1.375% 08/25/2029 #+ 1,063,359 1,065,086
Credit-Based Asset Servicing
and Securitization Company,
Ser. 2002-CB3, Class A
1.355% 06/25/2032 #+ 917,181 917,754
Cross Country Master Credit
Card Trust, Ser. 1999-1, Class A
1.680% 06/15/2006 @#+ 386 386
Federal National Mortgage
Association, Ser. 2001-5, Class PT
6.250% 05/25/2027 + 767,163 771,760
Green Tree Home Equity Loan Trust,
Ser. 1999-C, Class A4
7.180% 07/15/2030 + 103,464 104,281
GSR Mortgage Loan Trust,
Ser. 2001-1, Class A2
5.575% 10/25/2031 + 883,106 887,296
Holmes Financing PLC, Ser. 7, Class 2A
0.000% 01/15/2008 + 2,400,000 2,400,600
MBNA Master Credit Card Trust,
Ser. 2002-A1, Class A1
4.950% 06/15/2009 135,000 147,338
Merrill Lynch Mortgage Investors, Inc.,
Ser.1997-C2, Class A2
6.540% 12/10/2029 500,000 569,389
MLCC Mortgage Investors, Inc.,
Ser. 1999-A, Class A
1.560% 03/15/2025 #+ 450,108 451,033
Morgan Stanley Dean Witter Capital
Corporation, Ser. 2001-Top 1, Class A3
6.460% 02/15/2033 740,000 845,488
Morgan Stanley Dean Witter Capital
Corporation, Ser. 2001-Top 3, Class A3
6.200% 07/15/2033 660,000 751,501
Morgan Stanley Dean Witter Capital I,
Inc., Ser. 2001-HE1, Class A2
1.750% 07/25/2032 #+ 864,253 864,896
Morgan Stanley Dean Witter Capital I,
Inc., Ser. 2001-Top 5, Class A2
5.900% 10/15/2035 750,000 839,011
Navistar Financial Corporation Owner
Trust, Ser. 2002-A, Class A4
4.760% 04/15/2009 750,000 792,832
Prudential Home Mortgage Securities,
Ser. 1992-13, Class A7
7.500% 06/25/2007 + 1,572,372 1,593,292
Residential Funding Mortgage
Securities I, Ser. 2003-S9, Class A1
6.500% 03/25/2032 + 1,157,975 1,194,193
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Salomon Brothers Mortgage
Securities VII, Ser. 1997-TZH,
Class A1
7.150% 03/25/2025 @+ $1,770,845 $ 1,901,034
Salomon Brothers Mortgage
Securities VII, Ser. 1999-AQ1,
Class A
1.355% 04/25/2029 #+ 501,194 500,811
Salomon Brothers Mortgage
Securities VII, Ser. 1999-LB1,
Class A
1.335% 06/25/2029 #+ 77,683 76,532
SLM Student Loan Trust,
Ser. 2003-2, Class A2
0.000% 12/12/2023 + 3,700,000 3,702,680
Structured Asset Mortgage
Investments, Inc., Ser. 2002-AR1,
Class 6A
7.182% 03/25/2032 # 568,088 594,434
Union Acceptance Corporation,
Ser. 2001-A, Class A4
5.610% 07/09/2007 500,000 521,624
Washington Mutual,
Ser. 2000-3, Class A
3.247% 12/25/2040 # 594,289 598,533
Washington Mutual,
Ser. 2002-S4, Class A1
6.500% 10/19/2029 + 210,272 211,302
Washington Mutual,
Ser.1999-WM1, Class M1
6.299% 10/19/2039 #+ 699,271 701,940
WFS Financial Owner Trust,
Ser. 2003-2, Class A1
1.260% 06/20/2004 400,000 400,348
WFS Financial Owner Trust,
Ser. 2003-2, Class A4
2.410% 12/20/2010 1,100,000 1,106,796
------------
42,397,939
------------
TOTAL ASSET BACKED SECURITIES
(Cost $50,527,732)
51,511,324
------------
- --------------------------------------------------------------------------------
COMMERCIAL PAPER--3.6%
- --------------------------------------------------------------------------------
Banking--1.6%
ANZ (Delaware), Inc.
1.230% 07/22/2003 + 3,000,000 2,997,847
Lloyds Bank PLC
1.235% 07/29/2003 + 4,000,000 3,996,158
Royal Bank of Scotland PLC
1.220% 07/08/2003 200,000 199,953
Svenska Handelsbank, Inc.
0.925% 07/25/2003 + 1,000,000 999,383
------------
8,193,341
------------
Chemicals--0.1%
BASF AG
0.980% 08/14/2003 300,000 299,641
------------
Diversified--0.8%
General Electric Capital Corporation
1.030% 07/23/2003 + 4,000,000 3,997,482
------------
Financial Services--0.9%
Barclays US Funding Corporation
0.930% 08/25/2003 + 200,000 199,716
HBOS Treasury Services PLC
1.250% 07/24/2003 250,000 249,800
HBOS Treasury Services PLC
1.240% 07/24/2003 + 1,700,000 1,698,654
76 See accompanying notes to financial statements.
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
COMMERCIAL PAPER--(Continued)
- --------------------------------------------------------------------------------
HBOS Treasury Services PLC
1.210% 09/03/2003 + $1,000,000 $ 997,849
HBOS Treasury Services PLC
1.000% 09/15/2003 + 1,500,000 1,496,833
Societe Generale North America
1.215% 07/15/2003 300,000 299,859
------------
4,942,711
------------
Government Issued--0.0%
Quebec (Province Of)
1.220% 07/15/2003 250,000 249,881
------------
Insurance--0.1%
Marsh & McLennan Companies, Inc.
0.910% 08/12/2003 300,000 299,681
New York Life Capital Corporation
0.950% 07/21/2003 300,000 299,842
------------
599,523
------------
Medical Equipment & Supplies--0.1%
Johnson & Johnson
1.200% 08/04/2003 300,000 299,660
------------
Oil & Gas--0.0%
Shell Finance (UK) PLC
0.980% 07/18/2003 250,000 249,884
------------
Pharmaceuticals--0.0%
GlaxoSmithKline Finance
1.230% 07/23/2003 250,000 249,812
------------
TOTAL COMMERCIAL PAPER
(Cost $19,081,935) 19,081,935
------------
- --------------------------------------------------------------------------------
CASH EQUIVALENTS--0.9%
- --------------------------------------------------------------------------------
Institutional Money Market Funds--0.2%
BlackRock Tempcash Fund
1.101% 07/01/2003 ++ 700,686 700,686
Dreyfus Cash Management Plus Fund
1.102% 07/01/2003 ++ 153,659 153,659
Merrill Lynch Premier Institutional Fund
1.045% 07/01/2003 ++ 228,513 228,513
Merrimac Cash Fund-Premium Class
1.052% 07/01/2003 ++ 202,830 202,830
------------
1,285,688
------------
Bank & Certificate Deposits/Offshore
Time Deposits--0.4%
American Express Centurion Bank
1.260% 07/07/2003 ++ 92,196 92,196
Bank of Montreal
1.150% 07/09/2003 ++ 46,837 46,837
Bank of Nova Scotia
1.050% 08/29/2003 ++ 307,318 307,319
BNP Paribas
1.030% 07/21/2003 ++ 208,977 208,977
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Credit Agricole Indosuez
0.940% 07/01/2003 ++ $ 122,927 $ 122,927
Den Danske Bank
1.040% 07/24/2003 ++ 122,927 122,927
Den Danske Bank
1.040% 07/28/2003 ++ 368,782 368,782
Harris Trust & Savings Bank
1.020% 07/30/2003 ++ 184,391 184,391
Royal Bank of Canada
1.031% 07/07/2003 ++ 129,074 129,074
Royal Bank of Scotland
1.125% 07/01/2003 ++ 245,855 245,855
------------
1,829,285
------------
Floating Rate Instruments/Master
Notes--0.3%
Comerica Bank
1.073% 11/19/2003 ++ 61,464 61,464
Credit Suisse First Boston Corporation
1.415% 07/01/2003 ++ 614,637 614,637
Goldman Sachs Group Inc.
1.525% 07/02/2003 ++ 184,391 184,391
Goldman Sachs Group Inc.
1.210% 08/04/2003 ++ 122,927 122,927
Goldman Sachs Group Inc.
1.130% 09/17/2003 ++ 61,464 61,464
Liberty Lighthouse Funding
1.155% 01/15/2004 ++ 61,464 61,464
Merrill Lynch & Company, Inc.
1.615% 11/26/2003 ++ 61,464 61,464
Morgan Stanley
1.455% 01/29/2004 ++ 153,659 153,659
Morgan Stanley
1.425% 09/26/2003 ++ 30,732 30,732
Morgan Stanley
1.425% 12/16/2003 ++ 307,318 307,318
Parkland (USA) LLC
1.018% 11/26/2003 ++ 122,927 122,927
------------
1,782,447
------------
TOTAL CASH EQUIVALENTS
(Cost $4,897,420)
4,897,420
------------
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--0.2%
- --------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 06/30/2003 due
07/01/2003, with a maturity
value of $1,140,287 and an
effective yield of 0.75%
collateralized by a U.S.
Government Obligation
with a rate of 3.908%,
maturity date of 12/25/2022
and market value of
$1,197,480. 1,140,263 1,140,263
------------
TOTAL INVESTMENTS^--109.6%
(Cost $560,677,738) 573,044,500
------------
See accompanying notes to financial statements. 77
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
WRAPPER AGREEMENTS--(4.6%)
- --------------------------------------------------------------------------------
American International
Group, Inc.
(contractual effective
yield of 4.791%) +++ $(11,978,962)
Bank of America
(contractual
effective yield of
4.791%) +++ (11,978,962)
-------------
TOTAL WRAPPER AGREEMENTS (23,957,924)
-------------
Other assets less liabilities--(5.0%) (26,347,531)
-------------
NET ASSETS--100.0% $ 522,739,045
=============
Notes to the Schedule of Investments:
ARM Adjustable Rate Mortgage
MTN Medium Term Note
REIT Real Estate Investment Trust
TBA To Be Announced
+ Security has been pledged as collateral for when- issued (TBA) securities.
@ Securities acquired pursuant to Rule 144A.
# Rate is subject to change. Rate shown reflects current rate.
& Security valued at fair value as determined by policies approved by the
board of directors.
* Security has been pledged as collateral for futures contracts.
++ Represents collateral received from securities lending transactions.
+++ Wrapper Agreements - Each Wrapper Agreement obligates the wrap provider to
maintain the book value of a portion of the Fund's assets up to a specified
dollar amount, upon the occurrence of certain specified events.
^ Fund has Securities on loan. See Note 6.
78 See accompanying notes to financial statements.
Schedule of Investments
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint US Government
Securities Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--35.8%
- --------------------------------------------------------------------------------
U.S. Government Agencies--
Mortgage Backed--35.8%
Federal Home Loan Bank
4.875% 04/16/2004 $7,400,000 $ 7,621,822
Federal Home Loan Mortgage Corporation
6.000% 10/01/2017 2,085,823 2,169,763
5.000% 05/15/2004 7,400,000 7,651,704
3.250% 01/15/2004 3,000,000 3,035,610
Federal National Mortgage Association
7.125% 06/15/2010 3,500,000 4,332,562
6.625% 10/15/2007-
11/15/2010 17,250,000 20,698,051
6.000% 10/01/2017 5,594,105 5,840,608
5.750% 02/15/2008 8,000,000 9,137,136
5.625% 05/14/2004 7,400,000 7,690,842
4.375% 10/15/2006-
09/15/2012 7,500,000 7,968,628
3.125% 11/15/2003 7,400,000 7,459,452
------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $79,143,405) 83,606,178
------------
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--58.2%
- --------------------------------------------------------------------------------
U.S. Treasury Bonds--18.9%
U.S. Treasury Bond
5.000% 08/15/2011 28,575,000 32,062,064
3.875% 02/15/2013 11,670,000 12,012,351
------------
44,074,415
------------
U.S. Treasury Notes--39.3%
U.S. Treasury Note
6.500% 05/15/2005-
10/15/2006 32,685,000 36,440,203
6.000% 08/15/2009 5,245,000 6,188,486
5.625% 05/15/2008 6,750,000 7,740,353
5.250% 05/15/2004 34,200,000 35,463,827
3.250% 05/31/2004 6,000,000 6,123,048
------------
91,955,917
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $133,541,899) 136,030,332
------------
- --------------------------------------------------------------------------------
CASH EQUIVALENTS--29.1%
- --------------------------------------------------------------------------------
Institutional Money Market Funds--7.6%
BlackRock Tempcash Fund
1.101% 07/01/2003 + 9,749,308 9,749,308
Dreyfus Cash Management Plus Fund
1.102% 07/01/2003 + 2,138,006 2,138,006
Merrill Lynch Premier Institutional Fund
1.045% 07/01/2003 + 3,179,517 3,179,517
Merrimac Cash Fund-Premium Class
1.052% 07/01/2003 + 2,822,168 2,822,168
------------
17,888,999
------------
Bank & Certificate Deposits/Offshore
Time Deposits--10.9%
American Express Centurion Bank
1.260% 07/07/2003 + 1,282,804 1,282,804
Bank of Montreal
1.150% 07/09/2003 + 651,688 651,688
Bank of Nova Scotia
1.050% 08/29/2003 + 4,276,013 4,276,013
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
BNP Paribas
1.030% 07/21/2003 + $2,907,689 $ 2,907,689
Credit Agricole Indosuez
0.940% 07/01/2003 + 1,710,405 1,710,405
Den Danske Bank
1.040% 07/24/2003 + 1,710,405 1,710,405
Den Danske Bank
1.040% 07/28/2003 + 5,131,215 5,131,215
Harris Trust & Savings Bank
1.020% 07/30/2003 + 2,565,608 2,565,608
Royal Bank of Canada
1.031% 07/07/2003 + 1,795,925 1,795,925
Royal Bank of Scotland
1.125% 07/01/2003 + 3,420,810 3,420,810
------------
25,452,562
------------
Floating Rate Instruments/Master Notes--10.6%
Comerica Bank
1.073% 11/19/2003 + 855,203 855,203
Credit Suisse First Boston Corporation
1.415% 07/01/2003 + 8,552,026 8,552,026
Goldman Sachs Group Inc.
1.525% 07/02/2003 + 2,565,608 2,565,608
Goldman Sachs Group Inc.
1.210% 08/04/2003 + 1,710,405 1,710,405
Goldman Sachs Group Inc.
1.130% 09/17/2003 + 855,203 855,203
Liberty Lighthouse Funding
1.155% 01/15/2004 + 855,203 855,203
Merrill Lynch & Company, Inc.
1.615% 11/26/2003 + 855,203 855,203
Morgan Stanley
1.455% 01/29/2004 + 2,138,006 2,138,006
Morgan Stanley
1.425% 09/26/2003 + 427,601 427,601
Morgan Stanley
1.425% 12/16/2003 + 4,276,013 4,276,013
Parkland (USA) LLC
1.018% 11/26/2003 + 1,710,405 1,710,405
------------
24,800,876
------------
TOTAL CASH EQUIVALENTS
(Cost $68,142,437) 68,142,437
------------
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--5.4%
- -------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 06/30/2003 due
07/01/2003, with a maturity
value of $12,682,570 and
an effective yield of
0.75% collateralized by a
U.S. Government
Obligation with a rate of
4.50%, maturity date of
09/20/2032 and a market
value of $13,316,421.
12,682,305 12,682,305
------------
TOTAL INVESTMENTS^--128.5%
(Cost $293,510,046)
300,461,252
Other assets less liabilities--(28.5%)
(66,551,767)
------------
NET ASSETS--100.0% $233,909,485
============
Notes to the Schedule of Investments:
+ Represents collateral received from securities lending transactions.
^ Fund has Securities on loan. See Note 6.
See accompanying notes to financial statements. 79
Schedule of Investments
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- ----------------------------------------------------------------
COMMON STOCKS--72.6%
- ----------------------------------------------------------------
Advertising--0.2%
Interpublic Group, Inc. 21,700 $ 290,346
Monster Worldwide, Inc. * 6,200 122,326
Omnicom Group 10,600 760,020
------------
1,172,692
------------
Aerospace & Defense--1.0%
Boeing Company 46,692 1,602,469
General Dynamics
Corporation 11,100 804,750
Honeywell International, Inc. 47,925 1,286,786
Lockheed Martin
Corporation 25,100 1,194,007
Northrop Grumman
Corporation 10,296 888,442
Raytheon Company 22,600 742,184
Rockwell Collins, Inc. 10,400 256,152
Textron, Inc. 7,700 300,454
------------
7,075,244
------------
Airlines--0.1%
Delta Air Lines, Inc. 6,400 93,952
Southwest Airlines, Inc. 43,912 755,286
------------
849,238
------------
Automotive--0.7%
Cooper Tire & Rubber
Company 4,200 73,878
Dana Corporation 8,324 96,225
Delphi Corporation 30,335 261,791
Ford Motor Company 100,846 1,108,298
General Motors Corporation 31,000 1,116,000
Genuine Parts Company 9,425 301,694
Goodyear Tire & Rubber
Company 9,300 48,825
Harley-Davidson, Inc. 16,800 669,648
ITT Industries, Inc. 5,200 340,392
Johnson Controls, Inc. 5,000 428,000
Navistar International
Corporation * 3,700 120,731
Visteon Corporation 8,204 56,361
------------
4,621,843
------------
Banking--6.2%
Amsouth Bancorp 19,700 430,248
BB&T Corporation 26,500 908,950
Bank of America
Corporation 83,916 6,631,881
Bank of New York
Company, Inc. 42,900 1,233,375
Bank One Corporation 64,169 2,385,803
Capital One Financial
Corporation 12,700 624,586
Charter One Financial, Inc. 13,155 410,173
Comerica, Inc. 9,650 448,725
Fifth Third Bancorp 32,268 1,850,247
First Tennessee National
Corporation 7,000 307,370
Fleet Boston Financial
Corporation 59,087 1,755,475
Golden West Financial
Corporation 8,500 680,085
Huntington Bancshares, Inc. 12,836 250,559
J.P. Morgan Chase &
Company 114,100 3,899,938
KeyCorp 24,400 616,588
MBNA Corporation 72,940 1,520,070
- -----------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------
Marshall & Ilsley
Corporation 12,000 $ 366,960
Mellon Financial
Corporation 24,500 679,875
National City Corporation 33,700 1,102,327
North Fork Bancorporation,
Inc. 9,000 306,540
Northern Trust Corporation 12,800 534,912
PNC Financial Services
Group 16,200 790,722
Regions Financial
Corporation 12,400 418,872
Safeco Corporation 7,600 268,128
SLM Corporation 25,800 1,010,586
Southtrust Corporation 20,000 544,000
State Street Corporation 18,700 736,780
Suntrust Banks, Inc. 16,000 949,440
Synovus Financial
Corporation 17,100 367,650
U.S. Bancorp 107,805 2,641,222
Union Planters Corporation 11,150 345,984
Wachovia Corporation 75,584 3,020,337
Wells Fargo & Company 94,060 4,740,624
Zions Bancorporation 5,500 278,355
------------
43,057,387
------------
Beverages, Food & Tobacco--4.1%
Adolph Coor Company
Class B 2,100 102,858
Altria Group, Inc. 113,700 5,166,528
Anheuser Busch
Companies, Inc. 46,900 2,394,245
Archer-Daniels-Midland
Company 35,824 461,055
Brown Forman Corporation
Class B 3,700 290,894
Campbell Soup Company 23,500 575,750
Coca Cola Company 138,400 6,423,144
Coca Cola Enterprises, Inc. 25,600 464,640
Conagra, Inc. 30,800 726,880
General Mills, Inc. 20,700 981,387
Heinz HJ Company 19,350 638,163
Hershey Foods Corporation 7,400 515,484
Kellogg Company 22,500 773,325
Kroger Company * 42,400 707,232
McCormick & Company, Inc. 7,800 212,160
Pepsi Bottling Group,
Inc. (The) 15,600 312,312
PepsiCo, Inc. 97,030 4,317,835
R.J. Reynolds Tobacco
Holdings, Inc. 5,000 186,050
Sara Lee Corporation 44,700 840,807
Supervalu, Inc. 7,600 162,032
Sysco Corporation 36,900 1,108,476
UST, Inc. 9,800 343,294
WM Wrigley Jr. Company 12,900 725,367
------------
28,429,918
------------
Bio-Technology--0.1%
Chiron Corporation * 10,900 476,548
------------
Building Materials--0.9%
Home Depot, Inc. 129,100 4,275,792
Louisiana Pacific
Corporation * 6,000 65,040
Lowe's Companies, Inc. 43,800 1,881,210
Vulcan Materials Company 5,500 203,885
------------
6,425,927
------------
80
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- -----------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------
Chemicals--1.0%
Air Products & Chemicals, Inc. 12,500 $ 520,000
Avery-Dennison Corporation 6,400 321,280
BF Goodrich Company 5,800 121,800
Clorox Company 12,700 541,655
Dow Chemical Company (The) 51,436 1,592,459
Du Pont (E.I.) de Nemours 55,800 2,323,512
Eastman Chemical
Company 4,375 138,556
Engelhard Corporation 6,637 164,398
Great Lakes Chemical
Corporation 2,900 59,160
Hercules, Inc. * 6,100 60,390
International Flavors &
Fragrances 5,400 172,422
Praxair, Inc. 9,100 546,910
Rohm & Haas Company 12,075 374,687
Tupperware Corporation 3,200 45,952
------------
6,983,181
------------
Commercial Services--0.8%
Allied Waste Industries,
Inc. * 11,900 119,595
Cendant Corporation * 56,000 1,025,920
Cintas Corporation 9,200 326,048
Concord EFS, Inc. * 28,800 423,936
Convergys Corporation * 9,400 150,400
Deluxe Corporation 3,400 152,320
Equifax, Inc. 8,700 226,200
Fluor Corporation 4,400 148,016
Halliburton Company 24,600 565,800
Monsanto Company 15,549 336,480
Paychex, Inc. 21,450 628,699
Quintiles Transnational
Corporation * 6,600 93,654
Robert Half International,
Inc. * 9,500 179,930
RR Donnelley & Sons
Company 6,600 172,524
Ryder System, Inc. 3,300 84,546
Waste Management, Inc. 33,227 800,438
------------
5,434,506
------------
Communications--0.3%
ADC Telecommunications,
Inc. * 43,000 100,104
Andrew Corporation * 4,587 42,200
Avaya, Inc. * 21,468 138,683
JDS Uniphase Corporation * 76,300 267,813
Network Appliance, Inc. * 19,400 314,474
Nextel Communications,
Inc. Class A * 57,800 1,045,024
Scientific Atlanta, Inc. 8,400 200,256
Tellabs, Inc. * 22,200 145,854
------------
2,254,408
------------
Computer Software & Processing--4.2%
Adobe Systems, Inc. 12,800 410,496
Autodesk, Inc. 7,000 113,120
Automatic Data
Processing, Inc. 34,200 1,158,012
BMC Software, Inc. * 13,300 217,189
Citrix Systems, Inc. * 10,200 207,672
Computer Associates
International, Inc. 33,025 735,797
Compuware Corporation * 20,200 116,554
- -----------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------
Electronic Arts, Inc. * 8,200 $ 606,718
Electronic Data Systems
Corporation 27,100 581,295
First Data Corporation 42,600 1,765,344
Fiserv, Inc. * 11,000 391,710
Intuit, Inc. * 11,500 512,095
Mercury Interactive
Corporation * 4,400 169,884
Microsoft Corporation 602,600 15,432,586
NCR Corporation * 5,800 148,596
Novell, Inc. * 19,600 60,368
NVIDIA Corporation * 8,300 190,983
Oracle Corporation * 295,420 3,550,948
Parametric Technology
Corporation * 16,400 50,020
PeopleSoft, Inc. * 17,400 306,066
Siebel Systems, Inc. * 27,500 262,350
Sun Microsystems, Inc. * 180,800 831,680
Sungard Data Systems, Inc. * 15,500 401,605
Symantec Corporation * 8,200 359,652
Unisys Corporation * 17,800 218,584
Veritas Software
Corporation * 23,333 668,957
------------
29,468,281
------------
Computers &
Information--5.3%
Apple Computer, Inc. * 19,600 374,752
Cisco Systems, Inc. * 394,300 6,580,867
Computer Sciences
Corporation * 10,500 400,260
Comverse Technology, Inc. * 11,200 168,336
Dell Computer Corporation * 144,300 4,611,828
EMC Corporation * 123,200 1,289,904
Gateway, Inc. * 18,200 66,430
Hewlett-Packard Company 172,096 3,665,645
IMS Health, Inc. 13,725 246,913
Intel Corporation 367,100 7,629,806
International Business
Machines Corporation 97,000 8,002,500
International Game
Technology * 5,000 511,650
Jabil Circuit, Inc. * 10,900 240,890
Lexmark International
Group, Inc. * 7,200 509,544
Micron Technology, Inc. * 33,300 387,279
Pitney Bowes, Inc. 13,200 507,012
Sabre Holdings Corporation 7,930 195,474
Symbol Technologies, Inc. 12,700 165,227
Yahoo!, Inc. * 33,900 1,110,564
------------
36,664,881
------------
Construction--0.1%
Centex Corporation 3,700 287,823
KB Home 2,700 167,346
McDermott International,
Inc. * 3,000 18,990
Pulte Corporation 3,100 191,146
------------
665,305
------------
Containers & Packaging--0.1%
Ball Corporation 3,400 154,734
Bemis Company 3,000 140,400
Pactiv Corporation * 8,300 163,593
Sealed Air Corporation * 5,065 241,398
------------
700,125
------------
81
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- -----------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------
Cosmetics & Personal Care--1.6%
Alberto Culver Company
Class B 3,200 $ 163,520
Avon Products, Inc. 13,000 808,600
Colgate-Palmolive Company 30,200 1,750,090
Ecolab, Inc. 14,800 378,880
Gillette Company 57,400 1,828,764
Procter & Gamble Company 72,600 6,474,468
------------
11,404,322
------------
Diversified--3.2%
3M Company 22,000 2,837,560
General Electric Company 561,400 16,100,952
Loews Corporation 10,900 515,461
Newell Rubbermaid, Inc. 15,360 430,080
PerkinElmer, Inc. 6,900 95,289
Temple Inland, Inc. 3,000 128,730
Tyco International Ltd. 111,549 2,117,200
------------
22,225,272
------------
Education--0.1%
Apollo Group, Inc. Class A * 9,500 586,720
------------
Electric Utilities--0.3%
Allegheny Energy, Inc. 6,800 57,460
Exelon Corporation 18,262 1,092,250
Mirant Corporation * 22,365 64,858
Pinnacle West Capital
Corporation 5,100 190,995
Progress Energy, Inc. 13,300 583,870
TECO Energy, Inc. 8,400 100,716
Xcel Energy, Inc. 21,870 328,925
------------
2,419,074
------------
Electrical Equipment--0.0%
Cooper Industries Ltd. Class A 4,800 198,240
------------
Electronics--1.7%
Advanced Micro
Devices, Inc. * 19,900 127,559
Agilent Technologies, Inc. * 26,469 517,469
Altera Corporation * 21,000 344,400
American Power
Conversion Corporation * 11,300 176,167
Analog Devices, Inc. * 20,800 724,256
Applied Micro Circuits
Corporation * 15,400 93,170
Broadcom Corporation
Class A * 15,100 376,141
Emerson Electric Company 23,400 1,195,740
LSI Logic Corporation * 19,900 140,892
Linear Technology
Corporation 17,500 563,675
Maxim Integrated
Products, Inc. 18,500 632,515
Molex, Inc. 10,575 285,419
Motorola, Inc. 129,090 1,217,319
National Semiconductor
Corporation * 9,500 187,340
Novellus System, Inc. * 7,800 285,644
PMC-Sierra, Inc. * 9,600 112,608
Power-One, Inc. * 3,800 27,170
Qlogic Corporation * 5,500 265,815
Qualcomm, Inc. 44,200 1,580,150
Sanmina Corporation * 30,000 189,300
Solectron Corporation * 47,200 176,528
Teradyne, Inc. * 9,800 169,638
- -----------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------
Texas Instruments, Inc. 97,000 $ 1,707,200
Thomas & Betts
Corporation * 3,200 46,240
Xilinx, Inc. * 19,100 483,421
------------
11,625,776
------------
Entertainment &
Leisure--0.6%
Carnival Corporation 35,200 1,144,352
Harrah's Entertainment, Inc. * 6,050 243,452
Hasbro, Inc. 9,775 170,965
Mattel, Inc. 23,678 447,988
The Walt Disney Company 113,900 2,249,525
------------
4,256,282
------------
Financial Services--5.2%
American Express Company 72,900 3,047,949
Bear Stearns Company, Inc. 5,533 400,700
Charles Schwab
Corporation 75,722 764,035
Citigroup, Inc. 288,848 12,362,694
Countrywide Financial
Corporation 7,300 507,861
Federal Home Loan
Mortgage Corporation 38,900 1,974,953
Federal National Mortgage
Association 55,000 3,709,200
Federated Investors, Inc.
Class B 6,100 167,262
Franklin Resources, Inc. 14,100 550,887
Goldman Sachs Group, Inc.
(The) 26,500 2,219,375
H&R Block, Inc. 10,700 462,775
Janus Capital Group, Inc. 12,300 201,720
Lehman Brothers, Inc. 13,600 904,128
Merrill Lynch & Company,
Inc. 51,900 2,422,692
Moody's Corporation 8,700 458,577
Morgan Stanley 61,530 2,630,408
Paccar, Inc. 6,315 426,641
Providian Financial
Corporation * 16,500 152,790
T. Rowe Price Group, Inc. 6,700 252,925
Washington Mutual, Inc. 52,314 2,160,568
Worthington Industries, Inc. 4,975 66,665
------------
35,844,805
------------
Food Retailers--0.1%
Albertson's, Inc. 20,642 396,326
Winn Dixie, Inc. 8,200 100,942
------------
497,268
------------
Forest Products &
Paper--0.6%
Boise Cascade Corporation 3,200 76,480
Georgia-Pacific Group 14,038 266,020
International Paper
Company 27,502 982,646
Kimberly-Clark Corporation 28,620 1,492,247
MeadWestvaco Corporation 10,814 267,106
Plum Creek Timber
Company, Inc. 9,500 246,525
Weyerhaeuser Company 12,400 669,600
------------
4,000,624
------------
Health Care Providers--0.5%
HCA, Inc. 28,677 918,811
Health Management
Associates, Inc. 13,300 245,385
Manor Care, Inc. * 5,100 127,551
Quest Diagnostics Inc. * 5,900 376,420
82
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- ----------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------
Tenet Healthcare
Corporation * 27,150 $ 316,298
UnitedHealth Group, Inc. 33,200 1,668,300
------------
3,652,765
------------
Heavy Machinery--1.2%
American Standard
Companies, Inc. * 4,000 295,720
Applied Materials, Inc. * 92,800 1,471,808
Baker Hughes, Inc. 19,280 647,230
Black & Decker Corporation 4,200 182,490
Caterpillar, Inc. 19,100 1,063,106
Cummins, Inc. 2,300 82,547
Deere & Company 13,500 616,950
Dover Corporation 11,000 329,560
Eaton Corporation 4,200 330,162
Grainger WW, Inc. 5,600 261,856
Ingersoll-Rand Company
Class A 9,150 432,978
Pall Corporation 6,766 152,235
Parker-Hannifin Corporation 6,925 290,781
Rockwell International
Corporation 10,400 247,936
Stanley Works 5,200 143,520
United Technologies
Corporation 26,300 1,862,829
------------
8,411,708
------------
Home Furnishings & Appliances--0.2%
Corning, Inc. * 71,100 525,429
Leggett & Platt, Inc. 10,700 219,350
Maytag Corporation 4,400 107,448
Whirlpool Corporation 3,600 229,320
------------
1,081,547
------------
Household Products--0.3%
Fortune Brands, Inc. 8,100 422,820
Illinois Tool Works, Inc. 17,300 1,139,205
PPG Industries, Inc. 9,124 462,952
Snap-On, Inc. 3,250 94,348
------------
2,119,325
------------
Insurance--3.6%
ACE Ltd. (Bermuda) 14,500 497,204
AFLAC Corporation 28,900 888,675
Aetna, Inc. 8,537 513,927
Allstate Corporation 39,538 1,409,530
Ambac Financial Group, Inc. 5,750 380,938
American International
Group, Inc. 146,390 8,077,800
Anthem, Inc. * 7,900 609,485
Aon Corporation 17,425 419,594
Chubb Corporation 10,360 621,600
Cigna Corporation 8,000 375,520
Cincinnati Financial
Corporation 8,800 326,392
Hartford Financial Services
Group 15,600 785,616
Humana, Inc. * 9,600 144,960
Jefferson Pilot Corporation 8,187 339,433
John Hancock Financial
Services, Inc. 16,200 497,826
Lincoln National
Corporation 10,000 356,300
MBIA, Inc. 8,050 392,438
MGIC Investment
Corporation 5,900 275,176
- -----------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------
Marsh & McLennan
Companies, Inc. 30,600 $ 1,562,742
Metlife, Inc. 42,600 1,206,432
Principal Financial Group,
Inc. 18,900 609,525
Progressive Corporation 12,000 877,200
Prudential Financial, Inc. 30,900 1,039,785
St. Paul Companies, Inc. 12,204 445,568
Torchmark Corporation 6,700 249,575
Travelers Property Casualty
Corporation Class B 56,353 888,687
UnumProvident Corporation 16,118 216,142
Wellpoint Health Networks * 8,000 674,400
XL Capital Ltd. Class A
(Bermuda) 7,500 622,500
------------
25,304,970
------------
Lodging--0.1%
Hilton Hotels Corporation 20,800 266,032
Marriott International
Class A 13,000 499,460
Starwood Hotels & Resorts
Worldwide, Inc. 10,800 308,772
------------
1,074,264
------------
Media--Broadcasting &
Publishing--2.6%
American Greetings
Corporation Class A * 3,300 64,812
AOL Time Warner, Inc. * 252,610 4,064,495
Clear Channel
Communications * 34,800 1,475,172
Comcast Corporation
Class A * 126,380 3,814,148
Dow Jones & Company, Inc. 4,600 197,938
Gannett Company, Inc. 15,100 1,159,831
Knight Ridder, Inc. 4,900 337,757
McGraw-Hill Companies, Inc. 11,100 688,200
Meredith Corporation 2,900 127,600
New York Times Company
Class A 8,200 373,100
Tribune Company 17,067 824,336
Univision Communications,
Inc. * 13,500 410,400
Viacom, Inc. Class B * 98,881 4,317,144
------------
17,854,933
------------
Medical Equipment &
Supplies--2.9%
Allergan, Inc. 7,100 547,410
Applied Biosystems
Group--Applera
Corporation 12,400 235,972
Bard C.R., Inc. 2,600 185,406
Bausch & Lomb, Inc. 3,406 127,725
Baxter International, Inc. 33,900 881,400
Becton Dickinson &
Company 14,000 543,900
Biomet, Inc. 14,525 416,287
Boston Scientific
Corporation * 23,200 1,417,520
Guidant Corporation 17,400 772,386
Johnson & Johnson 166,688 8,617,770
KLA-Tencor Corporation * 10,700 497,443
Medtronics, Inc. 68,700 3,295,539
St. Jude Medical, Inc. * 10,100 580,750
Stryker Corporation 11,200 776,944
Tektronix, Inc. * 5,400 116,640
Thermo Electron
Corporation * 9,100 191,282
Waters Corporation * 7,100 206,823
Zimmer Holdings, Inc. * 10,990 495,100
------------
19,906,297
------------
83
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- -----------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------
Metals & Mining--0.6%
Alcoa, Inc. 47,260 $ 1,205,130
Allegheny Technologies, Inc. 4,483 29,588
Crane Company 3,325 75,245
Danaher Corporation 8,600 585,230
Freeport-McMoRan Copper
& Gold, Inc. 8,400 205,800
Masco Corporation 26,800 639,180
Newmont Mining
Corporation 22,568 732,557
Nucor Corporation 4,600 224,710
Phelps Dodge Corporation * 4,828 185,106
United States Steel
Corporation 5,020 82,177
------------
3,964,723
------------
Office Equipment & Supplies--0.1%
Xerox Corporation * 41,700 441,603
------------
Oil & Gas--4.3%
Amerada Hess Corporation 4,800 236,064
Anadarko Petroleum
Corporation 14,270 634,587
Apache Corporation 8,946 582,027
Ashland, Inc. 4,000 122,720
BJ Services Company * 8,500 317,560
Burlington Resources, Inc. 11,002 594,878
ChevronTexaco Corporation 59,690 4,309,618
ConocoPhillips 38,009 2,082,893
Devon Energy Corporation 12,899 688,807
Dynegy, Inc. Class A 20,400 85,680
EOG Resources, Inc. 6,300 263,592
El Paso Corporation 33,677 272,110
Exxon Mobil Corporation 374,758 13,457,560
Kerr-McGee Corporation 5,471 245,101
KeySpan Corporation 8,800 311,960
Kinder Morgan, Inc. 6,600 360,690
Marathon Oil Corporation 17,800 469,030
Nabors Industries Ltd. * 7,600 300,580
Nicor, Inc. 2,600 96,486
Noble Corporation * 7,200 246,960
Occidental Petroleum
Corporation 21,490 720,990
Peoples Energy Corporation 2,000 85,780
Rowan Companies, Inc. * 5,400 120,960
Schlumberger Ltd. 32,900 1,565,053
Sempra Energy 11,269 321,505
Sunoco, Inc. 4,600 173,604
Transocean, Inc. * 18,311 402,293
Unocal Corporation 14,710 422,030
Williams Companies, Inc. 29,600 233,840
------------
29,724,958
------------
Pharmaceuticals--7.1%
Abbott Laboratories 87,700 3,837,752
AmerisourceBergen
Corporation 6,200 429,970
Amgen, Inc. * 70,744 4,700,231
Biogen, Inc. * 8,200 311,600
Bristol-Myers Squibb
Company 108,200 2,937,630
Cardinal Health, Inc. 25,050 1,610,715
Eli Lilly & Company 62,900 4,338,213
Forest Laboratories, Inc. * 20,400 1,116,900
Genzyme Corporation * 12,200 509,960
King Pharmaceuticals, Inc. * 14,166 209,090
- -----------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------
McKesson HBOC, Inc. 16,489 $ 589,317
MedImmune, Inc. * 14,200 516,454
Merck & Company, Inc. 126,000 7,629,300
Millipore Corporation * 2,500 110,925
Pfizer, Inc. 443,592 15,148,667
Schering-Plough
Corporation 81,700 1,519,620
Sigma Aldrich Corporation 4,000 216,720
Watson Pharmaceutical, Inc. * 6,400 258,368
Wyeth 74,600 3,398,030
------------
49,389,462
------------
Photographic Equipment &
Supplies--0.1%
Eastman Kodak Company 16,000 437,600
------------
Real Estate--0.2%
Apartment Investment &
Management Company
Class A REIT 5,200 179,920
Equity Office Properties
Trust REIT 22,600 610,426
Equity Residential
Properties Trust REIT 14,900 386,655
Simon Property Group,
Inc. REIT 10,600 413,718
------------
1,590,719
------------
Restaurants--0.4%
Darden Restaurants, Inc. 10,200 193,596
McDonald's Corporation 71,700 1,581,702
Starbucks Corporation * 22,000 539,440
Wendy's International, Inc. 7,000 202,790
Yum! Brands, Inc. * 15,900 470,004
------------
2,987,532
------------
Retailers--4.3%
AutoNation, Inc. * 17,500 275,100
Autozone, Inc. * 5,000 379,850
Bed Bath & Beyond, Inc. * 16,700 648,127
Best Buy Company, Inc. * 18,000 790,560
Big Lots, Inc. * 6,400 96,256
CVS Corporation 21,600 605,448
Circuit City Stores 11,900 104,720
Costco Wholesale
Corporation * 25,776 943,402
Dillards, Inc. Class A 5,100 68,697
Dollar General Corporation 17,940 327,584
Ebay, Inc. * 17,800 1,854,404
Family Dollar Stores, Inc. 9,400 358,610
Federated Department
Stores 10,500 386,925
Gap, Inc. 49,487 928,376
J.C. Penney Company, Inc. 14,300 240,955
Kohls Corporation * 18,600 955,668
Limited Brands, Inc. 29,400 455,700
May Department Stores
Company 16,100 358,386
Nordstrom, Inc. 7,700 150,304
Office Depot, Inc. * 16,600 240,866
RadioShack Corporation 10,400 273,624
Safeway, Inc. * 25,900 529,914
Sears, Roebuck & Company 17,300 581,972
Sherwin Williams Company 8,200 220,416
Staples, Inc. * 27,400 502,790
TJX Companies, Inc. 28,700 540,708
Target Corporation 51,200 1,937,408
Tiffany & Company 8,600 281,048
Toys 'R' Us, Inc. * 10,800 130,896
84
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ------------------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Walgreen Company 57,000 $ 1,715,700
Wal-Mart Stores, Inc. 245,800 13,192,086
------------
30,076,500
------------
Telecommunications--2.7%
Alltel Corporation 17,700 853,494
AT&T Corporation 43,067 829,040
AT&T Wireless
Services, Inc. * 150,376 1,234,587
BellSouth Corporation 103,800 2,764,194
Centurytel, Inc. 7,700 268,345
Ciena Corporation * 26,500 137,535
Citizens Communications
Company * 14,200 183,038
Lucent Technologies, Inc. * 231,819 470,593
Qwest Communications
International, Inc. * 95,429 456,151
SBC Communications, Inc. 187,652 4,794,509
Sprint Corporation (FON
Group) 50,900 732,960
Sprint Corporation (PCS
Group) * 56,400 324,300
Verizon Communications 154,471 6,093,881
------------
19,142,627
------------
Textiles, Clothing & Fabrics--0.2%
Jones Apparel Group, Inc. * 6,800 198,968
Liz Claiborne, Inc. 6,000 211,500
Nike, Inc. Class B 14,800 791,652
Reebok International Ltd. * 3,200 107,616
VF Corporation 6,000 203,820
------------
1,513,556
------------
Transportation--1.1%
Brunswick Corporation 5,100 127,602
Burlington Northern Santa Fe 21,156 601,677
CSX Corporation 12,500 376,125
FedEx Corporation 17,040 1,056,991
Norfolk Southern
Corporation 21,200 407,040
Union Pacific Corporation 14,200 823,884
United Parcel Service, Inc.
Class B 63,200 4,025,840
------------
7,419,159
------------
Utilities--1.6%
AES Corporation * 34,400 218,440
Ameren Corporation 9,000 396,900
American Electric Power
Company, Inc. 21,760 649,101
CMS Energy Corporation 7,600 61,560
Calpine Corporation * 18,100 119,460
CenterPoint Energy, Inc. 17,426 142,022
Cinergy Corporation 9,500 349,505
Consolidated Edison, Inc. 12,500 541,000
Constellation Energy Group 8,900 305,270
- -------------------------------------------------------------------------
Shares Value
- -------------------------------------------------------------------------
DTE Energy Company 8,900 $ 343,896
Dominion Resources, Inc. 17,571 1,129,288
Duke Energy Corporation 50,624 1,009,949
Edison International * 17,700 290,811
Entergy Corporation 12,700 670,306
FPL Group, Inc. 10,100 675,185
Firstenergy Corporation 17,073 656,457
NiSource, Inc. 14,202 269,838
PG&E Corporation * 22,600 477,990
PPL Corporation 10,000 430,000
Public Service Enterprise
Group, Inc. 12,500 528,125
Southern Company 40,100 1,249,516
TXU Corporation 18,667 419,074
------------
10,933,693
------------
TOTAL COMMON STOCKS
(Cost $533,799,862) 504,365,808
------------
- ---------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ---------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--1.8%
- ---------------------------------------------------------------------------
U.S. Treasury Bills--1.8%
U.S. Treasury Bill
0.980% 09/11/2003 **
(Cost $12,475,500) $12,500,000 12,475,500
- --------------------------------------------------------------------------
COMMERCIAL PAPER--18.3%
- --------------------------------------------------------------------------
Banking--3.2%
Greyhawk Funding LLC
1.000% 07/22/2003 15,000,000 14,991,250
J.P. Morgan Chase & Company
1.200% 07/31/2003 7,000,000 6,993,000
-----------
21,984,250
-----------
Diversified--4.6%
General Electric Capital Corporation
1.290% 07/01/2003 32,011,000 32,011,000
-----------
Financial Services--10.5%
Atlantis One Funding Corporation
1.250% 08/22/2003 15,000,000 14,972,916
Charta Corporation
1.210% 07/15/2003 14,300,000 14,293,271
Ciesco L.P.
1.200% 07/10/2003 14,000,000 13,995,800
Fortis Funding LLC
1.290% 07/08/2003 15,000,000 14,996,238
Govco, Inc.
1.220% 07/30/2003 15,000,000 14,985,258
-----------
73,243,483
-----------
TOTAL COMMERCIAL PAPER
(Cost $127,238,733) 127,238,733
-----------
85
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Asset
Allocation Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------------------------
CASH EQUIVALENTS--4.5%
- --------------------------------------------------------------------------------
Institutional Money Market Funds--1.2%
BlackRock Tempcash Fund
1.101% 07/01/2003 + $4,494,252 $ 4,494,252
Dreyfus Cash Management Plus Fund
1.102% 07/01/2003 + 985,582 985,581
Merrill Lynch Premier Institutional
Fund
1.045% 07/01/2003 + 1,465,699 1,465,699
Merrimac Cash Fund-Premium Class
1.052% 07/01/2003 + 1,300,968 1,300,968
------------
8,246,500
------------
Bank & Certificate Deposits/Offshore
Time Deposits--1.7%
American Express Centurion Bank
1.260% 07/07/2003 + 591,349 591,349
Bank of Montreal
1.150% 07/09/2003 + 300,416 300,416
Bank of Nova Scotia
1.050% 08/29/2003 + 1,971,163 1,971,163
BNP Paribas
1.030% 07/21/2003 + 1,340,391 1,340,391
Credit Agricole Indosuez
0.940% 07/01/2003 + 788,465 788,465
Den Danske Bank
1.040% 07/24/2003 + 788,465 788,465
Den Danske Bank
1.040% 07/28/2003 + 2,365,396 2,365,396
Harris Trust & Savings Bank
1.020% 07/30/2003 + 1,182,698 1,182,698
Royal Bank of Canada
1.031% 07/07/2003 + 827,889 827,888
Royal Bank of Scotland
1.125% 07/01/2003 + 1,576,930 1,576,930
------------
11,733,161
------------
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Floating Rate Instruments/Master Notes--1.6%
Comerica Bank
1.073% 11/19/2003 + $ 394,233 $ 394,233
Credit Suisse First Boston Corporation
1.415% 07/01/2003 + 3,942,326 3,942,326
Goldman Sachs Group Inc.
1.525% 07/02/2003 + 1,182,698 1,182,698
Goldman Sachs Group Inc.
1.210% 08/04/2003 + 788,465 788,465
Goldman Sachs Group Inc.
1.130% 09/17/2003 + 394,233 394,233
Liberty Lighthouse Funding
1.155% 01/15/2004 + 394,233 394,233
Merrill Lynch & Company, Inc.
1.615% 11/26/2003 + 394,233 394,233
Morgan Stanley
1.455% 01/29/2004 + 985,582 985,582
Morgan Stanley
1.425% 09/26/2003 + 197,116 197,116
Morgan Stanley
1.425% 12/16/2003 + 1,971,163 1,971,163
Parkland (USA) LLC
1.018% 11/26/2003 + 788,465 788,465
------------
11,432,747
------------
TOTAL CASH EQUIVALENTS
(Cost $31,412,408)
31,412,408
------------
TOTAL INVESTMENTS---97.2%
(Cost $704,926,503)
675,492,449
Other assets less liabilities--2.8% 19,734,959
------------
NET ASSETS--100.0%
$695,227,408
============
Notes to the Schedule of Investments:
REIT Real Estate Investment Trust
* Non-income producing security.
** Security has been pledged as collateral for futures contracts.
+ Represents collateral received from securities lending transactions.
^ Fund has Securities on loan. See Note 6.
86 See accompanying notes to financial statements.
Schedule of Investments
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------
Vantagepoint
Equity Income Fund Shares Value
- ----------------------------------------------------------------
COMMON STOCKS--96.2%
- ----------------------------------------------------------------
Aerospace & Defense--2.5%
Boeing Company 122,200 $ 4,193,904
Honeywell International, Inc. 255,200 6,852,120
Lockheed Martin
Corporation 35,000 1,664,950
Northrop Grumman
Corporation 16,071 1,386,767
Raytheon Company 60,000 1,970,400
------------
16,068,141
------------
Automotive--5.3%
Ford Motor Company 200,000 2,198,000
General Motors Corporation 390,000 14,040,000
General Motors Corporation
Class H * 1,286,000 16,473,660
Genuine Parts Company 50,552 1,618,169
------------
34,329,829
------------
Banking--5.9%
Bank of America
Corporation 25,000 1,975,750
Bank One Corporation 76,200 2,833,116
Fleet Boston Financial
Corporation 302,008 8,972,658
J.P. Morgan Chase &
Company 138,729 4,741,757
KeyCorp 75,000 1,895,250
Mellon Financial
Corporation 53,656 1,488,954
Northern Trust Corporation 40,000 1,671,600
PNC Financial Services
Group 71,400 3,485,034
Safeco Corporation 70,000 2,469,600
SLM Corporation 54,000 2,115,180
U.S. Bancorp 50,000 1,225,000
Wachovia Corporation 120,004 4,795,360
------------
37,669,259
------------
Beverages, Food & Tobacco--3.7%
Altria Group, Inc. 130,000 5,907,200
Campbell Soup Company 89,712 2,197,944
Conagra, Inc. 46,700 1,102,120
General Mills, Inc. 64,022 3,035,283
Heinz HJ Company 122,249 4,031,772
Hershey Foods Corporation 10,000 696,600
Imperial Tobacco Group
PLC (United Kingdom) 125,900 4,558,839
UST, Inc. 56,537 1,980,491
------------
23,510,249
------------
Building Materials--0.4%
Home Depot, Inc. 80,000 2,649,600
------------
Chemicals--1.7%
Clorox Company 50,000 2,132,500
Dow Chemical Company (The) 39,771 1,231,310
Du Pont (E.I.) de Nemours 56,446 2,350,411
Great Lakes Chemical
Corporation 40,500 826,200
Hercules, Inc. * 48,000 475,200
International Flavors &
Fragrances 45,900 1,465,587
Lyondell Chemical
Company 176,100 2,382,633
------------
10,863,841
------------
- ----------------------------------------------------------------
Shares Value
- ----------------------------------------------------------------
Commercial Services--3.5%
D&B * 37,500 $ 1,541,250
RR Donnelley & Sons
Company 70,000 1,829,800
Waste Management, Inc. 803,000 19,344,270
------------
22,715,320
------------
Computer Software &
Processing--0.3%
Microsoft Corporation 85,000 2,176,850
------------
Computers & Information--1.4%
Hewlett-Packard Company 120,450 2,565,585
IMS Health, Inc. 164,800 2,964,752
Pitney Bowes, Inc. 87,100 3,345,511
------------
8,875,848
------------
Cosmetics & Personal
Care--0.3%
Gillette Company 50,000 1,593,000
------------
Diversified--1.7%
General Electric Company 135,000 3,871,800
Hanson PLC ADR
(United Kingdom) 130,800 3,696,408
Tyco International Ltd. 161,556 3,066,333
------------
10,634,541
------------
Electrical Equipment--0.5%
Cooper Industries Ltd.
Class A 75,000 3,097,500
------------
Electronics--1.1%
Emerson Electric Company 99,100 5,064,010
Sony Corporation ADR
(Japan) 35,000 980,000
Texas Instruments, Inc. 60,000 1,056,000
------------
7,100,010
------------
Entertainment &
Leisure--3.9%
Carnival Corporation 74,000 2,405,740
Hasbro, Inc. 110,000 1,923,900
The Walt Disney Company 1,054,000 20,816,500
------------
25,146,140
------------
Financial Services--2.9%
American Express Company 50,000 2,090,500
Citigroup, Inc. 150,069 6,422,953
Federal National Mortgage
Association 31,806 2,144,997
Moody's Corporation 30,000 1,581,300
Washington Mutual, Inc. 153,945 6,357,928
------------
18,597,678
------------
Forest Products & Paper--1.2%
International Paper
Company 150,268 5,369,076
Kimberly-Clark Corporation 40,259 2,099,104
------------
7,468,180
------------
Heavy Machinery--1.3%
Baker Hughes, Inc. 57,500 1,930,275
Black & Decker Corporation 40,000 1,738,000
Dover Corporation 55,000 1,647,800
Pall Corporation 120,000 2,700,000
------------
8,016,075
------------
Household Products--0.7%
Fortune Brands, Inc. 37,765 1,971,333
Illinois Tool Works, Inc. 38,900 2,561,565
------------
4,532,898
------------
87
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------
Vantagepoint
Equity Income Fund Shares Value
- -----------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------
Insurance--11.4%
Allstate Corporation 147,800 $ 5,269,070
American International
Group, Inc. 31,014 1,711,353
Aon Corporation 676,700 16,294,936
Chubb Corporation 33,000 1,980,000
Cigna Corporation 105,100 4,933,394
Fairfax Financial Holdings
Ltd. (Canada) 140,000 21,191,760
Hartford Financial Services
Group 118,400 5,962,624
John Hancock Financial
Services, Inc. 87,000 2,673,510
Lincoln National
Corporation 49,690 1,770,455
MGIC Investment
Corporation 102,900 4,799,256
UnumProvident Corporation 105,000 1,408,050
XL Capital Ltd. Class A
(Bermuda) 64,900 5,386,700
------------
73,381,108
------------
Lodging--5.1%
Hilton Hotels Corporation 1,319,000 16,870,010
Marriott International
Class A 373,000 14,330,660
Starwood Hotels & Resorts
Worldwide, Inc. 60,000 1,715,400
------------
32,916,070
------------
Media--Broadcasting & Publishing--7.9%
AOL Time Warner, Inc. * 205,000 3,298,450
Comcast Corporation
Class A * 80,875 2,440,807
Comcast Corporation
Special Class A * 524,000 15,106,920
Dow Jones & Company, Inc. 60,000 2,581,800
Hollinger International, 1,260,000 13,570,200
Inc.
Knight Ridder, Inc. 188,000 12,958,840
Reader's Digest Association 50,000 674,000
------------
50,631,017
------------
Medical Equipment & Supplies--1.1%
Baxter International, Inc. 227,600 5,917,600
Becton Dickinson &
Company 35,000 1,359,750
------------
7,277,350
------------
Metals & Mining--0.4%
Alcoa, Inc. 70,000 1,785,000
Hubbell, Inc. Class B 30,000 993,000
------------
2,778,000
------------
Office Equipment & Supplies--0.4%
Ikon Office Solutions, Inc. 239,000 2,127,100
Xerox Corporation * 51,000 540,090
------------
2,667,190
------------
Oil & Gas--6.9%
Amerada Hess Corporation 35,000 1,721,300
BP Amoco PLC ADR
(United Kingdom) 202,454 8,507,117
ChevronTexaco Corporation 148,850 10,746,970
ConocoPhillips 110,400 6,049,920
EnCana Corporation
(Canada) 92,300 3,541,551
Exxon Mobil Corporation 124,760 4,480,132
- -----------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------
Occidental Petroleum
Corporation 184,700 $ 6,196,685
Royal Dutch Petroleum
Company NY Shares
(Netherlands) 35,781 1,668,110
Unocal Corporation 50,000 1,434,500
------------
44,346,285
------------
Pharmaceuticals--4.0%
Abbott Laboratories 60,000 2,625,600
Bristol-Myers Squibb
Company 327,300 8,886,195
Merck & Company, Inc. 80,000 4,844,000
Schering-Plough
Corporation 398,700 7,415,820
Wyeth 43,947 2,001,786
------------
25,773,401
------------
Photographic Equipment &
Supplies--0.2%
Eastman Kodak Company 47,741 1,305,716
------------
Real Estate--0.6%
Crescent Real Estate
Equities Company REIT 100,000 1,661,000
Simon Property Group,
Inc. REIT 50,000 1,951,500
------------
3,612,500
------------
Restaurants--3.8%
McDonald's Corporation 170,000 3,750,200
Wendy's International, Inc. 149,000 4,316,530
Yum! Brands, Inc. * 555,000 16,405,800
------------
24,472,530
------------
Retailers--4.8%
Dollar General Corporation 246,200 4,495,612
J.C. Penney Company, Inc. 147,621 2,487,414
May Department Stores
Company 60,765 1,352,629
Neiman Marcus Group, Inc. * 201,500 6,951,750
Neiman Marcus Group, Inc.
Class A * 251,000 9,186,600
Nordstrom, Inc. 85,000 1,659,200
Sears, Roebuck & Company 89,500 3,010,780
Toys 'R' Us, Inc. * 135,000 1,636,200
------------
30,780,185
------------
Telecommunications--2.9%
Alltel Corporation 30,000 1,446,600
AT&T Corporation 60,000 1,155,000
Lucent Technologies, Inc. * 200,000 406,000
Nokia Corporation ADR
(Finland) 80,000 1,314,400
Qwest Communications
International, Inc. * 400,000 1,912,000
SBC Communications, Inc. 168,200 4,297,510
Sprint Corporation (FON
Group) 100,000 1,440,000
Verizon Communications 176,441 6,960,597
------------
18,932,107
------------
Transportation--3.9%
Burlington Northern Santa Fe 199,900 5,685,156
FedEx Corporation 237,000 14,701,110
Norfolk Southern
Corporation 84,540 1,623,168
Union Pacific Corporation 50,997 2,958,846
------------
24,968,280
------------
88
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------
Vantagepoint
Equity Income Fund Shares Value
- ---------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------
Utilities--4.5%
American Electric Power
Company, Inc. 83,800 $ 2,499,754
CenterPoint Energy, Inc. 379,800 3,095,370
Cinergy Corporation 141,400 5,202,106
Constellation Energy Group 50,000 1,715,000
Entergy Corporation 114,700 6,053,866
Firstenergy Corporation 41,000 1,576,450
NiSource, Inc. 100,000 1,900,000
Northeast Utilities 353,400 5,915,916
TXU Corporation 55,000 1,234,750
-----------
29,193,212
-----------
TOTAL COMMON STOCKS
(Cost $613,296,850) 618,079,910
-----------
- ---------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS--0.0%
- ---------------------------------------------------------------
Telecommunications--0.0%
Lucent Technologies, Inc.*
(Cost $175,000) 175 179,770
------------
- ---------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ---------------------------------------------------------------
COMMERCIAL PAPER--1.3%
- ---------------------------------------------------------------
Financial Services--1.3%
CDC Commercial Paper Corporation
1.080% 07/16/2003 $2,000,000 1,999,100
Falcon Asset Securitization Corporation
1.070% 07/25/2003 4,000,000 3,997,147
Morgan Stanley
0.950% 07/09/2003 1,600,000 1,599,662
Park Avenue Receivables Corporation
1.050% 07/23/2003 1,000,000 999,358
----------
TOTAL COMMERCIAL PAPER
(Cost $8,595,267) 8,595,267
----------
- ---------------------------------------------------------------
CASH EQUIVALENTS--7.7%
- ---------------------------------------------------------------
Institutional Money Market Funds--2.0%
BlackRock Tempcash Fund
1.101% 07/01/2003 + 7,058,453 7,058,453
Dreyfus Cash Management Plus Fund
1.102% 07/01/2003 + 1,547,906 1,547,906
Merrill Lynch Premier Institutional Fund
1.045% 07/01/2003 + 2,301,955 2,301,955
Merrimac Cash Fund-Premium Class
1.052% 07/01/2003 + 2,043,236 2,043,236
-----------
12,951,550
-----------
Bank & Certificate Deposits/Offshore
Time Deposits--2.9%
American Express Centurion Bank
1.260% 07/07/2003 + 928,744 928,744
Bank of Montreal
1.150% 07/09/2003 + 471,819 471,819
Bank of Nova Scotia
1.050% 08/29/2003 + 3,095,813 3,095,813
BNP Paribas
1.030% 07/21/2003 + 2,105,153 2,105,153
Credit Agricole Indosuez
0.940% 07/01/2003 + 1,238,325 1,238,325
Den Danske Bank
1.040% 07/24/2003 + 1,238,325 1,238,325
- ------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------
Den Danske Bank
1.040% 07/28/2003 + $3,714,975 $ 3,714,975
Harris Trust & Savings Bank
1.020% 07/30/2003 + 1,857,488 1,857,488
Royal Bank of Canada
1.031% 07/07/2003 + 1,300,241 1,300,241
Royal Bank of Scotland
1.125% 07/01/2003 + 2,476,650 2,476,650
------------
18,427,533
------------
Floating Rate Instruments/Master Notes--2.8%
Comerica Bank
1.073% 11/19/2003 + 619,163 619,163
Credit Suisse First Boston Corporation
1.415% 07/01/2003 + 6,191,625 6,191,625
Goldman Sachs Group Inc.
1.525% 07/02/2003 + 1,857,488 1,857,488
Goldman Sachs Group Inc.
1.210% 08/04/2003 + 1,238,325 1,238,325
Goldman Sachs Group Inc.
1.130% 09/17/2003 + 619,163 619,163
Liberty Lighthouse Funding
1.155% 01/15/2004 + 619,163 619,163
Merrill Lynch & Company, Inc.
1.615% 11/26/2003 + 619,163 619,163
Morgan Stanley
1.455% 01/29/2004 + 1,547,906 1,547,906
Morgan Stanley
1.425% 09/26/2003 + 309,581 309,581
Morgan Stanley
1.425% 12/16/2003 + 3,095,813 3,095,813
Parkland (USA) LLC
1.018% 11/26/2003 + 1,238,325 1,238,325
------------
17,955,715
------------
TOTAL CASH EQUIVALENTS
(Cost $49,334,798) 49,334,798
------------
- -------------------------------------------------------------
REPURCHASE AGREEMENTS--2.4%
- -------------------------------------------------------------
IBT Repurchase Agreement
dated 06/30/2003 due
07/01/2003, with a maturity
value of $15,144,231 and
an effective yield of
0.75% collateralized by
U.S. Government
Obligations with rates
ranging from 4.88% to
5.77%, maturity dates
ranging from 04/25/2016
to 03/01/2030 and an
aggregate market value
of $15,901,454. 15,143,915 15,143,915
------------
TOTAL INVESTMENTS^--107.6%
(Cost $686,545,830) 691,333,660
------------
Other assets less liabilities--(7.6%) (48,568,979)
------------
NET ASSETS--100.0% $642,764,681
============
Notes to the Schedule of Investments:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
* Non-income producing security.
+ Represents collateral received from securities lending transactions.
^ Fund has Securities on loan. See Note 6.
See accompanying notes to financial statements. 89
Schedule of Investments
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------
Vantagepoint Growth &
Income Fund Shares Value
- -----------------------------------------------------------------
COMMON STOCKS--95.6%
- -----------------------------------------------------------------
Advertising--0.5%
Interpublic Group, Inc. 53,400 $ 714,492
Monster Worldwide, Inc. * 60,800 1,199,584
Omnicom Group 12,000 860,400
------------
2,774,476
------------
Aerospace & Defense--0.1%
Raytheon Company 18,100 594,404
------------
Airlines--0.4%
Southwest Airlines, Inc. 140,300 2,413,160
------------
Automotive--0.2%
General Motors Corporation
Class H * 41,000 525,210
Navistar International
Corporation * 22,800 743,964
------------
1,269,174
------------
Banking--8.5%
Bank of America
Corporation 116,600 9,214,898
Bank of New York
Company, Inc. 28,000 805,000
Bank One Corporation 149,200 5,547,256
Comerica, Inc. 36,800 1,711,200
Fifth Third Bancorp 15,350 880,169
Fleet Boston Financial
Corporation 20,000 594,200
Golden West Financial
Corporation 1,900 152,019
J.P. Morgan Chase &
Company 117,000 3,999,060
Mellon Financial
Corporation 70,000 1,942,500
National City Corporation 163,300 5,341,543
Northern Trust Corporation 14,000 585,060
PNC Financial Services
Group 32,900 1,605,849
SLM Corporation 167,700 6,568,809
State Street Corporation 78,000 3,073,200
U.S. Bancorp 50,000 1,225,000
Wells Fargo & Company 154,300 7,776,720
------------
51,022,483
------------
Beverages, Food & Tobacco--3.0%
Altria Group, Inc. 90,503 4,112,456
Anheuser Busch
Companies, Inc. 9,684 494,368
Campbell Soup Company 63,000 1,543,500
Coca Cola Company 55,000 2,552,550
General Mills, Inc. 20,000 948,200
Heinz HJ Company 14,000 461,720
Kellogg Company 80,200 2,756,474
PepsiCo, Inc. 115,200 5,126,400
------------
17,995,668
------------
Building Materials--1.0%
Home Depot, Inc. 86,000 2,848,320
Lowe's Companies, Inc. 78,700 3,380,165
------------
6,228,485
------------
Chemicals--1.0%
Air Products &
Chemicals, Inc. 38,800 1,614,080
Du Pont (E.I.) de Nemours 103,300 4,301,412
------------
5,915,492
------------
- ----------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------
Commercial Services--0.9%
Concord EFS, Inc.
* 9,000 $ 132,480
Fluor Corporation 48,100 1,618,084
Paychex, Inc. 30,000 879,300
Republic Services, Inc. * 82,400 1,868,008
Robert Half
International, Inc. * 43,000 814,420
------------
5,312,292
------------
Computer Software &
Processing--3.9%
Adobe Systems, Inc. 30,000 962,100
Automatic Data
Processing, Inc. 106,900 3,619,634
Cadence Design
Systems, Inc. * 48,800 588,528
CheckFree Corporation * 63,500 1,767,840
First Data Corporation 88,000 3,646,720
Fiserv, Inc. * 20,000 712,200
Macromedia, Inc. * 22,900 481,816
Microsoft Corporation 366,800 9,393,748
Oracle Corporation * 65,000 781,300
SAP AG ADR (Germany) 31,900 932,118
Veritas Software
Corporation * 30,000 860,100
------------
23,746,104
------------
Computers &
Information--4.4%
Apple Computer, Inc. * 17,800 340,336
Cisco Systems, Inc. * 426,200 7,113,278
Dell Computer Corporation * 70,000 2,237,200
Hewlett-Packard Company 202,073 4,304,155
Intel Corporation 284,800 5,919,283
International Business
Machines Corporation 29,300 2,417,250
Lexmark International
Group, Inc. * 20,000 1,415,400
Sabre Holdings Corporation 40,700 1,003,255
Seagate Technology, Inc.
(Cayman Islands) 16,500 291,225
Thomson Corporation
(Canada) 16,700 525,215
Verisign, Inc. * 85,700 1,185,231
------------
26,751,828
------------
Cosmetics & Personal
Care--0.7%
Avon Products, Inc. 7,500 466,500
Colgate-Palmolive Company 22,000 1,274,900
Estee Lauder Companies
Class A 25,200 844,956
Procter & Gamble Company 22,000 1,961,960
------------
4,548,316
------------
Diversified--2.9%
3M Company 7,000 902,860
Berkshire Hathaway, Inc.
Class A * 38 2,755,000
General Electric Company 293,900 8,429,052
Tyco International Ltd. 300,200 5,697,796
------------
17,784,708
------------
Education--0.2%
Apollo Group, Inc. Class A * 20,000 1,235,200
------------
Electric Utilities--1.1%
Exelon Corporation 64,600 3,863,726
Pinnacle West Capital
Corporation 10,900 408,205
Progress Energy, Inc. 53,900 2,366,210
------------
6,638,141
------------
90
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------
Vantagepoint Growth &
Income Fund Shares Value
- -----------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------
Electronics--4.7%
Agilent Technologies, Inc. * 106,314 $ 2,078,439
Altera Corporation * 109,300 1,792,520
Analog Devices, Inc. * 55,000 1,915,100
Applied Micro Circuits
Corporation * 92,600 560,230
Emerson Electric Company 76,800 3,924,480
Linear Technology
Corporation 21,600 695,736
Maxim Integrated
Products, Inc. 82,000 2,803,580
Novellus System, Inc. * 15,400 563,963
PMC-Sierra, Inc. * 66,100 775,353
Polycom, Inc. * 52,500 727,650
Qualcomm, Inc. 121,200 4,332,900
Teradyne, Inc. * 285,800 4,947,198
Texas Instruments, Inc. 65,000 1,144,000
Xilinx, Inc. * 80,800 2,045,048
------------
28,306,197
------------
Entertainment & Leisure--0.9%
Carnival Corporation 82,600 2,685,326
The Walt Disney Company 132,200 2,610,950
------------
5,296,276
------------
Financial Services--9.6%
American Express Company 20,000 836,200
AmeriCredit Corporation * 71,600 612,180
Charles Schwab Corporation 40,000 403,600
Citigroup, Inc. 452,012 19,346,114
Federal Home Loan
Mortgage Corporation 108,900 5,528,853
Federal National Mortgage
Association 98,700 6,656,328
Franklin Resources, Inc. 10,000 390,700
Goldman Sachs Group, Inc.
(The) 84,600 7,085,250
Indymac Mortgage Holdings 34,500 876,990
Legg Mason, Inc. 19,000 1,234,050
Lehman Brothers, Inc. 5,000 332,400
Merrill Lynch & Company, 20,000 933,600
Inc.
Morgan Stanley 50,400 2,154,600
Washington Mutual, Inc. 278,000 11,481,400
------------
57,872,265
------------
Forest Products & Paper--1.1%
Bowater, Inc. 22,200 831,390
Kimberly-Clark Corporation 36,600 1,908,324
Weyerhaeuser Company 67,700 3,655,800
------------
6,395,514
------------
Health Care Providers--1.2%
HCA, Inc. 30,000 961,200
Lincare Holdings, Inc. * 26,600 838,166
UnitedHealth Group, Inc. 110,000 5,527,500
------------
7,326,866
------------
Heavy Machinery--3.2%
American Standard
Companies, Inc. * 18,900 1,397,277
Applied Materials, Inc. * 458,500 7,271,810
Baker Hughes, Inc. 118,300 3,971,331
Caterpillar, Inc. 57,200 3,183,752
Ingersoll-Rand Company
Class A 17,300 818,636
United Technologies
Corporation 36,200 2,564,046
------------
19,206,852
------------
- ----------------------------------------------------------------
Shares Value
- ----------------------------------------------------------------
Household Products--0.5%
Illinois Tool Works, Inc. 43,300 $ 2,851,305
------------
Insurance--5.5%
ACE Ltd. (Bermuda) 76,800 2,633,472
American International
Group, Inc. 70,900 3,912,262
Chubb Corporation 63,900 3,834,000
Cigna Corporation 47,100 2,210,874
Everest Re Group Ltd.
(Bermuda) 10,200 780,300
Hartford Financial Services
Group 90,400 4,552,544
Marsh & McLennan
Companies, Inc. 82,300 4,203,061
PMI Group, Inc. 29,200 783,728
PartnerRe Ltd. (Bermuda) 5,100 260,661
St. Paul Companies, Inc. 82,500 3,012,075
Stancorp Financial
Group, Inc. 42,000 2,193,240
Travelers Property Casualty
Corporation Class A 70,000 1,113,000
Wellpoint Health Networks * 20,000 1,686,000
XL Capital Ltd. Class A
(Bermuda) 24,300 2,016,900
------------
33,192,117
------------
Lodging--0.1%
Starwood Hotels & Resorts
Worldwide, Inc. 21,400 611,826
------------
Media--Broadcasting & Publishing--5.5%
AOL Time Warner, Inc. * 518,000 8,334,620
Cablevision Systems
Corporation * 146,481 3,040,946
Clear Channel
Communications * 70,000 2,967,300
Comcast Corporation
Class A * 15,500 467,790
Comcast Corporation
Special Class A * 173,500 5,002,005
Cox Communications, Inc.
Class A * 47,200 1,505,680
Entercom Communications
Corporation * 2,300 112,723
InterActiveCorp * 129,200 5,112,444
Knight Ridder, Inc. 7,300 503,189
Liberty Media Corporation
Class A * 114,088 1,318,857
Radio One, Inc. * 5,600 99,512
Viacom, Inc. Class B * 104,800 4,575,568
------------
33,040,634
------------
Medical Equipment &
Supplies--4.4%
Allergan, Inc. 80,900 6,237,390
Applied Biosystems Group-
Applera Corporation 92,600 1,762,178
Bard C.R., Inc. 27,200 1,939,632
Baxter International, Inc. 30,000 780,000
Beckman Coulter, Inc. 81,300 3,304,032
Becton Dickinson &
Company 25,100 975,135
Biomet, Inc. 20,000 573,200
Credence Systems
Corporation * 20,900 177,023
Guidant Corporation 25,877 1,148,680
Johnson & Johnson 75,000 3,877,500
KLA-Tencor Corporation * 75,600 3,514,644
Medtronics, Inc. 42,400 2,033,928
------------
26,323,342
------------
91
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------
Vantagepoint Growth &
Income Fund Shares Value
- -----------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------
Metals & Mining--1.5%
Alcoa, Inc. 77,300 $ 1,971,150
Danaher Corporation 50,000 3,402,500
Newmont Mining
Corporation 17,000 551,820
Nucor Corporation 60,700 2,965,195
------------
8,890,665
------------
Oil & Gas--8.5%
Ashland, Inc. 100,700 3,089,476
BJ Services Company * 38,000 1,419,680
ChevronTexaco Corporation 77,600 5,602,720
ConocoPhillips 52,300 2,866,040
Equitable Resources, Inc. 11,600 472,584
Exxon Mobil Corporation 408,500 14,669,235
Global Santa Fe
Corporation 122,200 2,852,148
Kinder Morgan
Management LLC * 44,484 1,666,371
Kinder Morgan, Inc. 26 1,421
National Fuel Gas Company 81,600 2,125,680
Royal Dutch Petroleum
Company NY Shares
(Netherlands) 47,800 2,228,436
Schlumberger Ltd. 74,000 3,520,180
Shell Transport & Trading
Company ADR (United
Kingdom) 104,400 4,160,340
Smith International, Inc. * 25,000 918,500
Transocean, Inc. * 12,800 281,216
Unocal Corporation 93,500 2,682,515
Weatherford International
Ltd. * 38,300 1,604,770
Williams Companies, Inc. 119,400 943,260
------------
51,104,572
------------
Pharmaceuticals--8.3%
Abbott Laboratories 46,000 2,012,960
AmerisourceBergen
Corporation 11,000 762,850
Amgen, Inc. * 47,500 3,155,900
AstraZeneca Group PLC
ADR (United Kingdom) 204,200 8,325,234
Bristol-Myers Squibb
Company 10,000 271,500
Cardinal Health, Inc. 22,000 1,414,600
Eli Lilly & Company 47,000 3,241,590
Forest Laboratories, Inc. * 123,400 6,756,150
Genentech, Inc. * 11,300 814,956
IDEC Pharmaceuticals
Corporation * 19,000 646,000
MedImmune, Inc. * 16,000 581,920
Merck & Company, Inc. 1,000 60,550
Millennium
Pharmaceuticals, Inc. * 23,600 371,228
Pfizer, Inc. 500,286 17,084,767
Schering-Plough
Corporation 56,700 1,054,620
Wyeth 75,000 3,416,250
------------
49,971,075
------------
Real Estate--0.1%
Archstone-Smith Trust REIT 25,400 609,600
------------
Restaurants--0.4%
McDonald's Corporation 122,200 2,695,732
------------
- -----------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------
Retailers--3.6%
Amazon.com, Inc. * 24,000 $ 875,760
AutoNation, Inc. * 155,100 2,438,172
Best Buy Company, Inc. * 22,000 966,240
CVS Corporation 118,900 3,332,767
Costco Wholesale
Corporation * 55,000 2,013,000
Dollar General Corporation 41,900 765,094
Ebay, Inc. * 18,500 1,927,330
Kohls Corporation * 20,000 1,027,600
RadioShack Corporation 29,500 776,145
Target Corporation 55,000 2,081,200
Walgreen Company 20,000 602,000
Wal-Mart Stores, Inc. 79,700 4,277,499
Williams-Sonoma, Inc. * 31,900 931,480
------------
22,014,287
------------
Telecommunications--5.3%
AT&T Corporation 172,780 3,326,015
BellSouth Corporation 140,700 3,746,841
Nokia Corporation ADR
(Finland) 236,000 3,877,480
SBC Communications, Inc. 293,100 7,488,705
Sprint Corporation
(FON Group) 264,800 3,813,120
Sprint Corporation
(PCS Group) * 441,600 2,539,200
Verizon Communications 133,200 5,254,740
Vodafone Group PLC ADR
(United Kingdom) 115,000 2,259,750
------------
32,305,851
------------
Textiles, Clothing &
Fabrics--0.3%
Nike, Inc. Class B 35,100 1,877,499
------------
Transportation--0.7%
CSX Corporation 77,600 2,334,984
Canadian National Railway
Company (Canada) 11,500 554,990
United Parcel Service, Inc.
Class B 20,000 1,274,000
------------
4,163,974
------------
Utilities--1.4%
AES Corporation * 216,000 1,371,600
American Electric Power
Company, Inc. 21,200 632,396
Dominion Resources, Inc. 43,050 2,766,823
Duke Energy Corporation 34,300 684,285
NiSource, Inc. 22,400 425,600
PPL Corporation 22,000 946,000
Scana Corporation 42,600 1,460,328
------------
8,287,032
------------
TOTAL COMMON STOCKS
(Cost $569,637,665) 576,573,412
------------
- -----------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS--0.1%
- -----------------------------------------------------------------
Metals & Mining--0.1%
Phelps Dodge Corporation
(Cost $557,932) 6,000 594,000
------------
- -----------------------------------------------------------------
PREFERRED STOCKS--0.1%
- -----------------------------------------------------------------
Automotive--0.1%
Ford Capital Trust II, 6.50% Conv Pfd
(Cost $515,718) 10,000 434,500
------------
92
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint Growth &
Income Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
Retailers--0.2%
Amazon.com, Inc.
4.750% 02/01/2009
(Cost $799,717) $1,100,000 $ 1,046,375
- --------------------------------------------------------------------------------
COMMERCIAL PAPER--2.2%
- --------------------------------------------------------------------------------
Chemicals--0.2%
Basf Aktiengesellschaf
1.200% 08/05/2003 1,000,000 998,833
------------
Financial Services--1.2%
Falcon Asset Securitization Corporation
1.070% 07/25/2003 1,000,000 999,287
Giro Multi-Funding Corporation
1.000% 07/21/2003 3,000,000 2,998,333
Morgan Stanley
0.950% 07/09/2003 1,600,000 1,599,662
Park Avenue Receivables Corporation
1.100% 07/10/2003 1,500,000 1,499,587
------------
7,096,869
------------
Metals & Mining--0.2%
Rio Tinto America, Inc.
1.120% 07/07/2003 1,000,000 999,814
------------
Special Purpose Entity--0.6%
Atlantic Asset Security Corporation
1.070% 07/21/2003 4,000,000 3,997,622
------------
TOTAL COMMERCIAL PAPER
(Cost $13,093,138) 13,093,138
------------
- --------------------------------------------------------------------------------
CASH EQUIVALENTS--8.5%
- --------------------------------------------------------------------------------
Institutional Money Market Funds--2.2%
BlackRock Tempcash Fund
1.101% 07/01/2003 + 7,314,545 7,314,545
Dreyfus Cash Management Plus Fund
1.102% 07/01/2003 + 1,604,067 1,604,067
Merrill Lynch Premier Institutional Fund
1.045% 07/01/2003 + 2,385,474 2,385,474
Merrimac Cash Fund-Premium Class
1.052% 07/01/2003 + 2,117,368 2,117,368
------------
13,421,454
------------
Bank & Certificate Deposits/Offshore
Time Deposits--3.2%
American Express Centurion Bank
1.260% 07/07/2003 + 962,440 962,440
Bank of Montreal
1.150% 07/09/2003 + 488,937 488,937
Bank of Nova Scotia
1.050% 08/29/2003 + 3,208,134 3,208,134
BNP Paribas
1.030% 07/21/2003 + 2,181,531 2,181,531
Credit Agricole Indosuez
0.940% 07/01/2003 + 1,283,254 1,283,253
Den Danske Bank
1.040% 07/24/2003 + 1,283,254 1,283,253
Den Danske Bank
1.040% 07/28/2003 + 3,849,761 3,849,761
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Harris Trust & Savings Bank
1.020% 07/30/2003 + $1,924,880 $ 1,924,880
Royal Bank of Canada
1.031% 07/07/2003 + 1,347,416 1,347,416
Royal Bank of Scotland
1.125% 07/01/2003 + 2,566,507 2,566,507
------------
19,096,112
------------
Floating Rate Instruments/Master Notes--3.1%
Comerica Bank
1.073% 11/19/2003 + 641,627 641,627
Credit Suisse First Boston Corporation
1.415% 07/01/2003 + 6,416,268 6,416,268
Goldman Sachs Group Inc.
1.525% 07/02/2003 + 1,924,880 1,924,880
Goldman Sachs Group Inc.
1.210% 08/04/2003 + 1,283,254 1,283,254
Goldman Sachs Group Inc.
1.130% 09/17/2003 + 641,627 641,627
Liberty Lighthouse Funding
1.155% 01/15/2004 + 641,627 641,627
Merrill Lynch & Company, Inc.
1.615% 11/26/2003 + 641,627 641,627
Morgan Stanley
1.455% 01/29/2004 + 1,604,067 1,604,067
Morgan Stanley
1.425% 09/26/2003 + 320,813 320,813
Morgan Stanley
1.425% 12/16/2003 + 3,208,134 3,208,134
Parkland (USA) LLC
1.018% 11/26/2003 + 1,283,254 1,283,254
------------
18,607,178
------------
TOTAL CASH EQUIVALENTS
(Cost $51,124,744)
51,124,744
------------
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.0%
- --------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 06/30/2003 due
07/01/2003, with a maturity
value of $12,169,290 and
an effective yield of
0.75% collateralized by
U.S. Government
Obligations with rates
ranging from 3.63% to
4.63%, maturity dates
ranging from 10/01/2024
to 5/25/2027 and an
aggregate market value
of $12,777,559.
12,169,036 12,169,036
------------
TOTAL INVESTMENTS^--108.7%
(Cost $647,897,950) 655,035,205
Other assets less liabilities--(8.7%)
(52,232,276)
------------
NET ASSETS--100.0%
$602,802,929
============
Notes to the Schedule of Investments:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
* Non-income producing security.
+ Represents collateral received from securities lending transactions.
^ Fund has Securities on loan. See Note 6.
See accompanying notes to financial statements. 93
Schedule of Investments
June 30, 2003 (Unaudited)
- --------------------------------------------------------------
Vantagepoint
Growth Fund Shares Value
- --------------------------------------------------------------
COMMON STOCKS--97.3%
- --------------------------------------------------------------
Advertising--0.3%
DST Systems, Inc. * 92,100 $ 3,499,800
DoubleClick, Inc. * 330,271 3,055,007
Getty Images, Inc. * 2,700 111,510
Interpublic Group, Inc. 2,806 37,544
Monster Worldwide, Inc. * 804 15,863
Omnicom Group 1,360 97,512
WPP Group PLC (United
Kingdom) 19,200 769,344
--------------
7,586,580
--------------
Aerospace & Defense--0.4%
Boeing Company 6,065 208,151
General Dynamics
Corporation 1,424 103,240
Honeywell International, Inc. 6,191 166,228
Lockheed Martin
Corporation 189,648 9,021,555
Northrop Grumman
Corporation 1,319 113,816
Raytheon Company 2,963 97,305
Rockwell Collins, Inc. 1,282 31,576
Textron, Inc. 973 37,966
--------------
9,779,837
--------------
Airlines--0.1%
AMR Corporation * 67,100 738,100
Alaska Air Group, Inc. * 6,200 132,990
Continental Airlines,
Inc. Class B * 14,900 223,053
Delta Air Lines, Inc. 890 13,065
Northwest Airlines
Corporation * 13,900 156,931
Southwest Airlines, Inc. 88,922 1,529,458
--------------
2,793,597
--------------
Apparel Retailers--0.0%
Urban Outfitters, Inc. * 22,400 804,160
--------------
Automotive--1.3%
Coachmen Industries, Inc. 72,900 871,155
Cooper Tire & Rubber
Company 531 9,340
Dana Corporation 1,067 12,335
Delphi Corporation 4,035 34,822
Ford Motor Company 140,299 1,541,886
General Motors
Corporation 4,047 145,692
General Motors
Corporation Class H * 45,800 586,698
Genuine Parts Company 1,253 40,109
Goodyear Tire & Rubber
Company 1,274 6,688
Harley-Davidson, Inc. 97,180 3,873,595
ITT Industries, Inc. 662 43,335
Johnson Controls, Inc. 643 55,041
Navistar International
Corporation * 30,994 1,011,334
Thor Industries, Inc. 327,680 13,375,898
Visteon Corporation 944 6,485
Wabash National
Corporation * 9,600 134,688
Winnebago Industries,
Inc. 193,500 7,333,650
--------------
29,082,751
--------------
- --------------------------------------------------------------
Shares Value
- --------------------------------------------------------------
Banking--3.6%
Amsouth Bancorp 2,533 $ 55,321
BB&T Corporation 3,398 116,551
Bank of America
Corporation 10,807 854,077
Bank of New York
Company, Inc. 5,564 159,965
Bank One Corporation 8,242 306,438
Capital One Financial
Corporation 1,634 80,360
Charter One Financial, 1,622 50,574
Inc.
Comerica, Inc. 1,263 58,729
Fifth Third Bancorp 133,243 7,640,154
First Tennessee National
Corporation 55,513 2,437,576
Fleet Boston Financial
Corporation 7,587 225,410
Golden West Financial
Corporation 1,101 88,091
Huntington Bancshares, Inc. 1,652 32,247
J.P. Morgan Chase &
Company 14,653 500,840
KeyCorp 3,048 77,023
MBNA Corporation 9,221 192,166
Marshall & Ilsley
Corporation 1,636 50,029
Mellon Financial
Corporation 3,111 86,330
National City Corporation 4,411 144,284
North Fork
Bancorporation, Inc. 1,132 38,556
Northern Trust 6,089 254,459
Corporation
PNC Financial
Services Group 2,039 99,524
Regions Financial
Corporation 1,604 54,183
Safeco Corporation 997 35,174
SLM Corporation 159,561 6,250,004
Southtrust Corporation 2,456 66,803
State Street Corporation 144,197 5,681,362
Suntrust Banks, Inc. 2,021 119,926
Synovus Financial
Corporation 2,188 47,042
U.S. Bancorp 13,851 339,349
Union Planters
Corporation 1,431 44,404
Wachovia Corporation 9,705 387,812
Wells Fargo & Company 1,097,185 55,298,124
Zions Bancorporation 650 32,896
--------------
81,905,783
--------------
Beverages, Food &
Tobacco--4.1%
Adolph Coor Company
Class B 263 12,882
Altria Group, Inc. 14,608 663,788
Anheuser Busch
Companies, Inc. 745,120 38,038,376
Archer-Daniels-Midland
Company 4,644 59,768
Brown Forman Corporation
Class B 434 34,121
Bunge Ltd. 6,300 180,180
Campbell Soup Company 2,959 72,495
Coca Cola Company 17,771 824,752
Coca Cola Enterprises,
Inc. 3,264 59,242
Conagra, Inc. 3,872 91,379
Constellation Brands,
Inc. * 73,000 2,292,200
General Mills, Inc. 2,664 126,300
94
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------
Vantagepoint
Growth Fund Shares Value
- --------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------
Heinz HJ Company 415,134 $ 13,691,119
Hershey Foods Corporation 947 65,968
Kellogg Company 2,931 100,738
Kroger Company * 5,446 90,839
McCormick & Company, Inc. 1,002 27,254
Pepsi Bottling Group,
Inc. (The) 1,981 39,660
PepsiCo, Inc. 711,695 31,670,427
R.J. Reynolds Tobacco
Holdings, Inc. 608 22,624
Sara Lee Corporation 5,606 105,449
Supervalu, Inc. 965 20,574
Sysco Corporation 164,087 4,929,173
Tootsie Roll Industries,
Inc. 10,501 320,175
UST, Inc. 1,205 42,211
WM Wrigley Jr. Company 1,623 91,261
--------------
93,672,955
--------------
Bio-Technology--0.3%
Chiron Corporation * 117,444 5,134,652
Protein Design Labs, Inc. * 68,000 950,640
--------------
6,085,292
--------------
Building Materials--3.2%
Fastenal Company 294,778 10,004,765
Home Depot, Inc. 1,081,376 35,815,173
Louisiana Pacific
Corporation * 757 8,206
Lowe's Companies, Inc. 619,724 26,617,146
Vulcan Materials Company 734 27,209
Watts Industries, Inc.
Class A 1,800 32,130
--------------
72,504,629
--------------
Chemicals--0.2%
Air Products &
Chemicals, Inc. 1,638 68,141
Airgas, Inc. 265,310 4,443,942
Avery-Dennison
Corporation 798 40,060
BF Goodrich Company 851 17,871
Clorox Company 1,565 66,747
Dow Chemical
Company (The) 6,606 204,522
Du Pont (E.I.) de Nemours 7,186 299,225
Eastman Chemical
Company 559 17,704
Engelhard Corporation 909 22,516
Great Lakes Chemical
Corporation 360 7,344
Hercules, Inc. * 787 7,791
International Flavors &
Fragrances 675 21,553
Praxair, Inc. 1,171 70,377
Rohm & Haas Company 1,604 49,772
Tupperware Corporation 422 6,060
--------------
5,343,625
--------------
Commercial Services--2.4%
Allied Waste Industries,
Inc. * 1,509 15,165
BISYS Group, Inc. * 134,700 2,474,439
Cendant Corporation * 7,351 134,670
Cintas Corporation 329,929 11,692,684
Concord EFS, Inc. * 289,914 4,267,534
Convergys Corporation * 1,064 17,024
Corinthian Colleges, Inc. * 3,700 179,709
Deluxe Corporation 397 17,786
- --------------------------------------------------------------
Shares Value
- --------------------------------------------------------------
Dyax Corporation * 4,100 $ 16,728
Equifax, Inc. 162,715 4,230,590
Fluor Corporation 588 19,780
Halliburton Company 3,151 72,473
Hewitt Associates, Inc.,
Class A * 12,000 282,600
John H. Harland Company 29,700 776,952
Landauer, Inc. 15,700 656,731
Monsanto Company 1,883 40,748
Paychex, Inc. 603,664 17,693,392
Quintiles Transnational
Corporation * 854 12,118
Republic Services, Inc. * 2,800 63,476
Reuters Group PLC ADR
(United Kingdom) 8,200 144,156
Robert Half
International, Inc. * 456,924 8,654,141
Rollins, Inc. 7,900 148,915
RR Donnelley & Sons
Company 818 21,383
Ryder System, Inc. 453 11,606
Stericycle, Inc. * 3,900 150,072
Sylvan Learning
Systems, Inc. * 1,200 27,408
Waste Management, Inc. 120,464 2,901,978
Zenon Environmental, Inc.
(Canada) 14,000 147,907
--------------
54,872,165
--------------
Communications--0.3%
ADC Telecommunications,
Inc. * 611,579 1,423,756
Advanced Fibre
Communications, Inc. * 19,800 322,146
Andrew Corporation * 285,203 2,623,868
Avaya, Inc. * 2,742 17,713
JDS Uniphase Corporation * 10,308 36,181
Network Appliance, Inc. * 2,444 39,617
Nextel Communications,
Inc. Class A * 76,013 1,374,315
Plantronics, Inc. * 19,000 411,730
Research In Motion Ltd.
(Canada) * 14,700 317,667
SBA Communications
Corporation * 29,400 89,376
Scientific Atlanta, Inc. 6,577 156,796
Tellabs, Inc. * 2,975 19,546
Westell Technologies,
Inc. * 76,200 659,130
Western Wireless
Corporation Class A * 11,100 127,983
--------------
7,619,824
--------------
Computer Software &
Processing--8.5%
Adobe Systems, Inc. 46,375 1,487,246
Anteon International
Corporation * 7,500 209,325
Aspen Technologies, Inc. * 3,700 17,760
At Road, Inc. * 28,600 312,312
Autodesk, Inc. 807 13,041
Automatic Data
Processing, Inc. 748,917 25,358,195
BMC Software, Inc. * 1,680 27,434
CNET Networks, Inc. * 54,400 338,912
Cadence Design
Systems, Inc. * 478,700 5,773,122
CheckFree Corporation * 10,000 278,400
Citrix Systems, Inc. * 1,195 24,330
Cognizant Technology
Solutions Corporation * 13,000 316,680
95
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------
Vantagepoint
Growth Fund* Shares Value
- --------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------
Computer Associates
International, Inc. 4,173 $ 92,974
Compuware Corporation * 2,729 15,746
Electronic Arts, Inc. * 1,051 77,763
Electronic Data Systems
Corporation 3,451 74,024
First Data Corporation 860,397 35,654,852
Fiserv, Inc. * 682,595 24,307,208
GTECH Holdings
Corporation * 27,900 1,050,435
Intuit, Inc. * 159,480 7,101,644
Jack Henry &
Associates, Inc. 117,203 2,085,041
Mentor Graphics
Corporation * 226,300 3,276,824
Mercury Interactive
Corporation * 617 23,822
Micromuse, Inc. * 89,214 712,820
Microsoft Corporation 2,350,121 60,186,599
Microstrategy, Inc.
Class A * 7,900 287,797
NCR Corporation * 62,689 1,606,092
Novell, Inc. * 2,639 8,128
NVIDIA Corporation * 1,145 26,346
Oracle Corporation * 130,527 1,568,935
Parametric Technology
Corporation * 1,889 5,761
PeopleSoft, Inc. * 2,287 40,228
RSA Security, Inc. * 29,600 318,200
RealNetworks, Inc. * 325,000 2,203,500
Red Hat, Inc. * 16,200 122,634
SAP AG ADR (Germany) 66,900 1,954,818
Siebel Systems, Inc. * 3,532 33,695
Sonus Networks, Inc. * 80,400 404,412
Sun Microsystems, Inc. * 542,200 2,494,120
Sungard Data Systems,
Inc. * 222,450 5,763,679
Sycamore Networks, Inc. * 203,930 781,052
Symantec Corporation * 1,065 46,711
Total System Services,
Inc. 13,200 294,360
Unisys Corporation * 2,365 29,042
Veritas Software
Corporation * 229,494 6,579,593
--------------
193,385,612
--------------
Computers & Information--9.8%
Apple Computer, Inc. * 2,641 50,496
Cisco Systems, Inc. * 2,284,736 38,132,244
Computer Sciences
Corporation * 1,350 51,462
Comverse Technology, Inc. * 20,158 302,975
Dell Computer Corporation * 815,129 26,051,523
Diebold, Inc. 20,300 877,975
EMC Corporation * 1,378,183 14,429,576
Emulex Corporation * 934,100 21,269,457
Foundry Networks, Inc. * 251,900 3,627,360
Gateway, Inc. * 2,320 8,468
Hewlett-Packard Company 22,023 469,090
Hutchinson Technology,
Inc. * 6,100 200,629
IMS Health, Inc. 191,550 3,445,984
Intel Corporation 2,026,639 42,121,665
International Business
Machines Corporation 512,766 42,303,195
International Game
Technology * 100,816 10,316,501
Jabil Circuit, Inc. * 239,233 5,287,049
Juniper Networks, Inc. * 414,300 5,124,891
Keane, Inc. * 8,200 111,766
Lexmark International
Group, Inc. * 920 65,108
- --------------------------------------------------------------
Shares Value
- --------------------------------------------------------------
Micron Technology, Inc. * 85,886 $ 998,854
Micros Systems, Inc. * 2,900 95,642
Netscreen Technologies,
Inc. * 7,400 166,870
Pitney Bowes, Inc. 1,688 64,836
Sabre Holdings 35,834 883,308
Corporation
SanDisk Corporation * 42,000 1,694,700
Storage Technology
Corporation * 20,500 527,670
Symbol Technologies, Inc. 1,664 21,649
Verisign, Inc. * 19,900 275,217
Yahoo!, Inc. * 97,752 3,202,356
--------------
222,178,516
--------------
Construction--0.1%
Centex Corporation 449 34,928
Clayton Homes, Inc. 180,100 2,260,255
Dycom Industries, Inc. * 3,700 60,310
KB Home 344 21,321
Martin Marietta
Materials, Inc. 15,300 514,233
McDermott International,
Inc. * 483 3,057
Pulte Corporation 440 27,130
--------------
2,921,234
--------------
Containers &
Packaging--0.0%
Ball Corporation 410 18,659
Bemis Company 384 17,971
Pactiv Corporation * 42,347 834,659
Sealed Air Corporation * 610 29,073
--------------
900,362
--------------
Cosmetics & Personal
Care--1.4%
Alberto Culver Company
Class B 422 21,564
Avon Products, Inc. 1,693 105,305
Colgate-Palmolive Company 3,883 225,020
Ecolab, Inc. 1,898 48,589
Gillette Company 7,368 234,744
Procter & Gamble Company 352,340 31,421,681
--------------
32,056,903
--------------
Diversified--1.9%
3M Company
2,819 363,595
General Electric Company 1,090,099 31,264,039
Hillenbrand Industries,
Inc. 190,900 9,630,905
Li & Fung Ltd. (Hong
Kong) 664,000 855,741
Loews Corporation 1,337 63,227
Newell Rubbermaid, Inc. 1,978 55,384
PerkinElmer, Inc. 27,505 379,844
Temple Inland, Inc. 391 16,778
Tyco International Ltd. 14,408 273,464
--------------
42,902,977
--------------
Education--0.3%
Apollo Group, Inc.
Class A * 1,262 77,941
Career Education
Corporation * 10,400 711,568
DeVry, Inc. * 254,400 5,924,976
--------------
6,714,485
--------------
Electric Utilities--0.1%
Allegheny Energy, Inc. 58,300 492,635
Exelon Corporation 2,340 139,955
Huaneng Power
International, Inc. ADR
(China) 9,100 424,060
Mirant Corporation * 62,592 181,517
96
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -------------------------------------------------------------
Vantagepoint
Growth Fund Shares Value
- -------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------
Pinnacle West Capital
Corporation 660 $ 24,717
Progress Energy, Inc. 1,738 76,298
Reliant Resources, Inc. * 266,400 1,633,032
TECO Energy, Inc. 1,269 15,215
Xcel Energy, Inc. 2,872 43,195
--------------
3,030,624
--------------
Electrical Equipment--0.1%
Baldor Electric Company 22,700 467,620
Cooper Industries Ltd.
Class A 21,074 870,356
Leica Geosystems AG
(Switzerland) 3,931 311,869
--------------
1,649,845
--------------
Electronics--5.0%
ASM Lithography Holdings
NV (Netherlands) * 17,000 162,520
Advanced Micro
Devices, Inc. * 2,485 15,929
Agilent Technologies,
Inc. * 3,403 66,529
Altera Corporation * 304,659 4,996,408
American Power
Conversion Corporation * 1,419 22,122
Analog Devices, Inc. * 273,534 9,524,454
Applied Micro Circuits
Corporation * 2,183 13,207
Atmel Corporation * 80,400 203,412
Broadcom Corporation
Class A * 166,923 4,158,052
Celestica, Inc. (Canada) * 222,420 3,505,339
Cypress Semiconductor
Corporation * 53,800 645,600
Emerson Electric Company 3,036 155,140
Flextronics International
Ltd. (Singapore) * 266,200 2,765,818
FLIR Systems, Inc. * 60,400 1,821,060
Garmin Ltd. (Cayman
Islands) * 320,020 12,759,197
Harman International
Industries, Inc. 21,600 1,709,424
Infineon Technologies AG
ADR (Germany) * 44,000 421,960
Intersil Holding * 48,100 1,279,941
Corporation
KVH Industries, Inc. * 1,500 37,095
LSI Logic Corporation * 2,708 19,173
Linear Technology
Corporation 23,356 752,297
Maxim Integrated
Products, Inc. 2,344 80,141
Molex, Inc. 10,277 277,376
Motorola, Inc. 16,712 157,594
National Semiconductor
Corporation * 1,317 25,971
Novellus System, Inc. * 1,080 39,551
PMC-Sierra, Inc. * 1,219 14,299
Power-One, Inc. * 593 4,240
Qlogic Corporation * 1,023,690 49,474,938
Qualcomm, Inc. 5,694 203,561
Sanmina Corporation * 3,681 23,227
Solectron Corporation * 5,971 22,332
Taiwan Semiconductor
Manufacturing Company
Ltd. ADR (Taiwan) * 84,000 846,720
Teradyne, Inc. * 45,131 781,218
Texas Instruments, Inc. 362,672 6,383,027
- --------------------------------------------------------------
Shares Value
- --------------------------------------------------------------
Thomas & Betts
Corporation * 422 $ 6,098
Trimble Navigation * 6,300 144,459
Limited
Varian Semiconductor
Equipment
Associates, Inc. * 30,500 907,680
Vishay Intertechnology,
Inc. * 277,100 3,657,720
Xilinx, Inc. * 187,132 4,736,311
--------------
112,821,140
--------------
Entertainment & Leisure--2.0%
Carnival Corporation 446,733 14,523,290
Harrah's Entertainment,
Inc. * 815 32,796
Hasbro, Inc. 1,250 21,863
International Speedway
Corporation Class A 126,335 4,991,496
International Speedway
Corporation Class B 53,500 2,086,500
Mattel, Inc. 58,375 1,104,455
Netease.Com, Inc. ADR
(China) * 11,600 422,936
Netflix.Com, Inc. * 18,600 475,230
Shuffle Master, Inc. * 7,300 214,547
The Walt Disney Company 1,120,042 22,120,830
--------------
45,993,943
--------------
Environmental
Controls--0.0%
Gundle/SLT
Environmental, Inc. * 800 10,896
--------------
Financial Services--10.0%
A.G. Edwards, Inc. 298,000 10,191,600
American Express Company 125,957 5,266,262
Ameritrade Holding
Corporation Class A * 7,400 54,834
Bank of Hawaii
Corporation 127,300 4,219,995
Bear Stearns Company,
Inc. 714 51,708
Champion Enterprises,
Inc. * 474,100 2,455,838
Charles Schwab
Corporation 2,599,697 26,230,943
CIT Group, Inc. 26,800 660,620
Citigroup, Inc. 420,872 18,013,322
Countrywide Financial
Corporation 943 65,605
Federal Home Loan
Mortgage Corporation 4,959 251,768
Federal National Mortgage
Association 669,469 45,148,989
Federated Investors, Inc.
Class B 787 21,580
Franklin Resources, Inc. 1,830 71,498
Goldman Sachs Group,
Inc. (The) 845,688 70,826,370
H&R Block, Inc. 1,291 55,836
Investors Financial
Services
Corporation 218,700 6,344,487
JAFCO Company Ltd.
(Japan) 5,400 306,332
Janus Capital Group, Inc. 1,727 28,323
Legg Mason, Inc. 112,000 7,274,400
Lehman Brothers, Inc. 1,749 116,274
Merrill Lynch &
Company, Inc. 261,512 12,207,380
Moody's Corporation 1,071 56,452
Morgan Stanley 7,845 335,374
Paccar, Inc. 66,639 4,502,097
Providian Financial
Corporation * 2,092 19,372
SEI Investment Company 98,440 3,150,080
97
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------
Vantagepoint
Growth Fund Shares Value
- --------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------
T. Rowe Price Group, Inc. 274,679 $ 10,369,132
Washington Mutual, Inc. 6,714 277,288
Worthington Industries,
Inc. 620 8,308
--------------
228,582,067
--------------
Food Retailers--0.0%
Albertson's, Inc. 2,649 50,861
Winn Dixie, Inc. 1,017 12,519
--------------
63,380
--------------
Forest Products & Paper--0.1%
Boise Cascade Corporation 421 10,062
Georgia-Pacific Group 1,802 34,148
International Paper Company 3,454 123,411
Kimberly-Clark 3,671 191,406
Corporation
MeadWestvaco Corporation 3,743 92,452
Plum Creek Timber
Company, Inc. 1,318 34,202
Schweitzer-Mauduit
International, Inc. 13,000 313,820
Smurfit-Stone Container
Corporation * 19,196 250,124
Weyerhaeuser Company 1,579 85,266
--------------
1,134,891
--------------
Health Care Providers--1.2%
Express Scripts, Inc.
Class A * 36,500 2,493,680
HCA, Inc. 215,489 6,904,268
Health Management
Associates, Inc. 571,819 10,550,061
Manor Care, Inc. * 650 16,257
Quest Diagnostics Inc. * 69,859 4,457,004
Tenet Healthcare
Corporation * 3,370 39,261
UnitedHealth Group, Inc. 35,276 1,772,619
--------------
26,233,150
--------------
Healthcare--0.0%
Alcon, Inc. (Switzerland) 15,100 690,070
--------------
Heavy Construction--0.0%
Granite Construction,
Inc. 8,700 166,692
--------------
Heavy Machinery--0.4%
American Standard
Companies, Inc. * 518 38,296
Applied Materials, Inc. * 313,960 4,979,406
Baker Hughes, Inc. 2,427 81,474
Black & Decker 561 24,375
Corporation
Caterpillar, Inc. 2,486 138,371
Chicago Bridge & Iron
Company NV NY Shares
(Netherlands) 2,600 58,968
Cummins, Inc. 14,101 506,085
Deere & Company 1,726 78,878
Donaldson Company, Inc. 5,300 235,585
Dover Corporation 1,459 43,712
Eaton Corporation 538 42,292
FMC Technologies, Inc. * 16,500 347,325
Grainger WW, Inc. 660 30,862
Ingersoll-Rand Company
Class A 1,221 57,778
Lindsay Manufacturing
Company 24,000 557,280
Pall Corporation 27,688 622,980
Parker-Hannifin 851 35,733
Corporation
Rockwell International
Corporation 1,335 31,826
- --------------------------------------------------------------
Shares Value
- --------------------------------------------------------------
Stanley Works 50,516 $ 1,394,242
United Technologies
Corporation 3,376 239,122
Zebra Technologies
Corporation Class A * 3,700 278,203
--------------
9,822,793
--------------
Home Furnishings & Appliances--0.2%
Corning, Inc. * 103,933 768,065
Ethan Allen Interiors,
Inc. 29,700 1,044,252
Furniture Brands
International, Inc. * 49,300 1,286,730
Leggett & Platt, Inc. 1,389 28,475
Maytag Corporation 563 13,748
Select Comfort * 7,000 114,660
Corporation
Skyline Corporation 6,100 183,000
Whirlpool Corporation 494 31,468
--------------
3,470,398
--------------
Household Products--0.5%
Fortune Brands, Inc. 1,049 54,758
Gentex Corporation * 28,700 878,507
Illinois Tool Works, Inc. 158,920 10,464,882
PPG Industries, Inc. 1,224 62,106
Snap-On, Inc. 420 12,193
--------------
11,472,446
--------------
Industrial--Diversified-- .0%
Techtronic Industries
Company (Hong Kong) 8,000 13,439
--------------
Insurance--3.4%
ACE Ltd. (Bermuda) 1,911 65,528
AFLAC Corporation 3,702 113,837
Aetna, Inc. 1,096 65,979
Allstate Corporation 5,079 181,066
Ambac Financial
Group, Inc. 766 50,748
American International
Group, Inc. 1,297,117 71,574,916
Anthem, Inc. * 998 76,996
Aon Corporation
2,254 54,276
Chubb Corporation 1,336 80,160
Cigna Corporation
1,012 47,503
Cincinnati Financial
Corporation 1,158 42,950
Hartford Financial
Services Group 2,018 101,626
Humana, Inc. * 32,562 491,686
Jefferson Pilot 1,024 42,455
Corporation
John Hancock Financial
Services, Inc. 2,083 64,011
Lincoln National 1,279 45,571
Corporation
MBIA, Inc. 1,037 50,554
MGIC Investment
Corporation 712 33,208
Marsh & McLennan
Companies, Inc. 3,862 197,232
Metlife, Inc. 5,482 155,250
Principal Financial
Group, Inc. 2,361 76,142
Progressive Corporation 25,870 1,891,097
Prudential Financial,
Inc. 3,967 133,490
St. Paul Companies, Inc. 1,642 59,949
Torchmark Corporation 837 31,178
Travelers Property
Casualty
Corporation Class B 7,257 114,443
UnumProvident Corporation 2,071 27,772
Wellpoint Health Networks * 1,050 88,515
98
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------
Vantagepoint
Growth Fund Shares Value
- --------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------
White Mountains Insurance
Group, Inc. 1,900 $ 750,500
XL Capital Ltd. Class A
(Bermuda) 986 81,838
--------------
76,790,476
--------------
Lodging--0.0%
Hilton Hotels Corporation 2,714 34,712
Marriott International
Class A 1,671 64,200
Starwood Hotels & Resorts
Worldwide, Inc. 1,446 41,341
--------------
140,253
--------------
Media--Broadcasting & Publishing--4.0%
American Greetings
Corporation Class A * 15,176 298,057
American Tower
Corporation * 107,600 952,260
AOL Time Warner, Inc. * 496,793 7,993,399
Cablevision Systems
Corporation * 262,100 5,441,196
Clear Channel
Communications * 4,431 187,830
Comcast Corporation
Class A * 16,225 489,671
Comcast Corporation
Special Class A * 403,600 11,635,788
Cox Communications, Inc.
Class A * 68,500 2,185,150
Dow Jones & Company, Inc. 586 25,216
E.W. Scripps Company
(The) 19,000 1,685,680
Fox Entertainment
Group, Inc. * 20,100 578,478
Gannett Company, Inc. 538,238 41,342,061
InterActiveCorp * 59,040 2,336,213
Knight Ridder, Inc. 589 40,600
Liberty Media Corporation
Class A * 475,000 5,491,000
McGraw-Hill
Companies, Inc. 1,376 85,312
Media General, Inc.
Class A 6,400 366,080
Meredith Corporation 45,660 2,009,040
New York Times Company
Class A 1,087 49,459
Reader's Digest 1,400 18,872
Association
Scholastic Corporation * 6,200 184,636
Tribune Company 2,230 107,709
Univision
Communications, Inc. * 1,652 50,221
Viacom, Inc. Class B * 147,768 6,451,551
Wiley John & Sons, Inc.
Class A 15,000 393,000
--------------
90,398,479
--------------
Medical Equipment & Supplies--6.2%
Advanced Neuromodulation
Systems, Inc. * 7,400 383,098
Allergan, Inc. 940 72,474
Applied Biosystems Group-
Applera Corporation 1,505 28,640
Bard C.R., Inc. 17,777 1,267,678
Bausch & Lomb, Inc. 385 14,438
Baxter International, 4,312 112,112
Inc.
Becton Dickinson &
Company 1,836 71,329
Biomet, Inc. 91,859 2,632,679
- --------------------------------------------------------------
Shares Value
- --------------------------------------------------------------
Biosite, Inc. * 3,800 $ 182,780
Boston Scientific
Corporation * 665,359 40,653,435
Conmed Corporation * 2,900 52,954
CUNO, Inc. * 2,500 90,300
Fresenius Medical Care AG
ADR (Germany) 48,100 790,764
Guidant Corporation 2,232 99,078
Johnson & Johnson 200,518 10,366,781
KLA-Tencor Corporation * 25,472 1,184,193
Kensey Nash Corporation * 4,200 109,200
Medtronics, Inc. 1,379,598 66,179,316
Mentor Corporation 12,200 236,436
St. Jude Medical, Inc. * 80,699 4,640,193
Steris Corporation * 81,700 1,886,453
Stryker Corporation 70,931 4,920,483
Tektronix, Inc. * 612 13,219
Thermo Electron
Corporation * 1,167 24,530
Varian Medical
Systems, Inc. * 11,000 633,270
Waters Corporation * 895 26,071
Zimmer Holdings, Inc. * 104,955 4,728,223
Zoll Medical Corporation * 20,900 701,404
--------------
142,101,531
--------------
Medical Supplies--0.0%
American Medical System
Holdings, Inc. * 1,800 30,366
Invacare Corporation 2,400 79,200
Orthofix International NV * 600 19,644
Wright Medical Group, *
Inc. 14,100 267,900
--------------
397,110
--------------
Metals--0.0%
Sherritt International
Corporation (Canada) 4,000 13,380
--------------
Metals & Mining--0.2%
Alcoa, Inc. 25,501 650,276
Allegheny Technologies,
Inc. 575 3,795
Crane Company 430 9,731
Danaher Corporation 1,103 75,059
Freeport-McMoRan Copper
& Gold, Inc. 1,049 25,701
JSC Mining and
Metallurgical Company
Norilsk Nickel ADR
(Russia) 16,100 550,620
Masco Corporation 3,440 82,044
Newmont Mining
Corporation 2,900 94,134
Nucor Corporation 563 27,503
Phelps Dodge Corporation * 37,843 1,450,901
Stillwater Mining Company * 133,500 686,190
United States Steel
Corporation 741 12,130
--------------
3,668,084
--------------
Office Equipment &
Supplies--0.4%
Xerox Corporation * 899,755 9,528,405
--------------
Oil & Gas--2.1%
Amerada Hess Corporation 650 31,967
Anadarko Petroleum
Corporation 1,798 79,957
Apache Corporation 23,656 1,539,059
Ashland, Inc. 493 15,125
BJ Services Company * 1,139 42,553
99
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------
Vantagepoint
Growth Fund Shares Value
- --------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------
Burlington Resources,
Inc. 1,448 $ 78,293
Cal Dive International,
Inc. * 130,500 2,844,900
ChevronTexaco Corporation 7,707 556,445
ConocoPhillips 4,897 268,356
Devon Energy Corporation 1,665 88,911
Dynegy, Inc. Class A 2,673 11,227
EOG Resources, Inc. 825 34,518
El Paso Corporation 63,715 514,817
Ensco International, Inc. 362,100 9,740,490
Exxon Mobil Corporation 48,186 1,730,359
Helmerich & Payne, Inc. 113,400 3,311,280
Kerr-McGee Corporation 727 32,570
KeySpan Corporation 1,137 40,307
Kinder Morgan, Inc. 880 48,092
Marathon Oil Corporation 2,233 58,840
Nabors Industries Ltd. * 42,951 1,698,712
Nicor, Inc. 319 11,838
Noble Corporation * 962 32,997
Occidental Petroleum
Corporation 2,733 91,692
Peoples Energy
Corporation 261 11,194
Rowan Companies, Inc. * 676 15,142
Schlumberger Ltd. 4,201 199,842
Sempra Energy 1,498 42,738
Smith International, Inc. * 443,100 16,279,494
Sunoco, Inc. 553 20,870
Transocean, Inc. * 2,304 50,619
Unocal Corporation 1,860 53,363
Willbros Group, Inc.
(Panama) * 3,300 34,287
Williams Companies, Inc. 3,727 29,443
YUKOS ADR (Russia) 146,574 8,208,144
--------------
47,848,441
--------------
Pharmaceuticals--7.9%
Abbott Laboratories 11,260 492,738
Alexion Pharmaceuticals,
Inc. * 5,600 95,480
AmerisourceBergen
Corporation 123,096 8,536,708
Amgen, Inc. * 561,087 37,278,620
Biogen, Inc. * 30,570 1,161,660
Bristol-Myers Squibb
Company 13,985 379,693
Cardinal Health, Inc. 173,821 11,176,690
Connetics Corporation * 23,700 354,789
Eli Lilly & Company 8,105 559,002
Endo Pharmaceutical
Holdings, Inc. * 10,900 184,428
Eon Labs, Inc. * 14,900 523,735
Esperion Therapeutics,
Inc. * 2,200 43,098
Forest Laboratories, Inc. * 32,418 1,774,886
Genentech, Inc. * 26,200 1,889,544
Genzyme Corporation * 1,558 65,124
Gilead Sciences, Inc. * 92,600 5,146,708
King Pharmaceuticals,
Inc. * 268,733 3,966,499
McKesson HBOC, Inc. 2,087 74,589
MedImmune, Inc. * 1,817 66,084
Merck & Company, Inc. 128,575 7,785,216
Millipore Corporation * 351 15,574
Omnicare, Inc. 24,700 834,613
OSI Pharmaceuticals, Inc. * 39,200 1,262,632
Pfizer, Inc. 2,047,505 69,922,296
Pharmaceutical
Resources, Inc. * 84,800 4,126,368
Regeneron
Pharmaceuticals, Inc. * 51,500 811,125
- --------------------------------------------------------------
Shares Value
- --------------------------------------------------------------
Roche Holding AG
(Switzerland) 65,620 $ 5,157,469
Schering-Plough
Corporation 235,199 4,374,701
Sigma Aldrich Corporation 511 27,686
Tularik, Inc. * 7,300 72,562
Watson Pharmaceutical,
Inc. * 771 31,125
Wyeth 278,381 12,680,255
--------------
180,871,697
--------------
Photographic Equipment &
Supplies--0.6%
Eastman Kodak Company 494,269 13,518,257
--------------
Real Estate--0.0%
Apartment Investment &
Management Company
Class A REIT 675 23,355
Equity Office Properties
Trust REIT 2,907 78,518
Equity Residential
Properties Trust REIT 1,964 50,966
Simon Property Group,
Inc. REIT 1,365 53,276
--------------
206,115
--------------
Restaurants--1.0%
California Pizza Kitchen,
Inc. * 102,100 2,195,150
Cheesecake Factory, Inc. * 381,300 13,684,857
Darden Restaurants, Inc. 60,715 1,152,371
Krispy Kreme
Doughnuts, Inc. * 3,000 123,540
McDonald's Corporation 9,181 202,533
O'Charleys, Inc. * 6,300 135,639
Outback Steakhouse, Inc. 39,600 1,544,400
P.F. Chang's China
Bistro, Inc. * 56,600 2,785,286
Quality Dining, Inc. * 39,300 97,857
Starbucks Corporation * 2,820 69,146
Wendy's International,
Inc. 819 23,726
Yum! Brands, Inc. * 2,108 62,312
--------------
22,076,817
--------------
Retailers--9.2%
Amazon.com, Inc. * 22,600 824,674
AnnTaylor Stores
Corporation * 16,000 463,200
AutoNation, Inc. * 2,030 31,912
Autozone, Inc. * 83,546 6,346,990
Bed Bath & Beyond, Inc. * 61,231 2,376,375
Best Buy Company, Inc. * 70,927 3,115,114
Big Lots, Inc. * 843 12,679
CVS Corporation 2,844 79,717
Chico's FAS, Inc. * 55,000 1,157,750
Circuit City Stores 141,296 1,243,405
Claire's Stores, Inc. 42,600 1,080,336
Costco Wholesale
Corporation * 413,493 15,133,844
Dillards, Inc. Class A 607 8,176
Dollar General 2,403 43,879
Corporation
Ebay, Inc. * 382,891 39,889,584
Esprit Holdings Ltd.
(Hong Kong) 155,500 379,869
Family Dollar Stores,
Inc. 327,740 12,503,281
Federated Department
Stores 1,353 49,858
Foot Locker, Inc. 3,700 49,025
Gap, Inc. 56,028 1,051,085
J.C. Penney Company, Inc. 1,937 32,638
Kohls Corporation * 514,245 26,421,908
100
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------
Vantagepoint
Growth Fund Shares Value
- --------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------
Limited Brands, Inc. 50,562 $ 783,711
May Department Stores
Company 2,078 46,256
Neiman Marcus Group, Inc.
Class A * 2,900 106,140
Nordstrom, Inc. 133,880 2,613,338
Office Depot, Inc. * 2,224 32,270
RadioShack Corporation 1,213 31,914
Safeway, Inc. * 3,181 65,083
Saks, Inc. * 167,930 1,628,921
Sears, Roebuck & Company 2,217 74,580
Sherwin Williams Company 1,057 28,412
Stamps.Com, Inc. * 31,100 149,280
Staples, Inc. * 57,413 1,053,529
Stride Rite Corporation 284,800 2,836,608
TJX Companies, Inc. 300,186 5,655,504
Target Corporation 6,571 248,647
Tiffany & Company 400,846 13,099,647
Toys 'R' Us, Inc. * 1,532 18,568
Walgreen Company 7,394 222,559
Wal-Mart Stores, Inc. 1,286,990 69,072,753
-------------
210,063,019
-------------
Telecommunications--2.0%
Alltel Corporation 2,245 108,254
AT&T Corporation 5,672 109,186
AT&T Wireless
Services, Inc. * 19,560 160,588
BellSouth Corporation 13,325 354,845
Centurytel, Inc. 1,031 35,930
Ciena Corporation * 198,800 1,031,772
Citizens Communications
Company * 2,045 26,360
Crown Castle
International
Corporation * 51,800 402,486
KDDI Corporation (Japan) 243 942,646
Lucent Technologies, Inc. * 639,713 1,298,617
Nokia Corporation ADR
(Finland) 1,317,200 21,641,596
Nortel Networks
Corporation (Canada) * 865,500 2,336,850
Nortel Networks
Corporation (foreign
shares) (Canada) 26,200 70,419
NTL, Inc. * 8,700 296,844
Qwest Communications
International, Inc. * 976,317 4,666,795
SBC Communications, Inc. 23,968 612,382
Sprint Corporation (FON
Group) 6,490 93,456
Sprint Corporation (PCS
Group) * 7,393 42,510
Telefonaktiebolaget LM
Ericsson ADR (Sweden) * 127,900 1,359,577
Verizon Communications 242,341 9,560,352
VimpelCom Sponsored
ADR (Russia) * 12,800 594,432
-------------
45,745,897
-------------
Telephone Systems--0.5%
ADTRAN, Inc. * 217,600 11,160,704
-------------
- -------------------------------------------------------------
Shares Value
- -------------------------------------------------------------
Textiles, Clothing & Fabrics--0.7%
Columbia Sportswear
Company * 75,100 $ 3,860,891
Jones Apparel Group, Inc. * 921 26,948
K-Swiss, Inc. Class A 46,400 1,601,728
Liz Claiborne, Inc. 775 27,319
Nike, Inc. Class B 54,004 2,888,674
Puma AG Rudolf Dassler
Sport (Germany) 39,011 3,881,969
Quicksilver, Inc. * 124,000 2,044,760
Reebok International Ltd. * 6,729 226,296
Russell Corporation 11,800 224,200
VF Corporation 778 26,429
Wolverine World Wide,
Inc. 67,800 1,305,828
-------------
16,115,042
-------------
Transportation--0.8%
Alexander & Baldwin, Inc. 98,600 2,615,858
Arkansas Best Corporation 14,800 352,092
Brunswick Corporation 652 16,313
Burlington Northern
Santa Fe 72,386 2,058,658
CSX Corporation 1,540 46,339
Dial Corporation 174,900 3,401,805
Expedia, Inc. * 66,000 5,041,080
FedEx Corporation 14,952 927,473
Fleetwood Enterprises,
Inc. * 248,100 1,835,940
Kansas City Southern
Industries, Inc. * 51,300 617,139
Landstar System, Inc. * 18,200 1,143,870
Norfolk Southern
Corporation 2,809 53,933
Union Pacific Corporation 1,834 106,409
United Parcel Service,
Inc. Class B 8,118 517,117
-------------
18,734,026
-------------
Utilities--0.5%
AES Corporation * 67,621 429,393
Ameren Corporation 1,164 51,332
American Electric Power
Company, Inc. 2,850 85,016
CMS Energy Corporation 1,032 8,359
Calpine Corporation * 171,240 1,130,184
CenterPoint Energy, Inc. 2,197 17,906
Cinergy Corporation 1,271 46,760
Consolidated Edison, Inc. 1,612 69,767
Constellation Energy
Group 1,191 40,851
DTE Energy Company 1,211 46,793
Dominion Resources, Inc. 2,243 144,158
Duke Energy Corporation 6,501 129,695
Edison International * 295,751 4,859,189
Entergy Corporation 1,630 86,031
FPL Group, Inc. 1,323 88,443
Firstenergy Corporation 2,146 82,514
Ionics, Inc. * 112,300 2,512,151
NiSource, Inc. 1,895 36,005
PG&E Corporation * 2,949 62,371
PPL Corporation 1,217 52,331
Public Service Enterprise
Group, Inc. 1,631 68,910
Southern Company 5,207 162,250
TXU Corporation 2,322 52,127
-------------
10,262,536
-------------
TOTAL COMMON STOCKS
(Cost $2,160,382,805) 2,217,907,330
-------------
101
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------------------
Vantagepoint
Growth Fund
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--0.0%
- --------------------------------------------------------------------------------
U.S. Treasury Bills--0.0%
U.S. Treasury Bill
0.785% 09/25/2003 **
(Cost $199,625) $ 200,000 $ 199,625
- --------------------------------------------------------------------------------
CASH EQUIVALENTS--12.4%
- --------------------------------------------------------------------------------
Institutional Money Market Funds--3.3%
BlackRock Tempcash Fund
1.101% 07/01/2003 + 40,379,935 40,379,935
Dreyfus Cash Management Plus
Fund
1.102% 07/01/2003 + 8,855,249 8,855,249
Merrill Lynch Premier Institutional
Fund
1.045% 07/01/2003 + 13,169,004 13,169,004
Merrimac Cash Fund-Premium Class
1.052% 07/01/2003 + 11,688,928 11,688,928
------------
74,093,116
------------
Bank & Certificate Deposits/
Offshore Time Deposits--4.6%
American Express Centurion Bank
1.260% 07/07/2003 + 5,313,149 5,313,149
Bank of Montreal
1.150% 07/09/2003 + 2,699,177 2,699,177
Bank of Nova Scotia
1.050% 08/29/2003 + 17,710,498 17,710,498
BNP Paribas
1.030% 07/21/2003 + 12,043,138 12,043,138
Credit Agricole Indosuez
0.940% 07/01/2003 + 7,084,199 7,084,199
Den Danske Bank
1.040% 07/24/2003 + 7,084,199 7,084,199
Den Danske Bank
1.040% 07/28/2003 + 21,252,597 21,252,597
Harris Trust & Savings Bank
1.020% 07/30/2003 + 10,626,298 10,626,298
Royal Bank of Canada
1.031% 07/07/2003 + 7,438,409 7,438,409
Royal Bank of Scotland
1.125% 07/01/2003 + 14,168,398 14,168,398
------------
105,420,062
------------
Floating Rate Instruments/Master Notes--4.5%
Comerica Bank
1.073% 11/19/2003 + 3,542,099 3,542,099
Credit Suisse First Boston Corporation
1.415% 07/01/2003 + 35,420,995 35,420,995
Goldman Sachs Group Inc.
1.525% 07/02/2003 + 10,626,299 10,626,299
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
Goldman Sachs Group Inc.
1.210% 08/04/2003 + $ 7,084,199 $ 7,084,199
Goldman Sachs Group Inc.
1.130% 09/17/2003 + 3,542,100 3,542,100
Liberty Lighthouse Funding
1.155% 01/15/2004 + 3,542,100 3,542,100
Merrill Lynch & Company, Inc.
1.615% 11/26/2003 + 3,542,099 3,542,099
Morgan Stanley
1.455% 01/29/2004 + 8,855,249 8,855,249
Morgan Stanley
1.425% 09/26/2003 + 1,771,050 1,771,050
Morgan Stanley
1.425% 12/16/2003 + 17,710,498 17,710,498
Parkland (USA) LLC
1.018% 11/26/2003 + 7,084,199 7,084,199
-------------
102,720,887
-------------
TOTAL CASH EQUIVALENTS
(Cost $282,234,065) 282,234,065
-------------
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.8%
- --------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 06/30/2003, due
07/01/2003, with a maturity
value of $63,659,593 and
an effective yield of
0.75% collateralized by
U.S. Government
Obligations with rates
ranging from 1.58% to
5.35%, maturity dates
ranging from 01/01/2023
to 10/01/2040 and
aggregate market value
of $66,843,258.
63,658,267 63,658,267
---------------
TOTAL INVESTMENTS^--112.5%
(Cost $2,506,474,762) 2,563,999,287
Other assets less liabilities--(12.5%) (285,399,772)
---------------
NET ASSETS--100.0% $2,278,599,515
===============
Notes to the Schedule of Investments:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
* Non-income producing security.
** Security has been pledged as collateral for futures contracts.
+ Represents collateral received from securities lending transactions.
^ Fund has Securities on loan. See Note 6.
102 See accompanying notes to financial statements.
Schedule of Investments
June 30, 2003 (Unaudited)
- ------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund Shares Value
- ------------------------------------------------------------------------
OMMON STOCKS--95.8%
- ------------------------------------------------------------------------
Advertising--0.8%
Asatsu-DK, Inc. (Japan) [star] 76,700 $ 1,375,699
Catalina Marketing
Corporation * 162,000 2,859,300
Lamar Advertising
Company * 30,000 1,056,300
------------
5,291,299
------------
Aerospace & Defense--0.8%
Alliant Techsystems, Inc. * 23,000 1,193,930
Alvis PLC (United
Kingdom) 292,500 909,095
Engineered Support
Systems, Inc. 9,700 405,945
Rolls-Royce Group PLC
(United Kingdom) [star] 680,000 1,441,756
Titan Corporation (The) *[star] 135,500 1,394,295
------------
5,345,021
------------
Apparel Retailers--1.5%
Christopher & Banks
Corporation * 180,000 6,658,200
Citizen Watch Company
Ltd. (Japan) 237,000 1,275,257
The Finish Line, Inc.
Class A * 110,000 2,443,100
------------
10,376,557
------------
Automotive--3.7%
Aftermarket Technology
Corporation *[star] 158,300 1,663,733
American Axle &
Manufacturing
Holdings, Inc. * 11,100 265,290
General Motors
Corporation Class H * 1,242,000 15,910,020
Group 1 Automotive, Inc. * 36,000 1,166,760
Keihin Corporation
(Japan) 68,000 581,463
Lithia Motors, Inc.
Class A * 72,700 1,175,559
Oshkosh Truck
Corporation 67,500 4,004,100
Standard Motor
Products, Inc. 100,900 1,119,990
------------
25,886,915
------------
Banking--1.6%
Alpha Bank A.E. (Greece) [star] 75,300 1,314,969
Banca Popolare di Milano
SCRL (Italy) [star] 423,300 1,855,334
Bank of Bermuda Ltd.
(Bermuda) 20,200 706,798
First Community Bancorp 30,000 935,100
FirstFed Financial
Corporation * 33,000 1,164,570
KorAm Bank (South
Korea) [star] 323,760 2,176,470
PFF Bancorp, Inc. 25,200 973,980
Singapore Exchange Ltd.
(Singapore) 1,502,000 1,168,805
TierOne Corporation * 59,000 1,148,730
------------
11,444,756
------------
Beverages, Food & Tobacco--1.9%
Bunge Ltd. 38,100 1,089,660
Carlsberg AS Class B
(Denmark) [star] 58,260 2,088,641
- ------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
Fraser & Neave Ltd.
(Singapore)
192,000 $ 937,889
Great Atlantic & Pacific
Tea Company *[star] 245,500 2,160,400
Hokuto Corporation
(Japan) 62,600 900,851
Kirin Beverage
Corporation (Japan) 78,000 1,173,872
KT&G Corporation
(South Korea) 44,510 734,070
Nong Shim Company Ltd.
(South Korea) & 4,787 476,897
Pilgrims Pride
Corporation, Class B [star] 142,500 1,377,975
Remy Cointreau SA
(France) [star] 68,100 2,112,107
------------
13,052,362
------------
Bio-Technology--0.4%
Exelixis, Inc. * 165,625 1,149,438
Trimeris, Inc. * 30,000 1,370,400
------------
2,519,838
------------
Building Materials--0.1%
HeidelbergCement AG
(Germany) 18,700 413,470
RMC Group PLC
(United Kingdom) 66,400 506,874
------------
920,344
------------
Chemicals--1.0%
Cabot Microelectronics
Corporation * 60,000 3,028,200
Croda International PLC
(United Kingdom) 217,900 918,592
Ferro Corporation 11,900 268,107
Fujimi, Inc. (Japan) [star] 65,900 1,511,846
Taiyo Ink Manufacturing
Company Ltd. (Japan) 24,200 781,296
Tokyo Ohka Kogyo
Company Ltd. (Japan) 53,300 786,583
------------
7,294,624
------------
Coal--0.1%
Arch Coal, Inc. 40,700 935,286
------------
Commercial Services--10.3%
ADVO, Inc. * 30,000 1,332,000
Autoliv, Inc. SDR
(Sweden) [star] 55,810 1,504,604
BISYS Group, Inc. * 245,000 4,500,650
Bellsystem 24, Inc.
(Japan) [star] 9,100 1,461,375
Benesse Corporation
(Japan) 56,900 982,590
Cegedim SA (France) [star] 34,123 1,554,502
Cheil Communications,
Inc. (South Korea) 12,870 1,265,990
Clark, Inc. * 54,000 645,300
Exult, Inc. * 460,000 3,942,200
GfK AG (Germany) 58,200 1,098,034
Incyte Corporation
*[star] 302,000 1,401,280
Iron Mountain, Inc.
*[star] 82,200 3,048,798
Kobenhavns Lufthavne
(Denmark) 9,520 773,996
Massey Energy Company 91,700 1,205,855
Mobile Mini, Inc. * 156,000 2,547,480
Nissin Company Ltd.
(Japan) 174,100 721,846
Regis Corporation [star] 48,800 1,417,640
103
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Ritchie Brothers
Auctioneers, Inc.
(Canada) * 33,000 $ 1,270,830
RM PLC (United
Kingdom) 379,979 613,293
Securicor PLC (United
Kingdom) [star] 1,213,700 1,494,834
Singapore Post Ltd.
(Singapore) [star] 4,003,800 1,546,440
SNT Group NV
(Netherlands) 68,725 1,019,099
SureBeam Corporation,
Class A * 212,400 562,860
TeleTech Holdings, Inc. * 113,500 480,105
Vivendi Universal SA
(France) *[star] 798,700 14,563,368
Vivendi Universal SA
ADR (France) *[star] 300,300 5,537,532
Waste Connections, Inc. * 67,500 2,365,875
Waste Management, Inc. 557,000 13,418,130
------------
72,276,506
------------
Communications--0.1%
Allstream, Inc. Class B
(Canada) * 23,500 796,674
------------
Computer Software & Processing--5.1%
Activision, Inc. *[star] 123,000 1,589,160
Autodesk, Inc. 148,000 2,391,680
Cegid (France) 931 46,750
Ines Corporation (Japan) 136,700 994,431
Informatica Corporation * 265,000 1,831,150
Internet Security
Systems, Inc. * 150,000 2,173,500
Jack Henry & Associates,
Inc. 125,000 2,223,750
Kronos, Inc. * 77,500 3,937,775
Lendingtree, Inc. * 105,000 2,570,400
Magma Design
Automation, Inc. * 182,000 3,121,300
Matrix One, Inc. * 275,000 1,578,500
MSC.Software
Corporation *[star] 191,400 1,290,036
Nassda Corporation * 120,000 926,400
Quovadx, Inc. * 220,200 658,398
Skillsoft PLC ADR
(Ireland) * 250,000 1,262,500
Sycamore Networks, Inc. * 157,500 603,225
THQ, Inc. *[star] 87,000 1,566,000
Tier Technologies, Inc.
Class B * 255,000 1,976,250
Tietoenator Oyj (Finland) [star] 104,000 1,753,946
TIS, Inc. (Japan) 56,000 1,074,497
Websense, Inc. * 147,500 2,309,850
------------
35,879,498
------------
Computers & Information--0.6%
DigitalThink, Inc. * 300,000 945,000
Iomega Corporation * 103,000 1,091,800
Maxtor Corporation * 111,700 838,867
Scansoft, Inc. * 197,700 1,073,511
------------
3,949,178
------------
Cosmetics & Personal Care--0.4%
1-800 Contacts, Inc. * 43,300 1,059,984
Fancl Corporation (Japan) 38,500 1,162,676
Kose Corporation (Japan) 15,000 490,531
------------
2,713,191
------------
- -----------------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------------
Diversified--1.3%
Alstom (France) [star] 561,400 $ 1,937,504
Armor Holdings, Inc. *[star] 101,000 1,353,400
FEI Company * 47,000 881,720
MAXIMUS, Inc. * 41,000 1,132,830
Yankee Candle Company,
Inc. (The) * 175,500 4,075,110
------------
9,380,564
------------
Education--2.2%
Apollo Group, Inc.
Class A * 150,000 9,264,000
Education Management
Corporation * 110,000 5,849,800
------------
15,113,800
------------
Electric Utilities--0.3%
OGE Energy Corporation 57,000 1,218,090
PNM Resources, Inc. 36,500 976,375
------------
2,194,465
------------
Electrical Equipment--0.3%
Alpine Electronics, Inc.
(Japan) 84,000 1,044,131
Entegris, Inc. * 77,500 1,041,600
------------
2,085,731
------------
Electronics--2.7%
Adaptec, Inc. * 117,500 914,150
Aixtron AG (Germany) 98,299 502,089
ATMI, Inc. * 100,000 2,497,000
EDO Corporation 75,500 1,336,350
International Rectifier
Corporation * 44,500 1,193,490
Invision Technologies,
Inc. * 42,000 1,043,700
Monolithic System
Technology * 102,200 925,932
Mykrolis Corporation * 155,000 1,573,250
Rofin-Sinar
Technologies, Inc. * 67,800 953,268
Rudolph Technologies,
Inc. * 59,000 941,640
Semtech Corporation * 220,000 3,132,800
Shinko Electric Industries
(Japan) 58,500 1,141,987
Verisity Ltd. * 225,000 2,686,500
------------
18,842,156
------------
Entertainment &
Leisure--3.3%
Alliance Gaming
Corporation * 160,000 3,025,600
Avex, Inc. (Japan) 20,400 275,018
EMI Group PLC (United
Kingdom) [star] 730,600 1,473,550
Kadokawa Holdings, Inc.
(Japan) 44,500 816,718
The Walt Disney
Company 798,000 15,760,500
Westwood One, Inc. * 55,000 1,866,150
------------
23,217,536
------------
Financial Services--2.1%
American Home
Mortgage Holdings, Inc. [star] 93,000 1,820,940
Certegy, Inc. * 136,500 3,787,875
Hong Kong Exchanges &
Clearing Ltd.
(Hong Kong) 613,100 880,558
Net.B@nk, Inc. [star] 129,300 1,701,588
104
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
TSX Group, Inc. 144A
(Canada) **& 34,618 $ 702,943
Waddell & Reed Financial,
Inc. Class A 195,000 5,005,650
Wing Lung Bank
(Hong Kong) 205,500 869,629
------------
14,769,183
------------
Food Retailers--0.1%
Lindt & Spruengli AG
(Switzerland) 1,170 718,349
------------
Forest Products & Paper--0.2%
Universal Forest
Products, Inc. [star] 68,500 1,434,390
------------
Health Care Providers--3.1%
AmSurg Corporation *[star] 58,800 1,793,400
BML, Inc. (Japan) 87,700 1,062,321
Community Health
Systems, Inc. * 100,000 1,929,000
Coventry Health Care, Inc. * 130,000 6,000,800
DaVita, Inc. * 190,000 5,088,200
MedCath Corporation * 141,500 827,775
NIC Corporation (Japan) 80,100 727,696
Renal Care Group, Inc. * 115,000 4,049,150
Rotech Healthcare, Inc. * 11,500 248,688
------------
21,727,030
------------
Heavy Construction--0.5%
Horizon Offshore, Inc. * 223,000 1,110,540
M/I Schottenstein
Homes, Inc. 15,200 648,736
WCI Communities, Inc. *[star] 78,500 1,509,555
------------
3,268,831
------------
Heavy Machinery--2.8%
Actuant Corporation
Class A * 170,000 8,044,400
AGCO Corporation * 52,400 894,992
Alfa Laval AB (Sweden) 84,060 804,477
Asyst Technologies, Inc. * 139,000 929,910
Chicago Bridge & Iron
Company NV NY
Shares (Netherlands) 50,400 1,143,072
Eiffage SA (France) [star] 19,800 1,864,373
FMC Technologies, Inc. * 155,000 3,262,750
Heidelberger
Druckmaschinen
(Germany) [star] 53,700 1,346,727
Terex Corporation * 68,500 1,337,120
------------
19,627,821
------------
Home Construction, Furnishings &
Appliances--1.0%
Ryland Group, Inc. (The) 45,000 3,123,000
Standard-Pacific
Corporation 35,000 1,160,600
Toll Brothers, Inc. * 100,000 2,831,000
------------
7,114,600
------------
Industrial--Diversified--0.2%
Shimano, Inc. (Japan) 66,300 1,044,251
Vossloh AG (Germany) 13,994 503,084
------------
1,547,335
------------
- -----------------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------------
Insurance--9.6%
Aon Corporation 685,000 $ 16,494,800
April Group (France) 74,534 1,047,791
Fairfax Financial Holdings
Ltd. (Canada) 129,410 19,588,754
HCC Insurance
Holdings, Inc. 41,000 1,212,370
Kansas City Life
Insurance Company 22,800 976,752
Millea Holdings, Inc.
(Japan) [star] 873 6,685,693
Nipponkoa Insurance
Company Ltd. (Japan) [star] 4,027,000 13,605,865
Platinum Underwriters
Holdings Ltd.
(Bermuda) 38,600 1,047,604
PMA Capital Corporation,
Class A [star] 108,500 1,363,845
Pohjola Group PLC,
Series D (Finland) 63,400 1,087,466
Radian Group, Inc. 70,000 2,565,500
Scottish Annuity & Life
Holdings (Bermuda) 51,000 1,030,710
Swiss Life Holding
(Switzerland) 5,438 552,107
------------
67,259,257
------------
Lodging--2.7%
Hilton Hotels Corporation 1,165,000 14,900,350
Shangri-La Asia Ltd.
(Hong Kong) 1,156,000 733,789
Station Casinos, Inc. * 131,700 3,325,425
------------
18,959,564
------------
Media--Broadcasting & Publishing--10.6%
Caltagirone Editore SpA
(Italy) [star] 280,200 1,763,211
Carlton Communications
PLC (United Kingdom) 314,800 788,447
Comcast Corporation
Special Class A * 509,000 14,674,470
Eniro AB (Sweden) 135,830 1,163,990
Entercom
Communications
Corporation * 37,500 1,837,875
Lin TV Corporation
Class A * 36,000 847,800
Modern Times Group
(Sweden) 52,580 809,075
News Corporation Ltd.
(Australia) 928,000 6,978,783
News Corporation Ltd.
ADR (Australia) 348,000 10,533,960
NRJ Group (France) [star] 150,300 2,230,476
Radio One, Inc. * 150,000 2,665,500
Shaw Communications,
Inc. Class B (Canada) [star] 1,203,400 16,185,730
Sirius Satellite Radio,
Inc. * 665,000 1,123,850
SKY Perfect
Communications, Inc.
(Japan) [star] 13,569 9,293,526
Spanish Broadcasting
System, Inc. * 340,000 2,771,000
Telefonica Publicidad e
Informacion SA (Spain) 113,300 548,733
------------
74,216,426
------------
105
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Medical Equipment & Supplies--1.3%
Applera Corporation-
Celera Genomics Group * 120,600 $ 1,244,592
Bio-Rad Laboratories, Inc.
Class A *[star] 26,100 1,444,635
Biosite, Inc. * 23,400 1,125,540
Conmed Corporation * 63,000 1,150,380
Edwards Lifesciences
Corporation * 24,500 787,430
PolyMedica Corporation [star] 47,000 2,152,130
SRL, Inc. (Japan) 152,000 1,207,174
------------
9,111,881
------------
Medical Supplies--0.5%
Grandvision (France) 41,200 853,137
Hitachi Medical
Corporation (Japan) 49,000 547,760
Phonak Holding AG
(Switzerland) 69,221 888,401
Shimadzu Corporation
(Japan) 291,000 932,210
------------
3,221,508
------------
Metals & Mining--0.6%
Roper Industries, Inc. 73,200 2,723,040
Steel Dynamics, Inc. * 88,700 1,215,190
------------
3,938,230
------------
Office Equipment & Supplies--0.3%
Societe BIC SA (France) [star] 46,900 1,829,032
------------
Oil & Gas--2.1%
Cabot Oil & Gas
Corporation 36,500 1,007,765
Cal Dive International,
Inc. * 52,000 1,133,600
Encore Acquisition
Company * 45,900 878,985
Helmerich & Payne, Inc. 57,500 1,679,000
Key Energy Services, Inc. * 160,000 1,715,200
National-Oilwell, Inc. * 75,000 1,650,000
Nuevo Energy Company *[star] 76,400 1,333,180
Penn Virginia Corporation 23,500 1,010,500
Remington Oil & Gas
Corporation * 57,000 1,047,660
Ugi Corporation [star] 40,500 1,283,850
W-H Energy Services, Inc. * 112,500 2,191,500
------------
14,931,240
------------
Pharmaceuticals--6.0%
Abgenix, Inc. *[star] 129,500 1,358,455
Alkermes, Inc. * 166,300 1,787,725
Bachem AG Class B
(Switzerland) 20,120 991,228
Cambridge Antibody
Technology Group
(United Kingdom) 84,500 733,401
Cephalon, Inc. * 70,000 2,881,200
CV Therapeutics, Inc. *[star] 48,000 1,423,680
Encysive
Pharmaceuticals, Inc. *[star] 305,000 1,464,000
Gilead Sciences, Inc. * 12,000 666,960
Henry Schein, Inc. * 160,000 8,374,400
Human Genome
Sciences, Inc. * 98,000 1,246,560
NBTY, Inc. *[star] 61,000 1,284,660
Neurocrine Biosciences,
Inc. * 75,000 3,745,500
- -----------------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------------
Nippon Shinyaku
Company Ltd. (Japan) [star] 335,000 $ 1,771,836
NPS Pharmaceuticals, Inc. * 40,500 985,770
Omnicare, Inc. 285,000 9,630,150
Regeneron
Pharmaceuticals, Inc. * 61,500 968,625
Santen Pharmaceutical
Company Ltd. (Japan) 126,200 1,205,464
Towa Pharmaceutical
Company Ltd. (Japan) [star] 117,000 1,883,791
------------
42,403,405
------------
Photographic Equipment &
Supplies--0.2%
Nikon Corporation
(Japan) *[star] 173,000 1,427,355
------------
Real Estate--2.1%
Acadia Realty Trust REIT 54,600 499,590
Arden Realty, Inc. 49,000 1,271,550
Maguire Properties,
Inc. REIT * 63,000 1,212,750
MFA Mortgage
Investments, Inc. 92,500 928,700
Regency Centers
Corporation REIT 20,600 720,588
Trizec Canada, Inc.
(Canada) 993,000 10,416,570
------------
15,049,748
------------
Restaurants--1.3%
AFC Enterprises, Inc. *[star] 85,500 1,388,520
CEC Entertainment, Inc. * 100,000 3,693,000
Ruby Tuesday, Inc. 160,000 3,956,800
------------
9,038,320
------------
Retailers--5.4%
99 Cents Only Stores *o 0 11
A.C. Moore Arts &
Crafts, Inc. * 85,000 1,702,550
AnnTaylor Stores
Corporation * 115,000 3,329,250
C&S Company Ltd.
(Japan) [star] 92,400 1,425,274
Charming Shoppes, Inc. *[star] 257,500 1,279,775
David Jones Ltd.
(Australia) 1,127,454 999,278
Dollar Tree Store, Inc. * 67,900 2,154,467
Duane Reade, Inc. * 258,500 3,812,875
Electronics Boutique
Holdings Corporation * 47,000 1,086,170
Familymart Company Ltd.
(Japan) [star] 86,700 1,551,443
GameStop Corporation * 88,000 1,136,960
Guitar Center, Inc. *[star] 44,500 1,290,500
O'Reilly Automotive, Inc. * 208,500 6,961,815
School Specialty, Inc. * 175,000 4,980,500
SCP Pool Corporation * 31,000 1,066,400
Tsuruha Company Ltd.
(Japan) [star] 90,200 1,369,517
Tuesday Morning
Corporation * 100,000 2,630,000
Tweeter Home
Entertainment
Group, Inc. * 117,300 1,018,164
------------
37,794,949
------------
Telecommunications--3.2%
Elisa Communications
OYJ Class A (Finland) [star] 185,750 1,598,377
Ericsson SpA (Italy) 45,858 1,081,478
106
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund Shares Value
- -------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------
Informa Group PLC
(United Kingdom) 215,600 $ 830,482
MRV Communications,
Inc. * 378,530 760,845
MobileOne (Asia) Ltd.
(Singapore) [star] 1,962,000 1,493,329
Nippon Telegraph &
Telephone Corporation
(Japan) [star] 3,425 13,457,704
REMEC, Inc. *[star] 210,500 1,465,080
SeaChange International,
Inc. * 68,000 648,720
STET Hellas
Telecommunications SA
ADR (Greece) 137,000 1,267,250
-----------
22,603,265
-----------
Telephone Systems--0.0%
NII Holdings, Inc. Class B * 4,900 187,523
-----------
Textiles, Clothing & Fabrics--0.5%
Camaieu (France) 17,688 1,005,205
Genesco, Inc. * 60,000 1,062,000
Nagaileben Company Ltd.
(Japan) 44,800 1,009,093
Timberland Company
(The) * 11,700 618,462
-----------
3,694,760
-----------
Transportation--0.8%
Beijing Capital
International Airport
Company Ltd. (China) 2,882,000 702,192
Companhia de
Concessoes Rodoviarias
(Brazil) 99,200 314,849
Cosco Pacific Ltd. (Hong
Kong) 888,000 933,760
FirstGroup PLC (United
Kingdom) 267,900 1,195,809
Hutech Norin Company
Ltd. (Japan) 8,000 79,419
Knight Transportation,
Inc. * 49,500 1,232,550
USF Corporation 46,500 1,254,105
-----------
5,712,684
-----------
Water Companies--0.1%
South Staffordshire
Group PLC (United
Kingdom) 92,200 710,301
-----------
TOTAL COMMON STOCKS
(Cost $578,079,406) 671,813,288
-----------
- -----------------------------------------------------------------
PREFERRED STOCKS--0.3%
- -----------------------------------------------------------------
Heavy Machinery--0.2%
Jungheinrich AG
(Germany) 60,300 776,934
Krones AG (Germany) 9,400 562,316
-----------
1,339,250
-----------
Retailers--0.1%
Hornbach Holding AG
(Germany) 18,200 1,075,129
-----------
TOTAL PREFERRED STOCKS
(Cost $2,011,963) 2,414,379
-----------
- ------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------
CONVERTIBLE DEBT OBLIGATIONS--0.4%
- ------------------------------------------------------------------
Electronics--0.2%
EMCORE Corporation
5.000% 05/15/2006 [star] $1,970,000 $ 1,285,425
-----------
Pharmaceuticals--0.2%
Viropharma, Inc.
6.000% 03/01/2007 [star] 3,000,000 1,511,250
-----------
TOTAL CONVERTIBLE DEBT
OBLIGATIONS
(Cost $2,306,104) 2,796,675
-----------
- ------------------------------------------------------------------
COMMERCIAL PAPER--0.3%
- ------------------------------------------------------------------
Financial Services--0.3%
Fairway Finance Corporation
1.070% 07/03/2003
(Cost $1,999,881) 2,000,000 1,999,881
- ------------------------------------------------------------------
CASH EQUIVALENTS--17.2%
- ------------------------------------------------------------------
Institutional Money Market Funds--4.5%
BlackRock Tempcash Fund
1.101% 07/01/2003 + 17,210,062 17,210,062
Dreyfus Cash Management Plus Fund
1.102% 07/01/2003 + 3,774,136 3,774,136
Merrill Lynch Premier Institutional
Fund
1.045% 07/01/2003 + 5,612,673 5,612,673
Merrimac Cash Fund-Premium Class
1.052% 07/01/2003 + 4,981,860 4,981,860
-----------
31,578,731
-----------
Bank & Certificate Deposits/Offshore
Time Deposits--6.4%
American Express Centurion Bank
1.260% 07/07/2003 + 2,264,482 2,264,482
Bank of Montreal
1.150% 07/09/2003 + 1,150,398 1,150,398
Bank of Nova Scotia
1.050% 08/29/2003 + 7,548,273 7,548,273
BNP Paribas
1.030% 07/21/2003 + 5,132,826 5,132,826
Credit Agricole Indosuez
0.940% 07/01/2003 + 3,019,309 3,019,309
Den Danske Bank
1.040% 07/24/2003 + 3,019,309 3,019,309
Den Danske Bank
1.040% 07/28/2003 + 9,057,928 9,057,928
Harris Trust & Savings Bank
1.020% 07/30/2003 + 4,528,964 4,528,964
Royal Bank of Canada
1.031% 07/07/2003 + 3,170,275 3,170,275
Royal Bank of Scotland
1.125% 07/01/2003 + 6,038,618 6,038,618
-----------
44,930,382
-----------
Floating Rate Instruments/Master Notes--6.3%
Comerica Bank
1.073% 11/19/2003 + 1,509,655 1,509,655
Credit Suisse First Boston Corporation
1.415% 07/01/2003 + 15,096,546 15,096,546
Goldman Sachs Group Inc.
1.525% 07/02/2003 + 4,528,964 4,528,964
Goldman Sachs Group Inc.
1.210% 08/04/2003 + 3,019,309 3,019,309
Goldman Sachs Group Inc.
1.130% 09/17/2003 + 1,509,655 1,509,655
107
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund
- ------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------
CASH EQUIVALENTS--(Continued)
- ------------------------------------------------------------------
Liberty Lighthouse Funding
1.155% 01/15/2004 + $1,509,655 $ 1,509,655
Merrill Lynch & Company, Inc.
1.615% 11/26/2003 + 1,509,655 1,509,655
Morgan Stanley
1.455% 01/29/2004 + 3,774,137 3,774,137
Morgan Stanley
1.425% 09/26/2003 + 754,827 754,827
Morgan Stanley
1.425% 12/16/2003 + 7,548,273 7,548,273
Parkland (USA) LLC
1.018% 11/26/2003 + 3,019,309 3,019,309
------------
43,779,985
------------
TOTAL CASH EQUIVALENTS
(Cost $120,289,098) 120,289,098
------------
- ------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.6%
- ------------------------------------------------------------------
IBT Repurchase Agreement
dated 06/30/2003 due
07/01/2003, with a maturity
value of $18,376,872 and
an effective yield of
0.75% collateralized by
U.S. Government
Obligations with rates
ranging from 4.13%
to 5.86%, maturity
dates from 09/25/2023
to 07/01/2032 and an
aggregate market value
of $19,295,312. 18,376,489 18,376,489
------------
TOTAL INVESTMENTS^--116.6%
(Cost $723,062,941) 817,689,810
Other assets less liabilities--(16.6%) (116,544,046)
------------
NET ASSETS--100.0% $701,145,764
============
Notes to the Schedule of Investments:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
SDR Swedish Depositary Receipt
[star] Security has been pledged as collateral for forward foreign currency
exchange contracts.
* Non-income producing security.
& Security valued at fair value as determined by policies approved by the
board of directors.
** Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities generally may be resold only in transactions
exempt from registration, normally to qualified buyers.
o Rounds to less than 1 share.
+ Represents collateral received from securities lending transactions.
^ Fund has Securities on loan. See Note 6.
108 See accompanying notes to financial statements.
Schedule of Investments
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------
Vantagepoint
International Fund Shares Value
- ---------------------------------------------------------------------
COMMON STOCKS--94.7%
- ---------------------------------------------------------------------
Australia--1.8%
Alumina Ltd. 122,800 $ 335,588
Australia & New Zealand
Banking Group Ltd. 47,956 599,243
BHP Finance Ltd. 33,566 194,727
Brambles Industries Ltd. 57,300 175,827
Commonwealth Bank of
Australia 56,500 1,121,036
Foster's Brewing Group Ltd. 157,963 446,531
National Australia Bank Ltd. 53,500 1,203,406
News Corporation Ltd. 39,778 299,140
QBE Insurance Group Ltd. 65,460 409,643
WMC Resources Ltd. * 112,800 265,846
Woolworths Ltd. 85,236 716,541
------------
5,767,528
------------
Belgium--2.2%
Colruyt NV 200 13,851
Fortis 242,230 4,180,860
Interbrew 126,500 2,815,920
------------
7,010,631
------------
Brazil--0.6%
Companhia de Bebidas das
Americas ADR 3,500 71,225
Companhia Vale do Rio
Doce ADR 11,407 338,332
Companhia Vale do Rio
Doce Sponsored ADR 17,000 471,750
Petroleo Brasileiro SA 18,800 371,488
Telesp Celular Partcipacoes
SA ADR 181,500 707,850
------------
1,960,645
------------
Canada--3.4%
Abitibi-Consolidated, Inc. 61,200 388,629
BCE, Inc. 52,200 1,197,173
Bombardier, Inc. Class B 256,400 865,206
CanWest Global
Communications
Corporation * 84,600 540,346
Corus Entertainment, Inc.
Class B * 56,200 944,067
EnCana Corporation 72,200 2,756,214
Placer Dome, Inc. 24,700 300,930
Research In Motion Ltd. * 14,000 302,540
Suncor Energy, Inc. 21,400 400,411
Telus Corporation 44,400 783,877
Telus Corporation Non-
voting Shares 34,800 574,304
Thomson Corporation 50,900 1,593,561
------------
10,647,258
------------
China--0.2%
PetroChina Company Ltd.
Class H 1,818,800 548,102
------------
Denmark--0.6%
A P Moller - Maersk A/S 30 162,603
Novo Nordisk A/S 47,120 1,652,783
------------
1,815,386
------------
Finland--0.7%
Nokia OYJ 108,400 1,788,246
UPM-Kymmene OYJ 35,600 520,528
------------
2,308,774
------------
- ---------------------------------------------------------------------
Shares Value
- ---------------------------------------------------------------------
France--9.5%
Accor SA 10,400 $ 376,871
AXA 95,264 1,480,584
BNP Paribas SA 53,100 2,703,066
Bouygues SA 49,800 1,377,250
Carrefour Supermarche SA 83,180 4,084,061
Essilor International SA 11,500 464,094
France Telecom SA 44,100 1,083,649
Groupe Danone 7,000 970,362
JC Decaux SA * 165,400 2,074,010
L'Air Liquide SA 6,687 993,131
L'Oreal SA 8,000 565,076
Orange SA * 7,300 64,916
Pechiney SA Class A 11,000 395,577
Renault SA 26,600 1,408,853
Rhodia SA 169,400 1,097,162
Sanofi-Synthelabo SA 107,038 6,279,962
Schneider Electric SA 21,400 1,007,884
STMicroelectronics NV 51,670 1,085,396
Technip-Coflexip SA 2,500 219,151
Vivendi Universal SA * 127,600 2,326,638
------------
30,057,693
------------
Germany--7.6%
Allianz AG 76,202 6,345,032
Bayerische Motoren
Werke AG 9,500 366,115
DaimlerChrysler AG 17,100 598,024
Deutsche Bank AG 14,200 922,639
Deutsche Boerse AG 46,300 2,457,046
Deutsche Telekom AG * 199,000 3,042,474
Epcos AG * 6,071 78,361
Infineon Technologies
AG ADR * 5,900 56,581
Linde AG 67,000 2,484,956
Metro AG 16,400 531,094
Muenchener
Rueckversicherungs-
Gesellschaft AG 47,425 4,843,634
SAP AG 6,000 708,876
SAP AG ADR 1,400 40,908
Siemens AG 33,200 1,631,617
------------
24,107,357
------------
Hong Kong--1.3%
Cheung Kong
(Holdings) Ltd. [star] 98,000 589,396
China Mobile Ltd. 136,000 320,897
Hang Lung Properties Ltd. 323,000 292,012
Hang Seng Bank Ltd. 59,500 629,476
Hong Kong Land
Holdings Ltd. 203,000 253,750
Hutchison Whampoa Ltd. [star] 99,100 603,637
Johnson Electric
Holdings Ltd. 384,000 475,190
Li & Fung Ltd. 450,000 579,945
Shangri-La Asia Ltd. 32,000 20,313
Sun Hung Kai
Properties Ltd. 43,000 217,257
Swire Pacific Ltd. Class A 68,400 299,102
------------
4,280,975
------------
Ireland--0.3%
Allied Irish Banks PLC 800 11,973
CRH PLC 52,521 828,360
------------
840,333
------------
109
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------------
Vantagepoint
International Fund Shares Value
- -----------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------------
Italy--1.9%
Assicurazioni Generali 8,900 $ 206,614
Banca Nazionale del Lavoro * 270,100 453,656
ENI SpA 133,900 2,028,688
Mediaset SpA 29,000 245,875
Telecom Italia SpA RNC 535,200 2,936,861
------------
5,871,694
------------
Japan--10.8%
Acom Company Ltd. 9,400 340,335
Advantest Corporation 13,300 590,273
Aiful Corporation 6,400 273,363
Canon, Inc. 19,000 873,363
Chugai Pharmaceutical
Company Ltd. 41,400 471,090
Dai Nippon Printing
Company Ltd. 23,000 243,681
Daiwa Securities
Company Ltd. 90,000 518,061
Hirose Electronics
Company Ltd. 8,900 737,274
Hitachi Ltd. 71,000 301,485
Honda Motor Company Ltd. 127,800 4,851,005
Hoya Corporation 9,400 648,519
Aeon Company Ltd. [star] 56,000 1,284,725
Japan Airlines System
Corporation 105,000 229,499
Japan Telecom Holdings
Company Ltd. 88 267,957
Japan Tobacco, Inc. 333 1,802,928
Kansai Electric Power
Company (The) 23,500 371,311
Keyence Corporation 1,804 331,092
Mitsubishi Corporation 47,000 326,612
Mitsubishi Estate
Company Ltd. 86,000 583,282
Mitsubishi Heavy
Industries Ltd. 124,000 321,715
Mitsubishi Motor
Corporation * 102,000 230,600
Mitsui Fudosan
Company Ltd. 101,000 646,259
Mitsui Sumitomo Insurance
Company Ltd. 67,420 313,281
Murata Manufacturing
Company Ltd. 9,000 354,384
NEC Corporation * 162,000 810,878
NTT DoCoMo, Inc. 170 368,733
Nidec Corporation 800 52,924
Nikko Cordial Corporation 166,000 667,490
Nikon Corporation * 39,000 321,774
Nintendo Company Ltd. 700 50,980
Nissan Motor Company Ltd. [star] 191,000 1,829,215
Nitto Denko Corporation 13,600 445,883
Nomura Holdings, Inc. 56,000 711,971
Orix Corporation 14,600 808,743
Promise Company Ltd. 39,700 1,487,053
Rohm Company Ltd. [star] 9,700 1,059,256
Sankyo Company Ltd. 36,000 430,667
Sekisui House Ltd. 56,000 425,127
Shimamura Company Ltd. 4,200 232,302
Shionogi & Company Ltd. 48,000 651,506
SMC Corporation 3,200 269,892
Sony Corporation 23,100 651,356
Suzuki Motor Corporation [star] 99,000 1,290,048
TDK Corporation 11,400 563,961
Tokyo Electronics Ltd. [star] 32,600 1,547,460
- ---------------------------------------------------------------------
Shares Value
- ---------------------------------------------------------------------
Tokyu Corporation 100,000 $ 322,850
Toray Industries, Inc. 137,000 318,870
Tostem Inax Holding
Corporation 16,000 230,917
Yahoo Japan Corporation * 28 455,493
Yamanouchi Pharmaceutical
Company Ltd. 46,500 1,214,190
Yamato Transport
Company Ltd. 17,000 188,479
------------
34,320,112
------------
Luxembourg--0.3%
RTL Group 16,300 780,063
Societe Europeenne des
Satellites 44,200 287,289
------------
1,067,352
------------
Mexico--4.1%
America Movil SA
de CV ADR 29,700 556,875
Fomento Economico
Mexicano ADR 34,699 1,429,599
Grupo Modelo SA
de CV, Class C 652,900 1,485,992
Grupo Televisa SA ADR 68,900 2,377,050
Telefonos de Mexico
SA ADR 150,992 4,744,169
Wal-Mart de Mexico SA
de CV Series V 784,700 2,312,002
------------
12,905,687
------------
Netherlands--8.3%
ABN AMRO Holding NV 279,932 5,361,862
ASM Lithography
Holdings NV * 187,900 1,787,645
Aegon NV 202,839 2,034,777
Elsevier NV 11,800 139,412
Heineken Holding NV
Class A 20,675 595,564
Heineken NV 59,200 2,104,404
ING Groep NV 67,740 1,179,052
KPN NV * 220,300 1,563,682
Koninklijke (Royal) Philips
Electronics NV 32,600 621,050
Koninklijke (Royal) Philips
Electronics NV NY Shares 5,600 107,016
Koninklijke Numico NV CVA 9,200 141,821
Royal Dutch Petroleum
Company 84,700 3,938,480
Royal Dutch Petroleum
Company NY Shares 68,520 3,194,402
Unilever NV CVA 30,300 1,628,525
VNU NV 14,029 433,008
Wolters Kluwer NV 119,824 1,447,378
------------
26,278,078
------------
New Zealand--0.0%
Telecom Corporation of
New Zealand Ltd. 33,431 102,803
------------
Norway--0.6%
Norsk Hydro ASA 17,400 855,066
Norske Skogindustrier ASA 16,500 246,678
Statoil ASA 91,300 777,263
------------
1,879,007
------------
Poland--0.2%
Bank Pekao SA * 19,165 496,936
------------
Portugal--0.4%
Portugal Telecom SA 193,298 1,387,589
------------
110
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------
Vantagepoint
International Fund Shares Value
- ----------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------
Russia--0.4%
OAO Lukoil Holding ADR 15,400 $ 1,216,600
------------
Singapore--1.4%
DBS Group Holdings Ltd. 267,000 1,562,069
DBS Group Holdings Ltd.
ADR 144A **& 80,000 468,036
Singapore Airlines Ltd. 55,000 324,898
Singapore Press
Holdings Ltd. 42,000 436,568
Singapore Technologies
Engineering Ltd. 250,000 247,082
Singapore
Telecommunications Ltd. 1,253,000 1,074,681
Venture Corporation Ltd. 38,000 347,505
------------
4,460,839
------------
South Korea--0.8%
Hyundai Motor
Company GDR ** 29,200 386,237
KT Corporation ADR 900 17,739
Samsung Electronics
Company Ltd. GDR 144A ** 14,055 2,090,681
------------
2,494,657
------------
Spain--4.4%
Altadis SA 14,300 367,180
Banco Bilbao Vizcaya SA 168,900 1,777,868
Industria de Diseno Textil
SA (Inditex) 162,500 4,093,986
Promotora de
Informaciones SA (PRISA) 159,700 1,453,216
Repsol SA 148,419 2,410,866
Telefonica SA * 327,922 3,813,911
------------
13,917,027
------------
Sweden--0.7%
Assa Abloy AB 66,100 640,864
ForeningsSparbanken AB 60,900 841,865
Sandvik AB 11,000 288,297
Svenska Handelsbanken AB
Class A 23,400 383,487
------------
2,154,513
------------
Switzerland--11.8%
Ciba Specialty
Chemicals AG * 44,900 2,723,527
Clariant AG * 172,500 1,582,276
Compagnie Financiere
Richemont AG 88,627 1,435,759
Credit Suisse Group 121,896 3,214,552
Holcim Ltd. 35,243 1,304,814
Julius Baer Holding AG
Class B 4,985 1,224,263
Nestle SA 34,658 7,165,670
Novartis AG [star] 134,537 5,334,307
Roche Holding AG 35,335 2,777,190
Roche Holding AG Bearer
Shares 1,300 160,114
Serono SA Class B 2,415 1,422,007
Swiss Re 45,931 2,549,929
Swisscom AG 6,230 1,774,272
Synthes-Stratec, Inc. 483 347,641
UBS AG 79,055 4,406,402
------------
37,422,723
------------
- ---------------------------------------------------------------------
Shares Value
- ---------------------------------------------------------------------
Taiwan--0.2%
Taiwan Semiconductor
Manufacturing Company
Ltd. ADR * 76,815 $ 774,295
------------
United Kingdom--20.2%
ARM Holdings PLC * 80,000 88,612
AstraZeneca Group PLC 35,100 1,410,064
AstraZeneca Group PLC 95,784 3,888,398
BG Group PLC 295,800 1,313,009
BOC Group PLC 34,200 439,594
Barclays PLC 98,000 729,061
BHP Billiton PLC 228,728 1,206,245
Brambles Industries PLC 26,800 72,661
British Aerospace PLC 1,366,079 3,218,223
BT Group PLC 33,400 112,504
Carlton Communications
PLC 334,900 838,790
Centrica PLC 162,100 470,981
Compass Group PLC 1,059,370 5,722,538
Diageo PLC 439,504 4,701,024
GlaxoSmithKline PLC 12,000 242,624
Granada Compass PLC 1,713,677 2,578,076
HSBC Holdings PLC 119,600 1,415,695
HBOS PLC 53,400 692,563
Imperial Chemical
Industries PLC 1,056,700 2,144,365
Kingfisher PLC 298,300 1,367,257
Lloyds TSB Group PLC 604,300 4,298,321
Marks & Spencer
Group PLC 843,323 4,402,128
MM02 PLC * 597,800 560,851
National Grid Transco PLC 120,500 818,756
Next PLC 143,700 2,438,603
Pearson PLC 141,000 1,319,353
Prudential Corporation PLC 62,500 379,203
Reckitt Benckiser PLC 15,900 292,299
Reed International PLC 41,600 346,788
Reuters Group PLC 98,400 285,901
Royal Bank of Scotland
Group PLC 91,400 2,568,742
Smiths Group PLC 124,000 1,441,128
Standard Chartered PLC 83,700 1,018,424
Tesco PLC 1,194,335 4,329,036
TI Automotive Ltd. 70,000 --
Unilever PLC 103,700 827,183
Vodafone Group PLC 2,931,416 5,742,767
Xstrata PLC 38,750 257,848
------------
63,979,615
------------
TOTAL COMMON STOCKS
(Cost $297,319,471) 300,074,209
------------
- ---------------------------------------------------------------------
PREFERRED STOCKS--1.2%
- ---------------------------------------------------------------------
Brazil--0.1%
Banco Bradesco SA 72,235,900 270,885
Banco Itau Holdings
Finance 3,418,400 228,212
------------
499,097
------------
Germany--1.1%
Henkel KGaA, Vorzug 55,650 3,451,305
------------
TOTAL PREFERRED STOCKS
(Cost $4,124,255) 3,950,402
------------
111
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------------
Vantagepoint
International Fund
- ----------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ----------------------------------------------------------------------------
CORPORATE OBLIGATIONS--0.1%
- ----------------------------------------------------------------------------
Switzerland--0.1%
Credit Suisse Group Finance
(Cost $150,029)
6.000% 12/23/2005 $ 222,000 $ 189,591
------------
- -----------------------------------------------------------------------------
CONVERTIBLE DEBT OBLIGATIONS--0.0%
- -----------------------------------------------------------------------------
Cayman Islands--0.0%
SMFG Finance Ltd.
(Cost $119,012)
2.250% 07/11/2005 21,000,000 163,260
------------
- -----------------------------------------------------------------------------
CASH EQUIVALENTS--10.3%
- -----------------------------------------------------------------------------
Institutional Money Market Funds--2.7%
BlackRock Tempcash Fund
1.101% 07/01/2003 + 4,662,029 4,662,029
Dreyfus Cash Management Plus Fund
1.102% 07/01/2003 + 1,022,375 1,022,375
Merrill Lynch Premier Institutional
Fund
1.045% 07/01/2003 + 1,520,415 1,520,415
Merrimac Cash Fund-Premium Class
1.052% 07/01/2003 + 1,349,535 1,349,535
------------
8,554,354
------------
Bank & Certificate Deposits/Offshore
Time Deposits--3.8%
American Express Centurion Bank
1.260% 07/07/2003 + 613,425 613,425
Bank of Montreal
1.150% 07/09/2003 + 311,631 311,631
Bank of Nova Scotia
1.050% 08/29/2003 + 2,044,749 2,044,749
BNP Paribas
1.030% 07/21/2003 + 1,390,430 1,390,430
Credit Agricole Indosuez
0.940% 07/01/2003 + 817,900 817,900
Den Danske Bank
1.040% 07/28/2003 + 2,453,699 2,453,699
Den Danske Bank
1.040% 07/24/2003 + 817,900 817,900
Harris Trust & Savings Bank
1.020% 07/30/2003 + 1,226,850 1,226,850
Royal Bank of Canada
1.031% 07/07/2003 + 858,795 858,795
Royal Bank of Scotland
1.125% 07/01/2003 + 1,635,799 1,635,799
------------
12,171,178
------------
Floating Rate Instruments/Master Notes--3.8%
Comerica Bank
1.073% 11/19/2003 + 408,950 408,950
Credit Suisse First Boston Corporation
1.415% 07/01/2003 + 4,089,499 4,089,499
Goldman Sachs Group Inc.
1.525% 07/02/2003 + 1,226,850 1,226,850
Goldman Sachs Group Inc.
1.210% 08/04/2003 + 817,900 817,900
- -----------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -----------------------------------------------------------------------------
Goldman Sachs Group Inc.
1.130% 09/17/2003 + $ 408,950 $ 408,950
Liberty Lighthouse Funding
1.155% 01/15/2004 + 408,950 408,950
Merrill Lynch & Company, Inc.
1.615% 11/26/2003 + 408,950 408,950
Morgan Stanley
1.455% 01/29/2004 + 1,022,375 1,022,375
Morgan Stanley
1.425% 12/16/2003 + 2,044,749 2,044,749
Morgan Stanley
1.425% 09/26/2003 + 204,475 204,475
Parkland (USA) LLC
1.018% 11/26/2003 + 817,900 817,900
------------
11,859,548
------------
TOTAL CASH EQUIVALENTS
(Cost $32,585,080) 32,585,080
------------
- -----------------------------------------------------------------------------
REPURCHASE AGREEMENTS--3.7%
- -----------------------------------------------------------------------------
United States--3.7%
IBT Repurchase Agreement
dated 06/30/2003 due
07/01/2003, with a
maturity value of
$11,622,320 and an
effective yield of 0.75%
collateralized by U.S.
Government Obligations
with rates ranging from
4.07% to 4.13%, maturity
dates from 11/01/2022 to
10/25/2026 and an
aggregate market value
of $12,203,612. 11,622,078 11,622,078
------------
TOTAL INVESTMENTS^--110.0%
(Cost $345,919,925)
348,584,620
Other assets less liabilities--(10.0%) (31,663,732)
------------
NET ASSETS--100.0% $316,920,888
============
Notes to the Schedule of Investments:
ADR American Depositary Receipt
GDR Global Depositary Receipt
* Non-income producing security.
[star] Security has been pledged as collateral for forward foreign currency
exchange contracts.
** Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities generally may be resold only in transactions
exempt from registration, normally to qualified buyers.
& Security valued at fair value as determined by policies approved by the
board of directors.
+ Represents collateral received from securities lending transactions.
^ Fund has Securities on loan. See Note 6.
112 See accompanying notes to financial statements.
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------
Vantagepoint International Fund
- --------------------------------------------------
Percentage of Portfolio by Industry (unaudited):
Banking 11.4%
Beverages, Food & Tobacco 10.2%
Telecommunications 8.9%
Financial Services 8.7%
Pharmaceuticals 6.2%
Oil & Gas 6.1%
Insurance 5.4%
Electronics 5.3%
Retailers 4.2%
Bank & Certificate Deposits/Offshore
Time Deposits 3.8%
Floating Rate Instruments/Master Notes 3.7%
Media--Broadcasting & Publishing 3.6%
Automotive 3.1%
Chemicals 3.0%
Food Retailers 2.7%
Institutional Money Market Funds 2.7%
Diversified 2.5%
Medical Equipment & Supplies 2.1%
Communications 1.7%
Commercial Services 1.5%
Metals & Mining 1.4%
Textiles, Clothing & Fabrics 1.4%
Aerospace & Defense 1.3%
Real Estate 1.3%
Cosmetics & Personal Care 1.3%
Industrial--Diversified 0.8%
Heavy Machinery 0.8%
Advertising 0.7%
Telephone Systems 0.6%
Transportation 0.6%
Heavy Construction 0.6%
Forest Products & Paper 0.4%
Electric Utilities 0.4%
Construction 0.3%
Computers & Information 0.3%
Computer Software & Processing 0.2%
Electrical Equipment 0.2%
Airlines 0.2%
Lodging 0.1%
Medical Supplies 0.1%
Photographic Equipment & Supplies 0.1%
Household Products 0.1%
Entertainment & Leisure 0.0%
-----
TOTAL INVESTMENTS 110.0%
Other assets less liabilities (10.0)%
-----
TOTAL NET ASSETS 100.0%
=====
See accompanying notes to financial statements. 113
Schedule of Investments
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------
Model Portfolio Savings
Oriented Fund Shares Value
- -----------------------------------------------------------------
MUTUAL FUNDS--99.8%
- -----------------------------------------------------------------
Vantagepoint Equity
Income Fund 2,583,188 $ 17,410,687
Vantagepoint Growth &
Income Fund 2,120,911 17,391,468
Vantagepoint Income
Preservation Fund 1,147,151 114,715,101
Vantagepoint International
Fund 1,188,931 8,619,750
Vantagepoint US
Government Securities
Fund 1,615,874 17,548,389
-------------
175,685,395
-------------
TOTAL INVESTMENTS--99.8%
(Cost $172,964,535) 175,685,395
Other assets less liabilities--0.2% 325,319
-------------
NET ASSETS--100.0% $ 176,010,714
=============
114 See accompanying notes to financial statements.
Schedule of Investments
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------
Model Portfolio Conservative
Growth Fund Shares Value
- ----------------------------------------------------------------
MUTUAL FUNDS--99.8%
- ----------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 2,121,901 $ 15,786,947
Vantagepoint Core Bond
Index Fund Class I 2,971,090 31,493,554
Vantagepoint Equity
Income Fund 4,654,392 31,370,605
Vantagepoint Growth &
Income Fund 3,821,004 31,332,231
Vantagepoint Growth
Fund 4,499,602 31,362,225
Vantagepoint Income
Preservation Fund 1,584,301 158,430,063
Vantagepoint International
Fund 2,155,278 15,625,763
------------
315,401,388
------------
TOTAL INVESTMENTS--99.8%
(Cost $316,641,106) 315,401,388
Other assets less liabilities--0.2% 497,225
------------
NET ASSETS--100.0% $315,898,613
============
See accompanying notes to financial statements. 115
Schedule of Investments
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------
Model Portfolio Traditional
Growth Fund Shares Value
- ----------------------------------------------------------------
MUTUAL FUNDS--99.9%
- ----------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 8,496,419 $ 63,213,358
Vantagepoint Core Bond
Index Fund Class I 5,947,952 63,048,293
Vantagepoint Equity
Income Fund 9,304,199 62,710,303
Vantagepoint Growth &
Income Fund 11,445,904 93,856,416
Vantagepoint Growth
Fund 13,480,074 93,956,114
Vantagepoint Income
Preservation Fund 1,908,955 190,895,516
Vantagepoint
International Fund 8,630,887 62,573,928
------------
630,253,928
------------
TOTAL INVESTMENTS--99.9%
(Cost $659,169,257) 630,253,928
Other assets less liabilities--0.1% 644,048
------------
NET ASSETS--100.0% $630,897,976
============
116 See accompanying notes to financial statements.
Schedule of Investments
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------
Model Portfolio Long-Term
Growth Fund Shares Value
- ---------------------------------------------------------------
MUTUAL FUNDS--99.9%
- ---------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 12,805,567 $ 95,273,416
Vantagepoint Core Bond
Index Fund Class I 11,979,267 126,980,226
Vantagepoint Equity
Income Fund 9,382,364 63,237,132
Vantagepoint Growth &
Income Fund 15,380,078 126,116,637
Vantagepoint Growth
Fund 18,116,860 126,274,512
Vantagepoint
International Fund 8,697,640 63,057,892
Vantagepoint Overseas
Equity Index Fund
Class I 4,530,996 31,490,419
------------
632,430,234
------------
TOTAL INVESTMENTS--99.9%
(Cost $724,781,931) 632,430,234
Other assets less liabilities--0.1% 330,767
------------
NET ASSETS--100.0% $632,761,001
============
See accompanying notes to financial statements. 117
Schedule of Investments
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------
Model Portfolio All-Equity
Growth Fund Shares Value
- ----------------------------------------------------------------
MUTUAL FUNDS--100.0%
- ----------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 2,126,663 $15,822,376
Vantagepoint Equity
Income Fund 1,751,439 11,804,702
Vantagepoint Growth &
Income Fund 1,915,141 15,704,159
Vantagepoint Growth
Fund 2,820,092 19,656,044
Vantagepoint
International Fund 2,170,216 15,734,066
-----------
78,721,347
-----------
TOTAL INVESTMENTS--100.0%
(Cost $82,483,797) 78,721,347
Other assets less liabilities--(0.0%) (15,158)
-----------
NET ASSETS--100.0% $78,706,189
===========
118 See accompanying notes to financial statements.
Financial Statements
of
Master Investment Portfolio
119
MASTER INVESTMENT PORTFOLIO
Statements of Assets & Liabilities
June 30, 2003 (Unaudited)
Bond Index Extended Index
Master Portfolio Master Portfolio
------------------ ------------------
ASSETS
Investments at cost:
Unaffiliated issuers .................. $763,362,029 $214,028,953
------------ ------------
Non-controlled affiliated issuers ..... $ -- $ --
------------ ------------
Foreign currency, at cost .............. $ -- $ --
------------ ------------
Investments in securities, at value
(including securities on loan(1))
(Note 1):
Unaffiliated issuers .................. $798,650,868 $178,762,449
Non-controlled affiliated issuers ..... -- --
Cash pledged for margin
requirements (Note 1) ................. -- --
Foreign currency, at value ............. -- --
Receivables:
Investment securities sold ............ 16,629,500 97,333
Dividends and interest ................ 6,552,628 145,637
Unrealized gain on forward foreign
currency exchange contracts ........... -- --
------------ ------------
Total Assets ......................... 821,832,996 179,005,419
------------ ------------
LIABILITIES
Payables:
Investment securities purchased ....... 68,779,662 128,768
Due to broker--variation margin ....... -- 6,400
Collateral for securities loaned
(Note 4) ............................. 97,019,853 19,832,817
Due to bank ........................... -- 437
Advisory fees (Note 2) ................ 94,993 19,309
Administration fees (Note 2) .......... -- 18,088
Unrealized loss on forward foreign
currency exchange contracts ........... -- --
------------ ------------
Total Liabilities .................... 165,894,508 20,005,819
------------ ------------
NET ASSETS ............................. $655,938,488 $158,999,600
============ ============
International Index S&P 500 Index U.S. Equity Index
Master Portfolio Master Portfolio Master Portfolio
--------------------- ------------------ ------------------
ASSETS
Investments at cost:
Unaffiliated issuers .................. $146,018,926 $3,082,175,264 $ --
------------ -------------- ------------
Non-controlled affiliated issuers ..... $ 1,030,497 $ -- $ --
------------ -------------- ------------
Foreign currency, at cost .............. $ 184,290 $ -- $ --
------------ -------------- ------------
Investments in securities, at value
(including securities on loan(1))
(Note 1):
Unaffiliated issuers .................. $123,788,194 $2,990,490,543 $444,565,447
Non-controlled affiliated issuers ..... 1,140,721 -- --
Cash pledged for margin
requirements (Note 1) ................. 1,206,335 -- --
Foreign currency, at value ............. 182,585 -- --
Receivables:
Investment securities sold ............ 102,322 -- --
Dividends and interest ................ 485,269 3,505,157 --
Unrealized gain on forward foreign
currency exchange contracts ........... 66,241 -- --
------------ -------------- ------------
Total Assets ......................... 126,971,667 2,993,995,700 444,565,447
------------ -------------- ------------
LIABILITIES
Payables:
Investment securities purchased ....... 179,859 -- --
Due to broker--variation margin ....... 988,179 22,260 --
Collateral for securities loaned
(Note 4) ............................. 14,061,587 142,749,585 --
Due to bank ........................... -- -- --
Advisory fees (Note 2) ................ 22,557 255,909 7,059
Administration fees (Note 2) .......... 29,852 -- 7,059
Unrealized loss on forward foreign
currency exchange contracts ........... 2,002 -- --
------------ -------------- ------------
Total Liabilities .................... 15,284,036 143,027,754 14,118
------------ -------------- ------------
NET ASSETS ............................. $111,687,631 $2,850,967,946 $444,551,329
============ ============== ============
- -------
(1) Securities on loan with market values of $95,171,354, $18,898,114,
$13,357,771, $137,590,771 and $--, respectively. See Note 4.
The accompanying notes are an integral part of these financial statements.
120
MASTER INVESTMENT PORTFOLIO
Statements of Operations
For the Six Months Ended June 30, 2003 (Unaudited)
Bond Index Extended Index
Master Portfolio Master Portfolio
------------------ ------------------
NET INVESTMENT INCOME
Dividends(1) ............................... $ -- $ 891,031
Interest ................................... 13,798,912 11,970
Securities lending income .................. 30,922 22,413
Expenses allocated from Master
Portfolios (See Note 1) ................... -- --
----------- ------------
Total investment income .................... 13,829,834 925,414
----------- ------------
EXPENSES (Note 2)
Advisory fees .............................. 250,757 54,043
Administration fees ........................ -- 13,511
----------- ------------
Total expenses ............................. 250,757 67,554
----------- ------------
NET INVESTMENT INCOME ...................... 13,579,077 857,860
----------- ------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of
investments ............................... 4,970,859 (4,091,830)
Net realized gain (loss) on futures
contracts ................................. -- 50,845
Net realized gain on foreign
currency transactions ..................... -- --
Net change in unrealized
appreciation (depreciation) of
investments ............................... 6,057,227 25,619,968
Net change in unrealized
appreciation (depreciation) of
futures contracts ......................... -- (3,295)
Net change in unrealized
appreciation (depreciation) on
translation of assets and
liabilities in foreign currencies ......... -- --
----------- ------------
NET GAIN ON INVESTMENTS .................... 11,028,086 21,575,688
----------- ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ................. $24,607,163 $ 22,433,548
=========== ============
International Index S&P 500 Index U.S. Equity Index
Master Portfolio Master Portfolio Master Portfolio
--------------------- ------------------ ------------------
NET INVESTMENT INCOME
Dividends(1) ............................... $ 1,748,422 $ 21,247,302 $ 3,215,298(2)
Interest ................................... 5,449 748,126 120,231(2)
Securities lending income .................. 22,047 44,064 --
Expenses allocated from Master
Portfolios (See Note 1) ................... -- -- (116,157)(2)
------------- ------------- -------------
Total investment income .................... 1,775,918 22,039,492 3,219,372
------------- ------------- -------------
EXPENSES (Note 2)
Advisory fees .............................. 71,286 620,619 19,704
Administration fees ........................ 47,524 -- 19,704
------------- ------------- -------------
Total expenses ............................. 118,810 620,619 39,408
------------- ------------- -------------
NET INVESTMENT INCOME ...................... 1,657,108 21,418,873 3,179,964
------------- ------------- -------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of
investments ............................... (2,232,742) (51,725,104) (8,248,097)(2)
Net realized gain (loss) on futures
contracts ................................. (23,218) 7,697,446 --
Net realized gain on foreign
currency transactions ..................... 124,873 -- --
Net change in unrealized
appreciation (depreciation) of
investments ............................... 10,264,998 310,520,446 55,128,258(2)
Net change in unrealized
appreciation (depreciation) of
futures contracts ......................... 6,318 1,004,340 --
Net change in unrealized
appreciation (depreciation) on
translation of assets and
liabilities in foreign currencies ......... 10,013 -- --
------------- ------------- -------------
NET GAIN ON INVESTMENTS .................... 8,150,242 267,497,128 46,880,161
------------- ------------- -------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ................. $ 9,807,350 $ 288,916,001 $ 50,060,125
============= ============= =============
- -------
(1) Net of foreign withholding tax of $--, $791, $287,968, $6,109 and $1,234,
respectively.
(2) Allocated from underlying Master Portfolios.
The accompanying notes are an integral part of these financial statements.
121
MASTER INVESTMENT PORTFOLIO
Statements of Changes in Net Assets
Bond Index Master Portfolio Extended Index Master Portfolio
----------------------------------- -----------------------------------
For the Six For the Six
Months Ended For the Months Ended For the
June 30, 2003 Year Ended June 30, 2003 Year Ended
(Unaudited) December 31, 2002 (Unaudited) December 31, 2002
--------------- ------------------- --------------- -------------------
INCREASE (DECREASE)
IN NET ASSETS
Operations:
Net investment income ............ $ 13,579,077 $ 30,232,332 $ 857,860 $ 1,621,846
Net realized gain (loss) ......... 4,970,859 9,762,741 (4,040,985) (7,408,057)
Net change in unrealized
appreciation
(depreciation) .................. 6,057,227 16,148,940 25,616,673 (24,550,999)
------------- --------------- ------------ -------------
Net increase (decrease)
in net assets resulting
from operations .................. 24,607,163 56,144,013 22,433,548 (30,337,210)
------------- --------------- ------------ -------------
Interestholder transactions:
Contributions .................... 94,255,831 235,474,677 14,413,850 30,975,705
Withdrawals ...................... (93,409,081) (204,797,701) (9,039,604) (32,385,207)
------------- --------------- ------------ -------------
Net increase (decrease)
in net assets resulting
from interestholder
transactions ..................... 846,750 30,676,976 5,374,246 (1,409,502)
------------- --------------- ------------ -------------
Increase (decrease) in
net assets ....................... 25,453,913 86,820,989 27,807,794 (31,746,712)
NET ASSETS:
Beginning of period ............... 630,484,575 543,663,586 131,191,806 162,938,518
------------- --------------- ------------ -------------
End of period ..................... $ 655,938,488 $ 630,484,575 $158,999,600 $ 131,191,806
============= =============== ============ =============
International Index Master
Portfolio
----------------------------------
For the Six
Months Ended For the
June 30, 2003 Year Ended
(Unaudited) December 31, 2002
--------------- ------------------
INCREASE (DECREASE)
IN NET ASSETS
Operations:
Net investment income ............ $ 1,657,108 $ 1,759,925
Net realized gain (loss) ......... (2,131,087) (6,912,895)
Net change in unrealized
appreciation
(depreciation) .................. 10,281,329 (10,611,535)
------------ --------------
Net increase (decrease)
in net assets resulting
from operations .................. 9,807,350 (15,764,505)
------------ --------------
Interestholder transactions:
Contributions .................... 17,871,279 48,313,518
Withdrawals ...................... (6,926,447) (34,072,197)
------------ --------------
Net increase (decrease)
in net assets resulting
from interestholder
transactions ..................... 10,944,832 14,241,321
------------ --------------
Increase (decrease) in
net assets ....................... 20,752,182 (1,523,184)
NET ASSETS:
Beginning of period ............... 90,935,449 92,458,633
------------ --------------
End of period ..................... $111,687,631 $ 90,935,449
============ ==============
The accompanying notes are an integral part of these financial statements.
122
MASTER INVESTMENT PORTFOLIO
Statements of Changes in Net Assets (Continued)
S&P 500 Index Master Portfolio U.S. Equity Index Master Portfolio
------------------------------------- ----------------------------------
For the Six For the Six
Months Ended For the Months Ended For the
June 30, 2003 Year Ended June 30, 2003 Year Ended
(Unaudited) December 31, 2002 (Unaudited) December 31, 2002
----------------- ------------------- --------------- ------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income ........................ $ 21,418,873 $ 40,577,166 $ 3,179,964 $ 6,268,921
Net realized loss ............................ (44,027,658) (255,819,289) (8,248,097) (42,334,208)
Net change in unrealized appreciation
(depreciation) .............................. 311,524,786 (457,092,164) 55,128,258 (69,941,398)
-------------- -------------- ------------- --------------
Net increase (decrease) in net assets resulting
from operations .............................. 288,916,001 (672,334,287) 50,060,125 (106,006,685)
-------------- -------------- ------------- --------------
Interestholder transactions:
Contributions ................................ 680,765,775 1,124,925,648 30,983,068 51,638,612
Withdrawals .................................. (458,632,915) (904,586,226) (16,064,818) (67,100,403)
-------------- -------------- ------------- --------------
Net increase (decrease) in net assets resulting
from interestholder transactions ............. 222,132,860 220,339,422 14,918,250 (15,461,791)
-------------- -------------- ------------- --------------
Increase (decrease) in net assets ............. 511,048,861 (451,994,865) 64,978,375 (121,468,476)
NET ASSETS:
Beginning of period ........................... 2,339,919,085 2,791,913,950 379,572,954 501,041,430
-------------- -------------- ------------- --------------
End of period ................................. $2,850,967,946 $2,339,919,085 $ 444,551,329 $ 379,572,954
============== ============== ============= ==============
The accompanying notes are an integral part of these financial statements.
123
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)
1. Significant Accounting Policies
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company organized as a Delaware business trust. MIP currently
consists of the following separate portfolios: Asset Allocation, Bond Index,
Extended Index, International Index, LifePath Retirement (formerly LifePath
Income), LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money
Market, Prime Money Market, Russell 2000 Index, S&P 500 Index and U.S. Equity
Index Master Portfolios.
These financial statements relate only to the Bond Index, Extended Index,
International Index, S&P 500 Index and U.S. Equity Index Master Portfolios
(each, a "Master Portfolio", collectively the "Master Portfolios").
The following is a summary of significant accounting policies which are
consistently followed by MIP in the preparation of its financial statements.
Such policies are in conformity with accounting principles generally accepted
in the United States of America ("U.S. GAAP") for investment companies. The
preparation of financial statements in conformity with U.S. GAAP requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of revenue and
expenses during the reporting period. Actual results could differ from those
estimates.
Security Valuation
The equity securities of each Master Portfolio are valued at the last
reported sales price on the primary securities exchange or national securities
market on which such securities are traded. Beginning April 14, 2003,
securities for which the primary market is the National Association of
Securities Dealers Automated Quotations National Market System ("NASDAQ") are
valued at the NASDAQ Official Closing Price. Securities not listed on an
exchange or national securities market, or securities for which there was no
last reported sales price, are valued at the most recent bid prices. Debt
securities are generally traded in the over-the-counter market and are valued
at a price deemed best to reflect fair value as quoted by dealers who make
markets in those securities or by an independent pricing source. U.S.
Government obligations are valued at the last reported bid price. Debt
securities maturing in 60 days or less are valued at amortized cost, which
approximates market value. Mutual fund shares are valued at net asset value.
Any securities, restricted securities or other assets for which market
quotations are not readily available, or for which a significant event has
occurred since the time of the most recent market quotation, are valued in
accordance with fair value pricing policies approved by MIP's Board of
Trustees.
The U.S. Equity Index Master Portfolio seeks to achieve its investment
objective by investing all of its assets in the Extended Index and S&P 500
Index Master Portfolios. The value of the U.S. Equity Index Master Portfolio's
investment in the Extended Index and S&P 500 Index Master Portfolios reflects
the U.S. Equity Index Master Portfolio's interest in the net assets of these
Master Portfolios (59.32% and 12.29%, respectively, as of June 30, 2003).
Security Transactions and Income Recognition
Security transactions are accounted for on trade date. Dividend income is
recognized on the ex-dividend date, and interest income is accrued daily.
Realized gains and losses on investment transactions are determined using the
specific identification method. The Master Portfolios amortize premiums and
accrete discounts on debt securities purchased, using a constant yield to
maturity method.
The U.S. Equity Index Master Portfolio records daily its proportionate
interest in the net investment income and realized and unrealized capital gains
and losses of the Extended Index and S&P 500 Index Master Portfolios. The
expenses allocated from Master Portfolios on the Statement
124
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued)
of Operations include Advisory and Administration fees of $108,028 and $8,129,
respectively, allocated from the Extended Index and S&P 500 Index Master
Portfolios. In addition, the U.S. Equity Index Master Portfolio accrues its own
expenses.
Foreign Currency Translation
The accounting records of each Master Portfolio are maintained in U.S.
dollars. Investment securities and other assets and liabilities denominated in
foreign currencies are translated into U.S. dollars at the prevailing rates of
exchange at the end of each day. Purchases and sales of securities, income
receipts and expense payments are translated into U.S. dollars at the
prevailing exchange rate on the respective date of such transactions.
Each Master Portfolio does not isolate the effect of fluctuations in
foreign exchange rates from the effect of fluctuations in the market prices of
securities. Such fluctuations are reflected by the Master Portfolios as a
component of realized and unrealized gains and losses from investments for
financial reporting purposes.
Federal Income Taxes
MIP believes that each Master Portfolio has and will continue to be
operated in a manner so as to qualify it as a partnership for federal income
tax purposes. Provided that each Master Portfolio so qualifies, it will not be
subject to any federal income tax on its income and gain (if any). However,
each investor in a Master Portfolio will be taxed on its distributive share of
the Master Portfolio's taxable income in determining its federal income tax
liability. As a partnership for federal income tax purposes, each Master
Portfolio will be deemed to have "passed through" to interestholders any
interest, dividends, gains or losses for such purposes. The determination of
such share will be made in accordance with the Internal Revenue Code of 1986,
as amended (the "Code"), and regulations promulgated thereunder.
It is intended that each Master Portfolio's assets, income and
distributions will be managed in such a way that an entity electing and
qualifying as a "regulated investment company" under the Code can continue to
so qualify by investing substantially all of its assets through the Master
Portfolio, provided that the regulated investment company meets other
requirements for such qualification not within the control of the Master
Portfolio (e.g. distributing at least 90% of the regulated investment company's
"investment company taxable income" annually).
Futures Contracts
The Master Portfolios may purchase futures contracts to gain exposure to
market changes as this may be more efficient or cost effective than actually
buying the securities. A futures contract is an agreement between two parties
to buy and sell a security at a set price on a future date and is exchange
traded. Upon entering into a futures contract, the Master Portfolio is required
to pledge to the broker an amount of cash, U.S. Government securities or other
high-quality debt securities equal to the minimum "initial margin" requirements
of the exchange. Pursuant to the contract, the Master Portfolio 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 are known
as "variation margin" and are recorded by the Master Portfolio as unrealized
gains or losses. When the contract is closed, the Master Portfolio records 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. Pursuant to
regulations and/or published positions of the Securities and Exchange
Commission, the Master Portfolio is required to segregate cash, U.S. Government
securities or high quality, liquid debt instruments in connection with futures
transactions. Risks of entering into futures contracts include the possibility
that there may be an illiquid market and that a change in the value of the
contracts may not correlate with changes in the value of the underlying
securities.
125
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued)
At June 30, 2003, the open futures contracts outstanding were as follows:
Net Unrealized
Number of Futures Expiration Notional Appreciation
Master Portfolio Contracts Index Date Contract Value (Depreciation)
- --------------------------- ----------- ---------------- ------------ ---------------- ---------------
Extended Index
Master Portfolio ......... 9 S&P MidCap 400 09/19/03 $ 2,181,770 $ (21,465)
============
International Index
Master Portfolio ......... 10 Euro 50 09/19/03 $ 294,607 $ (6,618)
4 FTSE 100 07/19/03 279,013 (9,030)
13 Nikkei 300 09/11/03 183,427 6,970
------------
$ (8,678)
============
S&P 500 Index
Master Portfolio ......... 421 S&P 500 09/19/03 $103,833,680 $ (1,393,955)
============
The Extended Index and S&P 500 Index Master Portfolios have pledged to
brokers U.S. Treasury Bills for initial margin requirements with face amounts
of $100,000 and $9,450,000, respectively.
The International Index Master Portfolio has pledged to a broker a cash
balance in the amount of $1,206,335 for initial margin requirements.
Repurchase Agreements
Each Master Portfolio may enter into repurchase agreements with banks and
securities dealers. These transactions involve the purchase of securities with
a simultaneous commitment to resell the securities to the bank or the dealer at
an agreed-upon date and price. A repurchase agreement is accounted for as a
loan by the Master Portfolio to the seller, collateralized by securities, which
are delivered to the Master Portfolio's custodian, or to an agent bank under a
tri-party agreement. The securities are marked-to-market daily and additional
securities are acquired as needed, to ensure that their value equals or exceeds
the repurchase price plus accrued interest. None of the Master Portfolios
entered into any repurchase agreements at June 30, 2003. Repurchase agreements
held by the Master Portfolios at June 30, 2003 represent collateral from
securities on loan.
Forward Currency Exchange Contracts
A foreign currency or cross currency exchange contract is an agreement to
pay or receive specific amounts of a currency at a future date in exchange for
another currency at an agreed upon exchange rate. The International Index
Master Portfolio may use foreign currency or cross currency exchange contracts
to hedge certain foreign currency assets and liabilities. Contracts are
recorded at market value and marked-to-market daily. The International Index
Master Portfolio could be exposed to risk if the counterparties to the
contracts were unable to meet the terms of the contract, or if there were
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar and other foreign currencies. The amount at risk for such foreign
currency or cross currency exchange contracts may exceed the amount reflected
in the financial statements.
126
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued)
As of June 30, 2003, the International Index Master Portfolio held the
following forward foreign currency exchange contracts:
Forward Foreign Currency Contracts
Foreign Foreign Net
Currency Exchange Currency U.S. Dollar Unrealized
Currency Purchased/Sold Date Cost/Proceeds Value Gain (Loss)
- -------------------------------- ---------------- ---------- --------------- ------------- ------------
Purchase Contracts
British Pound Sterling ......... 270,900 08/08/03 $427,997 $445,885 $17,888
Euro ........................... 770,449 08/08/03 844,235 883,801 39,566
Japanese Yen ................... 19,206,744 08/08/03 160,220 160,164 (56)
-------
Total $57,398
=======
Sale Contracts
British Pound Sterling ......... 270,900 08/08/03 $450,036 $445,885 $ 4,151
Euro ........................... 770,449 08/08/03 884,233 883,801 432
Japanese Yen ................... 19,206,744 08/08/03 162,422 160,164 2,258
-------
Total $ 6,841
=======
2. Agreements and Other Transactions with Affiliates
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is
entitled to receive 0.15% of the first $1 billion, and 0.10% thereafter of the
average daily net assets of the International Index Master Portfolio and 0.08%,
0.08%, 0.05%, and 0.01% of the average daily net assets of the Bond Index,
Extended Index, S&P 500 Index, and U.S. Equity Index Master Portfolios,
respectively, as compensation for advisory services.
Investors Bank & Trust Company ("IBT") serves as the custodian to each
Master Portfolio. IBT will not be entitled to receive fees for its custodial
services so long as it is entitled to receive a separate fee from Barclays
Global Investors, N.A. ("BGI") for its services as sub-administrator of each
Master Portfolio.
Prior to February 24, 2003, IBT served as securities lending agent for
MIP. Effective February 24, 2003, BGI began serving as securities lending agent
for MIP. BGI is an affiliate of BGFA, the Master Portfolios' investment
advisor. The Board of Trustees has approved the selection of BGI as securities
lending agent subject to the conditions of the exemptive order that was issued
by the Securities and Exchange Commission ("SEC"). As securities lending agent,
BGI receives a fee based on a share of the income earned on investment of the
cash collateral received for the loan of securities. For the period from
February 24, 2003 through June 30, 2003, BGI earned securities lending agent
fees as follows:
Securities Lending
Master Portfolio Agent Fees
- ---------------------------------------------- -------------------
Bond Index Master Portfolio .................. $11,717
Extended Index Master Portfolio .............. 10,602
International Index Master Portfolio ......... 29,649
S&P 500 Index Master Portfolio ............... 20,982
SEI Investment Distribution Company is the sponsor and placement agent for
the Master Portfolios. Prior to April 1, 2003, Stephens Inc. served as sponsor
and placement agent for the Master Portfolios.
MIP has entered into administrative services arrangements with BGI who has
agreed to provide general administrative services to the Master Portfolios,
such as managing and
127
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued)
coordinating third-party service relationships. BGI is entitled to receive a
fee at an annual rate of 0.02% and 0.01% of the average daily net assets of the
Extended Index and U.S. Equity Index Master Portfolios, respectively, and 0.10%
of the first $1 billion, and 0.07% thereafter, of the average daily net assets
of the International Index Master Portfolio. BGI is not entitled to
compensation for providing administration services to the S&P 500 Index and the
Bond Index Master Portfolios for so long as BGI is entitled to compensation for
providing administration services to corresponding feeder funds that invest
substantially all of their assets in the Master Portfolios, or BGI (or an
affiliate) receives advisory fees from the Master Portfolios. BGI may delegate
certain of its administration duties to sub-administrators. Prior to April 1,
2003, BGI and Stephens Inc. jointly served as co-administrators for the Master
Portfolios.
Barclays Global Investors Services ("BGIS"), a subsidiary of BGI, may
serve as a broker-dealer for the Master Portfolios. For the six months ended
June 30, 2003, BGIS did not receive any brokerage commissions from the Master
Portfolios.
As a result of using an index approach to investing, the International
Index Master Portfolio held shares of Barclays PLC, with a current market value
of $907,113, as of June 30, 2003. Barclays PLC is an affiliate of BGFA, the
Master Portfolios' investment advisor.
Pursuant to an exemptive order issued by the SEC, each Master Portfolio
may invest in the Institutional Shares of the Institutional Money Market Fund
("IMMF") and Prime Money Market Fund ("PMMF") of Barclays Global Investors
Funds. The IMMF and PMMF are feeder funds in a master/feeder fund structure
that invests substantially all of its assets in the Money Market Master
Portfolio and Prime Money Market Master Portfolio, respectively, which are
managed by BGFA, the Master Portfolios' investment advisor. The IMMF and PMMF
are open-end money market funds available only to institutional investors,
including other investment companies managed by BGFA. The IMMF and PMMF seek a
high level of income consistent with liquidity and the preservation of capital.
While the IMMF and PMMF do not directly charge an advisory fee, the master
portfolios in which they invest do charge an advisory fee. Income distributions
from the IMMF and PMMF are declared daily and paid monthly from net investment
income. Income distributions earned by the Master Portfolios from temporary
cash investments or from investment of securities lending collateral are
recorded as either interest income or securities lending income, respectively,
in the accompanying Statements of Operations.
The Master Portfolios may invest in the shares of Exchange Traded Funds
("ETFs"), including shares of ETFs that are affiliated with MIP, to obtain
exposure to the stock market while maintaining flexibility to meet the
liquidity needs of the Master Portfolio. As of June 30, 2003, the International
Index Master Portfolio held shares of the iShares MSCI EAFE Index Fund, an
investment portfolio of iShares Trust. iShares Trust is an open-end management
investment company managed by BGFA, the investment advisor for MIP.
Transactions in shares of affiliated ETFs for the International Index
Master Portfolio, including dividend income and net realized capital gains
(losses) during the six months ended June 30, 2003 were as follows:
Number of Number of
Shares Held Shares Held Net
Beginning Gross Gross End of Dividend Realized
Affiliated ETF of Period Additions Reductions Period Income Loss
- ------------------------------ ------------- ----------- ------------ ------------- ---------- -------------
iShares MSCI EAFE Index Fund 12,469 7,439 9,376 10,532 $ -- $ (53,718)
Pursuant to Rule 17a-7 of the 1940 Act, the S&P 500 Index Master Portfolio
executed cross trades for the six months ended June 30, 2003. Cross trading is
the buying or selling of portfolio securities between funds to which BGFA (or
an affiliate) serves as investment advisor. The Board has concluded that all
transactions executed during the first quarter of 2003 were in compliance with
the requirements and restrictions set forth by Rule 17a-7, and has not yet
reviewed those transactions executed during the second quarter of 2003.
128
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued)
Certain officers and trustees of MIP are also officers or employees of
BGI. As of June 30, 2003 these officers or employees of BGI collectively owned
less than 1% of MIP's outstanding beneficial interests.
3. Investment Portfolio Transactions
Investment transactions (exclusive of short-term investments) for the six
months ended June 30, 2003 were as follows:
U.S. Government Obligations Other Securities
----------------------------------- ---------------------------------
Master Portfolio Purchases Sales Purchases Sales
- ------------------------------------- ---------------- ---------------- --------------- ---------------
Bond Index Master Portfolio ......... $ 214,374,697 $ 211,907,747 $ 34,138,702 $ 18,894,459
Extended Index Master
Portfolio .......................... -- -- 11,190,797 5,578,815
International Index Master
Portfolio .......................... -- -- 16,575,574 4,095,772
S&P 500 Index Master
Portfolio .......................... -- -- 330,630,186 85,664,742
At June 30, 2003, the Master Portfolios' aggregate unrealized appreciation
and depreciation based on cost for federal income tax purposes were as follows:
Net Unrealized
Unrealized Unrealized Appreciation
Master Portfolio Tax Cost Appreciation Depreciation (Depreciation)
- ------------------------------------- ---------------- -------------- ---------------- -----------------
Bond Index Master Portfolio ......... $ 766,545,318 $32,611,534 $ (505,984) $ 32,105,550
Extended Index Master
Portfolio .......................... 215,102,618 34,560,304 (70,900,473) (36,340,169)
International Index Master
Portfolio .......................... 151,856,651 1,207,108 (28,134,844) (26,927,736)
S&P 500 Index Master
Portfolio .......................... 3,225,296,197 189,022,448 (423,828,102) (234,805,654)
4. Portfolio Securities Loaned
Each Master Portfolio may lend its investment securities to approved
borrowers such as brokers, dealers and other financial institutions. The
borrower pledges and maintains with the Master Portfolio collateral consisting
of cash, an irrevocable letter of credit issued by a bank, or securities issued
or guaranteed by the U.S. Government. The initial collateral received is
required to have a value of at least 102% of the market value of the loaned
securities for securities denominated in U.S. dollars and a value of at least
105% for all other securities. The collateral is maintained thereafter, at a
value equal to at least 100% of the current market value of the securities on
loan. The risks to the Master Portfolios of securities lending are that the
borrower may not provide additional collateral when required, or return the
securities when due.
As of June 30, 2003, certain of the Master Portfolios had loaned
securities which were collateralized by cash. The cash collateral received was
invested in securities with remaining maturities of 397 days or less,
repurchase agreements and money market mutual funds. The market value of the
securities on loan at June 30, 2003 and the value of the related collateral are
disclosed in the Statements of Assets and Liabilities.
129
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS (Unaudited)--(Continued)
5. Financial Highlights
Financial highlights for each of the Master Portfolios were as follows:
Six Months
Ended Year Ended Year Ended
June 30, 2003 December 31, December 31,
(Unaudited) 2002 2001
--------------- ----------------- --------------
Bond Index Master Portfolio
Ratio of expenses to average
net assets(4) .................... 0.08% 0.08% 0.08%
Ratio of net investment income
to average net assets(4) ......... 4.33% 5.27% 5.98%(7)
Portfolio turnover rate ........... 37% 118% 53%
Total return ...................... 4.00%(5) 10.05% 8.94%
Extended Index Master Portfolio
Ratio of expenses to average
net assets(4) .................... 0.10% 0.10% 0.10%
Ratio of net investment income
to average net assets(4) ......... 1.27% 1.11% 1.08%
Portfolio turnover rate ........... 4% 14% 17%
Total return ...................... 18.38%(5) (18.01)% (9.44)%
International Index Master Portfolio
Ratio of expenses to average
net assets(4) .................... 0.25% 0.25% 0.25%
Ratio of net investment income
to average net assets(4) ......... 3.49% 1.92% 1.50%
Portfolio turnover rate ........... 4% 20% 7%
Total return ...................... 11.26%(5) (16.36)%(9) (21.35)%
S&P 500 Index Master Portfolio
Ratio of expenses to average
net assets(4) .................... 0.05% 0.05% 0.05%
Ratio of net investment income
to average net assets(4) ......... 1.73% 1.57% 1.31%
Portfolio turnover rate ........... 4% 12% 9%
Total return ...................... 11.68%(5) (22.05)% (11.96)%
U.S. Equity Index Master Portfolio
Ratio of expenses to average
net assets(4 6) .................. 0.08% 0.08% 0.09%
Ratio of net investment income
to average net assets(4 6) ....... 1.61% 1.45% 1.37%
Portfolio turnover rate(8) ........ 4% 12% 11%
Total return ...................... 14.27%(5) (20.50)% (11.51)%
Year Ended Period Ended Year Ended Year Ended
December 31, December 31, February 28, February 28,
2000 1999 1999 1998
-------------- ------------------- -------------- -------------
Bond Index Master Portfolio
Ratio of expenses to average
net assets(4) .................... 0.08% 0.08%(1) 0.08% 0.08%
Ratio of net investment income
to average net assets(4) ......... 6.73% 6.44%(1) 6.31% 6.73%
Portfolio turnover rate ........... 52% 25%(1) 28% 59%
Total return ...................... 11.91% (0.67)%(1 5) 6.39% 10.51%
Extended Index Master Portfolio
Ratio of expenses to average
net assets(4) .................... 0.10% 0.10%(2) N/A N/A
Ratio of net investment income
to average net assets(4) ......... 0.93% 1.26%(2) N/A N/A
Portfolio turnover rate ........... 38% 17%(2) N/A N/A
Total return ...................... (14.53)% 36.30%(2 5) N/A N/A
International Index Master Portfolio
Ratio of expenses to average
net assets(4) .................... 0.25% 0.25%(3) N/A N/A
Ratio of net investment income
to average net assets(4) ......... 1.47% 0.82%(3) N/A N/A
Portfolio turnover rate ........... 45% 39%(3) N/A N/A
Total return ...................... (14.85)% 20.50%(3 5) N/A N/A
S&P 500 Index Master Portfolio
Ratio of expenses to average
net assets(4) .................... 0.05% 0.05%(1) 0.05% 0.05%
Ratio of net investment income
to average net assets(4) ......... 1.22% 1.44%(1) 1.61% 1.89%
Portfolio turnover rate ........... 10% 7%(1) 11% 6%
Total return ...................... (9.19)% 19.82%(1 5) 19.65% 34.77%
U.S. Equity Index Master Portfolio
Ratio of expenses to average
net assets(4 6) .................. 0.08% 0.08%(2) N/A N/A
Ratio of net investment income
to average net assets(4 6) ....... 1.13% 1.39%(2) N/A N/A
Portfolio turnover rate(8) ........ 17% 9%(2) N/A N/A
Total return ...................... (10.54)% 21.40%(2 5) N/A N/A
- -----------
(1) For the ten months ended December 31, 1999. The Bond Index and S&P 500
Index Master Portfolios changed their fiscal year-end from February 28 to
December 31.
(2) Period from March 1, 1999 (commencement of operations) to December 31,
1999.
(3) Period from October 1, 1999 (commencement of operations) to December 31,
1999.
(4) Annualized for periods of less than one year.
(5) Not annualized.
(6) Includes expenses allocated from the underlying Master Portfolios in which
this Master Portfolio invests (see Note 1).
(7) Effective January 1, 2001, the Bond Index Master Portfolio adopted the
provisions of the revised AICPA Audit and Accounting Guide for Investment
Companies and began amortizing premiums on debt securities. The effect of
this change for the year ended December 31, 2001 was to decrease the ratio
of net investment income to average net assets from 6.37% to 5.98%. Ratios
and supplemental data for the periods prior to January 1, 2001 have not
been restated to reflect this change in policy.
(8) Calculated on a weighted average of the portfolio turnover rates of each of
the underlying Master Portfolios in which this Master Portfolio invests
(see Note 1).
(9) The voluntary reimbursement made by the investment advisor had no material
impact on the total return for the year.
130
Schedule of Investments
June 30, 2003 (Unaudited)
- -------------------------------------------------------------------
Bond Index
Master Portfolio
- -------------------------------------------------------------------
Security Principal Value
- -------------------------------------------------------------------
CORPORATE BONDS & NOTES--29.11%
- -------------------------------------------------------------------
Aerospace/Defense--0.57%
Boeing Co. (The)
6.13%, 02/15/33 $ 200,000 $ 208,838
General Dynamics Corp.
2.13%, 05/15/06 200,000 202,690
Goodrich (B.F.) Co.
6.45%, 12/15/07 100,000 108,747
Lockheed Martin Corp.
8.20%, 12/01/09 1,000,000 1,264,616
Northrop Grumman Corp.
7.75%, 02/15/31 250,000 320,690
Raytheon Co.
7.38%, 07/15/25 1,000,000 1,107,964
United Technologies Corp.
6.10%, 05/15/12 150,000 172,933
6.63%, 11/15/04 150,000 160,120
6.70%, 08/01/28 150,000 176,821
----------
3,723,419
----------
Airlines--0.23%
American Airlines Inc.
7.02%, 10/15/09 157,000 149,879
Continental Airlines Inc.
6.65%, 09/15/17 871,481 840,588
Delta Air Lines Inc.
7.57%, 11/18/10 500,000 514,281
----------
1,504,748
----------
Auto Manufacturers--0.36%
DaimlerChrysler NA Holding Corp.
7.20%, 09/01/09 500,000 568,342
8.50%, 01/18/31 500,000 597,500
Ford Motor Company
6.63%, 10/01/28 1,125,000 936,115
General Motors Corp.
6.25%, 05/01/05 75,000 78,115
7.20%, 01/15/11 150,000 151,189
----------
2,331,261
----------
Banks--7.14%
Abbey National PLC
7.95%, 10/26/29 100,000 133,384
ABN Amro Bank NV
7.13%, 06/18/07 250,000 291,267
Anthem Inc.
6.80%, 08/01/12 250,000 291,864
Banco Santander Central Hispano Issuances
7.63%, 09/14/10 500,000 619,923
Bank of America Corp.
6.25%, 04/01/08 1,000,000 1,141,393
Bank of New York Co. Inc. (The)
5.50%, 12/01/17 250,000 276,936
Bank of Tokyo--Mitsubishi Ltd.
8.40%, 04/15/10 250,000 310,061
Bank One Corp.
3.70%, 01/15/08 500,000 519,899
5.90%, 11/15/11 1,000,000 1,130,108
BankBoston Corp.
6.50%, 12/19/07 500,000 572,026
Bankers Trust Corp.
7.25%, 10/15/11 250,000 295,674
Corp. Andina de Fomento
6.88%, 03/15/12 150,000 170,766
Credit Suisse First Boston
5.75%, 04/15/07 500,000 555,487
6.38%, 12/16/35 1,000,000 1,155,235
6.50%, 01/15/12 500,000 573,778
European Investment Bank
4.00%, 03/15/05 500,000 522,307
4.00%, 08/30/05 500,000 526,194
4.63%, 03/01/07 1,000,000 1,085,777
First Union Capital Corp.
8.04%, 12/01/26 1,000,000 1,161,489
First Union Corp.
6.63%, 07/15/05 500,000 547,736
First Union National Bank
7.74%, 05/17/32 1,493,196 1,703,006
Fleet Credit Card Master Trust II
3.86%, 03/15/07 6,870,000 7,078,989
GE Global Insurance Holdings
7.50%, 06/15/10 150,000 178,173
HSBC Holdings PLC
5.25% 12/12/12 250,000 266,629
HSBC USA Inc.
7.00%, 11/01/06 250,000 284,839
International Bank for Reconstruction &
Development
3.63%, 05/21/13 150,000 151,133
4.13%, 08/12/09 500,000 539,791
6.38%, 07/21/05 1,000,000 1,099,048
7.00%, 01/27/05 1,500,000 1,632,438
John Deere Capital Corp.
7.00%, 03/15/12 500,000 593,599
KeyCorp
6.75%, 03/15/06 1,500,000 1,675,560
KFW International Finance Inc.
2.50%, 10/17/05 500,000 509,773
4.25%, 04/18/05 500,000 524,172
4.75%, 01/24/07 500,000 542,694
8.00%, 02/15/10 250,000 304,690
Korea Development Bank
5.25%, 11/16/06 500,000 535,282
Landwirtschaftliche Rentenbank
3.25%, 06/19/08 400,000 408,732
LB Commercial Conduit Mortgage Trust
6.78%, 06/15/31 6,000,000 7,023,043
Mellon Funding Corp.
6.38%, 02/15/10 500,000 584,673
National City Bank of Ohio
3.30%, 05/15/08 500,000 508,561
NationsBank Corp.
7.75%, 08/15/15 1,000,000 1,277,764
NiSource Finance Corp.
7.88%, 11/15/10 150,000 177,105
Oesterreichische Kontrollbank AG
5.50%, 01/20/06 500,000 546,901
PNC Funding Corp.
5.75%, 08/01/06 250,000 275,836
Popular North America Inc.
4.25%, 04/01/08 100,000 104,067
Royal Bank of Scotland Group PLC
5.00%, 10/01/14 250,000 262,323
Sanwa Bank Ltd.
7.40%, 06/15/11 250,000 280,317
SLM Corp.
5.13%, 08/27/12 250,000 265,647
Sprint Capital Corp.
8.38%, 03/15/12 500,000 598,658
SunTrust Banks Inc.
5.05%, 07/01/07 500,000 545,987
131
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ------------------------------------------------------------------------
Bond Index
Master Portfolio
- ------------------------------------------------------------------------
Security Principal Value
- ------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- ------------------------------------------------------------------------
Swiss Bank Corp.
7.38%, 06/15/17 $ 100,000 $ 127,402
Tyco Capital Corp.
7.63%, 08/16/05 1,045,000 1,150,748
Union Bank of Switzerland
7.25%, 07/15/06 250,000 287,402
US Bank NA Minnesota
6.38%, 08/01/11 1,000,000 1,167,362
Wells Fargo & Company
6.63%, 07/15/04 500,000 526,805
Wells Fargo Bank NA
7.55%, 06/21/10 1,000,000 1,232,726
-----------
46,853,179
-----------
Beverages--0.51%
Anheuser-Busch Companies Inc.
6.80%, 01/15/31 500,000 606,312
Bottling Group LLC
4.63%, 11/15/12 1 100,000 104,520
Brown-Forman Corp.
2.13%, 03/15/06 250,000 250,930
Coca-Cola Enterprises Inc.
5.25%, 05/15/07 500,000 545,553
6.13%, 08/15/11 250,000 286,871
8.50%, 02/01/22 250,000 339,444
Diageo Capital PLC
6.13%, 08/15/05 1,000,000 1,092,776
PepsiAmericas Inc.
3.88%, 09/12/07 100,000 103,435
-----------
3,329,841
-----------
Building Materials--0.06%
Hanson Australia Funding Ltd.
5.25%, 03/15/13 100,000 102,436
Masco Corp.
5.88%, 07/15/12 250,000 277,632
-----------
380,068
-----------
Chemicals--0.27%
Chevron Phillips Chemical Co.
5.38%, 06/15/07 500,000 539,327
Dow Chemical Co. (The)
6.00%, 10/01/12 250,000 271,970
8.63%, 04/01/06 500,000 573,865
Du Pont (E.I.) de Nemours
6.75%, 10/15/04 250,000 266,675
Praxair Inc.
3.95%, 06/01/13 150,000 148,058
-----------
1,799,895
-----------
Commercial Services--0.10%
Cendant Corp.
6.25%, 03/15/10 250,000 278,022
Hertz Corp.
8.25%, 06/01/05 250,000 263,913
PHH Corp.
7.13%, 03/01/13 100,000 113,488
-----------
655,423
-----------
Computer Systems--0.02%
Computer Sciences Corp.
7.38%, 06/15/11 100,000 121,602
-----------
121,602
-----------
Computers--0.33%
Hewlett-Packard Co.
5.50%, 07/01/07 500,000 552,675
International Business Machines Corp.
4.75%, 11/29/12 500,000 525,533
4.88%, 10/01/06 1,000,000 1,086,753
-----------
2,164,961
-----------
Cosmetics/Personal Care--0.19%
Procter & Gamble Co.
6.88%, 09/15/09 1,000,000 1,212,699
-----------
1,212,699
-----------
Distribution/Wholesale--0.04%
Costco Wholesale Corp.
5.50%, 03/15/07 250,000 276,006
-----------
276,006
-----------
Diversified Financial Services--7.52%
American Express Co.
3.75%, 11/20/07 250,000 260,514
American Express Credit Corp.
3.00%, 05/16/08 250,000 251,723
American General Finance Corp.
5.38%, 10/01/12 250,000 269,752
5.88%, 07/14/06 1,000,000 1,103,423
American International Group Inc.
4.25%, 05/15/13 1 250,000 249,490
Ameriquest Mortgage Securities Inc.
4.84%, 09/25/25 200,000 207,412
AMVESCAP PLC
5.38%, 02/27/13 100,000 101,637
Associates Corp. NA
6.88%, 11/15/08 410,000 481,861
6.95%, 11/01/18 250,000 306,759
AXA Financial Inc.
7.75%, 08/01/10 250,000 304,540
Bear Stearns Companies Inc.
5.70%, 11/15/14 250,000 277,092
6.63%, 10/01/04 1,000,000 1,065,454
Boeing Capital Corp.
5.65%, 05/15/06 1,500,000 1,621,011
Burlington Resources Finance
7.20%, 08/15/31 250,000 305,469
Capital One Bank
6.88%, 02/01/06 1,000,000 1,073,037
Citigroup Inc.
5.63%, 08/27/12 250,000 275,435
6.00%, 02/21/12 500,000 568,783
6.63%, 06/15/32 250,000 288,887
6.75%, 12/01/05 1,000,000 1,114,949
7.25%, 10/01/10 500,000 605,808
Countrywide Home Loans Inc.
3.50%, 12/19/05 250,000 258,033
5.63%, 05/15/07 500,000 550,688
Ford Credit Auto Owner Trust
3.62%, 01/15/06 967,655 980,862
4.36%, 09/15/36 2,000,000 2,094,542
Ford Motor Credit Co.
6.88%, 02/01/06 850,000 901,510
7.25%, 10/25/11 500,000 514,036
7.50%, 03/15/05 850,000 903,268
7.60%, 08/01/05 300,000 322,106
7.88%, 06/15/10 1,000,000 1,071,608
FPL Group Capital Inc.
7.38%, 06/01/09 100,000 120,301
132
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------
Bond Index
Master Portfolio
- ----------------------------------------------------------------------
Security Principal Value
- ----------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- ----------------------------------------------------------------------
General Electric Capital Corp.
3.50%, 05/01/08 $ 250,000 $ 255,991
5.38%, 03/15/07 1,100,000 1,210,562
6.50%, 12/10/07 1,000,000 1,151,094
6.75%, 03/15/32 1,000,000 1,169,565
General Motors Acceptance Corp.
5.71%, 10/15/38 1,000,000 1,117,702
6.13%, 09/15/06 500,000 526,401
6.75%, 01/15/06 1,000,000 1,061,642
6.88%, 09/15/11 850,000 852,836
7.25%, 03/02/11 500,000 513,051
7.72%, 12/15/09 1,707,000 2,092,371
8.00%, 11/01/31 250,000 245,291
Goldman Sachs Group Inc.
5.70%, 09/01/12 250,000 274,657
6.13%, 02/15/33 250,000 268,094
6.60%, 01/15/12 250,000 290,495
6.88%, 01/15/11 250,000 294,987
7.63%, 08/17/05 500,000 563,447
Household Finance Corp.
5.75%, 01/30/07 250,000 275,910
6.40%, 06/17/08 250,000 285,379
6.50%, 01/24/06 250,000 277,286
6.50%, 11/15/08 500,000 574,914
8.00%, 07/15/10 1,000,000 1,240,530
JP Morgan Chase & Co.
5.25%, 05/30/07 500,000 548,459
6.75%, 02/01/11 1,000,000 1,173,697
LB-UBS Commercial Mortgage Trust
4.85%, 09/15/31 1,500,000 1,584,332
Lehman Brothers Holdings Inc.
6.63%, 01/18/12 250,000 293,094
Lehman Brothers Inc.
7.63%, 06/01/06 1,000,000 1,151,877
MBNA America Bank NA
5.38%, 01/15/08 500,000 540,579
Merrill Lynch & Co. Inc.
3.70%, 04/21/08 100,000 103,263
6.00%, 02/17/09 1,000,000 1,124,159
Morgan Stanley
6.02%, 02/15/33 518,167 553,505
7.25%, 04/01/32 100,000 122,597
7.69%, 02/15/20 1,000,000 1,152,691
7.75%, 06/15/05 1,000,000 1,114,214
8.00%, 06/15/10 1,000,000 1,246,485
National Rural Utilities
3.88%, 02/15/08 400,000 416,675
7.25%, 03/01/12 350,000 419,081
Pemex Project Funding Master Trust
7.38%, 12/15/14 500,000 547,500
8.63%, 02/01/22 250,000 285,625
Rio Tinto Finance USA Ltd.
2.63%, 09/30/08 100,000 98,167
Saxon Asset Securities Trust
5.53%, 07/25/31 400,000 412,800
Sears Roebuck Acceptance Corp.
7.00%, 06/01/32 500,000 559,273
Textron Finance Corp.
6.00%, 11/20/09 200,000 219,082
Toyota Motor Credit Corp.
2.80%, 01/18/06 100,000 102,543
Unilever Capital Corp.
6.88%, 11/01/05 1,000,000 1,116,223
Verizon Global Funding Corp.
7.75%, 12/01/30 250,000 316,619
Washington Mutual Inc.
7.50%, 08/15/06 1,000,000 1,157,219
------------
49,351,954
------------
Electric--1.72%
AEP Texas Central Co.
6.65%, 02/15/33 1 250,000 273,604
Alabama Power Co. Series Q
5.50%, 10/15/17 250,000 273,623
Alabama Power Co. Series X
3.13%, 05/01/08 250,000 252,847
American Electric Power Inc.
6.13%, 05/15/06 100,000 109,615
Arizona Public Service Co.
6.50%, 03/01/12 250,000 285,838
Cincinnati Gas & Electric Co.
5.70%, 09/15/12 250,000 274,666
Columbus Southern Power Co.
5.50%, 03/01/13 1 150,000 161,270
Commonwealth Edison
7.00%, 07/01/05 500,000 548,937
Consolidated Edison Inc.
4.88%, 02/01/13 200,000 210,872
Constellation Energy Group
7.60%, 04/01/32 250,000 300,510
Consumers Energy Co.
6.00%, 03/15/05 500,000 530,988
Dominion Resources Inc.
7.63%, 07/15/05 500,000 556,123
8.13%, 06/15/10 500,000 619,598
DTE Energy Co.
7.05%, 06/01/11 500,000 584,779
Entergy Gulf States Inc.
3.60%, 06/01/08 1 100,000 99,398
FirstEnergy Corp.
5.50%, 11/15/06 500,000 535,995
7.38%, 11/15/31 250,000 280,009
Florida Power & Light Co.
4.85%, 02/01/13 150,000 158,543
5.63%, 04/01/34 150,000 155,770
KN Energy Inc.
7.25%, 03/01/28 250,000 289,454
MidAmerican Energy Co.
6.75%, 12/30/31 250,000 295,927
Niagara Mohawk Power Corp.
7.63%, 10/01/05 529,268 591,487
Northern States Power Co.
8.00%, 08/28/12 250,000 316,529
Oncor Electric Delivery Co.
6.38%, 05/01/12 500,000 570,772
Ontario Hydro Canada
7.45%, 03/31/13 500,000 645,500
PECO Energy Co.
3.50%, 05/01/08 250,000 257,083
Pepco Holdings Inc.
6.45%, 08/15/12 250,000 282,890
Progress Energy Inc.
7.10%, 03/01/11 400,000 465,323
7.75%, 03/01/31 100,000 120,111
PSEG Energy Holdings Inc.
8.50%, 06/15/11 250,000 268,750
Public Service Company of Colorado
4.88%, 03/01/13 1 200,000 207,888
Public Service Electric & Gas Co.
5.13%, 09/01/12 250,000 266,927
South Carolina Electric & Gas Co.
5.30%, 05/15/33 150,000 148,715
133
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------
Bond Index
Master Portfolio
- ----------------------------------------------------------------------
Security Principal Value
- ----------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- ----------------------------------------------------------------------
Union Electric Co.
5.25%, 09/01/12 $ 100,000 $ 108,624
Wisconsin Energy Corp.
5.88%, 04/01/06 100,000 109,956
6.50%, 04/01/11 100,000 114,495
------------
11,273,416
------------
Electronics--0.02%
Avnet Inc.
9.75%, 02/15/08 100,000 113,000
------------
113,000
------------
Energy & Related--0.02%
MidAmerican Energy Holdings Co.
3.50%, 05/15/08 1 150,000 150,807
------------
150,807
------------
Environmental Control--0.05%
USA Waste Services Inc.
7.00%, 07/15/28 150,000 171,008
Waste Management Inc.
6.50%, 11/15/08 150,000 171,500
------------
342,508
------------
Food--1.18%
Albertson's Inc.
7.45%, 08/01/29 100,000 112,948
7.50%, 02/15/11 250,000 292,065
Archer-Daniels-Midland Co.
8.38%, 04/15/17 500,000 679,887
ConAgra Foods Inc.
6.00%, 09/15/06 500,000 553,977
7.40%, 09/15/04 500,000 532,517
General Mills Inc.
5.13%, 02/15/07 1,000,000 1,089,326
Heinz (H.J.) Co.
6.63%, 07/15/11 250,000 294,705
Kellogg Co.
6.60%, 04/01/11 1,000,000 1,172,729
Kraft Foods Inc.
5.63%, 11/01/11 500,000 544,835
6.50%, 11/01/31 500,000 552,076
McDonald's Corp.
3.88%, 08/15/07 250,000 259,020
Safeway Inc.
6.50%, 11/15/08 1,000,000 1,134,001
Sara Lee Corp.
2.75%, 06/15/08 250,000 247,735
Tyson Foods Inc.
8.25%, 10/01/11 250,000 296,005
------------
7,761,826
------------
Forest Products & Paper--0.26%
International Paper Co.
6.75%, 09/01/11 500,000 578,312
MeadWestvaco Corp.
6.85%, 04/01/12 250,000 288,590
Weyerhaeuser Co.
6.00%, 08/01/06 250,000 274,238
6.75%, 03/15/12 250,000 283,800
7.38%, 03/15/32 250,000 287,380
------------
1,712,320
------------
Gas--0.11%
KeySpan Corp.
7.63%, 11/15/10 500,000 613,553
Southern California Gas Co.
4.80%, 10/01/12 100,000 105,099
------------
718,652
------------
Hand/Machine Tools--0.02%
Emerson Electric Co.
5.00%, 12/15/14 150,000 160,675
------------
160,675
------------
Health Care--0.07%
Johnson & Johnson
4.95%, 05/15/33 200,000 195,416
Tenet Healthcare Corp.
5.00%, 07/01/07 250,000 233,750
------------
429,166
------------
Home Builders--0.03%
Centex Corp.
4.75%, 01/15/08 100,000 105,584
Pulte Homes Inc.
7.88%, 08/01/11 100,000 121,424
------------
227,008
------------
Household
Products/Wares--0.02%
Newell Rubbermaid Inc.
4.63%, 12/15/09 100,000 105,961
------------
105,961
------------
Insurance--0.37%
Allstate Corp.
7.20%, 12/01/09 1,000,000 1,211,632
Chubb Corp.
3.95%, 04/01/08 1 100,000 103,570
CNA Financial Corp.
6.75%, 11/15/06 100,000 104,506
Hartford Life Inc.
7.38%, 03/01/31 250,000 296,096
Lion Connecticut Holdings Inc.
7.63%, 08/15/26 100,000 121,296
MetLife Inc.
6.50%, 12/15/32 100,000 114,116
Prudential Financial Inc.
3.75%, 05/01/08 100,000 102,980
Radian Group Inc.
5.63%, 02/15/13 1 100,000 104,982
SAFECO Corp.
4.88%, 02/01/10 150,000 158,583
Travelers Property Casualty Corp.
6.38%, 03/15/33 100,000 109,295
------------
2,427,056
------------
Machinery--Construction & Mining--0.19%
Caterpillar Inc.
7.25%, 09/15/09 1,000,000 1,218,326
------------
1,218,326
------------
Manufacturing--0.19%
Cooper Industries Inc.
5.50%, 11/01/09 100,000 111,108
General Electric Co.
5.00%, 02/01/13 400,000 422,503
Norsk Hydro ASA
6.36%, 01/15/09 590,000 679,396
------------
1,213,007
------------
Media--0.98%
AOL Time Warner Inc.
6.88%, 05/01/12 500,000 570,808
134
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------
Bond Index
Master Portfolio
- ----------------------------------------------------------------------
Security Principal Value
- ----------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- ----------------------------------------------------------------------
Clear Channel Communications Inc.
4.25%, 05/15/09 $ 400,000 $ 405,000
Comcast Cable Communications
8.38%, 05/01/07 500,000 590,015
Liberty Media Corp.
7.88%, 07/15/09 500,000 585,724
TCI Communications Inc.
8.75%, 08/01/15 1,000,000 1,296,420
Time Warner Entertainment Co.
8.38%, 03/15/23 1,000,000 1,260,376
Viacom Inc.
5.63%, 08/15/12 250,000 277,741
7.75%, 06/01/05 250,000 278,436
7.88%, 07/30/30 250,000 326,653
Walt Disney Co. (The)
6.38%, 03/01/12 250,000 284,966
6.75%, 03/30/06 500,000 556,796
------------
6,432,935
------------
Mining--0.22%
Alcoa Inc.
7.38%, 08/01/10 1,000,000 1,211,559
BHP Finance (USA) Ltd.
4.80%, 04/15/13 250,000 260,659
------------
1,472,218
------------
Multi-National--0.46%
Asian Development Bank
6.75%, 06/11/07 1,000,000 1,167,668
Inter-American Development Bank
7.38%, 01/15/10 1,000,000 1,263,031
8.50%, 03/15/11 450,000 604,445
------------
3,035,144
------------
Office/Business Equipment--0.02%
Pitney Bowes Inc.
5.95%, 02/01/05 150,000 159,345
------------
159,345
------------
Oil & Gas Producers--1.19%
Alberta Energy Co. Ltd.
7.38%, 11/01/31 250,000 316,147
Amerada Hess Corp.
7.30%, 08/15/31 500,000 577,908
Anadarko Petroleum Corp.
7.15%, 05/15/28 500,000 594,201
Apache Finance Canada
7.75%, 12/15/29 250,000 331,340
BP Capital Markets PLC
2.35%, 06/15/06 500,000 505,505
4.00%, 04/29/05 250,000 261,269
Conoco Funding Co.
6.35%, 10/15/11 500,000 584,038
Devon Financing Corp. ULC
6.88%, 09/30/11 1,000,000 1,173,034
Enterprise Products
6.88%, 03/01/33 1 100,000 113,259
Lasmo (USA) Inc.
6.75%, 12/15/07 100,000 116,759
Marathon Oil Corp.
6.13%, 03/15/12 500,000 560,611
Occidental Petroleum Corp.
7.20%, 04/01/28 250,000 305,114
Petroleos Mexicanos
9.38%, 12/02/08 500,000 611,250
Phillips 66 Capital Trust II
8.00%, 01/15/37 1,000,000 1,177,728
Transocean Inc.
6.75%, 04/15/05 250,000 270,002
Union Oil Co. of California
5.05%, 10/01/12 100,000 104,558
Valero Energy Corp.
4.75%, 06/15/13 200,000 195,530
------------
7,798,253
------------
Pharmaceuticals--0.40%
Abbott Laboratories
5.13%, 07/01/04 250,000 259,568
American Home Products Corp.
6.25%, 03/15/06 500,000 554,417
Bristol-Myers Squibb Co.
5.75%, 10/01/11 500,000 556,447
Lilly (Eli) & Co.
2.90%, 03/15/08 150,000 151,067
Merck & Co. Inc.
4.38%, 02/15/13 200,000 207,037
Pharmacia Corp.
6.50%, 12/01/18 500,000 622,402
Wyeth
5.25%, 03/15/13 250,000 264,177
------------
2,615,115
------------
Pipelines--0.30%
Duke Energy Field Services Corp.
7.50%, 08/16/05 500,000 546,753
7.88%, 08/16/10 500,000 601,788
Kinder Morgan Energy
Partners LP
5.35%, 08/15/07 500,000 544,965
TransCanada PipeLines Ltd.
4.00%, 06/15/13 250,000 243,778
------------
1,937,284
------------
Publishing--0.18%
News America Holdings Inc.
7.60%, 10/11/15 1,000,000 1,210,104
------------
1,210,104
------------
Real Estate--0.13%
EOP Operating LP
7.00%, 07/15/11 500,000 580,285
ERP Operating LP
5.20%, 04/01/13 250,000 261,431
------------
841,716
------------
Real Estate Investment
Trusts--0.10%
Archstone-Smith Trust
5.00%, 08/15/07 100,000 106,326
Boston Properties Inc.
6.25%, 01/15/13 250,000 273,765
Simon Property Group Inc.
6.35%, 08/28/12 250,000 277,006
------------
657,097
------------
Retail--0.52%
Fred Meyer Inc.
7.45%, 03/01/08 1,000,000 1,165,182
May Department Stores Co.
7.90%, 10/15/07 250,000 297,562
Target Corp.
7.00%, 07/15/31 500,000 598,409
Wal-Mart Stores Inc.
7.55%, 02/15/30 1,000,000 1,320,692
------------
3,381,845
------------
135
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -------------------------------------------------------------------
Bond Index
Master Portfolio
- -------------------------------------------------------------------
Security Principal Value
- -------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- -------------------------------------------------------------------
Telecommunication Equipment--0.08%
Motorola Inc.
6.75%, 02/01/06 $ 500,000 $ 545,000
------------
545,000
------------
Telecommunications--0.71%
Alltel Corp.
7.00%, 07/01/12 250,000 303,450
AT&T Wireless Services Inc.
7.88%, 03/01/11 750,000 885,767
British Telecom PLC
7.88%, 12/15/05 500,000 569,420
8.38%, 12/15/10 500,000 632,340
Citizens Communications
8.50%, 05/15/06 500,000 579,906
Cox Communications Inc.
4.63%, 06/01/13 250,000 250,481
7.50%, 08/15/04 250,000 265,337
Verizon Wireless Inc.
5.38%, 12/15/06 500,000 549,172
Vodafone Group PLC
7.75%, 02/15/10 500,000 615,216
------------
4,651,089
------------
Telephone--1.39%
AT&T Corp.
7.00%, 11/15/06 250,000 278,052
8.50%, 11/15/31 500,000 566,945
BellSouth Corp.
6.00%, 10/15/11 250,000 285,700
6.88%, 10/15/31 500,000 588,551
Deutsche Telekom International Finance AG
8.50%, 06/15/10 1,000,000 1,228,379
France Telecom SA
8.70%, 03/01/06 200,000 228,134
9.25%, 03/01/11 250,000 314,641
10.00%, 03/01/31 250,000 345,934
GTE Corp.
7.51%, 04/01/09 500,000 599,507
Koninklijke KPN NV
8.00%, 10/01/10 500,000 618,982
Pacific Bell
7.13%, 03/15/26 250,000 299,682
SBC Communications Inc.
5.75%, 05/02/06 250,000 276,104
6.25%, 03/15/11 250,000 286,766
Sprint Capital Corp.
6.13%, 11/15/08 1,000,000 1,085,327
Telefonica Europe BV
8.25%, 09/15/30 500,000 654,227
Verizon New York Inc.
7.38%, 04/01/32 500,000 620,399
Verizon Pennsylvania Inc.
5.65%, 11/15/11 500,000 551,788
Verizon Virginia Inc.
4.63%, 03/15/13 250,000 256,774
------------
9,085,892
------------
Tobacco--0.04%
Philip Morris
7.00%, 07/15/05 250,000 265,158
------------
265,158
------------
Transportation--0.80%
Burlington Northern Santa Fe Corp.
7.13%, 12/15/10 1,000,000 1,207,335
Canadian National Railway Co.
6.45%, 07/15/06 800,000 894,982
CSX Corp.
7.95%, 05/01/27 580,000 742,557
Norfolk Southern Corp.
7.70%, 05/15/17 1,000,000 1,278,134
Union Pacific Corp.
6.79%, 11/09/07 1,000,000 1,144,693
------------
5,267,701
------------
TOTAL CORPORATE BONDS & NOTES
(Cost: $174,105,095) 190,914,680
------------
- -------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS & NOTES(4)--2.11%
- -------------------------------------------------------------------
British Columbia (Province of)
6.50%, 01/15/26 250,000 299,698
Canada (Government of)
5.25%, 11/05/08 250,000 282,219
Chile (Republic of)
5.50%, 01/15/13 150,000 158,700
Finland (Republic Of)
6.95%, 02/15/26 250,000 318,489
Hydro-Quebec
6.30%, 05/11/11 500,000 588,265
Israel (State of)
4.63%, 06/15/13 100,000 97,391
Italy (Republic of)
4.38%, 10/25/06 1,000,000 1,071,712
6.00%, 02/22/11 1,000,000 1,166,933
6.88%, 09/27/23 250,000 315,636
Korea (Republic of)
8.88%, 04/15/08 250,000 311,775
Lombardy (Region of)
5.80%, 10/25/32 100,000 110,853
Malaysia (Government of)
7.50%, 07/15/11 250,000 304,200
Manitoba (Province of)
4.25%, 11/20/06 1,000,000 1,068,775
Mexico Government International Bond
9.88%, 01/15/07 250,000 307,875
New Brunswick (Province of)
3.50%, 10/23/07 150,000 156,457
Nova Scotia (Province of)
5.75%, 02/27/12 500,000 570,488
Ontario (Province of)
3.28%, 03/28/08 250,000 256,141
7.63%, 06/22/04 1,000,000 1,062,884
Quebec (Province of)
5.75%, 02/15/09 1,000,000 1,135,329
6.13%, 01/22/11 1,000,000 1,163,505
Saskatchewan (Province of)
7.38%, 07/15/13 230,000 296,278
South Africa (Republic of)
7.38%, 04/25/12 250,000 286,875
United Mexican States
6.38%, 01/16/13 500,000 530,000
8.13%, 12/30/19 1,000,000 1,140,000
8.30%, 08/15/31 250,000 287,875
8.50%, 02/01/06 500,000 579,750
------------
TOTAL FOREIGN GOVERNMENT BONDS & NOTES
(Cost: $12,756,242) 13,868,103
------------
136
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------------
Bond Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Principal Value
- ---------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS--66.26%
- ---------------------------------------------------------------------------
U.S. Government Securities--22.10%
U.S. Treasury Bonds
5.25%, 02/15/29 $1,700,000 $ 1,851,074
5.38%, 02/15/31 1,500,000 1,689,082
6.00%, 02/15/26 1,800,000 2,151,634
6.13%, 11/15/27 2,600,000 3,164,892
6.25%, 05/15/30 700,000 871,445
6.50%, 11/15/26 1,950,000 2,473,834
7.13%, 02/15/23 2,700,000 3,618,105
7.25%, 05/15/16 1,800,000 2,393,860
7.63%, 02/15/25 3,200,000 4,549,875
8.00%, 11/15/21 4,250,000 6,157,022
8.13%, 08/15/19 1,850,000 2,675,635
8.75%, 11/15/08 500,000 514,160
8.75%, 05/15/17 1,600,000 2,394,938
8.75%, 05/15/20 1,800,000 2,753,789
9.13%, 05/15/18 1,500,000 2,326,230
9.25%, 02/15/16 600,000 918,680
9.38%, 02/15/06 800,000 961,531
9.88%, 11/15/15 400,000 635,656
10.38%, 11/15/09 3,100,000 3,482,779
10.38%, 11/15/12 1,300,000 1,731,691
11.25%, 02/15/15 650,000 1,107,640
11.75%, 11/15/14 500,000 755,820
12.50%, 08/15/14 400,000 617,016
12.75%, 11/15/10 200,000 251,984
13.25%, 05/15/14 850,000 1,330,515
13.88%, 05/15/11 600,000 803,602
U.S. Treasury Notes
1.50%, 02/28/05 6,700,000 6,732,193
1.75%, 12/31/04 750,000 756,504
1.88%, 09/30/04 3,000,000 3,029,532
2.13%, 08/31/04 4,750,000 4,808,078
2.88%, 06/30/04 2,000,000 2,036,406
3.00%, 11/15/07 10,270,000 10,593,341
3.50%, 11/15/06 2,300,000 2,424,435
3.88%, 02/15/13 5,860,000 6,030,075
4.00%, 11/15/12 4,250,000 4,422,490
4.38%, 05/15/07 2,000,000 2,172,812
4.38%, 08/15/12 550,000 589,725
4.63%, 05/15/06 5,550,000 6,016,328
4.75%, 11/15/08 900,000 997,699
4.88%, 02/15/12 2,500,000 2,778,905
5.50%, 05/15/09 800,000 921,438
5.63%, 02/15/06 1,000,000 1,105,664
5.63%, 05/15/08 2,500,000 2,866,015
5.75%, 11/15/05 4,200,000 4,622,461
5.75%, 08/15/10 1,600,000 1,872,813
5.88%, 11/15/04 1,800,000 1,915,664
6.00%, 08/15/04 4,200,000 4,431,328
6.00%, 08/15/09 2,000,000 2,359,140
6.13%, 08/15/07 3,100,000 3,585,950
6.25%, 02/15/07 1,200,000 1,380,000
6.50%, 05/15/05 1,000,000 1,096,719
6.50%, 08/15/05 2,400,000 2,659,313
6.50%, 02/15/10 1,800,000 2,183,695
6.75%, 05/15/05 4,000,000 4,405,156
6.88%, 05/15/06 1,100,000 1,260,575
7.00%, 07/15/06 1,400,000 1,618,093
7.88%, 11/15/04 1,000,000 1,091,367
------------
144,946,403
------------
Mortgage-Backed Securities--32.06%
Federal Home Loan Mortgage Corporation
5.00%, 05/01/18 $5,977,600 $ 6,179,282
5.50%, 01/01/17 1,340,986 1,391,048
5.50%, 03/01/17 6,184,905 6,414,895
5.50%, 04/01/17 1,443,028 1,496,688
5.50%, 04/01/33 2,996,841 3,095,936
5.50%, 07/01/33 2 10,000,000 10,315,620
6.00%, 11/01/16 508,807 529,168
6.00%, 02/01/17 569,113 591,887
6.00%, 04/01/17 640,179 665,741
6.00%, 05/01/17 514,774 535,328
6.00%, 06/01/17 705,965 734,154
6.00%, 09/01/32 11,097,801 11,506,645
6.00%, 11/01/32 1,801,820 1,868,199
6.50%, 01/01/17 2,532,194 2,659,670
6.50%, 06/01/31 1,248,145 1,298,839
6.50%, 09/01/31 413,473 430,267
6.50%, 11/01/31 625,800 651,217
7.00%, 02/01/16 1,521,924 1,616,709
7.00%, 12/01/31 2,248,550 2,357,349
7.00%, 01/01/32 2,934,354 3,076,338
7.00%, 04/01/32 1,229,091 1,288,841
7.50%, 06/01/27 848,718 904,183
7.50%, 01/01/28 1,462,105 1,557,656
7.50%, 10/01/29 1,299,246 1,387,264
8.00%, 12/01/24 3,547,962 3,850,787
Federal National Mortgage Association
4.50%, 07/01/18 2 4,000,000 4,080,000
5.00%, 05/01/18 11,951,165 12,360,244
5.00%, 07/01/18 2 3,000,000 3,098,436
5.00%, 07/01/33 2 2,000,000 2,031,876
5.50%, 06/01/33 9,990,424 10,343,601
5.50%, 07/01/33 2 11,000,000 11,367,818
6.00%, 06/01/16 431,570 450,444
6.00%, 07/01/16 604,212 630,637
6.00%, 01/01/17 629,514 657,045
6.00%, 07/01/17 6,015,725 6,278,927
6.00%, 12/01/32 9,752,684 10,138,914
6.00%, 01/01/33 10,285,897 10,693,243
6.50%, 02/01/17 1,781,635 1,879,516
6.50%, 01/01/29 12,891,892 13,462,218
6.50%, 08/01/32 13,570,629 14,151,890
6.50%, 09/01/32 2,137,853 2,229,422
7.00%, 03/01/30 2,724,907 2,870,985
7.00%, 08/01/31 1,887,341 1,987,555
7.00%, 02/01/32 2,465,682 2,596,603
7.50%, 06/01/30 265,922 282,534
7.50%, 07/01/31 306,665 325,966
Government National Mortgage Association
5.50%, 06/15/33 4,000,000 4,173,750
6.00%, 02/15/33 6,664,830 6,989,741
6.50%, 09/15/31 362,375 380,527
6.50%, 03/15/32 628,231 659,661
6.50%, 04/15/32 504,262 529,490
6.50%, 05/15/32 7,126,009 7,482,521
6.50%, 10/15/32 810,839 851,405
7.00%, 09/15/31 5,212,654 5,507,998
7.50%, 12/15/23 5,065,709 5,424,670
------------
210,321,348
------------
U.S. Government Agency Obligations--12.10%
Federal Home Loan Bank
5.38%, 05/15/06 3,000,000 3,297,963
5.95%, 07/28/08 3,500,000 4,046,556
6.09%, 06/02/06 1,500,000 1,682,664
6.75%, 08/15/07 700,000 819,964
137
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -------------------------------------------------------------
Bond Index
Master Portfolio
- -------------------------------------------------------------
Security Principal Value
- -------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS--(Continued)
- -------------------------------------------------------------
Federal Home Loan Mortgage Corporation
2.88%, 09/15/05 $6,460,000 $ 6,650,828
3.50%, 09/15/07 6,400,000 6,690,694
4.75%, 10/11/12 2,000,000 2,065,050
5.50%, 07/15/06 1,600,000 1,770,619
5.75%, 03/15/09 500,000 574,306
5.75%, 01/15/12 2,200,000 2,531,245
6.25%, 07/15/32 1,720,000 2,023,795
6.75%, 09/15/29 70,000 86,731
6.88%, 01/15/05 3,500,000 3,797,206
6.88%, 09/15/10 200,000 244,626
7.00%, 07/15/05 1,000,000 1,111,321
Federal National Mortgage Association
0.00%, 06/01/17 1,000,000 508,545
3.00%, 06/15/04 3,000,000 3,051,852
3.50%, 09/15/04 3,800,000 3,907,312
3.88%, 03/15/05 6,000,000 6,263,748
5.25%, 03/22/07 2,000,000 2,053,490
5.25%, 01/15/09 1,000,000 1,122,821
5.50%, 03/15/11 3,300,000 3,743,965
5.88%, 02/02/06 1,700,000 1,876,151
6.00%, 05/15/11 1,500,000 1,753,650
6.25%, 02/01/11 1,000,000 1,153,224
6.38%, 06/15/09 394,000 466,615
6.50%, 08/15/04 1,500,000 1,589,228
6.63%, 10/15/07 1,000,000 1,172,241
6.63%, 11/15/10 2,000,000 2,417,804
7.00%, 07/15/05 3,500,000 3,889,130
7.25%, 01/15/10 800,000 992,245
Financing Corp.
8.60%, 09/26/19 1,150,000 1,673,726
9.65%, 11/02/18 500,000 781,896
Tennessee Valley Authority
6.25%, 12/15/17 1,600,000 1,912,094
6.88%, 12/15/43 1,000,000 1,056,431
7.13%, 05/01/30 450,000 586,583
-----------
79,366,319
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost: $417,266,677) 434,634,070
-----------
- ---------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------
SHORT TERM INSTRUMENTS--24.08%
- ---------------------------------------------------------
Barclays Global Investors
Funds Institutional Money
Market Fund, Institutional
Shares 3 114,368,860 114,368,860
Barclays Global Investors
Funds Prime Money
Market Fund, Institutional
Shares 3 16,478,851 16,478,851
BlackRock Temp Cash
Money Market Fund 3 831,016 831,016
Short Term Investment Co.--
Liquid Assets
Money Market
Portfolio 3 4,321,079 4,321,079
Short Term Investment Co.--
Prime Money Market
Portfolio, Institutional
Shares 3 1,830,983 1,830,983
- ---------------------------------------------------------
Security Principal Value
- ---------------------------------------------------------
Abbey National Treasury Services PLC, Time Deposit
1.38%, 07/01/03 3 $1,098,590 $ 1,098,590
Beta Finance Inc., Floating Rate Note
1.06%, 05/20/04 3 915,354 915,354
1.17%, 08/15/03 3 1,373,314 1,373,314
Canadian Imperial Bank of Commerce,
Floating Rate Note
1.07%, 10/30/03 3 732,393 732,393
CC USA Inc., Floating Rate Note
1.10%, 04/19/04 3 805,592 805,592
1.31%, 05/24/04 3 1,830,800 1,830,800
Dorada Finance Inc., Floating Rate Note
1.06%, 05/20/04 3 1,830,709 1,830,709
Five Finance Inc., Floating Rate Note
1.15%, 04/15/04 3 915,492 915,492
HBOS Treasury Services PLC, Floating Rate Note
1.27%, 06/24/04 3 1,830,983 1,830,983
Holmes Financing PLC, Floating Rate Bond
1.14%, 04/15/04 3 366,197 366,197
K2 USA LLC, Floating Rate Note
1.15%, 05/17/04 3 915,446 915,446
1.22%, 04/13/04 3 915,446 915,446
Links Finance LLC, Floating Rate Note
0.98%, 06/28/04 3 915,309 915,309
1.08%, 03/29/04 3 915,492 915,492
1.29%, 05/04/04 3 915,446 915,446
Sigma Finance Inc., Floating Rate Note
1.13%, 10/15/03 3 1,830,892 1,830,892
White Pine Finance LLC, Floating Rate Note
1.07%, 04/20/04 3 915,492 915,492
1.14%, 05/17/04 3 1,098,590 1,098,590
------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $157,952,326) 157,952,326
------------
- ---------------------------------------------------------
Security Principal Value
- ---------------------------------------------------------
REPURCHASE AGREEMENTS--0.20%
- ---------------------------------------------------------
Bank of America NA
Repurchase Agreement,
dated 06/30/03, due
07/01/03, with an
effective yield of
1.30%. 3 915,492 915,492
Merrill Lynch Government
Securities Inc. Repurchase
Agreement, dated 06/30/03,
due 07/01/03, with an
effective yield of
1.38%. 3 366,197 366,197
------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $1,281,689) 1,281,689
------------
TOTAL INVESTMENTS IN SECURITIES--121.76%
(Cost $763,362,029) 798,650,868
Other Assets, Less Liabilities--(21.76%) (142,712,380)
------------
NET ASSETS--100.00% $655,938,488
============
Notes to the Schedule of Investments:
1 Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
2 TBA.
3 All or a portion of this security represents investments of securities lending
collateral.
4 Investments are denominated in U.S. dollars.
138 The accompanying notes are an integral part of these financial statements.
Schedule of Investments
June 30, 2003 (Unaudited)
- -------------------------------------------------------------------
Extended Index
Master Portfolio
- -------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------
COMMON STOCKS--98.69%
- -------------------------------------------------------------------
Advertising--0.59%
ADVO Inc. 1 1,702 $ 75,569
APAC Customer
Services Inc. 1 3,944 10,057
Catalina Marketing
Corp. 1 4,263 75,242
Donnelley (R.H.) Corp. 1 2,230 81,328
Getty Images Inc. 1 3,963 163,672
Grey Global Group
Inc. 55 42,488
Harte-Hanks Inc. 5,803 110,257
Interep National Radio
Sales Inc. Class A 1 3,040 8,482
Lamar Advertising Co. 1 5,672 199,711
MKTG Services Inc. 1 163 245
Modem Media Inc. 1 2,000 7,960
Obie Media Corp. 1 1,917 3,796
SITEL Corp. 1 4,768 7,390
24/7 Real Media Inc. 1 2,732 2,213
ValueVision Media
Inc. Class A 1 2,142 29,195
West Corp. 1 4,233 112,809
-----------
930,414
-----------
Aerospace/Defense--0.57%
AAR Corp. 2,040 14,402
Alliant Techsystems
Inc. 1 2,389 124,013
BE Aerospace Inc. 1 2,187 7,239
Curtiss-Wright Corp. 1,056 66,739
DRS Technologies Inc. 1 1,200 33,504
Fairchild Corp. (The)
Class A 1 6,531 26,320
GenCorp Inc. 2,957 26,288
HEICO Corp. 1,209 14,750
HEICO Corp. Class A 1,469 13,148
Integrated Defense
Technologies Inc. 1 910 14,114
Kreisler
Manufacturing
Corp. 1 2,500 12,000
L-3 Communications
Holdings Inc. 1 6,315 274,639
Orbital Sciences Corp. 1 4,247 31,003
Sequa Corp. Class A 1 864 29,635
Teledyne
Technologies Inc. 1 1,800 23,580
Titan Corp. (The) 1 4,376 45,029
United Defense
Industries Inc. 1 1,873 48,586
Veridian Corp. 1 2,824 98,529
-----------
903,518
-----------
Agriculture--0.21%
Bunge Ltd. 8,044 230,058
Delta & Pine Land Co. 3,114 68,446
DIMON Inc. 4,000 28,640
Northland Cranberries
Inc. Class A 1 532 426
Scheid Vineyards Inc.
Class A 1 1,000 3,000
-----------
330,570
-----------
Airlines--0.43%
Airtran Holdings Inc. 1 3,693 38,666
Alaska Air Group Inc. 1 1,965 42,149
American West
Holdings Corp.
Class B 1 2,024 13,763
AMR Corp. 1 7,100 78,100
Atlantic Coast Airlines
Holdings Inc. 1 2,718 36,666
Continental Airlines
Inc. Class B 1 4,790 71,706
ExpressJet Holdings
Inc. 1 4,357 65,791
JetBlue Airways Corp. 1 4,358 184,300
Midwest Express
Holdings Inc. 1 1,830 4,795
Northwest Airlines
Corp. 1 6,335 71,522
SkyWest Inc. 3,866 73,686
-----------
681,144
-----------
Apparel--0.33%
Cherokee Inc. 1 1,989 39,820
Dickie Walker Marine
Inc. 1 1,800 3,366
Gymboree Corp. 1 2,800 46,984
JLM Couture Inc. 1 2,100 10,920
K-Swiss Inc. Class A 860 29,687
Oxford Industries Inc. 1,514 62,861
Phillips-Van Heusen
Corp. 2,403 32,753
Quiksilver Inc. 1 3,338 55,044
Stride Rite Corp. 4,777 47,579
Timberland Co.
Class A 1 2,513 132,837
Unifi Inc. 1 4,132 25,618
Warnaco Group
Inc. (The) 1 2,872 38,628
-----------
526,097
-----------
Auto Manufacturers--0.23%
Aftermarket
Technology Corp. 1 1,845 19,391
American Axle &
Manufacturing
Holdings Inc. 1 3,100 74,090
CLARCOR Inc. 1,991 76,753
Dura Automotive
Systems Inc. 1 1,122 11,007
Hastings
Manufacturing Co. 1 1,700 9,605
Oshkosh Truck Corp. 1,007 59,735
Smith (A.O.) Corp. 1,742 49,037
Starcraft Corp. 1 1,683 34,720
Titan International Inc. 2,171 2,692
Wabash National
Corp. 1 2,527 35,454
-----------
372,484
-----------
Auto Parts &
Equipment--0.43%
ArvinMeritor Inc. 4,538 91,577
Bandag Inc. 1,921 71,596
BorgWarner Inc. 2,275 146,510
Collins & Aikman
Corp. 1 2,400 7,080
Edelbrock Corp. 1,907 19,737
Lear Corp. 1 4,050 186,381
Modine
Manufacturing Co. 1,524 29,520
Strattec Security
Corp. 1 247 13,140
Superior Industries
International Inc. 2,140 89,238
139
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Tenneco
Automotive Inc. 1 6,600 $ 23,760
Tower
Automotive Inc. 1 3,068 11,229
------------
689,768
------------
Banks--9.53%
AMB Financial Corp. 2,250 32,715
AMCORE Financial
Inc. 2,295 53,428
American Pacific Bank
Class B 1 4,500 33,525
Anchor BanCorp
Wisconsin Inc. 2,823 67,441
Arch Capital
Group Ltd. 1 3,575 124,160
Associated Bancorp 4,920 181,450
Astoria Financial
Corp. 5,892 164,564
Banc Corp. (The) 1,790 12,011
BancFirst Corp. 642 33,294
BancorpSouth Inc. 5,411 112,819
Bank Mutual Corp. 1,500 48,750
Bank of Hawaii Corp. 4,988 165,352
Banknorth Group Inc. 10,413 265,740
Bay View Capital
Corp. 1 3,641 21,045
Blue River Bancshares
Inc. 1 2,893 13,597
BOK Financial Corp. 1 4,283 165,195
Boston Private
Financial Holdings
Inc. 1,600 33,728
BostonFed Bancorp
Inc. 1,892 50,914
Brookline Bancorp
Inc. 7,531 105,434
Bryn Mawr Bank
Corp. 1,058 39,220
Capital Bank Corp. 2,500 37,300
Capital City Bank
Group Inc. 1,782 64,508
Capital Crossing Bank 1 2,481 59,742
Cathay Bancorp Inc. 1,802 80,333
CFS Bancorp Inc. 3,746 52,819
Chemical Financial
Corp. 2,958 88,148
Chester Bancorp Inc. 1,100 23,100
Chester Valley
Bancorp 1,356 25,913
Chittenden Corp. 2,577 70,481
Citizens Banking Corp. 2,645 70,807
Citizens First Financial
Corp. 1,522 36,528
City National Corp. 4,398 195,975
CoBiz Inc. 1,419 19,213
Colonial BancGroup
Inc. (The) 8,391 116,383
Commerce Bancorp
Inc. 4,204 155,968
Commerce
Bancshares Inc. 4,756 185,246
Commercial Federal
Corp. 3,700 78,440
Community First
Bankshares Inc. 2,411 65,820
Community Trust
Bancorp Inc. 1,100 28,754
Compass
Bancshares Inc. 8,353 291,770
Connecticut
Bankshares Inc. 1,088 42,704
Corus Bankshares Inc. 1,651 79,958
Cullen/Frost Bankers Inc. 3,945 126,634
CVB Financial Corp. 4,322 84,365
Dime Community
Bancshares 1,833 46,650
Downey Financial
Corp. 1,706 70,458
East West Bancorp
Inc. 2,200 79,508
Farmers Capital Bank
Corp. 1,246 39,822
Fidelity Bankshares
Inc. 3,019 67,324
Fidelity Southern
Corp. 2,763 31,885
Financial Institutions
Inc. 1,499 35,226
First Bancorp 3,199 87,813
First Bancorp North
Carolina 858 22,231
First Citizens
BancShares Inc.
Class A 909 91,664
First Commonwealth
Financial Corp. 3,111 40,319
First Community
Bancorp 865 26,962
First Federal Financial
of Kentucky 607 19,831
First Financial
Bancorp 3,790 60,640
First Kansas Financial
Corp. 1,900 33,155
First Merchants Corp. 849 20,639
First Midwest Bancorp
Inc. 2,848 82,051
First Niagara Financial
Group Inc. 7,581 105,831
First Oak Brook
Bancshares Class A 713 23,522
First Republic Bank 1 1,165 30,989
First Sentinel Bancorp
Inc. 4,730 75,538
1st Source Corp. 2,146 39,830
First Virginia Banks
Inc. 4,684 201,974
FIRSTFED AMERICA
BANCORP INC. 1,289 44,470
FirstFed Financial
Corp. 1 1,845 65,110
FirstMerit Corp. 5,590 127,787
Flagstar Bancorp Inc. 2,852 69,731
FMS Financial Corp. 1,000 16,400
FNB Corp.--Florida
Shares 2,664 80,613
Frontier Financial
Corp. 2,004 56,934
Fulton Financial Corp. 6,526 129,672
GA Financial Inc. 1,963 49,369
GBC Bancorp 1,033 39,667
Glacier Bancorp Inc. 1,512 37,225
Greater Bay Bancorp 3,163 64,588
GreenPoint Financial
Corp. 6,526 332,434
140
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Hancock Holding Co. 1,752 $ 82,449
Harbor Florida
Bancshares Inc. 4,183 100,225
Hibernia Corp.
Class A 10,096 183,343
Home City Financial
Corp. 800 11,280
Home Financial
Bancorp 2,015 10,377
Horizon Financial
Services Corp. 900 11,700
Hudson City Bancorp
Inc. 13,600 347,752
Hudson River Bancorp
Inc. 1,500 41,880
Hudson United
Bancorp 2,924 99,855
Independence
Community Bank
Corp. 4,216 118,976
Independent Bank
Corp.
(Massachusetts) 1,748 39,487
Independent Bank
Corp. (Michigan) 3,430 88,117
IndyMac Bancorp Inc. 4,338 110,272
Integra Bank Corp. 1,697 29,205
International
Bancshares Corp. 3,044 108,236
Investors Financial
Services Corp. 4,200 121,842
Irwin Financial Corp. 2,369 61,357
Local Financial Corp. 1 1,300 18,772
M&T Bank Corp. 7,494 631,145
MAF Bancorp Inc. 2,336 86,596
Main Street Banks Inc. 1,000 25,300
Medallion Financial
Corp. 1,916 13,431
Mercantile
Bankshares Corp. 4,724 186,031
Merchants
Bancshares Inc. 1,143 29,718
MidWestOne Financial
Group Inc. 1,062 17,045
National Commerce
Financial Corp. 13,426 297,923
National Penn
Bancshares Inc. 1,926 54,082
Net.B@nk Inc. 5,701 75,025
New York Community
Bancorp Inc. 9,143 265,970
Northwest Bancorp
Inc. 5,896 94,336
NSD Bancorp Inc. 1,103 29,340
Ocwen Financial Corp. 1 6,716 30,491
Old National Bancorp 4,977 114,471
Pacific Capital
Bancorp 1,973 69,154
Pacific Premier
Bancorp Inc. 1 1,953 14,923
Park National Corp. 1,026 117,220
Parkvale Financial
Corp. 1,233 30,307
Patriot Bank Corp. 4,540 81,675
Peoples Bancorp Inc. 1,518 38,360
People's Bank 4,591 133,093
Peoples Financial Corp. 700 10,220
Popular Inc. 8,057 310,920
Provident Bankshares
Corp. 2,688 68,302
Provident Financial
Group Inc. 2,864 73,404
R&G Financial Corp.
Class B 2,074 61,598
Republic Bancorp Inc. 5,643 75,729
Republic Bancorp Inc.
Class A 2,640 39,151
Republic Bancshares
Inc. 1,754 43,868
Riggs National Corp. 2,971 45,219
Roslyn Bancorp Inc. 6,978 149,957
Royal Bancshares of
Pennsylvania
Class A 1,585 33,840
S&T Bancorp Inc. 3,736 102,478
Santander BanCorp 4,147 67,845
Silicon Valley
Bancshares 1 2,626 62,525
Simmons First
National Corp.
Class A 1,822 36,458
Sky Financial Group
Inc. 5,391 117,093
Sobieski Bancorp Inc. 1,600 20,800
SoundView
Technology
Group Inc. 1 960 9,715
South Financial Group
Inc. (The) 4,373 102,022
SouthFirst Bancshares
Inc. 800 11,040
Southwest Bancorp of
Texas Inc. 1 2,143 69,669
Sovereign Bancorp
Inc. 17,225 269,571
Staten Island Bancorp
Inc. 4,184 81,504
Sterling Bancorp
(New York) 1,716 47,859
Sterling Bancshares
Inc. 3,142 41,097
Sterling Financial
Corp.
(Pennsylvania) 1,995 46,384
Sterling Financial
Corp. (Washington) 1 2,744 66,844
Suffolk Bancorp 3,600 115,920
Susquehanna
Bancshares Inc. 3,704 86,488
TCF Financial Corp. 4,841 192,865
Texas Regional
Bancshares Inc.
Class A 2,801 97,195
Tompkins Trustco Inc. 1,000 44,650
Trust Co. of New
Jersey (The) 2,085 63,175
TrustCo Bank
Corp. NY 5,945 65,871
Trustmark Corp. 3,856 98,212
UCBH Holdings Inc. 2,396 68,717
UMB Financial Corp. 1,991 84,418
Umpqua Holdings
Corp. 1,230 23,358
UnionBanCal Corp. 9,695 401,082
United Bancshares
Inc. 2,324 66,583
141
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
United National
Bancorp 1,684 $ 46,462
United Tennessee
Bankshares Inc. 1,100 15,400
Unizan Financial Corp. 3,187 55,996
Valley National
Bancorp 6,889 181,525
W Holding Co. Inc. 6,883 116,460
Warwick Community
Bancorp 2,643 77,308
Washington Federal
Inc. 4,056 93,815
Washington Trust
Bancorp Inc. 1,000 22,990
Waypoint Financial
Corp. 6,900 124,476
Webster Financial
Corp. 3,393 128,255
WesBanco Inc. 3,399 82,596
Westamerica Bancorp 2,503 107,829
Westcorp Inc. 3,031 84,868
Westfield Financial
Inc. 600 11,286
Whitney Holding
Corp. 2,460 78,646
Wilmington Trust
Corp. 5,038 147,865
Wintrust Financial
Corp. 1,159 34,306
------------
15,157,643
------------
Beverages--0.28%
Chalone Wine Group
Ltd. 1 2,320 18,026
Coca-Cola Bottling Co.
Consolidated 874 47,720
Constellation Brands
Inc. 1 5,196 163,154
Farmer Brothers Co. 186 63,108
PepsiAmericas Inc. 9,213 115,715
Robert Mondavi Corp.
(The) Class A 1 762 19,286
Sylvan Inc. 1 1,885 20,000
------------
447,009
------------
Biotechnology--2.28%
ACLARA BioSciences
Inc. 1 2,840 12,013
Affymetrix Inc. 1 3,815 75,194
Alexion
Pharmaceuticals Inc. 1 1,616 27,553
Applera Corp.--Celera
Genomics Group 1 4,707 48,576
Arena
Pharmaceuticals Inc. 1 1,900 12,616
Ariad Pharmaceuticals
Inc. 1 3,100 13,919
Avant
Immunotherapeutics
Inc. 1 2,900 8,642
Axonyx Inc. 1 5,154 12,473
Cambrex Corp. 1,890 43,508
Cellegy
Pharmaceuticals Inc. 1 3,100 15,593
Cephalon Inc. 1 3,459 142,372
Charles River
Laboratories
International Inc. 1 2,800 90,104
Ciphergen Biosystems
Inc. 1 3,000 30,750
CryoLife Inc. 1 1,750 18,112
CuraGen Corp. 1 3,200 17,760
CYTOGEN Corp. 1 450 3,748
Deltagen Inc. 1 3,500 455
Diversa Corp. 1 2,387 23,464
Encysive
Pharmaceuticals Inc. 1 4,257 20,434
EntreMed Inc. 1 1,378 5,719
Exact Sciences Corp. 1 2,500 27,400
eXegenics Inc. 1 4,756 2,473
Exelixis Inc. 1 4,520 31,369
Gene Logic Inc. 1 1,900 11,343
Genencor
International Inc. 1 4,500 74,115
Genentech Inc. 1 14,430 1,040,692
Genome Therapeutics
Corp. 1 3,020 7,701
GTC Biotherapeutics
Inc. 1 7,976 27,358
Human Genome
Sciences Inc. 1 8,712 110,817
ICOS Corp. 1 4,116 151,263
IDEC Pharmaceuticals
Corp. 1 10,041 341,394
Illumina Inc. 1 2,560 7,680
Immunomedics Inc. 1 3,393 21,410
Incyte Corp. 1 4,282 19,868
Integra LifeSciences
Holdings Corp. 1 2,000 52,760
Invitrogen Corp. 1 3,692 141,662
Kosan Biosciences Inc. 1 4,000 23,600
Large Scale Biology
Corp. 1 1,704 1,704
Maxim
Pharmaceuticals Inc. 1 7,365 42,349
Maxygen Inc. 1 2,462 27,008
Millennium
Pharmaceuticals Inc. 1 18,695 294,072
Myriad Genetics Inc. 1 1,673 22,770
Nanogen Inc. 1 7,100 20,874
Nektar Therapeutics 1 3,004 27,727
Neurobiological
Technologies Inc. 1 7,803 27,232
Ortec International Inc. 1 326 750
Protein Design Labs
Inc. 1 5,326 74,457
Regeneron
Pharmaceuticals Inc. 1 3,143 49,502
Ribapharm Inc. 1 897 5,786
Savient
Pharmaceuticals Inc. 1 2,779 12,895
Sequenom Inc. 1 3,687 10,029
Sirna Therapeutics Inc. 1 5,289 46,596
Targeted Genetics
Corp. 1 9,926 18,065
TECHNE Corp. 1 2,489 75,516
Telik Inc. 1 2,324 37,347
Third Wave
Technologies Inc. 1 2,454 11,043
Transkaryotic
Therapies Inc. 1 2,355 27,177
V.I. Technologies Inc. 1 3,152 7,722
XOMA Ltd. 1 13,683 72,930
------------
3,629,461
------------
142
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------
Extended Index
Master Portfolio
- ----------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------
Building Materials--0.66%
Advanced Lighting
Technologies Inc. 1 1,945 $ 175
Apogee Enterprises
Inc. 2,500 22,550
Centex Construction
Products Inc. 1,509 60,496
Ceradyne Inc. 1 2,800 52,444
Comfort Systems
USA Inc. 1 4,359 11,464
ElkCorp 1,370 30,825
Florida Rock
Industries Inc. 1,824 75,295
Genlyte Group Inc.
(The) 1 1,102 38,537
Homasote Co. 1 2 900 --
Integrated Electrical
Services Inc. 1 3,692 26,767
Lafarge North
America Inc. 4,599 142,109
Lennox International
Inc. 3,521 45,315
LSI Industries Inc. 1,734 19,247
Martin Marietta
Materials Inc. 3,483 117,064
NCI Building
Systems Inc. 1 1,307 21,827
Rayonier Inc. 2,665 87,945
Rock of Ages Corp. 2,774 17,865
Simpson
Manufacturing
Co. Inc. 1 1,834 67,124
Texas Industries Inc. 1,710 40,698
Trex Co. Inc. 1 1,300 51,025
USG Corp. 1 2,423 46,037
Waxman Industries
Inc. 1 1,900 7,600
York International
Corp. 2,848 66,643
------------
1,049,052
------------
Chemicals--1.30%
Airgas Inc. 5,251 87,954
Albemarle Corp. 2,602 72,778
Arch Chemicals Inc. 2,100 40,110
Atlantis Plastics Inc.
Class A 1 600 4,230
Cabot Corp. 3,977 114,140
Cabot
Microelectronics
Corp. 1 1,810 91,351
Crompton Corp. 8,406 59,262
Cytec Industries Inc. 1 2,335 78,923
Detrex Corp. 1 2,000 3,280
Ferro Corp. 2,485 55,987
Flamemaster Corp.
(The) 1,600 10,768
Foamex International
Inc. 1 2,122 6,493
Fuller (H.B.) Co. 2,050 45,141
General Chemical
Group Inc. (The) 1 4,900 1,225
Georgia Gulf Corp. 2,179 43,144
IMC Global Inc. 7,815 52,439
JLM Industries Inc. 1 2,200 2,860
Landec Corp. 1 1,973 7,201
Lubrizol Corp. 3,866 119,807
Lyondell Chemical Co. 8,958 121,202
MacDermid Inc. 1,924 50,601
Millennium Chemicals Inc. 3,774 35,891
Minerals Technologies Inc. 1,419 69,049
Mississippi Chemical
Corp. 1 2,577 155
Myers Industries Inc. 3,121 29,650
NL Industries Inc. 3,832 65,144
Olin Corp. 2,793 47,760
OM Group Inc. 1,760 25,925
OMNOVA Solutions
Inc. 1 2,357 9,522
Penford Corp. 1,571 17,548
PolyOne Corp. 4,908 21,841
Rogers Corp. 1 1,116 37,163
RPM International Inc. 6,547 90,021
Schulman (A.) Inc. 2,888 46,381
Solutia Inc. 6,927 15,101
Spartech Corp. 2,902 61,551
Stepan Co. 745 16,837
SurModics Inc. 1 1,148 35,014
Symyx Technologies
Inc. 1 2,178 35,545
Terra Industries Inc. 1 5,000 5,350
U.S. Plastic Lumber
Co. 1 1,954 352
Valhi Inc. 10,022 96,412
Valspar Corp. (The) 3,200 135,104
Vertex
Pharmaceuticals Inc. 1 4,698 68,591
Wellman Inc. 2,600 29,120
------------
2,063,923
------------
Coal--0.13%
CONSOL Energy Inc. 6,125 139,282
Massey Energy Co. 4,599 60,477
------------
199,759
------------
Commercial Services--5.08%
Ablest Inc. 1 1,700 8,789
ABM Industries Inc. 2,912 44,845
Actuant Corp. Class A 1 645 30,521
Administaff Inc. 1 1,570 16,171
Advisory Board Co.
(The) 1 1,900 76,988
AHL Services Inc. 1 2,230 3,077
Albany Molecular
Research Inc. 1 2,100 31,710
AMN Healthcare
Services Inc. 1 3,900 49,530
Answerthink Inc. 1 2,281 4,402
ARAMARK Corp.
Class B 1 5,831 130,731
Arbitron Inc. 1 2,400 85,680
Armor Holdings Inc. 1 3,000 40,200
Atrix Laboratories Inc. 1 1,816 39,934
Bankrate Inc. 1 5,171 62,673
Barrett Business
Services Inc. 1 5,200 16,588
BearingPoint Inc. 1 11,751 113,397
Blount International
Inc. 1 3,065 17,470
Blue Rhino Corp. 1 1,881 22,553
Bowne & Co. Inc. 2,846 37,083
Bright Horizons
Family Solutions
Inc. 1 1,019 34,198
Brink's Co. (The) 3,410 49,684
143
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Career Education
Corp. 1 3,500 $ 239,470
Caremark Rx Inc. 1 16,958 435,481
CDI Corp. 1 2,262 58,722
Central Parking Corp. 2,398 29,639
Charles River
Associates Inc. 1 1,972 55,748
Clark Inc. 1 1,605 19,180
Coinstar Inc. 1 1,800 33,948
Corinthian Colleges
Inc. 1 2,800 135,996
Corporate Executive
Board Co. (The) 1 2,774 112,430
CoStar Group Inc. 1 1,228 36,668
Cross Country
Healthcare Inc. 1 1,700 22,423
DeVry Inc. 1 4,854 113,050
DiamondCluster
International Inc.
Class A 1 2,863 10,622
Dun & Bradstreet
Corp. 1 5,100 209,610
Edgewater
Technology Inc. 1 3,066 14,717
Edison Schools Inc. 1 3,000 4,500
Education
Management Corp. 1 2,288 121,676
Electro Rent Corp. 1 1,901 20,493
Exult Inc. 1 10,700 91,699
First Consulting
Group Inc. 1 2,194 10,246
First Health Group
Corp. 1 5,842 161,239
FTI Consulting Inc. 1 2,250 56,182
Gartner Inc. Class B 1 5,300 39,750
Gevity HR Inc. 1,928 22,789
Griffin Land &
Nurseries Inc. 1 1,300 17,979
GSI Commerce Inc. 1 2,939 19,633
Harris Interactive Inc. 1 5,460 35,981
Healthcare Services
Group Inc. 1 2,214 31,284
Heidrick & Struggles
International Inc. 1 1,500 18,930
Hewitt Associates Inc.
Class A 1 979 23,055
Interactive Data Corp. 1 7,842 132,530
InterActiveCorp 1 33,339 1,319,216
Iron Mountain Inc. 1 5,754 213,416
ITT Educational
Services Inc. 1 3,416 99,918
j2 Global
Communications
Inc. 1 672 30,899
Kelly Services Inc.
Class A 1,746 40,944
Korn/Ferry
International 1 2,745 22,234
Kroll Inc. 1 3,624 98,065
Labor Ready Inc. 1 4,970 35,635
Landauer Inc. 705 29,490
Learning Tree
International Inc. 1 1,311 20,491
LendingTree Inc. 1 4,366 106,880
Mail-Well Inc. 1 5,584 14,072
Management Network
Group Inc. (The) 1 3,200 6,240
Manpower Inc. 4,945 183,410
MAXIMUS Inc. 1 2,104 58,134
McGrath Rentcorp 916 24,494
Medical Staffing
Network Holdings
Inc. 1 1,515 10,605
MedQuist Inc. 1 2,616 52,948
Midas Inc. 1 2,555 30,967
MPS Group Inc. 1 5,602 38,542
MPW Industrial
Services Group Inc. 1 1,095 2,190
National Research
Corp. 1 2,500 28,150
Navigant Consulting
Co. 1 4,627 54,830
Neff Corp. 1 4,392 1,976
NetRatings Inc. 1 2,328 21,278
Neurogen Corp. 1 1,733 7,902
New Horizons
Worldwide Inc. 1 1,608 6,882
On Assignment Inc. 1 1,578 6,312
PDI Inc. 1 878 8,920
PFSweb Inc. 1 2,656 1,700
Pharmaceutical
Product
Development Inc. 1 3,321 95,412
Pharmacopeia Inc. 1 1,300 10,725
Plexus Corp. 1 2,360 27,211
Precis Inc. 1 6,784 31,206
Pre-Paid Legal
Services Inc. 1 1,100 26,983
PRG-Schultz
International Inc. 1 3,046 17,971
Princeton Review Inc.
(The) 1 1,637 9,658
ProsoftTraining 1 2,672 1,149
Quanta Services Inc. 1 6,656 47,258
Rainbow Rentals Inc. 1 1,065 6,017
RCM Technologies
Inc. 1 3,186 12,425
Rent-A-Center Inc. 1 2,217 168,071
Rent-Way Inc. 1 1,445 6,719
Resources Connection
Inc. 1 1,300 31,018
Rollins Inc. 4,749 89,519
Roper Industries Inc. 2,199 81,803
Roto-Rooter Inc. 1,162 44,319
Saba Software Inc. 1 3,152 14,342
SciQuest Inc. 1 2,389 9,198
Security Associates
International Inc. 1 3,200 --
Service Corp.
International 1 11,600 44,892
ServiceMaster Co.
(The) 18,725 200,358
Sotheby's Holdings
Inc. Class A 1 3,645 27,119
SOURCECORP Inc. 1 1,406 30,370
Spherion Corp. 1 3,724 25,882
SPS Technologies Inc. 1 1,178 31,853
Stewart Enterprises
Inc. Class A 1 5,516 23,719
Strayer Education Inc. 1,102 87,554
Student Advantage
Inc. 1 360 29
Sylvan Learning
Systems Inc. 1 2,757 62,970
144
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
TeleTech Holdings Inc. 1 4,895 $ 20,706
Trimeris Inc. 1 1,297 59,247
Tyler Technologies
Inc. 1 3,772 16,031
United Rentals Inc. 1 4,435 61,602
Universal Security
Instruments Inc. 1 2,100 22,575
URS Corp. 1 1,885 36,682
Valassis
Communications
Inc. 1 3,427 88,142
Viad Corp. 5,514 123,458
Volt Information
Sciences Inc. 1 1,260 17,199
Wackenhut
Corrections Corp. 1 1,638 22,457
Watson Wyatt & Co.
Holdings 1 3,200 74,176
Weight Watchers
International Inc. 1 6,719 305,647
Westaff Inc. 1 1,884 4,201
Wireless Facilities Inc. 1 2,879 34,260
World Fuel Services
Corp. 4,155 102,171
------------
8,082,938
------------
Computer Systems--0.00%
MetaSolv Inc. 1 2,760 5,410
------------
5,410
------------
Computers--4.95%
Accrue Software Inc. 1 2,100 73
ACE*COMM Corp. 1 4,000 4,000
Activision Inc. 1 5,883 76,008
Advanced Digital
Information Corp. 1 3,140 31,369
Advent Software Inc. 1 2,194 37,101
Affiliated Computer
Services Inc.
Class A 1 8,260 377,730
Agile Software Corp. 1 3,100 29,915
American Software
Inc. Class A 1 3,900 17,160
Anteon International
Corp. 1 3,200 89,312
Applix Inc. 1 1,058 1,693
Art Technology Group
Inc. 1 4,400 7,040
Ask Jeeves Inc. 1 3,000 41,250
Aspen Technology
Inc. 1 2,506 12,029
Auspex Systems Inc. 1 2,748 99
Avici Systems Inc. 1 734 4,477
BARRA Inc. 1 1,431 51,087
BindView
Development Corp. 1 4,020 8,120
BISYS Group Inc.
(The) 1 7,801 143,304
Black Box Corp. 1,271 46,010
Blue Coat Systems
Inc. 1 584 3,504
Braun Consulting Inc. 1 3,200 5,440
Brio Software Inc. 1 2,347 5,426
Brocade
Communications
Systems Inc. 1 14,800 87,172
BSQUARE Corp. 1 1,800 1,476
CACI International Inc.
Class A 1 1,800 61,740
Calico Commerce Inc. 1 1,824 821
Carreker Corp. 1 1,313 6,014
Catalyst International
Inc. 1 2,159 1,727
CCC Information
Services Group Inc. 1 3,164 45,878
Ceridian Corp. 1 9,500 161,215
CIBER Inc. 1 3,099 21,755
Ciprico Inc. 1 3,316 20,228
Cogent
Communications
Group Inc. 1 3,800 8,360
Cognizant Technology
Solutions Corp. 1 4,005 97,562
Commerce One Inc. 1 1,244 2,923
Computer Network
Technology Corp. 1 1,415 11,461
Concur Technologies
Inc. 1 4,166 41,952
Concurrent Computer
Corp. 1 3,566 10,413
Covansys Corp. 1 2,955 9,072
Critical Path Inc. 1 4,989 4,939
Crossroads Systems
Inc. 1 2,600 4,391
CyberSource Corp. 1 2,300 6,302
Cysive Inc. 1 2,500 8,025
Daleen Technologies
Inc. 1 1,700 204
Data Translation Inc. 1 2,700 810
Dataram Corp. 1 2,350 7,172
Datatec Systems Inc. 1 3,783 4,086
Dendrite International
Inc. 1 2,959 38,112
Diebold Inc. 4,777 206,605
Digex Inc. 1 2,600 1,196
Digital River Inc. 1 3,738 72,143
Digitas Inc. 1 4,161 20,639
DocuCorp
International Inc. 1 898 5,954
Dot Hill Systems
Corp. 1 2,640 34,584
DSP Group Inc. 1 1,792 38,582
DST Systems Inc. 1 7,976 303,088
E.piphany Inc. 1 5,150 26,316
Echelon Corp. 1 2,298 31,643
Eclipsys Corp. 1 3,293 34,379
eGain
Communications
Corp. 1 2,751 1,293
Electronics For
Imaging Inc. 1 5,078 103,033
Ener1 Inc. 1 2,600 650
Engage Inc. 1 11,800 189
Enterasys Networks
Inc. 1 11,776 35,681
Entrust Inc. 1 4,400 12,936
Equinix Inc. 1 139 1,091
Evolving Systems Inc. 1 17,431 56,999
Exabyte Corp. 1 3,131 282
Extended Systems
Inc. 1 1,500 5,850
Extreme Networks
Inc. 1 6,900 36,570
FactSet Research
Systems Inc. 2,354 103,694
Fair Isaac Corp. 3,307 170,145
145
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Fidelity National
Information
Solutions Inc. 1 2,748 $ 71,668
First Virtual
Communications
Inc. 1 920 4,086
Forgent Networks Inc. 1 2,700 7,317
Foundry Networks
Inc. 1 7,300 105,120
Hall Kinion &
Associates Inc. 1 1,325 3,630
Henry (Jack) &
Associates Inc. 6,112 108,732
Hypercom Corp. 1 3,574 14,832
Hyperion Solutions
Corp. 1 2,443 82,476
IDX Systems Corp. 1 2,485 38,567
iGATE Corp. 1 2,794 9,695
iManage Inc. 1 2,500 12,500
InFocus Corp. 1 2,918 13,773
Inforte Corp. 1 3,794 29,897
infoUSA Inc. 1 3,416 27,670
Integral Systems Inc. 1 1,262 25,089
InterCept Inc. 1 1,200 10,032
Intergraph Corp. 1 3,688 79,292
Interliant Inc. 1 4,100 25
Internap Network
Services Corp. 1 10,300 10,506
Internet Security
Systems Inc. 1 3,224 46,716
Interwoven Inc. 1 6,200 13,764
Intraware Inc. 1 2,300 2,875
Intrusion.com Inc. 1 2,128 1,596
Iomega Corp. 1 2,444 25,906
ION Networks Inc. 1 800 68
ITXC Corp. 1 3,600 9,396
Juniper Networks Inc. 1 24,097 298,080
Jupiter Media Metrix
Inc. 2 7,751 1,705
Keynote Systems Inc. 1 2,800 29,344
Kronos Inc. 1 1,282 65,138
Larscom Inc. 1 698 3,545
Lexar Media Inc. 1 4,300 41,022
LookSmart Ltd. 1 5,000 14,150
Manhattan Associates
Inc. 1 1,961 50,927
MAPICS Inc. 1 102 836
MapInfo Corp. 1 922 6,574
Marimba Inc. 1 2,100 6,111
Maxtor Corp. 1 14,233 106,890
McDATA Corp.
Class A 1 6,934 101,722
Media 100 Inc. 1 1,360 1,618
Mentor Graphics
Corp. 1 3,883 56,226
MICROS Systems Inc. 1 1,421 46,865
Micros-To-Mainframes
Inc. 1 1,000 870
Mindspeed
Technologies Inc. 1 5,240 14,149
Mitek Systems Inc. 1 3,300 4,191
Mobius Management
Systems Inc. 1 1,756 13,117
MTI Technology Corp. 1 3,350 3,313
MTS Systems Corp. 4,285 63,161
National Instruments
Corp. 1 4,164 157,316
Neoware Systems Inc. 1 1,800 27,612
Net Perceptions Inc. 1 3,000 4,800
NetScout Systems
Inc. 1 2,500 13,425
Netsmart
Technologies Inc. 1 4,200 23,142
Novadigm Inc. 1 1,945 5,038
Nuance
Communications
Inc. 1 2,329 12,577
NYFIX Inc. 1 1,983 12,592
Odetics Inc. Class A 1 1,335 906
On2 Technologies Inc. 1 2,100 2,625
OneSource
Information
Services Inc. 1 2,900 21,634
ONYX Software Corp. 1 2,900 2,813
Packeteer Inc. 1 3,800 59,166
Palm Inc. 1 3,161 51,429
PEC Solutions Inc. 1 2,400 38,640
Pegasus Solutions
Inc. 1 2,005 32,581
Performance
Technologies Inc. 1 1,587 11,585
Perot Systems Corp.
Class A 1 6,811 77,373
Phoenix Technologies
Ltd. 1 1,569 8,865
Primus Knowledge
Solutions Inc. 1 2,500 3,275
ProcureNet Inc. 2 1,791 --
Progress Software
Corp. 1 1,928 39,967
Quantum Corp. 1 9,760 39,528
Quest Software Inc. 1 5,800 69,020
Radiant Systems Inc. 1 2,038 13,736
RadiSys Corp. 1 1,563 20,632
Radview Software
Ltd. 1 2,092 774
Rainbow Technologies
Inc. 1 2,864 24,086
Red Hat Inc. 1 10,000 75,700
Redback Networks
Inc. 1 9,200 8,280
Retek Inc. 1 3,155 20,192
Riverstone Networks
Inc. 1 7,510 8,862
RSA Security Inc. 1 3,275 35,206
RWD Technologies
Inc. 1 2,923 6,021
Safeguard Scientifics
Inc. 1 7,939 21,435
SafeNet Inc. 1 212 5,932
Sagent Technology
Inc. 1 2,400 384
Sanchez Computer
Associates Inc. 1 2,362 12,282
SanDisk Corp. 1 4,219 170,237
ScanSoft Inc. 1 3,583 19,456
ScanSource Inc. 1 680 18,190
Scientific Learning
Corp. 1 4,397 19,786
SCM Microsystems
Inc. 1 2,988 16,314
Seagate Technology 7,848 138,517
Secure Computing
Corp. 1 2,230 19,468
146
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
SEEC Inc. 1 2,300 $ 3,174
SEI Investment Co. 6,888 220,416
Silicon Storage
Technology Inc. 1 5,987 25,086
SmartDisk Corp. 1 1,900 114
SmartServ Online Inc. 1 3,200 1,632
Socket Communications
Inc. 1 2,600 4,056
Sonic Foundry Inc. 1 2,400 2,352
SonicWALL Inc. 1 4,200 20,160
Speedus Corp. 1 3,600 4,248
SportsLine.com Inc. 1 3,955 8,286
SRA International Inc.
Class A 1 1,184 37,888
SS&C Technologies
Inc. 1 3,939 62,827
Storage Technology
Corp. 1 8,066 207,619
StorageNetworks Inc. 1 2,316 3,219
Stratasys Inc. 1 2,400 84,408
Stratos Lightwave Inc. 1 700 3,479
Sykes Enterprises Inc. 1 2,159 10,558
Synaptics Inc. 1 600 8,076
Synopsys Inc. 1 4,976 307,766
Syntel Inc. 1 3,108 48,889
T/R Systems Inc. 1 3,632 3,232
Take-Two Interactive
Software Inc. 1 2,620 74,251
Technology Solutions
Co. 1 3,925 3,925
Teknowledge Corp. 1 700 1,456
Tellium Inc. 1 6,019 5,297
TenFold Corp. 1 7,295 16,778
THQ Inc. 1 3,886 69,948
3Com Corp. 1 22,888 107,116
3D Systems Corp. 1 2,317 16,289
Tier Technologies Inc.
Class B 1 1,884 14,601
TransAct Technologies
Inc. 1 3,700 44,881
Tumbleweed
Communications
Corp. 1 2,204 5,686
Turnstone Systems
Inc. 1 7,062 17,726
Ultimate Software
Group Inc. 1 2,485 12,452
USDATA Corp. 1 660 198
VeriSign Inc. 1 15,231 210,645
Verity Inc. 1 2,268 28,713
Versant Corp. 1 3,800 2,314
Verso Technologies
Inc. 1 2,283 3,950
Vertel Corp. 1 2,100 191
Vialink Co. (The) 1 2,188 298
WatchGuard
Technologies Inc. 1 2,200 10,120
Wave Systems Corp.
Class A 1 3,069 2,701
Webb Interactive
Services 1 1,672 1,371
Western Digital Corp. 1 11,703 120,541
Xanser Corp. 1 2,200 4,730
Xybernaut Corp. 1 5,065 2,938
Zamba Corp. 1 2,800 476
------------
7,862,757
------------
Cosmetics/Personal Care--0.16%
Estee Lauder
Companies Inc.
Class A 7,442 249,530
------------
249,530
------------
Distribution/Wholesale--0.81
Advanced Energy
Industries Inc. 1 1,793 25,550
Advanced Marketing
Services Inc. 1,449 18,837
Bell Microproducts Inc. 1 2,292 9,787
Brightpoint Inc. 1 777 9,557
CDW Corp. 1 5,244 240,175
CellStar Corp. 1 2,739 10,764
Chindex International
Inc. 1 2,000 40,800
Fastenal Co. 4,812 163,319
First Aviation Services
Inc. 2,400 9,144
Handleman Co. 1 3,314 53,024
Hughes Supply Inc. 1,672 58,018
Ingram Micro Inc.
Class A 1 10,364 114,004
Keystone Automotive
Industries Inc. 1 3,486 63,654
Margo Caribe Inc. 1 2,116 15,256
Nitches Inc. 1,900 11,438
NuCo2 Inc. 1 2,522 23,732
Owens & Minor Inc. 2,557 57,149
SCP Pool Corp. 1 2,165 74,476
Tech Data Corp. 1 4,959 132,455
TIMCO Aviation
Services Inc. 1 215 82
United Stationers Inc. 1 2,246 81,238
Watsco Inc. 3,306 54,747
WESCO International
Inc. 1 3,100 18,600
------------
1,285,806
------------
Diversified Financial Services--2.85%
Advanta Corp. Class A 2,893 28,467
Affiliated Managers
Group Inc. 1 1,284 78,260
Alleghany Corp. 1 486 92,826
Allied Capital Corp. 7,819 180,619
American Capital
Strategies Ltd. 4,107 102,429
AmeriCredit Corp. 1 8,742 74,744
Ameritrade Holding
Corp. 1 25,030 185,472
Ampal-American
Israel Corp. Class A 1 2,783 7,904
Avalon Capital Inc. 2 900 11,970
BlackRock Inc. 1 1,300 58,552
Capitol Federal
Financial 4,700 132,117
Chicago Mercantile
Exchange 1,974 137,450
CIT Group Inc. 14,198 349,981
CompuCredit Corp. 1 2,500 30,375
Diamond Hill
Investment Group 1 2,052 8,208
Digital Insight Corp. 1 2,589 49,320
Doral Financial Corp. 4,663 208,203
DVI Inc. 1 1,919 8,962
E*TRADE Group Inc. 1 22,308 189,618
Eaton Vance Corp. 5,090 160,844
Edwards (A.G.) Inc. 4,812 164,570
147
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
E-LOAN Inc. 1 4,300 $ 25,069
Empire Financial
Holding Co. 1 3,100 5,115
Equitex Inc. 1 6,339 6,656
Factual Data Corp. 1 4,138 71,918
Financial Federal
Corp. 1 1,741 42,480
Forrester Research
Inc. 1 1,166 19,076
Gabelli Asset
Management Inc.
Class A 1 800 28,880
Greg Manning
Auctions Inc. 1 1,400 3,150
HPSC Inc. 1 2,200 21,406
Instinet Group Inc. 2,582 12,032
Investment
Technology Group
Inc. 1 3,231 60,097
Jeffries Group Inc. 1,440 71,698
Kent Financial
Services Inc. 1 2,200 7,810
Kirlin Holding Corp. 1 500 2,550
Knight Trading Group
Inc. 1 7,490 46,588
LaBranche & Co. Inc. 4,000 82,760
Legg Mason Inc. 3,976 258,241
M.H. Meyerson & Co.
Inc. 1 3,900 10,214
Matrix Bancorp Inc. 1 1,947 19,937
MCG Capital Corp. 4,000 58,000
MemberWorks Inc. 1 1,498 29,585
Metris Companies Inc. 3,983 22,106
National Processing
Inc. 1 4,265 68,581
NCO Group Inc. 1 2,060 36,895
Neuberger Berman
Inc. 6,031 240,697
New Century Equity
Holdings Corp. 1 3,028 999
New Century
Financial Corp. 1,388 60,586
Nuveen Investments
Inc. Class A 6,706 182,671
Online Resources
Corp. 1 1,400 8,918
Phoenix Companies
Inc. 6,993 63,147
Rampart Capital Corp. 1 2,300 6,946
Raymond James
Financial Inc. 2,566 84,806
Resource America Inc.
Class A 2,574 26,641
S1 Corp. 1 4,503 18,192
Sagemark Companies
Ltd. (The) 1 2,176 5,549
Saxon Capital Inc. 1 668 11,610
Siebert Financial
Corp. 1 2,939 14,110
StarTek Inc. 1 1,989 52,311
Student Loan Corp. 1,390 175,140
Sutter Holding Co.
Inc. 1 1,700 20,315
SWS Group Inc. 1,601 32,260
Waddell & Reed
Financial Inc.
Class A 5,897 151,376
Westwood Holdings
Group Inc. 1,000 19,020
WFS Financial Inc. 1 2,425 81,262
------------
4,528,291
------------
Electric--2.20%
ALLETE Inc. 4,782 126,962
Alliant Energy Corp. 5,851 111,345
Avista Corp. 3,199 45,266
Black Hills Corp. 2,435 74,754
CH Energy Group Inc. 1,356 61,020
Cleco Corp. 3,212 55,632
DPL Inc. 8,404 133,960
DQE Inc. 3,346 50,424
El Paso Electric Co. 1 3,496 43,106
Empire District
Electric Co. (The) 1,961 42,652
Energy East Corp. 11,385 236,353
Great Plains Energy
Inc. 4,733 136,689
Green Mountain
Power Corp. 2,136 42,720
Hawaiian Electric
Industries Inc. 2,785 127,692
IDACORP Inc. 1,982 52,027
MDU Resources
Group Inc. 4,977 166,680
MGE Energy Inc. 3,119 97,874
Northeast Utilities 10,402 174,129
NorthWestern Corp. 2,128 4,256
NSTAR 4,230 192,677
OGE Energy Corp. 5,413 115,676
Otter Tail Corp. 1,960 52,881
Pepco Holdings Inc. 10,206 195,547
Plug Power Inc. 1 3,254 15,196
PNM Resources Inc. 2,469 66,046
Puget Energy Inc. 6,183 147,588
Reliant Resources Inc. 1 17,149 105,123
SCANA Corp. 6,893 236,292
Sierra Pacific
Resources 1 5,187 30,811
Texas Genco Holdings
Inc. 1,154 26,830
UIL Holdings Corp. 1,796 72,828
UniSource Energy
Corp. 3,142 59,070
Westar Energy Inc. 4,046 65,667
Wisconsin Energy
Corp. 7,457 216,253
WPS Resources Corp. 2,863 115,093
------------
3,497,119
------------
Electrical Components & Equipment--0.27%
Active Power Inc. 1 2,186 3,672
C&D Technologies Inc. 1,414 20,305
Capstone Turbine
Corp. 1 4,900 5,341
Energizer Holdings
Inc. 1 6,061 190,315
GrafTech International
Ltd. 1 2,812 15,325
Hubbell Inc. Class B 3,842 127,170
ISCO International Inc. 1 4,000 960
Medis Technologies
Ltd. 1 1,067 7,608
Proton Energy
Systems Inc. 2,100 4,494
Superconductor
Technologies Inc. 1 3,200 7,360
148
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Wilson Greatbatch
Technologies Inc. 1 1,300 $ 46,930
------------
429,480
------------
Electronics--2.66%
Actel Corp. 1 2,137 43,808
ADE Corp. 1 1,586 13,608
Aeroflex Inc. 1 3,466 26,827
Alpha Technologies
Group Inc. 1 2,496 4,368
Alpine Group Inc. (The) 1 1,396 1,110
American Building
Control Inc. 1 542 623
American
Superconductor
Corp. 1 1,366 8,182
American Technology
Corp. 1 4,745 30,131
AMETEK Inc. 2,034 74,546
Amphenol Corp.
Class A 1 2,898 135,684
Analogic Corp. 966 47,102
Andrea Electronics
Corp. 1 2,596 805
Arrow Electronics Inc. 1 6,367 97,033
Artesyn Technologies
Inc. 1 2,290 12,847
Artisan Components
Inc. 1 1,153 26,069
AstroPower Inc. 1 2,400 7,896
ATMI Inc. 1 3,118 77,856
Ault Inc. 1 2,400 5,112
Avnet Inc. 1 7,724 97,940
AVX Corp. 11,542 126,847
Barnes Group Inc. 1,790 38,950
Bel Fuse Inc. Class A 1 1,091 22,365
Belden Inc. 1,681 26,711
Benchmark
Electronics Inc. 1 1,419 43,648
Blonder Tongue
Laboratories Inc. 1 4,570 10,465
Brady Corp. Class A 1,406 46,890
Cable Design
Technologies Corp. 1 2,643 18,897
California Amplifier
Inc. 1 1,100 3,927
Caliper Technologies
Corp. 1 1,734 7,890
Catalyst
Semiconductor Inc. 1 3,300 12,708
Checkpoint Systems
Inc. 1 2,497 35,333
Coherent Inc. 1 2,160 51,689
Concord Camera
Corp. 1 6,302 44,681
CTS Corp. 1,216 12,707
Cubic Corp. 3,384 75,192
Cymer Inc. 1 2,692 84,960
Daktronics Inc. 1 3,600 58,860
Dionex Corp. 1 2,700 107,325
DuPont Photomasks
Inc. 1 1,284 24,178
EDO Corp. 2,396 42,409
Electric Fuel Corp. 1 2,539 2,031
Electro Scientific
Industries Inc. 1 1,275 19,329
Electro-Sensors Inc. 4,000 12,440
Energy Conversion
Devices Inc. 1 1,563 14,223
ESS Technology Inc. 1 3,518 34,300
Evans & Sutherland
Computer Corp. 1 3,765 21,385
Exar Corp. 1 2,028 32,103
Excel Technology Inc. 1 1,006 22,967
Fairchild
Semiconductor
International Inc.
Class A 1 7,000 89,530
FEI Co. 1 1,869 35,062
Fisher Scientific
International Inc. 1 2,767 96,568
Frequency Electronics
Inc. 1,643 14,951
FSI International Inc. 1 2,428 9,469
FuelCell Energy Inc. 1 2,800 22,932
General Cable Corp. 2,647 14,294
Gentex Corp. 1 4,560 139,582
Genus Inc. 1 1,400 3,780
HEI Inc. 1 2,100 6,321
Helix Technology
Corp. 1,597 21,128
Hickok Inc. Class A 1 2,300 9,439
Hifn Inc. 1 1,039 9,257
Hutchinson
Technology Inc. 1 2,299 75,614
Innovex Inc. 1 3,844 38,824
Interlink Electronics
Inc. 1 3,850 23,523
International
Electronics Inc. 1 2,300 6,233
inTEST Corp. 1 1,900 8,531
InVision Technologies
Inc. 1 1,539 38,244
JMAR Technologies
Inc. 1 2,400 3,000
JNI Corp. 1 3,600 17,748
KEMET Corp. 1 5,608 56,641
Lifeline Systems Inc. 1 1,214 34,478
Littelfuse Inc. 1 1,208 27,011
Lowrance Electronics
Inc. 1 2,700 23,058
Mattson Technology
Inc. 1 1,653 5,108
Maxwell Technologies
Inc. 1 613 3,531
Meade Instruments
Corp. 1 3,280 10,496
Mechanical
Technology Inc. 1 1,914 5,933
Mercury Computer
Systems Inc. 1 1,744 31,671
Mesa Laboratories
Inc. 1 2,400 16,824
Methode Electronics
Inc. Class A 2,190 23,542
Micrel Inc. 1 5,568 57,852
Micro Linear Corp. 1 2,880 8,381
Microsemi Corp. 1 2,034 32,544
MIPS Technologies
Inc. Class A 1 2,467 6,316
MKS Instruments Inc. 1 4,910 88,724
Molecular Devices
Corp. 1 1,818 28,924
Nu Horizons
Electronics Corp. 1 2,415 14,490
149
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
O.I. Corp. 1 3,200 $ 16,768
Oak Technology Inc. 1 4,600 28,566
Oilgear Co. (The) 1 2,600 5,850
Optelecom Inc. 1 4,057 42,396
OPTi Inc. 1 2,083 3,541
Orbit International
Corp. 1 3,600 20,736
OSI Systems Inc. 1 1,734 27,848
OYO Geospace Corp. 1 1,100 15,125
PCD Inc. 1 3,210 19
Photon Dynamics Inc. 1 1,200 33,156
Photronics Inc. 1 2,147 37,465
Pioneer-Standard
Electronics Inc. 2,671 22,650
PLX Technology Inc. 1 2,100 8,274
Power Integrations
Inc. 1 1,812 44,068
QuickLogic Corp. 1 2,100 6,762
Ramtron International
Corp. 1 3,840 8,717
Rayovac Corp. 1 2,929 37,931
Recoton Corp. 1 1,631 7
REMEC Inc. 1 3,501 24,367
Reptron Electronics
Inc. 1 3,600 1,368
Research Frontiers
Inc. 1 1,504 21,056
Robotic Vision
Systems Inc. 1 2,513 930
Rudolph Technologies
Inc. 1 1,317 21,019
SBS Technologies Inc. 1 1,930 18,974
Semtech Corp. 1 4,436 63,169
Silicon Image Inc. 1 5,000 27,900
Siliconix Inc. 1 1,812 65,413
Sipex Corp. 1 2,060 10,094
Spectrum Control Inc. 1 2,390 13,432
Spire Corp. 1 5,000 14,445
Taser International
Inc. 1 4,367 56,771
Tech/Ops Sevcon Inc. 1,439 7,555
Technitrol Inc. 1 1,846 27,782
Therma-Wave Inc. 1 1,515 3,151
Three-Five Systems
Inc. 1 1,445 9,970
Trans-Lux Corp. 1,400 8,680
Trimble Navigation
Ltd. 1 1,915 43,911
Triumph Group Inc. 1 1,015 28,593
Tvia Inc. 1 2,220 2,287
Universal Display
Corp. 1 2,700 24,084
Universal Electronics
Inc. 1 1,278 16,205
Valence Technology
Inc. 1 8,715 26,058
Varian Inc. 1 1,930 66,913
Vicor Corp. 1 2,475 23,760
Vishay
Intertechnology Inc. 1 9,564 126,245
Watts Industries Inc.
Class A 2,401 42,858
Woodhead Industries
Inc. 1,806 22,611
Woodward Governor
Co. 816 35,088
X-Rite Inc. 3,781 37,470
Zoran Corp. 1 2,058 39,534
Zygo Corp. 1 911 7,288
------------
4,225,371
------------
Energy & Related--0.01%
Millennium Cell Inc. 1 3,400 6,188
Syntroleum Corp. 1 2,492 6,629
------------
12,817
------------
Engineering &
Construction--0.15%
EMCOR Group Inc. 1 973 48,027
Granite Construction
Inc. 2,378 45,562
Jacobs Engineering
Group Inc. 1 3,438 144,912
UNIFAB International
Inc. 1 3,300 1,155
------------
239,656
------------
Entertainment--1.03%
Alliance Gaming Corp. 1 3,300 62,403
AMC Entertainment Inc. 1 3,050 34,892
Ameristar Casinos Inc. 1 2,700 57,645
Argosy Gaming Co. 1 1,703 35,610
barnesandnoble.com
Inc. 1 2,900 6,757
Championship Auto
Racing Teams Inc. 1 1,178 2,945
Churchill Downs Inc. 1,277 48,922
Dover Downs Gaming
& Entertainment Inc. 2,303 21,303
Dover Motorsports
Inc. 3,290 13,489
Expedia Inc. 1 2,636 201,338
Gaylord
Entertainment Co. 1 1,443 28,240
GTECH Holdings
Corp. 1 3,692 139,004
Hollywood
Entertainment Corp. 1 3,393 58,360
Image Entertainment
Inc. 1 599 1,366
International
Speedway Corp.
Class A 3,538 139,786
Isle of Capri Casinos
Inc. 1 1,700 28,101
Macrovision Corp. 1 3,060 60,955
Metro-Goldwyn-
Mayer Inc. 1 15,040 186,797
NetFlix Inc. 1 3,295 84,187
Penn National
Gaming Inc. 1 3,986 81,912
Pinnacle
Entertainment Inc. 1 1,651 11,227
Regal Entertainment
Group Class A 3,965 93,495
Six Flags Inc. 1 6,474 43,894
Speedway
Motorsports Inc. 2,731 73,191
Steinway Musical
Instruments Inc. 1 1,325 20,405
Vail Resorts Inc. 1 2,910 39,198
World Wrestling
Entertainment Inc. 1,900 19,551
Wynn Resorts Ltd. 1 2,095 37,061
Zomax Inc. 1 2,356 7,704
------------
1,639,738
------------
150
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Environmental Control--0.43%
Catalytica Energy
Systems Inc. 1 1,705 $ 4,603
Crown Andersen Inc. 1 3,900 9,360
Duratek Inc. 1 2,430 19,027
IMCO Recycling Inc. 1 5,713 37,934
Ionics Inc. 1 920 20,580
Layne Christensen Co. 1 6,420 51,809
Mine Safety
Appliances Co. 963 42,006
MPM Technologies
Inc. 1 1,900 684
Republic Services Inc. 1 11,167 253,156
Stericycle Inc. 1 2,800 107,744
Tetra Tech Inc. 1 2,746 47,039
U.S. Liquids Inc. 1 5,654 1,470
Waste Connections
Inc. 1 2,100 73,605
Waste Holdings Inc. 1 2,593 18,462
------------
687,479
------------
Food--2.55%
American Italian Pasta
Co. Class A 1 1,309 54,520
Andersons Inc. 2,101 25,737
Applebee's
International Inc. 3,921 123,237
Arden Group Inc.
Class A 1 520 30,680
Bridgeford Food Corp. 1,119 8,460
CEC Entertainment
Inc. 1 1,809 66,806
Cheesecake Factory
(The) 1 3,172 113,843
Chiquita Brands
International Inc. 1 4,300 62,350
Corn Products
International Inc. 2,003 60,150
Dean Foods Co. 1 8,115 255,622
Del Monte Foods Co. 1 12,913 114,151
Dreyer's Grand Ice
Cream Holdings Inc. 1,840 144,698
Flowers Foods Inc. 2,691 53,174
Fresh Brands Inc. 3,742 52,051
Fresh Del Monte
Produce Inc. 5,903 151,648
Gardenburger Inc. 1 3,019 1,208
Green Mountain
Coffee Roasters Inc. 1 1,000 19,000
Hain Celestial Group
Inc. 1 2,289 36,601
Hormel Foods Corp. 8,986 212,968
IHOP Corp. 1,282 40,473
Interstate Bakeries
Corp. 2,520 32,004
Jack in the Box Inc. 1 2,052 45,760
Kraft Foods Inc. 17,587 572,457
Lance Inc. 2,741 25,025
Landry's Restaurants
Inc. 1,434 33,842
M&F Worldwide Corp. 1 1,561 11,239
P.F. Chang's China
Bistro Inc. 1 1,906 93,794
Panera Bread Co.
Class A 1 2,500 100,000
Papa John's
International Inc. 1 1,521 42,664
Paradise Inc. 400 8,000
Pathmark Stores Inc. 1 1,900 14,535
Performance Food
Group Co. 1 2,523 93,351
Ralcorp Holdings Inc. 1 2,028 50,619
Rare Hospitality
International Inc. 1 1,967 64,282
Ruddick Corp. 2,487 39,096
Schlotzsky's Inc. 1 4,337 11,016
Seaboard Corp. 166 34,362
Sensient Technologies
Corp. 2,590 59,544
Smithfield Foods Inc. 1 6,648 152,372
Smucker (J.M.) Co.
(The) 2,974 118,633
Sonic Corp. 1 2,739 69,653
SonomaWest
Holdings Inc. 1 3,400 16,320
Tejon Ranch Co. 1 1,368 41,177
Tootsie Roll Industries
Inc. 3,546 108,118
Tyson Foods Inc.
Class A 22,989 244,143
United Heritage Corp. 1 6,360 3,562
United Natural Foods
Inc. 1 1,913 53,832
Weis Markets Inc. 2,768 85,863
Whole Foods Market
Inc. 1 3,889 184,844
Wild Oats Markets Inc. 1 1,876 20,448
------------
4,057,932
------------
Forest Products & Paper--0.29%
American Woodmark
Corp. 800 37,248
Bowater Inc. 3,415 127,892
Buckeye Technologies
Inc. 1 2,502 17,014
Caraustar Industries
Inc. 1 3,220 25,792
Chesapeake Corp. 1,159 25,324
Fibermark Inc. 1 1,686 7,890
Glatfelter Co. 3,481 51,345
Pope & Talbot Inc. 1,397 15,437
Potlatch Corp. 2,704 69,628
Rock-Tenn Co. Class A 2,900 49,155
Wausau-Mosinee
Paper Corp. 3,433 38,450
------------
465,175
------------
Gas--0.29%
AGL Resources Inc. 4,033 102,600
NUI Corp. 1,525 23,668
ONEOK Inc. 3,720 73,024
UGI Corp. 2,720 86,224
Vectren Corp. 4,577 114,654
WGL Holdings Inc. 2,487 66,403
------------
466,573
------------
Hand/Machine Tools--0.29%
Axsys Technologies
Inc. 1 1,179 11,366
Baldor Electric Co. 1,856 38,234
Franklin Electric Co. Inc. 902 50,196
Kennametal Inc. 2,041 69,067
Powell Industries Inc. 1 2,091 30,612
Regal-Beloit Corp. 1,935 36,958
151
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
SPX Corp. 1 5,082 $ 223,913
------------
460,346
------------
Health Care--5.15%
ABIOMED Inc. 1 1,772 9,693
Accredo Health Inc. 1 2,911 63,460
Advanced
Neuromodulation
Systems Inc. 1 748 38,724
Alaris Medical Inc. 1 2,329 30,161
Alliance Imaging Inc. 1 2,859 12,580
Alliance
Pharmaceutical
Corp. 1 640 166
American Healthways
Inc. 1 869 31,388
American Medical
Systems Holdings
Inc. 1 3,000 50,610
AMERIGROUP Corp. 1 1,651 61,417
AmSurg Corp. 1 1,289 39,314
Apogent Technologies
Inc. 1 6,318 126,360
Apria Healthcare
Group Inc. 1 3,516 87,478
Aradigm Corp. 1 2,248 4,046
Arrow International
Inc. 1,139 50,287
ArthroCare Corp. 1 1,560 26,146
AVAX Technologies
Inc. 1 2,900 696
Avigen Inc. 1 1,500 5,190
Beckman Coulter Inc. 3,981 161,788
Bei Technologies Inc. 900 10,800
BioMarin
Pharmaceutical Inc. 1 4,800 46,848
Bio-Rad Laboratories
Inc. Class A 1 1,816 100,516
Bioreliance Corp. 1 2,049 43,439
Biosite Inc. 1 977 46,994
BriteSmile Inc. 1 1,706 43,947
Bruker Daltonics Inc. 1 3,335 17,776
CardioDynamics
International Corp. 1 2,800 9,548
CardioGenesis Corp. 1 2,404 1,779
Cerner Corp. 1 3,045 69,883
Cerus Corp. 1 1,347 10,143
ChromaVision Medical
Systems Inc. 1 3,736 5,903
Closure Medical Corp. 1 1,294 24,431
Cobalt Corp. 1 2,971 61,054
Colorado Medtech
Inc. 1 1,974 9,278
Community Health
Systems Inc. 1 6,383 123,128
Computer Motion Inc. 1 17,951 69,650
Conceptus Inc. 1 783 11,001
CONMED Corp. 1 2,515 45,924
Cooper Companies
Inc. 2,334 81,153
Covance Inc. 1 3,805 68,870
Coventry Health Care
Inc. 1 4,132 190,733
CTI Molecular
Imaging Inc. 1 3,390 64,105
Cyber-Care Inc. 1 5,200 5
Cyberonics Inc. 1 1,143 24,586
Cygnus Inc. 1 2,359 1,439
Cytyc Corp. 1 7,458 78,458
Datascope Corp. 978 28,880
DaVita Inc. 1 5,721 153,208
Diagnostic Products
Corp. 2,117 86,903
Diametrics Medical
Inc. 1 3,462 4,016
Dynacq International
Inc. 1 2,800 47,040
Edwards Lifesciences
Corp. 1 3,766 121,039
Enzo Biochem Inc. 1 1,976 42,526
Enzon
Pharmaceuticals Inc. 1 3,284 41,116
Epimmune Inc. 1 2,000 2,820
Express Scripts Inc. 1 4,991 340,985
Flir Systems Inc. 1 2,000 60,300
Genesis Health
Ventures Inc. 1 3,900 68,835
Gen-Probe Inc. 1 1,484 60,651
Haemonetics Corp. 1 1,692 31,640
Hanger Orthopedic
Group Inc. 1 1,442 16,511
Health Net Inc. 1 7,729 254,671
HealthTronics Surgical
Services Inc. 1 2,400 21,600
Hillenbrand Industries
Inc. 4,274 215,623
Hologic Inc. 1 2,693 35,494
Hooper Holmes Inc. 3,918 25,232
IDEXX Laboratories
Inc. 1 2,329 78,115
IGEN International Inc. 1 1,785 56,049
I-many Inc. 1 1,903 1,922
Immtech International
Inc. 1 5,317 32,168
Impath Inc. 1 1,124 15,893
INAMED Corp. 1 1,257 67,488
Intermagnetics
General Corp. 1 1,020 20,237
Interpore International 1 2,927 37,261
Invacare Corp. 1,828 60,324
Inveresk Research
Group Inc. 1 1,653 29,737
i-STAT Corp. 1 1,362 12,244
Kensey Nash Corp. 1 1,733 45,058
Kindred Healthcare
Inc. 1 1,800 32,112
Kyphon Inc. 1 1,516 22,922
LabOne Inc. 1 651 14,036
Laboratory Corp. of
America Holdings 1 9,190 277,078
Lasersight Inc. 1 1,588 445
LifeCell Corp. 1 600 3,060
LifePoint Hospitals
Inc. 1 2,300 48,162
Lincare Holdings Inc. 1 6,608 208,218
Luminex Corp. 1 2,140 11,042
Matria Healthcare Inc. 1 1,160 20,474
Med-Design Corp.
(The) 1 2,100 10,332
Medwave Inc. 1 1,841 6,628
Mentor Corp. 2,968 57,520
Meridian Bioscience
Inc. 4,830 44,001
Merit Medical
Systems Inc. 1 3,125 62,438
152
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Micro Therapeutics Inc. 1 3,300 $ 13,992
Microtek Medical
Holdings Inc. 1 2,500 5,250
Mid Atlantic Medical
Services Inc. 1 3,220 168,406
Novamed Eyecare Inc. 1 2,500 3,275
Novavax Inc. 1 3,100 17,267
Novitron International
Inc. 2,000 12,100
Novoste Corp. 1 1,694 10,164
Oakley Inc. 1 4,562 53,695
Ocular Sciences Inc. 1 2,303 45,715
Odyssey Healthcare
Inc. 1 1,288 47,656
OraSure Technologies
Inc. 1 2,701 20,149
Orthodontic Centers
of America Inc. 1 3,298 26,417
Orthologic Corp. 1 3,033 13,921
Osteotech Inc. 1 2,997 40,729
Oxford Health Plans Inc. 1 5,596 235,200
PacifiCare Health
Systems Inc. 1 2,339 115,383
Palatin Technologies
Inc. 1 1,800 5,742
Pediatrix Medical
Group Inc. 1 1,483 52,869
PharmaNetics Inc. 1 2,400 13,920
PolyMedica Corp. 800 36,632
Possis Medical Inc. 1 2,556 35,068
Prime Medical Service
Inc. 1 2,659 12,497
Province Healthcare Co. 1 3,552 39,321
PSS World Medical
Inc. 1 7,148 41,101
Psychemedics Corp. 604 4,923
RehabCare Group Inc. 1 1,278 18,723
Renal Care Group Inc. 1 3,510 123,587
Res-Care Inc. 1 2,444 11,169
ResMed Inc. 1 2,412 94,550
Respironics Inc. 1 2,313 86,784
Select Medical Corp. 1 3,117 77,395
Sierra Health Services
Inc. 1 1,701 34,020
Sola International Inc. 1 2,813 48,946
Specialty Laboratories
Inc. 1 1,300 13,325
Spectranetics Corp. 1 11,691 35,658
Staar Surgical Co. 1 1,696 19,674
Steris Corp. 1 4,554 105,152
Sunrise Senior Living
Inc. 1 1,950 43,641
Theragenics Corp. 1 2,984 12,831
Therasense Inc. 1 4,600 46,000
Thoratec Corp. 1 3,876 57,752
Triad Hospitals Inc. 1 4,974 123,455
TriPath Imaging Inc. 1 3,479 23,762
U.S. Physical Therapy
Inc. 1 2,600 33,228
Universal Health
Services Inc.
Class B 1 3,732 147,862
Urologix Inc. 1 2,100 5,397
US Oncology Inc. 1 4,023 29,730
Varian Medical
Systems Inc. 1 4,424 254,690
VCA Antech Inc. 1 2,214 43,328
Ventana Medical
Systems Inc. 1 1,393 37,862
VistaCare Inc. Class A 1 2,805 68,190
VISX Inc. 1 4,020 69,747
Vital Sign Inc. 1,269 32,943
WebMD Corp. 1 23,096 250,130
WellChoice Inc. 1 1,240 36,307
West Pharmaceutical
Services Inc. 1,171 28,689
Wright Medical Group
Inc. 1 2,000 38,000
Young Innovations
Inc. 1 1,354 38,589
ZEVEX International
Inc. 1 1,200 3,840
Zoll Medical Corp. 1 677 22,720
------------
8,184,017
------------
Holding Companies--Diversified--3.71
Berkshire Hathaway
Inc. Class A 1 80 5,800,000
Triarc Companies Inc. 1 1,708 51,223
Walter Industries Inc. 3,486 40,960
------------
5,892,183
------------
Home Builders--1.27%
Beazer Homes USA
Inc. 1 731 61,038
Champion Enterprises
Inc. 1 4,252 22,025
Clayton Homes Inc. 8,598 107,905
D.R. Horton Inc. 9,217 258,998
Dominion Homes Inc. 1 1,300 31,005
Fleetwood Enterprises
Inc. 1 3,500 25,900
Hovnanian
Enterprises Inc.
Class A 1 1,443 85,065
KIT Manufacturing Co. 1 2 1,000 250
Lennar Corp. Class A 4,628 330,902
M.D.C. Holdings Inc. 2,272 109,692
Meritage Corp. 1 1,300 64,038
Monaco Coach Corp. 1 2,752 42,188
NVR Inc. 1 451 185,361
Palm Harbor Homes
Inc. 1 2,363 44,755
Ryland Group Inc. 1,514 105,072
Skyline Corp. 1,441 43,230
Standard-Pacific Corp. 2,326 77,130
Technical Olympic
USA Inc. 1 1,914 45,228
Thor Industries Inc. 2,592 105,805
Toll Brothers Inc. 1 4,508 127,621
WCI Communities Inc. 1 2,677 51,479
William Lyon Homes
Inc. 1 705 22,454
Winnebago Industries
Inc. 1,733 65,681
------------
2,012,822
------------
Home Furnishings--0.46%
Applica Inc. 1 3,014 25,619
Bassett Furniture
Industries Inc. 2,279 30,265
Ethan Allen Interiors
Inc. 2,449 86,107
Fedders Corp. 3,656 11,224
153
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Furniture Brands
International Inc. 1 4,043 $ 105,522
Harman International
Industries Inc. 2,192 173,475
Kimball International
Inc. Class B 1,920 29,952
Lazare Kaplan
International Inc. 1 2,279 13,446
La-Z-Boy Inc. 3,606 80,702
Libbey Inc. 1,196 27,149
Movado Group Inc. 1,678 36,496
Oneida Ltd. 1,947 13,142
ParkerVision Inc. 1 1,320 8,646
Polycom Inc. 1 5,848 81,053
Rowe Furniture Corp. 1 499 958
Salton Inc. 1 1,283 11,573
------------
735,329
------------
Household Products/Wares--0.68%
Blyth Inc. 3,000 81,600
Church & Dwight Co.
Inc. 2,224 72,792
Dial Corp. (The) 6,317 122,866
Enesco Group Inc. 1 7,002 51,815
Ennis Business Forms
Inc. 980 14,259
Fossil Inc. 1 4,206 99,093
Harland (John H.) Co. 1,887 49,364
Helen of Troy Ltd. 1 4,479 67,902
Jarden Corp. 1 1,266 35,030
Nashua Corp. 1 3,083 27,439
National Presto
Industries Inc. 1,071 33,844
Playtex Products Inc. 1 4,899 31,452
Russ Berrie & Co. Inc. 1,794 65,499
Scotts Co. (The)
Class A 1 2,091 103,504
Standard Register Co.
(The) 2,728 44,957
Toro Co. 2,550 101,362
Yankee Candle Co.
Inc. (The) 1 3,500 81,270
------------
1,084,048
------------
Insurance--3.88%
Acceptance Insurance
Companies Inc. 1 3,741 34
Alfa Corp. 3,856 49,010
Allmerica Financial
Corp. 1 3,995 71,870
American Financial
Group Inc. 4,368 99,590
American
Independence Corp. 1 860 9,176
American Medical
Security Group Inc. 1 840 16,044
American National
Insurance Co. 1,451 125,356
American Physicians
Capital Inc. 1 286 6,935
AmerUs Group Co. 2,105 59,340
Argonaut Group Inc. 2,775 34,216
Baldwin & Lyons Inc.
Class B 1,891 44,911
Berkley (W.R.) Corp. 3,610 190,247
Brown & Brown Inc. 4,890 158,925
CNA Financial Corp. 1 14,127 347,524
CNA Surety Corp. 2,972 29,274
Commerce Group Inc. 2,012 72,834
Crawford & Co.
Class B 3,782 18,570
Danielson Holding
Corp. 1 980 1,568
Delphi Financial
Group Inc. Class A 1,248 58,406
Donegal Group Inc.
Class B 855 10,722
EMC Insurance Group
Inc. 682 12,651
Erie Indemnity Co.
Class A 4,774 196,927
FBL Financial Group
Inc. Class A 2,105 42,416
Fidelity National
Financial Inc. 8,127 249,987
Financial Industries
Corp. 1,320 19,457
First American Corp. 4,918 129,589
Fremont General
Corp. 4,078 55,869
Gainsco Inc. 1 770 216
Gallagher (Arthur J.)
& Co. 5,923 161,106
Great American
Financial Resources
Inc. 2,609 34,204
Harleysville Group
Inc. 2,703 62,223
HCC Insurance
Holdings Inc. 4,166 123,189
HealthExtras Inc. 1 3,729 29,161
Hilb, Rogal &
Hamilton Co. 2,472 84,147
Horace Mann
Educators Corp. 2,702 43,583
Independence Holding
Co. 1,069 22,567
Kansas City Life
Insurance Co. 1,472 63,060
LandAmerica
Financial Group Inc. 1,690 80,275
Leucadia National
Corp. 4,101 152,229
Markel Corp. 1 646 165,376
Mercury General
Corp. 4,536 207,068
MONY Group Inc.
(The) 3,493 94,136
Nationwide Financial
Services Inc. 3,389 110,142
Navigators Group Inc. 1 1,877 55,972
Odyssey Re Holdings
Corp. 3,926 82,839
Ohio Casualty Corp. 1 4,478 59,020
Old Republic
International Corp. 7,363 252,330
Philadelphia
Consolidated
Holding Corp. 1 1,645 66,458
PICO Holdings Inc. 1 2,300 29,900
PMA Capital Corp.
Class A 2,309 29,024
PMI Group Inc. (The) 5,470 146,815
Presidential Life Corp. 2,120 29,913
ProAssurance Corp. 1 3,295 88,932
Protective Life Corp. 3,782 101,168
154
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------
Extended Index
Master Portfolio
- ----------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------
Radian Group Inc. 6,299 $ 230,858
Reinsurance Group of
America Inc. 2,879 92,416
RLI Corp. 2,328 76,591
Selective Insurance
Group Inc. 1,963 49,173
Southern Security Life
Insurance Co. 1 2,361 8,051
StanCorp Financial
Group Inc. 1,892 98,800
State Auto Financial
Corp. 3,976 89,261
Stewart Information
Services Corp. 1 2,478 69,012
Transatlantic Holdings
Inc. 3,231 223,424
Triad Guaranty Inc. 1 1,298 49,259
21st Century
Insurance Group 4,619 66,052
UICI 1 4,968 74,868
United Fire &
Casualty Co. 1,251 40,645
Unitrin Inc. 4,544 123,233
Universal American
Financial Corp. 1 3,000 19,110
Wesco Financial Corp. 332 103,584
White Mountains
Insurance Group
Ltd. 568 224,360
Zenith National
Insurance Corp. 1,762 50,217
------------
6,175,415
------------
Iron/Steel--0.15%
AK Steel Holding
Corp. 1 8,844 32,015
Carpenter Technology
Corp. 1,948 30,389
Gibraltar Steel Corp. 1,160 23,757
National Steel Corp.
Class B 1 4,836 111
Reliance Steel &
Aluminum Co. 2,195 45,436
Ryerson Tull Inc. 2,942 25,831
Shiloh Industries Inc. 1 2,882 9,309
Steel Dynamics Inc. 1 4,841 66,322
Weirton Steel Corp. 1 2,700 154
WHX Corp. 1 585 1,228
------------
234,552
------------
Leisure Time--0.42%
Ambassadors
International Inc. 1 965 11,590
Bally Total Fitness
Holding Corp. 1 1,835 16,570
Callaway Golf Co. 4,560 60,283
K2 Inc. 1 4,427 54,231
Nautilus Group Inc.
(The) 2,400 29,760
Polaris Industries Inc. 1,447 88,846
ResortQuest
International Inc. 1 3,354 14,791
Royal Caribbean
Cruises Ltd. 14,892 344,899
WMS Industries Inc. 1 2,502 39,006
------------
659,976
------------
Lodging--0.72%
Aztar Corp. 1 2,668 42,981
Boca Resorts Inc.
Class A 1 2,661 34,593
Boyd Gaming Corp. 1 4,980 85,955
Choice Hotels
International Inc. 1 2,889 78,899
Extended Stay
America Inc. 1 5,792 78,134
International Leisure
Hosts Ltd. 1 2 2,400 12,000
John Q Hammons
Hotels Inc. 1 2,600 15,808
Mandalay Resort
Group 4,156 132,369
Marcus Corp. 2,495 37,300
MGM Grand Inc. 1 9,382 320,677
Park Place
Entertainment Corp. 1 19,847 180,409
Prime Hospitality
Corp. 1 3,038 20,385
ShoLodge Inc. 1 1,700 6,443
Station Casinos Inc. 1 4,168 105,242
Suburban Lodges of
America Liquidating
Trust 2 3,969 --
------------
1,151,195
------------
Machinery--1.27%
AGCO Corp. 1 3,886 66,373
Albany International
Corp. Class A 2,391 65,513
Applied Industrial
Technologies Inc. 1,369 28,886
Astec Industries Inc. 1 1,643 14,327
Asyst Technologies
Inc. 1 2,036 13,621
Benthos Inc. 1 3,900 20,592
Briggs & Stratton
Corp. 1,620 81,810
Cognex Corp. 1 2,846 63,608
Donaldson Co. Inc. 3,068 136,373
DT Industries Inc. 1 2,068 4,777
Dycom Industries Inc. 1 3,314 54,018
Electroglas Inc. 1 10,046 13,160
Engineered Support
Systems Inc. 592 24,775
Esterline Technologies
Corp. 1 1,575 27,421
Flowserve Corp. 1 3,518 69,199
Gardner Denver Inc. 1 1,793 36,685
Gerber Scientific Inc. 1 3,216 21,419
Global Payment
Technologies Inc. 1 2,540 11,201
Graco Inc. 3,595 115,040
Hurco Companies Inc. 1 600 1,410
Idex Corp. 2,680 97,123
Imation Corp. 2,718 102,795
Insituform
Technologies Inc.
Class A 1 1,780 31,470
JLG Industries Inc. 2,372 16,130
Kadant Inc. 1 830 15,562
Knight Transportation
Inc. 1 1,617 40,263
Kulicke & Soffa
Industries Inc. 1 3,584 22,902
Lincoln Electric
Holding Inc. 3,754 76,619
155
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------
Extended Index
Master Portfolio
- ----------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------
Magnetek Inc. 1 2,812 $ 7,142
Manitowoc Co. Inc.
(The) 2,254 50,264
NACCO Industries Inc. 560 33,006
Nordson Corp. 2,262 53,949
Paragon Technologies
Inc. 1 3,600 36,000
Paxar Corp. 1 3,943 43,373
PPT Vision Inc. 1 1,600 1,200
Presstek Inc. 1 1,890 11,775
Robbins & Myers Inc. 1,306 24,161
Semitool Inc. 1 1,816 8,953
Stewart & Stevenson
Services Inc. 2,732 43,029
SureBeam
Corporation Class A 1 3,057 8,101
Tecumseh Products
Co. Class A 739 28,311
Tegal Corp. 1 4,300 2,365
Tennant Co. 1,215 44,651
Terex Corp. 1 2,592 50,596
Thomas Industries Inc. 1,910 51,665
Ultratech Inc. 1 1,943 35,926
Unova Inc. 1 4,748 52,703
Zebra Technologies
Corp. Class A 1 2,098 157,749
------------
2,017,991
------------
Machinery--Construction & Mining--0.02%
Joy Global Inc. 1 1,889 27,901
------------
27,901
------------
Manufacturers--0.61%
AZZ Incorporated 1 2,063 22,714
Carlisle Companies Inc. 2,050 86,428
CUNO Inc. 1 1,796 64,872
Federal Signal Corp. 3,348 58,824
FMC Corp. 1 3,336 75,494
Harsco Corp. 3,009 108,474
Jacuzzi Brands Inc. 1 5,310 28,090
Lancaster Colony
Corp. 2,693 104,111
Pentair Inc. 3,546 138,507
Samsonite Corp. 1 2,267 1,700
Sturm Ruger & Co.
Inc. 2,392 23,920
Teleflex Inc. 2,914 123,991
Tredegar Corp. 2,217 33,233
Trinity Industries Inc. 2,837 52,513
Wabtec Corp. 3,405 47,364
------------
970,235
------------
Manufacturing--0.05%
ESCO Technologies
Inc. 1 664 29,216
International Smart
Sourcing Inc. 1 3,590 11,308
Kaydon Corp. 1,638 34,070
Polymer Group
Escrow 2 3,131 --
Polymer Group Inc.
Class B 1 39 293
Polymer Group Inc.
Class D Warrants
(Expires 03/04/10) 1 2 49 --
Polymer Group Inc.
Class E Warrants
(Expires 03/04/10) 1 2 51 --
Servotronics Inc. 1 1,410 3,187
------------
78,074
------------
Media--4.33%
Acme
Communications
Inc. 1 2,400 18,240
Andersen Group Inc. 1 3,800 15,010
Banta Corp. 1,882 60,920
Beasley Broadcast
Group Inc. Class A 1 2,300 31,464
Belo (A.H.) Corp. 7,894 176,510
Big City Radio Inc. 1 2,600 2,522
Cablevision Systems
Corp. 1 14,610 303,304
Courier Corp. 349 17,973
Cox Radio Inc.
Class A 1 2,465 56,966
Crown Media
Holdings Inc. 1 11,798 48,726
Cumulus Media Inc.
Class A 1 3,327 62,980
Emmis
Communications
Corp. 1 4,016 92,167
Entercom
Communications
Corp. 1 3,856 188,983
Entravision
Communications
Corp. 1 4,039 45,843
Fox Entertainment
Group Inc. Class A 1 22,068 635,117
Gemstar-TV Guide
International Inc. 1 24,500 124,705
Granite Broadcasting
Corp. 1 2,740 8,384
Gray Television Inc. 2,271 28,160
Hearst-Argyle
Television Inc. 1 6,173 159,881
Hispanic Broadcasting
Corp. 1 6,746 171,686
Hollinger International
Inc. 5,722 61,626
Hollywood Media
Corp. 1 2,989 3,886
HyperFeed
Technologies Inc. 1 997 479
Information Holdings
Inc. 1 1,958 35,733
Insight
Communications
Co. Inc. 1 2,900 38,222
Journal Register Co. 1 2,867 51,864
Lee Enterprises Inc. 3,402 127,677
Liberty Corp. 1,871 79,517
Liberty Media Corp.
Class A 1 158,162 1,828,353
Lin TV Corp. Class A 1 2,838 66,835
LodgeNet
Entertainment Corp. 1 2,500 27,375
McClatchy Co. (The)
Class A 2,671 153,903
Media General Inc.
Class A 1,620 92,664
156
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Mediacom
Communications
Corp. 1 4,950 $ 48,856
Metromedia
International Group
Inc. 1 4,997 575
National Lampoon
Inc. 1 3,300 14,850
New Frontier Media
Inc. 1 1,500 2,400
On Command Corp. 1 3,249 3,574
Paxson
Communications
Corp. 1 4,748 28,441
Pegasus
Communications
Corp. 1 694 20,529
Playboy Enterprises
Inc. Class B 1 2,398 32,613
Primedia Inc. 1 10,516 32,074
Pulitzer Inc. 1,506 74,427
Radio One Inc. 1 7,095 126,717
Radio Unica
Communications
Corp. 1 3,800 3,040
Readers Digest
Association Inc.
(The) 6,294 84,843
Regent
Communications
Inc. 1 3,200 18,880
Salem
Communications
Corp. Class A 1 1,700 34,019
Scholastic Corp. 1 2,660 79,215
Scripps (E.W.) Co.
Class A 5,063 449,189
Sinclair Broadcast
Group Inc. Class A 1 4,099 47,589
Spanish Broadcasting
System Inc. Class A 1 2,600 21,190
TiVo Inc. 1 3,800 46,284
UnitedGlobalCom Inc.
Class A 1 5,046 26,088
Value Line Inc. 1,146 56,280
Washington Post
Company (The)
Class B 519 380,375
Westwood One Inc. 1 7,233 245,416
Wiley (John) & Sons
Inc. Class A 3,234 84,731
XM Satellite Radio
Holdings Inc.
Class A 1 6,675 73,759
Young Broadcasting
Inc. Class A 1 1,662 35,118
Youthstream Media
Networks Inc. 1 2,318 216
------------
6,888,963
------------
Metal Fabricate/Hardware--0.18%
Amcast Industrial
Corp. 1 1,839 1,600
Penn Engineering &
Manufacturing Corp. 1,834 25,034
Precision Castparts
Corp. 2,929 91,092
Shaw Group Inc.
(The) 1 2,670 32,174
Timken Co. (The) 4,180 73,192
TransTechnology
Corp. 1 2,532 13,774
Valmont Industries
Inc. 2,324 45,225
------------
282,091
------------
Metals--Diversified--0.26%
Ameron International
Corp. 1,000 34,770
AptarGroup Inc. 2,543 91,548
Atchison Casting
Corp. 1 457 105
Commercial Metals
Co. 3,540 62,977
Matthews
International Corp.
Class A 1,974 48,876
Maverick Tube Corp. 1 2,142 41,019
Mueller Industries Inc. 1 2,301 62,380
Niagara Corp. 1 600 1,735
NS Group Inc. 1 1,534 14,957
Quanex Corp. 1,052 31,265
TransPro Inc. 1 3,911 17,521
------------
407,153
------------
Mining--0.38%
Arch Coal Inc. 3,365 77,328
Brush Engineered
Materials Inc. 1 1,404 11,723
Century Aluminum
Co. 1,637 11,508
Charles & Colvard
Ltd. 1 2,811 11,244
Glamis Gold Ltd. 1 8,367 95,969
Golden Cycle Gold
Corp. 1 1,800 27,000
Liquidmetal
Technologies 1 672 3,447
MAXXAM Inc. 1 1,713 24,839
Meridian Gold Inc. 1 8,994 103,341
Peabody Energy Corp. 4,162 139,802
Royal Gold Inc. 1,530 32,880
Stillwater Mining Co. 1 2,620 13,467
Titanium Metals Corp. 1 613 19,677
USEC Inc. 5,274 37,023
------------
609,248
------------
Office/Business
Equipment--0.26%
General Binding Corp. 1 3,195 38,340
Global Imaging
Systems Inc. 1 686 15,888
Herman Miller Inc. 4,846 97,938
HON Industries Inc. 4,562 139,141
Imagistics
International Inc. 1 1,925 49,665
Insight Enterprises
Inc. 1 2,872 28,892
Steelcase Inc. Class A 2,407 28,306
Virco Manufacturing
Corp. 1,598 10,163
------------
408,333
------------
Oil & Gas Producers--3.48%
Adams Resources &
Energy Inc. 1,600 14,368
Apco Argentina Inc. 971 21,585
157
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Atmos Energy Corp. 3,304 $ 81,939
ATP Oil & Gas Corp. 1 1,370 8,631
Atwood Oceanics Inc. 1 1,402 38,064
Berry Petroleum Co.
Class A 2,178 39,095
Blue Dolphin Energy
Co. 1 7,300 5,840
BP Prudhoe Bay
Royalty Trust 1,489 28,127
Cabot Oil & Gas Corp. 2,315 63,917
CAL Dive International
Inc. 1 2,727 59,449
Callon Petroleum Co. 1 1,559 11,100
Cascade Natural Gas
Corp. 1,007 19,234
Chesapeake Energy
Corp. 12,386 125,099
Cimarex Energy Co. 1 3,034 72,058
Clayton Williams
Energy Inc. 1 1,100 20,306
Dawson Geophysical
Co. 1 2,400 19,442
Denbury Resources
Inc. 1 4,397 59,052
Diamond Offshore
Drilling Inc. 8,790 184,502
Encore Acquisition
Co. 1 1,937 37,094
Energen Corp. 2,199 73,227
Energy Partners Ltd. 1 2,000 23,100
ENSCO International
Inc. 9,215 247,884
Equitable Resources
Inc. 4,022 163,856
Evergreen Resources
Inc. 1 1,793 97,378
Exploration Company
of Delaware (The) 1 12,933 54,965
Forest Oil Corp. 1 3,002 75,410
Giant Industries Inc. 1 2,584 15,401
Grey Wolf Inc. 1 9,565 38,643
Hanover Compressor
Co. 1 4,052 45,788
Helmerich & Payne
Inc. 3,200 93,440
Houston Exploration
Co. 1 1,984 68,845
Key Energy Services
Inc. 1 5,818 62,369
Magnum Hunter
Resources Inc. 1 2,900 23,171
MarkWest
Hydrocarbon Inc. 1 1,779 13,538
McMoRan Exploration
Co. 2,119 23,606
Meridian Resource
Corp. (The) 1 5,900 27,907
Mission Resources
Corp. 1 1,833 3,208
Murphy Oil Corp. 5,820 306,132
National-Oilwell Inc. 1 5,282 116,204
New Jersey
Resources Corp. 2,242 79,591
Newfield Exploration
Co. 1 3,912 146,896
Noble Energy Inc. 3,685 139,293
Northwest Natural
Gas Co. 1,066 29,049
Nuevo Energy Co. 1 1,327 23,156
Parker Drilling Co. 1 6,495 18,900
Patina Oil & Gas
Corp. 2,413 77,578
Penn Virginia Corp. 1,500 64,500
Petroleum
Development Corp. 1 2,500 22,975
Piedmont Natural Gas
Co. 2,538 98,500
Pioneer Natural
Resources Co. 1 8,251 215,351
Plains Exploration &
Production Co. 1 4,745 51,293
Plains Resource Inc. 1 3,300 46,695
Pogo Producing Co. 4,272 182,628
Premcor Inc. 1 4,747 102,298
Pride International Inc. 1 8,295 156,112
Prima Energy Corp. 1 1,030 21,506
Quicksilver Resources
Inc. 1 1,500 35,925
Remington Oil & Gas
Corp. 1 2,200 40,436
SEACOR SMIT Inc. 1 1,347 49,152
SEMCO Energy Inc. 1,700 9,894
Southern Union Co. 1 4,417 74,824
Southwest Gas Corp. 1,974 41,809
Spinnaker Exploration
Co. 1 2,700 70,740
St. Mary Land &
Exploration Co. 1,993 54,409
Stone Energy Corp. 1 2,417 101,321
Superior Energy
Services Inc. 1 5,800 54,984
Swift Energy Co. 1 1,917 21,087
Tesoro Petroleum
Corp. 1 3,192 21,961
Tom Brown Inc. 1 2,647 73,560
Ultra Petroleum Corp. 1 4,186 54,041
Unit Corp. 1 2,349 49,118
Valero Energy Corp. 7,267 264,010
Vintage Petroleum
Inc. 3,458 39,006
WD-40 Co. 1,899 54,216
Western Gas
Resources Inc. 2,585 102,366
Westport Resources
Corp. 1 4,576 104,104
W-H Energy Services
Inc. 1 1,400 27,272
XTO Energy Inc. 11,154 224,307
------------
5,527,837
------------
Oil & Gas Services--1.37%
CARBO Ceramics Inc. 983 36,617
Cooper Cameron
Corp. 1 3,502 176,431
Dril-Quip Inc. 1 1,536 27,955
FMC Technologies Inc. 1 3,426 72,117
Global Industries Ltd. 1 5,078 24,476
GlobalSantaFe Corp. 17,701 413,141
Grant Prideco Inc. 1 7,960 93,530
Hydril Co. 1 2,000 54,500
Input/Output Inc. 1 4,854 26,115
Lone Star
Technologies Inc. 1 1,884 39,903
Mitcham Industries
Inc. 1 2,200 3,366
158
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------
Extended Index
Master Portfolio
- ----------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------
Newpark Resources
Inc. 1 6,968 $ 38,185
Oceaneering
International Inc. 1 2,232 57,028
Oil States
International Inc. 1 2,906 35,163
Patterson-UTI Energy
Inc. 1 4,975 161,190
Smith International
Inc. 1 6,376 234,254
Tidewater Inc. 3,838 112,722
Universal
Compression
Holdings Inc. 1 2,500 52,150
Varco International
Inc. 1 5,849 114,640
Veritas DGC Inc. 1 1,922 22,103
Weatherford
International Ltd. 1 9,248 387,491
------------
2,183,077
------------
Packaging & Containers--0.50%
AEP Industries Inc. 1 745 5,386
Crown Holdings Inc. 1 8,239 58,826
Greif Inc. Class A 1,870 43,010
Longview Fibre Co. 3,612 29,618
Owens-Illinois Inc. 1 9,028 124,316
Packaging
Corporation of
America 1 6,850 126,246
Silgan Holdings Inc. 1 2,054 64,249
Smurfit-Stone
Container Corp. 1 15,116 196,961
Sonoco Products Co. 6,346 152,431
------------
801,043
------------
Pharmaceuticals--4.33%
aaiPharma Inc. 1 2,598 51,648
Abgenix Inc. 1 5,032 52,786
Able Laboratories Inc. 1 1,640 32,308
Adolor Corp. 1 1,700 20,859
Advanced Medical
Optics Inc. 1 1,085 18,499
AdvancePCS 1 6,000 229,380
Align Technology Inc. 1 2,948 36,997
Alkermes Inc. 1 3,692 39,689
Allou Health Care Inc. 1 2 2,961 3,168
Allscripts Healthcare
Solutions Inc. 1 4,600 16,882
Alpharma Inc. Class A 3,095 66,852
Amylin
Pharmaceuticals Inc. 1 5,691 124,576
Andrx Group 1 4,822 95,958
Antigenics Inc. 1 2,844 32,763
Aphton Corp. 1 2,832 23,336
ArQule Inc. 1 1,444 6,065
AtheroGenics Inc. 1 2,602 38,848
AVANIR
Pharmaceuticals
Class A 1 4,000 7,000
AVI BioPharma Inc. 1 4,800 29,424
Barr Laboratories Inc. 1 4,454 291,737
Biopure Corp. 1 2,300 14,053
Bone Care
International Inc. 1 1,973 27,425
Boston Life Sciences
Inc. 1 7,244 13,401
Celgene Corp. 1 5,126 155,830
Cell Genesys Inc. 1 2,359 20,382
Cell Therapeutics Inc. 1 2,590 25,201
CIMA Labs Inc. 1 1,000 26,890
CollaGenex
Pharmaceuticals Inc. 1 3,116 41,848
Connetics Corp. 1 3,237 48,458
Corixa Corp. 1 3,112 24,056
Corvas International
Inc. 1 2,500 6,750
Cubist
Pharmaceuticals Inc. 1 2,144 22,855
CV Therapeutics Inc. 1 2,848 84,472
D&K Healthcare
Resources Inc. 2,276 36,735
DENTSPLY
International Inc. 4,672 191,085
Digene Corp. 1 1,428 38,884
Discovery
Laboratories Inc. 1 6,132 39,367
Durect Corp. 1 3,800 9,158
Emisphere
Technologies Inc. 1 1,405 5,058
Endo Pharmaceuticals
Holdings Inc. 1 7,853 132,873
Eon Labs Inc. 1 2,784 97,858
Epix Medical Inc. 1 1,921 27,182
First Horizon
Pharmaceutical
Corp. 1 1,800 7,110
Genta Inc. 1 4,000 53,280
Geron Corp. 1 2,194 16,148
Gilead Sciences Inc. 1 12,794 711,091
Guilford
Pharmaceuticals Inc. 1 1,220 5,539
Hemispherx
Biopharma Inc. 1 1,841 3,461
Henry Schein Inc. 1 2,720 142,365
Hi-Tech Pharmacal Co. 1 2,647 107,653
ICN Pharmaceuticals
Inc. 6,623 111,001
ILEX Oncology Inc. 1 3,766 73,098
ImClone Systems Inc. 1 4,865 153,831
Immune Response
Corp. (The) 1 7,307 23,163
Immunogen Inc. 1 2,500 10,675
Impax Laboratories
Inc. 1 4,000 47,960
InKine Pharmaceutical
Co. Inc. 1 7,610 25,646
Inspire
Pharmaceuticals Inc. 1 1,660 17,928
InterMune Inc. 1 3,000 48,330
Intuitive Surgical Inc. 1 2,200 16,676
Isis Pharmaceuticals
Inc. 1 3,408 18,062
IVAX Corp. 1 13,480 240,618
Kos Pharmaceuticals
Inc. 1 1,853 43,490
KV Pharmaceuticals
Co. 1 2,449 68,082
Ligand
Pharmaceuticals Inc.
Class B 1 3,959 53,803
Martek Biosciences
Corp. 1 1,748 75,059
Medarex Inc. 1 4,728 31,158
Medicines Co. (The) 1 3,828 75,373
159
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Medicis
Pharmaceutical
Corp. Class A 1,843 $ 104,498
MGI Pharma Inc. 1 1,326 33,985
MIM Corp. 1 386 2,521
Miravant Medical
Technologies 1 1,991 2,230
Mylan Laboratories
Inc. 11,869 412,685
Nabi
Biopharmaceuticals 1 3,300 22,638
NaPro
BioTherapeutics Inc. 1 10,443 15,769
Nastech
Pharmaceutical Co.
Inc. 1 3,000 30,000
Natrol Inc. 1 2,290 5,313
NBTY Inc. 1 3,730 78,554
Neose Technologies
Inc. 1 953 9,540
Neurocrine
Biosciences Inc. 1 2,371 118,408
Noven
Pharmaceuticals Inc. 1 2,700 27,648
NPS Pharmaceuticals
Inc. 1 2,546 61,970
Nu Skin Enterprises
Inc. Class A 3,109 32,489
Nuvelo Inc. 1 6,903 13,737
Omnicare Inc. 6,250 211,188
OSI Pharmaceuticals
Inc. 1 2,498 80,461
Patterson Dental Co. 1 4,195 190,369
Perrigo Co. 5,276 82,517
Pharmaceutical
Resources Inc. 1 2,400 116,784
Pharmacyclics Inc. 1 1,356 6,427
Praecis
Pharmaceuticals Inc. 1 3,000 14,700
Priority Healthcare
Corp. Class B 1 3,376 62,625
SangStat Medical
Corp. 1 1,921 25,146
SciClone
Pharmaceuticals Inc. 1 3,400 29,104
Sepracor Inc. 1 5,946 107,206
Serologicals Corp. 1 2,187 29,809
SICOR Inc. 1 7,663 155,865
SuperGen Inc. 1 2,151 11,615
Sybron Dental
Specialties Inc. 1 2,287 53,973
Tanox Inc. 1 2,500 40,125
Titan Pharmaceuticals
Inc. 1 1,487 3,509
Tularik Inc. 1 3,410 33,895
Twinlab Corp. 1 2,806 645
United Surgical
Partners
International Inc. 1 1,661 37,522
United Therapeutics
Inc. 1 1,400 30,492
VaxGen Inc. 1 1,500 7,770
Vicuron
Pharmaceuticals Inc. 1 3,600 51,048
Vion Pharmaceuticals
Inc. 1 8,717 14,383
ViroPharma Inc. 1 1,323 3,440
VIVUS Inc. 1 2,800 14,392
Zonagen Inc. 1 1,801 2,954
------------
6,879,145
------------
Pipelines--0.23%
Aquila Inc. 11,616 29,969
National Fuel Gas Co. 5,684 148,068
Questar Corp. 5,390 180,403
------------
358,440
------------
Real Estate--2.32%
American Residential
Investment Trust
Inc. 1 560 5,130
AMLI Residential
Properties Trust 1,844 43,426
Anthracite Capital Inc. 2,200 26,532
Arizona Land Income
Corp. Class A 2,100 9,870
Bedford Property
Investors Inc. 3,013 85,569
Brandywine Realty
Trust 2,800 68,936
BRE Properties Inc.
Class A 2,363 78,452
California Coastal
Communities Inc. 1 535 3,531
Catellus Development
Corp. 1 6,076 133,672
CenterPoint Properties
Corp. 1,420 86,975
Chateau Communities
Inc. 1,926 56,990
Colonial Properties
Trust 1,165 40,996
Commercial Net
Lease Realty Inc. 4,713 81,252
Cornerstone Realty
Income Trust Inc. 4,949 36,177
Corrections Corp. of
America 1 3,800 96,254
Cousins Properties
Inc. 2,927 81,663
Developers Diversified
Realty Corp. 5,393 153,377
EastGroup Properties
Inc. 1,814 48,978
Equity Inns Inc. 6,529 45,050
First Industrial Realty
Trust Inc. 2,697 85,225
Forest City
Enterprises Inc.
Class A 3,211 133,096
Gables Residential
Trust 2,606 78,779
Glenborough Realty
Trust Inc. 2,040 39,066
Glimcher Realty Trust 2,660 59,584
Grubb & Ellis
Company 1 1,305 1,533
Healthcare Realty
Trust Inc. 2,155 62,818
HMG/Courtland
Properties Inc. 2,900 26,100
Home Properties of
New York Inc. 1,754 61,811
Innkeepers USA Trust 4,029 27,397
Insignia Financial
Group Inc. 1 3,857 42,851
160
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Jones Lang LaSalle
Inc. 1 3,226 $ 50,971
Kilroy Realty Corp. 1,936 53,240
LNR Property Corp. 1,720 64,328
Macerich Co. (The) 2,894 101,666
Manufactured Home
Communities Inc. 1,868 65,585
Meristar Hospitality
Corp. 2,369 12,177
Mills Corp. 3,650 122,458
Monmouth Capital
Corp. 2,949 14,211
Monmouth Real
Estate Investment
Corp. Class A 2,500 17,550
National Health
Investors Inc. 4,195 77,356
Nationwide Health
Properties Inc. 2,267 36,113
Novastar Financial
Inc. 648 38,718
Pan Pacific Retail
Properties Inc. 2,689 105,812
Prentiss Properties
Trust 1,341 40,217
Prime Group Realty
Trust 1 4,457 25,851
PS Business Parks Inc. 2,646 93,404
Realty Income Corp. 2,099 79,930
Reckson Associates
Realty Corp. 2,791 58,220
Redwood Trust Inc. 2,017 80,498
RFS Hotel Investors
Inc. 4,113 50,672
Shurgard Storage
Centers Inc. Class A 2,965 98,082
Sovran Self Storage
Inc. 1,808 56,952
St. Joe Company
(The) 5,824 181,709
Summit Properties
Inc. 1,437 29,674
Sun Communities Inc. 1,563 61,426
Taubman Centers Inc. 4,167 79,840
Town & Country Trust
(The) 2,581 60,008
Trammell Crow Co. 1 4,232 44,902
United Capital Corp. 690 24,012
W.P. Carey & Co. LLC 2,232 66,826
------------
3,693,498
------------
Real Estate Investment Trusts--4.51%
Acadia Realty Trust 2,637 24,129
Alexander's Inc. 1 723 60,363
Alexandria Real Estate
Equities Inc. 2,805 126,225
AMB Property Corp. 5,742 161,752
American Financial
Realty Trust 1 1,972 29,403
American Land Lease
Inc. 2,916 48,989
American Mortgage
Acceptance Corp. 3,300 57,288
Annaly Mortgage
Management Inc. 4,400 87,604
Archstone-Smith Trust 10,647 255,528
Arden Realty Inc. 4,368 113,350
AvalonBay
Communities Inc. 6,232 265,732
Boston Properties Inc. 6,081 266,348
Camden Property
Trust 3,234 113,028
Capital Alliance
Income Trust Ltd. 1,300 24,960
Capital Automotive 1,653 46,267
Capstead Mortgage
Corp. 4,800 54,096
CarrAmerica Realty
Corp. 6,510 181,043
CBL & Associates
Properties Inc. 2,548 109,564
Cedar Income Fund
Ltd. 1 3,500 18,354
Chelsea Property
Group Inc. 3,156 127,218
Crescent Real Estate
Equities Co. 6,613 109,842
Crown American
Realty Trust 2,566 27,559
Duke Realty Corp. 8,408 231,640
Essex Property Trust
Inc. 1,249 71,505
Federal Realty
Investment Trust 3,557 113,824
FelCor Lodging Trust
Inc. 3,037 23,840
Friedman, Billings,
Ramsey Group, Inc.
Class A 6,429 86,149
General Growth
Properties Inc. 3,914 244,390
Getty Realty Corp. 2,600 58,032
Great Lakes REIT Inc. 3,419 54,704
Health Care Property
Investors Inc. 4,057 171,814
Health Care REIT Inc. 2,118 64,599
Heritage Property
Investment Trust
Inc. 2,741 74,226
Highwoods Properties
Inc. 2,659 59,296
Hospitality Properties
Trust 4,735 147,969
Host Marriott Corp. 1 14,160 129,564
HRPT Properties Trust 8,685 79,902
iStar Financial Inc. 7,616 277,984
Kimco Realty Corp. 6,283 238,126
Koger Equity Inc. 2,791 48,089
Kramont Realty Trust 1,700 28,050
Liberty Property Trust 4,578 158,399
Mack-Cali Realty
Corp. 4,569 166,220
Maguire Properties
Inc. 1 1,432 27,566
Mid-America
Apartment
Communities Inc. 1,642 44,350
Mission West
Properties Inc. 2,400 27,288
New Plan Excel Realty
Trust 6,847 146,183
Parkway Properties
Inc. 1,950 81,998
Post Properties Inc. 1,583 41,950
ProLogis 11,256 307,289
Public Storage Inc. 7,838 265,473
161
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Regency Centers
Corp. 4,395 $ 153,737
Rouse Co. (The) 5,899 224,752
Senior Housing
Properties Trust 4,318 58,552
SL Green Realty Corp. 3,471 121,103
Thornburg Mortgage
Inc. 2,392 59,082
Trizec Properties Inc. 9,820 111,653
United Dominion
Realty Trust Inc. 7,634 131,457
Vornado Realty Trust 7,445 324,602
Washington Real
Estate Investment
Trust 2,578 70,122
Weingarten Realty
Investors 3,300 138,270
------------
7,172,391
------------
Retail--5.53%
Abercrombie & Fitch
Co. Class A 1 6,320 179,551
AC Moore Arts &
Crafts Inc. 1 895 17,927
Advance Auto Parts
Inc. 1 2,752 167,597
Aeropostale Inc. 1 2,630 56,492
AFC Enterprises Inc. 1 1,869 30,353
AG Services of
America Inc. 1 4,120 24,473
Amazon.com Inc. 1 25,390 926,481
American Eagle
Outfitters Inc. 1 4,555 83,539
Angelo and Maxie's
Inc. 1 5,088 15,010
AnnTaylor Stores Corp. 1 2,620 75,849
Barnes & Noble Inc. 1 4,268 98,377
Bebe Stores Inc. 1 2,424 46,371
Big 5 Sporting Goods
Corp. 1 700 8,771
Big Dog Holdings Inc. 1 3,241 10,047
BJ's Wholesale Club
Inc. 1 4,572 68,854
Blockbuster Inc. 2,500 42,125
Bob Evans Farms Inc. 2,133 58,935
Borders Group Inc. 1 5,035 88,666
Brinker International
Inc. 1 6,199 223,288
Brown Shoe Co. Inc. 1,408 41,958
Buckle Inc. (The) 1 1,782 34,268
Burlington Coat
Factory Warehouse
Corp. 3,019 54,040
CarMax Inc. 1 6,777 204,327
Casey's General Store
Inc. 2,654 37,528
Cash America
International Inc. 4,822 63,747
Cato Corp. Class A 2,013 42,434
CBRL Group Inc. 3,436 133,523
Charlotte Russe
Holding Inc. 1 2,200 22,704
Charming Shoppes
Inc. 1 6,277 31,197
Chico's FAS Inc. 1 5,022 105,713
Children's Place Retail
Stores Inc. (The) 1 1,911 37,952
Christopher & Banks
Corp. 1 1,968 72,796
Claire's Stores Inc. 3,172 80,442
Coach Inc. 1 6,204 308,587
Coldwater Creek Inc. 1 1,612 19,876
Cole National Corp. 1 2,758 34,530
Copart Inc. 1 4,773 45,105
Cost Plus Inc. 1 1,283 45,752
CSK Auto Corp. 1 2,765 39,954
Dollar Tree Stores Inc. 1 7,364 233,660
Dress Barn Inc. 1 1,901 24,086
Drugstore.com Inc. 1 7,600 44,384
Duane Reade Inc. 1 2,400 35,400
Elder-Beerman Stores
Corp. 1 6,193 36,229
Electronics Boutique
Holdings Corp. 1 1,597 36,907
Factory 2-U Stores
Inc. 1 1,223 6,091
FAO Inc. 1 9,531 22,207
Foot Locker Inc. 7,763 102,860
Footstar Inc. 1 2,797 36,361
Fred's Inc. 2,375 88,303
FreeMarkets Inc. 1 3,271 22,766
Galyan's Trading Co. 1 1,026 14,713
GameStop Corp. 1 2,221 28,695
Genesco Inc. 1 1,499 26,532
Goody's Family
Clothing Inc. 1 3,491 30,197
Group 1 Automotive
Inc. 1 1,347 43,656
Guitar Center Inc. 1 1,598 46,342
Haverty Furniture
Companies Inc. 2,222 38,885
Hot Topic Inc. 1 2,046 55,058
IKON Office Solutions
Inc. 6,505 57,895
Jewett-Cameron
Trading Co. Ltd. 1 2,100 11,130
Jill (J.) Group Inc.
(The) 1 2,031 34,202
Jo-Ann Stores Inc. 1 2,202 55,711
Kenneth Cole
Productions Class A 1 1,374 26,779
Kirkland's Inc. 1 520 8,398
Kmart Holding Corp. 1 1,293 34,976
Krispy Kreme
Doughnuts Inc. 1 4,710 193,958
Linens 'N Things Inc. 1 2,442 57,656
Lithia Motors Inc.
Class A 1 1,725 27,893
Lone Star Steakhouse
& Saloon Inc. 2,249 48,961
Longs Drug Stores
Corp. 3,000 49,800
MarineMax Inc. 1 919 12,866
Men's Wearhouse Inc.
(The) 1 2,896 63,278
Michaels Stores Inc. 1 4,300 163,658
Mothers Work Inc. 1 1,200 32,124
Movie Gallery Inc. 1 1,631 30,092
MSC Industrial Direct
Co. Inc. Class A 1 2,211 39,577
Neiman-Marcus
Group Inc. Class A 1 2,992 109,507
99 Cents Only Stores 1 5,017 172,183
Nyer Medical Group
Inc. 1 1,220 1,513
O'Charley's Inc. 1 1,668 35,912
162
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Odd Job Stores Inc. 1 1,887 $ 5,397
OfficeMax Inc. 1 7,191 47,101
1-800 CONTACTS INC. 1 774 18,945
O'Reilly Automotive
Inc. 1 3,404 113,660
Outback Steakhouse
Inc. 4,694 183,066
Overstock.com Inc. 1 700 10,157
Pacific Sunwear of
California Inc. 1 3,616 87,109
Pantry Inc. (The) 1 2,400 18,936
Payless ShoeSource
Inc. 1 4,212 52,650
PC Connection Inc. 1 1,709 11,621
Pep Boys-Manny, Moe
& Jack Inc. 2,486 33,586
PETCO Animal
Supplies Inc. 1 737 16,022
PETsMART Inc. 1 8,771 146,213
Pier 1 Imports Inc. 6,351 129,560
Priceline.com Inc. 1 1,954 43,743
Regis Corp. 3,308 96,097
Rite Aid Corp. 1 27,018 120,230
Ross Stores Inc. 4,900 209,426
Ruby Tuesday Inc. 3,710 91,748
Ryan's Family Steak
Houses Inc. 1 5,636 78,904
Saks Inc. 1 9,662 93,721
School Specialty Inc. 1 1,452 41,324
7-Eleven Inc. 1 5,909 62,340
Sharper Image Corp. 1 671 18,298
ShopKo Stores Inc. 1 3,700 48,100
Smart & Final Inc. 1 3,830 17,733
Sonic Automotive Inc. 1 3,298 72,259
Sports Resorts
International Inc. 1 7,773 37,777
Stage Stores Inc. 1 1,988 46,718
Stamps.com Inc. 1 4,200 20,160
Steak n Shake
Company (The) 1 2,389 36,432
Stein Mart Inc. 1 2,429 14,550
Systemax Inc. 1 2,716 9,234
Talbots Inc. (The) 3,808 112,146
Too Inc. 1 2,200 44,550
Tractor Supply Co. 1 1,500 71,625
Trans World
Entertainment Corp. 1 3,864 19,784
Tuesday Morning
Corp. 1 3,000 78,900
Tweeter Home
Entertainment
Group Inc. 1 1,364 11,840
Ultimate Electronics
Inc. 1 661 8,474
United Auto Group Inc. 1 2,700 58,806
Urban Outfitters Inc. 1 1,853 66,523
Value City Department
Stores Inc. 1 2,744 6,064
Wet Seal Inc. Class A 1 2,493 26,625
Whitehall Jewellers
Inc. 1 1,337 12,127
Williams-Sonoma Inc. 1 7,376 215,379
Wilsons The Leather
Experts Inc. 1 1,298 9,359
Zale Corp. 1 2,383 95,320
------------
8,790,879
------------
Semiconductors--1.90%
Aetrium Inc. 1 1,228 1,805
Agere Systems Inc.
Class A 1 36,200 84,346
Agere Systems Inc.
Class B 1 65,300 150,190
Alliance
Semiconductor
Corp. 1 2,230 10,793
Amkor Technology
Inc. 1 11,173 146,813
ANADIGICS Inc. 1 1,914 6,297
Atmel Corp. 1 28,920 73,168
Axcelis Technologies
Inc. 1 5,870 35,924
AXT Inc. 1 1,892 2,214
Brooks Automation
Inc. 1 3,274 37,127
ChipPAC Inc. Class A 1 4,400 33,748
Cirrus Logic Inc. 1 5,157 20,731
Cohu Inc. 1,718 26,801
Conexant Systems
Inc. 1 15,721 64,456
Credence Systems
Corp. 1 4,230 35,828
Cree Inc. 1 4,772 77,688
Cypress
Semiconductor
Corp. 1 7,447 89,364
EMCORE Corp. 1 2,438 7,997
Entegris Inc. 1 6,390 85,882
GlobeSpanVirata Inc. 1 8,988 74,151
Integrated Circuit
Systems Inc. 1 4,400 138,292
Integrated Device
Technology Inc. 1 6,781 74,930
Integrated Silicon
Solution Inc. 1 1,368 9,494
International Rectifier
Corp. 1 4,266 114,414
Intersil Corp. Class A 1 8,953 238,239
IXYS Corp. 1 1,720 13,708
Kopin Corp. 1 4,600 28,152
Lam Research Corp. 1 8,399 152,946
Lattice Semiconductor
Corp. 1 6,092 50,137
LTX Corp. 1 3,108 26,791
MEMC Electronics
Materials Inc. 1 13,186 129,223
Microchip Technology
Inc. 12,387 305,092
Microtune Inc. 1 3,186 10,195
Monolithic System
Technology Inc. 1 1,875 16,988
Multilink Technology
Corp. 1 4,087 10,994
OmniVision
Technologies Inc. 1 3,101 96,751
ON Semiconductor
Corp. 1 16,574 44,750
ParthusCeva Inc. 1 597 4,866
Pericom
Semiconductor
Corp. 1 1,688 15,698
Pixelworks Inc. 1 2,494 14,814
Rambus Inc. 1 6,907 114,449
Silicon Laboratories
Inc. 1 3,300 87,912
Skyworks Solutions
Inc. 1 8,232 55,731
163
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Transmeta Corp. 1 7,945 $ 12,712
TranSwitch Corp. 1 4,966 6,754
Tripath Technology Inc. 1 347 267
TriQuint
Semiconductor Inc. 1 7,729 32,153
Varian Semiconductor
Equipment
Associates Inc. 1 2,130 63,389
Veeco Instruments
Inc. 1 1,811 30,841
Virage Logic Corp. 1 1,566 11,338
Vitesse
Semiconductor
Corp. 1 9,921 48,811
------------
3,026,154
------------
Software--3.26%
Actuate Corp. 1 3,664 10,149
Acxiom Corp. 1 5,172 78,045
Akamai Technologies
Inc. 1 22,869 109,314
Alloy Inc. 1 3,700 23,865
American
Management
Systems Inc. 1 2,578 36,814
Applied Graphics
Technologies Inc. 1 1,090 894
Apropos Technology
Inc. 1 1,800 4,610
Ariba Inc. 1 15,700 46,629
Artemis International
Solutions Corp. 1 1,111 2,222
Ascential Software
Corp. 1 4,381 72,024
Avid Technology Inc. 1 2,096 73,507
Axeda Systems Inc. 1 2,600 3,692
BEA Systems Inc. 1 26,058 282,990
Blue Martini Software
Inc. 1 629 2,277
Borland Software
Corp. 1 5,168 50,491
Cadence Design
Systems Inc. 1 17,694 213,390
Captaris Inc. 1 1,718 5,876
CareCentric Inc. 1 56 38
Centillium
Communications
Inc. 1 1,976 19,582
Certegy Inc. 1 4,905 136,114
CheckFree Corp. 1 5,381 149,807
ChoicePoint Inc. 1 5,558 191,862
Chordiant Software
Inc. 1 9,297 17,292
CMGI Inc. 1 20,155 30,434
CNET Networks Inc. 1 7,635 47,566
Computer Horizons
Corp. 1 2,694 12,231
Concero Inc. 1 600 240
Concerto Software Inc. 1 1,762 16,193
Corillian Corp. 1 2,647 4,500
Corio Inc. 1 3,664 5,862
CSG Systems
International Inc. 1 3,298 46,601
DataTRAK
International Inc. 1 1,587 6,173
Datawatch Corp. 1 3,500 9,639
Digi International Inc. 1 3,953 22,730
Digital Impact Inc. 1 3,503 6,481
DigitalThink Inc. 1 2,890 9,104
Docent Inc. 1 866 2,944
Documentum Inc. 1 3,404 66,957
DoubleClick Inc. 1 8,778 81,197
DSL.net Inc. 1 3,700 1,924
EarthLink Inc. 1 8,398 66,260
EasyLink Services
Corp. Class A 1 466 326
ebix.com Inc. 1 1,591 10,803
eBT International Inc. 53 272
Edwards (J.D.) & Co. 1 7,363 105,512
eFunds Corp. 1 4,500 51,885
Elevon Inc. 1 1,028 1,316
Embarcadero
Technologies Inc. 1 2,200 15,400
eMerge Interactive
Inc. Class A 1 2,362 1,819
ePresence Inc. 1 2,346 5,701
eSpeed Inc. 1 1,530 30,233
EXE Technologies Inc. 1 614 3,088
F5 Networks Inc. 1 2,400 40,440
FileNET Corp. 1 2,364 42,647
FirePond Inc. 1 275 886
Geoworks Corp. 1 1,820 237
Global Payments Inc. 2,429 86,230
GraphOn Corp. 1 2,600 520
Identix Inc. 1 3,541 22,485
Informatica Corp. 1 4,600 31,786
Information Architects
Corp. 1 162 91
Information
Resources Inc. 1 6,741 26,627
InfoSpace Inc. 1 1,856 25,186
InteliData
Technologies Corp. 1 3,100 9,486
Interactive Intelligence
Inc. 1 1,900 7,163
Interland Inc. 1 8,267 8,102
Internet Capital Group
Inc. 1 1,984 952
Internet Pictures Corp. 1 4,691 19,937
Inter-Tel Inc. 2,668 56,615
iVillage Inc. 1 4,553 6,738
JDA Software Group
Inc. 1 2,263 25,323
Jupitermedia Corp. 1 2,900 11,600
Kana Software Inc. 1 1,753 5,312
Keane Inc. 1 4,547 61,976
Legato Systems Inc. 1 6,209 52,094
Lightspan Inc. 1 4,460 3,024
Liquid Audio Inc. 2,300 817
Loudeye Technologies
Inc. 1 3,412 2,730
Macromedia Inc. 1 4,209 88,557
Magma Design
Automation Inc. 1 2,341 40,148
Manugistics Group
Inc. 1 4,258 17,500
Mercator Software
Inc. 1 1,682 2,506
Micromuse Inc. 1 4,592 36,690
MicroStrategy Inc.
Class A 1 583 21,239
Navidec Inc. 1 239 693
NaviSite Inc. 1 1,932 5,313
NDCHealth Corp. 2,281 41,856
Neoforma Inc. 1 1,383 15,102
164
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Net2Phone Inc. 1 2,300 $ 9,959
Netegrity Inc. 1 2,180 12,731
netGuru Inc. 1 1,600 2,021
NetIQ Corp. 1 4,043 62,505
Network Associates
Inc. 1 9,888 125,380
Network Commerce
Inc. 1 446 3
NexPrise Inc. 1 1,572 4,952
NIC Inc. 1 4,900 14,308
Niku Corp. 1 7,527 34,248
Openwave Systems
Inc. 1 10,192 19,874
Opsware Inc. 1 4,347 17,475
Optika Inc. 1 2,200 3,300
Overture Services Inc. 1 3,700 67,081
Pegasystems Inc. 1 4,283 31,566
Per-Se Technologies
Inc. 1 1,301 14,610
Pinnacle Systems Inc. 1 3,968 42,458
Pinnacor Inc. 1 3,770 7,238
Pixar Inc. 1 3,575 217,503
PLATO Learning Inc. 1 2,666 15,330
Plumtree Software
Inc. 1 4,929 20,209
Portal Software Inc. 1 11,200 22,400
PracticeWorks Inc. 1 2,223 42,904
Printcafe Software
Inc. 1 1,900 4,902
ProQuest Co. 1 2,665 68,757
Pumatech Inc. 1 3,134 10,656
RealNetworks Inc. 1 11,688 79,245
Renaissance Learning
Inc. 1 2,612 57,203
Reynolds & Reynolds
Co. (The) Class A 4,827 137,859
Roxio Inc. 1 1,004 6,717
SAFLINK Corp. 1 5,282 33,488
SCO Group Inc. (The) 1 2,466 23,600
SeaChange
International Inc. 1 1,609 15,350
SeeBeyond
Technology Corp. 1 5,000 11,550
SERENA Software Inc. 1 3,000 62,640
SpeechWorks
International Inc. 1 2,100 9,870
SPSS Inc. 1 1,333 22,314
Stellent Inc. 1 1,622 8,759
SupportSoft Inc. 1 2,388 15,498
SVI Solutions Inc. 1 3,111 7,435
Sybase Inc. 1 6,604 91,862
Synplicity Inc. 1 2,100 10,983
Tarantella Inc. 1 6,762 14,200
TeleCommunication
Systems Inc. 1 2,400 4,968
3DO Co. (The) 1 457 165
TIBCO Software Inc. 1 12,741 64,852
Total System Services
Inc. 12,760 284,548
TradeStation Group
Inc. 1 1,894 19,432
Trident Microsystems
Inc. 1 3,746 34,089
TriZetto Group Inc.
(The) 1 3,100 18,724
Ulticom Inc. 1 2,644 25,118
United Leisure Corp. 1 1,400 280
VA Software Corp. 1 3,372 7,284
ValueClick Inc. 1 8,117 48,946
Verint Systems Inc. 1 1,522 38,674
Verticalnet Inc. 1 540 842
VIA NET.WORKS Inc. 1 5,295 5,189
Vie Financial Group
Inc. 1 3,000 210
Viewlocity Inc. 1 247 89
Viewpoint Corp. 1 2,281 2,578
Vignette Corp. 1 14,744 30,668
VitalStream Holdings
Inc. 1 2,000 500
VitalWorks Inc. 1 3,692 14,583
Vitria Technology Inc. 1 2,300 13,018
V-One Corp. 1 2,900 377
webMethods Inc. 1 3,956 32,162
Websense Inc. 1 1,849 28,955
Wind River Systems
Inc. 1 4,198 15,994
------------
5,186,671
------------
Telecommunication Equipment--0.61%
ADTRAN Inc. 1 2,418 124,019
Advanced Fibre
Communications
Inc. 1 5,508 89,615
AltiGen
Communications
Inc. 1 4,300 6,278
American Tower Corp.
Class A 1 11,822 104,625
Arris Group Inc. 1 2,793 13,853
Avanex Corp. 1 4,246 16,984
Carrier Access Corp. 1 2,356 5,136
CommScope Inc. 1 3,405 32,348
Copper Mountain
Networks Inc. 1 310 3,348
Corvis Corp. 1 22,585 32,748
CoSine
Communications
Inc. 1 689 4,188
Digital Lightwave Inc. 1 1,877 2,027
8X8 Inc. 1 2,583 1,292
Endwave Corp. 1 1,466 3,870
Glenayre
Technologies Inc. 1 4,286 5,872
Handspring Inc. 1 8,220 9,289
Harmonic Inc. 1 4,053 16,496
Harris Corp. 4,335 130,267
Integrated Telecom
Express Inc. 2 2,206 --
Ixia 1 2,956 19,007
Loral Space &
Communications
Ltd. 1 1,770 5,399
Network Engines Inc. 1 2,444 9,287
New Focus Inc. 1 4,270 15,970
NMS
Communications
Corp. 1 1,980 3,903
NumereX Corp.
Class A 1 3,600 10,224
Oplink
Communications
Inc. 1 10,617 19,854
Optical Cable Corp. 1 481 3,362
P-Com Inc. 1 821 78
Peco II Inc. 1 1,314 825
165
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Proxim Corp. Class A 1 4,338 $ 6,333
RF Micro Devices Inc. 1 10,452 62,921
SBA Communications
Corp. 1 2,700 8,208
Sonus Networks Inc. 1 13,009 65,435
Stratex Networks Inc. 1 5,360 17,152
Sycamore Networks
Inc. 1 17,300 66,259
Telaxis
Communications
Corp. 1 1,737 1,598
Terayon
Communication
Systems Inc. 1 5,168 14,109
Tollgrade
Communications
Inc. 1 928 17,307
Viasat Inc. 1 1,314 18,843
------------
968,329
------------
Telecommunications--3.53%
ACTV Inc. 1 3,667 3,594
Adaptec Inc. 1 6,100 47,458
Aether Systems Inc. 1 2,500 12,250
Airnet
Communications
Corp. 1 2,639 2,850
Alaska
Communications
Systems Group Inc. 1 5,700 20,064
Allen Telecom Inc. 1 2,811 46,438
American Access
Technologies Inc. 1 2,800 2,940
Anaren Inc. 1 1,506 14,111
Anixter International
Inc. 1 3,047 71,391
Applied Digital
Solutions Inc. 1 3,900 2,340
Applied Innovation
Inc. 1 1,000 3,460
Applied Signal
Technology Inc. 2,475 42,075
Aspect
Communications
Corp. 1 3,988 15,434
Audiovox Corp.
Class A 1 2,436 27,259
Avocent Corp. 1 3,047 91,197
Catapult
Communications
Corp. 1 1,500 15,930
C-COR.net Corp. 1 2,770 13,573
Celeritek Inc. 1 1,200 8,784
Cellular Technical
Services Co. Inc. 1 1,000 760
Centennial
Communications
Corp. 1 6,072 24,288
Charter
Communications
Inc. Class A 1 18,900 75,033
Choice One
Communications
Inc. 1 3,557 1,138
Com21 Inc. 1 5,130 693
Commonwealth
Telephone
Enterprises Inc. 1 1,623 71,363
Comtech
Telecommunications
Corp. 1 1,200 33,888
Cox Communications
Inc. Class A 1 38,128 1,216,283
Crown Castle
International Corp. 1 13,997 108,757
D&E Communications
Inc. 3,424 39,205
Deltathree Inc. 1 2,063 1,341
Ditech
Communications
Corp. 1 1,800 8,964
Dobson
Communications
Corp. Class A 1 5,771 30,413
EchoStar
Communications
Corp. 1 15,856 548,935
EMS Technologies
Inc. 1 1,920 25,478
Emulex Corp. 1 5,308 120,863
Finisar Corp. 1 11,000 17,050
General
Communication Inc.
Class A 1 5,033 43,586
General Motors Corp.
Class H 1 69,288 887,579
GoAmerica Inc. 1 3,846 1,346
Hickory Tech Corp. 1,303 14,594
High Speed Access
Corp. 8,400 1,260
Hungarian Telephone
and Cable Corp. 1 1,300 11,895
IDT Corp. 1 1,739 31,128
IDT Corp. Class B 1 2,339 41,166
I-Link Inc. 1 2,839 809
Inet Technologies Inc. 1 3,100 30,907
Infonet Services Corp.
Class B 1 19,395 30,838
InterDigital
Communications
Corp. 1 5,749 134,354
InterVoice-Brite Inc. 1 2,790 13,783
Intrado Inc. 1 3,100 48,949
Itron Inc. 1 1,079 23,263
LCC International Inc.
Class A 1 2,000 5,480
Leap Wireless
International Inc. 1 3,255 163
Level 3
Communications
Inc. 1 26,961 179,021
Lexent Inc. 1 2,535 3,549
Liberty Satellite &
Technology Inc.
Class A 1 2,060 5,356
Lightbridge Inc. 1 2,241 19,631
LightPath
Technologies Inc.
Class A 1 868 2,613
MarketWatch.com Inc. 1 2,525 21,109
MasTec Inc. 1 3,042 17,522
MCK Communications
Inc. 1 1,300 3,354
166
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------------
Extended Index
Master Portfolio
- ----------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------
Metro One
Telecommunications
Inc. 1 1,915 $ 9,881
MRV Communications
Inc. 1 9,135 18,361
Netro Corp. 1 3,300 9,504
Newport Corp. 1 2,305 34,114
Nextel Partners Inc.
Class A 1 11,000 80,300
Nucentrix Broadband
Networks Inc. 1 2,700 2,376
Pac-West Telecomm
Inc. 1 2,800 2,072
PanAmSat Corp. 1 9,654 177,923
Plantronics Inc. 1 2,620 56,775
Powerwave
Technologies Inc. 1 3,813 23,908
Price Communications
Corp. 1 3,564 46,011
Primus
Telecommunications
Group Inc. 1 2,354 12,100
PTEK Holdings Inc. 1 4,348 21,088
RCN Corp. 1 13,410 26,552
Rural Cellular Corp.
Class A 1 3,717 15,611
Savvis
Communications
Corp. 1 6,224 5,602
Sirius Satellite Radio
Inc. 1 58,859 99,472
Somera
Communications
Inc. 1 5,500 8,030
Sorrento Networks
Corp. 1 1,494 3,959
SpectraLink Corp. 1 2,266 22,388
Superior Telecom Inc. 1 4,027 161
Tekelec 1 3,821 43,177
Time Warner Telecom
Inc. Class A 1 2,500 15,925
Triton PCS Holdings
Inc. Class A 1 3,700 18,685
Tut Systems Inc. 1 2,700 10,638
United Online Inc. 1 2,800 70,952
United States Cellular
Corp. 1 5,909 150,384
UTStarcom Inc. 1 1,600 56,912
Vixel Corp. 1 11,584 74,138
WebEx Communications
Inc. 1 3,000 41,850
Westell Technologies
Inc. Class A 1 3,058 26,452
Western Wireless
Corp. Class A 1 4,526 52,185
WorldGate
Communications
Inc. 1 2,600 884
XETA Technologies
Inc. 1 3,893 14,871
Zoom Telephonics Inc. 1 2,200 2,332
Z-Tel Technologies Inc. 1 6,302 16,133
------------
5,610,561
------------
Telephone--0.28%
Cincinnati Bell Inc. 1 13,326 89,284
Covista
Communications
Inc. 1 1,984 6,210
Focal
Communications
Corp. 1 120 2
Focal
Communications
Corp. Warrants
(Expires 12/14/07) 1 2 661 --
NTL Inc. 1 2,145 73,187
TALK America
Holdings Inc. 1 2,796 30,504
Telephone & Data
Systems Inc. 5,036 250,289
------------
449,476
------------
Textiles--0.51%
Columbia Sportswear
Co. 1 2,723 139,989
Cone Mills Corp. 1 3,737 5,942
Culp Inc. 1 581 4,009
Dan River Inc. Class A 1 5,319 14,308
G&K Services Inc.
Class A 2,016 59,674
Guess ? Inc. 1 2,319 13,914
Hallwood Group Inc. 1 2,000 29,200
Kellwood Co. 2,341 74,046
Mohawk Industries
Inc. 1 4,607 255,827
Nautica Enterprises
Inc. 1 2,466 31,639
Polo Ralph Lauren
Corp. 2,662 68,653
Quaker Fabric Corp. 5,100 33,660
Sport-Haley Inc. 1 1,232 5,039
Tag-It Pacific Inc. 1 2,669 15,293
Tarrant Apparel Group 1 2,213 6,462
Wolverine World Wide
Inc. 3,059 58,916
------------
816,571
------------
Tobacco--0.06%
Universal Corp. 1,381 58,416
Vector Group Ltd. 2,530 44,275
------------
102,691
------------
Toys/Games/Hobbies--0.16%
Action Performance
Companies Inc. 1,445 27,455
Boyds Collection Ltd.
(The) 1 5,400 25,434
Fotoball USA Inc. 1 2,400 7,560
Jakks Pacific Inc. 1 1,528 20,307
LeapFrog Enterprises
Inc. 1 840 26,720
Marvel Enterprises
Inc. 1 3,936 75,178
Media Arts Group Inc. 1 2,281 5,862
Multimedia Games
Inc. 1 800 20,400
Topps Co. (The) 1 4,511 38,749
------------
247,665
------------
167
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- --------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Transportation--1.16%
Air T Inc. 1 1,000 $ 2,450
Airborne Inc. 2,660 55,594
Airnet Systems Inc. 1 5,219 21,137
Alexander & Baldwin
Inc. 1,900 50,407
Allied Holdings Inc. 1 490 1,622
Arkansas Best Corp. 1,023 24,337
Atlas Air Worldwide
Holdings Inc. 1 2,404 3,534
Boyd Brothers
Transportation Inc. 1 2,400 9,840
CH Robinson
Worldwide Inc. 5,686 202,194
CNF Inc. 3,138 79,642
Dollar Thrifty
Automotive Group
Inc. 1 1,879 34,855
EGL Inc. 1 3,073 46,710
Expeditors
International
Washington Inc. 6,808 235,829
Florida East Coast
Industries Inc. 3,095 79,077
Forward Air Corp. 1 1,393 35,340
General Maritime
Corp. 1 7,846 79,637
GulfMark Offshore Inc. 1 2,000 33,760
Heartland Express Inc. 1 4,221 93,917
Hunt (J.B.) Transport
Services Inc. 1 2,146 81,012
Kansas City Southern
Industries Inc. 1 2,519 30,304
Kirby Corp. 1 1,735 48,927
Landstar System Inc. 1 1,128 70,895
Offshore Logistics Inc. 1 1,491 32,429
OMI Corp. 1 4,903 30,202
Overseas Shipholding
Group Inc. 2,129 46,859
P.A.M. Transportation
Services Inc. 1 513 12,887
Pacer International Inc. 1 2,195 41,398
Petroleum Helicopters
NV 1 1,220 36,783
Roadway Corp. 1,765 50,355
SCS Transportation
Inc. 1 724 9,144
Swift Transportation
Co. Inc. 1 5,822 108,406
USF Corp. 1,375 37,084
Velocity Express Corp. 1 200 175
Werner Enterprises
Inc. 4,029 85,415
Yellow Corp. 1 1,448 33,521
------------
1,845,678
------------
Trucking & Leasing--0.05%
AMERCO 1 1,611 11,470
GATX Corp. 3,600 58,860
Willis Lease Finance
Corp. 1 2,468 11,501
------------
81,831
------------
Water--0.11%
California Water
Service Group 1,464 41,168
Connecticut Water
Service Inc. 1,000 25,550
Philadelphia
Suburban Corp. 4,339 105,785
------------
172,503
------------
TOTAL COMMON STOCKS
(Cost: $192,177,712) 156,911,226
------------
- ------------------------------------------------------------
Shares or
Security Principal Value
- ------------------------------------------------------------
SHORT TERM INSTRUMENTS--13.58%
- ------------------------------------------------------------
Barclays Global
Investors Funds
Institutional Money
Market Fund,
Institutional Shares 3 12,580,083 12,580,083
Barclays Global
Investors Funds
Prime Money
Market Fund,
Institutional Shares 3 3,368,610 3,368,610
BlackRock Temp Cash
Money Market Fund 3 169,876 169,876
Short Term Investment
Co.--Liquid Assets
Money Market
Portfolio 3 883,316 883,316
Short Term Investment
Co.--Prime Money
Market Portfolio,
Institutional Shares 3 374,290 374,290
Abbey National Treasury Services PLC, Time Deposit
1.38%, 07/01/03 3 $ 224,574 224,574
Beta Finance Inc., Floating Rate Note
1.06%, 05/20/04 3 187,117 187,117
1.17%, 08/15/03 3 280,733 280,733
Canadian Imperial Bank of Commerce, Floating Rate Note
1.07%, 10/30/03 3 149,716 149,716
CC USA Inc., Floating Rate Note
1.10%, 04/19/04 3 164,679 164,679
1.31%, 05/24/04 3 374,253 374,253
Dorada Finance Inc., Floating Rate Note
1.06%, 05/20/04 3 374,234 374,234
Five Finance Inc., Floating Rate Note
1.15%, 04/15/04 3 187,145 187,145
HBOS Treasury Services PLC, Floating Rate Note
1.27%, 06/24/04 3 374,290 374,290
Holmes Financing PLC, Floating Rate Bond
1.14%, 04/15/04 3 74,858 74,858
K2 USA LLC, Floating Rate Note
1.15%, 05/17/04 3 187,136 187,136
1.22%, 04/13/04 3 187,136 187,136
Links Finance LLC, Floating Rate Note
0.98%, 06/28/04 3 187,108 187,108
1.08%, 03/29/04 3 187,145 187,145
1.29%, 05/04/04 3 187,136 187,136
Sigma Finance Inc., Floating Rate Note
1.13%, 10/15/03 3 374,271 374,271
U.S. Treasury Bill
0.85%, 09/25/03 4 5 100,000 99,795
White Pine Finance LLC, Floating Rate Note
1.07%, 04/20/04 3 187,145 187,145
1.14%, 05/17/04 3 224,574 224,574
----------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $21,589,238) 21,589,220
----------
168
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------
Extended Index
Master Portfolio
- -----------------------------------------------------------
Security Principal Value
- -----------------------------------------------------------
REPURCHASE AGREEMENTS--0.16%
- -----------------------------------------------------------
Bank of America NA
Repurchase Agreement,
dated 06/30/03, due
07/01/03, with an
effective yield of
1.30%. 3 $187,145 $ 187,145
Merrill Lynch
Government
Securities Inc.
Repurchase Agreement,
dated 06/30/03, due
07/01/03, with an
effective yield of
1.38%. 3 74,858 74,858
------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $262,003) 262,003
------------
TOTAL INVESTMENTS
IN SECURITIES--112.43%
(Cost $214,028,953) 178,762,449
Other Assets, Less Liabilities--(12.43%) (19,762,849)
------------
NET ASSSETS--100.00% $158,999,600
============
Notes to the Schedule of Investments:
1 Non-income earning securities.
2 Security valued at fair value in accordance with procedures approved by the
Board of Trustees. See Note 1.
3 All or a portion of this security represents investments of securities
lending collateral.
4 Yield to Maturity.
5 This U.S. Treasury Bill is held in a segregated account in connection with
the Master Portfolio's holdings of index futures contracts. See Note 1.
The accompanying notes are an integral part of these financial statements. 169
Schedule of Investments
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------------
International Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--97.36%
- ---------------------------------------------------------------------------
Australia--4.83%
Alumina Ltd. 23,078 $ 62,992
Amcor Ltd. 16,544 90,093
AMP Ltd. 26,150 87,161
Australia and New
Zealand Banking
Group Ltd. 27,874 347,890
Australian Gas & Light
Co. Ltd. 8,818 64,756
BHP Steel 18,682 46,608
Boral Ltd. 14,687 49,840
Brambles Industries Ltd. 20,573 63,054
Broken Hill Proprietary
Co. Ltd. 70,330 407,521
Coca-Cola Amatil Ltd. 9,429 36,108
Cochlear Ltd. 1,365 29,569
Coles Myer Ltd. 22,151 103,989
Commonwealth Bank of
Australia 23,080 457,393
Commonwealth Property
Office Fund 76,841 61,840
CSL Ltd. 4,107 32,915
CSR Ltd. 28,582 37,187
Foster's Group Ltd. 40,049 113,076
Gandel Retail Trust 63,673 56,794
General Property Trust 39,894 78,124
Insurance Australia
Group Ltd. 34,206 77,997
James Hardie Industries
NV 9,568 45,174
John Fairfax Holdings
Ltd. 22,819 44,074
Lend Lease Corp. Ltd. 7,461 41,781
Macquarie Bank Ltd. 4,319 83,420
Macquarie Infrastructure
Group 35,504 85,481
Mayne Nickless Ltd. 17,615 32,369
Mirvac Group 22,744 67,725
National Australia Bank
Ltd. 28,172 632,934
Newcrest Mining Ltd. 7,097 36,411
News Corp. Ltd. 27,159 203,999
Orica Ltd. 6,721 48,816
Origin Energy Ltd. 16,929 45,981
Patrick Corp. Ltd. 4,614 38,834
QBE Insurance Group
Ltd. 11,480 71,755
Rinker Group Ltd. 19,958 70,137
Rio Tinto Ltd. 5,897 115,520
Santos Ltd. 16,612 65,731
Southcorp Ltd. 15,121 28,597
Stockland Trust Group 23,384 78,569
Suncorp-Metway Ltd. 10,142 78,900
TABCORP Holdings Ltd. 9,579 69,188
Telstra Corp. Ltd. 41,030 121,074
Transurban Group 10,502 33,596
Wesfarmers Ltd. 7,147 121,266
Westfield Holdings Ltd. 8,786 86,028
Westfield Trust 40,869 94,560
Westpac Banking Corp.
Ltd. 31,494 343,224
WMC Resources Ltd. 1 23,719 55,834
Woodside Petroleum Ltd. 10,323 85,708
Woolworths Ltd. 19,082 160,223
------------
5,391,816
------------
Austria--0.17%
Erste Bank der
Oesterreichischen
Sparkassen AG 627 55,405
Immofinanz Immobillien
Anlagen AG 1 5,100 36,721
OMV AG 406 48,777
Telekom Austria AG 1 4,492 50,965
------------
191,868
------------
Belgium--1.00%
AGFA Gevaert NV 2,333 49,537
Colruyt NV 536 37,054
Delhaize-Le Lion SA 1,824 55,507
Dexia Group 11,712 148,079
Electrabel SA 564 143,718
Fortis Group 19,367 336,270
Groupe Bruxelles
Lambert SA 1,413 63,931
Interbrew SA 3,070 68,217
KBC Bankverzekerings
Holding NV 1,801 70,711
Solvay SA 1,222 84,197
UCB SA 2,010 55,073
------------
1,112,294
------------
Denmark--0.73%
AP Moller--Maersk A/S 24 129,828
Danisco A/S 1,188 46,546
Danske Bank A/S 9,894 192,678
Group 4 Falck A/S 1,800 29,907
H. Lundbeck A/S 1,494 30,249
ISS A/S 1,038 37,059
Novo Nordisk A/S
Class B 4,895 171,360
Novozymes A/S Class B 1,723 47,934
TDC A/S 2,439 72,943
Topdanmark A/S 1 765 27,963
Vestas Wind Systems
A/S 2,382 27,244
------------
813,711
------------
Finland--1.85%
Fortum OYJ 8,554 68,564
Instrumentarium Corp. 1,071 40,709
Kone Corp. Class B 1,058 44,346
Metso Corp. 2,294 20,416
Nokia OYJ 90,385 1,488,401
Outokumpu OYJ 3,091 27,154
Sampo OYJ Class A 5,653 41,482
Stora Enso OYJ Class R 12,206 136,383
TietoEnator OYJ 2,065 34,764
UPM-Kymmene OYJ 9,571 139,694
Uponor OYJ 1,139 26,421
------------
2,068,334
------------
France--9.47%
Accor SA 3,834 138,687
Alcatel SA Class A 1 23,175 208,912
Alstom 1 5,971 20,570
Autoroutes du Sud de la
France SA 1,586 46,352
Aventis SA 12,725 700,097
AXA AG 25,939 402,423
BIC SA 943 36,710
BNP Paribas SA 14,866 755,408
Bouygues SA 3,823 105,539
Business Objects SA 1 1,362 30,374
Cap Gemini SA 1 1,982 70,375
170
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------------
International Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
Carrefour SA 10,822 $ 530,403
CNP Assurances 649 27,426
Compagnie de
Saint-Gobain SA 5,697 224,200
Compagnie Generale des
Etablissements
Michelin Class B 2,665 104,052
Credit Agricole SA 5,897 112,074
Dassault Systemes SA 842 27,654
Essilor International SA 2,004 80,729
Etablissements
Economiques du
Casino Guichard-
Perrachon SA 725 56,614
European Aeronautic
Defence and Space Co. 5,182 63,554
France Telecom SA 1 14,420 353,705
Gecina SA 487 56,484
Groupe Danone 2,274 314,667
Groupe Wanadoo SA 1 7,041 47,139
Hermes International 150 21,135
Imerys SA 145 21,114
Lafarge SA 3,093 181,154
Lagardere S.C.A. 2,464 107,098
L'Air Liquide SA 1,882 279,010
L'Oreal SA 6,415 452,313
LVMH Moet Hennessy
Louis Vuitton SA 4,128 204,737
Pechiney SA Class A 1,422 51,046
Pernod-Ricard SA 1,071 95,562
Pinault-Printemps-
Redoute SA 1,294 97,479
PSA Peugeot Citroen 3,538 171,859
Publicis Groupe 1,884 50,561
Renault SA 2,900 153,323
Sagem SA 392 31,511
Sanofi-Synthelabo SA 6,824 399,653
Schneider Electric SA 3,857 181,331
Societe Generale Class A 5,977 378,876
Societe Television
Francaise 1 2,389 73,523
Sodexho Alliance SA 1,860 50,194
STMicroelectronics NV 10,754 225,499
Suez SA 14,819 235,861
Technip-Coflexip SA 455 39,814
Thales/Ex Thomson CSF 1,535 45,566
Thomson SA 3,548 54,718
Total SA 12,228 1,847,930
Union du Credit Bail
Immobilier 914 67,699
Valeo SA 1,606 55,696
Veolia Environment 4,419 90,835
Vinci SA 1,339 90,336
Vivendi Universal SA 1 16,747 304,818
------------
10,574,399
------------
Germany--6.06%
Adidas-Salomon AG 888 75,940
Allianz AG 4,989 414,674
Altana AG 1,432 90,345
BASF AG 10,287 439,446
Bayer AG 12,452 288,559
Bayerische Hypo-Und
Vereinsbank AG 1 6,571 108,584
Beiersdorf AG 543 72,582
Celesio AG 722 28,372
Commerzbank AG 8,117 113,532
Continental AG 2,474 51,934
DaimlerChrysler AG 16,140 563,445
Deutsche Bank AG 9,675 627,509
Deutsche Boerse AG 1,871 99,113
Deutsche Lufthansa AG 4,137 48,457
Deutsche Post AG 7,817 114,811
Deutsche Telekom AG 1 39,391 601,169
E.ON AG 10,894 560,078
Fresenius Medical Care
AG 705 34,893
Heidelberger Zement AG 1 980 21,637
Infineon Technologies
AG 1 7,888 76,270
Karstadtquelle AG 1,325 28,362
Linde AG 1,734 64,198
MAN AG 2,250 38,033
Marschollek,
Lautenschlaeger und
Partner AG 1 1,661 24,796
Merck KGaA 1,198 34,806
Metro AG 2,806 90,707
Muenchener
Rueckversicherungs-
Gesellschaft AG 2,116 215,727
RWE AG 6,675 201,519
SAP AG 3,824 450,986
Schering AG 3,349 163,755
Siemens AG 14,861 729,044
ThyssenKrupp AG 6,499 74,930
TUI AG 3,016 44,851
Volkswagen AG 4,262 180,158
------------
6,773,222
------------
Greece--0.36%
Alpha Bank AE 4,100 71,471
Coca-Cola Hellenic
Bottling Co. SA 2,640 44,080
Commercial Bank of
Greece 2,100 36,800
EFG Eurobank Ergasias 4,460 67,298
Hellenic
Telecommunications
Organization SA 6,060 71,678
National Bank of Greece
SA 4,961 83,973
Public Power Corp. 1,654 29,820
------------
405,120
------------
Hong Kong--1.48%
Bank of East Asia Ltd. 30,600 60,430
BOC Hong Kong
Holdings Ltd. 56,500 56,876
Cathay Pacific Airways
Ltd. 21,000 28,276
Cheung Kong (Holdings)
Ltd. 31,000 186,442
CLP Holdings Ltd. 37,700 164,856
Esprit Holdings Ltd. 14,500 35,422
Hang Seng Bank Ltd. 13,700 144,938
Henderson Land
Development Co. Ltd. 13,000 37,342
Hong Kong & China Gas
Co. Ltd. 73,672 93,057
Hong Kong Exchanges &
Clearing Ltd. 24,000 34,470
Hongkong Electric
Holdings Ltd. 27,500 107,910
Hutchison Whampoa Ltd. 38,700 235,729
171
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------------
International Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
Johnson Electric
Holdings Ltd. 35,000 $ 43,312
Li & Fung Ltd. 40,000 51,551
MTR Corp. Ltd. 32,500 37,301
New World Development
Co. Ltd. 36,000 13,965
PCCW Ltd. 1 41,118 25,441
Shangri-La Asia Ltd. 30,000 19,043
Sun Hung Kai Properties
Ltd. 25,000 126,312
Swire Pacific Ltd. Class A 18,500 80,897
Television Broadcasts Ltd. 8,000 28,673
Wharf Holdings Ltd. 24,000 46,165
------------
1,658,408
------------
Ireland--0.77%
Allied Irish Banks PLC 16,738 251,604
Bank of Ireland 18,631 225,716
CRH PLC 9,838 154,210
DCC PLC 1,955 26,267
Elan Corporation PLC 1 6,400 33,073
Irish Life & Permanent
PLC 5,332 57,556
Kerry Group PLC Class A 1 4,003 61,874
Ryanair Holdings PLC 1 6,364 45,822
------------
856,122
------------
Italy--3.79%
Alleanza Assicurazioni
SpA 8,727 82,979
Arnoldo Mondadori
Editore SpA 3,573 25,931
Assicurazioni Generali
SpA 17,356 402,203
Autogrill SpA 1 3,616 39,448
Banca Fideuram SpA 6,542 35,684
Banca Intesa SpA 66,270 211,942
Banca Monte dei Paschi
di Siena SpA 20,185 55,051
Banca Nazionale del
Lavoro SpA 1 34,342 57,578
Banca Popolare di
Milano SCRL 9,594 41,976
Banca Popolare di
Verona e Novara SCRL 6,893 94,195
Benetton Group SpA 1,637 16,975
Bulgari SpA 3,676 20,473
Capitalia SpA 1 23,732 41,833
Enel SpA 39,130 243,997
Eni SpA 48,040 726,546
Fiat SpA 1 4,995 36,366
Fineco SpA 1 32,974 17,721
Finmeccanica SpA 117,916 75,558
Gruppo Editoriale
L'Espresso SpA 4,516 17,892
Luxottica Group SpA 3,167 43,242
Mediaset SpA 11,539 97,658
Mediobanca SpA 8,480 84,623
Parmalat Finanziaria SpA 11,566 36,392
Pirelli SpA 1 23,821 24,127
Riunione Adriatica di
Sicurta SpA 5,886 89,289
Sanpaolo IMI SpA 19,421 180,424
Seat-Pagine Gialle SpA 1 95,859 66,598
Snam Rete Gas SpA 16,243 63,792
Telecom Italia Mobile SpA 70,943 349,495
Telecom Italia SpA 37,327 204,463
Telecom Italia SpA
Class A 44,026 398,391
Tiscali SpA 1 3,079 15,734
Unicredito Italiano SpA 69,070 329,164
------------
4,227,740
------------
Japan--20.02%
Acom Co. Ltd. 1,500 54,216
Advantest Corp. 1,300 57,597
AEON Co. Ltd. 4,500 103,061
AIFUL Corp. 900 38,376
Ajinomoto Co. Inc. 11,000 105,351
Alps Electric Co. Ltd. 3,000 38,426
Amada Co. Ltd. 5,000 16,073
Aoyama Trading Co. Ltd. 1,400 18,655
Asahi Breweries Ltd. 8,000 48,303
Asahi Glass Co. Ltd. 14,000 86,862
Asahi Kasei Corp. 24,000 68,557
Bandai Co. Ltd. 700 26,700
Bank of Fukuoka Ltd. 11,000 42,232
Bank of Yokohama Ltd. 18,000 58,763
Benesse Corp. 1,500 25,859
Bridgestone Corp. 12,000 162,898
Canon Inc. 16,000 734,208
Casio Computer Co. Ltd. 5,000 31,938
Central Glass Co. Ltd. 4,000 23,519
Central Japan Railway
Co. 15 107,433
Chiba Bank Ltd. (The) 15,000 53,217
Chubu Electric Power Co.
Inc. 11,400 207,920
Chugai Pharmaceutical
Co. Ltd. 5,200 59,070
Citizen Watch Co. Ltd. 7,000 37,602
Credit Saison Co. Ltd. 2,500 40,995
CSK Corp. 1,400 38,126
Dai Nippon Printing Co.
Ltd. 12,000 126,921
Daido Life Insurance Co.
Ltd. 23 49,802
Daiichi Pharmaceutical
Co. Ltd. 5,500 71,639
Daikin Industries Ltd. 4,000 73,454
Dainippon Ink &
Chemical Inc. 14,000 28,332
Daito Trust Construction
Co. Ltd. 1,600 33,646
Daiwa House Industry
Co. Ltd. 9,000 61,911
Daiwa Securities Group
Inc. 22,000 126,421
Denki Kagaku Kogyo
Kabushiki Kaisha 10,000 27,733
Denso Corp. 8,800 139,466
Dowa Mining Co. Ltd. 5,000 19,196
East Japan Railway Co. 63 280,175
Ebara Corporation 7,000 24,601
Eisai Co. Ltd. 4,400 90,510
FamilyMart Co. Ltd. 1,400 25,009
Fanuc Ltd. 2,200 109,015
Fast Retailing Co. Ltd. 1,100 33,987
Fuji Electric Co. Ltd. 10,000 21,903
Fuji Photo Film Co. Ltd. 9,000 260,088
Fujisawa Pharmaceutical
Co. Ltd. 5,000 93,691
Fujitsu Ltd. 32,000 131,118
Furukawa Electric Co.
Ltd. 13,000 42,440
172
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------------
International Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
Gunma Bank Ltd. 9,000 $ 40,924
Heavy Industries Co. Ltd. 24,000 26,983
Hirose Electric Co. Ltd. 600 49,619
Hitachi Ltd. 53,000 224,668
Honda Motor Co. Ltd. 14,500 549,448
Hoya Corp. 2,100 144,635
Isetan Co. Ltd. 3,700 24,929
Itochu Corp. 26,000 65,392
Ito-Yokado Co. Ltd. 7,000 167,604
JAFCO Co. Ltd. 500 28,316
Japan Airlines System
Corp. 15,000 32,730
Japan Tobacco Inc. 14 75,669
JFE Holdings Inc. 9,100 136,415
JGC Corp. 4,000 26,917
Joyo Bank Ltd. 16,000 44,639
JSR Corp. 4,000 48,603
Kajima Corp. 14,000 33,229
Kaneka Corp. 7,000 43,140
Kansai Electric Power
Co. Inc. 12,300 194,014
Kao Corp. 10,000 186,134
Kawasaki Heavy
Industries Ltd. 24,000 24,585
Kawasaki Kisen Kaisha
Ltd. 12,000 28,982
Keihin Electric Express
Railway Co. Ltd. 10,000 48,886
Keio Electric Railway
Co. Ltd. 11,000 50,202
Keyence Corp. 650 119,092
Kinden Corp. 5,000 16,781
Kinki Nippon Railway
Co. Ltd. 1 27,000 70,156
Kirin Brewery Co. Ltd. 13,000 91,376
Komatsu Ltd. 20,000 76,619
Konami Company Ltd. 1,600 28,649
Konica Corp. 6,000 68,307
Kubota Corp. 21,000 57,014
Kuraray Co. Ltd. 8,000 52,501
Kurita Water Industries
Ltd. 3,100 34,311
Kyocera Corp. 3,000 171,643
Kyowa Hakko Kogyo
Co. Ltd. 7,000 37,776
Kyushu Electric Power
Co. Inc. 7,700 119,853
Lawson Inc. 1,300 35,728
Mabuchi Motor Co. Ltd. 600 45,871
Makita Corp. 3,000 24,360
Marubeni Corp. 27,000 35,078
Marui Co. Ltd. 7,200 63,980
Matsushita Electric
Industrial Co. Ltd. 39,000 386,184
Matsushita Electric
Works Ltd. 8,000 47,370
Meiji Dairies Corp. 6,000 22,236
Meiji Seika Kaisha Ltd. 8,000 26,184
Meitec Corp. 800 24,318
Millea Holdings Inc. 28 214,066
Minebea Co. Ltd. 11,000 43,606
Mitsubishi Chemical
Corp. 33,000 67,333
Mitsubishi Corp. 19,000 131,809
Mitsubishi Electric Corp. 32,000 103,935
Mitsubishi Estate Co. Ltd. 18,000 121,874
Mitsubishi Heavy
Industries Ltd. 55,000 142,453
Mitsubishi Materials
Corp. 1 18,000 23,086
Mitsubishi Rayon Co. 11,000 29,315
Mitsubishi Tokyo
Financial Group Inc. 74 334,641
Mitsui & Co. Ltd. 22,000 110,298
Mitsui Chemicals Inc. 11,000 50,843
Mitsui Engineering &
Shipbuilding Co. Ltd. 17,000 21,378
Mitsui Fudosan Co. Ltd. 13,000 83,040
Mitsui Mining &
Smelting Co. Ltd. 11,000 32,521
Mitsui O.S.K. Lines Ltd. 18,000 54,716
Mitsui Sumitomo
Insurance Co. Ltd. 24,000 111,330
Mitsui Trust Holdings
Inc. 1 12,000 26,384
Mitsukoshi Ltd. 8,000 21,054
Mizuho Financial Group
Inc. 1 110 86,937
Murata Manufacturing
Co. Ltd. 4,400 172,959
NEC Corp. 1 28,000 139,913
Net One Systems Co.
Ltd. 3 14,716
NGK Insulators Ltd. 6,000 33,279
NGK Spark Plug Co. Ltd. 4,000 28,049
Nichii Gakkan Co. 400 19,988
Nidec Corp. 700 46,229
Nikko Cordial Corp. 25,000 100,354
Nikon Corp. 1 5,000 41,183
Nintendo Co. Ltd. 1,900 138,139
Nippon Express Co. Ltd. 15,000 58,214
Nippon Meat Packers Inc. 4,000 37,776
Nippon Mining Holdings
Inc. 13,000 28,149
Nippon Oil Corp. 26,000 112,813
Nippon Sheet Glass Co.
Ltd. 10,000 29,981
Nippon Steel Corp. 101,000 138,788
Nippon Telegraph &
Telephone Corp. 101 396,177
Nippon Unipac Holding 18 70,306
Nippon Yusen Kabushiki
Kaisha 18,000 70,156
Nissan Motor Co. Ltd. 46,700 446,484
Nisshin Seifun Group
Inc. 5,000 35,519
Nissin Food Products Co.
Ltd. 2,000 41,724
Nitto Denko Corp. 2,400 78,551
Nomura Holdings Inc. 33,000 418,838
NSK Ltd. 12,000 38,176
NTN Corp. 9,000 33,279
NTT Data Corp. 24 73,954
NTT DoCoMo Inc. 336 727,545
Obayashi Corp. 13,000 39,842
OBIC Co. Ltd. 200 35,744
Oji Paper Co. Ltd. 16,000 69,956
Oki Electric Industry Co.
Ltd. 1 11,000 31,514
Olympus Optical Co. Ltd. 4,000 82,782
Omron Corp. 4,000 67,458
Oracle Corp. Japan 700 25,184
Oriental Land Co. Ltd. 1,000 43,806
ORIX Corp. 1,500 82,948
Osaka Gas Co. Ltd. 38,000 93,991
173
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------------
International Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
Pioneer Corp. 3,100 $ 69,706
Promise Co. Ltd. 1,650 61,699
Resona Holdings Inc. 1 84,000 58,064
Ricoh Co. Ltd. 12,000 196,077
Rohm Co. Ltd. 2,000 218,030
Sankyo Co. Ltd. 1,100 27,437
Sankyo Co. Ltd. 7,700 91,958
Sanyo Electric Co. Ltd. 28,000 95,840
Secom Co. Ltd. 4,000 117,260
Sekisui Chemical Co. Ltd. 9,000 30,431
Sekisui House Ltd. 10,000 75,786
Seven-Eleven Japan Co.
Ltd. 8,000 199,209
77 Bank Ltd. (The) 9,000 40,849
Sharp Corp. 17,000 218,172
Shimachu Company Ltd. 1,200 18,888
Shimamura Co. Ltd. 400 22,086
Shimano Inc. 1,900 29,875
Shimizu Corp. 10,000 27,733
Shin-Etsu Chemical Co.
Ltd. 6,700 228,774
Shionogi & Co. Ltd. 6,000 81,299
Shiseido Co. Ltd. 7,000 68,033
Shizuoka Bank Ltd. 12,000 80,450
Showa Denko K.K. 1 20,000 34,812
Showa Shell Sekiyu K.K. 4,000 28,715
Skylark Co. 1,900 22,548
SMC Corp. 1,000 84,197
Softbank Corp. 3,700 70,102
Sompo Japan Insurance
Inc. 14,000 76,369
Sony Corp. 16,500 464,460
Stanley Electric Co. Ltd. 3,000 42,748
Sumitomo Chemical Co.
Ltd. 21,000 65,934
Sumitomo Corp. 14,000 64,593
Sumitomo Electric
Industries Ltd. 11,000 80,341
Sumitomo Metal
Industries Ltd. 72,000 49,769
Sumitomo Metal Mining
Co. Ltd. 11,000 42,140
Sumitomo Mitsui
Financial Group Inc. 69 150,556
Sumitomo Realty &
Development Co. Ltd. 6,000 26,683
Sumitomo Trust &
Banking Co. Ltd. (The) 18,000 62,211
Suruga Bank Ltd. (The) 4,000 23,019
Suzuken Co. Ltd. 800 18,988
Taiheiyo Cement Corp. 15,000 25,734
Taisei Corp. 18,000 35,378
Taisho Pharmaceutical
Co. Ltd. 4,000 57,764
Taiyo Yuden Co. Ltd. 3,000 29,232
Takara Holdings Inc. 4,000 21,587
Takashimaya Co. Ltd. 6,000 29,831
Takeda Chemical
Industries Ltd. 15,900 586,608
Takefuji Corp. 1,290 66,931
TDK Corp. 2,100 103,710
Teijin Ltd. 18,000 44,972
Terumo Corp. 3,600 59,813
THK Co. Ltd. 2,200 29,608
TIS Inc. 1,100 21,070
Tobu Railway Co. Ltd. 18,000 51,118
Toho Co. Ltd. 4,100 35,989
Tohoku Electric Power
Co. Inc. 8,200 121,284
Tokyo Broadcasting
System 1,000 12,184
Tokyo Electric Power Co.
Inc. (The) 21,400 409,019
Tokyo Electron Ltd. 2,900 137,422
Tokyo Gas Co. Ltd. 47,000 135,041
Tokyu Corp. 18,000 58,014
TonenGeneral Sekiyu
K.K. 6,000 42,174
Toppan Printing Co. Ltd. 12,000 85,946
Toray Industries Inc. 25,000 58,089
Toshiba Corp. 50,000 171,976
Tosoh Corporation 11,000 24,551
Tostem Inax Holding
Corp. 5,000 72,038
Toto Ltd. 8,000 47,504
Toyo Seikan Kaisha Ltd. 3,000 28,057
Toyo Suisan Kaisha Ltd. 3,000 30,456
Toyoda Gosei Co. Ltd. 1,000 19,696
Toyota Industries
Corporation 3,600 58,583
Toyota Motor Corp. 50,600 1,310,564
Trend Micro Inc. 1 2,000 31,064
Ube Industries Ltd. 17,000 25,059
UFJ Holdings Inc. 1 71 104,068
Uni-Charm Corp. 900 38,901
Uny Co. Ltd. 3,000 25,834
Ushio Inc. 3,000 34,728
USS Co. Ltd. 410 20,760
Wacoal Corp. 4,000 31,147
West Japan Railway
Company 20 75,786
World Co. Ltd. 1,000 18,947
Yakult Honsha Co. Ltd. 3,000 40,225
Yamada Denki Co. Ltd. 1,600 35,311
Yamaha Corp. 3,000 41,124
Yamanouchi
Pharmaceutical Co.
Ltd. 5,900 153,796
Yamato Transport Co.
Ltd. 8,000 88,545
Yokogawa Electric Corp. 5,000 38,601
------------
22,355,828
------------
Luxembourg--0.07%
Arcelor 6,507 75,769
------------
75,769
------------
Netherlands--5.14%
ABN AMRO Holding NV 28,093 537,139
Aegon NV 25,564 255,988
Akzo Nobel NV 5,485 145,374
ASML Holding NV 1 8,373 79,517
Corio NV 1,019 32,788
DSM NV 1,559 65,739
Euronext NV 2,148 53,255
Hagemeyer NV 5,613 21,593
Heineken NV 3,729 132,320
IHC Caland NV 745 38,036
ING Groep NV 31,507 547,420
Koninklijke Ahold NV 13,748 114,144
Koninklijke KPN NV 1 33,553 237,734
Koninklijke Numico NV 2,800 43,086
Koninklijke Philips
Electronics NV 24,896 473,439
174
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------------
International Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
Koninklijke Vendex KBB
NV 1,852 $ 21,438
QIAGEN NV 1 3,199 27,001
Reed Elsevier NV 11,931 140,709
Rodamco Europe NV 1,227 64,209
Royal Dutch Petroleum
Co. 39,299 1,824,114
TNT Post Group NV 6,340 110,082
Unilever NV CVA 10,708 574,494
VNU NV 4,445 136,951
Wolters Kluwer NV CVA 5,607 67,607
------------
5,744,177
------------
New Zealand--0.21%
Carter Holt Harvey Ltd. 27,340 28,651
Contact Energy Ltd. 12,981 38,379
Sky City Entertainment
Group Ltd. 9,307 51,382
Telecom Corp. of New
Zealand Ltd. 37,638 115,464
------------
233,876
------------
Norway--0.44%
DNB Holding ASA 9,504 46,872
Gjensidige NOR ASA 1,329 46,489
Norsk Hydro ASA 2,829 139,130
Norske Skogindustrier
ASA 2,820 42,192
Orkla ASA 4,519 78,255
Statoil ASA 8,479 72,240
Tandberg ASA 1 2,262 11,720
Telenor ASA 8,100 33,664
Tomra Systems ASA 3,804 16,337
------------
486,899
------------
Portugal--0.36%
Banco Comercial
Portugues SA Class R 39,547 69,483
Banco Espirito Santo e
Comercial de Lisboa
SA 2,554 37,834
BPI-SPGS SA--
Registered 12,731 35,964
Brisa-Auto Estradas de
Portugal SA 6,580 37,025
CIMPOR-Cimentos de
Portugal SGPS SA 3,965 15,071
Electricidade de Portugal
SA 36,742 78,478
Portugal Telecom SGPS
SA 16,435 117,768
Sonae SGPS SA 1 26,102 14,687
------------
406,310
------------
Singapore--0.80%
Capitaland Ltd. 32,000 22,533
Chartered
Semiconductor
Manufacturing Ltd. 1 18,000 9,302
ComfortDelGro Corp.
Ltd. 1 40,000 18,285
DBS Group Holdings Ltd. 19,652 114,944
Fraser & Neave Ltd. 7,400 36,139
Haw Par Corp. Ltd. 13,792 33,991
Keppel Corp. Ltd. 13,000 36,173
Oversea-Chinese Banking
Corp. Ltd.--Ordinary
Shares 19,350 109,881
Singapore Airlines Ltd. 13,000 76,775
Singapore Press
Holdings Ltd. 8,000 83,135
Singapore Technologies
Engineering Ltd. 37,000 36,559
Singapore
Telecommunications
Ltd. 121,000 103,754
United Overseas
Bank Ltd. 23,392 164,714
Venture Corp. Ltd. 5,000 45,713
------------
891,898
------------
Spain--3.75%
Abertis Infraestructuras SA 5,004 69,933
Acciona SA 640 30,500
Acerinox SA 1,304 49,835
Actividades de
Construccion y
Servicios SA 882 37,627
Altadis SA 5,728 146,815
Amadeus Global Travel
Distribution SA Class A 4,604 26,382
Banco Bilbao Vizcaya
Argentaria SA 55,609 584,306
Banco Popular Espanol
SA 2,933 148,197
Banco Santander Central
Hispano SA 78,296 686,023
Corporacion Mapfre SA 1,984 21,188
Endesa SA 16,736 280,210
Fomento de
Construcciones y
Contratas SA 1,111 31,041
Gas Natural SDG SA 3,991 80,204
Grupo Dragados SA 2,602 52,380
Grupo Ferrovial SA 1,209 32,835
Iberdrola SA 14,353 248,553
Indra Sistemas SA 2,620 26,627
Industria de Diseno Textil
SA 4,219 106,103
Repsol YPF SA 17,378 281,779
Sacyr Vallehermoso SA 3,335 36,995
Sociedad General de
Aguas de Barcelona
SA 2,517 34,396
Telefonica SA 89,506 1,039,148
Terra Networks SA 1 7,886 47,725
Union Fenosa SA 4,070 68,938
Zeltia SA Rights 3,537 23,883
------------
4,191,623
------------
Sweden--2.03%
ASSA Abloy AB Class B 5,751 55,678
Atlas Copco AB Class A 2,360 59,701
Atlas Copco AB Class B 1,384 32,504
Drott AB Class B 2,450 30,912
Electrolux AB Class B 5,910 116,650
Eniro AB 4,022 34,653
Gambro AB Class A 3,797 25,140
Hennes & Mauritz AB
Class B 8,871 203,907
Holmen AB Class B 962 26,258
Modern Times Group AB
Class B 1 1,762 27,074
Nordea AB 45,757 220,641
175
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------------
International Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
OM AB 1,684 $ 11,991
Sandvik AB 4,143 108,428
Securitas AB Class B 5,726 58,655
Skandia Forsakrings AB 17,334 46,123
Skandinaviska Enskilda
Banken AB Class A 9,096 92,608
Skanska AB Class B 8,257 47,139
SKF AB Class B 1,807 52,145
Svenska Cellulosa AB
Class B 3,508 119,856
Svenska Handelsbanken
AB Class A 10,688 174,908
Swedish Match AB 8,278 62,564
Tele2 AB Class B 1 1,860 69,126
Telefonaktiebolaget LM
Ericsson AB Class B 1 282,288 303,272
Telia AB 30,809 127,778
Trelleborg AB Class B 2,686 28,689
Volvo AB Class A 1,873 39,309
Volvo AB Class B 4,334 95,289
------------
2,270,998
------------
Switzerland--7.40%
ABB Ltd. 1 18,583 61,049
Adecco SA 2,565 105,664
Centerpulse AG--
Registered 1 198 53,280
Ciba Specialty Chemicals
AG 1 1,437 86,991
Clariant AG--Registered 1 3,015 27,600
Compagnie Financiere
Richemont AG 10,792 174,482
Credit Suisse Group 22,309 587,144
Givaudan SA--
Registered 188 79,111
Holcim Ltd. 3,009 111,181
Logitech International SA
--Registered 1 907 34,015
Lonza Group AG--
Registered 1,094 50,074
Nestle SA 7,518 1,551,276
Nobel Biocare Holding
AG 451 29,860
Novartis AG 45,003 1,780,784
Roche Holding AG--
Genusschein 13,077 1,025,751
Roche Holding AG
Bearer 586 72,031
Serono SA 130 76,394
Societe Generale de
Surveillance Holding
SA 95 37,101
Swatch Group (The)
AG--Registered 1,482 26,969
Swatch Group (The) AG
Class B 722 65,428
Swiss Re 6,017 333,377
Swisscom AG 496 140,977
Syngenta AG 2,134 106,972
Synthes-Stratec Inc. 94 67,522
UBS AG--Registered 22,277 1,239,210
Unaxis Holding AG
Class R 230 18,720
Zurich Financial Services
AG 1 2,713 323,465
------------
8,266,428
------------
United Kingdom--26.63%
Aegis Group PLC 23,222 30,368
Alliance Unichem PLC 4,968 40,600
AMEC PLC 5,249 22,520
Amersham PLC 13,424 100,734
AMVESCAP PLC 12,589 86,834
ARM Holdings PLC 1 21,406 23,667
Associated British Ports
Holdings PLC 7,715 50,542
AstraZeneca PLC 32,306 1,295,427
Aviva PLC 41,869 290,697
BAA PLC 19,822 160,439
BAE Systems PLC 57,527 135,273
Balfour Beatty PLC 7,911 25,195
Barclays PLC 2 122,159 907,113
Barratt Developments
PLC 4,556 32,478
BBA Group PLC 11,951 41,020
Berkeley Group (The)
PLC 2,351 28,961
BG Group PLC 64,800 287,106
BHP Billiton PLC 46,962 247,207
BOC Group PLC 9,100 116,752
Boots Group PLC 15,751 168,555
BP PLC 417,632 2,896,176
BPB PLC 9,923 50,270
Brambles Industries PLC 15,117 40,910
British Airways PLC 1 9,883 24,707
British American Tobacco
PLC 30,699 348,273
British Land Co. PLC 9,831 77,990
British Sky Broadcasting
Group PLC 1 23,198 257,051
BT Group PLC 161,510 543,026
Bunzl PLC 9,965 69,845
Cable & Wireless PLC 44,479 82,939
Cadbury Schweppes PLC 39,062 230,760
Canary Wharf Finance
PLC 1 8,565 36,182
Capita Group PLC 13,511 50,387
Carlton Communications
PLC 16,253 40,632
Carnival PLC 3,196 97,092
Cattles PLC 8,130 43,534
Celltech Group PLC 1 5,440 30,790
Centrica PLC 77,968 226,118
Chubb PLC 21,846 27,217
Close Brothers Group
PLC 3,009 32,150
Cobham PLC 1,849 35,317
Compass Group PLC 42,500 229,154
Daily Mail and General
Trust PLC Class A 6,350 59,727
De La Rue PLC 4,444 17,343
Diageo PLC 58,895 628,791
Dixons Group PLC 37,399 81,462
Electrocomponents PLC 9,172 49,114
EMAP PLC 4,683 66,110
EMI Group PLC 18,821 37,890
Enterprise Inns PLC 3,234 43,146
Exel PLC 5,770 59,223
FirstGroup PLC 7,937 35,363
FKI PLC 11,736 15,445
Friends Provident PLC 30,124 56,420
George Wimpey PLC 7,918 38,544
GKN PLC 15,495 56,891
GlaxoSmithKline PLC 112,472 2,269,835
Granada PLC 54,675 82,102
176
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------------------------
International Index
Master Portfolio
- -----------------------------------------------------------------------------
Security Shares Value
- -----------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------------------
GUS PLC 18,783 $ 210,454
Hammerson PLC 5,164 42,223
Hanson PLC 13,936 77,671
Hays PLC 33,912 53,722
HBOS PLC 70,721 915,514
Hilton Group PLC 32,034 97,264
HSBC Holdings PLC 200,192 2,365,283
IMI PLC 7,298 36,128
Imperial Chemical
Industries PLC 26,303 53,278
Imperial Tobacco Group
PLC 13,529 241,778
InterContinental Hotels
Group PLC 1 13,822 98,076
International Power PLC 1 22,347 47,662
Invensys PLC 67,972 22,994
J Sainsbury PLC 27,304 114,442
Johnson Matthey PLC 4,507 65,671
Kelda Group PLC 8,716 61,486
Kidde PLC 16,008 22,453
Kingfisher PLC 48,145 220,265
Land Securities Group
PLC 8,528 109,976
Legal & General Group
PLC 120,495 167,021
Liberty International PLC 6,557 67,030
Lloyds TSB Group PLC 103,475 734,649
LogicaCMG PLC 14,704 34,758
Man Group PLC 5,155 101,738
Marks & Spencer Group
PLC 42,194 219,845
MFI Furniture Group PLC 11,511 31,816
Misys PLC 10,969 46,518
Mitchells & Butlers PLC 1 13,822 53,315
National Grid Transco
PLC 57,605 390,684
Next PLC 5,395 91,385
Novar PLC 12,999 26,277
Pearson PLC 15,547 145,207
Peninsular & Oriental
Steam Navigation Co.
PLC 14,889 57,737
Persimmon PLC 5,306 41,765
Provident Financial PLC 4,961 52,188
Prudential Corp. PLC 37,951 229,833
Rank Group PLC 12,411 50,995
Reckitt Benckiser PLC 11,025 202,305
Reed International PLC 23,713 197,313
Rentokil Initial PLC 36,957 115,413
Reuters Group PLC 27,483 79,705
Rexam PLC 9,165 57,621
Rio Tinto PLC 19,568 368,108
RMC Group PLC 5,513 42,007
Rolls-Royce Group PLC 28,381 60,063
Royal Bank of Scotland
Group PLC 51,236 1,437,300
Royal Sun Alliance
Industries Group PLC 27,051 61,936
SABMiller PLC 16,201 108,474
Safeway PLC 19,289 81,962
Sage Group PLC 24,222 64,751
Schroders PLC 2,680 27,850
Scottish & Newcastle
PLC 14,363 86,865
Scottish & Southern
Energy PLC 15,845 163,155
Scottish Power PLC 34,000 204,223
Securicor PLC 16,231 19,954
Serco Group PLC 9,643 25,460
Severn Trent PLC 6,701 75,634
Shell Transport &
Trading Co. PLC 178,799 1,180,181
Signet Group PLC 34,494 51,371
Slough Estates PLC 8,271 46,643
Smith & Nephew PLC 17,657 101,469
Smiths Group PLC 10,650 123,546
Stagecoach Group PLC 22,950 23,480
Tate & Lyle PLC 7,802 44,095
Taylor Woodrow PLC 11,498 38,137
Tesco PLC 134,386 486,202
3i Group PLC 11,750 109,550
TI Automotive Ltd. 1 3 7,024 --
Tomkins PLC 14,962 56,045
Unilever PLC 51,560 410,519
United Business Media
PLC 8,146 40,730
United Utilities PLC 10,722 104,211
Vodafone Group PLC 1,276,771 2,496,633
Whitebread PLC 6,083 68,057
William Hill PLC 6,385 30,081
Wolseley PLC 11,127 123,066
WPP Group PLC 21,652 169,713
------------
29,742,343
------------
TOTAL COMMON STOCKS
(Cost: $130,892,848) 108,739,183
------------
- -----------------------------------------------------------------------------
PREFERRED STOCKS--0.49%
- -----------------------------------------------------------------------------
Australia--0.22%
News Corporation Ltd.
(The) 39,713 244,762
------------
244,762
------------
Germany--0.23%
Henkel KGaA 1,185 73,360
Porsche AG 160 67,799
Prosieben Satellite Media
AG 2,990 19,915
Volkswagen AG 2,091 62,695
Wella AG 505 36,825
------------
260,594
------------
Italy--0.04%
IntesaBci SpA 18,548 42,599
------------
42,599
------------
TOTAL PREFERRED STOCKS
(Cost: $625,022) 547,955
------------
- -----------------------------------------------------------------------------
EXCHANGE-TRADED FUNDS--1.02%
- -----------------------------------------------------------------------------
iShares MSCI EAFE
Index Fund 4 10,532 1,140,721
------------
1,140,721
------------
TOTAL EXCHANGE-TRADED FUNDS
(Cost: $1,030,497) 1,140,721
------------
177
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- -----------------------------------------------------------
International Index
Master Portfolio
- -----------------------------------------------------------
Shares or
Security Principal Value
- -----------------------------------------------------------
SHORT TERM INSTRUMENTS--12.82%
- -----------------------------------------------------------
Barclays Global
Investors Funds
Institutional Money
Market Fund,
Institutional Shares 5 7,998,519 $ 7,998,519
Barclays Global
Investors Funds
Prime Money
Market Fund,
Institutional Shares 5 2,388,365 2,388,365
BlackRock Temp Cash
Money Market Fund 5 120,443 120,443
Short Term
Investment Co.--
Liquid Assets
Money Market
Portfolio 5 626,276 626,276
Short Term
Investment Co.--
Prime Money
Market Portfolio,
Institutional Shares 5 265,374 265,374
Abbey National Treasury Services PLC, Time Deposit
1.38%, 07/01/03 5 $159,224 159,224
Beta Finance Inc., Floating Rate Note
1.06%, 05/20/04 5 132,667 132,667
1.17%, 08/15/03 5 199,042 199,042
Canadian Imperial Bank of Commerce,
Floating Rate Note
1.07%, 10/30/03 5 106,149 106,149
CC USA Inc., Floating Rate Note
1.10%, 04/19/04 5 116,759 116,759
1.31%, 05/24/04 5 265,347 265,347
Dorada Finance Inc., Floating Rate Note
1.06%, 05/20/04 5 265,334 265,334
Five Finance Inc., Floating Rate Note
1.15%, 04/15/04 5 132,687 132,687
HBOS Treasury Services PLC, Floating Rate Note
1.27%, 06/24/04 5 265,374 265,374
Holmes Financing PLC, Floating Rate Bond
1.14%, 04/15/04 5 53,075 53,075
K2 USA LLC, Floating Rate Note
1.15%, 05/17/04 5 132,680 132,680
1.22%, 04/13/04 5 132,680 132,680
Links Finance LLC, Floating Rate Note
0.98%, 06/28/04 5 132,660 132,660
1.08%, 03/29/04 5 132,687 132,687
1.29%, 05/04/04 5 132,680 132,680
Sigma Finance Inc., Floating Rate Note
1.13%,, 10/15/03 5 265,361 265,361
White Pine Finance LLC, Floating Rate Note
1.07%, 04/20/04 5 132,687 132,687
1.14%, 05/17/04 5 159,224 159,224
------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $14,315,294) 14,315,294
------------
Security Principal Value
- -----------------------------------------------------------
REPURCHASE AGREEMENTS--0.17%
- -----------------------------------------------------------
Bank of America NA
Repurchase Agreement,
dated 06/30/03, due
07/01/03, with an
effective yield of
1.30%. 5 $132,687 $ 132,687
Merrill Lynch
Government
Securities Inc.
Repurchase Agreement,
dated 06/30/03, due
07/01/03, with an
effective yield of
1.38%. 5 53,075 53,075
------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $185,762) 185,762
------------
TOTAL INVESTMENTS IN
SECURITIES--111.86%
(Cost $147,049,423) 124,928,915
Other Assets, Less Liabilities--(11.86%) (13,241,284)
------------
NET ASSETS--100.00% $111,687,631
============
Notes to the Schedule of Investments:
1 Non-income earning securities.
2 Issuer is an affiliate of the Master Portfolio's investment advisor. See Note
2.
3 Security valued at fair value in accordance with procedures approved by the
Board of Trustees. See Note 1.
4 Non-controlled affiliated issuer. See Note 2.
5 All or a portion of this security represents investments of securities
lending collateral.
178 The accompanying notes are an integral part of these financial statements.
Schedule of Investments
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- ---------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------
COMMON STOCKS--96.41%
- ---------------------------------------------------------------------
Advertising--0.20%
Interpublic Group of
Companies Inc. 119,121 $ 1,593,839
Omnicom Group Inc. 57,658 4,134,079
--------------
5,727,918
--------------
Aerospace/Defense--1.44%
Boeing Co. (The) 257,180 8,826,418
General Dynamics Corp. 60,415 4,380,087
Goodrich (B.F.) Co. 35,903 753,963
Lockheed Martin Corp. 137,751 6,552,815
Northrop Grumman Corp. 55,943 4,827,321
Raytheon Co. 125,564 4,123,522
Rockwell Collins Inc. 54,585 1,344,429
United Technologies Corp. 143,177 10,141,227
--------------
40,949,782
--------------
Airlines--0.16%
Delta Air Lines Inc. 37,668 552,966
Southwest Airlines Co. 238,215 4,097,298
--------------
4,650,264
--------------
Apparel--0.29%
Jones Apparel Group Inc. 1 39,228 1,147,811
Liz Claiborne Inc. 32,812 1,156,623
Nike Inc. Class B 80,805 4,322,259
Reebok International Ltd. 1 18,116 609,241
VF Corp. 33,123 1,125,188
--------------
8,361,122
--------------
Auto Manufacturers--0.54%
Ford Motor Company 560,186 6,156,444
General Motors Corp. 171,480 6,173,280
Navistar International
Corp. 1 20,842 680,074
PACCAR Inc. 35,546 2,401,488
--------------
15,411,286
--------------
Auto Parts & Equipment--0.10%
Cooper Tire & Rubber
Co. 22,440 394,720
Dana Corp. 45,369 524,466
Delphi Corp. 171,277 1,478,121
Goodyear Tire &
Rubber Co. (The) 53,469 280,712
Visteon Corp. 39,824 273,591
--------------
2,951,610
--------------
Banks--7.23%
AmSouth Bancorp 107,533 2,348,521
Bank of America Corp. 458,317 36,220,793
Bank of New York Co.
Inc. (The) 235,841 6,780,429
Bank One Corp. 349,545 12,996,083
BB&T Corp. 144,145 4,944,173
Charter One Financial
Inc. 68,798 2,145,122
Comerica Inc. 53,563 2,490,679
Fifth Third Bancorp 175,722 10,075,899
First Tennessee
National Corp. 38,613 1,695,497
FleetBoston Financial
Corp. 321,648 9,556,162
Golden West Financial
Corp. 46,728 3,738,707
Huntington Bancshares
Inc. 70,082 1,368,001
KeyCorp 129,451 3,271,227
Marshall & Ilsley Corp. 69,309 2,119,469
Mellon Financial Corp. 131,958 3,661,834
National City Corp. 187,092 6,119,779
North Fork Bancorp Inc. 48,011 1,635,255
Northern Trust Corp. 67,500 2,820,825
PNC Financial
Services Group 86,580 4,225,970
Regions Financial Corp. 67,915 2,294,169
SouthTrust Corp. 104,179 2,833,669
State Street Corp. 101,659 4,005,365
SunTrust Banks Inc. 85,733 5,087,396
Synovus Financial Corp. 92,832 1,995,888
U.S. Bancorp 587,241 14,387,404
Union Planters Corp. 60,698 1,883,459
Wachovia Corp. 411,585 16,446,937
Washington Mutual Inc. 284,721 11,758,977
Wells Fargo & Company 512,506 25,830,302
Zions Bancorporation 27,629 1,398,304
--------------
206,136,295
--------------
Beverages--2.72%
Anheuser-Busch
Companies Inc. 255,299 13,033,014
Brown-Forman Corp.
Class B 18,421 1,448,259
Coca-Cola Co. (The) 753,625 34,975,736
Coca-Cola Enterprises
Inc. 138,255 2,509,328
Coors (Adolf)
Company Class B 11,097 543,531
Pepsi Bottling Group
Inc. 84,011 1,681,900
PepsiCo Inc. 525,669 23,392,270
--------------
77,584,038
--------------
Biotechnology--1.14%
Amgen Inc. 1 385,356 25,603,053
Biogen Inc. 1 45,379 1,724,402
Chiron Corp. 1 57,091 2,496,019
Genzyme Corp.--
General Division 1 65,990 2,758,382
--------------
32,581,856
--------------
Building Materials--0.22%
American Standard
Companies Inc. 1 22,008 1,627,051
Masco Corp. 145,917 3,480,120
Vulcan Materials Co. 31,075 1,151,950
--------------
6,259,121
--------------
Chemicals--1.37%
Air Products &
Chemicals Inc. 69,498 2,891,117
Ashland Inc. 20,843 639,463
Dow Chemical Co. (The) 280,049 8,670,317
Du Pont (E.I.) de
Nemours and Co. 304,667 12,686,334
Eastman Chemical Co. 23,638 748,615
Engelhard Corp. 38,636 957,014
Great Lakes Chemical
Corp. 15,312 312,365
Hercules Inc. 1 33,515 331,798
Monsanto Co. 79,924 1,729,555
PPG Industries Inc. 51,899 2,633,355
Praxair Inc. 49,683 2,985,948
179
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- ---------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------
Rohm & Haas Co. 67,889 $ 2,106,596
Sherwin-Williams Co.
(The) 45,019 1,210,111
Sigma-Aldrich Corp. 21,732 1,177,440
--------------
39,080,028
--------------
Commercial Services--1.06%
Apollo Group Inc.
Class A 1 53,585 3,309,410
Block (H & R) Inc. 54,768 2,368,716
Cendant Corp. 1 311,741 5,711,095
Concord EFS Inc. 1 149,041 2,193,884
Convergys Corp. 1 45,418 726,688
Deluxe Corp. 16,972 760,346
Donnelley (R.R.) &
Sons Co. 34,616 904,862
Ecolab Inc. 80,351 2,056,986
Equifax Inc. 43,238 1,124,188
McKesson Corp. 88,651 3,168,387
Monster Worldwide Inc. 1 34,149 673,760
Moody's Corp. 45,420 2,394,088
Paychex Inc. 115,121 3,374,197
Quintiles
Transnational Corp. 1 36,106 512,344
Robert Half
International Inc. 1 52,196 988,592
--------------
30,267,543
--------------
Computers--5.48%
Apple Computer Inc. 1 111,789 2,137,406
Cisco Systems Inc. 1 2,147,336 35,839,038
Computer Sciences
Corp. 1 57,249 2,182,332
Dell Computer Corp. 1 785,781 25,113,561
Electronic Data
Systems Corp. 146,300 3,138,135
EMC Corp. 1 669,325 7,007,833
Gateway Inc. 1 98,834 360,744
Hewlett-Packard Co. 933,764 19,889,173
International Business
Machines Corp. 528,619 43,611,067
Lexmark International
Inc. 1 38,989 2,759,252
NCR Corp. 1 29,289 750,384
Network Appliance Inc. 1 103,803 1,682,647
Sun Microsystems Inc. 1 987,804 4,543,898
SunGard Data
Systems Inc. 1 86,960 2,253,134
Unisys Corp. 1 100,177 1,230,174
Veritas Software Corp. 1 126,855 3,636,933
--------------
156,135,711
--------------
Cosmetics/Personal Care--2.43%
Alberto-Culver Co.
Class B 17,924 915,916
Avon Products Inc. 71,882 4,471,060
Colgate-Palmolive Co. 164,578 9,537,295
Gillette Co. (The) 312,483 9,955,708
International Flavors &
Fragrances Inc. 28,796 919,456
Kimberly-Clark Corp. 155,683 8,117,312
Procter & Gamble Co. 396,066 35,321,166
--------------
69,237,913
--------------
Distribution/Wholesale--0.28%
Costco Wholesale Corp. 1 139,512 5,106,139
Genuine Parts Co. 53,156 1,701,524
Grainger (W.W.) Inc. 28,008 1,309,654
--------------
8,117,317
--------------
Diversified Financial Services--9.05%
American Express Co. 396,832 16,591,546
American International
Group Inc. 797,946 44,030,660
Bear Stearns Companies
Inc. (The) 30,292 2,193,747
Capital One Financial
Corp. 69,252 3,405,813
Citigroup Inc. 1,574,871 67,404,479
Countrywide Financial
Corp. 39,943 2,778,835
Fannie Mae 299,788 20,217,703
Federated Investors Inc.
Class B 33,460 917,473
Franklin Resources Inc. 77,612 3,032,301
Freddie Mac 210,337 10,678,809
Goldman Sachs
Group Inc. (The) 143,688 12,033,870
Janus Capital Group
Inc. 73,136 1,199,430
JP Morgan Chase & Co. 621,367 21,238,324
Lehman Brothers
Holdings Inc. 74,189 4,932,085
MBNA Corp. 390,814 8,144,564
Merrill Lynch & Co. Inc. 284,582 13,284,288
Morgan Stanley 332,601 14,218,693
Providian Financial Corp. 1 88,549 819,964
Schwab (Charles)
Corp. (The) 413,017 4,167,342
SLM Corp. 138,411 5,421,559
T. Rowe Price Group Inc. 37,403 1,411,963
--------------
258,123,448
--------------
Electric--2.58%
AES Corp. (The) 1 187,264 1,189,126
Allegheny Energy Inc. 38,333 323,914
Ameren Corp. 49,296 2,173,954
American Electric Power
Co. Inc. 120,800 3,603,464
Calpine Corp. 1 116,439 768,497
CenterPoint Energy Inc. 93,327 760,615
Cinergy Corp. 53,840 1,980,774
CMS Energy Corp. 43,904 355,622
Consolidated Edison Inc. 68,279 2,955,115
Constellation Energy
Group Inc. 50,546 1,733,728
Dominion Resources Inc. 95,064 6,109,763
DTE Energy Co. 51,359 1,984,512
Duke Energy Corp. 275,625 5,498,719
Edison International 1 99,603 1,636,477
Entergy Corp. 69,052 3,644,565
Exelon Corp. 99,172 5,931,477
FirstEnergy Corp. 91,023 3,499,834
FPL Group Inc. 56,055 3,747,277
Mirant Corp. 1 123,218 357,332
NiSource Inc. 80,268 1,525,092
PG&E Corp. 1 125,120 2,646,288
Pinnacle West Capital
Corp. 27,887 1,044,368
PPL Corp. 51,541 2,216,263
Progress Energy Inc. 73,642 3,232,884
180
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- ---------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------
Public Service Enterprise
Group Inc. 69,077 $ 2,918,503
Southern Company 220,759 6,878,850
TECO Energy Inc. 53,912 646,405
TXU Corp. 98,535 2,212,111
Xcel Energy Inc. 121,901 1,833,391
--------------
73,408,920
--------------
Electrical Components & Equipment--0.09%
American Power
Conversion Corp. 1 60,049 936,164
Molex Inc. 58,568 1,580,750
Power-One Inc. 1 25,176 180,008
--------------
2,696,922
--------------
Electronics--0.57%
Agilent Technologies Inc. 1 144,124 2,817,624
Applera Corp.--
Applied Biosystems
Group 64,061 1,219,081
Jabil Circuit Inc. 1 60,719 1,341,890
Johnson Controls Inc. 27,264 2,333,798
Millipore Corp. 1 14,806 656,942
Parker Hannifin Corp. 36,113 1,516,385
PerkinElmer Inc. 38,499 531,671
Sanmina-SCI Corp. 1 155,853 983,432
Solectron Corp. 1 253,584 948,404
Symbol Technologies Inc. 70,457 916,646
Tektronix Inc. 1 26,077 563,263
Thermo Electron Corp. 1 49,610 1,042,802
Thomas & Betts Corp. 1 17,814 257,412
Waters Corp. 1 38,107 1,110,057
--------------
16,239,407
--------------
Engineering & Construction--0.03%
Fluor Corp. 24,906 837,838
--------------
837,838
--------------
Entertainment--0.09%
International Game
Technology Inc. 1 26,117 2,672,553
--------------
2,672,553
--------------
Environmental Control--0.18%
Allied Waste Industries Inc. 1 64,160 644,808
Waste Management Inc. 181,029 4,360,989
--------------
5,005,797
--------------
Food--1.79%
Albertson's Inc. 112,357 2,157,254
Archer-Daniels-Midland Co. 197,291 2,539,135
Campbell Soup Co. 125,543 3,075,803
ConAgra Foods Inc. 164,242 3,876,111
General Mills Inc. 113,034 5,358,942
Heinz (H.J.) Co. 107,469 3,544,328
Hershey Foods Corp. 40,168 2,798,103
Kellogg Co. 124,449 4,277,312
Kroger Co. 1 230,989 3,852,897
McCormick & Co. Inc. 42,682 1,160,950
Safeway Inc. 1 134,977 2,761,629
Sara Lee Corp. 237,891 4,474,730
SUPERVALU Inc. 40,877 871,498
Sysco Corp. 198,828 5,972,793
Winn-Dixie Stores Inc. 42,992 529,232
Wrigley (William Jr.) Co. 68,831 3,870,367
--------------
51,121,084
--------------
Forest Products & Paper--0.52%
Boise Cascade Corp. 17,787 425,109
Georgia-Pacific Corp. 76,521 1,450,073
International Paper Co. 146,487 5,233,980
Louisiana-Pacific Corp. 1 31,891 345,698
MeadWestvaco Corp. 61,258 1,513,073
Plum Creek Timber Co. Inc. 56,078 1,455,224
Temple-Inland Inc. 16,508 708,358
Weyerhaeuser Co. 66,984 3,617,136
--------------
14,748,651
--------------
Gas--0.16%
KeySpan Corp. 48,096 1,705,003
Nicor Inc. 13,438 498,684
Peoples Energy Corp. 11,003 471,919
Sempra Energy 63,423 1,809,458
--------------
4,485,064
--------------
Hand/Machine Tools--0.31%
Black & Decker Corp. 23,805 1,034,327
Emerson Electric Co. 128,757 6,579,483
Snap-On Inc. 17,766 515,747
Stanley Works (The) 26,225 723,810
--------------
8,853,367
--------------
Health Care--4.53%
Aetna Inc. 46,440 2,795,688
Anthem Inc. 1 42,332 3,265,914
Bard (C.R.) Inc. 15,906 1,134,257
Bausch & Lomb Inc. 16,251 609,412
Baxter International Inc. 182,747 4,751,422
Becton, Dickinson & Co. 77,894 3,026,182
Biomet Inc. 79,022 2,264,771
Boston Scientific Corp. 1 125,461 7,665,667
Guidant Corp. 94,594 4,199,028
HCA Inc. 156,593 5,017,240
Health Management
Associates Inc.
Class A 72,958 1,346,075
Humana Inc. 1 49,345 745,109
Johnson & Johnson 908,205 46,954,199
Manor Care Inc. 1 27,645 691,401
Medtronic Inc. 373,056 17,895,496
Quest Diagnostics Inc. 1 32,206 2,054,743
St. Jude Medical Inc. 1 55,027 3,164,053
Stryker Corp. 60,719 4,212,077
Tenet Healthcare Corp. 1 142,922 1,665,041
UnitedHealth Group Inc. 181,342 9,112,436
WellPoint Health
Networks Inc. 1 44,539 3,754,638
Zimmer Holdings Inc. 1 60,076 2,706,424
--------------
129,031,273
--------------
Home Builders--0.12%
Centex Corp. 19,030 1,480,344
KB Home 14,533 900,755
Pulte Homes Inc. 18,720 1,154,275
--------------
3,535,374
--------------
Home Furnishings--0.11%
Leggett & Platt Inc. 59,145 1,212,473
Maytag Corp. 23,920 584,126
Whirlpool Corp. 20,968 1,335,662
--------------
3,132,261
--------------
181
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- ---------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------
Household Products/Wares--0.35%
American Greetings
Corp. Class A 1 20,099 $ 394,744
Avery Dennison Corp. 33,775 1,695,505
Clorox Co. 66,370 2,830,681
Fortune Brands Inc. 44,509 2,323,370
Newell Rubbermaid Inc. 83,845 2,347,660
Tupperware Corp. 17,778 255,292
--------------
9,847,252
--------------
Insurance--3.07%
ACE Ltd. 80,946 2,775,638
AFLAC Inc. 157,141 4,832,086
Allstate Corp. (The) 215,318 7,676,087
Ambac Financial Group
Inc. 32,492 2,152,595
AON Corp. 95,459 2,298,653
Chubb Corp. 56,611 3,396,660
CIGNA Corp. 42,866 2,012,130
Cincinnati Financial Corp. 49,146 1,822,825
Hancock (John) Financial
Services Inc. 88,371 2,715,641
Hartford Financial
Services Group Inc. 85,583 4,309,960
Jefferson-Pilot Corp. 43,539 1,805,127
Lincoln National Corp. 54,268 1,933,569
Loews Corp. 56,690 2,680,870
Marsh & McLennan
Companies Inc. 163,846 8,367,615
MBIA Inc. 44,067 2,148,266
MetLife Inc. 232,514 6,584,796
MGIC Investment Corp. 30,249 1,410,813
Principal Financial
Group Inc. 100,096 3,228,096
Progressive Corp. (The) 66,572 4,866,413
Prudential Financial Inc. 168,246 5,661,478
SAFECO Corp. 42,303 1,492,450
St. Paul Companies Inc. 69,592 2,540,804
Torchmark Corp. 35,586 1,325,579
Travelers Property
Casualty Corp.
Class B 307,822 4,854,353
UNUMProvident Corp. 87,937 1,179,235
XL Capital Ltd. Class A 41,775 3,467,325
--------------
87,539,064
--------------
Iron/Steel--0.06%
Allegheny Technologies
Inc. 24,504 161,726
Nucor Corp. 23,929 1,168,932
United States Steel Corp. 31,489 515,475
--------------
1,846,133
--------------
Leisure Time--0.41%
Brunswick Corp. 27,575 689,927
Carnival Corp. 192,264 6,250,503
Harley-Davidson Inc. 92,485 3,686,452
Sabre Holdings Corp. 43,788 1,079,374
--------------
11,706,256
--------------
Lodging--0.26%
Harrah's Entertainment
Inc. 1 33,620 1,352,869
Hilton Hotels Corp. 115,183 1,473,191
Marriott International
Inc. Class A 71,007 2,728,089
Starwood Hotels & Resorts
Worldwide Inc. 61,339 1,753,682
--------------
7,307,831
--------------
Machinery--0.54%
Caterpillar Inc. 105,356 5,864,115
Cummins Inc. 12,668 454,655
Deere & Co. 73,208 3,345,606
Dover Corp. 61,922 1,855,183
Ingersoll-Rand Co.
Class A 51,795 2,450,939
McDermott
International Inc. 1 19,820 125,461
Rockwell Automation Inc. 56,807 1,354,279
--------------
15,450,238
--------------
Manufacturers--4.95%
Cooper Industries Ltd. 28,539 1,178,661
Crane Co. 18,084 409,241
Danaher Corp. 46,736 3,180,385
Eastman Kodak Co. 87,741 2,399,716
Eaton Corp. 22,808 1,792,937
General Electric Co. 3,057,452 87,687,723
Honeywell International
Inc. 262,411 7,045,735
Illinois Tool Works Inc. 94,073 6,194,707
ITT Industries Inc. 28,090 1,838,771
Pall Corp. 37,664 847,440
Textron Inc. 41,402 1,615,506
3M Co. 119,556 15,420,334
Tyco International Ltd. 610,833 11,593,610
--------------
141,204,766
--------------
Media--3.82%
AOL Time Warner Inc. 1 1,375,695 22,134,933
Clear Channel
Communications Inc. 1 187,851 7,963,004
Comcast Corp. Class A 1 688,068 20,765,892
Dow Jones & Co. Inc. 24,955 1,073,814
Gannett Co. Inc. 82,157 6,310,479
Knight Ridder Inc. 24,978 1,721,734
McGraw-Hill Companies
Inc. (The) 58,383 3,619,746
Meredith Corp. 15,189 668,316
New York Times Co.
Class A 46,187 2,101,509
Tribune Co. 94,503 4,564,495
Univision
Communications Inc.
Class A 1 70,087 2,130,645
Viacom Inc. Class B 1 537,241 23,455,942
Walt Disney Co. (The) 625,007 12,343,888
--------------
108,854,397
--------------
Metal Fabricate/Hardware--0.01%
Worthington Industries
Inc. 26,211 351,227
--------------
351,227
--------------
Mining--0.45%
Alcoa Inc. 258,536 6,592,668
Freeport-McMoRan
Copper & Gold Inc. 44,434 1,088,633
Newmont Mining Corp. 123,008 3,992,840
Phelps Dodge Corp. 1 27,218 1,043,538
--------------
12,717,679
--------------
182
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- ---------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------
Office/Business Equipment--0.19%
Pitney Bowes Inc. 71,726 $ 2,754,996
Xerox Corp. 1 239,090 2,531,963
--------------
5,286,959
--------------
Oil & Gas Producers--5.04%
Amerada Hess Corp. 27,488 1,351,860
Anadarko Petroleum Corp. 76,292 3,392,705
Apache Corp. 49,420 3,215,265
Burlington Resources Inc. 61,478 3,324,115
ChevronTexaco Corp. 326,811 23,595,754
ConocoPhillips 207,620 11,377,576
Devon Energy Corp. 70,581 3,769,025
EOG Resources Inc. 35,121 1,469,463
Exxon Mobil Corp. 2,043,444 73,380,074
Kerr-McGee Corp. 30,828 1,381,094
Kinder Morgan Inc. 37,325 2,039,811
Marathon Oil Corp. 94,903 2,500,694
Nabors Industries Ltd. 1 44,528 1,761,082
Noble Corp. 1 40,946 1,404,448
Occidental Petroleum
Corp. 115,990 3,891,465
Rowan Companies Inc. 1 28,598 640,595
Sunoco Inc. 23,419 883,833
Transocean Inc. 1 97,775 2,148,117
Unocal Corp. 78,897 2,263,555
--------------
143,790,531
--------------
Oil & Gas Services--0.59%
Baker Hughes Inc. 102,960 3,456,367
BJ Services Co. 1 48,324 1,805,385
Halliburton Co. 133,688 3,074,824
Schlumberger Ltd. 178,107 8,472,550
--------------
16,809,126
--------------
Packaging & Containers--0.13%
Ball Corp. 17,419 792,739
Bemis Co. 16,219 759,049
Pactiv Corp. 1 48,725 960,370
Sealed Air Corp. 1 25,795 1,229,390
--------------
3,741,548
--------------
Pharmaceuticals--8.32%
Abbott Laboratories 477,500 20,895,400
Allergan Inc. 39,827 3,070,662
AmerisourceBergen Corp. 33,753 2,340,771
Bristol-Myers Squibb Co. 592,937 16,098,240
Cardinal Health Inc. 136,621 8,784,730
Forest Laboratories Inc. 1 111,032 6,079,002
King Pharmaceuticals Inc. 1 73,725 1,088,181
Lilly (Eli) & Co. 343,692 23,704,437
MedImmune Inc. 1 77,084 2,803,545
Merck & Co. Inc. 685,958 41,534,757
Pfizer Inc. 2,415,319 82,483,144
Schering-Plough Corp. 449,311 8,357,185
Watson Pharmaceuticals
Inc. 1 32,737 1,321,593
Wyeth 406,230 18,503,777
--------------
237,065,424
--------------
Pipelines--0.11%
Dynegy Inc. Class A 113,732 477,674
El Paso Corp. 183,276 1,480,870
Williams Companies Inc. 158,234 1,250,049
--------------
3,208,593
--------------
Real Estate Investment Trusts--0.31%
Apartment Investment
& Management Co.
Class A 28,708 993,297
Equity Office
Properties Trust 123,302 3,330,387
Equity Residential 83,332 2,162,465
Simon Property Group
Inc. 57,790 2,255,544
--------------
8,741,693
--------------
Retail--7.18%
AutoNation Inc. 1 86,248 1,355,819
AutoZone Inc. 1 27,412 2,082,490
Bed Bath & Beyond Inc. 1 90,305 3,504,737
Best Buy Co. Inc. 1 98,555 4,328,536
Big Lots Inc. 1 35,635 535,950
Circuit City Stores Inc. 63,614 559,803
CVS Corp. 120,494 3,377,447
Darden Restaurants Inc. 51,640 980,127
Dillards Inc. Class A 25,845 348,132
Dollar General Corp. 101,955 1,861,698
eBay Inc. 1 97,118 10,117,753
Family Dollar Stores Inc. 52,597 2,006,576
Federated Department
Stores Inc. 57,385 2,114,637
Gap Inc. (The) 272,389 5,110,018
Home Depot Inc. 702,973 23,282,466
Kohls Corp. 1 103,632 5,324,612
Limited Brands Inc. 159,860 2,477,830
Lowe's Companies Inc. 238,541 10,245,336
May Department Stores
Co. (The) 88,197 1,963,265
McDonald's Corp. 389,177 8,585,245
Nordstrom Inc. 41,495 809,982
Office Depot Inc. 1 94,427 1,370,136
Penney (J.C.) Co. Inc.
(Holding Co.) 82,228 1,385,542
RadioShack Corp. 51,537 1,355,938
Sears, Roebuck and Co. 94,046 3,163,707
Staples Inc. 1 148,902 2,732,352
Starbucks Corp. 1 119,425 2,928,301
Target Corp. 278,589 10,541,808
Tiffany & Co. 44,412 1,451,384
TJX Companies Inc. 156,322 2,945,106
Toys R Us Inc. 1 65,090 788,891
Walgreen Co. 313,507 9,436,561
Wal-Mart Stores Inc. 1,339,656 71,899,338
Wendy's International Inc. 34,804 1,008,272
Yum! Brands Inc. 1 89,575 2,647,837
--------------
204,627,632
--------------
Semiconductors--3.15%
Advanced Micro Devices
Inc. 1 105,623 677,043
Altera Corp. 1 117,071 1,919,964
Analog Devices Inc. 1 111,726 3,890,299
Applied Materials Inc. 1 506,961 8,040,401
Applied Micro Circuits
Corp. 1 92,844 561,706
Broadcom Corp.
Class A 1 85,644 2,133,392
Intel Corp. 1,999,021 41,547,652
KLA-Tencor Corp. 1 58,197 2,705,579
Linear Technology Corp. 95,716 3,083,012
LSI Logic Corp. 1 114,644 811,680
Maxim Integrated
Products Inc. 99,292 3,394,793
183
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ---------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- ---------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------
Micron Technology
Inc. 1 186,110 $ 2,164,459
National Semiconductor
Corp. 1 55,765 1,099,686
Novellus Systems Inc. 1 45,831 1,678,377
NVIDIA Corp. 1 48,617 1,118,677
PMC-Sierra Inc. 1 51,603 605,303
QLogic Corp. 1 28,713 1,387,699
Teradyne Inc. 1 56,517 978,309
Texas Instruments Inc. 528,964 9,309,766
Xilinx Inc. 1 103,178 2,611,435
--------------
89,719,232
--------------
Software--5.30%
Adobe Systems Inc. 70,893 2,273,539
Autodesk Inc. 34,262 553,674
Automatic Data
Processing Inc. 183,030 6,197,396
BMC Software Inc. 1 71,398 1,165,929
Citrix Systems Inc. 1 50,701 1,032,272
Computer Associates
International Inc. 176,798 3,939,059
Compuware Corp. 1 115,478 666,308
Electronic Arts Inc. 1 44,530 3,294,775
First Data Corp. 228,881 9,484,829
Fiserv Inc. 1 59,072 2,103,554
IMS Health Inc. 74,512 1,340,471
Intuit Inc. 1 62,843 2,798,399
Mercury Interactive
Corp. 1 26,090 1,007,335
Microsoft Corp. 3,284,408 84,113,689
Novell Inc. 1 112,371 346,103
Oracle Corp. 1 1,604,156 19,281,955
Parametric Technology
Corp. 1 80,582 245,775
PeopleSoft Inc. 1 96,786 1,702,466
Siebel Systems Inc. 1 149,663 1,427,785
Symantec Corp. 1 45,164 1,980,893
Yahoo! Inc. 1 184,503 6,044,318
--------------
151,000,524
--------------
Telecommunication Equipment--0.86%
ADC Telecommunications
Inc. 1 244,884 570,090
Andrew Corp. 1 29,996 275,963
Avaya Inc. 1 116,495 752,558
CIENA Corp. 1 143,902 746,851
Comverse Technology
Inc. 1 57,503 864,270
JDS Uniphase Corp. 1 437,232 1,534,684
Lucent Technologies
Inc. 1 1,265,077 2,568,106
Motorola Inc. 708,304 6,679,307
QUALCOMM Inc. 241,465 8,632,374
Scientific-Atlanta Inc. 45,695 1,089,369
Tellabs Inc. 1 126,198 829,121
--------------
24,542,693
--------------
Telecommunications--1.89%
AT&T Wireless Services
Inc. 1 829,479 6,810,023
Citizens Communications
Co. 1 86,627 1,116,622
Corning Inc. 1 387,106 2,860,713
Nextel Communications
Inc. Class A 1 314,443 5,685,129
Qwest Communications
International Inc. 1 518,419 2,478,043
Sprint Corp. (PCS Group) 1 312,903 1,799,192
Verizon Communications
Inc. 841,332 33,190,547
--------------
53,940,269
--------------
Telephone--1.95%
Alltel Corp. 95,202 4,590,640
AT&T Corp. 240,476 4,629,163
BellSouth Corp. 565,095 15,048,480
CenturyTel Inc. 43,751 1,524,722
SBC Communications
Inc. 1,016,351 25,967,768
Sprint Corp. (FON Group) 274,967 3,959,525
--------------
55,720,298
--------------
Textiles--0.07%
Cintas Corp. 52,119 1,847,097
--------------
1,847,097
--------------
Tobacco--1.08%
Altria Group Inc. 619,507 28,150,398
R.J. Reynolds Tobacco
Holdings Inc. 25,871 962,660
UST Inc. 51,124 1,790,874
--------------
30,903,932
--------------
Toys/Games/Hobbies--0.12%
Hasbro Inc. 53,038 927,635
Mattel Inc. 134,459 2,543,964
--------------
3,471,599
--------------
Transportation--1.39%
Burlington Northern
Santa Fe Corp. 114,098 3,244,947
CSX Corp. 65,329 1,965,750
FedEx Corp. 91,251 5,660,300
Norfolk Southern Corp. 119,193 2,288,506
Union Pacific Corp. 77,708 4,508,618
United Parcel Service
Inc. Class B 344,231 21,927,515
--------------
39,595,636
--------------
Trucking & Leasing--0.02%
Ryder System Inc. 19,154 490,725
--------------
490,725
--------------
TOTAL COMMON STOCKS
(Cost: $2,840,355,304) 2,748,672,117
--------------
184
Schedule of Investments--(Continued)
June 30, 2003 (Unaudited)
- ----------------------------------------------------------------
S&P 500 Index
Master Portfolio
- ----------------------------------------------------------------
Shares or
Security Principal Value
- ----------------------------------------------------------------
SHORT TERM INSTRUMENTS--8.41%
- ----------------------------------------------------------------
Barclays Global
Investors Funds
Institutional Money
Market Fund,
Institutional Shares 2 166,375,722 $ 166,375,722
Barclays Global
Investors Funds
Prime Money
Market Fund,
Institutional Shares 2 24,246,059 24,246,059
BlackRock Temp Cash
Money Market Fund 2 1,222,710 1,222,710
Short Term
Investment Co.--
Liquid Assets
Money Market
Portfolio 2 6,357,794 6,357,794
Short Term
Investment Co.--
Prime Money
Market Portfolio,
Institutional Shares 2 2,694,007 2,694,007
Abbey National Treasury Services PLC, Time Deposit
1.38%, 07/01/03 2 $1,616,404 1,616,404
Beta Finance Inc., Floating Rate Note
1.06%, 05/20/04 2 1,346,801 1,346,801
1.17%, 08/15/03 2 2,020,618 2,020,618
Canadian Imperial Bank of Commerce,
Floating Rate Note
1.07%, 10/30/03 2 1,077,602 1,077,602
CC USA Inc., Floating Rate Note
1.10%, 04/19/04 2 1,185,304 1,185,304
1.31%, 05/24/04 2 2,693,737 2,693,737
Dorada Finance Inc., Floating Rate Note
1.06%, 05/20/04 2 2,693,602 2,693,602
Five Finance Inc., Floating Rate Note
1.15%, 04/15/04 2 1,347,003 1,347,003
HBOS Treasury Services PLC, Floating Rate Note
1.27%, 06/24/04 2 2,694,007 2,694,007
Holmes Financing PLC, Floating Rate Bond
1.14%, 04/15/04 2 538,801 538,801
K2 USA LLC, Floating Rate Note
1.15%, 05/17/04 2 1,346,936 1,346,936
1.22%, 04/13/04 2 1,346,936 1,346,936
Links Finance LLC, Floating Rate Note
0.98%, 06/28/04 2 1,346,734 1,346,734
1.08%, 03/29/04 2 1,347,003 1,347,003
1.29%, 05/04/04 2 1,346,936 1,346,936
Sigma Finance Inc., Floating Rate Note
1.13%, 10/15/03 2 2,693,872 2,693,872
U.S. Treasury Bill
0.85%, 09/25/03 3 4 9,450,000 9,430,627
White Pine Finance LLC, Floating Rate Note
1.07%, 04/20/04 2 1,347,003 1,347,003
1.14%, 05/17/04 2 1,616,404 1,616,404
--------------
TOTAL SHORT TERM INSTRUMENTS
(Cost: $239,934,156) 239,932,622
--------------
Security Principal Value
- ---------------------------------------------------------------
REPURCHASE AGREEMENTS--0.07%
- ---------------------------------------------------------------
Bank of America NA
Repurchase Agreement,
dated 06/30/03, due
07/01/03, with an
effective yield of
1.30%. 2 $1,347,003 $ 1,347,003
Merrill Lynch
Government
Securities Inc.
Repurchase Agreement,
dated 06/30/03, due
07/01/03, with an
effective yield of
1.38%. 2 538,801 538,801
--------------
TOTAL REPURCHASE AGREEMENTS
(Cost: $1,885,804) 1,885,804
--------------
TOTAL INVESTMENTS IN
SECURITIES--104.89%
(Cost $3,082,175,264) 2,990,490,543
Other Assets, Less Liabilities--(4.89%) (139,522,597)
--------------
NET ASSETS--100.00% $2,850,967,946
==============
Notes to the Schedule of Investments:
1 Non-income earning securities.
2 All or a portion of this security represents investments of securities
lending collateral.
3 Yield to Maturity.
4 This U.S. Treasury Bill is held in a segregated account in connection with
the Master Portfolio's holdings of index futures contracts. See Note 1.
The accompanying notes are an integral part of these financial statements. 185
Schedule of Investments
June 30, 2003 (Unaudited)
- --------------------------------------------
U.S. Equity Index
Master Portfolio Value
- --------------------------------------------
MASTER PORTFOLIOS--100.00%
- --------------------------------------------
Extended Index Master
Portfolio $ 94,317,780
S&P 500 Index Master
Portfolio 350,247,667
------------
TOTAL MASTER PORTFOLIOS 444,565,447
------------
TOTAL INVESTMENTS--100.00% 444,565,447
Other Assets Less
Liabilities--0.00% (14,118)
------------
NET ASSETS--100.00% $444,551,329
============
186 The accompanying notes are an integral part of these financial statements.
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Vantagepoint securities are distributed by ICMA-RC Services LLC,
a broker-dealer affiliate of ICMA-RC, member NASD/SIPC.
[Graphic]
The Vantagepoint(R)
funds
777 North Capitol Street, NE
Washington, DC 20002-4240
Toll-Free 1-800-669-7400
Para asistencia en Espanol llame al 1-800-669-8216
www.icmarc.org
SAR000-001-200306-188
Item 2 (Code of Ethics): Not applicable to this semi-annual report filing.
Item 3 (Audit Committee Financial Expert): Not applicable to this semi-annual
report filing.
Item 4 (Principal Accountant Fees and Services): Not applicable to this semi-
annual report filing.
Item 5 (Audit Committee of Listed Registrants): Not applicable to this filing.
Item 6 (Reserved)
Item 7 (Disclosure of Proxy Voting Policies & Procedures for Closed-end
Management Investment Companies): Not applicable to this filing.
Item 8 (Reserved)
Item 9 (Controls and Procedures):
Sub-item 9a (Disclosure Controls and Procedures). The Principal
Executive and Principal Financial Officers have concluded that the
registrant's Disclosure Controls and Procedures are effective based on
their evaluation of the Disclosure Controls and Procedures as of a date
within 90 days of the filing of this report.
Sub-item 9b (Internal Controls). There were no significant changes in
the registrant's internal controls or in other factors that could
significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
Item 10 (Exhibits):
Sub-item 10a - Not applicable to this semi-annual report filing.
Sub-item 10b - Certification Exhibits are attached.
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.
The Vantagepoint Funds
By: /s/ Joan McCallen
---------------------------------------------------------
Joan McCallen, Principal Executive Officer
Date September 3, 2003
----------------------------------
Form N-CSR(3 of 3)
------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities, and on the
dates indicated.
By: /s/ Joan McCallen
------------------------------------------------------
Joan McCallen, Principal Executive Officer
Date September 3, 2003
-----------------------------
By: /s/ John Bennett
-------------------------------------------------
John Bennett, Principal Financial Officer
Date September 3, 2003
-----------------------------------