-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MsGJcLflgYqbiSFMk4+x0h1mu0C8+dYYe/g1AIaE6oxZgl6unzARQE4A3//mItOC QOH3tR1nJtwAtKyQCtQ4gg== 0000893220-01-000239.txt : 20010307 0000893220-01-000239.hdr.sgml : 20010307 ACCESSION NUMBER: 0000893220-01-000239 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20001231 FILED AS OF DATE: 20010302 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD INDEX TRUST CENTRAL INDEX KEY: 0000036405 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 231999755 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-02652 FILM NUMBER: 1560472 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: VM #V34 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106696289 FORMER COMPANY: FORMER CONFORMED NAME: FIRST INDEX INVESTMENT TRUST DATE OF NAME CHANGE: 19800904 N-30D 1 w44584n-30d.txt VANGUARD U.S. STOCK FUNDS ANNUAL REPORT 1 VANGUARD(R) 500 INDEX FUND Annual Report -- December 31, 2000 [PHOTO] [THE VANGUARD GROUP LOGO] 2 SOME LESSONS FROM 2000 Although the year 2000 was a trying period for many investors, it reinforced some investment truths worth keeping in mind as you build and maintain your portfolio. These include: - THINGS CHANGE. It's difficult--bordering on impossible--to consistently or precisely predict when the financial markets will turn up or down, when the economy will accelerate or slow, and which investments will lead or lag. Don't risk your hard-earned money by betting on such forecasts. - DIVERSIFICATION MATTERS. If you build and maintain a portfolio that includes different asset classes--as well as types of securities within asset classes--you give yourself a valuable buffer against severe damage from any one market segment. True, your diversified portfolio will never top the short-term performance charts. But a balanced investment approach will help you to meet your financial goals without taking undue risks. - PERSPECTIVE IS PARAMOUNT. Market declines are always painful. Yet they're inevitable if you seek the long-term rewards of investing. If you keep your focus on your long-term goals, you'll find periodic downturns much easier to endure and you'll avoid making emotion-driven mistakes. SUMMARY - - Vanguard 500 Index Fund provided a total return of -9.1% during the 12 months ended December 31, 2000, matching the return of its benchmark index. - - Large-capitalization stocks lagged small- and mid-cap stocks, as well as bonds. - - Periods of declining prices are a natural part of the financial markets. Such declines should not prompt a long-term investor to alter a well-conceived investment program. CONTENTS 1 Letter from the Chairman 7 Fund Profile 8 Glossary of Investment Terms 9 Performance Summary 10 Report on After-Tax Returns 11 Financial Statements 24 Report of Independent Accountants 3 LETTER from the Chairman Fellow Shareholder, VANGUARD 500 INDEX FUND had a total return of -9.1% in 2000, matching the return of our unmanaged benchmark, the Standard & Poor's 500 Index, and finishing in line with the average large-capitalization "core" mutual fund, which includes both growth and value stocks.
2000 TOTAL RETURNS FISCAL YEAR ENDED DECEMBER 31 - ------------------------------------------------------------- Vanguard 500 Index Fund -9.1% Average Large-Cap Core Fund* -9.0 S&P 500 Index -9.1 - -------------------------------------------------------------
*Derived from data provided by Lipper Inc.
ADMIRAL SHARES - ------------------------------------------------------------- Vanguard 500 Index Fund* -2.1% - -------------------------------------------------------------
*Since inception on November 13, 2000. This was the first calendar-year decline for the 500 Index Fund and large-cap stocks in general since 1990 and the largest in its quarter-century of existence. Although the decline undoubtedly was painful, it should be viewed in light of the extraordinary performance that preceded it: The 500 Index Fund and its target index generated average annual returns exceeding 17% during the past decade, even factoring in the downturn in 2000. The fund's total return (capital change plus reinvested dividends) is based on a decrease in net asset value from $135.33 per share on December 31, 1999, to $121.86 per share on December 31, 2000, and reflects dividends totaling $1.30 per share paid from net investment income. The table above presents the returns of our fund, our average peer, and our unmanaged target index. It also presents the result for our Admiral Shares, which became available on November 13, 2000. These shares--a lower-cost class for long-standing shareholders and those with substantial investments in the fund--returned -2.1% during the remainder of the year. (The price of the shares fell from $124.88 at inception to $121.87 as of December 31, 2000, a decline that was partially offset by a dividend of $0.381 per share paid from net investment income.) Details on Admiral Shares appear toward the end of this letter. If you own Vanguard 500 Index Fund in a taxable account, we call your attention to a review of the fund's after-tax returns on page 10. FINANCIAL MARKETS IN REVIEW The year 2000 was in many ways the flip side of its predecessor. The pace of ----- 1 4 economic growth slowed instead of accelerating as the year progressed, the broad U.S. stock market fell instead of soaring, "dot-com" changed from a magic formula to near-poison for investors, value stocks outpaced their growth counterparts, and bonds--the downtrodden asset class of 1999--provided the best returns.
MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 ONE THREE FIVE YEAR YEARS YEARS - ------------------------------------------------------------------------------ STOCKS S&P 500 Index (Large-caps) -9.1% 12.3% 18.3% Russell 2000 Index (Small-caps) -3.0 4.6 10.3 Wilshire 5000 Index (Entire market) -11.0 10.7 16.7 MSCI EAFE Index (International) -14.0 9.6 7.4 - ------------------------------------------------------------------------------ BONDS Lehman Aggregate Bond Index (Entire market) 11.6% 6.4% 6.5% Lehman 10 Year Municipal Bond Index 10.8 5.3 5.9 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 6.0 5.2 5.2 - ------------------------------------------------------------------------------ CPI Consumer Price Index 3.4% 2.6% 2.5% - ------------------------------------------------------------------------------
Worries about Y2K computer failures disappeared before all the New Year's confetti had hit the ground. For stocks, the year started off looking a lot like 1999. In February, the U.S. economy reached its record-breaking ninth consecutive year of growth, and gross domestic product grew at an annual pace of 4.8% in the first quarter. In March, broad stock market indexes were pushed to all-time highs, fueled by the skyrocketing prices of growth stocks, particularly in the technology sector. Then came an abrupt reversal. The tech-dominated Nasdaq Composite Index fell -34% in the five weeks after its March high. And despite many interim rallies--including 13 increases of 5% or more in a single day--the Nasdaq returned -38.7% for the 12 months, having fallen -51% from its peak in March to the year-end. The overall U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned -11.0% for the year--its first negative return since 1994 and its worst calendar-year performance since 1974. Several factors were at work in the markets. High energy prices raised the specter of inflation and cut into profits for some industries. A stronger U.S. dollar diminished corporate profits from foreign operations. And the Federal Reserve Board's series of interest rate boosts--implemented from mid-1999 through May 2000 to counter inflationary pressures--began to have their intended effect in slowing the pace of economic growth. Indeed, by year-end markets were expecting the Fed to begin reducing rates to keep the slowdown from turning into a recession. (The Fed acted on January 3, 2001, cutting short-term interest rates by 0.5%.) Investors worried that a slower economy, combined with the boom in capital investment in recent years, would result in significant overcapacity in many industries. Many believed that companies would find it hard--if not ----- 2 5 impossible--to sustain their earnings growth. Indeed, by late 2000, hundreds of companies were reporting earnings that failed to meet expectations. ------------------------ HIGH ENERGY PRICES, A SERIES OF INTEREST RATE BOOSTS BY THE FED, AND A STRONGER U.S. DOLLAR PROMPTED CON- CERN ABOUT CORPORATE EARNINGS GROWTH. ------------------------ Technology and telecommunications stocks, whose prices had reflected the highest levels of optimism, were the hardest hit. Some Internet companies that had seen triple-digit stock price gains in 1999 disappeared in 2000 because they ran through their cash and had no profits to sustain themselves. Amid such spectacular declines, the stock market also had its success stories. The big winners in 2000 were in health care, utilities (except for telecommunications firms), energy, and financial services. After five years as outcasts, many value stocks--those with relatively low prices in relation to earnings, book value, dividends, and other financial measures--far outperformed their growth counterparts and posted solid positive returns. The value stocks within the S&P 500 Index returned 6.1% for the year, while the growth stocks within the index fell -22.1%. When results are sorted by market capitalization, mid-cap stocks did the best overall (the S&P MidCap 400 Index gained 17.5%), followed by small-caps. By certain measures, 2000 was a better year for stocks than 1999: Almost 47% of the stocks in the Russell 3000 Index--the 3,000 largest U.S. stocks--had positive returns, compared with about 45% in 1999. However, like the S&P 500, most market indexes are weighted according to market capitalization, so sharp declines of certain very large stocks had a much bigger influence on the index than did the gains of smaller stocks. In 1999, the oversized gains for some of those same large stocks pushed the indexes higher. Bonds generally enjoyed a banner 2000. Many high-quality, long-duration issues posted double-digit returns, as investors sought a haven from stock market volatility. Shrinkage in the supply of U.S. Treasury and municipal securities also helped bond prices. Bond yields move in the opposite direction from prices. The yield of the 30-year Treasury bond fell 102 basis points (1.02 percentage points) during the year to 5.46% by December 31; the 10-year Treasury yield fell 133 basis points to 5.11%. 2000 PERFORMANCE OVERVIEW In 2000, Vanguard 500 Index Fund once again met its investment objective by matching the performance of the S&P 500 Index. Of course, this "success" is of little consolation to shareholders when the index has fallen. However, periods of falling prices are a normal part of investing in the financial markets and should be expected from time to time. Those relatively new to investing could be forgiven for their surprise at the downturn. After all, from the start of the record-setting bull market in ----- 3 6 S&P 500 INDEX TOTAL RETURNS DECEMBER 31, 1949-DECEMBER 31, 2000 [BAR CHART]
Year Return 1950 31.46 1951 23.97 1952 18.16 1953 -0.94 1954 52.27 1955 31.41 1956 6.48 1957 -10.72 1958 43.15 1959 11.95 1960 0.45 1961 26.88 1962 -8.66 1963 22.76 1964 16.43 1965 12.46 1966 -10.02 1967 23.89 1968 11.04 1969 -8.40 1970 3.89 1971 14.22 1972 18.96 1973 -14.67 1974 -26.31 1975 37.14 1976 23.81 1977 -7.19 1978 6.52 1979 18.45 1980 32.45 1981 -4.88 1982 21.50 1983 22.46 1984 6.27 1985 31.75 1986 18.68 1987 5.26 1988 16.61 1989 31.69 1990 -3.10 1991 30.47 1992 7.62 1993 10.08 1994 1.32 1995 37.58 1996 22.96 1997 33.36 1998 28.58 1999 21.04 2000 -9.10
Source: The Vanguard Group. August 1982, the S&P 500 Index had produced a negative total return in only one year (1990), and that was a dip of only -3.1%. But as the bar graph above shows, annual declines in the S&P 500, which are shaded, occurred with much greater frequency in earlier decades. Truly, the 1980s and 1990s were golden decades for investors, and millions of them had never seen their portfolios lose value over the course of a calendar year. That's why we were concerned a year ago that many investors may have thought that the stock market was more docile than it is. I wrote then: "It is prudent to recognize that financial markets will go through bad times as well as good times and to adopt realistic assumptions about future returns." We couldn't know that the stock market was about to provide such a lesson. But if there is a silver lining in the events of 2000, it is that investors now have a better understanding of the ever-present risks of the equity markets and of the benefits of diversifying by holding bonds and short-term investments as well as stocks. Investors who keep a long-term perspective generally find it easier to ride out market turbulence, and we now turn to a long-term review of your fund. LONG-TERM PERFORMANCE OVERVIEW Vanguard 500 Index Fund will mark its silver anniversary in 2001. Introduced as First Index Investment Trust in August 1976, the fund soon found its investment approach derided as "un-American." Critics said that indexing amounted to "settling for mediocrity." Now that nearly 25 years of history have proven them wrong, such claims are rarely heard. The table below presents the average annual returns over the decade ended December 31, 2000, for the 500 Index Fund, our average peer, and our index benchmark. It also shows how hypothetical investments of $10,000 in each
TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2000 AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - ------------------------------------------------------------------------------- Vanguard 500 Index Fund 17.4% $49,545 Average Large-Cap Core Fund 16.0 44,186 S&P 500 Index 17.5 49,979 - -------------------------------------------------------------------------------
----- 4 7 would have fared over the decade, assuming the reinvestment of income and capital gains distributions. - -------------------------- AS THE 500 INDEX FUND NEARS ITS 25TH ANNIVERSARY, ITS PERFORMANCE HAS SILENCED MOST OF THE CRITICS WHO ONCE CLAIMED THAT INDEX INVESTING AMOUNTED TO "SETTLING FOR MEDIOCRITY." - -------------------------- As you can see, the 500 Index Fund's average annual return was nearly 1.5 percentage points higher than the average return for competing funds. Over time, compounding magnifies the value of such a performance gap: A $10,000 investment in the fund at the end of 1990 would have grown in a decade by $5,300 more than the same sum invested in the average mutual fund in our peer group. We trailed the S&P 500 Index by an average of just 0.1 percentage point annually. This was a fine performance because as a theoretical construct, the index has no operating or transaction costs, both of which act as a drag on the returns of real-world investments, such as mutual funds. That the fund came so close to its target index was due to the excellent work of our investment adviser, Vanguard's Quantitative Equity Group, whose deft handling of the fund overcame part of the burden of operating and transaction costs. Make no mistake about it, not all index funds are created equal. Incredibly, some index funds levy sales charges--thereby undercutting the low costs that should be the hallmark of any "passive management" strategy. And, as noted above, the skill with which an index fund manager executes securities trades makes a difference, too. The proof of our Quantitative Equity Group's extraordinary skill is plain to see in the fund's record versus other S&P 500 Index funds. Over the 1-, 5-, and 10-year periods ended December 31, 2000, our fund's average annual returns outpaced those of these "identical" competitors by at least 0.5 percentage point. The power of compounding makes such an advantage significant. A WORD ABOUT ADMIRAL SHARES In November, Vanguard introduced Admiral Shares, an innovative program to recognize the cost savings that long-tenured and large accounts bring to the administration of mutual funds. Admiral Shares return these savings to the investors who create them. All shareholders are proportional owners of the 500 Index Fund's assets--the underlying stocks in which the fund invests. But Admiral shareholders benefit from an even lower annual expense ratio--just 0.12%, or $1.20 per $1,000 in assets--than the tiny 0.18% expense ratio paid for our fund's Investor Shares. Importantly, the economies of scale that large, long-standing accounts create enabled us to offer Admiral Shares without an increase in the expense ratio for Investor Shares of the 500 Index Fund. ----- 5 8 Admiral Shares are available to the owners of both nonretirement and IRA accounts that meet one of the following criteria: - The fund account was established at least ten years ago and has a balance of $50,000 or more, and the shareholder is registered for online account access at our website, Vanguard.com. - The fund account was established at least three years ago and has a balance of $150,000 or more, and the shareholder is registered for online account access at Vanguard.com. - There is a balance of $250,000 or more in the fund account. An investment of any size in the fund reflects trust, and we thank all of our shareholders for putting their hard-earned assets under our care. We will continue striving to deliver the promise of Vanguard 500 Index Fund--to provide as much of the market return of large-cap domestic stocks as possible. IN CLOSING We believe that 2000 was a year that provided useful lessons for long-term investors. It highlighted the value of diversification and balance. And it reinforced the existence of investment risk. Risk is like a reef: It's not always evident, but it's always present. And like a reef, risk is particularly dangerous to those who let smooth sailing diminish their respect for it. We believe a balanced investment program that takes into account the inevitable risks of investing is the best way to reap the long-term rewards of the financial markets. Such a portfolio contains stock funds, bond funds, and short-term investments. Once your investment plan is in place, we recommend that you stick with it. Sincerely, [PHOTO] /s/ JOHN J. BRENNAN JOHN J. BRENNAN Chairman and January 11, 2001 Chief Executive Officer ----- 6 9 FUND PROFILE AS OF DECEMBER 31, 2000 for 500 Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index. Key terms are defined on page 8.
- --------------------------------------------------------------- PORTFOLIO CHARACTERISTICS S&P FUND 500 - --------------------------------------------------------------- Number of Stocks 508 500 Median Market Cap $71.6B $71.6B Price/Earnings Ratio 26.0x 26.0x Price/Book Ratio 4.7x 4.7x Yield 1.0% 1.2% Yield--Admiral Shares 1.1% 1.2% Return on Equity 23.7% 23.7% Earnings Growth Rate 15.5% 15.5% Foreign Holdings 1.4% 1.4% Turnover Rate 9% -- Expense Ratio 0.18% -- Expense Ratio--Admiral Shares 0.12%* -- Cash Investments 0.0% -- - ---------------------------------------------------------------
- --------------------------------------------------------------- VOLATILITY MEASURES S&P FUND 500 - --------------------------------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - ---------------------------------------------------------------
- --------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) S&P FUND 500 - --------------------------------------------------------------- Auto & Transportation 1.7% 1.7% Consumer Discretionary 10.8 10.8 Consumer Staples 7.2 7.2 Financial Services 18.3 18.3 Health Care 14.1 14.1 Integrated Oils 5.2 5.2 Other Energy 2.4 2.4 Materials & Processing 2.5 2.5 Producer Durables 2.9 2.9 Technology 20.3 20.3 Utilities 8.5 8.5 Other 6.1 6.1 - ---------------------------------------------------------------
*Annualized.
- -------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 4.0% (conglomerate) Exxon Mobil Corp. 2.6 (oil) Pfizer, Inc. 2.5 (pharmaceuticals) Cisco Systems, Inc. 2.3 (computer networks) Citigroup, Inc. 2.2 (financial services) Wal-Mart Stores, Inc. 2.0 (retail) Microsoft Corp. 2.0 (software) American International Group, Inc. 2.0 (insurance) Merck & Co., Inc. 1.8 (pharmaceuticals) Intel Corp. 1.7 (computer hardware) - -------------------------------------------- Top Ten 23.1% - --------------------------------------------
- -------------------------------------------- INVESTMENT FOCUS STYLE Blend MARKET CAP Large - --------------------------------------------
[COMPUTER GRAPHIC] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. ----- 7 10 GLOSSARY of Investment Terms BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the overall market (or appropriate market index). The market (or index) is assigned a beta of 1.00, so a fund with a beta of 1.20 would have seen its share price rise or fall by 12% when the overall market rose or fell by 10%. - -------------------------------------------------------------------------------- CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash equivalents"--highly liquid, short-term, interest-bearing securities. This figure does not include cash invested in futures contracts to simulate stock investment. - -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. - -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. - -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or American Depositary Receipts of companies based outside the United States. - -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. - -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. - -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. - -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the overall market (or its benchmark index). If a fund's total returns were precisely synchronized with the overall market's return, its R-squared would be 1.00. If a fund's returns bore no relationship to the market's returns, its R-squared would be 0. - -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of trading activity during the past year. Funds with high turnover rates incur higher transaction costs and are more likely to distribute capital gains (which are taxable to investors). - -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of dividends paid on stocks in the index. - -------------------------------------------------------------------------------- ----- 8 11 PERFORMANCE SUMMARY for 500 Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [BAR CHART]
- -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) DECEMBER 31, 1990-DECEMBER 31, 2000 - ------------------------------ 500 S&P Index 500 Fund Index - ------------------------------ 1991 30.2% 30.5% 1992 7.4 7.6 1993 9.9 10.1 1994 1.2 1.3 1995 37.4 37.6 1996 22.9 23.0 1997 33.2 33.4 1998 28.6 28.6 1999 21.1 21.0 2000 -9.1 -9.1 - ------------------------------
See Financial Highlights table on page 19 for dividend and capital gains information for the past five years. [PERFORMANCE GRAPH]
- ------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1990-DECEMBER 31, 2000 Average Large-Cap S&P 500 500 Index Fund Core Fund Index 1990 12 $10000 $10000 $10000 1991 03 11447 11482 11453 1991 06 11414 11381 11426 1991 09 12017 12122 12037 1991 12 13022 13207 13047 1992 03 12687 13014 12717 1992 06 12924 12933 12959 1992 09 13323 13293 13368 1992 12 13989 14175 14041 1993 03 14594 14743 14654 1993 06 14657 14849 14725 1993 09 15027 15363 15106 1993 12 15373 15679 15456 1994 03 14782 15152 14870 1994 06 14840 15020 14932 1994 09 15561 15664 15662 1994 12 15553 15461 15660 1995 03 17064 16741 17185 1995 06 18682 18186 18825 1995 09 20166 19564 20321 1995 12 21378 20461 21544 1996 03 22520 21556 22701 1996 06 23522 22379 23720 1996 09 24241 23107 24453 1996 12 26268 24660 26491 1997 03 26958 24987 27201 1997 06 31652 29028 31950 1997 09 34021 31215 34343 1997 12 34987 31631 35329 1998 03 39855 35904 40258 1998 06 41165 36866 41587 1998 09 37069 32636 37450 1998 12 44999 39669 45426 1999 03 47241 41671 47689 1999 06 50549 44394 51051 1999 09 47389 41689 47863 1999 12 54479 48535 54985 2000 03 55701 50713 56245 2000 06 54250 49441 54751 2000 09 53743 49110 54221 2000 12 49545 44186 49979
- ---------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE ------------------------------- OF A $10,000 1 YEAR 5 YEARS 10 YEARS INVESTMENT - ---------------------------------------------------------------------------------------- 500 Index Fund* -9.06% 18.31% 17.35% $49,545 Average Large-Cap Core Fund** -8.96 16.65 16.02 44,186 S&P 500 Index -9.10 18.33 17.46 49,979 - ----------------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ----- 9 12 A REPORT on Your Fund's After-Tax Returns This table presents pre-tax and after-tax returns for your fund and an appropriate peer group of mutual funds. The after-tax returns represent the fund's past results only and should not be used to predict future tax efficiency. If you own the fund in a tax-deferred account such as an individual retirement account or a 401(k), this information does not apply to you. Such accounts are not subject to current taxes. Income taxes can have a considerable impact on a fund's return--an important consideration for investors who own mutual funds in taxable accounts. While the pre-tax return is most often used to tally a fund's performance, the fund's after-tax return, which accounts for taxes on distributions of capital gains and income dividends, is an important measure of the return that many investors actually received. PRE-TAX AND AFTER-TAX PERIODS ENDED DECEMBER 31, 2000 AVERAGE ANNUAL TOTAL RETURNS
ONE YEAR FIVE YEARS TEN YEARS --------------------------------------------------------------------- PRE-TAX AFTER-TAX PRE-TAX AFTER-TAX PRE-TAX AFTER-TAX - ----------------------------------------------------------------------------------------------------------------- Vanguard 500 Index Fund -9.1% -9.4% 18.3% 17.5% 17.4% 16.4% Average Large Blend Fund* -7.0 -8.6 16.0 13.6 15.7 13.3 - -----------------------------------------------------------------------------------------------------------------
*Based on data from Morningstar, Inc. Elsewhere in this report, returns for comparable funds are derived from data provided by Lipper Inc., which may differ somewhat. The after-tax return calculations use the top federal income tax rates in effect at the time of each distribution. The tax burden would be less, and the after-tax return higher, for those in lower tax brackets. We must stress that because many interrelated factors affect how tax-friendly a fund may be, it's very difficult to predict tax efficiency. A fund's tax efficiency can be influenced by its turnover rate, the types of securities it holds, the accounting practices it uses, and the net cash flow it receives. Finally, it's important to understand that our calculation does not reflect the tax effect of your own investment activities. Specifically, you may incur additional capital gains taxes--thereby lowering your after-tax return--if you decide to sell all or some of your shares. - -------------------------------------------------------------------------------- A NOTE ABOUT OUR CALCULATIONS: Pre-tax total returns assume that all distributions received (income dividends, short-term capital gains, and long-term capital gains) are reinvested in new shares, while our after-tax returns assume that distributions are reduced by any taxes owed on them before reinvestment. When calculating the taxes due, we used the highest individual federal income tax rates at the time of the distributions. Those rates are currently 39.6% for dividends and short-term capital gains and 20% for long-term capital gains. State and local income taxes were not considered. The competitive group returns provided by Morningstar are calculated in a manner consistent with that used for Vanguard funds. (C)2001 by Morningstar(R), Inc. All rights reserved. Average return information for comparative fund groups is proprietary information of Morningstar, Inc. It may not be copied or redistributed, and it may only be used for noncommercial, personal purposes. Morningstar does not warrant that this information is accurate, correct, complete, or timely, and Morningstar is not responsible for investment decisions, damages, or other losses resulting from use of this information. Past performance is no guarantee of future performance. Morningstar, Inc., has not consented to be considered or deemed an "expert" under the Securities Act of 1933. ----- 10 13 FINANCIAL STATEMENTS December 31, 2000 STATEMENT OF NET ASSETS This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
- -------------------------------------------------------------------------------- MARKET VALUE- 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) - -------------------------------------------------------------------------------- General Electric Co. 81,405,120 $3,902,358 Exxon Mobil Corp. 28,557,668 2,482,732 Pfizer, Inc. 51,831,753 2,384,261 * Cisco Systems, Inc. 59,127,024 2,261,609 Citigroup, Inc. 41,296,925 2,108,724 Wal-Mart Stores, Inc. 36,697,047 1,949,531 * Microsoft Corp. 43,809,635 1,900,243 American International Group, Inc. 19,123,165 1,884,827 Merck & Co., Inc. 18,946,193 1,773,837 Intel Corp. 55,292,465 1,662,230 * Oracle Corp. 45,984,475 1,336,424 SBC Communications Inc. 27,809,349 1,327,896 The Coca-Cola Co. 20,372,549 1,241,452 International Business Machines Corp. 14,413,624 1,225,158 Johnson & Johnson 11,419,520 1,199,763 * EMC Corp. 17,975,710 1,195,385 Bristol-Myers Squibb Co. 16,064,031 1,187,734 Verizon Communications 22,174,123 1,111,478 Royal Dutch Petroleum Co. ADR 17,616,349 1,066,890 Home Depot, Inc. 19,025,945 869,248 Eli Lilly & Co. 9,261,310 861,881 Procter & Gamble Co. 10,711,155 840,156 Nortel Networks Corp. 25,447,284 815,904 Philip Morris Cos., Inc. 18,268,070 803,795 Tyco International Ltd. 14,369,049 797,482 Wells Fargo Co. 14,042,032 781,966 * Sun Microsystems, Inc. 26,452,738 737,370 Morgan Stanley Dean Witter & Co. 9,207,281 729,677 Fannie Mae 8,275,857 717,931 American Home Products Corp. 10,766,763 684,228 Schering-Plough Corp. 12,011,348 681,644 Texas Instruments, Inc. 14,212,567 673,320 * America Online, Inc. 19,190,678 667,836 Pharmacia Corp. 10,594,902 646,289 BellSouth Corp. 15,347,606 628,293 Abbott Laboratories 12,707,827 615,534 Bank of America Corp. 13,371,468 613,416 American Express Co. 10,926,531 600,276 Medtronic, Inc. 9,870,787 595,949 PepsiCo, Inc. 11,859,908 587,807 * Viacom Inc. Class B 12,287,440 574,438 Time Warner, Inc. 10,906,237 569,742 * Qwest Communications International Inc. 13,605,869 557,841 * Amgen, Inc. 8,486,118 542,581 AT&T Corp. 30,837,422 533,873 Hewlett-Packard Co. 16,245,586 512,751 Enron Corp. 6,132,381 509,754 * QUALCOMM, Inc. 6,141,961 504,792 The Walt Disney Co. 17,125,807 495,578 The Chase Manhattan Corp. 10,765,357 489,151 The Boeing Co. 7,298,895 481,727
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- -------------------------------------------------------------------------------- MARKET VALUE- 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Merrill Lynch & Co., Inc. 6,655,342 $ 453,811 Chevron Corp. 5,273,387 445,272 E.I. du Pont de Nemours & Co. 8,568,295 413,956 Corning, Inc. 7,555,409 399,020 Freddie Mac 5,710,165 393,288 Minnesota Mining & Manufacturing Co. 3,240,512 390,482 Schlumberger Ltd. 4,703,504 375,986 * Dell Computer Corp. 21,252,646 370,593 Lucent Technologies, Inc. 27,435,541 370,380 McDonald's Corp. 10,773,293 366,292 Motorola, Inc. 17,945,279 363,392 Ford Motor Co. 15,398,328 360,898 Bank One Corp. 9,504,689 348,109 Walgreen Co. 8,322,518 347,985 Anheuser-Busch Cos., Inc. 7,410,874 337,195 The Bank of New York Co., Inc. 6,082,972 335,704 * WorldCom, Inc. 23,653,054 332,621 * JDS Uniphase Corp. 7,935,228 330,800 Automatic Data Processing, Inc. 5,185,180 328,287 Charles Schwab Corp. 11,367,519 322,553 Gillette Co. 8,652,871 312,585 Kimberly-Clark Corp. 4,386,563 310,086 Honeywell International Inc. 6,551,306 309,959 Colgate-Palmolive Co. 4,700,871 303,441 United Technologies Corp. 3,847,584 302,516 Unilever NV ADR 4,695,527 295,525 Texaco Inc. 4,519,342 280,764 * Veritas Software Corp. 3,203,739 280,327 FleetBoston Financial Corp. 7,435,779 279,306 Emerson Electric Co. 3,509,487 276,591 * Comcast Corp.-Special Class A 6,603,517 275,697 Marsh & McLennan Cos., Inc. 2,260,073 264,428 Allstate Corp. 6,007,882 261,718 MBNA Corp. 6,997,565 258,472 Duke Energy Corp. 3,029,585 258,272 * Safeway, Inc. 4,116,562 257,285 * Applied Materials, Inc. 6,663,477 254,461 * Siebel Systems, Inc. 3,528,770 238,633 Alcoa Inc. 7,106,400 238,064 Target Corp. 7,359,877 237,356 General Motors Corp. 4,641,053 236,404 Washington Mutual, Inc. 4,430,488 235,093 * Clear Channel Communications, Inc. 4,804,269 232,707 Cardinal Health, Inc. 2,293,219 228,462 Fifth Third Bancorp 3,794,908 226,746 First Union Corp. 8,047,856 223,831 Electronic Data Systems Corp. 3,841,086 221,823 Metropolitan Life Insurance Co. 6,281,077 219,838 J.P. Morgan & Co., Inc. 1,314,932 217,621 Baxter International, Inc. 2,416,785 213,432 Household International, Inc. 3,868,447 212,764 Compaq Computer Corp. 13,966,240 210,192 * AES Corp. 3,767,396 208,620 Dow Chemical Co. 5,573,346 204,124 * Agilent Technologies, Inc. 3,721,838 203,771 HCA-The Healthcare Co. 4,539,256 199,773 Mellon Financial Corp. 4,008,923 197,189 CVS Corp. 3,218,709 192,921 * Tellabs, Inc. 3,372,594 190,551 Exelon Corp. 2,615,845 183,658 Southern Co. 5,521,863 183,602 * The Kroger Co. 6,762,040 182,998 Firstar Corp. 7,805,762 181,484 U.S. Bancorp 6,187,685 180,603 The Gap, Inc. 6,980,464 178,002 * Solectron Corp. 5,229,799 177,290 PNC Financial Services Group 2,374,053 173,454 * Applied Micro Circuits Corp. 2,282,200 171,272 First Data Corp. 3,245,465 170,995 American General Corp. 2,065,737 168,358 Sara Lee Corp. 6,849,693 168,246 CIGNA Corp. 1,261,259 166,865 * Network Appliance, Inc. 2,596,278 166,649 * Kohl's Corp. 2,725,141 166,234 * Micron Technology, Inc. 4,660,316 165,441 Sysco Corp. 5,491,675 164,750 State Street Corp. 1,326,306 164,740 Applera Corp.-Applied Biosystems Group 1,728,264 162,565 * Broadcom Corp. 1,932,400 162,322 International Paper Co. 3,954,768 161,404 UnitedHealth Group Inc. 2,619,675 160,782 ALLTEL Corp. 2,568,270 160,356 AFLAC, Inc. 2,179,132 157,306 * Sprint PCS 7,658,907 156,529 Coastal Corp. 1,768,308 156,164 * NEXTEL Communications, Inc. 6,259,025 154,911 SunTrust Banks, Inc. 2,433,517 153,312 * Analog Devices, Inc. 2,937,811 150,379 Dynegy, Inc. 2,654,618 148,824 Paychex, Inc. 3,058,272 148,708 Northern Trust Corp. 1,821,828 148,593 Conoco Inc. Class B 5,119,632 148,149 Carnival Corp. 4,802,468 147,976 Illinois Tool Works, Inc. 2,481,742 147,819 Sprint Corp. 7,265,033 147,571 * Comverse Technology, Inc. 1,352,729 146,940 * Costco Wholesale Corp. 3,674,360 146,745 Anadarko Petroleum Corp. 2,043,856 145,277 Williams Cos., Inc. 3,615,169 144,381 National City Corp. 4,998,255 143,700 Waste Management, Inc. 5,106,967 141,718 Lowe's Cos., Inc. 3,145,482 139,974 Southwest Airlines Co. 4,123,147 138,249
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- -------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - -------------------------------------------------------------------------------- * Yahoo!, Inc. 4,587,841 $ 137,922 El Paso Energy Corp. 1,907,810 136,647 Gannett Co., Inc. 2,166,414 136,619 * Guidant Corp. 2,527,426 136,323 H.J. Heinz Co. 2,849,580 135,177 Providian Financial Corp. 2,348,696 135,050 Caterpillar, Inc. 2,823,883 133,605 Lehman Brothers Holdings, Inc. 1,959,338 132,500 Halliburton Co. 3,634,608 131,754 * Palm, Inc. 4,649,015 131,625 Dominion Resources, Inc. 1,964,526 131,623 The Hartford Financial Services Group Inc. 1,852,415 130,827 General Dynamics Corp. 1,636,638 127,658 * Xilinx, Inc. 2,706,448 124,835 The Chubb Corp. 1,435,901 124,205 NIKE, Inc. Class B 2,219,216 123,860 American Electric Power Co., Inc. 2,645,382 123,010 BB&T Corp. 3,258,242 121,573 Omnicom Group Inc. 1,454,806 120,567 Linear Technology Corp. 2,601,860 120,336 Lockheed Martin Corp. 3,538,478 120,131 Campbell Soup Co. 3,459,803 119,796 Phillips Petroleum Co. 2,097,087 119,272 Tenet Healthcare Corp. 2,604,617 115,743 * ADC Telecommunications, Inc. 6,341,959 114,948 Adobe Systems, Inc. 1,974,498 114,891 ConAgra Foods, Inc. 4,381,991 113,932 Baker Hughes, Inc. 2,726,372 113,315 * Maxim Integrated Products, Inc. 2,335,193 111,651 Interpublic Group of Cos., Inc. 2,528,391 107,615 Capital One Financial Corp. 1,617,551 106,455 Tribune Co. 2,484,367 104,965 The Quaker Oats Co. 1,076,980 104,871 Reliant Energy, Inc. 2,421,103 104,864 Allergan, Inc. 1,080,459 104,602 FPL Group, Inc. 1,452,944 104,249 * Calpine Corp. 2,310,980 104,139 * Global Crossing Ltd. 7,275,960 104,137 General Mills, Inc. 2,321,831 103,467 Union Pacific Corp. 2,036,039 103,329 Harley-Davidson, Inc. 2,489,273 98,949 KeyCorp 3,498,600 97,961 St. Paul Cos., Inc. 1,789,535 97,194 Wachovia Corp. 1,671,371 97,148 Eastman Kodak Co. 2,466,641 97,124 * Forest Laboratories, Inc. 720,764 95,771 Sears, Roebuck & Co. 2,746,499 95,441 * Sanmina Corp. 1,243,961 95,318 Masco Corp. 3,666,941 94,194 The McGraw-Hill Cos., Inc. 1,605,080 94,098 TXU Corp. 2,121,433 94,006 Avon Products, Inc. 1,954,640 93,578 * FedEx Corp. 2,341,559 93,569 Computer Associates International, Inc. 4,769,875 93,013 Burlington Northern Santa Fe Corp. 3,243,925 91,844 Albertson's, Inc. 3,459,297 91,671 USA Education Inc. 1,348,044 91,667 Weyerhaeuser Co. 1,800,036 91,352 Alcan Aluminium Ltd. 2,655,009 90,768 Burlington Resources, Inc. 1,769,124 89,341 Wrigley, (Wm.) Jr. Co. 927,407 88,857 Deere & Co. 1,927,234 88,291 Golden West Financial Corp. 1,299,654 87,727 Kellogg Co. 3,332,675 87,483 * PeopleSoft, Inc. 2,345,353 87,218 * Altera Corp. 3,257,091 85,702 Public Service Enterprise Group, Inc. 1,761,281 85,642 Loews Corp. 810,006 83,886 McKesson HBOC, Inc. 2,332,499 83,713 Marriott International, Inc. Class A 1,971,543 83,298 * Computer Sciences Corp. 1,383,133 83,161 Progress Energy, Inc. 1,688,069 83,032 * ALZA Corp. 1,943,921 82,617 * MedImmune Inc. 1,730,598 82,528 * Vitesse Semiconductor Corp. 1,475,460 81,611 Xcel Energy, Inc. 2,793,755 81,193 May Department Stores Co. 2,446,836 80,134 Danaher Corp. 1,165,514 79,692 Transocean Sedco Forex Inc. 1,731,110 79,631 Archer-Daniels-Midland Co. 5,202,396 78,036 Stryker Corp. 1,533,577 77,584 Entergy Corp. 1,831,290 77,486 Air Products & Chemicals, Inc. 1,883,762 77,234 Unocal Corp. 1,995,925 77,217 Comerica, Inc. 1,287,982 76,474 Franklin Resources Corp. 2,001,508 76,257 Lincoln National Corp. 1,574,156 74,477 Occidental Petroleum Corp. 3,034,497 73,587 * Biogen, Inc. 1,215,095 72,982 Stilwell Financial, Inc. 1,827,418 72,069 Becton, Dickinson & Co. 2,080,345 72,032 Aon Corp. 2,102,084 71,996 Hershey Foods Corp. 1,118,067 71,976 Rockwell International Corp. 1,508,013 71,819 * King Pharmaceuticals, Inc. 1,387,003 71,691 * Nabors Industries, Inc. 1,207,041 71,396 Apache Corp. 1,015,025 71,115 USX-Marathon Group 2,550,716 70,782 * Chiron Corp. 1,573,569 70,024 Raytheon Co. Class B 2,238,549 69,535 Pitney Bowes, Inc. 2,072,292 68,645
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- -------------------------------------------------------------------------------- MARKET VALUE- 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- The Clorox Co. 1,932,994 $ 68,621 * Starbucks Corp. 1,537,111 68,017 Dover Corp. 1,668,771 67,689 Consolidated Edison Inc. 1,741,910 67,063 * Intuit, Inc. 1,694,975 66,846 Ralston-Ralston Purina Group 2,522,308 65,895 Rohm & Haas Co. 1,805,508 65,563 RadioShack Corp. 1,527,362 65,390 Coca-Cola Enterprises, Inc. 3,433,045 65,228 IMS Health, Inc. 2,413,205 65,156 Devon Energy Corp. 1,054,690 64,304 PPG Industries, Inc. 1,386,423 64,209 TJX Cos., Inc. 2,312,420 64,170 PG&E Corp. 3,180,092 63,602 Jefferson-Pilot Corp. 846,977 63,312 Synovus Financial Corp. 2,335,574 62,914 Progressive Corp. of Ohio 603,436 62,531 * Mercury Interactive Corp. 664,602 59,980 MBIA, Inc. 808,161 59,905 Union Carbide Corp. 1,110,961 59,784 The Limited, Inc. 3,497,675 59,679 * Wellpoint Health Networks Inc. Class A 513,857 59,222 MGIC Investment Corp. 876,434 59,105 FirstEnergy Corp. 1,852,857 58,481 Biomet, Inc. 1,464,317 58,115 * Federated Department Stores, Inc. 1,659,509 58,083 * QLogic Corp. 752,187 57,918 Praxair, Inc. 1,301,515 57,755 * Cendant Corp. 5,985,884 57,614 Georgia Pacific Group 1,846,689 57,478 * Convergys Corp. 1,267,437 57,431 Molex, Inc. 1,602,668 56,895 SouthTrust Corp. 1,382,799 56,263 Constellation Energy Group 1,232,899 55,558 Ingersoll-Rand Co. 1,318,670 55,219 Summit Bancorp 1,432,373 54,699 Textron, Inc. 1,168,435 54,332 Starwood Hotels & Resorts Worldwide, Inc. 1,540,603 54,306 PPL Corp. 1,190,506 53,796 New York Times Co. Class A 1,336,188 53,531 Barrick Gold Corp. 3,252,450 53,275 * Teradyne, Inc. 1,429,547 53,251 Amerada Hess Corp. 728,195 53,204 UnumProvident Corp. 1,979,071 53,188 EOG Resources, Inc. 956,932 52,332 Cincinnati Financial Corp. 1,321,626 52,287 Ameren Corp. 1,127,665 52,225 * Bed Bath & Beyond, Inc. 2,325,656 52,037 Kerr-McGee Corp. 774,945 51,873 * HEALTHSOUTH Corp. 3,175,309 51,797 Delphi Automotive Systems Corp. 4,599,434 51,744 NiSource, Inc. 1,674,842 51,501 * KLA-Tencor Corp. 1,528,723 51,499 Dollar General Corp. 2,706,737 51,090 Mattel, Inc. 3,506,519 50,634 Delta Air Lines, Inc. 1,008,509 50,615 AMBAC Financial Group Inc. 863,194 50,335 * Best Buy Co., Inc. 1,702,234 50,322 Newell Rubbermaid, Inc. 2,190,519 49,834 Avery Dennison Corp. 906,887 49,765 Old Kent Financial Corp. 1,137,131 49,749 Regions Financial Corp. 1,820,694 49,728 Charter One Financial 1,707,990 49,318 Kinder Morgan, Inc. 939,874 49,050 Northrop Grumman Corp. 589,881 48,960 * AMR Corp. 1,234,740 48,386 * Gateway, Inc. 2,653,405 47,735 * Aetna Inc. 1,161,511 47,695 Countrywide Credit Industries, Inc. 938,074 47,138 AmSouth Bancorp 3,083,581 47,025 KeySpan Corp. 1,105,437 46,843 * Lexmark International, Inc. 1,044,780 46,297 CSX Corp. 1,783,106 46,249 Cinergy Corp. 1,306,322 45,885 Sabre Holdings Corp. 1,062,767 45,832 DTE Energy Co. 1,172,325 45,647 * Boston Scientific Corp. 3,330,221 45,582 Ecolab, Inc. 1,043,825 45,080 * LSI Logic Corp. 2,623,624 44,838 Bear Stearns Co., Inc. 876,978 44,452 * Staples, Inc. 3,731,793 44,082 * Thermo Electron Corp. 1,478,986 44,000 Allegheny Energy, Inc. 907,751 43,742 The CIT Group, Inc. 2,153,591 43,341 Symbol Technologies, Inc. 1,202,860 43,303 Eaton Corp. 575,568 43,276 * Watson Pharmaceuticals, Inc. 843,228 43,163 Scientific-Atlanta, Inc. 1,323,668 43,102 PerkinElmer, Inc. 409,998 43,050 * St. Jude Medical, Inc. 698,380 42,907 Parker Hannifin Corp. 956,933 42,225 T. Rowe Price Group Inc. 997,444 42,158 Willamette Industries, Inc. 897,134 42,109 Norfolk Southern Corp. 3,152,306 41,965 Edison International 2,679,083 41,861 CenturyTel, Inc. 1,155,979 41,326 Dow Jones & Co., Inc. 719,497 40,742 Tosco Corp. 1,188,951 40,350 Torchmark Corp. 1,037,146 39,865 * Apple Computer, Inc. 2,670,156 39,719 Vulcan Materials Co. 829,593 39,717 * Tricon Global Restaurants, Inc. 1,201,033 39,634
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- -------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - -------------------------------------------------------------------------------- TRW, Inc. 1,021,516 $ 39,584 Union Planters Corp. 1,107,162 39,581 Sempra Energy 1,680,726 39,077 * NCR Corp. 790,777 38,847 * Novellus Systems, Inc. 1,079,120 38,781 * Robert Half International, Inc. 1,460,129 38,693 Fortune Brands, Inc. 1,271,079 38,132 Tiffany & Co. 1,195,454 37,806 * Unisys Corp. 2,572,431 37,622 UST, Inc. 1,336,559 37,507 Brown-Forman Corp. Class B 562,529 37,408 Genuine Parts Co. 1,422,010 37,239 GPU, Inc. 997,307 36,713 Johnson Controls, Inc. 705,528 36,687 Phelps Dodge Corp. 646,988 36,110 * Advanced Micro Devices, Inc. 2,577,085 35,596 Conseco Inc. 2,673,464 35,256 Cooper Industries, Inc. 767,406 35,253 Sherwin-Williams Co. 1,319,633 34,723 SAFECO Corp. 1,048,937 34,484 Harcourt General, Inc. 601,338 34,397 Knight Ridder 603,104 34,302 Moody's Corp. 1,334,534 34,281 * Citrix Systems, Inc. 1,523,416 34,277 VF Corp. 935,470 33,901 * Comcast Corp. Class A 813,477 33,607 Equifax, Inc. 1,164,573 33,409 Huntington Bancshares Inc. 2,061,414 33,369 Pinnacle West Capital Corp. 696,243 33,159 Hilton Hotels Corp. 3,026,919 31,783 CMS Energy Corp. 993,425 31,479 H & R Block, Inc. 752,867 31,150 PACCAR, Inc. 628,749 30,966 Eastman Chemical Co. 631,362 30,779 Leggett & Platt, Inc. 1,612,894 30,544 The BFGoodrich Co. 835,267 30,383 * Parametric Technology Corp. 2,237,526 30,067 * AutoZone Inc. 1,041,444 29,681 The Goodyear Tire & Rubber Co. 1,289,869 29,654 * National Semiconductor Corp. 1,462,045 29,424 * Conexant Systems, Inc. 1,873,050 28,798 * BMC Software, Inc. 2,018,852 28,264 W.W. Grainger, Inc. 772,178 28,184 ITT Industries, Inc. 722,467 27,996 * Toys R Us, Inc. 1,677,170 27,988 R.R. Donnelley & Sons Co. 1,003,035 27,082 Black & Decker Corp. 668,788 26,250 Tektronix, Inc. 777,899 26,205 * BroadVision, Inc. 2,213,118 26,142 Whirlpool Corp. 547,060 26,088 The Mead Corp. 826,741 25,939 Placer Dome, Inc. 2,692,255 25,913 Nucor Corp. 640,282 25,411 Xerox Corp. 5,486,602 25,376 * Harrah's Entertainment, Inc. 960,557 25,335 * Power-One, Inc. 641,563 25,221 * Inco Ltd. 1,495,399 25,063 Sigma-Aldrich Corp. 634,907 24,960 Wendy's International, Inc. 935,196 24,549 Adolph Coors Co. Class B 302,869 24,324 Westvaco Corp. 827,586 24,155 Millipore Corp. 380,683 23,983 * Ceridian Corp. 1,195,306 23,831 * Avaya Inc. 2,287,778 23,593 Newmont Mining Corp. 1,382,601 23,591 * Allied Waste Industries, Inc. 1,617,881 23,560 Sunoco, Inc. 698,864 23,543 J.C. Penney Co., Inc. 2,156,021 23,447 * Cabletron Systems, Inc. 1,515,251 22,823 Darden Restaurants Inc. 981,482 22,451 * US Airways Group, Inc. 551,583 22,374 Winn-Dixie Stores, Inc. 1,148,919 22,260 The Stanley Works 706,867 22,045 * Niagara Mohawk Holdings Inc. 1,319,078 22,012 Temple-Inland Inc. 404,422 21,687 Pall Corp. 1,012,366 21,576 Engelhard Corp. 1,050,773 21,410 * Humana, Inc. 1,390,794 21,210 * Kmart Corp. 3,957,495 21,024 * Sealed Air Corp. 687,839 20,979 * Rowan Cos., Inc. 776,045 20,953 Ashland, Inc. 575,355 20,649 * Fluor Corp. 622,239 20,573 Maytag Corp. 632,478 20,437 * Quintiles Transnational Corp. 948,727 19,864 * American Power Conversion Corp. 1,603,613 19,845 Alberto-Culver Co. Class B 458,495 19,629 C.R. Bard, Inc. 418,221 19,473 Circuit City Stores, Inc. 1,689,215 19,426 Nordstrom, Inc. 1,060,291 19,284 * Compuware Corp. 3,002,245 18,764 Dana Corp. 1,217,042 18,636 Centex Corp. 485,280 18,228 * FMC Corp. 250,629 17,967 Liz Claiborne, Inc. 426,138 17,738 Bausch & Lomb, Inc. 438,451 17,730 * Office Depot, Inc. 2,450,141 17,457 * Manor Care, Inc. 842,446 17,375 Hercules, Inc. 884,599 16,863 International Flavors & Fragrances, Inc. 805,132 16,354 NICOR, Inc. 375,350 16,210 * Pactiv Corp. 1,301,347 16,104 Raytheon Co. Class A 553,726 16,058 Boise Cascade Corp. 471,405 15,851 Great Lakes Chemical Corp. 412,857 15,353
----- 15 18
- -------------------------------------------------------------------------------- MARKET VALUE- 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- SuperValu Inc. 1,089,492 $ 15,117 Deluxe Corp. 596,559 15,075 Hasbro, Inc. 1,417,374 15,060 Bemis Co., Inc. 437,572 14,686 * Andrew Corp. 667,437 14,517 Crane Co. 496,518 14,120 Pulte Corp. 333,272 14,060 * Novell, Inc. 2,677,859 13,975 Snap-On Inc. 478,455 13,337 Meredith Corp. 411,411 13,242 USX-U.S. Steel Group 731,025 13,158 Peoples Energy Corp. 290,906 13,018 Cummins Engine Co., Inc. 341,086 12,940 * Reebok International Ltd. 469,128 12,826 Autodesk, Inc. 474,818 12,790 * Navistar International Corp. 488,409 12,790 Visteon Corp. 1,078,169 12,399 * Sapient Corp. 997,554 11,908 Kaufman & Broad Home Corp. 353,408 11,905 Brunswick Corp. 717,915 11,801 ONEOK, Inc. 240,358 11,567 Ball Corp. 232,452 10,707 Allegheny Technologies Inc. 661,338 10,499 * Consolidated Stores, Inc. 916,674 9,740 Tupperware Corp. 476,064 9,730 Homestake Mining Co. 2,169,712 9,086 Dillard's Inc. 758,828 8,964 * Freeport-McMoRan Copper & Gold Inc. Class B 1,045,130 8,949 Louisiana-Pacific Corp. 858,426 8,692 National Service Industries, Inc. 335,618 8,621 * Adaptec, Inc. 814,990 8,354 Ryder System, Inc. 491,369 8,169 Potlatch Corp. 234,772 7,880 Briggs & Stratton Corp. 177,375 7,871 Thomas & Betts Corp. 477,326 7,727 The Timken Co. 493,489 7,464 Longs Drug Stores, Inc. 307,395 7,416 * Viacom Inc. Class A 143,386 6,739 Cooper Tire & Rubber Co. 596,713 6,340 Worthington Industries, Inc. 708,619 5,713 McDermott International, Inc. 496,744 5,340 American Greetings Corp. Class A 527,200 4,975 * Freeport-McMoRan Copper & Gold, Inc. Class A 176,683 1,458 Molex, Inc. Class A 4,051 103 Alberto-Culver Co. Class A 1,000 36 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $63,050,940) 96,399,585 - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUEO (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.1%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 6.54%, 1/11/2001 $ 10,000 $ 9,985 (2) 6.54%, 1/25/2001 10,000 9,960 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.14%, 1/2/2001 117,482 117,482 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $137,421) 137,427 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.0%) (COST $63,188,361) 96,537,012 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES - -------------------------------------------------------------------------------- Other Assets--Note B 682,216 Liabilities (741,697) ----------- (59,481) - -------------------------------------------------------------------------------- NET ASSETS (100%) $96,477,531 ================================================================================
-See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets. See Note F in Notes to Financial Statements. (2)Securities with an aggregate value of $19,945,000 have been segregated as initial margin for open futures contracts. ADR--American Depositary Receipt.
- -------------------------------------------------------------------------------- AT DECEMBER 31, 2000, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- Paid-in Capital--Note E $63,530,724 Overdistributed Net Investment Income (52,246) Accumulated Net Realized Losses--Note E (348,985) Unrealized Appreciation (Depreciation)--Note F Investment Securities 33,348,651 Futures Contracts (613) - -------------------------------------------------------------------------------- NET ASSETS $96,477,531 ================================================================================ Investor Shares--Net Assets Applicable to 724,092,089 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $88,240,460 ================================================================================ NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 121.86 ================================================================================ Admiral Shares--Net Assets Applicable to 67,591,616 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 8,237,071 ================================================================================ NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 121.87 ================================================================================
----- 16 19 STATEMENT OF OPERATIONS This Statement shows dividend and interest income earned by the fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) on investments during the period. If the fund invested in futures contracts during the period, the results of these investments are shown separately.
- ------------------------------------------------------------------------------- 500 INDEX FUND YEAR ENDED DECEMBER 31, 2000 (000) - ------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 1,180,175 Interest 12,004 Security Lending 3,946 - ------------------------------------------------------------------------------- Total Income 1,196,125 - ------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 152 Management and Administrative--Investor Shares 169,079 Management and Administrative--Admiral Shares 963 Marketing and Distribution--Investor Shares 13,532 Marketing and Distribution--Admiral Shares -- Custodian Fees 437 Auditing Fees 46 Shareholders' Reports--Investor Shares 2,911 Shareholders' Reports--Admiral Shares -- Trustees' Fees and Expenses 129 - ------------------------------------------------------------------------------- Total Expenses 187,249 Expenses Paid Indirectly--Note C (163) - ------------------------------------------------------------------------------- Net Expenses 187,086 - ------------------------------------------------------------------------------- NET INVESTMENT INCOME 1,009,039 - ------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold 1,215,108 Futures Contracts (8,379) - ------------------------------------------------------------------------------- REALIZED NET GAIN 1,206,729 - ------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (11,793,344) Futures Contracts (3,827) - ------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (11,797,171) - ------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (9,581,403) ===============================================================================
----- 17 20 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how the fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, as well as the amounts redeemed. Distributions and Capital Share Transactions are shown separately for each class of shares.
- ---------------------------------------------------------------------------------------------------------- 500 INDEX FUND YEAR ENDED DECEMBER 31, ----------------------------- 2000 1999 (000) (000) - ---------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 1,009,039 $ 1,004,335 Realized Net Gain 1,206,729 2,175,427 Change in Unrealized Appreciation (Depreciation) (11,797,171) 14,142,327 - ---------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (9,581,403) 17,322,089 - ---------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (996,555) (1,038,133) Admiral Shares (24,781) -- Realized Capital Gain Investor Shares -- (727,534) Admiral Shares -- -- - ---------------------------------------------------------------------------------------------------------- Total Distributions (1,021,336) (1,765,667) - ---------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1) Issued 21,080,340 28,777,842 Issued in Lieu of Cash Distributions 913,406 1,639,704 Redeemed (28,006,636) (15,550,168) - ---------------------------------------------------------------------------------------------------------- Net Increase (Decrease)--Investor Shares (6,012,890) 14,867,378 - ---------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--ADMIRAL SHARES(1) Issued 8,492,434 -- Issued in Lieu of Cash Distributions 21,150 -- Redeemed (72,750) -- - ---------------------------------------------------------------------------------------------------------- Net Increase--Admiral Shares 8,440,834 -- - ---------------------------------------------------------------------------------------------------------- Total Increase (Decrease) (8,174,795) 30,423,800 - ---------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Year 104,652,326 74,228,526 - ---------------------------------------------------------------------------------------------------------- End of Year $ 96,477,531 $ 104,652,326 ==========================================================================================================
(1)See Note G in Notes to Financial Statements for the corresponding numbers of shares issued and redeemed. ----- 18 21 FINANCIAL HIGHLIGHTS This table summarizes the fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
- ----------------------------------------------------------------------------------------------------------------------------------- 500 INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 2000 1999 1998 1997 1996 - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF YEAR $ 135.33 $ 113.95 $ 90.07 $ 69.17 $ 57.60 - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.29 1.370 1.33 1.31 1.28 Net Realized and Unrealized Gain (Loss) on Investments (13.46) 22.415 24.30 21.50 11.82 - ----------------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (12.17) 23.785 25.63 22.81 13.10 - ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.30) (1.410) (1.33) (1.32) (1.28) Distributions from Realized Capital Gains -- (.995) (.42) (.59) (.25) - ----------------------------------------------------------------------------------------------------------------------------------- Total Distributions (1.30) (2.405) (1.75) (1.91) (1.53) - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR $ 121.86 $ 135.33 $ 113.95 $ 90.07 $ 69.17 =================================================================================================================================== TOTAL RETURN* -9.06% 21.07% 28.62% 33.19% 22.88% =================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Year (Millions) $ 88,240 $ 104,652 $ 74,229 $ 49,358 $ 30,332 Ratio of Total Expenses to Average Net Assets 0.18% 0.18% 0.18% 0.19% 0.20% Ratio of Net Investment Income to Average Net Assets 0.98% 1.13% 1.35% 1.66% 2.04% Portfolio Turnover Rate** 9% 6% 6% 5% 5% ===================================================================================================================================
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Portfolio turnover rates excluding in-kind redemptions were 7%, 3%, 3%, 3%, and 2%, respectively. ----- 19 22 FINANCIAL HIGHLIGHTS (continued)
- -------------------------------------------------------------------------------- 500 INDEX FUND ADMIRAL SHARES NOVEMBER 13* TO FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DECEMBER 31, 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $124.88 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .179 Net Realized and Unrealized Gain (Loss) on Investments (2.808) - -------------------------------------------------------------------------------- Total from Investment Operations (2.629) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.381) Distributions from Realized Capital Gains -- - -------------------------------------------------------------------------------- Total Distributions (.381) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $121.87 ================================================================================ TOTAL RETURN -2.10% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $8,237 Ratio of Total Expenses to Average Net Assets 0.12%+ Ratio of Net Investment Income to Average Net Assets 1.03%+ Portfolio Turnover Rate** 9% ================================================================================
*Inception. **The portfolio turnover rate excluding in-kind redemptions was 7%. +Annualized. ----- 20 23 NOTES TO FINANCIAL STATEMENTS Vanguard 500 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements. 1. SECURITY VALUATION: Equity securities are valued at the latest quoted sales prices as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Prices are taken from the primary market in which each security trades. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued by methods deemed by the board of trustees to represent fair value. 2. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard Group, transfers uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FUTURES CONTRACTS: The fund uses S&P 500 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. ----- 21 24 NOTES TO FINANCIAL STATEMENTS (continued) B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2000, the fund had contributed capital of $18,660,000 to Vanguard (included in Other Assets), representing 0.02% of the fund's net assets and 18.7% of Vanguard's capitalization. The fund's trustees and officers are also directors and officers of Vanguard. C. The fund's custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in its non-interest-bearing custody account. For the year ended December 31, 2000, custodian fee offset arrangements reduced expenses by $163,000. D. The fund offers two classes of shares, Investor Shares and Admiral Shares. Admiral Shares were first issued on November 13, 2000. Admiral Shares are designed for investors that meet certain administrative, servicing, and tenure criteria and have a minimum investment of $50,000. Investor Shares are offered to all other investors. Both classes of shares have equal rights to assets and earnings, except that each class bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expense) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. E. During the year ended December 31, 2000, the fund purchased $11,875,089,000 of investment securities and sold $9,441,289,000 of investment securities other than temporary cash investments. During the year ended December 31, 2000, the fund realized $1,491,517,000 of net capital gains resulting from in-kind redemptions--in which shareholders exchange fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. At December 31, 2000, the fund had available a capital loss carryforward of $345,985,000 to offset future net capital gains through December 31, 2008. F. At December 31, 2000, net unrealized appreciation of investment securities for financial reporting and federal income tax purposes was $33,348,651,000, consisting of unrealized gains of $39,508,021,000 on securities that had risen in value since their purchase and $6,159,370,000 in unrealized losses on securities that had fallen in value since their purchase. At December 31, 2000, the aggregate settlement value of open futures contracts expiring in March 2001, and the related unrealized depreciation were:
- ----------------------------------------------------------------------------- (000) ------------------------------- AGGREGATE NUMBER OF SETTLEMENT UNREALIZED FUTURES CONTRACTS LONG CONTRACTS VALUE DEPRECIATION - ----------------------------------------------------------------------------- S&P 500 Index 312 $104,130 $(613) - -----------------------------------------------------------------------------
Unrealized depreciation on open futures contracts is required to be treated as realized loss for tax purposes. ----- 22 25 G. Shares issued and redeemed for each class of shares were:
- ------------------------------------------------------------------------------------- SHARES (000) ----------------------------------------------------- NET INCREASE ISSUED IN (DECREASE) LIEU OF CASH IN SHARES YEAR/SHARE CLASS ISSUED DISTRIBUTIONS REDEEMED OUTSTANDING - ------------------------------------------------------------------------------------- 2000 Investor Shares 160,587 6,963 (216,760) (49,210) Admiral Shares 68,010 175 (593) 67,592 - ------------------------------------------------------------------------------------- 1999 Investor Shares 235,513 13,117 (126,726) 121,904 Admiral Shares -- -- -- -- - -------------------------------------------------------------------------------------
----- 23 26 REPORT of Independent Accountants To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard 500 Index Fund (a separate fund of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Fund") at December 31, 2000, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2000 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania January 29, 2001 - -------------------------------------------------------------------------------- SPECIAL 2000 TAX INFORMATION (UNAUDITED) FOR VANGUARD 500 INDEX FUND This information for the fiscal year ended December 31, 2000, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, 100.0% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction. ----- 24 27 THE PEOPLE Who Govern Your Fund The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, which is owned by the funds and exists solely to provide services to them on an at-cost basis. Six of Vanguard's seven board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. They bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/ directors; and electing Vanguard officers. The list below provides a brief description of each trustee's professional affiliations. The year in which the trustee joined the Vanguard board is noted in parentheses. - -------------------------------------------------------------------------------- TRUSTEES JOHN J. BRENNAN (1987) Chairman of the Board, Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies in The Vanguard Group. JoANN HEFFERNAN HEISEN (1998) Vice President, Chief Information Officer, and a member of the Executive Committee of Johnson & Johnson; Director of Johnson & Johnson-Merck Consumer Pharmaceuticals Co., The Medical Center at Princeton, and Women's Research and Education Institute. BRUCE K. MacLAURY (1990) President Emeritus of The Brookings Institution; Director of American Express Bank Ltd., The St. Paul Companies, Inc., and National Steel Corp. BURTON G. MALKIEL (1977) Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Prudential Insurance Co. of America, Banco Bilbao Argentaria, Gestion, BKF Capital, The Jeffrey Co., NeuVis, Inc., and Select Sector SPDR Trust. ALFRED M. RANKIN, JR. (1993) Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc.; Director of The BFGoodrich Co. JAMES O. WELCH, JR. (1971) Retired Chairman of Nabisco Brands, Inc. (Food Products); retired Vice Chairman and Director of RJR Nabisco (Food and Tobacco Products); Director of TECO Energy, Inc., and Kmart Corp. J. LAWRENCE WILSON (1985) Retired Chairman and Chief Executive Officer of Rohm & Haas Co.; Director of AmeriSource Health Corporation, Cummins Engine Co., and The Mead Corp.; Trustee of Vanderbilt University. - -------------------------------------------------------------------------------- OTHER FUND OFFICERS RAYMOND J. KLAPINSKY, Secretary; Managing Director and Secretary of The Vanguard Group, Inc.; Secretary of each of the investment companies in The Vanguard Group. THOMAS J. HIGGINS, Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies in The Vanguard Group. - -------------------------------------------------------------------------------- VANGUARD MANAGING DIRECTORS R. GREGORY BARTON, Legal Department. ROBERT A. DiSTEFANO, Information Technology. JAMES H. GATELY, Direct Investor Services. KATHLEEN C. GUBANICH, Human Resources. IAN A. MacKINNON, Fixed Income Group. F. WILLIAM McNABB, III, Institutional Investor Group. MICHAEL S. MILLER, Planning and Development. RALPH K. PACKARD, Chief Financial Officer. GEORGE U. SAUTER, Quantitative Equity Group. - -------------------------------------------------------------------------------- JOHN C. BOGLE Founder; Chairman and Chief Executive, 1974-1996. 28 ABOUT OUR COVER Our cover art evokes both Vanguard's rich past and the course we've set for the future--our determination to provide superior investment performance and top-notch service. The image is based on two works: a painting titled The First Journey of 'Victory,' by the English artist W.L. Wyllie (1851-1931), and a sculpture of a compass rose on Vanguard's campus near Valley Forge, Pennsylvania. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. Standard & Poor's(R), S&P(R), S&P 500(R), Standard & Poor's 500, 500, S&PMidCap 400, and S&PSmallCap 600 are trademarks of The McGraw-Hill Companies, Inc. All other index names may contain trademarks and are the exclusive property of their respective owners. [TEH VANGUARD GROUP LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 INDIVIDUAL ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 This report is intended for the fund's shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. (C) 2001 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q400 022001 29 VANGUARD(R) U.S. STOCK INDEX FUNDS LARGE-CAPITALIZATION PORTFOLIOS Annual Report--December 31, 2000 INCLUDED WITHIN THIS REPORT: Vanguard Growth Index Fund Vanguard Value Index Fund Vanguard Total Stock Market Index Fund [PHOTO] [THE VANGUARD GROUP LOGO] 30 SOME LESSONS FROM 2000 Although the year 2000 was a trying period for many investors, it reinforced some investment truths worth keeping in mind as you build and maintain your portfolio. These include: - THINGS CHANGE. It's difficult--bordering on impossible--to consistently or precisely predict when the financial markets will turn up or down, when the economy will accelerate or slow, and which investments will lead or lag. Don't risk your hard-earned money by betting on such forecasts. - DIVERSIFICATION MATTERS. If you build and maintain a portfolio that includes different asset classes--as well as types of securities within asset classes--you give yourself a valuable buffer against severe damage from any one market segment. True, your diversified portfolio will never top the short-term performance charts. But a balanced investment approach will help you to meet your financial goals without taking undue risks. - PERSPECTIVE IS PARAMOUNT. Market declines are always painful. Yet they're inevitable if you seek the long-term rewards of investing. If you keep your focus on your long-term goals, you'll find periodic downturns much easier to endure, and you'll avoid making emotion-driven mistakes. SUMMARY - - The large-capitalization Vanguard U.S. Stock Index Funds had total returns ranging from -22.2% to 6.1% in 2000. - - Large-cap stocks lagged small- and mid-cap stocks, as well as bonds. - - Periodic downturns are natural for financial markets and should not prompt a long-term investor to alter a well- conceived investment program. CONTENTS 1 Letter from the Chairman 8 Fund Profiles 11 Glossary of Investment Terms 12 Performance Summaries 18 Report on After-Tax Returns 19 Financial Statements 39 Report of Independent Accountants 31 LETTER from the Chairman Fellow Shareholder, The year 2000 was difficult, to say the least, for the large-capitalization VANGUARD U.S. STOCK INDEX FUNDS. While the Value Index Fund provided a respectable total return of 6.1%, the Growth Index Fund declined -22.2% and the Total Stock Market Index Fund returned -10.6%. Although the declines in the Growth and Total Stock Market Index Funds undoubtedly were painful, they should be viewed in light of the extraordinary performance that preceded them: The funds have generated average annual returns of 16.9% and 15.8%, respectively, since their inceptions in 1992, including the past year. The Value Index Fund has provided an average annual return of 17.0% since its 1992 inception.
2000 TOTAL RETURNS YEAR ENDED DECEMBER 31 - --------------------------------------------- GROWTH INDEX FUND -22.2% S&P 500/BARRA Growth Index -22.1 - --------------------------------------------- VALUE INDEX FUND 6.1% S&P 500/BARRA Value Index 6.1 - --------------------------------------------- TOTAL STOCK MARKET INDEX FUND -10.6% Wilshire 5000 Index -11.0 - --------------------------------------------- ADMIRAL SHARES* - --------------------------------------------- Growth Index Fund -7.6% Value Index Fund 3.1 Total Stock Market Index Fund -2.6 - --------------------------------------------- INSTITUTIONAL SHARES - --------------------------------------------- Growth Index Fund -22.1% Value Index Fund 6.2 Total Stock Market Index Fund -10.5 - ---------------------------------------------
*Returns since Admiral Shares' inception on November 13, 2000. As the table above shows, our funds' total returns (capital change plus reinvested dividends) closely tracked the results of their unmanaged target indexes in 2000. Also shown are the results of our Admiral Shares since their inception on November 13, 2000. Details on these lower-cost shares--for long-standing shareholders and individuals with substantial investments in the funds--appear toward the end of this letter. Finally, the table presents the returns for the funds' Institutional Shares, which are available for minimum investments of $10 million. Per-share figures for each fund, including net asset values, capital gains distributions, and income dividends by share class, are presented in the table on page 7. If you hold Vanguard U.S. Stock Index Fund shares in a taxable account, we call your attention to reviews of the funds' after-tax returns, beginning on page 18. ----- 1 32
MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 ONE THREE FIVE YEAR YEARS YEARS - ------------------------------------------------------------------------------- STOCKS S&P 500 Index (Large-caps) -9.1% 12.3% 18.3% Russell 2000 Index (Small-caps) -3.0 4.6 10.3 Wilshire 5000 Index (Entire market) -11.0 10.7 16.7 MSCI EAFE Index (International) -14.0 9.6 7.4 - ------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index (Entire market) 11.6% 6.4% 6.5% Lehman 10 Year Municipal Bond Index 10.8 5.3 5.9 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 6.0 5.2 5.2 - ------------------------------------------------------------------------------- CPI Consumer Price Index 3.4% 2.6% 2.5% - -------------------------------------------------------------------------------
FINANCIAL MARKETS IN REVIEW The year 2000 was in many ways the flip side of its predecessor. The pace of economic growth slowed instead of accelerating as the year progressed, the broad U.S. stock market fell instead of soaring, "dot-com" changed from a magic formula to near-poison for investors, value stocks outpaced their growth counterparts, and bonds--the downtrodden asset class of 1999--provided the best returns. Worries about potential Y2K computer failures disappeared before all the New Year's confetti had hit the ground. For stocks, the year started off looking a lot like 1999. In February, the U.S. economy reached its record-breaking ninth year of growth uninterrupted by a recession, and gross domestic product grew at an annual pace of 4.8% in the first quarter. In March, broad market indexes were pushed to all-time highs, fueled by the skyrocketing prices of growth stocks, particularly in the technology sector. Then came an abrupt reversal. The tech-dominated Nasdaq Composite Index fell -34% in the five weeks after its March high. And despite many interim rallies the Nasdaq returned -38.7% for the 12 months, having fallen -51% from its peak in March to the year-end. The overall U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned -11.0% for the year--its first negative return since 1994 and its worst calendar-year performance since 1974. Several factors were at work in the markets. High energy prices raised the specter of inflation and cut into profits for some industries. A stronger U.S. dollar diminished corporate profits from foreign operations. And the Federal Reserve Board's series of interest rate boosts--implemented from June 1999 through May 2000 to counter inflationary pressures--began to have their intended effect in slowing the pace of economic growth. Indeed, by year-end markets were expecting the Fed to reduce rates to keep the slowdown from turning into a recession. (The Fed acted on January 3, 2001, cutting short-term interest rates by 0.5%.) Investors worried that a slower economy, combined with the boom in capital investment in recent years, would result in significant overcapacity in many industries. Many believed that companies would find it hard--if not ----- 2 33 impossible--to sustain their earnings growth. Indeed, by late 2000, hundreds of companies were reporting earnings that failed to meet expectations. Technology and telecommunications stocks, whose prices had reflected the highest levels of optimism, were the hardest hit. Amid such spectacular declines, the stock market also had its success stories. The big winners in 2000 were in health care, utilities (except for telecommunications firms), energy, and financial services. After five years as outcasts, many value stocks--those with relatively low prices in relation to earnings, book value, dividends, and other financial measures--far outperformed their growth counterparts and posted solid positive returns. The value stocks within the Standard & Poor's 500 Index returned 6.1% for the year, while the growth stocks within the index fell -22.1%. When results are sorted by market capitalization, mid-cap stocks did the best overall (the S&P MidCap 400 Index gained 17.5%), followed by small-cap stocks. By certain measures, 2000 was a better year for stocks than 1999: Almost 47% of the stocks in the Russell 3000 Index--the 3,000 largest U.S. stocks--had positive returns, compared with about 45% in 1999. However, like the S&P 500, most market indexes are weighted according to market capitalization, so sharp declines of a number of very large stocks had a much bigger influence on the index than did the gains of smaller stocks. In 1999, the oversized gains for some of those same large stocks pushed the indexes higher. Bonds generally enjoyed a banner 2000. Many high-quality, long-duration issues posted double-digit returns, as investors sought a haven from stock market volatility. A shrinking supply of U.S. Treasury securities also helped bond prices. Bond yields move in the opposite direction from prices. The yield of the 30-year Treasury bond fell 102 basis points (1.02 percentage points) during the year to 5.46% by December 31; the 10-year Treasury yield fell 133 basis points to 5.11%. - -------------------------------------------------------------------------------- BONDS GENERALLY ENJOYED A BANNER YEAR AS INVESTORS SOUGHT REFUGE FROM VOLATILE STOCKS. - -------------------------------------------------------------------------------- 2000 PERFORMANCE OVERVIEW In 2000, each of the large-cap Vanguard U.S. Stock Index Funds once again met its investment objective by closely tracking its target index. We recognize that this achievement may be of little solace to shareholders in the Growth and Total Stock Market Index Funds. However, periods of falling prices are a normal part of investing, and should be expected from time to time. Those relatively new to investing could be forgiven for their surprise at the downturn in stocks. After all, from the start of the record-setting bull market in August 1982, the large-cap-dominated S&P 500 Index had produced a negative total return in only one year (1990), and that was a dip of only -3.1%. But as the ----- 3 34 graph below shows, annual declines in the S&P 500 occurred with much greater frequency in earlier decades. Truly, the 1980s and 1990s were golden decades, and millions of investors had never seen their portfolios lose value over the course of a calendar year. That's why we were concerned a year ago that many investors may have thought that the stock market was more docile than it is. I wrote then: "It is prudent to recognize that financial markets will go through bad times as well as good times and to adopt realistic assumptions about future returns." We couldn't know then that the market was about to provide such a lesson. But if there is a silver lining in the events of 2000, it is that investors now have a better understanding of the ever-present risks of stock investing and of the benefits of diversification. Investors who keep a long-term perspective generally find it easier to ride out market turbulence, and we now turn to a long-term review of our funds.
2000 TOTAL RETURNS YEAR ENDED DECEMBER 31 AVERAGE U.S. STOCK VANGUARD COMPARABLE INDEX FUND FUND FUND* DIFFERENCE - --------------------------------------------------------------- Growth -22.2% -16.3% -5.9% Value 6.1 1.3 +4.8 Total Stock Market -10.6 -3.0 -7.6 - ---------------------------------------------------------------
*Figures for the average comparable funds are derived from data provided by Lipper Inc. The fund groups are: for the Growth Index Fund, large-cap growth funds; for the Value Index Fund, large-cap value funds; and for the Total Stock Market Index Fund, multi-cap core funds. LONG-TERM PERFORMANCE OVERVIEW The long-term records of the large-cap Vanguard U.S. Stock Index Funds are impressive. As the table on the facing page shows, the funds' average annual total returns since their inceptions in 1992 range from 15.8% to 17.0%. (The results of the funds' Institutional Shares since their more-recent inceptions appear in the Performance Summaries, beginning on page 12.) Of course, we have no influence over the absolute returns provided by large-cap stocks. But we can largely control the cost of our operations, and we have done so to the benefit of shareholders. [S&P 500 INDEX TOTAL RETURNS BAR GRAPH]
S&P 500 INDEX TOTAL RETURNS DECEMBER 31, 1949-DECEMBER 31, 2000 - -------------------------------------------------------------------------------- Year Return Year Return Year Return Year Return Year Return - -------------------------------------------------------------------------------- 1950 31.46% 1960 0.45% 1970 3.89% 1980 32.45% 1990 -3.10 % 1951 23.97 1961 26.88 1971 14.22 1981 -4.88 1991 30.47 1952 18.16 1962 -8.66 1972 18.96 1982 21.50 1992 7.62 1953 -0.94 1963 22.76 1973 -14.67 1983 22.46 1993 10.08 1954 52.27 1964 16.43 1974 -26.31 1984 6.27 1994 1.32 1955 31.41 1965 12.46 1975 37.14 1985 31.75 1995 37.58 1956 6.48 1966 - 10.02 1976 23.81 1986 18.68 1996 22.96 1957 -10.72 1967 23.89 1977 -7.19 1987 5.26 1997 33.36 1958 43.15 1968 11.04 1978 6.52 1988 16.61 1998 28.58 1959 11.95 1969 -8.40 1979 18.45 1989 31.69 1999 21.04 2000 -9.10 - --------------------------------------------------------------------------------
Note: Shading indicates periods of negative returns. Source: The Vanguard Group. ----- 4 35 The Growth and Value Index Funds had expense ratios in 2000 of 0.22%, or $2.20 per $1,000 in assets. The Total Stock Market Index Fund had an expense ratio of just 0.20% ($2.00 per $1,000 in assets). Our average peers charged between 1.28% and 1.41%, according to Lipper Inc. That's roughly six to seven times as much. Economies of scale mean even lower costs for our Institutional Shares, which had expense ratios of 0.10% or 0.12% in 2000.
TOTAL RETURNS SINCE INCEPTION THROUGH DECEMBER 31, 2000* AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - ----------------------------------------------------------------------- GROWTH INDEX FUND 16.9% $35,765 Average Large-Cap Growth Fund 17.1 36,296 S&P 500/BARRA Growth Index 17.0 36,037 - ----------------------------------------------------------------------- VALUE INDEX FUND 17.0% $36,117 Average Large-Cap Value Fund 15.4 32,180 S&P 500/BARRA Value Index 17.2 36,441 - ----------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND 15.8% $35,805 Average Multi-Cap Core Fund 15.0 33,723 Wilshire 5000 Index 16.0 36,275 - -----------------------------------------------------------------------
*For Growth and Value Index Funds, inception is November 2, 1992; for the Total Stock Market Index Fund, inception is April 27, 1992. Our funds' records stack up well versus those of their average peers over the last eight-plus years. Our Value and Total Stock Market Index Funds have achieved solid margins of superiority over the average returns for their competitive categories. Because our Growth Index Fund lagged significantly in 2000, its lifetime average return is now a bit behind that of its peer group. Over long periods, we fully expect our index funds to outperform the majority of their peers. Our confidence stems from the simple fact that our funds and their competitors are "fishing in the same pond" of securities and will, in the aggregate, earn very similar "gross" (before expenses) returns from the market in which they invest. The index fund's advantage is simple mathematics: It loses considerably less of the market return to operating and transaction costs than does its average competitor. This cost advantage gives the index fund a head start, year after year, over the average competing fund. Over time, compounding magnifies the impact of even seemingly modest differences in returns. For example, a $10,000 investment in the Value Index Fund at its inception would have grown--assuming the reinvestment of all income and capital gains distributions--to more than $36,100, about $4,000 more than would have resulted from the same investment in the average large-cap value fund. A WORD ABOUT ADMIRAL SHARES In November, Vanguard introduced Admiral Shares, an innovative program to recognize the cost savings that long-tenured and large accounts bring to the administration of mutual funds. Admiral Shares return these savings to the investors who create them. ----- 5 36 All Vanguard shareholders are proportional owners of their funds' assets--the underlying stocks in which the funds invest. But Admiral shareholders benefit from even lower expense ratios--0.17%, or $1.70 per $1,000 in assets, for the Growth and Value Index Funds, and just 0.15% for the Total Stock Market Index Fund. We were able to launch Admiral Shares without an increase in the expense ratios for Investor Shares of the Growth, Value, or Total Stock Market Index Funds. Admiral Shares are available to the owners of both nonretirement and IRA accounts that meet one of the following criteria: - The fund account was established at least ten years ago and has a balance of $50,000 or more, and the shareholder is registered for online account access at our website, VANGUARD.COM. - The fund account was established at least three years ago and has a balance of $150,000 or more, and the shareholder is registered for online account access at Vanguard.com. - There is a balance of $250,000 or more in the fund account. IN CLOSING An investment of any size in one of the Vanguard U.S. Stock Index Funds reflects trust, and we thank all of our shareholders for putting their hard-earned assets under our care. We will continue striving to deliver the promise of stock index funds: providing as much of the return of the market--or market segment--as possible. Truly 2000 was a year that highlighted the value of diversification and balance. It also reinforced the existence of investment risk. Risk is like a reef: It's not always evident, but it's always present. And like a reef, risk is particularly dangerous to those who let smooth sailing diminish their respect for it. We believe a balanced portfolio that takes into account the inevitable risks of investing is the best way to reap the long-term rewards of the financial markets. Such a portfolio contains stock funds, bond funds, and short-term investments. Once your investment plan is in place, we recommend that you stick with it. Sincerely, /s/ JOHN J. BRENNAN [PHOTO] JOHN J. BRENNAN Chairman and January 17, 2001 Chief Executive Officer ----- 6 37
- ---------------------------------------------------------------------------- FUND STATISTICS YEAR ENDED DECEMBER 31, 2000 -------------------------- NET ASSET VALUE DIVIDENDS PER SHARE DISTRIBUTIONS PER SHARE -------------------------- FROM NET FROM NET U.S. STOCK DECEMBER 31, DECEMBER 31, REALIZED INVESTMENT INDEX FUND 1999* 2000 CAPITAL GAINS INCOME - ---------------------------------------------------------------------------- Growth $39.43 $30.57 -- $0.125 Value 22.89 22.87 $0.980 0.358 Total Stock Market 33.22 29.26 0.140 0.336 - ---------------------------------------------------------------------------- ADMIRAL SHARES - ---------------------------------------------------------------------------- Growth $33.12 $30.57 -- $0.038 Value 22.86 22.87 $0.570 0.100 Total Stock Market 30.22 29.26 0.080 0.099 - ---------------------------------------------------------------------------- INSTITUTIONAL SHARES - ---------------------------------------------------------------------------- Growth $39.44 $30.57 -- $0.165 Value 22.89 22.87 $0.980 0.380 Total Stock Market 33.22 29.27 0.140 0.366 - ----------------------------------------------------------------------------
*For Admiral Shares, as of inception (November 13, 2000). ----- 7 38 FUND PROFILE AS OF DECEMBER 31, 2000 for Growth Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to both its unmanaged target index and a broad market index. Key terms are defined on page 11.
- ------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - ------------------------------------------------------------------------- Number of Stocks 122 122 6,638 Median Market Cap $145.0B $145.0B $40.0B Price/Earnings Ratio 40.7x 40.7x 27.4x Price/Book Ratio 10.7x 10.7x 4.2x Yield 0.4% 0.9% 1.2% Yield--Admiral Shares 0.5% 0.9% 1.2% Yield--Institutional Shares 0.5% 0.9% 1.2% Return on Equity 29.5% 29.5% 22.5% Earnings Growth Rate 21.5% 21.5% 15.8% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 33% -- -- Expense Ratio 0.22% -- -- Expense Ratio-- Admiral Shares 0.17%** -- -- Expense Ratio-- Institutional Shares 0.12% -- -- Cash Investments 0.0% -- -- - -------------------------------------------------------------------------
- --------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - --------------------------------------------------------- R-Squared 1.00 1.00 0.86 1.00 Beta 1.00 1.00 1.05 1.00 - ---------------------------------------------------------
- ------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - ------------------------------------------------------------------------- Auto & Transportation 0.3% 0.3% 1.8% Consumer Discretionary 12.5 12.4 12.2 Consumer Staples 10.5 10.6 6.1 Financial Services 9.9 10.0 19.1 Health Care 26.3 26.4 14.1 Integrated Oils 0.0 0.0 3.4 Other Energy 0.0 0.0 2.9 Materials & Processing 0.2 0.2 2.8 Producer Durables 0.2 0.2 3.4 Technology 30.7 30.7 20.3 Utilities 1.1 1.1 8.6 Other 8.3 8.1 5.3 - -------------------------------------------------------------------------
*S&P 500/BARRA Growth Index. **Annualized.
- -------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------- General Electric Co. 8.3% (conglomerate) Pfizer, Inc. 5.1 (pharmaceuticals) Cisco Systems, Inc. 4.8 (computer networks) Wal-Mart Stores, Inc. 4.1 (retail) Microsoft Corp. 4.0 (software) American International Group, Inc. 4.0 (insurance) Merck & Co., Inc. 3.8 (pharmaceuticals) Intel Corp. 3.5 (computer hardware) Oracle Corp. 2.8 (software) The Coca-Cola Co. 2.6 (beverage) - -------------------------------------------- Top Ten 43.0% - --------------------------------------------
INVESTMENT FOCUS - -------------------------------------------- STYLE Growth MARKET CAP Large
----- 8 39 FUND PROFILE AS OF DECEMBER 31, 2000 for Value Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to both its unmanaged target index and a broad market index. Key terms are defined on page 11.
- --------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - --------------------------------------------------------------- Number of Stocks 384 380 6,638 Median Market Cap $36.8B $36.8B $40.0B Price/Earnings Ratio 19.4x 19.4x 27.4x Price/Book Ratio 3.1x 3.1x 4.2x Yield 1.5% 2.1% 1.2% Yield--Admiral Shares 1.5% 2.1% 1.2% Yield--Institutional Shares 1.6% 2.1% 1.2% Return on Equity 18.4% 18.4% 22.5% Earnings Growth Rate 9.8% 9.8% 15.8% Foreign Holdings 2.8% 0.0% 0.0% Turnover Rate 37% -- -- Expense Ratio 0.22% -- -- Expense Ratio-- Admiral Shares 0.17%** -- -- Expense Ratio-- Institutional Shares 0.12% -- -- Cash Investments 0.0% -- -- - ---------------------------------------------------------------
- --------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - --------------------------------------------------------------- R-Squared 1.00 1.00 0.65 1.00 Beta 1.00 1.00 0.77 1.00 - ---------------------------------------------------------------
- --------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - --------------------------------------------------------------- Auto & Transportation 3.0% 3.0% 1.8% Consumer Discretionary 9.1 9.1 12.2 Consumer Staples 4.1 4.1 6.1 Financial Services 26.4 26.4 19.1 Health Care 2.2 2.2 14.1 Integrated Oils 10.2 10.2 3.4 Other Energy 4.8 4.8 2.9 Materials & Processing 4.8 6.4 2.8 Producer Durables 5.5 5.5 3.4 Technology 10.2 10.3 20.3 Utilities 15.6 15.6 8.6 Other 4.1 2.4 5.3 - ---------------------------------------------------------------
*S&P 500/BARRA Value Index. **Annualized.
- ----------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - ----------------------------------------- Exxon Mobil Corp. 5.0% (oil) Citigroup, Inc. 4.3 (financial services) SBC Communications Inc. 2.7 (telecommunications) Verizon Communications 2.3 (telecommunications) Royal Dutch Petroleum Co. ADR 2.2 (energy) Nortel Networks Corp. 1.6 (telecommunications) Philip Morris Cos., Inc. 1.6 (tobacco) Tyco International Ltd. 1.6 (diversified services) Wells Fargo Co. 1.6 (banks) Morgan Stanley Dean Witter & Co. 1.5 (financial services) - ----------------------------------------- Top Ten 24.4% - -----------------------------------------
INVESTMENT FOCUS - ----------------------------------------- STYLE Value MARKET CAP Large
[COMPUTER GRAPHIC] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. ----- 9 40 FUND PROFILE AS OF DECEMBER 31, 2000 for Total Stock Market Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index. Key terms are defined on page 11.
- --------------------------------------------------------------- PORTFOLIO CHARACTERISTICS WILSHIRE FUND 5000 - --------------------------------------------------------------- Number of Stocks 3,394 6,638 Median Market Cap $40.0B $40.0B Price/Earnings Ratio 27.4x 27.4x Price/Book Ratio 4.2x 4.2x Yield 1.1% 1.2% Yield--Admiral Shares 1.2% 1.2% Yield--Institutional Shares 1.2% 1.2% Return on Equity 22.5% 22.5% Earnings Growth Rate 15.8% 15.8% Foreign Holdings 0.1% 0.0% Turnover Rate 7% -- Expense Ratio 0.20% -- Expense Ratio-- Admiral Shares 0.15%* -- Expense Ratio-- Institutional Shares 0.10% -- Cash Investments 0.2% -- - ---------------------------------------------------------------
- --------------------------------------------------------------- VOLATILITY MEASURES WILSHIRE FUND 5000 - --------------------------------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - ---------------------------------------------------------------
- --------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) WILSHIRE FUND 5000 - --------------------------------------------------------------- Auto & Transportation 1.8% 1.8% Consumer Discretionary 12.2 12.2 Consumer Staples 6.1 6.1 Financial Services 19.1 19.1 Health Care 14.1 14.1 Integrated Oils 3.4 3.4 Other Energy 2.9 2.9 Materials & Processing 2.8 2.8 Producer Durables 3.4 3.4 Technology 20.3 20.3 Utilities 8.6 8.6 Other 5.3 5.3 - ---------------------------------------------------------------
TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - ----------------------------------------- General Electric Co. 3.2% (conglomerate) Exxon Mobil Corp. 2.0 (oil) Pfizer, Inc. 2.0 (pharmaceuticals) Cisco Systems, Inc. 1.9 (computer networks) Citigroup, Inc. 1.7 (financial services) Wal-Mart Stores, Inc. 1.6 (retail) Microsoft Corp. 1.6 (software) American International Group, Inc. 1.5 (insurance) Merck & Co., Inc. 1.5 (pharmaceuticals) Intel Corp. 1.4 (computer hardware) - ----------------------------------------- Top Ten 18.4% - -----------------------------------------
INVESTMENT FOCUS - ----------------------------------------- STYLE Blend MARKET CAP Large
[COMPUTER GRAPHIC] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. ------ 10 41 GLOSSARY of Investment Terms BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the fund's target index and an overall market index. Each index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 would have seen its share price rise or fall by 12% when the index rose or fell by 10%. - -------------------------------------------------------------------------------- CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash equivalents"--highly liquid, short-term, interest-bearing securities. This figure does not include cash invested in futures contracts to simulate stock investment. - -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. - -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. - -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or American Depositary Receipts of companies based outside the United States. - -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. - -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. - -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. - -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by the fund's target index and by an overall market index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0. - -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of trading activity during the past year. Funds with high turnover rates incur higher transaction costs and are more likely to distribute capital gains (which are taxable to investors). - -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of dividends paid on stocks in the index. ------ 11 42 PERFORMANCE SUMMARY for Growth Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [BAR GRAPH]
- -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) NOVEMBER 2, 1992-DECEMBER 31, 2000 - -------------------------------------------------------------------------------- GROWTH S&P 500/BARRA FISCAL INDEX GROWTH YEAR FUND INDEX - -------------------------------------------------------------------------------- 1992 3.2 3.5 1993 1.5 1.7 1994 2.9 3.1 1995 38.1 38.1 1996 23.7 24.- 1997 36.3 36.5 1998 42.2 42.2 1999 28.8 28.2 2000 -22.2 -22.1 - --------------------------------------------------------------------------------
See Financial Highlights table on page 30 for dividend and capital gains information for the past five years. [PERFORMANCE LINE GRAPH]
- -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE NOVEMBER 2, 1992-DECEMBER 31, 2000 Avg. Large-Cap S&P 500 Wilshire Growth Index Fund* Growth Fund** BARRA Growth Index 5000 Index 11/3/96 $ 10,000 $ 10,000 $ 10,000 $ 10,000 1992 12 10,319 10,384 10,348 10,432 1993 03 10,257 10,502 10,297 10,876 1993 06 10,043 10,563 10,084 10,958 1993 09 10,030 11,112 10,080 11,402 1993 12 10,466 11,347 10,521 11,609 1994 03 9,999 10,924 10,067 11,176 1994 06 9,986 10,599 10,058 11,089 1994 09 10,701 11,237 10,776 11,691 1994 12 10,763 11,099 10,850 11,602 1995 03 11,809 11,934 11,916 12,649 1995 06 13,029 13,295 13,148 13,830 1995 09 14,064 14,474 14,191 15,094 1995 12 14,859 14,735 14,988 15,830 1996 03 15,496 15,530 15,637 16,720 1996 06 16,557 16,315 16,732 17,456 1996 09 17,138 16,936 17,322 17,950 1996 12 18,387 17,761 18,580 19,188 1997 03 19,037 17,644 19,244 19,312 1997 06 22,888 20,839 23,147 22,574 1997 09 24,222 22,791 24,506 24,776 1997 12 25,069 22,733 25,367 25,192 1998 03 29,131 26,148 29,492 28,533 1998 06 30,825 27,605 31,219 29,089 1998 09 28,601 24,641 28,958 25,590 1998 12 35,649 31,384 36,061 31,095 1999 03 38,111 34,055 38,543 32,268 1999 06 39,597 35,213 40,020 34,787 1999 09 38,202 33,970 38,622 32,486 1999 12 45,902 43,339 46,247 38,421 2000 03 47,751 47,024 48,148 39,887 2000 06 47,077 44,492 47,442 38,099 2000 09 42,959 44,274 43,273 38,162 2000 12 35,765 36,296 36,037 34,479
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 ------------------------------- FINAL VALUE SINCE OF A $10,000 1 YEAR 5 YEARS INCEPTION INVESTMENT - ---------------------------------------------------------------------------------------------------------------- Growth Index Fund* -22.21% 19.17% 16.90% $35,765 Average Large-Cap Growth Fund** -16.25 19.76 17.11 36,296 S&P 500/BARRA Growth Index -22.08 19.18 17.01 36,037 Wilshire 5000 Index -10.99 16.66 16.38 34,479 - ----------------------------------------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ------ 12 43 PERFORMANCE SUMMARY for Growth Index Fund Institutional Shares All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [INVESTMENT RETURNS BAR GRAPH]
- -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) MAY 14, 1998-DECEMBER 31, 2000 - -------------------------------------------------------------------------------- FISCAL GROWTH INDEX S&P 500/BARRA YEAR FUND INSTITUTION GROWTH INDEX - -------------------------------------------------------------------------------- 1998 20.8% 20.6% 1999 28.9 28.2 2000 -22.1 -22.1 - --------------------------------------------------------------------------------
See Financial Highlights table on page 31 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE MAY 14, 1998-DECEMBER 31, 2000 Growth Average Wilshire 5000 Index Fund Large-Cap S&P 500/BARRA Total Institutional Growth Growth Market Shares Fund Index Index 5/15/2002 $10,000,000 $10,000,000 $10,000,000 $10,000,000 1998 06 10,441,710 10,375,761 10,440,916 10,088,807 1998 09 9,690,504 9,262,621 9,684,660 8,875,239 1998 12 12,078,723 11,775,298 12,060,212 10,784,614 1999 03 12,915,011 12,775,021 12,890,201 11,191,579 1999 06 13,425,372 13,251,525 13,384,152 12,065,133 1999 09 12,952,276 12,769,449 12,916,775 11,267,173 1999 12 15,570,548 16,260,509 15,466,848 13,325,377 2000 03 16,197,627 17,639,749 16,102,574 13,834,004 2000 06 15,972,399 16,743,301 15,866,288 13,213,711 2000 09 14,579,679 16,642,422 14,472,252 13,235,519 2000 12 12,122,518 13,618,177 12,051,973 11,861,294
AVERAGE ANNUAL TOTAL RETURNS FINAL VALUE OF PERIODS ENDED DECEMBER 31, 2000 A $10,000,000 ------------------------------------------------ 1 YEAR SINCE INCEPTION INVESTMENT - ---------------------------------------------------------------------------------------------------------------- Growth Index Fund Institutional Shares -22.14% 7.58% $12,122,518 Average Large-Cap Growth Fund* -16.25 12.44 13,618,177 S&P 500/BARRA Growth Index -22.08 7.35 12,051,973 Wilshire 5000 Index -10.99 6.70 11,861,294 - ----------------------------------------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc. ------ 13 44 PERFORMANCE SUMMARY for Value Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [INVESTMENT RETURNS BAR GRAPH]
- ----------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) NOVEMBER 2, 1992-DECEMBER 31, 2000 Fiscal Value Index S&P 500/ BARRA Year Fund Value Index 1992 3.7% 3.8% 1993 18.3 18.6 1994 -0.7 -0.6 1995 36.9 37 1996 21.9 22 1997 29.8 30 1998 14.6 14.7 1999 12.6 12.7 2000 6.1 6.1 - -----------------------------------------------------------------------------
See Financial Highlights table on page 32 for dividend and capital gains information for the past five years. [PERFORMANCE LINE GRAPH]
- -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE NOVEMBER 2, 1992-DECEMBER 31, 2000 Value Index Average Large-Cap S&P 500/ BARRA Wilshire 5000 Fund* Value Fund** Value Index Index 11/3/96 $10,000 $10,000 $10,000 $10,000 1992 12 10,370 10,333 10,381 10,371 1993 03 11,317 10,860 11,340 10,813 1993 06 11,632 10,952 11,657 10,894 1993 09 12,224 11,356 12,260 11,335 1993 12 12,273 11,622 12,311 11,541 1994 03 11,866 11,210 11,909 11,111 1994 06 11,981 11,218 12,019 11,024 1994 09 12,280 11,673 12,327 11,623 1994 12 12,183 11,595 12,233 11,534 1995 03 13,357 12,565 13,412 12,575 1995 06 14,514 13,631 14,580 13,749 1995 09 15,679 14,604 15,740 15,006 1995 12 16,683 15,421 16,759 15,738 1996 03 17,740 16,227 17,830 16,622 1996 06 18,108 16,761 18,195 17,354 1996 09 18,571 17,252 18,676 17,845 1996 12 20,330 18,690 20,445 19,076 1997 03 20,671 19,013 20,805 19,199 1997 06 23,662 21,860 23,816 22,442 1997 09 25,819 23,561 25,999 24,631 1997 12 26,382 23,955 26,575 25,045 1998 03 29,420 26,728 29,646 28,366 1998 06 29,575 26,918 29,799 28,919 1998 09 25,741 24,094 25,951 25,440 1998 12 30,245 28,554 30,475 30,913 1999 03 31,087 29,276 31,343 32,080 1999 06 34,430 31,602 34,728 34,584 1999 09 31,248 29,076 31,524 32,296 1999 12 34,047 31,760 34,352 38,196 2000 03 34,104 32,019 34,433 39,654 2000 06 32,643 31,308 32,953 37,876 2000 09 35,515 32,158 35,858 37,938 2000 12 36,117 32,180 36,441 33,999
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 ------------------------------- FINAL VALUE SINCE OF A $10,000 1 YEAR 5 YEARS INCEPTION INVESTMENT - --------------------------------------------------------------------------------------------------- Value Index Fund* 6.08% 16.70% 17.04% $36,117 Average Large-Cap Value Fund** 1.32 15.85 15.40 32,180 S&P 500/BARRA Value Index 6.08 16.81 17.17 36,441 Wilshire 5000 Index -10.99 16.66 16.38 34,479 - ---------------------------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ----- 14 45 PERFORMANCE SUMMARY for Value Index Fund Institutional Shares All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [INVESTMENT RETURNS BAR GRAPH]
- --------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) JULY 2, 1998-DECEMBER 31, 2000 Fiscal Value Index S&P 500/ BARRA Year Fund Institutional Shares Value Index 1998 20.8 20.6 1999 28.9 28.2 2000 -22.1 -22.1 - ---------------------------------------------------------------------------
See Financial Highlights table on page 33 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- ---------------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE JULY 2, 1998-DECEMBER 31, 2000 Growth Index Fund Average Large-Cap S&P 500/ BARRA Wilshire 5000 InstitutionaL Shares Value Fund* Value Index Index 5/15/2002 $10,000,000 $10,000,000 $10,000,000 $10,000,000 1998 06 10,441,710 10,375,761 10,440,916 10,088,807 1998 09 9,690,504 9,262,621 9,684,660 8,875,239 1998 12 12,078,723 11,775,298 12,060,212 10,784,614 1999 03 12,915,011 12,775,021 12,890,201 11,191,579 1999 06 13,425,372 13,251,525 13,384,152 12,065,133 1999 09 12,952,276 12,769,449 12,916,775 11,267,173 1999 12 15,570,548 16,260,509 15,466,848 13,325,377 2000 03 16,197,627 17,639,749 16,102,574 13,834,004 2000 06 15,972,399 16,743,301 15,866,288 13,213,711 2000 09 14,579,679 16,642,422 14,472,252 13,235,519 2000 12 12,122,518 13,618,177 12,051,973 11,861,294
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE OF ------------------------------- A $10,000,000 1 YEAR SINCE INCEPTION INVESTMENT - ------------------------------------------------------------------------------------------------ Value Index Fund Institutional Shares 6.19% 7.74% $12,047,377 Average Large-Cap Value Fund* 1.32 6.39 11,675,217 S&P 500/BARRA Value Index 6.08 7.69 12,033,648 Wilshire 5000 Index -10.99 6.01 11,569,877 - ------------------------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc. ----- 15 46 PERFORMANCE SUMMARY for Total Stock Market Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [INVESTMENT RETURNS BAR GRAPH]
- ----------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) APRIL 27, 1992-DECEMBER 31, 2000 Fiscal Total Stock Wilshire 5000 Year Market Index Index 1992 10.4 10.7 1993 10.6 11.3 1994 -0.2 -0.1 1995 35.8 36.4 1996 21 21.2 1997 31 31.3 1998 23.3 23.4 1999 23.8 23.6 2000 -10.6 -11 - -----------------------------------------------------------------------------
See Financial Highlights table on page 33 for dividend and capital gains information for the past five years. [PERFORMANCE LINE GRAPH]
- ------------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE APRIL 27, 1992-DECEMBER 31, 2000 Total Stock Average Multi-Cap Wilshire 5000 Market Index Fund* Core Fund ** Index 4/28/96 $10,000 $10,000 $10,000 1992 06 10,010 9,976 10,007 1992 09 10,309 10,259 10,314 1992 12 11,041 11,059 11,065 1993 03 11,480 11,405 11,536 1993 06 11,563 11,487 11,623 1993 09 11,986 11,908 12,093 1993 12 12,214 12,243 12,313 1994 03 11,761 11,880 11,854 1994 06 11,655 11,709 11,762 1994 09 12,310 12,221 12,401 1994 12 12,193 12,048 12,306 1995 03 13,309 12,997 13,417 1995 06 14,538 14,148 14,669 1995 09 15,837 15,187 16,010 1995 12 16,557 15,797 16,791 1996 03 17,470 16,736 17,734 1996 06 18,212 17,425 18,516 1996 09 18,723 17,947 19,040 1996 12 20,027 19,081 20,353 1997 03 20,158 19,142 20,484 1997 06 23,546 22,025 23,944 1997 09 25,842 24,124 26,280 1997 12 26,235 24,041 26,721 1998 03 29,717 27,142 30,265 1998 06 30,265 27,397 30,854 1998 09 26,613 23,622 27,143 1998 12 32,338 28,380 32,982 1999 03 33,536 29,129 34,227 1999 06 36,179 31,720 36,898 1999 09 33,855 29,596 34,458 1999 12 40,039 34,751 40,752 2000 03 41,576 36,559 42,308 2000 06 39,751 35,380 40,411 2000 09 39,860 35,983 40,478 2000 12 35,805 33,723 36,275
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 ------------------------------- FINAL VALUE SINCE OF A $10,000 1 YEAR 5 YEARS INCEPTION INVESTMENT - ----------------------------------------------------------------------------------------------------- Total Stock Market Index Fund* -10.57% 16.68% 15.83% $35,805 Average Multi-Cap Core Fund** -2.96 16.38 15.04 33,723 Wilshire 5000 Index -10.99 16.66 16.01 36,275 - -----------------------------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ----- 16 47 PERFORMANCE SUMMARY for Total Stock Market Index Fund Institutional Shares All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [INVESTMENT RETURNS BAR GRAPH]
- -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) JULY 7, 1997-DECEMBER 31, 2000 Fiscal Value Index Wilshire 5000 Year Fund Institutional Shares Index 1997 8.6 8.8 1998 23.4 23.4 1999 23.9 23.6 2000 -10.5 -11.0 - --------------------------------------------------------------------------------
See Financial Highlights table on page 34 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- ------------------------------------------------------------------------------------------ CUMULATIVE PERFORMANCE JULY 7, 1997-DECEMBER 31, 2000 Total Stock Market Index Average Multi-Cap Fund Institutional Shares Core Fund* Wilshire 5000 Index 7/7/97 $10,000,000 $10,000,000 $10,000,000 1997 09 10,691,227 10,734,654 10,696,509 1997 12 10,859,588 10,730,360 10,876,090 1998 03 12,306,072 12,078,093 12,318,373 1998 06 12,532,590 12,127,614 12,558,290 1998 09 11,022,639 10,514,641 11,047,671 1998 12 13,398,011 12,677,503 13,424,413 1999 03 13,896,941 13,040,079 13,930,993 1999 06 15,000,654 14,067,638 15,018,370 1999 09 14,035,874 13,170,122 14,025,089 1999 12 16,603,598 15,534,159 16,587,089 2000 03 17,244,764 16,371,450 17,220,215 2000 06 16,496,673 15,916,324 16,448,091 2000 09 16,540,206 16,151,886 16,475,237 2000 12 14,866,875 15,022,103 14,764,636
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE OF ------------------------------- A $10,000,000 1 YEAR SINCE INCEPTION INVESTMENT - -------------------------------------------------------------------------------------------------------------- Total Stock Market Index Fund Institutional Shares -10.46% 12.05% $14,866,875 Average Multi-Cap Core Fund* -2.96 12.39 15,022,103 Wilshire 5000 Index -10.99 11.83 14,764,636 - --------------------------------------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc. ----- 17 48 A REPORT on Your Fund's After-Tax Returns This table presents pre-tax and after-tax returns for your fund and an appropriate peer group of mutual funds. The after-tax returns represent the fund's past results only and should not be used to predict future tax efficiency. If you own the fund in a tax-deferred account such as an individual retirement account or a 401(k), this information does not apply to you. Such accounts are not subject to current taxes. Income taxes can have a considerable impact on a fund's return. The fund's after-tax return, which accounts for taxes on distributions of capital gains and income dividends, is an important measure of the return that many investors actually received. PRE-TAX AND AFTER-TAX PERIODS ENDED DECEMBER 31, 2000 AVERAGE ANNUAL TOTAL RETURNS
ONE YEAR FIVE YEARS* SINCE INCEPTION** ---------------------------------------------------------------------- PRE-TAX AFTER-TAX PRE-TAX AFTER-TAX PRE-TAX AFTER-TAX - ---------------------------------------------------------------------------------------------------------------------- Vanguard Growth Index Fund -22.2% -22.3% 19.2% 18.4% 16.9% 16.1% Institutional Shares -22.1 -22.3 7.6 7.0 -- -- Average Large Growth Fund+ -14.1 -16.2 18.1 15.2 -- -- - ---------------------------------------------------------------------------------------------------------------------- Vanguard Value Index Fund 6.1% 4.0% 16.7% 14.3% 17.0% 14.9% Institutional Shares 6.2 4.1 7.7 5.2 -- -- Average Large Value Fund+ 5.5 3.6 13.9 11.1 -- -- - ---------------------------------------------------------------------------------------------------------------------- Vanguard Total Stock Market Index Fund -10.6% -11.1% 16.7% 15.8% 15.8% 14.9% Institutional Shares -10.5 -11.0 12.1 11.2 -- -- Average Large Blend Fund+ -7.0 -8.6 16.0 13.6 -- -- - ----------------------------------------------------------------------------------------------------------------------
*For Institutional Shares, five-year returns are annualized since inception: For Growth Index Fund Institutional Shares, inception is May 14, 1998; for Value Index Fund Institutional Shares, July 2, 1998; for Total Stock Market Index Fund Institutional Shares, July 7, 1997. **For the Growth and Value Index Funds, returns are annualized since inception on November 2, 1992. For the Total Stock Market Index Fund, returns are annualized since inception on April 27, 1992. +Based on data from Morningstar, Inc. Elsewhere in this report, returns for comparable funds are derived from data provided by Lipper Inc., which may differ somewhat. The after-tax return calculations use the top federal income tax rates in effect at the time of each distribution. The tax burden would be less, and the after-tax return higher, for those in lower tax brackets. Many interrelated factors affect how tax-friendly a fund may be, so it's very difficult to predict tax efficiency. A fund's tax efficiency can be influenced by its turnover rate, the types of securities it holds, its accounting practices, and the net cash flow it receives. Finally, it's important to understand that our calculation does not reflect the tax effect of your own investment activities. You may incur additional capital gains taxes--thereby lowering your after-tax return--if you sell all or some of your shares. A NOTE ABOUT OUR CALCULATIONS: Pre-tax total returns assume that all distributions received are reinvested in new shares, while our after-tax returns assume that distributions are reduced by any taxes owed on them before reinvestment. When calculating the taxes due, we used the highest individual federal income tax rates at the time of the distributions. Those rates are currently 39.6% for dividends and short-term capital gains and 20% for long-term capital gains. State and local income taxes were not considered. The competitive group returns provided by Morningstar are calculated in a manner consistent with that used for Vanguard funds. (C)2001 by Morningstar(R), Inc. All rights reserved. Average return information for comparative fund groups is proprietary information of Morningstar, Inc. It may not be copied or redistributed, and it may only be used for noncommercial, personal purposes. Morningstar does not warrant that this information is accurate, correct, complete, or timely, and Morningstar is not responsible for investment decisions, damages, or other losses resulting from use of this information. Past performance is no guarantee of future performance. Morningstar, Inc., has not consented to be considered or deemed an "expert" under the Securities Act of 1933. ----- 18 49 FINANCIAL STATEMENTS December 31, 2000 The Statement of Net Assets--an integral part of the Financial Statements for Vanguard Total Stock Market Index Fund--is included as an insert to this report. The Growth Index and Value Index Funds' Statements of Net Assets are provided below. STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets of each fund, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
- ------------------------------------------------------------------------------- MARKET VALUE- GROWTH INDEX FUND SHARES (000) - ------------------------------------------------------------------------------- COMMON STOCKS (100.1%)(1) - ------------------------------------------------------------------------------- General Electric Co. 22,157,862 $1,062,192 Pfizer, Inc. 14,108,077 648,972 * Cisco Systems, Inc. 16,094,113 615,600 Wal-Mart Stores, Inc. 9,988,209 530,624 * Microsoft Corp. 11,924,013 517,204 American International Group, Inc. 5,205,154 513,033 Merck & Co., Inc. 5,156,953 482,820 Intel Corp. 15,049,512 452,426 * Oracle Corp. 12,516,872 363,772 The Coca-Cola Co. 5,545,281 337,916 International Business Machines Corp. 3,923,105 333,464 Johnson & Johnson 3,108,325 326,568 * EMC Corp. 4,892,801 325,371 Bristol-Myers Squibb Co. 4,372,522 323,293 Home Depot, Inc. 5,178,735 236,603 Eli Lilly & Co. 2,520,789 234,591 Procter & Gamble Co. 2,915,500 228,685 * Sun Microsystems, Inc. 7,200,400 200,711 American Home Products Corp. 2,930,637 186,242 Schering-Plough Corp. 3,269,400 185,538 * America Online, Inc. 5,223,645 181,783 Pharmacia Corp. 2,765,376 168,688 Abbott Laboratories 3,458,880 167,540 American Express Co. 2,974,074 163,388 Medtronic, Inc. 2,686,747 162,212 PepsiCo, Inc. 3,228,120 159,994 Time Warner, Inc. 2,968,507 155,075 * Amgen, Inc. 2,309,919 147,690 * QUALCOMM, Inc. 1,671,840 137,404 Corning, Inc. 2,056,551 108,612 * Dell Computer Corp. 5,784,748 100,872 Walgreen Co. 2,265,352 94,720 Anheuser-Busch Cos., Inc. 2,017,174 91,781 Automatic Data Processing, Inc. 1,411,424 89,361 The Bank of New York Co., Inc. 1,615,796 89,172 Charles Schwab Corp. 3,094,104 87,795 Gillette Co. 2,355,326 85,086 Kimberly-Clark Corp. 1,193,848 84,393 Colgate-Palmolive Co. 1,279,647 82,601 * Veritas Software Corp. 872,047 76,304 Marsh & McLennan Cos., Inc. 615,021 71,957 * Siebel Systems, Inc. 960,490 64,953
----- 19 50
- ------------------------------------------------------------------------------- MARKET VALUE- GROWTH INDEX FUND SHARES (000) - ------------------------------------------------------------------------------- Cardinal Health, Inc. 624,134 $ 62,179 * Tellabs, Inc. 917,953 51,864 Baxter International, Inc. 584,761 51,642 Exelon Corp. 712,047 49,993 The Gap, Inc. 1,900,044 48,451 * Applied Micro Circuits Corp. 611,715 45,907 Sara Lee Corp. 1,864,497 45,797 * Network Appliance, Inc. 706,750 45,365 * Kohl's Corp. 741,790 45,249 State Street Corp. 361,069 44,848 Sysco Corp. 1,494,785 44,844 * The Kroger Co. 1,655,735 44,808 Applera Corp-Applied Biosystems Group 470,455 44,252 * Broadcom Corp. 525,990 44,183 * Sprint PCS 2,084,780 42,608 * NEXTEL Communications, Inc. 1,703,590 42,164 * Analog Devices, Inc. 799,638 40,931 Paychex, Inc. 832,445 40,478 * Comverse Technology, Inc. 368,168 39,992 * Yahoo!, Inc. 1,248,745 37,540 * Guidant Corp. 688,110 37,115 H.J. Heinz Co. 775,610 36,793 Providian Financial Corp. 639,255 36,757 Northern Trust Corp. 448,442 36,576 * Palm, Inc. 1,265,430 35,827 * Xilinx, Inc. 737,305 34,008 Omnicom Group Inc. 395,940 32,814 Linear Technology Corp. 708,215 32,755 Campbell Soup Co. 941,650 32,605 Adobe Systems, Inc. 537,410 31,271 * Maxim Integrated Products, Inc. 635,525 30,386 Interpublic Group of Cos., Inc. 688,174 29,290 Capital One Financial Corp. 440,343 28,980 The Quaker Oats Co. 293,091 28,540 Allergan, Inc. 294,020 28,465 General Mills, Inc. 631,931 28,160 Harley-Davidson, Inc. 677,605 26,935 * Forest Laboratories, Inc. 195,995 26,043 * Sanmina Corp. 338,433 25,932 Avon Products, Inc. 532,063 25,473 USA Education Inc. 366,907 24,950 Wrigley, (Wm.) Jr. Co. 252,419 24,185 Kellogg Co. 907,082 23,811 * PeopleSoft, Inc. 638,300 23,737 * Altera Corp. 886,455 23,325 * ALZA Corp. 529,255 22,493 * MedImmune Inc. 471,124 22,467 * Vitesse Semiconductor Corp. 401,705 22,219 Stryker Corp. 413,510 20,919 * Biogen, Inc. 330,790 19,868 Stilwell Financial, Inc. 497,336 19,614 * King Pharmaceuticals, Inc. 374,521 19,358 Hershey Foods Corp. 300,575 19,350 * Starbucks Corp. 418,258 18,508 Ralston-Ralston Purina Group 686,334 17,930 RadioShack Corp. 415,645 17,795 IMS Health, Inc. 656,619 17,729 TJX Cos., Inc. 629,000 17,455 * Mercury Interactive Corp. 180,860 16,323 Biomet, Inc. 398,679 15,823 * QLogic Corp. 204,650 15,758 * Convergys Corp. 344,910 15,629 * Bed Bath & Beyond, Inc. 632,901 14,161 Avery Dennison Corp. 246,778 13,542 * Lexmark International, Inc. 284,255 12,596 Sabre Holdings Corp. 289,100 12,467 Ecolab, Inc. 284,009 12,266 Symbol Technologies, Inc. 327,280 11,782 PerkinElmer, Inc. 106,728 11,206 Dow Jones & Co., Inc. 195,685 11,081 * Tricon Global Restaurants, Inc. 327,060 10,793 * Robert Half International, Inc. 397,390 10,531 UST, Inc. 364,256 10,222 Moody's Corp. 363,335 9,333 * Citrix Systems, Inc. 414,278 9,321 Equifax, Inc. 316,695 9,085 * Power-One, Inc. 175,436 6,897 Millipore Corp. 103,540 6,523 * US Airways Group, Inc. 149,950 6,082 Tupperware Corp. 129,385 2,644 - ------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $10,437,099) 12,834,604 - -------------------------------------------------------------------------------
----- 20 51
- ------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE- (000) (000) - ------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENT(1) - ------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP (2) 6.53%, 1/1/2001 (COST $599) $600 $ 599 - ------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.1%) (COST $10,437,698) 12,835,203 - ------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES--NET (-0.1%) (15,836) - ------------------------------------------------------------------------------- NET ASSETS (100%) $12,819,367 ===============================================================================
-See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.2% and -0.1%, respectively, of net assets. See Note F in Notes to Financial Statements. (2)Security has been segregated as initial margin for open futures contracts.
- ------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES - ------------------------------------------------------------------------------- ASSETS Investments in Securities, at Value $12,835,203 Receivables for Investment Securities Sold 1,850,414 Other Assets--Note B 68,157 ----------- Total Assets 14,753,774 ----------- LIABILITIES Payables for Investment Securities Purchased 1,852,181 Other Liabilities 82,226 ----------- Total Liabilities $1,934,407 ----------- - ------------------------------------------------------------------------------- NET ASSETS (100%) $12,819,367 ===============================================================================
- --------------------------------------------------------------------- Amount (000) - --------------------------------------------------------------------- AT DECEMBER 31, 2000, NET ASSETS CONSISTED OF: - --------------------------------------------------------------------- Paid-in Capital $11,981,598 Overdistributed Net Investment Income (5,652) Accumulated Net Realized Losses--Note E (1,553,616) Unrealized Appreciation (Depreciation)-- Note F Investment Securities 2,397,505 Futures Contracts (468) - --------------------------------------------------------------------- NET ASSETS $12,819,367 ===================================================================== Investor Shares--Net Assets Applicable to 365,128,492 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $11,162,188 - --------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $30.57 ===================================================================== Admiral Shares--Net Assets Applicable to 23,203,542 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $709,356 - --------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $30.57 ===================================================================== Institutional Shares--Net Assets Applicable to 31,001,385 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $947,823 - --------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $30.57 =====================================================================
----- 21 52
- -------------------------------------------------------------------------------- MARKET VALUE- VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) - -------------------------------------------------------------------------------- Exxon Mobil Corp. 2,775,515 $ 241,296 Citigroup, Inc. 4,013,708 204,950 SBC Communications Inc. 2,702,745 129,056 Verizon Communications 2,155,073 108,023 Royal Dutch Petroleum Co. ADR 1,712,110 103,690 Nortel Networks Corp. 2,448,300 78,499 Philip Morris Cos., Inc. 1,775,395 78,117 Tyco International Ltd. 1,396,484 77,505 Wells Fargo Co. 1,364,676 75,995 Morgan Stanley Dean Witter & Co. 894,788 70,912 Fannie Mae 804,358 69,778 Texas Instruments, Inc. 1,367,400 64,781 BellSouth Corp. 1,491,559 61,061 Bank of America Corp. 1,299,476 59,613 * Viacom Inc. Class B 1,195,900 55,908 * Qwest Communications International Inc. 1,309,000 53,669 AT&T Corp. 2,996,849 51,883 Hewlett-Packard Co. 1,578,820 49,831 Enron Corp. 596,043 49,546 The Walt Disney Co. 1,664,483 48,166 The Chase Manhattan Corp. 1,046,302 47,541 The Boeing Co. 709,364 46,818 Merrill Lynch & Co., Inc. 646,846 44,107 Chevron Corp. 512,461 43,271 E.I. du Pont de Nemours & Co. 832,704 40,230 Freddie Mac 555,003 38,226 Minnesota Mining & Manufacturing Co. 314,980 37,955 Schlumberger Ltd. 457,111 36,540 Lucent Technologies, Inc. 2,639,600 35,635 McDonald's Corp. 1,047,002 35,598 Motorola, Inc. 1,744,150 35,319 Ford Motor Co. 1,496,486 35,074 Bank One Corp. 923,741 33,832 * WorldCom, Inc. 2,298,769 32,326 * JDS Uniphase Corp. 760,000 31,682 Honeywell International Inc. 636,755 30,126 * Comcast Corp.-Special Class A 720,827 30,095 United Technologies Corp. 373,913 29,399 Unilever NV ADR 456,395 28,724 Texaco Inc. 439,253 27,289 FleetBoston Financial Corp. 722,634 27,144 Emerson Electric Co. 341,058 26,880 Allstate Corp. 583,867 25,435 MBNA Corp. 680,135 25,122 Duke Energy Corp. 294,523 25,108 * Safeway, Inc. 400,116 25,007 * Applied Materials, Inc. 641,100 24,482 Alcoa Inc. 690,610 23,135 Target Corp. 715,140 23,063 General Motors Corp. 451,042 22,975 Washington Mutual, Inc. 430,571 22,847 * Clear Channel Communications, Inc. 466,947 22,618 Fifth Third Bancorp 368,796 22,036 First Union Corp. 782,153 21,754 Electronic Data Systems Corp. 373,406 21,564 Metropolitan Life Insurance Co. 610,507 21,368 J.P. Morgan & Co., Inc. 127,776 21,147 Household International, Inc. 375,904 20,675 Compaq Computer Corp. 1,357,380 20,429 * AES Corp. 366,160 20,276 Dow Chemical Co. 541,718 19,840 * Agilent Technologies, Inc. 358,100 19,606 HCA-The Healthcare Co. 441,128 19,414 Mellon Financial Corp. 389,614 19,164 CVS Corp. 312,789 18,748 Southern Co. 539,676 17,944 Firstar Corp. 758,621 17,638 U.S. Bancorp 601,335 17,551 * Solectron Corp. 508,194 17,228 PNC Financial Services Group 230,764 16,860 First Data Corp. 315,379 16,616 American General Corp. 200,737 16,360 CIGNA Corp. 122,544 16,213 * Micron Technology, Inc. 448,400 15,918 International Paper Co. 384,342 15,686 UnitedHealth Group Inc. 254,566 15,624 ALLTEL Corp. 249,673 15,589 AFLAC, Inc. 211,774 15,287 Coastal Corp. 171,893 15,180 SunTrust Banks, Inc. 236,534 14,902 Dynegy, Inc. 258,073 14,468 Conoco Inc. Class B 497,587 14,399 Carnival Corp. 466,718 14,381 Illinois Tool Works, Inc. 241,214 14,367 Sprint Corp. 706,017 14,341 * Costco Wholesale Corp. 357,156 14,264 Anadarko Petroleum Corp. 198,615 14,118 Williams Cos., Inc. 351,352 14,032 National City Corp. 485,777 13,966 Waste Management, Inc. 496,380 13,775 Lowe's Cos., Inc. 305,750 13,606 Southwest Airlines Co. 400,737 13,437 El Paso Energy Corp. 185,446 13,283 Gannett Co., Inc. 210,535 13,277 Caterpillar, Inc. 274,473 12,986 Lehman Brothers Holdings, Inc. 190,447 12,879
----- 22 53
- -------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - -------------------------------------------------------------------------------- Halliburton Co. 353,256 $ 12,805 Dominion Resources, Inc. 190,965 12,795 The Hartford Financial Services Group Inc. 180,089 12,719 General Dynamics Corp. 159,085 12,409 The Chubb Corp. 139,556 12,072 NIKE, Inc. Class B 215,677 12,037 American Electric Power Co., Inc. 257,065 11,954 BB&T Corp. 316,668 11,816 Lockheed Martin Corp. 343,947 11,677 Phillips Petroleum Co. 203,833 11,593 Tenet Healthcare Corp. 253,190 11,251 ConAgra Foods, Inc. 425,876 11,073 * ADC Telecommunications, Inc. 610,200 11,060 Baker Hughes, Inc. 265,129 11,019 Tribune Co. 241,355 10,197 Reliant Energy, Inc. 235,378 10,195 * Calpine Corp. 224,974 10,138 FPL Group, Inc. 141,208 10,132 * Global Crossing Ltd. 707,164 10,121 Union Pacific Corp. 197,841 10,040 KeyCorp 339,992 9,520 Wachovia Corp. 162,463 9,443 St. Paul Cos., Inc. 173,853 9,442 Eastman Kodak Co. 239,635 9,436 Sears, Roebuck & Co. 266,804 9,271 Masco Corp. 356,301 9,152 The McGraw-Hill Cos., Inc. 156,049 9,148 TXU Corp. 206,090 9,132 * FedEx Corp. 227,600 9,095 Computer Associates International, Inc. 458,900 8,949 Burlington Northern Santa Fe Corp. 315,213 8,924 Albertson's, Inc. 336,203 8,909 Weyerhaeuser Co. 174,956 8,879 Alcan Aluminium Ltd. 258,060 8,822 Burlington Resources, Inc. 171,910 8,681 Deere & Co. 187,265 8,579 Golden West Financial Corp. 126,335 8,528 Public Service Enterprise Group, Inc. 171,200 8,325 Loews Corp. 78,721 8,153 McKesson HBOC, Inc. 226,688 8,136 Marriott International, Inc. Class A 191,602 8,095 * Computer Sciences Corp. 134,444 8,083 Progress Energy, Inc. 164,095 8,071 Xcel Energy, Inc. 271,946 7,903 May Department Stores Co. 237,756 7,787 Danaher Corp. 113,252 7,744 Transocean Sedco Forex Inc. 168,277 7,741 Archer-Daniels-Midland Co. 505,566 7,583 Entergy Corp. 177,972 7,530 Air Products & Chemicals, Inc. 183,110 7,508 Unocal Corp. 193,998 7,505 Raytheon Co. Class B 239,351 7,435 Comerica, Inc. 125,104 7,428 Franklin Resources Corp. 194,474 7,409 Lincoln National Corp. 153,008 7,239 Occidental Petroleum Corp. 294,894 7,151 Aon Corp. 204,480 7,003 Becton, Dickinson & Co. 202,211 7,002 Rockwell International Corp. 146,467 6,975 * Nabors Industries, Inc. 117,275 6,937 Apache Corp. 98,596 6,908 USX-Marathon Group 247,844 6,878 * Chiron Corp. 152,891 6,804 The Clorox Co. 188,096 6,677 Pitney Bowes, Inc. 201,333 6,669 Dover Corp. 162,114 6,576 Consolidated Edison Inc. 169,221 6,515 * Intuit, Inc. 164,732 6,497 Rohm & Haas Co. 175,446 6,371 Coca-Cola Enterprises, Inc. 333,604 6,338 Devon Energy Corp. 102,439 6,246 PPG Industries, Inc. 134,754 6,241 PG&E Corp. 309,025 6,181 Jefferson-Pilot Corp. 82,259 6,149 Synovus Financial Corp. 226,981 6,114 Progressive Corp. of Ohio 58,615 6,074 MBIA, Inc. 78,524 5,821 Union Carbide Corp. 107,900 5,806 The Limited, Inc. 339,824 5,798 * Wellpoint Health Networks Inc. Class A 49,960 5,758 MGIC Investment Corp. 85,285 5,751 FirstEnergy Corp. 180,061 5,683 * Federated Department Stores, Inc. 161,233 5,643 Praxair, Inc. 126,590 5,617 * Cendant Corp. 582,005 5,602 Georgia Pacific Group 179,450 5,585 Molex, Inc. 156,088 5,541 SouthTrust Corp. 134,345 5,466 Constellation Energy Group 120,190 5,416 Ingersoll-Rand Co. 128,173 5,367 Summit Bancorp 139,226 5,317 Textron, Inc. 113,594 5,282 PPL Corp. 115,669 5,227 New York Times Co. Class A 129,884 5,203
----- 23 54
- -------------------------------------------------------------------------------- MARKET VALUE- VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc. 147,510 $ 5,200 Barrick Gold Corp. 316,059 5,177 UnumProvident Corp. 192,353 5,169 Amerada Hess Corp. 70,687 5,165 * Teradyne, Inc. 137,900 5,137 EOG Resources, Inc. 93,304 5,103 Cincinnati Financial Corp. 128,487 5,083 Ameren Corp. 109,596 5,076 Kerr-McGee Corp. 75,279 5,039 * HEALTHSOUTH Corp. 308,406 5,031 Delphi Automotive Systems Corp. 446,988 5,029 NiSource, Inc. 162,774 5,005 * KLA-Tencor Corp. 148,470 5,002 Dollar General Corp. 263,080 4,966 Delta Air Lines, Inc. 98,214 4,929 Mattel, Inc. 340,724 4,920 AMBAC Financial Group Inc. 84,043 4,901 * Best Buy Co., Inc. 164,100 4,851 Newell Rubbermaid, Inc. 212,824 4,842 Old Kent Financial Corp. 110,532 4,836 Regions Financial Corp. 176,950 4,833 Charter One Financial 165,955 4,792 Kinder Morgan, Inc. 91,319 4,766 Northrop Grumman Corp. 57,315 4,757 * AMR Corp. 120,279 4,713 * Gateway, Inc. 258,216 4,645 * Aetna Inc.-New 112,874 4,635 Countrywide Credit Industries, Inc. 91,126 4,579 AmSouth Bancorp 299,645 4,570 KeySpan Corp. 107,465 4,554 CSX Corp. 173,268 4,494 Cinergy Corp. 126,964 4,460 DTE Energy Co. 113,916 4,436 * Boston Scientific Corp. 323,555 4,429 Bear Stearns Co., Inc. 85,196 4,318 * LSI Logic Corp. 252,400 4,314 * Staples, Inc. 362,573 4,283 * Thermo Electron Corp. 143,740 4,276 Allegheny Energy, Inc. 88,149 4,248 The CIT Group, Inc. 209,077 4,208 Eaton Corp. 55,844 4,199 * Watson Pharmaceuticals, Inc. 82,014 4,198 * St. Jude Medical, Inc. 67,853 4,169 Scientific-Atlanta, Inc. 127,400 4,148 Parker Hannifin Corp. 93,019 4,104 T. Rowe Price Group Inc. 96,823 4,092 Willamette Industries, Inc. 87,177 4,092 Norfolk Southern Corp. 306,259 4,077 Edison International 260,115 4,064 CenturyTel, Inc. 112,301 4,015 Tosco Corp. 115,537 3,921 Torchmark Corp. 100,784 3,874 * Apple Computer, Inc. 259,465 3,860 Vulcan Materials Co. 80,605 3,859 Union Planters Corp. 107,602 3,847 TRW, Inc. 99,252 3,846 Sempra Energy 163,262 3,796 * NCR Corp. 77,029 3,784 * Novellus Systems, Inc. 104,990 3,773 Fortune Brands, Inc. 123,563 3,707 Tiffany & Co. 116,481 3,684 * Unisys Corp. 249,877 3,654 Brown-Forman Corp. Class B 54,696 3,637 Genuine Parts Co. 138,160 3,618 GPU, Inc. 96,892 3,567 Johnson Controls, Inc. 68,593 3,567 Phelps Dodge Corp. 62,809 3,506 * Advanced Micro Devices, Inc. 250,205 3,456 Conseco Inc. 259,741 3,425 Cooper Industries, Inc. 74,558 3,425 Sherwin-Williams Co. 128,241 3,374 SAFECO Corp. 101,868 3,349 Harcourt General, Inc. 58,432 3,342 Knight Ridder 58,601 3,333 VF Corp. 90,785 3,290 Huntington Bancshares Inc. 200,310 3,243 Pinnacle West Capital Corp. 67,671 3,223 Hilton Hotels Corp. 294,160 3,089 CMS Energy Corp. 96,510 3,058 H & R Block, Inc. 73,118 3,025 PACCAR, Inc. 61,010 3,005 Eastman Chemical Co. 61,318 2,989 Leggett & Platt, Inc. 156,636 2,966 The BFGoodrich Co. 81,337 2,959 * Parametric Technology Corp. 217,402 2,921 * AutoZone Inc. 101,797 2,901 The Goodyear Tire & Rubber Co. 125,810 2,892 * National Semiconductor Corp. 142,547 2,869 * Conexant Systems, Inc. 180,100 2,769 * BMC Software, Inc. 195,998 2,744 W.W. Grainger, Inc. 75,057 2,740 ITT Industries, Inc. 70,241 2,722 * Toys R Us, Inc. 162,935 2,719 R.R. Donnelley & Sons Co. 97,446 2,631 Black & Decker Corp. 64,890 2,547 Tektronix, Inc. 75,521 2,544 * BroadVision, Inc. 214,941 2,539 Whirlpool Corp. 53,113 2,533 The Mead Corp. 80,342 2,521 Placer Dome, Inc. 261,492 2,517 Nucor Corp. 62,185 2,468
----- 24 55
- -------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - -------------------------------------------------------------------------------- Xerox Corp. 532,903 $ 2,465 * Harrah's Entertainment, Inc. 93,193 2,458 * Inco Ltd. 145,094 2,432 Sigma-Aldrich Corp. 61,655 2,424 Wendy's International, Inc. 90,853 2,385 Adolph Coors Co. Class B 29,472 2,367 Westvaco Corp. 80,349 2,345 * Ceridian Corp. 116,334 2,319 Newmont Mining Corp. 134,346 2,292 * Avaya Inc. 222,155 2,291 * Allied Waste Industries, Inc. 157,170 2,289 Sunoco, Inc. 67,858 2,286 J.C. Penney Co., Inc. 209,250 2,276 * Cabletron Systems, Inc. 147,177 2,217 Darden Restaurants Inc. 95,366 2,181 Winn-Dixie Stores, Inc. 111,474 2,160 The Stanley Works 68,677 2,142 * Niagara Mohawk Holdings Inc. 127,927 2,135 Temple-Inland Inc. 39,310 2,108 Pall Corp. 98,324 2,096 Engelhard Corp. 101,998 2,078 * Humana, Inc. 135,062 2,060 * Kmart Corp. 385,956 2,050 * Rowan Cos., Inc. 75,326 2,034 * Sealed Air Corp. 66,100 2,016 Ashland, Inc. 55,801 2,003 * Fluor Corp. 60,403 1,997 Maytag Corp. 61,402 1,984 * Quintiles Transnational Corp. 92,049 1,927 Alberto-Culver Co. Class B 44,577 1,908 * American Power Conversion Corp. 153,900 1,905 C.R. Bard, Inc. 40,595 1,890 Circuit City Stores, Inc. 164,074 1,887 Nordstrom, Inc. 102,911 1,872 * Compuware Corp. 291,588 1,822 Dana Corp. 118,037 1,807 Centex Corp. 47,171 1,772 * FMC Corp. 24,346 1,745 Liz Claiborne, Inc. 41,423 1,724 Bausch & Lomb, Inc. 42,597 1,723 * Office Depot, Inc. 238,004 1,696 * Manor Care, Inc. 81,806 1,687 Hercules, Inc. 85,779 1,635 International Flavors & Fragrances, Inc. 78,132 1,587 NICOR, Inc. 36,463 1,575 * Pactiv Corp. 126,269 1,563 Boise Cascade Corp. 45,859 1,542 Great Lakes Chemical Corp. 40,183 1,494 SuperValu Inc. 105,762 1,467 Deluxe Corp. 58,024 1,466 Hasbro, Inc. 137,831 1,464 Bemis Co., Inc. 42,496 1,426 * Andrew Corp. 64,783 1,409 Crane Co. 48,458 1,378 Pulte Corp. 32,536 1,373 * Novell, Inc. 262,654 1,371 Snap-On Inc. 46,700 1,302 Meredith Corp. 40,107 1,291 USX-U.S. Steel Group 71,234 1,282 Peoples Energy Corp. 28,233 1,263 Cummins Engine Co., Inc. 33,291 1,263 * Reebok International Ltd. 45,976 1,257 Autodesk, Inc. 46,192 1,244 * Navistar International Corp. 47,508 1,244 Visteon Corp. 105,100 1,209 Kaufman & Broad Home Corp. 34,468 1,161 Brunswick Corp. 70,115 1,153 * Sapient Corp. 95,900 1,145 ONEOK, Inc. 23,393 1,126 Ball Corp. 22,673 1,044 Allegheny Technologies Inc. 64,831 1,029 * Freeport-McMoRan Copper & Gold Inc. Class B 117,400 1,005 * Consolidated Stores, Inc. 89,866 955 Raytheon Co. Class A 32,092 931 Homestake Mining Co. 212,168 888 Dillard's Inc. 73,829 872 National Service Industries, Inc. 32,981 847 Louisiana-Pacific Corp. 83,203 842 * Adaptec, Inc. 78,934 809 Ryder System, Inc. 47,818 795 Briggs & Stratton Corp. 17,272 766 Potlatch Corp. 22,750 764 Thomas & Betts Corp. 46,448 752 The Timken Co. 48,014 726 Longs Drug Stores, Inc. 29,912 722 Cooper Tire & Rubber Co. 58,122 618 Worthington Industries, Inc. 69,036 557 McDermott International, Inc. 48,696 523 American Greetings Corp. Class A 51,261 484 * Jabil Circuit, Inc. 1,400 36 * Freeport-McMoRan Copper & Gold, Inc. Class A 4,000 33 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $4,346,168) 4,772,455 - --------------------------------------------------------------------------------
----- 25 56
- -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE- VALUE INDEX FUND (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.3%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 6.53%, 1/11/2001 $ 400 $ 399 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.14%, 1/2/2001 15,136 15,136 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $15,535) 15,535 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.2%) (COST $4,361,703) 4,787,990 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES--NET (-0.2%) (8,061) - -------------------------------------------------------------------------------- NET ASSETS (100%) $4,779,929 ================================================================================
-See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets. See Note F in Notes to Financial Statements. (2)Security has been segregated as initial margin for open futures contracts. ADR--American Depositary Receipt.
- -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES - -------------------------------------------------------------------------------- ASSETS Investments in Securities, at Value $4,787,990 Receivables for Investment Securities Sold 626,725 Other Assets--Note B 47,884 ---------- Total Assets 5,462,599 ---------- LIABILITIES Payables for Investment Securities Purchased 665,446 Other Liabilities 17,224 ---------- Total Liabilities $ 682,670 ---------- - -------------------------------------------------------------------------------- NET ASSETS $4,779,929 ================================================================================
- -------------------------------------------------------------------------------- Amount (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2000, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital--Note E $4,169,508 Overdistributed Net Investment Income (1,738) Accumulated Net Realized Gains--Note E 185,774 Unrealized Appreciation--Note F Investment Securities 426,287 Futures Contracts 98 - -------------------------------------------------------------------------------- NET ASSETS $4,779,929 ================================================================================ Investor Shares--Net Assets Applicable to 150,841,125 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,449,894 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $22.87 ================================================================================ Admiral Shares--Net Assets Applicable to 10,855,040 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $248,261 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $22.87 ================================================================================ Institutional Shares--Net Assets Applicable to 47,298,060 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $1,081,774 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $22.87 ================================================================================
----- 26 57 STATEMENT OF OPERATIONS This Statement shows dividend and interest income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) on investments during the period. If a fund invested in futures contracts during the period, the results of these investments are shown separately.
- -------------------------------------------------------------------------------------------------------------------- GROWTH VALUE TOTAL STOCK INDEX INDEX MARKET INDEX FUND FUND FUND ----------------------------------------------------- YEAR ENDED DECEMBER 31, 2000 ----------------------------------------------------- (000) (000) (000) - -------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 86,913 $ 74,926 $ 248,608 Interest 1,007 523 34,890 Security Lending 182 240 10,192 - -------------------------------------------------------------------------------------------------------------------- Total Income 88,102 75,689 293,690 - -------------------------------------------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 153 46 153 Management and Administrative--Investor Shares 30,206 6,788 37,416 Management and Administrative--Admiral Shares 122 37 307 Management and Administrative--Institutional Shares 739 734 1,120 Marketing and Distribution--Investor Shares 2,321 515 2,646 Marketing and Distribution--Admiral Shares -- -- -- Marketing and Distribution--Institutional Shares 98 98 644 Custodian Fees 233 107 322 Auditing Fees 15 11 17 Shareholders' Reports--Investor Shares 563 137 467 Shareholders' Reports--Admiral Shares -- -- -- Shareholders' Reports--Institutional Shares 1 1 6 Trustees' Fees and Expenses 21 5 30 - -------------------------------------------------------------------------------------------------------------------- Total Expenses 34,472 8,479 43,128 Expenses Paid Indirectly--Note C -- -- (215) - -------------------------------------------------------------------------------------------------------------------- Net Expenses 34,472 8,479 42,913 - -------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 53,630 67,210 250,777 - -------------------------------------------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (1,311,873) 344,663 509,992 Futures Contracts (183) 107 (42,407) - -------------------------------------------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (1,312,056) 344,770 467,585 - -------------------------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (2,436,105) (151,371) (3,314,197) Futures Contracts (740) (67) (27,013) - -------------------------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (2,436,845) (151,438) (3,341,210) - -------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(3,695,271) $ 260,542 $(2,622,848) ====================================================================================================================
----- 27 58 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, as well as the amounts redeemed. Distributions and Capital Share Transactions are shown separately for each class of shares.
- --------------------------------------------------------------------------------------------------------------------------------- GROWTH INDEX FUND VALUE INDEX FUND ---------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------------------------- 2000 1999 2000 1999 (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 53,630 $ 72,273 $ 67,210 $ 52,835 Realized Net Gain (Loss) (1,312,056) 104,632 344,770 262,524 Change in Unrealized Appreciation (Depreciation) (2,436,845) 2,882,417 (151,438) 32,919 - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (3,695,271) 3,059,322 260,542 348,278 - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income--Investor Shares (49,099) (76,040) (54,134) (47,397) Net Investment Income--Admiral Shares (855) -- (965) -- Net Investment Income--Institutional Shares (3,464) (2,471) (12,916) (5,820) Realized Capital Gain--Investor Shares -- (373,720) (144,154) (252,170) Realized Capital Gain--Admiral Shares -- -- (5,500) -- Realized Capital Gain--Institutional Shares -- (11,135) (33,315) (28,139) - --------------------------------------------------------------------------------------------------------------------------------- Total Distributions (53,418) (463,366) (250,984) (333,526) - --------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1) Issued 4,456,526 7,925,668 1,124,488 1,491,460 Issued in Lieu of Cash Distributions 43,793 423,140 180,609 274,281 Redeemed (5,101,513) (2,284,468) (1,232,448) (827,565) - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease)--Investor Shares (601,194) 6,064,340 72,649 938,176 - --------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--ADMIRAL SHARES(1) Issued 787,118 -- 243,198 -- Issued in Lieu of Cash Distributions 727 -- 5,623 -- Redeemed (15,736) -- (2,251) -- - --------------------------------------------------------------------------------------------------------------------------------- Net Increase--Admiral Shares 772,109 -- 246,570 -- - --------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(1) Issued 893,409 270,291 799,812 292,008 Issued in Lieu of Cash Distributions 3,314 13,312 42,414 31,500 Redeemed (184,132) (127,849) (228,638) (45,585) - --------------------------------------------------------------------------------------------------------------------------------- Net Increase--Institutional Shares 712,591 155,754 613,588 277,923 - --------------------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) (2,865,183) 8,816,050 942,365 1,230,851 - --------------------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Year 15,684,550 6,868,500 3,837,564 2,606,713 - --------------------------------------------------------------------------------------------------------------------------------- End of Year $ 12,819,367 $ 15,684,550 $ 4,779,929 $ 3,837,564 =================================================================================================================================
(1) See Note H in Notes to Financial Statements for the corresponding numbers of shares issued and redeemed. ----- 28 59
- -------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND -------------------------- YEAR ENDED DECEMBER 31, -------------------------- 2000 1999 - -------------------------------------------------------------------------------------------------------- (000) (000) - -------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 250,777 $ 186,580 Realized Net Gain (Loss) 467,585 163,334 Change in Unrealized Appreciation (Depreciation) (3,341,210) 3,397,221 - -------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (2,622,848) 3,747,135 - -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income--Investor Shares (196,982) (152,264) Net Investment Income--Admiral Shares (6,794) -- Net Investment Income--Institutional Shares (51,409) (39,726) Realized Capital Gain--Investor Shares (79,372) (146,187) Realized Capital Gain--Admiral Shares (5,490) -- Realized Capital Gain--Institutional Shares (19,854) (33,928) - -------------------------------------------------------------------------------------------------------- Total Distributions (359,901) (372,105) - -------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1) Issued 6,782,818 7,632,493 Issued in Lieu of Cash Distributions 258,721 280,965 Redeemed (5,954,630) (1,864,274) - -------------------------------------------------------------------------------------------------------- Net Increase--Investor Shares 1,086,909 6,049,184 - -------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--ADMIRAL SHARES(1) Issued 2,176,442 -- Issued in Lieu of Cash Distributions 10,835 -- Redeemed (26,823) -- - -------------------------------------------------------------------------------------------------------- Net Increase--Admiral Shares 2,160,454 -- - -------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(1) Issued 2,143,402 1,911,352 Issued in Lieu of Cash Distributions 63,649 66,739 Redeemed (1,379,196) (1,015,832) - -------------------------------------------------------------------------------------------------------- Net Increase--Institutional Shares 827,855 962,259 - -------------------------------------------------------------------------------------------------------- Total Increase 1,092,469 10,386,473 - -------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Year 22,139,592 11,753,119 - -------------------------------------------------------------------------------------------------------- End of Year $ 23,232,061 $ 22,139,592 =======================================================================================================
(1)See Note H in Notes to Financial Statements for the corresponding numbers of shares issued and redeemed. ----- 29 60 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class shares. It also presents the fund's Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
- ----------------------------------------------------------------------------------------------------------------------------------- GROWTH INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 2000 1999 1998 1997 1996 - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF YEAR $39.43 $31.67 $22.53 $16.90 $13.97 - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .126 .207 .230 .23 .22 Net Realized and Unrealized Gain (Loss) on Investments (8.861) 8.821 9.244 5.88 3.07 - ----------------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (8.735) 9.028 9.474 6.11 3.29 - ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.125) (.228) (.219) (.23) (.22) Distributions from Realized Capital Gains -- (1.040) (.115) (.25) (.14) - ----------------------------------------------------------------------------------------------------------------------------------- Total Distributions (.125) (1.268) (.334) (.48) (.36) - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR $30.57 $39.43 $31.67 $22.53 $16.90 =================================================================================================================================== TOTAL RETURN* -22.21% 28.76% 42.21% 36.34% 23.74% =================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Year (Millions) $11,162 $15,232 $6,644 $2,365 $787 Ratio of Total Expenses to Average Net Assets 0.22% 0.22% 0.22% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 0.33% 0.64% 0.92% 1.19% 1.57% Portfolio Turnover Rate 33% 33% 29% 26% 29% ===================================================================================================================================
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. ----- 30 61
- ------------------------------------------------------------------------ GROWTH INDEX FUND ADMIRAL SHARES NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 2000 - ------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 33.12 - ------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .024 Net Realized and Unrealized Gain (Loss) on Investments (2.536) - ------------------------------------------------------------------------ Total from Investment Operations (2.512) - ------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.038) Distributions from Realized Capital Gains -- - ------------------------------------------------------------------------ Total Distributions (.038) - ------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 30.57 ======================================================================== TOTAL RETURN -7.59% ======================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 709 Ratio of Total Expenses to Average Net Assets 0.17%** Ratio of Net Investment Income to Average Net Assets 0.56%** Portfolio Turnover Rate 33% ========================================================================
*Inception. **Annualized.
- ----------------------------------------------------------------------------------------------------------- GROWTH INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, ----------------------------- MAY 14* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 DEC. 31, 1998 - ----------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 39.44 $ 31.67 $ 26.49 - ----------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 0.156 .249 .167 Net Realized and Unrealized Gain (Loss) on Investments (8.861) 8.821 5.315 - ----------------------------------------------------------------------------------------------------------- Total from Investment Operations (8.705) 9.070 5.482 - ----------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.165) (.260) (.187) Distributions from Realized Capital Gains -- (1.040) (.115) - ----------------------------------------------------------------------------------------------------------- Total Distributions (.165) (1.300) (.302) - ----------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 30.57 $ 39.44 $ 31.67 =========================================================================================================== TOTAL RETURN -22.14% 28.91% 20.79% =========================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 948 $ 452 $ 224 Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 0.44% 0.74% 0.97%** Portfolio Turnover Rate 33% 33% 29% ===========================================================================================================
*Inception. **Annualized. ----- 31 62 FINANCIAL HIGHLIGHTS (continued)
- ------------------------------------------------------------------------------------------------------------------------------------ VALUE INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 2000 1999 1998 1997 1996 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF YEAR $ 22.89 $ 22.51 $ 20.85 $ 17.02 $ 14.79 - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .355 .355 .366 .38 .37 Net Realized and Unrealized Gain (Loss) on Investments .963 2.342 2.647 4.57 2.81 - ------------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations 1.318 2.697 3.013 4.95 3.18 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.358) (.362) (.363) (.37) (.38) Distributions from Realized Capital Gains (.980) (1.955) (.990) (.75) (.57) - ------------------------------------------------------------------------------------------------------------------------------------ Total Distributions (1.338) (2.317) (1.353) (1.12) (.95) - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF YEAR $ 22.87 $ 22.89 $ 22.51 $ 20.85 $ 17.02 ==================================================================================================================================== TOTAL RETURN* 6.08% 12.57% 14.64% 29.77% 21.86% ==================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Year (Millions) $ 3,450 $ 3,378 $ 2,421 $ 1,796 $ 1,016 Ratio of Total Expenses to Average Net Assets 0.22% 0.22% 0.22% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 1.60% 1.59% 1.72% 2.05% 2.54% Portfolio Turnover Rate 37% 41% 33% 25% 29% ====================================================================================================================================
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
- --------------------------------------------------------------------------------- VALUE INDEX FUND ADMIRAL SHARES NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 2000 - --------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 22.86 - --------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .045 Net Realized and Unrealized Gain (Loss) on Investments .635 - --------------------------------------------------------------------------------- Total from Investment Operations .680 - --------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.100) Distributions from Realized Capital Gains (.570) - --------------------------------------------------------------------------------- Total Distributions (.670) - --------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 22.87 ================================================================================= TOTAL RETURN 3.13% ================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 248 Ratio of Total Expenses to Average Net Assets 0.17%** Ratio of Net Investment Income to Average Net Assets 0.19%** Portfolio Turnover Rate 37% =================================================================================
*Inception. **Annualized. ----- 32 63
- ------------------------------------------------------------------------------------------------------------- VALUE INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31,JULY 2* TO ------------------------------------------------ FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 DEC. 31, 1998 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 22.89 $ 22.51 $ 23.22 - ------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .377 .377 .196 Net Realized and Unrealized Gain (Loss) on Investments .963 2.342 (.060) - ------------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.340 2.719 .136 - ------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.380) (.384) (.236) Distributions from Realized Capital Gains (.980) (1.955) (.610) - ------------------------------------------------------------------------------------------------------------- Total Distributions (1.360) (2.339) (.846) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 22.87 $ 22.89 $ 22.51 ============================================================================================================= TOTAL RETURN 6.19% 12.67% 0.69% ============================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 1,082 $ 460 $ 186 Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 1.70% 1.68% 1.90%** Portfolio Turnover Rate 37% 41% 33% =============================================================================================================
*Inception. **Annualized.
- ----------------------------------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ----------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 2000 1999 1998 1997 1996 - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF YEAR $ 33.22 $ 27.42 $ 22.64 $ 17.77 $ 15.04 - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .331 .317 .336 .319 .29 Net Realized and Unrealized Gain (Loss) on Investments (3.815) 6.133 4.898 5.143 2.84 - ----------------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (3.484) 6.450 5.234 5.462 3.13 - ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.336) (.330) (.329) (.322) (.29) Distributions from Realized Capital Gains (.140) (.320) (.125) (.270) (.11) - ----------------------------------------------------------------------------------------------------------------------------------- Total Distributions (.476) (.650) (.454) (.592) (.40) - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR $ 29.26 $ 33.22 $ 27.42 $ 22.64 $ 17.77 =================================================================================================================================== TOTAL RETURN* -10.57% 23.81% 23.26% 30.99% 20.96% =================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Year (Millions) $ 16,856 $ 18,133 $ 9,308 $ 5,092 $ 3,531 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.22% Ratio of Net Investment Income to Average Net Assets 1.04% 1.15% 1.44% 1.65% 1.86% Portfolio Turnover Rate 7% 3% 3% 2% 3% ===================================================================================================================================
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. ----- 33 64 FINANCIAL HIGHLIGHTS (continued)
- ------------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND ADMIRAL SHARES NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 2000 - ------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 30.22 - ------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .049 Net Realized and Unrealized Gain (Loss) on Investments (.830) - ------------------------------------------------------------------------------------- Total from Investment Operations (.781) - ------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.099) Distributions from Realized Capital Gains (.080) - ------------------------------------------------------------------------------------- Total Distributions (.179) - ------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 29.26 ===================================================================================== TOTAL RETURN -2.55% ===================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 2,104 Ratio of Total Expenses to Average Net Assets 0.15%** Ratio of Net Investment Income to Average Net Assets 1.23%** Portfolio Turnover Rate 7% =====================================================================================
*Inception. **Annualized.
- ------------------------------------------------------------------------------------------------------------------------------ TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, ----------------------------------------------- JULY 7* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 1998 DEC. 31, 1997 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 33.22 $ 27.42 $ 22.64 $ 21.27 - ------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .371 .344 .359 .172 Net Realized and Unrealized Gain (Loss) on Investments (3.815) 6.133 4.898 1.642 - ------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations (3.444) 6.477 5.257 1.814 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.366) (.357) (.352) (.214) Distributions from Realized Capital Gains (.140) (.320) (.125) (.230) - ------------------------------------------------------------------------------------------------------------------------------ Total Distributions (.506) (.677) (.477) (.444) - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 29.27 $ 33.22 $ 27.42 $ 22.64 ============================================================================================================================== TOTAL RETURN -10.46% 23.93% 23.37% 8.60% ============================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 4,272 $ 4,006 $ 2,445 $ 1,504 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10%** Ratio of Net Investment Income to Average Net Assets 1.14% 1.26% 1.53% 1.70%** Portfolio Turnover Rate 7% 3% 3% 2% ==============================================================================================================================
*Inception. **Annualized. ----- 34 65 NOTES TO FINANCIAL STATEMENTS Vanguard Growth Index, Value Index, and Total Stock Market Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements. 1. SECURITY VALUATION: Equity securities are valued at the latest quoted sales prices as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Prices are taken from the primary market in which each security trades. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued by methods deemed by the board of trustees to represent fair value. 2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 3. REPURCHASE AGREEMENTS: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FUTURES CONTRACTS: The funds use index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. A fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts based upon the following indexes are used: S&P 500 Index (Growth Index, Value Index, and Total Stock Market Index Funds), S&P MidCap 400 Index (Total Stock Market Index Fund), S&P 500/BARRA Growth Index (Growth Index Fund), S&P 500/BARRA Value Index (Value Index Fund), and Russell 2000 Index (Total Stock Market Index Fund). Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. ----- 35 66 NOTES TO FINANCIAL STATEMENTS (continued) B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2000, the funds had contributed capital to Vanguard (included in Other Assets) of:
--------------------------------------------------------------------------- CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION --------------------------------------------------------------------------- Growth $2,638 0.02% 2.6% Value 880 0.02 0.9 Total Stock Market 4,352 0.02 4.4 ---------------------------------------------------------------------------
The funds' trustees and officers are also directors and officers of Vanguard. C. The funds' custodian banks have agreed to reduce their fees when the funds maintain cash on deposit in their non-interest-bearing custody accounts. For the year ended December 31, 2000, custodian fee offset arrangements reduced expenses of the Total Stock Market Index Fund by $215,000. D. Each fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Institutional Shares are designed primarily for institutional investors that meet certain administrative and servicing criteria and have a minimum investment of $10 million. Admiral Shares were first issued on November 13, 2000, and are designed for investors that meet certain administrative, servicing, and tenure criteria and have a minimum investment of $50,000. Investor Shares are offered to all other investors. Each class of shares has equal rights to assets and earnings, except that each class bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expense) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. E. During the year ended December 31, 2000, purchases and sales of investment securities other than temporary cash investments were:
------------------------------------------------------- (000) ------------------------- INDEX FUND PURCHASES SALES ------------------------------------------------------- Growth $6,154,739 $5,256,327 Value 2,281,721 1,537,163 Total Stock Market 5,056,560 1,557,223 -------------------------------------------------------
During the year ended December 31, 2000, the Value Index and Total Stock Market Index Funds realized $22,833,000, and $375,630,000, respectively, of net capital gains resulting from in-kind redemptions--in which shareholders exchange fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. The Value Index and Total Stock Market Index Funds used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the funds have reclassified $15,517,000, and $9,124,000, respectively, from accumulated net realized gains to paid-in capital. ----- 36 67 At December 31, 2000, the Growth Index Fund had available realized losses of $1,546,915,000 to offset future net capital gains of $358,871,000 through December 31, 2008, and $1,188,044,000 through December 31, 2009. F. At December 31, 2000, net unrealized appreciation of investment securities for financial reporting and federal income tax purposes was:
---------------------------------------------------------------------- (000) ------------------------------------------ APPRECIATED DEPRECIATED NET UNREALIZED INDEX FUND SECURITIES SECURITIES APPRECIATION ---------------------------------------------------------------------- Growth $3,291,808 $ (894,303) $ 2,397,505 Value 883,037 (456,750) 426,287 Total Stock Market 6,417,672 (2,734,474) 3,683,198 ----------------------------------------------------------------------
At December 31, 2000, the aggregate settlement value of open futures contracts expiring in March 2001 and the related unrealized appreciation (depreciation) were:
---------------------------------------------------------------------------- (000) ---------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) ---------------------------------------------------------------------------- Growth/ S&P 500/BARRA Growth Index 23 $ 4,002 $ (468) Value/ S&P 500/BARRA Value Index 40 6,424 98 Total Stock Market/ S&P 500 Index 1,545 515,644 (12,554) S&P MidCap 400 Index 299 78,136 2,899 Russell 2000 Index 294 71,854 1,593 ----------------------------------------------------------------------------
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes. G. The market value of securities on loan to broker/dealers at December 31, 2000, for Total Stock Market Index Fund was $152,234,000, for which the fund held cash collateral of $192,734,000. The fund invests cash collateral received in repurchase agreements, and records a liability for the return of collateral, during the period the securities are on loan. ----- 37 68 NOTES TO FINANCIAL STATEMENTS (continued) H. Shares issued and redeemed for each class of shares in the periods ended December 31, 2000, and December 31, 1999, were:
- --------------------------------------------------------------------------------------------- SHARES (000) -------------------------------------------------------- NET INCREASE ISSUED IN (DECREASE) LIEU OF CASH IN SHARES INDEX FUND/YEAR/SHARE CLASS ISSUED DISTRIBUTIONS REDEEMED OUTSTANDING - --------------------------------------------------------------------------------------------- GROWTH--2000 Investor Shares 117,226 1,175 (139,573) (21,172) Admiral Shares 23,688 24 (508) 23,204 Institutional Shares 24,464 93 (5,018) 19,539 - --------------------------------------------------------------------------------------------- GROWTH--1999 Investor Shares 231,428 11,261 (66,190) 176,499 Admiral Shares -- -- -- -- Institutional Shares 7,793 355 (3,764) 4,384 - --------------------------------------------------------------------------------------------- VALUE--2000 Investor Shares 50,383 8,183 (55,295) 3,271 Admiral Shares 10,696 259 (99) 10,856 Institutional Shares 35,445 1,932 (10,167) 27,210 - --------------------------------------------------------------------------------------------- VALUE--1999 Investor Shares 63,232 12,325 (35,536) 40,021 Admiral Shares -- -- -- -- Institutional Shares 12,359 1,417 (1,958) 11,818 - --------------------------------------------------------------------------------------------- TOTAL STOCK MARKET--2000 Investor Shares 210,615 8,256 (188,753) 30,118 Admiral Shares 72,438 390 (920) 71,908 Institutional Shares 65,951 2,034 (42,608) 25,377 - --------------------------------------------------------------------------------------------- TOTAL STOCK MARKET--1999 Investor Shares 160,242 4,991 (50,676) 114,557 Admiral Shares -- -- -- -- Institutional Shares 33,554 1,385 (12,173) 22,766 - ---------------------------------------------------------------------------------------------
----- 38 69 REPORT of Independent Accountants To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds In our opinion, the statements of net assets appearing herein and in the insert to this annual report and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Growth Index Fund, Vanguard Value Index Fund, and Vanguard Total Stock Market Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2000, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2000 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 6, 2001 ----- 39 70 - -------------------------------------------------------------------------------- SPECIAL 2000 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (LARGE-CAPITALIZATION PORTFOLIOS) This information for the fiscal year ended December 31, 2000, is included pursuant to provisions of the Internal Revenue Code. The Value Index and Total Stock Market Index Funds distributed capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year, all of which are designated as 20% rate gain distributions, as follows:
--------------------------------------------------- TOTAL CAPITAL GAINS DISTRIBUTIONS INDEX FUND (000) --------------------------------------------------- Value $104,206 Total Stock Market 68,759 ---------------------------------------------------
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
------------------------------------------------ INDEX FUND PERCENTAGE ------------------------------------------------ Growth 100.0% Value 50.6 Total Stock Market 87.8 ------------------------------------------------
----- 40 71 THE PEOPLE Who Govern Your Fund The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, which is owned by the funds and exists solely to provide services to them on an at-cost basis. Six of Vanguard's seven board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. They bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/ directors; and electing Vanguard officers. The list below provides a brief description of each trustee's professional affiliations. The year in which the trustee joined the Vanguard board is noted in parentheses. - -------------------------------------------------------------------------------- TRUSTEES JOHN J. BRENNAN (1987) Chairman of the Board, Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies in The Vanguard Group. JOANN HEFFERNAN HEISEN (1998) Vice President, Chief Information Officer, and a member of the Executive Committee of Johnson & Johnson; Director of Johnson & Johnson & Merck Consumer Pharmaceuticals Co., The Medical Center at Princeton, and Women's Research and Education Institute. BRUCE K. MACLAURY (1990) President Emeritus of The Brookings Institution; Director of American Express Bank Ltd., The St. Paul Companies, Inc., and National Steel Corp. BURTON G. MALKIEL (1977) Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Prudential Insurance Co. of America, Banco Bilbao Argentaria, Gestion, BKF Capital, The Jeffrey Co., NeuVis, Inc., and Select Sector SPDR Trust. ALFRED M. RANKIN, JR. (1993) Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc.; Director of The BFGoodrich Co. JAMES O. WELCH, JR. (1971) Retired Chairman of Nabisco Brands, Inc. (Food Products); retired Vice Chairman and Director of RJR Nabisco (Food and Tobacco Products); Director of TECO Energy, Inc., and Kmart Corp. J. LAWRENCE WILSON (1985) Retired Chairman and Chief Executive Officer of Rohm & Haas Co.; Director of AmeriSource Health Corporation, Cummins Engine Co., and The Mead Corp.; Trustee of Vanderbilt University. - -------------------------------------------------------------------------------- OTHER FUND OFFICERS RAYMOND J. KLAPINSKY, Secretary; Managing Director and Secretary of The Vanguard Group, Inc.; Secretary of each of the investment companies in The Vanguard Group. THOMAS J. HIGGINS, Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies in The Vanguard Group. - -------------------------------------------------------------------------------- VANGUARD MANAGING DIRECTORS R. GREGORY BARTON, Legal Department. ROBERT A. DISTEFANO, Information Technology. JAMES H. GATELY, Direct Investor Services. KATHLEEN C. GUBANICH, Human Resources. IAN A. MACKINNON, Fixed Income Group. F. WILLIAM MCNABB, III, Institutional Investor Group. MICHAEL S. MILLER, Planning and Development. RALPH K. PACKARD, Chief Financial Officer. GEORGE U. SAUTER, Quantitative Equity Group. - -------------------------------------------------------------------------------- JOHN C. BOGLE Founder; Chairman and Chief Executive, 1974-1996. 72 ABOUT OUR COVER Our cover art evokes both Vanguard's rich past and the course we've set for the future--our determination to provide superior investment performance and top-notch service. The image is based on two works: a painting titled The First Journey of 'Victory,' by the English artist W.L. Wyllie (1851-1931), and a sculpture of a compass rose on Vanguard's campus near Valley Forge, Pennsylvania. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. Standard & Poor's(R), S&P(R), S&P 500(R), Standard & Poor's 500, 500, S&P MidCap 400, and S&P SmallCap 600 are trademarks of The McGraw-Hill Companies, Inc. All other index names may contain trademarks and are the exclusive property of their respective owners. [THE VANGUARD GROUP LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 INDIVIDUAL ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 This report is intended for the funds' shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. (C) 2001 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q850 022001 73 VANGUARD U.S. STOCK INDEX FUNDS TOTAL STOCK MARKET INDEX FUND Statement of Net Assets -- December 31, 2000 The Statement of Net Assets should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, Notes to Financial Statements, and Report of Independent Accountants, which begin on page 27 of the accompanying report. This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- COMMON STOCKS (97.0%)(1) General Electric Co. 15,512,653 $ 743,638 Exxon Mobil Corp. 5,442,151 473,127 Pfizer, Inc. 9,869,850 454,013 * Cisco Systems, Inc. 11,267,478 430,981 Citigroup, Inc. 7,863,495 401,530 Wal-Mart Stores, Inc. 6,987,089 371,189 * Microsoft Corp. 8,347,980 362,094 American International Group, Inc. 3,641,097 358,876 Merck & Co., Inc. 3,607,643 337,766 Intel Corp. 10,536,094 316,741 * Oracle Corp. 8,763,010 254,675 SBC Communications Inc. 5,294,684 252,821 The Coca-Cola Co. 3,880,504 236,468 International Business Machines Corp. 2,744,409 233,275 Johnson & Johnson 2,174,531 228,462 * EMC Corp. 3,422,475 227,595 Bristol-Myers Squibb Co. 3,059,474 226,210 Verizon Communications 4,222,127 211,634 * Berkshire Hathaway Inc. Class A 2,364 167,844 Home Depot, Inc. 3,619,722 165,376
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Eli Lilly & Co. 1,763,817 $ 164,145 Procter & Gamble Co. 2,017,334 158,235 Philip Morris Cos., Inc. 3,477,959 153,030 Wells Fargo Co. 2,673,083 148,857 * Sun Microsystems, Inc. 5,035,432 140,363 Morgan Stanley Dean Witter & Co. 1,753,594 138,972 Fannie Mae 1,574,808 136,615 American Home Products Corp. 2,049,765 130,263 Schering-Plough Corp. 2,287,722 129,828 Texas Instruments, Inc. 2,703,467 128,077 * America Online, Inc. 3,640,774 126,699 Pharmacia Corp. 1,994,311 121,653 BellSouth Corp. 2,922,833 119,653 Abbott Laboratories 2,420,140 117,225 Bank of America Corp. 2,516,042 115,423 American Express Co. 2,079,449 114,240 Medtronic, Inc. 1,879,157 113,454 PepsiCo, Inc. 2,258,430 111,933 * Viacom Inc. Class B 2,354,161 110,057 Time Warner, Inc. 2,052,046 107,199 * Qwest Communications International Inc. 2,591,250 106,241 * Amgen, Inc. 1,616,302 103,342
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- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- AT&T Corp. 5,867,618 $ 101,583 Enron Corp. 1,167,259 97,028 Hewlett-Packard Co. 3,065,060 96,741 * QUALCOMM, Inc. 1,169,869 96,149 The Walt Disney Co. 3,256,076 94,223 The Chase Manhattan Corp. 2,047,901 93,051 The Boeing Co. 1,375,701 90,796 Merrill Lynch & Co., Inc. 1,266,522 86,361 Chevron Corp. 995,925 84,093 E.I. du Pont de Nemours & Co. 1,631,048 78,800 Corning, Inc. 1,436,853 75,884 Freddie Mac 1,085,071 74,734 Minnesota Mining & Manufacturing Co. 616,720 74,315 Schlumberger Ltd. 894,870 71,534 * Dell Computer Corp. 4,038,128 70,415 Lucent Technologies, Inc. 5,212,788 70,373 McDonald's Corp. 2,047,684 69,621 Motorola, Inc. 3,412,652 69,106 Ford Motor Co. 2,902,472 68,027 Bank One Corp. 1,808,238 66,227 Walgreen Co. 1,580,884 66,101 Anheuser-Busch Cos., Inc. 1,410,279 64,168 The Bank of New York Co., Inc. 1,156,231 63,809 * WorldCom, Inc. 4,494,214 63,200 * JDS Uniphase Corp. 1,500,489 62,552 Automatic Data Processing, Inc. 985,825 62,415 * Juniper Networks, Inc. 492,252 62,054 Charles Schwab Corp. 2,161,429 61,331 Gillette Co. 1,642,206 59,325 Honeywell International Inc. 1,244,946 58,901 Kimberly-Clark Corp. 827,025 58,462 * Comcast Corp.-Special Class A 1,399,340 58,422 Colgate-Palmolive Co. 893,258 57,660 United Technologies Corp. 731,138 57,486 Texaco Inc. 858,763 53,351 FleetBoston Financial Corp. 1,413,691 53,102 * Veritas Software Corp. 606,277 53,049 Emerson Electric Co. 666,836 52,555 Marsh & McLennan Cos., Inc. 428,851 50,176 Allstate Corp. 1,141,750 49,737 Duke Energy Corp. 575,729 49,081 MBNA Corp. 1,327,985 49,052 * Safeway, Inc. 782,196 48,887 * Applied Materials, Inc. 1,266,188 48,353 * Siebel Systems, Inc. 669,472 45,273 Alcoa Inc. 1,349,161 45,197 Target Corp. 1,398,834 45,112 General Motors Corp. 881,952 44,924 Washington Mutual, Inc. 842,158 44,687 * Clear Channel Communications, Inc. 910,697 44,112 Fifth Third Bancorp 735,014 43,917
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Cardinal Health, Inc. 435,755 $ 43,412 First Union Corp. 1,530,162 42,558 Electronic Data Systems Corp. 730,051 42,160 Metropolitan Life Insurance Co. 1,193,593 41,776 * Cox Communications, Inc. Class A 890,193 41,450 J.P. Morgan & Co., Inc. 249,887 41,356 Baxter International, Inc. 457,590 40,411 Household International, Inc. 732,950 40,312 Compaq Computer Corp. 2,644,534 39,800 * AES Corp. 715,724 39,633 Dow Chemical Co. 1,057,256 38,722 * Agilent Technologies, Inc. 707,232 38,721 HCA - The Healthcare Co. 865,671 38,098 Mellon Financial Corp. 759,825 37,374 CVS Corp. 610,666 36,602 * Tellabs, Inc. 640,861 36,209 * CIENA Corp. 443,399 36,026 Southern Co. 1,054,891 35,075 Exelon Corp. 496,525 34,861 * The Kroger Co. 1,284,825 34,771 * i2 Technologies, Inc. 631,726 34,350 * Applied Micro Circuits Corp. 457,403 34,327 Firstar Corp. 1,473,791 34,266 U.S. Bancorp 1,171,017 34,179 * Immunex Corp. 837,270 34,014 The Gap, Inc. 1,324,114 33,765 * Solectron Corp. 993,661 33,685 PNC Financial Services Group 451,157 32,963 First Data Corp. 616,332 32,473 CIGNA Corp. 243,812 32,256 American General Corp. 392,586 31,996 Sara Lee Corp. 1,294,281 31,791 * Network Appliance, Inc. 493,436 31,672 * Kohl's Corp. 517,056 31,540 * Micron Technology, Inc. 884,813 31,411 * Brocade Communications Systems, Inc. 342,000 31,400 Sysco Corp. 1,043,548 31,306 State Street Corp. 251,880 31,286 * Broadcom Corp. 367,154 30,841 Applera Corp-Applied Biosystems Group 327,402 30,796 UnitedHealth Group Inc. 499,754 30,672 International Paper Co. 750,589 30,633 ALLTEL Corp. 489,565 30,567 AFLAC, Inc. 414,082 29,892 Coastal Corp. 336,083 29,680 * Sprint PCS 1,449,883 29,632 * Gemstar-TV Guide International, Inc. 638,745 29,462 * NEXTEL Communications, Inc. 1,188,483 29,415 SunTrust Banks, Inc. 463,875 29,224 * Analog Devices, Inc. 557,998 28,562
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- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Paychex, Inc. 581,121 $ 28,257 Northern Trust Corp. 346,215 28,238 Dynegy, Inc. 501,417 28,111 Illinois Tool Works, Inc. 471,682 28,095 Carnival Corp. 911,182 28,076 * Comverse Technology, Inc. 257,018 27,919 * Costco Wholesale Corp. 698,298 27,888 Sprint Corp. 1,372,509 27,879 Conoco Inc. Class B 959,411 27,763 Anadarko Petroleum Corp. 387,431 27,539 Williams Cos., Inc. 686,929 27,434 National City Corp. 950,343 27,322 * General Motors Corp. Class H 1,179,140 27,120 Waste Management, Inc. 964,956 26,777 Lowe's Cos., Inc. 597,732 26,599 * Yahoo!, Inc. 871,698 26,205 Southwest Airlines Co. 781,328 26,198 * Guidant Corp. 480,351 25,909 Gannett Co., Inc. 410,842 25,909 El Paso Energy Corp. 360,374 25,812 * BEA Systems, Inc. 382,420 25,742 H.J. Heinz Co. 541,397 25,682 Providian Financial Corp. 446,326 25,664 * VoiceStream Wireless Corp. 253,673 25,526 Caterpillar, Inc. 535,728 25,347 Lehman Brothers Holdings, Inc. 372,900 25,217 Halliburton Co. 693,434 25,137 * Palm, Inc. 883,353 25,010 Dominion Resources, Inc. 372,450 24,954 The Hartford Financial Services Group Inc. 351,221 24,805 General Dynamics Corp. 309,522 24,143 * Xilinx, Inc. 514,751 23,743 The Chubb Corp. 271,228 23,461 American Electric Power Co., Inc. 502,634 23,372 NIKE, Inc. Class B 417,944 23,327 BB&T Corp. 620,272 23,144 Omnicom Group Inc. 276,386 22,905 Linear Technology Corp. 494,447 22,868 Lockheed Martin Corp. 670,689 22,770 Campbell Soup Co. 657,395 22,762 Phillips Petroleum Co. 398,527 22,666 * VeriSign, Inc. 301,647 22,378 The Goldman Sachs Group, Inc. 209,253 22,377 Tenet Healthcare Corp. 494,299 21,965 * ADC Telecommunications, Inc. 1,204,990 21,840 Adobe Systems, Inc. 375,215 21,833 ConAgra Foods, Inc. 832,421 21,643 Baker Hughes, Inc. 513,478 21,341 * Genentech, Inc. 261,095 21,279 * Maxim Integrated Products, Inc. 443,660 21,212 * Ariba, Inc. 386,834 20,744 * Millennium Pharmaceuticals, Inc. 332,458 20,571
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Interpublic Group of Cos., Inc. 480,458 $ 20,449 Capital One Financial Corp. 307,507 20,238 * SDL, Inc. 136,500 20,228 The Quaker Oats Co. 205,723 20,032 Tribune Co. 473,458 20,004 Allergan, Inc. 205,280 19,874 FPL Group, Inc. 276,130 19,812 Reliant Energy, Inc. 456,958 19,792 Union Pacific Corp. 386,875 19,634 General Mills, Inc. 439,372 19,579 * Calpine Corp. 433,757 19,546 * Level 3 Communications, Inc. 573,140 18,806 Harley-Davidson, Inc. 472,195 18,770 KeyCorp 664,818 18,615 St. Paul Cos., Inc. 342,662 18,611 Eastman Kodak Co. 471,925 18,582 John Hancock Financial Services, Inc. 491,866 18,506 Wachovia Corp. 317,615 18,461 Sears, Roebuck & Co. 527,388 18,327 * Forest Laboratories, Inc. 136,888 18,189 * Sanmina Corp. 235,201 18,022 TXU Corp. 405,381 17,963 Masco Corp. 695,820 17,874 Avon Products, Inc. 371,395 17,780 * FedEx Corp. 444,094 17,746 The McGraw-Hill Cos., Inc. 302,352 17,725 Computer Associates International, Inc. 906,387 17,675 Albertson's, Inc. 656,627 17,401 * Cablevision Systems Corp. Class B 203,860 17,315 USA Education Inc. 254,237 17,288 Burlington Northern Santa Fe Corp. 608,574 17,230 Weyerhaeuser Co. 337,269 17,116 Burlington Resources, Inc. 336,242 16,980 * Waters Corp. 202,466 16,906 Wrigley, (Wm.) Jr. Co. 176,284 16,890 * Infinity Broadcasting Corp. 603,849 16,870 Deere & Co. 366,211 16,777 Golden West Financial Corp. 245,517 16,572 * PeopleSoft, Inc. 445,617 16,571 Kellogg Co. 630,260 16,544 * Altera Corp. 619,841 16,310 Public Service Enterprise Group, Inc. 333,365 16,210 Loews Corp. 153,974 15,946 McKesson HBOC, Inc. 443,317 15,911 Marriott International, Inc. Class A 374,674 15,830 * Computer Sciences Corp. 262,928 15,809 * Sycamore Networks, Inc. 424,240 15,803 * MedImmune Inc. 328,910 15,685
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- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- May Department Stores Co. 478,704 $ 15,678 * ALZA Corp. 367,996 15,640 Progress Energy, Inc. 316,535 15,570 * Vitesse Semiconductor Corp. 280,387 15,509 Xcel Energy, Inc. 531,671 15,452 Stryker Corp. 305,380 15,449 Equity Office Properties Trust REIT 469,829 15,328 Danaher Corp. 221,455 15,142 Transocean Sedco Forex Inc. 329,021 15,135 * Genzyme Corp. 167,756 15,088 * Concord EFS, Inc. 338,190 14,859 Archer-Daniels-Midland Co. 985,977 14,790 Entergy Corp. 349,315 14,780 Unocal Corp. 379,413 14,679 Air Products & Chemicals, Inc. 357,984 14,677 Comerica, Inc. 244,726 14,531 Franklin Resources Corp. 380,224 14,487 * Southern Energy, Inc. 510,905 14,465 * TIBCO Software Inc. 301,330 14,445 Raytheon Co. Class B 461,524 14,336 * IDEC Pharmaceuticals Corp. 74,775 14,175 Cintas Corp. 264,237 14,054 Axa ADR 195,491 14,039 Lincoln National Corp. 296,288 14,018 Occidental Petroleum Corp. 576,060 13,969 * Biogen, Inc. 230,115 13,821 * eBay Inc. 417,390 13,774 Hershey Foods Corp. 212,809 13,700 Aon Corp. 399,821 13,694 Rockwell International Corp. 286,488 13,644 Becton, Dickinson & Co. 393,695 13,632 Apache Corp. 192,833 13,510 Stilwell Financial, Inc. 342,213 13,496 USX-Marathon Group 484,704 13,451 * King Pharmaceuticals, Inc. 259,432 13,409 * Nabors Industries, Inc. 226,589 13,403 * Chiron Corp. 299,012 13,306 * Univision Communications Inc. 323,268 13,234 * Exodus Communications, Inc. 658,217 13,164 Pitney Bowes, Inc. 396,601 13,137 * McLeodUSA, Inc. Class A 929,118 13,124 * DST Systems, Inc. 195,185 13,077 * Human Genome Sciences, Inc. 188,509 13,066 The Clorox Co. 367,800 13,057 * Starbucks Corp. 292,055 12,923 Dover Corp. 315,705 12,806 Consolidated Edison Inc. 330,912 12,740 * Intuit, Inc. 322,075 12,702 *(3) Corvis Corp. 528,765 12,591 Ralston-Ralston Purina Group 479,182 12,519 IMS Health, Inc. 460,933 12,445 Coca-Cola Enterprises, Inc. 652,685 12,401 TJX Cos., Inc. 445,603 12,365
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- RadioShack Corp. 288,216 $ 12,339 Rohm & Haas Co. 339,540 12,330 PPG Industries, Inc. 263,512 12,204 Devon Energy Corp. 200,140 12,203 PG&E Corp. 604,255 12,085 * Openwave Systems Inc. 251,315 12,047 Jefferson-Pilot Corp. 160,924 12,029 Synovus Financial Corp. 443,749 11,953 Progressive Corp. of Ohio 114,002 11,813 * Rational Software Corp. 296,024 11,526 The Limited, Inc. 670,220 11,436 * Mercury Interactive Corp. 126,296 11,398 Intimate Brands, Inc. 758,910 11,384 MBIA, Inc. 153,534 11,381 Equity Residential Properties Trust REIT 204,122 11,290 Union Carbide Corp. 209,786 11,289 * Wellpoint Health Networks Inc. Class A 97,705 11,261 MGIC Investment Corp. 166,695 11,241 FirstEnergy Corp. 355,682 11,226 * Federated Department Stores, Inc. 316,798 11,088 Biomet, Inc. 278,315 11,046 * QLogic Corp. 142,932 11,006 * CNA Financial Corp. 282,460 10,945 Praxair, Inc. 246,097 10,921 * Cendant Corp. 1,134,071 10,915 * Convergys Corp. 240,759 10,909 Georgia Pacific Group 348,791 10,856 Molex, Inc. 304,460 10,808 SouthTrust Corp. 262,158 10,667 Starwood Hotels & Resorts Worldwide, Inc. 300,806 10,603 Constellation Energy Group 234,995 10,589 * Cadence Design Systems, Inc. 384,460 10,573 Ingersoll-Rand Co. 250,855 10,505 Textron, Inc. 222,653 10,353 Summit Bancorp 269,890 10,306 * Quest Diagnostics, Inc. 72,202 10,253 Amerada Hess Corp. 139,969 10,226 PPL Corp. 226,271 10,225 * NTL Inc. 425,451 10,184 New York Times Co. Class A 253,613 10,160 * Teradyne, Inc. 272,355 10,145 NiSource, Inc. 328,279 10,095 UnumProvident Corp. 375,263 10,085 United Parcel Service, Inc. 170,802 10,045 EOG Resources, Inc. 182,163 9,962 * American Tower Corp. Class A 262,882 9,957 Cincinnati Financial Corp. 250,205 9,899 * Bed Bath & Beyond, Inc. 441,830 9,886 Ameren Corp. 213,146 9,871 Kerr-McGee Corp. 147,455 9,870
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- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- M & T Bank Corp. 145,101 $ 9,867 * SunGard Data Systems, Inc. 208,433 9,822 * KLA-Tencor Corp. 291,096 9,806 * HEALTHSOUTH Corp. 598,404 9,761 Dollar General Corp. 514,362 9,709 Delphi Automotive Systems Corp. 858,409 9,657 Mattel, Inc. 666,513 9,624 AMBAC Financial Group Inc. 164,443 9,589 * Best Buy Co., Inc. 324,126 9,582 * IVAX Corp. 249,868 9,570 Delta Air Lines, Inc. 190,656 9,569 Avery Dennison Corp. 173,514 9,522 Old Kent Financial Corp. 216,185 9,458 Regions Financial Corp. 345,936 9,448 Newell Rubbermaid, Inc. 415,270 9,447 * Laboratory Corp. of America Holdings 53,355 9,390 Charter One Financial 324,507 9,370 * Redback Networks Inc. 228,166 9,355 SEI Corp. 83,476 9,349 Kinder Morgan, Inc. 178,953 9,339 * Sepracor Inc. 115,577 9,261 * AMR Corp. 235,248 9,219 * Fiserv, Inc. 193,991 9,202 Washington Post Co. Class B 14,873 9,175 The Pepsi Bottling Group, Inc. 228,290 9,117 * Noble Drilling Corp. 209,658 9,107 * Gateway, Inc. 504,818 9,082 * Emulex Corp. 113,520 9,075 Northrop Grumman Corp. 109,238 9,067 * USA Networks, Inc. 465,777 9,054 * Adelphia Communications Corp. Class A 175,357 9,053 * Aetna Inc. 219,549 9,015 * BJ Services Co. 129,709 8,934 Countrywide Credit Industries, Inc. 177,674 8,928 KeySpan Corp. 210,242 8,909 Symbol Technologies, Inc. 246,068 8,858 * Electronic Arts Inc. 207,384 8,840 CSX Corp. 340,582 8,834 AmSouth Bancorp 579,063 8,831 Sabre Holdings Corp. 201,900 8,707 Cinergy Corp. 247,686 8,700 * Lexmark International, Inc. 195,867 8,679 DTE Energy Co. 222,820 8,676 *(3) Amazon.com, Inc. 556,019 8,653 * Boston Scientific Corp. 631,317 8,641 Ecolab, Inc. 198,352 8,566 * Watson Pharmaceuticals, Inc. 166,913 8,544 Zions Bancorp 136,080 8,496 * Atmel Corp. 730,732 8,495 (3) Estee Lauder Cos. Class A 193,814 8,491
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Bear Stearns Co., Inc. 167,309 $ 8,480 Telephone & Data Systems, Inc. 93,282 8,395 Diamond Offshore Drilling, Inc. 209,841 8,394 * Crown Castle International Corp. 309,528 8,377 * Staples, Inc. 708,848 8,373 * Thermo Electron Corp. 281,070 8,362 * EchoStar Communications Corp. 366,760 8,344 * LSI Logic Corp. 488,054 8,341 Allegheny Energy, Inc. 172,021 8,289 Marshall & Ilsley Corp. 162,895 8,280 The CIT Group, Inc. 409,574 8,243 Eaton Corp. 109,444 8,229 PerkinElmer, Inc. 77,931 8,183 * Weatherford International, Inc. 171,940 8,124 * Finisar Corp. 277,976 8,061 * (3) U.S. Cellular Corp. 133,728 8,057 Scientific-Atlanta, Inc. 247,322 8,053 * St. Jude Medical, Inc. 130,655 8,027 Parker Hannifin Corp. 181,789 8,021 T. Rowe Price Group Inc. 189,398 8,005 Willamette Industries, Inc. 170,492 8,002 National Community Bancorp 322,458 7,981 Norfolk Southern Corp. 597,051 7,948 * Health Management Associates Class A 379,775 7,880 Edison International 501,537 7,837 CenturyTel, Inc. 219,088 7,832 * TMP Worldwide, Inc. 142,272 7,825 * Global Marine, Inc. 274,620 7,792 R.J. Reynolds Tobacco Holdings, Inc. 159,253 7,764 * BroadWing Inc. 339,121 7,736 * (3) ONI Sytems Corp. 195,441 7,732 Dow Jones & Co., Inc. 136,238 7,714 E.W. Scripps Co. Class A 122,214 7,684 Tosco Corp. 225,409 7,650 Torchmark Corp. 198,550 7,632 * Abgenix, Inc. 128,708 7,602 * Commerce One, Inc. 299,754 7,588 Vulcan Materials Co. 158,139 7,571 * Apple Computer, Inc. 508,162 7,559 * Metromedia Fiber Network, Inc. 746,359 7,557 * Jabil Circuit, Inc. 297,582 7,551 Union Planters Corp. 210,949 7,541 * Tricon Global Restaurants, Inc. 228,321 7,535 TRW, Inc. 194,123 7,522 * XO Communications, Inc. 416,201 7,414 * R & B Falcon Corp. 322,692 7,402 * NCR Corp. 150,549 7,396 Sempra Energy 317,770 7,388 * Novellus Systems, Inc. 205,332 7,379 * Robert Half International, Inc. 278,276 7,374 ENSCO International, Inc. 216,259 7,366 Royal Caribbean Cruises, Ltd. 278,266 7,360
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- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- Fortune Brands, Inc. 243,486 $ 7,305 * Unisys Corp. 489,538 7,159 Tiffany & Co. 226,271 7,156 Genuine Parts Co. 272,998 7,149 UST, Inc. 253,825 7,123 Brown-Forman Corp. Class B 107,070 7,120 (3) MGM Mirage, Inc. 246,957 6,961 * RF Micro Devices, Inc. 253,569 6,957 Johnson Controls, Inc. 133,558 6,945 GPU, Inc. 188,240 6,930 Phelps Dodge Corp. 122,634 6,845 DPL Inc. 206,021 6,837 * Advanced Micro Devices, Inc. 489,283 6,758 Conseco Inc. 505,847 6,671 Sherwin-Williams Co. 253,239 6,663 * Extreme Networks, Inc. 170,286 6,662 Cooper Industries, Inc. 144,685 6,646 * Micromuse Inc. 110,106 6,646 * Vertex Pharmaceuticals, Inc. 92,180 6,591 Knight Ridder 115,249 6,555 SAFECO Corp. 199,250 6,550 Harcourt General, Inc. 114,327 6,540 * Citrix Systems, Inc. 289,935 6,524 * Vignette Corp. 361,278 6,503 VF Corp. 179,132 6,492 Moody's Corp. 252,537 6,487 Green Point Financial Corp. 158,149 6,474 * Invitrogen Corp. 74,609 6,444 North Fork Bancorp, Inc. 261,933 6,434 *(3) webMethods, Inc. 72,291 6,429 Total System Services, Inc. 286,589 6,412 TECO Energy, Inc. 197,705 6,401 Simon Property Group, Inc. REIT 266,160 6,388 Reader's Digest Assn., Inc. Class A 162,685 6,365 * Affymetrix, Inc. 85,502 6,365 Huntington Bancshares Inc. 391,422 6,336 * Protein Design Labs, Inc. 72,700 6,316 Pinnacle West Capital Corp. 131,969 6,285 H & R Block, Inc. 150,242 6,216 * Andrx Group 106,940 6,189 Neuberger Berman Inc. 76,192 6,176 * Express Scripts 60,305 6,166 Equifax, Inc. 214,800 6,162 * Manugistics Group, Inc. 107,400 6,122 * Gilead Sciences, Inc. 73,619 6,106 UnionBanCal Corp. 253,363 6,097 * Jones Apparel Group, Inc. 187,446 6,033 Allmerica Financial Corp. 83,187 6,031 Hilton Hotels Corp. 574,232 6,029 Golden State Bancorp Inc. 191,133 6,009 * SCI Systems, Inc. 227,803 6,008 A.G. Edwards & Sons, Inc. 126,529 6,002 * Charter Communications, Inc. 264,473 6,000
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- CMS Energy Corp. 188,760 $ 5,981 * Smith International, Inc. 79,223 5,907 *(3) Avanex Corp. 99,086 5,902 Old Republic International Corp. 184,002 5,888 PACCAR, Inc. 119,450 5,883 Eastman Chemical Co. 120,074 5,854 * Apollo Group, Inc. Class A 118,804 5,844 First Tennessee National Corp. 201,258 5,824 Leggett & Platt, Inc. 306,726 5,809 The BFGoodrich Co. 159,066 5,786 * Powerwave Technologies, Inc. 98,757 5,777 Santa Fe International Corp. 179,607 5,759 * Macrovision Corp. 77,508 5,737 Family Dollar Stores, Inc. 267,432 5,733 Boston Properties, Inc. REIT 131,682 5,728 ProLogis Trust REIT 257,334 5,726 * Parametric Technology Corp. 425,546 5,718 * TeleCorp PCS, Inc. 255,250 5,711 * E.Piphany Inc. 105,830 5,708 The Goodyear Tire & Rubber Co. 245,951 5,654 Northeast Utilities 232,129 5,629 * National Semiconductor Corp. 278,823 5,611 TCF Financial Corp. 125,633 5,599 * Litton Industries, Inc. 71,098 5,595 * Cooper Cameron Corp. 84,487 5,581 Popular, Inc. 212,055 5,580 Transatlantic Holdings, Inc. 52,682 5,578 * Park Place Entertainment 465,741 5,560 Sigma-Aldrich Corp. 140,827 5,536 * Timberland Co. 82,200 5,497 * Toys R Us, Inc. 329,210 5,494 * Integrated Device Technology Inc. 165,642 5,487 * Conexant Systems, Inc. 356,061 5,474 Keebler Foods Co. 132,062 5,472 Investors Financial Services Corp. 63,500 5,461 * AutoZone Inc. 190,793 5,438 * International Game Technology 113,272 5,437 * Acxiom Corp. 139,007 5,413 * Citizens Communications Co. 412,197 5,410 ServiceMaster Co. 470,087 5,406 W.W. Grainger, Inc. 147,994 5,402 * Rambus Inc. 149,152 5,388 * SPX Corp. 49,783 5,386 * American Standard Cos., Inc. 109,169 5,383 * TriQuint Semiconductor, Inc. 123,136 5,380 Apartment Investment & Management Co. Class A REIT 107,500 5,368 * BMC Software, Inc. 382,993 5,362 Federated Investors, Inc. 183,849 5,355 * Oxford Health Plan 134,477 5,312 ITT Industries, Inc. 136,902 5,305 Legg Mason Inc. 96,652 5,268
----- 6 79
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * NetIQ Corp. 60,216 $ 5,261 * Metro-Goldwyn-Mayer Inc. 320,378 5,226 Vornado Realty Trust REIT 135,789 5,202 * Synopsys, Inc. 109,586 5,198 Avalonbay Communities, Inc. REIT 103,690 5,197 * Universal Health Services Class B 46,447 5,190 R.R. Donnelley & Sons Co. 191,598 5,173 * Internet Security Systems, Inc. 65,368 5,127 Black & Decker Corp. 130,197 5,110 * Smurfit-Stone Container Corp. 341,716 5,104 Spieker Properties, Inc. REIT 101,602 5,093 * Interwoven, Inc. 76,820 5,065 * CheckFree Corp. 119,095 5,062 * Affiliated Computer Services, Inc. Class A 83,153 5,046 * AmeriSource Health Corp. 99,892 5,045 * TranSwitch Corp. 128,911 5,044 Tektronix, Inc. 149,557 5,038 Hillenbrand Industries, Inc. 97,744 5,034 The Mead Corp. 160,312 5,030 * Macromedia, Inc. 82,690 5,023 Dime Bancorp, Inc. 169,845 5,021 Waddell & Reed Financial, Inc. Class B 133,501 5,006 * Health Net Inc. 191,018 5,002 Whirlpool Corp. 104,676 4,992 * BroadVision, Inc. 420,177 4,963 * Fox Entertainment Group, Inc. Class A 275,031 4,916 Mylan Laboratories, Inc. 194,834 4,907 Duke Realty Investments, Inc. REIT 199,140 4,904 * Continental Airlines, Inc. Class B 94,268 4,867 * National-Oilwell, Inc. 125,769 4,866 SCANA Corp. 164,281 4,857 Nucor Corp. 121,631 4,827 Xerox Corp. 1,043,051 4,824 * Lamar Advertising Co. Class A 124,762 4,815 * Harrah's Entertainment, Inc. 182,305 4,808 Archstone Communities Trust REIT 186,010 4,790 * Power-One, Inc. 121,543 4,778 * Republic Services, Inc. Class A 275,311 4,732 * Lincare Holdings, Inc. 82,853 4,728 Mercantile Bankshares Corp. 109,280 4,720 Public Storage, Inc. REIT 193,576 4,706 * ImClone Systems, Inc. 106,580 4,690 The PMI Group Inc. 69,159 4,681 * 3Com Corp. 550,564 4,680 Wendy's International, Inc. 177,671 4,664 * Community Health Systems, Inc. 132,984 4,654
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Mitchell Energy & Development Corp. Class A 75,856 $ 4,646 *(3) Transmeta Corp. 197,509 4,641 * Informatica Corp. 117,230 4,638 * BISYS Group, Inc. 88,537 4,615 Adolph Coors Co. Class B 57,405 4,610 Westvaco Corp. 157,728 4,604 * Trigon Healthcare, Inc. 59,088 4,598 Delhaize America, Inc. Class A 259,452 4,589 * Ocean Energy, Inc. 263,752 4,583 * Medarex, Inc. 112,422 4,581 Sunoco, Inc. 135,302 4,558 * Ceridian Corp. 228,184 4,549 American Water Works Co., Inc. 154,401 4,536 Millipore Corp. 71,970 4,534 Compass Bancshares Inc. 189,887 4,534 UtiliCorp United, Inc. 145,657 4,515 Manpower Inc. 118,786 4,514 Banknorth Group, Inc. 226,008 4,506 Tyson Foods, Inc. 353,009 4,501 Newmont Mining Corp. 263,462 4,495 * Micrel, Inc. 133,059 4,482 Host Marriott Corp. REIT 345,856 4,475 * Avaya Inc. 433,824 4,474 * Allied Waste Industries, Inc. 307,093 4,472 J.C. Penney Co., Inc. 408,880 4,447 AVX Corp. 271,542 4,447 Radian Group, Inc. 59,219 4,445 * Caremark Rx, Inc. 327,724 4,445 IBP, Inc. 166,033 4,441 * WebMD Corporation 558,778 4,435 Bowater Inc. 78,617 4,432 Talbots Inc. 96,944 4,423 * Arrow Electronics, Inc. 153,095 4,382 * Western Wireless Corp. Class A 111,819 4,382 Fidelity National Financial, Inc. 118,460 4,376 * BJ's Wholesale Club, Inc. 113,751 4,365 Darden Restaurants Inc. 189,682 4,339 * Hispanic Broadcasting Corp. 170,093 4,337 * Cabletron Systems, Inc. 287,720 4,334 * Brinker International, Inc. 102,427 4,328 BHC Communications, Inc. Class A 33,425 4,320 Astoria Financial Corp. 79,518 4,319 Expeditors International of Washington, Inc. 80,441 4,319 Unitrin, Inc. 106,253 4,317 Potomac Electric Power Co. 174,638 4,315 * Peregrine Systems, Inc. 218,410 4,314 * Nextel Partners, Inc. 254,941 4,286 Wisconsin Energy Corp. 189,637 4,279 Temple-Inland Inc. 79,635 4,270 * Oplink Communications, Inc. 237,899 4,267
----- 7 80
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- Murphy Oil Corp. 70,525 $ 4,262 * MiniMed, Inc. 100,981 4,244 Winn-Dixie Stores, Inc. 219,063 4,244 * US Airways Group, Inc. 104,480 4,238 * Barr Labs Inc. 58,050 4,234 Ultramar Diamond Shamrock Corp. 136,859 4,226 Kimco Realty Corp. REIT 95,604 4,225 The Stanley Works 134,689 4,201 Commerce Bancshares, Inc. 98,795 4,199 C.H. Robinson Worldwide, Inc. 133,146 4,186 Jack Henry & Associates 67,288 4,180 * ChoicePoint Inc. 63,447 4,160 * Dollar Tree Stores, Inc. 168,543 4,129 * Devry, Inc. 109,375 4,129 * Hanover Compressor Co. 92,582 4,126 * Microchip Technology, Inc. 187,070 4,104 Engelhard Corp. 200,602 4,087 Pall Corp. 191,694 4,085 * Cephalon, Inc. 64,458 4,081 * Niagara Mohawk Holdings Inc. 244,430 4,079 * OSI Pharmaceticals, Inc. 50,898 4,078 Hormel Foods Corp. 218,552 4,071 * Cypress Semiconductor Corp. 205,700 4,050 * L-3 Communications Holdings, Inc. 52,510 4,043 Noble Affiliates, Inc. 87,788 4,038 * Humana, Inc. 263,438 4,017 * Kmart Corp. 755,294 4,012 * InfoSpace, Inc. 453,527 4,011 * Northwest Airlines Corp. Class A 133,111 4,010 * Rowan Cos., Inc. 148,146 4,000 Alliant Energy Corp. 124,328 3,963 Energy East Corp. 200,736 3,952 Whitman Corp. 241,338 3,952 * Enzon, Inc. 63,659 3,951 * Cree, Inc. 111,099 3,947 MCN Energy Group Inc. 142,051 3,933 Ashland, Inc. 109,199 3,919 Arthur J. Gallagher & Co. 61,520 3,914 Beckman Coulter, Inc. 93,246 3,911 * Wind River Systems Inc. 114,484 3,907 Maytag Corp. 120,841 3,905 Newport Corp. 49,583 3,898 * Fluor Corp. 117,053 3,870 Tidewater Inc. 87,121 3,866 National Fuel Gas Co. 61,419 3,866 * LifePoint Hospitals, Inc. 77,094 3,864 * CSG Systems International, Inc. 82,161 3,856 McCormick & Co., Inc. 106,869 3,854 * National Instruments Corp. 78,801 3,827 * CDW Computer Centers, Inc. 137,201 3,824 ICN Pharmaceuticals, Inc. 124,148 3,810
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Questar Corp. 126,444 $ 3,801 * ICOS Corp. 73,159 3,800 * Polycom, Inc. 117,781 3,791 * Allegiance Telecom, Inc. 169,658 3,778 * Quintiles Transnational Corp. 180,269 3,774 * Symantec Corp. 112,973 3,770 Diebold, Inc. 112,605 3,758 * American Power Conversion Corp. 303,503 3,756 * Grant Prideco, Inc. 171,116 3,754 GATX Corp. 75,174 3,749 Shaw Industries, Inc. 197,772 3,745 Puget Sound Energy Inc. 134,630 3,744 The Timber Co. 125,064 3,744 Alberto-Culver Co. Class B 87,197 3,733 Crescent Real Estate, Inc. REIT 166,977 3,715 * Quest Software, Inc. 132,258 3,711 Mercury General Corp. 84,415 3,704 FirstMerit Corp. 138,447 3,701 * Apria Healthcare 124,200 3,695 Circuit City Stores, Inc. 320,906 3,690 Nordstrom, Inc. 202,904 3,690 C.R. Bard, Inc. 79,140 3,685 * Amkor Technology, Inc. 237,180 3,680 * Chris-Craft Industries, Inc. 54,968 3,655 * Plantronics, Inc. 77,401 3,638 Hudson City Bancorp, Inc. 178,888 3,622 * Cytyc Corp. 57,787 3,615 NSTAR 84,113 3,606 * Agile Software Corp. 72,802 3,595 * E*TRADE Group, Inc. 487,329 3,594 * Compuware Corp. 571,853 3,574 Eaton Vance Corp. 110,790 3,573 * Patterson Dental Co. 105,234 3,565 Valero Energy Corp. 95,714 3,559 The MONY Group Inc. 71,945 3,557 * Cerner Corp. 76,670 3,546 Dana Corp. 231,557 3,546 Lennar Corp. 97,721 3,542 * First Health Group Corp. 75,637 3,522 Herman Miller, Inc. 122,449 3,520 Centex Corp. 92,717 3,483 First Virginia Banks, Inc. 72,304 3,471 * At Home Corp. Series A 627,264 3,470 Precision Castparts Corp. 82,300 3,462 Liz Claiborne, Inc. 82,923 3,452 Bank United Corp. Class A 50,594 3,450 Skywest, Inc. 119,600 3,439 Helmerich & Payne, Inc. 78,207 3,431 Montana Power Co. 165,234 3,429 * Apogent Technologies Inc. 167,046 3,424 *(3) Akamai Technologies, Inc. 161,773 3,407 Equitable Resources, Inc. 50,997 3,404 * FMC Corp. 47,470 3,403
----- 8 81
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Catalina Marketing Corp. 87,396 $ 3,403 Cullen/Frost Bankers, Inc. 81,348 3,401 AMB Property Corp. REIT 131,440 3,393 True North Communications 79,319 3,371 * Indymac Bancorp, Inc. 114,131 3,367 * Westwood One, Inc. 174,103 3,362 * Varian Medical Systems, Inc. 49,478 3,361 Commerce Bancorp, Inc. 49,135 3,360 Sonoco Products Co. 155,257 3,357 Viad Corp. 145,951 3,357 * NVIDIA Corp. 102,398 3,355 Bausch & Lomb, Inc. 82,953 3,354 Bergen Brunswig Corp. Class A 211,047 3,341 * Applera Corp.-Celera Genomics Group 92,715 3,332 Liberty Financial Cos., Inc. 74,718 3,330 IPALCO Enterprises, Inc. 137,609 3,328 * Venator Group, Inc. 214,416 3,323 * AmeriCredit Corp. 121,929 3,323 * Manor Care, Inc. 160,958 3,320 * Office Depot, Inc. 465,690 3,318 * Inhale Therapeutic Systems 65,672 3,316 * Sealed Air Corp. 108,641 3,314 * AutoNation, Inc. 550,368 3,302 * RSA Security Inc. 62,420 3,300 * Sawtek Inc. 71,380 3,297 Harris Corp. 107,543 3,294 First American Corp. 100,064 3,290 New York Community Bancorp, Inc. 89,340 3,283 * Vishay Intertechnology, Inc. 216,974 3,282 * ACNielson Corp. 90,251 3,272 * Time Warner Telecom Inc. 51,550 3,270 *(3) Capstone Turbine Corp. 116,683 3,267 Fastenal Co. 59,494 3,265 * Celgene Corp. 100,379 3,262 Protective Life Corp. 101,082 3,260 * Dun & Bradstreet Corp. 125,665 3,252 Associated Banc-Corp. 106,980 3,250 CarrAmerica Realty Corp. REIT 103,593 3,244 * Orion Power Holdings, Inc. 131,401 3,236 Hibernia Corp. Class A 252,979 3,225 * Art Technology Group, Inc. 105,380 3,221 * Varco International, Inc. 147,671 3,212 CONSOL Energy, Inc. 114,441 3,197 * Energizer Holdings, Inc. 149,162 3,188 White Mountains Insurance Group Inc. 9,985 3,185 Hercules, Inc. 167,069 3,185 International Flavors & Fragrances, Inc. 156,658 3,182 * Quanta Services, Inc. 98,850 3,182 MDU Resources Group, Inc. 97,879 3,181 * Iron Mountain, Inc. 85,279 3,166
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Newfield Exploration Co. 66,678 $ 3,163 DENTSPLY International Inc. 80,843 3,163 * Inktomi Corp. 176,887 3,162 International Speedway Corp. 82,973 3,153 * Outback Steakhouse 121,804 3,152 Wilmington Trust Corp. 50,692 3,146 * Pioneer Natural Resources Co. 159,358 3,137 * Albany Molecular Research, Inc. 50,798 3,130 * Abercrombie & Fitch Co. 156,349 3,127 UAL Corp. 80,120 3,120 * Chesapeake Energy Corp. 307,900 3,117 Omnicare, Inc. 144,086 3,116 * Louis Dreyfus Natural Gas Corp. 67,922 3,112 Avnet, Inc. 144,352 3,104 * Pactiv Corp. 249,904 3,093 Martin Marietta Materials, Inc. 73,082 3,091 * Quantum Corp-DLT & Storage Systems 232,026 3,089 * Shaw Group, Inc. 61,740 3,087 * Lattice Semiconductor Corp. 167,665 3,081 Leucadia National Corp. 86,912 3,080 * Critical Path, Inc. 100,082 3,078 *(3) PRIMEDIA Inc. 257,510 3,074 * Silicon Valley Bancshares 88,900 3,073 * CNET Networks, Inc. 191,449 3,060 * Cor Therapeutics, Inc. 86,796 3,054 * GlobeSpan, Inc. 111,028 3,053 * American Eagle Outfitters, Inc. 72,245 3,052 Liberty Property Trust REIT 106,748 3,049 Cross Timbers Oil Co. 109,777 3,046 * Sodexho Marriott Services, Inc. 137,546 3,043 * J.D. Edwards & Co. 170,092 3,030 NICOR, Inc. 69,936 3,020 Boise Cascade Corp. 89,565 3,012 Centura Banks, Inc. 62,341 3,008 * Powertel Inc. 48,460 3,001 Erie Indemnity Co. Class A 100,614 3,000 * Sicor, Inc. 207,414 2,995 The McClatchy Co. Class A 70,186 2,992 OGE Energy Corp. 122,025 2,982 Wesco Financial Corp. 10,563 2,976 Johns Manville Corp. 229,685 2,972 * Pharmaceutical Product Development, Inc. 59,770 2,970 DQE Inc. 90,230 2,955 General Growth Properties Inc. REIT 81,555 2,951 * Barrett Resources Corp. 51,905 2,949 Great Lakes Chemical Corp. 79,233 2,946 * Stone Energy Corp. 45,600 2,943 Bindly Western Industries, Inc. 70,788 2,942 Belo Corp. Class A 183,793 2,941 * Forest Oil Corp. 79,620 2,936 Downey Financial Corp. 53,300 2,932
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- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- * Toll Brothers, Inc. 71,700 $ 2,931 * SanDisk Corp. 105,332 2,923 * Catellus Development Corp. 166,841 2,920 Valley National Bancorp 87,625 2,919 The St. Joe Co. 132,538 2,916 * Myriad Genetics, Inc. 35,209 2,914 * Inet Technologies, Inc. 71,740 2,905 * International Rectifier Corp. 96,834 2,905 * Scios, Inc. 130,500 2,904 IDACORP, Inc. 59,085 2,899 ALLETE 116,463 2,890 City National Corp. 74,397 2,888 Newport News Shipbuilding Inc. 55,303 2,876 * Spectrasite Holdings, Inc. 216,942 2,874 BancWest Corp. 109,957 2,873 Provident Financial Group, Inc. 76,543 2,870 Sovereign Bancorp, Inc. 353,174 2,870 SuperValu Inc. 206,343 2,863 Deluxe Corp. 113,282 2,863 Hasbro, Inc. 268,431 2,852 American National Insurance Co. 38,985 2,846 * Triton PCS, Inc. 83,622 2,838 ONEOK, Inc. 58,773 2,828 * LAM Research Corp. 194,984 2,827 * Documentum, Inc. 56,867 2,826 * Province Healthcare Co. 71,700 2,823 * O'Reilly Automotive, Inc. 105,400 2,819 Lyondell Chemical Co. 183,802 2,814 Bemis Co., Inc. 83,667 2,808 * West TeleServices Corp. 99,603 2,801 Galileo International, Inc. 140,024 2,800 * Mentor Graphics Corp. 101,882 2,795 * HS Resources Inc. 65,901 2,793 IMC Global Inc. 179,207 2,789 Rouse Co. REIT 109,358 2,789 *(3) CMGI Inc 498,009 2,786 * Medicis Pharmaceutical Corp. 47,113 2,786 Conectiv, Inc. 138,197 2,773 * Columbia Sportswear Co. 55,700 2,771 John Nuveen Co. Class A 48,109 2,766 Roslyn Bancorp, Inc. 101,221 2,765 Old National Bancorp 92,257 2,762 Alpharma, Inc. Class A 62,925 2,761 * Sybase, Inc. 138,925 2,752 * Tekelec 91,675 2,750 Comdisco, Inc. 240,170 2,747 * Andrew Corp. 126,197 2,745 Cabot Corp. 103,982 2,743 Western Resources, Inc. 110,098 2,732 Reinsurance Group of America, Inc. 76,948 2,732 * Southern Union Co. 102,837 2,725 Crane Co. 95,517 2,716 * Imperial Bancorp 103,176 2,708
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Centennial Communications Corp. Class A 144,382 $ 2,707 * Foundry Networks, Inc. 180,310 2,705 * Valassis Communications, Inc. 85,330 2,693 * Smithfield Foods, Inc. 88,497 2,690 * Packaging Corp. of America 165,976 2,676 * Novell, Inc. 512,349 2,674 Pulte Corp. 63,336 2,672 *(3) ResMed Inc. 67,000 2,672 * Barnes & Noble, Inc. 100,627 2,667 Teleflex Inc. 60,326 2,666 Hollinger International, Inc. 167,815 2,664 * Knight Trading Group, Inc. 190,846 2,660 * Aeroflex, Inc. 92,257 2,660 Kansas City Power & Light Co. 96,932 2,660 Fulton Financial Corp. 115,307 2,659 * Jacobs Engineering Group Inc. 57,400 2,651 * Barra, Inc. 56,250 2,651 * Patterson Energy, Inc. 71,100 2,648 * Alkermes, Inc. 83,987 2,635 Block Drug Co. Class A 50,010 2,635 Mack-Cali Realty Corp. REIT 92,164 2,632 Allied Capital Corp. 125,469 2,619 * Coventry Health Care Inc. 97,997 2,615 * Mandalay Resort Group 119,028 2,611 iStar FInancial Inc. 132,411 2,607 * Tanox, Inc. 66,253 2,596 D. R. Horton, Inc. 105,800 2,585 American Financial Group, Inc. 97,213 2,582 * Lear Corp. 103,935 2,579 CNF Inc. 76,189 2,576 * HomeStore.com, Inc. 127,800 2,572 Snap-On Inc. 92,190 2,570 Greater Bay Bancorp 62,632 2,568 Meredith Corp. 79,463 2,558 Lafarge Corp. 107,870 2,548 Essex Property Trust, Inc. REIT 46,334 2,537 Energen Corp. 78,700 2,533 * Pride International Inc. 102,828 2,532 Harte-Hanks, Inc. 106,829 2,531 * Whole Foods Market, Inc. 41,380 2,529 * Amphenol Corp. 64,520 2,528 * Cytec Industries, Inc. 63,290 2,528 Raymond James Financial, Inc. 72,357 2,523 USX-U.S. Steel Group 139,738 2,515 * Priority Healthcare Corp. Class B 61,600 2,514 Kaufman & Broad Home Corp. 74,616 2,514 * Footstar Inc. 50,770 2,513 * INCYTE Genomics, Inc. 100,774 2,507 * SBA Communications Corp. 61,017 2,506 Peoples Bank Bridgeport 96,801 2,505 * Getty Images, Inc. 77,910 2,493 Clayton Homes Inc. 216,612 2,491 Metris Cos., Inc. 94,581 2,489
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- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Arden Realty Group, Inc. REIT 98,962 $ 2,486 * Alpha Industries, Inc. 67,186 2,486 * Payless ShoeSource, Inc. 35,110 2,484 Peoples Energy Corp. 55,496 2,483 Weis Markets, Inc. 64,764 2,481 WestAmerica Bancorporation 57,668 2,480 Flowers Industries, Inc. 157,157 2,475 Cummins Engine Co., Inc. 65,229 2,475 * Southwest Bancorporation of Texas, Inc. 57,400 2,465 Vectren Corp. 95,869 2,457 * Marine Drilling Co., Inc. 91,767 2,455 Dallas Semiconductor Corp. 95,712 2,453 * Netegrity, Inc. 45,081 2,451 * Scholastic Corp. 27,614 2,447 * Reebok International Ltd. 89,385 2,444 * Learning Tree International, Inc. 49,300 2,440 Reynolds & Reynolds Class A 120,403 2,438 *(3) McDATA Corp. 44,440 2,433 * Professional Detailing, Inc. 23,000 2,433 Western Gas Resources, Inc. 72,100 2,429 * Sensormatic Electronics Corp. 120,754 2,423 * Navistar International Corp. 92,458 2,421 Autodesk, Inc. 89,720 2,417 Doral Financial Corp. 99,600 2,409 * EMCORE Corp. 51,255 2,409 HON Industries, Inc. 94,397 2,407 * Stillwater Mining Co. 60,657 2,387 * Aether Systems, Inc. 60,785 2,378 Health Care Properties Investors REIT 79,461 2,374 StanCorp Financial Group, Inc. 49,685 2,372 * Orthodontic Centers of America, Inc. 75,891 2,372 * First Federal Financial Corp. 73,268 2,367 Webster Financial Corp. 83,563 2,366 Carter-Wallace, Inc. 70,728 2,361 *(3) Wireless Facilities, Inc. 64,980 2,356 * Impath, Inc. 35,400 2,354 * Dycom Industries, Inc. 65,442 2,352 Ruby Tuesday, Inc. 153,948 2,348 * Education Management Corp. 65,600 2,345 * Anaren Microwave, Inc. 34,804 2,338 Post Properties, Inc. REIT 62,225 2,337 * Aviron 34,919 2,333 * Infonet Services Corp. 466,410 2,332 Hubbell Inc. Class B 87,985 2,332 * Digene Corp. 52,100 2,328 * Alleghany Corp. 11,316 2,325 Charles E. Smith Residential Realty, Inc. REIT 49,400 2,322 Washington Federal Inc. 81,624 2,321 * Labranche & Co. Inc. 75,891 2,319 * Techne 63,959 2,307
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Universal Corp. 65,700 $ 2,300 * Mohawk Industries, Inc. 83,913 2,297 Highwood Properties, Inc. REIT 92,269 2,295 * Semtech Corp. 103,917 2,293 Visteon Corp. 199,302 2,292 Black Hills Corp. 51,200 2,291 * Fisher Scientific International Inc. 62,087 2,289 * Advanced Fibre Communications, Inc. 126,376 2,283 * Tech Data Corp. 84,104 2,275 BRE Properties Inc. Class A REIT 71,778 2,274 * SpeechWorks International Inc. 46,340 2,274 Trustmark Corp. 107,855 2,265 * Sapient Corp. 189,467 2,262 Pacific Century Financial Corp. 127,755 2,260 * Cirrus Logic 120,412 2,258 Sky Financial Group, Inc. 134,763 2,257 Cabot Oil & Gas Corp. Class A 72,200 2,252 * Immunomedics Inc. 104,600 2,249 Brunswick Corp. 136,650 2,246 * Silicon Valley Group, Inc. 78,100 2,245 * Advance Paradigm, Inc. 49,200 2,239 Houghton Mifflin Co. 48,250 2,238 * Henry Schein, Inc. 64,426 2,231 Capitol Federal Financial 132,999 2,228 WGL Holdings Inc. 73,048 2,223 Enterprise Products Partners L.P. 70,700 2,223 *(3) Pixar, Inc. 74,034 2,221 WPS Resources Corp. 60,321 2,221 * Saks Inc. 221,344 2,213 Callaway Golf Co. 118,758 2,212 * Insituform Technologies Class A 55,300 2,205 * Nova Corp. (Georgia) 110,304 2,199 Forest City Enterprise Class A 56,100 2,199 * Tularik, Inc. 74,663 2,198 * Syncor International Corp. 60,200 2,190 Tootsie Roll Industries, Inc. 47,423 2,184 * NPS Pharmaceuticals Inc. 45,331 2,176 Ross Stores, Inc. 128,927 2,176 * Manhattan Associates, Inc. 51,000 2,174 Graco, Inc. 52,347 2,166 Heller Financial, Inc. 70,470 2,163 * Affiliated Managers Group, Inc. 39,400 2,162 Chittenden Corp. 70,971 2,151 Hertz Corp. Class A 63,008 2,150 * Gentex Corp. 115,406 2,149 Citizens Banking Corp. 73,837 2,146 * Dobson Communications Corp. 146,630 2,144 * Cosine Communications, Inc. 154,514 2,144 *(3) Edison Schools Inc. 68,018 2,143 * Sotheby's Holdings Class A 92,279 2,140 Pogo Producing Co. 68,742 2,140 Cousins Properties, Inc. REIT 76,471 2,136 Technitrol, Inc. 51,808 2,131
----- 11 84
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- Valspar Corp. 66,179 $ 2,130 Lubrizol Corp. 82,620 2,127 * RealNetworks, Inc. 244,830 2,127 * Six Flags, Inc. 123,640 2,125 * FileNet Corp. 77,900 2,123 * Nuance Communications Inc. 49,090 2,117 * R.H. Donnelley Corp. 87,042 2,116 Vintage Petroleum, Inc. 98,349 2,115 * Global Industries Ltd. 154,481 2,114 * The Neiman Marcus Group, Inc. Class A 59,345 2,110 * Markel Corp. 11,634 2,106 * DoubleClick Inc. 191,347 2,105 * Emmis Communications, Inc. 73,359 2,104 * Alliant Techsystems, Inc. 31,500 2,103 * Suiza Foods Corp. 43,697 2,097 First Industrial Realty Trust REIT 61,607 2,095 Ethan Allen Interiors, Inc. 62,460 2,092 * KEMET Corp. 138,202 2,090 * Aspen Technologies, Inc. 62,800 2,088 * SERENA Software, Inc. 60,929 2,086 * CV Therapeutics, Inc. 29,453 2,084 Ball Corp. 45,141 2,079 Franchise Finance Corp. of America REIT 88,933 2,073 * APW Ltd. 61,423 2,073 Brown & Brown, Inc. 59,200 2,072 * SEACOR SMIT Inc. 39,300 2,068 FelCor Lodging Trust, Inc. REIT 86,297 2,066 * STERIS Corp. 127,698 2,059 * Grey Wolf, Inc. 349,900 2,056 * Ultratech Stepper, Inc. 79,400 2,054 Carlisle Co., Inc. 47,708 2,048 Lee Enterprises, Inc. 68,629 2,046 * Veritas DGC Inc. 63,300 2,045 * Investment Technology Group, Inc. 48,952 2,044 Diagnostic Products Corp. 37,323 2,039 * Regeneron Pharmaceuticals, Inc. 57,473 2,027 * Portal Software, Inc. 258,278 2,026 OM Group, Inc. 37,036 2,023 * Bally Total Fitness Holding Corp. 59,700 2,022 * CEC Entertainment Inc. 59,200 2,020 * Anchor Gaming 51,798 2,020 Allegheny Technologies Inc. 127,176 2,019 * Pacific Sunwear of California 78,725 2,017 * Edwards Lifesciences Corp. 113,412 2,013 * American Freightways 71,904 2,009 * Bruker Daltonics, Inc. 85,180 2,007 * Vicor Corp. 65,993 2,005 Solutia, Inc. 166,908 2,003 * Ulticom, Inc. 58,706 2,000 * Teledyne Technologies, Inc. 84,617 1,999 Valhi, Inc. 173,800 1,999
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Florida East Coast Industries, Inc. CL A 55,700 $ 1,998 Sierra Pacific Resources 124,344 1,997 * Renal Care Group, Inc. 72,750 1,995 * Tetra Tech, Inc. 62,426 1,990 Penton Media, Inc. Class A 74,034 1,990 Camden Property Trust REIT 59,300 1,987 Hospitality Properties Trust REIT 87,634 1,983 Federal Signal Corp. 100,862 1,979 John Wiley & Sons Class A 91,715 1,972 * Security Capital Group Inc. REIT Class B 98,200 1,970 Brady Corp. Class A 58,200 1,968 * Unit Corp. 103,900 1,968 * Proxim, Inc. 45,680 1,964 Polaris Industries, Inc. 49,400 1,964 Standard Pacific Corp. 84,000 1,964 Arrow International, Inc. 52,100 1,963 * Tom Brown, Inc. 59,600 1,959 * Swift Transportation Co., Inc. 98,758 1,957 Donaldson Co., Inc. 70,317 1,956 Fair Issac & Co. 38,300 1,953 * Atlas Air, Inc. 59,850 1,953 * Sirius Satellite Radio, Inc. 65,220 1,953 * TNPC, Inc. 198,969 1,952 Harman International Industries, Inc. 53,443 1,951 * NeoPharm, Inc. 51,400 1,947 * Kenneth Cole Productions, Inc. 48,300 1,944 * Rogers Corp. 47,300 1,942 * Haemonetics Corp. 62,600 1,933 * Cabot Microelectronics Corp. 37,167 1,930 * Noven Pharmaceuticals, Inc. 51,600 1,929 Dreyer's Grand Ice Cream, Inc. 59,800 1,929 Dain Rauscher Corp. 20,338 1,926 Carpenter Technology Corp. 55,000 1,925 Regency Realty Corp. REIT 81,182 1,923 * PRAECIS Pharmaceuticals Inc. 65,741 1,923 * DaVita, Inc. 112,269 1,923 * Freeport-McMoRan Copper & Gold Inc. Class B 224,372 1,921 * Coach, Inc. 66,732 1,919 Hawaiian Electric Industries Inc. 51,566 1,918 * Plexus Corp. 63,013 1,915 * Constellation Brands, Inc. Class A 32,544 1,912 Cleco Corp. 34,920 1,912 Washington REIT 80,700 1,907 * Liberate Technologies, Inc. 139,819 1,905 * Credence Systems Corp. 82,767 1,904 * The Corporate Executive Board Co. 47,867 1,903 FactSet Research Systems Inc. 51,328 1,903 * ADVO, Inc. 42,800 1,899
----- 12 85
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Administaff, Inc. 69,800 $ 1,899 United Bankshares, Inc. 89,250 1,897 St. Mary Land & Exploration Co. 56,856 1,894 National Data Corp. 51,612 1,890 Overseas Shipholding Group Inc. 82,200 1,885 AGL Resources Inc. 85,392 1,884 * Swift Energy Co. 50,000 1,881 * Advent Software, Inc. 46,951 1,881 Nationwide Financial Services, Inc. 39,539 1,878 * Cal Dive International, Inc. 70,400 1,874 First Midwest Bancorp 65,039 1,870 * Transkaryotic Therapies, Inc. 51,300 1,869 * Argosy Gaming Co. 97,400 1,869 * Closure Medical Corp. 51,800 1,865 Tupperware Corp. 91,233 1,865 * The Cheesecake Factory 48,471 1,860 21st Century Insurance Group 130,302 1,857 * Consolidated Stores, Inc. 174,660 1,856 * Neurogen Corp. 52,820 1,855 * Advanced Digital Information Corp. 80,644 1,855 Stewart & Stevenson Services, Inc. 81,418 1,848 Crompton Corp. 175,972 1,848 Ametek Aerospace Products Inc. 71,200 1,847 * Cell Therapeutics, Inc. 40,981 1,847 Florida Rock Industries, Inc. 47,200 1,847 * Journal Register Co. 114,900 1,846 * Fairchild Semiconductor Corp. 127,809 1,845 Pentair, Inc. 76,040 1,839 *(3) Avici Systems Inc. 74,540 1,836 * Pegasus Communications Corp. Class A 71,235 1,834 * Intermune Pharmaceuticals 40,988 1,829 * Polo Ralph Lauren Corp. 81,900 1,827 * Alexion Pharmaceuticals, Inc. 28,129 1,827 * Entercom Communications Corp. 53,021 1,826 Pennzoil-Quaker State Co. 141,814 1,826 UGI Corp. Holding Co. 72,100 1,825 * Embarcadero Technologies, Inc. 40,542 1,824 * Retek Inc. 74,846 1,824 York International Corp. 59,396 1,823 Raytheon Co. Class A 62,770 1,820 * Molecular Devices Corp. 26,597 1,820 * Exar Corp. 58,687 1,818 * Avocent Corp. 67,311 1,817 * EGL, Inc. 75,905 1,817 Weingarten Realty Investors REIT 41,491 1,815 New Plan Excel Realty Trust REIT 138,136 1,813 Delta & Pine Land Co. 86,573 1,813 Blyth, Inc. 75,078 1,811
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Colonial BancGroup, Inc. 168,484 $ 1,811 Millennium Chemicals, Inc. 99,657 1,806 Cambrex Corp. 39,861 1,804 * Dionex Corp. 52,200 1,801 Applebee's International, Inc. 57,282 1,801 * Cable Design Technologies 107,067 1,800 RGS Energy Group Inc. 55,484 1,800 * CuraGen Corp. 65,770 1,796 HCC Insurance Holdings, Inc. 66,604 1,794 * Advantage Learning Systems, Inc. 53,276 1,791 * AmeriPath, Inc. 71,600 1,790 * Teletech Holdings Inc. 97,185 1,786 * Men's Wearhouse, Inc. 65,490 1,785 * Quorum Health Group, Inc. 113,209 1,783 C & D Technology Inc. 41,279 1,783 Horace Mann Educators Corp. 83,000 1,774 Manufactured Home Communities, Inc. REIT 61,000 1,769 Albemarle Corp. 71,408 1,767 * Triad Hospitals, Inc. 54,229 1,766 United Dominion Realty Trust REIT 163,288 1,766 * Williams Sonoma, Inc. 88,136 1,763 * Objective Systems Integrators, Inc. 99,900 1,761 *(3) PurchasePro.com, Inc. 100,370 1,756 * Coldwater Creek Inc. 56,400 1,752 Dillard's Inc. 148,139 1,750 * Viasystems Group, Inc. 210,440 1,749 Piedmont Natural Gas, Inc. 45,662 1,744 Commercial Federal Corp. 89,575 1,741 Hudson United Bancorp 83,095 1,740 Reckson Associates Realty Corp. REIT 69,330 1,738 * Extended Stay America, Inc. 135,121 1,736 *(3) Caliper Technologies Corp. 36,902 1,734 *(3) AmeriTrade Holding Corp. 247,690 1,734 Homestake Mining Co. 413,175 1,730 * Linens `n Things, Inc. 62,532 1,727 * Entravision Communications Corp. 93,775 1,723 * Delphi Financial Group, Inc. 44,698 1,721 * SPS Technologies, Inc. 31,352 1,718 * IntraNet Solutions, Inc. 33,694 1,718 Banta Corp. 67,600 1,718 * Clayton Williams Energy, Inc. 63,600 1,717 * DMC Stratex Networks, Inc. 114,401 1,716 Dean Foods Corp. 55,918 1,716 Corn Products International, Inc. 59,005 1,715 * Symyx Technologies 47,549 1,712 Werner Enterprises, Inc. 100,650 1,711 * Varian, Inc. 50,496 1,711 * Actuate Software Corp. 89,417 1,710
----- 13 86
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- Philadelphia Suburban Corp. 69,596 $ 1,705 Rayonier Inc. 42,824 1,705 * NCO Group, Inc. 56,099 1,704 * GTech Holdings Corp. 82,800 1,703 * On Assignment, Inc. 59,700 1,701 * Rent-A-Center, Inc. 49,200 1,697 *(3) Krispy Kreme Doughnuts, Inc. 20,437 1,696 *(3) Stanford Microdevices, Inc. 47,100 1,696 * Evergreen Resources, Inc. 43,700 1,688 *(3) Stratos Lightwave, Inc. 98,847 1,687 N L Industries, Inc. 69,525 1,686 Public Service Co. of New Mexico 62,595 1,678 Student Loan Corp. 30,821 1,678 * DDi Corp. 61,491 1,676 * Hain Celestial Group, Inc. 51,504 1,674 *(3) Silicon Storage Technology, Inc. 141,644 1,673 * Quantum Corp.-Hard Disk Drive 209,000 1,672 * Internap Network Services Corp. 230,206 1,669 *(3) FuelCell Energy, Inc. 24,287 1,665 * Kana Communications, Inc. 144,684 1,664 CBL & Associates Properties, Inc. REIT 65,700 1,663 * Genencor International Inc. 92,370 1,663 Lancaster Colony Corp. 58,973 1,655 Alexander & Baldwin, Inc. 63,040 1,655 * Winstar Communications, Inc. 141,461 1,653 Hooper Holmes, Inc. 149,400 1,652 * Atlantic Coast Airlines Holdings Inc. 40,400 1,651 * Jack in the Box Inc. 56,001 1,649 Dial Corp. 149,700 1,647 * Scotts Co. 44,413 1,641 CBRL Group, Inc. 90,091 1,639 * UnitedGlobalCom Inc. Class A 119,992 1,635 Jefferies Group, Inc. 52,300 1,634 BorgWarner, Inc. 40,768 1,631 Sterling Bancshares, Inc. 82,400 1,627 * Forrester Research, Inc. 32,457 1,625 * Dal-Tile International Inc. 114,300 1,622 Northwest Natural Gas Co. 61,000 1,617 Sensient Technologies Corp. 71,007 1,615 * Zale Corp. 55,535 1,614 Shurgard Storage Centers, Inc. Class A REIT 65,800 1,608 MAF Bancorp, Inc. 56,283 1,601 * Newpark Resources, Inc. 167,300 1,600 * Adaptec, Inc. 155,277 1,592 Summit Properties, Inc. REIT 61,200 1,591 Brandywine Realty Trust REIT 76,900 1,591 * Oakley, Inc. 117,496 1,586 (3) USG Corp. 70,294 1,582 Ohio Casualty Corp. 157,688 1,577 Louisiana-Pacific Corp. 155,522 1,575 * IDX Systems Corp. 62,900 1,573
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- CTS Corp. 43,108 $ 1,571 Arch Coal, Inc. 111,150 1,570 Ryder System, Inc. 94,157 1,565 * Rare Hospitality International Inc. 70,150 1,565 * Fairfield Communities, Inc. 111,200 1,564 Pier 1 Imports Inc. 151,613 1,564 * MSC Industrial Direct Co., Inc. Class A 86,400 1,561 * Electro Scientific Industries, Inc. 55,700 1,560 Granite Construction Co. 53,850 1,558 Church & Dwight, Inc. 70,000 1,558 Westfield America, Inc. REIT 107,848 1,557 * FEI Co. 68,300 1,554 *(3)Red Hat, Inc. 248,470 1,553 * Insight Communications Co., Inc. 66,045 1,552 * WFS Financial, Inc. 83,750 1,549 Chateau Communities, Inc. REIT 50,622 1,541 * Veeco Instruments, Inc. 38,349 1,539 * Atwood Oceanics, Inc. 35,034 1,535 SL Green Realty Corp. REIT 54,700 1,532 * HNC Software, Inc. 51,489 1,529 Avista Corp. 74,463 1,526 CH Energy Group, Inc. 34,100 1,526 Harsco Corp. 61,799 1,526 * Vitria Technology, Inc. 196,780 1,525 * Cyberonics, Inc. 65,300 1,518 * Integrated Circuit Systems, Inc. 91,591 1,517 * MRV Communications Inc. 113,199 1,514 * Covance, Inc. 140,713 1,513 * Zebra Technologies Corp. Class A 37,062 1,512 Community First Bankshares 80,100 1,512 Massey Energy Company 118,438 1,510 Nordson Corp. 59,200 1,510 * Landstar System 27,200 1,508 *(3) ParkerVision, Inc. 41,100 1,505 * I-STAT Corp. 56,900 1,504 * Hearst-Argyle Television Inc. 73,546 1,503 Pittston Brink's Group 75,570 1,502 * Michaels Stores, Inc. 56,664 1,502 Burlington Coat Factory Warehouse Corp. 79,210 1,500 * Cognex Corp. 67,794 1,500 * Mid Atlantic Medical Services, Inc. 75,700 1,500 * Price Communications Corp. 89,126 1,498 * United Rentals, Inc. 111,494 1,498 * Photronics Labs Inc. 63,904 1,498 * 99 Cents Only Stores 54,708 1,498 * Rightchoice Managed Care, Inc. 43,000 1,497 * XOMA Ltd. 153,156 1,493 * PSS World Medical, Inc. 297,700 1,489 * Intersil Holding Corp. 64,861 1,488 * Triad Guaranty, Inc. 44,900 1,487
----- 14 87
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- AK Steel Corp. 169,599 $ 1,484 * Mastec Inc. 74,121 1,482 Westcorp, Inc. 98,697 1,480 Hilb, Rogal and Hamilton Co. 37,100 1,479 New Jersey Resources Corp. 34,200 1,479 Roper Industries Inc. 44,687 1,477 * Loral Space & Communications 463,411 1,477 * Dril-Quip, Inc. 43,200 1,477 * Mediacom Communications Corp. 85,822 1,475 * Young Broadcasting Inc. 43,900 1,470 * Quiksilver, Inc. 75,850 1,470 * Cymer, Inc. 57,100 1,469 Invacare Corp. 42,811 1,466 * Pure Resources, Inc. 72,345 1,465 * Advanced Energy Industries, Inc. 65,100 1,465 * Novavax, Inc. 171,990 1,462 Trinity Industries, Inc. 58,433 1,461 Chelsea GCA Realty, Inc. REIT 39,600 1,460 *(3) Sunrise Assisted Living, Inc. 58,400 1,460 Corus Bankshares Inc. 29,500 1,460 *(3) Next Level Communications, Inc. 128,302 1,459 * Esterline Technologies Corp. 55,590 1,459 * Great Plains Software, Inc. 31,000 1,459 * Vail Resorts Inc. 62,200 1,458 Belden, Inc. 57,400 1,457 * Hot Topic, Inc. 88,600 1,456 Michael Foods Group, Inc. 48,200 1,452 La-Z-Boy Inc. 92,180 1,452 LandAmerica Financial Group, Inc. 35,900 1,452 * Borders Group, Inc. 123,939 1,449 Whitney Holdings 39,886 1,448 Rollins, Inc. 72,150 1,448 Crown Cork & Seal Co., Inc. 194,576 1,447 * Agribrands International, Inc. 27,011 1,445 * Storage Technology Corp. 160,384 1,443 * Shuffle Master, Inc. 90,925 1,443 Potlatch Corp. 42,969 1,442 * Black Box Corp. 29,846 1,442 * Titan Pharmaceuticals, Inc. 40,673 1,439 * Standard Microsystem 70,800 1,434 *(3) Blue Martini Software, Inc. 108,100 1,432 W.R. Berkley Corp. 30,350 1,432 Claire's Stores, Inc. 79,739 1,430 * NRG Energy, Inc. 51,393 1,429 * Iomega Corp. 424,053 1,429 * Digital Lightwave, Inc. 45,070 1,428 * Furniture Brands International Inc. 67,609 1,424 Gables Residential Trust REIT 50,800 1,422 UMB Financial Corp. 38,037 1,422 * Ixia 62,102 1,421 G & K Services, Inc. 50,500 1,420 * Verity, Inc. 59,005 1,420
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Ferro Corp. 61,726 $ 1,420 State Auto Financial Corp. 79,300 1,417 * Plains Resources 67,083 1,417 Trustco Bank 116,159 1,416 * Dendrite International, Inc. 62,831 1,406 S & T Bancorp, Inc. 64,800 1,401 Cooper Cos., Inc. 35,100 1,400 * Lone Star Technologies, Inc. 36,291 1,397 * Ogden Corp. 90,854 1,397 * Corvas International, Inc. 97,100 1,396 *(3) Luminex Corp. 53,492 1,394 * Basin Exploration Inc. 54,600 1,392 * ProBusiness Services, Inc. 52,400 1,392 Thomas & Betts Corp. 85,884 1,390 * Radiant Systems, Inc. 67,800 1,390 * Triarc Cos., Inc. Class A 57,200 1,387 Kaydon Corp. 55,600 1,383 Healthcare Realty Trust Inc. REIT 65,058 1,382 Park National Corp. 15,408 1,382 * Mueller Industries Inc. 51,480 1,380 * Maverick Tube Corp. 60,900 1,378 * Coherent, Inc. 42,394 1,378 * TriPath Imaging, Inc. 157,200 1,376 Bel Fuse, Inc.- Class B 40,350 1,372 * Avid Technology, Inc. 75,000 1,370 * The Titan Corp. 84,286 1,370 * DuPont Photomasks, Inc. 25,885 1,368 RPM Inc. (Ohio) 159,629 1,367 Aptargroup Inc. 46,351 1,362 * Sonic Corp. 58,387 1,361 * BOK Financial Corp. 63,997 1,360 First Citizens BancShares Class A 16,800 1,357 Morrison Management Specialists, Inc. 38,857 1,356 National Service Industries, Inc. 52,802 1,356 Staten Island Bancorp, Inc. 63,445 1,356 * Input/Output, Inc. 133,000 1,355 * Trimeris, Inc. 24,689 1,355 Interstate Bakeries Corp. 96,335 1,355 * Perot Systems Corp. 146,992 1,350 Kennametal, Inc. 46,354 1,350 * DiamondCluster International, Inc. 44,233 1,349 * Station Casinos, Inc. 90,215 1,348 * ITT Educational Services, Inc. 61,200 1,346 * AnnTaylor Stores Corp. 53,927 1,345 Developers Diversified Realty Corp. REIT 101,004 1,345 The Timken Co. 88,771 1,343 * Genuity Inc. 265,043 1,342 Penn Virginia Corp. 40,400 1,341 * The Topps Co., Inc. 145,697 1,339 Briggs & Stratton Corp. 30,159 1,338
----- 15 88
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- * Speedway Motorsports, Inc. 55,743 $ 1,338 Alfa Corp. 72,800 1,338 * Informix Corp. 450,268 1,337 * Coinstar, Inc. 87,500 1,334 * Kulicke & Soffa Industries, Inc. 118,600 1,334 * CommScope, Inc. 80,470 1,333 Atmos Energy Corp. 54,670 1,333 * The InterCept Group, Inc. 49,900 1,332 * SonicWALL, Inc. 81,940 1,332 * Trimble Navigation Ltd. 55,400 1,330 Media General, Inc. Class A 36,518 1,329 Interface, Inc. 152,900 1,328 * Axcelis Technologies, Inc. 149,484 1,327 * Enzo Biochem, Inc. 53,300 1,326 * Littelfuse, Inc. 46,300 1,325 J.B. Hunt Transport Services, Inc. 78,747 1,324 Tecumseh Products Co. Class A 31,524 1,322 * Hollywood Casino Corp. 142,700 1,320 * Ralcorp Holdings, Inc. 80,357 1,316 * Belco Oil & Gas Corp. 105,700 1,315 Georgia Gulf Corp. 76,968 1,313 * Owens-Illinois, Inc. 230,449 1,311 Greif Brothers Corp. Class A 45,900 1,308 * Pre-Paid Legal Services, Inc. 51,300 1,308 * Peco II, Inc. 50,520 1,307 * School Specialty, Inc. 64,955 1,303 * Monsanto Co. 48,141 1,303 Independence Community Bank Corp. 81,703 1,302 * Avis Group Holdings, Inc. 39,970 1,302 * United Stationers, Inc. 54,227 1,301 *(3) CompuCredit Corp. 71,659 1,299 * Numerical Technologies, Inc. 71,903 1,299 * Rainbow Technologies, Inc. 81,800 1,293 * Sipex Corp. 54,000 1,293 HRPT Properties Trust REIT 170,815 1,292 * Imation Corp. 83,300 1,291 * Ingram Micro, Inc. 114,740 1,291 * Ionics, Inc. 45,400 1,288 Helix Technology Corp. 54,400 1,288 * Meridian Gold Co. 187,200 1,287 * Active Power, Inc. 58,655 1,287 * MAXIMUS, Inc. 36,800 1,286 Churchill Downs, Inc. 43,100 1,285 * Adtran, Inc. 60,408 1,284 Methode Electronics, Inc. Class A 55,905 1,282 * Nautica Enterprises, Inc. 84,149 1,282 * AirGate PCS, Inc. 36,100 1,282 * Respironics, Inc. 44,966 1,282 * Offshore Logistics, Inc. 59,400 1,280 * K-V Pharmaceutical Co. Class A 51,125 1,278 * AirTran Holdings, Inc. 176,100 1,277 * Azurix Corp. 155,800 1,276 * Oceaneering International, Inc. 65,590 1,275
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * PAREXEL International Corp. 117,900 $ 1,275 First Financial Holdings, Inc. 64,700 1,274 * ISIS Pharmaceuticals, Inc. 119,826 1,273 * 7-Eleven, Inc. 145,416 1,272 * Syntroleum Corp. 74,800 1,272 * Anixter International Inc. 58,787 1,271 First Bancorp/Puerto Rico 53,750 1,270 * ImmunoGen, Inc. 59,200 1,269 * Charles River Laboratories, Inc. 46,290 1,267 AmerUs Group Co. 39,103 1,266 * Entrust Technologies, Inc. 97,300 1,265 Glenborough Realty Trust, Inc. REIT 72,700 1,263 * Korn/Ferry International 59,390 1,262 * Pixelworks, Inc. 56,359 1,261 Lincoln Electric Holdings 64,248 1,261 * Heidrick & Struggles International, Inc. 29,954 1,260 * Click Commerce, Inc. 60,256 1,258 *(3) Williams Communications Group, Inc. 107,049 1,258 Primex Technologies, Inc. 39,460 1,258 Manitowac Co., Inc. 43,300 1,256 * Pericom Semiconductor Corp. 67,800 1,254 ArvinMeritor, Inc. 110,198 1,254 IDEX Corp. 37,776 1,251 * THQ Inc. 51,300 1,250 * Pharmacopeia, Inc. 57,300 1,250 * Lexicon Genetics Inc. 75,045 1,248 Harbor Florida Bancshares, Inc. 83,479 1,247 OceanFirst Financial Corp. 50,600 1,246 *(3) Caminus Corp. 53,590 1,246 * American Management Systems, Inc. 62,859 1,245 Riggs National Corp. 89,200 1,243 * Cerus Corp. 16,500 1,242 * Maxygen 50,629 1,240 * Eclipsys Corp. 50,600 1,240 Olin Corp. 56,019 1,239 Westbanco Inc. 52,550 1,235 Franklin Electric, Inc. 18,000 1,233 * Cubist Pharmaceuticals, Inc. 42,497 1,232 Spartech Corp. 59,900 1,232 American States Water Co. 33,400 1,232 * Commonwealth Telephone Enterprises, Inc. 35,091 1,228 Irwin Financial Corp. 57,900 1,227 United National Bancorp 63,933 1,227 NUI Corp. 38,100 1,226 * WJ Communications, Inc. 86,050 1,226 Dole Food Co. 74,822 1,225 * Chiles Offshore, Inc. 49,000 1,225 * Safeguard Scientifics, Inc. 184,144 1,220 Longview Fibre Co. 90,276 1,219
----- 16 89
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * IDT Corp. 59,800 $ 1,218 Great American Financial Resources, Inc. 63,632 1,217 * UCAR International, Inc. 124,800 1,217 Prentiss Properties Trust REIT 45,167 1,217 * Capital Corp. of the West 101,200 1,214 * Bright Horizons Family Solutions, Inc. 46,400 1,212 Libbey, Inc. 39,900 1,212 * Electronics for Imaging, Inc. 86,927 1,212 * Varian Semiconductor Equipment Associates, Inc. 50,986 1,211 Kansas City Life Insurance Co. 34,100 1,206 *(3) Efficient Networks, Inc. 90,179 1,206 Ventas, Inc. REIT 214,363 1,206 *(3) Atrix Laboratories, Inc. 70,589 1,204 * MatrixOne, Inc. 66,173 1,204 Harleysville National Corp. 34,664 1,202 * Westport Resources Corp. 54,800 1,202 Longs Drug Stores, Inc. 49,778 1,201 Kelly Services, Inc. Class A 50,791 1,200 Mentor Corp. 61,130 1,192 J. M. Smucker Co. 42,640 1,192 * Novoste Corp. 43,200 1,188 * Sylvan Learning Systems, Inc. 80,200 1,188 * Lanier Worldwide, Inc. 395,114 1,185 * TD Waterhouse Group, Inc. 89,400 1,185 *(3) WebEx Communications, Inc. 56,735 1,184 Pultizer, Inc. 25,266 1,184 * Exelixis, Inc. 80,562 1,178 R.L.I. Corp. 26,325 1,176 * America West Holdings Corp. Class B 91,600 1,174 *(3) Havas Advertising SA ADR 83,024 1,173 *(3) MIPS Technologies, Inc. 43,941 1,173 * Progress Software Corp. 81,100 1,171 Texas Regional Bancshares, Inc. 36,025 1,171 * Kent Electronics Corp. 70,800 1,168 * ABIOMED, Inc. 48,100 1,166 * Packard BioScience Co. 100,042 1,163 United Television, Inc. 10,014 1,162 Texas Industries, Inc. 38,700 1,161 * ANADIGICS, Inc. 70,750 1,159 * Amylin Pharmaceuticals, Inc. 146,800 1,156 * Bio-Rad Laboratories, Inc. Class A 36,353 1,156 * Buckeye Technology, Inc. 82,000 1,153 Phoenix Investment Partners Ltd. 73,393 1,151 * Performance Food Group Co. 22,450 1,151 * Insight Enterprises, Inc. 64,160 1,151 * Alaska Air Group, Inc. 38,684 1,151 * Gulf Island Fabrication, Inc. 63,200 1,149 * Petroleum Helicopters, Inc. 92,000 1,149 * Acacia Research Corp. 64,400 1,147
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Realty Income Corp. REIT 46,100 $ 1,147 * Leap Wireless International, Inc. 45,795 1,145 * Stein Mart, Inc. 98,400 1,144 JLG Industries, Inc. 107,500 1,142 * Del Webb Corp. 38,900 1,138 *(3) Centillium Communications, Inc. 51,110 1,137 * Lands' End, Inc. 45,254 1,137 * PanAmSat Corp. 32,630 1,132 * Bone Care International, Inc. 65,300 1,131 * Dollar Thrifty Automotive Group, Inc. 60,199 1,129 * Kopin Corp. 101,961 1,128 * WatchGuard Technologies, Inc. 35,666 1,128 USFreightways Corp. 37,473 1,127 * Gene Logic Inc. 61,100 1,123 Ruddick Corp. 98,100 1,122 Bandag, Inc. 27,617 1,120 * Zoll Medical Corp. 31,900 1,118 * Philadelphia Consolidated Holding Corp. 36,200 1,118 * Papa John's International, Inc. 50,200 1,117 Kimball International, Inc. Class B 76,800 1,114 * WebTrends Corp. 38,479 1,113 *(3) Luminent, Inc. 184,900 1,112 Roadway Express Inc. 52,458 1,111 * Musicland Stores Corp. 89,400 1,106 * Silicon Graphics, Inc. 276,521 1,106 Baldor Electric Co. 52,340 1,106 Liberty Corp. 27,151 1,105 * Intergraph Corp. 184,040 1,104 * FreeMarkets, Inc. 58,106 1,104 Simmons First National 48,850 1,102 Cooper Tire & Rubber Co. 103,370 1,098 Clarcor Inc. 53,000 1,096 Wellman, Inc. 77,545 1,095 * Lexent Inc. 63,879 1,094 * SeeBeyond Technology Corp. 106,403 1,091 * Gardner Denver Inc. 51,154 1,090 * Phoenix Technologies LTD. 80,802 1,090 * Priority Healthcare Corp. Class A 26,696 1,090 * Yellow Corp. 53,447 1,088 F.N.B. Corp. 51,547 1,082 * Wisconsin Central Transportation Corp. 71,642 1,079 EastGroup Properties, Inc. REIT 48,200 1,078 * Saba Software, Inc. 68,450 1,078 * Boca Resorts, Inc. Class A 74,800 1,075 * IDEXX Laboratories Corp. 48,808 1,074 * Symmetricom Inc. 109,950 1,072 First Sentinel Bancorp Inc. 93,145 1,071 Arnold Industries, Inc. 59,500 1,071 * WMS Industries, Inc. 53,100 1,069 * RadiSys Corp. 41,250 1,067 Regal-Beloit Corp. 62,555 1,067
----- 17 90
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- First Financial Bancorp 62,731 $ 1,066 Mills Corp. REIT 64,300 1,065 Watts Industries Class A 76,700 1,064 Owens & Minor, Inc. Holding Co. 59,950 1,064 * Keane, Inc. 108,962 1,062 * Gadzooks, Inc. 72,000 1,062 * About.Com, Inc. 39,300 1,059 * Mobile Mini, Inc. 46,000 1,058 * The Gymboree Corp. 76,240 1,058 Value Line, Inc. 30,600 1,058 * Siliconix, Inc. 46,982 1,057 * Cell Genesys, Inc. 46,221 1,054 * DSP Group Inc. 50,096 1,054 * Scott Technologies, Inc. 46,900 1,049 * Spherion Corp. 92,729 1,049 * Sterile Recoveries, Inc. 69,300 1,048 * National Processing, Inc. 61,600 1,047 * American Italian Pasta Co. 39,000 1,046 * CacheFlow Inc. 61,273 1,045 * Heartland Express, Inc. 45,792 1,045 Central Parking Corp. 52,200 1,044 * US Oncology, Inc. 165,376 1,044 Chemed Corp. 31,000 1,042 * MICROS Systems, Inc. 57,100 1,042 Worthington Industries, Inc. 129,168 1,041 MeriStar Hospitality Corp. REIT 52,543 1,034 Pan Pacific Retail Properties, Inc. REIT 46,310 1,033 Flagstar Bancorp, Inc. 41,300 1,033 *(3) Eden Bioscience Corp. 34,444 1,031 The Toro Co. 28,100 1,031 * Avant! Corp. 56,100 1,027 AGCO Corp. 84,690 1,027 * Aphton Corp. 57,039 1,027 * Zygo Corp. 36,300 1,027 * Inprise Corp. 185,500 1,026 * CUNO Inc. 38,200 1,024 * Legato Systems, Inc. 137,698 1,024 * Alexander's, Inc. 15,123 1,024 Pitt Des Moines, Inc. 31,100 1,022 * Integrated Silicon Solution, Inc. 71,100 1,022 * Crestline Capital Corp. 39,633 1,021 Taubman Co. REIT 93,300 1,020 Chemical Finance 43,581 1,019 * Kronos, Inc. 32,900 1,018 * SeaChange International, Inc. 50,100 1,018 Centex Construction Products, Inc. 37,200 1,016 * Oak Technology, Inc. 116,700 1,014 * Chico's Fas, Inc. 48,528 1,013 * Energy Conversion Devices, Inc. 49,975 1,012 * Asyst Technologies, Inc. 75,288 1,012 * Allen Telecom Inc. 56,400 1,012 *(3) StorageNetworks, Inc. 40,740 1,011 * ArthroCare Corp. 51,800 1,010
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Southwestern Energy Co. 97,300 $ 1,009 * Alamosa PCS Holdings, Inc. 125,506 1,004 Mine Safety Appliances Co. 39,800 1,000 * Aurora Biosciences Corp. 31,777 999 * Cadiz Inc. 111,700 998 * Kansas City Southern Industries, Inc. 98,585 998 Florida East Coast Industries, Inc.-Class B 29,133 996 First Source Corp. 54,541 995 * Conmed Corp. 58,068 994 * CorVel Corp. 28,700 994 PFF Bancorp, Inc. 47,600 994 * Alliance Pharmaceutical Corp. 115,202 994 Gentek, Inc. 60,157 993 * VISIX Inc. 95,097 993 Dime Community Bancshares 39,300 992 Earthgrains Co. 53,572 991 * Kendle International Inc. 99,700 991 * JNI Corp. 43,620 990 *(3) Plug Power, Inc. 67,370 989 SJW Corp. 9,700 989 * Quaker City Bancorp, Inc. 38,972 989 NBT Bancorp, Inc. 67,593 989 * Maxtor Corp. 176,520 987 * MEMC Electronic Materials, Inc. 101,624 984 * IXYS Corp. 67,050 981 Bowne & Co., Inc. 92,800 980 (3) Tribune Co. PEPS 17,900 980 BancorpSouth, Inc. 80,320 979 * Universal Electronics, Inc. 63,400 979 * Electroglas, Inc. 63,800 977 Bob Evans Farms, Inc. 45,837 977 * Illuminet Holdings, Inc. 42,562 976 Town & Country Trust REIT 50,500 975 * Flowserve Corp. 45,627 975 First Charter Corp. 65,484 974 * Sinclair Broadcast Group, Inc. 97,100 974 National Presto Industries, Inc. 31,737 974 P.H. Glatfelter Co. 78,176 973 * Meritage Corp. 26,300 973 *(3) Martek Biosciences Corp. 79,400 973 Parkway Properties Inc. REIT 32,750 972 * Microtune, Inc. 58,670 972 * Alcide Corp. 33,200 971 * ONYX Software Corp. 88,200 970 * Silgan Holdings, Inc. 107,800 970 * Parker Drilling Co. 191,300 968 * Hutchinson Technology, Inc. 70,400 968 * Pediatrix Medical Group, Inc. 40,200 967 U.S. Industries, Inc. 120,820 967 * Earthlink, Inc. 191,999 966 * Virata Corp. 88,750 965 Southwest Gas Corp. 43,900 960
----- 18 91
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Biotechnology General 135,800 $ 959 CPB, Inc. 34,400 959 * Aware, Inc. 54,000 959 * NCI Building Systems, Inc. 50,900 958 * Organogenesis, Inc. 106,408 957 Minerals Technologies, Inc. 27,971 956 American Greetings Corp. Class A 101,286 956 * Key3Media Group, Inc. 78,400 956 Storage USA, Inc. REIT 30,067 955 * Presstek, Inc 90,900 954 * MIPS Technologies, Inc. Class B 37,409 953 * Regeneration Technologies, Inc. 66,850 953 * Thermo Cardiosystems Inc. 108,850 952 *(3) The Yankee Candle Company, Inc. 86,092 952 * Playtex Products, Inc. 98,817 951 * Genrad, Inc. 94,988 950 Federal Realty Investment Trust REIT 49,922 949 * Support.com, Inc. 46,828 948 * PICO Holdings, Inc. 76,020 945 Pioneer Standard Electronics Inc. 85,800 944 Andover Bancorp, Inc. 27,400 944 * KCS Energy, Inc. 231,500 940 * Artesyn Technologies, Inc. 59,197 940 Arch Chemicals, Inc. 52,750 936 RPC Inc. 64,500 935 *(3) Penwest Pharmaceuticals Co. 72,236 935 * OmniSky Corp. 112,236 933 *(3) SCM Microsystems,Inc. 28,177 930 * Microtouch Systems, Inc. 44,499 930 * Nuevo Energy Co. 53,600 928 * Magellan Health Services, Inc. 209,000 927 * NVR, Inc. 7,500 927 The South Financial Group, Inc. 69,900 926 Commerce Group, Inc. 34,026 925 Home Properties of New York, Inc. REIT 33,100 925 * Choice Hotel International, Inc. 67,441 923 (3) Advanta Corp. Class A 104,639 922 Lindsay Manufacturing Co. 40,737 922 * McMoRan Exploration Co. 69,551 922 * Elantec Semiconductor, Inc. 33,188 921 Anchor Bancorp Wisconsin Inc. 57,500 920 * The Neiman Marcus Group, Inc. Class B 27,740 919 K-Swiss, Inc. 36,700 918 National Golf Properties, Inc. REIT 44,600 917 * Palm Harbor Homes, Inc. 58,100 915 Hancock Holding Co. 23,900 914 * LTX Corp. 70,561 914 LNR Property Corp. 41,500 913 * SuperGen, Inc. 65,800 913
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Alliance Semiconductor Corp. 80,556 $ 911 * Sybron Dental Specialties, Inc. 53,840 909 * Orapharma Inc. 68,500 908 * Network Associates, Inc. 216,458 906 The Trust Co. of New Jersey 72,100 906 * Midway Games Inc. 127,566 906 *(3) Rite Aid Corp. 379,243 901 * AXYS Pharmaceuticals, Inc. 159,945 900 * Avigen, Inc. 43,300 898 * Water Pik Technologies, Inc. 128,174 897 Redwood Trust, Inc. REIT 50,500 896 McDermott International, Inc. 83,380 896 NACCO Industries, Inc. Class A 20,516 896 * ITC DeltaCom, Inc. 166,000 895 * DigitalThink, Inc. 52,282 892 * Digital Insight Corp. 49,260 890 * Gaylord Entertainment Co. Class A 42,617 890 * InFocus Corp. 60,204 888 *(3) Echelon Corp. 55,237 887 * PLATO Learning, Inc. 58,900 887 * Right Management Consultants 56,300 887 NYMAGIC, Inc. 46,900 885 * bebe stores, inc. 41,100 879 Omega Financial Corp. 32,512 878 * Applied Innovation Inc. 102,200 875 * Pinnacle Entertainment, Inc. 64,700 873 * ATMI, Inc. 44,743 872 Wallace Computer Services, Inc. 51,224 871 *(3) Geron Corp. 56,400 871 AREA Bancshares Corp. 52,717 870 * Il Fornaio (America) Corp. 66,900 870 CNA Surety Corp. 60,990 869 * XTRA Corp. 18,100 869 E.W. Blanch Holdings, Inc. 49,700 867 * National Western Life Insurance Co. Class A 8,400 866 * National Dentex Corp. 44,100 865 Koger Equity, Inc. REIT 55,600 865 * XM Satellite Radio Holdings, Inc. 53,787 864 Alliance Bancorp Inc. 37,499 862 Wabtec Corp. 73,338 862 Enhance Financial Services Group, Inc. 55,800 861 Lawrence Savings Bank 82,000 861 * Kaneb Services, Inc. 146,316 860 * California Pizza Kitchen, Inc. 30,400 859 * OTG Software, Inc. 53,200 859 * Forward Air Corp. 23,011 859 Middlesex Water Co. 25,400 857 CPI Corp. 42,800 856 * Remedy Corp. 51,663 856 *(3) Antigenics, Inc. 77,189 854
----- 19 92
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- Strayer Education, Inc. 33,400 $ 854 F & M Bancorp 41,393 854 * Credit Acceptance Corp. 142,200 853 Movado Group, Inc. 55,800 851 Sun Communities, Inc. REIT 25,400 851 * RCN Corp. 134,752 851 * Pacificare Health Systems, Inc. 56,661 850 H.B. Fuller Co. 21,458 847 Susquehanna Bancshares, Inc. 51,275 846 * Factory 2-U Stores Inc. 25,500 845 * Digex, Inc. 37,460 843 * Rayovac Corp. 59,400 843 * Too Inc. 67,391 842 Tremont Corp. 26,346 841 Sovran Self Storage, Inc. REIT 42,200 839 * Valence Technology 89,900 837 * Aztar Corp. 64,700 837 TF Financial Corp. 49,900 836 Amcore Financial 40,400 836 * VerticalNet, Inc. 125,350 834 Mid Atlantic Realty Trust REIT 68,250 832 JP Realty Inc. REIT 52,800 832 * IKOS Systems, Inc. 93,700 832 *(3) GenesisIntermedia.com, Inc. 48,500 831 Farmer Brothers, Inc. 4,000 830 Curtiss-Wright Corp. 17,800 828 John H. Harland Co. 58,587 828 * Checkpoint Systems, Inc. 111,174 827 * Boston Beer Co., Inc. Class A 93,800 827 * Read Rite Corp. 205,031 827 Elcor Corp. 48,950 826 * MemberWorks, Inc. 38,800 825 Standard Commercial Tobacco Co. 120,971 824 Thomas Nelson, Inc. 117,350 821 Berry Petroleum Class A 61,300 820 *(3) Optical Cable Corp. 90,450 820 UIL Holdings Corporation 16,400 816 Brown Shoe Company, Inc. 62,715 815 * Insignia Financial Group, Inc. 68,500 813 * Centennial Bancorp 92,907 813 X-Rite Inc. 104,000 813 * Tumbleweed Communications Corp. 47,410 811 * Power Integrations, Inc. 70,400 810 *(3) Niku Corp. 110,680 809 * Bottomline Technologies, Inc. 31,500 809 * Avatar Holding, Inc. 38,300 809 * Fossil, Inc. 55,850 809 MacDermid, Inc. 42,531 808 * Witness Systems, Inc. 59,800 807 * Trammell Crow Co. 59,800 807 Rollins Truck Leasing 100,800 806 * Hyperion Solutions Corp. 52,135 805
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Landauer, Inc. 44,100 $ 805 Watsco, Inc. 69,800 804 Dover Downs Entertainment, Inc. 71,800 803 * Spectra-Physics Lasers, Inc. 31,811 803 Wausau-Mosinee Paper Corp. 79,182 802 * Syntellect Inc. 220,700 800 * Petrocorp, Inc. 82,478 799 * Playboy Enterprises, Inc. Class B 80,400 799 * Foamex International, Inc. 148,200 797 * Ryan's Family Steak Houses, Inc. 84,115 794 Bangor Hydro-Electric Co. 30,800 791 * Project Software & Development, Inc. 73,700 791 Arrow Financial Corp. 40,796 790 A. Schulman Inc. 68,693 790 Schweitzer-Mauduit International, Inc. 41,237 790 Sealed Air Corp. 24,451 789 * Gartner Group, Inc. Class A 114,400 789 * Packeteer, Inc. 63,769 789 U.S.B. Holding Co., Inc. 62,615 787 * Vicorp Restaurants, Inc. 44,148 784 Atlanta Sosnoff Capital 71,100 782 CVB Financial Corp. 45,900 780 Coachmen Industries, Inc. 74,296 780 Glimcher Realty Trust REIT 62,100 776 * Illumina, Inc. 48,254 775 Thor Industries, Inc. 39,200 774 Spiegel, Inc. Class A 179,460 774 Independent Bank Corp. 61,900 774 The Macerich Co. REIT 40,325 774 *(3) Sangamo BioSciences, Inc. 39,666 773 NTELOS Inc. 43,800 772 * PRI Automation, Inc. 41,126 771 * SignalSoft Corp. 78,520 770 * Therma-Wave Inc. 55,000 770 Modine Manufacturing Co. 36,997 768 * Tollgrade Communications, Inc. 20,993 766 Associated Estates Realty Corp. REIT 94,900 765 * Ventana Medical Systems, Inc. 41,200 762 * Radio One, Inc. Class D 69,100 760 * ABC-NACO, Inc. 125,300 760 * Durect Corp. 63,300 760 * Provident Financial Holdings, Inc. 37,500 759 Airborne, Inc. 77,759 758 Regis Corp. 52,191 757 Fleetwood Enterprises, Inc. 71,674 753 * Beverly Enterprises, Inc. 91,879 752 * Photon Dynamics, Inc. 33,400 752 * Boron, LePore & Associates, Inc. 71,500 751 * WetSeal, Inc. Class A 36,500 751 Republic Security Financial Corp. 103,968 751 JDN Realty Corp. REIT 71,050 750
----- 20 93
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- Wabash National Corp. 86,950 $ 750 Empire District Electric Co. 28,500 750 * Tejon Ranch Co. 38,900 748 *(3) Hovnanian Enterprises Class A 79,650 747 * IHOP Corp. 34,400 746 * Battle Mountain Gold Co. Class A 441,999 746 Cato Corp. Class A 54,200 745 * FSI International, Inc. 88,900 745 Tredegar Corp. 42,695 744 * Brooks Automation, Inc. 26,514 744 MTS Systems Corp. 102,580 744 * C-Cube Microsystems Inc. 60,105 740 *(3) EntreMed, Inc. 42,900 740 Tanger Factory Outlet Centers, Inc. REIT 32,411 739 *(3) Orchid Biosciences 52,807 739 *(3) Mpower Communications Corp. 144,177 739 Fleming Cos., Inc. 62,539 739 Northwest Bancorp, Inc. 81,500 739 * The Boyds Collection, Ltd. 79,300 738 * Mortons Restaurant Group 34,744 738 * Sonic Automotive, Inc. 107,100 736 * ViroPharma Inc. 50,800 736 * DVI, Inc. 43,000 734 LSI Industries Inc. 35,818 732 * QRS Corp. 57,000 730 * Valuevision International, Inc. Class A 57,774 729 * OraSure Technologies, Inc. 88,400 729 * U.S. Vision, Inc. 175,300 729 * SilverStream Software, Inc. 35,255 727 Riviana Foods, Inc. 37,000 726 * Ocwen Financial Corp. 113,700 725 * CDI Corp. 49,500 724 * Sequenom, Inc. 51,630 723 Zenith National Insurance Corp. 24,600 723 Medford Bancorp, Inc. 46,598 722 UniSource Energy Corp. 38,380 722 * USinternetworking, Inc. 143,380 717 * Curative Health Services Inc. 128,800 716 * Management Network Group Inc. 60,300 716 CB Bancshares Inc./Hawaii 27,600 716 Quaker Chemical Corp. 37,900 713 * Drexler Technology Corp. 51,589 713 * Strattec Security Corp. 22,905 710 Commercial Metals Co. 31,900 710 Sauer-Danfoss, Inc. 75,700 710 * Ditech Communications Corp. 44,170 709 * BindView Development Corp. 75,400 709 * Charming Shoppes, Inc. 118,079 708 Connecticut Water Services, Inc. 23,100 707 MutualFirst Financial Inc. 47,853 706 Milacron Inc. 43,785 703
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * The Medicines Co. 34,250 $ 702 * Unifi, Inc. 78,535 702 SLI, Inc. 108,850 701 * Hoenig Group, Inc. 64,400 700 * Travelocity.com Inc. 57,600 698 *(3) IGEN International, Inc. 56,700 698 * Datastream Systems, Inc. 71,600 698 Wolverine World Wide, Inc. 45,770 698 Presidential Life Corp. 46,700 698 * Consolidated Graphics, Inc. 58,300 696 Heritage Financial Corp. 68,200 695 * Xircom, Inc. 44,748 694 Provident Bankshares Corp. 33,190 693 Russell Corp. 44,856 692 ABM Industries 22,600 692 * MedQuist, Inc. 43,256 692 First Commonwealth Financial Corp. 69,200 692 * Frontline Capital Group 52,000 691 *(3) Alliance Gaming Corp. 78,200 689 Granite State Bankshares, Inc. 34,700 689 St. Francis Capital Corp. 52,500 689 Flushing Financial Corp. 38,400 689 * Audiovox Corp. 76,525 689 Nationwide Health Properties, Inc. REIT 53,300 686 Jefferson Savings Bancorp, Inc. 45,500 683 The Stride Rite Corp. 97,426 682 F & M National Corp. 26,100 682 * The Buckle, Inc. 38,800 681 Fremont General Corp. 241,994 681 * hi/fn, inc. 24,743 680 * Genzyme Molecular Oncology 73,831 678 Midas Inc. 56,820 678 Coca-Cola Bottling Co. 17,900 678 * Pinnacle Holdings Inc. REIT 74,785 678 * Mesa Air Group Inc. 96,700 677 * Service Corp. International 386,661 677 *(3) The Children's Place Retail Stores, Inc. 33,400 676 * LCC International, Inc. Class A 62,100 675 Walter Industries, Inc. 89,800 674 *(3) Revlon, Inc. Class A 135,700 673 Annaly Mortgage Management Inc. REIT 74,200 672 * Aerosonic Corp. 66,300 671 * Diametrics Medical, Inc. 113,000 671 * The Kroll-O'Gara Co. 111,800 671 *(3) Novatel Wireless, Inc. 54,200 671 NCH Corp. 17,600 669 * URS Corp. 45,500 668 * Remec, Inc. 69,314 667 * EMS Technologies, Inc. 57,386 667 * Florida Banks, Inc. 125,500 667
----- 21 94
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- * Friede Goldman Halter, Inc. 186,675 $ 665 * Identix, Inc. 84,600 664 * Insurance Auto Auctions, Inc. 55,300 664 The Standard Register Co. 46,547 663 * IntraBiotics Pharmaceuticals, Inc. 68,900 663 * InKine Pharmaceutical Company, Inc. 89,900 663 Seacoast Banking Corp. of Florida Class A 25,000 663 First International Bancorp, Inc. 100,900 662 Corporate Office Properties Trust, Inc. REIT 66,600 662 AAR Corp. 52,400 662 * World Acceptance Corp. 120,100 661 Casey's General Stores 44,200 660 Holly Corp. 35,200 660 * Secure Computing Corp. 66,700 659 L. S. Starrett Co. Class A 28,000 658 Summit Bancshares, Inc. 30,300 657 *(3) MP3.com, Inc. 182,700 657 California Independent Bancorp 34,466 655 * Edgewater Technology, Inc. 100,500 653 Otter Tail Power Co. 23,504 652 * Handleman Co. 86,761 651 * PC-Tel, Inc. 60,500 650 * Citadel Communications Corp. 54,175 650 * InterVoice-Brite, Inc. 89,188 647 Alico, Inc. 39,100 645 * Aspect Communications Corp. 80,138 645 Madison Gas & Electric Co. 28,500 645 * Concurrent Computer Corp. 119,800 644 * ePlus Inc. 56,600 644 * CenterSpan Communications Corp. 57,500 643 * Focal Communications Corp. 91,750 642 * Aclara Biosciences, Inc. 58,932 641 * Department 56 Inc. 55,695 640 * Nanogen, Inc. 71,000 639 * Manufacturers' Services Limited 96,200 637 * Broadbase Software Inc. 101,916 637 * Hyseq, Inc. 44,200 635 * Metasolv Software, Inc. 69,546 635 * Theragenics Corp. 126,884 634 *(3) H Power Corp. 82,321 633 Gorman-Rupp Co. 35,125 632 * Giant Industries, Inc. 86,400 632 International Multifoods Corp. 31,081 631 Crawford & Co. Class B 54,300 631 * Aurora Foods Inc. 258,300 630 * Volt Information Sciences Inc. 30,300 629 * NetRatings, Inc. 42,790 628 * NYFIX, Inc. 25,958 628 * o2wireless Solutions, Inc. 67,400 628 * Glenayre Technologies, Inc. 176,825 624
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Auspex Systems, Inc. 89,200 $ 624 ChemFirst Inc. 28,300 624 Consolidated-Tomoka Land Co. 52,500 623 Chesapeake Corp. of Virginia 30,317 623 * General Semiconductor, Inc. 99,689 623 * Royal Appliance Manufacturing Co. 155,586 622 * International Specialty Products, Inc. 93,025 622 * Sonus Networks, Inc. 24,625 622 * Sequa Corp. Class A 17,034 620 Westpoint Stevens, Inc. 82,691 619 * Ventiv Health, Inc. 49,249 619 Crown American Realty Trust REIT 116,300 618 * Berlitz International, Inc. 76,627 618 * Data Broadcasting Corp. 176,400 617 * Aspect Medical Systems, Inc. 71,564 617 * Aksys, Ltd. 37,300 615 *(3) Cytoclonal Pharmaceutics Inc. 83,400 615 * Stratus Properties, Inc. 123,000 615 Allen Organ Co. 11,600 615 Atlantic Tele-Network, Inc. 60,720 615 *(3) VA Linux Systems, Inc. 75,628 614 McGrath Rent Corp. 31,700 614 * Todd Shipyards Corp. 94,447 614 * Jones Lang Lasalle Inc. 44,200 613 * United Capital Corp. 41,900 613 Massbank Corp. 20,900 611 * SpeedFam-IPEC, Inc. 100,792 611 National City Bancorporation 36,940 610 * Nortek, Inc. 25,700 609 * Cambridge Technology Partners 231,800 608 Southwest Bancorp, Inc. 36,700 606 * UbiquiTel Inc. 109,900 604 Community Trust Bancorp Inc. 40,605 604 * Miravant Medical Technology 65,000 603 Kilroy Realty Corp. REIT 21,100 603 Columbia Bancorp 54,400 600 Lennox International Inc. 77,330 599 Inter-Tel, Inc. 77,900 599 First Place Financial Corp. 54,395 598 * XCare.net, Inc. 116,600 598 * Kaiser Aluminum & Chemical Corp. 162,000 597 * Intermedia Communications Inc. 83,100 597 BSB Bancorp, Inc. 45,332 597 * Hexcel Corp. 66,800 597 * TTM Technologies, Inc. 42,034 596 Myers Industries, Inc. 41,115 596 * Urocor, Inc. 67,900 594 * Advanced Tissue Sciences Inc. 195,858 594 * Diacrin, Inc. 118,700 594 * Allscripts, Inc. 63,508 593
----- 22 95
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Kensey Nash Corp. 58,600 $ 593 * NextCard, Inc. 74,115 593 * Satcon Technology Corp. 59,893 591 FBL Financial Group, Inc. Class A 33,913 591 Getty Realty Holding Corp. 39,000 590 * MeriStar Hotels & Resorts, Inc. REIT 224,600 590 * Pathmark Stores, Inc. 35,700 589 * Lantronix, Inc. 92,350 589 * EEX Corp. 120,613 588 * Dave & Busters 53,232 586 Newmil Bancorp, Inc. 55,400 585 * Three-Five Systems, Inc. 32,300 581 * Modis Professional Services Inc. 140,919 581 Phillips-Van Heusen Corp. 44,700 581 * American Classic Voyager Co. 41,500 581 *(3) Inrange Technologies Corp. 34,300 581 * Dyax Corp. 27,360 580 * Stoneridge,Inc. 85,900 580 * Nu Horizons Electronics Corp. 64,852 580 Fidelity Bancorp, Inc. 30,800 578 * MKS Instruments, Inc. 37,227 577 * Clarent Corp. 50,983 577 * FirePond, Inc. 60,975 575 * Cygnus Inc. 117,912 575 * Syntel, Inc. 99,850 574 * Silicon Image, Inc. 105,470 573 * Davox Corp. 58,800 573 Pacific Northwest Bancorp 41,500 573 (3) First South Bancorp, Inc. 24,750 573 Health Care REIT, Inc. 35,200 572 *(3) Procom Technology, Inc. 44,100 572 * SONICblue Inc. 138,601 572 First Financial Corp.-Indiana 17,900 572 * Keynote Systems Inc. 40,237 571 Horizon Financial Corp. 47,998 570 * Schuler Homes Inc. 63,300 570 * Progenics Pharmaceuticals, Inc. 32,900 568 * Structural Dynamics Research Corp. 56,750 568 Met-Pro Corp. 55,047 567 Oregon Trail Financial Corp. 41,200 567 * HotJobs.com Ltd. 49,500 566 * Interdigital Communications Corp. 104,664 566 Caraustar Industries, Inc. 60,200 564 United Mobile Homes, Inc. REIT 59,400 564 Stepan Co. 23,800 564 * Clintrials Research, Inc. 108,100 561 * Navigators Group, Inc. 42,000 559 * Neon Communications, Inc. 86,000 559 *(3) MicroStrategy Inc. 58,700 558 USEC Inc. 129,200 557 * ESS Technology, Inc. 108,660 557
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Bell & Howell Co. 33,745 $ 557 Ampco-Pittsburgh Corp. 46,335 556 * Micron Electronics, Inc. 141,796 554 * Natural Microsystems Corp. 56,056 554 Foster Wheeler Corp. 105,426 553 * Net.B@nk, Inc. 84,300 553 * Wesco International, Inc. 76,200 552 Cubic Corp. 21,500 552 United Dominion Industries Ltd. 45,300 552 * Netro Corp. 79,459 551 * Electric Fuel Corp. 117,500 551 * Docent, Inc. 62,897 550 * Pinnacle Systems, Inc. 74,600 550 * Numerex Corp. 66,600 549 Blair Corp. 29,500 549 * Merix Corp. 41,050 549 World Fuel Services Corp. 78,261 548 HEICO Corp. 35,008 547 *(3) Western Multiplex Corporation 79,543 547 *(3) New Focus, Inc. 15,692 545 * The Dress Barn, Inc. 18,800 545 * NBTY, Inc. 114,700 545 * Steel Dynamics, Inc. 49,500 545 * Tower Automotive, Inc. 60,500 545 * QuickLogic Corp. 78,300 543 * The TriZetto Group, Inc. 32,500 542 * Shoe Carnival, Inc. 79,600 542 * Sunburst Hospitality Corp. 74,713 542 * Osicom Technologies, Inc. 33,712 541 * Danielson Holdings Corp. 118,100 539 *(3) Momentum Business Applications, Inc. 50,988 537 *(3) Viatel, Inc. 144,154 536 * Benihana Inc. Class A 47,100 536 * Applica Inc. 109,899 536 Mueller (Paul) Co. 20,000 535 * Federal Agricultural Mortgage Corp. Class A 29,100 535 Fedders Corp. 115,445 534 Trenwick Group Ltd 21,500 533 Springs Industries Inc. Class A 16,439 533 Alamo Group, Inc. 40,800 533 * CardioDynamics International Corp. 154,900 532 * Embrex, Inc. 34,600 532 * Comcast Corp. Class A 12,860 531 Merchants Bancshares, Inc. 21,900 531 * Advanced Lighting Technologies, Inc. 80,100 531 * Griffin Land & Nurseries, Inc. 46,100 530 AXA Financial, Inc. 9,481 530 Virco Manufacturing Corp. 54,218 529 * Sola International Inc. 128,000 528 * GoTo.com, Inc. 72,203 528
----- 23 96
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- * Activision, Inc. 34,900 $ 528 HF Financial Corp. 52,750 528 * Perrigo Co. 63,645 527 Ryerson Tull, Inc. 63,595 525 * Sunglass Hut International, Inc. 102,226 524 Sizzlers Property Investors, Inc. REIT 75,000 520 * Rosetta Inpharmatics,Inc. 32,511 520 * Casella Waste Systems, Inc. 59,800 520 Cabot Industrial Trust REIT 27,043 519 WSFS Financial Corp. 40,300 519 Barnes Group, Inc. 26,100 519 * S&K Famous Brands Inc. 76,600 517 * Greka Energy Corp. 38,287 517 Bush Industries, Inc. 44,383 516 * NS Group Inc. 54,400 514 *(3) Metricom 50,829 511 * Harmonic, Inc. 89,611 510 * Material Sciences Corp. 66,250 509 * Autotote Corp. 172,200 508 * Wiser Oil Co. 96,500 507 * Viewpoint Corp. 92,825 505 Vesta Insurance Group, Inc. 98,400 504 * Digitas Inc. 99,099 502 Bassett Furniture Industries, Inc. 44,563 501 Bryn Mawr Bank Corp. 23,700 501 * Expedia Inc. 52,231 499 * Zebra Technologies Corp. Class B 12,240 499 * Sanchez Computer Associates, Inc. 60,420 498 IKON Office Solutions, Inc. 198,497 496 * Wyndham International, Inc. Class A 282,976 495 Resource Bancshares Mortgage Group, Inc. 70,100 495 * Transaction Systems Architects, Inc. 42,806 495 * Integrated Electrical Services, Inc. 83,100 493 Tech/Ops Sevcon, Inc. 54,800 493 * Multex.com Inc. 37,200 493 * Adolor Corp. 22,400 493 Blockbuster Inc. Class A 58,800 492 * iGATE Capital Corp. 171,200 492 GenCorp, Inc. 51,100 492 *(3) Sonosite, Inc. 38,479 491 * Metawave Communications Corp. 53,557 489 Ameron International Corp. 13,100 488 * Lynx Therapeutics Inc. 54,126 487 (3) Howell Corp. 39,500 486 * Copper Mountain Networks, Inc. 82,334 486 * infoUSA Inc. 144,032 486 * Collins & Aikman Corp. 115,900 485 * C-COR Electronics, Inc. 49,900 485
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- State Financial Services Corp. Class A 57,469 $ 485 * Hector Communications Corp. 45,900 485 * First Consulting Group, Inc. 102,016 485 Great Southern Bancorp, Inc. 31,000 484 *(3) Inforte Corp. 35,211 484 * Mapics Inc. 96,400 482 * Sciclone Pharmaceuticals 120,300 481 * Antec Corp. 60,797 481 First Union Real Estate REIT 187,320 480 * Jupiter Media Metrix, Inc. 51,463 479 Meridian Diagnostics, Inc. 97,029 479 * Meditrust Corp. 186,339 477 * 3 Dimensional Pharmaceuticals 32,205 477 * BE Avionics Inc. 29,800 477 * New Era of Networks, Inc. 81,157 477 CIRCOR International, Inc. 47,650 477 Century Bancorp, Inc. Class A 32,400 476 *(3) Airnet Communications Corp. 70,344 475 * Prime Hospitality Corp. 40,800 474 * Waste Connections, Inc. 14,300 473 * eLoyalty Corp. 72,887 471 * Startek, Inc. 30,600 470 *(3) World Access, Inc. 195,361 470 *(3) Intuitive Surgical, Inc. 55,300 470 * OfficeMax, Inc. 163,450 470 * Uniroyal Technology Corp. 75,186 470 J. Baker, Inc. 104,291 469 * RMH Teleservices, Inc. 50,700 469 * United Therapeutics Corp. 31,769 469 * TransMontaigne Inc. 170,300 468 * Argonaut Technologies Inc. 55,000 468 * Viacom Inc. Class A 9,906 466 The Marcus Corp. 33,500 465 * S1 Corp. 88,520 465 * iManage, Inc. 101,501 463 * Candela Corp. 88,050 462 * Equinix, Inc. 105,469 461 * NPC International Class A 42,600 461 * Motient Corp. 115,100 460 Lance, Inc. 36,351 460 * Bluestone Software Inc. 30,300 458 * American Axle & Manufacturing Holdings, Inc. 57,696 458 FirstSpartan Financial Corp. 12,500 458 Pilgrim's Pride Corp. 58,600 458 * Endo Pharmaceuticals Holdings, Inc. 76,200 457 SJNB Financial Corp. 12,500 456 * ZixIt Corp. 51,978 455 * Airgas, Inc. 66,620 454 * Impco Technologies Inc. 37,800 454 * Superior Consultant Holdings Corp. 164,600 453
----- 24 97
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Syms Corp. 98,249 $ 448 Coastal Bancorp, Inc. 18,600 446 * Duramed Pharmaceuticals, Inc. 133,400 446 * Arena Pharmaceuticals, Inc. 28,720 445 * Wave Systems Corp. 98,840 445 IRT Property Co. REIT 54,700 444 RFS Hotel Investors, Inc. REIT 34,000 444 Winston Hotels, Inc. REIT 62,300 444 * The IT Group, Inc. 88,685 443 * Rohn Industries Inc. 116,300 443 * Charles River Associates Inc. 42,900 442 * Ampal-American Israel Corp. 72,800 441 Central Vermont Public Service Corp. 36,200 441 * Roy F. Weston, Inc. 98,000 441 EDO Corp. 59,700 440 * SITEL Corp. 153,000 440 * PharmaNetics, Inc. 37,400 439 * Clark/Bardes Holdings, Inc. 43,400 439 * Acmat Corp. Class A 61,500 438 *(3) Oxigene, Inc. 74,439 437 * Ciphergen Biosystems, Inc. 32,985 437 * Mechanical Technology Inc. 124,835 437 * World Wrestling Federation Entertainment, Inc. 27,296 437 * Ceres Group, Inc. 72,600 436 Ambanc Holding Co., Inc. 26,600 436 Gerber Scientific, Inc. 50,700 434 * Deltagen, Inc. 41,433 432 * Choice One Communications Inc. 46,432 432 * California Amplifier, Inc. 46,660 432 * Proton Energy Systems, Inc. 40,940 430 * Daisytek International Corp. 62,500 430 * Cole National Corp. Class A 49,800 430 * eSPEED, Inc. 27,380 430 * Mail-Well, Inc. 99,500 429 * UNOVA, Inc. 118,238 429 * dELiA*s 304,772 429 * Curis, Inc. 48,200 428 Commercial Net Lease Realty REIT 41,900 427 * Wackenhut Corp. 31,592 426 PolyOne Corp. 72,372 425 * Value City Department Stores, Inc. 80,800 424 * The Profit Recovery Group International, Inc. 66,400 423 * SpaceLabs Medical, Inc. 32,539 423 * Tripath Technology Inc. 29,550 423 Superior Industries International, Inc. 13,323 421 * Amerco, Inc. 21,400 420 * Digital Island Inc. 103,350 420
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- A.O. Smith Corp. 24,600 $ 420 * PETsMART, Inc. 145,952 420 Innkeepers USA Trust REIT 37,900 419 *(3) Silicon Laboratories Inc. 29,070 418 * Intertrust Technologies Corp. 122,755 414 * Labor Ready, Inc. 124,150 411 * ClickAction, Inc. 74,700 411 * AVT Corp. 82,500 410 * Franklin Electronic Publishers, Inc. 88,500 409 * ACTV, Inc. 96,160 409 United Wisconsin Services, Inc. 120,400 406 * Zomax Inc. 89,000 406 * W.R. Grace & Co. 127,018 405 * Signal Technology Corp. 40,453 405 * PriceSmart, Inc. 12,300 404 *(3) Handspring, Inc. 10,383 404 * Ciber, Inc. 82,700 403 * Centra Software, Inc. 103,762 402 * Beasley Broadcast Group, Inc. 48,300 401 The Ackerley Group, Inc. 44,600 401 * Intelidata Technologies Corp. 154,600 401 *(3) Covad Communications Group, Inc. 241,759 400 Donnelly Corp. 30,325 400 * MGI Pharma, Inc. 24,200 399 * PC Connection, Inc. 38,442 399 * Ace Cash Express, Inc. 36,750 397 * Genzyme Corp.-Genzyme Biosurgery 45,648 397 * Friendly Ice Cream Corp. 192,100 396 * Resonate Inc. 41,694 396 Cascade Bancorp 29,315 396 Oneida Ltd. 21,300 395 * Concord Communications, Inc. 45,100 395 * Western Digital Corp. 161,736 394 *(3) Applied Molecular Evolution 23,100 394 Three Rivers Bancorp, Inc. 47,700 394 * Terayon Communications Systems, Inc. 96,737 393 * Information Management Associates, Inc. 89,700 392 * Jacobson Stores Inc. 116,200 392 Humphrey Hospitality Trust, Inc. REIT 55,500 392 Analysts International Corp. 102,600 391 * Hawthorne Financial Corp. 27,200 391 * Clarus Corp. 55,847 391 * Midwest Express Holdings, Inc. 26,500 389 * Information Resources, Inc. 117,135 388 * ITXC Corp. 55,683 386 * CSK Auto Corp. 99,500 386 * Immune Response 146,817 385 * Dura Automotive Systems, Inc. 73,379 385
----- 25 98
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- * Encompass Services Corp. 76,040 $ 385 * Brightpoint, Inc. 109,500 383 * K2 Inc. 47,762 382 * Telular Corp. 75,450 382 * Ramtron International Corp. 87,300 382 * Pegasus Solutions Inc. 54,950 381 * SkillSoft Corp. 20,300 381 * Adelphia Business Solutions, Inc. 89,400 380 * Proxicom, Inc. 91,792 379 * Thermo Fibertek, Inc. 110,125 379 * Trans World Entertainment Corp. 42,300 378 * The Good Guys, Inc. 125,900 378 * Berkshire Hathaway Inc. Class B 160 377 * Entegris Inc. 50,314 377 * UICI 63,400 376 * Group 1 Automotive, Inc. 40,000 375 * BankUnited Financial Corp. 44,100 375 *(3) Large Scale Biology Corp. 39,400 374 * Matria Healthcare, Inc. 38,875 374 * Network Peripherals, Inc. 58,060 374 * Preview Systems, Inc. 119,580 374 HMN Financial, Inc. 28,550 373 (3) Federal-Mogul Corp. 160,791 372 Wolohan Lumber Co. 34,578 372 * Cysive, Inc. 90,000 371 * Chalone Wine Group Ltd. 45,340 371 * Scient Corp. 114,145 371 * Billing Concepts Corp. 185,328 371 * Variagenics, Inc. 31,200 370 * Lifeline Systems, Inc. 29,300 370 Southern Peru Copper Corp. 28,600 368 Green Mountain Power Corp. 29,400 368 Puerto Rican Cement Co., Inc. 12,400 366 Amcast Industrial Corp. 36,796 366 * Advanced Polymer Systems 153,900 366 Conoco Inc. Class A 12,700 364 * Copart, Inc. 16,898 363 * Versata, Inc. 40,622 363 * Lifecore Biomedical Inc. 78,300 362 Santander BanCorp 18,810 362 * Baldwin Technology Class A 241,300 362 * Complete Business Solutions, Inc. 35,000 361 * Old Dominion Freight Line, Inc. 37,915 360 * Guess ?, Inc. 67,727 360 * MarchFirst, Inc. 239,641 359 Tenneco Automotive, Inc. 119,692 359 Thornburg Mortgage, Inc. 39,500 358 * Tyler Technologies, Inc. 211,900 358 Herbalife International Class A 46,800 357 * AT&T Latin America Corp.-Class A 129,540 356 * Xicor, Inc. 105,500 356 * Texas Biotechnology Corp. 41,300 355 Ziegler Cos., Inc. 21,500 355
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Radio One, Inc. 33,150 $ 354 * All American Semiconductor, Inc. 39,340 354 * PRWW, Ltd. 46,400 354 * Deltek Systems, Inc. 83,200 354 * Lazare Kaplan International, Inc. 69,800 353 * Pharmacyclics, Inc. 10,294 353 General Cable Corp. 79,350 352 Landry's Seafood Restaurants, Inc. 35,400 352 * Tuesday Morning Corp. 66,200 352 Peoples Holding Co. 19,500 351 * ANC Rental Corp. 100,244 351 Maine Public Service Co. 13,300 351 * ChipPAC, Inc. 117,919 350 * MTR Gaming Group Inc. 73,500 349 * Com21, Inc. 74,400 349 BNP Residential Properties, Inc. 46,500 349 * American Bank Note Holographics, Inc. 266,100 349 Calgon Carbon Corp. 61,200 348 * Integrated Telecom Express, Inc. 72,627 347 * Priceline.com Inc. 264,060 347 * Mayor's Jeweler's, Inc. 120,500 346 Polaroid Corp. 59,513 346 * Adaptive Broadband Corp. 56,290 345 Oxford Industries, Inc. 22,600 345 * Garden Fresh Restaurant Corp. 55,700 345 *(3) Storage Computer Corp. 43,800 342 * Aetrium, Inc. 123,800 340 *(3) TiVo Inc. 63,288 340 Great Atlantic & Pacific Tea Co., Inc. 48,551 340 CompX International Inc. 38,000 340 * Genome Therapeutics Corp. 48,715 339 * Digi International, Inc. 55,200 338 Covest Bankshares, Inc. 26,500 338 * Jo-Ann Stores, Inc. Class A 51,400 337 * Del Monte Foods Co. 46,500 337 Investors Title Co. 21,400 337 * Consolidated Freightways Corp. 80,299 336 * Fairchild Corp. 61,101 336 Oil-Dri Corp. of America 50,175 336 * Interneuron Pharmaceutical, Inc. 261,200 335 Konover Property Trust, Inc. REIT 76,400 334 * Carrier Access Corp. 37,109 334 * BioMarin Pharmaceutical Inc. 34,300 332 *(3) Cell Pathways, Inc. 69,910 332 * Catalina Lighting, Inc. 156,000 332 Lone Star Steakhouse & Saloon, Inc. 34,357 331 Superior Uniform Group, Inc. 40,600 330 * Vyyo Inc. 53,723 329 * Perry Ellis International Corp. 59,800 329 First Bancorp North Carolina 20,821 328
----- 26 99
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Rare Medium Group, Inc. 172,000 $ 328 * Hologic, Inc. 61,600 327 * Nastech Pharmaceutical Co., Inc. 46,600 326 * EXE Technologies, Inc. 25,080 326 * Jackpot Enterprises, Inc. 65,200 326 * P-Com, Inc. 106,300 326 * LookSmart, Ltd. 132,995 324 * Sizzler International 215,925 324 Team Financial, Inc. 46,000 322 *(3) LendingTree, Inc. 156,000 322 * I.D. Systems, Inc. 127,900 320 * Rochester Medical Corp. 63,850 319 Hughes Supply, Inc. 17,739 318 * Daily Journal Corp. 10,600 318 * Wackenhut Corrections Corp. 43,100 318 First Keystone Financial, Inc. 30,600 317 * Optical Communication Products, Inc. 28,192 317 * Mercator Software, Inc. 58,900 317 * AT&T Corp.-Liberty Media Group 16,876 316 Patriot Bank Corp. 46,875 316 National Health Investors REIT 42,900 316 * Gentiva Health Services, Inc. 23,478 314 EZCORP, Inc. 208,900 313 Community Banks, Inc. 15,280 313 * Spanish Broadcasting System, Inc. 62,600 313 * Primus Telecommunications Group, Inc. 135,100 312 Nash-Finch Co. 26,700 312 Universal Health Realty Income REIT 15,700 312 * Workflow Management, Inc. 45,267 311 * kforce.com, Inc. 101,554 311 * Interliant Inc. 97,500 311 * LightPath Technologies, Inc. 22,300 309 Angelica Corp. 33,000 309 * Artisoft, Inc. 85,204 309 * Per-Se Technologies, Inc. 88,505 308 Omnova Solutions Inc. 51,100 307 * Hayes Lemmerz International, Inc. 45,840 307 Penford Corp. 21,491 306 * iBasis, Inc. 74,100 306 * ePresence, Inc. 70,300 305 * Lydall, Inc. 35,100 305 *(3) Superior Telecom Inc. 157,310 305 Prime Group Realty Trust REIT 21,200 305 Kramont Realty Trust 33,800 304 Correctional Properties Trust REIT 31,600 304 * Technisource, Inc. 206,600 303 *(3) F5 Networks, Inc. 31,910 303 * Aviall Inc. 59,819 303 Capstead Mortage Corp. 27,775 302
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * C-bridge Internet Solutions, Inc. 76,936 $ 301 * Virage, Inc. 55,900 300 * Lancer Corp. 52,185 300 * Success Bancshares, Inc. 25,000 300 * DT Industries, Inc. 84,200 300 * Sunrise Telecom Inc. 76,610 299 * Highlands Insurance Group 33,154 298 * PJ America Inc. 53,600 298 Greater Delaware Valley Savings Bank 29,800 298 * Hotel Reservations Network, Inc. 10,500 298 Hunt Corp. 60,900 297 Apogee Enterprises, Inc. 55,200 297 * RailAmerica, Inc. 37,802 297 * Level 8 Systems Inc. 48,600 296 * Fresh Del Monte Produce Inc. 66,700 296 *(3) Software Spectrum, Inc. 48,700 295 *(3) Zoltek Cos., Inc. 90,400 294 (3) Armstrong Holdings, Inc. 142,444 294 * McAfee.com Corp. 58,758 294 * Extensity, Inc. 48,745 293 Stewart Enterprises, Inc. Class A 153,500 293 * Bethlehem Steel Corp. 166,554 291 * SmartDisk Corp. 75,200 291 Exide Corp. 38,200 291 Mississippi Chemical Corp. 92,341 291 * Systems & Computer Technology Corp. 23,600 291 * VIA NET.WORKS, Inc. 76,078 290 Dimon Inc. 52,650 290 (3) Bridge View Bancorp 20,649 289 * WorldPages.com, Inc. 107,500 289 * BSQUARE Corp. 48,000 288 * Perficient, Inc. 47,900 287 *(3) Bracknell Corp 51,400 286 * Titanium Metals Corp. 42,000 284 American Land Lease, Inc. 28,600 282 * Somera Communications, Inc. 32,500 282 * ORATEC Interventions, Inc. 54,962 282 * Champion Enterprises, Inc. 102,369 282 * William Lyon Homes, Inc. 30,000 281 * Mesaba Holdings, Inc. 22,300 280 * Navigant International, Inc. 34,450 280 * Troy Group, Inc. 56,200 279 * NaviSite, Inc. 118,990 279 * Viant Corp. 70,000 278 * Wink Communications, Inc. 46,300 278 Nashua Corp. 62,514 278 Katy Industries, Inc. 46,200 277 * AnswerThink Consulting Group, Inc. 76,379 277 Lillian Vernon Corp. 39,500 277 * Predictive Systems, Inc. 38,600 276 * American Skiing Co. 190,800 274
----- 27 100
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- Pulaski Financial Corp. 27,948 $ 274 Hopfed Bancorp, Inc. 24,600 274 * Sykes Enterprises, Inc. 61,640 274 Luby's, Inc. 45,559 273 US Bancorp, Inc. 64,300 273 * Alpine Group, Inc. 124,000 271 * Traffix, Inc. 157,800 271 * Extended Systems Inc. 23,200 271 * IMRglobal Corp. 50,400 271 * Netopia, Inc. 62,800 271 * ISCO, Inc. 38,685 271 Comm Bancorp, Inc. 8,800 271 * American Medical Security Group, Inc. 44,900 269 Anthracite Capital Inc. 34,700 269 Computer Task Group, Inc. 67,992 268 * Sheffield Pharmaceuticals, Inc. 57,000 267 Salient 3 Communications Class A 112,400 267 Hancock Fabrics, Inc. 77,600 267 * Tanning Technology Corp. 72,200 266 * Puma Technology, Inc. 63,887 266 * Liberty Satellite & Technology, Inc. Class A 84,106 265 Gainsco, Inc. 100,846 265 * Pegasystems Inc. 114,400 265 * Accrue Software, Inc. 105,600 264 * Primus Knowledge Solutions, Inc. 40,600 264 * Andrea Radio Corp. 124,500 261 Oak Hill Financial, Inc. 17,900 261 * AGENCY.COM Inc. 67,243 261 Titan International, Inc. 61,150 260 BankAtlantic Bancorp, Inc. Class A 69,285 260 G & L Realty Corp. REIT 29,444 259 * Layne Christensen Co. 79,200 259 * 1-800-FLOWERS.COM, Inc. 62,700 259 * Allergan Specialty Therapeutics, Inc. 8,931 258 * Wellsford Real Properties Inc. REIT 16,400 258 * Versant Corp. 114,692 258 * Acceptance Insurance Cos. Inc. 49,000 257 A.M. Castle & Co. 25,431 254 * Medialink Worldwide, Inc. 58,100 254 Standard Motor Products, Inc. 34,400 254 * Park-Ohio Holdings Corp. 52,000 254 * Vertel Corp. 108,109 253 * Switchboard Inc. 85,291 253 * Digital River, Inc. 106,600 253 * TCSI Corp. 184,021 253 * Westell Technologies, Inc. 82,600 253 * Bel Fuse, Inc.-Class A 7,550 253 * Catalytica Energy Systems, Inc. 14,628 252
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- City Holding Co. 43,800 $ 252 Actuant Corp. 83,705 251 *(3) divine interVentures.inc 160,713 251 Schnitzer Steel Industries, Inc. Class A 19,300 251 * Cannondale Corp. 68,000 251 * FARO Technologies, Inc. 83,400 250 Big Dog Holdings, Inc. 66,700 250 * Global Payment Tech Inc. 70,100 250 Cadmus Communications 27,300 249 Timberline Software Corp. 69,904 249 * Digital Generation Systems 116,800 248 * UTStarcom, Inc. 15,993 248 * Global Vacation Group, Inc. 73,300 247 * Cheap Tickets, Inc. 25,100 245 * Immucor Inc. 90,946 244 * Hartmarx Corp. 102,500 243 * BTU International, Inc. 31,900 243 * Geoworks 82,800 243 *(3) eMerge Interactive, Inc. 67,092 243 * Correctional Services Corp. 104,785 242 * Vivus, Inc. 112,000 242 *(3) Z-Tel Technologies, Inc. 46,455 241 Global TeleSystems, Inc. 296,400 241 * APAC Teleservices, Inc. 65,111 240 * Capital Trust Class A 48,500 239 BancFirst Ohio Corp. 15,570 239 * Maxxam Inc. 15,723 239 * Crossroads Systems, Inc. 50,896 239 FNB Financial Services Corp. 23,700 238 * Healthcare.com Corp. 158,800 238 * Exabyte Corp. 69,200 238 * NetManage, Inc. 252,063 236 * Marimba, Inc. 52,500 236 CenterPoint Properties Corp. REIT 5,000 236 Spartan Motors, Inc. 139,500 235 AMCOL International Corp. 49,450 235 * Network Engines, Inc. 55,876 234 UniFirst Corp. 22,800 234 * Laser Mortgage Management, Inc. 67,800 233 * Tractor Supply Co. 27,400 233 * Fritz Cos., Inc. 38,400 233 * Cone Mills Corp. 89,800 230 * Be Free, Inc. 105,100 230 * Cellstar Corp. 159,600 229 * Interactive Intelligence Inc. 9,500 229 * Lakes Gaming, Inc. 24,425 229 Argonaut Group, Inc. 10,881 229 *(3) Maxim Pharmaceuticals, Inc. 35,815 228 * Razorfish Inc. 140,485 228 The Pep Boys (Manny, Moe & Jack) 62,901 228 * Zamba Corp. 83,400 227
----- 28 101
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- LTC Properties, Inc. REIT 63,600 $ 227 American Residential Investment Trust, Inc. REIT 97,900 226 * On Command Corp. 25,700 225 * TALK.com, Inc. 156,205 225 * SeraCare, Inc. 64,100 224 * Applied Graphics Technologies, Inc. 66,344 224 * Applix, Inc. 89,221 223 *(3) Itron, Inc. 61,400 223 * W-H Energy Services, Inc. 11,300 222 * Latitude Communications, Inc. 57,300 222 * Todhunter International, Inc. 31,600 221 * Comshare 84,100 221 * Lifeminders, Inc. 63,069 221 * COMARCO, Inc. 16,350 221 Carolina Southern Bank 9,882 220 *(3) WorldGate Communications, Inc. 57,800 220 * Netcentives Inc. 57,700 220 * Laser Vision Centers, Inc. 135,000 219 Apex Mortgage Capital, Inc. REIT 31,600 218 *(3) PSINet, Inc. 299,129 215 * Computer Horizons Corp. 88,144 215 * Headway Corporate Resources, Inc. 156,200 215 Stephan Co. 71,550 215 * Net2Phone, Inc. 28,918 213 * ShopKo Stores, Inc. 42,545 213 * Chordiant Software, Inc. 71,600 213 * Allaire Corp. 42,199 212 Psychemedics, Inc. 41,100 212 * Gilman & Ciocia, Inc. 73,300 211 * Triton Network Systems, Inc. 67,204 210 * Orbital Sciences Corp. 50,800 210 Synalloy Corp. 44,000 209 *(3) Mossimo, Inc. 128,200 208 * Navigant Consulting, Inc. 54,150 206 * Applied Microsystems Corp. 46,500 206 *(3) Engage, Inc. 272,410 204 * Gartner Group, Inc. Class B 32,071 203 * Capital Pacific Holdings, Inc. 73,388 202 * Axsys Technologies, Inc. 7,400 202 Ethyl Corp. 140,130 201 * MTI Technology Corp. 51,100 201 Hudson River Bancorp. Inc. 15,800 200 * Previo, Inc. 59,282 200 Transcontinental Realty Investors, Inc. REIT 22,525 200 * Innotrac Corp. 57,100 200 * Staff Leasing,Inc. 66,200 199 * Diversa Corp. 11,036 198 Hubbell Inc. Class A 7,600 198 * Data Return Corp. 52,600 197 *(3) Action Performance Cos., Inc. 82,993 197
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Tut Systems, Inc. 23,886 $ 197 * M&F Worldwide Corp. 50,779 197 * AvantGo, Inc. 31,470 197 * Internet.com Corp. 33,082 196 * PTEK Holdings, Inc. 136,400 196 *(3) Accelerated Networks, Inc. 70,466 196 * Samsonite Corp. 142,490 196 * Insmed Incorporated 56,475 196 * Larscom, Inc. Class A 79,300 196 * Braun Consulting, Inc. 53,000 195 * Sensory Science Corp. 347,400 195 * Encore Wire Corp. 33,550 195 * Vysis, Inc. 23,100 195 * Network Plus Corp. 77,900 195 * Liberty Digital, Inc. 38,266 194 * Official Payments Corp. 28,000 193 Burnham Pacific Properties, Inc. REIT 41,600 192 * TenFold Corp. 128,163 192 Greater Community Bancorp 21,351 192 * Evolve Software, Inc. 39,379 192 * STAR Telecommunications, Inc. 191,515 192 * Quality Systems, Inc. 24,700 191 * NZ Corp. 63,741 191 * Precision Optics Corp. 80,200 190 *(3) TheStreet.com, Inc. 66,100 190 * Walker Interactive Systems, Inc. 141,300 190 * TSR, Inc. 51,400 190 Urstadt Biddle Properties REIT 27,200 189 TransPro Inc. 73,425 188 * Technology Solutions Co. 87,675 186 * Black Hawk Gaming & Development Co., Inc. 27,500 186 * HA-LO Industries, Inc. 82,350 185 * Wit Soundview Group, Inc. 51,100 184 * InfoCure Corp. 48,900 183 * Goody's Family Clothing 40,300 181 * Cumulus Media Inc. 50,000 181 * RWD Technologies, Inc. 59,000 181 * Interleukin Genetics, Inc. 56,600 180 * StarMedia Network, Inc. 95,400 180 * ON Semiconductor Corp. 34,349 180 * LCA-Vision, Inc. 169,495 180 PS Business Parks, Inc. REIT 6,400 178 * U.S. Energy Corp. 85,257 176 HEICO Corp. Class A 15,109 176 * TBC Corp. 38,450 175 Enesco Group, Inc. 37,400 175 * Quintus Corp. 116,680 175 * Twinlab Corp. 103,500 175 * iBEAM Broadcasting Corp. 164,012 174 * eXcelon Corp. 116,100 174 * Ocular Sciences, Inc. 14,800 172 * SportsLine.com, Inc. 32,300 172
----- 29 102
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- * Mobius Management Systems, Inc. 80,200 $ 170 * LMI Aerospace, Inc. 77,800 170 Equity Inns, Inc. REIT 27,500 170 * Globix Corp. 61,571 169 * Artisan Components, Inc. 22,600 168 * Loislaw.com, Inc. 39,500 168 * Provant, Inc. 39,100 167 * Tandycrafts, Inc. 127,500 167 * Zonagen, Inc. 63,400 166 *(3) Allied Riser Communications Corp. 81,900 166 *(3) Earthshell Corp. 129,600 166 Urstadt Biddle Properties REIT Class A 23,100 164 * Turnstone Systems, Inc. 21,950 163 * Cidco, Inc. 108,800 163 * Pac-West Telecom, Inc. 47,220 162 Chester Valley Bancorp 9,355 161 * Omega Worldwide, Inc. 65,943 161 * Visual Networks, Inc. 49,400 161 * Weirton Steel 134,900 161 * Media 100 Inc. 62,492 160 * Creative Host Services, Inc. 49,200 160 * net.Genesis Corp. 49,181 160 * Sonic Innovations, Inc. 23,800 159 Bedford Bancshares, Inc. 17,300 159 * Navidec, Inc. 64,700 158 * Odwalla, Inc. 15,900 157 Senior Housing Properties Trust REIT 16,840 157 *(3) i3 Mobile, Inc. 39,110 156 * Gulf West Banks, Inc. 20,475 156 W.P. Carey & Co. LLC 8,600 156 *(3) Medplus, Inc. 43,600 155 * Stamps.Com Inc. 55,800 155 BCSB Bankcorp, Inc. 24,500 155 (3) Herbalife International Class B 20,600 155 * General Binding Corp. 22,872 154 Colonial Properties Trust REIT 5,900 154 * eshare communications, Inc. 122,600 153 Intermet Corp. 42,200 153 Oregon Steel Mills, Inc. 143,800 153 * OPNET Technologies, Inc. 10,100 152 * Caliber Learning Network, Inc. 162,000 152 * Credit Management Solutions, Inc. 121,400 152 *(3) Caldera Systems, Inc. 77,775 151 * Designs, Inc. 70,900 151 *(3) Track Data Corp. 209,600 151 * Terra Industries, Inc. 60,250 151 * Liquid Audio, Inc. 58,700 150 * Corixa Corp. 5,365 150 * COMFORCE Corp. 85,373 149
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * General DataComm Industries, Inc. 140,500 $ 149 * Alteon, Inc. 43,400 149 * Ask Jeeves, Inc. 61,078 149 * Webvan Group Inc. 317,589 149 * Gaylord Container Corp. 148,800 149 * Comfort Systems USA, Inc. 70,000 149 * GraphOn Corp. 108,000 149 * Spectranetics Corp. 112,500 148 * Aftermarket Technology Corp. 67,500 148 (3) Owens Corning 181,374 147 CKE Restaurants Inc. 53,498 147 * Viador, Inc. 111,700 147 * A.C. Moore Arts & Crafts, Inc. 17,900 147 * Fourth Shift Corp. 116,800 146 * Regent Communications, Inc. 24,500 145 * onlinetradinginc.com 41,400 145 * Budget Group, Inc. 68,100 145 * New Frontier Media, Inc. 93,500 143 * National Bancshares Corp. of Texas 10,600 143 * VTEL Corp. 163,338 143 * V.I. Technologies, Inc. 27,200 143 * NeoMedia Technologies, Inc. 47,500 143 * Huntco Inc. Class A 150,900 141 * FLIR Systems, Inc. 25,400 141 * Vicinity Corp. 47,400 141 * Sagent Technology, Inc. 101,700 140 * Internet Capital Group, Inc. 42,548 140 Omega Healthcare Investors, Inc. REIT 36,500 139 * Synagro Technologies Inc. 61,846 139 *(3) Seven Seas Petroleum Inc. 99,900 137 *(3) SIGA Technologies, Inc. 43,500 137 * ActionPoint, Inc. 66,500 137 * Epicor Software Corp. 168,022 137 * Martha Stewart Living Omnimedia, Inc. 6,761 136 * InVision Technologies, Inc. 94,000 135 Wainwright Bank & Trust Co. 18,300 135 * AMBI, Inc. 179,600 135 * Ampex Corp. Class A 358,900 135 * SystemOne Technologies Inc. 59,700 134 * Corrections Corp. of America REIT 389,915 134 The Warnaco Group, Inc. Class A 79,292 134 * Paragon Technologies, Inc. 16,600 133 * Bell Industries, Inc. 53,003 133 * Telaxis Communications Corp. 72,514 131 BMC Industries, Inc. 26,663 130 * Century Business Services, Inc. 115,500 130 * Prodigy Communications Corp. Class A 86,600 130
----- 30 103
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Metromedia International Group, Inc. 49,700 $ 129 * Omtool, Ltd. 85,900 129 * Rhythms NetConnections Inc. 114,525 129 * Corio, Inc. 62,400 129 Codorus Valley Bancorp, Inc. 8,085 128 * NetZero Inc. 145,300 127 * Waypoint Financial Corp. 11,488 126 * eGain Communications Corp. 40,800 126 * eBT International, Inc. 61,200 126 * Advanced Magnetics, Inc. 47,700 125 * OAO Technology Solutions, Inc. 102,619 125 * autobytel.com inc. 50,000 125 *(3) BUY.COM, Inc. 189,900 125 * Docucorp International 61,959 124 * Network-1 Security Solutions, Inc. 37,400 124 * Aronex Pharmaceuticals, Inc. 27,900 124 * General Chemical Group, Inc. 123,600 124 * Launch Media, Inc. 79,000 123 Pilgrim's Pride Corp. Class A 22,950 123 * Hycor Biomedical Inc. 22,900 123 * The Sports Authority, Inc. 102,800 122 *(3) AppliedTheory Corp. 61,000 122 * V-One Corp. 194,362 121 * Health Management Systems, Inc. 80,697 121 * Metrocall, Inc. 257,700 121 * SAVVIS Communications Corp. 137,063 120 * Allied Holdings, Inc. 43,500 120 * Jenny Craig Inc. 86,900 119 * Consumer Portfolio Services, Inc. 82,900 119 * Acclaim Entertainment Inc. 346,500 119 * Maxicare Health Plans Inc. 126,378 118 * National Information Consortium, Inc. 77,200 118 * Toymax International, Inc. 72,600 118 * Ezenia!, Inc. 104,600 118 * Anthony & Sylvan Pools Corp. 13,860 116 * York Research Corp. 105,700 116 German American Bancorp 9,318 114 * Personnel Group of America, Inc. 67,204 113 * Cox Radio, Inc. 5,000 113 * Crown Media Holdings, Inc. 5,461 111 * SoftNet Systems, Inc. 61,200 111 *(3) Teligent, Inc. 56,900 110 * MarketWatch.com, Inc. 36,700 110 * Photoworks, Inc. 185,379 110 * iXL Enterprises, Inc. 109,800 110 * MessageMedia Inc. 250,900 110 * Digital Impact, Inc. 46,800 110 * H.D. Vest, Inc. 17,800 107 * Blount International, Inc. 13,833 106 * Cylink Corp. 48,500 105
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Crescent Operating, Inc. REIT 166,920 $ 104 * Strategic Distribution, Inc. 238,278 104 * e.spire Communications, Inc. 208,400 104 * QCF Bancorp, Inc. 4,900 104 * SMC Corp. 48,900 104 * Vestcom International, Inc. 57,200 104 * Gadzoox Networks, Inc. 49,300 103 * Imperial Sugar Co. 127,006 103 * Eco Soil Systems, Inc. 126,900 103 * Excel Legacy Corp. 43,400 103 * Informax, Inc. 9,900 103 Interpool, Inc. 6,000 102 * Cyberguard Corp. 57,755 102 * Lexar Media, Inc. 108,724 102 * Protection One, Inc. 116,400 102 * Information Architects Corp. 56,059 102 * Cyberian Outpost, Inc. 85,300 101 * Huttig Building Products, Inc. 24,556 101 * Echo Bay Mines Ltd. 267,384 100 * Talarian Corp. 28,600 100 * Infogrames, Inc. 17,960 100 * Benihana Inc. 8,400 100 * Heartport Inc. 62,900 98 * MedicaLogic/Medscape, Inc. 42,388 98 * U.S. Energy Systems, Inc. 24,500 98 * Sequoia Software Corp. 51,200 98 *(3) Pliant Systems, Inc. 84,400 98 * Eprise Corp. 52,960 96 * HealthAxis, Inc. 66,400 95 * Capital Bank Corp. 10,900 95 * Freeport-McMoRan Copper & Gold, Inc. Class A 11,512 95 * High Speed Access Corp. 89,000 95 * Exchange Applications, Inc. 77,100 94 * Microwave Systems Corp. 214,000 94 * Visual Data Corp. 85,000 93 * Proxymed Pharmacy, Inc. 74,250 93 * Hollywood Entertainment Corp. 87,129 93 * Harken Energy Corp. 27,330 92 Astro-Med, Inc. 26,800 92 * billserv.com, Inc. 35,900 92 National Steel Corp. Class B 77,300 92 * Paradyne Networks, Inc. 50,640 92 * Boyd Gaming Corp. 26,700 92 * Komag, Inc. 139,071 91 * Norstan, Inc. 60,800 91 * Loudeye Technologies, Inc. 76,703 91 * PictureTel Corp. 38,300 91 * Organic, Inc. 111,634 91 * Hovnanian Enterprises Class B 9,650 90 * Calypte Biomedical Corp. 86,100 90 * Checkers Drive-In Restaurants, Inc. 24,362 90
----- 31 104
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- * Marvel Enterprises Inc. 62,400 $ 90 *(3) Trans World Airlines 82,497 89 * barnesandnoble.com inc. 67,400 88 * Labtec, Inc. 13,083 88 * SYNAVANT Inc. 18,817 88 * Hanover Direct, Inc. 234,700 88 * I-Link, Inc. 112,100 88 * eLEC Communications Corp. 111,900 87 International Shipholding Corp. 13,900 87 * eMachines, Inc. 230,634 86 * American Access Technologies Inc. 72,000 86 * Perceptron, Inc. 56,500 85 * Fresh America Corp. 75,200 85 * Data Race, Inc. 112,222 84 * CyberSource Corp. 35,400 84 * Lante Corp. 53,660 84 *(3) Centura Software Corp. 106,888 84 * Coeur D'Alene Mines Corp. 88,600 83 * Burlington Industries, Inc. 47,397 83 * DA Consulting Group, Inc. 104,600 82 * Profile Technologies, Inc. 64,700 81 * ValueClick, Inc. 16,300 80 * Net Perceptions, Inc. 38,300 80 FINOVA Group, Inc. 85,429 80 First Mariner Bancorp, Inc. 20,000 80 * Covista Communications, Inc. 57,680 79 * Birmingham Steel Corp. 78,700 79 Blimpie International, Inc. 59,400 78 * Group 1 Software, Inc. 6,900 78 * Vlasic Foods International, Inc. 310,369 78 * F.Y.I. Inc. 2,100 77 * Juno Lighting, Inc. 14,672 77 * Navarre Corp. 70,300 77 * Renaissance Worldwide, Inc. 98,300 77 * Curon Medical Inc. 19,100 77 * iVillage Inc. 71,900 76 * Phoenix International Ltd., Inc. 60,500 76 * Fresh Choice, Inc. 44,800 76 * Open Market, Inc. 69,100 76 * ebix.com Inc. 159,780 75 * SpeedUs.com, Inc. 113,900 75 * Transworld Healthcare Inc. 79,726 75 * Kevco, Inc. 140,400 75 * Marketing Specialists Corp. 295,500 74 * Trump Hotels & Casino Resorts, Inc. 37,800 73 * NorthPoint Communications Group, Inc. 209,038 72 * Advanced Switching Communications, Inc. 14,700 72 * Carriage Services, Inc. 47,700 72 * Capital Title Group, Inc. 75,800 71 * Comdial Corp. 68,766 71
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Evoke Inc. 40,500 $ 71 * Vornado Operating Inc. REIT 34,315 71 * Juno Online Services, Inc. 107,700 71 * FairMarket, Inc. 46,960 70 *(3) Sunbeam Corp. 224,678 70 * Cytogen Corp. 29,500 69 * Miller Industries, Inc. 120,900 68 * GC Cos. 33,991 68 * Industri-Matematik International Corp. 27,000 68 * Ames Department Stores, Inc. 46,900 67 Oriental Financial Group 5,000 67 *(3) Neoforma.com, Inc. 81,400 66 *(3) Ventro Corp. 65,400 65 * Xpedior Inc. 231,680 65 * Net2000 Communications, Inc. 37,742 65 * Dynamics Research Corp. 8,300 64 Steelcase Inc. 4,600 64 Fedders Corp. Class A 15,226 64 * CAIS Internet, Inc. 64,700 63 * Network Access Solutions Corp. 99,800 62 Rouge Industries Inc. 34,200 62 * SciQuest.com, Inc. 47,100 62 * Geerlings & Wade Inc. 31,400 62 * Breakaway Solutions, Inc. 70,300 62 * Craig Corp. 21,077 61 * Intraware, Inc. 41,200 61 * SONUS Pharmaceuticals, Inc. 95,600 60 * Gallery of History, Inc. 19,100 60 Astea International, Inc. 67,900 59 * Selectica, Inc. 2,424 59 *(3) Netpliance, Inc. 109,640 58 Waddell & Reed Financial, Inc. 1,532 58 * Impreso.com, Inc. 32,800 57 * Drug Emporium, Inc. 122,042 57 * Internet Pictures Corp. 58,638 57 * Integral Systems, Inc. 4,000 56 * Emergent Information Technologies, Inc. 63,900 56 * SEEC, Inc. 22,600 55 * Wackenhut Corp. Class B 6,350 55 * Egghead.com, Inc. 91,293 54 Guilford Mills, Inc. 33,050 54 * j2 Global Communications, Inc. 190,800 54 * NX Networks, Inc. 85,700 54 Kaye Group Inc. 6,900 53 * Unity Bancorp, Inc. 26,710 53 Reader's Digest Assn., Inc. Class B 1,500 53 *(3) On2.com Inc. 90,100 52 * Cypress Communications, Inc. 57,420 52 * Pfsweb Inc. 69,373 52 * Redhook Ale Brewery, Inc. 33,900 52 *(3) Drugstore.com, Inc. 56,600 51
----- 32 105
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * InsWeb Corp. 58,550 $ 51 * Carrington Labs Inc. 51,128 51 Terra Nitrogen Co., LP 5,800 51 * Hecla Mining Co. 102,200 51 * Rainmaker Systems, Inc. 40,600 51 * ZEVEX International, Inc. 12,200 50 * Craig Corp. Pfd. 20,077 50 * Belmont Bancorp. 16,060 50 * Alterra Healthcare Corp. 49,400 49 *(3) E-LOAN, Inc. 98,700 49 * Carmike Cinemas, Inc. Class A 143,489 49 * VCampus Corp. 58,400 49 * PeoplePC Inc. 65,651 49 * UniView Technologies Corp. 97,700 49 * Circle.com 86,312 49 * USDATA Corp., Inc. 85,116 48 * Euroweb International Corp. 61,100 48 * United PanAm Financial Corp. 50,900 48 * Ostex International, Inc. 38,100 48 * Keystone Consolidated Industries, Inc. 34,590 48 * Jos. A. Bank Clothiers, Inc. 10,500 47 * Air Methods Corp. 12,000 47 Delhaize America, Inc. Class B 2,564 46 * Harbor Global Company Ltd. 9,040 45 * DSL.Net, Inc. 85,000 45 * Calico Commerce Inc. 45,300 44 * HomeBase, Inc. 43,800 44 * Waste Systems International, Inc. 233,500 44 * MyPoints.com, Inc. 36,800 44 * Mail.Com, Inc. 60,662 44 Habersham Bancorp 4,500 44 * Systemax Inc. 34,800 44 * Life Financial Corp. 62,536 43 *(3) Source Media, Inc. 90,100 42 * JLM Industries, Inc. 20,300 42 * Fidelity Holdings, Inc. 89,150 42 * 24/7 Media, Inc. 78,100 41 * ScreamingMedia Inc. 13,750 41 * eCollege.com Inc. 9,800 40 * Darling International, Inc. 104,900 39 * Arch Wireless, Inc. 61,933 39 * Universal Access, Inc. 4,801 38 * Mediaplex, Inc. 46,798 38 * Micrografx, Inc. 66,300 37 * Lechters Corp. 198,200 37 Reckson Associates Realty Corp. Class B REIT 1,338 36 *(3) Quokka Sports, Inc. 64,000 36 * Chiquita Brands International, Inc. 35,935 36 * Aviation General Inc. 28,600 36 * Convergent Communications, Inc. 59,800 36 *(3) Luminant Worldwide Corp. 43,600 35
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- LTV Corp. 103,000 $ 35 * CRIIMI MAE, Inc. REIT 51,300 35 * Optika Inc. 45,300 35 * EChapman.com, Inc. 11,597 34 * Frontier Oil Corp. 5,000 34 * Webco Industries, Inc. 23,700 34 * Radio Unica Corp. 8,900 33 * Conrad Industries, Inc. 5,800 33 Oakwood Homes Corp. 53,100 33 * Trailer Bridge, Inc. 19,500 33 * Crown Crafts, Inc. 116,300 33 * Prime Retail, Inc. REIT 69,400 33 Cavalier Homes, Inc. 36,322 32 * Skechers U.S.A., Inc. 2,000 31 *(3) eToys Inc. 161,600 30 * enherent Corp. 32,300 30 *(3) FirstWorld Communications Inc. 46,000 30 * Integral Vision, Inc. 63,458 30 Clarion Commercial Holdings, Inc. 4,000 29 *(3) Adams Golf, Inc. 71,200 29 * Prime Energy Corp. 4,000 29 * Virologic, Inc. 3,100 28 * insci-statements.com corp. 89,800 28 * Central Financial Acceptance Corp. 10,500 28 * Mainspring, Inc. 8,700 27 * Leapnet, Inc. 30,500 27 *(3) Audio Visual Services Corp. 113,500 27 * US SEARCH.com Inc. 118,000 26 *(3) MyTurn.com, Inc. 27,500 26 * Progress Energy, Inc. CVO 66,447 25 * The Fortress Group, Inc. 14,425 25 * Cybear Group 67,140 25 * InterWorld Corp. 50,350 25 * Audible, Inc. 56,700 25 * Lightspan Inc. 16,700 24 * ICG Communications, Inc. 181,194 24 * ATEC Group, Inc. 30,400 23 * Response Oncology, Inc. 91,200 23 * Badger Paper Mills, Inc. 9,300 23 * Integra, Inc. 25,900 23 * Cellular Technical Services 8,045 23 * 3Dfx Interactive, Inc. 90,500 23 * ChinaB2Bsourcing.com, Inc. 9,000 23 * Aztec Technology Partners, Inc. 102,600 22 * Merisel, Inc. 141,700 22 * YouthStream Media Networks, Inc. 29,500 22 * Muse Technologies, Inc. 39,300 22 * The A Consulting Team, Inc. 19,000 22 * Alysis Technologies Inc. 38,900 22 *(3) Aames Financial Corp. 34,950 22 * Insilco Holding Corp. 401 22 * IEC Electronics Corp. 38,218 21
----- 33 106
- ----------------------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE- INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------------- * Magellan Petroleum Corp. 22,000 $ 21 * Hathaway Corp. 7,100 21 * Medical Alliance, Inc. 5,000 21 * LeadingSide, Inc. 70,800 21 Pittsburgh & West Virginia Railroad 3,000 21 * Tickets.com, Inc. 73,600 21 * Imperial Credit 44,126 21 * Continucare Corp. 65,000 20 * Candie's, Inc. 25,000 20 * Star Buffet, Inc. 7,600 19 * I-Link Inc. Series N Pfd. 69 19 *(3) Beyond.com Corp. 123,200 19 * Egreetings Network, Inc. 68,300 19 * Endo Pharmaceuticals Warrants Exp. 3/31/2003 76,200 19 * USABancShares.com, Inc. 12,000 19 *(3) Onvia.com, Inc. 22,200 19 Bandag, Inc. Class A 538 18 * Virage Logic Corporation 1,200 18 * Wilshire Oil Co. of Texas 5,000 18 *(3) WHX Corp. 23,300 17 * Royal Precision Inc. 5,800 17 * Autoweb.com, Inc. 65,700 16 * Avado Brands, Inc. 29,074 16 Jacksonville Bancorp, Inc. 1,000 16 * Rocky Mountain Chocolate Factory, Inc. 4,668 16 * QAD Inc. 13,300 16 *(3) Global Sports, Inc. 2,741 15 * Entrada Networks, Inc. 8,375 15 * ZeroPlus.com, Inc. 42,200 15 * Aerovox, Inc. 7,200 14 * Electronic Retailing Systems International, Inc. 35,000 14 * Film Roman, Inc. 45,000 14 * Medinex Systems, Inc. 63,700 14 *(3) Women.com Networks, Inc. 61,300 13 * Alphanet Solutions, Inc. 7,900 13 * INSpire Insurance Solutions, Inc. 81,400 13 * Computer Learning Centers, Inc. 81,216 13 * Lifeway Foods, Inc. 2,400 13 * Omni Nutraceuticals Inc. 61,300 13 * Ascent Pediatrics, Inc. 16,700 13 * Total Entertainment Restaurant Corp. 5,000 13 * CD Warehouse, Inc. 30,400 12 * Helen of Troy Corp. 2,500 12 * Verso Technologies, Inc. 8,000 12 * iPrint.com, Inc. 16,400 12 * Interstate Hotels Corp. REIT 6,932 11 * Aqua Care Systems, Inc. 10,000 11 * Starcraft Corp. 5,500 11
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * U.S. Interactive, Inc. 38,986 $ 11 * Amresco Inc. 7,440 11 * IGI, Inc. 17,090 11 * Northwest Pipe Co. 1,500 11 * IMPSAT Fiber Networks, Inc. 2,400 11 * b2bstores.com, Inc. 6,800 10 * Frontline Communications Corp. 54,000 10 * Merry Land Properties, Inc. REIT 1,748 10 * Lanvision Systems, Inc. 13,400 10 * Heartland Technology, Inc 7,700 10 * ImproveNet, Inc. 23,700 9 * E-Stamp Corp. 45,200 8 * Cardima, Inc. 33,500 8 * Avenue A, Inc. 4,600 8 * adam.com Inc. 5,000 8 * BigStar Entertainment, Inc. 60,400 8 * Vixel Corp. 4,000 8 * Pierre Foods, Inc. 8,500 7 * Frisby Technologies, Inc. 2,300 7 * Cardinal Financial Corp. 2,000 7 * New World Coffee-Manhattan Bagel, Inc. 6,000 7 * LecTec Corp. 3,500 7 * Horizon Group Properties, Inc. REIT 2,000 6 * Magnum Sports & Entertainment, Inc. 6,200 6 * Cornerstone Internet Solutions Co. 95,900 6 * TechSys, Inc. 5,000 6 * PowerCerv Corp. 25,600 6 *(3) Innovative Gaming Corp. 10,050 5 * FirstCity Financial Corp. 3,000 5 * Gensym Corp. 6,000 5 * ARTISTdirect, Inc. 9,400 5 * SkyePharma PLC ADR 514 5 * AMF Bowling, Inc. 64,524 4 * Cytrx Corp. 5,900 4 * Driversshield.com Corp. 9,500 4 * Pacific Gateway Exchange, Inc. 130,400 4 * Frontier Insurance Group, Inc. 40,280 4 * SteelCloud Company 5,000 3 * Vizacom Inc. 13,617 3 * ProcureNet, Inc. 22,500 3 * PASW, Inc. 9,000 3 * Fechtor, Detwiler, Mitchell & Co. 5,200 3 * IntegraMed America, Inc. 1,400 3 * Gradco Systems, Inc. 2,550 3 * The Knot, Inc. 2,700 3 * CTI Industries Corp. 2,500 3 *(3) PlanetRx.com, Inc. 8,737 2 * ILX Resorts Inc. 1,200 2 * The Penn Traffic Co. 447 2 *(3) Ashford.com, Inc. 6,700 2
----- 34 107
- ----------------------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ----------------------------------------------------------------------------------------------- * Datawatch Corp. 6,000 2 * Dispatch Management Services Corp. 37,000 2 * Florsheim Group Inc. 3,000 2 * Alanco Technologies, Inc. 1,728 2 * ReSourcePhoenix.com, Inc. 46,500 1 * TCPI, Inc. 37,200 1 * Tejon Ranch Co. Rights Exp. 1/16/2001 38,900 1 * Liberty Satellite & Technology, Inc. Class B 420 1 * PopMail.com, Inc. 5,340 1 *(3) Pets.com 9,800 1 * Reliance Group Holdings 149,986 1 *(3) Base Ten Systems, Inc. Class A 7,860 1 * FiNet.com, Inc. 12,500 1 * Precision Auto Care, Inc. 1,600 1 * Empire of Carolina, Inc. 8,900 1 * Allied Products Corp. 72,098 1 * Fusion Networks Holdings, Inc. 3,000 0 * Inland Resources Inc. 500 0 * UniCapital Corp. 128,400 0 * VelocityHSI, Inc. 13,368 0 * News Communications, Inc. 501 0 * Wilshire Financial Services Group Inc. 64 0 * Penncorp Financial Group Inc. 43,500 0 *(3) Marvel Enterprises, Inc. Class C Warrants Exp. 10/2/2002 2,555 0 *(3) Marvel Enterprises, Inc. Class A Warrants Exp. 10/2/2001 1,508 0 * StreamLogic Corp. 34,100 0 - ----------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $18,846,833) 22,530,020 - -----------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------- Face Market Amount Value- (000) (000) - ------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.8%)(1) - ------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 6.53%, 1/11/2001 $ 15,000 $ 14,977 (2) 6.54%, 1/11/2001 20,000 19,969 (2) 6.54%, 1/25/2001 10,000 9,960 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.14%, 1/2/2001 643,648 643,648 6.10%, 1/2/2001--Note G 192,734 192,734 - ------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $881,277) 881,288 - ------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.8%) (COST $19,728,110) 23,411,308 - ------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.8%) - ------------------------------------------------------------------------------- Other Assets--Note B 340,901 Liabilities--Note G (520,148) ------- (179,247) ------- - ------------------------------------------------------------------------------- NET ASSETS (100%) $23,232,061 ===============================================================================
- -See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.8% and 1.0%, respectively, of net assets. See Note F in Notes to Financial Statements. (2)Securities with an aggregate value of $44,906,000 have been segregated as initial margin for open futures contracts. (3)All or part of security position is on loan to broker/dealers. See Note G in Notes to Financial Statements. ADR--American Depositary Receipt. PEPS--Premium Equity Participating Securities. REIT--Real Estate Investment Trust. ----- 35 108
- ----------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET Amount INDEX FUND (000) - ----------------------------------------------------------------------------------------------------- AT DECEMBER 31, 2000, NET ASSETS CONSISTED OF: Paid-in Capital--Note E $19,564,330 Overdistributed Net Investment Income Accumulated Net Realized Gains--Note E Unrealized Appreciation (Depreciation)--Note F Investment Securities 3,683,198 Futures Contracts (8,062) - ----------------------------------------------------------------------------------------------------- NET ASSETS $23,232,061 ===================================================================================================== Investor Shares--Net Assets Applicable to 575,993,696 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $16,855,523 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $29.26 ===================================================================================================== Admiral Shares--Net Assets Applicable to 71,908,115 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $2,104,296 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $29.26 ===================================================================================================== Institutional Shares--Net Assets Applicable to 145,980,424 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $4,272,242 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $29.27 =====================================================================================================
(C)2001 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. F850 022001> ------- 36 109 VANGUARD(R) U.S. STOCK INDEX FUNDS MID-CAPITALIZATION PORTFOLIOS Annual Report -- December 31, 2000 INCLUDED WITHIN THIS REPORT: Vanguard Extended Market Index Fund Vanguard Mid-Cap Index Fund [PHOTO] [THE VANGUARD GROUP LOGO] 110 SOME LESSONS FROM 2000 Although the year 2000 was a trying period for many investors, it reinforced some investment truths worth keeping in mind as you build and maintain your portfolio. These include: - THINGS CHANGE. It's difficult--bordering on impossible--to consistently or precisely predict when the financial markets will turn up or down, when the economy will accelerate or slow, and which investments will lead or lag. Don't risk your hard-earned money by betting on such forecasts. - DIVERSIFICATION MATTERS. If you build and maintain a portfolio that includes different asset classes--as well as types of securities within asset classes--you give yourself a valuable buffer against severe damage from any one market segment. True, your diversified portfolio will never top the short-term performance charts. But a balanced investment approach will help you to meet your financial goals without taking undue risks. - PERSPECTIVE IS PARAMOUNT. Market declines are always painful. Yet they're inevitable if you seek the long-term rewards of investing. If you keep your focus on your long-term goals, you'll find periodic downturns much easier to endure, and you'll avoid making emotion-driven mistakes. SUMMARY - - Our Extended Market Index Fund earned a disappointing return of -15.5% during 2000, while our Mid-Cap Index Fund earned an excellent 18.1%. - - Poor--and in some cases terrible--returns from technology stocks hurt the performance of the Extended Market Index Fund. - - In the broad market, the returns of large-cap stocks fell short of the returns of mid-caps, small-caps, and bonds. CONTENTS 1 Letter from the Chairman 8 Fund Profiles 10 Glossary of Investment Terms 11 Performance Summaries 15 Report on After-Tax Returns 16 Financial Statements 64 Report of Independent Accountants 111 LETTER from the Chairman Fellow Shareholder, Returns from mid-capitalization stocks were among the few bright spots in an otherwise dreary year for the U.S. stock market. However, only one of the two Vanguard index funds that emphasize mid-cap stocks participated in the surge. VANGUARD MID-CAP INDEX FUND returned 18.1%, while VANGUARD EXTENDED MARKET INDEX FUND returned -15.5%. Relatively modest differences in the types of stocks contained in each fund's target index--particularly among growth-oriented and technology investments--made a big difference in returns. The adjacent table presents the total returns (capital change plus reinvested dividends) for our funds, their average peers, and their target indexes.
2000 TOTAL RETURNS YEAR ENDED DECEMBER 31 - --------------------------------------------------- VANGUARD EXTENDED MARKET INDEX FUND -15.5% Average Mid-Cap Core Fund* 7.1 Wilshire 4500 Completion Index -15.9 - --------------------------------------------------- VANGUARD MID-CAP INDEX FUND 18.1% Average Mid-Cap Core Fund* 7.1 S&P MidCap 400 Index 17.5 - ---------------------------------------------------
*Derived from data provided by Lipper Inc.
ADMIRAL SHARES - --------------------------------------------------- Vanguard Extended Market Index Fund -4.3%* - ---------------------------------------------------
*Return since inception on November 13, 2000.
INSTITUTIONAL SHARES - --------------------------------------------------- Vanguard Extended Market Index Fund -15.4% Vanguard Mid-Cap Index Fund 18.4 - ---------------------------------------------------
Also presented are the returns for the recently introduced Admiral Shares of our Extended Market Index Fund--a class of shares for longstanding shareholders or those with high balances--and for our Institutional Shares, which are available for a minimum investment of $10 million. Each fund's return is based on the change in the net asset value of each share class during the year, and is adjusted for income dividends and capital gains distributions. Those per-share figures appear in the table that follows this letter. If you own our funds in a taxable account, you may wish to review our report on the fund's after-tax returns on page 15. FINANCIAL MARKETS IN REVIEW The year 2000 was in many ways the flip side of its predecessor. The pace of economic growth slowed instead of accelerating as the year progressed, the broad U.S. stock market fell instead of soaring, "dot-com" changed from a --- 1 112
MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 ONE THREE FIVE YEAR YEARS YEARS - ------------------------------------------------------------------------------ STOCKS S&P 500 Index (Large-caps) -9.1% 12.3% 18.3% Russell 2000 Index (Small-caps) -3.0 4.6 10.3 Wilshire 5000 Index (Entire market) -11.0 10.7 16.7 MSCI EAFE Index (International) -14.0 9.6 7.4 - ------------------------------------------------------------------------------ BONDS Lehman Aggregate Bond Index (Entire market) 11.6% 6.4% 6.5% Lehman 10 Year Municipal Bond Index 10.8 5.3 5.9 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 6.0 5.2 5.2 - ------------------------------------------------------------------------------ CPI Consumer Price Index 3.4% 2.6% 2.5% - ------------------------------------------------------------------------------
magic formula to near-poison among investors, value stocks outpaced their growth counterparts, and bonds--the downtrodden asset class of 1999--provided the best returns. Interestingly, 2000 started off looking a lot like 1999. In February, the U.S. economy reached its record-breaking ninth year of growth uninterrupted by a recession, and gross domestic product grew at an annual pace of 4.8% during the first quarter. In March, broad market indexes were pushed to all-time highs, fueled by the skyrocketing prices of growth stocks, particularly in the technology sector. Then came an abrupt reversal. The technology-dominated Nasdaq Composite Index fell -34% in the five weeks after its March high. And despite many interim rallies, the Nasdaq returned -38.7% for the 12 months, having fallen - -51% from its peak in March to the year-end. The overall U.S. stock market, as measured by the Wilshire 5000 Index, recorded its first negative return since 1994 and its worst calendar-year performance since 1974. Several factors were at work in the markets. High energy prices raised the specter of inflation and cut into profits for some industries. A stronger U.S. dollar threatened corporate profits from foreign operations. And the Federal Reserve Board's series of interest rate boosts--implemented from June 1999 through May 2000 to counter inflationary pressures--began to have their intended effect in slowing the pace of economic growth. By year-end, markets were expecting the Fed to reduce rates to keep the slowdown from turning into a recession. (The Fed acted on January 3, 2001, cutting short-term interest rates by 0.5 percentage points.) Investors worried that a slower economy, combined with the boom in capital investment in recent years, would result in significant overcapacity in many industries. Many believed that companies would find it hard--if not impossible--to sustain earnings growth in this environment. And, in fact, by late 2000, hundreds of companies were reporting earnings that failed to meet expectations. Technology and telecommunications stocks, whose prices had reflected the highest levels of optimism, were the hardest hit. --- 2 113 ----------------------- THE BIG WINNERS IN 2000 WERE IN HEALTH CARE, UTILITIES, ENERGY, AND FINANCIAL SERVICES. ------------------------ SOME STOCKS SURGE Despite the overall decline, the stock market had its success stories. The big winners in 2000 were in health care, utilities (except for telecommunications firms), energy, and financial services. Indeed, after five years as outcasts, many value stocks--those with relatively low prices in relation to earnings, book value, dividends, and other financial measures--far outperformed their growth counterparts and posted solid positive returns. Within the Standard & Poor's MidCap 400 Index, the target for our Mid-Cap Index Fund, value stocks returned 27.8% while growth stocks returned 9.2%. When results are sorted by market capitalization, mid-cap stocks did the best overall--the S&P MidCap 400 Index returned 17.5%--followed by small-cap stocks. Oddly, by certain measures, 2000 was a better year for stocks than 1999: Almost 47% of the stocks in the Russell 3000, for example, had positive returns, compared with about 45% the previous year. However, most market indexes are weighted according to market capitalization, so the declines of very large stocks had a much bigger influence on index returns than did the gains of smaller stocks. In 1999, the oversized gains for some of those same large stocks skewed results in the other direction. BONDS SHINE High-quality bonds benefited from their status as a haven from stock market volatility and from the belief that the slower economy would forestall inflation. Also helping bond prices was shrinkage in the supply of securities issued by the U.S. Treasury as its growing budget surplus reduced the need to borrow. Bond price increases, combined with interest income, resulted in double-digit returns for longer-duration Treasury, agency, and mortgage-backed securities. Bond yields, of course, move in the opposite direction from prices. The yield of the 30-year Treasury bond fell 102 basis points (1.02 percentage points) during the year to 5.46% by December 31; the 10-year Treasury yield fell 133 basis points to 5.11%. Short-term interest rates, which are most directly influenced by the Federal Reserve's actions, rose during 2000. Yields on 3-month Treasury bills rose 57 basis points to 5.90%. 2000 PERFORMANCE OVERVIEW Despite their different absolute returns, both of our mid-cap index funds performed very well during 2000 in relation to their target indexes; in fact, each provided a return that was slightly better than that of the index it aims to track. What may have been forgotten amid the stock market's remarkable rise of the --- 3 114 past several years is the reality that index funds will track an index whichever way it moves. - -------------------- BOTH FUNDS PROVIDED RETURNS THAT WERE SLIGHTLY BETTER THAN THE RETURNS OF THE INDEXES THEY TRACK. - -------------------- Though it may seem odd for two funds that hold a mix of growth and value mid-cap stocks to have widely divergent returns, it's not unprecedented. In fact, just a year ago, the Extended Market Index Fund returned 36.2% and the Mid-Cap Index Fund returned 15.3%. One reason for their divergent results is the way the indexes are constructed. Generally, new companies are added to Wilshire indexes much sooner than they are added to Standard & Poor's indexes, as Standard & Poor's requires three years of operating history before a company is considered for inclusion. Therefore, the Wilshire 4500 Index--and thus the Extended Market Index Fund--had a much higher exposure to companies that recently began offering shares to the public. And in many cases (e.g. CMGI, Red Hat, Doubleclick, and Internap Network) these companies plunged during 2000. Though the average size of stocks held by each fund is similar--the median market capitalization of the Extended Market Fund was $2.2 billion on December 31, and the Mid-Cap Fund had a median market cap of $2.8 billion--the Extended Market Fund owned thousands of smaller stocks, and, on average, its holdings were more growth-oriented. For example, the Extended Market Fund had a larger stake in the types of technology companies that fared most poorly during 2000--namely Internet-related companies and telecom concerns. Among the fund's ten largest holdings at the beginning of 2000 were JDS Uniphase, Amazon.com, and VeriSign--each of which fell sharply during the year. Compared with the average mid-cap core mutual fund, the Mid-Cap Index Fund outperformed by 11 percentage points in 2000, while the Extended Market Index Fund underperformed by more than 22 percentage points. Generally, the mid-cap core group held stocks that were larger than those held by our Mid-Cap Index Fund, a factor that weighed in our favor during 2000. Compared with the Extended Market Index Fund, the mid-cap core group had, on average, a much smaller stake in technology companies. LONG-TERM PERFORMANCE OVERVIEW Though a review of a fund's fiscal year is helpful, we believe that investment performance should be measured over the long haul. The table on page 5 presents the average annual returns for the Extended Market Index Fund, its average peer, and its unmanaged target index over the past decade. It also presents the results of hypothetical $10,000 investments. A similar comparison for the Mid-Cap Index Fund over its life span of more than two years is also included. --- 4 115 As you can see, the Extended Market Index Fund earned a return higher than that of its target index--a notable achievement, given that the fund incurs expenses that the index does not. However, due to its poor relative performance in 2000, the fund came up short versus its average peer over the past decade. We thank our shareholders for sticking with the fund during a difficult 2000. Staying the course is easier in theory than in practice, but we firmly believe you will be rewarded for maintaining a sensible, low-cost, diversified investment program.
TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2000* AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - ----------------------------------------------------------------------- VANGUARD EXTENDED MARKET INDEX FUND 16.1% $44,601 Average Mid-Cap Core Fund 19.4 58,770 Wilshire 4500 Index 15.8 43,526 - ----------------------------------------------------------------------- VANGUARD MID-CAP INDEX FUND 16.1% $14,783 Average Mid-Cap Core Fund 15.6 14,590 S&P MidCap 400 Index 15.4 14,541 - -----------------------------------------------------------------------
*For Mid-Cap Index Fund and comparative measures, returns are since the fund's inception on May 21, 1998. The Mid-Cap Index Fund has established a solid margin over its target, though its record is too short to make any judgments about long-term results. We expect both of our funds to provide returns that are very similar to those of their target indexes. We are confident that we can achieve this goal because of the skill of our investment manager, Vanguard's Quantitative Equity Group, and because our costs are extremely low. A fund's returns are directly reduced by the expenses it incurs, so low costs allow us to more closely track our target indexes. And over long periods, we fully expect our index funds to outperform the majority of peer funds. After all, our funds and their competitors are "fishing in the same pond" of securities and will, in the aggregate, earn very similar gross returns from the market in which they invest. The index fund's advantage is simply mathematics: It loses considerably less of the market return to operating and transaction costs than does its average competitor. Both of our funds have expense ratios of 0.25%, or $2.50 per $1,000 of assets invested, far lower than the 1.43% ($14.30 per $1,000) charged by their average peers, according to data from Lipper Inc. Such a cost advantage gives our funds a head start, year after year, over their average competitors. We will not make predictions about absolute returns--other than to say that there's an excellent chance that they won't be nearly as high in the next ten years as they were over the past decade. Preparing for lower future returns is not only realistic but practical. All investors should prefer that surprises provided by the financial markets be pleasant ones. --- 5 116 A FEW WORDS ABOUT ADMIRAL SHARES In November, Vanguard introduced Admiral Shares, an innovative program to recognize the cost savings that long-tenured and large accounts bring to the administration of mutual funds. Admiral Shares return these savings to the investors who create them. All owners of the Admiral Shares of Vanguard Extended Market Index Fund are proportional owners of the fund's assets--the underlying stocks in which the fund invests. But Admiral shareholders benefit from an even lower annual expense ratio--just 0.20%, or $2 per $1,000 in assets--than the 0.25% expense ratio of our fund's Investor Shares. Importantly, we are able to offer Admiral Shares without an increase in the expense ratio for Investor Shares of the Extended Market Index Fund. Admiral Shares are available to the owners of both nonretirement and IRA accounts that meet one of the following criteria: - The fund account was established at least ten years ago and has a balance of $50,000 or more, and the shareholder is registered for online account access at our website, Vanguard.com. - The fund account was established at least three years ago and has a balance of $150,000 or more, and the shareholder is registered for online account access at Vanguard.com. - There is a balance of $250,000 or more in the fund account. IN SUMMARY An investment of any size in our funds reflects trust, and we thank all of our shareholders for putting their hard-earned assets under our care. During 2000, many investors were reminded that diversification matters. Sadly, for many aggressive investors, it was a painful reminder. So, after a year when the investment environment was extremely difficult, we offer the same counsel that we've given in previous years when investing seemed easy: Build a diversified portfolio of stock funds, bond funds, and short-term investments, and then stick with it. Sincerely, [PHOTO] /s/ JOHN J. BRENNAN JOHN J. BRENNAN Chairman and January 18, 2001 Chief Executive Officer --- 6 117
FUND STATISTICS YEAR ENDED DECEMBER 31, 2000 --------------------------- NET ASSET VALUE DIVIDENDS PER SHARE DISTRIBUTIONS PER SHARE ---------------------------- FROM NET FROM NET VANGUARD DECEMBER 31, DECEMBER 31, REALIZED INVESTMENT INDEX FUND 1999 2000 CAPITAL GAINS INCOME - -------------------------------------------------------------------------------- Extended Market $37.07 $26.61 $4.43 $0.263 Mid-Cap 11.30 12.21 0.98 0.078 - -------------------------------------------------------------------------------- ADMIRAL SHARES - -------------------------------------------------------------------------------- Extended Market $31.89* $26.61 $3.32 $0.274 - -------------------------------------------------------------------------------- INSTITUTIONAL SHARES - -------------------------------------------------------------------------------- Extended Market $37.09 $26.62 $4.43 $0.312 Mid-Cap 11.30 12.23 0.98 0.089 - --------------------------------------------------------------------------------
*Net asset value as of inception on November 13, 2000. --- 7 118 FUND PROFILE AS OF DECEMBER 31, 2000 for Extended Market Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to both its unmanaged target index and a broad market index. Key terms are defined on page 10.
- ---------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - ---------------------------------------------------------------- Number of Stocks 3,055 6,147 6,638 Median Market Cap $2.2B $2.2B $40.0B Price/Earnings Ratio 38.2x 38.2x 27.4x Price/Book Ratio 3.0x 3.0x 4.2x Yield 0.9% 1.0% 1.2% Yield--Admiral Shares 0.9% 1.0% 1.2% Yield--Institutional Shares 1.0% 1.0% 1.2% Return on Equity 13.0% 13.0% 22.5% Earnings Growth Rate 15.0% 15.0% 15.8% Foreign Holdings 0.3% 0.0% 0.0% Turnover Rate 33% -- -- Expense Ratio 0.25% -- -- Expense Ratio-- Admiral Shares 0.20%** -- -- Expense Ratio-- Institutional Shares 0.10% -- -- Cash Investments 0.5% -- -- - ----------------------------------------------------------------
- ---------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - ---------------------------------------------------------------- R-Squared 1.00 1.00 0.74 1.00 Beta 1.00 1.00 1.29 1.00 - ----------------------------------------------------------------
- ---------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - ---------------------------------------------------------------- Auto & Transportation 2.1% 2.1% 1.8% Consumer Discretionary 16.0 16.0 12.2 Consumer Staples 2.2 2.2 6.1 Financial Services 19.4 19.4 19.1 Health Care 12.5 12.5 14.1 Integrated Oils 0.2 0.2 3.4 Other Energy 4.5 4.5 2.9 Materials & Processing 4.3 4.3 2.8 Producer Durables 4.8 4.8 3.4 Technology 21.4 21.4 20.3 Utilities 8.4 8.4 8.6 Other 4.2 4.2 5.3 - ----------------------------------------------------------------
*Wilshire 4500 Completion Index. **Annualized.
- -------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Berkshire Hathaway Inc. Class A 3.5% (conglomerate) Juniper Networks, Inc. 1.3 (telecommunications) Cox Communications, Inc. Class A 0.9 (utilities) CIENA Corp. 0.7 (telecommunications) i2 Technologies, Inc. 0.7 (software) Immunex Corp. 0.7 (pharmaceuticals) Brocade Communications Systems, Inc. 0.7 (telecommunications) Gemstar-TV Guide International, Inc. 0.6 (media) General Motors Corp. Class H 0.6 (telecommunications) BEA Systems, Inc. 0.5 (software) - ------------------------------------------- Top Ten 10.2% - -------------------------------------------
- ------------------------------------------- INVESTMENT FOCUS Market Cap Blend Style Medium - -------------------------------------------
--- 8 119 FUND PROFILE AS OF DECEMBER 31, 2000 for Mid-Cap Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to both its unmanaged target index and a broad market index. Key terms are defined on page 10.
- ---------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - ---------------------------------------------------------------- Number of Stocks 406 400 6,638 Median Market Cap $2.8B $2.8B $40.0B Price/Earnings Ratio 22.8x 22.8x 27.4x Price/Book Ratio 3.1x 3.1x 4.2x Yield 0.8% 1.0% 1.2% Yield--Institutional Shares 1.0% 1.0% 1.2% Return on Equity 15.7% 15.7% 22.5% Earnings Growth Rate 13.8% 13.8% 15.8% Foreign Holdings 0.4% 0.4% 0.0% Turnover Rate 51% -- -- Expense Ratio 0.25% -- -- Expense Ratio-- Institutional Shares 0.12% -- -- Cash Investments 0.3% -- -- - ----------------------------------------------------------------
- ---------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - ---------------------------------------------------------------- Auto & Transportation 2.6% 2.6% 1.8% Consumer Discretionary 16.3 16.3 12.2 Consumer Staples 3.4 3.4 6.1 Financial Services 21.2 21.3 19.1 Health Care 13.4 13.2 14.1 Integrated Oils 0.3 0.3 3.4 Other Energy 6.3 6.3 2.9 Materials & Processing 5.7 5.8 2.8 Producer Durables 5.9 5.8 3.4 Technology 13.9 14.2 20.3 Utilities 9.1 9.1 8.6 Other 1.9 1.7 5.3 - ----------------------------------------------------------------
*S&P MidCap 400 Index.
- ------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Millennium Pharmaceuticals, Inc. 1.5% (biotechnology) Waters Corp. 1.2 (electrical & electronics) Concord EFS, Inc. 1.1 (financial services) IDEC Pharmaceuticals Corp. 1.0 (biotechnology) Cintas Corp. 1.0 (commercial services) Genzyme Corp. 0.9 (pharmaceuticals) Univision Communications Inc. 0.9 (radio & television) DST Systems, Inc. 0.9 (financial services) Rational Software Corp. 0.8 (software) Cadence Design Systems, Inc. 0.8 (software) - ------------------------------------------- Top Ten 10.1% - -------------------------------------------
- ------------------------------------------- INVESTMENT FOCUS Market Cap Blend Style Medium - -------------------------------------------
[COMPUTER GRAPHIC] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. --- 9 120 GLOSSARY of Investment Terms - ------------------------------------------------------------------------------- BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the fund's target index and an overall market index. Each index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 would have seen its share price rise or fall by 12% when the overall market rose or fell by 10%. - ------------------------------------------------------------------------------- CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash equivalents"--highly liquid, short-term, interest-bearing securities. This figure does not include cash invested in futures contracts to simulate stock investment. - ------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. - ------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. - ------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or American Depositary Receipts of companies based outside the United States. - ------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. - ------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. - ------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. - ------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by the fund's target index and by an overall market index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If a fund's returns bore no relationship to the index's returns, its R-squared would be 0. - ------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. - ------------------------------------------------------------------------------- TURNOVER RATE. An indication of trading activity during the past year. Funds with high turnover rates incur higher transaction costs and are more likely to distribute capital gains (which are taxable to investors). - ------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of dividends paid on stocks in the index. - ------------------------------------------------------------------------------- ---- 10 121 PERFORMANCE SUMMARY for Extended Market Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [PERFORMANCE BAR GRAPH]
- ------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) DECEMBER 31, 1990-DECEMBER 31, 2000 EXTENDED WILSHIRE MARKET INDEX 4500 INDEX - ------------------------------------------------------------------------------- 1991 41.8% 43.5% 1992 12.5 11.9 1993 14.5 14.6 1994 -1.8 -2.7 1995 33.8 33.5 1996 17.6 17.2 1997 26.7 25.7 1998 8.3 8.6 1999 36.2 35.4 2000 -15.5 -15.9 - -------------------------------------------------------------------------------
See Financial Highlights table on page 56 for dividend and capital gains information for the past five years. [PERFORMANCE LINE GRAPH]
- ------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1990-DECEMBER 31, 2000 Extended Market Average Mid-Cap Wilshire Wilshire Index Fund* Core Fund* 4500 Index 5000 Index 1990 12 $10000 $10000 $10000 $10000 1991 03 12064 12630 12072 11646 1991 06 11986 12445 12014 11609 1991 09 12997 13702 13101 12346 1991 12 14185 15148 14345 13421 1992 03 14399 15381 14530 13242 1992 06 13895 14105 13937 13226 1992 09 14300 14620 14353 13632 1992 12 15953 16901 16048 14624 1993 03 16597 17326 16694 15247 1993 06 16818 17747 16952 15362 1993 09 17996 19119 18189 15983 1993 12 18265 19823 18386 16274 1994 03 17692 19291 17720 15667 1994 06 17219 18450 17176 15545 1994 09 18355 19820 18356 16390 1994 12 17943 19577 17896 16264 1995 03 19270 20939 19251 17733 1995 06 21004 23016 20895 19388 1995 09 23426 25326 23254 21160 1995 12 24007 25505 23888 22192 1996 03 25486 26883 25300 23439 1996 06 26516 28363 26454 24472 1996 09 27203 28842 27018 25164 1996 12 28243 30022 27993 26900 1997 03 27260 28408 26808 27074 1997 06 31549 32736 30949 31646 1997 09 36307 37584 35693 34733 1997 12 35792 36536 35184 35316 1998 03 39913 40924 39264 40000 1998 06 39043 39925 38494 40779 1998 09 31743 31999 31391 35874 1998 12 38769 39686 38221 43591 1999 03 38506 38980 38155 45236 1999 06 43299 43726 42557 48767 1999 09 40769 41848 39930 45542 1999 12 52811 54874 51785 53861 2000 03 57926 62458 56937 55917 2000 06 52896 60167 51962 53410 2000 09 54899 63178 53837 53498 2000 12 44601 58770 43526 47943
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE ------------------------------- OF A $10,000 1 YEAR 5 YEARS 10 YEARS INVESTMENT - ------------------------------------------------------------------------------- Extended Market Index Fund* -15.55% 13.19% 16.13% $44,601 Average Mid-Cap Core Fund** 7.10 18.17 19.38 58,770 Wilshire 4500 Index -15.95 12.75 15.84 43,526 Wilshire 5000 Index -10.99 16.66 16.97 47,943 - -------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ---- 11 122 PERFORMANCE SUMMARY for Extended Market Index Fund Institutional Shares All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [PERFORMANCE BAR GRAPH]
- ------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) JULY 7, 1997-DECEMBER 31, 2000 EXTENDED MARKET INDEX FUND WILSHIRE INSTITUTIONAL SHARES 4500 INDEX - ------------------------------------------------------------------------------- 1997 11.8% 12% 1998 8.5 8.6 1999 36.4 35.4 2000 -15.4 -15.9 - -------------------------------------------------------------------------------
See Financial Highlights table on page 57 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- ------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE JULY 7, 1997-DECEMBER 31, 2000 Extended Market Index Fund Average Mid-Cap Wilshire Wilshire Institutional Shares Core Fund* 4500 Index 5000 Index 7/7/1997 $ 10000000 $ 10000000 $ 10000000 $ 10000000 1997 09 11338798 11300149 11366976 10748959 1997 12 11182106 10880830 11204699 10929421 1998 03 12473231 12181089 12504079 12378776 1998 06 12205107 11948240 12258978 12619869 1998 09 9927898 9620947 9996727 11101844 1998 12 12127519 11818758 12171804 13490239 1999 03 12049025 11602488 12150811 13999303 1999 06 13552535 13085712 13552735 15092013 1999 09 12765181 12582274 12716320 14093861 1999 12 16547696 16341796 16491531 16668424 2000 03 18153931 18590666 18132201 17304654 2000 06 16583490 18005940 16548045 16528744 2000 09 17215329 18995459 17144988 16556023 2000 12 13997124 17502064 13861511 14837034
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE OF ------------------------------- A $10,000,000 1 YEAR SINCE INCEPTION INVESTMENT - ------------------------------------------------------------------------------------------ Extended Market Index Fund Institutional Shares -15.41% 10.13% $13,997,124 Average Mid-Cap Core Fund* 7.10 17.42 17,502,064 Wilshire 4500 Index -15.95 9.82 13,861,511 Wilshire 5000 Index -10.99 11.99 14,837,034 - ------------------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc. ---- 12 123 PERFORMANCE SUMMARY for Mid-Cap Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [PERFORMANCE BAR GRAPH]
- ------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) MAY 21, 1998-DECEMBER 31, 2000 MID-CAP S&P MID-CAP INDEX FUND 400 INDEX - ------------------------------------------------------------------------------- 1998 8.6% 7.9% 1999 15.3 14.7 2000 18.1 17.5 - -------------------------------------------------------------------------------
See Financial Highlights table on page 58 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- ------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE MAY 21, 1998-DECEMBER 31, 2000 Mid-Cap Average Mid-Cap S&P MidCap Wilshire Index Fund* Core Fund** 400 Index 500 Index 5/21/1998 $ 10000 $ 10000 $ 10000 $ 10000 1998 06 9851 9965 9838 10113 1998 09 8436 8030 8415 8897 1998 12 10855 9853 10787 10811 1999 03 10176 9702 10098 11219 1999 06 11628 10909 11528 12095 1999 09 10674 10502 10560 11295 1999 12 12518 13623 12375 13358 2000 03 14136 15545 13945 13868 2000 06 13687 15010 13485 13246 2000 09 15346 15855 15123 13268 2000 12 14783 14590 14541 11890
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE ------------------------------- OF A $10,000 1 YEAR SINCE INCEPTION INVESTMENT - ------------------------------------------------------------------------------- Mid-Cap Index Fund* 18.10% 16.13% $14,783 Average Mid-Cap Core Fund** 7.10 15.55 14,590 S&P MidCap 400 Index 17.51 15.40 14,541 Wilshire 5000 Index -10.99 6.85 11,890 - -------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ---- 13 124 PERFORMANCE SUMMARY for Mid-Cap Index Fund Institutional Shares All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [PERFORMANCE BAR GRAPH]
- ------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) MAY 21, 1998-DECEMBER 31, 2000 MID-CAP INDEX FUND S&P MIDCAP INSTITUTIONAL SHARES 400 INDEX - ------------------------------------------------------------------------------- 1998 8.6% 7.9% 1999 15.4 14.7 2000 18.4 17.5 - -------------------------------------------------------------------------------
See Financial Highlights table on page 59 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- ------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE MAY 21, 1998-DECEMBER 31, 2000 Mid-Cap Index Fund Average Mid-Cap S&P Midcap Wilshire Institutional Shares Core Fund* 400 Index 500 Index 5/21/1998 $ 10000000 $ 10000000 $ 10000000 $ 10000000 1998 06 9850598 9965358 9837687 10113485 1998 09 8446215 8030256 8414517 8896949 1998 12 10861297 9852552 10786696 10810994 1999 03 10181118 9701808 10098447 11218955 1999 06 11644654 10908732 11528142 12094645 1999 09 10690174 10501969 10560011 11294733 1999 12 12535225 13623124 12374874 13357971 2000 03 14166442 15545207 13944929 13867842 2000 06 13717427 15010415 13485247 13246033 2000 09 15390010 15854823 15123400 13267894 2000 12 14840250 14590366 14541104 11890307
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE OF ------------------------------- A $10,000,000 1 YEAR SINCE INCEPTION INVESTMENT - ------------------------------------------------------------------------------- Mid-Cap Index Fund Institutional Shares 18.39% 16.30% $14,840,250 Average Mid-Cap Core Fund* 7.10 15.55 14,590,366 S&P MidCap 400 Index 17.51 15.40 14,541,104 Wilshire 5000 Index -10.99 6.85 11,890,307 - -------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc. ---- 14 125 A REPORT on Your Fund's After-Tax Returns This table presents pre-tax and after-tax returns for your fund and an appropriate peer group of mutual funds. The after-tax returns represent the fund's past results only and should not be used to predict future tax efficiency. If you own the fund in a tax-deferred account such as an individual retirement account or a 401(k), this information does not apply to you. Such accounts are not subject to current taxes. Income taxes can have a considerable impact on a fund's return--an important consideration for investors who own mutual funds in taxable accounts. While the pre-tax return is most often used to tally a fund's performance, the fund's after-tax return, which accounts for taxes on distributions of capital gains and income dividends, is an important measure of the return that many investors actually received. PRE-TAX AND AFTER-TAX PERIODS ENDED DECEMBER 31, 2000 AVERAGE ANNUAL TOTAL RETURNS
ONE YEAR FIVE YEARS* TEN YEARS ---------------------------------------------------------- PRE-TAX AFTER-TAX PRE-TAX AFTER-TAX PRE-TAX AFTER-TAX - ---------------------------------------------------------------------------------------------- Vanguard Extended Market Index Fund -15.5% -18.8% 13.2% 10.3% 16.1% 14.1% Vanguard Extended Market Index Fund Institutional Shares -15.4 -18.7 10.1 6.9 -- -- Average Mid-Cap Blend Fund** 3.4 0.5 14.5 11.7 15.8 13.1 - ---------------------------------------------------------------------------------------------- Vanguard Mid-Cap Index Fund 18.1% 14.7% 16.1% 13.1% -- -- Vanguard Mid-Cap Index Fund Institutional Shares 18.4 14.9 16.3 13.3 -- -- Average Mid-Cap Blend Fund** 3.4 0.5 -- -- -- -- - ----------------------------------------------------------------------------------------------
*For the Mid-Cap Index Fund and Mid-Cap Index Fund Institutional Shares, returns are annualized since inception on May 21, 1998; for the Extended Market Index Fund Institutional Shares, returns are annualized from inception on July 7, 1997. **Based on data from Morningstar Inc. Elsewhere in this report, returns for comparable funds are derived from data provided by Lipper Inc., which may differ somewhat. The after-tax return calculations use the top federal income tax rates in effect at the time of each distribution. The tax burden would be less, and the after-tax return higher, for those in lower tax brackets. We must stress that because many interrelated factors affect how tax-friendly a fund may be, it's very difficult to predict tax efficiency. A fund's tax efficiency can be influenced by its turnover rate, the types of securities it holds, the accounting practices it uses, and the net cash flow it receives. Finally, it's important to understand that our calculation does not reflect the tax effect of your own investment activities. Specifically, you may incur additional capital gains taxes--thereby lowering your after-tax return--if you decide to sell all or some of your shares. - ------------------------------------------------------------------------------ A NOTE ABOUT OUR CALCULATIONS: Pre-tax total returns assume that all distributions received (income dividends, short-term capital gains, and long-term capital gains) are reinvested in new shares, while our after-tax returns assume that distributions are reduced by any taxes owed on them before reinvestment. When calculating the taxes due, we used the highest individual federal income tax rates at the time of the distributions. Those rates are currently 39.6% for dividends and short-term capital gains and 20% for long-term capital gains. State and local income taxes were not considered. The competitive group returns provided by Morningstar are calculated in a manner consistent with that used for Vanguard funds. (C)2001 by Morningstar(R), Inc. All rights reserved. Average return information for comparative fund groups is proprietary information of Morningstar, Inc. It may not be copied or redistributed, and it may only be used for noncommercial, personal purposes. Morningstar does not warrant that this information is accurate, correct, complete, or timely, and Morningstar is not responsible for investment decisions, damages, or other losses resulting from use of this information. Past performance is no guarantee of future performance. Morningstar, Inc., has not consented to be considered or deemed an "expert" under the Securities Act of 1933. ---- 15 126 FINANCIAL STATEMENTS December 31, 2000 STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets of each fund, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ COMMON STOCKS (98.7%)(1) - ------------------------------------------------------------------------------ * Berkshire Hathaway Inc. Class A 2,572 $ 182,611 * Juniper Networks, Inc. 535,700 67,531 * Cox Communications, Inc. Class A 971,059 45,214 * CIENA Corp. 483,900 39,316 * i2 Technologies, Inc. 683,240 37,150 * Immunex Corp. 914,400 37,147 * Brocade Communications Systems, Inc. 375,200 34,447 * Gemstar-TV Guide International, Inc. 698,095 32,199 * General Motors Corp. Class H 1,283,239 29,513 * BEA Systems, Inc. 416,700 28,048 * VoiceStream Wireless Corp. 274,474 27,618 * VeriSign, Inc. 332,935 24,699 The Goldman Sachs Group, Inc. 228,100 24,391 * Genentech, Inc. 286,200 23,324 * Ariba, Inc. 421,800 22,618 * Millennium Pharmaceuticals, Inc. 361,200 22,348 * SDL, Inc. 148,900 22,064 * Level 3 Communications, Inc. 624,900 20,504 John Hancock Financial Services, Inc. 535,100 20,132 * Cablevision Systems Corp. Class B 224,100 19,033 * Infinity Broadcasting Corp. 660,972 18,465 * Waters Corp. 219,500 18,327 * Sycamore Networks, Inc. 463,200 17,253 Equity Office Properties Trust REIT 519,119 16,935 * Concord EFS, Inc. 367,418 16,142 * TIBCO Software Inc. 330,500 15,842 * Southern Energy, Inc. 559,400 15,837 Axa ADR 215,385 15,466 * IDEC Pharmaceuticals Corp. 81,500 15,449 Cintas Corp. 286,750 15,252 * eBay Inc. 455,900 15,045 * Genzyme Corp. 161,270 14,504 * Univision Communications Inc. 351,100 14,373 * Exodus Communications, Inc. 718,300 14,366 * Human Genome Sciences, Inc. 205,300 14,230 * DST Systems, Inc. 212,100 14,211 * McLeodUSA, Inc. Class A 994,926 14,053 *(3)Corvis Corp. 582,781 13,877 * Openwave Systems Inc. 275,055 13,185 * Rational Software Corp. 321,342 12,512 Intimate Brands, Inc. 833,800 12,507 Equity Residential Properties Trust REIT 223,669 12,372 * CNA Financial Corp. 312,115 12,094 * Cadence Design Systems, Inc. 416,332 11,449 * Quest Diagnostics, Inc. 78,700 11,175 * NTL Inc. 460,281 11,018 United Parcel Service, Inc. 186,100 10,945
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- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * American Tower Corp. Class A 286,040 $ 10,834 M & T Bank Corp. 157,728 10,726 * SunGard Data Systems, Inc. 225,909 10,646 * IVAX Corp. 270,400 10,356 * Laboratory Corp. of America Holdings 58,764 10,342 * Redback Networks Inc. 248,800 10,201 SEI Corp. 90,889 10,180 * Sepracor Inc. 125,400 10,048 * Emulex Corp. 125,100 10,000 * Fiserv, Inc. 210,587 9,990 The Pepsi Bottling Group, Inc. 249,000 9,944 Washington Post Co. Class B 16,120 9,944 * USA Networks, Inc. 508,318 9,880 * Noble Drilling Corp. 226,700 9,847 * Adelphia Communications Corp. Class A 190,358 9,827 * BJ Services Co. 141,200 9,725 * Electronic Arts Inc. 224,900 9,586 *(3) Amazon.com, Inc. 606,200 9,434 Estee Lauder Cos. Class A 211,458 9,265 * Atmel Corp. 793,892 9,229 Zions Bancorp 147,712 9,223 * Crown Castle International Corp. 337,800 9,142 * EchoStar Communications Corp. 399,900 9,098 Diamond Offshore Drilling, Inc. 227,300 9,092 Telephone & Data Systems, Inc. 99,828 8,985 Marshall & Ilsley Corp. 176,709 8,982 * Weatherford International, Inc. 187,270 8,849 * Finisar Corp. 304,994 8,845 *(3) U.S. Cellular Corp. 145,150 8,745 *(3) ONI Sytems Corp. 219,773 8,695 National Community Bancorp 348,945 8,636 * Health Management Associates Class A 411,698 8,543 * TMP Worldwide, Inc. 155,300 8,542 * Global Marine, Inc. 299,300 8,493 * BroadWing Inc. 368,206 8,400 R.J. Reynolds Tobacco Holdings, Inc. 172,200 8,395 E.W. Scripps Co. Class A 132,269 8,316 * Commerce One, Inc. 327,700 8,295 * R & B Falcon Corp. 360,637 8,272 * Abgenix, Inc. 140,000 8,269 * Metromedia Fiber Network, Inc. 811,720 8,219 * XO Communications Inc. 453,813 8,084 Royal Caribbean Cruises, Ltd. 304,600 8,057 ENSCO International, Inc. 235,300 8,015 * Jabil Circuit, Inc. 308,000 7,816 (3) MGM Mirage, Inc. 271,310 7,648 * RF Micro Devices, Inc. 276,100 7,575 Total System Services, Inc. 328,064 7,340 * Extreme Networks, Inc. 186,800 7,309 * Micromuse Inc. 119,700 7,225 DPL Inc. 217,592 7,221 * Vertex Pharmaceuticals, Inc. 100,100 7,157 * Vignette Corp. 394,361 7,098 * webMethods, Inc. 79,434 7,065 Green Point Financial Corp. 171,500 7,021 * Affymetrix, Inc. 93,800 6,982 Golden State Bancorp Inc. 221,205 6,954 TECO Energy, Inc. 214,600 6,948 Simon Property Group, Inc. REIT 288,812 6,931 North Fork Bancorp, Inc. 278,834 6,849 Reader's Digest Assn., Inc. Class A 174,600 6,831 * Andrx Corp. 117,900 6,823 * Express Scripts 65,900 6,738 Neuberger Berman Inc. 82,700 6,704 * Invitrogen Corp. 77,376 6,683 * Gilead Sciences, Inc. 80,216 6,653 UnionBanCal Corp. 273,873 6,590 * Charter Communications, Inc. 289,800 6,575 * SCI Systems, Inc. 248,568 6,556 * Avanex Corp. 109,950 6,549 * Jones Apparel Group, Inc. 203,345 6,545 A.G. Edwards & Sons, Inc. 137,022 6,500 Allmerica Financial Corp. 89,497 6,489 * Protein Design Labs, Inc. 74,100 6,437 * Smith International, Inc. 86,100 6,420 * Apollo Group, Inc. Class A 129,862 6,388 Old Republic International Corp. 199,541 6,385 First Tennessee National Corp. 220,000 6,366 Boston Properties, Inc. REIT 145,200 6,316 Santa Fe International Corp. 196,400 6,297 * E.Piphany Inc. 116,475 6,282 * Powerwave Technologies, Inc. 107,000 6,260 * TeleCorp PCS, Inc. 279,590 6,256 Family Dollar Stores, Inc. 291,600 6,251 ProLogis Trust REIT 280,857 6,249 * Macrovision Corp. 84,400 6,247 Transatlantic Holdings, Inc. 58,100 6,151 TCF Financial Corp. 136,742 6,094 * Litton Industries, Inc. 77,398 6,090 Keebler Foods Co. 146,600 6,075 Popular, Inc. 230,188 6,057 * Cooper Cameron Corp. 91,500 6,045 Apartment Investment & Management Co. Class A REIT 120,601 6,023 * Park Place Entertainment 503,400 6,009 * Integrated Device Technology Inc. 180,569 5,981 ServiceMaster Co. 515,550 5,929 Northeast Utilities 243,602 5,907 * Rambus Inc. 163,500 5,906 * Citizens Communications Co. 449,774 5,903 * Acxiom Corp. 151,522 5,900 * International Game Technology 122,642 5,887
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- ------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------- * SPX Corp. 54,091 $ 5,852 * TriQuint Semiconductor, Inc. 133,332 5,825 * American Standard Cos., Inc. 118,000 5,819 Federated Investors, Inc. 199,000 5,796 * NetIQ Corp. 66,108 5,776 * Metro-Goldwyn-Mayer Inc. 354,035 5,775 * Oxford Health Plan 146,200 5,775 * Smurfit-Stone Container Corp. 384,468 5,743 Legg Mason Inc. 105,298 5,739 Avalonbay Communities, Inc. REIT 113,521 5,690 * Universal Health Services Class B 50,873 5,685 Vornado Realty Trust REIT 147,996 5,670 * Internet Security Systems, Inc. 71,700 5,624 * Manugistics Group, Inc. 98,400 5,609 Spieker Properties, Inc. REIT 111,600 5,594 * Interwoven, Inc. 84,100 5,545 * TranSwitch Corp. 140,900 5,513 * CheckFree Corp. 129,509 5,504 * Affiliated Computer Services, Inc. Class A 90,363 5,484 * Macromedia, Inc. 89,977 5,466 * Health Net Inc. 208,432 5,458 Hillenbrand Industries, Inc. 105,950 5,456 Dime Bancorp, Inc. 183,846 5,435 Archstone Communities Trust REIT 209,721 5,400 * Fox Entertainment Group, Inc. Class A 301,600 5,391 Duke Realty Investments, Inc. REIT 217,362 5,353 Mylan Laboratories, Inc. 211,800 5,335 * National-Oilwell, Inc. 136,700 5,289 SCANA Corp. 178,104 5,265 * Lamar Advertising Co. Class A 136,250 5,258 * Synopsys, Inc. 110,708 5,252 Public Storage, Inc. REIT 211,500 5,142 * Continental Airlines, Inc. Class B 99,600 5,142 Mercantile Bankshares Corp. 118,825 5,132 Mitchell Energy & Development Corp. Class A 83,600 5,121 *(3) Transmeta Corp. 217,792 5,118 * Community Health Systems, Inc. 146,100 5,114 * Republic Services, Inc. Class A 295,773 5,084 The PMI Group Inc. 75,050 5,080 * Lincare Holdings, Inc. 89,000 5,079 * Informatica Corp. 127,700 5,052 * 3Com Corp. 592,300 5,035 Delhaize America, Inc. Class A 284,409 5,030 * Medarex, Inc. 123,000 5,012 * BISYS Group, Inc. 96,000 5,004 * Trigon Healthcare, Inc. 64,062 4,985 * Ocean Energy, Inc. 284,642 4,946 BHC Communications, Inc. Class A 38,215 4,939 Compass Bancshares Inc. 206,847 4,938 * Caremark Rx, Inc. 362,172 4,912 UtiliCorp United, Inc. 158,329 4,908 Banknorth Group, Inc. 246,074 4,906 * Micrel, Inc. 145,600 4,905 Tyson Foods, Inc. 384,310 4,900 Manpower Inc. 128,900 4,898 American Water Works Co., Inc. 166,374 4,887 AVX Corp. 297,700 4,875 Host Marriott Corp. REIT 376,338 4,869 * WebMD Corporation 613,165 4,867 * Peregrine Systems, Inc. 245,836 4,855 Talbots Inc. 106,400 4,855 * ImClone Systems, Inc. 109,800 4,831 IBP, Inc. 180,200 4,820 Radian Group, Inc. 64,199 4,819 Bowater Inc. 85,349 4,812 * Arrow Electronics, Inc. 167,300 4,789 * BJ's Wholesale Club, Inc. 124,318 4,771 * Hispanic Broadcasting Corp. 185,700 4,735 * Nextel Partners, Inc. 281,480 4,732 * Oplink Communications, Inc. 263,022 4,718 Expeditors International of Washington, Inc. 87,800 4,714 * Brinker International, Inc. 111,563 4,714 * Western Wireless Corp. Class A 120,200 4,710 Unitrin, Inc. 115,840 4,706 Potomac Electric Power Co. 190,400 4,705 Kimco Realty Corp. REIT 105,750 4,673 Wisconsin Energy Corp. 206,261 4,654 Murphy Oil Corp. 76,730 4,637 * MiniMed, Inc. 110,300 4,636 Astoria Financial Corp. 85,053 4,619 Ultramar Diamond Shamrock Corp. 148,126 4,573 * Timberland Co. 68,300 4,568 Jack Henry & Associates 73,400 4,560 * ChoicePoint Inc. 69,205 4,537 Commerce Bancshares, Inc. 106,457 4,524 C.H. Robinson Worldwide, Inc. 143,800 4,521 * Dollar Tree Stores, Inc. 183,718 4,501 * Cephalon, Inc. 70,700 4,476 * OSI Pharmaceticals, Inc. 55,700 4,463 * AmeriSource Health Corp. 88,208 4,455 * Devry, Inc. 118,000 4,455 * Microchip Technology, Inc. 202,966 4,453 * Hanover Compressor Co. 99,800 4,447 Hormel Foods Corp. 238,100 4,435 * Cypress Semiconductor Corp. 223,200 4,394 * Enzon, Inc. 70,800 4,394
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- ------------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------- * L-3 Communications Holdings, Inc. 56,900 $ 4,381 Noble Affiliates, Inc. 94,936 4,367 Investors Financial Services Corp. 50,700 4,360 * Northwest Airlines Corp. Class A 144,700 4,359 * Barr Labs Inc. 59,550 4,343 Whitman Corp. 264,900 4,338 * Cree, Inc. 121,700 4,324 * Symantec Corp. 129,189 4,312 Fidelity National Financial, Inc. 116,288 4,295 Alliant Energy Corp. 134,199 4,278 Newport Corp. 54,400 4,276 Arthur J. Gallagher & Co. 67,000 4,263 MCN Energy Group Inc. 153,700 4,256 * Wind River Systems Inc. 123,903 4,228 Tidewater Inc. 95,200 4,225 Beckman Coulter, Inc. 100,700 4,223 * InfoSpace, Inc. 476,758 4,216 McCormick & Co., Inc. 116,783 4,211 National Fuel Gas Co. 66,800 4,204 * CSG Systems International, Inc. 89,500 4,201 * ICOS Corp. 80,800 4,197 * Quest Software, Inc. 149,400 4,193 * National Instruments Corp. 86,175 4,185 * CDW Computer Centers, Inc. 149,538 4,168 ICN Pharmaceuticals, Inc. 135,327 4,153 * Allegiance Telecom, Inc. 186,250 4,147 * Polycom, Inc. 128,400 4,133 Questar Corp. 137,130 4,122 Crescent Real Estate, Inc. REIT 184,400 4,103 Diebold, Inc. 121,926 4,069 The Timber Co. 135,900 4,069 Puget Sound Energy Inc. 146,141 4,065 * Grant Prideco, Inc. 184,070 4,038 GATX Corp. 80,899 4,035 Mercury General Corp. 91,700 4,023 * Cytyc Corp. 64,300 4,023 * Amkor Technology, Inc. 259,268 4,023 FirstMerit Corp. 150,200 4,016 * Celgene Corp. 122,700 3,988 * Plantronics, Inc. 84,500 3,972 Energy East Corp. 201,400 3,965 Shaw Industries, Inc. 209,018 3,958 * Chris-Craft Industries, Inc. 59,496 3,956 * Agile Software Corp. 80,100 3,955 * E*TRADE Group Inc. 533,815 3,937 NSTAR 90,560 3,883 The MONY Group Inc. 78,500 3,881 Hudson City Bancorp, Inc. 191,600 3,880 * Patterson Dental Co. 114,400 3,875 Eaton Vance Corp. 119,900 3,867 Lennar Corp. 106,639 3,866 Valero Energy Corp. 103,800 3,860 Herman Miller, Inc. 133,084 3,826 * Critical Path, Inc. 124,400 3,825 *(3) Akamai Technologies, Inc. 180,311 3,798 * First Health Group Corp. 81,330 3,787 First Virginia Banks, Inc. 78,863 3,785 Bank United Corp. Class A 55,400 3,778 * Orion Power Holdings, Inc. 153,018 3,768 Montana Power Co. 180,500 3,745 Helmerich & Payne, Inc. 85,200 3,738 * Inhale Therapeutic Systems 74,000 3,737 Equitable Resources, Inc. 55,550 3,708 AMB Property Corp. REIT 143,400 3,702 * AutoNation, Inc. 615,558 3,693 * Catalina Marketing Corp. 94,800 3,691 CONSOL Energy, Inc. 131,900 3,685 * Apogent Technologies Inc. 179,700 3,684 Cullen/Frost Bankers, Inc. 87,780 3,670 * Varian Medical Systems, Inc. 54,000 3,669 Liberty Financial Cos., Inc. 82,300 3,667 Sonoco Products Co. 169,593 3,667 Viad Corp. 159,284 3,664 * NVIDIA Corp. 111,600 3,657 Bergen Brunswig Corp. Class A 230,754 3,653 * Indymac Bancorp, Inc. 123,800 3,652 True North Communications 85,800 3,647 * Applera Corp. -Celera Genomics Group 101,200 3,637 * Venator Group, Inc. 234,400 3,633 * AmeriCredit Corp. 133,133 3,628 Commerce Bancorp, Inc. 53,006 3,624 *(3)Capstone Turbine Corp. 129,393 3,623 IPALCO Enterprises, Inc. 149,400 3,614 * Westwood One, Inc. 187,000 3,611 Tootsie Roll Industries, Inc. 78,370 3,610 * At Home Corp. Series A 651,254 3,602 * Dun & Bradstreet Corp. 139,100 3,599 * Time Warner Telecom Inc. 56,700 3,597 MDU Resources Group, Inc. 110,325 3,586 * Vishay Intertechnology, Inc. 236,022 3,570 * ACNielson Corp. 98,400 3,567 Fastenal Co. 64,900 3,561 * RSA Security Inc. 67,300 3,558 CarrAmerica Realty Corp. REIT 113,600 3,557 Protective Life Corp. 109,800 3,541 First American Corp. 107,700 3,541 Precision Castparts Corp. 84,100 3,537 * Art Technology Group, Inc. 115,400 3,527 * Energizer Holdings, Inc. 164,400 3,514 Harris Corp. 114,400 3,504 * Inktomi Corp. 195,500 3,495 * Iron Mountain, Inc. 93,700 3,479 * Varco International, Inc. 159,552 3,470 * Albany Molecular Research, Inc. 56,100 3,457
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ Hibernia Corp. Class A 270,481 $ 3,449 Associated Banc-Corp. 113,420 3,445 DENTSPLY International Inc. 87,900 3,439 UAL Corp. 88,300 3,438 Valley National Bancorp 103,109 3,435 * Newfield Exploration Co. 72,400 3,434 International Speedway Corp. 90,327 3,432 Wilmington Trust Corp. 55,100 3,420 Wesco Financial Corp. 12,128 3,417 * Outback Steakhouse 131,531 3,403 * Pioneer Natural Resources Co. 172,856 3,403 Omnicare, Inc. 157,300 3,402 * Shaw Group, Inc. 67,900 3,395 *(3) PRIMEDIA Inc. 283,500 3,384 * Quantum Corp.-DLT & Storage Systems 254,131 3,383 * Abercrombie & Fitch Co. 168,900 3,378 * Louis Dreyfus Natural Gas Corp. 73,700 3,376 Martin Marietta Materials, Inc. 79,499 3,363 * Sawtek Inc. 72,800 3,362 * Lattice Semiconductor Corp. 182,900 3,361 * GlobeSpan, Inc. 122,200 3,361 * J.D. Edwards & Co. 187,450 3,339 * Powertel Inc. 53,900 3,338 Leucadia National Corp. 94,176 3,337 Avnet, Inc. 155,052 3,334 * American Eagle Outfitters, Inc. 78,802 3,329 Cross Timbers Oil Co. 119,950 3,329 Liberty Property Trust REIT 116,000 3,313 American National Insurance Co. 45,150 3,296 * Cor Therapeutics, Inc. 92,800 3,265 Centura Banks, Inc. 67,639 3,264 Erie Indemnity Co. Class A 109,317 3,259 The McClatchy Co. Class A 76,250 3,250 White Mountains Insurance Group Inc. 10,185 3,249 Johns Manville Corp. 250,500 3,241 OGE Energy Corp. 132,400 3,236 General Growth Properties Inc. REIT 89,000 3,221 * Myriad Genetics, Inc. 38,800 3,211 * Inet Technologies, Inc. 79,100 3,204 * Barrett Resources Corp. 56,250 3,196 * Catellus Development Corp. 181,901 3,183 * CNET Networks, Inc. 199,013 3,181 * SanDisk Corp. 114,600 3,180 * International Rectifier Corp. 105,800 3,174 The St. Joe Co. 143,697 3,161 City National Corp. 81,288 3,155 ALLETE 126,700 3,144 Newport News Shipbuilding Inc. 60,395 3,141 Sovereign Bancorp, Inc. 386,400 3,140 DQE Inc. 95,743 3,136 IDACORP, Inc. 63,900 3,135 * Spectrasite Holdings, Inc. 236,450 3,133 * Quanta Services, Inc. 97,300 3,132 Waddell & Reed Financial, Inc. Class B 83,350 3,126 Belo Corp. Class A 195,106 3,122 Provident Financial Group, Inc. 83,225 3,121 * Triton PCS, Inc. 91,500 3,105 * Documentum, Inc. 62,300 3,096 * LAM Research Corp. 213,305 3,093 Lyondell Chemical Co. 201,654 3,088 * West TeleServices Corp. 109,400 3,077 IMC Global Inc. 197,044 3,066 Conectiv, Inc. 152,584 3,061 BancWest Corp. 116,928 3,055 *(3) CMGI Inc 545,576 3,052 John Nuveen Co. Class A 52,943 3,044 * Mentor Graphics Corp. 110,800 3,040 Galileo International, Inc. 151,900 3,038 * Centennial Communications Corp. Class A 160,700 3,013 Rouse Co. REIT 118,000 3,009 * Tekelec 100,200 3,006 * Foundry Networks, Inc. 200,400 3,006 Old National Bancorp 100,313 3,003 * Medicis Pharmaceutical Corp. 50,624 2,993 Cabot Corp. 113,032 2,981 Alpharma, Inc. Class A 67,783 2,974 Comdisco, Inc. 259,776 2,971 * Sybase, Inc. 149,940 2,971 Western Resources, Inc. 119,225 2,958 Reinsurance Group of America, Inc. 83,300 2,957 * Knight Trading Group, Inc. 209,900 2,925 Kansas City Power & Light Co. 106,100 2,911 * Alkermes, Inc. ` 92,300 2,896 Fulton Financial Corp. 125,509 2,895 American Financial Group, Inc. 108,900 2,893 * Barnes & Noble, Inc. 109,100 2,891 Teleflex Inc. 65,400 2,890 * Valassis Communications, Inc. 91,500 2,888 * Tanox, Inc. 73,683 2,887 Hollinger International, Inc. 181,400 2,880 Roslyn Bancorp, Inc. 105,331 2,877 * Silicon Valley Bancshares 83,200 2,876 * Packaging Corp. of America 177,600 2,864 * The Neiman Marcus Group, Inc. Class A 80,355 2,858 * Aeroflex, Inc. 99,000 2,854 Allied Capital Corp. 136,520 2,850 Mack-Cali Realty Corp. REIT 99,400 2,839 iStar Financial Inc. 144,094 2,837 * Mandalay Resort Group 129,259 2,836 * Smithfield Foods, Inc. 93,000 2,827 * HomeStore.com, Inc. 140,200 2,822
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- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ D. R. Horton, Inc. 115,364 $ 2,819 * SBA Communications Corp. 68,600 2,817 CNF Inc. 82,900 2,803 Greater Bay Bancorp 68,286 2,800 * Pride International Inc. 113,200 2,788 * Amphenol Corp. 71,100 2,786 Metris Cos., Inc. 105,871 2,786 Peoples Bank Bridgeport 107,550 2,783 * LifePoint Hospitals, Inc. 55,220 2,768 * Netegrity, Inc. 50,900 2,768 * Getty Images, Inc. 86,100 2,755 * Cerner Corp. 59,530 2,753 * Whole Foods Market, Inc. 44,900 2,745 * Cytec Industries, Inc. 68,600 2,740 Skywest, Inc. 95,200 2,737 Raymond James Financial, Inc. 78,337 2,732 * Alpha Industries, Inc. 73,800 2,731 Lafarge Corp. 115,399 2,726 Harte-Hanks, Inc. 115,082 2,726 * Lear Corp. 109,800 2,724 * Incyte Genomics, Inc. 109,500 2,724 * Coventry Health Care Inc. 101,900 2,719 Hubbell Inc. Class B 102,106 2,706 *(3) McDATA Corp. 49,350 2,702 Clayton Homes Inc. 234,796 2,700 Arden Realty Group, Inc. REIT 107,300 2,696 Vectren Corp. 104,797 2,685 * Payless ShoeSource, Inc. 37,946 2,685 WestAmerica Bancorporation 62,196 2,674 Flowers Industries, Inc. 169,800 2,674 * EMCORE Corp. 56,700 2,665 Downey Financial Corp. 48,420 2,663 Dallas Semiconductor Corp. 103,900 2,662 * Marine Drilling Co., Inc. 99,500 2,662 Reynolds & Reynolds Class A 131,200 2,657 * Sensormatic Electronics Corp. 132,161 2,651 * Apria Healthcare 89,080 2,650 * Teletech Holdings Inc. 143,540 2,638 * Chesapeake Energy Corp. 260,100 2,634 Weis Markets, Inc. 68,700 2,632 *(3) Wireless Facilities, Inc. 72,500 2,628 HON Industries, Inc. 102,900 2,624 * Scholastic Corp. 29,600 2,623 StanCorp Financial Group, Inc. 54,900 2,621 * Aviron 39,200 2,619 * Aether Systems, Inc. 66,900 2,617 * Infonet Services Corp. 522,600 2,613 Health Care Properties Investors REIT 87,000 2,599 * Orthodontic Centers of America, Inc. 83,100 2,597 Carter-Wallace, Inc. 77,400 2,583 * Stillwater Mining Co. 65,450 2,575 * Dycom Industries, Inc. 71,550 2,571 * Anaren Microwave, Inc. 38,000 2,553 * Labranche & Co. Inc. 83,500 2,552 * Techne 70,700 2,550 * Toll Brothers, Inc. 62,000 2,534 * SpeechWorks International Inc. 51,540 2,529 * Semtech Corp. 114,238 2,520 Post Properties, Inc. REIT 66,957 2,515 Washington Federal Inc. 88,422 2,515 Bindly Western Industries, Inc. 60,466 2,513 * Tech Data Corp. 92,178 2,493 * Advanced Fibre Communications, Inc. 138,000 2,493 * Professional Detailing, Inc. 23,500 2,485 BRE Properties Inc. Class A REIT 78,400 2,484 Highwood Properties, Inc. REIT 99,500 2,475 * Alleghany Corp. 12,019 2,470 * Cirrus Logic 131,700 2,469 * Sicor, Inc. 170,907 2,467 * Fisher Scientific International Inc. 66,900 2,467 * Mohawk Industries, Inc. 89,900 2,461 Capitol Federal Financial 146,700 2,457 Trustmark Corp. 116,900 2,455 *(3) Pixar, Inc. 81,000 2,430 * Henry Schein, Inc. 69,800 2,417 WGL Holdings Inc. 79,402 2,417 Sky Financial Group, Inc. 143,908 2,410 Pacific Century Financial Corp. 136,202 2,409 Enterprise Products Partners L.P. 76,300 2,399 * Tularik, Inc. 81,400 2,396 * DaVita, Inc. 139,894 2,396 * NPS Pharmaceuticals Inc. 49,900 2,395 Houghton Mifflin Co. 51,500 2,388 * Saks Inc. 238,159 2,382 * Entercom Communications Corp. 69,000 2,376 *(3) Nuance Communications Inc. 55,000 2,372 Webster Financial Corp. 83,664 2,369 Callaway Golf Co. 127,000 2,365 *(3) Cosine Communications, Inc. 170,372 2,364 Ross Stores, Inc. 139,976 2,362 * O'Reilly Automotive, Inc. 88,300 2,362 * Sodexho Marriott Services, Inc. 106,600 2,359 * Patterson Energy, Inc. 63,300 2,358 * Gentex Corp. 126,600 2,358 Heller Financial, Inc. 76,653 2,352 *(3) Edison Schools Inc. 74,500 2,347 Valspar Corp. 72,900 2,346 Cousins Properties, Inc. REIT 83,880 2,343 Technitrol, Inc. 56,900 2,340 * RealNetworks, Inc. 269,352 2,340 * CV Therapeutics, Inc. 33,000 2,335 Hertz Corp. Class A 68,400 2,334 Citizens Banking Corp. 80,038 2,326 * Dobson Communications Corp. 158,700 2,321 * Southern Union Co. 87,540 2,320
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * Sotheby's Holdings Class A 100,000 $ 2,319 * DoubleClick Inc. 210,130 2,311 Vintage Petroleum, Inc. 107,500 2,311 * Emmis Communications, Inc. 80,500 2,309 * Six Flags, Inc. 134,100 2,305 * Advance Paradigm, Inc. 50,500 2,298 * SERENA Software, Inc. 67,000 2,294 Lubrizol Corp. 88,633 2,282 Regency Realty Corp. REIT 96,300 2,281 * Markel Corp. 12,600 2,281 * APW Ltd. 67,215 2,269 * Priority Healthcare Corp. Class A 55,506 2,265 * KEMET Corp. 149,600 2,263 * Suiza Foods Corp. 47,100 2,261 Forest City Enterprise Class A 57,600 2,258 HCC Insurance Holdings, Inc. 83,300 2,244 John Wiley & Sons Class A 104,300 2,242 First Industrial Realty Trust REIT 65,800 2,237 Lee Enterprises, Inc. 75,000 2,236 * Investment Technology Group, Inc. 53,311 2,226 * Liberate Technologies, Inc. 163,300 2,225 Ethan Allen Interiors, Inc. 66,400 2,224 * Nova Corp. (Georgia) 111,488 2,223 * Regeneron Pharmaceuticals, Inc. 62,900 2,218 Franchise Finance Corp. of America REIT 95,000 2,215 OM Group, Inc. 40,500 2,212 * Renal Care Group, Inc. 80,215 2,200 Hospitality Properties Trust REIT 96,900 2,192 * Tetra Tech, Inc. 68,550 2,185 * Portal Software, Inc. 278,300 2,183 Carlisle Co., Inc. 50,746 2,179 Waddell & Reed Financial, Inc. 57,900 2,178 * Zebra Technologies Corp. Class A 53,300 2,174 * Bruker Daltonics, Inc. 92,230 2,173 * Ulticom, Inc. 63,715 2,170 Camden Property Trust REIT 64,661 2,166 * Vicor Corp. 71,281 2,165 * Columbia Sportswear Co. 43,500 2,164 * Forest Oil Corp. 58,530 2,158 FelCor Lodging Trust, Inc. REIT 90,037 2,155 * Cell Therapeutics, Inc. 47,800 2,154 Sierra Pacific Resources 133,928 2,151 * Sirius Satellite Radio, Inc. 71,800 2,150 Solutia, Inc. 178,700 2,144 * Pharmaceutical Product Development, Inc. 42,983 2,136 Pogo Producing Co. 68,600 2,135 * Global Industries Ltd. 155,600 2,130 * Swift Transportation Co., Inc. 107,325 2,126 * Tom Brown, Inc. 64,600 2,124 Donaldson Co., Inc. 76,200 2,119 * The Corporate Executive Board Co. 53,000 2,108 * Southwest Bancorporation of Texas, Inc. 49,000 2,104 Cleco Corp. 38,392 2,102 * Atlas Air, Inc. 64,287 2,097 * Cabot Microelectronics Corp. 40,361 2,096 Philadelphia Suburban Corp. 85,400 2,092 * Credence Systems Corp. 90,592 2,084 * PRAECIS Pharmaceuticals Inc. 71,205 2,083 *(3) ResMed Inc. 52,100 2,077 * Province Healthcare Co. 52,650 2,073 N L Industries, Inc. 85,400 2,071 * Plexus Corp. 68,100 2,070 W.R. Berkley Corp. 43,850 2,069 * UTI Energy Corp. 62,900 2,068 * Extended Stay America, Inc. 160,700 2,065 * Jacobs Engineering Group Inc. 44,700 2,065 Dain Rauscher Corp. 21,800 2,064 National Data Corp. 56,339 2,063 * Advent Software, Inc. 51,500 2,063 Valhi, Inc. 179,400 2,063 Hawaiian Electric Industries Inc. 55,435 2,061 FactSet Research Systems Inc. 55,600 2,061 Block Drug Co. Class A 39,073 2,059 * Affiliated Managers Group, Inc. 37,500 2,058 Piedmont Natural Gas, Inc. 53,770 2,053 * Embarcadero Technologies, Inc. 45,600 2,052 * TNPC, Inc. 208,542 2,046 AGL Resources Inc. 92,200 2,034 * Advantage Learning Systems, Inc. 60,400 2,031 * Advanced Digital Information Corp. 88,300 2,031 * The Cheesecake Factory 52,900 2,030 *(3) Avici Systems Inc. 82,410 2,029 21st Century Insurance Group 142,400 2,029 * Pegasus Communications Corp. Class A 78,700 2,027 * Ixia 88,440 2,023 Crompton Corp. 192,409 2,020 Colonial BancGroup, Inc. 187,700 2,018 * Copart, Inc. 93,700 2,015 * Stone Energy Corp. 31,200 2,014 First Midwest Bancorp 69,900 2,010 Harman International Industries, Inc. 55,028 2,009 * Entravision Communications Corp. 109,300 2,008 Weingarten Realty Investors REIT 45,900 2,008 * Fairchild Semiconductor Corp. 139,000 2,007 * NVR, Inc. 16,200 2,002 Pentair, Inc. 82,607 1,998
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- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ *(3) Retek Inc. 81,946 $ 1,997 * Alexion Pharmaceuticals, Inc. 30,700 1,994 * Exar Corp. 64,300 1,992 * Avocent Corp. 73,518 1,985 Millennium Chemicals, Inc. 109,400 1,983 Western Gas Resources, Inc. 58,800 1,981 New Plan Excel Realty Trust REIT 150,914 1,981 *(3) PurchasePro.com, Inc. 112,900 1,976 * CuraGen Corp. 72,200 1,972 * Imperial Bancorp 75,039 1,970 * Coach, Inc. 68,400 1,967 York International Corp. 63,900 1,961 Blyth, Inc. 81,050 1,955 Nationwide Financial Services, Inc. 41,100 1,952 * Men's Wearhouse, Inc. 71,404 1,946 Reckson Associates Realty Corp. REIT 77,600 1,945 * Houston Exploration Co. 51,000 1,944 * Triad Hospitals, Inc. 59,700 1,944 * Insight Communications Co., Inc. 82,700 1,943 Albemarle Corp. 78,082 1,933 * Proxim, Inc. 44,800 1,926 C & D Technology Inc. 44,600 1,926 Hudson United Bancorp 91,728 1,921 *(3) AmeriTrade Holding Corp. 274,300 1,920 * Jack in the Box Inc. 65,200 1,919 Cambrex Corp. 42,400 1,919 * Quorum Health Group, Inc. 121,800 1,918 RGS Energy Group Inc. 59,048 1,915 * Linens 'n Things, Inc. 69,300 1,914 * DMC Stratex Networks, Inc. 127,496 1,912 United Dominion Realty Trust REIT 176,500 1,908 * EGL, Inc. 79,600 1,905 * Viasystems Group, Inc. 228,300 1,898 *(3) Caliper Technologies Corp. 40,340 1,896 * Molecular Devices Corp. 27,600 1,889 Dean Foods Corp. 61,533 1,888 * Manhattan Associates, Inc. 44,300 1,888 * Spinnaker Exploration Co. 44,400 1,887 * Varian, Inc. 55,700 1,887 *(3) FuelCell Energy, Inc. 27,500 1,885 * Williams Sonoma, Inc. 94,200 1,884 Sensient Technologies Corp. 82,724 1,882 * Learning Tree International, Inc. 38,000 1,881 * IntraNet Solutions, Inc. 36,800 1,877 New York Community Bancorp, Inc. 50,961 1,873 *(3) Corixa Corp. 67,105 1,871 * Actuate Software Corp. 97,400 1,863 * Immunomedics Inc. 86,600 1,862 Lancaster Colony Corp. 66,115 1,855 * STERIS Corp. 114,716 1,850 * Symyx Technologies 51,300 1,847 United Television, Inc. 15,900 1,844 * Hain Celestial Group, Inc. 56,700 1,843 *(3) Krispy Kreme Doughnuts, Inc. 22,200 1,843 * Genencor International Inc. 102,090 1,838 Rayonier Inc. 46,100 1,835 * DDi Corp. 67,300 1,834 * Internap Network Services Corp. 252,900 1,834 * Kana Communications, Inc. 159,434 1,833 *(3) Stratos Lightwave, Inc. 107,377 1,832 * Winstar Communications, Inc. 156,700 1,831 * Integrated Circut Syetems, Inc. 110,500 1,830 Commercial Federal Corp. 94,097 1,829 Student Loan Corp. 33,400 1,818 * Grey Wolf, Inc. 309,300 1,817 Alexander & Baldwin, Inc. 69,200 1,817 *(3) Silicon Storage Technology, Inc. 153,700 1,816 * Cerus Corp. 24,100 1,814 Westfield America, Inc. REIT 125,300 1,809 * Intermune Pharmaceuticals 40,500 1,807 Dial Corp. 164,200 1,806 BorgWarner, Inc. 45,031 1,801 Public Service Co. of New Mexico 67,020 1,797 * UnitedGlobalCom Inc. Class A 131,878 1,797 * Education Management Corp. 49,900 1,784 * Impath, Inc. 26,800 1,782 * Furniture Brands International Inc. 84,600 1,782 * Forrester Research, Inc. 35,500 1,777 * Mediacom Communications Corp. 103,300 1,775 Aptargroup Inc. 60,300 1,771 * SurModics, Inc. 48,100 1,771 CBRL Group, Inc. 97,233 1,768 Charles E. Smith Residential Realty, Inc. REIT 37,600 1,767 Ruby Tuesday, Inc. 115,648 1,764 Black Hills Corp. 39,400 1,763 CenterPoint Properties Corp. REIT 37,300 1,762 * Security Capital Group Inc. REIT Class B 87,700 1,759 * Hearst-Argyle Television Inc. 86,035 1,758 Pittston Brink's Group 88,251 1,754 Doral Financial Corp. 72,500 1,754 * Edwards Lifesciences Corp. 98,600 1,750 * American Freightways 62,600 1,749 Essex Property Trust, Inc. REIT 31,900 1,747 * Evergreen Resources, Inc. 45,200 1,746 * Zale Corp. 59,900 1,741 * Avis Group Holdings, Inc. 53,400 1,739
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ Invacare Corp. 50,743 $ 1,738 * Scotts Co. 47,000 1,736 * Key Energy Services, Inc. 166,300 1,736 Independence Community Bank Corp. 108,900 1,736 * MIPS Technologies, Inc. Class B 68,033 1,734 CTS Corp. 47,579 1,734 * BOK Financial Corp. 81,444 1,731 Pennzoil-Quaker State Co. 134,355 1,730 (3) USG Corp. 76,800 1,728 Corn Products International, Inc. 59,400 1,726 *(3) Red Hat, Inc. 274,700 1,717 * Aspen Technologies, Inc. 51,500 1,712 * Vitria Technology, Inc. 220,900 1,712 Roper Industries Inc. 51,700 1,709 Brown & Brown, Inc. 48,800 1,708 * Mercury Computer Systems, Inc. 36,600 1,700 Harsco Corp. 68,832 1,699 Pier 1 Imports Inc. 164,708 1,699 * Boston Communications Group, Inc. 60,900 1,698 * Mid Atlantic Medical Services, Inc. 85,500 1,694 * Veeco Instruments, Inc. 42,200 1,693 * Pure Resources, Inc. 83,400 1,689 * Barra, Inc. 35,800 1,687 * National Processing, Inc. 98,900 1,681 * Speedway Motorsports, Inc. 70,000 1,680 Olin Corp. 75,900 1,679 IDEX Corp. 50,600 1,676 Prentiss Properties Trust REIT 62,200 1,676 * Ultratech Stepper, Inc. 64,700 1,674 * NeoPharm, Inc. 44,200 1,674 * Veritas DGC Inc. 51,800 1,673 * Silicon Valley Group, Inc. 58,100 1,670 HRPT Properties Trust REIT 220,700 1,669 * Insituform Technologies Class A 41,800 1,667 WPS Resources Corp. 45,100 1,660 Park National Corp. 18,500 1,659 * MRV Communications Inc. 123,988 1,658 * Footstar Inc. 33,500 1,658 * Inverness Medical Technology, Inc. 42,500 1,655 * HNC Software, Inc. 55,700 1,654 Avista Corp. 80,600 1,652 * Cognex Corp. 74,450 1,647 Universal Corp. 47,000 1,645 Energen Corp. 51,100 1,645 * Mastec Inc. 82,074 1,641 * Michaels Stores, Inc. 61,900 1,640 La-Z-Boy Inc. 103,400 1,629 * Great Plains Software, Inc. 34,600 1,628 * The Gymboree Corp. 117,260 1,627 * Intersil Holding Corp. 70,800 1,624 * United Rentals, Inc. 120,752 1,623 * Digital Lightwave, Inc. 51,150 1,621 Trinity Industries, Inc. 64,700 1,618 AK Steel Corp. 184,832 1,617 * FileNet Corp. 59,219 1,614 Polaris Industries, Inc. 40,550 1,612 * Price Communications Corp. 95,600 1,607 * CIMA Labs Inc. 24,700 1,607 Penton Media, Inc. Class A 59,516 1,599 Atmos Energy Corp. 65,576 1,598 * Loral Space & Communications 501,000 1,597 Commerce Group, Inc. 58,700 1,595 * 99 Cents Only Stores 58,270 1,595 *(3) Stanford Microdevices, Inc. 44,300 1,595 *(3) Next Level Communications, Inc. 140,200 1,595 Arch Coal, Inc. 112,900 1,595 * Azurix Corp. 193,400 1,583 Dole Food Co. 96,500 1,580 Selective Insurance Group 65,100 1,579 * Alliant Techsystems, Inc. 23,650 1,579 Florida East Coast Industries, Inc. Class A 44,000 1,579 * Monsanto Co. 58,300 1,578 Cabot Oil & Gas Corp. Class A 50,564 1,577 Claire's Stores, Inc. 87,700 1,573 * Oakley, Inc. 116,400 1,571 * Eclipsys Corp. 64,100 1,570 * ADVO, Inc. 35,375 1,570 * DuPont Photomasks, Inc. 29,700 1,569 * Storage Technology Corp. 174,182 1,568 * Black Box Corp. 32,400 1,565 * Borders Group, Inc. 133,800 1,564 *(3) Blue Martini Software, Inc. 117,992 1,563 * Iomega Corp. 463,100 1,561 * SEACOR SMIT Inc. 29,650 1,560 Bandag, Inc. 38,462 1,560 * Lone Star Technologies, Inc. 40,500 1,559 * Perot Systems Corp. 169,500 1,557 *(3) Luminent, Inc. 258,700 1,556 Brady Corp. Class A 46,000 1,555 * CEC Entertainment Inc. 45,561 1,555 * Titan Pharmaceuticals, Inc. 43,900 1,553 Dreyer's Grand Ice Cream, Inc. 48,000 1,548 * Station Casinos, Inc. 103,500 1,546 MeriStar Hospitality Corp. REIT 78,431 1,544 * Dendrite International, Inc. 69,000 1,544 * Cox Radio, Inc. 68,400 1,543 * 7-Eleven, Inc. 175,800 1,538 * Swift Energy Co. 40,879 1,538 * Atwood Oceanics, Inc. 35,100 1,538 UniSource Energy Corp. 81,700 1,537 LandAmerica Financial Group, Inc. 37,950 1,535 * Mueller Industries Inc. 57,232 1,535
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- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * NRG Energy, Inc. 55,100 $ 1,532 First Citizens BancShares Class A 18,900 1,526 Graco, Inc. 36,665 1,517 * Genuity Inc. 299,632 1,517 * Syncor International Corp. 41,700 1,517 Baldor Electric Co. 71,706 1,515 Federal Signal Corp. 76,737 1,506 * MAXIMUS, Inc. 43,094 1,506 * Objective Systems Integrators, Inc. 85,400 1,505 United Bankshares, Inc. 70,800 1,505 Kennametal, Inc. 51,555 1,502 RPM Inc. (Ohio) 175,280 1,501 * Selectica, Inc. 61,900 1,497 * Scios, Inc. 67,268 1,497 * Charles River Laboratories, Inc. 54,600 1,495 * The Titan Corp. 91,951 1,494 * Transkaryotic Therapies, Inc. 40,900 1,490 * Coherent, Inc. 45,846 1,490 * Trimeris, Inc. 27,100 1,487 Sterling Bancshares, Inc. 75,100 1,483 Chateau Communities, Inc. REIT 48,712 1,483 * Constellation Brands, Inc. Class A 25,200 1,481 * Atlantic Coast Airlines Holdings Inc. 36,200 1,480 * Perrigo Co. 178,500 1,478 Church & Dwight, Inc. 66,400 1,477 * Beverly Enterprises, Inc. 179,900 1,473 * First Federal Financial Corp. 45,550 1,472 Patina Oil & Gas Corp. 61,168 1,468 Casey's General Stores 98,200 1,467 * Cal Dive International, Inc. 55,000 1,464 Storage USA, Inc. REIT 46,100 1,464 Horace Mann Educators Corp. 68,400 1,462 Trenwick Group Ltd 58,923 1,462 * SonicWALL, Inc. 89,900 1,461 Healthcare Realty Trust Inc. REIT 68,600 1,458 * Accredo Health, Inc. 29,000 1,455 * Photronics Labs Inc. 62,096 1,455 * Trimble Navigation Ltd. 60,600 1,454 Kelly Services, Inc. Class A 61,537 1,454 Washington REIT 61,500 1,453 * Stericycle, Inc. 38,100 1,453 * XTRA Corp. 30,200 1,450 * CommScope, Inc. 87,400 1,448 New Jersey Resources Corp. 33,300 1,440 * Rent-A-Center, Inc. 41,700 1,439 Media General, Inc. Class A 39,500 1,438 Ametek Aerospace Products Inc. 55,300 1,434 AmerUs Group Co. 44,300 1,434 * Argosy Gaming Co. 74,700 1,433 Ryland Group, Inc. 35,100 1,430 Arrow International, Inc. 37,900 1,428 * Noven Pharmaceuticals, Inc. 38,200 1,428 * Del Webb Corp. 48,800 1,427 * Kenneth Cole Productions, Inc. 35,400 1,425 * Informix Corp. 479,754 1,424 *(3) CompuCredit Corp. 78,500 1,423 * Active Power, Inc. 64,801 1,422 * American Management Systems, Inc. 71,725 1,421 Burlington Coat Factory Warehouse Corp. 74,900 1,418 *(3) Duane Reade Inc. 46,400 1,418 * Bally Total Fitness Holding Corp. 41,796 1,416 Harleysville Group, Inc. 48,400 1,416 * United Stationers, Inc. 58,888 1,413 Jefferies Group, Inc. 45,200 1,413 * Adtran, Inc. 66,400 1,411 Michael Foods Group, Inc. 46,755 1,408 Superior Industries International, Inc. 44,619 1,408 * Anixter International Inc. 65,000 1,406 S & T Bancorp, Inc. 65,000 1,406 Lincoln Electric Holdings 71,552 1,404 * Pixelworks, Inc. 62,700 1,403 * ImmunoGen, Inc. 65,400 1,402 Nordson Corp. 54,980 1,402 * Axcelis Technologies, Inc. 157,802 1,400 Methode Electronics, Inc. Class A 60,900 1,397 * Pacific Sunwear of California 54,469 1,396 * Waste Connections, Inc. 42,200 1,395 * Entrust Technologies, Inc. 107,300 1,395 * Ingram Micro, Inc. 123,800 1,393 * Heidrick & Struggles International, Inc. 33,100 1,392 Colonial Properties Trust REIT 53,300 1,389 Sun Communities, Inc. REIT 41,400 1,387 Morgan Keegan, Inc. 52,300 1,386 * Heartland Express, Inc. 60,700 1,385 Applebee's International, Inc. 44,018 1,384 Rollins, Inc. 68,900 1,382 * Respironics, Inc. 48,500 1,382 MAF Bancorp, Inc. 48,571 1,381 Chittenden Corp. 45,553 1,381 * Rehabcare Corp. 26,800 1,377 * Littelfuse, Inc. 48,000 1,374 Whitney Holdings 37,800 1,373 ArvinMeritor, Inc. 120,650 1,372 * Basin Exploration Inc. 53,798 1,372 * Career Education Corp. 35,000 1,369 * Allen Telecom Inc. 76,340 1,369 Delta & Pine Land Co. 65,376 1,369 * Haemonetics Corp. 44,300 1,368 * Verity, Inc. 56,700 1,364
---- 25 136
- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * Flowserve Corp. 63,794 $ 1,364 * Click Commerce, Inc. 65,300 1,363 * Cubist Pharmaceuticals, Inc. 47,000 1,363 * Maxygen 55,617 1,363 G & K Services, Inc. 48,425 1,362 Enhance Financial Services Group, Inc. 88,100 1,360 Werner Enterprises, Inc. 79,975 1,360 Liberty Corp. 33,400 1,359 *(3) Williams Communications Group, Inc. 115,600 1,358 * Korn/Ferry International 63,900 1,358 * Esterline Technologies Corp. 51,710 1,357 USFreightways Corp. 45,100 1,357 * Forward Air Corp. 36,300 1,354 Community First Bankshares 71,616 1,352 Ferro Corp. 58,762 1,352 * Key3Media Group, Inc. 110,800 1,350 * Dal-Tile International Inc. 94,900 1,346 * Young Broadcasting Inc. 40,200 1,346 * Dionex Corp. 39,000 1,346 * SafeNet, Inc. 28,600 1,344 Morrison Management Specialists, Inc. 38,465 1,343 Primex Technologies, Inc. 42,120 1,343 * NCO Group, Inc. 44,200 1,343 Great American Financial Resources, Inc. 70,178 1,342 First Financial Bancorp 78,938 1,342 * Alaska Air Group, Inc. 45,000 1,339 * Safeguard Scientifics, Inc. 202,000 1,338 * Serologicals Corp. 88,800 1,338 GBC Bancorp 34,800 1,335 * Corinthian Colleges, Inc. 35,200 1,335 * Lexicon Genetics Inc. 80,300 1,335 * Cell Genesys, Inc. 58,500 1,335 * IHOP Corp. 61,500 1,334 *(3) Efficient Networks, Inc. 99,700 1,333 * Belco Oil & Gas Corp. 107,200 1,333 Overseas Shipholding Group Inc. 58,100 1,333 * R.H. Donnelley Corp. 54,800 1,332 * Electronics for Imaging, Inc. 95,500 1,331 Earthgrains Co. 71,900 1,330 PolyOne Corp. 226,375 1,330 Cabot Industrial Trust REIT 69,300 1,330 RPC Inc. 91,700 1,330 * Oceaneering International, Inc. 68,400 1,330 * Superior Energy Services, Inc. 115,500 1,328 Massey Energy Company 104,100 1,327 Granite Construction Co. 45,800 1,325 * Delphi Financial Group, Inc. 34,342 1,322 * Ogden Corp. 85,951 1,321 * Cymer, Inc. 51,320 1,321 Diagnostic Products Corp. 24,177 1,321 * Pennaco Energy, Inc. 67,200 1,319 UMB Financial Corp. 35,258 1,318 * Arkansas Best Corp. 71,900 1,317 * Input/Output, Inc. 129,100 1,315 Datascope Corp. 38,400 1,315 * WJ Communications, Inc. 92,250 1,315 Irwin Financial Corp. 61,900 1,312 * Avid Technology, Inc. 71,800 1,311 * MatrixOne, Inc. 71,985 1,309 * The Dress Barn, Inc. 45,100 1,308 Belden, Inc. 51,500 1,307 Kilroy Realty Corp. REIT 45,700 1,305 LNR Property Corp. 59,250 1,304 Arnold Industries, Inc. 72,400 1,303 * AirTran Holdings, Inc. 179,700 1,303 Carpenter Technology Corp. 37,200 1,302 Crown Cork & Seal Co., Inc. 175,000 1,302 * Yellow Corp. 63,900 1,301 Merchants New York Bancorporation 51,900 1,301 * Cable Design Technologies 77,308 1,300 Northwestern Corp. 56,200 1,300 Staten Island Bancorp, Inc. 60,700 1,297 * Varian Semiconductor Equipment Associates, Inc. 54,600 1,297 * WebTrends Corp. 44,800 1,296 * Lands' End, Inc. 51,600 1,296 *(3) WebEx Communications, Inc. 61,925 1,293 * ITT Educational Services, Inc. 58,700 1,291 * Teledyne Technologies, Inc. 54,500 1,288 * El Paso Electric Co. 97,366 1,285 Kaman Corp. Class A 75,900 1,281 * Electro Scientific Industries, Inc. 45,700 1,280 Trustco Bank 104,719 1,276 CH Energy Group, Inc. 28,500 1,275 * Landstar System 23,000 1,275 Kellwood Co. 60,300 1,274 * Offshore Logistics, Inc. 59,100 1,273 * Triarc Cos., Inc. Class A 52,400 1,271 * Insight Enterprises, Inc. 70,823 1,270 * Digene Corp. 28,400 1,269 Richmond County Financial Corp. 48,550 1,268 Kaydon Corp. 50,900 1,266 * CUNO Inc. 47,200 1,266 * Rogers Corp. 30,800 1,265 *(3) Centillium Communications, Inc. 56,700 1,262 Interface, Inc. 145,100 1,261 Bob Evans Farms, Inc. 59,116 1,260 * Neurocrine Biosciences,Inc. 38,000 1,259 Federal Realty Investment Trust REIT 66,200 1,258 * IDEXX Laboratories Corp. 57,100 1,256 Brandywine Realty Trust REIT 60,700 1,256 Oshkosh Truck Corp. 28,500 1,254
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- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * American Italian Pasta Co. 46,700 $ 1,252 Pultizer, Inc. 26,682 1,250 Mentor Corp. 64,038 1,249 * Silicon Graphics, Inc. 312,100 1,248 * Medical Assurance, Inc. 74,655 1,246 R.L.I. Corp. 27,850 1,245 Central Parking Corp. 62,200 1,244 * Administaff, Inc. 45,700 1,243 Developers Diversified Realty Corp. REIT 93,300 1,242 * AnnTaylor Stores Corp. 49,800 1,242 * AXT, Inc. 37,500 1,240 * Journal Register Co. 77,100 1,238 Cooper Cos., Inc. 31,000 1,236 * Wisconsin Central Transportation Corp. 82,000 1,235 Hooper Holmes, Inc. 111,600 1,234 Manitowac Co., Inc. 42,500 1,233 * Bio-Rad Laboratories, Inc. Class A 38,747 1,232 * Illuminet Holdings, Inc. 53,700 1,232 International Bancshares Corp. 36,082 1,231 * Maverick Tube Corp. 54,400 1,231 Interstate Bakeries Corp. 87,500 1,230 * Performance Food Group Co. 24,000 1,230 * WatchGuard Technologies, Inc. 38,900 1,230 Shurgard Storage Centers, Inc. Class A REIT 50,300 1,229 Ventas, Inc. REIT 218,265 1,228 Alfa Corp. 66,800 1,227 * FreeMarkets, Inc. 64,600 1,227 * K-V Pharmaceutical Co. Class A 49,025 1,226 Lance, Inc. 96,641 1,223 * Meridian Gold Co. 177,800 1,222 * Dollar Thrifty Automotive Group, Inc. 65,060 1,220 * Hollywood Casino Corp. 131,800 1,219 * Stewart Information Services Corp. 54,900 1,218 Glenborough Realty Trust, Inc. REIT 70,100 1,218 * GTech Holdings Corp. 59,200 1,217 Empire District Electric Co. 46,255 1,217 AGCO Corp. 100,300 1,216 * Newpark Resources, Inc. 127,100 1,215 * IDX Systems Corp. 48,582 1,215 *(3) Eden Bioscience Corp. 40,534 1,213 * Avant! Corp. 66,190 1,212 Summit Properties, Inc. REIT 46,600 1,212 * Spherion Corp. 107,100 1,212 UGI Corp. Holding Co. 47,846 1,211 *(3) Sangamo BioSciences, Inc. 62,000 1,209 * Kopin Corp. 109,100 1,207 * Tesoro Petroleum Corp. 103,600 1,204 * The Topps Co., Inc. 131,040 1,204 * Packard BioScience Co. 103,500 1,203 International Multifoods Corp. 59,169 1,202 * Advanced Energy Industries, Inc. 53,400 1,202 Minerals Technologies, Inc. 35,100 1,200 * WFS Financial, Inc. 64,860 1,200 Curtiss-Wright Corp. 25,800 1,200 Innkeepers USA Trust REIT 108,300 1,198 * Paxar Corp. 117,600 1,198 * Lexent Inc. 69,900 1,197 * Information Holdings Inc. 51,000 1,195 Standard Pacific Corp. 51,100 1,194 * Gene Logic Inc. 65,000 1,194 UIL Holdings Corporation 24,000 1,194 American Capital Strategies, Ltd. 47,400 1,194 Florida Rock Industries, Inc. 30,500 1,193 * Brooks Automation, Inc. 42,500 1,193 Corus Bankshares Inc. 24,100 1,193 *(3) Philadelphia Consolidated Holding Corp. 38,600 1,192 * Gaylord Entertainment Co. Class A 57,057 1,191 Pacific Capital Bancorp 42,300 1,190 * Polo Ralph Lauren Corp. 53,300 1,189 Presidential Life Corp. 79,600 1,189 * Bright Horizons Family Solutions, Inc. 45,480 1,188 * Computer Network Technology Corp. 41,200 1,187 * Choice Hotel International, Inc. 86,700 1,187 * Unifi, Inc. 132,525 1,184 * Vail Resorts Inc. 50,500 1,184 Zenith National Insurance Corp. 40,260 1,183 *(3) Silicon Laboratories Inc. 82,200 1,182 Ohio Casualty Corp. 117,812 1,178 Kimball International, Inc. Class B 81,200 1,177 *(3) Saba Software, Inc. 74,730 1,177 *(3) Luminex Corp. 45,160 1,177 * DiamondCluster International, Inc. 38,535 1,175 The Standard Register Co. 82,387 1,174 * Keane, Inc. 120,400 1,174 Texas Regional Bancshares, Inc. 36,080 1,173 BancorpSouth, Inc. 96,200 1,172 Schweitzer-Mauduit International, Inc. 61,200 1,172 Baldwin & Lyons, Inc. Class B 50,400 1,172 * AirGate PCS, Inc. 33,000 1,172 * Rudolph Technologies, Inc. 38,800 1,171 SL Green Realty Corp. REIT 41,800 1,170 The Toro Co. 31,900 1,170 * PRI Automation, Inc. 62,400 1,170 Grey Global Group Inc. 1,800 1,170
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * M.S. Carriers, Inc. 35,700 $ 1,169 * SeeBeyond Technology Corp. 113,700 1,165 Vital Signs, Inc. 36,264 1,165 * Syntroleum Corp. 68,500 1,165 * US Oncology, Inc. 184,232 1,163 * Leap Wireless International, Inc. 46,500 1,163 * ArthroCare Corp. 59,600 1,162 Wallace Computer Services, Inc. 68,300 1,161 * HS Resources Inc. 27,400 1,161 Northwest Natural Gas Co. 43,800 1,161 Longview Fibre Co. 85,970 1,161 *(3) Havas Advertising SA ADR 82,055 1,159 * CacheFlow Inc. 67,800 1,157 * SPS Technologies, Inc. 21,100 1,157 Southwest Gas Corp. 52,800 1,155 * ABIOMED, Inc. 47,600 1,154 Keithley Instruments Inc. 26,800 1,154 Integra Bank Corp. 45,100 1,153 Libbey, Inc. 37,900 1,151 Analogic Corp. 25,800 1,150 * Dril-Quip, Inc. 33,600 1,149 West Pharmaceutical Services, Inc. 46,762 1,149 Republic Security Financial Corp. 158,541 1,144 Crawford & Co. Class B 98,400 1,144 J. M. Smucker Co. 40,900 1,143 * Boca Resorts, Inc. Class A 79,500 1,143 BancFirst Corp. 28,774 1,142 * Scott Technologies, Inc. 51,000 1,141 * Pediatrix Medical Group, Inc. 47,400 1,141 * Owens-Illinois, Inc. 200,000 1,138 * AremisSoft Corp. 26,600 1,135 * Siliconix, Inc. 50,400 1,134 * Factory 2-U Stores Inc. 34,200 1,133 * ProBusiness Services, Inc. 42,600 1,132 * Westport Resources Corp. 51,500 1,130 Phillips-Van Heusen Corp. 86,893 1,130 CBL & Associates Properties, Inc. REIT 44,600 1,129 * MSC Industrial Direct Co., Inc. Class A 62,500 1,129 Phoenix Investment Partners Ltd. 71,900 1,128 * Guilford Pharmaceuticals, Inc. 62,600 1,127 * On Assignment, Inc. 39,500 1,126 Stewart & Stevenson Services, Inc. 49,582 1,126 * Exelixis, Inc. 76,962 1,126 EastGroup Properties, Inc. REIT 50,300 1,125 Santander BanCorp 58,420 1,125 First Bancorp/Puerto Rico 47,600 1,125 * Microtune, Inc. 67,750 1,122 AREA Bancshares Corp. 67,837 1,119 * OTG Software, Inc. 69,300 1,119 * Somera Communications, Inc. 128,700 1,118 Fair Issac & Co. 21,900 1,117 Gables Residential Trust REIT 39,800 1,114 Reliance Steel & Aluminum Co. 45,000 1,114 * PanAmSat Corp. 32,100 1,113 * ILEX Oncology, Inc. 42,300 1,113 * Sylvan Learning Systems, Inc. 75,000 1,111 Premier National Bancorp, Inc. 53,365 1,111 *(3) Plug Power, Inc. 75,600 1,110 *(3) StorageNetworks, Inc. 44,750 1,110 * MEMC Electronic Materials, Inc. 114,600 1,110 * Support.com, Inc. 54,795 1,110 * Earthlink, Inc. 220,522 1,110 * XOMA Ltd. 113,744 1,109 Argonaut Group, Inc. 52,719 1,107 * Legato Systems, Inc. 148,800 1,107 * Aurora Biosciences Corp. 35,200 1,107 F & M National Corp. 42,335 1,106 * Ligand Pharmaceuticals Inc. Class B 79,000 1,106 Tredegar Corp. 63,400 1,106 Provident Bankshares Corp. 52,944 1,105 Oneida Ltd. 59,533 1,105 Bel Fuse, Inc.-Class B 32,500 1,105 * Maxtor Corp. 197,500 1,105 * Hot Topic, Inc. 67,200 1,105 * SkillSoft Corp. 58,900 1,104 * WMS Industries, Inc. 54,850 1,104 * Commonwealth Telephone Enterprises, Inc. 31,500 1,103 * Kent Electronics Corp. 66,800 1,102 Roadway Express Inc. 52,000 1,102 * Emisphere Technologies, Inc. 44,000 1,100 Realty Income Corp. REIT 44,200 1,099 The Macerich Co. REIT 57,300 1,099 Florida East Coast Industries, Inc.--Class B 32,159 1,099 (3) Vector Group Ltd. 69,525 1,099 * School Specialty, Inc. 54,538 1,094 * Virata Corp. 100,500 1,093 Greif Brothers Corp. Class A 38,200 1,089 Bedford Property Investors, Inc. REIT 53,700 1,087 * Enzo Biochem, Inc. 43,700 1,087 Barnes Group, Inc. 54,600 1,085 * Rainbow Technologies, Inc. 68,600 1,085 Applied Industrial Technology, Inc. 52,750 1,085 OceanFirst Financial Corp. 43,900 1,081 * Terex Corp. 66,700 1,080 * Regeneration Technologies, Inc. 75,750 1,079 * Inspire Pharmaceuticals, Inc. 41,400 1,079 * Hibbett Sporting Goods, Inc. 29,900 1,076 * Microtouch Systems, Inc. 51,501 1,076
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- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * VISIX Inc. 103,000 $ 1,075 Koger Equity, Inc. REIT 69,000 1,074 * FOSSIL, INC. 73,900 1,070 Mid-America Apartment Communities, Inc. REIT 47,400 1,069 * FEI Co. 47,000 1,069 * Fairfield Communities, Inc. 76,000 1,069 Southwestern Energy Co. 103,000 1,069 * Activision, Inc. 70,600 1,068 * Sinclair Broadcast Group, Inc. 106,400 1,067 * Cost Plus, Inc. 36,300 1,066 * SilverStream Software, Inc. 51,600 1,064 * LTX Corp. 82,099 1,063 * Rayovac Corp. 74,900 1,063 (3) Southwest Securities Group, Inc. 41,030 1,062 First Charter Corp. 71,173 1,059 * C-Cube Microsystems Inc. 85,900 1,058 * First Republic Bank 32,000 1,056 U.S. Industries, Inc. 131,990 1,056 South Jersey Industries, Inc. 35,484 1,056 * Quantum Corp.-Hard Disk Drive 131,800 1,054 * Clayton Williams Energy, Inc. 39,000 1,053 Clarcor Inc. 50,900 1,053 * Vical, Inc. 56,900 1,053 * Artesyn Technologies, Inc. 66,300 1,053 Chemed Corp. 31,300 1,052 * Kronos, Inc. 33,975 1,051 Home Properties of New York, Inc. REIT 37,600 1,050 * Magnatek 80,800 1,050 * ISIS Pharmaceuticals, Inc. 98,774 1,049 Seacoast Financial Services Corp. 87,370 1,048 * Ralcorp Holdings, Inc. 64,000 1,048 Town & Country Trust REIT 54,200 1,047 *(3) Rite Aid Corp. 440,400 1,046 * Genrad, Inc. 104,211 1,042 * Covance, Inc. 96,860 1,041 * Sonic Corp. 44,650 1,041 Churchill Downs, Inc. 34,900 1,040 Cato Corp. Class A 75,600 1,040 * Genlyte Group, Inc. 43,700 1,038 * Saga Systems, Inc. 90,500 1,035 * NYFIX, Inc. 42,775 1,035 Modine Manufacturing Co. 49,700 1,031 * TriPath Imaging, Inc. 117,800 1,031 SJW Corp. 10,100 1,030 * Elantec Semiconductor, Inc. 37,100 1,030 Chelsea GCA Realty, Inc. REIT 27,900 1,029 * PAREXEL International Corp. 95,100 1,028 * 1-800 CONTACTS, Inc. 35,900 1,028 Susquehanna Bancshares, Inc. 62,250 1,027 First Federal Capital Corp. 70,800 1,027 Lennox International Inc. 132,325 1,026 *(3) The Yankee Candle Company, Inc. 92,700 1,025 Amcore Financial 49,500 1,024 * The Medicines Co. 49,950 1,024 Northwest Bancorp, Inc. 112,900 1,023 * WetSeal, Inc. Class A 49,700 1,022 * Cadiz Inc. 114,300 1,022 Brush Engineered Materials Inc. 50,500 1,019 * Parker Drilling Co. 201,200 1,019 Holly Corp. 54,200 1,016 *(3) Echelon Corp. 63,200 1,015 Coca-Cola Bottling Co. 26,800 1,015 Texas Industries, Inc. 33,814 1,014 * Kansas City Southern Industries,Inc. 100,000 1,013 * Hutchinson Technology, Inc. 73,600 1,012 A.O. Smith Corp. 59,250 1,011 Banta Corp. 39,725 1,010 Fleming Cos., Inc. 85,300 1,008 P.H. Glatfelter Co. 80,800 1,006 * Coinstar, Inc. 65,900 1,005 *(3) Applied Molecular Evolution 58,800 1,003 * Metro One Telecommunications, Inc. 40,100 1,003 * Actel Corp. 41,400 1,001 * Chiles Offshore, Inc. 40,000 1,000 Tremont Corp. 31,309 1,000 * Sybron Dental Specialties, Inc. 59,233 1,000 * Callon Petroleum Co. 59,700 996 * Ventiv Health, Inc. 79,133 994 Nationwide Health Properties, Inc. REIT 77,200 994 MacDermid, Inc. 52,300 994 Watts Industries Class A 71,600 993 Regis Corp. 68,510 993 * Bell & Howell Co. 60,200 993 Brown Shoe Company, Inc. 76,206 991 * Pharmacyclics, Inc. 28,877 989 RFS Hotel Investors, Inc. REIT 75,700 989 Alliance Bancorp Inc. 42,942 988 Alexandria Real Estate Equities, Inc. REIT 26,500 985 * Nuevo Energy Co. 56,900 985 * TD Waterhouse Group, Inc. 74,300 984 * Radiant Systems, Inc. 47,950 983 * American Superconductor Corp. 34,400 983 John H. Harland Co. 69,500 982 Wellman, Inc. 69,455 981 Advanced Marketing Services 56,450 981 * EMCOR Group, Inc. 38,400 979 * Pre-Paid Legal Services, Inc. 38,400 979 * Network Associates, Inc. 233,757 979 * JNI Corp. 43,100 978 * VerticalNet, Inc. 146,900 978
---- 29 140
- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * DSP Group Inc. 46,400 $ 977 * InFocus Corp. 66,200 976 *(3) Orchid Biosciences 69,600 974 United National Bancorp 50,708 973 * MICROS Systems, Inc. 53,252 972 * Anchor Gaming 24,902 971 Wabtec Corp. 82,600 971 * W-H Energy Services, Inc. 49,100 967 * Biosite Diagnostics, Inc. 23,900 966 * Energy Conversion Devices, Inc. 47,725 966 * CoorsTek, Inc. 30,800 966 * Mesaba Holdings, Inc. 76,900 966 * Crestline Capital Corp. 37,465 965 * RadiSys Corp. 37,250 964 Capstead Mortage Corp. 88,500 962 * Trico Marine Services, Inc. 62,300 962 Lawson Products, Inc. 35,350 961 JDN Realty Corp. REIT 90,950 961 * Pacificare Health Systems, Inc. 64,016 960 * Insignia Financial Group, Inc. 80,766 959 * Credit Acceptance Corp. 159,700 958 * RCN Corp. 151,700 958 * Aztar Corp. 73,900 956 * MedQuist, Inc. 59,681 955 * Caminus Corp. 41,070 955 Taubman Co. REIT 87,200 954 * EXE Technologies, Inc. 73,136 951 * Intergraph Corp. 158,400 950 * DigitalThink, Inc. 55,700 950 * Trex Co., Inc. 37,700 950 * Digex, Inc. 42,200 950 *(3) Niku Corp. 129,800 949 Spiegel, Inc. Class A 220,000 949 Saul Centers, Inc. REIT 50,800 946 *(3) XM Satellite Radio Holdings, Inc. 58,900 946 * Sonus Networks, Inc. 37,450 946 * Imation Corp. 60,980 945 * Playtex Products, Inc. 98,200 945 Republic Bancorp, Inc. 87,282 944 * Paxson Communications Corp. 78,800 941 * Frontline Capital Group 70,600 939 * Alliance Pharmaceutical Corp. 108,800 938 * Citizens, Inc. 133,969 938 ChemFirst Inc. 42,500 938 Andover Bancorp, Inc. 27,175 936 Regal-Beloit Corp. 54,800 935 * OmniSky Corp. 112,300 933 *(3) Atrix Laboratories, Inc. 54,634 932 * IDT Corp. 45,600 929 Hancock Holding Co. 24,285 929 * Alcide Corp. 31,700 927 * Chico's Fas, Inc. 44,372 926 * bebe stores, inc. 43,300 926 LaSalle Hotel Properties REIT 60,900 925 * ATMI, Inc. 47,400 924 * Power Integrations, Inc. 80,200 922 * Alexander's, Inc. 13,600 921 * HealthPlan Services Corp. 99,500 920 Frontier Financial Corp. 36,700 920 * Prize Energy Corp. 44,300 919 *(3) Penwest Pharmaceuticals Co. 70,963 918 Flushing Financial Corp. 51,150 918 * PSS World Medical, Inc. 183,500 918 * Bottomline Technologies, Inc. 35,700 917 The Stride Rite Corp. 131,000 917 *(3) Sunrise Assisted Living, Inc. 36,600 915 Pennsylvania REIT 47,800 914 Helix Technology Corp. 38,600 914 *(3) Direct Focus, Inc. 27,200 913 * Conmed Corp. 53,300 913 * UCAR International, Inc. 93,500 912 * Kulicke & Soffa Industries, Inc. 81,000 911 * Keynote Systems Inc. 64,200 911 * Hexcel Corp. 101,700 909 Pope & Talbot, Inc. 54,000 908 Milacron Inc. 56,500 908 *(3) The Children's Place Retail Stores, Inc. 44,800 907 Quanex Corp. 45,000 906 * Sipex Corp. 37,800 905 * C-COR Electronics, Inc. 92,900 903 * Progress Software Corp. 62,300 899 * Illumina, Inc. 55,780 896 ABM Industries 29,200 894 * Priority Healthcare Corp. Class B 21,900 894 * Remedy Corp. 53,863 892 Oshkosh B Gosh, Inc. Class A 48,200 892 * McMoRan Exploration Co. 67,290 892 * Durect Corp. 74,200 890 Spartech Corp. 43,300 890 * Vastera, Inc. 55,600 890 Berry Petroleum Class A 66,500 889 GenCorp, Inc. 92,300 888 * Novavax, Inc. 104,100 885 MDC Holdings, Inc. 26,800 883 Riggs National Corp. 63,300 882 Elcor Corp. 52,250 882 * PriceSmart, Inc. 26,800 881 * Papa John's International, Inc. 39,593 881 * UbiquiTel Inc. 160,100 881 * Ryan's Family Steak Houses, Inc. 93,200 880 * Pharmacopeia, Inc. 40,300 879 * Numerical Technologies, Inc. 48,615 878 * Structural Dynamics Research Corp. 87,555 876 * Cognizant Technology Solutions Corp. 24,106 875 *(3) Biopure Corp. 43,700 874
---- 30 141
- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * DVI, Inc. 51,200 $ 874 *(3) Optical Cable Corp. 96,350 873 * Integrated Silicon Solution, Inc. 60,700 873 Sovran Self Storage, Inc. REIT 43,900 873 Wolverine World Wide, Inc. 57,204 872 NBT Bancorp, Inc. 59,626 872 Omega Financial Corp. 32,200 869 AAR Corp. 68,800 869 Rollins Truck Leasing 108,562 868 * Gartner Group, Inc. Class A 125,800 868 *(3) Rosetta Inpharmatics,I nc. 54,160 867 *(3) AstroPower, Inc. 27,600 866 * Tumbleweed Communications Corp. 50,588 866 Engineered Support Systems, Inc. 39,750 865 * Datastream Systems, Inc. 88,600 864 * Oak Technology, Inc. 99,400 864 * Choice One Communications Inc. 92,700 863 * Endo Pharmaceuticals Holdings, Inc. 143,500 861 * Thermo Cardiosystems Inc. 98,150 859 * California Pizza Kitchen, Inc. 30,400 859 Westcorp, Inc. 57,220 858 * Hotel Reservations Network, Inc. 30,200 857 * ADE Corp. 48,600 857 Health Care REIT, Inc. 52,600 855 * Steel Dynamics, Inc. 77,500 853 * Aphton Corp. 47,361 852 * Bluestone Software Inc. 56,300 852 IRT Property Co. REIT 104,800 852 Tecumseh Products Co. Class A 20,300 851 * Digital Insight Corp. 47,130 851 Universal Health Realty Income REIT 42,800 851 *(3) American Classic Voyager Co. 60,700 850 WSFS Financial Corp. 66,000 850 Russ Berrie and Co., Inc. 40,200 849 Mid-America Bancorp 37,326 849 * MCSi, Inc. 39,700 849 * Amylin Pharmaceuticals, Inc. 107,600 847 * SPSS, Inc. 38,400 847 * Tollgrade Communications, Inc. 23,200 847 Georgia Gulf Corp. 49,582 846 * Dave & Busters 76,860 845 * UICI 142,300 845 * Biotechnology General 119,600 845 *(3) Research Frontiers, Inc. 48,000 840 * Valuevision International, Inc. Class A 66,500 840 Centex Construction Products, Inc. 30,700 838 * Tower Automotive, Inc. 93,100 838 Pioneer Standard Electronics Inc. 76,125 837 * ANADIGICS, Inc. 51,050 836 * Stein Mart, Inc. 71,700 834 * Midway Games Inc. 117,381 833 * Electroglas, Inc. 54,300 831 *(3) ParkerVision, Inc. 22,700 831 * EEX Corp. 170,533 831 * Sangstat Medical Corp. 70,000 831 * Zygo Corp. 29,300 829 * Peco II, Inc. 32,024 829 Ruddick Corp. 72,400 828 Park Electrochemical Corp. 26,950 827 Bay State Bancorp, Inc. 29,400 827 * Amerco, Inc. 42,100 826 Deb Shops, Inc. 61,200 826 * Alamosa PCS Holdings, Inc. 103,250 826 Lindsay Manufacturing Co. 36,500 826 Hudson River Bancorp. Inc. 65,000 825 * Pharmaceutical Resources, Inc. 118,688 823 * Avatar Holding, Inc. 38,900 822 * Hyperion Solutions Corp. 53,185 821 Manufactured Home Communities, Inc. REIT 28,300 821 Otter Tail Power Co. 29,500 819 Apogee Enterprises, Inc. 152,100 818 Pennfed Financial Services, Inc. 47,900 817 * Novoste Corp. 29,700 817 United Dominion Industries Ltd. 66,885 815 Suffolk Bancorp 26,400 815 * aaiPharma Inc. 80,000 815 * Management Network Group Inc. 68,600 815 * Checkpoint Systems, Inc. 109,326 813 * Blount International, Inc. 105,714 813 * BankUnited Financial Corp. 95,600 813 * MemberWorks, Inc. 38,200 812 * Ribozyme Pharmaceuticals, Inc. 56,700 812 Springs Industries Inc. Class A 25,000 811 * Benchmark Electronics, Inc. 35,900 810 * Mesa Air Group Inc. 115,700 810 * Nortek, Inc. 34,152 809 * Ditech Communications Corp. 50,200 806 * Unique Mobility, Inc. 113,000 805 * Entegris Inc. 107,100 802 * Alliance Semiconductor Corp. 70,850 801 *(3) Sharper Image Corp. 52,100 801 F.N.B. Corp. 38,130 801 Penn Engineering & Manufacturing Corp. 22,700 800 * Rural Cellular Corp. Class A 27,000 800 New England Business Service, Inc. 43,800 799 *(3) SCM Microsystems,Inc. 24,200 799 CFS Bancorp, Inc. 74,700 798
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ Mississippi Valley Bancshares, Inc. 27,100 $ 796 * Cheap Tickets, Inc. 81,500 795 * Genzyme Transgenics Corp. 55,400 793 * Spectrian Corp. 48,700 791 National Presto Industries, Inc. 25,763 791 * J. Jill Group, Inc. 51,000 791 * USinternetworking, Inc. 158,025 790 * Witness Systems, Inc. 58,500 790 Lone Star Steakhouse & Saloon, Inc. 81,963 789 *(3) Millennium Cell Inc. 76,800 787 * SuperGen, Inc. 56,700 787 * PICO Holdings, Inc. 63,145 785 * Systems & Computer Technology Corp. 63,700 784 * Acacia Research Corp. 44,000 784 * Buckeye Technology, Inc. 55,700 783 A. Schulman Inc. 68,062 783 J.B. Hunt Transport Services, Inc. 46,503 782 Cleveland-Cliffs Iron Co. 36,200 781 * Therma-Wave Inc. 55,700 780 * Telcom Semiconductor, Inc. 68,500 779 * MGI Pharma, Inc. 47,200 779 *(3) Antigenics, Inc. 70,223 777 * Volt Information Sciences Inc. 37,400 776 Commercial Metals Co. 34,866 776 * Texas Biotechnology Corp. 90,300 776 CT Communications, Inc. 55,100 775 * NetRatings, Inc. 52,670 774 JLG Industries, Inc. 72,800 774 * Ambassadors International, Inc. 40,700 773 * ITLA Capital Corp. 40,400 773 * Centennial Bancorp 88,103 771 * InterVoice-Brite, Inc. 106,274 770 Getty Realty Holding Corp. 50,932 770 * Too Inc. 61,600 770 * Photon Dynamics, Inc. 34,200 770 * Right Management Consultants 48,700 767 Independent Bank Corp. 61,300 766 * Pericom Semiconductor Corp. 41,400 766 * Nautica Enterprises, Inc. 50,237 765 * Aronex Pharmaceuticals, Inc. 172,400 765 *(3)Collateral Therapeutics, Inc. 43,200 764 * Mattson Technology, Inc. 74,000 763 * Frontier Oil Corp. 111,000 763 * Sequa Corp. Class A 20,900 760 * Tejon Ranch Co. 39,500 760 First Commonwealth Financial Corp. 75,800 758 Airborne, Inc. 77,620 757 CNA Surety Corp. 53,100 757 * AVANT Immunotherapeutics, Inc 109,900 756 H.B. Fuller Co. 19,150 756 * Expedia Inc. 78,960 755 * NPC International Class A 69,800 755 * Waypoint Financial Corp. 68,575 754 UNITILI Corp. 28,400 753 * Xircom, Inc. 48,500 752 * About.Com, Inc. 27,900 752 * Orphan Medical, Inc. 53,200 751 * Saga Communications, Inc. 50,393 750 * America West Holdings Corp. Class B 58,500 750 Community Trust Bancorp Inc. 50,387 750 *(3) GenesisIntermedia.com, Inc. 43,600 747 National Health Investors REIT 101,200 746 * Catalytica Energy Systems, Inc. 43,258 746 * Service Corp. International 426,100 746 * SeaChange International, Inc. 36,700 745 * Dyax Corp. 35,152 745 * Drexler Technology Corp. 53,911 745 Standex International Corp. 36,100 745 Blockbuster Inc. Class A 88,900 745 * Alliance Gaming Corp. 84,328 743 A.M. Castle & Co. 74,125 741 BostonFed Bancorp, Inc. 35,500 741 Frisch's Restaurants, Inc. 49,334 740 Psychemedics, Inc. 143,556 739 Resource Bancshares Mortgage Group, Inc. 104,400 737 Hughes Supply, Inc. 41,061 737 * Neose Technologies, Inc. 22,300 736 * ONYX Software Corp. 66,800 735 * Prime Hospitality Corp. 63,000 732 * Presstek, Inc 69,500 730 E.W. Blanch Holdings, Inc. 41,800 729 Coachmen Industries, Inc. 69,300 728 * LoJack Corp. 96,200 728 * Ocular Sciences, Inc. 62,500 727 * INAMED Corp. 35,400 723 *(3) Salton, Inc. 34,950 723 *(3) EntreMed, Inc. 41,900 723 * Universal Electronics, Inc. 46,700 721 * Roy F. Weston, Inc. 160,200 721 * Bone Care International, Inc. 41,600 720 * Pinnacle Holdings Inc. REIT 79,300 719 *(3) Geron Corp. 46,500 718 * Progenics Pharmaceuticals, Inc. 41,600 718 * PolyMedica Corp. 21,500 718 * PC-Tel, Inc. 66,700 717 * Ivex Packaging Corp. 65,500 716 * The Boyds Collection, Ltd. 76,900 716 * Natural Microsystems Corp. 72,500 716 * Aware, Inc. 40,300 715 Wausau-Mosinee Paper Corp. 70,628 715 * Sunburst Hospitality Corp. 98,366 713
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ Brookline Bancorp, Inc. 61,975 $ 713 * ViroPharma Inc. 49,200 713 * THQ Inc. 29,200 712 * Asyst Technologies, Inc. 52,800 710 * Remec, Inc. 73,700 709 * Aspect Communications Corp. 88,100 709 Sauer-Danfoss, Inc. 75,600 709 NYMAGIC, Inc. 37,500 708 * Citadel Communications Corp. 58,800 706 * Sequenom, Inc. 50,350 705 * Jones Lang Lasalle Inc. 50,800 705 * Identix, Inc. 89,700 704 Granite State Bankshares, Inc. 35,450 704 * Collins & Aikman Corp. 168,000 704 * World Wrestling Federation Entertainment, Inc. 43,900 702 Medford Bancorp, Inc. 45,302 702 CPI Corp. 35,100 702 * Trans World Entertainment Corp. 78,300 700 * Civic Bancorp 43,733 700 *(3) IGEN International, Inc. 56,800 699 *(3) Focal Communications Corp. 99,900 699 Gerber Scientific, Inc. 81,400 697 * National Beverage Corp. 77,440 697 * Del Monte Foods Co. 96,000 696 *(3) US Physical Therapy, Inc. 29,300 696 Russell Corp. 45,000 695 * Intuitive Surgical, Inc. 81,700 694 Skyline Corp. 36,600 693 Fleetwood Enterprises, Inc. 66,000 693 * Three-Five Systems, Inc. 38,350 690 * Clarent Corp. 61,000 690 * Osicom Technologies, Inc. 42,900 689 * Complete Business Solutions, Inc. 66,644 687 * Spectra-Physics Lasers, Inc. 27,200 687 * Concord Camera Corp. 41,600 686 * VA Linux Systems, Inc. 84,452 686 Myers Industries, Inc. 47,264 685 *(3) Handspring, Inc. 17,600 685 * URS Corp. 46,658 685 Pilgrim's Pride Corp. 87,500 684 * Kaiser Aluminum & Chemical Corp. 184,500 680 HEICO Corp. Class A 58,422 679 Associated Estates Realty Corp. REIT 84,200 679 Pan Pacific Retail Properties, Inc. REIT 30,400 678 Inter-Tel, Inc. 88,000 677 Gold Banc Corp., Inc. 143,700 674 * Sunglass Hut International, Inc. 131,374 673 * United Therapeutics Corp. 45,600 673 Anchor Bancorp Wisconsin Inc. 42,000 672 BB&T Corp. 17,988 671 * Radio One, Inc. Class D 60,600 667 * AVT Corp. 134,100 666 *(3) H Power Corp. 86,401 664 *(3) Avigen, Inc. 32,000 664 * The IT Group, Inc. 132,708 664 * Alloy Online, Inc. 86,200 663 Exide Corp. 86,900 663 *(3) Martha Stewart Living Omnimedia, Inc. 33,000 662 * Gentiva Health Services, Inc. 49,391 661 * Crown Central Petroleum Corp. Class B 67,300 660 W Holding Co., Inc. 56,700 659 * Jupiter Media Metrix, Inc. 70,750 659 The South Financial Group, Inc. 49,700 659 (3) Advanta Corp. Class A 74,602 657 * GoTo.com, Inc. 89,800 657 * Western Digital Corp. 268,400 654 * Novatel Wireless, Inc. 52,800 653 * Modis Professional Services Inc. 158,100 652 * Wesco International, Inc. 89,950 652 * World Acceptance Corp. 118,400 651 * Healthcare Services Group, Inc. 101,914 650 * Regent Communications, Inc. 109,400 650 CIRCOR International, Inc. 64,950 650 HEICO Corp. 41,529 649 Ampco-Pittsburgh Corp. 54,065 649 * Datum Inc. 29,300 648 * The Buckle, Inc. 36,900 648 Oriental Financial Group 48,666 648 * Astec Industries, Inc. 49,000 646 * International Specialty Products, Inc. 96,500 645 *(3) Aspect Medical Systems, Inc. 74,800 645 * ViaSat, Inc 49,100 644 * J & J Snack Foods Corp. 38,300 644 * Maxwell Technologies, Inc. 43,100 644 The Ackerley Group, Inc. 71,500 644 * I-many, Inc. 51,700 643 * Intermedia Communications Inc. 89,400 643 Central Vermont Public Service Corp. 52,600 641 * Boyd Gaming Corp. 186,300 640 * Ocwen Financial Corp. 100,400 640 * hi/fn, inc. 23,267 640 * Ace Cash Express, Inc. 59,150 640 L. S. Starrett Co. Class A 27,200 639 * PETsMART, Inc. 222,000 638 *(3) Cytoclonal Pharmaceutics Inc. 86,500 638 * Mortons Restaurant Group 30,000 638 * SONICblue Inc. 154,532 637 * Secure Computing Corp. 64,400 636 The Trust Co. of New Jersey 50,600 636 Oregon Trail Financial Corp. 46,200 635
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ Chesapeake Corp. of Virginia 30,683 $ 631 * BindView Development Corp. 67,000 630 FirstSpartan Financial Corp. 17,200 630 * QRS Corp. 49,000 628 Blair Corp. 33,700 628 * Fritz Cos., Inc. 103,500 627 Pacific Crest Capital Inc. 43,645 627 Boykin Lodging Co. REIT 73,800 627 * MKS Instruments, Inc. 40,400 626 * FirePond, Inc. 66,300 626 Merchants Bancshares, Inc. 25,800 626 MOCON, Inc. 95,962 624 * Cellegy Pharmaceuticals, Inc. 105,800 622 Jefferson Savings Bancorp, Inc. 41,400 621 * SITEL Corp. 215,900 621 * Multex.com Inc. 46,800 620 * Getty Petroleum Marketing Inc. 125,532 620 * Micron Electronics, Inc. 158,600 620 * Orasure Technologies, Inc 74,900 618 * Carrier Access Corp. 68,503 617 * Aclara Biosciences, Inc. 56,550 615 BMC Industries, Inc. 126,104 615 * Pinnacle Systems, Inc. 83,308 614 Puerto Rican Cement Co., Inc. 20,800 614 * MSC.Software Corp. 78,000 612 Maine Public Service Co. 23,200 612 * K2 Inc. 76,445 612 * Consolidated Products Inc. 88,884 611 Ameron International Corp. 16,400 611 * APAC Teleservices, Inc. 165,589 611 * Handleman Co. 81,400 611 * Wiser Oil Co. 116,000 609 * The TriZetto Group, Inc. 36,400 607 * FSI International, Inc. 72,500 607 * Insurance Auto Auctions, Inc. 50,300 604 Foster Wheeler Corp. 114,800 603 (3) Westpoint Stevens, Inc. 80,414 602 * Continental Materials Corp. 43,000 602 * Cholestech Corp. 100,300 602 *(3) Western Multiplex Corporation 87,482 601 * Genome Therapeutics Corp. 86,230 601 * Columbia Laboratories Inc. 139,100 600 * Advanced Lighting Technologies, Inc. 90,500 600 * Versata, Inc. 67,000 599 * Benihana Inc. Class A 52,600 598 * Trammell Crow Co. 44,300 598 * Kensey Nash Corp. 59,000 597 Donnelly Corp. 45,212 597 * Packeteer, Inc. 48,200 596 * BlackRock, Inc. 14,200 596 HMN Financial, Inc. 45,600 596 * Tripath Technology Inc. 41,450 593 * General Semiconductor, Inc. 94,850 593 * click2learn.com, inc. 60,700 592 * Hoenig Group, Inc. 54,300 591 * eSPEED, Inc. 37,600 590 * CardioDynamics International Corp. 171,500 590 * Theragenics Corp. 117,800 589 * American Axle & Manufacturing Holdings, Inc. 74,200 589 Badger Meter, Inc. 25,600 589 * Airgas, Inc. 86,400 589 * eLoyalty Corp. 90,896 588 * NextCard, Inc. 73,400 587 BSB Bancorp, Inc. 44,544 587 * Arena Pharmaceuticals, Inc. 37,848 587 * Genzyme Molecular Oncology 63,851 587 * BioMarin Pharmaceutical Inc. 60,500 586 * Albany International Corp. 43,532 585 * Autotote Corp. 198,267 585 * Docent, Inc. 66,800 585 Penford Corp. 41,009 584 * Netro Corp. 84,100 583 * Hyseq, Inc. 40,500 582 * TTM Technologies, Inc. 41,000 582 * Read Rite Corp. 144,169 581 BHA Group Holdings Inc. 41,437 580 Calgon Carbon Corp. 101,900 580 Nature's Sunshine Inc. 85,000 579 * Tricord Systems, Inc. 69,600 579 * Triangle Pharmaceuticals, Inc. 117,100 578 (3) Cascade Bancorp 42,784 578 * Pathmark Stores, Inc. 35,000 578 * Pemstar Inc. 65,500 577 Bank of Granite Corp. 24,700 574 Sterling Bancorp 26,246 574 * IXYS Corp. 39,200 573 R & G Financial Corp. Class B 40,200 573 *(3) Tristar Corp. 113,000 572 *(3) Microvision, Inc. 32,600 571 NCH Corp. 15,000 570 * Ciphergen Biosystems, Inc. 43,000 570 * Interact Commerce Corp. 68,000 570 * Todd Shipyards Corp. 87,600 569 * CCC Information Services Group 90,900 568 The Middleby Corp. 93,800 567 * Water Pik Technologies, Inc. 80,900 566 * Miravant Medical Technology 61,000 566 * @plan.Inc. 74,200 566 Dimon Inc. 102,850 566 * Friede Goldman Halter, Inc. 158,643 565 * CenterSpan Communications Corp. 50,500 565 * Proton Energy Systems, Inc. 53,800 565 WesterFed Financial Corp. 25,853 562 * ACT Teleconferencing, Inc. 78,900 562
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- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ Metrowest Bank 97,638 $ 561 * Willis Lease Finance Corp. 56,000 560 * Advanced Tissue Sciences Inc. 184,342 559 * Monaco Coach Corp. 31,575 558 * Cygnus Inc. 114,500 558 * Franklin Covey Co. 74,300 557 Scope Industries 12,500 557 First Place Financial Corp. 50,525 556 * Ticketmaster Online-City Search, Inc. 66,300 555 * Integral Systems, Inc. 39,600 554 * North American Scientific, Inc. 38,200 554 * Tweeter Home Entertainment Group, Inc. 45,400 553 * Interdigital Communications Corp. 102,300 553 * Interlink Electronics Inc. 43,450 551 * Artisan Components, Inc. 74,100 551 PMC Capital, Inc. 68,800 550 First Bell Bancorp, Inc. 40,200 550 Knape & Vogt Manufacturing Co. 41,868 550 * MCK Communications, Inc. 65,000 548 Walter Industries, Inc. 73,100 548 *(3) BioTime, Inc. 72,900 547 *(3) Sonosite, Inc. 42,879 547 * Simpson Manufacturing Co. 10,700 546 * Transaction Systems Architects, Inc. 47,174 545 * Network Equipment Technologies, Inc. 84,647 545 * Travelocity.com Inc. 44,900 544 Flexsteel Industry 47,300 544 Klamath First Bancorp 45,800 544 (3) Ohio Valley Banc Corp. 21,725 543 * HotJobs.com Ltd. 47,400 542 * ITC DeltaCom, Inc. 100,300 541 * Argonaut Technologies Inc. 63,500 540 * WebLink Wireless, Inc. 157,000 540 * CDI Corp. 36,800 538 * EMS Technologies, Inc. 46,114 536 * Metawave Communications Corp. 58,730 536 Bairnco Corp. 70,200 535 * Harmonic, Inc. 94,107 535 *(3) Inrange Technologies Corp. 31,600 535 * Huttig Building Products, Inc. 129,626 535 * Donna Karan International Inc. 59,300 534 Community Bank System, Inc. 21,500 532 * Capital Corp. of the West 44,300 532 FBL Financial Group, Inc. Class A 30,356 529 * Meditrust Corp. 206,369 529 * Equinix, Inc. 120,730 528 * General Binding Corp. 78,200 528 The Pep Boys (Manny, Moe & Jack) 145,500 527 * Republic Bancshares, Inc. 57,000 527 Arch Chemicals, Inc. 29,700 527 * Maxxam Inc. 34,700 527 * Data Broadcasting Corp. 150,456 527 (3) S.Y. Bancorp, Inc. 25,900 524 * Tuesday Morning Corp. 98,600 524 First Niagara Financial Group, Inc. 48,300 522 Independent Bank Corp. 26,430 522 *(3) Greka Energy Corp. 38,535 520 Midwest Grain Products 59,450 520 USEC Inc. 120,600 520 * Digi International, Inc. 84,850 520 * Metasolv Software, Inc. 56,800 518 * Casella Waste Systems, Inc. 59,584 518 * Concurrent Computer Corp. 96,300 518 * Pegasus Solutions Inc. 74,600 518 * Nastech Pharmaceutical Co., Inc. 73,900 517 TriCo Bancshares 32,300 517 Simmons First National 22,900 517 * Highlands Insurance Group 57,300 516 Wintrust Financial Corp. 32,300 515 * Net.B@nk, Inc. 78,000 512 * MTI Technology Corp. 129,800 511 * Large Scale Biology Corp. 53,700 510 Bassett Furniture Industries, Inc. 45,300 510 * Value City Department Stores, Inc. 96,900 509 General Cable Corp. 114,500 508 * Vicorp Restaurants, Inc. 28,600 508 * Danielson Holdings Corp. 111,000 506 * Goody's Family Clothing 112,300 505 *(3) Turnstone Systems, Inc. 67,900 505 United Community Financial Corp. 72,700 504 *(3) Metricom 50,100 504 * Predictive Systems, Inc. 70,400 504 * ESS Technology, Inc. 98,300 504 * High Plains Corp. 161,097 503 * Guess ?, Inc. 94,700 503 MutualFirst Financial Inc. 34,074 503 F & M Bancorp 24,356 502 * Royal Appliance Manufacturing Co. 125,500 502 * CTB International Corp. 62,900 501 * Viewpoint Corp. 91,962 500 * Scient Corp. 153,700 500 * Chalone Wine Group Ltd. 61,000 499 * Wyndham International, Inc. Class A 285,290 499 *(3) Inforte Corp. 36,305 499 American Woodmark Corp. 31,600 497
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * The Profit Recovery Group International, Inc. 77,650 $ 495 * Syntel, Inc. 85,905 494 * Consolidated Freightways Corp. 117,950 494 Abington Bancorp Inc. 44,600 493 Warren Bancorp, Inc. 61,600 493 Met-Pro Corp. 47,838 493 * Standard Microsystem 24,300 492 * Fairchild Corp. 89,100 490 * ePlus Inc. 43,000 489 * Liberty Satellite & Technology, Inc. Class A 154,777 489 *(3) MicroStrategy Inc. 51,400 488 *(3) FPIC Insurance Group, Inc. 53,100 488 Yardville National Bancorp 40,385 487 * Copper Mountain Networks, Inc. 82,400 487 *(3) Revlon, Inc. Class A 98,000 486 First Source Corp. 26,578 485 * V.I. Technologies, Inc. 92,300 485 * OneSource Information Services, Inc. 62,500 484 Steelcase Inc. 34,900 484 * Antec Corp. 61,000 482 * Adolor Corp. 21,900 482 * Exabyte Corp. 139,800 481 NACCO Industries, Inc. Class A 11,000 481 * Evans & Sutherland Computer Corp. 61,997 480 *(3) Cell Pathways, Inc. 101,100 480 * Intertrust Technologies Corp. 142,240 480 First Mutual Bancshares, Inc. 36,544 480 * NBTY, Inc. 100,900 479 St. Francis Capital Corp. 36,500 479 Bowne & Co., Inc. 45,300 478 * America Service Group Inc. 18,400 478 People's Bancshares, Inc. 35,100 478 * JAKKS Pacific, Inc. 52,350 478 * Charles River Associates Inc. 46,300 477 * Digitas Inc. 94,155 477 * Connetics Corp. 103,900 474 * Broadbase Software Inc. 75,800 474 Sanderson Farms, Inc. 63,150 474 * Concord Communications, Inc. 54,100 473 * o2wireless Solutions, Inc. 50,800 473 * BTG Inc. 79,400 471 National City Bancorporation 28,566 471 Amcast Industrial Corp. 47,400 471 * Nu Horizons Electronics Corp. 52,650 471 * Convera Corp. 26,500 470 * American Dental Partners, Inc. 62,700 470 * NetCreations, Inc. 68,700 470 * Brio Technology, Inc. 111,400 470 * Ciber, Inc. 96,000 468 Virco Manufacturing Corp. 47,984 468 * LightPath Technologies, Inc. 33,700 468 * TBC Corp. 102,375 467 * S1 Corp. 88,895 467 Bush Industries, Inc. 40,010 465 * Valence Technology 49,900 465 *(3) Viatel, Inc. 124,790 464 Central Bancorp, Inc. 27,700 464 * OPNET Technologies, Inc. 30,800 464 World Fuel Services Corp. 66,213 463 * Central Garden and Pet Co. 67,300 463 * Websense, Inc. 31,700 460 * Silicon Image, Inc. 84,300 458 Tecumseh Products Co. Class B 11,900 458 Summit Bancshares, Inc. 21,100 458 *(3) Sonic Innovations, Inc. 68,400 457 Washington Trust Bancorp, Inc. 32,600 456 * Wit Soundview Group, Inc. 126,800 456 * Key Tronic Corp. 165,400 455 Guaranty Federal Bancshares, Inc. 38,700 455 * Zoran Corp. 29,300 454 * IntraBiotics Pharmaceuticals, Inc. 47,100 453 * Mapics Inc. 90,600 453 * Titanium Metals Corp. 67,100 453 * BioCryst Pharmaceuticals, Inc. 68,300 452 Cash America International Inc. 103,410 452 * InfoCure Corp. 120,638 452 * Cysive, Inc. 109,400 451 *(3) 4Kids Entertainment Inc. 50,400 450 *(3) i3 Mobile, Inc. 112,450 450 PVF Capital Corp. 47,262 449 Communications Systems, Inc. 50,900 449 * 3 Demensional Pharmaceuticals 30,281 449 * Rimage Corp. 52,000 449 * Applied Microsystems Corp. 101,000 448 * Meade Instruments Corp. 68,200 448 * COMARCO, Inc. 33,150 448 * Terayon Communications Systems, Inc. 110,100 447 Aceto Corp. 49,662 447 * Project Software & Development, Inc. 41,500 445 * Hector Communications Corp. 42,150 445 *(3) Biospherics, Inc. 89,000 445 Cohu, Inc. 31,900 445 * TALK.com, Inc. 308,625 444 * Digital Island Inc. 109,200 444 * Lynx Therapeutics Inc. 49,225 443 * Thermo Fibertek, Inc. 128,700 442 * Chase Industries, Inc. 42,350 442 * Genzyme Corp.-Genzyme Biosurgery 50,793 441 *(3)Mpower Communications Corp. 86,100 441 * ITXC Corp. 63,400 440
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- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ *(3) ACT Manufacturing, Inc. 27,900 $ 439 * Nanogen, Inc. 48,500 437 Midas Inc. 36,533 436 * PC Connection, Inc. 42,000 436 Great Atlantic & Pacific Tea Co., Inc. 62,200 435 Landry's Seafood Restaurants, Inc. 43,600 433 * Variagenics, Inc. 36,500 433 * PLX Technology, Inc. 51,900 431 Intermet Corp. 118,100 428 * ARIAD Pharmaceuticals, Inc. 90,000 428 * Information Resources, Inc. 129,034 427 * Resonate Inc. 44,980 427 * Capital Crossing Bank 38,400 427 * Tanning Technology Corp. 115,800 427 * IMRglobal Corp. 79,400 427 * Brightpoint, Inc. 121,600 426 *(3) XETA Technologies Inc. 42,500 425 * Koala Corp. 49,900 424 * iManage, Inc. 92,900 424 Konover Property Trust, Inc. REIT 96,600 423 * Kendle International Inc. 42,500 422 * BWC Financial Corp. 21,010 422 * Wink Communications, Inc. 70,200 421 * Orthologic Corp. 146,400 421 * A.S.V., Inc. 52,600 421 * Sierra Health Services 110,703 421 * Florida Banks, Inc. 79,000 420 * Allscripts, Inc. 44,900 420 *(3) Covad Communications Group, Inc. 253,050 419 * OfficeMax, Inc. 145,700 419 * Labor Ready, Inc. 126,350 419 * Image Entertainment, Inc. 128,300 417 * Universal Display Corp. 58,000 417 *(3) Procom Technology, Inc. 32,000 415 Wabash National Corp. 48,100 415 * Sola International Inc. 100,400 414 Carolina Southern Bank 18,555 414 * National R. V. Holdings, Inc. 35,773 414 Caraustar Industries, Inc. 44,000 413 * Evercel, Inc. 45,164 412 Vesta Insurance Group, Inc. 80,300 412 Hugoton Royalty Trust 27,200 411 * Globecomm Systems, Inc. 55,300 408 * EPIQ Systems, Inc. 23,800 408 * Bell Microproducts Inc. 25,600 406 Correctional Properties Trust REIT 42,200 406 * Laser Mortgage Management, Inc. 117,900 405 * Adaptive Broadband Corp. 66,100 405 Boston Acoustics, Inc. 27,000 405 CPB, Inc. 14,500 404 * LabOne, Inc. 70,200 404 California Independent Bancorp 21,241 404 * Waste Industries, Inc. 66,750 401 * SignalSoft Corp. 40,764 400 * Mayor's Jeweler's, Inc. 138,600 398 * JWGenesis Financial Corp. 35,016 398 * Midwest Express Holdings, Inc. 27,100 398 Liberty Homes, Inc. Class A 84,900 398 *(3) WorldPages.com, Inc. 147,600 397 * Sanchez Computer Associates, Inc. 48,000 396 * Deltagen, Inc. 37,884 395 * Trident Microsystems, Inc. 87,600 394 * Repligen Corp. 116,700 394 * Glenayre Technologies, Inc. 111,512 394 Humphrey Hospitality Trust, Inc. REIT 55,700 393 * Electric Fuel Corp. 83,800 393 * Hamilton Bancorp, Inc. 43,600 392 * Boron, LePore & Associates, Inc. 37,200 391 TF Financial Corp. 23,312 390 Luby's, Inc. 64,900 389 * Neon Communications, Inc. 59,900 389 * Infogrames, Inc. 69,800 388 *(3) Oxigene, Inc. 66,061 388 * A.T. Cross Co. Class A 87,400 388 *(3) MP3.com, Inc. 107,800 387 * Terra Industries, Inc. 154,942 387 *(3) Wackenhut Corp. 28,600 386 * First Consulting Group, Inc. 81,242 386 * Viant Corp. 97,200 386 * Advanced Polymer Systems 162,100 385 * Cytogen Corp. 164,169 385 * Competitive Technologies, Inc. 60,300 384 * Sykes Enterprises, Inc. 86,600 384 Rock-Tenn Co. 51,550 383 * Lifeline Systems, Inc. 30,300 383 * Department 56 Inc. 33,200 382 IMCO Recycling, Inc. 71,700 381 * Berlitz International, Inc. 47,226 381 Green Mountain Power Corp. 30,407 380 * The Pantry, Inc. 38,000 380 * Visual Networks, Inc. 116,900 380 * Merix Corp. 28,250 378 * PictureTel Corp. 159,000 378 J. Baker, Inc. 83,909 378 * US LEC Corp. Class A 78,300 377 * Vyyo Inc. 61,500 377 * Startek, Inc. 24,500 377 * William Lyon Homes, Inc. 40,100 376 Angelica Corp. 40,100 376 * Per-Se Technologies, Inc. 107,734 375 * Proxicom, Inc. 90,900 375
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * BSQUARE Corp. 62,400 $ 374 * Immersion Corp. 49,700 374 * TransMontaigne Inc. 135,300 372 * Aviall Inc. 73,200 371 * Ebenx Inc. 54,700 369 * Zamba Corp. 135,800 369 Redwood Empire Bancorp 18,100 369 * Priceline.com Inc. 280,700 368 * ResortQuest International, Inc. 60,100 368 Kaiser Ventures Inc. 36,800 368 * P-Com, Inc. 120,100 368 Landmark Bancshare, Inc. 21,000 368 * Orbital Sciences Corp. 88,900 367 Polaroid Corp. 63,000 366 *(3) ZixIt Corp. 41,750 365 * M&F Worldwide Corp. 94,100 365 * MarchFirst, Inc. 242,986 364 * The Kroll-O'Gara Co. 60,700 364 * Constellation Brands, Inc. Class B 6,375 363 * Osteotech, Inc. 76,450 363 * Mitcham Industries, Inc. 101,900 363 *(3) F5 Networks, Inc. 38,200 363 * Audiovox Corp. 40,300 363 * Navigant Consulting, Inc. 94,890 362 * Workflow Management, Inc. 52,545 361 Resource Asset Investment Trust REIT 29,300 361 * Centra Software, Inc. 92,350 358 * Tyler Technologies, Inc. 212,000 358 * CTC Communications Group, Inc. 77,300 358 * Micronetics Wireless, Inc. 79,100 356 U.S.B. Holding Co., Inc. 28,334 356 * Charming Shoppes, Inc. 59,300 356 * Playboy Enterprises, Inc. Class B 35,750 355 * LookSmart, Ltd. 145,700 355 *(3) New Focus, Inc. 10,200 354 * Sunrise Telecom Inc. 90,600 354 * Sames Corp. 32,450 353 * Steinway Musical Instruments Inc. 19,600 352 * Matria Healthcare, Inc. 36,519 351 * Ultralife Batteries, Inc. 63,800 351 Mississippi Chemical Corp. 111,155 350 IKON Office Solutions, Inc. 140,000 350 * Candela Corp. 66,600 350 * Integrated Telecom Express, Inc. 72,990 349 * Bracknell Corp 62,640 348 Actuant Corp. 115,915 348 *(3) Airnet Communications Corp. 51,490 348 * Interpore International 88,000 347 * ACTV, Inc. 81,400 346 * Network Peripherals, Inc. 53,600 345 Polymer Group, Inc. 63,900 343 * Res-Care, Inc. 75,800 341 * New Era of Networks, Inc. 58,000 341 * inSilicon Corp. 55,600 341 * AT&T Latin America Corp.-- Class A 123,700 340 * Startec Global Communications Corp. 87,700 340 * Wave Systems Corp. 75,400 339 Fremont General Corp. 120,374 339 * KFX, Inc. 207,750 338 First of Long Island Corp. 8,750 337 * Landmark Systems Corp. 131,100 336 *(3) TiVo Inc. 62,200 334 * Foodarama Supermarkets, Inc. 21,500 333 * Fresh Del Monte Produce Inc. 75,000 333 * Interleukin Genetics, Inc. 104,200 332 * ClickAction, Inc. 60,200 331 * Applica Inc. 67,898 331 * Elite Information Group, Inc. 73,500 331 * eGain Communications Corp. 106,882 331 * Franklin Electronic Publishers, Inc. 71,400 330 * Media 100 Inc. 128,589 330 * Modtech Holdings, Inc. 45,379 329 * Immune Response 124,983 328 * Navigant International, Inc. 40,369 328 * ON Semiconductor Corp. 62,400 328 *(3) Zonagen, Inc. 124,500 327 * Telular Corp. 64,525 327 * CorVel Corp. 9,400 325 * Champion Enterprises, Inc. 118,314 325 * Information Management Associates, Inc. 74,100 324 * Manufacturers' Services Limited 48,900 324 * ChipPAC, Inc. 109,050 324 * PCD, Inc. 53,300 323 * Concero, Inc. 107,400 322 * ValueClick, Inc. 65,200 322 * VIA NET.WORKS, Inc. 84,050 320 * Meta Group, Inc. 49,200 320 * Global Vacation Group, Inc. 94,700 320 * Matrix Bancorp, Inc. 44,800 319 * Extended Systems Inc. 27,300 319 * Motient Corp. 79,700 319 * Conductus, Inc. 60,600 318 (3) Herbalife International Class B 42,400 318 * Troy Group, Inc. 63,800 317 * Segue Software, Inc. 70,300 316 * Acmat Corp. Class A 44,400 316 * Beasley Broadcast Group, Inc. 38,000 316 * iBasis, Inc. 76,000 314 Omega Healthcare Investors, Inc. REIT 82,141 313
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- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * The Rottlund Co. 56,700 $ 312 * Aurora Foods Inc. 127,800 312 * Extensity, Inc. 51,735 311 * Consolidated Graphics, Inc. 26,000 310 * Diversa Corp. 17,200 309 * Interneuron Pharmaceutical, Inc. 240,700 308 * Jackpot Enterprises, Inc. 61,627 308 * Metromedia International Group, Inc. 118,500 308 * Technology Solutions Co. 144,896 308 * Cohesion Technologies, Inc. 54,103 308 * Westell Technologies, Inc. 100,240 307 * Integrated Electrical Services, Inc. 51,700 307 SLI, Inc. 47,678 307 * UNOVA, Inc. 84,300 306 * Latitude Communications, Inc. 78,700 305 City Holding Co. 53,016 305 Great Southern Bancorp, Inc. 19,500 305 * Abaxis, Inc. 51,300 305 * Virage Logic Corporation 20,300 305 * Mail-Well, Inc. 70,600 304 * Vivus, Inc. 140,900 304 * Optical Communication Products, Inc. 27,000 304 * Mechanical Technology Inc. 86,700 303 * Rainbow Rentals, Inc. 57,800 303 * Bombay Co. 156,062 302 Alabama National BanCorporation 13,300 301 * E. Gottschalk & Co., Inc. 72,800 300 * Universal Stainless & Alloy Products, Inc. 40,700 300 Delhaize America, Inc. Class B 16,668 300 Omnova Solutions Inc. 50,000 300 * Park-Ohio Holdings Corp. 61,309 299 * ORATEC Interventions, Inc. 58,310 299 * Acceptance Insurance Cos. Inc. 56,600 297 * HA-LO Industries, Inc. 131,700 296 * Metrologic Instruments, Inc. 49,300 296 * Key Production Company, Inc. 8,800 295 CVB Financial Corp. 17,350 295 * Mercator Software, Inc. 54,864 295 * Magellan Health Services, Inc. 66,200 294 * Horizon Organic Holding Corp. 66,100 293 * AGENCY.COM Inc. 75,660 293 First Essex Bancorp, Inc. 14,600 293 * Clarus Corp. 41,800 293 * Burlington Industries, Inc. 166,900 292 * Evolve Software, Inc. 59,823 292 * net.Genesis Corp. 89,195 290 * Digital Generation Systems 136,195 289 * Enchira Biotechnology Corp. 52,814 289 * Network Plus Corp. 115,500 289 * Applied Innovation Inc. 33,700 289 * Level 8 Systems Inc. 47,100 287 * Puma Technology, Inc. 68,700 286 Computer Task Group, Inc. 72,508 286 Commercial Net Lease Realty REIT 28,000 285 *(3) divine interVentures.inc 182,370 285 * Seven Seas Petroleum Inc. 206,700 284 Progress Financial Corp. 39,838 284 * Zomax Inc. 62,100 283 *(3) Gliatech Inc. 69,400 282 * Interlogix, Inc. 14,922 282 * Commonwealth Telephone Enterprises Class B 7,400 281 * Gaylord Container Corp. 280,600 281 * Persistence Software, Inc. 63,100 280 Senior Housing Properties Trust REIT 30,020 280 *(3) EarthWeb Inc. 37,900 280 * Universal Compression Holdings, Inc. 7,400 279 United Mobile Homes, Inc. REIT 29,300 278 * Hawthorne Financial Corp. 19,200 276 * Metro Information Services, Inc. 47,800 275 * Pac-West Telecom, Inc. 79,870 275 Nashua Corp. 61,500 273 * Global Imaging Systems, Inc. 72,800 273 * Gundle/SLT Environmental, Inc. 131,600 271 * Omega Worldwide, Inc. 111,315 271 * Pegasystems Inc. 117,200 271 State Financial Services Corp. Class A 32,100 271 * CoStar Group, Inc. 11,459 271 Golden Enterprises Inc. 75,900 270 * Billing Concepts Corp. 133,672 267 * Colorado MEDtech, Inc. 83,700 267 * Q-Med, Inc. 52,600 266 *(3) NHancement Technologies Inc. 53,900 266 * AnswerThink Consulting Group, Inc. 73,200 265 *(3) Maxim Pharmaceuticals, Inc. 41,600 265 * Lakes Gaming, Inc. 28,200 264 * STAR Telecommunications, Inc. 264,300 264 Merchants Group, Inc. 15,100 264 * Success Bancshares, Inc. 22,000 264 Apex Mortgage Capital, Inc. REIT 38,300 264 * Adelphia Business Solutions, Inc. 61,800 263 * Twinlab Corp. 155,500 262 (3) Federal-Mogul Corp. 113,442 262 * Penn Octane Corp. 52,300 262 * Encompass Services Corp. 51,595 261 *(3)Kellstrom Industries, Inc. 88,800 261 Global TeleSystems, Inc. 319,800 260
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- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * American Science & Engineering, Inc. 56,100 $ 259 * Communication Intelligence Corp. 251,600 259 * ANC Rental Corp. 73,857 259 Gainsco, Inc. 98,261 258 Penn Engineering & Manufacturing Corp. Class A 8,300 258 * Hayes Lemmerz International, Inc. 38,400 257 Stewart Enterprises, Inc. Class A 134,400 256 * Primus Knowledge Solutions, Inc. 39,300 255 *(3) Superconductor Technologies Inc. 70,400 255 * Be Free, Inc. 116,500 255 * SCC Communications Corp. 59,900 255 * Escalade, Inc. 12,605 254 Pacific Gulf Properties, Inc. REIT 41,400 254 * Artisoft, Inc. 69,800 253 PS Business Parks, Inc. REIT 9,100 253 Newmil Bancorp, Inc. 23,900 252 * SmartDisk Corp. 64,900 251 * Zoltek Cos., Inc. 77,200 251 * Garden Fresh Restaurant Corp. 40,500 251 (3) Cavalry Bancorp, Inc. 23,400 250 The First Years Inc. 31,000 250 * Radio Unica Corp. 66,400 249 * Razorfish Inc. 153,150 249 * Mediware Information Systems, Inc. 60,300 249 * Vertel Corp. 105,991 248 * NZ Corp. 82,805 248 * Liberty Digital, Inc. 48,800 247 *(3) World Access, Inc. 102,600 247 * U S Liquids Inc. 112,700 247 * Primus Telecommunications Group, Inc. 106,400 246 * Switchboard Inc. 82,645 245 *(3) Z-Tel Technologies, Inc. 47,265 245 Craftmade International, Inc. 34,700 245 Southern Financial Bancorp, Inc. 19,200 245 * Spanish Broadcasting System, Inc. 48,800 244 * Komag, Inc. 371,524 244 * American Bank Note Holographics, Inc. 186,000 244 * Nobility Homes, Inc. 42,100 242 * LifeCell Corp. 151,400 241 * Tut Systems, Inc. 29,200 241 * Zila, Inc. 116,800 241 * Friendly Ice Cream Corp. 116,700 241 *(3) Netcentives Inc. 63,100 241 * Interliant Inc. 75,300 240 * NetManage, Inc. 255,657 240 BEI Technologies, Inc. 20,600 239 * Washington Group International, Inc. 29,200 239 *(3) Earthshell Corp. 186,500 239 * Internet.com Corp. 40,100 238 *(3) Software Spectrum, Inc. 39,200 238 Royal Gold, Inc. 82,400 237 * Data Systems & Software, Inc. 56,500 237 * Previo, Inc. 69,825 236 * Net4music Inc. 75,400 236 * Daleen Technologies, Inc. 62,800 236 Heritage Financial Corp. 23,100 235 * Precision Optics Corp. 99,000 235 *(3) Litronic Inc. 94,000 235 Timberline Software Corp. 65,933 235 * Onyx Acceptance Corp. 81,000 233 * Triton Network Systems, Inc. 74,504 233 * PTEK Holdings, Inc. 161,900 233 Main Street Bancorp, Inc. 33,182 232 * Curon Medical Inc. 57,700 232 * OmniVision Technologies, Inc. 71,100 231 BNP Residential Properties, Inc. 30,700 230 Hancock Fabrics, Inc. 66,900 230 *(3) The Source Information Management Co. 61,300 230 Ethyl Corp. 159,904 230 LSB Bancshares, Inc. 20,600 229 * CSK Auto Corp. 59,138 229 * Versant Corp. 100,700 227 * MeriStar Hotels & Resorts, Inc. REIT 86,200 226 * Network Engines, Inc. 53,900 226 *(3) Accelerated Networks, Inc. 81,038 225 *(3) PSINet, Inc. 313,149 225 * Allou Health & Beauty, Inc. 68,900 224 * Price Enterprises, Inc. 43,668 224 The Warnaco Group, Inc. Class A 132,278 223 * Allaire Corp. 44,200 222 * Barrett Business Services, Inc. 62,300 222 * iGATE Capital Corp. 77,000 221 * Geoworks 75,100 221 * Laser Vision Centers, Inc. 135,700 221 Second Bancorp, Inc. 15,200 220 * kforce.com, Inc. 71,867 220 * ChromaVision Medical Systems, Inc. 83,700 220 * Official Payments Corp. 31,900 219 * VIB Corp. 29,107 218 * Digital Impact, Inc. 93,100 218 * Data Return Corp. 58,100 218 * NaviSite, Inc. 92,700 217
---- 40 151
- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ Ryerson Tull, Inc. 26,277 $ 217 * National Techteam, Inc. 97,700 217 * Foamex International, Inc. 40,300 217 * UTStarcom, Inc. 13,950 216 Westbanco Inc. 9,200 216 * Mobius Management Systems, Inc. 101,200 215 * Insmed Incorporated 61,825 214 *(3) Engage, Inc. 285,900 214 * Chordiant Software, Inc. 71,700 213 * LCA-Vision, Inc. 200,237 213 * Cambridge Technology Partners 80,734 212 * Obie Media Corp. 27,410 211 * Gilman & Ciocia, Inc. 73,200 210 * TCSI Corp. 152,829 210 East Texas Financial Services, Inc. 24,000 209 United Wisconsin Services, Inc. 61,700 208 * McAfee.com Corp. 41,500 208 * Blue Rhino Corp. 87,300 207 * Crossroads Systems, Inc. 44,200 207 Vulcan International Corp. 6,000 207 *(3) Cyber-Care, Inc. 97,300 207 * LendingTree, Inc. 99,900 206 * Heartport Inc. 131,800 206 * Gadzoox Networks, Inc. 97,800 205 * Terremark Worldwide, Inc. 272,700 205 * Sizzler International 136,050 204 * HyperFeed Technologies, Inc. 130,500 204 Enesco Group, Inc. 43,500 204 * Cellstar Corp. 141,005 203 * Pentastar Communications Inc. 9,200 202 * Belmont Bancorp. 64,640 202 * Winfield Capital Corp. 71,800 202 * Applix, Inc. 80,579 201 MFB Corp. 12,000 201 Greater Delaware Valley Savings Bank 20,100 201 * onlinetradinginc.com 57,000 200 * Hollywood Media Corp. 51,300 199 * Rentrak Corp. 88,000 198 * Advanced Magnetics, Inc. 75,300 198 * Braun Consulting, Inc. 53,100 196 * Stamps.Com Inc. 70,400 196 * ShopKo Stores, Inc. 39,055 195 * SOS Staffing Services, Inc. 111,500 195 US Bancorp, Inc. 45,700 194 * Epimmune Inc. 73,700 193 * StarMedia Network, Inc. 102,100 193 * Net2Phone, Inc. 26,000 192 * Playboy Enterprises Inc. Class A 22,850 191 First Bancorp North Carolina 12,150 191 * Federal Agricultural Mortgage Corp. Class A 10,400 191 * Hydrill Co. 10,800 190 * JLM Industries, Inc. 91,500 189 Three Rivers Bancorp, Inc. 22,850 189 * DAMARK International, Inc. 31,600 188 * Bluegreen Corp. 119,940 187 * Century Business Services, Inc. 166,300 187 * Perficient, Inc. 31,131 187 * Aftermarket Technology Corp. 85,300 187 * iBEAM Broadcasting Corp. 175,549 187 Mystic Financial, Inc. 13,700 186 * Personnel Group of America, Inc. 109,896 185 * Com21, Inc. 39,500 185 * Accrue Software, Inc. 73,800 185 * Peregrine Pharmaceuticals, Inc. 196,600 184 * Alpine Group, Inc. 84,100 184 * InVision Technologies, Inc. 127,900 184 *(3) Trans World Airlines 170,203 184 * MarketWatch.com, Inc. 60,800 182 * Elastic Networks Inc. 44,200 182 * ShoLodge, Inc. 39,333 182 Urstadt Biddle Properties REIT 26,200 182 Spartan Motors, Inc. 107,600 182 *(3) AppliedTheory Corp. 90,700 181 * 1-800-FLOWERS.COM, Inc. 43,600 180 *(3) eMerge Interactive, Inc. 49,550 180 * Marimba, Inc. 39,600 178 * Rush Enterprises, Inc. 50,900 178 * Medialink Worldwide, Inc. 40,600 178 TransPro Inc. 69,110 177 * Lightspan Inc. 123,100 177 American Land Lease, Inc. 17,914 177 * Loislaw.com, Inc. 41,400 176 * Allied Riser Communications Corp. 86,400 176 * Rent-Way, Inc. 39,500 175 TransTechnology Corp. 54,700 174 * SportsLine.com, Inc. 32,600 173 * Andrea Radio Corp. 82,100 172 * Rare Medium Group, Inc. 90,100 172 * barnesandnoble.com inc. 130,749 172 * Corio, Inc. 83,200 172 Nitches Inc. 30,128 171 * Corrections Corp. of America REIT 497,841 171 * Infocrossing, Inc. 27,700 170 * U.S. Energy Corp. 82,170 169 G & L Realty Corp. REIT 19,171 169 * Comfort Systems USA, Inc. 79,400 169 Charter Municipal Mortgage Acceptance Co. 12,500 168 * Brass Eagle Inc. 21,800 166 * BioLase Technology, Inc. 98,100 166 * WorldGate Communications, Inc. 43,400 165 * PJ America Inc. 29,700 165
---- 41 152
- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ CKE Restaurants Inc. 59,774 $ 164 * Evoke Inc. 93,500 164 * Dynamics Research Corp. 21,000 163 *(3) TheStreet.com, Inc. 56,450 162 * QAD Inc. 136,300 162 * Globix Corp. 58,700 161 GSB Financial Corp. 8,700 161 *(3) Teligent, Inc. 82,500 160 * Internet Capital Group, Inc. 48,380 159 Big Foot Financial Corp. 13,200 158 * Liquid Audio, Inc. 61,700 158 * eBT International, Inc. 76,400 158 * FVC.COM, Inc. 157,400 157 * Pinnacle Global Group, Inc. 36,875 157 * Radio One, Inc. 14,650 157 * Trimedyne, Inc. 142,600 156 * Docucorp Internationa l77,740 155 * Prodigy Communications Corp. Class A 103,500 155 Phillips International Realty Corp. REIT 37,900 154 * Gulfmark Offshore, Inc. 5,400 153 * Hoover's, Inc. 64,200 152 * Santa Cruz Operation, Inc. 118,900 152 * VISTA Information Solutions, Inc. 178,900 151 * Digital River, Inc. 63,300 150 Cohoes Bancorp, Inc. 7,900 150 * Cumulus Media Inc. 41,300 150 * Capital Trust Class A 30,300 150 * E-Z-EM, Inc. Class A 25,800 148 * Superior Telecom Inc. 76,416 148 * Delta Apparel, Inc. 10,990 148 DeWolfe Companies, Inc. 17,200 146 *(3) Labtec, Inc. 21,600 146 * Lante Corp. 92,900 145 Bowl America, Inc. Class A 17,745 145 * Superior Consultant Holdings Corp. 52,600 145 * Rhythms NetConnections Inc. 128,400 144 Astro-Med, Inc. 41,850 144 * Lifeminders, Inc. 41,100 144 *(3) Amplidyne, Inc. 121,100 144 * e.spire Communications, Inc. 286,800 143 *(3)Action Performance Cos., Inc. 59,700 142 * CyberSource Corp. 59,400 141 * eXcelon Corp. 93,900 141 * Republic First Bancorp, Inc. 37,530 141 * General DataComm Industries, Inc. 132,300 141 * Hanover Direct, Inc. 374,676 141 * Echo Bay Mines Ltd. 374,500 140 * Natrol, Inc. 93,100 140 * Semitool, Inc. 14,400 140 W.P. Carey & Co. LLC 7,700 139 Harrodsburg First Financial Bancorp 9,800 139 * Sagent Technology, Inc. 100,900 139 * Ask Jeeves, Inc. 56,900 139 * Hathaway Corp. 46,200 139 *(3) Caldera Systems, Inc. 71,500 139 * Jenny Craig Inc. 100,600 138 * Huntco Inc. Class A 147,400 138 *(3) Mossimo, Inc. 84,800 138 * Quicksilver Resources, Inc. 14,300 138 * SoftNet Systems, Inc. 75,800 137 * Catalina Lighting, Inc. 64,600 137 * AtheroGenics, Inc. 27,400 137 ABC Bancorp 14,600 137 * Wackenhut Corp. Class B 15,862 137 * NetZero Inc. 156,200 137 * Infinity, Inc. 22,300 137 * Protection One, Inc. 155,300 136 United Guardian, Inc. 32,800 135 * Netopia, Inc. 31,200 135 * Famous Dave's of America, Inc. 44,700 134 * Industrial Distribution Group, Inc. 69,200 134 FINOVA Group, Inc. 142,496 134 * Bio-logic Systems, Corp. 46,200 133 * Neff Corp. 106,100 133 * MedicaLogic/Medscape, Inc. 57,210 132 * Webvan Group Inc. 281,706 132 * Universal American Financial Corp. 33,200 131 * Hawk Corp. Class A 24,000 131 * TSR, Inc. 35,300 130 * ScreamingMedia Inc. 43,350 130 * Bank Plus Corp. 34,100 130 * SAVVIS Communications Corp. 148,400 130 * Gabelli Asset Management Inc. 3,900 129 * Ceres Group, Inc. 21,500 129 *(3) FiberNet Telecom Group, Inc. 23,400 129 * Eprise Corp. 71,000 129 * Epicor Software Corp. 157,412 128 * American Software, Inc. Class A 92,150 127 * Virage, Inc. 23,500 126 * OAO Technology Solutions, Inc. 103,620 126 * Viisage Technology, Inc. 144,200 126 * Simula, Inc. 62,900 126 Liberte Investors, Inc. 42,800 126 * C-bridge Internet Solutions, Inc. 32,108 125 *(3) BUY.COM, Inc. 191,100 125 * Ariel Corp. 105,600 125 * National Information Consortium, Inc. 81,800 125 Pilgrim's Pride Corp. Class A 23,100 124 * Lydall, Inc. 14,200 123 Peoples BancTrust Co., Inc. 9,000 123 * Leapnet, Inc. 140,185 123
---- 42 153
- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * autobytel.com inc. 48,800 $ 122 *(3) Princeton Video Image, Inc. 92,800 122 Kentucky First Bancorp, Inc. 11,600 120 * iXL Enterprises, Inc. 120,100 120 Peoples Holding Co. 6,600 119 * Vicinity Corp. 39,500 117 * En Pointe Technologies, Inc. 37,500 117 * SEEC, Inc. 47,900 117 * Organic, Inc. 143,250 116 Commercial Bank of New York 8,900 116 * Delta Woodside 97,900 116 * Gartner Group, Inc. Class B 18,300 116 * Community Capital Corp. 21,210 115 * Perini Corp. 38,400 115 * Vornado Operating Inc. REIT 55,529 115 * Datron Systems Inc. 9,500 114 Timberland Bancorp, Inc. 8,600 114 * GRIC Communications, Inc. 53,300 113 * Samsonite Corp. 82,007 113 * Elcom International, Inc. 81,700 112 * Transworld Healthcare Inc. 119,445 112 * Glacier Water Services, Inc. 14,400 112 * Uniroyal Technology Corp. 17,800 111 * Hollywood Entertainment Corp. 104,571 111 * Medtox Scientific, Inc. 17,420 111 * Home Products International Inc. 63,320 111 * Rainmaker Systems, Inc. 87,500 109 * Natural Alternatives International, Inc. 49,500 108 * Magnum Hunter Resources Inc. 10,000 108 * Credit Management Solutions, Inc. 86,300 108 * Questcor Pharmaceuticals, Inc. 171,500 107 National Steel Corp. Class B 90,100 107 Horizon Financial Corp. 9,000 107 Acadia Realty Trust REIT 19,000 107 * Paradyne Networks, Inc. 58,800 107 * MediaBay, Inc. 65,500 106 * Preview Systems, Inc. 34,040 106 * Multiple Zones, Inc. 88,100 105 * Sequoia Software Corp. 54,800 104 * CopyTele, Inc. 151,000 104 * Virbac Corp. 31,310 104 * Crown Media Holdings, Inc. 5,100 104 * Consumer Portfolio Services, Inc. 71,600 103 * Astronics Corp. 8,500 102 * Craig Corp. 35,023 101 Guilford Mills, Inc. 61,925 101 * Computer Horizons Corp. 41,138 100 Peoples Bancorp of North Carolina 7,271 98 * Acclaim Entertainment Inc. 283,100 97 * Fourth Shift Corp. 77,800 97 * Quintus Corp. 64,400 97 *(3) Coeur D'Alene Mines Corp. 102,500 96 * American Access Technologies Inc. 80,800 96 * Metrocall, Inc. 204,600 96 * Clean Harbors Inc. 53,600 95 * Birmingham Steel Corp. 95,050 95 Madison Gas & Electric Co. 4,200 95 * Engineering Measurements Company 13,500 95 * HomeBase, Inc. 94,300 94 * Keystone Consolidated Industries, Inc. 68,219 94 * AML Communications, Inc. 68,000 94 * TRAFFIX, INC. 54,000 93 * Aspeon Inc. 61,800 93 * Talarian Corp. 26,400 92 * Party City Corp. 28,800 92 * PeoplePC Inc. 122,720 92 * SystemOne Technologies Inc. 40,500 91 * Loudeye Technologies, Inc. 76,385 91 * Cypress Bioscience, Inc. 152,100 90 * Lexar Media, Inc. 95,985 90 * Strategic Distribution, Inc. 205,300 90 * Restoration Hardware, Inc. 95,800 90 * Graphic Packaging International Corp. 79,600 90 * eCollege.com Inc. 21,800 89 * Carrington Labs Inc. 88,272 88 * The Sports Authority, Inc. 74,200 88 * Hecla Mining Co. 175,800 88 * Net2000 Communications, Inc. 51,090 88 * Internet Pictures Corp. 90,438 88 * Chiquita Brands International, Inc. 86,165 86 * Axs-One Inc. 125,300 86 *(3) Styleclick, Inc. 41,700 86 * TenFold Corp. 57,300 86 * Columbia Banking System, Inc. 5,500 86 * Cardinal Financial Corp. 25,200 85 * I-Link, Inc. 108,400 85 * HMG Worldwide Corp. 55,000 83 *(3) Pliant Systems, Inc. 71,200 82 * Viador, Inc. 62,200 82 PMR Corp. 56,500 81 * Gallery of History, Inc. 25,900 81 * Intraware, Inc. 54,900 81 * eMachines, Inc. 214,030 80 West Coast Bancorp 8,184 80 * Raytel Medical Corp. 98,200 80 * Arch Wireless, Inc. 127,233 80 * High Speed Access Corp. 74,500 79 * Budget Group, Inc. 37,100 79 First M&F Corp. 4,653 79 * Concur Technologies, Inc. 70,700 78
---- 43 154
- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * Net Perceptions, Inc. 37,400 $ 78 * Food Technology Service, Inc. 70,850 77 Alliance Resource Partners, L.P. 4,300 77 * Equivest Finance, Inc. 41,275 77 * Imperial Credit 164,674 77 * Caliber Learning Network, Inc. 82,200 77 German American Bancorp 6,290 77 * BayCorp Holdings, Ltd. 11,600 77 * Be Inc. 102,400 77 * InterDent, Inc. 61,274 77 * Imperial Sugar Co. 93,302 76 * Informax, Inc. 7,300 76 * Cognitronics Corporation 8,500 76 * Isignia Systems, Inc. 15,200 76 * NorthPoint Communications Group, Inc. 219,400 75 * FairMarket, Inc. 50,100 75 * Lantronix, Inc. 11,750 75 * Renaissance Worldwide, Inc. 95,500 75 *(3) Bio-Plexus, Inc. 91,338 74 * IdeaMall, Inc. 65,200 73 * SpeedUs.com, Inc. 110,500 73 * MessageMedia Inc. 165,300 72 * Outlook Group Corp. 12,300 72 * VitalCom Inc. 57,300 72 * National Bancshares Corp. of Texas 5,300 72 *(3) Ventro Corp. 71,100 71 * SONUS Pharmaceuticals, Inc. 112,700 70 * Phoenix International Ltd., Inc. 55,900 70 * Open Market, Inc. 63,600 70 Franklin Electric, Inc. 1,000 69 * Applied Graphics Technologies, Inc. 20,280 68 Owens Corning 84,000 68 * Systemax Inc. 54,546 68 * Metretek Technologies, Inc. 68,100 68 * Sunbeam Corp. 216,403 68 *(3) Neoforma.com, Inc. 82,800 67 * V-One Corp. 107,400 67 * CAIS Internet, Inc. 68,600 66 America First Mortgage Investments, Inc. REIT 13,100 66 * Internet Commerce & Communications, Inc. 172,700 65 Oregon Steel Mills, Inc. 59,900 64 *(3) Drugstore.com, Inc. 70,200 64 * Crescent Operating, Inc. REIT 101,680 64 * MPW Industrial Services Group, Inc. 63,200 63 * Telescan, Inc. 59,300 63 *(3) Mediaplex, Inc. 76,602 62 * Cypress Communications, Inc. 67,700 61 Wainwright Bank & Trust Co. 8,300 61 *(3) On2.com Inc. 104,600 61 FNB Financial Services Corp. 6,000 60 * Central Financial Acceptance Corp. 22,900 60 * C2, Inc. 7,500 60 * Advanced Switching Communications, Inc. 12,300 60 * DSL.Net, Inc. 112,800 60 * Marketing Specialists Corp. 239,400 60 * Ames Department Stores, Inc. 41,409 60 * Alterra Healthcare Corp. 59,200 59 Port Financial Corp. 3,200 57 * Network Commerce Inc. 75,200 56 * Peapod, Inc. 71,500 56 * Peerless Systems Corp. 57,500 56 Redwood Trust, Inc. REIT 3,100 55 * Telaxis Communications Corp. 30,150 55 * THCG, Inc. 78,400 54 * E-LOAN, Inc. 105,200 53 * Lifeway Foods, Inc. 10,000 53 * Audible, Inc. 119,900 52 * Convergent Communications, Inc. 88,300 52 * InsWeb Corp. 59,200 52 *(3) HearMe 82,100 51 * APTIMUS, INC. 68,360 51 Medallion Financial Corp. 3,500 51 * 800 Travel Systems, Inc. 85,600 51 * Breakaway Solutions, Inc. 58,000 51 * Fresh America Corp. 44,700 50 * Ohio Art Co. 14,800 50 *(3) Netpliance, Inc. 92,775 49 * Drug Emporium, Inc. 104,930 49 * MyPoints.com, Inc. 41,200 49 * USDATA Corp., Inc. 86,750 49 * Harbor Global Company Ltd. 9,720 49 Circle.com 85,275 48 * HORIZON Pharmacies, Inc. 58,800 48 * Calico Commerce Inc. 49,100 48 * Vlasic Foods International, Inc. 189,800 47 *(3) Chromatics Color Sciences International, Inc. 116,600 47 * NTN Communications, Inc. 75,300 47 * EA Engineering Sciences and Technology Inc. 41,700 47 * Information Architects Corp. 25,700 47 * AvantGo, Inc. 7,300 46 * Emcee Broadcast Products, Inc. 47,000 46 * ATEC Group, Inc. 60,000 45 * SciQuest.com, Inc. 33,800 44 * Calton, Inc. 12,500 44 * Exchange Applications, Inc. 35,500 43 * VASCO Data Security International, Inc. 8,000 43
---- 44 155
- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * Prime Retail, Inc. REIT 91,700 $ 43 * IGI, Inc. 68,500 43 * Network Access Solutions Corp. 67,900 42 * Hanger Orthopedic Group, Inc. 32,100 42 * Advanced Radio Telecom Corp. 40,700 42 * Tor Minerals International, Inc. 40,700 42 * Internet America, Inc. 66,200 41 * Miller Exploration Co. 26,600 41 * FirstWorld Communications Inc. 61,800 41 LTV Corp. 117,723 40 * Egghead.com, Inc. 67,614 40 * Universal Access, Inc. 5,000 40 Ecology and Environment, Inc. 6,925 40 * Cellular Technical Services 13,565 38 *(3) SafeScience, Inc. 32,100 38 * MAI Systems Corp. 150,575 38 FNB Corp. 3,100 37 * BioSpecifics Technology 40,800 37 * Profile Technologies, Inc. 29,500 37 *(3) Luminant Worldwide Corp. 44,500 36 *(3) WHX Corp. 47,564 36 * H.T.E., Inc. 39,300 36 * Nematron Corp. 63,000 35 *(3) eToys Inc. 188,200 35 * Towne Services, Inc. 28,760 35 * CRIIMI MAE, Inc. REIT 50,351 35 * Unity Bancorp, Inc. 17,225 34 Plains All American Pipeline, L.P. 1,800 34 * Juno Online Services, Inc. 52,400 34 National Penn Bancshares Inc. 1,700 34 * Avenue A, Inc. 18,300 33 * iVillage Inc. 30,600 33 * Checkers Drive-In Restaurants, Inc. 8,700 32 * Hotelworks.com Inc. 84,800 32 Herbalife International Class A 4,100 31 * Avado Brands, Inc. 53,976 30 Oakwood Homes Corp. 48,500 30 * Capital Title Group, Inc. 32,300 30 Eastern Virginia Bankshares, Inc. 2,100 30 * Covalent Group, Inc. 12,300 30 * The Right Start, Inc. 23,900 30 * Florsheim Group Inc. 55,315 29 * Darling International, Inc. 77,900 29 * Sun Community Bancorp, Ltd. 3,800 28 * Technisource, Inc. 18,700 27 * Newcor, Inc. 43,880 27 * Allied Devices Corp. 11,200 27 * MediChem Life Sciences, Inc. 5,900 27 * Lechters Corp. 143,700 27 * Novadigm, Inc. 4,200 27 * Netsmart Technologies, Inc. 14,133 26 * Shoe Pavilion, Inc. 21,100 26 * Technical Communications Corp. 14,000 26 * Eagle Food 91,800 26 * LeadingSide, Inc. 84,200 25 * Advanced Nutraceuticals, Inc. 44,900 25 * Merisel, Inc. 161,310 25 * Autoweb.com, Inc. 97,400 24 * Delta Financial Corp. 77,900 24 * Response Oncology, Inc. 96,603 24 * Pierre Foods, Inc. 27,600 24 * Team, Inc. 6,400 24 * Bel Fuse, Inc.-Class A 700 23 * NetObjects Inc. 49,200 23 * ZeroPlus.com, Inc. 66,900 23 * eGames, Inc. 121,800 23 * SteelCloud Company 33,200 23 * Xpedior Inc. 80,040 23 * Navarre Corp. 20,300 22 * Paul-Son Gaming Corp. 35,500 22 * Bitstream Inc. 8,600 22 * American Coin Merchandising, Inc. 8,800 22 Weider Nutritional International, Inc. 10,300 22 * Mainspring, Inc. 7,000 22 * Webhire, Inc. 24,900 22 * Unify Corp. 77,274 22 * Ampex Corp. Class A 57,800 22 * National Research Corp. 5,400 22 *(3) Audio Visual Services Corp. 90,900 21 * Aztec Technology Partners, Inc. 96,968 21 *(3) Global Sports, Inc. 3,821 21 * Tickets.com, Inc. 74,800 21 * I-Link Inc. Series N Pfd. 75 21 * Monarch Dental Corp. 41,500 21 * Ursus Telecom Corp. 55,000 21 Bandag, Inc. Class A 600 20 PLM International, Inc. 5,900 20 * InterWorld Corp. 39,150 20 *(3) Adams Golf, Inc. 47,100 19 * Loews Cineplex Entertainment Corp. 83,000 18 * 24/7 Media, Inc. 34,100 18 * Oriole Homes Corp. Class B 19,300 18 * Contour Energy Co. 14,800 18 * Sento Corporation 6,700 18 * BioSphere Medical Inc. 1,500 18 * Verso Technologies, Inc. 11,700 18 First Federal Bancorp, Inc. 3,300 18 * E-Stamp Corp. 93,000 17 * On-Point Technology Systems, Inc. 11,600 17 BP Prudhoe Bay Royalty Trust 1,400 17 * VCampus Corp. 20,300 17 * Vizacom Inc. 67,092 17
---- 45 156
- ------------------------------------------------------------------------------ MARKET EXTENDED MARKET VALUE- INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * ICH Corp. 3,520 $ 17 * Alphanet Solutions, Inc. 9,600 16 * Crown Crafts, Inc. 56,740 16 * Amresco Inc. 11,080 16 * Interstate Hotels Corp. REIT 9,509 16 * Carmike Cinemas, Inc. Class A 45,100 16 * Merry Land Properties, Inc. REIT 2,750 15 Shoreline Financial Corp. 1,000 15 * Advantage Marketing Systems, Inc. 6,600 15 * Metal Management, Inc. 94,800 15 * The Pathways Group, Inc. 111,900 15 Salient 3 Communications Class A 6,000 14 * Duck Head Apparel Co., Inc. 9,790 14 Reader's Digest Assn., Inc. Class B 400 14 *(3) Women.com Networks, Inc. 63,600 14 * j2 Global Communications, Inc. 48,300 14 * Phoenix Technologies LTD. 1,000 13 * Mail.Com, Inc. 18,385 13 Hubbell Inc. Class A 500 13 *(3) Play By Play Toys & Novelties, Inc. 52,000 13 *(3) Ashford.com, Inc. 41,100 13 * OMNI Energy Services Corp. 7,400 12 * Onvia.com, Inc. 14,800 12 * U.S. Interactive, Inc. 43,995 12 * E Com Ventures, Inc. 23,200 12 * Claimsnet.com Inc., 9,600 12 * US SEARCH.com Inc. 53,300 12 First Midwest Financial, Inc. 1,050 12 * Kevco, Inc. 21,000 11 * Schick Technologies, Inc. 40,000 11 * Horizon Group Properties, Inc. REIT 3,415 11 * Horizon Medical Products, Inc. 28,200 11 * ImproveNet, Inc. 28,000 11 *(3) Creditrust Corp. 37,300 10 * ICG Communications, Inc. 79,900 10 * Display Technologies, Inc. 53,079 10 * Firebrand Financial Group, Inc. 35,100 10 * GalaGen Inc. 39,200 10 * Waterlink, Inc. 24,900 10 * Aames Financial Corp. 15,420 10 * Astronics Corp CL B 760 10 L. S. Starrett Co. Class B 400 9 * Analytical Surveys, Inc. 24,700 9 First Southern Bancshares 1,600 9 * PerfectData Corp. 6,100 9 * Zengine, Inc. 1,324 9 * Olympic Cascade Financial Corporation 2,900 9 *(3) Beyond.com Corp. 57,100 9 * AMF Bowling, Inc. 130,401 9 *(3) Stan Lee Media, Inc. 70,070 9 * Hudson Technology, Inc. 5,600 9 * BigStar Entertainment, Inc. 69,900 9 * Frontier Insurance Group, Inc. 91,850 9 * theglobe.com, inc. 30,600 9 * iPrint.com, Inc. 11,100 8 * Endo Pharmaceuticals Warrants Exp. 3/31/2003 31,900 8 * Barrister Information Systems Corp. 18,000 8 * Entrada Networks, Inc. 4,475 8 * Peoples Community Bancorp 500 8 *(3) Pillowtex Designs 27,111 8 * Bizznessonline.com, Inc. 36,700 7 * The Plastic Surgery Co. 3,700 7 * CPI Aerostructures, Inc. 2,400 7 North Valley Bancorp 500 6 * Cybear Group 16,840 6 * audiohighway.com 22,100 6 * quepasa.com, inc. 48,200 6 * Central European Distribution Corp. 3,000 6 * Promotions.com, Inc. 17,300 6 *(3) Pacific Gateway Exchange, Inc. 180,400 6 * CD Warehouse, Inc. 13,800 6 * Firstwave Technologies, Inc. 5,000 5 * Fortune Financial, Inc. 3,400 4 * Landec Corp. 1,500 4 * TechSys, Inc. 3,500 4 * Wavo Corp. 115,100 4 * Gradco Systems, Inc. 4,000 4 * Ecogen, Inc. 32,940 4 * Quokka Sports, Inc. 6,800 4 * ARTISTdirect, Inc. 7,500 4 * Williams Controls, Inc. 3,700 3 * Egreetings Network, Inc. 11,700 3 * The Knot, Inc. 3,500 3 * Registry Magic, Inc. 4,900 3 * Amwest Insurance Group, Inc. 2,300 3 * ProcureNet, Inc. 21,000 3 * SMC Corp. 1,400 3 * Heartland Technology, Inc 2,300 3 * Santa Barbara Restaurant Group 2,300 3 * Donnkenny, Inc. 8,650 3 *(3) PlanetRx.com, Inc. 8,363 2 * American Pacific Bank 880 2 * Optika Inc. 2,900 2 * Applied Biometrics, Inc. 11,900 2 * Musicmaker.com, Inc. 700 2 * The Banc Stock Group, Inc. 1,000 2 * CoActive Marketing Group, Inc. 2,000 2
---- 46 157
- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * United Road Services, Inc. 3,920 $ 2 * NEXIQ Technologies, Inc. 1,500 2 *(3) Pets.com 15,400 1 *(3) SV, Inc. 10,000 1 * Tejon Ranch Co. Rights Exp. 1/16/2001 39,500 1 * Starmet Corp. 3,200 1 * Strouds, Inc. 69,100 1 * Morton Industrial Group, Inc. 900 1 * Mark Solutions, Inc. 16,000 1 * Charles & Colvard Ltd. 700 1 * Continucare Corp. 3,000 1 * Reliance Group Holdings 150,114 1 * UniCapital Corp. 151,200 -- * Dispatch Management Services Corp. 9,500 -- * PopMail.com, Inc. 2,310 -- * American Aircarriers Support, Inc. 35,500 -- * Allied Products Corp. 42,101 -- * VelocityHSI, Inc. 14,580 -- * Prolong International Corp. 2,500 -- *(3) L.A. Gear, Inc. 136,216 -- * American Homestar Corp. 630 -- * Penncorp Financial Group Inc. 91,400 -- * AHT Corporation 56,500 -- * Streamline.com, Inc. 4,000 -- * 3Tec Energy Corp. 900 -- - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $5,500,614) 5,207,228 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (5.7%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 6.54%, 1/25/2001 $ 5,000 4,980 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.10%, 1/2/2001--Note G 205,559 205,559 6.14%, 1/2/2001 89,055 89,055 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $299,594) 299,594 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (104.4%) (COST $5,800,208) 5,506,822 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-4.4%) - -------------------------------------------------------------------------------- Other Assets--Note B $ 59,958 Security Lending Collateral Payable to Brokers---Note G (205,559) Other Liabilities (85,275) --------- (230,876) - -------------------------------------------------------------------------------- NET ASSETS (100%) $5,275,946 ================================================================================
- - See Note A in Notes to Financial Statements. * Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.5% and 4.9%, respectively, of net assets. See Note F in Notes to Financial Statements. (2)Security has been segregated as initial margin for open futures contracts. (3)All or part of security position is on loan to broker/dealers. See Note G in Notes to Financial Statements. ADR--American Depositary Receipt. REIT--Real Estate Investment Trust. ---- 47 158
- -------------------------------------------------------------------------------- EXTENDED MARKET AMOUNT INDEX FUND (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2000, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital--Note E $5,421,874 Overdistributed Net Investment Income-- Note E (3,872) Accumulated Net Realized Gains--Note E 150,114 Unrealized Appreciation (Depreciation)--Note F Investment Securities (293,386) Futures Contracts 1,216 - -------------------------------------------------------------------------------- NET ASSETS $5,275,946 ================================================================================ Investor Shares--Net Assets Applicable to 145,823,934 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,880,847 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $26.61 ================================================================================ Admiral Shares--Net Assets Applicable to 16,571,631 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $441,012 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $26.61 ================================================================================ Institutional Shares--Net Assets Applicable to 35,846,806 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $954,087 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $26.62 ================================================================================
---- 48 159
- -------------------------------------------------------------------------------- MARKET VALUE- MID-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.1%)(1) - -------------------------------------------------------------------------------- * Millennium Pharmaceuticals, Inc. 453,562 $ 28,063 * Waters Corp. 275,936 23,040 * Concord EFS, Inc. 460,922 20,251 * IDEC Pharmaceuticals Corp. 102,008 19,336 Cintas Corp. 359,946 19,144 * Genzyme Corp. 202,542 18,215 * Univision Communications Inc. 440,624 18,037 * DST Systems, Inc. 266,490 17,854 * Rational Software Corp. 403,224 15,700 * Cadence Design Systems, Inc. 524,652 14,427 * Quest Diagnostics, Inc. 98,608 14,001 M & T Bank Corp. 198,300 13,483 * SunGard Data Systems, Inc. 283,650 13,367 * IVAX Corp. 340,247 13,031 SEI Corp. 113,800 12,746 * Sepracor Inc. 157,329 12,606 * Fiserv, Inc. 264,029 12,525 Washington Post Co. Class B 20,103 12,401 * Noble Drilling Corp. 282,538 12,273 * BJ Services Co. 177,262 12,209 * Electronic Arts Inc. 282,218 12,030 Zions Bancorp 185,680 11,593 * Atmel Corp. 995,054 11,568 Telephone & Data Systems, Inc. 125,498 11,295 Marshall & Ilsley Corp. 222,071 11,288 * Weatherford International, Inc. 234,555 11,083 National Community Bancorp 438,404 10,850 * Health Management Associates Class A 518,216 10,753 * Global Marine, Inc. 375,520 10,655 R.J. Reynolds Tobacco Holdings, Inc. 216,344 10,547 * BroadWing Inc. 461,346 10,524 ENSCO International, Inc. 295,724 10,073 * Jabil Circuit, Inc. 387,553 9,834 * RF Micro Devices, Inc. 346,300 9,502 DPL Inc. 273,389 9,073 * Vertex Pharmaceuticals, Inc. 126,000 9,009 Green Point Financial Corp. 215,632 8,827 TECO Energy, Inc. 268,784 8,702 North Fork Bancorp, Inc. 349,467 8,584 Reader's Digest Assn., Inc. Class A 219,220 8,577 Neuberger Berman Inc. 104,100 8,439 * Express Scripts 82,225 8,408 * Gilead Sciences, Inc. 100,413 8,328 Allmerica Financial Corp. 113,402 8,222 * SCI Systems, Inc. 311,523 8,216 * Jones Apparel Group, Inc. 254,707 8,198 A.G. Edwards & Sons, Inc. 172,630 8,189 Old Republic International Corp. 251,493 8,048 * Smith International, Inc. 107,661 8,027 * Protein Design Labs, Inc. 92,400 8,027 * Apollo Group, Inc. Class A 162,434 7,990 First Tennessee National Corp. 274,988 7,957 * Powerwave Technologies, Inc. 134,936 7,894 * Macrovision Corp. 105,900 7,838 Family Dollar Stores, Inc. 365,352 7,832 TCF Financial Corp. 171,576 7,646 * Cooper Cameron Corp. 115,200 7,610 * Litton Industries, Inc. 96,656 7,606 * Park Place Entertainment 634,855 7,579 * Integrated Device Technology Inc. 226,519 7,503 Northeast Utilities 306,583 7,435 * International Game Technology 154,742 7,428 * Acxiom Corp. 190,019 7,399 * SPX Corp. 67,749 7,330 * TriQuint Semiconductor, Inc. 167,501 7,318 * American Standard Cos., Inc. 148,017 7,299 * Oxford Health Plan 183,932 7,265 Legg Mason Inc. 132,097 7,199 Everest Re Group, Ltd. 98,368 7,046 * CheckFree Corp. 162,788 6,918 * TranSwitch Corp. 176,252 6,896 * Affiliated Computer Services, Inc. Class A 113,427 6,884 Hillenbrand Industries, Inc. 133,393 6,870 * Macromedia, Inc. 112,815 6,854 * Health Net Inc. 261,354 6,844 Dime Bancorp, Inc. 231,513 6,844 Mylan Laboratories, Inc. 266,459 6,711 * National-Oilwell, Inc. 171,400 6,631 SCANA Corp. 223,601 6,610 * Synopsys, Inc. 138,512 6,571 Mercantile Bankshares Corp. 149,323 6,449 The PMI Group Inc. 94,443 6,393 * 3Com Corp. 747,374 6,353 * Lincare Holdings, Inc. 111,190 6,345 * BISYS Group, Inc. 121,000 6,307 UtiliCorp United, Inc. 202,372 6,274 * Trigon Healthcare, Inc. 80,217 6,242 * Ocean Energy, Inc. 357,597 6,213 American Water Works Co., Inc. 210,101 6,172 Compass Bancshares Inc. 258,184 6,164 Banknorth Group, Inc. 309,128 6,163 Manpower Inc. 161,663 6,143 * Micrel, Inc. 181,905 6,128 Tyson Foods, Inc. 480,589 6,128 Radian Group, Inc. 80,800 6,065 IBP, Inc. 225,451 6,031 Bowater Inc. 106,911 6,027 * Arrow Electronics, Inc. 209,648 6,001 * BJ's Wholesale Club, Inc. 154,660 5,935 * Hispanic Broadcasting Corp. 232,474 5,928
---- 49 160
- -------------------------------------------------------------------------------- MARKET VALUE- MID-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Brinker International, Inc. 139,802 $ 5,907 Expeditors International of Washington, Inc. 109,700 5,890 Unitrin, Inc. 144,965 5,889 Potomac Electric Power Co. 237,793 5,876 Wisconsin Energy Corp. 258,276 5,827 Murphy Oil Corp. 96,134 5,810 * MiniMed, Inc. 137,722 5,789 Astoria Financial Corp. 106,508 5,785 Ultramar Diamond Shamrock Corp. 185,626 5,731 Jack Henry & Associates 92,000 5,716 * ChoicePoint Inc. 86,700 5,684 C.H. Robinson Worldwide, Inc. 180,374 5,671 * Dollar Tree Stores, Inc. 230,415 5,645 * Hanover Compressor Co. 126,183 5,623 * Devry, Inc. 148,789 5,617 * Microchip Technology, Inc. 254,640 5,586 * AmeriSource Health Corp. 110,600 5,585 Whitman Corp. 339,856 5,565 Hormel Foods Corp. 297,780 5,546 * Cypress Semiconductor Corp. 280,633 5,525 Noble Affiliates, Inc. 119,491 5,497 * Barr Labs Inc. 75,300 5,492 Investors Financial Services Corp. 63,800 5,487 * L-3 Communications Holdings, Inc. 71,111 5,476 * Symantec Corp. 161,550 5,392 Alliant Energy Corp. 168,696 5,377 Arthur J. Gallagher & Co. 84,000 5,345 MCN Energy Group Inc. 192,583 5,332 Beckman Coulter, Inc. 126,916 5,323 * Wind River Systems Inc. 155,300 5,300 Tidewater Inc. 119,104 5,285 National Fuel Gas Co. 83,882 5,279 McCormick & Co., Inc. 146,051 5,267 * CSG Systems International, Inc. 112,137 5,263 * National Instruments Corp. 108,000 5,245 ICN Pharmaceuticals, Inc. 170,015 5,217 * CDW Computer Centers, Inc. 186,733 5,205 * Polycom, Inc. 161,034 5,183 Questar Corp. 171,939 5,169 The Timber Co. 170,966 5,118 Diebold, Inc. 152,658 5,095 Puget Sound Energy Inc. 182,864 5,086 * Grant Prideco, Inc. 231,750 5,084 GATX Corp. 101,849 5,080 Shaw Industries, Inc. 264,934 5,017 FirstMerit Corp. 187,297 5,007 * Chris-Craft Industries, Inc. 74,767 4,972 Energy East Corp. 252,023 4,962 * Plantronics, Inc. 105,100 4,940 * E*TRADE Group, Inc. 666,480 4,915 The MONY Group Inc. 98,500 4,870 NSTAR 113,202 4,854 Lennar Corp. 133,646 4,845 Valero Energy Corp. 129,603 4,820 Herman Miller, Inc. 167,182 4,806 * First Health Group Corp. 101,652 4,733 First Virginia Banks, Inc. 98,238 4,715 Montana Power Co. 225,034 4,669 Helmerich & Payne, Inc. 106,165 4,658 * Catalina Marketing Corp. 118,200 4,602 Sonoco Products Co. 212,474 4,595 * Apogent Technologies Inc. 223,994 4,592 * NVIDIA Corp. 139,771 4,580 Waddell & Reed Financial, Inc. 121,130 4,558 Bergen Brunswig Corp. Class A 287,676 4,554 True North Communications 106,900 4,543 IPALCO Enterprises, Inc. 187,680 4,540 * AmeriCredit Corp. 166,300 4,532 Viad Corp. 196,426 4,518 * Westwood One, Inc. 233,123 4,502 * Dun & Bradstreet Corp. 173,700 4,494 * ACNielson Corp. 123,078 4,462 Precision Castparts Corp. 105,716 4,447 * Vishay Intertechnology, Inc. 293,633 4,441 Fastenal Co. 80,829 4,435 Protective Life Corp. 137,472 4,433 Harris Corp. 143,071 4,382 * Varco International, Inc. 201,104 4,374 * Energizer Holdings Inc. 203,524 4,350 Associated Banc-Corp. 142,186 4,319 Hibernia Corp. Class A 337,651 4,305 DENTSPLY International Inc. 109,931 4,301 International Speedway Corp. 113,182 4,301 Wilmington Trust Corp. 69,082 4,287 * Pioneer Natural Resources Co. 216,181 4,256 Omnicare, Inc. 196,261 4,244 Avnet, Inc. 196,988 4,235 * Outback Steakhouse 163,351 4,227 * Quantum Corp.-DLT & Storage Systems 317,199 4,223 * Abercrombie & Fitch Co. 210,984 4,220 Martin Marietta Materials, Inc. 99,609 4,213 * Lattice Semiconductor Corp. 229,300 4,213 * Sawtek Inc. 90,826 4,195 Leucadia National Corp. 118,100 4,185 * American Eagle Outfitters, Inc. 98,306 4,153 * Cor Therapeutics, Inc. 115,900 4,078 OGE Energy Corp. 166,247 4,063 * SanDisk Corp. 143,300 3,977 City National Corp. 102,041 3,960 * International Rectifier Corp. 132,000 3,960 ALLETE 158,979 3,945
---- 50 161
- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * Quanta Services, Inc. 121,983 $ 3,926 Sovereign Bancorp, Inc. 482,786 3,923 IDACORP, Inc. 79,914 3,921 Newport News Shipbuilding Inc. 75,232 3,912 DQE Inc. 119,409 3,911 Provident Financial Group, Inc. 104,196 3,907 Belo Corp. Class A 242,108 3,874 * LAM Research Corp. 266,200 3,860 Lyondell Chemical Co. 251,051 3,844 IMC Global Inc. 245,119 3,815 Conectiv, Inc. 189,161 3,795 Galileo International, Inc. 189,528 3,791 * Mentor Graphics Corp. 137,915 3,784 American Financial Group, Inc. 141,518 3,759 * Cabot Corp. 141,580 3,734 Comdisco, Inc. 324,945 3,717 * Sybase, Inc. 187,253 3,710 Western Resources, Inc. 149,100 3,700 * Barnes & Noble, Inc. 137,114 3,634 Kansas City Power & Light Co. 132,062 3,623 * Valassis Communications, Inc. 114,350 3,609 Teleflex Inc. 81,536 3,603 * Silicon Valley Bancshares 104,100 3,598 Roslyn Bancorp, Inc. 131,367 3,588 * Mandalay Resort Group 161,795 3,549 CNF Inc. 103,787 3,509 Greater Bay Bancorp 85,300 3,497 * Cytec Industries, Inc. 85,875 3,430 * Lear Corp. 137,540 3,413 * Incyte Genomics, Inc. 137,026 3,409 Harte-Hanks, Inc. 143,436 3,398 Clayton Homes Inc. 293,727 3,378 Flowers Industries, Inc. 213,697 3,366 Vectren Corp. 131,032 3,358 Hubbell Inc. Class B 126,686 3,357 * Payless ShoeSource, Inc. 47,365 3,351 WestAmerica Bancorporation 77,861 3,348 * Apria Healthcare 112,251 3,339 Dallas Semiconductor Corp. 129,700 3,324 Reynolds & Reynolds Class A 163,692 3,315 * Sensormatic Electronics Corp. 165,211 3,315 HON Industries, Inc. 128,587 3,279 * Scholastic Corp. 36,529 3,237 Carter-Wallace, Inc. 96,634 3,225 * Dycom Industries, Inc. 89,500 3,216 * Semtech Corp. 142,096 3,135 * Advanced Fibre Communications, Inc. 172,200 3,110 * Tech Data Corp. 114,637 3,101 * Cirrus Logic 164,734 3,089 * Mohawk Industries, Inc. 112,328 3,075 * Saks Inc. 301,968 3,020 WGL Holdings Inc. 99,198 3,019 Pacific Century Financial Corp. 169,812 3,004 Houghton Mifflin Co. 64,153 2,975 Ross Stores, Inc. 175,413 2,960 Webster Financial Corp. 104,484 2,958 Callaway Golf Co. 158,403 2,950 Valspar Corp. 90,935 2,926 * Sotheby's Holdings Class A 125,832 2,918 * Six Flags, Inc. 168,082 2,889 * Emmis Communications, Inc. 100,200 2,874 Lubrizol Corp. 111,207 2,864 * KEMET Corp. 186,900 2,827 * Investment Technology Group, Inc. 67,327 2,811 Lee Enterprises, Inc. 93,697 2,793 * Suiza Foods Corp. 58,049 2,786 * Nova Corp. (Georgia) 139,445 2,780 Carlisle Co., Inc. 64,596 2,774 Sierra Pacific Resources 167,503 2,691 * Swift Transportation Co., Inc. 135,110 2,677 * Atlas Air, Inc. 81,610 2,663 Solutia, Inc. 221,086 2,653 Donaldson Co., Inc. 95,372 2,653 * The Neiman Marcus Group, Inc. Class A 74,400 2,646 Cleco Corp. 48,064 2,632 Cabot Microelectronics Corp. 50,380 2,617 Hawaiian Electric Industries Inc. 70,085 2,606 * Plexus Corp. 85,500 2,598 * Jacobs Engineering Group Inc. 56,027 2,588 * Credence Systems Corp. 112,300 2,583 AGL Resources Inc. 115,732 2,553 Crompton Corp. 240,649 2,527 Pentair, Inc. 103,883 2,513 York International Corp. 81,233 2,493 * Retek Inc. 102,200 2,491 * Avocent Corp. 91,764 2,478 Blyth, Inc. 102,466 2,472 Albemarle Corp. 97,888 2,423 * Quorum Health Group, Inc. 152,760 2,406 * Williams Sonoma, Inc. 119,024 2,380 * EGL, Inc. 99,400 2,379 Sensient Technologies Corp. 104,236 2,371 * STERIS Corp. 145,005 2,338 Dean Foods Corp. 75,946 2,331 Rayonier Inc. 57,876 2,304 Alexander & Baldwin, Inc. 86,387 2,268 Lancaster Colony Corp. 80,584 2,261 Public Service Co. of New Mexico 83,498 2,239 BorgWarner, Inc. 55,939 2,238
---- 51 162
- ------------------------------------------------------------------------------ MARKET VALUE- MID-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ Dial Corp. 202,777 $ 2,231 * Furniture Brands International Inc. 105,625 2,225 * Edwards Lifesciences Corp. 125,298 2,224 CBRL Group, Inc. 121,010 2,201 Pittston Brink's Group 110,642 2,199 Black Hills Corp. 48,819 2,185 Waddell & Reed Financial, Inc. Class B 57,600 2,160 Pennzoil-Quaker State Co. 167,263 2,154 Olin Corp. 95,540 2,114 * MIPS Technologies, Inc. Class B 82,600 2,105 Harsco Corp. 85,215 2,104 (3) USG Corp. 92,712 2,086 Universal Corp. 58,814 2,058 * Mastec Inc. 101,700 2,034 AK Steel Corp. 229,984 2,012 * United Rentals, Inc. 149,700 2,012 * Price Communications Corp. 119,300 2,006 Trinity Industries, Inc. 79,685 1,992 Claire's Stores, Inc. 109,603 1,966 * Borders Group, Inc. 167,939 1,963 * Storage Technology Corp. 217,928 1,961 Dole Food Co. 118,999 1,949 Dreyer's Grand Ice Cream, Inc. 60,309 1,945 Federal Signal Corp. 96,546 1,895 Kennametal, Inc. 64,708 1,885 RPM Inc. (Ohio) 217,923 1,866 * The Titan Corp. 114,802 1,866 Horace Mann Educators Corp. 86,256 1,844 Church & Dwight, Inc. 81,438 1,812 * CommScope, Inc. 109,194 1,809 Kelly Services, Inc. Class A 76,137 1,799 Bandag, Inc. 44,192 1,793 Ametek Aerospace Products Inc. 68,475 1,776 Media General, Inc. Class A 48,754 1,775 * Informix Corp. 597,547 1,774 Nordson Corp. 68,798 1,754 * Adtran, Inc. 82,459 1,752 Superior Industries International, Inc. 55,223 1,743 ArvinMeritor, Inc. 151,335 1,721 * Korn/Ferry International 80,400 1,709 * Flowserve Corp. 79,811 1,706 Granite Construction Co. 58,123 1,682 Ferro Corp. 73,091 1,681 * Alaska Air Group, Inc. 56,436 1,679 Tecumseh Products Co. Class A 40,034 1,679 Overseas Shipholding Group Inc. 72,458 1,662 * NCO Group, Inc. 54,600 1,658 Carpenter Technology Corp. 46,943 1,643 * Ogden Corp. 105,832 1,627 * Lands' End, Inc. 64,597 1,623 Bob Evans Farms, Inc. 74,390 1,585 Kaydon Corp. 63,395 1,577 AGCO Corp. 126,261 1,531 * GTech Holdings Corp. 73,898 1,520 Interstate Bakeries Corp. 106,734 1,501 * Wisconsin Central Transportation Corp. 99,129 1,493 Longview Fibre Co. 110,223 1,488 Minerals Technologies, Inc. 43,285 1,480 Wallace Computer Services, Inc. 86,732 1,474 * Keane, Inc. 147,316 1,436 J. M. Smucker Co. 51,319 1,434 * Legato Systems, Inc. 186,231 1,385 Stewart & Stevenson Services, Inc. 59,903 1,360 * VISIX Inc. 129,812 1,355 * Covance, Inc. 123,558 1,328 Banta Corp. 52,083 1,324 * Perrigo Co. 157,158 1,301 Modine Manufacturing Co. 61,961 1,286 Rollins, Inc. 63,591 1,276 Ohio Casualty Corp. 127,287 1,273 J.B. Hunt Transport Services, Inc. 74,524 1,253 * Network Associates, Inc. 294,159 1,232 * DSP Group Inc. 57,900 1,219 * InFocus Corp. 82,100 1,211 H.B. Fuller Co. 29,907 1,180 * Sylvan Learning Systems, Inc. 79,598 1,179 * Imation Corp. 75,338 1,168 Ruddick Corp. 97,986 1,121 P.H. Glatfelter Co. 89,918 1,119 Wausau-Mosinee Paper Corp. 109,514 1,109 * Pacificare Health Systems, Inc. 73,114 1,097 * Papa John's International, Inc. 49,083 1,092 * Unifi, Inc. 115,144 1,029 Airborne, Inc. 102,808 1,002 * Gartner Group, Inc. Class B 155,053 983 * Airgas, Inc. 140,693 958 * UCAR International, Inc. 96,839 944 * The Neiman Marcus Group, Inc. Class B 27,000 894 * Albany International Corp. 65,665 882 * Modis Professional Services Inc. 203,543 840 * Transaction Systems Architects, Inc. 70,919 820 * Sequa Corp. Class A 22,243 809 Lance, Inc. 61,944 784 Westpoint Stevens, Inc. 104,426 782 * Structural Dynamics Research Corp. 76,150 762 A. Schulman Inc. 62,291 716
---- 52 163
- ------------------------------------------------------------------------------ MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------------ * Antec Corp. 80,119 $ 633 Lone Star Steakhouse & Saloon, Inc. 52,636 507 NCH Corp. 11,534 438 Ryerson Tull, Inc. 52,353 432 * Sykes Enterprises, Inc. 84,536 375 * Maxxam Inc. 14,599 222 * Gartner Group, Inc. Class A 28,500 197 - ------------------------------------------------------------------------------ TOTAL COMMON STOCKS (COST $1,845,018) 1,904,243 - ------------------------------------------------------------------------------ FACE AMOUNT (000) - ------------------------------------------------------------------------------ TEMPORARY CASH INVESTMENTS (2.4%)(1) - ------------------------------------------------------------------------------ FEDERAL HOME LOAN MORTAGE CORP. (2) 6.53%, 1/11/2001 $ 500 499 FEDERAL NATIONAL MORTGAGE ASSN. (2) 6.51%, 1/18/2001 500 499 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.10%, 1/2/2001--Note G 1,978 1,978 6.14%, 1/2/2001 42,621 42,621 - ------------------------------------------------------------------------------ TOTAL TEMPORARY CASH INVESTMENTS (COST $45,597) 45,597 - ------------------------------------------------------------------------------ TOTAL INVESTMENTS (101.5%) (COST $1,890,615) 1,949,840 - ------------------------------------------------------------------------------ OTHER ASSETS AND LIABILITIES (-1.5%) - ------------------------------------------------------------------------------ Other Assets--Note B 30,392 Liabilities--Note G (58,910) -------- (28,518) - ------------------------------------------------------------------------------ NET ASSETS (100%) $1,921,322 ==============================================================================
- - See Note A in Notes to Financial Statements. * Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.7% and 1.8%, respectively, of net assets. See Note F in Notes to Financial Statements. (2)Securities with an aggregate value of $998,000 have been segregated as initial margin for open futures contracts. (3)All or part of security position is on loan to broker/dealers. See Note G in Notes to Financial Statements.
- -------------------------------------------------------------------- MARKET VALUE- (000) - -------------------------------------------------------------------- AT DECEMBER 31, 2000, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------- Paid-in Capital--Note E $1,827,198 Overdistributed Net Investment Income-- Note E (657) Accumulated Net Realized Gains--Note E 35,677 Unrealized Appreciation (Depreciation)--Note F Investment Securities 59,225 Futures Contracts (121) - -------------------------------------------------------------------- NET ASSETS $1,921,322 ==================================================================== Investor Shares--Net Assets Applicable to 132,202,201 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $1,614,274 - -------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $12.21 ==================================================================== Institutional Shares--Net Assets Applicable to 25,114,482 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $307,048 - -------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $12.23 ====================================================================
---- 53 164 STATEMENT OF OPERATIONS This Statement shows dividend and interest income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) on investments during the period. If a fund invested in futures contracts during the period, the results of these investments are shown separately.
- ---------------------------------------------------------------------------------------------------------- EXTENDED MARKET MID-CAP INDEX FUND INDEX FUND --------------------------------- YEAR ENDED DECEMBER 31, 2000 --------------------------------- (000) (000) - ---------------------------------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 46,326 $ 13,859 Interest 5,599 734 Security Lending 10,458 45 - ---------------------------------------------------------------------------------------------------------- Total Income 62,383 14,638 - ---------------------------------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 46 46 Management and Administrative--Investor Shares 11,018 2,232 Management and Administrative--Admiral Shares 90 -- Management and Administrative--Institutional Shares 877 216 Marketing and Distribution--Investor Shares 531 129 Marketing and Distribution--Admiral Shares -- -- Marketing and Distribution--Institutional Shares 146 34 Custodian Fees 327 171 Auditing Fees 11 10 Shareholders' Reports--Investor Shares 138 21 Shareholders' Reports---Admiral Shares -- -- Shareholders' Reports--Institutional Shares 1 1 Trustees' Fees and Expenses 7 1 - ---------------------------------------------------------------------------------------------------------- Total Expenses 13,192 2,861 Expenses Paid Indirectly--Note C (129) (1) - ---------------------------------------------------------------------------------------------------------- Net Expenses 13,063 2,860 - ---------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 49,320 11,778 - ---------------------------------------------------------------------------------------------------------- REALIZED NET GAIN Investment Securities Sold 783,527 166,261 Futures Contracts 6,504 666 - ---------------------------------------------------------------------------------------------------------- REALIZED NET GAIN 790,031 166,927 - ---------------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (1,893,392) 2,603 Futures Contracts 17 (139) - ---------------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (1,893,375) 2,464 - ---------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(1,054,024) $181,169 ==========================================================================================================
---- 54 165 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, as well as the amounts redeemed. Distributions and Capital Share Transactions are shown separately for each class of shares.
- ------------------------------------------------------------------------------------------------------------ EXTENDED MARKET INDEX FUND MID-CAP INDEX FUND --------------------------------------------------- YEAR ENDED DECEMBER 31, --------------------------------------------------- 2000 1999 2000 1999 (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 49,320 $ 40,147 $ 11,778 $ 4,565 Realized Net Gain 790,031 432,266 166,927 37,911 Change in Unrealized Appreciation (Depreciation) (1,893,375) 840,344 2,464 47,590 - ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations (1,054,024) 1,312,757 181,169 90,066 - ------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Net Investment Income--Investor Shares (33,972) (33,913) (9,425) (3,777) Net Investment Income--Admiral Shares (3,832) -- -- -- Net Investment Income--Institutional Shares (9,990) (7,913) (1,934) (953) Realized Capital Gain--Investor Shares (571,530) (370,554) (109,693) (34,102) Realized Capital Gain--Admiral Shares (46,429) -- -- -- Realized Capital Gain--Institutional Shares (135,811) (67,729) (21,004) (7,021) - ------------------------------------------------------------------------------------------------------------ Total Distributions (801,564) (480,109) (142,056) (45,853) - ------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1) Issued 1,892,534 818,381 1,089,223 428,102 Issued in Lieu of Cash Distributions 564,787 373,018 111,331 35,109 Redeemed (1,345,905) (603,514) (213,574) (100,927) - ------------------------------------------------------------------------------------------------------------ Net Increase--Investor Shares 1,111,416 587,885 986,980 362,284 - ------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS--ADMIRAL SHARES(1) Issued 497,269 -- -- -- Issued in Lieu of Cash Distributions 41,516 -- -- -- Redeemed (38,811) -- -- -- - ------------------------------------------------------------------------------------------------------------ Net Increase--Admiral Shares 499,974 -- -- -- - ------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(1) Issued 452,661 301,323 178,087 110,927 Issued in Lieu of Cash Distributions 116,802 60,118 18,147 6,870 Redeemed (139,861) (86,591) (48,121) (21,523) - ------------------------------------------------------------------------------------------------------------ Net Increase--Institutional Shares 429,602 274,850 148,113 96,274 - ------------------------------------------------------------------------------------------------------------ Total Increase 185,404 1,695,383 1,174,206 502,771 - ------------------------------------------------------------------------------------------------------------ NET ASSETS Beginning of Year 5,090,542 3,395,159 747,116 244,345 - ------------------------------------------------------------------------------------------------------------ End of Year $ 5,275,946 $5,090,542 $1,921,322 $ 747,116 ============================================================================================================
(1)See Note H in Notes to Financial Statements for the corresponding number of shares issued and redeemed. ---- 55 166 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
- --------------------------------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ------------------------------------------ FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 2000 1999 1998 1997 1996 - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF YEAR $37.07 $30.63 $30.76 $26.20 $24.07 - --------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .274 .297 .388 .351 .34 Net Realized and Unrealized Gain (Loss) on Investments (6.041) 10.101 2.025 6.479 3.85 - --------------------------------------------------------------------------------------------------------- Total from Investment Operations (5.767) 10.398 2.413 6.830 4.19 - --------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.263) (.318) (.373) (.360) (.34) Distributions from Realized Capital Gains (4.430) (3.640) (2.170) (1.910) (1.72) - --------------------------------------------------------------------------------------------------------- Total Distributions (4.693) (3.958) (2.543) (2.270) (2.06) - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF YEAR $26.61 $37.07 $30.63 $30.76 $26.20 ========================================================================================================= TOTAL RETURN* -15.55% 36.22% 8.32% 26.73% 17.65% ========================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Year (Millions) $3,881 $4,221 $2,939 $2,723 $2,099 Ratio of Total Expenses to Average Net Assets 0.25% 0.25% 0.23% 0.23% 0.25% Ratio of Net Investment Income to Average Net Assets 0.81% 1.04% 1.21% 1.30% 1.42% Portfolio Turnover Rate 33% 26% 27% 15% 22% =========================================================================================================
*Total return figures do not reflect transaction fees on purchases (0.25% beginning October 31, 1997, through March 31, 2000; 0.5% in 1996 through October 31, 1997) or the $10 annual account maintenance fee applied on balances under $10,000. ---- 56 167
- ------------------------------------------------------------------------------------------------------ EXTENDED MARKET INDEX FUND ADMIRAL SHARES NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 2000 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $31.89 - ------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .050 Net Realized and Unrealized Gain (Loss) on Investments (1.736) - ------------------------------------------------------------------------------------------------------ Total from Investment Operations (1.686) - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.274) Distributions from Realized Capital Gains (3.320) - ------------------------------------------------------------------------------------------------------ Total Distributions (3.594) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $26.61 ====================================================================================================== TOTAL RETURN -4.30% ====================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $441 Ratio of Total Expenses to Average Net Assets 0.20%** Ratio of Net Investment Income to Average Net Assets 1.23%** Portfolio Turnover Rate 33% ======================================================================================================
*Inception. **Annualized.
- ------------------------------------------------------------------------------------------------------ EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, JULY 7* TO ------------------------ FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 1998 DEC. 31, 1997 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $37.09 $30.63 $30.76 $29.28 - ------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .313 .363 .427 .200 Net Realized and Unrealized Gain (Loss) on Investments (6.041) 10.101 2.025 3.191 - ------------------------------------------------------------------------------------------------------ Total from Investment Operations (5.728) 10.464 2.452 3.391 - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.312) (.364) (.412) (.371) Distributions from Realized Capital Gains (4.430) (3.640) (2.170) (1.540) - ------------------------------------------------------------------------------------------------------ Total Distributions (4.742) (4.004) (2.582) (1.911) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $26.62 $37.09 $30.63 $30.76 ====================================================================================================== TOTAL RETURN** -15.41% 36.45% 8.45% 11.82% ====================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $954 $870 $456 $415 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10%+ Ratio of Net Investment Income to Average Net Assets 0.96% 1.18% 1.34% 1.43%+ Portfolio Turnover Rate 33% 26% 27% 15% ======================================================================================================
*Inception. **Total return figures do not reflect transaction fees on purchases (0.25% beginning October 31, 1997, through March 31, 2000; 0.5% from inception through October 31, 1997). +Annualized. ---- 57 168 FINANCIAL HIGHLIGHTS (continued)
- ----------------------------------------------------------------------------------------------------- MID-CAP INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ------------------------- APR. 20* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 DEC. 31, 1998 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $11.30 $10.79 $10.00 - ----------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .071 .073 .053 Net Realized and Unrealized Gain (Loss) on Investments 1.897 1.448 .840 - ----------------------------------------------------------------------------------------------------- Total from Investment Operations 1.968 1.521 .893 - ----------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.078) (.076) (.053) Distributions from Realized Capital Gains (.980) (.935) (.050) - ----------------------------------------------------------------------------------------------------- Total Distributions (1.058) (1.011) (.103) - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $12.21 $11.30 $10.79 ===================================================================================================== TOTAL RETURN** 18.10% 15.32% 8.55% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,614 $605 $206 Ratio of Total Expenses to Average Net Assets 0.25% 0.25% 0.25%+ Ratio of Net Investment Income to Average Net Assets 0.90% 0.99% 1.19%+ Portfolio Turnover Rate 51% 38% 44% =====================================================================================================
*Subscription period for the fund was April 20, 1998, to May 20, 1998, during which time all assets were held in money market instruments. Performance measurement begins May 21, 1998. **Total return figures do not reflect the 0.25% transaction fee on purchases from inception through February 28, 1999, or the $10 annual account maintenance fee applied on balances under $10,000. +Annualized. ---- 58 169
- ----------------------------------------------------------------------------------------------------------- MID-CAP INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, ----------------------- MAY 20* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 DEC. 31, 1998 - ----------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $11.30 $10.79 $10.03 - ----------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .081 .083 .055 Net Realized and Unrealized Gain (Loss) on Investments 1.918 1.448 .814 - ----------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.999 1.531 .869 - ----------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.089) (.086) (.059) Distributions from Realized Capital Gains (.980) (.935) (.050) - ----------------------------------------------------------------------------------------------------------- Total Distributions (1.069) (1.021) (.109) - ----------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $12.23 $11.30 $10.79 =========================================================================================================== TOTAL RETURN** 18.39% 15.41% 8.61% =========================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $307 $143 $39 Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12%+ Ratio of Net Investment Income to Average Net Assets 1.03% 1.11% 1.30%+ Portfolio Turnover Rate 51% 38% 44% ===========================================================================================================
*Initial share purchase date. Subscription period for the fund was April 20, 1998, to May 20, 1998, during which time all assets were held in money market instruments. Performance measurement begins May 21, 1998. **Total return figures do not reflect the 0.25% transaction fee on purchases from inception through February 28, 1999. +Annualized. ---- 59 170 NOTES TO FINANCIAL STATEMENTS Vanguard Extended Market Index and Mid-Cap Index Funds are registered under the Investment Company Act of 1940 as diversified open-end investment companies, or mutual funds. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements. 1. SECURITY VALUATION: Equity securities are valued at the latest quoted sales prices as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Prices are taken from the primary market in which each security trades. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued by methods deemed by the board of trustees to represent fair value. 2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 3. REPURCHASE AGREEMENTS: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FUTURES CONTRACTS: The funds use index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. A fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts based upon the following indexes are used: S&P 500 Index (Extended Market Index Fund), S&P MidCap 400 Index (Extended Market Index and Mid-Cap Index Funds), and Russell 2000 Index (Extended Market Index Fund). Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains ---- 60 171 (losses) on the sale of investment securities are those of the specific securities sold. Transaction fees assessed on purchases of capital shares are credited to paid-in capital. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2000, the funds had contributed capital to Vanguard (included in Other Assets) of:
--------------------------------------------------------------------- CAPITAL CONTRIBUTIONS PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION --------------------------------------------------------------------- Extended Market $980 0.02% 1.0% Mid-Cap 331 0.02 0.3 ---------------------------------------------------------------------
The funds' trustees and officers are also directors and officers of Vanguard. C. The funds' custodian banks have agreed to reduce their fees when the funds maintain cash on deposit in their non-interest-bearing custody accounts. For the year ended December 31, 2000, custodian fee offset arrangements reduced expenses of the Extended Market Index and Mid-Cap Index Funds by $129,000 and $1,000, respectively. D. The Extended Market Index Fund offers three classes of shares, Investor Shares, Institutional Shares, and Admiral Shares. The Mid-Cap Index Fund offers Investor Shares and Institutional Shares. Institutional Shares are designed primarily for institutional investors that meet certain administrative and servicing criteria and have a minimum investment of $10 million. The Extended Market Index Fund Admiral Shares were first issued on November 13, 2000, and are designed primarily for individual investors that meet certain administrative, servicing, and tenure criteria, and have a minimum investment of $50,000. Investor Shares are offered to all other investors. Each class of shares has equal rights to assets and earnings, except that each class bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expense) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class- specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. E. During the year ended December 31, 2000, purchases and sales of investment securities other than temporary cash investments were:
-------------------------------------------------------------------- (000) ------------------------ INDEX FUND PURCHASES SALES -------------------------------------------------------------------- Extended Market $3,144,257 $1,885,442 Mid-Cap 1,569,273 596,593 --------------------------------------------------------------------
---- 61 172 NOTES TO FINANCIAL STATEMENTS (continued) The funds used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from net investment income and realized capital gains. Accordingly, the funds have reclassified the following amounts from undistributed net investment income and accumulated net realized gains to paid-in capital:
---------------------------------------------------------- (000) ---------------------------------------------------------- UNDISTRIBUTED ACCUMULATED NET INVESTMENT NET REALIZED INDEX FUND INCOME GAINS ---------------------------------------------------------- Extended Market $3,586 $56,265 Mid-Cap 882 12,101 ----------------------------------------------------------
F. At December 31, 2000, net unrealized appreciation (depreciation) of investment securities for financial reporting and federal income tax purposes was:
------------------------------------------------------------ (000) ------------------------------------------- APPRECIATED DEPRECIATED NET UNREALIZED INDEX FUND SECURITIES SECURITIES APPRECIATION ------------------------------------------------------------ Extended Market $1,460,496 $(1,753,882) $(293,386) Mid-Cap 264,414 (205,189) 59,225 ------------------------------------------------------------
At December 31, 2000, the aggregate settlement value of open futures contracts expiring in March 2001 and the related unrealized appreciation (depreciation) were:
-------------------------------------------------------------------------- (000) --------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) -------------------------------------------------------------------------- Extended Market/ S&P MidCap 400 Index 114 $29,791 $712 Russell 2000 Index 59 14,420 504 Mid-Cap/ S&P MidCap 400 Index 46 12,021 (121) --------------------------------------------------------------------------
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes. G. The market value of securities on loan to broker/dealers at December 31, 2000, and collateral received with respect to such loans were:
-------------------------------------------------------------- (000) -------------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED -------------------------------------------------------------- Extended Market $163,853 $205,559 Mid-Cap 1,935 1,978 --------------------------------------------------------------
The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan. ---- 62 173 H. Shares issued and redeemed for each class of shares were:
-------------------------------------------------------------------------------- SHARES (000) -------------------------------------------------- NET INCREASE ISSUED IN (DECREASE) LIEU OF CASH IN SHARES INDEX FUND/YEAR/SHARE CLASS ISSUED DISTRIBUTIONS REDEEMED OUTSTANDING -------------------------------------------------------------------------------- EXTENDED MARKET--2000 Investor Shares 51,426 20,785 (40,247) 31,964 Admiral Shares 16,161 1,697 (1,286) 16,572 Institutional Shares 11,921 4,366 (3,887) 12,400 -------------------------------------------------------------------------------- EXTENDED MARKET--1999 Investor Shares 25,760 11,413 (19,243) 17,930 Admiral Shares -- -- -- -- Institutional Shares 9,512 1,810 (2,776) 8,546 -------------------------------------------------------------------------------- MID-CAP--2000 Investor Shares 86,090 9,743 (17,151) 78,682 Institutional Shares 14,738 1,576 (3,816) 12,498 -------------------------------------------------------------------------------- MID-CAP--1999 Investor Shares 40,719 3,344 (9,610) 34,453 Institutional Shares 10,371 645 (1,986) 9,030 --------------------------------------------------------------------------------
----- 63 174 REPORT of Independent Accountants To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Extended Market Fund and Vanguard Mid-Cap Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2000, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2000 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 6, 2001 - ------------------------------------------------------------------------------- SPECIAL 2000 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (MID-CAPITALIZATION PORTFOLIOS) This information for the fiscal year ended December 31, 2000, is included pursuant to provisions of the Internal Revenue Code. The funds distributed capital gain dividends (from net long-term capital gains) to share- holders during the fiscal year, all of which are designated as a 20% rate gain distributions, as follows:
----------------------------------------------------- TOTAL CAPITAL INDEX FUND GAINS DIVIDEND ----------------------------------------------------- Extended Market $638,937,000 Mid-Cap 47,920,000 -----------------------------------------------------
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follow:
----------------------------------------------------- INDEX FUND PERCENTAGE ----------------------------------------------------- Extended Market 15.2% Mid-Cap 12.7 -----------------------------------------------------
---- 64 175 THE PEOPLE Who Govern Your Fund The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, which is owned by the funds and exists solely to provide services to them on an at-cost basis. Six of Vanguard's seven board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. They bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/ directors; and electing Vanguard officers. The list below provides a brief description of each trustee's professional affiliations. The year in which the trustee joined the Vanguard board is noted in parentheses. - ------------------------------------------------------------------------------- TRUSTEES JOHN J. BRENNAN (1987) Chairman of the Board, Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies in The Vanguard Group. JOANN HEFFERNAN HEISEN (1998) Vice President, Chief Information Officer, and a member of the Executive Committee of Johnson & Johnson; Director of Johnson & Johnson-Merck Consumer Pharmaceuticals Co., The Medical Center at Princeton, and Women's Research and Education Institute. BRUCE K. MACLAURY (1990) President Emeritus of The Brookings Institution; Director of American Express Bank Ltd., The St. Paul Companies, Inc., and National Steel Corp. BURTON G. MALKIEL (1977) Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Prudential Insurance Co. of America, Banco Bilbao Argentaria, Gestion, BKF Capital, The Jeffrey Co., NeuVis, Inc., and Select Sector SPDR Trust. ALFRED M. RANKIN, JR. (1993) Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc.; Director of The BFGoodrich Co. JAMES O. WELCH, JR. (1971) Retired Chairman of Nabisco Brands, Inc. (Food Products); retired Vice Chairman and Director of RJR Nabisco (Food and Tobacco Products); Director of TECO Energy, Inc., and Kmart Corp. J. LAWRENCE WILSON (1985) Retired Chairman and Chief Executive Officer of Rohm & Haas Co.; Director of AmeriSource Health Corporation, Cummins Engine Co., and The Mead Corp.; Trustee of Vanderbilt University. - ------------------------------------------------------------------------------- OTHER FUND OFFICERS RAYMOND J. KLAPINSKY, Secretary; Managing Director and Secretary of The Vanguard Group, Inc.; Secretary of each of the investment companies in The Vanguard Group. THOMAS J. HIGGINS, Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies in The Vanguard Group. - ------------------------------------------------------------------------------- VANGUARD MANAGING DIRECTORS R. GREGORY BARTON, Legal Department. ROBERT A. DISTEFANO, Information Technology. JAMES H. GATELY, Direct Investor Services. KATHLEEN C. GUBANICH, Human Resources. IAN A. MACKINNON, Fixed Income Group. F. WILLIAM MCNABB, III, Institutional Investor Group. MICHAEL S. MILLER, Planning and Development. RALPH K. PACKARD, Chief Financial Officer. GEORGE U. SAUTER, Quantitative Equity Group. - ------------------------------------------------------------------------------- JOHN C. BOGLE Founder; Chairman andChief Executive, 1974-1996. 176 ABOUT OUR COVER Our cover art evokes both Vanguard's rich past and the course we've set for the future--our determination to provide superior investment performance and top-notch service. The image is based on two works: a painting titled The First Journey of 'Victory,' by the English artist W.L. Wyllie (1851-1931), and a sculpture of a compass rose on Vanguard's campus near Valley Forge, Pennsylvania. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. Standard & Poor's(R), S&P(R), S&P 500(R), Standard & Poor's 500, 500, S&P MidCap 400, and S&P SmallCap 600 are trademarks of The McGraw-Hill Companies, Inc. All other index names may contain trademarks and are the exclusive property of their respective owners. [THE VANGUARD GROUP LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 INDIVIDUAL ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 This report is intended for the funds' shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. (C) 2001 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q980 022001 177 VANGUARD(R) U.S. STOCK INDEX FUNDS SMALL-CAPITALIZATION PORTFOLIOS Annual Report - December 31, 2000 INCLUDED WITHIN THIS REPORT: Vanguard Small-Cap Index Fund Vanguard Small-Cap Growth Index Fund Vanguard Small-Cap Value Index Fund [PHOTO] [THE VANGUARD GROUP LOGO] 178 SOME LESSONS FROM 2000 Although the year 2000 was a trying period for many investors, it reinforced some investment truths worth keeping in mind as you build and maintain your portfolio. These include: - THINGS CHANGE. It's difficult--bordering on impossible--to consistently or precisely predict when the financial markets will turn up or down, when the economy will accelerate or slow, and which investments will lead or lag. Don't risk your hard-earned money by betting on such forecasts. - DIVERSIFICATION MATTERS. If you build and maintain a portfolio that includes different asset classes--as well as types of securities within asset classes--you give yourself a valuable buffer against severe damage from any one market segment. True, your diversified portfolio will never top the short-term performance charts. But a balanced investment approach will help you to meet your financial goals without taking undue risks. - PERSPECTIVE IS PARAMOUNT. Market declines are always painful. Yet they're inevitable if you seek the long-term rewards of investing. If you keep your focus on your long-term goals, you'll find periodic downturns much easier to endure, and you'll avoid making emotion-driven mistakes. SUMMARY - - Our 12-month returns ranged from -2.7% for Vanguard Small-Cap Index Fund to a stellar 21.9% for Vanguard Small-Cap Value Index Fund. - - In a reversal of the previous year's trend, growth stocks plummeted in 2000, bringing down broad market indexes, while value stocks and bonds surged. - - Small-cap stocks generally weathered the storm better than large-cap stocks. CONTENTS 1 Letter from the Chairman 7 Fund Profiles 10 Glossary of Investment Terms 11 Performance Summaries 17 Report on After-Tax Returns 18 Financial Statements 58 Report of Independent Accountants 179 LETTER from the Chairman Fellow Shareholder, Small-capitalization stocks fared much better than the overall market in 2000, and small-cap value stocks flourished, as reflected in the 12-month returns of our VANGUARD U.S. STOCK INDEX FUNDS.
2000 TOTAL RETURNS YEAR ENDED DECEMBER 31 - -------------------------------------------------------------------------- SMALL-CAP INDEX FUND -2.7% Average Small-Cap Core Fund* 5.1 Russell 2000 Index -3.0 SMALL-CAP GROWTH INDEX FUND 1.6% Average Small-Cap Growth Fund* -5.0 S&P SmallCap 600/BARRA Growth Index 0.6 SMALL-CAP VALUE INDEX FUND 21.9% Average Small-Cap Value Fund* 17.8 S&P SmallCap 600/BARRA Value Index 20.9
*Derived from data provided by Lipper Inc.
ADMIRAL SHARES - -------------------------------------------------------------------------- Small-Cap Index Fund* 1.8%
*Since inception, November 13, 2000
INSTITUTIONAL SHARES - -------------------------------------------------------------------------- Small-Cap Index Fund -2.6% Small-Cap Growth Index Fund* 4.9 Small-Cap Value Index Fund 22.0 - --------------------------------------------------------------------------
*Since inception, May 24, 2000. All three of our small-cap index funds recorded slightly higher total returns (capital change plus reinvested dividends) than their unmanaged target indexes during 2000. Two also outperformed their average mutual fund peer, as the table at right shows. We also present the returns for our funds' Admiral and Institutional shares. Each fund's total return is based on the change in its net asset value during the year and reflects income dividends and capital gains distributions. The table that follows this letter presents those per-share figures. If you own one of our funds in a taxable account, you may wish to review our report on the fund's after-tax returns on page 17. FINANCIAL MARKETS IN REVIEW The year 2000 was in many ways the flip side of its predecessor. The pace of economic growth slowed instead of accelerating as the year progressed, the broad U.S. stock market fell, "dot-com" changed from a magic formula to near-poison among investors, value stocks outpaced their growth counterparts, and bonds--the downtrodden asset class of 1999--provided the best returns. Interestingly, 2000 started off looking a lot like 1999. In February, the U.S. economy reached its record-breaking ninth year of growth ----- 1 180 uninterrupted by a recession, and gross domestic product grew at an annual pace of 4.8% in the first quarter. In March, broad stock market indexes were pushed to all-time highs, fueled by the skyrocketing prices of growth stocks, particularly in the technology sector.
MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 ONE THREE FIVE YEAR YEARS YEARS - ----------------------------------------------------------------------------------------- STOCKS S&P 500 Index (Large-caps) -9.1% 12.3% 18.3% Russell 2000 Index (Small-caps) -3.0 4.6 10.3 Wilshire 5000 Index (Entire market) -11.0 10.7 16.7 MSCIEAFE Index (International) -14.0 9.6 7.4 - ----------------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index (Entire market) 11.6% 6.4% 6.5% Lehman 10 Year Municipal Bond Index 10.8 5.3 5.9 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 6.0 5.2 5.2 ========================================================================================= CPI Consumer Price Index 3.4% 2.6% 2.5% - -----------------------------------------------------------------------------------------
Then came an abrupt reversal. The technology-dominated Nasdaq Composite Index fell -34% in the five weeks after its March high. And despite many interim rallies--including 13 increases of 5% or more in a single day--the Nasdaq returned -38.7% for the 12 months, having fallen -51% from its peak in March to the year-end. The overall U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned -11.0% for the year--its first negative return since 1994 and its worst calendar-year performance since 1974. Several factors were at work in the markets. High energy prices raised the specter of inflation and cut into profits for some industries. For firms with significant foreign operations, the stronger U.S. dollar threatened profits. And the Federal Reserve Board's series of interest rate boosts--implemented from mid-1999 through May 2000 to counter inflationary pressures--began to have their intended effect in slowing the pace of economic growth. Indeed, by year-end, markets were expecting the Fed to begin reducing rates to keep the slowdown from turning into a recession. (The Fed acted on January 3, 2001, cutting short-term interest rates by 0.5%.) Investors worried that a slower economy, combined with the boom in capital investment in recent years, would result in significant overcapacity in many industries. Many believed that companies would find it hard--if not impossible--to sustain earnings growth in this environment. And, in fact, by late 2000, hundreds of companies were reporting earnings that failed to meet lofty expectations. Technology and telecommunications stocks, whose prices had reflected the highest levels of optimism, were the hardest hit. However, the stock market also had its success stories. The big winners in 2000 were in health care, utilities (except for telecom firms), energy, and financial services. After five years as market laggards, many value stocks--those with relatively low prices in relation to earnings, book value, dividends, and ----- 2 181 other financial measures--far outperformed their growth counterparts and posted solid returns. When sorted by market capitalization, mid-cap stocks did the best overall (the Standard & Poor's MidCap 400 Index returned 17.5%), followed by small-cap stocks. Oddly, by certain measures, 2000 was a better year for stocks than 1999: Almost 47% of the stocks in the Russell 3000 Index (comprising the large-cap Russell 1000 and the small-cap Russell 2000) had positive returns, compared with about 45% the previous year. However, key market indexes are weighted according to market capitalization, so the declines of a number of very large stocks had a much bigger influence on index returns than did the gains of smaller stocks. In 1999, the oversized gains for some of those same large stocks skewed results in the other direction. High-quality bonds benefited from their status as a haven from stock market volatility and from the belief that the slower economy would forestall inflation. Also helping bond prices was a shrinkage in the supply of securities issued by the U.S. Treasury, as a growing budget surplus reduced the need to borrow. Bond price increases, combined with interest income, resulted in double-digit returns for longer-duration Treasury, agency, and mortgage-backed bonds. Bond yields, of course, move in the opposite direction from prices. The yield of the 30-year Treasury bond fell 102 basis points (1.02 percentage points) during the year to 5.46% by December 31; the 10-year Treasury yield fell 133 basis points to 5.11%. Investment-grade corporate bonds did not perform as well as Treasury bonds, but still posted respectable results. Short-term interest rates, which are most directly influenced by the Federal Reserve's actions, rose during 2000. Yields on 3-month Treasury bills rose 57 basis points to 5.90%. FISCAL 2000 PERFORMANCE OVERVIEW VANGUARD SMALL-CAP INDEX FUND's -2.7% return lagged that of its average peer by 7.8 percentage points. In part, the fund's lower results versus competitors reflect "portfolio drift"--a tendency of some small-cap funds to buy some mid-cap stocks or to hold onto stocks that have outgrown the small-cap label. In 2000, when mid-cap stocks were the market's best performers, drifting into mid-cap territory was an advantage for many of our competitors. - -------------------------------------------------------------------------------- SMALL-CAP FUNDS THAT "DRIFTED" INTO MID-CAP TERRITORY HAD AN ADVANTAGE IN 2000, WHEN MID-CAP STOCKS WERE THE MARKET'S BEST PERFORMERS. - -------------------------------------------------------------------------------- The fund's target index, the Russell 2000 Index, had a significant weighting in newer companies, many of them related to the Internet, that had poor results during 2000. The Russell 2000 is based solely on the market capitalization of stocks (it holds the 2,000 smallest stocks from the Russell 3000 Index of the largest U.S. companies). Our two other small-cap ----- 3 182 funds--VANGUARD SMALL-CAP GROWTH INDEX FUND and VANGUARD SMALL-CAP VALUE INDEX FUND--track Standard & Poor's indexes that not only are based on market capitalization but also generally require companies to have profits and at least three years of operating history. The differences in how the indexes are constructed meant that the Small-Cap Growth and Small-Cap Value Index Funds had fewer Internet-related stocks and other speculative issues than the Russell 2000 or many actively managed small-cap funds. Avoiding these speculative stocks, which were among the big winners in 1999, proved to be a big advantage during 2000, when many dot-com companies imploded. (The growth stocks within the Russell 2000 fell -22.4%, compared with the 0.6% return for growth stocks in the S&P index.) The Small-Cap Growth Index Fund's target index, the S&P SmallCap 600/BARRA Growth Index, also had a heavier weighting than the Russell 2000 in health care and energy-related stocks--two sectors that made strong gains during the year. For the year, the Small-Cap Growth Index Fund managed a positive return of 1.6%, while the average peer fund fell -5.0%. Our Small-Cap Value Index Fund earned a stellar 21.9% return, more than 4 percentage points higher than the average return for its peer group. LONG-TERM PERFORMANCE OVERVIEW A single year, whether good or bad, is too short a period to judge the merits of a mutual fund. The table below presents the average annual returns for the past decade for our Small-Cap Index Fund and for the lifetimes of our Small-Cap Growth and Small-Cap Value Index Funds, which have existed for a little over 21/2 years. The table also shows the average annual returns for our comparative measures and how hypothetical $10,000 investments in each would have grown through December 31, 2000.
TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000* AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - ----------------------------------------------------------------------- SMALL-CAP INDEX FUND 16.2% $44,842 Average Small-Cap Core Fund 16.6 46,351 Russell 2000 Index 15.5 42,357 SMALL-CAP GROWTH INDEX FUND 5.8% $11,590 Average Small-Cap Growth Fund 16.3 14,848 S&P SmallCap 600/ BARRA Growth Index 5.2 11,428 SMALL-CAP VALUE INDEX FUND 3.8% $11,025 Average Small-Cap Value Fund 2.4 10,634 S&P SmallCap 600/ BARRA Value Index 3.0 10,800 - -----------------------------------------------------------------------
*Ten years for the Small-Cap Index Fund. For the Small-Cap Growth and Small-Cap Value Index Funds, the returns are annualized since May 21, 1998, the funds' inception date. All of our funds have achieved their objective of closely tracking their bench- ----- 4 183 mark indexes (indeed, all have managed to slightly outpace them). We acknowledge the skill of the Vanguard Quantitative Equity Group, which manages all of our indexed stock portfolios and pays close attention to minimizing the transaction and operating costs that make it hard for real-world funds to match their target indexes, let alone exceed them. Our Small-Cap Index Fund lagged the average small-cap fund during the past decade because many of its peers held larger companies, and the past decade was a period when large-cap stocks dominated smaller stocks. Although it made up some ground during 2000, our Small-Cap Growth Index Fund has lagged its average peer since May 1998 because our target index excluded many of the newly created companies that skyrocketed in 1998 and 1999, before nosediving in 2000. We believe, however, that our long-term performance will be fully competitive with that of our peer funds. - -------------------------------------------------------------------------------- OUR TARGET GROWTH INDEX EXCLUDED MANY OF THE NEWLY CREATED COMPANIES THAT SKYROCKETED IN 1998 AND 1999 . . . - -------------------------------------------------------------------------------- The prime advantage of index funds in general--and Vanguard index funds in particular--is their low operating and transaction costs. We believe this gives us a head start against actively managed funds over the long haul. Our funds' 2000 expense ratio, the annual operating costs as a percentage of average net assets, was 0.27% for Investor Shares and even less for our Admiral Shares (0.20%) and Institutional Shares (0.13%). Meanwhile, the average expense ratio charged by peer funds ranged from 1.44% to 1.64%, according to data from Lipper Inc. In other words, advisers of other funds have to overcome a burden of more than 1 percentage point, year after year, to produce higher net returns than our funds. Although 2000 was a tough year for the overall market, it provided some useful lessons in the importance of diversification. Small-cap stocks, which lagged the broad market for most of the previous decade, were relatively strong performers. Investors who maintained a broad exposure to the stock market and who diversified further with bonds or bond funds were able to avoid catastrophic damage from the market downturn. A WORD ABOUT ADMIRAL SHARES In November, Vanguard introduced Admiral Shares, an innovative program to recognize the cost savings that long-tenured and large accounts bring to the administration of mutual funds. Admiral Shares return these savings to the investors who create them. Owners of the Admiral Shares of our Small-Cap Index Fund benefit from an even lower annual expense ratio--just 0.20%--than the low 0.27% expense ratio paid for our fund's Investor Shares. ----- 5 184 IN SUMMARY We believe that 2000 proved that "old-fashioned" investment precepts are old because they are true. Among those precepts are the importance of diversification and of investing for the long run. We don't know what's in store for 2001, but we continue to recommend that investors keep a long-term perspective and avoid extremes--of pessimism when markets are falling or of exuberance when markets are rising. As always, our recommendation for coping with the uncertainty and volatility of the financial markets is to "stay the course" with a balanced portfolio of diversified stock funds, bond funds, and short-term investments in proportions that make sense for your personal goals, time horizon, financial situation, and risk tolerance. Vanguard index funds are a low-cost, efficient way to implement such a sound investment program. I thank you for trusting your hard-earned dollars to us. Sincerely, /s/ JOHN J. BRENNAN [PHOTO] JOHN J. BRENNAN January 19, 2001 CHAIRMAN AND CHIEF EXECUTIVE OFFICER
FUND STATISTICS YEAR ENDED DECEMBER 31, 2000 ------------------------------- NET ASSET VALUE DIVIDENDS PER SHARE DISTRIBUTIONS PER SHARE ----------------------------- FROM NET FROM NET VANGUARD DECEMBER 31, DECEMBER 31, REALIZED INVESTMENT INDEX FUND 1999* 2000 CAPITAL GAINS INCOME - ------------------------------------------------------------------------------------------------- Small-Cap $23.60 $19.44 $3.025 $0.260 Small-Cap Growth 11.38 10.97 0.570 0.003 Small-Cap Value 8.45 9.65 0.500 0.082 - ------------------------------------------------------------------------------------------------- ADMIRAL SHARES - ------------------------------------------------------------------------------------------------- Small-Cap $22.40 $19.44 $2.810 $0.265 - ------------------------------------------------------------------------------------------------- INSTITUTIONAL SHARES - ------------------------------------------------------------------------------------------------- Small-Cap $23.61 $19.44 $3.025 $0.292 Small-Cap Growth 11.03 10.97 0.570 0.012 Small-Cap Value 8.45 9.65 0.500 0.095 - -------------------------------------------------------------------------------------------------
*Net asset value as of inception date for Small-Cap Admiral Shares (November 13, 2000) and Small-Cap Growth Institutional Shares (May 24, 2000). ----- 6 185 FUND PROFILE AS OF DECEMBER 31, 2000 for Small-Cap Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index and a broad market index. Key terms are defined on page 10.
- ----------------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 ------------------------------------------- Number of Stocks 1,896 1,898 6,638 Median Market Cap $0.9B $1.0B $40.0B Price/Earnings Ratio 22.4x 22.5x 27.4x Price/Book Ratio 2.3x 2.3x 4.2x Yield 1.3% 1.4% 1.2% Yield--Admiral Shares 1.4% 1.4% 1.2% Yield--Institutional Shares 1.5% 1.4% 1.2% Return on Equity 14.1% 14.1% 22.5% Earnings Growth Rate 13.1% 13.1% 15.8% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 49% -- -- Expense Ratio 0.27% -- -- Expense Ratio--Admiral Shares 0.20%** -- -- Expense Ratio-- Institutional Shares 0.13% -- -- Cash Investments 0.0% -- -- - ---------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------ VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - ------------------------------------------------------------------------------ R-Squared 1.00 1.00 0.61 1.00 Beta 1.00 1.00 1.05 1.00 - ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------ SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - ------------------------------------------------------------------------------ Auto & Transportation 3.4% 3.3% 1.8% Consumer Discretionary 16.2 16.2 12.2 Consumer Staples 2.6 2.6 6.1 Financial Services 22.0 22.1 19.1 Health Care 14.6 14.7 14.1 Integrated Oils 0.0 0.0 3.4 Other Energy 4.5 4.5 2.9 Materials & Processing 9.1 9.2 2.8 Producer Durables 8.5 8.3 3.4 Technology 11.5 11.6 20.3 Utilities 6.3 6.3 8.6 Other 1.3 1.2 5.3 - ------------------------------------------------------------------------------
*Russell 2000 Index. **Annualized.
- ------------------------------------------------------------------------------ TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Caremark Rx, Inc. 0.4% (health care) Laboratory Corp. of America Holdings 0.4 (health care) Invitrogen Corp. 0.3 (biotechnology) Health Net Inc. 0.3 (health products & services) Manugistics Group, Inc. 0.3 (software) AmeriSource Health Corp. 0.3 (pharmaceuticals) Enzon, Inc. 0.3 (biotechnology) Investors Financial Services Corp. 0.3 (banks) Astoria Financial Corp. 0.3 (savings & loan) Arthur J. Gallagher & Co. 0.3 (insurance) - ------------------------------------------------------------------------------ Top Ten 3.2% - ------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- INVESTMENT FOCUS STYLE BLEND MARKET CAP SMALL
[COMPUTER GRAPHIC] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. ----- 7 186 FUND PROFILE AS OF DECEMBER 31, 2000 for Small-Cap Growth Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index and a broad market index. Key terms are defined on page 10.
- ----------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 ----------------------------------------- Number of Stocks 187 186 6,638 Median Market Cap $1.1B $1.1B $40.0B Price/Earnings Ratio 27.1 27.1 27.4x Price/Book Ratio 5.0x 5.0x 4.2x Yield 0.0% 0.4% 1.2% Yield--Institutional Shares 0.2% 0.4% 1.2% Return on Equity 16.7% 16.7% 22.5% Earnings Growth Rate 18.2% 18.2% 15.8% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 136% -- -- Expense Ratio 0.27% -- -- Expense Ratio-- Institutional Shares 0.13%** -- -- Cash Investments 0.0% -- -- - -----------------------------------------------------------------------------
- --------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - --------------------------------------------------------------------------- Auto & Transportation 4.3% 4.1% 1.8% Consumer Discretionary 18.8 18.8 12.2 Consumer Staples 2.0 2.0 6.1 Financial Services 10.5 10.5 19.1 Health Care 24.8 24.7 14.1 Integrated Oils 0.0 0.0 3.4 Other Energy 9.0 9.0 2.9 Materials & Processing 5.5 5.5 2.8 Producer Durables 10.2 10.3 3.4 Technology 14.6 14.8 20.3 Utilities 0.3 0.3 8.6 Other 0.0 0.0 5.3 - ---------------------------------------------------------------------------
*S&P SmallCap 600/BARRA Growth Index. **Annualized.
- -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Universal Health Services Class B 2.1% (health products & services) Timberland Co. 1.6 (shoes) Cephalon, Inc. 1.6 (biotechnolgy) Patterson Dental Co. 1.4 (medical) Eaton Vance Corp. 1.4 (investment management) Cullen/Frost Bankers, Inc. 1.3 (banks) Commerce Bancorp, Inc. 1.3 (banks) Varian Medical Systems, Inc. 1.3 (electrical & electronics) RSA Security Inc. 1.3 (computer technology) Shaw Group, Inc. 1.2 (manufacturing) Top Ten 14.5% - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- INVESTMENT FOCUS STYLE GROWTH MARKET CAP SMALL
----- 8 187 FUND PROFILE AS OF DECEMBER 31, 2000 for Small-Cap Value Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index and a broad market index. Key terms are defined on page 10.
- -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 ------------------------------------------- Number of Stocks 415 414 6,638 Median Market Cap $0.7B $0.7B $40.0B Price/Earnings Ratio 15.3x 15.3x 27.4x Price/Book Ratio 1.6x 1.6x 4.2x Yield 0.9% 1.4% 1.2% Yield--Institutional Shares 1.0% 1.4% 1.2% Return on Equity 14.5% 14.5% 22.5% Earnings Growth Rate 15.0% 15.0% 15.8% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 82% -- -- Expense Ratio 0.27% -- -- Expense Ratio-- Institutional Shares 0.13% -- -- Cash Investments 0.2% -- -- - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 ---------------------------------------------- Auto & Transportation 5.0% 5.0% 1.8% Consumer Discretionary 17.7 17.7 12.2 Consumer Staples 4.9 4.9 6.1 Financial Services 17.6 17.6 19.1 Health Care 4.7 4.7 14.1 Integrated Oils 0.0 0.0 3.4 Other Energy 5.9 5.9 2.9 Materials & Processing 12.6 12.8 2.8 Producer Durables 12.7 11.6 3.4 Technology 9.6 10.8 20.3 Utilities 8.4 8.4 8.6 Other 0.9 0.6 5.3 - --------------------------------------------------------------------------------
*S&P SmallCap 600/BARRA Value Index.
- -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Fidelity National Financial, Inc. 1.3% (financial services) First American Corp. 1.1 (securities brokers & services) Centura Banks, Inc. 1.0 (banks) Alpharma, Inc. Class A 0.9 (pharmaceuticals) Smithfield Foods, Inc. 0.9 (foods) Pride International Inc. 0.9 (energy) D. R. Horton, Inc. 0.9 (real estate) Raymond James Financial, Inc. 0.9 (securities brokers & services) Coventry Health Care Inc. 0.8 (medical) Downey Financial Corp. 0.8 (savings & loan) Top Ten 9.5% - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- INVESTMENT FOCUS STYLE VALUE MARKET CAP SMALL
[COMPUTER GRAPHIC] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. ----- 9 188 GLOSSARY of Investment Terms BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the fund's "target" index benchmark and an overall market index. Each index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 would have seen its share price rise or fall by 12% when the index rose or fell by 10%. - -------------------------------------------------------------------------------- CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash equivalents"--highly liquid, short-term, interest-bearing securities. This figure does not include cash invested in futures contracts to simulate stock investment. - -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. - -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. - -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or American Depositary Receipts of companies based outside the United States. - -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. - -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. - -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. - -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by the fund's "target" index benchmark and by an overall market index. If a fund's total return were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0. - -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of trading activity during the past year. Funds with high turnover rates incur higher transaction costs and are more likely to distribute capital gains (which are taxable to investors). - -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of dividends paid on stocks in the index. - -------------------------------------------------------------------------------- ----- 10 189 PERFORMANCE SUMMARY for Small-Cap Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [BAR GRAPH]
- -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) DECEMBER 31, 1990-DECEMBER 31, 2000 SMALL-CAP INDEX FUND RUSSELL 2000 INDEX - -------------------------------------------------------------------------------- 1991 45.3 46.1 1992 18.2 18.4 1993 18.7 18.9 1994 -0.5 -1.8 1995 28.7 28.4 1996 18.1 16.5 1997 24.6 22.4 1998 -2.6 -2.5 1999 23.1 21.3 2000 -2.7 -3.0
See Financial Highlights table on page 50 for dividend and capital gains information for the past five years. [PERFORMANCE LINE GRAPH]
- -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1990-DECEMBER 31, 2000 Average Small-Cap Small-Cap Russell Wilshire Index Fund Core Fund 2000 Index 5000 Index 11/14/90 $ 10000 $ 10000 $ 10000 $ 10000 1991 03 12929 12219 12974 11646 1991 06 12700 12132 12773 11609 1991 09 13764 12973 13814 12346 1991 12 14526 13679 14605 13421 1992 03 15682 14400 15701 13242 1992 06 14645 13627 14630 13226 1992 09 15050 13837 15049 13632 1992 12 17170 15729 17294 14624 1993 03 18024 16498 18033 15247 1993 06 18305 16766 18427 15362 1993 09 19806 17674 20038 15983 1993 12 20381 18067 20564 16274 1994 03 19978 17952 20018 15667 1994 06 19302 17276 19239 15545 1994 09 20655 18248 20574 16390 1994 12 20278 17971 20189 16264 1995 03 21252 19451 21120 17733 1995 06 23227 21222 23100 19388 1995 09 25540 23325 25381 21160 1995 12 26106 23612 25931 22192 1996 03 27553 25445 27254 23439 1996 06 29093 27427 28618 24472 1996 09 29276 27435 28715 25164 1996 12 30836 28266 30209 26900 1997 03 29302 27417 28646 27074 1997 06 34379 32605 33290 31646 1997 09 39747 37493 38244 34733 1997 12 38418 35647 36963 35316 1998 03 42319 40397 40681 40000 1998 06 40186 38598 38784 40779 1998 09 32093 29417 30971 35874 1998 12 37414 34349 36022 43591 1999 03 35317 32394 34068 45236 1999 06 41369 39138 39367 48767 1999 09 38859 36759 36877 45542 1999 12 46069 44114 43679 53861 2000 03 49235 49971 46772 55917 2000 06 47681 49761 45004 53410 2000 09 48094 48798 45500 53498 2000 12 44842 46351 42357 47943
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE - ------------------------------------------------------------------------- OF A $10,000 1 YEAR 5 YEARS 10 YEARS INVESTMENT - ---------------------------------------------------------------------------------------- Small-Cap Index Fund* -2.67% 11.43% 16.19% $44,842 Average Small-Cap Core Fund** 5.07 14.44 16.58 46,351 Russell 2000 Index -3.03 10.31 15.53 42,357 Wilshire 5000 Index -10.99 16.66 16.97 47,943 - ----------------------------------------------------------------------------------------
* Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ----- 11 190 PERFORMANCE SUMMARY for Small-Cap Index Fund Institutional Shares All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [BAR CHART]
- -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) JULY 7, 1997-DECEMBER 31, 2000 1997 11.4 11.1 1998 -2.5 -2.5 1999 23.3 21.3 2000 -2.6 -3 - --------------------------------------------------------------------------------
See Financial Highlights table on page 51 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE JULY 7, 1997-DECEMBER 31, 2000 Small-Cap Index Fund Average Institutional Small-Cap Russell Wilshire Shares Core Fund* 2000 Index 5000 Index 7/7/1997 10000000 10000000 10000000 10000000 1997 09 11524823 11648330 11496645 10707040 1997 12 11141777 11096623 11111590 10886798 1998 03 12272961 12333896 12229234 12330502 1998 06 11663799 11711376 11658986 12570654 1998 09 9316873 9139280 9310252 11058549 1998 12 10863069 10692706 10828605 13437630 1999 03 10259223 9890551 10241262 13944709 1999 06 12016471 11875335 11833996 15033157 1999 09 11292898 11420444 11085751 14038898 1999 12 13397330 13732642 13130483 16603420 2000 03 14317640 15257165 14060126 17237170 2000 06 13871465 15098301 13528609 16464286 2000 09 13997309 15160640 13677819 16491458 2000 12 13054680 14428887 12732908 14779173
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE OF ------------------------------- A $10,000,000 1 YEAR SINCE INCEPTION INVESTMENT - ----------------------------------------------------------------------------------------------- Small-Cap Index Fund Institutional Shares -2.56% 7.95% $13,054,680 Average Small-Cap Core Fund* 5.07 11.09 14,428,887 Russell 2000 Index -3.03 7.18 12,732,908 Wilshire 5000 Index -10.99 11.86 14,779,173 - -----------------------------------------------------------------------------------------------
*Derived from data provided by Lipper Inc. ----- 12 191 PERFORMANCE SUMMARY for Small-Cap Growth Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [BAR CHART]
- -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) MAY 21, 1998-DECEMBER 31, 2000 1998 -4.8 -5.0 1999 19.8 19.6 2000 1.6 0.6
See Financial Highlights table on page 52 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE MAY 21, 1998-DECEMBER 31, 2000 Small-Cap Average S&P SmallCap Growth Small-Cap 600/BARRA Wilshire Index Fund* Growth Fund** Growth Index 5000 Index 5/21/1998 9950 10000 10000 10000 1998 06 9634 9914 9758 10021 1998 09 7673 7667 7789 8815 1998 12 9334 9606 9504 10712 1999 03 8517 9305 8697 11116 1999 06 9396 10755 9663 11984 1999 09 9127 11023 9415 11191 1999 12 10960 15622 11363 13235 2000 03 11902 17997 12308 13741 2000 06 11881 16961 12363 13125 2000 09 11717 17257 12218 13146 2000 12 11532 14848 11428 11781
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE ------------------------------- OF A $10,000 1 YEAR SINCE INCEPTION INVESTMENT - ------------------------------------------------------------------------------------------------ Small-Cap Growth Index Fund* 1.08% 5.60% $11,532 Average Small-Cap Growth Fund** -4.95 16.33 14,848 S&P SmallCap 600/BARRA Growth Index 0.57 5.24 11,428 Wilshire 5000 Index -10.99 6.90 11,906 - -----------------------------------------------------------------------------------------------
*Performance figures are adjusted for the 0.5% transaction fee on purchases. The figures do not reflect the $10 annual account maintenancefee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ----- 13 192 PERFORMANCE SUMMARY for Small-Cap Growth Index Fund Institutional Shares All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [BAR CHART]
- -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) MAY 24, 2000-DECEMBER 31, 2000 2000 4.9 4.2
See Financial Highlights table on page 52 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE MAY 24, 2000-DECEMBER 31, 2000 5/24/2000 9950000 10000000 10000000 10000000 2000 06 11183782 11296465 11267833 10791242 2000 09 11029624 11338262 11135762 10809052 2000 12 10437172 10434248 10415725 9686763
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE OF ------------------------------- A $10,000,000 SINCE INCEPTION INVESTMENT - ------------------------------------------------------------------------------------------------------ Small-Cap Growth Index Fund Institutional Shares* 4.37% $10,437,172 Average Small-Cap Growth Fund** 4.34 10,434,248 S&P SmallCap 600/BARRA Growth Index 4.16 10,415,725 Wilshire 5000 Index -3.13 9,686,763
*Performance figures are adjusted for the 0.5% transaction fee on purchases. **Derived from data provided by Lipper Inc. ----- 14 193 PERFORMANCE SUMMARY for Small-Cap Value Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [BAR GRAPH]
- --------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) MAY 21, 1998-DECEMBER 31, 2000 Small-Cap Value Index Fund S&P SmallCap 500/BAARA Value Index - --------------------------------------------------------------------------------- 1998 -12.5% 13.3% 1999 3.3% 3.0% 2000 21.9% 20.9% - ---------------------------------------------------------------------------------
See Financial Highlights table on page 53 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- ------------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE MAY 21, 1998-DECEMBER 31, 2000 Small-Cap Value Average Small-Cap S&P SmallCap 600/BARRA Wilshire 5000 Index Fund* Value Fund** Value Index Index 1998 05 9950 10000 10000 10000 1998 06 9693 9605 9790 10134 1998 09 7587 7609 7669 8915 1998 12 8579 8492 8673 10833 1999 03 7726 7639 7845 11242 1999 06 9230 9035 9406 12120 1999 09 8504 8548 8708 11318 1999 12 8691 9029 8936 13385 2000 03 8912 9473 9189 13896 2000 06 9045 9614 9363 13273 2000 09 9699 10314 10085 13295 2000 12 10970 10634 10800 11915
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE ------------------------------------ OF A $10,000 1 YEAR SINCE INCEPTION INVESTMENT - ------------------------------------------------------------------------------------------------------------ Small-Cap Value Index Fund* 21.27% 3.61% $10,970 Average Small-Cap Value Fund** 17.77 2.38 10,634 S&P SmallCap 600/BARRA Value Index 20.86 2.99 10,800 Wilshire 5000 Index -10.99 6.90 11,906 - ------------------------------------------------------------------------------------------------------------
*Performance figures are adjusted for the 0.5% transaction fee on purchases. The figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ---- 15 194 PERFORMANCE SUMMARY for Small-Cap Value Index Fund Institutional Shares All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. [BAR GRAPH]
- ---------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) DECEMBER 7, 1999-DECEMBER 31, 2000 Small-Cap Value Index Fund Institutional Shares S&P SmallCap 500/BARRA Value Index - ---------------------------------------------------------------------------------------------------------- 1999 2.9% 2.7% 2000 22.0% 20.9%
See Financial Highlights table on page 53 for dividend and capital gains information since inception. [PERFORMANCE LINE GRAPH]
- -------------------------------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 7, 1999-DECEMBER 31, 2000 Small-Cap Value Index Fund Average Small-Cap S&P SmallCap 600/BARRA Wilshire 5000 Institutional Shares* Value Fund** Value Index Index 1999 12 9950000 10000000 10000000 10000000 1999 12 10180126 10282696 10282696 10282696 2000 03 10438783 10834877 10574099 10675185 2000 06 10607581 10955184 10774216 10196528 2000 09 11373009 11661605 11604606 10213356 2000 12 12486600 12109931 12427740 9152918
AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2000 FINAL VALUE OF ---------------------------------- A $10,000,000 1 YEAR SINCE INCEPTION INVESTMENT - ------------------------------------------------------------------------------------------------------------------------------ Small-Cap Value Index Fund Institutional Shares* 21.43% 23.17% $12,486,600 Average Small-Cap Value Fund** 17.77 19.68 12,109,931 S&P SmallCap 600/BARRA Value Index 20.86 22.47 12,412,331 Wilshire 5000 Index -10.99 -7.97 9,152,918 - ------------------------------------------------------------------------------------------------------------------------------
*Performance figures are adjusted for the 0.5% transaction fee on purchases. **Derived from data provided by Lipper Inc. ---- 16 195 A REPORT on Your Fund's After-Tax Returns This table presents pre-tax and after-tax returns for your fund and an appropriate peer group of mutual funds. The after-tax returns represent the fund's past results only and should not be used to predict future tax efficiency. If you own the fund in a tax-deferred account such as an individual retirement account or a 401(k), this information does not apply to you. Such accounts are not subject to current taxes. Income taxes can have a considerable impact on a fund's return--an important consideration for investors who own mutual funds in taxable accounts. The fund's after-tax return, which accounts for taxes on distributions of capital gains and income dividends, is an important measure of the return that many investors actually received.
PRE-TAX AND AFTER-TAX PERIODS ENDED DECEMBER 31, 2000 AVERAGE ANNUAL TOTAL RETURNS ONE YEAR FIVE YEARS* TEN YEARS ----------------------------------------------------------------------------- PRE-TAX AFTER-TAX PRE-TAX AFTER-TAX PRE-TAX AFTER-TAX - ----------------------------------------------------------------------------------------------------------------------------------- Small-Cap Index Fund -2.7% -6.3% 11.4% 8.7% 16.2% 14.0% Small-Cap Index Fund Institutional Shares -2.6 -6.2 7.9 5.0 -- -- Average Small Blend Fund** 12.8 9.7 13.0 10.4 15.9 13.0 - ----------------------------------------------------------------------------------------------------------------------------------- Small-Cap Growth Index Fund 1.6% 0.1% 5.8% 5.1% -- -- Average Small Growth Fund** -5.7 -9.7 14.6 11.4 -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Small-Cap Value Index Fund 21.9% 18.8% 3.8% 1.8% -- -- Small-Cap Value Index Fund Institutional Shares 22.0 18.9 23.7 18.3 -- -- Average Small Value Fund** 17.0 15.3 12.3 10.2 -- -- - -----------------------------------------------------------------------------------------------------------------------------------
*For Vanguard Small-Cap Growth and Small-Cap Value Index Funds, returns are annualized since inception on May 21, 1998; for Small-Cap Index Fund Institutional Shares, inception was July 7, 1997; for Small-Cap Value Institutional Shares, inception was December 7, 1999. **Based on data from Morningstar, Inc. Elsewhere in this report, returns for comparable funds are derived from data provided by Lipper Inc., which may differ somewhat. The after-tax return calculations use the top federal income tax rates in effect at the time of each distribution. The tax burden would be less, and the after-tax return higher, for those in lower tax brackets. We must stress that because many interrelated factors affect how tax-friendly a fund may be, it is very difficult to predict tax efficiency. A fund's tax efficiency can be influenced by its turnover rate, the types of securities it holds, the accounting practices it uses, and the net cash flow it receives. Finally, it's important to understand that our calculation does not reflect the tax effect of your own investment activities. Specifically, you may incur additional capital gains taxes--thereby lowering your after-tax return--if you decide to sell all or some of your shares. - -------------------------------------------------------------------------------- A NOTE ABOUT OUR CALCULATIONS: Pre-tax total returns assume that all distributions received (income dividends, short-term capital gains, and long-term capital gains) are reinvested in new shares, while our after-tax returns assume that distributions are reduced by any taxes owed on them before reinvestment. When calculating the taxes due, we used the highest individual federal income tax rates at the time of the distributions. Those rates are currently 39.6% for dividends and short-term capital gains and 20% for long-term capital gains. State and local income taxes were not considered. The competitive group returns provided by Morningstar are calculated in a manner consistent with that used for Vanguard funds. (C)2001 by Morningstar(R), Inc. All rights reserved. Average return information for comparative fund groups is proprietary information of Morningstar, Inc. It may not be copied or redistributed, and it may only be used for noncommercial, personal purposes. Morningstar does not warrant that this information is accurate, correct, complete, or timely, and Morningstar is not responsible for investment decisions, damages, or other losses resulting from use of this information. Past performance is no guarantee of future performance. Morningstar, Inc., has not consented to be considered or deemed an "expert" under the Securities Act of 1933. ---- 17 196 FINANCIAL STATEMENTS December 31, 2000 STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets of each fund, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
- ----------------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------- COMMON STOCKS (99.7%)(1) - ----------------------------------------------------------------------------------------- * Caremark Rx, Inc. 1,129,852 $ 15,324 * Laboratory Corp. of America Holdings 86,665 15,253 * Invitrogen Corp. 171,978 14,855 * Health Net Inc. 512,270 13,415 * Manugistics Group, Inc. 230,300 13,127 * AmeriSource Health Corp. 255,400 12,898 * Enzon, Inc. 205,200 12,735 Investors Financial Services Corp. 147,804 12,711 Astoria Financial Corp. 221,600 12,036 Arthur J. Gallagher & Co. 188,800 12,012 * NetIQ Corp. 135,500 11,839 * Humana, Inc. 773,300 11,793 * Plantronics, Inc. 243,700 11,454 * Interwoven, Inc. 171,900 11,335 * Lincare Holdings, Inc. 197,700 11,281 * OSI Pharmaceticals, Inc. 139,800 11,201 Bank United Corp. Class A 160,700 10,958 Centex Corp. 290,000 10,893 Cullen/Frost Bankers, Inc. 256,200 10,712 Commerce Bancorp, Inc. 155,659 10,643 * Informatica Corp. 268,700 10,630 * Varian Medical Systems, Inc. 155,300 10,551 * Venator Group, Inc. 679,759 10,536 Bergen Brunswig Corp. Class A 665,200 10,530 * AmeriCredit Corp. 386,400 10,529 * Mettler-Toledo International Inc. 191,700 10,424 * Pactiv Corp. 837,900 10,369 MDU Resources Group, Inc. 317,487 10,318 Precision Castparts Corp. 244,900 10,301 * Indymac Bancorp, Inc. REIT 334,900 9,880 Omnicare, Inc. 453,900 9,816 Fidelity National Financial, Inc. 264,692 9,777 * Pioneer Natural Resources Co. 491,000 9,667 Cross Timbers Oil Co. 346,937 9,628 * ACNielson Corp. 264,900 9,603 OGE Energy Corp. 385,200 9,413 Eaton Vance Corp. 290,500 9,369 * Abercrombie & Fitch Co. 460,032 9,201 * Catellus Development Corp. 525,500 9,196 ALLETE 366,100 9,084 IDACORP, Inc. 183,900 9,023 First American Corp. 272,100 8,945 Conectiv, Inc. 438,600 8,799 * Medicis Pharmaceutical Corp. 148,450 8,777 * Mentor Graphics Corp. 318,500 8,739 Lennar Corp. 240,870 8,732 * Inhale Therapeutic Systems 171,400 8,656 * Shaw Group, Inc. 172,500 8,625 Western Resources, Inc. 345,400 8,570 Kansas City Power & Light Co. 305,600 8,385 Great Lakes Chemical Corp. 225,300 8,378 Fulton Financial Corp. 362,605 8,363 Allied Capital Corp. 399,300 8,335
---- 18 197
- ----------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------------------------- Teleflex Inc. 188,100 $ 8,312 Roslyn Bancorp, Inc. 302,700 8,267 * Aeroflex, Inc. 285,250 8,223 * Smithfield Foods, Inc. 269,600 8,196 * Manor Care, Inc. 395,900 8,165 Greater Bay Bancorp 198,000 8,118 * Barrett Resources Corp. 142,700 8,107 CNF Inc. 238,700 8,071 * Myriad Genetics, Inc. 96,900 8,018 Snap-On Inc. 286,700 7,992 Newport News Shipbuilding Inc. 153,400 7,977 * Cytec Industries, Inc. 199,200 7,955 * LifePoint Hospitals, Inc. 158,635 7,952 Metris Cos., Inc. 300,213 7,899 * Whole Foods Market, Inc. 129,100 7,891 * Lear Corp. 316,600 7,856 * Documentum, Inc. 158,100 7,856 * Coventry Health Care Inc. 293,900 7,843 Peoples Energy Corp. 173,500 7,764 Cummins Engine Co., Inc. 204,000 7,739 Vectren Corp. 301,728 7,732 WestAmerica Bancorporation 179,300 7,710 * Payless ShoeSource, Inc. 108,944 7,708 Alberto-Culver Co. Class B 177,000 7,578 StanCorp Financial Group, Inc. 157,200 7,506 * Stillwater Mining Co. 189,850 7,471 Arden Realty Group, Inc. REIT 294,600 7,402 Kaufman & Broad Home Corp. 217,900 7,340 * Silicon Valley Bancshares 211,600 7,313 * Barr Labs Inc. 100,100 7,301 * Anaren Microwave, Inc. 108,600 7,296 * Fisher Scientific International Inc. 197,500 7,283 Washington Federal Inc. 255,900 7,277 Highwood Properties, Inc. REIT 288,800 7,184 Health Care Properties Investors REIT 237,282 7,089 * Sensormatic Electronics Corp. 353,150 7,085 BRE Properties Inc. Class A REIT 222,948 7,065 Sky Financial Group, Inc. 417,353 6,991 * Netegrity, Inc. 128,050 6,963 WGL Holdings Inc. 228,200 6,946 Callaway Golf Co. 371,000 6,910 ONEOK, Inc. 143,500 6,906 Webster Financial Corp. 240,400 6,806 * Patterson Energy, Inc. 182,700 6,806 Skywest, Inc. 235,100 6,759 Raymond James Financial, Inc. 193,600 6,752 HON Industries, Inc. 263,400 6,717 Citizens Banking Corp. 230,492 6,699 Leucadia National Corp. 186,200 6,598 Ball Corp. 143,200 6,596 Lubrizol Corp. 256,100 6,595 * Barnes & Noble, Inc. 246,800 6,540 Franchise Finance Corp. of America REIT 278,900 6,502 Ethan Allen Interiors, Inc. 193,500 6,482 First Industrial Realty Trust REIT 190,100 6,463 * Cell Therapeutics, Inc. 143,300 6,457 Lee Enterprises, Inc. 216,000 6,439 * Suiza Foods Corp. 133,500 6,408 OM Group, Inc. 117,200 6,402 Carlisle Co., Inc. 148,700 6,385 * The Neiman Marcus Group, Inc. Class A 179,400 6,380 D. R. Horton, Inc. 260,422 6,364 * Aviron 94,700 6,327 Camden Property Trust REIT 188,087 6,301 * Orthodontic Centers of America, Inc. 201,300 6,291 * Scholastic Corp. 70,600 6,257 Pulte Corp. 147,800 6,235 Pogo Producing Co. 200,300 6,234 Sierra Pacific Resources 387,096 6,218 * Renal Care Group, Inc. 226,150 6,201 Mitchell Energy & Development Corp. Class A 101,200 6,199 * DaVita, Inc. 361,400 6,189 Solutia, Inc. 508,900 6,107 *(3)ResMed Inc. 152,300 6,073 Cleco Corp. 110,800 6,066 Hawaiian Electric Industries Inc. 162,200 6,032 * Chesapeake Energy Corp. 595,180 6,026 * Cabot Microelectronics Corp. 116,000 6,025 Houghton Mifflin Co. 129,800 6,019 * Reebok International Ltd. 219,900 6,012 * Southwest Bancorporation of Texas, Inc. 140,000 6,011 Dain Rauscher Corp. 63,300 5,994 * Province Healthcare Co. 151,750 5,975 * Affiliated Managers Group, Inc. 108,700 5,965 Trustmark Corp. 284,000 5,964 * Plexus Corp. 195,700 5,947 (3) Piedmont Natural Gas, Inc. 155,551 5,940 National Data Corp. 161,600 5,919 * Exar Corp. 190,500 5,902 * Polo Ralph Lauren Corp. 264,000 5,890 Meredith Corp. 182,800 5,884 AGL Resources Inc. 266,400 5,877 Valspar Corp. 182,400 5,870 Crompton Corp. 557,062 5,849 * Advance Paradigm, Inc. 128,500 5,847 * Advanced Digital Information Corp. 254,000 5,842 Tupperware Corp. 283,800 5,800 * Apria Healthcare 194,800 5,795 * Timberland Co. 86,500 5,785 Downey Financial Corp. 105,146 5,783
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- ----------------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------- First Midwest Bancorp 201,121 $ 5,782 * Avocent Corp. 214,000 5,778 * Cerner Corp. 124,900 5,777 Mercury General Corp. 131,500 5,770 Weingarten Realty Investors REIT 131,775 5,765 * Investment Technology Group, Inc. 137,700 5,749 * Retek Inc. 235,845 5,749 York International Corp. 186,900 5,735 Millennium Chemicals, Inc. 315,500 5,718 * EMCORE Corp. 120,800 5,678 New Plan Excel Realty Trust REIT 431,800 5,667 Reckson Associates Realty Corp. REIT 225,800 5,659 * Albany Molecular Research, Inc. 91,500 5,639 Hospitality Properties Trust REIT 248,700 5,627 * CV Therapeutics, Inc. 79,300 5,610 Clayton Homes Inc. 487,617 5,608 Cambrex Corp. 123,800 5,602 * Labranche & Co. Inc. 182,900 5,590 * Triad Hospitals, Inc. 170,979 5,567 * Quorum Health Group, Inc. 353,450 5,567 * Jack in the Box Inc. 188,900 5,561 C & D Technology Inc. 128,700 5,558 * Tetra Tech, Inc. 174,302 5,556 FelCor Lodging Trust, Inc. REIT 231,900 5,551 * NPS Pharmaceuticals Inc. 115,600 5,549 * Proxim, Inc. 128,932 5,544 RGS Energy Group Inc. 170,000 5,514 Hudson United Bancorp 263,151 5,510 *(3)Corixa Corp. 197,166 5,496 United Dominion Realty Trust REIT 507,150 5,484 * SBA Communications Corp. 133,400 5,478 Alpharma, Inc. Class A 124,734 5,473 * Mohawk Industries, Inc. 199,700 5,467 * Linens 'n Things, Inc. 197,800 5,464 HCC Insurance Holdings, Inc. 202,550 5,456 * Molecular Devices Corp. 79,600 5,448 Cousins Properties, Inc. REIT 194,763 5,441 Harman International Industries, Inc. 148,750 5,429 * Varian, Inc. 160,000 5,420 * STERIS Corp. 335,400 5,408 Philadelphia Suburban Corp. 220,300 5,397 * Actuate Software Corp. 281,600 5,386 * NVR, Inc. 43,400 5,364 Dean Foods Corp. 174,700 5,361 Donaldson Co., Inc. 192,600 5,357 * Hain Celestial Group, Inc. 163,200 5,304 Rayonier Inc. 133,200 5,303 * Stone Energy Corp. 81,800 5,280 * Advent Software, Inc. 131,300 5,260 * Cirrus Logic 279,400 5,239 Alexander & Baldwin, Inc. 199,400 5,234 Colonial BancGroup, Inc. 486,200 5,227 * Grey Wolf, Inc. 888,800 5,222 Louisiana-Pacific Corp. 515,100 5,215 Commercial Federal Corp. 268,000 5,209 * Freeport-McMoRan Copper & Gold Inc. Class B 607,987 5,206 National Service Industries, Inc. 202,500 5,202 Bindly Western Industries, Inc. 125,100 5,199 Independence Community Bank Corp. 325,000 5,180 Vintage Petroleum, Inc. 240,500 5,171 * Impath, Inc. 77,600 5,160 Aptargroup Inc. 175,600 5,158 * Jacobs Engineering Group Inc. 111,500 5,150 * Furniture Brands International Inc. 244,100 5,141 Dillard's Inc. 432,500 5,109 * Edwards Lifesciences Corp. 287,300 5,100 * Markel Corp. 28,100 5,086 CBRL Group, Inc. 279,500 5,083 * The Cheesecake Factory 132,329 5,078 Pittston Brink's Group 255,400 5,076 BancorpSouth, Inc. 416,238 5,073 *(3)Sirius Satellite Radio, Inc. 169,300 5,068 Corn Products International, Inc. 174,200 5,063 * Zebra Technologies Corp. Class A 123,800 5,051 Black Hills Corp. 112,750 5,046 * Key Energy Services, Inc. 481,800 5,029 * Zale Corp. 172,800 5,022 * Pure Resources, Inc. 247,200 5,006 Pennzoil-Quaker State Co. 388,400 5,001 Sensient Technologies Corp. 218,700 4,975 Charles E. Smith Residential Realty, Inc. REIT 105,700 4,968 CTS Corp. 136,300 4,966 Roper Industries Inc. 150,200 4,966 Essex Property Trust, Inc. REIT 90,300 4,944 * Forest Oil Corp. 133,920 4,938 * Mercury Computer Systems, Inc. 106,000 4,922 Pier 1 Imports Inc. 477,000 4,919 Ryder System, Inc. 295,800 4,918 HRPT Properties Trust REIT 650,000 4,916 IDEX Corp. 148,000 4,903 * Aspen Technologies, Inc. 147,000 4,888 * Veeco Instruments, Inc. 121,400 4,871 Harsco Corp. 196,500 4,851 Technitrol, Inc. 117,400 4,828 John Wiley & Sons Class A 224,400 4,825 CenterPoint Properties Corp. REIT 102,100 4,824
---- 20 199
- ----------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------------------------- * J.D. Edwards & Co. 270,500 $ 4,818 * Silicon Valley Group, Inc. 167,500 4,816 Prentiss Properties Trust REIT 178,700 4,814 * Alexion Pharmaceuticals, Inc. 74,100 4,812 WPS Resources Corp. 130,300 4,797 BorgWarner, Inc. 119,400 4,776 Universal Corp. 136,200 4,767 * O'Reilly Automotive, Inc. 177,800 4,756 * Alleghany Corp. 23,138 4,755 Avista Corp. 231,700 4,750 * Sotheby's Holdings Class A 204,700 4,746 * Louis Dreyfus Natural Gas Corp. 103,596 4,746 * HNC Software, Inc. 159,000 4,720 * Imperial Bancorp 179,796 4,720 Briggs & Stratton Corp. 106,200 4,713 * Tom Brown, Inc. 143,100 4,704 Polaris Industries, Inc. 118,200 4,698 La-Z-Boy Inc. 298,200 4,697 * Respironics, Inc. 164,691 4,694 Potlatch Corp. 139,800 4,692 Ruby Tuesday, Inc. 305,600 4,660 * FileNet Corp. 170,700 4,651 Dial Corp. 421,400 4,635 St. Mary Land & Exploration Co. 138,280 4,606 Public Service Co. of New Mexico 171,600 4,601 * UTI Energy Corp. 139,800 4,596 Trinity Industries, Inc. 183,400 4,585 * Pharmaceutical Product Development, Inc. 92,171 4,580 * American Eagle Outfitters, Inc. 108,300 4,576 * Insight Communications Co., Inc. 193,643 4,551 * CEC Entertainment Inc. 132,900 4,535 * Borders Group, Inc. 386,400 4,516 * Veritas DGC Inc. 139,800 4,516 * Black Box Corp. 93,400 4,512 * Extended Stay America, Inc. 350,100 4,499 * Lone Star Technologies, Inc. 116,600 4,489 * Eclipsys Corp. 183,000 4,483 * Iomega Corp. 1,330,100 4,482 * Mueller Industries Inc. 166,900 4,475 * Alliant Techsystems, Inc. 67,000 4,472 * Footstar Inc. 89,800 4,445 * SEACOR SMIT Inc. 83,950 4,418 Federal Signal Corp. 224,400 4,404 Kennametal, Inc. 149,800 4,363 * Coherent, Inc. 133,600 4,342 RPM Inc. (Ohio) 505,200 4,326 * Men's Wearhouse, Inc. 158,450 4,318 Energen Corp. 133,900 4,310 Horace Mann Educators Corp. 200,600 4,288 * Trimeris, Inc. 78,100 4,286 * Michaels Stores, Inc. 161,618 4,283 * Mid Atlantic Medical Services, Inc. 214,700 4,254 Storage USA, Inc. REIT 133,800 4,248 * Storage Technology Corp. 470,500 4,234 * Swift Transportation Co., Inc. 213,400 4,228 Healthcare Realty Trust Inc. REIT 198,907 4,227 * IntraNet Solutions, Inc. 82,700 4,218 Lancaster Colony Corp. 150,100 4,212 Church & Dwight, Inc. 189,000 4,205 * Southern Union Co. 158,615 4,203 * Beverly Enterprises, Inc. 511,700 4,189 Washington REIT 176,850 4,178 * MRV Communications Inc. 310,900 4,158 Park National Corp. 46,360 4,158 * Toll Brothers, Inc. 101,600 4,153 Graco, Inc. 100,125 4,143 Ametek Aerospace Products Inc. 159,100 4,127 Blyth, Inc. 169,950 4,100 Cabot Oil & Gas Corp. Class A 131,026 4,086 Provident Financial Group, Inc. 108,600 4,072 Whitney Holdings 112,150 4,072 * ImmunoGen, Inc. 189,800 4,069 * Bally Total Fitness Holding Corp. 120,100 4,068 * Titan Pharmaceuticals, Inc. 115,000 4,067 Methode Electronics, Inc. Class A 176,900 4,058 W.R. Berkley Corp. 85,775 4,047 Invacare Corp. 118,100 4,045 * Pacific Sunwear of California 157,662 4,040 * Heidrick & Struggles International, Inc. 95,400 4,013 ArvinMeritor, Inc. 351,250 3,995 Chittenden Corp. 131,257 3,979 Delta & Pine Land Co. 189,900 3,976 * Flowserve Corp. 186,006 3,976 * Korn/Ferry International 186,900 3,972 Doral Financial Corp. 164,000 3,967 Ferro Corp. 171,700 3,949 Olin Corp. 178,400 3,947 * Copart, Inc. 183,500 3,945 The McClatchy Co. Class A 92,400 3,938 * Haemonetics Corp. 127,350 3,932 Community First Bankshares 208,200 3,930 * Syncor International Corp. 107,700 3,917 USFreightways Corp. 130,100 3,913 * Barra, Inc. 82,850 3,904 * Cubist Pharmaceuticals, Inc. 134,400 3,898 * Henry Schein, Inc. 112,500 3,895 Earthgrains Co. 209,744 3,880 Brown & Brown, Inc. 110,700 3,874 * Performance Food Group Co. 75,450 3,868 * United Stationers, Inc. 160,900 3,862 * Dal-Tile International Inc. 272,000 3,859
---- 21 200
- ----------------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------- Cabot Industrial Trust REIT 200,700 $ 3,851 * ADVO, Inc. 86,550 3,841 Atmos Energy Corp. 157,448 3,838 Staten Island Bancorp, Inc. 179,200 3,830 * Cell Genesys, Inc. 167,853 3,829 * CuraGen Corp. 139,900 3,821 * R.H. Donnelley Corp. 157,000 3,817 New Jersey Resources Corp. 87,600 3,789 * Silicon Graphics, Inc. 947,000 3,788 Jefferies Group, Inc. 121,132 3,785 * The Corporate Executive Board Co. 95,000 3,778 * Ogden Corp. 245,700 3,778 * Varian Semiconductor Equipment Associates, Inc. 158,500 3,764 * Dionex Corp. 109,100 3,764 * Symyx Technologies 104,500 3,762 * Price Communications Corp. 222,835 3,746 * BlackRock, Inc. 89,200 3,746 Kilroy Realty Corp. REIT 130,900 3,739 * Electro Scientific Industries, Inc. 133,500 3,738 * Career Education Corp. 95,500 3,736 Bob Evans Farms, Inc. 174,700 3,723 * Packaging Corp. of America 230,500 3,717 * Insituform Technologies Class A 93,200 3,716 FactSet Research Systems Inc. 100,200 3,714 Federal Realty Investment Trust REIT 195,300 3,711 Dole Food Co. 226,600 3,710 American National Insurance Co. 50,800 3,708 * Ligand Pharmaceuticals Inc. Class B 264,600 3,704 Trustco Bank 303,802 3,702 * Cymer, Inc. 143,600 3,695 Kaydon Corp. 148,000 3,681 CH Energy Group, Inc. 82,200 3,678 The Timken Co. 242,700 3,671 * Cerus Corp. 48,700 3,665 Regency Realty Corp. REIT 154,000 3,648 * Alaska Air Group, Inc. 122,400 3,641 * Cable Design Technologies 216,425 3,639 * Swift Energy Co. 96,620 3,635 * Teledyne Technologies, Inc. 153,358 3,623 United Bankshares, Inc. 170,300 3,619 Developers Diversified Realty Corp. REIT 271,400 3,613 * Education Management Corp. 100,900 3,607 Claire's Stores, Inc. 201,000 3,605 *(3)Transkaryotic Therapies, Inc. 98,900 3,604 Hooper Holmes, Inc. 325,600 3,601 * Journal Register Co. 224,100 3,600 Florida Rock Industries, Inc. 92,000 3,599 Shurgard Storage Centers, Inc. Class A REIT 147,100 3,595 * IDEXX Laboratories Corp. 163,200 3,590 * El Paso Electric Co. 270,700 3,573 AGCO Corp. 294,400 3,570 * Sodexho Marriott Services, Inc. 161,075 3,564 * Choice Hotel International, Inc. 260,200 3,561 * Noven Pharmaceuticals, Inc. 95,100 3,554 Alfa Corp. 193,400 3,554 * Avant! Corp. 194,038 3,553 AK Steel Corp. 405,000 3,544 Pacific Capital Bancorp 126,000 3,544 * Avis Group Holdings, Inc. 108,700 3,539 Phoenix Investment Partners Ltd. 225,500 3,537 Peoples Bank Bridgeport 136,400 3,529 Manitowac Co., Inc. 121,700 3,529 UIL Holdings Corp. 70,850 3,525 * GTech Holdings Corp. 171,200 3,520 CONSOL Energy, Inc. 126,000 3,520 Applebee's International, Inc. 111,900 3,518 *(3)FuelCell Energy, Inc. 51,300 3,517 Longs Drug Stores, Inc. 145,700 3,515 Nordson Corp. 137,000 3,494 Richmond County Financial Corp. 133,400 3,485 Brandywine Realty Trust REIT 168,000 3,475 * Wisconsin Central Transportation Corp. 229,400 3,455 Longview Fibre Co. 255,600 3,451 * SPS Technologies, Inc. 62,900 3,448 MDC Holdings, Inc. 104,600 3,446 * Computer Network Technology Corp. 119,500 3,443 Media General, Inc. Class A 94,500 3,440 Minerals Technologies, Inc. 100,600 3,439 * Verity, Inc. 142,900 3,438 MeriStar Hospitality Corp. REIT 174,434 3,434 * Atlantic Coast Airlines Holdings Inc. 83,800 3,425 * Dendrite International, Inc. 152,900 3,421 * Immunomedics Inc. 158,500 3,408 Southwest Gas Corp. 155,100 3,393 UGI Corp. Holding Co. 133,700 3,384 * HS Resources Inc. 79,600 3,373 Lincoln Electric Holdings 171,600 3,368 Commerce Group, Inc. 123,700 3,362 * Neurocrine Biosciences,Inc. 100,900 3,342 Carter-Wallace, Inc. 100,100 3,341 Tecumseh Products Co. Class A 79,500 3,334 * EGL, Inc. 138,850 3,324 Cooper Tire & Rubber Co. 312,300 3,318 Western Gas Resources, Inc. 98,400 3,315 Northwest Natural Gas Co. 124,950 3,311 * Leap Wireless International, Inc. 132,175 3,304 * Rehabcare Corp. 64,200 3,298 * Regeneron Pharmaceuticals, Inc. 93,300 3,290
---- 22 201
- ----------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------------------------- * Newpark Resources, Inc. 343,800 $ 3,287 Realty Income Corp. REIT 131,800 3,278 Otter Tail Power Co. 118,000 3,274 * Mapinfo Corp. 69,050 3,263 * ILEX Oncology, Inc. 123,400 3,247 Casey's General Stores 217,257 3,245 Chateau Communities, Inc. REIT 106,600 3,245 MAF Bancorp, Inc. 114,051 3,243 Liberty Corp. 79,700 3,243 * Security Capital Group Inc. REIT Class B 161,100 3,232 Summit Properties, Inc. REIT 124,200 3,229 Gables Residential Trust REIT 115,200 3,226 * Waste Connections, Inc. 97,300 3,217 Susquehanna Bancshares, Inc. 194,775 3,214 Carpenter Technology Corp. 91,800 3,213 * Cal Dive International, Inc. 120,400 3,206 * Legato Systems, Inc. 430,900 3,205 F & M National Corp. 122,579 3,202 * Spherion Corp. 281,406 3,183 * Aurora Biosciences Corp. 101,200 3,181 PS Business Parks, Inc. REIT 114,200 3,175 Wallace Computer Services, Inc. 186,300 3,167 Oshkosh Truck Corp. 71,800 3,159 Stewart & Stevenson Services, Inc. 139,010 3,156 *(3)DiamondCluster International, Inc. 103,250 3,149 Banta Corp. 123,700 3,144 * AnnTaylor Stores Corp. 126,000 3,142 * Sicor, Inc. 217,460 3,140 Texas Industries, Inc. 104,620 3,139 Hollinger International, Inc. 197,100 3,129 CBL & Associates Properties, Inc. REIT 123,500 3,126 Wolverine World Wide, Inc. 204,340 3,116 * On Assignment, Inc. 109,200 3,112 * AXT, Inc. 92,900 3,071 Diagnostic Products Corp. 56,200 3,070 Forest City Enterprise Class A 78,300 3,069 Belden, Inc. 120,800 3,065 * Quantum Corp.-Hard Disk Drive 381,900 3,055 * LTX Corp. 235,800 3,054 Liberty Financial Cos., Inc. 68,500 3,053 * Cost Plus, Inc. 103,850 3,051 * Sonic Corp. 130,650 3,046 * Covance, Inc. 283,100 3,043 * Rogers Corp. 74,000 3,039 SL Green Realty Corp. REIT 108,000 3,024 * American Freightways 108,200 3,023 U.S. Industries, Inc. 377,700 3,022 Selective Insurance Group 124,400 3,017 * Unit Corp. 157,900 2,990 American Greetings Corp. Class A 316,200 2,984 New York Community Bancorp, Inc. 81,172 2,983 The Macerich Co. REIT 155,400 2,982 Home Properties of New York, Inc. REIT 106,400 2,972 * Great Plains Software, Inc. 63,140 2,971 Ohio Casualty Corp. 296,718 2,967 * Accredo Health, Inc. 59,100 2,966 UMB Financial Corp. 79,241 2,962 Brady Corp. Class A 87,400 2,955 * Constellation Brands, Inc. Class A 50,300 2,955 First Financial Bancorp 173,774 2,954 * Fairfield Communities, Inc. 209,700 2,949 J. M. Smucker Co. 105,200 2,940 * Vicor Corp. 96,800 2,940 Nationwide Health Properties, Inc. REIT 228,100 2,937 Provident Bankshares Corp. 140,583 2,935 Albemarle Corp. 118,420 2,931 * Elantec Semiconductor, Inc. 105,200 2,919 Superior Industries International, Inc. 92,400 2,916 * Evergreen Resources, Inc. 75,500 2,916 * Rent-A-Center, Inc. 84,500 2,915 Sun Communities, Inc. REIT 86,700 2,904 Owens & Minor, Inc. Holding Co. 163,337 2,899 Chelsea GCA Realty, Inc. REIT 78,600 2,898 Fair Issac & Co. 56,800 2,897 * NCO Group, Inc. 95,250 2,893 * Insight Enterprises, Inc. 161,100 2,890 * Photronics Labs Inc. 123,200 2,887 * XTRA Corp. 60,100 2,885 S & T Bancorp, Inc. 133,400 2,885 Overseas Shipholding Group Inc. 125,400 2,876 * American Superconductor Corp. 100,400 2,868 First Commonwealth Financial Corp. 286,700 2,867 G & K Services, Inc. 101,650 2,859 * Littelfuse, Inc. 99,500 2,848 Morgan Keegan, Inc. 107,200 2,841 UniSource Energy Corp. 150,960 2,840 The South Financial Group, Inc. 214,322 2,840 American Financial Holdings, Inc. 137,600 2,838 * Delphi Financial Group, Inc. 73,605 2,834 American Capital Strategies, Ltd. 112,400 2,831 * Scotts Co. 76,500 2,826 * DSP Group Inc. 134,200 2,824 Penton Media, Inc. Class A 105,000 2,822 Capitol Federal Financial 168,400 2,821 PolyOne Corp. 479,900 2,819
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- ----------------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - ----------------------------------------------------------------------------------------- Cooper Cos., Inc. 70,700 $ 2,819 Worthington Industries, Inc. 348,200 2,807 East West Bancorp, Inc. 112,300 2,800 * Charming Shoppes, Inc. 466,000 2,796 * InFocus Corp. 189,300 2,792 * Trimble Navigation Ltd. 116,240 2,790 * Forrester Research, Inc. 55,700 2,788 * Biosite Diagnostics, Inc. 68,900 2,786 * Syntroleum Corp. 163,800 2,785 * Enzo Biochem, Inc. 111,703 2,779 * Frontier Airlines, Inc. 89,300 2,763 Amcore Financial 133,520 2,762 Standard Pacific Corp. 117,900 2,756 * VISIX Inc. 263,200 2,747 * The Boyds Collection, Ltd. 294,600 2,743 * First Federal Financial Corp. 84,650 2,735 *(3)Duane Reade Inc. 89,400 2,732 Granite Construction Co. 94,100 2,723 * Ultratech Stepper, Inc. 105,200 2,722 * Pharmacyclics, Inc. 79,400 2,719 * Imation Corp. 174,900 2,711 * Kulicke & Soffa Industries, Inc. 240,900 2,710 * C-Cube Microsystems Inc. 219,800 2,706 Milacron Inc. 168,277 2,703 * Learning Tree International, Inc. 54,600 2,703 * AmeriPath, Inc. 107,900 2,698 * Actel Corp. 111,500 2,697 * Perot Systems Corp. 291,500 2,678 Republic Bancorp, Inc. 246,748 2,668 Colonial Properties Trust REIT 102,200 2,664 Cathay Bancorp, Inc. 45,010 2,656 Northwestern Corp. 114,800 2,655 Helix Technology Corp. 111,800 2,647 Georgia Gulf Corp. 154,800 2,641 * Stericycle, Inc. 68,800 2,623 Manufactured Home Communities, Inc. REIT 90,300 2,619 H.B. Fuller Co. 66,350 2,618 Ryland Group, Inc. 64,100 2,612 * Sipex Corp. 109,100 2,611 * SERENA Software, Inc. 76,100 2,605 International Bancshares Corp. 76,246 2,602 * Genesco, Inc. 106,400 2,600 * Agribrands International, Inc. 48,600 2,600 Hilb, Rogal and Hamilton Co. 65,000 2,592 * Prime Hospitality Corp. 222,800 2,590 Texas Regional Bancshares, Inc. 79,640 2,588 * NYFIX, Inc. 106,800 2,583 Dreyer's Grand Ice Cream, Inc. 80,100 2,583 * Artesyn Technologies, Inc. 161,756 2,568 * Priority Healthcare Corp. Class B 62,900 2,567 *(3)MIPS Technologies, Inc. Class B 100,664 2,565 Wausau-Mosinee Paper Corp. 253,310 2,565 * Forward Air Corp. 68,600 2,560 Sterling Bancshares, Inc. 129,600 2,560 * Illuminet Holdings, Inc. 111,300 2,553 * Station Casinos, Inc. 170,500 2,547 * Perrigo Co. 306,800 2,541 * Superior Energy Services, Inc. 220,860 2,540 * Atlas Air, Inc. 77,800 2,538 ABM Industries 82,600 2,530 N L Industries, Inc. 103,900 2,520 * Kirby Corp. 119,600 2,512 * Hyperion Solutions Corp. 162,319 2,506 Glenborough Realty Trust, Inc. REIT 144,200 2,505 Kellwood Co. 118,350 2,500 Block Drug Co. Class A 47,303 2,492 LNR Property Corp. 113,150 2,489 Clarcor Inc. 120,225 2,487 Baldor Electric Co. 117,527 2,483 * Allen Telecom Inc. 138,160 2,478 * Gartner Group, Inc. Class A 358,700 2,475 Regis Corp. 170,550 2,473 * Administaff, Inc. 90,100 2,451 First Bancorp/Puerto Rico 103,400 2,443 * American Italian Pasta Co. 91,100 2,443 * Pre-Paid Legal Services, Inc. 95,300 2,430 * Progress Software Corp. 167,900 2,424 * ANADIGICS, Inc. 147,700 2,419 * Neurogen Corp. 68,800 2,417 * Valuevision International, Inc. Class A 191,100 2,413 Alexandria Real Estate Equities, Inc. REIT 64,600 2,402 * Yellow Corp. 117,950 2,401 * F.Y.I. Inc. 64,900 2,393 * Brooks Automation, Inc. 85,200 2,391 * MIPS Technologies, Inc. 89,500 2,388 First Citizens BancShares Class A 29,500 2,382 * Unifi, Inc. 266,300 2,380 * Service Corp. International 1,357,600 2,376 * Triumph Group, Inc. 57,900 2,374 * Digene Corp. 53,000 2,368 * Del Webb Corp. 80,896 2,366 Werner Enterprises, Inc. 138,874 2,361 * THQ Inc. 96,850 2,361 * Gene Logic Inc. 128,100 2,354 * Anixter International Inc. 108,400 2,344 Airborne, Inc. 239,500 2,335 * Kent Electronics Corp. 141,500 2,335 Fleming Cos., Inc. 197,500 2,333 * IDT Corp. 114,500 2,333 * Aztar Corp. 180,300 2,333 Merchants New York Bancorporation 92,900 2,328
---- 24 203
- ----------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ----------------------------------------------------------------------------------------- * CryoLife Inc. 76,800 $ 2,323 Health Care REIT, Inc. 142,800 2,320 First Charter Corp. 155,500 2,313 Bandag, Inc. 57,000 2,312 Empire District Electric Co. 87,670 2,307 * Landstar System 41,600 2,306 F.N.B. Corp. 109,720 2,304 * WMS Industries, Inc. 114,300 2,300 United Television, Inc. 19,829 2,300 * Esterline Technologies Corp. 87,600 2,299 Libbey, Inc. 75,500 2,293 * Ionics, Inc. 80,700 2,290 *(3)Edison Schools Inc. 72,500 2,284 * US Oncology, Inc. 361,682 2,283 *(3)Sunrise Assisted Living, Inc. 91,200 2,280 * Offshore Logistics, Inc. 105,600 2,275 Modine Manufacturing Co. 109,600 2,274 * Ralcorp Holdings, Inc. 138,600 2,270 * Dollar Thrifty Automotive Group, Inc. 120,500 2,259 * Sinclair Broadcast Group, Inc. 225,200 2,259 * Celeritek, Inc. 58,900 2,245 Corus Bankshares Inc. 45,100 2,232 Wellman, Inc. 157,500 2,225 * ATMI, Inc. 114,000 2,223 * Steel Dynamics, Inc. 201,800 2,220 Morrison Management Specialists, Inc. 63,540 2,218 Kimball International, Inc. Class B 152,900 2,217 * Pharmacopeia, Inc. 101,600 2,216 Reliance Steel & Aluminum Co. 89,500 2,215 Matthews International Corp. 70,100 2,212 *(3)SCM Microsystems,Inc. 66,955 2,209 * SurModics, Inc. 60,000 2,209 Tredegar Corp. 126,400 2,204 * Citadel Communications Corp. 183,600 2,203 * UCAR International, Inc. 225,500 2,199 * Amylin Pharmaceuticals, Inc. 279,100 2,198 Westbanco Inc. 93,479 2,197 * SCP Pool Corp. 73,000 2,195 * AremisSoft Corp. 51,400 2,194 * Triad Guaranty, Inc. 66,000 2,186 * Novoste Corp. 79,400 2,183 * United Rentals, Inc. 162,300 2,181 * Professional Detailing, Inc. 20,600 2,179 Laclede Gas Co. 93,200 2,178 * Matrix Pharmaceutical, Inc. 127,200 2,178 * Tollgrade Communications, Inc. 59,500 2,172 * CUNO Inc. 80,950 2,170 Pan Pacific Retail Properties, Inc. REIT 97,260 2,170 UCBH Holdings, Inc. 46,500 2,168 *(3)Direct Focus, Inc. 64,500 2,165 * The Dress Barn, Inc. 74,600 2,163 * Remedy Corp. 130,600 2,163 * Asyst Technologies, Inc. 160,600 2,158 * IHOP Corp. 99,400 2,156 Tennant Co. 44,900 2,155 JLG Industries, Inc. 202,700 2,154 * Quiksilver, Inc. 111,000 2,151 * Benchmark Electronics, Inc. 95,300 2,150 Grey Global Group Inc. 3,300 2,145 * Avid Technology, Inc. 117,300 2,143 * America West Holdings Corp. Class B 167,100 2,141 * Jones Lang Lasalle Inc. 154,100 2,138 Park Electrochemical Corp. 69,600 2,136 * Robert Mondavi Corp. Class A 39,400 2,133 Integra Bank Corp. 83,366 2,131 Tucker Anthony Sutro Corp. 86,600 2,127 Arrow International, Inc. 56,400 2,125 * Nautica Enterprises, Inc. 139,214 2,121 * I-STAT Corp. 80,200 2,120 Hughes Supply, Inc. 117,950 2,116 * Guilford Pharmaceuticals, Inc. 117,000 2,106 Russell Corp. 135,825 2,097 * Terex Corp. 129,300 2,093 Enhance Financial Services Group, Inc. 135,000 2,084 * Factory 2-U Stores Inc. 62,800 2,080 Springs Industries Inc. Class A 64,100 2,079 NUI Corp. 64,500 2,076 Koger Equity, Inc. REIT 133,400 2,076 * Simpson Manufacturing Co. 40,700 2,076 * AirTran Holdings, Inc. 286,000 2,074 Westfield America, Inc. REIT 143,500 2,072 * Alliance Pharmaceutical Corp. 240,200 2,072 * Xircom, Inc. 133,400 2,068 * Western Digital Corp. 845,800 2,062 The Toro Co. 56,100 2,058 * Sylvan Learning Systems, Inc. 138,700 2,054 Cornerstone Realty Income Trust, Inc. REIT 194,500 2,054 Datascope Corp. 59,900 2,052 GBC Bancorp 53,300 2,045 * ISIS Pharmaceuticals, Inc. 192,300 2,043 Crawford & Co. Class B 175,550 2,041 * Young Broadcasting Inc. 60,900 2,039 (3) Southwest Securities Group, Inc. 78,530 2,032 Applied Industrial Technology, Inc. 98,800 2,032 * K-V Pharmaceutical Co. Class B 83,675 2,029 * Priority Healthcare Corp. Class A 49,714 2,029 Mentor Corp. 103,900 2,026
---- 25 204
- ------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------- * Boca Resorts, Inc. Class A 140,500 $ 2,020 Interstate Bakeries Corp. 143,300 2,015 Frontier Financial Corp. 80,200 2,010 LandAmerica Financial Group, Inc. 49,600 2,006 John H. Harland Co. 141,900 2,004 * About.Com, Inc. 74,400 2,004 * Maverick Tube Corp. 88,500 2,002 Kelly Services, Inc. Class A 84,700 2,001 Pultizer, Inc. 42,700 2,000 * Oceaneering International, Inc. 102,600 1,994 * Paxar Corp. 195,356 1,990 * Spinnaker Exploration Co. 46,800 1,989 * Systems & Computer Technology Corp. 161,200 1,985 Interface, Inc. 228,400 1,984 * Pericom Semiconductor Corp. 107,100 1,981 * MAXIMUS, Inc. 56,700 1,981 * Concord Camera Corp. 119,500 1,972 Mid-America Apartment Communities, Inc. REIT 87,200 1,967 * ProBusiness Services, Inc. 73,900 1,963 * Paxson Communications Corp. 164,100 1,959 First Sentinel Bancorp Inc. 170,340 1,959 Mid-State Bancshares 55,100 1,956 * Argosy Gaming Co. 101,800 1,953 * Papa John's International, Inc. 87,650 1,950 * Input/Output, Inc. 191,400 1,950 Harleysville Group, Inc. 66,500 1,945 John Nuveen Co. Class A 33,800 1,944 * Rayovac Corp. 136,500 1,937 * Biotechnology General 272,500 1,925 * Three-Five Systems, Inc. 106,900 1,924 * Atwood Oceanics, Inc. 43,800 1,919 * ArthroCare Corp. 98,400 1,919 * IDX Systems Corp. 76,680 1,917 * The Topps Co., Inc. 208,600 1,917 * Too Inc. 152,920 1,912 * Parker Drilling Co. 377,400 1,911 * Transaction Systems Architects, Inc. 164,800 1,906 Innkeepers USA Trust REIT 172,000 1,903 * Oak Technology, Inc. 218,800 1,901 National Penn Bancshares Inc. 94,107 1,900 * Buckeye Technology, Inc. 135,000 1,898 Kaman Corp. Class A 112,300 1,895 * PRI Automation, Inc. 101,000 1,894 * Kronos, Inc. 61,150 1,892 * RadiSys Corp. 73,100 1,891 * Cyberonics, Inc. 81,345 1,891 * Digital Insight Corp. 104,700 1,891 * Del Monte Foods Co. 260,400 1,888 Woodward Governor Co. 42,100 1,884 * SONICblue Inc. 456,100 1,881 * SonicWALL, Inc. 115,700 1,880 * Trico Marine Services, Inc. 121,700 1,879 Michael Foods Group, Inc. 62,300 1,877 Greif Brothers Corp. Class A 65,600 1,870 California Water Service Group 69,226 1,869 * WebTrends Corp. 64,500 1,866 Rollins Truck Leasing 233,137 1,865 Madison Gas & Electric Co. 82,375 1,864 * Commonwealth Telephone Enterprises, Inc. 53,199 1,862 * Modis Professional Services Inc. 451,100 1,861 Century South Banks, Inc. 55,200 1,860 Bowne & Co., Inc. 175,700 1,856 Thomas Industries, Inc. 79,750 1,854 Anchor Bancorp Wisconsin Inc. 115,800 1,853 Keithley Instruments Inc. 42,800 1,843 * WatchGuard Technologies, Inc. 58,200 1,841 * Viasystems Group, Inc. 221,400 1,840 * Rare Hospitality International Inc. 82,300 1,836 American States Water Co. 49,700 1,833 * Gaylord Entertainment Co. Class A 87,675 1,830 * Emisphere Technologies, Inc. 73,100 1,828 * Integrated Silicon Solution, Inc. 127,100 1,827 * Crestline Capital Corp. 70,900 1,826 IKON Office Solutions, Inc. 729,600 1,824 Arnold Industries, Inc. 101,300 1,823 *(3) Intermedia Communications Inc. 253,600 1,823 * Meditrust Corp. REIT 711,122 1,822 Taubman Co. REIT 166,600 1,822 * Zygo Corp. 64,400 1,821 * Vical, Inc. 98,400 1,820 AMLI Residential Properties Trust REIT 73,700 1,819 * Neose Technologies, Inc. 55,100 1,818 *(3) PurchasePro.com, Inc. 103,900 1,818 Bedford Property Investors, Inc. REIT 89,700 1,816 * Remec, Inc. 188,300 1,812 * Structural Dynamics Research Corp. 180,306 1,803 Argonaut Group, Inc. 85,600 1,798 * SBS Technologies, Inc. 59,900 1,793 * Tower Automotive, Inc. 199,000 1,791 * Salem Communications Corp. 119,800 1,790 A.O. Smith Corp. 104,600 1,785 * ABIOMED, INC. 73,500 1,782 * SuperGen, Inc. 128,300 1,780 * Maxtor Corp. 317,600 1,777 * Natural Microsystems Corp. 179,800 1,776 Regal-Beloit Corp. 103,600 1,767 *(3) Vail Resorts Inc. 75,400 1,767
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- ------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------- * Tesoro Petroleum Corp. 151,700 $ 1,764 * Basin Exploration Inc. 68,800 1,754 R.L.I. Corp. 39,250 1,754 * Frontline Capital Group 131,800 1,753 * School Specialty, Inc. 87,300 1,751 Republic Security Financial Corp. 242,319 1,749 USEC Inc. 405,000 1,747 * Texas Biotechnology Corp. 203,200 1,745 * DDi Corp. 64,000 1,744 * BindView Development Corp. 185,400 1,744 Hancock Holding Co. 45,307 1,733 * SeaChange International, Inc. 85,100 1,729 EastGroup Properties, Inc. REIT 77,200 1,727 *(3) The Children's Place Retail Stores, Inc. 85,200 1,725 * Advantage Learning Systems, Inc. 51,300 1,725 * PSS World Medical, Inc. 344,762 1,724 International Multifoods Corp. 84,600 1,718 JDN Realty Corp. REIT 162,650 1,718 Pioneer Standard Electronics Inc. 156,050 1,717 * PolyMedica Corp. 51,400 1,715 Rollins, Inc. 85,500 1,715 * Seitel, Inc. 93,000 1,715 Fleetwood Enterprises, Inc. 163,000 1,712 * The TriZetto Group, Inc. 102,500 1,710 * Airgas, Inc. 250,500 1,707 Ruddick Corp. 149,100 1,705 * Avigen, Inc. 82,100 1,704 South Jersey Industries, Inc. 57,136 1,700 MacDermid, Inc. 89,400 1,699 * Hutchinson Technology, Inc. 123,400 1,697 * Key Production Company, Inc. 50,500 1,695 Ventas, Inc. REIT 301,100 1,694 * Mediacom Communications Corp. 98,500 1,693 * Pinnacle Systems, Inc. 228,900 1,688 * Radiant Systems, Inc. 82,100 1,683 Burlington Coat Factory Warehouse Corp. 88,840 1,682 * AVANT Immunotherapeutics, Inc. 244,600 1,682 ChemFirst Inc. 76,200 1,681 AAR Corp. 132,700 1,675 * Musicland Stores Corp. 135,200 1,673 Harbor Florida Bancshares, Inc. 111,984 1,673 Brush Engineered Materials Inc. 82,800 1,672 * Speedway Motorsports, Inc. 69,600 1,670 (3) NBT Bancorp, Inc. 114,186 1,670 * Pennaco Energy, Inc. 84,900 1,666 * Lands' End, Inc. 66,300 1,665 Barnes Group, Inc. 83,700 1,664 * 99 Cents Only Stores 60,766 1,663 Arch Chemicals, Inc. 93,500 1,660 *(3) Geron Corp. 107,300 1,656 * Heartland Express, Inc. 72,608 1,656 A. Schulman Inc. 143,800 1,654 * NCI Building Systems, Inc. 87,700 1,650 * Rainbow Technologies, Inc. 104,200 1,648 * Corinthian Colleges, Inc. 43,400 1,646 * Trammell Crow Co. 121,950 1,646 Premier National Bancorp, Inc. 79,010 1,644 P.H. Glatfelter Co. 132,000 1,643 * AirGate PCS, Inc. 46,200 1,640 * Intermune Pharmaceuticals 36,700 1,638 * Houston Exploration Co. 42,900 1,636 * Saga Systems, Inc. 142,900 1,634 * Anchor Gaming 41,800 1,630 Patina Oil & Gas Corp. 67,900 1,630 Wabtec Corp. 138,556 1,628 GenCorp, Inc. 169,040 1,627 * Plains Resources 77,000 1,627 Chemical Finance 69,407 1,622 Southern Peru Copper Corp. 126,000 1,622 * InterTan, Inc. 139,250 1,619 W Holding Co., Inc. 138,800 1,614 * Medical Assurance, Inc. 96,596 1,612 Elcor Corp. 95,325 1,609 * OfficeMax, Inc. 559,300 1,608 * Columbia Sportswear Co. 32,300 1,607 * Tularik, Inc. 54,400 1,601 * PETsMART, Inc. 556,850 1,601 * MEMC Electronic Materials, Inc. 164,500 1,594 * MICROS Systems, Inc. 87,300 1,593 * Phoenix Technologies LTD. 118,000 1,591 The Marcus Corp. 114,500 1,589 Spartech Corp. 77,200 1,587 * Power Integrations, Inc. 137,800 1,585 RFS Hotel Investors, Inc. REIT 121,100 1,582 * Encompass Services Corp. 312,245 1,581 * Dril-Quip, Inc. 46,100 1,576 Lance, Inc. 124,500 1,576 * Cadiz Inc. 176,200 1,575 Chesapeake Corp. of Virginia 76,400 1,571 * Azurix Corp. 191,600 1,569 * Electroglas, Inc. 102,400 1,568 * FEI Co. 68,800 1,565 * Take-Two Interactive Software, Inc. 136,000 1,564 * Energy Conversion Devices, Inc. 77,100 1,561 * ATS Medical, Inc. 109,500 1,554 * Coinstar, Inc. 101,800 1,552 * Stein Mart, Inc. 133,300 1,550 * Triarc Cos., Inc. Class A 63,900 1,550 First Financial Bankshares, Inc. 49,270 1,549 * Bright Horizons Family Solutions, Inc. 59,000 1,541 Town & Country Trust REIT 79,800 1,541
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- ------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------- * ITT Educational Services, Inc. 70,000 $ 1,540 * Comstock Resources, Inc. 104,200 1,537 Commercial Net Lease Realty REIT 150,100 1,529 * Carreker Corp. 44,000 1,529 * Zoll Medical Corp. 43,600 1,529 Lennox International Inc. 197,200 1,528 * Prima Energy Corp. 43,650 1,528 * Organogenesis, Inc. 169,791 1,526 * CB Richard Ellis Services, Inc. 104,329 1,526 * Oakley, Inc. 112,900 1,524 Chemed Corp. 45,200 1,520 Commercial Metals Co. 68,266 1,519 Harleysville National Corp. 43,673 1,515 The Stride Rite Corp. 216,100 1,513 * Inprise Corp. 272,700 1,508 * Microsemi Corp. 54,100 1,505 * eLoyalty Corp. 232,425 1,503 Seacoast Financial Services Corp. 124,400 1,493 Primex Technologies, Inc. 46,800 1,492 * Kenneth Cole Productions, Inc. 37,050 1,491 * Armor Holdings, Inc. 85,200 1,486 * General Communication, Inc. 212,100 1,485 Presidential Life Corp. 99,300 1,483 Southwestern Energy Co. 142,900 1,483 * Ryan's Family Steak Houses, Inc. 156,900 1,481 Churchill Downs, Inc. 49,600 1,479 * Wit Soundview Group, Inc. 410,300 1,475 * Aware, Inc. 83,000 1,473 Glimcher Realty Trust REIT 117,400 1,468 * Concurrent Computer Corp. 272,200 1,463 United National Bancorp 76,246 1,463 CVB Financial Corp. 86,012 1,462 * Scott Technologies, Inc. 65,300 1,461 J.B. Hunt Transport Services, Inc. 86,800 1,459 Dime Community Bancshares 57,700 1,457 Great Lakes, Inc. REIT 83,800 1,456 Franklin Electric, Inc. 21,200 1,452 * Presstek, Inc 138,200 1,451 * Genlyte Group, Inc. 60,900 1,446 Promistar Financial Corp. 83,093 1,445 *(3) ParkerVision, Inc. 39,400 1,443 * Alliance Semiconductor Corp. 127,300 1,440 * Arkansas Best Corp. 78,500 1,438 Parkway Properties Inc. REIT 48,400 1,437 Bel Fuse, Inc.- Class B 42,000 1,428 Schweitzer-Mauduit International, Inc. 74,500 1,427 * Monaco Coach Corp. 80,650 1,426 PMA Capital Corp. Class A 82,611 1,425 Hickory Tech Corp. 69,500 1,425 * CoStar Group, Inc. 60,220 1,423 * Digital Island Inc. 350,100 1,422 * Rural Cellular Corp. Class A 48,000 1,422 * Standard Microsystem 70,200 1,422 * DuPont Photomasks, Inc. 26,900 1,421 * Interdigital Communications Corp. 262,800 1,421 Capital Automotive REIT 102,500 1,416 * Acacia Research Corp. 79,300 1,413 (3) Semco Energy Inc. 90,685 1,411 * Chico's Fas, Inc. 67,500 1,409 * Palm Harbor Homes, Inc. 89,229 1,405 Cohu, Inc. 100,800 1,405 *(3) Valence Technology 150,800 1,404 * Hot Topic, Inc. 85,400 1,404 * Gardner Denver Inc. 65,900 1,404 NACCO Industries, Inc. Class A 31,995 1,398 OceanFirst Financial Corp. 56,600 1,394 Lindsay Manufacturing Co. 61,495 1,391 Oneida Ltd. 74,935 1,391 * Advanced Energy Industries, Inc. 61,600 1,386 * ITC DeltaCom, Inc. 256,100 1,381 Analogic Corp. 30,900 1,377 * RTI International Metals 96,200 1,377 First Merchants Corp. 60,500 1,373 * JDA Software Group, Inc. 104,350 1,363 Quanex Corp. 67,700 1,362 Charter Municipal Mortgage Acceptance Co. 101,300 1,361 Lone Star Steakhouse & Saloon, Inc. 141,400 1,361 Kansas City Life Insurance Co. 38,460 1,361 * Washington Group International, Inc. 166,100 1,360 Phillips-Van Heusen Corp. 104,600 1,360 Bank of Granite Corp. 58,463 1,359 Zenith National Insurance Corp. 46,200 1,357 * Playtex Products, Inc. 141,000 1,357 Arch Coal, Inc. 95,800 1,353 * Trans World Entertainment Corp. 151,150 1,351 * MGI Pharma, Inc. 81,800 1,350 * M.S. Carriers, Inc. 41,200 1,349 *(3) Biopure Corp. 67,300 1,346 * Isle of Capri Casinos, Inc. 126,600 1,345 *(3) EntreMed, Inc. 77,900 1,344 * NBTY, Inc. 282,400 1,341 * PAREXEL International Corp. 123,900 1,340 *(3) Zoran Corp. 86,400 1,339 * Nuevo Energy Co. 77,300 1,338 * Genzyme Transgenics Corp. 93,400 1,337 * Bio-Rad Laboratories, Inc. Class A 42,000 1,336 * Genrad, Inc. 133,400 1,334
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- ------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------- National Golf Properties, Inc. REIT 64,800 $ 1,332 * C-COR Electronics, Inc. 137,100 1,332 Riggs National Corp. 95,200 1,327 * Interlogix, Inc. 70,107 1,323 * Wyndham International, Inc. Class A 756,100 1,323 * INAMED Corp. 64,700 1,322 * Intergraph Corp. 220,200 1,321 Baldwin & Lyons, Inc. Class B 56,400 1,311 Polaroid Corp. 225,300 1,310 * Aradigm Corp. 89,400 1,307 PFF Bancorp, Inc. 62,600 1,307 * Photon Dynamics, Inc. 58,000 1,305 * Financial Federal Corp. 54,550 1,302 Roadway Express Inc. 61,200 1,297 Valmont Industries, Inc. 70,500 1,295 First Financial Holdings, Inc. 65,600 1,292 * The Profit Recovery Group International, Inc. 201,850 1,287 * GaSonics International Corp. 70,000 1,286 Aaron Rents, Inc. Class B 91,400 1,285 WD-40 Co. 66,100 1,285 Reckson Associates Realty Corp. Class B REIT 47,256 1,285 IRT Property Co. REIT 157,998 1,284 * Pinnacle Entertainment, Inc. 95,000 1,283 Mills Corp. REIT 77,247 1,279 *(3) Krispy Kreme Doughnuts, Inc. 15,400 1,278 * Collins & Aikman Corp. 305,200 1,278 Deltic Timber Corp. 53,300 1,273 Watts Industries Class A 91,700 1,272 West Pharmaceutical Services, Inc. 51,794 1,272 * Aphton Corp. 70,600 1,271 * NextCard, Inc. 158,600 1,269 Omega Financial Corp. 46,900 1,266 Myers Industries, Inc. 87,330 1,266 * Constellation Brands, Inc. Class B 22,100 1,259 *(3) MicroStrategy Inc. 132,500 1,259 * Albany International Corp. 93,584 1,258 Irwin Financial Corp. 59,100 1,252 Central Parking Corp. 62,600 1,252 Penn Virginia Corp. 37,700 1,251 * Complete Business Solutions, Inc. 121,300 1,251 * Somera Communications, Inc. 143,700 1,248 CNA Surety Corp. 87,400 1,245 * Clarent Corp. 109,900 1,243 * Conmed Corp. 72,550 1,242 * Guitar Center, Inc. 109,100 1,241 Brown Shoe Company, Inc. 95,300 1,239 * P-Com, Inc. 404,400 1,238 SCPIE Holdings Inc. 52,400 1,238 * PRAECIS Pharmaceuticals Inc. 42,300 1,237 * Skechers U.S.A., Inc. 79,800 1,237 * BOK Financial Corp. 58,144 1,236 * Secure Computing Corp. 124,900 1,233 Landry's Seafood Restaurants, Inc. 124,100 1,233 * O'Charley's Inc. 69,200 1,233 Pennsylvania REIT 64,300 1,230 * Ivex Packaging Corp. 112,400 1,229 Westpoint Stevens, Inc. 164,100 1,229 * Stewart Information Services Corp. 55,300 1,227 * Mesa Air Group Inc. 174,200 1,219 Berry Petroleum Class A 91,100 1,218 AREA Bancshares Corp. 73,800 1,218 * SilverStream Software, Inc. 59,000 1,217 Walter Industries, Inc. 162,200 1,217 *(3) EMCOR Group, Inc. 47,600 1,214 * The InterCept Group, Inc. 45,400 1,212 * Bell & Howell Co. 73,400 1,211 Mine Safety Appliances Co. 48,200 1,211 First Federal Capital Corp. 83,500 1,211 Winnebago Industries, Inc. 68,900 1,210 * Magnatek 92,800 1,206 *(3) Mpower Communications Corp. 234,550 1,202 * Keynote Systems Inc. 84,700 1,202 * Crown Media Holdings, Inc. 58,800 1,194 New England Business Service, Inc. 65,400 1,194 * Championship Auto Racing Teams, Inc. 56,800 1,193 * Insignia Financial Group, Inc. 100,300 1,191 * Netro Corp. 171,600 1,190 Caraustar Industries, Inc. 126,900 1,190 * Data Broadcasting Corp. 338,278 1,184 * InterVoice-Brite, Inc. 162,600 1,179 * Prosoft Training.com 97,200 1,179 * Griffon Corp. 149,300 1,176 * ESCO Technologies Inc. 56,800 1,175 * Closure Medical Corp. 32,600 1,174 Watsco, Inc. 101,550 1,170 * Mobile Mini, Inc. 50,800 1,168 * MedQuist, Inc. 73,011 1,168 First Indiana Corp. 49,520 1,164 * Sequa Corp. Class A 31,900 1,160 * LodgeNet Entertainment Corp. 65,700 1,158 * Ocwen Financial Corp. 181,600 1,158 Standex International Corp. 56,000 1,155 *(3) Caliper Technologies Corp. 24,500 1,152 (3) Vector Group Ltd. 72,775 1,151 * Bethlehem Steel Corp. 657,391 1,150 Saul Centers, Inc. REIT 61,700 1,149 Curtiss-Wright Corp. 24,700 1,149
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- ------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------- * CACI International, Inc. 49,900 $ 1,148 * ONYX Software Corp. 104,300 1,147 * McMoRan Exploration Co. 86,400 1,145 * Adaptive Broadband Corp. 186,800 1,144 United Community Financial Corp. 164,800 1,143 * DUSA Pharmaceuticals, Inc. 67,800 1,140 CT Communications, Inc. 81,000 1,139 * Glenayre Technologies, Inc. 322,525 1,139 * Belco Oil & Gas Corp. 91,500 1,138 * Alexander's, Inc. REIT 16,800 1,137 NTELOS Inc. 64,500 1,137 * MCSi, Inc. 53,100 1,135 Cascade Natural Gas Corp. 60,000 1,129 * Symmetricom Inc. 115,600 1,127 E.W. Blanch Holdings, Inc. 64,600 1,126 F & M Bancorp 54,559 1,125 Equity Inns, Inc. REIT 181,800 1,125 * UICI 189,100 1,123 Cleveland-Cliffs Iron Co. 51,700 1,115 *(3) CompuCredit Corp. 61,500 1,115 * Bottomline Technologies, Inc. 43,300 1,112 State Auto Financial Corp. 62,200 1,112 Farmer Brothers, Inc. 5,350 1,110 * Ciber, Inc. 227,700 1,110 First Source Corp. 60,635 1,107 Russ Berrie and Co., Inc. 52,300 1,105 Woodhead Industries, Inc. 56,100 1,101 Omnova Solutions Inc. 182,800 1,097 Penn Engineering & Manufacturing Corp. 31,100 1,096 Sovran Self Storage, Inc. REIT 55,000 1,093 Interpool, Inc. 64,050 1,093 * Nuance Communications Inc. 25,300 1,091 Sandy Spring Bancorp, Inc. 47,900 1,090 * General Semiconductor, Inc. 174,350 1,090 * Key3Media Group, Inc. 89,400 1,090 * Cognizant Technology Solutions Corp. 30,000 1,089 * Information Holdings Inc. 46,400 1,088 * Lightbridge, Inc. 82,800 1,087 * Multex.com Inc. 81,900 1,085 * United Therapeutics Corp. 73,400 1,083 Arctic Cat, Inc. 93,100 1,082 * Packeteer, Inc. 87,400 1,082 * Martek Biosciences Corp. 88,100 1,079 * Intertrust Technologies Corp. 319,700 1,079 * Manhattan Associates, Inc. 25,300 1,078 Student Loan Corp. 19,800 1,078 RPC Inc. 74,100 1,074 * Checkpoint Systems, Inc. 144,400 1,074 * Nortek, Inc. 45,300 1,073 *(3) Salton, Inc. 51,800 1,072 Robbins & Myers, Inc. 44,178 1,066 Alabama National BanCorporation 47,000 1,063 * National Western Life Insurance Co. Class A 10,300 1,062 Midcoast Energy Resources, Inc. 48,600 1,060 * Battle Mountain Gold Co. Class A 627,600 1,059 * Electro Rent Corp. 74,958 1,059 * Broadbase Software Inc. 169,400 1,059 * Integrated Circut Syetems, Inc. 63,900 1,058 * MemberWorks, Inc. 49,800 1,058 * LightPath Technologies, Inc. 76,100 1,056 * Integrated Electrical Services, Inc. 177,800 1,056 First Financial Corp.-Indiana 33,000 1,054 * Valentis, Inc. 147,900 1,054 JP Realty Inc. REIT 66,900 1,054 * Universal Electronics, Inc. 68,100 1,051 Strayer Education, Inc. 41,050 1,049 *(3) Metricom 104,100 1,048 The Standard Register Co. 73,400 1,046 Mid-America Bancorp 45,959 1,046 * Sangstat Medical Corp. 88,000 1,045 * ViaSat, Inc. 79,600 1,045 Carbo Ceramics Inc. 27,900 1,045 Calgon Carbon Corp. 183,600 1,044 * Frontier Oil Corp. 151,200 1,040 * FOSSIL, INC. 71,700 1,039 Sturm, Ruger & Co., Inc. 110,000 1,038 Sauer-Danfoss, Inc. 110,700 1,038 * HotJobs.com Ltd. 90,700 1,037 (3) Advanta Corp. Class A 117,680 1,037 * Playboy Enterprises, Inc. Class B 104,100 1,034 * Identix, Inc. 131,700 1,034 * FSI International, Inc. 123,400 1,033 * Wave Systems Corp. 229,300 1,032 * URS Corp. 70,200 1,031 SJW Corp. 10,100 1,030 *(3) Microvision, Inc. 58,700 1,027 Centex Construction Products, Inc. 37,600 1,027 Wabash National Corp. 118,900 1,026 Ryerson Tull, Inc. 124,247 1,025 * Horizon Offshore, Inc. 51,900 1,025 * Travelocity.com Inc. 84,400 1,023 * Midway Games Inc. 144,111 1,023 * World Wrestling Federation Entertainment, Inc. 63,900 1,022 * Midwest Express Holdings, Inc. 69,600 1,022 * W.R. Grace & Co. 319,600 1,019 * CorVel Corp. 29,400 1,018 The Trust Co. of New Jersey 80,770 1,015 * Bluestone Software Inc. 67,000 1,013 Foster Wheeler Corp. 192,500 1,011
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- ------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------- *(3) P.F. Chang's China Bistro, Inc. 31,900 $ 1,003 * SPSS, Inc. 45,400 1,002 Mississippi Valley Bancshares, Inc. 34,000 999 * Convera Corp. 56,200 998 First Washington Realty Trust, Inc. REIT 38,600 996 Pacific Northwest Bancorp 72,000 995 * Philadelphia Consolidated Holding Corp. 32,200 994 Oshkosh B Gosh, Inc. Class A 53,700 993 Vital Signs, Inc. 30,900 993 Great American Financial Resources, Inc. 51,300 981 * Embarcadero Technologies, Inc. 21,800 981 BancFirst Corp. 24,658 979 CPB, Inc. 35,000 976 * Mail-Well, Inc. 226,100 975 * Astec Industries, Inc. 73,900 975 * XM Satellite Radio Holdings, Inc. 60,500 972 * DVI, Inc. 56,900 971 Cato Corp. Class A 70,600 971 * Amerco, Inc. 49,420 970 * PICO Holdings, Inc. 77,600 965 * Advanced Tissue Sciences Inc. 317,800 963 * GoTo.com, Inc. 131,000 958 * Handleman Co. 127,300 955 * Hexcel Corp. 106,600 953 * Sunglass Hut International, Inc. 185,700 952 * Tweeter Home Entertainment Group, Inc. 78,000 951 * Ocular Sciences, Inc. 81,400 946 * hi/fn, inc. 34,400 946 * Jupiter Media Metrix, Inc. 101,069 941 *(3) Viatel, Inc. 252,700 940 Entertainment Properties Trust REIT 85,400 939 *(3) Martha Stewart Living Omnimedia, Inc. 46,800 939 * SpectraLink Corp. 64,900 937 * Ventana Medical Systems, Inc. 50,300 931 * Telcom Semiconductor, Inc. 81,800 930 Haverty Furniture Cos., Inc. 93,400 922 * WFS Financial, Inc. 49,800 921 Midas Inc. 77,000 919 * Maxygen 37,500 919 * Ultimate Electronics, Inc. 41,800 917 * Datastream Systems, Inc. 94,000 917 FBL Financial Group, Inc. Class A 52,411 914 * Metromedia International Group, Inc. 350,900 912 * United Natural Foods, Inc. 51,700 911 * Brightpoint, Inc. 258,425 904 * Consolidated Products Inc. 131,199 902 Medallion Financial Corp. 61,600 901 * Excel Technology, Inc. 45,100 900 * Hall, Kinion & Associates, Inc. 44,700 900 CityBank Lynnwood WA 42,000 898 * Cytogen Corp. 382,900 897 * Nabi 192,800 892 * Volt Information Sciences Inc. 42,900 890 * Pegasus Solutions Inc. 128,150 889 *(3) VaxGen, Inc. 45,500 887 National Health Investors REIT 120,000 885 * Targeted Genetics Corp. 132,200 884 * CDI Corp. 60,100 879 * Allscripts, Inc. 94,000 878 * Thoratec Laboratories Corp. 79,700 877 Lexington Corporate Properties Trust REIT 73,900 873 * Hotel Reservations Network, Inc. 30,700 871 *(3) World Access, Inc. 362,000 871 * STAAR Surgical Co. 69,300 871 Coachmen Industries, Inc. 82,900 870 Stewart Enterprises, Inc. Class A 456,100 869 Brookline Bancorp, Inc. 75,600 869 *(3) ACT Manufacturing, Inc. 54,700 862 *(3) Research Frontiers, Inc. 49,100 859 * Mesaba Holdings, Inc. 68,350 859 Exide Corp. 112,200 856 * JAKKS Pacific, Inc. 93,750 855 National Presto Industries, Inc. 27,800 853 * Lexicon Genetics Inc. 51,300 853 * Silicon Image, Inc. 156,600 852 Lawson Products, Inc. 31,300 851 * QRS Corp. 66,400 851 * Moog Inc. 29,200 847 Westcorp, Inc. 56,140 842 Pope & Talbot, Inc. 50,000 841 Andover Bancorp, Inc. 24,400 840 LaSalle Hotel Properties REIT 55,200 838 * Osicom Technologies, Inc. 52,100 837 Santander BanCorp 43,390 835 * Therma-Wave Inc. 59,600 834 * Diametrics Medical, Inc. 140,100 832 Gibraltar Steel 47,150 828 * Rudolph Technologies, Inc. 27,400 827 The Pep Boys (Manny, Moe & Jack) 227,500 825 * EEX Corp. 169,066 824 *(3) Stanford Microdevices, Inc. 22,800 821 Universal Forest Products, Inc 61,900 820 * Navigant Consulting, Inc. 214,500 818 * Mattson Technology, Inc. 79,200 817 Northwest Bancorp, Inc. 90,100 817
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- ------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------- Gerber Scientific, Inc. 94,700 $ 811 * The Buckle, Inc. 46,100 810 * Triangle Pharmaceuticals, Inc. 163,600 808 * BioMarin Pharmaceutical Inc. 83,300 807 Dover Downs Entertainment, Inc. 72,100 807 Inter-Tel, Inc. 104,900 806 North Pittsburgh Systems, Inc. 73,300 806 Bay View Capital Corp. 128,721 805 * Tumbleweed Communications Corp. 46,800 801 (3) Federal-Mogul Corp. 345,500 799 *(3) F5 Networks, Inc. 84,100 799 * Ulticom, Inc. 23,400 797 * NS Group Inc. 83,800 792 * Wesco International, Inc. 109,000 790 *(3) The Yankee Candle Company, Inc. 71,400 790 * ADE Corp. 44,700 788 * WebLink Wireless, Inc. 229,100 788 * Ibis Technology Corp. 40,800 785 * II-VI, Inc. 51,450 781 * Group 1 Automotive, Inc. 83,300 781 * Knight Transportation, Inc. 40,500 780 * Net.B@nk, Inc. 118,700 779 * The Meridian Resource Corp. 89,544 772 * Thermo Cardiosystems Inc. 88,100 771 * Orbital Sciences Corp. 185,600 766 Thor Industries, Inc. 38,700 764 * Interliant Inc. 239,600 764 * Genome Therapeutics Corp. 109,500 763 * Supertex, Inc. 38,600 763 CPI Corp. 38,100 762 * UNOVA, Inc. 210,000 761 *(3) Digimarc Corp. 46,100 761 * CCC Information Services Group 121,700 761 * SpeedFam-IPEC, Inc. 125,351 760 *(3) American Classic Voyager Co. 54,200 759 Oriental Financial Group 56,866 757 * Spanish Broadcasting System, Inc. 151,400 757 Boykin Lodging Co. REIT 89,000 757 * Network Equipment Technologies, Inc. 117,400 756 * ShopKo Stores, Inc. 151,100 756 * QuickLogic Corp. 108,600 753 * Trex Co., Inc. 29,700 748 * New Era of Networks, Inc. 127,100 747 Stepan Co. 31,500 746 * CSS Industries, Inc. 35,100 746 * Semitool, Inc. 76,800 744 Tanger Factory Outlet Centers, Inc. REIT 32,600 744 * Theragenics Corp. 148,500 743 Luby's, Inc. 123,700 742 Burnham Pacific Properties, Inc. REIT 160,400 742 General Cable Corp. 166,950 741 * Pixelworks, Inc. 33,100 741 * Viant Corp. 185,274 735 *(3) Maxim Pharmaceuticals, Inc. 115,000 733 Farmers Capital Bank Corp. 26,500 732 * Connetics Corp. 159,100 726 * Diversa Corp. 40,400 725 * Endocare, Inc. 56,800 724 * Tejon Ranch Co. 37,500 722 * JNI Corp. 31,800 721 * MTI Technology Corp. 182,800 720 * Exelixis, Inc. 49,200 720 * AVT Corp. 144,500 718 * ZixIt Corp. 81,800 716 * NetScout Systems, Inc. 71,100 711 * eSPEED, Inc. 45,200 709 * Concord Communications, Inc. 81,000 709 * PC-Tel, Inc. 65,800 707 Prime Group Realty Trust REIT 49,200 707 *(3) Genta Inc. 88,100 705 * ESS Technology, Inc. 137,500 705 AMCOL International Corp. 147,350 700 * Ribozyme Pharmaceuticals, Inc. 48,900 700 * Champion Enterprises, Inc. 254,048 699 * Audiovox Corp. 77,500 698 * Clayton Williams Energy, Inc. 25,800 697 * SITEL Corp. 242,000 696 * Hyseq, Inc. 48,200 693 * Adept Technology, Inc. 47,500 689 * Tricord Systems, Inc. 82,800 688 American Industrial Properties REIT 56,180 688 * ACTV, Inc. 161,900 688 * International FiberCom, Inc. 139,200 687 * Puma Technology, Inc. 165,200 687 * Boyd Gaming Corp. 199,500 686 *(3) Collateral Therapeutics, Inc. 38,700 685 *(3) IGEN International, Inc. 55,400 682 * Interlink Electronics Inc. 53,600 680 First Busey Corp. 34,100 680 * Cambridge Technology Partners 258,600 679 * Hayes Lemmerz International, Inc. 101,000 675 * Micron Electronics, Inc. 172,400 673 * Buca, Inc. 45,700 671 * Project Software & Development, Inc. 62,400 670 *(3) Wackenhut Corp. 49,500 668 * NPC International Class A 61,700 667 * Motient Corp. 165,800 663 Capital City Bank Group, Inc. 26,600 660
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- ------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------- * Interact Commerce Corp. 78,200 $ 655 * Applied Science & Technology, Inc. 54,500 654 Actuant Corp. 217,695 653 * Fritz Cos., Inc. 107,700 653 * Bacou USA Inc. 25,100 653 * Mercator Software, Inc. 121,400 653 * LCC International, Inc. Class A 59,900 651 * Kaiser Aluminum & Chemical Corp. 176,600 651 * Labor Ready, Inc. 196,486 651 * Friede Goldman Halter, Inc. 182,215 649 * Wink Communications, Inc. 108,100 649 * HA-LO Industries, Inc. 287,325 646 * Miravant Medical Technology 69,600 646 * Objective Systems Integrators, Inc. 36,600 645 Ingles Markets, Inc. 64,000 644 Columbus McKinnon Corp. 72,500 643 * Tut Systems, Inc. 77,670 641 * Zomax Inc. 140,300 640 Gentek, Inc. 38,707 639 * Nanogen, Inc. 70,600 635 * Cumulus Media Inc. 174,700 633 * PLX Technology, Inc. 76,000 632 * Electronics Boutique Holdings Corp. 36,000 630 * Sciclone Pharmaceuticals 157,000 628 * California Amplifier, Inc. 67,800 627 * Davox Corp. 64,200 626 * Adelphia Business Solutions, Inc. 147,100 625 * Cyberoptics Corp. 36,800 623 * Caminus Corp. 26,800 623 * Viewpoint Corp. 114,400 622 Polymer Group, Inc. 115,400 620 * Central Garden and Pet Co. 90,100 619 * NeoRx Corp. 117,800 618 Cash America International Inc. 140,412 614 Bush Industries, Inc. 52,800 614 SLI, Inc. 95,275 613 * NBC Internet, Inc. Class A 175,200 613 Valhi, Inc. 53,300 613 * International Specialty Products, Inc. 91,500 612 BSB Bancorp, Inc. 46,450 612 Pilgrim's Pride Corp. 78,300 612 * Centennial Communications Corp. Class A 32,600 611 * National Processing, Inc. 35,600 605 * Corsair Communications, Inc. 84,800 604 * Columbia Laboratories Inc. 139,900 603 NCH Corp. 15,800 600 * AnswerThink Consulting Group, Inc. 164,700 597 * Cygnus Inc. 122,100 595 The Ackerley Group, Inc. 66,100 595 * Wolverine Tube, Inc. 49,100 589 * ePresence, Inc. 135,300 588 McGrath Rent Corp. 30,300 587 Pacific Gulf Properties, Inc. REIT 95,800 587 Great Atlantic & Pacific Tea Co., Inc. 83,800 587 * Interactive Intelligence Inc. 24,300 586 * Credit Acceptance Corp. 97,500 585 * Regent Communications, Inc. 98,300 584 * Brooktrout Technology, Inc. 61,500 582 * Arguss Communications, Inc. 63,500 579 * Res-Care, Inc. 128,400 578 * Per-Se Technologies, Inc. 165,616 577 *(3) Sonosite, Inc. 45,200 576 * Whitehall Jewellers, Inc. 81,450 575 * Coldwater Creek Inc. 18,500 575 * Acme Communications, Inc. 62,400 569 * Callon Petroleum Co. 34,000 567 * Ramp Networks, Inc. 98,700 564 Rock-Tenn Co. 75,660 563 * ARIAD Pharmaceuticals, Inc. 118,400 562 *(3) Nucentrix Broadband Networks 49,900 561 Skyline Corp. 29,600 561 * Allaire Corp. 111,300 560 * Cheap Tickets, Inc. 57,100 557 * Bone Care International, Inc. 32,000 554 * Rightchoice Managed Care, Inc. 15,900 554 * Stoneridge,Inc. 81,100 547 *(3) Cell Pathways, Inc. 115,100 547 * WorldPages.com, Inc. 202,700 545 * Sanchez Computer Associates, Inc. 66,000 545 * Applica Inc. 111,467 543 * Technology Solutions Co. 253,925 540 * Rent-Way, Inc. 121,400 539 * StarBase Corp. 229,300 537 * Clarus Corp. 76,600 536 * Aclara Biosciences, Inc. 49,300 536 * Startek, Inc. 34,800 535 *(3) Trendwest Resorts, Inc. 19,800 535 * CardioDynamics International Corp. 155,500 535 *(3) Allied Riser Communications Corp. 262,800 534 Herbalife International Class A 70,000 534 * Intelidata Technologies Corp. 204,900 531 * Network Peripherals, Inc. 82,300 530 * Sykes Enterprises, Inc. 118,500 526 * kforce.com, Inc. 169,557 519
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- ------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------- Ethyl Corp. 361,200 $ 519 * Corrections Corp. of America REIT 1,509,186 519 * infoUSA Inc. 153,700 519 * MatrixOne, Inc. 28,500 518 *(3) Cyber-Care, Inc. 243,600 518 * White Electronic Designs Corp. 79,500 514 * Com21, Inc. 108,900 510 * First Consulting Group, Inc. 106,000 504 * IMRglobal Corp. 93,100 500 * Penn National Gaming, Inc. 48,900 498 * LookSmart, Ltd. 203,500 496 * TALK.com, Inc. 344,700 496 * Billing Concepts Corp. 246,800 494 * iGATE Capital Corp. 168,300 484 The Warnaco Group, Inc. Class A 285,900 482 * Value City Department Stores, Inc. 91,300 479 * Selectica, Inc. 19,800 479 Value Line, Inc. 13,800 477 * SportsLine.com, Inc. 89,200 474 * Gabelli Asset Management Inc. 14,200 471 * Century Business Services, Inc. 416,400 468 * Metasolv Software, Inc. 51,200 467 *(3) Orchid Biosciences 33,300 466 Liqui-Box Corp. 12,500 466 * Robotic Vision Systems, Inc. 169,200 465 * Numerical Technologies, Inc. 25,600 462 * Ampal-American Israel Corp. 76,100 461 *(3) Universal Display Corp. 64,000 460 * Immersion Corp. 60,700 456 * Universal Access, Inc. 56,900 455 * Stamps.Com Inc. 162,600 452 * Lynx Therapeutics Inc. 50,200 452 * On Command Corp. 51,500 451 * Genzyme Corp. Genzyme Biosurgery 51,800 450 * CSK Auto Corp. 115,700 448 Coca-Cola Bottling Co. 11,722 444 *(3) Netcentives Inc. 116,400 444 * Visual Networks, Inc. 136,184 443 * Wild Oats Markets Inc. 103,400 439 * Extended Systems Inc. 37,500 438 *(3) Vertex Interactive, Inc. 70,100 438 * MCK Communications, Inc. 51,900 438 * Spectra-Physics Lasers, Inc. 17,200 434 *(3) Centillium Communications, Inc. 19,500 434 * Prize Energy Corp. 20,900 434 Metals USA, Inc. 153,475 432 * Satcon Technology Corp. 43,700 432 * American Axle & Manufacturing Holdings, Inc. 54,300 431 * Vasomedical, Inc. 196,700 430 * Primus Knowledge Solutions, Inc. 66,000 429 * Beasley Broadcast Group, Inc. 51,600 429 *(3) Sunrise Technologies International, Inc. 240,700 429 * Carrier Access Corp. 47,400 427 * click2learn.com, inc. 43,700 426 Seaboard Corp. 2,730 426 * IXYS Corp. 29,000 424 Fedders Corp. 91,600 424 * Computer Horizons Corp. 173,500 423 * Westell Technologies, Inc. 137,600 421 * TransMontaigne Inc. 152,900 420 * Friedman, Billings, Ramsey Group, Inc. 63,900 419 * bebe stores, inc. 19,600 419 Analysts International Corp. 109,800 419 * BioCryst Pharmaceuticals, Inc. 63,000 417 * Novadigm, Inc. 66,000 417 * Alamosa PCS Holdings, Inc. 52,000 416 * Terremark Worldwide, Inc. 551,700 414 * Intrusion.com, Inc. 86,900 413 * DigitalThink, Inc. 24,100 411 * APAC Teleservices, Inc. 111,000 409 * Saga Communications, Inc. 27,500 409 * Advanced Lighting Technologies, Inc. 61,300 406 * MKS Instruments, Inc. 26,100 405 * IntraBiotics Pharmaceuticals, Inc. 41,800 402 * Mechanical Technology Inc. 113,700 398 *(3) TiVo Inc. 73,900 397 * DLJdirect 105,900 397 First Niagra Financial Group, Inc. 36,400 394 * Vivus, Inc. 182,100 393 Spiegel, Inc. Class A 91,000 392 (3) Armstrong Holdings, Inc. 187,600 387 * Dura Automotive Systems, Inc. 73,635 387 * Comfort Systems USA, Inc. 181,500 386 * Nu Skin Enterprises, Inc. 72,100 383 * Net2Phone, Inc. 51,684 381 Advanced Marketing Services 21,800 379 * Nanometrics Inc. 27,100 374 * Luminex Corp. 14,300 373 * Sequenom, Inc. 26,500 371 * 3DO Co. 139,700 367 * eGain Communications Corp. 118,500 367 Independent Bank Corp. 29,300 366 * Internet.com Corp. 61,100 363 * CTC Communications Group, Inc. 78,000 361
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- ------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------- * Vertel Corp. 153,500 $ 360 * Universal Compression Holdings, Inc. 9,500 358 * NetRatings, Inc. 24,300 357 * Paradigm Genetics, Inc. 35,400 354 * Marimba, Inc. 77,300 348 * Accrue Software, Inc. 138,400 346 *(3) Cope, Inc. 11,100 344 * Management Network Group Inc. 28,900 343 * StarMedia Network, Inc. 181,300 343 * Tuesday Morning Corp. 64,400 342 * Rhythms NetConnections Inc. 303,100 341 * Primus Telecommunications Group, Inc. 146,900 340 * Immune Response 128,900 338 * Corillian Corp. 27,900 335 * ePlus Inc. 29,155 332 *(3) Niku Corp. 45,000 329 * Choice One Communications Inc. 35,300 329 HEICO Corp. 20,900 327 *(3) GoAmerica, Inc. 60,500 325 *(3) Superconductor Technologies Inc. 89,700 325 * Aurora Foods Inc. 132,700 323 * Gaylord Container Corp. 323,200 323 * Allos Therapeutics Inc. 39,800 321 *(3) Gaiam, Inc. 20,700 320 *(3) Procom Technology, Inc. 24,600 319 * Blount International, Inc. 41,433 319 * Metawave Communications Corp. 34,700 317 * Saba Software, Inc. 20,100 317 * Expedia Inc. 33,100 317 *(3) MP3.com, Inc. 87,400 314 *(3) Revlon, Inc. Class A 62,500 310 * Latitude Communications, Inc. 79,600 308 R & G Financial Corp. Class B 21,600 308 * NationsRent, Inc. 196,900 308 * United Auto Group, Inc. 45,900 307 * Meta Group, Inc. 46,500 302 *(3) U.S. Wireless Corp. 68,600 300 * Netopia, Inc. 69,000 298 * Impco Technologies Inc. 24,600 295 * Pac-West Telecom, Inc. 85,800 295 *(3) NHancement Technologies Inc. 59,600 294 * Rare Medium Group, Inc. 154,200 294 * Dot Hill Systems Corp. 75,800 294 * 1-800-FLOWERS.COM, Inc. 71,100 293 * FirePond, Inc. 30,900 292 * Brio Technology, Inc. 69,000 291 Tenneco Automotive, Inc. 96,200 289 * eMagin Corp. 135,600 287 * US LEC Corp. Class A 59,500 286 * SoftNet Systems, Inc. 157,000 285 Fedders Corp. Class A 67,612 283 FINOVA Group, Inc. 301,000 282 * BSQUARE Corp. 46,800 281 * The viaLink Co. 99,500 280 *(3) Xybernaut Corp. 165,000 278 * Persistence Software, Inc. 62,700 278 * OTG Software, Inc. 17,200 278 * Crossroads Systems, Inc. 57,500 270 *(3) FiberNet Telecom Group, Inc. 48,400 266 * PC Connection, Inc. 25,650 266 * Digital River, Inc. 111,700 265 Gold Banc Corp., Inc. 56,400 264 * Geoworks 89,200 262 * Gulf Island Fabrication, Inc. 14,300 260 *(3) WorldGate Communications, Inc. 67,100 256 * Ask Jeeves, Inc. 103,900 253 * Cylink Corp. 117,200 253 *(3) Gliatech Inc. 62,200 253 * Syntel, Inc. 43,875 252 * Imatron, Inc. 182,900 251 * Tanning Technology Corp. 67,800 250 *(3) Earthshell Corp. 194,700 249 * Guess ?, Inc. 46,400 247 * NetSolve, Inc. 32,200 246 * Golden Telecom, Inc. 47,800 245 * Globix Corp. 88,500 243 * Modem Media . Poppe Tyson, Inc. 73,200 242 * Aspect Medical Systems, Inc. 28,100 242 * CyberSource Corp. 99,900 237 * Ames Department Stores, Inc. 163,857 236 * Hypercom Corp. 74,900 234 * Information Architects Corp. 129,000 234 * Data Return Corp. 61,900 232 *(3) Netsol International, Inc. 33,100 232 * PEC Solutions, Inc. 28,500 232 * Vyyo Inc. 37,800 232 *(3) Optical Cable Corp. 25,500 231 * Internet Pictures Corp. 238,300 231 * ChromaVision Medical Systems, Inc. 87,600 230 * SeeBeyond Technology Corp. 22,400 230 * ITXC Corp. 32,600 226 *(3) The Source Information Management Co. 60,300 226 *(3) Airnet Communications Corp. 33,200 224 * Sonic Automotive, Inc. 32,500 223 * Chiquita Brands International, Inc. 220,300 220 * American Technical Ceramics Corp. 21,800 218 * iBasis, Inc. 52,500 217 * Twinlab Corp. 128,300 217 * Crossman Communities, Inc. 10,300 216
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- ------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------- *(3) VASCO Data Security International, Inc. 40,100 $ 216 * eXcelon Corp. 141,900 213 * Digitas Inc. 41,900 212 * Hanover Direct, Inc. 565,200 212 BankAtlantic Bancorp, Inc. Class A 56,466 212 * McAfee.com Corp. 42,300 212 * Ebenx Inc. 31,100 210 * Open Market, Inc. 191,000 209 * Gentiva Health Services, Inc. 15,600 209 * iXL Enterprises, Inc. 207,800 208 * Braun Consulting, Inc. 55,700 205 * Exchange Applications, Inc. 167,500 204 *(3) Z-Tel Technologies, Inc. 39,200 203 * Thermo Fibertek, Inc. 58,100 200 * GlobalNet Financial.com, Inc. 133,100 200 * NEON Systems, Inc. 31,900 199 (3) Owens Corning 245,000 199 * Lifeminders, Inc. 56,800 199 * Level 8 Systems Inc. 32,600 199 * Steven Madden, Ltd. 26,000 198 * Daleen Technologies, Inc. 51,400 193 * Celsion Corp. 188,900 189 * Sonic Innovations, Inc. 28,200 189 * K-V Pharmaceutical Co. Class A 7,500 188 * Arch Wireless, Inc. 298,200 186 * Peregrine Pharmaceuticals, Inc. 196,000 184 * Electric Lightwave, Inc. Class A 55,200 183 * Media 100 Inc. 70,200 180 Fremont General Corp. 63,500 179 * IMPSAT Fiber Networks, Inc. 40,000 175 * Inforte Corp. 12,700 175 * Net Perceptions, Inc. 82,900 174 * Hollywood Entertainment Corp. 163,000 173 * Telocity Inc. 86,300 173 * ValueClick, Inc. 34,800 172 * Metrocall, Inc. 366,000 172 * Nexell Therapeutics Inc. 56,500 171 LTV Corp. 494,000 170 * Predictive Systems, Inc. 23,700 170 * Wilsons The Leather Experts Inc. 12,100 169 * SmartServ Online, Inc. 23,700 168 * Denbury Resources, Inc. 15,100 166 * Infogrames, Inc. 29,820 166 * Versata, Inc. 18,500 165 *(3) Teligent, Inc. 85,300 165 * MyPoints.com, Inc. 138,300 164 * Neon Communications, Inc. 25,200 164 * SciQuest.com, Inc. 122,700 161 National Steel Corp. Class B 133,600 159 * Genomic Solutions Inc. 19,900 152 * SmartDisk Corp. 38,600 150 * Advanced Radio Telecom Corp. 144,300 149 * MedicaLogic/Medscape, Inc. 64,300 149 * e.spire Communications, Inc. 296,100 148 *(3) eMerge Interactive, Inc. 40,410 146 * Mail.Com, Inc. 203,200 146 * Casella Waste Systems, Inc. 16,800 146 * Paradyne Networks, Inc. 80,400 146 * FutureLink Corp. 221,000 145 * iVillage Inc. 135,000 143 * Sagent Technology, Inc. 103,400 142 * netGure, Inc. 35,000 138 * National Information Consortium, Inc. 88,100 135 * Protection One, Inc. 152,400 133 * Cysive, Inc. 32,300 133 * AGENCY.COM Inc. 34,050 132 * ORATEC Interventions, Inc. 25,400 130 * Intraware, Inc. 88,400 130 *(3) Sunbeam Corp. 415,343 130 * NETsilicon, Inc. 34,800 129 * NetCreations, Inc. 18,900 129 * Systemax Inc. 103,100 129 * Kos Pharmaceuticals, Inc. 7,300 129 * Switchboard Inc. 43,000 128 * Quintus Corp. 84,500 127 * Scientific Learning Corp. 29,600 125 * Digital Impact, Inc. 53,000 124 * Be Free, Inc. 56,300 123 * Liberty Livewire Corp. 16,000 123 * Preview Systems, Inc. 39,200 123 * Gadzoox Networks, Inc. 56,700 119 * Superior Telecom Inc. 61,196 119 * NX Networks, Inc. 187,000 117 * Lante Corp. 72,400 113 * C-bridge Internet Solutions, Inc. 28,600 112 CompX International Inc. 12,300 110 * DSET Corp. 61,000 110 Pilgrim's Pride Corp. Class A 20,350 109 * Lightspan Inc. 75,800 109 *(3) Ventro Corp. 107,900 108 *(3) e-MedSoft.com 171,200 107 * MarketWatch.com, Inc. 34,800 104 * GRIC Communications, Inc. 49,100 104 * Extensity, Inc. 17,300 104 * Razorfish Inc. 63,900 104 * Calico Commerce Inc. 105,300 102 * American Telesource International, Inc. 265,900 100 * barnesandnoble.com inc. 75,300 99 * Viador, Inc. 74,500 98 * TenFold Corp. 64,400 97 * Chordiant Software, Inc. 31,200 93 * VIA NET.WORKS, Inc. 24,200 92 * SVI Holdings, Inc. 89,100 89 * AppliedTheory Corp. 44,400 89
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- ------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------- * Packard BioScience Co. 7,600 $ 88 * Prodigy Communications Corp. Class A 58,900 88 * Sonic Foundry, Inc. 64,200 84 *(3) Caldera Systems, Inc. 42,200 82 * Deltek Systems, Inc. 19,100 81 * NetZero Inc. 91,800 80 * Avenue A, Inc. 42,400 77 * SAVVIS Communications Corp. 87,600 77 * deltathree, Inc. 64,300 76 *(3) Neoforma.com, Inc. 93,500 76 * Digital Courier Technologies, Inc. 177,500 75 * Delco Remy International, Inc. 8,600 74 * Intelect Communications, Inc. 195,900 73 * Unigraphics Solutions Inc. 4,400 72 Capstead Mortage Corp. REIT 6,500 71 *(3) On2.com Inc. 119,600 69 * Eprise Corp. 37,800 69 * Mediaplex, Inc. 83,800 68 *(3) Quokka Sports, Inc. 120,900 68 * Cypress Communications, Inc. 74,700 68 * Telaxis Communications Corp. 37,200 67 * Network Access Solutions Corp. 106,200 66 * GC Cos. 32,950 66 * iBEAM Broadcasting Corp. 58,900 63 * FirstWorld Communications Inc. 94,500 62 * 24/7 Media, Inc. 115,000 61 * InterWorld Corp. 121,000 61 * net.Genesis Corp. 18,100 59 * eMachines, Inc. 156,500 59 * Juno Online Services, Inc. 87,000 57 * Net2000 Communications, Inc. 32,400 56 * Alaska Communications Systems Holdings, Inc. 7,500 54 * Breakaway Solutions, Inc. 61,400 54 * eToys Inc. 283,600 53 * 4Kids Entertainment Inc. 5,800 52 * Convergent Communications, Inc. 85,950 51 * DSL.Net, Inc. 95,800 51 *(3) Aperian, Inc. 77,200 51 * Network Commerce Inc. 67,500 51 * coolsavings.com Inc. 50,120 50 * LivePerson, Inc. 46,200 49 * Onvia.com, Inc. 56,000 47 * Hollywood Media Corp. 11,800 46 * CAIS Internet, Inc. 45,200 44 * Uproar Ltd. 43,300 42 * NetObjects Inc. 87,900 41 * Sequoia Software Corp. 21,500 41 * E-LOAN, Inc. 79,800 40 * Stockwalk Group, Inc. 18,200 39 * Netpliance, Inc. 69,300 37 * 3Dfx Interactive, Inc. 144,300 36 * Loudeye Technologies, Inc. 28,400 34 * Private Media Group, Inc. 4,300 33 * Wackenhut Corp. Class B 3,656 32 * Jo-Ann Stores, Inc. Class B 7,400 31 * ICG Communications, Inc. 234,900 31 *(3) EpicEdge, Inc. 71,900 27 * Unify Corp. 95,700 27 * Star Scientific, Inc. 11,000 27 * U.S. Interactive, Inc. 95,300 27 * Organic, Inc. 32,100 26 * Women.com Networks, Inc. 113,000 25 * Opus360 Corp. 71,800 22 * ProcureNet, Inc. 136,100 20 * CSF Holdings Inc. Contingent Litigation Rights 29,125 15 * NetManage, Inc. 14,200 13 * Photogen Technologies, Inc. 7,000 12 * Weirton Steel 9,400 11 *(3) Worldwide Xceed Group, Inc. 85,300 11 * Xpedior Inc. 37,700 11 * Drugstore.com, Inc. 6,900 6 * Insurance Auto Auctions, Inc. 300 4 * Seminis, Inc. 5,000 3 * Reliance Group Holdings 335,900 2 * BUY.COM, Inc. 3,000 2 * Tejon Ranch Co. Rights Exp. 1/16/2001 37,500 1 * Envision Development Corp. 35,700 -- - ------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $4,501,864) 4,307,720 - ------------------------------------------------------------------------- FACE AMOUNT (000) - ------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.4%)(1) - ------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. $ $ (2) 6.54%, 1/25/2001$ 2,000 1,992 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.10%, 1/2/2001--Note G 106,069 106,069 6.14%, 1/2/2001 37,146 37,146 - ------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $145,207) 145,207 - ------------------------------------------------------------------------- TOTAL INVESTMENTS (103.1%) (COST $4,647,071) 4,452,927 - -------------------------------------------------------------------------
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- -------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP INDEX FUND (000) - -------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.1%) - -------------------------------------------------------------------------- Other Assets--Note B $ 20,781 Liabilities--Note G (155,437) ------------- (134,656) ------------- - -------------------------------------------------------------------------- NET ASSETS (100%) $4,318,271 ==========================================================================
- See Note A in Notes to Financial Statements. * Non-income-producing security. (1) The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 3.1%, respectively, of net assets. See Note F in Notes to Financial Statements. (2) Security segregated as initial margin for open futures contracts. (3) All or part of security position is on loan to broker/dealers. See Note G in Notes to Financial Statements. REIT--Real Estate Investment Trust.
- -------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------- AT DECEMBER 31, 2000, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------- Paid-in Capital--Note E $4,529,560 Overdistributed Net Investment Income--Note E (2,563) Accumulated Net Realized Losses--Note E (14,635) Unrealized Appreciation (Depreciation)--Note F Investment Securities (194,144) Futures Contracts 53 - -------------------------------------------------------------------------- NET ASSETS $4,318,271 ========================================================================== Investor Shares--Net Assets Applicable to 184,026,974 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,576,608 - -------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $19.44 ========================================================================== Admiral Shares--Net Assets Applicable to 12,968,928 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $252,058 - -------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $19.44 ========================================================================== Institutional Shares--Net Assets Applicable to 25,191,589 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $489,605 - -------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $19.44 ==========================================================================
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- ------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP GROWTH INDEX FUND SHARES (000) - ------------------------------------------------------------------------- COMMON STOCKS (100.3%) * Universal Health Services Class B 80,600 $ 9,007 * Timberland Co. 105,000 7,022 *(1) Cephalon, Inc. 109,500 6,933 * Patterson Dental Co. 178,300 6,040 Eaton Vance Corp. 186,400 6,011 Cullen/Frost Bankers, Inc. 137,000 5,728 Commerce Bancorp, Inc. 83,145 5,685 * Varian Medical Systems, Inc. 83,500 5,673 * RSA Security Inc. 104,000 5,499 * Shaw Group, Inc. 107,100 5,355 * Newfield Exploration Co. 112,500 5,337 * Louis Dreyfus Natural Gas Corp. 114,300 5,236 Cross Timbers Oil Co. 188,300 5,225 * Barrett Resources Corp. 87,400 4,965 * Priority Healthcare Corp. Class B 120,100 4,902 * Medicis Pharmaceutical Corp. 79,800 4,718 * Aeroflex, Inc. 152,700 4,402 * Whole Foods Market, Inc. 69,400 4,242 * Cerner Corp. 91,500 4,232 Skywest, Inc. 147,000 4,226 * Alpha Industries, Inc. 113,700 4,207 * Orthodontic Centers of America, Inc. 128,800 4,025 * Stillwater Mining Co. 102,200 4,022 * Techne 109,650 3,954 Bindly Western Industries, Inc. 93,500 3,886 * Gentex Corp. 196,200 3,654 Technitrol, Inc. 87,900 3,615 * Advance Paradigm, Inc. 78,300 3,563 Ethan Allen Interiors, Inc. 105,600 3,538 * Regeneron Pharmaceuticals, Inc. 97,200 3,428 * Zebra Technologies Corp. Class A 83,400 3,402 * Vicor Corp. 111,900 3,399 * Renal Care Group, Inc. 122,800 3,367 * Tetra Tech, Inc. 105,000 3,347 Pogo Producing Co. 107,200 3,337 * Pharmaceutical Product Development, Inc. 66,400 3,299 Dain Rauscher Corp. 34,700 3,286 *(1) ResMed Inc. 82,200 3,278 * Southwest Bancorporation of Texas, Inc. 75,800 3,255 FactSet Research Systems Inc. 86,800 3,218 * Province Healthcare Co. 81,600 3,213 National Data Corp. 87,500 3,205 * The Cheesecake Factory 82,450 3,164 * Stone Energy Corp. 49,000 3,163 * Copart, Inc. 145,700 3,133 Harman International Industries, Inc. 85,100 3,106 Cambrex Corp. 66,600 3,014 * Jack in the Box Inc. 101,900 3,000 C & D Technology Inc. 69,300 2,993 * Proxim, Inc. 69,300 2,980 * Linens 'n Things, Inc. 105,800 2,923 * DMC Stratex Networks, Inc. 194,700 2,921 New York Community Bancorp, Inc. 79,000 2,903 * NVR, Inc. 23,400 2,892 CTS Corp. 73,400 2,675 Roper Industries Inc. 80,800 2,671 IDEX Corp. 80,100 2,653 * Mercury Computer Systems, Inc. 56,800 2,638 * Aspen Technologies, Inc. 78,800 2,620 * Insituform Technologies Class A 65,700 2,620 * Barra, Inc. 55,500 2,615 * Mid Atlantic Medical Services, Inc. 130,900 2,593 * Impath, Inc. 38,800 2,580 * Footstar Inc. 51,600 2,554 Ruby Tuesday, Inc. 166,100 2,533 * Great Plains Software, Inc. 53,100 2,499 Polaris Industries, Inc. 62,700 2,492 * FileNet Corp. 91,365 2,490 * 99 Cents Only Stores 90,500 2,477 * CEC Entertainment Inc. 72,200 2,464 * Black Box Corp. 50,700 2,449 * Alliant Techsystems, Inc. 36,600 2,443 * ADVO, Inc. 54,600 2,423 Cabot Oil & Gas Corp. Class A 76,700 2,392 * Dendrite International, Inc. 105,650 2,364 * Syncor International Corp. 63,900 2,324 * Atlantic Coast Airlines Holdings Inc. 56,100 2,293 * Cal Dive International, Inc. 85,300 2,271 * Accredo Health, Inc. 44,900 2,253 * Respironics, Inc. 78,200 2,229 Graco, Inc. 53,500 2,214 * Pacific Sunwear of California 85,300 2,186 * Noven Pharmaceuticals, Inc. 58,465 2,185 * Heidrick & Struggles International, Inc. 51,200 2,154 Delta & Pine Land Co. 101,900 2,134 * Swift Energy Co. 56,700 2,133 Applebee's International, Inc. 66,700 2,097 * Forward Air Corp. 56,196 2,097 * HS Resources Inc. 47,800 2,026 * Dionex Corp. 58,400 2,015 Diagnostic Products Corp. 36,700 2,005 Trustco Bank 164,068 2,000 * Administaff, Inc. 72,600 1,975
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- ------------------------------------------------------------------------- MARKET SMALL-CAP VALUE- GROWTH INDEX FUND SHARES (000) - ------------------------------------------------------------------------- * Teledyne Technologies, Inc. 83,500 $ 1,973 * Insight Enterprises, Inc. 109,850 1,970 * MAXIMUS, Inc. 56,000 1,957 Fair Issac & Co. 38,200 1,948 Hooper Holmes, Inc. 175,500 1,941 * IDEXX Laboratories Corp. 87,800 1,932 * AXT, Inc. 58,100 1,921 * Performance Food Group Co. 37,300 1,912 Manitowac Co., Inc. 65,150 1,889 Baldor Electric Co. 89,100 1,882 * Advanced Energy Industries, Inc. 83,400 1,877 * Kopin Corp. 167,800 1,856 Keithley Instruments Inc. 42,100 1,813 * On Assignment, Inc. 61,000 1,739 * Enzo Biochem, Inc. 67,700 1,684 * WMS Industries, Inc. 83,500 1,680 * Sonic Corp. 70,750 1,649 * Rogers Corp. 39,900 1,638 * Cymer, Inc. 63,400 1,632 * Cost Plus, Inc. 55,300 1,624 * C-Cube Microsystems Inc. 130,800 1,610 * Artesyn Technologies, Inc. 100,800 1,600 * NYFIX, Inc. 66,150 1,600 * Sybron Dental Specialties, Inc. 93,600 1,580 MacDermid, Inc. 82,600 1,569 * Dril-Quip, Inc. 45,700 1,562 * Heartland Express, Inc. 67,100 1,531 * Pre-Paid Legal Services, Inc. 59,800 1,525 East West Bancorp, Inc. 60,600 1,511 Cooper Cos., Inc. 37,800 1,507 * Radiant Systems, Inc. 73,296 1,503 * CryoLife Inc. 49,400 1,494 * Trimble Navigation Ltd. 62,100 1,490 * Anchor Gaming 37,700 1,470 * Triarc Cos., Inc. Class A 59,000 1,431 Georgia Gulf Corp. 83,500 1,425 Helix Technology Corp. 59,600 1,411 Hilb, Rogal and Hamilton Co. 35,000 1,396 * Genesco, Inc. 56,800 1,388 Sterling Bancshares, Inc. 68,900 1,361 * Progress Software Corp. 93,900 1,356 * SCP Pool Corp. 44,900 1,350 * SCM Microsystems,Inc. 40,100 1,323 * Stein Mart, Inc. 112,200 1,304 * THQ Inc. 53,400 1,302 Park Electrochemical Corp. 41,700 1,280 * Boston Communications Group, Inc. 44,600 1,243 * Landstar System 22,249 1,233 * Avid Technology, Inc. 67,200 1,227 Libbey, Inc. 40,300 1,224 Morrison Management Specialists, Inc. 34,000 1,187 * RadiSys Corp. 45,800 1,185 * CUNO Inc. 43,400 1,164 * Quiksilver, Inc. 59,200 1,147 * Factory 2-U Stores Inc. 33,300 1,103 * Alliance Pharmaceutical Corp. 127,600 1,101 * BE Avionics Inc. 68,700 1,099 * Rainbow Technologies, Inc. 68,100 1,077 * Aware, Inc. 59,700 1,060 Vital Signs, Inc. 32,200 1,034 * Three-Five Systems, Inc. 57,000 1,026 * Kronos, Inc. 32,600 1,009 * Scott Technologies, Inc. 44,800 1,002 * Plains Resources 46,300 978 * AstroPower, Inc. 30,850 968 * Chico's Fas, Inc. 46,100 962 * Phoenix Technologies Ltd. 69,900 943 * Valence Technology 100,200 933 * Saga Systems, Inc. 78,800 901 * ArthroCare Corp. 46,200 901 Coca-Cola Bottling Co. 23,100 875 * MemberWorks, Inc. 40,900 869 *(1) P.F. Chang's China Bistro, Inc. 27,500 865 * Organogenesis, Inc. 91,200 820 WD-40 Co. 40,800 793 * Panera Bread 34,600 789 * MGI Pharma, Inc. 43,700 721 Lindsay Manufacturing Co. 31,000 701 * Read Rite Corp. 163,900 661 * P-Com, Inc. 212,500 651 * Supertex, Inc. 32,700 646 * InterVoice-Brite, Inc. 87,100 631 * Ultimate Electronics, Inc. 28,600 627 Oshkosh B' Gosh, Inc. Class A 32,200 596 * Startek, Inc. 37,100 570 * Advanced Tissue Sciences Inc. 170,600 517 * Genzyme Corp.- Genzyme Biosurgery 52,417 455 * International FiberCom, Inc. 88,000 435 CPI Corp. 20,800 416 * Cygnus Inc. 71,300 348 * Meade Instruments Corp. 43,100 283 * Immune Response 79,300 208 * Royal Appliance Manufacturing Co. 38,300 153 * DAMARK International, Inc. 15,700 93 - ------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $418,321) 429,790 =========================================================================
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- -------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE- (000) (000) - -------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.1%) - -------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (2.5%) - -------------------------------------------------------------------------- REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.10%, 1/2/2001--Note G $7,294 $ 7,294 6.14%, 1/2/2001 3,438 3,438 - -------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $10,732) 10,732 - -------------------------------------------------------------------------- TOTAL INVESTMENTS (102.8%) (COST $429,053) 440,522 - -------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES-- NET (-2.8%) (12,101) - -------------------------------------------------------------------------- NET ASSETS (100%) $428,421 ==========================================================================
- - SEE NOTE A IN NOTES TO FINANCIAL STATEMENTS. * Non-income-producing security. (1) All or part of security position is on loan to broker/dealers. See Note G in Notes to Financial Statements.
- ------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES - ------------------------------------------------------------------------- ASSETS Investments in Securities, at Value $440,522 Receivables for Investment Securities Sold 122,094 Other Assets--Note B 1,150 - ------------------------------------------------------------------------- Total Assets 563,766 - ------------------------------------------------------------------------- LIABILITIES Payables for Investment Securities Purchased 126,172 Other Liabilities--Note G 9,173 - ------------------------------------------------------------------------- Total Liabilities 135,345 - ------------------------------------------------------------------------- - ------------------------------------------------------------------------- NET ASSETS $428,421 =========================================================================
- ------------------------------------------------------------------------- AMOUNT (000) - ------------------------------------------------------------------------- AT DECEMBER 31, 2000, NET ASSETS CONSISTED OF: - ------------------------------------------------------------------------- Paid-in Capital $446,944 Overdistributed Net Investment Income (174) Accumulated Net Realized Losses--Note E (29,818) Unrealized Appreciation--Note F 11,469 - ------------------------------------------------------------------------- NET ASSETS $428,421 ========================================================================= Investor Shares--Net Assets Applicable to 32,411,106 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $355,613 - ------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $10.97 ========================================================================= Institutional Shares--Net Assets Applicable to 6,635,501 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $72,808 - ------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $10.97 =========================================================================
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- ------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP VALUE INDEX FUND SHARES (000) - ------------------------------------------------------------------------- COMMON STOCKS (99.8%) - ------------------------------------------------------------------------- Fidelity National Financial, Inc. 145,700 $ 5,382 First American Corp. 136,000 4,471 Centura Banks, Inc. 84,500 4,077 Alpharma, Inc. Class A 86,000 3,773 * Smithfield Foods, Inc. 116,600 3,545 * Pride International Inc. 143,490 3,533 D. R. Horton, Inc. 144,216 3,524 Raymond James Financial, Inc. 98,700 3,442 * Coventry Health Care Inc. 127,100 3,392 Downey Financial Corp. 60,300 3,316 * Toll Brothers, Inc. 77,900 3,184 Washington Federal Inc. 111,400 3,168 * O'Reilly Automotive, Inc. 109,400 2,926 * Southern Union Co. 109,105 2,891 Vintage Petroleum, Inc. 134,400 2,890 * APW Ltd. 84,000 2,835 Philadelphia Suburban Corp. 113,625 2,784 OM Group, Inc. 50,900 2,780 * Tom Brown, Inc. 81,100 2,666 Piedmont Natural Gas, Inc. 68,100 2,601 First Midwest Bancorp 87,500 2,516 * Imperial Bancorp 95,000 2,494 * Men's Wearhouse, Inc. 89,500 2,439 RGS Energy Group Inc. 73,700 2,391 Hudson United Bancorp 114,020 2,387 * Constellation Brands, Inc. Class A 39,300 2,309 * Hain Celestial Group, Inc. 70,500 2,291 Commercial Federal Corp. 116,100 2,257 Aptargroup Inc. 76,200 2,238 * Scotts Co. 60,100 2,220 Invacare Corp. 64,700 2,216 Corn Products International, Inc. 75,100 2,183 * Zale Corp. 74,100 2,154 Pier 1 Imports Inc. 205,900 2,123 * Veritas DGC Inc. 64,800 2,093 * Silicon Valley Group, Inc. 72,600 2,087 Energen Corp. 64,500 2,076 Avista Corp. 100,800 2,066 Massey Energy Co. 161,734 2,062 * Michaels Stores, Inc. 77,400 2,051 * HNC Software, Inc. 68,900 2,045 * Cognex Corp. 92,400 2,044 La-Z-Boy Inc. 128,540 2,025 Atmos Energy Corp. 81,000 1,974 * DuPont Photomasks, Inc. 36,900 1,950 Trenwick Group Ltd 78,400 1,945 * Mueller Industries Inc. 71,500 1,917 * SEACOR SMIT Inc. 36,350 1,913 United Bankshares, Inc. 89,224 1,896 * Coherent, Inc. 57,700 1,875 * Axcelis Technologies, Inc. 207,300 1,840 Penton Media, Inc. Class A 68,100 1,830 Burlington Coat Factory Warehouse Corp. 94,800 1,795 Whitney Holdings 48,500 1,761 * American Management Systems, Inc. 88,600 1,755 * United Stationers, Inc. 73,100 1,754 Methode Electronics, Inc. Class A 76,400 1,752 * Anixter International Inc. 80,200 1,734 Werner Enterprises, Inc. 100,567 1,710 Chittenden Corp. 56,200 1,704 * Verity, Inc. 70,700 1,701 Community First Bankshares 89,900 1,697 Earthgrains Co. 90,500 1,674 USFreightways Corp. 55,300 1,663 * Delphi Financial Group, Inc. 43,177 1,662 Brady Corp. Class A 48,700 1,647 Jefferies Group, Inc. 52,400 1,637 New Jersey Resources Corp. 37,800 1,635 * Varian Semiconductor Equipment Associates, Inc. 68,100 1,617 Morgan Keegan, Inc. 61,000 1,616 St. Mary Land & Exploration Co. 48,400 1,612 Staten Island Bancorp, Inc. 75,300 1,610 * Electro Scientific Industries, Inc. 57,000 1,596 CH Energy Group, Inc. 35,600 1,593 Casey's General Stores 105,600 1,577 Oshkosh Truck Corp. 35,612 1,567 Central Parking Corp. 78,100 1,562 * Cable Design Technologies 92,850 1,561 Florida Rock Industries, Inc. 39,700 1,553 * AnnTaylor Stores Corp. 61,500 1,534 UIL Holdings Corp. 30,700 1,527 * Spherion Corp. 132,970 1,504 * Avant! Corp. 82,100 1,503 Standard Pacific Corp. 64,000 1,496 ABM Industries 48,700 1,491 * SPS Technologies, Inc. 27,200 1,491 MDC Holdings, Inc. 45,100 1,486 * Photronics Labs Inc. 63,100 1,479 Southwest Gas Corp. 67,500 1,477 UGI Corp. Holding Co. 57,900 1,466 Northwest Natural Gas Co. 53,800 1,426 Tredegar Corp. 81,200 1,416 MAF Bancorp, Inc. 49,300 1,402 Susquehanna Bancshares, Inc. 83,700 1,381 Wolverine World Wide, Inc. 88,700 1,353 Texas Industries, Inc. 45,000 1,350 Mutual Risk Management Ltd. 88,000 1,336 First Bancorp/Puerto Rico 56,500 1,335 Reliance Steel & Aluminum Co. 53,550 1,325
----- 42 221
- ------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------- Belden, Inc. 52,200 $ 1,325 * Simpson Manufacturing Co. 25,700 1,311 UniSource Energy Corp. 69,300 1,304 Selective Insurance Group 53,670 1,301 * Atwood Oceanics, Inc. 29,500 1,292 * F.Y.I. Inc. 34,400 1,268 Enhance Financial Services Group, Inc. 81,600 1,260 Tucker Anthony Sutro Corp. 51,200 1,258 Regis Corp. 86,700 1,257 Owens & Minor, Inc. Holding Co. 70,700 1,255 * Actel Corp. 51,600 1,248 Springs Industries Inc. Class A 38,300 1,242 * US Oncology, Inc. 196,110 1,238 G & K Services, Inc. 43,900 1,235 Analogic Corp. 27,500 1,225 The South Financial Group, Inc. 92,351 1,224 PolyOne Corp. 201,159 1,182 Provident Bankshares Corp. 56,569 1,181 Michael Foods Group, Inc. 39,100 1,178 * Ultratech Stepper, Inc. 45,400 1,175 * Kulicke & Soffa Industries, Inc. 104,000 1,170 LandAmerica Financial Group, Inc. 28,900 1,169 Milacron Inc. 71,900 1,155 Ryland Group, Inc. 28,300 1,153 Northwestern Corp. 49,400 1,142 * Agribrands International, Inc. 21,100 1,129 * Prime Hospitality Corp. 96,100 1,117 * The Dress Barn, Inc. 38,400 1,114 * Input/Output, Inc. 108,800 1,108 * Aztar Corp. 84,600 1,095 * Hyperion Solutions Corp. 70,700 1,091 * American Italian Pasta Co. 40,700 1,091 * Remedy Corp. 65,700 1,088 * Information Holdings Inc. 46,200 1,083 Datascope Corp. 31,600 1,082 Kellwood Co. 51,200 1,082 Zenith National Insurance Corp. 36,800 1,081 * Kirby Corp. 51,400 1,079 Clarcor Inc. 52,000 1,076 * Allen Telecom Inc. 59,800 1,073 * Steel Dynamics, Inc. 96,800 1,065 Russell Corp. 68,200 1,053 * Ralcorp Holdings, Inc. 63,900 1,046 * Buckeye Technology, Inc. 74,400 1,046 Patina Oil & Gas Corp. 43,100 1,034 * Yellow Corp. 50,700 1,032 * Nautica Enterprises, Inc. 67,600 1,030 * Kent Electronics Corp. 61,100 1,008 Fleming Cos., Inc. 84,700 1,001 * Alliance Semiconductor Corp. 88,300 999 The Toro Co. 27,200 998 * Xircom, Inc. 64,000 992 Rollins Truck Leasing 124,000 992 * Ionics, Inc. 34,800 987 * Pericom Semiconductor Corp. 53,100 982 * Offshore Logistics, Inc. 45,200 974 * Esterline Technologies Corp. 37,100 974 Mentor Corp. 49,800 971 JLG Industries, Inc. 90,500 962 * Seitel, Inc. 52,100 961 Wellman, Inc. 67,500 953 * Oceaneering International, Inc. 48,900 950 * Fossil, Inc. 65,500 949 GBC Bancorp 24,700 948 Interface, Inc. 109,100 948 Arnold Industries, Inc. 52,400 943 * Benchmark Electronics, Inc. 41,800 943 Laclede Gas Co. 40,300 942 * PolyMedica Corp. 28,200 941 R.L.I. Corp. 20,900 934 * IHOP Corp. 42,800 928 Lennox International Inc. 118,674 920 * Paxar Corp. 90,100 918 * Washington Group International, Inc. 111,400 912 Valmont Industries, Inc. 49,500 910 Hughes Supply, Inc. 50,200 901 Russ Berrie and Co., Inc. 42,300 894 * Rare Hospitality International Inc. 39,900 890 NUI Corp. 27,600 888 * Aspect Communications Corp. 108,900 876 (1) Southwest Securities Group, Inc. 33,780 874 Roadway Express Inc. 41,100 871 Applied Industrial Technology, Inc. 42,300 870 GenCorp, Inc. 90,100 867 * Tower Automotive, Inc. 95,600 860 The Marcus Corp. 61,900 859 John H. Harland Co. 60,600 856 * Systems & Computer Technology Corp. 69,300 853 A.O. Smith Corp. 50,000 853 Riggs National Corp. 60,679 846 Arch Chemicals, Inc. 47,300 840 The Standard Register Co. 58,200 829 * Biotechnology General 116,600 823 International Multifoods Corp. 40,100 815 * SONICblue Inc. 196,612 811 * Pediatrix Medical Group, Inc. 33,700 811 Kaman Corp. Class A 47,300 798 * Pinnacle Systems, Inc. 108,000 796 Winnebago Industries, Inc. 45,200 794 American States Water Co. 21,400 789 Barnes Group, Inc. 39,600 787 Anchor Bancorp Wisconsin Inc. 49,000 784 Watts Industries Class A 56,200 780
----- 43 222
- ------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP VALUE INDEX FUND SHARES (000) - ------------------------------------------------------------------------- * Arkansas Best Corp. 42,500 $ 778 * General Communication, Inc. 111,100 778 * M.S. Carriers, Inc. 23,700 776 Bel Fuse, Inc.- Class B 22,550 767 Regal-Beloit Corp. 44,600 761 * Pinnacle Entertainment, Inc. 56,100 757 Phillips-Van Heusen Corp. 58,000 754 Bowne & Co., Inc. 70,700 747 * School Specialty, Inc. 37,100 744 Thomas Industries, Inc. 32,000 744 Fleetwood Enterprises, Inc. 69,600 731 * Hutchinson Technology, Inc. 52,800 726 Cato Corp. Class A 52,800 726 AAR Corp. 57,100 721 * The Gymboree Corp. 51,900 720 Chemed Corp. 21,300 716 * Monaco Coach Corp. 40,300 713 Brush Engineered Materials Inc. 35,200 711 * Harmonic, Inc. 122,800 698 Elcor Corp. 41,200 695 ChemFirst Inc. 31,500 695 * Gardner Denver Inc. 32,600 694 * NBTY, Inc. 145,500 691 * C-COR Electronics, Inc. 71,100 691 * Standard Microsystem 33,900 686 * United Natural Foods, Inc. 38,900 686 * eLoyalty Corp. 105,900 685 * Electroglas, Inc. 44,200 677 * MICROS Systems, Inc. 36,900 673 * Volt Information Sciences Inc. 32,300 670 * Auspex Systems, Inc. 95,500 668 Myers Industries, Inc. 45,892 665 Chesapeake Corp. of Virginia 32,100 660 Watsco, Inc. 56,450 650 * The Profit Recovery Group International, Inc. 102,000 650 * Nuevo Energy Co. 37,400 647 Pioneer Standard Electronics Inc. 58,600 645 * Ryan's Family Steak Houses, Inc. 67,800 640 * RTI International Metals 44,300 634 Commercial Metals Co. 28,000 623 * Magnatek 47,800 621 The Stride Rite Corp. 88,600 620 * Ciber, Inc. 126,600 617 Schweitzer-Mauduit International, Inc. 31,800 609 Deltic Timber Corp. 25,500 609 * WetSeal, Inc. Class A 29,400 605 * ViaSat, Inc. 46,000 604 Cohu, Inc. 43,000 599 * Remington Oil & Gas Corp. 45,700 594 * CDI Corp. 40,600 594 Aaron Rents, Inc. Class B 42,200 593 Arctic Cat, Inc. 51,000 593 Quanex Corp. 28,900 582 Great Atlantic & Pacific Tea Co., Inc. 81,500 571 * Midway Games Inc. 80,200 569 * Photon Dynamics, Inc. 25,100 565 * Hall, Kinion & Associates, Inc. 28,000 564 * PAREXEL International Corp. 52,100 563 Universal Forest Products, Inc. 42,500 563 Robbins & Myers, Inc. 23,300 562 Lawson Products, Inc. 20,600 560 * Conmed Corp. 32,600 558 Polaroid Corp. 96,000 558 Southwestern Energy Co. 53,200 552 * CACI International, Inc. 23,900 550 * Intermagnetics General Corp. 32,421 543 Sturm, Ruger & Co., Inc. 57,200 540 * Astec Industries, Inc. 40,900 539 Standex International Corp. 26,100 538 *(1) Salton, Inc. 25,900 536 K-Swiss, Inc. 21,300 533 * Bell Microproducts Inc. 33,200 527 Caraustar Industries, Inc. 55,700 522 Dimon Inc. 94,700 521 * URS Corp. 35,200 517 New England Business Service, Inc. 28,100 513 Omnova Solutions Inc. 84,100 505 Thor Industries, Inc. 25,500 504 * General Semiconductor, Inc. 80,400 503 * Project Software & Development, Inc. 46,400 498 Brown Shoe Company, Inc. 38,300 498 * Griffon Corp. 63,100 497 Pope & Talbot, Inc. 29,400 494 * Adaptive Broadband Corp. 80,100 491 * Symmetricom Inc. 49,950 487 * Mesa Air Group Inc. 69,000 483 E.W. Blanch Holdings, Inc. 27,600 481 * ESS Technology, Inc. 93,500 479 * Checkpoint Systems, Inc. 64,400 479 SLI, Inc. 73,800 475 * Fritz Cos., Inc. 78,300 475 Cleveland-Cliffs Iron Co. 21,900 472 SCPIE Holdings Inc. 19,900 470 * SPSS, Inc. 21,300 470 Landry's Seafood Restaurants, Inc. 45,800 455 Foster Wheeler Corp. 86,600 455 National Presto Industries, Inc. 14,700 451 * TETRA Technologies, Inc. 28,900 448 * Telcom Semiconductor, Inc. 38,900 442 Cascade Natural Gas Corp. 23,500 442
----- 44 223
- ------------------------------------------------------------------------- MARKET VALUE- SHARES (000) - ------------------------------------------------------------------------- * Midwest Express Holdings, Inc. 29,500 $ 433 Inter-Tel, Inc. 56,200 432 * Audiovox Corp. 47,900 431 * Consolidated Products Inc. 61,930 426 * PC-Tel, Inc. 39,500 425 Wabash National Corp. 48,900 422 Fremont General Corp. 148,800 419 * Brightpoint, Inc. 118,300 414 The Pep Boys (Manny, Moe & Jack) 113,300 411 Bangor Hydro-Electric Co. 15,600 401 Gerber Scientific, Inc. 46,800 401 * QRS Corp. 31,200 400 * Group 1 Automotive, Inc. 42,400 398 * Edgewater Technology, Inc. 61,000 397 * SpeedFam-IPEC, Inc. 63,600 386 Midas Inc. 32,200 384 * Friede Goldman Halter, Inc. 103,500 369 * Pegasus Solutions Inc. 52,400 364 X-Rite Inc. 45,400 355 Quaker Chemical Corp. 18,800 354 * JAKKS Pacific, Inc. 38,200 349 Coachmen Industries, Inc. 33,100 348 * Flow International Corp. 31,400 345 Butler Manufacturing Co. 13,600 344 Skyline Corp. 18,000 341 * Consolidated Graphics, Inc. 27,800 332 Fedders Corp. 71,200 329 * Franklin Covey Co. 43,900 329 * Orbital Sciences Corp. 79,800 329 * Department 56 Inc. 28,600 329 * AVT Corp. 65,400 325 * HA-LO Industries, Inc. 141,700 319 Apogee Enterprises, Inc. 59,100 318 * Theragenics Corp. 62,900 315 * Goody's Family Clothing 69,500 313 * ZixIt Corp. 35,300 309 * Wolverine Tube, Inc. 25,600 307 * Concord Communications, Inc. 35,000 306 * J & J Snack Foods Corp. 18,200 306 * K2 Inc. 38,200 306 * ShopKo Stores, Inc. 61,100 306 * Insurance Auto Auctions, Inc. 25,000 300 A.M. Castle & Co. 29,900 299 Central Vermont Public Service Corp. 24,500 299 * Network Equipment Technologies, Inc. 46,300 298 * Lydall, Inc. 33,800 294 * Labor Ready, Inc. 87,900 291 Luby's, Inc. 47,800 287 * The Kroll-O'Gara Co. 47,600 286 Nash-Finch Co. 24,400 285 BMC Industries, Inc. 58,400 285 Bassett Furniture Industries, Inc. 25,100 282 * Champion Enterprises, Inc. 100,700 277 * Davox Corp. 27,200 265 * SpaceLabs Medical, Inc. 20,400 265 * Pac-West Telecom, Inc. 76,700 264 * Jo-Ann Stores, Inc. Class A 38,600 253 * Brooktrout Technology, Inc. 26,400 250 Oxford Industries, Inc. 15,900 242 Nature's Sunshine Inc. 35,500 242 * Applica Inc. 49,500 241 Cash America International Inc. 54,400 238 * Material Sciences Corp. 30,700 236 * Building Materials Holding Corp. 27,400 233 * 4Kids Entertainment Inc. 25,700 230 Tenneco Automotive, Inc. 76,400 229 Penford Corp. 15,800 225 * Sierra Health Services 58,400 222 * ePresence, Inc. 50,800 221 * Visual Networks, Inc. 66,800 217 Thomas Nelson, Inc. 30,800 216 * Innovex, Inc. 31,800 215 * Sola International Inc. 50,800 210 * TBC Corp. 45,500 208 * Information Resources, Inc. 62,310 206 * Robotic Vision Systems, Inc. 74,800 206 * Digi International, Inc. 32,500 199 Intermet Corp. 54,500 198 * Discount Auto Parts Inc. 35,000 193 Standard Motor Products, Inc. 26,100 192 Analysts International Corp. 48,500 185 * Ashworth, Inc. 28,400 185 Titan International, Inc. 43,400 184 * Billing Concepts Corp. 91,100 182 Computer Task Group, Inc. 44,800 176 Amcast Industrial Corp. 17,600 175 Mississippi Chemical Corp. 54,700 172 * Hologic, Inc. 32,300 172 IMCO Recycling, Inc. 32,100 171 Angelica Corp. 18,000 169 * Exabyte Corp. 48,400 166 * A.T. Cross Co. Class A 35,710 158 Haggar Corp. 13,700 158 Commonwealth Industries Inc. 34,600 156 * Hartmarx Corp. 61,900 147 Green Mountain Power Corp. 11,600 145 * Huffy Corp. 21,400 139 * Osteotech, Inc. 29,200 139 * Cone Mills Corp. 53,400 137 J. Baker, Inc. 29,500 133 Enesco Group, Inc. 28,200 132 Lillian Vernon Corp. 18,100 127
----- 45 224
- -------------------------------------------------------------------------- MARKET VALUE- SMALL-CAP VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------- Hancock Fabrics, Inc. 36,300 $ 125 Steel Technologies, Inc. 22,300 123 *(1) Itron, Inc. 32,136 116 * Mayor's Jeweler's, Inc. 40,500 116 * E. Gottschalk & Co., Inc. 26,400 109 * Cyrk International, Inc. 33,600 101 * Curative Health Services Inc. 16,500 92 *(1) Action Performance Cos., Inc. 34,300 81 * The Dixie Group, Inc. 24,100 57 Nashua Corp. 12,500 56 * American Freightways 1,769 49 - -------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $408,539) 402,318 - -------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.8%) - -------------------------------------------------------------------------- REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 6.10%, 1/2/2001--Note G $1,706 1,706 6.14%, 1/2/2001 1,248 1,248 - -------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $2,954) 2,954 - -------------------------------------------------------------------------- TOTAL INVESTMENTS (100.6%) (COST $411,493) 405,272 - -------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES-- NET (-0.6%) (2,339) - -------------------------------------------------------------------------- NET ASSETS (100%) $402,933 ==========================================================================
- - See Note A in Notes to Financial Statements. * Non-income-producing security. (1) All or part of security position is on loan to broker/dealers. See Note G in Notes to Financial Statements.
- -------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES - -------------------------------------------------------------------------- ASSETS Investments in Securities, at Value $405,272 Receivables for Investment Securities Sold 85,937 Other Assets--Note B 3,096 - -------------------------------------------------------------------------- Total Assets 494,305 - -------------------------------------------------------------------------- LIABILITIES Payables for Investment Securities Purchased 88,420 Other Liabilities--Note G 2,952 - -------------------------------------------------------------------------- Total Liabilities 91,372 - -------------------------------------------------------------------------- - -------------------------------------------------------------------------- NET ASSETS $402,933 ==========================================================================
- -------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------- AT DECEMBER 31, 2000, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------- Paid-in Capital $379,443 Overdistributed Net Investment Income(150) Accumulated Net Realized Gains 29,861 Unrealized Depreciation--Note F (6,221) - -------------------------------------------------------------------------- NET ASSETS $402,933 ========================================================================== Investor Shares--Net Assets Applicable to 32,827,516 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $316,898 - -------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $9.65 ========================================================================== Institutional Shares--Net Assets Applicable to 8,911,993 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $86,035 - -------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $9.65 ==========================================================================
----- 46 225 STATEMENT OF OPERATIONS This Statement shows dividend and interest income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) on investments during the period. If a fund invested in futures contracts during the period, the results of these investments are shown separately.
- ------------------------------------------------------------------------------------------ SMALL-CAP SMALL-CAP SMALL-CAP GROWTH VALUE INDEX FUND INDEX FUND INDEX FUND ------------------------------------ YEAR ENDED DECEMBER 31, 2000 ------------------------------------ (000) (000) (000) - ------------------------------------------------------------------------------------------ INVESTMENT INCOME INCOME Dividends $ 57,524 $ 820 $ 3,861 Interest 1,535 126 54 Security Lending 5,023 134 111 - ------------------------------------------------------------------------------------------ Total Income 64,082 1,080 4,026 - ------------------------------------------------------------------------------------------ EXPENSES The Vanguard Group---Note B Investment Advisory Services 153 46 46 Management and Administrative--Investor Shares 9,592 733 481 Management and Administrative--Admiral Shares 47 -- -- Management and Administrative--Institutional Shares 519 26 38 Marketing and Distribution--Investor Shares 528 37 37 Marketing and Distribution--Admiral Shares -- -- -- Marketing and Distribution--Institutional Shares 57 2 4 Custodian Fees 212 68 64 Auditing Fees 11 9 9 Shareholders' Reports--Investor Shares 179 10 13 Shareholders' Reports--Admiral Shares -- -- -- Shareholders' Reports--Institutional Shares 3 -- -- Trustees' Fees and Expenses 6 1 -- - ------------------------------------------------------------------------------------------ Total Expenses 11,307 932 692 Expenses Paid Indirectly--Note C (11) -- -- - ------------------------------------------------------------------------------------------ Net Expenses 11,296 932 692 - ------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 52,786 148 3,334 - ------------------------------------------------------------------------------------------ REALIZED NET GAIN (LOSS) Investment Securities Sold 565,924 1,658 43,339 Futures Contracts (4,270) -- -- - ------------------------------------------------------------------------------------------ REALIZED NET GAIN 561,654 1,658 43,339 - ------------------------------------------------------------------------------------------ CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (782,437) (26,012) 16,034 Futures Contracts (359) -- -- - ------------------------------------------------------------------------------------------ CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (782,796) (26,012) 16,034 - ------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(168,356) $(24,206) $ 62,707 ==========================================================================================
----- 47 226 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, as well as the amounts redeemed. Distributions and Capital Share Transactions are shown separately for each class of shares.
- ------------------------------------------------------------------------------------------------------------ SMALL-CAP SMALL-CAP GROWTH INDEX FUND INDEX FUND -------------------------------------------------------- YEAR ENDED DECEMBER 31, -------------------------------------------------------- 2000 1999 2000 1999 (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 52,786 $ 40,462 $ 148 $ 379 Realized Net Gain (Loss) 561,654 339,380 1,658 (4,846) Change in Unrealized Appreciation (Depreciation) (782,796) 339,726 (26,012) 31,923 - ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations (168,356) 719,568 (24,206) 27,456 - ------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Net Investment Income--Investor Shares (41,465) (36,613) (92) (507) Net Investment Income--Admiral Shares (2,857) -- -- -- Net Investment Income--Institutional Shares (6,616) (4,721) (74) -- Realized Capital Gain--Investor Shares (483,018) (284,560) (17,524) -- Realized Capital Gain--Admiral Shares (30,291) -- -- -- Realized Capital Gain--Institutional Shares (67,331) (32,660) (3,539) -- - ------------------------------------------------------------------------------------------------------------ Total Distributions (631,578) (358,554) (21,229) (507) - ------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1) Issued 1,398,652 1,052,299 317,984 80,888 Issued in Lieu of Cash Distributions 491,844 294,319 16,226 406 Redeemed (1,188,163) (884,294) (105,956) (31,106) - ------------------------------------------------------------------------------------------------------------ Net Increase--Investor Shares 702,333 462,324 228,254 50,188 - ------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS--ADMIRAL SHARES(1) Issued 253,068 -- -- -- Issued in Lieu of Cash Distributions 28,632 -- -- -- Redeemed (2,785) -- -- -- - ------------------------------------------------------------------------------------------------------------ Net Increase--Admiral Shares 278,915 -- -- -- - ------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(1) Issued 280,399 193,691 80,757 -- Issued in Lieu of Cash Distributions 62,547 34,239 3,614 -- Redeemed (173,782) (115,831) (6,024) -- - ------------------------------------------------------------------------------------------------------------ Net Increase--Institutional Shares 169,164 112,099 78,347 -- - ------------------------------------------------------------------------------------------------------------ Total Increase 350,478 935,437 261,166 77,137 - ------------------------------------------------------------------------------------------------------------ NET ASSETS Beginning of Year 3,967,793 3,032,356 167,255 90,118 - ------------------------------------------------------------------------------------------------------------ End of Year $4,318,271 $3,967,793 $428,421 $167,255 ============================================================================================================
(1) See Note H in Notes to Financial Statements for the corresponding number of shares issued and redeemed. ----- 48 227
- ----------------------------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND ----------------------------- YEAR ENDED DECEMBER 31, ----------------------------- 2000 1999 (000) (000) - ----------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 3,334 $ 1,580 Realized Net Gain (Loss) 43,339 13,634 Change in Unrealized Appreciation (Depreciation) 16,034 (10,887) - ----------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 62,707 4,327 - ----------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income--Investor Shares (2,557) (1,549) Net Investment Income--Admiral Shares -- -- Net Investment Income--Institutional Shares (807) (85) Realized Capital Gain--Investor Shares (13,937) (10,654) Realized Capital Gain--Admiral Shares -- -- Realized Capital Gain--Institutional Shares (2,452) (551) - ----------------------------------------------------------------------------------------------------- Total Distributions (19,753) (12,839) - ----------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--INVESTOR SHARES(1) Issued 130,411 150,557 Issued in Lieu of Cash Distributions 15,227 11,455 Redeemed (66,995) (61,979) - ----------------------------------------------------------------------------------------------------- Net Increase--Investor Shares 78,643 100,033 - ----------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--ADMIRAL SHARES(1) Issued -- -- Issued in Lieu of Cash Distributions -- -- Redeemed -- -- - ----------------------------------------------------------------------------------------------------- Net Increase--Admiral Shares -- -- - ----------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--INSTITUTIONAL SHARES(1) Issued 73,136 10,922 Issued in Lieu of Cash Distributions 2,618 81 Redeemed (8,707) (800) - ----------------------------------------------------------------------------------------------------- Net Increase--Institutional Shares 67,047 10,203 - ----------------------------------------------------------------------------------------------------- Total Increase 188,644 101,724 - ----------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Year 214,289 112,565 - ----------------------------------------------------------------------------------------------------- End of Year $402,933 $214,289 =====================================================================================================
(1) See Note H in Notes to Financial Statements for the corresponding number of shares issued and redeemed. ----- 49 228 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
- ------------------------------------------------------------------------------------------------------------ SMALL-CAP INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, - ------------------------------------------------------------------------------------------------------------ FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR 2000 1999 1998 1997 1996 - ------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF YEAR $23.60 $21.20 $23.75 $20.23 $18.61 - ------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .270 .256 .311 .277 .26 Net Realized and Unrealized Gain (Loss) on Investments (1.145) 4.491 (1.007) 4.632 3.07 - ------------------------------------------------------------------------------------------------------------ Total from Investment Operations (.875) 4.747 (.696) 4.909 3.33 - ------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.260) (.267) (.304) (.274) (.27) Distributions from Realized Capital Gains (3.025) (2.080) (1.550) (1.115) (1.44) - ------------------------------------------------------------------------------------------------------------ Total Distributions (3.285) (2.347) (1.854) (1.389) (1.71) - ------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF YEAR $19.44 $23.60 $21.20 $23.75 $20.23 ============================================================================================================ TOTAL RETURN* -2.67% 23.13% -2.61% 24.59% 18.12% ============================================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Year (Millions) $3,577 $3,553 $2,768 $2,652 $1,713 Ratio of Total Expenses to Average Net Assets 0.27% 0.25% 0.24% 0.23% 0.25% Ratio of Net Investment Income to Average Net Assets 1.17% 1.25% 1.39% 1.38% 1.51% Portfolio Turnover Rate 49% 42% 35% 29% 28% ============================================================================================================
* Total return figures do not reflect transaction fees on purchases (0.5% beginning 1997 through March 31, 2000; 1.0% in 1996) or the $10 annual account maintenance fee applied on balances under $10,000. ----- 50 229
- ------------------------------------------------------------------------------------------------------------ SMALL-CAP INDEX FUND ADMIRAL SHARES NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 2000 - ------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $22.40 - ------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .053 Net Realized and Unrealized Gain (Loss) on Investments .062 - ------------------------------------------------------------------------------------------------------------ Total from Investment Operations .115 - ------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.265) Distributions from Realized Capital Gains (2.810) - ------------------------------------------------------------------------------------------------------------ Total Distributions (3.075) - ------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $19.44 ============================================================================================================ TOTAL RETURN 1.75% ============================================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $252 Ratio of Total Expenses to Average Net Assets 0.20%** Ratio of Net Investment Income to Average Net Assets 1.79%** Portfolio Turnover Rate 49% ============================================================================================================
* Inception. ** Annualized.
- --------------------------------------------------------------------------------------------------------------------------- SMALL-CAP INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, JUL. 7* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 1998 DEC. 31, 1997 - --------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $23.61 $21.20 $23.75 $22.56 - --------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .292 .295 .336 .158 Net Realized and Unrealized Gain (Loss) on Investments (1.145) 4.491 (1.007) 2.370 - --------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (.853) 4.786 (.671) 2.528 - --------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.292) (.296) (.329) (.288) Distributions from Realized Capital Gains (3.025) (2.080) (1.550) (1.050) - --------------------------------------------------------------------------------------------------------------------------- Total Distributions (3.317) (2.376) (1.879) (1.338) - --------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $19.44 $23.61 $21.20 $23.75 =========================================================================================================================== TOTAL RETURN** -2.56% 23.33% -2.50% 11.42% =========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $490 $415 $264 $137 Ratio of Total Expenses to Average Net Assets 0.13% 0.12% 0.12% 0.12%+ Ratio of Net Investment Income to Average Net Assets 1.32% 1.37% 1.53% 1.52%+ Portfolio Turnover Rate 49% 42% 35% 29% ===========================================================================================================================
* Inception. ** Total return figures do not reflect the 0.5% transaction fee on purchases through March 31, 2000. + Annualized. ----- 51 230
- ---------------------------------------------------------------------------------------------------------------- SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, - ------------------------------------------------------------------------------------------------ APR. 20* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 DEC. 31, 1998 - ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $11.38 $ 9.53 $10.00 - ---------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .009 .025 .03 Net Realized and Unrealized Gain (Loss) on Investments .154 1.860 (.47) - ---------------------------------------------------------------------------------------------------------------- Total from Investment Operations .163 1.885 (.44) - ---------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.003) (.035) (.03) Distributions from Realized Capital Gains (.570) -- -- - ---------------------------------------------------------------------------------------------------------------- Total Distributions (.573) (.035) (.03) - ---------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $10.97 $11.38 $ 9.53 ================================================================================================================ TOTAL RETURN** 1.59% 19.80% -4.77% ================================================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $356 $167 $90 Ratio of Total Expenses to Average Net Assets 0.27% 0.25% 0.25%+ Ratio of Net Investment Income to Average Net Assets 0.03% 0.33% 0.63%+ Portfolio Turnover Rate 136% 82% 77% ================================================================================================================
* Subscription period for the fund was April 20, 1998, to May 20, 1998, during which time all assets were held in money market instruments. Performance measurement begins May 21, 1998. ** Total return figures do not reflect transaction fees on purchases (0.5% after February 28, 1999; 1.0% from inception through February 28, 1999) or the $10 annual account maintenance fee applied on balances under $10,000. + Annualized.
- ------------------------------------------------------------------------------------------------------------------ SMALL-CAP GROWTH INDEX FUND INSTITUTIONAL SHARES MAY 24* TO FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD DEC. 31, 2000 - ------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $11.03 - ------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .009 Net Realized and Unrealized Gain (Loss) on Investments .513 - ------------------------------------------------------------------------------------------------------------------ Total from Investment Operations .522 - ------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.012) Distributions from Realized Capital Gains (.570) - ------------------------------------------------------------------------------------------------------------------ Total Distributions (.582) - ------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $10.97 ================================================================================================================== TOTAL RETURN** 4.90% ================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $73 Ratio of Total Expenses to Average Net Assets 0.13%+ Ratio of Net Investment Income to Average Net Assets 0.11%+ Portfolio Turnover Rate 136% ==================================================================================================================
* Inception. ** Total return figures do not reflect the 0.5% transaction fee on purchases. + Annualized. ----- 52 231
- --------------------------------------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, APR. 20* TO - --------------------------------------------------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2000 1999 DEC. 31, 1998 - --------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $8.45 $ 8.74 $ 10.00 - --------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .084 .065 .045 Net Realized and Unrealized Gain (Loss) on Investments 1.698 .210 (1.250) - --------------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.782 .275 (1.205) - --------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.082) (.070) (.055) Distributions from Realized Capital Gains (.500) (.495) -- - --------------------------------------------------------------------------------------------------------------- Total Distributions (.582) (.565) (.055) - --------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $9.65 $ 8.45 $ 8.74 =============================================================================================================== TOTAL RETURN** 21.88% 3.35% -12.47% =============================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $317 $204 $ 113 Ratio of Total Expenses to Average Net Assets 0.27% 0.25% 0.25%+ Ratio of Net Investment Income to Average Net Assets 1.16% 0.96% 1.13%+ Portfolio Turnover Rate 82% 80% 53% ===============================================================================================================
* Subscription period for the fund was April 20, 1998, to May 20, 1998, during which time all assets were held in money market instruments. Performance measurement begins May 21, 1998. ** Total return figures do not reflect transaction fees on purchases (0.5% after February 28, 1999; 1.0% from inception through February 28, 1999) or the $10 annual account maintenance fee applied on balances under $10,000. + Annualized.
- --------------------------------------------------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DEC. 7* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 2000 DEC. 31, 1999 - --------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $8.45 $8.74 - --------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .097 .009 Net Realized and Unrealized Gain (Loss) on Investments 1.698 .226 - --------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.795 .235 - --------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.095) (.070) Distributions from Realized Capital Gains (.500) (.455) - --------------------------------------------------------------------------------------------------------------------------- Total Distributions (.595) (.525) - --------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $9.65 $8.45 =========================================================================================================================== TOTAL RETURN** 22.04% 2.83% =========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $86 $10 Ratio of Total Expenses to Average Net Assets 0.13% 0.13%+ Ratio of Net Investment Income to Average Net Assets 1.36% 1.37%+ Portfolio Turnover Rate 82% 80% ===========================================================================================================================
*Inception. **Total return figures do not reflect the 0.5% transaction fee on purchases. +Annualized. ----- 53 232 NOTES TO FINANCIAL STATEMENTS Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds are registered under the Investment Company Act of 1940 as diversified open-end investment companies, or mutual funds. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements. 1. SECURITY VALUATION: Equity securities are valued at the latest quoted sales prices as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Prices are taken from the primary market in which each security trades. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued by methods deemed by the board of trustees to represent fair value. 2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 3. REPURCHASE AGREEMENTS: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FUTURES CONTRACTS: The Small-Cap Index Fund uses Russell 2000 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. ----- 54 233 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Transaction fees assessed on purchases of capital shares are credited to paid-in capital. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2000, the funds had contributed capital to Vanguard (included in Other Assets) of:
- ---------------------------------------------------------------------------------- CAPITAL CONTRIBUTIONS PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION - ---------------------------------------------------------------------------------- Small-Cap $792 0.02% 0.8% Small-Cap Growth 77 0.02 0.1 Small-Cap Value 66 0.02 0.1 - ----------------------------------------------------------------------------------
The funds' trustees and officers are also directors and officers of Vanguard. C. The funds' custodian banks have agreed to reduce their fees when the funds maintain cash on deposit in their non-interest-bearing custody accounts. For the year ended December 31, 2000, custodian fee offset arrangements reduced expenses of the Small-Cap Index Fund by $11,000. D. Each fund offers two classes of shares, Investor Shares and Institutional Shares. Institutional Shares are designed primarily for institutional investors that meet certain administrative and servicing criteria and have a minimum investment of $10 million. Investor Shares are offered to all other investors. In addition, the Small-Cap Index Fund offers Admiral Shares, which were first issued on November 13, 2000, and are designed for investors that meet certain administrative, servicing, and tenure criteria and have a minimum investment of $50,000. Each class of shares has equal rights to assets and earnings, except that each class bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. ----- 55 234 NOTES TO FINANCIAL STATEMENTS (continued) E. During the year ended December 31, 2000, purchases and sales of investment securities other than temporary cash investments were:
- -------------------------------------------------------------------------- (000) ------------------------- INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------- Small-Cap $2,732,023 $2,159,505 Small-Cap Growth 777,176 489,979 Small-Cap Value 360,356 232,748 - --------------------------------------------------------------------------
The Small-Cap Index Fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from net investment income and realized capital gains. Accordingly, the fund has reclassified $2,898,000 from undistributed net investment income, and $32,666,000 from accumulated net realized gains, to paid-in capital. For federal tax purposes, the Small-Cap Index Fund's capital gains required to be distributed in December 2000 included net gains realized through October 31, 2000. Subsequently, the fund realized capital losses of $14,053,000, which are available to offset future net capital gains. The Small-Cap Growth Index Fund used a capital loss carryforward of $3,513,000 to offset taxable capital gains realized during the year ended December 31, 2000, reducing the amount of capital gains that would otherwise be available to distribute to shareholders. For federal tax purposes, capital gains required to be distributed in December 2000 included net gains realized through October 31, 2000. Subsequently, the fund realized capital losses of $29,851,000, which are available to offset future net capital gains. F. At December 31, 2000, net unrealized appreciation (depreciation) of investment securities for financial reporting and federal income tax purposes was:
- ------------------------------------------------------------------------- (000) ------------------------------------------------ APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) ========================================================================= Small-Cap $990,180 $(1,184,324) $(194,144) Small-Cap Growth 45,645 (34,176) 11,469 Small-Cap Value 44,308 (50,529) (6,221) - -------------------------------------------------------------------------
At December 31, 2000, the aggregate settlement value of open futures contracts expiring in March 2001 and the related unrealized appreciation were:
- ----------------------------------------------------------------------------------- (000) ---------------------------------------------- AGGREGATE NUMBER OF SETTLEMENT UNREALIZED INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE APPRECIATION - ----------------------------------------------------------------------------------- Small-Cap/Russell 2000 Index 47 $11,487 $53 - -----------------------------------------------------------------------------------
----- 56 235 G. The market value of securities on loan to broker/dealers at December 31, 2000, and collateral received with respect to such loans were:
- -------------------------------------------------------------- (000) ----------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED - -------------------------------------------------------------- Small-Cap $82,899 $106,069 Small-Cap Growth 7,207 7,294 Small-Cap Value 1,435 1,706 - --------------------------------------------------------------
The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan. H. Shares issued and redeemed for each class of shares were:
- --------------------------------------------------------------------------------------------- SHARES (000) ------------------------------------------------------- NET INCREASE ISSUED IN (DECREASE) LIEU OF CASH IN SHARES INDEX FUND/YEAR/SHARE CLASS ISSUED DISTRIBUTIONS REDEEMED OUTSTANDING - --------------------------------------------------------------------------------------------- SMALL-CAP INDEX FUND--2000 Investor Shares 57,881 26,983 (51,370) 33,494 Admiral Shares 11,496 1,606 (133) 12,969 Institutional Shares 11,873 3,450 (7,699) 7,624 - --------------------------------------------------------------------------------------------- SMALL-CAP INDEX FUND--1999 Investor Shares 47,908 13,196 (41,158) 19,946 Admiral Shares -- -- -- -- Institutional Shares 8,971 1,530 (5,401) 5,100 - --------------------------------------------------------------------------------------------- SMALL-CAP GROWTH INDEX FUND--2000 Investor Shares 24,996 1,525 (8,802) 17,719 Institutional Shares 6,808 339 (512) 6,635 - --------------------------------------------------------------------------------------------- SMALL-CAP GROWTH INDEX FUND--1999 Investor Shares 8,565 38 (3,363) 5,240 Institutional Shares -- -- -- -- - --------------------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND--2000 Investor Shares 14,727 1,725 (7,822) 8,630 Institutional Shares 8,431 290 (973) 7,748 - --------------------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND--1999 Investor Shares 17,096 1,390 (7,174) 11,312 Institutional Shares 1,249 10 (95) 1,164 - ---------------------------------------------------------------------------------------------
------ 57 236 REPORT of Independent Accountants To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds In our opinion, the accompanying statements of net assets (and the statements of assets and liabilities for Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund) and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2000, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2000 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 6, 2001 ----- 58 237 - ------------------------------------------------------------------------------- SPECIAL 2000 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (SMALL-CAPITALIZATION PORTFOLIOS) This information for the fiscal year ended December 31, 2000, is included pursuant to provisions of the Internal Revenue Code. The Small-Cap and Small-Cap Growth Index Funds distributed capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year, all of which are designated as 20% rate gain distributions, as follows: - -------------------------------------------------------------------------- TOTAL CAPITAL GAINS INDEX FUND DIVIDENDS - -------------------------------------------------------------------------- Small-Cap $533,114,000 Small-Cap Growth 12,010,000 - --------------------------------------------------------------------------
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: - -------------------------------------------------------------------------- INDEX FUND PERCENTAGE - -------------------------------------------------------------------------- Small-Cap 31.2% Small-Cap Growth 8.6 Small-Cap Value 10.3 - --------------------------------------------------------------------------
----- 59 238 THE VANGUARD(R) Family of Funds STOCK FUNDS 500 Index Fund Calvert Social Index(TM) Fund Capital Opportunity Fund Convertible Securities Fund Developed Markets Index Fund Emerging Markets Stock Index Fund Energy Fund Equity Income Fund European Stock Index Fund Explorer(TM) Fund Extended Market Index Fund Global Equity Fund Gold and Precious Metals Fund Growth and Income Fund Growth Equity Fund Growth Index Fund Health Care Fund Institutional Developed Markets Index Fund Institutional Index Fund International Growth Fund International Value Fund Mid-Cap Index Fund Morgan(TM) Growth Fund Pacific Stock Index Fund PRIMECAP Fund REIT Index Fund Selected Value Fund Small-Cap Growth Index Fund Small-Cap Index Fund Small-Cap Value Index Fund Strategic Equity Fund Tax-Managed Capital Appreciation Fund Tax-Managed Growth and Income Fund Tax-Managed International Fund Tax-Managed Small-Cap Fund Total International Stock Index Fund Total Stock Market Index Fund U.S. Growth Fund U.S. Value Fund Utilities Income Fund Value Index Fund Windsor(TM) Fund Windsor(TM) II Fund BALANCED FUNDS Asset Allocation Fund Balanced Index Fund Global Asset Allocation Fund LifeStrategy(R) Conservative Growth Fund LifeStrategy(R) Growth Fund LifeStrategy(R) Income Fund LifeStrategy(R) Moderate Growth Fund STAR(TM) Fund Tax-Managed Balanced Fund Wellesley(R) Income Fund Wellington(TM) Fund BOND FUNDS Admiral(TM) Intermediate-Term Treasury Fund Admiral(TM) Long-Term Treasury Fund Admiral(TM) Short-Term Treasury Fund GNMA Fund High-Yield Corporate Fund High-Yield Tax-Exempt Fund Inflation-Protected Securities Fund Insured Long-Term Tax-Exempt Fund Intermediate-Term Bond Index Fund Intermediate-Term Corporate Fund Intermediate-Term Tax-Exempt Fund Intermediate-Term Treasury Fund Limited-Term Tax-Exempt Fund Long-Term Bond Index Fund Long-Term Corporate Fund Long-Term Tax-Exempt Fund Long-Term Treasury Fund Preferred Stock Fund Short-Term Bond Index Fund Short-Term Corporate Fund Short-Term Federal Fund Short-Term Tax-Exempt Fund Short-Term Treasury Fund State Tax-Exempt Bond Funds (California, Florida, Massachusetts, New Jersey, New York, Ohio, Pennsylvania) Total Bond Market Index Fund MONEY MARKET FUNDS Admiral(TM) Treasury Money Market Fund Federal Money Market Fund Prime Money Market Fund State Tax-Exempt Money Market Funds (California, New Jersey, New York, Ohio, Pennsylvania) Tax-Exempt Money Market Fund Treasury Money Market Fund VARIABLE ANNUITY PLAN Balanced Portfolio Diversified Value Portfolio Equity Income Portfolio Equity Index Portfolio Growth Portfolio High-Grade Bond Portfolio High Yield Bond Portfolio International Portfolio Mid-Cap Index Portfolio Money Market Portfolio REIT Index Portfolio Short-Term Corporate Portfolio Small Company Growth Portfolio For information about Vanguard funds and our variable annuity plan, including charges and expenses, obtain a prospectus from The Vanguard Group, P.O. Box 2600, Valley Forge, PA 19482-2600. Read it carefully before you invest or send money. ----- 60 239 THE PEOPLE Who Govern Your Fund The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, which is owned by the funds and exists solely to provide services to them on an at-cost basis. Six of Vanguard's seven board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. They bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/ directors; and electing Vanguard officers. The list below provides a brief description of each trustee's professional affiliations. The year in which the trustee joined the Vanguard board is noted in parentheses. - ------------------------------------------------------------------------------- TRUSTEES JOHN J. BRENNAN (1987) Chairman of the Board, Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies in The Vanguard Group. JoANN HEFFERNAN HEISEN (1998) Vice President, Chief Information Officer, and a member of the Executive Committee of Johnson & Johnson; Director of Johnson & Johnson-Merck Consumer Pharmaceuticals Co., The Medical Center at Princeton, and Women's Research and Education Institute. BRUCE K. MacLAURY (1990) President Emeritus of The Brookings Institution; Director of American Express Bank Ltd., The St. Paul Companies, Inc., and National Steel Corp. BURTON G. MALKIEL (1977) Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Prudential Insurance Co. of America, Banco Bilbao Argentaria, Gestion, BKF Capital, The Jeffrey Co., NeuVis, Inc., and Select Sector SPDR Trust. ALFRED M. RANKIN, JR. (1993) Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc.; Director of The BFGoodrich Co. JAMES O. WELCH, JR. (1971) Retired Chairman of Nabisco Brands, Inc. (Food Products); retired Vice Chairman and Director of RJR Nabisco (Food and Tobacco Products); Director of TECO Energy, Inc., and Kmart Corp. J. LAWRENCE WILSON (1985) Retired Chairman and Chief Executive Officer of Rohm & Haas Co.; Director of AmeriSource Health Corporation, Cummins Engine Co., and The Mead Corp.; Trustee of Vanderbilt University. - ------------------------------------------------------------------------------- OTHER FUND OFFICERS RAYMOND J. KLAPINSKY, Secretary; Managing Director and Secretary of The Vanguard Group, Inc.; Secretary of each of the investment companies in The Vanguard Group. THOMAS J. HIGGINS, Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies in The Vanguard Group. - ------------------------------------------------------------------------------- VANGUARD MANAGING DIRECTORS R. GREGORY BARTON, Legal Department. ROBERT A. DiSTEFANO, Information Technology. JAMES H. GATELY, Direct Investor Services. KATHLEEN C. GUBANICH, Human Resources. IAN A. MacKINNON, Fixed Income Group. F. WILLIAM McNABB, III, Institutional Investor Group. MICHAEL S. MILLER, Planning and Development. RALPH K. PACKARD, Chief Financial Officer. GEORGE U. SAUTER, Quantitative Equity Group. - ------------------------------------------------------------------------------- JOHN C. BOGLE Founder; Chairman and Chief Executive, 1974-1996. 240 [THE VANGUARD GROUP LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 ABOUT OUR COVER Our cover art evokes both Vanguard's rich past and the course we've set for the future--our determination to provide superior investment performance and top-notch service. The image is based on two works: a painting titled The First Journey of 'Victory,' by the English artist W.L. Wyllie (1851-1931), and a sculpture of a compass rose on Vanguard's campus near Valley Forge, Pennsylvania. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. Standard & Poor's(R), S&P(R), S&P 500(R), Standard & Poor's 500, 500, S&PMidCap 400, and S&P SmallCap 600 are trademarks of The McGraw-Hill Companies, Inc. All other index names may contain trademarks and are the exclusive property of their respective owners. WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 INDIVIDUAL ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 This report is intended for the funds' shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. (C) 2001 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q850 022001 -----END PRIVACY-ENHANCED MESSAGE-----