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 811-7885
Name of Fund: Master Extended Market Index Series
Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011
Name and address of agent for service: Terry K. Glenn, President, Master
Extended Market Index Series, 800 Scudders Mill Road, Plainsboro, NJ
08536. Mailing address: P.O. Box 9011, Princeton, NJ 08543-9011
Registrant's telephone number, including area code: (609) 282-2800
Date of fiscal year end: 12/31/03
Date of reporting period: 01/01/03 - 06/30/03
Item 1 - Attach shareholder report
Master Extended Market Index Series
During the period the fund generated net investment income of 0.98% as a
percentage of average net assets.
Contributors and Detractors from Performance:
The portfolio met its objective of replicating the return of its benchmark.
After a negative 1st quarter, the 2nd quarter of 2003 brought impressive gains
and what some are calling a "bull rally." The US markets rose consistently over
the quarter, spurred by optimism that economic and profit growth will
accelerate. On June 16th the S&P 500 closed above the 1,000 mark (at 1,010.74)
for the first time since June 20, 2002. Most indices finished the quarter in
positive territory, with the DJIA closing at 8,985.44, up 993.31 points or
12.43% for the quarter, and the S&P 500 closing at 974.50, 126.32 points or
14.89% for the quarter. The NASDAQ closed at 1,622.80, up 281.63 points or
21.00%, as technology stocks have outperformed the broader market on
expectations that companies in that sector will be among the first beneficiaries
of an economic recovery.
Performance Analysis:
For the 2nd quarter, small and mid-cap stocks proved a better place to be as
they outperformed large-cap stocks, with a 21.45% return for the Wilshire 4500
versus the 16.50% return for the Wilshire 5000.
Markets rallied following the resolution of military affairs in Iraq, investors
have become increasingly bullish about the outlook for equities, and the rise
has been notable for the participation of all sectors and countries.
After the Federal Open Market Committee (FOMC) left rates unchanged at 1.25% at
its May 6th meeting, it lowered its target for the federal funds rate by 25
basis points to 1% at its June 25th meeting, bringing the rate to a 49-year low.
The FOMC continues to use an accommodative stance of monetary policy coupled
with an underlying growth in productivity to provide ongoing support to economic
activity. The modest 25 basis point cut rather than the expected 50 basis point
cut leaves room for further Federal Reserve rate reductions in the future. In
response to the FOMC decision financial markets were initially disappointed,
with long term interest rates backing up sharply and stock prices falling. This
movement will likely be moderated by the realization that the growth outlook
will be strengthened.
Fund Position Going Forward:
Economic indicators for the current economy are ambiguous, but the economy may
strengthen and produce strong results for the second half of 2003. Many of the
geo-political factors that may have exacerbated the slowdown in activity (war
fears, higher oil prices, poor weather and SARS) have been largely resolved.
While the economy is clearly improving, the rate of change is only gradual. Data
indicates that further policy stimulus will hit the economy in the second half
of the year, but it is worth noting the lack of growth given the large cuts in
interest rates already seen. Additionally, a key factor is the concern about
whether consumers will continue to spend long enough to prop up the economy
until a corporate spending cycle emerges.
For the next quarter the reaction of the economy to all the stimuli in the
pipeline and the extent of the recovery is still ambiguous. Lower withholding
taxes from paychecks and child tax credit checks position households on the
receiving end of at least $30 billion from tax relief. This, coupled with a
mortgage-refinancing wave continuing a high incentive to refinance, is
indicative of an increase in consumer spending in the last 6 months of 2003,
putting the economy on a recovery track. With that in mind, the portfolio is
expected to continue to meets its objectives.
/s/ Richard Vella
- ------------------------------------
Richard Vella
Vice President and Portfolio Manager
/s/ Terry K. Glenn
- ------------------------------------
Terry K. Glenn
President and Trustee
Trustees and Officers:
Terry K. Glenn - Trustee
Donald W. Burton - Trustee
M. Colyer Crum - Trustee
Laurie Simon Hodrick - Trustee
Fred G. Weiss - Trustee
Robert C. Doll, Jr. - Senior Vice President
Donald C. Burke - Vice President and Treasurer
Richard Vella -- Vice President and Portfolio Manager
Brian D. Stewart - Secretary
Custodian: JPMorgan Chase Bank
4 Chase MetroTech
Brooklyn, New York 11245
Transfer Agent: Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Aerospace - 0.3% Aerosonic Corporation + 200 $1,974
ESCO Technologies Inc. + 900 39,600
GenCorp Inc. 2,100 18,669
HEICO Corporation (Class A) 1,620 14,499
KVH Industries, Inc. + 1,300 32,149
Kaman Corp. (Class A) 1,100 12,859
L-3 Communications Holdings, Inc. + 4,200 182,657
Metrologic Instruments, Inc. + 700 23,282
SPACEHAB, Incorporated + 500 475
SatCon Technology Corporation + 700 434
TransTechnology Corporation + 300 1,632
Trimble Navigation Limited + 1,800 41,273
Veeco Instruments Inc. + 1,500 25,545
-------------
395,048
Air Transport - 0.4% AAR Corp. 1,500 10,590
AMR Corporation + 9,000 98,999
ATA Holdings Corp. + 1,500 11,385
Airborne, Inc. 2,000 41,799
AirTran Holdings, Inc. + 1,800 18,846
Alaska Air Group, Inc. + 1,100 23,595
America West Holdings Corporation (Class B) + 1,600 10,880
Atlantic Coast Airlines Holdings, Inc. + 1,600 21,584
Atlas Air, Inc. + 2,800 4,116
Aviall, Inc. + 700 7,959
Aviation General, Incorporated + 1,200 36
Continental Airlines, Inc. (Class B) + 2,400 35,927
EGL, Inc. + 1,900 28,880
Frontier Airlines, Inc. + 1,800 16,344
Great Lakes Aviation, Ltd. + 700 210
Hawaiian Holdings, Inc. + 3,802 3,232
LMI Aerospace, Inc. + 900 1,845
Mesa Air Group, Inc. + 3,900 31,200
Mesaba Holdings, Inc. + 700 4,319
Midwest Express Holdings + 800 2,096
Northwest Airlines Corporation + 4,200 47,417
Petroleum Helicopters, Inc. (Non-voting) + 700 20,363
SkyWest, Inc. 2,300 43,838
Vanguard Airlines, Inc. + 200 0
-------------
485,460
Apparel - 1.0% Aeropostale, Inc. + 1,000 21,480
Armor Holdings, Inc. + 1,400 18,760
Ashworth, Inc. + 3,500 24,815
bebe stores, inc. + 1,500 28,695
The Buckle, Inc. + 700 13,461
Burke Mills, Inc. + 1,400 1,078
CACHE INC. + 300 4,620
Coach, Inc. + 3,700 184,037
Columbia Sportswear Company + 2,000 102,818
DHB Capital Group Inc. + 600 2,454
Escalade, Incorporated + 300 4,812
Fab Industries, Inc. + 200 1,840
GSI Commerce, Inc. + 1,800 12,024
Guess?, Inc. + 1,000 6,000
Haggar Corp. 300 3,750
Hampshire Group, Limited + 200 5,968
Hartmarx Corporation + 5,000 14,950
J. Jill Group Inc. + 1,300 21,892
JPS Industries Inc. + 400 464
Jos. A. Bank Clothiers, Inc. + 1,000 33,429
K-Swiss Inc. (Class A) 900 31,068
Kellwood Co. 1,200 37,956
Kenneth Cole Productions, Inc. (Class A) + 1,100 21,439
LaCrosse Footwear, Inc. + 500 1,400
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Apparel Magic Lantern Group, Inc. + 1,000 $1,000
(concluded) Marisa Christina, Incorporated + 900 1,287
Mossimo, Inc. + 800 3,152
Mothers Work, Inc. + 300 8,031
Nautica Enterprises, Inc. + 3,400 43,621
OshKosh B'Gosh, Inc. (Class A) 600 16,200
Oxford Industries, Inc. 500 20,760
Perry Ellis International, Inc. 1,300 25,376
Phillips-Van Heusen Corporation 1,500 20,445
Phoenix Footwear Group, Inc. + 1,000 5,230
Polo Ralph Lauren Corporation 1,700 43,842
Quaker Fabric Corporation 1,400 9,240
Quiksilver, Inc. + 3,000 49,470
Russell Corporation 1,600 30,400
Skechers U.S.A., Inc. (Class A) + 1,100 8,140
Stage Stores, Inc. + 900 21,150
Steve Madden, Ltd. 600 13,104
The Stride Rite Corporation 1,900 18,924
Superior Uniform Group, Inc. 1,500 16,755
Tandy Brands Accessories, Inc. + 200 2,400
The Timberland Company (Class A) + 1,700 89,861
Tropical Sportswear Int'l Corporation + 3,300 23,925
Unifi, Inc. + 3,200 19,840
Vans, Inc. + 900 8,082
Warnaco Group, Inc. + 3,700 49,950
Weyco Group, Inc. 100 4,601
Wolverine World Wide, Inc. 2,400 46,224
-------------
1,200,220
Banks - 6.9% Abington BanCorp, Inc. 800 20,320
Alabama National BanCorporation 200 9,696
Allegiant Bancorp, Inc. 700 14,175
Ameriana Bancorp 200 2,806
American National Bankshares Inc. 300 8,067
Anchor Bancorp, Inc. 1,600 38,224
Arrow Financial Corporation 336 11,212
Associated Banc-Corp. 3,650 134,611
BCSB Bankcorp, Inc. 1,200 18,000
BSB Bancorp, Inc. 1,400 34,747
BancFirst Corporation 400 20,744
BancorpSouth, Inc. 3,600 75,060
Bank Mutual Corporation 300 9,750
Bank of Granite Corp. 525 8,951
Bank of Hawaii Corporation 2,900 96,135
BankAtlantic Bancorp, Inc. (Class A) 2,600 30,914
Banknorth Group, Inc. 7,914 201,964
Bar Harbor Bankshares 200 4,250
Boston Private Financial Holdings, Inc. 1,100 23,188
BostonFed Bancorp, Inc. 1,100 29,601
Brookline Bancorp, Inc. 2,799 39,186
Bryn Mawr Bank Corporation 200 7,414
CB Bancshares, Inc. 350 21,742
CCBT Financial Companies Inc. 300 7,167
CFS Bancorp, Inc. 600 8,460
Camden National Corporation 300 8,250
Capital Bank Corporation 1,100 16,412
Capital City Bank Group, Inc. 500 18,100
Capitol Bancorp Ltd. 420 11,387
Capitol Federal Financial 3,140 88,264
Carrollton Bancorp 210 3,549
Cavalry Bancorp, Inc. 300 5,064
Center Bancorp, Inc. 400 6,048
Central Coast Bancorp + 457 7,664
Century Bancorp, Inc. (Class A) 200 5,956
Chemical Financial Corporation 560 16,688
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Banks Chittenden Corporation 1,787 $48,874
(continued) Citizens Banking Corporation 1,800 48,186
Citizens South Banking Corporation 428 5,667
City Holding Company 700 20,489
City National Corporation 2,300 102,487
CoBiz Inc. 500 6,770
The Colonial BancGroup, Inc. 4,300 59,641
Columbia Bancorp 300 7,203
Columbia Banking System, Inc. 600 10,746
Comm Bancorp, Inc. 100 3,480
Commerce Bancorp, Inc. 2,500 92,750
Commerce Bancshares, Inc. 3,407 132,702
Commercial Bankshares, Inc. 125 3,715
Commercial National Financial Corporation 100 2,633
Community Bank System, Inc. 500 19,000
Community Banks, Inc. 388 11,539
Community First Bankshares, Inc. 2,800 76,440
Compass Bancshares, Inc. 6,600 230,538
Connecticut Bancshares, Inc. 1,100 43,076
Corus Bankshares, Inc. 600 29,058
CoVest Bancshares, Inc. 1,100 27,225
Cullen/Frost Bankers, Inc. 2,600 83,459
Dime Community Bancshares 2,100 53,445
Doral Financial Corporation 3,700 165,205
EFC Bancorp, Inc. 900 16,209
F&M Bancorp 900 44,388
FFLC Bancorp, Inc. 150 3,894
FLAG Financial Corporation 400 5,484
FNB Corp. 300 7,446
F.N.B. Corporation 3,069 92,867
FNB Financial Services Corporation 900 17,928
Farmers Capital Bank Corporation 300 9,585
Fidelity Federal Bancorp + 1,200 1,560
Financial Institutions, Inc. 100 2,350
First Bancorp 400 10,364
First Bell Bancorp, Inc. 200 5,132
First Busey Corporation 500 12,120
First Cash Financial Services, Inc. + 2,100 29,841
First Charter Corporation 500 8,700
First Citizens BancShares, Inc. (Class A) 500 50,419
First Colonial Group, Inc. 600 29,142
First Commonwealth Financial Corporation 1,400 18,144
First Essex Bancorp, Inc. 900 42,426
First Federal Bancorp, Inc. 400 2,980
First Federal Bancshares of Arkansas, Inc. 600 19,050
First Federal Capital Corp. 1,000 19,850
First Federal Financial Corporation of Kentucky 170 5,554
First Financial Bancorp 1,710 27,360
First Financial Bankshares, Inc. 350 11,711
First Merchants Corporation 110 2,674
First Midwest Bancorp, Inc. 2,175 62,661
First Mutual Bancshares, Inc. 1,100 22,000
First Niagara Financial Group, Inc. 5,132 71,642
First Oak Brook Bancshares, Inc. 300 9,897
The First of Long Island Corporation 200 8,014
First Republic Bank + 700 18,620
First South Bancorp, Inc. 200 6,652
First State Bancorporation 400 11,004
Firstbank Corp. 1,950 53,528
FirstFed Financial Corp. + 600 21,174
FirstMerit Corporation 3,900 89,153
Franklin Financial Corporation 400 12,020
Frontier Financial Corporation 300 8,523
Fulton Financial Corporation 5,323 105,767
GBC Bancorp 1,200 46,079
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Banks German American Bancorp 535 $9,336
(continued) Gold Banc Corporation 1,500 15,765
Great Southern Bancorp, Inc. 300 11,562
Greater Bay Bancorp 2,174 44,392
Greater Community Bancorp 220 3,390
Hancock Holding Company 400 18,824
Harbor Florida Bancshares, Inc. 1,200 28,752
Harleysville National Corporation 935 25,301
Hibernia Corporation (Class A) 7,300 132,567
Hudson City Bancorp, Inc. 9,800 250,585
Hudson United Bancorp 2,240 76,496
Independent Bank Corp. (Massachusetts) 800 18,072
Integra Bank Corporation 800 13,768
Interchange Financial Services Corporation 650 12,753
Internet Capital Group, Inc. + 11,500 5,405
Irwin Financial Corporation 1,200 31,080
LSB Bancshares, Inc. 400 6,924
Lakeland Financial Corporation 200 6,076
M&T Bank Corporation 5,500 463,209
MAF Bancorp, Inc. 1,800 66,726
MASSBANK Corp. 250 9,043
Main Street Banks, Inc. 600 15,180
MainSource Financial Group, Inc. 220 5,361
Mercantile Bankshares Corporation 3,800 149,643
Merchants Bancshares, Inc. 350 9,100
Mid-State Bancshares 1,100 21,725
Midwest Banc Holdings, Inc. 800 15,536
NBT Bancorp Inc. 1,360 26,316
NSD Bancorp, Inc. 115 3,059
Nara Bancorp, Inc. 1,900 35,587
National Commerce Financial Corporation 8,900 197,491
National Penn Bancshares, Inc. 315 8,845
Net.B@nk, Inc. 2,300 30,268
North Valley Bancorp 1,500 22,500
Northern States Financial Corporation 100 2,846
Norwood Financial Corp. 150 3,495
Novastar Financial, Inc. 1,000 59,750
OceanFirst Financial Corp. 700 17,101
Ohio Valley Banc Corp. 700 16,100
Old National Bancorp 3,168 72,864
Old Second Bancorp, Inc. 200 8,570
Omega Financial Corporation 400 13,680
Oriental Financial Group Inc. 825 21,194
PFF Bancorp, Inc. 600 23,190
Pamrapo Bancorp, Inc. 1,000 17,300
Park National Corporation 600 68,549
Parkvale Financial Corporation 300 7,374
Patriot Bank Corp. 320 5,757
Peapack-Gladstone Financial Corporation 300 9,609
PennFed Financial Services, Inc. 300 8,325
Peoples Bancorp 200 4,150
Peoples Bancorp Inc. 472 11,927
Peoples Bancorp of North Carolina 200 3,426
The Peoples BancTrust Company, Inc. 1,120 16,800
People's Bank 2,700 78,273
Popular, Inc. 6,700 258,552
PrivateBancorp, Inc. 300 8,181
Prosperity Bancshares, Inc. 400 7,700
Provident Bancorp, Inc. 400 12,840
Provident Bancshares Corporation 1,525 38,750
Provident Financial Group, Inc. 2,200 56,385
Quaker City Bancorp, Inc. + 250 10,263
Republic Bancorp Inc. 2,299 30,853
Republic Bancorp, Inc. (Class A) 1,500 22,245
Republic Bancshares, Inc. 600 15,006
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Banks Resource Bankshares Corporation 200 $6,848
(concluded) Riggs National Corporation 1,400 21,308
Royal Bancshares of Pennsylvania, Inc. (Class A) 514 10,974
S1 Corporation + 3,700 14,948
S&T Bancorp, Inc. 800 21,944
S.Y. Bancorp, Inc. 100 3,537
Sandy Spring Bancorp, Inc. 150 4,740
The Savannah Bancorp, Inc. 121 2,901
Seacoast Banking Corporation of Florida 700 11,928
Second Bancorp, Incorporated 400 10,320
Silicon Valley Bancshares + 2,700 64,286
Simmons First National Corporation (Class A) 400 8,004
Sky Financial Group, Inc. 3,300 71,676
The South Financial Group, Inc. 3,300 76,989
Southwest Bancorp, Inc. 200 5,484
Southwest Bancorporation of Texas, Inc. + 2,400 78,023
Southwest Georgia Financial Corporation 110 2,228
St. Francis Capital Corporation 1,300 37,791
State Bancorp, Inc. 418 8,185
Sterling Bancshares, Inc. 3,950 51,666
Sterling Financial Corporation 500 12,175
Suffolk Bancorp 500 16,100
Summit Bancshares, Inc. 300 7,044
Sun Bancorp, Inc. 300 6,054
Sun Bancorp, Inc. (New Jersey) + 570 11,343
Superior Financial Corp. 1,400 33,600
Susquehanna Bancshares, Inc. 1,600 37,360
TCF Financial Corporation 4,000 159,359
Texas Regional Bancshares, Inc. (Class A) 1,650 57,255
Tompkins Trustco, Inc. 400 17,860
TriCo Bancshares 300 7,629
Troy Financial Corporation 100 2,715
The Trust Company of New Jersey 900 27,270
TrustCo Bank Corp NY 1,860 20,609
Trustmark Corporation 3,000 76,409
UCBH Holdings, Inc. 2,900 83,171
UMB Financial Corporation 710 30,104
U.S.B. Holding Co., Inc. 760 13,490
Union Bankshares Corporation 400 11,308
UnionBanCal Corporation 7,400 306,137
United Bancorp, Inc. 231 3,165
United Bankshares, Inc. 2,100 60,165
United Community Financial Corp. 1,400 12,936
United National Bancorp 1,400 38,626
Unizan Financial Corp. 832 14,618
Vail Banks, Inc. 1,200 16,260
Valley National Bancorp 4,522 119,154
Virginia Commerce Bancorp, Inc. + 400 7,804
WSFS Financial Corporation 1,000 38,400
Warwick Community Bancorp, Inc. 200 5,846
Washington Trust Bancorp, Inc. 500 11,495
WesBanco, Inc. 1,000 24,300
Westamerica Bancorporation 2,100 90,467
Westcorp 1,121 31,388
Whitney Holding Corporation 2,750 87,918
Wilmington Trust Corporation 3,000 88,049
Wintrust Financial Corporation 1,650 48,840
Yardville National Bancorp 500 9,750
-------------
8,273,651
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Business Machines - 2.6% 3Com Corporation + 16,600 $77,688
3D Systems Corporation + 600 4,218
AVICI SYS INC. + 1,650 10,065
Adaptec, Inc. + 5,100 39,678
Advanced Digital Information Corporation + 3,600 35,964
american Software, Inc. (Class A) + 3,400 14,960
Analogic Corporation 1,100 53,636
Applied Films Corporation + 400 10,352
Arbitron Inc. + 1,400 49,980
Artesyn Technologies, Inc. + 3,100 17,391
Ascential Software Corporation + 3,350 55,074
Auspex Systems, Inc. + 1,800 65
Avocent Corporation + 2,700 80,811
BEA Systems, Inc. + 20,700 224,801
Black Box Corporation 1,500 54,300
Borland Software Corporation + 4,000 39,080
CACI International Inc. (Class A) + 1,400 48,020
California First National Bancorp 600 5,694
Communication Intelligence Corporation + 700 252
Computer Horizons Corp. + 1,200 5,448
Concerto Software, Inc. + 3,000 27,570
Concurrent Computer Corporation + 3,000 8,760
Convera Corporation + 1,400 5,572
Cosine Communications, Inc. + 410 2,492
Cray, Inc. + 3,100 24,490
Crossroads Systems, Inc. + 1,100 1,858
Diebold, Incorporated 2,800 121,109
Digital Lightwave, Inc. + 3,600 3,888
Enterasys Networks, Inc. + 7,100 21,513
Exabyte Corporation + 300 26
Extended Systems Incorporated + 100 390
Fair, Isaac and Company, Incorporated 2,301 118,385
Flow International Corporation + 800 1,128
Foundry Networks, Inc. + 6,200 89,280
General Binding Corporation + 500 6,000
Handspring, Inc. + 5,700 6,441
Hanger Orthopedic Group, Inc. + 1,000 11,450
Hypercom Corporation + 2,100 8,715
IKON Office Solutions, Inc. 7,400 65,860
Immersion Corporation + 200 380
Input/Output, Inc. + 2,500 13,450
Integrated Device Technology, Inc. + 4,000 44,200
Intergraph Corp. + 3,100 66,650
Interland, Inc. + 18,500 18,130
InterVoice-Brite, Inc. + 1,600 7,904
InVision Technologies, Inc. + 1,100 27,335
Iomega Corporation + 2,060 21,836
Juniper Networks, Inc. + 18,500 228,844
LTX Corporation + 1,900 16,378
Lantronix, Inc. + 2,100 1,554
Latitude Communications, Inc. + 100 186
MIPS Technologies, Inc. (Class A) + 2,000 5,120
MSC.Software Corp. + 1,300 8,762
MTI Technology Corporation + 200 176
Maxtor Corporation + 12,412 93,214
McDATA Corporation (Class A) + 5,000 73,350
Media 100 Inc. + 200 238
Microchip Technology 9,409 231,742
Micromuse, Inc. + 3,700 29,563
Micros Systems, Inc. + 1,500 49,470
Mobility Electronics, Inc. + 4,400 17,820
Netegrity, Inc. + 1,700 9,928
Network Engines, Inc. + 2,600 9,880
PTEK Holdings, Inc. + 500 2,425
Palm, Inc. + 2,300 37,421
Procom Technology, Inc. + 100 30
Pure World, Inc. + 1,300 4,225
Quantum Corporation-DLT & Storage Systems + 6,100 24,705
Rainbow Technologies, Inc. + 600 5,046
Read-Rite Corporation + 960 62
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Business Machines Roxio, Inc. + 1,300 $8,697
(concluded) SCM Microsystems, Inc. + 800 4,368
SVI Solutions Inc. + 200 478
SanDisk Corporation + 3,600 145,259
ScanSource, Inc. + 600 16,050
Scientific Technologies Incorporated + 300 1,455
Sigma Designs, Inc. + 2,300 25,093
Silicon Graphics, Inc. + 8,000 9,120
SmartDisk Corporation + 100 6
Sorrento Networks Corporation + 30 79
Storage Technology Corporation + 4,000 102,959
StorageNetworks, Inc. + 14,900 20,711
Sybase, Inc. + 4,155 57,796
Systems & Computer Technology Corporation + 1,300 11,700
Tech Data Corporation + 2,600 69,446
The Titan Corporation + 3,000 30,870
Total System Services, Inc. 9,000 200,699
Trans-Industries, Inc. + 100 415
Ultimate Electronics, Inc. + 2,000 25,640
Visual Networks, Inc. + 1,300 1,755
Vitria Technology, Inc. + 175 1,003
White Electronic Designs Corporation + 100 1,059
-------------
3,137,086
Business Services - 10.1% 4Kids Entertainment, Inc. + 600 11,160
24/7 Media, Inc. + 15,600 12,480
ABM Industries, Inc. 2,600 40,040
ADVO Systems, Inc. + 1,000 44,400
ANSYS, Inc. + 1,400 43,540
Aaron Rents, Inc. 700 18,060
Accrue Software, Inc. + 300 11
Actel Corp. + 1,500 30,750
Actuate Corporation + 7,100 19,738
Adept Technology, Inc. + 200 84
Administaff, Inc. + 1,800 18,540
Advent Software, Inc. + 2,500 42,275
Aether Systems, Inc. + 2,100 10,290
Affiliated Computer Services, Inc. (Class A) + 5,600 256,087
Affymetrix, Inc. + 2,300 45,333
Agile Software Corporation + 2,400 23,160
Akamai Technologies, Inc. + 8,000 38,880
Aksys, Ltd. + 1,300 16,835
Alliance Semiconductor Corporation + 5,100 24,684
The Allied Defense Group, Inc. + 1,000 18,450
Altiris, Inc. + 1,800 36,090
Ambassadors International, Inc. + 400 4,804
American Independence Corporation + 48 512
American Management Systems, Incorporated + 2,000 28,560
American Online Latin America, Inc. (Class A) + 2,700 1,620
American Superconductor Corporation + 1,100 6,589
Analysts International Corporation + 200 498
Ansoft Corporation + 500 5,310
AnswerThink Consulting Group, Inc. + 2,400 4,632
Anteon International Corporation + 1,000 27,910
Applied Molecular Evolution + 1,100 4,708
Arena Pharmaceuticals, Inc. + 1,400 9,296
Ariba, Inc. + 10,400 30,888
Art Technology Group, Inc. + 8,300 13,280
Artemis International Solutions Corporation + 12 22
Ask Jeeves, Inc. + 1,200 16,500
Aspen Technology, Inc. + 2,200 10,560
Atari, Inc. + 6,100 27,145
BAKER (MICHEAL) CORP + 400 4,280
BARRA, Inc. + 1,550 55,335
The BISYS Group, Inc. + 4,700 86,338
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Business Services BSQUARE Corporation + 4,600 $3,772
(continued) Barrett Business Services, Inc. + 400 1,200
BearingPoint, Inc. + 7,700 74,305
Bestway, Inc. + 300 4,350
BindView Development Corporation + 8,300 16,766
Bionova Holding Corporation + 800 280
Blue Coat Systems, Inc. + 360 2,160
Blue Martini Software, Inc. + 1,400 5,166
Bottomline Technologies, Inc. + 100 807
Bowne & Co., Inc. 1,600 20,848
Bright Horizons Family Solutions, Inc. + 400 13,424
The Brink's Company 2,300 33,511
Brio Technology, Inc. + 1,500 3,468
BroadVision, Inc. + 1,288 7,329
Brocade Communications Systems, Inc. + 12,400 73,036
Brooktrout Inc. + 200 1,552
CDW Corporation + 4,200 192,359
CDI Corp. + 900 23,364
CERBCO, Inc. (Class A) 500 3,800
CIBER, Inc. + 3,100 21,762
CSG Systems International, Inc. + 2,200 31,086
Calico Commerce, Inc. + 200 90
CareCentric Inc. + 153 101
Career Education Corporation + 2,000 136,839
Carreker Corporation + 1,500 6,870
Casella Waste Systems, Inc. (Class A)+ 1,000 9,030
Catalina Marketing Corporation + 2,200 38,830
Catapult Communications Corporation + 500 5,310
Cell Genesys, Inc. + 2,100 18,144
Centra Software, Inc. + 1,000 3,100
Century Business Services, Inc. + 1,000 3,250
Ceridian Corporation + 6,800 115,395
Cerner Corporation + 1,700 39,015
Certegy Inc. + 3,100 86,025
Charles River Associates Incorporated + 1,300 36,738
CheckFree Corp. + 3,600 100,223
Childtime Learning Centers, Inc. + 300 750
ChoicePoint Inc. + 4,133 142,670
Chordiant Software, Inc. + 4,100 7,626
Clarus Corporation + 200 1,256
Clean Harbors, Inc. + 700 6,671
Click Commerce, Inc. 2,200 3,190
click2learn.com, Inc. + 100 173
Closure Medical Corporation + 400 7,552
Cognizant Technology Solutions Corporation + 3,700 90,132
Com21, Inc. + 200 28
Commerce One, Inc. + 4,960 11,656
Computer Programs and Systems, Inc. 500 10,005
Concord Communications, Inc. + 600 8,238
Concur Technologies, Inc. + 2,900 29,203
Connetics Corporation + 1,900 28,443
Copart, Inc. + 4,050 38,273
Corillian Corporation + 4,600 7,820
Corinthian Colleges, Inc. + 2,000 97,140
Corio, Inc. + 400 640
Cornell Companies, Inc. + 500 7,570
The Corporate Executive Board Company + 1,900 77,007
CoStar Group Inc. + 200 5,972
Courier Corporation 150 7,725
Covansys Corporation + 1,400 4,298
Credence Systems Corporation + 4,600 38,962
Credit Acceptance Corporation + 600 6,054
Critical Path, Inc. + 900 891
Cross Country Healthcare, Inc. + 2,400 31,656
Cross Media Marketing Corporation + 29 7
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Business Services CryoLife, Inc. + 2,400 $24,840
(continued) CuraGen Corporation + 1,300 7,215
CyberSource Corporation + 200 548
Cysive, Inc. + 300 963
DST Systems, Inc. + 5,600 212,799
Daleen Technologies, Inc. + 100 12
Datastream Systems, Inc. + 800 8,472
Deltathree.com, Inc. (Class A) + 100 65
Dendrite International, Inc. + 1,700 21,896
DeVry, Inc. + 3,200 74,528
Dice Inc. + 100 1
Digex, Inc. + 4,000 1,840
Digimarc Corporation + 900 14,130
Digital Generation Systems, Inc. + 3,500 6,720
Digital Impact, Inc. + 200 370
Digital Insight Corporation + 2,000 38,100
Digital River, Inc. + 1,400 27,020
DigitalThink, Inc. + 2,000 6,300
Digitas Inc. + 2,169 10,758
Discovery Partners International + 1,200 5,268
Diversa Corporation + 1,900 18,677
Docent, Inc. + 566 1,924
DocuCorp International, Inc. + 2,800 18,564
Documentum, Inc. + 2,400 47,208
Dot Hill Systems Corp. + 400 5,240
DoubleClick Inc. + 7,000 64,750
Dyax Corp. + 800 3,264
EPIQ Systems, Inc. + 2,000 34,360
EXE Technologies, Inc. + 257 1,293
EarthLink, Inc. + 9,700 76,533
Echelon Corporation + 1,900 26,163
Eclipsys Corporation + 1,800 18,792
Ecollege.Com + 2,200 24,992
Edison Schools, Inc. + 10,800 16,200
Education Management Corporation + 1,600 85,087
eFunds Corporation + 3,100 35,743
eGain Communications Corporation + 200 92
Embarcadero Technologies, Inc. + 1,100 7,700
eMerge Interactive, Inc. (Class A) + 200 154
Encysive Pharmaceuticals Inc. + 300 1,440
Engage, Inc. + 1,100 18
Entrust Technologies Inc. + 300 882
E.piphany, Inc. + 4,650 23,762
ePresence, Inc. + 200 486
eResearch Technology, Inc. + 1,100 24,376
Euronet Worldwide, Inc. + 1,300 14,053
Exchange Application, Inc. + 13 0
Exelixis, Inc. + 2,900 20,126
Exponent, Inc. + 1,300 20,150
Exult Inc. + 6,700 57,419
F5 Networks, Inc. + 1,400 23,590
FTI Consulting, Inc. + 1,050 26,219
FactSet Research Systems Inc. 1,700 74,885
Factual Data Corp. + 1,300 22,620
Falcon Products, Inc. + 300 1,269
FalconStor Software, Inc. + 1,400 9,366
Fargo Electronics + 600 5,838
Federal Agricultural Mortgage Corporation (Class A) + 900 15,030
Fidelity National Information Solutions, Inc. + 2,700 70,416
FileNET Corporation + 2,700 48,708
FirePond, Inc. + 30 97
Forrester Research, Inc. + 1,100 17,996
Franklin Covey Co. + 800 1,400
FreeMarkets, Inc. + 2,500 17,400
Friedman, Billings, Ramsey Group, Inc. (Class A) 5,760 77,184
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Business Services G & K Services, Inc. (Class A) 1,800 $53,280
(continued) GRIC Communications, Inc. + 100 389
GTECH Holdings Corporation 2,800 105,419
GTSI Corp. + 1,700 14,790
Gaiam, Inc. + 460 2,737
Gartner Group, Inc. (Class B) + 2,200 16,500
Genaissance Pharmaceuticals, Inc. + 900 1,404
Genencor International Inc. + 1,600 26,352
Gentiva Health Services, Inc. + 1,300 11,700
Genuity Inc. (Class A) + 1,190 12
Geoworks Corporation + 200 22
Gevity HR, Inc. 500 5,910
Global Imaging Systems, Inc. + 2,100 48,636
Global Payments Inc. 1,860 66,029
Grey Global Group Inc. 31 23,948
Hall, Kinion & Associates, Inc. + 600 1,644
Harris Interactive Inc. + 4,900 32,291
Heidrick & Struggles International, Inc. + 1,300 16,406
Hewitt Associates, Inc. (Class A) + 1,100 25,905
High Speed Access Corp. + 600 87
Hyperion Solutions Corporation + 1,900 64,143
ICOS Corporation + 3,200 117,599
ICT Group, Inc. + 600 6,276
IDT Corporation + 1,300 23,270
IDX Systems Corporation + 1,400 21,728
ITT Educational Services, Inc. + 2,300 67,275
Identix Incorporated + 4,500 28,575
iGATE Capital Corporation + 2,100 7,287
I-many, Inc. + 2,800 2,828
The Immune Response Corporation + 350 1,099
Indus International, Inc. + 1,400 2,813
InFocus Corporation + 2,400 11,328
Infonet Services Corporation (Class B) + 7,300 11,607
Informatica Corporation + 3,200 22,112
Information Architects Corp. + 25 14
Information Resources, Inc. + 1,500 5,925
Inforte Corp. + 600 4,728
InfoSpace, Inc. + 1,240 16,827
infoUSA Inc. + 500 4,050
Innovative Solutions and Support, Inc. + 1,700 12,684
Insteel Industries, Inc. + 600 372
InsWeb Corporation + 83 394
Interactive Intelligence, Inc. + 600 2,262
The InterCept Group, Inc. + 1,800 15,048
Interliant Inc. + 300 2
Internap Network Services Corporation + 18,200 18,564
Internet Pictures Corporation + 80 336
Internet Security Systems, Inc. + 2,200 31,878
Interwoven, Inc. + 4,900 10,878
Intrado Inc. + 800 12,632
Intrusion.com, Inc. + 100 73
Invitrogen Corporation + 2,500 95,925
Iron Mountain Incorporated + 4,300 159,486
iVillage Inc. + 200 296
J.D. Edwards & Company + 7,500 107,475
JDA Software Group, Inc. + 1,400 15,666
Jack Henry & Associates, Inc. 4,000 71,160
Jacobs Engineering Group Inc. + 2,500 105,374
John H. Harland Company 1,300 34,008
Jupitermedia Corporation + 200 800
Kana Software, Inc. + 1,121 3,397
Keane, Inc. + 4,636 63,189
The Keith Companies, Inc. + 100 999
Kelly Services, Inc. (Class A) 1,600 37,520
Keynote Systems, Inc. + 500 5,240
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Business Services kforce.com, Inc. + 1,600 $7,728
(continued) Kinder Morgan Management, LLC + 2,248 84,210
Korn/Ferry International + 1,400 11,340
Kroll Inc. + 2,809 76,012
Kronos, Inc. + 1,050 53,351
Labor Ready, Inc. + 2,400 17,208
Lamar Advertising Company + 5,047 177,704
LandAmerica Financial Group, Inc. 1,100 52,250
Layne Christensen Company + 400 3,228
Learning Tree International, Inc. + 900 14,067
Legato Systems, Inc. + 5,100 42,789
LendingTree, Inc. + 1,100 26,928
Level 8 Systems, Inc. + 100 28
Lightbridge, Inc. + 2,219 19,438
Lightspan Inc. + 6,700 4,543
Lionbridge Technologies, Inc. + 4,100 20,869
LookSmart, Ltd. + 5,000 14,150
Loudeye Technologies, Inc. + 300 240
Luminex Corporation + 1,200 6,192
MAXIMUS, Inc. + 900 24,867
META Group, Inc. + 100 425
MPS Group, Inc. + 2,600 17,888
MPW Industrial Services Group, Inc. + 800 1,600
MRO Software, Inc. + 600 5,178
Macrovision Corporation + 2,000 39,840
Manhattan Associates, Inc. + 1,400 36,358
Manpower Inc. 3,500 129,814
Manugistics Group, Inc. + 3,400 13,974
MapInfo Corporation + 800 5,704
Marimba, Inc. + 200 582
MarketWatch.com, Inc. + 900 7,524
Matria Healthcare, Inc. + 400 7,052
MatrixOne, Inc. + 2,300 13,202
Maxygen Inc. + 1,600 17,552
Mechanical Technology Incorporated + 4,100 12,710
MemberWorks Incorporated + 600 11,850
Mentor Corporation 2,800 54,264
Mentor Graphics Corporation + 2,600 37,648
Mercator Software, Inc. + 300 447
Mercury Computer Systems, Inc. + 1,400 25,424
Merge Technologies Incorporated + 1,800 23,490
MetaSolv, Inc. + 1,900 3,724
Metro One Telecommunications, Inc. + 3,700 19,092
MicroStrategy Incorporated (Class A) + 490 17,851
Microvision, Inc. + 3,200 19,840
Millennium Cell Inc. + 3,700 6,734
Miravant Medical Technologies + 2,800 3,080
Modem Media Inc. + 300 1,194
Moldflow Corporation + 400 3,584
NCO Group, Inc. + 1,300 23,283
NDCHealth Corporation 1,700 31,195
NEON Systems, Inc. + 100 321
NMS Communications Corporation + 1,400 2,759
NMT Medical, Inc. + 900 3,573
NYFIX, Inc. + 1,900 12,065
NaPro Bio Therapeutics, Inc. + 9,100 13,650
National Instruments Corporation + 2,400 90,671
National Processing, Inc. + 2,100 33,768
The Nautilus Group, Inc. 1,600 19,840
Navigant Consulting, Inc. + 700 8,295
Neoforma, Inc. + 220 2,402
NeoRx Corporation + 200 672
Net Perceptions, Inc. + 400 640
netGuru, Inc. + 100 126
NetIQ Corporation + 2,196 33,950
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Business Services NetManage, Inc. + 57 $170
(continued) NetRatings, Inc. + 500 4,570
NetScout Systems, Inc. + 200 1,074
NetScreen Technologies, Inc. + 500 11,275
NetSolve, Incorporated + 2,000 16,700
Network Associates, Inc. + 7,177 91,004
New Century Equity Holdings Corp. + 200 66
The New Dun & Bradstreet Corporation + 3,400 139,739
New England Business Services, Inc. 400 12,000
New Horizons Worldwide, Inc. + 400 1,712
Newcastle Investment Corporation 2,400 46,992
Novadigm, Inc. + 1,000 2,590
Nuance Communications Inc. + 1,700 9,180
ONYX Software Corporation + 2,600 2,522
OPNET Technologies, Inc. + 100 1,219
Oak Technology, Inc. + 2,200 13,662
On Assignment, Inc. + 4,900 19,600
OneSource Information Services, Inc. + 1,900 14,174
Onvia.com, Inc. 60 214
Option Care, Inc. + 1,025 11,818
Orbital Sciences Corporation + 2,200 16,060
Orchid Biosciences + 2,200 2,640
Overland Storage, Inc. + 1,400 28,476
Overture Services, Inc. + 2,700 48,951
PC-Tel, Inc. + 1,000 11,860
PDI, Inc. + 700 7,112
PEC Solutions, Inc. + 600 9,660
PLATO Learning, Inc. + 1,700 9,775
PRG-Schultz International, Inc. + 5,800 34,220
Packeteer, Inc. + 1,500 23,355
Pac-West Telecomm, Inc. + 300 210
Paradigm Genetics, Inc. + 1,300 1,846
Paxar Corporation + 1,700 18,700
Pegasus Systems, Inc. + 2,300 37,375
Pegasystems Inc. + 500 3,685
Performance Food Group Company + 2,300 85,100
Perot Systems Corporation (Class A) + 4,100 46,576
Per-Se Technologies, Inc. + 1,500 16,845
Persistence Software, Inc. + 10 37
Phoenix Technologies Ltd. + 4,100 23,165
Pixar, Inc. + 3,100 188,603
Planar Systems Inc. + 700 13,692
Polycom, Inc. + 3,729 51,684
Pomeroy Computer Resources, Inc. + 2,300 25,438
Portal Software, Inc. + 7,000 14,000
Pre-Paid Legal Services, Inc. + 1,100 26,983
Priceline.com Incorporated + 2,233 50,004
Prime Medical Services, Inc. + 900 4,230
Primus Knowledge Solutions, Inc. + 200 260
Priority Healthcare Corporation (Class B) + 3,300 61,215
Progress Software Corporation + 2,700 55,971
ProQuest Company + 1,000 25,800
ProsoftTraining.com + 200 84
Protection One, Inc. + 5,000 4,900
Puma Technology, Inc. + 1,800 6,120
QAD Inc. + 1,700 12,614
QRS Corporation + 3,700 19,610
Quality Systems, Inc. + 900 24,741
Quest Software, Inc. + 3,600 42,840
Quixote Corporation 300 7,659
Quotesith.com, Inc. + 366 1,830
R.H. Donnelley Corporation + 1,400 51,058
RPC, Inc. 1,400 15,400
RSA Security Inc. + 1,100 11,825
Radiant Systems, Inc. + 400 2,696
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Business Services RadiSys Corporation + 700 $9,240
(continued) RealNetworks, Inc. + 6,300 42,714
Red Hat, Inc. + 8,700 65,859
Redback Networks Inc. + 6,600 5,940
Register.com, Inc. + 1,600 9,376
RemedyTemp, Inc. (Class A) + 400 3,708
Renaissance Learning, Inc. + 1,700 37,230
Republic Services, Inc. (Class A) + 6,700 151,888
Resources Connection, Inc. + 1,900 45,334
Retek Inc. + 1,900 12,160
Reynolds & Reynolds Company (Class A) 3,100 88,536
Rigel Pharmaceuticals, Inc. + 265 2,425
Right Management Consultants, Inc. + 1,075 13,599
Roto-Rooter, Inc. 500 19,070
Rural Cellular Corporation (Class A) + 400 1,680
SAVVIS Communications Corporation + 600 522
SBS Technologies, Inc. + 100 983
SEACOR SMIT Inc. + 1,000 36,490
SERENA Software, Inc. + 1,900 39,672
SITEL Corporation + 3,800 5,890
SM&A + 2,300 25,990
SOURCECORP, Incorporated + 1,200 25,920
SPAR Group, Inc. + 1,400 6,944
SPSS Inc. + 709 11,869
SS&C Technologies, Inc. + 100 1,570
Saba Software, Inc. + 875 3,981
SafeNet, Inc. + 510 14,270
Sanchez Computer Associates, Inc. + 200 1,040
Sapient Corporation + 5,900 16,343
Scientific Learning Corporation + 100 425
SciQuest, Inc. + 26 100
SeaChange International, Inc. + 1,300 12,402
Secure Computing Corporation + 1,900 16,587
SeeBeyond Technology Corporation + 3,800 8,778
Selectica, Inc. + 3,200 10,144
Sequenom Inc. + 2,000 5,440
The ServiceMaster Company 12,900 138,029
Sirius Satellite Radio Inc. + 53,800 90,922
SmartServ Online, Inc. + 100 48
Sonic Foundry, Inc. + 300 294
SonicWALL, Inc. + 2,400 11,520
Sonus Networks, Inc. + 10,900 54,827
Spartech Corporation 600 12,726
SpeechWorks International Inc. + 1,300 6,110
Spherion Corporation + 3,000 20,850
SportsLine USA, Inc. + 200 419
The Standard Register Company 1,400 23,072
StarTek, Inc. + 100 2,630
Stericycle, Inc. + 2,500 96,200
Storage Computer Corporation + 100 75
Stratasys, Inc. + 700 24,619
Strayer Education, Inc. 800 63,560
Switchboard Incorporated + 2,200 7,920
Sycamore Networks, Inc. + 10,900 41,747
Sykes Enterprises, Incorporated + 2,000 9,780
Sylvan Learning System, Inc. + 2,200 50,248
Symyx Technologies + 1,600 26,112
Synopsys, Inc. + 3,435 212,455
Synplicity, Inc. + 1,100 5,753
Syntel, Inc. + 800 12,584
Sypris Solutions, Inc. 600 6,198
TALX Corporation 1,455 32,868
TETRA Technologies, Inc. + 1,100 32,615
TIBCO Software Inc. + 8,200 41,738
TRC Companies, Inc. + 600 8,856
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Business Services Take-Two Interactive Software, Inc. + 2,700 $76,518
(concluded) Technology Solutions Company + 300 300
TeleTech Holdings, Inc. + 3,700 15,651
Telik, Inc. + 1,800 28,926
TenFold Corporation + 200 454
TeraForce Technology Corporation + 600 102
Tetra Tech, Inc. + 3,925 67,235
Tier Technologies, Inc. (Class B) + 900 6,975
Tradestation Group Inc. + 3,300 33,858
Transaction Systems Architects, Inc. (Class A) + 2,200 19,712
Trident Microsystems, Inc.+ 2,500 22,425
The TriZetto Group, Inc. + 800 4,832
Tularik Inc. + 1,400 13,916
UNOVA, Inc. + 2,900 32,190
URS Corporation + 1,500 29,190
Universal Access Global Holdings Inc. + 12,900 5,418
Universal Electronics Inc. + 600 7,608
VA Linux Systems, Inc. + 8,700 18,792
VASCO Data Security International, Inc. + 200 238
V.I. Technologies, Inc. + 5,036 12,338
VIA NET.WORKS, Inc. + 400 380
ValueClick, Inc. + 6,177 37,247
Vastera, Inc. + 800 4,776
Ventiv Health, Inc. + 2,600 10,663
Verint Systems Inc. + 1,900 48,279
VeriSign, Inc. + 12,158 168,145
Verisity Ltd. + 1,300 15,522
Verity, Inc. + 2,100 26,586
Versata, Inc. + 50 88
Vertel Corporation + 300 27
Verticalnet, Inc. + 460 718
Viad Corp. 4,100 91,799
The viaLink Company + 200 26
Viewlocity, Inc. + 30 11
Viewpoint Corporation + 2,300 2,599
Vignette Corporation + 12,300 25,584
Viisage Technology, Inc. + 3,900 19,968
VitalWorks Inc. + 2,100 8,295
Volt Information Sciences, Inc. + 600 8,190
Wackenhut Corrections Corporation + 1,000 13,710
Waste Connections, Inc. + 1,700 59,585
WatchGuard Technologies, Inc. + 1,300 5,980
Watson Wyatt & Company Holdings + 500 11,590
Wave Systems Corp. (Class A) + 2,000 1,760
WebEx Communications, Inc. + 2,000 27,900
WebMD Corporation + 15,500 167,865
webMethods, Inc. + 2,900 23,577
Websense, Inc. + 1,600 25,056
Westaff, Inc. 500 1,115
Wind River Systems, Inc. + 4,300 16,383
Wireless Facilities, Inc. + 1,900 22,610
Witness Systems, Inc. + 1,100 5,687
WorldGate Communications, Inc. + 200 68
Wynn Resorts, Limited + 400 7,076
Xybernaut Corporation + 2,600 1,508
ZixIt Corporation + 700 2,639
-------------
12,162,248
Chemicals - 1.4% A. Schulman, Inc. 2,300 36,938
AEP Industries Inc. + 400 2,956
AMCOL International Corporation 200 1,600
Aceto Corporation 1,600 29,760
Airgas, Inc. 3,300 55,275
Albemarle Corp. 1,700 47,549
Arch Chemicals, Inc. 400 7,640
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Chemicals Bio-Rad Laboratories, Inc. (Class A) + 1,300 $71,955
(concluded) Brady Corporation (Class A) 900 30,015
Cabot Corporation 2,600 74,620
Calgon Carbon Corporation 1,900 10,925
Cambrex Corporation 1,100 25,322
Celgene Corporation + 3,500 106,400
Crompton Corporation 4,900 34,545
Cytec Industries Inc. + 1,800 60,840
Entegris Inc. + 2,000 26,880
Ethyl Corporation + 120 1,194
Ferro Corporation 1,800 40,554
Foamex International Inc. + 5,500 16,830
General Chemical Group Inc. + 4,300 860
Georgia Gulf Corporation 1,600 31,680
Gundle/SLT Environmental, Inc. + 600 8,172
H.B. Fuller Company 1,200 26,424
Hawkins, Inc. 300 3,006
IMC Global Inc. 7,800 52,338
KMG Chemicals, Inc. 550 1,535
Landec Corporation + 3,700 13,505
The Lubrizol Corporation 2,400 74,376
Lyondell Chemical Company 7,400 100,122
MacDermid, Inc. 1,200 31,560
Mace Security International, Inc. + 450 567
Millennium Chemicals Inc. 3,000 28,530
OM Group, Inc. 2,600 38,298
OXiGENE, Inc. + 2,000 19,780
Olin Corporation 1,392 23,803
Omnova Solutions Inc. + 1,700 6,868
PolyOne Corporation 4,000 17,800
Quaker Chemical Corporation 400 10,020
RPM, Inc. 4,600 63,250
Rogers Corporation + 600 19,980
Rollins, Inc. 2,000 37,700
Schawk, Inc. 1,100 11,528
Solutia Inc. 4,500 9,810
Stepan Company 400 9,040
SurModics, Inc. + 1,000 30,500
Techne Corporation + 2,000 60,680
Terra Nitrogen Company, LP 2,900 14,790
Tor Minerals International, Inc. + 1,300 3,887
Tredegar Corporation 900 13,491
Trex Company, Inc. + 600 23,550
Twinlab Corporation + 400 84
The Valspar Corporation 2,300 97,106
WD-40 Company 1,700 48,535
W.R. Grace & Co. + 500 2,205
Wellman, Inc. 1,500 16,800
-------------
1,633,978
Commercial Services - 0.0% Birman Managed Care, Inc. + 11,900 1
Lucor, Inc. (Class A) + 35 0
VSI Holdings, Inc. + 500 0
-------------
1
Computers - 0.0% Gadzoox Networks, Inc. + 500 0
-------------
Construction - 1.8% Ablest, Inc. + 400 2,068
Advanced Lighting Technologies, Inc. + 200 17
American Woodmark Corporation 400 18,624
Ameron International Corporation 400 13,908
Apogee Enterprises, Inc. 4,000 36,080
Armstrong Holdings, Inc. + 1,600 3,152
Beazer Homes USA, Inc. + 888 74,148
Brookfield Homes Corporation 100 1,542
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Construction Building Materials Holding Corporation 2,200 $32,582
(concluded) CERADYNE INC + 1,400 26,040
Capital Pacific Holdings, Inc. + 600 2,520
Centex Construction Products, Inc. 400 16,036
Clayton Homes, Inc. 8,100 101,655
D.R. Horton, Inc. 6,382 179,334
Dominion Homes, Inc. + 1,400 33,390
Dycom Industries, Inc. + 933 15,208
EMCOR Group, Inc. + 700 34,552
ElkCorp 1,200 27,000
Florida Rock Industries, Inc. 1,400 57,792
Granite Construction Incorporated 1,450 27,782
Hovnanian Enterprises, Inc. (Class A) + 1,600 94,320
Insituform Technologies, Inc. (Class A) + 1,300 22,984
Integrated Electrical Services, Inc. + 100 725
International Aluminum Corporation 800 17,480
LSI industries Inc. 600 6,660
The L.S. Starrett Company (Class A) 300 13
Lafarge Corporation 3,500 108,150
Lennar Corporation (Class A) 3,640 260,260
M/I Schottenstein Homes, Inc. 1,100 46,948
Martin Marietta Materials, Inc. 1,900 63,859
MasTec, Inc. + 1,900 10,944
NCI Building Systems, Inc. + 900 15,030
NVR, Inc. + 300 123,300
Noland Company 200 7,122
Palm Harbor Homes, Inc. + 700 13,258
Patriot Transportation Holding, Inc. + 100 2,800
Performance Technologies, Incorporated + 500 3,650
Perini Corporation + 900 7,155
Quanta Services, Inc. + 2,400 17,040
RMH Teleservices, Inc. + 2,200 9,526
The Ryland Group, Inc. 1,600 111,040
SBA Communications Corporation + 2,200 6,688
Simpson Manufacturing Co., Inc. + 1,000 36,600
Standard Pacific Corp. 1,800 59,688
Technical Olympic USA, Inc. + 1,400 33,082
Texas Industries, Inc. 800 19,040
Toll Brothers, Inc. + 3,200 90,592
U.S. Concrete, Inc. + 1,400 5,376
USG Corporation + 2,300 43,700
United Mobile Homes, Inc. 300 4,548
WCI Communities, Inc. + 3,300 63,459
WESCO International, Inc. 1,600 9,600
Walter Industries, Inc. 1,600 18,800
West Corporation + 2,600 69,290
Westell Technologies, Inc. (Class A)+ 3,600 31,140
Wilsons The Leather Experts Inc. + 1,000 7,210
The Yankee Candle Company, Inc. + 1,700 39,474
-------------
2,183,981
Consumer Durables - 1.0% American Technology Corporation + 1,700 10,846
Applica Incorporated 1,100 9,350
Bassett Furniture Industries, Incorporated 200 2,656
Bush Industries, Inc. (Class A) 500 1,500
Champion Enterprises, Inc. + 2,700 13,986
Chromcraft Revington, Inc. + 300 3,714
CompX International Inc. 300 1,674
Ethan Allen Interiors Inc. 1,900 66,804
Flexsteel Industries, Inc. 200 3,298
Furniture Brands International, Inc. + 2,600 67,860
Gemstar-TV Guide International, Inc. + 20,800 105,872
The Genlyte Group Incorporated + 1,300 45,461
Griffon Corporation + 2,020 32,320
HMI Industries Inc. + 1,400 770
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Consumer Durables Haverty Furniture Companies, Inc. 1,100 $19,250
(concluded) Helen of Troy Limited + 3,000 45,480
Hillenbrand Industries, Inc. 2,500 126,125
Interface, Inc. (Class A) 3,400 15,776
Kimball International (Class B) 1,900 29,640
Koss Corporation 200 3,680
La-Z-Boy Inc. 2,500 55,950
Lifetime Hoan Corporation 400 3,048
Mac-Gray Corporation + 500 1,985
Mohawk Industries, Inc. + 2,964 164,591
National Presto Industries, Inc. 300 9,480
Rent A Center Inc. + 1,800 136,458
Restoration Hardware, Inc. + 1,500 6,750
Rockford Corporation + 1,700 9,673
The Rowe Companies + 500 960
Salton, Inc. + 600 5,412
Select Comfort Corporation + 2,600 42,588
Skyline Corporation 100 3,000
Stanley Furniture Company, Inc. 300 8,223
Sturm, Ruger & Company, Inc. 1,300 13,000
The Toro Company 1,200 47,700
Thomas Industries Inc. 800 21,640
United Rentals, Inc. + 2,800 38,892
Virco Mfg. Corporation 642 4,083
Water Pik Technologies, Inc. + 600 4,662
Wickes Inc. + 300 348
-------------
1,184,505
Containers - 0.3% Crown Holdings, Inc. + 6,600 47,124
Graphic Packaging International Corp. + 1,300 5,863
Greif Bros. Corporation (Class A) 1,000 23,000
Mobile Mini, Inc. + 1,100 17,963
Owens-Illinois, Inc. + 7,500 103,275
Silgan Holdings Inc. + 900 28,152
Sonoco Products Company 4,400 105,688
-------------
331,065
Diversified Financial Services - 0.0% Bingham Financial Services Corporation + 700 0
NewState Holdings, Inc. + 700 0
-------------
0
Domestic Oil - 2.3% AmeriVest Properties Inc. 4,400 27,544
CONSOL Energy Inc. 3,200 72,768
Cal Dive International, Inc. + 2,900 63,220
Callon Petroleum Company + 500 3,560
Carrizo Oil & Gas, Inc. + 3,200 19,520
Chesapeake Energy Corporation 10,900 110,090
Clayton Williams Energy, Inc. + 500 9,230
Comstock Resources, Inc. + 3,400 46,512
Diamond Offshore Drilling, Inc. 6,700 140,633
EXCO Resources, Inc. + 1,700 30,447
Encore Acquisition Company + 400 7,660
Energy Partners, Ltd. + 1,500 17,325
Frontier Oil Corporation 1,800 27,360
Getty Realty Corporation 900 20,088
Global Industries, Ltd. + 9,000 43,380
Gulf Island Fabrication, Inc. + 700 11,921
GulfMark Offshore, Inc. + 2,300 38,824
Holly Corporation 600 16,560
The Houston Exploration Company + 1,000 34,700
KCS Energy, Inc. + 1,400 7,546
MATRIX SERVICES + 1,800 30,870
Magnum Hunter Resources, Inc. + 4,250 33,958
McMoRan Exploration Co. + 600 6,684
The Meridian Resource Corporation + 5,500 26,015
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Domestic Oil Murphy Oil Corporation 4,200 $220,920
(concluded) National-Oilwell, Inc. + 3,500 77,000
Newfield Exploration Company + 2,799 105,102
Nuevo Energy Company + 2,300 40,135
Patina Oil & Gas Corporation 1,606 51,633
Patterson-UTI Energy, Inc. + 3,700 119,880
PetroQuest Energy, Inc. + 10,200 23,970
Pioneer Natural Resources Company + 5,400 140,940
Plains Exploration & Production Company + 1,825 19,728
Pogo Producing Company 2,800 119,700
Pride International, Inc. + 6,200 116,684
Quicksilver Resources Inc. + 800 19,160
Remington Oil & Gas Corporation + 1,800 33,084
Spinnaker Exploration Company + 1,300 34,060
St. Mary Land & Exploration Company 2,200 60,060
Stone Energy Corporation + 1,079 45,232
Superior Energy Services, Inc. + 1,700 16,116
Syntroleum Corporation + 1,700 4,522
TEPPCO Partners, LP 2,300 84,180
Tesoro Petroleum Corporation + 4,000 27,520
TransMontaigne Inc. + 2,000 12,960
Ultra Petroleum Corp. + 1,800 23,238
Universal Compression Holdings, Inc. + 1,500 31,290
Valero L.P. 1,200 52,152
Valley National Gases Incorporated + 500 2,975
Varco International, Inc. + 4,600 90,160
Vintage Petroleum, Inc. 2,600 29,328
W-H Energy Services, Inc. + 2,500 48,700
Westport Resources Corporation + 3,382 76,941
XTO Energy, Inc. 7,500 150,825
-------------
2,724,610
Drugs & Medicine - 10.4% 1-800 CONTACTS, INC. + 600 14,688
ABIOMED, Inc. + 1,100 6,017
ALARIS Medical, Inc. + 2,400 31,080
ARIAD Pharmaceuticals, Inc. + 1,900 8,531
ATS Medical, Inc. + 900 3,501
AVANIR Pharmaceuticals (Class A) + 3,000 5,250
AVANT Immunotherapeutics, Inc. + 2,900 8,642
AVI BioPharma, Inc. + 1,500 9,195
aaiPharma Inc. + 1,400 27,832
Abgenix, Inc. + 3,500 36,715
Able Laboratories, Inc. + 600 11,880
Accredo Health, Incorporated + 1,603 34,945
Aclara Biosciences Inc. + 1,400 5,922
Advanced Neuromodulation Systems, Inc. + 600 31,062
AdvancePCS + 4,100 156,743
Air Methods Corporation + 1,700 13,175
Albany Molecular Research, Inc. + 1,300 19,630
Alexion Pharmaceuticals, Inc. + 1,700 28,985
Align Technology, Inc. + 1,900 23,845
Alkermes, Inc. + 3,800 40,850
Alliance Imaging, Inc. + 1,700 7,480
Allos Therapeutics Inc. + 5,800 17,458
Allscripts Healthcare Solutions, Inc. + 800 2,936
Alpharma, Inc. (Class A) 2,000 43,200
Amedisys, Inc. + 1,500 8,475
American Healthways, Inc. + 1,300 46,956
American Medical Systems Holdings, Inc. + 1,600 26,992
AmSurg Corp. + 1,800 54,900
Amylin Pharmaceuticals, Inc. + 4,700 102,883
Andrx Group + 3,700 73,630
Antigenics Inc. + 3,600 41,472
Aphton Corporation + 1,200 9,888
Apogent Technologies Inc. + 4,600 92,000
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine Apria Healthcare Group Inc. + 2,500 $62,200
(continued) Aradigm Corporation + 8,200 14,760
ArQule, Inc. + 1,200 5,040
Array BioPharma Inc. + 1,400 4,410
Arrow International, Inc. 600 26,490
ArthroCare Corporation + 1,600 26,816
Aspect Medical Systems, Inc. + 700 5,166
AtheroGenics, Inc. + 400 5,972
Atrix Laboratories, Inc. + 1,700 37,383
Avigen, Inc. + 1,000 3,460
Barr Laboratories, Inc. + 2,679 175,475
Beckman Coulter Inc. 2,500 101,600
Berkshire Bancorp Inc. 100 3,545
Beverly Enterprises, Inc. + 5,200 18,200
BioCryst Pharmaceuticals, Inc. + 200 728
BioMarin Pharmaceutical Inc. + 2,200 21,472
Biopure Corporation + 2,200 13,442
Biosite Diagnostics Incorporated + 1,100 52,910
BioSource International, Inc. + 100 690
BioSpecifics Technologies Corp. + 1,000 990
BioSphere Medical Inc. + 900 5,400
Bone Care International, Inc. + 700 9,730
Bradley Pharmaceuticals, Inc. + 500 8,250
BriteSmile, Inc. + 100 2,560
CIMA Labs Inc. + 900 24,201
CNS, Inc. + 2,400 20,400
CONMED Corporation + 1,650 30,129
CV Therapeutics, Inc. + 1,400 41,524
CYTOGEN Corporation + 330 2,749
Cardiac Science, Inc. + 3,300 8,844
CardioDynamics International Corporation + 1,800 6,138
CardioTech International, Inc. + 1,476 4,354
Caremark Rx, Inc. + 12,300 315,864
Cell Therapeutics, Inc. + 2,000 19,460
Cephalon, Inc. + 2,800 115,248
Cerus Corporation + 800 6,024
Charles River Laboratories International, Inc. + 1,900 61,142
Chattem, Inc. + 1,700 31,960
Cholestech Corporation + 700 6,909
ChromaVision Medical Systems, Inc. + 100 158
Columbia Laboratories, Inc. + 1,700 19,125
Community Health Care + 3,900 75,231
Computerized Thermal Imaging, Inc. + 3,300 1,452
Conceptus, Inc. + 1,000 14,050
Conventry Health Care Inc. + 2,800 129,248
Cooper Companies, Inc. 1,200 41,724
Corautus Genetics Inc. + 142 419
Corixa Corporation + 4,000 30,920
Corvas International, Inc. + 3,400 9,180
CorVel Corporation + 100 3,600
Covance Inc. + 2,700 48,870
Cubist Pharmaceuticals, Inc. + 1,400 14,924
Curative Health Services, Inc. + 500 8,500
Curis, Inc. + 2,300 8,395
Cytyc Corporation + 4,500 47,340
D & K Healthcare Resources, Inc. 900 14,526
DENTSPLY International Inc. 4,150 169,735
DRS Technologies, Inc. + 1,100 30,712
DUSA Pharmaceuticals, Inc. + 600 1,506
Dade Behring Holdings Inc. + 1,300 29,393
Datascope Corp. 1,600 47,248
DaVita, Inc. + 3,600 96,408
Daxor Corporation + 900 14,040
Deltagen, Inc. + 1,400 182
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine Dendreon Corporation + 3,300 $19,602
(continued) Diagnostic Products Corporation 1,100 45,155
Diametrics Medical, Inc. + 200 238
Digene Corporation + 900 24,507
Discovery Laboratories, Inc. + 3,800 24,396
Durect Corporation + 800 1,928
Dynacq International, Inc. + 700 11,760
EPIX Medical, Inc. + 700 9,905
E-Z-EM, Inc. 1,400 11,760
Edwards Lifesciences Corporation + 2,300 73,922
Emisphere Technologies, Inc. + 2,300 8,280
Endo Pharmaceuticals Holdings, Inc. + 6,500 109,980
Endocardial Solutions, Inc. + 1,000 5,990
Endologix, Inc. + 200 684
EntreMed, Inc. + 4,300 17,845
Enzo Biochem, Inc. + 641 13,794
Enzon, Inc. + 2,100 26,292
Eon Labs, Inc. + 2,200 77,330
Exact Sciences Corporation + 800 8,768
Express Scripts, Inc. (Class A) + 3,800 259,616
FONAR CORP + 18,400 23,920
First Health Group Corp. + 5,300 146,280
First Horizon Pharmaceutical Corporation + 1,750 6,913
Genaera Corporation + 7,300 12,118
Gene Logic Inc. + 1,500 8,955
Genelabs Technologies, Inc. + 2,000 3,000
Genentech, Inc. + 11,200 807,744
Genome Therapeutics Corp. + 2,700 6,885
Genta Incorporated + 2,400 31,968
Genzyme Molecular Oncology + 700 1,645
Geron Corporation + 3,200 23,552
Gilead Sciences, Inc. + 8,600 477,988
GlycoGenesys, Inc. + 800 680
Guilford Pharmaceuticals Inc. + 4,600 20,884
HEICO Corporation (Class A) 100 1,220
Haemonetics Corporation + 1,200 22,440
Health Net Inc. + 5,300 174,635
Healthcare Services Group, Inc. + 400 5,652
HealthExtras, Inc. + 800 6,256
Hemispherx Biopharma, Inc. + 1,300 2,444
Henry Schein, Inc. + 2,000 104,680
Hi-Tech Pharmacal Co., Inc. + 750 30,503
Hollis-Eden Pharmaceuticals, Inc. + 1,800 22,734
Hologic, Inc. + 900 11,862
Human Genome Sciences, Inc. + 5,900 75,048
Hydron Technologies, Inc. + 2,900 1,537
ICN Pharmaceuticals, Inc. 3,900 65,364
IDEC Pharmaceuticals Corporation + 6,500 221,000
IDEXX Laboratories, Inc. + 2,400 80,496
I-FLOW CORP + 3,200 23,776
IGEN International, Inc. + 1,300 40,820
II-VI Incorporated + 1,300 30,004
ILEX Oncology, Inc. + 1,600 31,056
IMPATH Inc. + 1,200 16,968
INAMED Corporation + 1,200 64,428
I-STAT Corporation + 800 7,192
IVAX Corporation + 8,950 159,758
Imclone Systems + 4,221 133,468
Immucor, Inc. + 600 13,074
ImmunoGen, Inc. + 1,900 8,113
Immunomedics, Inc. + 2,400 15,144
Impax Laboratories, Inc. + 3,600 43,164
Incyte Genomics, Inc. + 3,400 15,776
Indevus Pharmaceuticals, Inc. + 2,000 12,480
Inkine Pharmaceutical Company, Inc. + 1,400 4,648
Insmed Incorporated + 4,200 11,298
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine Inspire Pharmaceuticals, Inc. + 1,500 $16,200
(continued) Integra LifeSciences Holdings + 1,400 36,932
InterMune Inc. + 1,500 24,165
Interpore International, Inc. + 2,500 31,700
IntraBiotics Pharmaceuticals, Inc. + 16 64
Introgen Therapeutics, Inc. + 4,100 22,345
Intuitive Surgical, Inc. + 1,500 11,370
Invacare Corp. 1,400 46,200
Inverness Medical Innovations, Inc. + 740 14,282
Isis Pharmaceuticals, Inc. + 5,100 27,030
K-V Pharmaceutical Company (Class A) + 1,200 33,360
Kendle International Inc. + 1,200 7,440
Kensey Nash Corporation + 1,600 41,600
Kyphon Inc. + 1,900 28,728
La Jolla Pharmaceutical Company + 2,000 6,540
Laboratory Corporation of America Holdings + 6,700 202,005
Landauer, Inc. 100 4,183
The Langer Biomechanics Group, Inc. + 300 945
Large Scale Biology Corp. + 1,000 1,000
LecTec Corporation + 800 304
Lexicon Genetics Incorporated + 2,100 14,091
Life Medical Sciences, Inc. + 8,500 4,590
Lifecore Biomedical, Inc. + 700 3,962
LifePoint Hospitals, Inc. + 2,400 50,256
Ligand Pharmaceuticals Incorporated (Class B) + 3,600 48,924
Lincare Holdings Inc. + 5,600 176,456
MGI Pharma, Inc. + 1,800 46,134
MIM Corporation + 1,100 7,183
MacroChem Corporation + 1,100 1,243
Magellan Health Services, Inc. + 1,400 63
Mannatech, Incorporated + 1,300 9,711
Martek Biosciences Corporation + 1,500 64,410
Maxim Pharmaceuticals, Inc. + 900 5,175
Medarex, Inc. + 3,600 23,724
MedCath Corporation + 1,300 7,605
The Med-Design Corporation + 600 2,952
Medical Action Industries Inc. + 2,000 32,660
The Medicines Company + 2,200 43,318
Medicis Pharmaceutical (Class A) 1,400 79,380
Medis Technologies Ltd. + 1,030 7,344
MedQuist Inc. + 1,000 20,240
Medwave, Inc. + 300 1,005
Meridian Bioscience, Inc. 700 6,377
Merit Medical Systems, Inc. + 713 14,246
Mid Atlantic Medical Services, Inc. + 2,400 125,520
Millennium Pharmaceuticals, Inc. + 11,973 188,335
Mine Safety Appliances Company 500 21,810
Molecular Devices Corporation + 1,000 15,910
Mylan Laboratories, Inc. 8,500 295,545
Myriad Genetics, Inc. + 1,300 17,693
NBTY Inc. + 4,200 88,452
NPS Pharmaceuticals, Inc. + 1,700 41,378
Nabi Biopharmaceuticals + 800 5,488
National Dentex Corporation + 100 2,045
National Health Realty, Inc. 500 7,995
National Healthcare Corporation + 400 7,872
Natrol, Inc. + 400 928
Natures Sunshine Products, Inc. 800 6,384
Nektar Therapeutics + 2,700 24,921
NeoPharm, Inc. + 786 10,886
Neose Technologies, Inc. + 1,100 11,011
Neurocrine Biosciences, Inc. + 1,600 79,904
Neurogen Corporation + 900 4,104
Northfield Laboratories Inc. + 1,900 14,630
Novavax, Inc. + 2,400 13,368
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine Noven Pharmaceuticals, Inc. + 2,300 $23,552
(continued) Nutraceutical International Corporation + 1,900 20,425
Nuvelo, Inc. + 1,064 2,117
OSI Pharmaceuticals, Inc. + 1,573 50,666
Oakley, Inc. + 2,500 29,425
Ocular Sciences, Inc. + 1,400 27,790
Omnicare, Inc. 5,000 168,950
Onyx Pharmaceuticals, Inc. + 2,300 28,359
OraSure Technologies, Inc. + 1,500 11,190
Orthodontic Centers of America, Inc. + 2,100 16,821
Ostex International, Inc. + 700 1,547
Owens & Minor, Inc. 1,600 35,760
Oxford Health Plans, Inc. + 3,900 163,917
PAREXEL International Corporation + 1,800 25,110
POZEN Inc. + 1,100 12,078
PRAECIS Pharmaceuticals Incorporated + 2,500 12,250
PSS World Medical, Inc. + 6,900 39,675
PacifiCare Health Systems, Inc. + 1,700 83,861
Pain Therapeutics, Inc. + 1,100 7,106
Patterson Dental Company + 3,700 167,906
Pediatrix Medical Group, Inc. + 1,200 42,780
Penwest Pharmaceuticals Co. + 600 14,622
Peregrine Pharmaceuticals, Inc. + 14,900 21,754
Perrigo Company 3,300 51,612
Pharmaceutical Product Development, Inc. + 2,800 80,444
Pharmaceutical Resources, Inc. + 1,500 72,990
Pharmacopeia, Inc. + 1,600 13,200
Pharmacyclics, Inc. + 2,500 11,850
Pharmos Corporation + 9,800 19,894
Physiometrix, Inc. + 100 138
PolyMedica Corporation 600 27,474
Progenics Pharmaceuticals, Inc. + 500 7,530
Protein Design Labs, Inc. + 4,100 57,318
Proterion Corporation + 4,600 2,300
Province Healthcare Company + 1,900 21,033
ProxyMed, Inc. + 300 3,873
Psychemedics Corporation 125 1,019
Q-Med, Inc. + 700 5,369
Radiologix, Inc. + 1,100 4,620
Regeneration Technologies, Inc. + 3,000 39,870
Regeneron Pharmaceuticals, Inc. + 2,100 33,075
RehabCare Group, Inc. + 800 11,720
Renal Care Group, Inc. + 2,500 88,025
Res-Care, Inc. + 1,200 5,484
ResMed Inc. + 1,700 66,640
Respironics, Inc. + 2,400 90,048
Rita Medical Systems, Inc. + 900 3,213
SICOR Inc. + 5,400 109,836
STAAR Surgical Company + 200 2,320
STERIS Corporation + 3,200 73,888
Sangamo Biosciences, Inc. + 1,300 3,705
SangStat Medical Corporation + 1,300 17,017
Savient Pharmaceuticals Inc. + 3,000 13,920
SciClone Pharmaceuticals, Inc. + 1,300 11,128
Select Medical Corporation + 1,400 34,762
Sepracor Inc. + 3,900 70,317
Serologicals Corporation + 1,200 16,356
Sierra Health Services, Inc. + 2,300 46,000
Sirna Therapeutics, Inc. + 133 1,172
Sola International Inc. + 1,000 17,400
SonoSite, Inc. + 700 13,965
Specialty Laboratories, Inc. + 900 9,225
Spectrum Pharmaceuticals Inc. + 16 75
Star Scientific, Inc. + 4,600 15,824
Sunrise Assisted Living, Inc. + 1,300 29,094
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Drugs & Medicine SuperGen, Inc. + 3,800 $20,520
(concluded) Sybron Dental Specialties, Inc. + 900 21,240
Synovis Life Technologies, Inc. + 1,400 27,636
Tanox, Inc. + 2,200 35,310
Targeted Genetics Corporation + 8,500 15,385
Third Wave Technologies + 1,900 8,550
Thoratec Laboratories Corporation + 2,500 37,250
Titan Pharmaceuticals, Inc. + 2,800 6,608
Transgenomic, Inc. + 900 1,710
Transkaryotic Therapies, Inc. + 2,500 28,850
Triad Hospitals, Inc. + 2,846 70,638
Trimeris, Inc. + 1,500 68,520
TriPath Imaging, Inc. + 1,600 10,928
Tripos, Inc. + 700 5,565
U.S. Oncology, Inc. + 7,200 53,208
U.S. Physical Therapy, Inc. + 600 7,668
USANA Health Sciences, Inc. + 900 39,789
United Therapeutics Corporation + 1,000 21,780
Universal Display Corporation + 1,100 9,812
Universal Health Services, Inc. (Class B) + 2,800 110,936
Urologix, Inc. + 700 1,799
Utah Medical Products, Inc. + 1,100 22,055
VISX, Incorporated + 2,300 39,905
VIVUS, Inc. + 200 1,028
Valentis, Inc. + 193 735
Varian Medical Systems, Inc. + 2,900 166,953
Vasomedical, Inc. + 2,300 2,760
VaxGen, Inc. + 3,500 18,130
Ventana Medical Systems, Inc. + 400 10,872
Ventas, Inc. 3,900 59,085
Vertex Pharmaceuticals Incorporated + 2,862 41,785
Viasys Healthcare Inc. + 300 6,210
Vical Incorporated + 1,000 4,350
Vicuron Pharmaceuticals Inc. + 900 12,762
Vion Pharmaceuticals, Inc. + 4,400 7,216
Viragen, Inc. + 13,900 3,336
ViroPharma Incorporated + 900 2,340
Vital Signs, Inc. 1,500 38,940
West Pharmaceutical Services, Inc. 700 17,150
Whitman Education Group, Inc. + 1,700 26,095
Women First HealthCare, Inc. + 1,200 1,272
Wright Medical Group, Inc. + 1,400 26,600
XOMA Ltd. + 1,000 5,330
Zila, Inc. + 7,300 20,995
Zoll Medical Corporation + 400 13,424
-------------
12,563,656
Electronics - 5.6% ADE Corporation + 700 6,006
ANADIGICS, Inc. + 2,200 7,238
APAC Customer Services Inc. + 2,000 5,100
ATMI, Inc. + 800 19,976
AVX Corporation 7,000 76,930
AXT, Inc. + 1,200 1,404
Acuity Brands, Inc. 800 14,536
Acxiom Corp. + 4,100 61,869
Advanced Fibre Communications, Inc. + 3,900 63,453
Advanced Power Technology, Inc. + 500 3,865
Agere Systems Inc. (Class A) + 78,400 182,672
Airnet Communications Corporation + 200 216
Allen Telecom Inc. + 1,500 24,780
Alliance Fiber Optic Products, Inc. + 1,400 1,120
Alliant Techsystems Inc. + 1,962 101,847
American Physicians Capital, Inc. + 400 9,700
American Technical Ceramics Corp. + 100 535
Amkor Technology, Inc. + 8,400 110,376
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Electronics Amphenol Corp. (Class A) + 2,200 $103,004
(continued) Amtech Systems, Inc. + 100 350
Anaren Microwave, Inc. + 1,200 11,244
Anixter International Inc. + 1,800 42,174
Applera Corporation - Celera Genomics Group + 2,700 27,864
Arris Group Inc. + 6,300 31,248
Arrow Electronics, Inc. + 4,600 70,104
Artisan Components, Inc. + 1,800 40,698
Aspect Communications Corporation + 2,600 10,062
AstroPower, Inc. + 1,250 4,113
Asyst Technologies, Inc. + 1,800 12,042
Atmel Corporation + 18,500 46,805
Audiovox Corporation (Class A) + 200 2,238
Avanex Corporation + 3,400 13,600
Avid Technology, Inc. + 1,500 52,605
Avnet, Inc. + 4,574 57,998
Aware, Inc. + 900 2,007
Axsys Technologies, Inc. + 100 964
BEI Technologies, Inc. 300 3,600
Badger Meter, Inc. 100 2,575
Bel Fuse Inc. (Class A) 900 18,450
Belden Inc. 1,200 19,068
Bell Microproducts Inc. + 1,000 4,270
Benchmark Electronics, Inc. + 1,200 36,912
Boston Acoustics, Inc. 200 1,932
Brooks Automation, Inc. + 2,196 24,903
Bruker Daltonics, Inc. + 2,200 11,726
C&D Technologies, Inc. 1,100 15,796
CCC Information Services Group Inc. + 1,267 18,372
C-COR.net Corp. + 1,800 8,820
CHRONIMED Inc. + 200 1,966
CMGI Inc. + 15,700 26,219
CTS Corporation 1,600 16,720
Cable Design Technology + 2,600 18,590
Cabot Microelectronics Corporation + 1,500 75,705
Cadence Design Systems, Inc. + 10,500 126,630
California Micro Devices Corporation + 2,000 4,300
Caliper Technologies Corp. + 1,300 5,915
Captaris Inc. + 200 684
Celeritek, Inc. + 500 3,660
Cepheid, Inc. + 1,600 7,904
Champion Industries, Inc. 700 2,121
Checkpoint Systems, Inc. + 2,100 29,715
ChipPAC, Inc. + 6,600 50,622
Cirrus Logic, Inc. + 4,100 16,482
Coherent, Inc. + 2,300 55,039
Cohu, Inc. 1,300 20,280
CommScope, Inc. + 2,500 23,750
Computer Network Technology Corporation + 1,500 12,150
Comtech Telecommunications Corp. + 1,000 28,190
Conexant Systems, Inc. + 12,900 64,500
Cox Radio, Inc. (Class A) + 1,600 36,976
Cree, Inc. + 3,400 55,352
Cubic Corporation 1,300 28,886
Cyberonics, Inc. + 1,900 40,869
Cymer, Inc. + 2,200 69,432
Cypress Semiconductor Corporation + 5,700 68,400
DSP Group, Inc. + 1,700 36,601
Dataram Corporation + 100 305
Daktronics, Inc. + 2,200 35,970
Dionex Corporation + 1,600 63,600
Ducommun Incorporated + 500 7,050
DuPont Photomasks, Inc. + 1,200 22,596
Dynamic Research Corporation + 1,400 21,350
EDO Corporation 1,200 21,240
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Electronics EMCORE Corporation + 1,900 $6,232
(continued) EMS Technologies, Inc. + 500 6,635
ESS Technology, Inc. + 2,300 22,425
Electro Scientific Industries, Inc. + 1,500 22,740
Electroglas, Inc. + 1,700 2,227
Electronics Boutique Holdings Corp. + 2,000 46,220
Electronics for Imaging, Inc. + 2,700 54,783
Emulex Corporation + 3,700 84,249
Energizer Holdings, Inc. + 4,000 125,600
Energy Conversion Devices, Inc. + 900 8,190
Engineered Support Systems, Inc. 1,387 58,046
Entrada Networks, Inc. + 25 7
Esterline Technologies Corporation + 400 6,964
Exar Corporation + 1,900 30,077
Excel Technology, Inc. + 100 2,283
FEI Company + 1,200 22,512
FLIR Systems, Inc. + 1,600 48,240
FSI International, Inc. + 5,400 21,060
Fairchild Semiconductor Corporation (Class A) + 4,000 51,160
FiberCore, Inc. + 2,500 550
FuelCell Energy, Inc. + 2,500 20,475
GTC Biotherapeutics, Inc. + 1,400 4,802
General Cable Corporation 1,600 8,640
Gerber Scientific, Inc. + 900 5,994
Getty Images, Inc. + 2,700 111,510
Glenayre Technologies, Inc. + 500 685
GlobespanVirata, Inc. + 6,318 52,124
Harman International Industries, Incorporated 1,600 126,624
Harmonic Inc. + 3,600 14,652
Harris Corporation 2,600 78,130
Harvard Bioscience, Inc. + 1,520 5,776
Hearst-Argyle Television, Inc. + 3,700 95,830
Herley Industries, Inc. + 1,350 22,923
hi/fn, inc. + 400 3,564
Hollywood Entertainment Corporation + 3,000 51,600
Hungarian Telephone and Cable Corp. + 600 5,490
Hutchinson Technology Incorporated + 1,800 59,202
IXYS Corporation + 200 1,594
Illumina, Inc. + 1,700 5,100
Integrated Circuit Systems, Inc. + 3,400 106,862
Integrated Silicon Solution, Inc. + 1,300 9,022
Interactive Data Corporation + 4,500 76,050
Interlink Electronics, Inc. + 100 611
Intermagnetics General Corporation + 1,702 33,768
International Rectifier Corp. + 2,400 64,368
Intersil Holding Corporation (Class A) + 5,396 143,588
Itron, Inc. + 1,200 25,872
Ixia + 2,100 13,503
JNI Corp. + 1,300 6,409
Keithley Instruments, Inc. 600 8,670
Kemet Corp. + 3,300 33,330
Kopin Corporation + 3,900 23,868
Kulicke and Soffa Industries + 2,400 15,336
LAM Research Corp. + 4,900 89,229
LCC International, Inc. (Class A) + 100 274
Lattice Semiconductor Corporation + 5,100 41,973
LeCroy Corporation + 500 4,830
LightPath Technologies, Inc. (Class A) + 100 301
Littelfuse Inc. + 600 13,416
Loral Space & Communications Ltd. + 6,070 18,514
MCK Communications, Inc. + 200 516
MEMC Electronic Materials, Inc. + 10,500 102,900
MKS Instruments, Inc. + 2,453 44,326
MRV Communications, Inc. + 5,587 11,300
MTS Systems Corporation 2,600 38,324
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Electronics M~WAVE, Inc. + 100 $77
(continued) Macromedia, Inc. + 2,860 60,174
Mattson Technology, Inc. + 1,800 5,562
Maxwell Technologies, Inc. + 400 2,304
Mestek, Inc. + 500 9,000
Methode Electronics (Class A) 2,100 22,575
Microsemi Corporation + 1,700 27,200
Microtune, Inc. + 5,400 17,280
Nanogen, Inc. + 3,300 9,702
Nanometrics Incorporated + 600 4,248
Nanophase Technologies Corporation + 600 3,048
NeoMagic Corporation + 1,600 2,480
Neoware Systems, Inc. + 700 10,738
Netopia, Inc. + 3,400 13,226
Netro Corporation + 1,999 5,757
New Focus, Inc. + 3,000 11,220
Newport Corporation + 1,700 25,160
North Coast Energy, Inc. + 500 4,640
Novoste Corporation + 800 4,800
Nu Horizons Electronics Corp. + 800 4,800
ON Semiconductor Corporation + 8,700 23,490
OSI Systems, Inc. + 700 11,242
OmniVision Technologies, Inc. + 1,100 34,320
Oplink Communications, Inc. + 1,800 3,366
Optical Communication Products, Inc. + 400 720
P-Com, Inc. + 120 11
PLX Technology, Inc. + 1,100 4,334
Park Electrochemical Corp. 950 18,953
ParkerVision, Inc. + 800 5,240
Parlex Corporation + 1,100 8,460
Paxson Communications Corporation + 2,900 17,371
Pemstar Inc. + 1,500 6,285
Pericom Semiconductor Corporation + 1,000 9,300
Photon Dynamics, Inc. + 1,100 30,393
Pinnacle Systems, Inc. + 2,400 25,680
Pioneer-Standard Electronics, Inc. 2,200 18,656
Pixelworks, Inc. + 1,700 10,098
Plantronics, Inc. + 1,900 41,173
Plexus Corporation + 1,500 17,295
Powell Industries, Inc. + 500 7,320
Power Integrations, Inc. + 1,600 38,912
Powerwave Technologies, Inc. + 2,400 15,048
Preformed Line Products Company 900 12,609
Proxim Corporation (Class A) + 14,129 20,628
QuickLogic Corporation + 200 644
REMEC, Inc. + 5,200 36,192
RF Micro Devices, Inc. + 10,200 61,404
Rambus Inc. + 4,900 81,193
Rayovac Corporation + 1,200 15,540
Riverstone Networks, Inc. + 6,300 7,434
Robotic Vision Systems, Inc. + 400 144
Rofin-Sinar Technologies, Inc. + 1,700 24,021
Rudolph Technologies, Inc. + 900 14,364
SIPEX Corporation + 1,100 5,390
Saflink Corp + 3,300 20,922
The Sagemark Companies Ltd. + 1,200 3,060
ScanSoft, Inc. + 3,200 17,376
Semitool, Inc. + 500 2,465
Semtech Corporation + 2,700 38,448
Silicon Laboratories Inc. + 2,200 58,608
Silicon Storage Technology, Inc. + 3,700 15,503
Siliconix Incorporated + 1,500 54,150
Sirenza Microdevices, Inc. + 3,300 6,699
Skyworks Solutions, Inc. + 6,400 43,328
Somera Communications, Inc. + 2,500 3,650
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Electronics SpectraLink Corporation + 800 $7,904
(concluded) Standard Microsystems Corporation + 1,100 16,687
Stratex Networks, Inc. + 4,000 12,800
Suntron Corp + 200 566
Superconductor Technologies Inc. + 220 506
Superior TeleCom Inc. + 100 4
Supertex, Inc. + 100 1,837
SymmetriCom, Inc. + 1,176 5,174
THQ Inc. + 2,900 52,200
TTM Technologies, Inc. + 100 469
Technitrol, Inc. + 1,100 16,555
Tekelec + 3,000 33,900
Telaxis Communications Corporation + 300 234
Teledyne Technologies Incorporated + 1,500 19,650
Tellium, Inc. + 1,800 1,638
Terayon Communication Systems, Inc. + 4,200 11,466
Therma-Wave Inc. + 6,400 13,312
Three-Five Systems, Inc. + 900 6,210
Tollgrade Communications, Inc. + 700 13,055
Transmeta Corporation + 5,400 8,640
TranSwitch Corporation + 3,600 4,860
Tripath Technology Inc. + 1,700 1,292
TriQuint Semiconductor, Inc. + 4,845 20,155
Tvia, Inc. + 200 194
Tweeter Home Entertainment Group, Inc. + 1,200 10,416
Ultralife Batteries, Inc. + 2,400 24,000
United Industrial Corporation 600 9,780
Unitil Corporation 600 14,460
Valence Technology, Inc. + 1,800 5,382
Varian Inc. + 2,200 76,274
Varian Semiconductor Equipment Associates, Inc. + 2,300 68,448
ViaSat, Inc. + 1,300 18,642
Vicor Corporation + 1,800 17,280
Virage Logic Corporation + 300 2,172
Vishay Intertechnology, Inc. + 5,926 78,223
Vitesse Semiconductor Corporation + 9,900 48,708
Vyyo Inc. + 66 200
WJ Communications, Inc. + 6,500 6,630
Western Digital Corporation + 10,100 104,030
Western Wireless Corporation (Class A) + 4,900 56,497
Wilson Greatbatch Technologies, Inc. + 800 28,880
Wire One Technologies, Inc. + 200 530
Xicor, Inc. + 900 5,643
Zoran Corporation + 1,850 35,539
-------------
6,705,483
Energy - 0.0% Pacific Gulf Resources + 100 5
-------------
Energy & Raw Materials - 2.4% APCO Argentina Inc. 1,000 22,220
Altair Nanotechnologies, Inc. + 800 840
Arabian American Development Company + 3,600 108
Arch Coal, Inc. 2,300 52,854
Atwood Oceanics, Inc. + 700 19,005
Barnwell Industries, Inc. + 100 2,490
Brigham Exploration Company + 400 2,040
Buckeye Partners, LP 800 31,408
CARBO Ceramics Inc. 300 11,175
Cabot Oil & Gas Corporation (Class A) 2,400 66,264
Cimarex Energy Co. + 1,481 35,174
Cooper Cameron Corporation + 2,500 125,950
Dawson Geophysical Company + 200 1,620
Denbury Resources Inc. + 4,500 60,435
Dril-Quip, Inc. + 700 12,740
ENSCO International Incorporated 6,820 183,458
Emex Corporation + 4,203 0
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Energy & Raw Materials Enterprise Products Partners LP 7,300 $164,469
(concluded) Evergreen Resources, Inc. + 700 38,017
The Exploration Company of Delaware + 1,000 4,250
FMC Technologies, Inc. + 2,800 58,940
Forest Oil Corporation + 1,900 47,728
Friede Goldman Halter, Inc. + 500 1
Grant Prideco, Inc. + 4,400 51,700
Grey Wolf, Inc. + 14,300 57,772
Headwaters Incorporated + 2,800 41,132
Helmerich & Payne, Inc. 2,300 67,160
Horizon Offshore, Inc. + 4,800 23,904
Joy Global Inc. + 2,300 33,971
Kestrel Energy, Inc. + 900 297
Key Energy Services, Inc. + 6,600 70,752
Kirby Corporation + 1,200 33,840
Lufkin Industries, Inc. 300 7,338
Lynx Therapeutics, Inc. + 14 52
MAXXAM Inc. + 600 8,700
Massey Energy Company 3,700 48,655
NL Industries, Inc. 2,400 40,800
Newpark Resources, Inc. + 3,800 20,824
Noble Energy, Inc. 3,300 124,740
Offshore Logistics, Inc. + 1,500 32,625
Oil States International, Inc. + 600 7,260
Parker Drilling Company + 10,900 31,719
Peabody Energy Corporation 2,100 70,539
Penn Virginia Corporation 400 17,200
Petroleum Development Corporation + 3,300 30,096
Petrominerals Corporation + 1,100 220
Plains All American Pipeline, LP 1,900 59,812
Plains Resources Inc. + 1,400 19,810
Prima Energy Corporation + 650 13,572
Prolong International Corporation + 5,700 1,026
RGC Resources, Inc. 100 2,334
Range Resources Corporation + 4,500 28,215
Reliant Resources, Inc. + 12,500 76,625
Smith International, Inc. + 4,800 176,352
Southwestern Energy Company + 3,100 46,531
Swift Energy Company + 1,900 20,900
TC Pipelines, LP 1,100 32,428
Tidewater Inc. 2,800 82,236
Tom Brown, Inc. + 1,900 52,801
Trico Marine Services, Inc. + 5,700 22,344
USEC Inc. 3,900 27,378
Unit Corporation + 1,800 37,638
Valero Energy Corporation 4,500 163,485
Weatherford International Ltd. + 5,600 234,640
Western Gas Resources, Inc. 1,500 59,400
World Fuel Services Corporation 400 9,836
Xanser Corporation + 1,300 2,795
-------------
2,932,640
Energy & Utilities - 3.0% AGL Resources Inc. 2,900 73,776
ALLETE, Inc. 3,900 103,545
Active Power, Inc. + 3,500 5,880
Alliant Energy Corporation 4,200 79,926
American States Water Company 150 4,095
Aquila, Inc. 7,810 20,150
Artesian Resources Corporation (Class A) 100 3,600
Atmos Energy Corporation 2,700 66,960
Avista Corporation 1,100 15,565
BIW Limited 200 3,630
Beacon Power Corporation + 7,730 2,164
Black Hills Corporation 1,100 33,770
CH Energy Group, Inc. 900 40,500
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Energy & Utilities California Water Service Group 500 $14,060
(concluded) Cascade Natural Gas Corporation 100 1,910
Catalytica Energy Systems, Inc. + 2,766 7,468
Central Vermont Public Service Corporation 600 11,730
Chesapeake Utilities Corporation 300 6,780
Cleco Corporation 2,500 43,300
Connecticut Water Service, Inc. 400 10,220
DPL Inc. 7,300 116,362
DQE, Inc. 5,000 75,350
Delta Natural Gas Company, Inc. 100 2,349
El Paso Electric Company + 4,400 54,252
Empire District Electric Company 2,200 47,850
Energen Corporation 2,400 79,920
Energy East Corporation 5,600 116,256
Energy West Incorporated 200 1,202
EnergySouth, Inc. 200 6,560
Equitable Resources, Inc. 2,900 118,146
Florida Public Utilities Company 133 2,175
Great Plains Energy Incorporated 3,200 92,416
Green Mountain Power Corporation 1,000 20,000
Hawaiian Electric Industries, Inc. 1,700 77,945
IDAcorp Inc. 1,500 39,375
The Laclede Group, Inc. 200 5,360
MDU Resources Group 3,300 110,517
MGE Energy, Inc. 200 6,276
Middlesex Water Company 350 8,624
NSTAR 2,400 109,320
NUI Corporation 900 13,968
National Fuel Gas Company 3,100 80,755
New Jersey Resources Corporation 1,400 49,700
Northeast Utilities 6,500 108,810
Northwest Natural Gas Company 1,200 32,700
Northwestern Corporation 5,400 10,800
OGE Energy Corp. 3,600 76,932
ONEOK, Inc. 3,800 74,594
Otter Tail Company 600 16,188
PNM Resources Inc. 2,000 53,500
Pennichuck Corporation 133 3,285
Pepco Holdings, Inc. 7,858 150,559
Philadelphia Suburban Corporation 2,731 66,582
Piedmont Natural Gas Company, Inc. 2,100 81,501
Puget Energy, Inc. 3,500 83,545
Questar Corporation 3,300 110,451
SCANA Corporation 5,800 198,824
SEMCO Energy, Inc. 800 4,656
SJW Corp. 100 8,525
Sierra Pacific Resources + 5,300 31,482
South Jersey Industries, Inc. 400 14,740
Southern Union Company + 4,120 69,793
Southwest Gas Corporation 1,500 31,770
Southwest Water Company 2,120 29,616
Streicher Mobile Fueling, Inc. + 600 630
UGI Corporation 2,700 85,590
UIL Holdings Corporation 700 28,385
UniSource Energy Corporation 1,600 30,080
Vectren Corporation 2,700 67,635
Veritas DGC Inc. + 2,600 29,900
WGL Holdings Inc. 2,200 58,740
WPS Resources Corporation 1,500 60,300
Westar Energy, Inc. 3,600 58,428
Wisconsin Energy Corporation 5,300 153,700
-------------
3,615,948
Engineering & Construction - 0.0% Baran Group Ltd. + 2 17
-------------
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Entertainment - 0.0% GC Companies, Inc. + 100 $15
-------------
Environmental Control - 0.0% ATG Inc. + 1,100 0
-------------
Food - 0.0% Imperial Sugar Company (New Shares) + 12 91
Rica Foods, Inc. + 100 40
-------------
131
Food & Agricultural - 2.4% 7-Eleven, Inc. + 5,300 55,915
Alico, Inc. 300 7,407
American Italian Pasta Company (Class A) + 900 37,485
The Andersons, Inc. 300 3,675
Atlantic Premium Brands, Ltd. + 600 1,020
Aurora Food Inc. + 2,900 1,015
Bridgford Foods Corporation 500 3,780
Bunge Limited 5,600 160,160
Cagle's Inc. (Class A) + 200 950
Chiquita Brands International, Inc. + 1,802 26,129
Coca-Cola Bottling Co. Consolidated 400 21,840
Corn Products International, Inc. 1,700 51,051
Cuisine Solutions, Inc. + 1,200 540
DIMON Incorporated 2,000 14,320
Dean Foods Company + 6,771 213,287
Del Monte Foods Company + 10,600 93,704
Delta and Pine Land Company 1,800 39,564
Dreyer's Grand Ice Cream Holdings, Inc. 2,200 172,744
Eden Bioscience Corporation + 2,700 4,347
Embrex, Inc. + 400 4,200
Fisher Communications, Inc. + 100 4,891
Flowers Foods, Inc. 2,175 42,978
Fresh Brands, Inc. 900 12,510
Fresh Del Monte Produce Inc. 3,800 97,622
Gehl Company + 1,100 11,220
Glacier Water Services, Inc. + 200 3,080
Golden Enterprises, Inc. 600 1,410
Green Mountain Coffee, Inc. + 300 5,700
Griffin Land & Nurseries, Inc. + 1,000 13,500
Group 1 Software, Inc. + 700 12,929
Hain Celestial Group, Inc. + 2,100 33,579
Harris & Harris Group, Inc. + 400 2,780
Hines Horticulture, Inc. + 4,100 6,560
Horizon Organic Holding Corporation + 1,700 40,375
Hormel Foods Corporation 5,500 130,350
Ingles Markets, Incorporated (Class A) 1,800 18,180
International Multifoods + 900 20,619
Interstate Bakeries Corporation 1,900 24,130
J & J Snack Foods Corp. + 400 12,652
The J.M. Smucker Company 2,900 115,681
John B. Sanfilippo & Son, Inc. + 100 1,632
Kraft Foods Inc. (Class A) 14,500 471,975
Lance, Inc. 1,400 12,782
Lindsay Manufacturing Co. 600 13,932
MGP Ingredients, Inc. 200 1,718
Marsh Supermarkets, Inc. (Class B) 700 8,470
Maui Land & Pineapple Company, Inc. + 400 8,992
Monterey Pasta Company + 700 3,430
Nash-Finch Company 1,700 28,305
Neogen Corporation + 700 11,893
Osteotech, Inc. + 800 10,872
The Pantry, Inc. + 900 7,101
PepsiAmericas, Inc. 6,927 87,003
Pilgrim's Pride Corporation (Class B) 200 1,934
Provena Foods Inc. + 1,200 1,500
Ralcorp Holdings, Inc. + 1,432 35,743
Rocky Mountain Chocolate Factory, Inc. 400 3,200
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Food & Agricultural Sanderson Farms, Inc. 500 $14,050
(concluded) The Scotts Company (Class A) + 1,600 79,200
Seneca Foods Corporation (Class A) + 200 3,504
Sensient Technologies Corporation 2,100 48,279
Smart & Final Inc. + 800 3,704
Smithfield Foods, Inc. + 5,000 114,600
Spartan Stores, Inc. + 800 2,152
Spectrum Organic Products, Inc. + 2,200 880
Standard Commercial Corporation 700 11,900
Tasty Baking Company 400 4,200
Tejon Ranch Co. + 100 3,010
Terra Industries, Inc. + 7,000 7,490
Tootsie Roll Industries, Inc. 2,427 73,999
Tyson Foods, Inc. (Class A) 15,158 160,978
U.S. Restaurant Properties, Inc. 400 6,280
Uni-Marts, Inc. + 900 1,620
United Natural Foods, Inc. + 1,400 39,396
Virbac Corporation + 1,100 6,666
VistaCare, Inc. (Class A) + 1,700 41,327
Wild Oats Markets, Inc. + 1,400 15,260
Willamette Valley Vineyards, Inc. + 800 1,104
Zanett, Inc. + 500 1,035
Zapata Corporation + 100 4,864
-------------
2,879,859
Gold - 0.2% Glamis Gold Ltd. + 7,900 90,613
Gold Reserve Inc. + 2,200 3,740
Hanover Gold Company, Inc. + 13,100 721
Inland Resources Inc. + 700 490
MK Gold Company + 2,000 1,400
Meridian Gold Inc. + 3,900 44,811
Royal Gold, Inc. 2,000 42,980
U.S. Gold Corporation + 12,700 5,715
-------------
190,470
Health Care-Products - 0.0% Gliatech Inc. + 100 0
Sparta Surgical Corporation + 1,900 0
Sunrise Technologies International, Inc. + 400 4
-------------
4
Holding Companies-Diversified - 0.0% Kaiser Ventures LLC (Series A) + 200 0
-------------
Home Furnishings - 0.0% Vialta, Inc. + 5 2
-------------
Insurance - 3.5% 21st Century Insurance Group 4,300 61,490
Alfa Corporation 3,400 43,214
Alleghany Corporation + 414 79,074
Allmerica Financial Corporation + 2,300 41,377
American Financial Group, Inc. 4,200 95,760
American Medical Security Group, Inc. + 600 11,460
American National Insurance Company 1,300 112,311
AmerUs Group Co. 2,600 73,294
Arch Capital Group Ltd. + 2,100 72,933
Argonaut Group, Inc. 1,000 12,330
Arthur J. Gallagher & Co. 3,300 89,760
Atlantic American Corporation + 700 1,729
Baldwin & Lyons, Inc. (Class B) 850 20,188
Berkley (W.R.) Corporation 2,800 147,560
Berkshire Hathaway Inc. (Class B) + 66 160,380
Brown & Brown 2,600 84,500
Clark, Inc. + 2,000 23,900
CNA Financial Corporation + 10,394 255,692
CNA Surety Corporation 800 7,880
Cobalt Corporation + 3,200 65,760
The Commerce Group, Inc. 1,500 54,300
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Insurance Crawford & Company (Class B) 2,400 $11,784
(concluded) Delphi Financial Group, Inc. (Class A) 900 42,120
Donegal Group Inc. (Class B) 1,566 19,638
EMC Insurance Group, Inc. 500 9,275
Erie Indemnity Company (Class A) 2,800 115,500
FBL Financial Group, Inc. (Class A) 400 8,060
FMS Financial Corporation 300 4,920
FPIC Insurance Group, Inc. + 1,900 26,353
Fidelity National Financial, Inc. 5,231 160,906
The First American Financial Corporation 2,700 71,145
First United Corporation 200 4,254
Fremont General Corporation 4,100 56,170
Great American Financial Resources, Inc. 2,100 27,531
HCC Insurance Holdings, Inc. 2,500 73,925
Harleysville Group Inc. 1,200 27,624
Hilb, Rogal and Hamilton Company 1,500 51,060
Hooper Holmes, Inc. 2,600 16,744
Horace Mann Educators Corporation 2,100 33,873
Independence Holding Company 400 8,444
Infinity Property & Casualty Corporation 600 14,160
Insurance Auto Auctions, Inc. + 600 7,536
Kansas City Life Insurance Company 400 16,840
The Liberty Corporation 700 29,750
The MONY Group Inc. 1,900 51,205
Markel Corporation + 500 128,000
Meadowbrook Insurance Group, Inc. + 400 1,268
Merchants Group, Inc. 100 2,045
Mercury General Corporation 2,200 100,429
NYMAGIC, Inc. 900 18,234
National Medical Health Card Systems, Inc. + 1,000 9,010
Nationwide Financial Services, Inc. (Class A) 2,100 68,250
The Navigators Group, Inc. + 400 11,928
Odyssey Re Holdings Corp. 3,300 69,630
Ohio Casualty Corporation + 4,400 57,992
Old Republic International Corporation 5,500 188,485
PICO Holdings, Inc. + 700 9,100
PMA Capital Corporation (Class A) 3,600 45,252
The PMI Group, Inc. 4,100 110,043
Penn-America Group, Inc. 750 8,438
Penn Treaty American Corporation + 1,000 1,750
Philadelphia Consolidated Holding Corp. + 1,000 40,400
The Phoenix Companies, Inc. 6,900 62,307
Presidential Life, Corporation 3,000 42,330
ProAssurance Corporation + 1,400 37,786
Protective Life Corporation 2,600 69,550
RLI Corp. 600 19,740
RTW, Inc. + 200 707
Radian Group Inc. 3,644 133,552
Reinsurance Group of America, Incorporated 2,000 64,200
SCPIE Holdings Inc. 400 3,072
Selective Insurance Group, Inc. 2,200 55,110
StanCorp Financial Group, Inc. 1,200 62,664
State Auto Financial Corporation 900 20,205
Sterling Financial Corporation + 600 13,950
Symons International Group, Inc. + 1,700 34
Transatlantic Holdings, Inc. 2,300 159,044
Triad Guaranty Inc. + 1,300 49,335
UICI + 2,200 33,154
Unico American Corporation + 300 1,155
United Fire & Casualty Company 100 3,249
Unitrin, Inc. 3,000 81,360
Universal American Financial Corp. + 2,100 13,377
Vesta Insurance Group, Inc. 1,900 4,370
Zenith National Insurance Corp. 1,700 48,450
-------------
4,252,664
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
International Oil - 0.2% ATP Oil & Gas Corporation + 3,900 $24,570
GlobalSantaFe Corporation 10,889 254,149
-------------
278,719
Internet - 0.0% AppliedTheory Corporation + 200 0
divine, Inc. (Class A) + 1 0
Evolve Software, Inc. + 2 0
iBEAM Broadcasting Corporation + 80 0
InterWorld Corporation + 10 1
Mindspeed Technologies Inc. + 5,367 14,490
NetObjects Inc. + 200 0
USinternetworking, Inc. + 1,000 0
-------------
14,491
Iron/Steel - 0.0% Cold Metal Products, Inc. + 1,400 0
Northwestern Steel and Wire Company + 9,000 18
-------------
18
Leisure Time - 0.0% American Classic Voyages Co. + 100 0
-------------
Liquor - 0.2% The Boston Beer Company, Inc. (Class A) + 500 7,200
Central European Distribution Corporation + 1,250 25,175
The Chalone Wine Group, Ltd. + 1,900 14,763
Constellation Brands, Inc. (Class A) + 3,500 109,899
Frederick Brewing Co. + 5,400 108
Genesee Corporation (Class B) + 1,000 4,880
National Beverage Corp. + 1,100 15,290
Pyramid Breweries Inc. 100 350
The Robert Mondavi Corporation (Class A) + 1,400 35,434
-------------
213,099
Lodging - 0.0% Buckhead America Corporation + 600 0
Hudson Hotels Corporation + 800 8
-------------
8
Media - 5.4% ACTV, Inc. + 2,200 2,156
A.H. Belo Corporation (Class A) 4,600 102,855
AMC Entertainment Inc. + 1,800 20,592
Adolor Corporation + 2,000 24,540
Advanced Marketing Services, Inc. 900 11,700
American Tower Corporation (Class A) + 9,800 86,730
Banta Corporation 1,400 45,318
Beasley Broadcast Group, Inc. (Class A) + 400 5,472
Blockbuster Inc. (Class A) 1,800 30,330
CNET Networks, Inc. + 8,200 51,086
CTN Media Group, Inc. + 50 0
Cablevision Systems Corporation (Class A) + 11,200 232,511
Cadmus Communications Corporation 600 5,334
Charter Communications, Inc. (Class A) + 17,700 70,269
Consolidated Graphics, Inc. + 500 11,440
Cox Communications, Inc. (Class A) + 30,100 960,188
Crown Media Holdings, Inc. (Class A) + 3,700 15,281
Cumulus Media Inc. (Class A) + 3,600 68,148
Daily Journal Corporation + 100 2,440
The E.W. Scripps Company (Class A) 4,100 363,752
EchoStar Communications Corporation (Series A) + 12,100 418,902
Emmis Communications Corporation (Class A) + 2,100 48,195
Entercom Communications Corp. + 1,800 88,218
Entravision Communications Corporation (Class A) + 3,000 34,050
Fox Entertainment Group, Inc. (Class A) + 17,100 492,137
Gaylord Entertainment Company + 1,700 33,269
Gray Television, Inc. 200 2,480
Gray Television, Inc. (Class A) 300 3,690
Harte-Hanks, Inc. 3,600 68,400
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Media Hispanic Broadcasting Corporation + 5,000 $127,250
(concluded) Hollinger International Inc. 4,000 43,080
Information Holdings Inc. + 1,400 25,550
Insight Communications Company, Inc. + 2,900 38,222
InterActiveCorp + 26,220 1,037,523
Intraware, Inc. + 200 246
John Wiley & Sons, Inc. (Class A) 2,500 65,500
Journal Register Co. + 1,200 21,708
Lee Enterprises, Incorporated 2,100 78,813
Lifeline Systems, Inc. + 200 5,680
Martha Stewart Living Omnimedia, Inc. (Class A) 2,900 27,231
The McClatchy Company (Class A) 2,300 132,525
Media General, Inc. (Class A) 1,000 57,200
Mediacom Communications Corporation + 3,900 38,493
Metro-Goldwyn-Mayer Inc. + 10,500 130,409
Metromedia International Group, Inc. + 11,700 1,229
Movie Gallery, Inc. + 1,750 32,288
Network Equipment Technologies, Inc. + 100 842
PRIMEDIA Inc. + 8,334 25,419
PanAmSat Corporation + 8,900 164,026
Penton Media, Inc. + 1,700 935
Playboy Enterprises, Inc. (Class B)+ 800 10,880
Pulitzer Inc. 1,000 49,420
Radio One, Inc. (Class A) + 4,100 73,226
Radio Unica Corp. + 500 375
Raindance Communications, Inc. + 2,000 4,980
The Reader's Digest Association, Inc. (Class A) 4,500 60,660
Regent Communications, Inc. + 1,900 11,210
Saga Communications, Inc. (Class A) + 425 8,266
Salem Communications Corporation (Class A) + 900 18,010
Scholastic Corporation + 2,575 76,684
Sinclair Broadcast Group, Inc. (Class A) + 3,700 42,957
The Source Information Management Company + 100 759
Spanish Broadcasting System, Inc. (Class A) + 4,100 33,415
Thomas Nelson, Inc. + 200 2,500
TiVo Inc. + 4,400 53,592
USTMAN Technologies, Inc. + 22,800 524
United Capital Corp. 100 3,480
UniverCell Holdings, Inc. + 9,900 59
Valassis Communications, Inc. + 2,400 61,728
ValueVision International, Inc. (Class A) + 2,100 28,623
The Washington Post Company (Class B) 463 339,333
Westwood One, Inc. + 4,900 166,257
XM Satellite Radio Holdings Inc. (Class A) + 6,700 74,035
Young Broadcasting Inc. (Class A) + 1,200 25,356
-------------
6,499,981
Metal Fabricate/Hardware - 0.0% Morton Industrial Group, Inc. + 600 300
-------------
Miscellaneous - 2.4% @Road, Inc. + 1,200 13,104
AMERIGROUP Corporation + 1,000 37,200
AMN Healthcare Services, Inc. + 1,300 16,510
ARAMARK Corporation (Class B) + 3,200 71,744
AT&T Latin America Corp. (Class A) + 7,300 876
Acme Communications, Inc. + 200 1,520
Advance Auto Parts, Inc. + 1,800 109,620
Advanced Medical Optics, Inc. + 2,900 49,445
The Advisory Board Company + 1,300 52,676
Alaska Communications Systems Holdings, Inc. + 2,000 7,040
Alliance Data Systems Corp + 700 16,380
Alliance Resource Partners, L.P. 1,500 40,875
American Home Mortgage Holdings, Inc. 2,000 39,160
American Pharmaceutical Partners, Inc. + 500 16,950
aQuantive, Inc. + 4,400 46,200
Asbury Automotive Group Inc. + 300 4,044
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Miscellaneous The Banc Corporation 4,700 $30,879
(continued) Braun Consulting, Inc. + 800 1,360
CTI Molecular Imaging, Inc. + 1,200 22,692
Centene Corporation + 1,100 42,790
Charter Financial Corporation 300 8,475
Chicago Mercantile Exchange 1,800 125,334
Ciphergen Biosystems, Inc. + 1,100 11,275
CityBank 300 8,118
Coinstar, Inc. + 2,000 37,720
DSL.net, Inc. + 1,000 520
Ditech Communications Corporation + 1,200 5,976
Dover Downs Gaming & Entertainment, Inc. 210 1,943
E-LOAN, Inc. + 5,000 29,150
EasyLink Services Corporation (Class A) + 50 35
eLoyalty Corporation + 40 156
eMagin Corporation + 200 118
Enbridge Energy Management, LLC + 1,051 47,934
Encore Capital Group, Inc. + 1,700 14,705
Esperion Therapeutics, Inc. + 1,400 27,426
Exchange National Bancshares, Inc. 100 5,568
ExpressJet Holdings, Inc. + 1,600 24,160
Extreme Networks, Inc. + 5,600 29,680
FNB Corporation 300 8,121
FiberNet Telecom Group, Inc. + 10 10
FindWhat.com + 1,600 30,304
Finisar Corporation + 9,300 14,415
First M&F Corporation 200 6,544
First Place Financial Corp. 615 10,652
Five Star Quality Care, Inc. + 8 12
Frontline Capital Group + 300 2
Galyan's Trading Company + 800 11,472
GameStop Corporation + 1,000 12,920
General Maritime Corporation + 1,400 14,210
Genesis Health Ventures, Inc. + 3,300 58,245
Gen-Probe Incorporated + 700 28,609
GoAmerica, Inc. + 500 175
HealthTronics Surgical Services, Inc. + 1,100 9,900
i3 Mobile, Inc. + 300 144
Imagistics International Inc. + 900 23,220
Inergy, LP 900 34,974
Integrated Defense Technologies, Inc. + 400 6,204
Inveresk Research Group, Inc. + 700 12,593
iPayment Holdings, Inc. + 1,600 38,192
JetBlue Airways Corporation + 2,700 114,183
Kindred Healthcare, Inc. + 900 16,056
Kirkland's, Inc. + 900 14,535
Lin TV Corp. (Class A) + 1,300 30,615
Liquid Audio, Inc. 300 105
Liquidmetal Technologies + 2,100 10,773
Lynch Interactive Corporation + 100 2,410
MCG Capital Corporation 1,500 21,750
Magma Design Automation, Inc. + 1,900 32,585
The Management Network Group, Inc. + 3,900 7,605
ManTech International Corporation (Class A) + 800 15,344
Manufacturers' Services Limited + 200 970
Medical Staffing Network Holdings, Inc. + 700 4,900
MedSource Technologies, Inc. + 4,500 19,125
MicroFinancial Incorporated 500 920
Monolithic System Technology, Inc. + 400 3,624
Mykrolis Corporation + 2,500 25,375
NIC Inc. + 500 1,460
NTL Incorporated + 3,000 102,360
Nassda Corporation + 400 3,088
NaviSite, Inc. + 13 34
Nco Portfolio Management Inc + 178 1,046
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Miscellaneous NetFlix Inc. + 1,400 $35,770
(concluded) Netsol International, Inc. + 100 68
Niku Corporation + 60 273
Novatel Wireless, Inc. + 186 448
Nucentrix Broadband Networks, Inc. + 100 88
Odyssey Healthcare, Inc. + 1,100 40,700
On2.com Inc. + 200 250
Openwave Systems Inc. + 6,783 13,227
Opsware, Inc. + 3,100 12,462
Overstock.com, Inc. + 800 11,608
PDF Solutions, Inc. + 200 2,310
PYR Energy Corporation + 900 486
Pacer International, Inc. + 500 9,430
Pacific Energy Partners, LP 1,100 28,435
Pacific Union Bank 500 6,795
PacificNet Inc. + 160 349
Packaging Dynamics Corp + 500 3,625
Paradyne Networks, Inc. + 2,200 3,960
ParthusCeva, Inc. + 900 7,335
Peets Coffee & Tea Inc. + 600 10,476
Peoples Financial Corporation 1,200 16,836
Pinnacor Inc. + 5,700 10,944
Portfolio Recovery Associates, Inc. + 1,300 40,547
PracticeWorks, Inc. + 800 15,440
Premcor Inc. + 3,400 73,270
Psychiatric Solutions, Inc. + 266 2,580
Quantum Fuel Systems Technologies Worldwide, Inc. + 1,300 2,899
Quovadx, Inc. + 1,500 4,485
Regal Entertainment Group (Class A) 3,400 80,172
The SCO Group, Inc. + 1,775 16,987
SCS Transportation, Inc. + 700 8,841
SFBC International, Inc. + 100 1,810
Sagnet Technology, Inc. + 200 30
Salix Pharmaceuticals, Ltd. + 800 8,392
Salon Media Group, Inc. + 600 30
Saxon Capital, Inc. + 1,400 24,332
Seagate Technology 2,400 42,360
Seminis, Inc. (Class A) + 800 2,944
Silicon Image, Inc. + 3,300 18,414
SimpleTech, Inc. + 600 2,406
Sonic Innovations, Inc. + 1,000 3,610
SoundView Technology Group, Inc. + 880 8,906
Support.com, Inc. + 1,700 11,033
SureBeam Corporation (Class A) + 3,595 9,527
Synaptics Incorporated + 300 4,038
Telecommunication Systems, Inc. (Class A) + 200 414
Therasense, Inc. + 2,000 20,000
Thousand Trails, Inc. + 1,400 20,090
Tumbleweed Communications Corporation + 277 715
U.S.I. Holdings Corporation + 200 2,340
Umpqua Holdings Corporation 1,311 24,896
United Online, Inc. + 2,002 50,731
United Surgical Partners International, Inc. + 1,300 29,367
VCA Antech, Inc. + 800 15,656
Veridian Corporation + 2,300 80,247
Weight Watchers International, Inc. + 4,900 222,901
Williams Energy Partners LP 1,200 56,832
WilTel Communications, Inc. + 1,400 20,636
Zymogentics, Inc. + 900 10,476
-------------
2,903,368
Miscellaneous Finance - 12.4% 1st Source Corporation 1,000 18,560
A.G. Edwards, Inc. 3,700 126,540
AMCORE Financial, Inc. 2,200 51,216
ASB Financial Corp. 300 5,097
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance Acadia Realty Trust 1,300 $11,895
(continued) Accredited Home Lenders Holding Company + 1,700 33,354
Advanta Corp. (Class A) 1,700 16,728
Affiliated Managers Group, Inc. + 1,000 60,950
Agree Realty Corporation 900 21,879
Alexandria Real Estate Equities, Inc. 700 31,500
Alliance Capital Management Holding LP 4,200 153,300
Allied Capital Corporation 5,665 130,862
AmerAlia, Inc. + 900 450
American Capital Strategies, Ltd. 3,300 82,302
American Insured Mortgage Investors LP, Series 86 700 2,009
American Insured Mortgage Investors LP, Series 88 400 1,592
American Land Lease, Inc. 200 3,360
American Realty Investors, Inc. + 500 6,125
AmeriCredit Corp. + 6,000 51,300
Ameritrade Holding Corporation + 21,500 159,315
Amli Residential Properties Trust 1,100 25,905
Ampal-American Israel Corporation (Class A) + 100 284
Annaly Mortgage Management Inc. 4,800 95,568
Anthracite Capital, Inc. 800 9,648
Anworth Mortgage Asset Corporation 1,300 20,046
Apex Mortgage Capital, Inc. 2,500 13,675
Arden Realty, Inc. 3,200 83,040
Associated Estates Realty Corporation 800 5,256
Astoria Financial Corporation 3,800 106,134
Atalanta/Sosnoff Capital Corporation + 200 2,710
Atlantic Realty Trust 300 3,702
Atlantis Plastics, Inc. (Class A)+ 400 2,820
BNP Residential Properties, Inc. 300 3,240
BOK Financial Corporation + 2,134 82,308
BP Prudhoe Bay Royalty Trust 2,400 45,336
BRE Properties, Inc. (Class A) 2,300 76,360
BankUnited Financial Corporation (Class A) + 2,600 52,390
Banner Corporation 500 10,250
Banyan Strategic Realty Trust 400 120
Bay View Capital Corporation + 3,800 21,964
Bedford Property Investors, Inc. 800 22,720
Berkshire Hathaway Inc. (Class A) + 60 4,350,000
BlackRock, Inc. + 1,000 45,040
Boca Resorts, Inc. (Class A) + 800 10,400
Brandywine Realty Trust 1,700 41,854
CBL & Associates Properties, Inc. 2,100 90,300
CIT Group Inc. 9,700 239,105
CVB Financial Corp. 1,500 29,280
Camden Property Trust 2,600 90,870
Capital Automotive 2,300 64,377
Capstead Mortgage Corporation 2,600 29,302
CarrAmerica Realty Corporation 3,100 86,211
Cascade Financial Corporation 330 4,967
Cathay Bancorp, Inc. 1,400 62,412
Cedar Income Fund, Ltd. + 600 3,132
CenterPoint Properties Corporation 1,200 73,500
Central Pacific Financial Corp. 600 16,620
Ceres Group, Inc. + 1,700 4,896
Charter Municipal Mortgage Acceptance Company 2,000 38,020
Chateau Communities, Inc. 2,200 65,098
Chelsea Property Group, Inc. 2,100 84,651
Citizens, Inc. + 971 7,059
Coastal Bancorp, Inc. 300 8,526
Coastal Financial Corporation 430 5,521
Colonial Properties Trust 1,200 42,228
Commercial Capital Bancorp, Inc. + 2,200 33,770
Commercial Federal Corporation 2,300 48,760
Commercial Net Lease Realty 1,991 34,325
CompuCredit Corporation + 1,900 23,085
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance Cornerstone Realty Income Trust, Inc. 2,400 $17,544
(continued) Correctional Properties Trust 1,300 36,400
Corrections Corporation of America + 900 22,797
Cotton States Life Insurance Company 200 2,016
Cousins Properties, Inc. 2,300 64,170
Crescent Operating, Inc. + 1,000 240
Crown American Realty Trust 3,900 41,886
DVI, Inc. + 3,700 17,279
Danielson Holding Corporation + 700 1,120
Developers Diversified Realty Corporation 4,383 124,653
Downey Financial Corp. 1,100 45,430
E* TRADE Group, Inc. + 14,500 123,250
ESB Financial Corporation 529 7,142
East West Bancorp, Inc. 1,800 65,052
Eastern Virginia Bankshares, Inc. 200 4,602
EastGroup Properties, Inc. 1,200 32,400
Eaton Vance Corp. 2,800 88,480
Entertainment Properties Trust 800 23,000
ePlus inc. + 100 1,065
Equity One, Inc. 1,655 27,142
eSPEED, Inc. (Class A) + 1,700 33,592
Essex Property Trust, Inc. 800 45,800
The FINOVA Group Inc. + 900 171
Federal Realty Investment Trust 2,700 86,400
Fidelity Bankshares, Inc 700 15,610
Financial Federal Corporation + 300 7,320
Financial Industries Corporation 400 5,896
First Albany Companies Inc. 2,400 28,968
First Community Bancorp 700 21,819
First Defiance Financial Corp. 300 5,952
First Financial Corporation 300 15,870
First Financial Holdings, Inc. 1,500 40,560
First Indiana Corporation 500 8,560
First Industrial Realty Trust, Inc. 2,600 82,160
First SecurityFed Financial, Inc. 800 19,928
First Sentinel Bancorp Inc. 300 4,791
First Union Real Estate Equity & Mortgage Investments + 6,800 12,308
Flagstar Bancorp, Inc. 3,900 95,355
FloridaFirst Bancorp, Inc. 300 7,158
Flushing Financial Corporation 500 11,085
Gabelli Asset Management Inc. (Class A) + 300 10,830
Gables Residential Trust 1,200 36,276
Giant Industries, Inc. + 300 1,788
Glacier Bancorp, Inc. 110 2,708
Glenborough Realty Trust Incorporated 1,100 21,065
Glimcher Realty Trust 1,900 42,560
Great Lakes REIT, Inc. 800 12,800
Greater Delaware Valley Savings Bank 710 16,074
GreenPoint Financial Corp. 4,500 229,230
HMN Financial, Inc. 900 17,460
HRPT Properties Trust 6,600 60,720
Health Care Property Investors, Inc. 3,100 131,285
Health Care REIT, Inc. 1,500 45,750
Healthcare Realty Trust, Inc. 2,600 75,790
Heritage Property Investment Trust 1,200 32,496
Highwoods Properties, Inc. 2,100 46,830
Home Properties of New York, Inc. 1,300 45,812
Hudson River Bancorp, Inc. 600 16,752
Hugoton Royalty Trust 3,400 62,560
Humphrey Hospitality Trust, Inc. 300 780
IBERIABANK Corporation 300 14,640
ITLA Capital Corporation + 200 8,086
Impac Mortgage Holdings, Inc. 2,400 40,056
Independence Community Bank Corp. 2,600 73,372
Independence Federal Savings Bank + 242 4,114
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance Independent Bank Corporation (Michigan) 857 $22,016
(continued) IndyMac Bancorp, Inc. 3,100 78,802
Innkeepers USA Trust 1,800 12,240
Innsuites Hospitality Trust 800 1,040
Instinet Group Incorporated 200 932
International Bancshares Corporation 1,951 69,378
Interpool, Inc. 1,100 18,062
Investment Technology Group, Inc. + 3,000 55,800
Investors Financial Services 3,900 113,139
Investors Real Estate Trust 300 3,237
iStar Financial Inc. 5,700 208,050
Jefferies Group, Inc. 1,600 79,664
Keystone Property Trust 100 1,851
Knight Trading Group, Inc. + 5,500 34,210
Koger Equity, Inc. 1,500 25,845
LNR Property Corp. 1,700 63,580
LTC Properties 700 6,685
La Quinta Corporation + 4,200 18,102
LabOne, Inc. + 600 12,936
LaBranche & Co. Inc. 2,700 55,863
Ladenburg Thalmann Financial Services Inc. + 1,707 393
LaSalle Hotel Properties 100 1,478
Legg Mason, Inc. 3,100 201,345
Leucadia National Corporation 3,300 122,496
Lexington Corporate Properties Trust 1,500 26,550
Liberty Self-Stor, Inc. + 6,000 2,160
Lincoln Bancorp 1,000 18,150
Lipid Sciences, Inc. + 500 990
Local Financial Corp. + 800 11,552
MB Financial, Inc. 700 28,028
MDC Holdings, Inc. 1,503 72,565
MFA Mortgage Investments, Inc. 3,300 33,132
Macerich Company 2,700 94,851
Mail-Well, Inc. + 1,600 4,032
Malan Realty Investors, Inc. + 200 868
Manufactured Home Communities, Inc. 1,100 38,621
Maxus Realty Trust, Inc. 300 3,273
McGrath Rentcorp 600 16,044
Medallion Financial Corp. 900 6,309
Meritage Corporation + 600 29,556
Metris Companies Inc. 4,900 27,195
Mid-America Apartment Communities, Inc. 700 18,907
The Midland Company 200 4,442
Mid Penn Bancorp, Inc. 105 2,284
Mills Corp. 2,200 73,810
Monmouth Capital Corporation 400 1,920
Monmouth Real Estate Investment Corporation (Class A) 2,200 15,444
NASB Financial Inc. 400 11,116
Nastech Pharmaceutical Company + 500 5,035
National Health Investors, Inc. 200 3,688
The National Security Group, Inc. 120 1,680
National Western Life Insurance Company (Class A) + 200 22,086
Nationwide Health Properties, Inc. 2,300 36,639
Neuberger Berman Inc. 2,750 109,753
New Century Financial Corporation 1,400 61,110
New York Community Bancorp, Inc. 6,586 191,587
North American Scientific, Inc. + 400 3,064
Northwest Bancorp, Inc. 1,000 16,000
Nuveen Investments (Class A) 4,700 128,028
Ocwen Financial Corporation + 900 4,086
One Liberty Properties, Inc. 200 3,360
Oregon Trail Financial Corp. 1,100 27,467
PAB Bankshares, Inc. 500 6,495
PMC Capital, Inc. 2,500 12,125
PMC Commercial Trust 1,200 16,080
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance PS Business Parks, Inc. 500 $17,650
(continued) PVF Capital Corp. 242 3,318
Pacific Capital Bancorp 2,333 81,772
Pacific Northwest Bancorp 1,500 52,140
Pan Pacific Retail Properties, Inc. 2,009 79,054
Parkway Properties, Inc. 400 16,820
Penford Corporation 400 4,468
Pennsylvania Real Estate Investment Trust 1,700 50,915
The Peoples Holding Company 300 13,275
PetroCorp Incorporated + 600 6,690
Port Financial Corp. 200 10,776
Prentiss Properties Trust 1,900 56,981
Price Legacy Corporation + 1,700 6,375
Prime Group Realty Trust + 1,300 7,540
R & G Financial Corporation (Class B) 1,200 35,640
RAIT Investment Trust 1,300 34,450
RFS Hotel Investors, Inc. 5,100 62,832
Ramco-Gershenson Properties Trust 200 4,660
Raymond James Financial, Inc. 2,200 72,710
Realty Income Corporation 1,800 68,544
Reckson Associates Realty Corporation 2,300 47,978
Redwood Trust, Inc. 1,200 47,892
Resource America, Inc. (Class A) 600 6,210
Roberts Realty Investors, Inc. + 300 1,875
Roslyn Bancorp, Inc. 4,850 104,227
SEI Investments Company 5,600 179,200
SL Green Realty Corp. 1,000 34,890
SWS Group, Inc. 1,210 24,382
Santander BanCorp 1,730 28,303
Seacoast Financial Services Corporation 1,836 36,345
Security Bank Corporation 200 6,962
Semele Group, Inc. + 400 240
Senior Housing Properties Trust 1,700 23,052
Siebert Financial Corp. + 3,300 15,840
Sizeler Property Investors, Inc. 300 3,075
Sovereign Bancorp, Inc. 10,497 164,278
Sovran Self Storage, Inc. 500 15,750
Sports Resorts International, Inc. + 2,500 12,150
Staten Island Bancorp, Inc. 2,600 50,648
Stewart Information Services Corporation + 700 19,495
The Student Loan Corporation 800 100,800
Summit Properties Inc. 900 18,585
Sun Communities, Inc. 800 31,440
TF Financial Corporation 100 3,000
Tanger Factory Outlet Centers, Inc. 400 13,232
Tarragon Realty Investors Inc. + 363 5,293
Taubman Centers, Inc. 3,700 70,892
Thistle Group Holdings, Co. 1,300 20,605
Thornburg Mortgage, Inc. 3,000 74,100
Town & Country Trust 500 11,625
Transnational Financial Network + 1,500 2,775
United Community Banks, Inc. 400 9,992
United Panam Financial Corp + 2,500 30,875
UnitedGlobalCom Inc. (Class A) + 6,400 33,088
Universal Health Realty Income Trust 500 13,500
Urstadt Biddle Properties 1,300 17,290
Value Line, Inc. 100 4,911
W Holding Company, Inc. 4,850 82,062
WFS Financial Inc. + 1,360 45,574
W.P. Carey & Co. LLC 1,000 29,940
WVS Financial Corp. 200 3,600
Waddell & Reed Financial, Inc. (Class A) 3,100 79,577
Washington Federal, Inc. 3,584 82,898
Washington Real Estate Investment Trust 1,100 29,920
Wayne Savings Bancshares, Inc. 151 2,054
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Miscellaneous Finance Waypoint Financial Corp. 1,600 $28,864
(concluded) Webster Financial Corporation 2,100 79,380
Weingarten Realty Investors 2,650 111,035
Wellsford Real Properties Inc. + 900 13,869
Wesco Financial Corporation + 302 94,224
White Mountains Insurance Group Inc. 363 143,385
Willis Lease Finance Corporation + 200 932
Willow Grove Bankcorp, Inc. 1,900 32,300
World Acceptance Corporation + 2,400 39,072
Wyndham International, Inc. (Class A)+ 700 308
The Ziegler Companies, Inc. 100 1,510
-------------
14,899,059
Miscellaneous Manufacturing - 0.0% APW Ltd. + 3,800 0
Polymer Group, Inc. (Class B) + 2 18
-------------
18
Motor Vehicles - 1.8% A.O. Smith Corporation 1,400 39,410
A.S.V., Inc. + 500 7,240
Aftermarket Technology Corp. + 1,200 12,612
American Axle & Manufacturing Holdings, Inc. + 1,900 45,410
Arctic Cat Inc. 1,700 32,572
ArvinMeritor, Inc. 3,200 64,576
BorgWarner, Inc. 1,200 77,280
CSK Auto Corporation + 1,100 15,895
Coachmen Industries, Inc. 600 7,170
Collins & Aikman Corporation + 4,200 12,390
Donaldson Company, Inc. 1,700 75,565
Dura Automotive Systems, Inc. (Class A)+ 800 7,848
Federal-Mogul Corporation + 3,300 1,056
FinishMaster, Inc. + 300 2,895
Fleetwood Enterprises, Inc. + 2,200 16,280
General Motors Corporation (Class H) + 56,300 721,203
Gentex Corporation + 4,300 131,623
Group 1 Automotive, Inc. + 1,000 32,410
Hastings Manufacturing Company + 100 550
IMPCO Technologies, Inc. + 1,300 8,008
Keystone Automotive Industries, Inc. + 600 10,956
The Lamson & Sessions Co. + 200 964
Lear Corporation + 2,500 115,050
Lithia Motors, Inc. (Class A)+ 700 11,319
MarineMax, Inc. + 600 8,400
Midas Group, Inc. + 700 8,484
Modine Manufacturing Co. 1,500 29,055
Monaco Coach Corporation + 1,600 24,528
Monro Muffler Brake, Inc. + 1,300 36,738
Myers Industries, Inc. 1,437 13,652
Oshkosh Truck Corporation 700 41,524
Owosso Corporation + 1,700 680
Polaris Industries, Inc. 1,500 92,100
SPX Corporation + 3,128 137,820
Sonic Automotive, Inc. + 1,200 26,292
Spartan Motors, Inc. 3,400 28,084
Standard Motor Products, Inc. 2,800 31,080
Starcraft Corporation + 700 21
Stoneridge, Inc. + 900 12,285
Superior Industries International, Inc. 900 37,530
Thor Industries, Inc. 1,400 57,148
Titan International, Inc. 3,500 4,340
Tower Automotive, Inc. + 1,600 5,856
United Auto Group, Inc. + 1,300 28,314
United Defense Industries, Inc. + 1,100 28,534
Winnebago Industries, Inc. 900 34,110
-------------
2,136,857
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Non-Durables - 2.3% The 3DO Company + 712 $256
AFC Enterprises, Inc. + 1,300 21,112
Acclaim Entertainment Inc. + 8,400 5,712
Acres Gaming Incorporated + 2,100 23,646
Action Performance Companies, Inc. 1,000 19,000
Activision, Inc. + 4,250 54,910
Applebee's International, Inc. 3,250 102,148
barnesandnoble.com inc. + 7,100 16,543
Benihana Inc. (Class A) + 430 5,676
Bob Evans Farms, Inc. 1,500 41,445
Bowl America Incorporated (Class A) 210 2,468
Boyd Gaming Corporation + 1,700 29,342
The Boyds Collection, Ltd. + 2,300 10,833
Brass Eagle Inc. + 100 832
Brinker International, Inc. + 4,100 147,682
Buca, Inc. + 2,600 14,664
CBRL Group, Inc. 2,900 112,694
CEC Entertainment Inc. + 1,100 40,623
CKE Restaurants, Inc. + 2,300 12,857
California Pizza Kitchen, Inc. + 2,000 43,000
Centillium Communications, Inc. + 1,900 18,829
Championship Auto Racing Teams, Inc. + 1,700 4,250
Champps Entertainment, Inc. + 2,800 14,056
Checkers Drive-In Restaurants, Inc. + 2,900 32,799
The Cheesecake Factory Incorporated + 1,900 68,191
Chicago Pizza & Brewery, Inc. + 1,000 10,000
Churchill Downs Incorporated 200 7,662
Corvis Corporation + 14,700 21,609
Denny's Corp. + 2,700 1,809
Department 56, Inc. + 500 7,665
Dover Motorsports, Inc. 2,000 8,200
Drew Industries Incorporated + 400 7,280
Equity Marketing, Inc. + 1,200 17,760
Factory 2-U Stores Inc. + 1,100 5,478
Fossil, Inc. + 2,250 53,010
Handleman Company + 1,200 19,200
Hanover Direct, Inc. + 4,100 1,148
Hibbett Sporting Goods, Inc. + 1,250 41,175
Hollywood Media Corp. + 4,300 5,590
Huffy Corporation + 100 700
ICU Medical, Inc. + 1,400 43,610
IHOP Corp. 400 12,628
International Speedway Corp. (Class A) 3,100 122,481
Isle of Capri Casinos, Inc. + 3,000 49,590
JAKKS Pacific, Inc. + 2,813 37,385
Jack in the Box Inc. + 1,800 40,140
Kreisler Manufacturing Corporation + 300 1,440
Krispy Kreme Doughnuts, Inc. + 2,300 94,714
Lancaster Colony Corporation 1,800 69,588
Landry's Restaurants, Inc. 1,500 35,400
Lazare Kaplan International Inc. + 300 1,740
Leapfrog Enterprises, Inc. + 2,000 63,620
LodgeNet Entertainment Corporation + 500 5,475
Lone Star Steakhouse & Saloon, Inc. 1,600 34,832
Luby's Cafeterias Inc. + 1,100 2,475
Marcus Corporation 300 4,485
Marvel Enterprises, Inc. + 3,400 64,940
Mego Financial Corp. + 200 48
Michael Anthony Jewelers, Inc. + 1,100 2,046
Midway Games Inc. + 2,700 9,801
Morgan's Foods, Inc. + 1,600 2,864
Movado Group, Inc. 100 2,175
O'Charley's Inc. + 2,100 45,213
The Ohio Art Company 300 4,359
On Command Corporation + 5,900 5,782
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Non-Durables Oneida Ltd. 800 $5,400
(concluded) Outback Steakhouse, Inc. 3,300 128,700
PECO II, Inc. + 900 540
P.F. Chang's China Bistro, Inc. + 1,200 59,052
Panera Bread Company (Class A) + 1,400 56,000
Papa John's International, Inc. + 1,200 33,660
Penn National Gaming, Inc. + 3,000 61,650
RARE Hospitality International, Inc. + 1,400 45,752
RC2 Corporation + 800 13,608
Red Robin Gourmet Burgers + 400 7,584
Reeds Jewelers, Inc. + 900 1,035
Regis Corporation 2,900 84,245
Riviana Foods Inc. 600 16,146
Ruby Tuesday, Inc. 2,900 71,717
Russ Berrie and Company, Inc. 1,000 36,510
Ryan's Family Steak Houses, Inc. + 2,600 36,400
SCP Pool Corporation + 1,100 37,840
Service Corporation International + 15,200 58,824
Servotronics, Inc. + 400 904
Sonic Corp. + 2,250 57,218
Sotheby's Holdings, Inc. (Class A) + 1,600 11,904
The Steak 'n Shake Company + 800 12,200
Steinway Musical Instruments, Inc. + 300 4,620
Stewart Enterprises, Inc. (Class A) + 3,900 16,770
The Topps Company, Inc. 2,000 17,180
Trans World Entertainment Corporation + 1,900 9,728
Triarc Companies, Inc. + 1,000 29,990
World Wrestling Federation Entertainment, Inc. 100 1,029
-------------
2,724,891
Non-Ferrous Metals - 0.2% A.M. Castle & Company + 800 5,240
Brush Engineered Materials Inc. + 800 6,680
Century Aluminum Company 1,000 7,030
Coeur d'Alene Mines Corporation + 14,100 19,599
Commercial Metals Company 1,400 24,906
Commonwealth Industries, Inc. 700 3,304
Hecla Mining Company + 4,100 17,343
IMCO Recycling Inc. + 800 5,312
Kaiser Aluminum Corporation + 10,800 432
Minerals Technologies, Inc. 1,400 68,124
Mueller Industries, Inc. + 1,700 46,087
Oglebay Norton Company + 200 604
Reliance Steel & Aluminum Co. 800 16,560
Southern Peru Limited 700 10,710
Stillwater Mining Company + 900 4,626
Titanium Metals Corporation + 630 20,223
United Park City Mines Company + 700 14,105
Wolverine Tube, Inc. + 900 5,148
-------------
276,033
Optical Photo & Equipment - 0.2% Ascent Media Group, Inc. (Class A) + 200 248
August Technology Corp. + 700 4,389
BMC Industries, Inc. 1,100 594
CPI Corp. 400 7,060
CyberOptics Corporation + 100 671
Drexler Technology Corporation + 1,700 26,350
Fischer Imaging Corporation + 1,300 6,422
Imation Corp. 2,100 79,422
Ingram Micro Inc. (Class A) + 6,000 66,000
Lexar Media, Inc. + 2,200 20,988
Meade Instruments Corp. + 200 640
Panavision Inc. + 300 1,650
Photronics, Inc. + 2,400 41,880
StockerYale, Inc. + 100 77
Zomax Incorporated + 1,600 5,232
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Optical Photo & Equipment Zygo Corporation + 700 $5,600
(concluded) -------------
267,223
Paper & Forest Products - 0.5% Badger Paper Mills, Inc. + 200 1,158
Bowater Incorporated 2,500 93,625
Buckeye Technologies Inc. + 200 1,360
CSS Industries, Inc. 400 15,420
Caraustar Industries, Inc. + 1,300 10,413
Chesapeake Corporation 600 13,110
Deltic Timber Corporation 600 17,070
EarthShell Corporation + 700 280
Kadant Inc. + 480 9,000
Longview Fibre Company 2,200 18,040
P.H. Glatfelter Company 1,700 25,075
Packaging Corp. of America + 4,100 75,563
Pope & Talbot, Inc. 800 8,840
Potlatch Corporation 1,800 46,350
Rayonier Inc. 1,950 64,350
Rock-Tenn Company (Class A) 900 15,255
Smurfit-Stone Container Corporation + 12,500 162,875
Universal Forest Products, Inc. 600 12,564
Wausau - Mosinee Paper Corporation 2,300 25,760
-------------
616,108
Pipelines - 0.0% Tatham Offshore, Inc. + 15,700 8
-------------
Producer Goods - 2.9% AGCO Corporation + 3,423 58,465
AMETEK, Inc. 1,500 54,975
Aaon, Inc. + 500 9,260
Actuant Corporation (Class A) + 700 33,124
Advanced Energy Industries, Inc. + 1,600 22,800
Aeroflex Incorporated + 2,900 22,446
Alamo Group Inc. 400 4,888
Albany International Corp. (Class A) 1,300 35,620
Applied Industrial Technologies, Inc. 900 18,990
AptarGroup, Inc. 1,800 64,800
Astec Industries, Inc. + 800 6,976
Axcelis Technologies, Inc. + 4,700 28,764
BE Aerospace, Inc. + 5,600 18,536
Baldor Electric Company 1,300 26,780
Barnes Group Inc. 2,200 47,872
Blount International, Inc. + 200 1,140
Blyth, Inc. 2,100 57,120
Briggs & Stratton Corporation 900 45,450
Butler Manufacturing Company 1,600 26,448
CIRCOR International, Inc. 600 10,698
CLARCOR Inc. 1,200 46,260
CUNO Incorporated + 800 28,896
CYRO-CELL International, Inc. + 1,900 1,881
Capstone Turbine Corporation + 4,100 4,469
Catalyst Semiconductor, Inc. + 200 766
Chicago Rivet & Machine Co. 100 2,626
Cognex Corporation + 2,100 46,935
Columbus McKinnon Corporation + 800 1,856
Comfort Systems USA, Inc. + 1,900 4,997
Concord Camera Corp. + 200 1,418
Culp, Inc. + 600 4,140
Curtiss-Wright Corporation 500 31,600
Cyber-Care, Inc. + 12,900 13
Daisytek International Corporation + 1,600 112
DiamondCluster International, Inc. (Class A) + 2,200 8,162
DuraSwitch Industries, Inc. + 400 804
Duratek, Inc. + 700 5,481
The Eastern Company 200 2,920
Electric Fuel Corporation + 200 160
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Producer Goods FMC Corporation + 1,200 $27,156
(continued) The Fairchild Corporation (Class A) + 1,000 4,030
Fastenal Company 4,100 139,154
Fedders Corporation 1,320 4,052
Federal Signal Corporation 2,100 36,897
Fisher Scientific International Inc. + 2,800 97,720
Flowserve Corporation + 2,400 47,208
Foster Wheeler Ltd. + 4,800 10,272
Franklin Electric Co., Inc. 200 11,130
Gardner Denver Inc. + 600 12,276
The Gorman-Rupp Company 100 2,400
Graco Inc. 2,325 74,400
GrafTech International Ltd. + 2,800 15,260
HON INDUSTRIES Inc. 2,600 79,300
HPSC, Inc. + 300 2,919
Hanover Compressor Company + 2,349 26,544
Hardinge, Inc. 200 1,620
Harsco Corporation 1,900 68,495
Helix Technology Corporation 1,400 18,522
Herman Miller, Inc. 3,500 70,735
Hexcel Corporation + 1,700 5,440
Hi-Shear Technology Corporation + 700 1,435
Hubbell Incorporated (Class B) 2,300 76,130
Hughes Supply, Inc. 1,100 38,170
Hydril Company + 1,100 29,975
IDEX Corporation 1,600 57,984
Ibis Technology Corporation + 100 771
Ionics, Inc. + 1,000 22,370
JLG Industries, Inc. 900 6,120
Jacuzzi Brands, Inc. + 6,100 32,269
Jarden Corp. + 700 19,369
Juno Lighting, Inc. + 100 1,320
Kaydon Corp. 2,600 54,080
Kennametal Inc. 1,500 50,760
Kos Pharmaceuticals, Inc. + 800 18,776
L.B. Foster Company (Class A) + 600 3,084
Ladish Co., Inc. + 700 4,634
Lawson Products, Inc. 500 13,770
Lennox International Inc. 1,800 23,166
Libbey, Inc. 582 13,211
Lincoln Electric Holdings, Inc. 1,700 34,697
Lone Star Technology + 1,400 29,652
MSC Industrial Direct Co., Inc. (Class A) + 1,900 34,010
Magnetek, Inc. + 1,200 3,048
The Manitowoc Co., Inc. 1,300 28,990
Material Sciences Corporation 200 1,940
Matthews International Corporation (Class A) 1,200 29,712
Maverick Tube Corporation + 2,000 38,300
Merix Corporation + 1,200 9,144
Micrel, Inc. + 3,600 37,404
Milacron Inc. 1,300 6,357
Minuteman International, Inc. 200 1,860
Modtech Holdings, Inc. + 100 900
Moog Inc. (Class A) + 700 24,325
NACCO Industries, Inc. (Class A) 300 17,682
NATCO Group Inc. (Class A)+ 800 5,464
NN, Inc. 2,900 36,714
Nordson Corporation 1,300 31,005
Oceaneering International, Inc. + 1,400 35,770
Paul Mueller Company 100 4,050
Pentair, Inc. 2,300 89,838
Plug Power Inc. + 2,365 11,045
Possis Medical, Inc. + 700 9,604
Precision Castparts Corp. 2,100 65,310
Presstek, Inc. + 1,700 10,591
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Producer Goods Proton Energy Systems, Inc. 1,700 $3,638
(concluded) ROHN Industries, Inc. + 1,600 224
Raytech Corporation + 2,100 8,925
Regal-Beloit Corporation 1,200 22,920
Research Frontiers Incorporated + 500 7,000
Robbins & Myers, Inc. 700 12,950
Ronson Corporation + 882 997
Roper Industries, Inc. 1,500 55,800
SPS Technologies, Inc. + 600 16,224
Safeguard Scientifics, Inc. + 700 1,890
Sauer-Danfoss, Inc. 700 7,525
Schuff Steel Company + 500 700
Selas Corporation of America + 500 750
Sequa Corporation (Class A) + 500 17,150
The Shaw Group Inc. + 1,500 18,075
Sonic Solutions + 800 6,896
Spectrum Control, Inc. + 200 1,124
Standex International Corporation 600 12,600
Steelcase Inc. (Class A) 1,400 16,464
Stewart & Stevenson Services, Inc. 1,900 29,925
Sun Hydraulics Corporation 300 2,328
SystemOne Technologies Inc. + 600 330
TRM Corporation + 500 915
Tecumseh Products Company (Class A) 1,400 53,634
Teleflex Incorporated 1,800 76,590
Tennant Company 500 18,375
Tenneco Automotive Inc. + 200 720
Terex Corporation + 1,244 24,283
The Timken Company 5,500 96,305
Trinity Industries, Inc. 2,000 37,020
Triumph Group, Inc. + 800 22,536
Twin Disc, Incorporated 100 1,415
Ultratech Stepper, Inc. + 2,100 38,829
Valhi, Inc. 6,340 60,991
Valmont Industries, Inc. 300 5,838
WMS Industries Inc. + 800 12,472
Watsco, Inc. 300 4,968
Watts Industries, Inc. (Class A) 1,300 23,205
Woodhead Industries, Inc. 500 6,260
Woodward Governor Company 500 21,500
X-Rite, Incorporated 900 8,919
York International Corporation 1,500 35,100
Zebra Technologies Corporation (Class A) + 1,900 142,861
-------------
3,546,155
Railroads & Shipping - 0.2% Alexander & Baldwin, Inc. 1,800 47,754
Diamondhead Casino Corporation + 4,600 2,576
Florida East Coast Industries, Inc. (Class A) 1,800 45,990
GATX Corporation 2,100 34,335
Genesee & Wyoming Inc. (Class A) + 600 12,342
The Greenbrier Companies, Inc. + 700 7,595
International Shipholding Corporation + 300 3,240
Kansas City Southern Industries, Inc. + 2,800 33,684
OMI Corporation (New Shares) + 5,300 32,648
Overseas Shipholding Group, Inc. 1,500 33,015
RailAmerica, Inc. + 1,300 10,985
Wabtec Corporation 700 9,737
-------------
273,901
Real Property - 3.1% AMB Property Corporation 4,000 112,680
American Real Estate Partners, LP + 600 7,380
Archstone-Smith Trust 9,275 222,600
Avalonbay Communities, Inc. 3,400 144,976
Avatar Holdings Inc. + 400 12,080
BRT Realty Trust 300 4,770
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Real Property Boston Properties, Inc. 4,900 $214,620
(concluded) California Coastal Communities, Inc. + 400 2,640
Capital Title Group, Inc. + 5,800 26,100
Catellus Development Corporation + 4,800 105,600
Corporate Office Properties Trust 200 3,386
Crescent Real Estate Equities Company 5,000 83,050
Duke Realty Corporation 6,000 165,300
Equity Inns Inc. 1,900 13,110
FelCor Lodging Trust Inc. 5,700 44,745
Forest City Enterprises, Inc. (Class A) 2,100 87,045
General Growth Properties, Inc. 3,200 199,808
Grubb & Ellis Company + 322 378
Heartland Partners LP (Class A) + 100 745
HomeStore.com, Inc. + 4,200 7,224
Hospitality Properties Trust 2,700 84,375
Host Marriot Corporation + 10,800 98,820
Insignia Financial Group, Inc. + 3,100 34,441
Jones Lang Lasalle Inc. + 1,500 23,700
Kilroy Realty Corporation 1,100 30,250
Kimco Realty Corporation 5,350 202,765
Liberte Investors, Inc. + 700 3,801
Liberty Property Trust 3,800 131,480
Mack-Cali Realty Corporation 2,600 94,588
Mid-Atlantic Realty Trust 2,000 41,880
New Plan Excel Realty Trust 5,000 106,750
Newhall Land & Farming Company 600 18,150
Odd Job Stores, Inc. + 300 858
Post Properties, Inc. 1,800 47,700
ProLogis Trust 9,143 249,604
Public Storage, Inc. 6,200 209,994
Reading International, Inc. (Class A) + 1,000 5,550
Regency Centers Corporation 3,800 132,924
The Rouse Company 5,000 190,500
Santa Fe Financial Corporation + 200 2,420
Saul Centers, Inc. 300 7,680
Shurgard Storage Centers, Inc. (Class A) 1,800 59,544
The St. Joe Company 3,300 102,960
Stratus Properties Inc. + 200 1,792
Trammell Crow Company + 500 5,305
Trizec Properties, Inc. 5,400 61,398
United Dominion Realty Trust, Inc. 4,900 84,378
Vornado Realty Trust 5,700 248,520
-------------
3,740,364
Retail - 3.9% 1-800-FLOWERS.COM, Inc. (Class A)+ 1,100 9,064
99 Cents Only Stores + 2,666 91,497
A.C. Moore Arts & Crafts, Inc. + 900 18,027
Abercrombie & Fitch Co. (Class A) + 3,900 110,799
Able Energy, Inc. + 600 1,860
Alloy, Inc. + 2,300 14,835
Amazon.com, Inc. + 19,400 707,906
American Eagle Outfitters, Inc. + 2,750 50,435
AnnTaylor Stores Corporation + 1,350 39,083
Arden Group, Inc. (Class A) + 200 11,800
BJ's Wholesale Club, Inc. + 2,900 43,674
Barnes & Noble, Inc. + 3,000 69,150
Blue Rhino Corporation + 900 10,791
The Bombay Company, Inc. + 1,600 17,008
Borders Group, Inc. + 3,100 54,591
Brightpoint, Inc. + 1,111 13,665
Brookstone, Inc. + 300 6,015
Brown Shoe Company, Inc. 1,200 35,760
Burlington Coat Factory Warehouse Corporation 2,200 39,380
CarMax, Inc. + 4,700 141,705
Casey's General Stores, Inc. 2,400 33,936
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Retail The Cato Corporation (Class A) 1,300 $27,404
(continued) Central Garden & Pet Company + 900 21,465
Charlotte Russe Holding Inc. + 1,300 13,416
Charming Shoppes, Inc. + 9,100 45,227
Chico's FAS, Inc. + 3,250 68,413
The Children's Place Retail Stores, Inc. + 2,300 45,678
Christopher & Banks Corporation + 1,225 45,313
Claire's Stores, Inc. 2,300 58,328
Coldwater Creek Inc. + 150 1,850
Cole National Corporation (Class A) + 2,200 27,544
Cost Plus, Inc. + 1,300 46,358
Dairy Mart Convenience Stores, Inc. + 500 0
Deb Shops, Inc. 100 1,880
dELiA*s Corp. (Class A) + 2,300 1,610
Dollar Tree Stores, Inc. + 5,300 168,168
The Dress Barn, Inc. + 1,853 23,478
Drugstore.com, Inc. + 3,400 19,856
Duane Read Inc. + 1,200 17,700
F.A.O., Inc. + 180 419
The Finish Line, Inc. (Class A)+ 1,900 42,199
Flanigan's Enterprises, Inc. 200 1,260
Foot Locker, Inc. 7,100 94,075
Footstar, Inc. + 1,300 16,900
Fred's, Inc. 1,900 70,642
Friedman's Inc. (Class A) 500 5,685
Gadzooks, Inc. + 100 568
Genesco Inc. + 1,300 23,010
GenesisIntermedia, Inc. + 1,900 0
Goody's Family Clothing, Inc. 3,100 26,815
The Great Atlantic & Pacific Tea Company, Inc. + 1,900 16,720
Guitar Center, Inc. + 1,900 55,100
The Gymboree Corporation + 1,700 28,526
Hancock Fabrics, Inc. 2,300 37,145
Hot Topic, Inc. + 1,500 40,365
Insight Enterprises, Inc. + 4,300 43,258
Jo-Ann Stores Inc. (Class A)+ 1,100 27,830
Lillian Vernon Corporation + 300 2,166
Linens 'n Things, Inc. + 2,000 47,220
Longs Drug Stores Corporation 1,700 28,220
The Men's Wearhouse, Inc. + 1,900 41,515
Michael's Stores 3,000 114,180
The Neiman Marcus Group, Inc. (Class A) + 2,200 80,520
OfficeMax, Inc. + 3,500 22,925
O'Reilly Automotive, Inc. + 2,700 90,153
PC Connection, Inc. + 1,000 6,800
PETCO Animal Supplies, Inc. + 100 2,174
PETsMART, Inc. 6,400 106,688
Pacific Sunwear of California, Inc. + 2,350 56,612
Party City Corporation + 800 8,216
Pathmark Stores, Inc. + 3,500 26,775
Payless ShoeSource, Inc. + 2,700 33,750
The Pep Boys-Manny, Moe & Jack 2,500 33,775
Pier 1 Imports, Inc. 4,300 87,720
PriceSmart, Inc. + 300 3,981
Rite Aid Corporation + 24,600 109,470
Ross Stores, Inc. 4,000 170,960
Ruddick Corporation 1,900 29,868
Saks Incorporated + 5,700 55,290
School Specialty, Inc. + 1,700 48,382
Sharper Image Corporation + 700 19,089
Shoe Carnival, Inc. + 100 1,476
ShopKo Stores, Inc. + 1,700 22,100
Stamps.com Inc. + 2,900 13,920
Stein Mart, Inc. + 1,700 10,183
Systemax Inc. + 700 2,380
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Retail TAM Restaurants, Inc. + 6,800 $7
(concluded) The Talbots, Inc. 2,900 85,405
Too Inc. + 900 18,225
Tractor Supply Company + 1,100 52,525
Tuesday Morning Corporation + 1,300 34,190
UniFirst Corporation 400 8,760
United Stationers, Inc. + 2,200 79,574
Urban Outfitters, Inc. + 1,000 35,900
Value City Department Stores, Inc. + 3,600 7,956
Weis Markets, Inc. 1,400 43,428
West Marine, Inc. + 2,000 35,020
The Wet Seal, Inc. (Class A) + 1,175 12,549
Whitehall Jewelers, Inc. + 700 6,349
Whole Foods Market, Inc. + 2,800 133,084
Williams-Sonoma, Inc. + 5,400 157,680
Zale Corporation + 1,400 56,000
-------------
4,728,346
Savings & Loans - 0.0% NS & L Bancorp 200 3,500
-------------
Soaps & Cosmetics - 0.4% Church & Dwight Co., Inc. 1,800 58,914
Del Laboratories, Inc. + 332 7,802
The Dial Corporation 4,700 91,415
Elizabeth Arden, Inc. + 900 11,853
The Estee Lauder Companies Inc. (Class A) 6,300 211,238
Inter Parfums, Inc. 1,000 7,400
Nu Skin Enterprises, Inc. (Class A) 1,900 19,855
Playtex Products, Inc. + 1,500 9,630
Revlon, Inc. (Class A) + 1,072 3,216
-------------
421,323
Software - 0.0% General Magic, Inc. + 35 0
-------------
Steel - 0.2% AK Steel Holding Corporation + 8,500 30,770
Ampco-Pittsburgh Corporation 200 2,680
Carpenter Technology Corporation 1,000 15,600
Cleveland-Cliffs Inc. + 500 8,925
Friedman Industries, Incorporated 600 1,560
Gibraltar Steel Corporation 600 12,288
Intermet Corporation 2,000 6,740
Keystone Consolidated Industries, Inc. + 700 168
NS Group, Inc. + 100 975
National Steel Corp. (Class B)+ 11,100 233
Northwest Pipe Company + 300 4,164
Oregon Steel Mills, Inc. + 1,300 3,770
Quanex Corporation 900 26,748
Roanoke Electric Steel Corporation 600 4,494
Ryerson Tull, Inc. 1,000 8,780
Schnitzer Steel Industries, Inc. (Class A) 800 35,296
Shiloh Industries, Inc. + 400 1,292
Special Metals Corporation + 500 5
Steel Dynamics, Inc. + 2,300 31,510
Steel Technologies Inc. 2,400 24,264
Weirton Steel Corporation + 300 17
-------------
220,279
Telecommunications - 0.0% ATSI Communications, Inc. + 500 25
CTC Communications Group, Inc. + 4,300 0
International FiberCom, Inc. + 200 0
MPower Holding Corporation + 7 7
Net2000 Communications, Inc. + 300 0
Nx Networks, Inc. + 300 0
OmniSky Corporation + 200 0
Triton Network Systems, Inc. + 100 60
-------------
92
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Telecommunication Services - 0.0% Advanced Switching + 100 $0
Integrated Telecom + 300 0
McLeod USA Incorporated (Class A) + 16,016 0
-------------
0
Telephone - 2.4% Adtran, Inc. + 2,100 107,708
Applied Digital Solutions, Inc. + 600 354
Applied Innovation Inc. + 600 2,076
Applied Signal Technology, Inc. 1,600 27,200
Atlantic Tele-Network, Inc. 200 4,458
autobytel.com inc. + 3,800 23,712
Boston Communications Group, Inc. + 1,800 30,834
CT Communications, Inc. 800 8,600
Carrier Access Corporation + 4,400 9,592
Centennial Communications Corp. + 3,800 15,200
Choice One Communications Inc. + 6,900 2,139
Cincinnati Bell Inc. + 9,600 64,320
Commonwealth Telephone Enterprises, Inc. + 1,700 74,749
Copper Mountain Networks, Inc. + 230 2,484
Covad Communications Group, Inc. + 11,600 11,600
Covista Communications, Inc. + 300 939
Crown Castle International Corp. + 11,400 88,578
D&E Communications, Inc. 699 8,004
Davel Communications, Inc. + 6,900 55
Dobson Communications Corporation (Class A) + 700 3,710
Equinix, Inc. + 15 118
Focal Communications Corporation + 64 1
General Communication, Inc. (Class A) + 2,400 20,784
Hector Communications Corporation + 100 1,250
Hickory Tech Corporation 600 6,720
ITXC Corp. + 8,000 20,880
Inet Technologies, Inc. + 800 7,976
InteliData Technologies Corporation + 2,000 6,120
InterDigital Communications Corporation + 2,800 65,436
Inter-Tel Inc. 2,100 44,562
j2 Global Communications, Inc. + 900 41,382
Leap Wireless International, Inc. + 1,500 75
Level 3 Communications, Inc. + 26,000 172,640
Lexent Inc. + 5,000 6,950
Liberty Media Corporation (Class A) + 125,772 1,453,922
Liberty Satellite & Technology, Inc. (Class A) + 960 2,400
Liberty Satellite & Technology, Inc. (Class B) + 20 140
McLeod USA Incorporated (Class A) + 9,238 13,949
Net2Phone, Inc. + 1,400 6,062
Nextel Partners, Inc. (Class A) + 8,600 62,780
North Pittsburgh Systems, Inc. 600 9,042
Optical Cable Corporation + 247 1,726
Pegasus Communications Corporation + 340 10,057
Price Communications Corporation + 2,400 30,984
Primus Telecommunications Group, Incorporated + 700 3,598
RCN Corporation + 5,500 10,890
Stratos Lightwave, Inc. + 390 1,938
Sunrise Telecom Incorporated + 4,800 8,496
SureWest Communications 300 9,075
TALK America Holdings, Inc. + 2,533 27,635
T-NETIX, Inc. + 500 1,000
Telephone and Data Systems, Inc. 2,700 134,189
Tellular Corporation + 200 964
Terremark Worldwide, Inc. + 8,000 6,960
Time Warner Telecom Inc. (Class A) + 4,500 28,665
Triton PCS Holdings, Inc. (Class A) + 2,300 11,615
Turnstone Systems, Inc. + 2,600 6,526
Tut Systems, Inc. + 100 394
US LEC Corp. (Class A) + 100 382
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Telephone UTStarcom, Inc. + 500 $17,785
(concluded) UbiquiTel Inc. + 4,100 6,519
Ulticom, Inc. + 1,700 16,150
United States Cellular Corporation + 4,400 111,979
Warwick Valley Telephone Company 100 8,204
Z-Tel Technologies, Inc. + 200 492
-------------
2,885,724
Textiles - 0.0% Guilford Mills, Inc. + 26 224
Thomaston Mills, Inc. (Class A) + 1,300 0
-------------
224
Tire & Rubber Goods - 0.1% American Biltrite Inc. 200 1,420
Bandag, Incorporated 800 29,816
Carlisle Companies Incorporated 1,700 71,672
SRI/Surgical Express, Inc. + 1,000 6,859
TBC Corporation + 900 17,145
-------------
126,912
Tobacco - 0.1% Schweitzer-Manduit International, Inc. 700 16,898
Universal Corporation 1,700 71,910
Vector Group Ltd. 2,828 49,490
-------------
138,298
Travel & Recreation - 2.4% All-American SportPark, Inc. + 4,038 162
Alliance Gaming Corporation + 2,400 45,384
Amerco + 4,400 31,328
Ameristar Casinos, Inc. + 2,500 53,375
Argosy Gaming Company + 2,200 46,002
Arkansas Best Corporation 2,200 52,338
Aztar Corporation + 2,200 35,442
Bally Total Fitness Holding Corporation + 1,600 14,448
BancTrust Financial Group, Inc. 300 4,716
C.H. Robinson Worldwide, Inc. 3,900 138,683
CNF Transportation Inc. 1,900 48,222
Callaway Golf Company 3,100 40,982
Cedar Fair, LP 2,000 56,000
Central Parking Corporation 1,600 19,776
Choice Hotels International, Inc. + 1,800 49,158
Dick's Sporting Goods, Inc. + 1,200 44,016
Dollar Thrifty Automotive Group, Inc. + 1,200 22,260
Expedia, Inc. (Class A) + 2,300 175,674
Expeditors International of Washington, Inc. 4,800 166,272
Extended Stay America, Inc. + 3,700 49,913
Forward Air Corporation + 900 22,833
Frozen Food Express Industries, Inc. + 800 2,528
Full House Resorts, Inc. + 1,000 710
Gart Sports Company + 1,200 34,032
Glassmaster Company + 1,200 264
Heartland Express, Inc. + 2,454 54,602
International Leisure Hosts, Ltd. + 400 2,000
J.B. Hunt Transport Services, Inc. + 2,400 90,599
Jameson Inns, Inc. 400 1,120
Johnson Outdoors Inc. (Class A) + 2,200 30,030
K2 Inc. + 1,332 16,317
Knight Transportation, Inc. + 1,500 37,350
Lakes Gaming Inc. + 2,200 17,576
Landstar System, Inc. + 1,100 69,135
MGM Mirage Inc. + 7,700 263,185
MTR Gaming Group, Inc. + 3,400 26,248
Mandalay Resort Group 3,500 111,475
Marten Transport, Ltd. + 900 24,210
Meristar Hospitality Corp. 2,100 10,794
Monarch Casino & Resort, Inc. + 3,400 31,688
Multimedia Games, Inc. + 800 20,400
Master Extended Market Index Series
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
- ----------------------------------------------------------------------------------------------------------------------------
Travel & Recreation Navigant International, Inc. + 700 $9,030
(concluded) Old Dominion Freight Line, Inc. + 450 9,729
P.A.M. Transportation Services, Inc. + 400 10,048
Park Place Entertainment Corporation + 11,800 107,262
Pinnacle Entertainment, Inc. + 2,300 15,640
President Casinos, Inc. + 2,300 759
Prime Hospitality Corp. + 2,200 14,762
Renaissance Entertainment Corporation + 4,700 1,081
Rent-Way, Inc. + 1,200 5,580
ResortQuest International, Inc. + 800 3,528
Roadway Express, Inc. 1,400 39,942
Royal Caribbean Cruises Ltd. 10,200 236,231
Scientific Games Corporation 1,100 10,340
ShoLodge, Inc. + 300 975
Shuffle Master, Inc. + 1,575 46,289
Six Flags, Inc. + 3,600 24,408
Sonesta International Hotels Corporation (Class A) 200 1,018
Speedway Motorsports, Inc. 1,300 34,840
The Sports Authority, Inc. + 1,600 17,120
The Sports Club Company, Inc. + 500 1,350
Sports Entertainment Enterprises, Inc. + 7,300 146
Station Casinos, Inc. + 2,800 70,700
Stellent, Inc. + 1,100 5,940
Swift Transportation Co., Inc. + 3,870 72,059
Travis Boats & Motors, Inc. + 500 405
U.S. Xpress Enterprises, Inc. (Class A) + 600 6,384
USF Corporation 1,300 35,061
United Road Services, Inc. + 500 75
Vail Resorts, Inc. + 400 5,388
Wabash National Corporation + 1,400 19,642
Werner Enterprises, Inc. 4,000 84,800
WestCoast Hospitality Corporation + 300 1,518
Women's Golf Unlimited Inc. + 200 136
Yellow Corporation + 1,400 32,410
-------------
2,885,843
- ----------------------------------------------------------------------------------------------------------------------------
Total Common Stocks (Cost -$117,752,430) - 96.9% 116,653,888
- ----------------------------------------------------------------------------------------------------------------------------
Rights
- ----------------------------------------------------------------------------------------------------------------------------
Health Care - 0.0% Lipid Sciences, Inc. (d) 500 0
OSI Pharmaceuticals (Contingent Value) 1,300 0
Psychiatric Solutions, Inc. (e) 800 0
-------------
0
Miscellaneous Finance - 0.0% Hoenig Group (Contingent Payment) 1,500 0
-------------
Telecommunication Services - 0.0% XO Communications 20,500 2
-------------
- ----------------------------------------------------------------------------------------------------------------------------
Total Rights (Cost - $0) - 0.0% 2
- ----------------------------------------------------------------------------------------------------------------------------
Warrants (c)
- ----------------------------------------------------------------------------------------------------------------------------
Materials - 0.0% Metals USA Inc. 68 10
-------------
Miscellaneous Manufacturing - 0.0% APW Ltd. 1 0
Polymer Group Inc. (Class A) 3 0
Polymer Group Inc. (Class B) 3 0
-------------
0
Telecommunication Services - 0.0% Motient Corporation 10 1
SpectraSite, Inc. 46 1,173
-------------
1,174
Telephone - 0.0% Focal Communications Corporation 63 1
-------------
Master Extended Market Index Series
Schedule of Investments
Value
- ----------------------------------------------------------------------------------------------------------------------------
Total Warrants (Cost - $2,158) - 0.0% $1,185
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
Total Long-Term Investments (Cost - $117,754,588) - 96.9% 116,655,075
- ----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM Shares Held/
SECURITIES Beneficial Interest
- ----------------------------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I (a) $ 6,022,092 6,022,092
Merrill Lynch Liquidity Series, LLC Money Market Series (a) (b) $ 1,281,488 1,281,488
Merrill Lynch Premier Institutional Fund (a) (b) 854,325 854,325
-------------
- ----------------------------------------------------------------------------------------------------------------------------
Total Short-Term Securities (Cost - $8,157,905) - 6.8% 8,157,905
- ----------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $125,912,493) - 103.7% 124,812,980
Variation Margin on Financial Futures Contracts* - 0.0% (17,588)
Liabilities in Excess of Other Assets - (3.7%) (4,463,562)
-------------
Net Assets - 100.0% $120,331,830
=============
- ----------------------------------------------------------------------------------------------------------------------------
* Financial futures contracts purchased as of June 30, 2003 were as follows:
-------------------------------------------------------------------------------------------------------
Number of Expiration
Contracts Issue Date Value
-------------------------------------------------------------------------------------------------------
6 Russell 2000 Index September 2003 $1,345,200
10 S&P 400 Midcap September 2003 2,401,000
-------------------------------------------------------------------------------------------------------
Total Financial Futures Contracts Purchased
(Total Contract Price - $3,783,572) $3,746,200
==========
-------------------------------------------------------------------------------------------------------
(a) Investments in companies considered to be an affiliate of the Series (such
companies are defined as Affiliated Companies in Section 2(a)(3) of the
Investment Company Act of 1940) are as follows:
-----------------------------------------------------------------------------------------------------------------------
Affiliate Net Dividend/Interest
Activity Income
-----------------------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $1,841,800 $30,139
Merrill Lynch Liquidity Series, LLC Money Market Series $ 892,316 $ 4,394
Merrill Lynch Premier Institutional Fund 509,212 $ 2,756
-----------------------------------------------------------------------------------------------------------------------
(b) Security was purchased with the cash proceeds from securities loans.
(c) Warrants entitle the Series to purchase a predetermined number of shares
of stock/face amount of bonds and are non-income producing. The purchase
price and number of shares of stock/face amount of bonds are subject to
adjustment under certain conditions until the expiration date.
(d) The rights may be exercised until 11/28/03.
(e) The rights may be exercised until 8/16/04.
+ Non-income producing security.
++ For Series compliance purposes, "Industry" means any one or more of the
industry sub-classifications used by one or more widely recognized market
indexes or ratings group indexes, and/or as defined by Series management.
This definition may not apply for purposes of this report, which may
combine such industry sub-classifications for reporting ease.
See Notes to Financial Statements.
Master Extended Market Index Series, June 30, 2003
STATEMENT OF ASSETS AND LIABILITIES
MASTER
EXTENDED MARKET
INDEX SERIES As of June 30, 2003
- -------------------------------------------------------------------------------------------------------------------------------
Assets: Investments, at value (including securities loaned of $2,048,046)
(identified cost-$125,912,493) ........................................... $124,812,980
Cash on deposit for financial futures contracts .......................... 379,649
Receivables:
Securities sold ................................................. $ 9,119,357
Contributions ................................................... 143,319
Dividends ....................................................... 93,242
Securities lending-net .......................................... 15,532
Interest ........................................................ 6,635 9,378,085
-----------
Prepaid expenses and other assets ........................................ 31,600
------------
Total assets ............................................................. 134,602,314
------------
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities: Collateral on securities loaned, at value ................................ 2,135,813
Payables:
Securities purchased ................................................ 11,982,531
Withdrawals ......................................................... 99,473
Variation margin .................................................... 17,588
Custodian bank ...................................................... 14,285
Investment adviser ................................................. 1,010
Other affiliates ................................................... 569 12,115,456
-----------
Accrued expenses ......................................................... 19,215
------------
Total liabilities ........................................................ 14,270,484
------------
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets: Net assets ............................................................... $120,331,830
------------
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets Investors' capital ....................................................... $121,468,715
Consist of: Unrealized depreciation on investments-net ............................... (1,136,885)
------------
Net assets ............................................................... $120,331,830
------------
- -------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
Master Extended Market Index Series, June 30, 2003
STATEMENT OF OPERATIONS
MASTER
EXTENDED MARKET
INDEX SERIES For the Six Months Ended June 30, 2003
- -------------------------------------------------------------------------------------------------------------------------------
Investment Dividends (net of $536 foreign withholding tax) ....................... $ 513,529
Income: Interest .............................................................. 30,209
Securities lending-net ................................................ 7,150
Other ................................................................. 1,044
------------
Total income .......................................................... 551,932
------------
- -------------------------------------------------------------------------------------------------------------------------------
Expenses: Professional fees ..................................................... $ 34,168
Custodian fees ........................................................ 11,325
Accounting services ................................................... 8,774
Investment advisory fees .............................................. 5,009
Trustees' fees and expenses ........................................... 614
Printing and shareholder reports ...................................... 326
Other ................................................................. 2,824
--------
Total expenses before waiver .......................................... 63,040
Waiver of expenses .................................................... (606)
--------
Total expenses after waiver ........................................... 62,434
------------
Investment income-net ................................................. 489,498
------------
- -------------------------------------------------------------------------------------------------------------------------------
Realized & Realized loss from investments-net .................................... (1,585,569)
Unrealized Gain (Loss) Change in unrealized appreciation/depreciation on investments-net ..... 18,606,020
on Investments-Net: ------------
Total realized and unrealized gain on investments-net ................. 17,020,451
------------
Net Increase in Net Assets Resulting from Operations .................. $ 17,509,949
============
- -------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
Master Extended Market Index Series, June 30, 2003
STATEMENTS OF CHANGES IN NET ASSETS
For the Six For the
MASTER Months Ended Year Ended
EXTENDED MARKET June 30, December 31,
INDEX SERIES Increase (Decrease) in Net Assets: 2003 2002
- -----------------------------------------------------------------------------------------------------------------------------------
Operations: Investment income-net ................................................. $ 489,498 $ 1,093,990
Realized loss on investments-net ...................................... (1,585,569) (1,203,067)
Change in unrealized appreciation/depreciation on investments-net ..... 18,606,020 (19,853,922)
------------- ------------
Net increase (decrease) in net assets resulting from operations ....... 17,509,949 (19,962,999)
------------- ------------
- -----------------------------------------------------------------------------------------------------------------------------------
Capital Proceeds from contributions ........................................... 24,667,610 33,824,441
Transactions: Fair value of withdrawals ............................................. (15,608,374) (24,936,735)
------------- ------------
Net increase in net assets derived from capital transactions .......... 9,059,236 8,887,706
------------- ------------
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets: Total increase (decrease) in net assets ............................... 26,569,185 (11,075,293)
Beginning of period ................................................... 93,762,645 104,837,938
------------- ------------
End of period ......................................................... $ 120,331,830 $ 93,762,645
============= ============
- -----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements.
Master Extended Market Index Series, June 30, 2003
FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------------------------------------------------------------
For the
For the Six Year Ended For the Period
MASTER The following ratios have Months Ended December 31, Oct. 27, 2000+ to
EXTENDED MARKET been derived from information provided June 30, ----------------------- December 31,
INDEX SERIES in the financial statements. 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------------------------------
Total Investment ............................................... 17.88% ++ (17.77%) (9.03%) --
Return:** ======== ======= ======== =======
- ------------------------------------------------------------------------------------------------------------------------------
Ratios to Expenses, net of waiver ................... .12% * .08% .08% .08% *
Average Net ======== ======= ======== =======
Assets: Expenses .................................. .13% * .15% .28% .65% *
======== ======= ======== =======
Investment income-net ..................... .98% * 1.11% 1.33% 2.02% *
======== ======= ======== =======
- ------------------------------------------------------------------------------------------------------------------------------
Supplemental Net assets, end of period (in thousands) .. $120,332 $93,763 $104,838 $20,805
Data: ======== ======= ======== =======
Portfolio turnover ........................ 13.34% 28.14% 97.51% 8.88%
======== ======= ======== =======
- ------------------------------------------------------------------------------------------------------------------------------
* Annualized.
** Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
+ Commencement of operations.
++ Aggregate total investment return.
See Notes to Financial Statements.
Master Extended Market Index Series
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Master Extended Market Index Series (the "Series") is part of Quantitative
Master Series Trust (the "Trust"). The Trust is registered as a diversified
Series under the Investment Company Act of 1940, as amended, and is organized as
a Delaware statutory trust. The Declaration of Trust permits the Trustees to
issue nontransferable interests in the Series, subject to certain limitations.
The Series' financial statements are prepared in conformity with accounting
principles generally accepted in the United States of America, which may require
the use of management accruals and estimates. These unaudited financial
statements reflect all adjustments, which are, in the opinion of management,
necessary to a fair statement of the results for the interim period presented.
All such adjustments are of a normal, recurring nature. The following is a
summary of significant accounting policies followed by the Series.
(a) Valuation of investments-- Portfolio securities that are traded on stock
exchanges or the NASDAQ National Market are valued at the last sale price or
official closing price on the exchange on which such securities are traded, as
of the close of business on the day the securities are being valued or, lacking
any sales, at the last available bid price for long positions and at the last
available ask price for short positions. Securities traded in the
over-the-counter market are valued at the last available bid price prior to the
time of valuation. In cases where securities are traded on more than one
exchange, the securities are valued on the exchange designated by or under the
authority of the Board of Trustees as the primary market. Portfolio securities
that are traded both in the over-the-counter market and on a stock exchange are
valued according to the broadest and most representative market, and it is
expected that for debt securities this ordinarily will be the over-the-counter
market. Options written or purchased are valued at the last sale price in the
case of exchange-traded options. In the case of options traded in the
over-the-counter market, valuation is the last asked price (options written) or
the last bid price (options purchased). Futures contracts are valued at the
settlement price at the close of the applicable exchange. Short-term securities
are valued at amortized cost, which approximates market value. Securities and
assets for which market quotations are not readily available are valued at fair
value as determined in good faith by or under the direction of the Board of
Trustees of the Trust. Occasionally, events affecting the values of securities
and other assets may occur between the times at which valuations of such
securities are determined (that is, close of the market on which such securities
trade) and the close of business on the NYSE. If events (for example, company
announcement, natural disasters, market volatility) occur during such periods
that are expected to materially affect the value for such securities, those
securities may be valued at their fair market value as determined in good faith
by the Trust's Board of Trustees or by the investment adviser using a pricing
service and/or procedures approved by the Board of Trustees of the Trust.
(b) Derivative financial instruments - The Series may engage in various
portfolio investment techniques to provide liquidity or as a proxy for a direct
investment in securities underlying the Series' index. Losses may arise due to
changes in the value of the contract or if the counterparty does not perform
under the contract.
o Financial futures contracts--The Series may purchase or sell financial
futures contracts and options on such futures contracts. Upon entering
into a contract, the Series deposits and maintains as collateral such
initial margin as required by the exchange on which the transaction is
effected. Pursuant to the contract, the Series agrees to receive from or
pay to the broker an amount of cash equal to the daily fluctuation in
value of the contract. Such receipts or payments are known as variation
margin and are recorded by the Series as unrealized gains or losses. When
the contract is closed, the Series records a realized 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.
o Options -- The Series is authorized to purchase and write call and put
options. When the Series writes an option, an amount equal to the premium
received by the Series is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently marked to market to
reflect the current market value of the option written. When a security is
purchased or sold through an exercise of an option, the related premium
paid (or received) is added to (or deducted from) the basis of the
security acquired or deducted from (or added to) the proceeds of the
security sold. When an option expires (or the Series enters into a closing
transaction), the Series realizes a gain or loss on the option to the
extent of the premiums received or paid (or loss or gain to the extent the
cost of the closing transaction exceeds the premium paid or received).
Written and purchased options are non-income producing investments.
o Forward foreign exchange contracts -- The Series is authorized to enter
into forward foreign exchange contracts as a hedge against either specific
transactions or portfolio positions. The contract is marked-to-market
daily and the change in market value is recorded by the Series as an
unrealized gain or loss. When the contract is closed, the Series records a
realized gain or loss equal to the difference between the value at the
time it was opened and the value at the time it was closed.
o Foreign currency options and futures -- The Series may purchase or sell
listed or over-the-counter foreign currency options, foreign currency
futures and related options on foreign currency futures as a short or long
hedge against possible variations in foreign exchange rates. Such
transactions may be effected with respect to hedges on non-US
dollar-denominated securities owned by the Series, sold by the Series but
not yet delivered, or committed or anticipated to be purchased by the
Series.
(c) Income taxes - The Series is classified as a partnership for Federal income
tax purposes. As such, each investor in the Series is treated as owner of its
proportionate share of the net assets, income, expenses and realized and
unrealized gains and losses of the Series. Therefore, no Federal income tax
provision is required. Under the applicable foreign tax law, a withholding tax
may be imposed on interest, dividends and capital gains at various rates. It is
intended that the Series' assets will be managed so an investor in the Series
can satisfy the requirements of subchapter M of the Internal Revenue Code.
(d) Security transactions and investment income -- Security transactions are
recorded on the dates the transactions are entered into (the trade dates).
Realized gains and losses on security transactions are determined on the
identified cost basis. Dividend income is recorded on the ex-dividend dates.
Interest income is recognized on the accrual basis.
(e) Securities lending - The Series may lend securities to financial
institutions that provide cash or securities issued or guaranteed by the U.S.
government as collateral, which will be maintained at all times in an amount
equal to at least 100% of the current market value of the loaned securities. The
market value of the loaned securities is determined at the close of business of
the Series and any additional required collateral is delivered to the Series on
the next business day. Where the Series receives securities as collateral for
the loaned securities, it receives a fee from the borrower. The Series typically
receives the income on the loaned securities, but does not receive the income on
the collateral. Where the Series receives cash collateral, it may invest such
collateral and retain the amount earned on such investment, net of any amount
rebated to the borrower. Loans of securities are terminable at any time and the
borrower, after notice, is required to return borrowed securities within five
business days. The Series may pay reasonable finder's, lending agent,
administrative and custodial fees in connection with its loans. In the event
that the borrower defaults on its obligation to return borrowed securities
because of insolvency or for any other reason, the Series could experience
delays and costs in gaining access to the collateral. The Series also could
suffer a loss where the value of the collateral falls below the market value of
the borrowed securities, in the event of borrower default or in the event of
losses on investments made with cash collateral.
(f) Custodian bank - The Series recorded an amount payable to the custodian bank
reflecting an overnight overdraft, which resulted from an unprojected payment of
net investment income dividends.
2. Investment Advisory Agreement and Transactions with Affiliates:
The Trust has entered into an Investment Advisory Agreement with Fund Asset
Management, L.P. ("FAM"). The general partner of FAM is Princeton Services, Inc.
("PSI"), an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML &
Co."), which is the limited partner.
FAM is responsible for the management of the Series portfolio and provides the
necessary personnel, facilities, equipment and certain other services necessary
to the operations of the Series. For such services, the Series pays a monthly
fee at an annual rate of .01% of the average daily value of the Series net
assets. FAM has entered into a contractual arrangement with the Series under
which the expenses incurred by the Series will not exceed .08%. Effective
January 1, 2003, the limit was increased from .08% to .13%. This arrangement
expires December 31, 2003 and is renewable. For the six months ended June 30,
2003, FAM earned fees of $5,009, of which $606 was waived.
The Trust has received an exemptive order from the Securities and Exchange
Commission permitting it to lend portfolio securities to Merrill Lynch, Pierce,
Fenner & Smith Incorporated ("MLPF&S"), a subsidiary of ML & Co., or its
affiliates. As of June 30, 2003, the Series lent securities with a value of
$191,211 to MLPF&S or its affiliates. Pursuant to that order, the Trust also has
retained Merrill Lynch Investment Managers, LLC ("MLIM, LLC"), an affiliate of
FAM, as the securities lending agent for a fee based on a share of the returns
on investment of cash collateral. MLIM, LLC may, on behalf of the Trust and the
Series, invest cash collateral received by the Series for such loans, among
other things, in a private investment company managed by MLIM, LLC or in
registered money market funds advised by FAM or its affiliates. For the six
months ended June 30, 2003, MLIM, LLC received $3,061 in securities lending
agent fees from the Series.
In addition, MLPF&S received $1,121 in commissions on the execution of portfolio
security transactions for the Series for the six months ended June 30, 2003.
For the six months ended June 30, 2003, the Series reimbursed FAM $1,064 for
certain accounting services.
Certain officers and/or trustees of the Series are officers and/or directors of
FAM, PSI, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for the six
months ended June 30, 2003 were $28,105,278 and $12,824,356, respectively.
Net realized gains (losses) for the six months ended June 30, 2003 and net
unrealized losses as of June 30, 2003 were as follows:
- -------------------------------------------------------------------------------
Realized Unrealized
Gains (Losses) Losses
- -------------------------------------------------------------------------------
Long-term investments...................... $(2,442,072) $(1,099,513)
Financial futures contracts................ 856,503 (37,372)
----------- -----------
Total investments.......................... $(1,585,569) $(1,136,885)
----------- -----------
- -------------------------------------------------------------------------------
As of June 30, 2003, net unrealized depreciation for Federal income tax purposes
aggregated $1,574,400, of which $15,719,890 related to appreciated securities
and $17,294,290 related to depreciated securities. At June 30, 2003, the
aggregate cost of investments for Federal income tax purposes was $126,387,380.
5. Short-Term Borrowings:
The Series, along with certain other funds managed by FAM and its affiliates, is
a party to a $500,000,000 credit agreement with Bank One, N.A. and certain other
lenders. The Series may borrow under the credit agreement to fund shareholder
redemptions and for other lawful purposes other than for leverage. The Series
may borrow up to the maximum amount allowable under the Series' current
prospectus and statement of additional information, subject to various other
legal, regulatory or contractual limits. The Series pays a commitment fee of
..09% per annum based on the Series' pro rata share of the unused portion of the
credit agreement. Amounts borrowed under the credit agreement bear interest at a
rate equal to, at each fund's election, the Federal Funds rate plus .50% or a
base rate as determined by Bank One, N.A. On November 29, 2002, the credit
agreement was renewed for one year under the same terms, except that the
commitment was reduced from $1,000,000,000 to $500,000,000. The Series did not
borrow under the credit agreement during the six months ended June 30, 2003.
Item 2 - Did registrant adopt a code of ethics, as of the end of the period
covered by this report, that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party? If not, why not? Briefly describe any amendments or
waivers that occurred during the period. State here if code of
ethics/amendments/waivers are on website and give website address-.
State here if fund will send code of ethics to shareholders without
charge upon request-- N/A (annual requirement only and not required to
be answered until the registrant's fiscal year-end on or after July 15,
2003)
Item 3 - Did the registrant's board of directors determine that the registrant
either: (i) has at least one audit committee financial expert serving
on its audit committee; or (ii) does not have an audit committee
financial expert serving on its audit committee? If yes, disclose name
of financial expert and whether he/she is "independent," (fund may, but
is not required, to disclose name/independence of more than one
financial expert) If no, explain why not. -N/A (annual requirement only
and not required to be answered until the registrant's fiscal year-end
on or after July 15, 2003)
Item 4 - Disclose annually only (not answered until December 15, 2003)
(a) Audit Fees - Disclose aggregate fees billed for each of the last two
fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's
annual financial statements or services that are
normally provided by the accountant in connection with
statutory and regulatory filings or engagements for
those fiscal years. N/A.
(b) Audit-Related Fees - Disclose aggregate fees billed in each of the
last two fiscal years for assurance and related
services by the principal accountant that are
reasonably related to the performance of the
audit of the registrant's financial statements
and are not reported under paragraph (a) of this
Item. Registrants shall describe the nature of
the services comprising the fees disclosed under
this category. N/A.
(c) Tax Fees - Disclose aggregate fees billed in each of the last two
fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and
tax planning. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
N/A.
(d) All Other Fees - Disclose aggregate fees billed in each of the last
two fiscal years for products and services provided
by the principal accountant, other than the services
reported in paragraphs (a) through (c) of this Item.
Registrants shall describe the nature of the
services comprising the fees disclosed under this
category. N/A.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. N/A.
(e)(2) Disclose the percentage of services described in each of paragraphs
(b) through (d) of this Item that were approved by the audit
committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X. N/A.
(f) If greater than 50%, disclose the percentage of hours expended on
the principal accountant's engagement to audit the registrant's
financial statements for the most recent fiscal year that were
attributed to work performed by persons other than the principal
accountant's full-time, permanent employees. N/A.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to
the registrant's investment adviser (not including any sub-adviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the adviser
that provides ongoing services to the registrant for each of the
last two fiscal years of the registrant. N/A.
(h) Disclose whether the registrant's audit committee has considered
whether the provision of non-audit services that were rendered to
the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence. N/A.
Item 5 - If the registrant is a listed issuer as defined in Rule 10A-3 under the
Exchange Act, state whether or not the registrant has a
separately-designated standing audit committee established in
accordance with Section 3(a)(58)(A) of the Exchange Act. If the
registrant has such a committee, however designated, identify each
committee member. If the entire board of directors is acting as the
registrant's audit committee in Section 3(a)(58)(B) of the Exchange
Act, so state.
If applicable, provide the disclosure required by Rule 10A-3(d) under
the Exchange Act regarding an exemption from the listing standards for
audit committees. N/A
(Listed issuers must be in compliance with the new listing rules by the
earlier of their first annual shareholders meeting after January 2004,
or October 31, 2004 (annual requirement))
Item 6 - Reserved
Item 7 - For closed-end funds that contain voting securities in their portfolio,
describe the policies and procedures that it uses to determine how to
vote proxies relating to those portfolio securities. N/A
Item 8 -- Reserved
Item 9(a) - The registrant's certifying officers have reasonably designed such
disclosure controls and procedures to ensure material information
relating to the registrant is made known to us by others
particularly during the period in which this report is being
prepared. The registrant's certifying officers have determined that
the registrant's disclosure controls and procedures are effective
based on our evaluation of these controls and procedures as of a
date within 90 days prior to the filing date of this report.
Item 9(b) -- 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
10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or
amendments/waivers is on website or offered to shareholders upon request
without charge. N/A.
10(b) - Attach certifications pursuant to Section 302 of the Sarbanes-Oxley Act.
Attached hereto.
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.
Master Extended Market Index Series
By: /s/ Terry K. Glenn
-----------------------------------
Terry K. Glenn,
President of
Master Extended Market Index Series
Date: August 21, 2003
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/ Terry K. Glenn
-----------------------------------
Terry K. Glenn,
President of
Master Extended Market Index Series
Date: August 21, 2003
By: /s/ Donald C. Burke
-----------------------------------
Donald C. Burke,
Chief Financial Officer of
Master Extended Market Index Series
Date: August 21, 2003
Attached hereto as a furnished exhibit are the certifications pursuant to
Section 906 of the Sarbanes-Oxley Act.