-----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, TuL4Ip5JXhj9tyTSgaQDAVS9EJSmr3408Dey1wML0969NT4pgFXj42/pVRKr95Cx NnJIS6H2yA48Af+0qX//PA== 0000932471-01-500324.txt : 20010831 0000932471-01-500324.hdr.sgml : 20010831 ACCESSION NUMBER: 0000932471-01-500324 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010630 FILED AS OF DATE: 20010830 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: 1940 Act SEC FILE NUMBER: 001-16513 FILM NUMBER: 1727785 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 usstockindex.txt VANGUARD U.S. STOCK INDEX SEMIANNUAL REPORT VANGUARD(R) 500 INDEX FUND Semiannual Report - June 30, 2001 STOCK [PHOTO OF COMPASS/SHIP] [THE VANGUARD GROUP(R) LOGO] WHY COSTS MATTER As the ups and downs of the financial markets remind us, investors cannot control or predict investment returns. What you can control is how much you invest, how much explicit risk you take, and the investment costs you incur. Only you can decide how much to invest. But Vanguard can help you to manage the risk and costs of your investment program. Our lineup of funds provides you with the flexibility to create a portfolio that reflects your goals and risk tolerance. All of our funds--whether indexed or actively managed--follow disciplined investment strategies. Vanguard funds also operate at cost, which means substantial savings for you. In 2000, the average expense ratio (operating costs as a percentage of average net assets) for our funds was 0.27%, or $2.70 per $1,000 in assets. This was a fraction of the 1.30% ($13 per $1,000 in assets) expense ratio for the average fund, according to Lipper Inc. Costs matter because they are subtracted from a fund's gross returns. The lower your investment expenses, the greater the portion of the market's return you receive. At Vanguard, we know that it's your money we're managing, and that our duty is to manage it responsibly and economically. SUMMARY * Vanguard 500 Index Fund returned -6.8% during the six months ended June 30, 2001, just 0.1 percentage point shy of the return of its benchmark index. * The large-capitalization stocks that dominate the S&P 500 Index fared much worse than smaller stocks and fixed income securities. * In August, Vanguard 500 Index Fund- the first index mutual fund-celebrates its 25th anniversary. CONTENTS 1 Letter from the Chairman 5 Fund Profile 6 Glossary of Investment Terms 7 Performance Summary 8 Financial Statements LETTER from the Chairman Fellow Shareholder, During the six months ended June 30, 2001, VANGUARD 500 INDEX FUND returned - -6.8%, in line with its benchmark, the Standard & Poor's 500 Index. The fund outpaced the average large-capitalization core fund, which holds a mixture of growth and value stocks. The adjacent table presents the six-month total returns (capital change plus reinvested dividends) for our fund, its average competitor, and its unmanaged target index. The fund's total return is based on a decrease in net asset value from $121.86 per Investor Share on December 31, 2000, to $113.02 per Investor Share on June 30, 2001. The fund's return reflects dividends totaling $0.57 per share paid from net investment income. TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2001 - ------------------------------------------ Vanguard 500 Index Fund -6.8% Average Large-Cap Core Fund* -8.6 S&P 500 Index -6.7 - ------------------------------------------ Admiral Shares - ------------------------------------------ Vanguard 500 Index Fund -6.8% - ------------------------------------------ *Derived from data provided by Lipper Inc. We also present the result for our Admiral Shares--a lower-cost class for long-term shareholders and those with substantial investments in the fund. The Admiral Shares return is based on a decrease in net asset value from $121.87 per share on December 31, 2000, to $113.02 per share on June 30, 2001, and reflects dividends totaling $0.602 per share paid from net investment income. FINANCIAL MARKETS IN REVIEW Most reports suggested that the pace of U.S. economic growth slowed markedly during the first half of 2001, compared with the same period a year earlier. As the economy slowed, the Federal Reserve Board's Open Market Committee responded with six cuts in short-term interest rates, including two surprise cuts made between regularly scheduled meetings. During the six months ended June 30, the Fed sliced 275 basis points (2.75 percentage points) off the cost of short-term borrowing. The Fed explained that it hoped to stimulate capital spending, which declined sharply during the half-year. Corporate America made especially sharp cuts in spending on information technology--investments that had helped to power the U.S. economy's rapid growth during the late 1990s. Big industrial manufacturers struggled, too, as a strong dollar and weak global economy pinched worldwide spending on capital goods. 1 In sharp contrast with the industrial economy, the consumer economy proved unexpectedly resilient. Housing starts and sales remained strong, and spending at the nation's malls and shopping centers sufficed to keep the economy out of recession. The job market weakened somewhat, as initial claims for unemployment benefits rose, and several high-profile employers announced layoffs. Still, consumers remained generally confident about the economy's prospects. MARKET BAROMETER TOTAL RETURNS PERIODS ENDED JUNE 30, 2001 SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------------------- STOCKS S&P 500 INDEX (Large-caps) -6.7% -14.8% 14.5% RUSSELL 2000 INDEX (Small-caps) 6.9 0.6 9.6 WILSHIRE 5000 INDEX (Entire market) -5.8 -15.4 13.1 MSCI EAFE INDEX (International) -14.4 -23.3 3.2 - -------------------------------------------------------------------------------- BONDS LEHMAN AGGREGATE BOND INDEX (Entire market) 3.6% 11.2% 7.5% LEHMAN 10 YEAR MUNICIPAL BOND INDEX 2.8 9.5 6.6 SALOMON SMITH BARNEY 3-MONTH U.S. TREASURY BILL INDEX 2.5 5.6 5.2 ================================================================================ CPI CONSUMER PRICE INDEX 2.3% 3.2% 2.6% - -------------------------------------------------------------------------------- *Annualized. Corporate profits proved less resilient, following the bleaker fortunes of the industrial economy. Big cuts in corporate America's capital spending produced a spate of earnings warnings and shortfalls that prolonged the U.S. stock market's struggles, especially among large-cap growth stocks. But even as large, highly valued stocks took down the broad market indexes, smaller stocks and value stocks--those issues with low prices relative to fundamental measures such as earnings and book value--turned in relatively strong performances. For example, small value stocks, as measured by the Russell 2000 Value Index, returned 12.7% for the six-month period. International stocks followed the same pattern: Relative strength among smaller value stocks was offset by weakness in growth stocks. Most stock markets finished the half-year with losses in their local currencies. A strong dollar exacerbated the losses for U.S.-based investors. Bonds delivered solid returns. On balance, the prices of shorter-term government bonds got the biggest boost from the Fed's rate-cut campaign. (Bond prices move in the opposite direction from interest rates.) Longer-term rates declined initially, but then rose, perhaps signaling investor concerns about inflation. For the six months, short- and intermediate-term government bonds outperformed their long-term counterparts. In contrast, among corporate bonds, long-term issues bested shorter-term ones, with all maturities benefiting from narrowing spreads between the interest rates paid by corporate and U.S. Treasury bonds. 2 PERFORMANCE OVERVIEW During the past six months, the 500 Index Fund returned -6.8%, nearly matching the return of its benchmark, the S&P 500 Index. The differential of 0.1 percentage point is attributable to the expenses incurred by a real-world fund, but not by the index's theoretical portfolio. The fund's half-year results reflect weakness among the large-cap stocks that dominate the fund and its benchmark. -------------------- THE LARGE TECHNOLOGY STOCKS THAT MAKE UP ABOUT ONE-FIFTH OF THE S&P 500 INDEX TURNED IN SOME OF THE MARKET'S WORST RESULTS DURING THE FIRST HALF OF 2001. -------------------- After years of stunning performance in the late 1990s, the large technology stocks that currently make up about one-fifth of the S&P 500 Index turned in some of the market's worst results during the first half of 2001. A number of large technology companies reported weak earnings and warned that worse may be in store due to overcapacity and widespread reductions in business spending on technology. Because these stocks had been priced very optimistically, the correction was severe. Big pharmaceutical stocks, which account for roughly 13% of the index, also pulled back. These stocks enjoyed a powerful run in 2000, but the market grew more cautious about health care stocks in the first half of 2001. Analysts have voiced concern about the depth of the product pipelines of some big drugmakers and about the potential for a more hostile regulatory climate, which could slow profit growth. Consumer services stocks--retailers, restaurants, cosmetics makers, and other companies that capitalize on the American consumer's continuing willingness to spend--registered strong gains, offsetting some of the weakness in technology and health care. IN SUMMARY This August marks the 25th anniversary of the Vanguard 500 Index Fund. Although indexing was slow to catch on in the fund's early years, the concept has since become an essential component of many investment programs. An index fund's virtues are powerful yet simple--broad diversification within an asset class or subclass, a disciplined investment mandate, tax efficiency, and rock-bottom operating and transaction costs. We believe that index funds should serve as the core of most investors' portfolios. - ---------------------------- ALTHOUGH INDEXING WAS SLOW TO CATCH ON, THE CONCEPT HAS SINCE BECOME AN ESSENTIAL COMPONENT OF MANY INVESTORS' PLANS. - ---------------------------- The attributes that make indexing a sensible strategy offer lessons about building an investment portfolio. During the past six months, for example, the disparate performances of stocks and bonds--or even of small and large stocks--underscored the importance of diversification as a means of limiting 3 the inevitable risks of financial markets. Like an index fund, an investment program can also benefit from the discipline of sticking to a well-crafted plan through good markets and bad. Finally, as the success of the 500 Index Fund has demonstrated over the past quarter of a century, you can enhance your returns by keeping your investment costs low. The stock market's decline over the past 18 months has frightened some investors. However, we suggest that you hold a balanced portfolio of low-cost stock funds, bond funds, and short-term investments in proportions appropriate for your goals, time horizon, financial situation, and risk tolerance. Once you have devised such a plan, stay the course. We thank you for entrusting your hard-earned dollars to us. Sincerely, /S/ JOHN J. BRENNAN July 11, 2001 [PHOTO OF JOHN J. BRENNAN] JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER 4 FUND PROFILE As of June 30, 2001 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 6. - ---------------------------------------------------------- PORTFOLIO CHARACTERISTICS S&P FUND 500 - ---------------------------------------------------------- Number of Stocks 507 500 Median Market Cap $60.4B $60.4B Price/Earnings Ratio 26.4x 26.4x Price/Book Ratio 3.9x 3.9x Yield 1.1% 1.3% Yield--Admiral Shares 1.2% 1.3% Return on Equity 24.4% 24.4% Earnings Growth Rate 15.5% 15.5% Foreign Holdings 1.4% 1.4% Turnover Rate 4%* -- Expense Ratio 0.18%* -- Expense Ratio--Admiral Shares 0.12%* -- Cash Investments 0.0% -- - ---------------------------------------------------------- - ----------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) General Electric Co. 4.4% (conglomerate) Microsoft Corp. 3.5 (software) Exxon Mobil Corp. 2.7 (oil) Citigroup, Inc. 2.4 (financial services) Pfizer, Inc. 2.3 (pharmaceuticals) AOL Time Warner Inc. 2.1 (media) Wal-Mart Stores, Inc. 2.0 (retail) American International Group, Inc. 1.8 (insurance) Intel Corp. 1.8 (computer hardware) International Business Machines Corp. 1.8 (computer technology) - ----------------------------------------------- Top Ten 24.8% - ----------------------------------------------- - ---------------------------------------------------------- VOLATILITY MEASURES S&P FUND 500 - ---------------------------------------------------------- R-SQUARD 1.00 1.00 BETA 1.00 1.00 - ---------------------------------------------------------- - ---------------------------------------------------------- SECTOR DIVERSIFICATION (% of common stocks) S&P FUND 500 - ---------------------------------------------------------- Auto & Transportation 1.9% 1.9% Consumer Discretionary 12.9 12.9 Consumer Staples 6.8 6.8 Financial Services 19.1 19.1 Health Care 12.8 12.8 Integrated Oils 5.4 5.4 Other Energy 2.1 2.1 Materials & Processing 2.8 2.8 Producer Durables 3.0 3.0 Technology 17.8 17.8 Utilities 8.7 8.7 Other 6.7 6.7 - ---------------------------------------------------------- - ----------------------------- INVESTMENT FOCUS [GRAPHIC] MARKET CAP LARGE STYLE BLEND - ----------------------------- *Annualized. [PHOTO OF COMPUTER] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 5 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-SQUARD. 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. - -------------------------------------------------------------------------------- 6 PERFORMANCE SUMMARY 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. 500 INDEX FUND - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) December 31, 1990-June 30, 2001 [BAR CHART SCALE -30% TO 50%] 500 INDEX FUND INVESTOR SHARES S&P 500 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 2001 -6.8 -6.7 - -------------------------------------------------------------------------------- *Six months ended June 30, 2001. See Financial Highlights table on page 17 for dividend and capital gains information for the past five years. 7 FINANCIAL STATEMENTS June 30, 2001 (unaudited) STATEMENTS 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 FUND SHARES (000) - ---------------------------------------------------------------------------------------------- COMMON STOCKS (99.4%)(1) - ---------------------------------------------------------------------------------------------- General Electric Co. 81,941,434 3,994,645 * Microsoft Corp. 44,398,820 3,241,114 Exxon Mobil Corp. 28,459,213 2,485,912 Citigroup, Inc. 41,482,426 2,191,931 Pfizer, Inc. 52,076,967 2,085,683 * AOL Time Warner Inc. 36,547,398 1,937,012 Wal-Mart Stores, Inc. 36,879,807 1,799,735 American International Group, Inc. 19,232,573 1,654,001 Intel Corp. 55,466,917 1,622,407 International Business Machines Corp. 14,334,939 1,619,848 Johnson & Johnson 24,984,072 1,249,204 Merck & Co., Inc. 18,910,394 1,208,563 Verizon Communications 22,311,857 1,193,684 SBC Communications Inc. 27,779,319 1,112,840 * Cisco Systems, Inc. 60,354,816 1,098,458 Royal Dutch Petroleum Co. ADR 17,683,775 1,030,434 The Coca-Cola Co. 20,511,720 923,027 Philip Morris Cos., Inc. 18,139,179 920,563 Home Depot, Inc. 19,249,703 896,074 * Oracle Corp. 46,316,761 880,018 Tyco International Ltd. 15,976,948 870,744 Bristol-Myers Squibb Co. 16,035,013 838,631 Bank of America Corp. 13,225,000 793,897 * Viacom Inc. Class B 14,543,502 752,626 J.P. Morgan Chase & Co. 16,380,394 730,566 Fannie Mae 8,253,140 702,755 Eli Lilly & Co. 9,272,834 686,190 The Procter & Gamble Co. 10,685,561 681,739 Wells Fargo & Co. 14,153,413 657,143 American Home Products Corp. 10,845,173 633,792 AT&T Corp. 28,470,480 626,350 BellSouth Corp. 15,462,554 622,677 Abbott Laboratories 12,776,866 613,417 Morgan Stanley Dean Witter & Co. 9,181,484 589,727 * Dell Computer Corp. 21,460,494 561,192 PepsiCo, Inc. 12,070,339 533,509 * EMC Corp. 18,208,371 528,953 * Amgen, Inc. 8,608,556 522,367 The Walt Disney Co. 17,236,243 497,955 Pharmacia Corp. 10,733,942 493,225 Chevron Corp. 5,294,644 479,165 Medtronic, Inc. 9,971,661 458,796 Hewlett-Packard Co. 16,014,685 458,020 Texas Instruments, Inc. 14,330,390 451,407 Schering-Plough Corp. 12,075,493 437,616 Qwest Communications International Inc. 13,711,332 436,980 American Express Co. 10,916,329 423,553 * Sun Microsystems, Inc. 26,859,777 422,236 E.I. du Pont de Nemours & Co. 8,606,911 415,197 Merrill Lynch & Co., Inc. 6,918,093 409,897 The Boeing Co. 7,201,154 400,384 Freddie Mac 5,714,249 399,997 8 - ---------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ---------------------------------------------------------------------------------------------- Minnesota Mining & Manufacturing Co. 3,267,751 372,850 Ford Motor Co. 15,092,439 370,519 * QUALCOMM, Inc. 6,248,163 365,393 U.S. Bancorp 15,722,613 358,318 FleetBoston Financial Corp. 8,939,355 352,658 Bank One Corp. 9,614,863 344,212 * WorldCom, Inc.-WorldCom Group 23,811,543 338,124 * Applied Materials, Inc. 6,708,990 329,411 Anheuser-Busch Cos., Inc. 7,404,196 305,053 * Clear Channel Communications, Inc. 4,849,021 304,034 * Comcast Corp. Special Class A 6,986,281 303,205 Texaco Inc. 4,544,144 302,640 Enron Corp. 6,158,096 301,747 Motorola, Inc. 18,099,083 299,721 The Bank of New York Co., Inc. 6,067,742 291,252 General Motors Corp. 4,523,833 291,109 McDonald's Corp. 10,670,549 288,745 Walgreen Co. 8,398,488 286,808 Fifth Third Bancorp 4,748,395 285,141 United Technologies Corp. 3,881,810 284,381 First Union Corp. 8,102,613 283,105 Unilever NV ADR 4,717,579 281,026 Alcoa Inc. 7,124,279 280,696 Colgate-Palmolive Co. 4,629,146 273,073 Washington Mutual, Inc. 7,238,498 271,806 Allstate Corp. 5,978,119 262,977 Target Corp. 7,408,627 256,338 Automatic Data Processing, Inc. 5,154,814 256,194 Household International, Inc. 3,826,279 255,213 Cardinal Health, Inc. 3,678,089 253,788 Gillette Co. 8,710,810 252,526 Schlumberger Ltd. 4,728,947 248,979 Duke Energy Corp. 6,370,662 248,520 Dow Chemical Co. 7,413,102 246,486 Kimberly-Clark Corp. 4,392,586 245,546 Electronic Data Systems Corp. 3,860,672 241,292 Baxter International, Inc. 4,884,396 239,335 Nortel Networks Corp. 26,315,289 239,206 Honeywell International Inc. 6,672,832 233,482 MBNA Corp. 7,030,232 231,646 Lowe's Cos., Inc. 3,174,266 230,293 Marsh & McLennan Cos., Inc. 2,275,323 229,808 El Paso Corp. 4,201,116 220,727 * Veritas Software Corp. 3,283,034 218,420 Compaq Computer Corp. 13,940,700 215,941 Emerson Electric Co. 3,536,299 213,946 First Data Corp. 3,232,374 207,680 The Gap, Inc. 7,070,824 205,054 * Micron Technology, Inc. 4,920,872 202,248 HCA Inc. 4,434,949 200,415 * Safeway, Inc. 4,170,004 200,160 Metropolitan Life Insurance Co. 6,184,800 191,605 American General Corp. 4,118,521 191,305 * AES Corp. 4,390,035 188,991 * Sprint PCS 7,730,895 186,701 Mellon Financial Corp. 3,937,294 181,116 * Siebel Systems, Inc. 3,738,772 175,348 Charles Schwab Corp. 11,445,415 175,115 Lucent Technologies, Inc. 28,152,965 174,548 * Kohl's Corp. 2,743,087 172,074 Computer Associates International, Inc. 4,753,884 171,140 Exelon Corp. 2,646,087 169,667 * The Kroger Co. 6,689,246 167,231 UnitedHealth Group Inc. 2,617,942 161,658 Waste Management, Inc. 5,162,655 159,113 Illinois Tool Works, Inc. 2,508,498 158,788 Lehman Brothers Holdings, Inc. 2,034,472 158,180 ALLTEL Corp. 2,581,663 158,153 PNC Financial Services Group 2,385,321 156,930 SunTrust Banks, Inc. 2,413,828 156,368 Sprint Corp. 7,313,269 156,211 National City Corp. 4,955,781 152,539 * Costco Wholesale Corp. 3,706,004 152,243 Sysco Corp. 5,548,088 150,631 Conoco Inc. Class B 5,152,115 148,896 Carnival Corp. 4,823,634 148,086 Gannett Co., Inc. 2,180,845 143,718 International Paper Co. 3,980,957 142,120 Caterpillar, Inc. 2,833,150 141,799 Providian Financial Corp. 2,358,273 139,610 * Tenet Healthcare Corp. 2,672,033 137,850 AFLAC, Inc. 4,338,420 136,617 * Cendant Corp. 6,999,373 136,488 * JDS Uniphase Corp. 10,855,601 135,695 The Hartford Financial Services Group Inc. 1,954,915 133,716 State Street Corp. 2,684,732 132,867 Lockheed Martin Corp. 3,575,818 132,484 Williams Cos., Inc. 3,995,603 131,655 Omnicom Group Inc. 1,528,734 131,471 Southern Co. 5,628,956 130,873 General Dynamics Corp. 1,658,521 129,050 * Analog Devices, Inc. 2,975,318 128,682 Corning, Inc. 7,674,470 128,240 Halliburton Co. 3,540,006 126,024 CVS Corp. 3,245,132 125,262 Dynegy, Inc. 2,690,621 125,114 Paychex, Inc. 3,085,347 123,414 BB&T Corp. 3,360,516 123,331 Wachovia Corp. 1,732,939 123,299 9 - ---------------------------------------------------------------------------------------------- MARKET VALUE^ 500 INDEX FUND SHARES (000) - ---------------------------------------------------------------------------------------------- Sara Lee Corp. 6,500,244 123,115 American Electric Power Co., Inc. 2,664,002 122,997 Dominion Resources, Inc. 2,041,907 122,780 * Agilent Technologies, Inc. 3,774,490 122,671 Phillips Petroleum Co. 2,111,976 120,383 * Maxim Integrated Products, Inc. 2,708,792 119,756 * PeopleSoft, Inc. 2,425,611 119,413 CIGNA Corp. 1,234,982 118,336 H.J. Heinz Co. 2,876,940 117,638 Harley-Davidson, Inc. 2,493,829 117,409 Linear Technology Corp. 2,622,614 115,972 Southwest Airlines Co. 6,271,075 115,952 Sears, Roebuck & Co. 2,714,146 114,836 Northern Trust Corp. 1,833,756 114,610 * Xilinx, Inc. 2,745,112 113,208 Union Pacific Corp. 2,050,484 112,592 The Chubb Corp. 1,446,462 112,000 Eastman Kodak Co. 2,393,138 111,712 Anadarko Petroleum Corp. 2,066,389 111,647 Alcan Inc. 2,629,521 110,492 * NEXTEL Communications, Inc. 6,304,121 110,322 * Best Buy Co., Inc. 1,725,063 109,576 Transocean Sedco Forex Inc. 2,620,829 108,109 The McGraw-Hill Cos., Inc. 1,615,298 106,852 Loews Corp. 1,631,918 105,144 * Forest Laboratories, Inc. 1,457,703 103,497 Capital One Financial Corp. 1,719,330 103,160 General Mills, Inc. 2,349,553 102,863 * Concord EFS, Inc. 1,969,384 102,428 TXU Corp. 2,122,809 102,298 * FedEx Corp. 2,525,325 101,518 Albertson's, Inc. 3,341,609 100,215 Franklin Resources Corp. 2,184,365 99,978 The Quaker Oats Co. 1,090,966 99,551 Tribune Co. 2,466,136 98,670 * Solectron Corp. 5,389,839 98,634 USA Education Inc. 1,344,384 98,140 Burlington Northern Santa Fe Corp. 3,236,989 97,660 Weyerhaeuser Co. 1,775,850 97,619 Kellogg Co. 3,354,701 97,286 * Mirant Corp. 2,802,584 96,409 Marriott International, Inc. Class A 2,001,536 94,753 Masco Corp. 3,795,429 94,734 NIKE, Inc. Class B 2,228,391 93,570 * Yahoo!, Inc. 4,672,964 93,413 * Calpine Corp. 2,467,793 93,283 Allergan, Inc. 1,086,627 92,907 Baker Hughes, Inc. 2,770,316 92,806 Adobe Systems, Inc. 1,973,804 92,769 * Altera Corp. 3,191,007 92,539 * Broadcom Corp. 2,145,965 91,761 KeyCorp 3,509,886 91,433 * Guidant Corp. 2,534,850 91,255 Avon Products, Inc. 1,957,256 90,582 John Hancock Financial Services, Inc. 2,239,600 90,166 St. Paul Cos., Inc. 1,769,900 89,716 * KLA-Tencor Corp. 1,526,475 89,253 Stryker Corp. 1,618,489 88,774 Interpublic Group of Cos., Inc. 3,015,380 88,501 ConAgra Foods, Inc. 4,439,274 87,942 Wrigley, (Wm.) Jr. Co. 1,865,814 87,413 FPL Group, Inc. 1,451,494 87,394 McKesson HBOC, Inc. 2,353,805 87,373 Campbell Soup Co. 3,377,765 86,977 Air Products & Chemicals, Inc. 1,881,338 86,071 Pitney Bowes, Inc. 2,036,909 85,795 May Department Stores Co. 2,464,324 84,428 Comerica, Inc. 1,465,222 84,397 Public Service Enterprise Group, Inc. 1,721,474 84,180 Golden West Financial Corp. 1,308,633 84,067 * MedImmune Inc. 1,752,530 82,719 Progressive Corp. of Ohio 607,136 82,079 * Advanced Micro Devices, Inc. 2,821,893 81,496 Occidental Petroleum Corp. 3,054,679 81,224 * Comverse Technology, Inc. 1,412,275 80,641 Xcel Energy, Inc. 2,832,638 80,589 Lincoln National Corp. 1,550,207 80,223 * Chiron Corp. 1,567,117 79,923 Reliant Energy, Inc. 2,455,209 79,082 Raytheon Co. 2,925,105 77,662 Ralston-Ralston Purina Group 2,561,881 76,908 Progress Energy, Inc. 1,698,412 76,293 * King Pharmaceuticals, Inc. 1,414,800 76,046 Becton, Dickinson & Co. 2,119,610 75,861 Aon Corp. 2,157,293 75,505 USX-Marathon Group 2,547,122 75,166 Synovus Financial Corp. 2,383,016 74,779 * Bed Bath & Beyond, Inc. 2,382,295 74,328 Delphi Automotive Systems Corp. 4,626,170 73,695 TJX Cos., Inc. 2,310,096 73,623 * Univision Communications Inc. 1,719,998 73,582 Deere & Co. 1,939,674 73,417 PPG Industries, Inc. 1,391,719 73,163 SouthTrust Corp. 2,797,552 72,736 * Starbucks Corp. 3,130,253 71,996 Biomet, Inc. 1,476,662 70,968 * Lexmark International, Inc. 1,050,877 70,671 Entergy Corp. 1,821,714 69,936 Consolidated Edison Inc. 1,752,110 69,734 10 - ---------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ---------------------------------------------------------------------------------------------- Burlington Resources, Inc. 1,744,019 69,674 Hershey Foods Corp. 1,125,001 69,424 * Federated Department Stores, Inc. 1,633,323 69,416 IMS Health, Inc. 2,426,923 69,167 Unocal Corp. 2,007,504 68,556 * Intuit, Inc. 1,709,822 68,376 Archer-Daniels-Midland Co. 5,237,227 68,084 MBIA, Inc. 1,220,345 67,949 Mattel, Inc. 3,530,387 66,795 * Novellus Systems, Inc. 1,175,704 66,768 * Apple Computer, Inc. 2,859,336 66,479 * Biogen, Inc. 1,222,246 66,441 The Clorox Co. 1,952,639 66,097 PPL Corp. 1,200,485 66,027 Norfolk Southern Corp. 3,176,904 65,762 Danaher Corp. 1,172,410 65,655 * Fiserv, Inc. 1,025,036 65,582 * Tellabs, Inc. 3,380,489 65,514 Cintas Corp. 1,394,571 64,499 Textron, Inc. 1,166,030 64,178 MGIC Investment Corp. 882,279 64,089 UnumProvident Corp. 1,989,865 63,914 CSX Corp. 1,760,295 63,793 DTE Energy Co. 1,364,864 63,384 * Global Crossing Ltd. 7,318,886 63,235 Dover Corp. 1,678,532 63,197 Georgia Pacific Group 1,865,718 63,155 Praxair, Inc. 1,325,686 62,307 Starwood Hotels & Resorts Worldwide, Inc. 1,639,813 61,132 * Sanmina Corp. 2,611,114 61,126 Stilwell Financial, Inc. 1,810,050 60,745 Jefferson-Pilot Corp. 1,255,478 60,665 Regions Financial Corp. 1,882,337 60,235 * Staples, Inc. 3,747,848 59,928 Rohm & Haas Co. 1,815,952 59,745 FirstEnergy Corp. 1,847,066 59,402 Amerada Hess Corp. 731,968 59,143 Molex, Inc. 1,612,079 58,889 The Limited, Inc. 3,517,261 58,105 Rockwell International Corp. 1,505,989 57,408 Constellation Energy Group 1,343,143 57,218 J.C. Penney Co., Inc. 2,167,968 57,148 Coca-Cola Enterprises, Inc. 3,456,781 56,518 AmSouth Bancorp 3,055,234 56,491 * Boston Scientific Corp. 3,320,360 56,446 Northrop Grumman Corp. 703,468 56,348 * LSI Logic Corp. 2,981,571 56,054 Tosco Corp. 1,269,169 55,907 Devon Energy Corp. 1,060,879 55,696 Newell Rubbermaid, Inc. 2,202,832 55,291 New York Times Co. Class A 1,313,534 55,168 Ingersoll-Rand Co. 1,326,534 54,653 * Sabre Holdings Corp. 1,088,093 54,405 Charter One Financial, Inc. 1,705,320 54,400 Xerox Corp. 5,675,712 54,317 Scientific-Atlanta, Inc. 1,333,627 54,145 * Watson Pharmaceuticals, Inc. 873,793 53,861 * Citrix Systems, Inc. 1,530,804 53,425 Dollar General Corp. 2,732,125 53,276 * Tricon Global Restaurants, Inc. 1,210,196 53,128 Cincinnati Financial Corp. 1,328,988 52,495 Apache Corp. 1,032,245 52,386 * TMP Worldwide, Inc. 880,851 52,067 Kerr-McGee Corp. 779,275 51,643 Johnson Controls, Inc. 711,323 51,550 Bear Stearns Co., Inc. 866,931 51,123 * HEALTHSOUTH Corp. 3,191,965 50,976 AMBAC Financial Group Inc. 870,348 50,654 Barrick Gold Corp. 3,272,651 49,581 Union Planters Corp. 1,131,490 49,333 Allegheny Energy, Inc. 1,020,620 49,245 * QLogic Corp. 762,679 49,155 * Wellpoint Health Networks Inc. Class A 517,212 48,742 H & R Block, Inc. 754,214 48,685 * Jabil Circuit, Inc. 1,576,307 48,645 Ameren Corp. 1,135,393 48,481 Fortune Brands, Inc. 1,261,488 48,391 * Computer Sciences Corp. 1,394,945 48,265 * Teradyne, Inc. 1,443,411 47,777 Kinder Morgan, Inc. 945,564 47,515 The Pepsi Bottling Group, Inc. 1,178,360 47,252 RadioShack Corp. 1,535,647 46,837 Applera Corp-Applied Biosystems Group 1,744,782 46,673 Avery Dennison Corp. 912,004 46,558 NiSource, Inc. 1,700,594 46,477 * Kmart Corp. 4,031,456 46,241 Sempra Energy 1,689,775 46,198 Cinergy Corp. 1,315,697 45,984 * AMR Corp. 1,268,565 45,833 BMC Software, Inc. 2,012,980 45,372 * Nabors Industries, Inc. 1,214,401 45,176 Genuine Parts Co. 1,429,786 45,038 Delta Air Lines, Inc. 1,017,539 44,853 Vulcan Materials Co. 834,377 44,848 Countrywide Credit Industries, Inc. 974,130 44,693 Willamette Industries, Inc. 902,561 44,677 * Gateway, Inc. 2,667,708 43,884 Tiffany & Co. 1,205,422 43,660 Moody's Corp. 1,299,955 43,548 Ecolab, Inc. 1,049,524 42,999 * Convergys Corp. 1,419,763 42,948 Equifax, Inc. 1,169,966 42,914 Dow Jones & Co., Inc. 712,778 42,560 11 - ---------------------------------------------------------------------------------------------- MARKET VALUE^ 500 INDEX FUND SHARES (000) - ---------------------------------------------------------------------------------------------- * Compuware Corp. 3,039,008 42,516 * Applied Micro Circuits Corp. 2,469,755 42,480 * ADC Telecommunications, Inc. 6,431,981 42,451 * St. Jude Medical, Inc. 702,378 42,143 TRW, Inc. 1,027,536 42,129 Torchmark Corp. 1,042,952 41,937 * National Semiconductor Corp. 1,439,303 41,913 KeySpan Corp. 1,124,978 41,039 Symbol Technologies, Inc. 1,846,121 40,984 Parker Hannifin Corp. 963,511 40,891 * Mercury Interactive Corp. 681,827 40,841 * Toys R Us, Inc. 1,630,901 40,365 Eaton Corp. 565,743 39,659 UST, Inc. 1,345,805 38,840 * Unisys Corp. 2,605,954 38,334 * Conseco Inc. 2,782,533 37,982 Zions Bancorp 642,600 37,913 T. Rowe Price Group Inc. 1,002,480 37,483 * NCR Corp. 791,882 37,218 * Network Appliance, Inc. 2,686,017 36,798 The Goodyear Tire & Rubber Co. 1,311,575 36,724 * Noble Drilling Corp. 1,106,367 36,234 * Robert Half International, Inc. 1,454,775 36,209 Brown-Forman Corp. Class B 565,545 36,161 Knight Ridder 605,785 35,923 PG&E Corp. 3,198,149 35,819 Leggett & Platt, Inc. 1,620,606 35,702 * Cabletron Systems, Inc. 1,552,542 35,476 Hilton Hotels Corp. 3,046,414 35,338 CenturyTel, Inc. 1,162,182 35,214 Harcourt General, Inc. 605,020 35,206 * Comcast Corp. Class A 813,477 34,939 GPU, Inc. 986,253 34,667 * AutoZone Inc. 924,308 34,661 Whirlpool Corp. 549,888 34,368 * Harrah's Entertainment, Inc. 964,428 34,044 EOG Resources, Inc. 956,506 34,004 Huntington Bancshares Inc. 2,072,835 33,891 VF Corp. 923,867 33,610 Pinnacle West Capital Corp. 699,943 33,177 * Thermo Electron Corp. 1,487,009 32,744 PACCAR, Inc. 631,908 32,493 Goodrich Corp. 849,360 32,259 ITT Industries, Inc. 726,346 32,141 * Vitesse Semiconductor Corp. 1,526,094 32,109 * Avaya Inc. 2,335,885 32,002 W.W. Grainger, Inc. 776,311 31,953 Nucor Corp. 643,332 31,453 SAFECO Corp. 1,055,033 31,123 * Parametric Technology Corp. 2,196,583 30,730 Circuit City Stores, Inc. 1,700,461 30,608 Cooper Industries, Inc. 771,444 30,541 * Aetna Inc. 1,175,158 30,401 * Allied Waste Industries, Inc. 1,626,887 30,390 Winn-Dixie Stores, Inc. 1,161,048 30,338 Eastman Chemical Co. 635,418 30,265 CMS Energy Corp. 1,081,452 30,118 Newmont Mining Corp. 1,613,374 30,025 Edison International 2,692,375 30,020 The Stanley Works 710,659 29,755 Fluor Corp. 649,442 29,322 Sherwin-Williams Co. 1,300,906 28,880 R.R. Donnelley & Sons Co. 968,872 28,775 Dana Corp. 1,222,595 28,535 * Palm, Inc. 4,680,816 28,413 * Citizens Communications Co. 2,336,802 28,112 Engelhard Corp. 1,073,127 27,676 Darden Restaurants Inc. 978,554 27,302 Phelps Dodge Corp. 650,529 26,997 * Manor Care, Inc. 848,824 26,950 Placer Dome, Inc. 2,706,336 26,522 Black & Decker Corp. 667,300 26,332 * Inco Ltd. 1,502,714 25,937 * Sealed Air Corp. 691,345 25,753 Sunoco, Inc. 700,761 25,669 * Office Depot, Inc. 2,462,033 25,556 * American Power Conversion Corp. 1,609,732 25,353 Sigma-Aldrich Corp. 624,564 24,121 * Quintiles Transnational Corp. 953,508 24,076 Wendy's International, Inc. 940,489 24,020 C.R. Bard, Inc. 421,563 24,008 Pall Corp. 1,013,083 23,838 Millipore Corp. 383,054 23,742 * Niagara Mohawk Holdings Inc. 1,324,245 23,426 Ashland, Inc. 574,952 23,055 PerkinElmer, Inc. 825,486 22,726 The Mead Corp. 819,000 22,228 Temple-Inland Inc. 407,375 21,709 Liz Claiborne, Inc. 428,269 21,606 * Tektronix, Inc. 781,732 21,224 Hasbro, Inc. 1,424,454 20,583 Nordstrom, Inc. 1,107,468 20,544 Westvaco Corp. 831,673 20,201 Centex Corp. 490,066 19,970 Visteon Corp. 1,083,043 19,906 International Flavors & Fragrances, Inc. 790,344 19,861 Alberto-Culver Co. Class B 466,510 19,612 SuperValu Inc. 1,094,956 19,216 Maytag Corp. 635,736 18,602 * Conexant Systems, Inc. 2,016,008 18,043 Bemis Co., Inc. 440,897 17,711 * Pactiv Corp. 1,306,827 17,511 Brunswick Corp. 722,695 17,366 * FMC Corp. 251,911 17,271 * Rowan Cos., Inc. 779,777 17,233 12 - ---------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ---------------------------------------------------------------------------------------------- Deluxe Corp. 594,034 17,168 Homestake Mining Co. 2,177,049 16,872 Boise Cascade Corp. 475,699 16,730 Autodesk, Inc. 444,893 16,594 Bausch & Lomb, Inc. 441,072 15,984 Crane Co. 499,793 15,494 Adolph Coors Co. Class B 305,006 15,305 * Reebok International Ltd. 472,521 15,097 * Novell, Inc. 2,625,641 14,940 Meredith Corp. 412,955 14,788 USX-U.S. Steel Group 733,197 14,774 NICOR, Inc. 377,826 14,728 Pulte Homes, Inc. 336,582 14,348 * Navistar International Corp. 489,690 13,775 * Humana, Inc. 1,397,494 13,765 * US Airways Group, Inc. 554,807 13,482 Cummins Inc. 342,087 13,239 Great Lakes Chemical Corp. 414,901 12,800 * Big Lots Inc. 921,686 12,609 * Andrew Corp. 671,668 12,392 Allegheny Technologies Inc. 664,470 12,020 Peoples Energy Corp. 292,056 11,741 Snap-On Inc. 481,643 11,636 * Freeport-McMoRan Copper & Gold, Inc. Class B 1,020,390 11,275 Tupperware Corp. 479,456 11,234 * BroadVision, Inc. 2,224,303 11,122 Dillard's Inc. 723,208 11,043 KB Home 364,424 10,995 Ball Corp. 228,955 10,889 * Power-One, Inc. 648,506 10,791 Thomas & Betts Corp. 480,416 10,603 Louisiana-Pacific Corp. 862,686 10,119 Hercules, Inc. 892,536 10,086 * Sapient Corp. 1,004,392 9,793 Ryder System, Inc. 495,244 9,707 Worthington Industries, Inc. 704,904 9,587 ONEOK, Inc. 483,697 9,529 Cooper Tire & Rubber Co. 601,602 8,543 The Timken Co. 497,465 8,427 Potlatch Corp. 235,772 8,113 National Service Industries, Inc. 338,532 7,641 * Viacom Inc. Class A 143,386 7,605 * McDermott International, Inc. 499,114 5,815 American Greetings Corp. Class A 527,049 5,797 * WorldCom, Inc.-MCI Group 135,131 2,176 * Freeport-McMoRan Copper & Gold, Inc. Class A 176,683 1,772 Molex, Inc. Class A 4,051 121 Alberto-Culver Co. Class A 1,000 35 - ---------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $64,758,087) 90,984,074 - ---------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.6%)(1) - ---------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 4.13%, 8/6/2001 $ 10,000 $ 9,965 (2) 4.18%, 7/26/2001 7,000 6,983 (2) 4.63%, 7/12/2001 12,000 11,988 (2) 4.64%, 7/12/2001 8,000 7,992 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 4.07%, 7/2/2001 486,022 486,022 - ---------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $522,933) 522,950 - ---------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.0%) (COST $65,281,020) 91,507,024 - ---------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES - ---------------------------------------------------------------------------------------------- Other Assets--Note B 286,494 Liabilities (311,418) ------------ (24,924) ------------ - ---------------------------------------------------------------------------------------------- NET ASSETS (100%) $91,482,100 ==============================================================================================
* 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 E in Notes to Financial Statements. (2)Securities with an aggregate value of $36,928,000 have been segregated as initial margin for open futures contracts. ADR-American Depositary Receipt. 13 - -------------------------------------------------------------------------------- AMOUNT 500 INDEX FUND (000) - -------------------------------------------------------------------------------- AT JUNE 30, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital--Note D $65,955,592 Overdistributed Net Investment Income (27,171) Accumulated Net Realized Losses--Note D (648,548) Unrealized Appreciation (Depreciation)--Note E Investment Securities 26,226,004 Futures Contracts (23,777) - -------------------------------------------------------------------------------- NET ASSETS $91,482,100 ================================================================================ Investor Shares-Net Assets Applicable to 695,559,741 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $78,610,494 ================================================================================ NET ASSET VALUE PER SHARE- INVESTOR SHARES $113.02 ================================================================================ Admiral Shares-Net Assets Applicable to 113,887,917 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $12,871,606 ================================================================================ NET ASSET VALUE PER SHARE- ADMIRAL SHARES $113.02 ================================================================================ 14 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 SIX MONTHS ENDED JUNE 30, 2001 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 557,482 Interest 6,870 Security Lending 168 - -------------------------------------------------------------------------------- Total Income 564,520 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 79 Management and Administrative--Investor Shares 65,439 Management and Administrative--Admiral Shares 6,159 Marketing and Distribution--Investor Shares 6,533 Marketing and Distribution--Admiral Shares 353 Custodian Fees 178 Auditing Fees 6 Shareholders' Reports--Investor Shares 840 Shareholders' Reports--Admiral Shares -- Trustees' Fees and Expenses 86 - -------------------------------------------------------------------------------- Total Expenses 79,673 Expenses Paid Indirectly--Note C (8) - -------------------------------------------------------------------------------- Net Expenses 79,665 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 484,855 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold 89,305 Futures Contracts 14,772 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) 104,077 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (7,122,647) Futures Contracts (23,164) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (7,145,811) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(6,556,879) ================================================================================ 15 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 net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. - -------------------------------------------------------------------------------- 500 INDEX FUND -------------------------------- SIX MONTHS YEAR ENDED ENDED JUNE 30, 2001 DEC. 31, 2000 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 484,855 $ 1,009,039 Realized Net Gain (Loss) 104,077 1,206,729 Change in Unrealized Appreciation (Depreciation) (7,145,811) (11,797,171) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (6,556,879) (9,581,403) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (396,570) (996,555) Admiral Shares (63,210) (24,781) Realized Capital Gain Investor Shares -- -- Admiral Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (459,780) (1,021,336) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Investor Shares (3,381,597) (6,012,890) Admiral Shares 5,402,825 8,440,834 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 2,021,228 2,427,944 - -------------------------------------------------------------------------------- Total Increase (Decrease) (4,995,431) (8,174,795) - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 96,477,531 104,652,326 - -------------------------------------------------------------------------------- End of Period $91,482,100 $ 96,477,531 ================================================================================ 16 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 YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 1998 1997 1996 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $121.86 $135.33 $113.95 $ 90.07 $69.17 $57.60 - ----------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .60 1.29 1.370 1.33 1.31 1.28 Net Realized and Unrealized Gain (Loss) on Investments (8.87) (13.46) 22.415 24.30 21.50 11.82 - ----------------------------------------------------------------------------------------------------- Total from Investment Operations (8.27) (12.17) 23.785 25.63 22.81 13.10 - ----------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.57) (1.30) (1.410) (1.33) (1.32) (1.28) Distributions from Realized Capital Gains -- -- (.995) (.42) (.59) (.25) - ----------------------------------------------------------------------------------------------------- Total Distributions (.57) (1.30) (2.405) (1.75) (1.91) (1.53) - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $113.02 $121.86 $135.33 $113.95 $90.07 $69.17 ===================================================================================================== TOTAL RETURN* -6.77% -9.06% 21.07% 28.62% 33.19% 22.88% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $78,610 $88,240 $104,652 $74,229 $49,358 $30,332 Ratio of Total Expenses to Average Net Assets 0.18%^ 0.18% 0.18% 0.18% 0.19% 0.20% Ratio of Net Investment Income to Average Net Assets 1.05%^ 0.98% 1.13% 1.35% 1.66% 2.04% Portfolio Turnover Rate** 4%^ 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 3%, 7%, 3%, 3%, 3%, and 2%, respectively. ^Annualized. 17 FINANCIAL HIGHLIGHTS (continued) - -------------------------------------------------------------------------------- 500 INDEX FUND ADMIRAL SHARES -------------------------------- FOR A SHARE OUTSTANDING SIX MONTHS ENDED NOV. 13* TO THROUGHOUT EACH PERIOD JUNE 30, 2001 DEC. 31, 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $121.87 $124.88 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .641 .179 Net Realized and Unrealized Gain (Loss) on Investments (8.889) (2.808) - -------------------------------------------------------------------------------- Total from Investment Operations (8.248) (2.629) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.602) (.381) Distributions from Realized Capital Gains -- -- - -------------------------------------------------------------------------------- Total Distributions (.602) (.381) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $113.02 $121.87 ================================================================================ TOTAL RETURN -6.75% -2.10% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $12,872 $8,237 Ratio of Total Expenses to Average Net Assets 0.12%^ 0.12%^ Ratio of Net Investment Income to Average Net Assets 1.11%^ 1.03%^ Portfolio Turnover Rate** 4%^ 9% ================================================================================ *Inception. **Portfolio turnover rates excluding in-kind redemptions were 3% and 7%, respectively. ^Annualized. 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. The fund offers two classes of shares, Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares were first issued on November 13, 2000, and are designed for investors who meet certain administrative, servicing, tenure, and account- size criteria. 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. 18 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. REPUIRCHASE 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. Each class of shares has equal rights to assets and earnings, except that each class separately 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. 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 June 30, 2001, the fund had contributed capital of $17,436,000 to Vanguard (included in Other Assets), representing 0.02% of the fund's net assets and 17.4% 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 six months ended June 30, 2001, custodian fee offset arrangements reduced expenses by $8,000. 19 D. During the six months ended June 30, 2001, the fund purchased $3,334,059,000 of investment securities and sold $1,715,856,000 of investment securities other than temporary cash investments. During the six months ended June 30, 2001, the fund realized $403,640,000 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. E. At June 30, 2001, net unrealized appreciation of investment securities for financial reporting and federal income tax purposes was $26,226,004,000, consisting of unrealized gains of $33,122,153,000 on securities that had risen in value since their purchase and $6,896,149,000 in unrealized losses on securities that had fallen in value since their purchase. At June 30, 2001, the aggregate settlement value of open futures contracts expiring in September 2001, and the related unrealized depreciation were: - -------------------------------------------------------------------------------- (000) ----- - -------------------------------------------------------------------------------- AGGREGATE NUMBER OF SETTLEMENT UNREALIZED Futures Contracts LONG CONTRACTS VALUE DEPRECIATION - -------------------------------------------------------------------------------- S&P 500 Index 1,685 $518,854 $(23,777) - -------------------------------------------------------------------------------- F. Shares issued and redeemed for each class of shares were:
- -------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2001 DECEMBER 31, 2000 AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - -------------------------------------------------------------------------------------------------------------- Investor Shares Issued $ 8,292,277 $ 72,130 $21,080,340 $ 60,587 Issued in Lieu of Cash Distributions 369,736 3,376 913,406 6,963 Redeemed (12,043,610) (104,038) (28,006,636) (216,760) Net Increase (Decrease)--Investor Shares (3,381,597) (28,532) (6,012,890) (49,210) Admiral Shares Issued $5,919,887 50,864 $8,492,434 68,010 Issued in Lieu of Cash Distributions 54,004 492 21,150 175 Redeemed (571,066) (5,060) (72,750) (593) Net Increase (Decrease)--Admiral Shares 5,402,825 46,296 8,440,834 67,592 - --------------------------------------------------------------------------------------------------------------
20 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. The majority of Vanguard's 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. CHARLES D. ELLIS (2001) Retired Managing Partner of Greenwich Associates; Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. 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 R. GREGORY BARTON, Secretary; Managing Director-Legal 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. [SHIP GRAPHIC] THE VANGUARD GROUP(R) 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&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. WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 DIRECT INVESTOR 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. Q402 082001 VANGUARD(R) U.S. STOCK INDEX FUNDS SMALL-CAPITALIZATION PORTFOLIOS Semiannual Report - June 30, 2001 STOCK Included within this report: VANGUARD SMALL-CAP INDEX FUND VANGUARD SMALL-CAP GROWTH INDEX FUND VANGUARD SMALL-CAP VALUE INDEX FUND [PHOTO OF COMPASS/SHIP] [THE VANGUARD GROUP(R) LOGO] WHY COSTS MATTER As the ups and downs of the financial markets remind us, investors cannot control or predict investment returns. What you can control is how much you invest, how much explicit risk you take, and the investment costs you incur. Only you can decide how much to invest. But Vanguard can help you to manage the risk and costs of your investment program. Our lineup of funds provides you with the flexibility to create a portfolio that reflects your goals and risk tolerance. All of our funds--whether indexed or actively managed--follow disciplined investment strategies. Vanguard funds also operate at cost, which means substantial savings for you. In 2000, the average expense ratio (operating costs as a percentage of average net assets) for our funds was 0.27%, or $2.70 per $1,000 in assets. This was a fraction of the 1.30% ($13 per $1,000 in assets) expense ratio for the average fund, according to Lipper Inc. Costs matter because they are subtracted from a fund's gross returns. The lower your investment expenses, the greater the portion of the market's return you receive. At Vanguard, we know that it's your money we're managing, and that our duty is to manage it responsibly and economically. SUMMARY * The overall stock market declined during the first half of 2001, but small-capitalization stocks generally performed well. * The total returns of our funds during the period ranged from 0% for Vanguard Small-Cap Growth Index Fund to 12.4% for Vanguard Small-Cap Value Index Fund. * Each of the funds outperformed its unmanaged target index--no easy task considering the hurdle posed by investment costs. CONTENTS 1 Letter from the Chairman 5 Fund Profiles 8 Glossary of Investment Terms 9 Performance Summaries 11 Financial Statements 54 Advantages of Vanguard.com LETTER from the Chairman Fellow Shareholder, The overall stock market declined during the six months ended June 30, the first half of fiscal 2001 for the Vanguard small-capitalization stock index funds. Large-cap stocks were generally hit hard. Smaller stocks, particularly value-oriented shares, performed well. VANGUARD SMALL-CAP INDEX FUND posted a solid return of 7.6%, while VANGUARD SMALL-CAP VALUE INDEX FUND delivered an excellent 12.4% gain. VANGUARD SMALL-CAP GROWTH INDEX FUND did not escape the weakness in growth stocks; it returned 0% for the half-year. As shown in the adjacent table, all of the funds were able to slightly outperform their unmanaged target indexes during the period. Our Small-Cap Growth Index Fund also outperformed its average mutual fund peer, while our other funds trailed the average returns for their peer groups. The table also presents total returns (capital change plus reinvested dividends) for our funds' Admiral(TM)and Institutional Shares, which require minimum initial investments of $250,000 and $10 million, respectively. Each fund's total return is based on the change in its net asset value during the six months. The Small-Cap Value Index Fund's return also reflects a distribution of $0.44 paid from net realized capital gains. The table on page 4 presents per-share figures for each fund. TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2001 - ----------------------------------------------------- SMALL-CAP INDEX FUND Investor Shares 7.6% Admiral Shares 7.6 Institutional Shares 7.7 Average small-cap core fund* 8.9 Russell 2000 Index 6.9 - ----------------------------------------------------- SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES 0.0% Institutional Shares 0.0 Average Small-Cap Growth Fund* -4.8 S&P SmallCap 600/BARRA Growth Index -0.5 - ----------------------------------------------------- SMALL-CAP VALUE INDEX FUND INVESTOR SHARES 12.4% Institutional Shares 12.4 Average Small-Cap Value Fund* 14.8 S&P SmallCap 600/BARRA Value Index 11.8 - ----------------------------------------------------- *Derived from data provided by Lipper Inc. FINANCIAL MARKETS IN REVIEW Most reports suggested that the pace of U.S. economic activity slowed markedly during the first half of 2001, compared with the same period a year earlier. The Federal Reserve Board's Open Market Committee responded with six cuts in 1 short-term interest rates. In all, the Fed sliced 275 basis points (2.75 percentage points) off the cost of short- term borrowing, moving its target federal funds rate to 3.75%. The Fed hoped to stimulate capital spending, which declined significantly. Corporate America made especially sharp cuts in spending on information technology--investments that had helped to power the U.S. economy during the 1990s. Manufacturers struggled, too, as a strong dollar and weak global economy pinched worldwide spending on capital goods. MARKET BAROMETER PERIODS ENDED JUNE 30, 2001 SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------------------- STOCKS S&P 500 INDEX (Large-caps) -6.7% -14.8% 14.5% RUSSELL 2000 INDEX (Small-caps) 6.9 0.6 9.6 WILSHIRE 5000 INDEX (Entire market) -5.8 -15.4 13.1 MSCI EAFE INDEX (International) -14.4 -23.3 3.2 - -------------------------------------------------------------------------------- BONDS LEHMAN AGGREGATE BOND INDEX (Entire market) 3.6% 11.2% 7.5% Lehman 10 Year Municipal Bond Index 2.8 9.5 6.6 SALOMON SMITH BARNEY 3-MONTH U.S. TREASURY BILL INDEX 2.5 5.6 5.2 ================================================================================ CPI CONSUMER PRICE INDEX 2.3% 3.2% 2.6% - -------------------------------------------------------------------------------- *Annualized. In contrast with the industrial economy, the consumer economy proved unexpectedly resilient. Housing starts and sales remained strong, and spending at the nation's malls and shopping centers sufficed to keep the economy out of recession. The job market weakened somewhat, as initial claims for unemployment benefits rose, and several high-profile employers announced layoffs. Still, consumers remained generally confident about the economy's prospects. Corporate profits proved less resilient, following the bleaker fortunes of the industrial economy. A spate of earnings warnings and shortfalls prolonged the U.S. stock market's struggles, especially among large-capitalization growth stocks. But even as large, highly valued stocks took down the broad market indexes, smaller stocks and value stocks--those issues with low prices relative to fundamental measures such as earnings and book value--turned in relatively strong performances. For example, small value stocks, as measured by the Russell 2000 Value Index, returned 12.7% for the six-month period. Bonds delivered solid results. The Lehman Brothers Aggregate Bond Index, a measure of the performance of all taxable, investment-grade bonds regularly traded in the United States, returned 3.6% for the half-year. PERFORMANCE OVERVIEW Our small-cap stock index funds met their investment objectives by closely tracking their target indexes during the six months ended June 30. The Investor Shares and Admiral Shares of VANGUARD SMALL-CAP INDEX FUND posted a solid gain of 7.6%, while VANGUARD SMALL-CAP VALUE INDEX FUND fared even better, 2 returning an excellent 12.4%. Unfortunately, the benchmark tracked by VANGUARD SMALL-CAP GROWTH INDEX FUND had a flat half-year, leading the fund to a total return of 0% during the period. This result reflected skittishness among investors regarding stocks with relatively high prices in relation to such financial measures as earnings, book value, and dividends. Although many investors believe index funds are unmanaged, each index fund has an investment adviser responsible for the fund's efforts to match the benchmark. Sticking closely to the index--while accounting for the fund's daily cash flows, as well as for additions to and deletions from the benchmark--is a complex feat. Vanguard's Quantitative Equity Group has provided advisory services for our stock index funds since their inceptions, and the considerable skill of this group is reflected in the half-year results for our small-cap funds. The return of the Small-Cap Index Fund was 0.7 percentage point better than the result of the Russell 2000 Index, while the Small-Cap Growth and Small-Cap Value Index Funds outpaced their target indexes by 0.5 percentage point and 0.6 percentage point, respectively. Because the indexes exist only on paper, they incur no costs. Mutual funds, by contrast, carry expense ratios--operating costs as a percentage of average net assets (0.27 percentage point, or $2.70 per $1,000 in assets, in the case of our funds' Investor Shares)--and also face transaction costs when buying and selling securities. To overcome these hurdles, as the Quantitative Equity Group has often done, is impressive indeed. IN SUMMARY The weakness in economic activity, corporate profits, and stock prices experienced so far this year is the kind of rough weather that darkens the financial markets from time to time. Although such stormy seasons are to be expected, their timing and duration are impossible to predict. Successful investors do not avoid difficult periods. Instead, they maintain diversified and balanced financial plans that can withstand them. Such a portfolio includes a mix of stock funds, bond funds, and cash investments appropriate for your goals, time horizon, and financial circumstances. We thank you for entrusting your hard-earned money to Vanguard. Sincerely, /S/ JOHN J. BRENNAN July 13, 2001 [PHOTO OF JOHN J. BRENNAN] JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER 3 FUND STATISTICS NET ASSET VALUE SIX MONTHS ENDED PER SHARE JUNE 30, 2001 --------------------------------------------------- DECEMBER 31, JUNE 30, INCOME CAPITAL GAINS U.S. STOCK INDEX FUND 2000 2001 DIVIDENDS DISTRIBUTIONS - -------------------------------------------------------------------------------- SMALL-CAP Investor Shares $19.44 $20.91 -- -- Admiral Shares 19.44 20.92 -- -- Institutional Shares 19.44 20.93 -- -- - -------------------------------------------------------------------------------- SMALL-CAP GROWTH Investor Shares $10.97 $10.97 -- -- Institutional Shares 10.97 10.97 -- -- - -------------------------------------------------------------------------------- SMALL-CAP VALUE Investor Shares $9.65 $10.34 -- $0.44 Institutional Shares 9.65 10.34 -- 0.44 - -------------------------------------------------------------------------------- 4 FUND PROFILE As of June 30, 2001 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 8. - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Number of Stocks 2,190 2,000 6,334 Median Market Cap $0.8B $0.8B $35.0B Price/Earnings Ratio 30.2x 31.1x 27.3x Price/Book Ratio 2.3x 2.3x 3.5x Yield Investor Shares 1.2% 1.2% 1.2% Admiral Shares 1.2% 1.2% 1.2% Institutional Shares 1.3% 1.2% 1.2% Return on Equity 14.3% 14.2% 23.1% Earnings Growth Rate 12.4% 12.3% 15.8% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 63%** -- -- Expense Ratio Investor Shares 0.27%** -- -- Admiral Shares 0.20%** -- -- Institutional Shares 0.10%** -- -- Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - ----------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) LifePoint Hospitals, Inc. 0.2% (health care) Indymac Bancorp, Inc. REIT 0.2 (financial services) Fisher Scientific International Inc. 0.2 (retail) Renal Care Group, Inc. 0.2 (health care) Colonial BancGroup, Inc. 0.2 (banking) Edwards Lifesciences Corp. 0.2 (medical) Cytec Industries, Inc. 0.2 (chemicals) TriQuint Semiconductor, Inc. 0.2 (electronics) StanCorp Financial Group, Inc. 0.2 (insurance) Fleming Cos., Inc. 0.2 (foods) - ----------------------------------------------------- Top Ten 2.0% - ----------------------------------------------------- - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - -------------------------------------------------------------------------------- R-SQUARED 1.00 1.00 0.61 1.00 BETA 1.00 1.00 1.00 1.00 - -------------------------------------------------------------------------------- - ------------------------------------- INVESTMENT FOCUS [GRAPHIC] MARKET CAP SMALL STYLE BLEND - ------------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% of common stocks) TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Auto & Transportation 3.6% 3.5% 2.1% Consumer Discretionary 17.4 17.5 14.4 Consumer Staples 2.9 2.9 5.8 Financial Services 20.5 20.1 20.0 Health Care 13.7 13.6 13.2 Integrated Oils 0.1 0.1 3.5 Other Energy 3.2 3.2 2.6 Materials & Processing 8.4 8.5 3.1 Producer Durables 9.1 8.9 3.5 Technology 14.8 15.6 17.7 Utilities 5.4 5.4 8.4 Other 0.9 0.7 5.7 - -------------------------------------------------------------------------------- **Annualized. [PHOTO OF COMPUTER] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 5 FUND PROFILE As of June 30, 2001 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 8. - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Number of Stocks 218 218 6,334 Median Market Cap $1.1B $1.1B $35.0B Price/Earnings Ratio 27.5x 27.5x 27.3x Price/Book Ratio 4.4x 4.4x 3.5x Yield Investor Shares 0.1% 0.4% 1.2% Institutional Shares 0.3% 0.4% 1.2% Return on Equity 17.5% 17.5% 23.1% Earnings Growth Rate 21.7% 21.7% 15.8% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 82%** -- -- Expense Ratio Investor Shares 0.27%** -- -- Institutional Shares 0.10%** -- -- Cash Investments 0.1% -- -- - -------------------------------------------------------------------------------- - ----------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) Cephalon, Inc. 1.8% (biotechnology) Universal Health Services Class B 1.4% (health products & services) Varian Medical Systems, Inc. 1.3 (health products & services) Commerce Bancorp, Inc. 1.2 (banking) Patterson Dental Co. 1.2 (medical) Barrett Resources Corp. 1.0 (oil) AdvancePCS 1.0 (health care) RSA Security Inc. 0.9 (computer technology) XTO Energy, Inc. 0.9 (oil) Cullen/Frost Bankers, Inc. 0.9 (banking) - ----------------------------------------------------- Top Ten 11.6% - ----------------------------------------------------- - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - -------------------------------------------------------------------------------- R-SQUARED 1.00 1.00 0.57 1.00 BETA 1.00 1.00 1.09 1.00 - -------------------------------------------------------------------------------- - ------------------------------------- INVESTMENT FOCUS [GRAPHIC] MARKET CAP SMALL STYLE GROWTH - ------------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% of common stocks) TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Auto & Transportation 3.8% 3.5% 2.1% Consumer Discretionary 20.7 21.1 14.4 Consumer Staples 3.5 3.5 5.8 Financial Services 10.5 10.1 20.0 Health Care 25.2 25.1 13.2 Integrated Oils 0.0 0.0 3.5 Other Energy 6.1 6.1 2.6 Materials & Processing 5.9 5.9 3.1 Producer Durables 12.3 12.8 3.5 Technology 11.1 11.0 17.7 Utilities 0.9 0.9 8.4 Other 0.0 0.0 5.7 - -------------------------------------------------------------------------------- *S&P SmallCap 600/BARRA Growth Index. **Annualized. 6 FUND PROFILE As of June 30, 2001 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 8. - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Number of Stocks 387 382 6,334 Median Market Cap $0.7B $0.7B $35.0B Price/Earnings Ratio 17.6x 17.6x 27.3x Price/Book Ratio 1.6x 1.6x 3.5x Yield Investor Shares 0.9% 1.3% 1.2% Institutional Shares 1.0% 1.3% 1.2% Return on Equity 14.4% 14.4% 23.1% Earnings Growth Rate 14.1% 14.1% 15.8% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 67%** -- -- Expense Ratio Investor Shares 0.27%** -- -- Institutional Shares 0.10%** -- -- Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - ----------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) Smithfield Foods, Inc. 1.1% (foods) Fidelity National Financial, Inc. 1.0 (financial services) D. R. Horton, Inc. 0.9 (real estate) Raymond James Financial, Inc. 0.8 (securities brokers & services) Massey Energy Co. 0.8 (metals & mining) Toll Brothers, Inc. 0.8 (residential construction) Newfield Exploration Co. 0.8 (oil) Washington Federal Inc. 0.7 (savings & loan) Pride International Inc. 0.7 (energy) Downey Financial Corp. 0.7 (savings & loan) - ----------------------------------------------------- Top Ten 8.3% - ----------------------------------------------------- - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - -------------------------------------------------------------------------------- R-SQUARED 1.00 1.00 0.51 1.00 BETA 1.00 1.00 0.74 1.00 - -------------------------------------------------------------------------------- - ------------------------------------- INVESTMENT FOCUS [GRAPHIC] MARKET CAP SMALL STYLE VALUE - ------------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% of common stocks) TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Auto & Transportation 6.0% 6.2% 2.1% Cnsumer Discretionary 19.9 19.9 14.4 Consumer Staples 4.9 4.9 5.8 Financial Services 14.3 14.0 20.0 Health Care 3.4 3.4 13.2 Integrated Oils 0.0 0.0 3.5 Other Energy 6.6 5.9 2.6 Materials & Processing 13.4 14.4 3.1 Producer Durables 11.4 11.4 3.5 Technology 11.3 11.5 17.7 Utilities 7.9 7.7 8.4 Other 0.9 0.7 5.7 - -------------------------------------------------------------------------------- *S&P SmallCap 600/BARRA Value Index. **Annualized. [PHOTO OF COMPUTER] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 7 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 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 the fund's trading activity. 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 PERFORMANCE SUMMARIES In the performance summaries below and on the following page, all of the data represent past performance, which cannot be used to predict future returns that may be achieved by the funds. 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. SMALL-CAP INDEX FUND - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) December 31, 1990--June 30, 2001 [BAR CHART SCALE -20 TO 60%] SMALL-CAP INDEX FUND INVESTOR SHARES RUSSEL 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 2001* 7.6 6.9 - -------------------------------------------------------------------------------- *Six months ended June 30, 2001. See Financial Highlights table on page 46 for dividend and capital gains information for the past five years. SMALL-CAP GROWTH INDEX FUND - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) May 21, 1998--June 30, 2001 [BAR CHART SCALE -20 TO 60%] SMALL-CAP GROWTH INDEX S&P SMALLCAP 600/ FUND INVESTOR SHARES BARRA GROWTH INDEX ---------------------- -------------------- 1998 -4.8 -5.0 1999 19.8 19.6 2000 1.6 0.6 2001* 0 -0.5 - -------------------------------------------------------------------------------- *Six months ended June 30, 2001. See Financial Highlights table on page 48 for dividend and capital gains information since inception. 9 Performance Summaries (continued) SMALL-CAP VALUE INDEX FUND - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) May 21, 1998--June 30, 2001 SMALL-CAP INDEX FUND INVESTOR SHARES SMALL-CAP INDEX FUND ------------------------------------ -------------------- 1998 -12.5 -13.3 1999 3.3 3.0 2000 21.9 20.9 2001* 12.4 11.8 - -------------------------------------------------------------------------------- *Six months ended June 30, 2001. See Financial Highlights table on page 49 for dividend and capital gains information since inception. 10 FINANCIAL STATEMENTS June 30, 2001 (unaudited) 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 (100.8%)(1) - ------------------------------------------------------------------------------------------------------------------- * LifePoint Hospitals, Inc. 216,935 9,606 * Indymac Bancorp, Inc. REIT 344,200 9,225 * Fisher Scientific International Inc. 303,900 8,813 * Renal Care Group, Inc. 267,550 8,800 Colonial BancGroup, Inc. 610,600 8,780 * Edwards Lifesciences Corp. 331,800 8,746 * Cytec Industries, Inc. 227,800 8,656 * TriQuint Semiconductor, Inc. 383,500 8,629 StanCorp Financial Group, Inc. 175,800 8,331 Fleming Cos., Inc. 232,100 8,286 * The Corporate Executive Board Co. 195,800 8,224 Lee Enterprises, Inc. 247,200 8,159 Highwood Properties, Inc. REIT 303,800 8,098 Dean Foods Corp. 200,800 8,072 United Dominion Realty Trust REIT 560,950 8,050 * Novell, Inc. 1,411,900 8,034 Peoples Energy Corp. 199,700 8,028 BancorpSouth, Inc. 471,138 8,010 * Legato Systems, Inc. 501,100 7,993 Franchise Finance Corp. of America REIT 316,500 7,947 * Furniture Brands International Inc. 283,500 7,938 BRE Properties Inc. Class A REIT 261,148 7,913 * CEC Entertainment Inc. 157,700 7,782 IKON Office Solutions, Inc. 786,200 7,705 * Plexus Corp. 233,300 7,699 * INCYTE Genomics, Inc. 313,500 7,687 Citizens Banking Corp. 262,292 7,672 * Varian Semiconductor Equipment Associates, Inc. 182,600 7,669 * Affiliated Managers Group, Inc. 124,600 7,663 Dial Corp. 535,300 7,628 * Sensormatic Electronics Corp. 447,850 7,613 York International Corp. 216,700 7,589 * Informix Corp. 1,290,300 7,535 * Electronics for Imaging, Inc. 254,300 7,502 WestAmerica Bancorporation 190,800 7,489 * J.D. Edwards & Co. 528,800 7,477 * Covance, Inc. 327,700 7,422 Ball Corp. 155,400 7,391 Camden Property Trust REIT 201,187 7,384 * Coventry Health Care Inc. 365,100 7,375 * Michaels Stores, Inc. 179,818 7,373 BorgWarner, Inc. 148,300 7,359 * Zebra Technologies Corp. Class A 149,500 7,343 * Suiza Foods Corp. 137,900 7,322 RGS Energy Group Inc. 194,600 7,298 * STERIS Corp. 363,600 7,290 AGL Resources Inc. 306,700 7,284 * Black Box Corp. 108,100 7,282 11 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- First American Corp. 380,300 7,203 Hawaiian Electric Industries Inc. 188,100 7,186 * Andrew Corp. 388,100 7,162 * THQ Inc. 120,050 7,159 First Industrial Realty Trust REIT 222,500 7,144 * Alliant Techsystems, Inc. 79,200 7,120 Rayonier Inc. 153,200 7,116 WGL Holdings Inc. 262,200 7,109 HRPT Properties Trust REIT 727,900 7,082 Public Service Co. of New Mexico 220,600 7,081 Sierra Pacific Resources 442,696 7,079 First Midwest Bancorp 228,921 7,062 * NetIQ Corp. 224,004 7,009 Post Properties, Inc. REIT 184,800 6,995 Weingarten Realty Investors REIT 158,875 6,967 Crompton Corp. 637,762 6,952 * Career Education Corp. 116,000 6,948 Whitney Holdings 148,150 6,948 Louisiana-Pacific Corp. 590,600 6,928 * LTX Corp. 269,900 6,899 Harman International Industries, Inc. 180,550 6,877 Donaldson Co., Inc. 220,400 6,865 Roper Industries Inc. 164,000 6,847 Tupperware Corp. 290,900 6,816 Hudson United Bancorp 264,951 6,756 Commercial Federal Corp. 289,700 6,692 * Atlantic Coast Airlines Holdings Inc. 221,000 6,628 Independence Community Bank Corp. 335,100 6,615 New York Community Bancorp, Inc. 175,208 6,597 * Flowserve Corp. 213,906 6,578 * Scholastic Corp. 156,100 6,572 * Apria Healthcare 226,400 6,532 Pittston Brink's Group 292,100 6,511 Raymond James Financial, Inc. 212,300 6,496 Philadelphia Suburban Corp. 253,700 6,469 Doral Financial Corp. 187,700 6,438 * Techne Corp. 198,000 6,435 F & M National Corp. 160,379 6,415 * Stillwater Mining Co. 218,250 6,384 Kennametal, Inc. 172,600 6,370 Corn Products International, Inc. 199,000 6,369 Cambrex Corp. 125,500 6,349 * Charles River Laboratories, Inc. 182,100 6,328 United Bankshares, Inc. 233,900 6,269 Pier 1 Imports Inc. 543,500 6,250 * Performance Food Group Co. 206,300 6,237 * Province Healthcare Co. 176,650 6,234 Earthgrains Co. 239,644 6,231 * Zale Corp. 184,500 6,218 ArvinMeritor, Inc. 371,350 6,216 * NPS Pharmaceuticals Inc. 154,200 6,199 Ruby Tuesday, Inc. 361,700 6,185 Fair Issac & Co. 99,650 6,160 Park National Corp. 60,860 6,147 * Copart, Inc. 209,900 6,140 * Alpha Industries, Inc. 206,900 6,114 * Perot Systems Corp. 337,700 6,112 Universal Corp. 154,000 6,108 Harsco Corp. 224,500 6,091 Polaris Industries, Inc. 132,300 6,059 Piedmont Natural Gas, Inc. 170,351 6,051 Federal Signal Corp. 256,700 6,025 Healthcare Realty Trust Inc. REIT 228,807 6,018 Applebee's International, Inc. 187,850 6,011 John Wiley & Sons Class A 254,100 6,009 Thomas & Betts Corp. 272,100 6,005 DQE Inc. 266,400 5,994 * ITT Educational Services, Inc. 133,200 5,994 Greater Bay Bancorp 239,900 5,993 KB Home 198,600 5,992 Carlisle Co., Inc. 170,600 5,949 * The Cheesecake Factory 209,294 5,923 Aptargroup Inc. 182,400 5,915 Global Payments Inc. 196,280 5,908 ONEOK, Inc. 299,400 5,898 * O'Reilly Automotive, Inc. 205,500 5,898 Alexander & Baldwin, Inc. 228,500 5,884 * Dal-Tile International Inc. 314,600 5,837 IDEX Corp. 171,300 5,825 CenterPoint Properties Corp. REIT 116,000 5,824 * Beverly Enterprises, Inc. 544,100 5,822 Ryder System, Inc. 296,900 5,819 * Electro Scientific Industries, Inc. 152,500 5,810 National Data Corp. 179,300 5,809 * IDEXX Laboratories Corp. 185,300 5,791 * Eclipsys Corp. 241,000 5,784 * Tetra Tech, Inc. 212,202 5,772 * Credence Systems Corp. 237,900 5,767 * CommScope, Inc. 244,800 5,753 Graco, Inc. 173,687 5,732 * Perrigo Co. 342,700 5,720 * Respironics, Inc. 191,391 5,696 Ametek Aerospace Products Inc. 186,000 5,682 * Cubist Pharmaceuticals, Inc. 149,500 5,681 * Key Energy Services, Inc. 523,100 5,670 * Avocent Corp. 249,200 5,669 * SonicWALL, Inc. 224,000 5,647 * Coherent, Inc. 156,100 5,646 * Varian, Inc. 174,600 5,640 12 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- Charles E. Smith Residential Realty, Inc. REIT 112,000 5,617 * CV Therapeutics, Inc. 98,400 5,609 * Microsemi Corp. 78,700 5,588 * United Stationers, Inc. 177,000 5,586 Atmos Energy Corp. 228,248 5,583 * NVR, Inc. 37,700 5,580 Sensient Technologies Corp. 271,400 5,569 Montana Power Co. 479,700 5,565 * Veeco Instruments, Inc. 139,700 5,553 * Linens 'n Things, Inc. 202,600 5,535 * GTech Holdings Corp. 155,800 5,532 * R.H. Donnelley Corp. 172,800 5,530 * VISX Inc. 285,500 5,524 * Price Communications Corp. 273,535 5,523 * Silicon Valley Bancshares 251,000 5,522 Dillard's Inc. 360,800 5,509 * Alamosa Holdings, Inc. 337,200 5,497 Potlatch Corp. 159,500 5,489 * Commerce One, Inc. 938,900 5,483 * HS Resources Inc. 84,400 5,469 * Liberate Technologies, Inc. 497,600 5,449 * Mueller Industries Inc. 165,400 5,444 * Keane, Inc. 246,800 5,430 * Accredo Health, Inc. 145,800 5,422 * Jack in the Box Inc. 207,400 5,413 * Insight Enterprises, Inc. 220,900 5,412 Cousins Properties, Inc. REIT 200,663 5,388 Millennium Chemicals, Inc. 357,700 5,383 * Waste Connections, Inc. 149,500 5,382 Alfa Corp. 217,600 5,375 CBRL Group, Inc. 316,600 5,366 * Chesapeake Energy Corp. 788,780 5,364 * CIMA Labs Inc. 68,283 5,360 * Stone Energy Corp. 120,741 5,349 Cleco Corp. 234,500 5,335 * Direct Focus, Inc. 112,250 5,332 Avista Corp. 266,800 5,331 RPM Inc. (Ohio) 576,500 5,304 Downey Financial Corp. 111,946 5,291 Shurgard Storage Centers, Inc. Class A REIT 168,700 5,272 * Neurocrine Biosciences, Inc. 131,600 5,263 IMC Global Inc. 515,800 5,261 * Cell Therapeutics, Inc. 190,000 5,252 WPS Resources Corp. 148,600 5,238 National Service Industries, Inc. 232,000 5,236 Lancaster Colony Corp. 158,700 5,234 * SBA Communications Corp. 210,700 5,215 Church & Dwight, Inc. 204,900 5,215 Nationwide Health Properties, Inc. REIT 258,100 5,214 * Toll Brothers, Inc. 132,300 5,201 Developers Diversified Realty Corp. REIT 282,100 5,185 Commerce Group, Inc. 140,800 5,180 * Covanta Energy Corp. 280,500 5,178 * Remedy Corp. 148,700 5,175 Worthington Industries, Inc. 380,300 5,173 * Inktomi Corp. 539,100 5,170 * Triumph Group, Inc. 105,500 5,170 * Mercury Computer Systems, Inc. 104,000 5,149 Vintage Petroleum, Inc. 274,600 5,135 * Cognex Corp. 151,600 5,132 Briggs & Stratton Corp. 121,800 5,128 Richmond County Financial Corp. 136,200 5,110 * The Titan Corp. 222,700 5,100 * Regeneron Pharmaceuticals, Inc. 147,100 5,097 * Lone Star Technologies, Inc. 140,500 5,086 AmerUs Group Co. 143,100 5,076 * Advanced Digital Information Corp. 293,300 5,074 Forest City Enterprise Class A 92,200 5,071 MeriStar Hospitality Corp. REIT 280,500 5,049 Cooper Tire & Rubber Co. 353,900 5,025 La-Z-Boy Inc. 270,400 5,002 * Anchor Gaming 77,300 4,995 * Veritas DGC Inc. 179,500 4,981 * Gartner, Inc. Class A 448,300 4,931 * Men's Wearhouse, Inc. 178,550 4,928 Horace Mann Educators Corp. 228,600 4,926 First Commonwealth Financial Corp. 328,300 4,925 * Noven Pharmaceuticals, Inc. 125,600 4,924 * Leap Wireless International, Inc. 162,275 4,917 * AnnTaylor Stores Corp. 137,300 4,915 Pennzoil-Quaker State Co. 438,800 4,915 Realty Income Corp. REIT 166,000 4,907 * Trimeris, Inc. 97,900 4,902 Harleysville Group, Inc. 164,500 4,894 * InterMune Inc. 137,200 4,887 * HNC Software, Inc. 195,300 4,883 * Insituform Technologies Class A 133,200 4,862 * Illuminet Holdings, Inc. 153,400 4,824 * Rambus Inc. 391,600 4,821 * Mid Atlantic Medical Services, Inc. 268,600 4,816 Cabot Industrial Trust REIT 229,200 4,813 Washington REIT 203,050 4,801 * Intermedia Communications Inc. 322,000 4,798 Community First Bankshares 208,500 4,796 Staten Island Bancorp, Inc. 171,300 4,772 Brown & Brown, Inc. 113,600 4,770 13 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * Too Inc. 174,020 4,769 Blyth, Inc. 184,350 4,740 Minerals Technologies, Inc. 110,400 4,738 * Kulicke & Soffa Industries, Inc. 276,000 4,736 * Imation Corp. 187,900 4,735 The Timken Co. 279,300 4,731 * Scios, Inc. 189,000 4,727 * US Oncology, Inc. 531,582 4,726 Overseas Shipholding Group Inc. 153,800 4,697 * Stratos Lightwave, Inc. 361,230 4,696 * PRAECIS Pharmaceuticals Inc. 285,500 4,694 * Owens-Illinois, Inc. 691,400 4,688 * American Management Systems, Inc. 198,400 4,682 * Adaptec, Inc. 469,900 4,671 * Swift Transportation Co., Inc. 241,800 4,657 * El Paso Electric Co. 289,800 4,634 Stewart & Stevenson Services, Inc. 140,410 4,634 * Inverness Medical Technology, Inc. 124,800 4,618 * Pegasus Communications Corp. Class A 205,000 4,613 * ATMI, Inc. 153,400 4,602 * DDi Corp. 230,000 4,600 Claire's Stores, Inc. 237,600 4,600 * Dycom Industries, Inc. 200,600 4,600 * Impath, Inc. 103,800 4,598 * Education Management Corp. 114,600 4,590 Chittenden Corp. 136,357 4,588 * Plantronics, Inc. 198,200 4,588 Prentiss Properties Trust REIT 173,800 4,571 Trustco Bank 342,202 4,568 C & D Technology Inc. 147,300 4,566 PolyOne Corp. 436,900 4,548 * Structural Dynamics Research Corp. 185,606 4,547 * Immunomedics Inc. 212,000 4,537 The South Financial Group, Inc. 240,122 4,535 * 99 Cents Only Stores 151,299 4,531 Lincoln Electric Holdings 177,700 4,531 New Jersey Resources Corp. 100,200 4,530 Dole Food Co. 237,500 4,524 * Brooks Automation, Inc. 98,100 4,523 Pacific Capital Bancorp 148,400 4,519 * Albany Molecular Research, Inc. 118,700 4,512 Invacare Corp. 116,600 4,504 * Cal Dive International, Inc. 183,000 4,502 Susquehanna Bancshares, Inc. 221,175 4,501 * Tom Brown, Inc. 187,200 4,493 * SEACOR SMIT Inc. 95,950 4,485 * Anixter International Inc. 145,800 4,476 Wolverine World Wide, Inc. 250,440 4,475 Granite Construction Co. 176,000 4,474 * InFocus Corp. 218,900 4,463 * TranSwitch Corp. 404,400 4,448 * ILEX Oncology, Inc. 148,600 4,443 Technitrol, Inc. 170,500 4,433 W.R. Berkley Corp. 106,875 4,427 * Bally Total Fitness Holding Corp. 149,000 4,412 * Southwest Bancorporation of Texas, Inc. 145,800 4,405 Alpharma, Inc. Class A 160,534 4,375 USFreightways Corp. 148,200 4,372 * Pixelworks, Inc. 122,200 4,367 The Macerich Co. REIT 175,700 4,357 * Cymer, Inc. 172,000 4,350 * ImmunoGen, Inc. 217,300 4,346 Trinity Industries, Inc. 207,800 4,341 * SurModics, Inc. 73,800 4,339 LNR Property Corp. 123,950 4,338 * American Italian Pasta Co. 93,300 4,329 * Alaska Air Group, Inc. 149,300 4,315 * Intergraph Corp. 279,900 4,310 * Borland Software Corp. 276,100 4,307 Newport Corp. 162,500 4,306 * Spinnaker Exploration Co. 108,000 4,305 Energen Corp. 155,800 4,301 * Advanced Energy Industries, Inc. 104,000 4,292 Regis Corp. 204,350 4,289 * Elantec Semiconductor, Inc. 126,700 4,281 Tecumseh Products Co. Class A 86,100 4,262 * Getty Images, Inc. 161,300 4,237 * Bio-Technology General Corp. 322,900 4,230 * Rehabcare Corp. 87,600 4,222 * Exar Corp. 213,300 4,215 Woodward Governor Co. 49,800 4,201 * Kansas City Southern Industries,Inc. 265,800 4,200 * InfoSpace, Inc. 1,093,250 4,198 CH Energy Group, Inc. 95,200 4,184 * Cerus Corp. 57,600 4,180 * Aspen Technologies, Inc. 172,500 4,175 Federal Realty Investment Trust REIT 201,100 4,171 * Titan Pharmaceuticals, Inc. 138,900 4,168 Oshkosh Truck Corp. 94,100 4,164 * Genesco, Inc. 123,600 4,153 * PETsMART, Inc. 586,650 4,136 UGI Corp. Holding Co. 152,900 4,128 * Powerwave Technologies, Inc. 283,400 4,109 FactSet Research Systems Inc. 115,000 4,106 * Newpark Resources, Inc. 368,800 4,094 Ohio Casualty Corp. 315,318 4,083 * Sylvan Learning Systems, Inc. 167,500 4,070 * Guilford Pharmaceuticals, Inc. 119,700 4,070 Banta Corp. 138,600 4,061 Jefferies Group, Inc. 125,332 4,061 14 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * eFunds Corp. 218,300 4,060 Superior Industries International, Inc. 105,900 4,056 * Priceline.com Inc. 446,800 4,044 Manitowac Co., Inc. 136,800 4,036 Texas Industries, Inc. 117,220 4,031 * MRV Communications Inc. 429,700 4,018 Kaydon Corp. 156,600 4,017 Kilroy Realty Corp. REIT 138,000 4,016 Essex Property Trust, Inc. REIT 81,000 4,014 * Enzo Biochem, Inc. 116,878 4,010 * Interlogix, Inc. 109,707 4,004 * Western Digital Corp. 998,900 3,996 * Cable Design Technologies 246,925 3,990 * Professional Detailing, Inc. 43,300 3,984 American Capital Strategies, Ltd. 141,600 3,974 * Cell Genesys, Inc. 193,653 3,970 H.B. Fuller Co. 79,550 3,970 UMB Financial Corp. 92,241 3,966 Diagnostic Products Corp. 119,400 3,964 FelCor Lodging Trust, Inc. REIT 169,200 3,959 International Bancshares Corp. 94,183 3,956 Cooper Cos., Inc. 76,900 3,953 * Netegrity, Inc. 131,750 3,953 Stewart Enterprises, Inc. Class A 540,100 3,943 American Greetings Corp. Class A 357,900 3,937 * Interdigital Communications Corp. 296,700 3,931 * IntraNet Solutions, Inc. 103,200 3,927 Gables Residential Trust REIT 131,100 3,926 * Corixa Corp. 229,866 3,924 * MatrixOne, Inc. 169,000 3,919 * Swift Energy Co. 129,920 3,914 * NYFIX, Inc. 122,500 3,914 * Wisconsin Central Transportation Corp. 233,900 3,913 * S1 Corp. 279,500 3,913 * ANADIGICS, Inc. 169,600 3,901 UniSource Energy Corp. 169,460 3,892 Helix Technology Corp. 127,000 3,871 Health Care REIT, Inc. 162,800 3,867 Southwest Gas Corp. 163,100 3,862 * Footstar Inc. 111,800 3,846 Modine Manufacturing Co. 138,900 3,831 USEC Inc. 453,800 3,826 Werner Enterprises, Inc. 157,674 3,824 * AmeriPath, Inc. 130,300 3,818 Liberty Corp. 95,400 3,816 Selective Insurance Group 142,900 3,813 Ryland Group, Inc. 75,300 3,810 John H. Harland Co. 163,500 3,810 Otter Tail Corp. 137,200 3,807 * EMCORE Corp. 123,400 3,795 * Ixia 199,600 3,792 Summit Properties, Inc. REIT 140,900 3,780 Cabot Oil & Gas Corp. Class A 154,626 3,774 * GlobeSpan, Inc. 257,700 3,762 * Kopin Corp. 309,600 3,759 * La Quinita Properties, Inc. 725,422 3,758 * Photronics Labs Inc. 146,300 3,754 * Sonic Corp. 117,950 3,743 * Airgas, Inc. 314,300 3,740 * Sawtek Inc. 158,800 3,737 St. Mary Land & Exploration Co. 158,880 3,711 Belden, Inc. 138,500 3,705 Florida East Coast Industries Inc. Class A 104,600 3,703 First Citizens BancShares Class A 34,100 3,700 ABM Industries 99,300 3,699 * Southern Union Co. 181,315 3,699 * Metro One Telecommunications, Inc. 57,000 3,698 Western Gas Resources, Inc. 113,400 3,697 * Chico's Fas, Inc. 124,200 3,695 * Aurora Biosciences Corp. 119,100 3,692 * The Boyds Collection, Ltd. 297,000 3,689 * Silicon Storage Technology, Inc. 364,100 3,688 The Trust Co. of New Jersey 108,370 3,685 SL Green Realty Corp. REIT 121,400 3,680 * Dionex Corp. 110,600 3,677 * Sapient Corp. 376,700 3,673 * Del Webb Corp. 94,496 3,656 Delta & Pine Land Co. 186,000 3,655 American Financial Holdings, Inc. 154,800 3,653 Ventas, Inc. REIT 333,600 3,653 Longs Drug Stores, Inc. 169,300 3,648 * Pacific Sunwear of California 162,562 3,646 Brady Corp. Class A 100,500 3,631 * Iomega Corp. 1,516,500 3,624 * ADVO, Inc. 105,950 3,619 * Scotts Co. 87,200 3,614 Matthews International Corp. 81,900 3,601 * CryoLife Inc. 88,000 3,600 S & T Bancorp, Inc. 133,200 3,596 Chateau Communities, Inc. REIT 114,500 3,595 * Cost Plus, Inc. 119,550 3,587 Owens & Minor, Inc. Holding Co. 188,137 3,575 Chemical Financial Corp 120,807 3,564 Longview Fibre Co. 289,100 3,562 Chelsea Property Group 75,900 3,560 F.N.B. Corp. 133,291 3,559 * Modis Professional Services Inc. 515,300 3,556 Wallace Computer Services, Inc. 214,700 3,551 * WMS Industries, Inc. 110,300 3,548 * Stericycle, Inc. 75,500 3,545 * Tanox, Inc. 112,200 3,540 15 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- First Financial Bancorp 207,182 3,539 Kimball International, Inc. Class B 195,400 3,537 CBL & Associates Properties, Inc. REIT 115,100 3,532 Bob Evans Farms, Inc. 196,200 3,532 * Information Holdings Inc. 109,300 3,530 * Aeroflex, Inc. 336,050 3,529 * Pathmark Stores, Inc. 143,400 3,528 * Evergreen Resources, Inc. 92,800 3,526 * DMC Stratex Networks, Inc. 351,600 3,516 * Gaylord Entertainment Co. Class A 122,075 3,516 Northwest Natural Gas Co. 141,150 3,515 Crawford & Co. Class B 195,250 3,515 East West Bancorp, Inc. 130,100 3,513 * Argosy Gaming Co. 126,100 3,501 Amcore Financial 145,420 3,496 Ferro Corp. 160,000 3,490 * Symyx Technologies 143,800 3,479 * FuelCell Energy, Inc. 150,500 3,475 Republic Bancorp, Inc. 249,848 3,473 * FEI Co. 84,600 3,469 * AirTran Holdings, Inc. 330,300 3,468 * Take-Two Interactive Software, Inc. 186,400 3,458 Nordson Corp. 130,400 3,456 Provident Bankshares Corp. 138,302 3,449 Libbey, Inc. 86,300 3,427 Mentor Corp. 120,000 3,420 General Cable Corp. 184,250 3,418 * Syncor International Corp. 110,200 3,416 * Echelon Corp. 111,000 3,414 Standard Pacific Corp. 147,400 3,412 * AirGate PCS, Inc. 65,400 3,401 UIL Holdings Corp. 69,950 3,399 * Amylin Pharmaceuticals, Inc. 301,900 3,396 * Sybron Dental Specialties, Inc. 164,400 3,369 * EGL, Inc. 192,850 3,367 Wausau-Mosinee Paper Corp. 261,010 3,364 First Charter Corp. 178,800 3,353 * Arbitron Inc. 139,000 3,350 Hilb, Rogal and Hamilton Co. 76,500 3,347 Clarcor Inc. 124,425 3,341 * Exelixis, Inc. 176,000 3,339 * Centillium Communications, Inc. 134,700 3,332 Olin Corp. 195,800 3,327 Pan Pacific Retail Properties, Inc. REIT 127,760 3,322 Regency Centers Corp. 130,700 3,320 MDC Holdings, Inc. 93,560 3,312 * Transkaryotic Therapies, Inc. 112,400 3,310 * Haemonetics Corp. 108,450 3,308 Hooper Holmes, Inc. 322,500 3,306 Albemarle Corp. 142,020 3,291 AGCO Corp. 358,900 3,284 Florida Rock Industries, Inc. 70,000 3,283 * Bruker Daltonics, Inc. 217,700 3,281 * Korn/Ferry International 211,000 3,271 Reckson Associates Realty Corp. REIT 142,100 3,268 * Landstar System 48,000 3,265 Alexandria Real Estate Equities, Inc. REIT 81,900 3,260 * Administaff, Inc. 125,100 3,253 Peoples Bank Bridgeport 139,300 3,247 * Gene Logic Inc. 148,900 3,246 * Input/Output, Inc. 255,300 3,242 * MSC Industrial Direct Co., Inc. Class A 186,300 3,242 * Sirius Satellite Radio, Inc. 265,600 3,238 * Charming Shoppes, Inc. 539,300 3,236 * Maverick Tube Corp. 190,600 3,231 * Activision, Inc. 82,300 3,230 LandAmerica Financial Group, Inc. 101,400 3,230 UCBH Holdings, Inc. 106,400 3,229 * MKS Instruments, Inc. 111,996 3,225 Brandywine Realty Trust REIT 143,500 3,222 The Toro Co. 71,600 3,218 * Edison Schools Inc. 140,900 3,218 * Grey Wolf, Inc. 804,400 3,218 * Terex Corp. 151,700 3,216 * Unit Corp. 202,700 3,213 CTS Corp. 156,600 3,210 First Bancorp/Puerto Rico 118,900 3,209 MAF Bancorp, Inc. 104,051 3,194 * Digital Insight Corp. 144,500 3,193 Media General, Inc. Class A 69,400 3,192 * Verity, Inc. 160,000 3,192 * Manhattan Associates, Inc. 80,300 3,192 * SERENA Software, Inc. 87,700 3,187 Carpenter Technology Corp. 108,800 3,187 * NCO Group, Inc. 102,750 3,178 * Encompass Services Corp. 354,645 3,174 * Pediatrix Medical Group, Inc. 95,500 3,171 * Ralcorp Holdings, Inc. 168,700 3,161 * Parker Drilling Co. 485,600 3,156 Hughes Supply, Inc. 133,250 3,151 Airborne, Inc. 271,300 3,144 * Hot Topic, Inc. 100,600 3,129 * Remec, Inc. 252,000 3,125 Storage USA, Inc. REIT 86,700 3,121 G & K Services, Inc. 115,850 3,116 Texas Regional Bancshares, Inc. 77,140 3,108 * Transaction Systems Architects, Inc. 200,400 3,106 * Actel Corp. 126,000 3,093 16 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * Tweeter Home Entertainment Group, Inc. 87,600 3,092 Capitol Federal Financial 159,700 3,087 * UnitedGlobalCom Inc. Class A 356,800 3,086 * Thoratec Corp. 198,363 3,085 * Pharmacyclics, Inc. 90,900 3,082 Corus Bankshares Inc. 51,100 3,079 * Biosite Diagnostics, Inc. 68,700 3,078 * Maxygen 158,500 3,075 * Station Casinos, Inc. 192,100 3,074 * F.Y.I. Inc. 74,800 3,067 * Champion Enterprises, Inc. 269,348 3,065 * Ionics, Inc. 97,300 3,065 * UCAR International, Inc. 256,100 3,060 * Dollar Thrifty Automotive Group, Inc. 126,700 3,041 * Read Rite Corp. 567,300 3,024 * Choice Hotel International, Inc. 201,200 3,018 * Akamai Technologies, Inc. 28,600 3,015 * Quiksilver, Inc. 120,500 3,013 * Prime Hospitality Corp. 253,700 3,006 * Mattson Technology, Inc. 171,500 2,998 * K-V Pharmaceutical Co. Class B 89,475 2,997 * NBTY, Inc. 240,800 2,996 Northwestern Corp. 133,600 2,993 Home Properties of New York, Inc. REIT 99,400 2,992 Datascope Corp. 64,900 2,991 The Pep Boys (Manny, Moe & Jack) 66,300 2,991 * E.Piphany Inc. 294,300 2,990 * AstroPower, Inc. 57,300 2,988 Cornerstone Realty Income Trust, Inc. REIT 257,400 2,986 * Pharmacopeia, Inc. 123,900 2,974 * Integrated Circuit Systems, Inc. 154,700 2,970 Sun Communities, Inc. REIT 83,900 2,966 * Packard BioScience Co. 356,900 2,962 Kellwood Co. 128,150 2,960 * FileNet Corp. 199,200 2,948 * Neose Technologies, Inc. 65,400 2,943 * XTRA Corp. 59,300 2,941 * American Superconductor Corp. 113,900 2,939 * Zoran Corp. 98,500 2,927 Annaly Mortgage Management Inc. REIT 212,700 2,916 JLG Industries, Inc. 236,100 2,916 * ArthroCare Corp. 111,400 2,913 * Paxar Corp. 202,256 2,912 * First Federal Financial Corp. 97,350 2,901 Casey's General Stores 222,957 2,898 Ruddick Corp. 170,800 2,895 * AXT, Inc. 108,000 2,884 * Adolor Corp. 133,200 2,877 * United Television, Inc. 22,829 2,876 * Diversa Corp. 141,400 2,876 * Hain Celestial Group, Inc. 130,500 2,871 * Kronos, Inc. 70,050 2,869 * Nautica Enterprises, Inc. 140,014 2,860 * Ultratech Stepper, Inc. 111,500 2,860 * Checkpoint Systems, Inc. 160,500 2,857 * NTELOS Inc. 95,000 2,856 * ViroPharma Inc. 83,900 2,853 * Value Vision International, Inc. Class A 131,000 2,849 NACCO Industries, Inc. Class A 36,495 2,846 * DSP Group Inc. 132,600 2,844 * Monaco Coach Corp. 85,650 2,844 * Midway Games Inc. 153,311 2,836 Baldor Electric Co. 132,627 2,834 Delphi Financial Group, Inc. 73,405 2,826 Springs Industries Inc. Class A 63,900 2,818 * Lightbridge, Inc. 145,193 2,817 * Virata Corp. 237,000 2,808 * Avant! Corp. 211,038 2,807 * Tularik, Inc. 107,200 2,769 * UICI 215,900 2,753 Frontier Financial Corp. 98,300 2,752 Charter Municipal Mortgage Acceptance Co. 172,400 2,750 * Littelfuse, Inc. 102,500 2,746 J. M. Smucker Co. 105,600 2,746 * Oak Technology, Inc. 259,200 2,745 * AmSurg Corp. 92,800 2,742 * Documentum, Inc. 212,100 2,740 * Hyperion Solutions Corp. 181,619 2,724 * Collins & Aikman Corp. 439,100 2,722 * FreeMarkets, Inc. 136,100 2,722 * Rare Hospitality International Inc. 120,300 2,719 * Teledyne Technologies, Inc. 178,458 2,713 Reliance Steel & Aluminum Co. 107,200 2,707 * PAREXEL International Corp. 138,800 2,707 Wellman, Inc. 151,200 2,706 Laclede Gas Co. 106,400 2,703 * Benchmark Electronics, Inc. 110,500 2,692 * IHOP Corp. 100,100 2,688 * PolyMedica Corp. 66,300 2,685 * Hutchinson Technology, Inc. 140,900 2,684 * Nuance Communications Inc. 148,700 2,680 Presidential Life Corp. 119,200 2,670 * Trimble Navigation Ltd. 136,640 2,663 Grey Global Group Inc. 4,000 2,660 Lennox International Inc. 241,800 2,648 * Spherion Corp. 295,606 2,646 * Progress Software Corp. 163,200 2,644 * Charlotte Russe Holding Inc. 98,500 2,640 * Skechers U.S.A., Inc. 90,000 2,631 * Harmonic, Inc. 261,800 2,618 17 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * MAXIMUS, Inc. 65,200 2,614 Patina Oil & Gas Corp. 98,500 2,610 * Safeguard Scientifics, Inc. 507,600 2,609 Fleetwood Enterprises, Inc. 184,500 2,598 * ProBusiness Services, Inc. 97,800 2,597 * Kirby Corp. 105,300 2,596 NBT Bancorp, Inc. 134,286 2,592 * Forward Air Corp. 86,500 2,591 * Beazer Homes USA, Inc. 40,800 2,590 * Coinstar, Inc. 116,300 2,588 * Yellow Corp. 136,250 2,586 * Commonwealth Telephone Enterprises, Inc. 61,199 2,586 * SPS Technologies, Inc. 54,500 2,583 Cohu, Inc. 114,600 2,579 * PSS World Medical, Inc. 400,362 2,574 Westbanco Inc. 102,479 2,571 * Ciber, Inc. 270,100 2,566 Dreyer's Grand Ice Cream, Inc. 91,900 2,564 * CUNO Inc. 85,250 2,558 * Oceaneering International, Inc. 123,200 2,556 * Barra, Inc. 65,250 2,555 * General Communication, Inc. 210,700 2,549 Vector Group Ltd. 79,775 2,549 Interstate Bakeries Corp. 159,300 2,549 * SCP Pool Corp. 73,900 2,545 * Sunrise Assisted Living, Inc. 96,900 2,544 * Ligand Pharmaceuticals Inc. Class B 224,700 2,539 * Esterline Technologies Corp. 116,500 2,534 * Lands' End, Inc. 63,100 2,533 * The Topps Co., Inc. 216,600 2,532 * Simpson Manufacturing Co. 41,800 2,529 Colonial Properties Trust REIT 82,100 2,529 * Rudolph Technologies, Inc. 53,800 2,529 * Digene Corp. 61,500 2,509 * Flowers Foods, Inc. 79,900 2,505 * AsiaInfo Holdings, Inc. 126,500 2,498 Koger Equity, Inc. REIT 151,000 2,492 Arch Chemicals, Inc. 113,800 2,484 * Emisphere Technologies, Inc. 85,400 2,483 JDN Realty Corp. REIT 185,250 2,482 * Active Power, Inc. 148,800 2,482 * SeeBeyond Technology Corp. 156,000 2,480 * Asyst Technologies, Inc. 183,300 2,475 * Artesyn Technologies, Inc. 191,456 2,470 * Secure Computing Corp. 157,100 2,468 Argonaut Group, Inc. 122,700 2,466 Park Electrochemical Corp. 93,400 2,466 * Multex.com Inc. 151,700 2,465 * Westport Resources Corp. 117,200 2,461 Arrow International, Inc. 64,000 2,458 Pulitzer, Inc. 46,500 2,455 Wabtec Corp. 163,456 2,452 Commercial Net Lease Realty REIT 172,000 2,451 Glimcher Realty Trust REIT 136,900 2,451 Thomas Industries, Inc. 82,950 2,447 * CACI International, Inc. 51,900 2,439 * Caliper Technologies Corp. 115,700 2,435 Madison Gas & Electric Co. 87,575 2,435 Integra Bank Corp. 98,166 2,432 * PRI Automation, Inc. 131,200 2,430 * Journal Register Co. 150,900 2,429 * Agile Software Corp. 142,500 2,423 * Unifi, Inc. 284,200 2,416 * BE Avionics Inc. 126,800 2,416 * Sonic Automotive, Inc. 126,400 2,414 * Boca Resorts, Inc. Class A 163,800 2,413 * Martek Biosciences Corp. 84,600 2,411 * Mobile Mini, Inc. 73,100 2,411 Cathay Bancorp, Inc. 44,010 2,407 * Ocular Sciences, Inc. 94,700 2,405 * Aztar Corp. 198,400 2,401 * Avigen, Inc. 111,600 2,399 * Young Broadcasting Inc. 71,300 2,394 * Century Business Services, Inc. 443,000 2,392 Harbor Florida Bancshares, Inc. 124,884 2,392 * Paxson Communications Corp. 177,100 2,391 Harleysville National Corp. 51,573 2,385 * InterTan, Inc. 170,050 2,381 * Microtune, Inc. 108,200 2,380 * Anaren Microwave, Inc. 118,800 2,376 Sterling Bancshares, Inc. 123,300 2,365 * Handleman Co. 141,100 2,363 Bay View Capital Corp. 315,199 2,358 * webMethods, Inc. 111,200 2,355 * The Profit Recovery Group International, Inc. 205,250 2,352 * ProQuest Company 75,700 2,346 * The InterCept Group, Inc. 61,300 2,329 * Rogers Corp. 87,800 2,327 * Cytogen Corp. 430,400 2,324 * Crestline Capital Corp. 74,700 2,321 AAR Corp. 135,600 2,319 * Biopure Corp. 87,300 2,302 * Spectrasite Holdings, Inc. 317,200 2,297 Penton Media, Inc. Class A 131,000 2,293 * Bio-Rad Laboratories, Inc. Class A 46,000 2,291 * Power Integrations, Inc. 146,500 2,285 Tucker Anthony Sutro Corp. 103,600 2,279 Barnes Group, Inc. 92,100 2,275 Taubman Co. REIT 161,900 2,267 * XO Communications Inc. 1,180,100 2,266 18 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * School Specialty, Inc. 87,100 2,252 Regal-Beloit Corp. 107,600 2,251 Mid-State Bancshares 123,400 2,251 GenCorp, Inc. 175,840 2,251 * Lexicon Genetics Inc. 179,800 2,248 * Arena Pharmaceuticals, Inc. 73,700 2,247 * Christopher & Banks Corp. 68,900 2,246 * Cumulus Media Inc. 165,100 2,242 * Saba Software, Inc. 136,600 2,242 * Group 1 Automotive, Inc. 75,700 2,241 * Corrections Corp. of America 140,218 2,236 * Arkansas Best Corp. 97,000 2,236 * Digital Lightwave, Inc. 60,400 2,232 Kaman Corp. Class A 126,100 2,232 * Actuate Software Corp. 233,000 2,225 * ISIS Pharmaceuticals, Inc. 179,300 2,222 * Internap Network Services Corp. 679,200 2,221 A. Schulman Inc. 164,400 2,219 Russell Corp. 130,425 2,216 RFS Hotel Investors, Inc. REIT 140,300 2,215 * Jones Lang Lasalle Inc. 167,700 2,214 Greif Brothers Corp. Class A 72,800 2,209 Manufactured Home Communities, Inc. REIT 78,600 2,209 * Heidrick & Struggles International, Inc. 108,600 2,208 * Renaissance Learning, Inc. 43,600 2,206 Elcor Corp. 108,425 2,196 Seacoast Financial Services Corp. 134,500 2,186 * C-COR Electronics, Inc. 182,000 2,184 Winnebago Industries, Inc. 71,000 2,183 Kelly Services, Inc. Class A 90,000 2,183 * IMRglobal Corp. 199,600 2,182 * OfficeMax, Inc. 591,100 2,181 * Concurrent Computer Corp. 310,200 2,171 * On Assignment, Inc. 120,300 2,165 * Three-Five Systems, Inc. 120,300 2,163 * WebEx Communications, Inc. 81,100 2,162 * MICROS Systems, Inc. 98,000 2,156 * Alexion Pharmaceuticals, Inc. 89,800 2,155 * Allen Telecom Inc. 143,660 2,155 * AnswerThink Consulting Group, Inc. 215,600 2,154 * Pacificare Health Systems, Inc. 132,100 2,153 * Tower Automotive, Inc. 209,500 2,147 Mills Corp. REIT 87,247 2,146 * Entegris Inc. 187,400 2,146 * Proxim, Inc. 151,932 2,142 Bowne & Co., Inc. 86,200 2,141 * Genuity Inc. 685,700 2,139 * I-many, Inc. 158,300 2,137 * Ventana Medical Systems, Inc. 67,800 2,136 Crown Cork & Seal Co., Inc. 569,500 2,136 Arnold Industries, Inc. 110,300 2,135 * Rayovac Corp. 100,000 2,130 * Conmed Corp. 81,750 2,130 * Novoste Corp. 83,400 2,127 * Ocwen Financial Corp. 206,700 2,119 * Plains Resources 89,100 2,117 * Factory 2-U Stores Inc. 72,100 2,116 * AmeriCredit Corp. 40,700 2,114 Chesapeake Corp. of Virginia 85,300 2,111 Glenborough Realty Trust, Inc. REIT 109,200 2,108 Carter-Wallace, Inc. 108,900 2,107 * Ryan's Family Steak Houses, Inc. 171,900 2,106 Georgia Gulf Corp. 135,800 2,105 * Rent-A-Center, Inc. 39,900 2,099 * Numerical Technologies, Inc. 99,900 2,098 Fremont General Corp. 322,500 2,096 * Electroglas, Inc. 118,400 2,096 MacDermid, Inc. 116,300 2,093 * General Semiconductor, Inc. 200,050 2,093 Walter Industries, Inc. 175,200 2,085 Waypoint Financial Corp. 166,400 2,080 * Papa John's International, Inc. 82,050 2,080 Nu Skin Enterprises, Inc. 244,600 2,079 * Vicor Corp. 127,500 2,078 * Corinthian Colleges, Inc. 44,100 2,076 * Genlyte Group, Inc. 67,000 2,071 * Presstek, Inc 172,500 2,070 * Carreker Corp. 96,200 2,068 * Texas Biotechnology Corp. 246,700 2,067 * MIPS Technologies, Inc. Class B 160,217 2,067 * Adtran, Inc. 100,800 2,066 * Wyndham International, Inc. Class A 826,400 2,066 * Oplink Communications, Inc. 550,700 2,065 * Integrated Silicon Solution, Inc. 148,300 2,061 * New Focus, Inc. 249,600 2,059 * INAMED Corp. 84,200 2,059 Commercial Metals Co. 64,266 2,058 Empire District Electric Co. 99,370 2,056 CVB Financial Corp. 107,013 2,055 * Intermagnetics General Corp. 63,400 2,054 First Sentinel Bancorp Inc. 151,140 2,051 South Jersey Industries, Inc. 65,836 2,051 * Hollywood Entertainment Corp. 242,200 2,049 Tennant Co. 51,200 2,048 First Source Corp. 73,056 2,046 * Mesa Air Group Inc. 165,500 2,044 * American Medical Systems Holdings, Inc. 132,900 2,040 Equity Inns, Inc. REIT 207,500 2,034 California Water Service Group 79,226 2,032 19 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * Tollgrade Communications, Inc. 71,200 2,029 Promistar Financial Corp. 84,493 2,028 * RadiSys Corp. 88,600 2,025 Mid-America Apartment Communities, Inc. REIT 9,100 2,024 * FSI International, Inc. 144,500 2,023 EastGroup Properties, Inc. REIT 89,400 2,020 * Avid Technology, Inc. 128,500 2,017 * Avici Systems Inc. 234,300 2,008 Advanta Corp. Class A 125,480 2,008 Burlington Coat Factory Warehouse Corp. 100,340 2,007 * Palm Harbor Homes, Inc. 92,229 2,006 * Energy Conversion Devices, Inc. 71,600 2,005 * NextCard, Inc. 181,400 2,004 * Abercrombie & Fitch Co. 44,932 1,999 The Stride Rite Corp. 234,800 1,996 National Penn Bancshares Inc. 98,307 1,990 * Guitar Center, Inc. 94,000 1,986 * Sotheby's Holdings Class A 122,900 1,982 Pioneer Standard Electronics Inc. 154,850 1,982 * Pharmaceutical Resources, Inc. 64,500 1,980 Dimon Inc. 197,900 1,979 * ArQule, Inc. 91,300 1,978 * GoTo.com, Inc. 101,600 1,976 * Intuitive Surgical, Inc. 145,700 1,968 Schweitzer-Mauduit International, Inc. 83,400 1,968 Frontier Oil Corp. 148,500 1,968 * Vans, Inc. 83,600 1,965 * Symmetricom Inc. 133,600 1,956 WD-40 Co. 87,000 1,952 * Circuit City Stores, Inc.- CarMax Group 122,200 1,950 * eSPEED, Inc. 88,600 1,949 * P.F. Chang's China Bistro, Inc. 51,400 1,948 * DiamondCluster International, Inc. 152,750 1,945 * Caremark Rx, Inc. 118,052 1,942 * Photon Dynamics, Inc. 71,800 1,939 * Frontier Airlines, Inc. 157,850 1,934 * Superior Energy Services, Inc. 244,160 1,929 W Holding Co., Inc. 148,300 1,928 United National Bancorp 84,846 1,924 * The Medicines Co. 93,500 1,916 * Robert Mondavi Corp. Class A 47,200 1,913 * ABIOMED, Inc. 81,100 1,912 * Portal Software, Inc. 463,000 1,912 * Key3Media Group, Inc. 164,600 1,911 * URS Corp. 70,700 1,909 * Dobson Communications Corp. 111,900 1,908 * NewPower Holdings, Inc. 211,950 1,908 * Triarc Cos., Inc. Class A 72,800 1,907 Quanex Corp. 73,600 1,906 * Cadiz Inc. 190,500 1,905 * JAKKS Pacific, Inc. 101,750 1,903 * Phoenix Technologies LTD. 130,200 1,901 * ProAssurance Corp. 110,196 1,901 * Pre-Paid Legal Services, Inc. 86,400 1,901 * Heartland Express, Inc. 83,360 1,901 * Schuler Homes Inc. Class A 140,340 1,900 * Proton Energy Systems, Inc. 157,900 1,895 Interface, Inc. 252,300 1,892 * America West Holdings Corp. Class B 189,600 1,890 * CoStar Group, Inc. 71,720 1,886 * Genencor International Inc. 118,700 1,886 * Bright Horizons Family Solutions, Inc. 60,000 1,884 * Pericom Semiconductor Corp. 119,800 1,883 * Speedway Motorsports, Inc. 74,700 1,883 Sovran Self Storage, Inc. REIT 68,800 1,883 First Financial Bankshares, Inc. 60,687 1,881 * Tesoro Petroleum Corp. 149,100 1,879 * Genome Therapeutics Corp. 126,500 1,877 * ATS Medical, Inc. 24,600 1,876 * JDA Software Group, Inc. 112,950 1,876 Applied Industrial Technology, Inc. 98,400 1,865 Pacific Northwest Bancorp 74,600 1,864 IRT Property Co. REIT 170,998 1,862 * Theragenics Corp. 166,700 1,862 Interactive Data Corp 206,578 1,859 * Aclara Biosciences, Inc. 187,700 1,858 American States Water Co. 54,600 1,856 * InterVoice-Brite, Inc. 168,500 1,854 * Zygo Corp. 83,300 1,853 * Navigant Consulting, Inc. 225,900 1,852 F & M Bancorp 62,159 1,852 Hancock Holding Co. 43,007 1,847 Oshkosh B' Gosh, Inc. Class A 55,500 1,845 * Ventiv Health, Inc. 89,200 1,841 * Websense, Inc. 91,900 1,838 * Cyberonics, Inc. 108,745 1,838 AMLI Residential Properties Trust REIT 74,700 1,838 * Offshore Logistics, Inc. 96,700 1,837 Franklin Electric, Inc. 24,200 1,837 * Dendrite International, Inc. 165,500 1,837 * ESCO Technologies Inc. 60,600 1,827 Spartech Corp. 75,600 1,826 Bedford Property Investors, Inc. REIT 87,100 1,825 Phillips-Van Heusen Corp. 126,500 1,822 * Atwood Oceanics, Inc. 51,800 1,818 * Serologicals Corp. 85,100 1,816 * Duramed Pharmaceuticals, Inc. 101,300 1,812 * Moog Inc. 46,500 1,811 * ViaSat, Inc. 75,700 1,808 20 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- Lance, Inc. 133,900 1,808 Central Parking Corp. 96,600 1,806 * SpeechWorks International Inc. 114,800 1,802 International Multifoods Corp. 86,800 1,801 * Cognizant Technology Solutions Corp. 42,200 1,791 * The Dress Barn, Inc. 78,700 1,790 * Luminex Corp. 89,500 1,789 * O'Charley's Inc. 92,300 1,789 NUI Corp. 77,500 1,789 * deCODE genetics, Inc. 145,200 1,787 * Gentiva Health Services, Inc. 99,200 1,786 * JNI Corp. 127,500 1,785 * AVANT Immunotherapeutics, Inc. 315,800 1,784 * Computer Network Technology Corp. 167,400 1,776 PS Business Parks, Inc. REIT 63,400 1,775 * RTI International Metals 116,400 1,775 * MEMC Electronic Materials, Inc. 231,700 1,773 * Alliance Semiconductor Corp. 147,100 1,768 * Rural Cellular Corp. Class A 39,000 1,767 * Terayon Communications Systems, Inc. 288,500 1,766 Dime Community Bancshares 52,000 1,764 * Advanced Tissue Sciences Inc. 352,200 1,761 * Ulticom, Inc. 52,000 1,758 * Steel Dynamics, Inc. 140,600 1,758 * BOK Financial Corp. 65,302 1,757 Chemed Corp. 48,600 1,756 * Headwaters Inc. 109,600 1,754 * CoorsTek, Inc. 46,600 1,748 * Docent, Inc. 174,600 1,746 Anchor Bancorp Wisconsin Inc. 109,800 1,746 Capstead Mortage Corp. REIT 98,000 1,744 * Pinnacle Systems, Inc. 288,200 1,744 * Dyax Corp. 91,800 1,744 * SeaChange International, Inc. 96,600 1,742 * Southwestern Energy Co. 141,900 1,738 * Molecular Devices Corp. 86,600 1,736 Sandy Spring Bancorp, Inc. 53,900 1,736 * Crown Media Holdings, Inc. 93,500 1,734 * Buckeye Technology, Inc. 120,400 1,734 First Financial Corp.-Indiana 36,000 1,733 First Financial Holdings, Inc. 75,200 1,730 * Centra Software, Inc. 101,600 1,726 Bandag, Inc. 63,100 1,723 * Financial Federal Corp. 59,450 1,721 * Aspect Communications Corp. 246,000 1,720 U.S. Industries, Inc. 18,700 1,717 * Therma-Wave Inc. 89,900 1,714 * MedQuist, Inc. 57,711 1,713 * UNOVA, Inc. 248,400 1,709 Tredegar Corp. 89,000 1,704 * Atrix Laboratories, Inc. 71,900 1,704 * Viewpoint Corp. 200,000 1,700 * ESS Technology, Inc. 160,300 1,699 * Integrated Electrical Services, Inc. 174,200 1,698 * Houston Exploration Co. 54,300 1,697 Ryerson Tull, Inc. 125,647 1,695 * Nabi 213,400 1,694 * Ivex Packaging Corp. 89,000 1,691 * Gardner Denver Inc. 82,100 1,687 Analogic Corp. 37,000 1,685 * Internet Capital Group, Inc. 841,100 1,682 Curtiss-Wright Corp. 31,300 1,681 Apogee Enterprises, Inc. 134,500 1,680 * Shuffle Master, Inc. 79,880 1,677 Brown Shoe Company, Inc. 92,900 1,677 * Avanir Pharmaceuticals Class A 265,500 1,673 R.L.I. Corp. 37,150 1,669 Andover Bancorp, Inc. 33,200 1,668 PMA Capital Corp. Class A 92,411 1,668 * Forrester Research, Inc. 73,800 1,667 * Aphton Corp. 76,100 1,667 Anthracite Capital Inc. 150,600 1,664 Parkway Properties Inc. REIT 47,200 1,664 * F5 Networks, Inc. 94,600 1,662 Alabama National BanCorporation 51,100 1,658 * Register.com, Inc. 106,800 1,654 * Albany International Corp. 87,284 1,650 Exide Corp. 143,300 1,648 * ChipPAC, Inc. 157,700 1,646 * California Pizza Kitchen, Inc. 70,600 1,641 * Hexcel Corp. 128,700 1,641 * Spanish Broadcasting System, Inc. 199,400 1,637 * NCI Building Systems, Inc. 89,700 1,637 * Action Performance Cos., Inc. 65,300 1,633 Methode Electronics, Inc. Class A 189,800 1,632 * Cygnus Inc. 159,100 1,631 * Rosetta Inpharmatics,Inc. 105,200 1,631 Mine Safety Appliances Co. 47,600 1,630 CT Communications, Inc. 87,800 1,630 Town & Country Trust REIT 79,800 1,628 * Mapinfo Corp. 73,950 1,627 * J.B. Hunt Transport Services, Inc. 85,600 1,626 PFF Bancorp, Inc. 65,000 1,625 * Universal Compression Holdings, Inc. 57,200 1,624 Omnova Solutions Inc. 222,800 1,622 * IGEN International, Inc. 62,200 1,617 Oneida Ltd. 79,535 1,617 Rollins, Inc. 81,100 1,615 21 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * Western Multiplex Corporation 234,690 1,612 Fred's, Inc. 62,525 1,610 Great Atlantic & Pacific Tea Co., Inc. 108,700 1,609 * Playtex Products, Inc. 150,200 1,607 Bel Fuse, Inc. Class B 48,300 1,606 * The Yankee Candle Company, Inc. 84,500 1,605 * Acacia Research Corp. 99,800 1,597 Farmers Capital Bank Corp. 39,300 1,596 Roadway Corp 67,100 1,595 * Sangstat Medical Corp. 97,300 1,594 * Pegasus Solutions Inc. 137,950 1,593 ChemFirst Inc. 60,800 1,593 * The Children's Place Retail Stores, Inc. 59,400 1,592 Strayer Education, Inc. 32,650 1,592 * AremisSoft Corp. 98,200 1,591 * Neurogen Corp. 69,300 1,590 Pennsylvania REIT 64,300 1,588 * Impco Technologies Inc. 44,800 1,584 Deltic Timber Corp. 54,800 1,578 Student Loan Corp. 22,600 1,576 * Vical, Inc. 112,700 1,576 United Community Financial Corp. 180,900 1,574 * Systems & Computer Technology Corp. 173,900 1,574 * UbiquiTel Inc. 206,700 1,571 * Amerco, Inc. 70,320 1,568 Capital Automotive REIT 87,100 1,568 * Ultimate Electronics, Inc. 48,300 1,566 * Net.B@nk, Inc. 138,300 1,563 * Packeteer, Inc. 124,600 1,561 * Universal Display Corp. 79,600 1,560 Thornburg Mortgage, Inc. 100,500 1,559 * Electronics Boutique Holdings Corp. 49,000 1,556 Innkeepers USA Trust REIT 129,700 1,554 * Entrust, Inc. 219,100 1,553 * La Jolla Pharmaceutical Co. 151,500 1,553 * Clarent Corp. 168,100 1,545 * EMCOR Group, Inc. 42,700 1,544 * Allscripts Healthcare Solutions, Inc 171,400 1,543 Cato Corp. Class A 79,000 1,542 * Auspex Systems, Inc. 215,400 1,538 * Matrix Pharmaceutical, Inc. 147,300 1,536 * Corvas International, Inc. 130,400 1,536 * US Unwired Inc. 144,500 1,533 * Geron Corp. 109,500 1,533 * Orasure Technologies, Inc. 122,400 1,530 * Triad Guaranty, Inc. 38,200 1,528 JP Realty Inc. REIT 62,300 1,526 Semco Energy Inc. 101,685 1,525 West Pharmaceutical Services, Inc. 56,394 1,523 * Antec Corp. 122,600 1,520 Russ Berrie and Co., Inc. 51,700 1,520 * Learning Tree International, Inc. 66,200 1,520 * SBS Technologies, Inc. 80,300 1,519 National Golf Properties, Inc. REIT 55,700 1,518 * Teletech Holdings Inc. 68,800 1,518 * Silicon Graphics, Inc. 1,087,800 1,512 * Knight Transportation, Inc. 73,550 1,511 * Sola International Inc. 107,100 1,511 Entertainment Properties Trust REIT 82,800 1,511 * Buca, Inc. 69,300 1,507 Omega Financial Corp. 46,800 1,506 * Antigenics, Inc. 76,100 1,503 * Art Technology Group, Inc. 258,700 1,500 * WFS Financial, Inc. 48,766 1,500 Universal Forest Products, Inc. 66,500 1,496 * Genta Inc. 111,700 1,496 * Rent-Way, Inc. 137,200 1,495 * SONICblue Inc. 453,100 1,495 * Fossil, Inc. 72,000 1,494 Brush Engineered Materials Inc. 93,200 1,491 * Griffon Corp. 35,300 1,488 Wabash National Corp. 122,800 1,486 Carbo Ceramics Inc. 40,100 1,486 * Spartan Stores, Inc. 92,500 1,486 * Duane Reade Inc. 45,700 1,485 * Research Frontiers, Inc. 55,000 1,485 * Nortek, Inc. 47,500 1,483 * AmeriSource Health Corp. 26,800 1,482 * Trico Marine Services, Inc. 139,100 1,480 * Sequenom, Inc. 105,500 1,477 * Bethlehem Steel Corp. 730,991 1,477 * Sipex Corp. 126,800 1,475 * Wave Systems Corp. 274,300 1,473 * Seitel, Inc. 112,400 1,472 * Universal Access, Inc. 237,100 1,470 Calgon Carbon Corp. 187,200 1,470 * Visual Networks, Inc. 167,884 1,469 * Standard Microsystem 82,000 1,468 Watts Industries Class A 86,500 1,466 Crossman Communities, Inc. 36,900 1,465 Penn Virginia Corp. 44,400 1,461 Landry's Restaurants, Inc. 85,900 1,460 * Philadelphia Consolidated Holding Corp. 41,900 1,457 Advanced Marketing Services 69,850 1,456 * Keynote Systems Inc. 132,700 1,453 * Stein Mart, Inc. 140,300 1,451 * M.S. Carriers, Inc. 47,200 1,450 * Mastec Inc. 109,800 1,449 * Interneuron Pharmaceutical, Inc. 170,300 1,446 * PLATO Learning, Inc. 46,700 1,445 22 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * Remington Oil & Gas Corp. 76,000 1,444 * NMS Communications Corp. 206,200 1,443 Southwest Securities Group, Inc. 69,630 1,441 Bank of Granite Corp. 62,663 1,441 * ONYX Software Corp. 180,100 1,441 * Magnatek 114,900 1,436 * Orchid Biosciences 187,400 1,434 * Astec Industries, Inc. 83,100 1,433 * Intelidata Technologies Corp. 242,800 1,433 * Trans World Entertainment Corp. 150,050 1,427 CityBank Lynnwood WA 52,700 1,423 * Sinclair Broadcast Group, Inc. 138,000 1,421 Mid-America Bancorp 49,059 1,420 Valmont Industries, Inc. 77,700 1,414 Fisher Communications, Inc. 19,400 1,414 * Bone Care International, Inc. 53,300 1,412 * Magellan Health Services, Inc. 110,300 1,412 * Trammell Crow Co. 127,750 1,412 * Universal Electronics, Inc. 78,100 1,406 * IDX Systems Corp. 93,680 1,405 * Zomax Inc. 157,600 1,404 Connecticut Bancshares, Inc. 53,500 1,401 * Energy Partners, Ltd. 104,400 1,400 Talx Corp. 37,800 1,399 * Sykes Enterprises, Inc. 127,100 1,398 * Hydrill Co. 61,400 1,398 Standex International Corp. 59,200 1,397 * Pozen Inc. 92,800 1,392 * TETRA Technologies, Inc. 56,600 1,384 First Merchants Corp. 57,800 1,383 BEI Technologies, Inc. 51,200 1,383 First Federal Capital Corp. 85,300 1,382 Milacron Inc. 88,177 1,382 * SuperGen, Inc. 93,800 1,382 * BioMarin Pharmaceutical Inc. 104,500 1,380 Kansas City Life Insurance Co. 34,460 1,378 Berry Petroleum Class A 94,900 1,376 The Standard Register Co. 74,300 1,375 The Marcus Corp. 98,500 1,374 * I-STAT Corp. 93,200 1,374 * Zoll Medical Corp. 50,000 1,373 Lexington Corporate Properties Trust REIT 88,700 1,372 * Armor Holdings, Inc. 91,400 1,371 * Per-Se Technologies, Inc. 168,216 1,371 Independent Bank Corp. 69,400 1,370 * EntreMed, Inc. 85,600 1,370 * Radiant Systems, Inc. 84,900 1,369 * Insmed Incorporated 152,100 1,367 * Alliance Gaming Corp. 34,800 1,367 * Vasomedical, Inc. 316,300 1,366 * Targeted Genetics Corp. 210,000 1,365 * Pure Resources, Inc. 75,400 1,357 Dover Downs Entertainment, Inc. 88,000 1,355 * Digex, Inc. 104,200 1,355 MTS Systems Corp. 98,100 1,353 * Avanex Corp. 139,300 1,351 * Digimarc Corp. 55,900 1,350 * Silicon Image, Inc. 269,500 1,348 * W-H Energy Services, Inc. 70,900 1,347 * Range Resources Corp. 224,500 1,347 AREA Bancshares Corp. 81,600 1,346 Caraustar Industries, Inc. 146,000 1,343 Independent Bank Corp. 54,600 1,340 * Laboratory Corp. of America Holdings 17,430 1,340 Watsco, Inc. 95,050 1,340 * Genzyme Corp.- Genzyme Biosurgery 161,921 1,339 * Information Resources, Inc. 129,400 1,338 Arctic Cat, Inc. 92,000 1,334 * Catalytica Energy Systems, Inc. 61,400 1,332 * Daisytek International Corp. 84,500 1,331 * National Western Life Insurance Co. Class A 12,200 1,330 Bergen Brunswig Corp. Class A 69,200 1,330 Aaron Rents, Inc. Class B 78,200 1,329 Cascade Natural Gas Corp. 62,200 1,325 * NS Group Inc. 99,200 1,324 North Pittsburgh Systems, Inc. 82,700 1,322 * DuPont Photomasks, Inc. 27,400 1,322 * Nuevo Energy Co. 81,100 1,322 * Electro Rent Corp. 80,958 1,320 Hudson River Bancorp. Inc. 72,900 1,319 * Prima Energy Corp. 54,750 1,319 Haverty Furniture Cos., Inc. 88,200 1,319 * Metromedia International Group, Inc. 399,800 1,315 * 3DO Co. 180,600 1,315 * Manor Care, Inc. 41,400 1,314 * The Meridian Resource Corp. 183,244 1,314 Lone Star Steakhouse & Saloon, Inc. 101,000 1,312 * Key Production Company, Inc. 78,700 1,310 * Atlas Air Worldwide Holdings, Inc. 92,500 1,310 Mississippi Valley Bancshares, Inc. 32,700 1,305 First Indiana Corp. 50,120 1,305 * Insignia Financial Group, Inc. 106,900 1,304 * DRS Technologies, Inc. 56,700 1,303 * Saga Communications, Inc. 54,700 1,299 * ScanSource, Inc. 27,300 1,295 Irwin Financial Corp. 51,400 1,293 * StarBase Corp. 353,900 1,292 * Comstock Resources, Inc. 125,200 1,283 * Enzon, Inc. 20,500 1,281 * ANSYS, Inc. 68,400 1,280 23 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * Planar Systems, Inc. 49,400 1,279 * MRO Software Inc. 80,800 1,277 * Caminus Corp. 47,300 1,276 * MemberWorks, Inc. 55,100 1,275 * MSC.Software Corp. 68,000 1,275 GBC Bancorp 44,600 1,273 * Connetics Corp. 167,900 1,273 Gold Banc Corp., Inc. 164,400 1,272 U.S. Restaurant Properties, Inc. REIT 85,200 1,272 Vesta Insurance Group, Inc. 116,100 1,271 * Itron, Inc. 67,000 1,271 Suffolk Bancorp 28,300 1,268 Myers Industries, Inc. 83,930 1,267 Washington Trust Bancorp, Inc. 57,500 1,266 * Regent Communications, Inc. 105,500 1,265 * FLIR Systems, Inc. 50,300 1,259 Boston Private Financial Holdings, Inc. 56,000 1,254 Great Lakes, Inc. REIT 68,700 1,251 * NeoPharm, Inc. 49,000 1,250 Boykin Lodging Co. REIT 96,800 1,249 * QRS Corp. 75,200 1,248 * Invitrogen Corp. 17,378 1,248 Zenith National Insurance Corp. 46,200 1,247 Inter-Tel, Inc. 104,400 1,243 Sterling Financial Corp. 53,700 1,243 * Organogenesis, Inc. 167,591 1,240 Luby's, Inc. 126,600 1,239 * Dura Automotive Systems, Inc. 77,435 1,239 Astoria Financial Corp. 22,500 1,238 * First Republic Bank 50,500 1,237 Tompkins County Trustco, Inc. 31,300 1,236 CCBT Financial Cos. Inc. 41,200 1,236 * Midwest Express Holdings, Inc. 71,200 1,235 Centex Corp. 30,300 1,235 Engineered Support Systems, Inc. 31,382 1,230 * WatchGuard Technologies, Inc. 119,900 1,229 Glacier Bancorp, Inc. 64,600 1,227 * Penn National Gaming, Inc. 48,300 1,227 LaSalle Hotel Properties REIT 68,800 1,226 * Magnum Hunter Resources Inc. 137,500 1,224 Kramont Realty Trust 89,400 1,223 * Gabelli Asset Management Inc. 29,600 1,218 * Dendreon Corp. 72,800 1,218 New England Business Service, Inc. 63,400 1,217 CPB, Inc. 41,100 1,216 * Computerized Thermal Imaging, Inc. 303,500 1,214 Riggs National Corp. 71,400 1,213 * Genaissance Pharmaceuticals, Inc. 86,400 1,213 CNA Surety Corp. 86,400 1,210 * Lincare Holdings, Inc. 40,300 1,209 * 7-Eleven, Inc. 107,500 1,209 Nash-Finch Co. 51,200 1,208 * DVI, Inc. 68,600 1,207 First Community Bancshares, Inc. 38,500 1,203 * National Health Investors REIT 116,800 1,203 * HotJobs.com Ltd. 133,600 1,202 * IDT Corp. Class B 108,800 1,197 Centex Construction Products,Inc. 36,700 1,193 * Casella Waste Systems, Inc. 95,400 1,193 * Retek Inc. 24,861 1,192 * Somera Communications, Inc. 166,400 1,191 * Vastera, Inc. 83,900 1,191 * American Healthcorp Inc. 30,900 1,190 * Universal American Financial Corp. 190,900 1,185 * MGI Pharma, Inc. 94,800 1,185 Community Trust Bancorp Inc. 49,300 1,183 Robbins & Myers, Inc. 41,878 1,181 * Durect Corp. 90,600 1,178 * Del Monte Foods Co. 140,600 1,178 FBL Financial Group, Inc. Class A 65,411 1,177 Oriental Financial Group 61,966 1,177 * Xybernaut Corp. 245,000 1,176 * Pinnacle Holdings Inc. REIT 195,600 1,176 * Microvision, Inc. 55,400 1,175 Penn Engineering & Manufacturing Corp. 67,000 1,173 Thor Industries, Inc. 35,500 1,170 * Peregrine Pharmaceuticals, Inc. 444,800 1,170 * Local Financial Corp. 90,600 1,169 Hickory Tech Corp. 73,000 1,168 * Pemstar Inc. 79,400 1,166 * Varian Medical Systems, Inc. 16,300 1,165 * MetaSolv, Inc. 146,900 1,165 * ParkerVision, Inc. 44,500 1,164 Reckson Associates Realty Corp. Class B REIT 47,256 1,163 * Stewart Information Services Corp. 59,600 1,162 Simmons First National 34,700 1,159 OceanFirst Financial Corp. 44,600 1,157 BSB Bancorp, Inc. 50,150 1,156 * Vitria Technology, Inc. 335,900 1,155 * 3Tec Energy Corp. 65,000 1,154 Interpool, Inc. 73,450 1,153 * AMC Entertainment, Inc. 88,600 1,152 * Wilson Greatbatch Technologies, Inc. 39,700 1,151 Sterling Bancorp 37,600 1,151 Ameron International Corp. 17,200 1,148 * NaPro BioTherapeutics, Inc. 112,500 1,148 * Steak n Shake Company 123,999 1,147 Westcorp, Inc. 54,044 1,146 24 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * Aware, Inc. 127,300 1,146 Gerber Scientific, Inc. 104,500 1,144 State Auto Financial Corp. 69,800 1,144 * Covansys Corp 101,100 1,142 * Lear Corp. 32,700 1,141 * XM Satellite Radio Holdings, Inc. 70,300 1,139 * The Gymboree Corp. 133,800 1,137 Landauer, Inc. 37,900 1,137 * ICU Medical, Inc. 27,500 1,135 * Xicor, Inc. 102,500 1,135 * United Therapeutics Corp. 84,800 1,132 * Columbia Laboratories Inc. 139,900 1,132 * Playboy Enterprises, Inc. Class B 72,200 1,130 Century Aluminum Co. 70,400 1,129 * Genzyme Transgenics Corp. 113,600 1,129 * Embarcadero Technologies, Inc. 50,600 1,129 * Pactiv Corp. 84,200 1,128 * Championship Auto Racing Teams, Inc. 70,500 1,128 * Labor Ready, Inc. 215,186 1,128 * Nanometrics Inc. 41,000 1,127 SLI, Inc. 136,475 1,126 * Insurance Auto Auctions, Inc. 66,000 1,122 * Dianon Systems, Inc. 24,600 1,119 M/I Schottenstein Homes, Inc. 28,200 1,114 * CDI Corp. 65,500 1,113 Commerce Bancorp, Inc. 15,859 1,112 Conestoga Enterprises, Inc. 37,600 1,111 Banner Corp. 50,500 1,111 * DUSA Pharmaceuticals, Inc. 77,600 1,108 Farmer Brothers, Inc. 4,750 1,107 * IDT Corp. 81,900 1,106 * Wilsons The Leather Experts Inc. 59,600 1,106 * ShopKo Stores, Inc. 151,700 1,104 * Syntroleum Corp. 121,300 1,103 * Vion Pharmaceuticals, Inc. 124,800 1,101 MDU Resources Group, Inc. 34,787 1,101 * SpectraLink Corp. 84,600 1,101 Saul Centers, Inc. REIT 58,100 1,098 * CSK Auto Corp. 132,200 1,097 * Martha Stewart Living Omnimedia, Inc. 47,500 1,097 * Horizon Offshore, Inc. 81,200 1,096 * McMoRan Exploration Co. 73,000 1,095 * Elizabeth Arden, Inc. 44,800 1,094 Investors Financial Services Corp. 16,304 1,092 * Smithfield Foods, Inc. 27,100 1,092 * MTR Gaming Group Inc. 80,600 1,088 * Tejon Ranch Co. 39,899 1,087 * National Processing, Inc. 38,800 1,086 * Venator Group, Inc. 70,959 1,086 * Aspect Medical Systems, Inc. 70,000 1,085 * Inspire Pharmaceuticals, Inc. 77,500 1,085 Allied Capital Corp. 46,800 1,083 * TriPath Imaging, Inc. 109,300 1,083 * United Natural Foods, Inc. 51,700 1,083 * Integral Systems, Inc. 44,832 1,082 * Salem Communications Corp. 49,400 1,081 Fidelity Bankshares, Inc. 75,000 1,079 Sturm, Ruger & Co., Inc. 110,000 1,078 * Audiovox Corp. 96,800 1,074 * Merix Corp. 61,400 1,074 * Cambridge Technology Partners 302,900 1,072 * American Physicians Capital, Inc. 54,974 1,072 Midas Inc. 84,400 1,072 Arthur J. Gallagher & Co. 41,200 1,071 Alliance Bancorp Inc. 36,300 1,070 Lindsay Manufacturing Co. 56,295 1,070 * Triad Hospitals, Inc. 36,249 1,068 * WetSeal, Inc. Class A 30,800 1,066 * Genesis Intermedia Inc. 56,800 1,065 * Specialty Laboratories, Inc. 28,100 1,064 National City Bancorporation 35,500 1,063 * Maxwell Technologies, Inc. 47,600 1,061 * Sciclone Pharmaceuticals 182,000 1,061 Cash America International Inc. 124,812 1,061 CFS Bancorp, Inc. 76,500 1,058 * Onyx Pharmaceuticals, Inc. 87,900 1,056 Coachmen Industries, Inc. 79,500 1,053 * Valence Technology 163,500 1,051 * H Power Corp. 108,200 1,051 LSI Industries Inc. 44,900 1,050 City Holding Co. 80,400 1,050 * Rigel Pharmaceuticals, Inc. 123,400 1,049 * Med-Design Corp. 34,800 1,049 * Excel Technology, Inc. 47,400 1,047 Oregon Steel Mills, Inc. 122,900 1,045 Metris Cos., Inc. 30,913 1,042 Central Vermont Public Service Corp. 55,100 1,042 * Esperion Therapeutics, Inc. 96,900 1,042 * Endocare, Inc. 65,000 1,039 * Finish Line, Inc. 83,100 1,038 BankAtlantic Bancorp, Inc. Class A 119,266 1,036 * Semitool, Inc. 86,800 1,036 * Illumina, Inc. 87,900 1,035 * Terremark Worldwide, Inc. 685,700 1,035 * Copper Mountain Networks, Inc. 252,100 1,034 Eaton Vance Corp. 29,700 1,034 * Boston Communications Group, Inc. 71,600 1,031 * Identix, Inc. 164,800 1,030 * dELiA*s Corp. 128,700 1,030 HEICO Corp. 53,600 1,029 * Watson Wyatt & Company Holdings 44,000 1,029 * Barnes & Noble, Inc. 26,100 1,027 25 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * AT&T Latin America Corp.-Class A 206,200 1,027 * II-VI, Inc. 58,650 1,026 * Roxio, Inc. 78,900 1,026 * Value City Department Stores, Inc. 89,100 1,025 * J. Jill Group, Inc. 50,400 1,021 * PictureTel Corp. 181,700 1,018 P.H. Glatfelter Co. 71,100 1,014 * Valentis, Inc. 162,100 1,013 * Startek, Inc. 44,800 1,012 * Isle of Capri Casinos, Inc. 107,700 1,012 * VidaMed, Inc. 167,200 1,012 Pope & Talbot, Inc. 78,300 1,011 * Federal Agricultural Mortgage Corp. 31,600 1,011 * MIPS Technologies, Inc. 58,400 1,010 * Wesco International, Inc. 111,000 1,010 Woodhead Industries, Inc. 59,200 1,006 * AFC Enterprises, Inc. 52,500 1,005 * Celeritek, Inc. 67,200 1,005 United Industrial Corp. 59,900 1,003 A.O. Smith Corp. 56,000 1,002 * Daktronics, Inc. 65,100 1,002 * TRC Cos., Inc. 24,900 1,000 SCPIE Holdings Inc. 49,500 1,000 Newport News Shipbuilding Inc. 16,300 998 * KOS Pharmaceuticals, Inc. 26,800 997 First Busey Corp. 46,500 996 * Acclaim Entertainment Inc. 203,700 994 Cleveland-Cliffs Iron Co. 53,600 992 American Woodmark Corp. 25,800 991 Lennar Corp. 23,770 991 * CB Richard Ellis Services, Inc. 63,129 991 Western Resources, Inc. 46,000 989 West Coast Bancorp 77,700 984 * The TriZetto Group, Inc. 106,200 982 * Sanchez Computer Associates, Inc. 74,100 982 * Turnstone Systems, Inc. 140,100 981 Conectiv, Inc. 45,400 981 Precision Castparts Corp. 26,200 980 * AdvancePCS 15,300 980 * Kaneb Services, Inc. 133,600 979 Southern Peru Copper Corp. 79,200 978 * K2 Inc. 85,500 977 * FiberCore, Inc. 149,800 975 SJW Corp. 11,400 975 * Pharmos Corp. 259,100 972 * ADE Corp. 51,100 971 * Kana Software, Inc 475,880 971 * SignalSoft Corp. 84,300 969 * Catellus Development Corp. 55,500 968 * Rightchoice Managed Care, Inc. 21,800 968 * Aviall Inc. 88,200 968 * Genzyme Molecular Oncology 71,400 967 * Stanford Microdevices, Inc. 57,200 967 * Intrado Inc. 56,300 967 * Possis Medical Inc. 80,100 965 Vital Signs, Inc. 29,200 965 * Applied Molecular Evolution 77,200 963 Omnicare, Inc. 47,600 962 Resource America, Inc. 73,300 960 * Boyd Gaming Corp. 166,200 956 Skyline Corp. 35,100 955 * Friedman, Billings, Ramsey Group, Inc. 136,300 954 Community Bank System, Inc. 34,000 952 * Curis, Inc. 150,800 952 * America Online Latin America, Inc. 105,800 951 * American Axle & Manufacturing Holdings, Inc. 57,100 951 Second Bancorp, Inc. 41,500 950 Lakeland Bancorp, Inc. 52,500 950 Brookline Bancorp, Inc. 67,600 949 Community Banks, Inc. 33,300 949 * Sonosite, Inc. 48,900 949 * BankUnited Financial Corp. 67,500 948 Senior Housing Properties Trust REIT 72,900 948 Peoples Holding Co. 28,700 947 * The Ackerley Group, Inc. 84,500 947 First Place Financial Corp. 73,300 947 * Eden Bioscience Corp. 94,700 946 * Metawave Communications Corp. 182,000 945 * Wild Oats Markets Inc. 90,700 944 * Impax Laboratories, Inc. 77,200 942 * Divine Inc. 448,300 941 * Urologix, Inc. 51,400 941 * MSCI, Inc. 62,000 939 * CorVel Corp. 25,200 939 Bangor Hydro-Electric Co. 35,200 936 * Cosine Communications, Inc. 415,800 931 * Building Materials Holding Corp. 61,200 931 * Titanium Metals Corp. 93,000 930 * infoUSA Inc. 155,000 930 * Cheap Tickets, Inc. 61,500 929 BancFirst Corp. 23,058 928 * Health Net Inc. 53,170 925 Universal Health Realty Income REIT 42,800 924 * Kendle International Inc. 46,100 924 * Genrad, Inc. 53,900 923 * Hovnanian Enterprises Class A 63,600 923 * Aether Systems, Inc. 104,200 922 26 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- UNB Corp. 49,800 921 Stepan Co. 35,000 917 Old Second Bancorp, Inc. 27,700 916 * Silicon Laboratories Inc. 41,400 915 * Beacon Power Corp. 132,600 915 * Cell Pathways, Inc. 144,300 913 McGrath Rent Corp. 37,800 912 * BKF Capital Group, Inc. 27,400 910 * Resources Connection, Inc. 35,200 910 Roanoke Electric Steel Corp. 52,000 908 * RailAmerica, Inc. 79,400 907 * Indus International, Inc. 111,900 907 * Panera Bread Co. 28,700 906 Capital City Bank Group, Inc. 36,400 905 * LodgeNet Entertainment Corp. 51,700 905 CPI Corp. 36,900 904 Cubic Corp. 28,900 903 * Brightpoint, Inc. 311,225 903 * Unigraphics Solutions Inc. 28,400 902 * Sequa Corp. Class A 19,800 901 * LightPath Technologies, Inc. 101,200 901 * Kforce Inc. 138,157 898 * Powell Industries, Inc. 29,900 897 * MacroChem Corp. 101,000 897 * 4Kids Entertainment Inc. 46,800 896 * Clark/Bardes Inc. 39,600 895 * SCM Microsystems, Inc. 85,955 894 * World Wrestling Federation Entertainment, Inc. 64,700 893 * Oil States International, Inc. 96,800 892 S.Y. Bancorp, Inc. 26,200 891 Midland Co. 20,000 890 * Mettler-Toledo International Inc. 20,900 887 * FTI Consulting, Inc. 40,600 885 * Borders Group, Inc. 39,500 885 * Steven Madden, Ltd. 48,400 884 * Siliconix, Inc. 27,900 883 Financial Institutions, Inc. 39,400 883 Mission West Properties Inc. REIT 72,900 882 * Viasystems Group, Inc. 292,500 880 Umpqua Holdings Corp. 68,700 880 * ResortQuest International, Inc. 76,500 880 United Fire & Casualty Co. 30,100 880 * Paradigm Genetics, Inc. 97,700 879 * PICO Holdings, Inc. 60,100 879 U.S.B. Holding Co., Inc. 57,600 878 * CardioDynamics International Corp. 163,500 878 * Spectrian Corp. 54,800 877 Investors Real Estate Trust REIT 99,600 876 * VaxGen, Inc. 46,100 876 * BSQUARE Corp. 83,300 875 Health Care Properties Investors REIT 25,382 873 Santander BanCorp 44,590 872 Allete, Inc 38,700 871 * SPSS, Inc. 55,000 870 * iBasis, Inc. 173,700 869 OGE Energy Corp. 38,300 866 XTO Energy, Inc. 60,255 865 * Netro Corp. 203,800 864 * EXE Technologies, Inc. 147,200 863 * Miravant Medical Technology 75,600 862 * LeCroy Corp. 33,800 861 * Select Medical Corp. 43,000 860 * Novadigm, Inc. 76,300 858 * Aksys, Ltd. 82,600 858 R & G Financial Corp. Class B 53,300 855 * Sorrento Networks Corp. 71,400 855 * Network Peripherals, Inc. 73,100 855 Cullen/Frost Bankers, Inc. 25,200 853 First Niagara Financial Group, Inc. 54,800 851 * Lydall, Inc. 70,900 851 RPC Inc. 59,900 851 Standard Commercial Tobacco Co. 48,400 850 * Denbury Resources, Inc. 90,000 846 * Kenneth Cole Productions, Inc. 41,950 845 * Integra LifeSciences Holdings 39,000 844 * Barrett Resources Corp. 14,302 844 * Vail Resorts Inc. 44,400 844 Gorman-Rupp Co. 35,000 844 Connecticut Water Services, Inc. 24,300 840 Gray Communications Systems, Inc. 44,100 840 * Advent Software, Inc. 13,200 838 * Ditech Communications Corp. 112,900 838 Crown American Realty Trust REIT 100,300 838 BancFirst Ohio Corp. 36,900 836 * Sage, Inc. 53,900 835 Quixote Corp. 29,200 834 * Penwest Pharmaceuticals Co. 53,600 830 * Tripath Technology Inc. 73,800 830 * Earthshell Corp. 243,500 828 * Northfield Laboratories, Inc. 50,500 828 * Versicor, Inc. 66,000 828 * Maxim Pharmaceuticals, Inc. 131,100 827 Teleflex Inc. 18,800 827 * Advanced Neuromodulation Systems, Inc. 31,800 827 Webster Financial Corp. 25,200 826 Roslyn Bancorp, Inc. 31,400 826 * First Horizon Pharmaceutical Corp. 25,600 822 27 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * ITXC Corp. 117,200 820 Lawson Products, Inc. 28,000 820 Movado Group, Inc. 40,600 820 Middlesex Water Co. 24,100 820 * Telik, Inc. 83,000 818 * PLX Technology, Inc. 96,000 815 Arden Realty Group, Inc. REIT 30,500 814 Flushing Financial Corp. 34,000 813 Cummins Inc. 21,000 813 Ambassadors International, Inc. 32,900 813 * Consolidated Graphics, Inc. 47,800 813 * Alexander's, Inc. REIT 13,500 811 * Silgan Holdings, Inc. 46,200 811 Lubrizol Corp. 26,100 810 Main Street Banks, Inc. 45,800 810 * Humana, Inc. 82,200 810 * IXYS Corp. 51,900 810 Spiegel, Inc. Class A 83,700 809 * SkillSoft Corp. 23,600 808 * ITC DeltaCom, Inc. 201,200 805 * VerticalNet, Inc. 322,600 803 Pilgrim's Pride Corp. 63,900 802 Sky Financial Group, Inc. 42,353 802 * Millennium Cell Inc. 75,800 800 * Volt Information Sciences Inc. 45,600 798 Wintrust Financial Corp. 32,109 798 * Micro General Corp. 48,600 797 * Sierra Health Services 113,700 797 * InKine Pharmaceutical Company, Inc. 162,500 796 Clayton Homes Inc. 50,617 796 * OSI Pharmaceuticals, Inc. 15,100 794 Rock-Tenn Co. 64,760 793 National Presto Industries, Inc. 26,700 793 Fulton Financial Corp. 38,750 793 * KCS Energy, Inc. 120,000 792 * Columbia Banking System, Inc. 62,031 792 Herbalife International Class A 79,200 791 * Concord Camera Corp. 134,000 791 * TBC Corp. 82,400 789 * Bell Microproducts Inc. 66,000 789 Iberia Bank Corp. 26,700 789 * Lexent Inc. 91,300 789 * Navigant International, Inc. 56,300 788 * Meritage Corp. 17,100 787 Alberto-Culver Co. Class B 18,700 786 BMC Industries, Inc. 130,900 785 * Centennial Bancorp 95,200 785 St. Francis Capital Corp. 35,700 780 * MP3.com, Inc. 160,700 779 Houghton Mifflin Co. 13,000 779 Fidelity National Financial, Inc. 31,692 779 * ResMed Inc. 15,400 778 Kansas City Power & Light Co. 31,700 778 * Mechanical Technology Inc. 107,900 778 * United Auto Group, Inc. 44,400 777 * Medicis Pharmaceutical Corp. 14,650 776 * Recoton Corp. 44,800 776 * International Specialty Products, Inc. 73,200 776 * Applica Inc. 97,467 776 * Extensity, Inc. 76,800 776 * Octel Corp. 47,700 775 * Covad Communications Group, Inc. 767,400 775 * Callon Petroleum Co. 65,400 775 K-Swiss, Inc. 32,100 775 * Pinnacle Entertainment, Inc. 105,300 774 * 1-800 CONTACTS, Inc. 31,109 771 * Wackenhut Corp. 44,700 771 First Bancorp North Carolina 31,300 771 Armstrong Holdings, Inc. 216,600 769 * DigitalThink, Inc. 109,100 766 * ACTV, Inc. 229,900 766 * RCN Corp. 139,200 764 Mid Atlantic Realty Trust REIT 61,100 764 * Imatron, Inc. 381,800 764 * Click Commerce, Inc. 84,800 763 * Lantronix, Inc. 74,090 763 * Right Management Consultants 29,200 762 X-Rite Inc. 86,000 760 Friedman's, Inc. Class A 66,100 760 * Actrade Financial Technologies, Ltd. 32,100 759 Baldwin & Lyons, Inc. Class B 36,100 758 * Stoneridge, Inc. 70,400 757 N L Industries, Inc. 54,400 753 * Mail-Well, Inc. 177,200 753 * Reebok International Ltd. 23,500 751 * Aurora Foods Inc. 136,900 750 * Dril-Quip, Inc. 34,800 749 * Golden Telecom, Inc. 53,500 749 Bank Mutual Corp. 53,000 747 First Essex Bancorp, Inc. 30,200 747 * PetroQuest Energy, Inc. 106,600 746 Pitt Des Moines, Inc. 21,600 745 Associated Estates Realty Corp. REIT 77,000 744 * Novavax, Inc. 67,500 743 NBC Capital Corp. 25,200 742 USG Corp. 175,800 742 * Encore Wire Corp. 62,400 741 * Endo Pharmaceuticals Holdings, Inc. 83,565 739 * Triangle Pharmaceuticals, Inc. 157,800 739 Hospitality Properties Trust REIT 25,900 738 Commonwealth Bancorp 41,300 738 * Orbital Sciences Corp. 190,100 738 28 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- CIRCOR International, Inc. 40,800 736 * aaiPharma Inc. 46,700 733 * PriceSmart, Inc. 16,800 731 Arrow Financial Corp. 28,900 730 * Beasley Broadcast Group, Inc. 42,900 729 D. R. Horton, Inc. 32,085 728 UniFirst Corp. 38,300 728 * Progenics Pharmaceuticals, Inc. 38,000 726 * Mohawk Industries, Inc. 20,600 725 * Wolverine Tube, Inc. 43,700 724 * Jacobs Engineering Group Inc. 11,100 724 Holly Corp. 19,700 724 * Freeport-McMoRan Copper & Gold Inc. Class B 65,287 721 Vectren Corp. 34,728 719 Lufkin Industries 26,000 718 Northwest Bancorp, Inc. 68,300 717 * ON Semiconductor Corp. 157,600 717 * Handspring, Inc. 93,000 716 * Consolidated Freightways Corp. 79,900 716 Keithley Instruments Inc. 33,600 716 Great Southern Bancorp, Inc. 27,200 715 * EPIQ Systems, Inc. 27,800 714 Solutia, Inc. 56,000 714 Snap-On Inc. 29,500 713 * Performance Technologies, Inc. 47,500 713 * Pomeroy Computer Resources, Inc. 47,500 713 * Sports Resorts International, Inc. 58,200 711 * Whole Foods Market, Inc. 26,200 710 * Hyseq, Inc. 61,600 708 * Payless ShoeSource, Inc. 10,944 708 * Polo Ralph Lauren Corp. 27,400 707 Valspar Corp. 19,900 706 * Shaw Group, Inc. 17,600 706 * Barr Labs Inc. 10,000 704 * CompuCredit Corp. 63,700 704 * Terra Industries, Inc. 180,100 702 * BriteSmile, Inc. 66,800 702 HON Industries, Inc. 28,900 700 * Stamps.Com Inc. 186,600 700 Quaker Chemical Corp. 36,800 699 * Investment Technology Group, Inc. 13,900 699 * OPNET Technologies, Inc. 39,100 699 Washington Federal Inc. 28,400 696 * Immune Response 146,500 696 * Digital Generation Systems 167,600 696 Winston Hotels, Inc. REIT 67,000 695 WSFS Financial Corp. 40,400 695 * PC-Tel, Inc. 75,400 694 * MB Financial Inc. 26,700 694 * Osmonics, Inc. 50,300 694 * ARIAD Pharmaceuticals, Inc. 136,800 694 * Rainbow Technologies, Inc. 124,000 693 * Wireless Facilities, Inc. 106,600 693 * Central Coast Bancorp 28,000 692 OM Group, Inc. 12,300 692 * Cole National Corp. Class A 46,900 692 * Quicksilver Resources, Inc. 38,400 691 * Datastream Systems, Inc. 91,600 691 * 1-800-FLOWERS.COM, Inc. 46,500 690 * Closure Medical Corp. 30,000 689 Columbus McKinnon Corp. 61,200 689 * First Consulting Group, Inc. 95,400 687 * Sangamo BioSciences, Inc. 46,800 685 Great Lakes Chemical Corp. 22,200 685 * Urocor, Inc. 43,700 684 * Stanley Furniture Company, Inc. 25,400 683 * Storage Technology Corp. 49,600 682 New Plan Excel Realty Trust REIT 44,600 682 * Transgenomic, Inc. 56,000 678 German American Bancorp 42,800 678 AMCOL International Corp. 112,950 678 Skywest, Inc. 24,200 678 * hi/fn, inc. 44,700 676 * Brio Technology, Inc. 92,600 676 Comdisco, Inc. 508,100 676 * Flow International Corp. 62,400 674 * Trikon Technologies, Inc. 48,100 673 Meredith Corp. 18,800 673 * Belco Oil & Gas Corp. 74,700 672 * Trex Co., Inc. 34,900 672 Tanger Factory Outlet Centers, Inc. REIT 29,200 672 Ingles Markets, Inc. 54,600 672 * The Kroll-O'Gara Co. 70,900 671 * Bacou USA Inc. 23,800 671 * Support.com, Inc. 103,800 670 * Gulfmark Offshore, Inc. 21,700 669 * Magna Entertainment Corp. Class A 104,700 669 * Markel Corp. 3,400 668 Hancock Fabrics, Inc. 74,600 668 * Next Level Communications, Inc. 98,800 667 IDACORP, Inc. 19,100 666 * Emex Corp. 61,400 666 * Kaiser Aluminum Corp. 166,600 663 Capital Transamerica Corp. 43,500 663 * AVI BioPharma, Inc. 67,300 663 * Nu Horizons Electronics Corp. 69,700 662 * Luminent, Inc. 157,300 661 * OSCA, Inc. 31,875 660 * Casino Data Systems 71,600 660 * The Buckle, Inc. 34,700 656 Nature's Sunshine Inc. 55,300 654 Port Financial Corp. 32,300 654 Pennfed Financial Services, Inc. 28,300 654 Pulte Homes, Inc. 15,300 652 29 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * 3D Systems Corp. 38,300 651 * ZixIt Corp. 71,100 651 * Hibbett Sporting Goods, Inc. 17,500 649 * Adelphia Business Solutions, Inc. 158,100 648 Polaroid Corp. 249,100 648 * ACT Manufacturing, Inc. 59,000 645 * Uniroyal Technology Corp. 75,800 644 * Lynch Interactive Corp. 10,200 643 * Orthodontic Centers of America, Inc. 21,100 641 * Tuesday Morning Corp. 48,300 640 Coastal Bancorp, Inc. 20,000 639 * Central Garden and Pet Co. 77,000 638 * U.S. Concrete, Inc. 79,900 637 * Array BioPharma Inc. 69,900 636 * Labranche & Co. Inc. 21,900 635 Burnham Pacific Properties, Inc. REIT 129,600 635 * Citizens, Inc. 92,800 635 * Virage Logic Corporation 40,900 634 EDO Corp. 39,700 633 * Myriad Genetics, Inc. 10,000 633 * Ribozyme Pharmaceuticals, Inc. 63,300 633 Medallion Financial Corp. 61,600 631 * Green Mountain Coffee, Inc. 21,100 630 * Keryx Biopharmaceuticals, Inc. 59,500 630 Leucadia National Corp. 19,400 630 * Crossroads Systems, Inc. 96,900 629 * Private Media Group, Inc. 66,900 629 * Pumatech, Inc. 209,500 629 Ethan Allen Interiors, Inc. 19,300 627 * Trendwest Resorts, Inc. 26,800 627 Prosperity Bancshares, Inc. 26,200 627 Acadia Realty Trust REIT 89,600 625 * Infogrames, Inc. 82,220 625 * K-V Pharmaceutical Co. Class A 22,500 624 * Liberty Digital, Inc. 101,800 620 * Wit Soundview Group, Inc. 338,600 620 * Smart & Final Inc. 56,300 619 Oxford Industries, Inc. 28,000 616 Trustmark Corp. 30,300 616 * J & J Snack Foods Corp. 27,700 614 * Gulf Island Fabrication, Inc. 42,600 613 Seacoast Banking Corp. of Florida Class A 17,500 613 Bassett Furniture Industries, Inc. 48,700 613 * bebe stores, inc. 21,000 612 * Nonophase Technologies Corp. 55,400 612 * Hemispherx Biopharma, Inc. 85,500 611 * National Healthcare Corporation 38,900 611 * NetScout Systems, Inc. 93,900 610 Pacific Gulf Properties, Inc. REIT 124,800 610 Butler Manufacturing Co. 24,400 610 Midwest Banc Holdings, Inc. 27,700 609 Gibraltar Steel 31,050 609 * Witness Systems, Inc. 55,300 608 Getty Realty Holding Corp. 31,700 607 Bush Industries, Inc. 46,100 606 * Chiles Offshore, Inc. 33,900 602 Garan, Inc. 17,500 598 Great American Financial Resources, Inc. 33,100 597 * Sunrise Telecom Inc. 100,000 595 Callaway Golf Co. 37,600 594 * CuraGen Corp. 16,270 592 HCC Insurance Holdings, Inc. 24,150 592 Federal-Mogul Corp. 349,900 591 * Salton, Inc. 33,200 591 * Net2Phone, Inc. 98,284 590 * Centennial Communications Corp. Class A 44,400 586 * Purina Mills, Inc. 24,400 586 NN, Inc. 54,800 586 * Patterson-UTI Energy, Inc. 32,700 584 * Hayes Lemmerz International, Inc. 91,200 584 * Ladish Co., Inc. 43,500 582 * Pain Therapeutics, Inc. 76,000 581 * Regeneration Technologies, Inc. 66,000 581 * The Neiman Marcus Group, Inc. Class A 18,700 580 * American Eagle Outfitters, Inc. 16,450 580 * NetRatings, Inc. 40,200 579 * Foamex International, Inc. 78,000 577 * OTG Software, Inc. 82,100 575 Florida East Coast Industries, Inc. Class B 16,254 574 * Convera Corp. 114,700 574 Liqui-Box Corp. 14,700 573 * Coldwater Creek Inc. 21,900 569 * Quaker Fabric Corp. 55,300 567 SJNB Financial Corp. 13,100 566 * Alloy Online, Inc. 39,500 565 * CSS Industries, Inc. 21,800 562 * Credit Acceptance Corp. 72,200 556 * Integrated Measurement Systems, Inc. 25,300 555 * SureBeam Corp. 32,100 550 * Supertex, Inc. 44,500 549 Redwood Trust, Inc. REIT 24,100 548 * Alliance Pharmaceutical Corp. 242,800 546 * Innovative Solutions and Support, Inc. 37,800 544 MicroFinancial Inc. 33,500 543 * Avatar Holding, Inc. 23,600 543 * Extended Stay America, Inc. 36,100 542 * Sicor, Inc. 23,438 541 Sauer-Danfoss, Inc. 56,900 538 * ANC Rental Corp. 179,000 537 30 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * PC Connection, Inc. 33,350 534 * Ciphergen Biosystems, Inc. 78,900 533 Alico, Inc. 16,600 532 * Quaker City Bancorp, Inc. 18,000 530 * Cerner Corp. 12,600 529 * TiVo Inc. 95,800 527 * World Acceptance Corp. 56,800 523 * HealthExtras, Inc. 55,000 521 Riviana Foods, Inc. 28,700 521 * Wackenhut Corrections Corp. 39,600 519 * Satcon Technology Corp. 49,500 517 * Measurement Specialties, Inc. 32,800 517 * Boron, LePore & Associates, Inc. 37,500 517 * VA Linux Systems, Inc. 147,400 516 * Steinway Musical Instruments Inc. 29,100 514 * Conceptus, Inc. 34,200 513 * TransMontaigne Inc. 88,300 512 * Red Hat, Inc. 127,700 511 * CacheFlow Inc. 103,500 510 Valhi, Inc. 39,300 509 * Insight Communications Co., Inc. 20,343 509 * Catapult Communications Corp. 22,600 509 * Tradestation Group Inc. 95,900 508 * Mesaba Holdings, Inc. 55,050 508 CoBiz Inc. 22,300 507 AK Steel Corp. 40,300 505 * Prodigy Communications Corp. Class A 88,800 505 * Kosan Biosciences, Inc. 65,300 503 * Nanogen, Inc. 73,700 500 * Maxtor Corp. 95,152 500 Pogo Producing Co. 20,800 499 * Ansoft Corp. 29,200 496 * Lithia Motors, Inc. 29,400 494 * Intertrust Technologies Corp. 409,200 491 * Synplicity, Inc. 49,040 491 * PYR Energy Corp. 69,000 490 * Alleghany Corp. 2,408 489 NCH Corp. 12,500 489 * North American Scientific, Inc. 33,600 487 * Spectra-Physics, Inc. 20,900 484 * CCC Information Services Group 81,300 483 * TTM Technologies, Inc. 54,100 476 * EEX Corp. 175,466 474 * SITEL Corp. 296,000 474 * Alaska Communications Systems Holdings, Inc. 51,700 473 Black Hills Corp. 11,650 469 Mitchell Energy & Development Corp. Class A 10,100 467 * Deltagen, Inc. 52,000 467 * Chordiant Software, Inc. 150,500 467 * New Horizons Worldwide, Inc. 31,200 466 * Vivus, Inc. 150,100 465 * Security Capital Group Inc. REIT Class B 21,600 462 * Encore Acquisition Co. 40,100 461 Standard Motor Products, Inc. 34,600 460 * Perini Corp. 53,400 459 Mercury General Corp. 13,100 458 Prime Group Realty Trust REIT 33,700 455 * Simplex Solutions, Inc. 19,000 450 * Tropical Sportswear International. 21,600 449 * Global Sports, Inc. 55,400 443 * CSFB Direct 93,200 443 * Align Technology, Inc. 56,000 439 * Medis Technology Ltd. 39,900 439 Flagstar Bancorp, Inc. 21,000 439 * Scientific Games Corp. 74,300 438 * Clayton Williams Energy, Inc. 25,800 437 Schawk, Inc. 42,700 436 * Manufacturers' Services Limited 73,100 435 * Large Scale Biology Corp. 61,200 435 Republic Bancorp, Inc. 33,300 433 Keystone Property Trust 32,300 432 * Discount Auto Parts Inc. 39,800 432 * Prize Energy Corp. 22,300 430 * APAC Teleservices, Inc. 135,300 429 * NPC International Class A 39,600 428 * MicroStrategy Inc. 152,500 427 * Fairchild Corp. 60,500 424 * Vysis, Inc. 16,800 423 * Blue Martini Software, Inc. 141,100 423 * Covenant Transport, Inc. 34,000 423 Seaboard Corp. 2,030 422 Corporate Office Properties Trust, Inc. REIT 42,000 420 A.M. Castle & Co. 31,100 419 * Option Care, Inc. 27,500 418 * Peco II, Inc. 63,600 417 * Braun Consulting, Inc. 51,400 414 * Movie Gallery, Inc. 22,600 409 * StarMedia Network, Inc. 218,700 407 * Genstar Therapeutics Corp. 54,200 401 * Genelabs Technologies, Inc. 193,300 398 * Corillian Corp. 99,100 396 American National Insurance Co. 5,300 396 * Boston Beer Co., Inc. Class A 45,400 391 * NATCO Group Inc. 44,400 391 * Ethyl Corp. 289,100 390 * Dynacq International, Inc. 20,200 388 * Selectica, Inc. 90,700 388 * Davox Corp. 46,700 388 * Rohn Industries Inc. 81,600 388 * Forest Oil Corp. 13,820 387 Churchill Downs, Inc. 15,300 384 * Choice One Communications Inc. 56,800 383 31 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SMALL-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * Inet Technologies, Inc. 46,600 382 Value Line, Inc. 9,000 380 * Constellation 3D, Inc. 67,000 380 * Hollywood Casino Corp. 47,700 374 Provident Financial Group, Inc. 11,300 372 * Third Wave Technologies 35,700 369 * August Technology Corp. 25,800 368 Deb Shops, Inc. 19,500 366 Troy Financial Corp. 19,900 363 Fedders Corp. 69,700 362 * McAfee.com Corp. 29,300 360 * Loudcloud, Inc. 117,800 358 * Republic Bancshares, Inc. 21,200 358 * Carrier Access Corp. 59,500 356 The McClatchy Co. Class A 9,100 356 Oglebay Norton Co. 13,400 353 * Harvard Bioscience, Inc. 31,800 351 * Applied Innovation Inc. 41,900 350 * Revlon, Inc. Class A 47,500 344 * Urban Outfitters, Inc. 31,800 342 * Global Imaging Systems, Inc. 32,500 341 * DuraSwitch Industries, Inc. 21,900 339 * Interactive Intelligence Inc. 30,700 338 * Arden Group Inc. Class A 7,000 336 * Timberland Co. 8,500 336 * Amtran, Inc. 15,300 335 * Micron Electronics, Inc. 208,000 331 * Sunquest Information Systems, Inc. 13,900 331 * Alliance Fiber Optic Products, Inc. 69,000 328 CONSOL Energy, Inc. 12,900 326 * ATP Oil & Gas Corp. 28,700 323 * US Physical Therapy, Inc. 20,100 321 * Digital River, Inc. 71,300 321 * Priority Healthcare Corp. Class B 11,314 320 * BlackRock, Inc. 9,300 319 * SpeedFam-IPEC, Inc. 99,551 318 * Moldflow Corp. 20,500 316 * AEP Industries, Inc. 8,900 315 * Glenayre Technologies, Inc. 244,725 313 * WJ Communications, Inc. 67,300 313 NYMAGIC, Inc. 15,800 313 * Guess ?, Inc. 46,400 311 Richardson Electronics, Ltd. 21,700 304 Cobalt Corp. 43,300 303 * BindView Development Corp. 142,600 301 * Aradigm Corp. 42,500 298 Fedders Corp. Class A 67,612 297 Provident Bancorp, Inc. 15,000 293 * Mestek, Inc. 12,700 293 Commercial Bank of New York 9,300 293 Royal Bancshares of Pennsylvania, Inc. 16,800 292 Foster Wheeler Ltd. 32,100 291 Sanderson Farms, Inc. 22,800 289 * Talk America Holdings, Inc. 304,900 287 * SRI/Surgical Express, Inc. 9,250 281 * 3 Dimensional Pharmaceuticals 29,200 281 * V.I. Technologies, Inc. 24,800 279 * Management Network Group Inc. 45,700 279 * ftd.com Inc. 39,200 278 * USinternetworking, Inc. 230,700 277 * Cyber-Care, Inc. 217,400 272 * Exact Sciences Corp. 18,990 261 Hollinger International, Inc. 19,000 261 * Maui Land & Pineapple Co., Inc. 10,200 261 * Novatel Wireless, Inc. 125,800 255 * Network Plus Corp. 93,100 252 * Lexar Media, Inc. 157,100 250 * Krispy Kreme Doughnuts, Inc. 6,200 248 FINOVA Group, Inc. 66,600 246 CompX International Inc. 20,200 241 * Advanced Lighting Technologies, Inc. 54,600 240 * Optical Communication Products, Inc. 22,200 236 Liberty Financial Cos., Inc. 7,100 230 * Wink Communications, Inc. 88,000 225 * Liberty Livewire Corp. 25,400 222 * Star Scientific, Inc. 74,900 218 * Syntel, Inc. 28,175 217 * Owens Corning 107,800 217 Tremont Corp. 6,100 217 * Digitas Inc. 48,511 213 Coca-Cola Bottling Co. 5,422 213 Westpoint Stevens, Inc. 50,400 208 * Ameristar Casinos, Inc. 12,900 206 * Seattle Genetics, Inc. 33,400 204 * ICT Group, Inc. 12,400 201 * LookSmart, Ltd. 183,800 193 John Nuveen Co. Class A 3,400 193 * BioSphere Medical Inc. 14,600 187 * W.R. Grace & Co. 102,800 180 * Whitehall Jewellers, Inc. 19,550 179 Pilgrim's Pride Corp. Class A 20,350 178 * OmniSky Corp. 88,100 176 * Focal Communications Corp. 74,600 176 * IMPSAT Fiber Networks, Inc. 87,500 175 * Mediacom Communications Corp. 9,800 173 * PEC Solutions, Inc. 7,400 164 * Neon Communications, Inc. 23,100 161 * National Beverage Corp. 17,200 159 * CTC Communications Group, Inc. 51,800 159 * Protection One, Inc. 137,400 158 * Engage, Inc. 208,100 152 Newmark Homes Corp. 10,900 150 32 - ------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - ------------------------------------------------------------------------------------------------------------------- * Expedia Inc. ,200 149 BB&T Corp. 4,036 148 * Thermo Fibertek, Inc. 49,500 144 * On Command Corp. 30,900 139 * Optical Cable Corp. 13,200 132 * Frontline Capital Group 82,500 124 Gentek, Inc. 22,807 121 * National Information Consortium, Inc. 66,300 121 * Nucentrix Broadband Networks 14,700 114 * Entravision Communications Corp. 9,000 111 * MEEMIC Holdings, Inc. 5,100 110 * Federal Agricultural Mortgage Corp. Class A 3,800 108 * SilverStream Software, Inc. 13,900 98 * Gaiam, Inc. 6,800 97 * GoAmerica, Inc. 45,500 96 * First Banks America, Inc. 3,900 93 * Ampal-American Israel Corp. 14,700 89 Metals USA, Inc. 41,675 88 Analysts International Corp. 18,500 83 * Donna Karan International Inc. 7,600 80 * American Classic Voyager Co. 21,700 76 * NeoRx Corp. 24,500 74 * QuickLogic Corp. 12,000 72 * Neoforma.com, Inc. 80,000 68 * ePresence, Inc. 17,800 66 Equity One, Inc. REIT 5,900 66 * VASCO Data Security International, Inc. 20,200 66 * Blount International, Inc. 25,533 64 * Wackenhut Corp. Class B 3,656 50 * International FiberCom, Inc. 18,600 47 * Tricord Systems, Inc. 16,600 45 * Mount 10, Inc. 11,100 43 * Comfort Systems USA, Inc. 11,300 41 * Viant Corp. 21,374 40 * PurchasePro.com, Inc. 27,000 40 Tenneco Automotive, Inc. 11,700 38 * Digital Courier Technologies, Inc. 127,500 37 * Electric Lightwave, Inc. Class A 25,300 33 * New Century Equity Holdings Corp. 21,300 21 * ProcureNet, Inc. 136,100 20 * Interliant Inc. 33,600 18 * Extended Systems Inc. 2,400 17 * CSF Holdings Inc. Contingent Litigation Rights 29,125 15 * Unify Corp. 40,000 12 * Mpower Holding Corp. 11,550 11 - ------------------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $4,542,688) 4,747,604 - ------------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.0%)(1) - ------------------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 4.51%, 7/12/2001 $ 5,000 $ 4,995 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 4.07%, 7/2/2001--Note E 131,847 131,847 4.07%, 7/2/2001 3,473 3,473 - ------------------------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $140,313) 140,315 - ------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.8%) (Cost $4,683,001) 4,887,919 - ------------------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES-- NET (-3.8%) (178,023) - ------------------------------------------------------------------------------------------------------------------- NET ASSETS (100%) $4,709,896 ===================================================================================================================
^ 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 100.8% and 3.0%, respectively, of net assets. See Note D in Notes to Financial Statements. (2) Security segregated as initial margin for open futures contracts. REIT-Real Estate Investment Trust.
- ------------------------------------------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES - ------------------------------------------------------------------------------------------------------------------- ASSETS Investments in Securities, at Value $4,887,919 Receivables for Investment Securites Sold 888,835 Other Assets--Note B 11,773 - ------------------------------------------------------------------------------------------------------------------- Total Assets 5,788,527 - ------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables for Investment Securities Purchased 930,336 Other Liabilities--Note E 148,295 - ------------------------------------------------------------------------------------------------------------------- Total Liabilities 1,078,631 =================================================================================================================== NET ASSETS $4,709,896 ===================================================================================================================
33 - -------------------------------------------------------------------------------- AMOUNT SMALL-CAP INDEX FUND (000) - -------------------------------------------------------------------------------- AT JUNE 30, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $4,591,688 Undistributed Net Investment Income 20,839 Accumulated Net Realized Losses (107,564) Unrealized Appreciation--Note D Investment Securities 204,918 Futures Contracts 15 - -------------------------------------------------------------------------------- NET ASSETS $4,709,896 ================================================================================ Investor Shares-Net Assets Applicable to 177,474,875 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,711,670 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INVESTOR SHARES $20.91 ================================================================================ Admiral Shares-Net Assets Applicable to 23,721,198 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $496,283 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- ADMIRAL SHARES $20.92 ================================================================================ Institutional Shares-Net Assets Applicable to 23,980,141 outstanding$.001 par value shares of beneficial interest (unlimited authorization) $501,943 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INSTITUTIONAL SHARES $20.93 ================================================================================ 34
- -------------------------------------------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE^ INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS (99.9%) - -------------------------------------------------------------------------------------------------------------------- * Cephalon, Inc. 117,200 8,263 * Universal Health Services Class B 142,000 6,461 * Varian Medical Systems, Inc. 78,600 5,620 Commerce Bancorp, Inc. 76,220 5,343 * Patterson Dental Co. 159,500 5,264 * Barrett Resources Corp. 79,088 4,666 * AdvancePCS 70,800 4,535 * RSA Security Inc. 135,100 4,181 XTO Energy, Inc 288,050 4,134 Cullen/Frost Bankers, Inc. 121,800 4,123 * Constellation Brands, Inc. Class A 99,200 4,067 * Shaw Group, Inc. 97,100 3,894 New York Community Bancorp, Inc. 102,900 3,874 * Copart, Inc. 130,600 3,820 * Medicis Pharmaceutical Corp. 71,300 3,779 * ResMed Inc. 74,000 3,741 * Pharmaceutical Product Development, Inc. 121,900 3,719 Skywest, Inc. 132,600 3,713 Fleming Cos., Inc. 103,600 3,699 * Renal Care Group, Inc. 112,200 3,690 * Timberland Co. 93,300 3,686 * Zebra Technologies Corp. Class A 74,600 3,664 * Louis Dreyfus Natural Gas Corp. 103,900 3,621 * 99 Cents Only Stores 120,650 3,613 * Regeneron Pharmaceuticals, Inc. 103,000 3,569 * Orthodontic Centers of America, Inc. 115,700 3,517 * O'Reilly Automotive, Inc. 122,200 3,507 * Cognex Corp. 103,000 3,487 * Cerner Corp. 82,300 3,457 * Whole Foods Market, Inc. 126,600 3,431 * Axcelis Technologies, Inc. 228,600 3,383 Philadelphia Suburban Corp. 127,900 3,261 Fair Issac & Co. 52,450 3,242 * CEC Entertainment Inc. 65,500 3,232 * Varian Semiconductor Equipment Associates, Inc. 76,600 3,217 * Techne Corp. 98,050 3,187 OM Group, Inc. 56,600 3,184 * The Cheesecake Factory 111,975 3,169 * Advanced Energy Industries, Inc. 75,100 3,099 Cambrex Corp. 60,500 3,060 * Black Box Corp. 45,400 3,058 * Atlantic Coast Airlines Holdings Inc. 101,900 3,056 * Alpha Industries, Inc. 102,800 3,038 * Priority Healthcare Corp. Class B 107,400 3,037 Roper Industries Inc. 72,600 3,031 Ethan Allen Interiors, Inc. 93,200 3,029 * THQ Inc. 50,400 3,005 * Alliant Techsystems, Inc. 33,200 2,985 First Midwest Bancorp 96,100 2,965 Harman International Industries, Inc. 75,800 2,887 * NVR, Inc. 19,300 2,856 Hudson United Bancorp 111,200 2,836 * HS Resources Inc. 43,200 2,799 Invacare Corp. 72,400 2,797 Applebee's International, Inc. 87,400 2,797 FactSet Research Systems Inc. 78,200 2,792 Aptargroup Inc. 84,600 2,744 * Stillwater Mining Co. 91,600 2,679 * Tetra Tech, Inc. 96,300 2,619 * Province Healthcare Co. 74,100 2,615 Ruby Tuesday, Inc. 151,900 2,597 Global Payments Inc. 85,700 2,580 National Data Corp. 79,400 2,573 * Mercury Computer Systems, Inc. 51,500 2,549 Polaris Industries, Inc. 55,500 2,542 * ITT Educational Services, Inc. 56,000 2,520 * Metro One Telecommunications, Inc. 37,900 2,459 IDEX Corp. 72,000 2,448 * Electro Scientific Industries, Inc. 64,000 2,438 * IDEXX Laboratories Corp. 77,900 2,434 * WMS Industries, Inc. 75,200 2,419 * Jack in the Box Inc. 92,300 2,409 Graco, Inc. 72,900 2,406 * Insight Enterprises, Inc. 98,150 2,405 * Corinthian Colleges, Inc. 50,300 2,368 * Southwest Bancorporation of Texas, Inc. 77,800 2,350 * Microsemi Corp. 33,100 2,350 * American Management Systems, Inc. 98,700 2,329 * Insituform Technologies Class A 63,400 2,314 * Accredo Health, Inc. 61,300 2,280 * Anchor Gaming 35,200 2,275 Woodward Governor Co. 26,800 2,261 Community First Bankshares 97,500 2,243 Diagnostic Products Corp. 66,200 2,198 * NYFIX, Inc. 67,650 2,161 * ATMI, Inc. 71,800 2,154 * Respironics, Inc. 71,900 2,140 * Lone Star Technologies, Inc. 58,600 2,121 * Veritas DGC Inc. 75,400 2,092 * Enzo Biochem, Inc. 60,920 2,090 * Noven Pharmaceuticals, Inc. 52,865 2,072 * MAXIMUS, Inc. 50,700 2,033 * Mid Atlantic Medical Services, Inc. 113,000 2,026 * Sonic Corp. 62,950 1,997 * Stratos Lightwave, Inc. 152,300 1,980 * Barra, Inc. 50,000 1,958 35 - -------------------------------------------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE^ INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Trustco Bank 145,768 1,946 * Rehabcare Corp. 40,300 1,942 * NBTY, Inc. 155,000 1,928 * American Italian Pasta Co. 41,500 1,926 C & D Technology Inc. 62,100 1,925 * Cal Dive International, Inc. 77,000 1,894 * Chico's Fas, Inc. 63,100 1,877 * Pediatrix Medical Group, Inc. 55,600 1,846 * Kopin Corp. 151,600 1,840 * Sybron Dental Specialties, Inc. 89,500 1,834 * Haemonetics Corp. 60,100 1,833 * Cymer, Inc. 72,400 1,831 * CryoLife Inc. 44,600 1,825 * SurModics, Inc. 30,900 1,817 * Syncor International Corp. 58,100 1,801 * Elantec Semiconductor, Inc. 53,100 1,794 Delta & Pine Land Co. 91,300 1,794 * Bio-Technology General Corp. 136,000 1,782 Cooper Cos., Inc. 34,600 1,778 * Aspen Technologies, Inc. 72,500 1,755 * Dionex Corp. 52,700 1,752 * Genesco, Inc. 52,000 1,747 * Pacific Sunwear of California 77,000 1,727 * Heartland Express, Inc. 75,375 1,719 Baldor Electric Co. 80,400 1,718 * AstroPower, Inc. 32,850 1,713 Cabot Oil & Gas Corp. Class A 69,800 1,703 * Administaff, Inc. 65,000 1,690 Manitowac Co., Inc. 57,150 1,686 * Impath, Inc. 37,900 1,679 * Arbitron Inc. 69,200 1,668 * Midway Games Inc. 89,700 1,659 * ADVO, Inc. 48,300 1,649 * Vicor Corp. 100,400 1,637 Helix Technology Corp. 53,500 1,631 John H. Harland Co. 69,000 1,608 * F.Y.I. Inc. 39,200 1,607 Mentor Corp. 56,300 1,605 Hooper Holmes, Inc. 154,200 1,581 * Forward Air Corp. 50,596 1,515 Owens & Minor, Inc. Holding Co. 79,400 1,509 * Hot Topic, Inc. 48,200 1,499 * Fossil, Inc. 71,300 1,479 * Aeroflex, Inc. 140,400 1,474 * Cost Plus, Inc. 48,900 1,467 * BE Avionics Inc. 76,200 1,452 East West Bancorp, Inc. 53,000 1,431 Hilb, Rogal and Hamilton Co. 32,300 1,413 Libbey, Inc. 35,400 1,406 * Landstar System 20,249 1,377 * Progress Software Corp. 84,100 1,362 * AXT, Inc. 51,000 1,362 * ArthroCare Corp. 51,900 1,357 * SCP Pool Corp. 39,200 1,350 UCBH Holdings, Inc. 44,100 1,338 * Quiksilver, Inc. 52,600 1,315 CTS Corp. 63,800 1,308 * PolyMedica Corp. 31,100 1,260 * CACI International, Inc. 26,100 1,227 * Christopher & Banks Corporation 37,600 1,226 * ViaSat, Inc. 51,000 1,218 Patina Oil & Gas Corp. 45,700 1,211 * Kronos, Inc. 29,200 1,196 Sterling Bancshares, Inc. 61,400 1,178 * INAMED Corp. 47,338 1,157 * WetSeal, Inc. Class A 33,400 1,156 * Intermagnetics General Corp. 35,400 1,147 Georgia Gulf Corp. 73,600 1,141 * CUNO Inc. 37,900 1,137 * Teledyne Technologies, Inc. 74,800 1,137 * Oceaneering International, Inc. 53,700 1,114 * Atwood Oceanics, Inc. 31,700 1,113 * Trimble Navigation Ltd. 56,700 1,105 * P.F. Chang's China Bistro, Inc. 27,600 1,046 * Dendrite International, Inc. 93,550 1,038 * Radiant Systems, Inc. 64,296 1,036 * Panera Bread Co. 32,300 1,020 * Power Integrations, Inc. 65,219 1,017 Vital Signs, Inc. 30,200 998 * Mesa Air Group Inc. 79,700 984 * Remington Oil & Gas Corp. 51,400 977 * Rogers Corp. 36,100 957 * Plains Resources 40,200 955 Oshkosh B' Gosh, Inc. Class A 28,400 944 * On Assignment, Inc. 52,300 941 * Avid Technology, Inc. 59,700 937 * Action Performance Cos., Inc. 37,400 935 * RadiSys Corp. 40,000 914 * United Natural Foods, Inc. 42,600 892 * Factory 2-U Stores Inc. 29,900 878 * Dril-Quip, Inc. 40,100 863 * InterVoice-Brite, Inc. 77,600 854 * MemberWorks, Inc. 36,000 833 * Ultimate Electronics, Inc. 25,500 827 * Symmetricom Inc. 55,600 814 * Frontier Airlines, Inc. 65,650 804 Coca-Cola Bottling Co. 20,400 803 WD-40 Co. 35,800 803 * Photon Dynamics, Inc. 29,200 788 * TETRA Technologies, Inc. 32,000 782 Keithley Instruments Inc. 36,200 771 * Auspex Systems, Inc. 103,700 740 * Advanced Tissue Sciences Inc. 147,400 737 * Mapinfo Corp. 33,400 735 * Startek, Inc. 32,200 728 * Southwestern Energy Co. 57,800 708 36 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE^ SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Catapult Communications Corp. 30,100 677 * Itron, Inc. 35,600 675 Inter-Tel, Inc. 56,400 672 * Cygnus Inc. 64,800 664 * Visual Networks, Inc. 72,200 632 * MGI Pharma, Inc. 50,300 629 * Valence Technology 93,800 603 * Organogenesis, Inc. 79,100 585 Lindsay Manufacturing Co. 27,000 513 * Roxio, Inc. 37,250 484 * Aware, Inc. 51,900 467 X-Rite Inc. 49,100 434 CPI Corp. 17,700 434 * Flow International Corp. 34,700 375 * Orbital Sciences Corp. 87,300 339 * Alliance Pharmaceutical Corp. 113,700 256 - -------------------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $402,069) 448,750 - -------------------------------------------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENT (2.4%) - -------------------------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 4.07%, 7/2/2001--Note E (COST $10,793) $10,793 10,793 - -------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (102.3%) (COST $412,862) 459,543 - -------------------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-2.3%) - -------------------------------------------------------------------------------------------------------------------- Other Assets--Note B 1,732 Liabilities--Note E (12,184) - -------------------------------------------------------------------------------------------------------------------- (10,452) - -------------------------------------------------------------------------------------------------------------------- NET ASSETS (100%) $449,091 ==================================================================================================================== ^See Note A in Notes to Financial Statements. *Non-income-producing security. - -------------------------------------------------------------------------------------------------------------------- AT JUNE 30, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------------------------------------------- Paid-in Capital--Note C $467,288 Undistributed Net Investment Income--Note C 6 Accumulated Net Realized Losses--Note C (64,884) Unrealized Appreciation--Note D 46,681 - -------------------------------------------------------------------------------------------------------------------- NET ASSETS $449,091 ==================================================================================================================== Investor Shares--Net Assets Applicable to 32,847,669 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $360,187 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INVESTOR SHARES $10.97 ==================================================================================================================== Institutional Shares--Net Assets Applicable to 8,101,424 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $88,904 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INSTITUTIONAL SHARES $10.97 ====================================================================================================================
37
- ------------------------------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE^ INDEX FUND (SHARES) (000) - ------------------------------------------------------------------------------------------------------- COMMON STOCKS (100.2%) - ------------------------------------------------------------------------------------------------------- * Smithfield Foods, Inc. 231,400 9,325 Fidelity National Financial, Inc. 342,700 8,420 D. R. Horton, Inc. 331,112 7,516 Raymond James Financial, Inc. 209,300 6,405 Massey Energy Co. 323,534 6,393 * Toll Brothers, Inc. 160,100 6,294 * Newfield Exploration Co. 195,600 6,271 Washington Federal Inc. 252,720 6,197 * Pride International Inc. 323,090 6,139 Downey Financial Corp. 123,600 5,841 * Coventry Health Care Inc. 283,600 5,728 * Michaels Stores, Inc. 139,700 5,728 RGS Energy Group Inc. 151,600 5,685 Pogo Producing Co. 235,200 5,645 First American Corp. 285,500 5,407 Whitney Holdings 114,900 5,389 * Scotts Co. 125,600 5,205 Commercial Federal Corp. 225,000 5,198 Vintage Petroleum, Inc. 276,200 5,165 * Zale Corp. 150,500 5,072 * Stone Energy Corp. 114,300 5,063 Piedmont Natural Gas, Inc. 140,800 5,001 Werner Enterprises, Inc. 205,467 4,983 * Men's Wearhouse, Inc. 179,600 4,957 Corn Products International, Inc. 154,600 4,947 La-Z-Boy Inc. 264,640 4,896 United Bankshares, Inc. 182,024 4,878 Pier 1 Imports Inc. 423,200 4,867 * Linens 'n Things, Inc. 177,900 4,860 * Performance Food Group Co. 160,200 4,843 * Anixter International Inc. 157,300 4,829 Earthgrains Co. 185,600 4,826 * Mueller Industries Inc. 146,300 4,815 Alpharma, Inc. Class A 176,400 4,807 * Remedy Corp. 134,250 4,672 * United Stationers, Inc. 145,400 4,589 * Southern Union Co. 223,405 4,557 * AnnTaylor Stores Corp. 126,700 4,536 * Coherent, Inc. 121,400 4,391 Atmos Energy Corp. 177,300 4,337 PolyOne Corp. 411,159 4,280 * Adaptec, Inc. 429,700 4,271 Avista Corp. 207,800 4,152 * SEACOR SMIT Inc. 87,850 4,106 * Tom Brown, Inc. 170,100 4,082 Staten Island Bancorp, Inc. 145,700 4,058 * Kansas City Southern Industries,Inc. 256,200 4,048 Briggs & Stratton Corp. 94,900 3,995 ABM Industries 104,100 3,878 Burlington Coat Factory Warehouse Corp. 193,900 3,877 Technitrol, Inc. 147,700 3,840 Florida Rock Industries, Inc. 81,600 3,827 Chittenden Corp. 112,700 3,791 Regis Corp. 180,300 3,784 * HNC Software, Inc. 151,100 3,778 * DuPont Photomasks, Inc. 78,000 3,764 MDC Holdings, Inc. 106,010 3,753 * Bally Total Fitness Holding Corp. 126,700 3,752 Energen Corp. 135,400 3,737 Trenwick Group Ltd 161,700 3,706 * Kulicke & Soffa Industries, Inc. 214,500 3,681 * US Oncology, Inc. 412,900 3,671 Brady Corp. Class A 100,100 3,617 Jefferies Group, Inc. 109,500 3,548 New Jersey Resources Corp. 78,000 3,526 * Brooks Automation, Inc. 76,400 3,522 The South Financial Group, Inc. 185,651 3,505 Susquehanna Bancshares, Inc. 170,700 3,474 Springs Industries Inc. Class A 78,600 3,466 Delphi Financial Group, Inc. 88,877 3,422 US Freightways Corp. 114,700 3,384 UniSource Energy Corp. 145,900 3,351 * Photronics Labs Inc. 130,100 3,338 Southwest Gas Corp. 140,000 3,315 * Swift Energy Co. 108,600 3,272 Wolverine World Wide, Inc. 181,600 3,245 * Hain Celestial Group, Inc. 147,200 3,238 Oshkosh Truck Corp. 73,112 3,235 * DMC Stratex Networks, Inc. 322,000 3,220 UGI Corp. Holding Co. 119,100 3,216 * Simpson Manufacturing Co. 53,000 3,207 Tredegar Corp. 167,100 3,200 * Del Webb Corp. 82,100 3,176 Reliance Steel & Aluminum Co. 125,450 3,168 CH Energy Group, Inc. 71,700 3,151 First Bancorp/Puerto Rico 116,500 3,144 Texas Industries, Inc. 91,200 3,136 * Cable Design Technologies 192,050 3,104 Standard Pacific Corp. 132,600 3,070 * Information Holdings Inc. 94,800 3,062 UIL Holdings Corp. 62,800 3,051 * Verity, Inc. 152,100 3,034 MAF Bancorp, Inc. 98,500 3,024 * Footstar Inc. 87,400 3,007 Datascope Corp. 64,600 2,977 Ryland Group, Inc. 58,700 2,970 * Nautica Enterprises, Inc. 145,100 2,964 Selective Insurance Group 110,330 2,944 Central Parking Corp. 157,300 2,942 Clarcor Inc. 107,400 2,884 St. Mary Land & Exploration Co. 123,400 2,883 Belden, Inc. 107,700 2,881 * Input/Output, Inc. 224,000 2,845 38 - ------------------------------------------------------------------------------------------------------- MARKET VALUE^ (SHARES) (000) - ------------------------------------------------------------------------------------------------------- Casey's General Stores 216,000 2,808 Provident Bankshares Corp. 112,442 2,804 * General Communication, Inc. 231,400 2,800 * Read Rite Corp. 521,800 2,781 Winnebago Industries, Inc. 89,900 2,764 * Monaco Coach Corp. 83,200 2,762 Northwest Natural Gas Co. 109,800 2,734 * SPS Technologies, Inc. 57,400 2,721 Lennox International Inc. 246,174 2,696 * Paxar Corp. 185,400 2,670 The Pep Boys (Manny, Moe & Jack) 234,300 2,631 Analogic Corp. 57,000 2,596 * Kirby Corp. 105,000 2,588 Russ Berrie and Co., Inc. 88,000 2,587 * Triarc Cos., Inc. Class A 97,700 2,560 * Harmonic, Inc. 255,390 2,554 * Actel Corp. 103,010 2,529 * Group 1 Automotive, Inc. 85,300 2,525 LandAmerica Financial Group, Inc. 78,800 2,510 The Toro Co. 55,800 2,508 * Steel Dynamics, Inc. 200,100 2,501 Wellman, Inc. 139,300 2,493 * Ultratech Stepper, Inc. 97,200 2,492 Great Atlantic & Pacific Tea Co., Inc. 168,200 2,489 MacDermid, Inc. 138,000 2,484 Penton Media, Inc. Class A 140,400 2,457 * Ralcorp Holdings, Inc. 131,000 2,455 Hughes Supply, Inc. 103,700 2,453 G & K Services, Inc. 90,100 2,424 GenCorp, Inc. 187,700 2,403 American Financial Holdings, Inc. 101,700 2,400 * Checkpoint Systems, Inc. 134,300 2,391 * Ionics, Inc. 75,700 2,385 * Champion Enterprises, Inc. 209,400 2,383 Russell Corp. 140,000 2,379 * Ciber, Inc. 250,300 2,378 * The Profit Recovery Group International, Inc. 206,962 2,372 Tucker Anthony Sutro Corp. 107,500 2,365 * IHOP Corp. 87,900 2,360 * Prime Hospitality Corp. 197,400 2,339 Northwestern Corp. 103,900 2,327 Kellwood Co. 99,900 2,308 * Spherion Corp. 256,170 2,293 Milacron Inc. 145,900 2,286 * FileNet Corp. 154,200 2,282 JLG Industries, Inc. 183,900 2,271 * First Federal Financial Corp. 75,800 2,259 Park Electrochemical Corp. 85,100 2,247 * Alliance Semiconductor Corp. 186,460 2,241 The Standard Register Co. 121,100 2,240 * Avant! Corp. 164,200 2,184 * Artesyn Technologies, Inc. 167,500 2,161 * Buckeye Technology, Inc. 149,900 2,159 * Hyperion Solutions Corp. 142,100 2,132 Cato Corp. Class A 109,100 2,130 Arch Chemicals, Inc. 97,200 2,122 * Rare Hospitality International Inc. 93,600 2,115 Riggs National Corp. 124,279 2,112 Laclede Gas Co. 83,000 2,108 * PAREXEL International Corp. 108,000 2,106 Arnold Industries, Inc. 108,500 2,101 * Benchmark Electronics, Inc. 85,900 2,093 * Hutchinson Technology, Inc. 109,200 2,080 * Financial Federal Corp. 71,800 2,079 Zenith National Insurance Corp. 76,700 2,071 * Arkansas Best Corp. 89,600 2,065 * Pre-Paid Legal Services, Inc. 93,600 2,059 * Philadelphia Consolidated Holding Corp. 59,200 2,059 * Carreker Corp. 95,400 2,051 * URS Corp. 74,900 2,022 AAR Corp. 118,100 2,020 Fremont General Corp. 310,000 2,015 Fleetwood Enterprises, Inc. 142,900 2,012 * Yellow Corp. 105,900 2,010 Roadway Corp 84,400 2,006 Barnes Group, Inc. 81,000 2,001 Cohu, Inc. 88,900 2,000 * Aztar Corp. 165,200 1,999 * School Specialty, Inc. 77,100 1,993 * Tower Automotive, Inc. 193,500 1,983 * ESS Technology, Inc. 187,100 1,983 * Esterline Technologies Corp. 90,800 1,975 Watts Industries Class A 116,100 1,968 Thomas Industries, Inc. 66,500 1,962 Dimon Inc. 195,600 1,956 Valmont Industries, Inc. 107,000 1,947 Universal Forest Products, Inc. 86,300 1,942 R.L.I. Corp. 43,000 1,932 Regal-Beloit Corp. 91,600 1,916 * ArQule, Inc. 88,100 1,908 * Stein Mart, Inc. 179,600 1,857 A.O. Smith Corp. 103,500 1,853 * Allen Telecom Inc. 123,200 1,848 * The Dress Barn, Inc. 80,500 1,831 Commercial Metals Co. 56,900 1,823 * APW Ltd. 179,000 1,817 * Offshore Logistics, Inc. 93,900 1,783 The Marcus Corp. 127,800 1,783 * Conmed Corp. 67,700 1,764 * General Semiconductor, Inc. 166,000 1,736 Phillips-Van Heusen Corp. 120,500 1,735 Kaman Corp. Class A 97,500 1,726 * Heidrick & Struggles International, Inc. 84,700 1,722 39 - ------------------------------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE^ INDEX FUND (SHARES) (000) - ------------------------------------------------------------------------------------------------------- * Pericom Semiconductor Corp. 109,500 1,721 Thor Industries, Inc. 52,000 1,714 International Multifoods Corp. 82,400 1,710 Elcor Corp. 84,300 1,707 * C-COR Electronics, Inc. 140,600 1,687 * Three-Five Systems, Inc. 93,700 1,685 Interface, Inc. 223,300 1,675 * Proxim, Inc. 118,400 1,669 * MICROS Systems, Inc. 75,700 1,665 Bowne & Co., Inc. 144,500 1,662 Chesapeake Corp. of Virginia 66,400 1,643 Watsco, Inc. 116,050 1,636 ChemFirst Inc. 62,300 1,632 * Ryan's Family Steak Houses, Inc. 133,000 1,629 * Electroglas, Inc. 91,800 1,625 Foster Wheeler Ltd. 179,400 1,624 Applied Industrial Technology, Inc. 85,200 1,615 Mutual Risk Management Ltd. 181,100 1,612 * Phoenix Technologies LTD. 110,000 1,606 Landry's Restaurants, Inc. 94,400 1,605 * Aspect Communications Corp. 227,300 1,589 Anchor Bancorp Wisconsin Inc. 99,700 1,585 The Stride Rite Corp. 182,800 1,554 * O'Charley's Inc. 80,100 1,552 Bel Fuse, Inc. Class B 46,550 1,548 Apogee Enterprises, Inc. 123,900 1,548 Chemed Corp. 42,800 1,547 Pioneer Standard Electronics Inc. 120,300 1,540 Schweitzer-Mauduit International, Inc. 65,100 1,535 * MRO Software Inc. 96,200 1,520 * Armor Holdings, Inc. 101,000 1,515 Quanex Corp. 58,300 1,510 Arctic Cat, Inc. 103,885 1,506 Deltic Timber Corp. 52,200 1,503 American States Water Co. 43,900 1,493 Aaron Rents, Inc. Class B 87,300 1,484 * JAKKS Pacific, Inc. 78,600 1,470 * Sola International Inc. 104,100 1,469 GBC Bancorp 51,000 1,456 * Astec Industries, Inc. 84,000 1,449 * Seitel, Inc. 110,300 1,445 * Theragenics Corp. 129,200 1,443 Myers Industries, Inc. 95,092 1,436 * Griffon Corp. 129,300 1,422 Southwest Securities Group, Inc. 68,680 1,422 * CDI Corp. 83,300 1,415 NUI Corp. 60,500 1,396 * RTI International Metals 91,300 1,392 * Gardner Denver Inc. 67,600 1,389 Brown Shoe Company, Inc. 76,600 1,383 Robbins & Myers, Inc. 48,100 1,356 Methode Electronics, Inc. Class A 157,000 1,350 * Pinnacle Systems, Inc. 222,400 1,346 * Information Resources, Inc. 126,110 1,305 * Systems & Computer Technology Corp. 142,700 1,291 * Standard Microsystem 70,019 1,253 Omnova Solutions Inc. 171,900 1,251 SLI, Inc. 151,600 1,251 Lawson Products, Inc. 42,300 1,239 Standex International Corp. 52,400 1,237 * Pegasus Solutions Inc. 106,500 1,230 * Magnatek 98,400 1,230 Wabash National Corp. 99,900 1,209 Nash-Finch Co. 50,400 1,189 * Nuevo Energy Co. 72,500 1,182 * SONICblue Inc. 354,112 1,169 * SBS Technologies, Inc. 61,800 1,168 * El Paso Electric Co. 73,000 1,167 * Volt Information Sciences Inc. 66,000 1,155 * Steak n Shake Company 124,730 1,154 Brush Engineered Materials Inc. 71,900 1,150 Sturm, Ruger & Co., Inc. 116,800 1,145 * QRS Corp. 67,300 1,117 Caraustar Industries, Inc. 120,900 1,112 * Audiovox Corp. 98,000 1,088 * Boston Communications Group, Inc. 74,000 1,066 Gerber Scientific, Inc. 95,700 1,048 New England Business Service, Inc. 54,300 1,043 * Midwest Express Holdings, Inc. 60,000 1,041 K-Swiss, Inc. 43,100 1,040 Cascade Natural Gas Corp. 48,000 1,022 * Key Production Company, Inc. 60,700 1,011 * 4Kids Entertainment Inc. 52,400 1,003 Skyline Corp. 36,400 990 * Consolidated Graphics, Inc. 56,500 961 * The Gymboree Corp. 112,300 955 Luby's, Inc. 97,400 954 Central Vermont Public Service Corp. 50,100 947 * SPSS, Inc. 59,514 941 * Labor Ready, Inc. 175,900 922 * The Kroll-O'Gara Co. 96,900 917 Cash America International Inc. 107,300 913 Coachmen Industries, Inc. 68,500 908 * ShopKo Stores, Inc. 124,600 907 * K2 Inc. 77,900 890 National Presto Industries, Inc. 29,900 888 * Salton, Inc. 49,700 885 * TBC Corp. 91,100 873 * Wolverine Tube, Inc. 52,300 867 * Insurance Auto Auctions, Inc. 50,900 865 Bangor Hydro-Electric Co. 32,000 851 * Building Materials Holding Corp. 55,800 849 40 - ------------------------------------------------------------------------------------------------------- MARKET VALUE^ (SHARES) (000) - ------------------------------------------------------------------------------------------------------- * Sierra Health Services 119,500 838 Nature's Sunshine Inc. 70,500 834 * Pinnacle Entertainment, Inc. 112,900 830 A.M. Castle & Co. 61,500 829 * Lydall, Inc. 68,900 827 * Bell Microproducts Inc. 68,900 824 Midas Inc. 64,800 823 * J & J Snack Foods Corp. 37,000 820 SCPIE Holdings Inc. 40,500 818 Cleveland-Cliffs Iron Co. 44,100 816 * Applica Inc. 100,300 798 * Discount Auto Parts Inc. 72,500 787 Pope & Talbot, Inc. 60,200 777 * PC-Tel, Inc. 83,100 765 Quaker Chemical Corp. 39,300 747 Standard Motor Products, Inc. 54,000 718 BMC Industries, Inc. 119,100 715 Fedders Corp. 137,100 713 Oxford Industries, Inc. 32,000 704 * Brightpoint, Inc. 242,300 703 * Concord Camera Corp. 118,600 700 * SCM Microsystems, Inc. 66,100 687 Butler Manufacturing Co. 27,300 683 * ZixIt Corp. 74,000 677 Hancock Fabrics, Inc. 75,000 671 * Supertex, Inc. 53,900 665 * Concord Communications, Inc. 72,200 650 Bassett Furniture Industries, Inc. 50,900 640 * Rainbow Technologies, Inc. 113,200 633 * Material Sciences Corp. 63,800 630 Intermet Corp. 110,300 623 * Digi International, Inc. 66,200 579 * Goody's Family Clothing 140,800 565 Tenneco Automotive, Inc. 163,200 532 Polaroid Corp. 202,400 526 * SpaceLabs Medical, Inc. 42,100 514 * A.T. Cross Co. Class A 73,910 491 IMCO Recycling, Inc. 69,200 491 * Meade Instruments Corp. 71,500 481 * Franklin Covey Co. 86,200 474 Analysts International Corp. 105,000 468 * Hall, Kinion & Associates, Inc. 57,300 462 * Davox Corp. 55,500 461 * Hologic, Inc. 67,400 458 Thomas Nelson, Inc. 62,300 438 * Huffy Corp. 44,400 428 * Department 56 Inc. 55,900 428 * SpeedFam-IPEC, Inc. 130,800 417 Angelica Corp. 37,400 411 * Brooktrout Technology, Inc. 52,700 407 Green Mountain Power Corp. 24,400 389 * International FiberCom, Inc. 155,000 388 * ePresence, Inc. 103,800 382 Penford Corp. 32,500 377 Titan International, Inc. 89,600 366 * Royal Appliance Manufacturing Co. 60,100 365 * Enesco Group, Inc. 59,300 359 Mississippi Chemical Corp. 113,500 351 * Mayor's Jeweler's, Inc. 83,900 348 * Computer Task Group, Inc. 90,600 330 * Hartmarx Corp. 130,000 326 * Jo-Ann Stores, Inc. Class A 79,500 322 Commonwealth Industries Inc. 71,500 320 Steel Technologies, Inc. 44,400 317 * Ashworth, Inc. 57,100 315 Amcast Industrial Corp. 36,500 312 * Pac-West Telecom, Inc. 156,400 303 * Network Equipment Technologies, Inc. 94,800 303 * Captaris Inc. 140,500 292 Haggar Corp. 28,200 292 * Osteotech, Inc. 60,800 277 * Innovex, Inc. 65,100 239 * Curative Health Services Inc. 30,700 193 * eLoyalty Corp. 69,700 70 * Edgewater Technology, Inc. 18,674 65 * M.S. Carriers, Inc. 600 18 * Cognex Corp. 100 3 Inter-Tel, Inc. 200 2 * Axcelis Technologies, Inc. 100 1 - ------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $792,435) 837,466 - ------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.1%) - ------------------------------------------------------------------------------------------------------- Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 4.07%, 7/2/2001--Note E $6,055 6,055 4.07%, 7/2/2001 2,885 2,885 - ------------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $8,940) 8,940 - ------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (101.3%) (Cost $801,375) 846,406 - ------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-1.3%) - ------------------------------------------------------------------------------------------------------- Other Assets--Note B 8,515 Liabilities--Note E (18,912) - ------------------------------------------------------------------------------------------------------- (10,397) - ------------------------------------------------------------------------------------------------------- NET ASSETS (100%) $836,009 ======================================================================================================= ^See Note A in Notes to Financial Statements. *Non-income-producing security. 41 - ------------------------------------------------------------------------------------------------------- AT JUNE 30, 2001, NET ASSETS CONSISTED OF: Paid-in Capital--Note C $ 776,216 Undistributed Net Investment Income--Note C 2,931 Accumulated Net Realized Gains--Note C 11,831 Unrealized Appreciation--Note D 45,031 - ------------------------------------------------------------------------------------------------------- NET ASSETS $836,009 ======================================================================================================= Investor Shares--Net Assets Applicable to 60,582,014 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $626,140 - ------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INVESTOR SHARES $10.34 ======================================================================================================= Institutional Shares--Net Assets Applicable to 20,287,393 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $209,869 - ------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INSTITUTIONAL SHARES $10.34 =======================================================================================================
42 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 ---------------------------------------------- SIX MONTHS ENDED JUNE 30, 2001 - ------------------------------------------------------------------------------------------------- (000) (000) (000) - ------------------------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 26,154 $ 561 $ 3,664 Interest 568 12 154 Security Lending 1,964 111 91 - ------------------------------------------------------------------------------------------------- Total Income 28,686 684 3,909 - ------------------------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 79 24 24 Management and Administrative--Investor Shares 4,243 353 532 Management and Administrative--Admiral Shares 341 -- -- Management and Administrative--Institutional Shares 183 16 38 Marketing and Distribution--Investor Shares 284 25 29 Marketing and Distribution--Admiral Shares 12 -- -- Marketing and Distribution--Institutional Shares 40 6 11 Custodian Fees 45 51 86 Auditing Fees 6 6 6 Shareholders' Reports--Investor Shares 45 5 2 Shareholders' Reports--Admiral Shares 1 -- -- Shareholders' Reports--Institutional Shares 1 1 1 Trustees' Fees and Expenses 4 -- -- - ------------------------------------------------------------------------------------------------- Total Expenses 5,284 487 729 - ------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 23,402 197 3,180 - ------------------------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (94,122) (35,030) 12,595 Futures Contracts 1,193 -- -- - ------------------------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (92,929) (35,030) 12,595 - ------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 399,062 35,212 51,252 Futures Contracts (38) -- -- - ------------------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 399,024 35,212 51,252 - ------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $329,497 $ 379 $67,027 =================================================================================================
43 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 net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
- -------------------------------------------------------------------------------------------------------------------- SMALL-CAP SMALL-CAP GROWTH INDEX FUND INDEX FUND -------------------------------------------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED JUNE 30, 2001 DEC. 31, 2000 JUNE 30, 2001 DEC. 31, 2000 (000) (000) (000) (000) - -------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 23,402 $ 52,786 $ 197 $ 148 Realized Net Gain (Loss) (92,929) 561,654 (35,031) 1,658 Change in Unrealized Appreciation (Depreciation) 399,024 (782,796) 35,212 (26,012) - -------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 329,497 (168,356) 378 (24,206) - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares -- (41,465) -- (92) Admiral Shares -- (2,857) -- -- Institutional Shares -- (6,616) -- (74) Realized Capital Gain Investor Shares -- (483,018) -- (17,524) Admiral Shares -- (30,291) -- -- Institutional Shares -- (67,331) -- (3,539) - -------------------------------------------------------------------------------------------------------------------- Total Distributions -- (631,578) -- (21,229) - -------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Investor Shares (126,834) 702,333 4,302 228,254 Admiral Shares 11,250 278,915 -- -- Institutional Shares (22,288) 169,164 15,990 78,347 - -------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease)from Capital Share Transactions 62,128 1,150,412 20,292 306,601 - -------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) 391,625 350,478 20,670 261,166 - -------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period 4,318,271 3,967,793 428,421 167,255 - ------------------------------------------------------------------------------------------------------------------ End of Period $4,709,896 $4,318,271 $449,091 $428,421 ====================================================================================================================
44 - -------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND - -------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED ENDED JUNE 30, 2001 DEC. 31, 2000 - -------------------------------------------------------------------------------- (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 3,180 $ 3,334 Realized Net Gain (Loss) 12,595 43,339 Change in Unrealized Appreciation (Depreciation) 51,252 16,034 - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 67,027 62,707 - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares -- (2,557) Admiral Shares -- -- Institutional Shares -- (807) Realized Capital Gain Investor Shares (22,014) (13,937) Admiral Shares -- -- Institutional Shares (7,471) (2,452) - -------------------------------------------------------------------------------- Total Distributions (29,485) (19,753) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Investor Shares 279,042 78,643 Admiral Shares -- -- Institutional Shares 116,492 67,047 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 395,534 145,690 - -------------------------------------------------------------------------------- Total Increase (Decrease) 433,076 188,644 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 402,933 214,289 - -------------------------------------------------------------------------------- End of Period $836,009 $402,933 ================================================================================ 45 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 SIX MONTHS ---------------------------------------------------------------------- THROUGHOUT EACH PERIOD ENDED JUNE 30, 2001 2000 1999 1998 1997 1996 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $19.44 $23.60 $21.20 $23.75 $20.23 $18.61 - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .10 .270 .256 .311 .277 .26 Net Realized and Unrealized Gain (Loss) on Investments 1.37 (1.145) 4.491 (1.007) 4.632 3.07 - ------------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations 1.47 (.875) 4.747 (.696) .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 PERIOD $20.91 $19.44 $23.60 $21.20 $23.75 $20.23 ==================================================================================================================================== TOTAL RETURN* 7.56% -2.67% 23.13% -2.61% 24.59% 18.12% ==================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $3,712 $3,577 $3,553 $2,768 $2,652 $1,713 Ratio of Total Expenses to Average Net Assets 0.27%** 0.27% 0.25% 0.24% 0.23% 0.25% Ratio of Net Investment Income to Average Net Assets 0.93%** 1.17% 1.25% 1.39% 1.38% 1.51% Portfolio Turnover Rate 63%** 49% 42% 35% 29% 28% ==================================================================================================================================== *Total returns 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. **Annualized.
46
- -------------------------------------------------------------------------------------------------- SMALL-CAP INDEX FUND ADMIRAL SHARES FOR A SHARE OUTSTANDING SIX MONTHS ENDED NOV. 13* TO THROUGHOUT EACH PERIOD JUNE 30, 2001 DEC. 31, 2000 - -------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.44 $22.40 - -------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .11 .053 Net Realized and Unrealized Gain (Loss) on Investments 1.37 .062 - -------------------------------------------------------------------------------------------------- Total from Investment Operations 1.48 .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 $20.92 $19.44 ================================================================================================== TOTAL RETURN* 7.61% 1.75% ================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $496 $252 Ratio of Total Expenses to Average Net Assets 0.20%** 0.20%** Ratio of Net Investment Income to Average Net Assets 0.97%** 1.79%** Portfolio Turnover Rate 63%** 49% ==================================================================================================
*Inception. **Annualized.
- ------------------------------------------------------------------------------------------------------------------------------------ SMALL-CAP INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING SIX MONTHS ENDED ----------------------------------------- JULY 7* TO THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 1998 DEC. 31, 1997 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $19.44 $23.61 $21.20 $23.75 $22.56 - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .12 .292 .295 .336 .158 Net Realized and Unrealized Gain (Loss) on Investments 1.37 (1.145) 4.491 (1.007) 2.370 - ------------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations 1.490 (.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 $20.93 $19.44 $23.61 $21.20 $23.75 ==================================================================================================================================== TOTAL RETURN** 7.66% -2.56% 23.33% -2.50% 11.42% ==================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $502 $490 $415 $264 $137 Ratio of Total Expenses to Average Net Assets 0.10%^ 0.13% 0.12% 0.12% 0.12%^ Ratio of Net Investment Income to Average Net Assets 1.11%^ 1.32% 1.37% 1.53% 1.52%^ Portfolio Turnover Rate 63%^ 49% 42% 35% 29% ==================================================================================================================================== *Inception. **Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000. ^Annualized.
47
- ------------------------------------------------------------------------------------------------------------------------------------ SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, SIX MONTHS ENDED ---------------------------- APR. 20* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 DEC. 31, 1998 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $10.97 $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 $10.97 $11.38 $ 9.53 ==================================================================================================================================== TOTAL RETURN** 0.00% 1.59% 19.80% -4.77% ==================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $360 $356 $167 $90 Ratio of Total Expenses to Average Net Assets 0.27%^ 0.27% 0.25% 0.25%^ Ratio of Net Investment Income to Average Net Assets 0.07%^ 0.03% 0.33% 0.63%^ Portfolio Turnover Rate 82%^ 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 returns 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 SIX MONTHS ENDED MAY 24* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 200 DEC. 31, 2000 - -------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $10.97 $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 $10.97 ================================================================================================== TOTAL RETURN** 0.00% 4.90% ================================================================================================== RATIOS/SUPPLEMENTAL DAATA Net assets, end of period (Millions) $89 $73 Ratio of Total Expenses to Average Net Assets 0.10%^ 0.13%^ Ratio of Net Investment Income to Average Net Assets 0.24%^ 0.11%^ Portfolio Turnover Rate 82%^ 136% ==================================================================================================
*Inception. **Total returns do not reflect the 0.5% transaction fee on purchases. ^Annualized. 48
- ------------------------------------------------------------------------------------------------------------------------------------ SMALL-CAP VALUE INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, SIX MONTHS ------------------------------ APR. 20* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD ENDED JUNE 30, 2001 2000 1999 DEC. 31, 1998 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 9.65 $8.45 $8.74 $10.00 - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .04 .084 .065 .045 Net Realized and Unrealized Gain (Loss) on Investments 1.09 1.698 .210 (1.250) Total from Investment Operations 1.13 1.782 .275 (1.205) - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income -- (.082) (.070) (.055) Distributions from Realized Capital Gains (.44) (.500) (.495) -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Distributions (.44) (.582) (.565) (.055) - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $10.34 $9.65 $8.45 $8.74 ==================================================================================================================================== TOTAL RETURN** 12.37% 21.88% 3.35% -12.47% ==================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (Millions) $626 $317 $204 $113 Ratio of Total Expenses to Average Net Assets 0.27%^ 0.27% 0.25% 0.25%^ Ratio of Net Investment Income to Average Net Assets 0.95%^ 1.16% 0.96% 1.13%^ Portfolio Turnover Rate 67%^ 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 returns 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 SIX MONTHS ENDED YEAR ENDED DEC. 7* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 DEC. 31, 2000 DEC. 31, 1999 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 9.65 $8.45 $8.74 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .04 .097 .009 Net Realized and Unrealized Gain (Loss) on Investments 1.09 1.698 .226 Total from Investment Operations 1.13 1.795 .235 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income -- (.095) (.070) Distributions from Realized Capital Gains (.44) (.500) (.455) Total Distributions (.44) (.595) (.525) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $10.34 $9.65 $8.45 ==================================================================================================================== TOTAL RETURN** 12.37% 22.04% 2.83% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $210 $86 $10 Ratio of Total Expenses to Average Net Assets 0.10%^ 0.13% 0.13%^ Ratio of Net Investment Income to Average Net Assets 1.13%^ 1.36% 1.37%^ Portfolio Turnover Rate 67%^ 82% 80% ====================================================================================================================
*Inception. **Total returns do not reflect the 0.5% transaction fee on purchases. ^Annualized. 49 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 open-end investment companies, or mutual funds. The Small-Cap Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. The Small-Cap Growth Index Fund and the Small-Cap Value Index Fund offer two classes of shares, Investor Shares and Institutional Shares. Admiral Shares were first issued on November 13, 2000. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. 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). 50 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. Transaction fees assessed on purchases of capital shares are credited to paid-in capital. Each class of shares has equal rights to assets and earnings, except that each class separately 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 gains and losses on investments are allocated to each class of shares based on its relative net assets. 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 June 30, 2001, 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 $837 0.02% 0.8% Small-Cap Growth 80 0.02 0.1 Small-Cap Value 138 0.02 0.1 - -------------------------------------------------------------------------------- The funds' trustees and officers are also directors and officers of Vanguard. C. During the six months ended June 30, 2001, purchases and sales of investment securities other than temporary cash investments were: - -------------------------------------------------------------------------------- (000) -------------------------------------- INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------------- Small-Cap $1,516,959 $1,379,974 Small-Cap Growth 189,659 170,871 Small-Cap Value 588,033 216,730 - -------------------------------------------------------------------------------- The Small-Cap Growth Index and Small-Cap Value Index Funds used a tax accounting practice to treat a portion of the price of capital shares redeemed for the year ended December 31, 2000, 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 INDEX FUND NET INVESTMENT INCOME NET REALIZED GAINS - -------------------------------------------------------------------------------- Small-Cap Growth $17 $ 35 Small-Cap Value 99 1,140 - -------------------------------------------------------------------------------- 51 At December 31, 2000, the Small-Cap Index and Small-Cap Growth Index Funds had available realized capital losses of $14,053,000 and $29,851,000, respectively, to offset future net capital gains. D. At June 30, 2001, 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 - -------------------------------------------------------------------------------- Small-Cap $807,359 $(602,441) $204,918 Small-Cap Growth 78,968 (32,287) 46,681 Small-Cap Value 85,909 (40,878) 45,031 - -------------------------------------------------------------------------------- At June 30, 2001, the aggregate settlement value of open futures contracts expiring in September 2001 and the related unrealized appreciation were: - -------------------------------------------------------------------------------- (000) ---------------------------------------------- AGGREGATE NUMBER OF SETTLEMENT UNREALIZED INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE DEPRECIATION - -------------------------------------------------------------------------------- Small-Cap/Russell 2000 Index 6 $1,547 $15 - -------------------------------------------------------------------------------- E. The market value of securities on loan to broker/dealers at June 30, 2001, and collateral received with respect to such loans were: - -------------------------------------------------------------------------------- (000) ----- ------------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED - -------------------------------------------------------------------------------- Small-Cap $122,271 $131,847 Small-Cap Growth 10,430 10,793 Small-Cap Value 5,815 6,055 - -------------------------------------------------------------------------------- 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. 52 F. Capital share transactions for each class of shares were:
- ----------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2001 DECEMBER 31, 2000 -------------------------------------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------------- SMALL-CAP INDEX FUND Investor Shares Issued $442,058 $22,693 $1,398,652 $57,881 Issued in Lieu of Cash Distributions -- -- 491,844 26,983 Redeemed (568,892) (29,245) (1,188,163) (51,370) ---------------------------------------------- Net Increase (Decrease)--Investor Shares (126,834) (6,552) 702,333 33,494 ---------------------------------------------- Admiral Shares Issued 239,104 12,194 253,068 11,496 Issued in Lieu of Cash Distributions -- -- 28,632 1,606 Redeemed (27,854) (1,442) (2,785) (133) ---------------------------------------------- Net Increase (Decrease)--Admiral Shares 211,250 10,752 278,915 12,969 ---------------------------------------------- Institutional Shares Issued 54,771 2,789 280,399 11,873 Issued in Lieu of Cash Distributions -- -- 62,547 3,450 Redeemed (77,059) (4,000) (173,782) (7,699) ---------------------------------------------- Net Increase (Decrease)--Institutional Shares (22,288) (1,211) 169,164 7,624 - ----------------------------------------------------------------------------------------------------------- SMALL-CAP GROWTH INDEX FUND Investor Shares Issued $55,859 5,415 $317,984 24,996 Issued in Lieu of Cash Distributions -- -- 16,226 1,525 Redeemed (51,557) (4,978) (105,956) (8,802) ---------------------------------------------- Net Increase (Decrease)--Investor Shares 4,302 437 228,254 17,719 ---------------------------------------------- Institutional Shares Issued 23,446 2,218 80,757 6,808 Issued in Lieu of Cash Distributions -- -- 3,614 339 Redeemed (7,456) (752) (6,024) (512) ---------------------------------------------- Net Increase (Decrease)--Institutional Shares 15,990 1,466 78,347 6,635 - ----------------------------------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND Investor Shares Issued $325,649 32,310 $130,411 14,727 Issued in Lieu of Cash Distributions 20,648 2,287 15,227 1,725 Redeemed (67,255) (6,843) (66,995) (7,822) ---------------------------------------------- Net Increase (Decrease)--Investor Shares 279,042 27,754 78,643 8,630 ---------------------------------------------- Institutional Shares Issued 146,362 14,411 73,136 8,431 Issued in Lieu of Cash Distributions 6,983 773 2,618 290 Redeemed (36,853) (3,809) (8,707) (973) ---------------------------------------------- Net Increase (Decrease)--Institutional Shares 116,492 11,375 67,047 7,748 - -----------------------------------------------------------------------------------------------------------
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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. CHARLES D. ELLIS (2001) Retired Managing Partner of Greenwich Associates; Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. 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 R. GREGORY BARTON, Secretary; Managing Director-Legal 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. [SHIP GRAPHIC] THE VANGUARD GROUP(R) 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&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. WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 DIRECT INVESTOR 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. Q482 082001 VANGUARD U.S. STOCK INDEX FUNDS TOTAL STOCK MARKET INDEX FUND Statement of Net Assets - June 30, 2001 (unaudited) The Statement of Net Assets should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes to Financial Statements, which begin on page 11 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 (99.7%)(1) - ------------------------------------------------------------------------------------------------------------- General Electric Co. 17,540,356 855,091 * Microsoft Corp. 9,504,023 693,793 Exxon Mobil Corp. 6,122,074 534,762 Citigroup, Inc. 8,870,851 468,735 Pfizer, Inc. 11,147,616 446,461 * AOL Time Warner Inc. 7,823,829 414,662 Wal-Mart Stores, Inc. 7,898,273 385,435 American International Group, Inc. 4,120,520 354,364 International Business Machines Corp. 3,095,034 349,738 Intel Corp. 11,875,381 347,354 Johnson & Johnson 5,347,247 267,361 Merck & Co., Inc. 4,049,033 258,773 Verizon Communications 4,779,334 255,693 SBC Communications Inc. 5,965,256 238,967 * Cisco Systems, Inc. 12,924,262 235,221 Philip Morris Cos., Inc. 3,919,773 198,927 The Coca-Cola Co. 4,396,815 197,856 Home Depot, Inc. 4,110,069 191,323 * Oracle Corp. 9,912,797 188,342 * Berkshire Hathaway Inc. Class A 2,646 183,631 Bristol-Myers Squibb Co. 3,443,762 180,108 Bank of America Corp. 2,865,576 172,020 * Viacom Inc. Class B 3,132,936 162,128 J.P. Morgan Chase & Co. 3,503,841 156,270 Fannie Mae 1,779,140 151,493 Eli Lilly & Co. 1,988,263 147,130 The Procter & Gamble Co. 2,292,706 146,274 Wells Fargo & Co. 3,023,866 140,397 American Home Products Corp. 2,317,233 135,418 AT&T Corp. 6,069,821 133,535 BellSouth Corp. 3,311,741 133,363 Abbott Laboratories 2,737,844 131,443 Morgan Stanley Dean Witter & Co. 1,972,302 126,680 * Dell Computer Corp. 4,586,660 119,940 PepsiCo, Inc. 2,583,844 114,205 * EMC Corp. 3,896,457 113,191 * Amgen, Inc. 1,842,409 111,796 The Walt Disney Co. 3,672,567 106,099 Pharmacia Corp. 2,297,711 105,579 Chevron Corp. 1,133,468 102,578 Medtronic, Inc. 2,133,101 98,143 Hewlett-Packard Co. 3,418,983 97,782 1 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- Texas Instruments, Inc. 3,062,167 96,457 Schering-Plough Corp. 2,582,146 93,576 Qwest Communications International Inc. 2,934,720 93,529 American Express Co. 2,348,164 91,108 * Sun Microsystems, Inc. 5,751,565 90,414 E.I. du Pont de Nemours & Co. 1,839,510 88,737 Merrill Lynch & Co., Inc. 1,482,251 87,822 Freddie Mac 1,227,627 85,933 The Boeing Co. 1,532,135 85,186 Ford Motor Co. 3,252,121 79,839 Minnesota Mining & Manufacturing Co. 698,430 79,690 * QUALCOMM, Inc. 1,334,673 78,051 U.S. Bancorp 3,402,493 77,542 FleetBoston Financial Corp. 1,909,936 75,346 Bank One Corp. 2,053,362 73,509 * WorldCom, Inc.- WorldCom Group 5,080,966 72,149 * Comcast Corp. Special Class A 1,656,086 71,873 * Applied Materials, Inc. 1,435,136 70,464 Anheuser-Busch Cos., Inc. 1,593,080 65,634 * Clear Channel Communications, Inc. 1,036,175 64,967 Texaco Inc. 971,619 64,709 Enron Corp. 1,318,479 64,604 Motorola, Inc. 3,862,867 63,968 The Bank of New York Co., Inc. 1,305,954 62,685 McDonald's Corp. 2,312,848 62,585 General Motors Corp. 968,484 62,321 Walgreen Co. 1,794,865 61,294 Fifth Third Bancorp 1,015,910 61,004 United Technologies Corp. 830,288 60,826 First Union Corp. 1,730,149 60,450 Alcoa Inc. 1,525,630 60,109 Colgate-Palmolive Co. 1,009,336 59,540 Washington Mutual, Inc. 1,546,198 58,059 Allstate Corp. 1,291,588 56,816 Automatic Data Processing, Inc. 1,120,677 55,697 Household International, Inc. 830,505 55,394 Target Corp. 1,583,296 54,781 Cardinal Health, Inc. 788,108 54,378 Gillette Co. 1,857,815 53,857 Schlumberger Ltd. 1,011,214 53,239 Duke Energy Corp. 1,358,686 53,001 Kimberly-Clark Corp. 941,697 52,640 Dow Chemical Co. 1,582,895 52,630 Electronic Data Systems Corp. 824,843 51,552 Baxter International, Inc. 1,042,422 51,078 Honeywell International Inc. 1,422,587 49,775 MBNA Corp. 1,504,406 49,569 Lowe's Cos., Inc. 676,206 49,058 Marsh & McLennan Cos., Inc. 484,639 48,948 * Veritas Software Corp. 718,745 47,817 El Paso Corp. 894,668 47,005 Compaq Computer Corp. 2,982,534 46,198 Emerson Electric Co. 757,775 45,844 First Data Corp. 696,803 44,769 * Cox Communications, Inc. Class A 1,009,897 44,737 The Gap, Inc. 1,515,917 43,961 HCA Inc. 963,995 43,562 * Micron Technology, Inc. 1,047,935 43,069 * Safeway, Inc. 888,025 42,624 Metropolitan Life Insurance Co. 1,348,550 41,777 American General Corp. 886,967 41,199 * AES Corp. 937,052 40,339 * Sprint PCS 1,644,391 39,711 Mellon Financial Corp. 860,697 39,591 * Siebel Systems, Inc. 797,650 37,409 Charles Schwab Corp. 2,443,702 37,388 Lucent Technologies, Inc. 6,006,566 37,240 * Kohl's Corp. 585,856 36,750 Computer Associates International, Inc. 1,017,843 36,641 Exelon Corp. 566,539 36,325 * The Kroger Co. 1,443,664 36,091 UnitedHealth Group Inc. 564,928 34,883 Lehman Brothers Holdings, Inc. 441,871 34,354 SunTrust Banks, Inc. 523,195 33,892 ALLTEL Corp. 552,983 33,875 Illinois Tool Works, Inc. 534,917 33,859 Waste Management, Inc. 1,096,468 33,792 PNC Financial Services Group 510,183 33,564 Sprint Corp. 1,559,666 33,313 * Costco Wholesale Corp. 809,521 33,254 National City Corp. 1,074,535 33,073 * eBay Inc. 477,213 32,683 Sysco Corp. 1,192,199 32,367 Carnival Corp. 1,029,881 31,616 Conoco Inc. Class B 1,086,448 31,397 * General Motors Corp. Class H 1,544,244 31,270 * Gemstar-TV Guide International, Inc. 724,753 30,873 Gannett Co., Inc. 464,891 30,635 International Paper Co. 849,043 30,310 Caterpillar, Inc. 605,545 30,307 Providian Financial Corp. 504,879 29,888 AFLAC, Inc. 934,374 29,422 * Tenet Healthcare Corp. 569,367 29,373 * Cendant Corp. 1,504,198 29,331 * JDS Uniphase Corp. 2,303,729 28,796 The Hartford Financial Services Group Inc. 417,340 28,545 Lockheed Martin Corp. 762,167 28,237 State Street Corp. 570,015 28,209 2 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- Omnicom Group Inc. 327,478 28,162 Williams Cos., Inc. 852,506 28,089 Halliburton Co. 780,319 27,778 Southern Co. 1,194,713 27,776 * Analog Devices, Inc. 633,607 27,403 General Dynamics Corp. 351,415 27,343 Corning, Inc. 1,625,478 27,161 CVS Corp. 691,023 26,672 Dynegy, Inc. 569,787 26,494 Wachovia Corp. 370,070 26,329 Paychex, Inc. 657,797 26,311 American Electric Power Co., Inc. 568,741 26,258 Sara Lee Corp. 1,385,782 26,246 * Agilent Technologies, Inc. 803,823 26,123 BB&T Corp. 711,632 26,116 Dominion Resources, Inc. 433,609 26,072 CIGNA Corp. 270,729 25,940 Phillips Petroleum Co. 449,647 25,629 * Maxim Integrated Products, Inc. 574,865 25,414 * PeopleSoft, Inc. 515,178 25,361 United Parcel Service, Inc. 436,368 25,221 Harley-Davidson, Inc. 535,191 25,196 H.J. Heinz Co. 613,286 25,076 Sears, Roebuck & Co. 588,409 24,895 Linear Technology Corp. 559,419 24,737 Southwest Airlines Co. 1,336,892 24,718 Northern Trust Corp. 390,494 24,405 Eastman Kodak Co. 522,219 24,376 Union Pacific Corp. 437,731 24,035 * Xilinx, Inc. 582,802 24,034 The Chubb Corp. 308,398 23,878 Anadarko Petroleum Corp. 438,068 23,668 * NEXTEL Communications, Inc. 1,343,699 23,514 * Best Buy Co., Inc. 366,938 23,307 Transocean Sedco Forex Inc. 558,025 23,018 The McGraw-Hill Cos., Inc. 344,066 22,759 Loews Corp. 347,925 22,416 * Concord EFS, Inc. 425,444 22,126 Capital One Financial Corp. 368,071 22,083 * Forest Laboratories, Inc. 310,294 22,030 TXU Corp. 455,907 21,969 General Mills, Inc. 500,884 21,928 * CIENA Corp. 576,722 21,914 John Hancock Financial Services, Inc. 543,448 21,878 Albertson's, Inc. 722,847 21,677 * FedEx Corp. 538,933 21,664 * Genzyme Corp. 351,926 21,466 Franklin Resources Corp. 465,359 21,298 Tribune Co. 532,288 21,296 * VeriSign, Inc. 354,789 21,291 * BEA Systems, Inc. 693,132 21,286 The Quaker Oats Co. 233,095 21,270 USA Education Inc. 289,754 21,152 Weyerhaeuser Co. 382,997 21,053 Burlington Northern Santa Fe Corp. 693,129 20,912 * Solectron Corp. 1,140,113 20,864 Kellogg Co. 716,397 20,776 * Mirant Corp. 596,391 20,516 * Altera Corp. 700,207 20,306 The Goldman Sachs Group, Inc. 235,836 20,235 Marriott International, Inc. Class A 426,697 20,200 Masco Corp. 802,626 20,034 NIKE, Inc. Class B 475,635 19,972 Adobe Systems, Inc. 424,388 19,946 Allergan, Inc. 232,322 19,864 * Calpine Corp. 525,412 19,861 * Yahoo!, Inc. 987,089 19,732 Baker Hughes, Inc. 586,465 19,647 KeyCorp 751,077 19,566 * Guidant Corp. 542,743 19,539 * Broadcom Corp. 456,439 19,517 St. Paul Cos., Inc. 383,381 19,434 Avon Products, Inc. 419,697 19,424 Interpublic Group of Cos., Inc. 661,730 19,422 * KLA-Tencor Corp. 324,956 19,000 Stryker Corp. 344,479 18,895 Campbell Soup Co. 732,966 18,874 FPL Group, Inc. 312,044 18,788 ConAgra Foods, Inc. 948,108 18,782 Wrigley, (Wm.) Jr. Co. 398,247 18,658 McKesson HBOC, Inc. 502,420 18,650 Pitney Bowes, Inc. 441,082 18,578 Air Products & Chemicals, Inc. 404,056 18,486 Public Service Enterprise Group, Inc. 373,628 18,270 Comerica, Inc. 312,888 18,022 May Department Stores Co. 525,268 17,996 Golden West Financial Corp. 278,315 17,879 * IDEC Pharmaceuticals Corp. 263,348 17,826 * MedImmune Inc. 373,413 17,625 * Juniper Networks, Inc. 565,756 17,595 * Brocade Communications Systems, Inc. 399,271 17,564 Progressive Corp. of Ohio 129,379 17,491 Lincoln National Corp. 337,937 17,488 * Advanced Micro Devices, Inc. 601,036 17,358 Equity Office Properties Trust REIT 547,073 17,304 Occidental Petroleum Corp. 650,205 17,289 * Chiron Corp. 337,256 17,200 Xcel Energy, Inc. 600,717 17,090 * Comverse Technology, Inc. 298,161 17,025 * Immunex Corp. 953,786 16,930 3 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- Reliant Energy, Inc. 519,024 16,718 Raytheon Co. 619,407 16,445 Ralston-Ralston Purina Group 545,968 16,390 * Genentech, Inc. 296,797 16,354 Progress Energy, Inc. 361,549 16,241 Becton, Dickinson & Co. 452,996 16,213 USX-Marathon Group 546,662 16,132 Aon Corp. 459,421 16,080 * King Pharmaceuticals, Inc. 297,299 15,980 Synovus Financial Corp. 505,888 15,875 * Bed Bath & Beyond, Inc. 504,069 15,727 TJX Cos., Inc. 493,138 15,716 Delphi Automotive Systems Corp. 984,740 15,687 Deere & Co. 413,180 15,639 PPG Industries, Inc. 296,190 15,571 * Univision Communications Inc. 363,153 15,536 SouthTrust Corp. 597,082 15,524 * USA Networks, Inc. 548,309 15,457 * Starbucks Corp. 668,099 15,366 Burlington Resources, Inc. 380,995 15,221 Biomet, Inc. 314,669 15,123 Entergy Corp. 393,179 15,094 * Lexmark International, Inc. 223,730 15,046 * Federated Department Stores, Inc. 349,623 14,859 Consolidated Edison Inc. 372,925 14,842 Hershey Foods Corp. 239,706 14,792 IMS Health, Inc. 518,666 14,782 Unocal Corp. 428,550 14,635 * Intuit, Inc. 365,520 14,617 Archer-Daniels-Midland Co. 1,116,068 14,509 MBIA, Inc. 259,683 14,459 * i2 Technologies, Inc. 725,123 14,357 DTE Energy Co. 306,613 14,239 Mattel, Inc. 751,200 14,213 * Apple Computer, Inc. 610,394 14,192 * Biogen, Inc. 260,539 14,163 The Clorox Co. 415,732 14,073 PPL Corp. 255,773 14,068 * Novellus Systems, Inc. 247,487 14,055 * SunGard Data Systems, Inc. 467,730 14,037 * Tellabs, Inc. 724,043 14,032 Norfolk Southern Corp. 676,221 13,998 Danaher Corp. 249,772 13,987 * Fiserv, Inc. 218,475 13,978 Cintas Corp. 298,091 13,787 Textron, Inc. 250,455 13,785 * Cablevision Systems-NY Group A 234,023 13,690 MGIC Investment Corp. 188,375 13,684 * IVAX Corp. 350,520 13,670 UnumProvident Corp. 423,945 13,617 CSX Corp. 374,658 13,578 * Millennium Pharmaceuticals, Inc. 381,562 13,576 * Electronic Arts Inc. 234,212 13,561 * EchoStar Communications Corp. 416,443 13,501 Dover Corp. 357,684 13,467 Georgia Pacific Group 397,353 13,450 Regions Financial Corp. 418,472 13,391 * Human Genome Sciences, Inc. 222,122 13,383 Equity Residential Properties Trust REIT 235,022 13,290 Jefferson-Pilot Corp. 272,744 13,179 Stilwell Financial, Inc. 391,374 13,135 Praxair, Inc. 279,090 13,117 Intimate Brands, Inc. 863,135 13,007 * Sanmina Corp. 551,227 12,904 M & T Bank Corp. 170,122 12,844 Starwood Hotels & Resorts Worldwide, Inc. 343,346 12,800 FirstEnergy Corp. 396,850 12,763 * Staples, Inc. 796,765 12,740 * CNA Financial Corp. 322,428 12,720 Rohm & Haas Co. 386,595 12,719 Amerada Hess Corp. 156,462 12,642 Molex, Inc. 343,788 12,559 The Limited, Inc. 749,062 12,375 AmSouth Bancorp 661,982 12,240 Rockwell International Corp. 320,930 12,234 Constellation Energy Group 286,749 12,216 J.C. Penney Co., Inc. 462,781 12,199 * Quest Diagnostics, Inc. 162,594 12,170 * Boston Scientific Corp. 713,194 12,124 Coca-Cola Enterprises, Inc. 735,167 12,020 New York Times Co. Class A 285,288 11,982 Northrop Grumman Corp. 149,489 11,974 Devon Energy Corp. 226,379 11,885 * LSI Logic Corp. 630,452 11,852 Tosco Corp. 268,997 11,849 Newell Rubbermaid, Inc. 469,049 11,773 * Charter Communications, Inc. 503,426 11,755 Charter One Financial 365,836 11,670 Ingersoll-Rand Co. 283,173 11,667 * Sabre Holdings Corp. 231,665 11,583 * DST Systems, Inc. 219,724 11,579 Scientific-Atlanta, Inc. 284,709 11,559 * NVIDIA Corp. 123,624 11,466 * Watson Pharmaceuticals, Inc. 184,053 11,345 * Citrix Systems, Inc. 324,982 11,342 Dollar General Corp. 581,579 11,341 Xerox Corp. 1,184,287 11,334 * Tricon Global Restaurants, Inc. 257,301 11,296 Telephone & Data Systems, Inc. 103,480 11,253 Cincinnati Financial Corp. 283,036 11,180 Bear Stearns Co., Inc. 188,159 11,096 4 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Adelphia Communications Corp. Class A 269,907 11,066 * Atmel Corp. 820,034 11,062 Apache Corp. 217,925 11,060 Johnson Controls, Inc. 152,132 11,025 Kerr-McGee Corp. 165,673 10,979 * TMP Worldwide, Inc. 185,043 10,938 * HEALTHSOUTH Corp. 679,572 10,853 AMBAC Financial Group Inc. 185,807 10,814 Union Planters Corp. 244,675 10,668 Fortune Brands, Inc. 272,891 10,468 * QLogic Corp. 162,338 10,463 Allegheny Energy, Inc. 216,162 10,430 * Jabil Circuit, Inc. 336,546 10,386 * Wellpoint Health Networks Inc. Class A 109,933 10,360 H & R Block, Inc. 160,262 10,345 * Openwave Systems Inc. 297,348 10,318 Ameren Corp. 241,433 10,309 * Computer Sciences Corp. 296,603 10,262 * Teradyne, Inc. 307,039 10,163 The Pepsi Bottling Group, Inc. 253,324 10,158 Kinder Morgan, Inc. 201,337 10,117 * Rational Software Corp. 357,867 10,038 RadioShack Corp. 327,938 10,002 Applera Corp-Applied Biosystems Group 371,135 9,928 Avery Dennison Corp. 194,230 9,915 Sempra Energy 360,799 9,864 R.J. Reynolds Tobacco Holdings, Inc. 179,564 9,804 NiSource, Inc. 358,580 9,800 * Kmart Corp. 852,618 9,780 Cinergy Corp. 279,158 9,757 Marshall & Ilsley Corp. 180,998 9,756 * BMC Software, Inc. 429,714 9,686 * Convergys Corp. 320,060 9,682 * Gilead Sciences, Inc. 165,657 9,640 * Nabors Industries, Inc. 258,752 9,626 * AMR Corp. 265,875 9,606 * PanAmSat Corp. 247,053 9,605 E.W. Scripps Co. Class A 139,126 9,600 Washington Post Co. Class B 16,713 9,593 * Agere Systems Inc. 1,278,836 9,591 Genuine Parts Co. 304,455 9,590 * Kraft Foods Inc. 308,950 9,577 Vulcan Materials Co. 177,669 9,550 Delta Air Lines, Inc. 216,292 9,534 Willamette Industries, Inc. 192,158 9,512 * Laboratory Corp. of America Holdings 123,254 9,478 Total System Services, Inc. 333,208 9,463 Estee Lauder Cos. Class A 219,302 9,452 * Andrx Corp.-Andrx Group 122,685 9,447 Moody's Corp. 281,772 9,439 Countrywide Credit Industries, Inc. 204,804 9,396 UnionBanCal Corp. 278,579 9,388 Zions Bancorp 159,064 9,385 * Gateway, Inc. 568,039 9,344 * BroadWing Inc. 380,072 9,293 * Weatherford International, Inc. 193,352 9,281 Tiffany & Co. 256,151 9,278 Dow Jones & Co., Inc. 153,671 9,176 Ecolab, Inc. 223,455 9,155 Equifax, Inc. 249,164 9,139 * Jones Apparel Group, Inc. 209,892 9,067 SEI Corp. 190,817 9,045 * Compuware Corp. 646,392 9,043 * ADC Telecommunications, Inc. 1,369,936 9,042 * Applied Micro Circuits Corp. 525,394 9,037 Simon Property Group, Inc. REIT 301,429 9,034 * Health Management Associates Class A 428,087 9,007 * St. Jude Medical, Inc. 149,269 8,956 TRW, Inc. 218,383 8,954 * Amazon.com, Inc. 631,832 8,940 North Fork Bancorp, Inc. 288,039 8,929 Torchmark Corp. 221,969 8,925 * National Semiconductor Corp. 305,907 8,908 National Commerce Financial Corp. 361,374 8,807 * U.S. Cellular Corp. 151,454 8,731 Parker Hannifin Corp. 205,122 8,705 * Metro-Goldwyn-Mayer Inc. 383,775 8,693 * Fox Entertainment Group, Inc. Class A 310,641 8,667 KeySpan Corp. 236,927 8,643 * Toys R Us, Inc. 347,204 8,593 * SPX Corp. 68,513 8,576 Symbol Technologies, Inc. 386,245 8,575 * Apollo Group, Inc. Class A 201,081 8,536 * Mercury Interactive Corp. 142,036 8,508 Eaton Corp. 120,493 8,447 * MGM Mirage, Inc. 280,285 8,397 * Sonus Networks, Inc. 356,922 8,338 UST, Inc. 286,599 8,271 * BJ Services Co. 288,756 8,195 * Unisys Corp. 554,839 8,162 * International Game Technology 129,373 8,097 * Cadence Design Systems, Inc. 432,273 8,053 * Peregrine Systems, Inc. 276,358 8,014 T. Rowe Price Group Inc. 213,972 8,000 * NCR Corp. 169,160 7,951 Popular, Inc. 240,256 7,914 * Conseco Inc. 579,000 7,903 First Tennessee National Corp. 226,444 7,860 5 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- * Microchip Technology, Inc. 229,327 7,854 The Goodyear Tire & Rubber Co. 279,260 7,819 * Robert Half International, Inc. 311,952 7,764 Diamond Offshore Drilling, Inc. 234,795 7,760 * Noble Drilling Corp. 236,909 7,759 * Abercrombie & Fitch Co. 173,816 7,735 * Network Appliance, Inc. 563,859 7,725 Family Dollar Stores, Inc. 301,348 7,724 * RF Micro Devices, Inc. 287,748 7,712 Brown-Forman Corp. Class B 120,428 7,700 Knight Ridder 129,439 7,676 PG&E Corp. 680,974 7,627 Leggett & Platt, Inc. 346,052 7,624 Hilton Hotels Corp. 650,193 7,542 GPU, Inc. 214,064 7,524 * Express Scripts 136,676 7,521 Dime Bancorp, Inc. 201,710 7,514 * AutoZone Inc. 200,228 7,509 Royal Caribbean Cruises, Ltd. 339,034 7,496 Harcourt General, Inc. 128,771 7,493 CenturyTel, Inc. 247,263 7,492 * Cabletron Systems, Inc. 324,837 7,423 * American Standard Cos., Inc. 122,044 7,335 Golden State Bancorp Inc. 238,085 7,333 Whirlpool Corp. 117,090 7,318 * AmeriCredit Corp. 140,797 7,314 EOG Resources, Inc. 205,600 7,309 VF Corp. 200,166 7,282 * Harrah's Entertainment, Inc. 205,346 7,249 Ultramar Diamond Shamrock Corp. 152,948 7,227 Huntington Bancshares Inc. 441,258 7,215 * AutoNation, Inc. 620,138 7,194 TECO Energy, Inc. 235,411 7,180 Transatlantic Holdings, Inc. 58,226 7,133 Spieker Properties, Inc. REIT 118,516 7,105 * Westwood One, Inc. 192,562 7,096 Pinnacle West Capital Corp. 148,910 7,058 * Vitesse Semiconductor Corp. 335,185 7,052 * Thermo Electron Corp. 317,577 6,993 ProLogis Trust REIT 306,043 6,953 * Smurfit-Stone Container Corp. 428,471 6,941 PACCAR, Inc. 134,939 6,939 Goodrich Corp 180,629 6,860 ITT Industries, Inc. 154,537 6,838 Green Point Financial Corp. 177,724 6,825 * Avaya Inc. 497,254 6,812 * Abgenix, Inc. 151,244 6,806 W.W. Grainger, Inc. 165,124 6,797 * BJ's Wholesale Club, Inc. 127,419 6,786 * ONI Sytems Corp. 239,935 6,694 Nucor Corp. 136,884 6,692 * Caremark Rx, Inc. 405,899 6,677 SAFECO Corp. 225,140 6,642 * HomeStore.com, Inc. 189,607 6,629 * Invitrogen Corp. 92,205 6,620 * Protein Design Labs, Inc. 76,266 6,617 Federated Investors, Inc. 204,931 6,599 Radian Group, Inc. 162,798 6,585 * SCI Systems, Inc. 257,428 6,564 * Parametric Technology Corp. 468,879 6,560 * American Tower Corp. Class A 317,331 6,559 TCF Financial Corp. 141,386 6,548 * Aetna Inc. 253,040 6,546 Circuit City Stores, Inc. 362,934 6,533 DPL Inc. 224,776 6,510 Cooper Industries, Inc. 64,259 6,503 * Allied Waste Industries, Inc. 347,202 6,486 Boston Properties, Inc. REIT 158,374 6,477 Winn-Dixie Stores, Inc. 247,162 6,458 AVX Corp. 307,331 6,454 Eastman Chemical Co. 135,273 6,443 Newmont Mining Corp. 345,102 6,422 * LAM Research Corp. 216,212 6,411 Edison International 574,683 6,408 CMS Energy Corp. 230,044 6,407 A.G. Edwards & Sons, Inc. 141,077 6,348 * Park Place Entertainment 523,190 6,331 * Affiliated Computer Services, Inc. Class A 87,956 6,325 ServiceMaster Co. 527,078 6,325 The Stanley Works 150,869 6,317 R.R. Donnelley & Sons Co. 212,442 6,310 * Lamar Advertising Co. Class A 142,978 6,291 Sherwin-Williams Co. 283,187 6,287 * Waters Corp. 227,439 6,280 Hillenbrand Industries, Inc. 109,891 6,276 * ImClone Systems, Inc. 118,353 6,249 Public Storage, Inc. REIT 209,890 6,223 Apartment Investment & Management Co. Class A REIT 129,084 6,222 Mylan Laboratories, Inc. 220,371 6,199 * Crown Castle International Corp. 376,111 6,168 * TeleCorp PCS, Inc. 316,313 6,127 * CDW Computer Centers, Inc. 153,497 6,095 * Cephalon, Inc. 86,293 6,084 Fluor Corp. 134,615 6,078 Dana Corp. 260,221 6,074 * Rite Aid Corp. 673,722 6,063 * Finisar Corp. 323,962 6,052 * Palm, Inc. 996,385 6,048 * Emulex Corp. 149,027 6,021 Old Republic International Corp. 207,254 6,010 * Citizens Communications Co. 497,285 5,982 6 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Integrated Device Technology Inc. 188,467 5,973 Vornado Realty Trust REIT 152,814 5,966 * Republic Services, Inc. Class A 300,261 5,960 * ICOS Corp. 93,067 5,956 * BISYS Group, Inc. 100,870 5,951 * Macrovision Corp. 86,817 5,947 Hormel Foods Corp. 243,792 5,934 UtiliCorp United, Inc. 194,173 5,932 * Amkor Technology, Inc. 268,305 5,930 Darden Restaurants Inc. 211,199 5,892 Engelhard Corp. 228,459 5,892 Santa Fe International Corp. 203,146 5,891 * Extreme Networks, Inc. 199,272 5,879 * NTL Inc. 485,940 5,856 Murphy Oil Corp. 79,315 5,838 Neuberger Berman Inc. 85,853 5,838 * Quest Software, Inc. 154,259 5,823 * Symantec Corp. 133,290 5,823 * Global Marine, Inc. 310,011 5,776 Banknorth Group, Inc. 254,744 5,770 Compass Bancshares Inc. 217,718 5,770 Phelps Dodge Corp. 138,466 5,746 * Manor Care, Inc. 180,208 5,722 American Water Works Co., Inc. 173,182 5,710 ENSCO International, Inc. 243,702 5,703 Duke Realty Corp 227,334 5,649 The PMI Group Inc. 77,479 5,630 Sovereign Bancorp, Inc. 432,967 5,629 Black & Decker Corp. 142,068 5,606 * L-3 Communications Holdings, Inc. 73,193 5,585 * Vishay Intertechnology, Inc. 242,660 5,581 Avalonbay Communities, Inc. REIT 119,350 5,580 * Lincare Holdings, Inc. 184,138 5,526 * Cypress Semiconductor Corp. 231,327 5,517 Archstone Communities Trust REIT 212,841 5,487 * Hispanic Broadcasting Corp. 191,164 5,484 Sunoco, Inc. 149,252 5,467 * Office Depot, Inc. 525,556 5,455 * MiniMed, Inc. 113,540 5,450 Legg Mason Inc. 109,076 5,428 Expeditors International of Washington, Inc. 90,202 5,412 * Sepracor Inc. 135,919 5,410 * AmeriSource Health Corp. 97,742 5,405 * American Power Conversion Corp. 342,601 5,396 BHC Communications, Inc. Class A 38,691 5,378 * Western Wireless Corp. Class A 124,994 5,375 Allmerica Financial Corp. 93,279 5,364 Sigma-Aldrich Corp. 138,322 5,342 * CSG Systems International, Inc. 91,858 5,328 * Smith International, Inc. 88,715 5,314 Avnet, Inc. 236,510 5,303 * Cooper Cameron Corp. 94,942 5,298 Kimco Realty Corp. REIT 111,809 5,294 * Dollar Tree Stores, Inc. 189,865 5,286 Northeast Utilities 252,174 5,233 SCANA Corp. 184,222 5,232 Crescent Real Estate, Inc. REIT 212,610 5,224 * Synopsys, Inc. 107,251 5,190 Reader's Digest Assn., Inc. Class A 179,673 5,166 Host Marriott Corp. REIT 411,092 5,147 * Vertex Pharmaceuticals, Inc. 103,947 5,145 Ocean Energy, Inc. 294,712 5,143 * Quintiles Transnational Corp. 203,364 5,135 * Micrel, Inc. 154,935 5,113 Wendy's International, Inc. 199,712 5,101 C.R. Bard, Inc. 89,467 5,095 Galileo International, Inc. 156,560 5,088 Pall Corp. 216,244 5,088 Millipore Corp. 81,727 5,065 Wisconsin Energy Corp. 212,860 5,060 McCormick & Co., Inc. 120,271 5,054 The Timber Co. 141,312 5,052 * Continental Airlines, Inc. Class B 101,874 5,017 * Niagara Mohawk Holdings Inc. 281,406 4,978 * McLeodUSA, Inc. Class A 1,081,715 4,965 Hibernia Corp. Class A 278,267 4,953 * Oxford Health Plan 172,624 4,937 * Ceridian Corp. 256,955 4,926 Ashland, Inc. 122,223 4,901 PerkinElmer, Inc. 175,738 4,838 Talbots Inc. 110,443 4,832 Astoria Financial Corp. 87,837 4,831 Jack Henry & Associates 155,140 4,809 Mercantile Bankshares Corp. 122,322 4,786 * Universal Health Services Class B 104,744 4,766 * Triad Hospitals, Inc. 160,983 4,744 The Mead Corp. 174,013 4,723 * CheckFree Corp. 134,496 4,717 * Sealed Air Corp. 126,008 4,694 * Sicor, Inc. 202,783 4,684 Waddell & Reed Financial, Inc. 147,053 4,669 IBP, Inc. 184,318 4,654 * Cytyc Corp. 201,554 4,646 Lennar Corp. 111,042 4,630 * Infonet Services Corp. 544,108 4,625 * Enzon, Inc. 73,789 4,612 * Lattice Semiconductor Corp. 188,905 4,609 Temple-Inland Inc. 86,188 4,593 7 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- Bergen Brunswig Corp. Class A 238,409 4,582 * Apogent Technologies Inc. 185,834 4,572 Liz Claiborne, Inc. 90,596 4,571 Unitrin, Inc. 119,042 4,571 * Brinker International, Inc. 174,883 4,521 * ChoicePoint Inc. 107,465 4,519 * Nextel Partners, Inc. 290,720 4,512 * Tektronix, Inc. 165,677 4,498 Hudson City Bancorp, Inc. 194,219 4,485 * Community Health Systems, Inc. 152,013 4,484 * Sycamore Networks, Inc. 480,901 4,482 ICN Pharmaceuticals, Inc. 140,525 4,457 * Devry, Inc. 123,039 4,444 * Barnes & Noble, Inc. 112,670 4,434 * TIBCO Software Inc. 345,168 4,408 * WebMD Corporation 628,097 4,397 * Barr Labs Inc. 62,410 4,394 * Iron Mountain, Inc. 97,806 4,386 Nordstrom, Inc. 236,306 4,383 * Intersil Corp. 120,224 4,376 Hasbro, Inc. 301,206 4,352 * Chris-Craft Industries, Inc. 60,944 4,351 Sonoco Products Co. 174,484 4,341 Energy East Corp. 207,266 4,334 iStar Financial Inc. 153,655 4,333 * American Eagle Outfitters, Inc. 122,928 4,332 International Flavors & Fragrances, Inc. 172,397 4,332 Eaton Vance Corp. 124,419 4,330 Viad Corp. 162,754 4,297 Investors Financial Services Corp. 64,072 4,293 Westvaco Corp. 176,645 4,291 * KPMG Consulting Inc. 277,181 4,255 Visteon Corp. 230,996 4,246 * Trigon Healthcare, Inc. 65,465 4,245 Beckman Coulter, Inc. 103,980 4,242 * Entercom Communications Corp. 78,999 4,235 Centex Corp. 103,751 4,228 Cabot Corp. 117,066 4,217 Associated Banc-Corp. 116,930 4,208 * Arrow Electronics, Inc. 172,781 4,197 * Foundry Networks, Inc. 208,666 4,169 * Triton PCS, Inc. 101,661 4,168 * Columbia Sportswear Co. 81,729 4,167 The St. Joe Co. 154,960 4,165 Alberto-Culver Co. Class B 98,821 4,154 BancWest Corp. 120,667 4,151 * Applera Corp.-Celera Genomics Group 104,066 4,127 C.H. Robinson Worldwide, Inc. 147,830 4,123 Potomac Electric Power Co. 196,516 4,111 Fastenal Co. 66,251 4,106 * Varian Medical Systems, Inc. 57,136 4,085 Commerce Bancshares, Inc. 110,639 4,083 FirstMerit Corp. 154,351 4,075 SuperValu Inc. 231,873 4,069 Alliant Energy Corp. 139,427 4,064 Mitchell Energy & Development Corp. Class A 87,767 4,059 * First Health Group Corp. 168,260 4,058 Martin Marietta Materials, Inc. 81,706 4,044 Tidewater Inc. 107,015 4,034 DENTSPLY International Inc. 90,891 4,031 * Fairchild Semiconductor Corp. 174,981 4,025 Diebold, Inc. 125,175 4,024 Wesco Financial Corp. 11,544 4,016 Lafarge Corp. 119,511 4,005 * Retek Inc. 83,249 3,991 NSTAR 93,609 3,984 Manpower Inc. 133,224 3,983 * Expedia Inc. 85,132 3,967 Puget Energy, Inc. 151,080 3,958 Bowater Inc. 88,414 3,956 * Dun & Bradstreet Corp. 139,816 3,943 Valero Energy Corp. 107,103 3,939 Maytag Corp. 134,529 3,936 * Lear Corp. 112,322 3,920 Protective Life Corp. 113,931 3,916 * Patterson Dental Co. 118,598 3,914 Valley National Bancorp 137,839 3,908 International Speedway Corp. 92,956 3,904 * Orion Power Holdings, Inc. 163,779 3,900 White Mountains Insurance Group Inc. 10,366 3,900 * Outback Steakhouse 135,017 3,888 AMB Property Corp. REIT 149,551 3,852 * Williams-Sonoma, Inc. 99,176 3,850 Commerce Bancorp, Inc. 54,871 3,846 First Virginia Banks, Inc. 81,361 3,834 * Smithfield Foods, Inc. 95,028 3,830 * Vignette Corp. 431,637 3,829 * Celgene Corp. 131,938 3,806 * Conexant Systems, Inc. 424,816 3,802 Equitable Resources, Inc. 113,892 3,794 * National-Oilwell, Inc. 141,512 3,793 * Northwest Airlines Corp. Class A 149,903 3,785 Clayton Homes Inc. 240,278 3,777 Newport News Shipbuilding Inc. 61,564 3,771 * Krispy Kreme Doughnuts, Inc. 93,972 3,759 * Health Net Inc. 215,490 3,750 Belo Corp. Class A 198,373 3,737 * Venator Group, Inc. 244,279 3,737 Metris Cos., Inc. 110,842 3,736 Bemis Co., Inc. 92,904 3,732 8 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- Allied Capital Corp. 160,826 3,723 * International Rectifier Corp. 109,156 3,722 * Pactiv Corp. 276,813 3,709 PepsiAmericas, Inc. 278,801 3,708 Autodesk, Inc. 99,276 3,703 City National Corp. 83,379 3,693 * Mandalay Resort Group 134,533 3,686 Brunswick Corp. 153,097 3,679 * Energizer Holdings, Inc. 160,080 3,674 MDU Resources Group, Inc. 115,990 3,670 Liberty Property Trust REIT 123,847 3,666 * Rowan Cos., Inc. 165,794 3,664 * Jacobs Engineering Group Inc. 56,073 3,658 * FMC Corp. 53,313 3,655 * Internet Security Systems, Inc. 75,130 3,648 * Gentex Corp. 130,509 3,637 Deluxe Corp. 125,744 3,634 General Growth Properties Inc. REIT 92,255 3,631 * E*TRADE Group, Inc. 561,263 3,620 Tyson Foods, Inc. 391,098 3,602 * Micromuse Inc. 128,562 3,598 Pacific Century Financial Corp. 139,520 3,598 * Nova Corp. (Georgia) 114,319 3,595 National Fuel Gas Co. 68,922 3,583 * Riverstone Networks, Inc. 180,021 3,581 Arthur J. Gallagher & Co. 137,346 3,571 Homestake Mining Co. 460,666 3,570 * Pharmaceutical Product Development, Inc. 116,877 3,566 Wilmington Trust Corp. 56,662 3,550 * Level 3 Communications, Inc. 646,309 3,548 The MONY Group Inc. 88,070 3,534 American Financial Group, Inc. 116,616 3,533 Boise Cascade Corp. 100,455 3,533 * Semtech Corp. 117,656 3,530 * Alkermes, Inc. 100,450 3,526 Reynolds & Reynolds Class A 160,510 3,523 Questar Corp. 142,090 3,518 * Apria Healthcare 121,401 3,502 CONSOL Energy, Inc. 138,366 3,501 Noble Affiliates, Inc. 98,771 3,492 CarrAmerica Realty Corp. REIT 113,711 3,468 American National Insurance Co. 46,288 3,460 Rouse Co. REIT 120,043 3,439 * Pixar, Inc. 84,144 3,433 * Hanover Compressor Co. 103,332 3,419 * Advent Software, Inc. 53,780 3,415 Ross Stores, Inc. 142,583 3,415 Bausch & Lomb, Inc. 93,672 3,395 * McDATA Corp. Class A 192,866 3,385 Precision Castparts Corp. 90,362 3,381 * Tellium, Inc. 185,331 3,373 * Cree, Inc. 128,601 3,362 Conectiv, Inc. 155,346 3,355 Plum Creek Timber Company Inc. 119,321 3,353 Tootsie Roll Industries, Inc. 86,932 3,350 * Valassis Communications, Inc. 93,499 3,347 GATX Corp. 83,357 3,343 Doral Financial Corp. 97,280 3,337 * LifePoint Hospitals, Inc. 75,215 3,331 * Grant Prideco, Inc. 189,882 3,321 * Polycom, Inc. 143,812 3,321 Mercury General Corp. 94,655 3,310 * ResMed Inc. 65,485 3,310 * SanDisk Corp. 118,511 3,305 Health Care Properties Investors REIT 96,034 3,304 * RealNetworks, Inc. 280,792 3,299 * AdvancePCS 51,433 3,294 Crane Co. 106,266 3,294 Fidelity National Financial, Inc. 134,048 3,294 UAL Corp. 93,723 3,294 Erie Indemnity Co. Class A 110,511 3,288 Skywest, Inc. 116,998 3,276 * WorldCom, Inc.-MCI Group 203,118 3,270 Reinsurance Group of America, Inc. 86,173 3,266 Omnicare, Inc. 161,508 3,262 Adolph Coors Co. Class B 64,869 3,255 Heller Financial, Inc. 81,206 3,248 Herman Miller, Inc. 134,156 3,247 * Hearst-Argyle Television Inc. 161,892 3,238 * Earthlink, Inc. 229,361 3,234 * RSA Security Inc. 104,105 3,222 * Reebok International Ltd. 100,715 3,218 * Mohawk Industries, Inc. 91,323 3,215 * Priceline.com Inc. 355,027 3,213 * United Rentals, Inc. 123,661 3,209 New York Community Bancorp, Inc. 85,063 3,203 Allete, Inc 141,941 3,194 * Cirrus Logic 138,550 3,191 * OSI Pharmaceuticals, Inc. 60,486 3,181 * Six Flags, Inc. 151,146 3,180 * Service Corp. International 499,564 3,177 * Timberland Co. 80,416 3,177 * DoubleClick Inc. 227,292 3,173 * Security Capital Group Inc. REIT Class B 147,649 3,160 Lyondell Chemical Co. 205,231 3,156 * Cerner Corp. 74,995 3,150 Fair Issac & Co. 50,910 3,147 Meredith Corp. 87,683 3,140 * Novell, Inc. 551,642 3,139 AK Steel Corp. 250,261 3,138 * Barrett Resources Corp. 53,153 3,136 Leucadia National Corp. 96,519 3,132 9 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- John Nuveen Co. Class A 55,252 3,130 USX-U.S. Steel Group 155,300 3,129 * Tech Data Corp. 93,571 3,122 * CNET Networks, Inc. 240,012 3,120 Harris Corp. 114,650 3,120 * Perot Systems Corp. 172,327 3,119 * Covance, Inc. 137,639 3,118 NICOR, Inc. 79,810 3,111 * Catellus Development Corp. 177,771 3,102 The McClatchy Co. Class A 78,965 3,088 * Borders Group, Inc. 137,576 3,082 * TriQuint Semiconductor, Inc. 136,952 3,081 * Renaissance Learning, Inc. 60,862 3,079 * WFS Financial, Inc. 100,040 3,076 OGE Energy Corp. 135,966 3,074 * Aviron 53,907 3,073 * Varco International, Inc. 164,882 3,068 * Interwoven, Inc. 180,969 3,058 Cullen/Frost Bankers, Inc. 90,186 3,053 * THQ Inc. 51,192 3,053 Houghton Mifflin Co. 50,898 3,050 Valspar Corp. 85,797 3,046 Pulte Homes, Inc. 71,309 3,040 * KEMET Corp. 152,873 3,028 Forest City Enterprise Class A 55,014 3,026 * CuraGen Corp. 83,101 3,025 * Network Associates, Inc. 242,096 3,014 * Medarex, Inc. 127,480 2,996 D. R. Horton, Inc. 131,793 2,992 * Allegiance Telecom, Inc. 199,471 2,990 * Markel Corp. 15,207 2,988 * Sybase, Inc. 181,473 2,985 Arden Realty Group, Inc. REIT 111,436 2,975 * Capstone Turbine Corp. 134,685 2,975 * Catalina Marketing Corp. 96,991 2,959 * O'Reilly Automotive, Inc. 102,919 2,954 * Manugistics Group, Inc. 117,381 2,946 * Amphenol Corp. 73,544 2,945 * Advanced Fibre Communications, Inc. 140,051 2,941 * Indymac Bancorp, Inc. REIT 109,649 2,939 Teleflex Inc. 66,770 2,938 * DaVita, Inc. 144,425 2,936 * Pioneer Natural Resources Co. 171,816 2,929 Harte-Hanks, Inc. 118,155 2,926 * Navistar International Corp. 103,985 2,925 * Edwards Lifesciences Corp. 110,816 2,921 * Humana, Inc. 296,192 2,917 * Stone Energy Corp. 65,765 2,913 * Constellation Brands, Inc. Class A 71,014 2,912 * NetIQ Corp. 92,874 2,906 * Cor Therapeutics, Inc. 95,222 2,904 Pentair, Inc. 85,649 2,895 XTO Energy, Inc 201,509 2,892 * Informix Corp. 493,339 2,881 * Packaging Corp. of America 185,537 2,881 * National Instruments Corp. 88,677 2,878 * Coach, Inc. 75,598 2,877 * GTech Holdings Corp. 80,965 2,875 * Alliance Gaming Corp. 73,141 2,872 * Shaw Group, Inc. 71,599 2,871 * Labranche & Co. Inc. 98,798 2,865 * CEC Entertainment Inc. 57,967 2,861 Mack-Cali Realty Corp. REIT 100,340 2,858 * US Airways Group, Inc. 117,462 2,854 * Henry Schein, Inc. 74,556 2,852 * 3Com Corp. 598,476 2,843 Roslyn Bancorp, Inc. 107,807 2,835 Lubrizol Corp. 91,002 2,826 * Borland Software Corp. 180,979 2,823 * Copart, Inc. 96,386 2,819 * SonicWALL, Inc. 111,763 2,818 Arch Coal, Inc. 108,804 2,815 Hospitality Properties Trust REIT 98,683 2,812 Provident Financial Group, Inc. 85,388 2,811 * Medicis Pharmaceutical Corp. 52,991 2,809 Colonial BancGroup, Inc. 195,285 2,808 * Tekelec 103,520 2,805 Webster Financial Corp. 85,555 2,804 * Electronics for Imaging, Inc. 94,995 2,802 Cummins Inc. 72,335 2,799 Hubbell Inc. Class B 95,930 2,782 * FEI Co. 67,835 2,781 Old National Bancorp 105,224 2,778 * Corvis Corp. 632,571 2,777 * Alliant Techsystems, Inc. 30,842 2,773 * J.D. Edwards & Co. 195,736 2,768 Liberty Financial Cos., Inc. 85,266 2,767 * Remedy Corp. 79,504 2,767 * Incyte Genomics, Inc. 112,815 2,766 * Investment Technology Group, Inc. 55,001 2,766 Sky Financial Group, Inc. 145,668 2,757 * Toll Brothers, Inc. 70,048 2,754 * Freeport-McMoRan Copper & Gold Inc. Class B 248,584 2,747 First American Corp. 144,400 2,735 Fulton Financial Corp. 133,525 2,732 Great Lakes Chemical Corp. 87,948 2,713 * 99 Cents Only Stores 90,391 2,707 Helmerich & Payne, Inc. 87,304 2,706 Capitol Federal Financial 139,880 2,704 * ITT Educational Services, Inc. 59,990 2,700 * Big Lots Inc. 197,123 2,697 * Renal Care Group, Inc. 81,953 2,695 * Quantum Corp.-DLT & Storage Systems 266,717 2,691 Applebee's International, Inc. 84,009 2,688 10 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Cytec Industries, Inc. 70,667 2,685 * Louis Dreyfus Natural Gas Corp. 76,660 2,672 21st Century Insurance Group 143,104 2,662 Highwood Properties, Inc. REIT 99,488 2,651 Kansas City Power & Light Co. 107,979 2,651 * Keane, Inc. 120,235 2,645 * HS Resources Inc. 40,782 2,643 * Peabody Energy Corp. 80,711 2,643 Western Resources, Inc. 122,216 2,628 * Andrew Corp. 142,333 2,626 * Lands' End, Inc. 65,397 2,626 * Advanced Energy Industries, Inc. 63,597 2,625 Camden Property Trust REIT 71,535 2,625 Massey Energy Co. 132,008 2,608 StanCorp Financial Group, Inc. 55,020 2,607 * Cabot Microelectronics Corp. 41,976 2,603 * Orthodontic Centers of America, Inc. 85,639 2,603 * Alleghany Corp. 12,800 2,598 * Myriad Genetics, Inc. 41,003 2,596 Weis Markets, Inc. 73,426 2,589 * R.H. Donnelley Corp. 80,882 2,588 * Pixelworks, Inc. 72,239 2,582 * PRIMEDIA Inc. 380,109 2,581 Regency Centers Corp. 101,450 2,577 * Cognex Corp. 76,106 2,576 * Rent-A-Center, Inc. 48,976 2,576 * Education Management Corp. 64,187 2,571 * Black Box Corp. 38,138 2,569 Post Properties, Inc. REIT 67,855 2,568 Ruby Tuesday, Inc. 150,196 2,568 * Scholastic Corp. 60,905 2,564 * XOMA Ltd. 150,192 2,562 * The Corporate Executive Board Co. 60,981 2,561 Allegheny Technologies Inc. 140,990 2,551 * Emmis Communications, Inc. 82,793 2,546 * Williams Communications Group, Inc. 862,230 2,544 Universal Corp. 64,099 2,542 HON Industries, Inc. 104,920 2,541 Graco, Inc. 76,955 2,540 Stewart & Stevenson Services, Inc. 76,856 2,536 United Dominion Realty Trust REIT 176,577 2,534 * Whole Foods Market, Inc. 93,518 2,534 Raymond James Financial, Inc. 82,560 2,526 WestAmerica Bancorporation 64,256 2,522 * Suiza Foods Corp. 47,424 2,518 Brown & Brown, Inc. 59,938 2,517 * Storage Technology Corp. 182,726 2,514 * Axcelis Technologies, Inc. 169,791 2,513 Lee Enterprises, Inc. 76,046 2,510 * West Corp. 113,904 2,507 John Wiley & Sons Class A 105,870 2,504 HCC Insurance Holdings, Inc. 102,107 2,502 Dean Foods Corp. 62,221 2,501 * Extended Stay America, Inc. 166,596 2,499 * STERIS Corp. 124,586 2,498 * WMS Industries, Inc. 77,644 2,498 * SERENA Software, Inc. 68,694 2,496 BancorpSouth, Inc. 146,723 2,494 Weingarten Realty Investors REIT 56,872 2,494 Peoples Energy Corp. 61,878 2,487 * Payless ShoeSource, Inc. 38,384 2,483 Washington Federal Inc. 101,209 2,482 * Province Healthcare Co. 70,277 2,480 Peoples Bank Bridgeport 106,290 2,478 * Time Warner Telecom Inc. 73,883 2,477 BRE Properties Inc. Class A REIT 81,694 2,475 Snap-On Inc. 102,410 2,474 Downey Financial Corp. 52,116 2,463 * Regeneron Pharmaceuticals, Inc. 71,070 2,463 * Ariba, Inc. 447,291 2,460 Fleming Cos., Inc. 68,917 2,460 Werner Enterprises, Inc. 101,452 2,460 * Exult Inc. 144,246 2,459 Franchise Finance Corp. of America REIT 97,836 2,457 Student Loan Corp. 35,221 2,457 * Fisher Scientific International Inc. 84,542 2,452 Overseas Shipholding Group Inc. 80,196 2,449 Vectren Corp. 117,691 2,436 * Tanox, Inc. 77,092 2,432 * Legato Systems, Inc. 152,354 2,430 * Redback Networks Inc. 272,047 2,427 * Furniture Brands International Inc. 86,547 2,423 Diagnostic Products Corp. 72,882 2,420 Charles E. Smith Residential Realty, Inc. REIT 48,196 2,417 * Charles River Laboratories, Inc. 69,452 2,413 Donaldson Co., Inc. 77,191 2,405 Hollinger International, Inc. 174,875 2,405 CNF Inc. 85,043 2,402 * Newfield Exploration Co. 74,891 2,401 * Plexus Corp. 72,701 2,399 * AmeriTrade Holding Corp. 300,572 2,393 The Trust Co. of New Jersey 70,343 2,392 * Noven Pharmaceuticals, Inc. 61,001 2,391 * Enzo Biochem, Inc. 69,564 2,386 * Forest Oil Corp. 85,166 2,385 Trustmark Corp. 117,265 2,383 * Anchor Gaming 36,853 2,381 * Patterson-UTI Energy, Inc. 133,165 2,380 11 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- Citizens Banking Corp. 81,320 2,379 Philadelphia Suburban Corp. 93,251 2,378 Tupperware Corp. 101,303 2,374 * Atlantic Coast Airlines Holdings Inc. 79,143 2,373 * Affiliated Managers Group, Inc. 38,553 2,371 Hudson United Bancorp 92,998 2,371 * Ulticom, Inc. 70,151 2,371 * Saks Inc. 246,573 2,367 United Bankshares, Inc. 88,302 2,366 * Varian Semiconductor Equipment Associates, Inc. 56,266 2,363 * Getty Images, Inc. 89,956 2,362 * Informatica Corp. 135,851 2,358 Dial Corp. 165,438 2,357 Ball Corp. 49,515 2,355 * Sensormatic Electronics Corp. 138,512 2,355 OM Group, Inc. 41,816 2,352 * Techne Corp. 72,352 2,351 * Cubist Pharmaceuticals, Inc. 61,814 2,349 * Michaels Stores, Inc. 57,183 2,345 * BroadVision, Inc. 468,657 2,343 * dELiA 292,395 2,339 Valhi, Inc. 180,352 2,336 Dillard's Inc. 152,830 2,334 * The Cheesecake Factory 82,269 2,328 New Plan Excel Realty TrustREIT 151,967 2,325 York International Corp. 66,301 2,322 KB Home 76,930 2,321 Cousins Properties, Inc. REIT 86,134 2,313 * Alpha Industries, Inc. 78,192 2,311 Federal Signal Corp. 98,404 2,310 * Midway Games Inc. 124,751 2,308 * Knight Trading Group, Inc. 215,355 2,302 * National Processing, Inc. 82,192 2,301 IDACORP, Inc. 65,893 2,298 Western Gas Resources, Inc. 70,343 2,293 Solutia, Inc. 179,552 2,289 * Wind River Systems Inc. 130,796 2,284 BorgWarner, Inc. 45,980 2,282 Westcorp, Inc. 107,620 2,282 Black Hills Corp. 56,692 2,281 * AnnTaylor Stores Corp. 63,681 2,280 RGS Energy Group Inc. 60,810 2,280 * Alamosa Holdings, Inc. 139,813 2,279 * Power-One, Inc. 136,785 2,276 * BOK Financial Corp. 84,442 2,271 ONEOK, Inc. 115,060 2,267 * Dycom Industries, Inc. 98,738 2,264 * Scios, Inc. 90,442 2,262 * Credence Systems Corp. 93,140 2,258 Ventas, Inc. REIT 206,046 2,256 Monsanto Co. 60,875 2,252 * Professional Detailing, Inc. 24,433 2,248 * Career Education Corp. 37,494 2,246 Essex Property Trust, Inc. REIT 45,325 2,246 * Oakley, Inc. 121,354 2,245 AGL Resources Inc. 94,500 2,244 Ethan Allen Interiors, Inc. 68,957 2,241 HRPT Properties Trust REIT 230,316 2,241 * Immunomedics Inc. 104,621 2,239 * NPS Pharmaceuticals Inc. 55,671 2,238 Thomas & Betts Corp. 101,240 2,234 Pogo Producing Co. 93,059 2,233 Park National Corp. 22,077 2,230 * Tularik, Inc. 86,276 2,229 First Industrial Realty Trust REIT 69,330 2,226 * CIMA Labs Inc. 28,331 2,224 * Pride International Inc. 117,078 2,224 * Affymetrix, Inc. 100,711 2,221 Roper Industries Inc. 53,171 2,220 Polaris Industries, Inc. 48,451 2,219 WGL Holdings Inc. 81,862 2,219 Ametek Aerospace Products Inc. 72,609 2,218 First Midwest Bancorp 71,890 2,218 DQE Inc. 98,456 2,215 * Manhattan Associates, Inc. 55,645 2,212 * Integrated Circuit Systems, Inc. 115,159 2,211 * Reliant Resources, Inc. 89,513 2,211 * Albany Molecular Research, Inc. 58,148 2,210 Cambrex Corp. 43,670 2,209 * Mercury Computer Systems, Inc. 40,947 2,207 * Insight Communications Co., Inc. 88,223 2,206 * GenesisIntermedia Inc. 117,563 2,204 Sierra Pacific Resources 137,826 2,204 Rayonier Inc. 47,415 2,202 * Maxtor Corp. 419,089 2,200 * InfoSpace, Inc. 571,501 2,195 * Quanta Services, Inc. 99,483 2,193 Hawaiian Electric Industries Inc. 57,334 2,190 * Thoratec Corp. 140,772 2,189 Public Service Co. of New Mexico 68,098 2,186 Commerce Group, Inc. 59,295 2,181 * Commonwealth Telephone Enterprises, Inc. 51,593 2,180 Commercial Federal Corp. 94,124 2,174 Lancaster Colony Corp. 65,926 2,174 Florida Rock Industries, Inc. 46,284 2,171 Granite Construction Co. 85,392 2,171 * The Titan Corp. 94,783 2,171 * Inktomi Corp. 225,605 2,164 FelCor Lodging Trust, Inc. REIT 92,389 2,162 Montana Power Co. 186,292 2,161 Crompton Corp. 197,947 2,158 Independence Community Bank Corp. 109,293 2,157 12 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * NVR, Inc. 14,561 2,155 * LTX Corp. 84,117 2,150 Staten Island Bancorp, Inc. 77,216 2,150 * Rambus Inc. 174,545 2,149 * Swift Transportation Co., Inc. 111,154 2,141 * Tetra Tech, Inc. 78,616 2,138 Hercules, Inc. 188,951 2,135 * Interneuron Pharmaceutical, Inc. 250,931 2,130 Louisiana-Pacific Corp. 181,614 2,130 Spiegel, Inc. Class A 219,965 2,127 Blyth, Inc. 82,679 2,126 Harman International Industries, Inc. 55,750 2,124 * WebEx Communications, Inc. 79,506 2,120 * Coventry Health Care Inc. 104,809 2,117 W.R. Berkley Corp. 51,037 2,114 * Digene Corp. 51,806 2,114 * Zebra Technologies Corp. Class A 42,968 2,111 * Intergraph Corp. 136,870 2,108 * Centennial Communications Corp. Class A 159,702 2,106 * Siliconix, Inc. 66,387 2,100 * Too Inc. 76,595 2,099 * Inverness Medical Technology, Inc. 56,664 2,097 * Argosy Gaming Co. 75,509 2,096 * Inhale Therapeutic Systems 90,934 2,091 First Citizens BancShares Class A 19,252 2,089 WPS Resources Corp. 59,158 2,085 * CommScope, Inc. 88,558 2,081 * Dal-Tile International Inc. 112,143 2,080 * Electro Scientific Industries, Inc. 54,502 2,077 Shurgard Storage Centers, Inc. Class A REIT 66,406 2,075 * 7-Eleven, Inc. 184,251 2,073 * Scotts Co. 49,983 2,072 * Polo Ralph Lauren Corp. 80,252 2,071 Global Payments Inc. 68,593 2,065 Brady Corp. Class A 57,066 2,062 * Select Medical Corp. 103,026 2,061 * Imation Corp. 81,745 2,060 * Southern Union Co. 100,870 2,058 Invacare Corp. 53,221 2,056 * Acxiom Corp. 156,969 2,055 * Zale Corp. 60,960 2,054 * VISX Inc. 106,072 2,052 FactSet Research Systems Inc. 57,442 2,051 * AmeriPath, Inc. 69,855 2,047 IMC Global Inc. 200,701 2,047 * Sapient Corp. 209,905 2,047 Crawford & Co. Class B 113,643 2,046 Worthington Industries, Inc. 150,437 2,046 Callaway Golf Co. 129,435 2,045 Chittenden Corp. 60,783 2,045 National Data Corp. 63,118 2,045 Vintage Petroleum, Inc. 109,318 2,044 * Chesapeake Energy Corp. 300,395 2,043 Ryder System, Inc. 104,030 2,039 * Global Industries Ltd. 163,097 2,034 Energen Corp. 73,596 2,031 * Flowserve Corp. 66,023 2,030 * Men's Wearhouse, Inc. 73,519 2,029 * Anixter International Inc. 66,037 2,027 * Right Management Consultants 77,440 2,021 * CV Therapeutics, Inc. 35,398 2,018 F & M National Corp. 50,241 2,010 * NewPower Holdings, Inc. 223,340 2,010 Pittston Brink's Group 90,119 2,009 Aptargroup Inc. 61,904 2,008 * Exodus Communications, Inc. 974,580 2,008 Community First Bankshares 87,250 2,007 * Eclipsys Corp. 83,582 2,006 * Digital Lightwave, Inc. 54,251 2,005 * Liberate Technologies, Inc. 183,133 2,005 * Aurora Biosciences Corp. 64,512 2,000 * Commerce One, Inc. 342,397 2,000 IKON Office Solutions, Inc. 204,059 2,000 * Sonic Automotive, Inc. 104,587 1,998 * Kulicke & Soffa Industries, Inc. 116,337 1,996 * Inrange Technologies Corp. 129,982 1,995 LNR Property Corp. 56,991 1,995 Ohio Casualty Corp. 153,844 1,992 Piedmont Natural Gas, Inc. 56,083 1,992 * Mentor Graphics Corp. 113,658 1,989 MeriStar Hospitality Corp. REIT 83,714 1,988 * SeeBeyond Technology Corp. 124,998 1,987 * Plantronics, Inc. 85,745 1,985 * Insituform Technologies Class A 54,249 1,980 * NRG Energy, Inc. 89,612 1,979 * Odyssey Re Holdings Corp. 109,480 1,978 CBL & Associates Properties, Inc. REIT 64,425 1,977 * Cox Radio, Inc. 70,928 1,975 Chateau Communities, Inc. REIT 62,824 1,973 * Stillwater Mining Co. 67,369 1,971 * Cell Therapeutics, Inc. 71,251 1,969 Kennametal, Inc. 53,349 1,969 Arrow International, Inc. 51,089 1,962 Washington REIT 82,956 1,961 ArvinMeritor, Inc. 117,073 1,960 * Edison Schools Inc. 85,813 1,960 * Price Communications Corp. 96,943 1,957 * Ingram Micro, Inc. Class A 135,024 1,956 * Sylvan Learning Systems, Inc. 80,461 1,955 Earthgrains Co. 74,752 1,944 Horace Mann Educators Corp. 90,191 1,944 13 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- Banta Corp. 66,196 1,940 Pier 1 Imports Inc. 168,721 1,940 * Checkpoint Systems, Inc. 108,876 1,938 Developers Diversified Realty Corp. REIT 105,379 1,937 La-Z-Boy Inc. 104,689 1,937 * American Italian Pasta Co. 41,651 1,933 * Metromedia Fiber Network, Inc. 946,277 1,930 Alpharma, Inc. Class A 70,786 1,929 * MedQuist, Inc. 64,908 1,926 * Key Energy Services, Inc. 177,244 1,921 * Mueller Industries Inc. 58,128 1,913 * Silicon Valley Bancshares 86,951 1,913 Ruddick Corp. 112,685 1,910 Lincoln Electric Holdings 74,778 1,907 * Linens 'n Things, Inc. 69,788 1,907 UGI Corp. Holding Co. 70,584 1,906 Jefferies Group, Inc. 58,807 1,905 Corn Products International, Inc. 59,510 1,904 * MKS Instruments, Inc. 66,064 1,903 Florida East Coast Industries, Inc. Class A 53,632 1,899 * Spectrasite Holdings, Inc. 261,844 1,896 * Marine Drilling Co., Inc. 99,109 1,894 * Kopin Corp. 155,856 1,892 Harsco Corp. 69,691 1,891 * Bally Total Fitness Holding Corp. 63,736 1,887 * Spinnaker Exploration Co. 47,286 1,885 Whitney Holdings 40,114 1,881 * Varian, Inc. 58,205 1,880 * United Stationers, Inc. 59,427 1,876 * Chico's Fas, Inc. 63,038 1,875 * DMC Stratex Networks, Inc. 187,227 1,872 * Haemonetics Corp. 61,384 1,872 American Capital Strategies, Ltd. 66,632 1,870 * Mediacom Communications Corp. 105,877 1,870 * NBTY, Inc. 150,148 1,868 * ChipPAC, Inc. 178,851 1,867 Healthcare Realty Trust Inc. REIT 70,997 1,867 Albemarle Corp. 80,530 1,866 * EMCORE Corp. 60,681 1,866 AmerUs Group Co. 52,569 1,865 * Hot Topic, Inc. 59,904 1,863 * Duramed Pharmaceuticals, Inc. 104,076 1,862 * The InterCept Group, Inc. 48,939 1,860 Delphi Financial Group, Inc. 48,194 1,855 * PSS World Medical, Inc. 288,493 1,855 * Speedway Motorsports, Inc. 73,540 1,854 * Sonic Corp. 58,313 1,850 Interactive Data Corp. 205,201 1,847 * Pegasus Communications Corp. Class A 82,062 1,846 * DuPont Photomasks, Inc. 38,248 1,845 * GlobeSpan, Inc. 126,390 1,845 Carlisle Co., Inc. 52,830 1,842 Cooper Cos., Inc. 35,813 1,841 * Saba Software, Inc. 112,051 1,839 Dreyer's Grand Ice Cream, Inc. 65,895 1,838 Alexander & Baldwin, Inc. 71,333 1,837 * AirGate PCS, Inc. 35,310 1,836 Media General, Inc. Class A 39,921 1,836 * Macromedia, Inc. 101,919 1,835 * Pathmark Stores, Inc. 74,440 1,831 * Syncor International Corp. 59,043 1,830 Greater Bay Bancorp 73,203 1,829 * Ixia 96,172 1,827 * NCO Group, Inc. 59,056 1,827 Nationwide Financial Services, Inc. 41,785 1,824 * webMethods, Inc. 86,141 1,824 Chelsea Property Group 38,847 1,822 Dole Food Co. 95,601 1,821 UMB Financial Corp. 42,344 1,821 General Cable Corp. 98,139 1,820 Burlington Coat Factory Warehouse Corp. 90,954 1,819 * Newpark Resources, Inc. 163,903 1,819 Corus Bankshares Inc. 30,143 1,816 * Journal Register Co. 112,654 1,814 * Martek Biosciences Corp. 63,657 1,814 * SBA Communications Corp. 73,312 1,814 * AirTran Holdings, Inc. 172,661 1,813 * GoTo.com, Inc. 93,094 1,811 * CMGI Inc. 602,854 1,809 * Corinthian Colleges, Inc. 38,431 1,809 Reckson Associates Realty Corp. REIT 78,662 1,809 * Leap Wireless International, Inc. 59,662 1,808 * Performance Food Group Co. 59,819 1,808 C & D Technology Inc. 58,242 1,806 * The Yankee Candle Company, Inc. 94,983 1,804 * ANADIGICS, Inc. 78,290 1,801 * SRI/Surgical Express, Inc. 59,219 1,801 * SEACOR SMIT Inc. 38,516 1,800 Standard Pacific Corp. 77,562 1,796 * Coinstar, Inc. 80,587 1,793 Cleco Corp. 78,741 1,791 Cooper Tire & Rubber Co. 126,048 1,790 IDEX Corp. 52,551 1,787 The Timken Co. 105,509 1,787 * MatrixOne, Inc. 77,037 1,786 * bebe stores, inc. 61,172 1,784 * Bio-Technology General Corp. 135,995 1,782 * The Neiman Marcus Group, Inc. Class A 57,481 1,782 * Administaff, Inc. 68,465 1,780 * Barra, Inc. 45,358 1,776 14 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Bio-Rad Laboratories, Inc. Class A 35,658 1,776 * Illuminet Holdings, Inc. 56,387 1,773 Alfa Corp. 71,511 1,766 * Akamai Technologies, Inc. 192,313 1,764 S & T Bancorp, Inc. 65,346 1,764 Summit Properties, Inc. REIT 65,738 1,764 * Plug Power, Inc. 81,728 1,760 * Insight Enterprises, Inc. 71,801 1,759 * Handspring, Inc. 228,071 1,756 * Champion Enterprises, Inc. 154,215 1,755 * Triad Guaranty, Inc. 43,878 1,755 Church & Dwight, Inc. 68,707 1,749 * Jack in the Box Inc. 66,964 1,748 * Silgan Holdings, Inc. 99,514 1,747 Springs Industries Inc. Class A 39,604 1,747 * Coherent, Inc. 48,239 1,745 Sensient Technologies Corp. 84,971 1,744 * Cable Design Technologies 107,775 1,742 * FreeMarkets, Inc. 86,987 1,740 * Sawtek Inc. 73,919 1,739 * Cal Dive International, Inc. 70,646 1,738 MAF Bancorp, Inc. 56,519 1,735 * Veeco Instruments, Inc. 43,595 1,733 Kimball International, Inc. Class B 95,709 1,732 * Pacific Sunwear of California 77,231 1,732 * Owens-Illinois, Inc. 254,825 1,728 * Adaptec, Inc. 173,647 1,726 Cabot Oil & Gas Corp. Class A 70,719 1,726 New Jersey Resources Corp. 38,169 1,725 * Travelocity.com Inc. 56,196 1,725 * Station Casinos, Inc. 107,575 1,721 * Centra Software, Inc. 101,233 1,720 Interstate Bakeries Corp. 107,496 1,720 * Avocent Corp. 75,579 1,719 Potlatch Corp. 49,921 1,718 * Veritas DGC Inc. 61,927 1,718 Helix Technology Corp. 56,203 1,713 Presidential Life Corp. 76,489 1,713 * Rightchoice Managed Care, Inc. 38,582 1,713 * Footstar Inc. 49,653 1,708 Mentor Corp. 59,784 1,704 * American Management Systems, Inc. 72,126 1,702 * Dionex Corp. 51,060 1,698 * Evergreen Resources, Inc. 44,677 1,698 * Southwest Bancorporation of Texas, Inc. 56,180 1,697 * Bone Care International, Inc. 63,926 1,694 * Genencor International Inc. 106,446 1,691 * First Federal Financial Corp. 56,653 1,688 Prentiss Properties Trust REIT 64,170 1,688 * Priority Healthcare Corp. Class B 59,694 1,688 Briggs & Stratton Corp. 40,035 1,685 * ViroPharma Inc. 49,562 1,685 Brandywine Realty Trust REIT 75,026 1,684 * InterMune Inc. 47,236 1,683 * Nautica Enterprises, Inc. 82,098 1,677 John H. Harland Co. 71,891 1,675 CBRL Group, Inc. 98,678 1,673 * Echelon Corp. 54,359 1,672 Manufactured Home Communities, Inc. REIT 59,513 1,672 Delta & Pine Land Co. 84,892 1,668 * PAREXEL International Corp. 85,562 1,668 * Swift Energy Co. 55,361 1,668 * Hotel Reservations Network, Inc. 35,823 1,667 * The Topps Co., Inc. 142,572 1,667 * ADVO, Inc. 48,766 1,665 * Aspen Technologies, Inc. 68,785 1,665 * Trimeris, Inc. 33,223 1,663 Taubman Co. REIT 118,734 1,662 Texas Regional Bancshares, Inc. 41,242 1,662 Wabtec Corp. 110,764 1,661 * DDi Corp. 82,923 1,658 * Gaylord Entertainment Co. Class A 57,563 1,658 * Houston Exploration Co. 52,998 1,656 Spartech Corp. 68,516 1,655 Millennium Chemicals, Inc. 109,890 1,654 Newport Corp. 62,422 1,654 * Acclaim Entertainment Inc. 338,619 1,652 First Bancorp/Puerto Rico 61,192 1,652 * Dobson Communications Corp. 96,844 1,651 * Fossil Inc. 79,547 1,651 Claire's Stores, Inc. 85,148 1,648 * Input/Output, Inc. 129,758 1,648 Belden, Inc. 61,559 1,647 * J.B. Hunt Transport Services, Inc. 86,669 1,647 * Sotheby's Holdings Class A 101,906 1,644 * Interdigital Communications Corp. 123,909 1,642 * Verity, Inc. 82,287 1,642 Avista Corp. 82,021 1,639 NACCO Industries, Inc. Class A 20,992 1,637 * Covanta Energy Corp. 88,639 1,636 National Service Industries, Inc. 72,423 1,635 * Kansas City Southern Industries, Inc. 103,328 1,633 * Perrigo Co. 97,860 1,633 RPM Inc. (Ohio) 177,400 1,632 * Accredo Health, Inc. 43,820 1,630 * Amylin Pharmaceuticals, Inc. 144,821 1,629 Atmos Energy Corp. 66,513 1,627 * Netegrity, Inc. 54,175 1,625 SL Green Realty Corp. REIT 53,611 1,625 * Ticketmaster-Class B 109,807 1,625 15 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- Hooper Holmes, Inc. 157,973 1,619 * Radio One, Inc. Class D 73,270 1,616 Tecumseh Products Co. Class A 32,614 1,614 Superior Industries International, Inc. 42,116 1,613 Gables Residential Trust REIT 53,797 1,611 * Specialty Laboratories, Inc. 42,559 1,611 * Photronics Labs Inc. 62,752 1,610 Liberty Corp. 40,234 1,609 F.N.B. Corp. 60,102 1,605 * Handleman Co. 95,769 1,604 Libbey, Inc. 40,390 1,604 * IntraNet Solutions, Inc. 42,114 1,602 * TranSwitch Corp. 145,621 1,602 CH Energy Group, Inc. 36,420 1,601 * Tom Brown, Inc. 66,611 1,599 Strayer Education, Inc. 32,790 1,599 * Value Vision International, Inc. Class A 73,471 1,598 First Source Corp. 57,036 1,597 * IDEXX Laboratories Corp. 51,080 1,596 Mills Corp. REIT 64,879 1,596 * Powerwave Technologies, Inc. 109,948 1,594 * SurModics, Inc. 27,087 1,593 * Silicon Storage Technology, Inc. 156,880 1,589 Hilb, Rogal and Hamilton Co. 36,286 1,588 * Cerus Corp. 21,830 1,584 * Respironics, Inc. 53,205 1,583 * Impath, Inc. 35,712 1,582 * Durect Corp. 121,409 1,578 Carpenter Technology Corp. 53,792 1,576 CenterPoint Properties Corp. REIT 31,376 1,575 * Emisphere Technologies, Inc. 54,166 1,575 * IGEN International, Inc. 60,586 1,575 * School Specialty, Inc. 60,933 1,575 Fremont General Corp. 242,145 1,574 Harleysville National Corp. 34,007 1,573 Matthews International Corp. 35,747 1,572 * Pure Resources, Inc. 87,167 1,569 Harbor Florida Bancshares, Inc. 81,798 1,566 * MSC Industrial Direct Co., Inc. Class A 89,952 1,565 State Auto Financial Corp. 95,154 1,560 * K-V Pharmaceutical Co. Class A 56,133 1,558 * NTELOS Inc. 51,769 1,556 * Elantec Semiconductor, Inc. 46,020 1,555 * Bruker Daltonics, Inc. 103,126 1,554 * Brooks Automation, Inc. 33,678 1,553 * Mid Atlantic Medical Services, Inc. 86,514 1,551 Casey's General Stores 119,222 1,550 Pennzoil-Quaker State Co. 138,357 1,550 The South Financial Group, Inc. 82,101 1,550 * Transkaryotic Therapies, Inc. 52,586 1,549 Trustco Bank 116,054 1,549 * Advanced Digital Information Corp. 89,489 1,548 * Flowers Foods, Inc. 49,377 1,548 Carter-Wallace, Inc. 79,815 1,544 Sterling Bancshares, Inc. 80,500 1,544 * Adolor Corp. 71,416 1,543 Nordson Corp. 58,142 1,541 Baldor Electric Co. 72,008 1,539 * XCare.net, Inc. 113,758 1,536 * Sunrise Assisted Living, Inc. 58,493 1,535 * Del Webb Corp. 39,523 1,529 Northwest Natural Gas Co. 61,360 1,528 * eFunds Corp. 82,112 1,527 * PETsMART, Inc. 216,037 1,523 * CryoLife Inc. 37,194 1,522 Advanta Corp. Class A 94,869 1,518 * Action Performance Cos., Inc. 60,554 1,514 * Playtex Products, Inc. 141,482 1,514 * DSP Group Inc. 70,531 1,513 Technitrol, Inc. 57,945 1,507 * Meridian Gold Co. 189,422 1,506 First Charter Corp. 80,181 1,503 * Exelixis, Inc. 79,187 1,502 * Landstar System 22,049 1,500 * SPS Technologies, Inc. 31,641 1,500 Regis Corp. 71,417 1,499 * Intermedia Communications Inc. 100,360 1,495 * Ultratech Stepper, Inc. 58,246 1,494 * Centillium Communications, Inc. 60,248 1,491 * Progress Software Corp. 91,931 1,489 * Antigenics, Inc. 75,308 1,487 * Structural Dynamics Research Corp. 60,686 1,487 Riggs National Corp. 87,323 1,484 * Numerical Technologies, Inc. 70,596 1,483 * Therma-Wave Inc. 77,765 1,483 * Mobile Mini, Inc. 44,943 1,482 * Ralcorp Holdings, Inc. 78,889 1,478 Simmons First National 44,245 1,478 * Conmed Corp. 56,653 1,476 * Lone Star Technologies, Inc. 40,751 1,475 * Stratos Lightwave, Inc. 113,255 1,472 Walter Industries, Inc. 123,709 1,472 * Endo Pharmaceuticals Holdings, Inc. 165,941 1,467 Provident Bankshares Corp. 58,778 1,466 * Triarc Cos., Inc. Class A 55,902 1,465 * Activision, Inc. 37,305 1,464 * Titan Pharmaceuticals, Inc. 48,646 1,460 * Plains Resources 61,368 1,458 MDC Holdings, Inc. 41,154 1,457 * ATMI, Inc. 48,514 1,455 16 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Gene Logic Inc. 66,733 1,455 * UCAR International, Inc. 121,758 1,455 * Intermagnetics General Corp. 44,860 1,453 * Ionics, Inc. 46,113 1,453 * ISIS Pharmaceuticals, Inc. 117,072 1,451 * PRAECIS Pharmaceuticals Inc. 88,237 1,451 * MAXIMUS, Inc. 36,162 1,450 * US Oncology, Inc. 162,837 1,448 * Magellan Health Services, Inc. 112,978 1,446 Rollins, Inc. 72,537 1,444 * Pharmacopeia, Inc. 60,032 1,441 * Capital Corp. of the West 99,033 1,440 Texas Industries, Inc. 41,885 1,440 * Transaction Systems Architects, Inc. 92,914 1,440 * EGL, Inc. 82,438 1,439 * Palm Harbor Homes, Inc. 66,142 1,439 * SuperGen, Inc. 97,607 1,438 * Young Broadcasting Inc. 42,830 1,438 * Microtune, Inc. 65,338 1,437 The Toro Co. 31,955 1,436 * Cell Genesys, Inc. 69,973 1,434 Blockbuster Inc. Class A 78,343 1,430 * Novavax, Inc. 129,943 1,429 * Bright Horizons Family Solutions, Inc. 45,336 1,424 Irwin Financial Corp. 56,597 1,423 * Adtran, Inc. 69,360 1,422 Longs Drug Stores, Inc. 65,911 1,420 * Papa John's International, Inc. 56,003 1,420 * Cymer, Inc. 56,057 1,418 * Shuffle Master, Inc. 67,545 1,418 * Symmetricom Inc. 96,831 1,418 * Caminus Corp. 52,549 1,417 * Philadelphia Consolidated Holding Corp. 40,750 1,417 United National Bancorp 62,375 1,415 * Ventiv Health, Inc. 68,537 1,415 * Kronos, Inc. 34,477 1,412 * Dollar Thrifty Automotive Group, Inc. 58,732 1,410 * Energy Conversion Devices, Inc. 50,318 1,409 Centex Construction Products, Inc. 43,318 1,408 * Stanford Microdevices, Inc. 83,284 1,408 Wellman, Inc. 78,582 1,407 * Agile Software Corp. 82,493 1,402 Kaydon Corp. 54,617 1,401 * Westport Resources Corp. 66,662 1,400 * CUNO Inc. 46,623 1,399 Penton Media, Inc. Class A 79,780 1,396 * Quiksilver, Inc. 55,855 1,396 * Rayovac Corp. 65,562 1,396 Clarcor Inc. 51,901 1,394 * ESS Technology, Inc. 131,529 1,394 * Loral Space & Communications 497,282 1,392 * Theragenics Corp. 124,331 1,389 * ImmunoGen, Inc. 69,358 1,387 Wausau-Mosinee Paper Corp. 107,529 1,386 * HNC Software, Inc. 55,412 1,385 MTS Systems Corp. 100,308 1,383 * Aurora Foods Inc. 252,004 1,381 * WetSeal, Inc. Class A 39,903 1,381 Amcore Financial 57,410 1,380 * ArthroCare Corp. 52,682 1,378 * Silicon Laboratories Inc. 62,309 1,377 * Esterline Technologies Corp. 63,270 1,376 * Littelfuse, Inc. 51,318 1,375 Glenborough Realty Trust, Inc. REIT 71,064 1,372 * Unit Corp. 86,467 1,371 St. Mary Land & Exploration Co. 58,602 1,369 * Grey Wolf, Inc. 341,371 1,365 * ProBusiness Services, Inc. 51,387 1,364 * Tuesday Morning Corp. 102,845 1,363 * Heartland Express, Inc. 59,683 1,361 * Unilab Corp. 53,998 1,361 Greif Brothers Corp. Class A 44,781 1,359 * Atrix Laboratories, Inc. 57,161 1,355 AGCO Corp. 147,895 1,353 First Financial Holdings, Inc. 58,769 1,352 * Stericycle, Inc. 28,745 1,350 CVB Financial Corp. 70,111 1,346 Andover Bancorp, Inc. 26,732 1,343 Bel Fuse, Inc. Class B 40,350 1,342 Franklin Electric, Inc. 17,668 1,341 Realty Income Corp. REIT 45,327 1,340 Storage USA, Inc. REIT 37,214 1,340 Mine Safety Appliances Co. 39,088 1,339 * First Horizon Pharmaceutical Corp. 41,682 1,338 JLG Industries, Inc. 108,112 1,335 Thor Industries, Inc. 40,464 1,334 CTS Corp. 65,048 1,333 * Exar Corp. 67,440 1,333 G & K Services, Inc. 49,568 1,333 Kansas City Life Insurance Co. 33,333 1,333 Westbanco Inc. 53,063 1,331 * Entravision Communications Corp. 07,997 1,328 * Oceaneering International, Inc. 63,991 1,328 * Teledyne Technologies, Inc. 87,349 1,328 * Esperion Therapeutics, Inc. 123,417 1,327 * Safeguard Scientifics, Inc. 257,998 1,326 UIL Holdings Corp. 27,253 1,324 * FileNet Corp. 89,270 1,321 Ferro Corp. 60,522 1,320 Watts Industries Class A 77,562 1,315 Russell Corp. 77,324 1,314 17 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- * At Home Corp. Series A 612,903 1,312 Cato Corp. Class A 67,235 1,312 * Impco Technologies Inc. 37,049 1,310 MacDermid, Inc. 72,787 1,310 * Pediatrix Medical Group, Inc. 39,434 1,309 * Cygnus Inc. 127,623 1,308 * Hutchinson Technology, Inc. 68,684 1,308 First Sentinel Bancorp Inc. 96,241 1,306 P.H. Glatfelter Co. 91,437 1,304 Dime Community Bancshares 38,418 1,303 * KCS Energy, Inc. 197,444 1,303 Pulitzer, Inc. 24,650 1,302 Home Properties of New York, Inc. REIT 43,220 1,301 * Xicor, Inc. 117,511 1,301 Chemical Financial Corp. 44,009 1,298 * McDermott International, Inc. 111,427 1,298 Cathay Bancorp, Inc. 23,693 1,296 * Learning Tree International, Inc. 56,359 1,294 Landauer, Inc. 43,025 1,291 * Novoste Corp. 50,635 1,291 Annaly Mortgage Management Inc. REIT 93,855 1,287 * Tejon Ranch Co. 47,220 1,287 * The Children's Place Retail Stores, Inc. 47,979 1,286 Regal-Beloit Corp. 61,408 1,285 First Financial Bancorp 75,058 1,282 * Maverick Tube Corp. 75,627 1,282 * NeoPharm, Inc. 50,239 1,281 OceanFirst Financial Corp. 49,367 1,281 * Wisconsin Central Transportation Corp. 76,318 1,277 * FSI International, Inc. 91,141 1,276 * PLATO Learning, Inc. 41,243 1,276 * Trimble Navigation Ltd. 65,443 1,275 Minerals Technologies, Inc. 29,678 1,274 NBT Bancorp, Inc. 65,946 1,273 Kelly Services, Inc. Class A 52,451 1,272 * Vail Resorts Inc. 66,928 1,272 Koger Equity, Inc. REIT 77,027 1,271 * Transmeta Corp. 227,720 1,271 * Artesyn Technologies, Inc. 98,344 1,269 Value Line, Inc. 30,060 1,269 * Ventana Medical Systems, Inc. 40,288 1,269 * Forrester Research, Inc. 56,057 1,266 Holly Corp. 34,445 1,266 Olin Corp. 74,530 1,266 * Mesa Air Group Inc. 102,415 1,265 JP Realty Inc. REIT 51,601 1,264 * S1 Corp. 90,265 1,264 * Group 1 Automotive, Inc. 42,622 1,262 * Hain Celestial Group, Inc. 57,283 1,260 * Kinder Morgan Management, LLC 18,381 1,259 * Gartner, Inc. Class A 114,400 1,258 * BE Avionics Inc. 65,937 1,256 * FuelCell Energy, Inc. 54,414 1,256 Madison Gas & Electric Co. 45,113 1,254 Manitowac Co., Inc. 42,489 1,253 * The Boyds Collection, Ltd. 100,684 1,250 * Dura Automotive Systems, Inc. 78,127 1,250 Arnold Industries, Inc. 64,519 1,249 * Portal Software, Inc. 302,432 1,249 * Western Digital Corp. 312,282 1,249 Susquehanna Bancshares, Inc. 61,151 1,244 * XTRA Corp. 24,994 1,240 Georgia Gulf Corp. 79,887 1,238 * Intuitive Surgical, Inc. 91,612 1,238 * UnitedGlobalCom Inc. Class A 143,111 1,238 * United Television, Inc. 9,818 1,237 * Standard Microsystem 69,074 1,236 * Radiant Systems, Inc. 76,547 1,234 * Virata Corp. 104,048 1,233 * Playboy Enterprises, Inc. Class B 78,714 1,232 Alico, Inc. 38,384 1,231 * Rogers Corp. 46,428 1,230 AAR Corp. 71,806 1,228 * Boca Resorts, Inc. Class A 83,385 1,228 * Diversa Corp. 60,367 1,228 * MICROS Systems, Inc. 55,787 1,227 * Oak Technology, Inc. 115,807 1,226 * Secure Computing Corp. 78,038 1,226 Oregon Steel Mills, Inc. 144,020 1,224 * Symyx Technologies 50,575 1,223 * C-COR Electronics, Inc. 101,855 1,222 * Aphton Corp. 55,649 1,219 Roadway Corp. 51,180 1,217 R.L.I. Corp. 27,041 1,215 * Vicor Corp. 74,517 1,215 J. M. Smucker Co. 46,674 1,214 * Parker Drilling Co. 186,637 1,213 F & M Bancorp 40,608 1,210 * Remec, Inc. 97,550 1,210 * Sola International Inc. 85,758 1,210 * InFocus Corp. 59,249 1,208 * Crestline Capital Corp. 38,818 1,206 * Information Resources, Inc. 116,555 1,205 * Ocwen Financial Corp. 117,563 1,205 * Avid Technology, Inc. 76,556 1,202 * URS Corp. 44,479 1,201 * Atwood Oceanics, Inc. 34,180 1,200 * Trinity Industries, Inc. 57,452 1,200 * Sybron Dental Specialties, Inc. 58,443 1,197 * Yellow Corp. 63,006 1,196 * Aeroflex, Inc. 113,857 1,195 18 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- RPC Inc. 84,131 1,195 * Rare Hospitality International Inc. 52,830 1,194 Independent Bank Corp. 60,391 1,192 National Golf Properties, Inc. REIT 43,674 1,190 * Itron, Inc. 62,533 1,186 * ProQuest Company 38,222 1,185 The Standard Register Co. 64,047 1,185 * Meritage Corp. 25,743 1,184 * PC Connection, Inc. 73,985 1,184 * Neurogen Corp. 51,533 1,183 Pan Pacific Retail Properties, Inc. REIT 45,382 1,180 * Arbitron Inc. 48,928 1,179 * BSQUARE Corp. 111,868 1,176 * Cyberonics, Inc. 69,562 1,176 Glimcher Realty Trust REIT 65,722 1,176 * UICI 91,999 1,173 LandAmerica Financial Group, Inc. 36,764 1,171 * Orasure Technologies, Inc. 93,576 1,170 N L Industries, Inc. 84,028 1,164 * Closure Medical Corp. 50,614 1,163 * Southwestern Energy Co. 94,928 1,163 * MRV Communications Inc. 124,190 1,161 PFF Bancorp, Inc. 46,440 1,161 * E.Piphany Inc. 113,966 1,158 Mid-State Bancshares 63,513 1,158 * Buckeye Technology, Inc. 80,197 1,155 Fleetwood Enterprises, Inc. 81,732 1,151 * Phoenix Technologies LTD. 78,832 1,151 * NYFIX, Inc. 35,883 1,146 Pacific Northwest Bancorp 45,841 1,146 * TD Waterhouse Group, Inc. 104,465 1,142 * Clark/Bardes Inc. 50,440 1,140 Vital Signs, Inc. 34,467 1,139 * Genuity Inc. 363,951 1,136 * MRO Software Inc. 71,904 1,136 Sovran Self Storage, Inc. REIT 41,456 1,135 Nationwide Health Properties, Inc. REIT 56,047 1,132 Arch Chemicals, Inc. 51,806 1,131 Great American Financial Resources, Inc. 62,624 1,130 * Iomega Corp. 472,795 1,130 Interpool, Inc. 71,904 1,129 Parkway Properties Inc. REIT 32,007 1,128 Commercial Metals Co. 35,123 1,125 International Multifoods Corp. 54,226 1,125 Schweitzer-Mauduit International, Inc. 47,687 1,125 Carbo Ceramics Inc. 30,280 1,122 * Electroglas, Inc. 63,416 1,122 * Quaker City Bancorp, Inc. 38,022 1,121 Redwood Trust, Inc. REIT 49,269 1,121 Interface, Inc. 149,173 1,119 St. Francis Capital Corp. 51,220 1,119 * Universal Electronics, Inc. 62,192 1,119 * Corvas International, Inc. 94,909 1,118 American States Water Co. 32,760 1,114 * Jones Lang Lasalle Inc. 84,392 1,114 Stewart Enterprises, Inc. Class A 152,431 1,113 Owens & Minor, Inc. Holding Co. 58,489 1,111 * Avanex Corp. 114,412 1,110 * TriPath Imaging, Inc. 112,002 1,110 Boston Private Financial Holdings, Inc. 49,510 1,109 ChemFirst Inc. 42,342 1,109 * IDX Systems Corp. 73,918 1,109 * ABIOMED, Inc. 47,009 1,108 * Power Integrations, Inc. 71,039 1,108 * Coldwater Creek Inc. 42,528 1,106 * Offshore Logistics, Inc. 58,216 1,106 Brown Shoe Company, Inc. 61,186 1,104 * Kendle International Inc. 55,025 1,103 * Red Hat, Inc. 275,846 1,103 Movado Group, Inc. 54,534 1,102 Watsco, Inc. 78,147 1,102 * Pre-Paid Legal Services, Inc. 50,050 1,101 American Greetings Corp. Class A 99,999 1,100 * Penwest Pharmaceuticals Co. 70,922 1,099 * Alaska Air Group, Inc. 37,991 1,098 Chemed Corp. 30,358 1,097 * Presstek, Inc 91,420 1,097 * MTR Gaming Group Inc. 81,214 1,096 Curtiss-Wright Corp. 20,389 1,095 First Commonwealth Financial Corp. 73,007 1,095 * National Western Life Insurance Co. Class A 10,049 1,095 * Luminent, Inc. 260,101 1,092 * Cadiz Inc. 108,977 1,090 Vesta Insurance Group, Inc. 99,514 1,090 USFreightways Corp. 36,909 1,089 * PICO Holdings, Inc. 74,431 1,088 * Arena Pharmaceuticals, Inc. 35,615 1,086 Hancock Holding Co. 25,280 1,086 * Knight Transportation, Inc. 52,824 1,086 * Aspect Medical Systems, Inc. 69,969 1,085 * La Quinta Properties, Inc. 209,491 1,085 Longview Fibre Co. 88,076 1,085 * Aerosonic Corp. 57,810 1,084 * CDI Corp. 63,806 1,084 Dover Downs Entertainment, Inc. 70,369 1,084 * H Power Corp. 111,632 1,084 * World Acceptance Corp. 117,705 1,084 * Active Power, Inc. 64,783 1,081 Empire District Electric Co. 52,196 1,080 Alliance Bancorp Inc. 36,585 1,079 19 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- * Factory 2-U Stores Inc. 36,760 1,079 National City Bancorporation 36,040 1,079 McGrath Rent Corp. 44,564 1,076 * Nuance Communications Inc. 59,615 1,074 * Silicon Image, Inc. 214,862 1,074 * Foamex International, Inc. 144,857 1,072 Pioneer Standard Electronics Inc. 83,709 1,071 USEC Inc. 127,018 1,071 * Acacia Research Corp. 66,873 1,070 * Digital Insight Corp. 48,433 1,070 * Hollywood Casino Corp. 136,266 1,070 IRT Property Co. REIT 98,284 1,070 * Credit Acceptance Corp. 138,734 1,068 * IXYS Corp. 68,343 1,066 * Read Rite Corp. 200,034 1,066 Southwest Gas Corp. 44,988 1,065 EastGroup Properties, Inc. REIT 47,025 1,063 * SeaChange International, Inc. 58,935 1,063 * Water Pik Technologies, Inc. 125,760 1,063 * SignalSoft Corp. 92,313 1,062 * Hexcel Corp. 83,221 1,061 * Ocular Sciences, Inc. 41,757 1,061 Churchill Downs, Inc. 42,233 1,059 Community Trust Bancorp Inc. 44,132 1,059 * Teletech Holdings Inc. 117,731 1,058 * Pericom Semiconductor Corp. 67,231 1,057 Inter-Tel, Inc. 88,621 1,055 Town & Country Trust REIT 51,677 1,054 * UbiquiTel Inc. 138,442 1,052 * The Kroll-O'Gara Co. 111,103 1,051 * On Assignment, Inc. 58,365 1,051 * CorVel Corp. 28,187 1,050 Pitt Des Moines, Inc. 30,432 1,050 * Stein Mart, Inc. 101,525 1,050 H.B. Fuller Co. 21,031 1,049 * ParkerVision, Inc. 40,098 1,049 * Kaneb Services, Inc. 143,034 1,048 CB Bancshares Inc./Hawaii 29,705 1,047 Lawrence Savings Bank 80,150 1,045 * InterVoice-Brite, Inc. 94,819 1,043 * Luminex Corp. 52,188 1,043 Nash-Finch Co. 44,193 1,043 * Maxygen Inc. 53,688 1,042 Bowne & Co., Inc. 90,538 1,041 * Urocor, Inc. 66,507 1,041 * The Medicines Co. 50,599 1,037 * TETRA Technologies, Inc. 42,393 1,037 * Choice Hotel International, Inc. 68,797 1,032 * Embarcadero Technologies, Inc. 46,232 1,031 * Hovnanian Enterprises Class A 71,034 1,031 Wabash National Corp. 85,083 1,030 * Gardner Denver Inc. 50,063 1,029 CPI Corp. 41,965 1,028 Florida East Coast Industries, Inc. Class B 29,133 1,028 BSB Bancorp, Inc. 44,573 1,027 * Kenneth Cole Productions, Inc. 50,897 1,026 Kramont Realty Trust 74,928 1,025 * General Semiconductor, Inc. 97,911 1,024 * First Republic Bank 41,659 1,021 Omega Financial Corp. 31,720 1,021 * United Surgical Partners Intl, Inc. 42,550 1,021 Federal Realty Investment Trust REIT 49,176 1,020 * Caliper Technologies Corp. 48,393 1,019 * Wesco International, Inc. 111,981 1,019 * McMoRan Exploration Co. 67,856 1,018 * Ryan's Family Steak Houses, Inc. 83,040 1,017 * Next Level Communications, Inc. 150,521 1,016 Arrow Financial Corp. 40,066 1,012 Anchor Bancorp Wisconsin Inc. 63,416 1,008 * Beverly Enterprises, Inc. 94,193 1,008 * United Capital Corp. 41,153 1,008 * OPNET Technologies, Inc. 56,307 1,006 Modine Manufacturing Co. 36,457 1,005 Central Parking Corp. 53,538 1,001 Sun Communities, Inc. REIT 28,260 999 * Stoneridge, Inc. 92,771 997 * Asyst Technologies, Inc. 73,774 996 * Concurrent Computer Corp. 142,246 996 * Nortek, Inc. 31,877 995 * NCI Building Systems, Inc. 54,440 994 CPB, Inc. 33,562 993 * Scientific Games Corp 168,646 993 * Phton Dynamics, Inc,. 36,733 992 * Merix Corp. 56,674 991 * Oplink Communications, Inc. 263,711 989 * CompuCredit Corp. 89,327 987 Dimon Inc. 98,612 986 EDO Corp. 61,806 986 The Macerich Co. REIT 39,776 986 Chesapeake Corp. of Virginia 39,755 984 Elcor Corp. 48,572 984 * ON Semiconductor Corp. 216,116 983 Coca-Cola Bottling Co. 24,968 982 * Mechanical Technology Inc. 135,451 977 Sealed Air Corp. 24,451 977 CNA Surety Corp. 69,748 976 * Genzyme Molecular Oncology 72,032 976 * Sinclair Broadcast Group, Inc. 94,733 976 Flushing Financial Corp. 40,781 975 Great Atlantic & Pacific Tea Co., Inc. 65,881 975 * Progenics Pharmaceuticals, Inc. 50,942 974 * Dril-Quip, Inc. 45,172 973 * Dendrite International, Inc. 87,575 972 The Stride Rite Corp. 114,369 972 20 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- U.S.B. Holding Co., Inc. 63,723 972 UniSource Energy Corp. 42,324 972 * Alcide Corp. 32,391 971 * Entegris Inc. 84,808 971 * RadiSys Corp. 42,515 971 * Alliance Semiconductor Corp. 80,667 970 * Internet Capital Group, Inc. 484,628 969 * LendingTree, Inc. 152,197 969 * Valence Technology 150,637 969 * Catalytica Energy Systems, Inc. 44,599 968 Coachmen Industries, Inc. 73,086 968 * Korn/Ferry International 62,447 968 * TransMontaigne Inc. 166,927 968 * Consolidated Graphics, Inc. 56,879 967 * Berkshire Hathaway Inc. Class B 420 966 * Boron, LePore & Associates, Inc. 69,955 964 * Integrated Silicon Solution, Inc. 69,367 964 ABM Industries 25,846 963 * International Specialty Products, Inc. 90,851 963 * Mastec Inc. 72,913 962 TF Financial Corp. 48,684 962 Foster Wheeler Ltd. 106,271 962 Apogee Enterprises, Inc. 76,878 960 * Daisytek International Corp. 60,977 960 JDN Realty Corp. REIT 71,660 960 * Revlon, Inc. Class A 132,392 960 * Advanced Tissue Sciences Inc. 191,895 959 * Kensey Nash Corp. 57,308 959 * Molecular Devices Corp. 47,781 958 * SkillSoft Corp. 27,946 957 * Universal Access, Inc. 154,336 957 * Avigen, Inc. 44,312 953 Otter Tail Corp. 34,346 953 * Zoll Medical Corp. 34,732 953 * Skechers U.S.A., Inc. 32,516 950 * Modis Professional Services Inc. 137,485 949 Crown American Realty Trust REIT 113,465 947 * Casella Waste Systems, Inc. 75,708 946 LSI Industries Inc. 40,377 944 * New Focus, Inc. 114,310 943 * Pacificare Health Systems, Inc. 57,817 942 Standard Commercial Tobacco Co. 53,631 942 NUI Corp. 40,714 940 * America West Holdings Corp. Class B 94,067 938 * Guess ?, Inc. 140,028 938 * Lantronix, Inc. 91,075 938 * American Axle & Manufacturing Holdings, Inc. 56,290 937 * Immune Response 197,191 937 * Aether Systems, Inc. 105,548 934 Ryerson Tull, Inc. 69,265 934 * Shoe Carnival, Inc. 77,816 934 * Nuevo Energy Co. 57,236 933 * Clayton Williams Energy, Inc. 55,043 933 * AFC Enterprises, Inc. 48,669 932 * StorageNetworks, Inc. 54,853 932 * Belco Oil & Gas Corp. 103,442 931 Medford Bancorp, Inc. 45,462 930 * Royal Appliance Manufacturing Co. 152,910 930 * Atlas Air Worldwide Holdings, Inc. 65,611 929 * Net.B@nk, Inc. 82,245 929 * Audiovox Corp. 83,635 928 * Schuler Homes Inc. Class A 68,519 928 * General Maritime Corp. 63,460 927 Berry Petroleum Class A 63,806 925 * Insurance Auto Auctions, Inc. 54,284 923 * QRS Corp. 55,610 923 * Sirius Satellite Radio, Inc. 75,751 923 Airborne, Inc. 79,511 922 * MemberWorks, Inc. 39,806 921 * Optical Cable Corp. 92,148 921 * XM Satellite Radio Holdings, Inc. 56,852 921 National Presto Industries, Inc. 30,963 920 Farmer Brothers, Inc. 3,941 918 * 1-800-FLOWERS.COM, Inc. 61,837 918 * Zygo Corp. 41,269 918 SLI, Inc. 111,172 917 * Documentum, Inc. 70,896 916 * Lexicon Genetics Inc. 73,216 915 * Charming Shoppes, Inc. 152,373 914 * National Dentex Corp. 43,095 914 Tremont Corp. 25,760 914 World Fuel Services Corp. 76,485 914 * Applica Inc. 114,179 909 NYMAGIC, Inc. 45,836 908 * Value City Department Stores, Inc. 78,831 907 Barnes Group, Inc. 36,655 905 A. Schulman Inc. 67,019 905 CIRCOR International, Inc. 50,001 903 * IHOP Corp. 33,646 903 * Xo Communciations Inc. 470,036 902 * Actuate Software Corp. 94,393 901 * Instinet Group Inc. 48,179 898 X-Rite Inc. 101,465 897 * Intelidata Technologies Corp. 151,808 896 * UTStarcom, Inc. 38,416 895 * Alexander's, Inc. REIT 14,868 894 Associated Estates Realty Corp. REIT 92,587 894 * Harmonic, Inc. 89,378 894 * J. Jill Group, Inc. 44,113 893 21 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- SJW Corp. 10,439 893 * Key3Media Group, Inc. 76,489 888 Northwest Bancorp, Inc. 84,392 886 AREA Bancshares Corp. 53,579 884 * United Therapeutics Corp. 66,234 884 California Independent Bancorp 33,626 881 Gorman-Rupp Co. 36,513 880 Southwest Bancorp, Inc. 35,984 877 K-Swiss, Inc. 36,009 869 * MP3.com, Inc. 179,222 869 * Zomax Inc. 97,563 869 Argonaut Group, Inc. 43,104 866 Penn Virginia Corp. 26,328 866 * The Ackerley Group, Inc. 77,161 865 * Geron Corp. 61,796 865 Gold Banc Corp., Inc. 111,612 864 * MetaSolv, Inc. 108,535 861 Ameron International Corp. 12,881 860 * CSK Auto Corp. 103,636 860 * EntreMed, Inc. 53,766 860 * Avatar Holding, Inc. 37,366 859 * Per-Se Technologies, Inc. 105,360 859 * Centennial Bancorp 104,035 858 * The Phoenix Companies, Inc. 46,000 856 * MEMC Electronic Materials, Inc. 111,733 855 Seacoast Banking Corp. of Florida Class A 24,391 855 * EMS Technologies, Inc. 55,987 854 * I-STAT Corp. 57,827 852 * Chiles Offshore, Inc. 47,967 851 * Provident Financial Holdings, Inc. 36,586 851 First Financial Corp.-Indiana 17,646 849 * Keynote Systems Inc. 77,496 849 Middlesex Water Co. 24,971 849 Pilgrim's Pride Corp. 67,668 849 * NextCard, Inc. 76,702 848 First International Bancorp, Inc. 98,440 847 Flagstar Bancorp, Inc. 40,465 846 infoUSA Inc. 140,716 844 Cobalt Corp. 120,465 843 MIPS Technologies, Inc. Class B 65,209 841 Packard BioScience Co. 101,177 840 Mid Atlantic Realty Trust REIT 66,855 836 Versicor, Inc. 66,684 836 Sanchez Computer Associates, Inc. 63,045 835 Forward Air Corp. 27,811 833 Wallace Computer Services, Inc. 50,338 833 UCBH Holdings, Inc. 27,400 832 Aztar Corp. 68,489 829 Allen Telecom Inc. 55,169 828 CardioDynamics International Corp. 154,268 828 Federal Agricultural Mortgage Corp. Class A 29,005 828 Bandag, Inc. 30,248 826 Lennox International Inc. 75,446 826 California Pizza Kitchen, Inc. 35,442 824 FLIR Systems, Inc. 32,940 824 Integrated Electrical Services, Inc. 84,489 824 Cambridge Technology Partners 231,029 818 Insignia Financial Group, Inc. 67,076 818 The Neiman Marcus Group, Inc. Class B 27,740 818 Internap Network Services Corp. 249,828 817 Health Care REIT, Inc. 34,342 816 Spherion Corp. 90,785 813 Deltagen, Inc. 90,370 812 Community Bank System, Inc. 28,976 811 RailAmerica, Inc. 70,988 811 Organogenesis, Inc. 109,334 809 UNOVA, Inc. 117,536 809 Beasley Broadcast Group, Inc. 47,558 808 Thomas Nelson, Inc. 114,737 807 Bob Evans Farms, Inc. 44,720 805 Ciber, Inc. 84,587 804 Tredegar Corp. 41,978 804 Bangor Hydro-Electric Co. 30,125 801 Wolverine World Wide, Inc. 44,828 801 Great Southern Bancorp, Inc. 30,424 799 ORATEC Interventions, Inc. 86,233 799 * Cole National Corp. Class A 54,050 797 * DVI, Inc. 45,269 797 Connecticut Water Services, Inc. 22,998 795 City Holding Co. 60,763 794 * Entrust, Inc. 112,002 794 * Hyperion Solutions Corp. 52,944 794 * McAfee.com Corp. 64,661 794 * Curative Health Services Inc. 125,661 792 Lindsay Manufacturing Co. 41,695 792 * Syntroleum Corp. 86,977 791 Thornburg Mortgage, Inc. 50,928 790 * Boston Beer Co., Inc. Class A 91,514 789 Cabot Industrial Trust REIT 37,576 789 * IDT Corp. 58,342 788 * Rosetta Inpharmatics, Inc. 50,841 788 * Charles River Associates Inc. 44,976 787 Commercial Net Lease Realty REIT 55,221 787 The Pep Boys (Manny, Moe & Jack) 70,061 787 Atlantic Tele-Network, Inc. 59,240 786 Massbank Corp. 20,391 785 * Sykes Enterprises, Inc. 71,289 784 * PRI Automation, Inc. 42,211 782 * Gulf Island Fabrication, Inc. 54,243 781 22 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- Granite State Bankshares, Inc. 33,934 780 * Packeteer, Inc. 62,215 780 Consolidated-Tomoka Land Co. 51,220 779 * Viewpoint Corp. 91,539 778 Crown Cork & Seal Co., Inc. 207,178 777 * RCN Corp. 141,584 777 * Antec Corp. 62,542 776 Atlanta Sosnoff Capital 69,897 776 Caraustar Industries, Inc. 84,371 776 * Miravant Medical Technology 68,099 776 * Strattec Security Corp. 22,347 776 * BankUnited Financial Corp. 55,123 774 * Navigators Group, Inc. 40,976 774 * Airgas, Inc. 64,996 773 * S&K Famous Brands Inc. 74,733 773 * The Buckle, Inc. 40,781 771 * The Profit Recovery Group International, Inc. 67,306 771 First Place Financial Corp. 59,606 770 * Signal Technology Corp. 71,663 770 * Spectra-Physics, Inc. 33,279 770 * Fresh Del Monte Produce Inc. 69,757 769 * Viasystems Group, Inc. 255,124 768 * Extensity, Inc. 75,850 766 Cubic Corp. 24,472 765 * AnswerThink Consulting Group, Inc. 76,468 764 * Energy Partners, LTD. 56,832 762 * Network Peripherals, Inc. 65,096 762 * Sequenom, Inc. 54,383 761 * Petrocorp, Inc. 81,020 759 * Syntel, Inc. 98,594 759 * Applied Innovation Inc. 90,538 756 * Encompass Services Corp. 84,499 756 * Sequa Corp. Class A 16,619 756 * Horizon Offshore, Inc. 55,923 755 * Priority Healthcare Corp. Class A 26,696 755 * Il Fornaio (America) Corp. 65,491 753 * Waste Connections, Inc. 20,909 753 * Century Business Services, Inc. 139,027 751 * Griffin Land & Nurseries, Inc. 45,190 751 * Wyndham International, Inc. Class A 300,330 751 * Sonosite, Inc. 38,685 750 * Vitria Technology, Inc. 217,532 748 * Giant Industries, Inc. 84,849 747 PolyOne Corp. 71,718 747 * Texas Biotechnology Corp. 88,977 746 * Anaren Microwave, Inc. 37,191 744 * Florida Banks, Inc. 122,669 742 Keithley Instruments Inc. 34,817 742 * Telular Corp. 73,611 742 * Trammell Crow Co. 66,928 740 * Sciclone Pharmaceuticals 126,737 739 * Superior Consultant Holdings Corp. 160,588 739 * Todd Shipyards Corp. 92,335 739 * Terex Corp. 34,830 738 Corporate Office Properties Trust, Inc. REIT 73,660 737 * Neon Communications, Inc. 105,350 736 Sauer-Danfoss, Inc. 77,821 735 Tanger Factory Outlet Centers, Inc. REIT 31,902 734 * Collins & Aikman Corp. 118,219 733 Getty Realty Holding Corp. 38,187 732 Met-Pro Corp. 54,252 732 Hancock Fabrics, Inc. 81,463 729 * Avant! Corp. 54,733 728 * Hollywood Entertainment Corp. 85,941 727 * Titanium Metals Corp. 72,689 727 * Aftermarket Technology Corp. 98,831 726 Milacron Inc. 46,230 724 Riviana Foods, Inc. 39,903 724 * Aclara Biosciences, Inc. 72,894 722 BP Prudhoe Bay Royalty Trust 50,468 722 * Celeritek, Inc. 48,261 722 HF Financial Corp. 51,464 722 * Quicksilver Resources, Inc. 40,120 722 * Consolidated Freightways Corp. 80,206 719 * First Consulting Group, Inc. 99,749 718 Ameriserv Financial Inc. 139,159 717 Bryn Mawr Bank Corp. 23,122 717 State Financial Services Corp. Class A 56,272 717 * Key Production Company, Inc. 42,984 716 * SpeechWorks International Inc. 45,509 714 GenCorp, Inc. 55,611 712 * I.D. Systems, Inc. 125,190 712 * BioMarin Pharmaceutical Inc. 53,662 709 * NS Group Inc. 53,074 709 * Healthcare.com Corp. 154,929 708 Heritage Financial Corp. 66,538 708 * Material Sciences Corp. 71,562 707 * Multex.com Inc. 43,510 707 Quaker Chemical Corp. 37,214 707 * Cumulus Media Inc. 52,001 706 * ITC DeltaCom, Inc. 176,414 706 * Genome Therapeutics Corp. 47,528 705 * Layne Christensen Co. 82,836 704 Midas Inc. 55,435 704 * Loudcloud, Inc. 231,028 702 * ONYX Software Corp. 87,272 698 Sizzlers Property Investors, Inc. REIT 73,624 697 * Tollgrade Communications, Inc. 24,472 697 BankAtlantic Bancorp, Inc. Class A 80,084 696 23 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- Capstead Mortage Corp. REIT 39,053 695 * Lexent Inc. 80,469 695 * Three-Five Systems, Inc. 38,640 695 * Hoenig Group, Inc. 62,830 694 * Kaiser Aluminum Corp. 174,302 694 MutualFirst Financial Inc. 47,853 694 Columbia Bancorp 53,074 693 * AXYS Pharmaceuticals, Inc. 164,826 692 * Regeneration Technologies, Inc. 78,660 692 * RMH Teleservices, Inc. 53,367 689 * Avici Systems Inc. 80,235 688 * Docent, Inc. 68,681 687 RFS Hotel Investors, Inc. REIT 43,513 687 * Alexion Pharmaceuticals, Inc. 28,483 684 * Lifeline Systems, Inc. 34,607 684 * The Gymboree Corp. 80,396 683 * AT&T Latin America Corp.- Class A 136,987 682 Phillips-Van Heusen Corp. 47,373 682 * Startek, Inc. 30,118 681 * eSPEED, Inc. 30,899 680 * Orchid Biosciences 88,886 680 * Momentum Business Applications, Inc. 49,925 679 WSFS Financial Corp. 39,492 679 NCH Corp. 17,303 677 * Adelphia Business Solutions, Inc. 164,960 676 Lance, Inc. 50,002 675 Art Technology Group, Inc. 115,934 672 Kforce Inc. 103,371 672 Mortons Restaurant Group 34,052 672 Fidelity Bancorp, Inc. 30,049 671 Central Vermont Public Service Corp. 35,426 670 * Wackenhut Corrections Corp. 51,123 670 * JNI Corp. 47,708 668 * APW Ltd. 65,389 664 * Lydall, Inc. 55,267 663 * Witness Systems, Inc. 60,294 663 * Stratus Properties Inc. 60,181 662 Merchants Bancshares, Inc. 21,486 661 * Wiser Oil Co. 94,148 659 * PharmaNetics, Inc. 62,589 658 * Aviall Inc. 59,878 657 * Unifi, Inc. 77,333 657 * Proxim, Inc. 46,518 656 Zenith National Insurance Corp. 24,286 656 HEICO Corp. 34,110 655 * Labor Ready, Inc. 124,620 653 * SONICblue Inc. 197,972 653 First South Bancorp, Inc. 24,147 652 * Remington Oil & Gas Corp. 34,342 652 * Sipex Corp. 55,978 651 * Auspex Systems, Inc. 90,781 648 * Benihana Inc. Class A 48,902 648 First Financial Bankshares, Inc. 20,860 647 Correctional Properties Trust REIT 45,272 645 * SeraCare, Inc. 92,457 645 * Vysis, Inc. 25,614 645 * Numerex Corp. 71,026 643 * Rohn Industries Inc. 135,319 643 * Aquila, Inc. 26,049 642 * IDT Corp. Class B 58,342 642 Century Bancorp, Inc. Class A 31,610 639 * Acceptance Insurance Cos. Inc. 121,172 636 United Mobile Homes, Inc. REIT 58,112 636 Winston Hotels, Inc. REIT 61,230 636 * InKine Pharmaceutical Company, Inc. 129,693 635 * Pegasus Solutions Inc. 55,014 635 * Petroleum Helicopters, Inc. 35,415 634 Peoples Holding Co. 19,188 633 * Matria Healthcare, Inc. 40,171 632 * Nu Horizons Electronics Corp. 66,444 631 * OfficeMax, Inc. 170,687 630 Spartan Motors, Inc. 159,027 628 * Steel Dynamics, Inc. 50,245 628 Newmil Bancorp, Inc. 54,050 626 * Manufacturers' Services Limited 104,978 625 * Inet Technologies, Inc. 76,138 624 * Mattson Technology, Inc. 35,700 624 * Uniroyal Technology Corp. 73,353 624 * Applied Molecular Evolution 49,562 619 Coastal Bancorp, Inc. 19,329 618 Fedders Corp. 118,894 618 * Genrad, Inc. 102,624 616 * Heidrick & Struggles International, Inc. 30,320 616 Myers Industries, Inc. 40,776 616 * American Bank Note Holographics, Inc. 266,100 615 * Paradigm Genetics, Inc. 68,306 615 * Corrections Corp of America 38,491 614 Horizon Financial Corp. 57,968 614 Mueller (Paul) Co. 19,568 614 * Click Commerce, Inc. 67,958 612 * Satcon Technology Corp. 58,433 611 Summit Bancshares, Inc. 32,488 611 * Ace Cash Express, Inc. 59,367 609 * Chalone Wine Group Ltd. 50,369 609 * Sangamo BioSciences, Inc. 41,626 609 Kilroy Realty Corp. REIT 20,896 608 Stepan Co. 23,220 608 * Tower Automotive, Inc. 59,361 608 * NetRatings, Inc. 42,185 607 * Digex, Inc. 46,631 606 24 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Drexler Technology Corp. 50,451 606 * DigitalThink, Inc. 86,048 604 L. S. Starrett Co. Class A 29,464 604 * Gadzooks, Inc. 46,095 603 * Allscripts Healthcare Solutions, Inc 66,838 602 * Digi International, Inc. 68,879 602 * Comstock Resources, Inc. 58,635 601 * iGATE Capital Corp. 167,026 601 * Zebra Technologies Corp. Class B 12,240 601 FBL Financial Group, Inc. Class A 33,266 599 * Perry Ellis International Corp. 74,977 596 * U.S. Vision, Inc. 173,639 596 * W-H Energy Services, Inc. 31,345 596 Oxford Industries, Inc. 27,019 594 * Terayon Communications Systems, Inc. 96,987 594 * Deltek Systems, Inc. 83,123 592 * Syntellect Inc. 215,322 592 * K2 Inc. 51,671 591 * CenterSpan Communications Corp. 56,098 590 * DT Industries, Inc. 84,200 590 * Volt Information Sciences Inc. 33,738 590 Landry's Restaurants, Inc. 34,537 587 Oregon Trail Financial Corp. 40,196 587 * ePlus Inc. 55,634 586 * QuickLogic Corp. 97,364 586 * Somera Communications, Inc. 81,562 584 * Hyseq, Inc. 50,732 583 * Mapics Inc. 96,977 582 * The IT Group, Inc. 91,524 581 Pacific Capital Bancorp 19,081 581 * Acmat Corp. Class A 60,347 580 * Identix, Inc. 92,587 579 * Software Spectrum, Inc. 47,711 578 Bassett Furniture Industries, Inc. 45,750 576 Bush Industries, Inc. 43,587 573 * Embrex, Inc. 36,781 572 * Hector Communications Corp. 44,979 571 * Danielson Holdings Corp. 128,011 570 * Western Multiplex Corporation 82,872 569 * Clarent Corp. 61,838 568 * Insmed Incorporated 63,225 568 Alamo Group, Inc. 39,806 567 * Nanogen, Inc. 83,514 567 * Argonaut Technologies Inc. 108,402 564 * Candela Corp. 85,904 563 * Aspect Communications Corp. 80,136 560 * Spanish Broadcasting System, Inc. 68,001 558 HMN Financial, Inc. 32,537 556 Green Mountain Power Corp. 34,751 555 * Illumina, Inc. 47,078 555 * Carriage Services, Inc. 97,196 553 * Comcast Corp. Class A 12,860 552 * Nastech Pharmaceutical Co., Inc. 56,009 552 * Syms Corp. 97,226 551 * ZixIt Corp. 60,174 551 Covest Bankshares, Inc. 35,903 550 * F5 Networks, Inc. 31,296 550 * Wackenhut Corp. 31,872 550 * DiamondCluster International, Inc. 43,155 549 * Cell Pathways, Inc. 86,646 548 * Datastream Systems, Inc. 72,640 548 * Hawthorne Financial Corp. 30,096 546 Virco Manufacturing Corp. 53,046 546 * Gentiva Health Services, Inc. 30,204 544 * PC-Tel, Inc. 59,025 544 First Federal Bancshares of Arkansas, Inc. 26,125 543 Gerber Scientific, Inc. 49,464 542 Resource Bancshares Mortgage Group, Inc. 74,148 541 CompX International Inc. 45,197 540 Meridian Bioscience Inc. 103,835 540 * Ampal-American Israel Corp. 89,099 539 * Sorrento Networks Corp. 44,953 539 * Visual Networks, Inc. 61,562 539 Innkeepers USA Trust REIT 44,879 538 * IMRglobal Corp. 49,172 537 * Midwest Express Holdings, Inc. 30,928 537 Tech/Ops Sevcon, Inc. 56,781 537 Anthracite Capital Inc. 48,489 536 * Aware, Inc. 59,147 532 * Hologic, Inc. 78,294 532 SJNB Financial Corp. 12,308 532 * Traffix, Inc. 158,833 532 * The Dress Barn, Inc. 23,338 531 * Ista Pharmaceuticals Inc. 163,518 531 Prime Group Realty Trust REIT 39,318 531 * PriceSmart, Inc. 12,195 530 * LCC International, Inc. Class A 79,637 527 * Viacom Inc. Class A 9,906 525 * OTG Software, Inc. 74,830 524 Three Rivers Bancorp, Inc. 46,537 524 Community Banks, Inc. 18,297 521 * Kana Software, Inc. 255,464 521 * Financial Federal Corp. 17,956 520 * Orbital Sciences Corp. 134,149 520 * Wave Systems Corp. 96,432 518 * Dyax Corp. 27,181 516 Ampco-Pittsburgh Corp. 45,374 513 * Success Bancshares, Inc. 27,805 512 * Proton Energy Systems, Inc. 42,477 510 25 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- * BTU International, Inc. 83,488 509 Howell Corp. 44,665 509 United Fire & Casualty Co. 17,359 507 * Switchboard Inc. 85,689 506 North Valley Bancorp 35,805 505 * Predictive Systems, Inc. 125,963 504 * Digital Generation Systems 120,905 502 * Mayor's Jeweler's, Inc. 120,937 502 Ambanc Holding Co., Inc. 25,952 501 Greater Delaware Valley Savings Bank 30,671 501 * Orapharma Inc. 88,128 501 * Department 56 Inc. 65,369 500 First Bancorp North Carolina 20,313 500 * Navigant International, Inc. 35,742 500 Armstrong Holdings, Inc. 140,338 498 Hudson River Bancorp. Inc. 27,481 497 * SureBeam Corp. 28,976 496 * Tyler Technologies, Inc. 206,734 496 * Rainbow Technologies, Inc. 88,317 494 Exide Corp. 42,764 492 * Prodigy Communications Corp. Class A 86,441 492 Titan International, Inc. 120,539 492 * Eden Bioscience Corp. 49,108 491 * Management Network Group Inc. 80,490 491 U.S. Industries, Inc. 119,202 489 * Covansys Corp. 43,220 488 * Maxxam Inc. 19,729 488 * Davox Corp. 58,343 484 * Gulfmark Offshore, Inc. 15,614 482 * William Lyon Homes, Inc. 38,586 482 Methode Electronics, Inc. Class A 56,001 482 * Rochester Medical Corp. 79,639 482 * Sunrise Telecom Inc. 81,011 482 * Greka Energy Corp. 43,844 481 UniFirst Corp. 25,321 481 G & L Realty Corp. REIT 35,458 478 * IKOS Systems, Inc. 64,783 477 Luby's, Inc. 48,546 475 * PJ America Inc. 56,196 475 Standard Motor Products, Inc. 35,708 475 Calgon Carbon Corp. 60,318 473 * Prime Hospitality Corp. 39,806 472 Herbalife International Class A 47,109 471 * MeriStar Hotels & Resorts, Inc. REIT 261,664 471 Southern Peru Copper Corp. 38,147 471 * TTM Technologies, Inc. 53,400 470 Blair Corp. 28,781 469 * Digital River, Inc. 104,239 469 Donnelly Corp. 32,903 467 * Laser Vision Centers, Inc. 176,119 467 * Nashua Corp. 67,215 467 * Amerco, Inc. 20,878 466 * Wireless Facilities, Inc. 71,693 466 * EEX Corp. 172,255 465 * Pinnacle Entertainment, Inc. 63,123 464 * EZCORP, Inc. 203,809 463 * Peco II, Inc. 70,753 463 Tenneco Automotive, Inc. 141,263 461 Patriot Bank Corp. 45,732 460 BNP Residential Properties, Inc. 45,806 459 * Tractor Supply Co. 28,684 459 Brookline Bancorp, Inc. 32,527 457 * Innotrac Corp. 60,858 456 The Marcus Corp. 32,684 456 * CacheFlow Inc. 92,236 455 * The Good Guys, Inc. 123,560 455 * AP Pharma Inc. 150,724 452 Colonial Properties Trust REIT 14,669 452 First Keystone Financial, Inc. 31,903 451 * NPC International Class A 41,561 449 * National Health Investors REIT 43,610 449 Analysts International Corp. 100,343 448 * Neurocrine Biosciences, Inc. 11,200 448 * Fairchild Corp. 63,588 446 Santander BanCorp 22,755 445 * Inforte Corp. 36,304 444 Vector Group Ltd. 13,866 443 * Mossimo, Inc. 128,200 442 * Pinnacle Holdings Inc. REIT 73,508 442 * Local Financial Corp. 34,098 440 * Pharmacyclics, Inc. 12,989 440 * Pinnacle Systems, Inc. 72,781 440 Steelcase Inc. 36,855 440 * Digitas Inc. 99,610 438 * Optical Communication Products, Inc. 41,163 438 * Dave & Busters 51,935 437 * Investors Capital Holdings, Ltd. 123,757 436 National Steel Corp. Class B 253,567 436 * Friendly Ice Cream Corp. 188,936 435 * HotJobs.com Ltd. 48,293 435 Lone Star Steakhouse & Saloon, Inc. 33,520 435 * Superior Telecom Inc. 154,249 435 Cascade Bancorp 38,304 433 * Navigant Consulting, Inc. 52,830 433 * Ceres Group, Inc. 79,334 432 Plains All American Pipeline, L..P. 18,660 432 * Earthshell Corp. 126,440 430 Oriental Financial Group 22,634 430 A.O. Smith Corp. 24,000 430 * iManage, Inc. 117,223 428 Oneida Ltd. 21,051 428 * U.S. Energy Corp. 87,270 428 26 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Lynx Therapeutics Inc. 62,466 427 Universal Health Realty Income REIT 19,778 427 Equity Inns, Inc. REIT 43,318 425 * First Union Real Estate REIT 184,692 425 American Land Lease, Inc. 34,230 424 * Concord Communications, Inc. 47,025 423 * Del Monte Foods Co. 50,444 423 * Zoltek Cos., Inc. 95,221 423 * ITXC Corp. 60,180 421 * LCA-Vision, Inc. 168,528 421 * Preview Systems, Inc. 122,032 421 * SONUS Pharmaceuticals, Inc. 129,417 421 * Garden Fresh Restaurant Corp. 55,318 420 * WJ Communications, Inc. 90,260 420 * Braun Consulting, Inc. 52,032 419 Hughes Supply, Inc. 17,720 419 * Encore Wire Corp. 35,111 417 * Universal Compression Holdings, Inc. 14,606 415 Advanced Marketing Services 19,840 414 * Mail-Well, Inc. 97,075 413 Frontier Oil Corp. 31,077 412 * Artisoft, Inc. 89,606 407 * hi/fn, inc. 26,922 407 * SITEL Corp. 254,415 407 * Samsonite Corp. 140,996 402 * Tripath Technology Inc. 35,659 401 * Cosine Communications, Inc. 178,694 400 * NMS Communications Corp. 57,147 400 Oil-Dri Corp. of America 49,246 399 * Alliance Pharmaceutical Corp. 176,727 398 Transcontinental Realty Investors, Inc. REIT 30,552 397 Waypoint Financial Corp. 31,794 397 Oak Hill Financial, Inc. 27,824 394 Angelica Corp. 35,741 393 BancFirst Ohio Corp. 17,313 392 * Trans World Entertainment Corp. 41,269 392 AMCOL International Corp. 65,152 391 * American Medical Security Group, Inc. 70,147 391 PS Business Parks, Inc. REIT 13,951 391 * SpaceLabs Medical, Inc. 32,046 391 * Aksys, Ltd. 37,528 390 Allen Organ Co. 11,383 390 * TBC Corp. 40,675 390 * Tradestation Group Inc. 73,496 390 Omnova Solutions Inc. 53,367 389 * Procom Technology, Inc. 43,025 389 Pulaski Financial Corp. 27,399 389 * Jacobson Stores Inc. 114,022 388 Superior Uniform Group, Inc. 40,033 388 * Lifecore Biomedical Inc. 77,367 387 * Regent Communications, Inc. 32,293 387 Hunt Corp. 59,416 386 * iBasis, Inc. 77,122 386 * Genta Inc. 28,781 385 * ISCO, Inc. 51,312 385 * The Sports Authority, Inc. 109,828 385 * WatchGuard Technologies, Inc. 37,571 385 * Thermo Fibertek, Inc. 131,930 383 * Oxigene, Inc. 72,624 382 Senior Housing Properties Trust REIT 29,406 382 * Pegasystems Inc. 111,612 381 Timberline Software Corp. 74,054 381 * Actuant Corp. 23,065 379 * PictureTel Corp. 67,611 379 Bridge View Bancorp 25,867 378 * Magnum Hunter Resources Inc. 42,342 377 Maine Public Service Co. 13,120 377 * ACTV, Inc. 113,037 376 * Columbia Banking System, Inc. 29,458 376 * Netopia, Inc. 61,269 376 * Silicon Graphics, Inc. 270,637 376 * Advanced Lighting Technologies, Inc. 84,977 374 * PTEK Holdings, Inc. 142,832 374 * Cheap Tickets, Inc. 24,728 373 * Vivus, Inc. 120,294 373 * World Wrestling Federation Entertainment, Inc. 26,859 371 Team Financial, Inc. 46,342 370 * H.D. Vest, Inc. 17,653 369 * InVision Technologies, Inc. 94,636 364 * Old Dominion Freight Line, Inc. 37,291 364 Amcast Industrial Corp. 42,441 363 * SmartDisk Corp. 87,741 363 Wolohan Lumber Co. 35,296 362 * Martha Stewart Living Omnimedia, Inc. 15,624 361 * Roxio, Inc. 27,769 361 * Owens Corning 179,024 360 Conoco Inc. Class A 12,700 358 * Lazare Kaplan International, Inc. 68,759 358 * York Research Corp. 113,367 357 Apex Mortgage Capital, Inc. REIT 31,356 356 * Curon Medical Inc. 177,560 355 * CB Richard Ellis Services, Inc. 22,342 351 * Biosite Diagnostics, Inc. 7,800 349 * V.I. Technologies, Inc. 30,854 347 * Crossroads Systems, Inc. 53,344 346 * Latitude Communications, Inc. 172,417 345 Penford Corp. 29,751 345 * Bethlehem Steel Corp. 169,876 343 Comdisco, Inc. 258,121 343 27 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- * Tanning Technology Corp. 70,440 342 A.M. Castle & Co. 25,189 340 * TiVo Inc. 61,745 340 * Designs, Inc. 72,111 339 * Quality Systems, Inc. 26,049 339 Intermet Corp. 59,806 338 * Cellstar Corp. 156,579 337 * Copper Mountain Networks, Inc. 82,278 337 * Cytoclonal Pharmaceutics Inc. 92,359 337 * Ditech Communications Corp. 45,404 337 * Netro Corp. 79,522 337 * Diametrics Medical, Inc. 120,149 336 Ziegler Cos., Inc. 20,976 336 * Clarus Corp. 54,486 335 * Immucor Inc. 98,336 334 Investors Title Co. 21,952 333 * IntraBiotics Pharmaceuticals, Inc. 228,955 332 * Biospherics, Inc. 36,777 331 * SCM Microsystems, Inc. 31,685 330 * Wellsford Real Properties Inc. 17,074 330 * Divine Inc. 156,796 329 * Multilink Technology Corp. 23,000 329 * M&F Worldwide Corp. 84,957 327 * ANC Rental Corp. 108,825 326 FNB Financial Services Corp. 23,122 326 * ShopKo Stores, Inc. 44,825 326 * Blue Martini Software, Inc. 108,392 325 * Lancer Corp. 50,913 323 * SpeedFam-IPEC, Inc. 101,222 323 Gentek, Inc. 60,567 321 * Choice One Communications Inc. 47,474 320 * Correctional Services Corp. 149,060 320 * Adept Technology, Inc. 32,265 319 * Electric Fuel Corp. 125,529 319 * VerticalNet, Inc. 128,149 319 * Brightpoint, Inc. 109,758 318 Cadmus Communications 28,586 318 Suffolk Bancorp 7,069 317 * Technisource, Inc. 201,564 316 * Cannondale Corp. 79,392 313 * Capital Trust Class A 48,471 313 * Black Hawk Gaming & Development Co., Inc. 29,137 310 FINOVA Group, Inc. 83,346 308 Puerto Rican Cement Co., Inc. 12,976 308 * LMI Aerospace, Inc. 76,903 307 USG Corp. 72,575 306 * Applied Microsystems Corp. 57,075 305 * Sizzler International 210,661 305 Synalloy Corp. 44,135 305 * Workflow Management, Inc. 49,195 305 * A.C. Moore Arts & Crafts, Inc. 20,293 304 W.P. Carey & Co. LLC 16,359 303 * Curis, Inc. 47,909 302 * eResearch Technology, Inc. 51,183 302 * 3 Dimensional Pharmaceuticals 31,420 302 * Daily Journal Corp. 10,522 301 * MGI Pharma, Inc. 24,072 301 * Variagenics, Inc. 78,830 300 * Track Data Corp. 204,492 299 * ebix.com Inc. 155,885 298 * Hartmarx Corp. 118,636 298 * Storage Computer Corp. 46,574 298 * WorldGate Communications, Inc. 58,342 298 * Metawave Communications Corp. 57,233 297 * Ramtron International Corp. 95,777 297 * California Amplifier, Inc. 73,060 296 Hopfed Bancorp, Inc. 24,195 296 * Carrier Access Corp. 49,258 295 * Covista Communications, Inc. 56,275 295 * Support.com, Inc. 45,687 295 * Hayes Lemmerz International, Inc. 45,796 293 * Hycor Biomedical Inc. 43,989 293 * The TriZetto Group, Inc. 31,708 293 * Enesco Group, Inc. 48,183 292 * Large Scale Biology Corp. 40,781 290 * Radio Unica Corp. 97,286 290 * Capital Pacific Holdings, Inc. 72,169 289 * Budget Group, Inc. 119,588 287 * COMARCO, Inc. 19,281 286 LTC Properties, Inc. REIT 62,830 286 * Serologicals Corp. 13,300 284 * Spectranetics Corp. 111,221 284 * Baldwin Technology Class A 235,419 283 * Cysive, Inc. 89,229 283 * NZ Corp. 66,552 283 * Focal Communications Corp. 119,415 282 Mississippi Chemical Corp. 91,206 282 Resource America, Inc. 21,366 280 * TSR, Inc. 50,147 280 * Maxim Pharmaceuticals, Inc. 44,211 279 * Aetrium, Inc. 121,076 278 Comm Bancorp, Inc. 9,621 278 * Covad Communications Group, Inc. 274,892 278 * GraphOn Corp. 109,270 278 * Ciphergen Biosystems, Inc. 40,999 277 * Mesaba Holdings, Inc. 30,025 277 * Twinlab Corp. 106,832 276 * Integrated Telecom Express, Inc. 134,867 275 * Gartner, Inc. Class B 29,755 274 * J Net Enterprises, Inc. 67,890 274 28 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Laser Mortgage Managenagement, Inc. 68,455 273 Lillian Vernon Corp. 38,537 272 * TransPro Inc. 71,636 272 HEICO Corp. Class A 15,109 271 Schnitzer Steel Industries, Inc. Class A 19,025 271 * Seven Seas Petroleum Inc. 112,851 271 * Computer Horizons Corp. 86,871 270 * Comshare 84,002 270 * ePresence, Inc. 73,001 269 * OSCA, Inc. 12,939 268 * Transworld Healthcare Inc. 83,126 266 Federal-Mogul Corp. 156,872 265 * Mobius Management Systems, Inc. 80,197 265 * Helen of Troy Corp. 29,828 264 * All American Semiconductor, Inc. 43,281 263 * Artisan Components, Inc. 25,464 260 Salient 3 Communications Class A 109,661 260 * VA Linux Systems, Inc. 73,785 258 * V-One Corp. 197,136 258 * Park-Ohio Holdings Corp. 53,484 257 * Viant Corp. 137,563 257 * Echo Bay Mines Ltd. 260,866 256 Greater Community Bancorp 23,795 256 * Extended Systems Inc. 36,586 253 * Vyyo Inc. 170,953 253 Katy Industries, Inc. 53,269 252 * Big Dog Holdings, Inc. 66,050 251 * Perficient, Inc. 72,490 251 * Network Plus Corp. 92,099 250 Staff Leasing,Inc. 65,562 250 * New Frontier Media, Inc. 95,902 249 * Prima Energy Corp. 10,342 249 * General Binding Corp. 23,387 248 * US SEARCH.com Inc. 115,126 248 * Comfort Systems USA, Inc. 68,294 247 * MIPS Technologies, Inc. 14,306 247 * Todhunter International, Inc. 31,517 247 * ANSYS, Inc. 13,156 246 * OmniSky Corp. 122,571 245 * Level 8 Systems Inc. 51,514 244 * SilverStream Software, Inc. 34,612 244 Citizens First Financial Corp. 15,513 243 * C-bridge Internet Solutions, Inc. 146,964 242 BCSB Bankcorp, Inc. 26,049 241 * Computer Task Group, Inc. 66,335 241 * EXE Technologies, Inc. 40,956 240 * PurchasePro.com, Inc. 161,970 240 * Troy Group, Inc. 55,806 240 * Gilman & Ciocia, Inc. 81,806 239 * Glenayre Technologies, Inc. 186,956 239 * Direct Focus, Inc. 5,000 238 * FMC Technologies Inc. 11,500 237 * Primus Knowledge Solutions, Inc. 39,611 237 * Net2Phone, Inc. 38,945 234 * Liberty Digital, Inc. 38,219 233 * Franklin Electronic Publishers, Inc. 90,906 232 * W.R. Grace & Co. 131,834 231 * Terra Industries, Inc. 58,781 229 * Northwest Pipe Co. 14,342 228 * Chordiant Software, Inc. 73,146 227 * Diacrin, Inc. 119,709 227 * Docucorp International 63,180 227 * Micron Electronics, Inc. 142,243 226 * Sheffield Pharmaceuticals, Inc. 55,611 225 * Marvel Enterprises Inc. 73,222 223 * Zonagen, Inc. 72,773 223 * Equinix, Inc. 207,583 222 Konover Property Trust, Inc. REIT 74,539 222 * Medialink Worldwide, Inc. 59,611 222 * Epicor Software Corp. 163,925 221 * FARO Technologies, Inc. 81,368 221 Urstadt Biddle Properties REIT 26,352 221 * Pozen Inc. 14,635 220 * Jo-Ann Stores, Inc. Class A 54,079 219 * Odwalla, Inc. 21,301 219 Humphrey Hospitality Trust, Inc. REIT 64,111 217 * U.S. Energy Systems, Inc. 33,969 217 * Bottomline Technologies, Inc. 40,000 216 * Alpine Group, Inc. 134,149 215 * Global Payment Tech Inc. 71,317 215 * Liberty Satellite & Technology, Inc. Class A 84,106 214 Hubbell Inc. Class A 7,600 213 Stephan Co. 69,807 213 Banner Corp. 9,659 212 * CyberSource Corp. 131,026 212 * Systems & Computer Technology Corp. 23,391 212 * APAC Teleservices, Inc. 66,559 211 * AGENCY.COM Inc. 65,605 211 * ClickAction, Inc. 103,105 211 * j2 Global Communications, Inc 50,952 211 * Corixa Corp. 12,282 210 Urstadt Biddle Properties REIT Class A 23,100 210 American Residential Investment Trust, Inc. REIT 102,440 208 * Goody's Family Clothing 51,817 208 * Previo, Inc. 63,691 208 Burnham Pacific Properties, Inc. REIT 42,321 207 * Sonic Innovations, Inc. 32,122 207 29 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- * Andrea Radio Corp. 124,782 206 * Ask Jeeves, Inc. 108,273 206 * TCSI Corp. 179,533 205 * Stamps.Com Inc. 54,441 204 Psychemedics, Inc. 47,875 203 * Resonate Inc. 49,016 203 * Advanced Magnetics, Inc. 47,529 202 Chester Valley Bancorp 14,105 202 * SIGA Technologies, Inc. 50,616 202 * Omega Worldwide, Inc. 75,945 201 Pilgrim's Pride Corp. Class A 22,950 201 * Nutrition 21 Inc. 175,223 200 * United PanAm Financial Corp. 49,659 200 * Paragon Technologies, Inc. 26,830 199 * Alteon, Inc. 56,587 198 * Virage, Inc. 57,464 198 BMC Industries, Inc. 32,865 197 * Catalina Lighting, Inc. 156,000 196 * LightPath Technologies, Inc. 22,060 196 * Engage, Inc. 265,770 194 W Holding Co., Inc. 14,948 194 * Cytogen Corp. 35,787 193 * Official Payments Corp. 37,562 193 * National Bancshares Corp. of Texas 10,468 192 * Strategic Distribution, Inc. 23,733 192 * Gadzoox Networks, Inc. 59,526 191 * JDA Software Group, Inc. 11,529 191 * Paradyne Networks, Inc. 104,040 191 * Highlands Insurance Group 39,273 190 * USinternetworking, Inc. 158,424 190 * Lakes Gaming, Inc. 25,517 189 * Pumatech, Inc. 63,067 189 * Ethyl Corp. 136,712 185 * VTEL Corp. 159,355 185 * CKE Restaurants Inc. 55,609 184 * New Century Equity Holdings Corp. 184,419 184 * Liquid Audio, Inc. 61,901 183 Bedford Bancshares, Inc. 16,878 182 * Data Return Corp. 103,833 182 * Capital Title Group, Inc. 73,952 181 Herbalife International Class B 20,600 180 * RWD Technologies, Inc. 58,530 180 * SafeNet, Inc. 17,998 180 * F.Y.I. Inc. 4,377 179 * Tumbleweed Communications Corp. 47,230 179 * Versant Corp. 111,897 179 * ActionPoint, Inc. 64,880 177 * Nabi 22,342 177 * NetManage, Inc. 245,918 177 * Applix, Inc. 90,413 176 Wainwright Bank & Trust Co. 21,268 176 * SMC Corp. 47,708 174 * HomeBase, Inc. 50,108 173 * Lexar Media, Inc. 109,001 173 * OAO Technology Solutions, Inc. 100,118 173 * StarMedia Network, Inc. 93,076 173 * Metromedia International Group, Inc. 52,400 172 * Turnstone Systems, Inc. 24,632 172 * Captaris Inc. 82,439 171 * eBT International, Inc. 63,217 171 * Norstan, Inc. 60,985 171 * o2wireless Solutions, Inc. 83,308 171 Gulf West Banks, Inc. 20,482 168 * Interactive Intelligence Inc. 15,317 168 * NaviSite, Inc. 116,091 168 AZZ Inc. 6,698 167 * eXcelon Corp. 113,269 167 * Health Management Systems, Inc. 82,729 165 * Universal Display Corp. 8,304 163 Marine Products Corp. 38,168 162 * Allied Holdings, Inc. 62,635 160 * Checkers Drive-In Restaurants, Inc. 27,352 160 * Huttig Building Products, Inc. 31,513 160 * MicroStrategy Inc. 57,269 160 Polaroid Corp. 61,477 160 * Sagent Technology, Inc. 106,538 160 * Technology Solutions Co. 89,439 159 * Interleukin Genetics, Inc. 59,807 157 * Larscom, Inc. Class A 79,611 157 Wanye Savings Bancshares, Inc. 10,732 157 * BindView Development Corp. 73,563 155 * Infogrames, Inc. 20,449 155 * Mercator Software, Inc. 62,343 155 * Anthony & Sylvan Pools Corp. 19,596 154 * DutchFork Bancshares, Inc. 7,229 154 * Jos. A. Bank Clothiers, Inc. 31,110 154 * DA Consulting Group, Inc. 102,051 153 * Juno Lighting, Inc. 14,842 153 * Boyd Gaming Corp. 26,514 152 * Gaylord Container Corp. 145,171 152 * Headway Corporate Resources, Inc. 152,392 152 * Juno Online Services, Inc. 105,076 152 * ABC-NACO, Inc. 145,660 151 * Axsys Technologies, Inc. 12,747 151 German American Bancorp 9,521 151 * Bell Industries, Inc. 60,198 150 * eshare CommunicationS, Inc. 119,611 150 * Intertrust Technologies Corp. 123,764 149 * Classic Vacation Group, Inc. 72,189 147 * Magnatek 11,778 147 * Precision Optics Corp. 94,583 147 30 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Synagro Technologies Inc. 61,340 146 * American Classic Voyager Co. 41,488 145 * First Mariner Bancorp, Inc. 22,452 145 * Talk America Holdings, Inc. 152,399 143 Washington Trust Bancorp, Inc. 6,480 143 * Consumer Portfolio Services, Inc. 80,880 142 * Crown Media Holdings, Inc. 7,669 142 * Vertel Corp. 115,716 142 * National Information Consortium, Inc. 77,269 141 * Third Wave Technologies 13,659 141 * eGain Communications Corp. 52,025 140 * Hovnanian Enterprises Class B 9,650 140 * SYNAVANT Inc. 19,724 140 * Airnet Communications Corp. 95,361 139 * Com21, Inc. 76,980 138 * LookSmart, Ltd. 130,731 137 * MarketWatch.com, Inc. 55,414 137 * Cyberguard Corp. 57,755 136 * INT Media Group, Inc 34,074 136 * Photoworks, Inc. 180,864 136 * MessageMedia Inc. 244,780 135 * On Command Corp. 29,975 135 * American Skiing Co. 186,152 134 * Global Power Equipment Group Inc. 4,585 134 * Mpower Holding Corp. 140,662 134 * Toymax International, Inc. 71,469 134 * A.B. Watley Group Inc. 17,691 133 * Dynamics Research Corp. 14,709 132 * Protection One, Inc. 113,561 131 * Geoworks 86,635 130 * iXL Enterprises, Inc. 107,125 130 International Shipholding Corp. 13,561 130 * iVillage Inc. 89,406 130 * Metro One Telecommunications, Inc. 2,000 130 * Capital Bank Corp. 10,988 129 * Fresh Choice, Inc. 43,708 129 * Renaissance Worldwide, Inc. 95,907 128 Cavalier Homes, Inc. 43,827 127 Codorus Valley Bancorp, Inc. 8,444 127 * Jenny Craig Inc. 84,782 127 * Metricom 73,493 127 * SystemOne Technologies Inc. 59,700 127 * eLoyalty Corp. 126,038 126 Gainsco, Inc. 104,828 126 * PracticeWorks Inc. 15,171 126 * Westell Technologies, Inc. 84,057 126 * Be Free, Inc. 102,540 125 * Crescent Operating, Inc. REIT 166,920 125 Westpoint Stevens, Inc. 90,729 125 * Wit Soundview Group, Inc. 68,441 125 * AvantGo, Inc. 62,119 124 * i3 Mobile, Inc. 42,631 124 * NaPro BioTherapeutics, Inc. 12,176 124 * Visual Data Corp. 82,929 124 * Edgewater Technology, Inc. 35,134 123 * Group 1 Software, Inc. 6,732 123 * Motient Corp. 114,246 122 * Novatel Wireless, Inc. 60,302 122 * SpeedUs.com, Inc. 111,123 122 * Vestcom International, Inc. 55,806 122 * Globix Corp. 60,070 121 * Hall, Kinion & Associates, Inc. 15,025 121 * Valentis, Inc. 19,290 121 * Wink Communications, Inc. 47,345 121 Omega Healthcare Investors , Inc. REIT 39,958 120 * Ampex Corp. Class A 350,153 119 * Critical Path, Inc. 116,668 119 * NetZero Inc. 141,758 119 * Informax, Inc. 16,537 118 * MTI Technology Corp. 57,869 118 * QCF Bancorp, Inc. 4,900 118 * Niku Corp. 116,762 117 * Primus Telecommunications Group, Inc. 142,930 117 * SoftNet Systems, Inc. 59,707 117 * VIA NET.WORKS, Inc. 76,174 117 * Benihana Inc. 8,400 116 * Coeur D'Alene Mines Corp. 86,439 115 * COMFORCE Corp. 83,292 115 * Freeport-McMoRan Copper & Gold, Inc. Class A 11,512 115 * Hecla Mining Co. 99,708 115 * Digital Impact, Inc. 90,829 114 * HealthAxis, Inc. 90,147 114 * InfoCure Corp. 47,710 114 * Cone Mills Corp. 87,613 113 * Loudeye Technologies, Inc. 74,834 112 * Caldera International, Inc. 76,855 111 * Miller Industries, Inc. 117,951 111 * TheStreet.com, Inc. 73,758 111 * Unity Bancorp, Inc. 26,059 111 * Media 100 Inc. 68,578 109 * Scient Corp. 116,926 109 * Marimba, Inc. 51,219 108 * barnesandnoble.com inc. 65,757 107 * Burlington Industries, Inc. 46,437 107 * Huntco Inc. Class A 147,222 107 * Lifeminders, Inc. 67,287 106 * Royale Energy, Inc. 10,190 105 * High Speed Access Corp. 86,832 104 * NeoMedia Technologies, Inc. 53,147 104 * Selectica, Inc. 24,360 104 * E-LOAN, Inc. 96,292 101 Blimpie International, Inc. 57,951 100 31 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- * Excel Legacy Corp. 48,195 100 * Microwave Systems Corp. 208,780 100 * eCollege.com Inc. 31,025 97 * Harken Energy Corp. 39,647 97 * Integral Systems, Inc. 3,982 96 * SAVVIS Communications Corp. 133,723 96 * Trump Hotels & Casino Resorts, Inc. 47,513 96 * Vicinity Corp. 55,840 96 * Galyan's Trading Co. 4,600 94 * P-Com, Inc. 170,833 94 * Walker Interactive Systems, Inc. 141,300 93 * MyPoints.com, Inc. 35,903 92 * Pac-West Telecom, Inc. 47,045 91 * General Chemical Group, Inc. 213,439 90 * Net Perceptions, Inc. 52,195 90 * Personnel Group of America, Inc. 65,565 90 * VCampus Corp. 56,978 90 * Double Eagle Petroleum Co. 17,633 88 * Billserv, Inc. 42,478 87 * Friede Goldman Halter, Inc. 198,175 87 * Prize Energy Corp. 4,513 87 * Wackenhut Corp. Class B 6,350 87 * Emergent Information Technologies, Inc. 62,344 86 * Frontline Capital Group 56,587 85 * Vical, Inc. 6,070 85 * Exchange Applications, Inc. 78,146 84 * Navarre Corp. 68,586 84 * Open Market, Inc. 71,319 84 * Weirton Steel 131,610 84 * Zamba Corp. 84,293 84 * Bel Fuse, Inc.-Class A 2,773 83 * Medplus, Inc. 42,537 83 * Micrografx, Inc. 66,300 83 * Systemax Inc. 33,952 83 * FirePond, Inc. 72,858 82 First Indiana Corp. 3,151 82 * Blount International, Inc. 32,577 81 * Birmingham Steel Corp. 76,781 80 * Callon Petroleum Co. 6,786 80 * Profile Technologies, Inc. 64,130 80 Leeds Federal Bankshares Inc. 5,034 79 * ScreamingMedia Inc. 26,669 79 * Applied Graphics Technologies, Inc. 64,726 78 * Rare Medium Group, Inc. 189,858 78 * autobytel.com inc. 54,928 77 * GMX Resources Inc. 7,370 77 * Jupiter Media Metrix, Inc. 59,966 77 * Ultra Petroleum Corp. 15,994 77 * Corio, Inc. 60,880 76 * eMerge Interactive, Inc. 65,458 76 * Equitable Bank 3,537 76 * Information Architects Corp. 60,390 76 * Ames Department Stores, Inc. 53,910 75 * Banc Corporation 10,732 75 Farmers Capital Bank Corp. 1,854 75 Richmond County Financial Corp. 2,000 75 * Perceptron, Inc. 55,122 74 * Razorfish Inc. 137,060 74 Rouge Industries Inc. 33,366 74 * Toreador Resources Corp. 13,273 74 * SportsLine.com, Inc. 31,513 72 * American Access Technologies Inc. 70,247 71 Astea International, Inc. 66,248 71 * Exabyte Corp. 74,440 71 Midwest Banc Holdings, Inc. 3,220 71 * Omtool, Ltd. 83,808 71 * Pfsweb Inc. 67,684 71 * Launch Media, Inc. 77,075 70 * Provant, Inc. 38,733 70 * Transgenomic, Inc. 5,659 69 * Z-Tel Technologies, Inc. 46,022 69 * Belmont Bancorp. 18,694 68 * DSL.Net, Inc. 82,929 68 * Neoforma.com, Inc. 79,417 68 * Amtech Systems, Inc. 6,973 67 Fedders Corp. Class A 15,226 67 * Guilford Mills, Inc. 32,244 67 * Navidec, Inc. 65,271 67 * Ostex International, Inc. 37,171 67 * eLEC Communications Corp. 109,175 66 * Hanover Direct, Inc. 228,984 66 * Redhook Ale Brewery, Inc. 34,957 66 * Adams Golf, Inc. 69,466 65 * Candie's, Inc. 24,392 64 * INSpire Insurance Solutions, Inc. 79,419 64 Astro-Med, Inc. 26,147 63 * Drugstore.com, Inc. 55,222 62 * Gallery of History, Inc. 19,754 62 * iBEAM Broadcasting Corp. 160,016 62 * Comdial Corp. 67,088 60 * Impreso, Inc. 32,000 60 * Webco Industries, Inc. 23,123 60 * Advanced Switching Communications, Inc. 20,268 59 * SEEC, Inc. 22,050 59 Sphinx International Inc. 60,500 59 * Tut Systems, Inc. 35,403 59 CFS Bancorp, Inc. 4,098 57 * Genomic Solutions Inc. 11,828 57 * I-Link, Inc. 108,762 57 * Keystone Consolidated Industries, Inc. 33,746 57 * Raindance Communications, Inc. 39,513 57 32 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Air Methods Corp. 14,259 56 * BUY.COM, Inc. 185,279 56 * Carrington Labs Inc. 49,882 56 * Darling International, Inc. 102,344 56 * Interliant Inc. 101,175 56 * JLM Industries, Inc. 21,563 56 * Proxymed Pharmacy, Inc. 72,441 56 * Triton Network Systems, Inc. 70,445 56 Habersham Bancorp 4,391 55 * Talarian Corp. 32,204 55 * GenVec, Inc. 18,537 54 * Oakwood Homes Corp. 10,768 54 * TenFold Corp. 125,043 54 * Virologic, Inc. 24,467 54 * Carmike Cinemas, Inc. Class A 93,489 53 * Encore Acquisition Co. 4,605 53 * Optika Inc. 44,196 53 * Trailer Bridge, Inc. 32,946 53 * Ag Services of America, Inc. 3,903 52 * Egghead.com, Inc. 89,069 52 * Global TeleSystems, Inc. 289,175 52 * Major Automotive Companies Inc. 17,395 52 * Chiquita Brands International, Inc. 35,060 51 * Cidco, Inc. 108,800 51 * ValueClick, Inc. 15,903 51 * Euroweb International Corp. 59,609 50 * Imperial Credit 43,048 50 * Network Engines, Inc. 54,515 50 * Accrue Software, Inc. 103,024 49 * Aradigm Corp. 7,017 49 * ChinaB2Bsourcing.com, Inc. 9,587 49 * Cyberian Outpost, Inc. 83,222 49 * Geerlings & Wade Inc. 30,636 49 * Industri-Matematik International Corp. 26,340 49 * Net2000 Communications, Inc. 44,823 48 * SciQuest.com, Inc. 45,951 48 * Telaxis Communications Corp. 76,210 48 Terra Nitrogen Co., LP 5,982 48 * CAIS Internet, Inc. 63,124 47 * Conrad Industries, Inc. 6,952 47 * Ezenia!, Inc. 102,053 47 * FairMarket, Inc. 47,765 47 * Hathaway Corp. 12,659 47 * Intraware, Inc. 40,196 47 * NX Networks, Inc. 84,590 47 * Organic, Inc. 108,918 47 * Prime Energy Corp. 5,473 47 * YouthStream Media Networks, Inc. 29,500 47 * ZEVEX International, Inc. 12,257 47 * Aames Financial Corp. 34,100 46 * Craig Corp. 22,916 46 * Creative Host Services, Inc. 47,998 46 * Vornado Operating Inc. REIT 33,478 46 * CTC Communications Group, Inc. 14,794 45 * eMachines, Inc. 230,634 45 * IEC Electronics Corp. 37,285 45 * InsWeb Corp. 57,123 45 * Komag, Inc. 135,680 45 * QAD Inc. 12,976 45 * Rocky Mountain Chocolate Factory, Inc. 4,786 45 Second Bancorp, Inc. 1,951 45 * UniView Technologies Corp. 95,320 45 * Eprise Corp. 51,671 44 * On2 Technologies, Inc 87,907 44 * WHX Corp. 22,733 44 * Allied Riser Communications Corp. 79,902 42 * Mediaplex, Inc. 45,658 42 * net.Genesis Corp. 54,424 42 * Viador, Inc. 108,977 41 * Willis Lease Finance Corp. 3,745 41 * Cardima, Inc. 32,685 40 * General DataComm Industries, Inc. 137,083 40 * Lifeway Foods, Inc. 5,403 40 * Netpliance, Inc. 106,969 40 * Accelerated Networks, Inc. 77,466 39 * Chaparral Resources, Inc. 19,536 39 * GoAmerica, Inc. 18,195 39 * Network-1 Security Solutions, Inc. 39,125 39 * Reader's Digest Assn., Inc. Class B 1,500 39 Westfield America, Inc. REIT 2,439 39 * American Real Estate Partners, LP 3,850 38 * Audible, Inc. 55,321 38 * Cylink Corp. 65,368 38 * ICO, Inc. 14,343 38 * Lante Corp. 52,350 38 * Life Financial Corp. 12,201 38 * Lowrance Electronics, Inc. 13,989 38 * USDATA Corp., Inc. 83,046 38 * Virage Logic Corporation 2,357 37 * Esenjay Exploration, Inc. 8,900 36 * Calypte Biomedical Corp. 84,002 35 * Luminant Worldwide Corp. 42,536 35 * Torch Offshore, Inc. 3,500 35 Clarion Commercial Holdings, Inc. 4,203 34 * ILEX Oncology, Inc. 1,144 34 United Financial Corp. 1,950 34 * Badger Paper Mills, Inc. 10,799 33 * EasyLink Services Corp. 59,180 33 * IVAX Diagnostics, Inc. 6,634 33 33 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- Reckson Associates Realty Corp. Class B REIT 1,338 33 * General Bearing Corp. 8,404 32 * HA-LO Industries, Inc. 80,346 32 Medallion Financial Corp. 3,124 32 * Targeted Genetics Corp. 4,879 32 * Community West Bancshares 5,040 31 * CRIIMI MAE, Inc. REIT 50,051 31 * Cybear Group 65,506 31 * 3Dfx Interactive, Inc. 90,500 31 * AppliedTheory Corp. 59,512 30 * Aronex Pharmaceuticals, Inc. 27,219 30 * Autoweb.com, Inc. 64,097 30 Cash America International Inc. 3,528 30 * Network Access Solutions Corp. 97,368 30 * Cellular Technical Services 9,376 29 * Centura Software Corp. 104,283 29 * Netcentives Inc. 56,295 29 * Rainmaker Systems, Inc. 39,608 29 * Wilshire Oil Co. of Texas 7,610 29 * Evolve Software, Inc. 49,150 28 * Merisel, Inc. 14,170 28 * RF Monolithics, Inc. 7,427 28 * Team, Inc. 8,247 27 * Tickets.com, Inc. 71,799 27 * Versata, Inc. 39,630 27 * Ventro Corp. 63,806 26 * EChapman.com, Inc. 11,314 25 * insci-statements.com corp. 87,618 25 * Webvan Group Inc. 309,854 25 * ATEC Group, Inc. 29,661 24 * Adaptive Broadband Corp. 73,190 24 * Beyond.com Corp. 120,189 24 * Crown Crafts, Inc. 91,300 24 * Eco Soil Systems, Inc. 123,806 24 First Midwest Financial, Inc. 1,951 24 * Innovative Medical Services 6,829 24 * La Jolla Pharmaceutical Co. 2,360 24 * MedicaLogic/Medscape, Inc. 41,357 24 * 24/7 Media, Inc. 76,202 24 * Vixel Corp. 9,757 24 Jacksonville Bancorp, Inc. 1,194 23 * Lightspan Inc. 18,368 23 * Magellan Petroleum Corp. 21,466 23 * SPEEDCOM Wireless Corp. 9,444 23 * Epimmune Inc. 5,757 22 * Fresh America Corp. 75,200 22 * Insightful Corp. 8,316 22 * Penn Octane Corp. 6,536 22 Pittsburgh & West Virginia Railroad 2,927 22 * Star Buffet, Inc. 7,414 22 * Dendreon Corp. 1,228 21 First Federal Capital Corp. 1,297 21 * The Fortress Group, Inc. 14,072 21 * Global Sports, Inc. 2,673 21 Stifel Financial Corp. 1,613 20 * Continucare Corp. 63,419 19 * Interstate Hotels Corp. REIT 6,763 19 * Lanvision Systems, Inc. 13,075 19 * Total Entertainment Restaurant Corp. 6,701 19 * VaxGen, Inc. 1,024 19 * GC Cos. 33,164 18 * Integra, Inc. 25,271 18 * MAII Holdings, Inc. 5,688 18 * Prime Retail, Inc. REIT 67,714 18 * Alphanet Solutions, Inc. 7,707 17 Commonwealth Bancorp 976 17 * Cypress Communications, Inc. 56,027 17 * Diedrich Coffee, Inc. 4,175 17 Casual Male Corp. 106,291 16 * e.spire Communications, Inc. 158,400 16 * Medinex Systems, Inc. 63,700 16 * Onvia.com, Inc. 21,658 15 * Viatel, Inc. 164,654 15 * Avado Brands, Inc. 28,362 14 * Cardinal Financial Corp. 2,407 14 * FiberNet Telecom Group, Inc. 12,098 14 * Frisby Technologies, Inc. 4,195 14 * Internet Pictures Corp. 57,208 14 * The Meridian Resource Corp. 1,951 14 * Royal Precision Inc. 5,659 14 * adam.com Inc. 6,253 13 Bandag, Inc. Class A 538 13 * Calico Commerce Inc. 44,195 13 * Direct Insite Corp. 4,799 13 * I-Link Inc. Series N Pfd. 69 13 * Innovative Gaming Corp. 9,803 13 * IntegraMed America, Inc. 2,105 13 * LecTec Corp. 5,683 13 * Merry Land Properties, Inc. REIT 1,705 13 * PeoplePC Inc. 64,058 13 * Aviation General Inc. 27,902 12 * Breakaway Solutions, Inc. 68,589 12 * Driversshield.com Corp. 9,268 12 * ImageWare Systems, Inc. 2,500 12 * Rhythms NetConnections Inc. 111,740 12 * Alterra Healthcare Corp. 48,194 11 * Data Race, Inc. 109,495 11 * Frontline Communications Corp. 52,685 11 * Horizon Group Properties, Inc. REIT 4,176 11 * Integral Vision, Inc. 61,916 11 * Lechters Corp. 140,300 11 * Teligent, Inc. 56,900 11 * USABancShares.com, Inc. 11,706 11 * The A Consulting Team, Inc. 18,542 10 34 - ------------------------------------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE^ (000) (000) - ------------------------------------------------------------------------------------------------------------- * Aqua Care Systems, Inc. 5,172 10 * Energy Search, Inc. 1,270 10 * Insilco Holding Corp. 401 10 * iPrint Technologies Inc. 16,003 10 * Metrocall, Inc. 197,700 10 * Pierre Foods, Inc. 8,293 10 * PowerCerv Corp. 2,844 10 * Verado Holdings, Inc. Class B 44,876 10 * Vermont Teddy Bear Co., Inc. 2,761 10 * The viaLink Co. 6,333 10 * Detwiler, Mitchell & Co. 3,135 9 * Entrada Networks, Inc. 13,242 9 * IGI, Inc. 16,672 9 National Technical Systems, Inc. 4,293 9 * Triangle Pharmaceuticals, Inc. 1,951 9 * Ascent Pediatrics, Inc. 16,700 8 * Corrpro Cos., Inc. 3,200 8 * E-Stamp Corp. 44,115 8 * ILX Resorts Inc. 1,861 8 * ImproveNet, Inc. 23,121 8 * PASW, Inc. 8,781 8 * Sanders Morris Harris Group Inc. 1,304 8 * Starcraft Corp. 5,500 8 The Warnaco Group, Inc. Class A 147,309 8 * Frontstep, Inc. 1,952 7 * Leapnet, Inc. 5,953 7 * New World Coffee-Manhattan Bagel, Inc. 5,851 7 * Tandycrafts, Inc. 127,500 7 * TechSys, Inc. 4,877 7 * Verso Technologies, Inc. 7,806 7 * Amresco Inc. 7,259 6 * Avenue A, Inc. 4,490 6 * Aztec Technology Partners, Inc. 102,600 6 * Cytrx Corp. 5,759 6 * Gensym Corp. 5,851 6 * Marketing Specialists Corp. 270,500 6 * Electronic Retailing Systems International, Inc. 35,000 5 * Magnum Sports & Entertainment, Inc. 6,046 5 * Source Media, Inc. 90,100 5 * Waste Systems International, Inc. 233,500 5 * Webb Interactive Services, Inc. 2,000 5 * Zengine, Inc. 1,952 5 * Aerovox, Inc. 7,024 4 * ARTISTdirect, Inc. 6,340 4 * CTI Industries Corp. 2,440 4 * Cornerstone Internet Solutions Co. 95,900 4 * DiaSys Corp. 5,071 4 * FirstCity Financial Corp. 2,929 4 * Muse Technologies, Inc. 39,300 4 Datawatch Corp. 5,849 3 * enherent Corp. 31,489 3 * Florsheim Group Inc. 2,928 3 * Industrial Holdings, Inc. 1,772 3 * Matritech Inc. 1,000 3 * PartsBase.com, Inc. 2,538 3 * Physiometrix, Inc. 1,000 3 * ProcureNet, Inc. 22,500 3 * Radio One, Inc. 116 3 * SteelCloud Company 4,879 3 * Alanco Technologies, Inc. 1,687 2 * Caliber Learning Network, Inc. 158,046 2 * Elastic Networks Inc. 1,170 2 * Go2Pharmacy, Inc. 1,950 2 * Heartland Technology, Inc 7,517 2 Moyco Technologies, Inc. 1,761 2 * The Penn Traffic Co. 447 2 * TurboChef, Inc. 973 2 * Video Network Communications, Inc. 1,000 2 * Ashford.com, Inc. 6,541 1 * Computer Learning Centers, Inc. 81,216 1 * FiNet.com, Inc. 1,015 1 * Frontier Insurance Group, Inc. 30,280 1 * Gradco Systems, Inc. 2,488 1 * Inland Resources Inc. 500 1 * The Knot, Inc. 2,635 1 * Liberty Satellite & Technology, Inc. Class B 420 1 * Maxicare Health Plans, Inc. 25,275 1 * News Communications, Inc. 501 1 * Precision Auto Care, Inc. 1,600 1 * Segue Software, Inc. 400 1 * USOL Holdings, Inc. 974 1 * Vizacom Inc. 1,362 1 * ZeroPlus.com, Inc. 41,169 1 * Empire of Carolina, Inc. 8,900 0 * Fusion Networks Holdings, Inc. 3,000 0 MascoTech Inc. 68,015 0 * MyTurn.com, Inc. 27,500 0 * Penncorp Financial Group Inc. 43,500 0 * Quokka Sports Inc. 1,280 0 * StreamLogic Corp. 34,100 0 * Wilshire Financial Services Group Inc. 64 0 - ------------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $22,036,201) 23,955,315 - ------------------------------------------------------------------------------------------------------------- 35 - ------------------------------------------------------------------------------------------------------------- FACE MARKET TOTAL STOCK MARKET AMOUNT VALUE^ INDEX FUND (000) (000) - ------------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.0%)(1) - ------------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 4.14%, 7/26/2001 $ 10,000 9,976 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 4.07%, 7/2/2002 74,019 74,019 4.07%, 7/2/2002--Note F 165,713 165,713 - ------------------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $249,703) 249,708 - ------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.7%) (Cost $22,285,904) 24,205,023 - ------------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.7%) - ------------------------------------------------------------------------------------------------------------- Other Assets--Note B 70,220 Liabilities--Note F (236,077) --------- (165,857) - ------------------------------------------------------------------------------------------------------------- NET ASSETS (100%) $24,039,166 ============================================================================================================= ^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 0.7%, respectively, of net assets. See Note E in Notes to Financial Statements. (2)Security has been segregated as initial margin for open futures contracts. ADR--American Depositary Receipt. REIT--Real Estate Investment Trust. - ------------------------------------------------------------------------------------------------------------- AMOUNT (000) - ------------------------------------------------------------------------------------------------------------- AT JUNE 30, 2001, NET ASSETS CONSISTED OF: - ------------------------------------------------------------------------------------------------------------- Paid-in Capital--Note D $22,221,322 Overdistributed Net Investment Income (4,042) Accumulated Net Realized Losses--Note D (97,004) Unrealized Appreciation (Depreciation)--Note E Investment Securities 1,919,119 Futures Contracts (229) - ------------------------------------------------------------------------------------------------------------- NET ASSETS $24,039,166 - ------------------------------------------------------------------------------------------------------------- Investor Shares--Net Assets Applicable to 581,724,144 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $15,969,092 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INVESTOR SHARES $27.45 ============================================================================================================= Admiral Shares--Net Assets Applicable to 125,697,246 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,450,637 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- ADMIRAL SHARES $27.45 ============================================================================================================= Institutional Shares--Net Assets Applicable to 165,530,230 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $4,544,187 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INSTITUTIONAL SHARES $27.45 ============================================================================================================= VIPER Shares--Net Assets Applicable to 667,095 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $75,250 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- VIPER SHARES $112.80 =============================================================================================================
(C)2001 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. F852 082001 36 Vanguard(R) U.S. STOCK INDEX FUNDS MID-CAPITALIZATION PORTFOLIOS SEMIANNUAL REPORT JUNE 30, 2001 STOCK Included within this report: VANGUARD EXTENDED MARKET INDEX FUND VANGUARD MID-CAP INDEX FUND [PHOTO OF SHIP/COMPASS] [THE VANGUARD GROUP(R) LOGO] WHY COSTS MATTER As the ups and downs of the financial markets remind us, investors cannot control or predict investment returns. What you can control is how much you invest, how much explicit risk you take, and the investment costs you incur. Only you can decide how much to invest. But Vanguard can help you to manage the risk and costs of your investment program. Our lineup of funds provides you with the flexibility to create a portfolio that reflects your goals and risk tolerance. All of our funds--whether indexed or actively managed--follow disciplined investment strategies. Vanguard funds also operate at cost, which means substantial savings for you. In 2000, the average expense ratio (operating costs as a percentage of average net assets) for our funds was 0.27%, or $2.70 per $1,000 in assets. This was a fraction of the 1.30% ($13 per $1,000 in assets) expense ratio for the average fund, according to Lipper Inc. Costs matter because they are subtracted from a fund's gross returns. The lower your investment expenses, the greater the portion of the market's return you receive. At Vanguard, we know that it's your money we're managing, and that our duty is to manage it responsibly and economically. SUMMARY * Vanguard Extended Market Index Fund returned -3.7% during the six months ended June 30, 2001, a difficult period for stocks. * Vanguard Mid-Cap Index Fund returned 1.0%. * Mid- and small-capitalization stocks outpaced their large-cap counterparts. CONTENTS 1 Letter from the Chairman 5 Fund Profiles 7 Glossary of Investment Terms 8 Performance Summaries 9 Financial Statements 56 Advantages of Vanguard.com LETTER from the Chairman Fellow Shareholder, The overall stock market declined during the six months ended June 30, the first half of fiscal 2001 for the Vanguard mid-capitalization stock index funds. Large-cap stocks fell, while mid- and small-caps recorded mixed results. VANGUARD EXTENDED MARKET INDEX FUND declined -3.7%, but VANGUARD MID-CAP INDEX FUND gained 1.0%. TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2001 - ------------------------------------------------------------- VANGUARD EXTENDED MARKET INDEX FUND Investor Shares -3.7% Admiral Shares -3.7 Institutional Shares -3.7 Average Mid-Cap Core Fund* -0.4 Wilshire 4500 Index -4.0 - ------------------------------------------------------------- VANGUARD MID-CAP INDEX FUND Investor Shares 1.0% Institutional Shares 1.1 Average Mid-Cap Core Fund* -0.4 S&P MidCap 400 Index 1.0 - ------------------------------------------------------------- *Derived from data provided by Lipper Inc. Both funds once again met their investment objectives by closely tracking their unmanaged target indexes during the period. As shown in the adjacent table, the Extended Market Index Fund edged its benchmark, the Wilshire 4500 Completion Index, while the Mid-Cap Index Fund matched the return of the Standard & Poor's MidCap 400 Index. Our performance was so-so compared with the return of the average mid-cap core mutual fund--the Mid-Cap Index Fund did better, but the Extended Market Index Fund lagged. The table also presents total returns (capital change plus reinvested dividends) for our funds' Admiral(TM) and Institutional Shares. The funds' returns reflect the changes in their net asset values during the six months, as well as distributions from net realized capital gains. The table on page 4 includes per-share figures for each fund. FINANCIAL MARKETS IN REVIEW Most reports suggested that the pace of U.S. economic growth slowed markedly during the first half of 2001, compared with the same period a year earlier. As the economy slowed, the Federal Reserve Board's Open Market Committee responded with six cuts in short-term interest rates, including two surprise cuts made between regularly scheduled meetings. During the six months ended June 30, the Fed sliced 275 basis points (2.75 percentage points) off the cost of short-term borrowing. 1 The Fed explained that it hoped to stimulate capital spending, which declined sharply during the half-year. Corporate America made especially sharp cuts in spending on information technology--investments that had helped to power the U.S. economy's rapid growth during the late 1990s. Big industrial manufacturers struggled, too, as a strong dollar and weak global economy pinched worldwide spending on capital goods. MARKET BAROMETER Total Returns Periods Ended June 30, 2001 Six One Five Months Year Years* - -------------------------------------------------------------------------------- STOCKS S&P 500 INDEX (Large-caps) -6.7% -14.8% 14.5% RUSSELL 2000 INDEX (Small-caps) 6.9 0.6 9.6 WILSHIRE 5000 INDEX (Entire market) -5.8 -15.4 13.1 MSCI EAFE INDEX (International) -14.4 -23.3 3.2 - -------------------------------------------------------------------------------- BONDS LEHMAN AGGREGATE BOND INDEX (Entire market) 3.6% 11.2% 7.5% LEHMAN 10 YEAR MUNICIPAL BOND INDEX 2.8 9.5 6.6 SALOMON SMITH BARNEY 3-MNNTH U.S. TREASURY BILL INDEX 2.5 5.6 5.2 ================================================================================ CPI CONSUMER PRICE INDEX 2.3% 3.2% 2.6% - -------------------------------------------------------------------------------- *Annualized. In sharp contrast with the industrial economy, the consumer economy proved unexpectedly resilient. Housing starts and sales remained strong, and spending at the nation's malls and shopping centers sufficed to keep the economy out of recession. The job market weakened somewhat, as initial claims for unemployment benefits rose, and several high-profile employers announced layoffs. Still, consumers remained generally confident about the economy's prospects. Corporate profits proved less resilient, following the bleaker fortunes of the industrial economy. A spate of earnings warnings and shortfalls prolonged the U.S. stock market's struggles, especially among large-capitalization growth stocks. But even as large, highly valued stocks took down the broad market indexes, smaller stocks and value stocks--those issues with low prices relative to fundamental measures such as earnings and book value--turned in relatively strong performances. For example, small value stocks, as measured by the Russell 2000 Value Index, returned 12.7% for the six-month period. Bonds delivered solid results. The Lehman Brothers Aggregate Bond Index, a measure of the performance of all taxable, investment-grade bonds regularly traded in the United States, returned 3.6% for the half-year. PERFORMANCE OVERVIEW As noted, our mid-cap stock index funds met their investment objectives during the six months ended June 30. Unfortunately, in tracking its unmanaged benchmark, Vanguard Extended Market Index Fund declined -3.7% during the period. Vanguard Mid-Cap Index Fund fared better, returning 1.0%. 2 Although many investors believe index funds are unmanaged, each index fund has an investment adviser responsible for the fund's efforts to match the benchmark. Sticking closely to the index--while accounting for the fund's daily cash flows, as well as for additions to and deletions from the benchmark-- is a complex feat. We have obtained advisory services for our stock index funds from Vanguard's Quantitative Equity Group since their inceptions, and the considerable skill of this group is reflected in the half-year results for our mid-cap funds. - ----------------------- THE ADVISORY SKILL OF OUR QUANTITATIVE EQUITY GROUP MADE UP FOR THE FUNDS' OPERATING AND TRANSACTION COSTS. - ----------------------- The return of the Extended Market Index Fund (net of expenses) was 0.3 percentage point better than the result of the Wilshire 4500 Index, while the return of the Mid-Cap Index Fund matched that of the S&P MidCap 400 Index. Because the indexes exist only on paper, they incur no costs. Mutual funds, by contrast, carry expense ratios--annualized operating costs as a percentage of average net assets (0.25 percentage point, or $2.50 per $1,000 in assets, in the case of our Investor Shares)--and incur transaction costs when buying and selling securities. To overcome these hurdles, as the Quantitative Equity Group has often done, is impressive indeed. IN SUMMARY The weakness in economic activity, corporate profits, and stock prices experienced so far this year is the kind of rough weather that darkens the financial markets from time to time. Although such stormy seasons are to be expected, their timing and duration are impossible to predict. Successful investors do not avoid difficult periods. Instead, they maintain diversified and balanced financial plans that can withstand them. Such a portfolio includes a mix of stock funds, bond funds, and cash investments appropriate for your goals, time horizon, and financial circumstances. We thank you for entrusting your hard-earned money to Vanguard. Sincerely, /S/ JOHN J. BRENNAN July 12, 2001 [PHOTO OF JOHN J. BRENNAN] JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER 3 FUND STATISTICS NET ASSET VALUE SIX MONTHS ENDED PER SHARE JUNE 30, 2001 ------------------------ ------------------------ U.S. Stock DECEMBER 31, JUNE 30, INCOME CAPITAL GAINS Index Fund 2000 2001 DIVIDENDS DISTRIBUTIONS - -------------------------------------------------------------------------------- Extended Market Investor Shares $26.61 $24.70 -- $0.81 Admiral Shares 26.61 24.71 -- 0.81 Institutional Shares 26.62 24.72 -- 0.81 - -------------------------------------------------------------------------------- Mid-Cap Investor Shares $12.21 12.09 -- 0.21 Institutional Shares 12.23 12.12 -- 0.21 - -------------------------------------------------------------------------------- 4 FUND PROFILE As of June 30, 2001 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 7. - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Number of Stocks 3,053 5,843 6,334 Median Market Cap $1.9B $1.9B $35.0B Price/Earnings Ratio 33.3x 33.3x 27.3x Price/Book Ratio 2.4x 2.4x 3.5x Yield Investor Shares 0.9% 1.0% 1.2% Admiral Shares 0.9% 1.0% 1.2% Institutional Shares 1.0% 1.0% 1.2% Return on Equity 14.3% 14.3% 23.1% Earnings Growth Rate 15.2% 15.2% 15.8% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 22%** -- -- Expense Ratio Investor Shares 0.25%** -- -- Admiral Shares 0.20%** -- -- Institutional Shares 0.10%** -- -- Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) Berkshire Hathaway Inc. Class A 3.6% (conglomerate) Cox Communications, Inc. Class A 0.9 (utilities) eBay Inc. 0.6 (commercial services) General Motors Corp. Class H 0.6 (telecommunications) Gemstar-TV Guide International, Inc. 0.6 (media) United Parcel Service, Inc. 0.5 (transportation) CIENA Corp. 0.4 (telecommunications) VeriSign, Inc. 0.4 (software) BEA Systems, Inc. 0.4 (software) Genzyme Corp. 0.4 (pharmaceuticals) - -------------------------------------------------------------------------------- Top Ten 8.4% - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - -------------------------------------------------------------------------------- R-SQUARED 1.00 1.00 0.77 1.00 BETA 1.00 1.00 1.30 1.00 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% of common stocks) TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Auto & Transportation 2.8% 2.8% 2.1% Consumer Discretionary 19.0 19.0 14.4 Consumer Staples 2.5 2.5 5.8 Financial Services 20.8 20.8 20.0 Health Care 13.2 13.2 13.2 Integrated Oils 0.2 0.2 3.5 Other Energy 4.1 4.1 2.6 Materials & Processing 5.0 5.0 3.1 Producer Durables 4.7 4.7 3.5 Technology 16.5 16.5 17.7 Utilities 6.6 6.6 8.4 Other 4.6 4.6 5.7 - -------------------------------------------------------------------------------- - ------------------------------------ INVESTMENT FOCUS [GRAPHIC] MARKET CAP MEDIUM STYLE BLEND - ------------------------------------ *Wilshire 4500 Completion Index. **Annualized. 5 FUND PROFILE As of June 30, 2001 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 7. - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Number of Stocks 405 400 6,334 Median Market Cap $2.7B $2.7B $35.0B Price/Earnings Ratio 23.5x 23.5x 27.3x Price/Book Ratio 2.8x 2.8x 3.5x Yield Investor Shares 0.8% 1.0% 1.2% Institutional Shares 1.0% 1.0% 1.2% Return on Equity 16.8% 16.8% 23.1% Earnings Growth Rate 15.5% 15.5% 15.8% Foreign Holdings 0.4% 0.4% 0.0% Turnover Rate 19%** -- -- Expense Ratio Investor Shares 0.25%** -- -- Institutional Shares 0.10%** -- -- Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - -------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) Genzyme Corp. 1.3% (pharmaceuticals) IDEC Pharmaceuticals Corp. 1.1 (biotechnology) SunGard Data Systems, Inc. 0.9 (financial services) IVAX Corp. 0.9 (pharmaceuticals) Millennium Pharmaceuticals, Inc. 0.9 (biotechnology) Electronic Arts Inc. 0.9 (consumer electronics) M & T Bank Corp. 0.8 (banks) Quest Diagnostics, Inc. 0.8 (health care) NVIDIA Corp. 0.7 (computer technology) DST Systems, Inc. 0.7 (financial services) - -------------------------------------------------- Top Ten 9.0% - -------------------------------------------------- - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - -------------------------------------------------------------------------------- R-SQUARED 1.00 1.00 0.81 1.00 BETA 1.00 1.00 1.03 1.00 - -------------------------------------------------------------------------------- - ---------------------------------------------------------------- SECTOR DIVERSIFICATION (% of common stocks) TARGET WILSHIRE FUND INDEX* 5000 - ---------------------------------------------------------------- Auto & Transportation 2.9% 2.9% 2.1% Consumer Discretionary 16.5 16.5 14.4 Consumer Staples 3.8 3.7 5.8 Financial Services 21.5 21.5 20.0 Health Care 13.8 13.8 13.2 Integrated Oils 0.4 0.4 3.5 Other Energy 5.2 5.2 2.6 Materials & Processing 6.1 6.2 3.1 Producer Durables 4.5 4.4 3.5 Technology 14.7 14.7 17.7 Utilities 8.8 8.8 8.4 Other 1.8 1.9 5.7 - ---------------------------------------------------------------- - ----------------------------- INVESTMENT FOCUS [GRAPHIC] MARKET CAP MEDIUM STYLE BLEND - ----------------------------- *S&P MidCap 400 Index. **Annualized. [PHOTO OF COMPUTER] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 6 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 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 the fund's trading activity. 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. - -------------------------------------------------------------------------------- 7 PERFORMANCE SUMMARIES 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. EXTENDED MARKEY INDEX FUND - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) December 31, 1990--June 30, 2001 [BAR CHART SCALE -30 TO 60%] EXTENDED MARKET INDEX FUND INVESTOR SHARES WILSHIRE 4500 INDEX -------------------------- ------------------- 1991 41.8 46.1 1992 12.5 18.4 1993 14.5 18.9 1994 -1.8 -1.8 1995 33.8 28.4 1996 17.6 16.5 1997 26.7 22.4 1998 8.3 -2.5 1999 36.2 21.3 2000 -15.5 -3.0 2001* -3.7 6.9 - -------------------------------------------------------------------------------- *Six months ended June 30, 2001. See Financial Highlights table on page 48 for dividend and capital gains information for the past five years. - -------------------------------------------------------------------------------- MID-CAP INDEX FUND - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) May 21, 1998-June 30, 2001 [BAR CHART SCALE -30 TO 60%] MIDCAP INDEX FUND INVESTOR SHARES S&P MIDCAP 400 INDEX ------------------ -------------------- 1998 8.6 7.9 1999 15.3 14.7 2000 18.1 17.5 2001* 1.0 1.0 - -------------------------------------------------------------------------------- *Six months ended June 30, 2001. See Financial Highlights table on page 50 for dividend and capital gains information since inception. 8 FINANCIAL STATEMENTS June 30, 2001 (unaudited) 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 (99.0%)(1) - -------------------------------------------------------------------------------------------------------------------- * Berkshire Hathaway Inc. Class A 2,642 $ 183,354 * Cox Communications, Inc. Class A 999,459 44,275 * eBay Inc. 474,600 32,504 * General Motors Corp. Class H 1,527,239 30,926 * Gemstar-TV Guide International, Inc. 722,495 30,777 United Parcel Service, Inc. 434,422 25,109 * CIENA Corp. 573,580 21,795 * VeriSign, Inc. 352,835 21,173 * BEA Systems, Inc. 689,300 21,167 * Genzyme Corp. 340,340 20,760 The Goldman Sachs Group, Inc. 235,500 20,205 * IDEC Pharmaceuticals Corp. 262,190 17,747 * Juniper Networks, Inc. 563,000 17,508 * Brocade Communications Systems, Inc. 397,100 17,467 Equity Office Properties Trust REIT 543,519 17,191 * Immunex Corp. 951,000 16,879 * Genentech, Inc. 295,100 16,259 * USA Networks, Inc. 540,918 15,247 * i2 Technologies, Inc. 718,540 14,226 * SunGard Data Systems, Inc. 468,818 14,068 * IVAX Corp. 350,750 13,678 * Cablevision Systems Corp. Class B 232,500 13,600 * Millennium Pharmaceuticals, Inc. 381,000 13,555 * Electronic Arts Inc. 233,700 13,530 * EchoStar Communications Corp. 415,800 13,479 * Human Genome Sciences, Inc. 220,700 13,296 Equity Residential Properties Trust REIT 234,469 13,258 Intimate Brands, Inc. 861,300 12,979 M & T Bank Corp. 170,338 12,860 * CNA Financial Corp. 317,015 12,505 * Quest Diagnostics, Inc. 165,000 12,349 * Charter Communications, Inc. 500,258 11,680 * NVIDIA Corp. 122,900 11,398 * DST Systems, Inc. 215,900 11,377 Telephone & Data Systems, Inc. 103,328 11,236 * Atmel Corp. 818,092 11,035 * Adelphia Communications Corp. Class A 269,158 11,034 * Openwave Systems Inc. 296,955 10,303 * PanAmSat Corp. 260,300 10,119 * Rational Software Corp. 357,342 10,022 R.J. Reynolds Tobacco Holdings, Inc. 179,000 9,772 Marshall & Ilsley Corp. 180,909 9,750 * Gilead Sciences, Inc. 166,432 9,684 9 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Kraft Foods Inc. 308,950 $ 9,576 Total System Services, Inc. 336,864 9,566 * Weatherford International, Inc. 199,270 9,564 * Agere Systems Inc. 1,271,642 9,536 E.W. Scripps Co. Class A 137,269 9,471 * Andrx Corp.-Andrx Group 122,900 9,462 * Laboratory Corp. of America Holdings 122,728 9,437 Estee Lauder Cos. Class A 218,958 9,436 Washington Post Co. Class B 16,420 9,424 UnionBanCal Corp. 278,510 9,385 * BroadWing Inc. 382,506 9,351 * Jones Apparel Group, Inc. 211,045 9,116 SEI Corp. 190,478 9,028 * Health Management Associates Class A 428,298 9,010 Simon Property Group, Inc. REIT 300,112 8,993 * Amazon.com, Inc. 630,900 8,926 North Fork Bancorp, Inc. 285,734 8,857 National Commerce Financial Corp. 359,944 8,771 * SPX Corp. 69,758 8,731 * U.S. Cellular Corp. 150,350 8,667 * Fox Entertainment Group, Inc. Class A 309,800 8,642 * Apollo Group, Inc. Class A 201,843 8,567 * Metro-Goldwyn-Mayer Inc. 377,635 8,552 * Sonus Networks, Inc. 357,250 8,344 * MGM Mirage, Inc. 277,210 8,304 * BJ Services Co. 289,100 8,204 * International Game Technology 129,942 8,132 * Cadence Design Systems, Inc. 433,032 8,066 * Peregrine Systems, Inc. 275,136 7,978 * Microchip Technology, Inc. 231,029 7,912 Popular, Inc. 238,388 7,852 First Tennessee National Corp. 225,800 7,838 Diamond Offshore Drilling, Inc. 234,300 7,744 Family Dollar Stores, Inc. 301,700 7,733 * Abercrombie & Fitch Co. 173,600 7,725 * RF Micro Devices, Inc. 287,200 7,697 * Express Scripts 137,600 7,572 Harcourt General, Inc. 130,000 7,565 * AmeriCredit Corp. 145,433 7,555 * American Standard Cos., Inc. 124,900 7,506 Dime Bancorp, Inc. 201,046 7,489 Royal Caribbean Cruises, Ltd. 338,100 7,475 Transatlantic Holdings, Inc. 60,100 7,363 Golden State Bancorp Inc. 237,605 7,318 TECO Energy, Inc. 234,600 7,155 Spieker Properties, Inc. REIT 118,000 7,074 * Westwood One, Inc. 191,000 7,038 * Smurfit-Stone Container Corp. 428,368 6,940 ProLogis Trust REIT 305,357 6,938 * AutoNation, Inc. 595,058 6,903 * BJ's Wholesale Club, Inc. 128,118 6,824 Green Point Financial Corp. 177,400 6,812 * Abgenix, Inc. 151,000 6,795 * ONI Sytems Corp. 239,573 6,684 * Protein Design Labs, Inc. 76,900 6,672 * Invitrogen Corp. 92,176 6,618 * Caremark Rx, Inc. 401,572 6,606 Radian Group, Inc. 162,902 6,589 * SCI Systems, Inc. 258,368 6,588 * HomeStore.com, Inc. 187,700 6,562 Federated Investors, Inc. 203,700 6,559 * American Tower Corp. Class A 315,740 6,526 DPL Inc. 224,192 6,493 * LAM Research Corp. 217,205 6,440 AVX Corp. 305,900 6,424 Boston Properties, Inc. REIT 156,100 6,384 TCF Financial Corp. 137,442 6,365 * Affiliated Computer Services, Inc. Class A 88,463 6,361 A.G. Edwards & Sons, Inc. 140,922 6,341 * Park Place Entertainment 522,000 6,316 * Waters Corp. 228,300 6,303 ServiceMaster Co. 524,150 6,290 * Lamar Advertising Co. Class A 142,750 6,281 Hillenbrand Industries, Inc. 109,650 6,262 * ImClone Systems, Inc. 117,500 6,204 Mylan Laboratories, Inc. 218,900 6,158 Apartment Investment & Management Co. Class A REIT 127,401 6,141 * Crown Castle International Corp. 374,100 6,135 * CDW Computer Centers, Inc. 154,038 6,117 Public Storage, Inc. REIT 204,900 6,075 UtiliCorp United, Inc. 198,329 6,059 * Cephalon, Inc. 85,900 6,056 * Finisar Corp. 323,694 6,047 * Emulex Corp. 149,100 6,024 * TeleCorp PCS, Inc. 310,590 6,016 Old Republic International Corp. 207,141 6,007 * Rite Aid Corp. 666,448 5,998 * BISYS Group, Inc. 101,100 5,965 Vornado Realty Trust REIT 152,496 5,953 * Republic Services, Inc. Class A 299,473 5,945 * Integrated Device Technology Inc. 187,469 5,941 Hormel Foods Corp. 243,500 5,927 * Amkor Technology, Inc. 267,068 5,902 * ICOS Corp. 92,200 5,901 * Macrovision Corp. 86,100 5,898 Ultramar Diamond Shamrock Corp. 124,806 5,897 * Extreme Networks, Inc. 199,300 5,879 Santa Fe International Corp. 202,500 5,873 10 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Neuberger Berman Inc. 86,100 $ 5,855 Compass Bancshares Inc. 220,847 5,852 * Quest Software, Inc. 154,400 5,829 Murphy Oil Corp. 79,030 5,817 * Symantec Corp. 132,689 5,797 * NTL Inc. 480,681 5,792 * Global Marine, Inc. 310,700 5,788 American Water Works Co., Inc. 173,774 5,729 ENSCO International, Inc. 244,100 5,712 Legg Mason Inc. 113,798 5,663 * Lincare Holdings, Inc. 188,400 5,654 Sovereign Bancorp, Inc. 432,800 5,626 The PMI Group Inc. 77,150 5,606 Duke Realty Corp. 224,362 5,575 * Vishay Intertechnology, Inc. 241,822 5,562 Avalonbay Communities, Inc. REIT 118,221 5,527 * Hispanic Broadcasting Corp. 192,000 5,508 * BHC Communications, Inc. Class A 39,415 5,478 Expeditors International of Washington, Inc. 91,000 5,460 Banknorth Group, Inc. 240,774 5,454 * MiniMed, Inc. 113,500 5,448 * Sepracor Inc. 136,600 5,437 Archstone Communities Trust REIT 209,921 5,412 * Western Wireless Corp. Class A 125,800 5,409 * CSG Systems International, Inc. 92,900 5,388 * Dollar Tree Stores, Inc. 192,918 5,371 * Cypress Semiconductor Corp. 224,800 5,361 Allmerica Financial Corp. 93,197 5,359 * Smith International, Inc. 89,000 5,331 * Micrel, Inc. 161,300 5,323 * Cooper Cameron Corp. 95,100 5,307 Kimco Realty Corp. REIT 111,050 5,258 * Vertex Pharmaceuticals, Inc. 106,000 5,247 Northeast Utilities 252,502 5,239 * Synopsys, Inc. 107,408 5,197 SCANA Corp. 182,904 5,194 Reader's Digest Assn., Inc. Class A 180,300 5,184 Ocean Energy, Inc. 296,542 5,175 * L-3 Communications Holdings, Inc. 67,200 5,127 * AmeriSource Health Corp. 92,608 5,121 McCormick & Co., Inc. 120,583 5,067 Host Marriott Corp. REIT 403,838 5,056 The Timber Co. 141,300 5,051 * Continental Airlines, Inc. Class B 101,900 5,019 Hibernia Corp. Class A 279,281 4,971 Galileo International, Inc. 152,900 4,969 * Oxford Health Plan 173,000 4,948 * McLeodUSA, Inc. Class A 1,074,226 4,931 Wisconsin Energy Corp. 206,861 4,917 Mercantile Bankshares Corp. 123,725 4,841 Talbots Inc. 110,600 4,839 * Ceridian Corp. 252,410 4,839 * Universal Health Services Class B 105,646 4,807 Jack Henry & Associates 154,800 4,799 Astoria Financial Corp. 86,553 4,760 * CheckFree Corp. 135,509 4,752 Crescent Real Estate, Inc. REIT 193,100 4,744 IBP, Inc. 187,000 4,722 Lennar Corp. 111,039 4,630 Avnet, Inc. 206,448 4,629 * Lattice Semiconductor Corp. 189,600 4,626 * Cytyc Corp. 200,300 4,617 * Enzon, Inc. 73,600 4,600 * Infonet Services Corp. 539,500 4,586 Bergen Brunswig Corp. Class A 237,854 4,572 Unitrin, Inc. 118,940 4,567 * Apogent Technologies Inc. 185,600 4,566 Waddell & Reed Financial, Inc. 143,350 4,551 * ChoicePoint Inc. 107,957 4,540 ICN Pharmaceuticals, Inc. 142,127 4,508 * Barnes & Noble, Inc. 114,500 4,506 * Brinker International, Inc. 173,694 4,490 * Nextel Partners, Inc. 289,180 4,488 * Sycamore Networks, Inc. 479,200 4,466 * Devry, Inc. 123,100 4,446 * Community Health Systems, Inc. 150,000 4,425 * TIBCO Software Inc. 345,900 4,417 * Chris-Craft Industries, Inc. 61,496 4,391 * WebMD Corporation 626,865 4,388 * Intersil Corp. 120,000 4,368 Wesco Financial Corp. 12,538 4,362 * Iron Mountain, Inc. 97,200 4,358 Sonoco Products Co. 175,093 4,356 * Barr Labs Inc. 61,650 4,341 Beckman Coulter, Inc. 105,900 4,321 Energy East Corp. 206,400 4,316 * American Eagle Outfitters, Inc. 122,103 4,303 Eaton Vance Corp. 122,700 4,270 Hudson City Bancorp, Inc. 184,700 4,265 * Entercom Communications Corp. 79,400 4,257 iStar Financial Inc. 150,294 4,238 Associated Banc-Corp. 117,120 4,215 Cabot Corp. 116,932 4,212 Viad Corp. 159,484 4,210 * Arrow Electronics, Inc. 173,000 4,202 * Foundry Networks, Inc. 209,300 4,182 * KPMG Consulting Inc. 272,400 4,181 BancWest Corp. 121,428 4,177 * Triton PCS, Inc. 101,700 4,170 11 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- C.H. Robinson Worldwide, Inc. 148,500 $ 4,142 Protective Life Corp. 120,300 4,135 * Varian Medical Systems, Inc. 57,800 4,133 * Applera Corp.-Celera Genomics Group 104,100 4,129 * Trigon Healthcare, Inc. 63,662 4,128 Fastenal Co. 66,600 4,128 * Retek Inc. 85,546 4,101 * First Health Group Corp. 169,760 4,095 Martin Marietta Materials, Inc. 82,399 4,078 Mitchell Energy & Development Corp. Class A 88,000 4,070 Commerce Bancshares, Inc. 110,257 4,068 Diebold, Inc. 126,026 4,052 * Sicor, Inc. 174,407 4,029 Alliant Energy Corp. 138,199 4,029 DENTSPLY International Inc. 90,700 4,023 Tidewater Inc. 106,400 4,011 The St. Joe Co. 148,697 3,997 Lafarge Corp. 119,099 3,991 * Dun & Bradstreet Corp. 141,200 3,982 Potomac Electric Power Co. 190,300 3,981 NSTAR 93,460 3,978 * Expedia Inc. 85,260 3,973 * Fairchild Semiconductor Corp. 172,500 3,968 Manpower Inc. 132,600 3,965 Puget Energy, Inc. 151,041 3,957 FirstMerit Corp. 149,600 3,949 Bowater Inc. 88,149 3,944 Valero Energy Corp. 107,100 3,939 Commerce Bancorp, Inc. 56,085 3,932 International Speedway Corp. 93,427 3,924 * Patterson Dental Co. 118,700 3,917 * Orion Power Holdings, Inc. 164,218 3,910 * Lear Corp. 111,900 3,905 Valley National Bancorp 137,375 3,895 * Williams-Sonoma, Inc. 100,200 3,890 * Outback Steakhouse 134,631 3,877 White Mountains Insurance Group Inc. 10,285 3,870 First Virginia Banks, Inc. 81,263 3,829 AMB Property Corp. REIT 148,500 3,825 * National-Oilwell, Inc. 142,500 3,819 Equitable Resources, Inc. 114,500 3,814 * Celgene Corp. 132,200 3,814 Newport News Shipbuilding Inc. 62,195 3,809 Clayton Homes Inc. 241,596 3,798 * Vignette Corp. 427,461 3,792 * Northwest Airlines Corp. Class A 148,900 3,760 Investors Financial Services Corp. 56,100 3,759 * Krispy Kreme Doughnuts, Inc. 93,900 3,756 * Health Net Inc. 215,432 3,749 City National Corp. 84,588 3,746 * International Rectifier Corp. 109,800 3,744 * Smithfield Foods, Inc. 92,800 3,740 * Venator Group, Inc. 243,400 3,724 * Security Capital Group Inc. REIT Class B 173,700 3,717 MDU Resources Group, Inc. 117,325 3,712 PepsiAmericas, Inc. 279,100 3,712 Metris Cos., Inc. 110,071 3,710 * Energizer Holdings, Inc. 161,100 3,697 Allied Capital Corp. 159,520 3,693 * Internet Security Systems, Inc. 75,800 3,681 * Mandalay Resort Group 134,259 3,679 Belo Corp. Class A 195,006 3,674 * Gentex Corp. 131,700 3,670 * Hanover Compressor Co. 110,700 3,663 * Semtech Corp. 121,638 3,649 Arthur J. Gallagher & Co. 139,700 3,632 Pacific Century Financial Corp. 140,702 3,629 * E*TRADE Group, Inc. 560,615 3,616 National Fuel Gas Co. 69,500 3,613 * Nova Corp. (Georgia) 114,888 3,613 * Micromuse Inc. 128,700 3,602 Liberty Property Trust REIT 121,600 3,599 Tyson Foods, Inc. 390,610 3,598 Wilmington Trust Corp. 57,200 3,584 * Riverstone Networks, Inc. 180,086 3,582 General Growth Properties Inc. REIT 90,700 3,570 * Level 3 Communications, Inc. 645,900 3,546 American Financial Group, Inc. 116,500 3,530 * Alkermes, Inc. 100,400 3,524 * Columbia Sportswear Co. 69,000 3,518 Questar Corp. 141,930 3,514 American National Insurance Co. 46,850 3,502 CONSOL Energy, Inc. 138,300 3,499 Noble Affiliates, Inc. 98,936 3,497 The MONY Group Inc. 86,600 3,475 Rouse Co. REIT 121,100 3,470 * Advent Software, Inc. 54,500 3,461 * Triad Hospitals, Inc. 116,766 3,441 * Pixar, Inc. 83,800 3,419 Ross Stores, Inc. 142,276 3,408 * McDATA Corp. Class A 193,550 3,397 GATX Corp. 84,599 3,392 Fidelity National Financial, Inc. 137,488 3,378 Plum Creek Timber Company Inc. 120,089 3,375 * Valassis Communications, Inc. 94,200 3,372 * Tellium, Inc. 185,140 3,370 Erie Indemnity Co. Class A 113,217 3,368 Tootsie Roll Industries, Inc. 87,304 3,365 Conectiv, Inc. 155,684 3,363 Precision Castparts Corp. 89,800 3,360 * Cree, Inc. 128,400 3,357 * SanDisk Corp. 120,300 3,355 12 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Grant Prideco, Inc. 191,170 $ 3,344 * Polycom, Inc. 144,800 3,343 * AdvancePCS 52,000 3,331 CarrAmerica Realty Corp. REIT 109,100 3,328 * RealNetworks, Inc. 282,252 3,316 Mercury General Corp. 94,800 3,315 * Barrett Resources Corp. 55,947 3,301 Health Care Properties Investors REIT 95,900 3,299 Reinsurance Group of America, Inc. 87,000 3,297 * Six Flags, Inc. 156,550 3,294 Omnicare, Inc. 162,500 3,283 Heller Financial, Inc. 81,553 3,262 * Worldcom, Inc.-MCI Group 202,400 3,259 * Earthlink, Inc. 230,923 3,256 * Mohawk Industries, Inc. 92,400 3,252 * United Rentals, Inc. 124,552 3,232 UAL Corp. 91,900 3,230 Allete, Inc. 143,500 3,229 * OSI Pharmaceuticals, Inc. 61,200 3,219 Herman Miller, Inc. 132,784 3,213 Harris Corp. 117,600 3,200 * Cirrus Logic 138,700 3,194 Lyondell Chemical Co. 207,454 3,191 * TriQuint Semiconductor, Inc. 140,932 3,171 * DoubleClick Inc. 226,621 3,164 * Priceline.com Inc. 349,100 3,159 * Tech Data Corp. 94,578 3,155 Leucadia National Corp. 96,976 3,147 * Borders Group, Inc. 140,200 3,140 * Varco International, Inc. 168,152 3,129 * Perot Systems Corp. 172,400 3,120 * Hearst-Argyle Television Inc. 155,735 3,115 The McClatchy Co. Class A 79,550 3,110 * Catellus Development Corp. 178,201 3,110 * Service Corp. International 488,600 3,107 OGE Energy Corp. 137,200 3,102 * RSA Security Inc. 100,000 3,095 * Jacobs Engineering Group Inc. 47,400 3,092 John Nuveen Co. Class A 54,543 3,090 Cullen/Frost Bankers, Inc. 91,080 3,083 * Interwoven, Inc. 181,500 3,067 * Aviron 53,800 3,067 * KEMET Corp. 154,700 3,065 XTO Energy, Inc. 213,325 3,061 * Renaissance Learning, Inc. 60,500 3,061 Valspar Corp. 86,000 3,053 * CNET Networks, Inc. 233,813 3,040 Houghton Mifflin Co. 50,600 3,032 D. R. Horton, Inc. 133,430 3,029 * Network Associates, Inc. 243,157 3,027 Hubbell Inc. Class B 104,106 3,019 * Medarex, Inc. 128,000 3,008 * CuraGen Corp. 82,500 3,003 Arden Realty Group, Inc. REIT 112,300 2,998 * LifePoint Hospitals, Inc. 67,620 2,994 * DaVita, Inc. 147,094 2,990 * Advanced Fibre Communications, Inc. 142,300 2,988 * Allegiance Telecom, Inc. 199,350 2,988 * Catalina Marketing Corp. 97,600 2,978 Teleflex Inc. 67,500 2,970 * Markel Corp. 15,100 2,967 * Pioneer Natural Resources Co. 173,756 2,963 * Capstone Turbine Corp. 133,593 2,951 * Cor Therapeutics, Inc. 96,700 2,949 * Manugistics Group, Inc. 117,500 2,949 * Sybase, Inc. 179,132 2,947 * Informix Corp. 504,356 2,945 * Amphenol Corp. 73,300 2,936 * Packaging Corp. of America 188,100 2,921 * Labranche & Co. Inc. 100,600 2,917 * Indymac Bancorp, Inc. REIT 108,800 2,916 * National Instruments Corp. 89,575 2,907 Forest City Enterprise Class A 52,800 2,904 * Shaw Group, Inc. 72,400 2,903 * Coach, Inc. 76,200 2,899 Pentair, Inc. 85,707 2,897 * NetIQ Corp. 92,300 2,888 New York Community Bancorp, Inc. 76,241 2,870 Lubrizol Corp. 91,933 2,855 Harte-Hanks, Inc. 115,182 2,852 * Henry Schein, Inc. 74,500 2,850 Mack-Cali Realty Corp. REIT 100,000 2,848 Roslyn Bancorp, Inc. 108,231 2,846 * 3Com Corp. 598,300 2,842 Provident Financial Group, Inc. 86,325 2,842 Hospitality Properties Trust REIT 99,600 2,839 Webster Financial Corp. 86,464 2,834 * Copart, Inc. 96,800 2,831 * SonicWALL, Inc. 112,200 2,829 * Tekelec 103,900 2,816 * Incyte Genomics, Inc. 114,800 2,815 * J.D. Edwards & Co. 199,050 2,815 * Medicis Pharmaceutical Corp. 52,824 2,800 Colonial BancGroup, Inc. 194,400 2,795 Reynolds & Reynolds Class A 127,200 2,792 * Corvis Corp. 635,481 2,790 21st Century Insurance Group 149,900 2,788 Liberty Financial Cos., Inc. 85,900 2,787 * Investment Technology Group, Inc. 55,411 2,787 * Electronics for Imaging, Inc. 94,300 2,782 Sky Financial Group, Inc. 146,908 2,781 * ResMed Inc. 55,000 2,780 Capitol Federal Financial 143,300 2,770 13 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Skywest, Inc. 98,700 $ 2,764 Fulton Financial Corp. 134,829 2,759 * Timberland Co. 69,800 2,758 Old National Bancorp 104,336 2,754 Helmerich & Payne, Inc. 88,500 2,743 * Exult Inc. 160,800 2,742 * Edwards Lifesciences Corp. 103,500 2,728 * Renal Care Group, Inc. 82,815 2,724 * Zebra Technologies Corp. Class A 55,400 2,721 * Cytec Industries, Inc. 71,600 2,721 * 99 Cents Only Stores 90,655 2,715 * Pharmaceutical Product Development, Inc. 88,966 2,714 * Apria Healthcare 94,080 2,714 Fleming Cos., Inc. 75,700 2,702 Kansas City Power & Light Co. 109,800 2,696 * Louis Dreyfus Natural Gas Corp. 77,200 2,690 * Keane, Inc. 121,900 2,682 * Quantum Corp.-DLT & Storage Systems 264,031 2,664 StanCorp Financial Group, Inc. 56,000 2,654 * Regeneron Pharmaceuticals, Inc. 76,500 2,651 Western Resources, Inc. 123,268 2,650 * Peabody Energy Corp. 80,710 2,643 Post Properties, Inc. REIT 69,657 2,637 * Orthodontic Centers of America, Inc. 86,300 2,624 * Scholastic Corp. 62,200 2,619 * Alleghany Corp. 12,871 2,613 * O'Reilly Automotive, Inc. 90,900 2,609 * Cognex Corp. 77,050 2,608 * Myriad Genetics, Inc. 41,100 2,602 * Cabot Microelectronics Corp. 41,961 2,602 Doral Financial Corp. 75,600 2,593 * The Corporate Executive Board Co. 61,600 2,587 * The Neiman Marcus Group, Inc. Class A 83,255 2,581 United Dominion Realty Trust REIT 179,700 2,579 Raymond James Financial, Inc. 84,137 2,575 * Whole Foods Market, Inc. 95,000 2,575 * Emmis Communications, Inc. 83,700 2,574 * Pixelworks, Inc. 72,000 2,573 * SERENA Software, Inc. 70,800 2,573 Regency Centers Corp. 101,200 2,570 HON Industries, Inc. 106,000 2,567 Peoples Bank Bridgeport 110,050 2,565 * Cerner Corp. 60,930 2,559 Valhi, Inc. 197,600 2,559 * Suiza Foods Corp. 48,100 2,554 Massey Energy Co. 129,100 2,551 * Williams Communications Group, Inc. 863,446 2,547 * Payless ShoeSource, Inc. 39,346 2,546 * Extended Stay America, Inc. 169,100 2,537 Lee Enterprises, Inc. 76,800 2,534 John Wiley & Sons Class A 107,000 2,531 Dean Foods Corp. 62,933 2,530 Camden Property Trust REIT 68,861 2,527 HCC Insurance Holdings, Inc. 103,000 2,524 * Axcelis Technologies, Inc. 170,502 2,523 Highwood Properties, Inc. REIT 94,400 2,516 WestAmerica Bancorporation 63,996 2,512 * Storage Technology Corp. 182,482 2,511 * Toll Brothers, Inc. 63,800 2,508 Washington Federal Inc. 102,114 2,504 * National Processing, Inc. 89,400 2,503 * Alamosa Holdings, Inc. 153,550 2,503 * Constellation Brands, Inc. Class A 61,000 2,501 BancorpSouth, Inc. 147,000 2,499 * Fisher Scientific International Inc. 86,100 2,497 Weingarten Realty Investors REIT 56,900 2,495 * West Corp. 113,300 2,494 * Legato Systems, Inc. 155,400 2,479 Student Loan Corp. 35,400 2,469 Franchise Finance Corp. of America REIT 98,200 2,466 * Furniture Brands International Inc. 88,000 2,464 * Time Warner Telecom Inc. 73,300 2,457 Donaldson Co., Inc. 78,700 2,452 BRE Properties Inc. Class A REIT 80,900 2,451 * Pride International Inc. 129,000 2,451 * STERIS Corp. 122,216 2,450 Vectren Corp. 118,097 2,445 * Tanox, Inc. 77,383 2,441 * Ariba, Inc. 443,600 2,440 * PRIMEDIA Inc. 356,611 2,421 CNF Inc. 85,700 2,421 * Ticketmaster-Class B 163,263 2,416 Weis Markets, Inc. 68,500 2,415 * Newfield Exploration Co. 75,200 2,411 * Affiliated Managers Group, Inc. 39,200 2,411 * Ulticom, Inc. 71,115 2,404 Dial Corp. 168,600 2,403 * Redback Networks Inc. 269,000 2,399 AK Steel Corp. 191,232 2,398 * BOK Financial Corp. 89,128 2,398 Citizens Banking Corp. 81,938 2,397 Hollinger International, Inc. 174,300 2,397 * Plexus Corp. 72,600 2,396 * Techne Corp. 73,700 2,395 14 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Park National Corp. 23,700 $ 2,394 Philadelphia Suburban Corp. 93,800 2,392 * Saks Inc. 248,259 2,383 Arch Coal, Inc. 92,100 2,383 * Varian Semiconductor Equipment Associates, Inc. 56,700 2,381 * Forest Oil Corp. 85,030 2,381 * Patterson-UTI Energy, Inc. 133,000 2,377 York International Corp. 67,700 2,371 Fair Issac & Co. 38,250 2,365 * Getty Images, Inc. 89,900 2,361 * Sensormatic Electronics Corp. 138,661 2,357 * CEC Entertainment Inc. 47,761 2,357 First American Corp. 124,417 2,356 * Charles River Laboratories, Inc. 67,600 2,349 Trustmark Corp. 115,600 2,349 * Informatica Corp. 135,200 2,347 OM Group, Inc. 41,700 2,346 New Plan Excel Realty Trust REIT 153,214 2,344 IKON Office Solutions, Inc. 239,200 2,344 * Covance, Inc. 103,460 2,343 Downey Financial Corp. 49,520 2,340 * The Cheesecake Factory 82,650 2,339 Solutia, Inc. 182,800 2,331 * Advanced Energy Industries, Inc. 56,400 2,328 * Rent-A-Center, Inc. 44,200 2,325 Monsanto Co. 62,700 2,320 Cousins Properties, Inc. REIT 86,080 2,311 * Knight Trading Group, Inc. 215,900 2,308 * Career Education Corp. 38,300 2,294 Roper Industries Inc. 54,900 2,292 * Michaels Stores, Inc. 55,900 2,292 AGL Resources Inc. 96,500 2,292 * Black Box Corp. 34,000 2,290 * Quanta Services, Inc. 103,900 2,290 * AmeriTrade Holding Corp. 287,600 2,289 BorgWarner, Inc. 46,131 2,289 IDACORP, Inc. 65,600 2,288 RGS Energy Group Inc. 60,948 2,286 HRPT Properties Trust REIT 234,500 2,282 * Wind River Systems Inc. 130,303 2,275 Ethan Allen Interiors, Inc. 69,800 2,269 * Atlantic Coast Airlines Holdings Inc. 75,600 2,267 * Professional Detailing, Inc. 24,600 2,263 Spiegel, Inc. Class A 233,900 2,262 Cambrex Corp. 44,700 2,261 * Alpha Industries, Inc. 76,500 2,261 * Oakley, Inc. 121,900 2,255 * Reliant Resources, Inc. 91,000 2,248 * FEI Co. 54,700 2,243 Hudson United Bancorp 87,828 2,240 Hawaiian Electric Industries Inc. 58,335 2,228 Sierra Pacific Resources 139,328 2,228 * Affymetrix, Inc. 101,000 2,227 * Credence Systems Corp. 91,792 2,225 Pogo Producing Co. 92,600 2,222 Commerce Group, Inc. 60,400 2,222 Public Service Co. of New Mexico 69,220 2,222 DQE Inc. 98,643 2,219 First Industrial Realty Trust REIT 69,100 2,219 First Midwest Bancorp 71,900 2,218 * Alliant Techsystems, Inc. 24,650 2,216 WGL Holdings Inc. 81,702 2,215 * Inrange Technologies Corp. 144,200 2,213 * InfoSpace, Inc. 575,358 2,209 * Tularik, Inc. 85,500 2,208 * THQ Inc. 37,000 2,206 * Albany Molecular Research, Inc. 58,000 2,205 * Integrated Circuit Systems, Inc. 114,800 2,204 Rayonier Inc. 47,400 2,202 * Centennial Communications Corp. Class A 166,700 2,199 First Citizens BancShares Class A 20,200 2,192 * Insight Communications Co., Inc. 87,500 2,188 Lancaster Colony Corp. 66,315 2,187 FelCor Lodging Trust, Inc. REIT 93,337 2,184 * LTX Corp. 85,299 2,180 * Coventry Health Care Inc. 107,900 2,180 * The Titan Corp. 95,051 2,177 * NVR, Inc. 14,700 2,176 Montana Power Co. 187,400 2,174 * Swift Transportation Co., Inc. 112,725 2,171 * Inktomi Corp. 226,200 2,169 Crompton Corp. 198,909 2,168 Brown & Brown, Inc. 51,500 2,162 Blyth, Inc. 83,950 2,158 * Perrigo Co. 129,300 2,158 Harman International Industries, Inc. 56,228 2,142 * CommScope, Inc. 91,100 2,141 * Rambus Inc. 173,400 2,135 * Education Management Corp. 53,100 2,127 * GTech Holdings Corp. 59,800 2,123 Whitney Holdings 45,100 2,115 * Maxtor Corp. 401,870 2,110 * United Television, Inc. 16,700 2,104 W.R. Berkley Corp. 50,550 2,094 * Echelon Corp. 68,000 2,092 Invacare Corp. 54,143 2,092 * Zale Corp. 62,000 2,089 * Inhale Therapeutic Systems 90,800 2,088 * HS Resources Inc. 32,200 2,087 * NPS Pharmaceuticals Inc. 51,900 2,086 * Scotts Co. 50,300 2,085 Callaway Golf Co. 131,800 2,082 15 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Commercial Federal Corp. 89,997 $ 2,079 * Acxiom Corp. 158,522 2,075 Vintage Petroleum, Inc. 110,900 2,074 IMC Global Inc. 203,044 2,071 Applebee's International, Inc. 64,627 2,068 FactSet Research Systems Inc. 57,900 2,067 * Flowserve Corp. 66,894 2,057 * Lands' End, Inc. 51,200 2,056 * Stone Energy Corp. 46,279 2,050 * 7-Eleven, Inc. 182,200 2,050 * Midway Games Inc. 110,581 2,046 Independence Community Bank Corp. 103,600 2,045 Pittston Brink's Group 91,451 2,038 Werner Enterprises, Inc. 83,975 2,036 * Global Industries Ltd. 163,000 2,033 * Plantronics, Inc. 87,800 2,033 Aptargroup Inc. 62,500 2,027 * Liberate Technologies, Inc. 185,000 2,026 * VISX Inc. 104,600 2,024 * Cox Radio, Inc. 72,600 2,022 Kennametal, Inc. 54,755 2,020 * Commerce One, Inc. 345,100 2,015 Piedmont Natural Gas, Inc. 56,470 2,006 * CIMA Labs Inc. 25,500 2,002 * XOMA Ltd. 117,144 1,998 United Bankshares, Inc. 74,500 1,997 * Mentor Graphics Corp. 114,000 1,995 Corn Products International, Inc. 62,300 1,994 * Exodus Communications, Inc. 966,228 1,990 * Digital Lightwave, Inc. 53,850 1,990 * Stillwater Mining Co. 67,850 1,985 Charles E. Smith Residential Realty, Inc. REIT 39,500 1,981 * Edison Schools Inc. 86,700 1,980 * Men's Wearhouse, Inc. 71,704 1,979 * Price Communications Corp. 98,000 1,979 * Odyssey Re Holdings Corp. 109,480 1,978 * Beverly Enterprises, Inc. 184,800 1,977 * Inverness Medical Technology, Inc. 53,400 1,976 La-Z-Boy Inc. 106,800 1,976 * CV Therapeutics, Inc. 34,600 1,972 * Mueller Industries Inc. 59,832 1,969 International Bancshares Corp. 46,852 1,968 ArvinMeritor, Inc. 117,450 1,966 Earthgrains Co. 75,500 1,963 * SeeBeyond Technology Corp. 123,400 1,962 Pier 1 Imports Inc. 170,208 1,957 Alpharma, Inc. Class A 71,583 1,951 F & M National Corp. 48,645 1,946 * Tetra Tech, Inc. 71,350 1,941 * Province Healthcare Co. 54,950 1,939 * MedQuist, Inc. 65,181 1,935 * Anixter International Inc. 63,000 1,934 * Direct Focus, Inc. 40,700 1,933 * Linens 'n Things, Inc. 70,700 1,932 Polaris Industries, Inc. 42,150 1,930 Harsco Corp. 70,932 1,924 Universal Corp. 48,500 1,924 * NRG Energy, Inc. 87,100 1,923 Lincoln Electric Holdings 75,352 1,921 * Marine Drilling Co., Inc. 100,500 1,921 * Chesapeake Energy Corp. 282,100 1,918 * ITT Educational Services, Inc. 42,600 1,917 * Immunomedics Inc. 89,500 1,915 Ruby Tuesday, Inc. 111,748 1,911 * Manhattan Associates, Inc. 48,000 1,908 National Data Corp. 58,839 1,906 * Key Energy Services, Inc. 175,400 1,901 * MKS Instruments, Inc. 66,000 1,901 MeriStar Hospitality Corp. REIT 80,031 1,901 * Mediacom Communications Corp. 107,600 1,900 Dole Food Co. 99,700 1,899 * Spinnaker Exploration Co. 47,600 1,897 * Silicon Valley Bancshares 86,100 1,894 * Ingram Micro, Inc. Class A 130,700 1,894 * Varian, Inc. 58,500 1,890 * Cubist Pharmaceuticals, Inc. 49,700 1,889 * Remedy Corp. 54,263 1,888 * Spectrasite Holdings, Inc. 260,650 1,887 * Macromedia, Inc. 104,817 1,887 * Performance Food Group Co. 62,400 1,886 Federal Signal Corp. 80,337 1,886 * EMCORE Corp. 61,300 1,885 * GlobeSpan, Inc. 129,000 1,883 CenterPoint Properties Corp. REIT 37,500 1,883 * Silicon Laboratories Inc. 85,100 1,881 AmerUs Group Co. 53,000 1,880 Healthcare Realty Trust Inc. REIT 71,400 1,878 * Dal-Tile International Inc. 101,100 1,875 * Metromedia Fiber Network, Inc. 918,920 1,875 Western Gas Resources, Inc. 57,500 1,875 Albemarle Corp. 80,882 1,874 * Mercury Computer Systems, Inc. 37,800 1,871 Reckson Associates Realty Corp. REIT 80,900 1,861 * Speedway Motorsports, Inc. 73,800 1,860 Carlisle Co., Inc. 53,346 1,860 Media General, Inc. Class A 40,400 1,858 Alexander & Baldwin, Inc. 72,100 1,857 Global Payments Inc. 61,671 1,856 Greater Bay Bancorp 74,186 1,853 Granite Construction Co. 72,900 1,853 * IDEXX Laboratories Corp. 59,200 1,850 * AnnTaylor Stores Corp. 51,600 1,847 16 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Black Hills Corp. 45,900 $ 1,847 Nationwide Financial Services, Inc. 42,300 1,846 * United Stationers, Inc. 58,388 1,843 * Electro Scientific Industries, Inc. 48,300 1,840 IDEX Corp. 54,100 1,839 * WMS Industries, Inc. 57,150 1,839 * CMGI Inc. 612,376 1,837 * Activision, Inc. 46,800 1,837 * Eclipsys Corp. 76,400 1,834 * Pegasus Communications Corp. Class A 81,500 1,834 Overseas Shipholding Group Inc. 59,900 1,829 Cleco Corp. 80,184 1,824 * Southern Union Co. 89,340 1,823 * Illuminet Holdings, Inc. 57,800 1,818 * Metro One Telecommunications, Inc. 28,000 1,816 * Insight Enterprises, Inc. 73,823 1,809 * The Yankee Candle Company, Inc. 95,200 1,808 * Ixia 94,940 1,804 Developers Diversified Realty Corp. REIT 98,100 1,803 * GoTo.com, Inc. 92,700 1,803 * webMethods, Inc. 84,734 1,795 * Neurocrine Biosciences, Inc. 44,800 1,792 * SBA Communications Corp. 72,300 1,789 * Avocent Corp. 78,618 1,789 Graco, Inc. 54,197 1,789 The Trust Co. of New Jersey 52,600 1,788 * Akamai Technologies, Inc. 194,711 1,786 * Cerus Corp. 24,600 1,785 * NewPower Holdings, Inc. 197,642 1,779 * Jack in the Box Inc. 68,100 1,777 * Handspring, Inc. 230,200 1,773 * Sawtek Inc. 75,300 1,772 Superior Industries International, Inc. 46,119 1,766 Richmond County Financial Corp. 46,950 1,762 * Microsemi Corp. 24,800 1,761 * Corinthian Colleges, Inc. 37,400 1,760 * R.H. Donnelley Corp. 55,000 1,760 Sensient Technologies Corp. 85,524 1,755 Staten Island Bancorp, Inc. 62,700 1,746 * Southwest Bancorporation of Texas, Inc. 57,800 1,746 * MatrixOne, Inc. 75,285 1,746 Ametek Aerospace Products Inc. 57,100 1,744 * Owens-Illinois, Inc. 257,000 1,742 * American Management Systems, Inc. 73,825 1,742 * WebEx Communications, Inc. 65,325 1,742 * Veeco Instruments, Inc. 43,800 1,741 Church & Dwight, Inc. 68,400 1,741 PolyOne Corp. 167,175 1,740 * Tweeter Home Entertainment Group, Inc. 49,300 1,740 Storage USA, Inc. REIT 48,300 1,739 * Adaptec, Inc. 174,900 1,739 * Coherent, Inc. 48,046 1,738 * SurModics, Inc. 29,500 1,735 * Leap Wireless International, Inc. 57,000 1,727 * Waste Connections, Inc. 47,900 1,724 Alfa Corp. 69,700 1,722 * Sotheby's Holdings Class A 106,600 1,719 Prentiss Properties Trust REIT 65,300 1,717 * Scios, Inc. 68,668 1,717 Millennium Chemicals, Inc. 114,100 1,717 Presidential Life Corp. 76,600 1,716 * Dycom Industries, Inc. 74,450 1,707 Community First Bankshares 74,216 1,707 The Pep Boys (Manny, Moe & Jack) 152,000 1,707 * Borland Software Corp. 109,400 1,707 * Insituform Technologies Class A 46,600 1,701 * Gaylord Entertainment Co. Class A 59,057 1,701 * Anchor Gaming 26,202 1,693 * Genencor International Inc. 106,490 1,692 Claire's Stores, Inc. 87,300 1,690 Atmos Energy Corp. 68,993 1,688 Newport Corp. 63,400 1,680 * DDi Corp. 83,900 1,678 * Accredo Health, Inc. 45,050 1,675 * Station Casinos, Inc. 104,700 1,675 * InterMune Inc. 47,000 1,674 Nationwide Health Properties, Inc. REIT 82,800 1,673 RPM Inc. (Ohio) 181,780 1,672 CBRL Group, Inc. 98,433 1,668 Avista Corp. 83,300 1,664 * Plug Power, Inc. 77,300 1,664 * Houston Exploration Co. 53,200 1,663 * Kansas City Southern Industries,Inc. 105,200 1,662 * Siliconix, Inc. 52,400 1,658 Diagnostic Products Corp. 49,754 1,652 General Cable Corp. 89,000 1,651 * TranSwitch Corp. 149,000 1,639 * Dobson Communications Corp. 96,400 1,644 Shurgard Storage Centers, Inc. Class A REIT 52,400 1,638 * Interneuron Pharmaceutical, Inc. 192,800 1,637 * Covanta Energy Corp. 88,651 1,636 Stewart & Stevenson Services, Inc. 49,582 1,636 WPS Resources Corp. 46,400 1,636 Essex Property Trust, Inc. REIT 32,900 1,630 17 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Silicon Storage Technology, Inc. 160,800 $ 1,629 * Powerwave Technologies, Inc. 111,500 1,617 * Netegrity, Inc. 53,800 1,614 * Sylvan Learning Systems, Inc. 66,300 1,611 * Cell Therapeutics, Inc. 58,200 1,609 * Tom Brown, Inc. 67,000 1,608 * Pharmaceutical Resources, Inc. 52,288 1,605 * Pure Resources, Inc. 89,100 1,604 * NYFIX, Inc. 50,175 1,603 UMB Financial Corp. 37,258 1,602 Crawford & Co. Class B 88,900 1,600 * Advanced Digital Information Corp. 92,200 1,595 * UICI 125,100 1,595 Chateau Communities, Inc. REIT 50,712 1,592 * Respironics, Inc. 53,500 1,592 * Emisphere Technologies, Inc. 54,700 1,590 * ATMI, Inc. 52,930 1,588 * Kinder Morgan Management, LLC 23,158 1,586 * Bio-Rad Laboratories, Inc. Class A 31,847 1,586 Burlington Coat Factory Warehouse Corp. 79,100 1,582 Woodward Governor Co. 18,700 1,577 Chittenden Corp. 46,853 1,577 * Noven Pharmaceuticals, Inc. 40,200 1,576 Carter-Wallace, Inc. 81,200 1,571 * Lone Star Technologies, Inc. 43,400 1,571 * Ocular Sciences, Inc. 61,800 1,570 * Priority Healthcare Corp. Class A 55,506 1,570 * Guilford Pharmaceuticals, Inc. 46,000 1,564 * SEACOR SMIT Inc. 33,450 1,563 * Checkpoint Systems, Inc. 87,826 1,563 Vector Group Ltd. 48,925 1,563 Pennzoil-Quaker State Co. 139,255 1,560 * ArthroCare Corp. 59,600 1,559 Florida Rock Industries, Inc. 33,200 1,557 * Imation Corp. 61,780 1,557 * Mid Atlantic Medical Services, Inc. 86,600 1,553 * Veritas DGC Inc. 55,800 1,548 Horace Mann Educators Corp. 71,700 1,545 Regis Corp. 73,610 1,545 Briggs & Stratton Corp. 36,700 1,545 * Enzo Biochem, Inc. 45,045 1,545 LNR Property Corp. 44,050 1,542 Libbey, Inc. 38,800 1,541 * MAXIMUS, Inc. 38,394 1,539 Technitrol, Inc. 59,200 1,539 ABM Industries 41,300 1,538 * Microtune, Inc. 69,850 1,537 * WFS Financial, Inc. 49,973 1,537 Great Atlantic & Pacific Tea Co., Inc. 103,800 1,536 Kelly Services, Inc. Class A 63,337 1,536 Nordson Corp. 57,880 1,534 * Stratos Lightwave, Inc. 117,604 1,529 * Structural Dynamics Research Corp. 62,355 1,528 * Trimeris, Inc. 30,500 1,527 Harleysville Group, Inc. 51,300 1,526 * Select Medical Corp. 76,200 1,524 * Loral Space & Communications 543,100 1,521 * DuPont Photomasks, Inc. 31,400 1,515 First Commonwealth Financial Corp. 100,900 1,514 Energen Corp. 54,800 1,512 Ohio Casualty Corp. 116,312 1,506 Washington REIT 63,700 1,506 * Sonic Corp. 47,450 1,506 * eFunds Corp. 80,867 1,504 * Bally Total Fitness Holding Corp. 50,696 1,501 * Kulicke & Soffa Industries, Inc. 87,300 1,498 Cabot Industrial Trust REIT 71,300 1,497 * Value Vision International, Inc. Class A 68,800 1,496 * Centillium Communications, Inc. 60,400 1,494 Corus Bankshares Inc. 24,800 1,494 * Too Inc. 54,400 1,491 * Exelixis, Inc. 78,562 1,490 * Barra, Inc. 38,000 1,488 Longs Drug Stores, Inc. 69,000 1,487 MDC Holdings, Inc. 41,920 1,484 * HNC Software, Inc. 59,300 1,483 * Monaco Coach Corp. 44,675 1,483 The Macerich Co. REIT 59,800 1,483 Arrow International, Inc. 38,500 1,478 * Intermedia Communications Inc. 99,000 1,475 * US Oncology, Inc. 165,732 1,473 Minerals Technologies, Inc. 34,300 1,472 * Rightchoice Managed Care, Inc. 33,100 1,470 C & D Technology Inc. 47,400 1,469 Realty Income Corp. REIT 49,700 1,469 * El Paso Electric Co. 91,666 1,466 Grey Global Group Inc. 2,200 1,463 * American Italian Pasta Co. 31,500 1,462 * IHOP Corp. 54,400 1,461 * Serologicals Corp. 68,400 1,460 Interstate Bakeries Corp. 91,000 1,456 * PETsMART, Inc. 206,500 1,456 * IntraNet Solutions, Inc. 38,200 1,454 * Bruker Daltonics, Inc. 96,430 1,453 Pacific Capital Bancorp 47,600 1,449 * PRAECIS Pharmaceuticals Inc. 88,105 1,448 Modine Manufacturing Co. 52,400 1,445 18 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Adtran, Inc. 70,400 $ 1,443 Pan Pacific Retail Properties, Inc. REIT 55,500 1,443 * Bio-Technology General Corp. 110,100 1,442 Brandywine Realty Trust REIT 64,200 1,441 * NBTY, Inc. 115,800 1,441 Federal Realty Investment Trust REIT 69,400 1,439 Trustco Bank 107,719 1,438 Brady Corp. Class A 39,800 1,438 * Titan Pharmaceuticals, Inc. 47,900 1,437 * EGL, Inc. 82,300 1,437 The South Financial Group, Inc. 76,100 1,437 * Rehabcare Corp. 29,800 1,436 * Hotel Reservations Network, Inc. 30,800 1,433 * Agile Software Corp. 84,200 1,431 First Financial Bancorp 83,724 1,430 * K-V Pharmaceutical Co. Class A 51,525 1,430 Interactive Data Corp. 158,756 1,429 New Jersey Resources Corp. 31,600 1,428 Susquehanna Bancshares, Inc. 70,150 1,428 * Airgas, Inc. 119,800 1,426 Liberty Corp. 35,600 1,424 Jefferies Group, Inc. 43,900 1,422 * Polo Ralph Lauren Corp. 55,100 1,422 * Argosy Gaming Co. 51,000 1,416 * Entravision Communications Corp. 115,100 1,416 Springs Industries Inc. Class A 32,100 1,416 * Centra Software, Inc. 83,250 1,414 * Cal Dive International, Inc. 57,400 1,412 * NCO Group, Inc. 45,600 1,410 * InFocus Corp. 69,100 1,409 * Paxar Corp. 97,600 1,405 Dreyer's Grand Ice Cream, Inc. 50,300 1,403 * Tuesday Morning Corp. 105,900 1,403 Delphi Financial Group, Inc. 36,442 1,403 * Brooks Automation, Inc. 30,400 1,401 * The Topps Co., Inc. 119,640 1,399 * Commonwealth Telephone Enterprises, Inc. 33,100 1,398 * Newpark Resources, Inc. 125,900 1,397 * Handleman Co. 83,400 1,397 * Arkansas Best Corp. 60,600 1,397 * Chico's Fas, Inc. 46,908 1,396 American Capital Strategies, Ltd. 49,600 1,392 * Kronos, Inc. 33,975 1,391 * Rural Cellular Corp. Class A 30,700 1,391 * SkillSoft Corp. 40,600 1,391 * FreeMarkets, Inc. 69,400 1,388 * Antigenics, Inc. 70,223 1,387 Santander BanCorp. 70,920 1,386 Curtiss-Wright Corp. 25,800 1,385 * Entegris Inc. 121,000 1,385 * Radio One, Inc. Class D 62,800 1,385 * ILEX Oncology, Inc. 46,300 1,384 * Gartner, Inc. Class A 125,800 1,384 * Cymer, Inc. 54,520 1,379 * Travelocity.com Inc. 44,900 1,378 Trinity Industries, Inc. 65,900 1,377 Kilroy Realty Corp. REIT 47,300 1,376 * Kopin Corp. 113,300 1,375 * Intergraph Corp. 89,300 1,375 Holly Corp. 37,400 1,374 * Wisconsin Central Transportation Corp. 82,000 1,372 Kaydon Corp. 53,400 1,370 * PAREXEL International Corp. 70,200 1,369 CBL & Associates Properties, Inc. REIT 44,600 1,369 * Pediatrix Medical Group, Inc. 41,200 1,368 * Exar Corp. 69,200 1,367 * Sunrise Assisted Living, Inc. 52,000 1,365 UniSource Energy Corp. 59,400 1,364 * WetSeal, Inc. Class A 39,400 1,364 * S1 Corp. 97,395 1,364 * Philadelphia Consolidated Holding Corp. 39,200 1,363 Wabtec Corp. 90,700 1,361 * Unilab Corp. 53,898 1,358 Irwin Financial Corp. 54,000 1,358 * ImmunoGen, Inc. 67,900 1,358 * Haemonetics Corp. 44,500 1,357 USFreightways Corp. 46,000 1,357 * Alaska Air Group, Inc. 46,900 1,355 * Paxson Communications Corp. 100,100 1,351 Barnes Group, Inc. 54,600 1,349 * Photronics Labs Inc. 52,496 1,347 Stewart Enterprises, Inc. Class A 184,500 1,347 * IGEN International, Inc. 51,800 1,347 Sterling Bancshares, Inc. 70,200 1,346 * Champion Enterprises, Inc. 118,314 1,346 Chelsea Property Group 28,700 1,346 Strayer Education, Inc. 27,600 1,346 * Sybron Dental Specialties, Inc. 65,533 1,343 Delta & Pine Land Co. 68,276 1,342 * Swift Energy Co. 44,479 1,340 * Syncor International Corp. 43,200 1,339 Oshkosh Truck Corp. 30,200 1,336 * Mesa Air Group Inc. 108,100 1,335 * Rudolph Technologies, Inc. 28,400 1,335 Westcorp, Inc. 62,951 1,335 First Charter Corp. 71,173 1,334 Cato Corp. Class A 68,300 1,333 * Symyx Technologies 55,100 1,333 Russ Berrie and Co., Inc. 45,300 1,332 * Key3Media Group, Inc. 114,700 1,332 * Westport Resources Corp. 63,400 1,331 19 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- S & T Bancorp, Inc. 49,300 $ 1,331 SL Green Realty Corp. REIT 43,900 1,331 Ruddick Corp. 78,500 1,331 Olin Corp. 78,300 1,330 UGI Corp. Holding Co. 49,146 1,327 Cooper Cos., Inc. 25,800 1,326 Kellwood Co. 57,400 1,326 * Elantec Semiconductor, Inc. 39,200 1,325 * DMC Stratex Networks, Inc. 132,396 1,324 Southwest Gas Corp. 55,900 1,324 Wolverine World Wide, Inc. 74,004 1,322 * School Specialty, Inc. 51,138 1,322 Ventas, Inc. REIT 120,665 1,321 * Arena Pharmaceuticals, Inc. 43,248 1,319 CH Energy Group, Inc. 30,000 1,319 * Dollar Thrifty Automotive Group, Inc. 54,860 1,317 Great American Financial Resources, Inc. 72,978 1,317 * Ventiv Health, Inc. 63,733 1,315 * Virata Corp. 111,000 1,315 * Endo Pharmaceuticals Holdings, Inc. 148,500 1,313 Ferro Corp. 60,162 1,312 * Regent Communications, Inc. 109,400 1,312 The Standard Register Co. 70,687 1,308 John H. Harland Co. 56,100 1,307 * Hexcel Corp. 102,500 1,307 * Landstar System 19,200 1,306 * Alliance Gaming Corp. 33,228 1,305 * AstroPower, Inc. 25,000 1,304 * Dionex Corp. 39,200 1,303 * FuelCell Energy, Inc. 56,400 1,302 Banta Corp. 44,425 1,302 * La Quinta Properties, Inc. REIT 251,069 1,301 Baldor Electric Co. 60,806 1,299 Glenborough Realty Trust, Inc. REIT 67,300 1,299 * PSS World Medical, Inc. 201,700 1,297 * Information Holdings Inc. 40,100 1,295 * URS Corp. 47,958 1,295 * Thoratec Corp. 83,255 1,295 Tredegar Corp. 67,600 1,295 Advanced Marketing Services 61,875 1,290 * Hain Celestial Group, Inc. 58,600 1,289 * ProQuest Company 41,600 1,289 Manitowac Co., Inc. 43,700 1,289 Arnold Industries, Inc. 66,500 1,287 * Specialty Laboratories, Inc. 34,000 1,287 * Hutchinson Technology, Inc. 67,500 1,286 First Bancorp/Puerto Rico 47,600 1,285 Capstead Mortage Corp. REIT 72,100 1,283 * Cable Design Technologies 79,408 1,283 * Simpson Manufacturing Co. 21,200 1,283 * The Medicines Co. 62,550 1,282 * Transmeta Corp. 229,492 1,281 * Aspen Technologies, Inc. 52,900 1,280 * Pacific Sunwear of California 57,069 1,280 Summit Properties, Inc. REIT 47,700 1,280 * UbiquiTel Inc. 168,300 1,279 Cabot Oil & Gas Corp. Class A 52,364 1,278 * Stericycle, Inc. 27,200 1,277 * Del Webb Corp. 33,000 1,277 Texas Industries, Inc. 37,114 1,276 * bebe stores, inc. 43,700 1,274 * Saba Software, Inc. 77,630 1,274 * Heartland Express, Inc. 55,750 1,271 * Pharmacopeia, Inc. 52,900 1,270 * CUNO Inc. 42,300 1,269 AAR Corp. 74,200 1,269 Kimball International, Inc. Class B 70,100 1,269 * CryoLife Inc. 31,000 1,268 RPC Inc. 89,300 1,268 * Grey Wolf, Inc. 317,000 1,268 * C-COR Electronics, Inc. 105,600 1,267 * Diversa Corp. 62,275 1,267 NBT Bancorp, Inc. 65,526 1,265 MAF Bancorp, Inc. 41,171 1,264 * Coinstar, Inc. 56,800 1,264 * Action Performance Cos., Inc. 50,500 1,263 H.B. Fuller Co. 25,250 1,260 * E.Piphany Inc. 123,875 1,259 Engineered Support Systems, Inc. 32,062 1,257 * Interdigital Communications Corp. 94,700 1,255 * ChipPAC, Inc. 120,150 1,254 * Administaff, Inc. 48,200 1,253 * PolyMedica Corp. 30,900 1,251 Standard Pacific Corp. 54,000 1,250 UIL Holdings Corp. 25,700 1,249 * Amylin Pharmaceuticals, Inc. 111,000 1,249 * American Axle & Manufacturing Holdings, Inc. 75,000 1,249 * Choice Hotel International, Inc. 83,200 1,248 * Journal Register Co. 77,500 1,248 * Information Resources, Inc. 120,634 1,247 Oshkosh B' Gosh, Inc. Class A 37,500 1,247 * Aurora Biosciences Corp. 40,200 1,246 * Portal Software, Inc. 301,600 1,246 Republic Bancorp, Inc. 89,582 1,245 * Ivex Packaging Corp. 65,500 1,245 * Cell Genesys, Inc. 60,600 1,242 * UnitedGlobalCom Inc. Class A 143,578 1,242 * Western Digital Corp. 310,400 1,242 * MRV Communications Inc. 132,788 1,242 * Impath, Inc. 28,000 1,240 20 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * AirTran Holdings, Inc. 118,100 $ 1,240 * VIASAT, INC. 51,900 1,239 Taubman Co. REIT 88,500 1,239 * The Children's Place Retail Stores, Inc. 46,200 1,238 * Pathmark Stores, Inc. 50,300 1,237 Roadway Corp. 52,000 1,236 * ADVO, Inc. 36,175 1,235 * Evergreen Resources, Inc. 32,500 1,235 Ryland Group, Inc. 24,400 1,235 Waypoint Financial Corp. 98,775 1,235 Gables Residential Trust REIT 41,200 1,234 * Cheap Tickets, Inc. 81,500 1,231 Apogee Enterprises, Inc. 98,500 1,230 * Arbitron Inc. 51,040 1,230 Helix Technology Corp. 40,300 1,228 Health Care REIT, Inc. 51,700 1,228 * AirGate PCS, Inc. 23,600 1,227 Seacoast Financial Services Corp. 75,370 1,225 Pulitzer, Inc. 23,182 1,224 * Corixa Corp. 71,704 1,224 * Bright Horizons Family Solutions, Inc. 38,980 1,224 * ISIS Pharmaceuticals, Inc. 98,774 1,224 * American Superconductor Corp. 47,400 1,223 * J.B. Hunt Transport Services, Inc. 64,203 1,220 JDN Realty Corp. REIT 90,950 1,219 * Numerical Technologies, Inc. 58,015 1,218 Selective Insurance Group 45,600 1,217 * GenesisIntermedia Inc. 64,800 1,215 Hooper Holmes, Inc. 118,500 1,215 * Genome Therapeutics Corp. 81,830 1,214 Watts Industries Class A 71,600 1,214 Mid-America Apartment Communities, Inc. REIT 47,400 1,213 * Yellow Corp. 63,900 1,213 * Vicor Corp. 74,381 1,212 N L Industries, Inc. 87,400 1,210 * Verity, Inc. 60,600 1,209 Central Parking Corp. 64,600 1,208 * Footstar Inc. 35,100 1,207 * At Home Corp. Series A 563,354 1,206 * Transkaryotic Therapies, Inc. 40,900 1,205 Frontier Oil Corp. 90,800 1,203 Northwest Bancorp, Inc. 114,500 1,202 * Caminus Corp. 44,570 1,202 * ProAssurance Corp. 69,655 1,202 * Input/Output, Inc. 94,600 1,201 * Genesco, Inc. 35,700 1,200 R.L.I. Corp. 26,650 1,197 * Saga Communications, Inc. 50,393 1,196 * ON Semiconductor Corp. 262,754 1,196 * The Boyds Collection, Ltd. 96,100 1,194 Greif Brothers Corp. Class A 39,300 1,193 Otter Tail Corp. 42,900 1,190 Argonaut Group, Inc. 59,219 1,190 Amcore Financial 49,500 1,190 * Biopure Corp. 45,100 1,189 * ANADIGICS, Inc. 51,650 1,188 Kaman Corp. Class A 67,100 1,188 * Modis Professional Services Inc. 172,100 1,187 Mentor Corp. 41,638 1,187 * The Profit Recovery Group International, Inc. 103,550 1,187 * Rosetta Inpharmatics, Inc. 76,560 1,187 * International Specialty Products, Inc. 111,900 1,186 * Universal Display Corp. 60,500 1,186 * Luminent, Inc. 281,900 1,184 GenCorp, Inc. 92,300 1,181 Riggs National Corp. 69,500 1,181 * F.Y.I. Inc. 28,800 1,181 * Red Hat, Inc. 294,800 1,179 * Genlyte Group, Inc. 38,100 1,178 Wallace Computer Services, Inc. 71,200 1,178 * Catalytica Energy Systems, Inc. 54,158 1,175 * AmeriPath, Inc. 40,100 1,175 * Electronics Boutique Holdings Corp. 37,000 1,175 Carpenter Technology Corp. 40,000 1,172 * MICROS Systems, Inc. 53,252 1,172 * Boca Resorts, Inc. Class A 79,500 1,171 Community Trust Bancorp Inc. 48,787 1,171 * Crestline Capital Corp. 37,665 1,170 * InterVoice-Brite, Inc. 106,274 1,169 Belden, Inc. 43,700 1,169 * Oceaneering International, Inc. 56,200 1,166 * Active Power, Inc. 69,901 1,166 * Mattson Technology, Inc. 66,700 1,166 Quanex Corp. 45,000 1,166 Andover Bancorp, Inc. 23,175 1,165 USEC Inc. 138,000 1,163 * FSI International, Inc. 83,100 1,163 Koger Equity, Inc. REIT 70,500 1,163 * Rayovac Corp. 54,600 1,163 Home Properties of New York, Inc. REIT 38,600 1,162 * Research Frontiers, Inc. 43,000 1,161 * XM Satellite Radio Holdings, Inc. 71,600 1,160 * Conmed Corp. 44,500 1,159 Wausau-Mosinee Paper Corp. 89,928 1,159 Schweitzer-Mauduit International, Inc. 49,100 1,159 * Digene Corp. 28,400 1,159 * Iomega Corp. 484,700 1,158 21 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Sola International Inc. 82,100 $ 1,158 West Pharmaceutical Services, Inc. 42,862 1,157 Zenith National Insurance Corp. 42,860 1,157 * Nautica Enterprises, Inc. 56,637 1,157 Advanta Corp. Class A 72,302 1,157 Commercial Metals Co. 36,066 1,155 * MSC.Software Corp. 61,600 1,155 * CoorsTek, Inc. 30,800 1,155 * Theragenics Corp. 103,300 1,154 * Sirius Satellite Radio, Inc. 94,600 1,153 * Maxygen 59,417 1,153 Innkeepers USA Trust REIT 96,200 1,152 Texas Regional Bancshares, Inc. 28,580 1,151 Lance, Inc. 85,141 1,149 * Trimble Navigation Ltd. 58,900 1,148 Datascope Corp. 24,900 1,148 * Sangstat Medical Corp. 70,000 1,147 * Esterline Technologies Corp. 52,710 1,146 Regal-Beloit Corp. 54,800 1,146 * ABIOMED, Inc. 48,600 1,146 * Flowers Foods, Inc. 36,540 1,146 * Allen Telecom Inc. 76,340 1,145 * Tejon Ranch Co. 41,978 1,144 Clarcor Inc. 42,600 1,144 Alexandria Real Estate Equities, Inc. REIT 28,700 1,142 Integra Bank Corp. 46,100 1,142 * Young Broadcasting Inc. 34,000 1,142 * Ryan's Family Steak Houses, Inc. 93,200 1,142 * Forward Air Corp. 38,000 1,138 * Fossil, Inc. 54,800 1,137 Frontier Financial Corp. 40,600 1,137 Colonial Properties Trust REIT 36,900 1,137 Reliance Steel & Aluminum Co. 45,000 1,136 State Auto Financial Corp. 69,300 1,136 * Zoran Corp. 38,200 1,135 Florida East Coast Industries, Inc. Class B 32,159 1,135 Florida East Coast Industries, Inc. Class A 32,000 1,133 Spartech Corp. 46,900 1,133 Vital Signs, Inc. 34,264 1,132 * ProBusiness Services, Inc. 42,600 1,131 Northwest Natural Gas Co. 45,400 1,130 Casey's General Stores 86,900 1,130 * Bone Care International, Inc. 42,600 1,129 * Cygnus Inc. 110,100 1,129 Provident Bankshares Corp. 45,236 1,128 * Avid Technology, Inc. 71,800 1,127 * NeoPharm, Inc. 44,200 1,127 Longview Fibre Co. 91,470 1,127 * Acclaim Entertainment Inc. 230,900 1,127 * Unifi, Inc. 132,525 1,126 * Hot Topic, Inc. 36,200 1,126 * Intuitive Surgical, Inc. 83,300 1,125 A. Schulman Inc. 83,062 1,121 * Oak Technology, Inc. 105,800 1,120 * Avanex Corp. 115,450 1,120 International Multifoods Corp. 53,969 1,120 AREA Bancshares Corp. 67,837 1,119 Mississippi Valley Bancshares, Inc. 28,000 1,117 * Mastec Inc. 84,574 1,116 * Cost Plus, Inc. 37,200 1,116 * Value City Department Stores, Inc. 96,900 1,114 P.H. Glatfelter Co. 78,100 1,114 * Credit Acceptance Corp. 144,400 1,112 G & K Services, Inc. 41,325 1,112 Dimon Inc. 111,150 1,112 * Biosite Diagnostics, Inc. 24,800 1,111 Fleetwood Enterprises, Inc. 78,900 1,111 J. M. Smucker Co. 42,700 1,110 Phillips-Van Heusen Corp. 76,893 1,107 Bob Evans Farms, Inc. 61,416 1,105 * Alloy Online, Inc. 77,200 1,105 * Read Rite Corp. 207,169 1,104 * Scientific Games Corp. 187,267 1,103 * EMCOR Group, Inc. 30,500 1,103 Owens & Minor, Inc. Holding Co. 57,900 1,100 * PRI Automation, Inc. 59,300 1,099 F.N.B. Corp. 41,137 1,098 * Secure Computing Corp. 69,900 1,098 * MSC Industrial Direct Co., Inc. Class A 63,100 1,098 Lennox International Inc. 100,225 1,097 * Sinclair Broadcast Group, Inc. 106,400 1,096 * Ocwen Financial Corp. 106,900 1,096 * Charming Shoppes, Inc. 182,600 1,096 * JAKKS Pacific, Inc. 58,550 1,095 BancFirst Corp. 27,174 1,094 * Embarcadero Technologies, Inc. 49,000 1,093 ChemFirst Inc. 41,700 1,093 Sun Communities, Inc. REIT 30,900 1,092 RFS Hotel Investors, Inc. REIT 69,100 1,091 * Aeroflex, Inc. 103,900 1,091 LandAmerica Financial Group, Inc. 34,250 1,091 * Knight Transportation, Inc. 52,992 1,089 Interface, Inc. 145,100 1,088 * Aspect Medical Systems, Inc. 70,200 1,088 * Triumph Group, Inc. 22,200 1,088 * Cognizant Technology Solutions Corp. 25,606 1,087 Independent Bank Corp. 55,000 1,086 * Playtex Products, Inc. 101,400 1,085 United National Bancorp 47,808 1,084 * Atrix Laboratories, Inc. 45,634 1,082 22 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * INAMED Corp. 44,200 $ 1,081 Bel Fuse, Inc. Class B 32,500 1,081 Mid-America Bancorp 37,326 1,081 Walter Industries, Inc. 90,800 1,081 CNA Surety Corp. 77,100 1,079 * Teletech Holdings Inc. 120,040 1,079 * Harmonic, Inc. 107,807 1,078 PS Business Parks, Inc. REIT 38,500 1,078 * Southwestern Energy Co. 87,900 1,077 * Hibbett Sporting Goods, Inc. 29,000 1,075 * Rent-Way, Inc. 98,600 1,075 * BE Avionics Inc. 56,400 1,074 * TriPath Imaging, Inc. 108,400 1,074 Tecumseh Products Co. Class A 21,700 1,074 Chemed Corp. 29,700 1,073 * Aphton Corp. 48,961 1,072 * Right Management Consultants 41,050 1,071 * Boyd Gaming Corp. 186,300 1,071 * Meridian Gold Co. 134,700 1,071 * Parker Drilling Co. 164,700 1,071 Elcor Corp. 52,850 1,070 Rollins, Inc. 53,700 1,069 * Elizabeth Arden, Inc. 43,800 1,069 Ameron International Corp. 16,000 1,068 * Nortek, Inc. 34,152 1,066 Lone Star Steakhouse & Saloon, Inc. 81,963 1,065 * Oplink Communications, Inc. 283,722 1,064 * Cadiz Inc. 106,200 1,062 * Therma-Wave Inc. 55,700 1,062 A.O. Smith Corp. 59,250 1,061 * SPS Technologies, Inc. 22,300 1,057 Hancock Holding Co. 24,585 1,056 * Lexicon Genetics Inc. 84,400 1,055 Applied Industrial Technology, Inc. 55,650 1,055 * Safeguard Scientifics, Inc. 205,000 1,054 * Terex Corp. 49,700 1,054 * Crown Media Holdings, Inc. 56,800 1,054 * Duane Reade Inc. 32,400 1,053 American Woodmark Corp. 27,400 1,053 * Tesoro Petroleum Corp. 83,500 1,052 Oneida Ltd. 51,733 1,052 Blockbuster Inc. Class A 57,600 1,051 W.P. Carey & Co. LLC 56,800 1,051 Pennsylvania REIT 42,500 1,050 * California Pizza Kitchen, Inc. 45,100 1,049 Inter-Tel, Inc. 88,000 1,048 * Triarc Cos., Inc. Class A 40,000 1,048 * Factory 2-U Stores Inc. 35,700 1,048 * Advanced Tissue Sciences Inc. 209,542 1,048 * XTRA Corp. 21,100 1,047 Bedford Property Investors, Inc. REIT 49,800 1,043 * Collins & Aikman Corp. 168,000 1,042 * Digital Insight Corp. 47,130 1,042 * ESS Technology, Inc. 98,300 1,042 * AXT, Inc. 39,000 1,041 * BankUnited Financial Corp. 74,100 1,041 * Actel Corp. 42,400 1,041 Tremont Corp. 29,309 1,040 * Ralcorp Holdings, Inc. 55,500 1,040 * First Republic Bank 42,450 1,040 Centex Construction Products, Inc. 32,000 1,040 * V.I. Technologies, Inc. 92,300 1,038 * Korn/Ferry International 66,900 1,037 * NextCard, Inc. 93,800 1,036 The Stride Rite Corp. 121,900 1,036 * Steel Dynamics, Inc. 82,800 1,035 CT Communications, Inc. 55,700 1,034 South Jersey Industries, Inc. 33,184 1,034 IRT Property Co. REIT 94,900 1,033 * AremisSoft Corp. 63,700 1,032 * Visual Networks, Inc. 117,900 1,032 * 4Kids Entertainment Inc. 53,800 1,030 * Sykes Enterprises, Inc. 93,600 1,030 Analogic Corp. 22,600 1,029 * Papa John's International, Inc. 40,593 1,029 * Unit Corp. 64,900 1,029 * Intrado Inc. 59,900 1,028 Wellman, Inc. 57,455 1,028 AGCO Corp. 112,300 1,028 * PriceSmart, Inc. 23,600 1,027 * Magellan Health Services, Inc. 80,200 1,027 Sovran Self Storage, Inc. REIT 37,500 1,026 * SCP Pool Corp. 29,800 1,026 * The Dress Barn, Inc. 45,100 1,026 * Nuance Communications Inc. 56,800 1,024 * Instinet Group Inc. 54,900 1,023 * Internet Capital Group, Inc. 511,064 1,022 * Gene Logic Inc. 46,800 1,020 * United Surgical Partners Intl., Inc. 42,490 1,020 * Adolor Corp. 47,200 1,020 * Next Level Communications, Inc. 150,800 1,018 * Packard BioScience Co. 122,300 1,015 Empire District Electric Co. 49,055 1,015 Hudson River Bancorp Inc. 56,000 1,014 * Photon Dynamics, Inc. 37,500 1,013 CTS Corp. 49,379 1,012 EastGroup Properties, Inc. REIT 44,800 1,012 * Durect Corp. 77,800 1,011 * Presstek, Inc. 84,231 1,011 * Magnatek 80,800 1,010 * Progress Software Corp. 62,300 1,009 Omega Financial Corp. 31,300 1,008 The Toro Co. 22,400 1,007 * Casella Waste Systems, Inc. 80,484 1,006 23 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Ambassadors International, Inc. 40,700 $ 1,005 * Universal Access, Inc. 162,108 1,005 * Neose Technologies, Inc. 22,300 1,004 * Maverick Tube Corp. 59,200 1,003 Fremont General Corp. 154,274 1,003 * DSP Group Inc. 46,700 1,002 * New Focus, Inc. 121,300 1,001 * First Federal Financial Corp. 33,550 1,000 Coca-Cola Bottling Co. 25,400 999 Exide Corp. 86,900 999 * Pericom Semiconductor Corp. 63,500 998 * Quiksilver, Inc. 39,900 998 GBC Bancorp 34,800 994 * AFC Enterprises, Inc. 51,850 993 Bandag, Inc. 36,362 993 * General Semiconductor, Inc. 94,850 992 Lawson Products, Inc. 33,850 992 Town & Country Trust REIT 48,500 989 * Carreker Corp. 46,000 989 * M.S. Carriers, Inc. 32,200 989 * Luminex Corp. 49,460 989 MacDermid, Inc. 54,900 988 * Actuate Software Corp. 103,400 987 * Albany International Corp. 52,232 987 * Charlotte Russe Holding Inc. 36,800 986 * ViroPharma Inc. 29,000 986 Penton Media, Inc. Class A 56,316 986 * Ultratech Stepper, Inc. 38,400 985 First Niagara Financial Group, Inc. 63,400 985 * Optical Cable Corp. 98,150 982 * Trammell Crow Co. 88,800 981 * TBC Corp. 102,375 981 * Pharmacyclics, Inc. 28,877 979 * Pacificare Health Systems, Inc. 60,016 978 Gold Banc Corp., Inc. 126,300 978 * World Acceptance Corp. 106,000 976 * aaiPharma Inc. 62,200 976 Getty Realty Holding Corp. 50,932 976 Pioneer Standard Electronics Inc. 76,125 974 BSB Bancorp, Inc. 42,244 974 Russell Corp. 57,300 974 * Spherion Corp. 108,700 973 * SpeechWorks International Inc. 61,940 972 * Columbia Laboratories Inc. 120,100 972 Hughes Supply, Inc. 41,061 971 Metrowest Bank 86,138 969 * Remec, Inc. 78,100 968 * UCAR International, Inc. 81,000 968 * Superior Energy Services, Inc. 122,400 967 Berry Petroleum Class A 66,500 964 FBL Financial Group, Inc. Class A 53,556 964 Flushing Financial Corp. 40,250 962 * Pemstar Inc. 65,500 962 A.M. Castle & Co. 71,325 961 * Electroglas, Inc. 54,300 961 * Prime Hospitality Corp. 81,100 961 Milacron Inc. 61,300 961 * Vail Resorts Inc. 50,500 960 * Consolidated Freightways Corp. 106,850 957 WSFS Financial Corp. 55,600 956 Carbo Ceramics Inc. 25,800 956 * Integral Systems, Inc. 39,600 956 Tucker Anthony Sutro Corp. 43,400 955 * Tower Automotive, Inc. 93,100 954 First Federal Capital Corp. 58,900 954 * PC Connection, Inc. 59,600 954 Manufactured Home Communities, Inc. REIT 33,900 953 LaSalle Hotel Properties REIT 53,400 952 * Sequa Corp. Class A 20,900 951 Suffolk Bancorp 21,200 950 * Atlas Air Worldwide Holdings, Inc. 66,987 949 * Energy Conversion Devices, Inc. 33,825 947 * Kensey Nash Corp. 56,300 942 * Littelfuse, Inc. 35,100 940 * Republic Bancshares, Inc. 55,700 940 * Amerco, Inc. 42,100 939 Airborne, Inc. 80,920 938 * Stewart Information Services Corp. 48,100 937 * Orasure Technologies, Inc. 74,900 936 Oriental Financial Group 49,266 936 * Gentiva Health Services, Inc. 51,991 936 * Aviall Inc. 85,300 936 Anchor Bancorp Wisconsin Inc. 58,800 935 * Genuity Inc. 299,632 935 Brookline Bancorp, Inc. 66,575 935 * Sequenom, Inc. 66,650 933 * CompuCredit Corp. 84,200 930 * MEMC Electronic Materials, Inc. 121,400 929 * General Maritime Corp. 63,460 927 * ADE Corp. 48,600 923 * Century Business Services, Inc. 170,700 922 * Somera Communications, Inc. 128,700 921 CIRCOR International, Inc. 51,050 921 * CardioDynamics International Corp. 171,500 921 St. Mary Land & Exploration Co. 39,400 920 Patina Oil & Gas Corp. 34,668 919 OceanFirst Financial Corp. 35,400 918 Coachmen Industries, Inc. 69,300 918 * Avant! Corp. 68,590 912 * Ciber, Inc. 96,000 912 Deb Shops, Inc. 48,500 910 East West Bancorp, Inc. 33,700 910 * Vans, Inc. 38,700 909 24 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Alliance Bancorp Inc. 30,842 $ 909 * Genzyme Transgenics Corp. 91,400 909 Brown Shoe Company, Inc. 50,306 908 * Sangamo BioSciences, Inc. 62,000 908 Northwestern Corp. 40,500 907 * Genzyme Molecular Oncology 66,951 907 JLG Industries, Inc. 73,400 906 * Artesyn Technologies, Inc. 70,200 906 * PICO Holdings, Inc. 61,645 901 * DVI, Inc. 51,200 901 * Stanford Microdevices, Inc. 53,300 901 * US Physical Therapy, Inc. 56,400 901 * FileNet Corp. 60,819 900 * Global Imaging Systems, Inc. 85,700 900 * eSPEED, Inc. 40,900 900 * Caliper Technologies Corp. 42,740 900 CFS Bancorp, Inc. 65,000 899 * Mapinfo Corp. 40,800 898 * Alcide Corp. 29,900 897 Vesta Insurance Group, Inc. 81,700 895 Central Vermont Public Service Corp. 47,300 894 Cash America International Inc. 105,210 894 * Aztar Corp. 73,900 894 * XO Communications, Inc. 465,613 894 * Belco Oil & Gas Corp. 99,200 893 * Ligand Pharmaceuticals Inc. Class B 79,000 893 Baldwin & Lyons, Inc. Class B 42,500 893 Gerber Scientific, Inc. 81,400 891 * PictureTel Corp. 159,050 891 * Insignia Financial Group, Inc. 72,966 890 * Forrester Research, Inc. 39,400 890 * 1-800 CONTACTS, Inc. 35,900 890 * Learning Tree International, Inc. 38,700 889 * J & J Snack Foods Corp. 40,100 888 Churchill Downs, Inc. 35,400 888 * Geron Corp. 63,400 888 * Progenics Pharmaceuticals, Inc. 46,400 887 * Cytogen Corp. 164,169 887 * Teledyne Technologies, Inc. 58,300 886 * Hollywood Entertainment Corp. 104,571 885 * MemberWorks, Inc. 38,200 884 Nature's Sunshine Inc. 74,700 884 Hugoton Royalty Trust 70,300 883 * MIPS Technologies, Inc. Class B 68,433 883 * Astec Industries, Inc. 51,200 883 * Insurance Auto Auctions, Inc. 51,900 882 * McMoRan Exploration Co. 58,790 882 * Alliance Semiconductor Corp. 73,350 882 * Net.B@nk, Inc. 78,000 881 * Tollgrade Communications, Inc. 30,900 881 * Internap Network Services Corp. 269,300 881 S.Y. Bancorp, Inc. 25,900 881 * Pre-Paid Legal Services, Inc. 40,000 880 * Citizens, Inc. 128,369 878 * Per-Se Technologies, Inc. 107,734 878 * Boston Communications Group, Inc. 60,900 877 * Valence Technology 136,300 876 * Benchmark Electronics, Inc. 35,900 875 * Novavax, Inc. 79,500 875 * K2 Inc. 76,445 874 Saul Centers, Inc. REIT 46,200 873 * Stein Mart, Inc. 84,300 872 * H Power Corp. 89,701 871 * Multex.com Inc. 53,500 869 * IMRglobal Corp. 79,400 868 * Maxwell Technologies, Inc. 38,900 867 * Fresh Del Monte Produce Inc. 78,600 867 Southwest Securities Group, Inc. 41,830 866 * Hyperion Solutions Corp. 57,685 865 Skyline Corp. 31,800 865 SJW Corp. 10,100 864 Pilgrim's Pride Corp. 68,800 863 * Maxxam Inc. 34,900 863 * Pegasus Solutions Inc. 74,600 862 * Atwood Oceanics, Inc. 24,500 860 CPI Corp. 35,100 860 * Kendle International Inc. 42,900 860 * Alexander's, Inc. REIT 14,300 859 * Skechers U.S.A., Inc. 29,400 859 NACCO Industries, Inc. Class A 11,000 858 * BlackRock, Inc. 25,000 857 * Vastera, Inc. 60,300 856 * DiamondCluster International, Inc. 67,235 856 * The Phoenix Companies, Inc. 46,000 856 National City Bancorporation 28,566 856 * Prize Energy Corp. 44,300 855 * CDI Corp. 50,300 855 * Penwest Pharmaceuticals Co. 55,063 853 Standex International Corp. 36,100 852 * RadiSys Corp. 37,250 851 * Asyst Technologies, Inc. 62,900 849 * Prima Energy Corp. 35,200 848 * Millennium Cell Inc. 80,200 846 * Universal Electronics, Inc. 47,000 846 * Chiles Offshore, Inc. 47,600 845 Cohu, Inc. 37,500 844 * Integrated Silicon Solution, Inc. 60,700 844 * The IT Group, Inc. 132,708 843 * J. Jill Group, Inc. 41,600 842 New England Business Service, Inc. 43,800 841 * RCN Corp. 153,100 841 * TD Waterhouse Group, Inc. 76,800 839 * Documentum, Inc. 64,900 839 * SuperGen, Inc. 56,700 835 25 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Georgia Gulf Corp. 53,882 $ 835 * Sonosite, Inc. 42,979 834 * Interlogix, Inc. 22,822 833 * Nastech Pharmaceutical Co., Inc. 84,500 832 HEICO Corp. Class A 46,322 831 * Charles River Associates Inc. 47,500 831 Crown Cork & Seal Co., Inc. 221,400 830 * Startek, Inc. 36,700 829 * Nuevo Energy Co. 50,800 828 Sterling Bancorp 27,046 828 * Christopher & Banks Corp. 25,300 825 * EPIQ Systems, Inc. 32,100 825 Boykin Lodging Co. REIT 63,900 824 * Steak n Shake Co. 88,884 822 Chesapeake Corp. of Virginia 33,183 821 * Wesco International, Inc. 89,950 819 Pennfed Financial Services, Inc. 35,400 818 * JNI Corp. 58,400 818 Universal Health Realty Income REIT 37,800 816 * Rogers Corp. 30,800 816 * Acacia Research Corp. 51,000 816 * Viewpoint Corp. 95,862 815 * QRS Corp. 49,000 813 Associated Estates Realty Corp. REIT 84,200 813 * Brio Technology, Inc. 111,400 813 * Del Monte Foods Co. 96,900 812 * Cholestech Corp. 98,300 811 * General Binding Corp. 76,500 811 * Tripath Technology Inc. 72,050 811 * Vical, Inc. 57,800 808 Brush Engineered Materials Inc. 50,500 808 City Holding Co. 61,716 806 * Vitria Technology, Inc. 233,600 804 Wintrust Financial Corp. 32,300 803 * Buckeye Technology, Inc. 55,700 802 Medford Bancorp, Inc. 39,202 802 * The Ackerley Group, Inc. 71,500 802 * 1-800-FLOWERS.COM, Inc. 54,000 801 Sanderson Farms, Inc. 63,150 800 Calgon Carbon Corp. 101,900 800 * Centennial Bancorp 96,913 800 * BioMarin Pharmaceutical Inc. 60,500 799 * I-many, Inc. 59,200 799 * Planvista Corp. 96,200 798 St. Francis Capital Corp. 36,500 798 * Ribozyme Pharmaceuticals, Inc. 79,700 797 * TransMontaigne Inc. 137,300 796 Glacier Bancorp, Inc. 41,908 796 * Entrust, Inc. 112,300 796 * Dendrite International, Inc. 71,700 796 * Quicksilver Resources, Inc. 44,200 796 * StorageNetworks, Inc. 46,750 794 * F5 Networks, Inc. 45,200 794 * Corrections Corp. of America 49,784 794 World Fuel Services Corp. 66,213 791 HEICO Corp. 41,029 788 * Connetics Corp. 103,900 788 * Horizon Organic Holding Corp. 82,300 786 * Revlon, Inc. Class A 108,200 784 Washington Trust Bancorp, Inc. 35,600 784 * Anaren Microwave, Inc. 39,100 782 First Source Corp. 27,906 781 * National Health Investors REIT 75,700 780 * Radiant Systems, Inc. 48,350 779 * Texas Biotechnology Corp. 93,000 779 * Spectrian Corp. 48,700 779 * Navigant Consulting, Inc. 94,890 778 * Sierra Health Services 110,703 776 * Network Peripherals, Inc. 66,300 776 * 3Tec Energy Corp. 43,700 776 * Offshore Logistics, Inc. 40,800 775 * Terayon Communications Systems, Inc. 126,300 773 * Guess ?, Inc. 115,300 773 * IXYS Corp. 49,400 771 * Power Integrations, Inc. 49,300 769 National Presto Industries, Inc. 25,763 765 Simmons First National 22,900 765 * Mechanical Technology Inc. 105,900 764 * Royal Appliance Manufacturing Co. 125,500 763 * Martha Stewart Living Omnimedia, Inc. 33,000 762 * Digi International, Inc. 87,150 762 * Donna Karan International Inc. 71,900 761 * NetRatings, Inc. 52,670 758 * Novoste Corp. 29,700 757 BMC Industries, Inc. 126,104 757 * Antec Corp. 61,000 756 * W-H Energy Services, Inc. 39,800 756 * ONYX Software Corp. 94,500 756 * Artisan Components, Inc. 74,100 756 * Salton, Inc. 42,450 756 HMN Financial, Inc. 44,100 754 * NPC International Class A 69,800 754 * Covansys Corp. 66,644 753 * Alexion Pharmaceuticals, Inc. 31,300 751 Merchants Bancshares, Inc. 24,400 750 * BTG Inc. 79,400 746 * Viasystems Group, Inc. 247,900 746 * BSQUARE Corp. 70,900 745 * Trans World Entertainment Corp. 78,300 745 * PLX Technology, Inc. 87,700 745 * Wiser Oil Co. 106,300 744 * Trex Co., Inc. 38,600 743 NYMAGIC, Inc. 37,500 743 26 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Kenneth Cole Productions, Inc. 36,800 $ 742 Landry's Restaurants, Inc. 43,600 741 * Take-Two Interactive Software, Inc. 39,900 740 * IDX Systems Corp. 49,282 739 * Kaiser Aluminum Corp. 185,700 739 * Plains Resources 31,100 739 * Chalone Wine Group Ltd. 61,000 738 W Holding Co., Inc. 56,700 737 * A.S.V., Inc. 54,600 737 Keithley Instruments Inc. 34,600 737 * Universal Compression Holdings, Inc. 25,900 736 Commercial Net Lease Realty REIT 51,600 735 Luby's, Inc. 75,100 735 Alliance Resource Partners, L.P. 32,300 735 * CorVel Corp. 19,700 734 * Applied Molecular Evolution 58,800 734 * APW Ltd. 72,215 733 * ResortQuest International, Inc. 63,700 733 Penn Engineering & Manufacturing Corp. 41,800 732 * AnswerThink Consulting Group, Inc. 73,200 731 * Transaction Systems Architects, Inc. 47,174 731 * Avici Systems Inc. 85,210 730 * Cellegy Pharmaceuticals, Inc. 105,800 728 * Zygo Corp. 32,700 728 * On Assignment, Inc. 40,400 727 * Applica Inc. 91,298 727 F & M Bancorp 24,356 726 Granite State Bankshares, Inc. 31,550 726 * Healthcare Services Group, Inc. 101,914 724 United Community Financial Corp. 83,100 723 * Avatar Holding, Inc. 31,400 722 Pacific Crest Capital Inc. 36,345 720 * Miravant Medical Technology 63,100 719 * Biospherics, Inc. 79,800 718 * National Beverage Corp. 77,440 716 * Earthshell Corp. 210,400 715 Sauer-Danfoss, Inc. 75,600 714 Wabash National Corp. 59,000 714 Myers Industries, Inc. 47,264 714 * Orthologic Corp. 161,800 714 * Wyndham International, Inc. Class A 285,290 713 * ITLA Capital Corp. 39,600 713 * Hollywood Casino Corp. 90,800 713 Park Electrochemical Corp. 26,950 711 Lindsay Manufacturing Co. 37,400 711 * Art Technology Group, Inc. 122,300 709 * Civic Bancorp 45,919 707 * Dril-Quip, Inc. 32,800 706 * EntreMed, Inc. 44,100 706 * FPIC Insurance Group, Inc. 53,900 704 * Keynote Systems Inc. 64,200 703 * msci, Inc. 46,400 703 * Heidrick & Struggles International, Inc. 34,500 701 MOCON, Inc. 95,362 701 * Aurora Foods Inc. 127,800 700 * Labor Ready, Inc. 133,250 698 * The Buckle, Inc. 36,900 697 Pope & Talbot, Inc. 54,000 697 * Beasley Broadcast Group, Inc. 41,000 697 * Benihana Inc. Class A 52,600 697 * Central Garden and Pet Co. 73,400 697 Badger Meter, Inc. 24,200 696 * UQM Technologies, Inc. 107,500 696 * Foodarama Supermarkets, Inc. 20,600 695 R & G Financial Corp. Class B 43,300 695 * Spectra-Physics, Inc. 30,000 694 * Microvision, Inc. 32,600 691 * Priority Healthcare Corp. Class B 24,400 690 * Three-Five Systems, Inc. 38,350 690 * LendingTree, Inc. 108,100 689 UNITILI Corp. 27,800 688 * Avigen, Inc. 32,000 688 * High Plains Corp. 161,097 685 * Callon Petroleum Co. 57,500 681 * Hydrill Co. 29,900 681 Resource Bancshares Mortgage Group, Inc. 92,800 677 * Neurogen Corp. 29,500 677 * Concurrent Computer Corp. 96,300 674 * Cell Pathways, Inc. 106,400 674 * Regeneration Technologies, Inc. 76,450 673 * Inet Technologies, Inc. 82,100 672 * Mitcham Industries, Inc. 98,800 672 * Titanium Metals Corp. 67,100 671 First Place Financial Corp. 51,925 671 * Jones Lang Lasalle Inc. 50,800 671 * Predictive Systems, Inc. 167,500 670 Cleveland-Cliffs Iron Co. 36,200 670 * Syntel, Inc. 86,905 669 * Dyax Corp. 35,152 668 * Docent, Inc. 66,800 668 Intermet Corp. 118,100 667 * Rare Hospitality International Inc. 29,500 667 Community Bank System, Inc. 23,800 666 * Western Multiplex Corporation 96,982 666 * Choice One Communications Inc. 98,800 666 Midwest Grain Products 59,450 666 * Capital Corp. of the West 45,615 663 * Trico Marine Services, Inc. 62,300 663 27 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Aspect Communications Corp. 94,700 $ 662 * SeaChange International, Inc. 36,700 662 * Boron, LePore & Associates, Inc. 48,000 661 * Proxim, Inc. 46,900 661 * Clayton Williams Energy, Inc. 39,000 661 * Audiovox Corp. 59,500 660 * The Gymboree Corp. 77,660 660 Arch Chemicals, Inc. 30,200 659 Bay State Bancorp, Inc. 20,800 658 * Huttig Building Products, Inc. 129,626 657 * Illumina, Inc. 55,780 657 * Todd Shipyards Corp. 82,100 657 Abington Bancorp Inc. 41,700 657 * Witness Systems, Inc. 59,700 656 * MRO Software Inc. 41,500 656 * Volt Information Sciences Inc. 37,400 655 Independent Bank Corp. 26,630 654 Klamath First Bancorp 44,400 654 * Genta Inc. 48,600 651 * Telular Corp. 64,525 650 * Mesaba Holdings, Inc. 70,300 648 Foster Wheeler Ltd. 71,400 646 Met-Pro Corp. 47,846 646 * Capital Crossing Bank 38,400 646 * Aquila, Inc. 26,200 646 * Proton Energy Systems, Inc. 53,800 646 * Aether Systems, Inc. 72,800 644 Bank of Granite Corp. 28,000 644 * IDT Corp. 47,600 643 * Continental Materials Corp. 30,200 643 Donnelly Corp. 45,212 642 * Gulfmark Offshore, Inc. 20,800 642 * MGI Pharma, Inc. 51,200 640 * Sanchez Computer Associates, Inc. 48,000 636 * OneSource Information Services, Inc. 75,600 635 Mission West Properties Inc. REIT 52,400 634 * Websense, Inc. 31,700 634 * North American Scientific, Inc. 43,700 634 * Nu Horizons Electronics Corp. 66,650 633 * EMS Technologies, Inc. 41,514 633 * Fairchild Corp. 90,300 633 Rock-Tenn Co. 51,550 631 * Aftermarket Technology Corp. 85,300 627 * Res-Care, Inc. 75,800 626 BostonFed Bancorp, Inc. 27,300 625 * World Wrestling Federation Entertainment, Inc. 45,200 624 * Click Commerce, Inc. 69,200 623 * Syntroleum Corp. 68,500 623 * OmniVision Technologies, Inc. 110,400 623 NCH Corp. 15,900 622 * AVANT Immunotherapeutics, Inc. 109,900 621 * Willis Lease Finance Corp. 56,000 620 * Lexent Inc. 71,600 619 * Ace Cash Express, Inc. 60,350 619 * Clarent Corp. 67,200 618 * AT&T Latin America Corp. Class A 123,700 616 National Golf Properties, Inc. REIT 22,600 616 * ParkerVision, Inc. 23,500 615 * PC-Tel, Inc. 66,700 614 * Pentastar Communications Inc. 25,500 612 * America West Holdings Corp. Class B 61,300 611 * Inspire Pharmaceuticals, Inc. 43,600 610 * United Therapeutics Corp. 45,600 609 Hancock Fabrics, Inc. 68,000 609 Frisch's Restaurants, Inc. 43,934 608 Central Bancorp, Inc. 27,700 608 * Oil States International, Inc. 65,900 608 * SPSS, Inc. 38,400 607 * Beacon Power Corp. 87,900 607 * Digital Generation Systems 145,795 605 * Terra Industries, Inc. 154,942 604 * Packeteer, Inc. 48,200 604 Correctional Properties Trust REIT 42,400 604 Ampco-Pittsburgh Corp. 53,365 603 * Orphan Medical, Inc. 53,200 602 * UNOVA, Inc. 87,500 602 Senior Housing Properties Trust REIT 46,220 601 * Hoenig Group, Inc. 54,300 600 * Datastream Systems, Inc. 79,500 599 * First Consulting Group, Inc. 83,242 599 * Lifeline Systems, Inc. 30,300 599 * Dave & Busters 71,060 598 * Genrad, Inc. 99,511 597 * Prodigy Communications Corp. Class A 104,700 596 * Sharper Image Corp. 56,800 595 * Immune Response 124,983 594 * The Kroll-O'Gara Co. 62,500 591 * Hyseq, Inc. 51,200 589 * Mortons Restaurant Group 29,800 588 First Bell Bancorp, Inc. 40,200 587 TransTechnology Corp. 66,800 586 * OfficeMax, Inc. 158,600 585 Franklin Electric, Inc. 7,700 584 * A.T. Cross Co. Class A 87,400 581 Cascade Bancorp 51,340 580 Psychemedics, Inc. 136,456 580 * The Pantry, Inc. 76,300 580 * Water Pik Technologies, Inc. 68,600 580 28 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Horizon Offshore, Inc. 42,800 $ 578 TC Pipelines LP 25,100 577 * Q-Med, Inc. 52,600 576 * Systems & Computer Technology Corp. 63,700 576 * Mayor's Jeweler's, Inc. 138,600 575 * Matria Healthcare, Inc. 36,519 575 * Playboy Enterprises, Inc. Class B 36,650 574 * Molecular Devices Corp. 28,600 573 * ZixIt Corp. 62,550 572 * Triangle Pharmaceuticals, Inc. 121,900 570 Bassett Furniture Industries, Inc. 45,300 570 * Drexler Technology Corp. 47,311 568 Alabama National BanCorporation 17,500 568 * Frontier Airlines, Inc. 46,350 568 * hi/fn, inc. 37,467 567 Flexsteel Industry 47,300 567 Maine Public Service Co. 19,700 566 L. S. Starrett Co. Class A 27,600 566 Yardville National Bancorp 40,385 565 * Navigant International, Inc. 40,369 565 * WatchGuard Technologies, Inc. 55,100 565 * ORATEC Interventions, Inc. 60,910 565 * Actuant Corp. 34,263 564 * CTB International Corp. 62,900 563 The Middleby Corp. 93,800 563 RAIT Investment Trust 34,300 563 U.S. Industries, Inc. 137,190 562 * Insmed Incorporated 62,525 562 * Tanning Technology Corp. 115,800 562 * BioTime, Inc. 72,900 561 * Cumulus Media Inc. 41,300 561 * Identix, Inc. 89,700 561 * Aclara Biosciences, Inc. 56,550 559 * Computer Network Technology Corp. 52,700 559 California Independent Bancorp 21,241 557 BEI Technologies, Inc. 20,600 556 Warren Bancorp, Inc. 61,600 556 * Applied Microsystems Corp. 103,800 555 Methode Electronics, Inc. Class A 64,400 554 * Zomax Inc. 62,100 553 * Infogrames, Inc. 72,800 553 * Rainbow Rentals, Inc. 79,000 553 * Digex, Inc. 42,500 553 * Wackenhut Corp. 32,000 552 Angelica Corp. 50,100 551 People's Bancshares, Inc. 34,550 551 * KFX, Inc. 207,750 551 * OPNET Technologies, Inc. 30,800 550 * LoJack Corp. 96,200 550 * Silicon Image, Inc. 110,000 550 * Peregrine Pharmaceuticals, Inc. 209,100 550 * Switchboard Inc. 93,145 550 Blair Corp. 33,700 549 * Mapics Inc. 90,600 544 Ohio Valley Banc Corp. 21,725 543 TriCo Bancshares 32,300 543 * Columbia Banking System, Inc. 42,510 542 * Hector Communications Corp. 42,650 542 * MediChem Life Sciences, Inc. 107,000 540 * Bell Microproducts Inc. 45,100 539 Puerto Rican Cement Co., Inc. 22,700 539 * Sunrise Telecom Inc. 90,600 539 Great Southern Bancorp, Inc. 20,500 539 * Maxim Pharmaceuticals, Inc. 85,300 538 * Trendwest Resorts, Inc. 23,000 538 PMC Capital, Inc. 68,800 537 * National R. V. Holdings, Inc. 35,773 537 Redwood Empire Bancorp 18,100 536 BHA Group Holdings Inc. 39,137 534 * Magnum Hunter Resources Inc. 60,000 534 * Turnstone Systems, Inc. 76,100 533 * Merix Corp. 30,450 533 * Orchid Biosciences 69,600 532 * Standard Microsystem 29,700 532 Oregon Trail Financial Corp. 36,400 531 Tecumseh Products Co. Class B 11,900 531 * SONICblue Inc. 160,732 530 Knape & Vogt Manufacturing Co. 41,868 530 * America Service Group Inc. 20,700 530 Bush Industries, Inc. 40,110 527 FINOVA Group, Inc. 142,496 527 Scope Industries 12,500 526 * APAC Teleservices, Inc. 165,589 525 * IDT Corp. Class B 47,600 524 * MP3.com, Inc. 107,800 523 * Metrologic Instruments, Inc. 49,300 523 * Extensity, Inc. 51,735 523 * Blue Rhino Corp. 101,200 522 IMCO Recycling, Inc. 73,500 522 Bowne & Co., Inc. 45,300 521 * Waste Holdings, Inc. 66,750 521 * Restoration Hardware, Inc. 95,800 520 * Tradestation Group Inc. 97,880 519 * Gabelli Asset Management Inc. 12,600 518 * U S Liquids Inc. 112,700 518 Oregon Steel Mills, Inc. 60,800 517 * CSK Auto Corp. 62,138 516 * Sorrento Networks Corp. 42,900 514 * LabOne, Inc. 75,900 512 * CCC Information Services Group 86,000 511 * Constellation Brands, Inc. Class B 12,750 510 * McAfee.com Corp. 41,500 510 * Tyler Technologies, Inc. 212,000 509 PVF Capital Corp. 47,262 508 29 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * NMS Communications Corp. 72,500 $ 508 * Neon Communications, Inc. 72,600 507 * U.S. Energy Corp. 102,770 505 * Wireless Facilities, Inc. 77,600 504 * MetaSolv, Inc. 63,600 504 * NATCO Group Inc. 57,300 504 * Integrated Electrical Services, Inc. 51,700 504 * Evans & Sutherland Computer Corp. 61,997 504 * Pinnacle Systems, Inc. 83,308 504 * Management Network Group Inc. 82,300 502 * LCA-Vision, Inc. 200,237 501 * William Lyon Homes, Inc. 40,100 500 * Danielson Holdings Corp. 112,200 499 Aceto Corp. 49,662 498 * BioLase Technology, Inc. 98,100 496 * Seven Seas Petroleum Inc. 206,700 496 Penford Corp. 42,709 495 Green Mountain Power Corp. 31,007 495 Virco Manufacturing Corp. 47,984 494 * BWC Financial Corp. 23,111 494 * InVision Technologies, Inc. 127,900 492 * Eden Bioscience Corp. 49,234 492 * Kana Software, Inc. 241,024 492 * COMARCO, Inc. 33,150 491 * AP Pharma Inc. 163,100 489 * Elite Information Group, Inc. 73,500 489 * ACT Teleconferencing, Inc. 78,200 489 * Goody's Family Clothing 121,800 488 * Resources Connection, Inc. 18,900 488 Apex Mortgage Capital, Inc. REIT 43,000 488 * Concord Communications, Inc. 54,100 487 Medallion Financial Corp. 47,400 486 * OTG Software, Inc. 69,300 485 United Fire & Casualty Co. 16,600 485 Southern Financial Bancorp, Inc. 19,200 485 * Landmark Systems Corp. 131,100 484 * Pinnacle Holdings Inc. REIT 80,200 482 * Consolidated Graphics, Inc. 28,300 481 Pacific Gulf Properties, Inc. REIT 98,300 481 State Financial Services Corp. Class A 37,500 478 * Florida Banks, Inc. 79,000 478 * QAD Inc. 136,300 477 * The TriZetto Group, Inc. 51,400 475 * Software Spectrum, Inc. 39,200 475 * ARIAD Pharmaceuticals, Inc. 93,700 475 * Silicon Graphics, Inc. 341,700 475 Craftmade International, Inc. 42,400 475 * Princeton Video Image, Inc. 93,800 474 * Interlink Electronics Inc. 58,350 473 Kaiser Ventures Inc. 36,800 473 * Orbital Sciences Corp. 121,800 473 Ryerson Tull, Inc. 34,977 472 * Large Scale Biology Corp. 66,400 471 * Matrix Bancorp, Inc. 45,200 471 * Laser Mortgage Management, Inc. 117,900 470 * Midwest Express Holdings, Inc. 27,100 470 * iBasis, Inc. 94,000 470 * Brightpoint, Inc. 161,800 469 * Uniroyal Technology Corp. 55,200 469 * SignalSoft Corp. 40,764 469 * Kforce Inc. 71,866 467 Midas Inc. 36,533 464 * EEX Corp. 171,433 463 * Encompass Services Corp. 51,595 462 TF Financial Corp. 23,312 460 Westbanco Inc. 18,300 459 * Meade Instruments Corp. 68,200 459 * ATP Oil & Gas Corp. 40,800 459 CPB, Inc. 15,500 458 * Aware, Inc. 50,900 458 * Candela Corp. 69,800 457 Plains All American Pipeline, L.P. 19,700 456 * ePlus Inc. 43,000 453 Guaranty Federal Bancshares, Inc. 39,700 453 * Lynx Therapeutics Inc. 65,925 451 Liberty Homes, Inc. Class A 84,900 450 * Famous Dave's of America, Inc. 46,500 450 * Onyx Acceptance Corp. 81,500 448 * LightPath Technologies, Inc. 50,100 446 U.S.B. Holding Co., Inc. 29,234 446 First Mutual Bancshares, Inc. 37,144 446 * Braun Consulting, Inc. 55,300 445 * Sipex Corp. 38,200 444 * Inforte Corp. 36,305 444 * ITXC Corp. 63,400 444 * DRS Technologies, Inc. 19,300 444 * Sonic Innovations, Inc. 68,400 441 Caraustar Industries, Inc. 47,900 441 * BioCryst Pharmaceuticals, Inc. 68,300 441 * Ciphergen Biosystems, Inc. 65,100 439 Bairnco Corp. 70,200 439 * Acmat Corp. Class A 45,600 438 * EXE Technologies, Inc. 74,636 437 * CenterSpan Communications Corp. 41,600 437 * Vivus, Inc. 140,900 437 MutualFirst Financial Inc. 30,074 436 * Alliance Pharmaceutical Corp. 193,800 436 * Interpore International 88,000 436 * WJ Communications, Inc. 93,650 435 * Rimage Corp. 52,000 434 * ChromaVision Medical Systems, Inc. 86,300 433 Spartan Motors, Inc. 109,600 433 Cobalt Corp. 61,700 432 30 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- CVB Financial Corp. 22,485 $ 432 * Image Entertainment, Inc. 130,500 431 * Rainbow Technologies, Inc. 77,000 430 * American Bank Note Holographics, Inc. 186,000 430 * Nashua Corp. 61,500 427 * HotJobs.com Ltd. 47,400 427 * PTEK Holdings, Inc. 161,900 424 * Infinity, Inc. 39,000 423 * ITC DeltaCom, Inc. 105,600 422 * Superconductor Technologies Inc. 70,400 422 * Greka Energy Corp. 38,535 422 * Bombay Co. 156,062 421 * DigitalThink, Inc. 59,800 420 Steelcase Inc. 34,900 417 * Thermo Fibertek, Inc. 143,100 415 * Ultralife Batteries, Inc. 63,800 415 * Digitas Inc. 94,155 414 * Deltagen, Inc. 45,984 413 * Terremark Worldwide, Inc. 272,700 412 * Carrier Access Corp. 68,503 410 * Franklin Covey Co. 74,300 409 Redwood Trust, Inc. REIT 17,900 407 BNP Residential Properties, Inc. 40,500 405 Amcast Industrial Corp. 47,400 405 * Success Bancshares, Inc. 22,000 405 * Wave Systems Corp. 75,400 405 * Allscripts Healthcare Solutions, Inc. 44,900 404 * Advanced Lighting Technologies, Inc. 91,620 403 First Essex Bancorp, Inc. 16,300 403 * Cosine Communications, Inc. 179,672 402 * SureBeam Corp. 23,500 402 * Twinlab Corp. 155,500 401 * Crossroads Systems, Inc. 61,800 401 * Spanish Broadcasting System, Inc. 48,800 401 * Pegasystems Inc. 117,200 400 * Gadzooks, Inc. 30,500 399 Summit Bancshares, Inc. 21,200 399 * Epimmune Inc. 106,200 398 Konover Property Trust, Inc. REIT 133,400 398 * SONUS Pharmaceuticals, Inc. 122,200 397 The First Years Inc. 35,400 396 * M&F Worldwide Corp. 102,900 396 * Zonagen, Inc. 128,900 396 * Datum Inc. 29,300 396 * Chase Industries, Inc. 42,350 396 * Monterey Pasta Co. 49,700 395 * Liberty Satellite & Technology, Inc. Class A 154,777 395 * Headwaters Inc. 24,600 394 * Roxio, Inc. 30,264 393 First of Long Island Corp. 9,750 393 SLI, Inc. 47,678 393 Communications Systems, Inc. 52,100 391 North Valley Bancorp 27,700 391 * Data Systems & Software, Inc. 56,500 390 * Metromedia International Group, Inc. 118,500 390 Landmark Bancshare, Inc. 21,000 385 * Burlington Industries, Inc. 166,900 384 Mississippi Chemical Corp. 123,955 383 * Divine Inc. 182,370 383 * Foamex International, Inc. 51,700 383 * Transworld Healthcare Inc. 119,445 382 American Land Lease, Inc. 30,814 382 Boston Acoustics, Inc. 29,000 379 * Gliatech Inc. 89,200 379 Greater Delaware Valley Savings Bank 23,205 379 Humphrey Hospitality Trust, Inc. REIT 111,700 379 * Graphic Packaging International Corp. 79,600 378 * SilverStream Software, Inc. 53,500 377 * VerticalNet, Inc. 151,300 377 * Universal Stainless & Alloy Products, Inc. 40,700 374 * Nobility Homes, Inc. 42,100 374 * Hollywood Media Corp. 62,300 373 * Ditech Communications Corp. 50,200 372 * TTM Technologies, Inc. 42,200 371 * Globecomm Systems, Inc. 55,300 371 Herbalife International Class B 42,400 371 Main Street Bancorp, Inc. 33,182 370 * Viisage Technology, Inc. 152,800 370 * Echo Bay Mines Ltd. 374,500 367 * Acceptance Insurance Cos. Inc. 69,900 367 * Copper Mountain Networks, Inc. 89,200 366 Omnova Solutions Inc. 50,000 364 * Argonaut Technologies Inc. 69,700 362 * Support.com, Inc. 55,995 361 * American Science & Engineering, Inc. 58,700 361 * Laser Vision Centers, Inc. 135,700 360 * Blue Martini Software, Inc. 119,792 359 United Mobile Homes, Inc. REIT 32,700 358 * Netro Corp. 84,100 357 * Lydall, Inc. 29,700 356 * Trident Microsystems, Inc. 87,600 356 * Harvard Bioscience, Inc. 32,200 355 Comdisco, Inc. 266,976 355 * NZ Corp. 83,405 354 * Rocky Shoes & Boots, Inc. 77,500 354 * Virage Logic Corp. 22,800 353 31 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Second Bancorp, Inc. 15,400 $ 353 * Applied Innovation Inc. 42,100 352 * Gundle/SLT Environmental, Inc. 132,600 351 * SITEL Corp. 218,600 350 * Conductus, Inc. 67,600 349 * Hawthorne Financial Corp. 19,200 348 * Immersion Corp. 49,700 348 * Osteotech, Inc. 76,450 348 * Oxigene, Inc. 66,061 347 * Cysive, Inc. 109,400 347 * Abaxis, Inc. 65,800 347 * Steinway Musical Instruments Inc. 19,600 346 * Key Tronic Corp. 167,700 345 * Competitive Technologies, Inc. 60,300 344 * Wilsons The Leather Experts Inc. 18,500 343 * Zoltek Cos., Inc. 77,200 343 * CB Richard Ellis Services, Inc. 21,800 342 * TiVo Inc. 62,200 342 * Perini Corp. 39,700 341 * HomeBase, Inc. 98,800 341 Timberline Software Corp. 65,933 340 * CacheFlow Inc. 68,800 339 * iManage, Inc. 92,900 339 * The Source Information Management Co. 61,300 339 * Garden Fresh Restaurant Corp. 44,600 339 * Nanogen, Inc. 49,900 339 Heritage Financial Corp. 31,800 338 BP Prudhoe Bay Royalty Trust 23,500 336 * Hoover's, Inc. 70,600 335 * Micronetics Wireless, Inc. 80,900 334 * Mobius Management Systems, Inc. 101,200 334 USG Corp. 79,100 334 Merchants Group, Inc. 15,700 334 * LifeCell Corp. 154,200 332 * Cytoclonal Pharmaceutics Inc. 90,800 331 * Colorado MEDtech, Inc. 84,700 329 Penn Virginia Corp. 10,000 329 * Multilink Technology Corp. 23,000 329 * Tristar Corp. 113,000 328 * i3 Mobile, Inc. 112,450 326 * Workflow Management, Inc. 52,545 326 * Commonwealth Telephone Enterprises Class B 7,400 326 * Zila, Inc. 121,800 325 * UTStarcom, Inc. 13,950 325 First Bancorp North Carolina 13,150 324 * WorldGate Communications, Inc. 63,500 324 * Advanced Magnetics, Inc. 75,300 320 * 3 Dimensional Pharmaceuticals 33,081 318 * Artisoft, Inc. 69,800 317 * Rentrak Corp. 88,000 317 Progress Financial Corp. 39,838 317 * Koala Corp. 79,000 316 * Highlands Insurance Group 65,100 316 * Gadzoox Networks, Inc. 97,800 314 * Playboy Enterprises Inc. Class A 22,850 313 * Network Plus Corp. 115,500 313 * Price Enterprises, Inc. 45,168 313 Vulcan International Corp. 7,800 312 * Modtech Holdings, Inc. 45,379 311 * Cambridge Technology Partners 87,534 310 * ACTV, Inc. 92,901 309 * VA Linux Systems, Inc. 87,852 307 * Park-Ohio Holdings Corp. 64,009 307 * Universal American Financial Corp. 49,400 307 * ACT Manufacturing, Inc. 27,900 305 * Hamilton Bancorp, Inc. 43,600 305 * Bank Plus Corp. 44,800 305 * Metawave Communications Corp. 58,730 305 * Covad Communications Group, Inc. 301,750 305 LSB Bancshares, Inc. 22,100 304 * Allou Health & Beauty, Inc. 74,200 304 * ShopKo Stores, Inc. 41,755 304 * Cellstar Corp. 141,005 303 * Department 56 Inc. 39,600 303 * CoStar Group, Inc. 11,459 301 * Manufacturers' Services Limited 50,600 301 * Mail-Well, Inc. 70,600 300 * Rush Enterprises, Inc. 50,900 299 * Enesco Group, Inc. 49,400 299 EDO Corp. 18,700 298 * Liberty Digital, Inc. 48,800 297 * Federal Agricultural Mortgage Corp. Class A 10,400 297 * Escalade, Inc. 12,605 296 * Cohesion Technologies, Inc. 55,803 296 * Omega Worldwide, Inc. 111,315 295 * Gaylord Container Corp. 280,600 295 Penn Engineering & Manufacturing Corp. Class A 16,600 294 * Clarus Corp. 47,700 293 * Mossimo, Inc. 84,800 293 * Interleukin Genetics, Inc. 111,300 292 * HyperFeed Technologies, Inc. 137,300 291 * PracticeWorks Inc. 35,059 291 * Gartner, Inc. Class B 31,600 291 * eGain Communications Corp. 107,882 290 * Talk America Holdings, Inc. 308,625 290 Cavalry Bancorp, Inc. 27,200 290 * Procom Technology, Inc. 32,000 289 Golden Enterprises Inc. 75,900 288 * Key Production Company, Inc. 17,300 288 32 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Comfort Systems USA, Inc. 79,400 $ 287 * Optical Communication Products, Inc. 27,000 287 Kramont Realty Trust 21,000 287 * InfoCure Corp. 120,638 287 Charter Municipal Mortgage Acceptance Co. 18,000 287 * MTI Technology Corp. 140,400 286 National Penn Bancshares Inc. 14,100 285 * Digital River, Inc. 63,300 285 * Provell, Inc. 69,300 284 * The Rottlund Co. 56,700 284 G & L Realty Corp. REIT 20,971 283 * Variagenics, Inc. 73,900 281 Commercial Bank of New York 8,900 280 * Repligen Corp. 116,700 280 * Docucorp International 77,740 280 Royal Gold, Inc. 91,100 280 * Captaris Inc. 134,100 279 * Network Equipment Technologies, Inc. 86,647 277 * iGATE Capital Corp. 77,000 277 Newmil Bancorp, Inc. 23,900 277 * Stamps.Com Inc. 73,500 276 * Troy Group, Inc. 63,800 274 * The Sports Authority, Inc. 77,800 273 * Adelphia Business Solutions, Inc. 66,600 273 * Viant Corp. 146,000 273 * CTC Communications Group, Inc. 89,200 273 Connecticut Bancshares, Inc. 10,400 272 * Blount International, Inc. 108,414 271 * VIB Corp. 31,009 271 * SmartDisk Corp. 64,900 269 * Friendly Ice Cream Corp. 116,700 268 * Selectica, Inc. 61,900 265 Madison Gas & Electric Co. 9,500 264 * Computer Task Group, Inc. 72,508 264 * E-Z-EM, Inc. Class A 49,700 263 * American Dental Partners, Inc. 62,700 263 * TransPro Inc. 69,110 263 * SCM Microsystems, Inc. 25,200 262 Cascade Natural Gas Corp. 12,300 262 * inSilicon Corp. 57,700 262 * Samsonite Corp. 91,607 261 * Bluegreen Corp. 120,440 260 * Litronic Inc. 94,400 260 * Collateral Therapeutics, Inc. 43,200 259 * National Techteam, Inc. 97,700 259 * Technology Solutions Co. 144,896 258 Mystic Financial, Inc. 16,400 257 Three Rivers Bancorp, Inc. 22,850 257 * Sanders Morris Harris Group Inc. 42,775 257 * Focal Communications Corp. 107,200 253 * Micron Electronics, Inc. 158,600 252 Ameriserv Financial Inc. 48,900 252 * Simula, Inc. 68,000 252 * Ohio Art Co. 14,800 252 * PJ America Inc. 29,700 251 * Convera Corp. 50,200 251 * E. Gottschalk & Co., Inc. 75,500 249 * J Net Enterprises, Inc. 61,627 249 Omega Healthcare Investors, Inc. REIT 82,141 246 MFB Corp. 12,000 246 * Hayes Lemmerz International, Inc. 38,400 246 * Concord Camera Corp. 41,600 245 * AGENCY.COM Inc. 75,660 244 * Medtox Scientific, Inc. 19,820 243 * Superior Consultant Holdings Corp. 52,600 242 * PCD, Inc. 53,300 241 * SafeNet, Inc. 24,000 240 * OmniSky Corp. 119,800 240 * ANC Rental Corp. 79,792 239 * JLM Industries, Inc. 91,500 238 * Datron Systems, Inc. 15,800 238 * FMC Technologies Inc. 11,500 237 * Belmont Bancorp. 64,640 236 * Previo, Inc. 72,225 235 * Primus Knowledge Solutions, Inc. 39,300 235 * Obie Media Corp. 33,210 234 Marine Products Corp. 55,020 234 Acadia Realty Trust REIT 33,500 234 * Barrett Business Services, Inc. 62,300 234 * Wit Soundview Group, Inc. 126,800 232 * Community Capital Corp. 23,110 231 East Texas Financial Services, Inc. 24,000 231 * Communication Intelligence Corp. 251,600 229 * Radio Unica Corp. 76,600 228 * Media 100 Inc. 143,489 228 * Lakes Gaming, Inc. 30,800 228 * Electric Fuel Corp. 89,500 227 * Bottomline Technologies, Inc. 42,000 227 * US LEC Corp. Class A 83,100 224 * Level 8 Systems Inc. 47,100 223 * Chordiant Software, Inc. 71,700 222 * Gilman & Ciocia, Inc. 76,000 222 Urstadt Biddle Properties REIT 26,300 221 Phillips International Realty Corp. REIT 52,400 220 * Republic First Bancorp, Inc. 42,030 220 * XETA Technologies Inc. 42,500 220 * Natrol, Inc. 93,100 219 * Hathaway Corp. 58,200 218 33 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Wackenhut Corp. Class B 15,862 $ 218 Peoples Holding Co. 6,600 218 Liberte Investors, Inc. 51,400 217 * Brass Eagle Inc. 23,600 217 * Genesee & Wyoming Inc. Class A 11,100 216 * Virbac Corp. 41,610 216 * Ethyl Corp. 159,904 216 * America Online Latin America, Inc. 24,000 216 * Superior Telecom Inc. 76,416 215 Polaroid Corp. 82,700 215 * Maynard Oil Co. 11,000 213 * barnesandnoble.com inc. 130,749 213 * Epicor Software Corp. 157,412 213 * American Classic Voyager Co. 60,700 212 Big Foot Financial Corp. 14,100 212 * ShoLodge, Inc. 39,333 211 * Peco II, Inc. 32,024 210 * Capital Trust Class A 32,500 210 * Engage, Inc. 285,900 209 * ValueClick, Inc. 65,200 209 * TSR, Inc. 37,300 209 * Glacier Water Services, Inc. 22,700 208 * eBT International, Inc. 76,900 208 * Pumatech, Inc. 68,700 206 * Resonate Inc. 49,380 205 * Tricord Systems, Inc. 75,600 205 * StarMedia Network, Inc. 109,800 204 Mills Corp. REIT 8,300 204 * Delta Apparel, Inc. 11,890 204 * Tarantella, Inc. 118,900 203 Southwest Water Co. 13,900 202 First Sentinel Bancorp Inc. 14,900 202 * Hecla Mining Co. 175,800 202 Pilgrim's Pride Corp. Class A 23,100 202 * VISTA Information Solutions, Inc. 178,900 200 * Tumbleweed Communications Corp. 52,588 199 * Segue Software, Inc. 73,200 198 German American Bancorp 12,489 198 * Sizzler International 136,050 197 * CKE Restaurants Inc. 59,774 197 * Phoenix Technologies Ltd. 13,500 197 * USinternetworking, Inc. 163,625 196 * Westell Technologies, Inc. 129,940 195 * Astronics Corp. 12,700 193 * Traffix, Inc. 57,400 192 * Classic Vacation Group, Inc. 94,700 192 * BayCorp Holdings, Ltd. 20,200 192 Federal-Mogul Corp. 113,442 192 Westpoint Stevens, Inc. 138,914 192 * Isignia Systems, Inc. 29,000 192 * Netopia, Inc. 31,200 192 * Metro Information Services, Inc. 47,800 191 * Aronex Pharmaceuticals, Inc. 172,400 190 * Imperial Credit 164,674 189 * Extended Systems Inc. 27,300 189 * Ceres Group, Inc. 34,600 189 * Dynamics Research Corp. 21,000 188 * Infocrossing, Inc. 35,200 188 Bank Mutual Corp. 13,300 188 * Ebenx Inc. 57,100 187 * Penn Octane Corp. 55,000 187 * Wink Communications, Inc. 72,900 187 Timberland Bancorp, Inc. 12,400 187 * Kellstrom Industries, Inc. 96,300 186 Bowl America, Inc. Class A 17,745 185 * Franklin Electronic Publishers, Inc. 72,300 184 * NetManage, Inc. 255,657 184 * Novatel Wireless, Inc. 90,400 184 * Liquid Audio, Inc. 61,700 182 * Home Products International Inc. 63,320 182 * Amplidyne, Inc. 121,100 182 * Bio-logic Systems, Corp. 46,200 182 * Glenayre Technologies, Inc. 141,812 182 * Mediware Information Systems, Inc. 60,300 181 * Beta Oil & Gas, Inc. 22,600 181 * California Micro Devices Corp. 25,500 180 * INT Media Group, Inc. 44,900 180 ABC Bancorp 16,100 180 * OAO Technology Solutions, Inc. 103,620 179 * Protection One, Inc. 155,300 179 * Trimedyne, Inc. 142,600 178 * Zones, Inc. 88,100 177 * Perficient, Inc. 50,931 176 United Guardian, Inc. 34,600 175 * TCSI Corp. 152,829 174 * Curon Medical Inc. 87,100 174 * PurchasePro.com, Inc. 117,400 174 Nitches Inc. 30,128 173 American Home Mortgage Holdings, Inc. 14,500 173 * Semitool, Inc. 14,400 172 * Intertrust Technologies Corp. 142,240 171 * Owens Corning 84,000 169 * Kirby Corp. 6,800 168 * Official Payments Corp. 32,500 167 * Versant Corp. 104,400 167 * Pac-West Telecom, Inc. 86,070 167 * Strategic Distribution, Inc. 20,530 166 * AtheroGenics, Inc. 27,600 166 Union Community Bancorp 12,800 162 * Food Technology Service, Inc. 77,050 162 34 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Medialink Worldwide, Inc. 43,100 $ 160 America First Mortgage Investments, Inc. REIT 21,600 160 * Precision Optics Corp. 103,200 160 * GRIC Communications, Inc. 53,300 160 * Latitude Communications, Inc. 79,700 159 * Party City Corp. 28,800 158 * Wilshire Oil Co. of Texas 41,000 158 * Applix, Inc. 80,579 157 * American Software, Inc. Class A 92,150 157 National Steel Corp. Class B 91,000 157 * Net2Phone, Inc. 26,000 156 * Cardinal Financial Corp. 26,100 156 * MeriStar Hotels & Resorts, Inc. REIT 86,200 155 * Sagent Technology, Inc. 103,300 155 * Lightspan Inc. 123,100 154 * Personnel Group of America, Inc. 111,196 153 * Winfield Capital Corp. 76,500 153 * LookSmart, Ltd. 145,700 153 * Lexar Media, Inc. 95,985 153 * Clean Harbors Inc. 55,200 152 * Evercel, Inc. 45,164 151 * Jenny Craig Inc. 100,600 151 * MarketWatch.com, Inc. 60,800 150 * Integrated Telecom Express, Inc. 72,990 149 * National Information Consortium, Inc. 81,800 149 * Hawk Corp. Class A 24,000 149 * Industrial Distribution Group, Inc. 69,200 149 * SoftNet Systems, Inc. 75,800 149 * Scient Corp. 159,700 149 * Novadigm, Inc. 13,100 147 CCBT Financial Cos. Inc. 4,900 147 Borel Bank & Trust Co. 4,100 146 * SOS Staffing Services, Inc. 111,500 146 * iXL Enterprises, Inc. 120,100 145 * Informax, Inc. 20,300 145 Financial Corp. 13,650 145 Polymer Group, Inc. 63,900 144 * MicroStrategy Inc. 51,400 144 Kentucky First Bancorp, Inc. 11,600 144 * MCK Communications, Inc. 65,000 143 * Niku Corp. 142,700 143 * Be Free, Inc. 116,500 142 * First Virtual Communications, Inc. 157,400 142 * o2wireless Solutions, Inc. 69,000 141 * Andrea Radio Corp. 85,700 141 * BindView Development Corp. 67,000 141 * ScreamingMedia Inc. 47,850 141 * V-One Corp. 107,400 141 Prime Group Realty Trust REIT 10,400 140 * Team, Inc. 42,300 140 * Elcom International, Inc. 82,700 138 * Alpine Group, Inc. 86,300 138 DeWolfe Companies, Inc. 17,700 138 * eXcelon Corp. 93,900 138 * Mercator Software, Inc. 54,864 137 * Coeur D'Alene Mines Corp. 102,500 136 * Zamba Corp. 135,800 136 * Vertel Corp. 109,591 135 * Global Power Equipment Group Inc. 4,600 135 * Raindance Communications, Inc. 93,500 135 * NaviSite, Inc. 92,700 134 * Exabyte Corp. 139,800 134 * New Century Equity Holdings Corp. 133,672 134 * Appiant Technologies Inc. 53,900 133 * Systemax Inc. 54,546 133 * Chiquita Brands International, Inc. 91,165 132 * NetZero Inc. 156,200 131 * Loudcloud, Inc. 43,000 131 * VIA NET.WORKS, Inc. 84,050 129 * Equinix, Inc. 120,730 129 * Critical Path, Inc. 126,600 129 * Guilford Mills, Inc. 61,925 128 * Computer Horizons Corp. 41,138 128 * SEEC, Inc. 47,900 128 * Renaissance Worldwide, Inc. 95,500 127 * Meta Group, Inc. 49,200 127 * Cyber-Care, Inc. 101,100 126 * Consumer Portfolio Services, Inc. 71,600 125 Harrodsburg First Financial Bancorp 9,800 124 * ClickAction, Inc. 60,200 123 * Ask Jeeves, Inc. 64,900 123 * Komag, Inc. 371,524 123 * SpeedUs.com, Inc. 110,500 122 * Lantronix, Inc. 11,750 121 * Paradyne Networks, Inc. 65,600 121 * Corio, Inc. 95,200 119 * Concero, Inc. 107,400 118 * E-LOAN, Inc. 112,400 118 * Globix Corp. 58,700 118 Gainsco, Inc. 98,261 118 * Preview Systems, Inc. 34,040 117 Peoples Bancorp of North Carolina 7,271 117 * Digital Impact, Inc. 93,100 116 * Emex Corp. 10,700 116 * Keystone Consolidated Industries, Inc. 68,219 116 * GMX Resources Inc. 11,000 116 * Frontline Capital Group 76,800 115 Peoples BancTrust Co., Inc. 9,900 115 35 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- BioSpecifics Technology 40,800 $ 115 * US SEARCH.com Inc. 53,300 115 * Loudeye Technologies, Inc. 76,385 115 First M&F Corp. 4,653 113 * Geoworks 75,100 113 * Natural Alternatives International, Inc. 49,500 111 * BioSphere Medical Inc. 8,600 110 * MyPoints.com, Inc. 42,300 109 * Hanover Direct, Inc. 374,676 109 * Outlook Group Corp. 19,200 108 * PC Mall, Inc. 65,200 108 * Huntco Inc. Class A 147,400 107 * SAVVIS Communications Corp. 148,400 107 * Peerless Systems Corp. 57,500 106 * Concur Technologies, Inc. 70,700 105 West Coast Bancorp 8,184 104 * Caldera International, Inc. 71,500 104 FNB Financial Services Corp. 7,300 103 * A.B. Watley Group Inc. 13,600 102 * H.T.E., Inc. 40,400 102 * Data Return Corp. 58,100 102 Bangor Hydro-Electric Co. 3,800 101 Corporate Office Properties Trust, Inc. REIT 10,100 101 Astro-Med, Inc. 41,850 101 * National Bancshares Corp. of Texas 5,500 101 * Capital Title Group, Inc. 40,800 100 * Carrington Labs Inc. 88,272 100 * Dice Inc. 45,700 100 * Primus Telecommunications Group, Inc. 21,400 100 * Metretek Technologies, Inc. 68,100 99 Nash-Finch Co. 4,200 99 * Lifeway Foods, Inc. 13,500 99 * Birmingham Steel Corp. 95,050 99 * Click2learn, Inc. 60,700 98 * Mpower Holding Corp. 102,000 97 Equity One, Inc. REIT 8,600 97 * CyberSource Corp. 59,400 96 * Questcor Pharmaceuticals, Inc. 171,500 96 * Paul-Son Gaming Corp. 35,500 96 * Friede Goldman Halter, Inc. 217,743 96 * Galyan's Trading Co. 4,600 94 * DSL.Net, Inc. 112,800 92 * CopyTele, Inc. 151,000 92 * WHX Corp. 47,564 91 * Jupiter Media Metrix, Inc. 70,750 91 * Vyyo Inc. 61,500 91 * MessageMedia Inc. 165,300 91 * eLoyalty Corp. 90,896 91 * Neff Corp. 106,100 90 * Calton, Inc. 15,400 90 * SportsLine.com, Inc. 39,000 90 * High Speed Access Corp. 74,500 89 * Atrion Corp. 3,900 89 * Budget Group, Inc. 37,100 89 * Intraware, Inc. 76,500 89 Vista Bancorp, Inc. 4,305 87 * Equivest Finance, Inc. 41,275 87 * Metricom 50,100 87 * SystemOne Technologies Inc. 40,500 86 * Motient Corp. 79,700 85 Berkshire Bancorp Inc. 2,785 85 * Com21, Inc. 47,400 85 PMR Corp. 56,500 85 * TheStreet.com, Inc. 56,450 85 * Tor Minerals International, Inc. 40,700 84 * 800 Travel Systems, Inc. 85,600 84 * Marimba, Inc. 39,600 84 * Razorfish Inc. 153,150 83 * IntraBiotics Pharmaceuticals, Inc. 56,700 82 * Airnet Communications Corp. 56,290 82 * Hanger Orthopedic Group, Inc. 32,100 82 * Elastic Networks Inc. 44,200 82 * American Access Technologies Inc. 80,800 82 * Gallery of History, Inc. 25,900 82 * Audible, Inc. 119,900 82 * Virage, Inc. 23,500 81 * Catalina Lighting, Inc. 64,600 81 * Net4Music Inc. 75,400 81 FNB Corp. 5,500 80 * Drugstore.com, Inc. 70,200 79 * MPW Industrial Services Group, Inc. 63,200 79 * Delta Woodside 97,900 78 BankAtlantic Bancorp, Inc. Class A 9,000 78 * Royale Energy, Inc. 7,590 78 * Net2000 Communications, Inc. 71,890 78 * Open Market, Inc. 65,600 77 Port Financial Corp. 3,800 77 * En Pointe Technologies, Inc. 49,300 77 * P-Com, Inc. 139,600 77 * Vornado Operating Inc. REIT 55,529 77 * Crescent Operating, Inc. REIT 101,680 76 * Allied Holdings, Inc. 29,900 76 * Juno Online Services, Inc. 52,400 76 Herbalife International Class A 7,600 76 * Lynch Corp. 2,600 76 * MAI Systems Corp. 150,575 75 * FirePond, Inc. 66,300 74 * iVillage Inc. 51,079 74 * Unity Bancorp, Inc. 17,225 73 * autobytel.com inc. 50,800 72 * Esenjay Exploration, Inc. 17,900 72 36 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Peapod, Inc. 71,500 $ 72 * Covalent Group, Inc. 23,800 71 * Craig Corp. 35,023 71 * Z-Tel Technologies, Inc. 47,265 71 * Neoforma.com, Inc. 82,800 70 * Vicinity Corp. 40,900 70 * Mediaplex, Inc. 76,602 70 * Data Critical Corp. 35,526 70 * Jade Financial Corp. 5,200 70 * net.Genesis Corp. 89,195 70 * Lante Corp. 94,000 69 Wainwright Bank & Trust Co. 8,300 69 * iBEAM Broadcasting Corp. 175,549 68 * eCollege.com Inc. 21,800 68 * eMerge Interactive, Inc. 58,350 68 * Ames Department Stores, Inc. 47,509 66 * Raytel Medical Corp. 32,733 65 * Cognitronics Corp. 10,900 65 * Lifeminders, Inc. 41,100 65 * Rainmaker Systems, Inc. 87,500 65 Agree Realty Corp. REIT 3,400 65 * Net Perceptions, Inc. 37,400 64 * SafeScience, Inc. 32,100 64 * Eagle Food Centers, Inc. 22,950 63 * Network Engines, Inc. 67,200 62 * Organic, Inc. 143,250 62 * Eprise Corp. 71,000 61 * Spectrum Control, Inc. 10,200 61 * Triton Network Systems, Inc. 74,504 60 Ecology and Environment, Inc. 6,925 59 * AML Communications, Inc. 68,000 58 * Global TeleSystems, Inc. 319,800 58 * BUY.COM, Inc. 191,100 57 * NTN Communications, Inc. 75,300 57 * Emcee Broadcast Products, Inc. 47,000 56 * I-Link, Inc. 108,400 56 * Cypress Bioscience, Inc. 19,012 55 Presidential Realty Corp. 7,800 55 Sphinx International Inc. 55,900 55 * Tut Systems, Inc. 32,600 54 * Encore Acquisition Co. 4,700 54 * Newcor, Inc. 43,880 54 * C-bridge Internet Solutions, Inc. 32,108 53 * HA-LO Industries, Inc. 132,400 53 * On2 Technologies, Inc. 104,600 52 * Oriole Homes Corp. Class B 19,300 52 * Daleen Technologies, Inc. 62,800 51 * Global Sports, Inc. 6,420 51 * Checkers Drive-In Restaurants, Inc. 8,700 51 * CAIS Internet, Inc. 68,600 51 * Ariel Corp. 105,600 51 * C2, Inc. 7,500 51 * Rare Medium Group, Inc. 123,300 51 * j2 Global Communications, Inc. 12,075 50 * FairMarket, Inc. 50,100 50 * Enchira Biotechnology Corp. 53,614 49 * American Coin Merchandising, Inc. 8,800 49 * Versata, Inc. 73,200 49 * Axs-One Inc. 125,300 49 * ATEC Group, Inc. 60,000 49 * Oakwood Homes Corp. 9,700 49 * Florsheim Group Inc. 55,315 48 First Midwest Financial, Inc. 3,750 46 * EA Engineering Sciences and Technology Inc. 41,700 46 * AppliedTheory Corp. 90,700 46 * InsWeb Corp. 59,200 46 * Zengine, Inc. 16,424 46 * Be Inc. 102,400 46 Eastern Virginia Bankshares, Inc. 3,000 46 * Allied Riser Communications Corp. 86,400 46 * Autoweb.com, Inc. 97,400 46 * The Right Start, Inc. 23,900 45 * Talarian Corp. 26,400 45 Stifel Financial Corp. 3,700 45 * Duck Head Apparel Co., Inc. 9,790 45 * MediaBay, Inc. 65,500 45 * Adams Golf, Inc. 47,100 44 * Darling International, Inc. 77,900 43 * Styleclick, Inc. 41,700 43 * Accelerated Networks, Inc. 84,238 42 * Cellular Technical Services 13,565 42 * eMachines, Inc. 214,030 42 * Interliant Inc. 75,300 41 * Schick Technologies, Inc. 40,000 40 * Arguss Communications, Inc. 8,100 40 * USDATA Corp., Inc. 86,750 40 * Internet America, Inc. 66,200 40 * Egghead.com, Inc. 67,614 39 Thistle Group Holdings, Co. 4,100 39 * NetObjects Inc. 49,200 39 * General DataComm Industries, Inc. 132,300 38 * Exchange Applications, Inc. 35,500 38 * IGI, Inc. 68,500 38 * Profile Technologies, Inc. 29,500 37 * Luminant Worldwide Corp. 44,500 36 * Information Architects Corp. 28,500 36 * Merry Land Properties, Inc. REIT 4,750 36 * Advanced Switching Communications, Inc. 12,300 36 * Accrue Software, Inc. 73,800 35 * Horizon Medical Products, Inc. 28,200 35 * SciQuest.com, Inc. 33,800 35 * HMG Worldwide Corp. 55,000 35 37 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Analytical Surveys, Inc. 24,700 $ 35 * Netpliance, Inc. 92,775 34 * Pierre Foods, Inc. 27,600 34 * Sun Community Bancorp, Ltd. 3,800 34 * Persistence Software, Inc. 71,100 34 * Evolve Software, Inc. 59,823 34 * Torch Offshore, Inc. 3,400 34 * MedicaLogic/Medscape, Inc. 57,210 34 * Nematron Corp. 63,000 34 * HearMe 82,100 34 Prosperity Bancshares, Inc. 1,400 34 * Netcentives Inc. 64,100 33 * Contour Energy Co. 14,800 33 * VCampus Corp. 20,300 32 * Peet's Coffee & Tea Inc. 3,900 32 * Merisel, Inc. 16,131 31 * Criimi Mae, Inc. REIT 50,351 31 * Leapnet, Inc. 28,037 31 * NCO Portfolio Management, Inc. 5,177 31 * National Research Corp. 5,400 30 * Hotelworks.com Inc. 84,800 30 * Embrex, Inc. 1,900 30 * Bitstream Inc. 9,600 29 * Technisource, Inc. 18,700 29 * SPEEDCOM Wireless Corp. 12,000 29 * Netsmart Technologies, Inc. 14,133 29 * Ventro Corp. 71,100 28 * Tickets.com, Inc. 74,800 28 * Internet Commerce & Communications, Inc. 172,700 28 Weider Nutritional International, Inc. 12,100 27 * Interstate Hotels Corp. REIT 9,509 27 * Avado Brands, Inc. 53,976 26 * FiberNet Telecom Group, Inc. 23,400 26 * TenFold Corp. 60,900 26 * Adaptive Broadband Corp. 80,200 26 * VASCO Data Security International, Inc. 8,000 26 * Carmike Cinemas, Inc. Class A 45,100 26 * E Com Ventures, Inc. 23,200 25 * HORIZON Pharmacies, Inc. 58,800 25 * Miller Exploration Co. 26,600 25 * PeoplePC Inc. 124,720 25 * Navarre Corp. 20,300 25 * Prime Retail, Inc. REIT 91,700 25 * Towne Services, Inc. 28,760 25 * Claimsnet.com Inc. 9,600 25 * e.spire Communications, Inc. 236,800 25 * Applied Graphics Technologies, Inc. 20,280 24 * Avenue A, Inc. 18,300 24 * Diedrich Coffee, Inc. 6,000 24 * Video Network Communications, Inc. 11,700 24 Sizzlers Property Investors, Inc. REIT 2,500 24 * Viador, Inc. 62,200 24 * InterDent, Inc. 61,274 23 * Unify Corp. 77,274 23 * Landec Corp. 5,800 23 * Internet Pictures Corp. 90,438 23 * Webvan Group Inc. 281,706 23 * Technical Communications Corp. 14,000 22 * Allied Devices Corp. 11,200 22 * Lowrance Electronics, Inc. 7,700 21 * Alphanet Solutions, Inc. 9,600 21 * Shoe Pavilion, Inc. 21,100 21 * Network Access Solutions Corp. 67,900 21 * Bel Fuse, Inc. Class A 700 21 * Aames Financial Corp. 15,420 21 * Advanced Nutraceuticals, Inc. 11,225 21 * Telaxis Communications Corp. 32,950 21 * Aptimus, Inc. 68,360 21 * Cypress Communications, Inc. 67,700 20 * Telescan, Inc. 59,300 20 * Advantage Marketing Systems, Inc. 6,600 20 * Ampex Corp. Class A 57,800 20 * THCG, Inc. 78,400 20 * AvantGo, Inc. 9,700 19 First Federal Bancorp, Inc. 3,300 19 Chemical Financial Corp. 640 19 * Delta Financial Corp. 52,900 19 Troy Financial Corp. 1,000 18 * E-Stamp Corp. 93,000 18 * SteelCloud Company 33,200 17 * Monarch Dental Corp. 7,017 17 * Central European Distribution Corp. 3,600 16 * Teligent, Inc. 82,500 16 * Global ePoint, Inc. 11,600 16 * Webhire, Inc. 4,980 15 EnergySouth, Inc. 700 15 * Chromatics Color Sciences International, Inc. 116,600 15 * ICH Corp. 3,520 15 Semco Energy Inc. 1,000 15 * Crown Crafts, Inc. 56,740 15 K-Swiss, Inc. 600 14 * Landair Corp. 2,500 14 Salient 3 Communications Class A 6,000 14 * Peoples Community Bancorp 1,000 14 * Calico Commerce Inc. 49,100 14 * Santa Barbara Restaurant Group 6,300 14 Bandag, Inc. Class A 600 14 38 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Hubbell Inc. Class A 500 $ 14 * I-Link Inc. Series N Pfd. 75 14 * Summit Financial Corp. 1,400 14 * Verado Holdings, Inc. Class B 61,800 14 * Rhythms NetConnections Inc. 128,400 13 * Startec Global Communications Corp. 87,700 13 * Alterra Healthcare Corp. 59,200 13 * Fresh America Corp. 44,700 13 * Astronics Corp. Class B 760 13 * Sonic Solutions, Inc. 9,700 13 * Barrister Information Systems Corp. 18,000 13 Casual Male Corp. 83,909 13 * DevX Energy, Inc. 1,900 12 * Sames Corp. 72,750 12 * GlobalNet, Inc. 14,200 12 * Hudson Technology, Inc. 5,600 12 * DiaSys Corp. 15,600 12 * Sento Corporation 6,700 12 * Beyond.com Corp. 57,100 11 * Viatel, Inc. 124,790 11 Financial Institutions, Inc. 500 11 * Lechters Corp. 143,700 11 * 24/7 Media, Inc. 34,100 11 First Southern Bancshares 1,600 10 Reader's Digest Assn., Inc. Class B 400 10 * Onvia.com, Inc. 14,800 10 * Breakaway Solutions, Inc. 58,000 10 * Metrocall, Inc. 204,600 10 * EasyLink Services Corp. 18,385 10 * eGames, Inc. 71,800 10 * Verso Technologies, Inc. 11,700 10 * ImproveNet, Inc. 28,000 10 * Amresco Inc. 11,080 10 * OMNI Energy Services Corp. 7,400 9 * Petrocorp, Inc. 1,000 9 * Olympic Cascade Financial Corp. 2,900 9 * Horizon Group Properties, Inc. REIT 3,415 9 * Ashford.com, Inc. 41,100 9 Ramco-Gershenson Properties Trust REIT 500 9 * Isomet Corp. 1,300 9 * PerfectData Corp. 6,100 8 Capital Properties, Inc. 900 8 L. S. Starrett Co. Class B 400 8 * STM Wireless, Inc. 6,800 8 The Warnaco Group, Inc.Class A 140,678 8 * Cybear Group 16,840 8 * eRoomSystem Technologies, Inc. 8,100 8 * Vizacom Inc. 6,709 7 * Radview Software Ltd. 9,000 7 * iPrint Technologies Inc. 11,100 7 * Stan Lee Media, Inc. 70,070 7 * VoiceFlash Networks, Inc. 4,900 6 * theglobe.com, inc. 30,600 6 * Promotions.com, Inc. 17,300 6 * ActionPoint, Inc. 2,300 6 * The Plastic Surgery Co. 3,700 6 * Aztec Technology Partners, Inc. 96,968 6 * Williams Controls, Inc. 3,700 6 * Marketing Specialists Corp. 239,400 5 Malan Realty Investors, Inc. 600 5 * Benton Oil & Gas Co. 3,200 5 * SMC Corp. 1,400 5 * TechSys, Inc. 3,500 5 * CoActive Marketing Group, Inc. 2,000 5 Citizens First Financial Corp. 300 5 Urstadt Biddle Properties REIT Class A 500 5 * Entrada Networks, Inc. 6,475 5 * General Bearing Corp. 1,200 5 * Waterlink, Inc. 24,900 4 * CPI Aerostructures, Inc. 2,400 4 * ARTISTdirect, Inc. 5,185 4 * Firstwave Technologies, Inc. 5,000 4 * Optika Inc. 2,900 3 * Frontier Insurance Group, Inc. 79,930 3 * Investors Capital Holdings, Ltd. 900 3 * ProcureNet, Inc. 21,000 3 * American Pacific Bank 880 3 * NEXIQ Technologies, Inc. 1,500 3 * Network Commerce Inc. 5,013 3 * Corrpro Cos., Inc. 900 2 * Washington Group International, Inc. 29,200 2 * Amwest Insurance Group, Inc. 2,300 2 * H.D. Vest, Inc. 100 2 * Travis Boats & Motors, Inc. 700 2 * Cortex Pharmaceuticals, Inc. 700 2 * ZeroPlus.com, Inc. 66,900 2 Musicmaker.com, Inc. 700 2 * The Knot, Inc. 3,500 2 * U.S. Xpress Enterprises, Inc. 200 1 * Gradco Systems, Inc. 4,000 1 * Morton Industrial Group, Inc. 900 1 * Caliber Learning Network, Inc. 82,200 1 Merrill Merchants Bancshares, Inc. 100 1 * Diamond Hill Investment Group Inc. 1,000 1 * Continucare Corp. 3,000 1 * Strouds, Inc. 69,100 1 * Charles & Colvard Ltd. 700 1 39 - -------------------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Heartland Technology, Inc. 2,300 $ 1 Prolong International Corp. 2,500 -- AHT Corp. 56,500 -- L.A. Gear, Inc. 136,216 -- Penncorp Financial Group, Inc. 91,400 -- American Aircarriers Support, Inc. 35,500 -- Fortune Financial, Inc. 3,400 -- Steamline.com, Inc. 4,000 -- Quokka Sports Inc. 136 -- - -------------------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $5,520,816) 5,003,414 - -------------------------------------------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (4.5%)(1) - -------------------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 4.64%, 7/12/2001 $ 7,000 6,993 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 4.07%, 7/2/2001 46,230 46,230 4.07%, 7/2/2001--Note F 171,113 171,113 - -------------------------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $224,333) 224,336 - -------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.5%) (COST $5,745,149) 5,227,750 - -------------------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.5%) - -------------------------------------------------------------------------------------------------------------------- Other Assets--Note B 46,471 Security Lending Collateral Payable to Brokers--Note F (171,113) Other Liabilities (51,157) --------- (175,799) --------- - -------------------------------------------------------------------------------------------------------------------- NET ASSETS (100%) $5,051,951 ==================================================================================================================== *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 3.5%, respectively, of net assets. See Note E in Notes to Financial Statements. (2)Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------------------------------------------- AT JUNE 30, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------------------------------------------- Paid-in Capital $5,548,373 Undistributed Net Investment Income 15,650 Accumulated Net Realized Gains 5,446 Unrealized Depreciation--Note E Investment Securities (517,399) Futures Contracts (119) - -------------------------------------------------------------------------------------------------------------------- NET ASSETS $5,051,951 ==================================================================================================================== Investor Shares--Net Assets Applicable to 139,637,104 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,449,114 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INVESTOR SHARES $24.70 ==================================================================================================================== Admiral Shares--Net Assets Applicable to 28,578,789 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $706,071 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- ADMIRAL SHARES $24.71 ==================================================================================================================== Institutional Shares--Net Assets Applicable to 36,274,318 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $896,766 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INSTITUTIONAL SHARES $24.72 ====================================================================================================================
40
- -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES SHARES (000) - -------------------------------------------------------------------------------------------------------------------- COMMON STOCKS (99.6%)(1) - -------------------------------------------------------------------------------------------------------------------- * Genzyme Corp. 532,984 32,512 * IDEC Pharmaceuticals Corp. 410,530 27,789 * SunGard Data Systems, Inc. 738,700 22,168 * IVAX Corp. 549,234 21,420 * Millennium Pharmaceuticals, Inc. 598,762 21,304 * Electronic Arts Inc. 365,918 21,187 M & T Bank Corp. 266,900 20,151 * Quest Diagnostics, Inc. 258,516 19,350 * NVIDIA Corp. 192,371 17,842 * DST Systems, Inc. 337,290 17,775 Telephone & Data Systems, Inc. 161,298 17,541 * Atmel Corp. 1,276,154 17,215 * Rational Software Corp. 559,024 15,681 Marshall & Ilsley Corp. 283,171 15,263 R.J. Reynolds Tobacco Holdings, Inc. 278,044 15,181 * Gilead Sciences, Inc. 260,426 15,154 * Weatherford International, Inc. 312,755 15,012 Washington Post Co. Class B 26,133 15,000 * BroadWing Inc. 599,846 14,666 * Jones Apparel Group, Inc. 332,607 14,369 * Health Management Associates Class A 674,016 14,181 SEI Corp. 298,500 14,149 North Fork Bancorp, Inc. 445,067 13,797 National Commerce Financial Corp. 564,504 13,757 * Apollo Group, Inc. Class A 320,501 13,605 * BJ Services Co. 452,624 12,845 * Cadence Design Systems, Inc. 683,952 12,742 * International Game Technology 203,442 12,733 * SPX Corp. 100,719 12,608 * Microchip Technology, Inc. 360,805 12,358 First Tennessee National Corp. 352,988 12,252 * Abercrombie & Fitch Co. 272,484 12,126 Family Dollar Stores, Inc. 472,252 12,104 * RF Micro Devices, Inc. 448,500 12,020 * Express Scripts 215,250 11,845 * AmeriCredit Corp. 227,600 11,824 * American Standard Cos., Inc. 196,317 11,799 Dime Bancorp, Inc. 315,813 11,764 Golden State Bancorp Inc. 371,300 11,436 TECO Energy, Inc. 373,184 11,382 * Westwood One, Inc. 296,723 10,934 Green Point Financial Corp. 277,632 10,661 * BJ's Wholesale Club, Inc. 200,160 10,660 * Protein Design Labs, Inc. 120,200 10,429 Radian Group, Inc. 254,980 10,314 * SCI Systems, Inc. 404,323 10,310 DPL Inc. 348,089 10,081 * LAM Research Corp. 339,900 10,078 TCF Financial Corp. 216,476 10,025 A.G. Edwards & Sons, Inc. 221,030 9,946 * Affiliated Computer Services, Inc. Class A 138,227 9,940 * Waters Corp. 358,636 9,902 * Park Place Entertainment 815,355 9,866 Hillenbrand Industries, Inc. 171,893 9,817 Mylan Laboratories, Inc. 343,459 9,661 * CDW Computer Centers, Inc. 241,633 9,595 UtiliCorp United, Inc. 312,472 9,546 * Everest Re Group, Ltd. 126,868 9,490 Old Republic International Corp. 325,893 9,451 * Macrovision Corp. 137,900 9,446 * BISYS Group, Inc. 159,700 9,422 Compass Bancshares Inc. 352,184 9,333 * Integrated Device Technology Inc. 293,719 9,308 Ultramar Diamond Shamrock Corp. 196,538 9,286 Hormel Foods Corp. 380,980 9,273 Neuberger Berman Inc. 134,700 9,160 Murphy Oil Corp. 124,034 9,129 * Symantec Corp. 208,050 9,090 * Global Marine, Inc. 485,320 9,041 American Water Works Co., Inc. 272,601 8,988 ENSCO International, Inc. 381,824 8,935 Legg Mason Inc. 179,497 8,932 The PMI Group Inc. 122,043 8,868 * Lincare Holdings, Inc. 294,780 8,846 Sovereign Bancorp, Inc. 678,486 8,820 * Vishay Intertechnology, Inc. 379,133 8,720 * Hispanic Broadcasting Corp. 299,974 8,606 * Dollar Tree Stores, Inc. 308,715 8,595 Expeditors International of Washington, Inc. 143,100 8,586 Banknorth Group, Inc. 378,928 8,583 * MiniMed, Inc. 178,122 8,550 * Sepracor Inc. 213,929 8,514 * CSG Systems International, Inc. 145,410 8,434 * Micrel, Inc. 252,905 8,346 Allmerica Financial Corp. 145,002 8,338 * Smith International, Inc. 139,161 8,336 * Cypress Semiconductor Corp. 349,233 8,329 * Cooper Cameron Corp. 148,800 8,303 * Vertex Pharmaceuticals, Inc. 165,800 8,207 SCANA Corp. 288,201 8,185 Ocean Energy, Inc. 468,597 8,177 Northeast Utilities 393,783 8,171 * L-3 Communications Holdings, Inc. 106,711 8,142 * Synopsys, Inc. 167,812 8,120 Reader's Digest Assn., Inc. Class A 281,820 8,102 41 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES SHARES (000) - -------------------------------------------------------------------------------------------------------------------- AmeriSource Health Corp. 145,200 8,030 McCormick & Co., Inc. 189,251 7,952 The Timber Co. 221,566 7,921 Galileo International, Inc. 240,728 7,824 * Oxford Health Plan 271,432 7,763 Hibernia Corp. Class A 435,351 7,749 Wisconsin Energy Corp. 324,176 7,706 * Ceridian Corp. 401,000 7,687 Mercantile Bankshares Corp. 195,623 7,655 Jack Henry & Associates 243,500 7,548 * CheckFree Corp. 211,288 7,410 Astoria Financial Corp. 134,708 7,409 IBP, Inc. 291,751 7,367 Lennar Corp. 174,646 7,283 * Lattice Semiconductor Corp. 297,900 7,269 Avnet, Inc. 322,987 7,241 * ChoicePoint Inc. 170,950 7,188 * Apogent Technologies Inc. 290,594 7,149 Bergen Brunswig Corp. Class A 371,776 7,146 Unitrin, Inc. 185,765 7,133 * Brinker International, Inc. 274,603 7,098 ICN Pharmaceuticals, Inc. 222,615 7,061 * Barnes & Noble, Inc. 179,414 7,060 Waddell & Reed Financial, Inc. 219,330 6,964 * Devry, Inc. 191,689 6,924 * Barr Labs Inc. 97,300 6,851 Beckman Coulter, Inc. 165,716 6,761 * American Eagle Outfitters, Inc. 191,459 6,747 Energy East Corp. 320,223 6,696 * Entercom Communications Corp. 124,600 6,680 Eaton Vance Corp. 190,600 6,633 * Chris-Craft Industries, Inc. 92,767 6,624 * Arrow Electronics, Inc. 271,648 6,598 Associated Banc-Corp. 182,086 6,553 Sonoco Products Co. 261,974 6,518 C.H. Robinson Worldwide, Inc. 232,874 6,495 * Trigon Healthcare, Inc. 100,017 6,486 Protective Life Corp. 188,672 6,485 Fastenal Co. 104,429 6,472 Cabot Corp. 179,680 6,472 * First Health Group Corp. 268,304 6,471 Martin Marietta Materials, Inc. 130,209 6,444 * Retek Inc. 134,000 6,424 Viad Corp. 242,226 6,395 Alliant Energy Corp. 217,596 6,343 Diebold, Inc. 197,058 6,335 DENTSPLY International Inc. 142,431 6,317 Tidewater Inc. 166,604 6,281 Potomac Electric Power Co. 299,693 6,270 Manpower Inc. 208,663 6,239 * Dun & Bradstreet Corp. 221,200 6,238 FirstMerit Corp. 235,497 6,217 Puget Energy, Inc. 237,164 6,214 NSTAR 145,802 6,205 Bowater Inc. 138,511 6,197 Valero Energy Corp. 168,303 6,190 International Speedway Corp. 146,182 6,140 * Lear Corp. 175,840 6,137 * Williams-Sonoma, Inc. 155,524 6,037 * Outback Steakhouse 209,451 6,032 First Virginia Banks, Inc. 127,038 5,986 Equitable Resources, Inc. 179,400 5,976 Newport News Shipbuilding Inc. 97,432 5,968 Clayton Homes Inc. 379,327 5,963 * National-Oilwell, Inc. 222,300 5,958 MDU Resources Group, Inc. 186,700 5,907 * Health Net Inc. 338,454 5,889 * International Rectifier Corp. 172,300 5,875 Investors Financial Services Corp. 87,200 5,842 City National Corp. 131,341 5,817 * Energizer Holdings, Inc. 252,424 5,793 Arthur J. Gallagher & Co. 222,000 5,772 * Hanover Compressor Co. 173,383 5,737 * Triad Hospitals, Inc. 194,464 5,731 PepsiAmericas, Inc. 430,156 5,721 * Gentex Corp. 205,200 5,719 * Semtech Corp. 190,496 5,715 * Mandalay Resort Group 207,895 5,696 Belo Corp. Class A 301,608 5,682 * Nova Corp. (Georgia) 180,645 5,681 Pacific Century Financial Corp. 220,012 5,674 * E*TRADE Group, Inc. 878,780 5,668 National Fuel Gas Co. 108,882 5,661 American Financial Group, Inc. 186,718 5,658 Tyson Foods, Inc. 611,389 5,631 Wilmington Trust Corp. 89,382 5,600 Questar Corp. 222,439 5,508 Noble Affiliates, Inc. 155,491 5,497 The MONY Group Inc. 136,400 5,474 * Advent Software, Inc. 85,000 5,397 Tootsie Roll Industries, Inc. 138,999 5,357 GATX Corp. 133,349 5,347 * Six Flags, Inc. 252,952 5,322 Ross Stores, Inc. 221,713 5,310 * Polycom, Inc. 228,434 5,275 Conectiv, Inc. 244,161 5,274 Precision Castparts Corp. 140,716 5,266 * Valassis Communications, Inc. 146,950 5,261 * Grant Prideco, Inc. 300,650 5,258 * SanDisk Corp. 187,100 5,218 Omnicare, Inc. 256,261 5,176 Allete, Inc. 226,179 5,089 * Mohawk Industries, Inc. 143,928 5,066 Herman Miller, Inc. 208,982 5,057 * Cirrus Logic 217,534 5,010 * United Rentals, Inc. 192,900 5,006 * TriQuint Semiconductor, Inc. 221,401 4,982 42 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- Lyondell Chemical Co. 323,551 4,976 * Tech Data Corp. 148,337 4,948 Leucadia National Corp. 152,200 4,939 Harris Corp. 181,171 4,930 * Borders Group, Inc. 220,039 4,929 * Varco International, Inc. 263,304 4,900 OGE Energy Corp. 214,447 4,849 * Jacobs Engineering Group Inc. 73,627 4,803 * KEMET Corp. 241,100 4,776 Houghton Mifflin Co. 79,453 4,762 Valspar Corp. 133,735 4,748 * Advanced Fibre Communications, Inc. 223,300 4,689 * Network Associates, Inc. 376,159 4,683 Hubbell Inc. Class B 160,986 4,669 Teleflex Inc. 106,036 4,666 * Catalina Marketing Corp. 152,900 4,665 * Cor Therapeutics, Inc. 152,800 4,660 * Informix Corp. 793,647 4,635 * Sybase, Inc. 280,753 4,618 * Pioneer Natural Resources Co. 270,381 4,610 * Labranche & Co. Inc. 157,900 4,579 Pentair, Inc. 134,883 4,559 * Coach, Inc. 119,800 4,558 * National Instruments Corp. 140,000 4,543 * Indymac Bancorp, Inc. REIT 168,000 4,502 Webster Financial Corp. 135,584 4,444 Roslyn Bancorp, Inc. 168,967 4,444 * Incyte Genomics, Inc. 181,026 4,439 Reynolds & Reynolds Class A 201,912 4,432 Provident Financial Group, Inc. 134,496 4,428 * 3Com Corp. 930,774 4,421 * LifePoint Hospitals, Inc. 99,700 4,415 * Investment Technology Group, Inc. 87,327 4,392 Colonial BancGroup, Inc. 304,600 4,380 Lubrizol Corp. 140,907 4,375 * Scholastic Corp. 96,658 4,069 Harte-Hanks, Inc. 174,936 4,331 Helmerich & Payne, Inc. 139,265 4,316 * Apria Healthcare 147,951 4,268 * Edwards Lifesciences Corp. 161,898 4,268 * Cytec Industries, Inc. 111,175 4,225 * Quantum Corp.-DLT & Storage Systems 416,099 4,198 Kansas City Power & Light Co. 170,262 4,180 Western Resources, Inc. 194,000 4,171 * Keane, Inc. 186,516 4,103 * Cabot Microelectronics Corp. 65,980 4,091 * Suiza Foods Corp. 75,649 4,017 * Emmis Communications, Inc. 130,200 4,004 Lee Enterprises, Inc. 120,597 3,980 HCC Insurance Holdings, Inc. 161,800 3,964 * Payless ShoeSource, Inc. 61,065 3,951 HON Industries, Inc. 163,087 3,950 * Storage Technology Corp. 286,228 3,938 Dean Foods Corp. 97,946 3,937 * Legato Systems, Inc. 244,531 3,900 * Furniture Brands International Inc. 138,325 3,873 Vectren Corp. 186,332 3,857 WestAmerica Bancorporation 98,061 3,849 Donaldson Co., Inc. 121,972 3,799 CNF Inc. 134,287 3,794 * STERIS Corp. 188,605 3,782 * Plexus Corp. 113,600 3,749 * Saks Inc. 390,368 3,748 Dial Corp. 261,177 3,722 AK Steel Corp. 296,684 3,720 * Sensormatic Electronics Corp. 218,511 3,715 York International Corp. 105,733 3,703 Solutia, Inc. 285,086 3,635 * Covance, Inc. 159,958 3,623 * Quanta Services, Inc. 164,383 3,623 BorgWarner, Inc. 72,439 3,594 IDACORP, Inc. 103,014 3,593 * Wind River Systems Inc. 204,500 3,571 AGL Resources Inc. 149,732 3,556 * Credence Systems Corp. 144,400 3,500 Rayonier Inc. 74,676 3,469 WGL Holdings, Inc. 127,698 3,462 DQE Inc. 153,709 3,458 Public Service Co. of New Mexico 107,698 3,457 Sierra Pacific Resources 216,003 3,454 * The Titan Corp. 149,402 3,421 Hawaiian Electric Industries Inc. 89,285 3,411 Crompton Corp. 311,349 3,394 * LTX Corp. 132,400 3,384 Lancaster Colony Corp. 102,584 3,383 * Perrigo Co. 202,258 3,376 * Swift Transportation Co., Inc. 174,410 3,359 * GTech Holdings Corp. 94,298 3,348 Callaway Golf Co. 211,303 3,339 Blyth, Inc. 129,566 3,331 * CommScope, Inc. 141,394 3,323 Montana Power Co. 285,634 3,313 * Lands' End, Inc. 80,897 3,248 * The Neiman Marcus Group, Inc. Class A 104,200 3,230 IMC Global Inc. 315,319 3,216 * Acxiom Corp. 245,519 3,214 * Flowserve Corp. 104,311 3,208 Pittston Brink's Group 142,242 3,171 Kennametal, Inc. 84,208 3,107 * Marine Drilling Co., Inc. 161,600 3,088 * Plantronics, Inc. 133,200 3,084 * Mentor Graphics Corp. 175,915 3,078 43 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * Price Communications Corp. 151,700 3,063 ArvinMeritor, Inc. 181,235 3,034 * VISX Inc. 155,712 3,013 * Silicon Valley Bancshares 135,800 2,988 Universal Corp. 75,114 2,979 Harsco Corp. 109,515 2,971 Federal Signal Corp. 125,146 2,937 Dole Food Co. 153,599 2,926 Greater Bay Bancorp 117,100 2,925 Albemarle Corp. 126,188 2,924 * Macromedia, Inc. 161,915 2,914 Western Gas Resources, Inc. 89,300 2,911 Media General, Inc. Class A 63,154 2,905 Carlisle Co., Inc. 83,296 2,905 Granite Construction Co. 113,084 2,875 Overseas Shipholding Group Inc. 94,058 2,873 Alexander & Baldwin, Inc. 111,487 2,871 Black Hills Corp. 71,319 2,869 Cleco Corp. 123,928 2,819 Ametek Aerospace Products Inc. 90,775 2,773 * Packaging Corp. of America 178,500 2,772 * Avocent Corp. 121,564 2,766 * Sawtek Inc. 116,426 2,739 Superior Industries International, Inc. 71,323 2,732 * Sotheby's Holdings Class A 168,632 2,720 Church & Dwight, Inc. 106,838 2,719 Sensient Technologies Corp. 131,536 2,699 * Dycom Industries, Inc. 116,900 2,681 Newport Corp. 100,000 2,650 Claire's Stores, Inc. 133,903 2,592 RPM Inc. (Ohio) 280,923 2,584 CBRL Group, Inc. 152,310 2,582 * TranSwitch Corp. 234,052 2,575 Stewart & Stevenson Services, Inc. 77,703 2,564 * Powerwave Technologies, Inc. 175,936 2,551 Tecumseh Products Co. Class A 51,134 2,531 * Sylvan Learning Systems, Inc. 103,998 2,527 * Covanta Energy Corp. 136,832 2,526 * Imation Corp. 96,838 2,440 Pennzoil-Quaker State Co. 217,563 2,437 * Structural Dynamics Research Corp. 98,650 2,417 Carter-Wallace, Inc. 124,434 2,408 Horace Mann Educators Corp. 111,356 2,400 Kelly Services, Inc. Class A 98,537 2,389 Nordson Corp. 89,698 2,377 Minerals Technologies, Inc. 53,885 2,313 * EGL, Inc. 130,500 2,279 Longs Drug Stores, Inc. 103,900 2,239 Modine Manufacturing Co. 80,761 2,227 * Adtran, Inc. 108,259 2,219 Interstate Bakeries Corp. 138,634 2,218 * Airgas, Inc. 186,193 2,216 Dreyer's Grand Ice Cream, Inc. 78,609 2,193 * NCO Group, Inc. 70,700 2,187 * InFocus Corp. 106,600 2,174 Ruddick Corp. 127,186 2,156 Ohio Casualty Corp. 165,087 2,138 * Wisconsin Central Transportation Corp. 127,529 2,134 Trinity Industries, Inc. 101,185 2,114 Kaydon Corp. 82,395 2,113 * Alaska Air Group, Inc. 72,736 2,102 Ferro Corp. 93,991 2,050 Olin Corp. 119,540 2,031 Banta Corp. 67,483 1,977 H.B. Fuller Co. 38,807 1,936 * Gartner, Inc. Class B 209,953 1,932 Wallace Computer Services, Inc. 112,732 1,865 * Modis Professional Services Inc. 268,943 1,856 * J.B. Hunt Transport Services, Inc. 96,924 1,842 Wausau-Mosinee Paper Corp. 141,314 1,822 AGCO Corp. 195,361 1,788 Carpenter Technology Corp. 60,643 1,776 * Mastec Inc. 131,300 1,733 Longview Fibre Co. 140,623 1,732 J. M. Smucker Co. 66,619 1,732 Bob Evans Farms, Inc. 95,690 1,722 P.H. Glatfelter Co. 116,618 1,663 Rollins, Inc. 82,891 1,650 * Albany International Corp. 84,865 1,604 * Korn/Ferry International 102,900 1,595 * Papa John's International, Inc. 61,783 1,566 * DSP Group Inc. 73,000 1,566 * Transaction Systems Architects, Inc. 100,319 1,555 Bandag, Inc. 56,592 1,545 Airborne, Inc. 131,908 1,529 * Pacificare Health Systems, Inc. 92,614 1,510 * UCAR International, Inc. 124,639 1,489 * Atlas Air Worldwide Holdings, Inc. 104,810 1,484 * MIPS Technologies, Inc. Class B 106,500 1,374 * Sequa Corp. Class A 28,443 1,294 * Antec Corp. 104,319 1,294 * Unifi, Inc. 146,644 1,246 * Sykes Enterprises, Inc. 109,636 1,206 A. Schulman Inc. 79,691 1,076 Lance, Inc. 79,544 1,074 Ryerson Tull, Inc. 67,353 909 * M.S. Carriers, Inc. 28,400 872 Lone Star Steakhouse & Saloon, Inc. 66,136 859 44 - -------------------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------------------------------------------- * The Neiman Marcus Group, Inc. Class B 27,000 $ 796 * Gartner, Inc. Class A 28,500 314 - -------------------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $2,337,384) 2,426,336 - -------------------------------------------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.0%)(1) - -------------------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 4.63%, 7/12/2001 $ 1,000 999 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 4.07%, 7/2/2001 4,400 4,400 4.07%, 7/2/2001--Note F 19,198 19,198 - -------------------------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $24,597) 24,597 - -------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.6%) (COST $2,361,981) 2,450,933 - -------------------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.6%) - -------------------------------------------------------------------------------------------------------------------- Other Assets--Note B 10,474 Liabilities--Note F (26,136) -------- (15,662) -------- - -------------------------------------------------------------------------------------------------------------------- NET ASSETS (100%) $2,435,271 ==================================================================================================================== *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 0.6%, respectively, of net assets. See Note E in Notes to Financial Statements. (2)Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------------------------------------------- AT JUNE 30, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------------------------------------------- Paid-in Capital $2,352,653 Undistributed Net Investment Income 8,573 Accumulated Net Realized Losses (14,633) Unrealized Appreciation (Depreciation)-- Note E Investment Securities 88,952 Futures Contracts (274) - -------------------------------------------------------------------------------------------------------------------- NET ASSETS $2,435,271 ==================================================================================================================== Investor Shares--Net Assets Applicable to 168,380,534 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $2,036,295 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INVESTOR SHARES $12.09 ==================================================================================================================== Institutional Shares--Net Assets Applicable to 32,924,466 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $398,976 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE- INSTITUTIONAL SHARES $12.12 ====================================================================================================================
45 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 -------------------------------- SIX MONTHS ENDED JUNE 30, 2001 -------------------------------- (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 20,089 $11,137 Interest 1,334 419 Security Lending 3,472 95 - -------------------------------------------------------------------------------- Total Income 24,895 11,651 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 24 24 Management and Administrative--Investor Shares 3,946 2,017 Management and Administrative--Admiral Shares 528 -- Management and Administrative--Institutional Shares 327 127 Marketing and Distribution--Investor Shares 287 132 Marketing and Distribution--Admiral Shares 19 -- Marketing and Distribution--Institutional Shares 83 28 Custodian Fees 112 75 Auditing Fees 6 5 Shareholders' Reports--Investor Shares 47 9 Shareholders' Reports----Admiral Shares 1 -- Shareholders' Reports--Institutional Shares 1 2 Trustees' Fees and Expenses 5 2 - -------------------------------------------------------------------------------- Total Expenses 5,386 2,421 Expenses Paid Indirectly--Note C (13) -- - -------------------------------------------------------------------------------- Net Expenses 5,373 2,421 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 19,522 9,230 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold 5,730 (11,475) Futures Contracts 6,733 (562) - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) 12,463 (12,037) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (224,013) 29,727 Futures Contracts (1,335) (153) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (225,348) 29,574 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(193,363) $26,767 ================================================================================ 46 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 net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
- ----------------------------------------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND MID-CAP INDEX FUND -------------------------- --------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED JUNE 30, 2001 DEC. 31, 2000 JUNE 30, 2001 DEC. 31, 2000 (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 19,522 $ 49,320 $ 9,230 $ 11,778 Realized Net Gain (Loss) 12,463 790,031 (12,037) 166,927 Change in Unrealized Appreciation (Depreciation) (225,348) (1,893,375) 29,574 2,464 - ----------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (193,363) (1,054,024) 26,767 181,169 - ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares -- (33,972) -- (9,425) Admiral Shares -- (3,832) -- -- Institutional Shares -- (9,990) -- (1,934) Realized Capital Gain Investor Shares (111,765) (571,530) (31,830) (109,693) Admiral Shares (19,383) (46,429) -- -- Institutional Shares (25,983) (135,811) (6,443) (21,004) - ----------------------------------------------------------------------------------------------------------------- Total Distributions (157,131) (801,564) (38,273) (142,056) - ----------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note G Investor Shares (174,772) 1,111,416 428,073 986,980 Admiral Shares 296,992 499,974 -- -- Institutional Shares 4,279 429,602 97,382 148,113 - ----------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 126,499 2,040,992 525,455 1,135,093 - ----------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) (223,995) 185,404 513,949 1,174,206 - ----------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period 5,275,946 5,090,542 1,921,322 747,116 - ----------------------------------------------------------------------------------------------------------------- End of Period $5,051,951 $5,275,946 $2,435,271 $1,921,322 =================================================================================================================
47 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 SIX MONTHS ENDED ------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 1998 1997 1996 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $26.61 $37.07 $30.63 $30.76 $26.20 $24.07 - ----------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .60 1.29 1.370 1.33 1.31 1.28 Net Realized and Unrealized Gain (Loss) on Investments (1.19) (6.041) 10.101 2.025 6.479 3.85 - ----------------------------------------------------------------------------------------------------- Total from Investment Operations (1.10) (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 (.81) (4.430) (3.640) (2.170) (1.910) (1.72) - ----------------------------------------------------------------------------------------------------- Total Distributions (.81) (4.693) (3.958) (2.543) (2.270) (2.06) - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $24.70 $26.61 $37.07 $30.63 $30.76 $26.20 ===================================================================================================== TOTAL RETURN* -3.69% -15.55% 36.22% 8.32% 26.73% 17.65% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $3,449 $3,881 $4,221 $2,939 $2,723 $2,099 Ratio of Total Expenses to Average Net Assets 0.25%** 0.25% 0.25% 0.23% 0.23% 0.25% Ratio of Net Investment Income to Average Net Assets 0.76%** 0.81% 1.04% 1.21% 1.30% 1.42% Portfolio Turnover Rate** 22%** 33% 26% 27% 15% 22% ===================================================================================================== *Total returns 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. **Annualized.
48 - -------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND ADMIRAL SHARES FOR A SHARE OUTSTANDING SIX MONTHS ENDED NOV. 13* TO THROUGHOUT EACH PERIOD JUNE 30, 2001 DEC. 31, 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $26.61 $31.89 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .10 .050 Net Realized and Unrealized Gain (Loss) on Investments (1.19) (1.736) - -------------------------------------------------------------------------------- Total from Investment Operations (1.09) (1.686) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income -- (.274) Distributions from Realized Capital Gains (.81) (3.320) - -------------------------------------------------------------------------------- Total Distributions (.81) (3.594) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $24.71 $26.61 ================================================================================ TOTAL RETURN -3.65% -4.30% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $706 $441 Ratio of Total Expenses to Average Net Assets 0.20%** 0.20%** Ratio of Net Investment Income to Average Net Assets 0.79%** 1.23%** Portfolio Turnover Rate 22%** 33% ================================================================================ *Inception. **Annualized.
- ------------------------------------------------------------------------------------------------------------------------------------ EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING SIX MONTHS ENDED ----------------------------------------- JULY 7* TO THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 1998 DEC. 31, 1997 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $26.62 $37.09 $30.63 $30.76 $29.28 - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .10 .313 .363 .427 .200 Net Realized and Unrealized Gain (Loss) on Investments (1.19) (6.041) 10.101 2.025 3.191 - ------------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations (1.09) (5.728) 10.464 2.452 3.391 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income -- (.312) (.364) (.412) (.371) Distributions from Realized Capital Gains (.81) (4.430) (3.640) (2.170) (1.540) - ------------------------------------------------------------------------------------------------------------------------------------ Total Distributions (.81) (4.742) (4.004) (2.582) (1.911) - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $24.72 $26.62 $37.09 $30.63 $30.76 ==================================================================================================================================== TOTAL RETURN** -3.65% -15.41% 36.45% 8.45% 11.82% ==================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $897 $954 $870 $456 $415 Ratio of Total Expenses to Average Net Assets 0.10%^ 0.10% 0.10% 0.10% 0.10%^ Ratio of Net Investment Income to Average Net Assets 0.90%^ 0.96% 1.18% 1.34% 1.43%^ Portfolio Turnover Rate 22%^ 33% 26% 27% 15% ==================================================================================================================================== *Inception. **Total returns 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.
49
- ------------------------------------------------------------------------------------------------------------------------------------ MID-CAP INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, SIX MONTHS ENDED ---------------------------- APR. 20* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 DEC. 31, 1998 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $12.21 $11.30 $10.79 $10.00 - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .05 .071 .073 .053 Net Realized and Unrealized Gain (Loss) on Investments .04 1.897 1.448 .840 - ------------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations .09 1.968 1.521 .893 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income -- (.078) (.076) (.053) Distributions from Realized Capital Gains (.21) (.980) (.935) (.050) Total Distributions (.21) (1.058) (1.011) (.103) - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE. END OF PERIOD $12.09 $12.21 $11.30 $10.79 ==================================================================================================================================== TOTAL RETURN** 0.97% 18.10% 15.32% 8.55% ==================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $2,036 $1,614 $605 $206 Ratio of Total Expenses to Average Net Assets 0.25%^ 0.25% 0.25% 0.25%^ Ratio of Net Investment Income to Average Net Assets 0.83%^ 0.90% 0.99% 1.19%^ Portfolio Turnover Rate 19%^ 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 returns 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.
50
- ------------------------------------------------------------------------------------------------------------------------------------ MID-CAP INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, SIX MONTHS ENDED ---------------------------- APR. 20* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 DEC. 31, 1998 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $12.23 $11.30 $10.79 $10.03 - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .06 .081 .083 .055 Net Realized and Unrealized Gain (Loss) on Investments .04 1.918 1.448 .814 - ------------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations .10 1.999 1.531 .869 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income -- (.089) (.086) (.059) Distributions from Realized Capital Gains (.21) (.980) (.935) (.050) Total Distributions (.21) (1.069) (1.021) (.109) - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE. END OF PERIOD $12.12 $12.23 $11.30 $10.79 ==================================================================================================================================== TOTAL RETURN** 1.05% 18.39% 15.41% 8.61% ==================================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $399 $307 $143 $39 Ratio of Total Expenses to Average Net Assets 0.10%^ 0.12% 0.12% 0.12%^ Ratio of Net Investment Income to Average Net Assets 0.98%^ 1.03% 1.11% 1.30%^ Portfolio Turnover Rate 19%^ 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 returns do not reflect the 0.25% transaction fee on purchases from inception through February 28, 1999. ^Annualized.
51 NOTES TO FINANCIAL STATEMENTS Vanguard Extended Market Index and Mid-Cap Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. The Extended Market Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. The Mid-Cap Index Fund offers two classes of shares: Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares were first issued on November 13, 2000, and are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. 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. Both funds use S&P MidCap 400 Index futures contracts; the Extended Market Index Fund also uses Russell 2000 Index futures contracts. 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 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). 52 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. 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. 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 June 30, 2001, 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 $940 0.02% 0.9% Mid-Cap 445 0.02 0.4 - -------------------------------------------------------------------------------- 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 six months ended June 30, 2001, custodian fee offset arrangements reduced expenses of the Extended Market Index Fund by $13,000. D. During the six months ended June 30, 2001, purchases and sales of investment securities other than temporary cash investments were: - -------------------------------------------------------------------------------- (000) ----------------------------------- INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------------- Extended Market $561,347 $544,374 Mid-Cap 708,767 208,924 - -------------------------------------------------------------------------------- E. At June 30, 2001, net unrealized appreciation (depreciation) of investment securities for financial reporting and federal income tax purposes was: - -------------------------------------------------------------------------------- (000) ---------------------------------------------------- NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) - -------------------------------------------------------------------------------- Extended Market $1,326,087 $(1,843,486) $(517,399) Mid-Cap 335,716 (246,764) 88,952 - -------------------------------------------------------------------------------- 53 At June 30, 2001, the aggregate settlement value of open futures contracts expiring in September 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 93 $24,296 $(362) Russell 2000 Index 90 23,202 243 Mid-Cap/ S&P MidCap 400 Index 32 8,360 (274) - -------------------------------------------------------------------------------- F. The market value of securities on loan to broker/dealers at June 30, 2001, and collateral received with respect to such loans were: - -------------------------------------------------------------------------------- (000) ---------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED - -------------------------------------------------------------------------------- Extended Market $142,144 $171,113 Mid-Cap 18,462 19,198 - -------------------------------------------------------------------------------- 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. G. Capital share transactions for each class of shares were:
- ------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR ENDED JUNE 30, 2001 DECEMBER 31, 2000 --------------------------------------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------ Extended Market Index Fund Investor Shares Issued $422,161 17,502 $1,892,534 51,426 Issued in Lieu of Cash Distributions 105,857 4,909 564,787 20,785 Redeemed (702,790) (28,598) (1,345,905) (40,247) ---------------------------------------------------------------------- Net Increase (Decrease)-Investor Shares (174,772) (6,187) 1,111,416 31,964 ---------------------------------------------------------------------- Admiral Shares Issued 330,414 13,347 497,269 16,161 Issued in Lieu of Cash Distributions 16,327 758 41,516 1,697 Redeemed (49,749) (2,098) (38,811) (1,286) ------------------------------------------------------ Net Increase (Decrease)-Admiral Shares 296,992 12,007 499,974 16,572 ------------------------------------------------------ Institutional Shares Issued 145,978 6,260 452,661 11,921 Issued in Lieu of Cash Distributions 23,523 1,091 116,802 4,366 Redeemed (165,222) (6,923) (139,861) (3,887) -------------------------------------------------------------- Net Increase (Decrease)-Institutional Shares 4,279 428 429,602 12,400 - ------------------------------------------------------------------------------------------------------
55
- ------------------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR ENDED JUNE 30, 2001 DECEMBER 31, 2000 --------------------------------------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------ MID-CAP INDEX FUND Investor Shares Issued $628,506 53,119 $1,089,223 86,090 Issued in Lieu of Cash Distributions 30,064 2,827 111,331 9,743 Redeemed (230,497) (19,768) (213,574) (17,151) ------------------------------------------------------------- Net Increase (Decrease)--Investor Shares 428,073 36,178 986,980 78,682 ------------------------------------------------------------- Institutional Shares Issued 159,233 13,317 178,087 14,738 Issued in Lieu of Cash Distributions 4,769 448 18,147 1,576 Redeemed (66,620) (5,955) (48,121) (3,816) -------------------------------------------------------------- Net Increase (Decrease)--Institutional Shares 97,382 7,810 148,113 12,498 - ------------------------------------------------------------------------------------------------------
56 THE ADVANTAGES OF GETTING CONNECTED Visit Vanguard.com [PHOTE OF COMPUTER] Why wait for the mail? You can get fund reports like this one sooner--and reduce the amount of mail you receive from us. Simply choose to view your fund reports online. Consider the benefits of using Vanguard.com. On our website, you can: * Choose to receive all fund reports, as well as prospectuses, online. * Request a courtesy e-mail to notify you when a new fund report or prospectus is available. When you receive fund reports and prospectuses online, you lower Vanguard's printing and postage costs--and that helps to reduce the expense ratios of your funds. You will continue to receive confirmations of purchases, redemptions, and other account activity by mail. HOW TO NOTIFY US ABOUT YOUR MAILING PREFERENCES You can easily tell us to stop mailing your fund reports and prospectuses. Just log on to Vanguard.com (or follow the easy steps to register for secure, online access to your accounts) and update your Web profile. Registered users can also view their account values; download records of recent transactions; research and track the performance of individual securities and funds; buy, exchange, and sell fund shares; and much more. If you invest directly with us, you can also elect to receive all of your account statements online or to continue the mailing of only your year-end statements, which detail every transaction you make during the year. However, if you invest with us through an employer-sponsored retirement plan or a financial intermediary, some of these options may not be available to you. All Vanguard shareholders can choose to receive our electronic newsletters: Economic Week in Review, a recap of each week's key economic reports and market activity; and What's New at Vanguard, a monthly update on our mutual funds, services, and online resources. YOUR ONLINE INFORMATION IS SECURE Vanguard.com uses some of the most secure forms of online communication available, including data encryption and Secure Sockets Layer (SSL) protocol. These technologies provide a high level of security and privacy when you access your account information, initiate online transactions, or send us messages. your account information, initiate online transactions, or send us messages. 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. The majority of Vanguard's 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. CHARLES D. ELLIS (2001) Retired Managing Partner of Greenwich Associates; Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. 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 R. GREGORY BARTON, Secretary; Managing Director-Legal 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. [SHIP GRAPHIC] THE VANGUARD GROUP(R) 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&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. WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 DIRECT INVESTOR 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. Q982 082001 VANGUARD(R) U.S. STOCK INDEX FUNDS LARGE-CAPITALIZATION PORTFOLIOS SEMIANNUAL REPORT JUNE 30, 2001 STOCK INCLUDED WITHIN THIS REPORT: VANGUARD GROWTH INDEX FUND VANGUARD VALUE INDEX FUND VANGUARD TOTAL STOCK MARKET INDEX FUND [PHOTO OF COMPASS/SHIP] [THE VANGUARD GROUP(R) LOGO] WHY COSTS MATTER As the ups and downs of the financial markets remind us, investors cannot control or predict investment returns. What you can control is how much you invest, how much explicit risk you take, and the investment costs you incur. Only you can decide how much to invest. But Vanguard can help you to manage the risk and costs of your investment program. Our lineup of funds provides you with the flexibility to create a portfolio that reflects your goals and risk tolerance. All of our funds--whether indexed or actively managed--follow disciplined investment strategies. Vanguard funds also operate at cost, which means substantial savings for you. In 2000, the average expense ratio (operating costs as a percentage of average net assets) for our funds was 0.27%, or $2.70 per $1,000 in assets. This was a fraction of the 1.30% ($13 per $1,000 in assets) expense ratio for the average fund, according to Lipper Inc. Costs matter because they are subtracted from a fund's gross returns. The lower your investment expenses, the greater the portion of the market's return you receive. At Vanguard, we know that it's your money we're managing, and that our duty is to manage it responsibly and economically. SUMMARY * The large-capitalization Vanguard U.S. stock index funds had total returns ranging from -;11.1% to -;2.5% during the six months ended June 30, 2001. * The returns of large-cap stocks lagged those of smaller stocks and fixed income securities, with growth stocks posting the worst results. * The three funds closely tracked their target indexes. CONTENTS 1 Letter from the Chairman 6 Fund Profiles 9 Glossary of Investment Terms 10 Performance Summaries 11 Financial Statements 32 Advantages of Vanguard.com LETTER FROM THE CHAIRMAN FELLOW SHAREHOLDER, During the six months ended June 30, 2001, the U.S. stock market struggled with slow economic growth and shrinking corporate earnings. Each of the Vanguard large-capitalization stock index funds posted a negative return and closely tracked its target index. The value index fund fell -2.5%, while the growth index fund lost -11.1% of its value. The total stock market index fund, which holds growth and value stocks, declined -5.7%. The adjacent table presents the six-month total returns (capital change plus reinvested dividends) for our funds, their average peers, and their target indexes. We also present the results for our Admiral(TM) Shares--a lower-cost class for long-term shareholders and those with substantial investments in the funds. Finally, the table shows the returns for the funds' Institutional Shares, which are available for minimum investments of $10 million. TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2001 - ------------------------------------------------------------------------- VANGUARD GROWTH INDEX FUND -11.1% Average Large-Cap Growth Fund* -16.2 S&P 500/BARRA Growth Index -11.0 - ------------------------------------------------------------------------- VANGUARD VALUE INDEX FUND -2.5% Average Large-Cap Value Fund* -2.8 S&P 500/BARRA Value Index -2.4 - ------------------------------------------------------------------------- VANGUARD TOTAL STOCK MARKET INDEX FUND -5.7% Average Multi-Cap Core Fund* -6.3 Wilshire 5000 Index -5.8 - ------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. ADMIRAL SHARES - ------------------------------------------------------------------------- Growth Index Fund -11.1% Value Index Fund -2.4 Total Stock Market Index Fund -5.7 - ------------------------------------------------------------------------- INSTITUTIONAL SHARES - ------------------------------------------------------------------------- Growth Index Fund -11.1% Value Index Fund -2.4 Total Stock Market Index Fund -5.7 - ------------------------------------------------------------------------- Per-share figures for each fund, including net asset values, capital gains distributions, and income dividends by share class, are presented in the table that follows this letter. On May 31, 2001, VIPERs(TM) (Vanguard Index Participation Equity Receipts) for the Total Stock Market Index Fund began trading on the American Stock Exchange. This exchange-traded share class combines the benefits of indexing--low costs and broad diversification--with the trading flexibility of an individual stock. VIPER Shares are available only through 1 brokerage firms. Based on changes in its net asset value and on income distributions during the period, the VIPER Share class of Total Stock Market Index Fund returned -4.5% from the shares' inception on May 24, slightly better than the -4.6% for the target Wilshire 5000 Index. More information about VIPER Shares is provided in the table at the end of this letter and in the Financial Highlights on page 27. - -------------------------------------------------------------------------------- MARKET BAROMETER TOTAL RETURNS PERIODS ENDED JUNE 30, 2001 SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------------------- STOCK S&P 500 INDEX (Large-caps) -6.7% -14.8% 14.5% RUSSELL 2000 INDEX (Small-caps) 6.9 0.6 9.6 WILSHIRE 5000 INDEX (Entire market) -5.8 -15.4 13.1 MSCI EAFE INDEX (International) -14.4 -23.3 3.2 - -------------------------------------------------------------------------------- BOND LEHMAN AGGREGATE BOND INDEX (Entire market) 3.6% 11.2% 7.5% LEHMAN 10 YEAR MUNICIPAL BOND INDEX 2.8 9.5 6.6 SALOMON SMITH BARNEY 3-MONTH U.S. TREASURY BILL INDEX 2.5 5.6 5.2 ================================================================================ CPI CONSUMER PRICE INDEX 2.3% 3.2% 2.6% - -------------------------------------------------------------------------------- *Annualized. FINANCIAL MARKETS IN REVIEW Most reports suggested that the pace of U.S. economic growth slowed markedly during the first half of 2001, compared with the same period a year earlier. As the economy slowed, the Federal Reserve Board's Open Market Committee responded with six cuts in short-term interest rates, including two surprise cuts made between regularly scheduled meetings. During the six months ended June 30, the Fed sliced 275 basis points (2.75 percentage points) off the cost of short-term borrowing. The Fed explained that it hoped to stimulate capital spending, which declined sharply during the half-year. Corporate America made especially sharp cuts in spending on information technology--investments that had helped to power the U.S. economy's rapid growth during the late 1990s. Big industrial manufacturers struggled, too, as a strong dollar and weak global economy pinched worldwide spending on capital goods. In contrast with the industrial economy, the consumer economy proved quite resilient. Housing starts and sales remained strong, and spending at the nation's shopping malls sufficed to keep the economy out of recession. The job market weakened somewhat, as several high-profile employers announced layoffs. Still, consumers remained generally confident about the economy's prospects. Corporate profits proved less resilient, following the bleaker fortunes of the industrial economy. A spate of earnings warnings and shortfalls prolonged the U.S. stock market's struggles, especially among large-cap growth stocks. But even as large, highly valued stocks took down the broad market indexes, 2 smaller stocks and value stocks--those issues with low prices relative to fundamental measures such as earnings and book value--turned in relatively strong performances. For example, small value stocks, as measured by the Russell 2000 Value Index, returned 12.7% for the six-month period. - -------------------------------------------------------------------------------- Corporate America made especially sharp cuts in spending on information technology-investments that had helped to power the U.S. economy's rapid growth during the late 1990s. - -------------------------------------------------------------------------------- International stocks followed the same pattern: Relative strength among smaller value stocks was offset by weakness in growth stocks. Most stock markets finished the half-year with losses in their local currencies. A strong dollar exacerbated the losses for U.S.-based investors. Bonds delivered solid returns. On balance, the prices of shorter-term government bonds got the biggest boost from the Fed's rate-cut campaign. (Bond prices move in the opposite direction from interest rates.) Longer-term rates declined initially, but then rose, perhaps signaling investor concerns about inflation. For the six months, short- and intermediate-term government bonds outperformed their long-term counterparts. In contrast, among corporate bonds, long-term issues bested shorter-term ones, with all maturities benefiting from narrowing spreads between the interest rates paid by corporate and U.S. Treasury bonds. PERFORMANCE OVERVIEW During the past six months, each of the large-cap Vanguard U.S. Stock Index Funds closely tracked its target index. The Growth and Value Index Funds each lagged their benchmarks by 0.1 percentage point--a shortfall attributable to the expenses incurred by a real-world fund, but not by the indexes' theoretical portfolios--while the Total Stock Market Index Fund recouped its expenses and outpaced the Wilshire 5000 Total Market Index by 0.1 percentage point. - -------------------------------------------------------------------------------- Concerns that a chillier regulatory climate could slow profit growth hurt health care stocks. - -------------------------------------------------------------------------------- Unfortunately, because of the generally weak stock market, the funds' success in executing their objectives still meant losses for shareholders. After a tough 2000, large-cap stocks continued to struggle through the first half of 2001. The Growth Index Fund, which holds substantial weightings in hard-hit health care and technology stocks, posted the worst results. Corporate America's cuts in capital spending pinched profits in the technology sector, while concerns that a chillier regulatory climate could slow profit growth hurt health care stocks. The Value Index Fund posted a stronger return, in large part because of its heavier weighting in consumer services stocks such as retailers, restaurants, 3 and entertainment companies. These stocks enjoyed good returns, as the American consumer has continued to spend throughout the economic slowdown. The Value Index Fund also held some of the better-performing financial services stocks. The Total Stock Market Index Fund includes the stocks from both the Growth and Value Index Funds. Not surprisingly, its return landed between the two funds' returns. Although the Total Stock Market Index Fund invests most of its assets in the large-cap stocks that dominate the U.S. stock market, it also offers exposure to small- and mid-cap stocks. Smaller stocks outperformed larger stocks during the six months, and the Total Stock Market Index Fund finished ahead of large-cap benchmarks such as the Standard & Poor's 500 Index. IN SUMMARY Large-cap stock funds were among the strongest performers in the overheated bull market of the late 1990s. But during the past year-and-a-half, these funds have lagged smaller stocks, and many have posted losses. Meanwhile, bonds have delivered positive returns. These varied performances are another reminder that diversification is the most productive response to our fast-changing and unpredictable financial markets. We suggest that you hold a balanced portfolio of stock funds, bond funds, and short-term investments in proportions appropriate for your goals, time horizon, financial situation, and risk tolerance. Once you have devised such a plan, stay the course. We thank you for entrusting your hard-earned dollars to us. Sincerely, /S/ JOHN J. BRENNAN [PHOTO OF JOHN J. BRENNAN] JOHN J. BRENNAN Chairman and Chief Executive Officer JULY 12, 2001 4
FUND STATISTICS NET ASSET VALUE SIX MONTHS ENDED PER SHARE JUNE 30, 2001 -------------------------------- -------------------------------- DECEMBER 31, JUNE 30, INCOME CAPITAL GAINS U.S. STOCK INDEX FUND 2000 2001 DIVIDENDS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------ Growth $ 30.57 $ 27.09 $ 0.070 -- Value 22.87 21.24 0.150 $ 0.870 Total Stock Market 29.26 27.45 0.132 -- - ------------------------------------------------------------------------------------------------------------ ADMIRAL SHARES - ------------------------------------------------------------------------------------------------------------ Growth $ 30.57 $ 27.09 $ 0.076 -- Value 22.87 21.24 0.155 $ 0.870 Total Stock Market 29.26 27.45 0.138 -- INSTITUTIONAL SHARES - ------------------------------------------------------------------------------------------------------------ Growth $ 30.57 $ 27.09 $ 0.086 -- Value 22.87 21.24 0.163 $ 0.870 Total Stock Market 29.27 27.45 0.149 -- VIPER SHARES - ------------------------------------------------------------------------------------------------------------ Total Stock Market $ 118.46* $ 112.80 $ 0.280 -- - ------------------------------------------------------------------------------------------------------------ *From inception on May 24, 2001.
- -------------------------------------------------------------------------------- NOTICE TO SHAREHOLDERS At a special meeting on May 22, 2001, shareholders of Vanguard Growth Index Fund overwhelmingly approved a proposal to change the fund's SEC classification from "diversified" to "nondiversified." The change allows the fund to continue replicating its benchmark, the S&P 500/BARRA Growth Index. On occasion, the index and the fund have become concentrated in the stocks of several companies, and thus the fund modestly exceeded its technical diversification requirements. The change was approved by 93.6% of the shares voted, as shown in the table below. ------------------------------------------- FOR AGAINST ABSTAIN ------------------------------------------- 209,061,609 10,034,592 4,197,892 ------------------------------------------- 5 FUND PROFILE AS OF JUNE 30, 2001 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 9. - ------------------------------------------------------------------------ PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - ------------------------------------------------------------------------ Number of Stocks 156 154 6,334 Median Market Cap $ 105.3B $ 105.3B $ 35.0B Price/Earnings Ratio 32.6x 32.6x 27.3x Price/Book Ratio 8.0x 8.0x 3.5x Yield 0.6% 1.2% 1.2% Yield--Admiral Shares 0.6% 1.2% 1.2% Yield--Institutional Shares 0.7% 1.2% 1.2% Return on Equity 30.2% 30.2% 23.1% Earnings Growth Rate 21.3% 21.3% 15.8% Foreign Holdings 0.6% 0.0% 0.0% Turnover Rate 38%** -- -- Expense Ratio 0.22%** -- -- Expense Ratio-- Admiral Shares 0.17%** -- -- Expense Ratio-- Institutional Shares 0.10%** -- -- Cash Investments 0.0% -- -- - ------------------------------------------------------------------------ - -------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 8.6% (conglomerate) Microsoft Corp. 7.0 (software) Pfizer, Inc. 4.5 (pharmaceuticals) Wal-Mart Stores, Inc. 3.9 (retail) Intel Corp. 3.5 (computer hardware) International Business Machines Corp. 3.5 (computer technology) Johnson & Johnson 2.7 (pharmaceuticals) Merck & Co., Inc. 2.6 (pharmaceuticals) SBC Communications Inc. 2.4 (telecommunications) Cisco Systems, Inc. 2.4 (computer networks) - -------------------------------------------- Top Ten 41.1% - -------------------------------------------- - ---------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - ---------------------------------------------------------- R-Squared 1.00 1.00 0.88 1.00 Beta 1.00 1.00 1.07 1.00 - ---------------------------------------------------------- - ---------------------- INVESTMENT FOCUS STYLE GROWTH MARKET CAP LARGE - ---------------------- - --------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - --------------------------------------------------------------- Auto & Transportation 0.3% 0.3% 2.1% Consumer Discretionary 12.1 12.0 14.4 Consumer Staples 12.1 12.2 5.8 Financial Services 8.5 8.5 20.0 Health Care 23.6 23.6 13.2 Integrated Oils 0.0 0.0 3.5 Other Energy 0.5 0.5 2.6 Materials & Processing 0.3 0.3 3.1 Producer Durables 1.9 1.9 3.5 Technology 26.5 26.5 17.7 Utilities 3.0 3.0 8.4 Other 11.2 11.2 5.7 - --------------------------------------------------------------- *S&P 500/BARRA Growth Index. **Annualized. 6 FUND PROFILE AS OF JUNE 30, 2001 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 9. - ----------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - ----------------------------------------------------------------------- Number of Stocks 349 345 6,334 Median Market Cap $36.4B $36.4B $35.0B Price/Earnings Ratio 22.0x 22.0x 27.3x Price/Book Ratio 2.5x 2.5x 3.5x Yield 1.4% 1.9% 1.2% Yield--Admiral Shares 1.5% 1.9% 1.2% Yield--Institutional Shares 1.6% 1.9% 1.2% Return on Equity 18.6% 18.6% 23.1% Earnings Growth Rate 9.0% 9.0% 15.8% Foreign Holdings 2.3% 0.0% 0.0% Turnover Rate 41%** -- -- Expense Ratio 0.22%** -- -- Expense Ratio-- Admiral Shares 0.17%** -- -- Expense Ratio-- Institutional Shares 0.10%** -- -- Cash Investments 0.0% -- -- - ----------------------------------------------------------------------- - ---------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Exxon Mobil Corp. 5.6% (oil) Citigroup, Inc. 4.9 (financial services) AOL Time Warner Inc. 4.3 (media) American International Group, Inc. 3.7 (insurance) Verizon Communications 2.7 (telecommunications) Royal Dutch Petroleum Co. ADR 2.3 (energy) Bank of America Corp. 1.8 (banks) Viacom Inc. Class B 1.7 (entertainment) J.P. Morgan Chase & Co. 1.6 (banks) Wells Fargo Co. 1.5 (banks) - ---------------------------------------------- Top Ten 30.1% - ---------------------------------------------- - --------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - --------------------------------------------------------------- R-Squared 1.00 1.00 0.68 1.00 Beta 1.00 1.00 0.76 1.00 - --------------------------------------------------------------- - --------------------- INVESTMENT FOCUS STYLE VALUE MARKET CAP LARGE - --------------------- - ------------------------------------------------------------ SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - ------------------------------------------------------------ Auto & Transportation 3.6% 3.7% 2.1% Consumer Discretionary 13.9 14.5 14.4 Consumer Staples 1.3 1.3 5.8 Financial Services 30.1 30.2 20.0 Health Care 1.5 1.5 13.2 Integrated Oils 11.0 11.0 3.5 Other Energy 4.0 4.4 2.6 Materials & Processing 5.4 5.5 3.1 Producer Durables 4.2 4.2 3.5 Technology 8.7 8.8 17.7 Utilities 14.7 13.5 8.4 Other 1.6 1.4 5.7 - ------------------------------------------------------------ *S&P 500/BARRA Value Index. **Annualized. [PICTURE OF COMPUTER] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 7 FUND PROFILE AS OF JUNE 30, 2001 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 9. - -------------------------------------------------------- PORTFOLIO CHARACTERISTICS WILSHIRE FUND 5000 - -------------------------------------------------------- Number of Stocks 3,443 6,334 Median Market Cap $ 35.0B $ 35.0B Price/Earnings Ratio 27.3x 27.3x Price/Book Ratio 3.5x 3.5x Yield 1.0% 1.2% Yield--Admiral Shares 1.1% 1.2% Yield--Institutional Shares 1.2% 1.2% Yield--VIPER Shares 1.1% 1.2% Return on Equity 23.1% 23.1% Earnings Growth Rate 15.8% 15.8% Foreign Holdings 0.0% 0.0% Turnover Rate 8%* -- Expense Ratio 0.20%* -- Expense Ratio-- Admiral Shares 0.15%* -- Expense Ratio-- Institutional Shares 0.08%* -- Expense Ratio-- VIPER Shares 0.15%* -- Cash Investments 0.0% -- - -------------------------------------------------------- - ----------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 3.6% (conglomerate) Microsoft Corp. 2.9 (software) Exxon Mobil Corp. 2.2 (oil) Citigroup, Inc. 1.9 (financial services) Pfizer, Inc. 1.9 (pharmaceuticals) AOL Time Warner Inc. 1.7 (media) Wal-Mart Stores, Inc. 1.6 (retail) American International Group, Inc. 1.5 (insurance) International Business Machines Corp. 1.5 (computer technology) Intel Corp. 1.4 (computer hardware) - ----------------------------------------------- Top Ten 20.2% - ----------------------------------------------- - -------------------------------------- VOLATILITY MEASURES WILSHIRE FUND 5000 - -------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - -------------------------------------- - ----------------------- INVESTMENT FOCUS STYLE BLEND MARKET CAP LARGE - ----------------------- - -------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) WILSHIRE FUND 5000 - -------------------------------------------------------- Auto & Transportation 2.1% 2.1% Consumer Discretionary 14.4 14.4 Consumer Staples 5.8 5.8 Financial Services 20.0 20.0 Health Care 13.2 13.2 Integrated Oils 3.5 3.5 Other Energy 2.6 2.6 Materials & Processing 3.1 3.1 Producer Durables 3.5 3.5 Technology 17.7 17.7 Utilities 8.4 8.4 Other 5.7 5.7 - -------------------------------------------------------- *Annualized. [PICTURE OF COMPUTER] VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 8 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 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 the fund's trading activity. 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. - -------------------------------------------------------------------------------- 9 PERFORMANCE SUMMARIES In the performance summaries below, all of the data represent past performance, which cannot be used to predict future returns that may be achieved by the funds. 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. GROWTH INDEX FUND - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) NOVEMBER 2, 1992-JUNE 30, 2001 GROWTH INDEX FUND S&P 500/BARR INVESTOR SHARES GROWTH INDEX 1992 3.2 3.5 1993 1.5 1.7 1994 2.9 3.1 1995 38.1 38.1 1996 23.7 24.0 1997 36.3 36.5 1998 42.2 42.2 1999 28.8 28.2 2000 -22.2 -22.1 2001* -11.1 -11.0 - -------------------------------------------------------------------------------- *Six months ended June 30, 2001. See Financial Highlights table on page 22 for dividend and capital gains information for the past five years. - -------------------------------------------------------------------------------- VALUE INDEX FUND - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) NOVEMBER 2, 1992-JUNE 30, 2001 VALUE INDEX FUND S&P 500/BARRA INVESTOR SHARES VALUE INDEX 1992 3.7 3.8 1993 18.3 18.6 1994 -0.7 -0.6 1995 36.9 37.0 1996 21.9 22.0 1997 29.8 30.0 1998 14.6 14.7 1999 12.6 12.7 2000 6.1 6.1 2001* -2.5 -2.4 - -------------------------------------------------------------------------------- *Six months ended June 30, 2001. See Financial Highlights table on page 24 for dividend and capital gains information for the past five years. - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) APRIL 27, 1992-JUNE 30, 2001 TOTAL STOCK MARKET INDEX WILSHIRE FUND INVESTOR SHARES 5000 INDEX 1992 10.4 10.7 1993 10.6 11.3 1994 -0.2 -0.1 1995 35.8 36.4 1996 21.0 21.2 1997 31.0 31.3 1998 23.3 23.4 1999 23.8 23.6 2000 -10.6 -10.9 2001* -5.7 -5.8 - -------------------------------------------------------------------------------- *Six months ended June 30, 2001. See Financial Highlights table on page 25 for dividend and capital gains information for the past five years. - -------------------------------------------------------------------------------- 10 FINANCIAL STATEMENTS JUNE 30, 2001 (UNAUDITED) 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 (100.0%)(1) - ------------------------------------------------------------------------------ General Electric Co. $ 18,994,162 $ 925,965 * Microsoft Corp. 10,291,713 751,295 Pfizer, Inc. 12,071,477 483,463 Wal-Mart Stores, Inc. 8,549,409 417,211 Intel Corp. 12,859,612 376,144 International Business Machines Corp. 3,322,305 375,420 Johnson & Johnson 5,789,555 289,478 Merck & Co., Inc. 4,384,753 280,229 SBC Communications Inc. 6,440,300 257,998 * Cisco Systems, Inc. 13,995,413 254,716 The Coca-Cola Co. 4,756,381 214,037 Philip Morris Cos., Inc. 4,206,200 213,465 Home Depot, Inc. 4,462,435 207,726 * Oracle Corp. 10,734,372 203,953 Tyco International Ltd. 3,703,199 201,824 Bristol-Myers Squibb Co. 3,716,322 194,364 Fannie Mae 1,912,800 162,875 Eli Lilly & Co. 2,149,089 159,033 The Procter & Gamble Co. 2,476,600 158,007 American Home Products Corp. 2,513,437 146,885 Abbott Laboratories 2,961,780 142,195 * Dell Computer Corp. 4,973,648 130,061 PepsiCo, Inc. 2,799,320 123,730 * EMC Corp. 4,220,001 122,591 * Amgen, Inc. 1,994,719 121,039 Pharmacia Corp. 2,487,776 114,313 Medtronic, Inc. 2,311,747 106,363 Schering-Plough Corp. 2,798,400 101,414 American Express Co. 2,529,974 98,163 * Sun Microsystems, Inc. 6,227,600 97,898 Minnesota Mining & Manufacturing Co. 757,100 86,385 * QUALCOMM, Inc. 1,448,040 84,681 * Applied Materials, Inc. 1,554,800 76,341 Anheuser-Busch Cos., Inc. 1,716,274 70,710 The Bank of New York Co., Inc. 1,406,496 67,512 Walgreen Co. 1,946,352 66,468 Fifth Third Bancorp 1,100,500 66,085 United Technologies Corp. 900,100 65,941 Unilever NV ADR 1,093,000 65,110 Colgate-Palmolive Co. 1,072,847 63,287 Target Corp. 1,719,200 59,484 Automatic Data Processing, Inc. 1,193,624 59,323 11 - ------------------------------------------------------------------------------ MARKET VALUE* GROWTH INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ Cardinal Health, Inc. $ 852,507 $ 58,823 Gillette Co. 2,016,426 58,456 Kimberly-Clark Corp. 1,017,948 56,903 Electronic Data Systems Corp. 894,700 55,919 Baxter International, Inc. 1,132,700 55,502 Lowe's Cos., Inc. 735,400 53,353 Marsh & McLennan Cos., Inc. 526,821 53,209 * Veritas Software Corp. 759,957 50,560 First Data Corp. 749,100 48,130 The Gap, Inc. 1,643,544 47,663 HCA Inc. 1,027,900 46,451 * Sprint PCS 1,791,680 43,269 Mellon Financial Corp. 912,500 41,975 * Siebel Systems, Inc. 866,490 40,638 Charles Schwab Corp. 2,650,504 40,553 * Kohl's Corp. 636,990 39,958 * The Kroger Co. 1,550,335 38,758 UnitedHealth Group Inc. 606,500 37,451 Sysco Corp. 1,286,085 34,917 Providian Financial Corp. 545,855 32,315 State Street Corp. 622,238 30,795 Omnicom Group Inc. 354,140 30,456 * Analog Devices, Inc. 688,138 29,762 Halliburton Co. 820,400 29,206 CVS Corp. 752,100 29,031 Paychex, Inc. 714,545 28,582 Sara Lee Corp. 1,504,077 28,487 * Maxim Integrated Products, Inc. 627,747 27,753 * PeopleSoft, Inc. 562,600 27,697 H.J. Heinz Co. 666,710 27,262 Harley-Davidson, Inc. 578,305 27,227 Linear Technology Corp. 608,315 26,900 Northern Trust Corp. 426,100 26,631 * Xilinx, Inc. 636,505 26,249 * NEXTEL Communications, Inc. 1,463,290 25,608 * Best Buy Co., Inc. 400,800 25,459 The McGraw-Hill Cos., Inc. 373,500 24,707 * Concord EFS, Inc. 461,000 23,977 Capital One Financial Corp. 398,943 23,937 * Forest Laboratories, Inc. 336,990 23,926 General Mills, Inc. 544,331 23,831 The Quaker Oats Co. 252,691 23,058 USA Education Inc. 311,707 22,755 Kellogg Co. 776,382 22,515 * Yahoo!, Inc. 1,084,345 21,676 * Calpine Corp. 571,700 21,610 Allergan, Inc. 251,720 21,522 Adobe Systems, Inc. 457,410 21,498 * Altera Corp. 739,755 21,453 * Guidant Corp. 587,210 21,140 Interpublic Group of Cos., Inc. 716,564 21,031 Avon Products, Inc. 453,863 21,005 * KLA-Tencor Corp. 354,900 20,751 Stryker Corp. 375,110 20,575 Wrigley, (Wm.) Jr. Co. 432,038 20,241 Campbell Soup Co. 780,958 20,110 Pitney Bowes, Inc. 472,500 19,902 * MedImmune Inc. 407,024 19,212 * Comverse Technology, Inc. 327,268 18,687 * Chiron Corp. 363,500 18,538 Ralston-Ralston Purina Group 592,634 17,791 * King Pharmaceuticals, Inc. 327,921 17,626 Synovus Financial Corp. 555,300 17,425 * Bed Bath & Beyond, Inc. 552,101 17,226 TJX Cos., Inc. 536,300 17,092 * Univision Communications Inc. 398,100 17,031 * Starbucks Corp. 727,116 16,724 * Lexmark International, Inc. 244,755 16,460 Biomet, Inc. 342,279 16,450 Hershey Foods Corp. 260,875 16,099 IMS Health, Inc. 562,419 16,029 Mattel, Inc. 824,800 15,605 * Biogen, Inc. 283,690 15,421 The Clorox Co. 452,800 15,327 * Fiserv, Inc. 237,300 15,182 * Tellabs, Inc. 780,853 15,133 Cintas Corp. 323,350 14,955 Stilwell Financial, Inc. 418,636 14,049 New York Times Co. Class A 304,800 12,802 * Sabre Holdings Corp. 253,600 12,680 Scientific-Atlanta, Inc. 311,500 12,647 Dollar General Corp. 632,400 12,332 * Tricon Global Restaurants, Inc. 280,460 12,312 * Citrix Systems, Inc. 352,378 12,298 * TMP Worldwide, Inc. 203,600 12,035 * QLogic Corp. 175,850 11,333 H & R Block, Inc. 174,800 11,283 RadioShack Corp. 353,945 10,795 Applera Corp-Applied Biosystems Group 403,055 10,782 Avery Dennison Corp. 210,400 10,741 Tiffany & Co. 279,100 10,109 Moody's Corp. 301,275 10,093 Equifax, Inc. 273,295 10,024 Ecolab, Inc. 243,509 9,977 * Convergys Corp. 326,210 9,868 * St. Jude Medical, Inc. 164,000 9,840 Dow Jones & Co., Inc. 164,785 9,839 * Mercury Interactive Corp. 157,960 9,462 UST, Inc. 312,456 9,017 * Network Appliance, Inc. 624,350 8,554 * Robert Half International, Inc. 334,790 8,333 Harcourt General, Inc. 140,100 8,152 * Avaya Inc. 542,900 7,438 * Allied Waste Industries, Inc. 377,300 7,048 * Parametric Technology Corp. 502,900 7,036 12 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Winn-Dixie Stores, Inc. $ 267,400 $ 6,987 Fluor Corp. 150,900 6,813 Millipore Corp. 90,040 5,581 International Flavors & Fragrances, Inc. 182,400 4,584 Maytag Corp. 144,900 4,240 Deluxe Corp. 134,500 3,887 * US Airways Group, Inc. 128,350 3,119 Tupperware Corp. 110,785 2,596 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $9,293,972) $ 10,769,009 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 4.63%, 7/12/2001 $ 600 $ 599 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 4.07%, 7/2/2001 859 859 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $1,458) $ 1,458 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100%) (COST $9,295,430) $ 10,770,467 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES - -------------------------------------------------------------------------------- Other Assets--Note B 23,285 Liabilities (28,038) ----------------- (4,753) ----------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 10,765,714 ================================================================================ *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 E in Notes to Financial Statements. (2)Security has been segregated as initial margin for open futures contracts. ADR--American Depositary Receipt. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT JUNE 30, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 11,367,700 Overdistributed Net Investment Income (6,291) Accumulated Net Realized Losses (2,070,651) Unrealized Appreciation (Depreciation)--Note E Investment Securities 1,475,037 Futures Contracts (81) - -------------------------------------------------------------------------------- NET ASSETS $ 10,765,714 ================================================================================ Investor Shares--Net Assets Applicable to 334,182,714 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 9,051,556 ================================================================================ NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 27.09 ================================================================================ Admiral Shares--Net Assets Applicable to 32,620,183 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 883,568 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 27.09 ================================================================================ Institutional Shares--Net Assets Applicable to 30,662,952 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 830,590 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 27.09 ================================================================================ 13 - ------------------------------------------------------------------------------ MARKET VALUE* VALUE INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ COMMON STOCKS (99.8%)(1) - ------------------------------------------------------------------------------ Exxon Mobil Corp. $ 3,276,481 $ 286,201 Citigroup, Inc. 4,775,871 252,357 * AOL Time Warner Inc. 4,208,000 223,024 American International Group, Inc. 2,213,900 190,395 Verizon Communications 2,568,836 137,433 Royal Dutch Petroleum Co. ADR 2,036,586 118,672 Bank of America Corp. 1,522,453 91,393 * Viacom Inc. Class B 1,690,836 87,501 J.P. Morgan Chase & Co. 1,885,532 84,095 Wells Fargo & Co. 1,630,042 75,683 AT&T Corp. 3,277,158 72,097 BellSouth Corp. 1,780,094 71,684 Morgan Stanley Dean Witter & Co. 1,056,888 67,884 The Walt Disney Co. 1,985,120 57,350 Chevron Corp. 609,350 55,146 Hewlett-Packard Co. 1,845,380 52,778 Texas Instruments, Inc. 1,648,914 51,941 Qwest Communications International Inc. 1,577,943 50,289 E.I. du Pont de Nemours & Co. 990,524 47,783 Merrill Lynch & Co., Inc. 797,226 47,236 The Boeing Co. 828,615 46,071 Freddie Mac 657,816 46,047 Ford Motor Co. 1,737,835 42,664 U.S. Bancorp 1,810,088 41,252 FleetBoston Financial Corp. 1,028,752 40,584 Bank One Corp. 1,106,925 39,628 * Comcast Corp. Special Class A 897,622 38,957 * WorldCom, Inc.- WorldCom Group 2,743,250 38,954 * Clear Channel Communications, Inc. 558,104 34,993 Texaco Inc. 523,330 34,854 Enron Corp. 708,675 34,725 Motorola, Inc. 2,086,119 34,546 General Motors Corp. 521,107 33,533 McDonald's Corp. 1,228,445 33,242 First Union Corp. 932,126 32,568 Alcoa Inc. 819,917 32,305 Washington Mutual, Inc. 833,683 31,305 Allstate Corp. 688,164 30,272 Household International, Inc. 440,597 29,388 Schlumberger Ltd. 544,540 28,670 Duke Energy Corp. 733,258 28,604 Dow Chemical Co. 852,596 28,349 Nortel Networks Corp. 3,026,687 27,513 Honeywell International Inc. 768,705 26,897 MBNA Corp. 809,111 26,660 El Paso Corp. 483,678 25,412 Compaq Computer Corp. 1,604,425 24,853 Emerson Electric Co. 406,949 24,620 * Micron Technology, Inc. 566,316 23,276 * Safeway, Inc. 480,079 23,044 Metropolitan Life Insurance Co. 712,181 22,063 American General Corp. 474,140 22,024 * AES Corp. 505,461 21,760 Lucent Technologies, Inc. 3,235,449 20,060 Computer Associates International, Inc. 547,447 19,708 Exelon Corp. 304,600 19,531 Waste Management, Inc. 594,222 18,314 Illinois Tool Works, Inc. 288,715 18,276 ALLTEL Corp. 297,398 18,219 Lehman Brothers Holdings, Inc. 234,200 18,209 PNC Financial Services Group 274,535 18,062 Sprint Corp. 841,969 17,984 SunTrust Banks, Inc. 277,421 17,971 National City Corp. 570,689 17,566 * Costco Wholesale Corp. 427,494 17,561 Conoco Inc. Class B 593,533 17,153 Carnival Corp. 555,474 17,053 Gannett Co., Inc. 251,347 16,564 International Paper Co. 458,859 16,381 Caterpillar, Inc. 326,071 16,320 * Tenet Healthcare Corp. 308,026 15,891 * Cendant Corp. 809,216 15,780 AFLAC, Inc. 499,578 15,732 * JDS Uniphase Corp. 1,250,491 15,631 The Hartford Financial Services Group Inc. 225,012 15,391 Lockheed Martin Corp. 412,647 15,289 Williams Cos., Inc. 460,450 15,172 Southern Co. 650,844 15,132 General Dynamics Corp. 190,947 14,858 Corning, Inc. 883,700 14,767 Dynegy, Inc. 309,723 14,402 Wachovia Corp. 199,835 14,218 BB&T Corp. 386,888 14,199 Dominion Resources, Inc. 235,074 14,135 American Electric Power Co., Inc. 306,112 14,133 * Agilent Technologies, Inc. 433,551 14,090 Phillips Petroleum Co. 243,025 13,852 CIGNA Corp. 142,300 13,635 Southwest Airlines Co. 723,601 13,379 Sears, Roebuck & Co. 312,079 13,204 Union Pacific Corp. 235,516 12,932 The Chubb Corp. 166,462 12,889 Anadarko Petroleum Corp. 238,092 12,864 14 - ------------------------------------------------------------------------------ MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------ Eastman Kodak Co. $ 275,532 $ 12,862 Alcan Inc. 303,110 12,737 Transocean Sedco Forex Inc. 302,093 12,461 Loews Corp. 187,200 12,061 TXU Corp. 244,089 11,763 * FedEx Corp. 291,761 11,729 Albertson's, Inc. 384,780 11,540 Franklin Resources Corp. 251,339 11,504 * Solectron Corp. 620,671 11,358 Tribune Co. 283,256 11,333 Weyerhaeuser Co. 204,464 11,239 Burlington Northern Santa Fe Corp. 372,229 11,230 * Mirant Corp. 322,593 11,097 Marriott International, Inc. Class A 231,659 10,967 Masco Corp. 436,913 10,905 NIKE, Inc. Class B 257,704 10,821 Baker Hughes, Inc. 318,899 10,683 * Broadcom Corp. 246,900 10,557 KeyCorp 403,380 10,508 St. Paul Cos., Inc. 203,758 10,328 John Hancock Financial Services, Inc. 256,400 10,323 ConAgra Foods, Inc. 510,314 10,109 FPL Group, Inc. 167,118 10,062 McKesson HBOC, Inc. 270,647 10,046 Air Products & Chemicals, Inc. 216,642 9,911 Comerica, Inc. 169,615 9,770 May Department Stores Co. 284,047 9,731 Golden West Financial Corp. 150,602 9,675 Public Service Enterprise Group, Inc. 197,640 9,665 Progressive Corp. of Ohio 70,185 9,488 * Advanced Micro Devices, Inc. 326,832 9,439 Occidental Petroleum Corp. 352,051 9,361 Xcel Energy, Inc. 326,136 9,279 Lincoln National Corp. 178,453 9,235 Reliant Energy, Inc. 282,662 9,105 Raytheon Co. 337,772 8,968 Progress Energy, Inc. 195,772 8,794 Becton, Dickinson & Co. 244,799 8,761 Aon Corp. 248,816 8,709 USX-Marathon Group 293,264 8,654 Delphi Automotive Systems Corp. 532,087 8,476 Deere & Co. 223,109 8,445 PPG Industries, Inc. 160,046 8,414 SouthTrust Corp. 322,970 8,397 Entergy Corp. 209,689 8,050 Burlington Resources, Inc. 200,910 8,026 Consolidated Edison Inc. 201,513 8,020 * Federated Department Stores, Inc. 187,802 7,982 * Intuit, Inc. 198,211 7,926 Unocal Corp. 231,262 7,898 MBIA, Inc. 140,828 7,841 Archer-Daniels-Midland Co. 600,535 7,807 * Apple Computer, Inc. 331,619 7,710 * Novellus Systems, Inc. 135,316 7,685 PPL Corp. 138,505 7,618 Danaher Corp. 135,381 7,581 Norfolk Southern Corp. 365,449 7,565 MGIC Investment Corp. 101,733 7,390 Textron, Inc. 133,924 7,371 UnumProvident Corp. 229,312 7,365 CSX Corp. 202,772 7,348 * Global Crossing Ltd. 842,119 7,276 DTE Energy Co. 156,547 7,270 Dover Corp. 193,085 7,270 Georgia Pacific Group 214,670 7,267 Praxair, Inc. 152,558 7,170 * Sanmina Corp. 303,500 7,105 Starwood Hotels & Resorts Worldwide, Inc. 188,858 7,041 Jefferson-Pilot Corp. 144,597 6,987 * Staples, Inc. 432,927 6,922 Regions Financial Corp. 216,150 6,917 Rohm & Haas Co. 209,256 6,885 FirstEnergy Corp. 212,784 6,843 Amerada Hess Corp. 84,593 6,835 Molex, Inc. 185,342 6,771 The Limited, Inc. 404,511 6,683 Constellation Energy Group 155,339 6,617 Rockwell International Corp. 173,493 6,614 J.C. Penney Co., Inc. 249,550 6,578 Coca-Cola Enterprises, Inc. 398,674 6,518 AmSouth Bancorp 351,416 6,498 Northrop Grumman Corp. 81,082 6,495 * Boston Scientific Corp. 381,395 6,484 Tosco Corp. 146,451 6,451 Devon Energy Corp. 122,837 6,449 * LSI Logic Corp. 342,816 6,445 Newell Rubbermaid, Inc. 252,943 6,349 Xerox Corp. 658,552 6,302 Charter One Financial 196,137 6,257 Ingersoll-Rand Co. 151,745 6,252 * Watson Pharmaceuticals, Inc. 100,452 6,192 Apache Corp. 118,983 6,038 Cincinnati Financial Corp. 152,460 6,022 Johnson Controls, Inc. 82,392 5,971 Kerr-McGee Corp. 89,898 5,958 15 - ------------------------------------------------------------------------------ MARKET VALUE* VALUE INDEX FUND SHARES (000) - ------------------------------------------------------------------------------ * HEALTHSOUTH Corp. $ 369,602 $ 5,903 Bear Stearns Co., Inc. 99,644 5,876 AMBAC Financial Group Inc. 100,387 5,843 Allegheny Energy, Inc. 118,305 5,708 Barrick Gold Corp. 375,677 5,691 Union Planters Corp. 130,015 5,669 * Wellpoint Health Networks Inc. Class A 60,105 5,664 * Jabil Circuit, Inc. 181,400 5,598 Fortune Brands, Inc. 145,022 5,563 Ameren Corp. 130,214 5,560 * Computer Sciences Corp. 159,935 5,534 * Teradyne, Inc. 165,405 5,475 The Pepsi Bottling Group, Inc. 136,400 5,470 Kinder Morgan, Inc. 108,584 5,456 NiSource, Inc. 195,947 5,355 Sempra Energy 195,362 5,341 * Kmart Corp. 464,756 5,331 Cinergy Corp. 150,833 5,272 * AMR Corp. 145,829 5,269 * BMC Software, Inc. 231,468 5,217 * Nabors Industries, Inc. 139,316 5,183 Vulcan Materials Co. 96,139 5,167 Countrywide Credit Industries, Inc. 112,591 5,166 Willamette Industries, Inc. 104,030 5,149 Delta Air Lines, Inc. 116,699 5,144 Genuine Parts Co. 163,162 5,140 * Gateway, Inc. 306,366 5,040 * Applied Micro Circuits Corp. 285,700 4,914 * ADC Telecommunications, Inc. 741,391 4,893 * Compuware Corp. 348,835 4,880 TRW, Inc. 118,441 4,856 * National Semiconductor Corp. 164,461 4,789 Torchmark Corp. 118,977 4,784 Symbol Technologies, Inc. 214,900 4,771 KeySpan Corp. 130,277 4,753 Parker Hannifin Corp. 110,789 4,702 * Toys R Us, Inc. 187,408 4,638 Eaton Corp. 65,506 4,592 * Unisys Corp. 300,203 4,416 * Conseco Inc. 320,396 4,373 T. Rowe Price Group Inc. 116,704 4,364 * NCR Corp. 91,753 4,312 The Goodyear Tire & Rubber Co. 150,610 4,217 Zions Bancorp 70,842 4,180 * Noble Drilling Corp. 127,212 4,166 Brown-Forman Corp. Class B 64,955 4,153 Knight Ridder 69,401 4,115 PG&E Corp. 367,123 4,112 Leggett & Platt, Inc. 186,136 4,101 * Cabletron Systems, Inc. 178,977 4,090 Hilton Hotels Corp. 349,615 4,056 CenturyTel, Inc. 133,727 4,052 * AutoZone Inc. 106,197 3,982 GPU, Inc. 113,292 3,982 Whirlpool Corp. 63,313 3,957 * Harrah's Entertainment, Inc. 111,193 3,925 EOG Resources, Inc. 109,975 3,910 Huntington Bancshares Inc. 237,910 3,890 VF Corp. 106,185 3,863 Pinnacle West Capital Corp. 80,371 3,810 * Thermo Electron Corp. 171,858 3,784 PACCAR, Inc. 72,810 3,744 Goodrich Corp. 97,937 3,720 W.W. Grainger, Inc. 90,057 3,707 ITT Industries, Inc. 83,341 3,688 * Vitesse Semiconductor Corp. 173,700 3,655 Nucor Corp. 73,585 3,598 SAFECO Corp. 121,068 3,571 Circuit City Stores, Inc. 197,174 3,549 Cooper Industries, Inc. 88,758 3,514 * Aetna Inc. 135,002 3,492 CMS Energy Corp. 125,110 3,484 Eastman Chemical Co. 73,018 3,478 Newmont Mining Corp. 185,346 3,449 Edison International 308,871 3,444 The Stanley Works 81,177 3,399 R.R. Donnelley & Sons Co. 111,294 3,305 Sherwin-Williams Co. 148,514 3,297 Dana Corp. 140,237 3,273 * Palm, Inc. 537,400 3,262 * Citizens Communications Co. 270,400 3,253 Engelhard Corp. 123,876 3,195 Darden Restaurants Inc. 111,866 3,121 Phelps Dodge Corp. 74,609 3,096 * Manor Care, Inc. 97,506 3,096 Placer Dome, Inc. 310,492 3,043 Black & Decker Corp. 76,990 3,038 * Inco Ltd. 172,294 2,974 * Sealed Air Corp. 79,300 2,954 * Office Depot, Inc. 281,904 2,926 * American Power Conversion Corp. 184,800 2,911 Sunoco, Inc. 79,458 2,911 * Quintiles Transnational Corp. 110,449 2,789 Sigma-Aldrich Corp. 71,955 2,779 Wendy's International, Inc. 107,653 2,749 Pall Corp. 116,324 2,737 C.R. Bard, Inc. 47,995 2,733 * Niagara Mohawk Holdings Inc. 151,827 2,686 Ashland, Inc. 66,101 2,651 PerkinElmer, Inc. 95,600 2,632 The Mead Corp. 93,842 2,547 16 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Liz Claiborne, Inc. $ 50,023 $ 2,524 Temple-Inland Inc. 46,710 2,489 * Tektronix, Inc. 88,821 2,411 Hasbro, Inc. 163,331 2,360 Nordstrom, Inc. 126,711 2,350 Westvaco Corp. 95,449 2,318 Centex Corp. 56,171 2,289 Visteon Corp. 123,900 2,277 Alberto-Culver Co. Class B 53,577 2,252 SuperValu Inc. 125,362 2,200 * Conexant Systems, Inc. 233,800 2,092 * FMC Corp. 29,446 2,019 * Pactiv Corp. 150,269 2,014 Bemis Co., Inc. 49,996 2,008 Brunswick Corp. 82,915 1,992 * Rowan Cos., Inc. 89,326 1,974 Homestake Mining Co. 249,268 1,932 Autodesk, Inc. 51,392 1,917 Boise Cascade Corp. 54,359 1,912 Bausch & Lomb, Inc. 51,097 1,852 Adolph Coors Co. Class B 35,272 1,770 * Reebok International Ltd. 55,376 1,769 Crane Co. 56,458 1,750 * Novell, Inc. 300,354 1,709 Pulte Homes, Inc. 39,836 1,698 USX-U.S. Steel Group 84,034 1,693 Meredith Corp. 47,007 1,683 NICOR, Inc. 42,963 1,675 * Navistar International Corp. 56,808 1,598 * Humana, Inc. 160,762 1,583 Cummins Inc. 39,413 1,525 * Big Lots Inc. 108,466 1,484 Great Lakes Chemical Corp. 48,083 1,483 * Freeport-McMoRan Copper & Gold Inc. Class B 132,200 1,461 * Andrew Corp. 76,983 1,420 Allegheny Technologies Inc. 75,831 1,372 Peoples Energy Corp. 33,433 1,344 Snap-On Inc. 55,300 1,336 * BroadVision, Inc. 259,741 1,299 KB Home 41,868 1,263 * Power-One, Inc. 75,200 1,251 Ball Corp. 26,273 1,250 Dillard's Inc. 81,129 1,239 Thomas & Betts Corp. 55,748 1,230 Louisiana-Pacific Corp. 100,003 1,173 Hercules, Inc. 103,479 1,169 * Sapient Corp. 117,900 1,150 Ryder System, Inc. 57,818 1,133 ONEOK, Inc. 56,986 1,123 Worthington Industries, Inc. 81,536 1,109 Cooper Tire & Rubber Co. 69,222 983 The Timken Co. 57,314 971 Potlatch Corp. 27,050 931 National Service Industries, Inc. 39,281 887 * McDermott International, Inc. 58,596 683 American Greetings Corp. Class A 60,861 669 * Worldcom, Inc.-MCI Group 15,790 254 * Freeport-McMoRan Copper & Gold, Inc. Class A 4,000 40 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $4,965,986) $ 5,126,455 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.1%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 4.63%, 7/12/2001 $ 500 499 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 4.07%, 7/2/2001 1,893 1,893 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $2,392) 2,392 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (99.9%) (COST $4,968,378) 5,128,847 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (0.1%) - -------------------------------------------------------------------------------- Other Assets--Note B 27,713 Liabilities (21,440) ----------------- $ 6,273 ----------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 5,135,120 ================================================================================ *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 -0.1%, respectively, of net assets. See Note E in Notes to Financial Statements. (2)Security has been segregated as initial margin for open futures contracts. ADR--American Depositary Receipt. 17 AMOUNT VALUE INDEX FUND (000) - ------------------------------------------------------------------------------ AT JUNE 30, 2001, NET ASSETS CONSISTED OF: - ------------------------------------------------------------------------------ Paid-in Capital $ 4,879,907 Undistributed Net Investment Income 40 Accumulated Net Realized Gains 94,814 Unrealized Appreciation (Depreciation)--Note E Investment Securities 160,469 Futures Contracts (110) - ------------------------------------------------------------------------------ NET ASSETS $ 5,135,120 ============================================================================== Investor Shares--Net Assets Applicable to 163,660,011 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 3,475,402 - ------------------------------------------------------------------------------ NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 21.24 ============================================================================== Admiral Shares--Net Assets Applicable to 25,198,640 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 535,119 - ------------------------------------------------------------------------------ NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 21.24 ============================================================================== Institutional Shares--Net Assets Applicable to 52,956,379 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 1,124,599 - ------------------------------------------------------------------------------ NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 21.24 ============================================================================== 18 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 ------------------------------------------ SIX MONTHS ENDED JUNE 30, 2001 ------------------------------------------ (000) (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 39,770 $ 41,685 $ 130,923 Interest 89 349 8,205 Security Lending -- 10 2,860 - -------------------------------------------------------------------------------- Total Income $ 39,859 $ 42,044 $ 141,988 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 79 24 80 Management and Administrative --Investor Shares 9,003 3,390 14,257 Management and Administrative --Admiral Shares 641 313 2,014 Management and Administrative --Institutional Shares 326 430 1,335 Management and Administrative --VIPER Shares -- -- 8 Marketing and Distribution --Investor Shares 995 288 1,435 Marketing and Distribution --Admiral Shares 28 14 96 Marketing and Distribution --Institutional Shares 82 98 397 Marketing and Distribution --VIPER Shares -- -- -- Custodian Fees 54 106 128 Auditing Fees 6 6 6 Shareholders' Reports --Investor Shares 176 29 159 Shareholders' Reports --Admiral Shares -- -- -- Shareholders' Reports --Institutional Shares 8 6 34 Shareholders' Reports --VIPER Shares -- -- -- Annual Meeting and Proxy Costs --Investor Shares 305 -- -- Annual Meeting and Proxy Costs --Admiral Shares 1 -- -- Annual Meeting and Proxy Costs --Institutional Shares -- -- -- Annual Meeting and Proxy Costs --VIPER Shares -- -- -- Trustees' Fees and Expenses 12 4 21 - -------------------------------------------------------------------------------- Total Expenses $ 11,716 $ 4,708 $ 19,970 Expenses Paid Indirectly --Note C -- -- (48) - -------------------------------------------------------------------------------- Net Expenses 11,716 4,708 19,922 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 28,143 37,336 122,066 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (516,040) 102,027 349,792 Futures Contracts (995) 129 (28,481) - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (517,035) 102,156 321,311 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (922,468) (265,818) (1,764,079) Futures Contracts 387 (208) 7,833 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (922,081) (266,026) (1,756,246) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(1,410,973) $ (126,534) $ (1,312,869) ================================================================================ 19 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 net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
- ----------------------------------------------------------------------------------------------------------------------- GROWTH INDEX FUND VALUE INDEX FUND ----------------------------------------------------------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED JUNE 30, 2001 DEC. 31, 2000 JUNE 30, 2001 DEC. 31, 2000 (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 28,143 $ 53,630 $ 37,336 $ 67,210 Realized Net Gain (Loss) (517,035) (1,312,056) 102,156 344,770 Change in Unrealized Appreciation (Depreciation) (922,081) (2,436,845) (266,026) (151,438) - ----------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (1,410,973) (3,695,271) (126,534) 260,542 - ----------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (23,826) (49,099) (23,910) (54,134) Admiral Shares (2,349) (855) (3,236) (965) Institutional Shares (2,607) (3,464) (8,412) (12,916) Realized Capital Gain Investor Shares -- -- (133,790) (144,154) Admiral Shares -- -- (15,331) (5,500) Institutional Shares -- -- (43,995) (33,315) - ----------------------------------------------------------------------------------------------------------------------- Total Distributions (28,782) (53,418) (228,674) (250,984) - ----------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE G Investor Shares (871,198) (601,194) 265,568 72,649 Admiral Shares 268,432 772,109 317,878 246,570 Institutional Shares (11,132) 712,591 126,953 613,588 - ----------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (613,898) 883,506 710,399 932,807 - ----------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) (2,053,653) (2,865,183) 355,191 942,365 - ----------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period $ 12,819,367 $ 15,684,550 $ 4,779,929 $ 3,837,564 - ----------------------------------------------------------------------------------------------------------------------- End of Period $ 10,765,714 $ 12,819,367 $ 5,135,120 $ 4,779,929 =======================================================================================================================
20 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND --------------------------------- SIX MONTHS YEAR ENDED ENDED JUNE 30, 2001 DEC. 31, 2000 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 122,066 $ 250,777 Realized Net Gain (Loss) 321,311 467,585 Change in Unrealized Appreciation (Depreciation) (1,756,246) (3,341,210) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (1,312,869) (2,622,848) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (75,856) (196,982) Admiral Shares (15,665) (6,794) Institutional Shares (24,369) (51,409) VIPER Shares (158) -- Realized Capital Gain Investor Shares -- (79,372) Admiral Shares -- (5,490) Institutional Shares -- (19,854) VIPER Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (116,048) (359,901) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE G Investor Shares 123,679 1,086,909 Admiral Shares 1,504,387 2,160,454 Institutional Shares 530,613 827,855 VIPER Shares 77,343 -- - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 2,236,022 4,075,218 - -------------------------------------------------------------------------------- Total Increase (Decrease) 807,105 1,092,469 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 23,232,061 22,139,592 - -------------------------------------------------------------------------------- End of Period $ 24,039,166 $ 23,232,061 ================================================================================ 21 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 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 SIX MONTHS ENDED ------------------------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 1998 1997 1996 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 30.57 $ 39.43 $ 31.67 $ 22.53 $ 16.90 $ 13.97 - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .069 .126 .207 .230 .23 .22 Net Realized and Unrealized Gain (Loss) on Investments (3.479) (8.861) 8.821 9.244 5.88 3.07 - -------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (3.410) (8.735) 9.028 9.474 6.11 3.29 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.070) (.125) (.228) (.219) (.23) (.22) Distributions from Realized Capital Gains -- -- (1.040) (.115) (.25) (.14) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions (.070) (.125) (1.268) (.334) (.48) (.36) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 27.09 $ 30.57 $ 39.43 $ 31.67 $ 22.53 $ 16.90 ========================================================================================================================== TOTAL RETURN* -11.14% -22.21% 28.76% 42.21% 36.34% 23.74% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 9,052 $ 11,162 $ 15,232 $ 6,644 $ 2,365 $ 787 Ratio of Total Expenses to Average Net Assets 0.22%** 0.22% 0.22% 0.22% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 0.49%** 0.33% 0.64% 0.92% 1.19% 1.57% Portfolio Turnover Rate 38%** 33% 33% 29% 26% 29% ========================================================================================================================== *Total returns do not reflect the $10 annual account maintenance fee applied on alances under $10,000. **Annualized.
22
- ------------------------------------------------------------------------------------------------------ GROWTH INDEX FUND ADMIRAL SHARES SIX MONTHS ENDED NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 DEC. 31, 2000 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 30.57 $ 33.12 - ------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .075 .024 Net Realized and Unrealized Gain (Loss) on Investments (3.479) (2.536) - ------------------------------------------------------------------------------------------------------ Total from Investment Operations (3.404) (2.512) - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.076) (.038) Distributions from Realized Capital Gains -- -- - ------------------------------------------------------------------------------------------------------ Total Distributions (.076) (.038) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 27.09 $ 30.57 ====================================================================================================== TOTAL RETURN -11.12% -7.59% ====================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 884 $ 709 Ratio of Total Expenses to Average Net Assets 0.17%** 0.17%** Ratio of Net Investment Income to Average Net Assets 0.54%** 0.56%** Portfolio Turnover Rate 38%** 33% ====================================================================================================== *Inception. **Annualized.
- -------------------------------------------------------------------------------------------------------------------- GROWTH INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, SIX MONTHS ENDED ------------------------------- MAY 14* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 DEC. 31, 1998 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 30.57 $ 39.44 $ 31.67 $ 26.49 INVESTMENT OPERATIONS Net Investment Income .085 .156 .249 .167 Net Realized and Unrealized Gain (Loss) on Investments (3.479) (8.861) 8.821 5.315 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (3.394) (8.705) 9.070 5.482 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.086) (.165) (.260) (.187) Distributions from Realized Capital Gains -- -- (1.040) (.115) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (.086) (.165) (1.300) (.302) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 27.09 $ 30.57 $ 39.44 $ 31.67 ==================================================================================================================== TOTAL RETURN -11.09% -22.14% 28.91% 20.79% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 831 $ 948 $ 452 $ 224 Ratio of Total Expenses to Average Net Assets 0.10%** 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 0.61%** 0.44% 0.74% 0.97%** Portfolio Turnover Rate 38%** 33% 33% 29% ==================================================================================================================== *Inception. **Annualized.
23 FINANCIAL HIGHLIGHTS (CONTINUED)
- -------------------------------------------------------------------------------------------------------------------------- VALUE INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 1998 1997 1996 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 22.87 $ 22.89 $ 22.51 $ 20.85 $ 17.02 $ 14.79 - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .160 .355 .355 .366 .38 .37 Net Realized and Unrealized Gain (Loss) on Investments (.770) .963 2.342 2.647 4.57 2.81 - -------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (.610) 1.318 2.697 3.013 4.95 3.18 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.150) (.358) (.362) (.363) (.37) (.38) Distributions from Realized Capital Gains (.870) (.980) (1.955) (.990) (.75) (.57) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions (1.020) (1.338) (2.317) (1.353) (1.12) (.95) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 21.24 $ 22.87 $ 22.89 $ 22.51 $ 20.85 $ 17.02 ========================================================================================================================== TOTAL RETURN* -2.46% 6.08% 12.57% 14.64% 29.77% 21.86% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 3,475 $ 3,450 $ 3,378 $ 2,421 $ 1,796 $ 1,016 Ratio of Total Expenses to Average Net Assets 0.22%** 0.22% 0.22% 0.22% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 1.47%** 1.60% 1.59% 1.72% 2.05% 2.54% Portfolio Turnover Rate 41%** 37% 41% 33% 25% 29% ========================================================================================================================== *Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Annualized.
- ------------------------------------------------------------------------------------------------------ VALUE INDEX FUND ADMIRAL SHARES SIX MONTHS ENDED NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 DEC. 31, 2000 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 22.87 $ 22.86 - ------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .165 .045 Net Realized and Unrealized Gain (Loss) on Investments (.770) .635 - ------------------------------------------------------------------------------------------------------ Total from Investment Operations (.605) .680 - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.155) (.100) Distributions from Realized Capital Gains (.870) (.570) - ------------------------------------------------------------------------------------------------------ Total Distributions (1.025) (.670) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 21.24 $ 22.87 ====================================================================================================== TOTAL RETURN -2.43% 3.13% ====================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 535 $ 248 Ratio of Total Expenses to Average Net Assets 0.17%** 0.17%** Ratio of Net Investment Income to Average Net Assets 1.52%** 0.19%** Portfolio Turnover Rate 41%** 37% ====================================================================================================== *Inception. **Annualized.
24
- -------------------------------------------------------------------------------------------------------------------- VALUE INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, SIX MONTHS ENDED -------------------------------- JULY 2* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 DEC. 31, 1998 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 22.87 $ 22.89 $ 22.51 $ 23.22 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .173 .377 .377 .196 Net Realized and Unrealized Gain (Loss) on Investments (.770) .963 2.342 (.060) - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (.597) 1.340 2.719 .136 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.163) (.380) (.384) (.236) Distributions from Realized Capital Gains (.870) (.980) (1.955) (.610) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (1.033) (1.360) (2.339) (.846) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 21.24 $ 22.87 $ 22.89 $ 22.51 ==================================================================================================================== TOTAL RETURN -2.40% 6.19% 12.67% 0.69% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 1,125 $ 1,082 $ 460 $ 186 Ratio of Total Expenses to Average Net Assets 0.10%** 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 1.59%** 1.70% 1.68% 1.90%** Portfolio Turnover Rate 41%** 37% 41% 33% ==================================================================================================================== *Inception. **Annualized.
- -------------------------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 1998 1997 1996 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 29.26 $ 33.22 $ 27.42 $ 22.64 $ 17.77 $ 15.04 - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .142 .331 .317 .336 .319 .29 Net Realized and Unrealized Gain (Loss) on Investments (1.820) (3.815) 6.133 4.898 5.143 2.84 - -------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (1.678) (3.484) 6.450 5.234 5.462 3.13 - -------------------------------------------------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.132) (.336) (.330) (.329) (.322) (.29) Distributions from Realized Capital Gains -- (.140) (.320) (.125) (.270) (.11) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions (.132) (.476) (.650) (.454) (.592) (.40) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 27.45 $ 29.26 $ 33.22 $ 27.42 $ 22.64 $ 17.77 ========================================================================================================================== TOTAL RETURN* -5.71% -10.57% 23.81% 23.26% 30.99% 20.96% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 15,969 $ 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% 0.20% 0.22% Ratio of Net Investment Income to Average Net Assets 1.02%** 1.04% 1.15% 1.44% 1.65% 1.86% Portfolio Turnover Rate 8%**+ 7% 3% 3% 2% 3% ========================================================================================================================== *Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Annualized. +The portfolio turnover rate excluding in-kind redemptions was 1%.
25 FINANCIAL HIGHLIGHTS (CONTINUED)
- ------------------------------------------------------------------------------------------------------ TOTAL STOCK MARKET INDEX FUND ADMIRAL SHARES SIX MONTHS ENDED NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 DEC. 31, 2000 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 29.26 $ 30.22 - ------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .148 .049 Net Realized and Unrealized Gain (Loss) on Investments (1.820) (.830) - ------------------------------------------------------------------------------------------------------ Total from Investment Operations (1.672) (.781) - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.138) (.099) Distributions from Realized Capital Gains -- (.080) - ------------------------------------------------------------------------------------------------------ Total Distributions (.138) (.179) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 27.45 $ 29.26 ====================================================================================================== TOTAL RETURN -5.69% -2.55% ====================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 3,451 $ 2,104 Ratio of Total Expenses to Average Net Assets 0.15%** 0.15%** Ratio of Net Investment Income to Average Net Assets 1.06%** 1.23%** Portfolio Turnover Rate 8%**+ 7% ====================================================================================================== *Inception. **Annualized. +The portfolio turnover rate excluding in-kind redemptions was 1%.
- ------------------------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, SIX MONTHS ENDED ----------------------------------------- JULY 7* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2001 2000 1999 1998 DEC. 31, 1997 - ------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 29.27 $ 33.22 $ 27.42 $ 22.64 $ 21.27 - ------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .149 .371 .344 .359 .172 Net Realized and Unrealized Gain (Loss) on Investments (1.820) (3.815) 6.133 4.898 1.642 - ------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (1.671) (3.444) 6.477 5.257 1.814 - ------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.149) (.366) (.357) (.352) (.214) Distributions from Realized Capital Gains -- (.140) (.320) (.125) (.230) - ------------------------------------------------------------------------------------------------------------------------- Total Distributions (.149) (.506) (.677) (.477) (.444) - ------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 27.45 $ 29.27 $ 33.22 $ 27.42 $ 22.64 ========================================================================================================================= TOTAL RETURN -5.68% -10.46% 23.93% 23.37% 8.60% ========================================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 4,544 $ 4,272 $ 4,006 $ 2,445 $ 1,504 Ratio of Total Expenses to Average Net Assets 0.08%** 0.10% 0.10% 0.10% 0.10%** Ratio of Net Investment Income to Average Net Assets 1.14%** 1.14% 1.26% 1.53% 1.70%** Portfolio Turnover Rate 8%**+ 7% 3% 3% 2% ========================================================================================================================= *Inception. **Annualized. +The portfolio turnover rate excluding in-kind redemptions was 1%.
26
- ---------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND VIPER SHARES FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD MAY 24* TO JUNE 30, 2001 - ---------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 118.46 - ---------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .080 Net Realized and Unrealized Gain (Loss) on Investments (5.460) - ---------------------------------------------------------------------------------------------------------- Total from Investment Operations (5.380) - ---------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.280) Distributions from Realized Capital Gains -- - ---------------------------------------------------------------------------------------------------------- Total Distributions (.280) - ---------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 112.80 ========================================================================================================== TOTAL RETURN -4.54% ========================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 75 Ratio of Total Expenses to Average Net Assets 0.15%** Ratio of Net Investment Income to Average Net Assets 0.71%** Portfolio Turnover Rate 8%**+ ========================================================================================================== *Inception. **Annualized. +The portfolio turnover rate excluding in-kind redemptions was 1%.
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. The Growth Index and Value Index Funds each offer three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. The Total Stock Market Index Fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares. Admiral Shares and VIPER Shares were first issued on November 13, 2000, and May 24, 2001, respectively. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. VIPER Shares are listed for trading on the American Stock Exchange, and began trading on May 31, 2001; they can be purchased and sold through a broker. 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 27 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 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/BARRA Growth Index (Growth Index Fund), S&P 500/BARRA Value Index (Value Index Fund), S&P 500 Index (Total Stock Market Index Fund), S&P MidCap 400 Index (Total Stock Market 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. 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, and proxy costs. 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. 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 June 30, 2001, the funds had contributed capital to Vanguard (included in Other Assets) of: 28 - -------------------------------------------------------------------------------- CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION - -------------------------------------------------------------------------------- Growth $ 2,042 0.02% 2.0% Value 979 0.02 1.0 Total Stock Market 4,481 0.02 4.5 - -------------------------------------------------------------------------------- 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 six months ended June 30, 2001, custodian fee offset arrangements reduced expenses of the Total Stock Market Index Fund by $48,000. D. During the six months ended June 30, 2001, purchases and sales of investment securities other than temporary cash investments were: - ------------------------------------------------------- (000) ------------------------------ INDEX FUND PURCHASES SALES - ------------------------------------------------------- Growth $ 2,183,376 $2,810,474 Value 1,533,907 1,016,090 Total Stock Market 3,717,255 895,520 - ------------------------------------------------------- During the six months ended June 30, 2001, the Total Stock Market Index Fund realized $420,970,000 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 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. E. At June 30, 2001, 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 $ 2,177,078 $ (702,041) $1,475,037 Value 716,371 (555,902) 160,469 Total Stock Market 4,926,485 (3,007,366) 1,919,119 - --------------------------------------------------------------------------- 29 NOTES TO FINANCIAL STATEMENTS (CONTINUED) At June 30, 2001, the aggregate settlement value of open futures contracts expiring in September 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 $ 3,525 $ (81) Value/ S&P 500/BARRA Value Index 40 6,187 (110) Total Stock Market/ S&P 500 Index 44 11,495 (48) S&P MidCap 400 Index 232 71,439 (304) Russell 2000 Index 35 9,023 123 - -------------------------------------------------------------------------------- F. The market value of Total Stock Market Index Fund securities on loan to broker/dealers at June 30, 2001, was $139,200,000, for which the fund held cash collateral of $165,713,000. 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. G. Capital share transactions for each class of shares were:
- --------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2001 DECEMBER 31, 2000 --------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------- GROWTH INDEX FUND Investor Shares Issued $ 759,375 27,240 $ 4,456,526 117,226 Issued in Lieu of Cash Distributions 21,046 815 43,793 1,175 Redeemed (1,651,619) (59,000) (5,101,513) (139,573) ------------------------------------------------------------------------- Net Increase (Decrease)-- Investor Shares (871,198) (30,945) (601,194) (21,172) ------------------------------------------------------------------------- Admiral Shares Issued 372,760 13,176 787,118 23,688 Issued in Lieu of Cash Distributions 1,972 76 727 24 Redeemed (106,300) (3,836) (15,736) (508) ------------------------------------------------------------------------- Net Increase (Decrease)-- Admiral Shares 268,432 9,416 772,109 23,204 ------------------------------------------------------------------------- Institutional Shares Issued 140,565 5,052 893,409 24,464 Issued in Lieu of Cash Distributions 2,530 98 3,314 93 Redeemed (154,227) (5,488) (184,132) (5,018) ------------------------------------------------------------------------- Net Increase (Decrease)-- Institutional Shares (11,132) (338) 712,591 19,539 - ---------------------------------------------------------------------------------------------------------------------
30
- --------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2001 DECEMBER 31, 2000 --------------------------------- -------------------------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------- VALUE INDEX FUND Investor Shares Issued $ 642,295 29,405 $ 1,124,488 50,383 Issued in Lieu of Cash Distributions 145,362 7,141 180,609 8,183 Redeemed (522,089) (23,727) (1,232,448) (55,295) ------------------------------------------------------------------------- Net Increase (Decrease)-- Investor Shares 265,568 12,819 72,649 (3,271) ------------------------------------------------------------------------- Admiral Shares Issued 332,172 14,942 243,198 10,696 Issued in Lieu of Cash Distributions 16,032 787 5,623 259 Redeemed (30,326) (1,385) (2,251) (99) ------------------------------------------------------------------------- Net Increase (Decrease)-- Admiral Shares 317,878 14,344 246,570 10,856 ------------------------------------------------------------------------- Institutional Shares Issued 191,153 8,419 799,812 35,445 Issued in Lieu of Cash Distributions 48,632 2,389 42,414 1,932 Redeemed (112,832) (5,150) (228,638) (10,167) ------------------------------------------------------------------------- Net Increase (Decrease)-- Institutional Shares 126,953 5,658 613,588 27,210 - --------------------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND Investor Shares Issued $2,368,157 86,131 $ 6,782,818 210,615 Issued in Lieu of Cash Distributions 70,777 2,699 258,721 8,256 Redeemed (2,315,255) (83,100) (5,954,630) (188,753) ------------------------------------------------------------------------- Net Increase (Decrease)-- Investor Shares 123,679 5,730 1,086,909 30,118 ------------------------------------------------------------------------- Admiral Shares Issued 1,629,069 58,375 2,176,442 72,438 Issued in Lieu of Cash Distributions 13,340 507 10,835 390 Redeemed (138,022) (5,093) (26,823) (920) ------------------------------------------------------------------------- Net Increase (Decrease)-- Admiral Shares 1,504,387 53,789 2,160,454 71,908 ------------------------------------------------------------------------- Institutional Shares Issued 1,412,418 51,251 2,143,402 65,951 Issued in Lieu of Cash Distributions 20,391 777 63,649 2,034 Redeemed (902,196) (32,478) (1,379,196) (42,608) ------------------------------------------------------------------------- Net Increase (Decrease)-- Institutional Shares 530,613 19,550 827,855 25,377 ------------------------------------------------------------------------- VIPER Shares Issued 77,343 667 -- -- Issued in Lieu of Cash Distributions -- -- -- -- Redeemed -- -- -- -- ------------------------------------------------------------------------- Net Increase (Decrease)--VIPER Shares 77,343 667 -- -- - ---------------------------------------------------------------------------------------------------------------------
31 THE ADVANTAGES OF GETTING CONNECTED VISIT VANGUARD.COM Why wait for the mail? You can get fund reports like this one sooner--and reduce the amount of mail you receive from us. Simply choose to view your fund reports online. Consider the benefits of using VANGUARD.COM. On our website, you can: **Choose to receive all fund reports, as well as prospectuses, online. **Request a courtesy e-mail to notify you when a new fund report or prospectus is available. When you receive fund reports and prospectuses online, you lower Vanguard's printing and postage costs--and that helps to reduce the expense ratios of your funds. You will continue to receive confirmations of purchases, redemptions, and other account activity by mail. HOW TO NOTIFY US ABOUT YOUR MAILING PREFERENCES You can easily tell us to stop mailing your fund reports and prospectuses. Just log on to Vanguard.com (or follow the easy steps to register for secure, online access to your accounts) and update your Web profile. Registered users can also view their account values; download records of recent transactions; research and track the performance of individual securities and funds; buy, exchange, and sell fund shares; and much more. If you invest directly with us, you can also elect to receive all of your account statements online or to continue the mailing of only your year-end statements, which detail every transaction you make during the year. However, if you invest with us through an employer-sponsored retirement plan or a financial intermediary, some of these options may not be available to you. All Vanguard shareholders can choose to receive our electronic newsletters: ECONOMIC WEEK IN REVIEW, a recap of each week's key economic reports and market activity; and WHAT'S NEW AT VANGUARD, a monthly update on our mutual funds, services, and online resources. YOUR ONLINE INFORMATION IS SECURE Vanguard.com uses some of the most secure forms of online communication available, including data encryption and Secure Sockets Layer (SSL) protocol. These technologies provide a high level of security and privacy when you access your account information, initiate online transactions, or send us messages. 32 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. The majority of Vanguard's 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. CHARLES D. ELLIS (2001) Retired Managing Partner of Greenwich Associates; Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. 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 R. GREGORY BARTON, Secretary; Managing Director-;Legal 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 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. [SHIP GRAPHIC] THE VANGUARD GROUP(R) 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&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. WORLD WIDE WEB www.vanguard.com FUND INFORMATION 1-800-662-7447 DIRECT INVESTOR 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. Q852 082001 -----END PRIVACY-ENHANCED MESSAGE-----