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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
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The Vantagepoint Funds
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(Exact name of registrant as specified in charter)
777 North Capitol Street, NE, Washington D.C. 20002-4240
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(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
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(Name and address of agent for service)
Registrant's telephone number, including area code: 202-962-4600
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Date of fiscal year end: 12/31/03
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Date of reporting period: 01/01/03 - 12/31/03
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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.
Item 1 (Report to Shareholders): The annual report is attached.
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THE VANTAGEPOINT FUNDS
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ANNUAL REPORT
DECEMBER 31, 2003
[LOGO]
THE VANTAGEPOINT(R)
FUNDS
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Table of Contents
Letter from the President of The Vantagepoint Funds ....................... 1
Letter from Vantagepoint Investment Advisers, LLC ......................... 2
Management's Discussion of Fund Performance ............................... 5
Vantagepoint Funds
Report of Independent Auditors ......................................... 53
Statements of Assets and Liabilities.................................... 54
Statements of Operations ............................................... 58
Statements of Changes in Net Assets .................................... 62
Financial Highlights ................................................... 73
Notes to the Financial Statements ...................................... 97
Schedules of Investments................................................ 119
Master Investment Portfolio
Report of Independent Auditors.......................................... 173
Statements of Assets and Liabilities.................................... 174
Statements of Operations ............................................... 175
Statements of Changes in Net Assets .................................... 176
Notes to the Financial Statements ...................................... 178
Schedules of Investments................................................ 187
Joan McCallen 777 North Capitol Street, NE
President Washington, DC 20002-4240
LETTER FROM THE PRESIDENT OF THE VANTAGEPOINT FUNDS
Dear Shareholders:
Expectations for rising corporate profits, continued low interest rates and a
reviving economy contributed to a robust recovery in the equity markets in 2003,
which is heartening news for those who stayed with their asset allocations
through the last three down years.
We encourage our investors to take a long-term perspective, focused on building
assets for their retirement years. The steady historical performance of the
Vantagepoint Funds has demonstrated the value of our multi-management investment
philosophy, which is designed to offer our mutual fund investors the opportunity
to diversify their investments between different investment managers with
complementary investment styles.
This was certainly the case in the past six months, when several of our funds
performed at or above peer groups of like mutual funds. Of course, past
performance is no guarantee of future results. Our Investment Division provides
more details on our funds' performance in this annual report.
The turnaround in the equity markets was just one of the major stories in 2003.
Unfortunately, actions by some mutual fund firms drew the attention of
regulators who found trading irregularities that were contrary to the interests
of shareholders and in some cases illegal.
At the Vantagepoint Funds and Vantagepoint Investment Advisors, LLC, our
investment adviser, we follow strict guidelines to seek to prevent late trading
and market timing abuses. We sent our policies to you in a previous letter and
they are available on our Web site at www.icmarc.org. Our standard of integrity
is tied to our roots in the public sector.
For our Vantagepoint IRA investors, we continued to provide new services to
enhance our product, which we believe is the most competitive available to
public sector investors. We received welcome praise for our VantageLink Web site
from DALBAR, an independent consulting service that sets high criteria for
services in the retirement plan industry.
During the year, we added new services to make retirement planning easier. Our
eDelivery service helps you reduce your paperwork burden by presenting your
statements online, and VantageView is our one-stop source to help you keep track
of all of your online financial information.
We also launched our Sidecar, or deemed, IRA product, which has proved popular
with our plan sponsors. Sidecar integrates an IRA into the employer's retirement
plan, offering a significant benefit to participants with little administrative
responsibility for the employer.
All of our work, whether through The Vantagepoint Funds or our related products
and services, is dedicated to building retirement security for our public sector
employees and their families. We look forward to another year of serving you,
our clients.
Sincerely,
/s/ JOAN MCCALLEN
Joan McCallen
[LOGO]
The Vantagepoint(R)
funds
* This information is being provided for educational purposes and is not
intended to be construed as or relied upon as investment advice. The ICMA
Retirement Corporation does not offer specific tax or legal advice.
Individuals are advised to consider any new investment strategies carefully
prior to implementing. Please consult the current Vantagepoint Funds
prospectus carefully prior to investing any money. Vantagepoint Funds are
distributed by ICMA-RC Services, LLC, a broker-dealer wholly owned
subsidiary of ICMA-RC, member NASD/SIPC. 1-800-669-7400. VantagePlanning
fee based financial planning services are offered through the ICMA
Retirement Corporation, a federally registered investment adviser. Please
consult all disclosure documents prior to initiating any plan.
1
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LETTER FROM VANTAGEPOINT INVESTMENT ADVISERS 777 North Capitol Street, NE
Washington, DC 20002-4240
Dear Shareholders:
In a welcome turnaround from the previous three years, U.S. and foreign stocks
produced strong positive returns in 2003. At the same time, bonds reversed their
three-year trend of outperforming stocks. A sampling of the year's returns:*
[DATA BELOW IS REPRESENTED BY A BAR CHART IN THE ORIGINAL REPORT]
Lehman Brothers Aggregate Bond Index 4.11%
(Investment-grade U.S. bonds)
S&P 500 Index 28.70%
(Larger U.S. Stocks)
Wilshire 5000 Total Market Index 31.65%
(All U.S. stocks)
MSCI EAFE Index 39.15%
(Non-U.S. developed-country stocks)
Wilshire 4500 Index 43.85%
(Smaller U.S. stocks)
In this rewarding environment, many of the Vantagepoint Funds not only delivered
double-digit returns but exceeded the returns of their respective benchmarks.
Fund Returns
Vantagepoint Actively Managed Funds Year Ended December 31, 2003
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Vantagepoint Money Market Fund 0.60%
Vantagepoint Income Preservation Fund 3.51%
Vantagepoint US Government Securities Fund 1.66%
Vantagepoint Asset Allocation Fund 25.97%
Vantagepoint Equity Income Fund 33.09%
Vantagepoint Growth & Income Fund 30.49%
Vantagepoint Growth Fund 28.71%
Vantagepoint Aggressive Opportunities Fund 44.68%
Vantagepoint International Fund 31.31%
Vantagepoint Index Funds Class I Class II
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Vantagepoint Core Bond Index Fund 3.59% 3.88%
Vantagepoint 500 Stock Index Fund 27.98% 28.24%
Vantagepoint Broad Market Index Fund 31.08% 31.30%
Vantagepoint Mid/Small Company Index Fund 42.17% 42.53%
Vantagepoint Overseas Equity Index Fund 37.75% 37.85%
Vantagepoint Model Portfolio Funds
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Vantagepoint Savings Oriented Fund 9.93%
Vantagepoint Conservative Growth Fund 14.64%
Vantagepoint Traditional Growth Fund 20.68%
Vantagepoint Long-Term Growth Fund 27.21%
Vantagepoint All-Equity Growth Fund 33.26%
A discussion of each Fund's 2003 result follows, beginning on page 5.
*This information is being provided for educational purposes and should not be
construed as or relied upon as investment advice or as a solicitation for a
particular product or security. Performance reflected above represents past
performance. The Lehman Brothers Aggregate Bond Index consists of
investment-grade U. S. fixed income securities. The S&P 500 Index is an index
comprised of 500 larger capitalization stocks traded in the U. S. The Wilshire
5000 Total Market Index is composed of U. S. domiciled companies for which daily
pricing is available and is a broad measure of the U. S. equity market. The
Wilshire 4500 Index consists of all stocks in the Wilshire 5000 Total Market
Index except those included in the S&P 500 Index. The MSCI/EAFE Index consists
of approximately 1,100 securities listed on the stock exchanges of developed
markets of countries in Europe, Australasia and the Far East. A fund's portfolio
may differ significantly from the securities held in the indexes. Indexes are
not available for direct investment; therefore, their performance does not
reflect the expenses associated with the active management of an actual
portfolio. Investment returns and principal value of an investment in the funds
will fluctuate so that an investor's shares, when redeemed, may be worth more or
less than their original cost. Past performance is not indicative of future
returns. Individuals are advised to consider any new investment strategies
carefully prior to implementing. Please consult the current Vantagepoint Funds'
prospectus, which contains additional information on management fees, other fund
expenses, and investment risks and objectives carefully before investing any
money. The Vantagepoint Funds are distributed by ICMA-RC Services, LLC, a
broker-dealer wholly owned subsidiary of ICMA-RC, member NASD/SIPC.
1-800-669-7400
2 [LOGO]
Vantagepoint(R) Investment Advisers, LLC
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Improved Conditions for Stocks
Equity investors deserved a respite after three disappointing years from 2000 to
2002, and the markets responded. Several factors drove stocks higher for the
year:
o First, the global economic picture began to improve. The 2003 tax cuts
put more cash in U.S. consumers' pockets. Additionally, signs of
accelerated growth gave businesses the confidence to spend. As the
U.S. economy perked up, it provided a boost to other major world
economies as evidenced by positive GDP growth in the EU and Japan.
o Second, corporate earnings rose as the economy gained steam. Operating
earnings for S&P 500 Index companies rose at double-digit rates each
quarter in 2003.
o Third, interest rates were low in absolute terms. Interest rates did
rise in the second half of 2003 but remained low by historic
standards. And the Federal Reserve, which controls the overnight
lending rate, kept that rate below the rate of inflation as insurance
against a slip back into recession.
o Fourth, geopolitical uncertainty was reduced by the swiftness of major
military action in Iraq. Additionally, a second calendar year without
major terrorist acts on U.S. soil lessened security concerns.
An additional factor contributed to the outperformance of international stocks
compared to U.S. stocks--the decline of the U.S. dollar. The dollar weakened
against major world currencies like the euro, the yen and the British pound. For
U.S.-based investors, this added to the already positive returns of foreign
stocks in local currencies.
While equity investors were thrilled by these returns, it is too early to know
if 2003 was the start of another bull market or a temporary time-out from the
previous years' bear market. Some of the risks that weighed the markets down
over the past several years have lessened. Other risks, such as rising interest
rates, are higher today and still other risks can't be estimated, or even known.
As always, one of the individual investor's best strategies for coping with
investment uncertainty is to maintain a well-diversified portfolio that is
consistent with your own individual time horizon and tolerance for risk.
Bond Market in Retreat
The bond market changed direction in mid-2003 as well. Interest rates fell to
45-year lows in the first half of the year, and the Federal Open Market
Committee reduced the overnight lending rate from 1.25% to 1.00% in June. The
bond market dynamic changed, however, as the economic outlook grew more
positive. Intermediate- and long-term interest rates began to rise at mid-year,
which pressured bond prices lower.
Short-term rates, on the other hand, stayed low, in line with the 1.00%
overnight lending rate. For this reason, money market funds produced minimal
positive returns in 2003.
Looking ahead, it is unlikely that bonds will continue to produce the consistent
positive returns of the past few years. Typically, interest rates rise when the
economy heats up, which causes bond prices to drop. And even if interest rates
don't rise, they have little room to fall further.
Investment Changes in 2003 and 2004
One of Vantagepoint Investment Advisers' (VIA's) key responsibilities is to
strive to continue to maintain the historically competitive performance of The
Vantagepoint Funds. From time to time, VIA recommends proactive changes in the
Funds to the Vantagepoint Funds' Board of Directors. In late 2003 we recommended
a change of subadviser and investment strategy for the US Government Securities
Fund. Effective at the end of 2003, Mellon Capital Management Corporation
replaced Seix Investment Advisors, Inc. as the US Government Securities Fund's
subadviser. Mellon will seek to employ a very risk-controlled strategy that
attempts to match the performance of the Lehman Intermediate Government Bond
Index, with lower management fees than the previous subadviser.
3
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The Board of Directors approved several other changes in late 2003 for
implementation in the first quarter of 2004. First, Mellon Capital Management
Corporation will assume subadvisory responsibility for the five Vantagepoint
Index Funds. Mellon will separately manage the Funds' portfolios to seek to
match the performance of their existing benchmarks. Fund expense ratios are not
expected to change. Previously, the Index Funds invested all of their assets in
a "Master Portfolio" managed by Barclays Global Fund Advisors. Second, the Board
approved some minor changes to the component fund weights of three of the five
Model Portfolio Funds. VIA recommended these changes to seek to further
strengthen the return/risk profiles of these Funds.
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 as investment advice. It does not have regard to the
individual investment objectives, financial situation or the particular needs of
any specific person who may receive this report. Investors should seek financial
advice regarding the appropriateness of investing in any securities or using any
investment strategies discussed or recommended here and should understand that
statements regarding future prospects may not be realized. Investors should note
that returns, if any, from investing in securities, will fluctuate and that each
security price or value may rise or fall. Accordingly, investors may receive
back less than originally invested. Past performance is not an indicator of
future performance. Vantagepoint Funds are distributed by ICMA-RC Services, LLC,
a broker-dealer wholly owned subsidiary of ICMA-RC, member NASD/SIPC.
1-800-669-7400.
4
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VANTAGEPOINT MONEY MARKET FUND
The Vantagepoint Money Market Fund's objective is to seek maximum current
income, consistent with maintaining liquidity and a stable share price of $1.00.
The Fund pursues this objective by investing all of its assets in the Short Term
Investments Co. Liquid Assets Portfolio which is managed by AIM Advisors, Inc.
Portfolio holdings are high-quality, short-term money market instruments, such
as short-term U.S. Government and Agency securities and short-term corporate
obligations.
PERFORMANCE
The Vantagepoint Money Market Fund returned 0.60% in 2003. The Fund's benchmark,
the 30-day U.S. Treasury bill, returned 1.02%, and its peer group of money
market funds, the MFR First Tier Retail Average, returned 0.49%.
COMMENTARY
Interest rates fell to 45-year lows in the first half of 2003 and the Federal
Open Market Committee lowered the overnight lending rate from 1.25% to 1.00%. In
the second half of the year, however, economic data releases began to point to
an acceleration of growth in the U.S. This information drove medium- and
long-term interest rates higher, while leaving short-term rates unchanged.
Despite indications that the U.S. economy is on a firmer footing, inflation
remained tame at just 1.9% in 2003. Low inflation and slow job growth gave the
Federal Open Market Committee the flexibility to hold the overnight lending rate
at 1.00% through year-end to reinforce the economic expansion. The AIM
Portfolio's average maturity was 40 days at year-end. The AIM Portfolio has the
highest quality rating for money market funds, with all securities rated A-1/P-1
by Moody's Investors Service.*
* Moody's Investors Service is one of the leading providers of independent
credit ratings and research to the capital markets. Moody's publishes
credit opinions, research, and ratings on fixed income securities, issuers
of securities and other credit obligations.
5
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VANTAGEPOINT MONEY MARKET FUND VS. U.S. T-BILLS (30 DAY) AND MFR FIRST TIER
RETAIL AVERAGE: GROWTH OF $10,000 INVESTED MARCH 1, 1999
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[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
MFR First
Tier Retail US T-Bills
Vantagepoint Average (30 Day)
Money (no fees, (no fees,
Market taxes, or taxes, or
Fund expenses) expenses)
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,038 10,035 10,043
10,075 10,069 10,080
10,111 10,104 10,114
Jun 30, 1999 10,148 10,139 10,154
10,188 10,175 10,193
10,228 10,212 10,232
10,269 10,251 10,272
10,312 10,291 10,312
10,355 10,332 10,349
Dec 31, 1999 10,401 10,374 10,395
10,447 10,418 10,437
10,491 10,461 10,482
10,539 10,506 10,532
10,588 10,552 10,580
10,640 10,599 10,633
Jun 30, 2000 10,694 10,649 10,676
10,750 10,700 10,727
10,806 10,752 10,781
10,860 10,803 10,836
10,917 10,855 10,897
10,972 10,907 10,952
Dec 31, 2000 11,029 10,959 11,007
11,083 11,009 11,066
11,127 11,056 11,108
11,174 11,098 11,154
11,215 11,138 11,198
11,254 11,174 11,234
Jun 30, 2001 11,288 11,206 11,266
11,320 11,236 11,300
11,353 11,265 11,335
11,381 11,290 11,366
11,403 11,311 11,392
11,421 11,328 11,412
Dec 31, 2001 11,437 11,343 11,428
11,451 11,355 11,444
11,465 11,367 11,459
11,480 11,378 11,474
11,494 11,390 11,492
11,508 11,401 11,509
Jun 30, 2002 11,520 11,412 11,524
11,533 11,422 11,541
11,546 11,433 11,557
11,557 11,443 11,574
11,570 11,452 11,590
11,580 11,460 11,603
Dec 31, 2002 11,590 11,467 11,616
11,598 11,474 11,628
11,605 11,480 11,638
11,612 11,485 11,650
11,619 11,491 11,661
11,626 11,496 11,671
Jun 30, 2003 11,632 11,501 11,683
11,636 11,505 11,691
11,641 11,508 11,699
11,646 11,512 11,709
11,650 11,516 11,717
11,655 11,519 11,725
Dec 31, 2003 11,659 11,523 11,735
Source for Benchmark Returns: iMoneyNet & Ibbotson Associates
VANTAGEPOINT MONEY MARKET FUND
Total Return for the periods ended December 31, 2003
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One Year 0.60%
Three Years 1.86%
Since Inception 3.21%
Fund Inception Date March 1, 1999
Past performance does not guarantee future results. Investment returns will
fluctuate. While the Fund seeks to maintain a stable net asset value of $1 per
share, there is no guarantee that it will do so and it is still possible to lose
money by investing in the Fund. All returns reflect reinvested dividends but do
not include the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. Please consult the current
prospectus carefully before investing any money. Vantagepoint Funds are
distributed by ICMA-RC Services, LLC, a broker-dealer wholly owned subsidiary of
ICMA-RC, member NASD/SIPC. 1-800-669-7400.
This fund's peer benchmark, the MFR First Tier Retail Average, measures the
performance of a group of approximately 600 retail money market funds. This
fund's market benchmark is the 30-day Treasury Bill. The market benchmark is
unmanaged and does not reflect the cost of portfolio management or trading. The
Fund's portfolio differs significantly from the market index, which is a single
security.
6
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VANTAGEPOINT INCOME PRESERVATION FUND
The Vantagepoint Income Preservation Fund seeks to offer a high level of current
income consistent with preserving principal and seeking to maintain a stable net
asset value per share.
PERFORMANCE
The Vantagepoint Income Preservation Fund returned 3.51% in 2003. The Fund's
benchmark, the 91-day U.S. Treasury bill, returned 1.15%. The Fund outperformed
its benchmark, the 91-day U.S. Treasury bill, due to longer-than-benchmark
maturity.
COMMENTARY
Interest rates fell to 45-year lows in the first half of 2003 and the Federal
Open Market Committee lowered the overnight lending rate from 1.25% to 1.00%. In
the second half of the year, however, economic data releases began to point to
an acceleration of economic growth in the U.S. This information drove interest
rates higher.
Because interest rates and bond prices move in opposite directions, the U.S.
bond market posted more modest returns than in the previous three years.
Corporate and other bonds performed better than U.S. Government and governmental
agency bonds in this environment, because their extra yield provided a higher
cushion against bond price declines.
Despite indications that the U.S. economy is on a firmer footing, inflation
remained tame at just 1.9% in 2003. Low inflation and slow job growth gave the
Federal Open Market Committee the flexibility to hold the overnight lending rate
at 1.00% through year-end to reinforce the economic expansion.
The duration of the Fund's portfolio at year end 2003 (similar to average
maturity adjusted for cash flows) was 2.8 years and the average credit quality
rating of its portfolio of securities was Aaa(1) (Moody's highest rating). As of
December 31, the Fund's asset allocation was 24 percent corporate bonds, 31
percent mortgage-backed securities, three percent asset-backed securities, 24
percent U.S. Treasuries, nine percent agency securities, and nine percent cash.
The Income Preservation Fund is available to IRA investors and the Vantagepoint
Model Portfolio Funds for investment.*
1 Moody's Investors Service is one of the leading providers of independent
credit ratings and research to the capital markets. Moody's publishes
credit opinions, research, and ratings on fixed income securities, issuers
of securities and other credit obligations.
Bonds and preferred stock which are rated Aaa are judged to be of the best
quality. They carry the smallest degree of investment risk and are
generally referred to as "gilt edged." Interest payments are protected by a
large or by an exceptionally stable margin and principal is secure. While
the various protective elements are likely to change, such changes as can
be visualized are most unlikely to impair the fundamentally strong position
of such issues.
* Please consult the current Vantagepoint Funds prospectus carefully prior to
investing any money. A transaction fee of 2% may be applied to the value of
amounts transferred from the Income Preservation Fund. Please see the
prospectus for additional information. Vantagepoint securities are
distributed by ICMA-RC Services, LLC, a broker-dealer wholly owned
subsidiary of the ICMA Retirement Corporation, member NASD/SIPC. ICMA-RC
Services, LLC, 777 North Capitol Street NE, Washington, DC 20002-4240.
1-800-669-7400.
SUBADVISER DATA
Payden & Rygel
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Founded: 1983
Investment Style: Short-term bond management
Investment Approach: Pursues a value-added cash management approach.
7
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Pacific Investment Management Company, LLC (PIMCO)
Founded: 1971
Investment Style: Core bond management
Investment Approach: Seeks value-added through traditional sector and security
selection across a wide range of security types.
Wellington Management Company LLP
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Founded: 1928
Investment Style: Core bond management
Investment Approach: Seeks value-added through traditional sector and security
selection across core fixed income securities.
VANTAGEPOINT INCOME PRESERVATION FUND VS. U.S. T-BILLS (91 DAY) AND MFR
FIRST TIER RETAIL AVERAGE: GROWTH OF $10,000 INVESTED DECEMBER 4, 2000
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[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
MFR First
US. T-Bills Tier Retail
Vantagepoint (91 Day) Average
Income (no fees, (no fees,
Preservation taxes, or taxes, or
Fund expenses) expenses)
Dec 4, 2000 10,000 10,000 10,000
Dec 31, 2000 10,040 10,055 10,048
10,090 10,121 10,094
10,134 10,160 10,136
10,180 10,206 10,175
10,226 10,251 10,212
10,273 10,291 10,244
Jun 30, 2001 10,314 10,321 10,274
10,355 10,355 10,302
10,394 10,389 10,328
10,437 10,433 10,351
10,482 10,460 10,370
10,521 10,483 10,386
Dec 31, 2001 10,560 10,499 10,399
10,596 10,515 10,411
10,624 10,529 10,422
10,656 10,545 10,432
10,691 10,561 10,442
10,727 10,580 10,453
Jun 30, 2002 10,764 10,595 10,463
10,803 10,611 10,472
10,841 10,626 10,482
10,879 10,643 10,491
10,916 10,659 10,500
10,955 10,676 10,508
Dec 31, 2002 10,993 10,689 10,514
11,031 10,699 10,520
11,065 10,709 10,526
11,099 10,721 10,531
11,133 10,731 10,536
11,167 10,742 10,541
Jun 30, 2003 11,200 10,757 10,545
11,234 10,764 10,548
11,265 10,773 10,552
11,293 10,784 10,555
11,322 10,792 10,559
11,352 10,801 10,562
Dec 31, 2003 11,380 10,811 10,565
Source for Benchmark Returns: iMoneyNet & Ibbotson Associates
VANTAGEPOINT INCOME PRESERVATION FUND
Total Return for the periods ended December 31, 2003
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One Year 3.51%
Three Years 4.26%
Since Inception 4.31%
Fund Inception Date December 4, 2000
Past performance does not guarantee future results. Investment returns will
fluctuate. While the Fund seeks to maintain a stable net asset value of $100 per
share, there is no guarantee that it will do so and it is still possible to lose
money by investing in the Fund. All returns reflect reinvested dividends but do
not include the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. Please consult the current
prospectus carefully before investing any money. Vantagepoint Funds are
distributed by ICMA-RC Services, LLC, a broker-dealer wholly owned subsidiary of
ICMA-RC, member NASD/SIPC. 1-800-669-7400.
This fund's benchmark is the 91 day Treasury bill. The benchmark is unmanaged
and does not reflect the costs of portfolio management or trading. The Fund's
portfolio differs significantly from the benchmark, which is a single security.
8
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VANTAGEPOINT US GOVERNMENT SECURITIES FUND
The Vantagepoint US Government Securities Fund's objective is to seek to offer
current income. The Fund pursues this objective by investing in U.S. Treasury
securities, U.S. government-sponsored agency mortgage-backed securities and U.S.
government agency securities. The Fund's subadviser seeks to add value by
purchasing Treasury, agency and mortgage-backed securities that offer attractive
returns, while maintaining an intermediate-term average maturity to seek to
control volatility.
PERFORMANCE
The US Government Securities Fund returned 1.66% in 2003. The Fund's market
benchmark, the Lehman Brothers Intermediate U.S. Government Bond Index, returned
2.30%. The Lipper Intermediate U.S. Government Funds Index, a group of mutual
funds with similar objectives, rose 2.17%. The Fund underperformed its market
benchmark because it held more longer-term securities than the benchmark did,
and those securities performed worse than shorter-term securities when interest
rates rose.
The Fund underperformed its peer group of mutual funds. The Fund's portfolio
holdings had a lower average maturity than other mutual funds with similar
objectives.
COMMENTARY
Interest rates fell to 45-year lows in the first half of 2003 and the Federal
Open Market Committee lowered the overnight lending rate from 1.25% to 1.00%. In
the second half of the year, however, economic data releases began to point to
an acceleration of growth in the U.S. This information drove medium- and
long-term interest rates higher. Because interest rates and bond prices move in
opposite directions, the U.S. bond market posted more modest returns than in the
previous three years.
Despite indications that the U.S. economy is on a firmer footing, inflation
remained tame at just 1.9% in 2003. Low inflation and slow job growth gave the
Federal Open Market Committee the flexibility to hold the overnight lending rate
at 1.00% through year-end to reinforce the economic expansion.
The current allocation of the Fund is 53 percent Treasuries, 41 percent U.S.
Government agency securities, three percent U.S. Government agency
mortgage-backed securities and three percent cash. At year-end, the Fund's
portfolio had a duration of 3.3 years and a weighted average credit quality
equivalent to bonds issued by U.S. government agencies. The Fund maintained an
average duration of 3.2 years over the course of the year, compared with 3.3
years for the Lehman Brothers Intermediate Government Bond index.
SUBADVISER DATA
Mellon Capital Management Corporation
- --------------------------------------------------------------------------------
Founded: 1983
Investment Style: U.S. Government securities, duration neutral
Investment Approach: Selects U.S. Treasury, U.S. government agency and agency
mortgage-backed securities.
9
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT US GOVERNMENT SECURITIES FUND VS. LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT BOND INDEX AND LIPPER INTERMEDIATE US GOVERNMENT FUNDS INDEX: GROWTH
OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Lehman Brothers
Intermediate Lipper
Vantagepoint Government Intermediate
US Government Bond Index US Government
Securities (no fees, taxes, Funds Index
Fund or expenses) (no taxes)
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,072 10,066 10,064
10,094 10,093 10,091
9,953 10,032 9,998
Jun 30, 1999 9,929 10,047 9,965
9,882 10,048 9,930
9,877 10,062 9,920
9,993 10,148 10,027
10,007 10,169 10,049
9,991 10,176 10,050
Dec 31, 1999 9,934 10,144 10,000
9,864 10,110 9,969
9,954 10,194 10,079
10,129 10,310 10,207
10,098 10,306 10,170
10,128 10,333 10,159
Jun 30, 2000 10,323 10,498 10,355
10,391 10,567 10,434
10,541 10,685 10,582
10,619 10,778 10,654
10,703 10,853 10,730
10,903 11,012 10,906
Dec 31, 2000 11,125 11,206 11,117
11,241 11,355 11,268
11,363 11,460 11,381
11,430 11,542 11,433
11,318 11,505 11,366
11,334 11,552 11,425
Jun 30, 2001 11,364 11,589 11,461
11,636 11,806 11,712
11,748 11,911 11,835
12,022 12,166 12,010
12,261 12,356 12,259
12,005 12,209 12,057
Dec 31, 2001 11,952 12,150 11,959
12,011 12,202 12,041
12,115 12,304 12,166
11,944 12,118 11,945
12,147 12,344 12,176
12,231 12,431 12,285
Jun 30, 2002 12,355 12,586 12,414
12,565 12,823 12,609
12,710 12,969 12,808
12,918 13,192 13,036
12,896 13,183 12,977
12,783 13,079 12,895
Dec 31, 2002 12,999 13,321 13,155
12,974 13,291 13,131
13,127 13,442 13,304
13,104 13,444 13,276
13,128 13,482 13,335
13,342 13,694 13,564
Jun 30, 2003 13,318 13,672 13,525
12,967 13,339 13,099
12,981 13,364 13,146
13,252 13,653 13,455
13,122 13,520 13,325
13,134 13,521 13,337
Dec 31, 2003 13,214 13,627 13,441
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT US GOVERNMENT SECURITIES FUND VS. LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT BOND INDEX AND LIPPER INTERMEDIATE US GOVERNMENT FUNDS INDEX: GROWTH
OF $10,000 INVESTED DECEMBER 31, 1993
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Lehman Brothers
Intermediate Lipper
Vantagepoint Government Intermediate
US Government Bond Index US Government
Securities (no fees, taxes, Funds Index
Fund or expenses) (no taxes)
Jul 1, 1992 10,000 10,000 10,000
10,328 10,192 10,179
10,457 10,296 10,271
10,610 10,438 10,404
10,343 10,313 10,273
10,275 10,271 10,243
Dec 31, 1992 10,000 10,000 10,000
10,264 10,186 10,189
10,476 10,336 10,355
10,514 10,374 10,399
10,635 10,455 10,468
10,601 10,427 10,459
10,835 10,578 10,629
10,844 10,599 10,671
11,083 10,757 10,836
11,136 10,801 10,880
11,143 10,827 10,901
10,000 10,000 10,000
Dec 31, 1993 10,037 10,041 10,040
10,169 10,140 10,152
9,930 10,001 9,976
9,690 9,855 9,779
9,588 9,791 9,685
9,583 9,798 9,668
9,548 9,800 9,650
9,698 9,929 9,782
9,712 9,957 9,799
9,561 9,875 9,687
9,527 9,877 9,676
9,454 9,833 9,630
Dec 31, 1994 9,497 9,866 9,668
9,657 10,027 9,832
9,895 10,220 10,032
9,938 10,276 10,096
10,079 10,395 10,212
10,484 10,689 10,540
10,547 10,757 10,601
10,503 10,762 10,578
10,625 10,851 10,685
10,737 10,923 10,773
10,879 11,043 10,900
11,050 11,178 11,046
Dec 31, 1995 11,212 11,289 11,173
11,305 11,384 11,248
11,056 11,263 11,069
10,943 11,211 10,993
10,850 11,179 10,930
10,806 11,173 10,907
10,919 11,287 11,030
10,944 11,322 11,055
10,929 11,335 11,041
11,101 11,481 11,213
11,342 11,669 11,433
11,553 11,810 11,610
Dec 31, 1996 11,401 11,746 11,511
11,426 11,791 11,543
11,422 11,810 11,562
11,299 11,743 11,452
11,462 11,875 11,607
11,556 11,968 11,701
11,679 12,071 11,826
11,990 12,293 12,114
11,877 12,246 12,014
12,051 12,380 12,180
12,244 12,525 12,341
12,269 12,552 12,376
Dec 31, 1997 12,393 12,654 12,492
12,587 12,818 12,654
12,553 12,804 12,631
12,579 12,844 12,670
12,634 12,906 12,724
12,739 12,995 12,835
12,834 13,082 12,941
12,870 13,131 12,966
13,193 13,380 13,206
13,636 13,691 13,521
13,593 13,715 13,444
13,539 13,672 13,463
Dec 31, 1998 13,595 13,725 13,513
13,651 13,787 13,579
13,319 13,598 13,325
13,415 13,688 13,410
13,445 13,725 13,446
13,256 13,641 13,322
13,224 13,662 13,277
13,162 13,663 13,231
13,155 13,682 13,217
13,310 13,800 13,361
13,328 13,828 13,390
13,307 13,837 13,391
Dec 31, 1999 13,231 13,794 13,325
13,138 13,747 13,283
13,257 13,861 13,430
13,491 14,020 13,601
13,449 14,014 13,551
13,489 14,052 13,537
13,750 14,275 13,797
13,840 14,369 13,903
14,039 14,530 14,101
14,144 14,657 14,196
14,256 14,758 14,297
14,522 14,975 14,531
Dec 31, 2000 14,818 15,238 14,814
14,973 15,441 15,015
15,134 15,583 15,164
15,224 15,695 15,233
15,075 15,645 15,145
15,096 15,709 15,224
15,135 15,759 15,271
15,498 16,054 15,606
15,648 16,197 15,770
16,013 16,544 16,002
16,331 16,802 16,335
15,989 16,602 16,065
Dec 31, 2001 15,918 16,522 15,935
15,998 16,593 16,045
16,135 16,731 16,210
15,908 16,478 15,916
16,178 16,786 16,224
16,290 16,904 16,369
16,456 17,115 16,541
16,736 17,437 16,801
16,928 17,636 17,066
17,206 17,939 17,369
17,177 17,927 17,292
17,026 17,785 17,182
Dec 31, 2002 17,313 18,114 17,528
17,280 18,074 17,497
17,484 18,278 17,727
17,453 18,282 17,690
17,485 18,333 17,768
17,771 18,621 18,073
17,738 18,591 18,021
17,271 18,139 17,454
17,289 18,172 17,516
17,651 18,566 17,928
17,477 18,384 17,756
17,493 18,386 17,770
Dec 31, 2003 17,600 18,530 17,909
Source for Benchmark Returns: Ibbotson Associates
10
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT US GOVERNMENT SECURITIES FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 1.66%
Three Years 5.90%
Five Years 5.30%
Ten Years 5.78%
Fund Inception Date July 1, 1992
Fund Registration Date March 1, 1999
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1, 1999 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's market benchmark, the Lehman Brothers Intermediate Government Bond
Index, consists of intermediate U. S. Government securities. The index is
unmanaged and does not reflect the costs of portfolio management or trading. The
Fund's portfolio may differ significantly from the securities in the market
index.
11
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT ASSET ALLOCATION FUND
The Vantagepoint Asset Allocation Fund seeks to offer long-term capital growth
at a lower level of risk than an all-equity portfolio. The Fund's subadviser,
Mellon Capital Management Corporation, seeks to tactically allocate assets among
stocks (represented in the S&P 500 Index), bonds (invested in long-term U.S.
Treasuries), and cash according to Mellon's assessment of the return and risk
outlook for each such asset class.
PERFORMANCE
The Vantagepoint Asset Allocation Fund posted a 25.97% return in 2003. The
Fund's custom benchmark (comprised of 65 percent S&P 500 Index, 25 percent
Lehman Brothers Long-Term Treasury Bond Index, and 10 percent 91-day U.S.
Treasury bills, which returned 28.70%, 2.48% and 1.15% respectively for 2003)
rose 19.08%. The Lipper Flexible Portfolio Funds Index, a group of mutual funds
with similar objectives, gained 22.98%.
Throughout 2003, the Fund weighted stocks more heavily and bonds and cash less
heavily than the Fund's custom benchmark. The Fund benefited from this equity
overweighting as the stock market rebounded and outperformed bonds.
COMMENTARY
The Asset Allocation Fund began the year with a 100 percent allocation to equity
and maintained this allocation throughout the first half of the year. During
this period, interest rates continued their three-year decline, which lowered
expected future returns on bonds and cash.
The U.S. stock market posted solidly positive second-quarter returns, and
interest rates began to rise toward the end of the second quarter. These market
conditions cast bonds in a somewhat more favorable light. By mid-July, after
nearly a full year at a 100 percent stock allocation, the changed dynamic
triggered a reallocation from 100 percent stocks to 90 percent stocks and 10
percent bonds. Interest rates continued to rise through July, leading to another
allocation shift during August; Mellon reallocated an additional 10 percent from
stocks to bonds, bringing the overall allocation to 80 percent stocks and 20
percent bonds.
As the fourth quarter began, Mellon reversed course and increased exposure to
stocks from 80 percent to 90 percent of total assets, reducing bonds to 10
percent. This October 2 move was driven by the combination of falling interest
rates and leveling stock prices, which increased the attractiveness of stocks
relative to bonds.
Interest rates began to rise again in the first half of the fourth quarter,
while stocks continued their rally. This combination of events led to a decrease
in the expected return spread between stocks and bonds, making bonds more
attractive on a relative basis. On November 13, the Fund shifted once again to
80 percent stocks and 20 percent bonds and maintained this allocation through
the end of the year.
SUBADVISER DATA
Mellon Capital Management Corporation
- --------------------------------------------------------------------------------
Founded: 1983
Investment Style: Tactical asset allocation
Investment Approach: Active allocation between stocks, bonds and cash, using a
quantitative model and passive management of stock and
bond exposure
12
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT ASSET ALLOCATION FUND VS. BLENDED BENCHMARK, LIPPER FLEXIBLE
PORTFOLIO FUND INDEX AND S&P 500 INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 65% Standard &
S&P 500/25% Lehman Lipper Flexible Poor's 500
Vantagepoint Long Treasury Index/10% Portfolio Fund Index
Asset 91-Day T-bill (no fees, Index (no fees, taxes,
Allocation Fund or expenses) (no taxes) or expenses
Mar 1, 1999 10,000 10,000 10,000 10,000
Mar 31, 1999 10,230 10,258 10,249 10,400
10,480 10,524 10,550 10,803
10,300 10,325 10,366 10,548
Jun 30, 1999 10,590 10,675 10,667 11,133
10,380 10,450 10,479 10,786
10,350 10,410 10,383 10,732
Sep 30, 1999 10,240 10,249 10,270 10,438
10,530 10,676 10,540 11,099
10,610 10,803 10,655 11,324
Dec 31, 1999 10,861 11,181 11,081 11,991
10,643 10,861 10,770 11,389
10,643 10,814 10,865 11,173
Mar 31, 2000 11,182 11,599 11,356 12,266
11,016 11,355 11,125 11,897
10,912 11,200 10,965 11,653
Jun 30, 2000 11,099 11,445 11,198 11,940
11,068 11,383 11,132 11,754
11,513 11,913 11,660 12,484
Sep 30, 2000 11,151 11,475 11,367 11,825
11,182 11,494 11,308 11,775
10,716 11,002 10,827 10,846
Dec 31, 2000 10,783 11,109 11,012 10,899
11,043 11,381 11,193 11,286
10,296 10,759 10,577 10,257
Mar 31, 2001 9,765 10,308 10,108 9,607
10,307 10,763 10,620 10,354
10,393 10,818 10,695 10,423
Jun 30, 2001 10,274 10,673 10,535 10,170
10,382 10,707 10,485 10,069
9,982 10,332 10,091 9,439
Sep 30, 2001 9,430 9,814 9,480 8,677
9,713 10,059 9,705 8,842
10,182 10,443 10,127 9,521
Dec 31, 2001 10,198 10,455 10,218 9,604
10,151 10,391 10,071 9,464
10,042 10,292 9,938 9,281
Mar 31, 2002 10,182 10,441 10,217 9,631
9,838 10,131 9,915 9,047
9,791 10,092 9,858 8,980
Jun 30, 2002 9,306 9,671 9,337 8,340
8,759 9,257 8,798 7,690
8,806 9,399 8,865 7,741
Sep 30, 2002 7,852 8,835 8,241 6,899
8,540 9,278 8,661 7,507
9,041 9,609 9,029 7,949
Dec 31, 2002 8,587 9,341 8,715 7,481
8,353 9,175 8,566 7,285
8,227 9,156 8,481 7,176
Mar 31, 2003 8,305 9,186 8,535 7,245
8,978 9,702 9,023 7,842
9,447 10,172 9,466 8,256
Jun 30, 2003 9,557 10,219 9,564 8,361
9,666 10,108 9,609 8,509
9,823 10,277 9,805 8,675
Sep 30, 2003 9,838 10,341 9,814 8,583
10,292 10,651 10,196 9,068
10,370 10,725 10,303 9,148
Dec 31, 2003 10,817 11,124 10,719 9,628
Source for Benchmark returns: Ibbotson Associates
VANTAGEPOINT ASSET ALLOCATION FUND VS. BLENDED BENCHMARK, LIPPER FLEXIBLE
PORTFOLIO FUND INDEX AND S&P 500 INDEX: GROWTH OF $10,000 INVESTED DECEMBER 31,
1993
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 65% Standard &
S&P 500/25% Poor's 500
Lehman Long Treasury Lipper Flexible Index
Vantagepoint Index/10% 91-Day T-bill Portfolio (no fees,
Asset (no fees, taxes or Fund Index taxes, or
Allocation Fund expenses) (no taxes) expenses)
Dec 31, 1993 10,000 10,000 10,000 10,000
10,286 10,281 10,273 10,335
10,000 9,997 10,048 10,056
9,701 9,607 9,645 9,619
9,705 9,662 9,683 9,744
9,758 9,752 9,717 9,902
9,607 9,576 9,513 9,658
9,806 9,866 9,739 9,977
9,986 10,113 10,016 10,384
9,796 9,878 9,841 10,133
9,868 10,021 9,912 10,365
9,746 9,801 9,674 9,985
Dec 31, 1994 9,829 9,936 9,733 10,131
10,018 10,173 9,810 10,394
10,296 10,507 10,096 10,797
10,476 10,737 10,309 11,117
10,695 10,993 10,502 11,441
11,130 11,492 10,836 11,892
11,330 11,706 11,059 12,172
11,599 11,919 11,346 12,577
11,682 12,012 11,443 12,611
12,040 12,399 11,652 13,140
12,074 12,464 11,566 13,094
12,510 12,904 11,903 13,670
Dec 31, 1995 12,702 13,152 12,030 13,923
13,090 13,452 12,263 14,402
13,096 13,379 12,327 14,540
13,161 13,400 12,414 14,679
13,226 13,478 12,600 14,895
13,428 13,693 12,760 15,279
13,522 13,808 12,741 15,342
13,146 13,416 12,345 14,659
13,279 13,565 12,559 14,970
13,826 14,160 13,035 15,811
14,186 14,558 13,271 16,245
14,990 15,404 13,913 17,478
Dec 31, 1996 14,701 15,121 13,726 17,135
15,348 15,711 14,123 18,199
15,424 15,802 14,103 18,347
14,919 15,280 13,677 17,583
15,498 15,973 14,036 18,633
16,116 16,663 14,632 19,777
16,666 17,232 15,062 20,659
17,810 18,383 15,911 22,300
17,008 17,598 15,411 21,060
17,737 18,354 16,064 22,213
17,498 18,118 15,727 21,471
18,109 18,730 16,012 22,465
Dec 31, 1997 18,424 19,026 16,233 22,852
18,690 19,269 16,328 23,105
19,689 20,145 17,120 24,772
20,441 20,835 17,697 26,040
20,629 21,000 17,809 26,302
20,480 20,875 17,631 25,850
21,144 21,556 17,971 26,900
20,975 21,394 17,784 26,614
19,138 19,634 16,038 22,766
20,031 20,642 16,676 24,224
20,954 21,663 17,466 26,195
21,770 22,565 18,184 27,782
Dec 31, 1998 22,556 23,407 18,913 29,383
23,163 24,105 19,278 30,612
22,477 23,328 18,746 29,661
22,994 23,931 19,213 30,847
23,556 24,551 19,778 32,042
23,151 24,088 19,432 31,286
23,803 24,903 19,997 33,022
23,331 24,378 19,643 31,991
23,263 24,285 19,465 31,833
23,016 23,908 19,253 30,960
23,668 24,905 19,759 32,919
23,848 25,202 19,974 33,589
Dec 31, 1999 24,411 26,084 20,773 35,567
23,923 25,336 20,189 33,780
23,923 25,227 20,367 33,141
25,133 27,060 21,288 36,383
24,760 26,489 20,856 35,288
24,528 26,128 20,555 34,564
24,947 26,699 20,993 35,416
24,877 26,555 20,869 34,862
25,877 27,792 21,858 37,028
25,063 26,769 21,310 35,073
25,133 26,814 21,199 34,925
24,086 25,666 20,296 32,171
Dec 31, 2000 24,237 25,916 20,643 32,328
24,821 26,550 20,984 33,475
23,141 25,100 19,827 30,423
21,949 24,047 18,949 28,496
23,166 25,108 19,909 30,710
23,360 25,236 20,049 30,916
23,093 24,898 19,750 30,163
23,336 24,978 19,655 29,867
22,436 24,104 18,918 27,997
21,195 22,894 17,772 25,736
21,832 23,465 18,193 26,227
22,887 24,361 18,984 28,239
Dec 31, 2001 22,922 24,389 19,155 28,486
22,817 24,240 18,880 28,071
22,570 24,010 18,631 27,529
22,886 24,358 19,153 28,565
22,113 23,633 18,587 26,833
22,006 23,543 18,479 26,635
20,917 22,562 17,503 24,738
19,687 21,596 16,494 22,809
19,794 21,927 16,618 22,959
17,650 20,610 15,449 20,464
19,196 21,645 16,236 22,265
20,321 22,416 16,926 23,576
Dec 31, 2002 19,301 21,792 16,338 22,190
18,774 21,404 16,059 21,608
18,492 21,360 15,898 21,284
18,668 21,430 16,001 21,491
20,180 22,634 16,915 23,261
21,234 23,730 17,746 24,487
21,481 23,840 17,929 24,801
21,727 23,581 18,013 25,237
22,078 23,976 18,381 25,729
22,113 24,125 18,398 25,457
23,133 24,847 19,114 26,897
23,309 25,021 19,315 27,134
Dec 31, 2003 24,313 25,950 20,093 28,557
Source for Benchmark returns: Ibbotson Associates
13
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT ASSET ALLOCATION FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 25.97%
Three Years 0.10%
Five Years 1.51%
Ten Years 9.29%
Fund Inception Date December 1, 1974
Fund Registration Date March 1, 1999
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1, 1999 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's custom benchmark is comprised of 65% S&P 500 Index, 25% Lehman
Brothers Long-Term Treasury Bond Index and 10% 91-day Treasury bills. The S&P
500 Index consists of 500 companies representing larger capitalization stocks
traded in the U.S. The Lehman Brothers Long-Term Treasury Bond Index consists of
all Treasury obligations with maturities of 10 years or greater. The indexes are
unmanaged and do not reflect the costs of portfolio management or trading. The
Fund's portfolio may differ significantly from the securities in the indexes.
14
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT EQUITY INCOME FUND
The Vantagepoint Equity Income Fund seeks to offer long-term capital growth with
consistency derived from dividend yield. The Fund's subadvisers, Barrow, Hanley,
Mewhinney & Strauss Inc., Southeastern Asset Management Inc. and T. Rowe Price
Associates, Inc., seek to achieve this goal by investing primarily in dividend
paying stocks of well-established companies.
PERFORMANCE
The Vantagepoint Equity Income Fund returned 33.09% in 2003. The Fund's market
benchmark, the S&P/BARRA Value Index, rose 31.79%. The Lipper Equity Income
Funds Index, a group of mutual funds with similar objectives, rose 25.88%. The
Fund outperformed the market benchmark by holding better performing stocks over
several industries as described below.
COMMENTARY
Springing back from three years of losses, the major U.S. stock indexes produced
double-digit returns in 2003. These gains were fueled by continued low interest
rates, an improving economic picture, rising corporate earnings, and decreased
uncertainty about U.S. action in Iraq. Economically sensitive sectors such as
information technology, basic materials, and consumer discretionary goods led
the market higher. As often happens in the early stages of a market recovery,
smaller stocks outperformed larger stocks and the market rewarded aggressive
approaches to investing.
Tax legislation passed in May 2003 included a cut in the tax rate applied to
dividend income. Previously, investors who earned dividend income outside a
qualified retirement plan paid tax at their marginal tax rate. Now, the tax rate
on dividends is capped at 15%. This tax cut is expected to enhance the appeal of
dividend-paying stocks over the long term, but this effect does not appear to
have been a major factor in 2003.
In a market that rewarded higher risk investments more than those presenting
lower risk, the Equity Income Fund's strong 2003 performance is particularly
gratifying. The Fund outperformed the market and its peers across a range of
industries, including the following:
o Financials and Insurers. Financials are traditionally an important
"value" sector. The Fund's insurance holdings performed well as their
business prospects brightened following the post-September 11th slump.
o Retail. As the economy began to show signs of improvement, consumers
displayed a renewed thirst for luxury merchandise. In this
environment, the Fund's high-end retail holdings rose strongly.
o Media. A resurgent economic outlook also benefited the Fund's media
and entertainment holdings. Media companies began to see positive
results from increasing advertising revenue. Investors projected
future strength and bid these stocks up higher.
15
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUBADVISER DATA
Barrow, Hanley, Mewhinney & Strauss, Inc.
- --------------------------------------------------------------------------------
Founded: 1979
Investment Style: Contrarian value
Investment Approach: Bottom-up fundamental research
Southeastern Asset Management, Inc.
- --------------------------------------------------------------------------------
Founded: 1975
Investment Style: Special situations value
Investment Approach: Bottom-up fundamental research
T. Rowe Price Associates, Inc.
- --------------------------------------------------------------------------------
Founded: 1937
Investment Style: Relative yield value
Investment Approach: Bottom-up fundamental research
VANTAGEPOINT EQUITY INCOME FUND VS. S&P 500/BARRA VALUE INDEX AND LIPPER EQUITY
INCOME FUNDS INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
S&P/BARRA 500 Lipper
Vantagepoint Value Index Equity
Equity (no fees, Income
Income taxes, or Funds Index
Fund expenes) (no taxes)
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,110 10,303 10,211
10,730 11,191 10,936
10,670 10,994 10,783
Jun 30, 1999 10,960 11,416 11,123
10,680 11,065 10,841
10,260 10,785 10,589
9,820 10,363 10,214
10,070 10,948 10,558
9,830 10,883 10,499
Dec 31, 1999 9,540 11,292 10,629
9,087 10,933 10,226
8,328 10,250 9,650
9,394 11,319 10,543
9,527 11,243 10,463
10,060 11,278 10,621
Jun 30, 2000 9,460 10,832 10,393
9,700 11,049 10,453
10,167 11,790 11,065
10,300 11,788 11,041
10,766 12,008 11,273
10,753 11,393 10,876
Dec 31, 2000 11,215 11,980 11,421
11,477 12,486 11,516
11,477 11,658 11,131
11,174 11,198 10,724
11,628 11,958 11,281
12,013 12,083 11,477
Jun 30, 2001 11,821 11,691 11,192
11,931 11,489 11,180
11,656 10,825 10,811
10,651 9,797 10,066
10,586 9,797 10,118
11,218 10,419 10,640
Dec 31, 2001 11,543 10,577 10,827
11,510 10,287 10,721
11,657 10,195 10,737
12,175 10,717 11,144
11,965 10,180 10,764
11,900 10,221 10,773
Jun 30, 2002 11,171 9,576 10,097
10,165 8,541 9,286
10,295 8,600 9,355
9,355 7,617 8,381
9,550 8,250 8,889
10,247 8,830 9,399
Dec 31, 2002 9,818 8,371 9,048
9,588 8,142 8,796
9,243 7,920 8,579
9,308 7,910 8,591
10,146 8,692 9,249
10,967 9,332 9,805
Jun 30, 2003 11,065 9,400 9,907
11,311 9,609 10,022
11,525 9,817 10,171
11,426 9,639 10,102
12,116 10,298 10,606
12,378 10,391 10,738
Dec 31, 2003 13,066 11,032 11,389
Source for Benchmark Returns: Ibbotson Associates
16
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT EQUITY INCOME FUND VS. S&P 500/BARRA VALUE INDEX AND LIPPER EQUITY
INCOME FUNDS INDEX: GROWTH OF $10,000 INVESTED APRIL 1, 1994
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
S&P/BARRA Lipper Equity
Vantagepoint 500 Value Index Income Funds
Equity Income (no fees, taxes, Index
Fund or expenses) (no taxes)
Apr 1, 1994 10,000 10,000 10,000
10,155 10,211 10,131
10,199 10,380 10,246
10,064 10,093 10,096
10,299 10,434 10,381
10,664 10,729 10,726
10,469 10,351 10,524
10,544 10,577 10,580
10,278 10,148 10,185
Dec 31, 1994 10,352 10,273 10,263
10,759 10,551 10,447
11,095 10,961 10,783
11,261 11,263 11,038
11,518 11,634 11,303
11,935 12,151 11,650
11,981 12,243 11,804
12,188 12,665 12,128
12,415 12,773 12,277
12,975 13,218 12,659
12,981 13,012 12,479
13,532 13,694 13,005
Dec 31, 1995 14,012 14,073 13,326
14,291 14,494 13,631
14,318 14,630 13,730
14,405 14,972 13,903
14,371 15,125 14,031
14,661 15,353 14,239
14,860 15,278 14,260
14,391 14,634 13,794
14,641 15,038 14,106
15,256 15,682 14,625
15,719 16,213 14,970
16,689 17,454 15,825
Dec 31, 1996 16,575 17,167 15,724
17,222 17,959 16,299
17,707 18,090 16,524
17,116 17,471 15,989
17,591 18,126 16,465
18,596 19,263 17,413
19,317 19,999 18,072
20,323 21,599 19,160
19,579 20,622 18,546
20,718 21,831 19,487
20,381 21,029 18,916
21,472 21,830 19,544
Dec 31, 1997 22,206 22,315 19,995
22,134 22,040 19,987
23,165 23,693 21,067
24,269 24,893 22,021
23,932 25,188 22,010
23,494 24,833 21,739
23,903 25,022 21,915
23,525 24,478 21,350
21,294 20,542 18,775
22,861 21,790 19,740
24,244 23,497 20,907
25,158 24,721 21,791
Dec 31, 1998 25,764 25,589 22,349
25,253 26,106 22,320
24,720 25,544 21,907
24,992 26,318 22,369
26,525 28,587 23,957
26,376 28,082 23,622
27,093 29,161 24,366
26,401 28,264 23,750
25,363 27,548 23,196
24,275 26,470 22,375
24,893 27,964 23,129
24,300 27,801 23,000
Dec 31, 1999 23,584 28,845 23,285
22,464 27,927 22,402
20,586 26,182 21,141
23,222 28,912 23,097
23,551 28,719 22,921
24,868 28,808 23,267
23,386 27,670 22,767
23,979 28,224 22,899
25,132 30,116 24,241
25,461 30,110 24,188
26,614 30,673 24,695
26,581 29,103 23,826
Dec 31, 2000 27,724 30,602 25,020
28,371 31,894 25,228
28,371 29,780 24,385
27,622 28,604 23,492
28,745 30,545 24,713
29,697 30,864 25,143
29,221 29,865 24,519
29,493 29,348 24,493
28,813 27,652 23,684
26,330 25,025 22,052
26,169 25,025 22,166
27,732 26,613 23,310
Dec 31, 2001 28,533 27,018 23,719
28,454 26,277 23,487
28,815 26,041 23,521
30,097 27,376 24,412
29,577 26,004 23,581
29,417 26,108 23,601
27,614 24,462 22,120
25,128 21,817 20,344
25,450 21,967 20,494
23,126 19,457 18,361
23,607 21,075 19,474
25,331 22,555 20,591
Dec 31, 2002 24,269 21,384 19,821
23,701 20,798 19,270
22,848 20,231 18,794
23,011 20,205 18,821
25,080 22,203 20,262
27,109 23,837 21,479
27,353 24,012 21,703
27,962 24,545 21,954
28,489 25,076 22,281
28,246 24,622 22,131
29,950 26,305 23,234
30,600 26,542 23,523
Dec 31, 2003 32,300 28,181 24,951
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT EQUITY INCOME FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 33.09%
Three Years 5.22%
Five Years 4.63%
Since Inception 12.77%
Fund Inception Date April 1, 1994
Fund Registration Date March 1, 1999
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1, 1999 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's market benchmark, the S&P/BARRA Value Index, consists of a subset of
the S&P 500 Index that includes stocks with lower price-to-book ratios. The
index is unmanaged and does not reflect the costs of portfolio management or
trading. The Fund's portfolio may differ significantly from the securities in
the market index.
17
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT GROWTH & INCOME FUND
The Vantagepoint Growth & Income Fund seeks to offer long-term capital growth
and current income. The Fund's subadvisers, Capital Guardian Trust Company, T.
Rowe Price Associates, Inc. and Wellington Management Company, LLP, use distinct
investment strategies to seek to invest in common stocks that offer the
potential for capital growth and, secondarily, income.
PERFORMANCE
The Vantagepoint Growth & Income Fund rose 30.49% in 2003. The Fund's market
benchmark, the S&P 500 Index, returned 28.70%. The Lipper Growth & Income Funds
Index, a group of mutual funds with similar objectives, rose 27.31%. The Fund
outperformed the market benchmark by holding better performing stocks over
several industries as described below.
2003 marks the fourth year in the five years since inception in which the Fund
has outperformed the S&P 500 Index. Credit for this achievement goes to both the
Fund's design, which incorporates growth and value stocks into a
well-diversified portfolio, and the Fund's subadvisers, who seek to provide
experience and discipline through market conditions that changed rapidly and
dramatically.
COMMENTARY
Springing back from three years of losses, the major U.S. stock indexes produced
double-digit returns in 2003. These gains were fueled by continued low interest
rates, an improving economic picture, rising corporate earnings, and decreased
uncertainty about U.S. action in Iraq. Economically sensitive sectors such as
information technology, basic materials, and consumer discretionary goods led
the market higher. As often happens in the early stages of a market recovery,
smaller stocks outperformed larger stocks and the market rewarded aggressive
approaches to investing.
Thanks to its approach that incorporates both growth and value stocks, the Fund
performed well in a year characterized by both the uncertainties of conflict and
the promise of economic revival. The Fund outperformed the market and its peers
through exposure to industries that benefited from the economic turnaround,
including:
o Technology. Technology stocks netted the largest gains for Fund
shareholders. Semiconductor-related and communications equipment firms
led the way, rising on expectations of higher corporate technology
spending and strong demand for consumer electronics. Applied Materials
and Cisco Systems were among the Fund's top performers in this sector.
o Financials. The Fund's most significant sector exposure was to
financial issues, which generally rose in 2003 thanks to a robust
housing market and resurgent enthusiasm for capital markets investing.
Fund holdings Citigroup, Goldman Sachs and Washington Mutual were
several standouts.
o Consumer discretionaries. The economic turnaround, low interest rates
and tax cuts primed the consumer spending pump. Retailers Home Depot
and Best Buy rose as consumers spent to outfit and improve their
homes.
o Industrials. The future prospects for industrial companies like Alcoa
and Caterpillar rose along with expectations of economic growth.
18
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUBADVISER DATA
Capital Guardian Trust Company
- --------------------------------------------------------------------------------
Founded: 1968
Investment Style: Selected opportunities
Investment Approach: Bottom-up fundamental research
T. Rowe Price Associates, Inc.
- --------------------------------------------------------------------------------
Founded: 1937
Investment Style: Blue chip growth
Investment Approach: Bottom-up fundamental research
Wellington Management Company LLP
- --------------------------------------------------------------------------------
Founded: 1928
Investment Style: Yield-focused value
Investment Approach: Bottom-up fundamental research
VANTAGEPOINT GROWTH & INCOME FUND VS. S&P 500 INDEX AND LIPPER GROWTH & INCOME
FUNDS INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
S&P 500 Lipper
Vantagepoint Index Growth &
Growth & (no fees, Income
Income taxes, or Funds Index
Fund expenses) (no taxes)
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,420 10,400 10,345
10,780 10,803 11,015
10,520 10,548 10,856
Jun 30, 1999 11,170 11,133 11,305
10,930 10,786 10,981
10,730 10,732 10,738
10,500 10,438 10,401
11,040 11,099 10,846
11,320 11,324 10,941
Dec 31, 1999 12,350 11,991 11,333
11,756 11,389 10,889
11,902 11,173 10,535
12,892 12,266 11,524
12,642 11,897 11,319
12,631 11,653 11,277
Jun 30, 2000 12,652 11,940 11,234
12,725 11,754 11,194
13,569 12,484 11,890
13,080 11,825 11,564
13,069 11,775 11,598
12,235 10,846 10,962
Dec 31, 2000 12,869 10,899 11,377
13,107 11,286 11,606
12,204 10,257 10,980
11,705 9,607 10,482
12,560 10,354 11,183
12,774 10,423 11,326
Jun 30, 2001 12,537 10,170 11,050
12,454 10,069 10,952
11,824 9,439 10,447
10,826 8,677 9,607
11,128 8,842 9,729
12,023 9,521 10,363
Dec 31, 2001 12,256 9,604 10,532
12,035 9,464 10,379
11,763 9,281 10,311
12,256 9,631 10,714
11,543 9,047 10,311
11,452 8,980 10,298
Jun 30, 2002 10,480 8,340 9,624
9,662 7,690 8,857
9,610 7,741 8,945
8,650 6,899 8,040
9,428 7,507 8,567
10,090 7,949 9,040
Dec 31, 2002 9,446 7,481 8,647
9,185 7,285 8,415
9,107 7,176 8,235
9,185 7,245 8,288
9,968 7,842 8,938
10,594 8,256 9,440
Jun 30, 2003 10,699 8,361 9,561
10,881 8,509 9,688
11,103 8,675 9,899
10,946 8,583 9,790
11,573 9,068 10,304
11,729 9,148 10,455
Dec 31, 2003 12,326 9,628 11,008
Source for Benchmark Returns: Ibbotson Associates
19
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT GROWTH & INCOME FUND VS. S&P 500 INDEX AND LIPPER GROWTH & INCOME
FUNDS INDEX: GROWTH OF $10,000 INVESTED OCTOBER 2, 1998
================================================================================
[DATA BELOW IS REPRRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
S&P 500 Lipper
Vantagepoint Index Growth &
Growth & (no fees, Income
Income taxes, or Funds Index
Fund expenses) (no taxes)
Oct 2, 1998 10,000 10,000 10,000
11,135 11,149 11,018
11,830 11,825 11,550
Dec 31, 1998 12,776 12,506 11,942
13,413 13,029 12,054
13,038 12,624 11,788
13,586 13,129 12,195
14,055 13,638 12,985
13,716 13,316 12,797
14,564 14,055 13,326
14,251 13,616 12,944
13,990 13,549 12,658
13,690 13,177 12,260
14,394 14,011 12,785
14,759 14,296 12,898
Dec 31, 1999 16,102 15,138 13,359
15,328 14,377 12,836
15,518 14,105 12,419
16,809 15,485 13,585
16,483 15,019 13,343
16,469 14,711 13,294
16,497 15,074 13,243
16,592 14,838 13,195
17,692 15,760 14,016
17,054 14,928 13,632
17,040 14,865 13,672
15,953 13,693 12,922
Dec 31, 2000 16,780 13,760 13,411
17,090 14,248 13,682
15,912 12,949 12,943
15,261 12,128 12,357
16,377 13,071 13,182
16,656 13,159 13,351
16,346 12,838 13,026
16,237 12,712 12,910
15,416 11,916 12,315
14,115 10,954 11,325
14,509 11,163 11,469
15,675 12,019 12,216
Dec 31, 2001 15,980 12,124 12,415
15,692 11,947 12,235
15,338 11,717 12,155
15,980 12,158 12,630
15,050 11,421 12,155
14,931 11,337 12,139
13,664 10,529 11,345
12,598 9,708 10,441
12,530 9,772 10,545
11,278 8,710 9,478
12,293 9,477 10,098
13,156 10,034 10,656
Dec 31, 2002 12,315 9,444 10,193
11,976 9,197 9,920
11,874 9,059 9,707
11,976 9,147 9,770
12,996 9,901 10,536
13,813 10,422 11,128
13,949 10,556 11,271
14,187 10,741 11,421
14,476 10,951 11,669
14,272 10,835 11,541
15,089 11,448 12,147
15,293 11,549 12,325
Dec 31, 2003 16,071 12,154 12,976
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT GROWTH & INCOME FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 30.49%
Three Years -1.43%
Five Years 4.69%
Since Inception 9.45%
Fund Inception Date October 2, 1998
Fund Registration Date March 1, 1999
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1, 1999 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's market benchmark, the S&P 500 Index, consists of 500 companies
representing larger capitalization stocks traded in the U. S. The index is
unmanaged and does not reflect the costs of portfolio management or trading. The
Fund's portfolio may differ significantly from the securities in the market
index.
20
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT GROWTH FUND
The Vantagepoint Growth Fund seeks to offer long-term capital growth. The Fund
pursues this goal by seeking to invest primarily in companies with above-average
growth potential. The Fund's subadvisers, Brown Capital Management, Fidelity
Management and Research Company, Peregrine Capital Management, Inc. and Tukman
Capital Management, Inc., use different growth investing approaches to produce
capital gains.
PERFORMANCE
The Vantagepoint Growth Fund rose 28.71% in 2003. The Fund's market benchmark,
the Wilshire 5000 Total Market Index, returned 31.64%. The Lipper Growth Funds
Index, a group of mutual funds with similar objectives, rose 27.89%.
The Growth Fund's return reflected 2003's trends. Its focus on higher-quality,
larger-capitalization stocks generated a strong absolute return, but restrained
performance slightly compared to the Wilshire 5000 Total Market Index.
COMMENTARY
Springing back from three years of losses, the major U.S. stock indexes produced
double-digit returns in 2003. These gains were fueled by continued low interest
rates, an improving economic picture, rising corporate earnings, and decreased
uncertainty about U.S. action in Iraq. Economically sensitive sectors such as
information technology, basic materials, and consumer discretionary goods led
the market higher. As often happens in the early stages of a market recovery,
smaller stocks outperformed larger stocks and the market rewarded aggressive
approaches to investing.
Technology stocks were the market's top-performing sector in 2003 as
communication equipment makers, semiconductor and internet stocks rebounded from
prior years' setbacks. The Fund benefited from tech sector exposure, for
example, as investors flocked back into Intel and Cisco, two of the Fund's
holdings.
There was more to 2003's story than technology, however, as the rebound in stock
prices covered many industries including automobiles, biotechnology, financials,
media and retailers. Top contributors to the Fund were just as diverse and
included medical device maker Boston Scientific, global financial group Goldman
Sachs, internet marketplace eBay, and Home Depot.
The Vantagepoint Growth Fund achieved two milestones in 2003. First, the Fund
marked its twentieth year of operations. Founded in 1983 and registered with the
SEC in 1999, the Fund was the first in the Vantagepoint Funds family to
implement the multi-manager strategy used today for all of the Vantagepoint
equity funds. On September 30, 2003, Vantagepoint Funds celebrated the twentieth
anniversary of Fidelity Management and Research as a subadviser in the Growth
Fund.
The assets subadvised by Barclays Global Fund Advisors were eliminated from the
fund near year end and those assets were reallocated to the Funds' other
existing subadvisers.
21
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Brown Capital Management, Inc.
- --------------------------------------------------------------------------------
Founded: 1983
Investment Style: Well-priced growth
Investment Approach: Bottom-up fundamental research
Fidelity Management and Research Company
- --------------------------------------------------------------------------------
Founded: 1981
Investment Style: Aggressive growth
Investment Approach: Bottom-up fundamental research
Tukman Capital Management, Inc.
- --------------------------------------------------------------------------------
Founded: 1980
Investment Style: Contrarian growth
Investment Approach: Bottom-up fundamental research
Peregrine Capital Management, Inc.
- --------------------------------------------------------------------------------
Founded: 1984
Investment Style: Concentrated growth
Investment Approach: Bottom-up fundamental analysis
22
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT GROWTH FUND VS. WILSHIRE 5000 TOTAL MARKET INDEX AND LIPPER GROWTH
FUNDS INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Wilshire
5000 Index Lipper
Vantagepoint (no fees, Growth
Growth taxes, or Funds Index
Fund expenses) (no taxes)
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,570 10,386 10,434
11,340 10,884 10,699
11,080 10,645 10,490
Jun 30, 1999 11,750 11,197 11,110
11,430 10,838 10,836
11,160 10,737 10,714
11,050 10,456 10,535
11,810 11,121 11,184
12,430 11,493 11,657
Dec 31, 1999 14,003 12,366 12,706
13,398 11,853 12,247
14,511 12,118 12,971
15,391 12,838 13,631
14,427 12,169 12,949
13,897 11,744 12,378
Jun 30, 2000 14,904 12,262 13,063
14,480 12,012 12,773
15,889 12,884 13,727
15,211 12,283 12,888
14,904 12,022 12,526
13,218 10,826 11,187
Dec 31, 2000 13,645 11,019 11,322
14,012 11,441 11,618
12,238 10,356 10,270
11,149 9,659 9,462
12,352 10,454 10,350
12,352 10,558 10,338
Jun 30, 2001 12,175 10,381 10,123
11,795 10,209 9,844
10,946 9,591 9,158
9,667 8,730 8,173
10,339 8,952 8,474
11,387 9,636 9,196
Dec 31, 2001 11,569 9,810 9,286
11,513 9,688 9,057
10,982 9,489 8,698
11,569 9,904 9,088
10,912 9,420 8,609
10,716 9,310 8,497
Jun 30, 2002 9,878 8,655 7,811
9,096 7,957 7,240
9,152 8,003 7,299
8,244 7,200 6,592
8,984 7,751 7,126
9,389 8,218 7,526
Dec 31, 2002 8,762 7,763 7,039
8,482 7,567 6,887
8,385 7,439 6,804
8,511 7,523 6,883
9,209 8,140 7,415
9,712 8,637 7,841
Jun 30, 2003 9,740 8,765 7,915
10,048 8,976 8,090
10,355 9,192 8,304
10,188 9,090 8,152
10,900 9,645 8,619
11,012 9,780 8,681
Dec 31, 2003 11,278 10,219 9,002
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT GROWTH FUND VS. WILSHIRE 5000 TOTAL MARKET INDEX AND LIPPER GROWTH
FUNDS INDEX: GROWTH OF $10,000 INVESTED DECEMBER 31, 1993
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Wilshire
5000 Index Lipper
Vantagepoint (no fees, Growth
Growth taxes, or Funds Index
Fund expenses) (no taxes)
Dec 31, 1993 10,000 10,000 10,000
10,322 10,315 10,346
10,113 10,084 10,176
9,512 9,627 9,701
9,583 9,719 9,779
9,464 9,814 9,826
9,154 9,552 9,489
9,444 9,835 9,757
9,944 10,270 10,173
9,767 10,071 9,954
10,048 10,235 10,144
9,576 9,861 9,758
Dec 31, 1994 9,628 9,994 9,843
9,613 10,209 9,879
10,047 10,616 10,245
10,367 10,896 10,555
10,602 11,167 10,854
10,827 11,545 11,183
11,368 11,913 11,685
12,120 12,403 12,249
12,269 12,524 12,378
12,629 13,002 12,745
12,319 12,871 12,576
12,967 13,417 13,001
Dec 31, 1995 13,156 13,636 13,055
13,402 14,001 13,371
13,946 14,246 13,581
14,125 14,402 13,644
14,641 14,758 13,986
15,023 15,161 14,234
14,607 15,037 14,094
13,631 14,225 13,332
14,370 14,680 13,734
15,128 15,462 14,502
15,125 15,678 14,711
16,020 16,717 15,641
Dec 31, 1996 15,998 16,529 15,343
16,671 17,413 16,143
16,283 17,405 16,019
15,643 16,635 15,285
16,124 17,361 15,957
17,379 18,591 17,062
18,055 19,445 17,700
19,815 20,940 19,167
19,611 20,153 18,460
20,744 21,342 19,516
19,755 20,631 18,885
19,726 21,307 19,320
Dec 31, 1997 20,132 21,700 19,646
19,812 21,818 19,778
21,423 23,407 21,172
22,482 24,578 22,078
22,833 24,870 22,315
21,812 24,208 21,766
22,445 25,057 22,706
21,628 24,508 22,465
17,382 20,691 18,857
18,891 22,043 20,115
20,245 23,683 21,507
21,561 25,174 22,789
Dec 31, 1998 24,127 26,785 24,694
25,104 27,770 25,749
23,397 26,763 24,871
24,731 27,796 25,950
26,532 29,128 26,609
25,924 28,491 26,090
27,491 29,965 27,632
26,743 29,005 26,950
26,111 28,734 26,645
25,854 27,983 26,200
27,632 29,763 27,814
29,082 30,760 28,991
Dec 31, 1999 32,762 33,095 31,600
31,348 31,722 30,459
33,952 32,432 32,259
36,011 34,359 33,901
33,754 32,568 32,206
32,514 31,431 30,786
34,870 32,817 32,488
33,878 32,148 31,767
37,176 34,482 34,140
35,589 32,873 32,054
34,870 32,174 31,153
30,927 28,973 27,823
Dec 31, 2000 31,924 29,490 28,160
32,784 30,620 28,895
28,634 27,715 25,543
26,085 25,850 23,533
28,901 27,977 25,741
28,901 28,255 25,712
28,486 27,782 25,177
27,597 27,323 24,482
25,611 25,670 22,776
22,617 23,364 20,326
24,190 23,958 21,074
26,642 25,790 22,872
Dec 31, 2001 27,067 26,254 23,096
26,937 25,928 22,526
25,695 25,395 21,631
27,068 26,506 22,602
25,530 25,212 21,412
25,073 24,916 21,134
23,112 23,164 19,427
21,282 21,294 18,007
21,412 21,419 18,153
19,288 19,270 16,395
21,020 20,745 17,723
21,968 21,995 18,719
Dec 31, 2002 20,500 20,777 17,507
19,846 20,253 17,129
19,618 19,910 16,921
19,912 20,135 17,118
21,547 21,786 18,442
22,724 23,117 19,501
22,790 23,458 19,685
23,509 24,024 20,121
24,228 24,601 20,653
23,836 24,328 20,274
25,504 25,814 21,436
25,765 26,176 21,590
Dec 31, 2003 26,386 27,350 22,390
Source for Benchmark Returns: Ibbotson Associates
23
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT GROWTH FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 28.71%
Three Years -6.15%
Five Years 1.81%
Ten Years 10.19%
Fund Inception Date April 1, 1983
Fund Registration Date March 1, 1999
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1, 1999 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's market benchmark, the Wilshire 5000 Total Market Index, consists of
common equity securities of companies domiciled in the U. S. for which daily
pricing is available. It is the broadest measure of the U. S. equity market. The
index is unmanaged and does not reflect the costs of portfolio management or
trading. The Fund's portfolio may differ significantly from the securities in
the market index.
24
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT AGGRESSIVE OPPORTUNITIES FUND
The Vantagepoint Aggressive Opportunities Fund seeks to offer high long-term
capital appreciation. The Fund's subadvisers, Southeastern Asset Management,
Inc., T. Rowe Price Associates, Inc., and Wellington Management Company, LLP,
invest primarily in stocks of small- to medium-sized companies that the
subadvisers believe offer the opportunity for higher than average growth
potential.
PERFORMANCE
The Vantagepoint Aggressive Opportunities Fund rose 44.68% in 2003. The Fund's
market benchmark, the Wilshire 4500 Index, returned 43.85%. The Lipper Capital
Appreciation Funds Index, a group of mutual funds with similar objectives, rose
31.15%.
The Aggressive Opportunities Fund produced an attractive return in this
environment. The Fund's subadvisers typically hold smaller capitalization,
higher-risk stocks in keeping with the Fund's objective of higher long-term
capital appreciation. Many of the stocks that had been particularly hard-hit in
2002 were among 2003's top performers.
COMMENTARY
Springing back from three years of losses, the major U.S. stock indexes produced
double-digit returns in 2003. These gains were fueled by continued low interest
rates, an improving economic picture, rising corporate earnings, and decreased
uncertainty about U.S. action in Iraq. Economically sensitive sectors such as
information technology, basic materials, and consumer discretionary goods led
the market higher. As often happens in the early stages of a market recovery,
smaller stocks outperformed larger stocks and the market rewarded aggressive
approaches to investing.
Although the rebound in technology stocks grabbed headlines in 2003, significant
gains were achieved across all small-cap sectors. For example, the consumer
discretionary, health care and industrial sectors each returned more than 30%.
The Fund's top contributors for the year likewise spanned a number of industries
and included Canadian cable operator Shaw Communications, equipment manufacturer
Actuant, and Hilton Hotels.
The Fund's holdings in the financial sector also produced strong returns,
particularly from insurer Fairfax Financial and real estate operator Trizec
Canada. The combination of low interest rates, rising equity markets and
increased borrowing boosted earnings expectations for financial stocks.
In March, Vantagepoint Investment Advisers hired T. Rowe Price Associates, Inc.
(T. Rowe Price) to manage one-third of the Fund's assets, replacing Roxbury
Capital Management. T. Rowe Price's emerging growth approach focuses on
fast-growing small U.S. companies early in their corporate life cycles, seeking
those that the subadviser believes can compound earnings over time at
above-average rates.
As demonstrated throughout its nine-year history, the Fund's aggressive approach
produces returns that typically fluctuate more than the overall stock market, in
both up and down markets. 2003's results were a positive illustration of this
volatility. However, investors should be prepared to weather periods in which
volatility has a negative impact. For this reason, the Fund should be considered
a long-term holding and only as a part of a well-diversified retirement
portfolio.
25
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUBADVISER DATA
Southeastern Asset Management, Inc.
- --------------------------------------------------------------------------------
Founded: 1975
Investment Style: Worldwide special situations
Investment Approach: Bottom-up fundamental research
Wellington Capital Management LLP
- --------------------------------------------------------------------------------
Founded: 1928
Investment Style: Worldwide growth opportunities
Investment Approach: Bottom-up fundamental research
T. Rowe Price Associates, Inc.
- --------------------------------------------------------------------------------
Founded: 1937
Investment Style: Emerging growth
Investment Approach: Bottom-up fundamental research
VANTAGEPOINT AGGRESSIVE OPPORTUNITIES FUND VS. WILSHIRE 4500 INDEX AND LIPPER
CAPITAL APPRECIATION FUNDS INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Wilshire Lipper
Vantagepoint 4500 Index Capital
Aggressive (no fees, Appreciation
Opportunities taxes, or Funds Index
Fund expenses) (no taxes)
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,580 10,390 10,511
11,310 11,219 11,020
11,350 11,122 10,870
Jun 30, 1999 12,320 11,589 11,531
11,650 11,238 11,260
11,570 10,959 11,149
Sep 30, 1999 11,680 10,874 11,074
12,520 11,430 11,677
13,960 12,394 12,351
Dec 31, 1999 16,339 14,102 13,959
15,647 13,933 13,558
18,167 16,101 14,878
Mar 31, 2000 17,733 15,505 15,215
16,411 13,640 13,583
15,430 12,633 12,836
Jun 30, 2000 17,113 14,151 13,744
16,545 13,749 13,442
18,487 15,283 14,732
Sep 30, 2000 17,909 14,661 13,972
16,669 13,463 13,348
13,715 11,172 11,722
Dec 31, 2000 14,812 11,879 12,153
16,228 12,525 12,847
13,985 11,003 11,307
Mar 31, 2001 12,343 9,993 10,420
14,436 11,050 11,421
14,499 11,312 11,424
Jun 30, 2001 14,687 11,403 11,252
13,684 10,876 10,792
12,356 10,347 10,106
Sep 30, 2001 10,226 9,016 8,872
10,957 9,489 9,267
12,123 10,226 10,011
Dec 31, 2001 12,775 10,774 10,219
11,947 10,571 9,975
11,082 10,272 9,629
Mar 31, 2002 11,948 10,968 10,128
11,133 10,861 9,656
10,607 10,620 9,492
Jun 30, 2002 9,503 9,898 8,677
8,375 8,938 7,913
8,237 8,990 7,942
Sep 30, 2002 7,535 8,384 7,314
7,798 8,659 7,797
8,325 9,257 8,293
Dec 31, 2002 7,861 8,867 7,768
7,711 8,675 7,637
7,485 8,455 7,528
7,523 8,580 7,608
8,300 9,295 8,141
9,015 10,178 8,675
Jun 30, 2002 9,328 10,420 8,783
9,880 10,907 9,004
10,256 11,364 9,323
10,168 11,223 9,169
10,845 12,078 9,740
11,033 12,495 9,885
Dec 31, 2003 11,373 12,755 10,188
Source for Benchmark Returns: Ibbotson Associates
26
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT AGGRESSIVE OPPORTUNITIES FUND VS. WILSHIRE 4500 INDEX AND LIPPER
CAPITAL APPRECIATION FUNDS INDEX: GROWTH OF $10,000 INVESTED OCTOBER 1, 1994
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Wilshire Lipper
Vantagepoint 4500 Index Capital
Aggressive (no fees, Appreciation
Opportunities taxes, or Funds Index
Fund expenses) (no taxes)
Oct 1, 1994 10,000 10,000 10,000
10,355 10,043 10,117
10,099 9,637 9,768
Dec 31, 1994 10,504 9,750 9,857
10,359 9,844 9,911
10,955 10,262 10,273
11,401 10,488 10,544
11,546 10,623 10,725
11,883 10,859 10,994
12,691 11,383 11,530
13,791 12,053 12,210
14,069 12,334 12,345
14,588 12,668 12,667
14,142 12,328 12,419
14,571 12,852 12,877
Dec 31, 1995 14,638 13,014 12,969
15,047 13,148 13,216
15,759 13,575 13,545
15,847 13,783 13,684
17,064 14,424 14,263
17,798 14,878 14,681
17,110 14,411 14,288
15,967 13,329 13,242
16,853 14,049 13,833
17,841 14,719 14,635
17,728 14,502 14,447
18,434 15,114 15,074
Dec 31, 1996 18,371 15,250 14,910
18,815 15,743 15,524
18,428 15,410 15,037
17,515 14,605 14,236
17,665 14,641 14,519
19,346 16,097 15,734
20,035 16,860 16,423
21,262 18,021 17,614
21,312 18,185 17,283
22,602 19,445 18,320
21,749 18,704 17,591
21,819 18,710 17,626
Dec 31, 1997 21,565 19,167 17,885
21,412 18,894 17,890
23,173 20,339 19,266
24,253 21,390 20,170
24,672 21,661 20,361
23,684 20,649 19,708
23,858 20,971 20,510
22,359 19,783 19,948
17,867 15,950 16,521
19,039 17,101 17,566
20,244 18,073 18,577
21,940 19,197 19,652
Dec 31, 1998 24,188 20,822 21,456
25,202 21,156 22,469
23,402 20,005 21,395
24,759 20,786 22,488
26,467 22,444 23,577
26,561 22,249 23,256
28,831 23,184 24,670
27,263 22,483 24,090
27,076 21,923 23,854
27,333 21,753 23,692
29,299 22,865 24,983
32,669 24,795 26,425
Dec 31, 1999 38,235 28,211 29,865
36,616 27,874 29,008
42,513 32,210 31,830
41,498 31,018 32,553
38,405 27,287 29,060
36,109 25,273 27,462
40,048 28,308 29,406
38,719 27,505 28,759
43,263 30,574 31,520
41,909 29,330 29,894
39,009 26,933 28,557
32,097 22,349 25,079
Dec 31, 2000 34,663 23,764 26,002
37,976 25,057 27,487
32,727 22,012 24,191
28,886 19,992 22,294
33,783 22,106 24,434
33,930 22,629 24,442
34,369 22,813 24,073
32,023 21,757 23,090
28,915 20,700 21,623
23,930 18,038 18,981
25,642 18,983 19,827
28,371 20,458 21,417
Dec 31, 2001 29,896 21,554 21,864
27,959 21,147 21,341
25,935 20,548 20,602
27,960 21,942 21,670
26,054 21,727 20,659
24,821 21,246 20,309
22,240 19,802 18,563
19,600 17,881 16,930
19,277 17,985 16,991
17,634 16,772 15,649
18,250 17,323 16,683
19,481 18,518 17,743
Dec 31, 2002 18,396 17,738 16,621
18,045 17,355 16,338
17,516 16,914 16,105
17,604 17,165 16,278
19,423 18,594 17,417
21,096 20,361 18,559
21,829 20,846 18,790
23,120 21,819 19,263
24,000 22,733 19,946
23,795 22,451 19,616
25,379 24,162 20,838
25,820 24,996 21,149
Dec 31, 2003 26,615 25,516 21,798
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT AGGRESSIVE OPPORTUNITIES FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 44.68%
Three Years -8.43%
Five Years 1.93%
Since Inception 11.15%
Fund Inception Date October 1, 1994
Fund Registration Date March 1, 1999
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1, 1999 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's market benchmark, the Wilshire 4500 Index, consists of all stocks in
the Wilshire 5000 Total Market Index except for those included in the S&P 500
Index. It represents mid- and small-capitalization companies. The index is
unmanaged and does not reflect the costs of portfolio management or trading. The
Fund's portfolio may differ significantly from the securities in the market
index.
27
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT INTERNATIONAL FUND
The Vantagepoint International Fund seeks to offer long-term capital growth and
diversification by country. The Fund's subadvisers use distinct investment
strategies to select among countries and companies in seeking to achieve the
Fund's objective. Two subadvisers manage the Fund: Capital Guardian Trust
Company and Artisan Partners.
PERFORMANCE
The International Fund returned 31.31% for the year. The Fund's benchmark, the
Morgan Stanley Capital International Europe, Australasia, and Far East (EAFE)
Index of stocks in developed countries, rose 39.17%. The Lipper International
Funds Index, a group of mutual funds with similar objectives, returned 35.99%.
Despite a return of more than 30%, the Fund trailed its market benchmark and
peer group of funds in 2003 principally because the Fund's subadvisers
emphasized higher-quality holdings in larger European countries, such as
Germany's Allianz and Switzerland's Credit Suisse, with less emphasis on Japan
and the Pacific region.
COMMENTARY
Rocketing back from three straight years in decline, major global stock indexes
produced double-digit returns in 2003. In the U.S., the S&P 500 Index rose
28.70%. The MSCI EAFE Index, which measures the performance of larger companies
in developed countries, rose 17.41% in local currency (meaning the currencies of
the countries in which the companies are headquartered). However, U.S. investors
in foreign stocks benefited from the rise of major world currencies against the
dollar. For example, the euro rose 20% against the dollar, while the yen and the
British pound each gained 11% versus the dollar. The foreign currency gains
boosted returns on stocks denominated in those currencies. In dollar terms, the
MSCI EAFE Index returned 39.17%, well above the S&P 500 Index.
The common factors that powered global stock market gains included low interest
rates, an improving economic picture, rising corporate earnings, and reduced
uncertainty about U.S. action in Iraq. Lower-quality issues performed better
than high-quality holdings overseas, as they did in the U.S. However, in a
marked difference from the U.S., foreign stocks paying higher dividends
outperformed those paying low or no dividends. In fact, the dividend yield of
the MSCI EAFE Index was higher at year-end than the dividend yield of the S&P
500 Index.
Smaller developed markets such as Norway, Sweden, Singapore and Hong Kong tended
to perform better than the larger countries. While the global recovery should
help all countries, investors theorized that the impact of a stronger economic
environment may be felt more quickly in smaller markets. Germany was a notable
exception to this tendency, however. After dropping nearly 60% between 2000 and
2002, the German market rose more than 30% in euro and some 60% when euro gains
against the dollar were factored in.
Japan's market rebound captured media headlines in 2003. The MSCI Japan Index
posted only its second annual gain since 1995, rising more than 20% in yen. The
yen's gain of 11% against the dollar pushed returns above 34% for U.S.
investors.
28
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SUBADVISER DATA
Capital Guardian Trust Company
- --------------------------------------------------------------------------------
Founded: 1968
Investment Style: International selected opportunities
Investment Approach: Bottom-up fundamental research
Artisan Partners Limited Partnership
- --------------------------------------------------------------------------------
Founded: 1995
Investment Style: International growth opportunities
Investment Approach: Bottom-up fundamental research
VANTAGEPOINT INTERNATIONAL FUND VS. MSCI EAFE INDEX AND LIPPER INTERNATIONAL
FUNDS INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
MSCI
EAFE Index Lipper
Vantagepoint (no fees, International
International taxes, or Funds Index
Fund expenses) (no taxes)
Mar 1, 1999 10,000 10,000 10,000
Mar 31, 1999 10,450 10,420 10,333
10,940 10,844 10,815
10,530 10,288 10,412
Jun 30, 1999 11,070 10,692 10,906
11,460 11,012 11,149
11,640 11,055 11,237
11,760 11,169 11,273
12,160 11,589 11,666
12,800 11,994 12,522
Dec 31, 1999 14,262 13,073 14,060
13,423 12,245 13,238
13,879 12,577 14,112
14,252 13,067 14,148
13,588 12,381 13,251
13,236 12,081 12,887
Jun 30, 2000 13,816 12,557 13,484
13,319 12,033 13,047
13,526 12,140 13,267
12,666 11,551 12,494
12,262 11,281 12,069
11,816 10,860 11,560
Dec 31, 2000 12,136.02 11,248 11,991
12,249 11,243 12,062
11,378 10,401 11,215
10,598 9,712 10,426
11,378 10,394 11,061
10,971 10,035 10,793
Jun 30, 2001 10,553 9,628 10,489
10,247 9,454 10,216
10,010 9,216 10,011
8,890 8,285 8,920
9,158 8,497 9,162
9,536 8,811 9,504
Dec 31, 2001 9,690 8,863 9,673
9,228 8,393 9,283
9,334 8,452 9,413
9,867 8,914 9,911
9,855 8,978 9,981
9,914 9,100 10,123
Jun 30, 2002 9,512 8,741 9,724
8,543 7,879 8,753
8,496 7,863 8,760
7,646 7,020 7,817
8,130 7,398 8,222
8,473 7,735 8,611
Dec 31, 2002 8,132 7,475 8,336
7,665 7,164 8,031
7,390 7,000 7,793
7,187 6,868 7,602
8,036 7,549 8,354
8,490 8,013 8,891
Jun 30, 2003 8,669 8,212 9,101
8,992 8,412 9,356
9,136 8,616 9,626
9,303 8,884 9,820
9,865 9,438 10,405
10,045 9,649 10,614
Dec 31, 2003 10,677 10,403 11,336
Source for Benchmark Returns: Ibbotson Associates
29
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT INTERNATIONAL FUND VS. MSCI EAFE INDEX AND LIPPER INTERNATIONAL
FUNDS INDEX: GROWTH OF $10,000 INVESTED OCTOBER 1, 1994
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
MSCI
EAFE Index Lipper
Vantagepoint (no fees, International
International taxes, or Funds Index
Fund expenses) (no taxes)
Oct 1, 1994 10,000 10,000 10,000
10,255 10,335 10,179
9,809 9,841 9,704
Dec 31, 1994 9,643 9,905 9,575
9,267 9,527 9,100
9,372 9,502 9,097
9,597 10,097 9,336
9,952 10,479 9,680
10,107 10,357 9,775
10,122 10,178 9,812
10,628 10,815 10,351
10,382 10,405 10,176
10,548 10,611 10,346
10,331 10,328 10,131
10,427 10,618 10,237
Dec 31, 1995 10,683 11,049 10,533
11,000 11,097 10,782
11,086 11,137 10,828
11,222 11,377 10,997
11,529 11,710 11,356
11,565 11,497 11,343
11,661 11,565 11,447
11,313 11,230 11,061
11,530 11,257 11,205
11,728 11,559 11,456
11,763 11,444 11,410
12,254 11,902 11,946
Dec 31, 1996 12,442 11,752 12,052
12,448 11,343 12,068
12,595 11,531 12,286
12,641 11,576 12,352
12,728 11,640 12,406
13,343 12,401 13,106
13,866 13,087 13,735
14,228 13,302 14,176
13,310 12,311 13,154
14,119 13,003 13,998
13,048 12,007 12,936
12,962 11,887 12,827
Dec 31, 1997 12,999 11,994 12,927
13,249 12,545 13,240
13,988 13,353 14,080
14,565 13,767 14,845
14,664 13,879 15,074
14,314 13,815 15,104
14,045 13,922 14,972
14,061 14,067 15,201
12,015 12,327 13,014
11,868 11,952 12,609
13,038 13,202 13,536
13,556 13,881 14,214
Dec 31, 1998 13,644 14,432 14,564
13,445 14,393 14,653
13,298 14,053 14,276
13,896 14,643 14,752
14,548 15,240 15,439
14,003 14,458 14,865
14,721 15,025 15,569
15,239 15,475 15,916
15,479 15,535 16,042
15,638 15,695 16,093
16,170 16,287 16,655
17,021 16,856 17,876
Dec 31, 1999 18,965 18,372 20,073
17,849 17,208 18,899
18,455 17,674 20,146
18,952 18,363 20,198
18,069 17,400 18,918
17,601 16,978 18,398
18,373 17,646 19,249
17,711 16,910 18,626
17,987 17,060 18,940
16,843 16,233 17,836
16,305 15,853 17,230
15,713 15,262 16,503
Dec 31, 2000 16,138 15,808 17,118
16,289 15,800 17,219
15,130 14,617 16,010
14,093 13,649 14,885
15,130 14,606 15,790
14,589 14,102 15,408
14,033 13,531 14,974
13,626 13,286 14,584
13,311 12,952 14,292
11,822 11,643 12,735
12,178 11,941 13,080
12,681 12,382 13,568
Dec 31, 2001 12,885 12,456 13,810
12,272 11,795 13,253
12,413 11,878 13,438
13,120 12,526 14,149
13,105 12,617 14,248
13,183 12,788 14,452
12,649 12,284 13,882
11,360 11,072 12,496
11,298 11,050 12,506
10,167 9,866 11,159
10,811 10,397 11,738
11,268 10,870 12,294
Dec 31, 2002 10,814 10,505 11,900
10,193 10,068 11,465
9,827 9,837 11,125
9,557 9,652 10,853
10,686 10,609 11,927
11,290 11,261 12,693
11,528 11,540 12,993
11,958 11,821 13,357
12,149 12,109 13,743
12,371 12,484 14,018
13,119 13,263 14,854
13,357 13,560 15,153
Dec 31, 2003 14,198 14,620 16,184
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT INTERNATIONAL FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 31.31%
Three Years -4.18%
Five Years 0.80%
Since Inception 3.86%
Fund Inception Date October 1, 1994
Fund Registration Date March 1, 1999
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1, 1999 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's market benchmark, the Morgan Stanley Capital International (MSCI)
Europe, Australasia, and Far East (EAFE) Index, consists of approximately 1,100
securities listed on the stock exchanges of developed markets of countries in
Europe, Australasia and the Far East. The index is unmanaged and does not
reflect the costs of portfolio management or trading. The Fund's portfolio may
differ significantly from the securities in the market index.
30
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT INDEX FUNDS
COMMENTARY
The Vantagepoint Index Funds are designed to approximate the investment
characteristics and performance of their respective specified benchmarks.
Interest rates rose from 45-year lows during 2003 as economic data pointed to an
acceleration of growth. Because interest rates and bond prices move in opposite
directions, the U.S. bond market posted more modest returns than in the previous
three years. Vantagepoint Core Bond Index Fund Class II shares returned 3.88%
and Class I Shares returned 3.59%. The Fund seeks to track the Lehman Brothers
Aggregate Bond Index, which rose 4.11%.
The major U.S. stock indexes posted strong positive returns for the first time
since 1999. The gains were fueled by low absolute interest rates, an improving
economic picture, rising corporate earnings, and decreased uncertainty about
U.S. action in Iraq. Vantagepoint 500 Stock Index Fund Class II shares returned
28.24% and Class I Shares returned 27.98%. The Fund seeks to track the S&P 500
Index, which gained 28.70%. Vantagepoint Broad Market Index Fund Class II shares
returned 31.30% and Class I Shares returned 31.08%. The Fund seeks to track the
Wilshire 5000 Total Market Index, which comprises the stocks of
U.S.-headquartered companies for which daily pricing is available and rose
31.64%. Vantagepoint Mid/Small Company Index Fund Class II shares returned
42.53% and Class I Shares returned 42.17%. The Fund seeks to track the Wilshire
4500 Index, which measures the performance of small- and mid-sized companies and
gained 43.85%.
In general, international stocks experienced positive returns in 2003. Because
the dollar declined against major currencies, international stock returns were
higher when translated into U.S. dollars. The MSCI Europe, Australasia, Far East
(EAFE) Free Index, which comprises larger stocks in developed markets, rose
39.17% in dollar terms. Vantagepoint Overseas Equity Index Fund Class II shares
returned 37.85% and Class I Shares returned 37.75%. The Fund seeks to track the
MSCI EAFE Index.
The difference between the index and funds' performance is due to tracking error
and fund expenses.
As of December 31, each Index Fund invested in a portfolio managed by Barclays
Global Fund Advisors, Inc. On December 11, 2003, the Vantagepoint Funds Board of
Directors approved the transfer of the Index Funds from a "Master - Feeder"
structure to an Adviser / Subadviser (separate accounts) arrangement. In
conjunction with this change, a new subadviser was selected. Mellon Capital
Management Corporation will manage the separate accounts. Both of these
transitions will occur during the first quarter of 2004.
*This information is being provided for educational purposes and is not intended
to be construed as or relied upon as investment advice. This information is not
intended to be construed as a solicitation for particular product or security.
Performance reflected above represents past performance. The Lehman Brothers
Aggregate Index represents securities that are US domestic, taxable, and dollar
denominated. It covers the US investment grade fixed rate bond market, with
index components for government and corporate securities, mortgage pass-through
securities, and asset-backed securities. The S&P 500 is an Index of 500 Stocks,
a widely recognized, unmanaged index of common stock prices. The Wilshire 5000
Total Market Index consists of common equity securities of companies domiciled
in the U.S. for which daily pricing is available. It is the broadest measure of
the U.S. equity market. The Wilshire 4500 Index measures the performance of all
small and mid-cap stocks. The MSCI/EAFE Index consists of approximately 1,100
securities listed on the stock exchanges of developed markets of countries in
Europe, Australasia and the Far East. A fund's portfolio may differ
significantly from the securities held in the indices. Indices are not available
for direct investment; therefore their performance does not reflect the expenses
associated with the active management of an actual open-ended investment company
portfolio. Investment returns and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. Past performance is not indicative of future returns.
Individuals are advised to consider any new investment strategies carefully
prior to implementing. Please consult the current Vantagepoint Funds prospectus,
which contains additional information on management fees, other fund expenses,
and investment risks and objectives carefully prior to investing any money.
Vantagepoint securities are distributed by ICMA-RC Services, LLC, a
broker-dealer wholly owned subsidiary of ICMA-RC, member NASD/SIPC.
1-800-669-7400. VantagePlanning fee based financial planning services are
offered through the ICMA Retirement Corporation, a federally registered
Investment Adviser. Please consult all disclosure documents prior to initiating
any plan.
31
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT CORE BOND INDEX FUND
VANTAGEPOINT CORE BOND INDEX FUND CLASS I VS. LEHMAN BROTHERS AGGREGATE BOND
INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Lehman
Brothers
Aggregate
Vantagepoint Bond Index
Core Bond (no fees,
Index Fund taxes, or
Class I expenses)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,049 10,055
10,056 10,087
9,938 9,998
Jun 30, 1999 9,896 9,966
9,871 9,925
9,858 9,920
9,955 10,035
9,971 10,072
9,969 10,071
Dec 31, 1999 9,895 10,022
9,878 9,989
10,005 10,110
10,145 10,244
10,088 10,214
10,061 10,209
Jun 30, 2000 10,265 10,421
10,370 10,516
10,516 10,669
10,557 10,736
10,628 10,807
10,804 10,984
Dec 31, 2000 11,026 11,188
11,196 11,371
11,315 11,469
11,362 11,527
11,279 11,478
11,342 11,547
Jun 30, 2001 11,385 11,591
11,677 11,851
11,818 11,987
11,941 12,126
12,250 12,380
12,046 12,209
Dec 31, 2001 11,965 12,131
12,051 12,229
12,175 12,347
11,944 12,142
12,177 12,378
12,273 12,483
Jun 30, 2002 12,362 12,592
12,520 12,744
12,722 12,960
12,924 13,170
12,875 13,109
12,861 13,105
Dec 31, 2002 13,125 13,376
13,128 13,388
13,315 13,573
13,306 13,562
13,401 13,675
13,657 13,929
Jun 30, 2003 13,614 13,901
13,157 13,434
13,232 13,523
13,582 13,881
13,441 13,752
13,474 13,785
Dec 31, 2003 13,597 13,926
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT CORE BOND INDEX FUND CLASS II VS. LEHMAN BROTHERS AGGREGATE BOND
INDEX: GROWTH OF $10,000 INVESTED APRIL 5, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Lehman
Brothers
Aggregate
Vantagepoint Bond Index
Core Bond (no fees,
Index Fund taxes, or
Class II expenses)
Apr 5, 1999 10,000 10,000
10,033 10,032
9,914 9,944
Jun 30, 1999 9,877 9,912
9,856 9,870
9,845 9,865
9,935 9,980
9,956 10,017
9,949 10,016
Dec 31, 1999 9,881 9,968
9,876 9,935
9,994 10,055
10,135 10,188
10,079 10,158
10,065 10,153
Jun 30, 2000 10,270 10,364
10,366 10,459
10,513 10,610
10,556 10,677
10,628 10,747
10,817 10,924
Dec 31, 2000 11,040 11,127
11,212 11,308
11,332 11,407
11,381 11,464
11,289 11,416
11,353 11,484
Jun 30, 2001 11,410 11,528
11,692 11,786
11,846 11,921
11,972 12,060
12,282 12,312
12,081 12,142
Dec 31, 2001 12,001 12,064
12,089 12,162
12,215 12,280
11,986 12,076
12,221 12,310
12,319 12,415
Jun 30, 2002 12,410 12,523
12,571 12,674
12,775 12,889
12,980 13,097
12,933 13,037
12,920 13,033
Dec 31, 2002 13,187 13,303
13,191 13,315
13,380 13,499
13,374 13,488
13,483 13,600
13,730 13,853
Jun 30, 2003 13,701 13,825
13,233 13,361
13,311 13,449
13,676 13,805
13,537 13,677
13,559 13,710
Dec 31, 2003 13,699 13,850
Source for Benchmark Returns: Ibbotson Associates
32
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT CORE BOND INDEX FUND
Average Annual Total Return for the periods ended December 31, 2003
================================================================================
Class I Shares Class II Shares
One Year 3.59% 3.88%
Three Years 7.23% 7.46%
Five Years 5.94% 6.15%
Since Inception 6.93% 7.13%
Inception Date June 2, 1997 June 2, 1997
Offering Date March 1, 1999 April 5, 1999
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1 Class I Shares and April 5 Class II Shares, 1999 represents the
performance of the Fund prior to its SEC registration. All returns assume
reinvested dividends and do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please consult the current prospectus carefully before investing any money.
Vantagepoint Funds are distributed by ICMA-RC Services, LLC, a broker-dealer
wholly owned subsidiary of ICMA-RC, member NASD/SIPC. 1-800-669-7400.
This fund's benchmark, the Lehman Brothers Aggregate Bond Index, consists of all
investment-grade U. S. fixed income securities. The index is unmanaged and does
not reflect the costs of portfolio management or trading. The Fund's portfolio
may differ significantly from the securities in the market index.
33
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT 500 STOCK INDEX FUND
VANTAGEPOINT 500 STOCK INDEX FUND CLASS I VS. S&P 500 INDEX: GROWTH OF $10,000
INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
S&P 500
Vantagepoint Index
500 Stock (no fees,
Index Fund taxes, or
Class I expenses)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,400 10,400
10,790 10,803
10,530 10,548
Jun 30, 1999 11,110 11,133
10,760 10,786
10,710 10,732
10,410 10,438
11,070 11,099
11,290 11,324
Dec 31, 1999 11,952 11,991
11,347 11,389
11,125 11,173
12,204 12,266
11,831 11,897
11,589 11,653
Jun 30, 2000 11,861 11,940
11,680 11,754
12,396 12,484
11,740 11,825
11,680 11,775
10,762 10,846
Dec 31, 2000 10,804 10,899
11,187 11,286
10,162 10,257
9,509 9,607
10,245 10,354
10,317 10,423
Jun 30, 2001 10,058 10,170
9,955 10,069
9,323 9,439
8,567 8,677
8,733 8,842
9,392 9,521
Dec 31, 2001 9,476 9,604
9,330 9,464
9,152 9,281
9,487 9,631
8,911 9,047
8,837 8,980
Jun 30, 2002 8,209 8,340
7,570 7,690
7,612 7,741
6,785 6,899
7,382 7,507
7,811 7,949
Dec 31, 2002 7,354 7,481
7,153 7,285
7,047 7,176
7,110 7,245
7,693 7,842
8,096 8,256
Jun 30, 2003 8,191 8,361
8,329 8,509
8,499 8,675
8,403 8,583
8,870 9,068
8,944 9,148
Dec 31, 2003 9,412 9,628
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT 500 STOCK INDEX FUND CLASS II VS. S&P 500 INDEX: GROWTH OF $10,000
INVESTED APRIL 5, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
S&P 500
Vantagepoint Index
500 Stock (no fees,
Index Fund taxes, or
Class II expenses)
Apr 5, 1999 10,000 10,000
10,320 10,387
10,080 10,142
Jun 30, 1999 10,640 10,705
10,300 10,371
10,250 10,319
9,970 10,037
10,600 10,672
10,810 10,889
Dec 31, 1999 11,443 11,530
10,867 10,951
10,655 10,743
11,696 11,794
11,342 11,440
11,110 11,205
Jun 30, 2000 11,373 11,481
11,201 11,302
11,888 12,003
11,262 11,370
11,211 11,322
10,321 10,429
Dec 31, 2000 10,372 10,480
10,737 10,852
9,757 9,862
9,132 9,238
9,841 9,956
9,903 10,022
Jun 30, 2001 9,663 9,778
9,559 9,682
8,965 9,076
8,235 8,343
8,391 8,502
9,036 9,154
Dec 31, 2001 9,110 9,235
8,972 9,100
8,804 8,924
9,131 9,260
8,572 8,699
8,508 8,635
Jun 30, 2002 7,906 8,019
7,282 7,394
7,335 7,443
6,532 6,634
7,113 7,218
7,525 7,643
Dec 31, 2002 7,090 7,193
6,897 7,005
6,790 6,900
6,854 6,967
7,412 7,541
7,809 7,938
Jun 30, 2003 7,905 8,040
8,045 8,181
8,195 8,341
8,109 8,252
8,560 8,720
8,635 8,796
Dec 31, 2003 9,092 9,258
Source for Benchmark Returns: Ibbotson Associates
34
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT 500 STOCK INDEX FUND
Average Annual Total Return for the periods ended December 31, 2003
================================================================================
Class I Shares Class II Shares
One Year 27.98% 28.24%
Three Years -4.49% -4.30%
Five Years -1.04% -0.83%
Since Inception 5.30% 5.52%
Inception Date June 2, 1997 June 2, 1997
Offering Date March 1, 1999 April 5, 1999
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1 Class I Shares and April 5 Class II Shares, 1999 represents the
performance of the Fund prior to its SEC registration. All returns assume
reinvested dividends and do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please consult the current prospectus carefully before investing any money.
Vantagepoint Funds are distributed by ICMA-RC Services, LLC, a broker-dealer
wholly owned subsidiary of ICMA-RC, member NASD/SIPC. 1-800-669-7400.
This fund's benchmark, the S&P 500 Index, consists of 500 companies representing
larger capitalization stocks traded in the U. S. The index is unmanaged and does
not reflect the costs of portfolio management or trading.
35
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT BROAD MARKET INDEX FUND
VANTAGEPOINT BROAD MARKET INDEX FUND CLASS I VS. WILSHIRE 5000 TOTAL MARKET
INDEX: GROWTH OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Wilshire
Vantagepoint 5000 Index
Broad Market (no fees,
Index Fund taxes, or
Class I expenses)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,390 10,386
10,880 10,884
10,660 10,645
Jun 30, 1999 11,220 11,197
10,870 10,838
10,770 10,737
Sep 30, 1999 10,510 10,456
11,150 11,121
11,520 11,493
Dec 31, 1999 12,407 12,366
11,888 11,853
12,173 12,118
Mar 31, 2000 12,904 12,838
12,224 12,169
11,817 11,744
Jun 30, 2000 12,356 12,262
12,132 12,012
13,016 12,884
Sep 30, 2000 12,356 12,283
12,081 12,022
10,882 10,826
Dec 31, 2000 11,069 11,019
11,494 11,441
10,373 10,356
Mar 31, 2001 9,644 9,659
10,449 10,454
10,547 10,558
Jun 30, 2001 10,362 10,381
10,177 10,209
9,567 9,591
Sep 30, 2001 8,686 8,730
8,902 8,952
9,590 9,637
Dec 31, 2001 9,756 9,810
9,601 9,688
9,390 9,489
Mar 31, 2002 9,800 9,904
9,301 9,420
9,202 9,310
Jun 30, 2002 8,548 8,655
7,849 7,957
7,893 8,003
Sep 30, 2002 7,106 7,200
7,638 7,751
8,104 8,218
Dec 31, 2002 7,646 7,763
7,457 7,568
7,324 7,439
Mar 31, 2003 7,402 7,523
8,001 8,140
8,489 8,637
Jun 30, 2003 8,611 8,765
8,811 8,976
9,022 9,192
Sep 30, 2003 8,911 9,090
9,454 9,645
9,588 9,780
Dec 31, 2003 10,022 10,219
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT BROAD MARKET INDEX FUND CLASS II VS. WILSHIRE 5000 TOTAL MARKET
INDEX: GROWTH OF $10,000 INVESTED APRIL 5, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Wilshire
Vantagepoint 5000 Index
Broad Market (no fees,
Index Fund taxes, or
Class II expenses)
Apr 5, 1999 10,000 10,000
10,410 10,479
10,210 10,250
Jun 30, 1999 10,750 10,780
10,410 10,435
10,320 10,338
10,070 10,067
10,690 10,708
11,040 11,066
Dec 31, 1999 11,901 11,907
11,402 11,412
11,677 11,668
12,380 12,361
11,728 11,717
11,341 11,308
Jun 30, 2000 11,850 11,806
11,646 11,566
12,492 12,405
11,870 11,826
11,595 11,575
10,454 10,424
Dec 31, 2000 10,628 10,609
11,046 11,016
9,958 9,971
9,265 9,300
10,046 10,065
10,134 10,165
Jun 30, 2001 9,958 9,995
9,782 9,830
9,199 9,235
8,353 8,405
8,562 8,619
9,225 9,278
Dec 31, 2001 9,382 9,445
9,236 9,328
9,044 9,136
9,438 9,536
8,966 9,070
8,865 8,964
Jun 30, 2002 8,235 8,334
7,561 7,661
7,605 7,706
6,842 6,933
7,370 7,463
7,809 7,913
Dec 31, 2002 7,374 7,475
7,183 7,286
7,058 7,163
7,149 7,244
7,724 7,838
8,186 8,317
Jun 30, 2003 8,310 8,439
8,502 8,643
8,716 8,851
8,603 8,752
9,133 9,287
9,257 9,417
Dec 31, 2003 9,682 9,840
Source for Benchmark Returns: Ibbotson Associates
36
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT BROAD MARKET INDEX FUND
Average Annual Total Return for the periods ended December 31, 2003
Class I Shares Class II Shares
One Year 31.08% 31.30%
Three Years -3.26% -3.06%
Five Years -0.06% 0.14%
Since Inception 10.86% 11.08%
Inception Date October 1, 1994 October 1, 1994
Offering Date March 1, 1999 April 5, 1999
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1 Class I Shares and April 5 Class II Shares, 1999 represents the
performance of the Fund prior to its SEC registration. All returns assume
reinvested dividends and do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please consult the current prospectus carefully before investing any money.
Vantagepoint Funds are distributed by ICMA-RC Services, LLC, a broker-dealer
wholly owned subsidiary of ICMA-RC, member NASD/SIPC. 1-800-669-7400.
This fund's benchmark, the Wilshire 5000 Total Market Index, consists of common
equity securities of companies domiciled in the U. S. for which daily pricing is
available. It is the broadest measure of the U. S. equity market. The index is
unmanaged and does not reflect the costs of portfolio management or trading. The
Fund's portfolio may differ significantly from the securities in the market
index.
37
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT MID/SMALL COMPANY INDEX FUND
VANTAGEPOINT MID/SMALL COMPANY INDEX FUND CLASS I VS. WILSHIRE 4500 INDEX:
GROWTH OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Vantagepoint Wilshire
Mid/Small 4500 Index
Company (no fees,
Index Fund taxes, or
Class I expenses)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,370 10,390
11,190 11,219
11,140 11,122
Jun 30, 1999 11,610 11,589
11,230 11,238
10,980 10,959
10,870 10,874
11,430 11,430
12,370 12,394
Dec 31, 1999 14,090 14,102
13,888 13,933
16,024 16,101
15,457 15,505
13,655 13,640
12,663 12,633
Jun 30, 2000 14,191 14,151
13,817 13,749
15,345 15,283
14,718 14,661
13,534 13,463
11,266 11,172
Dec 31, 2000 11,990 11,879
12,626 12,525
11,093 11,003
10,061 9,993
11,125 11,050
11,375 11,312
Jun 30, 2001 11,500 11,403
10,958 10,876
10,416 10,347
9,050 9,016
9,512 9,489
10,263 10,226
Dec 31, 2001 10,803 10,774
10,602 10,571
10,295 10,272
10,993 10,968
10,877 10,861
10,623 10,620
Jun 30, 2002 9,893 9,898
8,941 8,938
8,972 8,990
8,359 8,384
8,634 8,659
9,205 9,257
Dec 31, 2002 8,814 8,867
8,623 8,675
8,391 8,455
8,518 8,580
9,216 9,295
10,073 10,178
Jun 30, 2003 10,285 10,420
10,761 10,907
11,216 11,364
11,046 11,223
11,882 12,078
12,295 12,495
Dec 31, 2003 12,531 12,755
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MID/SMALL COMPANY INDEX FUND CLASS II VS. WILSHIRE 4500 INDEX:
GROWTH OF $10,000 INVESTED APRIL 5, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Vantagepoint Wilshire
Mid/Small 4500 Index
Company (no fees,
Index Fund taxes, or
Class II expenses)
Apr 5, 1999 10,000 10,000
10,760 10,798
10,720 10,704
Jun 30, 1999 11,170 11,154
10,810 10,816
10,560 10,547
10,460 10,465
11,000 11,000
11,910 11,929
Dec 31, 1999 13,564 13,572
13,371 13,410
15,431 15,496
14,883 14,923
13,158 13,128
12,194 12,159
Jun 30, 2000 13,675 13,619
13,320 13,232
14,791 14,709
14,183 14,110
13,057 12,958
10,865 10,752
Dec 31, 2000 11,563 11,433
12,182 12,055
10,703 10,590
9,706 9,618
10,734 10,635
10,976 10,887
Jun 30, 2001 11,102 10,975
10,587 10,467
10,062 9,958
8,751 8,678
9,187 9,133
9,924 9,842
Dec 31, 2001 10,447 10,370
10,255 10,174
9,955 9,886
10,628 10,556
10,521 10,453
10,275 10,222
Jun 30, 2002 9,570 9,526
8,651 8,602
8,673 8,652
8,096 8,069
8,353 8,334
8,919 8,909
Dec 31, 2002 8,534 8,534
8,342 8,349
8,129 8,137
8,246 8,258
8,930 8,946
9,763 9,796
Jun 30, 2003 9,966 10,029
10,436 10,497
10,874 10,937
10,714 10,801
11,526 11,624
11,921 12,025
Dec 31, 2003 12,165 12,275
Source for Benchmark Returns: Ibbotson Associates
38
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT MID/SMALL COMPANY INDEX FUND
Average Annual Total Return for the periods ended December 31, 2003
================================================================================
Class I Shares Class II Shares
One Year 42.17% 42.53%
Three Years 1.48% 1.71%
Five Years 3.43% 3.65%
Since Inception 6.37% 6.60%
Inception Date June 2, 1997 June 2, 1997
Offering Date March 1, 1999 April 5, 1999
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1 Class I Shares and April 5 Class II Shares, 1999 represents the
performance of the Fund prior to its SEC registration. All returns assume
reinvested dividends and do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please consult the current prospectus carefully before investing any money.
Vantagepoint Funds are distributed by ICMA-RC Services, LLC, a broker-dealer
wholly owned subsidiary of ICMA-RC, member NASD/SIPC. 1-800-669-7400.
This fund's benchmark, the Wilshire 4500 Index, consists of all stocks in the
Wilshire 5000 Total Market Index except for those included in the S&P 500 Index.
It represents mid- and small-capitalization companies. The index is unmanaged
and does not reflect the costs of portfolio management or trading. The Fund's
portfolio may differ significantly from the securities in the market index.
39
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VANTAGEPOINT OVERSEAS EQUITY INDEX FUND
VANTAGEPOINT OVERSEAS EQUITY INDEX FUND CLASS I VS. MSCI EAFE FREE INDEX: GROWTH
OF $10,000 INVESTED MARCH 1, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Vantagepoint MSCI EAFE
Overseas Free Index
Equity (no fees,
Index Fund taxes, or
Class I expenses)
Mar 1, 1999 10,000 10,000
Mar 31, 1999 10,420 10,415
10,840 10,843
10,270 10,279
Jun 30, 1999 10,650 10,678
10,950 10,998
11,000 11,038
11,100 11,151
11,520 11,571
11,920 11,975
Dec 31, 1999 13,003 13,052
12,075 12,225
12,371 12,556
12,850 13,045
12,157 12,361
11,963 12,062
Jun 30, 2000 12,330 12,536
11,831 12,013
11,922 12,120
11,351 11,532
11,096 11,262
10,658 10,842
Dec 31, 2000 11,025 11,230
11,025 11,225
10,176 10,384
9,501 9,696
10,154 10,376
9,795 10,019
Jun 30, 2001 9,392 9,613
9,218 9,438
8,978 9,201
8,130 8,271
8,281 8,483
8,580 8,796
Dec 31, 2001 8,625 8,849
8,170 8,379
8,203 8,438
8,691 8,899
8,702 8,963
8,813 9,085
Jun 30, 2002 8,458 8,727
7,616 7,866
7,583 7,850
6,773 7,009
7,117 7,386
7,438 7,722
Dec 31, 2002 7,182 7,463
6,877 7,152
6,718 6,989
6,583 6,857
7,227 7,536
7,667 8,000
Jun 30, 2003 7,848 8,198
8,028 8,398
8,220 8,602
8,469 8,869
8,988 9,422
9,180 9,633
Dec 31, 2003 9,893 10,386
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT OVERSEAS EQUITY INDEX FUND CLASS II VS. MSCI EAFE FREE INDEX:
GROWTH OF $10,000 INVESTED APRIL 5, 1999
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Vantagepoint MSCI EAFE
Overseas Free Index
Equity (no fees,
Index Fund taxes, or
Class II expenses)
Apr 5, 1999 10,000 10,000
Apr 30, 1999 10,380 10,411
9,840 9,870
Jun 30, 1999 10,200 10,252
10,500 10,559
10,530 10,598
10,630 10,707
11,030 11,109
11,410 11,497
Dec 31, 1999 12,459 12,531
11,570 11,737
11,856 12,055
12,316 12,525
11,662 11,868
11,468 11,581
Jun 30, 2000 11,826 12,036
11,345 11,534
11,437 11,637
10,896 11,072
10,640 10,813
10,221 10,410
Dec 31, 2000 10,588 10,782
10,588 10,777
9,776 9,970
9,127 9,310
9,754 9,963
9,413 9,619
Jun 30, 2001 9,018 9,229
8,853 9,062
8,633 8,834
7,765 7,942
7,957 8,145
8,249 8,445
Dec 31, 2001 8,305 8,496
7,856 8,045
7,901 8,102
8,360 8,544
8,371 8,606
8,484 8,723
Jun 30, 2002 8,147 8,379
7,327 7,552
7,304 7,537
6,519 6,729
6,856 7,092
7,170 7,414
Dec 31, 2002 6,925 7,166
6,627 6,867
6,478 6,710
6,352 6,583
6,971 7,236
7,395 7,681
Jun 30, 2003 7,567 7,871
7,751 8,063
7,934 8,259
8,175 8,515
8,680 9,047
8,863 9,249
Dec 31, 2003 9,547 9,972
Source for Benchmark Returns: Ibbotson Associates
40
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VANTAGEPOINT OVERSEAS EQUITY INDEX FUND
Average Annual Total Return for the periods ended December 31, 2003
================================================================================
Class I Shares Class II Shares
One Year 37.75% 37.85%
Three Years -3.54% -3.38%
Five Years -0.80% -0.62%
Since Inception 1.43% 1.61%
Inception Date June 2, 1997 June 2, 1997
Offering Date March 1, 1999 April 5, 1999
Prior to March 1, 1999, the Fund existed as an unregistered commingled fund.
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
March 1 Class I Shares and April 5 Class II Shares, 1999 represents the
performance of the Fund prior to its SEC registration. All returns assume
reinvested dividends and do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
Please consult the current prospectus carefully before investing any money.
Vantagepoint Funds are distributed by ICMA-RC Services, LLC, a broker-dealer
wholly owned subsidiary of ICMA-RC, member NASD/SIPC. 1-800-669-7400.
This fund's benchmark, the Morgan Stanley Capital International (MSCI) Europe,
Australasia, and Far East (EAFE) Free Index, consists of a subset of the EAFE
Index that excludes securities that are not available for purchase by foreign
investors. The index is unmanaged and does not reflect the costs of portfolio
management or trading. The Fund's portfolio may differ significantly from the
securities in the market index.
41
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VANTAGEPOINT MODEL PORTFOLIO SAVINGS ORIENTED FUND
The Savings Oriented Fund seeks to offer capital preservation, reasonable
current income and some capital growth while limiting risk. It pursues its
objectives by investing 75 percent of its assets in fixed income funds, with the
remainder invested in funds featuring holdings in larger company stocks (20
percent) and international stocks (5 percent) for both growth potential and
inflation protection. The Fund is designed for conservative investors who seek a
diversified portfolio.
The Fund invests in five other Vantagepoint Funds: the Income Preservation Fund
(65 percent of assets), the US Government Securities Fund (10 percent), the
Equity Income Fund (10 percent), the Growth & Income Fund (10 percent) and the
International Fund (5 percent).
COMMENTARY
The Vantagepoint Savings Oriented Fund returned 9.93% in 2003. The Fund's
composite benchmark of broad-based market indexes (65% 30-day T-bill/10% Lehman
Brothers Aggregate Bond/20% Wilshire 5000 Total Market Index/5% MSCI EAFE, which
returned 1.02%, 4.11%, 31.65% and 39.15% respectively for 2003) returned 8.79%.
All components of the Savings Oriented Fund had positive returns in 2003. The
Income Preservation Fund fulfilled its role as a stable anchor for the Fund. The
strong performance of the Equity Income, Growth & Income, and International
Funds (all up more than 30%) provided a satisfying boost to the lower returns of
the Income Preservation and US Government Securities Funds. Although equity
funds comprised just 25 percent of total fund assets, they produced close to
three-quarters of the Fund's overall return.
VANTAGEPOINT MODEL PORTFOLIO SAVINGS ORIENTED FUND VS. BLENDED BENCHMARK AND
LEHMAN BROTHERS AGGREGATE BOND INDEX: GROWTH OF $10,000 INVESTED DECEMBER 4,
2000
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 65%
30-day T-bill/10%
Lehman Brothers
Vantagepoint Aggregate Bond/20% Lehman Brothers
Model Portfolio Wilshire 5000/5% MSCI Aggregate Bond Index
Savings Oriented EAFE (no fees, taxes, (no fees, taxes, or
Fund or expenses) expenses)
Dec 4, 2000 10,000 10,000 10,000
Dec 31, 2000 10,146 10,105 10,186
10,235 10,234 10,352
10,166 10,035 10,442
10,097 9,899 10,494
10,267 10,118 10,450
10,332 10,148 10,513
Jun 30, 2001 10,304 10,116 10,553
10,344 10,116 10,789
10,292 10,013 10,913
10,105 9,812 11,040
10,190 9,909 11,271
10,354 10,076 11,115
Dec 31, 2001 10,431 10,119 11,044
10,408 10,084 11,133
10,431 10,065 11,241
10,554 10,172 11,055
10,513 10,106 11,269
10,531 10,108 11,365
Jun 30, 2002 10,386 9,963 11,464
10,204 9,775 11,603
10,250 9,811 11,799
10,036 9,586 11,990
10,199 9,763 11,935
10,382 9,910 11,931
Dec 31, 2002 10,289 9,811 12,178
10,228 9,748 12,189
10,195 9,723 12,357
10,219 9,741 12,347
10,477 9,964 12,450
10,697 10,140 12,681
Jun 30, 2003 10,754 10,187 12,656
10,805 10,219 12,231
10,876 10,292 12,312
10,899 10,318 12,638
11,063 10,471 12,520
11,134 10,520 12,550
Dec 31, 2003 11,310 10,672 12,678
Source for Benchmark Returns: Ibbotson Associates
42
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VANTAGEPOINT MODEL PORTFOLIO SAVINGS ORIENTED FUND VS. BLENDED BENCHMARK AND
LEHMAN BROTHERS AGGREGATE BOND INDEX: GROWTH OF $10,000 INVESTED FEBRUARY 9,
1995
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 65%
30-day T-bill/10%
Lehman Brothers
Vantagepoint Aggregate Bond/20% Lehman Brothers
Model Portfolio Wilshire 5000/5% MSCI Aggregate Bond Index
Savings Oriented EAFE (no fees, taxes, (no fees, taxes, or
Fund or expenses) expenses)
Feb 9, 1995 10,000 10,000 10,000
10,033 10,128 10,238
10,085 10,250 10,300
10,208 10,364 10,445
10,370 10,504 10,849
10,413 10,602 10,928
10,516 10,751 10,904
10,588 10,798 11,036
10,741 10,931 11,143
10,774 10,943 11,288
10,927 11,097 11,457
Dec 31, 1995 11,070 11,207 11,618
11,183 11,308 11,694
11,206 11,358 11,491
11,249 11,416 11,410
11,292 11,517 11,346
11,375 11,599 11,324
11,459 11,629 11,475
11,411 11,524 11,506
11,494 11,628 11,487
11,658 11,821 11,687
11,792 11,907 11,946
12,026 12,140 12,151
Dec 31, 1996 12,039 12,130 12,038
12,183 12,278 12,075
12,296 12,321 12,105
12,239 12,235 11,971
12,373 12,398 12,150
12,598 12,666 12,266
12,772 12,863 12,412
12,997 13,142 12,747
12,889 13,018 12,638
13,145 13,265 12,825
13,118 13,181 13,011
13,292 13,301 13,071
Dec 31, 1997 13,447 13,410 13,203
13,521 13,510 13,372
13,716 13,784 13,362
13,921 13,983 13,407
13,945 14,068 13,477
13,928 14,041 13,605
14,023 14,194 13,720
14,026 14,179 13,749
13,727 13,712 13,973
14,013 13,944 14,300
14,320 14,246 14,224
14,516 14,498 14,306
Dec 31, 1998 14,681 14,752 14,348
14,715 14,903 14,450
14,638 14,786 14,197
14,783 14,980 14,276
15,023 15,195 14,321
14,990 15,110 14,195
15,169 15,330 14,150
15,166 15,286 14,090
15,122 15,299 14,083
15,069 15,283 14,247
15,237 15,550 14,299
15,285 15,718 14,298
Dec 31, 1999 15,403 16,064 14,229
15,248 15,918 14,182
15,144 16,075 14,354
15,585 16,367 14,543
15,612 16,198 14,501
15,771 16,117 14,494
15,737 16,366 14,796
15,835 16,332 14,930
16,084 16,653 15,147
16,091 16,523 15,242
16,198 16,504 15,343
16,135 16,227 15,594
Dec 31, 2000 16,370 16,397 15,884
16,514 16,606 16,143
16,403 16,284 16,284
16,292 16,063 16,365
16,566 16,418 16,296
16,670 16,467 16,394
16,624 16,415 16,456
16,690 16,415 16,825
16,605 16,247 17,019
16,305 15,921 17,216
16,441 16,079 17,576
16,706 16,351 17,333
Dec 31, 2001 16,831 16,420 17,222
16,794 16,364 17,362
16,831 16,332 17,530
17,029 16,506 17,239
16,963 16,400 17,574
16,992 16,402 17,723
16,757 16,167 17,877
16,464 15,862 18,094
16,538 15,920 18,399
16,192 15,556 18,697
16,456 15,842 18,611
16,751 16,081 18,606
Dec 31, 2002 16,600 15,920 18,991
16,502 15,818 19,008
16,449 15,777 19,270
16,487 15,807 19,255
16,904 16,168 19,415
17,260 16,455 19,776
17,351 16,531 19,736
17,434 16,582 19,073
17,547 16,701 19,199
17,585 16,743 19,708
17,850 16,992 19,525
17,964 17,070 19,571
Dec 31, 2003 18,248 17,317 19,771
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO SAVINGS ORIENTED FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 9.93%
Three Years 3.68%
Five Years 4.47%
Since Inception 7.01%
Fund Inception Date February 9, 1995
Fund Registration Date December 4, 2000
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
December 4, 2000 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's composite blended benchmark is comprised of 65% 30-day T-bill, 10%
Lehman Brothers Aggregate Bond Index, 20% Wilshire 5000 Total Market Index and
5% MSCI/EAFE. The Lehman Brothers Aggregate Bond Index consists of all
investment-grade U. S. fixed income securities. The Wilshire 5000 Total Market
Index consists of common equity securities of companies domiciled in the U. S.
for which daily pricing is available. It is the broadest measure of the U. S.
equity market. The MSCI/EAFE Index consists of approximately 1,100 securities
listed on the stock exchanges of developed markets of countries in Europe,
Australasia and the Far East. The indexes are unmanaged and do not reflect the
costs of portfolio management or trading. The Fund's portfolio may differ
significantly from the securities in the indexes.
43
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VANTAGEPOINT MODEL PORTFOLIO CONSERVATIVE GROWTH FUND
The Conservative Growth Fund seeks to offer reasonable current income and
capital preservation, with modest potential for capital growth. It pursues these
objectives by allocating 60 percent of its assets to fixed income funds and 40
percent of assets to stock funds, including international stocks.
The Fund invests in seven other Vantagepoint Funds: the Income Preservation Fund
(50 percent), the Core Bond Index Fund (10 percent), the Equity Income Fund (10
percent), the Growth & Income Fund (10 percent), the Growth Fund (10 percent),
the Aggressive Opportunities Fund (5 percent) and the International Fund (5
percent).
COMMENTARY
The Vantagepoint Conservative Growth Fund returned 14.64% in 2003. The Fund's
composite benchmark of broad-based market indexes (50% 30-day T-bill/10% Lehman
Brothers Aggregate Bond/35% Wilshire 5000 Total Market Index/5% MSCI EAFE, which
returned 1.02%, 4.11%, 31.65% and 39.15% respectively for 2003) returned 13.25%.
All components of the Conservative Growth Fund had positive returns in 2003.
However, equity fund returns outstripped bond and stable value returns by a
significant margin. Equity funds comprised just 40 percent of Fund assets, but
produced more than 80 percent of overall Fund return for the year. The Equity
Income Fund was the most significant contributor to overall Fund return,
followed by the Growth & Income Fund.
VANTAGEPOINT MODEL PORTFOLIO CONSERVATIVE GROWTH VS. BLENDED BENCHMARK, LEHMAN
BROTHERS AGGREGATE BOND INDEX AND WILSHIRE 5000 TOTAL MARKET INDEX: GROWTH OF
$10,000 INVESTED DECEMBER 4, 2000
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 50%
30-day T-bill/10% Lehman
Lehman Brothers Brothers
Aggregate Bond/35% Aggregate
Vantagepoint Wilshire 5000/5% Bond Index Wilshire
Model Portfolio MSCI EAFE (no fees, 5000 Index
Conservative (no fees, taxes, taxes, or (no fees, taxes,
Growth Fund or expenses) expenses) or expenses)
Dec 4, 2000 10,000 10,000 10,000 10,000
Dec 31, 2000 10,219 10,124 10,186 10,178
10,388 10,303 10,352 10,568
10,096 9,951 10,442 9,566
9,869 9,709 10,494 8,922
10,224 10,038 10,450 9,656
10,285 10,078 10,513 9,752
Jun 30, 2001 10,244 10,016 10,553 9,589
10,211 9,987 10,789 9,430
10,030 9,790 10,913 8,860
9,626 9,458 11,040 8,064
9,815 9,584 11,271 8,269
10,119 9,854 11,115 8,901
Dec 31, 2001 10,229 9,919 11,044 9,061
10,167 9,865 11,133 8,949
10,105 9,813 11,241 8,765
10,310 9,981 11,055 9,148
10,171 9,841 11,269 8,702
10,143 9,823 11,365 8,599
Jun 30, 2002 9,863 9,576 11,464 7,995
9,544 9,278 11,603 7,350
9,587 9,318 11,799 7,393
9,245 8,962 11,990 6,651
9,487 9,229 11,935 7,160
9,735 9,449 11,931 7,591
Dec 31, 2002 9,548 9,276 12,178 7,171
9,451 9,180 12,189 6,990
9,397 9,132 12,357 6,872
9,436 9,163 12,347 6,950
9,803 9,483 12,450 7,519
10,101 9,737 12,681 7,979
Jun 30, 2003 10,169 9,802 12,656 8,096
10,267 9,867 12,231 8,292
10,384 9,972 12,312 8,491
10,389 9,980 12,638 8,397
10,653 10,218 12,520 8,910
10,736 10,286 12,550 9,034
Dec 31, 2003 10,946 10,503 12,678 9,440
Source for Benchmark returns: Ibbotson Associates
44
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VANTAGEPOINT MODEL PORTFOLIO CONSERVATIVE GROWTH VS. BLENDED BENCHMARK, LEHMAN
BROTHERS AGGREGATE BOND INDEX AND WILSHIRE 5000 TOTAL MARKET INDEX: GROWTH OF
$10,000 INVESTED APRIL 1, 1996
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 50%
30-day T-bill/10% Lehman
Lehman Brothers Brothers
Aggregate Bond/35% Aggregate
Vantagepoint Wilshire 5000/5% Bond Index Wilshire
Model Portfolio MSCI EAFE (no fees, 5000 Index
Conservative (no fees, taxes, taxes, or (no fees, taxes,
Growth Fund or expenses) expenses) or expenses)
Apr 1, 1996 10,000 10,000 10,000 10,000
10,023 10,118 9,944 10,247
10,126 10,225 9,924 10,527
10,179 10,233 10,057 10,441
10,042 10,051 10,084 9,877
10,175 10,184 10,067 10,193
10,389 10,427 10,242 10,736
10,512 10,518 10,470 10,886
10,806 10,823 10,649 11,607
Dec 31, 1996 10,809 10,788 10,550 11,477
10,993 10,999 10,582 12,091
11,076 11,030 10,609 12,085
10,959 10,873 10,491 11,551
11,123 11,082 10,648 12,055
11,427 11,431 10,750 12,909
11,652 11,681 10,877 13,502
11,987 12,061 11,171 14,540
11,840 11,872 11,076 13,993
12,165 12,195 11,240 14,819
12,058 12,049 11,403 14,325
12,253 12,210 11,456 14,794
Dec 31, 1997 12,427 12,336 11,571 15,068
12,461 12,430 11,719 15,150
12,767 12,810 11,710 16,252
13,043 13,084 11,750 17,066
13,057 13,179 11,811 17,268
12,970 13,092 11,923 16,809
13,095 13,296 12,025 17,398
13,038 13,230 12,050 17,017
12,417 12,477 12,246 14,367
12,794 12,801 12,533 15,305
13,221 13,216 12,466 16,444
13,538 13,569 12,537 17,480
Dec 31, 1998 13,896 13,929 12,575 18,598
14,011 14,141 12,664 19,282
13,823 13,945 12,443 18,583
14,050 14,200 12,511 19,300
14,401 14,498 12,551 20,225
14,308 14,362 12,441 19,782
14,599 14,674 12,401 20,806
14,536 14,553 12,349 20,139
14,432 14,536 12,343 19,952
14,349 14,455 12,486 19,430
14,630 14,838 12,532 20,666
14,769 15,064 12,531 21,358
Dec 31, 1999 15,130 15,558 12,471 22,980
14,865 15,310 12,429 22,026
14,893 15,502 12,580 22,519
15,466 15,912 12,746 23,857
15,362 15,612 12,709 22,614
15,451 15,440 12,703 21,824
15,519 15,772 12,967 22,787
15,567 15,679 13,085 22,322
15,998 16,146 13,274 23,942
15,895 15,895 13,358 22,825
15,902 15,813 13,446 22,340
15,497 15,299 13,667 20,118
Dec 31, 2000 15,837 15,489 13,921 20,476
16,098 15,763 14,148 21,261
15,645 15,224 14,271 19,244
15,294 14,854 14,342 17,949
15,843 15,357 14,282 19,426
15,939 15,418 14,368 19,619
15,875 15,324 14,422 19,290
15,824 15,279 14,745 18,972
15,543 14,977 14,915 17,824
14,917 14,469 15,088 16,223
15,210 14,663 15,403 16,635
15,682 15,075 15,191 17,908
Dec 31, 2001 15,851 15,176 15,094 18,229
15,756 15,092 15,216 18,003
15,660 15,013 15,363 17,633
15,976 15,270 15,108 18,405
15,762 15,055 15,402 17,506
15,718 15,027 15,532 17,300
15,284 14,651 15,668 16,084
14,791 14,194 15,857 14,786
14,857 14,255 16,125 14,873
14,327 13,712 16,386 13,380
14,702 14,119 16,311 14,404
15,086 14,457 16,306 15,272
Dec 31, 2002 14,796 14,191 16,644 14,426
14,645 14,044 16,659 14,063
14,562 13,970 16,888 13,825
14,622 14,018 16,875 13,981
15,191 14,509 17,015 15,127
15,653 14,897 17,332 16,051
15,759 14,996 17,297 16,288
15,910 15,096 16,716 16,681
16,092 15,257 16,826 17,082
16,100 15,268 17,272 16,892
16,509 15,633 17,111 17,924
16,638 15,737 17,152 18,175
Dec 31, 2003 16,963 16,068 17,327 18,991
Source for Benchmark returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO CONSERVATIVE GROWTH FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 14.64%
Three Years 2.31%
Five Years 4.07%
Since Inception 7.06%
Fund Inception Date April 1, 1996
Fund Registration Date December 4, 2000
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
December 4, 2000 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's composite blended benchmark is comprised of 50% 30-day T-bill, 10%
Lehman Aggregate Bond Index, 35% Wilshire 5000 Total Market Index and 5%
MSCI/EAFE Index. The Lehman Brothers Aggregate Bond Index consists of all
investment-grade U. S. fixed income securities. The Wilshire 5000 Total Market
Index consists of common equity securities of companies domiciled in the U. S.
for which daily pricing is available. It is the broadest measure of the U. S.
equity market. The MSCI/EAFE Index consists of approximately 1,100 securities
listed on the stock exchanges of developed markets of countries in Europe,
Australasia and the Far East. The indexes are unmanaged and do not reflect the
costs of portfolio management or trading. The Fund's portfolio may differ
significantly from the securities in the indexes.
45
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- --------------------------------------------------------------------------------
VANTAGEPOINT MODEL PORTFOLIO TRADITIONAL GROWTH FUND
The Traditional Growth Fund seeks to offer moderate capital growth and
reasonable current income. The Fund pursues these objectives by allocating 60
percent of assets to stock funds, including international stock funds, and 40
percent to fixed income funds. This traditional "balanced" asset mix is designed
to provide the benefit of the historically higher returns from stocks while the
income generated by fixed income securities is intended to dampen volatility.
The Fund invests in seven other Vantagepoint Funds: the Income Preservation Fund
(30 percent), the Core Bond Index Fund (10 percent), the Equity Income Fund (10
percent), the Growth & Income Fund (15 percent), the Growth Fund (15 percent),
the Aggressive Opportunities Fund (10 percent) and the International Fund (10
percent).
COMMENTARY
The Vantagepoint Traditional Growth Fund returned 20.68% in 2003. The Fund's
composite benchmark of broad-based indexes (30% 30-day T-bill/10% Lehman
Brothers Aggregate Bond/50% Wilshire 5000 Total Market Index/10% MSCI EAFE,
which returned 1.02%, 4.11%, 31.65% and 39.15% respectively for 2003) returned
19.74%. All components of the Traditional Growth Fund had positive returns in
2003. Equity funds comprised 60 percent of total Fund assets but produced nearly
all of the Fund's return. The Growth & Income Fund was the most significant
contributor to overall Fund return, followed closely by the Aggressive
Opportunities and Growth Funds.
VANTAGEPOINT MODEL PORTFOLIO TRADITIONAL GROWTH FUND VS. BLENDED BENCHMARK,
LEHMAN BROTHERS AGGREGATE BOND INDEX AND WILSHIRE 5000 TOTAL MARKET INDEX:
GROWTH OF $10,000 INVESTED DECEMBER 4, 2000
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 30% Lehman
30-day T-bill/10% Brothers
Lehman Aggregate Bond/50% Aggregate
Vantagepoint Wilshire 5000/10% Bond Index Wilshire
Model Portfolio MSCI EAFE (no fees, 5000 Index
Traditional (no fees, taxes, or taxes, or (no fees,
Growth Fund expenses) expenses) taxes, or
expenses)
Dec 4, 2000 10,000 10,000 10,000 10,000
Dec 31, 2000 10,307 10,159 10,186 10,178
10,541 10,386 10,352 10,568
10,027 9,836 10,442 9,566
9,634 9,457 10,494 8,922
10,169 9,920 10,450 9,656
10,215 9,951 10,513 9,752
Jun 30, 2001 10,140 9,839 10,553 9,589
10,031 9,771 10,789 9,430
9,722 9,471 10,913 8,860
9,086 8,969 11,040 8,064
9,345 9,131 11,271 8,269
9,781 9,506 11,115 8,901
Dec 31, 2001 9,934 9,595 11,044 9,061
9,800 9,496 11,133 8,949
9,667 9,418 11,241 8,765
9,969 9,664 11,055 9,148
9,741 9,458 11,269 8,702
9,677 9,427 11,365 8,599
Jun 30, 2002 9,256 9,071 11,464 7,995
8,775 8,630 11,603 7,350
8,800 8,672 11,799 7,393
8,310 8,162 11,990 6,651
8,636 8,518 11,935 7,160
8,953 8,816 11,931 7,591
Dec 31, 2002 8,678 8,564 12,178 7,171
8,521 8,423 12,189 6,990
8,430 8,347 12,357 6,872
8,466 8,380 12,347 6,950
8,950 8,816 12,450 7,519
9,339 9,158 12,681 7,979
Jun 30, 2003 9,425 9,249 12,656 8,096
9,581 9,354 12,231 8,292
9,738 9,497 12,312 8,491
9,728 9,502 12,638 8,397
10,086 9,844 12,520 8,910
10,192 9,940 12,550 9,034
Dec 31, 2003 10,472 10,253 12,678 9,440
Source for Benchmark returns: Ibbotson Associates
46
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- --------------------------------------------------------------------------------
VANTAGEPOINT MODEL PORTFOLIO TRADITIONAL GROWTH FUND VS. BLENDED BENCHMARK,
LEHMAN BROTHERS AGGREGATE BOND INDEX AND WILSHIRE 5000 TOTAL MARKET INDEX:
GROWTH OF $10,000 INVESTED APRIL 1, 1996
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 30% Lehman
30-day T-bill/10% Brothers
Lehman Aggregate Bond/50% Aggregate
Vantagepoint Wilshire 5000/10% Bond Index Wilshire
Model Portfolio MSCI EAFE (no fees, 5000 Index
Traditional (no fees, taxes, or taxes, or (no fees,
Growth Fund expenses) expenses) taxes, or
expenses)
10,000 10,000 10,000 10,000
Apr 1, 1996 10,074 10,161 9,944 10,247
10,207 10,292 9,924 10,527
10,231 10,282 10,057 10,441
9,984 9,992 10,084 9,877
10,178 10,165 10,067 10,193
10,463 10,493 10,242 10,736
10,597 10,593 10,470 10,886
10,981 11,017 10,649 11,607
Dec 31, 1996 10,985 10,946 10,550 11,477
11,210 11,219 10,582 12,091
11,284 11,251 10,609 12,085
11,088 11,009 10,491 11,551
11,282 11,286 10,648 12,055
11,739 11,787 10,750 12,909
12,034 12,150 10,877 13,502
12,521 12,685 11,171 14,540
12,284 12,357 11,076 13,993
12,752 12,826 11,240 14,819
12,515 12,549 11,403 14,325
12,731 12,762 11,456 14,794
Dec 31, 1997 12,937 12,923 11,571 15,068
12,951 13,051 11,719 15,150
13,430 13,624 11,710 16,252
13,828 14,028 11,750 17,066
13,853 14,148 11,811 17,268
13,656 13,984 11,923 16,809
13,792 14,269 12,025 17,398
13,646 14,147 12,050 17,017
12,560 12,912 12,246 14,367
13,050 13,343 12,533 15,305
13,701 13,984 12,466 16,444
14,182 14,517 12,537 17,480
Dec 31, 1998 14,761 15,060 12,575 18,598
14,959 15,360 12,664 19,282
14,600 15,034 12,443 18,583
14,979 15,415 12,511 19,300
15,505 15,869 12,551 20,225
15,331 15,617 12,441 19,782
15,826 16,096 12,401 20,806
15,682 15,897 12,349 20,139
15,529 15,847 12,343 19,952
15,416 15,693 12,486 19,430
15,880 16,275 12,532 20,666
16,203 16,622 12,531 21,358
Dec 31, 1999 17,001 17,417 12,471 22,980
16,523 16,961 12,429 22,026
16,795 17,239 12,580 22,519
17,542 17,865 12,746 23,857
17,217 17,326 12,709 22,614
17,195 17,006 12,703 21,824
17,446 17,504 12,967 22,787
17,404 17,294 13,085 22,322
18,130 17,988 13,274 23,942
17,835 17,520 13,358 22,825
17,722 17,334 13,446 22,340
16,902 16,462 13,667 20,118
Dec 31, 2000 17,421 16,723 13,921 20,476
17,817 17,097 14,148 21,261
16,947 16,192 14,271 19,244
16,283 15,568 14,342 17,949
17,188 16,330 14,282 19,426
17,265 16,380 14,368 19,619
17,138 16,197 14,422 19,290
16,954 16,085 14,745 18,972
16,431 15,591 14,915 17,824
15,356 14,764 15,088 16,223
15,794 15,030 15,403 16,635
16,531 15,648 15,191 17,907
Dec 31, 2001 16,790 15,795 15,094 18,229
16,564 15,632 15,216 18,003
16,338 15,504 15,363 17,633
16,850 15,908 15,108 18,405
16,464 15,569 15,402 17,506
16,355 15,519 15,532 17,300
15,644 14,932 15,668 16,084
14,832 14,207 15,857 14,786
14,873 14,276 16,125 14,873
14,045 13,436 16,386 13,380
14,597 14,022 16,311 14,404
15,133 14,512 16,306 15,272
Dec 31, 2002 14,667 14,097 16,644 14,426
14,403 13,866 16,659 14,063
14,249 13,740 16,888 13,825
14,308 13,795 16,875 13,981
15,127 14,513 17,015 15,127
15,784 15,076 17,332 16,051
15,929 15,226 17,297 16,288
16,194 15,399 16,716 16,681
16,458 15,634 16,826 17,082
16,441 15,642 17,272 16,892
17,047 16,206 17,111 17,924
17,226 16,363 17,152 18,175
Dec 31, 2003 17,700 16,879 17,327 18,991
Source for Benchmark returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO TRADITIONAL GROWTH FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 20.68%
Three Years 0.53%
Five Years 3.70%
Since Inception 7.64%
Fund Inception Date April 1, 1996
Fund Registration Date December 4, 2000
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
December 4, 2000 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's custom benchmark is comprised of 30% 30-day U. S. Treasury bills,
10% Lehman Brothers Aggregate Bond Index, 50% Wilshire 5000 Total Market Index
and 10% MSCI/EAFE. The Lehman Brothers Aggregate Bond Index consists of all
investment-grade U. S. fixed income securities. The Wilshire 5000 Total Market
Index consists of common equity securities of companies domiciled in the U. S.
for which daily pricing is available. It is the broadest measure of the U. S.
equity market. The MSCI/EAFE Index consists of approximately 1,100 securities
listed on the stock exchanges of developed markets of countries in Europe,
Australasia and the Far East. The indexes are unmanaged and do not reflect the
costs of portfolio management or trading. The Fund's portfolio may differ
significantly from the securities in the indexes.
47
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT MODEL PORTFOLIO LONG-TERM GROWTH FUND
The Long-Term Growth Fund seeks to offer high long-term capital growth and
modest current income. The Fund pursues this objective by allocating 80 percent
of assets to stock funds and 20 percent to fixed income funds. This allocation
has historically resulted in considerable growth in capital, but also involves
risk of loss in the event of adverse market developments. This Fund is designed
for more aggressive investors with a longer investment horizon.
The Fund invests in seven other Vantagepoint Funds: the Core Bond Index Fund (20
percent), Overseas Equity Index (5 percent), the Equity Income Fund (10
percent), the Growth & Income Fund (20 percent), the Growth Fund (20 percent),
the Aggressive Opportunities Fund (15 percent) and the International Fund (10
percent).
COMMENTARY
The Vantagepoint Long-Term Growth Fund returned 27.21% in 2003. The Fund's
composite benchmark of broad-based indexes (20% Lehman Brothers Aggregate
Bond/65% Wilshire 5000 Total Market Index/15% MSCI EAFE, which returned 4.11%,
31.65% and 39.15% respectively for 2003) returned 26.90%. All components of the
Long-Term Growth Fund had positive returns in 2003. Stocks sharply outperformed
investment-grade bonds, so virtually all of the Fund's return came from stock
funds. The Aggressive Opportunities Fund, which returned 44.68% for the year,
was the most significant contributor to overall Fund return, followed by the
Growth & Income and Growth Funds.
VANTAGEPOINT MODEL PORTFOLIO LONG-TERM GROWTH FUND VS. BLENDED BENCHMARK AND
WILSHIRE 5000 TOTAL MARKET INDEX: GROWTH OF $10,000 INVESTED DECEMBER 4, 2000
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 20%
Lehman Brothers
Aggregate Bond/65%
Vantagepoint Wilshire 5000/15% Wilshire
Model Portfolio MSCI EAFE 5000 Index
Long-Term Growth (no fees, taxes, or (no fees, taxes,
Fund expenses) or expenses)
Dec 4, 2000 10,000 10,000 10,000
Dec 31, 2000 10,403 10,207 10,178
10,708 10,493 10,568
9,974 9,747 9,566
9,423 9,233 8,922
10,123 9,817 9,656
10,153 9,841 9,752
Jun 30, 2001 10,042 9,682 9,589
9,881 9,595 9,430
9,457 9,203 8,860
8,609 8,548 8,064
8,949 8,758 8,269
9,488 9,217 8,901
Dec 31, 2001 9,659 9,321 9,061
9,462 9,187 8,949
9,271 9,092 8,765
9,639 9,395 9,148
9,337 9,143 8,702
9,246 9,107 8,599
Jun 30, 2002 8,701 8,653 7,995
8,091 8,092 7,350
8,107 8,148 7,393
7,507 7,512 6,651
7,890 7,939 7,160
8,257 8,304 7,591
Dec 31, 2002 7,920 7,998 7,171
7,726 7,818 6,990
7,618 7,727 6,872
7,644 7,761 6,950
8,222 8,302 7,519
8,693 8,740 7,979
Jun 30, 2003 8,790 8,852 8,096
8,954 8,964 8,292
9,148 9,148 8,491
9,153 9,174 8,397
9,593 9,607 8,910
9,716 9,731 9,034
Dec 31, 2003 10,075 10,149 9,440
Source for Benchmark Returns: Ibbotson Associates
48
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT MODEL PORTFOLIO LONG-TERM GROWTH FUND VS. BLENDED BENCHMARK AND
WILSHIRE 5000 TOTAL MARKET INDEX: GROWTH OF $10,000 INVESTED APRIL 1, 1996
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 20%
Lehman Brothers
Aggregate Bond/65%
Vantagepoint Wilshire 5000/15% Wilshire
Model Portfolio MSCI EAFE 5000 Index
Long-Term Growth (no fees, taxes, or (no fees, taxes,
Fund expenses) or expenses)
10,000 10,000 10,000
Apr 1, 1996 10,264 10,193 10,247
10,459 10,343 10,527
10,344 10,324 10,441
9,898 9,923 9,877
10,212 10,129 10,193
10,618 10,556 10,736
10,693 10,683 10,886
11,179 11,244 11,607
Dec 31, 1996 11,144 11,119 11,477
11,420 11,455 12,091
11,344 11,486 12,085
11,028 11,137 11,551
11,254 11,495 12,055
11,923 12,159 12,909
12,330 12,652 13,502
13,040 13,384 14,540
12,724 12,884 13,993
13,354 13,525 14,819
12,876 13,116 14,325
12,963 13,388 14,794
Dec 31, 1997 13,069 13,594 15,068
13,095 13,770 15,150
13,858 14,553 16,252
14,379 15,104 17,066
14,537 15,254 17,268
14,170 15,009 16,809
14,338 15,394 17,398
14,000 15,205 17,017
12,083 13,434 14,367
12,625 14,006 15,305
13,411 14,888 16,444
14,116 15,629 17,480
Dec 31, 1998 15,012 16,381 18,598
15,373 16,789 19,282
14,710 16,276 18,583
15,316 16,804 19,300
16,006 17,441 20,225
15,691 17,028 19,782
16,453 17,691 20,806
16,188 17,386 20,139
16,076 17,289 19,952
16,066 17,063 19,430
16,807 17,877 20,666
17,619 18,359 21,358
Dec 31, 1999 19,294 19,496 22,980
18,532 18,772 22,026
19,659 19,167 22,519
20,268 20,069 23,857
19,344 19,220 22,614
18,816 18,712 21,824
19,800 19,437 22,787
19,414 19,093 22,322
20,612 20,074 23,942
19,911 19,345 22,825
19,647 19,035 22,340
18,387 17,760 20,118
Dec 31, 2000 19,128 18,127 20,476
19,689 18,637 21,261
18,340 17,311 19,244
17,327 16,399 17,949
18,613 17,435 19,426
18,668 17,478 19,619
18,465 17,195 19,290
18,169 17,041 18,972
17,389 16,345 17,824
15,829 15,181 16,223
16,454 15,554 16,635
17,446 16,370 17,908
Dec 31, 2001 17,761 16,555 18,229
17,399 16,316 18,003
17,047 16,147 17,633
17,724 16,685 18,405
17,167 16,239 17,506
17,001 16,175 17,300
16,000 15,369 16,084
14,878 14,372 14,786
14,906 14,471 14,873
13,803 13,341 13,380
14,507 14,101 14,404
15,183 14,748 15,272
Dec 31, 2002 14,562 14,204 14,426
14,205 13,885 14,063
14,008 13,723 13,825
14,055 13,783 13,981
15,118 14,745 15,127
15,984 15,522 16,051
16,162 15,722 16,288
16,463 15,920 16,681
16,821 16,248 17,082
16,830 16,293 16,892
17,639 17,062 17,924
17,865 17,282 18,175
Dec 31, 2003 18,526 18,024 18,991
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO LONG-TERM GROWTH FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 27.21%
Three Years -1.06%
Five Years 4.30%
Since Inception 8.28%
Fund Inception Date April 1, 1996
Fund Registration Date December 4, 2000
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
December 4, 2000 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's custom benchmark is comprised of 20% Lehman Brothers Aggregate Bond
Index, 65% Wilshire 5000 Total Market Index and 15% MSCI/EAFE Index. The Lehman
Brothers Aggregate Bond Index consists of all investment-grade U. S. fixed
income securities. The Wilshire 5000 Total Market Index consists of common
equity securities of companies domiciled in the U. S. for which daily pricing is
available. It is the broadest measure of the U. S. equity market. The MSCI/EAFE
Index consists of approximately 1,100 securities listed on the stock exchanges
of developed markets of countries in Europe, Australasia and the Far East. The
indexes are unmanaged and do not reflect the costs of portfolio management or
trading. The Fund's portfolio may differ significantly from the securities in
the indexes.
49
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT MODEL PORTFOLIO ALL-EQUITY GROWTH FUND
The All-Equity Growth Fund seeks to offer high long-term capital growth. The
Fund allocates 100 percent of assets to stock funds, which has historically
resulted in considerable growth of capital, but also involves risk of loss in
the event of adverse market developments. This Fund has historically experienced
about the same degree of volatility as the stock market and is designed for
aggressive investors with a long investment horizon.
The Fund invests in five other Vantagepoint Funds: the Equity Income Fund (15
percent), the Growth & Income Fund (20 percent), the Growth Fund (25 percent),
the Aggressive Opportunities Fund (20 percent) and the International Fund (20
percent).
COMMENTARY
The Vantagepoint All-Equity Growth Fund returned 33.26% in 2003. The Fund's
composite benchmark of broad-based indexes (80% Wilshire 5000 Total Market
Index/20% MSCI EAFE, which returned 31.65% and 39.15% respectively for 2003)
returned 33.17%. The All-Equity Growth Fund outperformed both the S&P 500 Index
and the broad Wilshire 5000 Total Market Index of all U.S. stocks in 2003. All
Fund components produced returns of more than 25.0%. The single biggest
contributor to overall Fund return was the Aggressive Opportunities Fund, which
returned 44.68% for the year.
VANTAGEPOINT MODEL PORTFOLIO ALL-EQUITY GROWTH FUND VS. BLENDED BENCHMARK AND
WILSHIRE 5000 TOTAL MARKET INDEX: GROWTH OF $10,000 INVESTED DECEMBER 4, 2000
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 80%
Vantagepoint Wilshire 5000/20% Wilshire
Model Portfolio MSCI EAFE 5000 Index
All-Equity (no fees, taxes, or (no fees, taxes,
Growth Fund expenses) or expenses)
Dec 4, 2000 10,000 10,000 10,000
Dec 31, 2000 10,469 10,214 10,178
10,836 10,526 10,568
9,878 9,570 9,566
Mar 31, 2001 9,171 8,928 8,922
10,055 9,641 9,656
10,076 9,651 9,752
Jun 30, 2001 9,930 9,443 9,589
9,658 9,284 9,430
9,119 8,788 8,860
Sep 30, 2001 8,058 7,979 8,064
8,398 8,182 8,269
9,069 8,743 8,901
Dec 31, 2001 9,304 8,901 9,061
9,045 8,718 8,949
8,805 8,587 8,765
Mar 31, 2002 9,290 8,981 9,148
8,897 8,643 8,702
8,762 8,586 8,599
Jun 30, 2002 8,106 8,035 7,995
7,358 7,358 7,350
7,348 7,389 7,393
Sep 30, 2002 6,644 6,638 6,651
7,065 7,116 7,160
7,477 7,523 7,591
Dec 31, 2002 7,064 7,140 7,171
6,833 6,936 6,990
6,674 6,811 6,872
Mar 31, 2003 6,689 6,847 6,950
7,329 7,431 7,519
7,815 7,886 7,979
Jun 30, 2003 7,935 8,019 8,096
8,200 8,212 8,292
8,411 8,410 8,491
Sep 30, 2003 8,354 8,387 8,397
8,883 8,902 8,910
9,023 9,042 9,034
Dec 31, 2003 9,414 9,508 9,440
Source for Benchmark Returns: Ibbotson Associates
50
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VANTAGEPOINT MODEL PORTFOLIO ALL-EQUITY GROWTH FUND VS. BLENDED BENCHMARK AND
WILSHIRE 5000 TOTAL MARKET INDEX: GROWTH OF $10,000 INVESTED OCTOBER 1, 2000
================================================================================
[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]
Blended Benchmark: 80%
Vantagepoint Wilshire 5000/20% Wilshire
Model Portfolio MSCI EAFE 5000 Index
All-Equity (no fees, taxes, or (no fees, taxes,
Growth Fund expenses) or expenses)
Oct 1, 2000 10,000 10,000 10,000
9,946 9,783 9,788
9,097 8,932 8,814
Dec 31, 2000 9,524 9,123 8,971
9,857 9,402 9,315
8,986 8,547 8,431
Mar 31, 2001 8,343 7,974 7,864
9,147 8,611 8,511
9,167 8,620 8,595
Jun 30, 2001 9,033 8,434 8,451
8,786 8,293 8,312
8,296 7,849 7,809
Sep 30, 2001 7,330 7,127 7,107
7,639 7,308 7,288
8,250 7,809 7,846
Dec 31, 2001 8,464 7,950 7,987
8,228 7,786 7,887
8,010 7,669 7,725
Mar 31, 2002 8,451 8,022 8,063
8,093 7,720 7,670
7,971 7,668 7,579
Jun 30, 2002 7,374 7,177 7,047
6,693 6,571 6,478
6,685 6,600 6,516
Sep 30, 2002 6,044 5,928 5,862
6,427 6,355 6,311
6,802 6,720 6,691
Dec 31, 2002 6,426 6,377 6,320
6,216 6,195 6,161
6,072 6,083 6,057
Mar 31, 2003 6,085 6,115 6,125
6,667 6,637 6,627
7,109 7,044 7,032
Jun 30, 2003 7,219 7,162 7,136
7,459 7,335 7,308
7,652 7,511 7,484
Sep 30, 2003 7,599 7,491 7,401
8,081 7,951 7,853
8,208 8,076 7,963
Dec 31, 2003 8,564 8,492 8,320
Source for Benchmark Returns: Ibbotson Associates
VANTAGEPOINT MODEL PORTFOLIO ALL-EQUITY GROWTH FUND
Average Annual Total Return for the periods ended December 31, 2003
- --------------------------------------------------------------------------------
One Year 33.26%
Three Years -3.48%
Since Inception -4.66%
Fund Inception Date October 1, 2000
Fund Registration Date December 4, 2000
Past performance does not guarantee future results. Investment returns and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance information for periods prior to
December 4, 2000 represents the performance of the Fund prior to its SEC
registration. All returns assume reinvested dividends and do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. Please consult the current prospectus carefully
before investing any money. Vantagepoint Funds are distributed by ICMA-RC
Services, LLC, a broker-dealer wholly owned subsidiary of ICMA-RC, member
NASD/SIPC. 1-800-669-7400.
This fund's custom benchmark is comprised of 80% Wilshire 5000 Total Market
Index and 20% MSCI/EAFE Index. The Wilshire 5000 Total Market Index consists of
common equity securities of companies domiciled in the U. S. for which daily
pricing is available. It is the broadest measure of the U. S. equity market. The
MSCI/EAFE Index consists of approximately 1,100 securities listed on the stock
exchanges of developed markets of countries in Europe, Australasia and the Far
East. The indexes are unmanaged and do not reflect the costs of portfolio
management or trading. The Fund's portfolio may differ significantly from the
securities in the indexes.
51
THIS PAGE IS INTENTIONALLY LEFT BLANK.
52
Report of Independent Auditors
To the Shareholders and Board of Directors
of The Vantagepoint Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments of the Money Market Fund, Income Preservation Fund,
US Government Securities Fund, Asset Allocation Fund, Equity Income Fund, Growth
& Income Fund, Growth Fund, Aggressive Opportunities Fund, International Fund,
Model Portfolio Savings Oriented Fund, Model Portfolio Conservative Growth Fund,
Model Portfolio Traditional Growth Fund, Model Portfolio Long-Term Growth Fund
and Model Portfolio All-Equity Growth Fund, and the related statements of
operations and changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Money Market
Fund, Income Preservation Fund, US Government Securities Fund, Asset Allocation
Fund, Equity Income Fund, Growth & Income Fund, Growth Fund, Aggressive
Opportunities Fund, International Fund, Core Bond Index Fund, 500 Stock Index
Fund, Broad Market Index Fund, Mid/Small Company Index Fund, Overseas Equity
Index Fund, Model Portfolio Savings Oriented Fund, Model Portfolio Conservative
Growth Fund, Model Portfolio Traditional Growth Fund, Model Portfolio Long-Term
Growth Fund and Model Portfolio All-Equity Growth Fund (compromising The
Vantagepoint Funds, hereafter referred to as the "Funds") at December 31, 2003,
and the results of each of their operations and changes in each of their net
assets for the fiscal period ended December 31, 2003 and the financial
highlights for the fiscal periods ended December 31, 2003, 2000 and 1999, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Funds' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with auditing standards generally accepted in the United States of
America, which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 2003 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion. The statements of changes for the year ended December 31, 2002 and
the financial highlights for the periods ended December 31, 2002 and 2001 were
audited by other independent auditors whose report dated March 7, 2003 expressed
an unqualified opinion on those statements.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 20, 2004
53
VANTAGEPOINT FUNDS
Statements of Assets & Liabilities
December 31, 2003
US
Money Income Government Asset Equity
Market Preservation Securities Allocation Income
-------------- ------------- -------------- ------------- -------------
ASSETS:
Securities, at market value+ ...................... $ 105,662,610 $ 635,014,464 $ 235,998,494 $ 810,285,987 $ 939,355,400
Cash .............................................. -- 5,625,445 -- 31,866,820 610,469
Receivable for:
Dividends ........................................ -- -- -- 830,601 1,636,918
Interest ......................................... 87,232 3,636,047 2,042,701 1,886,840 24,436
Investments sold ................................. -- 2,456,943 11,849,223 -- 1,006,385
Fund shares sold ................................. 618,818 1,258,946 34,127 103,982 1,494,838
Recoverable foreign taxes ........................ -- -- -- -- 705
Variation margin on futures contracts ............ -- 77,737 -- 176,560 --
-------------- ------------- -------------- ------------- -------------
Total Assets .................................... 106,368,660 648,069,582 249,924,545 845,150,790 944,129,151
-------------- ------------- -------------- ------------- -------------
LIABILITIES:
Payable for:
Investments purchased ............................ -- 3,089,805 8,848,541 -- 2,413,328
When issued securities ........................... -- 3,845,035 -- -- --
Fund shares redeemed ............................. 546,209 -- 45,242 15,905 10,900
Collateral for securities loaned ................. -- 3,175,100 52,330,437 59,825,172 116,437,106
Swap interest payable ............................ -- 31,882 -- -- --
Distribution to shareholders ...................... -- -- 31 -- --
Accrued Expenses:
Administrative services fees ..................... 1,690 9,504 3,085 12,027 12,213
Advisory fees .................................... 9,549 54,949 17,259 69,081 71,364
Subadviser fees .................................. -- 274,712 48,068 430,871 754,906
Other accrued expense ............................ 49,679 451,743 85,751 357,274 335,937
Wrapper agreements ................................ -- 16,871,492 -- -- --
Options written, at value
(Premiums received $281,776) ..................... -- 301,797 -- -- --
-------------- ------------- -------------- ------------- -------------
Total Liabilities ............................... 607,127 28,106,019 61,378,414 60,710,330 120,035,754
-------------- ------------- -------------- ------------- -------------
NET ASSETS ........................................ $ 105,761,533 $ 619,963,563 $ 188,546,131 $ 784,440,460 $ 824,093,397
============== ============= ============== ============= =============
NET ASSETS REPRESENTED BY:
Paid-in capital ................................... $ 105,761,533 $ 629,724,358 $ 186,319,066 $ 827,392,637 $ 769,040,647
Net unrealized appreciation (depreciation) on
investments, futures contracts, foreign
currency transactions, wrapper agreements,
written options and swaps ........................ -- (8,775,842) 2,178,101 45,586,596 123,538,306
Undistributed net investment income (loss) ........ -- -- -- 812,895 452,874
Accumulated net realized gain (loss) on
investments, futures contracts, foreign
currency transactions and written options ........ -- (984,953) 48,964 (89,351,668) (68,938,430)
-------------- ------------- -------------- ------------- -------------
NET ASSETS ........................................ $ 105,761,533 $ 619,963,563 $ 188,546,131 $ 784,440,460 $ 824,093,397
============== ============= ============== ============= =============
CAPITAL SHARES:
Net Assets ........................................ $ 105,761,533 $ 619,963,563 $ 188,546,131 $ 784,440,460 $ 824,093,397
Shares Outstanding ................................ 105,761,533 6,199,636 17,886,500 116,137,490 104,597,280
Net Asset Value, offering and redemption price
per share (net assets divided by shares
outstanding) ..................................... $ 1.00 $ 100.00 $ 10.54 $ 6.75 $ 7.88
Cost of investments ............................... $ 105,662,610 $ 627,522,277 $ 233,820,393 $ 767,021,315 $ 815,817,094
- -------
+ Includes securities on loan with market
values of (Note 6): $ -- $ 3,087,991 $ 51,088,986 $ 57,902,508 $ 112,894,332
See Notes to Financial Statements.
54
VANTAGEPOINT FUNDS
Statements of Assets & Liabilities
December 31, 2003
Growth & Aggressive
Income Growth Opportunities International
------------ -------------- -------------- -------------
ASSETS:
Securities, at market value+ .............................. $839,268,485 $3,270,259,445 $1,145,339,352 $ 495,091,365
Cash ...................................................... 3,313,706 -- 324,785 --
Cash denominated in foreign currencies .................... -- -- -- 2,485
Receivable for:
Dividends ................................................ 818,624 2,167,359 479,970 291,624
Interest ................................................. 28,398 41,299 51,040 9,961
Investments sold ......................................... 374,214 8,248,300 4,741,684 1,024,742
Fund shares sold ......................................... 1,327,642 704,211 589,647 115,043
Recoverable foreign taxes ................................ -- 26,849 39,440 110,394
Gross unrealized gain on forward foreign currency
exchange contracts ....................................... -- 3,577 3,224,539 285,159
------------ -------------- -------------- -------------
Total Assets ............................................ 845,131,069 3,281,451,040 1,154,790,457 496,930,773
------------ -------------- -------------- -------------
LIABILITIES:
Payable for:
Investments purchased .................................... 434,950 80,545,755 2,366,181 3,287,919
Fund shares redeemed ..................................... 419,398 674,150 25,269 1,187,496
Collateral for securities loaned ......................... 78,245,989 300,288,202 185,772,518 19,765,557
Due to foreign custodian .................................. -- -- 192,861 --
Accrued Expenses:
Administrative services fees ............................. 11,441 42,466 14,214 6,437
Advisory fees ............................................ 66,658 242,668 82,153 37,522
Subadviser fees .......................................... 539,143 2,899,677 1,470,310 545,914
Other accrued expense .................................... 298,238 1,115,814 401,472 210,544
Gross unrealized loss on forward foreign currency
exchange contracts ....................................... -- 1,541 25,674,286 393,934
------------ -------------- -------------- -------------
Total Liabilities ....................................... 80,015,817 385,810,273 215,999,264 25,435,323
------------ -------------- -------------- -------------
NET ASSETS ................................................ $765,115,252 $2,895,640,767 $ 938,791,193 $ 471,495,450
============ ============== ============== =============
NET ASSETS REPRESENTED BY:
Paid-in capital ........................................... $742,795,677 $3,514,170,060 $1,116,691,946 $ 503,993,882
Net unrealized appreciation on investments, futures
contracts and foreign currency transactions .............. 106,034,909 380,450,281 205,499,104 74,386,193
Undistributed net investment income (loss) ................ 462,473 (213,643) 9,274,177 (1,406,432)
Accumulated net realized loss on investments, futures
contracts and foreign currency transactions .............. (84,177,807) (998,765,931) (392,674,034) (105,478,193)
------------ -------------- -------------- -------------
NET ASSETS ................................................ $765,115,252 $2,895,640,767 $ 938,791,193 $ 471,495,450
============ ============== ============== =============
CAPITAL SHARES:
Net Assets ................................................ $765,115,252 $2,895,640,767 $ 938,791,193 $ 471,495,450
Shares Outstanding ........................................ 81,549,414 358,908,755 103,552,538 53,340,175
Net Asset Value, offering and redemption price per
share (net assets divided by shares outstanding) ......... $ 9.38 $ 8.07 $ 9.07 $ 8.84
Cost of investments ....................................... $733,233,576 $2,889,803,241 $ 917,395,499 $ 420,604,894
Cost of cash denominated in foreign currencies ............ $ -- $ -- $ 193,366 $ 2,481
- -------
+ Includes securities on loan with market value of
(Note 6): $ 75,566,745 $ 289,803,960 $ 177,836,445 $ 18,725,558
See Notes to Financial Statements.
55
VANTAGEPOINT FUNDS
Statements of Assets & Liabilities
December 31, 2003
Broad Mid/Small Overseas
Core Bond 500 Stock Market Company Equity
Index Index Index Index Index
------------- ------------- ------------- ------------- ------------
ASSETS:
Investments in Master Portfolio,
at market value* ............................... $ 592,207,295 $ 316,683,412 $ 539,827,126 $ 109,756,568 $ 79,934,410
Receivable for:
Fund shares sold ............................... 1,589,796 43,006 305,963 132,282 241,254
------------- ------------- ------------- ------------- ------------
Total Assets .................................. 593,797,091 316,726,418 540,133,089 109,888,850 80,175,664
------------- ------------- ------------- ------------- ------------
LIABILITIES:
Payable for:
Fund shares redeemed ........................... 2,179,753 63,170 310,256 69,235 6,823
Accrued Expenses:
Administrative services fees ................... 8,098 4,127 7,105 1,391 962
Advisory fees .................................. 26,561 13,786 23,557 4,789 3,307
Other accrued expense .......................... 188,671 80,615 131,316 26,379 23,793
------------- ------------- ------------- ------------- ------------
Total Liabilities ............................. 2,403,083 161,698 472,234 101,794 34,885
------------- ------------- ------------- ------------- ------------
NET ASSETS ...................................... $ 591,394,008 $ 316,564,720 $ 539,660,855 $ 109,787,056 $ 80,140,779
============= ============= ============= ============= ============
NET ASSETS REPRESENTED BY:
Paid-in capital ................................. $ 575,821,909 $ 367,442,524 $ 629,306,948 $ 116,383,114 $ 83,342,504
Net unrealized appreciation (depreciation) on
investments, futures contracts and foreign
currency transactions .......................... 15,662,824 (12,833,672) (27,960,186) 2,959,902 4,686,325
Undistributed net investment income (loss) ...... -- 3,378 5,425,575 530,123 (98,051)
Accumulated net realized gain (loss) on
investments, futures contracts and foreign
currency transactions .......................... (90,725) (38,047,510) (67,111,482) (10,086,083) (7,789,999)
------------- ------------- ------------- ------------- ------------
NET ASSETS ...................................... $ 591,394,008 $ 316,564,720 $ 539,660,855 $ 109,787,056 $ 80,140,779
============= ============= ============= ============= ============
CAPITAL SHARES:
Net Assets--Class I ............................. $ 452,738,840 $ 130,663,354 $ 267,249,582 $ 56,880,176 $ 60,601,420
Shares Outstanding--Class I ..................... 44,076,238 14,863,852 29,876,684 4,823,489 7,006,642
Net Asset Value--Class I, offering and
redemption price per share (net assets
divided by shares outstanding) ................. $ 10.27 $ 8.79 $ 8.95 $ 11.79 $ 8.65
Net Assets--Class II ............................ $ 138,655,168 $ 185,901,366 $ 272,411,273 $ 52,906,880 $ 19,539,359
Shares Outstanding--Class II .................... 13,453,630 22,219,263 32,104,779 4,675,031 2,381,920
Net Asset Value--Class II, offering and
redemption price per share (net assets
divided by shares outstanding) ................. $ 10.31 $ 8.37 $ 8.49 $ 11.32 $ 8.20
Cost of investments ............................. $ 576,544,481 $ 329,660,326 $ 568,127,767 $ 106,751,601 $ 75,283,694
- -------
* Investment in Master Portfolio (Note 1)
See Notes to Financial Statements.
56
VANTAGEPOINT FUNDS
Statements of Assets & Liabilities
December 31, 2003
Model Portfolios
--------------------------------------------------------------------------------
Savings Conservative Traditional Long-Term All-Equity
Oriented Growth Growth Growth Growth
------------- ------------- ------------- ------------- -------------
ASSETS:
Securities of affiliated Mutual Funds,
at market value* ............................... $ 202,279,362 $ 376,024,888 $ 795,623,596 $ 820,820,193 $ 128,152,465
Receivable for:
Investments sold ............................... 26,214 46,350 94,320 95,993 16,033
Fund shares sold ............................... 249,145 803,010 885,773 1,030,876 206,850
------------- ------------- ------------- ------------- -------------
Total Assets .................................. 202,554,721 376,874,248 796,603,689 821,947,062 128,375,348
------------- ------------- ------------- ------------- -------------
LIABILITIES:
Payable for:
Investments purchased .......................... 164,794 790,387 885,773 1,027,385 116,766
Fund shares redeemed ........................... 84,351 12,623 -- 3,491 90,084
Accrued Expenses:
Administrative services fees ................... 2,710 5,003 10,481 10,719 1,594
Advisory fees .................................. 17,949 33,243 69,808 71,589 10,913
Other accrued expense .......................... 20,883 32,473 56,492 56,776 10,505
------------- ------------- ------------- ------------- -------------
Total Liabilities ............................. 290,687 873,729 1,022,554 1,169,960 229,862
------------- ------------- ------------- ------------- -------------
NET ASSETS ...................................... $ 202,264,034 $ 376,000,519 $ 795,581,135 $ 820,777,102 $ 128,145,486
============= ============= ============= ============= =============
NET ASSETS REPRESENTED BY:
Paid-in capital ................................. $ 204,819,381 $ 396,273,730 $ 847,609,715 $ 871,041,690 $ 122,159,883
Net unrealized appreciation (depreciation)
on investments ................................. 9,592,377 20,474,545 39,051,289 (200,353) 13,078,474
Undistributed net investment income (loss) ...... 454,848 1,771 709,569 57,356 --
Accumulated net realized loss on
investments .................................... (12,602,572) (40,749,527) (91,789,438) (50,121,591) (7,092,871)
------------- ------------- ------------- ------------- -------------
NET ASSETS ...................................... $ 202,264,034 $ 376,000,519 $ 795,581,135 $ 820,777,102 $ 128,145,486
============= ============= ============= ============= =============
CAPITAL SHARES:
Net Assets ...................................... $ 202,264,034 $ 376,000,519 $ 795,581,135 $ 820,777,102 $ 128,145,486
Shares Outstanding .............................. 8,596,060 17,128,609 38,899,851 42,137,937 6,575,621
Net Asset Value, offering and redemption price
per share (net assets divided by shares
outstanding) ................................... $ 23.53 $ 21.95 $ 20.45 $ 19.48 $ 19.49
Cost of investments ............................. $ 192,686,985 $ 355,550,343 $ 756,572,307 $ 821,020,546 $ 115,073,991
- -------
* Investment in other Vantagepoint Funds (Note 1)
See Notes to Financial Statements.
57
VANTAGEPOINT FUNDS
Statements of Operations
For the Year Ended December 31, 2003
Money Income US Government Asset Equity
Market Preservation Securities Allocation Income
----------- ------------ ------------ ------------- -------------
INVESTMENT INCOME:
Dividends ................................... $ 1,336,292 $ -- $ -- $ 9,018,080 $ 13,769,195
Interest+ ................................... -- 22,113,536 7,082,641 3,505,445 375,840
Foreign taxes withheld on dividends ......... -- -- -- -- (80,937)
----------- ------------ ------------ ------------- -------------
Total investment income ..................... 1,336,292 22,113,536 7,082,641 12,523,525 14,064,098
----------- ------------ ------------ ------------- -------------
EXPENSES:
Subadviser .................................. -- 940,384 208,226 1,631,099 2,637,459
Custodian ................................... 28,165 162,087 50,888 140,226 119,171
Advisory .................................... 119,131 520,669 222,782 690,497 647,020
Fund services ............................... 178,696 781,003 334,173 1,035,745 970,530
Investor services ........................... 238,262 1,041,338 445,565 1,380,994 1,294,040
Administration .............................. 21,613 94,178 40,601 128,390 118,308
Wrapper ..................................... -- 618,487 -- -- --
Other expenses .............................. 31,798 122,145 60,086 213,709 148,901
----------- ------------ ------------ ------------- -------------
Total expenses .............................. 617,665 4,280,291 1,362,321 5,220,660 5,935,429
----------- ------------ ------------ ------------- -------------
NET INVESTMENT INCOME ....................... 718,627 17,833,245 5,720,320 7,302,865 8,128,669
----------- ------------ ------------ ------------- -------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) (Note 2):
Net realized gain (loss) on sale of
investments ................................ -- (2,194,583) 1,347,658 2,685,014 (11,640,537)
Net realized gain (loss) on futures
contracts, foreign currency transactions
and written options ........................ -- 1,984,411 -- 25,744,319 (22)
Net change in unrealized appreciation
(depreciation) of investments and
wrapper agreements ......................... -- 575,877 (3,558,192) 121,622,897 198,421,766
Net change in unrealized appreciation
(depreciation) on futures contracts,
foreign currency transactions, written
options and swaps .......................... -- (366,842) -- 4,971,896 --
----------- ------------ ------------ ------------- -------------
NET GAIN (LOSS) ON INVESTMENTS .............. -- (1,137) (2,210,534) 155,024,126 186,781,207
----------- ------------ ------------ ------------- -------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS .................. $ 718,627 $ 17,832,108 $ 3,509,786 $ 162,326,991 $ 194,909,876
=========== ============ ============ ============= =============
- -------
+ Interest income includes net securities
lending income of (Note 6): $ -- $ 10,625 $ 66,068 $ 37,060 $ 168,257
See Notes to Financial Statements.
58
VANTAGEPOINT FUNDS
Statements of Operations
For the Year Ended December 31, 2003
Growth & Aggressive
Income Growth Opportunities International
------------- ------------- ------------- ------------
INVESTMENT INCOME:
Dividends ............................................... $ 9,895,886 $ 20,477,523 $ 6,903,382 $ 7,612,916
Interest+ ............................................... 385,312 745,371 1,399,555 261,914
Foreign taxes withheld on dividends ..................... (41,451) (125,374) (485,686) (857,408)
------------- ------------- ------------- ------------
Total investment income ................................. 10,239,747 21,097,520 7,817,251 7,017,422
------------- ------------- ------------- ------------
EXPENSES:
Subadviser .............................................. 1,923,478 10,288,447 4,853,368 1,848,630
Custodian ............................................... 134,194 543,296 405,267 542,400
Advisory ................................................ 606,634 2,296,934 711,238 325,393
Fund services ........................................... 909,952 3,445,400 1,066,857 488,089
Investor services ....................................... 1,213,269 4,593,867 1,422,476 650,786
Administration .......................................... 108,956 445,317 128,646 57,921
Other expenses .......................................... 139,471 539,676 156,574 74,121
------------- ------------- ------------- ------------
Total expenses .......................................... 5,035,954 22,152,937 8,744,426 3,987,340
------------- ------------- ------------- ------------
NET INVESTMENT INCOME (LOSS) ............................ 5,203,793 (1,055,417) (927,175) 3,030,082
------------- ------------- ------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
(Note 2):
Net realized gain (loss) on sale of investments ......... (12,399,124) (1,773,097) 41,015,977 (1,236,835)
Net realized gain (loss) on futures contracts and
foreign currency transactions .......................... (33) 221,466 (8,316,115) 735,693
Net change in unrealized appreciation of investments 175,167,589 595,619,265 259,087,096 97,293,766
Net change in unrealized appreciation (depreciation)
on futures contracts and foreign currency
transactions ........................................... -- 52,267 (21,434,922) (377,627)
------------- ------------- ------------- ------------
NET GAIN ON INVESTMENTS ................................. 162,768,432 594,119,901 270,352,036 96,414,997
------------- ------------- ------------- ------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS ........................................ $ 167,972,225 $ 593,064,484 $ 269,424,861 $ 99,445,079
============= ============= ============= ============
- -------
+ Interest income includes net securities lending
income of (Note 6): $ 59,798 $ 341,925 $ 513,115 $ 131,974
See Notes to Financial Statements.
59
VANTAGEPOINT FUNDS
Statements of Operations
For the Year Ended December 31, 2003
Broad Mid/Small Overseas
Core Bond 500 Stock Market Company Equity
Index Index Index Index Index
------------ ------------ ------------- ------------ ------------
INVESTMENT INCOME:
Dividends* ................................... $ -- $ 4,367,532 $ 7,280,364 $ 934,689 $ 1,439,724
Interest* .................................... 24,376,096 121,078 230,992 44,015 31,467
Foreign taxes withheld on dividends* ......... -- (1,601) (3,087) (636) (161,402)
Expenses* .................................... (450,908) (125,463) (356,607) (70,712) (133,993)
------------ ------------ ------------- ------------ ------------
Total investment income ...................... 23,925,188 4,361,546 7,151,662 907,356 1,175,796
------------ ------------ ------------- ------------ ------------
EXPENSES:
Custodian .................................... 34,264 28,550 32,430 26,040 25,478
Advisory ..................................... 281,575 125,345 220,789 35,324 26,760
Fund services Class I ........................ 618,151 153,955 329,045 54,342 64,646
Fund services Class II ....................... 75,525 74,027 111,107 17,210 5,211
Investor services Class I .................... 618,151 153,955 329,045 54,342 64,646
Investor services Class II ................... 75,525 74,027 111,107 17,210 5,211
Administration ............................... 95,332 40,933 73,384 11,201 8,628
License and membership ....................... 28,202 40,964 20,622 2,865 2,379
Other expenses ............................... 115,794 47,198 84,639 11,749 9,758
------------ ------------ ------------- ------------ ------------
Total expenses ............................... 1,942,519 738,954 1,312,168 230,283 212,717
------------ ------------ ------------- ------------ ------------
NET INVESTMENT INCOME ........................ 21,982,669 3,622,592 5,839,494 677,073 963,079
------------ ------------ ------------- ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) (Note 2):
Net realized gain (loss) on sale of
investments*+ ............................... 6,740,246 (2,916,183) (8,571,066) (2,603,921) (478,296)
Net realized gain (loss) on futures contracts
and foreign currency transactions* .......... -- (462,414) (264,223) 113,128 138,724
Net change in unrealized appreciation
(depreciation) of investments* .............. (8,590,468) 64,574,044 126,472,174 27,333,363 18,695,455
Net change in unrealized appreciation on
futures contracts and foreign currency
transactions* ............................... 10 580,273 712,174 44,945 4,087
------------ ------------ ------------- ------------ ------------
NET GAIN (LOSS) ON INVESTMENTS ............... (1,850,212) 61,775,720 118,349,059 24,887,515 18,359,970
------------ ------------ ------------- ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ................... $ 20,132,457 $ 65,398,312 $ 124,188,553 $ 25,564,588 $ 19,323,049
============ ============ ============= ============ ============
- -------
+ Includes net realized gain from in-kind
transactions of: $ -- $ 2,539,272 $ 3,643,046 $ -- $ 1,360,782
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
60
VANTAGEPOINT FUNDS
Statements of Operations
For the Year Ended December 31, 2003
Model Portfolios
----------------------------------------------------------------------------------
Savings Conservative Traditional Long-Term All-Equity
Oriented Growth Growth Growth Growth
------------ ------------ ------------- ------------- -------------
INVESTMENT INCOME OF AFFILIATED
MUTUAL FUNDS:
Dividends* ..................................... $ 4,899,470 $ 7,732,720 $ 12,071,840 $ 9,435,281 $ 616,393
------------ ------------ ------------- ------------- ------------
Total investment income ........................ 4,899,470 7,732,720 12,071,840 9,435,281 616,393
------------ ------------ ------------- ------------- ------------
EXPENSES:
Legal .......................................... 17,433 30,396 60,701 58,914 6,794
Custodian ...................................... 28,870 30,961 36,314 36,132 27,241
Advisory ....................................... 177,499 316,801 642,892 637,281 81,433
Administration ................................. 28,204 52,213 107,159 105,039 12,776
Other expenses ................................. 25,330 44,163 88,197 85,598 9,871
------------ ------------ ------------- ------------- ------------
Total expenses ................................. 277,336 474,534 935,263 922,964 138,115
------------ ------------ ------------- ------------- ------------
NET INVESTMENT INCOME .......................... 4,622,134 7,258,186 11,136,577 8,512,317 478,278
------------ ------------ ------------- ------------- ------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) (Note 2):
Net realized loss on sale of investments ....... (1,549,038) (4,847,780) (25,254,406) (4,700,986) (920,294
Realized gain distributions from affiliated
mutual funds .................................. 228,215 312,024 586,107 987,323 --
Net change in unrealized appreciation
of investments ................................ 13,931,335 41,499,733 136,703,711 154,914,138 25,931,002
------------ ------------ ------------- ------------- ------------
NET GAIN ON INVESTMENTS ........................ 12,610,512 36,963,977 112,035,412 151,200,475 25,010,708
------------ ------------ ------------- ------------- ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ..................... $ 17,232,646 $ 44,222,163 $ 123,171,989 $ 159,712,792 $ 25,488,986
============ ============ ============= ============= ============
- -------
* Received from other Vantagepoint Funds (Note 1)
See Notes to Financial Statements.
61
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Money Market Income Preservation
------------------------------- -------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
------------- ------------- ------------- --------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ........................... $ 718,627 $ 1,662,274 $ 17,833,245 $ 17,329,690
Net realized gain (loss) on sale of investments,
futures contracts and written options .......... -- -- (210,172) 4,353,468
Net change in unrealized appreciation
(depreciation) of investments, futures
contracts, written options, wrapper agreements
and swaps ...................................... -- -- 209,035 (4,330,270)
------------- ------------- ------------- --------------
Net increase in net assets resulting from
operations ..................................... 718,627 1,662,274 17,832,108 17,352,888
------------- ------------- ------------- --------------
Distributions to shareholders from:
Net investment income ........................... (718,627) (1,662,274) (17,096,436) (17,352,883)
Net realized gain on investments ................ -- -- (282,358) (2,131,958)
Return of capital ............................... -- -- (735,660) --
------------- ------------- ------------- --------------
Total distributions ............................ (718,627) (1,662,274) (18,114,454) (19,484,841)
------------- ------------- ------------- --------------
Capital share transactions:
Proceeds from sale of shares .................... 50,094,767 68,222,014 186,595,284 169,725,103
Reinvestment of distributions ................... 718,628 1,662,274 18,114,454 19,484,841
Value of shares redeemed ........................ (83,283,464) (51,304,773) (39,147,262) (141,304,755)
------------- ------------- ------------- --------------
Net increase (decrease) from capital share
transactions .................................. (32,470,069) 18,579,515 165,562,476 47,905,189
------------- ------------- ------------- --------------
Total increase (decrease) in net assets ......... (32,470,069) 18,579,515 165,280,130 45,773,236
------------- ------------- ------------- --------------
NET ASSETS at beginning of year .................. 138,231,602 119,652,087 454,683,433 408,910,197
------------- ------------- ------------- --------------
NET ASSETS at end of year ........................ $ 105,761,533 $ 138,231,602 $ 619,963,563 $ 454,683,433
============= ============= ============= ==============
Undistributed net investment income included in
net assets at end of year ...................... $ -- $ -- $ -- $ 26,325
============= ============= ============= ==============
SHARE TRANSACTIONS:
Reverse stock split (Note 9) .................... -- -- (2,824) (21,320)
Number of shares sold ........................... 50,094,767 68,222,014 1,865,954 1,689,321
Number of shares issued through reinvestment
of dividends and distributions ................. 718,628 1,662,274 181,145 215,330
Number of shares redeemed ....................... (83,283,464) (51,304,773) (391,473) (1,406,462)
------------- ------------- ------------- --------------
Net increase (decrease) in shares
outstanding ................................... (32,470,069) 18,579,515 1,652,802 476,869
============= ============= ============= ==============
See Notes to Financial Statements.
62
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
US Government Securities Asset Allocation
------------------------------- -------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
------------- ----------------- ------------- --------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ........................... $ 5,720,320 $ 5,799,122 $ 7,302,865 $ 12,129,449
Net realized gain (loss) on sale of investments
and futures contracts .......................... 1,347,658 2,165,104 28,429,333 (14,196,506)
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts ...................................... (3,558,192) 6,680,131 126,594,793 (132,339,806)
------------- ------------- ------------- --------------
Net increase (decrease) in net assets resulting
from operations ................................ 3,509,786 14,644,357 162,326,991 (134,406,863)
------------- ------------- ------------- --------------
Distributions to shareholders from:
Net investment income ........................... (6,277,903) (5,929,290) (18,592,974) --
Net realized gain on investments ................ (1,764,146) (2,217,757) -- --
------------- ------------- ------------- --------------
Total distributions ............................ (8,042,049) (8,147,047) (18,592,974) --
------------- ------------- ------------- --------------
Capital share transactions:
Proceeds from sale of shares .................... 29,263,078 105,891,443 29,594,988 40,717,398
Reinvestment of distributions ................... 8,042,006 8,147,047 18,592,974 --
Value of shares redeemed ........................ (79,870,716) (35,698,562) (55,637,459) (134,361,628)
------------- ------------- ------------- --------------
Net increase (decrease) from capital share
transactions .................................. (42,565,632) 78,339,928 (7,449,497) (93,644,230)
------------- ------------- ------------- --------------
Total increase (decrease) in net assets ......... (47,097,895) 84,837,238 136,284,520 (228,051,093)
------------- ------------- ------------- --------------
NET ASSETS at beginning of year .................. 235,644,026 150,806,788 648,155,940 876,207,033
------------- ------------- ------------- --------------
NET ASSETS at end of year ........................ $ 188,546,131 $ 235,644,026 $ 784,440,460 $ 648,155,940
============= ============= ============= ==============
Undistributed net investment income (loss)
included in net assets at end of year .......... $ -- $ 18,586 $ 812,895 $ 12,127,455
============= ============= ============= ==============
SHARE TRANSACTIONS:
Number of shares sold ........................... 2,727,506 9,958,757 4,766,549 6,546,092
Number of shares issued through reinvestment
of dividends and distributions ................. 753,046 768,058 2,779,219 --
Number of shares redeemed ....................... (7,486,679) (3,417,825) (9,438,905) (22,946,312)
------------- ------------- ------------- --------------
Net increase (decrease) in shares
outstanding ................................... (4,006,127) 7,308,990 (1,893,137) (16,400,220)
============= ============= ============= ==============
See Notes to Financial Statements.
63
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Equity Income Growth & Income
------------------------------- -------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
------------- -------------- ------------- -----------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 8,128,669 $ 7,584,589 $ 5,203,793 $ 3,584,760
Net realized loss on sale of investments .............. (11,640,559) (2,081,024) (12,399,157) (36,696,928)
Net change in unrealized appreciation
(depreciation) of investments ........................ 198,421,766 (109,063,573) 175,167,589 (72,845,078)
------------- -------------- ------------- --------------
Net increase (decrease) in net assets resulting
from operations ...................................... 194,909,876 (103,560,008) 167,972,225 (105,957,246)
------------- -------------- ------------- --------------
Distributions to shareholders from:
Net investment income ................................. (8,027,003) (7,085,602) (5,357,715) (3,050,319)
------------- -------------- ------------- --------------
Total distributions .................................. (8,027,003) (7,085,602) (5,357,715) (3,050,319)
------------- -------------- ------------- --------------
Capital share transactions:
Proceeds from sale of shares .......................... 107,105,380 138,947,288 115,205,917 279,118,876
Reinvestment of distributions ......................... 8,027,003 7,085,602 5,357,715 3,050,284
Value of shares redeemed .............................. (42,967,771) (98,416,776) (33,659,485) (93,850,401)
------------- -------------- ------------- --------------
Net increase from capital share transactions ......... 72,164,612 47,616,114 86,904,147 188,318,759
------------- -------------- ------------- --------------
Total increase (decrease) in net assets ............... 259,047,485 (63,029,496) 249,518,657 79,311,194
------------- -------------- ------------- --------------
NET ASSETS at beginning of year ........................ 565,045,912 628,075,408 515,596,595 436,285,401
------------- -------------- ------------- --------------
NET ASSETS at end of year .............................. $ 824,093,397 $ 565,045,912 $ 765,115,252 $ 515,596,595
============= ============== ============= ==============
Undistributed net investment income included in
net assets at end of year ............................ $ 452,874 $ 473,949 $ 462,473 $ 534,435
============= ============== ============= ==============
SHARE TRANSACTIONS:
Number of shares sold ................................. 15,843,899 20,639,980 14,109,835 37,140,624
Number of shares issued through reinvestment
of dividends and distributions ....................... 1,034,408 1,171,174 579,212 415,005
Number of shares redeemed ............................. (6,792,269) (15,486,100) (4,379,412) (12,465,750)
------------- -------------- ------------- --------------
Net increase in shares outstanding ................... 10,086,038 6,325,054 10,309,635 25,089,879
============= ============== ============= ==============
See Notes to Financial Statements.
64
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Growth Aggressive Opportunities
----------------------------------- -------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
--------------- --------------- ------------- --------------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) .................... $ (1,055,417) $ 508,515 $ (927,175) $ (3,597,481)
Net realized gain (loss) on sale of investments,
futures contracts and foreign currency
transactions ................................... (1,551,631) (599,434,174) 32,699,862 (307,984,908)
Net change in unrealized appreciation
(depreciation) of investments, futures contracts
and foreign currency transactions .............. 595,671,532 (83,691,870) 237,652,174 (22,741,341)
--------------- --------------- ------------- --------------
Net increase (decrease) in net assets resulting
from operations ................................ 593,064,484 (682,617,529) 269,424,861 (334,323,730)
--------------- --------------- ------------- --------------
Distributions to shareholders from:
Net investment income ........................... (11,487) (383,794) (117,905) --
In excess of net investment income .............. -- -- (57) --
--------------- --------------- ------------- --------------
Total distributions ............................ (11,487) (383,794) (117,962) --
--------------- --------------- ------------- --------------
Capital share transactions:
Proceeds from sale of shares .................... 370,213,000 269,469,421 151,533,874 205,386,982
Reinvestment of distributions ................... 11,487 383,794 117,962 --
Value of shares redeemed ........................ (128,192,189) (336,842,418) (54,637,632) (117,640,044)
--------------- --------------- ------------- --------------
Net increase (decrease) from capital share
transactions .................................. 242,032,298 (66,989,203) 97,014,204 87,746,938
--------------- --------------- ------------- --------------
Total increase (decrease) in net assets ......... 835,085,295 (749,990,526) 366,321,103 (246,576,792)
--------------- --------------- ------------- --------------
NET ASSETS at beginning of year .................. 2,060,555,472 2,810,545,998 572,470,090 819,046,882
--------------- --------------- ------------- --------------
NET ASSETS at end of year ........................ $ 2,895,640,767 $ 2,060,555,472 $ 938,791,193 $ 572,470,090
=============== =============== ============= ==============
Undistributed net investment income (loss)
included in net assets at end of year .......... $ (213,643) $ 120,070 $ 9,274,177 $ (4,292,555)
=============== =============== ============= ==============
SHARE TRANSACTIONS:
Number of shares sold ........................... 49,213,468 37,320,386 19,994,985 26,304,320
Number of shares issued through reinvestment
of dividends and distributions ................. 1,443 59,968 13,195 --
Number of shares redeemed ....................... (19,050,783) (48,247,155) (7,788,237) (15,314,898)
--------------- --------------- ------------- --------------
Net increase (decrease) in shares
outstanding ................................... 30,164,128 (10,866,801) 12,219,943 10,989,422
=============== =============== ============= ==============
See Notes to Financial Statements.
65
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
International
--------------------------------
For the Year For the
Year Ended Year Ended
December 31, December 31,
2003 2002
------------- -------------
Increase (decrease) in net assets resulting from operations:
Net investment income ........................................................... $ 3,030,082 $ 2,610,096
Net realized loss on sale of investments and foreign currency transactions ...... (501,142) (69,133,179)
Net change in unrealized appreciation of investments and foreign currency
transactions ................................................................... 96,916,139 17,052,326
------------- -------------
Net increase (decrease) in net assets resulting from operations ................. 99,445,079 (49,470,757)
------------- -------------
Distributions to shareholders from:
Net investment income ........................................................... (4,534,410) (3,314,155)
Return of capital ............................................................... (82,003) --
------------- -------------
Total distributions ............................................................ (4,616,413) (3,314,155)
------------- -------------
Capital share transactions:
Proceeds from sale of shares .................................................... 117,611,346 120,470,050
Reinvestment of distributions ................................................... 4,616,413 3,314,155
Value of shares redeemed ........................................................ (28,481,849) (92,435,140)
------------- -------------
Net increase from capital share transactions ................................... 93,745,910 31,349,065
------------- -------------
Total increase (decrease) in net assets ......................................... 188,574,576 (21,435,847)
------------- -------------
NET ASSETS at beginning of year .................................................. 282,920,874 304,356,721
------------- -------------
NET ASSETS at end of year ........................................................ $ 471,495,450 $ 282,920,874
============= =============
Undistributed net investment loss included in net assets at end of year ......... $ (1,406,432) $ (764,222)
============= =============
SHARE TRANSACTIONS:
Number of shares sold ........................................................... 15,139,666 16,229,303
Number of shares issued through reinvestment of dividends and distributions ..... 532,458 490,260
Number of shares redeemed ....................................................... (3,966,878) (12,219,928)
------------- -------------
Net increase in shares outstanding ............................................. 11,705,246 4,499,635
============= =============
See Notes to Financial Statements.
66
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Core Bond Index 500 Stock Index
------------------------------- ------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
------------- -------------- ------------- -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 21,982,669 $ 23,921,276 $ 3,622,592 $ 2,839,563
Net realized gain (loss) on sale of investments
and futures contracts* ............................... 6,740,246 8,643,953 (3,378,597) (24,173,184)
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts* ........................................... (8,590,458) 13,203,505 65,154,317 (35,259,122)
------------- -------------- ------------- -------------
Net increase in net assets resulting from
operations ........................................... 20,132,457 45,768,734 65,398,312 (56,592,743)
------------- -------------- ------------- -------------
Distributions to shareholders from:
Net investment income--Class I ........................ (19,642,302) (19,372,054) (1,324,391) (1,029,588)
Net investment income--Class II ....................... (7,391,666) (7,148,210) (2,293,214) (1,798,646)
Net realized gain on investments--Class I ............. (2,787,601) (140,771) -- --
Net realized gain on investments--Class II ............ (858,658) (54,748) -- --
------------- -------------- ------------- -------------
Total distributions .................................. (30,680,227) (26,715,783) (3,617,605) (2,828,234)
------------- -------------- ------------- -------------
Capital share transactions:
Proceeds from sale of shares--Class I ................. 117,057,172 135,172,672 34,902,771 20,553,300
Proceeds from sale of shares--Class II ................ 19,661,185 48,722,632 50,464,141 38,870,388
Reinvestment of distributions--Class I ................ 22,429,904 19,512,825 1,324,391 1,029,588
Reinvestment of distributions--Class II ............... 8,250,324 7,202,957 2,293,214 1,798,646
Value of shares redeemed--Class I ..................... (63,242,255) (128,481,875) (16,094,565) (9,619,170)
Value of shares redeemed--Class II .................... (36,902,391) (27,138,959) (24,139,915) (29,229,543)
------------- -------------- ------------- -------------
Net increase from capital share transactions ......... 67,253,939 54,990,252 48,750,037 23,403,209
------------- -------------- ------------- -------------
Total increase in net assets .......................... 56,706,169 74,043,203 110,530,744 (36,017,768)
------------- -------------- ------------- -------------
NET ASSETS at beginning of year ........................ 534,687,839 460,644,636 206,033,976 242,051,744
------------- -------------- ------------- -------------
NET ASSETS at end of year .............................. $ 591,394,008 $ 534,687,839 $ 316,564,720 $ 206,033,976
============= ============== ============= =============
Undistributed net investment income (loss)
included in net assets at end of year ................ $ -- $ 568,891 $ 3,378 $ 9,943
============= ============== ============= =============
SHARE TRANSACTIONS:
Number of shares sold--Class I ........................ 11,224,595 13,213,503 4,534,443 2,674,304
Number of shares issued through reinvestment
of dividends and distributions--Class I .............. 2,159,844 1,911,677 152,932 145,834
Number of shares redeemed--Class I .................... (6,053,167) (12,538,004) (2,110,783) (1,306,697)
------------- -------------- ------------- -------------
Net increase in shares outstanding--Class I .......... 7,331,272 2,587,176 2,576,592 1,513,441
============= ============== ============= =============
Number of shares sold--Class II ....................... 1,871,013 4,744,429 6,969,036 5,152,715
Number of shares issued through reinvestment
of dividends and distributions--Class II ............. 790,897 702,794 278,303 267,656
Number of shares redeemed--Class II ................... (3,540,548) (2,666,482) (3,314,055) (3,906,130)
------------- -------------- ------------- -------------
Net increase (decrease) in shares
outstanding--Class II ............................... (878,638) 2,780,741 3,933,284 1,514,241
============= ============== ============= =============
- -------
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
67
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Broad Market Index Mid/Small Company Index
------------------------------- ------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
------------- -------------- ------------- -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 5,839,494 $ 5,041,902 $ 677,073 $ 456,147
Net realized loss on sale of investments and
futures contracts* ................................... (8,835,289) (42,297,189) (2,490,793) (3,521,136)
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts* ........................................... 127,184,348 (69,911,716) 27,378,308 (8,917,699)
------------- -------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations ...................................... 124,188,553 (107,167,003) 25,564,588 (11,982,688)
------------- -------------- ------------- -------------
Distributions to shareholders from:
Net investment income--Class I ........................ (2,374,886) (205,731) (250,183) --
Net investment income--Class II ....................... (3,035,133) (696,586) (312,686) --
------------- -------------- ------------- -------------
Total distributions .................................. (5,410,019) (902,317) (562,869) --
------------- -------------- ------------- -------------
Capital share transactions:
Proceeds from sale of shares--Class I ................. 28,204,359 15,948,446 22,355,195 7,661,369
Proceeds from sale of shares--Class II ................ 38,133,764 35,809,654 20,820,155 10,098,189
Reinvestment of distributions--Class I ................ 2,374,086 205,731 250,183 --
Reinvestment of distributions--Class II ............... 3,035,133 696,586 312,686 --
Value of shares redeemed--Class I ..................... (13,017,356) (25,917,829) (5,907,958) (4,335,481)
Value of shares redeemed--Class II .................... (17,495,892) (35,173,689) (5,745,000) (9,119,613)
------------- -------------- ------------- -------------
Net increase (decrease) from capital share
transactions ........................................ 41,234,094 (8,431,101) 32,085,261 4,304,464
------------- -------------- ------------- -------------
Total increase (decrease) in net assets ............... 160,012,628 (116,500,421) 57,086,980 (7,678,224)
------------- -------------- ------------- -------------
NET ASSETS at beginning of year ........................ 379,648,227 496,148,648 52,700,076 60,378,300
------------- -------------- ------------- -------------
NET ASSETS at end of year .............................. $ 539,660,855 $ 379,648,227 $ 109,787,056 $ 52,700,076
============= ============== ============= =============
Undistributed net investment income included in
net assets at end of year ............................ $ 5,425,575 $ 5,041,019 $ 530,123 $ 450,410
============= ============== ============= =============
SHARE TRANSACTIONS:
Number of shares sold--Class I ........................ 3,690,025 2,050,345 2,139,171 818,052
Number of shares issued through reinvestment
of dividends and distributions--Class I .............. 268,866 29,390 21,383 --
Number of shares redeemed--Class I .................... (1,744,055) (3,457,595) (631,230) (483,286)
------------- -------------- ------------- -------------
Net increase (decrease) in shares
outstanding--Class I ................................ 2,214,836 (1,377,860) 1,529,324 334,766
============= ============== ============= =============
Number of shares sold--Class II ....................... 5,266,992 4,672,939 2,104,290 1,099,171
Number of shares issued through reinvestment
of dividends and distributions--Class II ............. 362,620 104,908 27,869 --
Number of shares redeemed--Class II ................... (2,406,675) (4,697,785) (621,496) (1,020,003)
------------- -------------- ------------- -------------
Net increase in shares outstanding--Class II ......... 3,222,937 80,062 1,510,663 79,168
============= ============== ============= =============
- -------
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
68
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Overseas Equity Index
-------------------------------
For the For the
Year Ended Year Ended
December 31, December 31,
2003 2002
------------ -------------
Increase (decrease) in net assets resulting from operations:
Net investment income .......................................................... $ 963,079 $ 670,858
Net realized loss on sale of investments, futures contracts and foreign
currency transactions* ........................................................ (339,572) (3,490,609)
Net change in unrealized appreciation (depreciation) of investments, futures
contracts and foreign currency transactions* .................................. 18,699,542 (4,440,040)
------------ -------------
Net increase (decrease) in net assets resulting from operations ................ 19,323,049 (7,259,791)
------------ -------------
Distributions to shareholders from:
Net investment income--Class I ................................................. (746,430) (635,500)
Net investment income--Class II ................................................ (284,019) (159,550)
------------ -------------
Total distributions ........................................................... (1,030,449) (795,050)
------------ -------------
Capital share transactions:
Proceeds from sale of shares--Class I .......................................... 17,087,851 27,578,438
Proceeds from sale of shares--Class II ......................................... 12,084,758 6,047,539
Reinvestment of distributions--Class I ......................................... 746,430 635,500
Reinvestment of distributions--Class II ........................................ 284,019 159,550
Value of shares redeemed--Class I .............................................. (7,305,647) (21,992,521)
Value of shares redeemed--Class II ............................................. (4,123,347) (5,195,291)
------------ -------------
Net increase from capital share transactions .................................. 18,774,064 7,233,215
------------ -------------
Total increase (decrease) in net assets ........................................ 37,066,664 (821,626)
------------ -------------
NET ASSETS at beginning of year ................................................. 43,074,115 43,895,741
------------ -------------
NET ASSETS at end of year ....................................................... $ 80,140,779 $ 43,074,115
============ =============
Undistributed net investment loss included in net assets at end of year ........ $ (98,051) $ (101,025)
============ =============
SHARE TRANSACTIONS:
Number of shares sold--Class I ................................................. 2,415,187 3,968,047
Number of shares issued through reinvestment of dividends and
distributions--Class I ........................................................ 88,230 101,356
Number of shares redeemed--Class I ............................................. (1,063,384) (3,083,746)
------------ -------------
Net increase in shares outstanding--Class I ................................... 1,440,033 985,657
============ =============
Number of shares sold--Class II ................................................ 1,694,565 881,236
Number of shares issued through reinvestment of dividends and
distributions--Class II ....................................................... 35,370 26,815
Number of shares redeemed--Class II ............................................ (617,086) (752,349)
------------ -------------
Net increase in shares outstanding--Class II .................................. 1,112,849 155,702
============ =============
- -------
* Allocated from Master Investment Portfolio (Note 1)
See Notes to Financial Statements.
69
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Model Portfolios
------------------------------------------------------------------
Savings Oriented Conservative Growth
------------------------------- ----------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
------------- ------------- ------------- -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 4,622,134 $ 4,503,663 $ 7,258,186 $ 7,504,708
Net realized loss on sale of investments .............. (1,320,823) (6,583,052) (4,535,756) (27,869,956)
Net change in unrealized appreciation
(depreciation) of investments ........................ 13,931,335 101,995 41,499,733 (119,112)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations ...................................... 17,232,646 (1,977,394) 44,222,163 (20,484,360)
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ................................. (4,742,773) (4,305,011) (7,341,813) (7,771,919)
Net realized gain on investments ...................... -- (447,282) -- --
------------- ------------- ------------- -------------
Total distributions .................................. (4,742,773) (4,752,293) (7,341,813) (7,771,919)
------------- ------------- ------------- -------------
Capital share transactions:
Proceeds from sale of shares .......................... 50,333,016 47,233,918 76,878,175 67,052,117
Reinvestment of distributions ......................... 4,742,773 4,750,820 7,341,813 7,771,919
Value of shares redeemed .............................. (24,798,193) (22,787,815) (25,886,387) (46,594,286)
------------- ------------- ------------- -------------
Net increase from capital share transactions ......... 30,277,596 29,196,923 58,333,601 28,229,750
------------- ------------- ------------- -------------
Total increase (decrease) in net assets ............... 42,767,469 22,467,236 95,213,951 (26,529)
------------- ------------- ------------- -------------
NET ASSETS at beginning of year ........................ 159,496,565 137,029,329 280,786,568 280,813,097
------------- ------------- ------------- -------------
NET ASSETS at end of year .............................. $ 202,264,034 $ 159,496,565 $ 376,000,519 $ 280,786,568
============= ============= ============= =============
Undistributed net investment income (loss)
included in net assets at end of year ................ $ 454,848 $ 460,646 $ 1,771 $ 9,382
============= ============= ============= =============
SHARE TRANSACTIONS:
Number of shares sold ................................. 2,210,386 2,083,573 3,692,283 3,208,447
Number of shares issued through reinvestment
of dividends and distributions ....................... 201,735 217,231 334,631 398,969
Number of shares redeemed ............................. (1,092,212) (1,006,308) (1,271,477) (2,282,113)
------------- ------------- ------------- -------------
Net increase in shares outstanding ................... 1,319,909 1,294,496 2,755,437 1,325,303
============= ============= ============= =============
See Notes to Financial Statements.
70
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Model Portfolios
------------------------------------------------------------------
Traditional Growth Long-Term Growth
------------------------------- ------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
------------- ------------- ------------- -------------
Increase (decrease) in net assets
resulting from operations:
Net investment income ................................. $ 11,136,577 $ 11,098,341 $ 8,512,317 $ 7,415,385
Net realized gain on sale of investments .............. (24,668,299) (61,112,239) (3,713,663) (39,637,698)
Net change in unrealized appreciation
(depreciation) of investments ........................ 136,703,711 (29,534,899) 154,914,138 (74,027,001)
------------- ------------- ------------- --------------
Net increase (decrease) in net assets resulting
from operations ...................................... 123,171,989 (79,548,797) 159,712,792 (106,249,314)
------------- ------------- ------------- --------------
Distributions to shareholders from:
Net investment income ................................. (11,300,929) (10,721,918) (8,786,488) (7,427,368)
Net realized gain on investments ...................... -- -- (39,436) (235,462)
------------- ------------- ------------- --------------
Total distributions .................................. (11,300,929) (10,721,918) (8,825,924) (7,662,830)
------------- ------------- ------------- --------------
Capital share transactions:
Proceeds from sale of shares .......................... 153,902,419 129,954,625 152,487,229 133,236,681
Reinvestment of distributions ......................... 11,300,929 10,721,918 8,825,924 7,662,830
Value of shares redeemed .............................. (48,047,781) (55,208,788) (20,133,102) (31,625,132)
------------- ------------- ------------- --------------
Net increase from capital share transactions ......... 117,155,567 85,467,755 141,180,051 109,274,379
------------- ------------- ------------- --------------
Total increase (decrease) in net assets ............... 229,026,627 (4,802,960) 292,066,919 (4,637,765)
------------- ------------- ------------- --------------
NET ASSETS at beginning of year ........................ 566,554,508 571,357,468 528,710,183 533,347,948
------------- ------------- ------------- --------------
NET ASSETS at end of year .............................. $ 795,581,135 $ 566,554,508 $ 820,777,102 $ 528,710,183
============= ============= ============= ==============
Undistributed net investment income (loss)
included in net assets at end of year ................ $ 709,569 $ 713,381 $ 57,356 $ --
============= ============= ============= ==============
SHARE TRANSACTIONS:
Number of shares sold ................................. 8,167,202 6,906,104 8,809,489 7,657,339
Number of shares issued through reinvestment
of dividends and distributions ....................... 552,883 626,280 453,542 497,585
Number of shares redeemed ............................. (2,782,988) (3,051,931) (1,270,771) (1,841,046)
------------- ------------- ------------- --------------
Net increase in shares outstanding ................... 5,937,097 4,480,453 7,992,260 6,313,878
============= ============= ============= ==============
See Notes to Financial Statements.
71
VANTAGEPOINT FUNDS
Statements of Changes in Net Assets
Model Portfolios
--------------------------------
All-Equity Growth
--------------------------------
For the For the
Year Ended Year Ended
December 31, December 31,
2003 2002
------------- -------------
Increase (decrease) in net assets resulting from operations:
Net investment income ........................................................... $ 478,278 $ 211,221
Net realized loss on sale of investments ........................................ (920,294) (4,883,573)
Net change in unrealized appreciation (depreciation) of investments ............. 25,931,002 (8,289,658)
------------ ------------
Net increase (decrease) in net assets resulting from operations ................. 25,488,986 (12,962,010)
------------ ------------
Distributions to shareholders from:
Net investment income ........................................................... (478,278) (211,221)
Return of capital ............................................................... (18) (1,535)
------------ ------------
Total distributions ............................................................ (478,296) (212,756)
------------ ------------
Capital share transactions:
Proceeds from sale of shares .................................................... 55,390,147 38,467,020
Reinvestment of distributions ................................................... 478,296 212,756
Value of shares redeemed ........................................................ (7,512,736) (8,537,730)
------------ ------------
Net increase from capital share transactions ................................... 48,355,707 30,142,046
------------ ------------
Total increase in net assets .................................................... 73,366,397 16,967,280
------------ ------------
NET ASSETS at beginning of year .................................................. 54,779,089 37,811,809
------------ ------------
NET ASSETS at end of year ........................................................ $128,145,486 $ 54,779,089
============ ============
Undistributed net investment loss included in net assets at end of year ......... $ -- $ --
============ ============
SHARE TRANSACTIONS:
Number of shares sold ........................................................... 3,277,779 2,284,622
Number of shares issued through reinvestment of dividends and distributions ..... 24,553 14,592
Number of shares redeemed ....................................................... (458,502) (515,131)
------------ ------------
Net increase in shares outstanding ............................................. 2,843,830 1,784,083
============ ============
See Notes to Financial Statements.
72
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Money Market
--------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 0.01 0.04 0.06 0.04
Net realized and unrealized gain on
investments ................................ -- -- -- -- --
-------- -------- -------- ------- --------
Total from investment operations ............. 0.01 0.01 0.04 0.06 0.04
-------- -------- -------- ------- --------
Less distributions:
From net investment income .................. (0.01) (0.01) (0.04) (0.06) (0.04)
-------- -------- -------- ------- --------
Total distributions .......................... (0.01) (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 ................................. 0.60% 1.32% 3.70% 6.05% 4.00%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $105,762 $138,232 $119,652 $93,385 $ 76,773
Ratios to average net assets:
Ratio of expenses to average net assets ..... 0.52% 0.49% 0.46% 0.46% 0.47%+
Ratio of net investment income to
average net assets ......................... 0.60% 1.79% 4.01% 6.35% 4.70%+
Ratio of expenses to average net assets
prior to expense reductions and
reimbursed expenses ......................... N/A 0.52% 0.53% 0.52% 0.52%+
Ratio of net investment income to average
net assets prior to expense reductions
and reimbursed expenses ..................... N/A 1.76% 3.94% 6.30% 4.65%+
Portfolio turnover ........................... N/A N/A N/A N/A N/A
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
73
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Income Preservation
-----------------------------------------------------------------
For the Period
from December 4,
2000* to
For the Year Ended December 31, December 31,
2003 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 ........................... 3.46 4.02 5.08 0.47
Net realized and unrealized gain on investments,
wrapper agreements, futures, options, swaps
and foreign currency transactions .............. --** --** -- ** --
-------- -------- --------- --------
Total from investment operations ................. 3.46 4.02 5.08 0.47
-------- -------- --------- --------
Less distributions:
From net investment income ...................... (3.34) (4.02) (4.93) (0.47)
From net realized gains ......................... (0.05) (0.47) (2.45) --
Reverse stock split (Note 9) .................... 0.05 0.47 2.45 --
Return of capital ............................... (0.12) -- (0.15) --
-------- -------- --------- --------
Total distributions .............................. (3.46) (4.02) (5.08) (0.47)
-------- -------- --------- --------
Net Asset Value, end of period ................... $ 100.00 $ 100.00 $ 100.00 $ 100.00
======== ======== ========= ========
Total return ..................................... 3.51% 4.09% 5.18% 0.46%++
Ratios/Supplemental data:
Net assets, end of period (000) ................. $619,964 $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 ..................................... 3.42% 4.02% 5.06% 6.90%+
Portfolio turnover ............................... 211% 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%.
** 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.
74
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
US Government Securities
---------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.27 0.34 0.46 0.53 0.44
Net realized and unrealized gain (loss)
on investments ............................. (0.10) 0.54 0.27 0.57 (0.50)
-------- -------- -------- ------- -------
Total from investment operations ............. 0.17 0.88 0.73 1.10 (0.06)
-------- -------- -------- ------- -------
Less distributions:
From net investment income .................. (0.30) (0.35) (0.46) (0.53) (0.44)
From net realized gains ..................... (0.09) (0.11) -- -- --
-------- -------- -------- ------- -------
Total distributions .......................... (0.39) (0.46) (0.46) (0.53) (0.44)
-------- -------- -------- ------- -------
Net Asset Value, end of period ............... $ 10.54 $ 10.76 $ 10.34 $ 10.07 $ 9.50
======== ======== ======== ======= =======
Total return ................................. 1.66% 8.76% 7.42% 12.00% (0.66)%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $188,546 $235,644 $150,807 $87,209 $76,468
Ratios to average net assets:
Ratio of expenses to average net assets ..... 0.61% 0.61% 0.64% 0.68% 0.66%+
Ratio of net investment income to
average net assets ......................... 2.57% 3.30% 4.52% 5.54% 5.26%+
Portfolio turnover ........................... 120% 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%.
See Notes to Financial Statements.
75
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Asset Allocation
----------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.07 0.10 0.21 0.29 0.24
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 1.35 (1.13) (0.83) (0.36) 0.62
-------- -------- -------- -------- ----------
Total from investment operations ............. 1.42 (1.03) (0.62) (0.07) 0.86
-------- -------- -------- -------- ----------
Less distributions:
From net investment income .................. (0.16) -- (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 .......................... (0.16) -- (2.82) (0.46) (0.37)
-------- -------- -------- -------- ----------
Net Asset Value, end of period ............... $ 6.75 $ 5.49 $ 6.52 $ 9.96 $ 10.49
======== ======== ======== ======== ==========
Total return ................................. 25.97% (15.80)% (5.42)% (0.71)% 8.61%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $784,440 $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 ......................... 1.06% 1.61% 2.21% 2.61% 2.68%+
Portfolio turnover ........................... 17% 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%.
See Notes to Financial Statements.
76
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Equity Income
------------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.08 0.09 0.11 0.15 0.18
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 1.90 (1.15) 0.06 1.11 (0.68)
-------- -------- -------- -------- --------
Total from investment operations ............. 1.98 (1.06) 0.17 1.26 (0.50)
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. (0.08) (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) (0.08) (1.20) (0.27) (2.34)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 7.88 $ 5.98 $ 7.12 $ 8.15 $ 7.16
======== ======== ======== ======== ========
Total return ................................. 33.09% (14.96)% 2.92% 17.56% (4.60)%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $824,093 $565,046 $628,075 $522,954 $486,690
Ratios to average net assets:
Ratio of expenses to average net assets ..... 0.92% 0.92% 0.94% 0.85% 0.76%+
Ratio of net investment income to
average net assets ......................... 1.25% 1.21% 1.37% 2.00% 2.07%+
Ratio of expenses to average net assets
after expense reductions and reimbursed
expenses .................................... N/A 0.90% 0.92% 0.79% 0.75%+
Ratio of net investment income to average
net assets after expense reductions and
reimbursed expenses ......................... N/A 1.23% 1.39% 2.06% 2.08%+
Portfolio turnover ........................... 13% 17% 16% 58% 77%++
- ----------
+ Annualized
++ Not annualized
** Commencement of operations
See Notes to Financial Statements.
77
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Growth & Income
------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ................................. 0.06 0.05 0.05 0.06 0.01
Net realized and unrealized gain (loss) on
investments and futures and foreign currency
transactions ......................................... 2.15 (2.22) (0.62) 0.44 2.31
-------- -------- -------- -------- --------
Total from investment operations ....................... 2.21 (2.17) (0.57) 0.50 2.32
-------- -------- -------- -------- --------
Less distributions:
From net investment income ............................ (0.07) (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 .................................... (0.07) (0.04) (0.81) (1.52) (0.47)
-------- -------- -------- -------- --------
Net Asset Value, end of period ......................... $ 9.38 $ 7.24 $ 9.45 $ 10.83 $ 11.85
======== ======== ======== ======== ========
Total return ........................................... 30.49% (22.93)% (4.77)% 4.21% 23.50%++
Ratios/Supplemental data:
Net assets, end of period (000) ....................... $765,115 $515,597 $436,285 $376,137 $235,062
Ratios to average net assets:
Ratio of expenses to average net assets ............... 0.83% 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 ............ N/A 0.81% 0.85% 0.79% 0.94%+
Ratio of net investment income to average net assets
after expense reductions and reimbursed expenses N/A 0.79% 0.55% 0.61% 0.17%+
Portfolio turnover ..................................... 22% 29% 58% 94% 51%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
78
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Growth
-------------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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** 0.00** (0.00)** (0.01) 0.00**
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 1.80 (2.01) (1.69) (0.33) 3.95
---------- ---------- ---------- ---------- ----------
Total from investment operations ............. 1.80 (2.01) (1.69) (0.34) 3.95
---------- ---------- ---------- ---------- ----------
Less distributions:
From net investment income .................. (0.00)** (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)** (0.00)** (0.80) (2.10) (0.74)
---------- ---------- ---------- ---------- ----------
Net Asset Value, end of period ............... $ 8.07 $ 6.27 $ 8.28 $ 10.77 $ 13.21
========== ========== ========== ========== ==========
Total return ................................. 28.71% (24.26)% (15.21)% (2.56)% 40.03%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $2,895,641 $2,060,555 $2,810,546 $3,349,618 $3,361,695
Ratios to average net assets:
Ratio of expenses to average net assets ..... 0.96% 0.91% 0.89% 0.86% 0.81%+
Ratio of net investment income (loss) to
average net assets ......................... (0.05)% (0.01)% (0.05)% (0.09)% (0.02)%+
Ratio of expenses to average net assets
after expense reductions and reimbursed
expenses .................................... N/A 0.88% 0.88% 0.84% 0.80%+
Ratio of net investment income (loss) to
average net assets after expense
reductions and reimbursed expenses .......... N/A 0.02% (0.04)% (0.07)% (0.01)%+
Portfolio turnover ........................... 46% 74% 40% 59% 129%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than $0.01
See Notes to Financial Statements.
79
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Aggressive Opportunities
------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ......................... (0.00)** (0.04) (0.07) (0.03) (0.04)
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 2.80 (3.88) (1.56) (1.45) 6.34
-------- -------- -------- -------- --------
Total from investment operations ............. 2.80 (3.92) (1.63) (1.48) 6.30
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. (0.00)** -- -- -- --
In excess of net investment income .......... (0.00)** -- -- -- --
From net realized gains ..................... -- -- -- (2.52) (0.48)
In excess of net realized gain on
investments ................................ -- -- (0.00)** -- --
-------- -------- -------- -------- --------
Total distributions .......................... (0.00) -- -- (2.52) (0.48)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 9.07 $ 6.27 $ 10.19 $ 11.82 $ 15.82
======== ======== ======== ======== ========
Total return ................................. 44.68% (38.47)% (13.75)% (9.35)% 63.39%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $938,791 $572,470 $819,047 $850,915 $631,505
Ratios to average net assets:
Ratio of expenses to average net assets ..... 1.23% 1.18% 1.24% 1.25% 1.28%+
Ratio of net investment loss to average
net assets ................................. (0.13)% (0.58)% (0.72)% (0.29)% (0.48)%+
Ratio of expenses to average net assets
after expense reductions and reimbursed
expenses .................................... N/A 1.14% 1.19% 1.24% 1.28%+
Ratio of net investment loss to average net
assets after expense reductions and
reimbursed expenses ......................... N/A (0.54)% (0.67)% (0.28)% (0.48)%+
Portfolio turnover ........................... 75% 128% 102% 41% 50%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than $0.01
See Notes to Financial Statements.
80
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
International
----------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.06 0.07 0.06 0.07 0.08
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 2.07 (1.39) (2.23) (2.12) 4.15
-------- -------- -------- -------- --------
Total from investment operations ............. 2.13 (1.32) (2.17) (2.05) 4.23
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. (0.09) (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 ........................... (0.00)** -- (0.11) -- --
-------- -------- -------- -------- --------
Total distributions .......................... (0.09) (0.08) (0.36) (0.98) (0.47)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 8.84 $ 6.80 $ 8.20 $ 10.73 $ 13.76
======== ======== ======== ======== ========
Total return ................................. 31.31% (16.08)% (20.16)% (14.91)% 42.62%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $471,495 $282,921 $304,357 $326,534 $316,937
Ratios to average net assets:
Ratio of expenses to average net assets ..... 1.22% 1.20% 1.20% 1.15% 1.14%+
Ratio of net investment income to
average net assets ......................... 0.93% 0.85% 0.54% 0.44% 0.84%+
Ratio of expenses to average net assets
after expense reductions and reimbursed
expenses .................................... N/A 1.16% 1.18% 1.13% 1.12%+
Ratio of net investment income to average
net assets after expense reductions and
reimbursed expenses ......................... N/A 0.89% 0.56% 0.46% 0.86%+
Portfolio turnover ........................... 38% 81% 37% 40% 29%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than $0.01
See Notes to Financial Statements.
81
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Core Bond Index Class I
----------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.40 0.50 0.52 0.60 0.49
Net realized and unrealized gain (loss)
on investments ............................. (0.04) 0.44 0.30 0.44 (0.59)
-------- -------- -------- -------- --------
Total from investment operations ............. 0.36 0.94 0.82 1.04 (0.10)
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. (0.49) (0.55) (0.60) (0.60) (0.49)
From net realized gains ..................... (0.06) (0.00)** -- -- --
-------- -------- -------- -------- --------
Total distributions .......................... (0.55) (0.55) (0.60) (0.60) (0.49)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 10.27 $ 10.46 $ 10.07 $ 9.85 $ 9.41
======== ======== ======== ======== ========
Total return ................................. 3.59% 9.69% 8.51% 11.43% (1.05)%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $452,739 $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 ......................... 3.85% 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%.
** Rounds to less than $0.01
*** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
82
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Core Bond Index Class II
-----------------------------------------------------------------------------
For the Period
from April 5,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.42 0.53 0.55 0.62 0.45
Net realized and unrealized gain (loss)
on investments ............................. (0.02) 0.43 0.29 0.45 (0.57)
-------- -------- -------- ------- -------
Total from investment operations ............. 0.40 0.96 0.84 1.07 (0.12)
-------- -------- -------- ------- -------
Less distributions:
From net investment income .................. (0.52) (0.57) (0.62) (0.62) (0.45)
From net realized gains ..................... (0.06) (0.00)** -- -- --
-------- -------- -------- ------- -------
Total distributions .......................... (0.58) (0.57) (0.62) (0.62) (0.45)
-------- -------- -------- ------- -------
Net Asset Value, end of period ............... $ 10.31 $ 10.49 $ 10.10 $ 9.88 $ 9.43
======== ======== ======== ======= =======
Total return ................................. 3.88% 9.88% 8.71% 11.73% (1.19)%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $138,655 $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 ......................... 4.05% 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%.
** Rounds to less than $0.01
*** Includes effect of expenses allocated from Master Investment Portfolio
(Note 1)
See Notes to Financial Statements.
83
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
500 Stock Index Class I
--------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.09 0.09 0.08 0.10 0.09
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 1.85 (2.11) (1.37) (1.24) 1.86
------- ------- ------- -------- --------
Total from investment operations ............. 1.94 (2.02) (1.29) (1.14) 1.95
-------- ------- ------- -------- --------
Less distributions:
From net investment income .................. (0.09) (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) (0.09) (0.28) (0.10)
-------- ------- ------- -------- --------
Net Asset Value, end of period ............... $ 8.79 $ 6.94 $ 9.05 $ 10.43 $ 11.85
======== ======== ======= ======== ========
Total return ................................. 27.98% (22.39)% (12.29)% (9.61)% 19.52%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $130,663 $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 ......................... 1.33% 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.
84
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
500 Stock Index Class II
-----------------------------------------------------------------------------
For the Period
from April 5,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.11 0.10 0.09 0.10 0.08
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 1.75 (2.01) (1.31) (1.16) 1.36
-------- -------- -------- -------- --------
Total from investment operations ............. 1.86 (1.91) (1.22) (1.06) 1.44
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. (0.10) (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) (0.10) (0.11) (0.31) (0.12)
-------- -------- -------- -------- --------
Net Asset Value, end of period ............... $ 8.37 $ 6.61 $ 8.62 $ 9.95 $ 11.32
======== ======== ======== ======== ========
Total return ................................. 28.24% (22.17)% (12.17)% (9.36)% 14.44%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $185,901 $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 ......................... 1.52% 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.
85
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Broad Market Index Class I
---------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.08 0.09 0.08 0.11 0.10
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 2.06 (1.99) (1.30) (1.42) 2.30
-------- -------- -------- -------- ---------
Total from investment operations ............. 2.14 (1.90) (1.22) (1.31) 2.40
-------- -------- -------- -------- ---------
Less distributions:
From net investment income .................. (0.08) (0.01) (0.06) (0.08) (0.09)
From net realized gains ..................... -- -- (0.09) (0.65) (0.10)
-------- -------- -------- -------- ---------
Total distributions .......................... (0.08) (0.01) (0.15) (0.73) (0.19)
-------- -------- -------- -------- ---------
Net Asset Value, end of period ............... $ 8.95 $ 6.89 $ 8.80 $ 10.17 $ 12.21
======== ======== ======== ======== =========
Total return ................................. 31.08% (21.62)% (11.87)% (10.78)% 24.07%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $267,250 $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.
86
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Broad Market Index Class II
----------------------------------------------------------------------------
For the Period
from April 5,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.10 0.09 0.09 0.10 0.09
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 1.95 (1.88) (1.24) (1.35) 1.80
-------- -------- -------- -------- --------
Total from investment operations ............. 2.05 (1.79) (1.15) (1.25) 1.89
-------- -------- -------- -------- --------
Less distributions:
From net investment income .................. (0.10) (0.02) (0.08) (0.11) (0.11)
From net realized gains ..................... -- -- (0.09) (0.65) (0.10)
-------- -------- -------- -------- --------
Total distributions .......................... (0.10) (0.02) (0.17) (0.76) (0.21)
-------- -------- -------- -------- ---------
Net Asset Value, end of period ............... $ 8.49 $ 6.54 $ 8.35 $ 9.67 $ 11.68
======== ======== ======== ======== =========
Total return ................................. 31.30% (21.39)% (11.73)% (10.69)% 19.01%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $272,411 $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 ......................... 1.42% 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.
87
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Mid/Small Company Index Class I
-------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.04 0.06 0.07 0.06 0.06
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 3.47 (1.94) (1.22) (2.14) 4.02
------- ------- ------- ------- -------
Total from investment operations ............. 3.51 (1.88) (1.15) (2.08) 4.08
------- ------- ------- ------- -------
Less distributions:
From net investment income .................. (0.05) -- (0.05) (0.05) (0.06)
From net realized gains ..................... -- -- (0.08) (0.29) (0.10)
Return of capital ........................... -- -- (0.01) -- --
------- ------- ------- ------- -------
Total distributions .......................... (0.05) -- (0.14) (0.34) (0.16)
------- ------- ------- ------- -------
Net Asset Value, end of period ............... $ 11.79 $ 8.33 $ 10.21 $ 11.50 $ 13.92
======= ======= ======= ======= =======
Total return ................................. 42.17% (18.41)% (9.90)% (14.91)% 40.90%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $56,880 $27,427 $30,220 $33,805 $21,548
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.52% 0.53% 0.55% 0.51% 0.60%+
Ratio of net investment income to
average net assets ......................... 0.86% 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.
88
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Mid/Small Company Index Class II
-------------------------------------------------------------------------
For the Period
from April 5,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.06 0.08 0.08 0.09 0.07
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 3.34 (1.87) (1.16) (2.06) 3.48
------- ------- ------- ------- ------
Total from investment operations ............. 3.40 (1.79) (1.08) (1.97) 3.55
------- ------- ------- ------- ------
Less distributions:
From net investment income .................. (0.07) -- (0.08) (0.09) (0.08)
From net realized gains ..................... -- -- (0.08) (0.29) (0.10)
------- ------- ------- ------- ------
Total distributions .......................... (0.07) -- (0.16) (0.38) (0.18)
------- ------- ------- ------- ------
Net Asset Value, end of period ............... $ 11.32 $ 7.99 $ 9.78 $ 11.02 $13.37
======= ======= ======= ======= ======
Total return ................................. 42.53% (18.30)% (9.65)% (14.75)% 35.64%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $52,907 $25,273 $30,158 $34,334 $9,296
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.32% 0.33% 0.35% 0.31% 0.40%+
Ratio of net investment income to
average net assets ......................... 1.06% 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.
89
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Overseas Equity Index Class I
--------------------------------------------------------------------------
For the Period
from March 1,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.11 0.10 0.09 0.16 0.11
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 2.29 (1.40) (2.30) (2.10) 2.88
------- ------- ------- ------- -------
Total from investment operations ............. 2.40 (1.30) (2.21) (1.94) 2.99
------- ------- ------- ------- -------
Less distributions:
From net investment income .................. (0.11) (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 .......................... (0.11) (0.12) (0.14) (0.68) (0.24)
------- ------- ------- ------- -------
Net Asset Value, end of period ............... $ 8.65 $ 6.36 $ 7.78 $ 10.13 $ 12.75
======= ======= ======== ======= =======
Total return ................................. 37.75% (16.73)% (21.77)% (15.21)% 30.03%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $60,601 $35,413 $35,682 $34,167 $48,416
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.69% 0.70% 0.68% 0.67% 0.95%+
Ratio of net investment income to
average net assets ......................... 1.77% 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.
90
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Overseas Equity Index Class II
---------------------------------------------------------------------------
For the Period
from April 5,
1999* to
For the Year Ended December 31, December 31,
2003 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 ....................... 0.11 0.12 0.10 0.13 0.15
Net realized and unrealized gain (loss) on
investments and futures and foreign
currency transactions ...................... 2.17 (1.35) (2.19) (1.96) 2.30
------- ------- ------- ------- -------
Total from investment operations ............. 2.28 (1.23) (2.09) (1.83) 2.45
------- ------- ------- ------- -------
Less distributions:
From net investment income .................. (0.12) (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 .......................... (0.12) (0.13) (0.15) (0.72) (0.26)
------- ------- ------- ------- -------
Net Asset Value, end of period ............... $ 8.20 $ 6.04 $ 7.40 $ 9.64 $ 12.19
======= ======= ======= ======= =======
Total return ................................. 37.85% (16.59)% (21.56)% (15.02)% 24.59%++
Ratios/Supplemental data:
Net assets, end of period (000) ............. $19,539 $ 7,661 $ 8,234 $ 9,950 $ 8,623
Ratios to average net assets:
Ratio of expenses to average
net assets** ............................... 0.49% 0.50% 0.48% 0.47% 0.75%+
Ratio of net investment income to
average net assets ......................... 1.89% 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.
91
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
Savings Oriented
-------------------------------------------------------------
For the Period
from December 4,
2000* to
For the Year Ended December 31, December 31,
2003 2002 2001 2000
-------- -------- -------- -----------------
Net Asset Value, beginning of period ................... $ 21.92 $ 22.91 $ 25.09 $ 25.00
Income from investment operations:
Net investment income ................................. 0.54 0.64 0.96 0.16
Net realized and unrealized gain (loss)
on investments ....................................... 1.64 (0.96) (0.32) 0.21
-------- -------- -------- --------
Total from investment operations ....................... 2.18 (0.32) 0.64 0.37
-------- -------- -------- --------
Less distributions:
From net investment income ............................ (0.57) (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 .................................... (0.57) (0.67) (2.82) (0.28)
-------- -------- -------- --------
Net Asset Value, end of period ......................... $ 23.53 $ 21.92 $ 22.91 $ 25.09
======== ======== ======== ========
Total return ........................................... 9.93% (1.38)% 2.81% 1.48%++
Ratios/Supplemental data:
Net assets, end of period (000) ....................... $202,264 $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 ........................................... 2.60% 3.06% 3.76% 8.95%+
Portfolio turnover ..................................... 10% 10% 14% 2%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
92
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
Conservative Growth
-------------------------------------------------------------
For the Period
from December 4,
2000* to
For the Year Ended December 31, December 31,
2003 2002 2001 2000
-------- -------- -------- -----------------
Net Asset Value, beginning of period ................... $ 19.54 $ 21.52 $ 24.81 $ 25.00
Income from investment operations:
Net investment income ................................. 0.43 0.53 0.83 0.14
Net realized and unrealized gain (loss)
on investments ....................................... 2.42 (1.96) (0.95) 0.33
-------- -------- -------- --------
Total from investment operations ....................... 2.85 (1.43) (0.12) 0.47
-------- -------- -------- --------
Less distributions:
From net investment income ............................ (0.44) (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 .................................... (0.44) (0.55) (3.17) (0.66)
-------- -------- -------- --------
Net Asset Value, end of period ......................... $ 21.95 $ 19.54 $ 21.52 $ 24.81
======== ======== ======== ========
Total return ........................................... 14.64% (6.66)% 0.09% 1.89%++
Ratios/Supplemental data:
Net assets, end of period (000) ....................... $376,001 $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 ........................................... 2.29% 2.64% 3.17% 8.26%+
Portfolio turnover ..................................... 8% 12% 15% 1%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
See Notes to Financial Statements.
93
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
Traditional Growth
------------------------------------------------------------
For the Period
from December 4,
2000* to
For the Year Ended December 31, December 31,
2003 2002 2001 2000
-------- -------- -------- ----------------
Net Asset Value, beginning of period ................... $ 17.19 $ 20.06 $ 24.64 $ 25.00
Income from investment operations:
Net investment income ................................. 0.29 0.34 0.57 0.14
Net realized and unrealized gain (loss)
on investments ....................................... 3.27 (2.88) (1.69) 0.47
-------- -------- -------- --------
Total from investment operations ....................... 3.56 (2.54) (1.12) 0.61
-------- -------- -------- --------
Less distributions:
From net investment income ............................ (0.30) (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 .................................... (0.30) (0.33) (3.46) (0.97)
-------- -------- -------- --------
Net Asset Value, end of period ......................... $ 20.45 $ 17.19 $ 20.06 $ 24.64
======== ======== ======== ========
Total return ........................................... 20.68% (12.64)% (3.62)% 2.46%++
Ratios/Supplemental data:
Net assets, end of period (000) ....................... $795,581 $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 ........................................... 1.73% 1.94% 2.20% 8.22%+
Portfolio turnover ..................................... 9% 11% 13% 0%++**
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than 1%
See Notes to Financial Statements.
94
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
Long-Term Growth
----------------------------------------------------------------
For the Period
from December 4,
2000* to
For the Year Ended December 31, December 31,
2003 2002 2001 2000
-------- -------- -------- -----------------
Net Asset Value, beginning of period ................... $ 15.48 $ 19.16 $ 24.53 $ 25.00
Income from investment operations:
Net investment income ................................. 0.20 0.22 0.36 0.15
Net realized and unrealized gain (loss)
on investments ....................................... 4.01 (3.67) (2.39) 0.66
-------- -------- -------- --------
Total from investment operations ....................... 4.21 (3.45) (2.03) 0.81
-------- -------- -------- --------
Less distributions:
From net investment income ............................ (0.21) (0.22) (0.62) (0.15)
From net realized gains ............................... (0.00)*** (0.01) (2.11) (1.13)
In excess of net realized gain on investments ......... -- -- (0.59) --
Return of capital ..................................... -- -- (0.02) --
-------- -------- -------- --------
Total distributions .................................... (0.21) (0.23) (3.34) (1.28)
-------- -------- -------- --------
Net Asset Value, end of period ......................... $ 19.48 $ 15.48 $ 19.16 $ 24.53
========= ======== ======== ========
Total return ........................................... 27.21% (18.01)% (7.15)% 3.23%++
Ratios/Supplemental data:
Net assets, end of period (000) ....................... $820,777 $528,710 $533,348 $467,522
Ratios to average net assets:
Ratio of expenses to average net assets ............... 0.14% 0.14% 0.15% 0.11%+
Ratio of net investment income to average
net assets ........................................... 1.33% 1.40% 1.40% 8.05%+
Portfolio turnover ..................................... 4% 9% 10% 0%++**
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than 1%
*** Rounds to less than $0.01
See Notes to Financial Statements.
95
VANTAGEPOINT FUNDS
Financial Highlights
(For a share outstanding throughout each period)
Model Portfolio
All-Equity Growth
-----------------------------------------------------------------
For the Period
from December 4,
2000* to
For the Year Ended December 31, December 31,
2003 2002 2001 2000
-------- ------- ------- ----------------
Net Asset Value, beginning of period ................... $ 14.68 $ 19.41 $ 24.27 $ 25.00
Income from investment operations:
Net investment income ................................. 0.07 0.06 0.13 0.16
Net realized and unrealized gain (loss)
on investments ....................................... 4.81 (4.73) (3.05) 0.72
-------- ------- ------- -------
Total from investment operations ....................... 4.88 (4.67) (2.92) 0.88
-------- ------- ------- -------
Less distributions:
From net investment income ............................ (0.07) (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 ..................................... (0.00)** -- (0.01) --
-------- ------- ------- -------
Total distributions .................................... (0.07) (0.06) (1.94) (1.61)
-------- ------- ------- -------
Net Asset Value, end of period ......................... $ 19.49 $ 14.68 $ 19.41 $ 24.27
======== ======= ======= =======
Total return ........................................... 33.26% (24.07)% (11.13)% 3.53%++
Ratios/Supplemental data:
Net assets, end of period (000) ....................... $128,145 $54,779 $37,812 $11,697
Ratios to average net assets:
Ratio of expenses to average net assets ............... 0.17% 0.18% 0.20% 0.13%+
Ratio of net investment income to average
net assets ........................................... 0.59% 0.45% 0.21% 9.23%+
Portfolio turnover ..................................... 3% 6% 18% 2%++
- ----------
+ Annualized
++ Not annualized
* Commencement of operations
** Rounds to less than $0.01
See Notes to Financial Statements.
96
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS
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 VantageTrust. 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 each 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. All 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 of the Master
Portfolios. The Index Funds invest in the following Master Portfolios:
Index Fund Invests in Master Portfolio Ownership Interest
------------------- ------------ --------------------- -------------------
Core Bond ----------> Bond Index 89.41%
500 Stock ----------> S&P 500 Index 8.72%
Broad Market ----------> U.S. Equity Index 100.00%
Mid/Small Company ----------> Extended Index 47.53%
Overseas Equity ----------> International Index 52.88%
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.
97
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Model Portfolio Fund Structure
The Model Portfolio Funds ("MPF") invest entirely in other Vantagepoint
Funds. The underlying funds of each MPF and the target percentage investment in
each underlying fund during the period covered by this report are shown below:
The Model Portfolio Funds Allocation to Underlying Funds:
Model Portfolio Fund Invests In Underlying Vantagepoint Fund
-------------------------- --------- --------------------------------
Savings Oriented Fund 65% Income Preservation Fund
10% US Government Securities Fund
10% Equity Income Fund
10% Growth & Income Fund
5% International Fund
Conservative Growth Fund 50% Income Preservation Fund
10% Core Bond Index Fund
10% Equity Income Fund
10% Growth & Income Fund
10% Growth Fund
5% International Fund
5% Aggressive Opportunities Fund
Traditional Growth Fund 30% Income Preservation Fund
15% Growth & Income Fund
15% Growth Fund
10% Core Bond Index Fund
10% Equity Income Fund
10% Aggressive Opportunities Fund
10% International Fund
Long-Term Growth Fund 20% Core Bond Index Fund
20% Growth & Income Fund
20% Growth Fund
15% Aggressive Opportunities Fund
10% Equity Income Fund
10% International Fund
5% Overseas Equity Index Fund
All-Equity Growth Fund 25% Growth Fund
20% Growth & Income Fund
20% Aggressive Opportunities Fund
20% International Fund
15% Equity Income Fund
Since the Model Portfolio Funds invest entirely in other Vantagepoint
Funds, investment income is composed of dividend distributions from the
underlying funds, unrealized appreciation/ depreciation on investments in the
underlying funds and realized gain/loss from sales of the underlying funds
triggered by net outflows associated with normal capital stock activity and
rebalancing.
98
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
2. Significant Accounting Policies
The Company consistently follows the following significant accounting
policies in the preparation of its financial statements in accordance with
accounting principles generally accepted in the United States of America.
Management makes estimates and assumptions in the preparation of financial
statements 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 is
normally 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 that 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 the table in Note 1 under "Index
Fund Structure" for each Index Fund's Ownership Interest in the 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 AIM Liquid Assets
Portfolio Institutional Class. The AIM 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 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
99
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
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 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.
When Issued Securities
When-issued securities, or TBA's, held by the Fund are fully collateralized
by other securities. Such collateral is in possession of the Fund's custodian.
The collateral is evaluated daily to ensure that its market value equals the
current market value of the when-issued securities and is noted in the Schedule
of Investments.
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, that 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 net of applicable taxes withheld by foreign countries, 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 from net investment income are declared and paid monthly to
shareholders of the Core Bond Index Fund and US Government Securities Fund.
Dividends from net investment income are declared and paid monthly to
shareholders of the Money Market Fund and Income Preservation Fund. Dividends
from net investment income are declared and paid annually to shareholders of the
remaining Funds, Index Funds and Model Portfolio Funds. Distributions from any
net realized capital gains are generally declared and paid to shareholders
annually. Income distributions and capital gain distributions are determined in
accordance with income tax regulations, which may differ from accounting
principles generally accepted in the United States of America. 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. The following
reclassifications were made in the financial statements to present each Fund's
components of its net asset accounts on a tax basis. Net investment income per
share calculations in the Financial Highlights were not affected by these
reclassifications.
Permanent book and tax differences, if any, relating to shareholder
distributions will result in reclassifications to paid-in capital. This includes
net operating losses not utilized during the current
100
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
year. These reclassifications have no effect on net assets or net asset values
per share. Any taxable gain remaining at fiscal year end is distributed in the
following year.
Undistributed Accumulated net realized
Paid-in capital Net investment income Gain/(Loss)
Increase/(Decrease) Increase/(Decrease) Increase/(Decrease)
--------------------- ----------------------- -------------------------
Income Preservation $ (604,553) $ (27,474) $ 632,027
US Government Securities (32,125) 538,997 (506,872)
Asset Allocation 1,037 (24,451) 23,414
Equity Income -- (122,741) 122,741
Growth & Income (49) 81,960 (81,911)
Growth (383,784) 733,191 (349,407)
Aggressive Opportunities (22,706,368) 14,611,869 8,094,499
International (3,427,874) 944,121 2,483,753
Core Bond Index 5,017 4,482,408 (4,487,425)
500 Stock Index 2,331,654 (11,552) (2,320,102)
Broad Market Index 3,269,136 (44,919) (3,224,217)
Mid/Small Company Index 7,983 (34,491) 26,508
Overseas Equity Index 1,345,412 70,344 (1,415,756)
Savings Oriented (8,514) 114,841 (106,327)
Conservative Growth 1 76,016 (76,017)
Traditional Growth (526,407) 160,540 365,867
Long-Term Growth (986,100) 331,527 654,573
All-Equity Growth (18) 18 --
Federal Income Taxes
Each of the Funds intends 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.
At December 31, 2003, the components of distributable earnings on a tax
basis were as follows:
Undistributed Undistributed Total Distributable
Fund Ordinary Income Long-Term Gain Earnings
- -------------------------- ----------------- ---------------- --------------------
US Government Securities $ -- $ 501,775 $ 501,775
Asset Allocation 807,116 2,907,539 3,714,655
Equity Income 198,228 -- 198,228
Growth & Income 462,473 -- 462,473
Core Bond Index -- 839 839
500 Stock Index 375 -- 375
Broad Market Index 5,269,052 -- 5,269,052
Mid/Small Company Index 457,727 -- 457,727
Overseas Equity Index 56,889 -- 56,889
Savings Oriented 454,848 -- 454,848
Conservative Growth 1,771 -- 1,771
Traditional Growth 709,569 -- 709,569
Long-Term Growth 57,356 16,683 74,039
101
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
The tax character of distributions paid during 2003 were as follows:
Distributions Paid Distributions Paid
from Ordinary from Long-Term Total
Fund Income Capital Gains Distributions
- -------------------------- -------------------- ------------------- --------------
Money Market $ 718,627 $ -- $ 718,627
Income Preservation 15,732,511 2,381,943 18,114,454
US Government Securities 7,528,785 513,264 8,042,049
Asset Allocation 18,592,974 -- 18,592,974
Equity Income 8,027,003 -- 8,027,003
Growth & Income 5,357,715 -- 5,357,715
Growth 11,356 -- 11,356
Aggressive Opportunities 117,905 -- 117,905
International 4,534,410 -- 4,534,410
Core Bond Index 28,193,650 2,486,577 30,680,227
500 Stock Index 3,617,605 -- 3,617,605
Broad Market Index 5,410,019 -- 5,410,019
Mid/Small Company Index 562,869 -- 562,869
Overseas Equity Index 1,030,449 -- 1,030,449
Savings Oriented 4,742,773 -- 4,742,773
Conservative Growth 7,341,813 -- 7,341,813
Traditional Growth 11,300,929 -- 11,300,929
Long-Term Growth 8,786,488 39,436 8,825,924
All-Equity Growth 478,278 -- 478,278
At December 31, 2003, Aggressive Opportunities, 500 Stock Index, Broad
Market Index, Mid/Small Company Index and Overseas Equity Index had net capital
loss carryforwards of $2,733,392, $4,424,869, $6,592,204, $3,459,010 and
$177,974, respectively, that expire in the year 2009. Equity Income, Growth &
Income, Growth, Aggressive Opportunities, International, 500 Stock Index, Broad
Market Index, Mid/Small Company Index, Overseas Equity Index, Savings Oriented,
Conservative Growth, Traditional Growth and All-Equity Growth had net capital
loss carryforwards of $14,422,337, $31,506,872, $753,017,056, $387,802,547,
$79,543,159, $17,630,282, $31,534,108, $3,682,589, $3,812,746, $979,850,
$220,902, $806,403 and $359,640, respectively, that expire in the year 2010. In
addition, Equity Income, Growth & Income, Growth, International, 500 Stock
Index, Broad Market Index, Mid/Small Company Index, Overseas Equity Index,
Savings Oriented, Conservative Growth, Traditional Growth and All-Equity Growth
had net capital loss carryforwards of $15,405,555, $32,045,824, $81,022,488,
$9,995,661, $3,056,924, $7,434,497, $2,371,349, $807,785, $2,603,132,
$4,470,715, $7,782,947 and $159,745, respectively, that expire in the year 2011.
Equity Income, Growth & Income, Broad Market Index, Mid/Small Company
Index, Overseas Equity Index and Savings Oriented incurred and elected to defer
post-October 31 net capital losses of $1,008,156, $54,067, $171,799, $219,373,
$107,887 and $38,059, respectively, to the year ended December 31, 2004. In
addition, Growth, Aggressive Opportunities and International incurred and
elected to defer post-October 31 net currency losses of $33,222, $12,226,533 and
$235,731, respectively, to the year ended December 31, 2004.
102
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
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. 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 contracts may
exceed the amounts reflected in the financial statements. As of December 31,
2003, the following Funds had open futures contracts:
Income Preservation Fund
Underlying Net
Face Amount Unrealized
Expiration Date at Value Appreciation
----------------- ------------- -------------
376 CBT U.S. 10 Year
Treasury Note Contracts March 2004 $42,211,875 $426,766
112 CBT U.S. 5 Year
Treasury Note Contracts March 2004 $12,502,000 $ 83,969
37 CME 90 Day
Eurodollar Contracts March 2004 $ 9,136,688 $ 61,050
13 CME 90 Day
Eurodollar Contracts December 2004 $ 3,179,800 $ 16,250
57 CME 90 Day
Eurodollar Contracts December 2005 $13,728,450 $ 67,331
--------
Total Unrealized Appreciation $655,366
========
Asset Allocation Fund
Underlying Net
Face Amount Unrealized
Expiration Date at Value Appreciation
----------------- ------------- -------------
278 CBT U.S. Long Bond
Treasury Bond Contracts March 2004 $30,388,875 $ 15,944
3 CME E-MINI S&P 500
Index Contracts March 2004 $ 166,590 $ 5,940
195 CME S&P 500
Index Contracts March 2004 $54,141,750 $2,300,040
----------
Total Unrealized Appreciation $2,321,924
==========
103
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement to pay or
receive specific amounts of a currency at a future date in exchange for another
currency at an agreed upon exchange rate. The Funds may use forward foreign
currency exchange contracts to hedge certain foreign currency assets and
liabilities. Contracts are recorded at market value and marked to market daily.
Risks of entering into forward foreign currency exchange contracts include the
possibility that there may be an illiquid market and that a change in the value
of the contracts may not correlate with changes in the value of the underlying
securities. The amount at risk for such forward foreign currency exchange
contracts may exceed the amount reflected in the financial statements. Realized
and unrealized gains or losses on forward foreign currency exchange contracts
are reflected in the accompanying financial statements. As of December 31, 2003,
the Funds had the following open forward foreign currency exchange contracts
outstanding:
Growth Fund
Exchange Foreign Currency U.S. Dollar Value Net Unrealized
Currency Date Cost/Proceeds (U.S.$) at December 31, 2003 Gain/(Loss)
- ------------------- ------------ ----------------------- ---------------------- ---------------
Purchase Contracts
Euro 01/02/2004 $347,865 $350,808 $ 2,943
01/05/2004 300,615 301,249 634
01/06/2004 267,329 265,788 (1,541)
-------
Net Unrealized Gain on Purchase Contracts $ 2,036
Net Unrealized Gain on Forward
Foreign Currency Contracts $ 2,036
=======
104
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 December 31, 2003 Gain/(Loss)
- ------------------------ ------------ ----------------------- ---------------------- -----------------
Purchase Contracts
Australian Dollar 01/02/2004 $ 15,947 $ 16,040 $ 93
01/05/2004 6,584 6,572 (12)
03/05/2004 2,135,179 2,224,473 89,294
British Pound Sterling 03/05/2004 6,642,754 6,882,085 239,331
08/01/2005 3,549,667 4,094,825 545,158
Canadian Dollar 01/02/2004 92,481 93,432 951
01/05/2004 34,631 34,372 (259)
Danish Krone 03/05/2004 124,680 130,639 5,959
Euro 01/02/2004 40,306 40,459 153
01/05/2004 37,292 37,078 (214)
03/05/2004 4,884,621 4,959,968 75,347
08/01/2005 6,038,705 7,837,075 1,798,370
Japanese Yen 01/06/2004 33,752 33,658 (94)
08/01/2005 3,318,942 3,490,768 171,826
New Zealand Dollar 08/01/2005 406,144 467,370 61,226
Swedish Krona 03/05/2004 1,419,216 1,481,559 62,343
Swiss Franc 08/02/2005 897,171 1,064,823 167,652
------------
Net Unrealized Gain on Purchase Contracts $ 3,217,124
Sale Contracts
Australian Dollar 03/05/2004 $ 2,612,412 $ 2,671,166 $ (58,754)
08/02/2005 4,031,960 5,598,628 (1,566,668)
British Pound Sterling 08/01/2005 17,432,460 20,024,849 (2,592,389)
Canadian Dollar 03/05/2004 953,804 959,705 (5,901)
03/26/2004 3,599,997 3,850,839 (250,842)
06/25/2004 11,827,653 12,531,001 (703,348)
Danish Krone 08/01/2005 2,005,175 2,588,663 (583,488)
Euro 01/02/2004 44,022 44,656 (634)
01/05/2004 35,822 35,955 (133)
01/06/2004 3,724 3,703 21
03/05/2004 17,954,375 18,839,342 (884,967)
06/25/2004 15,108,800 16,648,693 (1,539,893)
08/01/2005 28,613,280 36,726,564 (8,113,284)
Japanese Yen 01/05/2004 854,303 855,339 (1,036)
01/07/2004 40,511 40,471 40
03/05/2004 25,702,055 26,114,226 (412,171)
03/26/2004 6,354,743 6,953,350 (598,607)
06/25/2004 70,021,701 75,416,969 (5,395,268)
08/01/2005 34,026,829 35,035,448 (1,008,619)
New Zealand Dollar 03/05/2004 2,374,370 2,418,669 (44,299)
08/01/2005 324,216 467,370 (143,154)
Republic of Korea Won 03/05/2004 7,260,443 7,346,848 (86,405)
Singapore Dollar 03/05/2004 5,141,545 5,211,812 (70,267)
Swedish Krona 01/02/2004 25,777 26,276 (499)
08/01/2005 3,491,968 4,759,432 (1,267,464)
Swiss Franc 03/05/2004 8,446,258 8,634,281 (188,023)
08/02/2005 914,004 1,064,823 (150,819)
------------
Net Unrealized Loss on Sale Contracts $(25,666,871)
Net Unrealized Loss on Forward
Foreign Currency Contracts $(22,449,747)
============
105
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
International Fund
Exchange Foreign Currency U.S. Dollar Value Net Unrealized
Currency Date Cost/Proceeds (U.S.$) at December 31, 2003 Gain/(Loss)
- ------------------------ ------------ ----------------------- ---------------------- ---------------
Purchase Contracts
Australian Dollar 01/02/2004 $ 21,018 $ 21,095 $ 77
01/05/2004 23,964 23,900 (64)
British Pound Sterling 01/05/2004 334,696 332,419 (2,277)
05/12/2004 1,312,476 1,404,954 92,478
Canadian Dollar 01/20/2004 1,119,236 1,148,365 29,129
Czech Republic Koruna 01/05/2004 21,471 21,737 266
Danish Krone 01/02/2004 244,761 248,086 3,325
Euro 01/02/2004 223,768 225,251 1,483
01/05/2004 84,240 83,756 (484)
01/05/2004 39,287 39,361 74
01/06/2004 390,330 391,049 719
Hong Kong Dollar 01/05/2004 30,032 30,034 2
Japanese Yen 01/05/2004 80,293 80,160 (133)
01/06/2004 80,756 80,540 (216)
01/07/2004 156,109 155,885 (224)
05/26/2004 2,239,943 2,278,746 38,803
Norwegian Krone 01/02/2004 21,416 21,693 277
01/05/2004 7,696 7,773 77
01/06/2004 59,657 59,932 275
Swedish Krona 01/02/2004 338,084 340,853 2,769
01/05/2004 64,733 65,277 544
01/07/2004 61,516 61,850 334
Swiss Franc 01/05/2004 86,812 87,034 222
01/06/2004 5,256 5,220 (36)
01/06/2004 213,419 213,870 451
01/30/2004 861,206 974,798 113,592
---------
Net Unrealized Gain on Purchase Contracts $ 281,463
Sale Contracts
Australian Dollar 01/08/2004 $ 20,321 $ 20,378 $ (57)
Canadian Dollar 01/05/2004 1,611 1,618 (7)
Euro 01/02/2004 6,797 6,806 (9)
01/05/2004 44,419 44,164 255
01/06/2004 18,764 18,819 (55)
Hong Kong Dollar 01/02/2004 173,931 173,932 (1)
Japanese Yen 01/20/2004 1,119,236 1,134,118 (14,882)
03/04/2004 633,000 683,827 (50,827)
Mexican Peso 01/02/2004 12,753 12,746 7
New Zealand Dollar 01/05/2004 39,610 39,827 (217)
Swiss Franc 01/30/2004 898,000 974,798 (76,798)
05/12/2004 1,312,476 1,447,664 (135,188)
05/26/2004 2,239,943 2,352,402 (112,459)
-----------
Net Unrealized Loss on Sale Contracts $(390,238)
Net Unrealized Loss on Forward
Foreign Currency Contracts $(108,775)
===========
106
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Option Contracts
The Income Preservation Fund may use options to obtain exposure to fixed
income sectors without incurring leverage. The International Fund and Aggressive
Opportunities Fund may use options for currency management. Purchases of put and
call options are recorded as an investment, the value of which is marked to
market at each valuation date. When a purchased option expires, the Fund will
realize a loss equal to the premium paid. When the Fund enters into a closing
sale transaction, the Fund will realize a gain or loss depending on whether the
sales proceeds from the closing sale transaction are greater or less than the
cost of the option. When the Fund exercises a put option, it will realize a gain
or loss from the sale of the underlying security and the proceeds from such sale
will be decreased by the premium originally paid. When the Fund exercises a call
option, the cost of the security which the Fund purchases upon exercise will be
increased by the premium originally paid.
When the Fund writes a call option or a put option, an amount equal to the
premium received by the Fund is recorded as a liability, the value of which is
marked to market at each valuation date. When a written option expires, the Fund
realizes a gain equal to the amount of the premium originally received. When the
Fund enters into a closing purchase transaction, the Fund realizes a gain (or
loss if the cost of the closing purchase transaction exceeds the premium
originally received when the option was sold/written) without regard to any
unrealized gain or loss on the underlying security, and the liability related to
such option is eliminated. When a call option is exercised, the Fund realizes a
gain or loss from the sale of the underlying security and the proceeds from such
sale are increased by the amount of the premium originally received. When a put
option is exercised, the amount of the premium originally received will reduce
the cost of the security that the Fund purchased upon exercise.
Options written are reported as a liability in the Statement of Assets and
Liabilities. Gains and losses are reported in the Statement of Operations. There
are no other transaction fees associated with options contracts other than the
premium paid or received. 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
year ended December 31, 2003, was as follows:
Call Options Put Options
--------------------------------- ---------------------------------
Income Preservation Fund Contracts Premium Contracts Premium
- ------------------------------------ ---------------- -------------- ---------------- --------------
Beginning balance as of 01/01/2003 0 $ -- 0 $ --
----------- ---------- ----------- ---------
Contracts written 10,000,645 $ 620,413 10,000,101 $ 178,246
Contracts closed (10,000,277) $ (338,637) (10,000,101) $(178,246)
Contracts expired 0 $ -- 0 $ --
----------- ---------- ----------- ---------
Ending balance as of 12/31/2003 368 $ 281,776 -- $ --
=========== ========== =========== =========
At December 31, 2003, the following written options were open and
outstanding:
Number Exercise Expiration
Income Preservation of Contracts Price Date Value
- -------------------------------- -------------- ------------ ------------ -----------
CBT U.S. 10 Year Treasury Note 368 $ 114.00 02/21/2004 $301,797
--------
$301,797
========
Swap Agreements
The Income Preservation Fund may invest in swap agreements. A swap is an
agreement to exchange the return generated by one instrument for the return
generated by another instrument. The Fund may enter into interest rate swap
agreements to manage its exposure to interest rates
107
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
and credit risk. Interest rate swap agreements involve the exchange by the Fund
with another party of their respective commitments to pay or receive interest.
Swaps are marked to market daily based upon quotations from market makers and
the change in value, if any, is recorded as unrealized gain or loss in the
Statement of Operations. Net payments of interest on interest rate swap
agreements are included as part of interest income. Entering into these
agreements involves, to varying degrees, elements of credit, market and
documentation risk in excess of the amounts recognized on the Statement of
Assets and Liabilities. Such risks involve the possibility that there will be no
liquid market for these agreements, that the counterparty to these agreements
may default on its obligation to perform and that there may be unfavorable
changes in interest rates. At December 31, 2003, the Fund had the following open
swap agreement:
Net Unrealized
Expiration Appreciation
Notional Amount Date Description (Depreciation)
- ----------------- ------------ --------------------------------------------------- ---------------
16,200,000 USD 6/16/2009 Agreement with Goldman Sachs Capital Markets L.P. $(31,882)
dated 12/10/2003 to pay the notional amount
multiplied by 4.00% and to receive the notional
amount multiplied by the 3 month U.S. Dollars --
London Interbank Offered Rate -- British Bankers
Association (USD-LIBOR-BBA) adjusted for
compounding.
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 fund's adviser's responsibility to 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 December
31, 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 generally
offset daily market value fluctuations 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 December 31, 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.
3. Agreements and Other Transactions with Affiliates
Vantagepoint Investment Advisers LLC ("VIA"), a wholly owned subsidiary of
the ICMA Retirement Corporation ("ICMA-RC"), provides investment advisory
services to each of the Funds,
108
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
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 Money Market Fund, the Index Funds and Model Portfolio Funds.
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 paid subadviser fees by the Funds as an
annual percentage of average net assets for the year ended December 31, 2003:
Fee as a
Percentage of
Average Daily
Fund Subadviser Net Assets
- -------------------------- ----------------------------------------------- --------------
Income Preservation Payden & Rygel 0.09%
Pacific Investment Management Company, LLC*** 0.25%
Wellington Management Company, LLP 0.21%
US Government Securities Mellon Capital Management Corporation 0.05%
Seix Investment Advisors 0.09%
Asset Allocation Mellon Capital Management Corporation 0.24%
Equity Income Barrow, Hanley, Mewhinney & Strauss, Inc. 0.29%
T. Rowe Price Associates, Inc. 0.40%
Southeastern Asset Management, Inc. 0.56%
Growth & Income Capital Guardian Trust Company** 0.26%
T. Rowe Price Associates, Inc. 0.38%
Wellington Management Company, LLP 0.30%
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 Southeastern Asset Management, Inc. 0.80%
T. Rowe Price Associates, Inc. 0.57%
Wellington Management Company, LLP 0.69%
International Artisan Partners Limited Partnership*** 0.70%
Capital Guardian Trust Company* 0.45%
- -----------
* Minimum fee of $167,500 per year.
** Minimum fee of $337,000 per year.
*** Fee is applicable for all Fund assets managed by Subadviser.
109
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Vantagepoint Transfer Agents, LLC ("VTA"), a wholly owned subsidiary of RC,
is the Transfer Agent for the Funds, Index 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 Money Market Fund and 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 Money Market Fund
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
Money Market Fund and 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 by
Vantagepoint Elite investors 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.
4. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for
each Fund and Model Portfolio Fund for the year ended December 31, 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 ................. $648,850,191 $262,512,464 $199,229,116 $ --
Sales proceeds .................... 845,512,211 245,197,879 83,165,106 --
OTHER SECURITIES:
Purchases at cost ................. $481,031,416 $ -- $ 8,699,017 $134,056,111
Sales proceeds .................... 105,570,065 -- 11,239,871 79,043,489
110
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Growth & Aggressive
Aggregate Purchases and Sales of: Income Growth Opportunities International
- ----------------------------------- ----------------- ------------------- ------------------- ----------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost ................. $ -- $ -- $ -- $ --
Sales proceeds .................... -- -- -- --
OTHER SECURITIES:
Purchases at cost ................. $207,888,274 $1,293,547,796 $582,544,963 $205,588,110
Sales proceeds .................... 128,772,431 1,045,172,770 520,814,108 117,869,049
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 ................. $ 47,914,374 $ 83,763,174 $176,219,532 $165,429,263
Sales proceeds .................... 17,540,083 25,215,478 58,662,240 23,575,133
All-Equity
Aggregate Purchases and Sales of: Growth
- ------------------------------------ ------------
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost ................. $ --
Sales proceeds .................... --
OTHER SECURITIES:
Purchases at cost ................. $ 51,067,242
Sales proceeds .................... 2,711,573
5. Tax Basis Unrealized Appreciation/(Depreciation)
At December 31, 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 $ 105,662,610 -- -- --
Income Preservation 627,871,885 $ 8,258,555 $ 1,115,976 $ 7,142,579
US Government Securities 234,273,204 1,902,382 177,092 1,725,290
Asset Allocation 856,952,820 6,713,968 53,380,801 (46,666,833)
Equity Income 853,664,830 114,010,646 28,320,076 85,690,570
Growth & Income 752,631,207 100,397,947 13,760,669 86,637,278
Growth 2,972,673,450 352,364,053 54,778,058 297,585,995
Aggressive Opportunities 919,729,846 230,980,740 5,371,235 225,609,505
International 437,831,117 64,515,332 7,255,084 57,260,248
Savings Oriented 201,668,516 1,948,104 1,337,258 610,846
Conservative Growth 391,608,253 -- 15,583,365 (15,583,365)
Traditional Growth 839,772,395 -- 44,148,799 (44,148,799)
Long-Term Growth 871,158,820 -- 50,338,627 (50,338,627)
All-Equity Growth 121,647,477 6,504,988 -- 6,504,988
111
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
6. Portfolio Securities Loaned
The Funds lend securities to approved brokers to earn additional income. As
of December 31, 2003, certain Funds had loaned securities, which were
collateralized by cash, cash equivalents, or U.S. Government obligations. Each
Fund receives compensation in connection with the securities lending program.
Collateral is maintained over the life of the loan in an amount not less than
the value of the loaned securities, as determined by the funds at the close of
business each day. Any additional collateral required due to changes in the
value of securities is delivered to the funds the next business day. Although
the collateral mitigates risk, the Funds could experience a delay in recovering
its securities and a possible loss of income or value if the borrower fails to
return the securities. The Funds have the right under the securities lending
agreement to recover the securities from the borrower on demand. 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 .............. $ 3,087,991 $ 3,175,100 103%
US Government Securities ......... 51,088,986 52,330,437 102%
Asset Allocation ................. 57,902,508 59,825,172 103%
Equity Income .................... 112,894,332 116,437,106 103%
Growth & Income .................. 75,566,745 78,245,989 104%
Growth ........................... 289,803,960 300,288,202 104%
Aggressive Opportunities ......... 177,836,445 185,772,518 104%
International .................... 18,725,558 19,765,557 106%
7. Transactions with Affiliated Funds
At December 31, 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:
Savings Conservative Traditional Long-Term All-Equity
Underlying Fund Oriented Growth Growth Growth Growth
- -------------------- ---------- -------------- ------------- ----------- -----------
Income Preservation 21.04% 30.07% 38.12% -- --
US Government Securities 10.62% -- -- -- --
Equity Income 2.52% 4.63% 9.75% 10.00% 2.33%
Growth & Income 2.71% 4.98% 15.70% 21.48% 3.35%
Growth -- 1.31% 4.12% 5.65% 1.10%
Aggressive Opportunities -- 2.02% 8.51% 13.10% 2.72%
International 2.20% 4.06% 17.14% 17.56% 5.46%
Core Bond Index Class I -- 8.24% 17.37% 35.93% --
Overseas Equity Index Class I -- -- -- 69.26% --
112
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Additionally, at December 31, 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 42.09%
US Government Securities 66.09%
Asset Allocation 70.32%
Equity Income 65.09%
Growth & Income 64.92%
Growth 68.04%
Aggressive Opportunities 67.83%
International 64.50%
Core Bond Index Class I 87.49%
Core Bond Index Class II 33.51%
500 Stock Index Class I 94.49%
500 Stock Index Class II 25.32%
Broad Market Index Class I 96.29%
Broad Market Index Class II 33.55%
Mid/Small Company Index Class I 93.52%
Mid/Small Company Index Class II 34.54%
Overseas Equity Index Class I 93.48%
Overseas Equity Index Class II 28.39%
Savings Oriented 54.61%
Conservative Growth 60.01%
Traditional Growth 65.48%
Long-Term Growth 68.07%
All-Equity Growth 67.88%
8. Brokerage Commissions
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 included in net realized gain (loss) on the
sale of investments presented in the Statementof Operations.
9. 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.
On December 29, 2003, the Fund declared a capital gain distribution of
$0.045873 per share and a corresponding reverse stock split of $0.999541483 per
share. There was no effect on the value of the total holdings of each
shareholder (assuming reinvestment of such distributions) as a result of this
activity.
113
VANTAGEPOINT FUNDS
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
10. Change in Independent Auditors
In July 2003, Deloitte & Touche LLP resigned as independent accountant for
the Funds. PricewaterhouseCoopers LLP was selected as the Funds' independent
auditor. The Funds' selection of PricewaterhouseCoopers LLP as its independent
auditor was recommended by the Funds' audit committee and was approved by the
Funds' Board of Directors.
The reports on the financial statements audited by Deloitte & Touche LLP
for the years ended December 31, 2002 and 2001 for the Funds did not contain an
adverse opinion or disclaimer of opinion, and were not qualified or modified as
to uncertainty, audit scope or accounting principles. There were no
disagreements between the Funds and Deloitte & Touche LLP on any matter of
accounting principles or practices, financial statement disclosure, or auditing
scope or procedures, which disagreements, if not resolved to the satisfaction of
Deloitte & Touche LLP would have caused it to make reference to the subject
matter of the disagreements in connection with its reports on the financial
statements of such years.
11. Subsequent Events
On December 11, 2003, the Board of Directors of the Vantagepoint Funds
approved the transfer of the Index Funds from a Master-Feeder (MIP) structure to
an Adviser/Subadviser (separate accounts) arrangement. The Board also approved
the termination of Barclay's Global Fund Advisors in conjunction with the new
separate accounts fund structure. The new subadviser to the Index Funds will be
Mellon Capital Management Corporation. This transition will occur during the
first quarter of 2004.
Additionally, VIA approved minor allocation changes to three of the Model
Portfolio Funds. The Model Portfolio Conservative Growth Fund reassigned its 10%
Growth Fund and 5% International Fund allocations to 8% and 7% respectively. The
Model Portfolio Long-Term Growth Fund eliminated the 5% target in Overseas
Equity Index Fund and reassigned its 10% Equity Income Fund and 10%
International Fund targets to 13% and 12% respectively. The Model Portfolio
All-Equity Growth Fund reassigned its 25% Growth Fund and 20% International Fund
targets to 30% and 15% respectively. The target investment percentages for all
Model Portfolio Funds are detailed in Note 1. The target investments for the
affected Model Portfolio Funds before and after these reallocations are
illustrated below:
Invests Invests
Model Portfolio Fund Pre 2004 Qtr 1 2004 In Underlying Vantagepoint Fund
- -------------------------- ---------- ------------ --------------------------------
Conservative Growth Fund 50% 50% Income Preservation Fund
10% 10% Core Bond Index Fund
10% 10% Equity Income Fund
10% 10% Growth & Income Fund
10% 8% Growth Fund
5% 5% Aggressive Opportunities Fund
5% 7% International Fund
Long-Term Growth Fund 20% 20% Core Bond Index Fund
20% 20% Growth & Income Fund
20% 20% Growth Fund
15% 15% Aggressive Opportunities Fund
10% 13% Equity Income Fund
10% 12% International Fund
5% 0% Overseas Equity Index Fund
All-Equity Growth Fund 25% 30% Growth Fund
20% 20% Growth & Income Fund
20% 20% Aggressive Opportunities Fund
20% 15% International Fund
15% 15% Equity Income Fund
114
VANTAGEPOINT FUNDS
Additional Information (Unaudited)
A. Tax Disclosures
For corporate shareholders, a portion of the ordinary dividends paid
during the Fund's year ended December 31, 2003 qualified for the dividends
received deduction as follows:
Asset Allocation 77.49%
Equity Income 100.00%
Growth & Income 100.00%
500 Stock Index 100.00%
Broad Market Index 100.00%
Mid/Small Company Index 99.66%
Pursuant to Section 852 of the Internal Revenue Code, the Funds designate
the following capital gain dividends for the year ended December 31, 2003:
Long Term
Capital Gain Dividend
----------------------
Income Preservation $2,381,943
US Government Securities 513,264
Core Bond Index 2,486,577
Long-Term Growth 39,436
B. Foreign Taxes Paid
For the year ended December 31, 2003, net foreign source income was
$4,291,921 and $1,255,355 for the International and Overseas Equity Index Funds,
respectively. Qualifying taxes paid to foreign countries were $848,036 and
$159,965 for the International and Overseas Equity Index Funds, respectively.
C. Sources of Income
The following table summarizes the percentage of income received by the
Vantagepoint Funds in 2003 from various obligors:
Other
U.S. Treasury U.S. Government
Fund Obligations GNMA FNMA FHLMC Agency
- ------- --------------- ---------- ----------- ---------- ----------------
Income Preservation 11.70% 9.64% 17.39% 7.71% 1.35%
US Government Securities 35.60% 3.18% 45.24% 8.89% 3.35%
Asset Allocation 17.38% -- -- -- --
Growth 0.01% -- -- -- --
Core Bond Index 20.48% 5.04% 20.17% 13.12% 2.68%
500 Stock Index 0.16% -- -- -- --
Mid/Small Company Index 0.09% -- -- -- --
115
VANTAGEPOINT FUNDS
Additional Information--(Continued)
D. Qualified Dividend Income
The following are estimates of qualified dividend income received by the
Funds through December 31, 2003 that qualifies for a reduced tax rate pursuant
to the Jobs and Growth Tax Relief Reconciliation Act of 2003:
Qualified
Fund Dividend Income
------- ----------------
Asset Allocation 39.31
Equity Income 98.66
Growth & Income 98.64
International 100.00
500 Stock Index 100.00
Broad Market Index 100.00
Mid/Small Company Index 96.45
Overseas Equity Index 96.49
Savings Oriented 9.41
Conservative Growth 11.16
Traditional Growth 21.21
Long-Term Growth 36.87
All-Equity Growth 98.66
E. Disclosure of Proxy Voting Policies and Proxy Voting Records by Registered
Management Investment Companies (Release No. IC-25922, No. 33-8188, and No.
34-47304)
In January 2003, the SEC released a final rule adopting new Rule 30b1-4 and
new Form N-PX under the 1940 Act, and amending Forms N-1, N-3, and N-CSR. The
final rule requires a management investment company registered under the 1940
Act to:
1. Disclose in its registration statement (and in the case of a closed-end
fund, Form N-CSR) the policies and procedures that it uses to determine how
to vote proxies relating to portfolio securities.
2. File with the SEC and make available to its shareholders, either on its Web
site or upon request, its record of how it voted proxies related to
portfolio securities.
3. Disclose in its annual and semiannual reports to shareholders and in its
registration statement the methods by which shareholders may obtain
information about proxy voting.
116
VANTAGEPOINT FUNDS
Additional Information--(Continued)
F. Directors Table
Disinterested Directors:
Number of
Portfolios
in Fund Other
Position(s) Term of Office Principal Complex Directorships
Name, Address Held with and Length of Occupation(s) Overseen Held by
and Age Fund Time Served During Past 5 Years by Director Director
- ------------------------------------------------------------------------------------------------------------------------------------
Anthony Calhoun Director Elected November, Treasurer and Deputy Chief 19 N/A
Chevy Chase, MD (56) 1998; Term Financial Officer--District of
Expires October, Columbia (2001 to present);
2006 Deputy Executive Director &
Chief Financial Officer--
Pension Benefit Guaranty
Corp. (1993-2001)
- ------------------------------------------------------------------------------------------------------------------------------------
Donna Gilding Chairman of Elected Chief Investment Officer-- 19 N/A
San Francisco, CA (66) the Board November, 1998; Progress Investment
and Director Term Expires Management Company (2001
October, 2006 to present); Chief Investment
Officer--New York City
Comptroller's Office
(1993-2001)
- ------------------------------------------------------------------------------------------------------------------------------------
Arthur Lynch Director Elected Chief Financial Officer-- 19 N/A
Glendale, AZ (49) November, 1998; City of Glendale, Arizona
Term Expires (1985 to present)
October, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Eddie N. Moore, Jr. Director Elected President--Virginia 19 Director--
Chester, VA (56) November, 1998; State University (1993 Universal
Term Expires to present) Corporation (2000
October, 2004 to present
- ------------------------------------------------------------------------------------------------------------------------------------
Peter Meenan Director Elected President and CEO Babson- 19 Director--Eclipse
Concord, MA (62) December, 2001; United, Inc., Babson-United Funds, Inc. (2002
Term Expires Investment Advisors (2000 to present);
October, 2004 to present); Independent Trustee--Eclipse
Consultant (1999-2000); Funds, Inc. (2002
Head of Global Funds for to present);
Investment Products & Director--New
Distribution Group--Citicorp York Life
(1995-1999) Institutional
Funds, Inc. (2002
to present)
- ------------------------------------------------------------------------------------------------------------------------------------
117
VANTAGEPOINT FUNDS
Additional Information--(Continued)
Interested Directors:
Number of
Portfolios
in Fund Other
Position(s) Term of Office Principal Complex Directorships
Name, Address Held with and Length of Occupation(s) Overseen Held by
and Age Fund Time Served During Past 5 Years by Director Director
- ---------------------- ------------- -------------------- ------------------------------- ------------- ------------------
Robin L. Wiessmann* Director Elected Principal--Brown, 19 Director--Council
Newtown, PA (50) November, 1998; Wiessmann Group (2001 to of Lafayette
Term Expires present); Managing Women; Trustee--
October, 2004 Director--Dain Rauscher Citizens Budget
(1999-2001); Founding Commission of
Principal and President-- New York
Artemis Capital Group, Inc.
(1990-1998)
- ------------------------------------------------------------------------------------------------------------------------------------
Joan McCallen** President Elected President and CEO--ICMA 19 N/A
Washington D.C. (52) August, 2003 and Retirement Corporation (2003
will serve until to present); Manager and
successor is President--Vantagepoint
chosen Investment Advisers, LLC
2003 to present); President,
CEO, and Director--ICMA-RC
Services, LLC, broker-dealer
- ------------------------------------------------------------------------------------------------------------------------------------
John Bennett** Acting Vice President/Acting Chief 19 N/A
Washington D.C. (54) Treasurer Financial Officer--ICMA
Retirement Corporation
(2003 to present); Acting
Treasurer-- Vantagepoint
Investment Advisers, LLC
(2003 to present); Acting
Treasurer ICMA-RC Services,
LLC, broker-dealer
- ------------------------------------------------------------------------------------------------------------------------------------
Paul Gallagher** Secretary Elected Senior Vice President/ 19 N/A
Washington D.C. (44) November, 1998 Secretary and General
and will serve Counsel--ICMA Retirement
until successor is Corporation (1998 to
chosen present); Secretary--
Vantagepoint Investment
Advisers, LLC (1999 to
present); Principal/ Assistant
General Counsel--The
Vanguard Group (1985-1998)
- ------------------------------------------------------------------------------------------------------------------------------------
* Ms. Wiessmann is considered an interested director because she was a prior
director of ICMA Retirement Corporation ("RC"). Vantagepoint Investment
Advisers, LLC, the adviser to The Vantagepoint Funds, is a wholly- owned
subsidiary of RC.
** Ms. McCallen, Mr. Bennett and Mr. Gallagher are the executive officers of
The Vantagepoint Funds and are considered interested persons as defined in
the Investment Company Act of 1940.
118
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
- -----------------------------------------------------------------
Vantagepoint
Money Market Fund Shares Value
- ----------------------------------------------------------------
MUTUAL FUNDS
- ----------------------------------------------------------------
Short Term Investments
Co. Liquid Assets
Portfolio (Cost
$105,662,610) 105,662,610 $105,662,610
------------
TOTAL INVESTMENTS--99.9%
Other assets less liabilities--0.1% 98,923
------------
NET ASSETS--100.0% $105,761,533
============
See accompanying notes to financial statements.
119
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- ------------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--22.0%
- ------------------------------------------------------------------------------------------------------
Aerospace & Defense--0.4%
General Dynamics Corporation
2.125% 05/15/2006 $1,240,000 $ 1,233,515
Honeywell International, Inc.
7.000% 03/15/2007 500,000 562,480
Textron, Inc.
6.375% 11/15/2008 775,000 851,144
------------
2,647,139
------------
Automotive--0.4%
Ford Motor Company
7.450% 07/16/2031 1,775,000 1,798,936
General Motors Corporation
8.375% 07/15/2033 335,000 390,042
Johnson Controls, Inc.
4.875% 09/15/2013 310,000 313,322
------------
2,502,300
------------
Banking--3.7%
Abbey National PLC (United Kingdom)
6.690% 10/17/2005 975,000 1,054,916
ABN Amro Bank
7.250% 05/31/2005 1,250,000 1,345,037
American Honda Finance Corp. 144A
1.120% 10/22/2004 ^# 300,000 300,000
Bank of America Corporation
7.125% 10/15/2011 625,000 732,391
Bank of America Corporation
4.375% 12/01/2010 275,000 276,101
Bank of Scotland Treasury Services
144A (United Kingdom)
2.250% 05/01/2006^ 1,130,000 1,129,614
Bank One Corporation
7.875% 08/01/2010 600,000 721,677
Bank One Corporation
6.500% 02/01/2006 1,250,000 1,357,520
Bank One Corporation
5.625% 02/17/2004 125,000 125,638
Bank One NA Illinois
1.370% 05/10/2004 # 1,300,000 1,301,135
Coca-Cola HBC Finance BV (Netherlands)
5.500% 09/17/2015 245,000 250,605
First Union National Bank
7.800% 08/18/2010 300,000 362,423
Ford Motor Credit Company
7.000% 10/01/2013 125,000 132,068
General Electric Capital Corporation
2.750% 09/25/2006 1,700,000 1,707,359
HBOS Treasury Services PLC 144A (United Kingdom)
6.000% 11/01/2033 ^ 450,000 449,209
J.P. Morgan Chase & Company
6.625% 03/15/2012 1,600,000 1,790,243
John Deere Capital Corporation
5.125% 10/19/2006 937,000 999,282
MBNA America Bank NA
6.500% 06/20/2006 750,000 817,057
Mellon Funding Corporation
5.000% 12/01/2014 425,000 426,961
MetLife Global Funding I
5.200% 09/18/2013 675,000 680,241
Popular North America, Inc.
3.875% 10/01/2008 700,000 699,439
- ------------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------------------------------------------
Regions Financial Corporation
7.000% 03/01/2011 $ 360,000 $ 406,417
SLM Corporation
5.125% 08/27/2012 500,000 508,366
State Street Bank & Trust
5.250% 10/15/2018 450,000 454,448
U.S. Bancorp
2.750% 03/30/2006 1,040,000 1,053,378
USA Education Inc.
5.625% 04/10/2007 1,520,000 1,648,396
Wachovia Corporation
6.605% 10/01/2025 1,000,000 1,102,124
Wachovia Corporation
4.950% 11/01/2006 250,000 265,605
Washington Mutual Bank
1.450% 05/14/2004 # 250,000 250,337
Wells Fargo & Company
5.000% 11/15/2014 500,000 498,882
------------
22,846,869
------------
Beverages, Food & Tobacco--0.9%
Altria Group, Inc.
7.000% 11/04/2013 350,000 374,046
Anheuser Busch Companies, Inc.
6.000% 11/01/2041 500,000 511,709
Coca-Cola Enterprises, Inc.
6.950% 11/15/2026 250,000 285,954
ConAgra Foods, Inc.
9.875% 11/15/2005 295,000 333,798
Diageo PLC (United Kingdom)
6.125% 08/15/2005 670,000 713,391
General Mills, Inc.
2.625% 10/24/2006 900,000 895,662
Kellogg Company
6.000% 04/01/2006 750,000 804,078
Miller Brewing Company
5.500% 08/15/2013 425,000 435,005
Sara Lee Corporation
1.950% 06/15/2006 1,500,000 1,486,953
------------
5,840,596
------------
Chemicals--0.2%
Dow Chemical Company (The)
6.000% 10/01/2012 600,000 632,656
Monsanto Company
7.375% 08/15/2012 500,000 571,490
Potash Corporation of Saskatchewan, Inc. (Canada)
7.750% 05/31/2011 200,000 235,240
------------
1,439,386
------------
Commercial Services--0.4%
Boeing Capital Corporation
4.750% 08/25/2008 445,000 459,545
International Lease Finance Corporation
4.000% 01/17/2006 1,230,000 1,268,693
R.R. Donnelley & Sons Company
5.000% 11/15/2006 490,000 517,326
------------
2,245,564
------------
Computer Software & Processing--0.1%
First Data Corporation
5.625% 11/01/2011 650,000 692,599
------------
Computers & Information--0.1%
Hewlett-Packard Company
5.500% 07/01/2007 700,000 757,163
------------
120 See accompanying notes to financial statements.
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- ------------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--(Continued)
- ------------------------------------------------------------------------------------------------------
Cosmetics & Personal Care--0.1%
International Flavors & Fragrances, Inc.
6.450% 05/15/2006 $ 700,000 $ 760,668
------------
Diversified--0.4%
General Electric Capital Corporation
7.250% 05/03/2004 250,000 254,887
General Electric Capital Corporation
6.000% 06/15/2012 900,000 977,636
General Electric Capital Corporation
2.850% 01/30/2006 930,000 943,772
------------
2,176,295
------------
Electric Utilities--0.7%
Alabama Power Company
5.600% 03/15/2033 380,000 367,514
Appalachian Power Company
3.600% 05/15/2008 475,000 469,837
Chilquinta Energia Financial (Chile)
6.620% 04/01/2011 255,000 283,559
Commonwealth Edison Company
6.150% 03/15/2012 75,000 81,960
Niagara Mohawk Power Company
7.750% 05/15/2006 1,000,000 1,117,243
PSEG Power, LLC
8.625% 04/15/2031 350,000 452,433
PSEG Power, LLC
6.950% 06/01/2012 265,000 299,444
United Energy Distribution Holdings
Pty Ltd. 144A (Australia)
4.700% 04/15/2011 ^ 200,000 203,202
Virginia Electric & Power Company
5.750% 03/31/2006 1,000,000 1,071,261
Wisconsin Electric Power
4.500% 05/15/2013 170,000 166,324
-----------
4,512,777
------------
Electrical Equipment--0.1%
Old Dominion Electric
6.250% 06/01/2011 350,000 386,077
------------
Financial Services--7.0%
AIG Sun America Global Financial II 144A
7.600% 06/15/2005 ^ 500,000 543,444
AIG Sun America Global Financial VI 144A
6.300% 05/10/2011 ^ 500,000 554,126
Alcan, Inc., Note, (FRN), 144A (Canada)
1.430% 12/08/2004 ^# 1,000,000 1,000,000
American Express Company
3.750% 11/20/2007 425,000 433,313
Bear Stearns Company, Inc.
6.500% 05/01/2006 1,500,000 1,635,930
Bear Stearns Company, Inc.
4.000% 01/31/2008 350,000 356,819
Bear Stearns Company, Inc.
3.000% 03/30/2006 350,000 355,461
Caterpillar Financial Services Corporation
5.950% 05/01/2006 340,000 367,075
Caterpillar Financial Services Corporation
4.690% 04/25/2005 1,215,000 1,267,046
CIT Group, Inc.
7.375% 04/02/2007 495,000 559,505
CIT Group, Inc.
5.500% 02/15/2004 1,500,000 1,507,069
- ------------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------------------------------------------
Citigroup, Inc.
6.000% 02/21/2012 $ 750,000 $ 820,890
Conoco Funding Company
5.450% 10/15/2006 1,000,000 1,073,590
Countrywide Home Loans, Inc.
7.260% 05/10/2004 1,000,000 1,020,437
Countrywide Home Loans, Inc.
5.500% 08/01/2006 750,000 801,600
Countrywide Home Loans, Inc.
3.500% 12/19/2005 1,290,000 1,326,561
Credit Suisse First Boston, Inc.
7.125% 07/15/2032 700,000 800,071
FMR Corporation 144A
4.750% 03/01/2013 ^ 425,000 418,472
Ford Motor Credit Company
6.700% 07/16/2004 1,500,000 1,538,740
FPL Group Capital, Inc.
6.125% 05/15/2007 500,000 546,912
FPL Group Capital, Inc.
3.250% 04/11/2006 1,595,000 1,623,921
Frank Russell Company
5.625% 01/15/2009 500,000 545,768
General Motors Acceptance Corporation
8.000% 11/01/2031 1,375,000 1,548,690
General Motors Acceptance Corporation
6.875% 08/28/2012 1,000,000 1,077,590
Goldman Sachs Group, Inc. (The)
7.625% 08/17/2005 1,120,000 1,224,582
Goldman Sachs Group, Inc. (The)
6.600% 01/15/2012 550,000 615,612
Goldman Sachs Group, Inc. (The)
4.125% 01/15/2008 1,000,000 1,026,248
Household Finance Corporation
7.200% 07/15/2006 700,000 778,992
Household Finance Corporation
6.375% 10/15/2011 400,000 441,156
Household Finance Corporation
4.625% 01/15/2008 1,000,000 1,040,479
International Lease Finance Corporation
5.750% 10/15/2006 750,000 807,438
International Lease Finance Corporation
2.950% 05/23/2006 300,000 302,547
Lehman Brothers Holdings
6.250% 05/15/2006 1,500,000 1,630,501
Lehman Brothers Holdings
4.000% 01/22/2008 375,000 382,834
MBIA Global Funding LLC 144A
4.650% 07/01/2018 ^ 825,000 755,980
Merrill Lynch & Company, Inc.
7.000% 01/15/2007 375,000 413,674
Merrill Lynch & Company, Inc.
2.940% 01/30/2006 1,000,000 1,013,406
Merrill Lynch & Company, Inc.
1.640% 05/21/2004 # 1,100,000 1,101,580
Morgan Stanley
7.750% 06/15/2005 1,380,000 1,498,378
Morgan Stanley
6.600% 04/01/2012 400,000 447,455
National Rural Utilities Cooperative
Finance Corporation
6.000% 05/15/2006 2,700,000 2,913,340
National Rural Utilities Cooperative
Finance Corporation
3.000% 02/15/2006 900,000 911,703
Nomura Asset Securities Corporation
6.590% 03/15/2030 1,000,000 1,120,299
Pemex Finance Ltd. (Cayman Islands)
9.690% 08/15/2009 540,000 642,238
See accompanying notes to financial statements.
121
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- ------------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--(Continued)
- ------------------------------------------------------------------------------------------------------
Pemex Finance Ltd. (Cayman Islands)
7.330% 05/15/2012 $ 600,000 $ 688,446
TIAA Global Markets 144A
3.875% 01/22/2008 ^ 500,000 508,711
U.S. Bancorp
6.500% 06/15/2004 250,000 255,687
USAA Capital Corporation
3.130% 12/15/2005 150,000 153,228
Washington Mutual Finance
6.250% 05/15/2006 700,000 761,074
------------
43,158,618
------------
Forest Products & Paper--0.3%
International Paper Company
3.800% 04/01/2008 700,000 698,477
Inversiones CMPC SA 144A (Chile)
4.875% 06/18/2013 ^ 185,000 178,277
Westvaco Corporation
6.850% 11/15/2004 445,000 462,715
Weyerhaeuser Company
7.375% 03/15/2032 350,000 381,739
------------
1,721,208
------------
Health Care Providers--0.0%
Wellpoint Health Networks, Inc.
6.375% 01/15/2012 80,000 88,225
------------
Heavy Construction--0.2%
Centex Corporation
5.800% 09/15/2009 300,000 321,773
Masco Corporation
4.625% 08/15/2007 750,000 783,520
------------
1,105,293
------------
Heavy Machinery--0.1%
Deere & Company
7.125% 03/03/2031 275,000 322,176
------------
Insurance--1.7%
ACE INA Holdings
8.300% 08/15/2006 750,000 848,986
ACE Ltd. (Bermuda)
6.000% 04/01/2007 250,000 270,983
Allstate Corporation
7.875% 05/01/2005 1,330,000 1,435,288
Allstate Corporation
7.200% 12/01/2009 500,000 583,913
Axa Company (France)
8.600% 12/15/2030 330,000 417,465
Everest Reinsurance Holdings
8.500% 03/15/2005 500,000 536,319
Florida Windstorm Underwriting Association
6.850% 08/25/2007 700,000 792,396
Hartford Life, Inc.
7.375% 03/01/2031 250,000 294,058
Liberty Mutual
7.697% 10/15/2097 500,000 450,828
MetLife, Inc.
3.911% 05/15/2005 1,200,000 1,234,469
Monumental Global Funding II 144A
6.050% 01/19/2006 ^ 1,190,000 1,278,992
Mony Group, Inc.
7.450% 12/15/2005 55,000 60,170
- ------------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------------------------------------------
New York Life Insurance Company 144A
5.875% 05/15/2033 ^ $ 140,000 $ 139,627
Principal Life Global Funding I 144A
6.125% 10/15/2033 ^ 150,000 150,641
Progressive Corporation
6.250% 12/01/2032 425,000 445,182
RenaissanceRe Holdings Ltd. (Bermuda)
7.000% 07/15/2008 500,000 544,363
United Health Group, Inc.
7.500% 11/15/2005 500,000 549,151
Unitrin, Inc.
4.875% 11/01/2010 435,000 439,596
------------
10,472,427
------------
Media--Broadcasting & Publishing--1.0%
CBS Corporation
8.625% 08/01/2012 250,000 310,451
Cox Communications, Inc.
7.125% 10/01/2012 345,000 398,590
Gannett Company, Inc.
4.950% 04/01/2005 1,160,000 1,206,475
Reed Elsevier Capital, Inc.
6.750% 08/01/2011 500,000 574,340
Time Warner, Inc.
9.150% 02/01/2023 500,000 648,723
Time Warner, Inc.
7.700% 05/01/2032 250,000 292,880
Time Warner, Inc.
7.625% 04/15/2031 200,000 231,615
Time Warner, Inc.
6.125% 04/15/2006 1,670,000 1,798,952
Viacom, Inc.
7.750% 06/01/2005 400,000 432,653
------------
5,894,679
------------
Metals & Mining--0.4%
Alcan, Inc. (Canada)
7.250% 03/15/2031 370,000 428,553
Alcoa, Inc.
7.250% 08/01/2005 1,200,000 1,302,137
Alcoa, Inc.
1.460% 12/06/2004 # 500,000 501,232
Codelco, Inc. (Chile)
6.375% 11/30/2012 365,000 395,684
------------
2,627,606
------------
Oil & Gas--1.0%
Burlington Resources Finance Company (Canada)
7.400% 12/01/2031 210,000 249,406
Canadian National Resources Ltd. (Canada)
6.450% 06/30/2033 280,000 297,240
ChevronTexaco Capital Corporation
3.500% 09/17/2007 450,000 458,710
Halliburton Company 144A
5.500% 10/15/2010 ^ 165,000 172,804
Kerr-McGee Corporation
1.890% 06/28/2004 # 500,000 499,209
KeySpan Corporation
7.625% 11/15/2010 250,000 298,263
Marathon Oil Corporation
5.375% 06/01/2007 511,000 547,313
Phillips Petroleum Company
8.500% 05/25/2005 510,000 556,146
Schlumberger Technology Corporation
6.500% 04/15/2012 750,000 836,975
Total Fina Elf SA (France)
7.000% 10/05/2005 1,150,000 1,246,534
122 See accompanying notes to financial statements.
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- ------------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--(Continued)
- ------------------------------------------------------------------------------------------------------
Trans-Canada Pipelines (Canada)
4.000% 06/15/2013 $ 325,000 $ 303,724
Vastar Resources, Inc.
6.950% 11/08/2006 500,000 559,964
------------
6,026,288
------------
Pharmaceuticals--0.5%
American Home Products Corporation
6.250% 03/15/2006 400,000 431,688
Bristol-Myers Squibb
4.750% 10/01/2006 1,600,000 1,693,013
Cardinal Health, Inc.
7.000% 10/15/2026 400,000 452,782
Schering-Plough Corporation
6.500% 12/01/2033 730,000 762,438
------------
3,339,921
------------
Real Estate--0.1%
Equity Office Properties Operating
Limited Partnership
6.625% 02/15/2005 400,000 420,362
Health Care Property Investors, Inc. REIT
6.000% 03/01/2015 450,000 465,441
------------
885,803
------------
Restaurants--0.0%
McDonald's Corporation
4.125% 06/01/2013 275,000 260,575
------------
Retailers--0.5%
Kohl's Corporation
6.000% 01/15/2033 425,000 427,618
Safeway, Inc.
7.250% 09/15/2004 1,000,000 1,037,504
Target Corporation
7.500% 02/15/2005 1,190,000 1,264,857
Wal-Mart Stores, Inc.
7.550% 02/15/2030 350,000 432,110
------------
3,162,089
------------
Special Purpose Entity--0.1%
ERAC USA Finance Company
6.950% 01/15/2006 710,000 769,053
------------
Telecommunications--1.3%
AT&T Corporation
8.050% 11/15/2011 225,000 259,434
AT&T Corporation
7.250% 11/15/2006 880,000 973,896
AT&T Wireless Services, Inc.
7.350% 03/01/2006 870,000 951,944
British Telecommunications PLC (United Kingdom)
7.875% 12/15/2005 720,000 793,884
Sing Telecommunications 144A
7.375% 12/01/2031 ^ 350,000 414,768
Telecom Italia Capital Series A 144A (Italy)
4.000% 11/15/2008 ^ 1,200,000 1,209,185
Telefonica Europe NV (Netherlands)
7.750% 09/15/2010 500,000 594,572
Verizon Global Funding Corporation
7.375% 09/01/2012 350,000 406,364
Verizon Global Funding Corporation
6.750% 12/01/2005 1,420,000 1,541,633
- ------------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------------------------------------------
Verizon Pennsylvania, Inc.
5.650% 11/15/2011 $ 250,000 $ 262,706
Vodafone Group PLC (United Kingdom)
7.750% 02/15/2010 500,000 593,484
------------
8,001,870
------------
Transportation--0.0%
Fedex Corporation
7.650% 01/15/2022 91,734 108,993
------------
Utilities--0.3%
Dominion Resources, Inc.
7.625% 07/15/2005 400,000 432,296
Hydro-Quebec (Canada)
7.500% 04/01/2016 500,000 617,848
Pedernales Electric Cooperative, Inc.
6.202% 11/15/2032 275,000 283,978
United Utilities PLC (United Kingdom)
6.250% 08/15/2005 500,000 532,295
------------
1,866,417
------------
TOTAL CORPORATE OBLIGATIONS
(Cost $132,292,281) 136,618,674
------------
- ------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--36.0%
- ------------------------------------------------------------------------------------------------------
U.S. Government Agencies--0.4%
Private Export Funding Corporation
7.200% 01/15/2010 1,040,000 1,222,989
5.870% 07/31/2008 500,000 551,599
3.400% 02/15/2008 575,000 578,279
------------
2,352,867
------------
U.S. Government Agencies--
Mortgage Backed--28.4%
Federal Home Loan Bank
5.750% 08/15/2011 700,000 761,907
1.625% 04/15/2005 1,750,000 1,754,725
Federal Home Loan Mortgage Corporation
7.000% 07/15/2005 2,920,000 3,156,015
6.500% 03/01/2022-
06/01/2022 1,703,234 1,788,941
6.085% 09/25/2029 720,594 764,197
5.674% 01/01/2033 1,201,022 1,232,467
5.500% 08/15/2030 2,852,223 2,905,515
5.125% 07/15/2012 1,500,000 1,569,506
4.250% 06/15/2005 700,000 726,857
4.000% 10/15/2023 @ 460,000 463,234
3.800% 01/15/2018 1,382,416 1,410,611
3.750% 01/15/2011 4,200,000 4,285,346
3.500% 11/15/2016-
05/15/2017 @ 8,000,000 8,127,284
3.000% 05/15/2020-
12/15/2021 4,600,000 4,621,994
2.875% 09/15/2005 3,500,000 3,565,471
1.430% 09/03/2004 600,000 600,098
1.350% 11/03/2004 700,000 700,063
Federal National Mortgage Association
7.015% 12/01/2010 974,389 1,115,082
6.865% 08/01/2009 970,629 1,090,798
6.625% 11/15/2030 1,150,000 1,311,789
6.568% 04/01/2008 1,000,000 1,098,491
6.500% 05/01/2008-
06/01/2029 1,007,957 1,058,981
6.070% 03/01/2012 442,557 484,929
6.048% 03/01/2012 245,673 269,824
6.009% 11/01/2011 151,593 166,203
See accompanying notes to financial statements.
123
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- -------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--
(Continued)
- -------------------------------------------------------------------
6.000% 01/01/2009-
09/01/2023 $21,326,037 $ 22,406,815
5.975% 02/01/2012 495,561 541,479
5.897% 04/01/2012 983,565 1,073,006
5.880% 01/01/2012 588,336 639,542
5.793% 11/01/2011 288,119 312,757
5.775% 11/01/2011 1,051,477 1,136,787
5.655% 11/01/2011 263,873 283,394
5.607% 12/01/2011 976,966 1,051,986
5.500% 05/01/2016-
11/01/2033 12,555,575 12,920,712
5.125% 01/02/2014 575,000 578,120
5.000% 02/01/2018-
11/01/2033 32,557,198 33,029,475
4.667% 04/01/2013 445,948 450,178
4.625% 10/15/2013 2,000,000 1,989,790
4.450% 12/01/2033 @ 1,500,000 1,519,336
4.393% 09/01/2013 971,537 958,099
4.359% 10/01/2033 4,979,439 5,058,079
4.337% 04/01/2033 3,860,425 3,926,130
2.250% 05/15/2006 3,830,000 3,832,179
1.360% 09/10/2004 500,000 499,602
Federal National Mortgage Association ARM
4.600% 12/01/2033 3,486,249 3,529,192
4.342% 03/01/2033 1,264,783 1,294,583
4.294% 09/01/2033 3,515,661 3,563,530
Federal National Mortgage Association TBA
6.500% 01/01/2017 1,800,000 1,908,000
5.000% 01/01/2019 1,900,000 1,938,000
Government National Mortgage Association
8.000% 06/15/2026-
03/15/2032 1,893,388 2,061,994
7.500% 07/15/2025-
09/15/2031 1,691,006 1,817,473
7.000% 01/15/2028-
01/15/2032 3,162,900 3,375,796
6.500% 03/15/2028-
03/15/2031 1,568,460 1,656,094
6.000% 11/15/2028-
05/15/2033 12,199,908 12,694,925
5.750% 07/20/2025 38,329 39,264
5.000% 06/15/2033-
07/15/2033 3,845,121 3,815,321
4.500% 09/16/2028 450,000 449,156
4.000% 09/16/2025 460,000 464,263
3.500% 09/20/2030# 471,597 473,452
------------
176,318,837
------------
U.S. Government Agency--
Discount Notes--7.2%
Federal Farm Credit Bank
1.350% 10/08/2004 500,000 494,731
Federal Home Loan Bank
1.065% 02/25/2004 1,300,000 1,297,885
1.045% 03/19/2004 3,500,000 3,492,075
1.040% 03/12/2004 1,200,000 1,197,539
Federal Home Loan Mortgage Corporation
1.385% 11/04/2004 800,000 790,521
1.083% 01/22/2004 10,100,000 10,093,622
1.080% 01/29/2004 8,900,000 8,892,524
1.075% 02/05/2004 2,400,000 2,397,492
1.060% 01/15/2004 6,100,000 6,097,485
- --------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------
Federal National Mortgage Association
1.360% 08/20/2004 $ 700,000 $ 693,864
1.355% 10/15/2004 650,000 642,954
1.340% 10/15/2004 500,000 494,640
1.130% 02/25/2004 4,300,000 4,291,991
1.115% 02/25/2004 900,000 898,468
1.075% 02/18/2004 200,000 199,713
1.060% 03/10/2004 300,000 299,390
1.050% 03/17/2004 300,000 299,335
1.040% 03/31/2004 2,200,000 2,194,280
------------
44,768,509
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(Cost $222,035,555)
223,440,213
------------
- --------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--26.5%
- --------------------------------------------------------------------
U.S. Treasury Bills--5.7%
U.S. Treasury Bill
1.031% 06/03/2004 9,800,000 9,756,797
1.020% 04/29/2004 6,100,000 6,079,433
1.011% 05/20/2004 4,400,000 4,382,705
0.995% 04/15/2004 2,000,000 1,994,196
0.990% 04/15/2004 4,000,000 3,988,450
0.985% 04/15/2004 2,900,000 2,891,668
0.896% 03/04/2004* 95,000 94,851
0.895% 03/11/2004* 750,000 748,695
0.885% 02/05/2004-
03/18/2004* 4,370,000 4,366,064
0.883% 03/18/2004* 825,000 823,443
0.867% 03/18/2004* 50,000 49,907
------------
35,176,209
------------
U.S. Treasury Bonds--1.2%
U.S. Treasury Bond
7.250% 05/15/2016+ 4,575,000 5,708,566
5.500% 08/15/2028 1,475,000 1,536,825
3.875% 02/15/2013 500,000 489,609
------------
7,735,000
------------
U.S. Treasury Notes--19.6%
U.S. Treasury Inflation Index Note
3.875% 01/15/2009 9,588,765 10,830,817
3.625% 01/15/2008 5,382,265 5,954,136
3.375% 01/15/2007-
01/15/2012 2,589,126 2,842,761
U.S. Treasury Note
6.500% 08/15/2005-
10/15/2006 4,250,000 4,638,908
6.125% 08/15/2007 2,000,000 2,238,986
4.625% 05/15/2006 130,000 137,820
2.625% 11/15/2006 11,000,000 11,100,551
2.000% 05/15/2006 9,900,000 9,905,029
1.875% 11/30/2005 19,000,000 19,041,572
1.625% 04/30/2005-
10/31/2005 21,800,000 21,807,046
1.250% 05/31/2005 11,000,000 10,974,227
1.125% 06/30/2005 21,970,000 21,859,417
------------
121,331,270
------------
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $163,058,872) 164,242,479
------------
124 See accompanying notes to financial statements.
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------------------
MUNICIPAL OBLIGATIONS--0.4%
- --------------------------------------------------------------------------------------------
Financial Services--0.4%
Alameda Corridor Transportation
Authority (California)
5.900% 10/01/2010 $ 575,000 $ 629,677
Delaware River Port Authorities PA & NJ
7.630% 01/01/2021 180,000 219,263
Missouri State Higher Education Loan
Authority (Missouri)
1.190% 07/15/2029 # 1,000,000 1,000,000
Wisconsin State General Revenue,
Series A (Wisconsin)
4.800% 05/01/2013 530,000 536,323
------------
TOTAL MUNICIPAL OBLIGATIONS
(Cost $2,317,341) 2,385,263
------------
- --------------------------------------------------------------------------------------------
SOVEREIGN DEBT OBLIGATIONS--0.1%
- --------------------------------------------------------------------------------------------
Government Issued--0.1%
Ontario (Province Of) (Canada)
5.500%
(Cost $499,617) 10/01/2008 500,000 543,836
------------
- --------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES--7.0%
- --------------------------------------------------------------------------------------------
Automotive--0.6%
BMW Vehicle Owner Trust,
Ser. 2002-A, Class A4
4.460% 05/25/2007 1,000,000 1,033,977
Capital One Auto Finance Trust,
Ser. 2001-A, Class A4
5.400% 05/15/2008 # 1,250,000 1,303,720
Chase Manhattan Auto Owner Trust,
Ser. 2001-B, Class A4
3.800% 05/15/2008 850,000 870,917
Honda Auto Receivables Owner Trust,
Ser. 2003-2, Class A1
1.233% 06/11/2004 67,505 67,585
Honda Auto Receivables Owners Trust,
Ser. 2001-2, Class A4
5.090% 10/18/2006 445,000 451,791
------------
3,727,990
------------
Banking--2.1%
Bank One Auto Securitization Trust,
Series 2003-1, Class A1
1.100% 10/20/2004 269,030 269,375
Capital One Multi-Asset Execution
Trust, Ser. 2003-A4, Class A4
3.650% 07/15/2011 540,000 539,731
CNH Equipment Trust, Ser. 2003-A,
Class A1
1.263% 06/11/2004 88,982 89,099
Countrywide Home Loans, Inc.,
Ser. 1999-9, Class A-1
6.500% 08/25/2029 1,711,667 1,785,527
First Union--Chase Commercial
Mortgage, Ser. 1999-C2, Class A-2
6.645% 06/15/2031 1,375,000 1,537,229
First Union/Lehman Brothers/Bank of
America, Ser. 1998-C2, Class A2
6.560% 11/18/2035 1,375,000 1,535,466
General Electric Capital Assurance
Company 144A, Ser. 2003-1, Class A5
5.743% 05/12/2035 ^ 145,000 146,871
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------------------
Hyundai Auto Receivables Trust,
Series 2003-A, Class A4
3.020% 10/15/2010 $ 255,000 $ 255,043
MBNA Master Credit Card Trust II,
Ser. 2003-11A, Class A
3.650% 03/15/2011 500,000 501,861
Morgan Stanley Capital I,
Series 1998-WF1, Class A2
6.550% 03/15/2030 1,375,000 1,525,877
Morgan Stanley Dean Witter Capital
Corporation., Ser. 2002-IQ3, Class A4
5.080% 12/01/2032 750,000 768,881
Navistar Financial Corporation Owner
Trust, Series 2003-B, Class A2
1.690% 09/15/2006 1,000,000 1,003,564
Residential Asset Securities
Corporation, Series 2003-KS10,
Class AI2
2.710% 05/25/2026 611,000 610,506
Washington Mutual, Ser. 2002-AR2,
Class A
3.173% 02/27/2034 # 2,104,787 2,140,845
Wells Fargo Mortgage Backed
Securities Trust, Ser. 2001-25,
Class IIIA
6.360% 10/25/2031 # 167,443 167,668
------------
12,877,543
------------
Electric Utilities--0.2%
Peco Energy Transition Trust, Ser.
1999-A, Class A
5.800% 03/01/2007 443,155 458,208
Peco Energy Transition Trust, Ser.
2001-A, Class A1
6.520% 12/31/2010 500,000 566,514
------------
1,024,722
------------
Financial Services--4.1%
Aames Mortgage Trust, Ser. 1999-2,
Class AV2
1.570% 10/15/2029 # 141,730 142,015
Aesop Funding II LLC, Ser. 2003-3A,
Class A1
2.750% 07/20/2007 600,000 602,931
Amortizing Residential Collateral Trust,
Ser. 2002-BC4, Class A
1.410% 06/25/2004# 1,682,354 1,681,419
Asset Securitization Corporation, Ser.
1997-D4, Class A1C
7.420% 04/14/2029 500,000 521,680
Asset Securitization Corporation, Ser.
1997-D5, Class A1C
6.750% 02/14/2043 260,000 281,971
Bank of America Mortgage Securities,
Ser. 2002-K, Class 2A1
5.736% 10/20/2032 # 611,700 633,596
Bear Stearns ARM Trust,
Ser. 2002-5, Class 6A
5.981% 06/25/2032 # 231,536 240,146
Bear Stearns Commercial Mortgage
Securities, Inc., Ser. 1999-C1,
Class A2
6.020% 02/14/2031 750,000 823,491
Bear Stearns Commercial Mortgage
Securities, Inc., Ser. 2001-TOP4,
Class A1
5.060% 11/15/2016 932,825 982,404
See accompanying notes to financial statements.
125
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- --------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES--(Continued)
- --------------------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage
Securities, Inc., Ser. 2002-PBW1,
Class A2
4.720% 11/11/2035 $1,365,000 $ 1,375,028
CDC Mortgage Capital Trust,
Ser. 2002-HE2, Class A
1.409% 01/25/2033 # 473,141 473,296
CIT Equipment Collateral,
Ser. 2001-A, Class A4
4.840% 09/20/2012 400,000 410,869
Citibank Credit Card Issuance Trust,
Ser. 2000-B1, Class B1
7.050% 09/17/2007 1,100,000 1,191,947
Commercial Mortgage Trust,
Ser. 1999-C1, Class A3
6.640% 09/17/2010 1,375,000 1,551,655
Countrywide Asset Backed Certificates,
Series 2003-5, Class AF3
3.613% 04/25/2030 220,000 222,208
Countrywide Home Loans, Inc.,
Ser. 2002-1, Class 5A1
5.801% 03/19/2032 # 256,647 263,753
Countrywide Home Loans, Inc.,
Ser. 2002-HYB2, Class 6A1
4.990% 09/19/2032 # 507,057 513,805
Credit Suisse First Boston Mortgage
Securities Corporation, Ser. 02-24,
Class 3A1
5.500% 09/25/2032 299,817 301,764
Credit Suisse First Boston Mortgage
Securities Corporation, Ser. 1997-C1,
Class A1C
7.240% 06/20/2029 834,000 921,914
Credit Suisse First Boston Mortgage
Securities Corporation, Ser. 2000-C1,
Class A2
7.545% 04/14/2062 135,000 157,551
Credit Suisse First Boston Mortgage
Securities Corporation, Ser. 2001-1,
Class A
7.500% 02/25/2031 45,235 45,405
Credit Suisse First Boston Mortgage,
Ser. 2003-C3 A5
3.936% 05/15/2038 1,000,000 939,667
Credit-Based Asset Servicing and
Securitization Company,
Ser. 2002-CB1, Class A2A
1.481% 08/25/2029 # 736,981 738,406
Credit-Based Asset Servicing and
Securitization Company,
Ser. 2002-CB3, Class A
1.355% 06/25/2032 # 658,905 659,074
GSR Mortgage Loan Trust,
Ser. 2001-1, Class A2
5.575% 10/25/2031 371,956 371,830
MBNA Master Credit Card Trust,
Ser. 2002-A1, Class A1
4.950% 06/15/2009 135,000 144,044
Merrill Lynch Mortgage Investors, Inc.,
Ser.1997-C2, Class A2
6.540% 12/10/2029 500,000 552,986
MLCC Mortgage Investors, Inc.,
Ser. 1999-A, Class A
1.543% 03/15/2025 # 409,203 409,911
- --------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter Capital
Corporation, Ser. 2001-Top 1,
Class A3
6.460% 02/15/2033 $ 740,000 $ 818,023
Morgan Stanley Dean Witter Capital
Corporation, Ser. 2001-Top 3,
Class A3
6.200% 07/15/2033 660,000 727,107
Morgan Stanley Dean Witter Capital I,
Inc., Ser. 2001-HE1, Class A2
1.750% 07/25/2032 # 571,038 571,269
Morgan Stanley Dean Witter Capital I,
Inc., Ser. 2001-Top 5, Class A2
5.900% 10/15/2035 750,000 816,247
Navistar Financial Corporation Owner
Trust, Ser. 2002-A, Class A4
4.760% 04/15/2009 750,000 777,599
Residential Funding Mortgage
Securities I, Ser. 2003-S9, Class A1
6.500% 03/25/2032 541,186 558,601
Salomon Brothers Mortgage Securities
VII, Ser. 1997-TZH, Class A1
7.150% 03/25/2025 1,587,106 1,672,455
Salomon Brothers Mortgage Securities
VII, Ser. 1999-AQ1, Class A
1.461% 04/25/2029 # 201,812 201,119
Structured Asset Mortgage
Investments, Inc., Ser. 2002-AR1,
Class 6A
7.275% 03/25/2032 # 435,411 465,581
Union Acceptance Corporation, Ser.
2001-A, Class A4
5.610% 07/09/2007 406,431 416,055
Washington Mutual, Ser. 2000-3,
Class A
2.843% 12/25/2040 # 431,379 435,053
WFS Financial Owner Trust,
Ser. 2003-2, Class A1
1.260% 06/20/2004 51,542 51,610
WFS Financial Owner Trust,
Ser. 2003-2, Class A4
2.410% 12/20/2010 1,100,000 1,091,822
------------
25,757,307
------------
TOTAL ASSET BACKED SECURITIES
(Cost $42,922,175) 43,387,562
------------
- --------------------------------------------------------------------------------------------
COMMERCIAL PAPER--4.2%
- --------------------------------------------------------------------------------------------
Banking--1.2%
AIG Funding, Inc.
1.040% 01/06/2004 300,000 299,957
BNP Paribas Finance, Inc.
1.055% 01/07/2004 300,000 299,947
CBA (Delaware) Finance, Inc.
1.070% 02/17/2004 2,300,000 2,296,787
Danske Corp.
1.075% 02/09/2004 4,000,000 3,995,342
Danske Corp.
1.075% 02/23/2004 200,000 199,683
Royal Bank of Scotland
1.075% 01/06/2004 300,000 299,955
Toyota Motor Credit Corp.
1.040% 01/09/2004 300,000 299,931
------------
7,691,602
------------
Chemicals--0.1%
Dupont EI de Nemours Co.
1.070% 01/21/2004 600,000 599,643
------------
126 See accompanying notes to financial statements.
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- ---------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ---------------------------------------------------------------------------------------------
COMMERCIAL PAPER--(Continued)
- ---------------------------------------------------------------------------------------------
Electrical Equipment--0.9%
General Electric Capital Corp.
1.110% 04/07/2004 $5,400,000 $ 5,383,849
------------
Financial Services--0.9%
Citigroup Global Markets
1.080% 01/14/2004 300,000 299,883
Credit Agricole Indosuez
1.030% 01/08/2004 300,000 299,940
HBOS Treasury Services PLC
1.080% 01/27/2004 2,500,000 2,498,050
HBOS Treasury Services PLC
1.080% 04/01/2004 1,100,000 1,096,997
National Rural Utilities Cooperative
Finance Corporation
1.080% 01/13/2004 150,000 149,946
Rabobank USA Finance Corporation
1.060% 01/30/2004 1,000,000 999,146
UBS Finance Delaware LLC
1.070% 04/05/2004 400,000 398,871
------------
5,742,833
------------
Oil & Gas--1.0%
BP Amoco Capital PLC
1.080% 03/02/2004 4,800,000 4,791,216
Shell Finance PLC (UK)
1.100% 03/16/2004 700,000 698,396
Shell Finance PLC (UK)
1.060% 03/17/2004 800,000 798,210
------------
6,287,822
------------
Pharmaceuticals--0.1%
Pfizer, Inc.
1.030% 01/15/2004 300,000 299,880
------------
TOTAL COMMERCIAL PAPER
(Cost $26,005,628) 26,005,629
------------
- ---------------------------------------------------------------------------------------------
CASH EQUIVALENTS--5.5%
- ---------------------------------------------------------------------------------------------
Institutional Money Market Funds--5.0%
Short Term Investments Co.
Liquid Assets Portfolio 30,974,182 30,974,182
Merrill Lynch Premier Institutional Fund
1.037% 01/02/2004 ++ 67,962 67,962
Merrimac Cash Fund-Premium Class
0.976% 01/02/2004 ++ 105,482 105,482
------------
31,147,626
------------
Bank & Certificate Deposits/
Offshore Time Deposits--0.3%
Bank of Montreal
1.060% 01/15/2004 ++ 32,544 32,544
Bank of Montreal
1.060% 02/17/2004 ++ 63,928 63,928
Bank of Nova Scotia
1.080% 03/03/2004 ++ 127,857 127,857
Citigroup, Inc.
1.090% 02/06/2004 ++ 175,803 175,803
Citigroup, Inc.
1.090% 03/04/2004 ++ 111,875 111,875
Compass Securitization
1.081% 01/22/2004 ++ 31,964 31,964
Credit Agricole Indosuez
1.080% 01/28/2004 ++ 31,964 31,964
Coupon Maturity
Rate Date Face Value
- ---------------------------------------------------------------------------------------------
Credit Agricole Indosuez
0.980% 01/02/2004 ++ $ 95,892 $ 95,892
Delaware Funding Corporation
1.082% 01/07/2004 ++ 15,982 15,982
Den Danske Bank
1.080% 01/20/2004 ++ 63,928 63,928
Den Danske Bank
1.020% 01/30/2004 ++ 63,928 63,928
Falcon Asset Securitization Corporation
1.092% 01/08/2004 ++ 31,841 31,841
Falcon Asset Securitization Corporation
1.091% 01/13/2004 ++ 63,928 63,928
Fleet National Bank
1.000% 01/21/2004 ++ 63,928 63,928
General Electric Capital Corporation
1.092% 01/09/2004 ++ 44,750 44,750
General Electric Capital Corporation
1.092% 01/28/2004 ++ 79,910 79,910
General Electric Capital Corporation
1.082% 01/16/2004 ++ 31,964 31,964
Govco, Inc.
1.082% 01/28/2004 ++ 63,821 63,821
Greyhawk Funding
1.102% 02/09/2004 ++ 31,964 31,964
Greyhawk Funding
1.092% 02/13/2004 ++ 47,946 47,946
Liberty Street
1.081% 01/20/2004 ++ 31,895 31,895
Royal Bank of Canada
1.050% 02/27/2004 ++ 79,910 79,910
Royal Bank of Scotland
1.080% 01/09/2004 ++ 79,910 79,910
Royal Bank of Scotland
1.060% 04/02/2004 ++ 95,892 95,892
Sheffield Receivables Corporation
1.091% 01/06/2004 ++ 79,856 79,856
Sheffield Receivables Corporation
1.081% 01/28/2004 ++ 31,964 31,964
Southtrust Bank
1.090% 02/17/2004 ++ 31,964 31,964
Toronto Dominion Bank
1.100% 01/08/2004 ++ 79,910 79,910
------------
1,787,018
------------
Floating Rate Instruments/
Master Notes--0.2%
Bear Stearns & Company
1.135% 06/10/2004 ++ 31,964 31,964
Bear Stearns & Company
1.135% 09/08/2004 ++ 31,964 31,964
Credit Suisse First Boston Corporation
1.040% 01/02/2004 ++ 159,821 159,821
Goldman Sachs Group, Inc.
1.060% 01/05/2004 ++ 95,892 95,892
Goldman Sachs Group, Inc.
1.040% 01/02/2004 ++ 191,785 191,785
Goldman Sachs Group, Inc.
1.040% 01/30/2004 ++ 63,928 63,928
Golman Sachs Group, Inc.
0.955% 01/02/2004 ++ 159,821 159,821
Liberty Lighthouse Funding
1.138% 01/15/2004 ++ 31,964 31,964
Merrill Lynch & Company, Inc.
1.040% 01/02/2004 ++ 143,839 143,839
Morgan Stanley
1.080% 01/29/2004 ++ 73,518 73,518
Morgan Stanley
1.050% 06/14/2004 ++ 111,875 111,875
See accompanying notes to financial statements.
127
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Income
Preservation Fund
- ------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ------------------------------------------------------------------------------------
CASH EQUIVALENTS--(Continued)
- ------------------------------------------------------------------------------------
Morgan Stanley
1.050% 09/10/2004++ $ 79,910 $ 79,910
Morgan Stanley
1.050% 06/21/2004++ 38,357 38,357
------------
1,214,638
------------
TOTAL CASH EQUIVALENTS
(Cost $34,149,282) 34,149,282
------------
- ------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--0.7%
- ------------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 12/31/2003 due
01/02/2004, with a
maturity value of
$4,241,703 and an
effective yield of 0.75%
collateralized by a U.S.
Government Obligation
with a rate of 4.38%,
maturity date of
06/20/2023 and a market
value of $4,453,602. 4,241,526 4,241,526
------------
TOTAL INVESTMENTS&---102.4%
(Cost $627,522,277) 635,014,464
------------
- ------------------------------------------------------------------------------------
WRAPPER AGREEMENTS--(2.7%)
- ------------------------------------------------------------------------------------
American
International Group,
Inc. (contractual
effective yield of
4.106%) +++ (8,435,746)
Bank of America
(contractual
effective yield of
4.106%) +++ (8,435,746)
------------
TOTAL WRAPPER AGREEMENTS (16,871,492)
------------
Other assets less liabilities--0.3% 1,820,591
------------
NET ASSETS--100.0% $619,963,563
============
Notes to the Schedule of Investments:
ARM Adjustable Rate Mortgage
MTN Medium Term Note
REIT Real Estate Investment Trust
TBA To Be Announced
^ Securities acquired pursuant to Rule 144A, representing 1.42% of Total
Investments.
# 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 when-issued (TBA) securities.
* 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.
128 See accompanying notes to financial statements.
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint US Government
Securities Fund
- ---------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ---------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS--43.5%
- ---------------------------------------------------------------------------------------------
U.S. Government Agencies--
Mortgage Backed--43.5%
Federal Home Loan Bank
4.875% 04/16/2004 $ 7,400,000 $ 7,480,098
Federal Home Loan Mortgage Corporation
6.000% 10/01/2017 1,905,111 1,999,745
5.000% 05/15/2004 7,400,000 7,506,412
Federal National Mortgage Association
7.125% 06/15/2010 3,500,000 4,120,522
6.625% 10/15/2007-
11/15/2010 17,250,000 19,737,542
6.000% 10/01/2017 4,203,216 4,415,212
5.625% 05/14/2004 7,400,000 7,522,485
5.500% 02/15/2006 7,400,000 7,926,022
4.375% 10/15/2006-
09/15/2012 21,300,000 21,321,080
------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $79,799,111) 82,029,118
------------
- ---------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--51.2%
- ---------------------------------------------------------------------------------------------
U.S. Treasury Bonds--16.6%
U.S. Treasury Bond
5.000% 08/15/2011 25,075,000 26,842,010
3.875% 02/15/2013 4,550,000 4,455,446
------------
31,297,456
------------
U.S. Treasury Notes--34.6%
U.S. Treasury Inflation Index Note
3.375% 01/15/2007 8,173,970 8,857,265
1.875% 07/15/2013 5,384,072 5,347,062
U.S. Treasury Note
6.500% 05/15/2005 13,350,000 14,271,991
6.000% 08/15/2009 8,995,000 10,191,407
5.250% 05/15/2004 20,200,000 20,521,160
3.250% 05/31/2004 6,000,000 6,056,958
------------
65,245,843
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $96,595,205) 96,543,299
------------
- ---------------------------------------------------------------------------------------------
CASH EQUIVALENTS--27.8%
- ---------------------------------------------------------------------------------------------
Institutional Money Market Funds--1.5%
Merrill Lynch Premier Institutional Fund
1.037% 01/02/2004 + 1,120,108 1,120,108
Merrimac Cash Fund-Premium Class
0.976% 01/02/2004 + 1,738,497 1,738,497
------------
2,858,605
------------
Bank & Certificate Deposits/
Offshore Time Deposits--15.7%
Bank of Montreal
1.060% 01/15/2004 + 536,365 536,365
Bank of Montreal
1.060% 02/17/2004 + 1,053,634 1,053,634
Bank of Nova Scotia
1.080% 03/03/2004 + 2,107,269 2,107,269
Citigroup, Inc.
1.090% 02/06/2004 + 2,897,494 2,897,494
- ---------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ---------------------------------------------------------------------------------------------
Citigroup, Inc.
1.090% 03/04/2004 + $1,843,860 $ 1,843,860
Compass Securitization
1.081% 01/22/2004 + 526,817 526,817
Credit Agricole Indosuez
1.080% 01/28/2004 + 526,817 526,817
Credit Agricole Indosuez
0.980% 01/02/2004 + 1,580,451 1,580,451
Delaware Funding Corporation
1.082% 01/07/2004 + 263,409 263,409
Den Danske Bank
1.080% 01/20/2004 + 1,053,634 1,053,634
Den Danske Bank
1.020% 01/30/2004 + 1,053,634 1,053,634
Falcon Asset Securitization Corporation
1.092% 01/08/2004 + 524,783 524,783
Falcon Asset Securitization Corporation
1.091% 01/13/2004 + 1,053,634 1,053,634
Fleet National Bank
1.000% 01/21/2004 + 1,053,634 1,053,634
General Electric Capital Corporation
1.092% 01/09/2004 + 737,544 737,544
General Electric Capital Corporation
1.092% 01/28/2004 + 1,317,043 1,317,043
General Electric Capital Corporation
1.082% 01/16/2004 + 526,817 526,817
Govco, Inc.
1.082% 01/28/2004 + 1,051,864 1,051,864
Greyhawk Funding
1.102% 02/09/2004 + 526,817 526,817
Greyhawk Funding
1.092% 02/13/2004 + 790,226 790,226
Liberty Street
1.081% 01/20/2004 + 525,671 525,671
Royal Bank of Canada
1.050% 02/27/2004 + 1,317,043 1,317,043
Royal Bank of Scotland
1.080% 01/09/2004 + 1,317,043 1,317,043
Royal Bank of Scotland
1.060% 04/02/2004 + 1,580,452 1,580,452
Sheffield Receivables Corporation
1.091% 01/06/2004 + 1,316,149 1,316,149
Sheffield Receivables Corporation
1.081% 01/28/2004 + 526,817 526,817
Southtrust Bank
1.090% 02/17/2004 + 526,817 526,817
Toronto Dominion Bank
1.100% 01/08/2004 + 1,317,043 1,317,043
-----------
29,452,781
-----------
Floating Rate Instruments/
Master Notes--10.6%
Bear Stearns & Company
1.135% 06/10/2004 + 526,817 526,817
Bear Stearns & Company
1.135% 09/08/2004 + 526,817 526,817
Credit Suisse First Boston Corporation
1.040% 01/02/2004 + 2,634,086 2,634,086
Goldman Sachs Group, Inc.
1.060% 01/05/2004 + 1,580,451 1,580,451
Goldman Sachs Group, Inc.
1.040% 01/02/2004 + 3,160,903 3,160,903
Goldman Sachs Group, Inc.
1.040% 01/30/2004 + 1,053,634 1,053,634
Golman Sachs Group, Inc.
0.955% 01/02/2004 + 2,634,086 2,634,086
Liberty Lighthouse Funding
1.138% 01/15/2004 + 526,817 526,817
See accompanying notes to financial statements.
129
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint US Government
Securities Fund
- --------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------------
CASH EQUIVALENTS--(Continued)
- --------------------------------------------------------------------------------------
Merrill Lynch & Company, Inc.
1.040% 01/02/2004 + $2,370,677 $ 2,370,677
Morgan Stanley
1.080% 01/29/2004 + 1,211,679 1,211,679
Morgan Stanley
1.050% 06/14/2004 + 1,843,860 1,843,860
Morgan Stanley
1.050% 09/10/2004 + 1,317,043 1,317,043
Morgan Stanley
1.050% 06/21/2004 + 632,181 632,181
------------
20,019,051
------------
TOTAL CASH EQUIVALENTS
(Cost $52,330,437) 52,330,437
------------
- --------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.7%
- --------------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 12/31/2003 due
01/02/2004, with a
maturity value of
$5,095,852 and an
effective yield of 0.75%
collateralized by a U.S.
Government Obligation
with a rate of 3.63%,
maturity date of
05/01/2028 and a market
value of $5,350,586. 5,095,640 5,095,640
------------
TOTAL INVESTMENTS---125.2%
(Cost $233,820,393) 235,998,494
Other assets less liabilities--(25.2%) (47,452,363)
------------
NET ASSETS--100.0% $188,546,131
============
Notes to the Schedule of Investments:
+ Represents collateral received from securities lending transactions.
& Fund has Securities on loan. See Note 6.
130 See accompanying notes to financial statements
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--73.5%
- -------------------------------------------------------------------------
Advertising--0.2%
Interpublic Group, Inc. * 21,700 $ 338,520
Monster Worldwide, Inc. * 6,200 136,152
Omnicom Group 10,600 925,698
------------
1,400,370
------------
Aerospace & Defense--1.1%
Boeing Company 46,692 1,967,601
General Dynamics Corporation 11,100 1,003,329
Honeywell International, Inc. 47,925 1,602,133
Lockheed Martin Corporation 25,100 1,290,140
Northrop Grumman
Corporation 10,296 984,298
Raytheon Company 22,600 678,904
Rockwell Collins, Inc. 10,400 312,312
Textron, Inc. 7,700 439,362
------------
8,278,079
------------
Airlines--0.1%
Delta Air Lines, Inc. 6,400 75,584
Southwest Airlines, Inc. 43,912 708,740
------------
784,324
------------
Automotive--0.8%
Cooper Tire & Rubber
Company 4,200 89,796
Dana Corporation 8,324 152,745
Delphi Corporation 30,335 309,720
Ford Motor Company 100,846 1,613,536
General Motors Corporation 31,000 1,655,400
Genuine Parts Company 9,425 312,910
Goodyear Tire & Rubber
Company * 9,300 73,098
Harley-Davidson, Inc. 16,800 798,504
ITT Industries, Inc. 5,200 385,892
Johnson Controls, Inc. 5,000 580,600
Navistar International
Corporation * 3,700 177,193
Visteon Corporation 8,204 85,404
------------
6,234,798
------------
Banking--6.3%
Amsouth Bancorp 19,700 482,650
BB&T Corporation 31,200 1,205,568
Bank of America Corporation 83,916 6,749,364
Bank of New York
Company, Inc. 42,900 1,420,848
Bank One Corporation 64,169 2,925,465
Capital One Financial
Corporation 12,700 778,383
Charter One Financial, Inc. 13,155 454,505
Comerica, Inc. 9,650 540,979
Fifth Third Bancorp 32,268 1,907,039
First Tennessee National
Corporation 7,000 308,700
Fleet Boston Financial
Corporation 59,087 2,579,148
Golden West Financial
Corporation 8,500 877,115
Huntington Bancshares, Inc. 12,836 288,810
J.P. Morgan Chase &
Company 114,100 4,190,893
KeyCorp 24,400 715,408
MBNA Corporation 72,940 1,812,559
Marshall & Ilsley Corporation 12,000 459,000
Mellon Financial Corporation 24,500 786,695
- -------------------------------------------------------------------------
Shares Value
- -------------------------------------------------------------------------
National City Corporation 33,700 $ 1,143,778
North Fork
Bancorporation, Inc. 9,000 364,230
Northern Trust Corporation 12,800 594,176
PNC Financial Services Group 16,200 886,626
Regions Financial Corporation 12,400 461,280
Safeco Corporation 7,600 295,868
SLM Corporation 25,800 972,144
Southtrust Corporation 20,000 654,600
State Street Corporation 18,700 973,896
Suntrust Banks, Inc. 16,000 1,144,000
Synovus Financial Corporation 17,100 494,532
U.S. Bancorp 107,805 3,210,433
Union Planters Corporation 11,150 351,113
Wachovia Corporation 74,384 3,465,551
Wells Fargo & Company 94,060 5,539,193
Zions Bancorporation 5,500 337,315
------------
49,371,864
------------
Beverages, Food & Tobacco--4.0%
Adolph Coors Company
Class B 2,100 117,810
Altria Group, Inc. 113,700 6,187,554
Anheuser Busch
Companies, Inc. 46,900 2,470,692
Archer-Daniels-Midland
Company 35,824 545,241
Brown Forman Corporation
Class B 3,700 345,765
Campbell Soup Company 23,500 629,800
Coca Cola Company 138,400 7,023,800
Coca Cola Enterprises, Inc. 25,600 559,872
Conagra, Inc. 30,800 812,812
General Mills, Inc. 20,700 937,710
Heinz HJ Company 19,350 704,920
Hershey Foods Corporation 7,400 569,726
Kellogg Company 22,500 856,800
Kroger Company * 42,400 784,824
McCormick & Company, Inc. 7,800 234,780
Pepsi Bottling Group,
Inc. (The) 15,600 377,208
PepsiCo, Inc. 97,030 4,523,539
R.J. Reynolds Tobacco
Holdings, Inc. 5,000 290,750
Sara Lee Corporation 44,700 970,437
Supervalu, Inc. 7,600 217,284
Sysco Corporation 36,900 1,373,787
UST, Inc. 9,800 349,762
WM Wrigley Jr. Company 12,900 725,109
------------
31,609,982
------------
Bio-Technology--0.1%
Chiron Corporation * 10,900 621,191
------------
Building Materials--0.9%
Home Depot, Inc. 129,100 4,581,759
Louisiana Pacific
Corporation * 6,000 107,280
Lowe's Companies, Inc. 43,800 2,426,082
Vulcan Materials Company 5,500 261,635
------------
7,376,756
------------
Chemicals--1.1%
Air Products & Chemicals, Inc. 12,500 660,375
Avery-Dennison Corporation 6,400 358,528
BF Goodrich Company 5,800 172,202
Clorox Company 12,700 616,712
Dow Chemical Company (The) 51,436 2,138,195
131
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- ------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------------
Du Pont (E.I.) de Nemours 55,800 $ 2,560,662
Eastman Chemical Company 4,375 172,944
Engelhard Corporation 6,637 198,778
Great Lakes Chemical
Corporation 2,900 78,851
Hercules, Inc. * 6,100 74,420
International Flavors &
Fragrances 5,400 188,568
Praxair, Inc. 18,200 695,240
Rohm & Haas Company 12,075 515,723
Tupperware Corporation 3,200 55,488
------------
8,486,686
------------
Commercial Services--0.9%
Allied Waste Industries, Inc. * 11,900 165,172
Cendant Corporation * 56,000 1,247,120
Cintas Corporation 9,200 461,196
Concord EFS, Inc. * 28,800 427,392
Convergys Corporation * 9,400 164,124
Deluxe Corporation 3,400 140,522
Equifax, Inc. 8,700 213,150
Fluor Corporation 4,400 174,416
Halliburton Company 24,600 639,600
Monsanto Company 15,549 447,500
Paychex, Inc. 21,450 797,940
ProLogis 10,000 320,900
Robert Half
International, Inc. * 9,500 221,730
RR Donnelley & Sons
Company 6,600 198,990
Ryder System, Inc. 3,300 112,695
Waste Management, Inc. 33,227 983,519
------------
6,715,966
------------
Communications--0.4%
ADC Telecommunications,
Inc. * 43,000 127,710
Andrew Corporation * 8,587 98,836
Avaya, Inc. * 21,468 277,796
JDS Uniphase Corporation * 76,300 278,495
Network Appliance, Inc. * 19,400 398,282
Nextel Communications,
Inc. Class A * 57,800 1,621,868
Scientific Atlanta, Inc. 8,400 229,320
Tellabs, Inc. * 22,200 187,146
------------
3,219,453
------------
Computer Software & Processing--4.2%
Adobe Systems, Inc. 12,800 503,040
Autodesk, Inc. 7,000 172,060
Automatic Data
Processing, Inc. 34,200 1,354,662
BMC Software, Inc. * 13,300 248,045
Citrix Systems, Inc. * 10,200 216,342
Computer Associates
International, Inc. 33,025 902,903
Compuware Corporation * 20,200 122,008
Electronic Arts, Inc. * 16,400 783,592
Electronic Data Systems
Corporation 27,100 665,034
First Data Corporation 42,600 1,750,434
Fiserv, Inc. * 11,000 434,610
Intuit, Inc. * 11,500 608,465
Mercury Interactive
Corporation * 4,400 214,016
Microsoft Corporation 606,400 16,700,256
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
NCR Corporation * 5,800 $ 225,040
Novell, Inc. * 19,600 206,192
NVIDIA Corporation * 8,300 192,975
Oracle Corporation * 295,420 3,899,544
Parametric Technology
Corporation * 16,400 64,616
PeopleSoft, Inc. * 20,400 465,120
Siebel Systems, Inc. * 27,500 381,425
Sun Microsystems, Inc. * 180,800 811,792
Sungard Data Systems, Inc. * 15,500 429,505
Symantec Corporation * 16,400 568,260
Unisys Corporation * 17,800 264,330
Veritas Software
Corporation * 23,333 867,054
------------
33,051,320
------------
Computers & Information--6.0%
Apple Computer, Inc. * 19,600 418,852
Cisco Systems, Inc. * 387,300 9,407,517
Computer Sciences
Corporation * 10,500 464,415
Comverse Technology, Inc. * 11,200 197,008
Dell, Inc. * 144,300 4,900,428
EMC Corporation * 134,800 1,741,616
Gateway, Inc. * 18,200 83,720
Hewlett-Packard Company 172,096 3,953,045
IMS Health, Inc. 13,725 341,204
Intel Corporation 365,100 11,756,220
International Business
Machines Corporation 97,000 8,989,960
International Game
Technology 20,000 714,000
Jabil Circuit, Inc. * 10,900 308,470
Lexmark International
Group, Inc. * 7,200 566,208
Micron Technology, Inc. * 33,300 448,551
Pitney Bowes, Inc. 13,200 536,184
Sabre Holdings Corporation 7,930 171,209
Symbol Technologies, Inc. 12,700 214,503
Yahoo!, Inc. * 36,300 1,639,671
------------
46,852,781
------------
Construction--0.1%
Centex Corporation 3,700 398,305
KB Home 2,700 195,804
Pulte Corporation 3,100 290,222
------------
884,331
------------
Containers & Packaging--0.1%
Ball Corporation 3,400 202,538
Bemis Company 3,000 150,000
Pactiv Corporation * 8,300 198,370
Sealed Air Corporation * 5,065 274,219
------------
825,127
------------
Cosmetics & Personal Care--1.6%
Alberto Culver Company
Class B 3,200 201,856
Avon Products, Inc. 13,000 877,370
Colgate-Palmolive Company 30,200 1,511,510
Ecolab, Inc. 14,800 405,076
Gillette Company 57,400 2,108,302
Procter & Gamble Company 72,600 7,251,288
------------
12,355,402
------------
132
Schedule of Investments--(Continued)
December 31, 2003
- -------------------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
Diversified--3.2%
3M Company 44,000 $ 3,741,320
General Electric Company 561,400 17,392,172
Loews Corporation 10,900 539,005
Newell Rubbermaid, Inc. 15,360 349,747
PerkinElmer, Inc. 6,900 117,783
Temple Inland, Inc. 3,000 188,010
Tyco International Ltd. 111,549 2,956,049
------------
25,284,086
------------
Education--0.1%
Apollo Group, Inc. Class A * 9,500 646,000
------------
Electric Utilities--0.3%
Allegheny Energy, Inc. * 6,800 86,768
Exelon Corporation 18,262 1,211,866
Pinnacle West Capital
Corporation 5,100 204,102
Progress Energy, Inc. 13,300 601,958
TECO Energy, Inc. 10,900 157,069
Xcel Energy, Inc. 21,870 371,353
------------
2,633,116
------------
Electrical Equipment--0.0%
Cooper Industries Ltd. Class A 4,800 278,064
------------
Electronics--2.2%
Advanced Micro Devices, Inc. * 19,900 296,510
Agilent Technologies, Inc. * 26,469 773,954
Altera Corporation * 21,000 476,700
American Power Conversion
Corporation 11,300 276,285
Analog Devices, Inc. 20,800 949,520
Applied Micro Circuits
Corporation * 15,400 92,092
Broadcom Corporation
Class A * 15,100 514,759
Emerson Electric Company 23,400 1,515,150
LSI Logic Corporation * 19,900 176,513
Linear Technology Corporation 17,500 736,225
Maxim Integrated Products, Inc. 18,500 921,300
Molex, Inc. 10,575 368,962
Motorola, Inc. 129,090 1,816,296
National Semiconductor
Corporation * 9,500 374,395
Novellus System, Inc. * 7,800 327,990
PMC-Sierra, Inc. * 9,600 193,440
Power-One, Inc. * 3,800 41,154
Qlogic Corporation * 5,500 283,800
Qualcomm, Inc. 44,200 2,383,706
Sanmina Corporation * 30,000 378,300
Solectron Corporation * 47,200 278,952
Teradyne, Inc. * 9,800 249,410
Texas Instruments, Inc. 97,000 2,849,860
Thomas & Betts Corporation 3,200 73,248
Xilinx, Inc. * 19,100 739,934
------------
17,088,455
------------
Entertainment & Leisure--1.2%
Carnival Corporation 35,200 1,398,496
Harrah's Entertainment, Inc. 6,050 301,108
Hasbro, Inc. 9,775 208,012
Mattel, Inc. 23,678 456,275
The Walt Disney Company 113,900 2,657,287
Time Warner, Inc. * 252,610 4,544,454
------------
9,565,632
------------
- -------------------------------------------------------------------------
Shares Value
- -------------------------------------------------------------------------
Financial Services--5.3%
American Express Company 72,900 $ 3,515,967
Bear Stearns Company, Inc. 5,533 442,363
Citigroup, Inc. 288,848 14,020,682
Countrywide Financial
Corporation 9,733 738,248
Federal Home Loan Mortgage
Corporation 38,900 2,268,648
Federal National Mortgage
Association 55,000 4,128,300
Federated Investors, Inc.
Class B 6,100 179,096
Franklin Resources, Inc. 14,100 734,046
Goldman Sachs Group, Inc. 26,500 2,616,345
H&R Block, Inc. 10,700 592,459
Janus Capital Group, Inc. 12,300 201,843
Lehman Brothers, Inc. 15,400 1,189,188
Merrill Lynch & Company, Inc. 51,900 3,043,935
Moody's Corporation 8,700 526,785
Morgan Stanley 61,530 3,560,741
Paccar, Inc. 6,315 537,533
Providian Financial
Corporation * 16,500 192,060
Schwab (Charles) Corporation 75,722 896,548
T. Rowe Price Group, Inc. 6,700 317,647
Washington Mutual, Inc. 52,314 2,098,838
Worthington Industries, Inc. 4,975 89,699
------------
41,890,971
------------
Food Retailers--0.1%
Albertson's, Inc. 20,642 467,541
Winn Dixie, Inc. 8,200 81,590
------------
549,131
------------
Forest Products & Paper--0.6%
Boise Cascade Corporation 3,200 105,152
Georgia-Pacific Group 14,038 430,545
International Paper Company 27,502 1,185,611
Kimberly-Clark Corporation 28,620 1,691,156
MeadWestvaco Corporation 10,814 321,716
Plum Creek Timber
Company, Inc. 9,500 289,275
Weyerhaeuser Company 12,400 793,600
------------
4,817,055
------------
Health Care Providers--0.6%
Express Scripts, Inc. Class A * 4,400 292,292
HCA, Inc. 28,677 1,231,964
Health Management
Associates, Inc. 13,300 319,200
Manor Care, Inc. 5,100 176,307
Quest Diagnostics, Inc. * 5,900 431,349
Tenet Healthcare
Corporation * 27,150 435,757
UnitedHealth Group, Inc. 33,200 1,931,576
------------
4,818,445
------------
Heavy Machinery--1.4%
American Standard
Companies, Inc. * 4,000 402,800
Applied Materials, Inc. * 92,800 2,083,360
Baker Hughes, Inc. 19,280 620,045
Black & Decker Corporation 4,200 207,144
Caterpillar, Inc. 19,100 1,585,682
Cummins, Inc. 2,300 112,562
Deere & Company 13,500 878,175
Dover Corporation 11,000 437,250
133
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------------
Eaton Corporation 4,200 $ 453,516
Grainger WW, Inc. 5,600 265,384
Ingersoll-Rand Company
Class A 9,150 621,102
Pall Corporation 6,766 181,532
Parker-Hannifin Corporation 6,925 412,037
Rockwell International
Corporation 10,400 370,240
Stanley Works 5,200 196,924
United Technologies
Corporation 26,300 2,492,451
------------
11,320,204
------------
Home Furnishings & Appliances--0.2%
Corning, Inc. * 71,100 741,573
Leggett & Platt, Inc. 10,700 231,441
Maytag Corporation 4,400 122,540
Whirlpool Corporation 3,600 261,540
------------
1,357,094
------------
Household Products--0.3%
Fortune Brands, Inc. 8,100 579,069
Illinois Tool Works, Inc. 17,300 1,451,643
PPG Industries, Inc. 9,124 584,118
Snap-On, Inc. 3,250 104,780
------------
2,719,610
------------
Insurance--3.8%
ACE Ltd. (Bermuda) 14,500 600,590
AFLAC Corporation 28,900 1,045,602
Aetna, Inc. 8,537 576,930
Allstate Corporation 39,538 1,700,925
Ambac Financial Group, Inc. 5,750 398,992
American International
Group, Inc. 146,390 9,702,729
Anthem, Inc. * 7,900 592,500
Aon Corporation 17,425 417,155
Chubb Corporation 10,360 705,516
Cigna Corporation 8,000 460,000
Cincinnati Financial
Corporation 8,800 368,544
Hartford Financial Services
Group 15,600 920,868
Humana, Inc. * 9,600 219,360
Jefferson Pilot Corporation 8,187 414,672
John Hancock Financial
Services, Inc. 16,200 607,500
Lincoln National Corporation 10,000 403,700
MBIA, Inc. 8,050 476,802
MGIC Investment Corporation 5,900 335,946
Marsh & McLennan
Companies, Inc. 29,600 1,417,544
Medco Health Solutions, Inc. * 15,195 516,478
Metlife, Inc. 42,600 1,434,342
Principal Financial Group, Inc. 18,900 625,023
Progressive Corporation 12,000 1,003,080
Prudential Financial, Inc. 30,900 1,290,693
St. Paul Companies, Inc. 12,204 483,889
Torchmark Corporation 6,700 305,118
Travelers Property Casualty
Corporation Class B 56,353 956,310
UnumProvident Corporation 16,118 254,181
Wellpoint Health Networks * 8,000 775,920
XL Capital Ltd. Class A
(Bermuda) 7,500 581,625
------------
29,592,534
------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
Lodging--0.2%
Hilton Hotels Corporation 20,800 $ 356,304
Marriott International Class A 13,000 600,600
Starwood Hotels & Resorts
Worldwide, Inc. 10,800 388,476
------------
1,345,380
------------
Media--Broadcasting & Publishing--1.9%
American Greetings
Corporation Class A * 3,300 72,171
Clear Channel
Communications 34,800 1,629,684
Comcast Corporation
Class A * 126,380 4,154,111
Dow Jones & Company, Inc. 4,600 229,310
Gannett Company, Inc. 15,100 1,346,316
Knight Ridder, Inc. 4,900 379,113
McGraw-Hill Companies, Inc. 11,100 776,112
Meredith Corporation 2,900 141,549
New York Times Company
Class A 8,200 391,878
Tribune Company 17,067 880,657
Univision Communications,
Inc. * 18,000 714,420
Viacom, Inc. Class B 98,881 4,388,339
------------
15,103,660
------------
Medical Equipment & Supplies--2.8%
Allergan, Inc. 7,100 545,351
Applied Biosystems Group--
Applera Corporation 12,400 256,804
Bard C.R., Inc. 2,600 211,250
Bausch & Lomb, Inc. 3,406 176,771
Baxter International, Inc. 33,900 1,034,628
Becton Dickinson & Company 14,000 575,960
Biomet, Inc. 14,525 528,855
Boston Scientific
Corporation * 46,400 1,705,664
Guidant Corporation 17,400 1,047,480
Johnson & Johnson 166,688 8,611,102
KLA-Tencor Corporation * 10,700 627,769
Medtronics, Inc. 68,700 3,339,507
St. Jude Medical, Inc. * 10,100 619,635
Stryker Corporation 11,200 952,112
Tektronix, Inc. 5,400 170,640
Thermo Electron
Corporation * 9,100 229,320
Waters Corporation * 7,100 235,436
Zimmer Holdings, Inc. * 12,690 893,376
------------
21,761,660
------------
Metals & Mining--0.7%
Alcoa, Inc. 47,260 1,795,880
Allegheny Technologies, Inc. 4,483 59,265
Crane Company 3,325 102,211
Danaher Corporation 8,600 789,050
Freeport-McMoRan Copper &
Gold, Inc. 8,400 353,892
Masco Corporation 26,800 734,588
Newmont Mining Corporation 24,168 1,174,806
Nucor Corporation 4,600 257,600
Phelps Dodge Corporation * 4,828 367,363
United States Steel
Corporation 5,020 175,800
------------
5,810,455
------------
134
Schedule of Investments--(Continued)
December 31, 2003
- ---------------------------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- ---------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------------
Office Equipment & Supplies--0.1%
Xerox Corporation * 41,700 $ 575,460
------------
Oil & Gas--4.3%
Amerada Hess Corporation 4,800 255,216
Anadarko Petroleum
Corporation 14,270 727,913
Apache Corporation 8,946 725,521
Ashland, Inc. 4,000 176,240
BJ Services Company * 8,500 305,150
Burlington Resources, Inc. 11,002 609,291
ChevronTexaco Corporation 59,690 5,156,619
ConocoPhillips 38,009 2,492,250
Devon Energy Corporation 12,899 738,597
Dynegy, Inc. Class A * 20,400 87,312
EOG Resources, Inc. 6,300 290,871
El Paso Corporation 33,677 275,815
Exxon Mobil Corporation 372,058 15,254,378
Kerr-McGee Corporation 5,471 254,347
KeySpan Corporation 8,800 323,840
Kinder Morgan, Inc. 6,600 390,060
Marathon Oil Corporation 17,800 589,002
Nabors Industries Ltd. * 7,600 315,400
Nicor, Inc. 2,600 88,504
Noble Corporation * 7,200 257,616
Occidental Petroleum
Corporation 21,490 907,738
Peoples Energy Corporation 2,000 84,080
Rowan Companies, Inc. * 5,400 125,118
Schlumberger Ltd. 32,900 1,800,288
Sempra Energy 11,269 338,746
Sunoco, Inc. 4,600 235,290
Transocean, Inc. * 18,311 439,647
Unocal Corporation 14,710 541,769
Williams Companies, Inc. 29,600 290,672
------------
34,077,290
------------
Pharmaceuticals--6.1%
Abbott Laboratories 87,700 4,086,820
AmerisourceBergen
Corporation 6,200 348,130
Amgen, Inc. * 72,344 4,470,859
Biogen Idec, Inc. * 18,330 674,177
Bristol-Myers Squibb
Company 108,200 3,094,520
Cardinal Health, Inc. 25,050 1,532,058
Eli Lilly & Company 62,900 4,423,757
Forest Laboratories, Inc. * 20,400 1,260,720
Genzyme Corporation * 12,200 601,948
King Pharmaceuticals, Inc. * 14,166 216,173
McKesson HBOC, Inc. 16,489 530,286
MedImmune, Inc. * 14,200 360,680
Merck & Company, Inc. 126,000 5,821,200
Millipore Corporation * 2,500 107,625
Pfizer, Inc. 428,192 15,128,023
Schering-Plough Corporation 81,700 1,420,763
Sigma Aldrich Corporation 4,000 228,720
Watson Pharmaceutical, Inc. * 6,400 294,400
Wyeth 74,600 3,166,770
------------
47,767,629
------------
Photographic Equipment & Supplies--0.1%
Eastman Kodak Company 16,000 410,720
------------
- ---------------------------------------------------------------------------------
Shares Value
- ---------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------------
Real Estate--0.2%
Apartment Investment &
Management Company
Class A REIT 5,200 $ 179,400
Equity Office Properties Trust
REIT 22,600 647,490
Equity Residential Properties
Trust REIT 14,900 439,699
Simon Property Group, Inc.
REIT 10,600 491,204
------------
1,757,793
------------
Restaurants--0.5%
Darden Restaurants, Inc. 10,200 214,608
McDonald's Corporation 71,700 1,780,311
Starbucks Corporation * 22,000 727,320
Wendy's International, Inc. 7,000 274,680
Yum! Brands, Inc. * 15,900 546,960
------------
3,543,879
------------
Retailers--4.2%
AutoNation, Inc. * 17,500 321,475
Autozone, Inc. * 5,000 426,050
Bed Bath & Beyond, Inc. * 16,700 723,945
Best Buy Company, Inc. 18,000 940,320
Big Lots, Inc. * 6,400 90,944
CVS Corporation 21,600 780,192
Circuit City Stores 11,900 120,547
Costco Wholesale
Corporation * 25,776 958,352
Dillards, Inc. Class A 5,100 83,946
Dollar General Corporation 17,940 376,561
Ebay, Inc. * 35,600 2,299,404
Family Dollar Stores, Inc. 9,400 337,272
Federated Department Stores 10,500 494,865
Gap, Inc. 49,487 1,148,593
J.C. Penney Company, Inc. 14,300 375,804
Kohls Corporation * 18,600 835,884
Limited Brands, Inc. 29,400 530,082
May Department Stores
Company 16,100 468,027
Nordstrom, Inc. 7,700 264,110
Office Depot, Inc. * 16,600 277,386
RadioShack Corporation 10,400 319,072
Safeway, Inc. * 25,900 567,469
Sears, Roebuck & Company 16,000 727,840
Sherwin Williams Company 8,200 284,868
Staples, Inc. * 27,400 748,020
TJX Companies, Inc. 28,700 632,835
Target Corporation 51,200 1,966,080
Tiffany & Company 8,600 388,720
Toys 'R' Us, Inc. * 10,800 136,512
Walgreen Company 57,000 2,073,660
Wal-Mart Stores, Inc. 242,900 12,885,845
------------
32,584,680
------------
Telecommunications--2.4%
Alltel Corporation 17,700 824,466
AT&T Corporation 44,567 904,710
AT&T Wireless
Services, Inc. * 150,376 1,201,504
BellSouth Corporation 103,800 2,937,540
Centurytel, Inc. 7,700 251,174
Ciena Corporation * 26,500 175,960
Citizens Communications
Company * 16,700 207,414
Lucent Technologies, Inc.
* 231,819 658,366
135
Schedule of Investments--(Continued)
December 31, 2003
- ----------------------------------------------------------------------
Vantagepoint Asset
Allocation Fund Shares Value
- ----------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------
Qwest Communications
International, Inc. * 95,429 $ 412,253
SBC Communications, Inc. 187,652 4,892,088
Sprint Corporation
(FON Group) 50,900 835,778
Sprint Corporation
(PCS Group) * 56,400 316,968
Verizon Communications 154,471 5,418,843
------------
19,037,064
------------
Textiles, Clothing & Fabrics--0.2%
Jones Apparel Group, Inc. 6,800 239,564
Liz Claiborne, Inc. 6,000 212,760
Nike, Inc. Class B 14,800 1,013,208
Reebok International Ltd. 3,200 125,824
VF Corporation 6,000 259,440
------------
1,850,796
------------
Transportation--1.1%
Brunswick Corporation 5,100 162,333
Burlington Northern Santa Fe 21,156 684,397
CSX Corporation 12,500 449,250
FedEx Corporation 17,040 1,150,200
Norfolk Southern Corporation 21,200 501,380
Union Pacific Corporation 14,200 986,616
United Parcel Service, Inc.
Class B 63,200 4,711,560
------------
8,645,736
------------
Utilities--1.5%
AES Corporation * 34,400 324,736
Ameren Corporation 9,000 414,000
American Electric Power
Company, Inc. 21,760 663,898
CMS Energy Corporation * 7,600 64,752
Calpine Corporation * 18,100 87,061
CenterPoint Energy, Inc. 17,426 168,858
Cinergy Corporation 9,500 368,695
Consolidated Edison, Inc. 12,500 537,625
Constellation Energy Group 8,900 348,524
DTE Energy Company 9,700 382,180
Dominion Resources, Inc. 18,271 1,166,238
Duke Energy Corporation 50,624 1,035,261
Edison International * 17,700 388,161
Entergy Corporation 12,700 725,551
FPL Group, Inc. 10,100 660,742
Firstenergy Corporation 18,073 636,170
NiSource, Inc. 14,202 311,592
PG&E Corporation * 22,600 627,602
PPL Corporation 10,000 437,500
Public Service Enterprise
Group, Inc. 12,500 547,500
Southern Company 40,100 1,213,025
TXU Corporation 18,667 442,781
------------
11,552,452
------------
TOTAL COMMON STOCKS
(Cost $534,865,935) 576,453,481
------------
- --------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--15.3%
- --------------------------------------------------------------------
U.S. Treasury Bonds--15.3%
U.S. Treasury Bond
12.500% 08/15/2014 $ 2,285,000 $ 3,343,332
12.000% 08/15/2013 205,000 283,301
10.625% 08/15/2015 4,865,000 7,574,961
8.875% 08/15/2017 6,077,000 8,608,453
8.750% 05/15/2017-
08/15/2020 4,515,000 6,370,223
8.125% 08/15/2019-
08/15/2021 10,130,000 13,745,508
8.000% 11/15/2021 ** 10,015,000 13,528,862
7.875% 02/15/2021 1,000,000 1,330,821
7.625% 11/15/2022 2,875,000 3,766,477
7.250% 05/15/2016 ** 10,175,000 12,696,100
7.250% 08/15/2022 1,680,000 2,120,803
7.125% 02/15/2023 1,290,000 1,610,435
6.875% 08/15/2025 7,180,000 8,785,685
6.750% 08/15/2026 4,000,000 4,842,188
6.250% 08/15/2023-
05/15/2030 11,850,000 13,625,957
6.125% 11/15/2027 1,680,000 1,894,595
5.250% 11/15/2028 ** 10,740,000 10,820,980
5.250% 02/15/2029 4,925,000 4,970,019
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $118,241,575) 119,918,700
------------
- --------------------------------------------------------------------
COMMERCIAL PAPER--6.9%
- --------------------------------------------------------------------
Banking--4.6%
Amstel Funding Corp.
1.170% 05/28/2004 10,000,000 9,951,900
Citicorp
1.070% 01/02/2004 11,156,000 11,155,669
Fortis Funding LLC
1.080% 01/30/2004 15,000,000 14,986,950
------------
36,094,519
------------
Financial Services--2.3%
Govco, Inc.
1.070% 01/12/2004 18,000,000 17,994,115
------------
TOTAL COMMERCIAL PAPER
(Cost $54,088,633) 54,088,634
------------
- --------------------------------------------------------------------
CASH EQUIVALENTS--7.6%
- --------------------------------------------------------------------
Institutional Money Market Funds--0.4%
Merrill Lynch Premier Institutional Fund
1.037% 01/02/2004 + 1,280,529 1,280,529
Merrimac Cash Fund-Premium Class
0.976% 01/02/2004 + 1,987,483 1,987,483
------------
3,268,012
------------
136
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Asset
Allocation Fund
- -------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------------------------------------
CASH EQUIVALENTS--(Continued)
- -------------------------------------------------------------------------------------------
Bank & Certificate Deposits/
Offshore Time Deposits--4.3%
Bank of Montreal
1.060% 01/15/2004 + $ 613,183 $ 613,183
Bank of Montreal
1.060% 02/17/2004 + 1,204,535 1,204,535
Bank of Nova Scotia
1.080% 03/03/2004 + 2,409,070 2,409,070
Citigroup, Inc.
1.090% 02/06/2004 + 3,312,472 3,312,472
Citigroup, Inc.
1.090% 03/04/2004 + 2,107,936 2,107,936
Compass Securitization
1.081% 01/22/2004 + 602,267 602,267
Credit Agricole Indosuez
1.080% 01/28/2004 + 602,267 602,267
Credit Agricole Indosuez
0.980% 01/02/2004 + 1,806,803 1,806,803
Delaware Funding Corporation
1.082% 01/07/2004 + 301,134 301,134
Den Danske Bank
1.080% 01/20/2004 + 1,204,535 1,204,535
Den Danske Bank
1.020% 01/30/2004 + 1,204,535 1,204,535
Falcon Asset Securitization Corporation
1.092% 01/08/2004 + 599,943 599,943
Falcon Asset Securitization Corporation
1.091% 01/13/2004 + 1,204,535 1,204,535
Fleet National Bank
1.000% 01/21/2004 + 1,204,535 1,204,535
General Electric Capital Corporation
1.092% 01/09/2004 + 843,175 843,175
General Electric Capital Corporation
1.092% 01/28/2004 + 1,505,669 1,505,669
General Electric Capital Corporation
1.082% 01/16/2004 + 602,267 602,267
Govco, Inc.
1.082% 01/28/2004 + 1,202,511 1,202,511
Greyhawk Funding
1.102% 02/09/2004 + 602,268 602,268
Greyhawk Funding
1.092% 02/13/2004 + 903,401 903,401
Liberty Street
1.081% 01/20/2004 + 600,958 600,958
Royal Bank of Canada
1.050% 02/27/2004 + 1,505,669 1,505,669
Royal Bank of Scotland
1.080% 01/09/2004 + 1,505,669 1,505,669
Royal Bank of Scotland
1.060% 04/02/2004 + 1,806,803 1,806,803
Sheffield Receivables Corporation
1.091% 01/06/2004 + 1,504,647 1,504,647
Sheffield Receivables Corporation
1.081% 01/28/2004 + 602,268 602,268
Southtrust Bank
1.090% 02/17/2004 + 602,268 602,268
Toronto Dominion Bank
1.100% 01/08/2004 + 1,505,669 1,505,669
------------
33,670,992
------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------- ------------ --------- ------------
Floating Rate Instruments/
Master Notes--2.9%
Bear Stearns & Company
1.135% 06/10/2004 + $ 602,268 $ 602,268
Bear Stearns & Company
1.135% 09/08/2004 + 602,268 602,268
Credit Suisse First Boston Corporation
1.040% 01/02/2004 + 3,011,338 3,011,338
Goldman Sachs Group, Inc.
1.060% 01/05/2004 + 1,806,803 1,806,803
Goldman Sachs Group, Inc.
1.040% 01/02/2004 + 3,613,605 3,613,605
Goldman Sachs Group, Inc.
1.040% 01/30/2004 + 1,204,535 1,204,535
Golman Sachs Group, Inc.
0.955% 01/02/2004 + 3,011,338 3,011,338
Liberty Lighthouse Funding
1.138% 01/15/2004 + 602,268 602,268
Merrill Lynch & Company, Inc.
1.040% 01/02/2004 + 2,710,204 2,710,204
Morgan Stanley
1.080% 01/29/2004 + 1,385,215 1,385,215
Morgan Stanley
1.050% 06/14/2004 + 2,107,936 2,107,936
Morgan Stanley
1.050% 09/10/2004 + 1,505,669 1,505,669
Morgan Stanley
1.050% 06/21/2004 + 722,721 722,721
------------
22,886,168
------------
TOTAL CASH EQUIVALENTS
(Cost $59,825,172) 59,825,172
------------
TOTAL INVESTMENTS&---103.3%
(Cost $767,021,315) 810,285,987
Other assets less liabilities--(3.3%) (25,845,527)
------------
NET ASSETS--100.0% $784,440,460
============
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.
See accompanying notes to financial statements
137
Schedule of Investments
December 31, 2003
- ------------------------------------------------------------------------------
Vantagepoint
Equity Income Fund Shares Value
- ------------------------------------------------------------------------------
COMMON STOCKS--95.0%
- ------------------------------------------------------------------------------
Aerospace & Defense--1.7%
Honeywell International, Inc. 265,200 $ 8,865,636
Lockheed Martin Corporation 45,000 2,313,000
Raytheon Company 100,000 3,004,000
------------
14,182,636
------------
Automotive--3.2%
Ford Motor Company 200,000 3,200,000
General Motors Corporation 390,000 20,826,000
Genuine Parts Company 75,552 2,508,326
------------
26,534,326
------------
Banking--5.7%
Bank of America Corporation 25,000 2,010,750
Bank One Corporation 80,000 3,647,200
Fleet Boston Financial
Corporation 263,808 11,515,219
J.P. Morgan Chase &
Company 50,022 1,837,308
KeyCorp 100,000 2,932,000
Mellon Financial Corporation 53,656 1,722,894
Northern Trust Corporation 40,000 1,856,800
PNC Financial Services Group 71,400 3,907,722
Safeco Corporation 70,000 2,725,100
SLM Corporation 109,900 4,141,032
U.S. Bancorp 50,000 1,489,000
Wachovia Corporation 120,004 5,590,986
Wells Fargo & Company 66,300 3,904,407
------------
47,280,418
------------
Beverages, Food & Tobacco--3.9%
Altria Group, Inc. 130,000 7,074,600
Campbell Soup Company 99,712 2,672,282
Conagra, Inc. 217,000 5,726,630
General Mills, Inc. 60,022 2,718,997
Heinz HJ Company 137,249 4,999,981
Imperial Tobacco Group PLC
(United Kingdom) 125,900 5,005,784
UST, Inc. 56,537 2,017,806
Unilever NV (Netherlands) 30,000 1,947,000
------------
32,163,080
------------
Building Materials--0.9%
Hanson PLC Sponsored ADR
(United Kingdom) 138,000 5,037,000
Home Depot, Inc. 75,000 2,661,750
------------
7,698,750
------------
Chemicals--1.6%
Clorox Company 50,000 2,428,000
Dow Chemical Company (The) 39,771 1,653,280
Du Pont (E.I.) de Nemours 56,446 2,590,307
Great Lakes Chemical
Corporation 40,500 1,101,195
Hercules, Inc. * 48,000 585,600
International Flavors &
Fragrances 45,900 1,602,828
Lyondell Chemical Company 176,100 2,984,895
------------
12,946,105
------------
Commercial Services--3.1%
D&B * 37,500 1,901,625
Waste Management, Inc. 790,300 23,392,880
------------
25,294,505
------------
- -------------------------------------------------------------------------------
Shares Value
- -------------------------------------------------------------------------------
Computer Software & Processing--0.3%
Microsoft Corporation 90,000 $ 2,478,600
------------
Computers & Information--0.9%
Hewlett-Packard Company 120,450 2,766,737
IMS Health, Inc. 54,300 1,349,898
Pitney Bowes, Inc. 87,100 3,538,002
------------
7,654,637
------------
Cosmetics & Personal Care--0.2%
Gillette Company 50,000 1,836,500
------------
Diversified--1.5%
General Electric Company 175,000 5,421,500
Newell Rubbermaid, Inc. 130,000 2,960,100
Tyco International Ltd. 161,556 4,281,234
------------
12,662,834
------------
Electrical Equipment--0.5%
Cooper Industries Ltd. Class A 75,000 4,344,750
------------
Electronics--1.4%
Emerson Electric Company 99,100 6,416,725
Sony Corporation ADR (Japan) 100,000 3,467,000
Texas Instruments, Inc. 60,000 1,762,800
------------
11,646,525
------------
Entertainment & Leisure--4.0%
Carnival Corporation 74,000 2,940,020
Hasbro, Inc. 95,000 2,021,600
The Walt Disney Company 1,054,000 24,589,820
Time Warner, Inc.
* 205,000 3,687,950
------------
33,239,390
------------
Financial Services--2.5%
American Express Company 50,000 2,411,500
Citigroup, Inc. 150,069 7,284,349
Federal National Mortgage
Association 36,806 2,762,658
Janus Capital Group, Inc. 90,000 1,476,900
Washington Mutual, Inc. 153,945 6,176,273
------------
20,111,680
------------
Forest Products & Paper--1.4%
International Paper Company 201,268 8,676,664
Kimberly-Clark Corporation 45,259 2,674,354
------------
11,351,018
------------
Health Care Providers--0.7%
HCA, Inc. 133,100 5,717,976
------------
Heavy Machinery--1.8%
Baker Hughes, Inc. 57,500 1,849,200
Black & Decker Corporation 40,000 1,972,800
Pall Corporation 120,000 3,219,600
Stanley Works 195,300 7,396,011
------------
14,437,611
------------
Household Products--0.7%
Fortune Brands, Inc. 37,765 2,699,820
Illinois Tool Works, Inc. 38,900 3,264,099
------------
5,963,919
------------
138
Schedule of Investments--(Continued)
December 31, 2003
- ---------------------------------------------------------------------------------
Vantagepoint
Equity Income Fund Shares Value
- ---------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------------
Insurance--11.8%
Allstate Corporation 147,800 $ 6,358,356
American International
Group, Inc. 31,014 2,055,608
Anthem, Inc. * 36,100 2,707,500
Aon Corporation 766,000 18,338,040
Chubb Corporation 33,000 2,247,300
Cigna Corporation 153,800 8,843,500
Fairfax Financial Holdings Ltd.
(Canada) 110,000 19,196,100
Hartford Financial Services
Group 118,400 6,989,152
John Hancock Financial
Services, Inc. 80,000 3,000,000
Lincoln National Corporation 49,690 2,005,985
MGIC Investment Corporation 112,900 6,428,526
Marsh & McLennan
Companies, Inc. 75,000 3,591,750
Travelers Property Casualty
Corporation Class A 166,500 2,793,870
Travelers Property Casualty
Corporation Class B 175,000 2,969,750
UnumProvident Corporation 105,000 1,655,850
XL Capital Ltd. Class A
(Bermuda) 105,000 8,142,750
------------
97,324,037
------------
Lodging--5.1%
Hilton Hotels Corporation 1,319,000 22,594,470
Marriott International Class A 373,000 17,232,600
Starwood Hotels & Resorts
Worldwide, Inc. 60,000 2,158,200
------------
41,985,270
------------
Media--Broadcasting & Publishing--9.7%
Comcast Corporation Class A * 80,875 2,658,361
Comcast Corporation
Special Class A * 524,000 16,390,720
Dow Jones & Company, Inc. 60,000 2,991,000
Hollinger International, Inc. 1,260,000 19,681,200
Hughes Electronics
Corporation * 1,058,655 17,520,740
Knight Ridder, Inc. 188,000 14,545,560
New York Times Company
Class A 75,000 3,584,250
Viacom, Inc. Class B 50,000 2,219,000
------------
79,590,831
------------
Medical Equipment & Supplies--1.6%
Baxter International, Inc. 284,100 8,670,732
Becton Dickinson & Company 35,000 1,439,900
Johnson & Johnson 60,000 3,099,600
------------
13,210,232
------------
Metals & Mining--0.5%
Alcoa, Inc. 70,000 2,660,000
Hubbell, Inc. Class B 30,000 1,323,000
------------
3,983,000
------------
Office Equipment & Supplies--0.1%
Xerox Corporation * 51,000 703,800
------------
- ---------------------------------------------------------------------------------
Shares Value
- ---------------------------------------------------------------------------------
Oil & Gas--7.4%
Amerada Hess Corporation 80,000 $ 4,253,600
BP Amoco PLC ADR (United
Kingdom) 240,654 11,876,275
ChevronTexaco Corporation 153,850 13,291,102
ConocoPhillips 120,400 7,894,628
EnCana Corporation (Canada) 92,300 3,640,312
Exxon Mobil Corporation 124,760 5,115,160
Kerr-McGee Corporation 52,000 2,417,480
Marathon Oil Corporation 82,600 2,733,234
Occidental Petroleum
Corporation 189,700 8,012,928
Royal Dutch Petroleum
Company NY Shares
(Netherlands) 35,781 1,874,567
------------
61,109,286
------------
Pharmaceuticals--3.2%
Abbott Laboratories 70,000 3,262,000
Bristol-Myers Squibb
Company 342,300 9,789,780
Merck & Company, Inc. 100,000 4,620,000
Schering-Plough Corporation 398,700 6,933,393
Wyeth 42,947 1,823,100
------------
26,428,273
------------
Photographic Equipment & Supplies--0.3%
Eastman Kodak Company 80,741 2,072,621
------------
Real Estate--0.5%
Crescent Real Estate Equities
Company REIT 100,000 1,713,000
Simon Property Group, Inc.
REIT 50,000 2,317,000
------------
4,030,000
------------
Restaurants--4.1%
Brinker International, Inc. * 131,000 4,343,960
McDonald's Corporation 170,000 4,221,100
Wendy's International, Inc. 149,000 5,846,760
Yum! Brands, Inc. * 555,000 19,092,000
------------
33,503,820
------------
Retailers--4.3%
Dollar General Corporation 243,400 5,108,966
J.C. Penney Company, Inc. 126,600 3,327,048
May Department Stores
Company 60,765 1,766,439
Neiman Marcus Group, Inc. * 201,500 10,075,000
Neiman Marcus Group, Inc.
Class A * 251,000 13,471,170
Toys 'R' Us, Inc. * 135,000 1,706,400
------------
35,455,023
------------
Telecommunications--2.9%
Alltel Corporation 30,000 1,397,400
AT&T Corporation 60,000 1,218,000
Lucent Technologies, Inc. * 200,000 568,000
Nokia Corporation ADR
(Finland) 140,000 2,380,000
Qwest Communications
International, Inc. * 600,000 2,592,000
SBC Communications, Inc. 238,200 6,209,874
Sprint Corporation
(FON Group) 100,000 1,642,000
Verizon Communications 230,441 8,083,870
------------
24,091,144
------------
139
Schedule of Investments--(Continued)
December 31, 2003
- ----------------------------------------------------------------------------------
Vantagepoint
Equity Income Fund Shares Value
- ----------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------------------
Transportation--3.5%
Burlington Northern Santa Fe 224,900 $ 7,275,515
FedEx Corporation 237,000 15,997,500
Norfolk Southern Corporation 84,540 1,999,371
Union Pacific Corporation 50,997 3,543,272
------------
28,815,658
------------
Utilities--4.0%
American Electric Power
Company, Inc. 83,800 2,556,738
Cinergy Corporation 141,400 5,487,734
Constellation Energy Group 50,000 1,958,000
Duke Energy Corporation 307,900 6,296,555
Entergy Corporation 114,700 6,552,811
Firstenergy Corporation 50,000 1,760,000
NiSource, Inc. 110,000 2,413,400
Northeast Utilities 207,400 4,183,258
TXU Corporation 55,000 1,304,600
------------
32,513,096
------------
TOTAL COMMON STOCKS
(Cost $658,982,895) 782,361,351
------------
- -----------------------------------------------------------------------------------
PREFERRED STOCKS--0.4%
- -----------------------------------------------------------------------------------
Media--Broadcasting & Publishing--0.4%
News Corporation Ltd. Sponsored ADR (Australia)
(Cost $3,421,962) 118,407 3,581,812
------------
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
MUNICIPAL OBLIGATIONS--0.1%
- --------------------------------------------------------------------------------
Financial Services--0.1%
New York State Power Authority
1.101% 01/07/2004
(Cost $999,297) $1,000,000 999,297
------------
- --------------------------------------------------------------------------------
COMMERCIAL PAPER--1.5%
- --------------------------------------------------------------------------------
Banking--0.2%
ANZ (Delaware), Inc.
1.050% 02/05/2004 1,000,000 998,979
----------
Beverages, Food & Tobacco--0.1%
Cargill, Inc.
1.080% 03/03/2004 1,000,000 998,140
----------
Financial Services--1.2%
Alpine Securitization Corp.
1.090% 01/13/2004 2,000,000 1,999,273
Atlantic Asset Securities Corp.
1.100% 01/02/2004 1,000,000 999,970
Ford Credit Floorplan
1.120% 03/19/2004 2,500,000 2,493,933
National Rural Utilities Cooperative
Finance Corporation
1.060% 01/12/2004 2,000,000 1,999,352
UBS Finance Delaware LLC
1.100% 02/20/2004 1,500,000 1,497,708
Westpac Trust Securities Ltd.
1.110% 03/11/2004 1,000,000 997,842
----------
9,988,078
----------
TOTAL COMMERCIAL PAPER
(Cost $11,985,197) 11,985,197
----------
- -------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------
CASH EQUIVALENTS--14.1%
- -------------------------------------------------------------
Institutional Money Market Funds--0.8%
Merrill Lynch Premier Institutional Fund
1.037% 01/02/2004 + $2,492,280 $ 2,492,280
Merrimac Cash Fund-Premium Class
0.976% 01/02/2004 + 3,868,217 3,868,217
-----------
6,360,497
-----------
Bank & Certificate Deposits/
Offshore Time Deposits--7.9%
Bank of Montreal
1.060% 01/15/2004 + 1,193,431 1,193,431
Bank of Montreal
1.060% 02/17/2004 + 2,344,374 2,344,374
Bank of Nova Scotia
1.080% 03/03/2004 + 4,688,748 4,688,748
Citigroup, Inc.
1.090% 02/06/2004 + 6,447,029 6,447,029
Citigroup, Inc.
1.090% 03/04/2004 + 4,102,655 4,102,655
Compass Securitization
1.081% 01/22/2004 + 1,172,187 1,172,187
Credit Agricole Indosuez
1.080% 01/28/2004 + 1,172,187 1,172,187
Credit Agricole Indosuez
0.980% 01/02/2004 + 3,516,561 3,516,561
Delaware Funding Corporation
1.082% 01/07/2004 + 586,094 586,094
Den Danske Bank
1.080% 01/20/2004 + 2,344,374 2,344,374
Den Danske Bank
1.020% 01/30/2004 + 2,344,374 2,344,374
Falcon Asset Securitization
Corporation
1.092% 01/08/2004 + 1,167,662 1,167,662
Falcon Asset Securitization
Corporation
1.091% 01/13/2004 + 2,344,374 2,344,374
Fleet National Bank
1.000% 01/21/2004 + 2,344,374 2,344,374
General Electric Capital Corporation
1.092% 01/09/2004 + 1,641,062 1,641,062
General Electric Capital Corporation
1.092% 01/28/2004 + 2,930,468 2,930,468
General Electric Capital Corporation
1.082% 01/16/2004 + 1,172,187 1,172,187
Govco, Inc.
1.082% 01/28/2004 + 2,340,436 2,340,436
Greyhawk Funding
1.102% 02/09/2004 + 1,172,187 1,172,187
Greyhawk Funding
1.092% 02/13/2004 + 1,758,281 1,758,281
Liberty Street
1.081% 01/20/2004 + 1,169,638 1,169,638
Royal Bank of Canada
1.050% 02/27/2004 + 2,930,468 2,930,468
Royal Bank of Scotland
1.080% 01/09/2004 + 2,930,468 2,930,468
Royal Bank of Scotland
1.060% 04/02/2004 + 3,516,561 3,516,561
Sheffield Receivables Corporation
1.091% 01/06/2004 + 2,928,478 2,928,478
Sheffield Receivables Corporation
1.081% 01/28/2004 + 1,172,187 1,172,187
Southtrust Bank
1.090% 02/17/2004 + 1,172,187 1,172,187
Toronto Dominion Bank
1.100% 01/08/2004 + 2,930,468 2,930,468
------------
65,533,500
------------
140
Schedule of Investments--(Continued)
December 31, 2003
- -------------------------------------------------------------
Vantagepoint
Equity Income Fund
- -------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------
CASH EQUIVALENTS--(Continued)
- -------------------------------------------------------------
Floating Rate Instruments/
Master Notes--5.4%
Bear Stearns & Company
1.135% 06/10/2004 + $1,172,187 $ 1,172,187
Bear Stearns & Company
1.135% 09/08/2004 + 1,172,187 1,172,187
Credit Suisse First Boston Corporation
1.040% 01/02/2004 + 5,860,935 5,860,935
Goldman Sachs Group, Inc.
1.060% 01/05/2004 + 3,516,561 3,516,561
Goldman Sachs Group, Inc.
1.040% 01/02/2004 + 7,033,123 7,033,123
Goldman Sachs Group, Inc.
1.040% 01/30/2004 + 2,344,374 2,344,374
Golman Sachs Group, Inc.
0.955% 01/02/2004 + 5,860,935 5,860,935
Liberty Lighthouse Funding
1.138% 01/15/2004 + 1,172,187 1,172,187
Merrill Lynch & Company, Inc.
1.040% 01/02/2004 + 5,274,842 5,274,842
Morgan Stanley
1.080% 01/29/2004 + 2,696,030 2,696,030
Morgan Stanley
1.050% 06/14/2004 + 4,102,655 4,102,655
Morgan Stanley
1.050% 09/10/2004 + 2,930,468 2,930,468
Morgan Stanley
1.050% 06/21/2004 + 1,406,625 1,406,625
------------
44,543,109
------------
TOTAL CASH EQUIVALENTS
(Cost $116,437,106) 116,437,106
------------
- -------------------------------------------------------------------------------
Face Value
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.9%
- -------------------------------------------------------------------------------
IBT Repurchase Agreement
dated 12/31/2003 due
01/02/2004, with a maturity
value of $23,991,636 and
an effective yield of 0.75%
collateralized by U.S.
Government Obligations
with rates ranging from
4.38% to 5.87%, maturity
dates ranging from
09/01/2029 to 02/01/2033
and an aggregate market
value of $25,190,178. $23,990,637 $ 23,990,637
------------
TOTAL INVESTMENTS&---114.0%
(Cost $815,817,094) 939,355,400
Other assets less liabilities--(14.0%) (115,262,003)
------------
NET ASSETS--100.0% $824,093,397
============
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
141
Schedule of Investments
December 31, 2003
- ------------------------------------------------------------------------------
Vantagepoint Growth &
Income Fund Shares Value
- ------------------------------------------------------------------------------
COMMON STOCKS--96.4%
- ------------------------------------------------------------------------------
Advertising--0.4%
Interpublic Group, Inc. * 53,400 $ 833,040
Monster Worldwide, Inc. * 35,900 788,364
Omnicom Group 12,000 1,047,960
------------
2,669,364
------------
Aerospace & Defense--0.4%
General Dynamics
Corporation 10,000 903,900
Northrop Grumman
Corporation 15,000 1,434,000
Raytheon Company 11,400 342,456
------------
2,680,356
------------
Airlines--0.3%
Southwest Airlines, Inc. 140,300 2,264,442
------------
Automotive--1.1%
General Motors Corporation 83,700 4,469,580
Harley-Davidson, Inc. 53,000 2,519,090
Navistar International
Corporation * 22,800 1,091,892
------------
8,080,562
------------
Banking--7.6%
Bank of America Corporation 123,300 9,917,019
Bank of New York
Company, Inc. 28,000 927,360
Bank One Corporation 220,800 10,066,272
Fleet Boston Financial
Corporation 14,800 646,020
Golden West Financial
Corporation 10,500 1,083,495
J.P. Morgan Chase &
Company 35,900 1,318,607
Mellon Financial Corporation 77,000 2,472,470
National City Corporation 174,100 5,908,954
Northern Trust Corporation 22,000 1,021,240
PNC Financial Services Group 35,500 1,942,915
SLM Corporation 203,200 7,656,576
State Street Corporation 93,000 4,843,440
U.S. Bancorp 59,000 1,757,020
Wells Fargo & Company 148,600 8,751,054
------------
58,312,442
------------
Beverages, Food & Tobacco--3.6%
Altria Group, Inc. 92,303 5,023,129
Anheuser Busch
Companies, Inc. 37,384 1,969,389
Campbell Soup Company 63,000 1,688,400
Coca Cola Company 55,000 2,791,250
Coca Cola Enterprises, Inc. 90,600 1,981,422
General Mills, Inc. 20,000 906,000
Heinz HJ Company 16,700 608,381
Kellogg Company 102,600 3,907,008
Kraft Foods, Inc. Class A 30,100 969,822
PepsiCo, Inc. 129,900 6,055,938
Unilever NV (Netherlands) 29,000 1,882,100
------------
27,782,839
------------
Building Materials--1.0%
Home Depot, Inc. 95,000 3,371,550
Lowe's Companies, Inc. 76,100 4,215,179
------------
7,586,729
------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
Chemicals--1.2%
Air Products & Chemicals, Inc. 43,500 $ 2,298,105
Du Pont (E.I.) de Nemours 156,600 7,186,374
------------
9,484,479
------------
Commercial Services--1.3%
Affiliated Computer
Services, Inc. Class A * 17,800 969,388
Fluor Corporation 58,800 2,330,832
Paychex, Inc. 34,000 1,264,800
Republic Services, Inc. 112,900 2,893,627
Robert Half
International, Inc. * 25,200 588,168
Siemens AG Sponsored ADR
(Germany) 10,500 839,370
Waste Management, Inc. 40,000 1,184,000
------------
10,070,185
------------
Communications--0.2%
Nextel Communications,
Inc. Class A
* 65,000 1,823,900
------------
Computer Software & Processing--4.1%
Adobe Systems, Inc. 30,000 1,179,000
Automatic Data
Processing, Inc. 65,600 2,598,416
Cadence Design
Systems, Inc. * 64,400 1,157,912
CheckFree Corporation * 46,700 1,291,255
First Data Corporation 88,000 3,615,920
Fiserv, Inc. * 25,000 987,750
Intuit, Inc. * 46,000 2,433,860
Microsoft Corporation 410,500 11,305,170
PeopleSoft, Inc. * 94,600 2,156,880
SAP AG ADR (Germany) 31,900 1,325,764
Sun Microsystems, Inc. * 262,000 1,176,380
Symantec Corporation * 32,000 1,108,800
Veritas Software
Corporation * 30,000 1,114,800
------------
31,451,907
------------
Computers & Information--5.2%
Apple Computer, Inc. * 23,000 491,510
Cisco Systems, Inc. * 393,450 9,556,901
Dell, Inc.
* 100,000 3,396,000
Hewlett-Packard Company 218,773 5,025,216
Intel Corporation 175,200 5,641,440
International Business
Machines Corporation 104,300 9,666,524
International Game
Technology 64,000 2,284,800
Lexmark International
Group, Inc. * 20,000 1,572,800
Sabre Holdings Corporation 37,400 807,466
Thomson Corporation
(Canada) 16,700 605,375
Verisign, Inc. * 63,700 1,038,310
------------
40,086,342
------------
Cosmetics & Personal Care--0.8%
Avon Products, Inc. 7,500 506,175
Colgate-Palmolive Company 22,000 1,101,100
Estee Lauder Companies
Class A 26,700 1,048,242
Procter & Gamble Company 32,900 3,286,052
------------
5,941,569
------------
142
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Growth &
Income Fund Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------------
Diversified--2.9%
3M Company 14,000 $ 1,190,420
Berkshire Hathaway, Inc.
Class A * 38 3,201,500
General Electric Company 279,100 8,646,518
Tyco International Ltd. 345,800 9,163,700
------------
22,202,138
------------
Education--0.2%
Apollo Group, Inc. Class A * 23,000 1,564,000
------------
Electric Utilities--1.0%
Exelon Corporation 66,900 4,439,484
Pinnacle West Capital
Corporation 19,000 760,380
Progress Energy, Inc. 53,900 2,439,514
------------
7,639,378
------------
Electronics--4.9%
Agilent Technologies, Inc. * 92,514 2,705,109
Altera Corporation * 60,400 1,371,080
Analog Devices, Inc. 55,000 2,510,750
Applied Micro Circuits
Corporation * 85,400 510,692
Avnet, Inc. * 37,300 807,918
Emerson Electric Company 85,100 5,510,225
Linear Technology Corporation 18,100 761,467
Maxim Integrated
Products, Inc. 82,000 4,083,600
Novellus System, Inc. * 15,400 647,570
PMC-Sierra, Inc. * 66,100 1,331,915
Polycom, Inc. * 25,300 493,856
Qualcomm, Inc. 110,500 5,959,265
Teradyne, Inc. * 227,200 5,782,240
Texas Instruments, Inc. 65,000 1,909,700
Xilinx, Inc. * 84,800 3,285,152
------------
37,670,539
------------
Entertainment & Leisure--2.2%
Carnival Corporation 90,000 3,575,700
The Walt Disney Company 115,000 2,682,950
Time Warner, Inc. * 574,400 10,333,456
------------
16,592,106
------------
Financial Services--9.4%
American Express Company 37,000 1,784,510
AmeriCredit Corporation * 51,300 817,209
Citigroup, Inc. 466,812 22,659,054
Federal Home Loan
Mortgage Corporation 90,400 5,272,128
Federal National Mortgage
Association 123,900 9,299,934
Franklin Resources, Inc. 37,000 1,926,220
Goldman Sachs Group, Inc. 83,800 8,273,574
Indymac Mortgage Holdings 34,500 1,027,755
Legg Mason, Inc. 21,000 1,620,780
Merrill Lynch & Company, Inc. 31,000 1,818,150
Morgan Stanley 130,200 7,534,674
Schwab (Charles) Corporation 40,000 473,600
Washington Mutual, Inc. 236,700 9,496,404
------------
72,003,992
------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
Forest Products & Paper--1.2%
Boise Cascade Corporation 5,100 $ 167,586
International Paper Company 12,000 517,320
Kimberly-Clark Corporation 53,000 3,131,770
Weyerhaeuser Company 80,700 5,164,800
------------
8,981,476
------------
Health Care Providers--1.4%
HCA, Inc. 11,000 472,560
Health Management
Associates, Inc. 22,200 532,800
Lincare Holdings, Inc.
* 76,700 2,303,301
PacifiCare Health
Systems, Inc. * 8,000 540,800
Triad Hospitals, Inc. * 21,500 715,305
UnitedHealth Group, Inc. 110,000 6,399,800
------------
10,964,566
------------
Heavy Machinery--3.9%
American Standard
Companies, Inc. * 27,900 2,809,530
Applied Materials, Inc. * 411,700 9,242,665
Baker Hughes, Inc. 104,600 3,363,936
Caterpillar, Inc. 85,200 7,073,304
Ingersoll-Rand Company
Class A 23,100 1,568,028
Rockwell International
Corporation 69,700 2,481,320
United Technologies
Corporation 32,000 3,032,640
------------
29,571,423
------------
Household Products--0.7%
Illinois Tool Works, Inc. 62,400 5,235,984
------------
Insurance--5.1%
ACE Ltd. (Bermuda) 96,800 4,009,456
American International
Group, Inc. 91,900 6,091,132
Chubb Corporation 56,700 3,861,270
Everest Re Group Ltd.
(Bermuda) 5,800 490,680
Hartford Financial Services
Group 99,200 5,855,776
Marsh & McLennan
Companies, Inc. 92,300 4,420,247
PMI Group, Inc. 35,300 1,314,219
St. Paul Companies, Inc. 86,000 3,409,900
Stancorp Financial
Group, Inc. 43,800 2,754,144
Travelers Property Casualty
Corporation Class A 86,000 1,443,080
Wellpoint Health Networks * 34,000 3,297,660
XL Capital Ltd. Class A
(Bermuda) 24,300 1,884,465
------------
38,832,029
------------
Lodging--0.1%
Starwood Hotels & Resorts
Worldwide, Inc. 13,800 496,386
------------
Media--Broadcasting & Publishing--4.0%
Cablevision Systems
Corporation * 80,581 1,884,790
Clear Channel
Communications 74,000 3,465,420
143
Schedule of Investments--(Continued)
December 31, 2003
- ----------------------------------------------------------------------------
Vantagepoint Growth &
Income Fund Shares Value
- ----------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------------
Comcast Corporation
Class A * 15,500 $ 509,485
Comcast Corporation
Special Class A * 248,000 7,757,440
Cox Communications, Inc.
Class A * 53,600 1,846,520
E.W. Scripps Company (The) 12,000 1,129,680
Entercom Communications
Corporation * 2,300 121,808
Gannett Company, Inc. 29,600 2,639,136
Hughes Electronics
Corporation * 53,591 886,931
InterActiveCorp * 109,600 3,718,728
Knight Ridder, Inc. 7,300 564,801
Radio One, Inc. * 5,600 108,080
Viacom, Inc. Class B 128,900 5,720,582
------------
30,353,401
------------
Medical Equipment & Supplies--4.1%
Allergan, Inc. 81,400 6,252,334
Applied Biosystems Group--
Applera Corporation 109,500 2,267,745
Bard C.R., Inc. 29,400 2,388,750
Baxter International, Inc. 140,900 4,300,268
Beckman Coulter, Inc. 56,800 2,887,144
Becton Dickinson & Company 21,500 884,510
Credence Systems
Corporation * 20,900 275,044
Guidant Corporation 19,577 1,178,535
Johnson & Johnson 75,000 3,874,500
KLA-Tencor Corporation * 61,400 3,602,338
Medtronics, Inc. 66,400 3,227,704
Stryker Corporation 5,000 425,050
------------
31,563,922
------------
Metals & Mining--1.8%
Alcoa, Inc. 226,800 8,618,400
Danaher Corporation 50,000 4,587,500
Newmont Mining
Corporation 17,000 826,370
------------
14,032,270
------------
Oil & Gas--8.1%
BJ Services Company * 45,700 1,640,630
ChevronTexaco Corporation 80,100 6,919,839
ConocoPhillips 68,200 4,471,874
Equitable Resources, Inc. 16,000 686,720
Exxon Mobil Corporation 485,500 19,905,500
Global Santa Fe Corporation 62,200 1,544,426
Kinder Morgan
Management LLC * 46,008 1,976,504
Kinder Morgan, Inc. 26 1,537
National Fuel Gas Company 75,900 1,854,996
Royal Dutch Petroleum
Company NY Shares
(Netherlands) 55,900 2,928,601
Schlumberger Ltd. 122,100 6,681,312
Shell Transport & Trading
Company ADR
(United Kingdom) 112,900 5,083,887
Smith International, Inc. * 30,000 1,245,600
Transocean, Inc. * 32,300 775,523
Unocal Corporation 97,200 3,579,876
Weatherford
International Ltd. * 45,300 1,630,800
Williams Companies, Inc. 61,000 599,020
------------
61,526,645
------------
- ----------------------------------------------------------------------------
Shares Value
- ----------------------------------------------------------------------------
Pharmaceuticals--8.5%
Abbott Laboratories 46,000 $ 2,143,600
AmerisourceBergen
Corporation 11,000 617,650
Amgen, Inc. * 99,500 6,149,100
AstraZeneca Group PLC ADR
(United Kingdom) 258,000 12,482,040
Biogen Idec, Inc. * 16,000 588,480
Cardinal Health, Inc. 22,000 1,345,520
Eli Lilly & Company 67,000 4,712,110
Forest Laboratories, Inc. * 192,000 11,865,600
Genentech, Inc. * 11,300 1,057,341
MedImmune, Inc. * 16,000 406,400
Millennium
Pharmaceuticals, Inc. * 23,600 440,612
Pfizer, Inc. 558,786 19,741,909
Wyeth
75,000 3,183,750
------------
64,734,112
------------
Real Estate--0.0%
Archstone-Smith Trust REIT 9,900 277,002
------------
Restaurants--0.4%
McDonald's Corporation 131,200 3,257,696
------------
Retailers--3.3%
Amazon.com, Inc. * 19,200 1,010,688
AutoNation, Inc. * 77,100 1,416,327
Best Buy Company, Inc. 25,000 1,306,000
CVS Corporation 124,000 4,478,880
Costco Wholesale
Corporation * 55,000 2,044,900
Dollar General Corporation 91,700 1,924,783
Ebay, Inc. * 54,800 3,539,532
Kohls Corporation * 16,000 719,040
RadioShack Corporation 29,500 905,060
Target Corporation 70,000 2,688,000
Walgreen Company 20,000 727,600
Wal-Mart Stores, Inc. 64,000 3,395,200
Williams-Sonoma, Inc.
* 38,500 1,338,645
------------
25,494,655
------------
Telecommunications--3.6%
AT&T Corporation 65,640 1,332,492
BellSouth Corporation 126,200 3,571,460
Nokia Corporation ADR
(Finland) 266,500 4,530,500
SBC Communications, Inc. 110,900 2,891,163
Sprint Corporation
(FON Group) 250,200 4,108,284
Sprint Corporation
(PCS Group) * 374,000 2,101,880
Verizon Communications 128,000 4,490,240
Vodafone Group PLC ADR
(United Kingdom) 170,000 4,256,800
------------
27,282,819
------------
Textiles, Clothing & Fabrics--0.3%
Nike, Inc. Class B 37,900 2,594,634
------------
Transportation--0.7%
CSX Corporation 78,700 2,828,478
Union Pacific Corporation 8,000 555,840
United Parcel Service, Inc.
Class B 28,000 2,087,400
------------
5,471,718
------------
144
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Growth &
Income Fund Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------------
Utilities--1.4%
AES Corporation * 216,000 $ 2,039,040
American Electric Power
Company, Inc. 21,200 646,812
Dominion Resources, Inc. 43,050 2,747,882
Duke Energy Corporation 75,300 1,539,885
Firstenergy Corporation 15,500 545,600
NiSource, Inc. 39,100 857,854
PPL Corporation 22,900 1,001,875
Scana Corporation 42,600 1,459,050
------------
10,837,998
------------
TOTAL COMMON STOCKS
(Cost $632,111,992) 737,416,005
------------
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS--0.1%
- --------------------------------------------------------------------------------
Metals & Mining--0.1%
Phelps Dodge Corporation
(Cost $557,932) 6,000 1,015,200
------------
- --------------------------------------------------------------------------------
PREFERRED STOCKS--0.0%
- --------------------------------------------------------------------------------
Media--Broadcasting & Publishing--0.0%
News Corporation Ltd. Sponsored
ADR (Australia)
(Cost $173,227) 5,994 181,318
------------
- --------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--0.1%
- --------------------------------------------------------------------------------
Retailers--0.1%
Amazon.com, Inc.
4.750%
(Cost $673,479) 02/01/2009 $ 924,000 939,015
---------
- --------------------------------------------------------------------------------
COMMERCIAL PAPER--1.5%
- --------------------------------------------------------------------------------
Banking--0.4%
Depfa Bank Europe PLC
1.100% 01/16/2004 1,000,000 999,542
MassMutual Funding LLC
1.050% 01/14/2004 1,000,000 999,621
Preferred Receivables Funding
Corporation
1.100% 01/06/2004 1,000,000 999,847
---------
2,999,010
---------
Commercial Services--0.2%
Leland Stanford Jr.
1.100% 01/08/2004 1,000,000 999,787
---------
Financial Services--0.9%
Alpine Securitization Corporation
1.090% 01/16/2004 1,000,000 999,546
CRC Funding LLC
1.100% 01/09/2004 1,000,000 999,756
Falcon Asset Securitization
Corporation
1.080% 01/20/2004 1,000,000 999,430
Ford Credit Floorplan
1.120% 03/19/2004 1,000,000 997,573
- ----------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ----------------------------------------------------------------
National Rural Utilities Cooperative
Finance Corporation
1.060% 01/12/2004 $1,000,000 $ 999,676
Tulip Funding Corporation
1.100% 04/29/2004 1,000,000 996,364
Westpac Trust Securities Ltd.
1.110% 03/11/2004 1,000,000 997,841
------------
6,990,186
------------
TOTAL COMMERCIAL PAPER
(Cost $10,988,983) 10,988,983
------------
- ----------------------------------------------------------------
CASH EQUIVALENTS--10.2%
- ----------------------------------------------------------------
Institutional Money Market Funds--0.6%
Merrill Lynch Premier Institutional Fund
1.037% 01/02/2004 + 1,674,817 1,674,817
Merrimac Cash Fund-Premium Class
0.976% 01/02/2004 + 2,599,451 2,599,451
------------
4,274,268
------------
Bank & Certificate Deposits/
Offshore Time Deposits--5.7%
Bank of Montreal
1.060% 01/15/2004 + 801,988 801,988
Bank of Montreal
1.060% 02/17/2004 + 1,575,425 1,575,425
Bank of Nova Scotia
1.080% 03/03/2004 + 3,150,849 3,150,849
Citigroup, Inc.
1.090% 02/06/2004 + 4,332,417 4,332,417
Citigroup, Inc.
1.090% 03/04/2004 + 2,756,993 2,756,993
Compass Securitization
1.081% 01/22/2004 + 787,712 787,712
Credit Agricole Indosuez
1.080% 01/28/2004 + 787,712 787,712
Credit Agricole Indosuez
0.980% 01/02/2004 + 2,363,137 2,363,137
Delaware Funding Corporation
1.082% 01/07/2004 + 393,856 393,856
Den Danske Bank
1.080% 01/20/2004 + 1,575,425 1,575,425
Den Danske Bank
1.020% 01/30/2004 + 1,575,425 1,575,425
Falcon Asset Securitization
Corporation
1.092% 01/08/2004 + 784,671 784,671
Falcon Asset Securitization
Corporation
1.091% 01/13/2004 + 1,575,425 1,575,425
Fleet National Bank
1.000% 01/21/2004 + 1,575,425 1,575,425
General Electric Capital Corporation
1.092% 01/09/2004 + 1,102,797 1,102,797
General Electric Capital Corporation
1.092% 01/28/2004 + 1,969,281 1,969,281
General Electric Capital Corporation
1.082% 01/16/2004 + 787,712 787,712
Govco, Inc.
1.082% 01/28/2004 + 1,572,778 1,572,778
Greyhawk Funding
1.102% 02/09/2004 + 787,712 787,712
Greyhawk Funding
1.092% 02/13/2004 + 1,181,568 1,181,568
Liberty Street
1.081% 01/20/2004 + 785,999 785,999
145
Schedule of Investments--(Continued)
December 31, 2003
- ---------------------------------------------------------------
Vantagepoint Growth &
Income Fund
- ---------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ---------------------------------------------------------------
CASH EQUIVALENTS--(Continued)
- ---------------------------------------------------------------
Royal Bank of Canada
1.050% 02/27/2004 + $1,969,281 $ 1,969,281
Royal Bank of Scotland
1.080% 01/09/2004 + 1,969,281 1,969,281
Royal Bank of Scotland
1.060% 04/02/2004 + 2,363,137 2,363,137
Sheffield Receivables Corporation
1.091% 01/06/2004 + 1,967,944 1,967,944
Sheffield Receivables Corporation
1.081% 01/28/2004 + 787,712 787,712
Southtrust Bank
1.090% 02/17/2004 + 787,712 787,712
Toronto Dominion Bank
1.100% 01/08/2004 + 1,969,281 1,969,281
-----------
44,038,655
-----------
Floating Rate Instruments/
Master Notes--3.9%
Bear Stearns & Company
1.135% 06/10/2004 + 787,712 787,712
Bear Stearns & Company
1.135% 09/08/2004 + 787,712 787,712
Credit Suisse First Boston Corporation
1.040% 01/02/2004 + 3,938,561 3,938,561
Goldman Sachs Group, Inc.
1.060% 01/05/2004 + 2,363,137 2,363,137
Goldman Sachs Group, Inc.
1.040% 01/02/2004 + 4,726,274 4,726,274
Goldman Sachs Group, Inc.
1.040% 01/30/2004 + 1,575,425 1,575,425
Golman Sachs Group, Inc.
0.955% 01/02/2004 + 3,938,561 3,938,561
Liberty Lighthouse Funding
1.138% 01/15/2004 + 787,712 787,712
Merrill Lynch & Company, Inc.
1.040% 01/02/2004 + 3,544,705 3,544,705
Morgan Stanley
1.080% 01/29/2004 + 1,811,738 1,811,738
Morgan Stanley
1.050% 06/14/2004 + 2,756,993 2,756,993
Morgan Stanley
1.050% 09/10/2004 + 1,969,281 1,969,281
Morgan Stanley
1.050% 06/21/2004 + 945,255 945,255
-----------
29,933,066
-----------
TOTAL CASH EQUIVALENTS
(Cost $78,245,989) 78,245,989
-----------
Face Value
------------ ------------
REPURCHASE AGREEMENTS--1.4%
IBT Repurchase Agreement
dated 12/31/03 due
01/02/04, with a maturity
value of $12,482,412 and
an effective yield of 0.75%
collateralized by U.S.
Government Obligations
with rates ranging from
1.64% to 4.75%, maturity
dates ranging from
09/20/2024 to 08/01/2033
and an aggregate market
value of $11,013,203. $10,481,975 $ 10,481,975
------------
TOTAL INVESTMENTS&---109.7%
(Cost $733,233,576) 839,268,485
Other assets less liabilities--(9.7%) (74,153,233)
------------
NET ASSETS--100.0% $765,115,252
============
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.
146 See accompanying notes to financial statements
Schedule of Investments
December 31, 2003
- -----------------------------------------------------------------------------
Vantagepoint
Growth Fund
Shares Value
- -----------------------------------------------------------------------------
COMMON STOCKS--98.3%
- -----------------------------------------------------------------------------
Advertising--0.4%
DST Systems, Inc. * 96,200 $ 4,017,312
DoubleClick, Inc. * 379,471 3,878,194
Interpublic Group, Inc. * 179,000 2,792,400
Lamar Advertising
Company * 2,928 109,273
WPP Group PLC (United
Kingdom) 37,900 1,862,785
--------------
12,659,964
--------------
Aerospace & Defense--0.4%
AAR Corporation * 2,300 34,385
Curtiss-Wright Corp. 900 40,509
Empresa Brasileira de
Aeronautica SA,
Sponsored ADR (Brazil) 4,800 168,144
Lockheed Martin
Corporation 241,900 12,433,660
--------------
12,676,698
--------------
Airlines--0.1%
AMR Corporation * 296,900 3,844,855
--------------
Apparel Retailers--0.0%
Giordano International Ltd.
(Hong Kong) 556,000 257,814
Urban Outfitters, Inc. * 27,400 1,015,170
--------------
1,272,984
--------------
Automotive--1.5%
Brilliance China Auto
Sponsored ADR
(Bermuda) 25,300 1,434,510
Clarion Company Ltd.
(Japan) 192,000 340,267
Coachmen Industries, Inc. 72,900 1,320,219
Denway Motors, Ltd.
(Hong Kong) 1,368,000 1,453,679
Harley-Davidson, Inc. 95,400 4,534,362
JLG Industries, Inc. 8,400 127,932
Navistar International
Corporation * 30,100 1,441,489
Thor Industries, Inc. 297,780 16,741,192
Toyota Motor Corporation
ADR (Japan) 11,300 776,875
United Auto Group, Inc. 5,000 156,500
Wabash National
Corporation * 21,400 627,020
Winnebago Industries, Inc. 193,500 13,303,125
--------------
42,257,170
--------------
Banking--3.9%
Fifth Third Bancorp 129,700 7,665,270
First Tennessee National
Corporation 54,800 2,416,680
SLM Corporation 205,600 7,747,008
State Street Corporation 148,100 7,713,048
Sumitomo Mitsui Financial
Group, Inc. (Japan) 320 1,704,319
UFJ Holdings, Inc. (Japan) * 317 1,522,759
Wells Fargo & Company 1,435,700 84,548,373
--------------
113,317,457
--------------
Beverages, Food & Tobacco--3.3%
Anheuser Busch
Companies, Inc. 725,600 38,224,608
- -----------------------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------------------
Chiquita Brands
International, Inc. * 10,100 $ 227,553
Pepsi Bottling Group,
Inc. (The) 223,500 5,404,230
PepsiCo, Inc. 942,400 43,934,688
Sysco Corporation 209,800 7,810,854
Wimm-Bill-Dann Foods
OJSC ADR (Russia) * 3,000 51,000
-------------
95,652,933
-------------
Bio-Technology--0.4%
Chiron Corporation * 152,800 8,708,072
Protein Design Labs, Inc. * 82,100 1,469,590
-------------
10,177,662
-------------
Building Materials--3.1%
Centex Construction
Products, Inc. 7,800 470,106
Fastenal Company 371,078 18,531,635
Home Depot, Inc. 912,100 32,370,429
Lowe's Companies, Inc. 711,300 39,398,907
Trex Company, Inc. * 4,700 178,506
-------------
90,949,583
-------------
Chemicals--0.3%
Airgas, Inc. 349,310 7,503,179
-------------
Commercial Services--1.8%
Cintas Corporation 343,400 17,214,642
Equifax, Inc. 162,300 3,976,350
Freemarkets, Inc. * 97,406 651,646
Paychex, Inc. 627,850 23,356,020
Robert Half
International, Inc. * 203,200 4,742,688
Startek, Inc. 8,400 342,636
Washington Group
International, Inc. * 700 23,779
Zenon Environmental, Inc.
(Canada) * 600 8,712
Zenon Environmental, Inc.
(Canada) 16,600 240,717
-------------
50,557,190
-------------
Communications--0.3%
ADC Telecommunications,
Inc. * 58,200 172,854
Advanced Fibre
Communications, Inc. * 92,400 1,861,860
Ariba, Inc. * 22,082 66,246
Aspect Communications
Corporation * 11,100 174,936
Avaya, Inc. * 53,500 692,290
C-COR.net Corporation * 10,400 115,752
Nextel Communications,
Inc. Class A * 127,400 3,574,844
SBA Communications
Corporation * 64,100 242,298
Scientific Atlanta, Inc. 43,900 1,198,470
-------------
8,099,550
-------------
Computer Software & Processing--8.4%
Adobe Systems, Inc. 20,200 793,860
Anteon International
Corporation * 7,500 270,375
Aspen Technologies, Inc. * 4,000 41,040
Autobytel Inc. * 6,800 61,744
Automatic Data
Processing, Inc. 1,048,000 41,511,280
CNET Networks, Inc. * 77,100 525,822
147
Schedule of Investments--(Continued)
December 31, 2003
- -------------------------------------------------------------------------
Vantagepoint
Growth Fund
Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
CACI International, Inc.
Class A * 1,000 $ 48,620
Cadence Design
Systems, Inc. * 444,400 7,990,312
Cerner Corporation * 5,800 219,530
Cognizant Technology
Solutions Corporation * 10,200 465,528
Ecollege.Com Inc. * 20,200 372,892
eFunds Corporation * 2,500 43,375
Faith, Inc. (Japan) 46 407,611
First Data Corporation 1,148,700 47,200,083
Fiserv, Inc. * 787,700 31,122,027
GTECH Holdings
Corporation 12,900 638,421
Infospace, Inc. * 2,400 55,320
Infosys Technologies
Sponsored ADR (India) 2,600 248,820
Intergraph Corporation * 26,900 643,448
Intuit, Inc. * 158,700 8,396,817
Jack Henry & Associates,
Inc. 50,603 1,041,410
Mentor Graphics
Corporation * 323,800 4,708,052
Microsoft Corporation 2,327,970 64,112,294
Microstrategy, Inc. Class A * 7,900 414,592
Midway Games, Inc. * 18,900 73,332
Novell, Inc. * 45,700 480,764
NVIDIA Corporation * 30,200 702,150
PalmSource, Inc. * 3,379 73,628
RealNetworks, Inc. * 341,000 1,947,110
Red Hat, Inc. * 58,000 1,088,660
SAP AG ADR (Germany) 41,600 1,728,896
Siebel Systems, Inc. * 241,434 3,348,690
Sonus Networks, Inc. * 450,100 3,402,756
Sungard Data
Systems, Inc. * 230,200 6,378,842
Sycamore Networks, Inc. * 637,730 3,341,705
Transaction Systems
Architects, Inc. Class A * 15,900 359,817
Veritas Software
Corporation * 236,700 8,795,772
--------------
243,055,395
--------------
Computers & Information--12.3%
Cisco Systems, Inc. * 2,953,000 71,728,370
Comverse Technology, Inc. * 41,900 737,021
Dell, Inc. * 852,200 28,940,712
Diebold, Inc. 23,126 1,245,798
EMC Corporation * 1,211,300 15,649,996
Emulex Corporation * 843,400 22,501,912
Foundry Networks, Inc. * 837,200 22,905,792
Harmonic, Inc. * 26,700 193,575
Hutchinson
Technology, Inc. * 21,500 660,910
IMS Health, Inc. 198,300 4,929,738
Intel Corporation 2,502,700 80,586,940
International Business
Machines Corporation 660,800 61,242,944
International Game
Technology 256,600 9,160,620
Jabil Circuit, Inc. * 328,100 9,285,230
Juniper Networks, Inc. * 1,001,100 18,700,548
M-Systems Flash Disk
Pioneers Ltd. (Israel) * 5,100 88,128
PalmOne, Inc. * 18,600 218,550
Symbol Technologies, Inc. 115,419 1,949,427
Yahoo!, Inc. * 118,160 5,337,287
--------------
356,063,498
--------------
- -------------------------------------------------------------------------
Shares Value
- -------------------------------------------------------------------------
Construction--0.0%
Centex Corporation 3,800 $ 409,070
Dycom Industries, Inc. * 18,600 498,852
--------------
907,922
--------------
Cosmetics & Personal Care--1.7%
Procter & Gamble
Company 488,600 48,801,368
--------------
Diversified--1.8%
General Electric Company 1,436,700 44,508,966
Hillenbrand Industries, Inc. 48,200 2,991,292
Li & Fung Ltd.
(Hong Kong) 1,084,000 1,856,989
PerkinElmer, Inc. 26,600 454,062
SoftBank Corporation
(Japan) 30,500 933,122
--------------
50,744,431
--------------
Education--0.5%
Apollo Group, Inc. Class A * 119,300 8,112,400
Career Education
Corporation * 5,100 204,357
DeVry, Inc. * 267,400 6,719,762
Education Management
Corporation * 7,200 223,488
Strayer Education, Inc. 5,000 544,150
--------------
15,804,157
--------------
Electric Utilities--0.1%
Allegheny Energy, Inc. * 93,700 1,195,612
Huaneng Power
International, Inc. ADR
(China) 4,400 305,404
--------------
1,501,016
--------------
Electrical Equipment--0.1%
Baldor Electric Company 28,400 648,940
Cooper Industries Ltd.
Class A 31,100 1,801,623
Franklin Electric, Inc. 300 18,147
Leica Geosystems AG
(Switzerland) 9,813 1,614,918
--------------
4,083,628
--------------
Electronics--6.2%
Advanced Micro
Devices, Inc. * 274,100 4,084,090
Agilent Technologies, Inc. * 6,700 195,908
Agilysys, Inc. 5,400 60,210
Altera Corporation * 357,400 8,112,980
Analog Devices, Inc. 319,100 14,566,915
Atmel Corporation * 123,400 741,634
Celestica, Inc. (Canada) * 287,520 4,332,926
Ceradyne, Inc. * 4,500 153,270
FLIR Systems, Inc. * 66,200 2,416,300
Garmin Ltd. (Cayman
Islands) 422,749 23,031,365
Harman International
Industries, Inc. 65,600 4,853,088
Hitachi Ltd. Sponsored
ADR (Japan) 7,600 456,532
Infineon Technologies AG
ADR (Germany) * 17,500 239,925
Intersil Holding
Corporation 178,400 4,433,240
KVH Industries, Inc. * 97,800 2,686,566
Linear Technology
Corporation 21,800 917,126
148
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint
Growth Fund
Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------------
Littelfuse, Inc. * 1,300 $ 37,466
Molex, Inc. 8,900 310,521
Motorola, Inc. 257,900 3,628,653
Novellus System, Inc. * 96,900 4,074,645
Omnivision Technologies * 3,400 187,850
PMC-Sierra, Inc. * 265,500 5,349,825
Photon Dynamics, Inc. * 3,900 156,936
Qlogic Corporation * 1,023,014 52,787,522
Qualcomm, Inc. 28,000 1,510,040
Siliconix, Inc. * 2,700 123,390
Taiwan Semiconductor
Manufacturing Company
Ltd. ADR (Taiwan) 36,620 374,989
Teradyne, Inc. * 275,300 7,006,385
Texas Instruments, Inc. 688,800 20,236,944
Varian Semiconductor
Equipment
Associates, Inc. * 30,500 1,332,545
Vishay Intertechnology, Inc. * 176,900 4,051,010
Xilinx, Inc. * 185,500 7,186,270
--------------
179,637,066
--------------
Entertainment & Leisure--2.4%
Carnival Corporation 573,900 22,801,047
Gaylord Entertainment Co. * 1,400 41,790
Harrah's Entertainment, Inc. 28,125 1,399,781
International Speedway
Corporation Class A 108,840 4,860,794
International Speedway
Corporation Class B 53,500 2,386,100
Metro-Goldwyn-Mayer,
Inc. * 2,500 42,725
Netease.Com, Inc. ADR
(China) * 27,100 999,990
Netflix.Com, Inc. * 13,400 732,846
Regal Entertainment
Group Class A 25,500 523,260
Shuffle Master, Inc. * 7,300 252,726
The Walt Disney Company 1,492,800 34,827,024
--------------
68,868,083
--------------
Financial Services--9.5%
A.G. Edwards, Inc. 92,300 3,344,028
American Express
Company 226,300 10,914,449
Bear Stearns Company, Inc. 62,000 4,956,900
Champion Enterprises, Inc. * 474,100 3,318,700
Citigroup, Inc. 504,933 24,509,448
Compagnie Financiere
Richemont AG
(Switzerland) 21,100 505,542
E*Trade Group, Inc. * 13,400 169,510
Federal National Mortgage
Association 670,200 50,305,212
Goldman Sachs Group,
Inc. 977,900 96,548,067
Hong Kong Exchanges &
Clearing Ltd.
(Hong Kong) 746,000 1,619,076
Investors Financial
Services Corporation 165,400 6,353,014
JAFCO Company Ltd.
(Japan) 5,400 424,102
Legg Mason, Inc. 147,500 11,384,050
Merrill Lynch &
Company, Inc. 335,500 19,677,075
Moody's Corporation 4,600 278,530
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
Nikko Cordial Corporation
(Japan) 307,000 $ 1,709,533
Paccar, Inc. 13,200 1,123,584
Schwab (Charles)
Corporation 2,554,450 30,244,688
T. Rowe Price Group, Inc. 161,900 7,675,679
--------------
275,061,187
--------------
Health Care Providers--1.5%
American Healthways, Inc. * 22,400 534,688
Caremark Rx, Inc. * 6,800 172,244
HCA, Inc. 278,600 11,968,656
Health Management
Associates, Inc. 750,100 18,002,400
Lincare Holdings, Inc. * 45,600 1,369,368
PacifiCare Health
Systems, Inc. * 41,100 2,778,360
Quest Diagnostics, Inc. * 121,700 8,897,487
Sunrise Senior Living, Inc. * 2,700 104,598
--------------
43,827,801
--------------
Healthcare--0.0%
Alcon, Inc. (Switzerland) 15,100 914,154
--------------
Heavy Machinery--0.8%
Applied Materials, Inc. * 482,000 10,820,900
Chicago Bridge & Iron
Company NV NY Shares
(Netherlands) 87,100 2,517,190
Donaldson Company, Inc. 7,200 425,952
Lam Research Corporation * 176,900 5,713,870
Pall Corporation 32,400 869,292
UNOVA, Inc. * 13,700 314,415
Zebra Technologies
Corporation Class A * 30,436 2,020,037
--------------
22,681,656
--------------
Home Furnishings & Appliances--0.1%
Corning, Inc. * 285,200 2,974,636
Ethan Allen Interiors, Inc. 10,700 448,116
Select Comfort
Corporation * 9,800 242,648
--------------
3,665,400
--------------
Household Products--0.7%
Gentex Corporation 28,700 1,267,392
Illinois Tool Works, Inc. 237,200 19,903,452
Kronos Worldwide, Inc. * 300 6,660
--------------
21,177,504
--------------
Insurance--3.9%
American International
Group, Inc. 1,578,900 104,649,492
Everest Re Group Ltd.
(Bermuda) 14,500 1,226,700
Health Net, Inc. * 18,400 601,680
Humana, Inc. * 205,900 4,704,815
UICI * 26,900 357,232
--------------
111,539,919
--------------
Lodging--0.1%
Mandalay Resort Group 81,900 3,662,568
--------------
Media--Broadcasting & Publishing--3.4%
American Greetings
Corporation Class A * 12,700 277,749
Cablevision Systems
Corporation * 209,400 4,897,866
149
Schedule of Investments--(Continued)
December 31, 2003
- -----------------------------------------------------------------------------
Vantagepoint
Growth Fund
Shares Value
- -----------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------------------
Central European Media
Enterprises Ltd. * 800 $ 13,896
E.W. Scripps Company
(The) 7,900 743,706
Fox Entertainment
Group, Inc. * 3,900 113,685
Gannett Company, Inc. 787,100 70,177,836
Hughes Electronics
Corporation * 22,391 370,571
Meredith Corporation 41,100 2,006,091
News Corporation Ltd. ADR
(Australia) 7,200 259,920
Sinclair Broadcast Group,
Inc.--Class A * 4,400 65,648
Tom.com, Ltd.
(Hong Kong) 1,398,000 432,162
Viacom, Inc. Class B 396,600 17,601,108
Washington Post Company
Class B 2,200 1,741,080
Wiley John & Sons, Inc.
Class A 15,000 390,450
--------------
99,091,768
--------------
Medical Equipment & Supplies--5.4%
Advanced
Neuromodulation
Systems, Inc. * 11,800 542,564
Bausch & Lomb, Inc. 24,700 1,281,930
Biomet, Inc. 271,400 9,881,674
Boston Scientific
Corporation * 1,034,400 38,024,544
CUNO, Inc. * 1,000 45,030
Dionex Corporation * 21,800 1,003,236
Fresenius Medical Care AG
ADR (Germany) 74,600 1,741,910
Immucor, Inc. * 1,800 36,702
Johnson & Johnson 594,900 30,732,534
KLA-Tencor Corporation * 77,600 4,552,792
Medtronics, Inc. 1,002,300 48,721,803
Microtek Medical
Holdings, Inc. * 6,300 31,500
St. Jude Medical, Inc. * 6,800 417,180
Steris Corporation * 100,200 2,264,520
Stryker Corporation 90,200 7,667,902
Zimmer Holdings, Inc. * 132,837 9,351,725
--------------
156,297,546
--------------
Medical Supplies--0.1%
Advantest Corporation
ADR (Japan) 44,700 888,189
American Medical System
Holdings, Inc. * 6,700 146,060
Candela Corp. * 6,500 118,170
Closure Medical Corp. * 10,000 339,300
Invacare Corporation 2,400 96,888
Merit Medical
Systems, Inc. * 1,867 41,559
Mine Safety Appliances
Company 400 31,804
Orthofix International NV * 3,500 171,430
Wright Medical Group, Inc. * 19,800 602,712
--------------
2,436,112
--------------
Metals--0.1%
AM Castle & Co. * 2,200 16,060
Cameco Corp. (Canada) 8,100 466,560
Cameco Corp. (Canada) 14,500 837,810
- -----------------------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------------------
Cleveland-Cliffs, Inc. * 12,400 $ 631,780
Gibraltar Steel Corporation 1,300 32,695
Glamis Gold, Ltd. (Canada) * 4,800 82,176
IPSCO, Inc. (Canada) 9,100 169,170
Metal Management, Inc. * 17,300 638,889
Schnitzer Steel Industries,
Inc. Class A 12,000 726,000
Southern Peru Copper
Corp. 6,900 325,404
--------------
3,926,544
--------------
Metals & Mining--1.2%
Companhia Vale do Rio
Doce ADR (Brazil) 149,500 8,745,750
Freeport-McMoRan Copper
& Gold, Inc. 36,000 1,516,680
Inco Ltd. (Canada) * 140,400 5,590,728
Inco Ltd. (foreign shares)
(Canada) * 35,500 1,417,311
Newmont Mining
Corporation 30,200 1,468,022
Phelps Dodge Corporation * 139,100 10,584,119
Pohang Iron & Steel
Company Ltd. ADR
(South Korea) 48,900 1,661,133
Steel Dynamics, Inc. * 13,400 314,766
Stillwater Mining
Company * 224,753 2,150,886
United States Steel
Corporation 68,400 2,395,368
--------------
35,844,763
--------------
Oil & Gas--1.9%
Apache Corporation 34,500 2,797,950
BJ Services Company * 27,400 983,660
Cal Dive International, Inc. * 3,400 81,974
Ensco International, Inc. 297,100 8,072,207
Helmerich & Payne, Inc. 181,100 5,058,123
Nabors Industries Ltd. * 25,400 1,054,100
OAO Gazprom Sponsored
ADR Regulation S
(Russia) ** 26,800 703,500
Pioneer Natural
Resources Co. * 17,700 565,161
Schlumberger Ltd. 238,200 13,034,304
Smith International, Inc. * 452,600 18,791,952
YUKOS ADR (Russia) 104,593 4,455,662
--------------
55,598,593
--------------
Pharmaceuticals--6.6%
Alexion Pharmaceuticals,
Inc. * 700 11,914
Amgen, Inc. * 581,000 35,905,800
AstraZeneca Group PLC
ADR (United Kingdom) 13,300 643,454
Cardinal Health, Inc. 144,600 8,843,736
Connetics Corporation * 56,800 1,031,488
Eli Lilly & Company 124,000 8,720,920
Endo Pharmaceutical
Holdings, Inc. * 17,700 340,902
Eon Labs, Inc. * 14,900 759,155
Forest Laboratories, Inc. * 131,200 8,108,160
Genentech, Inc. * 86,400 8,084,448
Immunogen, Inc. * 7,800 39,390
Ivax Corporation * 33,200 792,816
King Pharmaceuticals, Inc. * 268,100 4,091,206
Mgi Pharma Inc. * 42,100 1,732,415
NBTY, Inc. * 24,400 655,384
Omnicare, Inc. 8,600 347,354
150
Schedule of Investments--(Continued)
December 31, 2003
- ----------------------------------------------------------------------------
Vantagepoint
Growth Fund
Shares Value
- ----------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------------
Pfizer, Inc. 2,878,550 $ 101,699,171
Pharmaceutical
Resources, Inc. * 57,800 3,765,670
Regeneron
Pharmaceuticals, Inc. * 51,500 757,565
Roche Holding AG
(Switzerland) 43,400 4,367,659
--------------
190,698,607
--------------
Real Estate--0.0%
St. Joe Company (The) 4,500 167,805
--------------
Restaurants--0.7%
Buffalo Wild Wings, Inc. * 3,100 80,445
Cheesecake Factory, Inc. * 352,685 15,528,721
Outback Steakhouse, Inc. 25,500 1,127,355
P.F. Chang's China
Bistro, Inc. * 56,600 2,879,808
Papa John's
International, Inc. * 1,800 60,084
Quality Dining, Inc. * 39,300 94,320
--------------
19,770,733
--------------
Retailers--9.1%
Advance Auto Parts, Inc. * 7,200 586,080
AnnTaylor Stores
Corporation * 86,900 3,389,100
Autozone, Inc. * 116,600 9,935,486
Best Buy Company, Inc. 123,700 6,462,088
Circuit City Stores 711,700 7,209,521
Claire's Stores, Inc. 26,800 504,912
Costco Wholesale
Corporation * 189,800 7,056,764
Ebay, Inc. * 912,900 58,964,211
Family Dollar Stores, Inc. 153,200 5,496,816
Federated Department
Stores 224,700 10,590,111
Kohls Corporation * 571,600 25,687,704
MarineMax, Inc. * 23,800 462,434
Metro AG (Germany) 15,000 660,214
Nordstrom, Inc. 73,000 2,503,900
Pacific Sunwear of
California, Inc. * 152,800 3,227,136
Saks, Inc. * 168,530 2,534,691
Stamps.Com, Inc. * 31,100 192,820
Staples, Inc. * 279,300 7,624,890
Stride Rite Corporation 270,700 3,080,566
TJX Companies, Inc. 390,300 8,606,115
Tiffany & Company 211,400 9,555,280
Wal-Mart Stores, Inc. 1,684,400 89,357,420
--------------
263,688,259
--------------
Telecommunications--1.4%
Ciena Corporation * 924,300 6,137,352
Crown Castle International
Corporation * 43,900 484,217
Intrado, Inc. * 10,400 228,280
Lucent Technologies, Inc. * 471,500 1,339,060
Nokia Corporation ADR
(Finland) 1,068,800 18,169,600
Nortel Networks
Corporation (Canada) * 1,345,100 5,689,773
Nortel Networks
Corporation (foreign
shares) (Canada) 74,700 317,000
NTL, Inc. * 26,044 1,816,569
Shares Value
- ----------------------------------------------------------------------------
Qwest Communications
International, Inc.
* 193,800 $ 837,216
Telefonaktiebolaget LM
Ericsson ADR (Sweden) * 175,400 3,104,580
Vodafone Group PLC ADR
(United Kingdom) 90,600 2,268,624
--------------
40,392,271
--------------
Telephone Systems--0.7%
ADTRAN, Inc. 539,400 16,721,400
General Communication,
Inc. Class A * 6,100 53,070
PCCW, Ltd. (Hong Kong) 436,000 283,600
Philippine Long Distance
Telephone Company
ADR (Philippine Islands) * 29,200 508,664
Telephone & Data System 32,500 2,032,875
--------------
19,599,609
--------------
Textiles, Clothing & Fabrics--0.8%
Columbia Sportswear
Company * 80,400 4,381,800
Guess ?, Inc. * 5,000 60,350
Kellwood Company 24,400 1,000,400
K-Swiss, Inc. Class A 55,400 1,332,924
Nike, Inc. Class B 13,000 889,980
Puma AG Rudolf Dassler
Sport (Germany) 61,311 10,794,231
Quicksilver, Inc. * 141,700 2,512,341
Russell Corporation 9,600 168,576
Tommy Hilfiger
Corporation * 200 2,962
Wolverine World Wide, Inc. 50,800 1,035,304
--------------
22,178,868
--------------
Transportation--0.8%
Alexander & Baldwin, Inc. 115,600 3,894,564
Brunswick Corporation 15,300 486,999
Burlington Northern
Santa Fe 55,300 1,788,955
Cosco Pacific Ltd.
(Hong Kong) 296,000 394,603
Dial Corporation 20,500 583,635
FedEx Corporation 13,800 931,500
Fleetwood Enterprises, Inc. * 205,400 2,107,404
Florida East Coast
Industries 400 13,240
Guangshen Railway
Company Ltd. Sponsored
ADR (China) 41,800 606,936
Landstar System, Inc. * 46,796 1,780,120
Royal Caribbean
Cruises Ltd. 234,700 8,165,213
West Marine, Inc. * 39,200 1,090,152
--------------
21,843,321
--------------
Utilities--0.5%
AES Corporation * 83,500 788,240
Calpine Corporation * 113,900 547,859
Edison International * 218,800 4,798,284
Entergy Corporation 7,800 445,614
Ionics, Inc. * 112,300 3,576,755
PG&E Corporation * 168,000 4,665,360
TXU Corporation 7,600 180,272
--------------
15,002,384
--------------
TOTAL COMMON STOCKS
(Cost $2,467,098,109) 2,847,503,161
--------------
151
Schedule of Investments--(Continued)
December 31, 2003
- ----------------------------------------------------------------------
Vantagepoint
Growth Fund
Shares Value
- ----------------------------------------------------------------------
PREFERRED STOCKS--0.0%
- ----------------------------------------------------------------------
Automotive--0.0%
Porsche AG Preferred
(Germany) 600 $ 353,875
--------------
Media--Broadcasting & Publishing--0.0%
News Corporation Ltd.
Sponsored ADR
(Australia) 2,504 75,746
--------------
TOTAL PREFERRED STOCKS
(Cost $378,469) 429,621
--------------
- -------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------
CASH EQUIVALENTS--10.4%
- -------------------------------------------------------------
Institutional Money Market Funds--0.6%
Merrill Lynch Premier Institutional Fund
1.037% 01/02/2004 + $6,427,523 6,427,523
Merrimac Cash Fund-Premium Class
0.976% 01/02/2004 + 9,976,030 9,976,030
-----------
16,403,553
-----------
Bank & Certificate Deposits/
Offshore Time Deposits--5.8%
Bank of Montreal
1.060% 01/15/2004 + 3,077,831 3,077,831
Bank of Montreal
1.060% 02/17/2004 + 6,046,079 6,046,079
Bank of Nova Scotia
1.080% 03/03/2004 + 12,092,157 12,092,157
Citigroup, Inc.
1.090% 02/06/2004 + 16,626,716 16,626,716
Citigroup, Inc.
1.090% 03/04/2004 + 10,580,638 10,580,638
Compass Securitization
1.081% 01/22/2004 + 3,023,039 3,023,039
Credit Agricole Indosuez
1.080% 01/28/2004 + 3,023,039 3,023,039
Credit Agricole Indosuez
0.980% 01/02/2004 + 9,069,118 9,069,118
Delaware Funding Corporation
1.082% 01/07/2004 + 1,511,520 1,511,520
Den Danske Bank
1.080% 01/20/2004 + 6,046,079 6,046,079
Den Danske Bank
1.020% 01/30/2004 + 6,046,079 6,046,079
Falcon Asset Securitization Corporation
1.092% 01/08/2004 + 3,011,369 3,011,369
Falcon Asset Securitization Corporation
1.091% 01/13/2004 + 6,046,079 6,046,079
Fleet National Bank
1.000% 01/21/2004 + 6,046,079 6,046,079
General Electric Capital Corporation
1.092% 01/09/2004 + 4,232,255 4,232,255
General Electric Capital Corporation
1.092% 01/28/2004 + 7,557,598 7,557,598
General Electric Capital Corporation
1.082% 01/16/2004 + 3,023,039 3,023,039
Govco, Inc.
1.082% 01/28/2004 + 6,035,921 6,035,921
Greyhawk Funding
1.102% 02/09/2004 + 3,023,039 3,023,039
Greyhawk Funding
1.092% 02/13/2004 + 4,534,559 4,534,559
- ----------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ----------------------------------------------------------
Liberty Street
1.081% 01/20/2004 + $3,016,464 $ 3,016,464
Royal Bank of Canada
1.050% 02/27/2004 + 7,557,598 7,557,598
Royal Bank of Scotland
1.080% 01/09/2004 + 7,557,598 7,557,598
Royal Bank of Scotland
1.060% 04/02/2004 + 9,069,118 9,069,118
Sheffield Receivables Corporation
1.091% 01/06/2004 + 7,552,468 7,552,468
Sheffield Receivables Corporation
1.081% 01/28/2004 + 3,023,039 3,023,039
Southtrust Bank
1.090% 02/17/2004 + 3,023,039 3,023,039
Toronto Dominion Bank
1.100% 01/08/2004 + 7,557,598 7,557,598
------------
169,009,155
------------
Floating Rate Instruments/
Master Notes--4.0%
Bear Stearns & Company
1.135% 06/10/2004 + 3,023,039 3,023,039
Bear Stearns & Company
1.135% 09/08/2004 + 3,023,039 3,023,039
Credit Suisse First Boston Corporation
1.040% 01/02/2004 + 15,115,197 15,115,197
Goldman Sachs Group, Inc.
1.060% 01/05/2004 + 9,069,118 9,069,118
Goldman Sachs Group, Inc.
1.040% 01/02/2004 + 18,138,236 18,138,236
Goldman Sachs Group, Inc.
1.040% 01/30/2004 + 6,046,079 6,046,079
Golman Sachs Group, Inc.
0.955% 01/02/2004 + 15,115,197 15,115,197
Liberty Lighthouse Funding
1.138% 01/15/2004 + 3,023,039 3,023,039
Merrill Lynch & Company, Inc.
1.040% 01/02/2004 + 13,603,677 13,603,677
Morgan Stanley
1.080% 01/29/2004 + 6,952,990 6,952,990
Morgan Stanley
1.050% 06/14/2004 + 10,580,638 10,580,638
Morgan Stanley
1.050% 09/10/2004 + 7,557,598 7,557,598
Morgan Stanley
1.050% 06/21/2004 + 3,627,647 3,627,647
------------
114,875,494
------------
TOTAL CASH EQUIVALENTS
(Cost $300,288,202) 300,288,202
------------
152
Schedule of Investments--(Continued)
December 31, 2003
- ----------------------------------------------------------------------------------
Vantagepoint
Growth Fund
- ----------------------------------------------------------------------------------
Face Value
- ----------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--4.2%
- ----------------------------------------------------------------------------------
IBT Repurchase Agreement dated
12/31/2003 due 01/02/2004, with a
maturity value of $122,625,940
and an effective yield of 0.75%
collateralized by U.S. Government
Obligations with rates ranging
from 1.64% to 7.71%, maturity
dates ranging from 09/25/2022 to
12/25/2033 and an aggregate
market value of
$128,751,976. $122,038,461 $ 122,038,461
--------------
TOTAL INVESTMENTS&---112.9%
(Cost $2,889,803,241) 3,270,259,445
Other assets less liabilities--(12.9%) (374,618,678)
--------------
NET ASSETS--100.0% $2,895,640,767
==============
Notes to the Schedule of Investments:
ADR American Depositary Receipt
* Non-income producing security.
** 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 buyers. 144A securities represent 0.02%
of Total Investments.
+ Represents collateral received from securities lending transactions.
& Fund has Securities on loan. See Note 6.
See accompanying notes to financial statements 153
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund
Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS--97.3%
- --------------------------------------------------------------------------------
Advertising--0.8%
Asatsu-DK, Inc. (Japan) 51,400 $ 1,323,235
Catalina Marketing
Corporation * 162,000 3,265,920
Havas Advertising (France) [star] 414,527 2,382,288
STW Communications
Group Ltd. (Australia) 319,796 781,426
------------
7,752,869
------------
Aerospace & Defense--0.2%
Alliant Techsystems, Inc. *[star] 33,500 1,934,960
------------
Apparel Retailers--1.4%
Christopher & Banks
Corporation 270,000 5,273,100
Fielmann AG (Germany) [star] 51,501 2,374,936
The Finish Line, Inc.
Class A * 159,300 4,774,221
United Arrows (Japan) 18,000 785,748
------------
13,208,005
------------
Automotive--1.7%
Aftermarket Technology
Corporation * 81,200 1,114,064
Brembo SpA (Italy) 146,138 1,104,493
Group 1 Automotive, Inc. * 42,000 1,519,980
Keihin Corporation (Japan) 101,000 926,061
Lithia Motors, Inc. Class A 65,800 1,658,818
Oshkosh Truck Corporation 152,000 7,756,560
Standard Motor
Products, Inc. [star] 149,900 1,821,285
------------
15,901,261
------------
Banking--2.8%
77 Bank Ltd. (The) (Japan) [star] 414,000 2,332,394
Aichi Bank, Ltd. (The)
(Japan) 9,200 545,770
Banca Popolare di Milano
SCRL (Italy) 179,700 1,172,845
Bank of Piraeus (Greece) 130,000 1,582,501
Daegu Bank (South Korea) 155,000 750,608
First Community Bancorp 33,500 1,210,690
First Financial Corp. 2,600 78,026
First Republic Bank 40,400 1,446,320
FirstFed Financial
Corporation * 33,000 1,435,500
Franklin Bank Corp. * 9,600 182,400
Japan Securities Finance
Co (Japan) 185,000 971,505
Joyo Bank Ltd. (The)
(Japan) [star] 679,000 2,216,678
Kiyo Bank (The), Ltd.
(Japan) 57,000 97,295
KNBT Bancorp, Inc. * 41,800 734,844
Korea Exchange Bank
(South Korea) [star] 395,790 2,099,364
PFF Bancorp, Inc. 35,280 1,279,958
Pusan Bank (South Korea) 224,610 1,257,364
Seacoast Financial
Services Corporation 28,500 781,185
Shiga Bank (The), Ltd.
(Japan) [star] 433,000 1,991,130
Suruga Bank (The), Ltd.
(Japan) [star] 276,000 1,773,752
Tier One Corporation * 59,000 1,354,640
Tokyo Tomin Bank (The),
Ltd. (Japan) 60,800 1,042,918
------------
26,337,687
------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
Beverages, Food & Tobacco--2.1%
AWB, Ltd. (Australia) 280,363 $ 942,235
Bunge Ltd. [star] 52,400 1,725,008
CSM-CVA NV
(Netherlands) [star] 87,000 1,897,115
Carlsberg AS Class B
(Denmark) [star] 66,840 3,070,223
Coca-Cola West Japan Co.,
Ltd. (Japan) 55,200 1,081,242
Great Atlantic & Pacific
Tea Company
*[star] 214,000 1,797,600
Hokuto Corporation
(Japan) 20,300 261,300
House Foods Corporation
(Japan) 132,000 1,493,480
Kirin Beverage
Corporation (Japan)
[star] 141,000 2,550,126
Pilgrims Pride
Corporation, Class B [star] 128,500 2,098,405
Remy Cointreau SA
(France) [star] 84,600 2,766,107
------------
19,682,841
------------
Bio-Technology--0.5%
deCODE genetics, Inc. * 292,200 2,393,118
Exelixis, Inc. * 165,625 1,172,625
Kosan Biosciences, Inc. * 99,000 976,140
------------
4,541,883
------------
Building Materials--0.2%
Sumitomo Osaka Cement
Co., Ltd. (Japan) 568,000 1,112,583
Taiheiyo Cement
Corporation (Japan) 315,000 890,262
Takara Standard Co., Ltd.
(Japan) 39,000 201,893
------------
2,204,738
------------
Chemicals--1.5%
Cabot Microelectronics
Corporation * 48,600 2,381,400
Clariant AG (Switzerland) *[star] 152,930 2,251,511
Ferro Corporation [star] 73,500 1,999,935
Fujimi, Inc. (Japan) 16,400 503,274
Lonza Group AG
(Switzerland) [star] 38,786 2,224,657
Taiyo Ink Manufacturing
Company Ltd. (Japan) [star] 60,200 2,144,986
Tokyo Ohka Kogyo
Company Ltd. (Japan) [star] 125,800 2,229,456
------------
13,735,219
------------
Coal--0.2%
Arch Coal, Inc. 50,200 1,564,734
------------
Commercial Services--9.5%
ADVO, Inc. 52,500 1,667,400
Aggreko PLC (United
Kingdom) 437,300 1,204,240
BISYS Group, Inc. * 255,000 3,794,400
Bellsystem 24, Inc.
(Japan) [star] 10,950 2,236,778
Cegedim SA (France) 24,423 1,446,589
Cheil Communications, Inc.
(South Korea) 4,270 619,983
Exult, Inc. * 635,000 4,521,200
Incyte Corporation *[star] 295,700 2,022,588
Iron Mountain, Inc. *[star] 50,000 1,977,000
Jenoptik AG (Germany) 67,300 757,466
154
Schedule of Investments--(Continued)
December 31, 2003
- -------------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund
Shares Value
- -------------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------------------
JM AB (Sweden) 64,870 $ 954,434
Massey Energy Company [star] 91,700 1,907,360
Mobile Mini, Inc. * 166,000 3,273,520
NEC System Integration &
Construction Ltd. (Japan) 156,700 1,221,912
PHS Group PLC (United
Kingdom) 144,122 215,140
Randstad Holding NV
(Netherlands) 46,000 1,112,404
Regis Corporation [star] 47,800 1,889,056
Ritchie Brothers
Auctioneers, Inc. (Canada) 29,500 1,566,450
Securicor PLC (United
Kingdom) 940,145 1,596,118
SNT Group NV
(Netherlands) 45,247 677,114
SureBeam Corporation,
Class A * 337,400 72,541
Sylvan Learning
Systems, Inc. * 111,500 3,210,085
Symyx Technologies, Inc. * 129,000 2,650,950
Vivendi Universal SA
(France) *[star] 798,700 19,354,888
Vivendi Universal SA
ADR (France) * 300,300 7,291,284
Waste Connections, Inc. * 137,100 5,178,267
Waste Management, Inc. 557,000 16,487,200
------------
88,906,367
------------
Communications--0.5%
LG Telecom Ltd. (South
Korea) 282,910 863,095
Western Wireless
Corporation Class A * 100,000 1,836,000
XM Satelite Radio
Holdings *[star] 70,500 1,858,380
------------
4,557,475
------------
Computer Software & Processing--4.1%
Activision, Inc. * 63,500 1,155,700
Autodesk, Inc. 160,000 3,932,800
DigitalNet Holdings, Inc. * 62,600 1,220,700
Ines Corporation (Japan) 128,700 1,171,637
Informatica Corporation * 265,000 2,729,500
Internet Security
Systems, Inc. * 150,000 2,824,500
Intralot SA (Greece) 55,500 1,079,016
Jack Henry & Associates,
Inc. 125,000 2,572,500
Kronos, Inc. * 110,000 4,357,100
Magma Design
Automation, Inc. * 160,500 3,746,070
Matrix One, Inc. * 275,000 1,694,000
MSC.Software
Corporation * 109,000 1,030,050
MYOB, Ltd. (Australia) 88,871 73,499
Nassda Corporation * 125,000 906,250
Open Solutions, Inc. * 8,600 151,102
RSA Security, Inc. * 110,000 1,562,000
Skillsoft PLC ADR
(Ireland) * 275,000 2,378,750
Sycamore Networks, Inc. * 228,600 1,197,864
THQ, Inc. * 81,500 1,378,165
Tier Technologies, Inc.
Class B * 80,680 659,156
Tietoenator Oyj (Finland) 32,825 895,756
Websense, Inc. * 55,900 1,634,516
------------
38,350,631
------------
- -------------------------------------------------------------------------------------
Shares Value
- -------------------------------------------------------------------------------------
Computers & Information--0.8%
DigitalThink, Inc. * 325,000 $ 913,250
Equant NV (Netherlands) * 164,200 1,519,764
Iomega Corporation [star] 292,500 1,749,150
Scansoft, Inc. * 281,700 1,498,644
SimpleTech, Inc. *[star] 345,000 2,073,450
------------
7,754,258
------------
Construction--0.2%
PanaHome Corporation
(Japan) 273,000 1,441,265
------------
Cosmetics & Personal Care--0.5%
1-800 Contacts, Inc. * 70,800 1,486,800
Kose Corporation (Japan) [star] 49,000 1,764,201
Milbon Company Ltd.
(Japan) 45,200 1,203,675
------------
4,454,676
------------
Diversified--1.0%
Armor Holdings, Inc. * 60,000 1,578,600
FEI Company * 52,500 1,181,250
MAXIMUS, Inc.
* 41,000 1,604,330
Yankee Candle Company,
Inc. (The)
* 180,500 4,933,065
------------
9,297,245
------------
Education--1.9%
Apollo Group, Inc.
Class A * 150,000 10,200,000
Education Management
Corporation
* 250,000 7,760,000
------------
17,960,000
------------
Electric Utilities--0.1%
PNM Resources, Inc. 42,000 1,180,200
------------
Electrical Equipment--0.3%
Alpine Electronics, Inc.
(Japan) 88,000 1,183,621
Entegris, Inc. * 87,500 1,124,375
------------
2,307,996
------------
Electronics--3.2%
Adaptec, Inc. *[star] 200,500 1,770,415
Aixtron AG (Germany) 117,256 697,463
AMIS Holdings, Inc. * 181,800 3,323,304
ATMI, Inc. * 110,000 2,545,400
EDO Corporation [star] 77,500 1,910,375
Elmos Semiconductor
(Germany) 73,300 1,143,012
International Rectifier
Corporation * 21,000 1,037,610
Invision Technologies,
Inc. *[star] 51,500 1,728,855
Itron, Inc. *[star] 100,500 1,845,180
Monolithic System
Technology * 197,100 1,685,205
Mykrolis Corporation * 180,000 2,894,400
Osi Systems, Inc. * 61,400 1,179,494
Rudolph Technologies,
Inc. * 51,200 1,256,448
Semtech Corporation * 242,500 5,512,025
Tessera Technologies, Inc. * 93,000 1,749,330
------------
30,278,516
------------
155
Schedule of Investments--(Continued)
December 31, 2003
- ----------------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund
Shares Value
- ----------------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------------------------
Entertainment & Leisure--3.5%
Alliance Gaming
Corporation * 200,000 $ 4,930,000
Avex, Inc. (Japan) 51,000 929,997
EMI Group PLC (United
Kingdom) [star] 1,001,600 2,834,087
Kadokawa Holdings, Inc.
(Japan) 54,800 1,461,879
Multimedia Games, Inc. * 108,200 4,447,020
The Walt Disney Company 798,000 18,617,340
------------
33,220,323
------------
Financial Services--2.2%
American Home
Mortgage Investment
Corp. REIT [star] 80,000 1,800,800
Certegy, Inc. 165,000 5,412,000
Dundee Wealth
Management, Inc.
(Canada) 122,900 764,741
First Marblehead
Corporation (The) * 100,500 2,198,940
GMP Capital Corp.
(Canada) 26,648 343,579
GMP Capital Corp.
(Canada) 36,800 474,472
Grupo Financiero
Banorte SA de CV
Class O (Mexico) 230,600 800,392
Net.B@nk, Inc. 125,800 1,679,430
One Liberty Properties, Inc. 68,800 1,372,560
Value Line, Inc. 19,000 948,100
Waddell & Reed Financial,
Inc. Class A 205,000 4,809,300
------------
20,604,314
------------
Food Retailers--0.1%
Lindt & Spruengli AG
(Switzerland) 1,280 1,063,569
------------
Forest Products & Paper--0.4%
Kimberly Clark de
Mexico SA de CV
Class A (Mexico) 575,000 1,473,801
Universal Forest
Products, Inc. [star] 64,000 2,059,520
------------
3,533,321
------------
Health Care Providers--2.5%
AmSurg Corporation * 37,300 1,413,297
Community Health
Systems, Inc. * 100,000 2,658,000
Coventry Health Care, Inc. * 132,500 8,544,925
DaVita, Inc. * 200,000 7,800,000
MedCath Corporation * 141,500 1,480,090
Rotech Healthcare, Inc. * 55,000 1,256,750
------------
23,153,062
------------
Heavy Construction--0.7%
Aktor S.A. Technical
Company (Greece) [star] 295,500 1,939,783
Horizon Offshore, Inc. * 262,000 1,152,800
M/I Schottenstein
Homes, Inc. 41,200 1,608,860
NCC AB Class B (Sweden) 98,700 760,337
WCI Communities, Inc. * 71,000 1,463,310
------------
6,925,090
------------
- ----------------------------------------------------------------------------------------
Shares Value
- ----------------------------------------------------------------------------------------
Heavy Machinery--2.6%
Actuant Corporation
Class A * 308,500 $ 11,167,700
AGCO Corporation *[star] 88,300 1,778,362
Asyst Technologies, Inc. * 97,500 1,691,625
Chicago Bridge & Iron
Company NV NY
Shares (Netherlands) [star] 60,900 1,760,010
FMC Technologies, Inc. * 155,000 3,611,500
Komori Corporation
(Japan) [star] 158,000 2,338,830
Okumura Corporation
(Japan) 250,000 1,063,334
Terex Corporation
* 45,000 1,281,600
------------
24,692,961
------------
Home Construction, Furnishings &
Appliances--1.1%
Parkervision, Inc. * 116,200 1,137,598
Ryland Group, Inc. (The) 45,000 3,988,800
Standard-Pacific
Corporation 33,000 1,602,150
Toll Brothers, Inc. * 100,000 3,976,000
------------
10,704,548
------------
Insurance--10.4%
Aon Corporation 825,100 19,752,894
April Group (France) 68,195 1,217,772
Baloise Holding, Ltd.--
Class R (Switzerland) 36,654 1,527,250
Fairfax Financial Holdings
Ltd. (Canada) 116,410 20,314,709
HCC Insurance Holdings, Inc. 41,000 1,303,800
Infinity Property & Casualty
Corp. 34,000 1,123,700
Kansas City Life Insurance
Company 22,800 1,053,360
Millea Holdings, Inc.
(Japan) [star] 1,820 23,766,440
Nipponkoa Insurance
Company Ltd. (Japan) [star] 4,027,000 22,274,144
Platinum Underwriters
Holdings Ltd. (Bermuda) 44,600 1,338,000
Pohjola Group PLC,
Series D (Finland) 54,100 1,442,309
Scottish Annuity & Life
Holdings (Bermuda) 140,000 2,909,200
------------
98,023,578
------------
Lodging--2.7%
Hilton Hotels Corporation 1,165,000 19,956,450
Station Casinos, Inc. 162,500 4,977,375
------------
24,933,825
------------
Media--Broadcasting & Publishing--11.7%
Caltagirone Editore SpA
(Italy) 174,300 1,505,842
Comcast Corporation
Special Class A * 509,000 15,921,520
Eniro AB (Sweden) [star] 211,610 2,026,662
Entercom
Communications
Corporation * 90,000 4,766,400
Hughes Electronics
Corporation * 1,022,434 16,921,283
Lin TV Corporation
Class A * 64,000 1,651,840
News Corporation Ltd.
(Australia) 928,000 8,365,624
156
Schedule of Investments--(Continued)
December 31, 2003
- -----------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund
Shares Value
- -----------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------------------------
News Corporation Ltd.
ADR (Australia) 274,000 $ 9,891,400
Nexstar Broadcasting
Group, Inc. Class A * 122,500 1,679,475
NRJ Group (France) [star] 154,200 3,277,150
Radio One, Inc. * 170,000 3,281,000
Shaw Communications,
Inc. Class B (Canada) [star] 1,203,400 18,676,768
SKY Perfect
Communications, Inc.
(Japan) [star] 13,569 15,947,150
Spanish Broadcasting
System, Inc. * 370,000 3,885,000
Telefonica Publicidade
Informacion SA (Spain) [star] 311,900 1,706,200
------------
109,503,314
------------
Medical Equipment & Supplies--1.1%
Applera Corporation--
Celera Genomics Group * 120,600 1,677,546
Bio-Rad Laboratories, Inc.
Class A *[star] 31,100 1,793,537
Biosite, Inc. *[star] 91,500 2,648,925
Conmed Corporation *[star] 78,000 1,856,400
PolyMedica Corporation [star] 89,400 2,352,114
------------
10,328,522
------------
Medical Supplies--0.2%
Hitachi Medical
Corporation (Japan) 86,000 1,090,943
Mayne Group Ltd.
(Australia) 312,102 764,972
------------
1,855,915
------------
Metals--0.1%
Wheeling-Pittsburgh
Corp. * 46,400 1,132,160
------------
Metals & Mining--0.8%
Roper Industries, Inc. 96,000 4,728,960
Shaw Group, Inc. * 61,400 836,268
Steel Dynamics, Inc. *[star] 79,700 1,872,153
------------
7,437,381
------------
Oil & Gas--2.6%
Cabot Oil & Gas
Corporation 47,500 1,394,125
Cal Dive
International, Inc. * 59,500 1,434,545
China Oilfield Services,
Ltd. (China) [star] 5,078,000 1,798,680
Denbury Resources, Inc. * 123,000 1,710,930
Encore Acquisition
Company * 45,900 1,131,435
Forrest Oil Corporation * 49,500 1,414,215
Helmerich & Payne, Inc. 57,500 1,605,975
Key Energy Services, Inc. * 160,000 1,649,600
National-Oilwell, Inc. * 125,000 2,795,000
Nuevo Energy Company * 64,400 1,556,548
Oil Search Ltd. (Australia) 918,100 704,079
Penn Virginia Corporation 28,500 1,586,025
Quicksilver
Resources, Inc. * 38,300 1,237,090
Ugi Corporation 45,000 1,525,500
Vintage Petroleum, Inc. 97,900 1,177,737
W-H Energy Services, Inc. * 112,500 1,822,500
------------
24,543,984
------------
- -----------------------------------------------------------------------------------
Shares Value
- -----------------------------------------------------------------------------------
Pharmaceuticals--6.7%
Abgenix, Inc. *[star] 148,500 $ 1,850,310
Alkermes, Inc. * 101,000 1,363,500
Bachem AG Class B
(Switzerland) [star] 34,680 1,775,126
Cambridge Antibody
Technology Group
(United Kingdom) 157,900 1,325,587
Cephalon, Inc. * 60,000 2,904,600
Cubist Pharmaceuticals,
Inc. * 212,600 2,585,216
CV Therapeutics, Inc. *[star] 160,000 2,345,600
Encysive
Pharmaceuticals, Inc. *[star] 322,800 2,889,060
Henry Schein, Inc.
* 170,000 11,488,600
Human Genome
Sciences, Inc.
* 98,000 1,298,500
Kobayashi Pharmaceutical
Co., Ltd. (Japan) 28,000 680,347
Medicines Company * 78,300 2,306,718
NBTY, Inc. * 61,000 1,638,460
Neurocrine Biosciences,
Inc. * 82,500 4,499,550
Nippon Shinyaku
Company Ltd. (Japan) [star] 339,000 1,957,289
Omnicare, Inc. 290,000 11,713,100
Onyx Pharmaceuticals,
Inc. * 85,000 2,399,550
Orion-Yhtyma Oyj Class B
(Finland) 52,200 1,117,263
OSI Pharmaceuticals, Inc. * 27,900 898,659
Regeneron
Pharmaceuticals, Inc. * 61,500 904,665
Tanabe Seiyaju Co Ltd.
(Japan) [star] 220,000 1,785,281
Towa Pharmaceutical
Company Ltd. (Japan) 72,000 1,591,643
XOMA Ltd. * 222,700 1,469,820
------------
62,788,444
------------
Real Estate--2.2%
Acadia Realty Trust REIT 82,600 1,032,500
Keppel Land Ltd.
(Singapore) 1,269,000 1,180,604
Maguire Properties, Inc.
REIT 53,100 1,290,330
MFA Mortgage
Investments, Inc. 119,500 1,165,125
Regency Centers
Corporation REIT 23,900 952,415
Shurgard Storage Centers
Class A REIT 33,000 1,242,450
Trizec Canada, Inc.
(Canada) 993,000 13,683,540
------------
20,546,964
------------
Restaurants--1.1%
AFC Enterprises, Inc. *[star] 94,000 1,825,950
CEC Entertainment, Inc. * 71,500 3,388,385
Ruby Tuesday, Inc. 182,500 5,199,425
------------
10,413,760
------------
Retailers--5.9%
A.C. Moore Arts &
Crafts, Inc. * 155,100 2,987,226
Amplifon SpA (Italy) 28,819 817,242
AnnTaylor Stores
Corporation * 125,000 4,875,000
157
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund
Shares Value
- --------------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------------------
C&S Company Ltd. (Japan) 54,800 $ 991,624
Charming Shoppes, Inc. * 226,500 1,223,100
Duane Reade, Inc. * 109,800 1,857,816
Electronics Boutique
Holdings Corporation * 70,500 1,613,745
Familymart Company Ltd.
(Japan) [star] 97,300 2,214,458
GameStop Corporation * 104,500 1,610,345
Germanos SA (Greece) 24,700 616,260
HMV Group PLC (United
Kingdom) 496,706 1,478,499
Kesa Electricals PLC (United
Kingdom) 354,000 1,623,169
Koninklijke Vendex
KBB-CVA NV (Holland
*Jas) 114,000 1,584,136
O'Reilly Automotive, Inc. * 227,500 8,726,900
Otsuka Kagu Ltd. (Japan) [star] 59,400 1,839,455
School Specialty, Inc. * 193,000 6,563,930
SCP Pool Corporation * 32,750 1,070,270
The Warehouse Group Ltd.
(New Zealand) 357,859 1,199,750
Tsuruha Company Ltd.
(Japan) [star] 120,800 2,206,197
Tuesday Morning
Corporation * 225,000 6,806,250
Tweeter Home
Entertainment Group,
Inc. * 177,800 1,680,210
Xebio Company Ltd.
(Japan) 67,500 1,511,053
------------
55,096,635
------------
Telecommunications--2.7%
MRV Communications, Inc. * 367,030 1,380,033
MobileOne (Asia) Ltd.
(Singapore) [star] 2,477,000 2,187,776
Nippon Telegraph &
Telephone Corporation
(Japan) [star] 4,058 19,568,939
REMEC, Inc. * 128,000 1,076,480
STET Hellas
Telecommunications SA
ADR (Greece) 92,300 1,199,808
------------
25,413,036
------------
Telephone Systems--1.1%
Nextel Partners, Inc.
Class A * 459,500 6,180,275
NII Holdings, Inc. Class B * 60,000 4,477,800
------------
10,658,075
------------
Textiles, Clothing & Fabrics--0.7%
Genesco, Inc. * 107,500 1,626,475
Gildan Activewear, Inc.
(Canada) * 17,000 524,960
Nagaileben Company Ltd.
(Japan) 32,000 864,099
Timberland Company
(The) * 30,700 1,598,549
Tod's SpA (Italy) [star] 46,700 2,026,102
------------
6,640,185
------------
- --------------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------------
Transportation--0.7%
Adsteam Marine, Ltd.
(Australia) 718,228 $ 896,400
Beijing Capital
International Airport
Company Ltd. (China) 3,388,000 1,156,426
FirstGroup PLC (United
Kingdom) [star] 376,000 1,832,949
SembCorp Logistics, Ltd.
(Singapore) 1,124,000 1,323,677
USF Corporation [star] 51,500 1,760,785
------------
6,970,237
------------
TOTAL COMMON STOCKS
(Cost $685,746,557) 913,536,029
------------
- --------------------------------------------------------------------------------------
PREFERRED STOCKS--0.4%
- --------------------------------------------------------------------------------------
Media--Broadcasting & Publishing--0.4%
News Corporation Ltd.
Sponsored ADR
(Australia)
(Cost $3,304,888) 114,356 3,459,269
------------
- -----------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -----------------------------------------------------------
COMMERCIAL PAPER--0.5%
- -----------------------------------------------------------
Banking--0.1%
Ciesco LLC
1.070% 02/06/2004 $1,000,000 998,930
----------
Financial Services--0.4%
Alpine Securitization Corp.
1.130% 01/15/2004 1,000,000 999,561
Alpine Securitization Corp.
1.100% 01/06/2004 1,000,000 999,847
Atlantic Asset Securities Corp.
1.120% 01/16/2004 1,000,000 999,533
Yorktown Capital LLC
1.090% 01/05/2004 1,000,000 999,879
----------
3,998,820
----------
TOTAL COMMERCIAL PAPER
(Cost $4,997,750) 4,997,750
----------
- -----------------------------------------------------------
CASH EQUIVALENTS--19.8%
- -----------------------------------------------------------
Institutional Money Market Funds--1.1%
Merrill Lynch Premier Institutional Fund
1.037% 01/02/2004 + 3,976,370 3,976,370
Merrimac Cash Fund-Premium Class
0.976% 01/02/2004 + 6,171,645 6,171,645
----------
10,148,015
----------
Bank & Certificate Deposits/
Offshore Time Deposits--11.1%
Bank of Montreal
1.060% 01/15/2004 + 1,904,090 1,904,090
Bank of Montreal
1.060% 02/17/2004 + 3,740,391 3,740,391
Bank of Nova Scotia
1.080% 03/03/2004 + 7,480,782 7,480,782
Citigroup, Inc.
1.090% 02/06/2004 + 10,286,075 10,286,075
Citigroup, Inc.
1.090% 03/04/2004 + 6,545,684 6,545,684
158
Schedule of Investments--(Continued)
December 31, 2003
- -------------------------------------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund
- -------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------------------------------------------
CASH EQUIVALENTS--(Continued)
- -------------------------------------------------------------------------------------------------
Compass Securitization
1.081% 01/22/2004 + $1,870,196 $ 1,870,196
Credit Agricole Indosuez
1.080% 01/28/2004 + 1,870,195 1,870,195
Credit Agricole Indosuez
0.980% 01/02/2004 + 5,610,586 5,610,586
Delaware Funding Corporation
1.082% 01/07/2004 + 935,098 935,098
Den Danske Bank
1.080% 01/20/2004 + 3,740,391 3,740,391
Den Danske Bank
1.020% 01/30/2004 + 3,740,391 3,740,391
Falcon Asset Securitization Corporation
1.092% 01/08/2004 + 1,862,976 1,862,976
Falcon Asset Securitization Corporation
1.091% 01/13/2004 + 3,740,391 3,740,391
Fleet National Bank
1.000% 01/21/2004 + 3,740,391 3,740,391
General Electric Capital Corporation
1.092% 01/09/2004 + 2,618,274 2,618,274
General Electric Capital Corporation
1.092% 01/28/2004 + 4,675,489 4,675,489
General Electric Capital Corporation
1.082% 01/16/2004 + 1,870,195 1,870,195
Govco, Inc.
1.082% 01/28/2004 + 3,734,107 3,734,107
Greyhawk Funding
1.102% 02/09/2004 + 1,870,195 1,870,195
Greyhawk Funding
1.092% 02/13/2004 + 2,805,293 2,805,293
Liberty Street
1.081% 01/20/2004 + 1,866,128 1,866,128
Royal Bank of Canada
1.050% 02/27/2004 + 4,675,489 4,675,489
Royal Bank of Scotland
1.080% 01/09/2004 + 4,675,489 4,675,489
Royal Bank of Scotland
1.060% 04/02/2004 + 5,610,586 5,610,586
Sheffield Receivables Corporation
1.091% 01/06/2004 + 4,672,315 4,672,315
Sheffield Receivables Corporation
1.081% 01/28/2004 + 1,870,195 1,870,195
Southtrust Bank
1.090% 02/17/2004 + 1,870,195 1,870,195
Toronto Dominion Bank
1.100% 01/08/2004 + 4,675,489 4,675,489
--------------
104,557,076
--------------
Floating Rate Instruments/Master Notes--7.6%
Bear Stearns & Company
1.135% 06/10/2004 + 1,870,195 1,870,195
Bear Stearns & Company
1.135% 09/08/2004 + 1,870,195 1,870,195
Credit Suisse First Boston Corporation
1.040% 01/02/2004 + 9,350,977 9,350,977
Goldman Sachs Group, Inc.
1.060% 01/05/2004 + 5,610,586 5,610,586
Goldman Sachs Group, Inc.
1.040% 01/02/2004 + 11,221,173 11,221,173
Goldman Sachs Group, Inc.
1.040% 01/30/2004 + 3,740,391 3,740,391
Golman Sachs Group, Inc.
0.955% 01/02/2004 + 9,350,977 9,350,977
- -------------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------------------------------------------
Liberty Lighthouse Funding
1.138% 01/15/2004 + $1,870,195 $ 1,870,195
Merrill Lynch & Company, Inc.
1.040% 01/02/2004 + 8,415,880 8,415,880
Morgan Stanley
1.080% 01/29/2004 + 4,301,450 4,301,450
Morgan Stanley
1.050% 06/14/2004 + 6,545,684 6,545,684
Morgan Stanley
1.050% 09/10/2004 + 4,675,489 4,675,489
Morgan Stanley
1.050% 06/21/2004 + 2,244,235 2,244,235
--------------
71,067,427
--------------
TOTAL CASH EQUIVALENTS
(Cost $185,772,518)
185,772,518
--------------
- -------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--4.0%
- -------------------------------------------------------------------------------------------------
IBT Repurchase Agreement dated
12/31/2003 due 01/02/2004, with a
maturity value of $37,575,352 and
an effective yield of 0.75%
collateralized by U.S. Government
Obligations with rates ranging
from 4.38% to 5.45%, maturity
dates ranging from 02/25/2022 to
09/01/2032 and a total market
value of $39,452,486.
37,573,786 37,573,786
--------------
TOTAL INVESTMENTS&---122.0%
(Cost $917,395,499)
1,145,339,352
Other assets less liabilities--(22.0%) (206,548,159)
--------------
NET ASSETS--100.0%
$ 938,791,193
==============
Notes to the Schedule of Investments:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
* Non-income producing security.
[star] Security has been pledged as collateral for forward foreign currency
exchange contracts.
+ Represents collateral received from securities lending transactions.
& Fund has Securities on loan. See Note 6.
See accompanying notes to financial statements 159
Schedule of Investments
December 31, 2003
- ----------------------------------------------------------------------
Vantagepoint
International Fund
Shares Value
- ----------------------------------------------------------------------
COMMON STOCKS--94.6%
- ----------------------------------------------------------------------
Australia--1.5%
Amcor, Ltd. 47,600 $ 295,609
Australia & New Zealand
Banking Group Ltd. 74,220 986,585
BHP Finance Ltd. 33,566 307,634
Brambles Industries Ltd. 57,300 227,468
Commonwealth Bank of
Australia 66,600 1,474,656
Foster's Brewing Group Ltd. 263,163 890,366
National Australia Bank Ltd. 33,700 758,853
News Corporation Ltd. 39,828 359,037
QBE Insurance Group Ltd. 65,460 521,691
Wesfarmers Ltd. 27,300 543,721
WMC Resources Ltd. * 112,800 477,473
Woolworths Ltd. 45,336 402,213
------------
7,245,306
------------
Belgium--2.0%
Fortis 286,630 5,756,411
Interbrew 141,700 3,770,603
------------
9,527,014
------------
Brazil--0.7%
Banco Bradesco SA,
Sponsored ADR 300 7,923
Companhia Vale do Rio
Doce ADR 7,407 433,309
Companhia Vale do Rio
Doce Sponsored ADR 17,000 875,670
Petroleo Brasileiro SA 24,300 710,532
Telesp Celular Partcipacoes
SA ADR 220,600 1,451,548
------------
3,478,982
------------
Canada--3.5%
Abitibi-Consolidated, Inc. 81,500 653,285
Alcan Aluminum Ltd. 13,200 618,013
BCE, Inc. 46,000 1,027,595
Bombardier, Inc. Class B 376,100 1,590,220
CanWest Global
Communications
Corporation * 99,700 1,067,361
Corus Entertainment, Inc.
Class B 68,700 1,460,346
EnCana Corporation 104,800 4,131,406
Great-West Lifeco, Inc. 13,700 481,835
Inco Ltd. (foreign shares) * 15,400 614,833
National Bank of Canada 12,000 400,155
Placer Dome, Inc. 24,700 442,374
Suncor Energy, Inc. 21,400 537,605
Telus Corporation Non-voting
Shares 34,800 650,970
Thomson Corporation 72,700 2,645,680
------------
16,321,678
------------
China--0.0%
China Life Insurance Co.,
Ltd. ADR 3,500 115,395
------------
Czech Republic--0.2%
Cesky Telecom AS 88,600 1,004,678
------------
- ----------------------------------------------------------------------
Shares Value
- ----------------------------------------------------------------------
Denmark--0.7%
A P Moller-Maersk A/S 104 $ 748,182
Novo Nordisk A/S 59,020 2,397,060
Tele Danmark A/S 4,000 143,881
------------
3,289,123
------------
Finland--0.5%
Nokia OYJ 100,200 1,727,549
UPM-Kymmene OYJ 35,600 676,904
------------
2,404,453
------------
France--8.3%
Accor SA 22,500 1,015,786
BNP Paribas SA 63,600 3,992,611
Bouygues SA 49,800 1,735,992
Carrefour Supermarche SA 78,880 4,316,990
Credit Agricole SA 15,600 371,365
Essilor International SA 14,800 763,081
France Telecom SA * 43,000 1,225,332
Groupe Danone 9,400 1,529,634
JC Decaux SA
* 196,400 3,200,897
L'Air Liquide SA 8,387 1,476,590
L'Oreal SA 12,400 1,013,585
M6-Metropole Television 29,700 971,827
Renault SA 24,500 1,685,306
Rhodia SA 164,500 734,378
Sanofi-Synthelabo SA 139,538 10,475,918
Schneider Electric SA 14,100 920,263
Societe Generale Class A 5,400 475,354
Total SA 5,300 982,423
Vivendi Universal SA * 89,900 2,178,546
------------
39,065,878
------------
Germany--8.9%
Allianz AG 92,702 11,663,569
Bayerische Motoren
Werke AG 14,500 666,470
DaimlerChrysler AG 49,500 2,290,753
Deutsche Bank AG 20,600 1,647,592
Deutsche Boerse AG 62,231 3,404,249
Deutsche Telekom AG * 257,200 4,618,750
Epcos AG * 6,071 135,514
Hypo Real Estate Holding * 15,252 376,890
Infineon Technologies AG * 28,600 387,713
Infineon Technologies AG
ADR * 5,900 80,889
Linde AG 70,700 3,760,842
Metro AG 9,200 404,931
Muenchener
Rueckversicherungs-
Gesellschaft AG 73,525 8,797,699
SAP AG 9,000 1,514,342
SAP AG ADR 1,400 58,184
Siemens AG 26,100 2,085,842
------------
41,894,229
------------
Hong Kong--1.8%
Cheung Kong (Holdings) Ltd. 82,000 652,198
China Mobile Ltd. 227,700 699,487
Citic Pacific, Ltd. 292,200 745,202
CNOOC Ltd. 711,100 1,392,203
Hang Lung Properties Ltd. 571,000 731,792
Hang Seng Bank Ltd. 34,800 457,202
Hong Kong & China Gas 345,900 527,956
Hongkong Land Holdings, Ltd. 281,000 477,700
Hutchison Whampoa Ltd. 53,100 391,560
160
Schedule of Investments--(Continued)
December 31, 2003
- ---------------------------------------------------------------------------
Vantagepoint
International Fund
Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
Johnson Electric
Holdings Ltd. 410,000 $ 522,814
Li & Fung Ltd. 578,000 990,166
Sun Hung Kai
Properties Ltd. 43,000 355,852
Swire Pacific Ltd. Class A 68,400 422,007
-----------
8,366,139
-----------
Hungary--0.0%
Matav Rt 33,000 124,433
Matav Rt Sponsored ADR 400 7,484
-----------
131,917
-----------
Ireland--0.2%
CRH PLC 36,021 736,096
-----------
Italy--0.5%
Assicurazioni Generali 8,900 235,036
ENI SpA 62,600 1,177,691
Telecom Italia-RNC SpA * 141,937 288,266
Unicredito Italiano SpA 76,700 412,823
-----------
2,113,816
-----------
Japan--16.0%
Acom Company Ltd. 9,400 426,117
Advantest Corporation 9,000 713,553
Aeon Company Ltd. 61,400 2,056,021
Aiful Corporation 6,400 468,016
Canon, Inc. 17,000 791,251
Chugai Pharmaceutical
Company Ltd. 29,800 428,335
Credit Saison Company Ltd. 24,400 550,770
Dai Nippon Printing
Company Ltd. 23,000 322,871
Daiwa House Industry Co Ltd. 43,000 457,233
Daiwa Securities Company
Ltd. 55,000 373,986
East Japan Railway Company 370 1,742,841
Fanuc Ltd. 15,500 928,178
Fuji Fire & Marine Insurance 26,500 72,670
Fuji Television Network, Inc. 103 557,224
Hirose Electronics Company
Ltd. 8,900 1,021,080
Honda Motor Company Ltd. 145,600 6,464,472
Hoya Corporation 9,400 862,755
Japan Airlines System
Corporation 482,000 1,272,325
Japan Telecom Holdings
Company Ltd. 749 2,005,065
Japan Tobacco, Inc. 284 2,079,470
Kansai Electric Power
Company (The) 54,100 947,671
Keyence Corporation 4,000 842,832
Konica Corp. 24,000 322,582
Millea Holdings, Inc. 79 1,031,620
Mitsubishi Corporation 101,000 1,070,199
Mitsubishi Estate Company
Ltd. 158,000 1,497,323
Mitsubishi Heavy Industries
Ltd. 124,000 344,669
Mitsubishi Motor
Corporation * 102,000 208,357
Mitsubishi Tokyo Financial 54 421,080
Mitsui Fudosan Company Ltd. 79,000 713,292
Mitsui Sumitomo Insurance
Company Ltd. 165,420 1,357,799
Murata Manufacturing
Company Ltd. 12,200 658,875
- ---------------------------------------------------------------------------
Shares Value
- ---------------------------------------------------------------------------
NEC Corporation [star] 369,000 $ 2,715,614
Nidec Corporation 7,100 677,483
Nikko Cordial Corporation 879,500 4,897,505
Nikon Corporation * 47,000 708,441
Nintendo Company Ltd. 7,200 671,579
Nippon Broadcasting System 2,200 102,397
Nippon Steel Corp. 296,000 635,015
Nippon Telegraph &
Telephone Corporation 255 1,229,689
Nippon Television Network 500 74,293
Nissan Motor Company Ltd. 175,000 1,997,948
Nitto Denko Corporation 21,700 1,153,717
Nomura Holdings, Inc. 89,900 1,530,338
Orix Corporation 14,600 1,206,566
Promise Company Ltd. 48,100 2,095,206
Ricoh Co. Ltd. 27,000 532,646
Rohm Company Ltd. 12,700 1,487,846
Sankyo Company Ltd. 48,000 902,155
Sekisui House Ltd. 101,000 1,042,878
Shimamura Company Ltd. 4,200 285,197
Shin-Etsu Chemical Company
Ltd. 12,900 527,022
Shionogi & Company Ltd. 48,000 893,648
SMC Corporation 9,700 1,206,958
Sony Corporation 20,800 719,784
Sumitomo Chemical Co Ltd. 174,000 717,358
Sumitomo Mitsui Financial
Group, Inc. 174 926,723
Sumitomo Trust & Banking
Company Ltd. 157,900 927,871
Suzuki Motor Corporation 99,000 1,464,546
Tokyo Broadcasting System 37,600 598,668
Tokyo Electronics Ltd. [star] 32,600 2,475,180
Tokyu Corporation 152,200 780,804
Toray Industries, Inc. 137,000 572,484
Tostem Inax Holding
Corporation 16,000 308,926
Toyota Motor Credit
Corporation 36,100 1,218,935
UFJ Holdings, Inc. * 180 864,658
Uni-Charm Corporation 5,400 265,442
Yahoo Japan Corporation * 68 913,348
Yamanouchi Pharmaceutical
Company Ltd. 37,100 1,152,346
Yamato Transport Company
Ltd. 68,000 800,448
Yasuda Fire & Marine
Insurance Co. Ltd. 39,700 326,235
Yokohama Bank Ltd. 120,100 557,875
-----------
75,176,304
-----------
Luxembourg--0.3%
RTL Group 16,300 961,154
Societe Europeenne des
Satellites 45,200 454,730
-----------
1,415,884
-----------
Mexico--1.9%
America Movil SA de
CV ADR 29,700 811,998
Grupo Modelo SA de CV,
Class C 407,200 974,852
Grupo Televisa SA ADR 69,300 2,762,298
Telefonos de Mexico
SA ADR 76,992 2,543,046
Wal-Mart de Mexico
SA de CV Series V 674,300 1,922,156
-----------
9,014,350
-----------
161
Schedule of Investments--(Continued)
December 31, 2003
- ---------------------------------------------------------------------------
Vantagepoint
International Fund
Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
Netherlands--6.1%
ABN AMRO Holding NV 134,371 $ 3,134,547
ASM Lithography
Holdings NV * 226,914 4,485,792
ASM Lithography
Holdings NV * 22,500 451,125
Aegon NV 202,839 2,992,091
Elsevier NV 11,800 146,165
Heineken Holding NV Class A 20,675 705,376
Heineken NV 63,400 2,407,009
ING Groep NV 69,522 1,616,532
KPN NV * 336,400 2,589,004
Koninklijke (Royal) Philips
Electronics NV 16,000 465,796
Koninklijke Numico NV CVA * 9,200 253,487
Royal Dutch Petroleum
Company 113,200 5,950,425
Royal Dutch Petroleum
Company NY Shares 8,400 440,076
STMicroelectronics NV 36,770 994,162
TNT Post Group NV 17,200 401,666
Unilever NV CVA 6,100 397,744
VNU NV 21,191 667,551
Wolters Kluwer NV 51,747 806,923
-----------
28,905,471
-----------
New Zealand--0.0%
Telecom Corporation of New
Zealand Ltd. 295 1,037
-----------
Norway--1.2%
DNB NOR ASA 56,900 378,317
Norsk Hydro ASA 33,100 2,034,704
Norske Skogindustrier ASA 16,500 313,796
Statoil ASA 104,400 1,168,616
Telenor ASA 291,900 1,901,444
-----------
5,796,877
-----------
Russia--0.4%
OAO Lukoil Holding ADR 16,300 1,515,900
OAO Gazprom Sponsored
ADR Regulation S ** 1,800 47,250
YUKOS ADR 6,900 293,940
-----------
1,857,090
-----------
Singapore--1.3%
DBS Group Holdings Ltd. 283,100 2,450,433
DBS Group Holdings Ltd.
ADR 144A **@ 80,000 692,457
Singapore Airlines Ltd. 55,000 362,716
Singapore Press
Holdings Ltd. 42,000 467,409
Singapore Technologies
Engineering Ltd. 250,000 300,300
Singapore
Telecommunications Ltd. 1,253,000 1,446,081
Venture Corporation Ltd. 38,000 447,506
-----------
6,166,902
-----------
South Korea--1.1%
Korea Electric Power Corp. 36,550 656,458
Samsung Electronics
Company Ltd. 5,680 2,149,962
Samsung Electronics
Company Ltd. GDR 144A ** 12,975 2,439,300
-----------
5,245,720
-----------
- ---------------------------------------------------------------------------
Shares Value
- ---------------------------------------------------------------------------
Spain--4.1%
Altadis SA 45,216 $ 1,279,381
Banco Bilbao Vizcaya SA 201,200 2,770,559
Industria de Diseno Textil SA
(Inditex) 151,600 3,069,378
Promotora de Informaciones
SA (PRISA) 196,500 2,841,749
Repsol SA 206,019 4,005,364
Telefonica SA 377,022 5,518,803
-----------
19,485,234
-----------
Sweden--1.5%
Assa Abloy AB 103,100 1,223,548
ForeningsSparbanken AB 83,000 1,630,162
Sandvik AB 42,200 1,452,648
Svenska Handelsbanken AB
Class A 23,400 477,452
Telefonaktiebolaget LM
Ericsson AB Class B * 769,800 1,378,364
Telefonaktiebolaget LM
Ericsson ADR * 49,900 883,230
-----------
7,045,404
-----------
Switzerland--11.4%
ABB Ltd. * 107,106 541,751
Ciba Specialty Chemicals AG * 41,650 3,215,477
Clariant AG * 205,475 3,025,104
Compagnie Financiere
Richemont AG 91,527 2,192,927
Credit Suisse Group 106,347 3,882,060
Holcim Ltd. 40,905 1,900,716
Julius Baer Holding AG
Class B 5,885 1,979,707
Nestle SA [star] 38,407 9,573,865
Novartis AG [star] 129,039 5,845,063
Roche Holding AG 48,053 4,835,924
Serono SA Class B 3,065 2,180,808
Swiss Re 53,231 3,585,664
Swisscom AG 7,542 2,482,362
Synthes-Stratec, Inc. 483 476,922
UBS AG 116,680 7,972,569
-----------
53,690,919
-----------
Taiwan--0.7%
Chunghwa Telecom
Company Ltd. ADR 87,100 1,262,950
Taiwan Semiconductor
Manufacturing Company
Ltd. ADR 216,260 2,214,502
-----------
3,477,452
-----------
United Kingdom--19.8%
Allied Domecq PLC 39,447 303,038
Anglo American PLC 20,300 436,725
ARM Holdings PLC * 80,000 183,231
AstraZeneca Group PLC 35,100 1,676,668
AstraZeneca Group PLC 132,484 6,445,366
BG Group PLC 442,500 2,261,632
Barclays PLC 98,000 870,319
BHP Billiton PLC 297,828 2,590,541
BP Amoco PLC 46,400 374,646
Brambles Industries PLC 26,800 97,209
British Aerospace PLC 942,879 2,827,589
British Sky Broadcasting PLC * 388,619 4,869,502
Carlton Communications PLC 420,000 1,721,798
Centrica PLC 162,100 609,636
Compass Group PLC 1,086,470 7,358,792
Diageo PLC 354,804 4,648,159
162
Schedule of Investments--(Continued)
December 31, 2003
- ---------------------------------------------------------------
Vantagepoint
International Fund
- ---------------------------------------------------------------
Shares Value
- ---------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------
GlaxoSmithKline PLC 12,000 $ 273,777
Granada Compass PLC 2,067,577 4,496,004
HSBC Holdings PLC 144,600 2,262,914
HBOS PLC 125,200 1,614,537
Imperial Chemical
Industries PLC 1,172,200 4,157,765
Kesa Electricals PLC 283,260 1,298,811
Kingfisher Plc 1,015,574 5,041,293
Lloyds TSB Group PLC 464,100 3,705,909
Marks & Spencer Group
PLC 1,080,800 5,567,348
National Grid Transco
PLC 149,500 1,066,541
Pearson PLC 141,000 1,563,200
Prudential Corporation
PLC 62,500 526,087
Reckitt Benckiser PLC 19,800 446,085
Reed International PLC 69,400 577,982
Rio Tinto PLC 15,300 420,787
Royal Bank of Scotland
Group PLC 103,400 3,033,581
Smith & Nephew PLC 53,100 444,124
Smiths Group PLC 124,000 1,460,926
Standard Chartered PLC 100,400 1,650,841
Tesco PLC 1,398,935 6,426,898
TI Automotive Ltd. # 70,000 0
Unilever PLC 203,400 1,887,928
Vodafone Group PLC 2,931,416 7,236,564
Wolseley PLC 29,500 415,388
Xstrata PLC 38,750 435,128
-----------
93,285,269
-----------
TOTAL COMMON STOCKS
(Cost $373,294,779) 446,258,617
-----------
- ---------------------------------------------------------------
PREFERRED STOCKS--1.2%
- ---------------------------------------------------------------
Brazil--0.2%
Banco Bradesco SA 94,341,300 496,190
Banco Itau Holdings
Finance 3,418,400 339,474
-----------
835,664
-----------
Germany--1.0%
Henkel KGaA, Vorzug 64,150 5,001,654
-----------
TOTAL PREFERRED STOCKS
(Cost $4,847,277) 5,837,318
-----------
- -------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------------------------------------
CORPORATE OBLIGATIONS--0.1%
- -------------------------------------------------------------------------------------------
Switzerland--0.1%
Credit Suisse Group Finance
(Cost $152,433)
6.000% 12/23/2005 $ 222,000 243,741
-----------
- -------------------------------------------------------------------------------------------
CONVERTIBLE DEBT OBLIGATIONS--0.2%
- -------------------------------------------------------------------------------------------
Cayman Islands--0.2%
SMFG Finance Ltd.
(Cost $610,857)
2.250% 07/11/2005 60,000,000 1,052,141
-----------
- -------------------------------------------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- -------------------------------------------------------------------------------------------
CASH EQUIVALENTS--4.2%
- -------------------------------------------------------------------------------------------
Institutional Money Market Funds--0.2%
Merrill Lynch Premier Institutional Fund
1.037% 01/02/2004 + $ 423,072 $ 423,072
Merrimac Cash Fund-Premium Class
0.976% 01/02/2004 + 656,642 656,642
-----------
1,079,714
-----------
Bank & Certificate Deposits/
Offshore Time Deposits--2.4%
Bank of Montreal
1.060% 02/17/2004 + 397,965 397,965
Bank of Montreal
1.060% 01/15/2004 + 202,589 202,589
Bank of Nova Scotia
1.080% 03/03/2004 + 795,930 795,930
Citigroup, Inc.
1.090% 03/04/2004 + 696,438 696,438
Citigroup, Inc.
1.090% 02/06/2004 + 1,094,403 1,094,403
Compass Securitization
1.081% 01/22/2004 + 198,982 198,982
Credit Agricole Indosuez
1.080% 01/28/2004 + 198,982 198,982
Credit Agricole Indosuez
0.980% 01/02/2004 + 596,947 596,947
Delaware Funding Corporation
1.082% 01/07/2004 + 99,491 99,491
Den Danske Bank
1.080% 01/20/2004 + 397,965 397,965
Den Danske Bank
1.020% 01/30/2004 + 397,965 397,965
Falcon Asset Securitization Corporation
1.092% 01/08/2004 + 198,214 198,214
Falcon Asset Securitization Corporation
1.091% 01/13/2004 + 397,965 397,965
Fleet National Bank
1.000% 01/21/2004 + 397,965 397,965
General Electric Capital Corporation
1.092% 01/28/2004 + 497,456 497,456
General Electric Capital Corporation
1.092% 01/09/2004 + 278,575 278,575
General Electric Capital Corporation
1.082% 01/16/2004 + 198,982 198,982
Govco, Inc.
1.082% 01/28/2004 + 397,296 397,296
Greyhawk Funding
1.102% 02/09/2004 + 198,982 198,982
Greyhawk Funding
1.092% 02/13/2004 + 298,474 298,474
Liberty Street
1.081% 01/20/2004 + 198,550 198,550
Royal Bank of Canada
1.050% 02/27/2004 + 497,456 497,456
Royal Bank of Scotland
1.080% 01/09/2004 + 497,456 497,456
Royal Bank of Scotland
1.060% 04/02/2004 + 596,947 596,947
Sheffield Receivables Corporation
1.091% 01/06/2004 + 497,118 497,118
Sheffield Receivables Corporation
1.081% 01/28/2004 + 198,982 198,982
Southtrust Bank
1.090% 02/17/2004 + 198,982 198,982
163
Schedule of Investments--(Continued)
December 31, 2003
- ---------------------------------------------------------
Vantagepoint
International Fund
- ---------------------------------------------------------
Coupon Maturity
Rate Date Face Value
- ---------------------------------------------------------
CASH EQUIVALENTS--(Continued)
- ---------------------------------------------------------
Toronto Dominion Bank
1.100% 01/08/2004 + $ 497,456 $ 497,456
-----------
11,124,513
-----------
Floating Rate Instruments/Master Notes--1.6%
Bear Stearns & Company
1.135% 09/08/2004 + 198,982 198,982
Bear Stearns & Company
1.135% 06/10/2004 + 198,982 198,982
Credit Suisse First Boston Corporation
1.040% 01/02/2004 + 994,912 994,912
Goldman Sachs Group, Inc.
1.060% 01/05/2004 + 596,947 596,947
Goldman Sachs Group, Inc.
1.040% 01/30/2004 + 397,965 397,965
Goldman Sachs Group, Inc.
1.040% 01/02/2004 + 1,193,894 1,193,894
Golman Sachs Group, Inc.
0.955% 01/02/2004 + 994,912 994,912
Liberty Lighthouse Funding
1.138% 01/15/2004 + 198,982 198,982
Merrill Lynch & Company, Inc.
1.040% 01/02/2004 + 895,421 895,421
Morgan Stanley
1.080% 01/29/2004 + 457,660 457,660
Morgan Stanley
1.050% 09/10/2004 + 497,456 497,456
Morgan Stanley
1.050% 06/14/2004 + 696,438 696,438
Morgan Stanley
1.050% 06/21/2004 + 238,779 238,779
-----------
7,561,330
-----------
TOTAL CASH EQUIVALENTS
(Cost $19,765,557) 19,765,557
-----------
- -----------------------------------------------------------------------------
Face Value
- -----------------------------------------------------------------------------
REPURCHASE AGREEMENTS--4.7%
- -----------------------------------------------------------------------------
United States--4.7%
IBT Repurchase Agreement dated
12/31/2003 due 01/02/2004, with
a maturity value of $21,934,907
and an effective yield of 0.75%
collateralized by U.S. Government
Obligations with rates ranging
from 4.00% to 5.59%, maturity
dates ranging from 04/15/2023 to
01/01/2033 and an aggregate
market value of
$23,030,692. $21,933,991 $ 21,933,991
------------
TOTAL INVESTMENTS&---105.0%
(Cost $420,604,894) 495,091,365
Other assets less liabilities--(5.0%) (23,595,915)
------------
NET ASSETS--100.0% $471,495,450
============
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 may be resold in transactions exempt from
registration, normally to qualified buyers. 144A securities represent
0.63% of Total Investments.
@ Security valued at fair value as determined by policies approved by the
board of directors.
# Security has no market value at 12/31/2003.
+ Represents collateral received from securities lending transactions.
& Fund has Securities on loan. See Note 6.
164 See accompanying notes to financial statements
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Vantagepoint International Fund
- --------------------------------------------------------------------------------
Percentage of Portfolio by Industry (unaudited):
Financial Services 11.0%
Banking 10.7%
Beverages, Food & Tobacco 8.1%
Telecommunications 7.5%
Insurance 6.7%
Electronics 6.3%
Pharmaceuticals 5.7%
Oil & Gas 5.5%
Media--Broadcasting & Publishing 3.7%
Retailers 3.6%
Chemicals 3.2%
Diversified 2.9%
Automotive 2.8%
Medical Equipment & Supplies 2.4%
Bank & Certificate Deposits/Offshore Time
Deposits 2.4%
Food Retailers 2.3%
Communications 2.0%
Metals & Mining 1.8%
Floating Rate Instruments/Master Notes 1.6%
Commercial Services 1.5%
Transportation 1.3%
Cosmetics & Personal Care 1.3%
Telephone Systems 1.2%
Heavy Machinery 1.1%
Aerospace & Defense 0.9%
Industrial--Diversified 0.9%
Real Estate 0.9%
Textiles, Clothing & Fabrics 0.8%
Advertising 0.7%
Heavy Construction 0.6%
Forest Products & Paper 0.4%
Electric Utilities 0.4%
Computer Software & Processing 0.3%
Construction 0.3%
Airlines 0.3%
Computers & Information 0.3%
Lodging 0.2%
Medical Supplies 0.2%
Entertainment & Leisure 0.2%
Photographic Equipment & Supplies 0.2%
Institutional Money Market Funds 0.2%
Containers & Packaging 0.1%
Electrical Equipment 0.1%
Metals 0.1%
Mining 0.1%
Household Products 0.1%
Miscellaneous 0.1%
-----
TOTAL INVESTMENTS 105.0%
Other assets less liabilities (5.0)%
-----
TOTAL NET ASSETS 100.0%
=====
See accompanying notes to financial statements. 165
Schedule of Investments
December 31, 2003
- -------------------------------------------------------
Model Portfolio Savings
Oriented Fund Shares Value
- -------------------------------------------------------
MUTUAL FUNDS--100.0%
- -------------------------------------------------------
Vantagepoint Equity
Income Fund 2,633,802 $ 20,754,358
Vantagepoint Growth &
Income Fund 2,208,591 20,716,584
Vantagepoint Income
Preservation Fund 1,304,197 130,419,712
Vantagepoint International
Fund 1,172,837 10,367,881
Vantagepoint US
Government Securities
Fund 1,899,509 20,020,827
------------
202,279,362
------------
TOTAL INVESTMENTS--100.0%
(Cost $192,686,985) 202,279,362
Other assets less liabilities--(0.0%) (15,328)
------------
NET ASSETS--100.0% $202,264,034
============
166 See accompanying notes to financial statements.
Schedule of Investments
December 31, 2003
- ----------------------------------------------------------------
Model Portfolio Conservative
Growth Fund Shares Value
- ----------------------------------------------------------------
MUTUAL FUNDS--100.0%
- ----------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 2,093,512 $ 18,988,151
Vantagepoint Core Bond
Index Fund Class I 3,630,662 37,286,896
Vantagepoint Equity Income
Fund 4,845,934 38,185,964
Vantagepoint Growth &
Income Fund 4,057,553 38,059,848
Vantagepoint Growth Fund 4,693,980 37,880,421
Vantagepoint Income
Preservation Fund 1,864,573 186,457,333
Vantagepoint International
Fund 2,168,131 19,166,275
------------
376,024,888
------------
TOTAL INVESTMENTS--100.0%
(Cost $355,550,343) 376,024,888
Other assets less liabilities--(0.0%) (24,369)
------------
NET ASSETS--100.0% $376,000,519
============
See accompanying notes to financial statements. 167
Schedule of Investments
December 31, 2003
- ------------------------------------------------------------------
Model Portfolio Traditional
Growth Fund Shares Value
- ------------------------------------------------------------------
MUTUAL FUNDS--100.0%
- ------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 8,807,375 $ 79,882,889
Vantagepoint Core Bond
Index Fund Class I 7,656,511 78,632,363
Vantagepoint Equity
Income Fund 10,195,497 80,340,515
Vantagepoint Growth &
Income Fund 12,806,131 120,121,510
Vantagepoint Growth
Fund 14,802,145 119,453,309
Vantagepoint Income
Preservation Fund 2,363,654 236,365,439
Vantagepoint
International Fund 9,143,390 80,827,571
------------
795,623,596
------------
TOTAL INVESTMENTS--100.0%
(Cost $756,572,307) 795,623,596
Other assets less liabilities--(0.0%) (42,461)
------------
NET ASSETS--100.0% $795,581,135
============
168 See accompanying notes to financial statements.
Schedule of Investments
December 31, 2003
- ------------------------------------------------------------------
Model Portfolio Long-Term
Growth Fund Shares Value
- ------------------------------------------------------------------
MUTUAL FUNDS--100.0%
- ------------------------------------------------------------------
Vantagepoint Aggressive
Opportunities Fund 13,561,817 $123,005,681
Vantagepoint Core Bond
Index Fund Class I 15,835,718 162,632,823
Vantagepoint Equity
Income Fund 10,463,421 82,451,755
Vantagepoint Growth &
Income Fund 17,514,075 164,282,026
Vantagepoint Growth
Fund 20,280,356 163,662,472
Vantagepoint
International Fund 9,367,695 82,810,423
Vantagepoint Overseas
Equity Index Fund
Class I 4,852,603 41,975,013
------------
820,820,193
------------
TOTAL INVESTMENTS--100.0%
(Cost $821,020,546) 820,820,193
Other assets less liabilities--(0.0%) (43,091)
------------
NET ASSETS--100.0% $820,777,102
============
See accompanying notes to financial statements. 169
Schedule of Investments
December 31, 2003
- ----------------------------------------------------------------
Model Portfolio All-Equity
Growth Fund Shares Value
- ----------------------------------------------------------------
MUTUAL FUNDS--100.0%
Vantagepoint Aggressive
Opportunities Fund 2,819,485 $ 25,572,727
Vantagepoint Equity
Income Fund 2,440,673 19,232,501
Vantagepoint Growth &
Income Fund 2,730,437 25,611,500
Vantagepoint Growth
Fund 3,965,492 32,001,523
Vantagepoint
International Fund 2,911,110 25,734,214
------------
128,152,465
------------
TOTAL INVESTMENTS--100.0%
(Cost $115,073,991) 128,152,465
Other assets less liabilities--(0.0%) (6,979)
------------
NET ASSETS--100.0% $128,145,486
============
170 See accompanying notes to financial statements.
Financial Statements
of
Master Investment Portfolio
171
THIS PAGE IS INTENTIONALLY LEFT BLANK.
172
Report of Independent Auditors
To the Interestholders and Board of Trustees of
Master Investment Portfolio:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets present fairly, in all material respects, the financial
position of the Bond Index Master Portfolio, Extended Index Master Portfolio,
International Index Master Portfolio, S&P 500 Index Master Portfolio and U.S.
Equity Index Master Portfolio, each a portfolio of Master Investment Portfolio
(collectively, the "Portfolios"), at December 31, 2003, the results of each of
their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and their financial
highlights for each of the three years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' management;
our responsibility is to express an opinion on these financial statements based
on our audits. We conducted our audits of these financial statements in
accordance with auditing standards generally accepted in the United States of
America, which require that we plan and perform the audits to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 2003 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
The financial highlights of the Portfolios for each of the periods ended from
February 28, 1999 through December 31, 2000, were audited by other auditors,
whose report dated February 9, 2001 expressed an unqualified opinion on those
highlights.
PricewaterhouseCoopers LLP
San Francisco, California
February 9, 2004
173
MASTER INVESTMENT PORTFOLIO
Statements of Assets & Liabilities
December 31, 2003
Bond Index Extended Index
Master Portfolio Master Portfolio
---------------- ----------------
ASSETS
Investments at cost:
Unaffiliated issuers .................. $906,736,761 $254,660,962
------------ ------------
Non-controlled affiliated issuers ..... $ -- $ --
------------ ------------
Foreign currency, at cost .............. $ -- $ --
------------ ------------
Investments in securities, at value
(including securities on loan(a))
(Note 1):
Unaffiliated issuers .................. $926,749,932 $257,907,715
Non-controlled affiliated issuers ..... -- --
Foreign currency, at value ............. -- --
Receivables:
Investment securities sold ............ 3,810,573 125,469
Dividends and interest ................ 7,241,687 213,196
Due from broker--variation
margin ............................... -- --
Tax reclaims .......................... -- --
Unrealized gain on foreign currency
exchange contracts .................... -- --
------------ ------------
Total Assets ......................... 937,802,192 258,246,380
------------ ------------
LIABILITIES
Payables:
Investment securities purchased ....... 118,757,439 3,488,698
Due to broker--variation margin ....... -- 59,454
Collateral for securities loaned
(Note 4) ............................. 122,889,134 23,744,305
When-issued securities purchased. 33,716,802 --
Due to custodian ...................... -- --
Advisory fees (Note 2) ................ 87,396 29,214
Administration fees (Note 2) .......... -- 7,304
Unrealized loss on foreign currency
exchange contracts .................... -- --
------------ ------------
Total Liabilities .................... 275,450,771 27,328,975
------------ ------------
NET ASSETS ............................. $662,351,421 $230,917,405
============ ============
International Index S&P 500 Index U.S. Equity Index
Master Portfolio Master Portfolio Master Portfolio
------------------- ---------------- -----------------
ASSETS
Investments at cost:
Unaffiliated issuers .................. $166,673,340 $3,604,428,168 $ --
------------ -------------- ------------
Non-controlled affiliated issuers ..... $ 2,275,139 $ -- $ --
------------ -------------- ------------
Foreign currency, at cost .............. $ 371,864 $ -- $ --
------------ -------------- ------------
Investments in securities, at value
(including securities on loan(a))
(Note 1):
Unaffiliated issuers .................. $172,528,773 $3,884,700,423 $539,844,300
Non-controlled affiliated issuers ..... 2,600,461 -- --
Foreign currency, at value ............. 377,158 -- --
Receivables:
Investment securities sold ............ 230,363 -- --
Dividends and interest ................ 213,247 4,862,145 --
Due from broker--variation
margin ............................... 164,206 127,888 --
Tax reclaims .......................... 62,418 -- --
Unrealized gain on foreign currency
exchange contracts .................... 23,120 -- --
------------ -------------- ------------
Total Assets ......................... 176,199,746 3,889,690,456 539,844,300
------------ -------------- ------------
LIABILITIES
Payables:
Investment securities purchased ....... 1,316,966 -- --
Due to broker--variation margin ....... -- -- --
Collateral for securities loaned
(Note 4) ............................. 23,665,605 257,408,856 --
When-issued securities purchased. -- -- --
Due to custodian ...................... -- 598,768 --
Advisory fees (Note 2) ................ 34,486 290,235 8,587
Administration fees (Note 2) .......... 22,990 -- 8,587
Unrealized loss on foreign currency
exchange contracts .................... 318 -- --
------------ -------------- ------------
Total Liabilities .................... 25,040,365 258,297,859 17,174
------------ -------------- ------------
NET ASSETS ............................. $151,159,381 $3,631,392,597 $539,827,126
============ ============== ============
- -------
(a) Securities on loan with market values of $120,381,648, $22,718,777,
$22,545,507, $249,879,960 and $--, respectively. See Note 4.
The accompanying notes are an integral part of these financial statements.
174
MASTER INVESTMENT PORTFOLIO
Statements of Operations
For the Year Ended December 31, 2003
Bond Index Extended Index
Master Portfolio Master Portfolio
---------------- ----------------
NET INVESTMENT INCOME
Dividends(a) ............................... $ -- $ 2,177,503
Interest ................................... 27,559,505 36,963
Securities lending income .................. 71,679 57,875
Expenses allocated from Master
Portfolios (See Note 1) ................... -- --
----------- -----------
Total investment income .................... 27,631,184 2,272,341
----------- -----------
EXPENSES (Note 2)
Advisory fees .............................. 511,325 132,402
Administration fees ........................ -- 33,101
----------- -----------
Total expenses ............................. 511,325 165,503
----------- -----------
NET INVESTMENT INCOME ...................... 27,119,859 2,106,838
----------- -----------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on sale
of investments ............................ 7,061,998 (6,245,512)
Net realized gain on in-kind
redemptions ............................... -- --
Net realized gain on futures
contracts ................................. -- 634,439
Net realized gain on foreign
currency transactions ..................... -- --
Net change in unrealized
appreciation (depreciation)
of investments ............................ (9,218,441) 64,133,225
Net change in unrealized
appreciation (depreciation)
of futures contracts ...................... -- 102,578
Net change in unrealized
appreciation (depreciation)
on translation of assets and
liabilities in foreign currencies ......... -- --
----------- -----------
NET GAIN (LOSS) ON
INVESTMENTS ............................... (2,156,443) 58,624,730
----------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ................. $24,963,416 $60,731,568
=========== ===========
International Index S&P 500 Index U.S. Equity Index
Master Portfolio Master Portfolio Master Portfolio
------------------- ---------------- -----------------
NET INVESTMENT INCOME
Dividends(a) ............................... $ 2,684,350 $ 50,028,738 $ 7,277,379(b)
Interest ................................... 9,021 1,179,840 213,562(b)
Securities lending income .................. 54,914 127,821 --
Expenses allocated from Master
Portfolios (See Note 1) ................... -- -- (268,270)(b)
----------- ------------ ------------
Total investment income .................... 2,748,285 51,336,399 7,222,671
----------- ------------ ------------
EXPENSES (Note 2)
Advisory fees .............................. 167,510 1,436,333 44,170
Administration fees ........................ 111,674 -- 44,170
----------- ------------ ------------
Total expenses ............................. 279,184 1,436,333 88,340
----------- ------------ ------------
NET INVESTMENT INCOME ...................... 2,469,101 49,900,066 7,134,331
----------- ------------ ------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on sale
of investments ............................ (3,787,518) (57,935,276) (8,835,390)(b)
Net realized gain on in-kind
redemptions ............................... 2,591,370 59,216,552 --
Net realized gain on futures
contracts ................................. 38,513 14,788,212 --
Net realized gain on foreign
currency transactions ..................... 234,646 -- --
Net change in unrealized
appreciation (depreciation)
of investments ............................ 38,566,261 682,477,422 127,186,031(b)
Net change in unrealized
appreciation (depreciation)
of futures contracts ...................... 39,913 3,600,828 --
Net change in unrealized
appreciation (depreciation)
on translation of assets and
liabilities in foreign currencies ......... (34,143) -- --
----------- ------------ ------------
NET GAIN (LOSS) ON
INVESTMENTS ............................... 37,649,042 702,147,738 118,350,641
----------- ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ................. $40,118,143 $752,047,804 $125,484,972
=========== ============ ============
- -------
(a) Net of foreign withholding tax of $--, $1,506, $346,969, $18,238 and
$3,087, respectively.
(b) Allocated from the underlying Master Portfolios.
The accompanying notes are an integral part of these financial statements.
175
MASTER INVESTMENT PORTFOLIO
Statements of Changes in Net Assets
Bond Index Master Portfolio
-------------------------------
For the For the
Year Ended Year Ended
December 31, December 31,
2003 2002
------------- -------------
INCREASE (DECREASE)
IN NET ASSETS
Operations:
Net investment income ......... $ 27,119,859 $ 30,232,332
Net realized gain (loss) ...... 7,061,998 9,762,741
Net change in unrealized
appreciation
(depreciation) ............... (9,218,441) 16,148,940
------------- -------------
Net increase (decrease) in
net assets resulting from
operations .................... 24,963,416 56,144,013
------------- -------------
Interestholder transactions:
Contributions ................. 167,635,199 235,474,677
Withdrawals ................... (160,731,769) (204,797,701)
------------- -------------
Net increase (decrease) in
net assets resulting from
interestholder
transactions .................. 6,903,430 30,676,976
------------- -------------
Increase (decrease) in
net assets .................... 31,866,846 86,820,989
NET ASSETS:
Beginning of year .............. 630,484,575 543,663,586
------------- -------------
End of year .................... $ 662,351,421 $ 630,484,575
============= =============
International Index Master
Extended Index Master Portfolio Portfolio
-------------------------------- ------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
------------- ------------- ------------- ------------
INCREASE (DECREASE)
IN NET ASSETS
Operations:
Net investment income ......... $ 2,106,838 $ 1,621,846 $ 2,469,101 $ 1,759,925
Net realized gain (loss) ...... (5,611,073) (7,408,057) (922,989) (6,912,895)
Net change in unrealized
appreciation
(depreciation) ............... 64,235,803 (24,550,999) 38,572,031 (10,611,535)
------------- ------------- ------------- ------------
Net increase (decrease) in
net assets resulting from
operations .................... 60,731,568 (30,337,210) 40,118,143 (15,764,505)
------------- ------------- ------------- ------------
Interestholder transactions:
Contributions ................. 55,145,765 30,975,705 46,381,313 48,313,518
Withdrawals ................... (16,151,734) (32,385,207) (26,275,524) (34,072,197)
------------- ------------- ------------- ------------
Net increase (decrease) in
net assets resulting from
interestholder
transactions .................. 38,994,031 (1,409,502) 20,105,789 14,241,321
------------- ------------- ------------- ------------
Increase (decrease) in
net assets .................... 99,725,599 (31,746,712) 60,223,932 (1,523,184)
NET ASSETS:
Beginning of year .............. 131,191,806 162,938,518 90,935,449 92,458,633
------------- ------------- ------------- ------------
End of year .................... $ 230,917,405 $ 131,191,806 $ 151,159,381 $ 90,935,449
============= ============= ============= ============
The accompanying notes are an integral part of these financial statements.
176
MASTER INVESTMENT PORTFOLIO
Statements of Changes in Net Assets (Continued)
S&P 500 Index Master Portfolio U.S. Equity Index Master Portfolio
-------------------------------- ----------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
2003 2002 2003 2002
-------------- -------------- ------------ -------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income ............................ $ 49,900,066 $ 40,577,166 $ 7,134,331 $ 6,268,921
Net realized gain (loss) ......................... 16,069,488 (255,819,289) (8,835,390) (42,334,208)
Net change in unrealized appreciation
(depreciation) .................................. 686,078,250 (457,092,164) 127,186,031 (69,941,398)
-------------- -------------- ------------ -------------
Net increase (decrease) in net assets resulting
from operations .................................. 752,047,804 (672,334,287) 125,484,972 (106,006,685)
-------------- -------------- ------------ -------------
Interestholder transactions:
Contributions .................................... 1,247,904,502 1,124,925,648 66,244,512 51,638,612
Withdrawals ...................................... (708,478,794) (904,586,226) (31,475,312) (67,100,403)
-------------- -------------- ------------ -------------
Net increase (decrease) in net assets resulting
from interestholder transactions ................. 539,425,708 220,339,422 34,769,200 (15,461,791)
-------------- -------------- ------------ -------------
Increase (decrease) in net assets ................. 1,291,473,512 (451,994,865) 160,254,172 (121,468,476)
NET ASSETS:
Beginning of year ................................. 2,339,919,085 2,791,913,950 379,572,954 501,041,430
-------------- -------------- ------------ -------------
End of year ....................................... $3,631,392,597 $2,339,919,085 $539,827,126 $ 379,572,954
============== ============== ============ =============
The accompanying notes are an integral part of these financial statements.
177
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS
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 statutory trust. As of December 31,
2003, MIP offered 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").
Under the Master Portfolios' organizational documents, the officers and
trustees are indemnified against certain liabilities that may arise out of
their duties to the Master Portfolios. Additionally, in the normal course of
business, the Master Portfolios enter into contracts with service providers
that contain general indemnification clauses. The Master Portfolios' maximum
exposure under these arrangements is unknown as this would involve future
claims that may be made against the Master Portfolios that have not yet
occurred. However, based on experience, the Master Portfolios expect the risk
of loss to be remote.
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 securities of each Master Portfolio for which the primary market is a
national securities or commodities exchange or a recognized foreign securities
or commodities exchange are valued at the last reported sales price on the
principal exchange on which such securities are traded, or in the absence of
any sale on the valuation date, at the last quoted bid price. 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, or in the absence of any sale
on the valuation date, at the last quoted bid price. U.S. Government securities
and all other securities for which current over-the-counter market quotations
are readily available are valued at the last quoted bid price. If quoted prices
are unavailable or inaccurate, market values are determined based on quotes
obtained from brokers, dealers and/or based on averages of prices obtained from
independent pricing sources. Short-term investments are valued at amortized
cost, which approximates market value. Mutual fund shares are valued at net
asset value. Any securities or other assets for which market quotations are not
readily available 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 (52.47% and 11.53%, respectively, as of December 31, 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
178
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
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 of Operations for
the U.S. Equity Index Master Portfolio include Advisory and Administration fees
of $249,313 and $18,957, 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
In general, MIP believes that each Master Portfolio has and will continue
to be operated in a manner so as to qualify it as a non-publicly traded
partnership for federal income tax purposes. Provided that each such Master
Portfolio so qualifies, it will not be subject to any federal income tax on its
income and gain (if any). However, each interestholder in such 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
non-publicly traded partnership for federal income tax purposes, each such
Master Portfolio will be deemed to have "passed through" to its interestholders
any interest, dividends, gains or losses of the Master Portfolio for such
purposes. The determination of its distributive 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 and equity 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
receivables or payables in the accompanying Statements of Assets and
Liabilities. When the contract is closed, the Master
179
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
Portfolio records a "realized gain (loss) on futures contracts" in its
Statement of Operations, 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 ("SEC"), the Master Portfolio is required to segregate
cash, U.S. Government securities or high quality, liquid debt instruments and
equities 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.
At December 31, 2003, the open futures contracts held by the Master
Portfolios were as follows:
Number of Futures Expiration Notional Net Unrealized
Master Portfolio Contracts Index Date Contract Value Appreciation
- ---------------- ----------- ---------------- ------------ ---------------- ---------------
Extended Index
Master Portfolio ......... 10 S&P MidCap 400 03/19/04 $ 2,880,250 $ 47,075
6 Russell 2000 03/19/04 1,671,600 37,333
----------
$ 84,408
==========
International Index
Master Portfolio ......... 12 Euro 50 03/19/04 417,608 $ 6,959
5 FTSE 100 03/21/04 399,385 10,027
12 Nikkei 300 03/11/04 228,422 7,939
----------
$ 24,925
==========
S&P 500 Index Master
Portfolio ................ 179 S&P 500 03/18/04 49,699,350 $1,202,533
==========
The Extended Index and S&P 500 Index Master Portfolios have pledged to
brokers U.S. Treasury Bills with face amounts of $400,000 and $2,900,000,
respectively, for initial margin requirements.
The International Index Master Portfolio has pledged to a broker a cash
balance in the amount of $111,175 and high quality equity securities with an
aggregate market value of $4,647,634 at December 31, 2003 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 an
investment by the Master Portfolio, 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. Repurchase agreements held by the
Master Portfolios at December 31, 2003 represent collateral from securities on
loan. For further information, see Note 4, below.
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
180
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
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.
As of December 31, 2003, the International Index Master Portfolio held the
following forward foreign currency exchange contracts:
Forward Foreign Currency Contracts
Foreign U.S. Net
Currency Exchange Equivalent U.S. Dollar Unrealized
Currency Purchased/Sold Date Cost/Proceeds Value Gain
- -------- ---------------- ---------- --------------- ------------- -----------
Purchase Contracts
British Pound Sterling ......... 68,554 02/06/04 $114,351 $122,396 $ 8,045
Euro ........................... 105,857 02/06/04 121,430 133,394 11,964
Japanese Yen ................... 7,983,222 02/06/04 73,134 74,573 1,439
-------
Total $21,448
=======
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 and
sub-administrator of the Master Portfolios. 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 the Master Portfolios.
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 SEC. As securities lending agent, BGI receives as fees, 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 December 31, 2003,
BGI earned securities lending agent fees as follows:
Securities Lending
Master Portfolio Agent Fees
- ---------------- -------------------
Bond Index Master Portfolio .................. $ 71,203
Extended Index Master Portfolio .............. 43,133
International Index Master Portfolio ......... 53,102
S&P 500 Index Master Portfolio ............... 118,408
SEI Investments Distribution Company ("SEI") is the sponsor and placement
agent for the Master Portfolios. SEI does not receive any fee from the Master
Portfolios for acting as placement agent. Prior to April 1, 2003, Stephens Inc.
served as sponsor and placement agent for the Master Portfolios.
MIP has entered into an administrative services arrangement with BGI who
has agreed to provide general administrative services, such as managing and
coordinating third-party service
181
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
relationships, to the Master Portfolios. 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 year ended December
31, 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 $1,176,293, as of December 31, 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 invest substantially all of their 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 Master Portfolios' 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 December 31, 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 Master Portfolios'
investment advisor.
Transactions in shares of affiliated ETFs for the International Index
Master Portfolio, including dividend income and net realized capital gains
(losses) during the year ended December 31, 2003 were as follows:
Number of Number of
Shares Held Shares Held Net
Beginning Gross Gross End of Dividend Realized
Affiliated ETF of Year Additions Reductions Year Income Gain
- -------------- ------------ ---------- ---------- ----------- --------- -----------
iShares MSCI EAFE Index Fund 12,469 31,125 24,582 19,012 $21,717 $93,224
Pursuant to Rule 17a-7 of the 1940 Act, the S&P 500 Index Master Portfolio
executed cross trades for the year ended December 31, 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 year were in compliance with the requirements
and restrictions set forth by Rule 17a-7.
Certain officers and trustees of MIP are also officers or employees of
BGI. As of December 31, 2003 these officers or employees of BGI collectively
owned less than 1% of Master Portfolios' outstanding beneficial interests.
182
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
3. Investment Portfolio Transactions
Investment transactions (excluding short-term investments) for the Master
Portfolios for the year ended December 31, 2003 were as follows:
U.S. Government Obligations Other Securities
----------------------------------- ---------------------------------
Master Portfolio Purchases Sales Purchases Sales
- ---------------- ---------------- ---------------- --------------- ---------------
Bond Index Master Portfolio ......... $ 458,072,831 $ 387,521,853 $ 64,476,959 $ 32,966,447
Extended Index Master
Portfolio .......................... -- -- 53,781,158 14,786,284
International Index Master
Portfolio .......................... -- -- 42,377,205 19,345,888
S&P 500 Index Master
Portfolio .......................... -- -- 882,802,151 229,970,874
For the year ended December 31, 2003, the Master Portfolios received
in-kind contributions of portfolio securities and paid in-kind redemption
proceeds of portfolio securities, as follows:
In-kind In-kind
Master Portfolio Purchases Redemptions
- ---------------- --------- -----------
International Index Master Portfolio ......... $ -- $ 9,105,061
S&P 500 Index Master Portfolio ............... 205,309,742 117,327,790
In-kind purchases are transactions in which an interestholder in the
Master Portfolio purchases interests in the Master Portfolio by contributing
portfolio securities, rather than paying cash, to the Master Portfolio. In-kind
redemptions are transactions in which an interestholder in the Master Portfolio
redeems interests in the Master Portfolio and the Master Portfolio pays the
proceeds of that redemption in the form of portfolio securities, rather than
cash. Because capital gains or losses resulting from in-kind redemptions are
not taxable to the Master Portfolio, and are not allocated to the other
interestholders, the gains or losses are reclassified from accumulated net
realized gains or losses to paid-in-capital at the end of the Master
Portfolio's tax year. The in-kind gains or losses for the year ended December
31, 2003 are disclosed in the Master Portfolios' Statement of Operations.
At December 31, 2003, the aggregate unrealized appreciation and
depreciation based on cost for federal income tax purposes for the Master
Portfolios were as follows:
Unrealized Unrealized Net Unrealized
Master Portfolio Tax Cost Appreciation Depreciation Appreciation
- ---------------- ---------------- -------------- ---------------- ---------------
Bond Index Master Portfolio ......... $ 910,919,532 $18,704,261 $ (2,873,861) $15,830,400
Extended Index Master
Portfolio .......................... 255,597,157 59,894,607 (57,584,049) 2,310,558
International Index Master
Portfolio .......................... 174,451,320 14,705,533 (14,027,619) 677,914
S&P 500 Index Master
Portfolio .......................... 3,738,889,279 463,170,996 (317,359,852) 145,811,144
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.
183
MASTER INVESTMENT PORTFOLIO
NOTES TO THE FINANCIAL STATEMENTS--(Continued)
As of December 31, 2003, certain of the Master Portfolios had loaned
securities which were collateralized by cash. The cash collateral received was
invested in a joint account with other funds managed by BGFA which invests in
securities with remaining maturities of 397 days or less, repurchase agreements
and money market mutual funds, including money market funds managed by BGFA.
Repurchase agreements held in the joint account are fully collateralized by
U.S. Government securities. Income from the joint account is allocated daily to
each Master Portfolio, based on each Master Portfolio's portion of the total
cash collateral received. The market value of the securities on loan at
December 31, 2003 and the value of the related collateral are disclosed in the
Master Portfolios' Statements of Assets and Liabilities. Securities lending
income is presented net of broker rebates and fees paid to BGI.
5. Financial Highlights
Financial highlights for each of the Master Portfolios were as follows:
Year Ended Year Ended
December 31, December 31,
2003 2002
-------------- ------------------
Bond Index Master Portfolio
Ratio of expenses to average net assets(4). 0.08% 0.08%
Ratio of net investment income to average
net assets(4) ............................ 4.24% 5.27%
Portfolio turnover rate ................... 67% 118%
Total return .............................. 4.07% 10.05%
Extended Index Master Portfolio
Ratio of expenses to average net assets(4). 0.10% 0.10%
Ratio of net investment income to average
net assets(4)............................. 1.27% 1.11%
Portfolio turnover rate ................... 9% 14%
Total return .............................. 43.24% (18.01)%
International Index Master Portfolio
Ratio of expenses to average net assets(4). 0.25% 0.25%
Ratio of net investment income to average
net assets(4)............................. 2.21% 1.92%
Portfolio turnover rate ................... 18%(10) 20%
Total return .............................. 38.67% (16.36)%(9)
S&P 500 Index Master Portfolio
Ratio of expenses to average net assets(4). 0.05% 0.05%
Ratio of net investment income to average
net assets(4)............................. 1.74% 1.57%
Portfolio turnover rate ................... 8%(10) 12%
Total return .............................. 28.52% (22.05)%
U.S. Equity Index Master Portfolio
Ratio of expenses to average net assets(4 6) 0.08% 0.08%
Ratio of net investment income to average
net assets(4 6)........................... 1.62% 1.45%
Portfolio turnover rate(8)................. 8% 12%
Total return .............................. 32.07% (20.50)%
Year Ended Year Ended Period Ended Year Ended
December 31, December 31, December 31, February 28,
2001 2000 1999 1999
-------------- -------------- ------------------ -------------
Bond Index Master Portfolio
Ratio of expenses to average net assets(4). 0.08% 0.08% 0.08%(1) 0.08%
Ratio of net investment income to average
net assets(4)............................. 5.98%(7) 6.73% 6.44%(1) 6.31%
Portfolio turnover rate ................... 53% 52% 25%(1) 28%
Total return .............................. 8.94% 11.91% (0.67)%(1 5) 6.39%
Extended Index Master Portfolio
Ratio of expenses to average net assets(4). 0.10% 0.10% 0.10%(2) N/A
Ratio of net investment income to average
net assets(4)............................. 1.08% 0.93% 1.26%(2) N/A
Portfolio turnover rate ................... 17% 38% 17%(2) N/A
Total return .............................. (9.44)% (14.53)% 36.30%(2 5) N/A
International Index Master Portfolio
Ratio of expenses to average net assets(4). 0.25% 0.25% 0.25%(3) N/A
Ratio of net investment income to average
net assets(4)............................. 1.50% 1.47% 0.82%(3) N/A
Portfolio turnover rate ................... 7% 45% 39%(3) N/A
Total return .............................. (21.35)% (14.85)% 20.50%(3 5) N/A
S&P 500 Index Master Portfolio
Ratio of expenses to average net assets(4). 0.05% 0.05% 0.05%(1) 0.05%
Ratio of net investment income to average
net assets(4)............................. 1.31% 1.22% 1.44%(1) 1.61%
Portfolio turnover rate ................... 9% 10% 7%(1) 11%
Total return .............................. (11.96)% (9.19)% 19.82%(1 5) 19.65%
U.S. Equity Index Master Portfolio
Ratio of expenses to average net assets(4 6) 0.09% 0.08% 0.08%(2) N/A
Ratio of net investment income to average
net assets(4 6)........................... 1.37% 1.13% 1.39%(2) N/A
Portfolio turnover rate(8)................. 11% 17% 9%(2) N/A
Total return .............................. (11.51)% (10.54)% 21.40%(2 5) 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.
(10) Portfolio turnover rates excluding in-kind transactions for the
International Index and S&P 500 Index Master Portfolios were 9% and 4%,
respectively.
184
MASTER INVESTMENT PORTFOLIO
TRUSTEES INFORMATION--UNAUDITED
The Board of Trustees has responsibility for the overall management and
operations of the Master Portfolios. Each Trustee serves until he or she
resigns, retires, or his or her successor is elected and qualified. Each
Officer serves until his or her successor is chosen and qualified.
Master Investment Portfolio ("MIP"), Barclays Global Investors Funds
("BGIF"), iShares Trust and iShares, Inc. are considered to be members of the
same fund complex, as defined in Form N-1A under the 1940 Act. Each Trustee of
MIP also serves as a Trustee for BGIF and oversees 25 portfolios within the
fund complex. In addition, Lee T. Kranefuss and Richard K. Lyons each serves as
a Trustee for iShares Trust and as a Director for iShares, Inc. and oversees
109 portfolios within the fund complex.
Unless otherwise noted in the tables below, the address for each Trustee
is 45 Fremont Street, San Francisco, California 94105. Additional information
about the Master Portfolios' Trustees may be found in Part B of the Master
Portfolios' Registration Statements, which are available without charge upon
request by calling toll-free 1-877-244-1544.
Interested Trustees and Officers
Other Public Company
Position(s), Length Principal Occupation and Investment
Name, Address and Age of Service During Past Five Years Company Directorships
- --------------------- --------------------- ----------------------------------- -----------------------
Lee T. Kranefuss, *42 Trustee since Chief Executive Officer of the Director, iShares Inc.
November 16, Intermediary Investor and (since June 18, 2003);
2001, President Exchange Traded Products Trustee, iShares Trust
and Chief Business of Barclays Global (since June 18, 2003)
Executive Officer Investors, N.A. ("BGI")
Michael A. Latham, 38 Secretary, Chief Operating Officer of the None
Treasurer and Intermediary Investor and
Chief Financial Exchange Traded Products
Officer Business of BGI (since 2003);
Director of Mutual Fund Delivery
in the U.S. Individual Investor
Business of BGI (2000-2003);
Head of Operations, BGI Europe
(1997-2000)
- --------
* Lee T. Kranefuss is deemed to be an "interested person" of the Trust
because he serves as Chief Executive Officer of the Intermediary Investor
and Exchange Traded Products Business of BGI, the administrator of the
Master Portfolios and the parent company of BGFA, the investment advisor of
the Master Portfolios.
185
MASTER INVESTMENT PORTFOLIO
TRUSTEES INFORMATION--UNAUDITED (Continued)
Independent Trustees
Other Public Company
Position(s), Length Principal Occupation and Investment
Name, Address and Age of Service During Past Five Years Company Directorships
- --------------------- --------------------- ----------------------------------- ----------------------
Mary G. F. Bitterman, 59 Trustee since Director, Osher Lifelong Learning Director, Pacific
November 16, 2001 Institutes, The Barnard Osher Century Financial
Foundation; President and Chief Corporation/Bank of
Executive Officer of The James Hawaii
Irvine Foundation (non-profit
foundation); President and Chief
Executive Officer of KQED, Inc.
(public television and radio) from
1993-2002
Jack S. Euphrat, 81 Trustee since Private Investor None
October 20, 1993
W. Rodney Hughes, 77 Trustee since Private Investor None
October 20, 1993
Richard K. Lyons, 42 Trustee since Professor, University of Director, Matthews
November 16, 2001 California, Berkeley: Haas School Asian Funds
of Business; Member, Council of (oversees 6
Foreign Relations portfolios); Director,
iShares Inc. (since
2001); Trustee,
iShares Trust
(since 2001).
Leo Soong, 57 Trustee since President of Trinity Products LLC Chairman of the
February 9, 2000 (beverages); Managing Director California Automobile
of CG Roxane LLC (water Association
company); Co-Founder of Crystal
Geyser Water Co. (President
through 1999)
186
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- -----------------------------------------------------------------------------------------
Security Principal Value
- -----------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--30.53%
- -----------------------------------------------------------------------------------------
Aerospace/Defense--0.51%
Boeing Co. (The)
6.13%, 02/15/33 $ 200,000 $ 200,661
General Dynamics Corp.
2.13%, 05/15/06 200,000 198,840
Goodrich (B.F.) Co.
6.45%, 12/15/07 100,000 108,355
Lockheed Martin Corp.
8.20%, 12/01/09 1,000,000 1,214,353
Northrop Grumman Corp.
7.75%, 02/15/31 250,000 303,999
Raytheon Co.
7.38%, 07/15/25 1,000,000 1,044,505
United Technologies Corp.
6.10%, 05/15/12 150,000 164,734
6.70%, 08/01/28 150,000 168,619
------------
3,404,066
------------
Airlines--0.23%
American Airlines Inc.
7.02%, 10/15/09 157,000 156,698
Continental Airlines Inc.
6.65%, 09/15/17 866,838 846,895
Delta Air Lines Inc.
7.57%, 11/18/10 500,000 517,972
------------
1,521,565
------------
Auto Manufacturers--0.65%
DaimlerChrysler NA Holding Corp.
7.20%, 09/01/09 500,000 558,388
8.50%, 01/18/31 500,000 597,392
Ford Motor Company
6.63%, 10/01/28 1,125,000 1,034,864
General Motors Corp.
6.25%, 05/01/05 75,000 78,398
7.20%, 01/15/11 1,250,000 1,374,357
8.25%, 07/15/23 100,000 113,541
8.38%, 07/15/33 500,000 580,406
------------
4,337,346
------------
Banks--7.87%
Abbey National PLC
7.95%, 10/26/29 350,000 434,543
ABN Amro Bank NV
7.13%, 06/18/07 250,000 282,035
Anthem Inc.
6.80%, 08/01/12 250,000 282,370
Banco Santander Central Hispano Issuances
7.63%, 09/14/10 500,000 592,711
Bank of America Corp.
6.25%, 04/01/08 1,000,000 1,105,028
7.88%, 05/16/05 500,000 541,406
Bank of New York Co. Inc. (The)
5.50%, 12/01/17 250,000 254,547
Bank of Tokyo-Mitsubishi Ltd.
8.40%, 04/15/10 250,000 304,088
Bank One Corp.
3.70%, 01/15/08 500,000 505,865
5.90%, 11/15/11 1,000,000 1,080,248
BankBoston Corp.
6.50%, 12/19/07 500,000 555,478
Bayerische Landesbank
2.88%, 10/15/08 250,000 241,298
BB&T Corp.
5.20%, 12/23/15 150,000 148,697
- -----------------------------------------------------------------------------------------
Security Principal Value
- -----------------------------------------------------------------------------------------
Corp. Andina de Fomento
6.88%, 03/15/12 $ 150,000 $ 166,434
Credit Suisse First Boston
5.50%, 08/15/13 250,000 257,629
5.75%, 04/15/07 1,000,000 1,083,675
6.38%, 12/16/35 1,000,000 1,107,392
6.50%, 01/15/12 500,000 556,510
European Investment Bank
4.00%, 03/15/05 500,000 515,512
4.00%, 08/30/05 500,000 520,191
4.63%, 03/01/07 1,000,000 1,062,344
First Union Capital Corp.
8.04%, 12/01/26 1,000,000 1,145,121
First Union Corp.
6.63%, 07/15/05 500,000 535,992
First Union National Bank
7.74%, 05/17/32 1,414,454 1,580,312
Fleet Credit Card Master Trust II
3.86%, 03/15/07 6,870,000 6,985,849
FleetBoston Financial Corp.
6.88%, 01/15/28 250,000 279,688
GE Global Insurance Holdings
7.50%, 06/15/10 150,000 172,979
HSBC Holdings PLC
5.25%, 12/12/12 250,000 256,015
HSBC USA Inc.
7.00%, 11/01/06 250,000 280,195
Inter-American Development Bank
5.38%, 01/18/06 1,000,000 1,087,132
International Bank for Reconstruction
& Development
3.63%, 05/21/13 150,000 142,176
4.13%, 08/12/09 500,000 515,088
6.38%, 07/21/05 1,000,000 1,072,349
7.00%, 01/27/05 1,500,000 1,590,298
John Deere Capital Corp.
7.00%, 03/15/12 500,000 575,994
KeyCorp
6.75%, 03/15/06 1,500,000 1,638,013
KFW International Finance Inc.
2.50%, 10/17/05 500,000 506,145
4.25%, 04/18/05 1,500,000 1,551,517
4.75%, 01/24/07 500,000 536,371
8.00%, 02/15/10 250,000 300,223
Korea Development Bank
5.25%, 11/16/06 500,000 529,759
Landwirtschaftliche Rentenbank
3.25%, 06/19/08 400,000 394,696
LB Commercial Conduit Mortgage Trust
6.78%, 06/15/31 6,000,000 6,769,060
Mellon Funding Corp.
6.38%, 02/15/10 500,000 556,617
National City Bank of Indiana
2.38%, 08/15/06 250,000 250,452
National City Bank of Ohio
3.30%, 05/15/08 500,000 496,077
NationsBank Corp.
7.75%, 08/15/15 1,000,000 1,210,958
NiSource Finance Corp.
7.88%, 11/15/10 150,000 178,409
Oesterreichische Kontrollbank AG
5.50%, 01/20/06 500,000 532,294
PNC Funding Corp.
5.75%, 08/01/06 250,000 268,402
Popular North America Inc.
4.25%, 04/01/08 100,000 101,808
Royal Bank of Scotland Group PLC
5.00%, 10/01/14 1,000,000 990,908
187
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- -------------------------------------------------------------------------------------
Security Principal Value
- -------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- -------------------------------------------------------------------------------------
Sanwa Bank Ltd.
7.40%, 06/15/11 $ 250,000 $ 286,477
SLM Corp.
3.95%, 08/15/08 150,000 151,483
5.13%, 08/27/12 500,000 507,485
Sprint Capital Corp.
8.38%, 03/15/12 500,000 583,900
SunTrust Banks Inc.
5.05%, 07/01/07 500,000 539,032
Swiss Bank Corp.
7.00%, 10/15/15 250,000 292,082
7.38%, 06/15/17 100,000 120,057
Tyco Capital Corp.
7.63%, 08/16/05 1,045,000 1,135,165
Union Bank of Switzerland
7.25%, 07/15/06 250,000 278,424
US Bank NA Minnesota
6.38%, 08/01/11 1,000,000 1,114,966
Wells Fargo & Company
5.13%, 02/15/07 1,000,000 1,066,858
Wells Fargo Bank NA
7.55%, 06/21/10 1,000,000 1,185,250
Zions Bancorporation
6.00%, 09/15/15 200,000 209,701
------------
52,099,778
------------
Beverages--0.41%
Anheuser-Busch Companies Inc.
6.80%, 01/15/31 500,000 570,808
Bottling Group LLC
4.63%, 11/15/12 100,000 99,456
Brown-Forman Corp.
2.13%, 03/15/06 250,000 249,303
Coca-Cola Enterprises Inc.
6.13%, 08/15/11 250,000 276,473
8.50%, 02/01/22 250,000 323,609
Diageo Capital PLC
6.13%, 08/15/05 1,000,000 1,064,269
PepsiAmericas Inc.
3.88%, 09/12/07 100,000 101,947
------------
2,685,865
------------
Building Materials--0.06%
Hanson Australia Funding Ltd.
5.25%, 03/15/13 100,000 99,538
Masco Corp.
5.88%, 07/15/12 250,000 265,949
------------
365,487
------------
Chemicals--0.21%
Chevron Phillips Chemical Co.
5.38%, 06/15/07 500,000 532,335
Dow Chemical Co. (The)
6.00%, 10/01/12 250,000 263,159
Du Pont (E.I.) de Nemours and Co.
6.88%, 10/15/09 250,000 289,165
Praxair Inc.
3.95%, 06/01/13 150,000 140,545
Rohm & Hass Co.
7.85%, 07/15/29 150,000 184,423
------------
1,409,627
------------
Commercial Services--0.10%
Cendant Corp.
6.25%, 03/15/10 250,000 271,860
- -------------------------------------------------------------------------------------
Security Principal Value
- -------------------------------------------------------------------------------------
Hertz Corp.
8.25%, 06/01/05
$ 250,000 $ 266,466
PHH Corp.
7.13%, 03/01/13 100,000 111,989
------------
650,315
------------
Computer Systems--0.02%
Computer Sciences Corp.
7.38%, 06/15/11 100,000 117,602
------------
117,602
------------
Computers--0.32%
Hewlett-Packard Co.
5.50%, 07/01/07 500,000 540,400
International Business Machines Corp.
4.75%, 11/29/12 500,000 501,057
4.88%, 10/01/06 1,000,000 1,062,644
------------
2,104,101
------------
Cosmetics/Personal Care--0.17%
Procter & Gamble Co.
6.88%, 09/15/09 1,000,000 1,155,200
------------
1,155,200
------------
Distribution/Wholesale--0.04%
Costco Wholesale Corp.
5.50%, 03/15/07 250,000 269,686
------------
269,686
------------
Diversified Financial Services--8.55%
American Express Co.
3.75%, 11/20/07 250,000 254,661
American Express Credit Corp.
3.00%, 05/16/08 250,000 244,668
American General Finance Corp.
5.38%, 10/01/12 250,000 257,795
5.88%, 07/14/06 1,000,000 1,079,129
American International Group Inc.
4.25%, 05/15/13 1 250,000 237,127
Ameriquest Mortgage Securities Inc.
4.84%, 09/25/25 9,758 9,749
AMVESCAP PLC
5.38%, 02/27/13 100,000 97,310
Associates Corp. NA
6.88%, 11/15/08 410,000 465,859
6.95%, 11/01/18 250,000 287,298
AXA Financial Inc.
7.75%, 08/01/10 250,000 296,129
Bear Stearns Companies Inc.
5.70%, 01/15/07 1,000,000 1,084,450
5.70%, 11/15/14 250,000 260,596
Boeing Capital Corp.
5.65%, 05/15/06 500,000 533,822
Burlington Resources Finance
7.20%, 08/15/31 250,000 287,959
Capital One Bank
6.88%, 02/01/06 1,000,000 1,081,798
CIT Group Inc.
7.75%, 04/02/12 500,000 590,720
Citigroup Inc.
5.63%, 08/27/12 250,000 263,910
6.00%, 02/21/12 500,000 546,374
6.63%, 06/15/32 250,000 270,822
6.75%, 12/01/05 2,500,000 2,715,965
7.25%, 10/01/10 500,000 582,779
Countrywide Home Loans Inc.
3.50%, 12/19/05 250,000 256,964
5.63%, 05/15/07 500,000 539,799
188
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- ----------------------------------------------------------------------------------------------------
Security Principal Value
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- ----------------------------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage Securities Corp.
Series 1999-C1 Class A2
7.29%, 09/15/41 $ 800,000 $ 919,545
Detroit Edison Securitization Funding LLC Series
2001-1 Class A6
6.62%, 03/01/16 1,000,000 1,135,882
Ford Credit Auto Owner Trust
3.62%, 01/15/06 573,651 579,120
4.36%, 09/15/36 2,000,000 2,061,749
Ford Motor Credit Co.
6.88%, 02/01/06 850,000 907,212
7.25%, 10/25/11 1,500,000 1,626,846
7.50%, 03/15/05 850,000 897,101
7.60%, 08/01/05 300,000 320,644
7.88%, 06/15/10 1,000,000 1,117,365
FPL Group Capital Inc.
7.38%, 06/01/09 100,000 116,459
General Electric Capital Corp.
3.50%, 05/01/08 250,000 250,254
5.38%, 03/15/07 2,100,000 2,258,808
6.50%, 12/10/07 1,000,000 1,118,946
6.75%, 03/15/32 1,000,000 1,107,121
General Motors Acceptance Corp.
5.71%, 10/15/38 1,000,000 1,069,220
6.13%, 09/15/06 500,000 535,125
6.75%, 01/15/06 1,000,000 1,073,549
6.88%, 09/15/11 850,000 915,558
7.25%, 03/02/11 500,000 548,554
7.72%, 12/15/09 1,707,000 2,004,842
8.00%, 11/01/31 250,000 280,742
Goldman Sachs Group Inc.
4.13%, 01/15/08 1,000,000 1,025,302
5.70%, 09/01/12 250,000 262,738
6.13%, 02/15/33 400,000 402,818
6.60%, 01/15/12 250,000 279,382
6.88%, 01/15/11 250,000 283,902
7.63%, 08/17/05 500,000 546,478
Household Finance Corp.
5.75%, 01/30/07 1,250,000 1,351,379
6.40%, 06/17/08 250,000 277,178
6.50%, 01/24/06 250,000 270,369
6.50%, 11/15/08 500,000 557,373
8.00%, 07/15/10 1,000,000 1,197,583
JP Morgan & Co. Inc.
6.00%, 01/15/09 250,000 273,011
JP Morgan Chase & Co.
5.25%, 05/30/07 500,000 533,711
6.75%, 02/01/11 1,000,000 1,127,591
LB-UBS Commercial Mortgage Trust
4.85%, 09/15/31 1,500,000 1,517,245
Lehman Brothers Holdings Inc.
4.00%, 01/22/08 500,000 509,972
6.63%, 01/18/12 250,000 282,129
7.63%, 06/01/06 1,000,000 1,121,448
MBNA America Bank NA
5.38%, 01/15/08 500,000 531,625
Merrill Lynch & Co. Inc.
3.70%, 04/21/08 600,000 603,917
6.00%, 02/17/09 1,000,000 1,099,312
Morgan Stanley
5.80%, 04/01/07 500,000 543,491
6.02%, 02/15/33 435,736 457,355
7.25%, 04/01/32 100,000 117,201
7.69%, 02/15/20 1,000,000 1,118,367
- ----------------------------------------------------------------------------------------------------
Security Principal Value
- ----------------------------------------------------------------------------------------------------
7.75%, 06/15/05 $1,000,000 $ 1,085,405
8.00%, 06/15/10 1,000,000 1,201,993
National Rural Utilities Cooperative Finance Corp.
3.88%, 02/15/08 400,000 405,031
7.25%, 03/01/12 350,000 407,815
Pemex Project Funding Master Trust
7.38%, 12/15/14 500,000 533,750
8.63%, 02/01/22 250,000 276,875
Rio Tinto Finance USA Ltd.
2.63%, 09/30/08 100,000 95,389
Saxon Asset Securities Trust
5.53%, 07/25/31 400,000 398,365
Textron Finance Corp.
6.00%, 11/20/09 200,000 219,471
Toyota Motor Credit Corp.
2.80%, 01/18/06 100,000 101,810
Unilever Capital Corp.
6.88%, 11/01/05 1,000,000 1,084,369
Verizon Global Funding Corp.
7.75%, 12/01/30 250,000 293,677
Washington Mutual Inc.
7.50%, 08/15/06 1,000,000 1,117,142
------------
56,602,294
------------
Electric--1.46%
AEP Texas Central Co.
6.65%, 02/15/33 250,000 263,962
Alabama Power Co. Series Q
5.50%, 10/15/17 250,000 258,454
Alabama Power Co. Series X
3.13%, 05/01/08 250,000 246,066
American Electric Power Inc.
6.13%, 05/15/06 100,000 107,759
Arizona Public Service Co.
6.50%, 03/01/12 250,000 275,657
Cincinnati Gas & Electric Co.
5.70%, 09/15/12 250,000 263,019
Columbus Southern Power Co.
5.50%, 03/01/13 150,000 155,332
Commonwealth Edison
7.00%, 07/01/05 500,000 536,957
Consolidated Edison Inc.
4.88%, 02/01/13 200,000 201,378
Constellation Energy Group
7.60%, 04/01/32 250,000 292,598
Consumers Energy Co.
6.00%, 03/15/05 500,000 520,823
Dominion Resources Inc.
7.63%, 07/15/05 500,000 540,133
8.13%, 06/15/10 500,000 599,775
DTE Energy Co.
7.05%, 06/01/11 500,000 560,670
Entergy Gulf States Inc.
3.60%, 06/01/08 1 100,000 96,392
Florida Power & Light Co.
4.85%, 02/01/13 150,000 151,601
5.63%, 04/01/34 150,000 146,628
KN Energy Inc.
7.25%, 03/01/28 250,000 278,128
MidAmerican Energy Co.
6.75%, 12/30/31 250,000 270,615
Niagara Mohawk Power Corp.
7.63%, 10/01/05 529,268 574,183
Northern States Power Co.
8.00%, 08/28/12 250,000 304,808
Oncor Electric Delivery Co.
6.38%, 05/01/12 500,000 549,493
189
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- ------------------------------------------------------------------------------------
Security Principal Value
- ------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- ------------------------------------------------------------------------------------
Ontario Hydro Canada
7.45%, 03/31/13 $ 500,000 $ 602,698
PECO Energy Co.
3.50%, 05/01/08 250,000 249,329
Pepco Holdings Inc.
6.45%, 08/15/12 250,000 272,671
Progress Energy Inc.
7.10%, 03/01/11 400,000 450,650
7.75%, 03/01/31 100,000 116,517
Public Service Company of Colorado
4.88%, 03/01/13 200,000 199,914
Public Service Electric & Gas Co.
5.13%, 09/01/12 250,000 255,444
South Carolina Electric & Gas Co.
5.30%, 05/15/33 150,000 138,718
Wisconsin Energy Corp.
5.88%, 04/01/06 100,000 106,928
6.50%, 04/01/11 100,000 110,196
------------
9,697,496
------------
Energy & Related--0.02%
MidAmerican Energy Holdings Co.
3.50%, 05/15/08 150,000 147,469
------------
147,469
------------
Environmental Control--0.05%
USA Waste Services Inc.
7.00%, 07/15/28 150,000 161,449
Waste Management Inc.
6.50%, 11/15/08 150,000 165,079
------------
326,528
------------
Food--1.06%
Albertson's Inc.
7.45%, 08/01/29 100,000 109,111
7.50%, 02/15/11 250,000 286,589
Archer-Daniels-Midland Co.
8.38%, 04/15/17 500,000 642,376
Campbell Soup Co.
4.88%, 10/01/13 250,000 250,265
ConAgra Foods Inc.
6.00%, 09/15/06 500,000 540,444
General Mills Inc.
5.13%, 02/15/07 500,000 531,129
Heinz (H.J.) Co.
6.63%, 07/15/11 250,000 282,960
Kellogg Co.
6.60%, 04/01/11 1,000,000 1,120,692
Kraft Foods Inc.
5.63%, 11/01/11 500,000 526,823
6.50%, 11/01/31 100,000 104,487
McDonald's Corp.
3.88%, 08/15/07 250,000 256,852
Safeway Inc.
7.50%, 09/15/09 1,085,000 1,247,377
Sara Lee Corp.
2.75%, 06/15/08 250,000 241,671
SUPERVALU Inc.
7.88%, 08/01/09 500,000 583,222
Tyson Foods Inc.
8.25%, 10/01/11 250,000 289,891
------------
7,013,889
------------
- ------------------------------------------------------------------------------------
Security Principal Value
- ------------------------------------------------------------------------------------
Forest Products & Paper--0.25%
International Paper Co.
6.75%, 09/01/11 $ 500,000 $ 555,887
MeadWestvaco Corp.
6.85%, 04/01/12 250,000 274,995
Weyerhaeuser Co.
6.00%, 08/01/06 250,000 267,699
6.75%, 03/15/12 250,000 272,735
7.38%, 03/15/32 250,000 271,826
------------
1,643,142
------------
Gas--0.10%
KeySpan Corp.
7.63%, 11/15/10 500,000 595,545
Southern California Gas Co.
4.80%, 10/01/12 100,000 100,612
------------
696,157
------------
Hand/Machine Tools--0.02%
Emerson Electric Co.
5.00%, 12/15/14 150,000 151,128
------------
151,128
------------
Health Care--0.03%
Johnson & Johnson
4.95%, 05/15/33 200,000 181,893
------------
181,893
------------
Home Builders--0.03%
Centex Corp.
4.75%, 01/15/08 100,000 103,175
Pulte Homes Inc.
7.88%, 08/01/11 100,000 117,863
------------
221,038
------------
Household Products/Wares--0.03%
Fortune Brands Inc.
2.88%, 12/01/06 100,000 100,619
Newell Rubbermaid Inc.
4.63%, 12/15/09 100,000 100,577
------------
201,196
------------
Insurance--0.35%
Allstate Corp.
7.20%, 12/01/09 1,000,000 1,166,397
Chubb Corp.
3.95%, 04/01/08 100,000 101,064
CNA Financial Corp.
6.75%, 11/15/06 100,000 106,607
Hartford Life Inc.
7.38%, 03/01/31 250,000 293,121
Lion Connecticut Holdings Inc.
7.63%, 08/15/26 100,000 114,131
MetLife Inc.
6.50%, 12/15/32 100,000 106,037
Prudential Financial Inc.
3.75%, 05/01/08 100,000 100,049
Radian Group Inc.
5.63%, 02/15/13 100,000 103,404
SAFECO Corp.
4.88%, 02/01/10 150,000 154,644
Travelers Property Casualty Corp.
6.38%, 03/15/33 100,000 104,277
------------
2,349,731
------------
Machinery--0.04%
Deere & Co.
6.95%, 04/25/14 250,000 290,829
------------
290,829
------------
190
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- ---------------------------------------------------------------------------------------
Security Principal Value
- ---------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- ---------------------------------------------------------------------------------------
Machinery--Construction & Mining--0.18%
Caterpillar Inc.
7.25%, 09/15/09 $1,000,000 $ 1,169,969
------------
1,169,969
------------
Manufacturers--0.04%
Honeywell International Inc.
6.13%, 11/01/11 250,000 274,902
------------
274,902
------------
Manufacturing--0.18%
Cooper Industries Inc.
5.50%, 11/01/09 100,000 107,539
General Electric Co.
5.00%, 02/01/13 400,000 404,534
Norsk Hydro ASA
6.36%, 01/15/09 590,000 655,219
------------
1,167,292
------------
Media--0.95%
AOL Time Warner Inc.
6.88%, 05/01/12 500,000 562,653
Clear Channel Communications Inc.
4.25%, 05/15/09 400,000 401,028
Comcast Cable Communications
8.38%, 05/01/07 500,000 579,690
Liberty Media Corp.
7.88%, 07/15/09 500,000 579,190
TCI Communications Inc.
8.75%, 08/01/15 1,000,000 1,265,524
Time Warner Entertainment Co.
8.38%, 03/15/23 1,000,000 1,239,115
Viacom Inc.
5.63%, 08/15/12 250,000 266,022
7.75%, 06/01/05 250,000 270,317
7.88%, 07/30/30 250,000 310,983
Walt Disney Co. (The)
6.38%, 03/01/12 250,000 274,902
6.75%, 03/30/06 500,000 543,823
------------
6,293,247
------------
Mining--0.29%
Alcan Inc.
4.88%, 09/15/12 500,000 498,739
Alcoa Inc.
7.38%, 08/01/10 1,000,000 1,172,220
BHP Finance (USA) Ltd.
4.80%, 04/15/13 250,000 250,637
------------
1,921,596
------------
Multi-National--0.44%
Asian Development Bank
6.75%, 06/11/07 1,000,000 1,126,400
Inter-American Development Bank
7.38%, 01/15/10 1,000,000 1,198,062
8.50%, 03/15/11 450,000 565,809
------------
2,890,271
------------
Office/Business Equipment--0.02%
Pitney Bowes Inc.
5.95%, 02/01/05 150,000 156,071
------------
156,071
------------
- ---------------------------------------------------------------------------------------
Security Principal Value
- ---------------------------------------------------------------------------------------
Oil & Gas Producers--1.37%
Alberta Energy Co. Ltd.
7.38%, 11/01/31 $ 250,000 $ 296,890
Amerada Hess Corp.
7.30%, 08/15/31 500,000 516,299
Anadarko Petroleum Corp.
7.15%, 05/15/28 500,000 563,341
Apache Finance Canada
7.75%, 12/15/29 250,000 309,881
BP Capital Markets PLC
2.35%, 06/15/06 500,000 501,339
4.00%, 04/29/05 250,000 258,026
Conoco Funding Co.
6.35%, 10/15/11 750,000 840,869
Devon Financing Corp. ULC
6.88%, 09/30/11 1,000,000 1,133,925
Enterprise Products Partners LP
6.88%, 03/01/33 100,000 99,925
Kerr-McGee Corp.
6.88%, 09/15/11 200,000 222,507
Lasmo (USA) Inc.
6.75%, 12/15/07 100,000 112,160
Marathon Oil Corp.
6.13%, 03/15/12 500,000 540,724
Occidental Petroleum Corp.
7.20%, 04/01/28 250,000 286,980
7.38%, 11/15/08 500,000 576,788
Petroleos Mexicanos
9.38%, 12/02/08 500,000 595,000
Phillips 66 Capital Trust II
8.00%, 01/15/37 1,000,000 1,123,577
Texaco Capital Inc.
5.50%, 01/15/09 500,000 545,597
Transocean Inc.
6.75%, 04/15/05 250,000 263,967
Union Oil Co. of California
5.05%, 10/01/12 100,000 101,085
Valero Energy Corp.
4.75%, 06/15/13 200,000 189,521
------------
9,078,401
------------
Pharmaceuticals--0.34%
American Home Products Corp.
6.25%, 03/15/06 500,000 539,332
Bristol-Myers Squibb Co.
5.75%, 10/01/11 500,000 540,311
Lilly (Eli) & Co.
2.90%, 03/15/08 150,000 147,653
Merck & Co. Inc.
4.38%, 02/15/13 200,000 196,872
Pharmacia Corp.
6.50%, 12/01/18 500,000 580,987
Wyeth
5.50%, 03/15/13 250,000 254,490
------------
2,259,645
------------
Pipelines--0.29%
Duke Energy Field Services Corp.
7.50%, 08/16/05 500,000 537,231
7.88%, 08/16/10 500,000 585,779
Kinder Morgan Energy Partners LP
5.35%, 08/15/07 500,000 535,705
TransCanada PipeLines Ltd.
4.00%, 06/15/13 250,000 233,094
------------
1,891,809
------------
191
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- -----------------------------------------------------------------------------------------
Security Principal Value
- -----------------------------------------------------------------------------------------
CORPORATE BONDS & NOTES--(Continued)
- -----------------------------------------------------------------------------------------
Publishing--0.09%
News America Holdings Inc.
7.60%, 10/11/15 $ 500,000 $ 589,156
------------
589,156
------------
Real Estate--0.12%
EOP Operating LP
7.00%, 07/15/11 500,000 564,206
ERP Operating LP
5.20%, 04/01/13 250,000 251,570
------------
815,776
------------
Real Estate Investment Trusts--0.10%
Archstone-Smith Trust
5.00%, 08/15/07 100,000 104,925
Boston Properties Inc.
6.25%, 01/15/13 250,000 268,261
Simon Property Group Inc.
6.35%, 08/28/12 250,000 271,667
------------
644,853
------------
Retail--0.53%
Federated Department Stores Inc.
6.30%, 04/01/09 253,000 277,563
Fred Meyer Inc.
7.45%, 03/01/08 1,000,000 1,138,932
May Department Stores Co.
7.90%, 10/15/07 250,000 286,895
Target Corp.
7.00%, 07/15/31 500,000 566,893
Wal-Mart Stores Inc.
7.55%, 02/15/30 1,000,000 1,230,687
------------
3,500,970
------------
Telecommunication Equipment--0.08%
Motorola Inc.
6.75%, 02/01/06 250,000 269,321
7.63%, 11/15/10 250,000 287,325
------------
556,646
------------
Telecommunications--0.75%
Alltel Corp.
7.00%, 07/01/12 250,000 283,863
AT&T Wireless Services Inc.
7.88%, 03/01/11 750,000 867,860
British Telecom PLC
7.88%, 12/15/05 500,000 551,007
8.38%, 12/15/10 500,000 608,438
Cingular Wireless LLC
6.50%, 12/15/11 250,000 273,395
Citizens Communications
8.50%, 05/15/06 500,000 545,931
Cox Communications Inc.
4.63%, 06/01/13 250,000 241,025
Cox Communications Inc. Class A
5.50%, 10/01/15 175,000 176,034
Verizon Wireless Inc.
5.38%, 12/15/06 500,000 533,551
Vodafone Group PLC
7.75%, 02/15/10 750,000 888,896
------------
4,970,000
------------
- -----------------------------------------------------------------------------------------
Security Principal Value
- -----------------------------------------------------------------------------------------
Telephone--1.40%
AT&T Corp.
7.25%, 11/15/06 $ 250,000 $ 276,459
8.75%, 11/15/31 500,000 584,282
BellSouth Corp.
6.00%, 10/15/11 250,000 271,060
6.88%, 10/15/31 500,000 547,069
Deutsche Telekom International Finance AG
8.50%, 06/15/10 1,000,000 1,209,116
France Telecom SA
8.70%, 03/01/06 200,000 223,399
9.00%, 03/01/11 250,000 300,271
9.75%, 03/01/31 250,000 332,169
GTE Corp.
7.51%, 04/01/09 500,000 575,121
Koninklijke KPN NV
8.00%, 10/01/10 500,000 598,134
Pacific Bell
7.13%, 03/15/26 250,000 280,235
SBC Communications Inc.
5.75%, 05/02/06 250,000 268,257
6.25%, 03/15/11 250,000 273,666
Sprint Capital Corp.
6.13%, 11/15/08 1,000,000 1,065,876
Telecom Italia Capital
5.25%, 11/15/13 1 500,000 500,996
Telefonica Europe BV
8.25%, 09/15/30 500,000 631,138
Verizon New York Inc.
7.38%, 04/01/32 500,000 550,489
Verizon Pennsylvania Inc.
5.65%, 11/15/11 500,000 524,414
Verizon Virginia Inc.
4.63%, 03/15/13 250,000 240,946
------------
9,253,097
------------
Tobacco--0.12%
Altria Group Inc.
7.00%, 11/04/13 500,000 533,398
Philip Morris
7.00%, 07/15/05 250,000 263,276
------------
796,674
------------
Transportation--0.66%
Burlington Northern Santa Fe Corp.
7.13%, 12/15/10 1,000,000 1,157,697
Canadian National Railway Co.
6.45%, 07/15/06 800,000 866,526
CSX Corp.
7.95%, 05/01/27 330,000 400,204
FedEx Corp.
9.65%, 06/15/12 150,000 196,215
Norfolk Southern Corp.
7.70%, 05/15/17 500,000 602,532
Union Pacific Corp.
6.79%, 11/09/07 1,000,000 1,117,170
------------
4,340,344
------------
TOTAL CORPORATE BONDS & NOTES
(Cost: $191,277,990) 202,214,147
------------
- -----------------------------------------------------------------------------------------
MUNICIPAL DEBT OBLIGATIONS--0.25%
- -----------------------------------------------------------------------------------------
Illinois--0.11%
Illinois State, Pension Funding
5.10%, 06/01/33 800,000 735,576
------------
735,576
------------
192
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- -----------------------------------------------------------------------------------------------------
Security Principal Value
- -----------------------------------------------------------------------------------------------------
MUNICIPAL DEBT OBLIGATIONS--(Continued)
- -----------------------------------------------------------------------------------------------------
New Jersey--0.11%
New Jersey State Turnpike Authority, Turnpike Revenue
4.25%, 01/01/16 $ 750,000 $ 716,820
------------
716,820
------------
Oregon--0.03%
Oregon State, General Obligations
5.76%, 06/01/23 200,000 207,502
------------
207,502
------------
TOTAL MUNICIPAL DEBT OBLIGATIONS
(Cost: $1,648,659) 1,659,898
------------
- -----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS & NOTES5--2.26%
- -----------------------------------------------------------------------------------------------------
British Columbia (Province of)
6.50%, 01/15/26 250,000 282,312
Canada (Government of)
5.25%, 11/05/08 250,000 270,953
Chile (Republic of)
5.50%, 01/15/13 150,000 154,275
Finland (Republic Of)
6.95%, 02/15/26 250,000 293,109
Hydro-Quebec
6.30%, 05/11/11 500,000 563,903
Israel (State of)
4.63%, 06/15/13 100,000 95,369
Italy (Republic of)
4.38%, 10/25/06 1,000,000 1,047,510
6.00%, 02/22/11 2,000,000 2,229,434
6.88%, 09/27/23 250,000 295,334
Korea (Republic of)
8.88%, 04/15/08 250,000 301,093
Lombardy (Region of)
5.80%, 10/25/32 100,000 102,428
Malaysia (Government of)
7.50%, 07/15/11 250,000 295,740
Manitoba (Province of)
4.25%, 11/20/06 1,000,000 1,040,986
Mexico Government International Bond
9.88%, 01/15/07 250,000 297,500
New Brunswick (Province of)
3.50%, 10/23/07 150,000 152,592
Nova Scotia (Province of)
5.75%, 02/27/12 500,000 537,139
Ontario (Province of)
3.28%, 03/28/08 250,000 247,334
People's Republic Of China
4.75%, 10/29/13 250,000 246,515
Poland (Republic of)
5.25%, 01/15/14 200,000 200,000
Quebec (Province of)
5.75%, 02/15/09 1,000,000 1,093,365
6.13%, 01/22/11 1,000,000 1,114,701
Saskatchewan (Province of)
7.38%, 07/15/13 230,000 277,924
South Africa (Republic of)
7.38%, 04/25/12 250,000 280,625
United Mexican States
6.38%, 01/16/13 1,500,000 1,556,250
8.13%, 12/30/19 1,000,000 1,117,500
8.30%, 08/15/31 250,000 281,875
8.50%, 02/01/06 500,000 559,500
------------
TOTAL FOREIGN GOVERNMENT BONDS & NOTES
(Cost: $14,318,038) 14,935,266
------------
- -----------------------------------------------------------------------------------------------------
Security Principal Value
- -----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS--81.64%
- -----------------------------------------------------------------------------------------------------
U.S. Government Securities--29.30%
U.S. Treasury Bonds
5.25%, 02/15/29 $1,700,000 $ 1,715,008
5.38%, 02/15/31 600,000 625,711
6.00%, 02/15/26 1,800,000 1,996,101
6.13%, 11/15/27 2,600,000 2,931,297
6.25%, 05/15/30 10,400,000 12,001,434
6.50%, 11/15/26 1,950,000 2,293,992
7.13%, 02/15/23 2,700,000 3,369,832
7.25%, 05/15/16 1,800,000 2,245,430
7.50%, 11/15/24 400,000 521,703
7.63%, 02/15/25 3,200,000 4,226,125
8.00%, 11/15/21 4,250,000 5,739,825
8.13%, 08/15/19 4,030,000 5,443,647
8.75%, 05/15/17 1,600,000 2,242,250
8.75%, 05/15/20 1,800,000 2,570,344
9.13%, 05/15/18 1,500,000 2,175,528
9.25%, 02/15/16 600,000 861,211
9.38%, 02/15/06 800,000 924,031
9.88%, 11/15/15 400,000 596,406
10.38%, 11/15/09 3,100,000 3,339,404
10.38%, 11/15/12 1,300,000 1,658,566
11.25%, 02/15/15 650,000 1,040,356
11.75%, 11/15/14 500,000 717,090
12.50%, 08/15/14 400,000 585,141
12.75%, 11/15/10 200,000 239,695
13.25%, 05/15/14 850,000 1,263,379
13.88%, 05/15/11 600,000 762,117
U.S. Treasury Notes
1.50%, 02/28/05 6,700,000 6,715,443
1.75%, 12/31/04 750,000 753,779
1.88%, 11/30/05 20,000,000 20,037,500
3.00%, 11/15/07 10,270,000 10,358,260
3.38%, 12/15/08 15,000,000 15,101,955
3.50%, 11/15/06 3,750,000 3,876,124
3.88%, 02/15/13 11,060,000 10,826,700
4.00%, 11/15/12 2,550,000 2,525,497
4.25%, 08/15/13 11,000,000 11,013,750
4.38%, 05/15/07 2,000,000 2,117,890
4.38%, 08/15/12 550,000 560,914
4.63%, 05/15/06 5,550,000 5,882,134
4.75%, 11/15/08 900,000 963,492
5.50%, 05/15/09 800,000 889,656
5.63%, 02/15/06 1,000,000 1,077,695
5.63%, 05/15/08 7,900,000 8,751,099
5.75%, 11/15/05 8,250,000 8,857,794
5.88%, 11/15/04 1,800,000 1,872,140
6.00%, 08/15/09 1,000,000 1,132,695
6.13%, 08/15/07 3,100,000 3,469,458
6.25%, 02/15/07 1,200,000 1,337,626
6.50%, 05/15/05 1,000,000 1,068,750
6.50%, 08/15/05 2,400,000 2,589,187
6.50%, 02/15/10 1,800,000 2,091,656
6.75%, 05/15/05 4,000,000 4,288,124
6.88%, 05/15/06 1,100,000 1,222,848
7.00%, 07/15/06 1,400,000 1,568,164
7.88%, 11/15/04 1,000,000 1,057,227
------------
194,093,180
------------
Mortgage-Backed Securities--40.97%
Federal Home Loan Mortgage Corporation
4.00%, 01/20/19 2 4,000,000 3,906,248
4.50%, 08/01/18 4,895,248 4,900,362
4.50%, 10/01/18 3,963,625 3,967,765
4.50%, 11/01/18 995,962 997,003
193
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- ------------------------------------------------------------------------------------------
Security Principal Value
- ------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS--(Continued)
- ------------------------------------------------------------------------------------------
4.50%, 01/01/19 2 $10,000,000 $ 9,996,880
5.00%, 01/01/18 2 5,000,000 5,092,190
5.00%, 05/01/18 5,364,494 5,471,593
5.00%, 08/01/18 981,467 1,001,061
5.00%, 08/01/33 1,981,022 1,956,441
5.00%, 09/01/33 4,966,063 4,904,443
5.00%, 10/01/33 3,989,747 3,940,242
5.50%, 02/01/18 3,612,146 3,746,605
5.50%, 01/01/19 2 4,000,000 4,143,752
5.50%, 01/01/33 2 14,000,000 14,166,250
5.50%, 04/01/33 2,861,057 2,897,084
5.50%, 07/01/33 9,533,192 9,653,233
5.50%, 11/01/33 998,975 1,011,554
6.00%, 11/01/16 332,782 349,179
6.00%, 05/01/17 322,809 338,744
6.00%, 06/01/17 427,067 448,147
6.00%, 01/01/19 2 1,000,000 1,047,500
6.00%, 01/01/34 2 11,000,000 11,364,375
6.50%, 01/01/17 1,564,083 1,656,833
6.50%, 06/01/31 785,820 823,095
6.50%, 09/01/31 245,056 256,680
6.50%, 01/01/34 2 16,000,000 16,755,008
7.00%, 02/01/16 858,467 916,628
7.00%, 12/01/31 1,497,400 1,584,318
7.00%, 01/01/32 1,643,392 1,738,784
7.50%, 06/01/27 516,293 555,412
7.50%, 01/01/28 958,515 1,031,140
7.50%, 10/01/29 806,518 868,757
8.00%, 12/01/24 2,292,336 2,503,084
Federal National Mortgage Association
4.00%, 11/01/18 999,901 975,636
4.00%, 12/01/18 999,901 975,636
4.50%, 11/01/18 6,971,722 6,987,719
4.50%, 12/01/18 995,910 998,195
5.00%, 03/01/18 933,612 953,418
5.00%, 05/01/18 10,198,249 10,414,598
5.00%, 06/01/18 974,122 994,787
5.00%, 07/01/18 954,107 974,348
5.00%, 06/01/33 2,968,598 2,939,184
5.00%, 10/01/33 995,987 986,119
5.00%, 11/01/33 8,978,607 8,889,646
5.00%, 12/01/33 1,997,855 1,978,060
5.00%, 01/01/34 2 5,000,000 4,946,875
5.50%, 01/01/18 2,749,901 2,852,835
5.50%, 02/01/18 3,386,426 3,513,062
5.50%, 04/01/18 892,021 925,440
5.50%, 06/01/33 9,304,960 9,430,851
5.50%, 07/01/33 14,706,130 14,905,096
6.00%, 06/01/16 289,716 304,209
6.00%, 07/01/16 354,795 372,544
6.00%, 01/01/17 448,580 471,020
6.00%, 07/01/17 3,964,291 4,162,997
6.00%, 12/01/32 7,377,355 7,629,010
6.00%, 07/01/33 1,826,680 1,889,069
6.00%, 01/01/34 2 8,000,000 8,267,504
6.50%, 02/01/17 1,179,664 1,251,650
6.50%, 01/01/29 9,118,074 9,547,242
6.50%, 08/01/32 8,464,044 8,853,298
6.50%, 09/01/32 1,501,602 1,570,659
7.00%, 03/01/30 1,593,857 1,688,959
7.00%, 02/01/32 2,026,148 2,145,496
7.50%, 06/01/30 123,099 131,551
7.50%, 07/01/31 179,119 191,469
- ------------------------------------------------------------------------------------------
Security Principal Value
- ------------------------------------------------------------------------------------------
Government National Mortgage Association
5.00%, 05/15/33 $ 990,634 $ 981,283
5.00%, 08/15/33 998,668 990,616
5.00%, 09/15/33 993,595 985,584
5.50%, 05/15/33 956,609 973,529
5.50%, 06/15/33 3,838,085 3,905,972
6.00%, 02/15/33 5,234,365 5,444,721
6.50%, 03/15/32 412,925 435,344
6.50%, 05/15/32 3,345,359 3,526,988
6.50%, 10/15/32 23,442 24,715
7.00%, 09/15/31 3,135,897 3,343,974
7.50%, 12/15/23 3,376,694 3,645,247
------------
271,366,545
------------
U.S. Government Agency Obligations--11.37%
Federal Home Loan Bank
5.38%, 05/15/06 3,000,000 3,213,639
5.75%, 05/15/12 1,800,000 1,960,481
5.95%, 07/28/08 3,500,000 3,874,622
6.09%, 06/02/06 1,500,000 1,632,706
6.75%, 08/15/07 700,000 788,509
Federal Home Loan Mortgage Corporation
2.88%, 09/15/05 6,460,000 6,578,108
3.50%, 09/15/07 6,400,000 6,510,522
4.75%, 10/11/12 2,000,000 1,969,006
5.50%, 07/15/06 1,600,000 1,723,917
5.75%, 03/15/09 500,000 549,728
5.75%, 01/15/12 2,200,000 2,396,662
6.25%, 07/15/32 1,720,000 1,870,521
6.75%, 09/15/29 70,000 80,545
6.88%, 01/15/05 3,500,000 3,697,645
6.88%, 09/15/10 200,000 232,284
7.00%, 07/15/05 1,000,000 1,080,429
Federal National Mortgage Association
0.00%, 06/01/17 1,000,000 471,101
2.25%, 05/15/06 1,970,000 1,969,990
3.88%, 03/15/05 6,000,000 6,175,344
5.25%, 03/22/07 2,000,000 2,017,702
5.25%, 01/15/09 1,000,000 1,076,242
5.50%, 03/15/11 3,300,000 3,558,750
5.88%, 02/02/06 1,700,000 1,831,769
6.00%, 05/15/11 1,500,000 1,662,510
6.25%, 02/01/11 1,000,000 1,105,454
6.25%, 05/15/29 1,100,000 1,191,608
6.38%, 06/15/09 394,000 445,536
6.63%, 10/15/07 1,000,000 1,127,608
6.63%, 11/15/10 3,600,000 4,136,314
7.00%, 07/15/05 3,500,000 3,781,116
7.25%, 01/15/10 800,000 943,229
Financing Corp.
8.60%, 09/26/19 1,150,000 1,555,697
9.65%, 11/02/18 500,000 730,269
Tennessee Valley Authority
6.25%, 12/15/17 1,600,000 1,762,899
6.88%, 12/15/43 1,000,000 1,043,109
7.13%, 05/01/30 450,000 539,476
------------
75,285,047
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost: $532,296,225) 540,744,772
------------
194
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- -----------------------------------------------------------------------
Shares or
Security Principal Value
- -----------------------------------------------------------------------
SHORT TERM INVESTMENTS--25.24%
- -----------------------------------------------------------------------
Money Market Funds--15.99%
Barclays Global
Investors Funds
Institutional Money
Market Fund,
Institutional Shares 3 4 86,299,378 $ 86,299,378
Barclays Global
Investors Funds
Prime Money
Market Fund,
Institutional Shares 3 4 15,666,498 15,666,498
BlackRock Temp Cash
Money Market Fund 3 561,723 561,723
Short Term
Investment Co.--
Liquid Assets
Money Market
Portfolio 3 3,384,901 3,384,901
------------
105,912,500
------------
Floating Rate Notes--4.18%
Beta Finance Inc.
1.11%, 05/20/04 1 3 $ 712,114 712,073
1.12%, 09/15/04 1 3 1,424,227 1,424,127
1.13%, 10/12/04 1 3 712,114 712,059
1.20%, 08/23/04 1 3 712,114 712,505
CC USA Inc.
1.06%, 05/24/04 1 3 1,424,227 1,424,172
1.11%, 04/19/04 1 3 626,660 626,651
1.16%, 07/15/04 1 3 712,114 712,251
Dorada Finance Inc.
1.11%, 05/20/04 1 3 1,424,227 1,424,146
1.24%, 08/09/04 3 356,057 356,025
Five Finance Inc.
1.13%, 04/15/04 1 3 712,114 712,114
HBOS Treasury Services PLC
1.16%, 01/24/05 3 1,424,227 1,424,227
Holmes Financing PLC
1.12%, 04/15/04 3 284,845 284,845
K2 USA LLC
1.10%, 09/27/04 1 3 1,538,165 1,537,996
1.12%, 08/16/04 1 3 356,057 356,024
1.13%, 05/17/04 3 712,114 712,100
1.14%, 04/13/04 3 712,114 712,104
Links Finance LLC
1.10%, 06/28/04 3 712,114 712,044
1.10%, 07/20/04 3 569,691 569,628
1.11%, 03/29/04 3 712,114 712,114
1.14%, 05/04/04 3 712,114 712,102
Nationwide Building Society
1.14%, 07/23/04 1 3 1,068,170 1,068,170
1.17%, 12/28/04 1 3 1,424,227 1,424,227
Permanent Financing PLC
1.13%, 12/10/04 3 712,114 712,114
Sigma Finance Inc.
1.09%, 10/07/04 3 1,424,227 1,424,010
1.10%, 07/20/04 3 712,114 712,036
1.13%, 07/01/04 3 712,114 712,026
1.24%, 08/06/04 3 356,057 356,036
- -----------------------------------------------------------------------
Security Principal Value
- -----------------------------------------------------------------------
Tango Finance Corp.
1.09%, 07/15/04 1 3 $ 427,268 $ 427,193
1.10%, 07/06/04 1 3 427,268 427,246
WhistleJacket Capital LLC
1.12%, 09/15/04 1 3 712,114 712,014
White Pine Finance LLC
1.10%, 08/26/04 1 3 712,114 712,042
1.12%, 04/20/04 1 3 712,114 712,114
1.12%, 11/15/04 1 3 854,536 854,536
1.13%, 07/06/04 1 3 854,536 854,495
------------
27,657,566
------------
Time Deposits--1.56%
Abbey National Treasury Services PLC
1.40%, 10/25/04 3 1,424,227 1,424,049
Bank of New York
1.39%, 11/01/04 3 1,424,227 1,424,109
Bank of Nova Scotia
1.24%, 10/07/04 3 1,068,170 1,068,089
1.42%, 10/29/04 3 1,068,170 1,068,236
Canadian Imperial Bank of Commerce
1.24%, 10/07/04 3 1,068,170 1,068,048
1.40%, 10/29/04 3 1,424,227 1,424,198
SunTrust Bank
0.81%, 01/02/04 3 1,780,284 1,780,284
Toronto-Dominion Bank
1.41%, 11/01/04 3 1,068,170 1,068,081
------------
10,325,094
------------
Repurchase Agreements--1.50%
Goldman, Sachs & Co.
1.02%, 01/02/04 3 4,272,681 4,272,681
Merrill Lynch
0.98%, 01/02/04 3 1,424,227 1,424,227
0.98%, 01/02/04 3 1,424,227 1,424,227
1.00%, 01/02/04 3 2,848,454 2,848,454
------------
9,969,589
------------
Commercial Paper--1.49%
Alpine Securitization Corp.
1.09%, 01/07/04 3 712,114 712,006
1.09%, 01/09/04 3 712,114 711,963
1.10%, 01/20/04 3 712,114 711,722
Amsterdam Funding Corp.
1.09%, 01/07/04 3 712,114 712,006
1.09%, 01/20/04 3 712,114 711,725
Barton Capital Corp.
1.09%, 01/13/04 3 427,268 427,126
Edison Asset Securitization
1.09%, 01/23/04 3 712,114 711,661
Falcon Asset Securitization
1.09%, 01/16/04 3 1,424,227 1,423,623
Jupiter Securitization Corp.
1.09%, 01/14/04 3 1,566,650 1,566,083
Preferred Receivables Funding Corp.
1.09%, 01/12/04 3 1,281,804 1,281,417
Receivables Capital Corp.
1.02%, 01/06/04 3 896,850 896,748
------------
9,866,080
------------
195
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Bond Index
Master Portfolio
- -----------------------------------------------------------------------
Security Principal Value
- -----------------------------------------------------------------------
U.S. Government Agency Notes--0.52%
Federal Home Loan Mortgage Corporation
1.15%, 05/12/04 3 $ 1,068,170 $ 1,063,700
1.28%, 08/19/04 3 569,691 565,032
Federal National Mortgage Association
1.28%, 08/20/04 3 1,851,496 1,836,288
------------
3,465,020
------------
TOTAL SHORT TERM INVESTMENTS
(Cost: $167,195,849) 167,195,849
------------
TOTAL INVESTMENTS IN SECURITIES--139.92%
(Cost $906,736,761) 926,749,932
Other Assets, Less Liabilities--
(39.92%) (264,398,511)
------------
NET ASSETS--100.00% $662,351,421
============
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 Issuer is an affiliate of the Master Portfolio's investment advisor.
See Note 2.
5 Investment is denominated in U.S. dollars.
196 The accompanying notes are an integral part of these financial statements.
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--98.15%
- ---------------------------------------------------------------------------
Advertising--0.50%
ADVO Inc. 2,553 $ 81,083
APAC Customer
Services Inc. 1 3,944 10,254
aQuantive, Inc. 1 3,197 32,769
Catalina Marketing
Corp. 1 4,263 85,942
Donnelley (R.H.) Corp. 1 2,389 95,178
Getty Images Inc. 1 4,437 222,427
Grey Global Group Inc. 55 37,568
Harte-Hanks Inc. 6,843 148,835
Lamar Advertising Co. 1 6,886 256,986
MKTG Services Inc. 1 938 3,349
Modem Media Inc. 1 2,000 16,340
Obie Media Corp. 1 1,917 5,023
SITEL Corp. 1 4,768 11,109
24/7 Real Media Inc. 1 2,732 3,661
ValueVision Media
Inc. Class A 1 2,752 45,958
West Corp. 1 4,550 105,696
------------
1,162,178
------------
Aerospace/Defense--0.54%
AAR Corp. 1 2,040 30,498
Alliant Techsystems
Inc. 1 2,796 161,497
Arotech Corp. 1 2,539 4,621
BE Aerospace Inc. 1 2,187 11,810
Curtiss-Wright Corp. 2,112 95,061
DRS Technologies Inc. 1 2,006 55,727
Fairchild Corp. (The)
Class A 1 6,531 32,916
GenCorp. Inc. 2,957 31,847
HEICO Corp. 1,410 25,662
HEICO Corp. Class A 1,469 20,684
Kreisler
Manufacturing
Corp. 1 2,500 12,525
L-3 Communications
Holdings Inc. 1 7,379 378,985
MTC Technologies
Inc. 1 519 16,722
Orbital Sciences Corp. 1 4,247 51,049
Sequa Corp. Class A 1 977 47,873
Teledyne
Technologies Inc. 1 2,457 46,314
Titan Corp. (The) 1 6,162 134,393
United Defense
Industries Inc. 1 1,873 59,711
Verilink Corp. 1 3,292 17,217
------------
1,235,112
------------
Agriculture--0.16%
Bunge Ltd. 8,044 264,808
Delta & Pine Land Co. 3,114 79,096
DIMON Inc. 4,000 27,000
Northland Cranberries
Inc. Class A 1 532 372
Scheid Vineyards Inc.
Class A 1 1,554 7,986
------------
379,262
------------
Airlines--0.42%
Airtran Holdings Inc. 1 5,740 68,306
Alaska Air Group Inc. 1 2,150 58,673
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
American West
Holdings Corp.
Class B 1 2,779 $ 34,460
AMR Corp. 1 12,795 165,695
Atlantic Coast Airlines
Holdings Inc. 1 3,422 33,878
Continental Airlines
Inc. Class B 1 5,112 83,172
ExpressJet Holdings
Inc. 1 5,272 79,080
Frontier Airlines Inc. 1 2,200 31,372
JetBlue Airways Corp. 1 7,545 200,093
Mesa Air Group Inc. 1 1,695 21,221
Midwest Express
Holdings Inc. 1 1,830 7,704
Northwest Airlines
Corp. 1 7,037 88,807
SkyWest Inc. 4,454 80,706
World Airways Inc. 1 4,415 14,658
------------
967,825
------------
Apparel--0.31%
Carte's Inc. 1 1,476 37,564
Cherokee Inc. 1,989 45,230
Dickie Walker Marine
Inc. 1 3,251 6,014
Gymboree Corp. 1 2,800 48,244
JLM Couture Inc. 1 2,484 12,668
K-Swiss Inc. Class A 2,952 71,025
Oxford Industries Inc. 1,872 63,423
Phillips-Van Heusen Corp. 2,403 42,629
Quiksilver Inc. 1 3,930 69,679
Russell Corp. 1,825 32,047
Stride Rite Corp. 4,777 54,362
Timberland Co.
Class A 1 2,781 144,807
Unifi Inc. 1 4,132 26,651
Warnaco Group Inc.
(The) 1 3,139 50,067
------------
704,410
------------
Auto Manufacturers--0.25%
Aftermarket
Technology Corp. 1 1,845 25,313
American Axle &
Manufacturing
Holdings Inc. 1 3,895 157,436
CLARCOR Inc. 2,125 93,712
Dura Automotive
Systems Inc. 1 1,122 14,328
Oshkosh Truck Corp. 2,365 120,686
Smith (A.O.) Corp. 2,055 72,028
Starcraft Corp. 1 542 17,593
Titan International Inc. 2,171 6,643
Wabash National
Corp. 1 2,527 74,041
------------
581,780
------------
Auto Parts & Equipment--0.42%
Amerigon Inc. Class A 1 2,530 10,935
ArvinMeritor Inc. 4,846 116,886
Bandag Inc. 1,921 79,145
BorgWarner Inc. 2,275 193,534
Collins & Aikman
Corp. 1 4,981 21,568
Edelbrock Corp. 1,907 23,971
Lear Corp. 4,880 299,290
Modine Manufacturing Co. 1,928 52,017
197
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
Strattec Security
Corp. 1 247 $ 15,045
Superior Industries
International Inc. 2,140 93,133
Tenneco Automotive
Inc. 1 6,600 44,154
Tower Automotive
Inc. 1 3,881 26,507
------------
976,185
------------
Banks--9.34%
Alabama National Bancorp 707 37,153
Alliance Bankshares
Corp. 1 637 12,141
AMB Financial Corp. 2,250 32,287
AMCORE Financial Inc. 2,295 62,011
American Pacific Bank
Class B 1 4,500 38,245
Anchor BanCorp
Wisconsin Inc. 2,823 70,293
Arch Capital Group
Ltd. 1 2,425 96,660
Associated Bancorp 6,278 267,757
Astoria Financial Corp. 5,892 219,182
Banc Corp. (The) 1 1,790 15,215
BancFirst Corp. 642 37,687
BancorpSouth Inc. 5,411 128,349
BancTrust Financial Group
Inc. 1,782 28,548
Bank Mutual Corp. 7,513 85,576
Bank of Hawaii Corp. 4,988 210,494
BankAtlantic Bancorp Inc.
Class A 3,321 63,099
Banknorth Group Inc. 12,403 403,470
BankUnited Financial
Corp. Class A 1 1,170 30,174
Bay View Capital Corp. 5,541 11,858
Blue River Bancshares
Inc. 1 3,979 24,829
BOK Financial Corp. 1 4,283 165,838
Boston Private Financial
Holdings Inc. 2,594 64,435
BostonFed Bancorp Inc. 1,892 66,031
Brookline Bancorp Inc. 7,531 115,526
Bryn Mawr Bank Corp. 2,116 51,821
Capital Bank Corp. 2,565 39,629
Capital City Bank Group
Inc. 1,782 81,954
Capital Crossing Bank 1 2,481 117,453
Cardinal Financial
Corp. 1 2,285 18,897
Cascade Bancorp 1,997 38,462
Cascade Financial Corp. 1,033 20,019
Cathay General Bancorp 2,683 149,389
Central Pacific Financial
Corp. 1,212 36,408
CFS Bancorp Inc. 3,746 55,591
Charter Financial Corp. 700 26,089
Chemical Financial Corp. 2,958 107,642
Chester Bancorp Inc. 2 1,100 23,100
Chester Valley Bancorp 1,469 34,022
Chittenden Corp. 3,000 100,920
Citizens Banking Corp. 3,547 116,058
Citizens First Financial
Corp. 1,522 38,811
City Bank 1,463 47,972
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
City Holding Co. 500 $ 17,500
City National Corp. 4,398 273,204
Coastal Financial Corp. 1,536 27,141
CoBiz Inc. 1,419 26,138
Colonial BancGroup Inc.
(The) 10,094 174,828
Commerce Bancorp Inc. 5,807 305,913
Commerce Bancshares Inc. 5,561 272,600
Commercial Capital
Bancorp Inc. 1 1,050 22,480
Commercial Federal Corp. 3,700 98,827
Community Bank System
Inc. 1,077 52,773
Community First
Bankshares Inc. 3,057 88,470
Community Trust Bancorp
Inc. 1,210 36,542
Compass Bancshares Inc. 9,779 384,413
Connecticut Bankshares
Inc. 1,618 83,392
Corus Bankshares Inc. 3,302 104,211
Cullen/Frost Bankers Inc. 4,533 183,904
CVB Financial Corp. 4,754 91,709
Dime Community
Bancshares 2,184 67,180
Downey Financial Corp. 1,943 95,790
East West Bancorp Inc. 2,200 118,096
Eastern Virginia
Bankshares 1,122 32,605
Farmers Capital Bank Corp. 2,094 71,217
Fidelity Bankshares Inc. 3,019 94,797
Fidelity Southern Corp. 2,763 36,610
Financial Institutions Inc. 1,499 42,317
First Bancorp 3,199 126,520
First Bancorp (North
Carolina) 858 26,950
First Charter Corp. 1,246 24,359
First Citizens BancShares
Inc. Class A 909 110,471
First Commonwealth
Financial Corp. 3,870 55,186
First Community Bancorp 1,788 64,618
First Federal Financial of
Kentucky 607 15,266
First Financial Bancorp 3,790 60,450
First Financial Bankshares
Inc. 500 20,850
First Kansas Financial
Corp. 1,900 35,625
First Merchants Corp. 1,749 44,634
First Midwest Bancorp Inc. 3,565 115,542
First Niagara Financial
Group Inc. 7,581 113,033
First Oak Brook
Bancshares Class A 1,542 46,275
First of Long Island Corp. 696 29,928
First Republic Bank 1,782 63,796
First Sentinel Bancorp Inc. 4,730 99,614
1st Source Corp. 2,146 46,160
FirstBank NW Corp. 346 10,502
FIRSTFED AMERICA
BANCORP INC. 2,578 67,105
FirstFed Financial
Corp. 1 1,845 80,257
FirstMerit Corp. 6,911 186,390
Flagstar Bancorp Inc. 4,220 90,392
FMS Financial Corp. 1,000 18,000
FNB Corp. (Florida) 2,977 105,535
Frontier Financial Corp. 2,004 66,453
198
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
Fulton Financial Corp. 8,811 $ 193,049
GA Financial Inc. 2,017 70,050
Glacier Bancorp Inc. 1,512 48,989
Gold Bancorp Inc. 2,059 28,950
Greater Bay Bancorp 3,955 112,638
GreenPoint Financial Corp. 9,789 345,747
Hancock Holding Co. 1,752 95,607
Harbor Florida Bancshares
Inc. 4,183 124,277
Harleysville National Corp. 1,000 30,100
Harrington West Financial
Group Inc. 1,953 32,420
Heritage Financial Corp. 634 13,872
Hibernia Corp. Class A 12,240 287,762
Home City Financial Corp. 869 14,990
Home Financial Bancorp 2,244 14,160
Horizon Financial Services
Corp. 900 13,275
Hudson City Bancorp Inc. 14,375 548,837
Hudson River Bancorp Inc. 1,717 67,015
Hudson United Bancorp 3,294 121,713
Independence Community
Bank Corp. 4,216 151,650
Independent Bank Corp.
(Massachusetts) 1,748 50,377
Independent Bank Corp.
(Michigan) 3,773 107,002
IndyMac Bancorp Inc. 4,583 136,528
Integra Bank Corp. 1,697 37,295
International Bancshares
Corp. 3,043 143,477
Investors Financial
Services Corp. 5,215 200,308
Irwin Financial Corp. 2,592 81,389
KNBT Bancorp Inc. 1 2,005 35,255
Local Financial Corp. 1 1,789 37,283
M&T Bank Corp. 9,055 890,106
MAF Bancorp Inc. 2,336 97,878
Main Street Banks Inc. 1,000 26,500
MB Financial Inc. 852 31,013
Medallion Financial Corp. 1,916 18,183
Mercantile Bankshares
Corp. 6,589 300,327
Merchants Bancshares Inc. 1,143 34,919
MidSouth Bancorp Inc. 583 18,364
MidWestOne Financial
Group Inc. 1,165 22,123
NASB Financial Inc. 762 31,935
National Commerce
Financial Corp. 16,299 444,637
National Penn Bancshares
Inc. 2,022 64,947
NBT Bancorp Inc. 2,000 42,880
Net.B@nk.inc. 5,701 76,108
New York Community
Bancorp Inc. 15,088 574,098
Northern States Financial
Corp. 922 26,406
Northwest Bancorp Inc. 5,896 125,939
NSD Bancorp Inc. 1,103 28,126
Ocwen Financial Corp. 1 6,716 59,504
Old National Bancorp 5,751 131,410
Pacific Capital Bancorp 2,586 95,217
Pacific Premier
Bancorp Inc. 1 1,953 21,659
Park National Corp. 1,122 126,954
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
Parkvale Financial Corp. 1,233 $ 33,106
Patriot Bank Corp. 2,540 72,669
Peoples Bancorp Inc. 1,629 48,072
People's Bank 4,591 149,667
Peoples Financial Corp. 1,498 25,017
PFF Bancorp Inc. 1,143 41,468
Popular Inc. 9,882 444,097
Premier Community
Bankshares Inc. 1,220 21,545
Progress Financial Corp. 416 12,829
Provident Bankshares
Corp. 2,738 80,607
Provident Financial Group
Inc. 4,041 129,110
R&G Financial Corp.
Class B 2,074 82,545
Republic Bancorp Inc. 6,207 83,732
Republic Bancorp Inc.
Class A 2,640 51,586
Republic Bancshares Inc. 1,754 55,198
Riggs National Corp. 2,971 49,111
Royal Bancshares of
Pennsylvania Class A 1,585 40,417
S&T Bancorp Inc. 3,736 111,706
Sandy Spring Bancorp Inc. 342 12,791
Santander BanCorp 4,147 100,979
Shore Bancshares Inc. 772 29,405
Silicon Valley
Bancshares 1 2,626 94,720
Simmons First National
Corp. Class A 1,822 50,834
Sky Financial Group Inc. 7,316 189,777
Sobieski Bancorp Inc. 1,600 20,578
SoundView
Technology Group
Inc. 1 3,057 47,353
South Financial Group Inc.
(The) 4,373 121,832
SouthFirst Bancshares Inc. 800 13,840
Southwest Bancorp of
Texas Inc. 2,616 101,632
Sovereign Bancorp Inc. 21,678 514,852
Staten Island Bancorp Inc. 4,184 94,140
Sterling Bancorp (New
York) 2,345 66,832
Sterling Bancshares Inc. 3,142 41,883
Sterling Financial Corp.
(Pennsylvania) 1,995 55,361
Sterling Financial
Corp. (Washington) 1 2,744 93,927
Suffolk Bancorp 2,200 75,966
Susquehanna Bancshares
Inc. 3,704 92,637
TCF Financial Corp. 5,531 284,017
Texas Regional Bancshares
Inc. Class A 2,801 103,637
Thistle Group Holdings Co. 582 15,103
Tompkins Trustco Inc. 1,100 50,655
Troy Financial Corp. 649 22,715
Trust Co. of New Jersey
(The) 2,085 82,733
TrustCo Bank Corp. NY 5,945 78,177
Trustmark Corp. 4,871 142,574
UCBH Holdings Inc. 3,223 125,600
UMB Financial Corp. 1,991 94,652
Umpqua Holdings Corp. 2,302 47,859
UnionBanCal Corp. 11,108 639,154
United Bancshares Inc. 3,577 111,602
199
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
United Community Banks
Inc. 2,919 $ 96,035
United National Bancorp 1,966 70,245
United Tennessee
Bankshares Inc. 1,100 17,798
Unizan Financial Corp. 3,187 64,537
Valley National Bancorp 8,502 248,258
W Holding Co. Inc. 10,530 195,963
Warwick Community
Bancorp 2,643 90,919
Washington Federal Inc. 5,424 154,042
Washington Trust Bancorp
Inc. 1,000 26,200
Waypoint Financial Corp. 5,965 129,381
Webster Financial Corp. 3,784 173,534
WesBanco Inc. 3,399 94,118
Westamerica Bancorp 2,525 125,492
Westcorp Inc. 3,375 123,356
Westfield Financial Inc. 2,480 58,925
Whitney Holding Corp. 2,747 112,600
Wilmington Trust Corp. 5,883 211,788
Wintrust Financial Corp. 1,725 77,797
------------
21,572,198
------------
Beverages--0.28%
Chalone Wine Group
Ltd. 1 2,320 20,416
Coca-Cola Bottling Co.
Consolidated 874 46,750
Constellation Brands
Inc. 1 7,667 252,474
Farmer Brothers Co. 186 57,892
Hansen Natural Corp. 1 2,162 18,204
Peet's Coffee & Tea
Inc. 1 738 12,849
PepsiAmericas Inc. 11,022 188,697
Robert Mondavi Corp.
(The) Class A 1 762 29,596
Sylvan Inc. 1 1,885 22,808
------------
649,686
------------
Biotechnology--2.07%
Aastrom Biosciences
Inc. 1 6,579 8,750
ACLARA BioSciences
Inc. 1 2,840 10,366
Affymetrix Inc. 1 4,369 107,521
Alexion
Pharmaceuticals Inc. 1 2,171 36,950
Applera Corp. - Celera
Genomics Group 1 5,356 74,502
Applied Molecular
Evolution Inc. 1 1,915 34,087
Arena
Pharmaceuticals Inc. 1 1,900 11,780
Ariad Pharmaceuticals
Inc. 1 3,100 23,095
Avant
Immunotherapeutics
Inc. 1 2,900 7,946
Axonyx Inc. 1 5,544 26,999
Cambrex Corp. 2,315 58,477
Cellegy
Pharmaceuticals Inc. 1 3,100 9,641
Cephalon Inc. 1 4,207 203,661
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Charles River
Laboratories
International Inc. 1 3,460 $ 118,782
Ciphergen Biosystems
Inc. 1 3,000 33,720
CryoLife Inc. 1 1,750 10,115
CuraGen Corp. 1 3,200 23,456
CYTOGEN Corp. 1 1,510 16,429
Diversa Corp. 1 2,980 27,565
Encysive
Pharmaceuticals Inc. 1 4,257 38,100
EntreMed Inc. 1 2,780 9,285
Exact Sciences Corp. 1 2,500 25,300
eXegenics Inc. 1 4,756 4,276
Exelixis Inc. 1 4,642 32,865
Genaera Corporation 1 8,419 27,530
Gene Logic Inc. 1 1,900 9,861
Genencor
International Inc. 1 4,500 70,875
Genentech Inc. 1 16,755 1,567,765
Genome Therapeutics
Corp. 1 3,020 9,453
GTC Biotherapeutics
Inc. 1 7,976 25,443
Human Genome
Sciences Inc. 1 9,832 130,274
ICOS Corp. 1 4,980 205,574
Illumina Inc. 1 2,560 18,048
Immunomedics Inc. 1 4,282 19,526
Incyte Corp. 1 4,282 29,289
Integra LifeSciences
Holdings Corp. 1 2,215 63,415
Invitrogen Corp. 1 3,810 266,700
Kosan Biosciences
Inc. 1 4,000 39,440
Large Scale Biology
Corp. 1 1,704 3,135
Lexicon Genetics Inc. 1 2,834 16,692
Lynx Therapeutics Inc. 1 3,100 19,747
Maxim
Pharmaceuticals Inc. 1 7,365 65,548
Maxygen Inc. 1 2,462 26,171
Millennium
Pharmaceuticals Inc. 1 22,920 427,916
Myriad Genetics Inc. 1 2,265 29,128
Nanogen Inc. 1 7,100 63,971
Nektar Therapeutics 1 4,182 56,917
Neurobiological
Technologies Inc. 1 4,888 28,497
Ortec International
Inc. 1 1,409 3,311
Protein Design Labs
Inc. 1 6,494 116,243
Regeneration
Technologies Inc. 1 1,514 16,593
Regeneron
Pharmaceuticals Inc. 1 4,250 62,517
Savient
Pharmaceuticals Inc. 1 2,779 12,811
Sequenom Inc. 1 3,687 11,725
Sirna Therapeutics
Inc. 1 8,515 44,278
Targeted Genetics
Corp. 1 12,535 27,452
TECHNE Corp. 1 3,057 115,493
Telik Inc. 1 3,257 74,944
Third Wave
Technologies Inc. 1 2,454 11,166
200
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------
Transkaryotic
Therapies Inc. 1 2,930 $ 45,737
V.I. Technologies Inc. 1 3,152 3,467
XOMA Ltd. 1 8,305 54,813
------------
4,775,133
------------
Building Materials--0.71%
Advanced Lighting
Technologies Inc. 1 1,945 --
Apogee Enterprises Inc. 2,500 28,375
Butler Manufacturing Co. 1,136 24,992
Centex Construction
Products Inc. 1,509 90,947
Ceradyne Inc. 1 1,661 56,574
Comfort Systems
USA Inc. 1 4,359 23,887
ElkCorp 1,732 46,244
Florida Rock Industries Inc. 2,279 125,003
Genlyte Group Inc.
(The) 1 1,102 64,335
Integrated Electrical
Services Inc. 1 3,692 34,151
International Aluminium
Corp. 611 16,717
Lafarge North America Inc. 5,559 225,251
Lennox International Inc. 4,165 69,555
LSI Industries Inc. 2,167 29,254
Martin Marietta Materials
Inc. 4,066 190,980
NCI Building Systems
Inc. 1 2,000 47,800
Noland Co. 133 5,519
Rayonier Inc. 3,726 154,666
Rock of Ages Corp. 2,774 16,006
Simpson
Manufacturing Co.
Inc. 1 1,834 93,277
Texas Industries Inc. 1,977 73,149
Trex Co. Inc. 1 1,300 49,374
U.S. Home Systems
Inc. 1 1,444 16,028
USG Corp. 1 2,808 46,529
Waxman Industries
Inc. 1 1,900 10,830
York International Corp. 2,973 109,406
------------
1,648,849
------------
Chemicals--1.22%
Airgas Inc. 5,251 112,791
Albemarle Corp. 3,284 98,421
Arch Chemicals Inc. 2,100 53,886
Atlantis Plastics Inc.
Class A 1 835 10,103
Cabot Corp. 5,068 161,365
Crompton Corp. 8,406 60,271
Cytec Industries Inc. 1 2,773 106,455
Ferro Corp. 3,506 95,398
Flamemaster Corp. (The) 1,600 9,680
Foamex International
Inc. 1 2,122 10,610
Fuller (H.B.) Co. 2,292 68,164
General Chemical
Group Inc. (The) 1 4,900 196
Georgia Gulf Corp. 2,179 62,930
IMC Global Inc. 8,303 82,449
JLM Industries Inc. 1 2,200 2,992
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
Kronos Worldwide
Inc. 1 2,137 $ 47,441
Landec Corp. 1 1,973 13,042
Lubrizol Corp. 4,733 153,917
Lyondell Chemical Co. 14,760 250,182
MacDermid Inc. 2,485 85,086
Millennium Chemicals Inc. 5,465 69,296
Minerals Technologies Inc. 1,521 90,119
Mississippi Chemical
Corp. 1 2,577 387
Myers Industries Inc. 3,121 37,827
NL Industries Inc. 3,832 44,834
Olin Corp. 4,727 94,824
OM Group Inc. 1 2,201 57,644
OMNOVA Solutions
Inc. 1 2,357 11,314
Penford Corp. 1,571 21,570
PolyOne Corp. 1 5,725 36,583
Quaker Chemical Corp. 716 22,017
Rogers Corp. 1 1,606 70,857
RPM International Inc. 7,862 129,409
Schulman (A.) Inc. 2,888 61,572
Spartech Corp. 2,902 71,505
Stepan Co. 893 22,905
SurModics Inc. 1 1,350 32,265
Symyx Technologies
Inc. 1 2,493 51,231
Terra Industries Inc. 1 5,000 16,550
U.S. Plastic Lumber
Co. 1 1,954 508
Valhi Inc. 10,022 149,929
Valspar Corp. (The) 4,251 210,084
Wellman Inc. 2,600 26,546
------------
2,815,155
------------
Coal--0.12%
CONSOL Energy Inc. 6,603 171,018
Massey Energy Co. 5,382 111,946
------------
282,964
------------
Commercial Services--4.77%
Aaron Rents Inc. 1,851 37,261
Ablest Inc. 1 1,700 8,687
ABM Industries Inc. 3,426 59,647
Actuant Corp. Class A 1 1,876 67,911
Administaff Inc. 1 2,286 39,731
Advisory Board Co.
(The) 1 1,900 66,329
Albany Molecular
Research Inc. 1 2,742 41,185
Alliance Data Systems
Corp. 1 1,120 31,002
AMN Healthcare
Services Inc. 1 2,855 48,992
Answerthink Inc. 1 2,281 12,660
ARAMARK Corp. Class B 8,102 222,157
Arbitron Inc. 1 2,485 103,674
Armor Holdings Inc. 1 3,000 78,930
Atrix Laboratories Inc. 1 1,958 47,070
Barrett Business
Services Inc. 1 5,200 67,496
BearingPoint Inc. 1 14,649 147,808
Blount International
Inc. 1 3,065 24,122
Blue Rhino Corp. 1 3,660 50,837
Bowne & Co. Inc. 2,846 38,592
Bright Horizons
Family Solutions
Inc. 1 1,209 50,778
201
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
Brink's Co. (The) 4,100 $ 92,701
Career Education
Corp. 1 7,304 292,671
Caremark Rx Inc. 1 20,135 510,020
CDI Corp. 2,262 74,080
Central Parking Corp. 3,333 49,762
Charles River
Associates Inc. 1 1,972 63,084
Clark Inc. 1 2,240 43,098
Coinstar Inc. 1 1,800 32,508
Consolidated
Graphics Inc. 1 1,091 34,454
Corinthian Colleges
Inc. 1 3,224 179,125
Corporate Executive
Board Co. (The) 1 2,774 129,463
CoStar Group Inc. 1 1,540 64,187
Cross Country
Healthcare Inc. 1 2,596 38,732
DeVry Inc. 1 5,235 131,556
DiamondCluster
International Inc.
Class A 1 2,863 29,203
Dun & Bradstreet
Corp. 1 5,655 286,765
Edgewater
Technology Inc. 1 3,066 14,901
Education
Management Corp. 1 5,398 167,554
Electro Rent Corp. 1 1,901 25,359
Euronet Worldwide
Inc. 1 1,911 34,398
Exult Inc. 1 10,700 76,184
Fair Isaac Corp. 3,708 182,285
First Consulting
Group Inc. 1 2,194 12,352
First Health Group
Corp. 1 6,953 135,305
FTI Consulting Inc. 1 2,929 68,451
Gartner Inc. Class A 1 8,799 99,517
Gevity HR Inc. 1,928 42,879
Griffin Land &
Nurseries Inc. 1 1,300 18,474
GSI Commerce Inc. 1 2,939 28,688
Harris Interactive Inc. 1 5,460 45,318
Healthcare Services Group
Inc. 2,214 42,708
Heidrick & Struggles
International Inc. 1 1,731 37,736
Hewitt Associates Inc.
Class A 1 2,204 65,900
Interactive Data Corp. 1 7,842 129,864
InterActiveCorp 1 49,305 1,672,919
iPayment Holdings
Inc. 1 1,256 42,704
Iron Mountain Inc. 1 6,783 268,200
ITT Educational
Services Inc. 1 3,416 160,450
j2 Global
Communications
Inc. 1 1,614 39,979
Kelly Services Inc. Class A 2,113 60,305
Korn/Ferry
International 1 3,086 41,167
Kroll Inc. 1 4,243 110,318
Labor Ready Inc. 1 4,970 65,107
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
Landauer Inc. 1,197 $ 48,814
Learning Tree
International Inc. 1 1,532 26,641
LECG Corp. 1 147 3,365
Mail-Well Inc. 1 5,584 25,742
Management Network
Group Inc. (The) 1 3,200 10,560
Manpower Inc. 6,049 284,787
MAXIMUS Inc. 1 2,104 82,330
McGrath Rentcorp 916 24,961
Medical Staffing
Network Holdings
Inc. 1 2,952 32,324
Medifast Inc. 1 1,468 20,699
MedQuist Inc. 1 2,732 43,876
Mercury Air Group
Inc. 1 1,493 7,465
Midas Inc. 1 2,555 36,536
MPS Group Inc. 1 6,713 62,767
MPW Industrial
Services Group Inc. 1 1,095 2,497
National Research
Corp. 1 2,500 40,475
Navigant Consulting
Co. 1 4,627 87,265
NetRatings Inc. 1 2,328 26,609
Neurogen Corp. 1 3,745 31,499
New Horizons
Worldwide Inc. 1 1,608 9,148
On Assignment Inc. 1 2,486 12,952
PDI Inc. 1 1,406 37,695
PFSweb Inc. 1 11,366 18,186
Pharmaceutical
Product
Development Inc. 1 4,159 112,168
Pharmacopeia Inc. 1 2,291 32,555
Plexus Corp. 1 3,403 58,430
Precis Inc. 1 6,275 24,347
Pre-Paid Legal
Services Inc. 1 1,374 35,889
PRG-Schultz
International Inc. 1 3,822 18,728
Princeton Review Inc.
(The) 1 1,637 15,961
ProsoftTraining 1 2,672 1,496
Quanta Services Inc. 1 8,641 63,079
Rainbow Rentals Inc. 1 1,065 8,094
RCM Technologies
Inc. 1 3,186 23,481
Rent-A-Center Inc. 1 6,130 183,164
Rent-Way Inc. 1 2,120 17,363
Resources Connection
Inc. 1 2,061 56,286
Rewards Network Inc. 1 1,602 17,077
Right Management
Consultants Inc. 1 1,378 25,713
Rollins Inc. 4,749 107,090
Roto-Rooter Inc. 1,162 53,568
Saba Software Inc. 1 3,152 10,874
SciQuest Inc. 1 2,927 10,362
Service Corp.
International 1 21,873 117,895
ServiceMaster Co. (The) 22,047 256,848
SFBC International
Inc. 1 713 18,937
Sotheby's Holdings
Inc. Class A 1 4,650 63,519
SOURCECORP Inc. 1 1,452 37,215
Spherion Corp. 1 4,873 47,707
202
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------
Stewart Enterprises
Inc. Class A 1 5,516 $ 31,331
Strayer Education Inc. 1,102 119,931
Student Advantage
Inc. 1 36 35
Sylvan Learning
Systems Inc. 1 3,174 91,379
TeleTech Holdings Inc. 1 5,395 60,963
Trimeris Inc. 1 1,637 34,344
Tyler Technologies
Inc. 1 3,772 36,324
United American
Healthcare Corp. 1 8,503 28,995
United Rentals Inc. 1 5,898 113,595
Universal Security
Instruments Inc. 1 2,100 31,605
Universal Technical
Institute Inc. 1 837 25,110
URS Corp. 1 2,884 72,129
Valassis
Communications
Inc. 1 4,042 118,633
Varsity Group Inc. 1 4,123 17,729
Viad Corp. 6,662 166,550
Volt Information
Sciences Inc. 1 1,547 34,962
Wackenhut
Corrections Corp. 1 1,638 37,346
Watson Wyatt & Co.
Holdings 1 3,200 77,280
Weight Watchers
International Inc. 1 8,327 319,507
Westaff Inc. 1 1,884 4,409
Wireless Facilities Inc. 1 4,442 66,008
World Fuel Services Corp. 4,361 148,056
------------
11,016,560
------------
Computer Systems--0.00%
MetaSolv Inc. 1 2,760 6,707
------------
6,707
------------
Computers--4.94%
ACE*COMM Corp. 1 6,066 15,044
Activision Inc. 1 6,387 116,243
Advanced Digital
Information Corp. 1 4,829 67,606
Advent Software Inc. 1 2,498 43,540
Affiliated Computer
Services Inc.
Class A 1 9,992 544,164
Agile Software Corp. 1 4,173 41,313
Agilysys Inc. 2,671 29,782
America Online Latin
America Inc.
Class A 1 9,396 13,342
American Software Inc.
Class A 3,900 27,920
ANSYS Inc. 1 1,018 40,415
Anteon International
Corp. 1 3,200 115,360
Applix Inc. 1 12,481 44,058
Art Technology Group
Inc. 1 4,400 6,732
Ask Jeeves Inc. 1 3,353 60,756
Aspen Technology
Inc. 1 3,059 31,385
Audible Inc. 1 4,207 17,754
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
autobytel.com Inc. 1 1,040 $ 9,443
Avici Systems Inc. 1 734 5,835
BARRA Inc. 1,456 51,673
BindView
Development Corp. 1 4,020 15,155
BISYS Group Inc.
(The) 1 8,940 133,027
Black Box Corp. 1,466 67,539
Blue Coat Systems
Inc. 1 584 13,029
Braun Consulting Inc. 1 3,200 9,440
Brocade
Communications
Systems Inc. 1 17,856 103,208
BSQUARE Corp. 1 1,800 2,574
CACI International Inc.
Class A 1 2,043 99,331
Calico Commerce Inc. 1 2 1,824 --
Carreker Corp. 1 3,362 47,102
Catalyst International
Inc. 1 2,159 3,346
CCC Information
Services Group Inc. 1 3,164 53,472
Ceridian Corp. 1 11,392 238,548
CIBER Inc. 1 4,440 38,450
Ciprico Inc. 1 3,316 15,950
Cogent
Communications
Group Inc. 1 3,800 4,446
Cognizant Technology
Solutions Corp. 1 4,589 209,442
Commerce One Inc. 1 1,244 1,580
Computer Network
Technology Corp. 1 2,290 21,847
Concur Technologies
Inc. 1 4,166 40,327
Concurrent Computer
Corp. 1 3,566 15,583
Covansys Corp. 1 2,955 32,505
Cray Inc. 1 5,274 52,371
Crossroads Systems
Inc. 1 2,600 7,228
CyberSource Corp. 1 2,562 13,220
Daleen Technologies
Inc. 1 1,700 391
Dataram Corp. 1 2,350 10,152
Datatec Systems Inc. 1 3,783 2,648
Dendrite International
Inc. 1 3,174 49,737
Diebold Inc. 5,690 306,520
Digital River Inc. 1 3,254 71,913
Digital Video Systems
Inc. 1 7,677 19,960
DigitalNet Holdings
Inc. 1 45 877
Digitas Inc. 1 4,383 40,850
DocuCorp
International Inc. 1 898 9,115
Dot Hill Systems
Corp. 1 2,792 42,299
DSP Group Inc. 1 2,087 51,987
DST Systems Inc. 1 8,789 367,029
E.piphany Inc. 1 5,150 37,131
Echelon Corp. 1 3,539 39,424
Eclipsys Corp. 1 3,582 41,694
eCollege.com Inc. 1 745 13,753
Electronics For
Imaging Inc. 1 5,277 137,311
EMC Corp. 1 -- 3
203
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Ener1 Inc. 1 2,600 $ 3,640
Enterasys Networks
Inc. 1 12,939 48,521
Entrust Inc. 1 4,400 17,952
Epicor Software Corp. 1 2,851 36,379
Equinix Inc. 1 992 27,974
Evolving Systems Inc. 1 1,693 22,517
Exabyte Corp. 1 3,131 3,851
Extended Systems
Inc. 1 2,919 12,668
Extreme Networks
Inc. 1 7,995 57,644
FactSet Research Systems
Inc. 2,489 95,105
FalconStor Software
Inc. 1 1,993 17,419
First Virtual
Communications
Inc. 1 10,117 22,257
FOCUS
Enhancements Inc. 1 10,638 23,084
Forgent Networks Inc. 1 2,700 6,804
Foundry Networks
Inc. 1 9,950 272,232
Hall Kinion &
Associates Inc. 1 1,325 6,691
Henry (Jack) & Associates
Inc. 6,112 125,785
Hypercom Corp. 1 3,984 18,964
Hyperion Solutions
Corp. 1 3,036 91,505
IDX Systems Corp. 1 2,485 66,648
iGATE Corp. 1 2,794 21,933
Imation Corp. 2,718 95,538
InFocus Corp. 1 2,918 28,246
Inforte Corp. 1 3,794 31,452
infoUSA Inc. 1 3,416 25,347
Integral Systems Inc. 1,262 27,158
InterCept Inc. 1 2,122 23,957
Intergraph Corp. 1 3,688 88,217
Internap Network
Services Corp. 1 21,526 52,739
Internet Security
Systems Inc. 1 3,813 71,799
Interwoven Inc. 1 3,369 42,584
Intraware Inc. 1 15,665 32,427
Intrusion.com Inc. 1 2,128 1,256
Iomega Corp. 3,730 22,305
ION Networks Inc. 1 800 34
ITXC Corp. 1 3,600 15,552
Juniper Networks Inc. 1 29,604 553,003
Jupiter Media Metrix
Inc. 2 7,751 1
Keynote Systems Inc. 1 2,800 33,320
Kronos Inc. 1 2,250 89,122
Larscom Inc. 1 4,962 21,833
Lexar Media Inc. 1 5,611 97,800
Lionbridge
Technologies Inc. 1 2,205 21,190
LivePerson Inc. 1 6,667 33,335
LookSmart Ltd. 1 5,000 7,750
MAPICS Inc. 1 2,011 26,324
MapInfo Corp. 1 1,623 16,360
Marimba Inc. 1 2,100 11,550
Maxtor Corp. 1 18,288 202,997
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
McDATA Corp.
Class A 1 7,979 $ 76,040
Media 100 Inc. 1 1,360 707
Mentor Graphics
Corp. 1 4,915 71,464
MICROS Systems Inc. 1 1,421 61,615
Micros-To-Mainframes
Inc. 1 1,000 1,111
Mindspeed
Technologies Inc. 1 5,959 40,819
Mitek Systems Inc. 1 6,946 17,434
Mobility Electronics
Inc. 1 1,348 12,052
Mobius Management
Systems Inc. 1 1,756 22,213
MSC.Software Corp. 1 1,085 10,253
MTI Technology Corp. 1 7,688 18,144
MTS Systems Corp. 4,285 82,401
National Instruments
Corp. 4,164 189,337
Neoware Systems Inc. 1 1,800 24,660
Net Perceptions Inc. 3,000 1,200
NetScout Systems
Inc. 1 2,500 19,000
NetScreen
Technologies Inc. 1 1,115 27,596
Netsmart Technologies
Inc. 1,011 15,519
Novadigm Inc. 1 1,945 7,547
Nuance
Communications
Inc. 1 2,329 17,794
NYFIX Inc. 1 1,983 15,765
On2 Technologies Inc. 1 9,240 12,104
OneSource
Information
Services Inc. 1 2,900 27,318
ONYX Software Corp. 1 938 3,696
Overland Storage Inc. 1 805 15,134
Packeteer Inc. 1 3,800 64,524
PalmOne Inc. 1 3,900 45,825
PEC Solutions Inc. 1 2,400 40,680
Pegasus Solutions
Inc. 1 2,125 22,249
Performance
Technologies Inc. 1 1,587 22,615
Perot Systems Corp.
Class A 1 7,621 102,731
Phoenix Technologies
Ltd. 1 1,815 14,665
Planar Systems Inc. 1 867 21,085
Primus Knowledge
Solutions Inc. 1 3,631 22,839
ProcureNet Inc. 1 1,791 --
Progress Software
Corp. 1 2,291 46,874
QAD Inc. 1 1,010 12,383
Quantum Corp. 1 9,760 30,451
Quest Software Inc. 1 6,630 94,146
Radiant Systems Inc. 1 2,038 17,140
RadiSys Corp. 1 1,922 32,405
Radview Software
Ltd. 1 2,092 1,255
Rainbow Technologies
Inc. 1 2,864 32,249
Red Hat Inc. 1 13,122 246,300
Redback Networks
Inc. 1 9,200 2,125
Retek Inc. 1 3,480 32,294
204
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ----------------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------------
RSA Security Inc. 1 4,108 $ 58,334
Safeguard Scientifics
Inc. 1 7,939 32,074
SafeNet Inc. 1 1,128 34,709
Sagent Technology
Inc. 1 2,400 300
Sanchez Computer
Associates Inc. 1 2,362 9,802
SanDisk Corp. 1 5,936 362,927
Sapient Corp. 1 7,068 39,581
ScanSoft Inc. 1 6,222 33,101
ScanSource Inc. 1 1,084 49,452
Scientific Learning
Corp. 1 6,291 31,455
SCM Microsystems
Inc. 1 2,988 23,067
Seagate Technology 5,710 107,919
Secure Computing
Corp. 1 3,108 55,664
Silicon Graphics Inc. 1 9,009 12,342
Silicon Storage
Technology Inc. 1 7,010 77,110
SimpleTech Inc. 1 1,357 8,156
SmartServ Online Inc. 1 533 747
Socket
Communications
Inc. 1 2,600 8,684
Sonic Foundry Inc. 1 2,400 4,488
Sonic Solutions Inc. 1 1,779 27,219
SonicWALL Inc. 1 4,200 32,760
Speedus Corp. 1 3,600 5,004
SportsLine.com Inc. 1 3,955 5,023
SRA International Inc.
Class A 1 1,388 59,823
SS&C Technologies Inc. 3,797 106,126
Storage Technology
Corp. 1 8,686 223,664
Stratasys Inc. 1 1,782 48,577
Stratos International
Inc. 1 1,947 13,201
Sykes Enterprises Inc. 1 2,847 24,370
Synaptics Inc. 1 1,885 28,237
Synopsys Inc. 1 11,927 402,656
Syntel Inc. 3,108 76,799
Systems & Computer
Technology Corp. 1 2,750 44,962
Technology Solutions
Co. 1 3,925 4,910
Teknowledge Corp. 1 6,599 24,416
TenFold Corp. 1 8,196 26,719
THQ Inc. 1 3,886 65,712
3Com Corp. 1 27,361 223,539
3D Systems Corp. 1 2,317 23,518
Tier Technologies Inc.
Class B 1 1,884 15,392
TransAct Technologies
Inc. 1 1,103 26,858
Transaction Systems
Architects Inc.
Class A 1 2,554 57,797
TTM Technologies Inc. 1 2,642 44,597
Tumbleweed
Communications
Corp. 1 2,204 18,470
- ----------------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------------
Ultimate Software
Group Inc. 1 2,485 $ 21,793
Vasco Data Security
International Inc. 1 6,781 15,868
VeriSign Inc. 1 18,443 300,621
Verity Inc. 1 2,500 41,725
Versant Corp. 1 6,602 10,299
Verso Technologies
Inc. 1 15,451 49,907
Vertel Corp. 1 2,100 63
Vialink Co. (The) 1 2,188 147
Visual Networks Inc. 1 12,136 27,185
WatchGuard
Technologies Inc. 1 2,200 12,804
Wave Systems Corp.
Class A 1 6,028 9,886
Webb Interactive
Services 1 1,672 1,605
Western Digital Corp. 1 15,091 177,923
Xanser Corp. 1 2,200 5,214
Xybernaut Corp. 1 12,311 19,451
Zamba Corp. 1 2,800 462
------------
11,407,620
------------
Cosmetics/Personal Care--0.18%
Chattem Inc. 1 1,119 20,030
Elizabeth Arden Inc. 1 1,331 26,514
Estee Lauder Companies
Inc. Class A 9,242 362,841
------------
409,385
------------
Distribution/Wholesale--0.85%
Advanced Energy
Industries Inc. 1 2,731 71,143
Advanced Marketing
Services Inc. 1,449 16,519
Aviall Inc. 1 2,387 37,022
Bell Microproducts
Inc. 1 2,292 20,766
Brightpoint Inc. 1 1,747 30,136
CDW Corp. 6,415 370,530
CellStar Corp. 1 2,739 34,594
Central European
Distribution Corp. 1 580 18,328
Chindex International
Inc. 1 409 13,309
Fastenal Co. 5,972 298,242
First Aviation Services Inc. 2,400 10,056
Handleman Co. 3,314 68,036
Hughes Supply Inc. 1,781 88,373
Ingram Micro Inc.
Class A 1 11,494 182,755
Keystone Automotive
Industries Inc. 1 3,486 88,405
Margo Caribe Inc. 1 2,116 15,024
Nitches Inc. 1,900 7,695
NuCo2 Inc. 1 2,522 31,954
Owens & Minor Inc. 2,557 56,024
SCP Pool Corp. 1 3,247 106,112
Tech Data Corp. 1 4,959 196,823
TIMCO Aviation
Services Inc. 1 215 163
United Stationers Inc. 1 2,295 93,911
Watsco Inc. 3,306 75,145
WESCO International
Inc. 1 3,100 27,435
------------
1,958,500
------------
205
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- -----------------------------------------------------------------------------------
Security Shares Value
- -----------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------------------------
Diversified Financial Services--3.02%
Accredited Home
Lenders Holding Co. 1 1,204 $ 36,842
Advanta Corp. Class A 2,893 37,580
Affiliated Managers
Group Inc. 1 1,666 115,937
Alleghany Corp. 1 638 141,955
Allied Capital Corp. 10,660 297,201
American Capital
Strategies Ltd. 5,231 155,518
AmeriCredit Corp. 1 11,492 183,068
Ameritrade Holding
Corp. 1 31,898 448,805
Ampal-American
Israel Corp. Class A 1 2,783 9,073
BlackRock Inc. 1,537 81,630
Capital Trust Inc. Class A 811 18,410
CapitalSource Inc. 1 2,092 45,355
Capitol Federal Financial 5,786 208,643
CharterMac 3,344 70,659
Chicago Mercantile
Exchange Holdings Inc. 2,588 187,268
CIT Group Inc. 16,966 609,928
CompuCredit Corp. 1 3,877 82,503
Crown Financial
Group Inc. 1 7,493 13,487
Diamond Hill
Investment Group 1 2,621 18,190
Digital Insight Corp. 1 2,656 66,134
Doral Financial Corp. 7,987 257,820
E*TRADE Financial
Corp. 1 27,221 344,346
Eaton Vance Corp. 5,958 218,301
Edwards (A.G.) Inc. 6,542 237,017
E-LOAN Inc. 1 4,300 12,814
Empire Financial
Holding Co. 1 3,100 3,720
Equitex Inc. 1 6,339 10,142
Financial Federal
Corp. 1 1,741 53,188
Forrester Research
Inc. 1 1,778 31,773
Gabelli Asset
Management Inc.
Class A 970 38,606
Greg Manning
Auctions Inc. 1 1,903 22,530
HPSC Inc. 1 2,200 31,790
Instinet Group Inc. 1 2,582 13,297
Investment
Technology Group
Inc. 1 4,093 66,102
Jefferies Group Inc. 4,209 138,981
Kent Financial
Services Inc. 1 2,200 8,470
Kirlin Holding Corp. 1 1,825 19,710
Knight Trading Group
Inc. 1 8,480 124,147
LaBranche & Co. Inc. 4,668 54,476
Legg Mason Inc. 5,078 391,920
Matrix Bancorp Inc. 1 1,947 18,010
MCG Capital Corp. 4,000 78,000
MemberWorks Inc. 1 1,498 40,701
Metris Companies Inc. 1 3,983 17,685
National Financial
Partners Corp. 2,140 58,957
- -----------------------------------------------------------------------------------
Security Shares Value
- -----------------------------------------------------------------------------------
National Processing
Inc. 1 4,507 $ 106,140
NCO Group Inc. 1 2,629 59,862
Nelnet Inc. Class A 1 962 21,549
New Century Financial
Corp. 2,560 101,555
Nuveen Investments Inc.
Class A 7,284 194,191
Online Resources
Corp. 1 1,400 9,253
Phoenix Companies Inc. 7,392 89,000
Portfolio Recovery
Associates Inc. 1 1,008 26,762
Raymond James Financial
Inc. 3,895 146,841
Resource America Inc.
Class A 2,574 38,610
S1 Corp. 1 4,503 36,249
Sagemark Companies
Ltd. (The) 1 2,176 4,352
Saxon Capital Inc. 1 2,545 53,318
Seacoast Financial
Services Corp. 838 22,970
SEI Investment Co. 8,209 250,128
Siebert Financial
Corp. 1 2,939 10,639
StarTek Inc. 1,989 81,131
Student Loan Corp. 1,461 213,306
Sutter Holding Co.
Inc. 1 1,700 17,850
SWS Group Inc. 1,601 28,498
Waddell & Reed Financial
Inc. Class A 6,947 162,977
Westwood Holdings
Group Inc. 1,745 31,044
WFS Financial Inc. 1 3,164 134,343
World Acceptance
Corp. 1 708 14,096
------------
6,975,353
------------
Electric--1.99%
ALLETE Inc. 6,817 208,600
Alliant Energy Corp. 8,588 213,841
Avista Corp. 3,518 63,746
Black Hills Corp. 4,082 121,766
Central Vermont Public
Service Corp. 984 23,124
CH Energy Group Inc. 1,356 63,596
Cleco Corp. 3,212 57,752
DPL Inc. 9,144 190,927
Duquesne Light Holdings
Inc. 5,038 92,397
El Paso Electric Co. 1 3,496 46,672
Empire District Electric Co.
(The) 2,395 52,522
Energy East Corp. 11,385 255,024
Great Plains Energy Inc. 5,258 167,310
Green Mountain Power
Corp. 3,623 85,503
Hawaiian Electric
Industries Inc. 2,785 131,925
IDACORP Inc. 3,030 90,658
MDU Resources Group Inc. 9,425 224,409
MGE Energy Inc. 3,119 98,280
Northeast Utilities 10,402 209,808
NSTAR 4,230 205,155
OGE Energy Corp. 8,788 212,582
Otter Tail Corp. 2,191 58,565
Pepco Holdings Inc. 12,545 245,129
206
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------------------
Plug Power Inc. 1 4,923 $ 35,692
PNM Resources Inc. 2,613 73,425
Puget Energy Inc. 6,667 158,475
Reliant Resources Inc. 1 20,705 152,389
SCANA Corp. 9,011 308,627
Sierra Pacific
Resources 1 5,756 42,249
Texas Genco Holdings Inc. 1,154 37,505
UIL Holdings Corp. 1,796 81,000
UniSource Energy Corp. 3,142 77,482
Unitil Corp. 840 21,672
Westar Energy Inc. 4,173 84,503
Wisconsin Energy Corp. 8,012 268,001
WPS Resources Corp. 2,863 132,356
------------
4,592,667
------------
Electrical Components & Equipment--0.31%
Active Power Inc. 1 2,186 6,339
C&D Technologies Inc. 2,005 38,436
Capstone Turbine
Corp. 1 4,900 9,114
Distributed Energy
Systems 2,100 6,006
Energizer Holdings
Inc. 1 6,548 245,943
GrafTech International
Ltd. 1 6,429 86,791
Hubbell Inc. Class B 4,765 210,136
ISCO International Inc. 1 4,000 2,200
Medis Technologies
Ltd. 1 1,409 15,076
Superconductor
Technologies Inc. 1 3,874 21,617
Wilson Greatbatch
Technologies Inc. 1 1,692 71,521
------------
713,179
------------
Electronics--3.04%
Actel Corp. 1 2,137 51,502
ADE Corp. 1 1,935 35,836
Aeroflex Inc. 1 4,402 51,459
Alpha Technologies
Group Inc. 1 2,496 3,170
Alpine Group Inc.
(The) 1 1,396 1,326
American Building
Control Inc. 1 542 710
American
Superconductor
Corp. 1 1,870 25,918
American Technology
Corp. 1 6,123 29,219
AMETEK Inc. 2,253 108,730
Amphenol Corp.
Class A 1 3,537 226,120
Analogic Corp. 966 39,606
Andrea Electronics
Corp. 1 2,596 1,064
Arrow Electronics Inc. 1 8,094 187,295
Artesyn Technologies
Inc. 1 2,917 24,853
Artisan Components
Inc. 1 1,976 40,508
ATMI Inc. 1 3,118 72,151
Ault Inc. 1 2,400 6,432
Avnet Inc. 1 9,532 206,463
- --------------------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------------------
AVX Corp. 13,695 $ 227,611
Barnes Group Inc. 2,019 65,234
Bel Fuse Inc. Class A 1,091 32,621
Belden Inc. 2,088 44,036
Benchmark
Electronics Inc. 1 2,981 103,769
Blonder Tongue
Laboratories Inc. 1 4,570 14,670
Brady Corp. Class A 1,995 81,296
Cable Design
Technologies Corp. 1 2,827 25,415
Cabot
Microelectronics
Corp. 1 1,810 88,690
California Amplifier
Inc. 1 1,100 15,477
Caliper Technologies
Corp. 1 1,734 11,410
Catalyst
Semiconductor Inc. 1 4,831 34,059
Checkpoint Systems
Inc. 1 2,497 47,218
Cognex Corp. 3,349 94,576
Coherent Inc. 1 2,424 57,691
Concord Camera
Corp. 1 5,726 52,965
CTS Corp. 2,648 30,452
Cubic Corp. 3,384 77,832
Cymer Inc. 1 2,808 129,702
Daktronics Inc. 1 3,600 90,576
Dionex Corp. 1 2,062 94,893
DuPont Photomasks
Inc. 1 1,696 40,941
EDO Corp. 2,396 59,061
Electro Scientific
Industries Inc. 1 2,474 58,881
Electro-Sensors Inc. 4,350 18,052
Energy Conversion
Devices Inc. 1 1,563 14,114
ESS Technology Inc. 1 3,518 59,841
Evans & Sutherland
Computer Corp. 1 3,765 16,942
Exar Corp. 1 2,982 50,933
Excel Technology Inc. 1 1,124 36,935
Fairchild
Semiconductor
International Inc.
Class A 1 9,205 229,849
FEI Co. 1 2,561 57,622
Fisher Scientific
International Inc. 1 4,785 197,955
Frequency Electronics Inc. 1,643 23,823
FSI International Inc. 1 2,959 21,837
FuelCell Energy Inc. 1 2,963 38,519
General Cable Corp. 1 2,764 22,527
Gentex Corp. 5,876 259,484
Genus Inc. 1 2,453 14,718
HEI Inc. 1 2,100 6,825
Helix Technology Corp. 2,289 47,108
Hickok Inc. Class A 1 2,300 10,582
Hifn Inc. 1 1,039 12,364
Hutchinson
Technology Inc. 1 2,299 70,671
II-VI Inc. 1 315 8,127
Innovex Inc. 1 3,844 32,405
Interlink Electronics
Inc. 1 3,850 27,027
International
Electronics Inc. 1 2,300 9,200
207
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- -------------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------------
inTEST Corp. 1 1,900 $ 11,400
InVision Technologies
Inc. 1 1,539 51,664
Iteris Holdings Inc. 1 4,369 8,607
JMAR Technologies
Inc. 1 5,808 13,649
KEMET Corp. 1 6,563 89,847
Lifeline Systems Inc. 1 2,428 46,132
Littelfuse Inc. 1 1,315 37,898
Lowrance Electronics Inc. 2,700 55,255
Mattson Technology
Inc. 1 3,321 40,583
Maxwell Technologies
Inc. 1 741 5,261
Meade Instruments
Corp. 1 3,280 11,316
Mechanical
Technology Inc. 1 1,914 10,470
Mercury Computer
Systems Inc. 1 1,790 44,571
Merix Corp. 1 1,209 29,657
Mesa Laboratories Inc. 2,400 23,904
Methode Electronics Inc.
Class A 2,190 26,784
Metrologic
Instruments Inc. 1 1,200 32,400
Micrel Inc. 1 6,632 103,327
Micro Linear Corp. 1 2,880 16,099
Microsemi Corp. 1 2,208 54,273
MIPS Technologies
Inc. Class A 1 4,457 24,268
MKS Instruments Inc. 1 4,910 142,390
Molecular Devices
Corp. 1 1,818 34,524
Moog Inc. Class A 1 1,078 53,253
Nu Horizons
Electronics Corp. 1 2,415 23,667
NVE Corp. 1 696 35,705
O.I. Corp. 1 3,200 27,997
Oilgear Co. (The) 1 2,600 10,816
Optelecom Inc. 1 1,468 13,344
OPTi Inc. 1 2,083 2,960
Orbit International
Corp. 1 4,500 33,750
OSI Systems Inc. 1 1,734 33,310
OYO Geospace Corp. 1 1,100 17,469
Park Electrochemical Corp. 1,487 39,391
Photon Dynamics Inc. 1 1,268 51,024
Photronics Inc. 1 2,318 46,175
PLX Technology Inc. 1 2,100 18,585
Power Integrations
Inc. 1 2,238 74,883
QuickLogic Corp. 1 2,100 10,437
Ramtron International
Corp. 1 3,840 10,061
Rayovac Corp. 1 2,929 61,363
REMEC Inc. 1 4,632 38,955
Reptron Electronics
Inc. 1 3,600 828
Research Frontiers
Inc. 1 1,504 13,972
Robotic Vision
Systems Inc. 1 1 2
Rudolph Technologies
Inc. 1 1,486 36,466
SBS Technologies Inc. 1 1,930 28,390
- -------------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------------
Semtech Corp. 1 5,425 $ 123,310
Sigmatron
International Inc. 1 478 12,490
Silicon Image Inc. 1 5,000 36,150
Siliconix Inc. 1 1,970 90,029
Sipex Corp. 1 2,060 15,883
Spectrum Control Inc. 1 2,390 19,027
Spire Corp. 1 5,000 24,400
Taser International
Inc. 1 382 31,465
Tech/Ops Sevcon Inc. 1,439 7,886
Technitrol Inc. 1 3,066 63,589
Therma-Wave Inc. 1 1,515 8,938
Three-Five Systems
Inc. 1 1,445 7,572
Trans-Lux Corp. 1,733 10,381
Trimble Navigation
Ltd. 1 2,431 90,530
Triumph Group Inc. 1 1,353 49,249
Tvia Inc. 1 7,525 18,361
Ultralife Batteries Inc. 1 358 4,432
Universal Display
Corp. 1 2,700 36,909
Universal Electronics
Inc. 1 1,278 16,282
Valence Technology
Inc. 1 13,945 54,943
Varian Inc. 1 2,673 111,544
Verisity Ltd. 1 2,836 36,159
Vicor Corp. 1 2,475 28,240
Vishay
Intertechnology Inc. 1 12,092 276,907
Watts Industries Inc.
Class A 2,401 53,302
Woodhead Industries Inc. 1,806 30,521
Woodward Governor Co. 816 46,373
Xicor Inc. 1 1,390 15,763
X-Rite Inc. 3,781 42,801
Zoran Corp. 1 3,126 54,361
Zygo Corp. 1 1,934 31,892
------------
7,025,669
------------
Energy & Related--0.04%
Headwaters Inc. 1 4,191 82,227
Millennium Cell Inc. 1 3,400 7,922
Syntroleum Corp. 1 2,492 10,765
------------
100,914
------------
Engineering & Construction--0.15%
EMCOR Group Inc. 1 1,218 53,470
Granite Construction Inc. 3,588 84,282
Jacobs Engineering
Group Inc. 1 4,367 209,660
UNIFAB International
Inc. 1 330 389
------------
347,801
------------
Entertainment--0.97%
Alliance Gaming
Corp. 1 3,746 92,339
AMC Entertainment
Inc. 1 3,276 49,828
Ameristar Casinos Inc. 1 2,700 66,069
Argosy Gaming Co. 1 2,128 55,307
barnesandnoble.com
Inc. 1 2,900 8,555
Churchill Downs Inc. 1,277 46,229
Dover Downs Gaming &
Entertainment Inc. 2,880 27,245
208
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------
Dover Motorsports Inc. 3,290 $ 11,515
Empire Resorts Inc. 1 1,165 10,502
4Kids Entertainment
Inc. 1 1,211 31,510
Gaylord
Entertainment Co. 1 3,156 94,207
GTECH Holdings Corp. 4,339 214,737
Hollywood
Entertainment Corp. 1 4,248 58,410
Image Entertainment
Inc. 1 599 2,474
International Speedway
Corp. Class A 4,185 186,902
Isle of Capri Casinos
Inc. 1 2,363 50,734
Macrovision Corp. 1 3,709 83,786
Metro-Goldwyn-
Mayer Inc. 1 19,453 332,452
NetFlix Inc. 1 2,279 124,639
Penn National
Gaming Inc. 1 3,986 91,997
Pinnacle
Entertainment Inc. 1 1,904 17,745
Regal Entertainment Group
Class A 4,944 101,451
Scientific Games
Corp. Class A 1 4,812 81,852
Shuffle Master Inc. 1 1,250 43,275
Six Flags Inc. 1 6,474 48,684
Speedway Motorsports
Inc. 3,391 98,068
Steinway Musical
Instruments Inc. 1 1,325 32,727
Vail Resorts Inc. 1 2,910 49,470
World Wrestling
Entertainment Inc. 1,900 24,890
Wynn Resorts Ltd. 1 3,109 87,083
Zomax Inc. 1 3,099 15,464
------------
2,240,146
------------
Environmental Control--0.44%
Catalytica Energy
Systems Inc. 1 1,705 5,966
Crown Andersen Inc. 1 3,900 9,750
Duratek Inc. 1 2,430 31,687
IMCO Recycling Inc. 1 5,713 56,502
Ionics Inc. 1 1,501 47,807
Layne Christensen Co. 1 6,420 75,435
Mine Safety Appliances
Co. 963 76,568
MPM Technologies
Inc. 1 1,900 1,235
Perma-Fix
Environmental
Services Inc. 1 10,189 31,688
Republic Services Inc. 11,728 300,589
Stericycle Inc. 1 3,102 144,863
Synagro Technologies
Inc. 1 2,174 4,761
Tetra Tech Inc. 1 4,228 105,108
TRC Companies Inc. 1 523 11,014
U.S. Liquids Inc. 1 5,654 339
Waste Connections
Inc. 1 2,100 79,317
Waste Holdings Inc. 2,593 29,820
------------
1,012,449
------------
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
Food--2.33%
American Italian Pasta
Co. Class A 1 1,402 $ 58,744
Andersons Inc. 2,101 33,547
Applebee's International
Inc. 4,275 167,879
Arden Group Inc. Class A 520 40,300
Bridgeford Food Corp. 1,119 8,784
CEC Entertainment
Inc. 1 2,022 95,823
Cheesecake Factory
(The) 1 4,294 189,065
Chiquita Brands
International Inc. 1 4,300 96,879
Corn Products
International Inc. 2,555 88,020
Dean Foods Co. 1 11,739 385,861
Del Monte Foods Co. 1 15,053 156,551
Flowers Foods Inc. 3,440 88,752
Fresh Brands Inc. 3,742 41,162
Fresh Del Monte Produce
Inc. 4,934 117,577
Garden Fresh
Restaurant Corp. 1 935 15,016
Gardenburger Inc. 1 3,019 845
Green Mountain
Coffee Roasters Inc. 1 1,000 23,020
Hain Celestial Group
Inc. 1 2,764 64,152
Horizon Organic
Holding Corp. 1 900 21,555
Hormel Foods Corp. 10,429 269,172
Host America Corp. 1 2,414 20,447
IHOP Corp. 1,805 69,456
International
Multifoods Corp. 1 1,044 18,792
Interstate Bakeries Corp. 3,474 49,435
Jack in the Box Inc. 1 2,524 53,913
Kraft Foods Inc. 22,256 717,088
Lance Inc. 2,741 41,197
Landry's Restaurants Inc. 2,168 55,761
M&F Worldwide Corp. 1 1,561 20,855
P.F. Chang's China
Bistro Inc. 1 2,003 101,913
Panera Bread Co.
Class A 1 2,500 98,825
Papa John's
International Inc. 1 1,521 50,771
Paradise Inc. 553 16,037
Pathmark Stores Inc. 1 1,900 14,440
Performance Food
Group Co. 1 3,377 122,146
Pilgrim's Pride Corp. 2,447 39,960
Poore Brothers Inc. 1 4,851 16,445
Ralcorp Holdings Inc. 1 2,209 69,274
Rare Hospitality
International Inc. 1 2,950 72,098
Ruddick Corp. 3,435 61,487
Sanderson Farms Inc. 801 32,280
Schlotzsky's Inc. 1 4,337 8,847
Seaboard Corp. 166 46,812
Sensient Technologies
Corp. 3,249 64,233
Smithfield Foods Inc. 1 8,524 176,447
Smucker (J.M.) Co. (The) 4,106 185,961
Sonic Corp. 1 2,739 83,868
SonomaWest
Holdings Inc. 1 3,400 28,897
Tejon Ranch Co. 1 1,525 62,540
209
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ----------------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------------
Tootsie Roll Industries Inc. 4,574 $ 164,664
Tyson Foods Inc. Class A 25,463 337,130
United Heritage Corp. 1 6,360 4,134
United Natural Foods
Inc. 1 1,913 68,696
Weis Markets Inc. 2,768 100,478
Whole Foods Market
Inc. 1 4,740 318,196
Wild Oats Markets
Inc. 1 2,438 31,523
------------
5,387,750
------------
Forest Products & Paper--0.30%
American Woodmark Corp. 800 44,040
Bowater Inc. 4,366 202,189
Buckeye Technologies
Inc. 1 2,502 25,145
Caraustar Industries
Inc. 1 3,220 44,436
Chesapeake Corp. 1,629 43,136
Deltic Timber Corp. 912 27,725
Fibermark Inc. 1 1,686 2,951
Glatfelter Co. 3,481 43,338
Pope & Talbot Inc. 1,789 31,504
Potlatch Corp. 2,704 94,018
Rock-Tenn Co. Class A 2,900 50,054
Schweitzer-Mauduit
International Inc. 991 29,512
Wausau-Mosinee Paper
Corp. 3,806 51,457
------------
689,505
------------
Gas--0.35%
AGL Resources Inc. 4,332 126,061
Delta Natural Gas Co. Inc. 760 18,134
Laclede Group Inc. (The) 1,278 36,487
NUI Corp. 2,193 35,351
ONEOK Inc. 7,035 155,333
Southwestern Energy
Co. 1 2,141 51,170
UGI Corp. 2,720 92,208
Vectren Corp. 6,493 160,052
WGL Holdings Inc. 4,631 128,695
------------
803,491
------------
Hand / Machine Tools--0.29%
Axsys Technologies
Inc. 1 1,179 16,730
Baldor Electric Co. 2,236 51,093
Franklin Electric Co. Inc. 902 54,562
Kennametal Inc. 3,000 119,250
Powell Industries Inc. 1 2,091 40,043
Regal-Beloit Corp. 1,935 42,570
SPX Corp. 1 5,972 351,213
------------
675,461
------------
Health Care--5.21%
Abaxis Inc. 1 1,008 18,265
ABIOMED Inc. 1 1,772 12,245
Accredo Health Inc. 1 3,843 121,477
Advanced
Neuromodulation
Systems Inc. 1 1,495 68,740
Aksys Ltd. 1 1,527 13,483
Alaris Medical
Systems Inc. 1 5,285 80,385
- ----------------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------------
Alliance Imaging Inc. 1 2,859 $ 10,578
Alliance
Pharmaceutical
Corp. 1 640 256
American Healthways
Inc. 1 2,450 58,482
American Medical
Systems Holdings
Inc. 1 3,000 65,400
AMERIGROUP Corp. 1 1,765 75,277
AmSurg Corp. 1 1,320 50,015
Apogent Technologies
Inc. 1 7,280 167,731
Apria Healthcare
Group Inc. 1 3,762 107,104
Aradigm Corp. 1 2,248 3,844
Arrow International Inc. 2,611 65,223
ArthroCare Corp. 1 1,703 41,724
AVAX Technologies
Inc. 1 2,900 522
Avigen Inc. 1 2,019 11,872
Beckman Coulter Inc. 4,532 230,362
Bei Technologies Inc. 900 18,000
Beverly Enterprises
Inc. 1 8,878 76,262
Bioject Medical
Technologies Inc 1 4,640 13,920
BioLase Technology
Inc. 1 1,048 17,397
BioMarin
Pharmaceutical Inc. 1 4,800 37,291
Bio-Rad Laboratories
Inc. Class A 1 1,914 110,380
Bioreliance Corp. 1 2,049 97,983
Biosite Inc. 1 1,292 37,403
BriteSmile Inc. 1 864 21,920
CardioDynamics
International Corp. 1 3,744 22,352
CardioGenesis Corp. 1 2,404 1,971
Centene Corp. 1 1,522 42,631
Cerner Corp. 1 3,045 115,253
Cerus Corp. 1 1,347 6,115
ChromaVision Medical
Systems Inc. 1 3,736 11,918
Clinical Data Inc. 2,664 26,560
Closure Medical Corp. 1 1,363 46,247
Community Health
Systems Inc. 1 7,789 207,032
Conceptus Inc. 1 2,094 22,238
CONMED Corp. 1 2,515 59,857
Cooper Companies Inc. 2,334 110,001
Covance Inc. 1 4,629 124,057
Coventry Health Care
Inc. 1 4,435 286,013
CTI Molecular
Imaging Inc. 1 3,390 57,325
Curon Medical Inc. 1 6,954 22,114
Cyberonics Inc. 1 1,818 58,194
Cygnus Inc. 1 2,359 778
Cytyc Corp. 1 7,458 102,622
Dade Behring
Holdings Inc. 1 3,121 111,545
Datascope Corp. 978 35,061
DaVita Inc. 1 5,721 223,119
Diagnostic Products Corp. 2,302 105,685
Diametrics Medical
Inc. 1 3,462 969
DJ Orthopedics Inc. 1 1,086 29,105
210
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
Dynacq Healthcare
Inc. 1 2,800 $ 21,504
Edwards Lifesciences
Corp. 1 4,555 137,014
Enzo Biochem Inc. 1 2,465 44,148
Enzon
Pharmaceuticals Inc. 1 3,284 39,408
EP MedSystems Inc. 1 8,305 25,247
Epimmune Inc. 1 2,000 3,660
FARO Technologies
Inc. 1 598 14,938
Female Health
Company (The) 1 5,880 16,170
Flir Systems Inc. 1 2,404 87,746
Genelabs
Technologies Inc. 1 7,212 20,194
Genesis HealthCare
Corp. 1 1,950 44,421
Gen-Probe Inc. 1 3,316 120,935
Haemonetics Corp. 1 1,913 45,702
Hanger Orthopedic
Group Inc. 1 1,580 24,601
Health Net Inc. 1 8,731 285,504
HealthTronics Surgical
Services Inc. 1 2,400 15,000
Henry Schein Inc. 1 3,381 228,488
Hillenbrand Industries Inc. 4,972 308,562
Hologic Inc. 1 2,693 46,670
Hooper Holmes Inc. 3,918 24,213
ICU Medical Inc. 1 916 31,400
IDEXX Laboratories
Inc. 1 2,629 121,670
IGEN International
Inc. 1 1,939 114,226
I-many Inc. 1 1,903 1,903
Immtech International
Inc. 1 1,362 15,036
INAMED Corp. 1 2,491 119,717
Interleukin Genetics
Inc. 1 4,558 21,195
Intermagnetics
General Corp. 1 1,330 29,473
Interpore International 1 2,927 38,051
Invacare Corp. 2,367 95,556
Inveresk Research
Group Inc. 1 2,699 66,746
Inverness Medical
Innovations Inc. 1 1,383 30,122
i-STAT Corp. 1 1,963 30,034
Kensey Nash Corp. 1 1,733 40,292
Kindred Healthcare
Inc. 1 1,800 93,564
Kyphon Inc. 1 3,095 76,849
LabOne Inc. 1 1,205 39,126
Laboratory Corp. of
America Holdings 1 10,963 405,083
LCA-Vision Inc. 1 721 15,264
LifeCell Corp. 1 2,239 13,904
LifePoint Hospitals
Inc. 1 2,867 84,433
Lincare Holdings Inc. 1 7,468 224,264
Luminex Corp. 1 2,140 20,073
Matria Healthcare Inc. 1 1,160 24,511
Med-Design Corp.
(The) 1 2,327 10,472
Medwave Inc. 1 4,831 27,778
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
Mentor Corp. 3,710 $ 89,263
Meridian Bioscience Inc. 4,830 50,377
Merit Medical
Systems Inc. 1 5,038 112,146
Micro Therapeutics
Inc. 1 3,300 10,659
Microtek Medical
Holdings Inc. 1 2,500 12,500
Mid Atlantic Medical
Services Inc. 1 3,588 232,502
National Healthcare
Corp. 1 862 17,154
Novamed Eyecare Inc. 1 2,500 8,998
Novavax Inc. 1 3,100 18,600
Novoste Corp. 1 1,694 8,114
Oakley Inc. 5,523 76,438
Ocular Sciences Inc. 1 2,303 66,119
Odyssey Healthcare
Inc. 1 2,763 80,845
OraSure Technologies
Inc. 1 3,375 26,865
Orthodontic Centers
of America Inc. 1 3,298 26,549
Orthologic Corp. 1 3,033 18,592
Osteotech Inc. 1 2,997 26,374
Oxford Health Plans
Inc. 1 6,248 271,788
PacifiCare Health
Systems Inc. 1 3,147 212,737
Palatin Technologies
Inc. 1 2,428 6,070
Palomar Medical
Technologies Inc. 1 2,050 21,566
Patterson Dental Co. 1 5,207 334,081
Pediatrix Medical
Group Inc. 1 1,791 98,666
PharmaNetics Inc. 1 10,438 19,592
Physiometrix Inc. 1 4,453 9,797
PolyMedica Corp. 1,794 47,200
Possis Medical Inc. 1 2,556 50,481
Prime Medical Service
Inc. 1 2,659 12,471
Province Healthcare
Co. 1 3,717 59,472
PSS World Medical
Inc. 1 7,148 86,276
Psychemedics Corp. 604 5,659
Psychiatric Solutions
Inc. 1 2,662 55,636
Q-Med Inc. 1 2,644 30,247
RehabCare Group Inc. 1 1,479 31,444
Renal Care Group Inc. 1 3,915 161,298
Res-Care Inc. 1 2,444 19,796
ResMed Inc. 1 2,745 114,027
Respironics Inc. 1 2,578 116,242
Select Medical Corp. 7,248 117,997
Sierra Health Services
Inc. 1 2,153 59,100
Sola International Inc. 1 2,813 52,884
Somanetics Corp. 1 2,704 18,252
Specialty Laboratories
Inc. 1 2,304 38,684
Spectranetics Corp. 1 11,691 43,841
Staar Surgical Co. 1 1,696 19,097
Steris Corp. 1 5,056 114,266
Sunrise Senior Living
Inc. 1 1,950 75,543
Synovis Life
Technologies Inc. 1 506 10,292
211
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- -----------------------------------------------------------------------------------
Security Shares Value
- -----------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------------------------
Theragenics Corp. 1 2,984 $ 16,322
Therasense Inc. 1 4,600 93,380
ThermoGenesis Corp. 1 7,353 38,089
Thoratec Corp. 1 3,876 50,427
Triad Hospitals Inc. 1 6,042 201,017
TriPath Imaging Inc. 1 3,479 27,136
U.S. Physical Therapy
Inc. 1 2,600 40,898
Universal Health Services
Inc. Class B 4,402 236,475
Urologix Inc. 1 2,100 13,860
US Oncology Inc. 1 5,244 56,425
Valentis Inc. 1 4,075 11,003
Varian Medical
Systems Inc. 1 5,106 352,825
VCA Antech Inc. 1 2,805 86,899
Ventana Medical
Systems Inc. 1 1,416 55,790
Viasys Healthcare Inc. 1 2,367 48,760
VistaCare Inc. Class A 1 2,683 94,307
VISX Inc. 1 4,020 93,063
Vital Sign Inc. 1,269 41,496
WebMD Corp. 1 23,096 207,633
WellChoice Inc. 1 1,819 62,756
West Pharmaceutical
Services Inc. 1,171 39,697
Wright Medical Group
Inc. 1 2,354 71,656
Young Innovations Inc. 1,354 48,744
ZEVEX International
Inc. 1 1,200 4,776
Zoll Medical Corp. 1 850 30,158
------------
12,027,359
------------
Holding Companies--Diversified--3.20%
Berkshire Hathaway
Inc. Class A 1 87 7,329,750
Walter Industries Inc. 3,486 46,538
------------
7,376,288
------------
Home Builders--1.36%
Beazer Homes USA Inc. 857 83,695
Brookfield Homes Corp. 2,122 54,684
Champion Enterprises
Inc. 1 4,252 29,764
Coachmen Industries Inc. 807 14,615
D.R. Horton Inc. 11,878 513,842
Dominion Homes Inc. 1 1,300 39,429
Fleetwood Enterprises
Inc. 1 3,500 35,910
Hovnanian
Enterprises Inc.
Class A 1 2,198 191,358
Lennar Corp. Class A 5,848 561,408
M.D.C. Holdings Inc. 2,272 146,544
M/I Schottenstein Homes
Inc. 979 38,230
Meritage Corp. 1 1,300 86,203
Monaco Coach Corp. 1 2,752 65,498
NVR Inc. 1 512 238,592
Palm Harbor Homes
Inc. 1 2,363 42,227
Ryland Group Inc. 1,763 156,272
Skyline Corp. 1,441 50,248
Standard-Pacific Corp. 2,326 112,927
- -----------------------------------------------------------------------------------
Security Shares Value
- -----------------------------------------------------------------------------------
Technical Olympic
USA Inc. 1 1,914 $ 52,692
Thor Industries Inc. 2,521 141,731
Toll Brothers Inc. 1 5,508 218,998
WCI Communities Inc. 1 3,532 72,795
William Lyon Homes
Inc. 1 1,065 66,850
Winnebago Industries Inc. 1,733 119,144
------------
3,133,656
------------
Home Furnishings--0.55%
Applica Inc. 1 3,014 22,906
Bassett Furniture
Industries Inc. 2,279 37,604
Digital Theater
Systems Inc. 1 799 19,727
Ethan Allen Interiors Inc. 3,021 126,519
Fedders Corp. 3,656 26,323
Fedders Corp. Rights 1 3,656 219
Furniture Brands
International Inc. 4,312 126,471
Harman International
Industries Inc. 4,996 369,604
Kimball International Inc.
Class B 2,257 35,096
Lazare Kaplan
International Inc. 1 2,279 15,839
La-Z-Boy Inc. 4,267 89,522
Libbey Inc. 1,499 42,692
Movado Group Inc. 1,678 47,370
Oneida Ltd. 1,947 11,468
ParkerVision Inc. 1 1,320 12,923
Polycom Inc. 1 7,135 139,275
Rowe Furniture Corp. 1 1,941 6,988
Salton Inc. 1 1,403 18,309
Select Comfort Corp. 1 2,596 64,277
Standex International
Corp. 721 20,188
Tempur-Pedic
International Inc. 1 2,693 41,742
------------
1,275,062
------------
Household Products/Wares--0.64%
Blyth Inc. 3,380 108,904
Central Garden & Pet
Co. 1 592 16,594
Church & Dwight Co. Inc. 3,324 131,630
Dial Corp. (The) 7,602 216,429
Enesco Group Inc. 1 7,002 72,261
Ennis Business Forms Inc. 2,191 33,522
Fossil Inc. 1 4,206 117,810
Harland (John H.) Co. 2,180 59,514
Helen of Troy Ltd. 1 2,577 59,658
Jarden Corp. 1 1,968 53,805
Nashua Corp. 1 3,083 26,206
National Presto Industries
Inc. 1,071 38,717
New England Business
Service Inc. 1,107 32,657
Playtex Products Inc. 1 4,899 37,869
Russ Berrie & Co. Inc. 1,794 60,817
Scotts Co. (The)
Class A 1 2,413 142,753
Standard Register Co.
(The) 2,728 45,912
Toro Co. 2,550 118,320
Yankee Candle Co.
Inc. (The) 1 4,030 110,140
------------
1,483,518
------------
212
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
Insurance--3.68%
Acceptance Insurance
Companies Inc. 1 3,741 $ 64
Alfa Corp. 3,856 49,588
Allmerica Financial
Corp. 1 4,155 127,849
American Financial Group
Inc. 5,748 152,092
American
Independence Corp. 1 860 10,157
American Medical
Security Group Inc. 1 1,445 32,397
American National
Insurance Co. 1,891 159,544
American Physicians
Capital Inc. 1 1,721 31,666
AmerUs Group Co. 2,986 104,420
Argonaut Group Inc. 1 2,775 43,124
Baldwin & Lyons Inc.
Class B 1,891 53,061
Berkley (W.R.) Corp. 5,939 207,568
Brown & Brown Inc. 5,681 185,257
CNA Financial Corp. 1 18,133 437,005
CNA Surety Corp. 1 2,972 28,264
Commerce Group Inc. 2,443 96,499
Crawford & Co. Class B 3,782 26,701
Danielson Holding
Corp. 1 980 2,852
Delphi Financial Group Inc.
Class A 2,253 81,108
Donegal Group Inc.
Class B 855 16,459
EMC Insurance Group Inc. 682 14,417
Erie Indemnity Co. Class A 4,990 211,476
FBL Financial Group Inc.
Class A 2,105 54,309
Fidelity National Financial
Inc. 11,688 453,261
Financial Industries
Corp. 1 1,320 18,612
First American Corp. 5,898 175,583
Fremont General Corp. 5,741 97,080
Gainsco Inc. 1 770 173
Gallagher (Arthur J.) & Co. 7,316 237,697
Great American Financial
Resources Inc. 2,609 42,318
Harleysville Group Inc. 2,703 53,763
HCC Insurance Holdings
Inc. 5,095 162,021
HealthExtras Inc. 1 3,729 49,969
Hilb, Rogal & Hamilton Co. 2,826 90,630
Horace Mann Educators
Corp. 2,702 37,747
Independence Holding Co. 1,069 25,656
Infinity Property &
Casualty Corp. 1,620 53,541
Kansas City Life Insurance
Co. 1,601 73,966
LandAmerica Financial
Group Inc. 1,690 88,319
Leucadia National Corp. 6,213 286,419
Markel Corp. 1 742 188,104
Mercury General Corp. 4,536 211,151
MONY Group Inc.
(The) 1 3,816 119,403
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
Nationwide Financial
Services Inc. 4,328 $ 143,084
Navigators Group Inc. 1 1,877 57,943
Odyssey Re Holdings Corp. 4,421 99,694
Ohio Casualty Corp. 1 4,478 77,738
Old Republic International
Corp. 13,694 347,267
Philadelphia
Consolidated
Holding Corp. 1 1,708 83,402
PICO Holdings Inc. 1 2,300 36,041
PMA Capital Corp. Class A 3,652 18,698
PMI Group Inc. (The) 7,091 263,998
Presidential Life Corp. 2,120 27,899
ProAssurance Corp. 1 3,295 105,934
Protective Life Corp. 5,784 195,731
Radian Group Inc. 7,025 342,469
Reinsurance Group of
America Inc. 4,825 186,486
RLI Corp. 2,328 87,207
Selective Insurance Group
Inc. 1,963 63,523
Southern Security Life
Insurance Co. 1 2,361 8,124
StanCorp Financial Group
Inc. 2,071 130,224
State Auto Financial Corp. 3,976 92,999
Stewart Information
Services Corp. 2,478 100,483
Transatlantic Holdings Inc. 3,873 312,938
Triad Guaranty Inc. 1 1,384 69,684
21st Century Insurance
Group 5,697 78,334
U.S.I. Holdings Corp. 1 1,922 25,082
UICI 1 4,968 65,973
United Fire & Casualty Co. 1,251 50,490
Unitrin Inc. 5,638 233,470
Universal American
Financial Corp. 1 3,624 35,914
Wesco Financial Corp. 525 184,800
White Mountains
Insurance Group Ltd. 685 315,066
Zenith National Insurance
Corp. 1,762 57,353
------------
8,489,338
------------
Iron/Steel--0.25%
AK Steel Holding
Corp. 1 10,018 51,092
Carpenter Technology
Corp. 2,283 67,508
Cleveland-Cliffs Inc. 1 978 49,829
Gibraltar Steel Corp. 1,358 34,154
International Steel
Group Inc. 1 1,448 56,400
National Steel Corp.
Class B 1 4,836 17
Reliance Steel &
Aluminum Co. 2,654 88,139
Ryerson Tull Inc. 2,942 33,686
Schnitzer Steel Industries
Inc. Class A 838 50,699
Shiloh Industries Inc. 1 2,882 18,157
Steel Dynamics Inc. 1 4,841 113,715
Weirton Steel Corp. 1 2,700 108
WHX Corp. 1 585 1,562
------------
565,066
------------
213
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Leisure Time--0.42%
Ambassadors International
Inc. 1,047 $ 13,088
Bally Total Fitness
Holding Corp. 1 1,944 13,608
Callaway Golf Co. 4,985 83,997
K2 Inc. 1 4,427 67,335
Nautilus Group Inc. (The) 2,400 33,720
Orbitz Inc. Class A 1 1,310 30,392
Polaris Industries Inc. 1,611 142,702
Royal Caribbean Cruises
Ltd. 14,964 520,598
WMS Industries Inc. 1 2,502 65,552
------------
970,992
------------
Lodging--0.65%
Aztar Corp. 1 2,668 60,030
Boca Resorts Inc.
Class A 1 3,216 48,111
Boyd Gaming Corp. 4,980 80,377
Choice Hotels
International Inc. 1 2,889 101,837
Extended Stay America
Inc. 6,953 100,679
International Leisure
Hosts Ltd. 1 2,400 12,000
John Q Hammons
Hotels Inc. 1 2,600 18,330
Mandalay Resort Group 4,606 205,980
Marcus Corp. 2,722 44,641
MGM Mirage 1 11,471 431,424
Park Place
Entertainment Corp. 1 21,550 233,387
Prime Hospitality
Corp. 1 3,038 30,988
ShoLodge Inc. 1 1,700 7,599
Station Casinos Inc. 4,422 135,446
------------
1,510,829
------------
Machinery--1.34%
AGCO Corp. 1 5,752 115,845
Albany International Corp.
Class A 2,569 87,089
Applied Industrial
Technologies Inc. 1,544 36,840
Astec Industries Inc. 1 1,643 20,160
Asyst Technologies
Inc. 1 3,362 58,331
Benthos Inc. 1 3,900 19,691
Briggs & Stratton Corp. 1,620 109,188
Donaldson Co. Inc. 3,515 207,947
DT Industries Inc. 1 2,068 2,544
Dycom Industries Inc. 1 3,808 102,131
Electroglas Inc. 1 13,581 49,571
Engineered Support
Systems Inc. 1,744 96,025
Esterline Technologies
Corp. 1 1,986 52,967
Flowserve Corp. 1 3,994 83,395
Gardner Denver Inc. 1 1,836 43,825
Gerber Scientific Inc. 1 3,216 25,599
Global Payment
Technologies Inc. 1 2,540 8,509
Graco Inc. 3,595 144,160
Hurco Companies Inc. 1 600 3,210
Idex Corp. 2,680 111,461
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Insituform
Technologies Inc.
Class A 1 1,835 $ 30,278
JLG Industries Inc.
3,563 54,264
Joy Global Inc. 3,807 99,553
Kadant Inc. 1 830 17,970
Knight Transportation
Inc. 1 2,677 68,665
Kulicke & Soffa
Industries Inc. 1 3,584 51,538
Lincoln Electric Holding
Inc. 3,754 92,874
Lindsay Manufacturing Co. 1,024 25,856
Magnetek Inc. 1 2,812 18,531
Manitowoc Co. Inc. (The) 2,416 75,379
McDermott
International Inc. 1 5,021 60,001
NACCO Industries Inc. 560 50,109
Nordson Corp. 2,664 91,988
Paragon Technologies
Inc. 1 3,600 34,920
Paxar Corp. 1 3,943 52,836
PPT Vision Inc. 1 1,600 1,936
Presstek Inc. 1 1,890 13,740
Robbins & Myers Inc. 1,380 26,206
Sauer-Danfoss Inc. 2,529 40,970
Semitool Inc. 1 2,120 22,729
Stewart & Stevenson
Services Inc. 2,732 38,385
Tecumseh Products Co.
Class A 1,382 66,930
Tegal Corp. 1 7,509 20,800
Tennant Co. 1,281 55,467
Terex Corp. 1 3,879 110,474
Thomas Industries Inc. 1,910 66,201
TurboChef
Technologies Inc. 1 5,963 18,485
Ultratech Inc. 1 1,943 57,066
Unova Inc. 1 4,748 108,967
Zebra Technologies
Corp. Class A 1 3,710 246,233
------------
3,097,839
------------
Manufacturers--0.65%
AZZ Incorporated 1 2,063 27,541
Carlisle Companies Inc. 2,265 137,848
CUNO Inc. 1 1,796 80,874
EnPro Industries Inc. 1 1,106 15,429
Federal Signal Corp. 4,037 70,728
FMC Corp. 1 3,336 113,858
Harsco Corp. 3,454 151,354
Jacuzzi Brands Inc. 1 5,310 37,648
Lancaster Colony Corp. 2,693 121,616
Pentair Inc. 4,105 187,599
Quantum Fuel
Systems
Technologies
Worldwide Inc. 1 1,033 8,305
Roper Industries Inc. 2,939 144,775
Samsonite Corp. 1 2,267 1,474
Sturm Ruger & Co. Inc. 2,392 27,197
Teleflex Inc. 3,225 155,864
Tredegar Corp. 2,864 44,478
Trinity Industries Inc. 3,934 121,325
Wabtec Corp. 3,474 59,197
------------
1,507,110
------------
214
Schedule of Investments--(Continued)
December 31, 2003
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Extended Index
Master Portfolio
- -----------------------------------------------------------------------------
Security Shares Value
- -----------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -----------------------------------------------------------------------------
Manufacturing--0.12%
Acuity Brands Inc. 3,746 $ 96,647
Applied Films
Corporation 1 1,058 34,935
ESCO Technologies
Inc. 1 1,112 48,539
International Smart
Sourcing Inc. 1 3,590 17,914
Kaydon Corp. 2,531 65,401
LSB Industries Inc. 1 2,823 18,011
Servotronics Inc. 1 1,410 4,089
------------
285,536
------------
Media--4.33%
Acme
Communications
Inc. 1 2,400 21,096
Andersen Group Inc. 1 3,800 17,632
Bankrate Inc. 1 2,167 26,827
Banta Corp. 1,882 76,221
Beasley Broadcast
Group Inc. Class A 1 2,300 37,789
Belo (A.H.) Corp. 8,559 242,562
Big City Radio Inc. 1 2,600 3,380
Cablevision Systems
Corp. 1 16,756 391,923
Citadel Broadcasting
Co. 1 1,528 34,181
Courier Corp. 567 21,813
Cox Radio Inc.
Class A 1 2,985 75,312
Crown Media
Holdings Inc. 1 11,798 97,569
Cumulus Media Inc.
Class A 1 3,662 80,564
Emmis
Communications
Corp. 1 4,016 108,633
Entercom
Communications
Corp. 1 3,977 210,622
Entravision
Communications
Corp. 1 5,705 63,326
Fox Entertainment
Group Inc. Class A 1 26,590 775,099
Gemstar-TV Guide
International Inc. 1 29,026 146,581
Granite Broadcasting
Corp. 1 10,908 17,998
Gray Television Inc. 3,234 48,898
Hearst-Argyle Television
Inc. 3,659 100,842
Hollinger International Inc. 5,936 92,720
Hollywood Media
Corp. 1 2,989 7,951
Hughes Electronics
Corp. 1 70,327 1,163,906
Information Holdings
Inc. 1 1,958 43,272
Insight
Communications
Co. Inc. 1 3,770 38,869
Journal Communications
Inc. Class A 1,200 22,236
Journal Register Co. 1 3,222 66,695
Lee Enterprises Inc. 3,402 148,497
- -----------------------------------------------------------------------------
Security Shares Value
- -----------------------------------------------------------------------------
Liberty Corp. 1,871 $ 84,550
Liberty Media Corp.
Class A 1 204,577 2,432,421
Lin TV Corp. Class A 1 2,838 73,249
LodgeNet
Entertainment Corp. 1 2,500 45,700
McClatchy Co. (The)
Class A 3,313 227,934
Media General Inc. Class A 1,620 105,462
Mediacom
Communications
Corp. 1 6,007 52,081
National Lampoon
Inc. 1 3,300 11,385
New Frontier Media
Inc. 1 7,617 70,838
Paxson
Communications
Corp. 1 4,748 18,280
Pegasus
Communications
Corp. 1 694 19,488
Playboy Enterprises
Inc. Class B 1 2,502 40,432
Primedia Inc. 1 17,706 50,108
Pulitzer Inc. 1,506 81,324
Radio One Inc. 1 7,724 151,004
Radio Unica
Communications
Corp. 1 3,800 2,394
Readers Digest Association
Inc. (The) 6,988 102,444
Regent
Communications
Inc. 1 3,200 20,320
Salem
Communications
Corp. Class A 1 1,700 46,104
Scholastic Corp. 1 3,129 106,511
Scripps (E.W.) Co. Class A 5,979 562,863
Sinclair Broadcast
Group Inc. Class A 1 4,099 61,157
Spanish Broadcasting
System Inc. Class A 1 2,600 27,300
TiVo Inc. 1 4,737 35,054
UnitedGlobalCom Inc.
Class A 1 6,592 55,900
Value Line Inc. 1,146 57,185
Washington Post Company
(The) Class B 711 562,685
Westwood One Inc. 1 7,835 268,035
Wiley (John) & Sons Inc.
Class A 4,310 112,189
XM Satellite Radio
Holdings Inc.
Class A 1 11,190 294,968
Young Broadcasting
Inc. Class A 1 1,662 33,306
Youthstream Media
Networks Inc. 1 2,318 533
------------
9,996,218
------------
Metal Fabricate/Hardware--0.24%
Amcast Industrial
Corp. 1 1,839 4,781
Ampco-Pittsburgh Corp. 492 6,726
CIRCOR International Inc. 1,199 28,896
Penn Engineering &
Manufacturing Corp. 1,834 34,901
Precision Castparts Corp. 4,945 224,552
215
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------------
Shaw Group Inc.
(The) 1 3,869 $ 52,696
Timken Co. (The) 6,776 135,927
TransTechnology
Corp. 1 2,532 16,838
Valmont Industries Inc. 2,324 53,801
------------
559,118
------------
Metals--Diversified--0.28%
Ameron International Corp. 1,085 37,639
AptarGroup Inc. 2,613 101,907
Commercial Metals Co. 3,540 107,616
Griffon Corp. 1 1,720 34,847
Matthews International
Corp. Class A 1,974 58,411
Maverick Tube Corp. 1 3,041 58,539
Mueller Industries Inc. 1 2,754 94,627
Niagara Corp. 1 600 4,338
NS Group Inc. 1 1,846 17,906
Quanex Corp. 1,288 59,377
Southern Peru Copper
Corp. 1,014 47,820
TransPro Inc. 1 3,911 16,387
------------
639,414
------------
Mining--0.49%
AMCOL International Corp. 1,806 36,662
Arch Coal Inc. 4,032 125,677
Brush Engineered
Materials Inc. 1 2,244 34,356
Century Aluminum
Co. 1 1,637 31,119
Charles & Colvard
Ltd. 1 2,811 11,601
Couer d'Alene Mines
Corp. 1 10,887 62,927
Glamis Gold Ltd. 1 9,962 170,549
Gold Reserve Inc. 1 8,621 41,984
Hecla Mining Co. 1 8,249 68,384
Liquidmetal
Technologies 1 4,692 13,325
MAXXAM Inc. 1 1,713 32,461
Meridian Gold Inc. 1 8,994 131,402
Peabody Energy Corp. 4,548 189,697
Royal Gold Inc. 2,099 43,932
Stillwater Mining Co. 1 5,852 56,004
Titanium Metals Corp. 1 613 32,189
USEC Inc. 5,274 44,302
------------
1,126,571
------------
Office/Business Equipment--0.29%
General Binding Corp. 1 3,195 57,510
Global Imaging
Systems Inc. 1 1,516 48,133
Herman Miller Inc. 5,963 144,722
HON Industries Inc. 4,599 199,229
Imagistics
International Inc. 1 1,925 72,188
Insight Enterprises
Inc. 1 3,420 64,296
Programmer's Paradise
Inc. 2,561 17,645
Steelcase Inc. Class A 3,396 48,767
Virco Manufacturing Corp. 1,598 10,147
------------
662,637
------------
- ------------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------------
Oil & Gas Producers--3.81%
Adams Resources &
Energy Inc. 2,924 $ 39,766
Apco Argentina Inc. 1,051 27,978
Atmos Energy Corp. 4,031 97,953
ATP Oil & Gas Corp. 1 1,370 8,604
Atwood Oceanics Inc. 1 1,662 53,084
Berry Petroleum Co.
Class A 2,374 48,074
Blue Dolphin Energy
Co. 1 7,300 12,344
BP Prudhoe Bay Royalty
Trust 2,210 62,963
Cabot Oil & Gas Corp. 2,655 77,924
CAL Dive International
Inc. 1 2,727 65,748
Callon Petroleum Co. 1 1,559 16,167
Cascade Natural Gas Corp. 2,578 54,370
Chesapeake Energy Corp. 15,967 216,832
Chesapeake Utilities Corp. 1,898 49,443
Cimarex Energy Co. 1 3,291 87,837
Clayton Williams
Energy Inc. 1 1,100 31,977
Cross Timbers Royalty
Trust 970 27,664
Dawson Geophysical
Co. 1 2,400 18,000
Delta Petroleum Corp. 1 5,418 32,887
Denbury Resources
Inc. 1 4,397 61,162
Diamond Offshore Drilling
Inc. 10,151 208,197
Encore Acquisition
Co. 1 2,488 61,329
Energen Corp. 2,333 95,723
Energy Partners Ltd. 1 2,918 40,560
ENSCO International Inc. 11,239 305,364
Equitable Resources Inc. 5,482 235,287
Evergreen Resources
Inc. 1 3,586 116,581
Exploration Company
of Delaware (The) 1 4,951 30,201
Forest Oil Corp. 1 4,568 130,508
Frontier Oil Corp. 6,888 118,611
FX Energy Inc. 1 6,993 34,965
Giant Industries Inc. 1 7,280 87,214
Grey Wolf Inc. 1 9,565 35,773
Hanover Compressor
Co. 1 5,769 64,324
Helmerich & Payne Inc. 3,892 108,704
Holly Corp. 5,137 141,268
Houston Exploration
Co. 1 2,383 87,027
Hugoton Royalty Trust 3,749 82,028
Key Energy Services
Inc. 1 9,229 95,151
Magnum Hunter
Resources Inc. 1 4,995 47,502
MarkWest
Hydrocarbon Inc. 1 1,956 22,064
McMoRan Exploration
Co. 1 2,119 39,731
Meridian Resource
Corp. (The) 1 5,900 35,046
Mission Resources
Corp. 1 1,833 4,143
Murphy Oil Corp. 8,571 559,772
National-Oilwell Inc. 1 6,498 145,295
216
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
New Jersey Resources
Corp. 2,242 $ 86,339
Newfield Exploration
Co. 1 4,509 200,831
Noble Energy Inc. 4,713 209,399
Northwest Natural Gas Co. 2,010 61,808
Nuevo Energy Co. 1 1,882 45,488
Parker Drilling Co. 1 6,495 16,562
Patina Oil & Gas Corp. 2,413 118,213
Penn Virginia Corp. 1,500 83,475
Petroleum
Development Corp. 1 2,500 59,250
Piedmont Natural Gas Co. 2,538 110,301
Pioneer Natural
Resources Co. 1 9,128 291,457
Plains Exploration &
Production Co. 1 4,745 73,026
Plains Resource Inc. 1 6,378 102,367
Pogo Producing Co. 4,994 241,210
Premcor Inc. 1 7,185 186,810
Pride International
Inc. 1 9,745 181,647
Prima Energy Corp. 1 1,030 36,215
Prolong International
Corp. 1 69,432 27,078
Quicksilver Resources
Inc. 1 2,232 72,094
Remington Oil & Gas
Corp. 1 2,255 44,401
SEACOR SMIT Inc. 1 1,519 63,844
SEMCO Energy Inc. 1,700 8,330
South Jersey Industries
Inc. 2,014 81,567
Southern Union Co. 1 5,363 98,679
Southwest Gas Corp. 2,031 45,596
Spinnaker Exploration
Co. 1 2,850 91,970
St. Mary Land &
Exploration Co. 2,333 66,491
Stone Energy Corp. 1 2,417 102,602
Superior Energy
Services Inc. 1 5,800 54,520
Swift Energy Co. 1 2,284 38,485
Tesoro Petroleum
Corp. 1 6,846 99,746
Tom Brown Inc. 1 3,113 100,394
Ultra Petroleum Corp. 1 5,685 139,965
Unit Corp. 1 3,191 75,148
Valero Energy Corp. 10,915 505,801
Vintage Petroleum Inc. 4,709 56,649
WD-40 Co. 1,899 67,149
Western Gas Resources
Inc. 4,048 191,268
Westport Resources
Corp. 1 5,694 170,023
W-H Energy Services
Inc. 1 2,755 44,631
Whiting Petroleum
Corp. 1 1,860 34,224
XTO Energy Inc. 14,101 399,058
------------
8,807,256
------------
Oil & Gas Services--1.10%
CARBO Ceramics Inc. 1,517 77,746
Cooper Cameron
Corp. 1 4,041 188,311
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
Dril-Quip Inc. 1 1,977 $ 32,225
FMC Technologies Inc. 1 4,527 105,479
Global Industries Ltd. 1 5,078 26,152
GlobalSantaFe Corp. 17,924 445,053
Grant Prideco Inc. 1 8,391 109,251
Hydril 1 2,000 47,860
Input/Output Inc. 1 4,854 21,892
Lone Star
Technologies Inc. 1 2,413 38,560
Matrix Service Co. 1 594 10,781
Mitcham Industries
Inc. 1 2,200 7,920
Newpark Resources
Inc. 1 6,968 33,377
Oceaneering
International Inc. 1 2,232 62,496
Oil States
International Inc. 1 4,053 56,499
Patterson-UTI Energy
Inc. 1 6,091 200,516
Smith International
Inc. 1 7,322 304,009
Tetra Technologies
Inc. 1 1,222 29,621
Tidewater Inc. 4,513 134,848
Universal
Compression
Holdings Inc. 1 2,787 72,908
Varco International
Inc. 1 7,182 148,165
Veritas DGC Inc. 1 2,501 26,210
Weatherford
International Ltd. 1 10,030 361,080
------------
2,540,959
------------
Packaging & Containers--0.51%
AEP Industries Inc. 1 745 7,256
Anchor Glass Container
Corp. 329 5,264
Crown Holdings Inc. 1 12,210 110,623
Greif Inc. Class A 2,452 87,071
Longview Fibre Co. 4,649 57,415
Owens-Illinois Inc. 1 10,434 124,060
Packaging Corporation of
America 8,090 176,847
Silgan Holdings Inc. 1 2,054 87,480
Smurfit-Stone Container
Corp. 18,075 335,653
Sonoco Products Co. 7,543 185,709
------------
1,177,378
------------
Pharmaceuticals--4.36%
aaiPharma Inc. 1 2,598 65,262
Abgenix Inc. 1 6,703 83,519
Able Laboratories Inc. 1 1,640 29,635
Adolor Corp. 1 2,838 56,817
Advanced Medical
Optics Inc. 1 2,348 46,138
AdvancePCS 1 7,009 369,094
Alfacell Corp. 1 8,591 31,615
Align Technology Inc. 1 4,716 77,908
Alkermes Inc. 1 6,211 83,849
Allscripts Healthcare
Solutions Inc. 1 4,600 24,472
Alpharma Inc. Class A 4,226 84,943
American
Pharmaceutical
Partners Inc. 1 1,053 35,381
217
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Amylin
Pharmaceuticals Inc. 1 6,987 $ 155,251
Andrx Group 1 5,500 132,220
Antigenics Inc. 1 2,912 32,964
Aphton Corp. 1 2,832 16,992
ArQule Inc. 1 1,444 7,047
AtheroGenics Inc. 1 2,970 44,402
AVANIR
Pharmaceuticals
Class A 1 4,000 5,840
AVI BioPharma Inc. 1 4,800 19,536
Barr Laboratories Inc. 1 5,109 393,138
Bentley
Pharmaceuticals Inc. 1 1,004 13,353
Biopure Corp. 1 3,708 8,825
Bone Care
International Inc. 1 1,973 25,136
Boston Life Sciences
Inc. 1 7,244 8,983
Bradley
Pharmaceuticals Inc. 1 950 24,159
Bruker BioSciences
Corp. 1 3,335 15,174
Celgene Corp. 1 6,251 281,420
Cell Genesys Inc. 1 3,182 41,175
Cell Therapeutics Inc. 1 2,680 23,316
CIMA Labs Inc. 1 1,315 42,895
CollaGenex
Pharmaceuticals Inc. 1 3,116 34,930
Columbia
Laboratories Inc. 1 3,639 22,926
Connetics Corp. 1 3,237 58,784
Corixa Corp. 1 3,828 23,121
Cubist
Pharmaceuticals Inc. 1 3,130 38,061
CV Therapeutics Inc. 1 2,848 41,752
Cypress Bioscience
Inc. 1 3,121 46,909
Cytrx Corp. 1 8,400 15,624
D&K Healthcare Resources
Inc. 2,276 30,863
Dendreon Corp. 1 3,084 24,857
DENTSPLY International
Inc. 5,900 266,503
Digene Corp. 1 1,451 58,185
Discovery
Laboratories Inc. 1 4,959 52,020
Durect Corp. 1 3,800 9,804
Emisphere
Technologies Inc. 1 1,544 8,461
Endo Pharmaceuticals
Holdings Inc. 1 10,071 193,967
Eon Labs Inc. 1 3,313 168,797
Epix Medical Inc. 1 1,921 31,274
Esperion Therapeutics
Inc. 1 2,840 98,292
First Horizon
Pharmaceutical
Corp. 1 2,607 29,198
Genta Inc. 1 5,382 56,027
Geron Corp. 1 2,558 25,503
Gilead Sciences Inc. 1 15,461 898,903
Guilford
Pharmaceuticals Inc. 1 1,220 8,272
Hemispherx
Biopharma Inc. 1 1,841 4,161
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Heska Corp. 1 8,925 $ 20,519
Hi-Tech Pharmacal Co. 1 1,151 27,049
Hollis-Eden
Pharmaceuticals 1 1,160 12,772
ILEX Oncology Inc. 1 3,766 80,028
ImClone Systems Inc. 1 5,733 227,371
Immucor Inc. 1 628 12,805
Immune Response
Corp. (The) 1 9,464 14,291
Immunogen Inc. 1 2,500 12,625
Impax Laboratories
Inc. 1 4,332 62,337
Indevus
Pharmaceuticals Inc. 1 909 5,354
InKine Pharmaceutical
Co. Inc. 1 8,956 43,257
Inspire
Pharmaceuticals Inc. 1 2,739 38,784
InterMune Inc. 1 3,000 69,480
Intuitive Surgical Inc. 1 3,220 55,030
Isis Pharmaceuticals
Inc. 1 3,408 22,152
IVAX Corp. 1 14,909 356,027
Kos Pharmaceuticals
Inc. 1 2,013 86,640
KV Pharmaceuticals
Co. 1 4,311 109,931
Ligand
Pharmaceuticals Inc.
Class B 1 5,226 76,770
Martek Biosciences
Corp. 1 2,123 137,931
Medarex Inc. 1 5,635 35,106
Medicines Co. (The) 1 3,828 112,773
Medicis Pharmaceutical
Corp. Class A 2,160 154,008
MGI Pharma Inc. 1 2,391 98,390
MIM Corp. 1 2,191 15,403
Miravant Medical
Technologies 1 1,991 2,548
Mylan Laboratories Inc. 20,429 516,037
Nabi
Biopharmaceuticals 1 3,300 41,943
NaPro
BioTherapeutics Inc. 1 10,443 20,573
Nastech
Pharmaceutical Co.
Inc. 1 3,000 28,800
Natrol Inc. 1 2,290 6,389
NBTY Inc. 1 4,863 130,620
NeighborCare Inc. 1 3,900 77,025
NEO Rx Corporation 1 4,762 19,810
NeoPharm Inc. 1 1,011 18,522
Neose Technologies
Inc. 1 1,409 12,963
Neurocrine
Biosciences Inc. 1 2,817 153,639
Noven
Pharmaceuticals Inc. 1 2,700 41,067
NPS Pharmaceuticals
Inc. 1 3,238 99,536
Nu Skin Enterprises Inc.
Class A 4,786 81,793
Nuvelo Inc. 1 6,903 23,953
Omnicare Inc. 7,900 319,081
Onyx Pharmaceuticals
Inc. 1 2,231 62,981
OSI Pharmaceuticals
Inc. 1 3,182 102,492
Pain Therapeutics Inc. 1 1,900 13,205
218
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ---------------------------------------------------------------------------
PAREXEL International
Corp. 1 945 $ 15,366
Penwest
Pharmaceuticals Co. 1 1,118 19,319
Peregrine
Pharmaceuticals Inc. 1 16,810 37,150
Perrigo Co. 5,276 82,939
Pharmaceutical
Resources Inc. 1 2,491 162,289
Pharmacyclics Inc. 1 3,401 25,167
Pharmos Corp. 1 12,438 43,533
POZEN Inc. 1 1,950 19,890
Praecis
Pharmaceuticals Inc. 1 3,675 23,667
Priority Healthcare
Corp. Class B 1 3,376 81,395
Progenics
Pharmaceuticals Inc. 1 1,056 19,916
Salix Pharmaceuticals
Ltd. 1 1,824 41,350
SciClone
Pharmaceuticals Inc. 1 3,400 23,052
Sepracor Inc. 1 6,541 156,526
Serologicals Corp. 1 2,187 40,678
SICOR Inc. 1 8,945 243,304
SIGA Technologies
Inc. 1 6,930 15,870
SuperGen Inc. 1 2,677 29,447
Sybron Dental
Specialties Inc. 1 2,844 79,916
Tanox Inc. 1 3,281 48,723
Titan Pharmaceuticals
Inc. 1 1,487 4,327
Tularik Inc. 1 5,015 80,992
United Surgical
Partners
International Inc. 1 2,127 71,212
United Therapeutics
Inc. 1 1,784 40,943
USANA Health
Sciences Inc. 1 1,186 36,292
Valeant Pharmaceuticals
International 6,623 166,568
VaxGen Inc. 1 2,050 16,236
Vertex
Pharmaceuticals Inc. 1 6,511 66,608
Vicuron
Pharmaceuticals Inc. 1 4,413 82,302
Vion Pharmaceuticals
Inc. 1 8,717 13,773
ViroPharma Inc. 1 1,323 3,678
VIVUS Inc. 1 2,800 10,612
Zonagen Inc. 1 1,801 3,332
Zymogenetics Inc. 1 4,132 64,046
------------
10,057,881
------------
Pipelines--0.27%
Aquila Inc. 1 13,013 44,114
Kaneb Services LLC 2,003 63,836
National Fuel Gas Co. 7,458 182,274
Questar Corp. 8,612 302,712
TransMontaigne Inc. 1 5,958 38,429
------------
631,365
------------
- ---------------------------------------------------------------------------
Security Shares Value
- ---------------------------------------------------------------------------
Real Estate--2.07%
Agree Realty Corp. 853 $ 24,123
American Residential
Investment Trust
Inc. 1 1,059 7,572
AMLI Residential
Properties Trust 3,088 82,758
Anthracite Capital Inc. 2,200 24,354
Arizona Land Income Corp.
Class A 2,100 10,500
Bedford Property Investors
Inc. 3,013 86,262
Brandywine Realty Trust 2,800 74,956
BRE Properties Inc. Class A 3,543 118,336
BRT Realty Trust 711 20,512
California Coastal
Communities Inc. 1 535 5,832
CenterPoint Properties
Corp. 1,492 111,751
Colonial Properties Trust 2,108 83,477
Commercial Net Lease
Realty Inc. 4,713 83,891
Cornerstone Realty Income
Trust Inc. 4,949 43,353
Corrections Corp. of
America 1 3,800 109,554
Cousins Properties Inc. 3,971 121,513
Developers Diversified
Realty Corp. 6,562 220,286
EastGroup Properties Inc. 3,076 99,601
Entertainment Properties
Trust 1,498 51,996
Equity Inns Inc. 6,529 59,087
Equity One Inc. 3,781 63,823
First Industrial Realty Trust
Inc. 2,697 91,024
Forest City Enterprises Inc.
Class A 3,524 167,425
Glenborough Realty Trust
Inc. 3,569 71,202
Glimcher Realty Trust 2,660 59,531
Grubb & Ellis
Company 1 1,305 1,135
Healthcare Realty Trust Inc. 3,253 116,295
HMG/Courtland
Properties Inc. 1 2,900 25,085
Home Properties Inc. 2,140 86,435
Impac Mortgage Holdings
Inc. 3,197 58,217
Innkeepers USA Trust 4,029 33,723
Jones Lang LaSalle
Inc. 1 3,226 66,875
Kilroy Realty Corp. 2,439 79,877
Lexington Corp. Properties
Trust 2,500 50,475
LNR Property Corp. 1,720 85,157
Macerich Co. (The)
4,435 197,358
Manufactured Home
Communities Inc. 2,140 80,571
Meristar Hospitality
Corp. 1 2,369 15,422
Mills Corp. 3,774 166,056
Monmouth Capital Corp. 4,329 28,485
National Health Investors
Inc. 4,195 104,372
Nationwide Health
Properties Inc. 3,114 60,879
Novastar Financial Inc.
1,542 66,244
Pan Pacific Retail
Properties Inc. 2,689 128,131
219
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ----------------------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------------------
PMC Commercial Trust-SBI 1,730 $ 26,348
Prentiss Properties Trust 3,211 105,931
Prime Group Realty
Trust 1 4,457 27,945
PS Business Parks Inc. 2,646 109,174
Realty Income Corp. 2,612 104,480
Reckson Associates Realty
Corp. 3,399 82,596
Redwood Trust Inc. 2,017 102,564
Shurgard Storage Centers
Inc. Class A 2,965 111,632
Sovran Self Storage Inc. 2,538 94,287
St. Joe Company (The) 6,135 228,774
Summit Properties Inc. 2,078 49,914
Sun Communities Inc. 1,913 74,033
Taubman Centers Inc. 4,167 85,840
Town & Country Trust
(The) 2,581 65,428
Trammell Crow Co. 1 4,232 56,074
United Capital Corp. 1,380 28,594
W.P. Carey & Co. LLC 2,891 88,233
------------
4,785,358
------------
Real Estate Investment Trusts--4.59%
Acadia Realty Trust 2,637 32,963
Alexander's Inc. 1 723 90,129
Alexandria Real Estate
Equities Inc. 2,805 162,410
AMB Property Corp. 6,626 217,863
American Financial Realty
Trust 5,669 96,656
American Home Mortgage
Invesment Corp. 1,736 39,077
American Land Lease Inc. 3,657 72,957
American Mortgage
Acceptance Corp. 3,684 60,049
Annaly Mortgage
Management Inc. 5,378 98,955
Anworth Mortgage Asset
Corp. 1,411 19,655
Archstone-Smith Trust 14,948 418,245
Arden Realty Inc. 5,961 180,857
AvalonBay Communities
Inc. 6,232 297,890
Boston Properties Inc. 7,276 350,630
Camden Property Trust 3,234 143,266
Capital Alliance Income
Trust Ltd. 1,598 29,563
Capital Automotive 3,233 103,456
Capstead Mortgage Corp. 4,800 80,544
CarrAmerica Realty Corp. 5,275 157,090
Catellus Development
Corp. 7,657 184,687
CBL & Associates
Properties Inc. 2,548 143,962
Cedar Shopping
Centers Inc. 1 1,166 14,482
Chelsea Property Group
Inc. 3,722 204,003
Correctional Properties
Trust 645 18,576
Crescent Real Estate
Equities Co. 7,801 133,631
Duke Realty Corp. 10,675 330,925
Essex Property Trust Inc. 1,328 85,284
- ----------------------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------------------
Federal Realty Investment
Trust 3,557 $ 136,553
FelCor Lodging Trust
Inc. 1 5,004 55,444
Friedman, Billings, Ramsey
Group, Inc. Class A 12,160 280,653
Gables Residential Trust 2,606 90,532
General Growth Properties
Inc. 14,931 414,335
Getty Realty Corp. 3,495 91,394
Great Lakes REIT Inc. 3,419 53,678
Health Care Property
Investors Inc. 5,315 270,002
Health Care REIT Inc. 3,619 130,284
Heritage Property
Investment Trust Inc. 4,103 116,730
Highwoods Properties Inc. 3,533 89,738
Hospitality Properties Trust 5,087 209,991
Host Marriott Corp. 1 22,297 274,699
HRPT Properties Trust 8,685 87,632
iStar Financial Inc. 8,279 322,053
Kimco Realty Corp. 8,058 360,596
Koger Equity Inc. 3,996 83,636
Kramont Realty Trust 3,227 58,409
La Quinta Corp. 1 14,323 91,810
Liberty Property Trust 6,048 235,267
Mack-Cali Realty Corp. 4,569 190,162
Maguire Properties Inc. 1,652 40,144
MFA Mortgage
Investments Inc. 2,524 24,609
Mid-America Apartment
Communities Inc. 2,437 81,834
Mission West Properties
Inc. 2,835 36,713
Monmouth Real Estate
Investment Corp. Class A 2,656 23,081
New Plan Excel Realty
Trust 7,976 196,768
Newcastle Investment
Corp. 1,000 27,100
Parkway Properties Inc. 1,973 82,077
Pennsylvania Real Estate
Investment Trust 2,283 82,873
Post Properties Inc. 3,692 103,081
Public Storage Inc. 9,495 411,988
RAIT Investment Trust 1,302 33,331
Regency Centers Corp. 4,617 183,987
Rouse Co. (The) 6,570 308,790
Senior Housing Properties
Trust 4,432 76,363
SL Green Realty Corp. 3,471 142,485
Thornburg Mortgage Inc. 3,641 99,035
Trizec Properties Inc. 10,656 164,102
U.S. Restaurant Properties
Inc. 2,957 50,387
United Dominion Realty
Trust Inc. 9,080 174,336
Ventas Inc. 4,896 107,712
Vornado Realty Trust 8,571 469,262
Washington Real Estate
Investment Trust 2,936 85,731
Weingarten Realty
Investors 4,054 179,795
------------
10,596,987
------------
220
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Retail--5.69%
Abercrombie & Fitch
Co. Class A 1 7,254 $ 179,246
AC Moore Arts &
Crafts Inc. 1 1,753 33,763
Advance Auto Parts
Inc. 1 2,814 229,060
Aeropostale Inc. 1 2,867 78,613
AG Services of
America Inc. 1 4,120 34,938
Amazon.com Inc. 1 30,437 1,602,204
American Eagle
Outfitters Inc. 1 5,106 83,738
America's Car-Mart
Inc. 1 472 12,706
Angelo and Maxie's
Inc. 1 5,088 7,123
AnnTaylor Stores
Corp. 1 3,372 131,508
Asbury Automotive
Group Inc. 1 1,506 26,972
Back Yard Burgers Inc. 1 2,370 14,786
Barnes & Noble Inc. 1 5,221 171,510
Bebe Stores Inc. 1 2,424 63,000
Big 5 Sporting Goods
Corp. 1 2,143 44,896
Big Dog Holdings Inc. 1 3,241 12,089
BJ's Wholesale Club
Inc. 1 5,087 116,798
Blair Corp. 865 21,054
Blockbuster Inc. 2,500 44,875
Bluefly Inc. 1 4,682 18,962
Bob Evans Farms Inc. 2,664 86,473
Bombay Co. Inc. (The) 1 1,320 10,745
Borders Group Inc. 1 5,956 130,556
Brinker International
Inc. 1 7,470 247,705
Brown Shoe Co. Inc. 1,592 60,385
Buckle Inc. (The) 1,782 39,471
Burlington Coat Factory
Warehouse Corp. 3,488 73,806
California Pizza
Kitchen Inc. 1 1,419 28,564
CarMax Inc. 1 7,809 241,532
Casey's General Store Inc. 3,044 53,757
Cash America International
Inc. 4,822 102,130
Casual Male Retail
Group Inc. 1 1,163 8,071
Cato Corp. Class A 2,013 41,267
CBRL Group Inc. 3,580 136,971
Charlotte Russe
Holding Inc. 1 2,200 30,492
Charming Shoppes
Inc. 1 6,277 33,896
Chico's FAS Inc. 1 6,539 241,616
Children's Place Retail
Stores Inc. (The) 1 2,165 57,870
Christopher & Banks Corp. 2,952 57,653
CKE Restaurant Inc. 1 1,560 9,968
Claire's Stores Inc. 7,224 136,100
Coach Inc. 1 14,140 533,785
Coldwater Creek Inc. 1 2,418 26,598
Cole National Corp. 1 2,758 55,160
Copart Inc. 1 6,443 106,310
Cost Plus Inc. 1 1,577 64,657
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
CSK Auto Corp. 1 3,468 $ 65,094
Dick's Sporting Goods
Inc. 1 1,072 52,164
Dollar Tree Stores Inc. 1 8,844 265,851
Dress Barn Inc. 1 1,901 28,496
Drugstore.com Inc. 1 7,600 41,876
Duane Reade Inc. 1 2,400 40,608
Electronics Boutique
Holdings Corp. 1 1,945 44,521
Factory 2-U Stores
Inc. 1 1,223 1,677
FAO Inc. 1 9,531 1,191
Finish Line Inc. (The) 1 1,324 39,680
Foot Locker Inc. 10,978 257,434
Fred's Inc. 3,562 110,351
FreeMarkets Inc. 1 3,271 21,883
FTD Inc. Class A 1 828 20,402
Galyan's Trading Co. 1 1,595 19,204
GameStop Corp. 1 2,221 34,226
Genesco Inc. 1 1,634 24,722
Goody's Family Clothing
Inc. 3,491 32,676
Group 1 Automotive
Inc. 1 1,650 59,714
Guitar Center Inc. 1 1,598 52,063
Hancock Fabrics Inc. 954 13,814
Haverty Furniture
Companies Inc. 2,222 44,129
Hibbet Sporting
Goods Inc. 1 701 20,890
Hot Topic Inc. 1 3,256 95,922
IKON Office Solutions Inc. 10,612 125,858
Jewett-Cameron
Trading Co. Ltd. 1 2,100 10,710
Jill (J.) Group Inc.
(The) 1 2,031 25,814
Jo-Ann Stores Inc. 1 2,532 51,653
Joseph A. Bank
Clothiers Inc. 1 291 10,095
Kenneth Cole Productions
Class A 1,672 49,157
Kirkland's Inc. 1 1,666 29,422
Kmart Holding Corp. 1 6,626 158,693
Krispy Kreme
Doughnuts Inc. 1 4,684 171,434
Linens 'n Things Inc. 1 3,274 98,482
Lithia Motors Inc. Class A 1,725 43,487
Lone Star Steakhouse &
Saloon Inc. 2,249 52,132
Longs Drug Stores Corp. 3,204 79,267
MarineMax Inc. 1 1,389 26,988
Men's Wearhouse Inc.
(The) 1 3,167 79,207
Michaels Stores Inc. 5,194 229,575
Mossimo Inc. 1 3,891 16,809
Mothers Work Inc. 1 1,200 29,280
Movie Gallery Inc. 1 2,291 42,796
MSC Industrial Direct Co.
Inc. Class A 2,821 77,578
Neiman-Marcus
Group Inc. Class A 1 3,864 207,381
99 Cents Only Stores 1 5,565 151,535
Nyer Medical Group
Inc. 1 4,528 14,852
O'Charley's Inc. 1 1,817 32,615
1-800 CONTACTS INC. 1 1,004 21,084
1-800-FLOWERS.COM
Inc. 1 1,494 16,524
221
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
O'Reilly Automotive
Inc. 1 4,171 $ 160,000
Outback Steakhouse Inc. 5,816 257,125
Overstock.com Inc. 1 1,541 30,604
Pacific Sunwear of
California Inc. 1 5,424 114,555
Pantry Inc. (The) 1 2,400 54,480
Payless ShoeSource
Inc. 1 4,799 64,307
PC Connection Inc. 1 1,709 14,304
Pep Boys-Manny, Moe &
Jack Inc. 3,898 89,147
PETCO Animal
Supplies Inc. 1 1,144 34,835
PETsMART Inc. 10,829 257,730
Pier 1 Imports Inc. 6,662 145,631
Priceline.com Inc. 1 2,835 50,747
Red Robin Gourmet
Burgers 1 985 29,983
Regis Corp. 3,308 130,732
Restoration Hardware
Inc. 1 629 2,988
Retail Ventures Inc. 1 2,744 13,034
Rite Aid Corp. 1 36,931 223,063
Ross Stores Inc. 11,876 313,883
Ruby Tuesday Inc. 4,729 134,729
Ryan's Family Steak
Houses Inc. 1 5,636 85,329
Saks Inc. 1 10,876 163,575
School Specialty Inc. 1 1,452 49,383
7-Eleven Inc. 1 8,240 132,252
Sharper Image Corp. 1 1,297 42,347
ShopKo Stores Inc. 1 3,700 56,425
Smart & Final Inc. 1 3,830 38,606
Sonic Automotive Inc. 3,298 75,590
Sports Authority Inc.
(The) 1 1,863 71,539
Sports Resorts
International Inc. 1 7,958 41,143
Stage Stores Inc. 1 1,988 55,465
Stamps.com Inc. 1 4,200 26,040
Steak n Shake
Company (The) 1 2,389 42,644
Stein Mart Inc. 1 2,429 20,015
Systemax Inc. 1 2,716 18,089
Talbots Inc. (The) 4,681 144,081
TBC Corp. 1 1,128 29,114
Too Inc. 1 2,905 49,036
Tractor Supply Co. 1 3,000 116,670
Trans World
Entertainment Corp. 1 3,864 27,512
Triarc Companies Inc.
Class B 5,772 62,222
Tuesday Morning
Corp. 1 3,150 95,288
Tweeter Home
Entertainment
Group Inc. 1 2,257 21,329
Ultimate Electronics
Inc. 1 1,010 7,706
United Auto Group Inc. 3,263 102,132
Urban Outfitters Inc. 1 3,706 137,307
West Marine Inc. 1 1,087 30,229
Wet Seal Inc. Class A 1 2,493 24,656
Whitehall Jewellers
Inc. 1 1,739 17,164
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Williams-Sonoma Inc. 1 8,952 $ 311,261
Wilsons The Leather
Experts Inc. 1 1,638 5,717
Zale Corp. 1 2,300 122,360
------------
13,128,498
------------
Semiconductors--2.30%
Aetrium Inc. 1 1,228 3,831
Agere Systems Inc.
Class A 1 58,961 179,831
Agere Systems Inc.
Class B 1 65,300 189,370
Alliance
Semiconductor
Corp. 1 2,230 15,855
AMIS Holdings Inc. 1 1,700 31,076
Amkor Technology
Inc. 1 13,418 244,342
ANADIGICS Inc. 1 1,914 11,407
Atmel Corp. 1 34,267 205,945
August Technology
Corp. 1 1,377 25,543
Axcelis Technologies
Inc. 1 7,025 71,796
AXT Inc. 1 1,892 5,884
Brillian Corp. 1 361 3,050
Brooks Automation
Inc. 1 3,520 85,078
California Micro
Devices Corp. 1 579 5,286
CEVA Inc. 1 597 6,209
ChipPAC Inc. Class A 1 5,939 45,077
Cirrus Logic Inc. 1 5,738 44,010
Cohu Inc. 1,718 32,900
Conexant Systems
Inc. 1 17,835 88,640
Credence Systems
Corp. 1 5,038 66,300
Cree Inc. 1 5,399 95,508
Cypress
Semiconductor
Corp. 1 9,168 195,828
EMCORE Corp. 1 2,438 11,483
Entegris Inc. 1 6,390 82,112
FormFactor Inc. 1 2,300 45,540
GlobespanVirata Inc. 1 8,988 52,849
Integrated Circuit
Systems Inc. 1 5,621 160,142
Integrated Device
Technology Inc. 1 8,022 137,738
Integrated Silicon
Solution Inc. 1 2,354 36,887
International Rectifier
Corp. 1 4,960 245,074
Intersil Corp. Class A 10,620 263,907
IXYS Corp. 1 2,659 24,862
Kopin Corp. 1 4,862 32,624
Lam Research Corp. 1 10,073 325,358
Lattice Semiconductor
Corp. 1 7,193 69,628
LTX Corp. 1 3,969 59,654
MEMC Electronics
Materials Inc. 1 15,827 152,256
Microchip Technology Inc. 15,659 522,384
Monolithic System
Technology Inc. 1 2,503 21,401
Mykrolis Corp. 1 3,562 57,277
NPTest Holding Corp. 1 522 5,763
OmniVision
Technologies Inc. 1 2,354 130,059
222
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
ON Semiconductor
Corp. 1 16,574 $ 106,902
Pericom
Semiconductor
Corp. 1 1,688 17,994
Pixelworks Inc. 1 3,131 34,566
Rambus Inc. 1 7,559 232,061
SigmaTel Inc. 1 1,595 39,365
Silicon Laboratories
Inc. 1 3,887 167,996
Skyworks Solutions
Inc. 1 10,321 89,793
Tessera Technologies
Inc. 1 2,753 51,784
Transmeta Corp. 1 9,451 32,133
TranSwitch Corp. 1 4,966 11,422
Tripath Technology
Inc. 1 8,385 57,857
TriQuint
Semiconductor Inc. 1 9,220 65,185
Varian Semiconductor
Equipment
Associates Inc. 1 2,745 119,929
Veeco Instruments
Inc. 1 2,446 68,977
Virage Logic Corp. 1 1,803 18,337
Vitesse
Semiconductor
Corp. 1 14,904 87,486
White Electronic
Designs Corp. 1 771 6,785
------------
5,298,336
------------
Software--3.37%
Actuate Corp. 1 4,168 12,962
Acxiom Corp. 1 6,071 112,738
Akamai Technologies
Inc. 1 16,129 173,387
Alloy Inc. 1 3,700 19,277
Altiris Inc. 1 1,634 59,608
American
Management
Systems Inc. 1 2,893 43,598
Apropos Technology
Inc. 1 1,800 6,264
Ariba Inc. 1 15,700 47,100
Artemis International
Solutions Corp. 1 1,111 1,811
Ascential Software
Corp. 1 4,445 115,259
At Road Inc. 1 3,740 49,742
Atari Inc. 1 3,744 15,725
AuthentiDate Holding
Corp. 1 1,288 15,327
Avid Technology Inc. 1 2,221 106,608
Avistar
Communications
Corp. 1 1,548 2,353
Axeda Systems Inc. 1 2,600 3,536
BEA Systems Inc. 1 30,414 374,092
Blue Martini Software
Inc. 1 3,271 16,028
Borland Software
Corp. 1 5,632 54,799
Cadence Design
Systems Inc. 1 20,464 367,943
Callidus Software Inc. 1 28 495
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Captaris Inc. 1 2,328 $ 13,083
Centillium
Communications
Inc. 1 2,917 16,423
Certegy Inc. 5,737 188,174
CheckFree Corp. 1 6,120 169,218
ChoicePoint Inc. 1 6,840 260,536
Chordiant Software
Inc. 1 9,297 50,669
CMGI Inc. 1 20,155 35,876
CNET Networks Inc. 1 10,036 68,446
Computer Horizons
Corp. 1 2,694 10,587
Concerto Software
Inc. 1 1,762 21,109
Concord
Communications
Inc. 1 1,254 25,042
Corillian Corp. 1 2,647 16,703
Corio Inc. 1 3,664 10,039
Covad
Communications
Group Inc. 1 25,185 90,666
Critical Path Inc. 1 1,247 1,659
CSG Systems
International Inc. 1 3,595 44,902
DataTRAK
International Inc. 1 5,232 31,654
Datawatch Corp. 1 3,500 19,254
Digi International Inc. 1 3,953 37,949
Digital Impact Inc. 1 3,503 10,089
DigitalThink Inc. 1 2,890 8,121
Docent Inc. 1 866 3,984
DoubleClick Inc. 1 9,615 98,265
DSL.net Inc. 1 3,700 2,220
EarthLink Inc. 1 10,588 105,880
EasyLink Services
Corp. Class A 1 466 694
ebix.com Inc. 1 3,509 43,020
eFunds Corp. 1 4,500 78,075
eGain
Communications
Corp. 1 5,827 11,945
Embarcadero
Technologies Inc. 1 2,505 39,955
eMerge Interactive
Inc. Class A 1 2,362 3,425
EPIQ Systems Inc. 1 708 12,128
ePresence Inc. 1 2,346 8,798
eResearch Technology
Inc. 1 2,742 69,702
eSpeed, Inc. 1 2,355 55,131
F5 Networks Inc. 1 2,400 60,240
FileNET Corp. 1 2,730 73,928
FindWhat.com 1 1,981 37,144
Geoworks Corp. 1 1,820 146
Global Payments Inc. 2,737 128,967
GraphOn Corp. 1 2,600 520
HomeStore Inc. 1 13,907 65,780
HyperFeed
Technologies Inc. 1 3,227 19,814
Identix Inc. 1 4,359 19,398
IMPAC Medical
Systems Inc. 1 590 15,080
Informatica Corp. 1 6,343 65,333
Information Architects
Corp. 1 162 11
InfoSpace Inc. 1 2,469 56,910
223
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------------
InteliData
Technologies Corp. 1 3,100 $ 5,115
Interactive Intelligence
Inc. 1 1,900 9,899
Interland Inc. 1 1,411 9,214
Internet Capital Group
Inc. 1 1,984 684
Internet Pictures Corp. 1 8,448 14,868
Inter-Tel Inc. 2,668 66,647
InterVideo Inc. 1 403 4,735
Island Pacific Inc. 1 3,111 5,724
iVillage Inc. 1 7,014 25,110
JDA Software Group
Inc. 1 2,321 38,320
Jupitermedia Corp. 1 2,900 13,340
Kana Software Inc. 1 1,753 5,908
Keane Inc. 1 4,547 66,568
Knot Inc. (The) 1 3,448 13,792
Liquid Audio Inc. 2,300 667
Loudeye Technologies
Inc. 1 10,080 19,656
Macromedia Inc. 1 4,487 80,048
Magma Design
Automation Inc. 1 2,702 63,065
Manhattan Associates
Inc. 1 2,253 62,273
ManTech International
Corp. Class A 1 1,979 49,376
Manugistics Group
Inc. 1 4,530 28,313
Mediware Information
Systems Inc. 1 1,349 21,530
Micromuse Inc. 1 5,609 38,702
MicroStrategy Inc.
Class A 1 1,009 52,952
MRO Software Inc. 1 794 10,687
Navidec Inc. 1 4,239 4,875
NaviSite Inc. 1 5,582 36,679
NDCHealth Corp. 2,281 58,439
Neoforma Inc. 1 1,525 16,226
Net2Phone Inc. 1 2,300 15,640
Netegrity Inc. 1 2,704 27,878
netGuru Inc. 1 1,600 2,160
NetIQ Corp. 1 4,614 61,136
Network Associates
Inc. 1 12,238 184,060
NexPrise Inc. 1 3,459 4,670
NIC Inc. 1 4,900 39,347
Niku Corp. 1 4,703 39,976
Omnicell Inc. 1 1,567 25,385
Open Solutions Inc. 1 36 633
OpenTV Corp. 1 14,821 49,650
Openwave Systems
Inc. 1 4,648 51,128
Opsware Inc. 1 5,240 38,776
Optika Inc. 1 11,009 50,091
PalmSource Inc. 1 979 21,332
PDF Solutions Inc. 1 1,146 17,075
Pegasystems Inc. 1 4,283 36,919
Per-Se Technologies
Inc. 1 2,658 40,561
Pinnacle Systems Inc. 1 4,356 37,157
Pinnacor Inc. 1 3,770 8,784
Pixar Inc. 1 4,488 310,974
PLATO Learning Inc. 1 3,651 38,518
- --------------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------------
Plumtree Software
Inc. 1 4,929 $ 23,166
Portal Software Inc. 1 2,240 15,075
ProQuest Co. 1 2,665 78,484
Pumatech Inc. 1 3,452 13,739
Quality Systems Inc. 1 284 12,664
RealNetworks Inc. 1 11,688 66,738
Renaissance Learning
Inc. 1 2,612 62,897
Reynolds & Reynolds Co.
(The) Class A 5,367 155,911
Roxio Inc. 1 2,291 10,974
SAFLINK Corp. 1 8,059 21,598
SCO Group Inc. (The) 1 1,995 33,915
SeaChange
International Inc. 1 1,917 29,522
SeeBeyond
Technology Corp. 1 5,000 21,450
SERENA Software Inc. 1 3,232 59,307
SPSS Inc. 1 1,333 23,834
Stellent Inc. 1 2,184 21,491
SupportSoft Inc. 1 2,863 37,648
Sybase Inc. 1 7,108 146,283
SYNNEX Corp. 1 208 2,862
Synplicity Inc. 1 2,100 16,443
Take-Two Interactive
Software Inc. 1 3,165 91,184
TeleCommunication
Systems Inc. 1 2,400 11,856
TIBCO Software Inc. 1 14,131 95,667
Total System Services Inc. 14,983 466,421
TradeStation Group
Inc. 1 3,381 29,956
Trident Microsystems
Inc. 1 5,619 97,883
TriZetto Group Inc.
(The) 1 3,100 19,995
Ulticom Inc. 1 3,166 30,552
VA Software Corp. 1 4,037 15,785
ValueClick Inc. 1 8,117 73,702
Verint Systems Inc. 1 2,025 45,684
Verticalnet Inc. 1 540 637
VIA NET.WORKS Inc. 1 5,295 9,266
Vie Financial Group
Inc. 1 3,000 69
Viewlocity Inc. 1 247 3
Viewpoint Corp. 1 2,281 1,711
Vignette Corp. 1 14,744 33,469
VitalStream Holdings
Inc. 1 2,000 1,320
VitalWorks Inc. 1 3,692 16,319
Vitria Technology Inc. 1 2,300 16,330
webMethods Inc. 1 3,956 36,197
Websense Inc. 1 1,890 55,264
Wind River Systems
Inc. 1 5,501 48,189
Zix Corp. 1 535 4,649
------------
7,786,715
------------
Telecommunication Equipment--0.75%
ADTRAN Inc. 5,942 184,202
Advanced Fibre
Communications
Inc. 1 6,421 129,383
Alliance Fiber Optic
Products Inc. 1 9,635 16,283
AltiGen
Communications
Inc. 1 8,219 28,684
224
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
American Tower Corp.
Class A 1 15,926 $ 172,319
Arris Group Inc. 1 4,674 33,840
Avanex Corp. 1 9,240 46,108
Carrier Access Corp. 1 2,356 29,497
CommScope Inc. 1 4,534 74,040
Copper Mountain
Networks Inc. 1 395 4,254
Corvis Corp. 1 22,585 38,395
CoSine
Communications
Inc. 1 876 6,465
Digital Lightwave Inc. 1 1,877 1,520
8X8 Inc. 1 6,097 27,132
Endwave Corp. 1 1,823 13,490
Glenayre
Technologies Inc. 1 4,286 11,529
Harmonic Inc. 1 4,053 29,384
Harris Corp. 5,379 204,133
I.D. Systems Inc. 1 3,005 21,005
Integrated Telecom
Express Inc. 2 2,206 --
Ixia 1 3,491 40,845
KVH Industries Inc. 1 555 15,246
Loral Space &
Communications
Ltd. 1 5,844 1,841
Network Engines Inc. 1 2,659 11,593
New Focus Inc. 1 4,270 21,435
NMS
Communications
Corp. 1 1,980 12,355
Novatel Wireless Inc. 1 4,517 27,057
NumereX Corp.
Class A 1 3,600 13,680
Oplink
Communications
Inc. 1 10,617 25,375
Optical Cable Corp. 1 481 3,415
P-Com Inc. 1 821 119
Peco II Inc. 1 1,314 1,511
Proxim Corp. Class A 1 4,338 7,244
RF Micro Devices Inc. 1 13,789 138,579
SBA Communications
Corp. 1 2,700 10,206
Sonus Networks Inc. 1 17,226 130,229
Stratex Networks Inc. 1 5,360 22,780
Sycamore Networks
Inc. 1 17,300 90,652
Terayon
Communication
Systems Inc. 1 5,168 23,256
Tollgrade
Communications
Inc. 1 1,202 21,071
Viasat Inc. 1 2,245 42,969
WJ Communications
Inc. 1 1,539 7,878
------------
1,740,999
------------
Telecommunications--3.05%
Acceris
Communications
Inc. 1 142 310
Adaptec Inc. 1 6,355 56,115
Aether Systems Inc. 1 2,500 11,875
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
AirGate PCS Inc. 1 10,081 $ 24,799
Airnet
Communications
Corp. 1 2,639 2,243
Alamosa Holdings Inc. 1 16,317 65,431
Alaska
Communications
Systems Group Inc. 1 5,700 27,018
American Access
Technologies Inc. 1 2,800 3,752
Anaren Inc. 1 1,626 22,959
Anixter International
Inc. 1 3,047 78,856
Applied Digital
Solutions Inc. 1 3,900 1,837
Applied Innovation
Inc. 1 1,000 6,730
Applied Signal Technology
Inc. 2,475 56,950
Aspect
Communications
Corp. 1 3,988 62,851
Audiovox Corp.
Class A 1 2,436 31,278
Avocent Corp. 1 3,631 132,604
Catapult
Communications
Corp. 1 1,500 21,750
C-COR.net Corp. 1 2,770 30,830
Celeritek Inc. 1 1,200 8,904
Cellular Technical
Services Co. Inc. 1 1,000 720
Centennial
Communications
Corp. 1 6,072 31,939
Charter
Communications
Inc. Class A 1 20,150 81,003
Choice One
Communications Inc. 3,557 2,561
Commonwealth
Telephone
Enterprises Inc. 1 1,753 66,176
Comtech
Telecommunications
Corp. 1 1,800 51,966
Cox Communications
Inc. Class A 1 44,880 1,546,116
Crown Castle
International Corp. 1 16,541 182,447
CT Communications Inc. 429 5,792
D&E Communications Inc. 3,424 49,682
deltathree Inc. 1 4,509 13,166
Ditech
Communications
Corp. 1 2,720 51,952
Dobson
Communications
Corp. Class A 1 7,693 50,543
EchoStar
Communications
Corp. 1 18,620 633,080
EMS Technologies
Inc. 1 1,920 39,437
Emulex Corp. 1 6,326 168,778
Finisar Corp. 1 13,711 42,915
General
Communication Inc.
Class A 1 5,033 43,787
GoAmerica Inc. 1 3,846 1,423
225
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Hickory Tech Corp. 1,303 $ 14,919
High Speed Access Corp. 8,400 168
Hungarian Telephone
and Cable Corp. 1 1,424 14,041
IDT Corp. 1 3,957 87,648
Inet Technologies Inc. 1 3,100 37,200
Infonet Services Corp.
Class B 1 19,395 32,972
InterDigital
Communications
Corp. 1 5,606 115,708
InterVoice-Brite Inc. 1 2,790 33,117
Intrado Inc. 1 1,978 43,417
Itron Inc. 1 1,705 31,304
LCC International Inc.
Class A 1 2,000 10,724
Leap Wireless
International Inc. 1 3,255 107
Level 3
Communications
Inc. 1 49,663 283,079
Lightbridge Inc. 1 2,576 23,442
LightPath
Technologies Inc.
Class A 1 3,053 8,518
MarketWatch.com Inc. 1 2,525 21,738
MasTec Inc. 1 3,893 57,655
McLeodUSA Inc.
Class A 1 12,710 18,815
Metro One
Telecommunications
Inc. 1 1,915 4,979
MRV Communications
Inc. 1 9,135 34,348
NETGEAR Inc. 1 2,307 36,889
Newport Corp. 1 2,850 47,111
Nextel Partners Inc.
Class A 1 13,689 184,117
NTL Inc. 1 6,668 465,093
Pac-West Telecomm
Inc. 1 11,125 21,360
PanAmSat Corp. 1 10,691 230,498
Plantronics Inc. 1 3,481 113,655
Powerwave
Technologies Inc. 1 4,128 31,579
Price Communications
Corp. 1 3,564 48,934
Primus
Telecommunications
Group Inc. 1 5,312 54,076
PTEK Holdings Inc. 1 4,348 38,306
RCN Corp. 1 14,612 9,936
Rural Cellular Corp.
Class A 1 2,531 20,121
Savvis
Communications
Corp. 1 6,224 9,305
Sirius Satellite Radio
Inc. 1 70,189 221,797
Somera
Communications
Inc. 1 5,500 8,800
Sorrento Networks
Corp. 1 1,494 4,422
SpectraLink Corp. 2,266 43,439
Standard
Microsystems Corp. 1 1,246 31,524
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Superior Telecom Inc. 1 4,027 $ 40
TALX Corp. 725 16,697
Tekelec 1 4,422 68,762
Time Warner Telecom
Inc. Class A 1 3,857 39,071
Triton PCS Holdings
Inc. Class A 1 3,700 20,646
Tut Systems Inc. 1 2,700 17,334
UbiquiTel Inc. 1 8,157 21,934
United Online Inc. 1 4,515 75,807
United States Cellular
Corp. 1 6,754 239,767
UTStarcom Inc. 1 1,311 48,599
WebEx
Communications
Inc. 1 3,000 60,300
Westell Technologies
Inc. Class A 1 3,642 22,981
Western Wireless
Corp. Class A 1 5,701 104,670
WorldGate
Communications
Inc. 1 2,600 2,808
XETA Technologies
Inc. 1 3,893 23,553
YDI Wireless Inc. 1 4,394 23,947
Zhone Technologies
Inc. 1 4,023 19,874
Zoom Telephonics Inc. 1 4,451 16,424
Z-Tel Technologies
Inc. 1 11,359 22,945
------------
7,051,595
------------
Telephone--0.20%
Cincinnati Bell Inc. 1 16,442 83,032
Covista
Communications
Inc. 1 1,984 5,246
SureWest Communications 368 14,875
TALK America
Holdings Inc. 1 2,796 32,210
Telephone & Data Systems
Inc. 5,036 315,002
------------
450,365
------------
Textiles--0.48%
Angelica Corp. 502 11,044
Columbia Sportswear
Co. 1 3,255 177,398
Culp Inc. 1 1,776 19,358
Dan River Inc. Class A 1 5,319 3,936
G&K Services Inc. Class A 2,016 74,088
Guess ? Inc. 1 3,549 42,836
Hallwood Group Inc. 1 2,000 39,340
Innovo Group Inc. 1 5,126 16,301
Kellwood Co. 2,341 95,981
Mohawk Industries
Inc. 1 5,122 361,306
Polo Ralph Lauren Corp. 3,871 111,485
Quaker Fabric Corp. 5,100 48,450
Sport-Haley Inc. 1 2,085 9,485
Steven Madden Ltd. 1 362 7,385
Tag-It Pacific Inc. 1 2,669 11,984
Tarrant Apparel Group 1 2,213 7,945
Wolverine World Wide Inc. 3,059 62,342
------------
1,100,664
------------
226
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Tobacco--0.06%
Universal Corp. 1,985 $ 87,677
Vector Group Ltd. 3,050 49,776
------------
137,453
------------
Toys/Games/Hobbies--0.18%
Action Performance
Companies Inc. 1,445 28,322
Boyds Collection Ltd.
(The) 1 5,400 22,950
Fotoball USA Inc. 1 2,400 10,320
Jakks Pacific Inc. 1 1,627 21,411
LeapFrog Enterprises
Inc. 1 2,237 59,348
Marvel Enterprises
Inc. 1 5,462 158,999
Media Arts Group Inc. 1 2,281 8,987
Multimedia Games
Inc. 1 1,202 49,402
RC2 Corp. 1 712 14,774
Topps Co. (The) 4,511 46,283
------------
420,796
------------
Transportation--1.18%
Air T Inc. 1 1,726 8,889
Airnet Systems Inc. 1 5,219 19,676
Alexander & Baldwin Inc. 2,740 92,311
Allied Holdings Inc. 1 490 2,337
Arctic Cat Inc. 579 14,301
Arkansas Best Corp. 1,708 53,614
Boyd Brothers
Transportation Inc. 2,733 16,808
CH Robinson Worldwide
Inc. 6,850 259,684
CNF Inc. 4,014 136,075
Dollar Thrifty Automotive
Group Inc. 1 1,965 50,972
EGL Inc. 1 3,571 62,707
Expeditors International
Washington Inc. 8,037 302,673
Florida East Coast
Industries Inc. 3,985 131,904
Forward Air Corp. 1 1,627 44,743
General Maritime
Corp. 1 5,594 98,454
Genesee & Wyoming
Inc. Class A 1 1,097 34,556
GulfMark Offshore
Inc. 1 2,000 28,000
Heartland Express Inc. 4,221 102,106
Hunt (J.B.) Transport
Services Inc. 1 5,813 157,009
Kansas City Southern
Industries Inc. 1 4,358 62,407
Kirby Corp. 1 2,084 72,690
Landstar System Inc. 1 2,256 85,818
Maritrans Inc. 999 16,693
Offshore Logistics Inc. 1 1,568 38,447
Old Dominion Freight
Line Inc. 1 1,586 54,051
OMI Corp. 1 7,649 68,306
Overnite Corp. 1 533 12,126
Overseas Shipholding
Group Inc. 2,524 85,942
P.A.M. Transportation
Services Inc. 1 677 14,440
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Pacer International
Inc. 1 2,595 $ 52,471
Petroleum Helicopters
NV 1 1,441 38,907
Quality Distribution
Inc. 1 187 3,656
RailAmerica Inc. 1 2,082 24,568
SCS Transportation
Inc. 1 724 12,728
SIRVA Inc. 1 1,034 20,204
Swift Transportation
Co. Inc. 1 6,095 128,117
USF Corp. 1,900 64,961
Velocity Express Corp. 1 200 118
Werner Enterprises Inc. 5,429 105,811
Yellow Roadway Corp. 1 3,838 138,820
------------
2,718,100
------------
Trucking & Leasing--0.07%
AMERCO 1 1,611 34,637
GATX Corp. 3,952 110,577
Willis Lease Finance
Corp. 1 2,468 18,140
------------
163,354
------------
Water--0.10%
American States Water Co. 615 15,375
California Water Service
Group 1,930 52,882
Connecticut Water Service
Inc. 1,000 27,650
Philadelphia Suburban
Corp. 5,423 119,848
SJW Corp. 274 24,455
------------
240,210
------------
TOTAL COMMON STOCKS
(Cost: $223,407,962) 226,654,714
------------
- ------------------------------------------------------------------------
PREFERRED STOCKS--0.00%
- ------------------------------------------------------------------------
Media--0.00%
News Corp. Ltd. ADR 1 22
------------
22
------------
TOTAL PREFERRED STOCKS
(Cost: $21) 22
------------
- ------------------------------------------------------------------------
SHORT TERM INVESTMENTS--13.54%
- ------------------------------------------------------------------------
Money Market Funds--8.23%
Barclays Global
Investors Funds
Institutional Money
Market Fund,
Institutional Shares 3 5 15,223,203 15,223,203
Barclays Global
Investors Funds
Prime Money
Market Fund,
Institutional Shares 3 5 3,027,039 3,027,039
BlackRock Temp Cash
Money Market Fund 3 108,535 108,535
227
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------------
Shares or
Security Principal Value
- --------------------------------------------------------------------------
SHORT TERM INVESTMENTS--(Continued)
- --------------------------------------------------------------------------
Short Term
Investment Co.--
Liquid Assets
Money Market
Portfolio 3 654,021 $ 654,021
------------
19,012,798
------------
Floating Rate Notes--2.32%
Beta Finance Inc.
1.11%, 05/20/04 3 4 $137,593 137,585
1.12%, 09/15/04 3 4 275,185 275,166
1.13%, 10/12/04 3 4 137,593 137,582
1.20%, 08/23/04 3 4 137,593 137,668
CC USA Inc.
1.06%, 05/24/04 3 4 275,185 275,175
1.11%, 04/19/04 3 4 121,082 121,080
1.16%, 07/15/04 3 4 137,593 137,619
Dorada Finance Inc.
1.11%, 05/20/04 3 4 275,185 275,170
1.24%, 08/09/04 3 68,796 68,790
Five Finance Inc.
1.13%, 04/15/04 3 4 137,593 137,593
HBOS Treasury Services PLC
1.16%, 01/24/05 3 275,185 275,185
Holmes Financing PLC
1.12%, 04/15/04 3 55,037 55,037
K2 USA LLC
1.10%, 09/27/04 3 4 297,200 297,167
1.12%, 08/16/04 3 4 68,796 68,790
1.13%, 05/17/04 3 137,593 137,590
1.14%, 04/13/04 3 137,593 137,591
Links Finance LLC
1.10%, 06/28/04 3 137,593 137,579
1.10%, 07/20/04 3 110,074 110,062
1.11%, 03/29/04 3 137,593 137,593
1.14%, 05/04/04 3 137,593 137,590
Nationwide Building Society
1.14%, 07/23/04 3 4 206,389 206,389
1.17%, 12/28/04 3 4 275,185 275,185
Permanent Financing PLC
1.13%, 12/10/04 3 137,593 137,593
Sigma Finance Inc.
1.09%, 10/07/04 3 275,185 275,143
1.10%, 07/20/04 3 137,593 137,578
1.13%, 07/01/04 3 137,593 137,576
1.24%, 08/06/04 3 68,796 68,792
Tango Finance Corp.
1.09%, 07/15/04 3 4 82,556 82,541
1.10%, 07/06/04 3 4 82,556 82,551
WhistleJacket Capital LLC
1.12%, 09/15/04 3 4 137,593 137,573
White Pine Finance LLC
1.10%, 08/26/04 3 4 137,593 137,579
1.12%, 04/20/04 3 4 137,593 137,593
1.12%, 11/15/04 3 4 165,111 165,111
1.13%, 07/06/04 3 4 165,111 165,103
------------
5,343,919
------------
- --------------------------------------------------------------------------
Security Principal Value
- --------------------------------------------------------------------------
Time Deposits--0.86%
Abbey National Treasury Services PLC
1.40%, 10/25/04 3 $275,185 $ 275,152
Bank of New York
1.39%, 11/01/04 3 275,185 275,162
Bank of Nova Scotia
1.24%, 10/07/04 3 206,389 206,373
1.42%, 10/29/04 3 206,389 206,402
Canadian Imperial Bank of Commerce
1.24%, 10/07/04 3 206,389 206,365
1.40%, 10/29/04 3 275,185 275,180
SunTrust Bank
0.81%, 01/02/04 3 343,982 343,982
Toronto-Dominion Bank
1.41%, 11/01/04 3 206,389 206,372
------------
1,994,988
------------
Repurchase Agreements--0.84%
Goldman, Sachs & Co.
1.02%, 01/02/04 3 825,556 825,556
Merrill Lynch
0.98%, 01/02/04 3 275,185 275,185
0.98%, 01/02/04 3 275,185 275,185
1.00%, 01/02/04 3 550,371 550,371
------------
1,926,297
------------
Commercial Paper--0.83%
Alpine Securitization Corp.
1.09%, 01/07/04 3 137,593 137,572
1.09%, 01/09/04 3 137,593 137,563
1.10%, 01/20/04 3 137,593 137,517
Amsterdam Funding Corp.
1.09%, 01/07/04 3 137,593 137,572
1.09%, 01/20/04 3 137,593 137,518
Barton Capital Corp.
1.09%, 01/13/04 3 82,556 82,528
Edison Asset Securitization
1.09%, 01/23/04 3 137,593 137,505
Falcon Asset Securitization
1.09%, 01/16/04 3 275,185 275,069
Jupiter Securitization Corp.
1.09%, 01/14/04 3 302,704 302,594
Preferred Receivables Funding Corp.
1.09%, 01/12/04 3 247,667 247,592
Receivables Capital Corp.
1.02%, 01/06/04 3 173,287 173,267
------------
1,906,297
------------
U.S. Government Agency Notes--0.29%
Federal Home Loan Mortgage Corporation
1.15%, 05/12/04 3 206,389 205,525
1.28%, 08/19/04 3 110,074 109,174
Federal National Mortgage Association
1.28%, 08/20/04 3 357,741 354,803
------------
669,502
------------
U.S. Treasury Obligations--0.17%
U.S. Treasury Bill
0.89%, 6 03/25/04 7 400,000 399,178
------------
399,178
------------
TOTAL SHORT TERM INVESTMENTS
(Cost: $31,252,979) 31,252,979
------------
TOTAL INVESTMENTS IN SECURITIES--111.69%
(Cost $254,660,962) 257,907,715
Other Assets, Less Liabilities--(11.69%) (26,990,310)
------------
NET ASSETS--100.00% $230,917,405
============
228
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
Extended Index
Master Portfolio
- --------------------------------------------------------------------------------
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 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.
5 Issuer is an affiliate of the Master Portfolio's investment advisor.
See Note 2.
6 Yield to maturity.
7 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.
229
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
COMMON STOCKS--97.20%
- --------------------------------------------------------------------------
Australia--4.70%
Alumina Ltd. 21,497 $ 106,414
Amcor Ltd. 17,818 110,890
AMP Ltd. 36,771 138,803
Ansell Ltd. 2,140 10,400
Aristocrat Leisure Ltd. 5,470 7,089
Australia and New Zealand
Banking Group Ltd. 35,326 470,578
Australian Gas & Light Co.
Ltd. 9,264 78,385
Australian Stock Exchange
Ltd. 2,081 26,780
BHP Billiton Ltd. 74,495 684,203
BHP Steel 17,402 73,425
Boral Ltd. 13,681 52,364
Brambles Industries Ltd. 19,164 76,239
Centro Properties Group 9,475 28,413
Coca-Cola Amatil Ltd. 10,696 50,207
Cochlear Ltd. 1,112 17,980
Coles Myer Ltd. 20,634 117,533
Commonwealth Bank of
Australia 24,901 552,531
Commonwealth Property
Office Fund 45,611 39,520
Computershare Ltd. 10,951 27,311
CSL Ltd. 3,891 52,330
CSR Ltd. 26,624 37,111
Deutsche Office Trust 15,760 13,062
Foster's Group Ltd. 42,718 144,836
Futuris Corp. Ltd. 11,218 12,594
Gandel Retail Trust 43,170 43,585
General Property Trust 37,162 83,719
Harvey Normand Holdings
Ltd. 11,113 24,952
Iluka Resources Ltd. 3,772 12,874
Insurance Australia Group
Ltd. 31,863 102,030
Investa Property Group 14,178 20,938
James Hardie Industries NV 8,913 46,203
John Fairfax Holdings Ltd. 21,256 56,374
Leighton Holdings Ltd. 2,810 25,004
Lend Lease Corp. Ltd. 7,998 60,562
Macquarie Bank Ltd. 4,023 107,787
Macquarie Goodman
Industrial Trust 25,989 33,093
Macquarie Infrastructure
Group 36,024 92,284
Mayne Group Ltd. 16,256 39,929
Mirvac Group 18,073 58,826
National Australia Bank Ltd. 30,185 681,149
Newcrest Mining Ltd. 6,611 64,505
News Corp. Ltd. 29,184 263,644
OneSteel Ltd. 6,154 9,366
Orica Ltd. 6,261 65,854
Origin Energy Ltd. 15,770 56,439
PaperlinX Ltd. 5,713 21,436
Patrick Corp. Ltd. 4,298 47,377
Publishing & Broadcasting
Ltd. 2,271 21,423
QBE Insurance Group Ltd. 12,926 103,234
Rinker Group Ltd. 18,591 91,748
Rio Tinto Ltd. 6,403 179,465
Santos Ltd. 13,224 68,450
Sonic Healthcare Ltd. 4,437 23,401
Southcorp Ltd. 14,085 28,653
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
Stockland Trust Group 25,632 $ 100,811
Suncorp-Metway Ltd. 10,501 98,029
TAB Ltd. 4,098 14,265
TABCORP Holdings Ltd. 8,923 75,500
Telstra Corp. Ltd. 42,058 152,739
Toll Holdings Ltd. 4,569 28,401
Transurban Group 9,783 32,875
Wesfarmers Ltd. 7,530 150,290
Westfield Holdings Ltd. 8,184 86,142
Westfield Trust 38,070 102,114
Westpac Banking Corp. 35,316 425,475
WMC Resources Ltd. 1 22,095 93,725
Woodside Petroleum Ltd. 9,616 107,229
Woolworths Ltd. 19,791 175,956
------------
7,106,853
------------
Austria--0.21%
Bank Austria
Creditanstalt 1 936 47,815
Boehler-Uddeholm AG 200 13,507
Erste Bank der
Oesterreichischen
Sparkassen AG 546 67,472
Immofinanz Immobillien
Anlagen AG 1 6,234 49,539
Oesterreichische
Elektrizitaetswirtschafts
AG Class A 100 11,680
OMV AG 317 47,214
RHI AG 1 771 14,685
Telekom Austria AG 1 3,536 43,709
Voest-Alpine AG 306 12,467
Wienberger AG 465 12,423
------------
320,511
------------
Belgium--1.02%
AGFA Gevaert NV 2,173 61,945
Barco NV 126 11,046
Bekaert NV 300 19,109
Colruyt NV 499 48,087
Delhaize-Le Lion SA 1,493 76,797
Dexia Group 12,813 220,769
Electrabel SA 636 199,913
Fortis 21,085 423,933
Groupe Bruxelles Lambert
SA 1,316 74,149
Interbrew SA 2,860 76,334
KBC
Bankverzekeringsholding
NV 1,945 90,822
Mobistar SA 1 376 21,105
Omega Pharma SA 394 12,524
SA D'Ieteren NV 52 10,665
Solvay SA 1,243 107,790
UCB SA 1,872 70,578
Umicore Mines SA 302 21,199
------------
1,546,765
------------
Denmark--0.74%
AP Moller - Maersk A/S 22 158,763
Bang & Olufsen A/S Class B 387 16,193
Carlsberg A/S Class B 262 12,072
Coloplast A/S 328 28,060
Danisco A/S 1,312 58,342
Danske Bank A/S 9,762 229,037
DSV, DE Sammenslut Vogn 332 14,679
East Asiatic Co. Ltd. A/S
EAC (The) 306 13,374
GN Store Nord A/S 1 5,225 33,900
230
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Group 4 Falck A/S 1,677 $ 34,374
H. Lundbeck A/S 1,392 23,109
ISS A/S 967 47,669
Kobenhavns Lufthavne A/S 92 10,785
Novo Nordisk A/S Class B 5,152 209,897
Novozymes A/S Class B 1,367 49,904
TDC A/S 2,457 88,655
Topdanmark A/S 1 713 38,167
Vestas Wind Systems A/S 2,219 36,086
William Demant Holding 1 376 12,707
------------
1,115,773
------------
Finland--1.62%
Amer Group Ltd. 245 10,615
Elisa OYJ Class A 1 2,660 35,565
Fortum OYJ 7,132 73,587
KCI Konecranes OYJ 344 11,976
Kesko OYJ Class B 715 12,518
Kone Corp. Class B 799 45,856
Metso Corp. 2,033 24,823
Nokia OYJ 95,652 1,654,120
Nokian Renkaat OYJ 139 10,502
Orion-Yhtyma OYJ Class B 700 15,028
Outokumpu OYJ 2,093 28,433
Rautaruukki OYJ 1 1,370 10,092
Sampo OYJ Class A 6,198 64,106
Stora Enso OYJ Class R 11,985 161,453
TietoEnator OYJ 1,571 43,000
UPM-Kymmene OYJ 10,624 202,617
Uponor OYJ 1,149 36,232
Wartsila OYJ Class B 526 10,085
------------
2,450,608
------------
France--9.52%
Accor SA 3,971 179,817
Air France 1,303 19,969
Alcatel SA 1 24,556 316,242
Alstom 1 8,311 13,104
Alstom Warrants
(Expires 01/09/04) 1 8,311 314
Atos Origin SA 1 578 36,963
Autoroutes du Sud de la
France SA 1,477 49,556
Aventis SA 13,541 894,989
AXA 28,469 609,382
BIC SA 828 38,267
BNP Paribas SA 16,351 1,029,567
Bouygues SA 4,052 141,677
Business Objects SA 1 1,362 47,502
Cap Gemini SA 1 2,257 100,238
Carrefour SA 11,425 627,163
CNP Assurances 602 31,345
Compagnie de Saint-
Gobain SA 6,203 303,655
Compagnie Generale des
Etablissements Michelin
Class B 2,755 126,421
Credit Agricole SA 7,029 167,834
Dassault Systemes SA 1,017 46,386
Essilor International SA 2,063 106,689
Etablissements
Economiques du Casino
Guichard-Perrachon SA 675 65,644
European Aeronautic
Defence and Space Co. 5,651 134,361
France Telecom SA 1 21,746 621,548
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Gecina SA 1 454 $ 66,771
Groupe Danone 2,455 400,702
Groupe Wanadoo SA 1 8,101 66,418
Hermes International 189 36,570
Imerys SA 183 38,525
Klepierre 334 20,096
Lafarge SA 3,337 297,164
Lagardere S.C.A. 2,508 144,792
L'Air Liquide SA 1,960 346,114
L'Oreal SA 6,673 547,104
LVMH Moet Hennessy
Louis Vuitton SA 4,846 352,691
Pernod-Ricard SA 998 110,966
Pinault-Printemps-Redoute
SA 1,306 126,267
PSA Peugeot Citroen 3,527 179,731
Publicis Groupe 2,020 65,482
Renault SA 3,389 233,827
Sagem SA 410 43,879
Sanofi-Synthelabo SA 7,275 547,826
Schneider Electric SA 4,099 268,337
Societe Generale Class A 6,565 579,653
Societe Television
Francaise 1 2,225 77,684
Sodexho Alliance SA 1,766 53,261
STMicroelectronics NV 11,585 314,174
Suez SA 15,932 320,127
Technip-Coflexip SA 424 45,887
Thales/Ex Thomson CSF 1,430 48,069
Thomson SA 5,032 107,076
Total SA 12,895 2,397,477
Union du Credit Bail
Immobilier 851 79,808
Valeo SA 1,496 59,912
Veolia Environment 4,925 132,319
Vinci SA 1,247 103,261
Vivendi Universal SA 1 18,335 445,654
Zodiac SA 804 23,589
------------
14,389,846
------------
Germany--6.75%
Adidas-Salomon AG 936 106,610
Allianz AG 5,735 723,963
Altana AG 1,334 80,178
BASF AG 10,739 603,865
Bayer AG 13,279 388,923
Bayerische Hypo-Und
Vereinsbank AG 1 7,297 168,803
Beiersdorf AG 510 61,884
Celesio AG 673 32,640
Commerzbank AG 9,051 177,526
Continental AG 2,567 97,363
DaimlerChrysler AG--
Registered 17,242 804,683
Deutsche Bank AG 10,427 864,093
Deutsche Boerse AG 2,049 112,038
Deutsche Lufthansa AG 3,854 64,411
Deutsche Post AG 7,417 152,961
Deutsche Telekom AG 1 50,416 922,723
Douglas Holding AG 363 10,091
E.ON AG 12,377 807,751
Epcos AG 1 1,227 27,703
Fresenius Medical Care AG 657 46,739
Heidelberger Zement AG 1 913 38,591
Hypo Real Estate Holding
AG 1 2,341 58,436
Infineon Technologies
AG 1 9,756 135,609
231
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Karstadtquelle AG 954 $ 23,585
Linde AG 1,615 86,983
MAN AG 2,096 63,583
Merck KGaA 1,098 45,745
Metro AG 2,838 125,111
MLP AG 1 1,547 30,245
Muenchener
Rueckversicherungs-
Gesellschaft AG 3,043 368,936
Puma AG 342 60,393
RWE AG 8,427 333,444
SAP AG 4,126 692,957
Schering AG 3,363 170,313
Siemens AG 15,954 1,277,847
Suedzucker AG 876 16,685
ThyssenKrupp AG 6,054 119,659
TUI AG 2,809 58,568
Volkswagen AG 4,417 245,977
------------
10,207,615
------------
Greece--0.44%
Alpha Bank AE 3,400 102,840
Bank of Piraeus 2,249 27,460
Coca-Cola Hellenic Bottling
Co. SA 1,530 31,881
Commercial Bank of Greece 1,200 30,151
EFG Eurobank Ergasias 3,980 77,511
Greek Organization of
Football Prognostics 3,520 50,615
Hellenic Copper &
Aluminum Industry SA 1,920 12,448
Hellenic Duty Free Shops
SA 590 11,580
Hellenic Petroleum SA 1,488 13,063
Hellenic Technodomiki Tev
SA 1,720 10,848
Hellenic
Telecommunications
Organization SA 6,060 80,107
Intracom SA Foreign 1,660 11,307
National Bank of Greece SA 3,961 103,621
Public Power Corp. 2,154 53,252
Technical Olympic SA 1,970 10,585
Titan Cement Company SA 300 12,283
Vodafone Panafon SA 3,510 27,361
------------
666,913
------------
Hong Kong--1.57%
ASM Pacific Technology
Ltd. 3,000 13,138
Bank of East Asia Ltd. 28,600 87,860
BOC Hong Kong Holdings
Ltd. 52,000 97,790
Cathay Pacific Airways Ltd. 24,000 45,597
Cheung Kong (Holdings)
Ltd. 29,000 230,660
Cheung Kong Infrastructure
Holdings Ltd. 6,000 13,447
CLP Holdings Ltd. 35,200 167,757
Esprit Holdings Ltd. 13,500 44,950
Giordano International Ltd. 26,000 12,056
Hang Lung Properties Ltd. 18,000 23,069
Hang Seng Bank Ltd. 15,200 199,701
Henderson Land
Development Co. Ltd. 15,000 66,271
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Hong Kong & China Gas
Co. Ltd. 73,672 $ 112,450
Hong Kong Exchanges &
Clearing Ltd. 22,000 47,748
Hongkong Electric Holdings
Ltd. 27,500 108,745
Hopewell Holdings Ltd. 15,000 23,089
Hutchison Whampoa Ltd. 41,700 307,502
Hysan Development Co.
Ltd. 7,000 10,820
Johnson Electric Holdings
Ltd. 32,500 41,443
Li & Fung Ltd. 34,000 58,246
MTR Corp. Ltd. 37,000 48,850
New World Development
Co. Ltd. 32,000 25,761
PCCW Ltd. 1 61,118 39,756
Shangri-La Asia Ltd. 28,000 26,328
Sino Land Co. Ltd. 20,000 11,399
Sun Hung Kai Properties
Ltd. 26,000 215,171
Swire Pacific Ltd. Class A 19,000 117,227
Techtronic Industries Co.
Ltd. 10,000 27,758
Television Broadcasts Ltd. 7,000 35,344
Texwinca Holdings Ltd. 16,000 11,644
Wharf Holdings Ltd. 26,000 72,003
Yue Yen Industrial
(Holdings) Ltd. 8,500 23,375
------------
2,366,955
------------
Ireland--0.72%
Allied Irish Banks PLC 16,838 270,368
Bank of Ireland 19,597 267,456
CRH PLC 10,136 208,140
DCC PLC 1,821 24,853
Elan Corporation PLC 1 6,862 47,258
Fyffes PLC 6,143 12,785
Grafton Group PLC 1 3,570 24,632
Greencore Group PLC 3,013 13,492
Independent News & Media
PLC 10,132 24,026
Irish Life & Permanent PLC 4,967 80,194
Kerry Group PLC Class A 1 3,293 61,889
Ryanair Holdings PLC 1 6,364 52,899
------------
1,087,992
------------
Italy--3.74%
Alleanza Assicurazioni SpA 9,247 101,241
Arnoldo Mondadori Editore
SpA 3,328 29,846
Assicurazioni Generali SpA 19,093 505,742
Autogrill SpA 1 2,731 39,063
Autostrade SpA 1 4,034 70,778
Banca Fideuram SpA 6,094 36,204
Banca Intesa SpA 71,536 279,719
Banca Monte dei Paschi di
Siena SpA 18,803 59,411
Banca Nazionale del
Lavoro SpA 1 31,990 76,464
Banca Popolare di Milano
SCRL 8,937 58,505
Banca Popolare di Verona e
Novara SCRL 6,976 118,085
Banche Popolari Unite
Scrl 1 6,098 110,453
Benetton Group SpA 1,543 17,730
Bulgari SpA 3,676 34,080
Capitalia SpA 1 22,107 64,692
232
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------
Enel SpA 48,129 $ 327,213
ENI-Ente Nazionale
Idrocarburi SpA 52,143 983,928
Fiat SpA 1 8,616 66,076
FinecoGroup SpA 1 32,974 23,250
Finmeccanica SpA 109,840 86,037
Gruppo Editoriale
L'Espresso SpA 4,207 26,214
Italcementi SpA 774 9,655
Luxottica Group SpA 2,950 50,977
Mediaset SpA 11,730 139,375
Mediobanca SpA 9,689 105,102
Mediolanum SpA 5,041 39,740
Parmalat Finanziaria SpA 8,617 1,196
Pirelli & Co. SpA 39,264 39,967
Riunione Adriatica di
Sicurta SpA 5,483 93,366
Sanpaolo IMI SpA 20,337 265,242
Seat Pagine Gaille SpA 1 64,577 61,498
Snam Rete Gas SpA 16,224 68,760
Snia SpA 5,404 13,428
Telecom Italia Media SpA 1 45,692 22,708
Telecom Italia Mobile SpA 75,916 412,711
Telecom Italia SpA 1 185,646 550,287
Telecom Italia SpA RNC 1 117,052 238,444
Tiscali SpA 1 3,903 27,274
Unicredito Italiano SpA 74,462 401,989
------------
5,656,450
------------
Japan--20.89%
Acom Co. Ltd. 1,400 63,488
Aderans Co. Ltd. 600 9,680
Advantest Corp. 1,200 95,176
AEON Co. Ltd. 4,500 150,742
AEON Credit Service Co.
Ltd. 300 12,793
AIFUL Corp. 850 62,182
Ajinomoto Co. Inc. 11,000 126,556
All Nippon Airways Co.
Ltd. 1 10,000 24,727
Alps Electric Co. Ltd. 3,000 43,893
Amada Co. Ltd. 7,000 36,447
Anritsu Corp. 1 2,000 13,343
Aoyama Trading Co. Ltd. 1,200 23,738
Ariake Japan Co. Ltd. 400 12,727
Asahi Breweries Ltd. 7,500 68,373
Asahi Glass Co. Ltd. 15,000 123,169
Asahi Kasei Corp. 25,000 135,766
Asatsu-DK Inc. 400 10,301
Autobacs Seven Co. Ltd. 600 13,800
Bandai Co. Ltd. 1,300 32,752
Bank of Fukuoka Ltd. 12,000 50,387
Bank of Yokohama Ltd. 20,000 92,936
Bellsystem24 Inc. 50 10,217
Benesse Corp. 1,400 34,161
Bridgestone Corp. 13,000 174,797
Canon Inc. 17,000 791,546
Capcom Co. Ltd. 900 11,085
Casio Computer Co. Ltd. 4,000 42,325
Central Glass Co. Ltd. 4,000 25,231
Central Japan Railway Co. 18 155,529
Chiba Bank Ltd. (The) 14,000 57,348
Chubu Electric Power Co.
Inc. 12,100 252,342
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
Chugai Pharmaceutical Co.
Ltd. 5,500 $ 79,085
Citizen Watch Co. Ltd. 6,000 55,146
Coca Cola West Japan Co.
Ltd. 500 9,798
COMSYS Holdings Corp. 1 3,000 19,203
Credit Saison Co. Ltd. 2,800 63,227
CSK Corp. 1,300 46,944
Dai Nippon Printing Co.
Ltd. 12,000 168,517
Daicel Chemical Industries
Ltd. 3,000 12,373
Daido Life Insurance Co.
Ltd. 24 71,438
Daiichi Pharmaceutical Co.
Ltd. 5,100 91,892
Daikin Industries Ltd. 4,000 92,377
Daimaru Inc. (The) 4,000 22,208
Dainippon Ink & Chemical
Inc. 17,000 32,360
Dainippon Screen
Manufacturing Co. Ltd. 1 2,000 13,679
Daito Trust Construction
Co. Ltd. 1,600 47,476
Daiwa House Industry Co.
Ltd. 9,000 95,736
Daiwa Securities Group Inc. 23,000 156,452
Denki Kagaku Kogyo
Kabushiki Kaisha 9,000 28,973
Denso Corp. 9,400 185,070
DENTSU Inc. 6 30,232
Dowa Mining Co. Ltd. 7,000 37,622
East Japan Railway Co. 67 315,713
Ebara Corporation 7,000 30,438
Eisai Co. Ltd. 4,600 124,046
FamilyMart Co. Ltd. 1,300 29,598
Fanuc Ltd. 2,800 167,733
Fast Retailing Co. Ltd. 1,000 60,745
Fuji Electric Holdings Co.
Ltd. 13,000 28,506
Fuji Photo Film Co. Ltd. 9,000 290,566
Fuji Television Network Inc. 4 21,648
Fujikura Ltd. 6,000 35,383
Fujisawa Pharmaceutical
Co. Ltd. 5,500 117,267
Fujitsu Ltd. 1 32,000 188,710
Furukawa Electric Co. Ltd. 10,000 33,218
Gunma Bank Ltd. 8,000 35,756
Gunze Ltd. 2,000 9,051
Hankyu Department Stores
Inc. 2,000 13,399
Heavy Industries Co. Ltd. 22,000 31,408
Hino Motors Ltd. 5,000 35,644
Hirose Electric Co. Ltd. 600 68,863
Hitachi Cable Ltd. 2,000 7,502
Hitachi Chemical Company
Ltd. 1,700 28,553
Hitachi Ltd. 57,000 343,585
Hitachi Software
Engineering Co. Ltd. 400 10,320
Hokugin Financial Group
Inc. 1 13,000 17,589
Honda Motor Co. Ltd. 15,600 692,880
Hoya Corp. 2,100 192,815
Isetan Co. Ltd. 3,600 39,638
Ishihara Sangyo Kaisha
Ltd. 1 6,000 11,981
Ito En Ltd. 700 30,111
Itochu Corp. 29,000 95,792
233
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------
Itochu Techno-Science
Corp. 700 $ 21,816
Ito-Yokado Co. Ltd. 7,000 220,118
JAFCO Co. Ltd. 500 39,283
Japan Airlines System
Corp. 14,000 36,969
Japan Real Estate
Investment Corp REIT 4 25,306
Japan Tobacco Inc. 13 95,223
JFE Holdings Inc. 9,000 245,638
JGC Corp. 4,000 41,728
Joyo Bank Ltd. 15,000 48,988
JSR Corp. 4,000 89,391
Kajima Corp. 16,000 51,955
Kamigumi Co. Ltd. 4,000 28,292
Kanebo Ltd. 1 11,000 11,085
Kaneka Corp. 6,000 44,789
Kansai Electric Power Co.
Inc. 13,100 229,559
Kao Corp. 11,000 223,757
Katokichi Co. Ltd. 600 9,814
Kawasaki Heavy Industries
Ltd. 30,000 36,951
Kawasaki Kisen Kaisha Ltd. 11,000 54,707
Keihin Electric Express
Railway Co. Ltd. 9,000 52,823
Keio Electric Railway Co.
Ltd. 10,000 51,974
Keyence Corp. 650 137,011
Kikkoman Corp. 2,000 14,220
Kinden Corp. 5,000 23,561
Kinki Nippon Railway Co.
Ltd. 1 25,000 75,114
Kirin Brewery Co. Ltd. 13,000 110,871
Kokuyo Co. Ltd. 900 9,784
Komatsu Ltd. 19,000 120,556
Komori Corp. 1,000 14,808
Konami Company Ltd. 1,600 46,580
Konica Minolta Holdings
Inc. 7,500 100,844
Koyo Seiko Co. Ltd. 1,000 10,273
Kubota Corp. 20,000 82,486
Kuraray Co. Ltd. 7,000 59,046
Kurita Water Industries Ltd. 2,900 34,988
Kyocera Corp. 3,300 219,856
Kyowa Hakko Kogyo Co.
Ltd. 7,000 44,546
Kyushu Electric Power Co.
Inc. 7,900 135,856
Lawson Inc. 1,200 40,982
Mabuchi Motor Co. Ltd. 600 46,188
Makita Corp. 3,000 30,036
Marubeni Corp. 25,000 47,821
Marui Co. Ltd. 6,700 84,399
Matsumotokiyoshi Co. Ltd. 400 8,976
Matsushita Electric
Industrial Co. Ltd. 42,000 580,797
Matsushita Electric Works
Ltd. 7,000 62,900
Meiji Dairies Corp. 6,000 25,753
Meiji Seika Kaisha Ltd. 9,000 36,279
Meitec Corp. 900 34,599
Millea Holdings Inc. 30 391,901
Minebea Co. Ltd. 8,000 40,608
Mitsubishi Chemical Corp. 31,000 80,704
Mitsubishi Corp. 21,000 222,600
- --------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------
Mitsubishi Electric Corp. 35,000 $ 145,330
Mitsubishi Estate Co. Ltd. 20,000 189,605
Mitsubishi Gas Chemical
Co. Inc. 8,000 27,246
Mitsubishi Heavy Industries
Ltd. 59,000 164,057
Mitsubishi Logistics Corp. 2,000 16,628
Mitsubishi Materials
Corp. 1 22,000 33,871
Mitsubishi Rayon Co. 10,000 37,511
Mitsubishi Tokyo Financial
Group Inc. 82 639,657
Mitsui & Co. Ltd. 24,000 193,263
Mitsui Chemicals Inc. 10,000 58,319
Mitsui Engineering &
Shipbuilding Co. Ltd. 16,000 26,425
Mitsui Fudosan Co. Ltd. 14,000 126,453
Mitsui Mining & Smelting
Co. Ltd. 13,000 53,980
Mitsui O.S.K. Lines Ltd. 17,000 82,962
Mitsui Sumitomo Insurance
Co. Ltd. 26,000 213,493
Mitsui Trust Holdings
Inc. 1 11,000 61,482
Mitsukoshi Ltd. 1 7,000 28,478
Mitsumi Electric Co. Ltd. 900 9,909
Mizuho Financial Group
Inc. 1 123 373,006
Murata Manufacturing Co.
Ltd. 4,300 232,313
Namco Ltd. 800 22,170
NEC Corp. 32,000 235,588
Net One Systems Co. Ltd. 4 30,792
NGK Insulators Ltd. 6,000 44,789
NGK Spark Plug Co. Ltd. 4,000 32,434
Nichii Gakkan Co. 350 19,856
Nichirei Corp. 3,000 9,714
Nidec Corp. 700 66,819
Nikko Cordial Corp. 25,000 139,265
Nikon Corp. 1 5,000 75,394
Nintendo Co. Ltd. 2,000 186,619
Nippon Building Fund Inc
REIT 3 19,259
Nippon Express Co. Ltd. 15,000 70,822
Nippon Meat Packers Inc. 4,000 39,115
Nippon Mining Holdings
Inc. 12,000 41,877
Nippon Oil Corp. 26,000 132,462
Nippon Sanso Corp. 3,000 12,681
Nippon Sheet Glass Co.
Ltd. 7,000 20,444
Nippon Shokubai Co Ltd. 3,000 22,758
Nippon Steel Corp. 106,000 227,489
Nippon Telegraph &
Telephone Corp. 105 506,532
Nippon Unipac Holding 17 87,720
Nippon Yusen Kabushiki
Kaisha 19,000 85,985
Nishimatsu Construction
Co. Ltd. 4,000 13,250
Nissan Chemical Industries
Ltd. 4,000 35,644
Nissan Motor Co. Ltd. 49,700 567,629
Nisshin Seifun Group Inc. 4,000 35,607
Nisshinbo Industries Inc. 2,000 11,141
Nissin Food Products Co.
Ltd. 2,200 54,810
Nitto Denko Corp. 3,200 170,197
Nomura Holdings Inc. 35,000 596,016
234
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
Nomura Research Institute
Ltd. 400 $ 39,003
NSK Ltd. 9,000 32,836
NTN Corp. 8,000 38,145
NTT Data Corp. 25 94,476
NTT DoCoMo Inc. 350 793,599
Obayashi Corp. 12,000 53,634
OBIC Co. Ltd. 100 20,118
Oji Paper Co. Ltd. 17,000 109,770
Oki Electric Industry Co.
Ltd. 1 10,000 39,097
Okumura Corp. 2,000 8,510
Olympus Corp. 4,000 86,778
Omron Corp. 4,100 83,209
Onward Kashiyama Co. Ltd. 2,000 24,261
Oracle Corp. Japan 700 36,251
Oriental Land Co. Ltd. 900 55,510
ORIX Corp. 1,700 140,543
Osaka Gas Co. Ltd. 41,000 110,945
Pioneer Corp. 2,900 80,097
Promise Co. Ltd. 1,700 74,079
Q.P. Corp. 2,000 16,609
Resona Holdings Inc. 1 88,000 110,852
Ricoh Corp. Ltd. 13,000 256,555
Rohm Co. Ltd. 2,100 246,114
Sanden Corp. 2,000 12,317
Sankyo Co. Ltd. 7,300 137,254
Sankyo Co. Ltd. 1,000 31,725
Sanyo Electric Co. Ltd. 30,000 156,760
Sapporo Breweries Ltd. 5,000 13,763
Secom Co. Ltd. 4,000 149,296
Sega Corp. 1 2,100 19,987
Seiko Epson Corp. 1,300 60,651
Seino Transportation Co.
Ltd. 2,000 16,534
Sekisui Chemical Co. Ltd. 8,000 40,758
Sekisui House Ltd. 10,000 103,294
Seven-Eleven Japan Co.
Ltd. 9,000 272,931
77 Bank Ltd. (The) 8,000 45,087
Sharp Corp. 19,000 299,795
Shimachu Company Ltd. 1,100 21,811
Shimamura Co. Ltd. 400 27,172
Shimano Inc. 1,800 37,287
Shimizu Corp. 9,000 34,263
Shin-Etsu Chemical Co. Ltd. 7,200 294,261
Shionogi & Co. Ltd. 6,000 111,748
Shiseido Co. Ltd. 7,000 85,108
Shizuoka Bank Ltd. 11,000 81,291
Showa Denko K.K. 19,000 42,727
Showa Shell Sekiyu K.K. 3,700 30,071
Skylark Co. 1,800 29,728
SMC Corp. 1,100 136,923
Softbank Corp. 4,000 122,422
Sompo Japan Insurance
Inc. 14,000 115,088
Sony Corp. 17,400 602,351
Stanley Electric Co. Ltd. 2,800 54,213
Sumitomo Bakelite Co. Ltd. 2,000 13,045
Sumitomo Chemical Co.
Ltd. 24,000 98,983
Sumitomo Corp. 13,000 96,921
Sumitomo Electric
Industries Ltd. 12,000 107,269
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
Sumitomo Heavy
Industries Ltd. 1 7,000 $ 15,872
Sumitomo Metal Industries
Ltd. 59,000 58,356
Sumitomo Metal Mining
Co. Ltd. 10,000 74,181
Sumitomo Mitsui Financial
Group Inc. 76 404,927
Sumitomo Osaka Cement
Co. Ltd. 5,000 9,798
Sumitomo Realty &
Development Co. Ltd. 7,000 61,659
Sumitomo Trust & Banking
Co. Ltd. (The) 20,000 117,570
Suruga Bank Ltd. (The) 4,000 25,716
Suzuken Co. Ltd. 1,000 32,472
Taiheiyo Cement Corp. 14,000 39,582
Taisei Corp. 17,000 62,182
Taisho Pharmaceutical Co.
Ltd. 3,000 53,634
Taiyo Yuden Co. Ltd. 2,000 26,145
Takara Holdings Inc. 4,000 37,473
Takashimaya Co. Ltd. 5,000 35,691
Takeda Chemical Industries
Ltd. 16,800 666,231
Takefuji Corp. 1,450 67,785
TDK Corp. 2,200 158,477
Teijin Ltd. 17,000 49,967
Teikoku Oil Co. Ltd. 2,000 10,059
Terumo Corp. 3,400 64,561
THK Co. Ltd. 2,000 40,683
TIS Inc. 700 23,645
Tobu Railway Co. Ltd. 17,000 60,754
Toda Corp. 4,000 11,309
Toho Co. Ltd. 2,900 36,910
Tohoku Electric Power Co.
Inc. 8,400 139,282
Tokyo Broadcasting System 900 14,335
Tokyo Electric Power Co.
Inc. (The) 22,800 499,953
Tokyo Electron Ltd. 2,900 220,267
Tokyo Gas Co. Ltd. 52,000 185,350
Tokyo Style Co. Ltd. 2,000 21,611
Tokyu Corp. 19,000 97,509
TonenGeneral Sekiyu K.K. 6,000 49,659
Toppan Printing Co. Ltd. 11,000 114,444
Toray Industries Inc. 23,000 96,146
Toshiba Corp. 55,000 208,361
Tosoh Corporation 10,000 33,405
Tostem Inax Holding Corp. 5,000 96,576
Toto Ltd. 7,000 59,308
Toyo Seikan Kaisha Ltd. 3,000 41,933
Toyo Suisan Kaisha Ltd. 2,000 22,226
Toyobo Co. Ltd. 12,000 26,201
Toyoda Gosei Co. Ltd. 900 25,949
Toyota Industries
Corporation 3,400 72,175
Toyota Motor Corp. 54,300 1,834,151
Trend Micro Inc. 1 2,000 53,653
Ube Industries Ltd. 16,000 32,099
UFJ Holdings Inc. 1 71 341,187
Uni-Charm Corp. 800 39,339
Uny Co. Ltd. 3,000 30,792
Ushio Inc. 2,000 33,200
USS Co. Ltd. 380 26,877
Wacoal Corp. 3,000 24,718
West Japan Railway
Company 20 78,567
World Co. Ltd. 700 22,273
235
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
Yakult Honsha Co. Ltd. 2,000 $ 31,259
Yamada Denki Co. Ltd. 1,800 60,465
Yamaha Corp. 2,800 54,997
Yamaha Motor Co. Ltd. 2,000 21,816
Yamanouchi
Pharmaceutical Co. Ltd. 6,300 195,754
Yamato Transport Co. Ltd. 8,000 94,205
Yamazaki Baking Co. Ltd. 2,000 16,590
Yokogawa Electric Corp. 5,000 72,222
------------
31,578,116
------------
Luxembourg--0.08%
Arcelor 6,643 115,800
------------
115,800
------------
Netherlands--5.09%
ABN AMRO Holding NV 30,709 718,530
Aegon NV 26,915 398,225
Akzo Nobel NV 5,362 206,959
ASML Holding NV 1 9,184 182,104
Corio NV 1,503 58,201
DSM NV 1,618 79,655
Euronext NV 2,001 50,656
Hagemeyer NV 3,573 8,067
Heineken NV 3,799 144,667
IHC Caland NV 694 37,641
ING Groep NV 35,160 820,014
Koninklijke Ahold NV 1 21,569 164,325
Koninklijke KPN NV 1 41,583 320,998
Koninklijke Numico NV 1 2,849 78,735
Koninklijke Philips
Electronics NV 26,153 763,674
Koninklijke Vendex KBB NV 2,298 32,029
Oce NV 1,632 25,011
QIAGEN NV 1 2,980 36,573
Reed Elsevier NV 11,762 146,135
Rodamco Europe NV 971 56,548
Royal Dutch Petroleum
Co. 2 41,717 2,199,505
TNT Post Group NV 6,334 148,363
Unilever NV CVA 11,378 744,133
Vedior NV 1,606 25,119
VNU NV 4,534 143,260
Wereldhave NV 347 25,977
Wolters Kluwer NV CVA 5,223 81,692
------------
7,696,796
------------
New Zealand--0.23%
Auckland International
Airport Ltd. 2,293 10,553
Carter Holt Harvey Ltd. 25,468 31,436
Contact Energy Ltd. 12,092 42,712
Fisher & Paykel Healthcare
Corp Ltd. 1,469 12,201
Fletcher Building Ltd. 9,040 25,165
Lion Nathan Ltd. 2,861 13,020
Sky City Entertainment
Group Ltd. 13,358 40,431
Telecom Corp. of New
Zealand Ltd. 42,835 151,022
The Warehouse Group Ltd. 3,763 12,649
Tower Ltd. 1 11,882 9,751
------------
348,940
------------
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
Norway--0.47%
Aker Kvaerner ASA 1 709 $ 12,123
DNB NOR ASA 16,529 110,310
Frontline Ltd. 672 17,424
Norsk Hydro ASA 2,769 170,857
Norske Skogindustrier ASA 2,198 41,959
Orkla ASA 4,209 94,267
Schibsted ASA 636 10,946
Statoil ASA 7,986 89,730
Storebrand ASA
1 3,321 21,615
Tandberg ASA
1 2,895 21,323
Telenor ASA 15,014 98,171
Tomra Systems ASA 3,543 21,356
------------
710,081
------------
Portugal--0.35%
Banco Comercial Portugues
SA Class R 38,678 86,352
Banco Espirito Santo e
Comercial de Lisboa SA 2,379 39,010
BPI-SPGS SA - Registered 11,859 43,678
Brisa-Auto Estradas de
Portugal SA 6,129 40,973
CIMPOR-Cimentos de
Portugal SGPS SA 3,693 19,098
Electricidade de Portugal
SA 34,350 90,554
Portugal Telecom SGPS SA 17,800 179,167
PT Multimedia Servicos
de Telecomunicacoes e
media, SGPS, SA 1 654 12,704
Sonae SGPS SA 1 24,314 20,241
------------
531,777
------------
Singapore--0.79%
Capitaland Ltd. 30,000 27,380
Chartered
Semiconductor
Manufacturing Ltd. 1 17,000 17,317
City Developments Ltd. 7,000 24,937
ComfortDelGro Corp. Ltd. 54,000 25,914
Creative Technology Ltd. 1,050 11,067
Cycle & Carriage Ltd. 2,000 6,830
DBS Group Holdings Ltd. 21,652 187,414
Fraser & Neave Ltd. 5,760 42,735
Haw Par Corp. Ltd. 7,792 20,463
Keppel Corp. Ltd. 12,000 43,102
Neptune Orient Lines
Ltd. 1 18,000 22,893
Oversea-Chinese Banking
Corp. Ltd. (Ordinary) 19,350 137,864
SembCorp Industries Ltd. 13,000 9,645
SembCorp Logistics Ltd. 11,000 12,954
Singapore Airlines Ltd. 11,000 72,543
Singapore Post Ltd. 25,000 10,231
Singapore Press Holdings
Ltd. 8,000 89,030
Singapore Technologies
Engineering Ltd. 34,000 40,841
Singapore
Telecommunications Ltd. 122,000 140,800
ST Assembly Test
Services Ltd. 1 8,000 9,986
United Overseas Bank Ltd. 23,392 181,814
Venture Corp. Ltd. 5,000 58,882
------------
1,194,642
------------
236
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- -------------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------------
Spain--3.58%
Abertis Infraestructuras SA 4,894 $ 74,015
Acciona SA 596 36,273
Acerinox SA 1,215 57,286
Actividades de Construccion
y Servicios SA 1,998 97,548
Altadis SA 5,336 151,438
Amadeus Global Travel
Distribution SA Class A 4,289 27,861
Antena 3 Television SA 1 292 12,869
Banco Bilbao Vizcaya
Argentaria SA 60,406 834,315
Banco Popular Espanol SA 3,086 184,116
Banco Santander Central
Hispano SA 86,736 1,027,308
Corporacion Mapfre SA 1,875 26,559
Endesa SA 17,843 343,221
Fomento de Construcciones
y Contratas SA 1,035 38,173
Gas Natural SDG SA 3,718 86,994
Grupo Ferrovial SA 1,373 48,110
Iberdrola SA 15,053 297,528
Iberia Lineas Aereas de
Espana SA 5,474 15,743
Indra Sistemas SA 2,964 38,022
Industria de Diseno Textil SA 4,470 90,776
NH Hoteles SA 1 1,102 12,663
Promotora de
Informaciones SA 840 12,185
Repsol YPF SA 18,011 351,223
Sacyr Vallehermoso SA 2,484 37,598
Sociedad General de Aguas
de Barcelona SA 1,613 24,069
Telefonica Publicidad e
Informacion SA 2,337 12,823
Telefonica SA 93,893 1,378,548
Union Fenosa SA 3,791 71,201
Zeltia SA Rights 3,295 23,274
------------
5,411,739
------------
Sweden--2.20%
Alfa Laval AB 1,250 19,023
ASSA Abloy AB Class B 6,162 73,222
Atlas Copco AB Class A 2,296 82,168
Atlas Copco AB Class B 1,289 42,009
Axfood AB 450 10,413
Billerud 843 12,712
Castellum AB 463 10,939
Drott AB Class B 1,718 32,592
Electrolux AB Class B 6,070 133,290
Eniro AB 3,587 34,398
Gambro AB Class A 4,151 34,326
Gambro AB Class B 1,536 12,702
Getinge AB 2,368 22,708
Hennes & Mauritz AB
Class B 9,532 226,533
Hoganas AB Class B 497 10,637
Holmen AB Class B 1,155 41,013
Modern Times Group AB
Class B 1 1,188 25,014
Nordea AB 46,586 349,623
OM AB 1,569 19,516
Sandvik AB 4,520 155,791
SAS AB 1 1,212 11,454
Securitas AB Class B 6,001 80,900
Skandia Forsakrings AB 16,147 58,796
- -------------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------------
Skandinaviska Enskilda
Banken AB Class A 9,402 $ 138,509
Skanska AB Class B 7,691 67,875
SKF AB Class A 326 12,641
SKF AB Class B 1,683 65,025
SSAB Svenskt Stal AB
Series A 765 13,662
SSAB Svenskt Stal AB
Series B 742 12,736
Svenska Cellulosa AB
Class B 3,987 162,909
Svenska Handelsbanken AB
Class A 11,208 228,979
Svenska Handelsbanken AB
Class B 646 12,794
Swedish Match AB 7,711 78,768
Tele2 AB Class B 1 2,034 108,551
Telefonaktiebolaget LM
Ericsson Class B 1 295,316 529,453
Telia AB 31,703 165,668
Trelleborg AB Class B 1,837 29,871
Volvo AB Class A 1,745 51,172
Volvo AB Class B 4,388 134,165
WM-Data AB Class B 1 5,244 11,297
------------
3,323,854
------------
Switzerland--7.25%
ABB Ltd. 1 34,891 176,889
Adecco SA 2,575 165,525
Ciba Specialty Chemicals
AG 1 1,339 103,612
Clariant AG (Registered) 1 2,809 41,451
Compagnie Financiere
Richemont AG 10,195 244,828
Credit Suisse Group 23,722 867,937
Geberit AG--Registered 54 26,547
Givaudan SA--Registered 172 89,286
Holcim Ltd. 3,066 142,795
Kudelski SA--Bearer 1 807 26,655
Kuoni Reisen Holding AG 39 13,055
Logitech International
SA--Registered 1 845 36,553
Lonza Group AG-Registered 953 54,787
Nestle SA 8,090 2,021,274
Nobel Biocare Holding AG 405 39,513
Novartis AG 2 47,804 2,170,361
Roche Holding AG--Bearer 621 86,114
Roche Holding AG--
Genusschein 14,014 1,413,581
Schindler Holding AG Certificates
of Participation 1 118 28,814
Serono SA 132 94,137
Societe Generale de
Surveillance Holding SA 88 55,216
Sulzer AG-Registered 52 14,001
Swatch Group (The) AG--
Registered 1,380 32,917
Swatch Group (The) AG
Class B 673 80,809
Swiss Re 6,567 443,375
Swisscom AG 520 171,546
Syngenta AG 2,117 142,588
Synthes-Stratec Inc. 88 87,093
UBS AG--Registered 23,721 1,624,555
Unaxis Holding AG Class R 214 30,324
Valora Holding AG 54 13,448
Zurich Financial Services
AG 1 2,844 409,324
------------
10,948,910
------------
237
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ------------------------------------------------------------------------
United Kingdom--25.24%
Aegis Group PLC 22,231 $ 39,299
Aggreko PLC 4,128 11,417
Alliance Unichem PLC 5,509 51,183
AMEC PLC 6,109 28,434
Amersham PLC 14,233 195,043
AMVESCAP PLC 13,341 96,903
ARM Holdings PLC 1 19,940 45,869
Associated British Ports
Holdings PLC 7,187 57,767
AstraZeneca PLC 34,309 1,646,009
Aviva PLC 45,338 397,896
BAA PLC 22,027 195,679
BAE Systems PLC 61,763 186,026
Balfour Beatty PLC 7,369 28,824
Barclays PLC 3 131,880 1,176,293
Barratt Developments PLC 4,244 41,254
BBA Group PLC 11,132 49,720
Berkeley Group (The) PLC 2,197 34,610
BG Group PLC 69,068 354,544
BHP Billiton PLC 50,192 438,474
BOC Group PLC 9,601 146,693
Boots Group PLC 15,576 192,674
BP PLC 2 442,159 3,585,635
BPB PLC 9,243 57,416
Brambles Industries PLC 14,082 51,300
British Airways PLC 1 11,902 49,537
British American Tobacco
PLC 31,355 432,202
British Land Co. PLC 9,158 95,742
British Sky Broadcasting
Group PLC 1 25,182 316,909
BT Group PLC 174,406 587,741
Bunzl PLC 9,283 70,917
Cable & Wireless PLC 45,955 109,826
Cadbury Schweppes PLC 41,294 303,267
Canary Wharf Finance
PLC 1 9,682 46,407
Capita Group PLC 12,586 54,750
Carlton Communications
PLC 12,549 51,669
Carnival PLC 3,315 133,582
Cattles PLC 7,573 45,314
Celltech Group PLC 1 5,067 34,287
Centrica PLC 84,902 320,693
Close Brothers Group PLC 3,375 44,347
Cobham PLC 2,404 50,222
Compass Group PLC 42,977 292,354
Daily Mail and General
Trust PLC Class A 5,915 69,780
Davis Service Group PLC
(The) 5,325 35,556
De La Rue PLC 3,287 16,314
Diageo PLC 61,792 813,035
Dixons Group PLC 39,858 99,179
Electrocomponents PLC 8,544 49,709
EMAP PLC 4,850 74,407
EMI Group PLC 17,532 49,824
Enterprise Inns PLC 3,420 62,080
Exel PLC 6,080 80,379
FirstGroup PLC 8,948 43,810
FKI PLC 12,468 23,882
Friends Provident PLC 31,272 73,896
George Wimpey PLC 7,376 49,284
GKN PLC 14,434 68,990
- ------------------------------------------------------------------------
Security Shares Value
- ------------------------------------------------------------------------
GlaxoSmithKline PLC 2 119,421 $ 2,736,403
Granada PLC 56,394 123,164
Great Portland Estates PLC 3,319 13,933
GUS PLC 20,540 284,414
Hammerson PLC 5,774 66,928
Hanson PLC 14,651 107,598
Hays PLC 31,589 67,859
HBOS PLC 76,550 991,455
Hilton Group PLC 29,840 120,057
HSBC Holdings PLC 218,203 3,429,609
IMI PLC 6,798 41,041
Imperial Chemical
Industries PLC 25,702 91,561
Imperial Tobacco Group
PLC 14,712 289,704
InterContinental Hotels
Group PLC 14,114 133,658
International Power PLC 1 20,816 46,021
Invensys PLC 1 63,317 20,686
J Sainsbury PLC 29,548 165,430
Johnson Matthey PLC 4,198 73,723
Kelda Group PLC 8,119 68,166
Kesa Electricals PLC 11,152 51,357
Kidde PLC 20,471 39,028
Kingfisher PLC 46,661 232,632
Land Securities Group PLC 8,800 156,273
Legal & General Group PLC 132,492 237,774
Liberty International PLC 4,540 55,469
Lloyds TSB Group PLC 111,755 896,261
LogicaCMG PLC 13,697 62,832
Man Group PLC 5,690 148,817
Marks & Spencer Group
PLC 45,084 233,244
MFI Furniture Group PLC 13,308 35,973
Misys PLC 10,232 38,786
Mitchells & Butlers PLC 10,093 40,653
National Grid Transco PLC 62,009 444,299
Next PLC 5,380 108,156
Novar PLC 12,109 29,914
Pearson PLC 16,494 183,656
Peninsular & Oriental
Steam Navigation Co.
PLC 13,869 57,103
Persimmon PLC 4,943 47,518
Pilkington PLC 18,890 32,379
Provident Financial PLC 5,329 62,056
Prudential Corp. PLC 40,221 340,028
Rank Group PLC 11,561 57,793
Reckitt Benckiser PLC 12,109 273,996
Reed International PLC 26,082 218,162
Rentokil Initial PLC 38,047 129,409
Reuters Group PLC 27,951 117,586
Rexam PLC 10,089 77,255
Rio Tinto PLC 21,228 586,360
RMC Group PLC 5,135 64,117
Rolls-Royce Group PLC 29,637 94,039
Royal & Sun Alliance
Insurance Group PLC 56,157 88,717
Royal Bank of Scotland
Group PLC 56,136 1,654,096
SABMiller PLC 15,267 158,242
Safeway PLC 22,021 111,955
Sage Group PLC 22,563 70,987
Schroders PLC 2,496 28,239
Scottish & Newcastle PLC 16,375 110,879
Scottish & Southern Energy
PLC 17,262 207,968
Scottish Power PLC 36,283 241,784
238
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- --------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------
Securicor PLC 10,428 $ 17,781
Serco Group PLC 8,003 24,642
Severn Trent PLC 7,150 95,869
Shell Transport & Trading
Co. PLC 192,954 1,435,206
Signet Group PLC 32,132 59,247
Slough Estates PLC 7,705 60,586
Smith & Nephew PLC 19,147 160,840
Smiths Group PLC 10,958 129,665
SSL International PLC 4,045 23,896
Stagecoach Group PLC 21,378 30,042
Tate & Lyle PLC 8,253 46,021
Taylor Woodrow PLC 10,711 51,195
Tesco PLC 147,350 679,889
3i Group PLC 12,103 133,789
TI Automotive Ltd. 1 4 7,024 0
Tomkins PLC 16,508 79,051
Unilever PLC 55,696 519,210
United Business Media PLC 6,556 57,508
United Utilities PLC 11,331 100,508
United Utilities PLC Class A 5,549 30,248
Vodafone Group PLC 2 1,364,457 3,382,977
Whitebread PLC 5,666 72,928
William Hill PLC 8,420 64,362
Wolseley PLC 11,217 158,633
WPP Group PLC 23,253 228,321
Yell Group PLC 8,798 48,037
------------
38,146,506
------------
TOTAL COMMON STOCKS
(Cost: $141,162,764) 146,923,442
------------
- --------------------------------------------------------------------
PREFERRED STOCKS--0.53%
- --------------------------------------------------------------------
Australia--0.23%
News Corp. Ltd. (The) 46,605 351,145
------------
351,145
------------
Germany--0.26%
Fresenius Medical Care AG 506 25,498
Henkel KGaA 1,104 86,337
Porsche AG 169 100,300
Prosieben Satellite Media
AG 1,756 29,348
RWE AG 1,049 36,982
Volkswagen AG 2,286 82,899
Wella AG 318 28,178
------------
389,542
------------
Italy--0.04%
Banca Intesa SpA 18,385 52,641
------------
52,641
------------
TOTAL PREFERRED STOCKS
(Cost: $698,573) 793,328
------------
- --------------------------------------------------------------------
EXCHANGE TRADED FUNDS--1.72%
- --------------------------------------------------------------------
iShares MSCI EAFE
Index Fund 5 19,012 2,600,461
------------
TOTAL EXCHANGE TRADED FUNDS
(Cost: $2,275,139) 2,600,461
------------
- --------------------------------------------------------------------
Shares or
Security Principal Value
- --------------------------------------------------------------------
SHORT TERM INVESTMENTS--16.41%
- --------------------------------------------------------------------
Money Market Funds--8.61%
Barclays Global
Investors Funds
Institutional Money
Market Fund,
Institutional Shares 3 6 9,233,214 $ 9,233,214
Barclays Global
Investors Funds
Prime Money
Market Fund,
Institutional Shares 3 6 3,017,005 3,017,005
BlackRock Temp Cash
Money Market Fund 6 108,175 108,175
Short Term
Investment Co.--
Liquid Assets
Money Market
Portfolio 6 651,854 651,854
------------
13,010,248
------------
Floating Rate Notes--3.52%
Beta Finance Inc.
1.11%, 05/20/04 6 7 $ 137,137 137,129
1.12%, 09/15/04 6 7 274,273 274,254
1.13%, 10/12/04 6 7 137,137 137,126
1.20%, 08/23/04 6 7 137,137 137,212
CC USA Inc.
1.06%, 05/24/04 6 7 274,273 274,263
1.11%, 04/19/04 6 7 120,680 120,678
1.16%, 07/15/04 6 7 137,137 137,163
Dorada Finance Inc.
1.11%, 05/20/04 6 7 274,273 274,258
1.24%, 08/09/04 6 68,568 68,563
Five Finance Inc.
1.13%, 04/15/04 6 7 137,137 137,137
HBOS Treasury Services PLC
1.16%, 01/24/05 6 274,273 274,273
Holmes Financing PLC
1.12%, 04/15/04 6 54,855 54,855
K2 USA LLC
1.10%, 09/27/04 6 7 296,215 296,182
1.12%, 08/16/04 6 7 68,568 68,562
1.13%, 05/17/04 6 137,137 137,134
1.14%, 04/13/04 6 137,137 137,135
Links Finance LLC
1.10%, 06/28/04 6 137,137 137,123
1.10%, 07/20/04 6 109,709 109,697
1.11%, 03/29/04 6 137,137 137,137
1.14%, 05/04/04 6 137,137 137,134
Nationwide Building Society
1.14%, 07/23/04 6 7 205,705 205,705
1.17%, 12/28/04 6 7 274,273 274,273
Permanent Financing PLC
1.13%, 12/10/04 6 137,137 137,137
Sigma Finance Inc.
1.09%, 10/07/04 6 274,273 274,231
1.10%, 07/20/04 6 137,137 137,122
1.13%, 07/01/04 6 137,137 137,120
1.24%, 08/06/04 6 68,568 68,564
Tango Finance Corp.
1.09%, 07/15/04 6 7 82,282 82,267
1.10%, 07/06/04 6 7 82,282 82,278
WhistleJacket Capital LLC
1.12%, 09/15/04 6 7 137,137 137,117
239
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
International Index
Master Portfolio
- ---------------------------------------------------------------------------
Security Principal Value
- ---------------------------------------------------------------------------
SHORT TERM INVESTMENTS--(Continued)
- ---------------------------------------------------------------------------
White Pine Finance LLC
1.10%, 08/26/04 6 7 $137,137 $ 137,123
1.12%, 04/20/04 6 7 137,137 137,137
1.12%, 11/15/04 6 7 164,564 164,564
1.13%, 07/06/04 6 7 164,564 164,556
------------
5,326,209
------------
Time Deposits--1.31%
Abbey National Treasury Services PLC
1.40%, 10/25/04 6 274,273 274,238
Bank of New York
1.39%, 11/01/04 6 274,273 274,250
Bank of Nova Scotia
1.24%, 10/07/04 6 205,705 205,689
1.42%, 10/29/04 6 205,705 205,718
Canadian Imperial Bank of Commerce
1.24%, 10/07/04 6 205,705 205,681
1.40%, 10/29/04 6 274,273 274,268
SunTrust Bank
0.81%, 01/02/04 6 342,841 342,841
Toronto-Dominion Bank
1.41%, 11/01/04 6 205,705 205,688
------------
1,988,373
------------
Repurchase Agreements--1.27%
Goldman, Sachs & Co.
1.02%, 01/02/04 6 822,820 822,820
Merrill Lynch
0.98%, 01/02/04 6 274,273 274,273
0.98%, 01/02/04 6 274,273 274,273
1.00%, 01/02/04 6 548,546 548,546
------------
1,919,912
------------
Commercial Paper--1.26%
Alpine Securitization Corp.
1.09%, 01/07/04 6 137,137 137,116
1.09%, 01/09/04 6 137,137 137,108
1.10%, 01/20/04 6 137,137 137,061
Amsterdam Funding Corp.
1.09%, 01/07/04 6 137,137 137,116
1.09%, 01/20/04 6 137,137 137,062
Barton Capital Corp.
1.09%, 01/13/04 6 82,282 82,255
Edison Asset Securitization
1.09%, 01/23/04 6 137,137 137,049
Falcon Asset Securitization
1.09%, 01/16/04 6 274,273 274,157
Jupiter Securitization Corp.
1.09%, 01/14/04 6 301,701 301,591
Preferred Receivables Funding Corp.
1.09%, 01/12/04 6 246,846 246,771
Receivables Capital Corp.
1.02%, 01/06/04 6 172,713 172,693
------------
1,899,979
------------
- ---------------------------------------------------------------------------
Security Principal Value
- ---------------------------------------------------------------------------
U.S. Government Agency Notes--0.44%
Federal Home Loan Mortgage Corporation
1.15%, 05/12/04 6 $205,705 $ 204,844
1.28%, 08/19/04 6 109,709 108,812
Federal National Mortgage Association
1.28%, 08/20/04 6 356,555 353,626
------------
667,282
------------
TOTAL SHORT TERM INVESTMENTS
(Cost: $24,812,003) 24,812,003
------------
TOTAL INVESTMENTS IN SECURITIES--115.86%
(Cost $168,948,479) 175,129,234
Other Assets, Less Liabilities--(15.86%) (23,969,853)
------------
NET ASSETS--100.00% $151,159,381
============
Notes to the Schedule of Investments:
1 Non-income earning securities.
2 All or a portion of this security is segregated in connection with the Master
Portfolio's holdings of index futures contracts. See Note 1.
3 Issuer is an affiliate of the Master Portfolio's investment advisor.
See Note 2.
4 Security valued at fair value in accordance with procedures approved by the
Board of Trustees. See Note 1.
5 Non-controlled affiliated issuer. See Note 2.
6 All or a portion of this security represents investments of securities
lending collateral.
7 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.
240 The accompanying notes are an integral part of these financial statements.
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--98.63%
- -------------------------------------------------------------------------
Advertising--0.22%
Interpublic Group of
Companies Inc. 1 144,347 $ 2,251,813
Omnicom Group Inc. 66,159 5,777,665
------------
8,029,478
------------
Aerospace/Defense--1.53%
Boeing Co. (The) 292,914 12,343,396
General Dynamics Corp. 68,846 6,222,990
Goodrich (B.F.) Co. 40,960 1,216,102
Lockheed Martin Corp. 156,994 8,069,492
Northrop Grumman Corp. 63,766 6,096,030
Raytheon Co. 144,913 4,353,187
Rockwell Collins Inc. 61,645 1,851,199
United Technologies Corp. 163,839 15,527,022
------------
55,679,418
------------
Airlines--0.14%
Delta Air Lines Inc. 43,017 508,031
Southwest Airlines Co. 274,067 4,423,441
------------
4,931,472
------------
Apparel--0.32%
Jones Apparel Group Inc. 43,978 1,549,345
Liz Claiborne Inc. 38,006 1,347,693
Nike Inc. Class B 91,375 6,255,532
Reebok International Ltd. 20,496 805,903
VF Corp. 37,633 1,627,251
------------
11,585,724
------------
Auto Manufacturers--0.69%
Ford Motor Company 637,519 10,200,304
General Motors Corp. 195,252 10,426,457
Navistar International
Corp. 1 23,926 1,145,816
PACCAR Inc. 40,623 3,457,830
------------
25,230,407
------------
Auto Parts & Equipment--0.12%
Cooper Tire & Rubber Co. 25,727 550,043
Dana Corp. 51,766 949,906
Delphi Corp. 195,123 1,992,206
Goodyear Tire &
Rubber Co. (The) 1 61,096 480,215
Visteon Corp. 45,557 474,248
------------
4,446,618
------------
Banks--7.36%
AmSouth Bancorp 122,251 2,995,149
Bank of America Corp. 517,339 41,609,576
Bank of New York Co. Inc.
(The) 269,339 8,920,508
Bank One Corp. 389,252 17,745,999
BB&T Corp. 190,312 7,353,656
Charter One Financial Inc. 77,526 2,678,523
Comerica Inc. 61,063 3,423,192
Fifth Third Bancorp 198,129 11,709,424
First Tennessee National
Corp. 43,692 1,926,817
FleetBoston Financial
Corp. 367,175 16,027,189
Golden West Financial
Corp. 52,902 5,458,957
Huntington Bancshares
Inc. 79,691 1,793,048
KeyCorp 145,951 4,279,283
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
Marshall & Ilsley Corp. 78,834 $ 3,015,400
Mellon Financial Corp. 149,790 4,809,757
National City Corp. 211,676 7,184,283
North Fork Bancorp Inc. 52,802 2,136,897
Northern Trust Corp. 76,717 3,561,203
PNC Financial Services
Group
96,545 5,283,908
Regions Financial Corp. 77,346 2,877,271
SouthTrust Corp. 115,543 3,781,722
State Street Corp. 116,362 6,060,133
SunTrust Banks Inc. 98,024 7,008,716
Synovus Financial Corp. 105,056 3,038,220
U.S. Bancorp 671,549 19,998,729
Union Planters Corp. 65,665 2,067,791
Wachovia Corp. 460,920 21,474,263
Washington Mutual Inc. 313,144 12,563,337
Wells Fargo & Company 589,134 34,694,101
Zions Bancorporation 31,293 1,919,200
------------
267,396,252
------------
Beverages--2.60%
Anheuser-Busch
Companies Inc. 283,694 14,945,000
Brown-Forman Corp.
Class B 21,130 1,974,598
Coca-Cola Co. (The) 853,587 43,319,540
Coca-Cola Enterprises Inc. 158,375 3,463,661
Coors (Adolf) Company
Class B 12,680 711,348
Pepsi Bottling Group Inc. 91,509 2,212,688
PepsiCo Inc. 597,753 27,867,245
------------
94,494,080
------------
Biotechnology--1.09%
Amgen Inc. 1 449,136 27,756,605
Biogen Idec Inc. 1 114,072 4,195,568
Chiron Corp. 1 65,354 3,724,524
Genzyme Corp.--
General Division
1 78,036 3,850,296
------------
39,526,993
------------
Building Materials--0.24%
American Standard
Companies Inc. 1 25,347 2,552,443
Masco Corp. 161,275 4,420,548
Vulcan Materials Co. 35,417 1,684,787
------------
8,657,778
------------
Chemicals--1.51%
Air Products & Chemicals
Inc. 79,124 4,180,121
Ashland Inc. 23,894 1,052,770
Dow Chemical Co. (The) 320,509 13,323,559
Du Pont (E.I.) de Nemours
and Co. 347,056 15,926,400
Eastman Chemical Co. 26,947 1,065,215
Engelhard Corp. 43,671 1,307,946
Great Lakes Chemical
Corp. 17,630 479,360
Hercules Inc. 1 38,647 471,493
Monsanto Co. 91,236 2,625,772
PPG Industries Inc. 59,171 3,788,127
Praxair Inc. 113,213 4,324,737
Rohm & Haas Co. 77,536 3,311,563
Sherwin-Williams Co.
(The) 50,748 1,762,986
Sigma-Aldrich Corp. 24,148 1,380,783
------------
55,000,832
------------
241
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
Commercial Services--1.04%
Apollo Group Inc.
Class A 1 61,402 $ 4,175,336
Block (H & R) Inc. 62,080 3,437,370
Cendant Corp. 1 352,769 7,856,166
Concord EFS Inc. 1 161,974 2,403,694
Convergys Corp. 1 49,786 869,264
Deluxe Corp. 17,607 727,697
Donnelley (R.R.) & Sons
Co. 39,573 1,193,126
Ecolab Inc. 89,723 2,455,719
Equifax Inc. 48,438 1,186,731
McKesson Corp. 101,456 3,262,825
Monster Worldwide
Inc. 1 39,279 862,567
Moody's Corp. 51,804 3,136,732
Paychex Inc. 131,271 4,883,281
Robert Half
International Inc. 1 59,632 1,391,811
------------
37,842,319
------------
Computers--5.84%
Apple Computer Inc. 1 126,201 2,696,915
Cisco Systems Inc. 1 2,403,655 58,384,780
Computer Sciences
Corp. 1 65,229 2,885,079
Dell Inc. 1 891,513 30,275,781
Electronic Data Systems
Corp. 167,269 4,104,781
EMC Corp. 1 836,730 10,810,552
Gateway Inc. 1 113,029 519,933
Hewlett-Packard Co. 1,061,681 24,386,813
International Business
Machines Corp. 599,029 55,518,008
Lexmark International
Inc. 1 44,730 3,517,567
NCR Corp. 1 32,929 1,277,645
Network Appliance
Inc. 1 120,118 2,466,023
Sun Microsystems Inc. 1 1,137,356 5,106,728
SunGard Data
Systems Inc. 1 100,018 2,771,499
Unisys Corp. 1 115,070 1,708,789
Veritas Software Corp. 1 148,867 5,531,898
------------
211,962,791
------------
Cosmetics/Personal Care--2.36%
Alberto-Culver Co. Class B 20,469 1,291,185
Avon Products Inc. 82,344 5,557,397
Colgate-Palmolive Co. 187,065 9,362,603
Gillette Co. (The) 352,275 12,939,061
International Flavors &
Fragrances Inc. 32,601 1,138,427
Kimberly-Clark Corp. 175,651 10,379,218
Procter & Gamble Co. 451,498 45,095,620
------------
85,763,511
------------
Distribution/Wholesale--0.26%
Costco Wholesale
Corp. 1 159,374 5,925,525
Genuine Parts Co. 60,583 2,011,356
Grainger (W.W.) Inc. 31,766 1,505,391
------------
9,442,272
------------
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
Diversified Financial Services--9.49%
American Express Co. 447,858 $ 21,600,191
American International
Group Inc. 908,053 60,185,753
Bear Stearns Companies
Inc. (The) 34,133 2,728,933
Capital One Financial
Corp. 80,398 4,927,593
Citigroup Inc. 1,796,169 87,186,043
Countrywide Financial
Corp. 64,104 4,862,313
Fannie Mae 338,325 25,394,674
Federated Investors Inc.
Class B 37,823 1,110,483
Franklin Resources Inc. 87,383 4,549,159
Freddie Mac 242,240 14,127,437
Goldman Sachs Group
Inc. (The) 164,857 16,276,332
Janus Capital Group Inc. 83,822 1,375,519
JP Morgan Chase & Co. 710,383 26,092,368
Lehman Brothers Holdings
Inc. 94,546 7,300,842
MBNA Corp. 444,881 11,055,293
Merrill Lynch & Co. Inc. 329,134 19,303,709
Morgan Stanley 377,105 21,823,066
Providian Financial
Corp. 1 101,084 1,176,618
Schwab (Charles) Corp.
(The) 472,315 5,592,210
SLM Corp. 156,980 5,915,006
T. Rowe Price Group Inc. 43,349 2,055,176
------------
344,638,718
------------
Electric--2.47%
AES Corp. (The) 1 216,771 2,046,318
Allegheny Energy Inc. 1 44,243 564,541
Ameren Corp. 56,538 2,600,748
American Electric Power
Co. Inc. 137,547 4,196,559
Calpine Corp. 1 143,767 691,519
CenterPoint Energy Inc. 106,608 1,033,032
Cinergy Corp. 61,992 2,405,910
CMS Energy Corp. 1 56,061 477,640
Consolidated Edison Inc. 78,493 3,375,984
Constellation Energy
Group Inc. 58,250 2,281,070
Dominion Resources Inc. 112,951 7,209,662
DTE Energy Co. 58,608 2,309,155
Duke Energy Corp. 315,972 6,461,627
Edison International 1 113,458 2,488,134
Entergy Corp. 79,661 4,551,033
Exelon Corp. 113,859 7,555,683
FirstEnergy Corp. 114,835 4,042,192
FPL Group Inc. 64,043 4,189,693
NiSource Inc. 91,403 2,005,382
PG&E Corp. 1 144,400 4,009,988
Pinnacle West Capital
Corp. 31,789 1,272,196
PPL Corp. 61,735 2,700,906
Progress Energy Inc. 85,321 3,861,628
Public Service Enterprise
Group Inc. 81,872 3,585,994
Southern Company 254,930 7,711,632
TECO Energy Inc. 65,421 942,717
TXU Corp. 112,759 2,674,643
Xcel Energy Inc. 138,885 2,358,267
------------
89,603,853
------------
242
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------
Electrical Components & Equipment--0.12%
American Power
Conversion Corp. 69,118 $ 1,689,935
Molex Inc. 66,279 2,312,474
Power-One Inc. 1 29,028 314,373
------------
4,316,782
------------
Electronics--0.70%
Agilent Technologies
Inc. 1 165,553 4,840,770
Applera Corp.--Applied
Biosystems Group 72,416 1,499,735
Jabil Circuit Inc. 1 69,535 1,967,840
Johnson Controls Inc. 31,444 3,651,277
Millipore Corp. 1 17,001 731,893
Parker Hannifin Corp. 41,291 2,456,814
PerkinElmer Inc. 44,189 754,306
Sanmina-SCI Corp. 1 180,096 2,271,011
Solectron Corp. 1 291,026 1,719,964
Symbol Technologies Inc. 80,300 1,356,267
Tektronix Inc. 29,426 929,862
Thermo Electron Corp. 1 56,706 1,428,991
Thomas & Betts Corp. 20,372 466,315
Waters Corp. 1 42,288 1,402,270
------------
25,477,315
------------
Engineering & Construction--0.03%
Fluor Corp. 28,575 1,132,713
------------
1,132,713
------------
Entertainment--0.12%
International Game
Technology Inc. 120,538 4,303,207
------------
4,303,207
------------
Environmental Control--0.21%
Allied Waste Industries
Inc. 1 111,468 1,547,176
Waste Management Inc. 202,816 6,003,354
------------
7,550,530
------------
Food--1.78%
Albertson's Inc. 127,740 2,893,311
Archer-Daniels-Midland
Co. 225,181 3,427,255
Campbell Soup Co. 142,864 3,828,755
ConAgra Foods Inc. 186,937 4,933,267
General Mills Inc. 129,994 5,888,728
Heinz (H.J.) Co. 122,524 4,463,549
Hershey Foods Corp. 45,309 3,488,340
Kellogg Co. 142,117 5,411,815
Kroger Co. 1 259,451 4,802,438
McCormick & Co. Inc. 48,325 1,454,582
Safeway Inc. 1 154,019 3,374,556
Sara Lee Corp. 275,157 5,973,658
SUPERVALU Inc. 46,701 1,335,182
Sysco Corp. 225,338 8,389,334
Winn-Dixie Stores Inc. 49,350 491,032
Wrigley (William Jr.) Co. 78,251 4,398,489
------------
64,554,291
------------
Forest Products & Paper--0.60%
Boise Cascade Corp. 30,097 988,987
Georgia-Pacific Corp. 88,496 2,714,172
International Paper Co. 167,284 7,211,613
Louisiana-Pacific Corp. 1 36,888 659,557
- -------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------
MeadWestvaco Corp. 69,846 $ 2,077,919
Plum Creek Timber Co.
Inc. 63,705 1,939,817
Temple-Inland Inc. 18,901 1,184,526
Weyerhaeuser Co. 76,531 4,897,984
------------
21,674,575
------------
Gas--0.15%
KeySpan Corp. 55,374 2,037,763
Nicor Inc. 15,342 522,242
Peoples Energy Corp. 12,821 538,995
Sempra Energy 78,760 2,367,526
------------
5,466,526
------------
Hand/Machine Tools--0.35%
Black & Decker Corp. 27,061 1,334,649
Emerson Electric Co. 146,521 9,487,235
Snap-On Inc. 20,298 654,408
Stanley Works (The) 28,231 1,069,108
------------
12,545,400
------------
Health Care--4.64%
Aetna Inc. 53,127 3,590,323
Anthem Inc. 1 48,143 3,610,725
Bard (C.R.) Inc. 18,060 1,467,375
Bausch & Lomb Inc. 18,262 947,798
Baxter International Inc. 212,487 6,485,103
Becton, Dickinson & Co. 88,410 3,637,187
Biomet Inc. 89,011 3,240,891
Boston Scientific Corp. 1 285,227 10,484,945
Express Scripts Inc. 1 27,342 1,816,329
Guidant Corp. 108,280 6,518,456
HCA Inc. 172,535 7,412,104
Health Management
Associates Inc. Class A 83,515 2,004,360
Humana Inc. 1 56,076 1,281,337
Johnson & Johnson 1,033,457 53,388,389
Manor Care Inc. 31,027 1,072,603
Medco Health
Solutions Inc. 1 94,107 3,198,697
Medtronic Inc. 422,030 20,514,878
Quest Diagnostics Inc. 1 36,199 2,646,509
St. Jude Medical Inc. 1 60,067 3,685,110
Stryker Corp. 69,454 5,904,285
Tenet Healthcare Corp. 1 161,853 2,597,741
UnitedHealth Group Inc. 204,266 11,884,196
WellPoint Health
Networks Inc. 1 52,900 5,130,771
Zimmer Holdings Inc. 1 84,195 5,927,328
------------
168,447,440
------------
Home Builders--0.15%
Centex Corp. 21,645 2,330,084
KB Home 16,144 1,170,763
Pulte Homes Inc. 21,602 2,022,379
------------
5,523,226
------------
Home Furnishings--0.11%
Leggett & Platt Inc. 66,814 1,445,187
Maytag Corp. 27,362 762,032
Whirlpool Corp. 24,249 1,761,690
------------
3,968,909
------------
243
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- ----------------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- ----------------------------------------------------------------------------
Household Products/Wares--0.34%
American Greetings
Corp. Class A 1 23,157 $ 506,444
Avery Dennison Corp. 38,470 2,155,089
Clorox Co. 73,484 3,568,383
Fortune Brands Inc. 50,785 3,630,620
Newell Rubbermaid Inc. 95,557 2,175,833
Tupperware Corp. 20,369 353,198
------------
12,389,567
------------
Insurance--3.09%
ACE Ltd. 97,162 4,024,450
AFLAC Inc. 178,569 6,460,626
Allstate Corp. (The) 244,965 10,538,394
Ambac Financial Group Inc. 37,210 2,582,002
AON Corp. 109,183 2,613,841
Chubb Corp. 65,386 4,452,787
CIGNA Corp. 48,922 2,813,015
Cincinnati Financial Corp. 55,868 2,339,752
Hancock (John) Financial
Services Inc. 100,743 3,777,862
Hartford Financial Services
Group Inc. 98,497 5,814,278
Jefferson-Pilot Corp. 49,120 2,487,928
Lincoln National Corp. 61,980 2,502,133
Loews Corp. 64,577 3,193,333
Marsh & McLennan
Companies Inc. 184,629 8,841,883
MBIA Inc. 50,189 2,972,694
MetLife Inc. 264,688 8,912,045
MGIC Investment Corp. 34,272 1,951,448
Principal Financial Group
Inc. 112,443 3,718,490
Progressive Corp. (The) 75,211 6,286,887
Prudential Financial Inc. 188,202 7,861,198
SAFECO Corp. 48,254 1,878,528
St. Paul Companies Inc. 79,449 3,150,153
Torchmark Corp. 39,413 1,794,868
Travelers Property
Casualty Corp. Class B 349,845 5,936,870
UNUMProvident Corp. 103,107 1,625,997
XL Capital Ltd. Class A 47,791 3,706,192
------------
112,237,654
------------
Iron/Steel--0.09%
Allegheny Technologies Inc. 28,110 371,614
Nucor Corp. 27,266 1,526,896
United States Steel Corp. 35,970 1,259,669
------------
3,158,179
------------
Leisure Time--0.44%
Brunswick Corp. 31,856 1,013,976
Carnival Corp. 219,318 8,713,504
Harley-Davidson Inc. 105,497 5,014,272
Sabre Holdings Corp. 49,969 1,078,831
------------
15,820,583
------------
Lodging--0.29%
Harrah's Entertainment Inc. 38,456 1,913,955
Hilton Hotels Corp. 132,077 2,262,479
Marriott International Inc.
Class A 80,520 3,720,024
Starwood Hotels &
Resorts Worldwide Inc. 70,409 2,532,612
------------
10,429,070
------------
- ----------------------------------------------------------------------------
Security Shares Value
- ----------------------------------------------------------------------------
Machinery--0.70%
Caterpillar Inc. 120,900 $ 10,037,118
Cummins Inc. 14,722 720,495
Deere & Co. 83,560 5,435,578
Dover Corp. 70,522 2,803,249
Ingersoll-Rand Co. Class A 60,398 4,099,816
Rockwell Automation Inc. 64,903 2,310,547
------------
25,406,803
------------
Manufacturers--5.18%
Cooper Industries Ltd. 32,498 1,882,609
Crane Co. 20,701 636,349
Danaher Corp. 53,463 4,905,230
Eastman Kodak Co. 99,793 2,561,686
Eaton Corp. 26,459 2,857,043
General Electric Co. 3,496,069 108,308,218
Honeywell International
Inc. 300,143 10,033,781
Illinois Tool Works Inc. 107,280 9,001,865
ITT Industries Inc. 32,123 2,383,848
Pall Corp. 43,516 1,167,534
Textron Inc. 47,353 2,701,962
3M Co. 273,281 23,237,083
Tyco International Ltd. 696,041 18,445,087
------------
188,122,295
------------
Media--3.79%
Clear Channel
Communications Inc. 214,329 10,037,027
Comcast Corp. Class A 1 783,731 25,761,238
Dow Jones & Co. Inc. 28,394 1,415,441
Gannett Co. Inc. 94,376 8,414,564
Knight Ridder Inc. 27,823 2,152,666
McGraw-Hill Companies
Inc. (The) 66,708 4,664,223
Meredith Corp. 17,474 852,906
New York Times Co.
Class A 51,870 2,478,867
Time Warner Inc. 1 1,574,386 28,323,204
Tribune Co. 108,727 5,610,313
Univision
Communications Inc.
Class A 1 112,282 4,456,473
Viacom Inc. Class B 609,068 27,030,438
Walt Disney Co. (The) 712,151 16,614,483
------------
137,811,843
------------
Metal Fabricate/Hardware--0.01%
Worthington Industries
Inc. 29,999 540,882
------------
540,882
------------
Mining--0.66%
Alcoa Inc. 301,295 11,449,210
Freeport-McMoRan
Copper & Gold Inc. 63,544 2,677,109
Newmont Mining Corp. 150,446 7,313,180
Phelps Dodge Corp. 1 31,113 2,367,388
------------
23,806,887
------------
Office/Business Equipment--0.20%
Pitney Bowes Inc. 81,326 3,303,462
Xerox Corp. 1 275,740 3,805,212
------------
7,108,674
------------
Oil & Gas Producers--5.19%
Amerada Hess Corp. 31,300 1,664,221
Anadarko Petroleum Corp. 87,352 4,455,826
Apache Corp.
56,423 4,575,905
244
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- --------------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- --------------------------------------------------------------------------------
Burlington Resources Inc. 69,169 $ 3,830,579
ChevronTexaco Corp. 372,192 32,153,667
ConocoPhillips 237,031 15,542,123
Devon Energy Corp. 80,967 4,636,170
EOG Resources Inc. 40,078 1,850,401
Exxon Mobil Corp. 2,301,444 94,359,204
Kerr-McGee Corp. 35,121 1,632,775
Kinder Morgan Inc. 42,913 2,536,158
Marathon Oil Corp. 108,019 3,574,349
Nabors Industries Ltd. 1 51,048 2,118,492
Noble Corp. 1 46,587 1,666,883
Occidental Petroleum
Corp. 134,087 5,663,835
Rowan Companies Inc. 1 32,766 759,188
Sunoco Inc. 26,902 1,376,037
Transocean Inc. 1 111,396 2,674,618
Unocal Corp. 90,154 3,320,372
------------
188,390,803
------------
Oil & Gas Services--0.57%
Baker Hughes Inc. 116,586 3,749,406
BJ Services Co. 1 55,122 1,978,880
Halliburton Co. 152,540 3,966,040
Schlumberger Ltd. 203,837 11,153,961
------------
20,848,287
------------
Packaging & Containers--0.14%
Ball Corp. 19,617 1,168,585
Bemis Co. 18,502 925,100
Pactiv Corp. 1 54,735 1,308,167
Sealed Air Corp. 1 29,594 1,602,219
------------
5,004,071
------------
Pharmaceuticals--7.12%
Abbott Laboratories 544,329 25,365,731
Allergan Inc. 45,413 3,488,173
AmerisourceBergen Corp. 38,967 2,187,997
Bristol-Myers Squibb Co. 675,219 19,311,263
Cardinal Health Inc. 150,749 9,219,809
Forest Laboratories
Inc. 1 127,302 7,867,264
King Pharmaceuticals
Inc. 1 83,986 1,281,626
Lilly (Eli) & Co. 390,974 27,497,201
MedImmune Inc. 1 86,202 2,189,531
Merck & Co. Inc. 774,719 35,792,018
Pfizer Inc. 2,657,194 93,878,664
Schering-Plough Corp. 511,651 8,897,611
Watson
Pharmaceuticals Inc. 1 37,595 1,729,370
Wyeth 463,707 19,684,362
------------
258,390,620
------------
Pipelines--0.11%
Dynegy Inc. Class A 1 131,351 562,182
El Paso Corp. 211,726 1,734,036
Williams Companies Inc. 180,459 1,772,107
------------
4,068,325
------------
Real Estate Investment Trusts--0.36%
Apartment Investment &
Management Co.
Class A 32,812 1,132,014
Equity Office Properties
Trust 139,203 3,988,166
Equity Residential 95,900 2,830,009
- --------------------------------------------------------------------------------
Security Shares Value
- --------------------------------------------------------------------------------
ProLogis 62,649 $ 2,010,406
Simon Property Group Inc. 66,617 3,087,032
------------
13,047,627
------------
Retail--7.05%
AutoNation Inc. 1 95,758 1,759,074
AutoZone Inc. 1 30,909 2,633,756
Bed Bath & Beyond
Inc. 1 103,110 4,469,819
Best Buy Co. Inc. 112,676 5,886,194
Big Lots Inc. 1 40,725 578,702
Circuit City Stores Inc. 72,965 739,135
CVS Corp. 137,521 4,967,259
Darden Restaurants Inc. 57,420 1,208,117
Dillards Inc. Class A 28,979 476,994
Dollar General Corp. 117,326 2,462,673
eBay Inc. 1 224,917 14,527,389
Family Dollar Stores Inc. 60,044 2,154,379
Federated Department
Stores Inc. 62,956 2,967,116
Gap Inc. (The) 311,901 7,239,222
Home Depot Inc. 792,206 28,115,391
Kohls Corp. 1 118,380 5,319,997
Limited Brands Inc. 179,923 3,244,012
Lowe's Companies Inc. 273,791 15,165,283
May Department Stores
Co. (The) 100,492 2,921,302
McDonald's Corp. 441,918 10,972,824
Nordstrom Inc. 47,843 1,641,015
Office Depot Inc. 1 109,010 1,821,557
Penney (J.C.) Co. Inc.
(Holding Co.) 95,049 2,497,888
RadioShack Corp. 57,152 1,753,423
Sears, Roebuck and Co. 88,385 4,020,634
Staples Inc. 1 172,390 4,706,247
Starbucks Corp. 1 136,181 4,502,144
Target Corp. 317,349 12,186,202
Tiffany & Co. 51,049 2,307,415
TJX Companies Inc. 175,249 3,864,240
Toys R Us Inc. 1 74,359 939,898
Walgreen Co. 356,969 12,986,532
Wal-Mart Stores Inc. 1,506,876 79,939,772
Wendy's International Inc. 39,679 1,557,004
Yum! Brands Inc. 1 102,410 3,522,904
------------
256,055,513
------------
Semiconductors--4.20%
Advanced Micro
Devices Inc. 1 121,350 1,808,115
Altera Corp. 1 131,891 2,993,926
Analog Devices Inc. 127,884 5,837,905
Applied Materials Inc. 1 579,066 13,000,032
Applied Micro Circuits
Corp. 1 106,951 639,567
Broadcom Corp.
Class A 1 105,431 3,594,143
Intel Corp. 2,274,335 73,233,587
KLA-Tencor Corp. 1 67,790 3,977,239
Linear Technology Corp. 108,767 4,575,828
LSI Logic Corp. 1 132,023 1,171,044
Maxim Integrated
Products Inc. 114,406 5,697,419
Micron Technology
Inc. 1 212,634 2,864,180
National
Semiconductor
Corp. 1 64,539 2,543,482
Novellus Systems Inc. 1 53,033 2,230,038
NVIDIA Corp. 1 56,450 1,312,463
245
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- -------------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------------
COMMON STOCKS--(Continued)
- -------------------------------------------------------------------------------
PMC-Sierra Inc. 1 60,137 $ 1,211,761
QLogic Corp. 1 32,897 1,697,485
Teradyne Inc. 1 66,607 1,695,148
Texas Instruments Inc. 602,590 17,704,094
Xilinx Inc. 1 119,188 4,617,343
-------------
152,404,799
-------------
Software--5.38%
Adobe Systems Inc. 81,471 3,201,810
Autodesk Inc. 38,844 954,786
Automatic Data
Processing Inc. 206,983 8,198,597
BMC Software Inc. 1 78,797 1,469,564
Citrix Systems Inc. 1 57,129 1,211,706
Computer Associates
International Inc. 201,642 5,512,892
Compuware Corp. 1 133,789 808,086
Electronic Arts Inc. 1 103,707 4,955,120
First Data Corp. 253,770 10,427,409
Fiserv Inc. 1 67,492 2,666,609
IMS Health Inc. 83,371 2,072,603
Intuit Inc. 1 69,119 3,657,086
Mercury Interactive
Corp. 1 31,341 1,524,426
Microsoft Corp. 3,764,730 103,680,664
Novell Inc. 1 129,985 1,367,442
Oracle Corp. 1 1,819,867 24,022,244
Parametric Technology
Corp. 1 92,796 365,616
PeopleSoft Inc. 1 130,532 2,976,130
Siebel Systems Inc. 1 172,633 2,394,420
Symantec Corp. 1 107,253 3,716,316
Yahoo! Inc. 1 228,866 10,337,877
-------------
195,521,403
-------------
Telecommunication Equipment--1.12%
ADC
Telecommunications
Inc. 1 280,370 832,697
Andrew Corp. 1 53,498 615,762
Avaya Inc. 1 145,114 1,877,775
CIENA Corp. 1 165,027 1,095,779
Comverse Technology
Inc. 1 67,119 1,180,623
JDS Uniphase Corp. 1 499,722 1,823,985
Lucent Technologies
Inc. 1 1,460,012 4,146,434
Motorola Inc. 810,468 11,403,285
QUALCOMM Inc. 278,566 15,023,064
Scientific-Atlanta Inc. 52,858 1,443,023
Tellabs Inc. 1 145,230 1,224,289
-------------
40,666,716
-------------
Telecommunications--1.73%
AT&T Wireless
Services Inc. 1 945,189 7,552,060
Citizens
Communications Co. 1 99,064 1,230,375
Corning Inc. 1 463,033 4,829,434
Nextel
Communications Inc.
Class A 1 382,852 10,742,827
Qwest
Communications
International Inc. 1 615,599 2,659,388
- -------------------------------------------------------------------------------
Security Shares Value
- -------------------------------------------------------------------------------
Sprint Corp. (PCS
Group) 1 360,472 $ 2,025,853
Verizon Communications
Inc. 961,521 33,730,157
-------------
62,770,094
-------------
Telephone--1.81%
Alltel Corp. 108,665 5,061,616
AT&T Corp. 275,004 5,582,581
BellSouth Corp. 643,475 18,210,343
CenturyTel Inc. 50,221 1,638,209
SBC Communications Inc. 1,152,740 30,051,932
Sprint Corp. (FON Group) 314,764 5,168,425
-------------
65,713,106
-------------
Textiles--0.08%
Cintas Corp. 59,468 2,981,131
-------------
2,981,131
-------------
Tobacco--1.16%
Altria Group Inc. 707,218 38,486,804
R.J. Reynolds Tobacco
Holdings Inc. 29,472 1,713,797
UST Inc. 57,737 2,060,634
-------------
42,261,235
-------------
Toys/Games/Hobbies--0.12%
Hasbro Inc. 60,769 1,293,164
Mattel Inc. 149,697 2,884,661
-------------
4,177,825
-------------
Transportation--1.44%
Burlington Northern Santa
Fe Corp. 129,264 4,181,690
CSX Corp. 74,528 2,678,536
FedEx Corp. 103,864 7,010,820
Norfolk Southern Corp. 135,952 3,215,265
Union Pacific Corp. 88,846 6,173,020
United Parcel Service Inc.
Class B 391,449 29,182,523
-------------
52,441,854
-------------
Trucking & Leasing--0.02%
Ryder System Inc. 22,321 762,262
-------------
762,262
-------------
TOTAL COMMON STOCKS
(Cost: $3,301,259,237) 3,581,531,538
-------------
- -------------------------------------------------------------------------------
SHORT TERM INVESTMENTS--8.35%
- -------------------------------------------------------------------------------
Money Market Funds--4.73%
Barclays Global
Investors Funds
Institutional Money
Market Fund,
Institutional Shares 2 4 130,825,620 130,825,620
Barclays Global
Investors Funds
Prime Money
Market Fund,
Institutional Shares 2 4 32,815,719 32,815,719
BlackRock Temp Cash
Money Market Fund 2 1,176,608 1,176,608
246
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- ---------------------------------------------------------------------------
Shares or
Security Principal Value
- ---------------------------------------------------------------------------
SHORT TERM INVESTMENTS--(Continued)
- ---------------------------------------------------------------------------
Short Term
Investment Co.--
Liquid Assets
Money Market
Portfolio 2 7,090,158 $ 7,090,158
-----------
171,908,105
-----------
Floating Rate Notes--1.60%
Beta Finance Inc.
1.11%, 05/20/04 2 3 $1,491,624 1,491,539
1.12%, 09/15/04 2 3 2,983,247 2,983,038
1.13%, 10/12/04 2 3 1,491,624 1,491,509
1.20%, 08/23/04 2 3 1,491,624 1,492,443
CC USA Inc.
1.06%, 05/24/04 2 3 2,983,247 2,983,131
1.11%, 04/19/04 2 3 1,312,629 1,312,610
1.16%, 07/15/04 2 3 1,491,624 1,491,911
Dorada Finance Inc.
1.11%, 05/20/04 2 3 2,983,247 2,983,077
1.24%, 08/09/04 2 745,812 745,744
Five Finance Inc.
1.13%, 04/15/04 2 3 1,491,624 1,491,624
HBOS Treasury Services PLC
1.16%, 01/24/05 2 2,983,247 2,983,247
Holmes Financing PLC
1.12%, 04/15/04 2 596,649 596,649
K2 USA LLC
1.10%, 09/27/04 2 3 3,221,907 3,221,553
1.12%, 08/16/04 2 3 745,812 745,743
1.13%, 05/17/04 2 1,491,624 1,491,596
1.14%, 04/13/04 2 1,491,624 1,491,603
Links Finance LLC
1.10%, 06/28/04 2 1,491,624 1,491,479
1.10%, 07/20/04 2 1,193,299 1,193,168
1.11%, 03/29/04 2 1,491,624 1,491,624
1.14%, 05/04/04 2 1,491,624 1,491,599
Nationwide Building Society
1.14%, 07/23/04 2 3 2,237,435 2,237,435
1.17%, 12/28/04 2 3 2,983,247 2,983,247
Permanent Financing PLC
1.13%, 12/10/04 2 1,491,624 1,491,624
Sigma Finance Inc.
1.09%, 10/07/04 2 2,983,247 2,982,792
1.10%, 07/20/04 2 1,491,624 1,491,460
1.13%, 07/01/04 2 1,491,624 1,491,439
1.24%, 08/06/04 2 745,812 745,767
Tango Finance Corp.
1.09%, 07/15/04 2 3 894,974 894,816
1.10%, 07/06/04 2 3 894,974 894,928
WhistleJacket Capital LLC
1.12%, 09/15/04 2 3 1,491,624 1,491,414
White Pine Finance LLC
1.10%, 08/26/04 2 3 1,491,624 1,491,475
1.12%, 04/20/04 2 3 1,491,624 1,491,624
1.12%, 11/15/04 2 3 1,789,948 1,789,948
1.13%, 07/06/04 2 3 1,789,948 1,789,861
-----------
57,932,717
-----------
- ---------------------------------------------------------------------------------
Security Principal Value
- ---------------------------------------------------------------------------------
Time Deposits--0.60%
Abbey National Treasury Services PLC
1.40%, 10/25/04 2 $2,983,247 2,982,883
Bank of New York
1.39%, 11/01/04 2 2,983,247 2,982,999
Bank of Nova Scotia
1.24%, 10/07/04 2 2,237,435 2,237,264
1.42%, 10/29/04 2 2,237,435 2,237,574
Canadian Imperial Bank of Commerce
1.24%, 10/07/04 2 2,237,435 2,237,179
1.40%, 10/29/04 2 2,983,247 2,983,186
SunTrust Bank
0.81%, 01/02/04 2 3,729,059 3,729,060
Toronto-Dominion Bank
1.41%, 11/01/04 2 2,237,435 2,237,249
--------------
21,627,394
--------------
Repurchase Agreements--0.57%
Goldman, Sachs & Co.
1.02%, 01/02/04 2 8,949,742 8,949,742
Merrill Lynch
0.98%, 01/02/04 2 2,983,247 2,983,247
0.98%, 01/02/04 2 2,983,247 2,983,247
1.00%, 01/02/04 2 5,966,494 5,966,494
--------------
20,882,730
--------------
Commercial Paper--0.57%
Alpine Securitization Corp.
1.09%, 01/07/04 2 1,491,624 1,491,398
1.09%, 01/09/04 2 1,491,624 1,491,307
1.10%, 01/20/04 2 1,491,624 1,490,803
Amsterdam Funding Corp.
1.09%, 01/07/04 2 1,491,624 1,491,398
1.09%, 01/20/04 2 1,491,624 1,490,811
Barton Capital Corp.
1.09%, 01/13/04 2 894,974 894,676
Edison Asset Securitization
1.09%, 01/23/04 2 1,491,624 1,490,675
Falcon Asset Securitization
1.09%, 01/16/04 2 2,983,247 2,981,983
Jupiter Securitization Corp.
1.09%, 01/14/04 2 3,281,572 3,280,385
Preferred Receivables Funding Corp.
1.09%, 01/12/04 2 2,684,923 2,684,111
Receivables Capital Corp.
1.02%, 01/06/04 2 1,878,581 1,878,368
--------------
20,665,915
--------------
U.S. Government Agency Notes--0.20%
Federal Home Loan Mortgage Corporation
1.15%, 05/12/04 2 2,237,435 2,228,072
1.28%, 08/19/04 2 1,193,299 1,183,540
Federal National Mortgage Association
1.28%, 08/20/04 2 3,878,223 3,846,368
--------------
7,257,980
--------------
U.S. Treasury Obligations--0.08%
U.S. Treasury Bill
0.89%,5 03/25/04 6 2,900,000 2,894,044
--------------
2,894,044
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost: $303,168,931) 303,168,885
--------------
TOTAL INVESTMENTS IN SECURITIES--106.98%
(Cost $3,604,428,168) 3,884,700,423
Other Assets, Less Liabilities--(6.98%) (253,307,826)
--------------
Net Assets--100.00% $3,631,392,597
==============
247
Schedule of Investments--(Continued)
December 31, 2003
- --------------------------------------------------------------------------------
S&P 500 Index
Master Portfolio
- --------------------------------------------------------------------------------
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 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.
4 Issuer is an affiliate of the Master Portfolio's investment advisor.
See Note 2.
5 Yield to maturity.
6 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.
248 The accompanying notes are an integral part of these financial statements.
Schedule of Investments
December 31, 2003
- --------------------------------------------------------------------------------
U.S. Equity Index
Master Portfolio Value
- -------------------------------------------------------------
MASTER PORTFOLIOS--100.00%
- -------------------------------------------------------------
Extended Index Master Portfolio $121,160,837
S&P 500 Index Master Portfolio 418,683,463
------------
TOTAL MASTER PORTFOLIOS 539,844,300
------------
TOTAL INVESTMENTS--100.00% 539,844,300
Other Assets Less Liabilities--0.00% (17,174)
------------
NET ASSETS--100.00% $539,827,126
============
The accompanying notes are an integral part of these financial statements. 249
THIS PAGE IS INTENTIONALLY LEFT BLANK.
250
THIS PAGE IS INTENTIONALLY LEFT BLANK.
251
THIS PAGE IS INTENTIONALLY LEFT BLANK.
252
Shares of the Vantagepoint funds are distributed by ICMA-RC Services, LLC, a
broker-dealer wholly owned subsidiary of the ICMA Retirement Corporation,
member NASD/SIPC.
[LOGO] 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
ANR000-001-0204-214
Item 2 (Code of Ethics): The Board of Directors of the registrant has adopted a
code of ethics that applies to the Vantagepoint Funds and its principal
executive officer, principal financial officer, principal accounting officer or
controller, and to persons performing similar functions.
Item 3 (Audit Committee Financial Expert): All of the members of the Audit
Committee of the registrant have been determined by its Board of Directors to be
Audit Committee Financial Experts. The members of the Audit Committer are:
Arthur Lynch, Eddie N. Moore, Jr., and Anthony Calhoun. All Audit Committee
members are independent under the applicable rules.
Item 4 (Principal Accountant Fees and Services):
Sub-item 4a (Audit Fees). The amount of the aggregate fees billed for
professional services rendered by the registrant's principal
accountant, PricewaterhouseCoopers LLP, was $214,500 for the 2003
audit of the registrant's annual financial statements. In 2002, the
registrant's principal accountant was Deloitte & Touche LLP, and the
amount of their aggregate fees billed for the professional services
rendered for the 2002 audit of the registrant's annual financial
statements was $184,740.
Sub-item 4b (Audit Related Fees). The aggregate fees billed for
assurance and related services rendered by the registrant's principal
accountant, PricewaterhouseCoopers LLP, that are reasonably related to
the performance of the audit of the registrant's annual financial
statements were $42,500 for 2003, and are not reported under
Sub-item 4a. Such services were provided to review the June 30, 2003
Semi-Annual Report of the registrant. The principal accountant,
Deloitte & Touche LLP, rendered no such services in 2002.
Sub-item 4c (Tax Fees). The aggregate fees billed for professional
services rendered by PricewaterhouseCoopers LLP for tax compliance,
tax advice, and tax planning were $65,000 and $63,100 for 2003 and
2002, respectively. Such services included the preparation of the
registrant's income tax and excise tax returns, and related tax
provision work.
Sub-item 4d (All Other Fees). The aggregate fees billed for
professional services provided by the registrant's principal
accountant, Deloitte & Touche LLP, other than the services reported in
sub-items 4a through 4c were $10,000 for 2002. Such services covered
an annual review of the registrant's performance calculations. No such
fees were billed to the registrant by PricewaterhouseCoopers LLP for
2003.
Sub-item 4e (1) The registrant's Audit Committee pre-approves all
audit and non-audit services to be performed by the registrant's
accountants before they are engaged to perform such services. (2) The
registrant's Audit Committee acted on and approved 100% of the
services described in sub-items 4b through 4d of this item.
Sub-item 4f Not applicable.
Sub-item 4g The aggregate non-audit fees billed for professional
services rendered by the registrant's principal accountant,
PricewaterhouseCoopers LLP, to the registrant's investment adviser and
any entity controlling, controlled by, or under common control with
the adviser were $30,000 for 2003. Such services were billed to and
paid for by the parent of the registrant's investment adviser to
provide a review of the June 30, 2003 trust financial statements of
the registrant's controlling shareholder. The principal accountant,
Deloitte & Touche LLP, rendered no such services in 2002.
Sub-item 4h Not applicable.
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.
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 - Code of Ethics exhibit is attached.
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 March 8, 2004
---------------------------------------------------------
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 March 8, 2004
-----------------------
By: /s/ John Bennett
---------------------------------------------------------
John Bennett, Principal Financial Officer
Date March 3, 2004
-----------------------