N-CSRS 1 a2131983zn-csrs.txt N-CSRS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-09259 Morgan Stanley Total Market Index Fund (Exact name of registrant as specified in charter) 1221 Avenue of the Americas, New York, New York 10020 (Address of principal executive offices) (Zip code) Ronald E. Robison 1221 Avenue of the Americas, New York, New York 10020 (Name and address of agent for service) Registrant's telephone number, including area code: 212-762-4000 Date of fiscal year end: July 31, 2004 Date of reporting period: January 31, 2004 Item 1 - Report to Shareholders WELCOME, SHAREHOLDER: IN THIS REPORT, YOU'LL LEARN ABOUT HOW YOUR INVESTMENT IN MORGAN STANLEY TOTAL MARKET INDEX FUND PERFORMED DURING THE SEMIANNUAL PERIOD. WE WILL PROVIDE AN OVERVIEW OF THE MARKET CONDITIONS, AND DISCUSS SOME OF THE FACTORS THAT AFFECTED PERFORMANCE DURING THE REPORTING PERIOD. IN ADDITION, THIS REPORT INCLUDES THE FUND'S FINANCIAL STATEMENTS AND A LIST OF FUND INVESTMENTS. THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A PROSPECTUS FOR THE FUND BEING OFFERED. MARKET FORECASTS PROVIDED IN THIS REPORT MAY NOT NECESSARILY COME TO PASS. THERE IS NO ASSURANCE THAT THE FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE. THE FUND IS SUBJECT TO MARKET RISK, WHICH IS THE POSSIBILITY THAT MARKET VALUES OF SECURITIES OWNED BY THE FUND WILL DECLINE AND, THEREFORE, THE VALUE OF THE FUND'S SHARES MAY BE LESS THAN WHAT YOU PAID FOR THEM. ACCORDINGLY, YOU CAN LOSE MONEY INVESTING IN THIS FUND. FUND REPORT For the six-month period ended January 31, 2004 TOTAL RETURN FOR THE SIX MONTHS ENDED JANUARY 31, 2004
WILSHIRE 5000 TOTAL LIPPER MULTI- MARKET CAP CORE CLASS A CLASS B CLASS C CLASS D INDEX(1) FUNDS INDEX(2) 15.45% 15.02% 15.22% 15.63% 15.43% 16.48%
THE PERFORMANCE OF THE FUND'S FOUR SHARE CLASSES VARIES BECAUSE EACH HAS DIFFERENT EXPENSES. THE FUND'S TOTAL RETURN FIGURES ASSUME THE REINVESTMENT OF ALL DISTRIBUTIONS BUT DO NOT REFLECT THE DEDUCTION OF ANY APPLICABLE SALES CHARGES. SUCH COSTS WOULD LOWER PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SEE PERFORMANCE SUMMARY FOR STANDARDIZED PERFORMANCE INFORMATION. MARKET OVERVIEW The U.S. equity markets rallied in the six-month period ending January 31, 2004, as investors drew assurance from improvements in key economic indicators. The rally was supported by stimuli from the federal government; the Federal Reserve kept interest rates extremely low and the federal tax cut gave consumers additional disposable income. Consumer spending remained strong, and investor confidence rose as corporate profits climbed in all sectors. Economically sensitive sectors, led by information technology, gained most sharply as investors focused on the industries best positioned to benefit from an improving economy. This environment was highly beneficial for higher-beta, small-capitalization stocks, which handily outperformed their larger counterparts. PERFORMANCE ANALYSIS Morgan Stanley Total Market Index Fund's Class B and C shares fell short of the Wilshire 5000 Index and the Lipper Multi-Cap Core Funds Index for the six months ended January 31, 2004. The Fund's Class A and D shares outperformed the Wilshire 5000 Index and underperformed the Lipper Multi-Cap Core Funds Index. The majority of the difference between the Fund and the Wilshire 5000 can be attributed to the Fund's optimization process. Because owning all 5,200 securities in the Wilshire benchmark would be impractical, a statistical sampling process directs our stock selection within those 5,200 companies. We moved to improve the Fund's optimization model during the period by expanding the number of its holdings in order to track the benchmark more closely. Much of the Fund's strong performance was driven by the sectors that had suffered most heavily in the bear market of 2001-2002 but were poised to rebound most aggressively entering the period. Information technology, materials and industrials all posted notable positive returns in anticipation of improving economic conditions. Energy stocks also gained, on a combination of increasing demand and limited capacity. Financial-services stocks likewise performed well, as these companies benefited from low interest rates and improving capital markets. While all of the Fund's sectors gained during the six-month period under review, several lagged the overall market. Telecommunications companies continued to suffer from overcapacity and heavy competition, exacerbated by the enactment of number portability. Utilities performed positively during the period but lagged in the rally, along with the more stable health care and consumer staples sectors. 2 TOP 10 HOLDINGS General Electric 2.5% Microsoft 2.2% Pfizer 2.1% Exxon Mobil 2.0% Citigroup 1.9% Wal-Mart Stores 1.7% Intel 1.5% American Int'l Group 1.3% Cisco Systems 1.3% Int'l Business Machines 1.3%
TOP FIVE INDUSTRIES Pharmaceuticals: Major 6.0% Major Banks 3.9% Industrial Conglomerates 3.7% Packaged Software 3.6% Financial Conglomerates 3.5%
SUBJECT TO CHANGE DAILY. ALL PERCENTAGES ARE A PERCENTAGE OF NET ASSETS. PROVIDED FOR INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE DEEMED A RECOMMENDATION TO BUY OR SELL THE SECURITIES MENTIONED. MORGAN STANLEY IS A FULL-SERVICE SECURITIES FIRM ENGAGED IN SECURITIES TRADING AND BROKERAGE ACTIVITIES, INVESTMENT BANKING, RESEARCH AND ANALYSIS, FINANCING AND FINANCIAL ADVISORY SERVICES. INVESTMENT STRATEGY 1. MORGAN STANLEY TOTAL MARKET INDEX FUND SEEKS TO PROVIDE INVESTMENT RESULTS THAT, BEFORE EXPENSES, CORRESPOND TO THE TOTAL RETURN OF THE U.S. STOCK MARKET AS MEASURED BY THE WILSHIRE 5000 TOTAL MARKET INDEX. 2. THE WILSHIRE 5000 TOTAL MARKET INDEX CONSISTS OF SUBSTANTIALLY ALL OF THE STOCKS THAT ARE ACTIVELY TRADED IN THE UNITED STATES (CURRENTLY, MORE THAN 5,200). THE INDEX CONSISTS OF LARGE-CAPITALIZATION, MID-CAPITALIZATION AND SMALL-CAPITALIZATION STOCKS. BECAUSE THE INDEX IS MARKET-CAPITALIZATION-WEIGHTED, CURRENTLY LARGE-CAPITALIZATION STOCKS IN THE INDEX REPRESENT APPROXIMATELY TWO THIRDS OF ITS VALUE. 3. THE INDEX MAY INCLUDE SOME FOREIGN COMPANIES. 4. THE FUND WILL NORMALLY INVEST AT LEAST 80 PERCENT OF ITS ASSETS IN STOCKS INCLUDED IN THE INDEX. NOT ALL STOCKS IN THE INDEX ARE PURCHASED, BECAUSE OF THE PRACTICAL DIFFICULTIES AND EXPENSE OF PURCHASING AND SELLING OVER 5,200 STOCKS. INSTEAD, STATISTICAL SAMPLING IS USED IN AN ATTEMPT TO RECREATE THE INDEX IN TERMS OF INDUSTRY, SIZE, DIVIDEND YIELD AND OTHER CHARACTERISTICS. 5. THE FUND GENERALLY EXPECTS THAT ITS PORTFOLIO WILL INCLUDE THE LARGEST 2,000 TO 2,500 U.S. STOCKS (MEASURED BY MARKET CAPITALIZATION). 6. THE INCLUSION OF A STOCK IN THE INDEX IS IN NO WAY AN ENDORSEMENT BY WILSHIRE ASSOCIATES OF THE STOCK AS AN INVESTMENT, NOR IS WILSHIRE ASSOCIATES A SPONSOR OF THE FUND OR IN ANY WAY AFFILIATED WITH IT. 7. THE REMAINING 20 PERCENT OF THE FUND'S ASSETS MAY BE INVESTED IN OPTIONS AND FUTURES CONTRACTS. THE FUND ALSO MAY UTILIZE FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS. 8. THE FUND MAY MAKE TEMPORARY INVESTMENTS IN MONEY MARKET INSTRUMENTS TO MANAGE CASH FLOWS INTO AND OUT OF THE FUND. 9. IN PURSUING THE FUND'S INVESTMENT OBJECTIVE, THE INVESTMENT MANAGER HAS CONSIDERABLE LEEWAY IN DECIDING WHICH TRADING OR INVESTMENT STRATEGIES IT USES. FOR EXAMPLE, THE INVESTMENT MANAGER IN ITS DISCRETION MAY DETERMINE TO USE SOME PERMITTED TRADING OR INVESTMENT STRATEGIES WHILE NOT USING OTHERS. PROXY VOTING POLICIES AND PROCEDURES A DESCRIPTION OF THE FUND'S POLICIES AND PROCEDURES WITH RESPECT TO THE VOTING OF PROXIES RELATING TO THE FUND'S PORTFOLIO SECURITIES IS AVAILABLE WITHOUT CHARGE, UPON REQUEST, BY CALLING (800) 869-NEWS (6397). THIS INFORMATION IS ALSO AVAILABLE ON THE SECURITIES AND EXCHANGE COMMISSION'S WEB SITE AT HTTP://www.sec.gov. 3 PERFORMANCE SUMMARY AVERAGE ANNUAL TOTAL RETURNS--PERIOD ENDED JANUARY 31, 2004
CLASS A SHARES* CLASS B SHARES** CLASS C SHARES+ CLASS D SHARES++ (SINCE 09/28/99) (SINCE 09/28/99) (SINCE 09/28/99) (SINCE 09/28/99) SYMBOL TMIAX TMIBX TMICX TMIDX 1 YEAR 35.65%(3) 34.60%(3) 34.65%(3) 36.04%(3) 28.52(4) 29.60(4) 33.65(4) -- SINCE INCEPTION (0.76)(3) (1.53)(3) (1.49)(3) (0.51)(3) (1.99)(4) (1.98)(4) (1.49)(4) --
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE. WHEN YOU SELL FUND SHARES, THEY MAY BE WORTH LESS THAN THEIR ORIGINAL COST. THE GRAPH AND TABLE DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. PERFORMANCE FOR CLASS A, CLASS B, CLASS C, AND CLASS D SHARES WILL VARY DUE TO DIFFERENCES IN SALES CHARGES AND EXPENSES. Notes on Performance (1) THE WILSHIRE 5000 TOTAL MARKET INDEX MEASURES THE PERFORMANCE OF ALL U.S. HEADQUARTERED EQUITY SECURITIES AND IS THE BEST MEASURE OF THE ENTIRE U.S. STOCK MARKET. OVER 7,000 CAPITALIZATION WEIGHTED SECURITY RETURNS ARE USED TO ADJUST THE INDEX. THE INDEX DOES NOT INCLUDE ANY EXPENSES, FEES OR CHARGES. SUCH COSTS WOULD LOWER PERFORMANCE. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX. (2) THE LIPPER MULTI-CAP CORE FUNDS INDEX IS AN EQUALLY WEIGHTED PERFORMANCE INDEX OF THE LARGEST QUALIFYING FUNDS (BASED ON NET ASSETS) IN THE LIPPER MULTI-CAP CORE FUNDS CLASSIFICATION. THE INDEX, WHICH IS ADJUSTED FOR CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS, IS UNMANAGED AND SHOULD NOT BE CONSIDERED AN INVESTMENT. THERE ARE CURRENTLY 30 FUNDS REPRESENTED IN THIS INDEX. (3) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND DOES NOT REFLECT THE DEDUCTION OF ANY SALES CHARGES. (4) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND THE DEDUCTION OF THE MAXIMUM APPLICABLE SALES CHARGE. SEE THE FUND'S CURRENT PROSPECTUS FOR COMPLETE DETAILS ON FEES AND SALES CHARGES. * THE MAXIMUM FRONT-END SALES CHARGE FOR CLASS A IS 5.25%. ** THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) FOR CLASS B IS 5.0%. THE CDSC DECLINES TO 0% AFTER SIX YEARS. + THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C IS 1.0% FOR SHARES REDEEMED WITHIN ONE YEAR OF PURCHASE. ++ CLASS D HAS NO SALES CHARGE. 4 MORGAN STANLEY TOTAL MARKET INDEX FUND PORTFOLIO OF INVESTMENTS - JANUARY 31, 2004
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ COMMON AND PREFERRED STOCKS, RIGHTS AND WARRANTS (96.7%) ADVERTISING/MARKETING SERVICES (0.3%) 588 Abitron Inc.* $ 25,596 813 ADVO, Inc. 26,309 1,225 Catalina Marketing Corp.* 23,397 3,396 DoubleClick Inc.* 40,888 8,397 Gemstar-TV Guide International, Inc.* 49,122 1,099 Getty Images, Inc.* 54,236 34 Grey Global Group Inc. 23,222 1,066 Harris Interactive Inc.* 9,018 1,753 Harte-Hanks Inc. 38,040 1,015 infoUSA, Inc.* 9,551 8,045 Interpublic Group of Companies, Inc. (The)* 133,064 1,683 Lamar Advertising Co.* 64,762 636 Nautilus Group, Inc. 9,018 659 Netratings, Inc.* 8,106 3,681 Omnicom Group, Inc. 303,314 787 R.H. Donnelley Corp.* 32,897 1,086 Valassis Communications, Inc.* 33,232 1,448 ValueClick, Inc.* 15,088 --------------- 898,860 --------------- AEROSPACE & DEFENSE (1.0%) 620 AAR Corp.* 8,277 1,287 Aeroflex Inc.* 18,945 748 Alliant Techsystems, Inc.* 41,888 540 Armor Holdings, Inc.* 14,753 614 Aviall, Inc.* 9,456 16,362 Boeing Co. 683,113 481 Cubic Corp. 10,519 478 Curtiss-Wright Corp. 21,821 473 DRS Technologies, Inc.* 13,580 385 EDO Corp. 9,201 526 Engineered Support Systems, Inc. 26,242 250 ESCO Technologies Inc.* 11,212 409 Esterline Corp.* 11,350 854 GenCorp Inc. $ 9,052 3,831 General Dynamics Corp. 350,268 2,279 Goodrich Corp. 70,307 337 IniVision Techonologies, Inc.* 12,452 1,892 L-3 Communications Holdings, Inc. 101,146 8,736 Lockheed Martin Corp. 424,744 413 Mercury Computer Systems, Inc.* 12,196 255 Moog Inc. (Class A)* 13,382 3,548 Northrop Grumman Corp. 343,127 924 Orbital Sciences Corp.* 11,670 1,029 Precision Castparts Corp. 48,147 8,082 Raytheon Co. 246,582 3,430 Rockwell Collins, Inc. 112,127 204 Sequa Corp. (Class A)* 11,608 628 Teledyne Technologies Inc.* 12,089 1,578 Titan Corp. (The)* 34,306 309 Triumph Group, Inc.* 10,954 412 United Defense Industries, Inc.* 12,072 --------------- 2,716,586 --------------- AGRICULTURAL COMMODITIES/ MILLING (0.1%) 12,589 Archer-Daniels-Midland Co. 197,144 1,935 Bunge Ltd. (Bermuda) 66,177 938 Corn Products International, Inc. 32,989 1,066 Delta & Pine Land Co. 27,684 --------------- 323,994 --------------- AIR FREIGHT/COURIERS (0.8%) 1,110 ABX Air, Inc.* 6,160 1,636 C.H. Robinson Worldwide, Inc. 62,004 963 CNF Inc. 30,758 1,217 EGL, Inc.* 19,533 2,034 Expeditors International of Washington, Inc. 76,092 5,828 FedEx Corp. 392,108 416 Forward Air Corp.* 11,777
SEE NOTES TO FINANCIAL STATEMENTS 5
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 980 Pacer International, Inc.* $ 18,130 21,783 United Parcel Service, Inc. (Class B) 1,552,474 --------------- 2,169,036 --------------- AIRLINES (0.2%) 1,497 AirTran Holdings, Inc.* 17,245 520 Alaska Air Group, Inc.* 14,456 673 America West Holdings Corp. (Class B)* 7,531 3,203 AMR Corp.* 52,529 885 Atlantic Coast Airlines Holdings, Inc.* 7,531 1,498 Continental Airlines, Inc. (Class B)* 23,354 2,634 Delta Air Lines, Inc. 27,657 1,367 ExpressJet Holdings, Inc.* 19,370 678 Frontier Airlines, Inc.* 6,685 1,992 JetBlue Airways Corp.* 45,278 615 Mesa Air Group, Inc.* 6,710 2,003 Northwest Airlines Corp. (Class A)* 22,874 1,185 SkyWest, Inc. 22,894 15,253 Southwest Airlines Co. 228,032 --------------- 502,146 --------------- ALTERNATIVE POWER GENERATION (0.0%) 8,037 Calpine Corp.* 46,775 1,190 Plug Power Inc.* 11,234 --------------- 58,009 --------------- ALUMINUM (0.2%) 16,518 Alcoa, Inc. 564,585 --------------- APPAREL/FOOTWEAR (0.5%) 348 Brown Shoe Co., Inc. 12,873 3,309 Cintas Corp. 149,401 3,540 Coach, Inc.* 125,422 776 Columbia Sportswear Co.* 41,229 843 Guess ? Inc.* 11,144 2,448 Jones Apparel Group, Inc. 83,403 640 Kellwood Co. 26,118 383 Kenneth Cole Productions, Inc. (Class A) $ 12,811 1,124 K-Swiss, Inc. (Class A) 29,898 2,114 Liz Claiborne, Inc. 75,618 5,085 Nike, Inc. (Class B) 354,221 314 Oxford Industries, Inc. 12,026 592 Phillips-Van Heusen Corp. 10,330 1,189 Polo Ralph Lauren Corp. 35,908 1,186 Quiksilver, Inc.* 19,545 1,141 Reebok International Ltd. 44,248 761 Russell Corp. 13,401 770 Stride Rite Corp. 8,455 678 Timberland Co. (Class A)* 33,778 2,094 V.F. Corp. 88,995 907 Wolverine World Wide, Inc. 18,884 --------------- 1,207,708 --------------- APPAREL/FOOTWEAR RETAIL (0.6%) 2,026 Abercrombie & Fitch Co. (Class A)* 52,473 725 Aeropostale* 21,641 1,510 American Eagle Outfitters, Inc.* 28,086 943 AnnTaylor Stores Corp.* 38,191 501 bebe stores, inc.* 13,587 413 Buckle (The), Inc. 10,635 912 Burlington Coat Factory Warehouse Corp. 17,337 396 Cato Corp. (The) (Class A) 8,296 2,208 Charming Shoppes, Inc.* 12,873 1,726 Chico's FAS, Inc.* 63,586 520 Children's Place Retail Stores, Inc. (The)* 13,983 715 Christopher & Banks Corp. 13,935 569 Dress Barn, Inc.* 8,637 383 Finish Line, Inc. (Class A)* 13,022 2,777 Foot Locker, Inc. 68,703 17,358 Gap, Inc. (The) 322,512 575 Gymboree Corp. (The)* 8,343 946 Hot Topic, Inc.* 28,825 10,011 Limited Brands, Inc. 182,200
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NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 921 Men's Wearhouse, Inc. (The)* $ 21,450 2,663 Nordstrom, Inc. 104,656 1,368 Pacific Sunwear of California, Inc.* 31,368 1,379 Payless ShoeSource, Inc.* 18,534 2,945 Ross Stores, Inc. 82,313 369 Stage Stores, Inc.* 12,022 810 Stein Mart, Inc.* 8,618 1,097 Talbot's, Inc. (The) 35,652 9,751 TJX Companies, Inc. (The) 224,175 774 Too, Inc.* 11,842 732 Urban Outfitters, Inc.* 29,639 --------------- 1,507,134 --------------- AUTO PARTS: O.E.M. (0.4%) 1,027 American Axle & Manufacturing Holdings, Inc.* 39,807 1,327 ArvinMeritor, Inc. 29,459 531 BorgWarner, Inc. 49,341 1,627 Collins & Aikman Corp.* 9,469 2,880 Dana Corp. 59,904 10,856 Delphi Corp. 114,856 1,466 Eaton Corp. 170,276 1,486 Gentex Corp. 64,983 3,496 Johnson Controls, Inc. 205,740 1,311 Lear Corp. 86,080 860 Modine Manufacturing Co. 23,022 926 Sauer-Danfoss, Inc. 12,557 770 Superior Industries International, Inc. 31,863 3,098 Visteon Corp. 33,149 --------------- 930,506 --------------- AUTOMOTIVE AFTERMARKET (0.1%) 513 Bandag, Inc. 21,500 440 Barnes Group, Inc. 13,746 729 CLARCOR Inc. 31,602 1,431 Cooper Tire & Rubber Co. 29,006 3,566 Goodyear Tire & Rubber Co. (The)* 33,877 --------------- 129,731 --------------- BEVERAGES: ALCOHOLIC (0.4%) 15,787 Anheuser-Busch Companies, Inc. $ 800,717 498 Brown-Forman Corp. (Class B) 23,262 2,039 Constellation Brands Inc. (Class A)* 68,388 749 Coors (Adolph) Co. (Class B) 42,348 --------------- 934,715 --------------- BEVERAGES: NON-ALCOHOLIC (1.0%) 47,500 Coca-Cola Co. (The) 2,338,900 8,614 Coca-Cola Enterprises Inc. 197,261 5,092 Pepsi Bottling Group, Inc. (The) 134,989 2,846 PepsiAmericas, Inc. 48,894 --------------- 2,720,044 --------------- BIOTECHNOLOGY (1.7%) 1,999 Abgenix, Inc.* 31,184 618 Adolor Corp.* 8,294 1,255 Affymetrix, Inc.* 39,344 426 Alexion Pharmaceuticals, Inc.* 7,736 1,735 Alkermes, Inc.* 25,990 24,994 Amgen Inc.* 1,611,863 1,940 Amylin Pharmaceuticals, Inc.* 37,481 771 Antigenics Inc.* 8,442 1,936 Applera Corp. - Celera Genomics Group* 29,466 887 ARIAD Pharmaceuticals, Inc.* 7,318 6,347 Biogen Idec Inc.* 271,588 1,390 BioMarin Pharmaceutical, Inc.* 11,105 1,679 Bruker BioSciences Corp.* 9,570 1,574 Celgene Corp.* 63,605 767 Cell Genesys, Inc.* 10,508 1,078 Cephalon, Inc.* 59,096 816 Charles River Laboratories International, Inc.* 32,762 3,674 Chiron Corp.* 189,946
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NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 563 Ciphergen Biosystem, Inc.* $ 5,951 1,071 Corixa Corp.* 6,330 778 Cubist Pharmaceuticals, Inc.* 10,674 689 CV Therapeutics, Inc.* 11,300 859 Dendreon Corp.* 12,026 823 Discovery Laboratories, Inc.* 9,711 834 Diversa Corp.* 9,224 817 Enzo Biochem, Inc.* 15,931 1,101 Enzon, Inc.* 14,753 1,389 Exelixis, Inc.* 10,945 1,541 Genencor International Inc.* 20,511 4,275 Genentech, Inc.* 408,262 469 Gen-Probe Inc.* 17,691 1,542 Genta Inc.* 19,676 4,263 Genzyme Corp.* 233,826 647 Geron Corp.* 7,085 3,903 Gilead Sciences, Inc.* 214,158 2,768 Human Genome Sciences, Inc.* 38,171 1,309 ICOS Corp.* 57,151 669 IDEXX Laboratories, Inc.* 32,801 884 ILEX Oncology, Inc.* 20,553 1,507 ImClone Systems, Inc.* 61,727 974 Immunomedics, Inc.* 4,665 1,404 Incyte Genomics, Inc.* 12,538 713 InterMune Inc.* 13,654 990 Invitrogen Corp.* 76,230 1,222 Lexicon Genetics Inc.* 9,703 1,321 Ligand Pharmaceuticals Inc. (Class B)* 19,168 532 Martek Biosciences Corp.* 34,506 677 Maxygen Inc.* 6,601 1,513 Medarex, Inc.* 13,254 1,047 Medicines Company (The)* 31,808 4,796 MedImmune, Inc.* 112,706 587 MGI Pharma, Inc.* 27,994 5,778 Millennium Pharmaceuticals, Inc.* 101,924 527 Myriad Genetics, Inc.* 9,049 899 Nabi Biopharmaceuticals* 14,537 666 Neurocrine Biosciences, Inc.* 37,689 862 NPS Pharmaceuticals, Inc.* $ 29,748 569 Onyx Pharmaceuticals, Inc.* 19,164 805 OSI Pharmaceuticals Inc.* 28,014 1,816 Protein Design Labs, Inc.* 36,683 1,018 Regeneron Pharmaceuticals, Inc.* 15,107 864 SciClone Pharmaceuticals, Inc.* 5,530 690 SuperGen, Inc.* 7,549 948 Tanox, Inc.* 16,599 795 Techne Corp.* 30,989 700 Telik, Inc.* 16,795 685 Transkaryotic Therapies, Inc.* 9,152 456 Trimeris, Inc.* 7,720 1,328 Tularik Inc.* 22,948 1,739 Vertex Pharmaceuticals, Inc.* 17,233 1,051 Vicuron Pharmaceuticals, Inc.* 24,919 1,595 XOMA Ltd.* 10,399 1,051 Zymogenetics, Inc.* 19,118 --------------- 4,537,448 --------------- BROADCASTING (0.5%) 430 Citadel Broadcasting Corp.* 8,148 11,927 Clear Channel Communications, Inc. 536,596 966 Cox Radio, Inc. (Class A)* 22,479 1,046 Cumulus Media, Inc. (Class A)* 21,380 1,281 Emmis Communications Corp. (Class A)* 33,268 995 Entercom Communications Corp.* 47,372 1,723 Entravision Communications Corp. (Class A)* 18,040 168 Fisher Communications, Inc.* 8,375 855 Gray Television, Inc. 12,321 1,002 Hearst-Argyle Television, Inc. 27,385 544 Liberty (Corp.) (The) 25,595 567 Lin TV Corp. (Class A)* 13,812 2,142 Radio One, Inc. (Class A)* 39,434
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NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 350 Salem Communications Corp.* $ 9,275 1,191 Sinclair Broadcast Group, Inc. (Class A)* 16,293 20,843 Sirius Satellite Radio Inc.* 56,693 721 Spanish Broadcasting System, Inc. (Class A)* 8,342 6,265 Univision Communications Inc. (Class A)* 221,593 1,937 Westwood One, Inc.* 59,175 2,629 XM Satellite Radio Holdings Inc. (Class A)* 62,044 --------------- 1,247,620 --------------- BUILDING PRODUCTS (0.2%) 1,411 American Standard Companies, Inc.* 149,848 577 Griffon Corp.* 12,579 1,468 Lennox International Inc. 24,222 8,974 Masco Corp. 239,247 632 Simpson Manufacturing Co., Inc. 31,259 508 Watsco, Inc. 11,704 954 York International Corp. 36,395 --------------- 505,254 --------------- CABLE/SATELLITE TV (1.2%) 4,254 Cablevision Systems New York Group (Class A)* 108,817 5,974 Charter Communications, Inc. (Class A)* 28,795 43,614 Comcast Corp. (Class A)* 1,488,110 11,488 Cox Communications, Inc. (Class A)* 393,579 4,769 EchoStar Communications Corp. (Class A)* 174,068 17,693 Hughes International Corp* 296,181 1,229 Insight Communications Co., Inc.* 12,671 52,365 Liberty Media Corp. (Class A)* 609,529 2,167 Mediacom Communications Corp.* 19,373 2,055 UnitedGlobalCom, Inc. (Class A)* $ 19,522 575 UnitedGlobalCom, Inc. (Rights) (expire 02/12/04)* 1,928 --------------- 3,152,573 --------------- CASINO/GAMING (0.3%) 1,124 Alliance Gaming Corp.* 27,088 517 Ameristar Casinos, Inc.* 14,636 661 Argosy Gaming Co.* 18,045 789 Aztar Corp.* 17,555 1,194 Boyd Gaming Corp. 19,725 5,818 Caesars Enertainment, Inc.* 66,616 258 Churchill Downs Inc. 9,159 1,142 GTECH Holdings Corp. 63,507 2,140 Harrah's Entertainment, Inc. 113,420 6,708 International Game Technology 251,282 571 Isle of Capri Casinos, Inc.* 11,888 1,191 Mandalay Resort Group 55,822 3,059 MGM Mirage* 123,614 256 Multimedia Games, Inc.* 10,936 783 Penn National Gaming, Inc.* 19,433 325 Shuffle Master, Inc.* 11,056 1,102 Station Casinos, Inc. 38,581 676 Wynn Resorts, Ltd.* 19,901 --------------- 892,264 --------------- CATALOG/SPECIALTY DISTRIBUTION (0.0%) 902 Insight Enterprises, Inc.* 17,914 701 Valuevision Media Inc. (Class A)* 12,415 --------------- 30,329 --------------- CHEMICALS: AGRICULTURAL (0.1%) 2,422 IMC Global Inc. 27,393 5,196 Monsanto Co. 158,946 625 Scotts Company (The) (Class A)* 39,444 --------------- 225,783 --------------- CHEMICALS: MAJOR DIVERSIFIED (0.7%) 1,316 Cabot Corp. 41,428
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NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 17,867 Dow Chemical Co. (The) $ 749,521 19,384 Du Pont (E.I.) de Nemours & Co. 850,958 1,496 Eastman Chemical Co. 59,675 2,431 Engelhard Corp. 68,967 2,434 Hercules Inc.* 29,695 4,387 Rohm & Haas Co. 172,277 2,041 Solutia, Inc. 684 --------------- 1,973,205 --------------- CHEMICALS: SPECIALTY (0.4%) 4,403 Air Products & Chemicals, Inc. 219,754 1,432 Airgas, Inc. 32,492 1,081 Albemarle Corp. 31,987 439 Arch Chemicals, Inc. 10,887 669 Cambrex Corp. 18,551 2,198 Crompton Corp. 15,606 841 Cytec Industries, Inc. 29,359 662 FMC Corp.* 22,634 689 Georgia Gulf Corp. 17,838 1,089 Great Lakes Chemical Corp. 27,878 664 Kronos Worldwide, Inc. 16,992 999 Lubrizol Corp. (The) 31,718 3,644 Lyondell Chemical Co. 62,458 1,455 Millennium Chemicals Inc. 18,435 1,328 NL Industries, Inc. 17,994 554 OM Group, Inc.* 17,811 1,784 Polyone Corp.* 11,971 6,341 Praxair, Inc. 224,535 576 Schulman (A.), Inc. 10,022 1,125 Sensient Technologies Corp. 22,984 1,343 Sigma-Aldrich Corp. 78,686 422 TETRA Technologies, Inc.* 10,136 2,209 Valhi, Inc. 30,440 --------------- 981,168 --------------- COAL (0.1%) 1,020 Arch Coal, Inc. 28,172 1,635 CONSOL Energy, Inc. 37,768 1,460 Massey Energy Co. 29,200 1,051 Peabody Energy Corp. 42,072 --------------- 137,212 --------------- COMMERCIAL PRINTING/ FORMS (0.1%) 567 Banta Corp. $ 26,082 659 Bowne & Co., Inc. 10,004 979 Deluxe Corp. 39,542 2,202 Donnelley (R.R.) & Sons Co. 68,812 583 Harland (John H.) Co. 16,382 552 Standard Register Co. 10,157 --------------- 170,979 --------------- COMPUTER COMMUNICATIONS (1.6%) 7,227 3Com Corp.* 55,648 3,081 Adaptec, Inc.* 28,869 8,135 Avaya Inc.* 141,386 909 Avocent Corp.* 33,233 4,992 Brocade Communications Systems, Inc.* 31,999 133,759 Cisco Systems, Inc.* 3,429,581 1,213 Echelon Corp.* 12,955 1,605 Emulex Corp.* 43,544 4,875 Enterasys Networks, Inc.* 20,719 2,962 Extreme Networks, Inc.* 25,147 526 F5 Networks, Inc.* 17,889 901 FalconStor Software, Inc.* 8,100 4,152 Finisar Corp.* 14,034 2,528 Foundry Networks, Inc.* 60,242 1,139 Ixia* 16,629 7,542 Juniper Networks, Inc.* 217,888 2,550 McDATA Corp. (Class A)* 22,414 2,040 MRV Communications, Inc.* 8,935 552 NETGEAR, Inc. 9,318 --------------- 4,198,530 --------------- COMPUTER PERIPHERALS (0.5%) 1,736 Advanced Digital Information Corp.* 30,970 595 Avid Technology, Inc.* 28,173 809 Dot Hill Systems Corp.* 11,504 1,020 Electronics for Imaging, Inc.* 27,305 45,197 EMC Corp.* 634,566 750 Imation Corp. 27,487 2,489 Lexmark International, Inc.* 206,313 4,757 Maxtor Corp.* 44,002
SEE NOTES TO FINANCIAL STATEMENTS 10
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 6,685 Network Appliance, Inc.* $ 149,477 1,564 Pinnacle Systems, Inc.* 12,496 3,304 Quantum Corp. - DLT & Storage Systems* 12,060 257 SafeNet, Inc.* 10,151 1,927 ScanSoft, Inc.* 9,789 1,415 Seagate Technology (ADR) (Cayman Islands)* 23,064 417 Sonic Solutions* 8,340 2,143 Storage Technology Corp.* 62,147 3,970 Western Digital Corp.* 40,613 916 Zebra Technologies Corp. (Class A)* 59,174 --------------- 1,397,631 --------------- COMPUTER PROCESSING HARDWARE (1.4%) 7,024 Apple Computer, Inc.* 158,461 1,353 Cray, Inc.* 10,486 49,611 Dell Inc.* 1,660,480 6,968 Gateway, Inc.* 32,889 59,080 Hewlett-Packard Co. 1,405,513 1,833 NCR Corp.* 76,161 619 PalmOne, Inc.* 6,376 63,297 Sun Microsystems, Inc.* 336,107 --------------- 3,686,473 --------------- CONSTRUCTION MATERIALS (0.1%) 553 AMCOL International Corp. 11,010 544 Centex Construction Products, Inc.* 30,187 381 ElkCorp. 10,935 924 Florida Rock Industries, Inc. 38,207 1,340 Lafarge North America, Inc. 57,352 948 Martin Marietta Materials, Inc. 43,608 412 Texas Industries, Inc. 14,383 392 Trex Co., Inc.* 15,190 841 USG Corp.* 15,340 2,003 Vulcan Materials Co. 95,543 --------------- 331,755 --------------- CONSUMER SUNDRIES (0.0%) 1,388 American Greetings Corp. (Class A)* $ 29,120 1,119 Blyth Industries, Inc. 37,229 1,507 Oakley, Inc. 20,646 485 Sola International, Inc.* 10,282 1,156 Yankee Candle Co., Inc. (The)* 30,333 --------------- 127,610 --------------- CONTAINERS/PACKAGING (0.3%) 920 Aptargroup, Inc. 36,864 1,132 Ball Corp. 70,829 1,029 Bemis Company, Inc. 49,876 543 Caraustar Industries, Inc.* 7,602 3,279 Crown Holdings, Inc.* 27,478 435 Greif Bros. Corp. (Class A) 16,447 586 Myers Industries, Inc. 7,325 3,046 Owens-Illinois, Inc.* 34,054 2,043 Packaging Corp. of America 44,211 3,047 Pactiv Corp.* 66,089 681 Rock-Tenn Co. (Class A) 10,412 1,647 Sealed Air Corp.* 82,004 356 Silgan Holdings, Inc.* 15,230 4,793 Smurfit-Stone Container Corp.* 82,631 1,891 Sonoco Products Co. 44,590 1,057 Temple-Inland, Inc. 62,416 --------------- 658,058 --------------- CONTRACT DRILLING (0.3%) 2,525 Diamond Offshore Drilling, Inc. 57,317 2,904 ENSCO International Inc. 82,764 4,523 GlobalSantaFe Corp. (Cayman Islands) 123,478 3,712 Grey Wolf, Inc.* 15,516 1,185 Helmerich & Payne, Inc. 34,389 2,910 Nabors Industries, Ltd. (Bermuda)* 128,040 2,592 Noble Corp.* 96,163 1,663 Patterson-UTI Energy, Inc.* 57,507 2,628 Pride International, Inc.* 49,538
SEE NOTES TO FINANCIAL STATEMENTS 11
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 1,823 Rowan Companies, Inc.* $ 41,710 6,198 Transocean Inc. (Cayman Island)* 166,974 --------------- 853,396 --------------- DATA PROCESSING SERVICES (1.0%) 1,617 Acxiom Corp. 30,772 2,543 Affiliated Computer Services, Inc. (Class A)* 141,009 11,518 Automatic Data Processing, Inc. 492,394 2,405 BISYS Group, Inc. (The)* 43,290 3,048 Ceridian Corp.* 62,667 1,256 Certergy Inc. 40,280 1,684 CheckFree Corp.* 52,861 3,629 Computer Sciences Corp.* 162,035 9,012 Concord EFS, Inc.* 127,249 2,787 Convergys Corp.* 46,599 1,134 CSG Systems International, Inc.* 16,250 1,617 DST Systems, Inc.* 69,224 914 eFunds Corp.* 15,876 14,121 First Data Corp. 552,978 3,738 Fiserv, Inc.* 139,652 696 Global Payments Inc. 32,364 566 Hewitt Associates, Inc.* 19,584 319 iPayment Holdings, Inc.* 11,120 1,026 National Processing, Inc.* 21,033 7,305 Paychex, Inc. 273,791 5,636 SunGard Data Systems Inc.* 175,449 3,814 Total System Services, Inc. 87,150 792 Tyler Technologies, Inc.* 7,920 --------------- 2,621,547 --------------- DEPARTMENT STORES (0.4%) 1,683 Dillard's, Inc. (Class A) 28,544 3,503 Federated Department Stores, Inc. 166,322 6,670 Kohl's Corp.* 295,481 5,592 May Department Stores Co. 183,977 948 Neiman Marcus Group, Inc. (The) (Class A) 52,330 5,405 Penney (J.C.) Co., Inc. 141,503 2,657 Saks, Inc.* $ 45,169 4,938 Sears, Roebuck & Co. 218,506 --------------- 1,131,832 --------------- DISCOUNT STORES (2.3%) 1,394 99 Cents Only Stores* 35,338 2,369 Big Lots, Inc.* 33,474 1,457 BJ's Wholesale Club, Inc.* 31,544 8,869 Costco Wholesale Corp.* 328,863 6,530 Dollar General Corp. 145,097 2,262 Dollar Tree Stores, Inc.* 72,407 3,382 Family Dollar Stores, Inc. 117,152 628 Fred's, Inc. 17,584 568 ShopKo Stores, Inc.* 7,997 17,660 Target Corp. 670,374 83,855 Wal-Mart Stores, Inc. 4,515,592 --------------- 5,975,422 --------------- DRUGSTORE CHAINS (0.4%) 7,698 CVS Corp. 274,973 991 Longs Drug Stores Corp. 22,070 10,421 Rite Aid Corp.* 60,233 19,864 Walgreen Co. 686,301 --------------- 1,043,577 --------------- ELECTRIC UTILITIES (2.3%) 12,099 AES Corp. (The)* 118,086 2,648 Allegheny Energy, Inc.* 33,418 2,014 Alliant Energy, Inc. 52,142 3,159 Ameren Corp. 152,548 7,685 American Electric Power Co., Inc. 250,915 3,762 Aquila, Inc.* 14,484 1,235 Avista Corp. 22,045 761 Black Hills Corp. 22,678 5,931 CenterPoint Energy, Inc. 62,275 3,474 Cinergy Corp. 134,340 1,129 Cleco Corp. 20,514 3,007 CMS Energy Corp.* 26,401 308 CN Energy Group, Inc. 14,236 4,368 Consolidated Edison, Inc. 191,449 3,241 Constellation Energy Group, Inc. 130,385
SEE NOTES TO FINANCIAL STATEMENTS 12
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 6,286 Dominion Resources, Inc. $ 403,310 2,451 DPL, Inc. 49,608 3,273 DTE Energy Co. 127,974 17,434 Duke Energy Corp. 378,841 1,742 Duquesne Light Co. 33,168 6,313 Edison International 138,886 1,339 El Paso Electric Co.* 18,719 445 Empire District Electric Co. (The) 9,701 2,846 Energy East Corp. 66,881 4,451 Entergy Corp. 260,294 6,362 Exelon Corp. 426,127 6,223 FirstEnergy Corp. 233,487 3,585 FPL Group, Inc. 235,714 1,346 Great Plains Energy, Inc. 44,714 731 Hawaiian Electric Industries, Inc. 37,142 1,078 IDACORP, Inc. 33,202 669 MGE Energy Inc. 20,960 2,608 Northeast Utilities 50,204 1,035 NSTAR 50,663 1,665 OGE Energy Corp. 40,676 819 Otter Tail Corp. 21,744 3,321 Pepco Holdings, Inc. 66,852 8,036 PG&E Corp.* 215,767 1,769 Pinnacle West Capital Corp. 69,433 1,131 PNM Resources Inc.* 34,043 3,436 PPL Corp. 157,094 4,753 Progress Energy, Inc. 212,839 4,419 Public Service Enterprise Group, Inc. 200,799 1,826 Puget Energy, Inc. 43,148 5,973 Reliant Resources, Inc.* 46,350 2,166 SCANA Corp. 75,204 2,379 Sierra Pacific Resources* 18,723 14,187 Southern Co. (The) 422,773 3,878 TECO Energy, Inc. 55,339 6,276 TXU Corp. 150,624 458 UIL Holdings Corp. 21,421 655 UniSource Energy Corp. 16,113 1,559 Westar Energy, Inc. 30,525 2,287 Wisconsin Energy Corp. 75,677 634 WPS Resources Corp. $ 30,438 7,728 Xcel Energy, Inc. 133,849 --------------- 6,004,942 --------------- ELECTRICAL PRODUCTS (0.4%) 932 Acuity Brands, Inc. 22,648 3,847 American Power Conversion Corp.* 95,367 1,231 Baldor Electric Co. 28,633 496 Belden Inc. 9,970 499 C&D Technologies, Inc. 10,145 874 Cable Design Technologies Corp.* 8,749 1,809 Cooper Industries Ltd. (Class A) (Bermuda) 101,847 8,153 Emerson Electric Co. 520,977 1,638 Energizer Holdings, Inc.* 67,961 268 Franklin Electric Co., Inc. 16,249 263 Genlyte Group Inc. (The)* 14,465 1,160 Hubbell, Inc. (Class B) 46,574 426 Littelfuse, Inc.* 12,354 3,718 Molex Inc. 129,163 1,998 Power-One, Inc.* 25,015 634 Rayovac Corp.* 15,216 1,141 Thomas & Betts Corp. 23,653 336 Thomas Industries, Inc. 11,421 366 Wilson Greatbatch Technologies, Inc.* 14,786 --------------- 1,175,193 --------------- ELECTRONIC COMPONENTS (0.4%) 832 Amphenol Corp. (Class A)* 54,970 3,390 AVX Corp. 59,020 724 Benchmark Electronics, Inc.* 25,456 1,728 Cree, Inc.* 43,321 675 CTS Corp. 9,335 646 Hutchinson Technology Inc.* 19,076 323 Intermagnetics General Corp.* 8,114 3,882 Jabil Circuit, Inc.* 114,907 1,686 Kemet Corp.* 25,627 1,357 Kopin Corp.* 9,770
SEE NOTES TO FINANCIAL STATEMENTS 13
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 3,937 MEMC Electronic Materials, Inc.* $ 41,417 696 Methode Electronics, Inc. (Class A) 8,756 510 OmniVision Technologies, Inc.* 24,760 386 Park Electrochemical Corp. 10,383 830 Plexus Corp.* 18,202 1,830 QLogic Corp.* 82,277 1,576 SanDisk Corp.* 85,797 9,960 Sanmina-SCI Corp.* 130,576 16,198 Solectron Corp.* 115,006 1,264 Superconductor Technologies Inc.* 7,458 1,228 Technitrol, Inc.* 23,086 783 TTM Technologies, Inc.* 13,702 816 Vicor Corp.* 9,792 3,109 Vishay Intertechnology, Inc.* 72,253 --------------- 1,013,061 --------------- ELECTRONIC DISTRIBUTORS (0.1%) 707 Anixter International, Inc.* 19,549 1,968 Arrow Electronics, Inc.* 52,664 2,333 Avnet, Inc.* 61,475 1,615 CDW Corp. 109,723 2,936 Ingram Micro Inc. (Class A)* 49,031 2,328 Safeguard Scientifics, Inc.* 11,966 239 ScanSource, Inc.* 12,034 1,101 Tech Data Corp.* 45,680 --------------- 362,122 --------------- ELECTRONIC EQUIPMENT/ INSTRUMENTS (0.6%) 9,213 Agilent Technologies, Inc.* 339,591 640 Checkpoint Systems, Inc.* 12,768 888 Coherent, Inc.* 27,164 1,407 Diebold, Inc. 73,713 267 Digital Theater Systems Inc.* 6,766 1,680 Identix Inc.* 8,938 400 Itron, Inc.* 8,264 27,803 JDS Uniphase Corp.* 141,795 676 Kronos, Inc.* 26,269 1,479 Lexar Media, Inc.* $ 21,593 1,007 National Instruments Corp. 49,615 1,105 Newport Corp.* 22,177 762 Paxar Corp.* 10,691 3,635 Rockwell Automation, Inc. 118,392 2,942 Scientific-Atlanta, Inc. 99,557 525 SeaChange International, Inc.* 10,605 4,467 Symbol Technologies, Inc. 77,279 1,657 Tektronix, Inc. 51,483 3,168 Thermo Electron Corp.* 88,292 1,165 Unova, Inc.* 28,554 905 Varian, Inc.* 36,200 2,353 Waters Corp.* 89,202 15,439 Xerox Corp.* 226,027 --------------- 1,574,935 --------------- ELECTRONIC PRODUCTION EQUIPMENT (0.7%) 630 Advanced Energy Industries, Inc.* 14,118 3,564 Amkor Technology, Inc.* 62,049 32,358 Applied Materials, Inc.* 704,110 428 Artisan Components, Inc.* 7,764 766 Asyst Technologies, Inc.* 11,735 1,170 ATMI, Inc.* 31,028 1,931 Axcelis Technologies, Inc.* 24,504 724 Brooks Automation Inc.* 18,100 5,097 Cadence Design Systems, Inc.* 84,457 2,247 Chippac Inc. (Class A)* 16,471 1,155 Cognex Corp. 37,018 414 Cohu, Inc. 8,408 1,232 Credence Systems Corp.* 17,470 699 Cymer, Inc.* 30,763 353 DuPont Photomasks, Inc.* 8,271 544 Electro Scientific Industries, Inc.* 13,981 1,795 Entegris Inc.* 22,904 934 FEI Co.* 23,425 669 FormFactor Inc.* 12,457 510 Helix Technology Corp. 12,245 3,716 KLA-Tencor Corp.* 212,072
SEE NOTES TO FINANCIAL STATEMENTS 14
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 977 Kulicke & Soffa Industries, Inc.* $ 14,284 2,476 Lam Research Corp.* 66,233 967 LTX Corp.* 16,845 878 Mattson Technology, Inc.* 10,211 1,557 Mentor Graphics Corp.* 24,320 1,003 MKS Instruments, Inc.* 23,711 778 Mykrolis Corp.* 13,389 2,956 Novellus Systems, Inc.* 100,681 316 Photon Dynamics, Inc.* 12,100 963 Photronics, Inc.* 18,721 3,044 Synopsys, Inc.* 107,423 3,707 Teradyne, Inc.* 99,718 736 Tessera Technologies, Inc.* 13,248 446 Ultratech Stepper, Inc.* 12,961 672 Varian Semiconductor Equipment Associates, Inc.* 32,753 670 Veeco Instruments, Inc.* 20,167 --------------- 1,960,115 --------------- ELECTRONICS/APPLIANCE STORES (0.2%) 6,271 Best Buy Co., Inc. 315,996 683 Blockbuster, Inc. (Class A) 12,786 4,059 Circuit City Stores - Circuit City Group. 43,431 485 Electronics Boutique Holdings Corp.* 12,227 1,227 Hollywood Entertainment Corp.* 14,785 658 Movie Gallery, Inc. 13,199 3,180 RadioShack Corp. 103,604 --------------- 516,028 --------------- ELECTRONICS/APPLIANCES (0.2%) 5,553 Eastman Kodak Co. 157,761 1,258 Harman International Industries, Inc. 93,381 551 Helen of Troy Ltd.* 15,781 1,560 Maytag Corp. 44,678 1,350 Whirlpool Corp. 102,532 --------------- 414,133 --------------- ENGINEERING & CONSTRUCTION (0.1%) 1,431 Dycom Industries, Inc.* $ 37,020 352 EMCOR Group, Inc.* 14,365 1,638 Fluor Corp. 60,704 827 Granite Construction Inc. 17,632 516 Insituform Technologies, Inc. (Class A)* 8,302 1,124 Jacobs Engineering Group, Inc.* 50,445 1,013 KFx Inc.* 7,851 939 MasTec, Inc.* 11,794 2,277 Quanta Services, Inc.* 18,626 737 Shaw Group Inc. (The)* 8,608 636 URS Corp.* 17,585 --------------- 252,932 --------------- ENVIRONMENTAL SERVICES (0.2%) 4,223 Allied Waste Industries, Inc.* 57,644 344 Ionics, Inc.* 9,422 1,575 Newpark Resources, Inc.* 7,749 3,069 Republic Services, Inc. 76,572 1,043 Tetra Tech, Inc.* 22,842 626 Waste Connections, Inc.* 23,287 11,286 Waste Management, Inc. 313,299 --------------- 510,815 --------------- FINANCE/RENTAL/LEASING (1.8%) 639 Aaron Rents, Inc (Class A) 13,604 530 Advanta Corp. (Class A) 7,764 2,397 Allied Capital Corp. 69,321 401 AMERCO* 9,207 1,338 American Capital Strategies, Ltd. 42,843 3,187 AmeriCredit Corp.* 54,816 1,243 Bay View Capital Corp.* 2,896 4,437 Capital One Financial Corp. 315,382 504 Cash American International, Inc. 11,017 806 Charter Municipal Mortgage Acceptance Co. 17,587 4,133 CIT Group, Inc. 156,723
SEE NOTES TO FINANCIAL STATEMENTS 15
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 914 CompuCredit Corp.* $ 21,095 3,540 Countrywide Financial Corp. 295,767 828 Credit Acceptance Corp.* 13,662 483 Dollar Thrifty Automotive Group, Inc.* 12,003 2,160 Doral Financial Corp. (Puerto Rico) 70,135 18,827 Fannie Mae 1,451,562 362 Financial Federal Corp.* 12,297 13,535 Freddie Mac 844,855 1,547 Fremont General Corp. 28,666 1,157 GATX Corp. 26,148 980 IndyMac Bancorp, Inc. 30,517 534 Interpool, Inc. 8,010 24,756 MBNA Corp. 667,422 753 MCG Capital Corp. 15,512 506 NCO Group, Inc.* 12,311 709 New Century Financial Corp. 32,621 1,307 Ocwen Financial Corp.* 13,344 5,651 Providian Financial Corp.* 77,362 1,333 Ryder System, Inc. 49,054 558 Saxon Capital, Inc.* 15,284 8,803 SLM Corp. 338,035 390 Student Loan Corp. (The) 56,125 1,493 United Rentals, Inc.* 33,443 810 WFS Financial Inc.* 34,530 --------------- 4,860,920 --------------- FINANCIAL CONGLOMERATES (3.5%) 24,923 American Express Co. 1,292,008 99,954 Citigroup Inc. 4,945,724 524 Euronet Services, Inc.* 8,515 39,532 J.P. Morgan Chase & Co. 1,537,399 5,606 John Hancock Financial Services, Inc. 232,537 1,315 Leucadia National Corp. 64,685 6,258 Principal Financial Group, Inc. 217,153 10,473 Prudential Financial, Inc. 455,575 6,476 State Street Corp. 348,733 139 Wesco Financial Corp. 50,179 --------------- 9,152,508 --------------- FINANCIAL PUBLISHING/ SERVICES (0.3%) 634 Advent Software, Inc.* $ 11,951 429 BARRA, Inc. 13,698 1,436 D&B Corp.* 71,671 2,842 Equifax, Inc. 73,920 800 FactSet Research Systems Inc. 30,440 2,131 Interactive Data Corp.* 38,081 3,712 McGraw-Hill Companies, Inc. (The) 278,474 2,945 Moody's Corp. 188,156 615 National Financial Insurance 20,412 2,043 SEI Investments Co. 69,299 195 Value Line, Inc. 9,730 --------------- 805,832 --------------- FOOD DISTRIBUTORS (0.2%) 1,832 ARAMARK Corp. (Class B) 48,218 888 Performance Food Group Co.* 27,830 12,539 SYSCO Corp. 475,604 380 United Natural Foods, Inc.* 15,135 --------------- 566,787 --------------- FOOD RETAIL (0.4%) 2,161 7-Eleven, Inc.* 35,937 7,109 Albertson's, Inc. 166,066 1,350 Casey's General Stores, Inc. 22,477 14,437 Kroger Co.* 267,518 1,313 Ruddick Corp. 24,816 8,570 Safeway Inc.* 193,596 2,598 Supervalu, Inc. 75,082 798 Weis Markets, Inc. 27,571 1,218 Whole Foods Market, Inc.* 82,178 584 Wild Oats Markets, Inc.* 7,563 3,012 Winn-Dixie Stores, Inc. 19,759 --------------- 922,563 --------------- FOOD: MAJOR DIVERSIFIED (1.2%) 7,951 Campbell Soup Co. 209,350 4,345 Del Monte Foods Co.* 46,752 7,234 General Mills, Inc. 328,641
SEE NOTES TO FINANCIAL STATEMENTS 16
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 6,866 Heinz (H.J.) Co. $ 242,919 7,970 Kellogg Co. 301,346 5,463 Kraft Foods Inc. (Class A) 175,963 33,264 PepsiCo, Inc. 1,572,057 15,119 Sara Lee Corp. 322,337 --------------- 3,199,365 --------------- FOOD: MEAT/FISH/DAIRY (0.3%) 10,403 ConAgra Foods Inc. 269,854 3,022 Dean Foods Co.* 96,704 698 Dreyer's Grand Ice Cream Holdings, Inc. 54,444 2,701 Hormel Foods Corp. 72,846 537 Pilgrim's Pride Corp. (Class B) 10,697 253 Sanderson Farms, Inc. 12,432 2,145 Smithfield Foods, Inc.* 49,356 6,790 Tyson Foods, Inc. (Class A) 104,430 --------------- 670,763 --------------- FOOD: SPECIALTY/ CANDY (0.3%) 340 American Italian Pasta Co. (Class A) 13,192 779 Chiquita Brands International, Inc.* 18,540 49 Farmer Brothers Co. 15,435 1,032 Flowers Foods Inc. 24,923 1,107 Fresh Del Monte Produce, Inc. 28,782 878 Hain Celestial Group, Inc.* 19,852 2,550 Hershey Foods Corp. 192,550 376 International Multifoods Corp.* 7,050 942 Interstate Bakeries Corp. 13,584 769 Lancaster Colony Corp. 32,921 567 Lance, Inc. 8,925 2,703 McCormick & Co., Inc. (Non-Voting). 80,225 1,420 NBTY, Inc.* 46,548 843 Ralcorp Holdings, Inc.* 27,920 280 Riviana Foods, Inc. 7,165 970 Smucker (J.M.) Co. 45,192 1,008 Tootsie Roll Industries, Inc. 36,288 795 Topps Co., Inc. (The) $ 7,322 4,379 Wrigley (Wm.) Jr. Co. (Class A) 246,406 --------------- 872,820 --------------- FOREST PRODUCTS (0.1%) 2,052 Louisiana-Pacific Corp. 43,646 346 Universal Forest Products, Inc. 10,553 4,279 Weyerhaeuser Co. 262,987 --------------- 317,186 --------------- GAS DISTRIBUTORS (0.4%) 1,245 AGL Resources, Inc. 36,553 1,187 Atmos Energy Corp. 30,387 7,239 Dynegy, Inc. (Class A)* 32,358 1,011 Energen Corp. 43,473 1,215 Equitable Resources, Inc. 53,326 3,083 KeySpan Corp. 112,437 2,388 Kinder Morgan, Inc. 140,892 372 Laclede Group, Inc. (The) 11,067 2,194 MDU Resources Group, Inc. 51,822 1,576 National Fuel Gas Co. 39,558 531 New Jersey Resources Corp. 20,491 732 Nicor Inc. 24,266 5,086 NiSource, Inc. 106,806 502 Northwest Natural Gas Co. 15,462 1,842 ONEOK, Inc. 41,795 940 Peoples Energy Corp. 39,912 653 Piedmont Natural Gas Co., Inc. 27,302 1,609 Questar Corp. 56,524 4,384 Sempra Energy 136,518 245 South Jersey Industries, Inc. 10,084 1,372 Southern Union Co.* 24,641 642 Southwest Gas Corp. 15,081 830 UGI Corp. 26,767 1,465 Vectren Corp. 36,244 949 WGL Holdings Inc. 26,525 --------------- 1,160,291 --------------- HOME BUILDING (0.4%) 287 Beazer Homes USA Inc. 26,757 650 Brookfield Homes Corp. 16,919
SEE NOTES TO FINANCIAL STATEMENTS 17
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 66 Cavco Industries, Inc.* $ 2,079 1,204 Centex Corp. 127,504 1,119 Champion Enterprises, Inc.* 7,475 4,707 D.R. Horton, Inc. 132,267 585 Hovnanian Enterprises, Inc.* 43,161 898 KB HOME 60,651 2,768 Lennar Corp. (Class A) 122,069 291 Levitt Corp. (Class A)* 6,024 621 M.D.C. Holdings, Inc. 38,906 316 M/I Schottenstein Homes, Inc. 12,194 216 Meritage Corp.* 14,018 140 NVR, Inc.* 60,830 446 Palm Harbor Homes, Inc.* 7,738 2,405 Pulte Homes, Inc. 103,752 479 Ryland Group, Inc. (The) 36,524 698 Standard Pacific Corp. 32,597 595 Technical Olympic USA, Inc. 15,333 1,399 Toll Brothers, Inc.* 54,715 825 WCI Communities, Inc.* 18,026 193 William Lyon Homes, Inc.* 12,084 --------------- 951,623 --------------- HOME FURNISHINGS (0.2%) 1,031 Ethan Allen Interiors, Inc. 45,055 1,081 Furniture Brands International, Inc. 33,100 426 Jarden Corp.* 13,832 1,386 La-Z-Boy, Inc. 30,811 3,719 Leggett & Platt, Inc. 91,636 265 Libbey, Inc. 7,648 1,294 Mohawk Industries, Inc.* 90,037 5,306 Newell Rubbermaid, Inc. 129,626 646 Select Comfort Corp.* 15,039 1,275 Tupperware Corp. 22,504 --------------- 479,288 --------------- HOME IMPROVEMENT CHAINS (1.0%) 1,470 Fastenal Co. 70,678 44,085 Home Depot, Inc. (The) 1,563,695 15,236 Lowe's Companies, Inc. 815,888 2,850 Sherwin-Williams Co. $ 96,159 --------------- 2,546,420 --------------- HOSPITAL/NURSING MANAGEMENT (0.4%) 444 Amsurg Corp.* 16,721 2,091 Beverly Enterprises, Inc.* 16,686 2,039 Community Health Systems Inc.* 57,622 9,601 HCA, Inc. 431,085 4,631 Health Management Associates, Inc. (Class A) 113,506 732 LifePoint Hospitals, Inc.* 25,261 1,727 Manor Care, Inc. 61,654 981 Orthodontic Centers of America, Inc.* 7,691 951 Province Healthcare Co.* 17,308 1,876 Select Medical Corp. 32,455 566 Sunrise Assisted Living, Inc.* 22,917 9,197 Tenet Healthcare Corp.* 114,043 1,525 Triad Hospitals, Inc.* 54,671 542 United Surgical Partners International Inc.* 20,672 1,123 Universal Health Services, Inc. (Class B) 61,675 1,731 US Oncology, Inc.* 22,745 --------------- 1,076,712 --------------- HOTELS/RESORTS/ CRUISELINES (0.5%) 760 Boca Resorts, Inc. (Class A)* 12,532 12,205 Carnival Corp. (Panama) 542,146 870 Choice Hotels International, Inc. 33,060 2,010 Extended Stay America, Inc. 30,753 1,101 Gaylord Entertainment Co.* 31,962 7,351 Hilton Hotels Corp. 117,616 3,606 La Quinta Corp.* 27,153 576 Marcus Corp. (The) 9,504 4,532 Marriott International, Inc. (Class A) 201,175 873 Prime Hospitality Corp.* 8,957
SEE NOTES TO FINANCIAL STATEMENTS 18
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 3,741 Royal Caribbean Cruises Ltd. (Liberia) $ 158,506 3,977 Starwood Hotels & Resorts Worldwide, Inc. 140,547 542 Vail Resorts, Inc.* 9,577 --------------- 1,323,488 --------------- HOUSEHOLD/PERSONAL CARE (2.0%) 1,139 Alberto-Culver Co. (Class B) 71,393 4,583 Avon Products, Inc. 290,196 784 Church & Dwight Co., Inc. 31,242 4,089 Clorox Co. (The) 199,870 10,410 Colgate-Palmolive Co. 533,721 1,868 Dial Corp. (The) 53,425 2,352 Estee Lauder Companies, Inc. (The) (Class A) 96,361 19,603 Gillette Co. (The) 710,609 1,815 International Flavors & Fragrances, Inc. 66,538 9,774 Kimberly-Clark Corp. 577,252 1,368 Nu Skin Enterprises, Inc. (Class A) 26,539 1,191 Playtex Products, Inc.* 9,754 25,125 Procter & Gamble Co. (The) 2,539,635 --------------- 5,206,535 --------------- INDUSTRIAL CONGLOMERATES (3.7%) 15,208 3M Co. 1,202,801 1,684 ALLETE, Inc. 55,151 194,915 General Electric Co.** 6,554,991 16,732 Honeywell International, Inc. 604,360 3,333 Ingersoll Rand Co. (Class A) (Bermuda) 221,744 1,788 ITT Industries, Inc. 133,278 1,476 SPX Corp.* 83,748 2,636 Textron, Inc. 140,446 9,153 United Technologies Corp. 874,478 816 Walter Industries, Inc. 9,792 --------------- 9,880,789 --------------- INDUSTRIAL MACHINERY (0.4%) 458 Actuant Corp. (Class A)* 16,644 764 FLIR Systems, Inc.* $ 27,657 1,244 Flowserve Corp.* 23,947 769 FuelCell Energy, Inc.* 10,082 891 Graco Inc. 36,736 897 IDEX Corp. 37,405 6,011 Illinois Tool Works Inc. 469,459 876 Kennametal Inc. 37,142 941 Lincoln Electric Holdings, Inc. 23,280 942 Nordson Corp. 34,119 2,307 Parker-Hannifin Corp. 126,862 489 Regal-Beloit Corp. 10,000 695 Roper Industries, Inc. 33,701 377 Tecumseh Products Co. (Class A) 16,803 532 Watts Water Technologies, Inc. 11,810 217 Woodward Governor Co. 12,781 --------------- 928,428 --------------- INDUSTRIAL SPECIALTIES (0.3%) 719 Buckeye Technologies Inc.* 6,464 664 Cabot Microelectronics Corp.* 30,146 840 Donaldson Co., Inc. 45,377 4,992 Ecolab Inc. 135,633 1,228 Ferro Corp. 31,867 625 Fuller (H.B.) Co. 17,500 1,306 GrafTech International Ltd.* 16,247 543 Headwaters Inc.* 12,581 740 MacDermid, Inc. 25,375 717 Mine Safety Appliances Co. 20,442 412 Minerals Technologies, Inc. 21,807 3,292 PPG Industries, Inc. 191,693 315 Rogers Corp.* 14,663 2,325 RPM International, Inc. 39,292 651 Spartech Corp. 15,689 611 Symyx Technologies, Inc.* 15,984 981 Valspar Corp. (The) 48,559 325 WD-40 Co. 9,912 --------------- 699,231 --------------- INFORMATION TECHNOLOGY SERVICES (1.7%) 1,015 American Management Systems, Inc.* 16,819
SEE NOTES TO FINANCIAL STATEMENTS 19
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 599 Anteon International Corp.* $ 17,425 3,768 BearingPoint, Inc.* 36,173 513 Black Box Corp. 26,691 586 CACI International Inc. (Class A)* 25,919 1,236 CIBER, Inc.* 11,445 3,180 Citrix Systems, Inc.* 63,950 1,193 Cognizant Technology Solutions Corp.* 64,458 9,378 Electronic Data Systems Corp. 224,697 857 Epicor Software Corp.* 13,592 1,728 Henry (Jack) & Associates, Inc. 31,553 5,912 Infonet Services Corp. (Class B)* 12,533 988 Intergraph Corp.* 23,959 33,335 International Business Machines Corp. 3,307,832 557 JDA Software Group, Inc.* 8,656 1,745 Keane, Inc.* 28,147 12,788 Level 3 Communications, Inc.* 76,728 320 ManTech International Corp.* 6,848 339 MICROS Systems, Inc.* 15,191 7,083 PeopleSoft, Inc.* 152,639 2,521 Perot Systems Corp. (Class A)* 34,008 639 QAD, Inc.* 9,949 1,299 Reynolds & Reynolds Co. (The) (Class A) 34,566 1,240 RSA Security, Inc.* 20,497 2,357 Sapient Corp.* 14,472 314 SRA International, Inc. (Class A)* 11,737 1,197 Syntel, Inc. 34,569 660 Systems & Computer Technology Corp.* 10,857 6,402 Unisys Corp.* 88,604 582 Verint Systems Inc.* 14,317 1,558 Wind River Systems, Inc.* $ 13,056 --------------- 4,451,887 --------------- INSURANCE BROKERS/ SERVICES (0.3%) 6,134 AON Corp. 150,712 1,336 Brown & Brown, Inc. 46,306 512 CCC Information Services Group, Inc.* 9,446 1,589 ChoicePoint Inc.* 61,177 948 Crawford & Co. (Class B) 6,503 1,768 Gallagher (Arthur J.) & Co. 55,303 764 Hilb, Rogal & Hamilton Co. 24,425 10,274 Marsh & McLennan Companies, Inc. 482,159 --------------- 836,031 --------------- INTEGRATED OIL (3.1%) 1,745 Amerada Hess Corp. 98,401 20,712 ChevronTexaco Corp. 1,788,481 812 Cimarex Energy Co.* 21,421 13,228 ConocoPhillips 871,461 128,071 Exxon Mobil Corp. 5,224,016 1,835 Murphy Oil Corp. 111,128 --------------- 8,114,908 --------------- INTERNET RETAIL (0.3%) 7,771 Amazon.com, Inc.* 392,280 1,364 Drugstore.com, Inc.* 9,262 488 Interactive Corp. (Warrants) (due 02/04/09)* 19,339 12,536 InterActiveCorp* 406,166 403 Netflix Inc.* 29,592 --------------- 856,639 --------------- INTERNET SOFTWARE/ SERVICES (0.5%) 1,002 Agile Software Corp.* 10,421 2,333 Akamai Technologies, Inc.* 30,142 6,074 Ariba, Inc.* 19,741 951 Ask Jeeves, Inc.* 20,646 7,861 BEA Systems, Inc.* 99,284 1,827 Borland Software Corp.* 18,836
SEE NOTES TO FINANCIAL STATEMENTS 20
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 9,125 CMGI Inc.* $ 25,185 3,333 CNET Networks, Inc.* 35,796 638 Digital Insight Corp.* 14,463 600 Digital River, Inc.* 14,208 1,146 Digitas Inc.* 12,950 3,167 Earthlink, Inc.* 29,801 792 GSI Commerce, Inc.* 7,904 4,035 Internap Network Services Corp.* 9,240 1,125 Internet Security Systems, Inc.* 20,070 447 J2 Global Communications, Inc.* 10,290 897 Lionbridge Technologies, Inc.* 7,095 237 MicroStrategy Inc. (Class A)* 14,786 674 Netegrity, Inc.* 6,706 1,137 NIC INC* 8,982 1,181 Openwave Systems, Inc.* 17,526 620 Packeteer, Inc.* 10,317 530 PEC Solutions, Inc.* 7,632 1,098 Progress Software Corp.* 24,496 2,958 RealNetworks, Inc.* 16,476 1,369 S1 Corp.* 11,773 627 Secure Computing Corp.* 10,753 9,608 Siebel Systems, Inc.* 128,075 1,321 SonicWALL, Inc.* 12,365 670 Support.com, Inc.* 8,971 1,194 United Online, Inc.* 22,232 4,873 VeriSign, Inc.* 85,180 6,854 Vignette Corp.* 16,313 816 WebEx Communications, Inc.* 15,953 1,016 webMethods, Inc.* 10,912 429 Websense, Inc. 14,114 12,631 Yahoo! Inc.* 591,762 --------------- 1,421,396 --------------- INVESTMENT BANKS/ BROKERS (1.8%) 8,182 AmeriTrade Holding Corp.* 129,685 1,899 Bear Stearns Companies, Inc. (The) 156,383 639 Chicago Marcantile Exchange (The) $ 55,861 7,093 E*TRADE Group, Inc.* 99,231 1,553 Edwards (A.G.), Inc. 59,092 590 eSPEED, Inc (Class A)* 13,275 9,174 Goldman Sachs Group, Inc. (The) 913,272 1,058 Investment Technology Group, Inc.* 17,193 1,056 Jefferies Group, Inc. 40,065 2,213 Knight Trading Group, Inc.* 30,539 1,355 LaBranche & Co., Inc.* 13,523 1,283 Legg Mason, Inc. 113,610 5,261 Lehman Brothers Holdings Inc. 431,928 18,255 Merrill Lynch & Co., Inc. 1,073,211 21,161 Morgan Stanley (Note 4) 1,231,782 376 Piper Jaffray Companies, Inc.* 17,653 949 Raymond James Financial, Inc. 36,100 26,285 Schwab (Charles) Corp. (The) 330,928 802 Tradestation Group Inc.* 8,004 --------------- 4,771,335 --------------- INVESTMENT MANAGERS (0.4%) 413 Affiliated Managers Group, Inc.* 35,022 1,502 Alliance Capital Management Holding L.P. 55,364 490 BlackRock, Inc. 28,430 1,336 Eaton Vance Corp. (Non-Voting) 50,434 2,105 Federated Investors, Inc. (Class B) 65,023 4,863 Franklin Resources, Inc. 280,936 1,265 Investors Financial Services Corp. 52,422 4,663 Janus Capital Group, Inc. 78,245 8,336 Mellon Financial Corp. 272,671 1,797 Nuveen Investments (Class A) 51,772 2,413 Price (T.) Rowe Group, Inc. 125,790 1,596 Waddell & Reed Financial, Inc. (Class A) 42,358 --------------- 1,138,467 ---------------
SEE NOTES TO FINANCIAL STATEMENTS 21
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ INVESTMENT TRUSTS/ MUTUAL FUNDS (0.0%) 418 BP Prudhoe Bay Royalty Trust $ 10,759 28 Cross Timbers Royalty Trust 731 1,322 Hugoton Royalty Trust 25,356 --------------- 36,846 --------------- LIFE/HEALTH INSURANCE (0.7%) 9,937 AFLAC, Inc. 366,477 513 American National Insurance Co. 46,272 676 AmerUs Group Co. 24,775 680 Citizens, Inc.* 6,344 823 Delphi Financial Group, Inc. (Class A) 31,142 893 FBL Financial Group, Inc. (Class A) 24,763 1,075 Great American Financial Resources, Inc. 17,566 2,740 Jefferson-Pilot Corp. 140,672 233 Kansas City Life Insurance Co. 10,716 3,449 Lincoln National Corp. 152,273 14,841 MetLife, Inc. 497,916 65 National Western Life Insurance Co. (Class A)* 10,154 2,405 Phoenix Companies Ltd. 30,544 573 Presidential Life Corp. 8,429 1,401 Protective Life Corp. 49,595 1,172 Reinsurance Group of America, Inc. 46,423 533 StanCorp Financial Group, Inc. 34,645 1,038 The MONY Group Inc.* 32,957 2,230 Torchmark Corp. 105,791 872 UICI* 11,074 1,049 Universal American Financial Corp.* 10,899 5,778 UnumProvident Corp. 90,310 --------------- 1,749,737 --------------- MAJOR BANKS (3.9%) 28,789 Bank of America Corp. 2,345,152 15,069 Bank of New York Co., Inc. (The) $ 478,441 21,661 Bank One Corp. 1,096,263 10,543 BB&T Corp. 91,145 3,398 Comerica, Inc. 194,060 20,473 FleetBoston Financial Corp. 912,686 4,435 Huntington Bancshares, Inc. 99,034 8,121 KeyCorp 252,482 11,779 National City Corp. 406,611 5,372 PNC Financial Services Group. 303,572 2,583 Popular, Inc. 114,324 6,429 SouthTrust Corp. 218,522 5,496 SunTrust Banks, Inc. 397,691 2,818 UnionBanCal Corp. 149,608 25,649 Wachovia Corp. 1,186,010 32,675 Wells Fargo & Co. 1,875,872 --------------- 10,421,473 --------------- MAJOR TELECOMMUNICATIONS (2.1%) 6,088 ALLTEL Corp. 296,364 15,146 AT&T Corp. 294,741 35,809 BellSouth Corp. 1,046,697 5,323 Cincinnati Bell Inc. 29,277 1,276 Primus Telecommunications Group, Inc.* 15,401 64,147 SBC Communications, Inc. 1,635,749 17,515 Sprint Corp. (FON Group) 304,936 53,508 Verizon Communications Inc. 1,972,305 --------------- 5,595,470 --------------- MANAGED HEALTH CARE (0.8%) 2,966 Aetna, Inc. 207,620 399 AMERIGROUP Corp.* 16,279 2,679 Anthem, Inc.* 219,089 5,234 Caremark Rx, Inc.* 140,010 383 Centene Corp.* 12,183 2,723 CIGNA Corp. 168,880 1,172 Coventry Health Care, Inc.* 77,704 1,921 First Health Group Corp.* 38,074 2,202 Health Net Inc.* 73,327 3,025 Humana, Inc.* 70,573
SEE NOTES TO FINANCIAL STATEMENTS 22
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 903 Mid Atlantic Medical Services, Inc.* $ 61,178 1,569 Oxford Health Plans, Inc. 75,626 1,462 PacifiCare Health Systems, Inc.* 48,027 506 Sierra Health Services, Inc.* 14,876 11,367 UnitedHealth Group Inc. 692,023 326 WellChoice, Inc.* 11,932 2,866 WellPoint Health Networks, Inc.* 300,930 --------------- 2,228,331 --------------- MARINE SHIPPING (0.0%) 809 Alexander & Baldwin, Inc. 26,106 1,540 CMI Corp. (Class A) 15,292 722 General Maritime Corp. 15,162 629 Kirby Corp.* 20,675 --------------- 77,235 --------------- MEDIA CONGLOMERATES (1.5%) 39,631 Disney (Walt) Co. (The) 951,144 2,040 News Corporation Ltd. (The) (Pref.) (ADR) (Australia) 65,402 87,613 Time Warner Inc.* 1,539,360 33,893 Viacom Inc. (Class B) (Non-Voting) 1,365,888 --------------- 3,921,794 --------------- MEDICAL DISTRIBUTORS (0.4%) 2,194 AmerisourceBergen Corp. 120,780 1,518 Andrx Group* 37,996 8,389 Cardinal Health, Inc. 537,819 846 Henry Schein, Inc.* 59,338 5,767 McKesson Corp. 169,434 649 Owens & Minor, Inc. 14,895 1,344 Patterson Dental Co.* 88,637 484 PolyMedica Industries, Inc. 12,826 943 Priority Healthcare Corp. (Class B)* 24,414 1,307 PSS World Medical, Inc.* 16,494 --------------- 1,082,633 --------------- MEDICAL SPECIALTIES (2.1%) 568 Advanced Medical Optics, Inc.* $ 13,002 420 Advanced Neuromodulation System* 18,560 1,410 Alaris Medical Systems, Inc.* 28,200 1,228 Align Technology, Inc.* 25,604 643 American Medical System Holdings* 17,875 339 Analogic Corp. 14,475 1,795 Apogent Technologies Inc.* 48,752 4,130 Applera Corp. - Applied Biosystems Group 97,633 1,344 Arrow International, Inc. 36,221 403 ArthroCare Corp.* 9,861 409 Atrix Laboratories, Inc.* 10,417 1,027 Bard (C.R.), Inc. 96,743 1,016 Bausch & Lomb, Inc. 54,610 11,888 Baxter International, Inc. 346,535 1,195 Beckman Coulter, Inc. 65,139 5,006 Becton, Dickinson & Co. 225,570 5,056 Biomet, Inc. 195,465 507 Bio-Rad Laboratories, Inc. (Class A)* 27,403 375 Biosite Diagnostics Inc.* 10,481 15,872 Boston Scientific Corp.* 647,419 639 CONMED Corp.* 16,371 762 Cooper Companies, Inc. (The) 36,881 839 CTI Molecular Imaging, Inc.* 14,028 435 Cyberonics Inc.* 13,202 2,224 Cytyc Corp.* 36,029 782 Dade Behring Holdings, Inc.* 30,303 288 Datascope Corp. 10,037 1,462 DENTSPLY International, Inc. 61,404 576 Diagnostic Products Corp. 27,907 362 Digene Corp.* 15,114 1,148 Edwards Lifesciences Corp.* 39,985 6,026 Guidant Corp. 384,941 470 Haemonetics Corp.* 13,395 1,234 Hillenbrand Industries, Inc. 77,125
SEE NOTES TO FINANCIAL STATEMENTS 23
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 556 IGEN International, Inc.* $ 35,022 379 Immucor, Inc.* 8,190 448 INAMED Corp.* 23,090 604 Integra LifeSciences Holding, Inc.* 19,648 521 Intuitive Surgical, Inc.* 9,175 669 Invacare Corp. 28,647 1,243 KV Pharmaceutical Co. (Class A)* 31,286 754 Kyphon Inc.* 21,858 23,485 Medtronic, Inc. 1,155,932 1,095 Mentor Corp. 31,098 499 Merit Medical Systems, Inc.* 10,969 950 Millipore Corp.* 49,353 465 Ocular Sciences, Inc.* 14,220 752 OraSure Technologies, Inc.* 7,009 2,422 Pall Corp. 62,972 355 Penwest Pharmaceuticals Co.* 6,102 2,661 Peregrine Pharmaceuticals, Inc.* 6,466 2,458 PerkinElmer, Inc. 50,758 727 ResMed, Inc.* 32,024 692 Respironics, Inc.* 34,074 3,342 St. Jude Medical, Inc.* 240,123 1,440 STERIS Corp.* 36,432 3,896 Stryker Corp. 345,731 378 SurModics, Inc.* 7,851 853 Sybron Dental Specialties, Inc.* 23,969 807 Therasense, Inc.* 21,587 1,215 Thoratec Corp.* 18,711 1,328 Varian Medical Systems, Inc.* 110,144 324 Ventana Medical Systems, Inc.* 14,301 586 Viasys Healthcare, Inc.* 13,923 1,030 VISX, Inc.* 20,569 252 Vital Signs, Inc. 8,946 283 West Pharmaceutical Services, Inc. 10,075 673 Wright Medical Group, Inc.* 21,947 4,431 Zimmer Holdings, Inc.* $ 338,972 --------------- 5,637,861 --------------- MEDICAL/NURSING SERVICES (0.1%) 612 American Healthways, Inc.* 16,879 1,213 Apria Healthcare Group, Inc.* 36,936 1,296 DaVita, Inc.* 51,996 1,265 Hooper Holmes, Inc. 8,703 349 Kindred Healthcare, Inc.* 19,537 1,906 Lincare Holdings, Inc.* 61,335 581 Pediatrix Medical Group, Inc.* 34,163 965 Renal Care Group, Inc.* 41,891 1,193 VCA Antech, Inc.* 34,001 --------------- 305,441 --------------- METAL FABRICATIONS (0.1%) 546 Commercial Metals Co. 15,528 808 Harsco Corp. 37,168 1,034 Kaydon Corp. 28,549 669 Mueller Industries, Inc.* 20,619 1,683 Timken Co. (The) 37,110 --------------- 138,974 --------------- MISCELLANEOUS COMMERCIAL SERVICES (0.3%) 1,371 ABM Industries Inc. 24,747 1,180 Bright Horizons Family Solutions, Inc.* 52,097 1,678 Century Business Services, Inc.* 7,954 2,011 Copart, Inc.* 33,885 722 Corporate Executive Board Co. 34,476 312 Costar Group, Inc.* 12,907 673 DiamondCluster International, Inc. (Class A)* 7,396 2,272 Exult Inc.* 14,336 958 FTI Consulting, Inc.* 14,370 666 G & K Services, Inc. (Class A) 25,808 2,393 Gartner, Inc. (Class B)* 26,084
SEE NOTES TO FINANCIAL STATEMENTS 24
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 419 Global Imaging Systems, Inc.* $ 13,274 2,837 IKON Office Solutions, Inc. 33,789 1,654 Iron Mountain Inc.* 68,856 745 Kroll Inc.* 20,041 479 MAXIMUS, Inc.* 18,442 235 MemberWorks Inc.* 8,641 849 Navigant Consulting, Inc.* 15,392 489 ProQuest Co.* 15,448 2,790 Sabre Holdings Corp. 58,897 316 SOURCECORP, Inc.* 8,333 278 StarTek, Inc. 11,092 891 Sylvan Learning Systems, Inc.* 26,917 1,449 TeleTech Holdings, Inc.* 15,084 1,413 The Brink's Co. 33,502 1,712 Viad Corp. 42,920 1,044 Wireless Facilities, Inc.* 14,940 --------------- 659,628 --------------- MISCELLANEOUS MANUFACTURING (0.3%) 708 Ametek, Inc. 36,462 619 Brady (W.H.) Co. (Class A) 23,442 598 Carlisle Companies, Inc. 34,780 1,151 Crane Co. 34,576 398 CUNO, Inc.* 16,589 2,990 Danaher Corp. 273,735 688 Dionex Corp.* 36,842 3,955 Dover Corp. 163,421 1,463 Jacuzzi Brands, Inc.* 12,582 957 Pentair, Inc. 43,716 782 Smith (A.O.) Corp. 24,406 769 Teleflex Inc. 37,604 743 Tredegar Corp. 11,635 464 Valmont Industries, Inc. 10,134 --------------- 759,924 --------------- MOTOR VEHICLES (0.5%) 35,641 Ford Motor Co. 518,220 10,909 General Motors Corp. 541,959 5,870 Harley-Davidson, Inc. 299,605 --------------- 1,359,784 --------------- MOVIES/ENTERTAINMENT (0.2%) 717 AMC Entertainment, Inc.* $ 11,042 985 Cedar Fair, L.P. 30,732 1,441 Crown Media Holdings, Inc. (Class A)* 12,263 6,829 Fox Entertainment Group, Inc. (Class A)* 204,460 1,031 International Speedway Corp. (Class A) 48,467 5,029 Metro-Goldwyn-Mayer Inc.* 80,011 1,071 Pixar, Inc.* 71,222 1,207 Regal Entertainment Group (Class A) 24,345 2,012 Six Flags, Inc. 14,567 1,092 Speedway Motorsports, Inc. 33,568 1,332 TiVo Inc.* 14,346 --------------- 545,023 --------------- MULTI-LINE INSURANCE (1.7%) 50,531 American International Group, Inc. 3,509,378 4,246 CNA Financial Corp.* 109,419 5,514 Hartford Financial Services Group, Inc. (The) 354,771 1,175 HCC Insurance Holdings, Inc. 36,190 1,032 Horace Mann Educators Corp. 16,099 3,533 Loews Corp. 189,581 1,164 Nationwide Financial Services, Inc. (Class A) 41,729 2,735 Safeco Corp. 119,055 1,319 Unitrin, Inc. 58,115 367 Zenith National Insurance Corp. 12,783 --------------- 4,447,120 --------------- OFFICE EQUIPMENT/ SUPPLIES (0.2%) 2,140 Avery Dennison Corp. 133,022 1,130 Hon Industries, Inc. 47,313 1,097 Kimball International, Inc. (Class B) 17,892
SEE NOTES TO FINANCIAL STATEMENTS 25
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 1,422 Miller (Herman), Inc. $ 34,327 4,568 Pitney Bowes, Inc. 185,369 855 Steelcase, Inc. (Class A) 11,654 --------------- 429,577 --------------- OIL & GAS PIPELINES (0.2%) 799 Buckeye Partners, L.P. 33,398 11,759 El Paso Corp. 99,952 196 Enbridge Energy Management, LLC* 9,409 4,134 Enterprise Products Partners L.P. 95,867 948 Kinder Morgan Management, LLC* 40,036 267 Magellan Midstream Parners, L.P. 13,796 862 Plains All American Pipeline, L.P. 27,213 323 TC Pipelines, L.P. 10,498 1,221 TEPPCO Partners, L.P. 47,033 644 Western Gas Resources, Inc. 29,882 10,218 Williams Companies, Inc. (The) 103,611 --------------- 510,695 --------------- OIL & GAS PRODUCTION (1.0%) 4,861 Anadarko Petroleum Corp. 242,564 6,280 Apache Corp. 241,654 408 Berry Petroleum Co. (Class A) 7,862 750 Brown (Tom), Inc.* 23,325 3,849 Burlington Resources, Inc. 210,694 790 Cabot Oil & Gas Corp. 24,095 4,455 Chesapeake Energy Corp. 55,509 625 Comstock Resources Inc.* 10,925 1,316 Denbury Resources Inc.* 18,740 4,506 Devon Energy Corp. 254,409 909 Encore Acquisition Co.* 23,107 626 Energy Partners, Ltd.* 8,582 2,230 EOG Resources, Inc. 101,019 964 Evergreen Resources, Inc.* 31,176 1,042 Forest Oil Corp.* $ 25,894 801 Houston Exploration Co. (The)* 28,956 805 Kcs Energy Inc* 8,042 1,954 Kerr-McGee Corp. 95,199 1,313 Magnum Hunter Resources, Inc.* 11,476 1,085 Newfield Exploration Co.* 51,201 1,100 Noble Energy, Inc. 48,620 378 Nuevo Energy Co.* 9,998 7,462 Occidental Petroleum Corp. 328,701 661 Patina Oil & Gas Corp. 28,985 175 Penn Virginia Corp. 9,662 2,287 Pioneer Natural Resources Co.* 73,001 790 Plains Exploration & Production Co.* 12,142 1,275 Pogo Producing Co. 50,873 350 Quicksilver Resources Inc.* 11,984 1,093 Range Resources Corp. 11,258 523 Remington Oil & Gas Corp.* 9,864 844 Southwestern Energy Co.* 17,429 646 Spinnaker Exploration Co.* 21,977 681 St. Mary Land & Exploration Co. 19,545 559 Stone Energy Corp.* 23,545 535 Swift Energy Co.* 8,924 1,441 Ultra Petroleum Corp. (Canada)* 35,103 940 Unit Corp.* 23,340 5,017 Unocal Corp. 184,726 1,388 Vintage Petroleum, Inc. 17,378 1,304 Westport Resources Corp.* 38,064 3,571 XTO Energy Inc. 93,667 --------------- 2,553,215 --------------- OIL REFINING/MARKETING (0.2%) 1,333 Ashland, Inc. 61,731 510 Frontier Oil Corp. 9,073 303 Holly Corp. 8,454 6,011 Marathon Oil Corp. 195,237 1,251 Premcor Inc.* 37,880
SEE NOTES TO FINANCIAL STATEMENTS 26
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 1,502 Sunoco, Inc. $ 83,286 1,262 Tesoro Petroleum Corp.* 19,182 2,365 Valero Energy Corp. 125,156 --------------- 539,999 --------------- OILFIELD SERVICES/ EQUIPMENT (0.8%) 6,488 Baker Hughes Inc. 227,599 3,067 BJ Services Co.* 120,042 859 Cal Dive International, Inc.* 19,740 493 Carbo Ceramics, Inc. 26,597 1,046 Cooper Cameron Corp.* 43,618 1,283 FMC Technologies, Inc.* 31,575 2,148 Global Industries Ltd.* 10,933 2,452 Grant Prideco, Inc.* 33,347 8,488 Halliburton Co. 255,913 1,370 Hanover Compressor Co.* 17,084 484 Hydril Co.* 12,071 3,095 Key Energy Services, Inc.* 34,602 624 Lone Star Technologies, Inc.* 10,259 819 Maverick Tube Corp.* 14,873 1,283 McDermott International, Inc.* 13,664 1,674 National-Oilwell, Inc.* 43,039 545 Oceaneering International, Inc.* 16,977 440 Offshore Logistics, Inc.* 9,394 1,262 Oil States International Inc.* 19,271 676 Overseas Shipholding Group, Inc. 23,809 11,375 Schlumberger Ltd. (Netherlands; Antilles) 695,923 366 SEACOR Holdings, Inc.* 15,130 1,940 Smith International, Inc.* 94,012 1,730 Superior Energy Services, Inc.* 16,695 1,174 Tidewater, Inc. 37,627 760 Universal Compression Holdings, Inc.* 23,309 262 Valero L.P. 13,166 1,891 Varco International, Inc.* 41,035 652 Veritas DGC Inc.* 8,280 2,521 Weatherford International Ltd. (Bermuda)* $ 101,647 589 W-H Energy Services Inc.* 9,324 --------------- 2,040,555 --------------- OTHER CONSUMER SERVICES (0.9%) 778 Alderwoods Group, Inc.* 7,784 3,466 Apollo Group, Inc. (Class A)* 257,385 724 Autobytel.com, Inc.* 8,970 3,454 Block (H.&R.), Inc. 200,090 1,850 Career Education Corp.* 93,166 19,632 Cendant Corp.* 444,665 705 Central Parking Corp. 14,100 918 Corinthian Colleges, Inc.* 57,182 1,357 DeVry, Inc.* 40,208 12,536 eBay Inc.* 840,288 1,234 Education Management Corp.* 41,425 631 HealthExtras, Inc.* 6,512 2,340 Homestore.com, Inc.* 10,109 839 ITT Educational Services, Inc.* 46,455 339 Pre-Paid Legal Services, Inc.* 7,726 785 Priceline.com Inc.* 15,001 807 Renaissance Learning, Inc. 23,871 881 Rollins, Inc. 22,289 6,015 Service Corp. International* 41,323 5,760 ServiceMaster Co. (The) 62,496 1,202 Sotheby's Holdings, Inc. (Class A)* 16,852 2,045 Stewart Enterprises, Inc. (Class A)* 13,068 199 Strayer Education, Inc. 22,467 2,154 Weight Watchers International, Inc.* 81,960 --------------- 2,375,392 --------------- OTHER CONSUMER SPECIALTIES (0.1%) 2,826 Fortune Brands, Inc. 198,244
SEE NOTES TO FINANCIAL STATEMENTS 27
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 1,049 Fossil, Inc.* $ 30,431 690 Matthews International Corp. (Class A) 20,700 335 RC2 Corp.* 8,224 449 Russ Berrie & Co., Inc. 14,202 --------------- 271,801 --------------- OTHER METALS/MINERALS (0.1%) 2,143 Hecla Mining Co.* 16,073 1,293 Olin Corp. 24,658 1,738 Phelps Dodge Corp.* 131,514 1,974 USEC Inc. 16,345 --------------- 188,590 --------------- PACKAGED SOFTWARE (3.6%) 4,534 Adobe Systems, Inc. 174,378 480 Altiris, Inc.* 17,352 294 ANSYS, Inc.* 11,157 1,151 Ascential Software Corp.* 27,854 1,064 Aspect Communications Corp.* 18,567 2,162 Autodesk, Inc. 55,239 4,384 BMC Software, Inc.* 87,242 11,220 Computer Associates International, Inc. 293,291 7,827 Compuware Corp.* 62,851 1,439 E.piphany, Inc.* 12,275 934 Fair Isaac Corp. 55,452 1,052 FileNET Corp.* 30,824 873 Hyperion Solutions Corp.* 30,005 754 Inet Technologies, Inc.* 11,257 2,274 Informatica Corp.* 22,490 3,846 Intuit Inc.* 193,915 1,378 Macromedia, Inc.* 24,873 1,144 Macrovision Corp.* 27,685 745 Magma Design Automation, Inc.* 21,344 611 Manhattan Associates, Inc.* 17,169 1,371 Manugistics Group, Inc.* 11,023 1,800 Mercury Interactive Corp.* 84,492 1,928 Micromuse Inc.* 15,501 209,502 Microsoft Corp. 5,792,730 1,315 NetIQ Corp.* 17,529 2,996 Network Associates, Inc.* $ 51,981 7,235 Novell, Inc.* 91,885 101,271 Oracle Corp.* 1,398,553 191 PalmSource, Inc.* 3,534 6,243 Parametric Technology Corp.* 26,158 2,161 Quest Software, Inc.* 36,348 3,343 Red Hat, Inc.* 63,617 1,053 Retek, Inc.* 10,119 1,029 Serena Software, Inc.* 23,811 1,844 Sybase, Inc.* 39,867 6,026 Symantec Corp.* 233,809 4,122 TIBCO Software, Inc.* 32,399 696 Transaction Systems Architects, Inc. (Class A)* 15,618 820 Ulticom, Inc.* 9,102 8,248 VERITAS Software Corp.* 271,029 831 Verity, Inc.* 13,288 --------------- 9,437,613 --------------- PERSONNEL SERVICES (0.1%) 739 AMN Healthcare Services, Inc.* 14,189 380 CDI Corp. 12,373 485 Gentiva Health Services, Inc.* 6,058 805 Kelly Services, Inc. (Class A) 23,426 732 Korn/Ferry International* 9,370 785 Labor Ready, Inc.* 10,323 1,510 Manpower, Inc. 70,034 2,185 Monster Worldwide Inc.* 53,489 2,551 MPS Group, Inc.* 26,148 438 Resources Connection Inc.* 15,006 3,318 Robert Half International, Inc.* 77,940 1,163 Spherion Corp.* 11,293 942 Watson Wyatt & Co. Holdings (Class A)* 21,525 --------------- 351,174 --------------- PHARMACEUTICALS: GENERIC DRUGS (0.2%) 1,113 Alpharma Inc. (Class A) 24,174
SEE NOTES TO FINANCIAL STATEMENTS 28
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 1,264 Barr Laboratories, Inc.* $ 95,167 858 Eon Labs, Inc.* 49,018 1,026 Impax Laboratories, Inc.* 19,391 3,806 IVAX Corp.* 95,150 5,209 Mylan Laboratories, Inc. 127,048 706 Pharmaceutical Resources, Inc.* 43,779 1,652 Valeant Pharmaceuticals International 38,789 2,117 Watson Pharmaceuticals, Inc.* 98,462 --------------- 590,978 --------------- PHARMACEUTICALS: MAJOR (6.0%) 30,291 Abbott Laboratories 1,304,936 37,576 Bristol-Myers Squibb Co. 1,054,007 57,511 Johnson & Johnson 3,072,238 21,757 Lilly (Eli) & Co. 1,480,346 43,111 Merck & Co. Inc. 2,052,084 147,868 Pfizer Inc. 5,416,405 28,471 Schering-Plough Corp. 499,381 25,805 Wyeth 1,056,715 --------------- 15,936,112 --------------- PHARMACEUTICALS: OTHER (0.4%) 2,554 Allergan, Inc. 211,599 713 AtheroGenics, Inc.* 14,866 662 Cell Therapeutics, Inc.* 6,428 283 Cima Labs, Inc.* 9,373 767 Columbia Laboratories, Inc.* 5,484 730 Connetics Corp.* 16,067 2,636 Endo Pharmaceuticals Holdings, Inc.* 57,017 656 Esperion Therapeutics, Inc.* 22,671 680 First Horizon Pharmaceutical Corp.* 10,880 7,084 Forest Laboratories, Inc.* 527,687 620 Inspire Pharmaceuticals, Inc.* 8,072 516 Inveresk Research Group Inc.* 12,209 330 Inverness Medical Innovations, Inc.* 7,623 4,761 King Pharmaceuticals, Inc.* 79,413 419 Kos Pharmaceuticals, Inc.* 21,373 1,056 Medicis Pharmaceutical Corp. (Class A) $ 38,396 1,732 Perrigo Co. 28,872 554 POZEN Inc.* 8,277 421 Salix Pharmaceuticals, Ltd.* 9,611 1,764 Sepracor, Inc.* 47,716 437 Teva Pharmaceutical Industries Ltd. (ADR) (Israel) 27,379 414 United Therapeutics Corp.* 8,632 --------------- 1,179,645 --------------- PRECIOUS METALS (0.2%) 4,027 Coeur D'Alene Mines Corp.* 21,947 3,288 Freeport-McMoRan Copper & Gold, Inc. (Class B) 121,196 2,496 Glamis Gold Ltd. (Canada)* 37,440 1,933 Meridian Gold Inc. (Canada)* 25,129 7,967 Newmont Mining Corp. 331,905 1,752 Stillwater Mining Co.* 20,078 --------------- 557,695 --------------- PROPERTY - CASUALTY INSURERS (1.8%) 2,307 21st Century Insurance Group 33,105 1,715 Alfa Corp. 23,101 146 Alleghany Corp.* 34,018 1,044 Allmerica Financial Corp.* 36,206 13,632 Allstate Corp. (The) 619,711 1,153 American Financial Group, Inc. 32,999 681 Arch Capital Group Ltd. (Bermuda)* 29,869 1,710 Berkley (W.R.) Corp. 65,852 22 Berkshire Hathaway, Inc. (Class A)* 1,968,780 3,660 Chubb Corp. (The) 261,653 3,195 Cincinnati Financial Corp. 138,407 667 Commerce Group, Inc. (The) 28,194 1,242 Erie Indemnity Co. (Class A) 53,530 617 Harleysville Group, Inc. 12,556 400 Infinity Property & Casualty Corp. 14,576
SEE NOTES TO FINANCIAL STATEMENTS 29
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 1,054 Mercury General Corp. $ 50,265 344 Midland Co. (The) 8,376 1,421 Odyssey Re Holdings Corp. 33,109 990 Ohio Casualty Corp.* 17,672 3,573 Old Republic International Corp. 92,434 413 Philadelphia Consolidated Holding Corp.* 20,572 612 PMA Capital Corp. (Class A) 3,182 4,185 Progressive Corp. (The) 345,890 489 RLI Corp. 19,873 661 Selective Insurance Group, Inc. 23,399 4,332 St. Paul Companies, Inc. (The) 182,507 767 State Auto Financial Corp. 18,999 1,017 Transatlantic Holdings, Inc. 84,513 19,469 Travelers Property Casualty Corp. (Class B) 352,389 174 White Mountains Insurance Group, Ltd. (Bermuda) 78,909 --------------- 4,684,646 --------------- PUBLISHING: BOOKS/ MAGAZINES (0.1%) 407 Information Holdings Inc.* 9,251 1,218 John Wiley & Sons, Inc. (Class A) 32,582 1,037 Meredith Corp. 52,275 5,580 PRIMEDIA Inc.* 15,680 2,367 Reader's Digest Assoc., Inc. (The) (Class A) 32,807 754 Scholastic Corp.* 24,203 --------------- 166,798 --------------- PUBLISHING: NEWSPAPERS (0.6%) 2,217 Belo Corp. (Series A) 61,078 1,580 Dow Jones & Co., Inc. 78,178 5,247 Gannett Co., Inc. 449,720 1,689 Hollinger International, Inc. (Class A) 27,463 1,399 Journal Register Co.* 29,533 1,548 Knight-Ridder, Inc. 119,072 864 Lee Enterprises, Inc. $ 39,061 900 McClatchy Co. (The) (Class A) 63,882 581 Media General, Inc. (Class A) 37,358 2,886 New York Times Co. (The) (Class A) 140,260 187 Pulitzer Inc. 9,948 1,570 Scripps (E.W.) Co. (Class A) 149,323 6,050 Tribune Co. 309,700 186 Washington Post Co. (The) (Class B) 157,265 --------------- 1,671,841 --------------- PULP & PAPER (0.3%) 1,081 Bowater, Inc. 48,375 4,936 Georgia-Pacific Corp. 138,702 1,110 Glatfelter (P.H.) Co. 13,320 9,362 International Paper Co. 395,732 997 Longview Fibre Co. 12,792 3,912 MeadWestvaco Corp. 105,507 560 Potlatch Corp. 20,888 288 Schweitzer-Mauduit International, Inc. 9,187 1,156 Wausau-Mosinee Paper Corp. 14,693 --------------- 759,196 --------------- RAILROADS (0.3%) 7,270 Burlington Northern Santa Fe Corp. 233,585 4,177 CSX Corp. 131,826 827 Florida East Coast Industries, Inc. 27,374 1,705 Kansas City Southern Industries, Inc.* 25,132 7,618 Norfolk Southern Corp. 169,881 622 RailAmerica, Inc.* 7,277 4,971 Union Pacific Corp. 320,132 --------------- 915,207 --------------- REAL ESTATE DEVELOPMENT (0.1%) 968 Forest City Enterprise, Inc. (Class A) 50,336 420 Getty Realty Corp. 11,206 614 Jones Lang LaSalle, Inc.* 13,048
SEE NOTES TO FINANCIAL STATEMENTS 30
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 627 LNR Property Corp. $ 31,281 1,487 St. Joe Co. (The) 58,737 283 Tejon Ranch Co.* 11,348 716 Trammell Crow Co.* 9,881 1,134 W.P. Carey & Co., LLC 34,133 --------------- 219,970 --------------- REAL ESTATE INVESTMENT TRUSTS (1.7%) 532 Acadia Reality Trust 7,129 98 Alexander's, Inc.* 14,210 373 Alexandria Real Estate Equities, Inc. 23,070 1,594 AMB Property Corp. 55,710 1,092 American Financial Reality Trust 19,787 372 Amli Residential Properties Trust 9,784 1,757 Annaly Mortgage Management Inc. 34,472 1,387 Anthracite Capital, Inc. 15,063 657 Anworth Mortgage Asset Corp. 9,152 1,837 Apartment Investment & Management Co. (Class A) 64,626 3,838 Archstone-Smith Trust 105,276 1,245 Arden Realty, Inc. 38,595 1,379 Avalonbay Communities, Inc. 67,709 323 Bedford Property Investors, Inc. 9,512 1,897 Boston Properties, Inc. 94,907 905 Brandywine Realty Trust 25,032 962 BRE Properties, Inc. (Class A) 31,804 743 Burnham Pacific Properties, Inc.* 349 768 Camden Property Trust 33,408 1,000 Capital Automotive REIT 35,290 1,018 CarrAmerica Realty Corp. 32,342 1,780 Catellus Development Corp. 46,565 589 CBL & Associates Properties, Inc. 35,605 448 CenterPoint Properties Corp. 35,885 846 Chelsea Property Group, Inc. $ 46,970 787 Colonial Properties Trust 31,637 1,493 Commercial Net Lease Realty 27,322 1,069 Cornerstone Realty Income Trust, Inc. 9,920 574 Corporate Office Properties Trust 12,691 596 Corrections Corporation of America* 16,938 947 Cousins Properties, Inc. 29,073 1,923 Crescent Real Estate Equities Co. 34,614 1,674 Developers Diversified Realty Corp. 57,552 2,649 Duke Realty Corp. 87,073 358 EastGroup Properties, Inc. 12,441 393 Entertainment Properties Trust 13,912 828 Equity Inns, Inc. 7,825 7,761 Equity Office Properties Trust 230,114 1,877 Equity One, Inc. 34,161 5,325 Equity Residential 154,958 509 Essex Property Trust, Inc. 31,634 953 Federal Realty Investment Trust 39,349 1,152 FelCor Lodging Trust, Inc.* 13,536 1,118 First Industrial Realty Trust, Inc. 40,896 2,725 Friedman, Billings, Ramsey Group, Inc. 64,855 538 Gables Residential Trust 19,422 4,191 General Growth Properties, Inc. 125,730 856 Glenborough Realty Trust Inc. 16,615 862 Glimcher Realty Trust 21,714 1,237 Health Care Property Investors, Inc. 69,557 827 Health Care REIT, Inc. 32,005 835 Healthcare Realty Trust, Inc. 34,277 816 Heritage Property Investment Trust 23,786
SEE NOTES TO FINANCIAL STATEMENTS 31
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 1,036 Highwoods Properties, Inc. $ 28,283 565 Home Properties of New York, Inc. 22,628 1,213 Hospitality Properties Trust 50,764 5,877 Host Marriott Corp.* 74,462 3,496 HRPT Properties Trust 37,058 1,135 Impac Mortgage Holdings, Inc. 22,814 722 Investors Real Estate Trust 7,545 1,962 iStar Financial Inc. 78,519 426 Keystone Property Trust 10,041 859 Kilroy Realty Corp. 28,132 2,139 Kimco Realty Corp. 98,672 416 Koger Equity, Inc. 9,622 468 Kramont Reality Trust 8,705 686 Lexington Corporate Properties Trust 14,475 1,547 Liberty Property Trust 59,683 933 Macerich Co. (The) 44,905 1,129 Mack-Cali Realty Corp. 45,804 833 Maguire Properties, Inc. 20,242 437 Manufactured Home Communities, Inc. 14,683 1,189 MeriStar Hospitality Corp.* 8,228 381 Mid-America Apartment Communities, Inc. 13,148 933 Mills Corp. 43,888 522 National Health Investors, Inc. 13,546 1,683 Nationwide Health Properties, Inc. 36,689 1,893 New Plan Excel Realty Trust 47,723 496 Novastar Financial, Inc. 24,364 784 Pan Pacific Retail Properties, Inc. 40,070 202 Parkway Properties, Inc. 9,494 680 Pennsylvania Real Estate Investment Trust 25,405 3,572 Plum Creek Timber Co., Inc. 107,874 1,062 Post Properties, Inc. 29,683 1,172 Prentiss Properties Trust 39,262 3,503 ProLogis Trust 114,338 417 PS Business Parks, Inc. (Class A) $ 18,056 2,460 Public Storage, Inc. 116,875 486 RAIT Investment Trust 12,796 970 Rayonier Inc. 38,315 684 Realty Income Corp. 28,242 1,321 Reckson Associates Realty Corp. 33,752 507 Redwood Trust, Inc. 27,900 1,161 Regency Center Corp. 48,414 1,722 Rouse Co. (The) 84,791 307 Saul Centers, Inc. 8,449 1,240 Senior Housing Properties Trust 22,419 878 Shurgard Storage Centers, Inc. (Class A) 33,373 3,742 Simon Property Group, Inc. 194,771 668 SL Green Realty Corp. 28,704 261 Sovran Self Storage, Inc. 9,735 721 Summit Properties Inc. 16,641 359 Sun Communities, Inc. 14,130 202 Tanger Factory Outlet Centers, Inc. 8,464 1,271 Taubman Centers, Inc. 29,525 1,397 Thornburg Mortgage, Inc. 40,345 320 Town & Country Trust 8,160 2,936 Trizec Properties, Inc. 46,653 2,344 United Dominion Realty Trust, Inc. 43,364 1,550 Ventas, Inc. 38,750 2,231 Vornado Realty Trust 124,824 910 Washington Real Estate Investment Trust 26,663 1,018 Weingarten Realty Investors 48,355 --------------- 4,569,074 --------------- RECREATIONAL PRODUCTS (0.3%) 349 Action Performance Companies, Inc. 6,006 1,718 Activision, Inc.* 32,316 426 Arctic Cat, Inc. 10,820 2,358 Atari, Inc.* 7,970
SEE NOTES TO FINANCIAL STATEMENTS 32
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 1,860 Brunswick Corp. $ 64,821 1,831 Callaway Golf Co. 32,793 5,772 Electronic Arts Inc.* 270,476 3,381 Hasbro, Inc. 66,775 529 K2 Inc.* 9,506 594 Leapfrog Enterprises, Inc. (Class A)* 16,579 1,400 Marvel Enterprises, Inc.* 45,122 8,329 Mattel, Inc. 157,501 567 Monaco Coach Corp.* 12,616 422 Polaris Industries Inc. 34,992 1,174 Scientific Games Corp. (Class A)* 17,598 859 Take-Two Interactive Software, Inc.* 24,911 1,192 Thor Industries, Inc. 35,760 834 THQ, Inc.* 13,928 396 Winnebago Industries, Inc. 27,625 584 WMS Industries, Inc.* 16,965 --------------- 905,080 --------------- REGIONAL BANKS (2.4%) 412 1st Source Corp. 8,652 306 Alabama National BanCorporation 16,301 950 Amcore Financial, Inc. 26,410 6,802 AmSouth Bancorporation 168,009 1,420 Associated Banc-Corp. 61,330 152 BancFirst Corp. 8,500 1,511 BancorpSouth, Inc. 33,862 1,084 Bank of Hawaii Corp. 47,468 3,173 Banknorth Group, Inc. 102,171 1,106 BOK Financial Corp.* 43,543 444 Boston Private Financial Holdings, Inc. 11,446 258 Capital City Bank Group, Inc. 11,032 356 Cathay Bancorp, Inc. 19,608 313 Central Pacific Financial Corp. 8,529 4,314 Charter One Financial, Inc. 156,210 483 Chemical Financial Corp. 16,726 854 Chittenden Corp. 27,883 1,247 Citizens Banking Corp. $ 41,538 325 City Holding Co. 11,265 949 City National Corp. 57,433 2,411 Colonial BancGroup, Inc. (The) 40,649 1,446 Commerce Bancorp, Inc. 84,663 1,349 Commerce Bancshares, Inc. 65,993 253 Community Bank System, Inc. 12,055 1,027 Community First Bankshares, Inc. 28,510 2,359 Compass Bancshares, Inc. 92,992 724 Corus Bankshares, Inc. 26,223 1,005 Cullen/Frost Bankers, Inc. 40,632 1,373 CVB Financial Corp. 27,721 532 East West Bancorp, Inc. 27,824 902 F.N.B Corp. 18,626 11,085 Fifth Third Bancorp 640,602 775 First Bancorp (Puerto Rico) 31,357 1,027 First Charter Corp. 20,540 303 First Citizens BancShares, Inc. (Class A) 35,760 1,523 First Commonwealth Financial Corp. 21,901 309 First Community Bancorp 11,961 1,503 First Financial Bancorp 24,980 302 First Financial Bankshares, Inc. 12,123 264 First Financial Corp. 7,775 361 First Merchants Corp. 9,025 909 First Midwest Bancorp, Inc. 30,042 902 First National Bankshares of Florida 15,605 284 First Republic Bank 10,877 2,432 First Tennessee National Corp. 108,029 1,679 FirstMerit Corp. 43,587 1,013 Flagstar Bancorp 23,481 563 Frontier Financial Corp. 19,103 2,136 Fulton Financial Corp. 46,287 377 Glacier Bancorp, Inc. 11,612 760 Gold Banc Corp., Inc. 10,473
SEE NOTES TO FINANCIAL STATEMENTS 33
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 1,019 Greater Bay Bancorp $ 27,737 297 Hancock Holding Co. 17,078 465 Harleysville National Corp. 14,117 3,047 Hibernia Corp. (Class A) 69,106 868 Hudson United Bancorp 32,932 285 Independent Bank Corp. - Massachusetts 8,807 750 International Bancshares Corp. 37,493 661 Irwin Financial Corp. 21,978 2,326 M&T Bank Corp. 209,270 369 Main Street Banks, Inc. 9,594 4,387 Marshall & Ilsley Corp. 168,154 1,627 Mercantile Bankshares Corp. 71,084 457 Mid-State Bancshares 11,137 348 Midwest Banc Holdings, Inc. 8,456 3,972 National Commerce Financial Corp. 112,725 772 National Penn Bancshares, Inc. 25,013 894 NBT Bancorp, Inc. 19,552 2,939 North Fork Bancorporation, Inc. 123,879 4,270 Northern Trust Corp. 202,825 1,299 Old National Bancorp 27,772 379 Oriental Financial Group, Inc. 9,665 660 Pacific Capital Bancorp 24,044 267 Park National Corp. 29,773 370 Prosperity Bancshares, Inc. 8,751 787 Provident Bankshares Corp. 24,192 947 Provident Financial Group, Inc. 32,283 1,034 R&G Financial Corp. (Class B) (Puerto Rico) 30,282 4,305 Regions Financial Corp. 161,438 1,568 Republic Bancorp Inc. 21,215 558 Riggs National Corp. 8,565 818 S & T Bancorp, Inc. 24,745 283 Sandy Spring Bancorp, Inc. 10,117 968 Santander Bancorp (Puerto Rico) 26,572 512 Seacoast Financial Services Corp. $ 17,695 865 Silicon Valley Bancshares* 29,912 1,763 Sky Financial Group, Inc. 47,901 1,143 South Financial Group, Inc. (The) 33,936 735 Southwest Bancorporation of Texas, Inc. 27,614 291 Sterling Bancorp 8,817 863 Sterling Bancshares, Inc. 10,770 331 Sterling Financial Corp. 9,599 215 Suffolk Bancorp 7,411 776 Susquehanna Bancshares, Inc. 19,625 5,847 Synovus Financial Corp. 146,760 1,375 TCF Financial Corp. 68,833 689 Texas Regional Bancshares, Inc. (Class A) 26,485 448 Trust Co. of New Jersey (The) 18,847 2,142 Trustco Bank Corp. of New York 28,896 1,133 Trustmark Corp. 33,582 37,371 U.S. Bancorp 1,056,478 974 UCBH Holdings, Inc. 38,824 572 UMB Financial Corp. 28,057 704 Umpqua Holdings Corp. 14,291 3,654 Union Planters Corp. 110,607 1,234 United Bankshares, Inc. 37,168 417 United Community Banks, Inc. 14,432 422 Unizan Financial Corp. 10,609 1,831 Valley National Bancorp 52,110 391 WesBanco, Inc. 10,882 639 Westamerica Bancorporation 31,528 857 Whitney Holding Corp. 34,546 1,279 Wilmington Trust Corp. 47,745 364 Wintrust Financial Corp. 17,042 1,741 Zions Bancorporation 102,092 --------------- 6,252,369 ---------------
SEE NOTES TO FINANCIAL STATEMENTS 34
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ RESTAURANTS (0.7%) 1,065 Applebee's International, Inc. $ 40,598 942 Bob Evans Farms, Inc. 29,701 1,873 Brinker International, Inc.* 66,211 959 CBRL Group, Inc. 35,991 720 CEC Entertainment, Inc.* 34,330 1,002 Cheesecake Factory, Inc. (The)* 42,896 1,124 CKE Restaurants, Inc.* 8,509 3,194 Darden Restaurants, Inc. 63,880 619 IHOP Corp. 21,975 1,003 Jack in the Box Inc.* 24,072 1,124 Krispy Kreme Doughnuts, Inc.* 40,059 558 Landry's Restaurants, Inc. 15,462 405 Lone Star Steakhouse & Saloon, Inc. 10,453 24,591 McDonald's Corp. 632,972 1,450 Outback Steakhouse, Inc. 64,293 570 P.F. Chang's China Bistro, Inc.* 26,391 604 Panera Bread Co. (Class A)* 24,613 350 Papa John's International, Inc.* 11,918 798 RARE Hospitality International, Inc.* 20,612 297 Red Robin Gourmet Burgers Inc.* 8,245 1,260 Ruby Tuesday, Inc. 35,204 1,231 Ryan's Family Steak Houses, Inc.* 20,225 694 Sonic Corp.* 22,791 7,578 Starbucks Corp.* 278,567 528 The Steak n Shake Co.* 10,549 934 Triarc Co., Inc. (Class A) 10,881 1,868 Triarc Companies, Inc. (Class B) 21,669 2,301 Wendy's International, Inc. 91,419 5,699 Yum! Brands, Inc.* 193,253 --------------- 1,907,739 --------------- SAVINGS BANKS (0.9%) 728 Anchor Bancorp Wisconsin, Inc. $ 19,219 1,538 Astoria Financial Corp. 60,705 2,535 Bank Mutual Corp. 27,809 1,164 BankAtlantic Bancorp, Inc. (Class A) 19,206 578 BankUnited Financial Corp.* 15,959 1,492 Brookline Bancorp, Inc. 23,693 1,422 Capitol Federal Financial 54,392 580 Charter Financial Corp. 23,177 987 Commercial Federal Corp. 27,379 214 Connecticut Bancshares, Inc. 11,077 552 Dime Community Bancshares 16,808 600 Downey Financial Corp. 30,858 293 Fidelity Bankshares, Inc. 10,542 151 First Essex Bamcorp, Inc. 8,723 386 First Federal Capital Corp. 8,226 1,577 First Niagara Financial Group, Inc. 23,229 540 First Sentinel Bancorp, Inc. 11,480 339 Firstfed America Bancorp, Inc. 9,390 446 Firstfed Financial Corp.* 19,071 2,944 Golden West Financial Corp. 305,381 2,584 GreenPoint Financial Corp. 102,275 513 Harbor Florida Bancshares, Inc. 14,749 3,712 Hudson City Bancorp, Inc. 146,438 592 Hudson River Bancorp, Inc. 12,278 1,161 Independence Community Bank Corp. 44,873 480 MAF Bancorp, Inc. 20,664 739 MB Financial, Inc. 27,432 984 Net.B@nk, Inc. 11,218 3,730 New York Community Bancorp, Inc. 153,863 1,139 Northwest Bancorp, Inc. 25,605 1,199 People's Bank 45,454
SEE NOTES TO FINANCIAL STATEMENTS 35
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 323 PFF Bancorp, Inc. $ 12,258 5,507 Sovereign Bancorp, Inc. 124,513 1,269 Staten Island Bancorp, Inc. 29,847 289 Sterling Financial Corp.* 10,965 665 United Community Financial Corp. 8,080 2,050 W. Holding Co., Inc. (Puerto Rico) 40,283 1,351 Washington Federal, Inc. 37,828 17,426 Washington Mutual, Inc. 771,972 658 Waypoint Financial Corp. 15,252 884 Webster Financial Corp. 44,509 836 Westcorp 33,440 --------------- 2,460,120 --------------- SEMICONDUCTORS (3.2%) 487 Actel Corp.* 12,472 6,754 Advanced Micro Devices, Inc.* 100,364 32,357 Agere Systems Inc. (Class A)* 124,574 7,466 Altera Corp.* 167,164 584 Amis Holdings, Inc.* 11,324 7,132 Analog Devices, Inc. 341,266 5,948 Applied Micro Circuits Corp.* 43,242 9,135 Atmel Corp.* 64,493 5,735 Broadcom Corp. (Class A)* 232,784 1,650 Cirrus Logic, Inc.* 12,293 5,378 Conexant Systems, Inc.* 35,871 2,310 Cypress Semiconductor Corp.* 48,972 964 DSP Group, Inc.* 25,507 755 ESS Technology, Inc.* 12,495 788 Exar Corp.* 15,933 2,290 Fairchild Semiconductor Corp. (Class A)* 56,105 617 Genesis Microchip, Inc.* 12,124 3,316 GlobespanVirata, Inc.* 26,362 1,398 Integrated Circuit Systems, Inc.* 35,999 2,031 Integrated Device Technology, Inc.* 37,005 546 Integrated Silicon Solution, Inc.* $ 8,829 126,651 Intel Corp. 3,875,521 1,253 International Rectifier Corp.* 63,402 2,692 Intersil Corp. (Class A) 70,638 3,152 Lattice Semiconductor Corp.* 33,821 6,111 Linear Technology Corp. 244,440 7,345 LSI Logic Corp.* 75,580 6,339 Maxim Integrated Products, Inc. 324,240 2,555 Micrel, Inc.* 43,307 4,019 Microchip Technology Inc. 115,747 11,831 Micron Technology, Inc.* 190,597 566 Microsemi Corp.* 17,235 2,122 Mindspeed Technologies Inc.* 20,562 3,589 National Semiconductor Corp.* 137,997 3,142 NVIDIA Corp.* 69,910 4,212 ON Semiconductor Corp.* 29,484 871 Pixelworks, Inc.* 14,154 840 Power Integrations, Inc.* 24,856 1,897 Rambus Inc.* 59,243 3,599 RF Micro Devices, Inc.* 34,262 1,430 Semtech Corp.* 35,650 655 Sigmatel Corp.* 16,375 1,378 Silicon Image, Inc.* 13,987 964 Silicon Laboratories Inc.* 49,424 1,853 Silicon Storage Technology, Inc.* 22,292 847 Siliconix, Inc.* 41,215 3,371 Skyworks Solutions, Inc.* 36,036 328 Standard Microsystems Corp.* 10,653 33,533 Texas Instruments Inc. 1,051,260 2,740 Transmeta Corp.* 10,412 4,484 TriQuint Semiconductor, Inc.* 38,428 5,650 Vitesse Semiconductor Corp.* 46,613 6,655 Xilinx, Inc.* 278,911 793 Zoran Corp.* 15,210 --------------- 8,536,640 ---------------
SEE NOTES TO FINANCIAL STATEMENTS 36
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ SERVICES TO THE HEALTH INDUSTRY (0.5%) 543 aaiPharma Inc.* $ 15,448 912 Accredo Health, Inc.* 30,917 1,874 AdvancePCS* 106,987 262 Advisory Board Co. (The)* 10,265 621 Albany Molecular Research, Inc.* 9,352 696 Cerner Corp.* 27,283 1,141 Covance, Inc.* 32,667 789 Dendrite International, Inc.* 13,405 890 Eclipsys Corp.* 12,700 643 eResearch Technology, Inc.* 21,541 1,539 Express Scripts, Inc. (Class A)* 106,453 574 IDX Systems Corp.* 16,812 4,640 IMS Health Inc. 119,387 2,773 Laboratory Corp. of America Holdings* 118,407 5,354 Medco Health Solutions Inc.* 197,295 1,067 MedQuist Inc.* 18,416 681 NDC Health Corp. 19,218 825 Odyssey Healthcare, Inc.* 24,387 1,857 Omnicare, Inc. 81,764 501 PAREXEL International Corp.* 8,642 593 Per-Se Technologies, Inc.* 9,411 1,144 Pharmaceutical Product Development, Inc.* 33,748 1,982 Quest Diagnostics Inc. 168,470 804 Stericycle, Inc.* 35,537 306 VistaCare, Inc. (Class A)* 9,731 5,947 WebMD Corp.* 53,523 --------------- 1,301,766 --------------- SPECIALTY INSURANCE (0.3%) 2,084 Ambac Financial Group, Inc. 155,821 839 CNA Surety Corp.* 8,507 2,628 Fidelity National Financial, Inc. 108,300 1,515 First American Corp. 45,541 318 LandAmerica Financial Group, Inc. 17,350 191 Markel Corp.* 51,835 2,774 MBIA Inc. 174,762 1,949 MGIC Investment Corp. $ 134,364 1,811 PMI Group, Inc. (The) 69,941 919 Proassurance Corp.* 29,913 1,762 Radian Group, Inc. 82,039 349 Stewart Information Services Corp. 16,316 279 Triad Guaranty, Inc.* 14,480 --------------- 909,169 --------------- SPECIALTY STORES (0.8%) 376 Ac Moore Arts & Crafts, Inc.* 8,456 1,394 Advance Auto Parts, Inc.* 54,254 633 Asbury Automotive Group Inc.* 11,046 5,330 AutoNation, Inc.* 87,305 1,747 AutoZone, Inc.* 147,307 1,307 Barnes & Noble, Inc.* 44,242 5,737 Bed Bath & Beyond Inc.* 232,980 1,137 Boise Cascade Corp. 36,896 685 Bombay Co., Inc. (The)* 5,158 1,500 Borders Group, Inc. 32,955 2,008 CarMax Inc.* 66,967 351 Central Garden & Pet Co.* 11,888 2,004 Claire's Stores, Inc. 36,673 445 Cost Plus, Inc.* 19,304 1,037 CSK Auto Corp.* 20,232 311 Dick's Sporting Goods, Inc.* 15,472 495 Group 1 Automotive, Inc.* 18,196 530 Guitar Center, Inc.* 18,211 428 Haverty Furniture Companies, Inc. 9,018 300 Hibbett Sporting Goods, Inc.* 9,330 450 Jo-Ann Stores, Inc.* 10,593 960 Linens `N Things, Inc.* 27,706 1,347 Michaels Stores, Inc. 60,305 6,239 Office Depot, Inc.* 99,512 1,052 O'Reilly Automotive, Inc.* 40,470 1,052 Pep Boys-Manny Moe & Jack 23,186 283 PETCO Animal Supplies Inc.* 8,974 2,667 PETSMART, Inc. 62,594 1,723 Pier 1 Imports, Inc. 35,752
SEE NOTES TO FINANCIAL STATEMENTS 37
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 846 Regis Corp. $ 36,547 1,685 Rent-A-Center, Inc.* 52,521 295 Sharper Image Corp.* 10,667 673 Sonic Automotive, Inc. 15,062 9,451 Staples, Inc.* 251,491 2,841 Tiffany & Co. 112,617 4,136 Toys `R' Us, Inc.* 58,400 678 Tractor Supply Co.* 28,713 838 Tuesday Morning Corp.* 26,489 721 United Auto Group, Inc. 20,433 388 West Marine, Inc.* 10,674 2,262 Williams-Sonoma, Inc.* 72,633 725 Zale Corp.* 39,186 --------------- 1,990,415 --------------- SPECIALTY TELECOMMUNICATIONS (0.3%) 3,878 American Tower Corp. (Class A)* 42,619 2,794 CenturyTel, Inc. 73,762 5,511 Citizens Communications Co.* 64,644 579 Commonwealth Telephone Enterprises, Inc.* 21,301 4,372 Covad Communications Group, Inc. (c)* 15,346 4,260 Crown Castle International Corp.* 52,824 1,093 General Communication, Inc. (Class A)* 9,804 490 IDT Corp.* 10,315 1,686 NTL, Inc.* 111,849 2,908 PanAmSat Corp.* 61,359 1,056 PTEK Holdings, Inc.* 10,243 33,764 Qwest Communications International, Inc.* 136,407 284 SureWest Communications 9,824 957 Time Warner Telecom Inc. (Class A)* 10,450 1,874 Verso Technologies, Inc.* 4,142 1,302 West Corp.* 32,810 --------------- 667,699 --------------- STEEL (0.1%) 2,110 AK Steel Holding Corp.* $ 10,339 1,585 Allegheny Technologies Inc. 14,899 436 Carpenter Technology Corp. 13,193 1,517 Nucor Corp. 85,422 314 Quanex Corp. 14,042 921 Reliance Steel & Aluminum Co. 26,709 213 Schnitzer Steel Industries, Inc. 9,574 1,225 Steel Dynamics, Inc.* 27,318 2,001 United States Steel Corp. 68,134 1,668 Worthington Industries, Inc. 27,238 --------------- 296,868 --------------- TELECOMMUNICATION EQUIPMENT (1.3%) 15,595 ADC Telecommunications, Inc.* 54,583 1,533 ADTRAN, Inc. 52,766 1,684 Advanced Fibre Communications, Inc.* 39,759 2,998 Andrew Corp.* 51,386 1,462 Arris Group, Inc.* 13,450 1,030 At Road, Inc.* 13,833 2,492 Avanex Corp.* 16,248 708 C-COR.net Corp.* 11,824 9,454 CIENA Corp.* 68,542 1,822 CommScope, Inc.* 33,944 272 Comtech Telecommunications Corp.* 8,704 3,888 Comverse Technology, Inc.* 68,429 25,991 Corning Inc.* 335,804 7,904 Corvis Corp.* 19,049 605 Ditech Communications Corp.* 12,663 1,180 Harmonic, Inc.* 12,414 1,290 Harris Corp. 62,797 1,201 InterDigital Communications Corp.* 29,208 488 Inter-Tel, Inc. 13,786 668 InterVoice-Brite, Inc.* 8,150
SEE NOTES TO FINANCIAL STATEMENTS 38
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ 81,229 Lucent Technologies Inc.* $ 363,906 45,103 Motorola, Inc. 747,808 3,099 Oplink Communications, Inc.* 8,274 853 Plantronics, Inc.* 34,163 1,922 Polycom, Inc.* 45,494 1,231 Powerwave Technologies, Inc.* 12,125 15,441 QUALCOMM Inc. 902,063 1,150 REMEC, Inc.* 11,512 4,721 Sonus Networks, Inc.* 39,987 357 SpectraLink Corp. 6,444 1,620 Stratex Network, Inc.* 8,667 7,073 Sycamore Networks, Inc.* 39,750 1,427 Tekelec* 29,039 8,084 Tellabs, Inc.* 80,032 1,454 Terayon Communication Systems, Inc.* 6,965 813 Trimble Navigation Ltd.* 30,203 512 ViaSat, Inc.* 11,955 961 Westell Technologies, Inc. (Class A)* 7,592 --------------- 3,313,318 --------------- TEXTILES (0.0%) 939 Albany International Corp. (Class A) 30,283 --------------- TOBACCO (0.9%) 39,356 Altria Group, Inc. 2,187,800 1,649 R. J. Reynolds Tobacco Holdings, Inc. 97,390 761 Universal Corp. 37,190 3,214 UST, Inc. 114,772 943 Vector Group Ltd. 16,125 --------------- 2,453,277 --------------- TOOLS/HARDWARE (0.1%) 1,506 Black & Decker Corp. (The) 77,183 464 Briggs & Stratton Corp. 30,643 1,129 Snap-On, Inc. 35,168 1,570 Stanley Works (The) 59,472 --------------- 202,466 --------------- TRUCKING (0.1%) 580 Arkansas Best Corp. $ 16,431 1,170 Heartland Express, Inc. 25,553 1,636 Hunt (J.B.) Tansport Services, Inc.* 43,043 803 Knight Transportation, Inc.* 19,786 768 Landstar System, Inc.* 27,809 314 Old Dominion Freight Line, Inc.* 9,734 543 Overnite Corp. 12,169 1,620 Swift Transportation Co., Inc.* 32,076 715 USF Corp. 24,467 1,545 Werner Enterprises, Inc. 28,258 575 Yellow Roadway Corp.* 18,083 --------------- 257,409 --------------- TRUCKS/CONSTRUCTION/ FARM MACHINERY (0.5%) 1,496 AGCO Corp.* 30,159 6,737 Caterpillar Inc. 526,362 820 Cummins Inc. 41,599 4,650 Deere & Co. 291,090 1,619 Federal Signal Corp. 29,952 840 JLG Industries, Inc. 13,390 1,172 Joy Global Inc. 30,859 710 Manitowoc Co., Inc. 21,215 128 NACCO Industries, Inc. (Class A) 10,976 1,330 Navistar International Corp.* 63,242 696 OshKosh Truck Corp. 40,563 2,261 PACCAR, Inc. 177,782 558 Stewart & Stevenson Services, Inc. 7,617 1,048 Terex Corp.* 30,937 664 Toro Co. (The) 31,606 899 Trinity Industries, Inc. 28,858 504 Wabash National Corp.* 13,865 848 Wabtec Corp. 13,797 --------------- 1,403,869 ---------------
SEE NOTES TO FINANCIAL STATEMENTS 39
NUMBER OF SHARES VALUE ------------------------------------------------------------------------------ WATER UTILITIES (0.0%) 1,791 Aqua America Inc. $ 39,044 331 California Water Service Group 9,430 --------------- 48,474 --------------- WHOLESALE DISTRIBUTORS (0.2%) 370 Applied Industries Technologies, Inc. 9,135 1,043 Fisher Scientific International, Inc.* 46,570 3,371 Genuine Parts Co. 111,108 1,783 Grainger (W.W.), Inc. 85,834 485 Handleman Co. 10,626 512 Hughes Supply, Inc. 25,318 331 Imagistics International Inc.* 13,214 939 MSC Industrial Direct Co., Inc. (Class A) 26,527 366 School Specialty, Inc.* 13,432 1,005 SCP Pool Corp.* 32,210 424 TBC Corp.* 11,448 452 TIMCO Aviation Services, Inc. (Warrants) (due 02/28/07) 0 732 United Stationers, Inc.* 29,046 788 WESCO International, Inc.* 8,085 --------------- 422,553 --------------- WIRELESS TELECOMMUNICATIONS (0.6%) 52,596 AT&T Wireless Services Inc.* 581,186 1,872 Centennial Communications Corp. (Class A)* 13,029 2,170 Dobson Communications Corp. (Class A)* 15,429 21,391 Nextel Communications, Inc. (Class A)* 564,508 3,538 Nextel Partners, Inc. (Class A)* 45,746 1,058 Price Communications Corp.* 15,817 20,149 Sprint Corp. (PCS Group)* 163,811 1,120 Telephone & Data Systems, Inc. 74,234 1,186 Triton PCS Holdings, Inc. (Class A)* 7,662 1,675 United States Cellular Corp.* $ 65,074 1,644 Western Wireless Corp. (Class A)* 37,253 --------------- 1,583,749 --------------- TOTAL COMMON AND PREFERRED STOCKS, RIGHTS AND WARRANTS (COST $245,785,507) 255,399,518 --------------- PRINCIPAL AMOUNT IN THOUSANDS --------- SHORT-TERM INVESTMENT (3.2%) REPURCHASE AGREEMENT $ 8,555 Joint repurchase agreement account 1.02% due 02/02/04 (dated 01/30/04; proceeds $8,555,727) (a) (COST $8,555,000) 8,555,000 --------------- TOTAL INVESTMENTS (COST $254,340,507) (b) (c) 99.9% 263,954,518 OTHER ASSETS IN EXCESS OF LIABILITIES 0.1 134,118 ----- --------------- NET ASSETS 100.0% $ 264,088,636 ===== ===============
---------- ADR AMERICAN DEPOSITORY RECEIPT. * NON-INCOME PRODUCING SECURITY. ** A PORTION OF THIS SECURITY HAS BEEN PHYSICALLY SEGREGATED IN CONNECTION WITH OPEN FUTURES CONTRACTS IN THE AMOUNT OF $4,035,600. (a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS. (b) SECURITIES HAVE BEEN DESIGNATED AS COLLATERAL IN AN AMOUNT EQUAL TO $4,493,018 IN CONNECTION WITH OPEN FUTURES CONTRACTS. (c) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED APPRECIATION IS $55,765,037 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS $46,151,026, RESULTING IN NET UNREALIZED APPRECIATION OF $9,614,011. SEE NOTES TO FINANCIAL STATEMENTS 40 FUTURES CONTRACTS OPEN AT JANUARY 31, 2004:
NUMBER OF LONG/ DESCRIPTION, DELIVERY MONTH, UNDERLYING FACE UNREALIZED CONTRACTS SHORT AND YEAR AMOUNT AT VALUE APPRECIATION -------------------------------------------------------------------------------------------- 55 Long Russell 2000 E-Mini Index March 2004 $ 3,194,950 $ 119,052 97 Long S&P 500 E-Mini Index March 2004 5,480,015 26,929 ------------ Total unrealized appreciation $ 145,981 ============
SEE NOTES TO FINANCIAL STATEMENTS 41 MORGAN STANLEY TOTAL MARKET INDEX FUND FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES JANUARY 31, 2004 (UNAUDITED) ASSETS: Investments in securities, at value (cost $254,340,507) $ 263,954,518 Receivable for: Shares of beneficial interest sold 276,826 Dividends 256,213 Variation margin 2,670 Prepaid expenses and other assets 49,648 -------------- TOTAL ASSETS 264,539,875 -------------- LIABILITIES: Payable for: Distribution fee 198,963 Shares of beneficial interest redeemed 161,108 Investment management fee 57,138 Accrued expenses and other payables 34,030 -------------- TOTAL LIABILITIES 451,239 -------------- NET ASSETS $ 264,088,636 ============== COMPOSITION OF NET ASSETS: Paid-in-capital $ 318,517,832 Net unrealized appreciation 9,759,992 Accumulated undistributed net investment income 164,550 Accumulated net realized loss (64,353,738) -------------- NET ASSETS $ 264,088,636 ============== CLASS A SHARES: Net Assets $ 10,832,607 Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 1,135,398 NET ASSET VALUE PER SHARE $ 9.54 ============== MAXIMUM OFFERING PRICE PER SHARE, (NET ASSET VALUE PLUS 5.54% OF NET ASSET VALUE) $ 10.07 ============== CLASS B SHARES: Net Assets $ 201,908,898 Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 21,677,741 NET ASSET VALUE PER SHARE $ 9.31 ============== CLASS C SHARES: Net Assets $ 29,971,679 Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 3,217,588 NET ASSET VALUE PER SHARE $ 9.31 ============== CLASS D SHARES: Net Assets $ 21,375,452 Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 2,224,862 NET ASSET VALUE PER SHARE $ 9.61 ==============
SEE NOTES TO FINANCIAL STATEMENTS 42 STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JANUARY 31, 2004 (UNAUDITED) NET INVESTMENT INCOME: INCOME Dividends $ 2,041,114 Interest 24,087 ------------- TOTAL INCOME 2,065,201 ------------- EXPENSES Distribution fee (Class A shares) 15,955 Distribution fee (Class B shares) 959,369 Distribution fee (Class C shares) 134,311 Investment management fee 496,034 Transfer agent fees and expenses 198,301 Shareholder reports and notices 41,817 Registration fees 38,770 Professional fees 25,956 Custodian fees 13,459 Other 5,396 ------------- TOTAL EXPENSES 1,929,368 Less: amounts waived/reimbursed (199,691) ------------- NET EXPENSES 1,729,677 ------------- NET INVESTMENT INCOME 335,524 ------------- NET REALIZED AND UNREALIZED GAIN (LOSS): NET REALIZED GAIN (LOSS) ON: Investments (685,392) Futures contracts 570,278 ------------- NET REALIZED LOSS (115,114) ------------- NET CHANGE IN UNREALIZED APPRECIATION ON: Investments 34,610,044 Futures contracts 81,561 ------------- NET APPRECIATION 34,691,605 ------------- NET GAIN 34,576,491 ------------- NET INCREASE $ 34,912,015 =============
SEE NOTES TO FINANCIAL STATEMENTS 43 STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED JANUARY 31, 2004 JULY 31, 2003 ---------------- ------------- (UNAUDITED) INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income $ 335,524 $ 747,216 Net realized loss (115,114) (14,456,988) Net change in unrealized appreciation 34,691,605 34,518,786 ---------------- ------------- NET INCREASE 34,912,015 20,809,014 ---------------- ------------- DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME: Class A shares (96,917) (52,697) Class B shares (377,254) (194,798) Class C shares (74,261) (25,335) Class D shares (191,598) (39,178) ---------------- ------------- TOTAL DIVIDENDS (740,030) (312,008) ---------------- ------------- Net decrease from transactions in shares of beneficial interest (2,710,265) (24,245,533) ---------------- ------------- NET INCREASE (DECREASE) 31,461,720 (3,748,527) NET ASSETS: Beginning of period 232,626,916 236,375,443 ---------------- ------------- END OF PERIOD (INCLUDING ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME OF $164,550 AND $569,056, RESPECTIVELY) $ 264,088,636 $ 232,626,916 ================ =============
SEE NOTES TO FINANCIAL STATEMENTS 44 MORGAN STANLEY TOTAL MARKET INDEX FUND NOTES TO FINANCIAL STATEMENTS - JANUARY 31, 2004 (UNAUDITED) 1. ORGANIZATION AND ACCOUNTING POLICIES Morgan Stanley Total Market Index Fund (the "Fund") is registered under the Investment Company Act of 1940, as amended (the "Act"), as a diversified, open-end management investment company. The Fund's investment objective is to provide investment results that, before expenses, correspond to the total return of the Wilshire 5000 Equity Index (the "Index"). The Fund seeks to achieve its objective by investing at least 80% of its total assets in stocks included in the Index. The Fund was organized as a Massachusetts business trust on March 11, 1999 and commenced operations on September 28, 1999. The Fund offers Class A shares, Class B shares, Class C shares and Class D shares. The four classes are substantially the same except that most Class A shares are subject to a sales charge imposed at the time of purchase and some Class A shares, and most Class B shares and Class C shares are subject to a contingent deferred sales charge imposed on shares redeemed within one year, six years and one year, respectively. Class D shares are not subject to a sales charge. Additionally, Class A shares, Class B shares and Class C shares incur distribution expenses. The following is a summary of significant accounting policies: A. VALUATION OF INVESTMENTS -- (1) an equity portfolio security listed or traded on the New York Stock Exchange ("NYSE") or American Stock Exchange or other exchange is valued at its latest sale price prior to the time when assets are valued; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (2) an equity portfolio security listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (3) all other equity portfolio securities for which over-the-counter market quotations are readily available are valued at the mean between the last reported bid and asked price. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (4) for equity securities traded on foreign exchanges, the last reported sale price or the latest bid price may be used if there were no sales on a particular day; (5) futures are valued at the latest price published by the commodities exchange on which they trade; (6) when market quotations are not readily available or Morgan Stanley Investment Advisors Inc. (the "Investment Manager") determines that the latest sale price, the bid price or the mean between the last reported bid and asked price do not reflect a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Fund's Trustees or by the 45 Investment Manager using a pricing service and/or procedures approved by the Trustees of the Fund; and (7) certain portfolio securities may be valued by an outside pricing service approved by the Fund's Trustees; and (8) short-term debt securities having a maturity date of more than sixty days at time of purchase are valued on a mark-to-market basis until sixty days prior to maturity and thereafter at amortized cost based on their value on the 61st day. Short-term debt securities having a maturity date of sixty days or less at the time of purchase are valued at amortized cost. B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses on security transactions are determined by the identified cost method. Dividend income and other distributions are recorded on the ex-dividend date. Discounts are accreted and premiums are amortized over the life of the respective securities. Interest income is accrued daily. C. REPURCHASE AGREEMENTS -- Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated entities managed by the Investment Manager, may transfer uninvested cash balances into one or more joint repurchase agreement accounts. These balances are invested in one or more repurchase agreements and are collateralized by cash, U.S. Treasury or federal agency obligations. The Fund may also invest directly with institutions in repurchase agreements. The Fund's custodian receives the collateral, which is marked-to-market daily to determine that the value of the collateral does not decrease below the repurchase price plus accrued interest. D. MULTIPLE CLASS ALLOCATIONS -- Investment income, expenses (other than distribution fees), and realized and unrealized gains and losses are allocated to each class of shares based upon the relative net asset value on the date such items are recognized. Distribution fees are charged directly to the respective class. E. FUTURES CONTRACTS -- A futures contract is an agreement between two parties to buy and sell financial instruments or contracts based on financial indices at a set price on a future date. Upon entering into such a contract, the Fund is required to pledge to the broker cash, U.S. Government securities or other liquid portfolio securities equal to the minimum initial margin requirements of the applicable futures exchange. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments known as variation margin are recorded by the Fund as unrealized gains and losses. Upon closing of the contract, the Fund realizes a gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. F. FEDERAL INCOME TAX POLICY -- It is the Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Accordingly, no federal income tax provision is required. 46 G. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to shareholders are recorded on the ex-dividend date. H. USE OF ESTIMATES -- The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures. Actual results could differ from those estimates. 2. INVESTMENT MANAGEMENT AGREEMENT Pursuant to an Investment Management Agreement, the Fund pays the Investment Manager a management fee, accrued daily and payable monthly, by applying the annual rate of 0.40% to the net assets of the Fund determined as of the close of each business day. The Investment Manager has agreed to assume all operating expenses (except for distribution fees) and to waive the compensation provided for in its Investment Management Agreement to the extent that such expenses and compensation on an annualized basis exceed 0.50% of the daily net assets of the Fund. 3. PLAN OF DISTRIBUTION Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the "Distributor"), an affiliate of the Investment Manager. The Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. The Plan provides that the Fund will pay the Distributor a fee which is accrued daily and paid monthly at the following annual rates: (i) Class A -- up to 0.25% of the average daily net assets of Class A; (ii) Class B -- 1.0% of the average daily net assets of Class B; and (iii) Class C -- up to 1.0% of the average daily net assets of Class C. In the case of Class B shares, provided that the Plan continues in effect, any cumulative expenses incurred by the Distributor but not yet recovered may be recovered through the payment of future distribution fees from the Fund pursuant to the Plan and contingent deferred sales charges paid by investors upon redemption of Class B shares. Although there is no legal obligation for the Fund to pay expenses incurred in excess of payments made to the Distributor under the Plan and the proceeds of contingent deferred sales charges paid by investors upon redemption of shares, if for any reason the Plan is terminated, the Trustees will consider at that time the manner in which to treat such expenses. The Distributor has advised the Fund that such excess amounts totaled $13,769,819 at January 31, 2004. In the case of Class A shares and Class C shares, expenses incurred pursuant to the Plan in any calendar year in excess of 0.25% or 1.0% of the average daily net assets of Class A or Class C, respectively, will not be reimbursed by the Fund through payments in any subsequent year, except that expenses representing a gross sales credit to Morgan Stanley Financial Advisors or other selected 47 broker-dealer representatives may be reimbursed in the subsequent calendar year. For the six months ended January 31, 2004, the distribution fee was accrued for Class A shares and Class C shares at the annual rate of 0.25% and 1.0%, respectively. The Distributor has informed the Fund that for the six months ended January 31, 2004, it received contingent deferred sales charges from certain redemptions of the Fund's Class A shares, Class B shares and Class C shares of $269, $223,043 and $427, respectively and received $36,007 in front-end sales charges from sales of the Fund's Class A shares. The respective shareholders pay such charges which are not an expense of the Fund. 4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES The cost of purchases and proceeds from sales of portfolio securities, excluding short-term investments, for the six months ended January 31, 2004 aggregated $7,324,572 and $13,301,853, respectively. Included in the aforementioned transactions are sales of common stock of Morgan Stanley, an affiliate of the Investment Manager and Distributor, of $130,982, including a net realized gain of $10,264. Morgan Stanley Trust, an affiliate of Investment Manager and Distributor, is the Fund's transfer agent. At January 31, 2004, the Fund had transfer agent fees and expenses payable of approximately $2,700. 5. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS To hedge against adverse interest rate, foreign currency and market risks, the Fund may purchase and sell interest rate, currency and index futures contracts ("futures contracts"). Futures contracts involve elements of market risk in excess of the amounts reflected in the Statement of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the value of the underlying securities or currencies. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. 48 6. SHARES OF BENEFICIAL INTEREST Transactions in shares of beneficial interest were as follows:
FOR THE SIX FOR THE YEAR MONTHS ENDED ENDED JANUARY 31, 2004 JULY 31, 2003 ------------------------- ------------------------- (UNAUDITED) SHARES AMOUNT SHARES AMOUNT ---------- ------------ ---------- ------------ CLASS A SHARES Sold 120,566 $ 1,084,586 252,945 $ 1,891,906 Reinvestment of dividends 9,754 90,036 6,409 47,556 Redeemed (540,268) (4,939,024) (498,025) (3,839,268) ---------- ------------ ---------- ------------ Net decrease -- Class A (409,948) (3,764,402) (238,671) (1,899,806) ---------- ------------ ---------- ------------ CLASS B SHARES Sold 1,530,634 13,319,042 3,515,430 25,785,791 Reinvestment of dividends 37,902 341,492 24,256 176,104 Redeemed (2,451,129) (21,223,531) (7,065,998) (50,975,769) ---------- ------------ ---------- ------------ Net decrease -- Class B (882,593) (7,562,997) (3,526,312) (25,013,874) ---------- ------------ ---------- ------------ CLASS C SHARES Sold 726,511 6,283,008 458,830 3,372,957 Reinvestment of dividends 7,001 63,080 3,154 22,902 Redeemed (409,724) (3,551,001) (912,895) (6,577,269) ---------- ------------ ---------- ------------ Net increase (decrease) -- Class C 323,788 2,795,087 (450,911) (3,181,410) ---------- ------------ ---------- ------------ CLASS D SHARES Sold 838,982 7,655,287 978,399 7,744,537 Reinvestment of dividends 17,250 160,258 4,311 32,200 Redeemed (221,105) (1,993,498) (252,541) (1,927,180) ---------- ------------ ---------- ------------ Net increase -- Class D 635,127 5,822,047 730,169 5,849,557 ---------- ------------ ---------- ------------ Net decrease in Fund (333,626) $ (2,710,265) (3,485,725) $(24,245,533) ========== ============ ========== ============
7. LEGAL MATTERS The Investment Manager, certain affiliates of the Investment Manager and certain investment companies advised by the Investment Manager or its affiliates, including the Fund, are named as defendants in a number of recently filed, similar class action complaints. These complaints generally allege that defendants, including the Fund, violated their statutory disclosure obligations and fiduciary duties by failing properly to disclose (i) that the Investment Manager and certain affiliates of the Investment Manager allegedly offered economic incentives to brokers and others to steer investors to the funds advised by the Investment Manager or its affiliates rather than funds managed by other companies, and (ii) that the funds advised by the Investment Manager or its affiliates, including the Fund, allegedly paid excessive commissions to brokers in return for their alleged efforts to steer 49 investors to these funds. The complaints seek, among other things, unspecified compensatory damages, rescissionary damages, fees and costs. The defendants intend to move to dismiss these actions and otherwise vigorously to defend them. While the Fund believes that it has meritorious defenses, the ultimate outcome of these matters is not presently determinable at this early stage of the litigation, and no provision has been made in the Fund's financial statements for the effect, if any, of these matters. 8. FEDERAL INCOME TAX STATUS The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations which may differ from generally accepted accounting principles. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed net investment income and net realized capital gains for tax purposes are reported as distributions of paid-in-capital. As of July 31, 2003, the Fund had a net capital loss carryforward of $53,206,862 of which $1,011,048 will expire on July 31, 2009, $19,339,256 will expire on July 31, 2010 and $32,856,558 will expire on July 31, 2011 to offset future capital gains to the extent provided by regulations. As of July 31, 2003, the Fund had temporary book/tax differences primarily attributable to post-October losses (capital losses incurred after October 31 within the taxable year which are deemed to arise on the first business day of the Fund's next taxable year). 50 MORGAN STANLEY TOTAL MARKET INDEX FUND FINANCIAL HIGHLIGHTS
FOR THE PERIOD FOR THE SIX FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999* MONTH ENDED ------------------------------ THROUGH JANUARY 31, 2004 2003 2002 2001 JULY 31, 2000 ---------------- -------- -------- -------- ------------------- (UNAUDITED) CLASS A SHARES SELECTED PER SHARE DATA: Net asset value, beginning of period $ 8.33 $ 7.52 $ 9.70 $ 11.38 $ 10.00 ---------------- -------- -------- -------- -------------- Income (loss) from investment operations: Net investment income++ 0.04 0.08 0.06 0.06 0.06 Net realized and unrealized gain (loss) 1.24 0.76 (2.24) (1.74) 1.34 ---------------- -------- -------- -------- -------------- Total income (loss) from investment operations 1.28 0.84 (2.18) (1.68) 1.40 ---------------- -------- -------- -------- -------------- Less dividends and distributions from: Net investment income (0.07) (0.03) - - - Net realized gains - - - - (0.02) ---------------- -------- -------- -------- -------------- Total dividends and distributions (0.07) (0.03) - - (0.02) ---------------- -------- -------- -------- -------------- Net asset value, end of period $ 9.54 $ 8.33 $ 7.52 $ 9.70 $ 11.38 ================ ======== ======== ======== ============== TOTAL RETURN+ 15.45%(1) 11.23% (22.47)% (14.76)% 13.99%(1) RATIOS TO AVERAGE NET ASSETS(3)(4): Expenses 0.75%(2) 0.75% 0.75% 0.71% 0.75%(2) Net investment income 0.92%(2) 1.01% 0.67% 0.58% 0.58%(2) SUPPLEMENTAL DATA: Net assets, end of period, in thousands $ 10,833 $ 12,865 $ 13,410 $ 16,678 $ 22,895 Portfolio turnover rate 3%(1) 4% 4% 7% 2%(1)
---------- * COMMENCEMENT OF OPERATIONS. ++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD. + DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD. (1) NOT ANNUALIZED. (2) ANNUALIZED. (3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC EXPENSES. (4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY THE INVESTMENT MANAGER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME RATIOS WOULD HAVE BEEN AS FOLLOWS:
EXPENSE NET INVESTMENT PERIOD ENDED RATIO INCOME RATIO ---------------- ------- -------------- JANUARY 31, 2004 0.91% 0.76% JULY 31, 2003 0.94% 0.82% JULY 31, 2002 0.90% 0.52% JULY 31, 2001 0.81% 0.48% JULY 31, 2000 0.90% 0.43%
SEE NOTES TO FINANCIAL STATEMENTS 51
FOR THE PERIOD FOR THE SIX FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999* MONTH ENDED --------------------------------- THROUGH JANUARY 31, 2004 2003 2002 2001 JULY 31, 2000 ---------------- --------- --------- --------- ------------------- (UNAUDITED) CLASS B SHARES SELECTED PER SHARE DATA: Net asset value, beginning of period $ 8.11 $ 7.35 $ 9.56 $ 11.31 $ 10.00 ---------------- --------- --------- --------- ------------- Income (loss) from investment operations: Net investment income (loss)++ 0.01 0.02 (0.01) (0.02) (0.02) Net realized and unrealized gain (loss) 1.21 0.75 (2.20) (1.73) 1.35 ---------------- --------- --------- --------- ------------- Total income (loss) from investment operations 1.22 0.77 (2.21) (1.75) 1.33 ---------------- --------- --------- --------- ------------- Less dividends and distributions from: Net investment income (0.02) (0.01) - - - Net realized gains - - - - (0.02) ---------------- --------- --------- --------- ------------- Total dividends and distributions (0.02) (0.01) - - (0.02) ---------------- --------- --------- --------- ------------- Net asset value, end of period $ 9.31 $ 8.11 $ 7.35 $ 9.56 $ 11.31 ================ ========= ========= ========= ============= TOTAL RETURN+ 15.02%(1) 10.46% (23.12)% (15.47)% 13.29%(1) RATIOS TO AVERAGE NET ASSETS(3)(4): Expenses 1.50%(2) 1.50% 1.50% 1.50% 1.50%(2) Net investment income (loss) 0.17%(2) 0.26% (0.08)% (0.21)% (0.17)%(2) SUPPLEMENTAL DATA: Net assets, end of period, in thousands $ 201,909 $ 182,932 $ 191,843 $ 290,758 $ 356,899 Portfolio turnover rate 3%(1) 4% 4% 7% 2%(1)
---------- * COMMENCEMENT OF OPERATIONS. ++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD. + DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD. (1) NOT ANNUALIZED. (2) ANNUALIZED. (3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC EXPENSES. (4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY THE INVESTMENT MANAGER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME (LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS:
EXPENSE NET INVESTMENT PERIOD ENDED RATIO INCOME (LOSS) RATIO ---------------- ------- ------------------- JANUARY 31, 2004 1.66% 0.01% JULY 31, 2003 1.69% 0.07% JULY 31, 2002 1.65% (0.23)% JULY 31, 2001 1.60% (0.31)% JULY 31, 2000 1.65% (0.32)%
SEE NOTES TO FINANCIAL STATEMENTS 52
FOR THE PERIOD FOR THE SIX FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999* MONTH ENDED ------------------------------ THROUGH JANUARY 31, 2004 2003 2002 2001 JULY 31, 2000 ---------------- -------- -------- -------- ------------------- (UNAUDITED) CLASS C SHARES SELECTED PER SHARE DATA: Net asset value, beginning of period $ 8.11 $ 7.36 $ 9.56 $ 11.31 $ 10.00 ---------------- -------- -------- -------- -------------- Income (loss) from investment operations: Net investment income (loss)++ 0.01 0.02 0.00 (0.02) (0.02) Net realized and unrealized gain (loss) 1.21 0.74 (2.20) (1.73) 1.35 ---------------- -------- -------- -------- -------------- Total income (loss) from investment operations 1.22 0.76 (2.20) (1.75) 1.33 ---------------- -------- -------- -------- -------------- Less dividends and distributions from: Net investment income (0.02) (0.01) - - - Net realized gains - - - - (0.02) ---------------- -------- -------- -------- -------------- Total dividends and distributions (0.02) (0.01) - - (0.02) ---------------- -------- -------- -------- -------------- Net asset value, end of period $ 9.31 $ 8.11 $ 7.36 $ 9.56 $ 11.31 ================ ======== ======== ======== ============== TOTAL RETURN+ 15.22%(1) 10.31% (23.01)% (15.47)% 13.29%(1) RATIOS TO AVERAGE NET ASSETS(3)(4): Expenses 1.50%(2) 1.50% 1.42% 1.50% 1.50%(2) Net investment income (loss) 0.17%(2) 0.26% 0.00% (0.21)% (0.17)%(2) SUPPLEMENTAL DATA: Net assets, end of period, in thousands $ 29,972 $ 23,483 $ 24,616 $ 35,607 $ 43,901 Portfolio turnover rate 3%(1) 4% 4% 7% 2%(1)
---------- * COMMENCEMENT OF OPERATIONS. ++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD. + DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD. (1) NOT ANNUALIZED. (2) ANNUALIZED. (3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC EXPENSES. (4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY THE INVESTMENT MANAGER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME (LOSS) RATIOS WOULD HAVE BEEN AS FOLLOWS:
EXPENSE NET INVESTMENT PERIOD ENDED RATIO INCOME (LOSS) RATIO ---------------- ------- ------------------- JANUARY 31, 2004 1.66% 0.01% JULY 31, 2003 1.69% 0.07% JULY 31, 2002 1.57% (0.15)% JULY 31, 2001 1.60% (0.31)% JULY 31, 2000 1.65% (0.32)%
SEE NOTES TO FINANCIAL STATEMENTS 53
FOR THE PERIOD FOR THE SIX FOR THE YEAR ENDED JULY 31, SEPTEMBER 28, 1999* MONTH ENDED ------------------------------ THROUGH JANUARY 31, 2004 2003 2002 2001 JULY 31, 2000 ---------------- -------- -------- -------- ------------------- (UNAUDITED) CLASS D SHARES SELECTED PER SHARE DATA: Net asset value, beginning of period $ 8.40 $ 7.57 $ 9.74 $ 11.41 $ 10.00 ---------------- -------- -------- -------- --------------- Income (loss) from investment operations: Net investment income++ 0.05 0.09 0.08 0.08 0.08 Net realized and unrealized gain (loss) 1.26 0.78 (2.25) (1.75) 1.35 ---------------- -------- -------- -------- --------------- Total income (loss) from investment operations 1.31 0.87 (2.17) (1.67) 1.43 ---------------- -------- -------- -------- --------------- Less dividends and distributions from: Net investment income (0.10) (0.04) - - - Net realized gains - - - - (0.02) ---------------- -------- -------- -------- --------------- Total dividends and distributions (0.10) (0.04) - - (0.02) ---------------- -------- -------- -------- --------------- Net asset value, end of period $ 9.61 $ 8.40 $ 7.57 $ 9.74 $ 11.41 ================ ======== ======== ======== =============== TOTAL RETURN+ 15.63%(1) 11.54% (22.28)% (14.64)% 14.30%(1) RATIOS TO AVERAGE NET ASSETS(3)(4): Expenses 0.50%(2) 0.50% 0.50% 0.50% 0.50%(2) Net investment income 1.17%(2) 1.26% 0.92% 0.79% 0.83%(2) SUPPLEMENTAL DATA: Net assets, end of period, in thousands $ 21,375 $ 13,347 $ 6,506 $ 7,329 $ 3,628 Portfolio turnover rate 3%(1) 4% 4% 7% 2%(1)
---------- * COMMENCEMENT OF OPERATIONS. ++ THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES OUTSTANDING DURING THE PERIOD. + CALCULATED BASED ON THE NET ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD. (1) NOT ANNUALIZED. (2) ANNUALIZED. (3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC EXPENSES. (4) IF THE FUND HAD BORNE ALL ITS EXPENSES THAT WERE REIMBURSED OR WAIVED BY THE INVESTMENT MANAGER, THE ANNUALIZED EXPENSE AND NET INVESTMENT INCOME RATIOS WOULD HAVE BEEN AS FOLLOWS:
EXPENSE NET INVESTMENT PERIOD ENDED RATIO INCOME RATIO ---------------- ------- -------------- JANUARY 31, 2004 0.66% 1.01% JULY 31, 2003 0.69% 1.07% JULY 31, 2002 0.65% 0.77% JULY 31, 2001 0.60% 0.69% JULY 31, 2000 0.65% 0.68%
SEE NOTES TO FINANCIAL STATEMENTS 54 (This page has been left blank intentionally.) TRUSTEES Michael Bozic Charles A. Fiumefreddo Edwin J. Garn Wayne E. Hedien James F. Higgins Dr. Manuel H. Johnson Joseph J. Kearns Michael E. Nugent Philip J. Purcell Fergus Reid OFFICERS Charles A. Fiumefreddo CHAIRMAN OF THE BOARD Mitchell M. Merin PRESIDENT Ronald E. Robison EXECUTIVE VICE PRESIDENT and PRINCIPAL EXECUTIVE OFFICER Barry Fink VICE PRESIDENT and GENERAL COUNSEL Joseph J. McAlinden VICE PRESIDENT Stefanie V. Chang VICE PRESIDENT Francis J. Smith TREASURER and CHIEF FINANCIAL OFFICER Thomas F. Caloia VICE PRESIDENT Mary E. Mullin SECRETARY TRANSFER AGENT Morgan Stanley Trust Harborside Financial Center, Plaza Two Jersey City, New Jersey 07311 INDEPENDENT AUDITORS Deloitte & Touche LLP Two World Financial Center New York, New York 10281 INVESTMENT MANAGER Morgan Stanley Investment Advisors Inc. 1221 Avenue of the Americas New York, New York 10020 The financial statements included herein have been taken from the records of the Fund without examination by the independent auditors and accordingly they do not express an opinion thereon. This report is submitted for the general information of the shareholders of the Fund. For more detailed information about the Fund, its fees and expenses and other pertinent information, please read its Prospectus. The Fund's Statement of Additional Information contains additional information about the Fund, including its trustees. It is available, without charge, by calling (800) 869-NEWS. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective Prospectus. Read the Prospectus carefully before investing. Investments and services offered through Morgan Stanley DW Inc., member SIPC. Morgan Stanley Distributors Inc., member NASD. (C) 2004 Morgan Stanley [MORGAN STANLEY LOGO] 38588RPT-00-13961C04-AP-3/04 [GRAPHIC] MORGAN STANLEY FUNDS MORGAN STANLEY TOTAL MARKET INDEX FUND SEMIANNUAL REPORT JANUARY 31, 2004 [MORGAN STANLEY LOGO] Item 2. Code of Ethics. Not applicable for semiannual reports. Item 3. Audit Committee Financial Expert. Not applicable for semiannual reports. Item 4. Principal Accountant Fees and Services Not applicable for semiannual reports. Item 5. Audit Committee of Listed Registrants. Not applicable for semiannual reports. Item 6. [Reserved.] Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable for semiannual reports. Item 8. [Reserved.] Item 9 - Controls and Procedures (a) The Fund's principal executive officer and principal financial officer have concluded that the Fund's disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms, based upon such officers' evaluation of these controls and procedures as of a date within 90 days of the filing date of the report. There were no significant changes or corrective actions with regard to significant deficiencies or material weaknesses in the Fund's internal controls or in other factors that could significantly affect the Fund's internal controls subsequent to the date of their evaluation. (b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 10 Exhibits (a) Code of Ethics - Not applicable for semiannual reports. (b) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto as part of EX-99.CERT. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Morgan Stanley Total Market Index Fund /s/ Ronald E. Robison Ronald E. Robison Principal Executive Officer March 19, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/ Ronald E. Robison Ronald E. Robison Principal Executive Officer March 19, 2004 /s/ Francis Smith Francis Smith Principal Financial Officer March 19, 2004