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 - 12/31/03
Item 1 - Report to Shareholders
Master Extended Market Index Series December 31,2003
Schedule of Investments
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Aerospace--0.5% Aerosonic Corporation+ 200 $ 1,754
Armor Holdings, Inc.+ 1,400 36,834
Aviation General, Incorporated+ 1,200 0
DRS Technologies, Inc.+ 1,181 32,808
EDO Corporation 1,200 29,580
ESCO Technologies Inc.+ 900 39,285
Engineered Support Systems, Inc. 2,080 114,525
Esterline Technologies Corporation+ 400 10,668
GenCorp Inc. 2,100 22,617
HEICO Corporation 100 1,820
HEICO Corporation (Class A) 1,620 22,810
KVH Industries, Inc.+ 1,400 38,458
Kaman Corp. (Class A) 1,100 14,003
L-3 Communications Holdings, Inc.+ 4,400 225,984
Metrologic Instruments, Inc.+ 1,900 51,300
SPACEHAB, Incorporated+ 500 765
SatCon Technology Corporation+ 700 1,435
Teledyne Technologies Incorporated+ 1,500 28,275
TransTechnology Corporation+ 300 1,995
Trimble Navigation Limited+ 1,800 67,032
Veeco Instruments Inc.+ 2,600 73,320
-----------------
815,268
Air Transport--0.4% AAR Corp.+ 1,500 22,425
ABX Air, Inc.+ 2,000 8,600
AMR Corporation+ 9,000 116,550
ATA Holdings Corp.+ 1,500 14,475
AirTran Holdings, Inc.+ 2,400 28,560
Alaska Air Group, Inc.+ 1,100 30,019
America West Holdings Corporation (Class B)+ 1,600 19,840
Atlantic Coast Airlines Holdings, Inc.+ 1,600 15,840
Atlas Air, Inc.+ 2,800 1,120
Aviall, Inc.+ 700 10,857
Continental Airlines, Inc. (Class B)+ 2,400 39,048
EGL, Inc.+ 1,900 33,364
ExpressJet Holdings, Inc.+ 1,600 24,000
Frontier Airlines, Inc.+ 1,800 25,668
Great Lakes Aviation, Ltd.+ 700 112
Hawaiian Holdings, Inc.+ 3,802 11,368
JetBlue Airways Corporation+ 4,950 131,274
LMI Aerospace, Inc.+ 900 1,800
MAIR Holdings, Inc.+ 700 5,096
Mesa Air Group, Inc.+ 3,900 48,828
Midwest Express Holdings+ 800 3,368
Northwest Airlines Corporation+ 6,700 84,554
Petroleum Helicopters, Inc. (Non-voting)+ 700 17,339
SkyWest, Inc. 2,300 41,676
Vanguard Airlines, Inc.+ 200 0
-----------------
735,781
Apparel--1.0% Aeropostale, Inc.+ 1,100 30,162
Ashworth, Inc.+ 3,500 28,245
bebe stores, inc.+ 2,400 62,376
Brown Shoe Company, Inc. 1,200 45,516
The Buckle, Inc. 700 15,505
Burke Mills, Inc.+ 1,400 1,470
Cache, Inc.+ 1,600 33,328
Coach, Inc.+ 8,600 324,650
Columbia Sportswear Company+ 2,800 152,600
DHB Capital Group Inc.+ 600 4,200
Deckers Outdoor Corporation+ 800 16,400
Escalade, Incorporated+ 300 10,197
Fab Industries, Inc.+ 200 1,050
GSI Commerce, Inc.+ 1,800 17,570
Guess?, Inc.+ 1,000 12,070
Haggar Corp. 300 5,853
Hampshire Group, Limited+ 200 6,274
Hartmarx Corporation+ 5,000 20,850
JPS Industries Inc.+ 400 1,012
J. Jill Group Inc.+ 1,300 16,523
Jos. A. Bank Clothiers, Inc.+ 1,000 34,690
Kellwood Co. 1,200 49,200
Kenneth Cole Productions, Inc. (Class A) 1,100 32,340
K-Swiss Inc. (Class A) 1,800 43,308
LaCrosse Footwear, Inc.+ 500 3,935
Magic Lantern Group, Inc.+ 1,000 990
Marisa Christina, Incorporated+ 900 1,440
Mossimo, Inc.+ 800 3,464
Mothers Work, Inc.+ 300 7,320
1
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Apparel OshKosh B'Gosh, Inc. (Class A) 600 $ 12,876
(concluded) Oxford Industries, Inc. 1,800 60,984
Perry Ellis International, Inc.+ 1,300 33,514
Phillips-Van Heusen Corporation 1,500 26,610
Phoenix Footwear Group, Inc.+ 1,000 7,490
Polo Ralph Lauren Corporation 1,700 48,960
Quaker Fabric Corporation 1,400 13,300
Quiksilver, Inc.+ 3,000 53,190
Russell Corporation 3,900 68,484
Skechers U.S.A., Inc. (Class A)+ 1,100 8,965
Stage Stores, Inc.+ 2,200 61,380
Steve Madden, Ltd.+ 600 12,240
The Stride Rite Corporation 1,900 21,622
Superior Uniform Group, Inc. 1,500 24,675
Tandy Brands Accessories, Inc. 200 2,900
The Timberland Company (Class A)+ 1,700 88,519
Tropical Sportswear Int'l Corporation+ 3,300 7,194
Unifi, Inc.+ 3,200 20,640
Vans, Inc.+ 900 10,269
Warnaco Group, Inc.+ 4,500 71,775
Weyco Group, Inc. 150 5,047
Wolverine World Wide, Inc. 2,400 48,912
-----------------
1,692,084
Banks--6.5% Abington Bancorp, Inc. 800 30,872
Alabama National BanCorporation 200 10,510
Allegiant Bancorp, Inc. 700 19,635
Ameriana Bancorp 200 2,900
American National Bankshares Inc. 300 7,944
Arrow Financial Corporation 420 11,663
Associated Banc-Corp. 4,850 206,852
BCSB Bankcorp, Inc. 1,200 22,260
BSB Bancorp, Inc. 1,400 55,300
The Banc Corporation 4,700 39,950
BancFirst Corporation 400 23,481
BancorpSouth, Inc. 3,600 85,392
Bank Mutual Corporation 1,100 12,529
Bank of Granite Corp. 525 11,434
Bank of Hawaii Corporation 2,900 122,380
BankAtlantic Bancorp, Inc. (Class A) 2,600 49,400
Banknorth Group, Inc. 9,914 322,502
Bar Harbor Bankshares 200 5,400
Berkshire Bancorp Inc. 100 5,000
Boston Private Financial Holdings, Inc. 2,400 59,616
BostonFed Bancorp, Inc. 1,100 38,390
Brookline Bancorp, Inc. 5,599 85,889
Bryn Mawr Bank Corporation 400 9,796
CB Bancshares, Inc. 350 21,910
CCBT Financial Companies Inc. 300 10,485
CFS Bancorp, Inc. 600 8,904
Camden National Corporation 300 9,108
Capital Bank Corporation 1,100 16,995
Capital City Bank Group, Inc. 500 22,995
Capitol Bancorp Ltd. 420 11,934
Capitol Federal Financial 3,140 113,228
Carrollton Bancorp 210 3,738
Cavalry Bancorp, Inc. 300 5,271
Center Bancorp, Inc. 400 7,864
Central Coast Bancorp+ 457 8,290
Century Bancorp, Inc. (Class A) 200 7,092
Chemical Financial Corporation 560 20,378
Chittenden Corporation 1,787 60,115
Citizens Banking Corporation 3,400 111,248
Citizens South Banking Corporation 428 5,971
City Holding Company 700 24,500
City National Corporation 3,100 192,572
CityBank 300 9,750
CoBiz Inc. 500 9,210
The Colonial BancGroup, Inc. 4,400 76,208
Columbia Bancorp 300 9,585
Columbia Banking System, Inc. 600 12,996
Comm Bancorp, Inc. 100 3,672
Commerce Bancorp, Inc. 4,700 247,596
Commerce Bancshares, Inc. 3,577 175,344
Commercial Bankshares, Inc. 125 4,195
Commercial National Financial Corporation 100 2,621
Community Bank System, Inc. 500 24,500
Community Banks, Inc. 388 15,252
Community First Bankshares, Inc. 3,000 86,820
2
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Banks Compass Bancshares, Inc. 7,700 $ 302,687
(continued) Connecticut Bancshares, Inc. 1,200 61,848
Corus Bankshares, Inc. 1,200 37,872
CoVest Bancshares, Inc. 1,100 30,140
Cullen/Frost Bankers, Inc. 2,600 105,482
Doral Financial Corporation 7,050 227,574
EFC Bancorp, Inc. 900 21,510
East West Bancorp, Inc. 2,100 112,728
Exchange National Bancshares, Inc. 150 5,422
FFLC Bancorp, Inc. 150 4,313
FLAG Financial Corporation 400 5,160
F.N.B. Corporation 3,269 115,886
FNB Corporation (North Carolina) 300 6,354
FNB Corporation (Virigina) 300 8,910
FNB Financial Services Corporation 1,125 22,444
Farmers Capital Bank Corporation 300 10,200
Fidelity Federal Bancorp+ 1,200 1,908
Financial Institutions, Inc. 100 2,823
First Bancorp 400 12,564
First Bancorp of Puerto Rico 1,950 77,122
First Busey Corporation 500 13,500
First Cash Financial Services, Inc.+ 1,800 46,154
First Charter Corporation 500 9,775
First Citizens BancShares, Inc. (Class A) 500 60,765
First Commonwealth Financial Corporation 1,400 19,964
First Essex Bancorp, Inc. 1,000 58,140
First Federal Bancorp, Inc. 400 3,580
First Federal Bancshares of Arkansas, Inc. 600 24,600
First Federal Capital Corp. 1,000 22,520
First Federal Financial Corporation of Kentucky 170 4,276
First Financial Bancorp 1,710 27,275
First Financial Bankshares, Inc. 350 14,595
The First of Long Island Corporation 200 8,598
First M&F Corporation 200 7,580
First Merchants Corporation 115 2,935
First Midwest Bancorp, Inc. 2,175 70,492
First Mutual Bancshares, Inc. 1,100 26,950
First Niagara Financial Group, Inc. 6,332 94,410
First Oak Brook Bancshares, Inc. 450 13,505
First Republic Bank 700 25,060
First South Bancorp, Inc. 200 7,300
First State Bancorporation 400 13,900
FirstBank NW Corp. 542 16,450
FirstMerit Corporation 3,900 105,183
Franklin Financial Corporation 400 12,288
Frontier Financial Corporation 300 9,948
Fulton Financial Corporation 5,323 116,627
German American Bancorp 561 9,817
Gold Banc Corporation 1,500 21,090
Great Southern Bancorp, Inc. 300 13,911
Greater Bay Bancorp 4,174 118,875
Greater Community Bancorp 225 3,818
Hancock Holding Company 400 21,828
Harbor Florida Bancshares, Inc. 1,200 35,652
Harleysville National Corporation 1,168 35,157
Hibernia Corporation (Class A) 10,000 235,100
Hudson City Bancorp, Inc. 9,800 374,164
Hudson United Bancorp 3,540 130,803
Independent Bank Corp. (Massachusetts) 800 23,056
Integra Bank Corporation 800 17,582
Interchange Financial Services Corporation 650 16,445
Internet Capital Group, Inc.+ 11,500 3,910
Irwin Financial Corporation 1,200 37,680
LSB Bancshares, Inc. 400 6,960
Lakeland Financial Corporation 200 7,064
M&T Bank Corporation 6,800 668,440
MASSBANK Corp. 250 10,650
Main Street Banks, Inc. 600 15,900
MainSource Financial Group, Inc. 231 7,085
Mercantile Bankshares Corporation 5,157 235,056
Merchants Bancshares, Inc. 350 10,693
Mid-State Bancshares 1,100 27,984
Midwest Banc Holdings, Inc. 800 17,800
NBT Bancorp Inc. 1,360 29,158
NSD Bancorp, Inc. 115 2,933
Nara Bancorp, Inc. 1,900 51,870
National Commerce Financial Corporation 9,600 261,888
National Penn Bancshares, Inc. 330 10,600
Net.B@nk, Inc. 2,300 30,705
3
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Banks North Valley Bancorp 1,500 $ 22,892
(continued) Northern States Financial Corporation 100 2,890
Norwood Financial Corp. 150 3,882
OceanFirst Financial Corp. 700 19,012
Ohio Valley Banc Corp. 700 18,550
Old National Bancorp 3,168 72,389
Old Second Bancorp, Inc. 200 9,900
Omega Financial Corporation 400 15,396
Oriental Financial Group Inc. 908 23,323
PFF Bancorp, Inc. 840 30,475
Pacific Crest Capital, Inc. 1,600 41,360
Pacific Union Bank 500 12,765
Pamrapo Bancorp, Inc. 1,000 25,350
Park National Corporation 600 67,890
Parkvale Financial Corporation 300 8,055
Patriot Bank Corp. 320 9,155
Peapack-Gladstone Financial Corporation 330 10,230
PennFed Financial Services, Inc. 300 10,050
Peoples Bancorp Inc. 495 14,607
Peoples Bancorp Inc. (Indiana) 200 4,800
Peoples Bancorp of North Carolina 200 3,772
The Peoples BancTrust Company, Inc. 1,120 17,819
People's Bank 2,700 88,020
Peoples Financial Corporation 1,200 19,320
Popular, Inc. 7,700 346,038
PrivateBancorp, Inc. 300 13,656
Prosperity Bancshares, Inc. 400 9,008
Provident Bancorp, Inc. 400 18,800
Provident Bancshares Corporation 1,525 44,896
Provident Financial Group, Inc. 2,200 70,290
Quaker City Bancorp, Inc. 250 11,638
Republic Bancorp Inc. 2,528 34,103
Republic Bancorp, Inc. (Class A) 1,500 29,310
Republic Bancshares, Inc. 600 18,882
Resource Bankshares Corporation 300 9,459
Riggs National Corporation 1,400 23,142
Royal Bancshares of Pennsylvania, Inc. (Class A) 514 13,107
S1 Corporation+ 7,000 56,350
S&T Bancorp, Inc. 800 23,920
S.Y. Bancorp, Inc. 200 4,112
Sandy Spring Bancorp, Inc. 150 5,610
The Savannah Bancorp, Inc. 121 3,509
Seacoast Banking Corporation of Florida 770 13,367
Second Bancorp, Incorporated 400 10,560
Silicon Valley Bancshares+ 3,000 108,210
Simmons First National Corporation (Class A) 400 11,160
Sky Financial Group, Inc. 3,500 90,790
The South Financial Group, Inc. 3,900 108,654
Southwest Bancorp, Inc. 400 7,152
Southwest Bancorporation of Texas, Inc. 2,700 104,895
Southwest Georgia Financial Corporation 110 2,503
State Bancorp, Inc. 418 10,141
Sterling Bancshares, Inc. 3,950 52,654
Sterling Financial Corporation 500 17,115
Suffolk Bancorp 500 17,265
Summit Bancshares, Inc. 300 8,358
Sun Bancorp, Inc. 300 5,688
Sun Bancorp, Inc. (New Jersey)+ 570 15,048
Susquehanna Bancshares, Inc. 1,600 40,016
TCF Financial Corporation 4,500 231,075
Texas Regional Bancshares, Inc. (Class A) 1,650 61,050
Tompkins Trustco, Inc. 440 20,262
TriCo Bancshares 300 9,468
Troy Financial Corporation 100 3,500
The Trust Company of New Jersey 900 35,712
TrustCo Bank Corp NY 1,860 24,459
Trustmark Corporation 3,000 87,810
U.S.B. Holding Co., Inc. 798 15,473
UCBH Holdings, Inc. 3,500 136,395
UMB Financial Corporation 710 33,753
Umpqua Holdings Corporation 3,211 66,757
Union Bankshares Corporation 400 12,200
UnionBanCal Corporation 8,900 512,106
United Bancorp, Inc. 254 4,470
United Bankshares, Inc. 3,200 99,840
United Community Financial Corp. 1,400 15,974
United National Bancorp 1,400 50,022
Unizan Financial Corp. 832 16,848
Vail Banks, Inc. 1,200 14,328
4
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Banks Valley National Bancorp 4,522 $ 132,042
(concluded) Virginia Commerce Bancorp, Inc.+ 400 12,812
WSFS Financial Corporation 1,000 44,850
Warwick Community Bancorp, Inc. 200 6,880
Washington Trust Bancorp, Inc. 500 13,100
WesBanco, Inc. 1,000 27,690
Westamerica Bancorporation 2,100 104,370
Westcorp 2,921 106,763
Whitney Holding Corporation 2,750 112,723
Wilmington Trust Corporation 3,000 108,000
Wintrust Financial Corporation 1,850 83,435
Yardville National Bancorp 500 12,870
-----------------
11,210,778
Business Machines--2.6% 3Com Corporation+ 24,200 197,714
3D Systems Corporation+ 600 6,090
AVICI SYS INC.+ 1,650 13,117
ActivCard Corp.+ 5,100 40,188
Adaptec, Inc.+ 5,100 45,033
Advanced Digital Information Corporation+ 3,600 50,400
American Software, Inc. (Class A) 3,400 24,340
Analogic Corporation 1,500 61,500
Applied Films Corporation+ 400 13,208
Arbitron Inc.+ 1,400 58,408
Artesyn Technologies, Inc.+ 3,100 26,412
Ascential Software Corporation+ 3,350 86,865
Avocent Corporation+ 2,700 98,604
BEA Systems, Inc.+ 20,700 254,610
Black Box Corporation 1,500 69,105
Borland Software Corporation+ 4,000 38,920
Brooktrout Inc.+ 2,500 31,450
California First National Bancorp 600 8,580
Communication Intelligence Corporation+ 700 255
Computer Horizons Corp.+ 1,200 4,716
Concerto Software, Inc.+ 2,500 29,950
Concurrent Computer Corporation+ 3,000 13,110
Convera Corporation+ 1,400 4,774
Cosine Communications, Inc.+ 410 3,026
Cray, Inc.+ 3,100 30,783
Crossroads Systems, Inc.+ 1,100 3,058
Diebold, Incorporated 3,400 183,158
Digital Lightwave, Inc.+ 3,600 2,916
EMC Corporation+ 7,830 101,164
Enterasys Networks, Inc.+ 7,100 26,625
Exabyte Corporation+ 300 363
Exchange Application, Inc.+ 13 0
Extended Systems Incorporated+ 100 434
Fair, Isaac and Company, Incorporated 2,301 113,117
Flow International Corporation+ 800 2,400
Foundry Networks, Inc.+ 6,200 169,632
Gadzoox Networks, Inc.+ 500 0
General Binding Corporation+ 500 9,000
General Magic, Inc.+ 35 0
Hanger Orthopedic Group, Inc.+ 1,000 15,570
Hypercom Corporation+ 2,100 9,996
IKON Office Solutions, Inc. 7,400 87,764
Imagistics International Inc.+ 900 33,750
Immersion Corporation+ 200 1,190
Input/Output, Inc.+ 2,500 11,275
Integrated Device Technology, Inc.+ 4,000 68,680
Intergraph Corp.+ 3,616 86,495
Interland, Inc.+ 3,250 21,223
InterVoice-Brite, Inc.+ 1,600 18,992
InVision Technologies, Inc.+ 2,100 70,497
Iomega Corporation 2,060 12,319
Island Pacific, Inc.+ 6,800 12,512
Juniper Networks, Inc.+ 19,800 369,864
LTX Corporation+ 1,900 28,557
Lantronix, Inc.+ 2,100 2,436
Latitude Communications, Inc.+ 100 393
MIPS Technologies, Inc.+ 2,000 10,890
MSC.Software Corp.+ 1,300 12,285
MTI Technology Corporation+ 200 472
Maxtor Corporation+ 12,412 137,773
McDATA Corporation (Class A)+ 5,000 47,650
Media 100 Inc.+ 200 104
Microchip Technology Inc. 9,709 323,892
Micromuse, Inc.+ 3,700 25,530
Micros Systems, Inc.+ 1,500 65,040
5
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Business Machines Mobility Electronics, Inc.+ 3,300 $ 29,505
(concluded) Network Engines, Inc.+ 4,000 17,440
PTEK Holdings, Inc.+ 5,700 50,217
PalmOne, Inc.+ 3,013 35,403
Procom Technology, Inc.+ 100 33
Pure World, Inc.+ 1,300 3,263
Rainbow Technologies, Inc.+ 600 6,756
Read-Rite Corporation+ 960 5
Roxio, Inc.+ 1,300 6,227
SanDisk Corporation+ 3,900 238,446
ScanSource, Inc.+ 600 27,372
Scientific Technologies Incorporated+ 300 1,396
Sigma Designs, Inc.+ 2,300 17,319
Silicon Graphics, Inc.+ 8,000 10,960
Sorrento Networks Corporation+ 30 89
Storage Technology Corporation+ 4,500 115,875
Sybase, Inc.+ 4,155 85,510
Tech Data Corporation+ 3,800 150,822
The Titan Corporation+ 3,100 67,611
Total System Services, Inc. 9,500 295,735
Trans-Industries, Inc.+ 100 270
Ultimate Electronics, Inc.+ 2,000 15,260
Visual Networks, Inc.+ 1,300 2,873
Vitria Technology, Inc.+ 175 1,243
White Electronic Designs Corporation+ 3,100 27,280
-----------------
4,505,084
Business Services--10.0% @Road, Inc.+ 1,400 18,620
24/7 Media, Inc.+ 12,700 16,764
The 3DO Company+ 712 18
4Kids Entertainment, Inc.+ 600 15,612
ABM Industries, Inc. 2,600 45,266
ADVO Systems, Inc. 1,500 47,640
AMN Healthcare Services, Inc.+ 1,220 20,935
ANSYS, Inc.+ 1,400 55,580
ARAMARK Corporation (Class B) 3,800 104,196
Accrue Software, Inc.+ 300 0
Actuate Corporation+ 7,100 22,081
Adept Technology, Inc.+ 200 284
Administaff, Inc.+ 1,800 31,284
Advent Software, Inc.+ 2,500 43,575
The Advisory Board Company+ 1,300 45,383
Aether Systems, Inc.+ 2,100 9,975
Affiliated Computer Services, Inc. (Class A)+ 6,400 348,544
Affymetrix, Inc.+ 2,300 56,603
Agile Software Corporation+ 2,400 23,760
Akamai Technologies, Inc.+ 8,000 86,000
Aksys, Ltd.+ 1,300 11,479
Alliance Data Systems Corporation+ 700 19,376
The Allied Defense Group, Inc.+ 1,000 23,910
Altiris, Inc.+ 1,800 65,664
Ambassadors International, Inc. 400 5,000
American Independence Corporation+ 48 567
American Management Systems, Incorporated+ 2,000 30,140
American Online Latin America, Inc. (Class A)+ 15,500 22,010
American Superconductor Corporation+ 1,100 15,246
Analysts International Corporation+ 200 674
Ansoft Corporation+ 500 6,415
AnswerThink Consulting Group, Inc.+ 2,400 13,320
Anteon International Corporation+ 1,000 36,050
Applied Molecular Evolution+ 1,100 19,580
AppliedTheory Corporation+ 200 0
aQuantive, Inc.+ 5,100 52,275
Arena Pharmaceuticals, Inc.+ 1,400 8,680
Ariba, Inc.+ 10,400 31,200
Art Technology Group, Inc.+ 8,300 12,699
Artemis International Solutions Corporation+ 12 18
Ask Jeeves, Inc.+ 1,500 27,180
Aspen Technology, Inc.+ 5,400 55,404
Atari, Inc.+ 8,600 36,120
Authentidate Holding Corp.+ 2,900 34,510
BARRA, Inc. 1,750 62,107
The BISYS Group, Inc.+ 4,700 69,936
BSQUARE Corporation+ 4,600 6,578
Barrett Business Services, Inc.+ 400 5,004
BearingPoint, Inc.+ 7,700 77,693
Bestway, Inc.+ 300 3,900
BindView Development Corporation+ 8,300 31,291
Bionova Holding Corporation+ 800 112
6
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Business Services Blue Coat Systems, Inc.+ 1,760 $ 39,266
(continued) Blue Martini Software, Inc.+ 1,400 6,860
Bottomline Technologies, Inc.+ 100 900
Bowne & Co., Inc. 1,600 21,696
Braun Consulting, Inc.+ 800 2,360
Bright Horizons Family Solutions, Inc.+ 400 16,800
The Brink's Company 2,300 52,003
BroadVision, Inc.+ 1,288 5,487
Brocade Communications Systems, Inc.+ 12,400 71,672
CACI International Inc. (Class A)+ 1,400 68,068
CDI Corp. 900 29,475
CERBCO, Inc. (Class A) 500 4,600
CDW Corporation 5,000 288,800
CIBER, Inc.+ 3,100 26,846
CSG Systems International, Inc.+ 6,300 78,687
Calico Commerce, Inc.+ 200 0
Career Education Corporation+ 5,468 219,103
Carreker Corporation+ 1,500 21,015
Casella Waste Systems, Inc.+ 1,000 13,690
Catalina Marketing Corporation+ 2,200 44,352
Catapult Communications Corporation+ 500 7,250
Cell Genesys, Inc.+ 2,100 27,174
Centra Software, Inc.+ 1,000 3,950
Century Business Services, Inc.+ 900 4,023
Ceridian Corporation+ 6,800 142,392
Cerner Corporation+ 2,500 94,625
Certegy Inc. 3,100 101,680
Charles River Associates Incorporated+ 1,400 44,786
CheckFree Corp.+ 3,600 99,540
Childtime Learning Centers, Inc.+ 300 591
ChoicePoint Inc.+ 5,533 210,752
Chordiant Software, Inc.+ 4,100 22,345
Clarus Corporation+ 200 1,442
Clean Harbors, Inc.+ 700 6,237
Click Commerce, Inc. 2,200 11,264
click2learn.com, Inc.+ 100 210
Closure Medical Corporation+ 400 13,572
Cognizant Technology Solutions Corporation+ 3,700 168,868
Commerce One, Inc.+ 4,960 6,299
Computer Programs and Systems, Inc. 500 10,060
Concord Communications, Inc.+ 600 11,982
Concur Technologies, Inc.+ 2,900 28,072
Connetics Corporation+ 1,900 34,504
Copart, Inc.+ 4,050 66,825
Corillian Corporation+ 5,000 31,550
Corinthian Colleges, Inc.+ 2,200 122,232
Corio, Inc.+ 400 1,096
Cornell Companies, Inc.+ 500 6,825
The Corporate Executive Board Company+ 2,700 126,009
CoStar Group Inc.+ 200 8,336
Courier Corporation 225 8,656
Covansys Corporation+ 1,400 15,400
Credit Acceptance Corporation+ 600 9,180
Crescent Operating, Inc.+ 1,000 230
Critical Path, Inc.+ 225 299
Cross Country Healthcare, Inc.+ 2,400 35,808
Cross Media Marketing Corporation+ 29 0
CuraGen Corporation+ 1,300 9,529
CyberSource Corporation+ 200 1,032
DSL.net, Inc.+ 1,000 590
DST Systems, Inc.+ 6,500 271,440
Daleen Technologies, Inc.+ 100 19
Datastream Systems, Inc.+ 800 6,280
Deltathree.com, Inc.+ 100 292
Dendrite International, Inc.+ 1,700 26,639
DeVry, Inc.+ 3,200 80,416
Digimarc Corporation+ 900 11,970
Digital Generation Systems, Inc.+ 3,500 7,840
Digital Impact, Inc.+ 200 576
Digital Insight Corporation+ 2,000 49,800
Digital River, Inc.+ 1,400 30,940
DigitalThink, Inc.+ 2,000 5,620
Digitas Inc.+ 2,169 20,215
Discovery Partners International+ 1,200 7,380
Diversa Corporation+ 1,900 17,575
divine, Inc. (Class A)+ 1 0
Docent, Inc.+ 566 2,604
DocuCorp International, Inc.+ 2,800 28,420
Dot Hill Systems Corp.+ 900 13,635
7
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Business Services DoubleClick Inc.+ 7,000 $ 71,540
(continued) Dyax Corp.+ 800 6,576
E-LOAN, Inc.+ 5,000 14,900
EPIQ Systems, Inc.+ 2,000 34,260
EarthLink, Inc.+ 12,200 122,000
EasyLink Services Corporation (Class A)+ 50 74
Echelon Corporation+ 1,900 21,166
Eclipsys Corporation+ 1,800 20,952
eCollege.com+ 2,000 36,920
Education Management Corporation+ 5,000 155,200
eFunds Corporation+ 3,100 53,785
eGain Communications Corporation+ 20 41
eLoyalty Corporation+ 40 146
Embarcadero Technologies, Inc.+ 1,100 17,545
eMerge Interactive, Inc. (Class A)+ 200 288
Encysive Pharmaceuticals Inc.+ 300 2,685
Engage, Inc.+ 1,100 4
Entrust Technologies Inc.+ 300 1,224
Epicor Software Corporation+ 700 8,932
E.piphany, Inc.+ 4,650 33,526
ePresence, Inc.+ 200 750
eResearch Technology, Inc.+ 1,650 41,943
Euronet Worldwide, Inc.+ 1,300 23,400
Evolve Software, Inc.+ 2 0
Exelixis, Inc.+ 2,900 20,532
Exponent, Inc.+ 1,300 27,820
Exult Inc.+ 8,700 61,944
F5 Networks, Inc.+ 1,400 35,140
FTI Consulting, Inc.+ 2,050 47,908
FactSet Research Systems Inc. 1,700 64,957
Falcon Products, Inc.+ 300 1,320
FalconStor Software, Inc.+ 1,400 12,236
Fargo Electronics+ 600 7,632
Federal Agricultural Mortgage Corporation (Class A)+ 900 20,133
FileNET Corporation+ 3,100 83,948
FindWhat.com+ 1,600 30,000
Five Star Quality Care, Inc.+ 8 35
Forrester Research, Inc.+ 1,100 19,657
Franklin Covey Co.+ 800 2,240
FreeMarkets, Inc.+ 2,500 16,725
Friedman, Billings, Ramsey Group, Inc. (Class A) 5,760 132,941
Frontline Capital Group+ 300 0
G & K Services, Inc. (Class A) 1,800 66,150
GRIC Communications, Inc.+ 3,600 19,440
GTECH Holdings Corporation 2,800 138,572
GTSI Corp.+ 1,700 23,547
Gaiam, Inc.+ 460 2,737
Gartner Group, Inc. (Class B)+ 2,200 23,936
Genaissance Pharmaceuticals, Inc.+ 900 2,700
Genencor International Inc.+ 1,600 25,200
Gentiva Health Services, Inc.+ 1,300 16,432
Geoworks Corporation+ 200 16
Gevity HR, Inc. 2,400 53,376
Global Imaging Systems, Inc.+ 2,500 79,375
Global Payments Inc. 1,860 87,643
Grey Global Group Inc. 31 21,175
Hall, Kinion & Associates, Inc.+ 600 3,030
Harris Interactive Inc.+ 4,900 40,670
Heidrick & Struggles International, Inc.+ 1,300 28,340
Hewitt Associates, Inc. (Class A)+ 1,100 32,890
High Speed Access Corp.+ 600 12
Hudson Highland Group, Inc.+ 1,100 26,235
Hyperion Solutions Corporation+ 2,063 62,179
ICOS Corporation+ 3,200 132,096
ICT Group, Inc.+ 600 7,050
IDT Corporation+ 1,300 28,795
IDX Systems Corporation+ 1,400 37,548
ITT Educational Services, Inc.+ 2,300 108,031
iBEAM Broadcasting Corporation+ 80 0
Identix Incorporated+ 4,500 20,025
iGATE Capital Corporation+ 2,100 16,485
I-many, Inc.+ 2,800 2,800
The Immune Response Corporation+ 350 522
Indus International, Inc.+ 1,400 4,200
InFocus Corporation+ 2,400 23,232
Infonet Services Corporation (Class B)+ 7,300 12,410
Informatica Corporation+ 3,200 32,960
Information Architects Corp.+ 26 2
Information Resources, Inc. (Contingent Value Rights) 5,600 9,520
8
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Business Services Inforte Corp.+ 600 $ 4,974
(continued) InfoSpace, Inc.+ 1,240 28,582
infoUSA Inc.+ 500 3,710
Innovative Solutions and Support, Inc.+ 1,700 27,608
Insteel Industries, Inc.+ 600 498
Insurance Auto Auctions, Inc.+ 600 7,830
InsWeb Corporation+ 83 383
Interactive Intelligence, Inc.+ 600 3,126
The InterCept Group, Inc.+ 1,800 20,322
Interliant Inc.+ 300 0
Internap Network Services Corporation+ 18,200 44,772
Internet Pictures Corporation+ 80 141
Internet Security Systems, Inc.+ 2,200 41,426
InterWorld Corporation+ 10 1
Interwoven, Inc.+ 2,800 35,392
Intevac, Inc.+ 2,400 33,864
Intrado Inc.+ 800 17,560
Intrusion.com, Inc.+ 100 58
Invitrogen Corporation+ 3,200 224,000
Iron Mountain Incorporated+ 5,700 225,378
iVillage Inc.+ 200 716
JDA Software Group, Inc.+ 2,900 47,879
Jack Henry & Associates, Inc. 6,100 125,538
Jacobs Engineering Group Inc.+ 2,500 120,025
John H. Harland Company 1,300 35,490
Jupitermedia Corporation+ 200 920
Kaiser Ventures LLC (Series A)+ 200 0
Kana Software, Inc.+ 1,121 3,778
Keane, Inc.+ 4,636 67,871
The Keith Companies, Inc.+ 100 1,362
Kelly Services, Inc. (Class A) 1,600 45,664
Keynote Systems, Inc.+ 500 5,950
kforce.com, Inc.+ 1,600 14,944
Kinder Morgan Management, LLC+ 2,324 99,839
Korn/Ferry International+ 1,400 18,676
Kroll Inc.+ 3,603 93,678
Kronos, Inc.+ 1,575 62,386
LTC StorageNetworks, Inc.+ 14,900 0
Labor Ready, Inc.+ 2,400 31,440
Lamar Advertising Company+ 5,947 221,942
Layne Christensen Company+ 4,200 49,350
Learning Tree International, Inc.+ 900 15,651
Level 8 Systems, Inc.+ 100 33
Lightbridge, Inc.+ 2,219 20,193
Lionbridge Technologies, Inc.+ 4,100 39,401
Liquid Audio, Inc.+ 300 87
LookSmart, Ltd.+ 5,000 7,750
Loudeye Technologies, Inc.+ 11,000 21,450
Luminex Corporation+ 1,200 11,256
MAXIMUS, Inc.+ 900 35,217
META Group, Inc.+ 100 630
MPS Group, Inc.+ 2,600 24,310
MPW Industrial Services Group, Inc.+ 800 1,824
MRO Software, Inc.+ 600 8,076
Macrovision Corporation+ 2,000 45,180
Magma Design Automation, Inc.+ 1,900 44,346
The Management Network Group, Inc.+ 3,900 12,870
Manhattan Associates, Inc.+ 1,400 38,696
Manpower Inc. 5,000 235,400
ManTech International Corporation (Class A)+ 800 19,960
Manugistics Group, Inc.+ 3,400 21,250
MapInfo Corporation+ 2,700 27,216
Marimba, Inc.+ 200 1,100
MarketWatch.com, Inc.+ 900 7,748
Matria Healthcare, Inc.+ 400 8,452
MatrixOne, Inc.+ 2,300 14,168
Maxygen Inc.+ 1,600 17,008
Mechanical Technology Incorporated+ 4,100 22,427
Medical Staffing Network Holdings, Inc.+ 700 7,665
MemberWorks Incorporated+ 1,400 38,038
Mentor Graphics Corporation+ 2,600 37,804
Merge Technologies Incorporated+ 1,800 31,752
MetaSolv, Inc.+ 1,900 4,617
Metro One Telecommunications, Inc.+ 3,700 9,620
Michael Baker Corporation+ 400 4,140
MicroStrategy Incorporated (Class A)+ 490 25,715
Microvision, Inc.+ 3,200 24,384
Millennium Cell Inc.+ 3,700 8,621
Mindspeed Technologies Inc.+ 5,366 36,757
9
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Business Services Miravant Medical Technologies+ 2,800 $ 3,500
(continued) Modem Media Inc.+ 300 2,451
Moldflow Corporation+ 400 4,540
NCO Group, Inc.+ 1,300 29,601
NDCHealth Corporation 1,700 43,554
NEON Systems, Inc.+ 100 349
NIC Inc.+ 500 4,015
NMS Communications Corporation+ 1,400 8,736
NMT Medical, Inc.+ 900 4,050
NVE Corporation+ 800 41,040
NYFIX, Inc.+ 1,900 15,105
NaPro Bio Therapeutics, Inc.+ 9,100 17,927
Nassda Corporation+ 400 2,900
National Instruments Corporation 3,200 145,504
National Processing, Inc.+ 2,100 49,455
The Nautilus Group, Inc. 1,600 22,480
Navigant Consulting, Inc.+ 800 15,088
NaviSite, Inc.+ 13 85
Neoforma, Inc.+ 220 2,341
NeoRx Corporation+ 200 832
Net Perceptions, Inc.+ 400 160
Netegrity, Inc.+ 1,700 17,527
NetFlix Inc.+ 1,600 87,504
netGuru, Inc.+ 100 135
NetIQ Corporation+ 2,196 29,097
NetManage, Inc.+ 57 300
NetObjects Inc.+ 200 1
NetRatings, Inc.+ 500 5,715
NetScout Systems, Inc.+ 200 1,520
NetScreen Technologies, Inc.+ 500 12,375
Netsol Technologies, Inc.+ 20 45
NetSolve, Incorporated+ 2,000 16,200
Network Associates, Inc.+ 7,177 107,942
New Century Equity Holdings Corp.+ 200 64
The New Dun & Bradstreet Corporation+ 3,400 172,414
New England Business Services, Inc. 400 11,800
New Horizons Worldwide, Inc.+ 400 2,276
Newcastle Investment Corporation 2,600 70,460
Niku Corporation+ 60 506
Novadigm, Inc.+ 1,000 3,880
Nuance Communications Inc.+ 1,700 12,988
ONYX Software Corporation+ 650 2,561
OPNET Technologies, Inc.+ 100 1,646
On Assignment, Inc.+ 5,300 27,613
On2.com Inc.+ 200 262
OneSource Information Services, Inc.+ 1,900 17,898
Onvia.com, Inc.+ 60 278
OpenTV Corp.+ 8,613 28,853
Openwave Systems Inc.+ 2,261 24,871
Opsware, Inc.+ 3,100 22,940
Option Care, Inc.+ 1,025 10,947
Orbital Sciences Corporation+ 2,200 26,444
Orchid Biosciences+ 2,200 4,070
Overland Storage, Inc.+ 1,400 26,320
PC-Tel, Inc.+ 1,000 10,610
PDI, Inc.+ 700 18,767
PEC Solutions, Inc.+ 600 10,170
PLATO Learning, Inc.+ 4,491 47,380
PRG-Schultz International, Inc.+ 5,800 28,420
PacificNet Inc.+ 160 840
Packeteer, Inc.+ 1,500 25,470
Pac-West Telecomm, Inc.+ 2,900 5,568
PalmSource, Inc.+ 774 16,865
Paradigm Genetics, Inc.+ 1,300 1,911
Paxar Corporation+ 1,700 22,780
Pegasus Systems, Inc.+ 2,300 24,081
Pegasystems Inc.+ 500 4,310
Perot Systems Corporation (Class A)+ 4,100 55,268
Per-Se Technologies, Inc.+ 1,500 22,890
Persistence Software, Inc.+ 10 41
Phoenix Technologies Ltd.+ 4,100 33,128
Pinnacor Inc.+ 5,700 13,281
Pixar, Inc.+ 3,500 242,515
Polycom, Inc.+ 3,829 74,742
Pomeroy Computer Resources, Inc. 2,300 33,902
Portal Software, Inc.+ 1,400 9,422
Pre-Paid Legal Services, Inc.+ 1,100 28,732
Priceline.com Incorporated+ 2,233 39,971
Prime Medical Services, Inc.+ 900 4,221
10
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Business Services Primus Knowledge Solutions, Inc.+ 200 $ 1,258
(continued) Progress Software Corporation+ 3,200 65,472
ProQuest Company+ 1,000 29,450
ProsoftTraining.com+ 200 112
Protection One, Inc.+ 5,000 1,600
Puma Technology, Inc.+ 1,800 7,164
QAD Inc.+ 1,700 20,842
QRS Corporation+ 3,200 25,984
Quality Systems, Inc.+ 900 40,131
Quest Software, Inc.+ 3,600 51,120
Quixote Corporation 300 7,323
Quotesith.com, Inc.+ 366 1,695
Quovadx, Inc.+ 1,500 7,350
R.H. Donnelley Corporation+ 1,400 55,776
RPC, Inc. 1,400 15,386
RSA Security Inc.+ 1,300 18,460
Radiant Systems, Inc.+ 400 3,364
RealNetworks, Inc.+ 6,300 35,973
Red Hat, Inc.+ 11,200 210,224
Register.com, Inc.+ 797 4,184
RemedyTemp, Inc. (Class A)+ 400 4,364
Renaissance Learning, Inc.+ 1,700 40,936
Republic Services, Inc. 9,200 235,796
Resources Connection, Inc.+ 1,900 51,889
Retek Inc.+ 1,900 17,632
Reynolds & Reynolds Company (Class A) 3,100 90,055
Rigel Pharmaceuticals, Inc.+ 265 5,062
Right Management Consultants, Inc.+ 1,075 20,060
Riverstone Networks, Inc.+ 6,300 6,993
Roto-Rooter, Inc. 500 23,050
Rural Cellular Corporation (Class A)+ 400 3,180
SAVVIS Communications Corporation+ 600 906
The SCO Group, Inc.+ 1,775 30,175
SERENA Software, Inc.+ 1,900 34,865
SFBC International, Inc.+ 1,100 29,216
SITEL Corporation+ 3,800 8,854
SM&A+ 2,600 30,420
SOURCECORP, Incorporated+ 1,200 30,756
SPAR Group, Inc.+ 1,400 4,480
SPSS Inc.+ 709 12,677
SS&C Technologies, Inc. 100 2,795
Saba Software, Inc.+ 875 3,019
SafeNet, Inc.+ 1,110 34,155
Sagnet Technology, Inc.+ 200 25
Salon Media Group, Inc.+ 600 18
Sanchez Computer Associates, Inc.+ 200 830
Sapient Corporation+ 5,900 33,040
Scientific Learning Corporation+ 100 485
SciQuest, Inc.+ 26 92
SeaChange International, Inc.+ 2,800 43,120
Secure Computing Corporation+ 1,900 34,029
SeeBeyond Technology Corporation+ 3,800 16,302
Selectica, Inc.+ 6,500 27,820
Sequenom Inc.+ 2,000 6,360
The ServiceMaster Company 13,000 151,450
Sirius Satellite Radio Inc.+ 62,700 198,132
SmartServ Online, Inc.+ 16 22
Sonic Foundry, Inc.+ 300 561
SonicWALL, Inc.+ 3,200 24,960
Spartech Corporation 600 14,784
Spherion Corporation+ 3,000 29,370
SportsLine USA, Inc.+ 200 254
The Standard Register Company 1,400 23,562
StarTek, Inc. 100 4,079
Stericycle, Inc.+ 2,800 130,760
Storage Computer Corporation+ 100 36
Stratasys, Inc.+ 1,200 32,712
Strategic Diagnostics Inc.+ 6,000 28,380
Strayer Education, Inc. 1,000 108,830
Support.com, Inc.+ 1,700 22,355
Switchboard Incorporated+ 2,200 15,202
Sycamore Networks, Inc.+ 10,900 57,116
Sykes Enterprises, Incorporated+ 2,000 17,120
Sylvan Learning System, Inc.+ 3,000 86,370
Symyx Technologies+ 1,600 32,880
Synopsys, Inc.+ 9,470 319,707
Synplicity, Inc.+ 1,100 8,613
Syntel, Inc. 1,200 29,652
Sypris Solutions, Inc. 600 10,086
11
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Business Services Systems & Computer Technology Corporation+ 3,700 $ 60,495
(concluded) TALX Corporation 1,455 33,509
TETRA Technologies, Inc.+ 1,650 39,996
TIBCO Software Inc.+ 8,200 55,514
TRC Companies, Inc.+ 600 12,636
Technology Solutions Company+ 300 375
Telecommunication Systems, Inc. (Class A)+ 200 988
TeleTech Holdings, Inc.+ 3,700 41,810
Telik, Inc.+ 1,800 41,418
TenFold Corporation+ 200 652
TeraForce Technology Corporation+ 600 144
Tetra Tech, Inc.+ 3,925 97,576
Tier Technologies, Inc. (Class B)+ 900 7,353
Track Data Corporation 12,500 17,500
Tradestation Group Inc.+ 3,300 29,238
Transaction Systems Architects, Inc. (Class A)+ 3,300 74,679
Trident Microsystems, Inc.+ 2,850 49,647
The TriZetto Group, Inc.+ 800 5,160
Tularik Inc.+ 1,400 22,610
Tumbleweed Communications Corporation+ 277 2,321
UNOVA, Inc.+ 4,600 105,570
URS Corporation+ 1,500 37,515
USinternetworking, Inc.+ 1,000 0
The Ultimate Software Group, Inc.+ 3,800 33,326
United Online, Inc.+ 4,653 78,124
Universal Access Global Holdings Inc.+ 645 1,883
Universal Electronics Inc.+ 600 7,644
VA Linux Systems, Inc.+ 7,300 28,543
VASCO Data Security International, Inc.+ 200 468
V.I. Technologies, Inc.+ 5,036 5,540
VIA NET.WORKS, Inc.+ 16,800 28,560
VSI Holdings, Inc.+ 500 0
ValueClick, Inc.+ 6,177 56,087
Vastera, Inc.+ 800 3,200
Ventiv Health, Inc.+ 2,600 23,790
Verint Systems Inc.+ 1,900 42,864
VeriSign, Inc.+ 12,158 198,175
Verisity Ltd.+ 1,300 16,575
Verity, Inc.+ 2,100 35,049
Versata, Inc.+ 50 83
Verso Technologies, Inc.+ 570 1,767
Vertel Corporation+ 300 9
Verticalnet, Inc.+ 460 538
Viad Corp. 4,100 102,500
The viaLink Company+ 200 13
Viewlocity, Inc.+ 30 0
Viewpoint Corporation+ 2,300 1,725
Vignette Corporation+ 12,300 27,921
Viisage Technology, Inc.+ 3,900 14,040
VitalWorks Inc.+ 2,100 9,282
Volt Information Sciences, Inc.+ 600 13,560
Wackenhut Corrections Corporation+ 1,000 22,800
Waste Connections, Inc.+ 1,700 64,209
WatchGuard Technologies, Inc.+ 1,300 7,566
Watson Wyatt & Company Holdings+ 500 12,075
Wave Systems Corp. (Class A)+ 2,000 3,280
WebEx Communications, Inc.+ 2,000 40,200
WebMD Corporation+ 20,100 180,699
webMethods, Inc.+ 2,900 26,535
Websense, Inc.+ 1,600 46,784
Weight Watchers International, Inc.+ 6,800 260,916
Westaff, Inc.+ 500 1,170
Wind River Systems, Inc.+ 7,100 62,196
Wireless Facilities, Inc.+ 3,700 54,982
Witness Systems, Inc.+ 1,100 10,263
WorldGate Communications, Inc.+ 200 214
Wynn Resorts, Limited+ 3,600 100,836
Xybernaut Corporation+ 17,600 27,632
ZixIt Corporation+ 700 6,083
-----------------
17,171,234
Chemicals--1.3% A. Schulman, Inc. 3,400 72,488
AEP Industries Inc.+ 400 3,895
AMCOL International Corporation 200 4,060
Aceto Corporation 2,300 58,742
Airgas, Inc. 3,300 70,884
Albemarle Corp. 2,800 83,916
Arch Chemicals, Inc. 400 10,264
Bio-Rad Laboratories, Inc. (Class A)+ 1,300 74,971
12
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Chemicals Brady Corporation (Class A) 900 $ 36,675
(concluded) Cabot Corporation 2,600 82,784
Calgon Carbon Corporation 1,900 11,799
Celgene Corporation+ 3,700 166,574
Crompton Corporation 4,900 35,133
Cytec Industries Inc.+ 1,800 69,102
Entegris Inc.+ 6,000 77,100
Ethyl Corporation+ 120 2,624
Ferro Corporation 1,800 48,978
Foamex International Inc.+ 5,400 27,000
General Chemical Group Inc.+ 4,300 172
Georgia Gulf Corporation 1,600 46,208
Gundle/SLT Environmental, Inc.+ 600 12,456
H.B. Fuller Company 1,200 35,688
Hawkins, Inc. 300 4,188
IMC Global Inc. 8,800 87,384
KMG Chemicals, Inc. 550 1,936
Kronos Worldwide, Inc.+ 1,200 26,640
Landec Corporation+ 3,700 24,457
The Lubrizol Corporation 2,400 78,048
Lyondell Chemical Company 11,200 189,840
MacDermid, Inc. 1,200 41,088
Mace Security International, Inc.+ 450 941
Millennium Chemicals Inc. 5,700 72,276
OM Group, Inc.+ 2,600 68,094
OXiGENE, Inc.+ 2,000 16,160
Olin Corporation 1,392 27,924
Omnova Solutions Inc.+ 1,700 8,160
Penford Corporation 400 5,492
PolyOne Corporation+ 4,000 25,560
Quaker Chemical Corporation 400 12,300
RPM, Inc. 8,700 143,202
Rogers Corporation+ 600 26,472
Rollins, Inc. 2,000 45,100
Schawk, Inc. 1,100 14,993
Stepan Company 400 10,260
Terra Nitrogen Company, LP 2,900 14,384
Tor Minerals International, Inc.+ 1,300 6,786
Tredegar Corporation 900 13,977
Trex Company, Inc.+ 600 22,788
The Valspar Corporation 2,300 113,666
WD-40 Company 1,700 60,112
W.R. Grace & Co.+ 500 1,285
Wellman, Inc. 5,000 51,050
-----------------
2,246,076
Construction--1.8% Ablest, Inc.+ 400 2,044
American Woodmark Corporation 1,100 60,555
Ameron International Corporation 400 13,876
Apogee Enterprises, Inc. 4,100 46,535
Armstrong Holdings, Inc.+ 1,600 1,680
Baran Group Ltd.+ 2 15
Beazer Homes USA, Inc. 1,088 106,254
Building Materials Holding Corporation 2,200 34,166
Capital Pacific Holdings, Inc.+ 600 2,160
Centex Construction Products, Inc. 400 24,108
Ceradyne, Inc.+ 1,300 44,278
D.R. Horton, Inc. 7,382 319,345
Dominion Homes, Inc.+ 1,400 42,462
Dycom Industries, Inc.+ 1,233 33,069
EMCOR Group, Inc.+ 1,800 79,020
ElkCorp 1,200 32,040
Florida Rock Industries, Inc. 1,400 76,790
Granite Construction Incorporated 1,450 34,061
Hovnanian Enterprises, Inc. (Class A)+ 2,000 174,120
Insituform Technologies, Inc. (Class A)+ 3,200 52,800
Integrated Electrical Services, Inc.+ 100 925
International Aluminum Corporation 800 21,888
The L.S. Starrett Company (Class A) 300 4,935
LSI industries Inc. 750 10,125
Lafarge Corporation 3,500 141,820
Lennar Corporation (Class A) 4,240 407,040
MDC Holdings, Inc. 2,103 135,644
M/I Schottenstein Homes, Inc. 1,100 42,955
Martin Marietta Materials, Inc. 1,900 89,243
MasTec, Inc.+ 1,900 28,139
NCI Building Systems, Inc.+ 900 21,510
NVR, Inc.+ 323 150,518
Noland Company 200 7,800
13
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Construction Palm Harbor Homes, Inc.+ 700 $ 12,509
(concluded) Patriot Transportation Holding, Inc.+ 100 3,300
Performance Technologies, Incorporated+ 500 7,125
Perini Corporation+ 900 8,235
Quanta Services, Inc.+ 3,400 24,820
RMH Teleservices, Inc.+ 2,200 11,352
The Ryland Group, Inc. 1,800 159,552
SBA Communications Corporation+ 2,200 8,316
Simpson Manufacturing Co., Inc.+ 1,000 50,860
Standard Pacific Corp. 1,800 87,390
Technical Olympic USA, Inc.+ 1,400 38,542
Texas Industries, Inc. 800 29,600
Toll Brothers, Inc.+ 3,200 127,232
U.S. Concrete, Inc.+ 1,400 9,030
USG Corporation+ 2,300 38,111
United Mobile Homes, Inc. 300 5,103
WCI Communities, Inc.+ 3,900 80,379
WESCO International, Inc.+ 1,600 14,160
Walter Industries, Inc. 1,600 21,360
West Corporation+ 2,600 60,398
Westell Technologies, Inc.+ 3,600 22,716
Wilsons The Leather Experts Inc.+ 1,000 3,490
The Yankee Candle Company, Inc.+ 1,900 51,927
-----------------
3,117,427
Consumer Durables--0.8% Advanced Lighting Technologies, Inc.+ 200 57
American Technology Corporation+ 1,700 8,109
Applica Incorporated+ 1,100 8,360
Bassett Furniture Industries, Incorporated 200 3,300
Bush Industries, Inc.+ 500 2,095
Champion Enterprises, Inc.+ 2,700 18,900
Chromcraft Revington, Inc.+ 300 3,402
CompX International Inc. 300 1,920
Ethan Allen Interiors Inc. 1,900 79,572
Flexsteel Industries, Inc. 200 4,500
Furniture Brands International, Inc. 2,600 76,258
Gemstar-TV Guide International, Inc.+ 20,800 105,040
The Genlyte Group Incorporated+ 1,300 75,894
Griffon Corporation+ 3,420 69,289
HMI Industries Inc.+ 1,400 812
Haverty Furniture Companies, Inc. 1,100 21,846
Helen of Troy Limited+ 3,100 71,765
Hillenbrand Industries, Inc. 2,700 167,562
Interface, Inc.+ 3,400 18,802
Kimball International (Class B) 1,900 29,545
Koss Corporation 200 4,128
La-Z-Boy Inc. 4,800 100,704
Lifetime Hoan Corporation 400 6,760
Mac-Gray Corporation+ 500 2,700
Mohawk Industries, Inc.+ 3,564 251,405
National Presto Industries, Inc. 300 10,845
Restoration Hardware, Inc.+ 1,500 7,125
Rockford Corporation+ 1,700 8,838
The Rowe Companies+ 500 1,800
Salton, Inc.+ 600 7,830
Select Comfort Corporation+ 2,800 69,328
Skyline Corporation 100 3,487
Stanley Furniture Company, Inc. 300 9,450
Sturm, Ruger & Company, Inc. 1,300 14,781
The Toro Company 1,200 55,680
Thomas Industries Inc. 800 27,728
United Rentals, Inc.+ 2,800 53,928
Vialta, Inc.+ 5 3
Virco Mfg. Corporation 642 4,077
Water Pik Technologies, Inc.+ 600 7,362
Wickes Inc.+ 300 90
-----------------
1,415,077
Containers--0.2% Crown Holdings, Inc.+ 6,600 59,796
Graphic Packaging Corporation+ 1,300 5,278
Greif Bros. Corporation (Class A) 1,000 35,510
Mobile Mini, Inc.+ 1,100 21,692
Owens-Illinois, Inc.+ 7,500 89,175
Packaging Dynamics Corporation 500 5,140
Silgan Holdings Inc.+ 900 38,331
Sonoco Products Company 4,400 108,328
-----------------
363,250
Domestic Oil--2.3% AmeriVest Properties Inc. 4,400 31,592
14
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Domestic Oil CONSOL Energy Inc. 6,000 $ 155,400
(concluded) Cal Dive International, Inc.+ 3,800 91,618
Callon Petroleum Company+ 500 5,185
Carrizo Oil & Gas, Inc.+ 3,200 23,043
Chesapeake Energy Corporation 10,900 148,022
Clayton Williams Energy, Inc.+ 500 14,535
Comstock Resources, Inc.+ 3,400 65,620
Diamond Offshore Drilling, Inc. 9,200 188,692
Enbridge Energy Management, LLC+ 1,091 52,717
Encore Acquisition Company+ 400 9,860
Energy Partners, Ltd.+ 1,500 20,850
Frontier Oil Corporation 1,800 30,996
Global Industries, Ltd.+ 9,000 46,350
Gulf Island Fabrication, Inc.+ 700 11,921
GulfMark Offshore, Inc.+ 2,300 32,200
Holly Corporation 600 16,500
The Houston Exploration Company+ 1,000 36,520
KCS Energy, Inc.+ 1,400 14,770
Magellan Midstream Partners, LP 1,200 60,000
Magnum Hunter Resources, Inc.+ 4,250 40,418
Matrix Service Company+ 3,400 61,710
McMoRan Exploration Co.+ 600 11,250
The Meridian Resource Corporation+ 5,500 32,670
Murphy Oil Corporation 5,500 359,205
National-Oilwell, Inc.+ 3,500 78,260
Newfield Exploration Company+ 2,799 124,667
Nuevo Energy Company+ 2,300 55,591
PYR Energy Corporation+ 900 873
Pacific Energy Partners, LP 1,100 32,263
Patina Oil & Gas Corporation 1,606 78,678
Patterson-UTI Energy, Inc.+ 5,700 187,644
PetroQuest Energy, Inc.+ 10,300 32,136
Pioneer Natural Resources Company+ 7,500 239,475
Plains Exploration & Production Company+ 1,825 28,087
Pogo Producing Company 4,200 202,860
Premcor Inc.+ 3,400 88,400
Pride International, Inc.+ 6,200 115,568
Quicksilver Resources Inc.+ 800 25,840
Remington Oil & Gas Corporation+ 1,800 35,442
Spinnaker Exploration Company+ 1,300 41,951
St. Mary Land & Exploration Company 2,200 62,700
Stone Energy Corporation+ 1,079 45,804
Superior Energy Services, Inc.+ 1,700 15,980
Syntroleum Corporation+ 5,600 24,192
TEPPCO Partners, LP 2,500 100,750
Tesoro Petroleum Corporation+ 4,000 58,280
TransMontaigne Inc.+ 2,000 12,900
Ultra Petroleum Corp.+ 4,000 98,480
Universal Compression Holdings, Inc.+ 1,500 39,240
Valero LP 1,200 59,724
Valley National Gases Incorporated+ 500 3,500
Varco International, Inc.+ 4,600 94,898
Vintage Petroleum, Inc. 2,600 31,278
Westport Resources Corporation+ 3,382 100,987
XTO Energy, Inc. 8,300 234,890
-----------------
3,912,982
Drugs & Medicine--10.1% 1-800 CONTACTS, INC.+ 600 12,600
ABIOMED, Inc.+ 1,100 7,601
ALARIS Medical, Inc.+ 2,500 38,025
AMERIGROUP Corporation+ 1,000 42,650
ARIAD Pharmaceuticals, Inc.+ 1,900 14,155
ATS Medical, Inc.+ 900 3,645
AVANIR Pharmaceuticals (Class A)+ 3,000 4,380
AVANT Immunotherapeutics, Inc.+ 2,900 7,946
AVI BioPharma, Inc.+ 1,500 6,105
aaiPharma Inc.+ 1,400 35,168
Abaxis, Inc.+ 2,400 43,488
Abgenix, Inc.+ 3,500 43,610
Able Laboratories, Inc.+ 600 10,842
Accredo Health, Incorporated+ 1,703 53,832
Aclara Biosciences Inc.+ 1,400 5,110
Advanced Medical Optics, Inc.+ 2,900 56,985
Advanced Neuromodulation Systems, Inc.+ 900 41,382
AdvancePCS+ 4,200 221,172
Air Methods Corporation+ 1,700 15,266
Albany Molecular Research, Inc.+ 1,300 19,526
Alexion Pharmaceuticals, Inc.+ 1,700 28,934
Align Technology, Inc.+ 1,900 31,388
15
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Drugs & Medicine Alkermes, Inc.+ 4,700 $ 63,450
(continued) Alliance Imaging, Inc.+ 1,700 6,290
Allos Therapeutics Inc.+ 5,800 20,822
Allscripts Healthcare Solutions, Inc.+ 800 4,256
Alpharma, Inc. (Class A) 2,000 40,200
Amedisys, Inc.+ 1,500 22,500
American Healthways, Inc.+ 2,800 66,836
American Medical Systems Holdings, Inc.+ 1,600 34,880
American Pharmaceutical Partners, Inc.+ 750 25,200
AmSurg Corp.+ 2,100 79,569
Amylin Pharmaceuticals, Inc.+ 6,200 137,764
Andrx Group+ 3,700 88,948
Antigenics Inc.+ 3,600 40,752
Aphton Corporation+ 1,200 7,200
Apogent Technologies Inc.+ 4,600 105,984
Apria Healthcare Group Inc.+ 2,500 71,175
Aradigm Corporation+ 8,200 14,022
ArQule, Inc.+ 1,200 5,856
Array BioPharma Inc.+ 1,400 7,966
Arrow International, Inc. 1,200 29,976
ArthroCare Corporation+ 1,600 39,200
Aspect Medical Systems, Inc.+ 700 7,987
AtheroGenics, Inc.+ 700 10,465
Atrix Laboratories, Inc.+ 2,000 48,080
Avigen, Inc.+ 1,000 5,880
Barr Laboratories, Inc.+ 3,079 236,929
Beckman Coulter Inc. 2,500 127,075
Beverly Enterprises, Inc.+ 9,100 78,169
BioCryst Pharmaceuticals, Inc.+ 200 1,364
BioLase Technology, Inc.+ 800 13,280
BioMarin Pharmaceutical Inc.+ 2,200 17,092
Biopure Corporation+ 2,200 5,236
Biosite Diagnostics Incorporated+ 1,600 46,320
BioSource International, Inc.+ 100 677
BioSpecifics Technologies Corp.+ 1,000 1,460
BioSphere Medical Inc.+ 900 3,591
Birman Managed Care, Inc.+ 11,900 1
Bone Care International, Inc.+ 700 8,918
Bradley Pharmaceuticals, Inc.+ 500 12,715
BriteSmile, Inc.+ 100 2,503
CIMA Labs Inc.+ 1,700 55,454
CNS, Inc. 2,400 32,880
CONMED Corporation+ 2,050 48,790
CTI Molecular Imaging, Inc.+ 4,300 72,713
CV Therapeutics, Inc.+ 1,400 20,524
CYTOGEN Corporation+ 2,230 24,262
Calypte Biomedical Corporation+ 16,300 7,498
Cambrex Corporation 1,100 27,786
Cardiac Science, Inc.+ 3,300 13,167
CardioDynamics International Corporation+ 1,800 10,746
CardioTech International, Inc.+ 1,476 7,970
Caremark Rx, Inc.+ 14,800 374,884
Cell Therapeutics, Inc.+ 2,000 17,400
Centene Corporation+ 1,850 51,819
Cephalon, Inc.+ 3,700 179,117
Cerus Corporation+ 800 3,632
Charles River Laboratories International, Inc.+ 1,900 65,227
Cholestech Corporation+ 700 5,341
ChromaVision Medical Systems, Inc.+ 100 318
Ciphergen Biosystems, Inc.+ 1,100 12,364
CollaGenex Pharmaceuticals, Inc.+ 3,300 36,993
Columbia Laboratories, Inc.+ 1,700 10,710
Community Health Care+ 3,900 103,662
Compex Technologies, Inc.+ 2,700 22,572
Computerized Thermal Imaging, Inc.+ 3,300 858
Conceptus, Inc.+ 1,000 10,620
Conventry Health Care Inc.+ 2,800 180,572
Cooper Companies, Inc. 1,200 56,556
Corautus Genetics Inc.+ 142 639
Corixa Corporation+ 4,000 24,160
CorVel Corporation+ 100 3,760
Covance Inc.+ 2,700 72,360
CryoLife, Inc.+ 2,400 13,872
Cubist Pharmaceuticals, Inc.+ 3,400 41,344
Curative Health Services, Inc.+ 500 6,900
Curis, Inc.+ 2,300 10,350
Cyber-Care, Inc.+ 12,900 52
Cytyc Corporation+ 4,500 61,920
D & K Healthcare Resources, Inc. 900 12,204
16
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Drugs & Medicine DENTSPLY International Inc. 5,050 $ 228,109
(continued) DUSA Pharmaceuticals, Inc.+ 600 3,030
Dade Behring Holdings Inc.+ 1,300 46,462
Datascope Corp. 1,600 57,360
DaVita, Inc.+ 3,800 148,200
Daxor Corporation+ 900 13,275
Deltagen, Inc.+ 1,400 28
Dendreon Corporation+ 4,830 38,930
Diagnostic Products Corporation 1,100 50,501
Diametrics Medical, Inc.+ 200 55
Digene Corporation+ 900 36,090
Discovery Laboratories, Inc.+ 3,800 39,862
Durect Corporation+ 800 2,064
Dynacq Healthcare, Inc.+ 2,000 15,360
EPIX Medical, Inc.+ 2,000 32,560
E-Z-EM, Inc. 1,400 18,130
Edwards Lifesciences Corporation+ 2,300 69,184
Emisphere Technologies, Inc.+ 2,300 12,604
Endo Pharmaceuticals Holdings, Inc.+ 8,300 159,858
Endocardial Solutions, Inc.+ 1,000 7,200
Endologix, Inc.+ 200 794
EntreMed, Inc.+ 4,300 14,362
Enzo Biochem, Inc.+ 641 11,480
Enzon, Inc.+ 2,100 25,200
Eon Labs, Inc.+ 2,200 112,090
Esperion Therapeutics, Inc.+ 2,500 86,525
Exact Sciences Corporation+ 800 8,096
First Health Group Corp.+ 6,500 126,490
First Horizon Pharmaceutical Corporation+ 1,750 19,600
Fischer Imaging Corporation+ 1,300 5,785
Fonar Corporation+ 17,300 19,895
Genaera Corporation+ 5,800 18,444
Gene Logic Inc.+ 1,500 7,785
Genelabs Technologies, Inc.+ 2,000 5,600
Genentech, Inc.+ 11,700 1,094,769
Genesis HealthCare Corporation+ 1,750 39,865
Genome Therapeutics Corp.+ 2,700 8,451
Gen-Probe Incorporated+ 3,200 116,704
Genta Incorporated+ 2,400 24,984
Genzyme Corporation+ 39 1,924
Geron Corporation+ 3,200 31,904
Gilead Sciences, Inc.+ 10,300 598,842
Gliatech Inc.+ 100 0
GlycoGenesys, Inc.+ 800 1,200
Guilford Pharmaceuticals Inc.+ 4,700 31,866
Haemonetics Corporation+ 1,200 28,668
Health Net Inc.+ 5,300 173,310
Healthcare Services Group, Inc. 400 7,716
HealthExtras, Inc.+ 800 10,720
HealthTronics Surgical Services, Inc.+ 1,100 6,875
Hemispherx Biopharma, Inc.+ 1,300 2,938
Henry Schein, Inc.+ 2,900 195,982
Hi-Tech Pharmacal Co., Inc.+ 1,250 29,375
Hollis-Eden Pharmaceuticals, Inc.+ 1,900 20,919
Hologic, Inc.+ 900 15,597
Hooper Holmes, Inc. 2,600 16,068
Human Genome Sciences, Inc.+ 5,900 78,175
Hydron Technologies, Inc.+ 2,900 2,117
ICU Medical, Inc.+ 1,700 58,276
IDEXX Laboratories, Inc.+ 2,700 124,956
IGEN International, Inc.+ 1,800 106,038
II-VI Incorporated+ 1,300 33,540
ILEX Oncology, Inc.+ 1,600 34,000
INAMED Corporation+ 2,400 115,344
I-STAT Corporation+ 800 12,240
IVAX Corporation+ 8,950 213,726
I-Flow Corporation+ 2,500 34,775
Imclone Systems+ 4,221 167,405
Immucor, Inc.+ 2,700 55,053
ImmunoGen, Inc.+ 1,900 9,595
Immunomedics, Inc.+ 2,400 10,944
Impax Laboratories, Inc.+ 3,600 51,804
Incyte Genomics, Inc.+ 7,400 50,616
Indevus Pharmaceuticals, Inc.+ 2,000 11,780
Inkine Pharmaceutical Company, Inc.+ 1,400 6,678
Insmed Incorporated+ 4,200 12,474
Inspire Pharmaceuticals, Inc.+ 1,500 21,240
Integra LifeSciences Holdings+ 2,500 71,575
InterMune Inc.+ 2,600 60,216
17
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Drugs & Medicine Interpore International, Inc.+ 3,200 $ 41,600
(continued) IntraBiotics Pharmaceuticals, Inc.+ 16 258
Introgen Therapeutics, Inc.+ 3,500 29,610
Intuitive Surgical, Inc.+ 2,050 35,035
Invacare Corp. 1,400 56,518
Inveresk Research Group, Inc.+ 700 17,311
Inverness Medical Innovations, Inc.+ 828 18,034
Isis Pharmaceuticals, Inc.+ 5,100 33,150
K-V Pharmaceutical Company (Class A)+ 1,800 45,900
Kendle International Inc.+ 1,200 7,608
Kensey Nash Corporation+ 1,600 37,200
Kindred Healthcare, Inc.+ 1,600 83,168
Kyphon Inc.+ 1,900 47,177
LCA-Vision Inc.+ 1,700 35,989
La Jolla Pharmaceutical Company+ 2,000 8,580
Laboratory Corporation of America Holdings+ 6,800 251,260
Landauer, Inc. 100 4,078
The Langer Biomechanics Group, Inc.+ 300 1,020
Large Scale Biology Corp.+ 1,000 1,840
LecTec Corporation+ 800 616
Lexicon Genetics Incorporated+ 2,100 12,369
Life Medical Sciences, Inc.+ 8,500 2,975
Lifecore Biomedical, Inc.+ 700 4,214
LifePoint Hospitals, Inc.+ 3,100 91,295
Ligand Pharmaceuticals Incorporated (Class B)+ 3,600 52,884
Lincare Holdings Inc.+ 6,200 186,186
MGI Pharma, Inc.+ 1,800 74,070
MIM Corporation+ 1,100 7,733
MacroChem Corporation+ 1,100 924
Magellan Health Services, Inc.+ 1,400 105
Mannatech, Incorporated+ 1,300 14,118
Martek Biosciences Corporation+ 2,200 142,934
Maxim Pharmaceuticals, Inc.+ 900 8,010
Medarex, Inc.+ 3,600 22,428
MedCath Corporation+ 1,300 13,598
The Med-Design Corporation+ 600 2,700
Medical Action Industries Inc.+ 2,000 37,420
The Medicines Company+ 2,200 64,812
Medicis Pharmaceutical (Class A) 1,400 99,820
Medis Technologies Ltd.+ 1,030 11,021
MedQuist Inc.+ 1,000 16,060
MedSource Technologies, Inc.+ 4,500 20,250
Medwave, Inc.+ 300 1,725
Mentor Corporation 2,800 67,368
Meridian Bioscience, Inc. 700 7,301
Merit Medical Systems, Inc.+ 1,268 28,226
Mid Atlantic Medical Services, Inc.+ 2,400 155,520
Millennium Pharmaceuticals, Inc.+ 14,473 270,211
Mine Safety Appliances Company 500 39,755
Molecular Devices Corporation+ 1,000 18,990
Mylan Laboratories, Inc. 13,050 329,643
Myriad Genetics, Inc.+ 1,300 16,718
NBTY Inc.+ 4,200 112,812
NPS Pharmaceuticals, Inc.+ 1,700 52,258
Nabi Biopharmaceuticals+ 4,900 62,279
National Dentex Corporation+ 100 2,400
National Healthcare Corporation+ 400 7,960
Natrol, Inc.+ 400 1,116
Natures Sunshine Products, Inc. 800 6,760
NeighborCare, Inc.+ 3,500 69,125
Nektar Therapeutics+ 4,600 62,606
NeoPharm, Inc.+ 786 14,400
Neose Technologies, Inc.+ 1,100 10,120
Neurocrine Biosciences, Inc.+ 2,700 147,258
Neurogen Corporation+ 900 7,570
Northfield Laboratories Inc.+ 1,900 12,559
Novavax, Inc.+ 2,400 14,400
Noven Pharmaceuticals, Inc.+ 2,300 34,983
Nutraceutical International Corporation+ 2,600 28,652
Nuvelo, Inc.+ 4,864 16,878
OSI Pharmaceuticals, Inc.+ 1,573 50,666
OSI Pharmaceuticals (Contingent Value Rights) 1,300 0
Oakley, Inc. 2,500 34,600
Ocular Sciences, Inc.+ 1,400 40,194
Odyssey Healthcare, Inc.+ 1,650 48,279
Omnicare, Inc. 6,400 258,496
Onyx Pharmaceuticals, Inc.+ 2,300 64,929
OraSure Technologies, Inc.+ 1,500 11,940
Orthodontic Centers of America, Inc.+ 2,100 16,905
OrthoLogic Corp.+ 6,000 36,780
18
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Drugs & Medicine Owens & Minor, Inc. 1,600 $ 35,056
(continued) Oxford Health Plans, Inc. 3,900 169,650
PAREXEL International Corporation+ 1,800 29,268
POZEN Inc.+ 1,100 11,220
PRAECIS Pharmaceuticals Incorporated+ 2,500 16,100
PSS World Medical, Inc.+ 6,400 77,248
PacifiCare Health Systems, Inc.+ 1,700 114,920
Pain Therapeutics, Inc.+ 1,100 7,645
Patterson Dental Company+ 4,200 269,472
Pediatrix Medical Group, Inc.+ 1,200 66,108
Penwest Pharmaceuticals Co.+ 2,500 43,200
Peregrine Pharmaceuticals, Inc.+ 14,900 32,929
Perrigo Company 3,300 51,876
Pharmaceutical Product Development, Inc.+ 4,300 115,971
Pharmaceutical Resources, Inc.+ 1,500 97,725
Pharmacopeia, Inc.+ 1,600 22,736
Pharmacyclics, Inc.+ 2,500 18,500
Pharmos Corporation+ 8,100 28,188
Physiometrix, Inc.+ 100 219
PolyMedica Corporation 1,200 31,572
Priority Healthcare Corporation (Class B)+ 3,700 89,207
Progenics Pharmaceuticals, Inc.+ 500 9,430
Protein Design Labs, Inc.+ 4,100 73,390
Proterion Corporation+ 4,600 2,162
Province Healthcare Company+ 1,900 30,400
ProxyMed, Inc.+ 300 5,247
Psychemedics Corporation 125 1,171
Psychiatric Solutions, Inc.+ 266 5,559
Q-Med, Inc.+ 700 7,861
Radiologix, Inc.+ 1,100 3,729
Regeneration Technologies, Inc.+ 3,500 38,360
Regeneron Pharmaceuticals, Inc.+ 2,100 30,891
RehabCare Group, Inc.+ 800 17,008
Renal Care Group, Inc.+ 3,700 152,440
Res-Care, Inc.+ 1,200 9,720
ResMed Inc.+ 1,700 70,618
Respironics, Inc.+ 2,500 112,725
Rita Medical Systems, Inc.+ 900 4,005
SICOR Inc.+ 7,500 204,000
STAAR Surgical Company+ 2,400 27,024
STERIS Corporation+ 3,200 72,320
Salix Pharmaceuticals, Ltd.+ 800 18,136
Sangamo Biosciences, Inc.+ 1,300 7,202
Savient Pharmaceuticals Inc.+ 3,000 13,830
SciClone Pharmaceuticals, Inc.+ 1,300 8,814
Select Medical Corporation 3,200 52,096
Sepracor Inc.+ 3,900 93,327
Serologicals Corporation+ 1,200 22,320
Sierra Health Services, Inc.+ 2,400 65,880
Sirna Therapeutics, Inc.+ 215 1,118
Sola International Inc.+ 1,000 18,800
Sonic Innovations, Inc.+ 1,000 6,450
SonoSite, Inc.+ 700 15,008
Sparta Surgical Corporation+ 1,900 0
Specialty Laboratories, Inc.+ 900 15,111
Spectrum Pharmaceuticals Inc.+ 16 134
Star Scientific, Inc.+ 4,600 8,464
Sunrise Assisted Living, Inc.+ 1,300 50,362
Sunrise Technologies International, Inc.+ 400 2
SuperGen, Inc.+ 3,800 41,800
SurModics, Inc.+ 1,900 45,410
Sybron Dental Specialties, Inc.+ 900 25,290
Synovis Life Technologies, Inc.+ 1,400 28,476
Tanox, Inc.+ 3,900 57,915
Targeted Genetics Corporation+ 8,500 18,615
Techne Corporation+ 2,000 75,560
Therasense, Inc.+ 2,000 40,600
Third Wave Technologies+ 1,900 8,645
Thoratec Laboratories Corporation+ 4,200 54,642
Titan Pharmaceuticals, Inc.+ 2,800 8,148
Transgenomic, Inc.+ 900 1,800
Transkaryotic Therapies, Inc.+ 2,500 39,025
Triad Hospitals, Inc.+ 2,946 98,013
Trimeris, Inc.+ 1,900 39,862
TriPath Imaging, Inc.+ 1,600 12,480
Tripos, Inc.+ 700 4,683
Twinlab Corporation+ 400 8
US Oncology, Inc.+ 9,000 96,840
19
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Drugs & Medicine U.S. Physical Therapy, Inc.+ 600 $ 9,438
(concluded) USANA Health Sciences, Inc.+ 1,800 55,080
United Surgical Partners International, Inc.+ 1,400 46,872
United Therapeutics Corporation+ 2,700 61,965
Universal Display Corporation+ 1,100 15,037
Universal Health Services, Inc. (Class B) 3,600 193,392
Urologix, Inc.+ 700 4,620
Utah Medical Products, Inc.+ 1,100 28,512
VCA Antech, Inc.+ 900 27,882
VISX, Incorporated+ 2,300 53,245
VIVUS, Inc.+ 200 758
Valeant Pharmaceuticals International 3,900 98,085
Valentis, Inc.+ 193 521
Varian Medical Systems, Inc.+ 3,100 214,210
Vasomedical, Inc.+ 2,300 2,553
VaxGen, Inc.+ 2,800 22,176
Ventana Medical Systems, Inc.+ 1,600 63,040
Vertex Pharmaceuticals Incorporated+ 2,862 29,278
Viasys Healthcare Inc.+ 300 6,180
Vical Incorporated+ 1,000 4,920
Vicuron Pharmaceuticals Inc.+ 1,200 22,380
Vion Pharmaceuticals, Inc.+ 4,400 6,776
Viragen, Inc.+ 13,900 3,336
ViroPharma Incorporated+ 900 2,502
Vital Signs, Inc. 1,500 49,050
West Pharmaceutical Services, Inc. 700 23,730
Women First HealthCare, Inc.+ 1,200 1,788
Wright Medical Group, Inc.+ 1,400 42,616
XOMA Ltd.+ 2,000 13,200
Zila, Inc.+ 7,300 29,857
Zoll Medical Corporation+ 400 14,192
Zymogentics, Inc.+ 900 13,950
-----------------
17,495,783
Electronics--6.8% ACE*COMM Corporation+ 56 137
ADE Corporation+ 1,900 35,188
ANADIGICS, Inc.+ 2,200 13,112
APAC Customer Services Inc.+ 2,000 5,200
APW Ltd.+ 3,800 0
ATMI, Inc.+ 3,000 69,420
AVX Corporation 7,400 122,988
AXT, Inc.+ 1,200 3,732
Actel Corp.+ 2,000 48,200
Acuity Brands, Inc. 800 20,640
Acxiom Corp.+ 6,100 113,277
Advanced Fibre Communications, Inc.+ 3,900 78,585
Advanced Power Technology, Inc.+ 500 4,320
Agere Systems Inc. (Class A)+ 85,100 259,555
Agilysys, Inc. 2,200 24,530
Airnet Communications Corporation+ 200 170
Alliance Fiber Optic Products, Inc.+ 1,400 2,366
Alliance Semiconductor Corporation+ 5,100 36,261
Alliant Techsystems Inc.+ 2,362 136,429
American Physicians Capital, Inc.+ 400 7,360
American Technical Ceramics Corp.+ 100 779
Amkor Technology, Inc.+ 9,900 180,279
Amphenol Corp. (Class A)+ 2,200 140,646
Amtech Systems, Inc.+ 100 576
Anaren Microwave, Inc.+ 1,200 16,944
Anixter International Inc.+ 1,800 46,584
Applera Corporation - Celera Genomics Group+ 2,700 37,557
Arris Group Inc.+ 6,300 45,612
Arrow Electronics, Inc.+ 4,600 106,444
Artisan Components, Inc.+ 1,800 36,900
Aspect Communications Corporation+ 4,600 72,496
Asyst Technologies, Inc.+ 3,300 57,255
Atmel Corporation+ 21,100 126,811
Audiovox Corporation (Class A)+ 200 2,568
Avanex Corporation+ 3,400 16,966
Avid Technology, Inc.+ 2,000 96,000
Avnet, Inc.+ 4,574 99,073
Aware, Inc.+ 900 2,615
Axcelis Technologies, Inc.+ 7,300 74,606
Axsys Technologies, Inc.+ 100 1,419
BEI Technologies, Inc. 300 6,000
Badger Meter, Inc. 100 3,815
Bel Fuse Inc. (Class A) 900 26,910
Belden Inc. 1,200 25,308
Bell Microproducts Inc.+ 1,000 9,060
20
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Electronics Benchmark Electronics, Inc.+ 1,800 $ 62,658
(continued) Boston Acoustics, Inc. 200 2,202
Brooks Automation, Inc.+ 2,796 67,579
Bruker BioSciences Corporation+ 5,900 26,845
C&D Technologies, Inc. 1,100 21,087
CCC Information Services Group Inc.+ 1,267 21,412
C-COR.net Corp.+ 1,800 20,034
CEVA, Inc.+ 900 9,360
CHRONIMED Inc.+ 200 1,696
CMGI Inc.+ 15,700 27,946
CTS Corporation 1,600 18,400
Cable Design Technology+ 2,600 23,374
Cabot Microelectronics Corporation+ 1,700 83,300
Cadence Design Systems, Inc.+ 12,400 222,952
California Amplifier, Inc.+ 3,700 52,059
California Micro Devices Corporation+ 2,000 18,260
Caliper Technologies Corp.+ 1,300 8,554
Captaris Inc.+ 5,200 29,224
Celeritek, Inc. 500 3,710
Cepheid, Inc.+ 1,600 15,328
Champion Industries, Inc. 700 2,876
Checkpoint Systems, Inc.+ 2,100 39,711
ChipPAC, Inc.+ 6,600 50,094
Cirrus Logic, Inc.+ 4,100 31,447
Coherent, Inc.+ 2,300 54,740
Cohu, Inc. 1,300 24,895
CommScope, Inc.+ 2,500 40,825
Computer Network Technology Corporation+ 1,500 14,310
Comtech Telecommunications Corp.+ 1,500 43,305
Conexant Systems, Inc.+ 12,900 64,113
Corvis Corporation+ 14,700 24,990
Cox Radio, Inc. (Class A)+ 1,600 40,368
Credence Systems Corporation+ 4,600 60,536
Cree, Inc.+ 3,400 60,146
Cubic Corporation 1,300 29,900
Cyberonics, Inc.+ 1,900 60,819
Cymer, Inc.+ 2,600 120,094
Cypress Semiconductor Corporation+ 5,700 121,752
DSP Group, Inc.+ 2,200 54,802
Daktronics, Inc.+ 2,200 55,352
Dataram Corporation+ 100 432
Dionex Corporation+ 1,600 73,632
Ducommun Incorporated+ 500 11,175
DuPont Photomasks, Inc.+ 2,000 48,280
Dynamic Research Corporation+ 1,400 22,582
EMCORE Corporation+ 1,900 8,949
EMS Technologies, Inc.+ 500 10,270
ESS Technology, Inc.+ 2,300 39,123
Electro Scientific Industries, Inc.+ 1,500 35,700
Electroglas, Inc.+ 1,700 6,205
Electronics for Imaging, Inc.+ 4,300 111,886
eMagin Corporation+ 200 276
Emulex Corporation+ 3,700 98,716
Energizer Holdings, Inc.+ 4,000 150,240
Energy Conversion Devices, Inc.+ 1,100 9,933
Entrada Networks, Inc.+ 25 4
Exar Corporation+ 4,200 71,736
Excel Technology, Inc.+ 100 3,286
FARO Technologies, Inc.+ 1,900 47,462
FEI Company+ 2,000 45,000
FLIR Systems, Inc.+ 1,600 58,400
FSI International, Inc.+ 5,100 37,638
Fairchild Semiconductor Corporation+ 4,800 119,856
FormFactor Inc.+ 900 17,820
FuelCell Energy, Inc.+ 2,500 32,500
GTC Biotherapeutics, Inc.+ 1,400 4,466
General Cable Corporation+ 1,600 13,040
Gerber Scientific, Inc.+ 900 7,164
Getty Images, Inc.+ 2,700 135,351
Glenayre Technologies, Inc.+ 500 1,345
GlobespanVirata, Inc.+ 6,318 37,150
Glowpoint, Inc.+ 200 350
Harman International Industries, Incorporated 3,200 236,736
Harmonic Inc.+ 3,600 26,100
Harris Corporation 2,600 98,670
Harvard Bioscience, Inc.+ 1,520 13,528
Hearst-Argyle Television, Inc. 3,700 101,972
Herley Industries, Inc.+ 1,950 40,365
hi/fn, inc.+ 400 4,760
21
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Electronics Hollywood Entertainment Corporation+ 5,200 $ 71,500
(continued) Hughes Electronics Corporation+ 48,405 801,105
Hungarian Telephone and Cable Corp.+ 600 5,916
Hutchinson Technology Incorporated+ 1,800 55,332
IXYS Corporation+ 200 1,870
Illumina, Inc.+ 1,700 11,985
Innovex, Inc.+ 2,500 21,075
Integrated Circuit Systems, Inc.+ 3,400 96,866
Integrated Silicon Solution, Inc.+ 1,300 20,371
Interactive Data Corporation+ 4,500 74,520
Interlink Electronics, Inc.+ 100 702
Intermagnetics General Corporation+ 1,702 37,716
International Rectifier Corp.+ 2,800 138,348
Intersil Holding Corporation (Class A) 6,396 158,941
Itron, Inc.+ 2,200 40,392
Ixia+ 2,100 24,570
Keithley Instruments, Inc. 600 10,980
Kemet Corp.+ 3,300 45,177
Kopin Corporation+ 3,900 26,169
Kulicke and Soffa Industries+ 2,400 34,512
LAM Research Corp.+ 7,500 242,250
LCC International, Inc. (Class A)+ 100 536
Lattice Semiconductor Corporation+ 8,700 84,216
LeCroy Corporation+ 500 9,005
LightPath Technologies, Inc. (Class A)+ 100 279
Littelfuse Inc.+ 600 17,292
MEMC Electronic Materials, Inc.+ 10,500 101,010
MKS Instruments, Inc.+ 2,453 71,137
MRV Communications, Inc.+ 5,587 21,007
MTS Systems Corporation 2,600 49,998
M~WAVE, Inc.+ 100 53
Macromedia, Inc.+ 2,860 51,022
Manufacturers' Services Limited+ 200 1,216
Mattson Technology, Inc.+ 1,800 21,996
Maxwell Technologies, Inc.+ 400 2,840
Mercury Computer Systems, Inc.+ 1,400 34,860
Mestek, Inc.+ 500 9,630
Methode Electronics Inc. 2,100 25,683
Microsemi Corporation+ 1,700 41,786
Microtune, Inc.+ 5,400 13,230
Monolithic System Technology, Inc.+ 400 3,420
Mykrolis Corporation+ 2,500 40,200
NETGEAR, Inc.+ 200 3,198
Nanogen, Inc.+ 3,300 29,733
Nanometrics Incorporated+ 600 8,826
Nanophase Technologies Corporation+ 600 4,854
NeoMagic Corporation+ 1,600 4,416
Neoware Systems, Inc.+ 700 9,590
Netopia, Inc.+ 3,400 49,572
New Focus, Inc.+ 8,100 40,662
Newport Corporation+ 1,700 28,101
North Coast Energy, Inc.+ 500 5,346
Novoste Corporation+ 800 3,832
Nu Horizons Electronics Corp.+ 800 7,840
ON Semiconductor Corporation+ 13,900 89,655
OSI Systems, Inc.+ 700 13,447
OmniVision Technologies, Inc.+ 1,100 60,775
Oplink Communications, Inc.+ 1,800 4,302
Optical Communication Products, Inc.+ 400 1,480
P-Com, Inc.+ 120 16
PDF Solutions, Inc.+ 200 2,980
PLX Technology, Inc.+ 1,100 9,735
Park Electrochemical Corp. 950 25,166
ParkerVision, Inc.+ 800 7,832
Parlex Corporation+ 1,100 8,701
Paxson Communications Corporation+ 2,900 11,165
Pemstar Inc.+ 1,500 4,935
Pericom Semiconductor Corporation+ 1,000 10,660
Photon Dynamics, Inc.+ 1,100 44,264
Pinnacle Systems, Inc.+ 2,400 20,472
Pixelworks, Inc.+ 1,700 18,768
Planar Systems Inc.+ 700 17,024
Plantronics, Inc.+ 1,900 62,035
Plexus Corporation+ 1,500 25,755
Powell Industries, Inc.+ 500 9,575
Power Integrations, Inc.+ 1,600 53,536
Powerwave Technologies, Inc.+ 2,400 18,360
Preformed Line Products Company 900 25,893
Proxim Corporation (Class A)+ 14,129 23,595
22
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Electronics Quantum Corporation-DLT & Storage Systems+ 6,100 $ 19,032
(concluded) QuickLogic Corporation+ 200 994
REMEC, Inc.+ 5,200 43,732
RF Micro Devices, Inc.+ 11,800 118,590
RadiSys Corporation+ 700 11,802
Rambus Inc.+ 6,400 196,480
Rayovac Corporation+ 1,200 25,140
Robotic Vision Systems, Inc.+ 80 256
Rofin-Sinar Technologies, Inc.+ 1,700 58,752
Rudolph Technologies, Inc.+ 900 22,086
SAFLINK Corporation+ 3,300 8,877
SBS Technologies, Inc.+ 100 1,471
SCM Microsystems, Inc.+ 800 6,176
SIPEX Corporation+ 1,100 8,481
The Sagemark Companies Ltd.+ 1,200 2,040
ScanSoft, Inc.+ 4,318 22,972
Seagate Technology+ 2,900 54,810
Semitool, Inc.+ 500 5,361
Semtech Corporation+ 2,700 61,371
Sigmatel Incorporated+ 2,900 71,572
Silicon Image, Inc.+ 3,300 23,859
Silicon Laboratories Inc.+ 3,100 133,982
Silicon Storage Technology, Inc.+ 3,700 40,700
Siliconix Incorporated+ 1,500 68,550
SimpleTech, Inc.+ 600 3,606
Sirenza Microdevices, Inc.+ 3,300 15,840
Skyworks Solutions, Inc.+ 6,400 55,680
Somera Communications, Inc.+ 2,500 4,000
SpectraLink Corporation 2,100 40,257
Standard Microsystems Corporation+ 1,900 48,070
Stratex Networks, Inc.+ 4,000 17,000
Suntron Corp.+ 200 860
Superconductor Technologies Inc.+ 220 1,228
Superior TeleCom Inc.+ 100 0
Supertex, Inc.+ 100 1,910
SymmetriCom, Inc.+ 1,176 8,561
Synaptics Incorporated+ 300 4,494
THQ Inc.+ 2,900 49,039
TTM Technologies, Inc.+ 1,000 16,880
Taser International, Inc+ 600 49,350
Technitrol, Inc.+ 1,100 22,814
Tekelec+ 3,000 46,650
Terayon Communication Systems, Inc.+ 4,200 18,900
Therma-Wave Inc.+ 6,400 37,760
Three-Five Systems, Inc.+ 900 4,716
Tollgrade Communications, Inc.+ 700 12,271
Transmeta Corporation+ 12,600 42,840
TranSwitch Corporation+ 3,600 8,280
Tripath Technology Inc.+ 1,700 11,730
TriQuint Semiconductor, Inc.+ 4,845 34,254
Tvia, Inc.+ 200 470
Tweeter Home Entertainment Group, Inc.+ 1,200 11,340
Ultralife Batteries, Inc.+ 2,200 27,236
Ultratech Stepper, Inc.+ 2,100 61,677
United Industrial Corporation 600 10,830
Unitil Corporation 600 15,480
Valence Technology, Inc.+ 1,800 6,750
Varian Inc.+ 2,200 91,806
Varian Semiconductor Equipment Associates, Inc.+ 2,300 100,487
ViaSat, Inc.+ 1,300 24,882
Vicor Corporation+ 1,800 20,538
Virage Logic Corporation+ 300 3,051
Vishay Intertechnology, Inc.+ 6,926 158,605
Vitesse Semiconductor Corporation+ 9,900 58,113
Vyyo Inc.+ 66 563
WJ Communications, Inc.+ 6,300 32,250
Western Digital Corporation+ 10,100 119,079
Western Wireless Corporation (Class A)+ 4,900 89,964
Wilson Greatbatch Technologies, Inc.+ 800 33,816
Xicor, Inc.+ 900 10,206
YDI Wireless, Inc.+ 75 409
Zebra Technologies Corporation (Class A)+ 3,200 212,384
Zhone Technologies, Inc.+ 4,325 21,279
Zoran Corporation+ 2,561 44,536
-----------------
11,734,482
Energy & Raw Materials--2.3% APCO Argentina Inc. 1,000 26,510
Alliance Resource Partners, LP 1,500 51,570
Altair Nanotechnologies, Inc.+ 800 2,104
23
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Energy & Raw Materials Arabian American Development Company+ 3,600 $ 180
(concluded) Arch Coal, Inc. 4,000 124,680
AstroPower, Inc.+ 1,250 813
Atwood Oceanics, Inc.+ 700 22,358
Barnwell Industries, Inc. 100 3,150
Brigham Exploration Company+ 6,900 55,400
Buckeye Partners, LP 800 36,280
CARBO Ceramics Inc. 300 15,375
Cabot Oil & Gas Corporation 2,400 70,440
Cimarex Energy Co.+ 1,481 39,528
Cooper Cameron Corporation+ 3,700 172,420
Dawson Geophysical Company+ 200 1,500
Denbury Resources Inc.+ 4,500 62,595
Dril-Quip, Inc.+ 700 11,410
ENSCO International Incorporated 6,820 185,299
Emex Corporation+ 4,203 42
Enterprise Products Partners LP 10,000 245,500
Evergreen Resources, Inc.+ 1,400 45,514
The Exploration Company of Delaware+ 1,000 6,080
FMC Technologies, Inc.+ 2,800 65,240
Forest Oil Corporation+ 1,900 54,283
Friede Goldman Halter, Inc.+ 500 0
Grant Prideco, Inc.+ 4,400 57,288
Grey Wolf, Inc.+ 14,300 53,482
Hanover Compressor Company+ 2,349 26,191
Headwaters Incorporated+ 3,300 64,746
Helmerich & Payne, Inc. 2,300 64,239
Horizon Offshore, Inc.+ 4,800 21,120
Hydril Company+ 2,800 67,004
Inergy, LP 1,000 49,500
Joy Global Inc. 2,300 60,145
Kestrel Energy, Inc.+ 900 297
Key Energy Services, Inc.+ 6,600 68,046
Kirby Corporation+ 1,200 41,856
Liquidmetal Technologies+ 2,100 5,964
Lufkin Industries, Inc. 300 8,637
Lynx Therapeutics, Inc.+ 14 88
MAXXAM Inc.+ 600 11,370
Massey Energy Company 3,700 76,960
McDermott International, Inc.+ 200 2,390
NL Industries, Inc. 2,400 28,080
Newpark Resources, Inc.+ 3,800 18,202
Noble Energy, Inc. 3,300 146,619
Offshore Logistics, Inc.+ 1,500 36,780
Oil States International, Inc.+ 600 8,364
Pacific Gulf Resources+ 100 5
Parker Drilling Company+ 10,900 27,795
Peabody Energy Corporation 2,100 87,591
Penn Virginia Corporation 400 22,260
Petroleum Development Corporation+ 3,300 78,210
Petrominerals Corporation+ 1,100 215
Plains All American Pipeline, LP 2,800 90,888
Plains Resources Inc.+ 1,400 22,470
Prima Energy Corporation+ 650 22,854
Prolong International Corporation+ 5,700 2,223
Quantum Fuel Systems Technologies Worldwide, Inc.+ 1,300 10,452
RGC Resources, Inc. 100 2,285
Range Resources Corporation 4,500 42,525
Reliant Resources, Inc.+ 12,500 92,000
SEACOR SMIT Inc.+ 1,000 42,030
Smith International, Inc.+ 4,800 199,296
Southwestern Energy Company+ 3,100 74,090
Swift Energy Company+ 1,900 32,015
TC Pipelines, LP 1,100 36,079
Tidewater Inc. 3,700 110,556
Tom Brown, Inc.+ 3,800 122,550
Trico Marine Services, Inc.+ 5,700 10,203
USEC Inc. 3,900 32,760
Unit Corporation+ 1,800 42,390
Valero Energy Corporation 5,200 240,968
W-H Energy Services, Inc.+ 2,500 40,500
Weatherford International Ltd.+ 6,700 241,200
Western Gas Resources, Inc. 1,500 70,875
World Fuel Services Corporation 400 13,580
Xanser Corporation+ 1,300 3,081
-----------------
4,029,585
Energy & Utilities--2.7% AGL Resources Inc. 4,300 125,130
ALLETE, Inc. 3,900 119,340
24
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Energy & Utilities Active Power, Inc.+ 3,500 $ 10,150
(concluded) Alliant Energy Corporation 6,200 154,380
American States Water Company 150 3,750
Aquila, Inc.+ 7,810 26,476
Artesian Resources Corporation (Class A) 150 4,179
Atmos Energy Corporation 4,100 99,630
Avista Corporation 1,100 19,932
BIW Limited 200 3,820
Beacon Power Corporation+ 7,730 8,426
Black Hills Corporation 1,100 32,813
CH Energy Group, Inc. 900 42,210
California Water Service Group 500 13,700
Cascade Natural Gas Corporation 100 2,109
Catalytica Energy Systems, Inc.+ 2,766 9,678
Central Vermont Public Service Corporation 600 14,100
Chesapeake Utilities Corporation 300 7,815
Cleco Corporation 2,500 44,950
Connecticut Water Service, Inc. 400 11,060
DPL Inc. 7,300 152,424
Delta Natural Gas Company, Inc. 100 2,386
Distributed Energy Systems Corp. 10,000 28,600
Duquesne Light Holdings Inc. 5,200 95,368
El Paso Electric Company+ 4,400 58,740
Empire District Electric Company 2,200 48,246
Energen Corporation 2,400 98,472
Energy East Corporation 6,300 141,120
Energy West Incorporated 200 1,190
EnergySouth, Inc. 200 7,000
Equitable Resources, Inc. 4,200 180,264
Florida Public Utilities Company 133 2,088
Great Plains Energy Incorporated 3,200 101,824
Green Mountain Power Corporation 1,000 23,600
Hawaiian Electric Industries, Inc. 1,700 80,529
IDAcorp Inc. 1,500 44,880
The Laclede Group, Inc. 200 5,710
MDU Resources Group 4,950 117,860
MGE Energy, Inc. 200 6,302
Middlesex Water Company 466 9,460
NSTAR 3,300 160,050
NUI Corporation 3,000 48,360
National Fuel Gas Company 3,400 83,096
New Jersey Resources Corporation 1,400 53,914
Northeast Utilities 9,000 181,530
Northwest Natural Gas Company 1,200 36,900
Northwestern Corporation+ 5,400 432
OGE Energy Corp. 5,500 133,045
ONEOK, Inc. 3,800 83,904
Otter Tail Company 600 16,038
PNM Resources Inc. 2,000 56,200
Pennichuck Corporation 133 3,759
Pepco Holdings, Inc. 8,258 161,361
Philadelphia Suburban Corporation 3,413 75,427
Piedmont Natural Gas Company, Inc. 2,500 108,650
Puget Energy, Inc. 6,500 154,505
Questar Corporation 5,500 193,325
SCANA Corporation 7,000 239,750
SEMCO Energy, Inc. 800 3,920
SJW Corp. 100 8,925
Sierra Pacific Resources+ 5,300 38,902
South Jersey Industries, Inc. 400 16,200
Southern Union Company+ 4,326 79,598
Southwest Gas Corporation 1,500 33,675
Southwest Water Company 2,120 34,026
Streicher Mobile Fueling, Inc.+ 600 798
Tatham Offshore, Inc.+ 15,700 8
UGI Corporation 3,500 118,650
UIL Holdings Corporation 700 31,570
UniSource Energy Corporation 1,600 39,456
Vectren Corporation 2,700 66,555
Veritas DGC Inc.+ 2,600 27,248
WGL Holdings Inc. 2,200 61,138
WPS Resources Corporation 2,400 110,952
Westar Energy, Inc. 3,600 72,900
Wisconsin Energy Corporation 7,400 247,530
-----------------
4,742,008
Food & Agriculture--2.1% 7-Eleven, Inc.+ 5,300 85,065
Alico, Inc. 300 10,428
American Italian Pasta Company (Class A) 900 37,710
25
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Food & Agriculture The Andersons, Inc. 300 $ 4,790
(concluded) Aurora Food Inc.+ 2,900 15
Bridgford Foods Corporation 500 3,925
Bunge Limited 6,800 223,856
Cagle's Inc. (Class A)+ 200 1,780
Chiquita Brands International, Inc.+ 1,802 40,599
Coca-Cola Bottling Co. Consolidated 400 21,396
Corn Products International, Inc. 1,700 58,565
Cuisine Solutions, Inc.+ 1,200 1,236
Dean Foods Company+ 7,171 235,711
Del Monte Foods Company+ 10,600 110,240
Delta and Pine Land Company 1,800 45,720
Eden Bioscience Corporation+ 2,700 3,858
Embrex, Inc.+ 400 5,496
Fisher Communications, Inc.+ 100 5,100
Flowers Foods, Inc. 2,175 56,115
Fresh Brands, Inc. 900 9,900
Fresh Del Monte Produce Inc. 4,500 107,235
Gehl Company+ 1,100 15,620
Glacier Water Services, Inc.+ 200 3,960
Golden Enterprises, Inc. 600 1,751
Green Mountain Coffee, Inc.+ 300 6,906
Griffin Land & Nurseries, Inc.+ 1,000 14,211
Group 1 Software, Inc.+ 700 12,334
Hain Celestial Group, Inc.+ 2,100 48,741
Harris & Harris Group, Inc.+ 400 4,612
Hines Horticulture, Inc.+ 4,100 18,040
Horizon Organic Holding Corporation+ 1,700 40,715
Hormel Foods Corporation 5,900 152,279
Imperial Sugar Company+ 12 170
Ingles Markets, Incorporated (Class A) 1,800 18,486
International Multifoods+ 900 16,200
Interstate Bakeries Corporation 1,900 27,037
J & J Snack Foods Corp.+ 400 15,104
The J.M. Smucker Company 2,900 131,341
John B. Sanfilippo & Son, Inc.+ 100 5,104
Kraft Foods Inc. (Class A) 16,600 534,852
Lance, Inc. 1,400 21,042
Lindsay Manufacturing Co. 600 15,150
MGP Ingredients, Inc. 200 3,150
Marsh Supermarkets, Inc. (Class B) 700 7,560
Maui Land & Pineapple Company, Inc.+ 400 13,832
Monterey Pasta Company+ 700 2,611
Nash-Finch Company 1,700 37,978
Neogen Corporation+ 700 17,339
Osteotech, Inc.+ 3,300 29,040
The Pantry, Inc.+ 900 20,430
Peets Coffee & Tea Inc.+ 600 10,446
PepsiAmericas, Inc. 6,927 118,590
Performance Food Group Company+ 3,400 122,978
Pilgrim's Pride Corporation 200 3,266
Provena Foods Inc.+ 1,200 1,536
Ralcorp Holdings, Inc.+ 1,432 44,908
Rica Foods, Inc.+ 100 115
Rocky Mountain Chocolate Factory, Inc. 400 5,020
Sanderson Farms, Inc. 1,700 68,510
The Scotts Company (Class A)+ 1,700 100,572
Seneca Foods Corporation (Class A)+ 200 4,300
Sensient Technologies Corporation 4,200 83,034
Smart & Final Inc.+ 800 8,064
Smithfield Foods, Inc.+ 5,000 103,500
Spartan Stores, Inc.+ 800 4,000
Spectrum Organic Products, Inc.+ 2,200 1,738
Standard Commercial Corporation 700 14,049
Tasty Baking Company 400 4,044
Tejon Ranch Co.+ 100 4,101
Terra Industries, Inc.+ 7,000 23,170
Tootsie Roll Industries, Inc. 2,427 87,372
Tyson Foods, Inc. (Class A) 21,258 281,456
Uni-Marts, Inc.+ 900 1,404
United Natural Foods, Inc.+ 2,100 75,411
Virbac Corporation+ 1,100 5,500
VistaCare, Inc. (Class A)+ 1,700 59,755
Wild Oats Markets, Inc.+ 4,400 56,892
Willamette Valley Vineyards, Inc.+ 800 1,696
Zanett, Inc.+ 500 1,250
Zapata Corporation+ 100 5,799
-----------------
3,606,811
26
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Gold--0.1% Glamis Gold Ltd.+ 7,900 $ 135,248
Gold Reserve Inc.+ 2,200 10,714
Hanover Gold Company, Inc.+ 13,100 2,227
MK Gold Company+ 2,000 3,040
Meridian Gold Inc.+ 3,900 56,979
Royal Gold, Inc. 2,500 52,325
U.S. Gold Corporation+ 12,700 10,414
-----------------
270,947
Insurance--3.4% 21st Century Insurance Group 4,300 59,125
Alfa Corporation 3,400 43,724
Alleghany Corporation+ 414 92,115
Allmerica Financial Corporation+ 4,000 123,080
American Financial Group, Inc. 5,300 140,238
American Medical Security Group, Inc.+ 600 13,452
American National Insurance Company 1,300 109,681
AmerUs Group Co. 3,000 104,910
Arch Capital Group Ltd.+ 2,500 99,650
Argonaut Group, Inc.+ 1,000 15,540
Arthur J. Gallagher & Co. 3,600 116,964
Atlantic American Corporation+ 700 2,100
Baldwin & Lyons, Inc. (Class B) 850 23,851
Berkley (W.R.) Corporation 4,200 146,790
Brown & Brown 3,100 101,091
CNA Financial Corporation+ 10,694 257,725
CNA Surety Corporation+ 800 7,608
Clark, Inc.+ 2,000 38,480
The Commerce Group, Inc. 1,500 59,250
Conseco, Inc.+ 20,000 436,000
Crawford & Company (Class B) 2,400 16,944
Delphi Financial Group, Inc. (Class A) 1,500 54,000
Donegal Group Inc. (Class B) 1,566 30,145
EMC Insurance Group, Inc. 500 10,570
Erie Indemnity Company (Class A) 2,800 118,664
FBL Financial Group, Inc. (Class A) 400 10,320
FMS Financial Corporation 300 5,400
FPIC Insurance Group, Inc.+ 1,900 47,671
Fidelity National Financial, Inc. 8,372 324,666
The First American Financial Corporation 5,500 163,735
First United Corporation 200 4,874
Fremont General Corporation 4,100 69,331
Great American Financial Resources, Inc. 2,310 37,468
HCC Insurance Holdings, Inc. 2,500 79,500
Harleysville Group Inc. 1,200 23,868
Hilb, Rogal and Hamilton Company 1,500 48,105
Horace Mann Educators Corporation 2,100 29,337
Independence Holding Company 400 9,500
Infinity Property & Casualty Corporation 600 19,830
Kansas City Life Insurance Company 400 18,996
LandAmerica Financial Group, Inc. 1,200 62,712
The Liberty Corporation 700 31,633
The MONY Group Inc.+ 3,600 112,644
Markel Corporation+ 500 126,755
Meadowbrook Insurance Group, Inc.+ 400 1,692
Merchants Group, Inc. 100 2,382
Mercury General Corporation 2,200 102,410
NYMAGIC, Inc. 900 24,678
National Medical Health Card Systems, Inc.+ 1,000 17,700
Nationwide Financial Services, Inc. (Class A) 2,100 69,426
The Navigators Group, Inc.+ 1,600 49,392
Odyssey Re Holdings Corp. 3,300 74,415
Ohio Casualty Corporation+ 5,600 97,216
Old Republic International Corporation 8,250 209,220
PICO Holdings, Inc.+ 700 10,969
PMA Capital Corporation (Class A) 4,300 22,016
The PMI Group, Inc. 4,900 182,427
Penn Treaty American Corporation+ 1,000 1,840
Penn-America Group, Inc. 750 9,953
Philadelphia Consolidated Holding Corp.+ 1,900 92,777
The Phoenix Companies, Inc. 6,900 83,076
Presidential Life Corporation 3,000 39,480
ProAssurance Corporation+ 2,600 83,590
Protective Life Corporation 3,400 115,056
RLI Corp. 600 22,476
RTW, Inc.+ 200 1,288
Radian Group Inc. 4,344 211,770
Reinsurance Group of America, Incorporated 2,000 77,300
SCPIE Holdings Inc. 400 3,528
Selective Insurance Group, Inc. 2,700 87,372
27
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Insurance StanCorp Financial Group, Inc. 1,200 $ 75,456
(concluded) State Auto Financial Corporation 900 21,051
Sterling Financial Corporation+ 600 16,650
Stewart Information Services Corporation 700 28,385
Transatlantic Holdings, Inc. 2,400 193,920
Triad Guaranty Inc.+ 1,300 65,455
UICI+ 3,900 51,792
U.S.I. Holdings Corporation+ 200 2,610
Unico American Corporation+ 300 1,674
United Fire & Casualty Company 100 4,036
Unitrin, Inc. 3,000 124,230
Universal American Financial Corp.+ 2,100 20,811
Vesta Insurance Group, Inc. 1,900 7,315
Zenith National Insurance Corp. 1,700 55,335
-----------------
5,810,211
International Oil--0.2% ATP Oil & Gas Corporation+ 3,900 24,492
GlobalSantaFe Corporation 14,389 357,279
-----------------
381,771
Liquor--0.2% The Boston Beer Company, Inc. (Class A)+ 500 9,070
Central European Distribution Corporation+ 1,450 45,820
The Chalone Wine Group, Ltd.+ 1,900 16,720
Constellation Brands, Inc. (Class A)+ 4,600 151,478
Frederick Brewing Co.+ 5,400 108
Genesee Corporation (Class B)+ 1,000 3,610
National Beverage Corp.+ 1,100 17,930
Pyramid Breweries Inc. 100 344
The Robert Mondavi Corporation (Class A)+ 1,600 62,144
-----------------
307,224
Media--4.6% A.H. Belo Corporation (Class A) 7,500 212,550
AMC Entertainment Inc.+ 1,800 27,378
Acme Communications, Inc.+ 200 1,758
Adolor Corporation+ 3,000 60,060
Advanced Marketing Services, Inc. 900 10,260
American Tower Corporation (Class A)+ 9,800 106,036
America's Car-Mart, Inc.+ 1,200 32,304
Banta Corporation 1,400 56,700
Beasley Broadcast Group, Inc. (Class A)+ 400 6,572
Blockbuster Inc. (Class A) 2,400 43,080
CNET Networks, Inc.+ 8,200 55,924
CTN Media Group, Inc.+ 50 0
Cablevision Systems Corporation (Class A)+ 11,200 261,968
Cadmus Communications Corporation 600 7,800
Charter Communications, Inc. (Class A)+ 18,600 74,772
Consolidated Graphics, Inc.+ 500 15,790
Cox Communications, Inc. (Class A)+ 33,700 1,160,965
Crown Media Holdings, Inc. (Class A)+ 3,700 30,599
Cumulus Media Inc. (Class A)+ 4,600 101,200
Daily Journal Corporation+ 100 3,100
The E.W. Scripps Company (Class A) 4,800 451,872
EchoStar Communications Corporation (Series A)+ 13,700 465,800
Emmis Communications Corporation (Class A)+ 4,400 119,020
Entercom Communications Corp.+ 2,000 105,920
Entravision Communications Corporation (Class A)+ 3,000 33,300
Fox Entertainment Group, Inc. (Class A)+ 18,200 530,530
Gaylord Entertainment Company+ 1,920 57,312
Gray Television, Inc. 200 3,024
Gray Television, Inc. (Class A) 300 4,551
Harte-Hanks, Inc. 3,600 78,300
Hollinger International Inc. 4,000 62,480
Information Holdings Inc.+ 1,400 30,940
Insight Communications Company, Inc.+ 5,400 55,674
InterActiveCorp+ 35,460 1,203,158
Intraware, Inc.+ 200 402
John Wiley & Sons, Inc. (Class A) 2,500 65,075
Journal Register Co.+ 1,200 24,840
Lee Enterprises, Incorporated 2,600 113,490
Lifeline Systems, Inc.+ 400 7,600
Lin TV Corp. (Class A)+ 1,300 33,553
Lynch Interactive Corporation+ 100 2,385
Martha Stewart Living Omnimedia, Inc. (Class A)+ 2,900 28,565
The McClatchy Company (Class A) 2,900 199,520
Media General, Inc. (Class A) 1,000 65,100
Mediacom Communications Corporation+ 3,900 33,813
Metro-Goldwyn-Mayer Inc.+ 9,854 168,405
Metromedia International Group, Inc.+ 11,700 1,755
28
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Media Network Equipment Technologies, Inc.+ 100 $ 1,100
(concluded) PRIMEDIA Inc.+ 8,334 23,585
PanAmSat Corporation+ 10,100 217,756
Penton Media, Inc.+ 1,700 2,210
Playboy Enterprises, Inc.+ 800 12,928
Pulitzer Inc. 1,000 54,000
Radio One, Inc. (Class A)+ 4,100 80,155
Radio Unica Corp.+ 500 315
Raindance Communications, Inc.+ 2,000 5,500
The Reader's Digest Association, Inc. 5,200 76,232
Regal Entertainment Group (Class A) 3,500 71,820
Regent Communications, Inc.+ 1,900 12,065
Saga Communications, Inc. (Class A)+ 425 7,875
Salem Communications Corporation (Class A)+ 900 24,408
Scholastic Corporation+ 3,275 111,481
Sinclair Broadcast Group, Inc. (Class A)+ 5,000 74,600
The Source Information Management Company+ 100 1,062
Spanish Broadcasting System, Inc. (Class A)+ 4,100 43,050
Thomas Nelson, Inc. 200 3,866
TiVo Inc.+ 4,400 32,560
USTMAN Technologies, Inc.+ 22,800 684
United Capital Corp. 2,000 41,440
UniverCell Holdings, Inc.+ 9,900 337
Valassis Communications, Inc.+ 2,400 70,440
ValueVision International, Inc. (Class A)+ 2,100 35,070
The Washington Post Company (Class B) 463 366,418
Westwood One, Inc.+ 6,200 212,102
XM Satellite Radio Holdings Inc. (Class A)+ 7,600 200,336
Young Broadcasting Inc. (Class A)+ 1,200 24,048
-----------------
8,022,643
Miscellaneous--0.0% ATG Inc.+ 1,100 0
Coinstar, Inc.+ 2,800 50,568
-----------------
50,568
Miscellaneous Finance--8.8% 1st Source Corporation 1,000 21,510
A.G. Edwards, Inc. 5,100 184,773
AMCORE Financial, Inc. 2,200 59,444
ASB Financial Corp. 300 7,305
Accredited Home Lenders Holding Company+ 2,100 64,260
Advanta Corp. 1,700 22,083
Affiliated Managers Group, Inc.+ 1,000 69,590
Agree Realty Corporation 900 25,452
Alliance Capital Management Holding LP 4,200 141,750
Allied Capital Corporation 7,065 196,972
AmerAlia, Inc.+ 900 315
American Capital Strategies, Ltd. 4,400 130,812
American Financial Realty Trust 700 11,935
American Home Mortgage Investment Corp. 3,144 70,771
American Insured Mortgage Investors LP, Series 86 700 875
American Insured Mortgage Investors LP, Series 88 400 552
AmeriCredit Corp.+ 6,500 103,545
Ameritrade Holding Corporation+ 22,100 310,947
Ampal-American Israel Corporation (Class A)+ 100 326
Anchor Bancorp Wisconsin, Inc. 1,600 39,840
Astoria Financial Corporation 3,800 141,360
Atlantic Realty Trust 300 4,416
Atlantis Plastics, Inc.+ 400 4,840
BNP Residential Properties, Inc. 300 3,483
BOK Financial Corporation+ 2,234 86,500
BP Prudhoe Bay Royalty Trust 2,800 79,772
BankUnited Financial Corporation (Class A)+ 2,600 67,054
Banner Corporation 500 12,575
Bay View Capital Corporation+ 3,800 8,132
Berkshire Hathaway Inc. (Class A)+ 62 5,223,500
Berkshire Hathaway Inc. (Class B)+ 66 185,790
Bingham Financial Services Corporation+ 700 0
BlackRock, Inc. 1,000 53,110
Boca Resorts, Inc. (Class A)+ 800 11,968
CIT Group Inc. 12,200 438,590
CVB Financial Corp. 1,650 31,828
Capital Corp of the West+ 100 3,964
Cascade Financial Corporation 413 7,961
Cash America International, Inc. 3,000 63,540
Cathay General Bancorp, Inc. 1,511 84,132
Cedar Shopping Centers Inc.+ 200 2,484
Central Pacific Financial Corp. 600 18,024
Ceres Group, Inc.+ 1,700 9,928
Charter Financial Corporation 300 11,181
29
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Miscellaneous Finance Charter Municipal Mortgage Acceptance Company 2,000 $ 42,260
(continued) Chicago Mercantile Exchange 2,100 151,956
Citizens, Inc.+ 1,039 9,797
Coastal Bancorp, Inc. 300 12,333
Coastal Financial Corporation 473 8,344
Commercial Capital Bancorp, Inc.+ 3,250 69,582
Commercial Federal Corporation 2,300 61,433
CompuCredit Corporation+ 1,900 40,432
Corrections Corporation of America+ 900 25,947
Cotton States Life Insurance Company 200 3,944
Cross Timbers Royalty Trust 1,856 52,933
DVI, Inc.+ 3,700 148
Danielson Holding Corporation+ 700 2,037
Dime Community Bancshares 2,800 86,128
Downey Financial Corp. 1,100 54,230
E* TRADE Group, Inc.+ 16,800 212,520
ESB Financial Corporation 529 8,670
Eastern Virginia Bankshares, Inc. 200 5,604
Eaton Vance Corp. 2,800 102,592
Encore Capital Group, Inc.+ 1,600 23,760
ePlus Inc.+ 100 1,233
eSPEED, Inc. (Class A)+ 1,700 39,797
The FINOVA Group Inc.+ 900 558
Fidelity Bankshares, Inc 700 21,980
Financial Federal Corporation+ 300 9,165
Financial Industries Corporation+ 400 5,640
First Albany Companies Inc. 2,400 33,696
First Community Bancorp 700 25,298
First Defiance Financial Corp. 300 7,995
First Financial Corporation 600 18,006
First Financial Holdings, Inc. 1,500 46,890
First Indiana Corporation 500 9,375
First Place Financial Corp. 615 12,011
First SecurityFed Financial, Inc. 800 24,272
First Sentinel Bancorp Inc. 300 6,318
First Union Real Estate Equity & Mortgage Investments+ 6,357 13,790
FirstFed Financial Corp.+ 600 26,100
Flagstar Bancorp, Inc. 3,900 83,538
FloridaFirst Bancorp, Inc. 300 9,930
Flushing Financial Corporation 750 13,710
Gabelli Asset Management Inc. (Class A) 300 11,940
Giant Industries, Inc.+ 300 3,594
Glacier Bancorp, Inc. 110 3,564
Greater Delaware Valley Savings Bank 710 19,880
GreenPoint Financial Corp. 8,550 301,986
HMN Financial, Inc. 900 21,861
Hoenig Group (Contingent Payment Rights) 1,500 0
Hudson River Bancorp, Inc. 600 23,418
Hugoton Royalty Trust 3,400 74,392
Humphrey Hospitality Trust, Inc. 300 1,383
IBERIABANK Corporation 300 17,700
ITLA Capital Corporation+ 200 10,020
Independence Community Bank Corp. 3,700 133,089
Independence Federal Savings Bank 242 5,639
Independent Bank Corporation (Michigan) 942 26,715
IndyMac Bancorp, Inc. 4,300 128,097
Innsuites Hospitality Trust 800 1,200
Instinet Group Incorporated+ 200 1,030
International Bancshares Corporation 1,951 91,990
Investment Technology Group, Inc.+ 3,000 48,450
Investors Financial Services 4,500 172,845
iPayment Holdings, Inc.+ 1,600 54,400
Jefferies Group, Inc. 3,200 105,664
KNBT Bancorp Inc.+ 2,590 45,532
Klamath First Bancorp, Inc. 1,900 50,426
Knight Trading Group, Inc.+ 7,900 115,656
La Quinta Corporation+ 4,200 26,922
LabOne, Inc.+ 2,100 68,187
LaBranche & Co. Inc. 2,700 31,509
Ladenburg Thalmann Financial Services Inc.+ 1,707 956
Legg Mason, Inc. 4,000 308,720
Leucadia National Corporation 3,893 179,467
Liberty Self-Stor, Inc.+ 6,000 3,900
Lincoln Bancorp 1,000 19,920
Lipid Sciences, Inc.+ 500 1,786
Local Financial Corp.+ 800 16,672
MAF Bancorp, Inc. 2,827 118,451
MB Financial, Inc. 1,050 38,220
MCG Capital Corporation 1,500 29,250
Mail-Well, Inc.+ 1,600 7,376
30
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Miscellaneous Finance Malan Realty Investors, Inc. 200 $ 970
(concluded) Maxus Realty Trust, Inc. 300 3,138
McGrath Rentcorp 600 16,350
Medallion Financial Corp. 4,500 42,705
Meritage Corporation+ 600 39,786
Metris Companies Inc.+ 4,900 21,756
MicroFinancial Incorporated+ 500 1,450
Mid Penn Bancorp, Inc. 105 2,520
The Midland Company 200 4,724
Monmouth Capital Corporation 400 2,604
Monmouth Real Estate Investment Corporation (Class A) 2,200 19,118
NASB Financial Inc. 400 16,524
NCO Portfolio Management, Inc.+ 178 1,474
Nastech Pharmaceutical Company+ 500 4,800
National Financial Partners Corporation 3,100 85,405
The National Security Group, Inc. 120 2,311
National Western Life Insurance Company (Class A)+ 200 30,970
New Century Financial Corporation 2,800 111,076
New York Community Bancorp, Inc. 11,448 435,596
North American Scientific, Inc.+ 400 4,200
Northwest Bancorp, Inc. 1,000 21,360
Nuveen Investments (Class A) 4,700 125,302
Ocwen Financial Corporation+ 900 7,974
One Liberty Properties, Inc. 200 3,990
PAB Bankshares, Inc. 500 7,770
PMC Capital, Inc. 2,500 13,925
PMC Commercial Trust 1,200 18,276
PVF Capital Corp. 266 4,229
Pacific Capital Bancorp 2,333 85,901
The Peoples Holding Company 450 14,850
PetroCorp Incorporated+ 600 8,076
Portfolio Recovery Associates, Inc.+ 1,300 34,515
Prime Group Realty Trust+ 1,300 8,151
R & G Financial Corporation (Class B) 1,200 47,760
Raymond James Financial, Inc. 2,200 82,940
Resource America, Inc. (Class A) 600 9,000
Roberts Realty Investors, Inc. 300 2,070
SEI Investments Company 6,700 204,149
SWS Group, Inc. 1,210 21,538
Santander BanCorp 1,730 42,126
Saxon Capital, Inc.+ 1,400 29,330
Seacoast Financial Services Corporation 1,836 50,325
Security Bank Corporation 200 6,300
Siebert Financial Corp.+ 3,300 11,946
SoundView Technology Group, Inc.+ 880 13,631
Sovereign Bancorp, Inc. 14,297 339,554
Sports Resorts International, Inc.+ 2,500 11,500
Staten Island Bancorp, Inc. 4,900 110,250
The Student Loan Corporation 800 116,800
Symons International Group, Inc.+ 1,700 34
TF Financial Corporation 100 3,374
Tarragon Realty Investors Inc.+ 363 5,993
Thistle Group Holdings, Co. 1,300 33,722
Transnational Financial Network+ 1,500 1,350
United Community Banks, Inc. 400 13,160
United PanAm Financial Corp.+ 2,500 41,775
UnitedGlobalCom Inc. (Class A)+ 6,400 54,272
Value Line, Inc. 100 4,990
W Holding Company, Inc. 7,420 138,086
WFS Financial Inc.+ 1,460 61,992
W.P. Carey & Co. LLC 1,000 30,520
WVS Financial Corp. 200 3,540
Waddell & Reed Financial, Inc. (Class A) 3,100 72,726
Washington Federal, Inc. 5,084 144,386
Wayne Savings Bancshares, Inc. 151 2,718
Waypoint Financial Corp. 1,680 36,439
Webster Financial Corporation 3,300 151,338
Wellsford Real Properties Inc.+ 900 16,740
Wesco Financial Corporation 302 106,304
White Mountains Insurance Group Inc. 412 189,499
Willis Lease Finance Corporation+ 200 1,470
Willow Grove Bankcorp, Inc. 2,800 49,728
World Acceptance Corporation+ 2,400 47,784
Wyndham International, Inc.+ 700 469
The Ziegler Companies, Inc. 100 1,425
-----------------
15,237,797
Motor Vehicles--1.1% A.O. Smith Corporation 1,400 49,070
A.S.V., Inc.+ 500 18,680
31
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Motor Vehicles Aftermarket Technology Corp.+ 1,200 $ $16,464
(concluded) American Axle & Manufacturing Holdings, Inc.+ 3,600 145,512
Arctic Cat Inc. 1,700 41,990
ArvinMeritor, Inc. 3,200 77,184
BorgWarner, Inc. 1,400 119,098
CSK Auto Corporation+ 1,100 20,647
Coachmen Industries, Inc. 600 10,866
Collins & Aikman Corporation+ 11,400 49,362
Donaldson Company, Inc. 1,700 100,572
Dura Automotive Systems, Inc.+ 800 10,216
Federal-Mogul Corporation+ 3,300 743
Fleetwood Enterprises, Inc.+ 2,200 22,572
Gentex Corporation 5,000 220,800
Group 1 Automotive, Inc.+ 1,000 36,190
Hastings Manufacturing Company+ 100 350
IMPCO Technologies, Inc.+ 1,300 11,336
Keystone Automotive Industries, Inc.+ 600 15,216
The Lamson & Sessions Co.+ 200 1,154
Lear Corporation 3,000 183,990
Lithia Motors, Inc. (Class A) 700 17,647
MarineMax, Inc.+ 600 11,658
Midas Group, Inc.+ 700 10,010
Modine Manufacturing Co. 1,500 40,470
Monaco Coach Corporation+ 1,600 38,080
Monro Muffler Brake, Inc.+ 1,950 39,020
Myers Industries, Inc. 1,437 17,416
Oshkosh Truck Corporation 1,400 71,442
Owosso Corporation+ 1,700 170
Polaris Industries, Inc. 1,500 132,870
Sonic Automotive, Inc. 1,200 27,504
Spartan Motors, Inc. 4,000 40,400
Standard Motor Products, Inc. 2,800 34,020
Starcraft Corporation+ 900 28,458
Stoneridge, Inc.+ 900 13,545
Superior Industries International, Inc. 900 39,168
SureBeam Corporation (Class A)+ 3,595 863
Thor Industries, Inc. 1,400 78,708
Titan International, Inc. 3,500 10,710
Tower Automotive, Inc.+ 1,600 10,928
United Auto Group, Inc. 1,300 40,690
United Defense Industries, Inc.+ 1,100 35,068
Winnebago Industries, Inc. 900 61,875
-----------------
1,952,732
Non-Durables--2.0% Acclaim Entertainment Inc.+ 8,400 5,376
Action Performance Companies, Inc. 1,000 19,600
Activision, Inc.+ 4,950 90,090
Applebee's International, Inc. 4,050 159,043
Atlantic Premium Brands, Ltd.+ 600 870
barnesandnoble.com inc.+ 7,100 20,945
Benihana Inc. (Class A)+ 430 5,525
Bob Evans Farms, Inc. 1,500 48,690
Bowl America Incorporated (Class A) 210 2,929
Boyd Gaming Corporation 4,000 64,560
The Boyds Collection, Ltd.+ 2,300 9,775
Brinker International, Inc.+ 4,200 139,272
Buca, Inc.+ 2,600 17,706
CBRL Group, Inc. 3,500 133,910
CEC Entertainment Inc.+ 1,100 52,129
CKE Restaurants, Inc.+ 2,300 14,697
California Pizza Kitchen, Inc.+ 2,000 40,260
Centillium Communications, Inc.+ 1,900 10,697
Championship Auto Racing Teams, Inc.+ 1,700 161
Champps Entertainment, Inc.+ 2,800 20,888
Checkers Drive-In Restaurants, Inc.+ 2,700 28,107
The Cheesecake Factory Incorporated+ 1,900 83,657
Chicago Pizza & Brewery, Inc.+ 1,000 14,920
Churchill Downs Incorporated 200 7,240
Daisytek International Corporation+ 1,600 26
Denny's Corp.+ 2,700 1,080
Department 56, Inc.+ 500 6,550
Dover Motorsports, Inc. 2,000 7,000
Drew Industries Incorporated+ 400 11,120
Electronics Boutique Holdings Corp.+ 2,000 45,780
Equity Marketing, Inc.+ 1,200 16,920
Factory 2-U Stores Inc.+ 1,100 1,508
FinishMaster, Inc.+ 300 2,850
Fossil, Inc.+ 2,250 63,022
Guilford Mills, Inc.+ 26 319
32
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Non-Durables Handleman Company 1,200 $ 24,636
(concluded) Hanover Direct, Inc.+ 4,100 820
Hibbett Sporting Goods, Inc.+ 1,875 55,875
Hollywood Media Corp.+ 4,300 11,438
Huffy Corporation+ 100 525
IHOP Corp. 400 15,392
International Speedway Corp. (Class A) 3,700 165,242
Isle of Capri Casinos, Inc.+ 3,000 64,410
JAKKS Pacific, Inc.+ 2,813 37,019
Jack in the Box Inc.+ 1,800 38,448
Kreisler Manufacturing Corporation+ 300 1,500
Krispy Kreme Doughnuts, Inc.+ 2,400 87,840
Lancaster Colony Corporation 1,800 81,288
Landry's Restaurants, Inc. 1,500 38,580
Lazare Kaplan International Inc.+ 300 2,085
Leapfrog Enterprises, Inc.+ 2,200 58,366
LodgeNet Entertainment Corporation+ 500 9,140
Lone Star Steakhouse & Saloon, Inc. 1,600 37,088
Luby's Cafeterias Inc.+ 1,100 4,059
Marvel Enterprises, Inc.+ 3,400 98,974
Michael Anthony Jewelers, Inc.+ 1,100 2,343
Midway Games Inc.+ 2,700 10,476
Morgan's Foods, Inc.+ 1,600 2,496
Movado Group, Inc. 100 2,823
O'Charley's Inc.+ 3,100 55,645
The Ohio Art Company 300 3,615
Oneida Ltd. 800 4,712
Outback Steakhouse, Inc. 3,300 145,893
PECO II, Inc.+ 900 1,008
P.F. Chang's China Bistro, Inc.+ 1,200 61,056
Panera Bread Company (Class A)+ 2,400 94,872
Papa John's International, Inc.+ 2,400 80,112
Penn National Gaming, Inc.+ 3,000 69,240
RARE Hospitality International, Inc.+ 3,400 83,096
RC2 Corporation+ 800 16,600
Red Robin Gourmet Burgers+ 400 12,176
Reeds Jewelers, Inc.+ 900 1,629
Regis Corporation 2,900 114,608
Riviana Foods Inc. 600 16,434
Ruby Tuesday, Inc. 2,900 82,621
Russ Berrie and Company, Inc. 1,000 33,900
Ryan's Family Steak Houses, Inc.+ 2,600 39,364
SCP Pool Corporation+ 3,000 98,040
Service Corporation International+ 15,200 81,928
Servotronics, Inc.+ 400 1,160
Sonic Corp.+ 3,350 102,577
Sotheby's Holdings, Inc. (Class A)+ 1,600 21,856
The Steak 'n Shake Company+ 800 14,280
Steinway Musical Instruments, Inc.+ 300 7,410
Stewart Enterprises, Inc. (Class A)+ 3,900 22,152
TAM Restaurants, Inc.+ 6,800 7
Take-Two Interactive Software, Inc.+ 2,700 77,787
Thomaston Mills, Inc. (Class A)+ 1,300 0
The Topps Company, Inc. 2,000 20,520
Trans World Entertainment Corporation+ 1,900 13,528
World Wrestling Federation Entertainment, Inc. 100 1,310
-----------------
3,377,221
Non-Ferrous Metals--0.3% A.M. Castle & Company+ 800 5,840
Brush Engineered Materials Inc.+ 800 12,248
Century Aluminum Company+ 1,000 19,010
Coeur d'Alene Mines Corporation+ 18,200 105,196
Commercial Metals Company 1,400 42,560
Commonwealth Industries, Inc. 700 7,028
Hecla Mining Company+ 4,100 33,989
IMCO Recycling Inc.+ 800 7,912
Kaiser Aluminum Corporation+ 10,800 918
Minerals Technologies, Inc. 1,400 82,950
Morton Industrial Group, Inc.+ 600 306
Mueller Industries, Inc.+ 2,600 89,336
Oglebay Norton Company+ 200 842
Reliance Steel & Aluminum Co. 800 26,568
Southern Peru Limited 700 33,012
Stillwater Mining Company+ 784 7,503
Titanium Metals Corporation+ 630 33,081
Wolverine Tube, Inc.+ 900 5,670
-----------------
513,969
Optical Photo & Equipment--0.3% August Technology Corp.+ 700 12,985
33
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Optical Photo & Equipment BMC Industries, Inc.+ 1,100 $ 55
(concluded) CPI Corp. 400 8,084
CyberOptics Corporation+ 100 1,080
Drexler Technology Corporation+ 1,800 24,606
Imation Corp. 2,100 73,815
Ingram Micro Inc. (Class A)+ 10,100 160,590
Lexar Media, Inc.+ 5,000 87,150
Meade Instruments Corp.+ 200 690
Panavision Inc.+ 300 1,545
Photronics, Inc.+ 2,400 47,808
StockerYale, Inc.+ 100 97
Zomax Incorporated+ 1,600 7,984
Zygo Corporation+ 700 11,543
-----------------
438,032
Paper & Forest Products--0.5% Badger Paper Mills, Inc.+ 200 970
Bowater Incorporated 3,100 143,561
Buckeye Technologies Inc.+ 200 2,010
CSS Industries, Inc. 600 18,606
Caraustar Industries, Inc.+ 1,300 17,940
Chesapeake Corporation 600 15,888
Deltic Timber Corporation 600 18,240
EarthShell Corporation+ 58 104
Kadant Inc.+ 480 10,392
Longview Fibre Company 2,200 27,170
P.H. Glatfelter Company 1,700 21,165
Packaging Corp. of America 4,100 89,626
Pope & Talbot, Inc. 800 14,088
Potlatch Corporation 2,200 76,494
Rayonier Inc. 2,315 96,081
Rock-Tenn Company (Class A) 900 15,534
Smurfit-Stone Container Corporation+ 15,900 295,263
Universal Forest Products, Inc. 1,400 45,052
Wausau - Mosinee Paper Corporation 2,300 31,096
-----------------
939,280
Producer Goods--3.0% AGCO Corporation+ 5,323 107,205
AMETEK, Inc. 2,400 115,824
Aaon, Inc.+ 500 9,705
Actuant Corporation (Class A)+ 2,400 86,880
Advanced Energy Industries, Inc.+ 1,600 41,680
Aeroflex Incorporated+ 2,900 33,901
Alamo Group Inc. 400 6,104
Albany International Corp. (Class A) 1,300 44,070
Applied Industrial Technologies, Inc. 900 21,474
AptarGroup, Inc. 1,800 70,200
Arotech Corporation+ 200 364
Astec Industries, Inc.+ 800 9,816
BE Aerospace, Inc.+ 5,800 31,320
Baldor Electric Company 1,300 29,705
Barnes Group Inc. 2,200 71,082
Blount International, Inc.+ 200 1,574
Blyth, Inc. 2,100 67,662
Briggs & Stratton Corporation 900 60,660
Butler Manufacturing Company 2,100 46,200
CIRCOR International, Inc. 600 14,460
CLARCOR Inc. 1,200 52,920
CUNO Incorporated+ 1,800 81,054
CYRO-CELL International, Inc.+ 1,900 1,463
Capstone Turbine Corporation+ 4,100 7,626
Catalyst Semiconductor, Inc.+ 200 1,410
Chicago Rivet & Machine Co. 100 2,701
Cognex Corporation 2,100 59,304
Columbus McKinnon Corporation+ 800 6,920
Comfort Systems USA, Inc.+ 1,900 10,412
Concord Camera Corp.+ 200 1,850
Culp, Inc.+ 600 6,540
Curtiss-Wright Corporation 1,000 45,010
DiamondCluster International, Inc.+ 2,200 22,440
DuraSwitch Industries, Inc.+ 400 648
Duratek, Inc.+ 700 9,128
The Eastern Company 200 3,128
FMC Corporation+ 1,200 40,956
The Fairchild Corporation (Class A)+ 1,000 5,040
Fastenal Company 4,900 244,706
Fedders Corporation 4,220 30,385
Federal Signal Corporation 5,000 87,600
Fisher Scientific International Inc.+ 3,700 153,069
Flowserve Corporation+ 2,400 50,112
34
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Producer Goods Foster Wheeler Ltd.+ 4,800 $ 4,848
(continued) Franklin Electric Co., Inc. 200 12,098
Gardner Denver Inc.+ 600 14,322
The Gorman-Rupp Company 100 2,640
Graco Inc. 3,125 125,313
GrafTech International Ltd.+ 5,400 72,900
HON INDUSTRIES Inc. 2,600 112,632
HPSC, Inc.+ 300 4,335
Hardinge, Inc. 200 2,316
Harsco Corporation 1,900 83,258
Helix Technology Corporation 1,400 28,812
Herman Miller, Inc. 3,500 84,945
Hexcel Corporation+ 1,700 12,597
Hi-Shear Technology Corporation+ 700 2,135
Hubbell Incorporated (Class B) 2,300 101,430
Hughes Supply, Inc. 1,100 54,582
IDEX Corporation 2,100 87,339
Ibis Technology Corporation+ 100 1,125
Ionics, Inc.+ 1,000 31,850
JLG Industries, Inc. 900 13,707
Jacuzzi Brands, Inc.+ 6,100 43,249
Jarden Corp.+ 1,050 28,707
Juno Lighting, Inc.+ 100 2,212
Kaydon Corp. 2,600 67,184
Kennametal Inc. 1,600 63,600
Kos Pharmaceuticals, Inc.+ 800 34,432
L.B. Foster Company (Class A)+ 600 3,900
Ladish Co., Inc.+ 700 5,678
Lawson Products, Inc. 500 16,590
Lennox International Inc. 1,800 30,060
Libbey, Inc. 582 16,575
Lincoln Electric Holdings, Inc. 1,700 42,058
Lone Star Technology+ 1,400 22,372
MSC Industrial Direct Co., Inc. (Class A) 1,900 52,250
Magnetek, Inc.+ 5,000 32,950
The Manitowoc Co., Inc. 1,300 40,560
Material Sciences Corporation+ 200 2,022
Matthews International Corporation (Class A) 1,200 35,508
Maverick Tube Corporation+ 2,000 38,500
Merix Corporation+ 1,200 29,436
Micrel, Inc.+ 3,600 56,088
The Middleby Corporation 2,100 84,987
Milacron Inc. 1,300 5,421
Minuteman International, Inc. 200 1,880
Modtech Holdings, Inc.+ 100 841
Moog Inc. (Class A)+ 700 34,580
NACCO Industries, Inc. (Class A) 300 26,844
NATCO Group Inc.+ 800 6,072
NN, Inc. 2,900 36,511
Nordson Corporation 1,300 44,889
Oceaneering International, Inc.+ 1,400 39,200
Paul Mueller Company 100 3,971
Pentair, Inc. 2,300 105,110
Plug Power Inc.+ 2,365 17,146
Polymer Group, Inc. (Class B)+ 3 22
Possis Medical, Inc.+ 700 13,825
Precision Castparts Corp. 2,525 114,660
Presstek, Inc.+ 1,700 12,359
ROHN Industries, Inc.+ 1,600 5
Raytech Corporation+ 2,100 6,972
Regal-Beloit Corporation 1,200 26,400
Research Frontiers Incorporated+ 500 4,645
Robbins & Myers, Inc. 700 13,293
Ronson Corporation+ 882 2,002
Roper Industries, Inc. 1,500 73,890
SPX Corporation+ 3,428 201,601
Safeguard Scientifics, Inc.+ 1,700 6,868
Sauer-Danfoss, Inc. 700 11,340
Schuff Steel Company+ 500 930
Selas Corporation of America+ 500 1,830
Sequa Corporation (Class A)+ 500 24,500
The Shaw Group Inc.+ 1,500 20,430
Sonic Solutions+ 800 12,240
Spectrum Control, Inc.+ 200 1,592
Standex International Corporation 600 16,800
Steelcase Inc. (Class A) 1,400 20,104
Stewart & Stevenson Services, Inc. 1,900 26,695
Sun Hydraulics Corporation 300 2,157
SystemOne Technologies Inc.+ 600 120
35
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Producer Goods TRM Corporation+ 500 $ 4,220
(concluded) Tecumseh Products Company (Class A) 1,900 92,017
Teleflex Incorporated 1,800 86,994
Tennant Company 500 21,650
Tenneco Automotive Inc.+ 200 1,338
Terex Corporation+ 1,244 35,429
The Timken Company 5,500 110,330
Trinity Industries, Inc. 3,600 111,024
Triumph Group, Inc.+ 800 29,120
Twin Disc, Incorporated 100 1,903
Valhi, Inc. 6,340 94,846
Valmont Industries, Inc. 300 6,945
WMS Industries Inc.+ 800 20,960
Watsco, Inc. 300 6,819
Watts Water Technologies (Class A) 1,300 28,860
Woodhead Industries, Inc. 500 8,450
Woodward Governor Company 500 28,415
X-Rite, Incorporated 900 10,188
York International Corporation 3,000 110,400
-----------------
5,144,063
Railroads & Shipping--0.3% Alexander & Baldwin, Inc. 1,800 60,642
Diamondhead Casino Corporation+ 4,600 3,772
Florida East Coast Industries, Inc. 1,800 59,580
GATX Corporation 3,900 109,122
General Maritime Corporation+ 1,400 24,640
Genesee & Wyoming Inc. (Class A)+ 600 18,900
The Greenbrier Companies, Inc.+ 700 11,725
International Shipholding Corporation+ 300 4,425
Kansas City Southern Industries, Inc.+ 2,800 40,096
OMI Corporation (New Shares)+ 5,300 47,329
Overseas Shipholding Group, Inc. 1,500 51,075
RailAmerica, Inc.+ 1,300 15,340
SCS Transportation, Inc.+ 700 12,306
Wabtec Corporation 700 11,928
-----------------
470,880
Real Property--5.9% AMB Property Corporation 5,500 180,840
Acadia Realty Trust 1,300 16,250
Alexandria Real Estate Equities, Inc. 700 40,530
American Land Lease, Inc. 200 3,990
American Real Estate Partners, LP+ 600 10,200
American Realty Investors, Inc.+ 500 4,565
Amli Residential Properties Trust 2,400 64,320
Annaly Mortgage Management Inc. 4,800 88,320
Anthracite Capital, Inc. 800 8,856
Anworth Mortgage Asset Corporation 1,300 18,109
Archstone-Smith Trust 10,775 301,485
Arden Realty, Inc. 4,700 142,598
Associated Estates Realty Corporation 800 5,848
Avalonbay Communities, Inc. 4,600 219,880
Avatar Holdings Inc.+ 400 14,776
BRE Properties, Inc. (Class A) 3,800 126,920
BRT Realty Trust 300 8,655
Bedford Property Investors, Inc. 800 22,904
Boston Properties, Inc. 4,900 236,131
Brandywine Realty Trust 1,700 45,509
CBL & Associates Properties, Inc. 2,200 124,300
California Coastal Communities, Inc.+ 400 4,360
Camden Property Trust 2,600 115,180
Capital Automotive 2,800 89,600
Capital Title Group, Inc. 5,800 24,940
Capstead Mortgage Corporation 2,600 43,628
CarrAmerica Realty Corporation 3,100 92,318
Catellus Development Corporation 5,578 134,541
CenterPoint Properties Corporation 1,200 89,880
Chelsea Property Group, Inc. 2,100 115,101
Colonial Properties Trust 1,200 47,520
Commercial Net Lease Realty 1,991 35,440
Cornerstone Realty Income Trust, Inc. 2,400 21,024
Corporate Office Properties Trust 200 4,200
Correctional Properties Trust 1,300 37,440
Cousins Properties, Inc. 2,300 70,380
Crescent Real Estate Equities Company 5,000 85,650
Developers Diversified Realty Corporation 4,383 147,137
Duke Realty Corporation 6,300 195,300
EastGroup Properties, Inc. 1,200 38,856
Entertainment Properties Trust 2,200 76,362
Equity Inns Inc. 1,900 17,195
36
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Real Property Equity One, Inc. 1,655 $ 27,936
(continued) Essex Property Trust, Inc. 1,700 109,174
Federal Realty Investment Trust 2,700 103,653
FelCor Lodging Trust Inc.+ 5,700 63,156
First Industrial Realty Trust, Inc. 3,000 101,250
Forest City Enterprises, Inc. (Class A) 2,100 99,771
Gables Residential Trust 1,200 41,688
General Growth Properties, Inc. 13,200 366,300
Getty Realty Corporation 900 23,535
Glenborough Realty Trust Incorporated 1,100 21,945
Glimcher Realty Trust 3,200 71,616
Great Lakes REIT, Inc. 800 12,560
Grubb & Ellis Company+ 322 280
HRPT Properties Trust 6,600 66,594
Health Care Property Investors, Inc. 3,100 157,480
Health Care REIT, Inc. 3,400 122,400
Healthcare Realty Trust, Inc. 2,600 92,950
Heartland Partners LP (Class A) 100 690
Heritage Property Investment Trust 1,200 34,140
Highwoods Properties, Inc. 4,200 106,680
Home Properties of New York, Inc. 1,300 52,507
HomeStore.com, Inc.+ 4,200 19,866
Hospitality Properties Trust 4,300 177,504
Host Marriot Corporation+ 13,000 160,160
Impac Mortgage Holdings, Inc. 2,400 43,704
Innkeepers USA Trust 1,800 15,066
Investors Real Estate Trust 300 2,970
iStar Financial Inc. 6,500 252,850
Jones Lang Lasalle Inc.+ 1,500 31,095
Keystone Property Trust 100 2,209
Kilroy Realty Corporation 1,100 36,025
Kimco Realty Corporation 6,950 311,013
Koger Equity, Inc. 1,500 31,395
LNR Property Corp. 1,900 94,069
LTC Properties 700 10,318
LaSalle Hotel Properties 100 1,855
Lexington Corporate Properties Trust 1,500 30,285
Liberte Investors, Inc.+ 700 4,942
Liberty Property Trust 5,200 202,280
MFA Mortgage Investments, Inc. 3,300 32,175
Macerich Company 2,700 120,150
Mack-Cali Realty Corporation 2,600 108,212
Maguire Properties, Inc. 700 17,010
Manufactured Home Communities, Inc. 1,100 41,415
Meristar Hospitality Corp.+ 2,100 13,671
Mid-America Apartment Communities, Inc. 700 23,506
Mills Corp. 2,200 96,800
National Health Investors, Inc. 3,200 79,616
National Health Realty, Inc. 500 9,850
Nationwide Health Properties, Inc. 2,300 44,965
New Plan Excel Realty Trust 5,000 123,350
Newhall Land & Farming Company 2,000 80,760
Novastar Financial, Inc. 2,200 94,512
PS Business Parks, Inc. 500 20,630
Pan Pacific Retail Properties, Inc. 2,809 133,849
Parkway Properties, Inc. 400 16,640
Pennsylvania Real Estate Investment Trust 3,099 112,494
Post Properties, Inc. 1,800 50,256
Prentiss Properties Trust 3,400 112,166
Price Legacy Corporation+ 1,700 6,477
Public Storage, Inc. 6,200 269,018
RAIT Investment Trust 1,300 33,280
Ramco-Gershenson Properties Trust 200 5,660
Reading International, Inc. (Class A)+ 1,000 5,920
Realty Income Corporation 1,800 72,000
Reckson Associates Realty Corporation 4,100 99,630
Redwood Trust, Inc. 1,200 61,020
Regency Centers Corporation 3,900 155,415
The Rouse Company 5,000 235,000
SL Green Realty Corp. 1,000 41,050
Santa Fe Financial Corporation+ 200 2,300
Saul Centers, Inc. 300 8,601
Semele Group, Inc.+ 400 312
Senior Housing Properties Trust 1,700 29,291
Shurgard Storage Centers, Inc. (Class A) 2,800 105,420
Sizeler Property Investors, Inc. 300 3,213
Sovran Self Storage, Inc. 500 18,575
The St. Joe Company 5,300 197,637
Stratus Properties Inc.+ 200 2,004
37
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Real Property Summit Properties Inc. 900 $ 21,618
(concluded) Sun Communities, Inc. 800 30,960
Tanger Factory Outlet Centers, Inc. 400 16,280
Taubman Centers, Inc. 4,400 90,640
Thornburg Mortgage, Inc. 3,000 81,600
Town & Country Trust 500 12,675
Trammell Crow Company+ 500 6,625
Trizec Properties, Inc. 5,600 86,240
U.S. Restauant Properties, Inc. 3,300 56,232
United Dominion Realty Trust, Inc. 4,900 94,080
Universal Health Realty Income Trust 500 15,050
Urstadt Biddle Properties 1,300 17,693
Ventas, Inc. 3,900 85,800
Vornado Realty Trust 6,900 377,775
Washington Real Estate Investment Trust 1,100 32,120
Weingarten Realty Investors 2,650 117,528
-----------------
10,101,715
Retail--4.2% 1-800-FLOWERS.COM, Inc.+ 1,100 12,166
99 Cents Only Stores+ 2,666 72,595
A.C. Moore Arts & Crafts, Inc.+ 900 17,334
AFC Enterprises, Inc.+ 3,400 66,300
Aaron Rents, Inc. 1,050 21,136
Abercrombie & Fitch Co. (Class A)+ 4,200 103,782
Able Energy, Inc.+ 600 1,530
Advance Auto Parts, Inc.+ 1,800 146,520
Alloy, Inc.+ 2,300 11,983
Amazon.com, Inc.+ 21,500 1,131,760
American Eagle Outfitters, Inc.+ 2,750 45,100
AnnTaylor Stores Corporation+ 1,450 56,550
Arden Group, Inc. (Class A) 200 15,500
Asbury Automotive Group Inc.+ 300 5,373
BJ's Wholesale Club, Inc.+ 4,800 110,208
Barnes & Noble, Inc.+ 3,000 98,550
Blue Rhino Corporation+ 2,900 40,281
The Bombay Company, Inc.+ 1,600 13,024
The Bon-Ton Stores, Inc. 2,900 32,190
Borders Group, Inc. 3,100 67,952
Brightpoint, Inc.+ 1,699 29,308
Brookstone, Inc.+ 450 9,589
Burlington Coat Factory Warehouse Corporation 2,200 46,552
CarMax, Inc.+ 4,700 145,371
Casey's General Stores, Inc. 2,400 42,384
Casual Male Retail Group, Inc.+ 1,500 10,410
The Cato Corporation (Class A) 1,300 26,650
Central Garden & Pet Company+ 900 25,227
Charlotte Russe Holding Inc.+ 3,200 44,352
Charming Shoppes, Inc.+ 9,100 49,140
Chico's FAS, Inc.+ 3,850 142,257
The Children's Place Retail Stores, Inc.+ 2,300 61,479
Christopher & Banks Corporation 1,838 35,896
Claire's Stores, Inc. 4,600 86,664
Coldwater Creek Inc.+ 225 2,475
Cole National Corporation+ 1,900 38,000
Cost Plus, Inc.+ 1,300 53,300
Dairy Mart Convenience Stores, Inc.+ 500 0
Deb Shops, Inc. 100 2,150
Dollar Tree Stores, Inc.+ 7,100 213,426
The Dress Barn, Inc.+ 1,853 27,776
Drugstore.com, Inc.+ 3,400 18,734
Duane Read Inc.+ 1,200 20,304
F.A.O., Inc.+ 180 23
The Finish Line, Inc.+ 2,100 62,937
Flanigan's Enterprises, Inc. 200 1,310
Foot Locker, Inc. 7,100 166,495
Footstar, Inc.+ 1,300 5,005
Fred's, Inc. 3,050 94,489
Friedman's Inc. (Class A) 500 3,355
Gadzooks, Inc.+ 100 155
Galyan's Trading Company+ 800 9,632
GameStop Corporation+ 1,000 15,410
Genesco Inc.+ 1,300 19,669
GenesisIntermedia, Inc.+ 1,900 0
Goody's Family Clothing, Inc. 3,100 29,016
The Great Atlantic & Pacific Tea Company, Inc.+ 1,900 15,960
Guitar Center, Inc.+ 1,900 61,902
The Gymboree Corporation+ 3,500 60,305
Hancock Fabrics, Inc. 2,300 33,304
Hot Topic, Inc.+ 2,250 66,285
38
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Retail Insight Enterprises, Inc.+ 3,800 $ 71,440
(concluded) Jo-Ann Stores, Inc.+ 1,265 25,806
Kirkland's, Inc.+ 900 15,894
Kmart Holding Corporation+ 4,100 98,195
Linens 'n Things, Inc.+ 2,000 60,160
Longs Drug Stores Corporation 1,700 42,058
The Men's Wearhouse, Inc.+ 1,900 47,519
Michael's Stores 3,000 132,600
Movie Gallery, Inc. 1,750 32,690
The Neiman Marcus Group, Inc. (Class A)+ 2,200 118,074
O'Reilly Automotive, Inc.+ 2,700 103,572
Overstock.com, Inc.+ 800 15,888
PC Connection, Inc.+ 1,000 8,370
PETCO Animal Supplies, Inc.+ 100 3,045
PETsMART, Inc. 8,800 209,440
Pacific Sunwear of California, Inc.+ 3,525 74,448
Party City Corporation+ 800 10,152
Pathmark Stores, Inc.+ 3,500 26,600
Payless ShoeSource, Inc.+ 2,700 36,180
The Pep Boys-Manny, Moe & Jack 2,500 57,175
Pier 1 Imports, Inc. 4,300 93,998
PriceSmart, Inc.+ 300 1,878
Rent A Center Inc.+ 5,400 161,352
Retail Ventures, Inc.+ 3,600 17,100
Rite Aid Corporation+ 24,600 148,584
Ross Stores, Inc. 9,600 253,728
Ruddick Corporation 1,900 34,010
Saks Incorporated+ 5,700 85,728
School Specialty, Inc.+ 1,700 57,817
Sharper Image Corporation+ 700 22,855
Shoe Carnival, Inc.+ 100 1,780
ShopKo Stores, Inc.+ 1,700 25,925
Stamps.com Inc.+ 2,900 17,980
Stein Mart, Inc.+ 1,700 14,008
Systemax Inc.+ 700 4,662
The Talbots, Inc. 2,900 89,262
Too Inc.+ 900 15,192
Tractor Supply Company+ 2,800 108,892
Triarc Companies, Inc. (Class A) 1,000 11,820
Triarc Companies, Inc. (Class B) 2,000 21,560
Tuesday Morning Corporation+ 3,100 93,775
UniFirst Corporation 400 9,484
United Stationers, Inc.+ 2,700 110,484
Urban Outfitters, Inc.+ 2,000 74,100
Weis Markets, Inc. 1,400 50,820
West Marine, Inc.+ 2,400 66,744
The Wet Seal, Inc. (Class A)+ 1,175 11,621
Whitehall Jewelers, Inc.+ 700 6,909
Whole Foods Market, Inc. 3,400 228,242
Williams-Sonoma, Inc.+ 5,400 187,758
Zale Corporation+ 2,000 106,400
-----------------
7,170,304
Soaps & Cosmetics--0.4% Chattem, Inc.+ 3,000 53,700
Church & Dwight Co., Inc. 1,800 71,280
Del Laboratories, Inc.+ 349 8,715
The Dial Corporation 6,400 182,208
Elizabeth Arden, Inc.+ 2,700 53,784
The Estee Lauder Companies Inc. (Class A) 6,300 247,338
Inter Parfums, Inc. 1,000 22,590
Nu Skin Enterprises, Inc. (Class A) 2,000 34,180
Playtex Products, Inc.+ 1,700 13,141
Revlon, Inc. (Class A)+ 1,072 2,401
-----------------
689,337
Steel--0.3% AK Steel Holding Corporation+ 8,500 43,350
Ampco-Pittsburgh Corporation 200 2,734
Carpenter Technology Corporation 1,000 29,570
Cleveland-Cliffs Inc.+ 500 25,475
Cold Metal Products, Inc.+ 1,400 0
Friedman Industries, Incorporated 600 2,010
Gibraltar Steel Corporation 600 15,090
Intermet Corporation 7,700 41,811
Keystone Consolidated Industries, Inc.+ 700 70
NS Group, Inc.+ 100 970
National Steel Corp.+ 11,100 39
Northwest Pipe Company+ 300 3,996
Northwestern Steel and Wire Company+ 9,000 4
Oregon Steel Mills, Inc.+ 1,300 7,553
39
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Steel Quanex Corporation 900 $ 41,490
(concluded) Roanoke Electric Steel Corporation 700 9,331
Ryerson Tull, Inc. 1,000 11,450
Schnitzer Steel Industries, Inc. (Class A) 1,300 78,650
Shiloh Industries, Inc.+ 400 2,520
Steel Dynamics, Inc.+ 4,500 105,705
Steel Technologies Inc. 2,400 42,456
Weirton Steel Corporation+ 300 12
-----------------
464,286
Telephone--2.4% AT&T Latin America Corp. (Class A)+ 7,300 146
ATSI Communications, Inc.+ 500 1
Adtran, Inc. 5,000 155,000
Advanced Switching+ 100 0
Alamosa Holdings, Inc.+ 500 2,005
Alaska Communications Systems Holdings, Inc.+ 2,000 9,480
Applied Digital Solutions, Inc.+ 600 282
Applied Innovation Inc.+ 600 4,038
Applied Signal Technology, Inc. 1,600 36,816
Atlantic Tele-Network, Inc. 200 5,610
Auspex Systems, Inc.+ 1,800 58
Autobytel Inc.+ 4,000 36,320
Boston Communications Group, Inc.+ 2,700 25,083
CT Communications, Inc. 800 10,800
CTC Communications Group, Inc.+ 4,300 0
Carrier Access Corporation+ 4,400 55,088
CellStar Corporation+ 2,700 34,101
Centennial Communications Corp.+ 3,800 19,988
Choice One Communications Inc.+ 6,900 4,968
Cincinnati Bell Inc.+ 9,600 48,480
Com21, Inc.+ 200 0
Commonwealth Telephone Enterprises, Inc.+ 2,200 83,050
Copper Mountain Networks, Inc.+ 230 2,477
Covad Communications Group, Inc.+ 11,600 41,644
Covista Communications, Inc.+ 300 793
Crown Castle International Corp.+ 11,400 125,742
D&E Communications, Inc. 699 10,142
Davel Communications, Inc.+ 6,900 138
Ditech Communications Corporation+ 1,200 22,920
Dobson Communications Corporation (Class A)+ 3,900 25,623
Equinix, Inc.+ 15 423
Extreme Networks, Inc.+ 8,800 63,448
FiberCore, Inc.+ 2,500 13
FiberNet Telecom Group, Inc.+ 10 12
Finisar Corporation+ 9,300 29,109
Focal Communications Corporation+ 64 0
General Communication, Inc. (Class A)+ 2,400 20,880
GoAmerica, Inc.+ 500 185
Hector Communications Corporation+ 100 1,402
Hickory Tech Corporation 600 6,870
ITXC Corp.+ 6,800 29,376
Inet Technologies, Inc.+ 2,800 33,600
Integrated Telecom+ 300 0
InteliData Technologies Corporation+ 2,000 3,300
InterDigital Communications Corporation+ 2,800 57,792
Inter-Tel Inc. 2,300 57,454
International FiberCom, Inc.+ 200 0
j2 Global Communications, Inc.+ 1,700 42,109
Leap Wireless International, Inc.+ 1,500 50
Level 3 Communications, Inc.+ 40,600 231,420
Liberty Media Corporation (Class A)+ 135,295 1,608,658
McLeod USA Incorporated (Class A)+ 9,238 13,672
McLeod USA Incorporated (Litigation Trust Certificates)+ 16,016 0
MPower Holding Corporation+ 7 11
NTL Incorporated+ 5,447 379,928
Net2000 Communications, Inc.+ 300 0
Net2Phone, Inc.+ 1,400 9,520
Nextel Partners, Inc. (Class A)+ 11,900 160,055
North Pittsburgh Systems, Inc. 600 11,346
Novatel Wireless, Inc.+ 186 1,097
Nucentrix Broadband Networks, Inc.+ 100 149
Nx Networks, Inc.+ 300 0
OmniSky Corporation+ 200 0
Optical Cable Corporation+ 247 1,753
Paradyne Networks, Inc.+ 2,200 7,568
Pegasus Communications Corporation+ 340 9,547
Price Communications Corporation+ 2,400 32,952
Primus Telecommunications Group, Incorporated+ 6,000 61,080
RCN Corporation+ 5,500 4,400
40
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Telephone SR Telecom Inc.+ 209 $ 1,317
(concluded) SmartDisk Corporation+ 100 25
Sonus Networks, Inc.+ 10,900 82,404
Stratos Lightwave, Inc.+ 390 2,644
Sunrise Telecom Incorporated 4,800 16,800
SureWest Communications 300 12,126
TALK America Holdings, Inc.+ 2,933 33,788
T-NETIX, Inc.+ 500 2,000
Telephone and Data Systems, Inc. 2,700 168,885
Tellular Corporation+ 200 1,310
Terremark Worldwide, Inc.+ 8,000 5,120
Time Warner Telecom Inc. (Class A)+ 4,500 45,585
Triton PCS Holdings, Inc. (Class A)+ 2,300 12,834
Triton Network Systems, Inc.+ 100 65
Turnstone Systems, Inc. 2,600 299
Tut Systems, Inc.+ 100 642
US LEC Corp. (Class A)+ 100 788
UTStarcom, Inc.+ 600 22,242
UbiquiTel Inc.+ 4,100 11,025
Ulticom, Inc.+ 1,700 16,405
United States Cellular Corporation+ 4,400 156,200
Warwick Valley Telephone Company 300 8,877
WilTel Communications Group, Inc.+ 1,400 0
Z-Tel Technologies, Inc.+ 200 404
-----------------
4,241,757
Tire & Rubber Goods--0.1% American Biltrite Inc.+ 200 1,540
Bandag, Incorporated 800 32,960
Carlisle Companies Incorporated 2,300 139,978
SRI/Surgical Express, Inc.+ 1,000 6,229
TBC Corporation+ 1,700 43,877
-----------------
224,584
Tobacco--0.1% DIMON Incorporated 2,000 13,500
Schweitzer-Manduit International, Inc. 700 20,846
Universal Corporation 2,100 92,757
Vector Group Ltd. 3,569 58,246
-----------------
185,349
Travel & Recreation--1.4% All-American SportPark, Inc.+ 4,038 161
Alliance Gaming Corporation+ 4,100 101,065
Amerco+ 2,100 45,150
American Classic Voyages Co.+ 100 0
Ameristar Casinos, Inc.+ 2,500 61,175
Argosy Gaming Company+ 2,200 57,178
Aztar Corporation+ 2,200 49,500
Bally Total Fitness Holding Corporation+ 1,600 11,200
Buckhead America Corporation+ 600 0
Callaway Golf Company 3,500 58,975
Cedar Fair, LP 2,000 61,500
Central Parking Corporation 1,600 23,888
Choice Hotels International, Inc. 1,800 63,450
Dick's Sporting Goods, Inc.+ 1,500 72,990
Dollar Thrifty Automotive Group, Inc.+ 1,200 31,128
Dover Downs Gaming & Entertainment, Inc. 210 1,987
Extended Stay America, Inc. 3,700 53,576
Full House Resorts, Inc.+ 1,000 680
GC Companies, Inc.+ 100 35
Glassmaster Company+ 1,200 360
Hudson Hotels Corporation+ 800 0
International Leisure Hosts, Ltd.+ 400 2,000
Jameson Inns, Inc. 400 940
Johnson Outdoors Inc. (Class A)+ 2,200 33,007
K2 Inc.+ 1,392 21,172
Lakes Gaming Inc.+ 2,200 35,530
MGM Mirage Inc.+ 7,700 289,597
MTR Gaming Group, Inc.+ 3,400 35,020
Mandalay Resort Group 3,500 156,520
Marcus Corporation 300 4,920
Mego Financial Corp.+ 200 2
Mikohn Gaming Corporation+ 3,200 14,400
Monarch Casino & Resort, Inc.+ 3,400 37,502
Multimedia Games, Inc.+ 1,400 57,540
Navigant International, Inc.+ 700 9,695
Park Place Entertainment Corporation+ 12,600 136,458
Pinnacle Entertainment, Inc.+ 2,300 21,436
President Casinos, Inc.+ 2,300 276
Prime Hospitality Corp.+ 2,200 22,440
Renaissance Entertainment Corporation+ 4,700 517
41
Master Extended Market Index Series December 31,2003
Schedule of Investments (continued)
Shares
Industry++ Common Stocks Held Value
===================================================================================================================================
Travel & Recreation Rent-Way, Inc.+ 1,200 $ 9,828
(concluded) Royal Caribbean Cruises Ltd. 10,400 361,816
Scientific Games Corporation+ 5,500 93,555
ShoLodge, Inc.+ 300 1,341
Shuffle Master, Inc.+ 1,575 54,527
Six Flags, Inc.+ 3,600 27,072
Sonesta International Hotels Corporation (Class A) 200 990
Speedway Motorsports, Inc. 1,300 37,596
The Sports Authority, Inc.+ 1,792 68,813
The Sports Club Company, Inc.+ 500 905
Sports Entertainment Enterprises, Inc.+ 7,300 219
Station Casinos, Inc. 2,800 85,764
Stellent, Inc.+ 1,100 10,824
Travis Boats & Motors, Inc.+ 500 330
Vail Resorts, Inc.+ 400 6,800
WestCoast Hospitality Corporation+ 300 1,416
Women's Golf Unlimited Inc.+ 200 76
-----------------
2,334,842
Trucking & Freight--0.9% Arkansas Best Corporation 2,400 75,336
BancTrust Financial Group, Inc. 300 4,803
C.H. Robinson Worldwide, Inc. 3,900 147,849
CNF Transportation Inc. 1,900 64,410
Expeditors International of Washington, Inc. 6,600 248,556
Forward Air Corporation+ 900 24,750
Frozen Food Express Industries, Inc.+ 800 5,312
Heartland Express, Inc. 2,454 59,362
J.B. Hunt Transport Services, Inc.+ 5,200 140,452
Knight Transportation, Inc.+ 1,500 38,475
Landstar System, Inc.+ 2,600 98,904
Marten Transport, Ltd.+ 2,025 31,145
Old Dominion Freight Line, Inc.+ 450 15,336
P.A.M. Transportation Services, Inc.+ 400 8,532
Pacer International, Inc.+ 3,400 68,748
Swift Transportation Co., Inc.+ 3,870 81,347
U.S. Xpress Enterprises, Inc. (Class A)+ 600 7,350
USF Corporation 1,300 44,447
United Road Services, Inc.+ 500 60
Wabash National Corporation+ 1,400 41,020
Werner Enterprises, Inc. 5,500 107,195
Yellow Roadway Corporation+ 4,294 155,302
-----------------
1,468,691
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Common Stocks (Cost - $132,915,460) - 91.9% 158,591,913
- -----------------------------------------------------------------------------------------------------------------------------------
Preferred Stock
- -----------------------------------------------------------------------------------------------------------------------------------
Media--0.0% The News Corporation Limited (Convertible) (ADR)* 1 29
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Preferred Stock (Cost - $0) - 0.0% 29
- -----------------------------------------------------------------------------------------------------------------------------------
Rights
- -----------------------------------------------------------------------------------------------------------------------------------
Drug & Medicine--0.0% Lipid Sciences, Inc. (d) 500 0
Psychiatric Solutions, Inc. (e) 800 0
-----------------
0
Producer Goods--0.0% Fedders Corporation (f) 4,220 253
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Rights (Cost - $0) - 0.0% 253
- -----------------------------------------------------------------------------------------------------------------------------------
42
Master Extended Market Index Series December 31,2003
Schedule of Investments (concluded)
Shares
Industry++ Warrants ( c ) Held Value
===================================================================================================================================
Business Services--0.0% Motient Corporation 10 $ 0
Electronics--0.0% APW Ltd. 1 0
Metals USA Inc. 68 93
-----------------
93
Producer Goods--0.0% Polymer Group Inc. (Class A) 3 0
Polymer Group Inc. (Class B) 3 0
-----------------
0
Telephone--0.0% Focal Communications Corporation 63 0
SpectraSite, Inc. 46 1,886
-----------------
1,886
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments in Warrants (Cost - $2,158)--0.0% 1,979
- -----------------------------------------------------------------------------------------------------------------------------------
Total Long Term Investments (Cost - $132,917,618) - 91.9% 158,594,174
- -----------------------------------------------------------------------------------------------------------------------------------
Short Term Beneficial Interest/
Securities Shares Held
- -----------------------------------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep I (a) $12,229,388 12,229,388
Merrill Lynch Liquidity Series, LLC Money Market Series (a) (b) $2,497,350 2,497,350
Merrill Lynch Premier Institutional Fund (a) (b) 832,450 832,450
- -----------------------------------------------------------------------------------------------------------------------------------
Total Short Term Securities (Cost-$15,559,188) - 9.0% 15,559,188
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments (Cost - $148,476,806) - 100.9% 174,153,362
Variation Margin on Financial Futures Contracts** - 0.0% (102,271)
Liabilities in Excess of Other Assets - (0.9%) (1,569,392)
-----------------
Net Assets - 100.0% $ 172,481,699
=================
* American Depositary Receipts (ADR).
** Financial futures contracts purchased as of December 31, 2003 were as
follows:
- -----------------------------------------------------------------------------------------------------------------------------------
Number of Expiration Face Unrealized
Contracts Issue Date Value Gains
- -----------------------------------------------------------------------------------------------------------------------------------
16 Russell 2000 Index March 2004 $ 4,287,947 $ 169,653
29 S&P 400 MidCap Index March 2004 $ 8,126,131 226,594
- -----------------------------------------------------------------------------------------------------------------------------------
Total Unrealized Gains $ 396,247
=================
- -----------------------------------------------------------------------------------------------------------------------------------
(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 Activity Interest/Dividend
Income
- -----------------------------------------------------------------------------------------------------------------------------------
Merrill Lynch Liquidity Series, LLC Cash Sweep Series I $ 8,049,096 $ 69,525
Merrill Lynch Liquidity Series, LLC Money Market Series $ 2,108,178 $ 12,783
Merrill Lynch Premier Institutional Fund 487,337 $ 6,518
- -----------------------------------------------------------------------------------------------------------------------------------
(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 and are non-income producing.
The purchase price and number of shares of stock are subject to adjustment
under certain conditions until the expiration date.
(d) The rights may be exercised until 1/13/04.
(e) The rights may be exercised until 8//16/04.
(f) The rights may be exercised until 1/16/04.
+ 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. These
industry classifications are unaudited.
See Notes to Financial Statements.
43
Master Extended Market Index Series, December 31, 2003
STATEMENT OF ASSETS AND LIABILITIES
MASTER
EXTENDED MARKET
INDEX SERIES As of December 31, 2003
===================================================================================================================
Assets: Investments, at value (including securities loaned of $3,178,844)
(identified cost-$148,476,806) .................................. $174,153,362
Cash on deposit for financial futures contracts ................. 644,000
Cash ............................................................ 17,582
Receivables:
Contributions .......................................... $ 825,233
Securities sold ........................................ 201,119
Dividends .............................................. 142,898
Interest ............................................... 9,006
Securities lending-net ................................. 1,757 1,180,013
---------
Prepaid expenses and other assets ............................... 551
------------
Total assets .................................................... 175,995,508
------------
===================================================================================================================
Liabilities: Collateral on securities loaned, at value ....................... 3,329,800
Payables:
Variation margin ........................................... 102,271
Withdrawals ................................................ 53,775
Securities purchased ....................................... 9,408
Other affiliates ........................................... 1,428 166,882
---------
Accrued expenses ................................................ 17,127
------------
Total liabilities ............................................... 3,513,809
------------
===================================================================================================================
Net Assets: Net assets ...................................................... $172,481,699
============
===================================================================================================================
Net Assets Investors' capital .............................................. $146,408,896
Consist of: Unrealized appreciation on investments-net ...................... 26,072,803
------------
Net assets ...................................................... $172,481,699
============
===================================================================================================================
See Notes to Financial Statements.
44
Master Extended Market Index Series, December 31, 2003
STATEMENT OF OPERATIONS
MASTER
EXTENDED MARKET
INDEX SERIES For the Year Ended December 31, 2003
=========================================================================================================================
Investment Dividends (net of $1,297 foreign withholding tax) ............... $ 1,416,752
Income: Interest ........................................................ 69,200
Securities lending-net .......................................... 19,301
Other ........................................................... 3,027
------------
Total income .................................................... 1,508,280
------------
=========================================================================================================================
Expenses: Professional fees ............................................... $ 71,079
Custodian fees .................................................. 38,287
Accounting services ............................................. 21,138
Investment advisory fees ........................................ 12,393
Printing and shareholder reports ................................ 4,202
Trustees' fees and expenses ..................................... 1,644
Other ........................................................... 7,017
--------
Total expenses before waiver .................................... 155,760
Waiver of expenses .............................................. (3,776)
--------
Total expenses after waiver ..................................... 151,984
------------
Investment income-net ........................................... 1,356,296
------------
=========================================================================================================================
Realized & Realized loss from investments-net .............................. (936,686)
Unrealized Gain (Loss) Change in unrealized appreciation/depreciation on investments-net 45,815,708
on Investments-Net: ------------
Total realized and unrealized gain on investments-net ........... 44,879,022
------------
Net Increase in Net Assets Resulting from Operations ............ $ 46,235,318
============
=========================================================================================================================
See Notes to Financial Statements.
45
Master Extended Market Index Series, December 31, 2003
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended
MASTER December 31,
EXTENDED MARKET -------------------------------
INDEX SERIES Increase (Decrease) in Net Assets: 2003 2002
======================================================================================================================
Operations: Investment income-net ........................................... $ 1,356,296 $ 1,093,990
Realized loss on investments-net ................................ (936,686) (1,203,067)
Change in unrealized appreciation/depreciation on investments-net 45,815,708 (19,853,922)
------------- -------------
Net increase (decrease) in net assets resulting from operations . 46,235,318 (19,962,999)
------------- -------------
======================================================================================================================
Capital Proceeds from contributions ..................................... 72,933,076 33,824,441
Transactions: Fair value of withdrawals ....................................... (40,449,340) (24,936,735)
------------- -------------
Net increase in net assets derived from capital transactions .... 32,483,736 8,887,706
------------- -------------
======================================================================================================================
Net Assets: Total increase (decrease) in net assets ......................... 78,719,054 (11,075,293)
Beginning of year ............................................... 93,762,645 104,837,938
------------- -------------
End of year ..................................................... $ 172,481,699 $ 93,762,645
============= =============
======================================================================================================================
See Notes to Financial Statements.
46
Master Extended Market Index Series, December 31, 2003
FINANCIAL HIGHLIGHTS
====================================================================================================================================
For the Period
MASTER The following ratios have For the Year Ended December 31, Oct. 27, 2000+ to
EXTENDED MARKET been derived from information provided ----------------------------------------- December 31,
INDEX SERIES in the financial statements. 2003 2002 2001 2000
====================================================================================================================================
Total Investment 44.11% (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 .................. 1.09% 1.11% 1.33% 2.02% *
======== ======== ======== ========
====================================================================================================================================
Supplemental Net assets, end of period (in thousands) $172,482 $ 93,763 $104,838 $ 20,805
Data: ======== ======== ======== ========
Portfolio turnover ..................... 14.53% 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.
See Notes to Financial Statements.
47
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 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 financial statements of the
Series 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. The following is a summary of significant accounting
policies followed by the Series.
(a) Valuation of investments--Equity securities held by the Series that are
traded on stock exchanges or the Nasdaq National Market are valued at the last
sale price or official close price on the exchange, 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. In cases where equity securities are traded on more than one
exchange, the securities are valued on the exchange designated as the primary
market by or under the authority of the Board of Trustees of the Trust. Long
positions traded in the over-the-counter ("OTC") market, Nasdaq Small Cap or
Bulletin Board are valued at the last available bid price or yield equivalent
obtained from one or more dealers or pricing services approved by the Board of
Trustees of the Trust. Short positions traded in the OTC market are valued at
the last available ask price. Portfolio securities that are traded both in the
OTC market and on a stock exchange are valued according to the broadest and most
representative market.
Options written are valued at the last sale price in the case of exchange-traded
options or, in the case of options traded in the OTC market, the last ask price.
Options purchased are valued at their last sale price in the case of
exchange-traded options or, in the case of options traded in the OTC market, the
last bid price. Swap agreements are valued daily based upon quotations from
market makers. Financial futures contracts and options thereon, which are traded
on exchanges, are valued at their last sale price as of the close of such
exchanges. Obligations with remaining maturities of 60 days or less are valued
at amortized cost unless the Investment Adviser believes that this method no
longer produces fair valuations.
Repurchase agreements are valued at cost plus accrued interest. The Series
employs pricing services to provide certain securities prices for the Series.
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, including valuations furnished by the
pricing services retained by the Series, which may use a matrix system for
valuations. The procedures of a pricing service and its valuations are reviewed
by the officers of the Series under the general supervision of the Board of
Trustees of the Trust. Such valuations and procedures will be reviewed
periodically by the Board of Trustees of the Trust.
Generally, trading in foreign securities, as well as U.S. government securities
and money market instruments, is substantially completed each day at various
times prior to the close of business on the New York Stock Exchange ("NYSE").
The values of such securities used in computing the net assets of the Series'
shares are determined as of such times. Foreign currency exchange rates also are
generally determined prior to the close of business on the NYSE. Occasionally,
events affecting the values of such securities and such exchange rates may occur
between the times at which they are determined and the close of business on the
NYSE that may not be reflected in the computation of the Series' net assets. If
events (for example, a company announcement, market volatility or a natural
disaster) occur during such periods that are expected to materially affect the
value of such securities, those securities may be valued at their fair value as
determined in good faith by the Board of Trustees of the Trust 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.
48
o Financial futures contracts -- The Series may purchase or sell financial
futures contracts and options on such futures contracts. Futures contracts
are contracts for delayed delivery of securities at a specific future date
and at a specific price or yield. 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 may 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 may 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
49
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.
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 certain expenses incurred by the Series will not exceed .13%. Effective
January 1, 2003, the limit was increased from .08% to .13%. This arrangement
expires December 31, 2004 and is renewable. For the year ended December 31,
2003, FAM earned fees of $12,393, of which $3,776 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 December 31, 2003, the Series lent securities with a value of
$38,594 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 year
ended December 31, 2003, MLIM, LLC received $8,256 in securities lending agent
fees from the Series.
In addition, MLPF&S received $3,041 in commissions on the execution of portfolio
security transactions for the Series for the year ended December 31, 2003.
For the year ended December 31, 2003, the Series reimbursed FAM $2,513 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
year ended December 31, 2003 were $47,576,021 and $17,107,286, respectively.
Net realized gains (losses) for the year ended December 31, 2003 and net
unrealized gains as of December 31, 2003 were as follows:
================================================================================
Realized Unrealized
Gains (Losses) Gains
- --------------------------------------------------------------------------------
Long-term investments ................... $(2,374,911) $25,676,556
Financial futures contracts ............. 1,438,225 396,247
----------- -----------
Total investments ....................... $ (936,686) $26,072,803
=========== ===========
================================================================================
As of December 31, 2003, net unrealized appreciation for Federal income tax
purposes aggregated $24,672,804, of which $36,050,143 related to appreciated
securities and $11,377,339 related to depreciated securities. At December 31,
2003, the aggregate cost of investments for Federal income tax purposes was
$149,480,558.
50
4. 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 28, 2003, the credit
agreement was renewed for one year under the same terms. The Series did not
borrow under the credit agreement during the year ended December 31, 2003.
51
INDEPENDENT AUDITORS' REPORT
To the Investors and Board of Trustees of Quantitative Master Series Trust:
We have audited the accompanying statement of assets and liabilities,
including the schedule of investments, of the Master Extended Market Index
Series, one of the portfolios constituting the Quantitative Master Series Trust
(the "Trust") as of December 31, 2003, and the related statement of operations
for the year then ended, the statement of changes in net assets for each of the
two years in the period then ended, and the financial highlights for each of the
respective periods then ended. These financial statements and financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of December 31, 2003, by correspondence with the custodian
and brokers; where replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of the
Master Extended Market Index Series of the Quantitative Master Series Trust as
of December 31, 2003, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended,
and its financial highlights for each of the respective periods then ended, in
conformity with accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Princeton, New Jersey
February 13, 2004
52
Officers and Directors/Trustees (unaudited)
Number of
Portfolios Other
in Fund Public
Complex Directorships
Position(s) Length Overseen by Held by
Held with of Time Principal Occupation(s) During Past Director/ Director/
Name Address & Age Fund/Trust Served 5 Years Trustee Trustee
- ----------------------------------------------------------------------------------------------------------------------------------
Interested Director/Trustee
- ----------------------------------------------------------------------------------------------------------------------------------
Terry K. Glenn* P.O. Box 9011 President 2000 to President and Chairman of the 123 Funds None
Princeton, NJ and present Merrill Lynch Investment Managers, 160 Portfolios
08543-9011 Director/ and 1997 L.P. ("MLIM")/Fund Asset
Age: 63 Trustee to Management, L.P. ("FAM")--Advised
present Funds since 1999; Chairman
(Americas Region) of MLIM from
2000 to 2002; Executive Vice
President of FAM and MLIM (which
terms as used herein include their
corporate predecessors) from 1983
to 2002; President of FAM
Distributors, Inc. ("FAMD") from
1986 to 2002 and Director thereof
from 1991 to 2002; Executive Vice
President and Director of
Princeton Services, Inc.
("Princeton Services") from 1993
to 2002; President of Princeton
Administrators, L.P. from 1989 to
2002; Director of Financial Data
Services, Inc. since 1985.
* Mr. Glenn is a director, trustee or member of an advisory board of certain other investment companies for
which FAM or MLIM acts as investment adviser. Mr. Glenn is an "interested person" as described in the
Investment Company Act, of the Fund based on his former positions with FAM, MLIM, FAMD, Princeton Services
and Princeton Administrators, L.P. The Director's/Trustee's term is unlimited. Directors/Trustees serve until
their resignation, removal, or death, or until December 31 of the year in which they turn 72. As Fund
President, Mr. Glenn serves at the pleasure of the Board of Directors/Trustees.
- ----------------------------------------------------------------------------------------------------------------------------------
Independent Directors/Trustees*
- ----------------------------------------------------------------------------------------------------------------------------------
Donald W. Burton P.O. Box 9095 Director/ 2002 to Manager of The Burton Partnership, 23 Funds ITC Delta-
Princeton, NJ Trustee present Limited Partnership since 1979; 36 Portfolios Com, Inc.,
08543-9095 Managing General Partner of the ITC
Age: 59 South Atlantic Venture Funds, Financial
Limited Partnerships and Chairman Services,
of South Atlantic Private Equity Knology,
Fund IV, Limited Partnership since Inc.,
1983; Member of the Investment PriCare,
Advisory Council of the Florida Inc.,
State Board of Administration Symbion,
since 2001. Inc.
- ----------------------------------------------------------------------------------------------------------------------------------
M. Colyer Crum P.O. Box 9095 Director/ 2000 to James R. Williston Professor of 24 Funds Cambridge
Princeton, NJ Trustee present Investment Management Emeritus, 37 Portfolios Bancorp
08543-9095 Harvard Business School since
Age: 71 1996; Chairman and Director of
Phaeton International, Ltd. from
1985 to present; Director of
Cambridge Bancorp since 1969.
- ----------------------------------------------------------------------------------------------------------------------------------
Laurie Simon P.O. Box 9095 Director/ 2000 to Professor of Finance and 23 Funds None
Hodrick Princeton, NJ Trustee present Economics, Graduate 36 Portfolios
08543-9095 School of Business, Columbia
Age: 41 University since 1998; Associate
Professor of Finance and
Economics, Graduate School of
Business, Columbia University from
1996 to 1998.
53
Officers and Directors/Trustees (unaudited) (concluded)
Number of
Portfolios
in Fund
Complex Other Public
Position(s) Length of Overseen by Directorships Held
Held with Time Principal Occupation(s) Director/ by Director/
Name Address & Age Fund/Trust Served During Past 5 Years Trustee Trustee
- ----------------------------------------------------------------------------------------------------------------------------------
Independent Directors/Trustees* (concluded)
- ----------------------------------------------------------------------------------------------------------------------------------
David H. Walsh P.O. Box 9095 Director/ 2003 to Consultant with Putnam 23 Funds None
Princeton, NJ Trustee present Investments since 1993 36 Portfolios
08543-9095 and employed in various
Age: 62 capacities therewith
from 1971 to 1992;
Director of the
National Audubon
Society since 2000;
Director of the
American Museum of Fly
Fishing since 1998.
- ----------------------------------------------------------------------------------------------------------------------------------
Fred G. Weiss P.O. Box 9095 Director/ 2000 to Managing Director of 23 Funds Watson
Princeton, NJ Trustee present FGW Associates since 36 Portfolios Pharmaceuticals,Inc.
08543-9095 1997; Vice President,
Age: 62 Planning, Investment
and Development of
Warner Lambert Co. from
1979 to 1997; Director
of BTG International,
PLC since 2001; Inc.
Director of KIMC
Investment, Inc. since
2003; Director of
Osmotica Holdings Corp.
AVV since 2003
* The Director's/Trustee's term is unlimited. Directors/Trustees serve until their resignation, removal or
death, or until December 31 of the year in which they turn 72.
Position(s) Length of
Held with Time
Name Address & Age Fund/Trust Served Principal Occupation(s) During Past 5 Years
- ----------------------------------------------------------------------------------------------------------------------------------
Fund/Trust Officers
- ----------------------------------------------------------------------------------------------------------------------------------
Donald C. Burke P.O. Box 9011 Vice 1997 to First Vice President of FAM and MLIM since 1997 and
Princeton, NJ President present Treasurer thereof since 1999; Senior Vice President and
08543-9011 and and 1999 Treasurer of Princeton Services since 1999; Vice President
Age: 43 Treasurer to present of FAMD since 1999; Director of MLIM Taxation since 1990.
- ----------------------------------------------------------------------------------------------------------------------------------
Robert C. Doll, P.O. Box 9011 Senior Vice 1999 to President of MLIM and member of the Executive Management
Jr. Princeton, NJ President present Committee of ML & Co., Inc. since 2001; Global Chief
08543-9011 Investment Officer and Senior Portfolio Manager of MLIM
Age: 49 since 1999; Chief Investment Officer of Equities at
Oppenheimer Funds, Inc. from 1990 to 1999 and Chief
Investment Officer thereof from 1998 to 1999; Executive
Vice President of Oppenheimer Funds, Inc. from 1991 to 1999.
- ----------------------------------------------------------------------------------------------------------------------------------
Richard Vella P.O. Box 9011 Vice 1999 to Managing Director and Head of Global Index and Enhanced
Princeton, NJ President present Index products for Merrill Lynch Quantitative Advisors
08543-9011 since 1999; Managing Director and Head of the Global Index
Age: 46 and Enhanced Index business at Bankers Trust from 1984 to
1999.
- ----------------------------------------------------------------------------------------------------------------------------------
Brian D. Stewart P.O. Box 9011 Secretary 2003 to Vice President (Legal Advisory) of MLIM since 2002;
Princeton, NJ present Attorney with Reed Smith from 2001 to 2002; Attorney with
08543-9011 Saul Ewing from 1999 to 2001.
Age: 34
- ----------------------------------------------------------------------------------------------------------------------------------
* Officers of the Fund/Trust serve at the pleasure of the Board of Directors/Trustees.
- ----------------------------------------------------------------------------------------------------------------------------------
Further information about the Fund's Officers and Directors is available in the Fund's Statement of
Additional Information, which can be obtained without charge by calling 1-800-MER-FUND.
- ----------------------------------------------------------------------------------------------------------------------------------
Custodian
J.P. Morgan Chase Bank
4 Chase MetroTech Center, 18th Floor
Brooklyn, NY 11245
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
800-637-3863
54
Item 2 - Code of Ethics - The registrant has adopted 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
and principal accounting officer, or persons performing similar
functions. A copy of the code of ethics is available without charge
upon request by calling toll-free 1-800-MER-FUND (1-800-637-3863).
Item 3 - Audit Committee Financial Expert - The registrant's board of directors
has determined that (i) the registrant has the following audit
committee financial experts serving on its audit committee and (ii)
each audit committee financial expert is independent: (1) Donald W.
Burton, (2) M. Colyer Crum, (3) Laurie Simon Hodrick, (4) David H.
Walsh and (5) Fred G. Weiss.
The registrant's board of directors has determined that Laurie Simon
Hodrick and M. Colyer Crum qualify as financial experts pursuant to
Item 3(c)(4) of Form N-CSR.
Ms. Hodrick has a thorough understanding of generally accepted
accounting principals, financial statements, and internal controls and
procedures for financial reporting. Ms. Hodrick earned a Ph.D. in
economics and has taught courses in finance for over 15 years. Her
M.B.A.-level course centers around the evaluation and analysis of
firms' corporate financial statements. She has also taught in financial
analysts' training programs. Ms. Hodrick has also worked with several
prominent corporations in connection with the analysis of financial
forecasts and projections and analysis of the financial statements of
those companies, serving on the Financial Advisory Council of one of
these major corporations. She has also served as the Treasurer and
Finance Chair of a 501(c)(3) organization. Ms. Hodrick has published a
number of articles in leading economic and financial journals and is
the associate editor of two leading finance journals.
M. Colyer Crum also possesses a thorough understanding of generally
accepted accounting principals, financial statements, and internal
controls and procedures for financial reporting through a combination
of education and experience. Professor Crum was a professor of
investment management at the Harvard Business School for 25 years. The
courses taught by Professor Crum place a heavy emphasis on the analysis
of underlying company financial statements with respect to stock
selection and the analysis of credit risk in making loans. Professor
Crum has also served on a number of boards of directors and has served
on the audit committees, and in some cases chaired the audit committee,
for several major corporations and financial institutions. For two such
organizations, Professor Crum has performed extensive investment
analysis of financial statements in connection with investment
management decisions. From these experiences, he has gained significant
experience with the establishment of reserves and accounting policies,
differences between U.S. GAAP and Canadian GAAP and executive
compensation issues.
Item 4 - Principal Accountant Fees and Services
(a) Audit Fees - 2003 -- $42,400 2002 -- $42,900
(b) Audit-Related Fees - 2003 -- $0 2002 -- $0
(c) Tax Fees - 2003 -- $8,800 2002 -- $10,500
The nature of the services include tax compliance, tax
advice and tax planning.
(d) All Other Fees - 2003 -- $0 2002 -- $0
(e)(1) The registrant's audit committee (the "Committee") has adopted
policies and procedures with regard to the pre-approval of
services. Audit, audit-related and tax compliance services
provided to the registrant on an annual basis require specific
pre-approval by the Committee. The Committee also must approve
other non-audit services provided to the registrant and those
non-audit services provided to the registrant's affiliated
service providers that relate directly to the operations and the
financial reporting of the registrant. Certain of these
non-audit services that the Committee believes are a) consistent
with the SEC's auditor independence rules and b) routine and
recurring services that will not impair the independence of the
independent accountants may be approved by the Committee without
consideration on a specific case-by-case basis ("general
pre-approval"). However, such services will only be deemed
pre-approved provided that any individual project does not
exceed $5,000 attributable to the registrant or $50,000 for the
project as a whole. Any proposed services exceeding the
pre-approved cost levels will require specific pre-approval by
the Committee, as will any other services not subject to general
pre-approval (e.g., unanticipated but permissible services). The
Committee is informed of each service approved subject to
general pre-approval at the next regularly scheduled in-person
board meeting.
(e)(2) 0%
(f) N/A
(g) 2003 -- $18,690,437 2002 -- $17,012,158
(h) The registrant's audit committee has considered that the provision
of non-audit services that were rendered to the registrant's
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.
Item 5 - Audit Committee of Listed Registrants - Not Applicable
Item 6 - Reserved
Item 7 - Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies - Not Applicable
Item 8 - Reserved
Item 9 - Controls and Procedures
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.
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 attached hereto
10(a) - Not Applicable
10(b) - 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: February 23, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by
the following persons on behalf of the registrant and in the capacities
and on the dates indicated.
By: /s/ Terry K. Glenn
-------------------------------
Terry K. Glenn,
President of
Master Extended Market Index Series
Date: February 23, 2004
By: /s/ Donald C. Burke
-------------------------------
Donald C. Burke,
Chief Financial Officer of
Master Extended Market Index Series
Date: February 23, 2004