-----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, SUOeJzjc8BLUgUQk7cK2Vz/kV570LKsC8i0QhahLyILIUh5CHh4m05EcaPZetTrV w0tKj0m5xjQ2daUpvjsidQ== 0000932471-03-000327.txt : 20030304 0000932471-03-000327.hdr.sgml : 20030304 20030304110814 ACCESSION NUMBER: 0000932471-03-000327 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20021231 FILED AS OF DATE: 20030304 EFFECTIVENESS DATE: 20030304 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD INDEX FUNDS CENTRAL INDEX KEY: 0000036405 IRS NUMBER: 231999755 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-02652 FILM NUMBER: 03590587 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106696295 MAIL ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD INDEX TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: FIRST INDEX INVESTMENT TRUST DATE OF NAME CHANGE: 19800904 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD INDEX FUNDS/ DATE OF NAME CHANGE: 20011121 N-30D 1 largecapfund.txt VANGUARD INDEX FUNDS VANGUARD(R) U.S. STOCK INDEX FUNDS LARGE-CAPITALIZATION PORTFOLIOS ANNUAL REPORT * DECEMBER 31, 2002 VANGUARD GROWTH INDEX FUND VANGUARD VALUE INDEX FUND VANGUARD TOTAL STOCK MARKET INDEX FUND EARNING YOUR TRUST EVERY DAY The latter part of 2001 and the first half of 2002 brought news of too many corporate scandals, with tales of greed and deception tarnishing Enron, Arthur Andersen, and WorldCom, among others. Given the questionable business dealings at some high-profile companies, investors can hardly be blamed for wondering whom they can trust. Vanguard is a name that should stand out. Why? Our unique corporate structure--The Vanguard Group is owned by each of its independently operated mutual funds and is charged with solely serving the funds' shareholders--ensures that our interests are aligned with yours. We have no other constituency to serve. We are client-focused because, quite frankly, it makes good business sense. Your trust is our most valuable asset, and every one of our crew members understands that his or her actions must meet the highest standards of ethical behavior and fiduciary responsibility. When you assess the combination of our organizational structure, the independent nature of each of our funds, our long track record of conducting business with integrity, and our total commitment to ethical behavior, we hope you will feel completely secure in entrusting your assets to us. There is no better place for them. [PICTURE OF JOHN J. BRENNAN - --John J. Brennan Chairman and Chief Executive Officer - -------------------------------------------------------------------------------- SUMMARY * Stock market returns were terrible. The Growth Index Fund lost -23.7%; the Value Index Fund lost -20.9%; and the Total Stock Market Index Fund lost -21.0%. * The rash of corporate scandals shook some investors' faith in the financial markets. * Despite the 2000-2002 bear market, the long-term results of the funds compare favorably with those of competing funds. - -------------------------------------------------------------------------------- CONTENTS 1 Letter from the Chairman 7 Fund Profiles 10 Glossary of Investment Terms 11 Performance Summaries 14 Your Fund's After-Tax Returns 15 Results of Proxy Voting 16 Financial Statements LETTER FROM THE CHAIRMAN FELLOW SHAREHOLDER, Stock market returns were weak across the board during 2002, with large- capitalization stocks turning in the poorest performance. As the table below shows, large growth stocks suffered the most, but large value stocks were not far behind. An investment in either segment lost more than 20% of its value over the 12 months. An investment in the broad stock market--growth and value stocks, large and small--also fared dismally, declining by -21.0% as represented by the Investor Shares of Vanguard(R) Total Stock Market Index Fund. The culprits were many, but hard-hit technology stocks accounted for a significant share of the overall stock market's decline. - ---------------------------------------------------- 2002 TOTAL RETURNS YEAR ENDED DECEMBER 31 - ---------------------------------------------------- VANGUARD GROWTH INDEX FUND Investor Shares -23.7% Admiral Shares -23.6 Institutional Shares -23.6 Average Large-Cap Growth Fund* -28.6 S&P 500/Barra Growth Index -23.6 - ---------------------------------------------------- VANGUARD VALUE INDEX FUND Investor Shares -20.9% Admiral Shares -20.8 Institutional Shares -20.8 Average Large-Cap Value Fund* -20.0 S&P 500/Barra Value Index -20.9 - ---------------------------------------------------- VANGUARD TOTAL STOCK MARKET INDEX FUND Investor Shares -21.0% Admiral Shares -21.0 Institutional Shares -20.9 VIPER Shares Market Price -20.8 Net Asset Value -20.9 Average Multi-Cap Core Fund* -21.8 Wilshire 5000 Index -20.9 - ---------------------------------------------------- *Derived from data provided by Lipper Inc. One positive note during the past 12 months was that our funds met their objectives of tracking the returns of their respective indexes. Another small consolation is the fact that two of the three funds held up better than their typical peer fund (most of their peers are actively managed). Vanguard(R) Value Index Fund slightly trailed its average competitor, but both Vanguard(R) Growth Index Fund and the Total Stock Market Index Fund bested their peers. A table showing the per-share components of the funds' total returns appears on page 6. AMID CORPORATE SCANDALS, STOCKS FELL FOR A THIRD CONSECUTIVE YEAR Lawmakers, prosecutors, and securities-industry regulators ramped up their efforts to expose unethical and illegal business practices in 2002. As revelations 1 of fraudulent accounting practices mounted--helping to push a handful of well-known companies into bankruptcy--some investors lost confidence in the financial markets. Economic uncertainty, the threat of terrorism, and the prospect of war with Iraq also weighed on the nation. - -------------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ----------------------------------- ONE THREE FIVE YEAR YEARS YEARS - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) -21.7% -14.2% -0.6% Russell 2000 Index (Small-caps) -20.5 -7.5 -1.4 Wilshire 5000 Index (Entire market) -20.9 -14.4 -0.9 MSCI All Country World Index Free ex USA (International) -14.7 -16.4 -2.7 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 10.3% 10.1% 7.5% (Broad taxable market) Lehman Municipal Bond Index 9.6 8.8 6.1 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 1.7 3.9 4.3 ================================================================================ CPI Consumer Price Index 2.4% 2.4% 2.3% - -------------------------------------------------------------------------------- It was all too much for the stock market, which skidded -20.9% as measured by the Wilshire 5000 Total Market Index. Share prices declined -22.0%--their worst calendar-year performance since 1974--while dividends provided an income return of just 1.1%. It was the third consecutive down year for stocks, and the longest bear market since 1939-1941. Stocks of all kinds declined. Growth stocks within the Standard & Poor's 500 Index plunged -23.6%. Value stocks also proved disappointing: The S&P 500/Barra Value Index fell -20.9%. Sorted by market capitalization, the declines were slightly more uniform. Large-cap stocks, as measured by the Russell 1000 Index, sank -21.7%. Small-caps (the Russell 2000 Index) dropped -20.5%. - -------------------------------------------------------------------------------- ADMIRAL(TM) SHARES A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. INSTITUTIONAL SHARES This class of shares also carries low expenses and is available for a minimum investment of $10 million. VIPER(R) SHARES Traded on the American Stock Exchange, VIPERs(R) are available only through brokers. The table on page 1 shows VIPER returns based on both the AMEX market price and the net asset value for a share. - -------------------------------------------------------------------------------- THE ECONOMY BEGAN TO GROW AGAIN, SLOWLY; BONDS SHONE ONCE MORE Although the stock market seemed oblivious, the recession of 2001 gave way to halting economic growth in 2002. The production of goods and services rebounded nicely in the first quarter, only to decelerate in the second quarter. This pattern reappeared in the second half of the year: The nation's real (inflation-adjusted) gross domestic product grew at an annual rate of 4.0% between July and September, but lackluster holiday sales restrained growth in the fourth quarter. 2 Growth in corporate earnings remained sluggish. The companies in the S&P 500 Index recorded combined quarterly per-share profits of $11-$12, well off their first-quarter 2000 peak of $16. As a result, business spending on new plants, equipment, and technology remained weak. Employers also pinched their payrolls; in the fall, unemployment stood at 6%, an eight-year high. Interest rates dropped, leading to a mortgage refinancing boom that supported consumer spending. The yield of the 3-month Treasury bill fell 53 basis points (0.53 percentage point) to 1.19% as of December 31, while the yield of the 10-year Treasury note declined 124 basis points to 3.81%. The Lehman Brothers Aggregate Bond Index, which tracks the market for taxable investment-grade bonds, returned 10.3% for the year. FUNDS HAD SUBTLE DIFFERENCES IN PERFORMANCE, BUT ALL SUFFERED During 2002, the large value stocks that make up the S&P 500/Barra Value Index escaped with less damage than their counterparts in the S&P 500/Barra Growth Index, as investors preferred traditional dividend-paying stocks in the financial services and oil industries over faster-growing, lower-yielding stocks in the technology and health care sectors. (The battered technology and health care sectors accounted for roughly 8% of the Value Index, on average, while they made up almost half of the Growth Index. That difference alone explains much of the 2.7-percentage-point spread between the returns of the two indexes.) - -------------------------------------------------------------------------------- LARGE VALUE STOCKS HELD UP BETTER THAN LARGE GROWTH STOCKS, BUT "BETTER" MEANT "LESS BADLY." - -------------------------------------------------------------------------------- The Value Index also benefited, at least in a relative sense, from its higher weighting in materials & processing stocks, the companies that supply the economy's basic building blocks. As signs emerged that manufacturers might be grinding into gear, the stocks of mining companies, chemical makers, and forest-products giants held up better than the market as a whole, and in fact produced double-digit returns in the fourth quarter. For the year, however, the sector sustained a loss. The Growth Index found some protection in consumer staples stocks. Although the sector produced a loss for the 12 months, the decline was modest (-2.8%). The stocks of food producers, toiletry makers, and the like have tended to be good defensive investments because the companies' earnings are relatively insensitive to weakness in the broader economy. As noted, small stocks outperformed larger stocks, keeping the Total Stock Market Index Fund slightly ahead of the overall S&P 500 Index, which returned - -22.1%. (The Growth and Value Indexes together make up the S&P 500.) The differences in the performances of the three funds are obviously far less significant than the similarities. All were disappointments from an absolute 3 return standpoint. The stock market downturn entered its third straight year, and in fact picked up momentum in the second and third quarters of 2002 before reversing course in the final months. It's worth noting that none of the large-cap index funds distributed any capital gains during 2002. That may seem unremarkable in a severe bear market, but indexing's critics have long argued that in a stock market downturn, index funds would experience mass redemptions, forcing the funds to sell stocks and realize gains from long-term holdings. That scenario simply didn't materialize. - -------------------------------------------------------------------------------- TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2002 --------------------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - -------------------------------------------------------------------------------- Growth Index Fund Investor Shares 8.7% $23,032 Average Large-Cap Growth Fund 6.7 19,192 S&P 500/Barra Growth Index 8.8 23,223 - -------------------------------------------------------------------------------- Value Index Fund Investor Shares 9.3% $24,276 Average Large-Cap Value Fund 8.8 23,259 S&P 500/Barra Value Index 9.4 24,531 - -------------------------------------------------------------------------------- Total Stock Market Index Fund Investor Shares 8.6% $22,821 Average Multi-Cap Core Fund 7.8 21,262 Wilshire 5000 Index 8.7 23,115 - -------------------------------------------------------------------------------- OUR RESULTS ARE BETTER OVER LONGER PERIODS The funds' long-term returns are a welcome contrast to their recent results. During the past decade--the current downturn included--annualized returns were just a bit below the S&P 500's long-term historical average of about 10%. As the adjacent table shows, the Value Index Fund returned 9.3%, the Growth Index Fund returned 8.7%, and the Total Stock Market Index Fund returned 8.6%. In all cases, the results were consistent with the returns of the funds' target indexes and superior to the average returns of peer mutual funds. Vanguard Growth Index Fund, for example, beat the average return of its peers by 2 percentage points per year during the past decade. On an initial investment of $10,000, that 2-percentage-point difference would have created $3,840 in additional capital. Our higher return was a function of our lower costs and of the ability of our adviser, the Vanguard Quantitative Equity Group, to make the most of this edge. (During 2002, the Investor Shares of the Growth Index Fund had an expense ratio of 0.23%; the average competitor charged 1.52%.) Tough markets such as the one we've seen over the last three years underscore the importance of minimizing your investment costs. 4 PREPARE FOR THE BEST--AND FOR THE WORST Is the worst over? The stock market's fourth-quarter rally was encouraging, but the truth is that no one knows what the market's future returns will be. That uncertainty doesn't make us powerless; it puts a premium on sensible planning. That's why Vanguard advocates a balanced investment approach that includes stock, bond, and money market funds in proportions appropriate for your goals and unique financial circumstances. Diversification among asset classes is the best way to manage investment risk while still positioning your portfolio to take advantage of the markets' long-term rewards. It's also important to diversify within the different asset classes. In the stock market, you can get complete diversification with a single fund: Vanguard Total Stock Market Index Fund. Or you can use the Value and Growth Index Funds as pieces of a balanced portfolio that also includes the market's smaller stocks. By following these simple principles, all investors--whether they are individuals just starting to invest or institutions with millions of dollars in the market--enhance their ability to continue investing through the tough times in order to profit from the better times. We thank you for entrusting your money to us. Sincerely, /S/JOHN J. BRENNAN JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 13, 2003 5
- ------------------------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2001-DECEMBER 31, 2002 DISTRIBUTIONS PER SHARE -------------------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - ------------------------------------------------------------------------------------------------- Growth Index Fund Investor Shares $ 26.42 $ 19.95 $ 0.227 $ 0.000 Admiral Shares 26.42 19.95 0.242 0.000 Institutional Shares 26.42 19.95 0.253 0.000 - ------------------------------------------------------------------------------------------------- Value Index Fund Investor Shares $ 18.90 $ 14.65 $ 0.315 $ 0.000 Admiral Shares 18.90 14.65 0.327 0.000 Institutional Shares 18.90 14.65 0.334 0.000 - ------------------------------------------------------------------------------------------------- Total Stock Market Index Fund Investor Shares $ 25.74 $ 20.07 $ 0.293 $ 0.000 Admiral Shares 25.75 20.07 0.304 0.000 Institutional Shares 25.75 20.07 0.319 0.000 VIPER Shares 105.80 82.47 1.252 0.000 - -------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND VIPER SHARES PREMIUM/DISCOUNT: DECEMBER 31, 2001-DECEMBER 31, 2002 CLOSING PRICE ABOVE OR EQUAL TO CLOSING PRICE BELOW CLOSING NET ASSET VALUE CLOSING NET ASSET VALUE --------------------------- ---------------------------- NUMBER PERCENTAGE OF NUMBER PERCENTAGE OF BASIS POINT DIFFERENTIAL* OF DAYS TOTAL DAYS OF DAYS TOTAL DAYS - ------------------------------------------------------------------------------------------------- 0-24.9 120 47.62% 124 49.21% 25-49.9 4 1.59 2 0.79 50-74.9 0 0.00 2 0.79 75-100.0 0 0.00 0 0.00 >100.0 0 0.00 0 0.00 - ------------------------------------------------------------------------------------------------- Total 124 49.21% 128 50.79% - ------------------------------------------------------------------------------------------------- *1 basis point equals 1/100th of 1%.
6 FUND PROFILES AS OF DECEMBER 31, 2002 These Profiles provide snapshots of the funds' characteristics, compared where indicated with the appropriate target index or a broad market index. Key terms are defined on page 10. GROWTH INDEX FUND - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Number of Stocks 149 148 5,668 Median Market Cap $71.4B $71.4B $26.2B Price/Earnings Ratio 24.1x 24.1x 22.5x Price/Book Ratio 5.5x 5.5x 2.4x Yield 1.7% 1.7% Investor Shares 1.1% Admiral Shares 1.2% Institutional Shares 1.3% Return on Equity 29.6% 29.6% 21.3% Earnings Growth Rate 10.7% 10.7% 7.5% Foreign Holdings 0.0% 0.0% 0.3% Turnover Rate 23% -- -- Expense Ratio -- -- Investor Shares 0.23% Admiral Shares 0.15% Institutional Shares 0.10% Cash Investments 0.1% -- -- - -------------------------------------------------------------------------------- - ---------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Microsoft Corp. 6.8% (software) General Electric Co. 5.9 (conglomerate) Wal-Mart Stores, Inc. 5.5 (retail) Pfizer, Inc. 4.6 (pharmaceuticals) Johnson & Johnson 3.9 (pharmaceuticals) International Business Machines Corp. 3.2 (computer hardware) Merck & Co., Inc. 3.1 (pharmaceuticals) Procter & Gamble Co. 2.7 (consumer products) The Coca-Cola Co. 2.7 (beverage) Verizon Communications 2.6 (telecommunications) - ---------------------------------------------- Top Ten 41.0% - ---------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ------------------------------------------------------------ VOLATILITY MEASURES TARGET BROAD FUND INDEX* FUND INDEX** - ------------------------------------------------------------ R-Squared 1.00 1.00 0.89 1.00 Beta 1.00 1.00 1.06 1.00 - ------------------------------------------------------------ - -------------------------- INVESTMENT FOCUS MARKET CAP LARGE STYLE STYLE - -------------------------- - ------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET BROAD FUND INDEX* INDEX** - ------------------------------------------------------------- Auto & Transportation 2.1% 2.1% 2.7% Consumer Discretionary 14.3 14.3 14.9 Consumer Staples 15.0 15.0 7.5 Financial Services 8.0 8.0 22.4 Health Care 27.2 27.2 14.1 Integrated Oils 0.0 0.0 3.7 Other Energy 0.1 0.1 2.2 Materials & Processing 1.0 1.0 3.8 Producer Durables 1.8 1.8 4.0 Technology 20.5 20.5 12.8 Utilities 3.0 3.0 7.2 Other 7.0 7.0 4.7 - ------------------------------------------------------------- *S&P 500/Barra Growth Index. **Wilshire 5000 Index. VISIT OUR WEBSITE AT WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 7 FUND PROFILES (CONTINUED) VALUE INDEX FUND - ------------------------------------------------------------ PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - ------------------------------------------------------------ Number of Stocks 353 352 5,668 Median Market Cap $22.8B $22.8B $26.2B Price/Earnings Ratio 20.0x 20.0x 22.5x Price/Book Ratio 1.7x 1.7x 2.4x Yield 2.4% 1.7% Investor Shares 1.9% Admiral Shares 2.1% Institutional Shares 2.1% Return on Equity 16.9% 16.9% 21.3% Earnings Growth Rate 3.2% 3.2% 7.5% Foreign Holdings 0.6% 0.0% 0.3% Turnover Rate 26% -- -- Expense Ratio -- -- Investor Shares 0.23% Admiral Shares 0.15% Institutional Shares 0.10% Cash Investments 0.0% -- -- - ------------------------------------------------------------ - ---------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) ExxonMobil Corp. 5.8% (oil) Citigroup, Inc. 4.5 banking) American International Group, Inc. 3.8 (insurance) Bank of America Corp. 2.6 (banking) SBC Communications Inc. 2.2 (telecommunications) Wells Fargo & Co. 2.0 (banking) Viacom Inc. Class B 1.8 (entertainment) ChevronTexaco Corp. 1.8 (oil) AOL Time Warner Inc. 1.5 (media) Home Depot, Inc. 1.4 (retail) - ---------------------------------------------- Top Ten 27.4% - ---------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ------------------------------------------------------------ VOLATILITY MEASURES TARGET BROAD FUND INDEX* FUND INDEX** - ------------------------------------------------------------ R-Squared 1.00 1.00 0.71 1.00 Beta 1.00 1.00 0.85 1.00 - ------------------------------------------------------------ - ----------------------------------- INVESTMENT FOCUS MARKET CAP LARGE STYLE VALUE - ----------------------------------- - ------------------------------------------------------------ SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET BROAD FUND INDEX* INDEX** - ------------------------------------------------------------ Auto & Transportation 3.2% 3.2% 2.7% Consumer Discretionary 12.4 12.4 14.9 Consumer Staples 1.8 1.8 7.5 Financial Services 35.8 35.8 22.4 Health Care 2.2 2.2 14.1 Integrated Oils 9.3 9.3 3.7 Other Energy 2.8 2.8 2.2 Materials & Processing 5.6 5.6 3.8 Producer Durables 5.8 5.8 4.0 Technology 6.6 6.6 12.8 Utilities 12.3 12.3 7.2 Other 2.2 2.2 4.7 - ------------------------------------------------------------ *S&P 500/Barra Value Index. **Wilshire 5000 Index. 8 TOTAL STOCK MARKET INDEX FUND - -------------------------------------------------- PORTFOLIO CHARACTERISTICS WILSHIRE FUND 5000 - -------------------------------------------------- Number of Stocks 3,739 5,668 Median Market Cap $26.2B $26.2B Price/Earnings Ratio 22.5x 22.5x Price/Book Ratio 2.4x 2.4x Yield 1.7% Investor Shares 1.5% Admiral Shares 1.6% Institutional Shares 1.6% VIPER Shares 1.5% Return on Equity 21.3% 21.3% Earnings Growth Rate 7.5% 7.5% Foreign Holdings 0.3% 0.3% Turnover Rate 4% -- Expense Ratio -- Investor Shares 0.20% Admiral Shares 0.15% Institutional Shares 0.08% VIPER Shares 0.15% Cash Investments 0.1% -- - -------------------------------------------------- - -------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Microsoft Corp. 2.7% (software) General Electric Co. 2.4 (conglomerate) ExxonMobil Corp. 2.3 (oil) Wal-Mart Stores, Inc. 2.2 (retail) Pfizer, Inc. 1.9 (pharmaceuticals) Citigroup, Inc. 1.8 (banking) Johnson & Johnson 1.6 (pharmaceuticals) American International Group, Inc. 1.5 (insurance) International Business Machines Corp. 1.3 (computer hardware) Merck & Co., Inc. 1.2 (pharmaceuticals) - -------------------------------------------- Top Ten 18.9% - -------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ----------------------------------- VOLATILITY MEASURES WILSHIRE FUND 5000 - ----------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - ----------------------------------- - ----------------------- INVESTMENT FOCUS MARKET CAP LARGE STYLE BLEND - ----------------------- - ----------------------------------------------- Sector Diversification (% of common stocks) Wilshire Fund 5000 - ----------------------------------------------- Auto & Transportation 2.7% 2.7% Consumer Discretionary 14.9 14.9 Consumer Staples 7.5 7.5 Financial Services 22.4 22.4 Health Care 14.1 14.1 Integrated Oils 3.7 3.7 Other Energy 2.2 2.2 Materials & Processing 3.8 3.8 Producer Durables 4.0 4.0 Technology 12.8 12.8 Utilities 7.2 7.2 Other 4.7 4.7 - ----------------------------------------------- VISIT OUR WEBSITE AT WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 9 - -------------------------------------------------------------------------------- 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 or 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 or other equity index products 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 or 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. (degree) - -------------------------------------------------------------------------------- 10 PERFORMANCE SUMMARIES AS OF DECEMBER 31, 2002 All of the returns in this report 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. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. GROWTH INDEX FUND - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1992-DECEMBER 31, 2002 GROWTH INDEX AVERAGE S&P 500/ FUND INVESTOR LAREG-CAP BARRA WILSHIRE SHARES* GROWTH FUND** GROWTH INDEX 5000 INDEX 199212 10000 10000 10000 10000 199303 9939 10098 9951 10426 199306 9732 10157 9746 10504 199309 9720 10685 9742 10929 199312 10142 10911 10168 11128 199403 9690 10504 9729 10713 199406 9676 10192 9720 10630 199409 10369 10805 10414 11207 199412 10429 10672 10486 11121 199503 11444 11476 11516 12125 199506 12626 12784 12706 13257 199509 13629 13917 13715 14469 199512 14399 14168 14485 15175 199603 15016 14933 15111 16027 199606 16044 15688 16170 16733 199609 16607 16285 16740 17207 199612 17818 17078 17956 18394 199703 18448 16966 18597 18513 199706 22180 20038 22369 21639 199709 23473 21915 23683 23750 199712 24293 21859 24515 24149 199803 28229 25143 28502 27351 199806 29871 26544 30171 27884 199809 27716 23694 27985 24530 199812 34546 30178 34850 29807 199903 36931 32746 37248 30932 199906 38371 33859 38676 33346 199909 37020 32665 37325 31141 199912 44481 41673 44694 36830 200003 46273 45216 46531 38235 200006 45619 42781 45848 36521 200009 41629 42572 41820 36581 200012 34602 34901 34826 32802 200103 28547 28219 28761 28755 200106 30746 29643 30980 30904 200109 26670 23938 26889 25991 200112 30129 26891 30392 29206 200203 29866 26546 30151 29487 200206 24999 22075 25249 25769 200209 21482 18631 21683 21439 200212 23032 19192 23223 23115 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ----------------------------------- FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT - -------------------------------------------------------------------------------- Growth Index Fund Investor Shares* -23.68% -1.09% 8.70% $23,032 Average Large-Cap Growth Fund** -28.63 -2.57 6.74 19,192 S&P 500/Barra Growth Index -23.59 -1.08 8.79 23,223 Wilshire 5000 Index -20.86 -0.87 8.74 23,115 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Growth Index Fund Admiral Shares -23.62% -20.40% $153,726 S&P 500/Barra Growth Index -23.59 -20.27 154,279 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $10,000,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Growth Index Fund Institutional Shares -23.58% -4.51% $8,076,296 S&P 500/Barra Growth Index -23.59 -4.61 8,036,634 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-DECEMBER 31, 2002 GROWTH INDEX S&P 500/ FUND INVESTOR BARRA SHARES* GROWTH INDEX 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 -12.9 -12.7 2002 -23.7 -23.6 - -------------------------------------------------------------------------------- * Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. + Inception dates are November 13, 2000, for the Admiral Shares and May 14, 1998, for the Institutional Shares. Note: See Financial Highlights tables on pages 28 and 29 for dividend and capital gains information. 11 PERFORMANCE SUMMARIES (CONTINUED) VALUE INDEX FUND - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1992-DECEMBER 31, 2002 VALUE AVERAGE INDEX FUND LARGE-CAP S&P/BARRA WILSHIRE INVESTOR SHARES* VALUE FUND** VALUE INDEX 5000 INDEX 199212 10000 10000 10000 10000 199303 10913 10508 10924 10426 199306 11217 10597 11229 10504 199309 11788 10988 11810 10929 199312 11835 11245 11859 11128 199403 11442 10846 11472 10713 199406 11553 10855 11578 10630 199409 11842 11295 11875 11207 199412 11748 11219 11785 11121 199503 12881 12158 12920 12125 199506 13997 13189 14045 13257 199509 15119 14131 15163 14469 199512 16088 14920 16144 15175 199603 17107 15700 17176 16027 199606 17462 16218 17528 16733 199609 17908 16693 17991 17207 199612 19605 18083 19695 18394 199703 19934 18396 20042 18513 199706 22818 21151 22942 21639 199709 24898 22797 25045 23750 199712 25441 23178 25600 24149 199803 28371 25861 28558 27351 199806 28520 26045 28706 27884 199809 24823 23312 24999 24530 199812 29166 27628 29357 29807 199903 29978 28326 30193 30932 199906 33202 30577 33454 33346 199909 30133 28133 30368 31141 199912 32832 30730 33092 36830 200003 32887 30980 33169 38235 200006 31478 30293 31744 36521 200009 34248 31115 34542 36581 200012 34829 31136 35104 32802 200103 32538 29772 32813 28755 200106 33973 31468 34259 30904 200109 28449 27282 28708 25991 200112 30693 29056 30994 29206 200203 31099 30186 31405 29487 200206 27774 27242 28062 25769 200209 22093 22060 22321 21439 200212 24276 23259 24531 23115 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ----------------------------------- FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT - -------------------------------------------------------------------------------- Value Index Fund Investor Shares* -20.91% -0.93% 9.27% $24,276 Average Large-Cap Value Fund** -19.95 0.07 8.81 23,259 S&P 500/Barra Value Index -20.85 -0.85 9.39 24,531 Wilshire 5000 Index -20.86 -0.87 8.74 23,115 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Value Index Fund Admiral Shares -20.85% -14.30% $179,922 S&P 500/Barra Value Index -20.85 -14.28 180,042 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $10,000,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Value Index Fund Institutional Shares -20.81% -3.76% $8,417,645 S&P 500/Barra Value Index -20.85 -3.78 8,409,004 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-DECEMBER 31, 2002 VALUE S&P/BARRA INDEX FUND VALUE INDEX INVESTOR SHARES* 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 -11.9 -11.7 2002 -20.9 -20.9 - -------------------------------------------------------------------------------- * Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +Inception dates are November 13, 2000, for the Admiral Shares and July 2, 1998, for the Institutional Shares. Note: See Financial Highlights tables on pages 30 and 31 for dividend and capital gains information. 12 TOTAL STOCK MARKET INDEX FUND - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1992-DECEMBER 31, 2002 TOTAL STOCK AVERAGE MARKET INDEX FUND MULTI-CAP WILSHIRE INVESTOR SHARES* CORE FUND** 5000 INDEX 199212 10000 10000 10000 199303 10398 10313 10426 199306 10473 10380 10504 199309 10856 10787 10929 199312 11062 11070 11128 199403 10652 10742 10713 199406 10556 10580 10630 199409 11149 11071 11207 199412 11044 10894 11121 199503 12055 11752 12125 199506 13168 12784 13257 199509 14344 13758 14469 199512 14996 14284 15175 199603 15823 15133 16027 199606 16495 15745 16733 199609 16958 16257 17207 199612 18139 17254 18394 199703 18258 17309 18513 199706 21326 19902 21639 199709 23406 21853 23750 199712 23762 21738 24149 199803 26916 24542 27351 199806 27412 24756 27884 199809 24104 21399 24530 199812 29289 25662 29807 199903 30375 26339 30932 199906 32769 28662 33346 199909 30663 26810 31141 199912 36264 31423 36830 200003 37657 33058 38235 200006 36004 31970 36521 200009 36102 32596 36581 200012 32429 30493 32802 200103 28451 26347 28755 200106 30577 27900 30904 200109 25707 23951 25991 200112 28873 27172 29206 200203 29154 26587 29487 200206 25453 23073 25769 200209 21167 19743 21439 200212 22821 21262 23115 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ----------------------------------- FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT - -------------------------------------------------------------------------------- Total Stock Market Index Fund Investor Shares* -20.96% -0.80% 8.60% $22,821 Average Multi-Cap Core Fund** -21.75 -0.44 7.84 21,262 Wilshire 5000 Index -20.86 -0.87 8.74 23,115 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Total Stock Market Index Fund Admiral Shares -20.95% -16.18% $171,607 Wilshire 5000 Index -20.86 -16.19 171,598 - -------------------------------------------------------------------------------- FINAL VALUE ONE FIVE SINCE OF A $10,000,000 YEAR YEARS INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Total Stock Market Index Fund Institutional Shares -20.90% -0.70% 0.87% $10,483,988 Wilshire 5000 Index -20.86 -0.87 0.74 10,412,305 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $10,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Total Stock Market Index Fund VIPER Shares Market Price -20.81% -19.00% $7,130 Total Stock Market Index Fund VIPER Shares Net Asset Value -20.94 -19.00 7,130 Wilshire 5000 Index -20.86 -18.96 7,135 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-DECEMBER 31, 2002 TOTAL STOCK WILSHIRE MARKET INDEX FUND 5000 INDEX INVESTOR SHARES* 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 -11.0 -11.0 2002 -21.0 -20.9 - -------------------------------------------------------------------------------- * Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +Inception dates are November 13, 2000, for the Admiral Shares, July 7, 1997, for the Institutional Shares, and May 24, 2001, for the VIPER Shares. Note: See Financial Highlights tables on pages 31-33 for dividend and capital gains information. 13 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. (In the example that assumes all fund shares were sold, a negative pre-tax total return translates into a higher after-tax return. This is because the calculation assumes that the investor received a tax deduction for the loss incurred on the sale.) The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ONE YEAR FIVE YEARS TEN YEARS ---------------------------------------- GROWTH INDEX FUND INVESTOR SHARES* Returns Before Taxes -23.68% -1.09% 8.70% Returns After Taxes on Distributions -23.99 -1.53 8.05 Returns After Taxes on Distributions and Sale of Fund Shares -14.53 -0.94 7.09 - -------------------------------------------------------------------------------- VALUE INDEX FUND INVESTOR SHARES* Returns Before Taxes -20.91% -0.93% 9.27% Returns After Taxes on Distributions -21.52 -2.72 7.41 Returns After Taxes on Distributions and Sale of Fund Shares -12.82 -1.10 7.15 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES* Returns Before Taxes -20.96% -0.80% 8.60% Returns After Taxes on Distributions -21.37 -1.38 7.77 Returns After Taxes on Distributions and Sale of Fund Shares -12.85 -0.83 6.87 - -------------------------------------------------------------------------------- * Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. 14 - -------------------------------------------------------------------------------- NOTICE TO SHAREHOLDERS At a special meeting of shareholders on December 3, 2002, fund shareholders approved the following proposals: * ELECT TRUSTEES FOR EACH FUND.* The individuals listed in the table below were elected as trustees for each fund. All trustees served as trustees to the funds prior to the shareholder meeting. - -------------------------------------------------------------------------------- PERCENTAGE TRUSTEE FOR WITHHELD FOR - -------------------------------------------------------------------------------- John J. Brennan 70,380,839,727 1,259,995,409 98.2% Charles D. Ellis 70,360,941,814 1,279,893,321 98.2 Rajiv L. Gupta 70,274,493,869 1,366,341,266 98.1 JoAnn Heffernan Heisen 70,368,543,153 1,272,291,982 98.2 Burton G. Malkiel 70,284,920,657 1,355,914,478 98.1 Alfred M. Rankin, Jr. 70,401,439,983 1,239,395,152 98.3 J. Lawrence Wilson 70,272,336,850 1,368,498,286 98.1 - -------------------------------------------------------------------------------- * Results are for all funds within the same trust. * CHANGE EACH FUND'S POLICY ON INVESTING IN OTHER MUTUAL FUNDS. This change enables each fund to invest its cash reserves in specially created money market and short-term bond funds. This new cash management program, which is similar to those of other large mutual fund complexes, should help the funds to achieve greater diversification and to earn modestly higher returns on their cash reserves. The funds will need Securities and Exchange Commission approval before implementing this new cash management program.
- ---------------------------------------------------------------------------------------------------------------------- BROKER PERCENTAGE VANGUARD FUND FOR AGAINST ABSTAIN NON-VOTES FOR - ---------------------------------------------------------------------------------------------------------------------- Growth Index 3,766,763,213 232,090,993 108,441,194 436,557,741 82.9% Value Index 1,588,656,069 71,260,133 47,410,920 335,573,086 77.8 Total Stock Market Index 11,298,489,963 495,818,077 522,401,216 1,048,920,887 84.5 - ----------------------------------------------------------------------------------------------------------------------
* AUTHORIZE EACH FUND'S TRUSTEES TO CHANGE THE TARGET INDEX. This change allows each fund's trustees to change the fund's target index if they determine that doing so is in the shareholders' best interests. Any new index chosen for a fund would be required to track the same market segment as the fund's existing index.
- ---------------------------------------------------------------------------------------------------------------------- BROKER PERCENTAGE VANGUARD FUND FOR AGAINST ABSTAIN NON-VOTES FOR - ---------------------------------------------------------------------------------------------------------------------- Growth Index 3,522,923,397 475,280,289 109,091,714 436,557,741 77.5% Value Index 1,577,430,811 82,358,766 47,537,545 335,573,086 77.2 Total Stock Market Index 11,208,896,648 738,148,937 369,663,670 1,048,920,887 83.9 - ----------------------------------------------------------------------------------------------------------------------
* RECLASSIFY THE FOLLOWING FUNDS AS NONDIVERSIFIED. This change to "nondiversified" status enables each fund to continue tracking its target index in the event that the index becomes dominated by a small number of stocks.
- ---------------------------------------------------------------------------------------------------------------------- BROKER PERCENTAGE VANGUARD FUND FOR AGAINST ABSTAIN NON-VOTES FOR - ---------------------------------------------------------------------------------------------------------------------- Value Index 1,589,834,694 63,378,350 54,114,078 335,573,086 77.8% Total Stock Market Index 11,298,871,300 629,169,613 388,668,343 1,048,920,887 84.5 - ----------------------------------------------------------------------------------------------------------------------
Note: Vote tabulations are rounded to the nearest whole number. 15 FINANCIAL STATEMENTS AS OF DECEMBER 31, 2002 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, 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, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. 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 (99.9%) - -------------------------------------------------------------------------------- * Microsoft Corp. 9,839,281 $ 508,691 General Electric Co. 18,313,442 445,932 Wal-Mart Stores, Inc. 8,123,209 410,303 Pfizer, Inc. 11,340,457 346,678 Johnson & Johnson 5,466,863 293,625 International Business Machines Corp. 3,110,335 241,051 Merck & Co., Inc. 4,132,563 233,944 Procter & Gamble Co. 2,391,130 205,494 The Coca-Cola Co. 4,562,361 199,923 Verizon Communications 5,034,700 195,095 Intel Corp. 12,192,293 189,834 * Cisco Systems, Inc. 13,296,713 174,187 Philip Morris Cos., Inc. 3,806,990 154,297 PepsiCo, Inc. 3,178,319 134,189 Eli Lilly & Co. 2,067,329 131,275 United Parcel Service, Inc. 2,054,900 129,623 * Dell Computer Corp. 4,766,174 127,447 Fannie Mae 1,831,110 117,795 Abbott Laboratories 2,875,570 115,023 * Amgen, Inc. 2,368,561 114,496 * Oracle Corp. 9,856,722 106,453 Medtronic, Inc. 2,245,357 102,388 Pharmacia Corp. 2,379,346 99,457 Wyeth 2,439,597 91,241 3M Co. 718,070 88,538 American Express Co. 2,418,800 85,505 Bristol-Myers Squibb Co. 3,564,792 82,525 Anheuser-Busch Cos., Inc. 1,575,079 76,234 Fifth Third Bancorp 1,063,250 62,253 Schering-Plough Corp. 2,699,070 59,919 Gillette Co. 1,941,526 58,945 Walgreen Co. 1,886,182 55,058 Lowe's Cos., Inc. 1,436,160 53,856 * QUALCOMM Inc. 1,444,790 52,576 Colgate-Palmolive Co. 990,509 51,932 Target Corp. 1,671,660 50,150 First Data Corp. 1,384,164 49,013 Cardinal Health, Inc. 814,277 48,197 UnitedHealth Group Inc. 560,260 46,782 Marsh & McLennan Cos., Inc. 988,362 45,672 Kimberly-Clark Corp. 946,577 44,934 Automatic Data Processing, Inc. 1,102,064 43,256 * Applied Materials, Inc. 3,032,900 39,519 Emerson Electric Co. 774,800 39,399 HCA Inc. 944,400 39,193 * eBay Inc. 568,100 38,529 Sysco Corp. 1,208,645 36,006 * Kohl's Corp. 620,490 34,716 * Forest Laboratories, Inc. 332,960 32,703 16 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Sara Lee Corp. 1,434,867 $ 32,299 * Boston Scientific Corp. 750,500 31,911 General Mills, Inc. 677,041 31,787 Baxter International, Inc. 1,091,840 30,571 SLM Corp. 282,503 29,341 Charles Schwab Corp. 2,472,704 26,829 Kellogg Co. 751,252 25,745 Harley-Davidson, Inc. 556,935 25,730 The Gap, Inc. 1,626,600 25,245 Stryker Corp. 364,310 24,452 Avon Products, Inc. 432,893 23,320 Wm. Wrigley Jr. Co. 414,668 22,757 Omnicom Group Inc. 346,010 22,352 The McGraw-Hill Cos., Inc. 356,600 21,553 H.J. Heinz Co. 646,020 21,235 Mellon Financial Corp. 793,014 20,706 * NEXTEL Communications, Inc. 1,772,440 20,472 Progressive Corp. of Ohio 400,700 19,887 Maxim Integrated Products, Inc. 589,547 19,479 Paychex, Inc. 692,099 19,310 TJX Cos., Inc. 972,000 18,973 * Bed Bath & Beyond, Inc. 538,401 18,591 * Yahoo! Inc. 1,087,445 17,780 * Intuit, Inc. 377,661 17,720 Campbell Soup Co. 754,228 17,702 * Guidant Corp. 562,540 17,354 Praxair, Inc. 297,600 17,192 Hershey Foods Corp. 250,455 16,891 The Clorox Co. 404,860 16,700 * Analog Devices, Inc. 672,948 16,063 * Staples, Inc. 866,000 15,848 Mattel, Inc. 804,630 15,409 Newell Rubbermaid, Inc. 492,000 14,922 * Zimmer Holdings, Inc. 358,912 14,902 Linear Technology Corp. 574,115 14,766 * Concord EFS, Inc. 936,200 14,736 * Starbucks Corp. 714,616 14,564 Cintas Corp. 313,150 14,327 * Best Buy Co., Inc. 591,750 14,291 Pitney Bowes, Inc. 435,280 14,216 * Apollo Group, Inc. Class A 321,012 14,124 * Lexmark International, Inc. 231,735 14,020 Allergan, Inc. 238,130 13,721 Biomet, Inc. 477,996 13,699 H & R Block, Inc. 332,470 13,365 The Pepsi Bottling Group, Inc. 516,100 13,264 * Yum! Brands, Inc. 543,800 13,171 * Chiron Corp. 346,200 13,017 * St. Jude Medical, Inc. 326,760 12,979 * Electronic Arts Inc. 260,000 12,940 * AutoZone Inc. 181,297 12,809 * Xilinx, Inc. 620,355 12,779 New York Times Co. Class A 278,650 12,743 * MedImmune Inc. 461,924 12,550 Avery Dennison Corp. 202,080 12,343 * KLA-Tencor Corp. 347,200 12,280 * International Game Technology 159,400 12,102 * Fiserv, Inc. 352,100 11,954 Ecolab, Inc. 238,389 11,800 Moody's Corp. 278,015 11,479 * Biogen, Inc. 274,240 10,986 Adobe Systems, Inc. 434,760 10,782 UST, Inc. 310,796 10,390 * Univision Communications Inc. 421,600 10,329 North Fork Bancorp, Inc. 297,200 10,028 Family Dollar Stores, Inc. 318,240 9,932 * American Standard Cos., Inc. 133,300 9,483 * BJ Services Co. 288,400 9,318 * Altera Corp. 703,910 8,686 IMS Health, Inc. 516,920 8,271 Brown-Forman Corp. Class B 125,800 8,222 * Sprint PCS 1,838,600 8,053 * Lucent Technologies, Inc. 6,317,300 7,960 Rockwell Collins, Inc. 336,600 7,829 Dollar General Corp. 613,300 7,329 Applied Biosystems Group- Applera Corp. 385,000 6,753 Dow Jones & Co., Inc. 151,715 6,559 Whirlpool Corp. 125,500 6,554 Sigma-Aldrich Corp. 131,900 6,424 Tiffany & Co. 267,610 6,399 * Pactiv Corp. 291,600 6,374 * Network Appliance, Inc. 620,100 6,201 International Flavors & Fragrances, Inc. 173,560 6,092 Equifax, Inc. 261,755 6,057 * QLogic Corp. 172,000 5,936 RadioShack Corp. 309,915 5,808 Ball Corp. 104,500 5,349 * Waters Corp. 239,200 5,210 * Robert Half International, Inc. 319,830 5,152 Deluxe Corp. 114,317 4,813 * Mercury Interactive Corp. 156,460 4,639 * Freeport-McMoRan Copper & Gold, Inc. Class B 268,400 4,504 Maytag Corp. 144,500 4,118 * Citrix Systems, Inc. 316,800 3,903 Meredith Corp. 92,000 3,782 * Millipore Corp. 89,640 3,048 * PMC Sierra Inc. 310,866 1,728 * Avaya Inc. 672,000 1,646 Tupperware Corp. 108,385 1,634 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $7,726,969) $ 7,515,199 - -------------------------------------------------------------------------------- 17 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE* GROWTH INDEX FUND (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.2%) - -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. 1.56%, 1/8/2003 $ 1,000 1,000 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.21%, 1/2/2003--Note E 10,300 10,300 1.22%, 1/2/2003 1,086 1,086 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $12,386) 12,386 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.1%) (Cost $7,739,355) $ 7,527,585 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.1%) - -------------------------------------------------------------------------------- Other Assets--Note B 86,071 Liabilities--Note E (94,526) ------------------ $ (8,455) ------------------ - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 7,519,130 - -------------------------------------------------------------------------------- * See Note A in Notes to Financial Statements. * Non-income-producing security. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2002, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 10,895,841 Overdistributed Net Investment Income (9,269) Accumulated Net Realized Losses (3,155,672) Unrealized Depreciation (211,770) - -------------------------------------------------------------------------------- NET ASSETS $ 7,519,130 ================================================================================ Investor Shares--Net Assets Applicable to 305,473,842 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 6,093,521 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 19.95 ================================================================================ Admiral Shares--Net Assets Applicable to 37,641,682 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 750,896 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 19.95 ================================================================================ Institutional Shares--Net Assets Applicable to 33,821,581 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 674,713 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 19.95 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 18 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (100.0%) - -------------------------------------------------------------------------------- ExxonMobil Corp. 5,299,863 $ 185,177 Citigroup, Inc. 4,048,271 142,459 American International Group, Inc. 2,056,027 118,941 Bank of America Corp. 1,179,631 82,067 SBC Communications Inc. 2,616,900 70,944 Wells Fargo & Co. 1,333,468 62,500 * Viacom Inc. Class B 1,388,034 56,576 ChevronTexaco Corp. 841,810 55,964 AOL Time Warner Inc. 3,523,300 46,155 Home Depot, Inc. 1,833,100 43,921 Hewlett-Packard Co. 2,405,090 41,752 Wachovia Corp. 1,072,138 39,069 BellSouth Corp. 1,464,794 37,894 J.P. Morgan Chase & Co. 1,573,532 37,765 * Comcast Corp. Class A 1,595,205 37,599 Morgan Stanley 855,588 34,155 Bank One Corp. 917,925 33,550 E.I. du Pont de Nemours & Co. 783,006 33,199 Freddie Mac 548,316 32,378 U.S. Bancorp 1,509,788 32,038 Tyco International Ltd. 1,572,500 26,858 The Walt Disney Co. 1,609,544 26,252 Merrill Lynch & Co., Inc. 681,326 25,856 ConocoPhillips 533,415 25,812 Washington Mutual, Inc. 746,142 25,764 The Goldman Sachs Group, Inc. 376,300 25,626 United Technologies Corp. 373,300 23,122 The Boeing Co. 661,682 21,829 Dow Chemical Co. 718,096 21,327 Lockheed Martin Corp. 359,447 20,758 Allstate Corp. 553,964 20,491 Texas Instruments, Inc. 1,364,300 20,478 FleetBoston Financial Corp. 827,212 20,101 Schlumberger Ltd. 457,640 19,262 MBNA Corp. 1,007,000 19,153 * Clear Channel Communications, Inc. 482,904 18,008 General Motors Corp. 441,707 16,281 McDonald's Corp. 1,000,300 16,085 Southern Co. 562,244 15,962 AT&T Corp. 607,171 15,853 Motorola, Inc. 1,813,319 15,685 Illinois Tool Works, Inc. 241,515 15,665 Honeywell International Inc. 647,005 15,528 Alcoa Inc. 665,317 15,156 Gannett Co., Inc. 210,647 15,124 Metropolitan Life Insurance Co. 551,860 14,922 Prudential Financial, Inc. 446,100 14,159 BB&T Corp. 377,387 13,960 Northrop Grumman Corp. 143,470 13,917 Duke Energy Corp. 702,558 13,728 The Bank of New York Co., Inc. 572,300 13,712 Ford Motor Co. 1,446,245 13,450 Exelon Corp. 254,500 13,430 Dominion Resources, Inc. 242,074 13,290 International Paper Co. 377,959 13,217 National City Corp. 482,189 13,173 FedEx Corp. 234,951 12,739 SunTrust Banks, Inc. 223,643 12,730 General Dynamics Corp. 158,400 12,572 ALLTEL Corp. 245,098 12,500 Caterpillar, Inc. 271,171 12,398 AFLAC Inc. 406,678 12,249 * AT&T Wireless Services Inc. 2,134,847 12,062 Union Pacific Corp. 199,716 11,957 * Travelers Property Casualty Corp. Class B 790,753 11,585 Carnival Corp. 462,374 11,536 Waste Management, Inc. 479,559 10,991 Tribune Co. 240,056 10,913 * EMC Corp. 1,733,400 10,643 ConAgra Foods, Inc. 423,114 10,582 Household International, Inc. 373,397 10,384 Sprint Corp. 704,869 10,207 * Costco Wholesale Corp. 359,394 10,085 Lehman Brothers Holdings, Inc. 187,200 9,976 State Street Corp. 255,600 9,968 Raytheon Co. 320,072 9,842 * The Kroger Co. 609,800 9,421 Anadarko Petroleum Corp. 195,892 9,383 PNC Financial Services Group 223,904 9,382 NIKE, Inc. Class B 209,104 9,299 Newmont Mining Corp. (Holding Company) 316,546 9,189 The Hartford Financial Services Group Inc. 201,112 9,137 Golden West Financial Corp. 120,876 8,680 FPL Group, Inc. 143,818 8,648 Deere & Co. 188,009 8,620 * Cendant Corp. 816,504 8,557 Baker Hughes, Inc. 264,699 8,521 Southwest Airlines Co. 610,901 8,492 Weyerhaeuser Co. 172,464 8,487 Occidental Petroleum Corp. 297,251 8,457 KeyCorp 334,780 8,416 * WellPoint Health Networks Inc. Class A 117,210 8,341 XL Capital Ltd. Class A 107,000 8,266 Masco Corp. 388,013 8,168 * Safeway, Inc. 347,579 8,119 Equity Office Properties Trust REIT 324,200 8,099 Progress Energy, Inc. 186,672 8,092 19 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Eastman Kodak Co. 229,932 $ 8,057 The Principal Financial Group, Inc. 265,500 8,000 Entergy Corp. 174,889 7,973 Danaher Corp. 120,200 7,897 Burlington Northern Santa Fe Corp. 297,429 7,736 FirstEnergy Corp. 234,485 7,731 CVS Corp. 309,600 7,731 Coca-Cola Enterprises, Inc. 354,074 7,691 Air Products & Chemicals, Inc. 179,032 7,654 * Sun Microsystems, Inc. 2,456,100 7,638 American Electric Power Co., Inc. 267,012 7,297 Consolidated Edison Inc. 168,213 7,203 The Chubb Corp. 134,862 7,040 * Anthem, Inc. 111,389 7,006 Franklin Resources Corp. 204,837 6,981 Electronic Data Systems Corp. 375,400 6,919 SouthTrust Corp. 273,170 6,788 Burlington Resources, Inc. 158,794 6,773 PPG Industries, Inc. 133,646 6,702 * Qwest Communications International Inc. 1,336,643 6,683 Albertson's, Inc. 298,780 6,651 * Agilent Technologies, Inc. 367,751 6,605 Loews Corp. 145,992 6,491 Apache Corp. 113,461 6,466 Halliburton Co. 343,800 6,433 John Hancock Financial Services, Inc. 226,944 6,332 Archer-Daniels-Midland Co. 509,546 6,318 * Tenet Healthcare Corp. 384,300 6,303 Unocal Corp. 203,062 6,210 Becton, Dickinson & Co. 202,200 6,206 McKesson Corp. 229,347 6,199 Marriott International, Inc. Class A 187,559 6,165 DTE Energy Co. 132,047 6,127 Comerica, Inc. 141,515 6,119 Norfolk Southern Corp. 306,049 6,118 Northern Trust Corp. 174,100 6,102 Computer Associates International, Inc. 451,647 6,097 Ace, Ltd. 207,200 6,079 St. Paul Cos., Inc. 178,458 6,077 Sears, Roebuck & Co. 249,079 5,965 Transocean Inc. 251,493 5,835 Regions Financial Corp. 174,350 5,816 Ingersoll-Rand Co. 133,445 5,746 Limited Brands, Inc. 411,900 5,738 Devon Energy Corp. 123,513 5,669 Rohm & Haas Co. 174,356 5,663 Public Service Enterprise Group, Inc. 175,440 5,632 Johnson Controls, Inc. 69,892 5,603 Fortune Brands, Inc. 117,710 5,475 AmSouth Bancorp 280,382 5,383 * SunGard Data Systems, Inc. 223,400 5,263 Equity Residential REIT 213,600 5,250 Marathon Oil Corp. 246,264 5,243 May Department Stores Co. 227,385 5,225 Capital One Financial Corp. 175,000 5,201 Countrywide Financial Corp. 99,591 5,144 Charter One Financial, Inc. 178,261 5,121 * Veritas Software Corp. 324,200 5,064 * Comcast Corp.-Special Class A 223,922 5,058 Simon Property Group, Inc. REIT 147,900 5,039 Ameren Corp. 121,024 5,031 MBIA, Inc. 114,428 5,019 * Genzyme Corp.-General Division 169,200 5,003 Aetna Inc. 118,702 4,881 J.C. Penney Co., Inc. (Holding Company) 211,350 4,863 Cincinnati Financial Corp. 127,360 4,782 CSX Corp. 167,972 4,755 TXU Corp. 254,089 4,746 Marshall & Ilsley Corp. 172,196 4,715 Ambac Financial Group, Inc. 83,587 4,701 * Xerox Corp. 580,052 4,669 * Computer Sciences Corp. 135,335 4,662 Textron, Inc. 108,324 4,657 Dover Corp. 159,485 4,651 * Micron Technology, Inc. 477,416 4,650 Aon Corp. 244,316 4,615 Synovus Financial Corp. 236,500 4,588 AmerisourceBergen Corp. 83,500 4,535 CIGNA Corp. 109,850 4,517 * PeopleSoft, Inc. 246,800 4,516 Bear Stearns Co., Inc. 75,742 4,499 PPL Corp. 129,705 4,498 Cinergy Corp. 132,733 4,476 * Federated Department Stores, Inc. 154,654 4,448 * PG&E Corp. 319,123 4,436 Lincoln National Corp. 139,553 4,407 Union Planters Corp. 156,190 4,395 ITT Industries, Inc. 72,341 4,390 Eaton Corp. 55,506 4,336 Jefferson-Pilot Corp. 113,097 4,310 Parker Hannifin Corp. 92,989 4,290 Interpublic Group of Cos., Inc. 304,300 4,285 Genuine Parts Co. 137,662 4,240 PACCAR, Inc. 91,265 4,210 * Quest Diagnostics, Inc. 72,300 4,114 Knight Ridder 64,901 4,105 * Apple Computer, Inc. 283,019 4,056 20 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Kinder Morgan, Inc. 95,924 $ 4,055 * Nabors Industries, Inc. 114,116 4,025 Monsanto Co. 206,000 3,966 KeySpan Corp. 111,977 3,946 MeadWestvaco Corp. 157,597 3,894 Amerada Hess Corp. 70,293 3,870 NiSource, Inc. 192,147 3,843 Sempra Energy 161,462 3,819 SAFECO Corp. 108,968 3,778 Hilton Hotels Corp. 296,715 3,771 Starwood Hotels & Resorts Worldwide, Inc. 157,158 3,731 W.W. Grainger, Inc. 72,057 3,715 * Noble Corp. 105,512 3,709 EOG Resources, Inc. 90,975 3,632 Constellation Energy Group, Inc. 129,839 3,612 * Jones Apparel Group, Inc. 101,500 3,597 * Office Depot, Inc. 243,104 3,588 First Tennessee National Corp. 98,910 3,555 Delphi Corp. 440,300 3,544 Kerr-McGee Corp. 79,051 3,502 Molex, Inc. 151,500 3,491 * Harrah's Entertainment, Inc. 87,993 3,485 Huntington Bancshares Inc. 185,621 3,473 Xcel Energy, Inc. 314,236 3,457 Leggett & Platt, Inc. 153,336 3,441 Plum Creek Timber Co. Inc. REIT 145,600 3,436 Torchmark Corp. 93,251 3,406 Health Management Associates Class A 187,900 3,363 UnumProvident Corp. 190,312 3,338 Sherwin-Williams Co. 118,014 3,334 CenturyTel, Inc. 112,327 3,300 * Novellus Systems, Inc. 117,116 3,289 El Paso Corp. 471,982 3,285 * Broadcom Corp. 217,400 3,274 MGIC Investment Corp. 79,133 3,268 * King Pharmaceuticals, Inc. 189,600 3,259 Georgia Pacific Group 197,270 3,188 * BMC Software, Inc. 185,568 3,175 VF Corp. 85,585 3,085 * Edison International 256,700 3,042 Rockwell Automation, Inc. 146,393 3,032 Vulcan Materials Co. 79,939 2,998 * Corning, Inc. 904,600 2,994 R.J. Reynolds Tobacco Holdings, Inc. 69,400 2,922 * Siebel Systems, Inc. 381,900 2,857 Zions Bancorp 71,542 2,815 * Jabil Circuit, Inc. 156,000 2,796 * JDS Uniphase Corp. 1,115,541 2,755 Darden Restaurants Inc. 134,700 2,755 Black & Decker Corp. 63,400 2,719 Cooper Industries, Inc. Class A 72,758 2,652 T. Rowe Price Group Inc. 96,400 2,630 * Thermo Electron Corp. 128,729 2,590 Nucor Corp. 61,485 2,539 * Unisys Corp. 255,503 2,529 Liz Claiborne, Inc. 84,046 2,492 * Sealed Air Corp. 66,100 2,466 Wendy's International, Inc. 90,769 2,457 Centex Corp. 48,671 2,443 Pinnacle West Capital Corp. 71,171 2,426 The Stanley Works 69,500 2,403 * Watson Pharmaceuticals, Inc. 84,052 2,376 C.R. Bard, Inc. 40,800 2,366 * Tellabs, Inc. 324,300 2,358 * Citizens Communications Co. 222,096 2,343 * American Power Conversion Corp. 154,300 2,338 Alberto-Culver Co. Class B 45,800 2,308 * Solectron Corp. 650,071 2,308 Pulte Homes, Inc. 48,091 2,302 Stilwell Financial, Inc. 175,100 2,289 Engelhard Corp. 100,476 2,246 Eastman Chemical Co. 60,818 2,236 * Phelps Dodge Corp. 70,209 2,222 TECO Energy, Inc. 138,800 2,147 * National Semiconductor Corp. 142,361 2,137 Bemis Co., Inc. 41,796 2,074 * Convergys Corp. 136,300 2,065 * Sabre Holdings Corp. 112,300 2,034 CenterPoint Energy Inc. 239,162 2,033 Nordstrom, Inc. 107,011 2,030 Sunoco, Inc. 59,930 1,988 R.R. Donnelley & Sons Co. 89,566 1,950 Temple-Inland Inc. 42,410 1,900 * Teradyne, Inc. 144,705 1,883 * Sanmina-SCI Corp. 417,600 1,875 * NCR Corp. 77,053 1,829 Fluor Corp. 63,500 1,778 Adolph Coors Co. Class B 28,672 1,756 * CIENA Corp. 341,269 1,754 * Advanced Micro Devices, Inc. 271,532 1,754 SuperValu Inc. 105,562 1,743 Winn-Dixie Stores, Inc. 111,300 1,701 * LSI Logic Corp. 294,016 1,696 * Toys R Us, Inc. 167,908 1,679 Rowan Cos., Inc. 73,926 1,678 Goodrich Corp. 90,937 1,666 Pall Corp. 97,124 1,620 KB HOME 37,768 1,618 * Rational Software Corp. 154,250 1,603 Hasbro, Inc. 136,831 1,580 * Allied Waste Industries, Inc. 155,800 1,558 21 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Ashland, Inc. 53,901 $ 1,538 Bausch & Lomb, Inc. 42,597 1,534 Symbol Technologies, Inc. 182,300 1,499 * Comverse Technology, Inc. 148,300 1,486 * Providian Financial Corp. 228,500 1,483 Scientific-Atlanta, Inc. 122,000 1,447 * Compuware Corp. 298,735 1,434 * Manor Care, Inc. 76,093 1,416 Brunswick Corp. 71,215 1,414 * Reebok International Ltd. 47,376 1,393 * NVIDIA Corp. 121,000 1,393 Dana Corp. 117,437 1,381 * HealthSouth Corp. 313,402 1,316 * ADC Telecommunications, Inc. 629,791 1,316 * AES Corp. 429,961 1,298 Snap-On Inc. 46,100 1,296 * Humana Inc. 128,262 1,283 Autodesk, Inc. 89,184 1,275 * Tektronix, Inc. 68,721 1,250 Circuit City Stores, Inc. 166,074 1,232 * Big Lots Inc. 91,766 1,214 NICOR Inc. 34,763 1,183 Delta Air Lines, Inc. 97,499 1,180 * Navistar International Corp. 47,808 1,162 Boise Cascade Corp. 46,059 1,162 * Quintiles Transnational Corp. 93,049 1,126 Ryder System, Inc. 49,318 1,107 Williams Cos., Inc. 408,455 1,103 Peoples Energy Corp. 28,033 1,084 CMS Energy Corp. 113,910 1,075 Dillard's Inc. 66,929 1,062 United States Steel Corp. 80,834 1,061 Worthington Industries, Inc. 67,736 1,032 * TMP Worldwide, Inc. 87,834 993 * Calpine Corp. 298,800 974 * Novell, Inc. 288,079 962 Great Lakes Chemical Corp. 39,683 948 The Goodyear Tire & Rubber Co. 138,610 944 Crane Co. 47,058 938 Cummins Inc. 32,813 923 Cooper Tire & Rubber Co. 58,122 892 * Applied Micro Circuits Corp. 238,800 881 PerkinElmer, Inc. 99,800 823 * American Greetings Corp. Class A 51,961 821 * AMR Corp. 123,329 814 * Gateway, Inc. 256,166 804 * Andrew Corp. 77,483 797 * Thomas & Betts Corp. 46,048 778 * Hercules, Inc. 86,400 760 Allegheny Energy, Inc. 99,305 751 Visteon Corp. 102,800 715 * Louisiana-Pacific Corp. 82,603 666 * Mirant Corp. 318,493 602 * Parametric Technology Corp. 206,500 520 Allegheny Technologies Inc. 63,731 397 * Power-One, Inc. 63,100 358 Dynegy, Inc. 293,623 347 * McDermott International, Inc. 50,396 221 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $3,920,754) $ 3,171,068 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.2%) - -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. 1.56%, 1/8/2003 $ 500 500 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.21%, 1/2/2003--Note E 3,843 3,843 1.22%, 1/2/2003 458 458 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $4,801) 4,801 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.2%) (Cost $3,925,555) 3,175,869 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.2%) - -------------------------------------------------------------------------------- Other Assets--Note B 21,251 Liabilities--Note E (26,835) ------------------ $ (5,584) ------------------ - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 3,170,285 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. REIT--Real Estate Investment Trust. 22 - -------------------------------------------------------------------------------- AMOUNT (000) - ------------------------------------------------------------------------------- AT DECEMBER 31, 2002, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 4,472,563 Overdistributed Net Investment Income (5,919) Accumulated Net Realized Losses (546,673) Unrealized Depreciation (749,686) - -------------------------------------------------------------------------------- NET ASSETS $ 3,170,285 ================================================================================ Investor Shares--Net Assets Applicable to 149,961,999 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 2,196,716 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 14.65 ================================================================================ Admiral Shares--Net Assets Applicable to 32,749,283 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 479,748 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 14.65 ================================================================================ Institutional Shares--Net Assets Applicable to 33,708,287 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 493,821 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 14.65 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 23 STATEMENT OF OPERATIONS This Statement shows the types of 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 income 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) of investments during the period. - -------------------------------------------------------------------------------- GROWTH INDEX FUND VALUE INDEX FUND -------------------------------------------- YEAR ENDED DECEMBER 31, 2002 -------------------------------------------- (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 104,060 $ 76,115 Interest 110 38 Security Lending 25 67 - -------------------------------------------------------------------------------- Total Income 104,195 76,220 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 144 108 Management and Administrative Investor Shares 13,838 5,022 Admiral Shares 1,124 692 Institutional Shares 567 445 Marketing and Distribution Investor Shares 1,191 490 Admiral Shares 111 89 Institutional Shares 163 144 Custodian Fees 181 169 Auditing Fees 12 12 Shareholders' Reports and Proxies Investor Shares 750 171 Admiral Shares 3 1 Institutional Shares -- -- Trustees' Fees and Expenses 13 5 - -------------------------------------------------------------------------------- Total Expenses 18,097 7,348 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 86,098 68,872 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (857,791) (358,077) Futures Contracts (625) (522) - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (858,416) (358,599) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (1,638,117) (614,583) Futures Contracts (67) (28) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (1,638,184) (614,611) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(2,410,502) $(904,338) ================================================================================ 24 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND YEAR ENDED DECEMBER 31, 2002 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 367,935 Interest 2,113 Security Lending 2,715 - -------------------------------------------------------------------------------- Total Income 372,763 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 144 Management and Administrative Investor Shares 26,339 Admiral Shares 5,302 Institutional Shares 2,393 VIPER Shares 1,686 Marketing and Distribution Investor Shares 2,686 Admiral Shares 502 Institutional Shares 815 VIPER Shares 246 Custodian Fees 598 Auditing Fees 24 Shareholders' Reports and Proxies Investor Shares 701 Admiral Shares 10 Institutional Shares -- VIPER Shares -- Trustees' Fees and Expenses 29 - -------------------------------------------------------------------------------- Total Expenses 41,475 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 331,288 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (144,985) Futures Contracts (23,605) - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (168,590) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (5,902,632) Futures Contracts (2,016) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (5,904,648) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(5,741,950) ================================================================================ 25 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 --------------------------------- ---------------------------- YEAR ENDED DECEMBER 31, ----------------------------------------------------------------- 2002 2001 2002 2001 (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------ INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 86,098 $ 72,920 $ 68,872 $ 74,086 Realized Net Gain (Loss) (858,416) (743,640) (358,599) (141,611) Change in Unrealized Appreciation (Depreciation) (1,638,184) (970,623) (614,611) (561,460) - ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations (2,410,502) (1,641,343) (904,338) (628,985) - ------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Net Investment Income Investor Shares (70,060) (61,410) (48,530) (50,708) Admiral Shares (8,872) (6,538) (10,594) (8,276) Institutional Shares (8,738) (7,017) (12,094) (16,937) Realized Capital Gain* Investor Shares -- -- -- (150,948) Admiral Shares -- -- -- (18,646) Institutional Shares -- -- -- (48,876) - ----------------------------------------------------------------------------------------------------------- Total Distributions (87,670) (74,965) (71,218) (294,391) - ----------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares (319,751) (1,240,689) (143,326) 188,638 Admiral Shares 88,780 307,758 34,060 431,125 Institutional Shares (23,525) 101,670 (214,549) (6,660) - ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) from Capital Share Transactions (254,496) (831,261) (323,815) 613,103 - ------------------------------------------------------------------------------------------------------------ Total Increase (Decrease) (2,752,668) (2,547,569) (1,299,371) (310,273) - ------------------------------------------------------------------------------------------------------------ Net Assets Beginning of Period 10,271,798 12,819,367 4,469,656 4,779,929 - ------------------------------------------------------------------------------------------------------------ End of Period $ 7,519,130 $ 10,271,798 $ 3,170,285 $ 4,469,656 ============================================================================================================ * The Value Index Fund's 2001 distributions include short-term gain distributions totaling $52,164,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
26 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND ----------------------------- YEAR ENDED DECEMBER 31, ----------------------------- 2002 2001 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 331,288 $ 267,039 Realized Net Gain (Loss) (168,590) 438,663 Change in Unrealized Appreciation (Depreciation) (5,904,648) (3,191,743) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (5,741,950) (2,486,041) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (197,489) (175,649) Admiral Shares (55,661) (40,172) Institutional Shares (60,729) (52,492) VIPER Shares (18,616) (5,316) Realized Capital Gain Investor Shares -- -- Admiral Shares -- -- Institutional Shares -- -- VIPER Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (332,495) (273,629) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares 2,207,858 862,583 Admiral Shares 1,155,128 2,146,409 Institutional Shares 1,291,353 474,325 VIPER Shares 409,620 1,132,604 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 5,063,959 4,615,921 - -------------------------------------------------------------------------------- Total Increase (Decrease) (1,010,486) 1,856,251 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 25,088,312 23,232,061 - -------------------------------------------------------------------------------- End of Period $24,077,826 $25,088,312 ================================================================================ 27 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.
GROWTH INDEX FUND INVESTOR SHARES - ------------------------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------------------------------ FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $26.42 $30.57 $39.43 $31.67 $22.53 - ------------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .222 .181 .126 .207 .230 Net Realized and Unrealized Gain (Loss) on Investments (6.465) (4.144) (8.861) 8.821 9.244 - ------------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (6.243) (3.963) (8.735) 9.028 9.474 - ------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.227) (.187) (.125) (.228) (.219) Distributions from Realized Capital Gains -- -- -- (1.040) (.115) - ------------------------------------------------------------------------------------------------------------------------------- Total Distributions (.227) (.187) (.125) (1.268) (.334) - ------------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $19.95 $26.42 $30.57 $39.43 $31.67 =============================================================================================================================== TOTAL RETURN* -23.68% -12.93% -22.21% 28.76% 42.21% =============================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $6,094 $8,445 $11,162 $15,232 $6,644 Ratio of Total Expenses to Average Net Assets 0.23% 0.22% 0.22% 0.22% 0.22% Ratio of Net Investment Income to Average Net Assets 0.97% 0.67% 0.33% 0.64% 0.92% Portfolio Turnover Rate 23% 31% 33% 33% 29% =============================================================================================================================== * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
28 GROWTH INDEX FUND ADMIRAL SHARES - -------------------------------------------------------------------------------- YEAR ENDED DEC. 31, NOV. 13* TO -------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $26.42 $30.57 $33.12 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .237 .194 .024 Net Realized and Unrealized Gain (Loss) on Investments (6.465) (4.144) (2.536) - -------------------------------------------------------------------------------- Total from Investment Operations (6.228) (3.950) (2.512) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.242) (.200) (.038) Distributions from Realized Capital Gains -- -- -- - -------------------------------------------------------------------------------- Total Distributions (.242) (.200) (.038) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $19.95 $26.42 $30.57 ================================================================================ TOTAL RETURN -23.62% -12.88% -7.59% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $751 $906 $709 Ratio of Total Expenses to Average Net Assets 0.15% 0.17% 0.17%** Ratio of Net Investment Income to Average Net Assets 1.05% 0.74% 0.56%** Portfolio Turnover Rate 23% 31% 33% ================================================================================ *Inception. **Annualized.
GROWTH INDEX FUND INSTITUTIONAL SHARES - ------------------------------------------------------------------------------------------------------------------------------ YEAR ENDED DECEMBER 31, MAY 14* TO ----------------------------------------------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 26.42 $ 30.57 $ 39.44 $ 31.67 $ 26.49 - ------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .248 .213 .156 .249 .167 Net Realized and Unrealized Gain (Loss) on Investments (6.465) (4.144) (8.861) 8.821 5.315 - ------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations (6.217) (3.931) (8.705) 9.070 5.482 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.253) (.219) (.165) (.260) (.187) Distributions from Realized Capital Gains -- -- -- (1.040) (.115) - ------------------------------------------------------------------------------------------------------------------------------ Total Distributions (.253) (.219) (.165) (1.300) (.302) - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 19.95 $ 26.42 $ 30.57 $ 39.44 $ 31.67 ============================================================================================================================== TOTAL RETURN -23.58% -12.82% -22.14% 28.91% 20.79% ============================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $675 $921 $948 $452 $224 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 1.10% 0.80% 0.44% 0.74% 0.97%** Portfolio Turnover Rate 23% 31% 33% 33% 29% ============================================================================================================================== *Inception. **Annualized.
29 FINANCIAL HIGHLIGHTS (CONTINUED)
VALUE INDEX FUND INVESTOR SHARES - ------------------------------------------------------------------------------------------------------------------------------ YEAR ENDED DECEMBER 31, ----------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 18.90 $ 22.87 $ 22.89 $ 22.51 $ 20.85 - ------------------------------------------------------------------------------------------------------------------------------ Investment Operations Net Investment Income .303 .309 .355 .355 .366 Net Realized and Unrealized Gain (Loss) on Investments (4.238) (2.986) .963 2.342 2.647 - ------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations (3.935) (2.677) 1.318 2.697 3.013 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.315) (.316) (.358) (.362) (.363) Distributions from Realized Capital Gains -- (.977) (.980) (1.955) (.990) - ------------------------------------------------------------------------------------------------------------------------------ Total Distributions (.315) (1.293) (1.338) (2.317) (1.353) - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 14.65 $ 18.90 $ 22.87 $ 22.89 $ 22.51 ============================================================================================================================== TOTAL RETURN* -20.91% -11.88% 6.08% 12.57% 14.64% ============================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 2,197 $ 3,018 $ 3,450 $ 3,378 $ 2,421 Ratio of Total Expenses to Average Net Assets 0.23% 0.22% 0.22% 0.22% 0.22% Ratio of Net Investment Income to Average Net Assets 1.80% 1.51% 1.60% 1.59% 1.72% Portfolio Turnover Rate 26% 38% 37% 41% 33% ============================================================================================================================== * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
VALUE INDEX FUND ADMIRAL SHARES - -------------------------------------------------------------------------------- NOV. 13* TO YEAR ENDED DEC. 31, DEC. 31, ------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.90 $22.87 $22.86 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .315 .318 .045 Net Realized and Unrealized Gain (Loss) on Investments (4.238) (2.986) .635 - -------------------------------------------------------------------------------- Total from Investment Operations (3.923) (2.668) .680 - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.327) (.325) (.100) Distributions from Realized Capital Gains -- (.977) (.570) - -------------------------------------------------------------------------------- Total Distributions (.327) (1.302) (.670) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $14.65 $18.90 $22.87 ================================================================================ TOTAL RETURN -20.85% -11.83% 3.13% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $480 $587 $248 Ratio of Total Expenses to Average Net Assets 0.15% 0.17% 0.17%** Ratio of Net Investment Income to Average Net Assets 1.88% 1.57% 0.19%** Portfolio Turnover Rate 26% 38% 37% ================================================================================ *Inception. **Annualized. 30
VALUE INDEX FUND INSTITUTIONAL SHARES - ------------------------------------------------------------------------------------------------------------------------------ YEAR ENDED DECEMBER 31, JULY 2* TO --------------------------------------------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 18.90 $ 22.87 $ 22.89 $ 22.51 $ 23.22 - ------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .322 .333 .377 .377 .196 Net Realized and Unrealized Gain (Loss) on Investments (4.238) (2.986) .963 2.342 (.060) - ------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations (3.916) (2.653) 1.340 2.719 .136 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.334) (.340) (.380) (.384) (.236) Distributions from Realized Capital Gains -- (.977) (.980) (1.955) (.610) - ------------------------------------------------------------------------------------------------------------------------------ Total Distributions (.334) (1.317) (1.360) (2.339) (.846) - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 14.65 $ 18.90 $ 22.87 $ 22.89 $ 22.51 ============================================================================================================================== TOTAL RETURN -20.81% -11.77% 6.19% 12.67% 0.69% ============================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 494 $ 865 $ 1,082 $ 460 $ 186 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 1.91% 1.63% 1.70% 1.68% 1.90%** Portfolio Turnover Rate 26% 38% 37% 41% 33% ============================================================================================================================== *Inception. **Annualized.
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES - ------------------------------------------------------------------------------------------------------------------------------ YEAR ENDED DECEMBER 31, --------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 25.74 $ 29.26 $ 33.22 $ 27.42 $ 22.64 - ------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .295 .310 .331 .317 .336 Net Realized and Unrealized Gain (Loss) on Investments (5.672) (3.533) (3.815) 6.133 4.898 - ------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations (5.377) (3.223) (3.484) 6.450 5.234 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.293) (.297) (.336) (.330) (.329) Distributions from Realized Capital Gains -- -- (.140) (.320) (.125) - ------------------------------------------------------------------------------------------------------------------------------ Total Distributions (.293) (.297) (.476) (.650) (.454) - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 20.07 $ 25.74 $ 29.26 $ 33.22 $ 27.42 ============================================================================================================================== TOTAL RETURN* -20.96% -10.97% -10.57% 23.81% 23.26% ============================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 14,254 $ 15,781 $ 16,856 $ 18,133 $ 9,308 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 1.32% 1.11% 1.04% 1.15% 1.44% Portfolio Turnover Rate 4%** 7%** 7% 3% 3% ============================================================================================================================== * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. ** Portfolio turnover rates excluding in-kind redemptions were 2% and 3%, respectively.
31 FINANCIAL HIGHLIGHTS (CONTINUED) TOTAL STOCK MARKET INDEX FUND ADMIRAL SHARES - -------------------------------------------------------------------------------- YEAR ENDED DEC. 31, NOV. 13* TO ------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $25.75 $29.26 $30.22 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .296 .332 .049 Net Realized and Unrealized Gain (Loss) on Investments (5.672) (3.533) (.830) - -------------------------------------------------------------------------------- Total from Investment Operations (5.376) (3.201) (.781) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.304) (.309) (.099) Distributions from Realized Capital Gains -- -- (.080) - -------------------------------------------------------------------------------- Total Distributions (.304) (.309) (.179) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $20.07 $25.75 $29.26 ================================================================================ TOTAL RETURN -20.95% -10.89% -2.55% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $4,069 $3,894 $2,104 Ratio of Total Expenses to Average Net Assets 0.15% 0.15% 0.15%** Ratio of Net Investment Income to Average Net Assets 1.39% 1.17% 1.23%** Portfolio Turnover Rate 4%+ 7%+ 7% - -------------------------------------------------------------------------------- *Inception. **Annualized. + Portfolio turnover rates excluding in-kind redemptions were 2% and 3%, respectively.
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES - ------------------------------------------------------------------------------------------------------------------------------ YEAR ENDED DECEMBER 31, --------------------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 25.75 $ 29.27 $ 33.22 $ 27.42 $ 22.64 - ------------------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .311 .341 .371 .344 .359 Net Realized and Unrealized Gain (Loss) on Investments (5.672) (3.533) (3.815) 6.133 4.898 - ------------------------------------------------------------------------------------------------------------------------------ Total from Investment Operations (5.361) (3.192) (3.444) 6.477 5.257 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.319) (.328) (.366) (.357) (.352) Distributions from Realized Capital Gains -- -- (.140) (.320) (.125) - ------------------------------------------------------------------------------------------------------------------------------ Total Distributions (.319) (.328) (.506) (.677) (.477) - ------------------------------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 20.07 $ 25.75 $ 29.27 $ 33.22 $ 27.42 ============================================================================================================================== TOTAL RETURN -20.90% -10.85% -10.46% 23.93% 23.37% ============================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 4,466 $ 4,217 $ 4,272 $ 4,006 $ 2,445 Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.10% 0.10% 0.10% Ratio of Net Investment Income to Average Net Assets 1.45% 1.23% 1.14% 1.26% 1.53% Portfolio Turnover Rate 4%* 7%* 7% 3% 3% ============================================================================================================================== * Portfolio turnover rates excluding in-kind redemptions were 2% and 3%, respectively.
32 TOTAL STOCK MARKET INDEX FUND VIPER SHARES - -------------------------------------------------------------------------------- YEAR ENDED MAY 24* TO DEC. 31, DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 105.80 $ 118.46 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.259 .843 Net Realized and Unrealized Gain (Loss) on Investments (23.337) (12.515) - -------------------------------------------------------------------------------- Total from Investment Operations (22.078) (11.672) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.252) (.988) Distributions from Realized Capital Gains -- -- - -------------------------------------------------------------------------------- Total Distributions (1.252) (.988) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 82.47 $ 105.80 ================================================================================ TOTAL RETURN -20.94% -9.82% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 1,290 $ 1,195 Ratio of Total Expenses to Average Net Assets 0.15% 0.15%** Ratio of Net Investment Income to Average Net Assets 1.38% 1.26%** Portfolio Turnover Rate 4%+ 7%+ ================================================================================ *Inception. **Annualized. + Portfolio turnover rates excluding in-kind redemptions were 2% and 3%, respectively. 33 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. 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 were first issued on May 24, 2001, and first offered to the public on May 31, 2001. VIPER Shares are listed for trading on the American Stock Exchange; 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 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. 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 (Growth Index Fund, Value Index Fund, and 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). 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; 34 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. 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. 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. 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 as 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), shareholder reporting, and proxies. 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 December 31, 2002, the funds had contributed capital to Vanguard (included in Other Assets) of: - -------------------------------------------------------------------------------- CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION - -------------------------------------------------------------------------------- Growth $1,510 0.02% 1.51% Value 632 0.02 0.63 Total Stock Market 4,650 0.02 4.65 - -------------------------------------------------------------------------------- The funds' trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. During the year ended December 31, 2002, the Total Stock Market Index Fund realized $331,993,000 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. 35 NOTES TO FINANCIAL STATEMENTS (CONTINUED) At December 31, 2002, the funds had the following tax-basis amounts available for distribution, and capital losses available to offset future net capital gains: - -------------------------------------------------------------------------------- AMOUNT AVAILABLE FOR DISTRIBUTION CAPITAL LOSSES --------------------------- --------------------------- ORDINARY LONG-TERM EXPIRATION: FISCAL INCOME CAPITAL GAIN AMOUNT YEAR(S) ENDING INDEX FUND (000) (000) (000) DECEMBER 31 - -------------------------------------------------------------------------------- Growth $ 779 -- $3,153,168 2008-2011 Value (1,389)* -- 546,787 2010-2011 Total Stock Market 2,566 -- 702,979 2009-2011 - -------------------------------------------------------------------------------- * Amount from the fund's December 2002 dividend paid in January 2003 that will be used to reduce required 2003 ordinary income dividends. At December 31, 2002, net unrealized depreciation of investment securities for tax purposes was: - -------------------------------------------------------------------------------- (000) --------------------------------------------------- NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) - -------------------------------------------------------------------------------- Growth $ 926,192 $(1,137,962) $ (211,770) Value 310,112 (1,059,798) (749,686) Total Stock Market 1,950,734 (7,370,983) (5,420,249) - -------------------------------------------------------------------------------- At December 31, 2002, the aggregate settlement value of open futures contracts expiring in March 2003 and the related unrealized depreciation were: - -------------------------------------------------------------------------------- (000) ------------------------------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- Total Stock Market/ S&P 500 Index 192 $42,187 $ (643) S&P MidCap 400 Index 64 13,757 (144) Russell 2000 Index 54 10,346 (219) - -------------------------------------------------------------------------------- Unrealized depreciation on open futures contracts is required to be treated as realized loss for tax purposes. D. During the year ended December 31, 2002, purchases and sales of investment securities other than temporary cash investments were: - -------------------------------------------------------------------------------- (000) ----------------------------------- INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------------- Growth $ 1,966,501 $ 2,220,149 Value 992,094 1,312,012 Total Stock Market 6,131,374 1,031,092 - -------------------------------------------------------------------------------- 36 E. The market value of securities on loan to broker/dealers at December 31, 2002, and collateral received with respect to such loans were: - -------------------------------------------------------------------------------- (000) ----------------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED - -------------------------------------------------------------------------------- Growth $ 10,094 $ 10,300 Value 2,545 3,843 Total Stock Market 145,073 186,502 - -------------------------------------------------------------------------------- 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. F. Capital share transactions for each class of shares were: - -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------- 2002 2001 -------------------------- -------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - -------------------------------------------------------------------------------- GROWTH Investor Shares Issued $ 1,155,407 51,026 $ 1,297,952 48,276 Issued in Lieu of Cash Distributions 64,183 3,026 55,282 2,206 Redeemed (1,539,341) (68,271) (2,593,923) (95,917) ------------------------------------------------------ Net Increase (Decrease) --Investor Shares (319,751) (14,219) (1,240,689) (45,435) ------------------------------------------------------ Admiral Shares Issued 334,819 14,388 562,503 20,711 Issued in Lieu of Cash Distributions 7,507 355 5,442 217 Redeemed (253,546) (11,400) (260,187) (9,833) ------------------------------------------------------ Net Increase (Decrease) --Admiral Shares 88,780 3,343 307,758 11,095 ------------------------------------------------------ Institutional Shares Issued 296,930 12,916 340,080 12,678 Issued in Lieu of Cash Distributions 8,074 381 6,817 271 Redeemed (328,529) (14,342) (245,227) (9,084) ------------------------------------------------------ Net Increase (Decrease) --Institutional Shares (23,525) (1,045) 101,670 3,865 - -------------------------------------------------------------------------------- 37 NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------------------- 2002 2001 -------------------------- -------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - -------------------------------------------------------------------------------- VALUE Investor Shares Issued $ 603,011 36,010 $ 997,719 48,090 Issued in Lieu of Cash Distributions 44,772 2,868 185,541 9,384 Redeemed (791,109) (48,545) (994,622) (48,686) ------------------------------------------------------ Net Increase (Decrease) --Investor Shares (143,326) (9,667) 188,638 8,788 ------------------------------------------------------ Admiral Shares Issued 308,314 18,151 520,851 24,773 Issued in Lieu of Cash Distributions 8,803 564 23,065 1,178 Redeemed (283,057) (16,995) (112,791) (5,777) ------------------------------------------------------ Net Increase (Decrease) --Admiral Shares 34,060 1,720 431,125 20,174 Institutional Shares Issued 213,528 12,571 277,438 13,003 Issued in Lieu of Cash Distributions 10,995 701 60,419 3,049 Redeemed (439,072) (25,343) (344,517) (17,571) ------------------------------------------------------ Net Increase (Decrease) --Institutional Shares (214,549) (12,071) (6,660) (1,519) ------------------------------------------------------ TOTAL STOCK MARKET Investor Shares Issued $ 4,425,830 197,493 $ 4,605,530 177,162 Issued in Lieu of Cash Distributions 186,853 8,717 164,750 6,682 Redeemed (2,404,825) (108,975) (3,907,697) (146,839) ------------------------------------------------------ Net Increase (Decrease) --Investor Shares 2,207,858 97,235 862,583 37,005 ------------------------------------------------------ Admiral Shares Issued 1,958,681 88,190 2,603,765 97,238 Issued in Lieu of Cash Distributions 46,963 2,198 34,147 1,388 Redeemed (850,516) (38,902) (491,503) (19,283) ------------------------------------------------------ Net Increase (Decrease) --Admiral Shares 1,155,128 51,486 2,146,409 79,343 ------------------------------------------------------ Institutional Shares Issued 1,925,666 87,123 1,987,793 74,471 Issued in Lieu of Cash Distributions 50,565 2,361 44,317 1,792 Redeemed (684,878) (30,787) (1,557,785) (58,434) ------------------------------------------------------ Net Increase (Decrease) --Institutional Shares 1,291,353 58,697 474,325 17,829 ------------------------------------------------------ VIPER Shares Issued 774,929 8,336 1,132,586 11,299 Issued in Lieu of Cash Distributions 357 4 18 -- Redeemed (365,666) (4,000) -- -- ------------------------------------------------------ Net Increase (Decrease) --VIPER Shares 409,620 4,340 1,132,604 11,299 - -------------------------------------------------------------------------------- 38 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the statements of net assets appearing herein and in the insert to this annual report and the accompanying related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Growth Index Fund, Value Index Fund, and Total Stock Market Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2002, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2002 by correspondence with the custodian and broker, provide a reasonable basis for our opinion. PRICEWATERHOUSECOOPERS LLP PHILADELPHIA, PENNSYLVANIA JANUARY 30, 2003 - -------------------------------------------------------------------------------- SPECIAL 2002 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (LARGE-CAPITALIZATION PORTFOLIOS) This information for the fiscal year ended December 31, 2002, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: - -------------------------------------------------------------------------------- Index Fund Percentage - -------------------------------------------------------------------------------- Growth 100% Value 100 Total Stock Market 100 - -------------------------------------------------------------------------------- 39 [graphic] 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 a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis. A 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. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the
NAME POSITION(S) HELD WITH FUND (YEAR OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Board, Chairman of the Board, Chief Executive Officer, and Director/Trustee (1954) Chief Executive Officer, of The Vanguard Group, Inc., and of each of the investment companies May 1987 and Trustee served by The Vanguard Group. (109) - ------------------------------------------------------------------------------------------------------------------------------------ Independent Trustees CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Adviser (1937) (109) to Greenwich Associates (international business strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - ------------------------------------------------------------------------------------------------------------------------------------ RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (1945) (87) Chairman (January-September 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co.(chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; Trustee of Drexel University. - ------------------------------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN HEISEN Trustee Vice President, Chief Information Officer, and Member of the Executive (1950) (109) Committee of Johnson & Johnson (pharmaceuticals/consumer products); July 1998 Director of the Medical Center at Princeton and Women's Research and Education Institute. BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton University; (1932) (107) Director of Vanguard Investment Series plc (Irish investment fund) (since May 1977 November 2001), Vanguard Group (Ireland) Limited (Irish investment management firm) (since November 2001), Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc. (software company). - ------------------------------------------------------------------------------------------------------------------------------------ ALFRED M. RANKIN, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (1941) (109) Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich January 1993 Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (a supplier for the automotive industry) until 1998. - ------------------------------------------------------------------------------------------------------------------------------------ J. LAWRENCE WILSON Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (1936) (109) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - ------------------------------------------------------------------------------------------------------------------------------------
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. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
- ------------------------------------------------------------------------------------------------------------------------------------ NAME POSITION(S) HELD WITH FUND (YEAR OF BIRTH) (NUMBER OF VANGUARD FUNDS PRINCIPAL OCCUPATION(S) TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE/OFFICER) DURING THE PAST FIVE YEARS EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc. (1951) (109) (since September 1997); Secretary of The Vanguard Group and of June 2001 each of the investment companies served by The Vanguard Group; Principal of The Vanguard Group (prior to September 1997). THOMAS J. HIGGINS Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (1957) (109) investment companies served by The Vanguard Group. July 1998 - ------------------------------------------------------------------------------------------------------------------------------------ * Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
VANGUARD SENIOR MANAGEMENT TEAM Mortimer J. Buckley, Information Technology. F. William McNabb, III, Institutional Investor Group. James H. Gately, Direct Investor Services. Michael S. Miller, Planning and Development. Kathleen C. Gubanich, Human Resources. Ralph K. Packard, Finance. Ian A. MacKinnon, Fixed Income Group. George U. Sauter, Quantitative Equity Group.
- -------------------------------------------------------------------------------- John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996. - -------------------------------------------------------------------------------- Vanguard, The Vanguard Group, Vanguard.com, Admiral, VIPER, VIPERs and the ship logo are trademarks of The Vanguard Group, Inc. S&P(R), Standard & Poors's 500, and 500 are trademarks of the McGraw-Hill Companies, Inc., Inc. and have been lincensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. All other marks are the exclusive property of their respective owners. [SHIP LOGO] The Vanguard Group(R) Post Office Box 2600 Valley Forge, PA 19482-2600 ABOUT OUR COVER The photographs of the sails and ship that appear on the cover of this report are copyrighted by Michael Kahn. FOR MORE INFORMATION 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. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through VANGUARD.COM(R). Prospectuses may also be viewed online. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. 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 TEXT TELEPHONE 1-800-952-3335 (C)2002 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q850 022003 VANGUARD(R)U.S. STOCK INDEX FUNDS ANNUAL REPORT * DECEMBER 31, 2002 TOTAL STOCK MARKET INDEX FUND STATEMENT OF NET ASSETS The Statement of Net Assets should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, Notes to Financial Statements, and Report of Independent Accountants, all of which appear in 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, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. 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) - -------------------------------------------------------------------------------- * Microsoft Corp. 12,643,357 $ 653,662 General Electric Co. 23,532,425 573,015 ExxonMobil Corp. 15,912,661 555,988 Wal-Mart Stores, Inc. 10,438,200 527,233 Pfizer, Inc. 14,572,389 445,478 Citigroup, Inc. 12,146,325 427,429 Johnson & Johnson 7,024,939 377,309 American International Group, Inc. 6,168,914 356,872 International Business Machines Corp. 3,996,762 309,749 Merck & Co., Inc. 5,310,349 300,619 Procter & Gamble Co. 3,072,662 264,065 The Coca-Cola Co. 5,862,691 256,903 Verizon Communications 6,469,590 250,697 Bank of America Corp. 3,539,448 246,239 Intel Corp. 15,666,881 243,933 * Berkshire Hathaway Inc. Class A 3,346 243,422 * Cisco Systems, Inc. 17,086,161 223,829 SBC Communications Inc. 7,851,672 212,859 Philip Morris Cos., Inc. 4,892,001 198,273 Wells Fargo & Co. 4,000,997 187,527 PepsiCo, Inc. 4,084,173 172,434 Eli Lilly & Co. 2,656,646 168,697 ChevronTexaco Corp. 2,525,995 167,928 * Viacom Inc. Class B 4,100,219 167,125 United Parcel Service, Inc. 2,639,536 166,502 * Dell Computer Corp. 6,124,578 163,771 Fannie Mae 2,353,059 151,372 Abbott Laboratories 3,695,179 147,807 * Amgen, Inc. 3,043,554 147,125 AOL Time Warner Inc. 10,571,060 138,481 * Oracle Corp. 12,634,539 136,453 Home Depot, Inc. 5,499,991 131,780 Medtronic, Inc. 2,885,384 131,574 Pharmacia Corp. 3,057,550 127,806 Hewlett-Packard Co. 7,216,176 125,273 Wyeth 3,134,998 117,249 Wachovia Corp. 3,216,924 117,225 3M Co. 922,803 113,782 BellSouth Corp. 4,389,026 113,544 J.P. Morgan Chase & Co. 4,721,407 113,314 * Comcast Corp. Class A 4,803,151 113,210 American Express Co. 3,108,199 109,875 Bristol-Myers Squibb Co. 4,580,779 106,045 Morgan Stanley 2,567,326 102,488 Bank One Corp. 2,753,822 100,652 E.I. du Pont de Nemours & Co. 2,349,394 99,614 1 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Anheuser-Busch Cos., Inc. 2,023,336 $ 97,929 Freddie Mac 1,645,302 97,155 U.S. Bancorp 4,529,981 96,126 Fifth Third Bancorp 1,366,433 80,005 The Walt Disney Co. 4,829,364 78,767 Merrill Lynch & Co., Inc. 2,044,344 77,583 ConocoPhillips 1,600,594 77,453 Washington Mutual, Inc. 2,238,733 77,303 Schering-Plough Corp. 3,468,344 76,997 The Goldman Sachs Group, Inc. 1,127,627 76,791 Gillette Co. 2,494,829 75,743 Walgreen Co. 2,423,722 70,748 United Technologies Corp. 1,117,932 69,245 Lowe's Cos., Inc. 1,845,571 69,209 * QUALCOMM Inc. 1,856,653 67,564 Colgate-Palmolive Co. 1,271,012 66,639 The Boeing Co. 1,985,354 65,497 Target Corp. 2,148,186 64,446 Dow Chemical Co. 2,154,660 63,993 First Data Corp. 1,778,445 62,975 Lockheed Martin Corp. 1,078,613 62,290 Allstate Corp. 1,662,416 61,493 Texas Instruments, Inc. 4,093,573 61,445 FleetBoston Financial Corp. 2,482,118 60,315 Cardinal Health, Inc. 1,016,565 60,170 UnitedHealth Group Inc. 720,006 60,121 Marsh & McLennan Cos., Inc. 1,270,086 58,691 Kimberly-Clark Corp. 1,216,427 57,744 Schlumberger Ltd. 1,367,272 57,548 MBNA Corp. 3,021,495 57,469 Automatic Data Processing, Inc. 1,416,299 55,590 * Clear Channel Communications, Inc. 1,449,073 54,036 * Applied Materials, Inc. 3,897,241 50,781 Emerson Electric Co. 995,815 50,637 HCA Inc. 1,213,259 50,350 * Liberty Media Corp. 5,614,972 50,198 * eBay Inc. 730,144 49,518 General Motors Corp. 1,325,410 48,855 McDonald's Corp. 3,001,764 48,268 Southern Co. 1,687,005 47,894 AT&T Corp. 1,821,905 47,570 Motorola, Inc. 5,441,356 47,068 Illinois Tool Works, Inc. 724,545 46,994 Honeywell International Inc. 1,941,397 46,594 Sysco Corp. 1,552,818 46,258 Alcoa Inc. 1,995,932 45,467 Gannett Co., Inc. 632,070 45,383 Metropolitan Life Insurance Co. 1,655,596 44,767 * Kohl's Corp. 797,391 44,614 Prudential Financial, Inc. 1,336,834 42,431 * Forest Laboratories, Inc. 427,740 42,013 BB&T Corp. 1,132,486 41,891 Northrop Grumman Corp. 429,725 41,683 Sara Lee Corp. 1,843,916 41,507 Duke Energy Corp. 2,108,462 41,199 The Bank of New York Co., Inc. 1,717,631 41,154 * Boston Scientific Corp. 964,216 40,998 General Mills, Inc. 870,065 40,850 Ford Motor Co. 4,339,733 40,360 Exelon Corp. 763,820 40,307 Dominion Resources, Inc. 725,852 39,849 * Cox Communications, Inc. Class A 1,401,262 39,796 International Paper Co. 1,134,375 39,669 National City Corp. 1,447,018 39,533 Baxter International, Inc. 1,406,025 39,369 FedEx Corp. 705,191 38,235 SunTrust Banks, Inc. 670,863 38,186 General Dynamics Corp. 475,230 37,719 SLM Corp. 363,100 37,712 ALLTEL Corp. 735,600 37,516 Caterpillar, Inc. 813,766 37,205 AFLAC Inc. 1,220,755 36,769 * AT&T Wireless Services Inc. 6,406,402 36,196 Union Pacific Corp. 599,022 35,863 * Travelers Property Casualty Corp. Class B 2,373,544 34,772 Charles Schwab Corp. 3,177,477 34,476 Carnival Corp. 1,381,735 34,474 Kellogg Co. 965,511 33,088 Harley-Davidson, Inc. 715,298 33,047 Waste Management, Inc. 1,439,509 32,994 Tribune Co. 719,346 32,701 The Gap, Inc. 2,090,335 32,442 * EMC Corp. 5,202,160 31,941 ConAgra Foods, Inc. 1,270,044 31,764 Stryker Corp. 467,530 31,381 Household International, Inc. 1,119,866 31,143 Sprint Corp. 2,115,474 30,632 * Costco Wholesale Corp. 1,077,853 30,245 Avon Products, Inc. 556,300 29,968 Lehman Brothers Holdings, Inc. 561,508 29,923 State Street Corp. 767,049 29,915 Raytheon Co. 959,210 29,496 Wm. Wrigley Jr. Co. 532,924 29,247 Omnicom Group Inc. 444,575 28,720 * The Kroger Co. 1,828,577 28,252 Anadarko Petroleum Corp. 588,000 28,165 PNC Financial Services Group 671,380 28,131 NIKE, Inc. Class B 627,102 27,887 The McGraw-Hill Cos., Inc. 458,302 27,700 Newmont Mining Corp. (Holding Company) 949,523 27,565 2 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- The Hartford Financial Services Group Inc. 603,468 $ 27,416 H.J. Heinz Co. 830,306 27,292 Mellon Financial Corp. 1,019,142 26,610 * NEXTEL Communications, Inc. 2,275,626 26,283 Golden West Financial Corp. 362,892 26,059 FPL Group, Inc. 431,668 25,956 Deere & Co. 563,401 25,832 Kraft Foods Inc. 662,148 25,777 * Cendant Corp. 2,451,100 25,688 Progressive Corp. of Ohio 515,075 25,563 Baker Hughes, Inc. 793,880 25,555 Weyerhaeuser Co. 517,698 25,476 Southwest Airlines Co. 1,831,461 25,457 Occidental Petroleum Corp. 891,197 25,355 KeyCorp 1,004,832 25,261 * WellPoint Health Networks Inc. Class A 351,799 25,034 Maxim Integrated Products, Inc. 756,501 24,995 Paychex, Inc. 889,394 24,814 Masco Corp. 1,163,526 24,492 TJX Cos., Inc. 1,249,161 24,384 * Safeway, Inc. 1,043,182 24,369 Equity Office Properties Trust REIT 972,547 24,294 Progress Energy, Inc. 560,113 24,281 * General Motors Corp. Class H 2,265,865 24,245 Eastman Kodak Co. 690,018 24,178 The Principal Financial Group, Inc. 796,697 24,004 Entergy Corp. 525,085 23,939 * Bed Bath & Beyond, Inc. 691,399 23,874 Danaher Corp. 360,497 23,685 Burlington Northern Santa Fe Corp. 892,681 23,219 FirstEnergy Corp. 703,430 23,192 CVS Corp. 928,621 23,188 * Intuit, Inc. 493,140 23,138 Coca-Cola Enterprises, Inc. 1,060,728 23,039 Air Products & Chemicals, Inc. 537,348 22,972 * Sun Microsystems, Inc. 7,379,299 22,950 * Yahoo! Inc. 1,397,614 22,851 Campbell Soup Co. 969,290 22,749 * Guidant Corp. 722,981 22,304 Praxair, Inc. 381,894 22,062 American Electric Power Co., Inc. 801,348 21,901 Hershey Foods Corp. 321,730 21,697 Consolidated Edison Inc. 504,716 21,612 * Fox Entertainment Group, Inc. Class A 833,470 21,612 The Clorox Co. 518,493 21,388 The Chubb Corp. 404,617 21,121 * Anthem, Inc. 334,509 21,041 Franklin Resources Corp. 613,327 20,902 * USA Interactive 908,985 20,834 Electronic Data Systems Corp. 1,126,644 20,764 * Analog Devices, Inc. 864,884 20,645 SouthTrust Corp. 820,264 20,384 * Staples, Inc. 1,111,804 20,346 Burlington Resources, Inc. 476,209 20,310 PPG Industries, Inc. 400,770 20,099 * Qwest Communications International Inc. 4,015,257 20,076 Albertson's, Inc. 901,262 20,062 * Agilent Technologies, Inc. 1,103,694 19,822 Mattel, Inc. 1,033,068 19,783 Loews Corp. 438,542 19,498 Apache Corp. 340,333 19,396 Halliburton Co. 1,032,021 19,309 Newell Rubbermaid, Inc. 631,864 19,164 * Zimmer Holdings, Inc. 460,468 19,119 John Hancock Financial Services, Inc. 681,382 19,011 Linear Technology Corp. 738,642 18,998 Archer-Daniels-Midland Co. 1,529,460 18,965 * Concord EFS, Inc. 1,203,112 18,937 * Tenet Healthcare Corp. 1,151,536 18,885 * Starbucks Corp. 918,264 18,714 Unocal Corp. 609,912 18,651 McKesson Corp. 688,522 18,611 Becton, Dickinson & Co. 604,986 18,567 Marriott International, Inc. Class A 563,057 18,508 Cintas Corp. 401,981 18,391 Norfolk Southern Corp. 919,169 18,374 * Best Buy Co., Inc. 760,369 18,363 DTE Energy Co. 395,193 18,337 Northern Trust Corp. 522,472 18,313 Computer Associates International, Inc. 1,355,723 18,302 Pitney Bowes, Inc. 559,436 18,271 St. Paul Cos., Inc. 535,159 18,222 * Apollo Group, Inc. Class A 412,575 18,153 * Lexmark International, Inc. 297,873 18,021 Comerica, Inc. 413,175 17,866 Sears, Roebuck & Co. 745,703 17,860 Allergan, Inc. 306,112 17,638 Biomet, Inc. 614,342 17,607 Transocean Inc. 752,500 17,458 Regions Financial Corp. 523,036 17,448 * Genentech, Inc. 521,811 17,303 * Berkshire Hathaway Inc. Class B 7,122 17,257 M & T Bank Corp. 217,335 17,246 Limited Brands, Inc. 1,236,531 17,225 3 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Ingersoll-Rand Co. 398,983 $ 17,180 H & R Block, Inc. 426,103 17,129 The Pepsi Bottling Group, Inc. 663,678 17,057 * Amazon.com, Inc. 902,186 17,042 Devon Energy Corp. 370,510 17,006 Rohm & Haas Co. 522,918 16,984 * Yum! Brands, Inc. 698,897 16,927 Public Service Enterprise Group, Inc. 526,069 16,887 Johnson Controls, Inc. 209,730 16,814 * Chiron Corp. 444,931 16,729 * St. Jude Medical, Inc. 419,947 16,680 * Electronic Arts Inc. 334,141 16,630 Washington Post Co. Class B 22,493 16,600 * Affiliated Computer Services, Inc. Class A 312,622 16,460 * Xilinx, Inc. 797,253 16,423 Fortune Brands, Inc. 353,048 16,420 * AutoZone Inc. 232,120 16,399 New York Times Co. Class A 358,169 16,379 AmSouth Bancorp 840,569 16,139 * MedImmune Inc. 593,287 16,120 Avery Dennison Corp. 258,987 15,819 * Gilead Sciences, Inc. 465,183 15,816 * KLA-Tencor Corp. 445,640 15,762 Equity Residential REIT 640,598 15,746 Marathon Oil Corp. 738,678 15,726 * SunGard Data Systems, Inc. 666,881 15,712 May Department Stores Co. 681,670 15,665 Capital One Financial Corp. 524,127 15,577 * International Game Technology 205,006 15,564 Countrywide Financial Corp. 298,879 15,437 Charter One Financial, Inc. 535,374 15,381 * Fiserv, Inc. 452,520 15,363 * Veritas Software Corp. 973,425 15,205 Ameren Corp. 365,024 15,174 Ecolab, Inc. 305,494 15,122 Simon Property Group, Inc. REIT 443,744 15,118 MBIA, Inc. 343,249 15,055 * Genzyme Corp.-General Division 506,477 14,977 * Comcast Corp.-Special Class A 654,930 14,795 Moody's Corp. 357,390 14,757 Aetna Inc. 355,969 14,637 E.W. Scripps Co. Class A 189,095 14,551 J.C. Penney Co., Inc. (Holding Company) 630,843 14,516 Cincinnati Financial Corp. 381,915 14,341 CSX Corp. 503,815 14,263 TXU Corp. 762,811 14,249 Marshall & Ilsley Corp. 517,292 14,163 * Biogen, Inc. 352,521 14,122 Ambac Financial Group, Inc. 250,588 14,093 UnionBanCal Corp. 358,277 14,070 * Xerox Corp. 1,739,901 14,006 * Computer Sciences Corp. 406,033 13,988 Textron, Inc. 325,187 13,980 Dover Corp. 478,763 13,961 * Micron Technology, Inc. 1,430,873 13,937 Adobe Systems, Inc. 559,857 13,885 * Symantec Corp. 342,160 13,861 Aon Corp. 733,425 13,854 Synovus Financial Corp. 710,450 13,783 Bear Stearns Co., Inc. 229,806 13,650 AmerisourceBergen Corp. 250,464 13,603 CIGNA Corp. 329,677 13,556 * PeopleSoft, Inc. 740,249 13,547 * CNA Financial Corp. 528,889 13,540 PPL Corp. 389,505 13,508 * Federated Department Stores, Inc. 468,958 13,487 Cinergy Corp. 398,084 13,423 GlobalSantaFe Corp. 550,473 13,388 UST, Inc. 399,532 13,356 Lincoln National Corp. 422,567 13,345 * PG&E Corp. 958,786 13,327 * Univision Communications Inc. 541,269 13,261 Union Planters Corp. 469,438 13,210 ITT Industries, Inc. 217,176 13,180 * Quest Diagnostics, Inc. 231,426 13,168 Eaton Corp. 166,827 13,031 Jefferson-Pilot Corp. 339,373 12,934 North Fork Bancorp, Inc. 381,918 12,886 Parker Hannifin Corp. 279,222 12,881 Interpublic Group of Cos., Inc. 912,501 12,848 Family Dollar Stores, Inc. 409,018 12,765 * EchoStar Communications Corp. Class A 573,159 12,759 Genuine Parts Co. 413,076 12,723 PACCAR, Inc. 274,198 12,649 Knight Ridder 194,801 12,321 * Weatherford International Ltd. 307,782 12,290 * American Standard Cos., Inc. 171,665 12,212 * Apple Computer, Inc. 848,770 12,163 Kinder Morgan, Inc. 287,256 12,142 * MGM Mirage, Inc. 367,288 12,109 * Nabors Industries, Inc. 341,218 12,035 * IDEC Pharmaceuticals Corp. 361,990 12,007 * BJ Services Co. 370,308 11,965 Monsanto Co. 619,659 11,928 KeySpan Corp. 336,161 11,846 Microchip Technology, Inc. 480,307 11,744 MeadWestvaco Corp. 473,068 11,690 Amerada Hess Corp. 210,991 11,615 National Commerce Financial Corp. 485,408 11,577 4 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Weight Watchers International, Inc. 251,176 $ 11,547 NiSource, Inc. 576,839 11,537 Sempra Energy 484,598 11,461 SAFECO Corp. 326,943 11,335 Hilton Hotels Corp. 888,162 11,289 Starwood Hotels & Resorts Worldwide, Inc. 471,873 11,202 W.W. Grainger, Inc. 216,719 11,172 * Altera Corp. 904,632 11,163 * BEA Systems, Inc. 971,698 11,145 * Noble Corp. 316,233 11,116 EOG Resources, Inc. 273,232 10,907 Constellation Energy Group, Inc. 389,598 10,839 * Jones Apparel Group, Inc. 304,476 10,791 * Office Depot, Inc. 729,710 10,771 American Water Works Co., Inc. 236,743 10,767 First Tennessee National Corp. 296,968 10,673 Delphi Corp. 1,322,346 10,645 IMS Health, Inc. 664,368 10,630 Brown-Forman Corp. Class B 162,212 10,602 ProLogis REIT 421,472 10,600 Popular, Inc. 313,277 10,589 Kerr-McGee Corp. 237,588 10,525 Molex, Inc. 454,667 10,476 Green Point Financial Corp. 231,383 10,454 * Harrah's Entertainment, Inc. 263,830 10,448 Huntington Bancshares Inc. 557,992 10,440 * Novellus Systems, Inc. 370,784 10,412 ENSCO International, Inc. 352,299 10,375 Xcel Energy, Inc. 942,951 10,372 * Sprint PCS 2,363,995 10,354 Leggett & Platt, Inc. 460,341 10,330 Plum Creek Timber Co. Inc. REIT 437,534 10,326 * Lucent Technologies, Inc. 8,126,238 10,239 Torchmark Corp. 280,078 10,231 Mylan Laboratories, Inc. 292,384 10,204 Health Management Associates Class A 564,071 10,097 Archstone-Smith Trust REIT 428,121 10,078 Rockwell Collins, Inc. 433,152 10,075 * DST Systems, Inc. 282,896 10,057 * L-3 Communications Holdings, Inc. 223,678 10,045 UnumProvident Corp. 571,150 10,018 Sherwin-Williams Co. 354,497 10,015 CenturyTel, Inc. 337,332 9,911 El Paso Corp. 1,420,362 9,886 MGIC Investment Corp. 238,448 9,848 * Caremark Rx, Inc. 604,748 9,827 * Broadcom Corp. 652,419 9,825 * King Pharmaceuticals, Inc. 569,570 9,791 * BMC Software, Inc. 561,405 9,606 Georgia Pacific Group 593,128 9,585 Vornado Realty Trust REIT 256,715 9,550 Compass Bancshares Inc. 303,205 9,481 Dollar General Corp. 788,665 9,425 * Westwood One, Inc. 250,984 9,377 Tyson Foods, Inc. 834,359 9,362 Valero Energy Corp. 252,017 9,310 * AutoNation, Inc. 739,758 9,291 Murphy Oil Corp. 216,728 9,287 CIT Group Inc. 473,756 9,286 VF Corp. 257,042 9,266 * Cablevision Systems- NY Group Class A 551,075 9,225 * Edison International 772,173 9,150 Rockwell Automation, Inc. 438,807 9,088 Vulcan Materials Co. 240,423 9,016 * Corning, Inc. 2,717,644 8,995 Public Storage, Inc. REIT 278,330 8,993 * Mohawk Industries, Inc. 156,972 8,940 * Smurfit-Stone Container Corp. 578,417 8,902 * Express Scripts Inc. 184,250 8,851 R.J. Reynolds Tobacco Holdings, Inc. 209,017 8,802 * CDW Computer Centers, Inc. 198,708 8,713 Applied Biosystems Group- Applera Corp. 495,629 8,693 Sovereign Bancorp, Inc. 617,730 8,679 * Siebel Systems, Inc. 1,145,920 8,571 Hudson City Bancorp, Inc. 455,190 8,480 Dow Jones & Co., Inc. 195,872 8,468 Zions Bancorp 215,007 8,460 Whirlpool Corp. 161,349 8,426 * Jabil Circuit, Inc. 468,457 8,395 Sigma-Aldrich Corp. 171,016 8,328 Ocean Energy, Inc. 416,930 8,326 Boston Properties, Inc. REIT 225,856 8,325 Apartment Investment & Management Co. Class A REIT 221,499 8,302 Darden Restaurants Inc. 404,253 8,267 * Synopsys, Inc. 178,917 8,257 Transatlantic Holdings, Inc. 123,751 8,254 Radian Group, Inc. 221,422 8,226 Tiffany & Co. 343,759 8,219 * Pactiv Corp. 374,707 8,191 Black & Decker Corp. 190,531 8,172 Duke Realty Corp. REIT 319,688 8,136 * Republic Services, Inc. Class A 387,537 8,131 * Laboratory Corp. of America Holdings 349,600 8,125 Scana Corp. 261,918 8,109 Expeditors International of Washington, Inc. 246,144 8,037 5 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * JDS Uniphase Corp. 3,245,390 $ 8,016 * Dean Foods Co. 215,876 8,009 Old Republic International Corp. 285,376 7,991 * Network Appliance, Inc. 797,926 7,979 * Varian Medical Systems, Inc. 160,772 7,974 Cooper Industries, Inc. Class A 218,461 7,963 ServiceMaster Co. 714,455 7,930 * ChoicePoint Inc. 200,661 7,924 Lennar Corp. 153,473 7,919 * Lincare Holdings, Inc. 250,274 7,914 Banknorth Group, Inc. 349,710 7,903 T. Rowe Price Group Inc. 289,451 7,896 * Smith International, Inc. 240,636 7,850 International Flavors & Fragrances, Inc. 223,143 7,832 Ross Stores, Inc. 184,317 7,813 Estee Lauder Cos. Class A 295,946 7,813 Equifax, Inc. 336,796 7,793 * Thermo Electron Corp. 387,000 7,786 * Health Net Inc. 293,241 7,742 General Growth Properties Inc. REIT 147,997 7,696 McCormick & Co., Inc. 331,004 7,679 * Metro-Goldwyn-Mayer Inc. 590,162 7,672 TCF Financial Corp. 175,336 7,660 Hormel Foods Corp. 328,050 7,653 Nucor Corp. 185,190 7,648 * QLogic Corp. 221,149 7,632 * Unisys Corp. 767,982 7,603 Royal Caribbean Cruises, Ltd. 455,192 7,602 Kimco Realty Corp. REIT 247,474 7,583 Energy East Corp. 342,344 7,562 * Oxford Health Plans, Inc. 207,037 7,546 Pepco Holdings, Inc. 387,014 7,504 * Cadence Design Systems, Inc. 635,919 7,497 Liz Claiborne, Inc. 252,647 7,491 RadioShack Corp. 398,958 7,476 * Williams-Sonoma, Inc. 274,388 7,450 Legg Mason Inc. 153,254 7,439 * Brinker International, Inc. 230,337 7,428 Fidelity National Financial, Inc. 225,969 7,419 XTO Energy, Inc. 299,492 7,397 Wendy's International, Inc. 273,068 7,392 * Sealed Air Corp. 198,166 7,392 New York Community Bancorp, Inc. 253,488 7,321 Centex Corp. 145,760 7,317 Pinnacle West Capital Corp. 213,946 7,293 The Stanley Works 208,771 7,219 Hibernia Corp. Class A 373,005 7,184 * Whole Foods Market, Inc. 135,962 7,169 * SPX Corp. 190,900 7,149 * Watson Pharmaceuticals, Inc. 252,736 7,145 C.R. Bard, Inc. 122,292 7,093 * Tellabs, Inc. 974,372 7,084 * Patterson Dental Co. 161,379 7,059 Hillenbrand Industries, Inc. 145,950 7,051 * Citizens Communications Co. 667,499 7,042 * American Power Conversion Corp. 464,800 7,042 Diebold, Inc. 170,537 7,030 * Pioneer Natural Resources Co. 276,741 6,988 * Solectron Corp. 1,953,340 6,934 Pulte Homes, Inc. 144,779 6,931 Alberto-Culver Co. Class B 137,425 6,926 * Coach, Inc. 209,934 6,911 Commerce Bancorp, Inc. 159,658 6,896 DENTSPLY International Inc. 185,301 6,893 Wisconsin Energy Corp. 273,351 6,888 Stilwell Financial, Inc. 526,318 6,879 Ball Corp. 134,305 6,875 SEI Corp. 251,633 6,839 Federated Investors, Inc. 269,136 6,828 * Lamar Advertising Co. Class A 201,106 6,767 * Barr Laboratories, Inc. 103,860 6,760 Engelhard Corp. 302,278 6,756 Diamond Offshore Drilling, Inc. 308,251 6,735 Eastman Chemical Co. 183,084 6,732 Fastenal Co. 179,703 6,719 * Waters Corp. 305,932 6,663 * Phelps Dodge Corp. 210,297 6,656 * Iron Mountain, Inc. 201,229 6,643 * Dollar Tree Stores, Inc. 270,022 6,634 * Robert Half International, Inc. 411,175 6,624 Telephone & Data Systems, Inc. 139,177 6,544 Rouse Co. REIT 205,696 6,521 iStar Financial Inc. REIT 231,640 6,498 * Universal Health Services Class B 143,610 6,477 * Pixar, Inc. 121,696 6,449 The PMI Group Inc. 214,064 6,430 TECO Energy, Inc. 415,382 6,426 * National Semiconductor Corp. 427,971 6,424 White Mountains Insurance Group Inc. 19,857 6,414 * Cooper Cameron Corp. 128,581 6,406 * Cephalon, Inc. 130,855 6,368 Avalonbay Communities, Inc. REIT 162,347 6,354 First Virginia Banks, Inc. 169,821 6,322 * Network Associates, Inc. 392,039 6,308 Mercantile Bankshares Corp. 163,048 6,292 Total System Services, Inc. 466,022 6,291 Commerce Bancshares, Inc. 159,199 6,255 C.H. Robinson Worldwide, Inc. 199,886 6,236 Bemis Co., Inc. 125,615 6,234 6 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Convergys Corp. 410,717 $ 6,222 Outback Steakhouse 179,529 6,183 Deluxe Corp. 146,175 6,154 A.G. Edwards & Sons, Inc. 186,551 6,149 The McClatchy Co. Class A 108,356 6,147 * Sabre Holdings Corp. 338,480 6,130 Arthur J. Gallagher & Co. 208,399 6,123 CenterPoint Energy Inc. 719,135 6,113 * The Dun & Bradstreet Corp. 176,302 6,081 Nordstrom, Inc. 320,339 6,077 * WebMD Corp. 703,862 6,018 D. R. Horton, Inc. 346,498 6,012 Associated Banc-Corp 176,845 6,002 * Energizer Holdings, Inc. 214,751 5,992 Sunoco, Inc. 180,570 5,991 * Juniper Networks, Inc. 880,001 5,984 * Park Place Entertainment Corp. 710,814 5,971 * Mercury Interactive Corp. 199,859 5,926 Dreyer's Grand Ice Cream, Inc. 82,700 5,868 R.R. Donnelley & Sons Co. 268,558 5,847 * First Health Group Corp. 239,924 5,842 Manpower Inc. 181,460 5,789 Liberty Property Trust REIT 181,045 5,783 * NVR, Inc. 17,717 5,767 * Freeport-McMoRan Copper & Gold, Inc. Class B 342,735 5,751 Temple-Inland Inc. 127,604 5,718 * Gentex Corp. 179,916 5,693 Belo Corp. Class A 266,865 5,690 Valley National Bancorp 215,284 5,677 Bunge Ltd. 234,944 5,653 * Patterson-UTI Energy, Inc. 187,268 5,650 * Alliant Techsystems, Inc. 90,557 5,646 * Teradyne, Inc. 432,982 5,633 Astoria Financial Corp. 207,428 5,632 * Sanmina-SCI Corp. 1,249,200 5,609 * PETsMART, Inc. 326,853 5,599 * IVAX Corp. 461,231 5,595 NSTAR 125,920 5,590 John Nuveen Co. Class A 220,302 5,585 * Host Marriott Corp. REIT 628,818 5,565 * Entercom Communications Corp. 118,186 5,545 Neuberger Berman Inc. 165,365 5,538 Allied Capital Corp. 252,704 5,517 Bowater Inc. 130,791 5,487 * NCR Corp. 231,005 5,484 Erie Indemnity Co. Class A 150,918 5,472 The St. Joe Co. 181,410 5,442 AMB Property Corp. REIT 198,519 5,431 * Millennium Pharmaceuticals, Inc. 682,275 5,417 * Storage Technology Corp. 252,314 5,405 Pogo Producing Co. 144,958 5,400 Questar Corp. 193,752 5,390 Health Care Properties Investors REIT 140,057 5,364 Lafarge North America Inc. 162,832 5,349 Fluor Corp. 190,301 5,328 Omnicare, Inc. 223,501 5,326 Fair, Isaac & Co. Inc. 124,539 5,318 * Hispanic Broadcasting Corp. 258,600 5,314 Brown & Brown, Inc. 164,164 5,306 * Triad Hospitals, Inc. 177,572 5,297 * Apogent Technologies Inc. 254,122 5,286 Adolph Coors Co. Class B 86,194 5,279 * Ameritrade Holding Corp. 931,093 5,270 * Hearst-Argyle Television Inc. 218,399 5,266 Maytag Corp. 184,626 5,262 Valspar Corp. 118,962 5,256 * Advanced Micro Devices, Inc. 813,201 5,253 * CIENA Corp. 1,020,760 5,247 Sonoco Products Co. 228,670 5,243 SuperValu Inc. 317,490 5,242 Wesco Financial Corp. 16,883 5,233 W.R. Berkley Corp. 131,824 5,222 Hospitality Properties Trust REIT 147,983 5,209 City National Corp. 118,363 5,207 Equitable Resources, Inc. 148,422 5,201 * PanAmSat Corp. 354,786 5,194 * Lear Corp. 155,557 5,177 American National Insurance Co. 62,638 5,138 * Smithfield Foods, Inc. 258,734 5,133 Noble Energy, Inc. 135,703 5,096 * Ticketmaster Class B 240,111 5,095 * U.S. Cellular Corp. 203,630 5,095 * LSI Logic Corp. 882,529 5,092 Capitol Federal Financial 176,772 5,091 * Constellation Brands, Inc. Class A 214,584 5,088 Winn-Dixie Stores, Inc. 332,900 5,087 * Owens-Illinois, Inc. 348,553 5,082 * Ceridian Corp. 351,300 5,066 * Toys R Us, Inc. 504,258 5,043 Bank of Hawaii Corp. 165,778 5,038 Rowan Cos., Inc. 221,711 5,033 * Citrix Systems, Inc. 408,083 5,028 Goodrich Corp. 272,470 4,992 * Mandalay Resort Group 162,969 4,988 * Michaels Stores, Inc. 159,350 4,988 KB HOME 116,143 4,977 Wilmington Trust Corp. 155,752 4,934 * Level 3 Communications, Inc. 1,001,167 4,906 Leucadia National Corp. 131,087 4,891 Northeast Utilities 321,778 4,881 Doral Financial Corp. 170,308 4,871 Meredith Corp. 118,039 4,853 7 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Pall Corp. 290,740 $ 4,850 Puget Energy, Inc. 219,640 4,843 * Newfield Exploration Co. 134,300 4,842 Mercury General Corp. 128,630 4,834 PepsiAmericas, Inc. 358,692 4,817 * Community Health Systems, Inc. 233,885 4,816 * Rational Software Corp. 463,111 4,812 Lyondell Chemical Co. 379,842 4,801 * AdvancePCS 215,400 4,784 * Markel Corp. 23,279 4,784 * Pride International, Inc. 319,355 4,758 * Abercrombie & Fitch Co. 232,356 4,754 Hasbro, Inc. 409,519 4,730 * Allied Waste Industries, Inc. 471,758 4,718 International Speedway Corp. 126,507 4,717 * Henry Schein, Inc. 104,654 4,709 Unitrin, Inc. 161,003 4,705 J.M. Smucker Co. 117,473 4,677 Viad Corp. 209,153 4,675 Eaton Vance Corp. 164,809 4,656 Hubbell Inc. Class B 132,475 4,655 Student Loan Corp. 47,506 4,646 Allete, Inc. 203,189 4,608 * Intersil Corp. 330,475 4,607 Ashland, Inc. 161,448 4,606 * Jacobs Engineering Group Inc. 129,294 4,603 Dial Corp. 225,942 4,602 Bausch & Lomb, Inc. 127,662 4,596 DPL Inc. 299,274 4,591 Harman International Industries, Inc. 76,754 4,567 Weingarten Realty Investors REIT 123,570 4,555 * BISYS Group, Inc. 285,400 4,538 * Packaging Corp. of America 247,882 4,521 * VeriSign, Inc. 563,679 4,521 Symbol Technologies, Inc. 548,194 4,506 Protective Life Corp. 163,214 4,492 Regency Centers Corp. REIT 138,578 4,490 Tidewater Inc. 144,195 4,484 * Comverse Technology, Inc. 446,082 4,470 * 99 Cents Only Stores 165,877 4,455 * Providian Financial Corp. 683,546 4,436 * Krispy Kreme Doughnuts, Inc. 131,140 4,429 * Accredo Health, Inc. 125,373 4,419 * SICOR, Inc. 278,517 4,414 * Ingram Micro, Inc. Class A 356,398 4,402 New Plan Excel Realty Trust REIT 230,336 4,397 MDU Resources Group, Inc. 170,290 4,395 * CarMax, Inc. 244,216 4,367 * Career Education Corp. 108,988 4,360 * The Cheesecake Factory 120,509 4,356 Dole Food Co. 133,701 4,356 Beckman Coulter, Inc. 147,477 4,354 Scientific-Atlanta, Inc. 366,001 4,341 FirstMerit Corp. 200,240 4,337 * Compuware Corp. 894,531 4,294 * Manor Care, Inc. 229,623 4,273 Fulton Financial Corp. 241,707 4,269 Crescent Real Estate, Inc. REIT 256,020 4,260 * BOK Financial Corp. 131,435 4,257 Brunswick Corp. 213,449 4,239 * Vishay Intertechnology, Inc. 378,762 4,235 Investors Financial Services Corp. 153,662 4,209 * National-Oilwell, Inc. 192,022 4,194 * NVIDIA Corp. 364,025 4,190 Reynolds & Reynolds Class A 164,401 4,187 * Columbia Sportswear Co. 94,153 4,182 RPM International, Inc. 273,647 4,181 * Reebok International Ltd. 142,151 4,179 Sky Financial Group, Inc. 209,727 4,176 * E*TRADE Group, Inc. 858,440 4,172 Dana Corp. 353,244 4,154 * Rent-A-Center, Inc. 83,160 4,154 Harris Corp. 157,802 4,150 Pier 1 Imports Inc. 219,154 4,149 * Coventry Health Care Inc. 142,565 4,139 United Dominion Realty Trust REIT 252,873 4,137 Mack-Cali Realty Corp. REIT 136,452 4,134 * Advance Auto Parts, Inc. 84,400 4,127 * Charles River Laboratories, Inc. 106,897 4,113 * Catellus Development Corp. 206,969 4,108 * JetBlue Airways Corp. 151,264 4,084 AVX Corp. 412,580 4,043 * 3Com Corp. 873,234 4,043 Harte-Hanks, Inc. 216,386 4,040 Pentair, Inc. 116,862 4,038 * Celgene Corp. 187,124 4,018 * Swift Transportation Co., Inc. 200,642 4,016 * STERIS Corp. 165,294 4,008 Teleflex Inc. 93,118 3,994 * Varco International, Inc. 229,464 3,993 Cullen/Frost Bankers, Inc. 121,656 3,978 * Saks Inc. 338,458 3,973 HON Industries, Inc. 140,334 3,969 * Certegy, Inc. 161,548 3,966 * Humana Inc. 395,341 3,953 * ADC Telecommunications, Inc. 1,890,270 3,951 * HealthSouth Corp. 940,381 3,950 * AGCO Corp. 178,679 3,949 National Fuel Gas Co. 189,998 3,939 * National Instruments Corp. 121,223 3,939 Clayton Homes Inc. 323,236 3,937 8 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Del Monte Foods Co. 510,951 $ 3,934 Forest City Enterprise Class A 117,686 3,925 * Fisher Scientific International Inc. 130,254 3,918 * Corinthian Colleges, Inc. 103,314 3,911 * Millipore Corp. 114,823 3,904 CNF Inc. 117,076 3,892 Snap-On Inc. 138,362 3,889 * AES Corp. 1,287,694 3,889 Webster Financial Corp. 111,668 3,886 Cabot Corp. 146,282 3,882 * Getty Images, Inc. 126,855 3,875 * Invitrogen Corp. 123,692 3,870 * Pharmaceutical Product Development, Inc. 131,891 3,860 * Amphenol Corp. 101,030 3,839 Autodesk, Inc. 267,656 3,827 Hawaiian Electric Industries Inc. 86,890 3,821 Nationwide Financial Services, Inc. 133,361 3,821 * Chico's FAS, Inc. 201,202 3,805 First American Corp. 171,232 3,801 * Overture Services, Inc. 139,093 3,799 American Financial Group, Inc. 164,144 3,787 Annaly Mortgage Management Inc. REIT 201,403 3,786 * GTECH Holdings Corp. 135,538 3,776 Donaldson Co., Inc. 104,703 3,769 Tootsie Roll Industries, Inc. 122,749 3,766 Talbots Inc. 136,760 3,765 Waddell & Reed Financial, Inc. 191,360 3,764 * LaBranche & Co. Inc. 141,242 3,763 Washington Federal Inc. 150,932 3,751 * Tektronix, Inc. 206,051 3,748 Lubrizol Corp. 121,908 3,718 Circuit City Stores, Inc. 500,339 3,713 * Aramark Corp. Class B 157,954 3,712 Great Plains Energy, Inc. 161,801 3,702 Vectren Corp. 160,359 3,688 CBRL Group, Inc. 122,238 3,683 * Mid Atlantic Medical Services, Inc. 113,469 3,676 * Valassis Communications, Inc. 124,898 3,676 People's Bank 146,064 3,672 * DaVita, Inc. 148,414 3,661 HCC Insurance Holdings, Inc. 148,480 3,653 * Navistar International Corp. 150,070 3,648 Peabody Energy Corp. 124,679 3,644 The Macerich Co. REIT 118,418 3,641 * Edwards Lifesciences Corp. 142,892 3,639 * Big Lots Inc. 275,082 3,639 * Performance Food Group Co. 106,973 3,633 * Renal Care Group, Inc. 114,677 3,628 * Emulex Corp. 194,923 3,616 BancorpSouth, Inc. 185,947 3,611 Alliant Energy Corp. 217,828 3,605 * Tech Data Corp. 133,534 3,600 * Zebra Technologies Corp. Class A 62,818 3,599 * Scios, Inc. 110,414 3,597 Martin Marietta Materials, Inc. 116,266 3,565 Roslyn Bancorp, Inc. 197,593 3,563 NICOR Inc. 104,124 3,543 Lee Enterprises, Inc. 105,685 3,543 Delta Air Lines, Inc. 292,159 3,535 John Wiley & Sons Class A 146,770 3,524 * Foot Locker, Inc. 334,769 3,515 * MEMC Electronic Materials, Inc. 463,633 3,510 Reader's Digest Association, Inc. 232,166 3,506 Trustmark Corp. 147,241 3,494 Boise Cascade Corp. 138,428 3,491 Colonial BancGroup, Inc. 292,576 3,490 * Covance, Inc. 141,599 3,482 * Medicis Pharmaceutical Corp. 70,100 3,482 Old National Bancorp 143,014 3,475 * Scotts Co. 70,615 3,463 * ICOS Corp. 147,146 3,445 Independence Community Bank Corp. 135,265 3,433 StanCorp Financial Group, Inc. 69,847 3,412 * Quintiles Transnational Corp. 280,780 3,397 Lancaster Colony Corp. 86,878 3,395 Raymond James Financial, Inc. 114,681 3,392 Developers Diversified Realty Corp. REIT 154,187 3,391 * Toll Brothers, Inc. 166,800 3,369 BRE Properties Inc. Class A REIT 107,486 3,354 * Grant Prideco, Inc. 287,768 3,350 * Kinder Morgan Management, LLC 106,018 3,349 * Scholastic Corp. 92,960 3,342 Trizec Properties, Inc. REIT 355,716 3,340 Williams Cos., Inc. 1,233,825 3,331 * Advanced Fibre Communications, Inc. 199,705 3,331 * SanDisk Corp. 163,920 3,328 Arden Realty Group, Inc. REIT 150,191 3,327 * Expedia Inc. 49,656 3,323 * Neurocrine Biosciences, Inc. 72,780 3,323 Hudson United Bancorp 106,686 3,318 Ryder System, Inc. 147,613 3,312 Philadelphia Suburban Corp. 160,612 3,309 Helmerich & Payne, Inc. 118,493 3,307 Media General, Inc. Class A 55,121 3,305 * Glamis Gold, Ltd. 291,000 3,300 OGE Energy Corp. 187,035 3,292 * Extended Stay America, Inc. 222,852 3,287 La-Z-Boy Inc. 136,965 3,284 9 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Chelsea Property Group REIT 98,322 $ 3,275 Herman Miller, Inc. 177,524 3,266 AGL Resources Inc. 134,311 3,264 * Acxiom Corp. 212,119 3,262 Peoples Energy Corp. 84,298 3,258 Park National Corp. 32,973 3,258 Werner Enterprises, Inc. 151,000 3,251 CMS Energy Corp. 342,379 3,232 Graco, Inc. 112,639 3,227 BorgWarner, Inc. 63,964 3,225 CONSOL Energy, Inc. 186,535 3,223 * LAM Research Corp. 297,548 3,214 * J.D. Edwards & Co. 284,836 3,213 Westamerica Bancorporation 79,756 3,205 * Meridian Gold Co. 181,556 3,201 Dillard's Inc. 201,567 3,197 United States Steel Corp. 243,306 3,192 * Furniture Brands International Inc. 133,723 3,189 * O'Reilly Automotive, Inc. 126,079 3,189 Polaris Industries, Inc. 54,322 3,183 Reinsurance Group of America, Inc. 117,486 3,181 * FMC Technologies Inc. 155,575 3,178 Whitney Holdings Corp. 94,973 3,165 * Affymetrix, Inc. 138,155 3,162 CarrAmerica Realty Corp. REIT 125,905 3,154 * Education Management Corp. 83,703 3,147 CenterPoint Properties Corp. REIT 54,976 3,142 * Gemstar-TV Guide International, Inc. 965,576 3,138 Staten Island Bancorp, Inc. 155,662 3,135 * Amylin Pharmaceuticals, Inc. 193,771 3,127 Worthington Industries, Inc. 204,400 3,115 * Timberland Co. 87,381 3,112 Camden Property Trust REIT 94,131 3,106 * BearingPoint, Inc. 449,143 3,099 Ethan Allen Interiors, Inc. 90,113 3,097 * Forest Oil Corp. 111,763 3,090 * TIBCO Software Inc. 499,865 3,089 * Borders Group, Inc. 191,741 3,087 * Avnet, Inc. 284,493 3,081 Chesapeake Energy Corp. 396,787 3,071 Harsco Corp. 96,083 3,064 * BJ's Wholesale Club, Inc. 166,874 3,054 Applebee's International, Inc. 131,460 3,049 * Arrow Electronics, Inc. 238,230 3,047 * Alleghany Corp. 17,152 3,044 Ametek Aerospace Products Inc. 78,857 3,035 * Sybase, Inc. 226,267 3,032 Carlisle Co., Inc. 73,097 3,025 * Crown Cork & Seal Co., Inc. 380,307 3,023 Precision Castparts Corp. 124,168 3,011 Provident Financial Group, Inc. 115,489 3,006 * Rite Aid Corp. 1,226,970 3,006 * CheckFree Corp. 187,256 2,996 First Midwest Bancorp, Inc. 112,138 2,995 * TMP Worldwide, Inc. 264,668 2,993 Mills Corp. REIT 102,023 2,993 * Fairchild Semiconductor Corp. 278,815 2,986 * Interactive Data Corp. 216,912 2,983 Rayonier Inc. 65,679 2,972 * Agere Systems Inc. Class A 2,057,328 2,963 Blyth, Inc. 110,491 2,957 International Bancshares Corp. 74,860 2,953 * Western Digital Corp. 461,645 2,950 * Imation Corp. 84,073 2,949 * Airgas, Inc. 170,478 2,941 * Cytyc Corp. 288,231 2,940 WPS Resources Corp. 75,665 2,937 * RF Micro Devices, Inc. 400,621 2,937 * Calpine Corp. 900,128 2,934 * Integrated Circuit Systems, Inc. 160,635 2,932 United Bankshares, Inc. 100,578 2,923 * ADTRAN Inc. 88,800 2,922 Healthcare Realty Trust Inc. REIT 99,814 2,920 Hilb, Rogal and Hamilton Co. 71,250 2,914 Pan Pacific Retail Properties, Inc. REIT 79,700 2,911 * Maxtor Corp. 575,121 2,910 * Apria Healthcare Group Inc. 130,743 2,908 Realty Income Corp. REIT 83,066 2,907 IMC Global Inc. 272,425 2,907 Western Gas Resources, Inc. 78,847 2,906 * Novell, Inc. 869,515 2,904 * Stericycle, Inc. 89,646 2,903 * Barnes & Noble, Inc. 160,169 2,894 Church & Dwight, Inc. 94,898 2,888 * Vertex Pharmaceuticals, Inc. 182,126 2,887 Federal Realty Investment Trust REIT 102,627 2,886 Commerce Group, Inc. 76,759 2,878 Kennametal, Inc. 83,473 2,878 Florida Rock Industries, Inc. 75,373 2,868 The Timken Co. 149,781 2,861 Cousins Properties, Inc. REIT 115,621 2,856 F.N.B. Corp. 103,553 2,851 Great Lakes Chemical Corp. 119,037 2,843 The Goodyear Tire & Rubber Co. 416,829 2,839 * The Corporate Executive Board Co. 88,729 2,832 * Premcor, Inc. 127,400 2,832 CBL & Associates Properties, Inc. REIT 70,685 2,831 Albemarle Corp. 99,414 2,828 10 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Cree, Inc. 172,388 $ 2,819 * Techne Corp. 98,504 2,814 Crane Co. 141,139 2,813 Highwood Properties, Inc. REIT 127,179 2,811 * International Rectifier Corp. 152,198 2,810 * Skyworks Solutions, Inc. 325,645 2,807 * AmeriCredit Corp. 362,553 2,806 * LifePoint Hospitals, Inc. 93,643 2,803 Global Payments Inc. 87,521 2,802 * American Axle & Manufacturing Holdings, Inc. 118,842 2,783 Cummins Inc. 98,662 2,775 * Perot Systems Corp. 258,707 2,773 * Payless ShoeSource, Inc. 53,862 2,772 Piedmont Natural Gas, Inc. 78,387 2,771 * CTI Molecular Imaging, Inc. 112,296 2,769 * NBTY, Inc. 157,321 2,766 ONEOK, Inc. 143,920 2,763 WGL Holdings Inc. 115,343 2,759 UGI Corp. Holding Co. 73,670 2,755 * DeVry, Inc. 165,741 2,753 * J.B. Hunt Transport Services, Inc. 93,588 2,742 * Key Energy Services, Inc. 305,609 2,741 * The Chicago Mercantile Exchange 62,700 2,737 * IDEXX Laboratories Corp. 82,063 2,733 Superior Industries International, Inc. 66,025 2,731 * Cabot Microelectronics Corp. 57,818 2,729 Odyssey Re Holdings Corp. 154,100 2,728 * Heartland Express, Inc. 118,482 2,715 Roper Industries Inc. 74,151 2,714 Jefferies Group, Inc. 64,238 2,696 Arch Coal, Inc. 124,874 2,696 ArvinMeritor, Inc. 161,597 2,694 * Human Genome Sciences, Inc. 305,763 2,694 The MONY Group Inc. 112,171 2,685 DQE Inc. 176,136 2,684 Cooper Tire & Rubber Co. 174,706 2,680 W Holding Co., Inc. 163,297 2,680 AptarGroup Inc. 85,644 2,676 Regis Corp. 102,902 2,674 GATX Corp. 116,945 2,669 * Agere Systems Inc. Class B 1,900,700 2,661 Shurgard Storage Centers, Inc. Class A REIT 84,860 2,660 * Applied Micro Circuits Corp. 717,935 2,649 * Emmis Communications, Inc. 127,101 2,648 AmerUs Group Co. 93,369 2,640 Diagnostic Products Corp. 68,274 2,637 First Citizens BancShares Class A 27,270 2,634 * Westport Resources Corp. 126,604 2,633 * Viacom Inc. Class A 64,474 2,631 * Cerner Corp. 84,038 2,627 * The Neiman Marcus Group, Inc. Class A 86,401 2,626 Ruby Tuesday, Inc. 151,704 2,623 Prentiss Properties Trust REIT 92,622 2,619 * Cymer, Inc. 81,111 2,616 * West Corp. 157,367 2,612 Citizens Banking Corp. 105,208 2,607 Speedway Motorsports, Inc. 100,926 2,602 Downey Financial Corp. 66,544 2,595 * Affiliated Managers Group, Inc. 51,585 2,595 * Copart, Inc. 218,577 2,588 First Industrial Realty Trust REIT 92,382 2,587 Claire's Stores, Inc. 116,746 2,577 * Investment Technology Group, Inc. 114,692 2,565 * Waste Connections, Inc. 66,361 2,562 Corn Products International, Inc. 84,770 2,554 * IndyMac Bancorp, Inc. REIT 138,124 2,554 * ITT Educational Services, Inc. 108,426 2,553 Jack Henry & Associates Inc. 211,869 2,551 * Polo Ralph Lauren Corp. 116,838 2,542 IDEX Corp. 77,575 2,537 Community First Bankshares, Inc. 95,765 2,534 * Zale Corp. 79,400 2,533 * Cytec Industries, Inc. 92,807 2,532 Fresh Del Monte Produce Inc. 133,841 2,531 Sensient Technologies Corp. 112,492 2,528 Alexander & Baldwin, Inc. 97,948 2,526 21st Century Insurance Group 201,307 2,520 Health Care Inc. REIT 92,830 2,511 HRPT Properties Trust REIT 304,696 2,511 * Intergraph Corp. 141,353 2,510 Atmos Energy Corp. 107,365 2,504 Commercial Federal Corp. 106,972 2,498 PerkinElmer, Inc. 302,457 2,495 Thornburg Mortgage, Inc. REIT 124,000 2,492 * Fossil, Inc. 122,295 2,487 * American Greetings Corp. Class A 157,375 2,487 IKON Office Solutions, Inc. 347,751 2,486 Oshkosh Truck Corp. 40,408 2,485 * Andrx Group 169,370 2,485 Reckson Associates Realty Corp. REIT 117,942 2,483 * Pacific Sunwear of California, Inc. 140,216 2,480 * Hotels.com Class A 45,065 2,462 * Landstar System, Inc. 42,178 2,462 Texas Regional Bancshares, Inc. 69,208 2,460 Heritage Property Investment Trust REIT 98,420 2,458 * Atmel Corp. 1,102,009 2,457 * AMR Corp. 371,846 2,454 11 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * IGEN International, Inc. 57,018 $ 2,443 Invacare Corp. 73,361 2,443 * Gateway, Inc. 774,595 2,432 * CACI International, Inc. 68,148 2,429 Hollinger International, Inc. 238,977 2,428 * Station Casinos, Inc. 137,001 2,425 * Respironics, Inc. 79,509 2,420 MDC Holdings, Inc. 63,084 2,414 Energen Corp. 82,913 2,413 * Nextel Partners, Inc. 397,241 2,411 * Pediatrix Medical Group, Inc. 60,167 2,410 Callaway Golf Co. 181,866 2,410 * Alliance Gaming Corp. 141,384 2,408 * ResMed Inc. 78,706 2,406 * Panera Bread Co. 69,016 2,402 * PacifiCare Health Systems, Inc. 85,301 2,397 * Avocent Corp. 107,831 2,396 * Catalina Marketing Corp. 129,402 2,394 * Red Hat, Inc. 404,711 2,392 * Priority Healthcare Corp. Class B 102,993 2,389 York International Corp. 93,363 2,387 * Andrew Corp. 232,069 2,386 * Linens 'n Things, Inc. 105,504 2,384 Washington REIT 93,371 2,381 Pittston Brink's Group 128,331 2,372 * Arbitron Inc. 70,567 2,364 * American Eagle Outfitters, Inc. 171,454 2,363 * Service Corp. International 708,750 2,353 Ferro Corp. 96,154 2,349 Thor Industries, Inc. 68,058 2,343 Lincoln Electric Holdings, Inc. 101,214 2,343 * Pharmaceutical Resources, Inc. 78,564 2,341 * Tom Brown, Inc. 93,227 2,340 * Thomas & Betts Corp. 138,309 2,337 * Activision, Inc. 160,114 2,336 * Lattice Semiconductor Corp. 265,782 2,331 * Bio-Rad Laboratories, Inc. Class A 60,212 2,330 * Southwest Bancorporation of Texas, Inc. 80,484 2,319 * Varian, Inc. 80,617 2,313 Arrow International, Inc. 56,656 2,304 * Brocade Communications Systems, Inc. 556,042 2,302 Ventas, Inc. REIT 200,956 2,301 SL Green Realty Corp. REIT 72,487 2,291 LNR Property Corp. 64,566 2,286 FactSet Research Systems Inc. 80,722 2,282 * Hercules, Inc. 258,891 2,278 * FTI Consulting, Inc. 56,712 2,277 * FMC Corp. 83,108 2,270 * Cox Radio, Inc. 99,496 2,269 * Polycom, Inc. 238,108 2,267 Universal Corp. (VA) 61,295 2,265 Allegheny Energy, Inc. 298,231 2,255 Alfa Corp. 187,504 2,252 Valhi, Inc. 270,848 2,248 * Houston Exploration Co. 73,390 2,246 * R.H. Donnelley Corp. 76,508 2,242 IDACORP, Inc. 90,157 2,239 * Quest Software, Inc. 217,060 2,238 * Anteon International Corp. 93,148 2,236 The Toro Co. 34,903 2,230 Essex Property Trust, Inc. REIT 43,701 2,222 * Syntel, Inc. 105,675 2,220 PNM Resources Inc. 93,183 2,220 * Reliant Resources, Inc. 693,110 2,218 * Cimarex Energy Co. 123,864 2,217 * United Stationers, Inc. 76,887 2,214 * Mueller Industries Inc. 81,208 2,213 Federal Signal Corp. 113,716 2,208 * Silicon Laboratories Inc. 115,725 2,208 Home Properties of New York, Inc. REIT 63,860 2,200 * Radio One, Inc. Class D 152,170 2,196 Briggs & Stratton Corp. 51,701 2,196 * Trimeris, Inc. 50,839 2,191 * AnnTaylor Stores Corp. 107,228 2,190 * Take-Two Interactive Software, Inc. 93,064 2,186 ICN Pharmaceuticals, Inc. 200,027 2,182 * P.F. Chang's China Bistro, Inc. 59,900 2,174 * Southern Union Co. 131,548 2,171 Hancock Holding Co. 48,468 2,164 The South Financial Group, Inc. 104,660 2,162 * Interdigital Communications Corp. 148,084 2,156 * Boyd Gaming Corp. 153,342 2,154 MAF Bancorp, Inc. 63,383 2,151 First Bancorp/Puerto Rico 95,023 2,148 * Internet Security Systems, Inc. 117,116 2,147 * Hollywood Entertainment Corp. 142,117 2,146 Wallace Computer Services, Inc. 99,693 2,144 Visteon Corp. 308,079 2,144 UCBH Holdings, Inc. 50,272 2,134 Greater Bay Bancorp 123,387 2,133 * K-V Pharmaceutical Co. Class A 91,943 2,133 Regal Entertainment Group Class A 99,372 2,128 Mentor Corp. 55,284 2,128 * Evergreen Resources, Inc. 47,409 2,126 Olin Corp. 136,413 2,121 * SEACOR SMIT Inc. 47,624 2,119 Pacific Capital Bancorp 83,170 2,117 FBR Asset Investment Corp. REIT 62,364 2,114 Post Properties, Inc. REIT 88,456 2,114 12 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Cal Dive International, Inc. 89,601 $ 2,106 Brady Corp. Class A 63,123 2,105 * Stone Energy Corp. 63,024 2,102 Patina Oil & Gas Corp. 66,365 2,100 Black Box Corp. 46,870 2,100 * Avaya Inc. 857,030 2,100 Taubman Co. REIT 129,334 2,099 CVB Financial Corp. 82,522 2,099 Kelly Services, Inc. Class A 84,911 2,098 * Journal Register Co. 117,756 2,094 Tupperware Corp. 138,795 2,093 * Electronics for Imaging, Inc. 128,494 2,089 American Capital Strategies, Ltd. 96,778 2,089 * Protein Design Labs, Inc. 245,422 2,086 * Knight Transportation, Inc. 99,318 2,086 * Borland Software Corp. 169,395 2,084 * Choice Hotel International, Inc. 91,741 2,083 Minerals Technologies, Inc. 48,232 2,081 Georgia Gulf Corp. 89,862 2,079 * NPS Pharmaceuticals Inc. 82,579 2,079 * Anixter International Inc. 89,365 2,078 * US Oncology, Inc. 239,115 2,073 Trinity Industries, Inc. 109,248 2,071 * The Yankee Candle Co., Inc. 129,455 2,071 * Integrated Device Technology Inc. 247,404 2,071 * Hyperion Solutions Corp. 80,636 2,070 Ryland Group, Inc. 61,844 2,062 * Hot Topic, Inc. 89,984 2,059 Clarcor Inc. 63,677 2,055 * Tractor Supply Co. 54,628 2,054 * Perrigo Co. 168,634 2,049 East West Bancorp, Inc. 56,748 2,047 * AK Steel Corp. 255,906 2,047 * Arch Capital Group Ltd. 65,664 2,047 G & K Services, Inc. Class A 57,760 2,045 * WFS Financial, Inc. 97,746 2,044 New Jersey Resources Corp. 64,597 2,041 * Earthlink, Inc. 373,776 2,037 * Ultra Petroleum Corp. 205,493 2,034 * Unit Corp. 109,492 2,031 * Foundry Networks, Inc. 288,124 2,028 UMB Financial Corp. 52,987 2,027 Weis Markets, Inc. 65,124 2,022 * Kroll Inc. 105,837 2,019 * MKS Instruments, Inc. 122,729 2,016 Delphi Financial Group, Inc. 52,926 2,009 Cooper Cos., Inc. 80,272 2,008 * CEC Entertainment Inc. 65,407 2,008 * PEC Solutions, Inc. 67,096 2,006 * Veridian Corp. 93,968 2,005 Cabot Oil & Gas Corp. 80,763 2,001 * Louisiana-Pacific Corp. 247,838 1,998 * Commonwealth Telephone Enterprises, Inc. 55,566 1,991 * FLIR Systems, Inc. 40,748 1,988 * National Processing, Inc. 123,865 1,988 * Avid Technology, Inc. 86,356 1,982 * CSG Systems International, Inc. 145,104 1,981 * Cypress Semiconductor Corp. 345,018 1,973 Nordson Corp. 79,403 1,972 * Micrel, Inc. 219,419 1,970 Airborne, Inc. 132,390 1,963 * United Rentals, Inc. 182,427 1,963 Bob Evans Farms, Inc. 83,896 1,959 Susquehanna Bancshares, Inc. 93,986 1,959 * Pinnacle Systems, Inc. 143,713 1,956 * Sonic Corp. 95,330 1,953 Tecumseh Products Co. Class A 44,251 1,953 * Entravision Communications Corp. 195,562 1,952 * Regeneron Pharmaceuticals, Inc. 105,395 1,951 * BlackRock, Inc. 49,460 1,949 Westcorp, Inc. 92,795 1,949 * Benchmark Electronics, Inc. 67,712 1,941 Liberty Corp. 49,992 1,940 * Sepracor Inc. 200,480 1,939 Chittenden Corp. 75,995 1,936 * Flowserve Corp. 130,915 1,936 Alexandria Real Estate Equities, Inc. REIT 45,400 1,934 * InterMune Inc. 75,676 1,930 * The Titan Corp. 185,359 1,928 N L Industries, Inc. 113,316 1,926 * Ralcorp Holdings, Inc. 76,597 1,926 Roadway Corp. 52,304 1,925 * Applera Corp.- Celera Genomics Group 201,588 1,925 Brookline Bancorp, Inc. 161,647 1,924 * Macrovision Corp. 119,874 1,923 Delta & Pine Land Co. 94,200 1,923 * Semtech Corp. 176,041 1,922 Standard Pacific Corp. 77,642 1,922 * Too Inc. 81,529 1,918 * SCP Pool Corp. 65,640 1,917 * Silicon Valley Bancshares 104,963 1,916 Coca-Cola Bottling Co. 29,683 1,915 * McDATA Corp. Class A 269,569 1,914 * Crown Castle International Corp. 509,221 1,910 * Simpson Manufacturing Co. 58,000 1,908 Central Parking Corp. 101,023 1,905 * Cognex Corp. 103,221 1,902 * Fidelity National Information Solutions, Inc. 110,264 1,902 * EGL, Inc. 133,446 1,902 TrustCo Bank NY 176,291 1,900 13 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Longs Drug Stores, Inc. 91,601 $ 1,900 Banta Corp. 60,748 1,900 St. Mary Land & Exploration Co. 75,928 1,898 * Varian Semiconductor Equipment Associates, Inc. 79,880 1,898 First Niagara Financial Group, Inc. 72,632 1,897 Burlington Coat Factory Warehouse Corp. 105,592 1,895 Rollins, Inc. 74,397 1,893 * Jack in the Box Inc. 109,428 1,892 Cambrex Corp. 62,543 1,889 Harleysville Group, Inc. 71,392 1,887 * Mediacom Communications Corp. 214,064 1,886 * Cobalt Corp. 136,637 1,886 CH Energy Group, Inc. 40,404 1,884 * Spinnaker Exploration Co. 85,440 1,884 * 7-Eleven, Inc. 251,007 1,883 Grey Global Group Inc. 3,076 1,880 * EMCOR Group, Inc. 35,432 1,878 S & T Bancorp, Inc. 74,971 1,878 * Amkor Technology, Inc. 394,437 1,878 * Endo Pharmaceuticals Holdings, Inc. 243,534 1,875 A.O. Smith Corp. 69,416 1,875 * Sylvan Learning Systems, Inc. 114,293 1,874 * Kronos, Inc. 50,557 1,870 * American Tower Corp. Class A 529,731 1,870 * Beazer Homes USA, Inc. 30,856 1,870 * ImClone Systems, Inc. 175,468 1,864 Vintage Petroleum, Inc. 176,582 1,863 Southwest Gas Corp. 79,418 1,862 * Sycamore Networks, Inc. 644,007 1,861 USFreightways Corp. 64,712 1,860 Interstate Bakeries Corp. 121,982 1,860 * Ohio Casualty Corp. 143,640 1,860 * Parametric Technology Corp. 737,593 1,859 * United Online, Inc. 116,471 1,857 * DoubleClick Inc. 327,125 1,852 * UICI 119,065 1,851 * Abgenix, Inc. 251,096 1,851 Waypoint Financial Corp. 103,958 1,850 * ADVO, Inc. 56,358 1,850 John H. Harland Co. 83,371 1,845 * Philadelphia Consolidated Holding Corp. 52,097 1,844 * Mercury Computer Systems, Inc. 60,351 1,842 H.B. Fuller Co. 71,158 1,842 Fred's, Inc. 71,608 1,840 * BroadWing Inc. 521,839 1,837 Wabtec Corp. 130,822 1,837 * Oakley, Inc. 177,975 1,828 Flagstar Bancorp, Inc. 84,593 1,827 Brandywine Realty Trust REIT 83,778 1,827 Colonial Properties Trust REIT 53,781 1,825 MacDermid, Inc. 79,803 1,823 * Macromedia, Inc. 170,949 1,821 * American Italian Pasta Co. 50,536 1,818 ABM Industries Inc. 117,284 1,818 Centex Construction Products, Inc. 51,714 1,818 Kaydon Corp. 85,657 1,817 * AMN Healthcare Services, Inc. 107,240 1,813 * Cognizant Technology Solutions Corp. 25,100 1,813 * SERENA Software, Inc. 114,610 1,810 * Arkansas Best Corp. 69,624 1,809 * Mirant Corp. 956,039 1,807 Otter Tail Corp. 67,082 1,805 LandAmerica Financial Group, Inc. 50,896 1,804 * Tekelec 172,637 1,804 New Century Financial Corp. 70,964 1,802 Overseas Shipholding Group Inc. 100,576 1,800 * KEMET Corp. 205,686 1,798 Bandag, Inc. 46,380 1,794 * The Medicines Co. 111,824 1,791 * Penn National Gaming, Inc. 112,868 1,790 * Price Communications Corp. 128,991 1,784 * MedQuist, Inc. 87,947 1,782 Skywest, Inc. 136,130 1,779 * Insight Communications Co., Inc. 143,468 1,776 First Financial Bancorp 108,205 1,774 Northwest Natural Gas Co. 65,532 1,773 * NetIQ Corp. 143,522 1,772 * Yellow Corp. 70,360 1,772 * Documentum, Inc. 112,964 1,769 Sierra Pacific Resources 272,070 1,768 * Syncor International Corp. 63,655 1,765 Manufactured Home Communities, Inc. REIT 59,513 1,763 * Kansas City Southern 146,492 1,758 * Oceaneering International, Inc. 71,011 1,757 Reliance Steel & Aluminum Co. 84,020 1,751 Nationwide Health Properties, Inc. REIT 117,251 1,751 Black Hills Corp. 66,006 1,750 * Quiksilver, Inc. 65,562 1,748 Winnebago Industries, Inc. 44,534 1,747 * Entegris Inc. 169,501 1,746 * Dionex Corp. 58,726 1,745 * Renaissance Learning, Inc. 92,314 1,745 The Phoenix Companies, Inc. 229,012 1,740 * WilTel Communications, Inc. 110,211 1,740 Cathay Bancorp, Inc. 45,794 1,740 Cleco Corp. 124,241 1,739 Massey Energy Co. 178,924 1,739 14 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Seagate Technology 161,800 $ 1,736 * Northwest Airlines Corp. Class A 236,219 1,734 * CUNO Inc. 52,339 1,733 * Barra, Inc. 57,152 1,733 * Hanover Compressor Co. 188,801 1,733 * Grey Wolf, Inc. 434,375 1,733 * Cumulus Media Inc. 116,497 1,732 * Cost Plus, Inc. 60,312 1,729 Chemical Financial Corp. 53,765 1,729 R.L.I. Corp. 61,950 1,728 * Adaptec, Inc. 305,760 1,728 Lennox International Inc. 137,622 1,727 * Dycom Industries, Inc. 130,335 1,727 * WebEx Communications, Inc. 115,098 1,726 * Rare Hospitality International Inc. 62,498 1,726 * AFC Enterprises, Inc. 82,103 1,725 Baldor Electric Co. 87,093 1,720 * Enzon Pharmaceuticals, Inc. 102,463 1,713 Charter Municipal Mortgage Acceptance Co. 98,610 1,713 * Denbury Resources, Inc. 151,232 1,709 * OSI Pharmaceuticals, Inc. 103,981 1,705 * Men's Wearhouse, Inc. 99,431 1,705 * Watson Wyatt & Co. Holdings 78,300 1,703 Harbor Florida Bancshares, Inc. 75,581 1,702 Wolverine World Wide, Inc. 112,108 1,694 * Biosite Inc. 49,775 1,693 Westar Energy, Inc. 170,982 1,693 Strayer Education, Inc. 29,389 1,690 * MSC Industrial Direct Co., Inc. Class A 95,128 1,689 State Auto Financial Corp. 108,730 1,685 * Martek Biosciences Corp. 66,922 1,684 Provident Bankshares Corp. 72,658 1,679 Casey's General Stores, Inc. 137,446 1,678 * Tetra Tech, Inc. 137,267 1,675 Harleysville National Corp. 62,648 1,674 * Universal Compression Holdings, Inc. 87,492 1,674 Northwest Bancorp, Inc. 113,068 1,672 * AmeriPath, Inc. 77,727 1,671 Chateau Communities, Inc. REIT 72,649 1,671 Franklin Electric, Inc. 34,736 1,668 NDCHealth Corp. 83,509 1,662 * Ascential Software Corp. 692,180 1,661 Sun Communities, Inc. REIT 45,360 1,659 * Siliconix, Inc. 70,867 1,658 * CDI Corp. 61,450 1,658 Matthews International Corp. 74,194 1,657 Russ Berrie and Co., Inc. 48,980 1,655 * Gaylord Entertainment Co. Class A 80,131 1,651 * Papa John's International, Inc. 59,047 1,646 * Steel Dynamics, Inc. 136,033 1,636 Crompton Corp. 274,931 1,636 * Tuesday Morning Corp. 95,397 1,631 UniSource Energy Corp. 94,245 1,629 * Knight Trading Group, Inc. 339,951 1,628 * Plantronics, Inc. 107,421 1,625 PS Business Parks, Inc. REIT 51,091 1,625 Corus Bankshares Inc. 37,185 1,623 * Manhattan Associates, Inc. 68,608 1,623 * Keane, Inc. 180,388 1,622 Ruddick Corp. 118,389 1,621 * Genta Inc. 210,609 1,620 * Inveresk Research Group Inc. 75,000 1,619 * IDX Systems Corp. 95,018 1,618 Potlatch Corp. 67,684 1,616 * Select Medical Corp. 119,594 1,613 * Genencor International Inc. 164,796 1,612 * INAMED Corp. 52,100 1,605 * Pre-Paid Legal Services, Inc. 61,126 1,602 First Commonwealth Financial Corp. 138,922 1,598 * Rambus Inc. 237,828 1,596 Churchill Downs, Inc. 41,715 1,593 City Holding Co. 56,179 1,587 Commercial Net Lease Realty REIT 103,427 1,586 * Ariba, Inc. 637,445 1,581 Republic Bancorp, Inc. 134,302 1,581 * Triarc Cos., Inc. Class A 60,202 1,580 Horace Mann Educators Corp. 102,899 1,577 * Nortek Holdings, Inc. 34,419 1,575 Farmer Brothers, Inc. 5,096 1,575 The Trust Co. of New Jersey 56,479 1,572 * Playtex Products, Inc. 158,562 1,567 Cato Corp. Class A 72,471 1,565 Gables Residential Trust REIT 62,708 1,563 * Hovnanian Enterprises Class A 49,274 1,562 * ProQuest Co. 79,666 1,561 La Quinta Corp. REIT 354,750 1,561 Kellwood Co. 59,832 1,556 CPB, Inc. 56,524 1,552 * Shaw Group, Inc. 94,176 1,549 * Maverick Tube Corp. 118,534 1,544 Wausau-Mosinee Paper Corp. 137,389 1,542 The Manitowac Co., Inc. 60,385 1,540 * Hutchinson Technology, Inc. 74,368 1,539 * Teletech Holdings Inc. 211,527 1,536 * Actuant Corp. 33,061 1,536 * Mentor Graphics Corp. 194,661 1,530 * THQ Inc. 115,435 1,530 Flowers Foods, Inc. 78,121 1,524 Regal-Beloit Corp. 73,508 1,522 15 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Inter-Tel, Inc. 72,585 $ 1,518 Capital Automotive REIT 63,993 1,517 * California Pizza Kitchen, Inc. 60,173 1,516 Hughes Supply, Inc. 55,478 1,516 Kimball International, Inc. Class B 106,117 1,512 Anthracite Capital Inc. REIT 138,661 1,511 Walter Industries, Inc. 139,505 1,511 Analogic Corp. 29,900 1,504 * DIANON Systems, Inc. 31,462 1,501 * Wright Medical Group, Inc. 85,968 1,501 Avista Corp. 129,585 1,498 Value Line, Inc. 34,468 1,497 Albany International Corp. 72,392 1,496 Granite Construction Co. 96,404 1,494 CARBO Ceramics Inc. 44,253 1,491 Great American Financial Resources, Inc. 86,664 1,491 * United Natural Foods, Inc. 58,800 1,491 Dime Community Bancshares 77,479 1,484 Sterling Bancshares, Inc. 121,206 1,481 BankAtlantic Bancorp, Inc. Class A 156,584 1,480 * Genesis Health Ventures, Inc. 95,437 1,475 * Offshore Logistics, Inc. 67,234 1,474 * CONMED Corp. 75,123 1,472 * United Defense Industries Inc. 63,100 1,470 Kilroy Realty Corp. REIT 63,621 1,466 * SurModics, Inc. 51,068 1,465 Owens & Minor, Inc. Holding Co. 89,169 1,464 Russell Corp. 87,356 1,462 * First Federal Financial Corp. 50,473 1,461 * CV Therapeutics, Inc. 80,006 1,458 Glimcher Realty Trust REIT 82,022 1,456 * OfficeMax, Inc. 290,971 1,455 * Teledyne Technologies, Inc. 92,401 1,449 Technitrol, Inc. 89,743 1,448 Amcore Financial, Inc. 66,714 1,448 Spartech Corp. 70,008 1,444 * Sybron Dental Specialties, Inc. 96,987 1,440 * RealNetworks, Inc. 377,875 1,440 Millennium Chemicals, Inc. 151,198 1,439 * Triad Guaranty, Inc. 39,010 1,438 Anchor Bancorp Wisconsin Inc. 69,264 1,437 * Sunrise Assisted Living, Inc. 57,729 1,437 * Quicksilver Resources, Inc. 63,887 1,433 * PSS World Medical, Inc. 209,101 1,430 * Net.Bank, Inc. 147,627 1,429 * Tejon Ranch Co. 48,072 1,428 FelCor Lodging Trust, Inc. REIT 124,661 1,426 Kansas City Life Insurance Co. 37,601 1,425 * The Gymboree Corp. 89,848 1,425 MGE Energy, Inc. 53,176 1,424 First Charter Corp. 79,085 1,424 * Haemonetics Corp. 66,267 1,422 * Ryan's Family Steak Houses, Inc. 125,062 1,419 * DRS Technologies, Inc. 45,160 1,415 Cubic Corp. 76,708 1,414 * Unilab Corp. 77,138 1,412 * Corrections Corp. of America REIT 82,146 1,409 * Dollar Thrifty Automotive Group, Inc. 6,496 1,406 * MAXIMUS, Inc. 53,861 1,406 * Hain Celestial Group, Inc. 92,388 1,404 * Triangle Pharmaceuticals, Inc. 235,951 1,402 Glatfelter 106,397 1,400 * AMERIGROUP Corp. 46,100 1,397 Glenborough Realty Trust, Inc. REIT 78,256 1,395 * Radio One, Inc. 95,116 1,391 FBL Financial Group, Inc. Class A 71,420 1,391 * Financial Federal Corp. 55,250 1,388 Holly Corp. 63,510 1,388 Alpharma, Inc. Class A 116,454 1,387 * CorVel Corp. 38,682 1,383 * Legato Systems, Inc. 274,888 1,383 Wintrust Financial Corp. 44,132 1,382 Modine Manufacturing Co. 77,940 1,378 * Chiquita Brands International, Inc. 103,845 1,377 * ValueVision Media, Inc. 91,918 1,377 First Sentinel Bancorp Inc. 95,633 1,376 Westbanco Inc. 58,783 1,375 Watsco, Inc. 83,571 1,369 * WMS Industries, Inc. 91,142 1,365 * InVision Technologies, Inc. 51,628 1,361 Redwood Trust, Inc. REIT 48,997 1,357 Riggs National Corp. 87,323 1,353 Florida East Coast Industries, Inc. Class A 58,256 1,352 * NCI Building Systems, Inc. 61,740 1,347 Texas Industries, Inc. 55,430 1,347 Mine Safety Appliances Co. 41,763 1,347 * PRIMEDIA Inc. 652,075 1,343 The Pep Boys (Manny, Moe & Jack) 115,615 1,341 * Coinstar, Inc. 59,039 1,337 * Jones Lang Lasalle Inc. 86,708 1,334 * 1-800 CONTACTS, Inc. 48,300 1,332 * ExpressJet Holdings, Inc. 129,896 1,331 * Progress Software Corp. 102,684 1,330 * GlobespanVirata, Inc. 301,302 1,329 * Infonet Services Corp. 669,857 1,326 Schweitzer-Mauduit International, Inc. 54,071 1,325 C & D Technologies, Inc. 74,278 1,312 Boston Private Financial Holdings, Inc. 66,054 1,312 16 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- The Laclede Group, Inc. 54,200 $ 1,312 * ATMI, Inc. 70,738 1,310 * TriQuint Semiconductor, Inc. 308,559 1,308 * Esterline Technologies Corp. 73,916 1,306 Summit Properties, Inc. REIT 73,287 1,305 Woodward Governor Co. 29,984 1,304 * PRG-Schultz International, Inc. 146,453 1,303 * IHOP Corp. 54,234 1,302 NBT Bancorp, Inc. 76,042 1,298 * Silicon Image, Inc. 216,331 1,298 UIL Holdings Corp. 37,183 1,297 * Adolor Corp. 94,454 1,296 * Palm Harbor Homes, Inc. 74,010 1,293 * Axcelis Technologies, Inc. 230,156 1,291 * Kirby Corp. 47,100 1,290 * Cyberonics, Inc. 70,062 1,289 EastGroup Properties, Inc. REIT 50,525 1,288 * Jo-Ann Stores, Inc. Class A 56,079 1,288 Santander BanCorp 99,031 1,287 A. Schulman Inc. 68,979 1,284 IRT Property Co. REIT 108,075 1,283 * Verity, Inc. 95,319 1,276 * DSP Group Inc. 80,546 1,274 Selective Insurance Group 50,583 1,274 * Old Dominion Freight Line, Inc. 44,899 1,273 * Superior Energy Services, Inc. 155,012 1,271 * Coherent, Inc. 63,677 1,270 * Eon Labs, Inc. 67,172 1,270 * MICROS Systems, Inc. 56,623 1,269 * Inhale Therapeutic Systems 157,022 1,269 * Atlantic Coast Airlines Holdings Inc. 105,220 1,266 * Insituform Technologies Inc. Class A 74,231 1,266 * Consolidated Graphics, Inc. 56,879 1,266 Town & Country Trust REIT 59,883 1,264 * Orthodontic Centers of America, Inc. 115,617 1,261 * Credence Systems Corp. 135,088 1,260 Brown Shoe Co., Inc. 52,890 1,260 * International Specialty Products, Inc. 123,359 1,259 * Power Integrations, Inc. 74,055 1,259 USEC Inc. 208,699 1,256 Fidelity Bancorp, Inc. 41,873 1,256 * The Dress Barn, Inc. 94,334 1,255 U.S.B. Holding Co., Inc. 70,851 1,254 Irwin Financial Corp. 75,993 1,254 Independent Bank Corp. (MA) 54,991 1,254 United National Bancorp 54,375 1,253 * Shuffle Master, Inc. 65,545 1,253 Getty Realty Holding Corp. REIT 66,058 1,252 Berry Petroleum Class A 73,374 1,251 National Health Investors REIT 77,774 1,251 F & M Bancorp 39,040 1,249 * Advanced Neuromodulation Systems, Inc. 35,500 1,246 Pacific Northwest Bancorp 49,736 1,243 * Argosy Gaming Co. 65,633 1,242 EDO Corp. 59,735 1,241 * United Therapeutics Corp. 74,231 1,240 * Kenneth Cole Productions, Inc. 60,977 1,238 OceanFirst Financial Corp. 55,022 1,235 Vital Signs, Inc. 41,235 1,232 * American Medical Systems Holdings, Inc. 75,988 1,232 K-Swiss, Inc. 56,722 1,231 Pennsylvania REIT 47,360 1,231 * Meritage Corp. 36,554 1,230 Mid-State Bancshares 74,865 1,229 Sovran Self Storage, Inc. REIT 43,225 1,226 * BankUnited Financial Corp. 75,707 1,225 * Sotheby's Holdings Class A 135,606 1,220 * Possis Medical Inc. 67,800 1,220 Surewest Communications 32,760 1,219 * Zoll Medical Corp. 34,132 1,217 * Allmerica Financial Corp. 120,244 1,214 Watts Industries Class A 77,106 1,214 * Western Wireless Corp. Class A 228,824 1,213 * Capital Corp. of the West 51,451 1,212 * Christopher & Banks Corp. 58,312 1,210 Interpool, Inc. 75,328 1,210 United Community Banks, Inc. 49,586 1,208 Community Bank System, Inc. 38,536 1,208 McGrath Rent Corp. 51,776 1,203 * Hollywood Casino Corp. 97,940 1,203 WSFS Financial Corp. 36,441 1,201 MB Financial, Inc. 34,530 1,201 Koger Equity, Inc. REIT 76,987 1,201 Novastar Financial, Inc. REIT 38,700 1,201 American States Water Co. 51,805 1,199 Blockbuster Inc. Class A 97,871 1,199 * Alaska Air Group, Inc. 55,231 1,196 * Hecla Mining Co. 236,108 1,195 Riviana Foods, Inc. 44,147 1,193 * CSK Auto Corp. 108,356 1,192 Commercial Metals Co. 73,366 1,191 Community Trust Bancorp Inc. 47,301 1,189 * Gardner Denver Inc. 58,525 1,188 Zenith National Insurance Corp. 50,506 1,188 * Exelixis, Inc. 148,480 1,188 * Rayovac Corp. 88,998 1,186 * Ventana Medical Systems, Inc. 51,448 1,186 * Charming Shoppes, Inc. 283,257 1,184 17 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Group 1 Automotive, Inc. 49,574 $ 1,184 * Multimedia Games Inc. 43,100 1,184 * VISX Inc. 123,240 1,181 * Oil States International, Inc. 91,400 1,179 Libbey, Inc. 45,281 1,177 The Standard Register Co. 65,247 1,174 * Silgan Holdings, Inc. 47,534 1,173 Hooper Holmes, Inc. 190,957 1,172 * Aeroflex, Inc. 169,800 1,172 * Six Flags, Inc. 205,011 1,171 * International Multifoods Corp. 55,062 1,167 Capstead Mortgage Corp. REIT 47,326 1,167 * Forward Air Corp. 60,092 1,166 * Electro Scientific Industries, Inc. 58,310 1,166 * FileNET Corp. 95,586 1,166 Senior Housing Properties Trust REIT 109,862 1,166 Tanger Factory Outlet Centers, Inc. REIT 37,522 1,163 * Wynn Resorts Ltd. 88,700 1,163 Landauer, Inc. 33,425 1,162 * Rogers Corp. 52,141 1,160 Empire District Electric Co. 63,696 1,159 * Wilson Greatbatch Technologies, Inc. 39,700 1,159 * Aztar Corp. 81,177 1,159 * NCO Group, Inc. 72,675 1,159 Barnes Group, Inc. 56,449 1,149 Stewart & Stevenson Services, Inc. 81,142 1,147 First Financial Holdings, Inc. 46,257 1,145 * School Specialty, Inc. 57,313 1,145 * Gartner, Inc. Class A 124,420 1,145 PFF Bancorp, Inc. 36,616 1,144 Charter Financial Corp. 36,812 1,144 JDN Realty Corp. REIT 104,233 1,141 * Electronics Boutique Holdings Corp. 72,168 1,141 Seacoast Banking Corp. of Florida 60,389 1,138 Omega Financial Corp. 31,720 1,137 Landry's Restaurants, Inc. 53,533 1,137 * Symyx Technologies 90,253 1,136 Commonwealth Bancorp 24,476 1,135 * Terex Corp. 101,686 1,133 * i2 Technologies, Inc. 984,799 1,133 * Enzo Biochem, Inc. 80,769 1,131 Oriental Financial Group Inc. 45,963 1,130 Gold Banc Corp., Inc. 113,588 1,127 * Bright Horizons Family Solutions, Inc. 40,036 1,126 * ProAssurance Corp. 53,600 1,126 Tredegar Corp. 75,001 1,125 * Alexander's, Inc. REIT 17,416 1,124 * AmSurg Corp. 55,012 1,124 Parkway Properties Inc. REIT 32,007 1,123 Allegheny Technologies Inc. 180,148 1,122 * Ionics, Inc. 49,139 1,120 Corporate Office Properties Trust, Inc. REIT 79,832 1,120 * Magnum Hunter Resources Inc. 188,006 1,119 * Itron, Inc. 58,352 1,119 Vector Group Ltd. 96,125 1,117 Curtiss-Wright Corp. 17,501 1,117 * Handleman Co. 97,105 1,117 * Atwood Oceanics, Inc. 37,064 1,116 * Sola International Inc. 85,758 1,115 * Aerosonic Corp. 57,254 1,111 * Regeneration Technologies, Inc. 109,806 1,111 * Albany Molecular Research, Inc. 75,064 1,110 Engineered Support Systems, Inc. 30,250 1,109 Pulitzer, Inc. 24,650 1,108 * Boca Resorts, Inc. Class A 103,401 1,106 Hancock Fabrics, Inc. 72,470 1,105 * PETCO Animal Supplies, Inc. 47,100 1,104 * CompuCredit Corp. 156,027 1,103 * Stewart Enterprises, Inc. Class A 197,995 1,103 * Sinclair Broadcast Group, Inc. 94,733 1,102 Acuity Brands, Inc. 81,216 1,100 Belden, Inc. 72,251 1,100 * Lone Star Technologies, Inc. 73,743 1,098 * American Management Systems, Inc. 91,502 1,097 * CIMA Labs Inc. 45,231 1,094 * CommScope, Inc. 138,462 1,094 * Checkpoint Systems, Inc. 105,368 1,089 Penn Virginia Corp. 29,914 1,087 Fremont General Corp. 242,145 1,087 Arch Chemicals, Inc. 59,573 1,087 * FEI Co. 71,064 1,087 * Guitar Center, Inc. 65,600 1,086 Columbia Bancorp 49,274 1,085 RPC Inc. 93,446 1,084 Bowne & Co., Inc. 90,538 1,082 * Iomega Corp. 137,794 1,082 * Digital River, Inc. 90,439 1,081 * Province Healthcare Co. 110,903 1,079 Chemed Corp. 30,496 1,078 First Financial Corp.-Indiana 22,167 1,078 * Photronics Inc. 78,609 1,077 * Forrester Research, Inc. 69,073 1,075 * Hewitt Associates, Inc. 33,900 1,074 * Right Management Consultants, Inc. 81,069 1,074 18 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Mid Atlantic Realty Trust REIT 61,655 $ 1,073 * NYMAGIC, Inc. 55,036 1,070 * Paxar Corp. 72,500 1,069 * Armor Holdings, Inc. 77,644 1,069 * Exar Corp. 85,893 1,065 * Aftermarket Technology Corp. 73,375 1,064 * Nautica Enterprises, Inc. 95,566 1,062 * Standard Microsystem Corp. 54,474 1,061 * SafeNet, Inc. 41,798 1,060 * Pacer International, Inc. 79,646 1,059 First Financial Bankshares, Inc. 27,830 1,058 * ViaSat, Inc. 91,600 1,057 United Fire & Casualty Co. 31,555 1,056 Wellman, Inc. 78,182 1,055 * Clark/Bardes Inc. 54,740 1,054 Simmons First National Corp. 28,745 1,054 * The Nautilus Group, Inc. 78,854 1,053 Newmil Bancorp, Inc. 52,800 1,053 * United Surgical Partners International, Inc. 67,118 1,048 * Southwestern Energy Co. 91,528 1,048 * Kensey Nash Corp. 57,308 1,047 Provident Financial Holdings, Inc. 39,479 1,045 * Lin TV Corp. 42,900 1,045 * Caraustar Industries, Inc. 110,159 1,044 Great Southern Bancorp, Inc. 28,406 1,044 Crown American Realty Trust REIT 113,465 1,044 * LendingTree, Inc. 80,997 1,043 * Gulf Island Fabrication, Inc. 64,111 1,042 Sealed Air Corp. Cvt. Pfd. 24,451 1,042 * Advent Software, Inc. 76,353 1,041 * Audiovox Corp. 100,435 1,039 Sauer-Danfoss, Inc. 131,377 1,038 * Littelfuse, Inc. 61,554 1,038 * Gen-Probe Inc. 43,600 1,038 * Cubist Pharmaceuticals, Inc. 126,054 1,037 Granite State Bankshares, Inc. 23,704 1,036 Arrow Financial Corp. 33,634 1,035 Prosperity Bancshares, Inc. 54,400 1,034 * MPS Group, Inc. 186,497 1,033 * Monaco Coach Corp. 62,380 1,032 * Power-One, Inc. 181,631 1,030 * Intermagnetics General Corp. 52,380 1,029 First Place Financial Corp. 61,774 1,027 National Penn Bancshares Inc. 38,665 1,027 Movado Group, Inc. 54,534 1,026 * William Lyon Homes, Inc. 46,986 1,026 * Photon Dynamics, Inc. 44,974 1,025 * UNOVA, Inc. 170,836 1,025 * Perry Ellis International Corp. 63,477 1,022 Lance, Inc. 86,264 1,021 * Tularik, Inc. 136,724 1,020 * Trimble Navigation Ltd. 81,660 1,020 * Vail Resorts Inc. 67,184 1,019 * Petroleum Helicopters, Inc. 33,915 1,017 Coachmen Industries, Inc. 64,350 1,017 * The Advisory Board Co. 34,000 1,017 * Longview Fibre Co. 140,376 1,015 PolyOne Corp. 258,820 1,015 * W-H Energy Services, Inc. 69,503 1,014 * eFunds Corp. 111,289 1,014 * WCI Communities, Inc. 99,376 1,014 Quaker Chemical Corp. 43,677 1,013 * Sonic Automotive, Inc. 67,979 1,011 * Immucor Inc. 49,839 1,009 * El Paso Electric Co. 91,600 1,008 * Palm, Inc. 63,792 1,002 Kramont Realty Trust REIT 68,328 1,001 * Labor Ready, Inc. 155,811 1,000 Universal Health Realty Income REIT 38,078 1,000 * Duane Reade Inc. 58,780 999 * DuPont Photomasks, Inc. 42,928 998 Peoples Holding Co. 24,489 998 Greif Brothers Corp. Class A 41,921 998 * GrafTech International Ltd. 167,398 998 * Continental Airlines, Inc. Class B 137,463 997 * Myriad Genetics, Inc. 68,135 995 * Cross Country, Inc. 71,178 993 * VCA Antech, Inc. 66,000 990 * SPS Technologies, Inc. 41,442 984 Impac Mortgage Holdings, Inc. REIT 85,500 983 * Newport Corp. 78,217 982 Quanex Corp. 29,300 982 First Source Corp. 58,528 980 First Federal Capital Corp. 50,643 978 * Encore Acquisition Co. 53,065 977 * Strattec Security Corp. 20,389 977 * Atrix Laboratories, Inc. 63,661 976 * Atlanta Sosnoff Capital Corp. 80,575 975 Action Performance Cos., Inc. 51,199 973 * ShopKo Stores, Inc. 78,125 973 Standard Commercial Tobacco Co. 53,631 971 Hudson River Bancorp. Inc. 39,187 970 * United Capital Corp. 27,392 970 * Ocular Sciences, Inc. 62,425 969 * Hydrill Co. 41,100 969 * Verint Systems Inc. 48,000 969 * Helen of Troy Ltd. 83,056 967 * USG Corp. 114,373 966 Alabama National BanCorporation 22,201 966 * National Western Life Insurance Co. Class A 10,049 965 19 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Odyssey Healthcare, Inc. 27,760 $ 963 * K2 Inc. 102,471 963 * ICU Medical, Inc. 25,759 961 Lindsay Manufacturing Co. 44,895 961 * Insurance Auto Auctions, Inc. 57,876 960 Phillips-Van Heusen Corp. 82,843 958 * Antigenics, Inc. 93,324 956 * Informatica Corp. 165,616 954 * Vitesse Semiconductor Corp. 435,888 952 * Rainbow Technologies, Inc. 132,768 952 * Scientific Games Corp. 131,113 952 Dynegy, Inc. 806,256 951 * bebe stores, inc 70,992 951 ElkCorp 54,888 950 Hugoton Royalty Trust 74,000 949 * Petrocorp, Inc. 92,260 946 The Stride Rite Corp. 131,869 946 GenCorp, Inc. 119,355 945 * Per-Se Technologies, Inc. 105,360 945 * Diversa Corp. 104,345 944 * Joy Global Inc. 83,800 944 * Bruker Daltonics, Inc. 194,122 943 Argonaut Group, Inc. 63,904 943 Connecticut Water Services, Inc. 37,355 942 * TETRA Technologies, Inc. 44,093 942 * AirTran Holdings, Inc. 241,283 941 * Navigators Group, Inc. 40,976 940 Independent Bank Corp. (MI) 31,075 940 * PAREXEL International Corp. 85,562 940 * Impath, Inc. 47,629 939 Covest Bankshares, Inc. 33,503 939 * Quaker City Bancorp, Inc. 28,453 937 * RehabCare Group, Inc. 49,100 937 NACCO Industries, Inc. Class A 21,292 932 * Echelon Corp. 83,134 932 * Advanced Digital Information Corp. 138,621 930 * Dril-Quip, Inc. 54,972 929 Pioneer Standard Electronics Inc. 101,117 928 Allegiant Bancorp, Inc. 50,800 926 * Material Sciences Corp. 71,562 926 * USI Holdings Corp. 78,800 926 LSI Industries Inc. 66,688 924 * Cerus Corp. 42,735 919 * Comstock Resources, Inc. 98,835 918 LSB Corp. 74,950 917 * Molecular Devices Corp. 55,581 915 * Conexant Systems, Inc. 568,254 915 * Global Industries Ltd. 219,352 915 * Prima Energy Corp. 40,742 911 Midwest Banc Holdings, Inc. 48,030 910 National Presto Industries, Inc. 30,963 910 * Hawthorne Financial Corp. 31,840 909 * S&K Famous Brands Inc. 72,733 908 Correctional Properties Trust REIT 41,845 908 * Local Financial Corp. 61,798 905 * IDT Corp. Class B 58,342 905 * PICO Holdings, Inc. 67,331 904 Flushing Financial Corp. 55,171 904 * Quantum Corp. 338,192 903 * Thoratec Corp. 118,128 901 * Benihana Inc. Class A 66,641 900 * Trammell Crow Co. 99,888 899 CNA Surety Corp. 114,508 899 * Resources Connection, Inc. 38,700 898 * Orbital Sciences Corp. 212,849 898 * Curative Health Services Inc. 52,061 898 First South Bancorp, Inc. 25,220 897 * Triumph Group, Inc. 28,084 897 Alico, Inc. 33,661 895 * Remington Oil & Gas Corp. 54,474 894 RFS Hotel Investors, Inc. REIT 82,025 891 * First Republic Bank 44,559 891 Sandy Spring Bancorp, Inc. 28,262 890 * Trex Co., Inc. 25,200 890 Chesapeake Corp. of Virginia 49,799 889 First Community Bancorp 26,992 889 * Transcontinental Realty Investors, Inc. REIT 50,352 888 * Gulfmark Offshore, Inc. 60,120 887 Horizon Financial Corp. 72,460 885 Bank Mutual Corp. 38,270 885 * Radiant Systems, Inc. 91,906 885 * Credit Acceptance Corp. 138,643 885 * The Wet Seal, Inc. Class A 82,123 884 * Agile Software Corp. 114,157 884 * eResearch Technology, Inc. 52,737 883 World Fuel Services Corp. 43,085 883 Cascade Bancorp 63,788 882 * UTStarcom, Inc. 44,447 881 Second Bancorp, Inc. 33,251 881 * National Golf Properties, Inc. REIT 74,974 881 Cash America International Inc. 92,428 880 Middlesex Water Co. 41,957 880 * The Buckle, Inc. 48,773 878 Unizan Financial Corp. 44,434 878 * Energy Partners, Ltd. 82,011 878 * Advanced Energy Industries, Inc. 68,962 877 JLG Industries, Inc. 116,404 877 MTS Systems Corp. 87,386 876 Seacoast Financial Services Corp. 43,738 875 * webMethods, Inc. 106,433 875 20 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * InterCept, Inc. 51,634 $ 874 * Mothers Work, Inc. 24,800 874 * TransMontaigne Inc. 188,007 872 * Learning Tree International, Inc. 63,665 872 Apogee Enterprises, Inc. 97,385 872 Solutia, Inc. 239,960 871 * Veeco Instruments, Inc. 75,334 871 * Alliance Data Systems Corp. 49,100 870 Advanced Marketing Services 59,147 869 * Esperion Therapeutics, Inc. 122,157 868 Myers Industries, Inc. 80,973 866 * Brooks-PRI Automation, Inc. 75,599 866 * SureBeam Corp. 214,272 866 * Extreme Networks, Inc. 264,040 863 * Alkermes, Inc. 137,538 862 * Tyler Technologies, Inc. 206,734 862 * Korn/Ferry International 115,139 861 * Avatar Holding, Inc. 37,366 859 * Fleetwood Enterprises, Inc. 109,432 859 Gorman-Rupp Co. 36,513 858 Ameron International Corp. 15,548 857 Advanta Corp. Class A 94,869 852 CB Bancshares Inc. (HI) 20,021 851 * RMH Teleservices, Inc. 80,967 850 NUI Corp. 49,158 848 Royal Gold, Inc. 34,000 847 * United Auto Group, Inc. 67,896 847 SJW Corp. 10,839 846 Consolidated-Tomoka Land Co. 43,920 845 * Bone Care International, Inc. 86,870 845 * Columbia Banking System, Inc. 67,022 845 Oxford Industries, Inc. 32,920 844 Bryn Mawr Bank Corp. 23,022 843 * MemberWorks, Inc. 46,806 842 * Lifeline Systems, Inc. 37,518 842 * Newpark Resources, Inc. 193,275 841 * World Acceptance Corp. 110,217 839 * Insight Enterprises, Inc. 100,805 838 * General Maritime Corp. 112,440 838 Lexington Corporate Properties Trust REIT 52,600 836 * Volt Information Sciences Inc. 48,825 835 * eSPEED, Inc. Class A 49,264 835 * ProBusiness Services, Inc. 83,449 834 * Stage Stores, Inc. 39,645 834 * Heidrick & Struggles International, Inc. 56,840 834 * Syms Corp. 117,448 833 Frontier Financial Corp. 32,510 832 Southwest Bancorp, Inc. 31,976 831 * MRO Software Inc. 68,348 830 * Dendrite International, Inc. 110,875 828 * Integra LifeSciences Holdings 46,920 828 Greater Delaware Valley Savings Bank 35,215 826 * Stein Mart, Inc. 135,293 825 * Remec, Inc. 212,550 825 * Orapharma Inc. 112,507 824 * The Sports Authority, Inc. 117,530 823 * J. Jill Group, Inc. 58,761 821 * American Physicians Capital, Inc. 43,600 820 * Hologic, Inc. 67,126 820 * Moog Inc. 26,400 819 Central Vermont Public Service Corp. 44,826 819 ANFI Inc. 55,500 819 * Lydall, Inc. 72,067 818 * Coldwater Creek Inc. 42,528 817 BSB Bancorp, Inc. 38,898 816 * Rochester Medical Corp. 93,739 816 * Rudolph Technologies, Inc. 42,508 814 Bel Fuse, Inc. Class B 40,350 813 Rock-Tenn Co. 60,300 813 * Wabash National Corp. 96,885 812 * AAON, Inc. 44,050 812 Valmont Industries, Inc. 41,822 811 * Websense, Inc. 37,956 811 * Integrated Defense Technology, Inc. 55,900 811 * Steven Madden, Ltd. 44,800 810 Bassett Furniture Industries, Inc. 56,461 809 * Silicon Storage Technology, Inc. 199,821 807 * SOURCECORP, Inc. 43,421 807 CIRCOR International, Inc. 50,701 806 * The Great Atlantic & Pacific Tea Co., Inc. 100,001 806 * Plains Resources Inc. 67,883 804 Met-Pro Corp. 55,552 804 * Boston Beer Co., Inc. Class A 56,214 804 * The Topps Co., Inc. 92,172 802 * ESCO Technologies Inc. 21,600 799 * Advanced Medical Optics 66,764 799 * Cell Genesys, Inc. 71,653 799 Tremont Corp. 26,760 797 * Playboy Enterprises, Inc. Class B 78,714 797 * CCC Information Services Group 44,900 797 * Priceline.com Inc. 497,276 796 Equity One, Inc. REIT 59,400 793 * Plexus Corp. 90,279 793 * Charter Communications, Inc. 668,298 789 United Mobile Homes, Inc. REIT 58,112 787 Spartan Motors, Inc. 69,127 787 * Kopin Corp. 199,880 784 21 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Department 56 Inc. 60,719 $ 783 PMA Capital Corp. Class A 54,544 782 * Transkaryotic Therapies, Inc. 78,842 781 * URS Corp. 54,835 780 Fleming Cos., Inc. 118,745 780 Banner Corp. 41,359 780 Century Bancorp, Inc. Class A 29,410 780 * Urban Outfitters, Inc. 33,036 779 * Water Pik Technologies, Inc. 105,772 777 Presidential Life Corp. 78,181 776 * Startek, Inc. 28,124 776 St. Francis Capital Corp. 33,120 776 Angelica Corp. 37,519 775 * Mobile Mini, Inc. 49,427 775 Frontier Oil Corp. 44,925 774 * CNET Networks, Inc. 285,093 773 R & G Financial Corp. Class B 33,200 772 Carpenter Technology Corp. 61,970 772 Innkeepers USA Trust REIT 100,579 770 Equity Inns, Inc. REIT 127,962 770 * Powerwave Technologies, Inc. 142,579 770 * American Pharmaceuticals Partners, Inc. 43,200 769 * Identix, Inc. 149,287 769 * j2 Global Communications, Inc. 40,352 768 * Shoe Carnival, Inc. 54,816 768 * Griffon Corp. 56,320 767 Heritage Financial Corp. 42,938 765 MCG Capital Corp. 71,200 765 * Imagistics International Inc. 38,188 764 * Novoste Corp. 105,535 762 Coastal Bancorp, Inc. 23,544 762 Gentiva Health Services, Inc. 86,365 761 * RailAmerica, Inc. 105,988 760 * Royal Appliance Manufacturing Co. 104,490 760 Massbank Corp. 26,836 759 Williams Energy Partners LP 23,400 759 * Penwest Pharmaceuticals Co. 71,614 759 * Therasense, Inc. 90,830 758 * The Neiman Marcus Group, Inc. Class B 27,740 758 * The Boyds Collection, Ltd. 113,876 757 WD-40 Co. 28,600 756 Fisher Communications, Inc. 14,315 755 * Openwave Systems Inc. 377,022 754 Thomas Industries, Inc. 28,900 753 * Swift Energy Co. 77,869 753 * Lexar Media, Inc. 120,033 753 * Signal Technology Corp. 69,763 752 * Salem Communications Corp. 30,100 752 * Keynote Systems Inc. 96,984 749 California Independent Bancorp 30,657 749 Federal Agricultural Mortgage Corp. Class A 37,006 748 * Clayton Williams Energy, Inc. 61,506 747 Southern Peru Copper Corp. 51,847 747 * Beverly Enterprises, Inc. 261,257 745 * Alloy, Inc. 67,988 744 * O'Charley's Inc. 36,230 744 * Exult Inc. 233,750 743 Mid-America Apartment Communities, Inc. REIT 30,400 743 * Manufacturers' Services Ltd. 133,978 742 TF Financial Corp. 29,984 741 * ChipPAC, Inc. 208,647 741 Instinet Group Inc. 174,619 739 * Kindred Healthcare, Inc. 40,629 737 * FreeMarkets, Inc. 114,516 737 * Griffin Land & Nurseries, Inc. 50,872 737 HF Financial Corp. 51,464 736 * OraSure Technologies, Inc. 134,876 735 CTS Corp. 94,797 735 Blair Corp. 31,481 734 * Movie Gallery, Inc. 56,368 733 Aaron Rents, Inc. Class B 33,500 733 * Isis Pharmaceuticals, Inc. 111,152 732 * Wackenhut Corrections Corp. 65,891 732 * Versicor, Inc. 67,816 732 Superior Uniform Group, Inc. 58,997 731 * Northwest Pipe Co. 42,210 730 Bedford Property Investors, Inc. REIT 28,400 730 * Enesco Group, Inc. 102,983 729 * Thomas Nelson, Inc. 72,737 729 * Netscreen Technologies, Inc. 43,200 727 Aquila, Inc. 410,590 727 * Genlyte Group, Inc. 23,318 727 Merchants Bancshares, Inc. 32,229 726 * Ultratech Stepper, Inc. 73,795 726 * SonicWALL, Inc. 199,582 724 Nu Skin Enterprises, Inc. 60,500 724 * Layne Christensen Co. 88,305 724 * American Medical Security Group, Inc. 51,747 723 * PTEK Holdings, Inc. 164,332 723 MutualFirst Financial Inc. 36,553 722 Ampco-Pittsburgh Corp. 59,374 722 Connecticut Bancshares, Inc. 18,766 722 * Triton PCS, Inc. 183,206 720 * Nuevo Energy Co. 64,823 720 * The Children's Place Retail Stores, Inc. 67,607 719 Investors Title Co. 31,452 718 22 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Chalone Wine Group Ltd. 87,126 $ 718 Winston Hotels, Inc. REIT 91,994 718 M/I Schottenstein Homes, Inc. 25,800 717 * Headwaters Inc. 46,200 717 * Cole National Corp. Class A 62,850 716 * Young Broadcasting Inc. 54,330 716 * Kadant Inc. 47,689 715 * National Dentex Corp. 36,595 715 Meridian Bioscience Inc. 103,835 714 Virco Manufacturing Corp. 70,015 714 * A.C. Moore Arts & Crafts, Inc. 56,186 714 North Valley Bancorp 39,605 714 Dimon Inc. 119,012 714 * Medical Staffing Network Holdings, Inc. 44,592 713 * MTR Gaming Group Inc. 89,482 712 Methode Electronics, Inc. Class A 64,901 712 * Unifi, Inc. 135,611 712 * Racing Champions ERTL Corp. 52,100 711 X-Rite Inc. 101,465 709 * Kulicke & Soffa Industries, Inc. 123,784 708 * Jos. A. Bank Clothiers, Inc. 33,175 707 The Marcus Corp. 49,788 707 * EMS Technologies, Inc. 45,287 707 Sizeler Property Investors, Inc. REIT 76,088 707 * Transaction Systems Architects, Inc. 108,688 706 * Wireless Facilities, Inc. 117,535 706 * Spanish Broadcasting System, Inc. 98,067 706 UniFirst Corp. 34,946 706 Steelcase Inc. 64,405 706 * Friendly Ice Cream Corp. 122,543 705 * Stanley Furniture Co., Inc. 30,300 704 * Pegasus Solutions Inc. 70,156 704 * Lifecore Biomedical Inc. 81,967 703 Patriot Bank Corp. 45,732 703 Crawford & Co. Class B 140,559 703 * Zymogenetics, Inc. 70,975 703 * Tanox, Inc. 77,636 703 * Zebra Technologies Corp. Class B 12,240 701 * Technical Olympic USA, Inc. 47,300 701 * infoUSA Inc. 140,466 698 CPI Corp. 48,147 698 * Telik, Inc. 59,700 696 * Intertrust Technologies Corp. 163,664 692 * XOMA Ltd. 163,649 692 * Beasley Broadcast Group, Inc. 57,750 691 * CMGI Inc. 703,910 691 Lone Star Steakhouse & Saloon, Inc. 35,696 690 * ArthroCare Corp. 70,082 690 Investors Real Estate Trust REIT 69,000 689 * Chattem, Inc. 33,500 688 * Zoran Corp. 48,900 688 Community Banks, Inc. 24,776 686 * Sequa Corp. Class A 17,527 685 * Plains Exploration & Production Co. 70,287 685 * Buckeye Technology, Inc. 111,297 684 * CuraGen Corp. 147,185 684 * EZCORP, Inc. 204,109 684 * Aviall Inc. 84,880 683 Atlantic Tele-Network, Inc. 44,040 683 * Gartner, Inc. Class B 72,223 683 * Casella Waste Systems, Inc. 76,708 682 * InFocus Corp. 110,514 681 * Wind River Systems Inc. 165,771 680 * M&F Worldwide Corp. 125,657 679 * Vignette Corp. 552,772 678 * Aeropostale, Inc. 63,892 675 AMCOL International Corp. 116,332 675 * Kos Pharmaceuticals, Inc. 35,500 675 * General Communication, Inc. 100,500 674 * Mapics Inc. 96,977 674 * SeeBeyond Technology Corp. 276,959 673 * Ligand Pharmaceuticals Inc. Class B 125,243 673 * Genesco, Inc. 36,100 673 * Vicor Corp. 81,422 672 * WatchGuard Technologies, Inc. 105,103 671 * First Horizon Pharmaceutical Corp. 89,281 668 Pilgrim's Pride Corp. 81,411 668 RAIT Investment Trust REIT 30,900 667 * Equitable Bank 18,337 667 First Federal Bancshares of Arkansas, Inc. 26,225 666 * RSA Security Inc. 111,182 666 * Intuitive Surgical, Inc. 108,108 666 * Florida Banks, Inc. 76,069 666 AMLI Residential Properties Trust REIT 31,200 664 * Wesco International, Inc. 120,881 664 * Navigant International, Inc. 53,742 663 * Actel Corp. 40,840 662 * Noven Pharmaceuticals, Inc. 71,705 662 * ImmunoGen, Inc. 213,058 660 * Energy Conversion Devices, Inc. 67,218 659 * Todd Shipyards Corp. 50,451 658 * Tower Automotive, Inc. 146,177 658 * Marvel Enterprises Inc. 73,222 658 * Pozen Inc. 127,583 657 Helix Technology Corp. 58,606 656 * FuelCell Energy, Inc. 100,106 656 23 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Leapfrog Enterprises, Inc. 26,000 $ 654 * Cable Design Technologies Corp. 110,811 654 Suffolk Bancorp 20,626 652 * Asyst Technologies, Inc. 88,590 651 * SciClone Pharmaceuticals, Inc. 204,737 651 * Conceptus, Inc. 54,300 651 * Cray Inc. 84,800 650 * Pixelworks, Inc. 111,967 649 * Zomax Inc. 152,563 648 * First Mariner Bancorp, Inc. 58,869 648 South Jersey Industries, Inc. 19,600 647 * Monolithic System Technology, Inc. 53,500 646 Keithley Instruments Inc. 51,599 645 Entertainment Properties Trust REIT 27,400 644 American Woodmark Corp. 13,549 644 Glacier Bancorp, Inc. 27,300 643 Florida East Coast Industries, Inc. Class B 29,133 643 Capital City Bank Group, Inc. 16,389 642 * WellChoice Inc. 26,700 639 Sterling Financial Corp. (PA) 27,012 639 Allen Organ Co. 15,974 638 Bridge View Bancorp 30,983 638 American Land Lease, Inc. REIT 45,230 637 * Charles River Associates Inc. 44,976 637 * Nashua Corp. 72,515 637 * LTX Corp. 105,545 636 Summit Bancshares, Inc. 32,488 634 * Stratus Properties Inc. 68,611 631 * Enterasys Networks, Inc. 404,246 631 * S1 Corp. 141,217 630 * Specialty Laboratories, Inc. 65,170 630 * ESS Technology, Inc. 99,891 628 * Encore Wire Corp. 69,413 628 * Digene Corp. 54,806 628 * Drexler Technology Corp. 49,751 627 Schnitzer Steel Industries, Inc. Class A 29,925 625 Associated Estates Realty Corp. REIT 92,587 625 * Incyte Genomics, Inc. 136,955 625 * Ameristar Casinos, Inc. 44,240 624 MFA Mortgage Investments, Inc. REIT 74,200 623 Maine Public Service Co. 19,454 623 * NS Group Inc. 94,974 619 * Isle of Capri Casinos, Inc. 46,661 618 * Viasys Healthcare Inc. 41,488 618 * Medarex, Inc. 156,367 618 * Impax Laboratories, Inc. 153,700 616 Pulaski Financial Corp. 28,699 616 * I.D. Systems, Inc. 140,398 615 * PolyMedica Corp. 19,900 614 * Input/Output, Inc. 143,974 612 * Riverstone Networks, Inc. 288,533 612 * BioMarin Pharmaceutical Inc. 86,478 610 * Spherion Corp. 90,989 610 * SonoSite, Inc. 46,553 608 * Global Imaging Systems, Inc. 33,100 608 Cornerstone Realty Income Trust, Inc. REIT 76,400 608 Park Electrochemical Corp. 31,600 607 * DutchFork Bancshares, Inc. 22,229 605 BancFirst Corp. 12,839 603 * Hexcel Corp. 200,421 601 Oak Hill Financial, Inc. 27,824 600 * Guess ?, Inc. 142,828 598 * Stillwater Mining Co. 111,837 598 * GameStop Corp. 61,000 598 * Connetics Corp. 49,606 596 * Alliance Imaging, Inc. 112,444 596 Marine Products Corp. 60,368 595 * Virage Logic Corp. 59,234 594 * MSC.Software Corp. 76,884 594 * Inet Technologies, Inc. 97,288 593 * Systems & Computer Technology Corp. 68,932 593 * Neoforma, Inc. 49,549 592 * Lightbridge, Inc. 96,100 591 * McDermott International, Inc. 134,504 589 * Stewart Information Services Corp. 27,500 588 Universal Forest Products, Inc. 27,576 588 Milacron Inc. 98,589 587 * Candela Corp. 97,404 585 * Presstek, Inc. 126,984 585 * Pericom Semiconductor Corp. 70,231 584 * Dura Automotive Systems, Inc. 58,127 584 Oregon Trail Financial Corp. 27,996 583 Resource America, Inc. 64,666 583 * Tenneco Automotive, Inc. 144,063 582 Stepan Co. 23,220 581 * Quality Systems, Inc. 28,849 580 American Home Mortgage Holdings, Inc. 52,600 579 * Universal Electronics, Inc. 59,117 576 * Garden Fresh Restaurant Corp. 57,518 575 * Centene Corp. 17,100 574 Dover Motorsports, Inc. 123,365 574 * NeoPharm, Inc. 56,362 572 * Omega Healthcare Investors, Inc. REIT 152,787 571 * Worldwide Restaurant Concepts Inc. 215,461 571 FNB Financial Services Corp. 33,322 571 24 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Pegasystems Inc. 111,612 $ 570 * Datastream Systems, Inc. 89,095 570 * Insignia Financial Group, Inc. 78,597 570 Datascope Corp. 22,926 569 * Acmat Corp. Class A 60,347 567 Oshkosh B' Gosh, Inc. Class A 20,200 567 * Bally Total Fitness Holding Corp. 79,891 566 * Park-Ohio Holdings Corp. 135,984 566 * Micromuse Inc. 148,085 566 * Secure Computing Corp. 88,176 565 * Merix Corp. 67,280 565 * Prime Hospitality Corp. 69,330 565 * Veritas DGC Inc. 71,427 564 First Merchants Corp. 24,729 564 * Ulticom, Inc. 75,188 563 California Water Service Group 23,800 563 * Midway Games Inc. 134,976 563 * Vivus, Inc. 150,828 563 First Bancorp (NC) 23,913 562 * Liquidmetal Technologies 54,630 562 * World Wrestling Entertainment, Inc. 69,737 561 * On Assignment, Inc. 65,765 560 * Collins & Aikman Corp. 125,899 560 * PDI, Inc. 51,881 560 * Ixia 153,319 560 * Stratex Networks, Inc. 252,993 559 * Sierra Health Services, Inc. 46,420 558 * Stoneridge, Inc. 46,847 557 * CardioDynamics International Corp. 181,468 557 Arctic Cat, Inc. 34,800 557 LTC Properties, Inc. REIT 82,830 557 MeriStar Hospitality Corp. REIT 84,178 556 * Verisity Ltd. 29,128 555 * JAKKS Pacific, Inc. 41,190 555 * IXYS Corp. 78,517 554 * Mykrolis Corp. 75,863 554 * MedCath Corp. 55,200 552 * Todhunter International, Inc. 55,986 551 * Hartmarx Corp. 225,736 551 Keystone Property Trust REIT 32,400 550 * Theragenics Corp. 135,943 548 HMN Financial, Inc. 32,537 548 Green Mountain Power Corp. 26,063 547 * Corixa Corp. 85,503 546 * The TriZetto Group, Inc. 88,968 546 Umpqua Holdings Corp. 29,931 546 * Interwoven, Inc. 210,040 546 * Price Legacy Corp. REIT 195,031 546 * Ciber, Inc. 105,999 546 * Saxon Capital Inc. 43,600 545 * First Consulting Group, Inc. 94,649 545 * TBC Corp. 45,375 545 * Ace Cash Express, Inc. 59,367 544 * OPNET Technologies, Inc. 67,335 544 * PLX Technology, Inc. 139,000 543 * JDA Software Group, Inc. 56,261 543 * Administaff, Inc. 90,537 543 * E.piphany Inc. 130,202 543 * Bay View Capital Corp. 94,300 542 * Nastech Pharmaceutical Co., Inc. 63,397 542 * ANSYS, Inc. 26,656 538 Oneida Ltd. 48,800 538 Oil-Dri Corp. of America 63,015 538 Dover Downs Gaming & Entertainment, Inc. 58,958 536 Saul Centers, Inc. REIT 22,500 536 * Pharmacopeia, Inc. 60,032 535 * Kyphon Inc. 62,584 534 * Immunomedics Inc. 115,602 534 * Centennial Communications Corp. Class A 204,542 534 * Matria Healthcare, Inc. 61,271 532 * Kforce Inc. 125,971 532 AAR Corp. 103,206 531 * Eclipsys Corp. 99,284 531 * F5 Networks, Inc. 49,436 531 * Symmetricom Inc. 125,731 531 * Closure Medical Corp. 50,614 530 * ScanSoft, Inc. 101,937 530 * Allen Telecom Inc. 55,969 530 * Hector Communications Corp. 41,852 529 Fedders Corp. 186,089 527 * Corvis Corp. 740,621 526 Applied Industrial Technology, Inc. 27,800 525 * AMC Entertainment, Inc. 59,300 525 Curtiss-Wright Corp. Class B 8,412 524 New England Business Service, Inc. 21,400 522 * TiVo Inc. 99,645 521 * 1-800-FLOWERS.COM, Inc. 83,325 521 * Oregon Steel Mills, Inc. 129,328 520 * Digital Insight Corp. 59,766 519 * Clarus Corp. 92,386 519 * Saga Communications, Inc. 27,300 519 * Torch Offshore, Inc. 95,100 518 * New Focus, Inc. 134,699 517 * XM Satellite Radio Holdings, Inc. 192,200 517 * Cirrus Logic 179,310 516 * Quanta Services, Inc. 147,471 516 * Gene Logic Inc. 81,833 515 Ryerson Tull, Inc. 84,265 514 Seaboard Corp. 2,140 514 Interface, Inc. 167,273 514 25 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Raindance Communications, Inc. 158,973 $ 513 * InfoSpace, Inc. 60,742 513 * Tollgrade Communications, Inc. 43,672 512 * EPIQ Systems, Inc. 33,400 512 * Concurrent Computer Corp. 177,509 511 * Team, Inc. 65,815 510 * Lancer Corp. 54,813 510 * Cell Therapeutics, Inc. 70,111 510 BNP Residential Properties, Inc. REIT 50,006 508 * Traffix, Inc. 156,033 507 * Sapient Corp. 245,757 504 * Regent Communications, Inc. 85,193 503 * Medical Action Industries Inc. 46,400 503 * Applica Inc. 100,609 503 * SangStat Medical Corp. 44,500 503 Midland Co. 26,413 502 * LodgeNet Entertainment Corp. 46,800 500 First Keystone Financial, Inc. 31,203 499 * Jarden Corp. 20,900 499 * Anaren, Inc. 56,670 499 * Goody's Family Clothing 112,317 499 * Axsys Technologies, Inc. 63,918 499 * Cysive, Inc. 184,029 497 * Information Holdings Inc. 32,000 497 * Plug Power, Inc. 110,608 497 * Champion Enterprises, Inc. 174,132 496 * I-STAT Corp. 124,038 496 * Embarcadero Technologies, Inc. 82,954 495 Team Financial, Inc. 48,142 493 Gevity HR, Inc. 121,762 493 * Concord Communications, Inc. 54,725 492 GBC Bancorp 25,284 489 L.S. Starrett Co. Class A 29,464 489 Citizens First Financial Corp. 19,313 489 * Bio-Technology General Corp. 152,512 488 Alamo Group, Inc. 39,806 488 * Carriage Services, Inc. 122,414 487 West Pharmaceutical Services, Inc. 19,900 486 * Tweeter Home Entertainment Group, Inc. 84,000 486 * Metrologic Instruments, Inc. 62,900 484 * Kendle International Inc. 55,025 484 Cadmus Communications 43,586 484 * Dynamics Research Corp. 34,554 484 * Daisytek International Corp. 60,977 484 * Aether Systems, Inc. 128,450 483 * SPSS, Inc. 34,379 481 Medallion Financial Corp. 123,226 481 * Mesa Air Group Inc. 118,060 481 * Lazare Kaplan International, Inc. 88,148 480 * ePlus Inc. 67,998 479 * Artisan Components, Inc. 31,064 479 * OmniVision Technologies, Inc. 35,300 479 * Metro One Telecommunications, Inc. 74,184 478 * Cepheid, Inc. 93,680 478 * ATP Oil & Gas Corp. 117,264 477 Union Bankshares Corp. 17,500 477 Greater Community Bancorp 29,803 477 Tompkins Trustco, Inc. 10,800 476 * Neogen Corp. 32,300 474 Financial Institutions, Inc. 16,100 473 * IDT Corp. 27,238 471 * MTC Technologies, Inc. 18,600 471 * Strategic Distribution, Inc. 36,940 469 * Inktomi Corp. 293,149 469 * Inrange Technologies Corp. 198,836 467 * FSI International, Inc. 103,786 467 * Central Garden and Pet Co. 25,200 466 * Mail-Well, Inc. 186,075 465 * RadiSys Corp. 58,278 465 Deltic Timber Corp. 17,400 465 Gibraltar Steel 24,400 465 Standard Motor Products, Inc. 35,708 464 * ScanSource, Inc. 9,400 463 * PriceSmart, Inc. 19,895 462 * California Amplifier, Inc. 91,460 458 * PC-Tel, Inc. 67,425 457 * Nu Horizons Electronics Corp. 78,965 456 * Altiris, Inc. 28,600 455 * Phoenix Technologies Ltd. 78,832 455 * Asbury Automotive Group, Inc. 54,030 454 * Norstan, Inc. 90,185 454 * Magma Design Automation, Inc. 47,348 454 * SRA International, Inc. 16,700 452 * Casual Male Retail Group, Inc. 116,787 452 * Dave & Busters, Inc. 51,935 449 * United PanAm Financial Corp. 71,659 448 First Busey Corp. 19,402 447 * Wild Oats Markets Inc. 43,300 447 Timberline Software Corp. 75,954 447 * Skechers U.S.A., Inc. 52,493 446 * Correctional Services Corp. 153,360 445 * Mastec Inc. 150,396 444 * Ribapharm Inc. 67,700 443 * J & J Snack Foods Corp. 12,400 443 OM Group, Inc. 64,272 442 HEICO Corp. 41,670 442 * Celeritek, Inc. 66,315 442 * Trover Solutions, Inc. 80,800 441 * Xicor, Inc. 118,211 441 * Parker Drilling Co. 198,437 441 26 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * PC Connection, Inc. 86,785 $ 440 * Horizon Offshore, Inc. 88,034 438 * Sonus Networks, Inc. 437,939 438 * iGATE Corp. 167,026 438 * Pinnacle Entertainment, Inc. 63,123 437 * American Residential Investment Trust, Inc. REIT 109,840 437 Cohu, Inc. 29,723 437 Apex Mortgage Capital, Inc. REIT 66,730 436 * Artesyn Technologies, Inc. 113,544 436 * NYFIX, Inc. 96,808 436 * PharmaNetics, Inc. 62,589 435 * OneSource Information Services, Inc. 56,300 434 Talx Corp. 33,500 433 General Cable Corp. 113,839 433 * Health Management Systems, Inc. 120,129 432 Calgon Carbon Corp. 87,421 432 * Embrex, Inc. 38,781 432 * Universal American Financial Corp. 73,399 427 * Packeteer, Inc. 62,215 427 * BE Aerospace, Inc. 117,005 426 * Tier Technologies, Inc. 26,600 426 * Opsware, Inc. 239,148 423 * TriPath Imaging, Inc. 157,486 422 * CoorsTek, Inc. 16,500 422 Anworth Mortgage Asset Corp. REIT 33,500 421 * iManage, Inc. 131,368 420 Vesta Insurance Group, Inc. 152,514 419 * Aclara Biosciences, Inc. 199,710 419 ISCO, Inc. 52,412 419 * Robert Mondavi Corp. Class A 13,500 419 * LookSmart, Ltd. 168,731 418 Newcastle Investment Corp. REIT 26,200 418 * Computer Horizons Corp. 127,897 418 Ameriserv Financial Inc. 146,559 418 * 4Kids Entertainment Inc. 18,900 417 United Community Financial Corp. 48,224 417 Main Street Banks, Inc. 21,683 416 * SuperGen, Inc. 114,290 415 * PracticeWorks Inc. 52,471 415 * ILEX Oncology, Inc. 58,684 414 * SeaChange International, Inc. 67,365 414 * Tesoro Petroleum Corp. 91,500 414 * Superior Consultant Holdings Corp. 156,588 413 * MedAmicus, Inc. 48,700 412 * Buca, Inc. 49,400 411 Tennant Co. 12,600 411 Sterling Bancorp 15,600 411 * Zix Corp. 93,074 410 * NASSDA Corp. 36,500 410 * Universal Display Corp. 51,834 409 * Century Business Services, Inc. 154,127 408 * Aspect Medical Systems, Inc. 120,469 408 * Pathmark Stores, Inc. 80,512 408 * Electro Rent Corp. 33,600 407 * Harmonic, Inc. 176,978 407 * Global Payment Tech Inc. 73,317 407 Capital Bank Corp. 31,385 406 * Strategic Diagnostics Inc. 123,000 406 * NetRatings, Inc. 56,368 406 Deb Shops, Inc. 18,254 405 * Zygo Corp. 57,969 405 * Revlon, Inc. Class A 132,392 405 * Fairchild Corp. 81,572 405 * Finisar Corp. 424,611 403 Metris Cos., Inc. 163,202 403 First Indiana Corp. 21,766 403 * Alexion Pharmaceuticals, Inc. 28,483 402 First Union Real Estate REIT 225,662 402 * TransPro Inc. 71,636 401 * Reading International Inc. Class A 103,344 401 * Arena Pharmaceuticals, Inc. 61,559 401 * Range Resources Corp. 74,200 401 * Silicon Graphics, Inc. 354,581 401 * Footstar Inc. 57,485 400 Integra Bank Corp. 22,355 398 * Docucorp International, Inc. 60,080 398 * W.R. Grace & Co. 202,887 398 Urstadt Biddle Properties REIT 31,452 398 Jacksonville Bancorp, Inc. 14,195 397 * Dobson Communications Corp. 179,522 397 * UnitedGlobalCom Inc. Class A 164,995 396 * QRS Corp. 59,910 395 * Ditech Communications Corp. 181,204 395 * ManTech International Corp. 20,700 395 Leeds Federal Bankshares Inc. 12,340 394 * U.S. Industries, Inc. 149,521 393 * Capital Pacific Holdings, Inc. 120,964 393 * Telular Corp. 104,911 392 Haverty Furniture Cos., Inc. 28,100 391 * Arris Group Inc. 109,128 390 * Galyan's Trading Co. 38,944 389 * Lexicon Genetics Inc. 82,052 388 * OMI Corp. 94,300 388 * Safeguard Scientifics, Inc. 284,698 387 * Entrust, Inc. 115,002 386 * Alaris Medical, Inc. 63,200 386 * CompuCom Systems, Inc. 68,700 385 * American Healthways Inc. 22,000 385 Fidelity Bankshares, Inc. 21,400 383 * Integral Systems, Inc. 19,082 383 Comm Bancorp, Inc. 10,821 382 27 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- German American Bancorp 24,487 $ 381 * Foamex International, Inc. 120,457 381 * Inverness Medical Innovations, Inc. 28,852 379 Standex International Corp. 15,900 379 * Novavax, Inc. 145,643 379 * Progenics Pharmaceuticals, Inc. 56,842 379 Chester Valley Bancorp 16,705 379 * CyberSource Corp. 154,026 377 * MatrixOne, Inc. 87,620 377 * National Beverage Corp. 24,600 376 * PLATO Learning, Inc. 63,192 375 * MSCi, Inc. 78,993 375 * Midas Inc. 58,335 375 * America's Car-Mart, Inc. 29,400 375 * SupportSoft, Inc. 95,111 375 * CoStar Group, Inc. 20,300 375 * C-COR Electronics, Inc. 112,714 374 * ResortQuest International, Inc. 99,100 374 * SITEL Corp. 309,491 371 Baldwin & Lyons, Inc. Class B 15,741 371 * hi/fn, inc 64,094 370 * Allied Healthcare International Inc. 84,026 369 Sturm, Ruger & Co., Inc. 38,500 368 * Akamai Technologies, Inc. 212,713 368 * U.S. Energy Corp. 119,454 368 * Spectranetics Corp. 150,121 368 * Computer Task Group, Inc. 105,035 367 * Expedia Inc. Warrants Exp. 2/4/2009 10,207 366 * Prime Group Realty Trust REIT 79,018 364 * Select Comfort Corp. 38,700 364 * P.A.M. Transportation Services, Inc. 14,400 363 BCSB Bankcorp, Inc. 26,349 362 * Loral Space & Communications 841,532 362 * Microtune, Inc. 115,482 361 * CryoLife Inc. 52,746 360 * America Service Group Inc. 21,300 360 * ParkerVision, Inc. 44,098 360 Great Lakes, Inc. REIT 21,600 360 * Lakes Entertainment, Inc. 66,500 359 * DVI, Inc. 47,469 358 * Steak n Shake Co. 35,804 358 McMoRan Exploration Co. 70,156 358 * Titanium Metals Corp. 187,272 358 * Integrated Electrical Services, Inc. 92,889 358 Old Second Bancorp, Inc. 9,632 356 * Manugistics Group, Inc. 148,089 355 * Merit Medical Systems, Inc. 17,768 354 Ziegler Cos., Inc. 24,576 354 * Blue Rhino Corp. 20,300 353 * Planar Systems, Inc. 17,100 353 * Hanger Orthopedic Group, Inc. 26,700 351 * VaxGen, Inc. 18,168 351 * Integrated Silicon Solution, Inc. 80,367 350 * Concerto Software Inc. 51,643 349 Nash-Finch Co. 45,066 348 * Indevus Pharmaceuticals, Inc. 162,731 348 * The Smith & Wollensky Restaurant Group, Inc. 99,400 348 * ON Semiconductor Corp. 253,324 347 * Genesee & Wyoming Inc. Class A 17,000 346 * TechTeam Global, Inc. 46,500 345 * Elizabeth Arden, Inc. 23,300 345 * Digitas Inc. 99,610 345 * La Jolla Pharmaceutical Co. 52,968 344 U.S. Restaurant Properties, Inc. REIT 24,400 344 * Applied Innovation Inc. 113,138 343 Robbins & Myers, Inc. 18,600 342 First Essex Bancorp, Inc. 10,200 341 * Daily Journal Corp. 14,175 340 * Navigant Consulting, Inc. 57,630 340 * Microsemi Corp. 55,787 340 * SCS Transportation, Inc. 34,257 339 * aaiPharma Inc. 24,200 339 * Magnatek, Inc. 76,178 338 * Redback Networks Inc. 402,616 338 West Coast Bancorp 22,300 338 * KCS Energy, Inc. 197,444 338 Hopfed Bancorp, Inc. 25,295 337 * Blount International, Inc. 87,997 335 * Sharper Image Corp. 19,200 335 * Stellent Inc. 75,334 334 * ePresence, Inc. 172,311 334 * Rubio's Restaurants, Inc. 54,000 334 * The Good Guys, Inc. 180,560 334 * Alcide Corp. 22,591 333 * Serologicals Corp. 30,228 333 * First Banks America, Inc. 8,200 332 * Martha Stewart Living Omnimedia, Inc. 33,649 332 BMC Industries, Inc. 211,416 332 * West Marine, Inc. 24,200 331 * Wiser Oil Co. 96,248 331 * Badger Paper Mills, Inc. 45,643 330 Sanderson Farms, Inc. 15,800 330 * Checkers Drive-In Restaurants, Inc. 52,741 330 Codorus Valley Bancorp, Inc. 21,662 330 * Maxygen Inc. 43,288 330 * Maxxam Inc. 35,429 329 * Actuate Software Corp. 186,129 329 Troy Financial Corp. 12,179 329 * Paragon Technologies, Inc. 38,730 328 * Big 5 Sporting Goods Corp. 30,400 328 28 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Inforte Corp. 42,304 $ 328 * Trans World Entertainment Corp. 90,269 328 * DiamondCluster International, Inc. 104,155 327 * Gart Sports Co. 16,900 327 Paul Mueller Co. 10,768 327 * 3 Dimensional Pharmaceuticals Inc. 102,420 327 * Ocwen Financial Corp. 115,861 324 * Infinity, Inc. 39,200 324 * Dick's Sporting Goods, Inc. 16,900 324 * Numerical Technologies, Inc. 93,166 322 * Computer Programs and Systems Inc. 13,000 322 * Workflow Management, Inc. 150,793 321 * MarketWatch.com, Inc. 65,514 320 * DJ Orthopedics Inc. 84,900 319 * Cardinal Financial Corp. 73,377 319 * Advanced Magnetics, Inc. 75,910 319 * Alliance Semiconductor Corp. 80,667 317 * Liberate Technologies, Inc. 221,638 317 * Handspring, Inc. 333,209 317 * CSS Industries, Inc. 9,500 314 * ABIOMED, Inc. 86,309 314 * Transmeta Corp. 265,424 311 * Switchboard Inc. 103,589 310 * Retek Inc. 113,445 309 * Portfolio Recovery Associates, Inc. 16,900 308 * ValueClick, Inc. 110,537 308 * Spherix Inc. 41,077 308 S.Y. Bancorp, Inc. 8,300 308 CompX International Inc. 36,597 306 * Hovnanian Enterprises 9,650 306 * America West Holdings Corp. Class B 169,867 306 * Paradyne Networks, Inc. 238,707 306 Lawson Products, Inc. 9,832 305 * Oak Technology, Inc. 114,771 304 * Sykes Enterprises, Inc. 92,459 303 * Sipex Corp. 81,878 303 * Lowrance Electronics, Inc. 48,833 302 * Kirkland's, Inc. 26,700 302 * BioSphere Medical Inc. 45,700 301 * Durect Corp. 148,904 301 Capitol Bancorp Ltd. 12,937 300 * FalconStor Software, Inc. 77,231 300 Washington Trust Bancorp, Inc. 15,343 300 * CKE Restaurants Inc. 69,569 299 * A.M. Castle & Co. 65,486 298 * Latitude Communications, Inc. 194,617 298 State Financial Services Corp. Class A 17,726 297 Banc Corp. 38,232 297 * Charlotte Russe Holding Inc. 27,800 295 * Ramtron International Corp. 105,277 295 * Bottomline Technologies, Inc. 48,800 295 Kaman Corp. Class A 26,788 295 * Impco Technologies Inc. 62,826 295 Gray Television, Inc. 30,200 294 * Ceres Group, Inc. 153,234 294 * Aware, Inc. 134,947 294 * Art Technology Group, Inc. 236,434 293 * Captaris Inc. 121,998 293 Penford Corp. 20,743 292 * OSI Systems Inc. 17,200 292 * InterVoice, Inc. 135,019 292 * Interpore International 45,500 291 * Hall, Kinion & Associates, Inc. 52,025 291 * Hibbett Sporting Goods, Inc. 12,156 291 * Daktronics, Inc. 21,700 290 * Investors Capital Holdings, Ltd. 151,295 287 * Primus Telecommunications Group, Inc. 142,930 286 * MRV Communications Inc. 267,027 286 Bedford Bancshares, Inc. 18,078 285 * Talk America Holdings, Inc. 50,799 284 * Digi International, Inc. 97,579 284 * Value City Department Stores, Inc. 155,031 284 * Nabi Biopharmaceuticals 45,742 284 * Inspire Pharmaceuticals, Inc. 30,200 282 * Interstate Hotels & Resorts, Inc. 58,553 281 * The Exploration Co. of Delaware 94,300 281 * Liquid Audio, Inc. 114,175 281 * MGI Pharma, Inc. 38,717 281 * Aurora Foods Inc. 359,828 281 * Herley Industries Inc. 16,100 280 Skyline Corp. 9,500 280 * COMARCO, Inc. 32,368 280 * Answerthink Consulting Group, Inc. 111,468 279 * Crown Media Holdings, Inc. 123,240 279 * Osmonics, Inc. 16,400 278 * Lithia Motors, Inc. 17,700 278 * PRAECIS Pharmaceuticals Inc. 85,309 277 * Ask Jeeves, Inc. 108,273 277 * Eden Bioscience Corp. 193,619 277 * Midwest Express Holdings, Inc. 51,728 277 * Giant Industries, Inc. 93,508 276 SWS Group, Inc. 20,300 275 * Forgent Networks, Inc. 164,155 274 * Valence Technology Inc. 206,037 274 * Sonic Innovations, Inc. 71,607 273 * Ampal-American Israel Corp. 114,108 273 * Geron Corp. 75,755 273 * ILX Resorts Inc. 34,176 270 29 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Comfort Systems USA, Inc. 80,594 $ 270 * InKine Pharmaceutical Co., Inc. 165,636 270 * Wellsford Real Properties Inc. 17,074 269 * Keystone Automotive Industries, Inc. 17,900 269 LaSalle Hotel Properties REIT 19,200 269 * Stamps.com Inc. 57,441 268 * 3Tec Energy Corp. 18,900 268 * Proton Energy Systems, Inc. 89,341 268 * Roxio, Inc. 56,118 268 * Harvest Natural Resources, Inc. 40,500 267 * Three-Five Systems, Inc. 41,440 267 Ramco-Gershenson Properties Trust REIT 13,500 267 CityBank Lynnwood WA 10,765 266 Peoples Bancorp, Inc. 10,400 266 * Sirenza Microdevices, Inc. 147,567 266 * Proxim Corp. Class A 305,289 266 * Katy Industries, Inc. 77,069 265 * APAC Teleservices, Inc. 113,013 264 * Luminex Corp. 64,288 264 * Terayon Communications Systems, Inc. 128,835 264 * Danielson Holdings Corp. 188,455 264 Port Financial Corp. 5,900 263 * Capstone Turbine Corp. 292,061 263 * Exact Sciences Corp. 24,200 262 * Next Level Communications, Inc. 322,892 262 * Neurogen Corp. 71,833 261 * Gadzooks, Inc. 55,368 260 * Avigen, Inc. 45,312 259 * TSR, Inc. 50,147 258 * Somera Communications, Inc. 95,462 258 IBERIABANK Corp. 6,400 257 Courier Corp. 5,600 257 Urstadt Biddle Properties Class A REIT 23,100 256 * LCC International, Inc. Class A 130,537 255 * Allied Holdings, Inc. 78,035 254 Northwestern Corp. 49,900 253 * Diametrics Medical, Inc. 153,549 253 * Huttig Building Products, Inc. 88,860 253 * Gerber Scientific, Inc. 62,364 253 Bank of Granite Corp. 14,468 253 * Aspect Communications Corp. 89,136 253 Bush Industries, Inc. 52,017 252 Wainwright Bank & Trust Co. 28,463 251 * Greka Energy Corp. 63,660 251 Hubbell Inc. Class A 7,600 251 United Industrial Corp. 15,700 251 * Visual Networks, Inc. 172,462 250 * Juno Lighting, Inc. 25,801 249 * Witness Systems, Inc. 72,390 249 * Neoware Systems, Inc. 16,700 249 * Friedman, Billings, Ramsey Group, Inc. 26,600 249 * Selectica, Inc. 92,165 249 * Hanmi Financial Corp. 14,800 248 * Cleveland-Cliffs Iron Co. 12,500 248 * United States Exploration, Inc. 156,800 248 * Mesaba Holdings, Inc. 40,425 247 * Digimarc Corp. 21,800 247 * Main Street & Main, Inc. 116,400 247 CoBiz Inc. 16,600 246 * Republic Bancshares, Inc. 12,500 246 * Portal Software, Inc. 303,432 245 * SONUS Pharmaceuticals, Inc. 115,617 245 Farmers Capital Bank Corp. 7,354 245 * TTM Technologies, Inc. 73,808 244 Stifel Financial Corp. 21,905 244 * Unity Bancorp, Inc. 29,559 244 * The Penn Traffic Co. 69,447 243 * Global Power Equipment Group Inc. 49,185 242 * Citizens, Inc. 32,300 242 * Group 1 Software, Inc. 20,264 242 * Young Innovations, Inc. 10,400 242 * Applied Films Corp. 12,100 242 * NetSolve, Inc. 35,800 242 * Vastera, Inc. 42,700 241 Intermet Corp. 57,206 240 * ANADIGICS, Inc. 93,090 240 Stephan Co. 69,807 240 Pope & Talbot, Inc. 16,800 240 * Dyax Corp. 133,081 240 * Nuance Communications Inc. 96,455 239 * Championship Auto Racing Teams, Inc. 64,500 239 Tech/Ops Sevcon, Inc. 46,681 238 * Multex.com Inc. 56,545 237 * SM&A Corp. 64,344 237 Cascade Natural Gas Corp. 11,800 236 * Sunrise Telecom Inc. 132,348 234 Boston Communications Group, Inc. 18,400 234 * Netegrity, Inc. 71,847 234 * Cavalier Homes, Inc. 120,127 233 * VitalWorks Inc. 60,310 232 * Bioreliance Corp. 10,000 232 * Interep National Radio Sales, Inc. 98,600 230 * Humphrey Hospitality Trust, Inc. REIT 116,911 229 * SRI/Surgical Express, Inc. 40,315 229 * eCollege.com Inc. 66,231 228 * PetroQuest Energy, Inc. 55,000 228 30 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * TheStreet.com, Inc. 77,758 $ 228 CCBT Financial Cos. Inc. 8,854 227 * Protection One, Inc. 113,561 227 * SeraCare Life Sciences, Inc. 37,801 227 * DHB Industries, Inc. 136,600 227 * Catalytica Energy Systems, Inc. 81,999 226 * Mechanical Technology Inc. 135,451 226 * Net2Phone, Inc. 55,845 226 * Xanser Corp. 143,034 226 * Variagenics, Inc. 164,630 226 * Omnova Solutions Inc. 55,875 225 * Allos Therapeutics Inc. 29,700 223 * Autobytel Inc. 79,701 223 * DigitalThink, Inc. 127,470 223 Peapack Gladstone Financial Corp. 6,500 223 * Catalina Lighting, Inc. 23,200 220 * Aphton Corp. 56,649 220 * Sterling Financial Corp. (Spokane) 11,688 220 * DT Industries, Inc. 84,200 220 * Ventiv Health, Inc. 110,337 220 Psychemedics Corp. 23,437 219 * Management Network Group Inc. 145,690 219 * Excel Technology, Inc. 12,200 218 * Covenant Transport, Inc. 11,500 218 * Graphic Packaging International Corp. 38,600 218 * Saba Software, Inc. 205,290 218 Center Trust, Inc. REIT 27,800 217 * Oplink Communications, Inc. 273,711 216 * General Binding Corp. 25,387 215 * II-VI, Inc. 13,400 215 * Integrated Telecom Express, Inc. 134,867 214 Partners Trust Financial Group, Inc. 13,300 214 * Dynacq International, Inc. 14,900 214 * Capital Title Group, Inc. 83,952 214 * IDine Rewards Network Inc. 20,100 213 * Aradigm Corp. 131,617 213 * Glenayre Technologies, Inc. 186,956 213 * Ciphergen Biosystems, Inc. 61,701 213 * Microvision, Inc. 39,900 212 * NetFlix.com, Inc. 19,200 211 D&E Communications, Inc. 25,251 211 * Computer Network Technology Corp. 29,700 211 * Information Resources, Inc. 131,729 211 * Edgewater Technology, Inc. 44,534 210 * Zoltek Cos., Inc. 95,221 209 * Numerex Corp. 83,426 209 * Jupitermedia Corp. 83,747 209 * Royale Energy, Inc. 41,051 208 * Netro Corp. 76,090 208 CT Communications, Inc. 18,345 207 * BroadVision, Inc. 60,734 207 * Time Warner Telecom Inc. 97,741 206 * Epicor Software Corp. 164,925 206 * ITLA Capital Corp. 6,200 206 * FTD, Inc. 12,900 205 * Green Mountain Coffee Roasters, Inc. 13,600 205 * Mobius Management Systems, Inc. 85,497 205 * MIPS Technologies, Inc. Class B 71,209 205 * Vitria Technology, Inc. 273,218 205 Habersham Bancorp 11,491 205 * MedSource Technologies, Inc. 31,400 204 * Extended Systems Inc. 107,686 204 * Resonate Inc. 113,916 202 * Gallery of History, Inc. 53,902 201 * Party City Corp. 16,700 200 * LabOne, Inc. 11,300 200 National Service Industries, Inc. 27,887 200 * Aksys, Ltd. 37,528 199 Provident Bancorp, Inc. 6,400 199 * Quovadx, Inc. 81,356 197 * Medialink Worldwide, Inc. 59,611 197 Firstfed America Bancorp, Inc. 7,900 196 * Kmart Corp. 981,089 196 * RTI International Metals 19,400 196 * Acclaim Entertainment Inc. 295,419 195 * Synalloy Corp. 46,335 195 * LMI Aerospace, Inc. 89,603 194 * Finish Line, Inc. 18,300 193 Penn Engineering & Manufacturing Corp. 18,100 193 * Interland Inc. 148,019 192 * Red Robin Gourmet Burgers 15,100 192 * Gabelli Asset Management Inc. 6,400 192 * Franklin Electronic Publishers, Inc. 122,940 192 * Maxim Pharmaceuticals, Inc. 65,811 190 * Emisphere Technologies, Inc. 54,166 188 * Active Power, Inc. 105,800 188 * Comshare Inc. 87,502 188 * Arden Group Inc. Class A 3,100 188 * Syntroleum Corp. 108,277 187 * Republic First Bancorp, Inc. 28,700 187 Ennis Business Forms, Inc. 16,000 186 * Ultimate Electronics, Inc. 18,300 186 PrivateBancorp, Inc. 4,900 185 Royal Bancshares of Pennsylvania, Inc. 8,641 185 North Pittsburgh Systems, Inc. 13,500 184 * AZZ Inc. 14,798 184 * Chordiant Software, Inc. 127,359 183 * Darling International, Inc. 102,344 183 31 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * BTU International, Inc. 86,488 $ 182 * HomeStore, Inc. 213,652 182 * Sanchez Computer Associates, Inc. 63,045 182 * Optical Communication Products, Inc. 168,034 181 * Frontier Airlines, Inc. 26,800 181 * Cellstar Corp. 31,715 181 * Centra Software, Inc. 180,377 180 * Caliper Technologies Corp. 59,893 180 * Pegasus Communications Corp. Class A 137,040 180 * BSQUARE Corp. 142,047 179 * Cone Mills Corp. 104,013 179 * E-LOAN, Inc. 96,292 178 * MIPS Technologies, Inc. 58,706 178 * Redhook Ale Brewery, Inc. 86,380 178 * Harvard Bioscience, Inc. 53,902 178 * Meridian Medical Technologies, Inc. 4,000 178 * Ethyl Corp. 27,342 177 Amerivest Properties, Inc. 28,600 177 NASB Financial Inc. 7,700 177 * Coeur D'Alene Mines Corp. 91,439 176 * Internet Capital Group, Inc. 484,628 174 * Hycor Biomedical Inc. 87,063 174 * Illumina, Inc. 51,278 173 * Digital Impact, Inc. 90,829 173 * MetaSolv, Inc. 125,635 172 Lillian Vernon Corp. 41,937 172 * At Road, Inc. 41,600 172 * Factory 2-U Stores Inc. 50,360 172 * Viewpoint Corp. 91,539 171 * Avici Systems Inc. 47,809 171 * MicroStrategy Inc. 11,316 171 * Powell Industries, Inc. 10,000 171 * UAL Corp. 119,186 170 * AtheroGenics, Inc. 23,000 170 * Consumer Portfolio Services, Inc. 81,480 170 * Edison Schools Inc. 104,818 170 * Centillium Communications, Inc. 74,955 169 Pennrock Financial Services Corp. 6,100 169 * Commerce One, Inc. 61,484 169 * Argonaut Technologies Inc. 171,544 168 * Sequenom, Inc. 93,083 168 * Crossroads Systems, Inc. 179,919 167 * Covista Communications, Inc. 56,275 167 First Oak Brook Bancshares, Inc. 5,300 167 * National Healthcare Corp. 9,500 166 HEICO Corp. Class A 20,051 166 * Big Dog Holdings, Inc. 67,350 166 * EMCORE Corp. 75,296 165 * Clean Harbors Inc. 10,600 165 * Covansys Corp. 43,720 164 * Lifeway Foods, Inc. 23,258 164 * Overstock.com, Inc. 12,600 164 * JNI Corp. 58,758 163 * American Independence Corp. 59,707 162 * RWD Technologies, Inc. 104,677 162 Titan International, Inc. 120,539 162 * Innotrac Corp. 71,758 161 * Array BioPharma Inc. 28,900 160 * Register.com, Inc. 35,600 160 * OAO Technology Solutions, Inc. 100,118 160 * Restoration Hardware, Inc. 31,900 160 * Allscripts Healthcare Solutions, Inc. 66,838 160 * Avanex Corp. 151,872 159 * ParthusCeva Inc. 26,896 159 Pennfed Financial Services, Inc. 5,840 159 * Luby's, Inc. 54,346 158 * Synagro Technologies Inc. 63,340 157 * Allegiance Telecom, Inc. 234,859 157 Shenandoah Telecommunications Co. 3,200 157 * Genaissance Pharmaceuticals, Inc. 179,700 156 * Drugstore.com, Inc. 65,122 156 Donegal Group Inc. 13,800 155 First Midwest Financial, Inc. 9,751 155 BEI Technologies, Inc. 13,800 154 * Tradestation Group Inc. 106,935 154 * FARO Technologies, Inc. 81,368 154 * Acacia Research- Acacia Technologies 63,760 154 * NMS Communications Corp. 79,847 153 * Corvas International, Inc. 98,309 152 * QuickLogic Corp. 143,287 152 * Proxymed Pharmacy, Inc. 14,529 152 * Digital Generation Systems 141,705 152 * International Shipholding Corp. 24,761 151 * AP Pharma Inc. 150,724 151 * ONYX Software Corp. 96,672 150 * Del Laboratories, Inc. 7,370 149 * Euronet Worldwide, Inc. 19,800 149 * Mattson Technology, Inc. 51,800 148 * Quantum Fuel Systems Technologies Worldwide, Inc. 62,826 148 * Synaptics Inc. 19,400 147 * Intelidata Technologies Corp. 163,608 147 Schawk, Inc. 14,800 147 * Tellium, Inc. 228,653 146 * Sangamo BioSciences, Inc. 48,126 145 * Acacia Research-CombiMatrix 39,789 145 * Vyyo Inc. 56,984 145 Steel Technologies, Inc. 8,500 144 32 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Horizon Group Properties, Inc. REIT 48,293 144 * PDF Solutions, Inc. 20,700 143 Bank of the Ozarks, Inc. 6,108 143 Laser Mortgage Management, Inc. REIT 110,055 143 Building Materials Holding Corp. 10,000 143 * Astec Industries, Inc. 14,300 142 Ingles Markets, Inc. 12,034 142 * ITXC Corp. 60,180 140 * Genzyme Molecular Oncology 79,732 140 * Mercator Software, Inc. 143,343 139 * Semitool, Inc. 22,300 138 EMC Insurance Group, Inc. 7,726 138 * Foster Wheeler Ltd. 118,971 138 * Navarre Corp. 68,586 138 * Analysts International Corp. 69,543 138 CFS Bancorp, Inc. 9,598 137 * Atlas Air Worldwide Holdings, Inc. 90,311 136 * IntegraMed America, Inc. 23,461 136 * Raytech Corp. 23,900 136 * Turnstone Systems, Inc. 50,414 136 * Caminus Corp. 58,169 136 * Rita Medical Systems, Inc. 26,900 136 Pilgrim's Pride Corp. Class A 22,950 135 * AstroPower, Inc. 16,900 135 * SCM Microsystems, Inc. 31,685 135 * White Electronic Designs Corp. 17,575 134 * Touch America Holdings, Inc. 343,992 134 * Wave Systems Corp. 99,932 133 * Peet's Coffee & Tea Inc. 9,400 133 * Amcast Industrial Corp. 78,041 133 * TRC Cos., Inc. 10,100 133 * Prime Energy Corp. 16,556 132 * Callon Petroleum Co. 39,486 132 * Taser International Inc. 32,600 132 * Intrado Inc. 13,200 131 * Cosine Communications, Inc. 21,688 131 * ICT Group, Inc. 11,300 131 Franklin Financial Corp. 5,700 131 * Diacrin, Inc. 119,709 131 * Summa Industries 13,600 130 * Cygnus Inc. 196,823 130 * Applied Molecular Evolution, Inc. 63,230 130 * Nanogen, Inc. 83,514 129 * Merge Technologies, Inc. 18,800 129 * Virage, Inc. 184,464 129 * Air Methods Corp. 22,659 129 * Brightpoint, Inc. 16,251 128 * eLoyalty Corp. 30,913 128 * Read Rite Corp. 365,934 128 TriCo Bancshares 5,200 128 * SpeechWorks International Inc. 45,481 126 * Extensity, Inc. 72,410 126 * Diedrich Coffee, Inc. 36,209 126 First State Bancorporation 5,047 125 * TranSwitch Corp. 181,621 125 * Trump Hotels & Casino Resorts, Inc. 47,513 124 * Rentrak Corp. 22,900 123 * Curon Medical Inc. 192,760 123 * Salix Pharmaceuticals, Ltd. 17,600 123 * Supertex, Inc. 8,200 122 * Goodrich Petroleum Corp. 48,700 122 * EnPro Industries, Inc. 30,435 122 * QCF Bancorp, Inc. 3,900 121 * Belmont Bancorp 26,594 121 Burnham Pacific Properties, Inc. REIT 102,335 120 * ACT Teleconferencing, Inc. 93,300 119 * Clearone Communications Inc. 26,800 119 * Pinnacor Inc. 97,282 119 * Perceptron, Inc. 55,122 119 Citizens 1st Bancorp, Inc. 5,600 118 Interchange Financial Services Corp. 7,300 118 Eastern Virginia Bankshares, Inc. 6,500 116 * Westpoint Stevens, Inc. 196,929 116 Camden National Corp. 4,800 116 * Community West Bancshares 25,243 116 * Alteon, Inc. 56,587 116 Wayne Savings Bancshares, Inc. 7,232 116 * NIC Inc. 80,169 115 * Benihana Inc. 8,400 115 * Texas Biotechnology Corp. 81,577 114 Yardville National Bancorp 6,600 114 * Troy Group, Inc. 73,606 114 * Internap Network Services Corp. 304,342 113 * Candie's, Inc. 102,192 112 * Online Resources Corp. 40,000 112 * Nutrition 21 Inc. 175,223 112 * General Bearing Corp. 36,504 111 * Endocare, Inc. 32,362 111 Mission West Properties Inc. REIT 11,200 111 * BindView Development Corp. 76,563 110 Ameriana Bancorp 9,600 110 Friedman's, Inc. Class A 12,632 110 * Sports Resorts International, Inc. 18,400 108 * SatCon Technology Corp. 77,133 108 * Electroglas, Inc. 70,116 108 * GenVec, Inc. 33,919 108 * Toreador Resources Corp. 42,557 107 * EXE Technologies, Inc. 192,756 106 * Carmike Cinemas, Inc. 5,318 104 * Tumbleweed Communications Corp. 67,360 104 * Westell Technologies, Inc. 87,057 104 33 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Captiva Software Corp. 64,880 $ 104 * Aspen Technologies, Inc. 36,677 104 * i3 Mobile, Inc. 76,831 104 * Baldwin Technology Class A 235,419 104 * Option Care, Inc. 13,000 103 Aaron Rents, Inc. 4,500 103 * dELiA 228,457 103 * SBA Communications Corp. 250,612 103 * SoundView Technology Group, Inc. 68,441 103 * Track Data Corp. 204,492 102 * H Power Corp. 26,566 102 * Braun Consulting, Inc. 111,806 102 * Transgenomic, Inc. 45,307 101 * BWAY Corp. 5,100 101 * Alpine Group, Inc. 134,149 101 * SpectraLink Corp. 14,000 101 * Digital Lightwave, Inc. 81,420 100 * Res-Care, Inc. 27,600 100 * All American Semiconductor, Inc. 47,681 100 * Genus, Inc. 43,500 100 * Peco II, Inc. 154,529 99 * Applix, Inc. 90,413 98 * Technology Solutions Co. 89,439 97 * NaPro BioTherapeutics, Inc. 143,076 97 * Double Eagle Petroleum Co. 17,633 97 * Bell Industries, Inc. 60,198 96 * LCA-Vision Inc. 42,132 96 Cascade Corp. 6,000 96 * Maxwell Shoe Co. Inc. 8,200 95 * Alamosa Holdings, Inc. 181,913 95 * Oxigene, Inc. 89,524 94 * Trailer Bridge, Inc. 43,846 94 * US SEARCH.com Inc. 115,126 93 * Aetrium, Inc. 121,076 93 * Iridex Corp. 32,100 93 * Amerco, Inc. 20,978 93 * Cannondale Corp. 86,392 92 * Quidel Corp. 26,500 92 * CenterSpan Communications Corp. 79,098 92 Nature's Sunshine Inc. 9,425 92 * Anthony & Sylvan Pools Corp. 26,081 91 * Creative Host Services, Inc. 47,998 91 Pacific Energy Partners, LP 4,600 91 * SONICblue Inc. 200,972 90 * US Physical Therapy, Inc. 8,100 90 * GSI Commerce, Inc. 24,674 90 * Terra Industries, Inc. 58,781 90 * Titan Pharmaceuticals, Inc. 62,690 90 * Blue Coat Systems, Inc. 22,718 89 * Smart & Final Inc. 17,200 89 * Horizon Organic Holding Corp. 5,500 89 * WJ Communications, Inc. 93,088 89 * Versant Corp. 129,397 88 * Netopia, Inc. 63,269 88 * Electric Fuel Corp. 137,329 88 * Marimba, Inc. 53,219 87 * Lexent Inc. 100,307 86 * Enbridge Energy Management 2,300 86 * Micro Linear Corp. 26,900 86 * SPEEDUS Corp. 111,123 86 * Bentley Pharmaceuticals, Inc. 10,600 85 * Conrad Industries, Inc. 33,845 85 * Therma-Wave Inc. 80,953 85 * Central Coast Bancorp 4,301 85 * ACTV, Inc. 121,037 85 * Earthshell Corp. 146,040 85 * Overland Storage, Inc. 5,800 85 * Whitehall Jewellers, Inc. 8,900 85 Penn Virginia Resource Partners, L.P. 4,100 85 * Avenue A, Inc. 29,147 85 * Webco Industries, Inc. 24,323 85 * Lipid Sciences, Inc. 68,552 84 * iVillage Inc. 89,405 84 * Fresh Choice, Inc. 43,708 84 Mainsource Financial Group, Inc. 3,492 84 Astro-Med, Inc. 26,147 84 * McLeod USA Inc. 98,395 83 * Willis Lease Finance Corp. 16,345 83 * Virologic, Inc. 62,011 82 * TippingPoint Technologies Inc. 8,671 82 Century Aluminum Co. 11,100 82 TIB Financial Corp. 5,200 82 * MIM Corp. 14,100 82 * UbiquiTel Inc. 204,042 82 * Miller Industries, Inc. 23,890 81 * American Bank Note Holographics, Inc. 110,024 81 United Financial Corp. 3,685 81 * Miravant Medical Technologies 88,499 81 * Ostex International, Inc. 45,671 80 D&K Healthcare Resources, Inc. 7,844 80 * Drew Industries, Inc. 5,000 80 * Lightspan Inc. 76,254 80 * SIGA Technologies, Inc. 55,616 80 * Cylink Corp. 65,368 79 Boykin Lodging Co. REIT 8,400 78 * FairMarket, Inc. 47,765 78 * Kosan Biosciences, Inc. 12,900 78 * Genome Therapeutics Corp. 49,528 77 First of Long Island Corp. 2,100 77 Republic Bancorp, Inc. Class A 6,800 77 * Direct Insite Corp. 30,651 77 34 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Pomeroy Computer Resources, Inc. 6,500 $ 76 * Samsonite Corp. 151,845 76 * barnesandnoble.com inc 65,757 76 * RCN Corp. 141,584 75 * Datalink Corp. 19,200 74 * Zonagen, Inc. 75,773 74 * Curis, Inc. 72,075 74 * On Command Corp. 109,131 74 * Network Engines, Inc. 73,461 73 * SBS Technologies, Inc. 8,000 73 Independence Holding Co. 3,406 73 * Docent, Inc. 25,560 73 * Perficient, Inc. 72,490 72 * Adept Technology, Inc. 116,739 72 * ViroPharma Inc. 49,562 72 * Net Perceptions, Inc. 52,195 72 * Allied Motion Technologies, Inc. 40,478 72 Lufkin Industries 3,040 71 Acadia Realty Trust REIT 9,600 71 * Lantronix, Inc. 101,239 71 * Saucony Inc. 7,600 71 * AVI BioPharma, Inc. 14,000 70 West Essex Bancorp, Inc. 2,000 70 * Pumatech, Inc. 97,630 69 * Impreso, Inc. 32,000 69 * Wyndham International, Inc. Class A 300,330 69 * Interlink Electronics Inc. 17,700 69 * Mestek, Inc. 3,800 68 Collins Industries, Inc. 18,100 68 * Pharmacyclics, Inc. 18,890 67 * Neose Technologies, Inc. 7,600 67 * Deltagen, Inc. 139,906 67 * VA Software Corp. 73,785 67 * StorageNetworks, Inc. 57,853 67 * Merry Land Properties, Inc. REIT 7,705 67 * JLM Industries, Inc. 69,052 67 * SYNAVANT Inc. 71,924 67 * Bioject Medical Technologies Inc. 34,300 67 * IntraBiotics Pharmaceuticals, Inc. 228,955 66 * Ista Pharmaceuticals Inc. 20,932 66 * Carrier Access Corp. 164,080 66 * Apropos Technology, Inc. 48,000 65 * Third Wave Technologies 24,247 65 * Total Entertainment Restaurant Corp. 7,701 65 * Wilshire Oil Co. of Texas 18,510 65 * MarineMax, Inc. 5,500 65 * Pacific Premier Bancorp, Inc. 12,201 65 * Critical Path, Inc. 126,768 65 * Collagenex Pharmaceuticals, Inc. 6,800 65 * Capital Trust Class A 12,171 64 Sypris Solutions, Inc. 6,300 64 * Large Scale Biology Corp. 80,256 64 * Cadiz Inc. 116,677 64 * Paxson Communications Corp. 31,100 64 Willow Grove Bancorp, Inc. 4,600 64 * Sirius Satellite Radio, Inc. 99,049 63 * Vical, Inc. 18,186 63 * Divine, Inc. 44,899 63 Superior Financial Corp. 3,413 63 * GTC Biotherapeutics, Inc. 52,914 62 * Abraxas Petroleum Corp. 104,000 62 * Tanning Technology Corp. 82,040 62 * EPIX Medical, Inc. 8,600 62 * Catapult Communications Corp. 5,100 61 * AvantGo, Inc. 62,119 61 * SportsLine.com, Inc. 60,513 61 * Amtech Systems, Inc. 18,932 60 * Penton Media, Inc. Class A 87,980 60 * NetManage, Inc. 35,131 60 * Media 100 Inc. 93,278 60 Knape & Vogt Manufacturing Co. 5,600 60 * Metawave Communications Corp. 209,929 59 * Century Casinos, Inc. 27,100 58 * Chart Industries, Inc. 89,600 58 * Z-Tel Technologies, Inc. 71,622 58 * Concord Camera Corp. 10,500 57 * 3D Systems Corp. 7,300 57 * Biopure Corp. 15,300 57 * U.S. Energy Systems, Inc. 59,910 56 * EntreMed, Inc. 65,320 56 * ImageWare Systems, Inc. 18,400 56 * GMX Resources Inc. 29,105 56 * Cortex Pharmaceuticals, Inc. 85,200 55 * Orchid Biosciences, Inc. 108,386 55 * Interactive Intelligence Inc. 21,217 55 * Hypercom Corp. 14,700 55 American National Bankshares Inc. 2,100 55 * The Princeton Review, Inc. 10,859 54 * Cardiac Science, Inc. 24,200 53 * Dendreon Corp. 10,028 53 * Prime Medical Services, Inc. 6,100 53 * Systemax Inc. 33,952 53 * Tut Systems, Inc. 41,403 52 * Rocky Mountain Chocolate Factory, Inc. 6,381 52 * Sun Bancorp, Inc. (NJ) 3,900 52 * Bell Microproducts Inc. 9,350 52 * VIA NET.WORKS, Inc. 76,174 52 * SVB Financial Services 3,150 51 * Criimi Mae, Inc. REIT 5,005 51 * Oakwood Homes Corp. 118,389 51 35 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * I-many, Inc. 35,762 $ 51 * ebix.com Inc. 19,486 51 * Airnet Communications Corp. 97,361 51 * Kana Software, Inc. 25,546 50 * Predictive Systems, Inc. 167,551 50 * Bel Fuse, Inc. Class A 2,773 50 * COMFORCE Corp. 83,292 50 * Applied Imaging Corp. 22,700 50 * Fargo Electronics 5,700 50 * Bombay Co. 9,900 49 * AirGate PCS, Inc. 79,125 49 Coastal Financial Corp. 3,596 49 * Infogrames, Inc. 27,569 49 BP Prudhoe Bay Royalty Trust 3,300 49 * Stratos Lightwave, Inc. 10,911 48 * New Century Equity Holdings Corp. 184,419 48 * The Immune Response Corp. 49,298 48 * eUniverse, Inc. 8,400 48 * Hyseq, Inc. 54,232 47 * Spiegel, Inc. Class A 130,165 47 * Niku Corp. 11,676 47 * eXegenics Inc. 131,711 46 * Optika Inc. 44,196 46 * REX Stores Corp. 4,500 46 * Constar International Inc. 3,900 46 * Carreker Corp. 10,100 46 * Corio, Inc. 60,880 46 * Healthcare Services Group, Inc. 3,500 46 * Applied Digital Solutions, Inc. 111,000 46 * Mayor's Jeweler's, Inc. 151,566 45 * Carrington Labs Inc. 49,882 45 Warwick Community Bancorp, Inc. 1,601 45 * Blue Martini Software, Inc. 15,484 45 * Ag Services of America, Inc. 6,203 45 * Detwiler, Mitchell & Co. 42,194 44 * Harris Interactive Inc. 15,000 44 * QAD Inc. 12,976 44 * MEEMIC Holdings, Inc. 1,528 44 * Intraware, Inc. 40,196 44 * Align Technology, Inc. 16,000 44 * Onyx Pharmaceuticals, Inc. 7,500 44 * Hanover Direct, Inc. 228,984 44 * SAVVIS Communications Corp. 108,699 43 Quixote Corp. 2,400 43 * International Smart Sourcing, Inc. 9,577 43 * Auspex Systems, Inc. 116,823 43 SNB Bancshares, Inc. 1,800 43 Berkshire Hills Bancorp, Inc. 1,800 42 * American Access Technologies Inc. 70,247 41 * Natural Resource Partners LP 2,000 41 State Bancorp, Inc. 2,300 41 Raven Industries, Inc. 1,200 41 * BioLase Technology, Inc. 7,500 41 * Astea International, Inc. 66,248 41 * DSL.Net, Inc. 82,929 41 Westfield Financia, Inc. 2,600 40 Financial Industries Corp. 2,800 40 * Mississippi Chemical Corp. 124,364 40 * Rainmaker Systems, Inc. 39,608 40 Abigail Adams National Bancorp., Inc. 2,640 40 * Artisoft, Inc. 96,306 39 * Exabyte Corp. 74,440 39 * Lynx Therapeutics Inc. 95,866 39 * Serrento Networks Corp. 9,462 39 * SystemOne Technologies Inc. 59,700 39 * NMT Medial, Inc. 12,800 39 * Click Commerce, Inc. 19,132 39 * U.S. Concrete, Inc. 7,061 39 Woodhead Industries, Inc. 3,400 38 * Cardima, Inc. 42,685 38 FNB Corp. VA 1,600 38 * V.I. Technologies, Inc. 37,354 38 * Andrea Radio Corp. 124,782 37 * Steinway Musical Instruments Inc. 2,300 37 * Lanvision Systems, Inc. 13,075 37 * Equinix, Inc. 6,487 37 * Rouge Industries Inc. 35,866 37 * AT&T Latin America Corp. Class A 174,112 37 * NTELOS Inc. 97,275 36 Hickory Tech Corp. 3,737 36 * Cell Pathways, Inc. 86,646 36 * Universal Access Global Holdings Inc. 185,337 35 * Copper Mountain Networks, Inc. 8,227 35 * Evergreen Solar, Inc. 27,100 35 EnergySouth, Inc. 1,200 34 * Interleukin Genetics, Inc. 66,007 34 * RF Monolithics, Inc. 11,427 33 Southern Financial Bancorp, Inc. 1,100 33 NN, Inc. 3,300 33 * NetScout Systems, Inc. 7,500 33 * SmartDisk Corp. 90,341 33 LSB Bancshares, Inc. 2,000 32 * Sagent Technology, Inc. 106,538 32 * SimpleTech, Inc. 10,500 32 * Applied Graphics Technologies, Inc. 64,726 31 * The Meridian Resource Corp. 34,351 31 * HEI, Inc. 9,600 31 * ARK Restaurants Corp. 5,000 30 Virginia Financial Group, Inc. 1,007 30 36 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Reckson Associates Realty Corp. Class B REIT 1,338 $ 30 * HealthAxis, Inc. 90,147 30 * DDi Corp. 133,982 29 * Larscom, Inc. Class A 79,611 29 * Radio Unica Corp. 97,786 29 * Insmed Inc. 65,225 29 * Matritech Inc. 14,000 29 * Radiologix Inc. 12,600 29 * Cellular Technical Services Co., Inc. 41,972 29 * Superior Telecom Inc. 190,498 29 * Pfsweb Inc. 67,684 28 * Advanced Lighting Technologies, Inc. 84,977 28 * Ampex Corp. Class A 350,153 28 * Caldera International, Inc. 19,213 28 * V-One Corp. 197,136 28 * Vixel Corp. 13,757 28 * Optical Cable Corp. 11,644 27 * Ducommun, Inc. 1,700 27 * Merisel, Inc. 14,170 27 * On2 Technologies, Inc. 87,907 26 Pittsburgh & West Virginia Railroad 2,927 26 * LecTec Corp. 51,486 26 * Paradigm Genetics, Inc. 90,133 26 * SteelCloud Inc. 23,579 26 * Bradley Pharmaceuticals, Inc. 2,000 26 * Com21, Inc. 118,287 26 * WorldGate Communications, Inc. 61,342 26 * MTI Technology Corp. 57,869 25 * Rock of Ages Corp. 4,300 24 * Digex, Inc. 55,623 24 * AXT, Inc. 13,200 24 * Precision Optics Corp. 94,583 24 * Geerlings & Wade Inc. 30,636 24 * Loudeye Corp. 74,834 24 * Pac-West Telecom, Inc. 47,045 24 Citizens South Banking Corp. 2,354 24 * Omtool, Ltd. 83,808 23 * ZEVEX International, Inc. 12,257 23 * Parallel Petroleum Corp. 8,400 23 * WHX Corp. 9,344 23 * LightPath Technologies, Inc. 70,460 23 * Insightful Corp. 24,016 22 * SEEC, Inc. 22,050 22 * Monro Muffler Brake, Inc. 1,300 22 * VCampus Corp. 5,698 22 * SS&C Technologies, Inc. 2,000 21 * Salton, Inc. 2,200 21 * Penn Octane Corp. 6,536 21 * SciQuest, Inc. 45,951 21 * Procom Technology, Inc. 68,825 21 * Euroweb International Corp. 11,922 21 * eGain Communications Corp. 97,828 21 * Versar Inc. 11,100 21 Sphinx International Inc. 50,500 20 * IVAX Diagnostics, Inc. 11,734 20 * Level 8 Systems Inc. 51,514 20 * Chaparral Resources, Inc. 19,536 20 * A.D.A.M., Inc. 43,345 20 * Datakey, Inc. 13,300 19 * Colorado MEDtech, Inc. 9,100 19 * ICO, Inc. 14,343 19 Bandag, Inc. Class A 538 19 * Storage Engine Inc. 25,000 19 * Magellan Petroleum Corp. 21,466 18 * CTI Industries Corp. 2,904 18 * TenFold Corp. 125,043 18 * Storage Computer Corp. 78,329 18 * Federal-Mogul Corp. 81,872 18 * Multilink Technology Corp. Class A 6,660 18 * FirePond, Inc. 7,286 18 * Guilford Pharmaceuticals, Inc. 4,500 18 * NaviSite, Inc. 116,091 17 * Adams Golf, Inc. 69,466 17 * eMerge Interactive, Inc. 65,458 17 * 24/7 Real Media, Inc. 76,202 17 * Primus Knowledge Solutions, Inc. 39,611 17 * Audible, Inc. 55,321 17 * Vornado Operating Inc. REIT 33,478 16 * ATEC Group, Inc. 29,661 16 * Epimmune Inc. 17,657 16 * Star Buffet, Inc. 7,414 16 * Five Star Quality Care, Inc. 11,260 15 * InsWeb Corp. 9,520 15 * Axonyx Inc. 17,600 15 * DA Consulting Group, Inc. 102,051 15 * Maxcor Financial Group Inc. 2,300 15 * Visual Data Corp. 82,929 15 * Neurobiological Technologies, Inc. 2,600 15 * GraphOn Corp. 113,770 15 * Major Automotive Companies Inc. 17,395 15 * Hoenig Group, Inc. 62,830 14 * Koala Corp. 53,300 14 * Chicago Pizza & Brewery, Inc. 2,000 14 * Telaxis Communications Corp. 76,210 14 * Frontline Communications Corp. 52,685 14 * Frontstep, Inc. 6,952 14 * Ezenia!, Inc. 102,053 13 * CYTOGEN Corp. 4,078 13 California National Bancorp 1,028 13 * Rohn Industries Inc. 144,819 13 37 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Osteotech, Inc. 2,000 $ 13 * National Technical Systems, Inc. 4,293 13 * Vertel Corp. 115,716 13 * USDATA Corp. 16,610 12 * Computer Motion, Inc. 11,300 12 * Organogenesis, Inc. 127,037 11 Sanders Morris Harris Group Inc. 1,304 11 * Leap Wireless International, Inc. 75,106 11 * Internet Pictures Corp. 10,620 11 Inter Parfums, Inc. 1,400 11 * Tripath Technology Inc. 38,359 11 * Twinlab Corp. 106,832 11 * Alphanet Solutions, Inc. 7,707 11 * Sheffield Pharmaceuticals, Inc. 55,611 11 * Vermont Teddy Bear Co., Inc. 2,761 11 * General Chemical Group Inc. 17,001 11 * Nobel Learning Communities, Inc. 2,600 10 National Health Realty Inc. REIT 700 10 * Verticalnet, Inc. 12,814 10 * Choice One Communications Inc. 63,174 10 * Wilsons The Leather Experts Inc. 2,000 10 * Superconductor Technologies Inc. 10,620 10 * Appiant Technologies Inc. 50,000 10 * Personnel Group of America, Inc. 65,565 10 * Beta Oil & Gas, Inc. 10,800 9 * Headway Corporate Resources, Inc. 152,392 9 * Valentis, Inc. 40,365 9 * IGI, Inc. 16,672 9 * Billserv, Inc. 46,478 8 * Harken Energy Corp. 39,647 8 * Continucare Corp. 63,419 8 * Navidec, Inc. 3,626 8 * Gilman & Ciocia, Inc. 81,806 8 * TurboChef, Inc. 11,673 8 * Paradigm Medical Industries, Inc. 54,000 8 * Tickets.com, Inc. 8,974 8 * Razorfish, Inc. 4,568 8 * Moyco Technologies, Inc. 38,572 8 * Cambridge Heart, Inc. 13,600 7 * Terremark Worldwide, Inc. 14,300 7 * Actrade Financial Technologies, Ltd. 60,335 7 * I-Link, Inc. 55,200 7 * Rainbow Rentals, Inc. 1,300 7 * Zamba Corp. 84,293 7 * Bruker Axs Inc. 3,600 7 * Novatel Wireless, Inc. 6,942 7 * P-Com, Inc. 34,166 6 * Plumtree Software, Inc. 2,400 6 Lakeland Financial Corp. 270 6 * The A Consulting Team, Inc. 18,542 6 * A.B. Watley Group Inc. 12,454 6 * Adelphia Business Solutions, Inc. 251,784 6 * Comdial Corp. 4,473 6 * NexPrise, Inc. 4,253 6 * GoAmerica, Inc. 20,195 6 * Versata, Inc. 6,605 6 * Micro Component Technology, Inc. 8,200 6 * Applied Microsystems Corp. 63,575 6 Onvia.com, Inc. 2,165 6 * Network-1 Security Solutions, Inc. 39,125 5 * Cross Media Marketing Corp. 9,932 5 * ANC Rental Corp. 108,825 5 * Occam Networks, Inc. 77,466 5 * Alterra Healthcare Corp. 48,194 5 * Metromedia International Group, Inc. 52,400 5 * Evolve Software, Inc. 1,228 5 * M-WAVE, Inc. 4,000 5 * Avalon Digital Marketing Systems, Inc. 4,000 5 * Channell Commercial Corp. 1,200 5 * Comdisco Holding Company, Inc. 58,121 5 * Click2learn, Inc. 6,000 5 BancTrust Financial Group, Inc. 400 4 * Provant, Inc. 38,733 4 * DGSE Companies, Inc. 4,000 4 * Seven Seas Petroleum Inc. 166,545 4 * Verso Technologies, Inc. 7,806 4 * Suburban Lodges Of America, Inc. 5,000 4 * Beacon Power Corp. 17,664 4 * Datawatch Corp. 1,300 4 * EasyLink Services Corp. 5,918 4 * PartsBase Inc. 2,538 4 * Magnum Hunter Resources Inc. Warrants Exp. 3/21/2005 12,588 4 * Williams Communications Group, Inc. 888,054 4 * USA Networks, Inc. Cvt. Pfd. 76 4 * Innovative Medical Services 6,829 3 * IEC Electronics Corp. 37,285 3 * Acceptance Insurance Cos. Inc. 130,972 3 * American Power Technology, Inc. 1,000 3 * Targeted Genetics Corp. 8,079 3 * FirstCity Financial Corp. 2,929 3 * Accrue Software, Inc. 103,024 3 * DiaSys Corp. 5,071 3 * Natrol, Inc. 2,500 3 * DriverShield Corp. 9,268 3 * HealthExtras, Inc. 700 3 * Aviation General Inc. 27,902 3 * Nucentrix Broadband Networks 2,500 3 * Bioanalytical Systems, Inc. 1,000 3 * Genuity Inc. Class A 29,697 3 38 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * XO Communications Inc. Class A 48,114 $ 3 * YouthStream Media Networks, Inc. 29,500 2 * FiberNet Telecom Group, Inc. 12,098 2 * MacroChem Corp. 4,000 2 * Landenburg Thalmann Financial Services, Inc. 21,199 2 Webster City Federal Bancorp 100 2 * Aastrom Biosciences, Inc. 4,000 2 * Catalyst International, Inc. 3,600 2 * Interliant Inc. 101,175 2 * SpectRx, Inc. 1,000 2 * Corrpro Cos., Inc. 3,200 2 * Innovative Companies, Inc. 1,950 2 * Segue Software, Inc. 1,400 1 * Geoworks Corp. (Delaware) 86,635 1 * Cytrx Corp. 5,759 1 * ARTISTdirect, Inc. 634 1 * T-3 Energy Services, Inc. 177 1 * NeoMedia Technologies, Inc. 104,008 1 * Uniroyal Technology Corp. 65,051 1 * Physiometrix, Inc. 2,000 1 * MAII Holdings, Inc. 12,843 1 * Microstrategy Inc. Warrants Exp. 6/24/2007 16,344 1 * Cogent Communications Group, Inc. 2,570 1 * Pinnacle Holdings Inc. REIT 99,079 1 * Gadzoox Networks, Inc. 59,526 1 * Alanco Technologies, Inc. 1,687 1 * eChapman Inc. 11,314 1 * SLI, Inc. 113,972 1 * T/R Systems, Inc. 1,000 1 * News Communications, Inc. 501 0 * Encompass Services Corp. 84,499 0 * uniView Technologies Corp. 11,915 0 * FiNet.com, Inc. 1,015 0 * BRIAZZ, Inc. 1,000 0 * US Unwired Inc. 518 0 * Integra, Inc. 25,271 0 * Wilshire Financial Services Group Inc. 64 0 * Focal Communications Corp. 3,411 0 * Vizacom Inc. 1,361 0 * Frisby Technologies, Inc. 4,195 0 * Innovative Gaming Corp. of America 980 0 * Interplay Entertainment Corp. 1,000 0 * Empire of Carolina, Inc. 8,900 0 * CTC Communications Group, Inc. 233,694 0 * AppliedTheory Corp. 59,512 0 * Aqua Care Systems, Inc. 5,172 0 * USOL Holdings, Inc. 974 0 * American Classic Voyager Co. 42,488 0 * Provell, Inc. 1,000 0 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $29,415,519) $ 23,995,270 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.3%)(1) - -------------------------------------------------------------------------------- Federal National Mortgage Assn. (2) 1.56%, 1/8/2003 $ 8,000 7,998 Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.21%, 1/3/2003--Note E 186,502 186,502 1.22%, 1/3/2003 132,717 132,717 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $327,217) $ 327,217 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (101.0%) (Cost $29,742,736) $ 24,322,487 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-1.0%) - -------------------------------------------------------------------------------- Other Assets--Note B 388,467 Liabilities--Note E (633,128) ---------------- $ (244,661) ---------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 24,077,826 ================================================================================ * See Note A in Notes to Financial Statements. * Non-income-producing security. (1) The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 1.1%, respectively, of net assets. See Note C in Notes to Financial Statements. (2) Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. 39 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET AMOUNT INDEX FUND (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2002, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 30,222,629 Overdistributed Net Investment Income (17,857) Accumulated Net Realized Losses (705,691) Unrealized Depreciation Investment Securities (5,420,249) Futures Contracts (1,006) - -------------------------------------------------------------------------------- NET ASSETS $ 24,077,826 ================================================================================ Investor Shares--Net Assets Applicable to 710,234,262 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 14,253,515 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 20.07 ================================================================================ Admiral(TM) Shares--Net Assets Applicable to 202,737,033 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 4,068,819 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 20.07 ================================================================================ Institutional Shares--Net Assets Applicable to 222,506,414 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 4,465,779 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 20.07 ================================================================================ VIPER(R) Shares--Net Assets Applicable to 15,639,305 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 1,289,713 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- VIPER SHARES $ 82.47 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. (C)2003 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. F850 022003 40 VANGUARD(R) 500 INDEX FUND ANNUAL REPORT * DECEMBER 31, 2002 EARNING YOUR TRUST EVERY DAY The latter part of 2001 and the first half of 2002 brought news of too many corporate scandals, with tales of greed and deception tarnishing Enron, Arthur Andersen, and WorldCom, among others. Given the questionable business dealings at some high-profile companies, investors can hardly be blamed for wondering whom they can trust. Vanguard is a name that should stand out. Why? Our unique corporate structure--The Vanguard Group is owned by each of its independently operated mutual funds and is charged with solely serving the funds' shareholders--ensures that our interests are aligned with yours. We have no other constituency to serve. We are client-focused because, quite frankly, it makes good business sense. Your trust is our most valuable asset, and every one of our crew members understands that his or her actions must meet the highest standards of ethical behavior and fiduciary responsibility. When you assess the combination of our organizational structure, the independent nature of each of our funds, our long track record of conducting business with integrity, and our total commitment to ethical behavior, we hope you will feel completely secure in entrusting your assets to us. There is no better place for them. - --John J. Brennan Chairman and Chief Executive Officer - -------------------------------------------------------------------------------- SUMMARY * Vanguard 500 Index Fund (both Investor and Admiral Shares) declined -22.1%. * The tough stock market and corporate misdeeds shook investor confidence. * Despite a three-year bear market, the fund's annualized return over the past ten years is 9.3%, in line with long-term stock market averages. - -------------------------------------------------------------------------------- CONTENTS 1 Letter from the Chairman 5 Fund Profile 6 Glossary of Investment Terms 7 Performance Summary 8 Your Fund's After-Tax Returns 9 Results of Proxy Voting 10 Financial Statements LETTER FROM THE CHAIRMAN FELLOW SHAREHOLDER, During 2002, Vanguard(R) 500 Index Fund lost -22.1% of its value, its worst calendar-year return since the fund's 1976 inception. The fund met its objective of matching the return of the Standard & Poor's 500 Index--a "success" of sorts, but hardly cause for celebration. Technology stocks were among the worst--and most volatile--performers, accounting for a large share of the index's losses. The stock market downturn gathered pace during the second and third quarters, but reversed course with a solid rally in the final months of 2002. The adjacent table shows returns for the 500 Index Fund's Investor and Admiral Shares and for the fund's comparative standards. The average large-capitalization core mutual fund--the 500 Index Fund's closest analogue to actively managed funds--fell farther than the index, shedding -23.5% of its value. - --------------------------------------- 2002 TOTAL RETURNS FISCAL YEAR ENDED DECEMBER 31 - --------------------------------------- VANGUARD 500 INDEX FUND Investor Shares -22.1% Admiral Shares -22.1 Average Large-Cap Core Fund* -23.5 S&P 500 Index -22.1 - --------------------------------------- *Derived from data provided by Lipper Inc. AMID CORPORATE SCANDALS,STOCKS FELL FOR A THIRD CONSECUTIVE YEAR During 2002, lawmakers, prosecutors, and securities-industry regulators ramped up their efforts to expose unethical and illegal business practices. As revelations of fraudulent accounting practices mounted--helping to push a handful of well-known companies into bankruptcy--investors lost confidence in the financial markets. Economic uncertainty, the threat of terrorism, and the prospect of war with Iraq also weighed on the nation. It was all too much for the stock market, which skidded -20.9% as measured by the Wilshire 5000 Total Market Index, a benchmark that includes mid- and small-cap stocks not represented in the S&P 500. Stocks of all kinds declined. Growth stocks--shares in companies that are expected to increase their earnings quickly--plunged -28.0%, according to the Russell 3000 Growth Index. Value stocks also proved disappointing: The Russell 3000 Value Index fell -15.2%. - -------------------------------------------------------------------------------- Admiral(TM) Shares A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. - -------------------------------------------------------------------------------- Sorted by market capitalization, the declines were more uniform. Large-cap stocks, as measured by the Russell 1000 Index, sank -21.7%. Small-caps (the Russell 2000 Index) dropped -20.5%. 1 THE ECONOMY BEGAN TO GROW AGAIN, SLOWLY; BONDS SHONE ONCE MORE Although the stock market seemed oblivious, the recession of 2001 gave way to halting economic growth in 2002. The production of goods and services rebounded nicely in the first quarter, only to decelerate in the second quarter. This pattern reappeared in the second half of the year: The nation's real (inflation-adjusted) gross domestic product grew at an annual rate of 4.0% between July and September, but lackluster holiday sales restrained growth in the fourth quarter. - ---------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ------------------------------------- ONE THREE FIVE YEAR YEARS YEARS - ---------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) -21.7% -14.2% -0.6% Russell 2000 Index (Small-caps) -20.5 -7.5 -1.4 Wilshire 5000 Index (Entire market) -20.9 -14.4 -0.9 MSCI All Country World Index Free ex USA (International) -14.7 -16.4 -2.7 - ---------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 10.3% 10.1% 7.5% (Broad taxable market) Lehman Municipal Bond Index 9.6 8.8 6.1 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 1.7 3.9 4.3 ============================================================================ CPI Consumer Price Index 2.4% 2.4% 2.3% - ---------------------------------------------------------------------------- Interest rates dropped, leading to a mortgage-refinancing boom that supported consumer spending. The yield of the 3-month Treasury bill fell 53 basis points (0.53 percentage point) to 1.19% as of December 31, while the yield of the 10-year Treasury note declined 124 basis points to 3.81%. The Lehman Brothers Aggregate Bond Index, which tracks the market for taxable investment-grade bonds, returned 10.3% for the year. FOR THE S&P 500, IT WAS THE ROUGHEST YEAR IN A QUARTER-CENTURY In the past year's punishing investment climate, the large-cap stocks that dominate the S&P 500 Index turned in their worst performance since 1974. Technology stocks, among the worst-performing sectors during the past three years, lost -37% of their value and shaved about 6 percentage points from the index's (and the fund's) 12-month return. Technology companies--and their investors--continued to work through the excesses of the late-1990s tech-stock bubble. Valuations declined as the sector's profits were crushed by corporate America's reluctance to spend heavily on new information technology. During the fourth quarter, however, signs emerged that the long freeze in capital spending might be thawing, and technology stocks posted strong three-month gains. - -------------------------------------------------------------------------------- The past year marked the stock market's worst performance since 1974. - -------------------------------------------------------------------------------- The index's, and the fund's, other big detractors were consumer discretionary and utilities stocks. The utilities 2 sector includes the beleaguered telecommunications stocks, while the consumer discretionary group tumbled on fears that debt-heavy consumers would soon have to rein in their borrowing and spending. No stock market sector posted a positive return for the 12 months, but consumer staples stocks--those of the food processors and household-goods makers that have traditionally held up well in tough markets--lost the least. It's worth noting that 2002 marked the third consecutive year in which Vanguard 500 Index Fund has not distributed any capital gains. That may seem unremarkable in a long bear market, but indexing's critics have long argued that in such a downturn index funds would experience mass redemptions, forcing the funds to sell stocks and realize gains from long-term holdings. The redemptions haven't happened, and thanks to skilled portfolio administration by Vanguard's Quantitative Equity Group, it's unlikely that significant gains would be realized except in extraordinary circumstances. INDEXING HAS YIELDED LONG-TERM REWARDS The 500 Index Fund's longer-term returns provide a welcome counterpoint to its dismal recent results. Even after the ravages of the current bear market, the fund's annualized return over the past ten years is 9.3%--not far from the stock market's long-term average. Our result nearly matches the return of the S&P 500 Index (which is slightly higher than the fund's if taken out to the "one-hundredths" decimal place). That's a powerful testament to the skill of our portfolio managers. After all, the index is a theoretical construct that incurs no operating or transaction costs, while the Quantitative Equity Group must reproduce the index's results in the real world. - ---------------------------------------------------------------------------- TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2002 -------------------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - ---------------------------------------------------------------------------- 500 Index Fund Investor Shares 9.3% $24,259 Average Large-Cap Core Fund 7.5 20,568 S&P 500 Index 9.3 24,433 - ---------------------------------------------------------------------------- Your fund's ten-year return surpasses the average return of large-cap core mutual funds by 1.8 percentage points, a seemingly modest difference, but one that adds up to significant capital over a decade, as shown in the table below. An initial hypothetical investment of $10,000 in Vanguard 500 Index Fund Investor Shares at year-end 1992 would have grown to $24,259 by the end of 2002. The same investment in the average peer fund would have increased to $20,568--a $3,691 shortfall that is primarily the result of our peers' higher costs. (During 2002, the 500 Index Fund Investor Shares had an expense ratio of just 0.18%--0.12% for Admiral Shares--while the average peer levied a 1.38% charge.) 3 PREPARE FOR THE BEST--AND FOR THE WORST Is the worst over? The stock market's fourth-quarter rally was encouraging, but the truth is no one knows what the market's future returns will be. That uncertainty doesn't make us powerless; it puts a premium on sensible planning. That's why Vanguard advocates a balanced investment approach that includes stock, bond, and money market funds in proportions appropriate to your goals and unique financial circumstances. Diversification among asset classes is the best way to manage investment risk while still positioning your portfolio for the rewards that risky assets can be expected to deliver. It's also important to diversify within the different asset classes. In the stock market, the broadly diversified Vanguard 500 Index Fund is an excellent place to start. You can achieve even greater diversification by supplementing this large-cap-dominated fund with an investment in a smaller-stock fund. By following these simple principles, you enhance your ability to stick with an investment program through the tough times so that your portfolio gets the most benefit from the eventual--and inevitable--market recovery. We thank you for entrusting your hard-earned money to us. Sincerely, /S/JOHN J. BRENNAN John J. Brennan Chairman and Chief Executive Officer January 10, 2003 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2001-DECEMBER 31, 2002 DISTRIBUTIONS PER SHARE ---------------------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- 500 Index Fund Investor Shares $105.89 $81.15 $1.360 $0.00 Admiral Shares 105.89 81.15 $1.414 0.00 - -------------------------------------------------------------------------------- 4 FUND PROFILE AS OF DECEMBER 31, 2002 This Profile provides a snapshot of the fund's characteristics, compared where appropriate with an unmanaged market index. Key terms are defined on page 6. 500 INDEX FUND - ----------------------------------------- PORTFOLIO CHARACTERISTICS S&P FUND 500 - ----------------------------------------- Number of Stocks 505 500 Median Market Cap $47.0B $47.0B Price/Earnings Ratio 21.9x 21.9x Price/Book Ratio 2.7x 2.7x Yield 1.8% Investor Shares 1.6% Admiral Shares 1.7% Return on Equity 23.2% 23.2% Earnings Growth Rate 7.3% 7.3% Foreign Holdings 0.3% 0.3% Turnover Rate 7% -- Expense Ratio -- Investor Shares 0.18% Admiral Shares 0.12% Cash Investments 0.0% -- - ----------------------------------------- - -------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Microsoft Corp. 3.4% (software) General Electric Co. 3.0 (conglomerate) ExxonMobil Corp. 2.9 (oil) Wal-Mart Stores, Inc. 2.7 (retail) Pfizer, Inc. 2.3 (pharmaceuticals) Citigroup, Inc. 2.2 (banking) Johnson & Johnson 2.0 (pharmaceuticals) American International Group, Inc. 1.8 (insurance) International Business Machines Corp. 1.6 (computer hardware) Merck & Co., Inc. 1.6 (pharmaceuticals) - -------------------------------------------- Top Ten 23.5% - -------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ---------------------------------------- VOLATILITY MEASURES S&P FUND 500 - ---------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - ---------------------------------------- - ------------------------- INVESTMENT FOCUS MARKET CAP LARGE STYLE BLEND - ------------------------- - -------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) S&P FUND 500 - -------------------------------------------- Auto & Transportation 2.6% 2.6% Consumer Discretionary 13.3 13.3 Consumer Staples 8.5 8.5 Financial Services 21.8 21.8 Health Care 14.8 14.8 Integrated Oils 4.6 4.6 Other Energy 1.5 1.5 Materials & Processing 3.3 3.3 Producer Durables 3.8 3.8 Technology 13.6 13.6 Utilities 7.6 7.6 Other 4.6 4.6 - -------------------------------------------- VISIT OUR WEBSITE AT 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 fund's target index. The index is assigned a beta of 1.00. 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. If the fund's total returns were precisely synchronized with the 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. - -------------------------------------------------------------------------------- 6 PERFORMANCE SUMMARY AS OF DECEMBER 31, 2002 All of the returns in this report 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. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. 500 INDEX FUND - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1992-DECEMBER 31, 2002 AVERAGE 500 INDEX FUND LARGE-CAP S&P 500 WILSHIRE INVESTOR SHARES* CORE FUND ** INDEX 5000 INDEX 199212 10000 10000 10000 10000 199303 10433 10375 10437 10426 199306 10478 10453 10487 10504 199309 10742 10798 10758 10929 199312 10989 11061 11008 11128 199403 10567 10662 10590 10713 199406 10609 10573 10635 10630 199409 11124 11010 11155 11207 199412 11118 10907 11153 11121 199503 12198 11781 12239 12125 199506 13355 12802 13408 13257 199509 14415 13751 14473 14469 199512 15282 14435 15344 15175 199603 16098 15169 16168 16027 199606 16815 15754 16894 16733 199609 17329 16241 17416 17207 199612 18778 17397 18867 18394 199703 19271 17584 19373 18513 199706 22627 20435 22755 21639 199709 24320 21940 24460 23750 199712 25010 22315 25162 24149 199803 28490 25266 28672 27351 199806 29427 25952 29619 27884 199809 26499 22939 26673 24530 199812 32168 27985 32353 29807 199903 33770 29324 33965 30932 199906 36135 31252 36359 33346 199909 33876 29302 34089 31141 199912 38945 34239 39161 36830 200003 39818 35688 40059 38235 200006 38781 34805 38995 36521 200009 38419 34518 38617 36581 200012 35418 31172 35596 32802 200103 31204 27793 31376 28755 200106 33020 29368 33212 30904 200109 28160 25056 28337 25991 200112 31160 26882 31365 29206 200203 31233 27274 31451 29487 200206 27037 23771 27237 25769 200209 22382 19942 22532 21439 200212 24259 20568 24433 23115 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ---------------------------------- FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT - -------------------------------------------------------------------------------- 500 Index Fund Investor Shares* -22.15% --0.61% 9.27% $24,259 Average Large-Cap Core Fund** --23.49 --1.62 7.48 20,568 S&P 500 Index --22.10 --0.59 9.34 24,433 Wilshire 5000 Index --20.86 --0.87 8.74 23,115 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- 500 Index Fund Admiral Shares -22.10% -17.06% $167,827 S&P 500 Index -22.10 -17.03 167,932 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-DECEMBER 31, 2002 500 INDEX FUND S&P 500 INVESTOR SHARES* INDEX 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 -12.0 -11.9 2002 -22.1 -22.1 - -------------------------------------------------------------------------------- * Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. ** Derived from data provided by Lipper Inc. + November 13, 2000. Note: See Financial Highlights tables on pages 19 and 20 for dividend and capital gains information. 7 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. (In the example that assumes all fund shares were sold, a negative pre-tax total return translates into a higher after-tax return. This is because the calculation assumes that the investor received a tax deduction for the loss incurred on the sale.) The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ONE YEAR FIVE YEARS TEN YEARS ---------------------------------------- 500 Index Fund Investor Shares* Returns Before Taxes -22.15% -0.61% 9.27% Returns After Taxes on Distributions -22.62 -1.14 8.44 Returns After Taxes on Distributions and Sale of Fund Shares -13.58 -0.67 7.44 ================================================================================ * Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. 8 - -------------------------------------------------------------------------------- NOTICE TO SHAREHOLDERS At a special meeting of shareholders on December 3, 2002, fund shareholders approved the following proposals: * Elect trustees for the fund.* The individuals listed in the table below were elected as trustees for the fund. All trustees served as trustees to the fund prior to the shareholder meeting. - -------------------------------------------------------------------------------- Percentage Trustee For Withheld For - -------------------------------------------------------------------------------- John J. Brennan 70,380,839,727 1,259,995,409 98.2% Charles D. Ellis 70,360,941,814 1,279,893,321 98.2 Rajiv L. Gupta 70,274,493,869 1,366,341,266 98.1 JoAnn Heffernan Heisen 70,368,543,153 1,272,291,982 98.2 Burton G. Malkiel 70,284,920,657 1,355,914,478 98.1 Alfred M. Rankin, Jr. 70,401,439,983 1,239,395,152 98.3 J. Lawrence Wilson 70,272,336,850 1,368,498,286 98.1 - -------------------------------------------------------------------------------- * Change the fund's policy on investing in other mutual funds. This change enables the fund to invest its cash reserves in specially created money market and short-term bond funds. This new cash management program, which is similar to those of other large mutual fund complexes, should help the fund to achieve greater diversification and to earn modestly higher returns on its cash reserves. The fund will need Securities and Exchange Commission approval before implementing this new cash management program. - -------------------------------------------------------------------------------- BROKER PERCENTAGE FOR AGAINST ABSTAIN NON-VOTES FOR - -------------------------------------------------------------------------------- 500 Index Fund 32,124,657,749 1,678,063,610 884,541,780 6,511,054,055 78.0% * Reclassify the fund as nondiversified. This change to "nondiversified" status enables the fund to continue tracking its target index in the event that the index becomes dominated by a small number of stocks. - -------------------------------------------------------------------------------- BROKER PERCENTAGE FOR AGAINST ABSTAIN NON-VOTES FOR - -------------------------------------------------------------------------------- 500 Index Fund 32,303,340,692 1,347,046,384 1,036,876,062 6,511,054,055 78.4% - -------------------------------------------------------------------------------- * Results are for all funds within the same trust. NOTE: Vote tabulations are rounded to the nearest whole number. 9 FINANCIAL STATEMENTS AS OF DECEMBER 31, 2002 STATEMENT OF NET ASSETS This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. - -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.3%)(1) - -------------------------------------------------------------------------------- * Microsoft Corp. $ 44,637,861 $ 2,307,777 General Electric Co. 83,082,133 2,023,050 ExxonMobil Corp. 56,180,094 1,962,932 Wal-Mart Stores, Inc. 36,852,506 1,861,420 Pfizer, Inc. 51,448,368 1,572,777 Citigroup, Inc. 42,883,099 1,509,056 Johnson & Johnson 24,801,607 1,332,094 American International Group, Inc. 21,779,289 1,259,932 International Business Machines Corp. 14,110,656 1,093,576 Merck & Co., Inc. 18,748,329 1,061,343 Procter & Gamble Co. 10,847,868 932,266 The Coca-Cola Co. 20,698,225 906,996 Verizon Communications 22,841,084 885,092 Bank of America Corp. 12,496,003 869,347 Intel Corp. 55,312,565 861,217 * Cisco Systems, Inc. 60,323,134 790,233 SBC Communications Inc. 27,720,605 751,506 Philip Morris Cos., Inc. 17,271,144 699,999 Wells Fargo & Co. 14,125,634 662,068 PepsiCo, Inc. 14,419,144 608,776 Eli Lilly & Co. 9,379,080 595,572 * Viacom Inc. Class B 14,560,097 593,470 ChevronTexaco Corp. 8,918,087 592,875 United Parcel Service, Inc. 9,322,431 588,059 * Dell Computer Corp. 21,622,759 578,193 Fannie Mae 8,307,327 534,410 Abbott Laboratories 13,045,711 521,828 * Amgen, Inc. 10,745,817 519,453 AOL Time Warner Inc. 37,321,560 488,912 * Oracle Corp. 44,717,101 482,945 Home Depot, Inc. 19,417,905 465,253 Medtronic, Inc. 10,186,866 464,521 Pharmacia Corp. 10,794,629 451,215 Hewlett-Packard Co. 25,476,916 442,279 Wyeth 11,067,869 413,938 Wachovia Corp. 11,357,280 413,859 * Comcast Corp. Class A 17,455,385 411,423 3M Co. 3,257,752 401,681 BellSouth Corp. 15,517,281 401,432 J.P. Morgan Chase & Co. 16,669,001 400,056 American Express Co. 10,973,271 387,905 Bristol-Myers Squibb Co. 16,172,544 374,394 Morgan Stanley 9,063,904 361,831 Bank One Corp. 9,723,360 355,389 E.I. du Pont de Nemours & Co. 8,294,600 351,691 Anheuser-Busch Cos., Inc. 7,145,958 345,864 Freddie Mac 5,808,425 342,987 U.S. Bancorp 15,993,144 339,375 Tyco International Ltd. 16,657,792 284,515 Fifth Third Bancorp 4,823,942 282,442 The Walt Disney Co. 17,050,051 278,086 Merrill Lynch & Co., Inc. 7,217,319 273,897 ConocoPhillips 5,650,870 273,446 Washington Mutual, Inc. 7,903,810 272,919 Schering-Plough Corp. 12,244,979 271,839 10 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- The Goldman Sachs Group, Inc. 3,986,270 271,465 Gillette Co. 8,808,057 267,413 Walgreen Co. 8,557,005 249,779 United Technologies Corp. 3,954,588 244,947 Lowe's Cos., Inc. 6,515,540 244,333 * QUALCOMM Inc. 6,554,613 238,522 Colgate-Palmolive Co. 4,493,913 235,616 The Boeing Co. 7,009,113 231,231 Target Corp. 7,584,121 227,524 Dow Chemical Co. 7,606,860 225,924 First Data Corp. 6,279,674 222,363 Lockheed Martin Corp. 3,807,804 219,901 Cardinal Health, Inc. 3,694,444 218,674 Allstate Corp. 5,868,983 217,094 Texas Instruments, Inc. 14,452,258 216,928 FleetBoston Financial Corp. 8,763,010 212,941 UnitedHealth Group Inc. 2,541,851 212,245 Marsh & McLennan Cos., Inc. 4,483,885 207,200 Schlumberger Ltd. 4,847,910 204,049 Kimberly-Clark Corp. 4,294,291 203,850 MBNA Corp. 10,667,364 202,893 Automatic Data Processing, Inc. 4,999,949 196,248 * Clear Channel Communications, Inc. 5,115,671 190,763 * Applied Materials, Inc. 13,759,236 179,283 Emerson Electric Co. 3,515,357 178,756 HCA Inc. 4,284,666 177,814 * eBay Inc. 2,577,611 174,814 General Motors Corp. 4,679,121 172,472 McDonald's Corp. 10,597,590 170,409 Southern Co. 5,956,870 169,116 AT&T Corp. 6,431,925 167,938 Motorola, Inc. 19,210,949 166,175 Illinois Tool Works, Inc. 2,558,350 165,935 Honeywell International Inc. 6,854,940 164,519 Sysco Corp. 5,483,663 163,358 Alcoa Inc. 7,048,787 160,571 Gannett Co., Inc. 2,231,714 160,237 Metropolitan Life Insurance Co. 5,846,620 158,093 * Kohl's Corp. 2,815,112 157,506 Prudential Financial, Inc. 4,726,550 150,021 * Forest Laboratories, Inc. 1,510,887 148,399 BB&T Corp. 3,998,252 147,895 Northrop Grumman Corp. 1,519,860 147,426 Sara Lee Corp. 6,509,785 146,535 Duke Energy Corp. 7,444,015 145,456 The Bank of New York Co., Inc. 6,063,822 145,289 * Boston Scientific Corp. 3,405,051 144,783 General Mills, Inc. 3,071,642 144,214 Ford Motor Co. 15,321,457 142,490 Exelon Corp. 2,696,909 142,316 Dominion Resources, Inc. 2,564,989 140,818 International Paper Co. 4,004,857 140,050 National City Corp. 5,108,737 139,571 Baxter International, Inc. 4,953,364 138,694 FedEx Corp. 2,489,643 134,988 SunTrust Banks, Inc. 2,368,116 134,793 General Dynamics Corp. 1,677,565 133,148 SLM Corp. 1,281,976 133,146 ALLTEL Corp. 2,596,785 132,436 Caterpillar, Inc. 2,873,560 131,379 AFLAC Inc. 4,309,595 129,805 * AT&T Wireless Services Inc. 22,618,027 127,792 Union Pacific Corp. 2,114,661 126,605 * Travelers Property Casualty Corp. Class B 8,379,618 122,761 Carnival Corp. 4,898,966 122,229 Charles Schwab Corp. 11,218,142 121,717 Kellogg Co. 3,408,458 116,808 Harley-Davidson, Inc. 2,526,827 116,739 Waste Management, Inc. 5,081,912 116,477 Tribune Co. 2,544,628 115,679 The Gap, Inc. 7,379,748 114,534 * EMC Corp. 18,366,159 112,768 ConAgra Foods, Inc. 4,483,850 112,141 Stryker Corp. 1,652,709 110,930 Household International, Inc. 3,953,482 109,946 Sprint Corp. 7,468,669 108,146 * Costco Wholesale Corp. 3,805,206 106,774 Avon Products, Inc. 1,963,891 105,795 Lehman Brothers Holdings, Inc. 1,982,398 105,642 State Street Corp. 2,708,088 105,615 Raytheon Co. 3,388,721 104,203 Wm. Wrigley Jr. Co. 1,881,264 103,244 Omnicom Group Inc. 1,570,071 101,427 * The Kroger Co. 6,455,775 99,742 Anadarko Petroleum Corp. 2,075,666 99,424 PNC Financial Services Group 2,371,062 99,347 NIKE, Inc. Class B 2,214,777 98,491 The McGraw-Hill Cos., Inc. 1,618,094 97,798 Newmont Mining Corp. (Holding Company) 3,353,806 97,361 The Hartford Financial Services Group Inc. 2,130,244 96,777 H.J. Heinz Co. 2,931,425 96,356 Mellon Financial Corp. 3,597,889 93,941 * NEXTEL Communications, Inc. 8,041,136 92,875 Golden West Financial Corp. 1,281,124 91,998 FPL Group, Inc. 1,523,763 91,624 Deere & Co. 1,992,088 91,337 * Cendant Corp. 8,653,649 90,690 Progressive Corp. of Ohio 1,818,438 90,249 Baker Hughes, Inc. 2,802,635 90,217 Weyerhaeuser Co. 1,827,984 89,955 11 - -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Southwest Airlines Co. 6,467,570 $ 89,899 Occidental Petroleum Corp. 3,147,188 89,537 KeyCorp 3,547,510 89,184 Maxim Integrated Products, Inc. 2,674,567 88,368 * WellPoint Health Networks Inc. Class A 1,241,694 88,359 Paychex, Inc. 3,140,026 87,607 XL Capital Ltd. Class A 1,134,060 87,606 Masco Corp. 4,107,696 86,467 TJX Cos., Inc. 4,410,078 86,085 * Safeway, Inc. 3,682,784 86,030 Equity Office Properties Trust REIT 3,437,035 85,857 Progress Energy, Inc. 1,977,570 85,728 Eastman Kodak Co. 2,435,936 85,355 The Principal Financial Group, Inc. 2,812,689 84,746 Entergy Corp. 1,853,550 84,503 * Bed Bath & Beyond, Inc. 2,442,888 84,353 Danaher Corp. 1,272,396 83,596 Burlington Northern Santa Fe Corp. 3,151,533 81,971 FirstEnergy Corp. 2,484,900 81,927 CVS Corp. 3,280,676 81,918 Coca-Cola Enterprises, Inc. 3,751,870 81,491 Air Products & Chemicals, Inc. 1,896,999 81,097 * Sun Microsystems, Inc. 26,004,417 80,874 * Yahoo! Inc. 4,933,387 80,661 * Intuit, Inc. 1,713,469 80,396 Campbell Soup Co. 3,421,969 80,314 * Guidant Corp. 2,552,373 78,741 Praxair, Inc. 1,350,084 77,994 American Electric Power Co., Inc. 2,828,887 77,313 Hershey Foods Corp. 1,136,564 76,650 Consolidated Edison Inc. 1,783,486 76,369 The Clorox Co. 1,836,893 75,772 The Chubb Corp. 1,428,094 74,547 * Anthem, Inc. 1,180,850 74,275 Franklin Resources Corp. 2,170,042 73,955 Electronic Data Systems Corp. 3,977,598 73,307 * Analog Devices, Inc. 3,053,175 72,879 SouthTrust Corp. 2,895,793 71,960 * Staples, Inc. 3,928,942 71,900 Burlington Resources, Inc. 1,681,023 71,696 PPG Industries, Inc. 1,414,554 70,940 * Qwest Communications International Inc. 14,154,676 70,773 Albertson's, Inc. 3,165,539 70,465 * Agilent Technologies, Inc. 3,896,552 69,982 Mattel, Inc. 3,650,536 69,908 Loews Corp. 1,548,172 68,832 Apache Corp. 1,201,970 68,500 Halliburton Co. 3,643,733 68,174 Newell Rubbermaid, Inc. 2,232,078 67,699 * Zimmer Holdings, Inc. 1,628,332 67,608 John Hancock Financial Services, Inc. 2,405,456 67,112 Linear Technology Corp. 2,604,830 66,996 Archer-Daniels-Midland Co. 5,399,628 66,955 * Concord EFS, Inc. 4,247,429 66,855 * Tenet Healthcare Corp. 4,071,788 66,777 * Starbucks Corp. 3,242,288 66,078 Unocal Corp. 2,153,187 65,844 Becton, Dickinson & Co. 2,143,327 65,779 McKesson Corp. 2,430,531 65,697 Marriott International, Inc. Class A 1,985,079 65,250 Cintas Corp. 1,420,714 64,998 DTE Energy Co. 1,398,091 64,871 Norfolk Southern Corp. 3,244,788 64,863 * Best Buy Co., Inc. 2,684,810 64,838 Northern Trust Corp. 1,844,461 64,648 Computer Associates International, Inc. 4,786,153 64,613 Pitney Bowes, Inc. 1,974,862 64,499 St. Paul Cos., Inc. 1,890,857 64,384 Ace, Ltd. 2,192,815 64,337 * Apollo Group, Inc. Class A 1,456,469 64,085 * Lexmark International, Inc. 1,051,342 63,606 Sears, Roebuck & Co. 2,640,834 63,248 Comerica, Inc. 1,458,593 63,070 Allergan, Inc. 1,080,585 62,263 Biomet, Inc. 2,168,891 62,160 Transocean Inc. 2,665,155 61,832 Regions Financial Corp. 1,846,515 61,600 Ingersoll-Rand Co. 1,412,540 60,824 Limited Brands, Inc. 4,365,315 60,809 H & R Block, Inc. 1,508,559 60,644 The Pepsi Bottling Group, Inc. 2,341,442 60,175 Devon Energy Corp. 1,307,996 60,037 Rohm & Haas Co. 1,845,933 59,956 * Yum! Brands, Inc. 2,467,439 59,761 Public Service Enterprise Group, Inc. 1,856,977 59,609 Johnson Controls, Inc. 741,097 59,414 * Chiron Corp. 1,570,610 59,055 * St. Jude Medical, Inc. 1,482,365 58,880 * Electronic Arts Inc. 1,179,626 58,710 * AutoZone Inc. 822,783 58,130 * Xilinx, Inc. 2,814,494 57,979 Fortune Brands, Inc. 1,246,339 57,967 New York Times Co. Class A 1,264,417 57,822 AmSouth Bancorp 2,967,349 56,973 * MedImmune Inc. 2,095,617 56,938 12 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Avery Dennison Corp. 916,725 $ 55,994 * KLA-Tencor Corp. 1,575,317 55,719 * SunGard Data Systems, Inc. 2,364,028 55,697 Equity Residential REIT 2,261,318 55,583 Marathon Oil Corp. 2,606,329 55,489 May Department Stores Co. 2,406,540 55,302 Capital One Financial Corp. 1,852,290 55,050 * International Game Technology 723,646 54,939 Countrywide Financial Corp. 1,055,114 54,497 * Fiserv, Inc. 1,597,539 54,236 Charter One Financial, Inc. 1,886,714 54,205 * Veritas Software Corp. 3,436,390 53,676 Ecolab, Inc. 1,081,699 53,544 Simon Property Group, Inc. REIT 1,566,556 53,373 Ameren Corp. 1,281,473 53,271 MBIA, Inc. 1,211,533 53,138 * Genzyme Corp.-General Division 1,791,371 52,971 Moody's Corp. 1,261,497 52,087 Aetna Inc. 1,256,868 51,682 J.C. Penney Co., Inc. (Holding Company) 2,236,891 51,471 Cincinnati Financial Corp. 1,348,250 50,627 CSX Corp. 1,778,854 50,359 TXU Corp. 2,687,192 50,197 Marshall & Ilsley Corp. 1,823,139 49,918 * Biogen, Inc. 1,244,478 49,854 Ambac Financial Group, Inc. 884,725 49,757 * Xerox Corp. 6,139,041 49,419 * Computer Sciences Corp. 1,433,323 49,378 Textron, Inc. 1,147,726 49,341 Dover Corp. 1,689,157 49,256 * Micron Technology, Inc. 5,051,645 49,203 Adobe Systems, Inc. 1,972,577 48,922 Aon Corp. 2,586,247 48,854 Synovus Financial Corp. 2,503,394 48,566 AmerisourceBergen Corp. 884,245 48,023 CIGNA Corp. 1,163,771 47,854 * PeopleSoft, Inc. 2,613,092 47,820 Bear Stearns Co., Inc. 802,580 47,673 PPL Corp. 1,372,931 47,613 Cinergy Corp. 1,405,346 47,388 UST, Inc. 1,410,265 47,145 * Federated Department Stores, Inc. 1,637,745 47,102 * PG&E Corp. 3,378,759 46,965 * Univision Communications Inc. 1,912,755 46,862 Lincoln National Corp. 1,478,163 46,680 Union Planters Corp. 1,654,131 46,547 ITT Industries, Inc. 766,561 46,523 Eaton Corp. 588,512 45,969 Jefferson-Pilot Corp. 1,197,981 45,655 North Fork Bancorp, Inc. 1,348,326 45,493 Parker Hannifin Corp. 985,504 45,461 Interpublic Group of Cos., Inc. 3,219,718 45,334 Family Dollar Stores, Inc. 1,443,944 45,065 Genuine Parts Co. 1,458,136 44,911 PACCAR, Inc. 967,495 44,631 * Quest Diagnostics, Inc. 769,621 43,791 Knight Ridder 687,459 43,482 * American Standard Cos., Inc. 604,917 43,034 Kinder Morgan, Inc. 1,016,102 42,951 * Apple Computer, Inc. 2,996,319 42,937 * Nabors Industries, Inc. 1,208,396 42,620 * BJ Services Co. 1,308,649 42,282 Monsanto Co. 2,182,479 42,013 KeySpan Corp. 1,185,732 41,785 MeadWestvaco Corp. 1,670,044 41,267 Amerada Hess Corp. 744,852 41,004 * Comcast Corp. Special Class A 1,814,271 40,984 NiSource, Inc. 2,035,419 40,708 Sempra Energy 1,710,465 40,452 SAFECO Corp. 1,153,868 40,005 Hilton Hotels Corp. 3,141,660 39,930 Starwood Hotels & Resorts Worldwide, Inc. 1,665,331 39,535 * Altera Corp. 3,193,700 39,410 W.W. Grainger, Inc. 763,352 39,351 * Noble Corp. 1,117,425 39,277 EOG Resources, Inc. 964,627 38,508 Constellation Energy Group, Inc. 1,375,399 38,264 * Jones Apparel Group, Inc. 1,075,783 38,126 * Office Depot, Inc. 2,576,149 38,024 First Tennessee National Corp. 1,048,334 37,677 Delphi Corp. 4,662,163 37,530 IMS Health, Inc. 2,345,335 37,525 Brown-Forman Corp. Class B 571,051 37,324 Kerr-McGee Corp. 838,019 37,124 * Harrah's Entertainment, Inc. 933,271 36,958 Molex, Inc. 1,600,909 36,885 Huntington Bancshares Inc. 1,966,565 36,794 Xcel Energy, Inc. 3,328,862 36,617 * Sprint PCS 8,341,390 36,535 Leggett & Platt, Inc. 1,624,952 36,464 Plum Creek Timber Co. Inc. REIT 1,543,362 36,423 Torchmark Corp. 988,822 36,122 * Lucent Technologies, Inc. 28,659,723 36,111 Health Management Associates Class A 1,990,218 35,625 Rockwell Collins, Inc. 1,527,338 35,526 UnumProvident Corp. 2,016,249 35,365 Sherwin-Williams Co. 1,251,314 35,350 CenturyTel, Inc. 1,190,639 34,981 * Novellus Systems, Inc. 1,240,648 34,837 El Paso Corp. 5,001,980 34,814 13 - -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Broadcom Corp. 2,304,446 $ 34,705 MGIC Investment Corp. 838,866 34,645 * King Pharmaceuticals, Inc. 2,010,031 34,552 Georgia Pacific Group 2,085,914 33,708 * BMC Software, Inc. 1,965,783 33,635 Dollar General Corp. 2,782,348 33,249 VF Corp. 907,099 32,701 * Edison International 2,720,352 32,236 Rockwell Automation, Inc. 1,552,038 32,143 Vulcan Materials Co. 848,147 31,806 * Corning, Inc. 9,584,708 31,725 R.J. Reynolds Tobacco Holdings, Inc. 736,806 31,027 Applera Corp.-Applied Biosystems Group 1,746,743 30,638 * Siebel Systems, Inc. 4,047,444 30,275 Zions Bancorp 759,529 29,887 Dow Jones & Co., Inc. 688,414 29,760 Whirlpool Corp. 569,314 29,730 * Jabil Circuit, Inc. 1,653,663 29,634 Darden Restaurants Inc. 1,427,780 29,198 Sigma-Aldrich Corp. 598,988 29,171 * JDS Uniphase Corp. 11,798,020 29,141 Tiffany & Co. 1,215,078 29,053 * Pactiv Corp. 1,323,041 28,922 Black & Decker Corp. 673,000 28,865 * Network Appliance, Inc. 2,813,615 28,136 Cooper Industries, Inc. Class A 769,857 28,061 T. Rowe Price Group Inc. 1,021,682 27,871 International Flavors & Fragrances, Inc. 788,270 27,668 Equifax, Inc. 1,188,632 27,505 * Thermo Electron Corp. 1,366,179 27,488 Nucor Corp. 652,598 26,952 * QLogic Corp. 780,504 26,935 * Unisys Corp. 2,709,023 26,819 Liz Claiborne, Inc. 891,940 26,446 RadioShack Corp. 1,407,175 26,370 * Sealed Air Corp. 701,241 26,156 Wendy's International, Inc. 964,214 26,101 Centex Corp. 514,420 25,824 Pinnacle West Capital Corp. 755,180 25,744 The Stanley Works 736,934 25,483 * Watson Pharmaceuticals, Inc. 892,220 25,223 C.R. Bard, Inc. 431,483 25,026 * Tellabs, Inc. 3,439,770 25,007 * Citizens Communications Co. 2,356,280 24,859 * American Power Conversion Corp. 1,637,298 24,805 * Solectron Corp. 6,899,124 24,492 Pulte Homes, Inc. 511,008 24,462 Alberto-Culver Co. Class B 484,072 24,397 Ball Corp. 474,713 24,301 Stilwell Financial, Inc. 1,857,471 24,277 Engelhard Corp. 1,067,627 23,861 Eastman Chemical Co. 645,452 23,733 * Waters Corp. 1,078,924 23,499 * Phelps Dodge Corp. 742,207 23,491 * Robert Half International, Inc. 1,447,881 23,325 * National Semiconductor Corp. 1,510,616 22,674 TECO Energy, Inc. 1,465,684 22,674 Bemis Co., Inc. 442,425 21,958 * Convergys Corp. 1,447,132 21,924 Deluxe Corp. 515,679 21,710 * Sabre Holdings Corp. 1,192,042 21,588 CenterPoint Energy Inc. 2,538,785 21,580 Nordstrom, Inc. 1,130,768 21,451 Sunoco, Inc. 637,212 21,143 * Mercury Interactive Corp. 705,516 20,919 R.R. Donnelley & Sons Co. 946,107 20,597 * Freeport-McMoRan Copper & Gold, Inc. Class B 1,209,723 20,299 Temple-Inland Inc. 448,391 20,092 * Teradyne, Inc. 1,528,554 19,886 * Sanmina-SCI Corp. 4,410,149 19,802 * NCR Corp. 815,106 19,351 Fluor Corp. 671,300 18,796 Maytag Corp. 651,531 18,569 Adolph Coors Co. Class B 302,979 18,557 * Advanced Micro Devices, Inc. 2,870,477 18,543 * CIENA Corp. 3,603,769 18,523 SuperValu Inc. 1,115,503 18,417 Winn-Dixie Stores, Inc. 1,175,213 17,957 * LSI Logic Corp. 3,104,564 17,913 Rowan Cos., Inc. 781,890 17,749 * Toys R Us, Inc. 1,773,928 17,739 Goodrich Corp. 960,959 17,605 * Citrix Systems, Inc. 1,427,764 17,590 KB HOME 400,029 17,141 Pall Corp. 1,026,641 17,124 Meredith Corp. 414,402 17,036 * Rational Software Corp. 1,629,596 16,932 Hasbro, Inc. 1,445,708 16,698 * Allied Waste Industries, Inc. 1,646,127 16,461 Ashland, Inc. 570,157 16,267 Bausch & Lomb, Inc. 450,651 16,223 Symbol Technologies, Inc. 1,926,505 15,836 * Comverse Technology, Inc. 1,568,135 15,713 * Providian Financial Corp. 2,415,889 15,679 Scientific-Atlanta, Inc. 1,289,282 15,291 * Compuware Corp. 3,156,450 15,151 * Manor Care, Inc. 804,945 14,980 Brunswick Corp. 752,655 14,948 * Reebok International Ltd. 501,275 14,737 14 - -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * NVIDIA Corp. 1,277,591 $ 14,705 Dana Corp. 1,240,247 14,585 * ADC Telecommunications, Inc. 6,659,162 13,918 * HealthSouth Corp. 3,309,716 13,901 * Millipore Corp. 404,043 13,737 * AES Corp. 4,545,935 13,729 Snap-On Inc. 487,543 13,705 * Humana Inc. 1,355,566 13,556 Autodesk, Inc. 942,426 13,477 * Tektronix, Inc. 727,020 13,224 Circuit City Stores, Inc. 1,756,179 13,031 * Big Lots Inc. 970,920 12,845 NICOR Inc. 367,470 12,505 Delta Air Lines, Inc. 1,031,644 12,483 Boise Cascade Corp. 487,107 12,285 * Navistar International Corp. 505,218 12,282 * Quintiles Transnational Corp. 983,614 11,902 Ryder System, Inc. 520,784 11,686 Williams Cos., Inc. 4,319,840 11,664 Peoples Energy Corp. 296,006 11,441 CMS Energy Corp. 1,204,419 11,370 United States Steel Corp. 855,339 11,222 Dillard's Inc. 707,480 11,221 Worthington Industries, Inc. 715,695 10,907 * TMP Worldwide, Inc. 928,118 10,497 * Calpine Corp. 3,157,863 10,295 * Novell, Inc. 3,046,041 10,174 Great Lakes Chemical Corp. 419,802 10,025 The Goodyear Tire & Rubber Co. 1,465,283 9,979 Crane Co. 497,063 9,906 Cummins Inc. 346,259 9,740 Cooper Tire & Rubber Co. 614,740 9,430 * Applied Micro Circuits Corp. 2,525,407 9,319 * American Greetings Corp. Class A 550,893 8,704 PerkinElmer, Inc. 1,054,752 8,702 * AMR Corp. 1,303,488 8,603 * Gateway, Inc. 2,709,836 8,509 * Andrew Corp. 820,488 8,435 * Thomas & Betts Corp. 487,695 8,242 * Hercules, Inc. 913,426 8,038 Allegheny Energy, Inc. 1,050,718 7,943 * PMC Sierra Inc. 1,399,281 7,780 Visteon Corp. 1,089,091 7,580 * Avaya Inc. 3,026,646 7,415 Tupperware Corp. 487,645 7,354 * Louisiana-Pacific Corp. 874,721 7,050 * Mirant Corp. 3,365,781 6,361 * Viacom Inc. Class A 143,386 5,852 * Parametric Technology Corp. 2,182,044 5,499 Allegheny Technologies Inc. 674,897 4,205 * Power-One, Inc. 667,643 3,786 Dynegy, Inc. 3,104,605 3,663 * McDermott International, Inc. 531,504 2,328 Molex, Inc. Class A 4,051 81 Alberto-Culver Co. Class A 1,000 49 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $65,264,828) $ 67,685,312 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.8%)(1) - -------------------------------------------------------------------------------- Federal National Mortgage Assn. (2) 1.56%, 1/8/2003 $ 25,000 24,995 (2) 1.69%, 1/8/2003 10,000 9,998 Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.21%, 1/2/2003--Note E 102,761 102,761 1.22%, 1/2/2003 405,761 405,761 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $543,511) $ 543,515 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.1%) (Cost $65,808,339) $ 68,228,827 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.1%) - -------------------------------------------------------------------------------- Other Assets--Note B 741,771 Liabilities--Note E (825,100) ---------------- $ (83,329) ---------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 68,145,498 ================================================================================ * 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 C in Notes to Financial Statements. (2) Securities with an aggregate value of $34,993,000 have been segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. 15 - -------------------------------------------------------------------------------- AMOUNT 500 INDEX FUND (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2002, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $70,123,532 Overdistributed Net Investment Income (102,042) Accumulated Net Realized Losses (4,286,272) Unrealized Appreciation (Depreciation) Investment Securities 2,420,488 Futures Contracts (10,208) - -------------------------------------------------------------------------------- NET ASSETS $68,145,498 ================================================================================ Investor Shares--Net Assets Applicable to 692,805,511 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $56,223,881 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $81.15 ================================================================================ Admiral Shares--Net Assets Applicable to 146,900,412 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $11,921,617 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $81.15 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 16 STATEMENT OF OPERATIONS This Statement shows the types of 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 income 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) of investments during the period. - -------------------------------------------------------------------------------- 500 INDEX FUND YEAR ENDED DECEMBER 31, 2002 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 1,230,122 Interest 7,336 Security Lending 995 - -------------------------------------------------------------------------------- Total Income 1,238,453 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 190 Management and Administrative Investor Shares 101,637 Admiral Shares 13,952 Marketing and Distribution Investor Shares 10,734 Admiral Shares 1,597 Custodian Fees 524 Auditing Fees 12 Shareholders' Reports and Proxies Investor Shares 2,994 Admiral Shares 32 Trustees' Fees and Expenses 96 - -------------------------------------------------------------------------------- Total Expenses 131,768 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 1,106,685 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (2,408,007) Futures Contracts (108,351) - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (2,516,358) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (18,318,402) Futures Contracts (13,299) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (18,331,701) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(19,741,374) ================================================================================ 17 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 ------------------------ YEAR ENDED DECEMBER 31, ------------------------ 2002 2001 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 1,106,685 $ 1,023,429 Realized Net Gain (Loss) (2,516,358) (161,547) Change in Unrealized Appreciation (Depreciation) (18,331,701) (12,606,057) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (19,741,374) (11,744,175) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (940,961) (880,294) Admiral Shares (202,486) (156,169) Realized Capital Gain Investor Shares -- -- Admiral Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (1,143,447) (1,036,463) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares 439,822 (3,502,888) Admiral Shares 1,576,643 6,819,849 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 2,016,465 3,316,961 - -------------------------------------------------------------------------------- Total Increase (Decrease) (18,868,356) (9,463,677) - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 87,013,854 96,477,531 - -------------------------------------------------------------------------------- End of Period $68,145,498 $87,013,854 ================================================================================ 18 FINANCIAL HIGHLIGHTS This table summarizes the fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
500 INDEX FUND INVESTOR SHARES - ------------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ----------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $105.89 $121.86 $135.33 $113.95 $ 90.07 Investment Operations Net Investment Income 1.32 1.260 1.29 1.370 1.33 Net Realized and Unrealized Gain (Loss)on Investments (24.70) (15.955) (13.46) 22.415 24.30 - ------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (23.38) (14.695) (12.17) 23.785 25.63 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.36) (1.275) (1.30) (1.410) (1.33) Distributions from Realized Capital Gains -- -- -- (.995) (.42) - ------------------------------------------------------------------------------------------------------------------- Total Distributions (1.36) (1.275) (1.30) (2.405) (1.75) - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 81.15 $105.89 $121.86 $135.33 $113.95 =================================================================================================================== TOTAL RETURN* -22.15% -12.02% -9.06% 21.07% 28.62% =================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $56,224 $73,151 $88,240 $104,652 $74,229 Ratio of Total Expenses to Average Net Assets 0.18% 0.18% 0.18% 0.18% 0.18% Ratio of Net Investment Income to Average Net Assets 1.43% 1.14% 0.98% 1.13% 1.35% Portfolio Turnover Rate** 7% 4% 9% 6% 6% =================================================================================================================== * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. ** Portfolio turnover rates excluding in-kind redemptions were 6%, 3%, 7%, 3%, and 3%, respectively.
19 FINANCIAL HIGHLIGHTS (CONTINUED) 500 INDEX FUND ADMIRAL SHARES - -------------------------------------------------------------------------------- NOV. 13* TO YEAR ENDED DEC. 31, ----------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $105.89 $121.87 $124.88 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.374 1.313 .179 Net Realized and Unrealized Gain (Loss) on Investments (24.700) (15.955) (2.808) - -------------------------------------------------------------------------------- Total from Investment Operations (23.326) (14.642) (2.629) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.414) (1.338) (.381) Distributions from Realized Capital Gains -- -- -- - -------------------------------------------------------------------------------- Total Distributions (1.414) (1.338) (.381) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 81.15 $105.89 $121.87 ================================================================================ TOTAL RETURN -22.10% -11.98% -2.10% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $11,922 $13,863 $8,237 Ratio of Total Expenses to Average Net Assets 0.12% 0.12% 0.12%+ Ratio of Net Investment Income to Average Net Assets 1.50% 1.22% 1.03%+ Portfolio Turnover Rate** 7% 4% 9% ================================================================================ * Inception. ** Portfolio turnover rates excluding in-kind redemptions were 6%, 3%, and7%, 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 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. 2. 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 20 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). 3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard Group, transfers uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. 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. 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. 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 as 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), shareholder reporting, and proxies. 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 December 31, 2002, the fund had contributed capital of $13,527,000 to Vanguard (included in Other Assets), representing 0.02% of the fund's net assets and 13.52% of Vanguard's capitalization. The fund's trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. During the year ended December 31, 2002, the fund realized $574,466,000 of net capital gains resulting from in-kind redemptions--in which shareholders exchange fund shares for securities 21 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 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. For tax purposes, at December 31, 2002, $13,373,000 of the fund's December 2002 dividend payable in January 2003 will be used to reduce required 2003 ordinary income dividends. The fund had realized losses of $4,292,867,000 to offset future net capital gains of $193,358,000 through December 31, 2008, $890,248,000 through December 31, 2009, $3,087,963,000 through December 31, 2010, and $121,298,000 through December 31, 2011. At December 31, 2002, net unrealized appreciation of investment securities for tax purposes was $2,420,488,000, consisting of unrealized gains of $15,765,826,000 on securities that had risen in value since their purchase and $13,345,338,000 in unrealized losses on securities that had fallen in value since their purchase. At December 31, 2002, the aggregate settlement value of open futures contracts expiring in March 2003 and the related unrealized depreciation were: - -------------------------------------------------------------------------------- (000) ---------------------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- S&P 500 Index 2,109 $463,400 $(10,208) - -------------------------------------------------------------------------------- Unrealized depreciation on open futures contracts is required to be treated as realized loss for tax purposes. D. During the year ended December 31, 2002, the fund purchased $7,435,173,000 of investment securities and sold $5,538,420,000 of investment securities other than temporary cash investments. E. The market value of securities on loan to broker/dealers at December 31, 2002, was $84,590,000, for which the fund held cash collateral of $102,761,000. The fund invests cash collateral received in repurchase agreements, and records a liability for the return of the collateral, during the period the securities are on loan. F. Capital share transactions for each class of shares were: - -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------- 2002 2001 ---------------------------------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - -------------------------------------------------------------------------------- Investor Shares Issued $ 13,122,035 141,376 $ 15,386,452 136,694 Issued in Lieu of Cash Distributions 883,934 10,271 820,769 7,971 Redeemed (13,566,147) (149,680) (19,710,109) (177,918) ----------------------------------------------------- Net Increase (Decrease) -- Investor Shares 439,822 1,967 (3,502,888) (33,253) ----------------------------------------------------- Admiral Shares Issued 3,955,614 42,831 8,213,256 76,409 Issued in Lieu of Cash Distributions 171,021 1,990 132,911 1,294 Redeemed (2,549,992) (28,843) (1,526,318) (14,373) ----------------------------------------------------- Net Increase (Decrease) --Admiral Shares 1,576,643 15,978 6,819,849 63,330 - -------------------------------------------------------------------------------- 22 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard 500 Index Fund (a separate fund of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Fund") at December 31, 2002, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2002 by correspondence with the custodian and broker, provide a reasonable basis for our opinion. PRICEWATERHOUSECOOPERS LLP PHILADELPHIA, PENNSYLVANIA JANUARY 30, 2003 - -------------------------------------------------------------------------------- SPECIAL 2002 TAX INFORMATION (UNAUDITED) FOR VANGUARD 500 INDEX FUND This information for the fiscal year ended December 31, 2002, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, 100% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction. - -------------------------------------------------------------------------------- 23 [graphic] 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 a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis. A 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. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the
NAME POSITION(S) HELD WITH FUND (YEAR OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Board, Chairman of the Board, Chief Executive Officer, and Director/Trustee (1954) Chief Executive Officer, of The Vanguard Group, Inc., and of each of the investment companies May 1987 and Trustee served by The Vanguard Group. (109) - ------------------------------------------------------------------------------------------------------------------------------------ Independent Trustees CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Adviser (1937) (109) to Greenwich Associates (international business strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - ------------------------------------------------------------------------------------------------------------------------------------ RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (1945) (87) Chairman (January-September 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co.(chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; Trustee of Drexel University. - ------------------------------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN HEISEN Trustee Vice President, Chief Information Officer, and Member of the Executive (1950) (109) Committee of Johnson & Johnson (pharmaceuticals/consumer products); July 1998 Director of the Medical Center at Princeton and Women's Research and Education Institute. BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton University; (1932) (107) Director of Vanguard Investment Series plc (Irish investment fund) (since May 1977 November 2001), Vanguard Group (Ireland) Limited (Irish investment management firm) (since November 2001), Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc. (software company). - ------------------------------------------------------------------------------------------------------------------------------------ ALFRED M. RANKIN, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (1941) (109) Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich January 1993 Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (a supplier for the automotive industry) until 1998. - ------------------------------------------------------------------------------------------------------------------------------------ J. LAWRENCE WILSON Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (1936) (109) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - ------------------------------------------------------------------------------------------------------------------------------------
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. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
- ------------------------------------------------------------------------------------------------------------------------------------ NAME POSITION(S) HELD WITH FUND (YEAR OF BIRTH) (NUMBER OF VANGUARD FUNDS PRINCIPAL OCCUPATION(S) TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE/OFFICER) DURING THE PAST FIVE YEARS EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc. (1951) (109) (since September 1997); Secretary of The Vanguard Group and of June 2001 each of the investment companies served by The Vanguard Group; Principal of The Vanguard Group (prior to September 1997). THOMAS J. HIGGINS Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (1957) (109) investment companies served by The Vanguard Group. July 1998 - ------------------------------------------------------------------------------------------------------------------------------------ * Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
VANGUARD SENIOR MANAGEMENT TEAM Mortimer J. Buckley, Information Technology. F. William McNabb, III, Institutional Investor Group. James H. Gately, Direct Investor Services. Michael S. Miller, Planning and Development. Kathleen C. Gubanich, Human Resources. Ralph K. Packard, Finance. Ian A. MacKinnon, Fixed Income Group. George U. Sauter, Quantitative Equity Group.
- -------------------------------------------------------------------------------- John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996. - -------------------------------------------------------------------------------- Vanguard, The Vanguard Group, Vanguard.com, and the ship logo are trademarks of The Vanguard Group, Inc. S&P(R), Standard & Poors's 500, and 500 are trademarks of the McGraw-Hill Companies, Inc., Inc. and have been lincensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. All other marks are the exclusive property of their respective owners. [SHIP LOGO] The Vanguard Group(R) Post Office Box 2600 Valley Forge, PA 19482-2600 ABOUT OUR COVER The photographs of the sails and ship that appear on the cover of this report are copyrighted by Michael Kahn. FOR MORE INFORMATION 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. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through VANGUARD.COM(R). Prospectuses may also be viewed online. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. 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 TEXT TELEPHONE 1-800-952-3335 (C)2002 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q400 022003 VANGUARD(R) U.S. STOCK INDEX FUNDS MID-CAPITALIZATION PORTFOLIOS ANNUAL REPORT * DECEMBER 31, 2002 Vanguard Extended Market Index Fund Vanguard Mid-Cap Index Fund The Vanguard Group EARNING YOUR TRUST EVERY DAY The latter part of 2001 and the first half of 2002 brought news of too many corporate scandals, with tales of greed and deception tarnishing Enron, Arthur Andersen, and WorldCom, among others. Given the questionable business dealings at some high-profile companies, investors can hardly be blamed for wondering whom they can trust. Vanguard is a name that should stand out. Why? Our unique corporate structure--The Vanguard Group is owned by each of its independently operated mutual funds and is charged with solely serving the funds' shareholders--ensures that our interests are aligned with yours. We have no other constituency to serve. We are client-focused because, quite frankly, it makes good business sense. Your trust is our most valuable asset, and every one of our crew members understands that his or her actions must meet the highest standards of ethical behavior and fiduciary responsibility. When you assess the combination of our organizational structure, the independent nature of each of our funds, our long track record of conducting business with integrity, and our total commitment to ethical behavior, we hope you will feel completely secure in entrusting your assets to us. There is no better place for them. - --John J. Brennan Chairman and Chief Executive Officer SUMMARY * In 2002, the Investor Shares of Vanguard Extended Market Index Fund returned -18.1% and those of Vanguard Mid-Cap Index Fund returned -14.6%. * As they are designed to do, the two funds closely tracked their target indexes. Both funds outpaced the average competing fund. * The stock market declined across all capitalization levels and investment styles. Contents - -------------------------------------------------------------------------------- CONTENTS Letter from the Chairman 1 Fund Profile 7 Glossary of Investment Terms 9 Performance Summary 10 Your Fund's After-Tax Returns 14 Results of Proxy Voting 15 Finanical Statements 16 Advantages of Vanguard.com 70 - -------------------------------------------------------------------------------- LETTER FROM THE CHAIRMAN Fellow Shareholder, A rally during the final months of 2002 did not prevent the broad stock market from posting its third consecutive yearly decline. While mid- and small-capitalization stocks held up better than the broad market, they could not escape the general slump. Vanguard(R) Extended Market Index Fund and Vanguard(R) Mid-Cap Index Fund posted 12-month returns of -18.1% and -14.6%, respectively, for their Investor Shares. These results, though of course disappointing, were better than the average return for competing mutual funds. - -------------------------------------------------------------------------------- 2002 Total Returns Year Ended December 31 - -------------------------------------------------------------------------------- VANGUARD EXTENDED MARKET INDEX FUND Investor Shares -18.1% Admiral Shares -18.0 Institutional Shares -17.9 VIPER Shares Market Price -17.9 Net Asset Value -18.0 Average Mid-Cap Core Fund* -18.4 Wilshire 4500 Completion Index -17.8 - -------------------------------------------------------------------------------- Vanguard Mid-Cap Index Fund Investor Shares -14.6% Admiral Shares -14.5 Institutional Shares -14.5 Average Mid-Cap Core Fund* -18.4 S&P MidCap 400 Index -14.5 - -------------------------------------------------------------------------------- Wilshire 5000 Index -20.9% - -------------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. The table at left shows the total returns (capital change plus reinvested distributions) for the funds' various share classes, their target indexes, and the average mid-cap core fund. Each fund's total returns are based on the change in net asset value during the year and reflect income dividends and capital gains distributions. The table at the top of page 6 provides details. If you hold the fund in a taxable account, you may wish to review the after-tax returns shown on page 14. AMID CORPORATE SCANDALS, STOCKS FELL FOR A THIRD CONSECUTIVE YEAR During 2002, lawmakers, prosecutors, and securities-industry regulators ramped up their efforts to expose unethical and illegal business practices. As revelations of fraudulent accounting practices mounted--helping to push a handful of well-known companies into bankruptcy--investors lost confidence in the financial markets. Economic uncertainty, the threat of terrorism, and the prospect of war with Iraq also weighed on the nation. It was all too much for the stock market, which skidded -20.9% as measured by the Wilshire 5000 Total Market Index. Stocks of all kinds declined. Growth stocks--shares in companies that are expected to increase 1 - -------------------------------------------------------------------------------- Market Barometer Average Annual Total Returns Periods Ended December 31, 2002 - -------------------------------------------------------------------------------- One Three Five Year Years Years STOCKS Russell 1000 Index (Large-caps) -21.7% -14.2% -0.6% Russell 2000 Index (Small-caps) -20.5 -7.5 -1.4 Wilshire 5000 Index (Entire market) -20.9 -14.4 -0.9 MSCI All Country World Index Free ex USA (International) -14.7 -16.4 -2.7 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 10.3% 10.1% 7.5% (Broad taxable market) Lehman Municipal Bond Index 9.6 8.8 6.1 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 1.7 3.9 4.3 ================================================================================ CPI Consumer Price Index 2.4% 2.4% 2.3% - -------------------------------------------------------------------------------- their earnings quickly--plunged -28.0%, according to the Russell 3000 Growth Index. Value stocks also proved disappointing: The Russell 3000 Value Index fell - -15.2%. Sorted by market capitalization, the declines were more uniform. Large-cap stocks, as measured by the Russell 1000 Index, sank -21.7%. Small-caps (the Russell 2000 Index) dropped -20.5%. Mid-cap stocks generally held up somewhat better than stocks at either end of the capitalization spectrum. THE ECONOMY BEGAN TO GROW AGAIN, SLOWLY; BONDS SHONE ONCE MORE Although the stock market seemed oblivious, the recession of 2001 gave way to halting economic growth in 2002. The production of goods and services rebounded nicely in the first quarter, only to decelerate in the second quarter. This pattern reappeared in the second half of the year: The nation's real (inflation-adjusted) gross domestic product grew at an annual rate of 4.0% between July and September, but lackluster holiday sales restrained growth in the fourth quarter. Interest rates dropped, leading to a mortgage-refinancing boom that supported consumer spending. The yield of the 3-month Treasury bill fell 53 basis points (0.53 percentage point) to 1.19% as of December 31, while the yield of the 10-year Treasury note declined 124 basis points to 3.81%. The Lehman Brothers Aggregate Bond Index, which tracks the market for taxable investment-grade bonds, returned 10.3% for the year. TECHNOLOGY STOCKS WERE AGAIN THE CULPRIT In relative terms, the Extended Market and Mid-Cap Index Funds had a solid fiscal year. Both funds outperformed the average competing fund; the Mid-Cap Index Fund's Investor Shares topped the average peer by nearly 4 percentage points. For the third year out of the past four, the funds also outpaced the broad market. And both fulfilled their objective of closely tracking their indexes. However, that's all of little solace when those indexes 2 post negative returns. We commend you for your patience and loyalty in this difficult environment. The decline in stocks was widespread across industry sectors. Within the EXTENDED MARKET INDEX FUND, only the integrated-oil sector posted a positive return (+5%) for the year. Among the other 11 sectors in the Wilshire 4500 Completion Index, five had double-digit declines. By far the worst return came from technology stocks, which collectively declined -47%--and were even lower before a sharp rally in October and November. While tech issues accounted for less than 11% of fund assets on average--the fourth-largest sector weighting--they had a disproportionate effect on the overall return. In fact, as has been the case for most of the past three years in both the fund and the broad market, the tech sector had the most negative impact on performance. Health care and consumer discretionary stocks (retailers, media, and leisure-related companies, among others) also cut deeply into the fund's 12-month results. However, the largest sector--financial services companies, representing almost one-quarter of assets--fell a modest -1%, which helped buffer the steeper declines elsewhere. The MID-CAP INDEX FUND held up somewhat better, primarily because the fund's target benchmark--the Standard & Poor's 400 MidCap Index--excludes companies that have recorded fewer than four quarters of operating profits. This meant that the index never included many of the more speculative stocks that have fallen since the market's March 2000 peak. (By contrast, the Wilshire 4500 Index is a far more comprehensive benchmark of mid- and small-cap stocks that are included soon after their initial public offerings.) Nevertheless, the Mid-Cap Index Fund also suffered from plummeting technology shares and, to a lesser degree, health care stocks. In the case of this fund, however, poorly performing financial services stocks aggravated, rather than alleviated, the decline. A MIXED LONG-TERM RECORD Over longer periods, our funds have provided solid returns and tracked the indexes very well, but they have had mixed results relative to the average peer fund. The table on the next page shows annualized returns over the past decade for the Extended Market Index Fund and since inception for the Mid-Cap Index Fund. It also ADMIRAL(TM) SHARES A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. INSTITUTIONAL SHARES This class of shares also carries low expenses and is available for a minimum investment of $10 million. VIPER(R) SHARES Traded on the American Stock Exchange, VIPERs(R) are avail-able only through brokers. The table on page 1 shows VIPER returns based on both the AMEX market price and the net asset value for a share. 3 - -------------------------------------------------------------------------------- Total Returns Ten Years Ended December 31, 2002* - -------------------------------------------------------------------------------- Average Final Value of Annual a $10,000 Return Initial Investment Extended Market Index Fund Investor Shares 7.6% $20,815 Average Mid-Cap Core Fund 10.6 27,345 Wilshire 4500 Index 7.3 20,262 Wilshire 5000 Index 8.7 23,115 - -------------------------------------------------------------------------------- Mid-Cap Index Fund Investor Shares 5.1% $12,561 Average Mid-Cap Core Fund 3.0 11,474 S&P MidCap 400 Index 4.7 12,356 Wilshire 5000 Index -3.7 8,394 - -------------------------------------------------------------------------------- *For Mid-Cap Index Fund and comparative measures, returns are since the fund's inception on May 21, 1998. shows returns for the funds' benchmarks, along with the results of hypothetical $10,000 initial investments made in each. Both of our funds slightly outpaced their target indexes, which is quite an accomplishment. That performance is a tribute to the skilled management provided by our adviser, Vanguard's Quantitative Equity Group. Ordinarily, because of real-world operating costs, an index fund can be expected to trail its target roughly by the amount of the fund's expense ratio (annual operating costs as a percentage of average net assets). Certainly Vanguard's low costs have traditionally helped to keep the gap narrow. In 2002, the expense ratios for the two funds ranged from 0.26% for the Investor Shares to 0.10% for Institutional Shares. (In contrast, the expense ratio for the average peer fund was 1.35%--5 to 13 times the operating expense ratios of our funds.) The Mid-Cap Index Fund outpaced the average peer by more than 2 percentage points over its lifetime of less than five years. However, the Extended Market Index Fund lagged the same peer by 3 percentage points annually over the past decade. Again, the differing construction of the funds' target indexes partly accounts for the discrepant performances. However, the two funds' different life spans played a greater role. During most of the past decade, mid- and small-cap stocks badly lagged large-cap issues. This was a hindrance to relative performance for the Extended Market Index Fund, because--unlike its actively managed competitors--our fund cannot hold stocks outside the scope of its target index. During the past decade, actively managed mid-cap funds often included stocks that truly strained the definition of "mid-cap." This leeway gave them an advantage when stocks other than mid-caps were the market leaders, but the reverse proved true when mid-caps did shine relative to the broad market during more recent periods. With a well-managed index fund, you know what you can expect--virtually the same return as the targeted market segment, minus a small amount for operating expenses. In addition, the low costs and low turnover typical of index funds mean that more of the market's long-term return goes into your pocket, rather than to the fund management company or to taxes. PREPARE FOR THE BEST--AND FOR THE WORST Is the worst over? The stock market's fourth-quarter rally was encouraging, but the truth is that no one knows what the markets' future returns will be. That uncertainty doesn't make us powerless; it puts a premium on sensible planning. That's why Vanguard advocates a balanced investment approach that includes stock, bond, and money market funds in allocations appropriate for your goals and unique financial circumstances. Diversification among asset classes is the best way to manage investment risk while still positioning your portfolio to take advantage of the markets' long-term rewards. It's also important to diversify within the different asset classes. The Extended Market and Mid-Cap Index Funds are fine components for an equity portfolio that also has large-cap and international stocks. By following these simple principles, all investors--whether they are individuals just starting to invest or institutions with millions of dollars in the market--enhance their ability to stick with an investment program through the tough times in order to profit from the better times that will inevitably come. Sincerely, John J. Brennan Chairman and Chief Executive Officer January 14, 2003 5 - -------------------------------------------------------------------------------- Your Fund's Performance at a Glance December 31, 2001-December 31, 2002 Distributions Per Share - -------------------------------------------------------------------------------- Starting Ending Income Capital Share Price Share Price Dividends Gains Extended Market Index Fund Investor Shares $23.09 $18.74 $0.180 $0.000 Admiral Shares 23.09 18.74 0.191 0.000 Institutional Shares 23.09 18.74 0.210 0.000 VIPER Shares 60.99 49.46 0.535 0.000 - -------------------------------------------------------------------------------- Mid-Cap Index Fund Investor Shares $11.81 $9.88 $0.093 $0.127 Admiral Shares 53.56 44.81 0.451 0.576 Institutional Shares 11.83 9.90 0.108 0.127 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Extended Market Index Fund VIPER Shares Premium/Discount: December 31, 2001-December 31, 2002 Closing Price Above or Equal to Closing Price Below Closing Net Asset Value Closing Net Asset Value Number Percentage of Number Percentage of Basis Point Differential* of Days Total Days of Days Total Days 0-24.9 164 65.08% 38 15.08% 25-49.9 35 13.89 9 3.57 50-74.9 2 0.79 3 1.19 75-100.0 0 0.00 1 0.40 >100.0 0 0.00 0 0.00 - -------------------------------------------------------------------------------- Total 201 79.76% 51 20.24% - -------------------------------------------------------------------------------- *1 basis point equals 1/100 of 1%. 6 - -------------------------------------------------------------------------------- Fund Profiles As of December 31, 2002 These Profiles provide snapshots of each fund's characteristics, compared where appropriate with both an unmanaged target index and a broad market index. Key terms are defined on page 9. EXTENDED MARKET INDEX FUND - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS Target Broad Fund Index* Index** Number of Stocks 3,242 5,172 5,668 Median Market Cap $1.5B $1.5B $26.2B Price/Earnings Ratio 27.0x 27.0x 22.5x Price/Book Ratio 1.8x 1.8x 2.4x Yield 1.3% 1.7% Investor Shares 1.0% Admiral Shares 1.1% Institutional Shares 1.2% VIPER Shares 1.1% Return on Equity 12.7% 12.7% 21.3% Earnings Growth Rate 8.4% 8.4% 7.5% Foreign Holdings 0.2% 0.2% 0.3% Turnover Rate 17% -- -- Expense Ratio -- -- Investor Shares 0.26% Admiral Shares 0.20% Institutional Shares 0.10% VIPER Shares 0.20% Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Volatility Measures Target Broad Fund Index* Fund Index** - -------------------------------------------------------------------------------- R-Squared 1.00 1.00 0.72 1.00 Beta 1.00 1.00 1.21 1.00 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Sector Diversification (% of common stocks) Target Broad Fund Index* Index** Auto & Transportation 2.8% 2.8% 2.7% Consumer Discretionary 20.9 20.9 14.9 Consumer Staples 3.4 3.4 7.5 Financial Services 24.9 24.9 22.4 Health Care 11.1 11.1 14.1 Integrated Oils 0.2 0.2 3.7 Other Energy 4.8 4.8 2.2 Materials & Processing 5.9 5.9 3.8 Producer Durables 4.8 4.8 4.0 Technology 9.7 9.7 12.8 Utilities 5.3 5.3 7.2 Other 6.2 6.2 4.7 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) Berkshire Hathaway Inc. Class A 5.2% (financial services) Liberty Media Corp. 1.0 (media) Cox Communications, Inc. Class A 0.8 (telecommunications) Kraft Foods Inc. 0.5 (food, beverage, and tobacco) General Motors Corp. Class H 0.5 (telecommunications) Fox Entertainment Group, Inc. Class A 0.4 (entertainment) USA Interactive 0.4 (retail) Genentech, Inc. 0.3 (biotechnology) M & T Bank Corp. 0.3 (banking) Amazon.com, Inc. 0.3 (retail) - -------------------------------------------------------------------------------- Top Ten 9.7% - -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - -------------------------------------------------------------------------------- INVESTMENT FOCUS Market Cap - Medium Style - Blend *Wilshire 4500 Index. **Wilshire 5000 Index. 7 FUND PROFILES (continued) MID-CAP INDEX FUND - ------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS Target Broad Fund Index* Index** Number of Stocks 402 400 5,668 Median Market Cap $2.2B $2.2B $26.2B Price/Earnings Ratio 22.7x 22.7x 22.5x Price/Book Ratio 2.0x 2.0x 2.4x Yield 1.4% 1.7% Investor Shares 1.0% Admiral Shares 1.1% Institutional Shares 1.1% Return on Equity 15.5% 15.5% 21.3% Earnings Growth Rate 9.3% 9.3% 7.5% Foreign Holdings 0.0% 0.0% 0.3% Turnover Rate 20% -- -- Expense Ratio -- -- Investor Shares 0.26% Admiral Shares 0.18% Institutional Shares 0.10% Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- Volatility Measures Target Broad Fund Index* Fund Index** - -------------------------------------------------------------------------------- R-Squared 1.00 1.00 0.85 1.00 Beta 1.00 1.00 0.99 1.00 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% of common stocks) Target Broad Fund Index* Index** - -------------------------------------------------------------------------------- Auto & Transportation 3.6% 3.6% 2.7% Consumer Discretionary 18.3 18.3 14.9 Consumer Staples 5.5 5.5 7.5 Financial Services 22.1 22.1 22.4 Health Care 11.7 11.7 14.1 Integrated Oils 0.6 0.6 3.7 Other Energy 6.9 6.9 2.2 Materials & Processing 6.5 6.5 3.8 Producer Durables 4.4 4.4 4.0 Technology 10.5 10.5 12.8 Utilities 8.2 8.2 7.2 Other 1.7 1.7 4.7 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) M & T Bank Corp. 1.0% (banking) Washington Post Co. Class B 1.0 (publishing) Affiliated Computer Services, Inc. Class A 1.0 (computer software/services) Gilead Sciences, Inc. 0.9 (pharmaceuticals) Symantec Corp. 0.8 (software) Weatherford International Ltd. 0.7 (oil) IDEC Pharmaceuticals Corp. 0.7 (biotechnology) Microchip Technology, Inc. 0.7 (electronics) National Commerce Financial Corp. 0.7 (banking) American Water Works Co., Inc. 0.6 (utilities) - -------------------------------------------------------------------------------- Top Ten 8.1% - -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - -------------------------------------------------------------------------------- INVESTMENT FOCUS Market Cap - Medium Style - Blend - -------------------------------------------------------------------------------- Visit our website at 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 or 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 or other equity index products 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 or 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 As of December 31, 2002 All of the returns in this report 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. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. Extended Market Index Fund - -------------------------------------------------------------------------------- Cumulative Performance December 31, 1992-December 31, 2002 Initial investment of $10,000
Extended Market Index Average Mid-Cap Wilshire 4500 Wilshire 5000 Investor Shares* Core Fund** Index Index 199212 10000 10000 10000 10000 199303 10404 10221 10403 10426 199306 10542 10524 10563 10504 199309 11280 11378 11334 10929 199312 11449 11729 11457 11128 199403 11090 11380 11042 10713 199406 10793 10941 10703 10630 199409 11506 11796 11439 11207 199412 11247 11584 11152 11121 199503 12079 12352 11997 12125 199506 13166 13649 13021 13257 199509 14684 15072 14490 14469 199512 15048 15091 14886 15175 199603 15975 15859 15765 16027 199606 16621 16819 16485 16733 199609 17052 17164 16836 17207 199612 17704 17764 17444 18394 199703 17088 16758 16705 18513 199706 19776 19413 19286 21639 199709 22758 22367 22242 23750 199712 22436 21618 21925 24149 199803 25019 24141 24467 27351 199806 24474 23676 23988 27884 199809 19897 19043 19561 24530 199812 24302 23482 23817 29807 199903 24137 22995 23776 30932 199906 27141 25930 26519 33346 199909 25555 24905 24883 31141 199912 33104 32468 32270 36830 200003 36310 36844 35480 38235 200006 33157 35679 32380 36521 200009 34412 37599 33548 36581 200012 27957 34774 27182 32802 200103 23557 32530 22867 28755 200106 26926 36050 26094 30904 200109 21257 29365 20627 25991 200112 25404 33511 24649 29206 200203 25877 36092 25092 29487 200206 23281 31995 22635 25769 200209 19672 26669 19166 21439 200212 20815 27345 20262 23115
Average Annual Total Returns Periods Ended December 31, 2002 Final Value
Final Value One Five Ten of a $10,000 Year Years Years Investment - ------------------------------------------------------------------------------------------------ Extended Market Index Fund Investor Shares* -18.06% -1.49% 7.61% $20,815 Average Mid-Cap Core Fund** -18.40 4.81 10.58 27,345 Wilshire 4500 Index -17.80 -1.57 7.32 20,262 Wilshire 5000 Index -20.86 -0.87 8.74 23,115 - ------------------------------------------------------------------------------------------------
Final Value One Since of a $250,000 Year Inception+ Investment - ------------------------------------------------------------------------------------------------ Extended Market Index Fund Admiral Shares -18.02% -14.66% $178,306 Wilshire 4500 Index -17.80 -14.69 178,174 - ------------------------------------------------------------------------------------------------
Final Value of One Five Since $10,000,000 Year Years Inception+ Investment - ------------------------------------------------------------------------------------------------ Extended Market Index Fund Institutional Shares -17.93% -1.35% 0.80% $10,449,531 Wilshire 4500 Index -17.80 -1.57 0.64 10,354,847 - ------------------------------------------------------------------------------------------------
One Since of a $10,000 Year Inception+ Investment - ------------------------------------------------------------------------------------------------ Extended Market Index Fund VIPER Shares -18.04% -17.79% $8,203 Wilshire 4500 Index -17.80 -17.51 8,232 - ------------------------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +Inception dates are: for Admiral Shares, November 13, 2000; for Institutional Shares, July 7, 1997; for VIPER Shares, December 27, 2001. Note: See Financial Highlights tables on pages 58--61 for dividend and capital gains information. * * 10 Fiscal-Year Total Returns (%) December 31, 1992-December 31, 2002 Fiscal Year Total Return Wilshire 4500 Index 1993 14.5% 14.6% 1994 -1.8 -2.7 1995 33.8 33.5 1996 17.6 17.2 1997 26.7 25.7 1998 8.3 8.6 1999 36.2 35.5 2000 -15.5 -15.8 2001 -9.1 -9.3 2002 -18.1 -17.8 10 Performance Summaries (continued) Mid-Cap Index Fund Cumulative Performance May 21, 1998-December 31, 2002 Intial Investment of $10,000 Average Annual Total Returns Periods Ended December 31, 2002 Final Value
Mid-Cap Fund Average Mid-Cap S&P MidCap Wilshire 5000 Index Investor Shares* Core Fund** 400 Index 5/21/1998 10000 10000 10000 10000 199806 9851 9965 9838 10126 199809 8436 8030 8415 8908 199812 10855 9853 10787 10824 199903 10176 9702 10098 11233 199906 11628 10909 11528 12110 199909 10674 10502 10560 11309 199912 12518 13623 12375 13374 200003 14136 15545 13945 13885 200006 13687 15010 13485 13262 200009 15346 15855 15123 13284 200012 14783 14590 14541 11912 200103 13186 13725 12975 10442 200106 14927 15167 14682 11222 200109 12470 12383 12250 9438 200112 14709 14061 14453 10606 200203 15697 15228 15425 10708 200206 14230 13460 13989 9358 200209 11873 11246 11675 7785 200212 12561 11474 12356 8394
Final Value One Since of a $10,000 Year Inception+ Investment - -------------------------------------------------------------------------------- Mid-Cap Index Fund Investor Shares* -14.61% 5.07% $12,561 Average Mid-Cap Core Fund** -18.40 3.02 11,474 S&P MidCap 400 Index -14.51 4.69 12,356 Wilshire 5000 Index -20.86 -3.72 8,394 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Final Value One Since of a $250,000 Year Inception+ Investment - -------------------------------------------------------------------------------- Mid-Cap Index Fund Admiral Shares -14.55% -6.78% $230,862 S&P MidCap 400 Index -14.51 -6.04 232,937 - -------------------------------------------------------------------------------- Final Value of One Since a $10,000,000 Year Inception+ Investment - -------------------------------------------------------------------------------- Mid-Cap Index Fund Institutional Shares -14.45% 5.22% $12,648,755 S&P MidCap 400 Index -14.51 4.69 12,355,695 - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +Inception dates are: for Investor and Institutional Shares, May 21, 1998; for Admiral Shares, November 12, 2001. Note: See Financial Highlights tables on pages 62--64 for dividend and capital gains information. * * 12 Fiscal Year Total Return S&P MidCap 400 Index 1998 8.6% 7.9% 1999 15.3 14.7 2000 18.1 17.5 2001 -0.5 -0.6 2002 -14.6 -14.5 13 Fiscal-Year Total Returns (%) May 21, 1998-December 31, 2002 Your Fund's After-Tax Returns This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. (In the example that assumes all fund shares were sold, a negative pre-tax total return translates into a higher after-tax return. This is because the calculation assumes that the investor received a tax deduction for the loss incurred on the sale.) The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future.
- -------------------------------------------------------------------------------- Average Annual Total Returns Periods Ended December 31, 2002 One Year Five Years Ten Years - -------------------------------------------------------------------------------------------------- Extended Market Index Fund Investor Shares* Returns Before Taxes -18.06% -1.49% 7.61% Returns After Taxes on Distributions -18.36 -3.47 5.76 Returns After Taxes on Distributions and Sale of Fund Shares -11.09 -1.25 6.03 - --------------------------------------------------------------------------------------------------
Since One Year Inception** - -------------------------------------------------------------------------------- Mid-Cap Index Fund Investor Shares* Returns Before Taxes -14.61% 5.07% Returns After Taxes on Distributions -15.12 3.22 Returns After Taxes on Distributions and Sale of Fund Shares -8.77 3.36 - --------------------------------------------------------------------------------
*Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Returns are since the fund's inception on May 21, 1998. 14 Notice to Shareholders At a special meeting of shareholders on December 3, 2002, fund shareholders approved the following proposals: * ELECT TRUSTEES FOR EACH FUND.* The individuals listed in the table below were elected as trustees for each fund. All trustees served as trustees to the funds prior to the shareholder meeting. - -------------------------------------------------------------------------------- Percentage For Withheld For - -------------------------------------------------------------------------------- John J. Brennan 70,380,839,727 1,259,995,409 98.2% Charles D. Ellis 70,360,941,814 1,279,893,321 98.2 Rajiv L. Gupta 70,274,493,869 1,366,341,266 98.1 JoAnn Heffernan Heisen 70,368,543,153 1,272,291,982 98.2 Burton G. Malkiel 70,284,920,657 1,355,914,478 98.1 Alfred M. Rankin, Jr. 70,401,439,983 1,239,395,152 98.3 J. Lawrence Wilson 70,272,336,850 1,368,498,286 98.1 - -------------------------------------------------------------------------------- *Results are for all funds within the same trust. * CHANGE EACH FUND'S POLICY ON INVESTING IN OTHER MUTUAL FUNDS. This change enables each fund to invest its cash reserves in specially created money market and short-term bond funds. This new cash management program, which is similar to those of other large mutual fund complexes, should help the funds to achieve greater diversification and to earn modestly higher returns on their cash reserves. The funds will need Securities and Exchange Commission approval before implementing this new cash management program.
- --------------------------------------------------------------------------------------------------- Broker Percentage Vanguard Fund For Against Abstain Non-Votes For Extended Market Index 2,047,532,956 83,629,328 36,743,138 174,543,076 87.4% Mid-Cap Index 1,605,788,894 84,299,542 28,678,317 176,142,910 84.7 - ---------------------------------------------------------------------------------------------------
* Authorize each fund's trustees to change the target index. This change allows each fund's trustees to change the fund's target index if they determine that doing so is in the shareholders' best interests. Any new index chosen for a fund would be required to track the same market segment as the fund's existing index.
- ----------------------------------------------------------------------------------------------------- Broker Percentage Vanguard Fund For Against Abstain Non-Votes For Extended Market Index 2,044,456,003 87,793,270 35,656,149 174,543,076 87.3% Mid-Cap Index 1,543,320,650 148,444,990 27,001,113 176,142,910 81.4 - -----------------------------------------------------------------------------------------------------
* Reclassify each fund as nondiversified. This change to "nondiversified" status enables each fund to continue tracking its target index in the event that the index becomes dominated by a small number of stocks.
- ----------------------------------------------------------------------------------------------------- Broker Percentage Vanguard Fund For Against Abstain Non-Votes - ----------------------------------------------------------------------------------------------------- Extended Market Index 2,057,673,924 69,809,515 40,421,983 174,543,076 87.8% Mid-Cap Index 1,616,431,733 69,522,272 32,812,747 176,142,910 85.3 - -----------------------------------------------------------------------------------------------------
Note: Vote tabulations are rounded to the nearest whole number. 15 - -------------------------------------------------------------------------------- FINANCIAL STATEMENTS AS OF DECEMBER 31, 2002 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, 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, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX fUND Shares (000) - -------------------------------------------------------------------------------- COMMON STOCKS (98.8%)(1) - -------------------------------------------------------------------------------- * Berkshire Hathaway Inc. Class A 2,796 203,409 * Liberty Media Corp. 4,394,261 39,285 * Cox Communications, Inc. Class A 1,107,019 31,439 Kraft Foods Inc. 522,288 20,333 * General Motors Corp. Class H 1,735,782 18,573 * Fox Entertainment Group, Inc. Class A 658,293 17,070 * USA Interactive 719,138 16,483 * Genentech, Inc. 411,514 13,646 M & T Bank Corp. 171,963 13,645 * Amazon.com, Inc. 713,705 13,482 * Affiliated Computer Services, Inc. Class A 247,270 13,019 Washington Post Co. Class B 17,458 12,884 * Gilead Sciences, Inc. 367,984 12,512 E.W. Scripps Co. Class A 148,080 11,395 UnionBanCal Corp. 280,524 11,016 * Symantec Corp. 270,650 10,964 GlobalSantaFe Corp. 434,375 10,564 * CNA Financial Corp. 408,920 10,468 * EchoStar Communications Corp. Class A 452,910 10,082 * Weatherford International Ltd. 243,482 9,722 * MGM Mirage, Inc. 290,081 9,564 * IDEC Pharmaceuticals Corp. 286,378 9,499 Microchip Technology, Inc. 379,950 9,290 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- National Commerce Financial Corp. 384,033 9,159 * Weight Watchers International, Inc. 198,720 9,135 * BEA Systems, Inc. 768,074 8,810 American Water Works Co., Inc. 187,236 8,516 ProLogis REIT 333,321 8,383 Popular, Inc. 247,819 8,376 Green Point Financial Corp. 182,364 8,239 ENSCO International, Inc. 278,681 8,207 Mylan Laboratories, Inc. 228,882 7,988 * DST Systems, Inc. 223,765 7,955 Archstone-Smith Trust REIT 337,815 7,952 * L-3 Communications Holdings, Inc. 176,422 7,923 * Caremark Rx, Inc. 478,418 7,774 Vornado Realty Trust REIT 202,836 7,546 Compass Bancshares Inc. 239,862 7,501 * Westwood One, Inc. 198,512 7,416 Tyson Foods, Inc. 660,154 7,407 Valero Energy Corp. 198,970 7,350 CIT Group Inc. 374,800 7,346 * AutoNation, Inc. 584,653 7,343 Murphy Oil Corp. 171,328 7,342 * Cablevision Systems- NY Group Class A 435,954 7,298 Public Storage, Inc. REIT 219,810 7,102 * Mohawk Industries, Inc. 124,218 7,074 * Smurfit-Stone Container Corp. 457,562 7,042 * Express Scripts Inc. 145,822 7,005 16 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * CDW Computer Centers, Inc. 157,116 6,890 Sovereign Bancorp, Inc. 488,775 6,867 Hudson City Bancorp, Inc. 360,188 6,710 Ocean Energy, Inc. 329,828 6,587 Boston Properties, Inc. REIT 178,282 6,572 Apartment Investment & Management Co. Class A REIT 175,221 6,567 * Synopsys, Inc. 141,573 6,534 Transatlantic Holdings, Inc. 97,908 6,531 Radian Group, Inc. 174,913 6,498 Duke Realty Corp. REIT 252,402 6,424 * Republic Services, Inc. Class A 306,051 6,421 * Laboratory Corp. of America Holdings 276,182 6,419 Scana Corp. 205,809 6,372 Expeditors International of Washington, Inc. 194,746 6,359 * Dean Foods Co. 170,384 6,321 Old Republic International Corp. 225,615 6,317 * Varian Medical Systems, Inc. 127,177 6,308 * ChoicePoint Inc. 158,739 6,269 Lennar Corp. 121,435 6,266 ServiceMaster Co. 563,828 6,259 * Lincare Holdings, Inc. 197,784 6,254 Banknorth Group, Inc. 276,702 6,254 * Smith International, Inc. 189,817 6,192 Ross Stores, Inc. 145,509 6,168 Estee Lauder Cos. Class A 233,345 6,160 * Health Net Inc. 231,701 6,117 McCormick & Co., Inc. 261,836 6,075 General Growth Properties Inc. REIT 116,740 6,071 TCF Financial Corp. 138,730 6,061 * Metro-Goldwyn-Mayer Inc. 465,940 6,057 Hormel Foods Corp. 258,613 6,034 Royal Caribbean Cruises, Ltd. 359,628 6,006 Kimco Realty Corp. REIT 195,633 5,994 Energy East Corp. 270,812 5,982 * Oxford Health Plans, Inc. 163,692 5,967 * Cadence Design Systems, Inc. 503,090 5,932 Pepco Holdings, Inc. 305,585 5,925 * Williams-Sonoma, Inc. 217,020 5,892 Legg Mason Inc. 121,212 5,884 * Brinker International, Inc. 182,320 5,880 Fidelity National Financial, Inc. 178,563 5,862 XTO Energy, Inc. 236,215 5,835 New York Community Bancorp, Inc. 200,537 5,792 * Whole Foods Market, Inc. 107,590 5,673 Hibernia Corp. Class A 294,549 5,673 * SPX Corp. 150,716 5,644 Hillenbrand Industries, Inc. 115,446 5,577 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Patterson Dental Co. 127,479 5,576 Diebold, Inc. 134,652 5,550 * Pioneer Natural Resources Co. 218,928 5,528 * Coach, Inc. 166,042 5,466 Commerce Bancorp, Inc. 126,308 5,455 DENTSPLY International Inc. 146,538 5,451 Wisconsin Energy Corp. 216,303 5,451 SEI Corp. 198,421 5,393 Federated Investors, Inc. 212,429 5,389 * Lamar Advertising Co. Class A 158,923 5,348 * Barr Laboratories, Inc. 82,142 5,347 Diamond Offshore Drilling, Inc. 243,645 5,324 Fastenal Co. 142,002 5,309 * Dollar Tree Stores, Inc. 213,699 5,251 * Iron Mountain, Inc. 158,747 5,240 Rouse Co. REIT 162,561 5,153 Telephone & Data Systems, Inc. 109,239 5,136 iStar Financial Inc. REIT 182,943 5,132 * Pixar, Inc. 96,311 5,104 * Universal Health Services Class B 113,005 5,097 The PMI Group Inc. 168,974 5,076 * Cooper Cameron Corp. 101,660 5,065 * Cephalon, Inc. 103,244 5,025 Avalonbay Communities, Inc. REIT 128,375 5,025 First Virginia Banks, Inc. 134,152 4,994 White Mountains Insurance Group Inc. 15,409 4,977 Total System Services, Inc. 367,626 4,963 Commerce Bancshares, Inc. 125,775 4,942 Mercantile Bankshares Corp. 128,021 4,940 C.H. Robinson Worldwide, Inc. 158,118 4,933 Outback Steakhouse 141,848 4,885 The McClatchy Co. Class A 85,725 4,863 A.G. Edwards & Sons, Inc. 147,539 4,863 Arthur J. Gallagher & Co. 164,329 4,828 * The Dun & Bradstreet Corp. 138,098 4,763 * WebMD Corp. 556,182 4,755 D. R. Horton, Inc. 273,691 4,749 * Juniper Networks, Inc. 696,179 4,734 * Energizer Holdings, Inc. 169,659 4,733 * Park Place Entertainment Corp. 561,740 4,719 Associated Banc-Corp. 138,797 4,711 * Network Associates, Inc. 292,692 4,709 Dreyer's Grand Ice Cream, Inc. 65,379 4,639 * First Health Group Corp. 189,797 4,622 Manpower Inc. 143,576 4,580 Liberty Property Trust REIT 142,857 4,563 * Gentex Corp. 142,367 4,504 Belo Corp. Class A 210,783 4,494 Valley National Bancorp 170,215 4,489 * Patterson-UTI Energy, Inc. 148,212 4,472 Bunge Ltd. 185,500 4,463 17 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * Alliant Techsystems, Inc. 71,331 4,447 * NVR, Inc. 13,613 4,431 Astoria Financial Corp. 162,937 4,424 * PETsMART, Inc. 257,922 4,418 * IVAX Corp. 363,642 4,411 NSTAR 99,297 4,408 * Host Marriott Corp. REIT 497,172 4,400 John Nuveen Co. Class A 173,470 4,397 * Entercom Communications Corp. 93,266 4,376 Neuberger Berman Inc. 130,615 4,374 Bowater Inc. 103,406 4,338 Erie Indemnity Co. Class A 119,156 4,321 The St. Joe Co. 143,583 4,307 * Millennium Pharmaceuticals, Inc. 538,489 4,276 * Storage Technology Corp. 199,308 4,269 Pogo Producing Co. 114,128 4,251 Questar Corp. 152,185 4,234 Lafarge North America Inc. 128,866 4,233 Health Care Properties Investors REIT 110,429 4,229 Omnicare, Inc. 176,188 4,199 Allied Capital Corp. 191,744 4,186 * Hispanic Broadcasting Corp. 203,634 4,185 * Triad Hospitals, Inc. 139,803 4,170 * Apogent Technologies Inc. 199,839 4,157 AMB Property Corp. REIT 151,788 4,153 Valspar Corp. 93,803 4,144 Sonoco Products Co. 180,598 4,141 Hospitality Properties Trust REIT 117,095 4,122 * Hearst-Argyle Television Inc. 170,857 4,119 Wesco Financial Corp. 13,290 4,119 City National Corp. 93,411 4,109 * PanAmSat Corp. 280,617 4,108 Equitable Resources, Inc. 116,993 4,099 * Lear Corp. 123,017 4,094 Brown & Brown, Inc. 126,385 4,085 * Ameritrade Holding Corp. 719,318 4,071 * Smithfield Foods, Inc. 204,600 4,059 Fair, Isaac & Co. Inc. 95,039 4,058 American National Insurance Co. 49,122 4,029 W.R. Berkley Corp. 101,648 4,026 Noble Energy, Inc. 107,182 4,025 * Ticketmaster Class B 189,527 4,022 * Owens-Illinois, Inc. 275,709 4,020 * U.S. Cellular Corp. 160,261 4,010 * Constellation Brands, Inc. Class A 168,902 4,005 * Ceridian Corp. 277,687 4,004 * Mandalay Resort Group 128,603 3,937 * Michaels Stores, Inc. 125,531 3,929 Capitol Federal Financial 136,205 3,923 Wilmington Trust Corp. 122,346 3,876 * Level 3 Communications, Inc. 790,899 3,875 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Hubbell Inc. Class B 110,180 3,872 Leucadia National Corp. 103,660 3,868 Northeast Utilities 254,057 3,854 Doral Financial Corp. 134,374 3,843 Puget Energy, Inc. 173,505 3,826 Mercury General Corp. 101,766 3,824 * Community Health Systems, Inc. 185,149 3,812 PepsiAmericas, Inc. 281,197 3,776 Lyondell Chemical Co. 298,756 3,776 * Markel Corp. 18,238 3,748 * Pride International, Inc. 251,086 3,741 * AdvancePCS 168,279 3,737 * Abercrombie & Fitch Co. 182,300 3,730 * Henry Schein, Inc. 82,325 3,705 J.M. Smucker Co. 92,769 3,693 Unitrin, Inc. 126,170 3,687 Viad Corp. 164,860 3,685 International Speedway Corp. 98,805 3,684 Eaton Vance Corp. 130,117 3,676 Bank of Hawaii Corp. 120,307 3,656 DPL Inc. 236,567 3,629 * Jacobs Engineering Group Inc. 101,775 3,623 Dial Corp. 177,590 3,618 Allete, Inc. 159,419 3,616 Weingarten Realty Investors REIT 97,401 3,590 Harman International Industries, Inc. 60,319 3,589 Student Loan Corp. 36,614 3,581 * BISYS Group, Inc. 225,087 3,579 * Intersil Corp. 256,018 3,569 * Packaging Corp. of America 195,405 3,564 * VeriSign, Inc. 443,958 3,561 Regency Centers Corp. REIT 109,872 3,560 Protective Life Corp. 128,569 3,538 * 99 Cents Only Stores 131,231 3,525 Tidewater Inc. 113,255 3,522 * Krispy Kreme Doughnuts, Inc. 103,729 3,503 * Newfield Exploration Co. 96,499 3,479 * Ingram Micro, Inc. Class A 281,653 3,478 * SICOR, Inc. 218,671 3,466 New Plan Excel Realty Trust REIT 181,318 3,461 MDU Resources Group, Inc. 133,864 3,455 * CarMax, Inc. 192,900 3,449 * Career Education Corp. 86,159 3,446 Beckman Coulter, Inc. 116,388 3,436 Dole Food Co. 105,143 3,426 FirstMerit Corp. 158,121 3,425 * The Cheesecake Factory 94,675 3,423 * Zebra Technologies Corp. Class A 59,071 3,385 Fulton Financial Corp. 190,502 3,364 * Vishay Intertechnology, Inc. 299,163 3,345 Reynolds & Reynolds Class A 130,132 3,314 18 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * National-Oilwell, Inc. 151,651 3,312 Investors Financial Services Corp. 120,919 3,312 * E*TRADE Group, Inc. 679,973 3,305 * BOK Financial Corp. 101,696 3,294 * Columbia Sportswear Co. 74,073 3,290 RPM International, Inc. 214,807 3,282 Pier 1 Imports Inc. 172,981 3,275 * Rent-A-Center, Inc. 65,502 3,272 Harris Corp. 124,144 3,265 Mack-Cali Realty Corp. REIT 107,743 3,265 * Advance Auto Parts, Inc. 66,734 3,263 United Dominion Realty Trust REIT 199,466 3,263 * Coventry Health Care Inc. 112,105 3,254 * Charles River Laboratories, Inc. 84,477 3,251 * Catellus Development Corp. 163,083 3,237 Sky Financial Group, Inc. 162,048 3,226 * JetBlue Airways Corp. 118,703 3,205 AVX Corp. 325,766 3,193 Pentair, Inc. 92,104 3,182 * 3Com Corp. 685,484 3,174 Harte-Hanks, Inc. 169,984 3,174 * Celgene Corp. 147,307 3,163 * Varco International, Inc. 181,129 3,152 * Saks Inc. 267,305 3,138 * Swift Transportation Co., Inc. 156,328 3,129 * STERIS Corp. 128,950 3,127 * Accredo Health, Inc. 88,658 3,125 Teleflex Inc. 72,778 3,121 HON Industries, Inc. 110,349 3,121 Cullen/Frost Bankers, Inc. 95,429 3,121 Crescent Real Estate, Inc. REIT 187,433 3,119 National Fuel Gas Co. 150,226 3,114 Clayton Homes Inc. 255,119 3,107 * National Instruments Corp. 95,417 3,100 * AGCO Corp. 140,187 3,098 Forest City Enterprise Class A 92,535 3,086 * Fisher Scientific International Inc. 102,202 3,074 * Corinthian Colleges, Inc. 81,156 3,073 CNF Inc. 92,315 3,069 * Getty Images, Inc. 100,363 3,066 Cabot Corp. 115,447 3,064 * Certegy, Inc. 124,282 3,051 * Pharmaceutical Product Development, Inc. 103,653 3,034 * Invitrogen Corp. 96,539 3,021 Hawaiian Electric Industries Inc. 68,553 3,015 Nationwide Financial Services, Inc. 105,204 3,014 * Del Monte Foods Co. 390,535 3,007 * Chico's FAS, Inc. 158,846 3,004 Webster Financial Corp. 86,188 2,999 First American Corp. 134,933 2,996 * Overture Services, Inc. 109,648 2,994 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Amphenol Corp. 78,603 2,987 Annaly Mortgage Management Inc. REIT 158,330 2,977 * GTECH Holdings Corp. 106,801 2,975 Talbots Inc. 107,966 2,972 * LaBranche & Co. Inc. 111,343 2,966 Donaldson Co., Inc. 82,263 2,961 Tootsie Roll Industries, Inc. 96,385 2,957 Waddell & Reed Financial, Inc. 150,175 2,954 American Financial Group, Inc. 127,857 2,950 Lubrizol Corp. 96,289 2,937 Washington Federal Inc. 118,121 2,935 Great Plains Energy, Inc. 127,816 2,924 Vectren Corp. 127,066 2,923 * Aramark Corp. Class B 123,631 2,905 * Mid Atlantic Medical Services, Inc. 89,308 2,894 * Valassis Communications, Inc. 98,161 2,889 HCC Insurance Holdings, Inc. 116,991 2,878 * Renal Care Group, Inc. 90,531 2,864 People's Bank 113,883 2,863 * Edwards Lifesciences Corp. 112,398 2,863 * Tech Data Corp. 105,967 2,857 * Scios, Inc. 87,338 2,845 * Emulex Corp. 153,367 2,845 Peabody Energy Corp. 97,284 2,844 Alliant Energy Corp. 171,541 2,839 * Performance Food Group Co. 83,236 2,827 BancorpSouth, Inc. 145,288 2,821 Martin Marietta Materials, Inc. 91,983 2,820 CBRL Group, Inc. 92,987 2,802 * DaVita, Inc. 113,512 2,800 Roslyn Bancorp, Inc. 154,916 2,793 Reader's Digest Association, Inc. 184,235 2,782 Lee Enterprises, Inc. 82,742 2,774 Colonial BancGroup, Inc. 232,436 2,773 * Foot Locker, Inc. 263,908 2,771 * MEMC Electronic Materials, Inc. 365,817 2,769 John Wiley & Sons Class A 115,127 2,764 Old National Bancorp 113,682 2,762 * Scotts Co. 56,122 2,752 * Covance, Inc. 111,672 2,746 * The Neiman Marcus Group, Inc. Class A 90,135 2,739 * ICOS Corp. 116,459 2,726 Independence Community Bank Corp. 106,985 2,715 Trustmark Corp. 114,184 2,710 Developers Diversified Realty Corp. REIT 122,047 2,684 Lancaster Colony Corp. 68,387 2,673 Raymond James Financial, Inc. 90,343 2,672 The Macerich Co. REIT 86,387 2,656 19 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * Toll Brothers, Inc. 131,345 2,653 BRE Properties Inc. Class A REIT 84,802 2,646 * Kinder Morgan Management, LLC 83,740 2,645 Trizec Properties, Inc. REIT 280,776 2,636 * Scholastic Corp. 73,153 2,630 * Grant Prideco, Inc. 225,784 2,628 * SanDisk Corp. 129,300 2,625 StanCorp Financial Group, Inc. 53,730 2,625 Arden Realty Group, Inc. REIT 118,264 2,620 * Advanced Fibre Communications, Inc. 156,986 2,619 * Neurocrine Biosciences, Inc. 57,326 2,618 Helmerich & Payne, Inc. 93,518 2,610 Media General, Inc. Class A 43,461 2,605 Chelsea Property Group REIT 78,028 2,599 * Extended Stay America, Inc. 175,809 2,593 Hudson United Bancorp 83,346 2,592 Herman Miller, Inc. 140,778 2,590 * Glamis Gold, Ltd. 227,853 2,584 Philadelphia Suburban Corp. 125,283 2,581 Werner Enterprises, Inc. 119,280 2,568 * Expedia Inc. 38,337 2,566 * Acxiom Corp. 166,718 2,564 OGE Energy Corp. 145,637 2,563 AGL Resources Inc. 105,405 2,561 CONSOL Energy, Inc. 147,976 2,557 * LAM Research Corp. 235,378 2,542 Park National Corp. 25,729 2,542 BorgWarner, Inc. 50,322 2,537 Westamerica Bancorporation 62,950 2,529 Graco, Inc. 88,171 2,526 * Furniture Brands International Inc. 105,804 2,523 * O'Reilly Automotive, Inc. 99,758 2,523 La-Z-Boy Inc. 105,117 2,521 * J.D. Edwards & Co. 222,872 2,514 Reinsurance Group of America, Inc. 92,808 2,513 * Medicis Pharmaceutical Corp. 50,479 2,507 * Meridian Gold Co. 141,970 2,503 * Affymetrix, Inc. 109,242 2,501 * FMC Technologies Inc. 122,340 2,499 CarrAmerica Realty Corp. REIT 99,696 2,497 Polaris Industries, Inc. 42,504 2,491 * Amylin Pharmaceuticals, Inc. 153,944 2,485 * Education Management Corp. 66,020 2,482 * Gemstar-TV Guide International, Inc. 763,686 2,482 Whitney Holdings Corp. 74,128 2,471 * Timberland Co. 69,365 2,470 CenterPoint Properties Corp. REIT 43,146 2,466 * Forest Oil Corp. 88,449 2,446 * BearingPoint, Inc. 353,140 2,437 * Avnet, Inc. 224,829 2,435 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Ethan Allen Interiors, Inc. 70,689 2,430 Harsco Corp. 76,137 2,428 * TIBCO Software Inc. 392,743 2,427 * Alleghany Corp. 13,624 2,418 * BJ's Wholesale Club, Inc. 131,629 2,409 * Arrow Electronics, Inc. 188,308 2,408 Chesapeake Energy Corp. 311,134 2,408 Camden Property Trust REIT 72,875 2,405 Applebee's International, Inc. 103,665 2,404 * Borders Group, Inc. 148,666 2,394 Precision Castparts Corp. 98,438 2,387 * Crown Cork & Seal Co., Inc. 300,186 2,386 Ametek Aerospace Products Inc. 61,804 2,379 * Sybase, Inc. 177,098 2,373 Carlisle Co., Inc. 57,289 2,371 * Rite Aid Corp. 965,934 2,367 Mills Corp. REIT 80,444 2,360 * Fairchild Semiconductor Corp. 220,320 2,360 * CheckFree Corp. 147,241 2,356 Rayonier Inc. 51,976 2,352 International Bancshares Corp. 59,556 2,349 Provident Financial Group, Inc. 90,066 2,344 * Interactive Data Corp. 169,793 2,335 Blyth, Inc. 87,064 2,330 * RF Micro Devices, Inc. 316,565 2,320 * Integrated Circuit Systems, Inc. 127,090 2,319 * Imation Corp. 66,063 2,317 WPS Resources Corp. 59,680 2,317 Healthcare Realty Trust Inc. REIT 79,081 2,313 * Airgas, Inc. 134,058 2,313 * Western Digital Corp. 361,643 2,311 * Agere Systems Inc. Class B 1,650,000 2,310 * Stericycle, Inc. 71,168 2,304 IMC Global Inc. 215,440 2,299 Pan Pacific Retail Properties, Inc. REIT 62,886 2,297 United Bankshares, Inc. 78,969 2,295 * Maxtor Corp. 453,287 2,294 * ADTRAN Inc. 69,694 2,293 Federal Realty Investment Trust REIT 81,366 2,288 Realty Income Corp. REIT 65,364 2,288 Commerce Group, Inc. 60,998 2,287 * Apria Healthcare Group Inc. 102,787 2,286 Church & Dwight, Inc. 75,001 2,282 * Barnes & Noble, Inc. 126,259 2,282 Western Gas Resources, Inc. 61,910 2,281 Staten Island Bancorp, Inc. 112,617 2,268 * Vertex Pharmaceuticals, Inc. 142,911 2,265 Hilb, Rogal and Hamilton Co. 55,378 2,265 Kennametal, Inc. 65,441 2,256 Cousins Properties, Inc. REIT 90,862 2,244 20 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Albemarle Corp. 78,638 2,237 * The Corporate Executive Board Co. 70,033 2,235 The Timken Co. 116,987 2,234 F.N.B. Corp. 81,087 2,232 CBL & Associates Properties, Inc. REIT 55,686 2,230 * AmeriCredit Corp. 287,959 2,229 * Skyworks Solutions, Inc. 258,323 2,227 * Cree, Inc. 136,154 2,226 * Techne Corp. 77,920 2,226 Highwood Properties, Inc. REIT 100,565 2,222 First Midwest Bancorp, Inc. 83,172 2,222 * LifePoint Hospitals, Inc. 73,996 2,215 * Cytyc Corp. 216,829 2,212 * International Rectifier Corp. 119,796 2,211 Global Payments Inc. 68,905 2,206 * Premcor, Inc. 98,917 2,199 * NBTY, Inc. 124,798 2,194 * Perot Systems Corp. 204,416 2,191 * DeVry, Inc. 131,707 2,188 * Payless ShoeSource, Inc. 42,475 2,186 Piedmont Natural Gas, Inc. 61,669 2,180 * American Axle & Manufacturing Holdings, Inc. 92,925 2,176 * J.B. Hunt Transport Services, Inc. 74,125 2,172 WGL Holdings Inc. 90,701 2,170 ONEOK, Inc. 112,903 2,168 * Key Energy Services, Inc. 241,343 2,165 Odyssey Re Holdings Corp. 122,023 2,160 * Cabot Microelectronics Corp. 45,702 2,157 * The Chicago Mercantile Exchange 49,400 2,157 Roper Industries Inc. 58,662 2,147 Superior Industries International, Inc. 51,805 2,143 * Heartland Express, Inc. 93,184 2,135 * Human Genome Sciences, Inc. 242,310 2,135 Arch Coal, Inc. 98,710 2,131 ArvinMeritor, Inc. 127,544 2,126 DQE Inc. 139,109 2,120 Regis Corp. 81,563 2,120 Jefferies Group, Inc. 50,413 2,116 Shurgard Storage Centers, Inc. Class A REIT 67,436 2,113 AptarGroup Inc. 67,369 2,105 W Holding Co., Inc. 128,135 2,103 The MONY Group Inc. 87,804 2,102 * Agere Systems Inc. Class A 1,454,397 2,094 GATX Corp. 91,735 2,093 * IDEXX Laboratories Corp. 62,754 2,090 Ruby Tuesday, Inc. 120,592 2,085 Prentiss Properties Trust REIT 73,631 2,082 * Cerner Corp. 66,562 2,081 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Emmis Communications, Inc. 99,741 2,078 Citizens Banking Corp. 83,738 2,075 Diagnostic Products Corp. 53,600 2,070 Downey Financial Corp. 53,059 2,069 AmerUs Group Co. 73,008 2,064 * Cymer, Inc. 63,894 2,061 * West Corp. 124,048 2,059 Speedway Motorsports, Inc. 79,857 2,059 * Affiliated Managers Group, Inc. 40,915 2,058 First Citizens BancShares Class A 21,192 2,047 * Copart, Inc. 172,713 2,045 Florida Rock Industries, Inc. 53,445 2,034 * Cytec Industries, Inc. 74,201 2,024 * Waste Connections, Inc. 52,335 2,021 * Investment Technology Group, Inc. 90,315 2,019 Corn Products International, Inc. 66,940 2,017 Claire's Stores, Inc. 91,321 2,015 * Westport Resources Corp. 96,860 2,015 First Industrial Realty Trust REIT 71,883 2,013 * ITT Educational Services, Inc. 85,122 2,005 HRPT Properties Trust REIT 242,613 1,999 Health Care Inc. REIT 73,813 1,997 Sensient Technologies Corp. 88,842 1,996 Fresh Del Monte Produce Inc. 105,507 1,995 IDEX Corp. 60,980 1,994 Alexander & Baldwin, Inc. 77,244 1,992 Commercial Federal Corp. 84,930 1,983 * CTI Molecular Imaging, Inc. 80,415 1,983 Reckson Associates Realty Corp. REIT 94,186 1,983 21st Century Insurance Group 158,019 1,978 * Zale Corp. 61,988 1,977 Jack Henry & Associates Inc. 164,023 1,975 Thornburg Mortgage, Inc. REIT 98,077 1,971 Atmos Energy Corp. 84,275 1,965 Oshkosh Truck Corp. 31,872 1,960 * Andrx Corp. 133,550 1,959 * Atmel Corp. 877,382 1,957 * Polo Ralph Lauren Corp. 89,902 1,956 Heritage Property Investment Trust REIT 77,709 1,940 Invacare Corp. 58,236 1,939 Community First Bankshares, Inc. 73,098 1,934 UGI Corp. Holding Co. 51,697 1,933 MDC Holdings, Inc. 50,420 1,929 * Station Casinos, Inc. 108,734 1,925 Hollinger International, Inc. 189,308 1,923 * Hotels.com Class A 35,198 1,923 * IGEN International, Inc. 44,727 1,917 * CACI International, Inc. 53,663 1,913 * Panera Bread Co. 54,875 1,910 * IndyMac Bancorp, Inc. REIT 103,128 1,907 21 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Nextel Partners, Inc. 313,848 1,905 York International Corp. 74,464 1,904 * Respironics, Inc. 62,490 1,902 * Pediatrix Medical Group, Inc. 47,291 1,894 * Red Hat, Inc. 320,504 1,894 Pittston Brink's Group 102,469 1,894 Energen Corp. 64,922 1,889 * ResMed Inc. 61,775 1,888 * Avocent Corp. 84,981 1,888 * Priority Healthcare Corp. Class B 81,369 1,888 Callaway Golf Co. 142,249 1,885 * PacifiCare Health Systems, Inc. 66,957 1,881 * Catalina Marketing Corp. 101,688 1,881 Washington REIT 73,585 1,876 * Linens 'n Things, Inc. 83,013 1,876 IKON Office Solutions, Inc. 262,112 1,874 * Arbitron Inc. 55,375 1,855 Ferro Corp. 75,747 1,850 * Tom Brown, Inc. 73,725 1,850 * Activision, Inc. 126,776 1,850 * American Eagle Outfitters, Inc. 134,122 1,848 * Service Corp. International 555,911 1,846 * Southwest Bancorporation of Texas, Inc. 64,011 1,844 * Lattice Semiconductor Corp. 210,163 1,843 Thor Industries, Inc. 53,419 1,839 Regal Entertainment Group Class A 85,548 1,832 * Bio-Rad Laboratories, Inc. Class A 47,298 1,830 * Brocade Communications Systems, Inc. 442,043 1,830 * Radio One, Inc. Class D 126,800 1,830 * Pharmaceutical Resources, Inc. 61,372 1,829 * Varian, Inc. 63,295 1,816 * FMC Corp. 66,339 1,812 SL Green Realty Corp. REIT 56,896 1,798 * Polycom, Inc. 188,205 1,792 FactSet Research Systems Inc. 63,294 1,789 * Cox Radio, Inc. 78,436 1,789 * FTI Consulting, Inc. 44,528 1,788 Lincoln Electric Holdings, Inc. 77,127 1,785 Universal Corp. (VA) 48,149 1,780 Alfa Corp. 147,778 1,775 * Houston Exploration Co. 57,695 1,765 Valhi, Inc. 212,375 1,763 * Fossil, Inc. 86,650 1,762 * Quest Software, Inc. 170,686 1,760 IDACORP, Inc. 70,869 1,760 * United Stationers, Inc. 60,762 1,750 PNM Resources Inc. 73,426 1,749 * Silicon Laboratories Inc. 91,638 1,748 * Landstar System, Inc. 29,958 1,748 * Mueller Industries Inc. 64,124 1,747 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Federal Signal Corp. 89,835 1,745 Texas Regional Bancshares, Inc. 48,970 1,740 Essex Property Trust, Inc. REIT 34,214 1,740 * Reliant Resources, Inc. 542,190 1,735 Home Properties of New York, Inc. REIT 50,150 1,728 * Trimeris, Inc. 39,990 1,723 * AnnTaylor Stores Corp. 84,354 1,723 Briggs & Stratton Corp. 40,540 1,722 * Southern Union Co. 104,122 1,718 * Take-Two Interactive Software, Inc. 73,076 1,717 * Hollywood Entertainment Corp. 113,009 1,706 ICN Pharmaceuticals, Inc. 156,406 1,706 * Boyd Gaming Corp. 121,296 1,704 * Internet Security Systems, Inc. 92,601 1,697 * P.F. Chang's China Bistro, Inc. 46,726 1,696 The South Financial Group, Inc. 81,983 1,694 Mentor Corp. 43,711 1,683 First Bancorp/Puerto Rico 74,419 1,682 * SEACOR SMIT Inc. 37,745 1,680 Pacific Capital Bancorp 65,808 1,675 Wallace Computer Services, Inc. 77,754 1,672 Post Properties, Inc. REIT 69,924 1,671 UCBH Holdings, Inc. 39,365 1,671 Olin Corp. 107,427 1,670 * Berkshire Hathaway Inc. Class B 689 1,669 Greater Bay Bancorp 96,421 1,667 CVB Financial Corp. 65,477 1,665 Patina Oil & Gas Corp. 52,441 1,660 * Borland Software Corp. 134,642 1,656 * Electronics for Imaging, Inc. 101,600 1,652 * Cal Dive International, Inc. 69,906 1,643 Arrow International, Inc. 40,390 1,643 * Pacific Sunwear of California, Inc. 92,760 1,641 Kelly Services, Inc. Class A 66,368 1,640 Trinity Industries, Inc. 86,375 1,638 * Hyperion Solutions Corp. 63,794 1,638 * Integrated Device Technology Inc. 195,561 1,637 American Capital Strategies, Ltd. 75,766 1,636 * NPS Pharmaceuticals Inc. 64,958 1,635 * Anixter International Inc. 70,255 1,633 * The Yankee Candle Co., Inc. 102,049 1,633 * R.H. Donnelley Corp. 55,633 1,631 Black Box Corp. 36,396 1,631 Minerals Technologies, Inc. 37,716 1,627 * AK Steel Corp. 203,182 1,625 * Stone Energy Corp. 48,697 1,625 FBR Asset Investment Corp. REIT 47,779 1,620 East West Bancorp, Inc. 44,738 1,614 * Evergreen Resources, Inc. 35,921 1,611 New Jersey Resources Corp. 50,925 1,609 22 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Ryland Group, Inc. 48,104 1,604 * WFS Financial, Inc. 76,542 1,601 * CEC Entertainment Inc. 52,094 1,599 * Foundry Networks, Inc. 227,042 1,598 * Choice Hotel International, Inc. 70,403 1,598 Weis Markets, Inc. 51,466 1,598 * Earthlink, Inc. 291,480 1,589 * Arch Capital Group Ltd. 50,916 1,587 Taubman Co. REIT 97,689 1,585 Nordson Corp. 63,604 1,579 * MKS Instruments, Inc. 96,076 1,579 * Perrigo Co. 129,791 1,577 UMB Financial Corp. 41,200 1,576 LNR Property Corp. 44,442 1,573 * Alliance Gaming Corp. 92,075 1,568 * FLIR Systems, Inc. 31,951 1,559 * United Rentals, Inc. 144,717 1,557 * National Processing, Inc. 96,882 1,555 * Intergraph Corp. 87,381 1,552 * Anteon International Corp. 64,278 1,543 Westcorp, Inc. 73,442 1,542 Bob Evans Farms, Inc. 66,028 1,542 * Pinnacle Systems, Inc. 113,197 1,541 * Micrel, Inc. 171,517 1,540 * Regeneron Pharmaceuticals, Inc. 83,153 1,539 * Eon Labs, Inc. 81,327 1,538 Susquehanna Bancshares, Inc. 73,767 1,537 * Sepracor Inc. 158,887 1,536 * The Titan Corp. 147,165 1,531 Chittenden Corp. 60,014 1,529 * Flowserve Corp. 103,340 1,528 * McDATA Corp. Class A 214,717 1,524 NL Industries, Inc. 89,600 1,523 * InterMune Inc. 59,662 1,522 * Syntel, Inc. 72,323 1,520 * Crown Castle International Corp. 404,742 1,518 * Simpson Manufacturing Co. 46,106 1,517 Standard Pacific Corp. 61,173 1,514 Alexandria Real Estate Equities, Inc. REIT 35,510 1,513 * Semtech Corp. 138,359 1,511 * PEC Solutions, Inc. 50,524 1,511 * Varian Semiconductor Equipment Associates, Inc. 63,479 1,508 * Unit Corp. 81,082 1,504 Longs Drug Stores, Inc. 72,510 1,504 * EMCOR Group, Inc. 28,327 1,502 * K-V Pharmaceutical Co. Class A 64,706 1,501 * Sonic Corp. 73,228 1,500 * Too Inc. 63,789 1,500 * Mediacom Communications Corp. 170,006 1,498 Ventas, Inc. REIT 130,739 1,497 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Cabot Oil & Gas Corp. 60,212 1,492 Burlington Coat Factory Warehouse Corp. 82,993 1,490 * Ohio Casualty Corp. 115,019 1,489 * Endo Pharmaceuticals Holdings, Inc. 193,457 1,489 Banta Corp. 47,561 1,487 Cambrex Corp. 49,183 1,486 * Amkor Technology, Inc. 311,510 1,483 Grey Global Group Inc. 2,424 1,481 Harleysville Group, Inc. 55,969 1,479 * Interdigital Communications Corp. 101,355 1,476 Clarcor Inc. 45,726 1,476 MAF Bancorp, Inc. 43,475 1,475 * ImClone Systems, Inc. 138,738 1,474 * Sycamore Networks, Inc. 508,616 1,470 * Cognex Corp. 79,696 1,469 * 7-Eleven, Inc. 195,380 1,465 * Beazer Homes USA, Inc. 24,162 1,464 A.O. Smith Corp. 54,194 1,464 Delphi Financial Group, Inc. 38,557 1,464 * Silicon Valley Bancshares 80,098 1,462 * DoubleClick Inc. 258,028 1,460 Southwest Gas Corp. 62,200 1,459 The Toro Co. 22,816 1,458 * BroadWing Inc. 413,896 1,457 TrustCo Bank NY 134,857 1,454 * Macrovision Corp. 90,547 1,452 Delta & Pine Land Co. 70,997 1,449 Cooper Cos., Inc. 57,800 1,446 Liberty Corp. 37,245 1,445 * Philadelphia Consolidated Holding Corp. 40,718 1,441 Brady Corp. Class A 43,065 1,436 Colonial Properties Trust REIT 42,290 1,435 USFreightways Corp. 49,908 1,435 Rollins, Inc. 56,358 1,434 * Protein Design Labs, Inc. 168,586 1,433 Brandywine Realty Trust REIT 65,610 1,431 ABM Industries Inc. 92,303 1,431 * US Oncology, Inc. 164,614 1,427 * Knight Transportation, Inc. 67,930 1,427 Skywest, Inc. 108,920 1,424 * KEMET Corp. 162,557 1,421 * Inveresk Research Group Inc. 65,700 1,418 * Price Communications Corp. 102,420 1,416 CH Energy Group, Inc. 30,273 1,412 Georgia Gulf Corp. 60,691 1,404 * Spinnaker Exploration Co. 63,269 1,395 * MedQuist, Inc. 68,836 1,395 * Kroll Inc. 72,977 1,392 23 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Great American Financial Resources, Inc. 80,850 1,391 MacDermid, Inc. 60,816 1,390 * Yellow Corp. 55,138 1,389 * Entegris Inc. 134,787 1,388 * Kronos, Inc. 37,528 1,388 * UICI 89,161 1,386 Massey Energy Co. 142,144 1,382 * Cumulus Media Inc. 92,704 1,379 * Cimarex Energy Co. 76,885 1,376 First Financial Bancorp 83,875 1,375 Nationwide Health Properties, Inc. REIT 92,066 1,375 Winnebago Industries, Inc. 35,021 1,374 Bandag, Inc. 35,502 1,373 * Kansas City Southern 114,296 1,372 * Hovnanian Enterprises Class A 43,252 1,371 H.B. Fuller Co. 52,965 1,371 * Grey Wolf, Inc. 343,482 1,370 * Journal Register Co. 76,866 1,367 The Phoenix Companies, Inc. 179,808 1,367 G & K Services, Inc. Class A 38,571 1,365 * WilTel Communications, Inc. 86,440 1,365 * Enzon Pharmaceuticals, Inc. 81,620 1,365 * Ralcorp Holdings, Inc. 54,116 1,360 Lennox International Inc. 108,232 1,358 * AMN Healthcare Services, Inc. 80,309 1,358 * Seagate Technology 126,300 1,355 Airborne, Inc. 91,363 1,355 * Ultra Petroleum Corp. 136,802 1,354 Roadway Corp. 36,529 1,345 * Watson Wyatt & Co. Holdings 61,601 1,340 Charter Municipal Mortgage Acceptance Co. 77,102 1,339 * Cypress Semiconductor Corp. 233,646 1,336 Black Hills Corp. 50,300 1,334 * Oakley, Inc. 129,636 1,331 * CSG Systems International, Inc. 97,478 1,331 * Hot Topic, Inc. 58,144 1,330 Chemical Financial Corp. 41,260 1,327 Westar Energy, Inc. 133,966 1,326 St. Mary Land & Exploration Co. 52,885 1,322 * Men's Wearhouse, Inc. 76,911 1,319 * Entravision Communications Corp. 132,088 1,318 * Benchmark Electronics, Inc. 45,940 1,317 * Gaylord Entertainment Co. Class A 63,913 1,317 * Veridian Corp. 61,440 1,311 Russ Berrie and Co., Inc. 38,784 1,310 Northwest Natural Gas Co. 48,342 1,308 Hancock Holding Co. 29,206 1,304 * Tuesday Morning Corp. 76,208 1,303 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Commonwealth Telephone Enterprises, Inc. 36,357 1,303 * Siliconix, Inc. 55,652 1,302 Brookline Bancorp, Inc. 109,385 1,302 Northwest Bancorp, Inc. 87,980 1,301 Matthews International Corp. 58,160 1,299 * Manhattan Associates, Inc. 54,828 1,297 NDCHealth Corp. 65,170 1,297 PS Business Parks, Inc. REIT 40,709 1,295 * Tractor Supply Co. 34,250 1,288 * Applera Corp.-Celera Genomics Group 134,829 1,288 * Jack in the Box Inc. 74,354 1,286 Potlatch Corp. 53,774 1,284 Otter Tail Corp. 47,625 1,281 FelCor Lodging Trust, Inc. REIT 111,834 1,279 * BlackRock, Inc. 32,447 1,278 * Plantronics, Inc. 84,482 1,278 Cathay Bancorp, Inc. 33,604 1,277 Central Parking Corp. 67,573 1,274 * SCP Pool Corp. 43,557 1,272 * Fidelity National Information Solutions, Inc. 73,538 1,269 Chateau Communities, Inc. REIT 55,125 1,268 * DRS Technologies, Inc. 40,460 1,268 La Quinta Corp. REIT 288,033 1,267 Vintage Petroleum, Inc. 120,096 1,267 Crompton Corp. 212,904 1,267 Baldor Electric Co. 64,093 1,266 First Commonwealth Financial Corp. 110,006 1,265 First Niagara Financial Group, Inc. 48,369 1,263 Interstate Bakeries Corp. 82,823 1,263 * EGL, Inc. 88,426 1,260 Sierra Pacific Resources 193,654 1,259 * Sylvan Learning Systems, Inc. 76,520 1,255 Albany International Corp. 60,640 1,253 * Ariba, Inc. 504,862 1,252 * ADVO, Inc. 38,106 1,251 * American Tower Corp. Class A 354,365 1,251 Sun Communities, Inc. REIT 34,149 1,249 The Manitowac Co., Inc. 48,973 1,249 * AmeriPath, Inc. 58,083 1,249 Kellwood Co. 48,030 1,249 Reliance Steel & Aluminum Co. 59,917 1,249 Selective Insurance Group 49,429 1,245 Hughes Supply, Inc. 45,543 1,244 * ExpressJet Holdings, Inc. 121,368 1,244 Manufactured Home Communities, Inc. REIT 41,911 1,242 Analogic Corp. 24,643 1,239 S & T Bancorp, Inc. 49,393 1,237 24 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Fred's, Inc. 48,106 1,236 Capital Automotive REIT 52,151 1,236 * Kirby Corp. 45,009 1,233 Cleco Corp. 87,993 1,232 * International Specialty Products, Inc. 120,517 1,230 * Tetra Tech, Inc. 100,818 1,230 * United Online, Inc. 77,007 1,228 Centex Construction Products, Inc. 34,921 1,227 * Rambus Inc. 182,839 1,227 * Abgenix, Inc. 166,465 1,227 * INAMED Corp. 39,786 1,225 John H. Harland Co. 55,298 1,224 * American Italian Pasta Co. 33,989 1,223 * Genesis Health Ventures, Inc. 79,088 1,222 Kilroy Realty Corp. REIT 52,882 1,219 Technitrol, Inc. 75,358 1,216 LandAmerica Financial Group, Inc. 34,256 1,214 Ruddick Corp. 88,470 1,211 * Arkansas Best Corp. 46,590 1,210 * Mercury Computer Systems, Inc. 39,625 1,209 * Cognizant Technology Solutions Corp. 16,740 1,209 New Century Financial Corp. 47,499 1,206 * Keane, Inc. 134,047 1,205 Granite Construction Co. 77,743 1,205 * The Medicines Co. 75,135 1,204 * Macromedia, Inc. 112,895 1,202 Flagstar Bancorp, Inc. 55,604 1,201 * Tekelec 114,548 1,197 * Insight Communications Co., Inc. 96,664 1,197 * SERENA Software, Inc. 75,711 1,195 * Dycom Industries, Inc. 90,149 1,194 * Northwest Airlines Corp. Class A 162,717 1,194 * Quiksilver, Inc. 44,778 1,194 * Lin TV Corp. 48,907 1,191 Kaydon Corp. 56,083 1,190 * Documentum, Inc. 75,894 1,189 * Penn National Gaming, Inc. 74,923 1,188 * Dionex Corp. 39,993 1,188 * Select Medical Corp. 87,933 1,186 * AFC Enterprises, Inc. 56,444 1,186 * NetIQ Corp. 95,784 1,183 * OfficeMax, Inc. 236,578 1,183 * Cost Plus, Inc. 41,234 1,182 * Oil States International, Inc. 91,544 1,181 Horace Mann Educators Corp. 76,840 1,178 * MSC Industrial Direct Co., Inc. Class A 66,072 1,173 * Unilab Corp. 64,053 1,172 * Wilson Greatbatch Technologies, Inc. 40,081 1,170 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Waypoint Financial Corp. 65,677 1,169 * Shaw Group, Inc. 70,901 1,166 Alpharma, Inc. Class A 97,821 1,165 Commercial Net Lease Realty REIT 75,825 1,162 * Renaissance Learning, Inc. 61,450 1,161 * AMERIGROUP Corp. 38,300 1,161 * Rare Hospitality International Inc. 41,983 1,160 Overseas Shipholding Group Inc. 64,693 1,158 * Adaptec, Inc. 204,523 1,156 Casey's General Stores, Inc. 94,534 1,154 * Gartner, Inc. Class A 125,427 1,154 Charter Financial Corp. 37,059 1,152 * WebEx Communications, Inc. 76,750 1,151 * Avid Technology, Inc. 50,161 1,151 Corus Bankshares Inc. 26,351 1,150 * Oceaneering International, Inc. 46,477 1,150 * Denbury Resources, Inc. 101,665 1,149 Senior Housing Properties Trust REIT 108,081 1,147 * Hanover Compressor Co. 124,745 1,145 Spartech Corp. 55,243 1,140 Republic Bancorp, Inc. 96,780 1,139 * OSI Pharmaceuticals, Inc. 69,429 1,139 Gables Residential Trust REIT 45,667 1,138 * Superior Energy Services, Inc. 138,614 1,137 * Infonet Services Corp. 572,184 1,133 Glimcher Realty Trust REIT 63,758 1,132 The Pep Boys (Manny, Moe & Jack) 97,519 1,131 Wabtec Corp. 80,536 1,131 Wolverine World Wide, Inc. 74,784 1,130 * Playtex Products, Inc. 114,090 1,127 MB Financial, Inc. 32,388 1,127 * RealNetworks, Inc. 295,692 1,127 Strayer Education, Inc. 19,453 1,119 * Barra, Inc. 36,824 1,117 * Universal Compression Holdings, Inc. 58,382 1,117 State Auto Financial Corp. 71,926 1,115 Modine Manufacturing Co. 63,024 1,114 Millennium Chemicals, Inc. 116,876 1,113 Landry's Restaurants, Inc. 52,235 1,109 * Stewart Enterprises, Inc. Class A 199,042 1,109 * Paxar Corp. 75,148 1,108 UniSource Energy Corp. 63,959 1,106 * Legato Systems, Inc. 218,400 1,099 * Martek Biosciences Corp. 43,649 1,098 * Saga Communications, Inc. 57,746 1,097 Flowers Foods, Inc. 56,204 1,097 * Hewitt Associates, Inc. 34,500 1,093 Glatfelter 82,977 1,092 * GlobespanVirata, Inc. 247,606 1,092 25 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUN Shares (000) - -------------------------------------------------------------------------------- * Coherent, Inc. 54,677 1,091 Farmer Brothers, Inc. 3,525 1,089 * Wright Medical Group, Inc. 62,343 1,088 * Ascential Software Corp. 452,994 1,087 * Tejon Ranch Co. 36,575 1,086 * ProAssurance Corp. 51,680 1,085 * Gen-Probe Inc. 45,500 1,083 Wausau-Mosinee Paper Corp. 96,429 1,082 Tredegar Corp. 72,009 1,080 * MAXIMUS, Inc. 41,358 1,079 * Credence Systems Corp. 115,676 1,079 * DIANON Systems, Inc. 22,618 1,079 Engineered Support Systems, Inc. 29,434 1,079 * ATMI, Inc. 58,190 1,078 * PRG-Schultz International, Inc. 120,968 1,077 * Alaska Air Group, Inc. 49,700 1,076 * Sybron Dental Specialties, Inc. 72,435 1,076 * Cobalt Corp. 77,895 1,075 * Genta Inc. 139,693 1,074 South Jersey Industries, Inc. 32,504 1,073 * Steel Dynamics, Inc. 89,054 1,071 Berry Petroleum Class A 62,718 1,069 * Genencor International Inc. 109,226 1,068 Coca-Cola Bottling Co. 16,555 1,068 * Orthodontic Centers of America, Inc. 97,765 1,067 * TriQuint Semiconductor, Inc. 251,293 1,065 * Knight Trading Group, Inc. 222,100 1,064 BancFirst Corp. 22,551 1,060 * CONMED Corp. 54,067 1,059 * MPS Group, Inc. 191,103 1,059 * Sunrise Assisted Living, Inc. 42,466 1,057 * Encore Acquisition Co. 57,181 1,053 IRT Property Co. REIT 88,687 1,053 Santander BanCorp 80,956 1,052 Owens & Minor, Inc. Holding Co. 64,078 1,052 EastGroup Properties, Inc. REIT 41,248 1,052 Acuity Brands, Inc. 77,508 1,049 * Electro Scientific Industries, Inc. 52,413 1,048 Glacier Bancorp, Inc. 44,471 1,048 Avista Corp. 90,360 1,045 Barnes Group, Inc. 51,263 1,043 * ProQuest Co. 53,212 1,043 * Argosy Gaming Co. 55,058 1,042 * Headwaters Inc. 67,038 1,040 * Axcelis Technologies, Inc. 185,360 1,040 NBT Bancorp, Inc. 60,854 1,039 Provident Bankshares Corp. 44,900 1,038 * CorVel Corp. 29,021 1,038 * Sotheby's Holdings Class A 115,193 1,037 Cato Corp. Class A 47,932 1,035 Saul Centers, Inc. REIT 43,477 1,035 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Quanex Corp. 30,839 1,033 Holly Corp. 47,276 1,033 First Charter Corp. 57,272 1,031 * El Paso Electric Co. 93,696 1,031 * CUNO Inc. 31,095 1,030 R.L.I. Corp. 36,902 1,030 * Actuant Corp. 22,044 1,024 * Christopher & Banks Corp. 49,323 1,023 * Maverick Tube Corp. 78,474 1,023 Sterling Bancshares, Inc. 83,574 1,021 * Atlantic Coast Airlines Holdings Inc. 84,852 1,021 * Allmerica Financial Corp. 101,033 1,020 * Startek, Inc. 36,941 1,020 * Teletech Holdings Inc. 140,397 1,019 * Odyssey Healthcare, Inc. 29,359 1,019 * ValueVision Media, Inc. 67,982 1,018 * VCA Antech, Inc. 67,800 1,017 Kimball International, Inc. Class B 71,290 1,016 * Chiquita Brands International, Inc. 76,423 1,013 Russell Corp. 60,504 1,013 Sovran Self Storage, Inc. REIT 35,688 1,012 * Group 1 Automotive, Inc. 42,357 1,011 * Six Flags, Inc. 176,902 1,010 * Bright Horizons Family Solutions, Inc. 35,918 1,010 National Penn Bancshares Inc. 38,036 1,010 Independent Bank Corp. (MA) 44,241 1,009 Applied Industrial Technology, Inc. 53,366 1,009 Wintrust Financial Corp. 32,195 1,008 * Stewart Information Services Corp. 47,104 1,008 * Aztar Corp. 70,538 1,007 A. Schulman Inc. 54,100 1,007 * THQ Inc. 75,859 1,005 * Triarc Cos., Inc. Class A 38,226 1,003 Alabama National BanCorporation 23,050 1,003 * American Medical Systems Holdings, Inc. 61,780 1,001 Amcore Financial, Inc. 46,097 1,000 * CDI Corp. 37,060 1,000 * Joy Global Inc. 88,779 1,000 First Federal Capital Corp. 51,735 999 * Hydrill Co. 42,374 999 * Terex Corp. 89,471 997 * Radio One, Inc. 68,143 996 Greif Brothers Corp. Class A 41,845 996 Schweitzer-Mauduit International, Inc. 40,649 996 * Mentor Graphics Corp. 126,380 993 Surewest Communications 26,626 990 Independent Bank Corp. (MI) 32,685 989 Lawson Products, Inc. 31,897 988 26 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Anthracite Capital Inc. REIT 90,553 987 Vital Signs, Inc. 33,015 986 Regal-Beloit Corp. 47,626 986 * PolyMedica Corp. 31,947 985 * PRIMEDIA Inc. 478,190 985 Tecumseh Products Co. Class A 22,318 985 * Papa John's International, Inc. 35,318 985 * Hutchinson Technology, Inc. 47,499 983 Inter-Tel, Inc. 46,994 983 CARBO Ceramics Inc. 29,130 982 * Haemonetics Corp. 45,744 982 Harbor Florida Bancshares, Inc. 43,537 980 * Dollar Thrifty Automotive Group, Inc. 46,353 980 * Forrester Research, Inc. 62,878 979 * Nautica Enterprises, Inc. 87,930 977 * The Topps Co., Inc. 112,181 976 * Sinclair Broadcast Group, Inc. 83,776 974 United Community Banks, Inc. 39,968 974 * Triumph Group, Inc. 30,452 973 Empire District Electric Co. 53,366 971 Hudson River Bancorp. Inc. 39,216 971 * Triad Guaranty, Inc. 26,330 971 * 1-800 CONTACTS, Inc. 35,122 968 * USI Holdings Corp. 82,400 968 Oriental Financial Group Inc. 39,374 968 * ICU Medical, Inc. 25,939 968 UIL Holdings Corp. 27,740 967 Anchor Bancorp Wisconsin Inc. 46,580 967 Impac Mortgage Holdings, Inc. REIT 83,976 966 * IHOP Corp. 40,227 965 * Biosite Inc. 28,361 965 The Standard Register Co. 53,577 964 * Hain Celestial Group, Inc. 63,430 964 Texas Industries, Inc. 39,644 963 * Teledyne Technologies, Inc. 61,396 963 FBL Financial Group, Inc. Class A 49,395 962 Hugoton Royalty Trust 74,941 961 Franklin Electric, Inc. 19,952 958 * Trex Co., Inc. 27,056 955 * Coinstar, Inc. 42,151 955 Omega Financial Corp. 26,613 954 West Pharmaceutical Services, Inc. 39,096 954 * i2 Technologies, Inc. 828,621 953 Churchill Downs, Inc. 24,947 953 * American Management Systems, Inc. 79,279 951 BankAtlantic Bancorp, Inc. Class A 100,575 951 * MICROS Systems, Inc. 42,342 949 * FEI Co. 62,074 949 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * CV Therapeutics, Inc. 52,079 949 Chemed Corp. 26,807 948 JDN Realty Corp. REIT 86,477 947 Sterling Bancorp 35,973 947 Lance, Inc. 79,748 944 * First Federal Financial Corp. 32,571 943 * Esterline Technologies Corp. 53,293 942 * Pre-Paid Legal Services, Inc. 35,936 942 * CSK Auto Corp. 85,515 941 The Trust Co. of New Jersey 33,759 940 * SurModics, Inc. 32,695 938 * Rudolph Technologies, Inc. 48,854 936 Methode Electronics, Inc. Class A 85,302 936 * Hollywood Casino Corp. 76,190 936 * National Beverage Corp. 61,136 935 * Offshore Logistics, Inc. 42,564 933 * Power Integrations, Inc. 54,831 932 Dime Community Bancshares 48,622 931 * Ryan's Family Steak Houses, Inc. 82,013 931 Woodward Governor Co. 21,397 931 Suffolk Bancorp 29,402 930 * United Defense Industries Inc. 39,899 930 New England Business Service, Inc. 38,089 929 * VISX Inc. 96,962 929 Glenborough Realty Trust, Inc. REIT 52,126 929 * Exar Corp. 74,889 929 * Sola International Inc. 71,423 929 * PETCO Animal Supplies, Inc. 39,608 928 Cubic Corp. 50,306 927 * Medical Staffing Network Holdings, Inc. 57,931 927 * Alexander's, Inc. REIT 14,351 926 Westbanco Inc. 39,599 926 Town & Country Trust REIT 43,765 924 Summit Properties, Inc. REIT 51,859 923 Gold Banc Corp., Inc. 92,972 922 * eSPEED, Inc. Class A 54,412 922 Walter Industries, Inc. 84,992 921 Scope Industries 10,500 919 Koger Equity, Inc. REIT 58,867 918 * Newport Corp. 72,970 917 Novastar Financial, Inc. REIT 29,517 916 * IDX Systems Corp. 53,757 916 * United Auto Group, Inc. 73,271 914 USEC Inc. 151,766 914 Community Trust Bancorp Inc. 36,340 914 * Pacer International, Inc. 68,688 914 * Nortek Holdings, Inc. 19,950 913 First Community Bancorp 27,700 912 * Corrections Corp. of America REIT 53,121 911 * Resources Connection, Inc. 39,141 908 * United Natural Foods, Inc. 35,800 908 27 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * Moog Inc. 29,223 907 * Monaco Coach Corp. 54,791 907 * Verint Systems Inc. 44,813 904 * Magnum Hunter Resources Inc. 151,880 904 * Charming Shoppes, Inc. 216,163 904 * Integra LifeSciences Holdings 51,120 902 * Province Healthcare Co. 92,689 902 * California Pizza Kitchen, Inc. 35,783 902 * ESCO Technologies Inc. 24,368 902 * Checkpoint Systems, Inc. 87,084 900 Lexington Corporate Properties Trust REIT 56,600 900 * Cyberonics, Inc. 48,899 900 Royal Gold, Inc. 36,102 900 Bank Mutual Corp. 38,887 899 * Continental Airlines, Inc. Class B 124,038 899 Frontier Financial Corp. 35,130 899 * Informatica Corp. 155,893 898 Baldwin & Lyons, Inc. Class B 38,123 898 United National Bancorp 38,892 897 Capstead Mortgage Corp. REIT 36,326 896 * Albany Molecular Research, Inc. 60,517 895 * Southwestern Energy Co. 78,074 894 * PSS World Medical, Inc. 130,548 893 * Quicksilver Resources, Inc. 39,677 890 Phillips-Van Heusen Corp. 76,919 889 Valmont Industries, Inc. 45,819 889 * CCC Information Services Group 50,064 889 Universal Health Realty Income REIT 33,842 888 Seacoast Financial Services Corp. 44,389 888 * Ne.Bank, Inc. 91,669 887 OceanFirst Financial Corp. 39,478 886 City Holding Co. 31,356 886 * Jones Lang Lasalle Inc. 57,397 883 * International Multifoods Corp. 41,507 880 * Websense, Inc. 41,170 879 * Verity, Inc. 65,665 879 The Laclede Group, Inc. 36,276 878 Rock-Tenn Co. 64,978 876 MGE Energy, Inc. 32,716 876 Cash America International Inc. 91,942 875 Sanderson Farms, Inc. 41,826 875 * WMS Industries, Inc. 58,382 875 * CommScope, Inc. 110,254 871 Skyline Corp. 29,500 870 * OmniVision Technologies, Inc. 64,111 870 * The Gymboree Corp. 54,825 870 * Right Management Consultants, Inc. 65,587 869 * Urban Outfitters, Inc. 36,853 869 * Meritage Corp. 25,800 868 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Cross Country, Inc. 62,174 867 Deb Shops, Inc. 39,050 867 Standex International Corp. 36,379 867 * Insituform Technologies Inc. Class A 50,824 867 Community Bank System, Inc. 27,604 865 R & G Financial Corp. Class B 37,206 865 * Inhale Therapeutic Systems 106,765 863 * Trammell Crow Co. 95,841 863 * Hecla Mining Co. 170,418 862 * Palm, Inc. 54,899 862 Commercial Metals Co. 53,044 862 C & D Technologies, Inc. 48,723 861 Equity One, Inc. REIT 64,472 861 * William Lyon Homes, Inc. 39,419 861 * J & J Snack Foods Corp. 24,096 860 * Triangle Pharmaceuticals, Inc. 144,767 860 * Financial Federal Corp. 34,196 859 Harleysville National Corp. 32,151 859 Commonwealth Bancorp 18,518 859 * Trimble Navigation Ltd. 68,741 859 * JAKKS Pacific, Inc. 63,692 858 * Advent Software, Inc. 62,804 856 * Central Garden and Pet Co. 46,234 856 * Echelon Corp. 76,310 856 Florida East Coast Industries, Inc. Class A 36,872 856 Irwin Financial Corp. 51,828 855 * Exelixis, Inc. 106,787 854 * First Republic Bank 42,722 854 * Griffon Corp. 62,664 854 * Allen Telecom Inc. 90,108 853 WSFS Financial Corp. 25,817 851 * Global Industries Ltd. 204,029 851 Zenith National Insurance Corp. 36,156 850 * Handleman Co. 73,932 850 CPB, Inc. 30,960 850 Sandy Spring Bancorp, Inc. 26,976 850 The Stride Rite Corp. 118,397 849 * Capital Corp. of the West 36,030 849 * Identix, Inc. 164,742 848 * WCI Communities, Inc. 82,921 846 Integra Bank Corp. 47,455 846 * Photronics Inc. 61,661 845 Boston Private Financial Holdings, Inc. 42,525 845 * InVision Technologies, Inc. 32,037 844 * P.A.M. Transportation Services, Inc. 33,466 844 * LendingTree, Inc. 65,485 843 Redwood Trust, Inc. REIT 30,310 840 * Silgan Holdings, Inc. 34,001 839 Williams Energy Partners L.P. 25,835 838 28 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Wynn Resorts Ltd. 63,900 838 * Antigenics, Inc. 81,767 837 * The Advisory Board Co. 28,000 837 PMA Capital Corp. Class A 58,420 837 * RSA Security Inc. 139,623 836 * Liquidmetal Technologies 81,324 836 * Sonic Automotive, Inc. 56,164 835 Blockbuster Inc. Class A 68,135 835 * Jo-Ann Stores, Inc. Class A 36,300 834 Hancock Fabrics, Inc. 54,669 834 * CoorsTek, Inc. 32,567 832 Mid-America Apartment Communities, Inc. REIT 34,000 831 * Alloy, Inc. 75,871 831 * Vitesse Semiconductor Corp. 379,800 830 * Elizabeth Arden, Inc. 56,040 829 * DSP Group Inc. 52,410 829 * Atrix Laboratories, Inc. 53,979 828 Bedford Property Investors, Inc. REIT 32,200 827 * Progress Software Corp. 63,873 827 * Bombay Co. 165,362 827 * BankUnited Financial Corp. 51,068 826 Thomas Industries, Inc. 31,700 826 * Royal Appliance Manufacturing Co. 113,500 825 Pennsylvania REIT 31,707 824 * FileNET Corp. 67,506 824 Interpool, Inc. 51,234 823 First Financial Bankshares, Inc. 21,621 822 * Salem Communications Corp. 32,900 822 * eFunds Corp. 90,061 820 Connecticut Bancshares, Inc. 21,316 820 * Lone Star Technologies, Inc. 55,034 819 * Remington Oil & Gas Corp. 49,900 819 Simmons First National Corp. 22,342 819 * Steak n Shake Co. 81,817 818 Frontier Oil Corp. 47,483 818 Wellman, Inc. 60,497 816 * The Nautilus Group, Inc. 61,059 816 Riggs National Corp. 52,624 815 * Robert Mondavi Corp. Class A 26,288 815 * Rayovac Corp. 60,928 812 Brown Shoe Co., Inc. 34,047 811 * Thoratec Corp. 106,281 811 * Artisan Components, Inc. 52,546 811 Seacoast Banking Corp. of Florida 42,982 810 Advanced Marketing Services 55,048 809 St. Francis Capital Corp. 34,540 809 * Citizens, Inc. 107,817 809 Pulitzer, Inc. 17,983 808 WD-40 Co. 30,587 808 * Clean Harbors Inc. 52,068 808 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Conexant Systems, Inc. 501,728 808 Steelcase Inc. 73,693 808 National Health Investors REIT 50,221 808 RPC Inc. 69,588 807 * Imagistics International Inc. 40,204 804 F & M Bancorp 25,115 804 * webMethods, Inc. 97,643 803 Granite State Bankshares, Inc. 18,350 802 Great Southern Bancorp, Inc. 21,813 802 ElkCorp 46,324 801 * Labor Ready, Inc. 124,365 798 * Genlyte Group, Inc. 25,610 798 S.Y. Bancorp, Inc. 21,489 797 * Agile Software Corp. 102,748 795 Datascope Corp. 31,992 793 Central Vermont Public Service Corp. 43,400 793 * Prima Energy Corp. 35,477 793 * TBC Corp. 66,000 793 CIRCOR International, Inc. 49,839 792 * Atwood Oceanics, Inc. 26,312 792 * Adolor Corp. 57,619 791 Arch Chemicals, Inc. 43,287 790 * Per-Se Technologies, Inc. 88,079 790 Nu Skin Enterprises, Inc. 65,900 789 Watts Industries Class A 50,114 789 * Impath, Inc. 39,985 789 SJW Corp. 10,100 788 * Tyler Technologies, Inc. 188,910 788 * Forward Air Corp. 40,565 787 * Regent Communications, Inc. 132,857 785 * Vail Resorts Inc. 51,728 785 * Martha Stewart Living Omnimedia, Inc. 79,408 784 * Quantum Corp. 293,161 783 Lindsay Manufacturing Co. 36,561 782 * Aeroflex, Inc. 113,379 782 * United Surgical Partners International, Inc. 50,059 782 * Regeneration Technologies, Inc. 77,146 781 * Hibbett Sporting Goods, Inc. 32,596 780 * URS Corp. 54,705 778 * Stage Stores, Inc. 36,966 778 Lone Star Steakhouse & Saloon, Inc. 40,196 777 * aaiPharma Inc. 55,446 777 * Iomega Corp. 98,955 777 Port Financial Corp. 17,400 776 * 4Kids Entertainment Inc. 35,134 776 Penn Virginia Corp. 21,313 775 * Advanced Digital Information Corp. 115,367 774 Pope & Talbot, Inc. 54,274 774 29 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * Credit Acceptance Corp. 121,232 774 * PAREXEL International Corp. 70,339 773 * AmSurg Corp. 37,794 772 Ameron International Corp. 13,999 772 Aaron Rents, Inc. Class B 35,300 772 * Telik, Inc. 66,182 772 * DuPont Photomasks, Inc. 33,175 771 * Tanox, Inc. 85,152 771 * Molecular Devices Corp. 46,776 770 * Movie Gallery, Inc. 59,258 770 PFF Bancorp, Inc. 24,600 769 * United Therapeutics Corp. 46,012 768 * Boca Resorts, Inc. Class A 71,810 768 M/I Schottenstein Homes, Inc. 27,632 768 * Intertrust Technologies Corp. 181,537 768 Tremont Corp. 25,754 767 Coachmen Industries, Inc. 48,478 766 * Scientific Games Corp. 105,230 764 * Connetics Corp. 63,526 764 * Tularik, Inc. 102,198 762 * Digital River, Inc. 63,746 762 * NCO Group, Inc. 47,612 759 United Community Financial Corp. 87,656 758 Apogee Enterprises, Inc. 84,696 758 Curtiss-Wright Corp. 11,878 758 RFS Hotel Investors, Inc. REIT 69,755 758 * Electronics Boutique Holdings Corp. 47,892 757 * Duane Reade Inc. 44,497 756 Vector Group Ltd. 65,041 756 * Genesco, Inc. 40,544 755 RAIT Investment Trust REIT 34,856 753 LaSalle Hotel Properties REIT 53,771 753 MFA Mortgage Investments, Inc. REIT 89,528 752 K-Swiss, Inc. 34,626 752 Pennfed Financial Services, Inc. 27,657 751 EDO Corp. 36,133 751 * Ionics, Inc. 32,908 750 * Sequa Corp. Class A 19,167 750 CTS Corp. 96,688 749 * II-VI, Inc. 46,578 748 Getty Realty Holding Corp. REIT 39,472 748 * Cell Genesys, Inc. 67,046 748 * Republic Bancshares, Inc. 37,960 746 * Gulfmark Offshore, Inc. 50,562 746 World Fuel Services Corp. 36,373 746 * Mobile Mini, Inc. 47,579 746 First Essex Bancorp, Inc. 22,288 744 * Advanced Energy Industries, Inc. 58,481 744 * Armor Holdings, Inc. 53,967 743 Innkeepers USA Trust REIT 96,904 742 * Kenneth Cole Productions, Inc. 36,532 742 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Libbey, Inc. 28,498 741 * Genesee & Wyoming Inc. Class A 36,399 741 Pioneer Standard Electronics Inc. 80,661 740 * Arris Group Inc. 207,212 740 * Alkermes, Inc. 117,981 740 Hooper Holmes, Inc. 120,345 739 Kaman Corp. Class A 67,114 738 * Insurance Auto Auctions, Inc. 44,490 738 * Kos Pharmaceuticals, Inc. 38,840 738 * Actel Corp. 45,390 736 * Pegasus Solutions Inc. 73,401 736 Mine Safety Appliances Co. 22,792 735 Flushing Financial Corp. 44,871 735 CFS Bancorp, Inc. 51,273 733 * Spherion Corp. 109,359 733 * Gart Sports Co. 37,813 732 * Photon Dynamics, Inc. 32,040 731 * Enzo Biochem, Inc. 52,140 730 * Escalade, Inc. 36,479 730 First Place Financial Corp. 43,835 729 * PICO Holdings, Inc. 54,236 728 * The Sports Authority, Inc. 103,907 727 * Palm Harbor Homes, Inc. 41,575 726 * NYMAGIC, Inc. 37,300 725 * Ligand Pharmaceuticals Inc. Class B 134,929 725 * Avatar Holding, Inc. 31,499 724 * ITLA Capital Corp. 21,785 724 Argonaut Group, Inc. 49,065 724 Myers Industries, Inc. 67,574 723 * Horizon Organic Holding Corp. 44,651 723 Cascade Bancorp 52,277 722 * Continental Materials Corp. 26,500 721 * Itron, Inc. 37,600 721 * Global Imaging Systems, Inc. 39,152 720 * MemberWorks, Inc. 39,952 718 * CMGI Inc. 732,138 718 * Silicon Image, Inc. 119,651 718 * Swift Energy Co. 74,149 717 * PTEK Holdings, Inc. 162,892 717 * Cleveland-Cliffs Iron Co. 36,000 715 * Brooks-PRI Automation, Inc. 62,165 712 * The Buckle, Inc. 39,549 712 * Western Wireless Corp. Class A 134,130 711 Florida East Coast Industries, Inc. Class B 32,159 710 Solutia, Inc. 195,433 709 * Herley Industries Inc. 40,732 709 * Silicon Storage Technology, Inc. 175,425 709 BSB Bancorp, Inc. 33,774 708 Cornerstone Realty Income Trust, Inc. REIT 88,961 708 30 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * EPIQ Systems, Inc. 46,217 708 * Viasys Healthcare Inc. 47,523 708 * The Dress Barn, Inc. 53,158 707 National Presto Industries, Inc. 24,063 707 * W-H Energy Services, Inc. 48,436 707 * Boston Communications Group, Inc. 55,595 707 * Zoran Corp. 50,217 707 * Insight Enterprises, Inc. 84,972 706 * Ulticom, Inc. 94,272 706 * Blue Rhino Corp. 40,553 705 American Woodmark Corp. 14,833 705 * Longview Fibre Co. 97,444 705 Fremont General Corp. 156,696 704 * The Boyds Collection, Ltd. 105,740 703 * Kensey Nash Corp. 38,452 703 Abington Bancorp Inc. 33,600 702 * Isle of Capri Casinos, Inc. 52,957 701 Washington Trust Bancorp, Inc. 35,859 700 * IDT Corp. Class B 45,100 700 * Extreme Networks, Inc. 213,859 699 Frisch's Restaurants, Inc. 33,664 699 * CNET Networks, Inc. 257,653 698 * Aeropostale, Inc. 66,058 698 Stewart & Stevenson Services, Inc. 49,356 698 * The Middleby Corp. 65,800 697 Sauer-Danfoss, Inc. 88,118 696 Blair Corp. 29,846 696 * Bay View Capital Corp. 120,766 694 First Mutual Bancshares, Inc. 38,458 694 Unizan Financial Corp. 35,100 693 Cohu, Inc. 47,137 693 Met-Pro Corp. 47,846 693 * Ameristar Casinos, Inc. 49,087 692 * Volt Information Sciences Inc. 40,474 692 * Ocular Sciences, Inc. 44,581 692 * RailAmerica, Inc. 96,416 691 * General Maritime Corp. 92,698 691 * Guitar Center, Inc. 41,700 691 Redwood Empire Bancorp 25,950 690 * LabOne, Inc. 38,950 690 * SafeNet, Inc. 27,184 689 * Interwoven, Inc. 264,974 689 * Learning Tree International, Inc. 50,126 687 Park Electrochemical Corp. 35,765 687 * Prime Hospitality Corp. 84,207 686 * Casella Waste Systems, Inc. 77,113 686 * Caraustar Industries, Inc. 72,311 686 Belden, Inc. 45,015 685 * Priceline.com Inc. 427,091 683 * Plexus Corp. 77,818 683 * Packeteer, Inc. 99,539 683 * Radiant Systems, Inc. 70,842 682 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Symyx Technologies 54,111 681 First Sentinel Bancorp Inc. 47,215 679 * Littelfuse, Inc. 40,249 679 GBC Bancorp 35,045 678 * Keynote Systems Inc. 87,838 678 Financial Institutions, Inc. 23,075 677 * Spanish Broadcasting System, Inc. 93,834 676 * Ciber, Inc. 131,082 675 * Advanced Neuromodulation Systems, Inc. 19,225 675 * Isis Pharmaceuticals, Inc. 102,302 674 * USG Corp. 79,606 673 Dimon Inc. 112,054 672 UNITILI Corp. 27,100 672 * Tesoro Petroleum Corp. 148,618 672 * ShopKo Stores, Inc. 53,944 672 Advanta Corp. Class A 74,699 671 * BHA Group Holdings Inc. 39,059 670 Fisher Communications, Inc. 12,700 670 * Consolidated Graphics, Inc. 30,069 669 * BioMarin Pharmaceutical Inc. 94,867 669 * WellChoice Inc. 27,900 668 * School Specialty, Inc. 33,344 666 * Collins & Aikman Corp. 149,572 666 Oshkosh B' Gosh, Inc. Class A 23,728 666 * Rainbow Technologies, Inc. 92,704 665 * CompuCredit Corp. 93,963 664 PolyOne Corp. 169,293 664 * Fleetwood Enterprises, Inc. 84,507 663 * SPSS, Inc. 47,364 663 Angelica Corp. 31,900 659 * Cellegy Pharmaceuticals, Inc. 162,300 657 Fleming Cos., Inc. 100,048 657 * Monolithic System Technology, Inc. 54,382 657 * 3Tec Energy Corp. 46,261 656 Central Bancorp, Inc. 21,800 656 * TransTechnology Corp. 62,600 656 Bel Fuse, Inc. Class B 32,500 655 * Powerwave Technologies, Inc. 120,824 652 * Zymogenetics, Inc. 65,825 652 * Veeco Instruments, Inc. 56,326 651 * Entrust, Inc. 193,533 650 Chesapeake Corp. of Virginia 36,426 650 Bassett Furniture Industries, Inc. 45,346 649 California Water Service Group 27,400 648 * America Service Group Inc. 38,300 647 * General Communication, Inc. 96,434 647 * Aftermarket Technology Corp. 44,584 646 * American Healthways Inc. 36,899 646 * Myriad Genetics, Inc. 44,169 645 * Todd Shipyards Corp. 49,375 644 Firstfed America Bancorp, Inc. 25,922 644 31 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * Lifeline Systems, Inc. 28,696 644 Pacific Northwest Bancorp 25,727 643 Umpqua Holdings Corp. 35,235 643 Ampco-Pittsburgh Corp. 52,865 643 * Remec, Inc. 165,498 642 * Openwave Systems Inc. 321,065 642 * Charter Communications, Inc. 543,899 642 * Integral Systems, Inc. 31,999 642 * K2 Inc. 68,252 642 * UTStarcom, Inc. 32,336 641 * TransMontaigne Inc. 138,072 641 * Rogers Corp. 28,789 641 BostonFed Bancorp, Inc. 23,974 640 Second Bancorp, Inc. 24,148 640 * EMS Technologies, Inc. 40,959 639 TriCo Bancshares 25,931 638 Oregon Trail Financial Corp. 30,600 638 * Healthcare Services Group, Inc. 48,893 638 * CIMA Labs Inc. 26,348 637 * bebe stores, inc. 47,494 636 * Sierra Health Services, Inc. 52,889 635 Action Performance Cos., Inc. 33,383 634 * Chalone Wine Group Ltd. 76,898 634 Coastal Bancorp, Inc. 19,570 633 Southern Financial Bancorp, Inc. 21,020 633 * Transkaryotic Therapies, Inc. 63,865 632 Bank of Granite Corp. 36,113 632 * Bone Care International, Inc. 64,940 632 * Therasense, Inc. 75,648 632 * Serologicals Corp. 57,403 631 * Information Holdings Inc. 40,658 631 Maine Public Service Co. 19,700 630 * Lexar Media, Inc. 100,479 630 CNA Surety Corp. 80,197 630 First Source Corp. 37,504 628 SWS Group, Inc. 46,223 627 * Leapfrog Enterprises, Inc. 24,900 626 * Kadant Inc. 41,662 625 * Exult Inc. 196,511 625 GenCorp, Inc. 78,893 625 * Cerus Corp. 29,054 625 CT Communications, Inc. 55,136 623 Flexsteel Industry 37,200 622 * Wild Oats Markets Inc. 60,238 622 * S1 Corp. 139,232 621 BEI Technologies, Inc. 55,466 621 * Gabelli Asset Management Inc. 20,643 620 * Benihana Inc. Class A 45,920 620 * GrafTech International Ltd. 103,923 619 Guaranty Federal Bancshares, Inc. 39,700 619 * Mapics Inc. 89,000 619 * IXYS Corp. 87,586 618 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Keithley Instruments Inc. 49,423 618 * Audiovox Corp. 59,737 618 Pacific Crest Capital Inc. 39,090 618 * Vicor Corp. 74,854 618 * TiVo Inc. 118,051 617 * Elite Information Group, Inc. 66,600 616 Merchants Bancshares, Inc. 27,200 613 * Diversa Corp. 67,693 613 HMN Financial, Inc. 36,400 613 * Columbia Banking System, Inc. 48,522 612 * Sharper Image Corp. 35,059 611 * Navigant Consulting, Inc. 103,476 611 PVF Capital Corp. 48,586 610 * Mykrolis Corp. 83,425 609 First Bell Bancorp, Inc. 28,600 608 * Horizon Offshore, Inc. 122,032 608 * Merit Medical Systems, Inc. 30,492 607 * The Wet Seal, Inc. Class A 56,440 607 * Spherix Inc. 80,700 605 * Stein Mart, Inc. 99,105 605 * ViaSat, Inc. 52,337 604 Nature's Sunshine Inc. 62,074 603 * Wind River Systems Inc. 147,008 603 * Hawthorne Financial Corp. 21,092 602 * Newpark Resources, Inc. 138,366 602 * Bruker Daltonics, Inc. 123,758 601 Craftmade International, Inc. 39,009 601 * SonoSite, Inc. 45,911 600 Correctional Properties Trust REIT 27,600 599 * American Pharmaceuticals Partners, Inc. 33,600 598 Bay State Bancorp, Inc. 23,000 598 * Concord Camera Corp. 109,864 597 MutualFirst Financial Inc. 30,174 596 Boykin Lodging Co. REIT 63,900 596 * ImmunoGen, Inc. 192,032 595 Spartan Motors, Inc. 52,283 595 * Nuevo Energy Co. 53,562 595 Virco Manufacturing Corp. 58,263 594 MCG Capital Corp. 55,300 594 * Standard Microsystem Corp. 30,484 594 * Asbury Automotive Group, Inc. 70,400 592 * MarineMax, Inc. 50,089 592 * Pegasystems Inc. 115,738 591 * Kindred Healthcare, Inc. 32,562 591 * Kyphon Inc. 69,194 591 Prosperity Bancshares, Inc. 31,100 591 * Intuitive Surgical, Inc. 95,779 590 * Inet Technologies, Inc. 96,564 589 U.S.B. Holding Co., Inc. 33,238 588 * Gundle/SLT Environmental, Inc. 66,500 588 Aquila, Inc. 331,978 588 32 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Badger Meter, Inc. 18,300 587 Aceto Corp. 36,747 587 SureBeam Corp. 144,941 586 * Concurrent Computer Corp. 203,089 585 Yardville National Bancorp 33,785 582 * OneSource Information Services, Inc. 75,600 582 * The Great Atlantic & Pacific Tea Co., Inc. 71,985 580 JLG Industries, Inc. 76,813 578 * SPS Technologies, Inc. 24,332 578 * Computer Network Technology Corp. 81,144 576 * Charles River Associates Inc. 40,660 576 * Goody's Family Clothing 129,663 576 Oneida Ltd. 52,108 575 * RehabCare Group, Inc. 30,104 574 * IMCO Recycling, Inc. 70,560 574 TF Financial Corp. 23,212 574 Peoples Holding Co. 14,065 573 Warren Bancorp, Inc. 36,303 572 * Central European Distribution Corp. 30,900 572 * Orbital Sciences Corp. 135,286 571 Penford Corp. 40,506 571 Progress Financial Corp. 49,188 571 * Cepheid, Inc. 111,677 569 * ILEX Oncology, Inc. 80,589 569 Associated Estates Realty Corp. REIT 84,106 568 * Dril-Quip, Inc. 33,575 567 Heritage Financial Corp. 31,800 566 * Coldwater Creek Inc. 29,437 565 Calgon Carbon Corp. 114,157 564 * Wabash National Corp. 67,262 564 * SangStat Medical Corp. 49,794 563 Mission West Properties Inc. REIT 56,740 562 * Medarex, Inc. 141,996 561 United Fire & Casualty Co. 16,752 560 * ChipPAC, Inc. 157,565 559 * Department 56 Inc. 43,321 559 * Navigant International, Inc. 45,286 558 * Vignette Corp. 454,951 558 * LTX Corp. 92,428 557 * M&F Worldwide Corp. 103,160 557 * Beverly Enterprises, Inc. 194,464 554 * Orthologic Corp. 153,524 554 * Ace Cash Express, Inc. 60,350 553 MeriStar Hospitality Corp. REIT 83,789 553 * Systems & Computer Technology Corp. 64,264 553 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * PriceSmart, Inc. 23,759 552 * InterCept, Inc. 32,598 552 * US Physical Therapy, Inc. 49,498 552 * Central Coast Bancorp 27,880 551 * PDI, Inc. 51,021 551 Greater Delaware Valley Savings Bank 23,452 550 * American Dental Partners, Inc. 62,700 549 * Tower Automotive, Inc. 121,994 549 Landmark Bancorp Inc. 23,152 549 Bowne & Co., Inc. 45,880 548 * Astec Industries, Inc. 55,058 547 * NS Group Inc. 83,700 546 * Enterasys Networks, Inc. 348,723 544 Marine Products Corp. 55,212 544 * SOURCECORP, Inc. 29,205 543 Helix Technology Corp. 48,393 542 * The Sportsman's Guide Inc. 77,400 542 Presidential Life Corp. 54,492 541 * BioSphere Medical Inc. 82,100 541 * Sonus Networks, Inc. 541,012 541 * Hanger Orthopedic Group, Inc. 41,045 540 * BioLase Technology, Inc. 98,100 539 * Nashua Corp. 61,300 538 * KFX, Inc. 207,750 538 * Infinity, Inc. 65,100 538 * XOMA Ltd. 127,119 538 California Independent Bancorp 22,018 538 * Talk America Holdings, Inc. 95,945 537 * Florida Banks, Inc. 61,400 537 * Aviall Inc. 66,738 537 * Capital Crossing Bank 20,729 536 * Incyte Genomics, Inc. 117,412 535 * Kulicke & Soffa Industries, Inc. 93,483 535 * Ambassadors International, Inc. 59,470 535 * ESS Technology, Inc. 84,870 534 First of Long Island Corp. 14,625 534 Klamath First Bancorp 33,208 533 * Insignia Financial Group, Inc. 73,547 533 * Tollgrade Communications, Inc. 45,449 533 * Clayton Williams Energy, Inc. 43,900 533 * Integrated Defense Technology, Inc. 36,743 533 * Tweeter Home Entertainment Group, Inc. 92,073 532 MOCON, Inc. 75,062 532 * World Acceptance Corp. 69,908 532 * Cell Therapeutics, Inc. 73,110 532 * Pericom Semiconductor Corp. 63,921 531 * UNOVA, Inc. 88,467 531 * Wesco International, Inc. 96,668 531 * Hector Communications Corp. 41,950 531 * NeoPharm, Inc. 52,310 530 33 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * The Children's Place Retail Stores, Inc. 49,800 530 * Heidrick & Struggles International, Inc. 36,109 530 * Veritas DGC Inc. 66,490 525 * AirTran Holdings, Inc. 134,631 525 * Allied Healthcare International Inc. 119,445 524 * PC-Tel, Inc. 77,300 524 * Centene Corp. 15,600 524 * Plains Resources Inc. 44,111 523 * Dendrite International, Inc. 69,967 523 * Asyst Technologies, Inc. 70,949 521 * E.piphany Inc. 124,658 520 * Local Financial Corp. 35,372 518 * AstroPower, Inc. 64,829 518 * Unifi, Inc. 98,594 518 Watsco, Inc. 31,600 518 * CardioDynamics International Corp. 168,171 516 * Digital Insight Corp. 59,358 516 LSB Bancshares, Inc. 31,836 516 * Galyan's Trading Co. 51,502 515 Carpenter Technology Corp. 41,366 515 * Waste Industries USA, Inc. 70,950 514 * Datastream Systems, Inc. 80,264 514 CPI Corp. 35,307 512 * MatrixOne, Inc. 118,910 511 * Magma Design Automation, Inc. 53,363 511 * Ambassadors Group, Inc. 39,370 509 * Kopin Corp. 129,630 508 * Drexler Technology Corp. 40,160 506 * Intrado Inc. 50,957 506 * Micromuse Inc. 132,248 505 * Korn/Ferry International 67,533 505 * Frontier Airlines, Inc. 74,149 501 * Charlotte Russe Holding Inc. 47,236 501 * New Focus, Inc. 130,475 501 * Hoover's, Inc. 70,600 501 Tecumseh Products Co. Class B 11,900 500 North Valley Bancorp 27,700 499 * Mediware Information Systems, Inc. 60,900 499 * Century Business Services, Inc. 188,421 499 American Home Mortgage Holdings, Inc. 45,350 499 * ProBusiness Services, Inc. 49,839 498 * Mesaba Holdings, Inc. 81,000 496 * J. Jill Group, Inc. 35,412 495 * Neoforma, Inc. 41,381 495 * Interpore International 77,240 494 * Peet's Coffee & Tea Inc. 34,962 494 * Osteotech, Inc. 76,450 492 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Beasley Broadcast Group, Inc. 41,130 492 * Stratex Networks, Inc. 222,255 491 * SBS Technologies, Inc. 53,620 491 * FreeMarkets, Inc. 76,123 490 * Corixa Corp. 76,706 490 * Presstek, Inc. 106,290 490 * Concord Communications, Inc. 54,446 489 * The TriZetto Group, Inc. 79,653 489 * JDA Software Group, Inc. 50,558 488 * ValueClick, Inc. 174,859 488 NACCO Industries, Inc. Class A 11,119 487 * Guess ?, Inc. 116,055 486 * InfoSpace, Inc. 57,332 484 * Specialty Laboratories, Inc. 50,075 484 * Pemstar Inc. 213,452 482 * Young Broadcasting Inc. 36,610 482 Green Mountain Power Corp. 22,955 481 * Universal Display Corp. 61,000 481 * Neose Technologies, Inc. 54,016 479 * LoJack Corp. 96,800 478 * SeeBeyond Technology Corp. 196,767 478 * Vans, Inc. 84,144 478 Newmil Bancorp, Inc. 23,900 477 * Pharmacopeia, Inc. 53,450 477 * MRO Software Inc. 39,216 476 * First Consulting Group, Inc. 82,681 476 * F5 Networks, Inc. 44,314 476 * First Horizon Pharmaceutical Corp. 63,599 476 * Zoll Medical Corp. 13,257 473 * Wireless Facilities, Inc. 78,631 473 * Nastech Pharmaceutical Co., Inc. 55,170 472 * Impax Laboratories, Inc. 117,471 471 Curtiss-Wright Corp. Class B 7,558 471 * NetRatings, Inc. 65,339 470 * A.T. Cross Co. Class A 87,902 470 * Dave & Busters, Inc. 54,269 469 * FuelCell Energy, Inc. 71,639 469 * Cray Inc. 61,100 469 * Chattem, Inc. 22,800 469 * Digene Corp. 40,875 468 Summit Bancshares, Inc. 24,020 468 * Water Pik Technologies, Inc. 63,700 468 * Orphan Medical, Inc. 53,200 468 * Cable Design Technologies Corp. 79,128 467 * Alliance Imaging, Inc. 87,781 465 * VitalWorks Inc. 120,784 465 * QAD Inc. 136,300 465 * LifeCell Corp. 154,200 464 * Metro One Telecommunications, Inc. 71,912 464 * Possis Medical Inc. 25,678 462 * Rentrak Corp. 85,600 461 34 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Integrated Electrical Services, Inc. 119,729 461 * Symmetricom Inc. 109,055 460 * Zomax Inc. 108,194 460 * Universal Electronics, Inc. 47,125 459 L. S. Starrett Co. Class A 27,600 458 * WatchGuard Technologies, Inc. 71,793 458 * Restoration Hardware, Inc. 91,387 458 * ON Semiconductor Corp. 333,911 457 * UnitedGlobalCom Inc. Class A 190,599 457 * Riverstone Networks, Inc. 215,664 457 United Mobile Homes, Inc. REIT 33,700 456 * Akamai Technologies, Inc. 263,088 455 * Intermagnetics General Corp. 23,162 455 * Guilford Pharmaceuticals, Inc. 114,056 454 Interface, Inc. 147,856 454 * Maxygen Inc. 59,528 454 Crawford & Co. Class B 90,676 453 * InFocus Corp. 73,493 453 * Hexcel Corp. 150,788 452 * Vivus, Inc. 121,225 452 Parkvale Financial Corp. 19,610 452 * Omega Healthcare Investors, Inc. REIT 120,838 452 * Graphic Packaging International Corp. 80,092 452 Pilgrim's Pride Corp. 55,024 451 * Anaren, Inc. 51,104 450 Ohio Valley Banc Corp. 21,725 450 * Metrologic Instruments, Inc. 58,400 450 * XM Satellite Radio Holdings, Inc. 166,875 449 * Corvis Corp. 632,011 449 * Fairchild Corp. 90,300 448 Penn Engineering & Manufacturing Corp. 41,988 447 * Alexion Pharmaceuticals, Inc. 31,614 446 * Garden Fresh Restaurant Corp. 44,600 446 * Foodarama Supermarkets, Inc. 15,500 446 * Syncor International Corp. 16,064 445 Knape & Vogt Manufacturing Co. 41,768 445 * Cirrus Logic 154,411 445 * BWC Financial Corp. 25,422 445 * Closure Medical Corp. 42,367 444 * CKE Restaurants Inc. 103,205 444 * Netscreen Technologies, Inc. 26,300 443 * 1-800-FLOWERS.COM, Inc. 70,779 442 * MSC.Software Corp. 57,264 442 * Modtech Holdings, Inc. 45,569 442 * Applica Inc. 88,394 442 HEICO Corp. 41,356 439 * Bally Total Fitness Holding Corp. 61,812 438 * PetroQuest Energy, Inc. 105,600 438 * Lexicon Genetics Inc. 92,615 438 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * PC Connection, Inc. 86,298 438 Universal Forest Products, Inc. 20,500 437 * Centennial Communications Corp. Class A 167,445 437 American Land Lease, Inc. REIT 31,014 437 HEICO Corp. Class A 52,526 434 * Quanta Services, Inc. 123,833 433 * E-Z-EM, Inc. 49,700 432 * APAC Teleservices, Inc. 184,584 432 * MTR Gaming Group Inc. 54,137 431 * Eclipsys Corp. 80,520 431 * Skechers U.S.A., Inc. 50,702 430 * Plains Exploration & Production Company 44,111 430 Dover Downs Gaming & Entertainment, Inc. 47,292 430 * General Binding Corp. 50,623 429 * Kendle International Inc. 48,737 429 * A.S.V., Inc. 54,600 429 * Acmat Corp. Class A 45,600 428 * Matrix Bancorp, Inc. 45,200 428 * Stillwater Mining Co. 79,884 427 AAR Corp. 82,976 427 * Penwest Pharmaceuticals Co. 40,309 427 * OraSure Technologies, Inc. 78,016 425 * Ultratech Stepper, Inc. 43,179 425 * SonicWALL, Inc. 116,878 424 Intermet Corp. 100,963 424 * Immunomedics Inc. 91,722 424 The Marcus Corp. 29,800 423 * Bluegreen Corp. 120,440 423 * Pixelworks, Inc. 72,841 422 * Rimage Corp. 52,000 422 IBERIABANK Corp. 10,477 421 * Candela Corp. 69,900 420 MGP Ingredients, Inc. 53,766 419 * Theragenics Corp. 103,986 419 * Triton PCS, Inc. 106,453 418 D&K Healthcare Resources, Inc. 40,821 418 * Young Innovations, Inc. 17,931 417 Gentiva Health Services, Inc. 47,346 417 * Inspire Pharmaceuticals, Inc. 44,643 417 * Rainbow Rentals, Inc. 80,000 416 * World Wrestling Entertainment, Inc. 51,607 415 Communications Systems, Inc. 52,100 415 * Blount International, Inc. 108,874 415 * CuraGen Corp. 88,953 414 * Cubist Pharmaceuticals, Inc. 49,982 411 * Salton, Inc. 42,735 411 BNP Residential Properties, Inc. REIT 40,500 411 * Ixia 112,210 410 35 - -------------------------------------------------------------------------------- Market EXTENED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * Party City Corp. 34,079 409 * Silicon Graphics, Inc. 361,526 409 * On Assignment, Inc. 47,865 408 * NATCO Group Inc. 64,932 408 * Nu Horizons Electronics Corp. 70,223 406 * Input/Output, Inc. 95,451 406 * Columbia Laboratories Inc. 120,616 405 * Friendly Ice Cream Corp. 70,400 405 * Artesyn Technologies, Inc. 105,241 404 * Rocky Shoes & Boots, Inc. 76,900 403 * First Banks America, Inc. 9,900 401 Big Foot Financial Corp. 19,000 401 * Inktomi Corp. 250,151 400 * U.S. Industries, Inc. 152,004 400 * Novoste Corp. 55,310 399 * Docucorp International, Inc. 60,264 399 * Plug Power, Inc. 88,739 398 * Natus Medical Inc. 99,500 397 * Mesa Air Group Inc. 97,477 397 American States Water Co. 17,056 395 Sanders Morris Harris Group Inc. 45,155 395 * North American Scientific, Inc. 43,770 393 * Vastera, Inc. 69,545 393 * ArthroCare Corp. 39,892 393 * Multimedia Games Inc. 14,300 393 * Criimi Mae, Inc. REIT 38,435 392 * DVI, Inc. 51,644 390 Timberline Software Corp. 65,933 388 * Evans & Sutherland Computer Corp. 61,997 387 * MGI Pharma, Inc. 53,443 387 * TransPro Inc. 69,110 387 * Bell Microproducts Inc. 69,853 387 * Cohesion Technologies, Inc. 100,803 386 * Viisage Technology, Inc. 86,620 385 * Inrange Technologies Corp. 163,377 384 * Steven Madden, Ltd. 21,150 382 * FPIC Insurance Group, Inc. 55,200 381 * Wiser Oil Co. 110,700 381 * Numerical Technologies, Inc. 109,996 381 * Jarden Corp. 15,800 377 * FSI International, Inc. 83,722 377 * Playboy Enterprises, Inc. Class B 37,082 376 First Oak Brook Bancshares, Inc. 11,946 375 * Nobility Homes, Inc. 42,100 375 * GameStop Corp. 38,212 374 * Oregon Steel Mills, Inc. 93,070 374 Vesta Insurance Group, Inc. 136,002 374 * Gaiam, Inc. 36,000 373 Bairnco Corp. 71,600 372 * O'Charley's Inc. 18,080 371 * Dynamics Research Corp. 26,463 371 * Noven Pharmaceuticals, Inc. 40,093 370 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Parker Drilling Co. 166,233 369 * LookSmart, Ltd. 148,639 369 * Huttig Building Products, Inc. 129,226 368 Milacron Inc. 61,897 368 * Universal American Financial Corp. 63,178 368 * Buckeye Technology, Inc. 59,341 365 Urstadt Biddle Properties REIT 28,700 363 Cavalry Bancorp, Inc. 27,200 362 * Trans World Entertainment Corp. 99,791 362 * Magnatek, Inc. 81,390 361 * Worldwide Restaurant Concepts Inc. 136,050 361 OM Group, Inc. 52,266 360 * Shuffle Master, Inc. 18,800 359 * Secure Computing Corp. 55,919 358 Kansas City Life Insurance Co. 9,433 358 AMLI Residential Properties Trust REIT 16,800 358 * Steinway Musical Instruments Inc. 21,842 355 * The Pantry, Inc. 88,600 355 * Somera Communications, Inc. 131,534 355 * Medical Action Industries Inc. 32,729 355 * Repligen Corp. 116,700 355 * Glacier Water Services, Inc. 24,400 354 * BE Aerospace, Inc. 97,104 353 * Sterling Financial Corp. (Spokane) 18,780 353 * Trico Marine Services, Inc. 106,055 353 * Insignia Systems, Inc. 33,700 353 * Advanced Magnetics, Inc. 84,000 353 * Millennium Cell Inc. 147,493 353 * RadiSys Corp. 44,122 352 * iManage, Inc. 109,800 351 * Network Equipment Technologies, Inc. 89,347 350 * ScanSource, Inc. 7,100 350 * Enesco Group, Inc. 49,400 350 * Arena Pharmaceuticals, Inc. 53,723 350 * Stamps.com Inc. 74,522 348 Boston Acoustics, Inc. 29,000 348 * MicroStrategy Inc. 23,026 348 * NYFIX, Inc. 77,232 348 * Research Frontiers, Inc. 41,616 347 Merchants Group, Inc. 15,700 345 * ePlus Inc. 48,900 345 General Cable Corp. 90,612 344 * ScanSoft, Inc. 66,000 343 Liberty Homes, Inc. Class A 84,900 343 * Microsemi Corp. 56,201 342 * Aether Systems, Inc. 90,800 341 * Finisar Corp. 358,460 341 * Lydall, Inc. 29,902 339 * AtheroGenics, Inc. 45,766 339 36 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Marvel Enterprises Inc. 37,600 338 Parkway Properties Inc. REIT 9,600 337 Dover Motorsports, Inc. 72,313 336 * Rent-Way, Inc. 95,854 335 * Energy Conversion Devices, Inc. 34,188 335 * Midway Games Inc. 80,145 334 * Maxxam Inc. 35,800 333 * Q-Med, Inc. 53,100 332 * Revlon, Inc. Class A 108,600 332 Arctic Cat, Inc. 20,700 331 * Gerber Scientific, Inc. 81,544 331 * Lightbridge, Inc. 53,761 331 * Digitas Inc. 95,551 331 * Ocwen Financial Corp. 117,896 330 Mid-State Bancshares 20,088 330 Community Capital Corp. 23,210 330 * Verisity Ltd. 17,245 329 * Team, Inc. 42,300 328 * Oak Technology, Inc. 123,591 328 * ADE Corp. 54,844 327 * Sykes Enterprises, Inc. 99,781 327 * A.M. Castle & Co. 71,778 327 * C-COR Electronics, Inc. 97,726 324 * QRS Corp. 49,145 324 * Trident Microsystems, Inc. 87,600 324 * Callon Petroleum Co. 96,700 324 * Progenics Pharmaceuticals, Inc. 48,609 324 * Image Entertainment, Inc. 130,500 324 * Harvard Bioscience, Inc. 98,128 324 * Captaris Inc. 134,100 322 * MSCi, Inc. 67,504 321 * Raindance Communications, Inc. 99,225 320 Cascade Natural Gas Corp. 16,000 320 * U.S. Energy Corp. 103,770 320 * A.C. Moore Arts & Crafts, Inc. 25,114 319 Psychemedics Corp. 34,114 318 * Expedia Inc. Warrants Exp. 2/4/2009 8,879 318 * MedAmicus, Inc. 37,600 318 * Bio-Technology General Corp. 98,868 316 * Planar Systems, Inc. 15,317 316 The First Years Inc. 31,400 316 * Cysive, Inc. 116,800 315 First Bancorp North Carolina 13,411 315 Main Street Banks, Inc. 16,365 314 * Protection One, Inc. 157,082 314 * TriPath Imaging, Inc. 117,150 314 * MTC Technologies, Inc. 12,400 314 * Crown Media Holdings, Inc. 138,792 314 * Aspect Communications Corp. 110,245 313 Midwest Banc Holdings, Inc. 16,500 313 * Gene Logic Inc. 49,649 312 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Embrex, Inc. 27,949 311 * Transaction Systems Architects, Inc. 47,763 310 * CoStar Group, Inc. 16,784 310 Kramont Realty Trust REIT 21,106 309 * Republic First Bancorp, Inc. 47,430 308 * Integrated Silicon Solution, Inc. 70,357 307 * Kforce Inc. 72,403 306 * PracticeWorks Inc. 38,524 304 * Microtune, Inc. 97,194 304 * DJ Orthopedics Inc. 80,700 303 Anworth Mortgage Asset Corp. REIT 24,100 303 * Strategic Distribution, Inc. 23,830 303 Vulcan International Corp. 8,600 302 McMoRan Exploration Co. 59,190 302 * PLX Technology, Inc. 77,192 302 Banner Corp. 15,999 302 Mystic Financial, Inc. 16,400 302 * Biopure Corp. 81,033 301 * Manugistics Group, Inc. 125,364 301 * Champion Enterprises, Inc. 105,483 301 CCBT Financial Cos. Inc. 11,700 300 * Interlink Electronics Inc. 77,350 300 Metris Cos., Inc. 121,179 299 * COMARCO, Inc. 34,550 299 * Safeguard Scientifics, Inc. 219,304 298 * Clarus Corp. 53,000 298 * BayCorp Holdings, Ltd. 20,200 298 * ATP Oil & Gas Corp. 73,131 298 Gray Television, Inc. 30,500 297 * MarketWatch.com, Inc. 60,800 297 * RMH Teleservices, Inc. 28,229 296 Entertainment Properties Trust REIT 12,600 296 * ResortQuest International, Inc. 78,600 296 * Greka Energy Corp. 74,935 296 * Res-Care, Inc. 81,534 296 * Transmeta Corp. 252,835 296 * Ebenx Inc. 62,040 295 * PRAECIS Pharmaceuticals Inc. 90,746 295 * Administaff, Inc. 49,057 294 * Belmont Bancorp 64,640 294 * Zix Corp. 66,650 294 Midland Co. 15,400 293 * Alliance Semiconductor Corp. 74,151 291 * Virage Logic Corp. 29,040 291 Medallion Financial Corp. 74,600 291 Acadia Realty Trust REIT 39,200 291 * Indevus Pharmaceuticals, Inc. 135,973 291 * Pathmark Stores, Inc. 57,278 290 PMC Capital, Inc. 68,800 290 37 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * Embarcadero Technologies, Inc. 48,488 289 * AMC Entertainment, Inc. 32,700 289 * Switchboard Inc. 96,707 289 Donegal Group Inc. 25,700 289 * Harmonic, Inc. 125,624 289 * ANSYS, Inc. 14,300 289 * Matria Healthcare, Inc. 33,204 289 * Ciphergen Biosystems, Inc. 83,634 289 * National Golf Properties, Inc. REIT 24,483 288 * Manufacturers' Services Ltd. 51,847 287 * Gadzooks, Inc. 61,100 287 * Brush Engineered Materials Inc. 51,990 286 * Home Products International Inc. 63,520 286 * Technical Olympic USA, Inc. 19,300 286 Apex Mortgage Capital, Inc. REIT 43,684 286 * Luminex Corp. 69,026 284 * Ribapharm Inc. 43,200 283 * Willis Lease Finance Corp. 56,000 283 * W.R. Grace & Co. 144,239 283 * Inforte Corp. 36,457 283 * SCS Transportation, Inc. 28,389 281 * Illumina, Inc. 82,545 278 * Sipex Corp. 74,815 277 Golden Enterprises Inc. 75,900 276 * Gartner, Inc. Class B 29,227 276 MFB Corp. 12,000 274 * Proton Energy Systems, Inc. 91,108 273 * MRV Communications Inc. 254,781 273 * Liberate Technologies, Inc. 190,415 272 * PC Mall, Inc. 78,915 272 * Midwest Express Holdings, Inc. 50,837 272 * UQM Technologies, Inc. 107,500 272 * Commonwealth Telephone Enterprises Class B 7,400 272 * Loral Space & Communications 630,679 271 * Value City Department Stores, Inc. 148,004 271 Northwestern Corp. 53,268 271 * Saxon Capital Inc. 21,627 271 * Dick's Sporting Goods, Inc. 14,000 269 * Comfort Systems USA, Inc. 79,965 268 * Park-Ohio Holdings Corp. 64,009 266 * Caliper Technologies Corp. 88,613 266 * TechTeam Global, Inc. 35,700 265 * Sonic Innovations, Inc. 69,335 264 * SITEL Corp. 219,873 264 * SeaChange International, Inc. 42,834 263 * OPNET Technologies, Inc. 32,570 263 * Micronetics Inc. 80,900 263 * Biosource International Inc. 43,900 263 * SRA International, Inc. 9,696 263 * Digi International, Inc. 90,153 262 * Abaxis, Inc. 65,800 261 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * FalconStor Software, Inc. 66,870 259 * Source Interlink Companies, Inc. 61,300 259 * Mattson Technology, Inc. 90,541 259 * Retek Inc. 94,499 257 * Merix Corp. 30,572 257 * GSI Commerce, Inc. 70,032 256 * Capital Trust Class A 48,100 255 * VaxGen, Inc. 13,200 255 * Computer Task Group, Inc. 73,008 255 * Bottomline Technologies, Inc. 42,000 254 * American Software, Inc. Class A 92,150 253 * Altiris, Inc. 15,900 253 * InterVoice, Inc. 116,951 253 * Footstar Inc. 36,263 252 * Terayon Communications Systems, Inc. 122,727 252 * Covansys Corp. 66,883 251 * Universal Stainless & Alloy Products, Inc. 41,500 251 * La Jolla Pharmaceutical Co. 38,600 251 * Mastec Inc. 84,892 250 * Three-Five Systems, Inc. 38,803 250 Gibraltar Steel 13,100 249 * SuperGen, Inc. 68,637 249 * Terra Industries, Inc. 162,709 249 * Maxim Pharmaceuticals, Inc. 85,464 247 * Delphax Technologies, Inc. 83,700 247 * SupportSoft, Inc. 62,492 246 * Visual Networks, Inc. 169,500 246 * Ditech Communications Corp. 112,400 245 Instinet Group Inc. 57,714 244 Corporate Office Properties Trust, Inc. REIT 17,394 244 * Ultralife Batteries, Inc. 65,800 243 * Alcide Corp. 16,500 243 Delta Apparel, Inc. 15,780 243 * Mobius Management Systems, Inc. 101,200 243 * Primus Telecommunications Group, Inc. 121,400 243 * Portal Software, Inc. 300,242 243 * Olympic Steel, Inc. 75,700 242 * Select Comfort Corp. 25,700 242 First Merchants Corp. 10,600 242 * Pegasus Communications Corp. Class A 184,244 241 * Telular Corp. 64,525 241 * Handspring, Inc. 253,730 241 * CryoLife Inc. 35,158 240 * Redback Networks Inc. 285,734 240 * Autobytel Inc. 85,406 239 38 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Aspect Medical Systems, Inc. 70,476 239 * NASSDA Corp. 21,275 239 * Alaris Medical, Inc. 39,100 239 * Midas Inc. 36,991 238 * Actuate Software Corp. 133,673 237 * Virbac Corp. 41,957 235 * Maxwell Technologies, Inc. 38,900 235 * Netegrity, Inc. 72,207 235 Union Community Bancorp 15,000 235 * SONUS Pharmaceuticals, Inc. 110,100 233 State Financial Services Corp. Class A 13,900 233 * Ventana Medical Systems, Inc. 10,084 232 * j2 Global Communications, Inc. 12,189 232 * Brightpoint, Inc. 29,370 232 * Kirkland's, Inc. 20,500 232 First Financial Holdings, Inc. 9,341 231 First Indiana Corp. 12,477 231 * Zygo Corp. 33,046 231 * Big 5 Sporting Goods Corp. 21,400 231 Republic Bancorp, Inc. Class A 20,469 231 * Concur Technologies, Inc. 70,700 230 * Multex.com Inc. 54,708 230 United Guardian, Inc. 54,600 229 * Dobson Communications Corp. 103,740 229 * Geron Corp. 63,611 229 * Luby's, Inc. 78,675 229 * Sequenom, Inc. 127,181 229 * Carreker Corp. 50,509 229 * Inverness Medical Innovations, Inc. 17,363 228 * ARIAD Pharmaceuticals, Inc. 95,000 228 * Tier Technologies, Inc. 14,232 228 * Oplink Communications, Inc. 288,127 228 * MapInfo Corp. 40,986 227 Nitches Inc. 33,141 227 ABC Bancorp 17,550 227 Timberland Bancorp, Inc. 12,400 226 * Celadon Group Inc. 19,200 226 * Onyx Acceptance Corp. 82,400 225 * West Marine, Inc. 16,400 225 * CompuCom Systems, Inc. 40,000 224 * American Science & Engineering, Inc. 17,100 224 * ANADIGICS, Inc. 86,686 224 Bowl America, Inc. Class A 18,876 223 * Turnstone Systems, Inc. 82,366 222 Capital City Bank Group, Inc. 5,665 222 * Infocrossing, Inc. 35,200 222 Liberty Investors, Inc. REIT 51,400 222 * Ethyl Corp. 34,080 221 * Humphrey Hospitality Trust, Inc. REIT 112,700 221 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * DiamondCluster International, Inc. 70,246 221 * Interland Inc. 169,591 220 German American Bancorp 14,126 220 * The Med-Design Corp. 27,200 219 * Infogrames, Inc. 122,809 217 * Alliance Data Systems Corp. 12,250 217 * hi/fn, inc. 37,467 217 Riviana Foods, Inc. 8,000 216 Ryerson Tull, Inc. 35,433 216 * Omnova Solutions Inc. 53,433 215 * JNI Corp. 77,736 215 Robbins & Myers, Inc. 11,700 215 * Globecomm Systems, Inc. 57,300 215 * Danielson Holdings Corp. 153,080 214 * National R. V. Holdings, Inc. 35,773 214 * Conceptus, Inc. 17,848 214 * Paxson Communications Corp. 103,676 214 * Famous Dave's of America, Inc. 67,900 214 * Industrial Distribution Group, Inc. 69,200 213 * Meade Instruments Corp. 68,200 213 Federal Agricultural Mortgage Corp. Class A 10,523 213 * Witness Systems, Inc. 61,441 211 * Allou Health Care, Inc. 79,100 211 Southwest Water Co. 15,850 210 * Playboy Enterprises Inc. Class A 22,850 209 * Bio-logic Systems, Corp. 46,400 209 Horizon Financial Corp. 17,062 208 * E-LOAN, Inc. 112,400 208 * Novavax, Inc. 79,711 207 * Brass Eagle Inc. 23,600 207 * American Independence Corp. 75,800 206 * Barrett Business Services, Inc. 62,300 206 * Bioreliance Corp. 8,813 204 * iGATE Corp. 77,884 204 * Landair Corp. 15,955 204 Bush Industries, Inc. 41,910 203 * Sapient Corp. 98,900 203 * Active Power, Inc. 113,241 202 * Rush Enterprises, Inc. - Class B 55,200 201 * Monterey Pasta Co. 53,700 201 * Vical, Inc. 57,918 201 * Coeur D'Alene Mines Corp. 103,613 199 * MIPS Technologies, Inc. Class B 69,033 199 BMC Industries, Inc. 126,104 198 * Natural Alternatives International, Inc. 49,500 197 * Epicor Software Corp. 157,412 197 * Answerthink Consulting Group, Inc. 78,689 197 * SpeechWorks International Inc. 70,763 197 * H.T.E., Inc. 40,400 196 * ABIOMED, Inc. 53,540 195 39 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * Key Tronic Corp. 167,700 195 * ParkerVision, Inc. 23,814 194 * SoundView Technology Group, Inc. 129,230 194 * Unity Bancorp, Inc. 23,505 194 * Rush Enterprises - Class A 52,100 193 * TSR, Inc. 37,500 193 * Syntroleum Corp. 110,517 191 * Aphton Corp. 49,116 191 * Perini Corp. 42,880 190 * Factory 2-U Stores Inc. 55,744 190 * Sangamo BioSciences, Inc. 63,150 190 * Time Warner Telecom Inc. 90,057 190 Kentucky First Bancorp, Inc. 11,600 190 * Stoneridge, Inc. 15,900 189 * Amerco, Inc. 42,675 189 Fidelity Bankshares, Inc. 10,500 188 Sterling Financial Corp. (PA) 7,935 188 * BroadVision, Inc. 55,028 188 * Cardinal Financial Corp. 43,042 187 * LCC International, Inc. Class A 96,000 187 * US LEC Corp. Class A 83,100 187 * NCO Portfolio Management, Inc. 30,350 187 * Traffix, Inc. 57,400 187 Ohio Art Co. 14,800 186 Penn Engineering & Manufacturing Corp. Class A 16,600 186 * Troy Group, Inc. 120,200 186 * Avigen, Inc. 32,494 186 * Internet Capital Group, Inc. 511,581 184 * Wilsons The Leather Experts Inc. 36,798 184 * Brio Software, Inc. 118,700 184 * NMS Communications Corp. 95,600 184 * Art Technology Group, Inc. 148,014 184 * Caminus Corp. 77,559 181 * Mechanical Technology Inc. 108,600 181 * Valence Technology Inc. 136,300 181 * Penn Octane Corp. 56,000 181 * Viewpoint Corp. 96,580 181 * Kmart Corp. 900,777 180 * Cholestech Corp. 25,649 179 Arrow Financial Corp. 5,800 178 * Avanex Corp. 169,913 178 * Mail-Well, Inc. 71,060 178 * XETA Technologies Inc. 56,500 177 * Information Resources, Inc. 110,590 177 * Digital Impact, Inc. 93,100 177 * Immucor Inc. 8,700 176 * ManTech International Corp. 9,200 175 * Colorado MEDtech, Inc. 84,700 174 Courier Corp. 3,800 174 * Microvision, Inc. 32,686 174 * Stellent Inc. 39,076 173 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Lawson Software, Inc. 30,100 173 * Capstone Turbine Corp. 191,473 172 * Vitria Technology, Inc. 229,265 172 * Medtox Scientific, Inc. 25,412 172 * Drugstore.com, Inc. 71,240 171 * Durect Corp. 84,510 171 * Selectica, Inc. 63,128 170 * Zoltek Cos., Inc. 77,200 170 * Clearone Communications Inc. 37,977 169 * Quaker Fabric Corp. 24,304 169 * Proxim Corp. Class A 194,091 169 * Sunrise Telecom Inc. 94,695 168 * Sanchez Computer Associates, Inc. 58,160 168 * American Superconductor Corp. 55,320 167 * Helen of Troy Ltd. 14,300 166 * Questcor Pharmaceuticals, Inc. 171,500 166 * Lakes Entertainment, Inc. 30,800 166 * Ask Jeeves, Inc. 64,900 166 * Foamex International, Inc. 52,553 166 * OAO Technology Solutions, Inc. 103,620 166 * Edison Schools Inc. 102,174 166 * TheStreet.com, Inc. 56,450 165 * Peregrine Pharmaceuticals, Inc. 210,149 164 * HomeStore, Inc. 191,922 163 * AP Pharma Inc. 163,100 163 * Westell Technologies, Inc. 135,840 163 Standard Commercial Tobacco Co. 9,000 163 * Roxio, Inc. 34,052 162 * Texas Biotechnology Corp. 115,756 162 * SCM Microsystems, Inc. 38,108 162 * Superior Consultant Holdings Corp. 61,300 162 * Glenayre Technologies, Inc. 141,812 162 Capitol Bancorp Ltd. 6,951 161 * Aware, Inc. 73,900 161 * Cellstar Corp. 28,201 161 Winston Hotels, Inc. REIT 20,600 161 * Acclaim Entertainment Inc. 242,328 160 * Aspen Technologies, Inc. 56,341 159 * Reading International Inc. Class A 40,976 159 * Planvista Corp. 96,200 159 * Eden Bioscience Corp. 110,939 159 * Meta Group, Inc. 77,100 158 * Technology Solutions Co. 144,896 158 * Endocare, Inc. 45,544 157 * Urologix, Inc. 47,260 156 * Friedman, Billings, Ramsey Group, Inc. 16,698 156 First Financial Corp.-Indiana 3,212 156 * Digital Generation Systems 145,795 156 * Aurora Foods Inc. 199,145 155 Nash-Finch Co. 20,027 155 Westwood Holdings Group, Inc. 11,515 154 40 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Laser Mortgage Management, Inc. REIT 117,900 153 * GRIC Communications, Inc. 62,750 153 * i3 Mobile, Inc. 113,078 153 * Lithia Motors, Inc. 9,700 152 * Versicor, Inc. 14,100 152 * Liquid Audio, Inc. 61,700 152 * Netro Corp. 55,550 152 * ONYX Software Corp. 97,803 152 * Management Network Group Inc. 100,698 151 * Paul-Son Gaming Corp. 35,500 151 * Emisphere Technologies, Inc. 43,244 150 * Sonic Solutions, Inc. 30,090 150 * barnesandnoble.com inc. 130,749 150 * Hologic, Inc. 12,300 150 * Catalytica Energy Systems, Inc. 54,332 150 * EMCORE Corp. 68,387 150 * Consumer Portfolio Services, Inc. 71,600 150 * ITXC Corp. 64,452 150 * CyberSource Corp. 61,000 149 * Ceres Group, Inc. 77,700 149 * Clark/Bardes Inc. 7,700 148 Union Bankshares Corp. 5,433 148 * Jupitermedia Corp. 59,300 148 * Convera Corp. 50,200 148 * Tellium, Inc. 229,427 147 * Medialink Worldwide, Inc. 44,400 147 West Coast Bancorp 9,653 146 Investors Real Estate Trust REIT 14,638 146 * ChromaVision Medical Systems, Inc. 109,600 146 * TTM Technologies, Inc. 43,810 145 * E. Gottschalk & Co., Inc. 93,300 145 Outlook Group Corp. 23,700 144 Seaboard Corp. 600 144 * Wilshire Oil Co. of Texas 41,000 144 * Aclara Biosciences, Inc. 68,181 143 * Applied Molecular Evolution, Inc. 69,805 143 * UAL Corp. 99,872 143 * Nuance Communications Inc. 57,190 142 MTS Systems Corp. 14,140 142 * Tradestation Group Inc. 97,880 141 * Spectrum Control, Inc. 26,700 140 * Darling International, Inc. 77,900 139 Ameriserv Financial Inc. 48,900 139 * Genzyme Molecular Oncology 79,051 138 * Commerce One, Inc. 50,199 138 * Excel Technology, Inc. 7,700 138 * Allegiance Telecom, Inc. 205,405 138 Keystone Property Trust REIT 8,100 137 * Terremark Worldwide, Inc. 274,743 137 * ACT Teleconferencing, Inc. 107,300 137 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * U.S. Xpress Enterprises, Inc. 15,678 137 * Ventiv Health, Inc. 68,933 137 * America West Holdings Corp. Class B 76,000 137 * Torch Offshore, Inc. 25,100 137 * Mitcham Industries, Inc. 113,700 136 Pilgrim's Pride Corp. Class A 23,100 136 * Computer Horizons Corp. 41,630 136 * OSI Systems Inc. 8,000 136 * Centillium Communications, Inc. 59,613 135 Astro-Med, Inc. 41,850 134 * Portfolio Recovery Associates, Inc. 7,300 133 Troy Financial Corp. 4,909 132 * Latitude Communications, Inc. 86,400 132 * Titanium Metals Corp. 69,133 132 * Applied Films Corp. 6,600 132 * Lightspan Inc. 124,178 131 * Chordiant Software, Inc. 90,617 130 FNB Financial Services Corp. 7,600 130 * Red Robin Gourmet Burgers 10,200 130 * Racing Champions ERTL Corp. 9,500 130 Peoples BancTrust Co., Inc. 9,900 130 * Atlas Air Worldwide Holdings, Inc. 85,572 129 First M&F Corp. 4,653 129 * Applied Innovation Inc. 42,600 129 * ShoLodge, Inc. 39,333 128 Tompkins Trustco, Inc. 2,900 128 * Genome Therapeutics Corp. 81,976 127 * DHB Industries, Inc. 76,507 127 * California Micro Devices Corp. 27,900 127 * I-many, Inc. 89,238 127 Harrodsburg First Financial Bancorp, Inc. 9,800 127 * AVANT Immunotherapeutics, Inc. 110,272 125 Landauer, Inc. 3,600 125 * Interstate Hotels & Resorts, Inc. 25,988 125 * Competitive Technologies, Inc. 60,300 123 * Allscripts Healthcare Solutions, Inc. 51,394 123 * Next Level Communications, Inc. 151,436 123 * Earthshell Corp. 211,042 122 * Sirius Satellite Radio, Inc. 190,986 122 * Dyax Corp. 67,555 122 * Delta Woodside Industries, Inc. 24,475 121 * Westpoint Stevens, Inc. 205,227 121 Quaker Chemical Corp. 5,200 121 * Semitool, Inc. 19,399 120 * Covenant Transport, Inc. 6,330 120 Peoples Bancorp of North Carolina 8,471 120 * TETRA Technologies, Inc. 5,600 120 * Neoware Systems, Inc. 8,000 119 * NIC Inc. 82,358 119 * Prime Group Realty Trust REIT 25,700 118 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- Resource America, Inc. 13,142 118 * IDine Rewards Network Inc. 11,077 118 * NetFlix.com, Inc. 10,674 118 * Sirenza Microdevices, Inc. 65,174 117 * 3 Dimensional Pharmaceuticals Inc. 36,575 117 * Integrated Telecom Express, Inc. 72,990 116 * Maxcor Financial Group Inc. 17,800 116 * USA Truck, Inc. 16,412 116 Value Line, Inc. 2,656 115 * Acacia Research - Acacia Technologies 47,588 115 * Net2Phone, Inc. 28,200 114 * LCA-Vision Inc. 50,059 114 * MPW Industrial Services Group, Inc. 63,200 114 * NCI Building Systems, Inc. 5,200 113 * Zonagen, Inc. 115,700 113 * Workflow Management, Inc. 53,145 113 * BioTime, Inc. 72,900 113 * Franklin Electronic Publishers, Inc. 72,300 113 NASB Financial Inc. 4,900 113 * infoUSA Inc. 22,640 113 * GTC Biotherapeutics, Inc. 95,200 112 * Zila, Inc. 121,800 112 * Wackenhut Corrections Corp. 9,900 110 * Obie Media Corp. 33,210 110 Peoples Bancorp, Inc. 4,280 110 * Ciprico Inc. 33,200 110 * Cosine Communications, Inc. 18,023 109 * Neurogen Corp. 29,941 109 * SteelCloud Inc. 97,800 109 * Covalent Group, Inc. 36,600 108 * At Road, Inc. 26,200 108 * DigitalThink, Inc. 61,828 108 * Superconductor Technologies Inc. 115,100 108 * Keystone Automotive Industries, Inc. 7,200 108 Covest Bankshares, Inc. 3,850 108 * Global Power Equipment Group Inc. 21,800 107 Mainsource Financial Group, Inc. 4,472 107 * Natrol, Inc. 93,100 107 * Touch America Holdings, Inc. 274,138 107 FNB Corp./North Carolina 5,500 106 * Allied Holdings, Inc. 32,400 106 * Astronics Corp. 15,260 105 * Psychiatric Solutions, Inc. 18,833 105 * Pharmacyclics, Inc. 29,463 105 * Acacia Research - CombiMatrix Tracking Stock 28,820 105 * Old Dominion Freight Line, Inc. 3,700 105 * Variagenics, Inc. 76,200 104 * Media 100 Inc. 162,889 104 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Capital Title Group, Inc. 40,800 104 * Lipid Sciences, Inc. 84,047 103 * Digital Lightwave, Inc. 83,824 103 * Allied Motion Technologies, Inc. 58,200 103 * Advanced Medical Optics 8,600 103 * Lifeway Foods, Inc. 14,500 102 * TranSwitch Corp. 147,921 102 * Paradyne Networks, Inc. 79,600 102 * Evercel, Inc. 45,164 102 * Standard Management Corporation 26,000 101 * BSQUARE Corp. 80,300 101 * I-STAT Corp. 25,300 101 * Kana Software, Inc. 51,185 101 * Epimmune Inc. 109,500 101 * Niku Corporation 25,164 101 * MetaSolv, Inc. 73,236 100 * Wave Systems Corp. 75,400 100 * Parthusceva Inc. 16,946 100 * Mallon Resources Corp. 91,500 100 * Internap Network Services Corp. 269,300 100 * MediaBay, Inc. 82,700 99 * Women First Healthcare, Inc. 21,740 99 * Resonate Inc. 56,003 99 * Nanogen, Inc. 63,400 98 * Mercator Software, Inc. 101,251 98 * H Power Corp. 25,512 98 * Ultimate Electronics, Inc. 9,600 97 * Applied Extrusion Technologies, Inc. 48,600 97 * Finish Line, Inc. 9,200 97 * BindView Development Corp. 67,000 96 * Gallery of History, Inc. 25,900 96 * WJ Communications, Inc. 100,820 96 Berkshire Bancorp Inc. 2,785 96 * V.I. Technologies, Inc. 94,652 96 * Crossroads Systems, Inc. 102,400 95 * eCollege.com Inc. 27,400 95 * Amcast Industrial Corp. 55,400 94 * AXS-One Inc. 125,300 94 * AXT, Inc. 51,493 93 * Quaker City Bancorp, Inc. 2,800 92 * Extensity, Inc. 52,801 92 Wainwright Bank & Trust Co. 10,373 92 D&E Communications, Inc. 10,928 91 * RF Monolithics, Inc. 31,500 91 * Vyyo Inc. 35,900 91 * Systemax Inc. 58,546 91 * Oriole Homes Corp. Class B 19,300 91 Patriot Bank Corp. 5,880 90 * NTN Communications, Inc. 75,300 90 * Applix, Inc. 83,479 90 * Centra Software, Inc. 89,877 90 42 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * JLM Industries, Inc. 91,500 89 * Communication Intelligence Corp. 251,600 88 * Tanning Technology Corp. 115,800 88 * Rainmaker Systems, Inc. 87,500 88 * Hub Group, Inc. 18,200 87 * Deltagen, Inc. 181,278 87 * Edge Petroleum Corp. 23,200 87 * Daktronics, Inc. 6,500 87 * Royale Energy, Inc. 17,118 87 CityBank Lynnwood WA 3,500 87 * MIM Corp. 14,874 86 * Dynacq International, Inc. 6,000 86 * Franklin Covey Co. 74,300 86 * Foster Wheeler Ltd. 74,154 86 * Overstock.com, Inc. 6,600 86 * Avici Systems Inc. 23,808 85 * SPEEDUS Corp. 110,500 85 * Synaptics Inc. 11,200 85 * Therma-Wave Inc. 80,657 85 * Meridian Medical Technologies, Inc. 1,900 84 * Intraware, Inc. 76,500 84 * Electroglas, Inc. 54,475 84 * Saba Software, Inc. 78,963 84 Phillips International Realty Corp. REIT 55,100 83 * Alamosa Holdings, Inc. 159,583 83 * Simula, Inc. 69,000 83 * Carrington Labs Inc. 90,572 82 * FairMarket, Inc. 50,100 82 * Tumbleweed Communications Corp. 52,588 82 * RCN Corp. 153,616 81 * Phoenix Technologies Ltd. 14,054 81 Coastal Financial Corp. 5,909 81 * VA Software Corp. 88,440 80 * Peerless Systems Corp. 57,500 80 * Stratos Lightwave, Inc. 17,981 79 * BioSpecifics Technology 40,800 78 * Large Scale Biology Corp. 97,583 78 Citizens 1st Bancorp, Inc. 3,700 78 * RTI International Metals 7,700 78 * Opsware, Inc 43,792 78 * Segue Software, Inc. 73,200 77 * Packaging Dynamics Corp. 11,575 76 Capital Bank Corp. 5,900 76 * Firstwave Technologies, Inc. 4,767 76 * Zones, Inc. 88,100 76 PrivateBancorp, Inc. 2,000 76 First Midwest Financial, Inc. 4,750 76 * eLoyalty Corp. 18,189 75 * Oxigene, Inc. 71,661 75 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Exabyte Corp. 139,800 74 * Hanmi Financial Corp. 4,400 74 * Read Rite Corp. 208,979 73 McRae Industries, Inc. 8,300 73 * SONICblue Inc. 162,186 73 * TippingPoint Technologies Inc. 7,659 73 * Corio, Inc. 96,158 72 * Landec Corp. 35,900 72 * Versant Corp. 105,400 72 First Busey Corp. 3,100 71 * EPIX Medical, Inc. 9,875 71 * U.S. Concrete, Inc. 13,051 71 * Spiegel, Inc. Class A 197,945 71 * Hanover Direct, Inc. 374,676 71 * Network Engines, Inc. 71,062 71 * MCK Communications, Inc. 65,000 71 * MedSource Technologies, Inc. 10,900 71 * Nabi Biopharmaceuticals 11,400 71 * Novadigm, Inc. 30,330 71 * Cypress Bioscience, Inc. 26,012 70 * Titan Pharmaceuticals, Inc. 48,859 70 * Food Technology Service, Inc. 77,050 69 * Lexent Inc. 80,553 69 * Docent, Inc. 24,250 69 Ennis Business Forms, Inc. 5,900 69 * Miravant Medical Technologies 75,334 69 * Argonaut Technologies Inc. 69,700 68 Tanger Factory Outlet Centers, Inc. REIT 2,200 68 * Catalina Lighting, Inc. 7,160 68 * Hemispherx Biopharma, Inc. 31,600 67 United Industrial Corp. 4,200 67 * Gardner Denver Inc. 3,300 67 * Wyndham International, Inc. Class A 288,869 66 Home Federal Bancorp 2,750 66 * Netsmart Technologies, Inc. 14,133 66 * BioCryst Pharmaceuticals, Inc. 68,300 66 * ACTV, Inc. 92,901 65 * Critical Path, Inc. 127,326 65 * Vasomedical, Inc. 68,915 65 * Alpine Group, Inc. 86,300 65 * Align Technology, Inc. 23,404 65 * Marimba, Inc. 39,600 65 Friedman's, Inc. Class A 7,400 64 Middlesex Water Co. 3,000 63 CoBiz Inc. 4,201 62 * Digimarc Corp. 5,500 62 * Hollywood Media Corp. 62,300 62 * Material Sciences Corp. 4,800 62 * NetManage, Inc. 36,522 62 * MTI Technology Corp. 140,400 62 43 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * Cygnus Inc. 93,500 62 * Pinnacor Inc. 50,237 61 Pacific Energy Partners, LP 3,100 61 * Rock of Ages Corp. 10,800 61 * Carrier Access Corp. 151,603 61 * SAVVIS Communications Corp. 151,444 61 Semco Energy Inc. 9,900 60 * UbiquiTel Inc. 150,910 60 * Applied Digital Solutions, Inc. 146,962 60 Allegiant Bancorp, Inc. 3,300 60 * Sports Resorts International, Inc. 10,200 60 * American Bank Note Holographics, Inc. 80,565 60 * Curon Medical Inc. 92,567 59 * Cadiz Inc. 107,531 59 Presidential Realty Corp. REIT 8,600 59 * MedCath Corp. 5,900 59 * Merge Technologies, Inc. 8,500 58 * Electric Fuel Corp. 91,100 58 * Immersion Corp. 49,700 58 * VIA NET.WORKS, Inc. 85,472 58 Camden National Corp. 2,400 58 * Interleukin Genetics, Inc. 113,700 58 Agree Realty Corp. REIT 3,400 57 Cascade Corp. 3,600 57 Noble International, Ltd. 7,300 57 * DSL.Net, Inc. 115,398 57 * Penton Media, Inc. Class A 82,408 56 * SSP Solutions, Inc. 94,700 56 * Checkers Drive-In Restaurants, Inc. 8,911 56 * SOS Staffing Services, Inc. 111,500 56 * Hawk Corp. Class A 24,000 56 Citizens First Financial Corp. 2,200 56 * Avenue A, Inc. 19,184 56 Eastern Virginia Bankshares, Inc. 3,098 55 * Kaiser Ventures LLC Class A 36,800 55 * Extended Systems Inc. 29,100 55 Ecology and Environment, Inc. 6,925 55 * Blue Coat Systems, Inc. 13,925 55 * Powell Industries, Inc. 3,200 55 National Health Realty Inc. REIT 3,700 54 Equity Inns, Inc. REIT 8,938 54 * CYTOGEN Corporation 16,489 54 * Petrocorp, Inc. 5,223 54 NUI Corp. 3,100 54 * Factual Data Corp. 7,100 53 * National Research Corp. 5,600 53 * The Leather Factory, Inc. 15,600 53 * Rubio's Restaurants, Inc. 8,500 53 * StorageNetworks, Inc. 45,000 52 * McLeod USA Inc. 62,129 52 * Blue Martini Software, Inc. 17,848 52 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Net Perceptions, Inc. 37,400 52 * Cole National Corp. Class A 4,500 51 * Perficient, Inc. 50,931 51 * Braun Consulting, Inc. 55,300 50 * Predictive Systems, Inc. 167,500 50 Newcastle Investment Corporation REIT 3,100 50 * Pumatech, Inc. 69,700 49 Shenandoah Telecommunications Co. 1,000 49 * SRI/Surgical Express, Inc. 8,600 49 * Optical Communication Products, Inc. 45,000 49 Columbia Bancorp 2,200 48 * CenterSpan Communications Corp. 41,600 48 * Copper Mountain Networks, Inc. 11,314 48 * Data Systems & Software, Inc. 56,500 48 * iVillage Inc. 51,079 48 * SEEC, Inc. 47,900 48 Cooperative Bankshares, Inc. 3,000 48 * Mississippi Chemical Corp. 149,355 48 * American Access Technologies Inc. 80,800 48 * Lowrance Electronics, Inc. 7,700 48 * Cell Pathways, Inc. 115,600 47 * ViroPharma Inc. 32,367 47 * Evergreen Solar, Inc. 36,620 47 * First Virtual Communications, Inc. 157,400 47 * Energy Partners, Ltd. 4,400 47 * Z-Tel Technologies, Inc. 57,865 47 * SIGA Technologies, Inc. 32,500 46 * U.S. Liquids Inc. 112,700 46 MicroFinancial Inc. 31,100 46 * Click2learn, Inc. 61,100 46 Steel Technologies, Inc. 2,700 46 * US Unwired Inc. 92,132 45 * Option Care, Inc. 5,600 45 * Hyseq, Inc. 51,200 45 * Divine, Inc. 31,766 44 * Tor Minerals International, Inc. 40,700 44 McGrath Rent Corp. 1,870 43 Ramco-Gershenson Properties Trust REIT 2,200 43 * Netopia, Inc. 31,200 43 * Esperion Therapeutics, Inc. 6,100 43 * Malan Realty Investors, Inc. REIT 10,700 43 * US SEARCH.com Inc. 53,300 43 * Tut Systems, Inc. 34,200 43 * Pac-West Telecom, Inc. 86,070 43 * Group 1 Software, Inc. 3,600 43 * Rita Medical Systems, Inc. 8,500 43 * Ault Inc. 22,500 43 * EntreMed, Inc. 49,320 42 44 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * AmericanWest Bancorporation 2,700 42 Great Lakes, Inc. REIT 2,500 42 * Mayor's Jeweler's, Inc. 138,600 42 * BWAY Corp. 2,100 42 Building Materials Holding Corp. 2,900 41 Movado Group, Inc. 2,200 41 * U.S. Home Systems, Inc. 7,800 41 * Merry Land Properties, Inc. REIT 4,750 41 * EXE Technologies, Inc. 75,022 41 Stifel Financial Corp. 3,700 41 * HyperFeed Technologies, Inc. 137,300 41 * Navarre Corp. 20,300 41 * The Smith & Wollensky Restaurant Group, Inc. 11,510 40 * Samsonite Corp. 79,507 40 * En Pointe Technologies, Inc. 49,300 39 * Radiologix Inc. 17,018 39 * SportsLine.com, Inc. 39,000 39 * Somanetics Corp. 21,650 39 * Orchid Biosciences, Inc. 76,253 39 * WHX Corp. 15,855 39 * Raytech Corp. 6,800 39 * Mothers Work, Inc. 1,100 39 * Private Business Inc. 26,134 39 * Smart & Final Inc. 7,300 38 * Electro Rent Corp. 3,100 38 * Saucony Inc. 4,000 37 * Monarch Dental Corp. 7,016 37 Interchange Financial Services Corp. 2,300 37 Old Second Bancorp, Inc. 1,000 37 * Arden Group Inc. Class A 610 37 * Audible, Inc. 119,900 36 Oxford Industries, Inc. 1,400 36 * GMX Resources Inc. 18,700 36 Crown American Realty Trust REIT 3,900 36 * Bitstream Inc. 21,300 36 * IGI, Inc. 68,500 36 * Concero, Inc. 107,400 35 Standard Motor Products, Inc. 2,700 35 * AAON, Inc. 1,900 35 * National Healthcare Corp. 2,000 35 * Cognitronics Corp. 13,800 35 * New Century Equity Holdings Corp. 133,672 35 * Euronet Worldwide, Inc. 4,600 35 * Navigators Group, Inc. 1,500 34 * Register.com, Inc. 7,600 34 First Federal Bancorp, Inc. 4,300 34 * Persistence Software, Inc. 71,100 34 * Harvest Natural Resources, Inc. 5,100 34 Sizeler Property Investors, Inc. REIT 3,600 33 * Double Eagle Petroleum Co. 6,100 33 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Allos Therapeutics Inc. 4,400 33 * Atec Group, Inc. 60,000 33 * Boston Beer Co., Inc. Class A 2,300 33 Lakeland Financial Corp. 1,400 33 * Computer Programs 1,300 32 Deltic Timber Corp. 1,200 32 * eXegenics Inc. 90,800 32 * Shoe Carnival, Inc. 2,266 32 * Tenneco Automotive, Inc. 7,800 32 * On2 Technologies, Inc. 104,600 31 Mid Atlantic Realty Trust REIT 1,800 31 * PW Eagle, Inc. 6,900 31 * Curative Health Services Inc. 1,800 31 * Universal Access Global Holdings Inc. 163,184 31 * Sagent Technology, Inc. 103,300 31 * Princeton Video Image, Inc. 93,800 31 * Merisel, Inc. 16,131 31 * Click Commerce, Inc. 15,129 31 Pennrock Financial Services Corp. 1,100 31 * AirGate PCS, Inc. 49,039 30 * SBA Communications Corp. 74,016 30 * The Immune Response Corp. 31,246 30 * Multilink Technology Corp. Class A 11,212 30 * The 3DO Company 14,900 30 * Advanced Lighting Technologies, Inc. 91,620 30 Sturm, Ruger & Co., Inc. 3,100 30 * Airnet Communications Corp. 56,290 29 Talx Corp. 2,242 29 * Optical Cable Corp. 12,269 29 * CopyTele, Inc. 151,000 29 * Artisoft, Inc. 69,800 29 * Oglebay Norton Co. 4,300 29 * Serrento Networks Corp. 6,875 29 * Insmed Inc. 63,333 28 * Exact Sciences Corp. 2,600 28 Independence Holding Co. 1,300 28 LSI Industries Inc. 2,000 28 Woodhead Industries, Inc. 2,451 28 * Vornado Operating Inc. REIT 55,529 27 * Lynch Corp. 3,500 27 * Lynx Therapeutics Inc. 65,925 27 * Ducommun, Inc. 1,700 27 Northeast Indiana Bancorp, Inc. 1,700 27 Falmouth Bancorp, Inc. 1,100 27 * WorldGate Communications, Inc. 63,500 27 * SystemOne Technologies Inc. 40,500 26 * Del Laboratories, Inc. 1,300 26 * Rural Cellular Corp. Class A 30,762 26 * AT&T Latin America Corp. Class A 123,700 26 * Caldera International, Inc. 17,875 26 45 - -------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - -------------------------------------------------------------------------------- * MIPS Technologies, Inc. 8,548 26 * Precision Optics Corp. 103,200 26 * Andrea Radio Corp. 85,700 26 BIW Limited 1,400 26 Connecticut Water Services, Inc. 1,000 25 Partners Trust Financial Group, Inc. 1,558 25 Ingles Markets, Inc. 2,100 25 North Pittsburgh Systems, Inc. 1,800 25 * Peco II, Inc. 37,890 24 * Qualstar Corp. 4,400 24 * Loudeye Corp. 76,385 24 * Summit Financial Corp. 1,544 24 * Strattec Security Corp. 500 24 * Shoe Pavilion, Inc. 21,100 24 * Supertex, Inc. 1,599 24 * American Medical Security Group, Inc. 1,700 24 * Winfield Capital Corp. 76,500 24 * Miltope Group Inc. 7,970 24 Bank of the Ozarks, Inc. 1,000 23 Center Trust, Inc. REIT 3,000 23 * SmartDisk Corp. 64,900 23 * CSS Industries, Inc. 700 23 * Tripath Technology Inc. 82,054 23 * Radio Unica Corp. 76,600 23 * Maxwell Shoe Co. Inc. 1,972 23 * Quidel Corp. 6,600 23 * Peoples Community Bancorp 1,000 23 * eGain Communications Corp. 107,882 23 * Beacon Power Corp. 102,935 23 * American Physicians Capital, Inc. 1,200 23 * Drew Industries, Inc. 1,400 22 Sphinx International Inc. 55,900 22 * E Com Ventures, Inc. 5,800 22 * eResearch Technology, Inc. 1,300 22 * Equinix, Inc. 3,773 22 Bryn Mawr Bank Corp. 585 21 * Tarantella, Inc. 118,900 21 * Comstock Resources, Inc. 2,300 21 * IDT Corp. 1,230 21 * Gulf Island Fabrication, Inc. 1,300 21 * DDi Corp. 95,799 21 * Fischer Imaging Corp. 3,470 21 * Diedrich Coffee, Inc. 6,000 21 * Pinnacle Entertainment, Inc. 3,000 21 Bandag, Inc. Class A 600 21 * Leap Wireless International, Inc. 138,081 21 Aaron Rents, Inc. 900 21 * Koala Corp. 79,000 21 * Micro Therapeutics, Inc. 9,500 20 Southern Peru Copper Corp. 1,400 20 * Encore Medical Corp. 6,200 20 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Dura Automotive Systems, Inc. 2,000 20 * Trimedyne, Inc. 142,600 20 EnergySouth, Inc. 700 20 * Horizon Medical Products, Inc. 28,200 19 * Federal-Mogul Corp. 88,442 19 * Beta Oil & Gas, Inc. 22,600 19 Community Banks, Inc. 700 19 Providence and Worcester Railroad Co. 2,500 19 Royal Bancshares of Pennsylvania, Inc. 900 19 * Ribozyme Pharmaceuticals, Inc. 79,700 19 * Bioanalytical Systems, Inc. 7,000 19 * Overland Storage, Inc. 1,300 19 * Toreador Resources Corp. 7,400 19 * Digex, Inc. 42,500 18 * BNCCORP, Inc. 2,600 18 * Elcom International, Inc. 82,700 18 * Amplidyne, Inc. 121,100 18 * SimpleTech, Inc. 6,000 18 * CyberOptics Corp. 3,800 18 * OMI Corp. 4,400 18 * Mesa Laboratories, Inc. 2,700 18 * Level 8 Systems Inc. 47,100 18 * Metretek Technologies, Inc. 68,100 18 * Weider Nutritional International, Inc. 12,100 18 First State Bancorporation 700 17 Peapack Gladstone Financial Corp. 500 17 * Ramtron International Corp. 6,100 17 * Choice One Communications Inc. 106,412 17 * AML Communications, Inc. 68,000 17 U.S. Restaurant Properties, Inc. REIT 1,200 17 * Virage, Inc. 23,902 17 * Bel Fuse, Inc. Class A 925 17 * FirePond, Inc. 6,795 17 * IntraBiotics Pharmaceuticals, Inc. 57,626 17 * Metawave Communications Corp. 59,468 17 * Array BioPharma Inc. 3,000 17 Hubbell Inc. Class A 500 17 * Primus Knowledge Solutions, Inc. 39,300 17 * Range Resources Corp. 3,000 16 * Personnel Group of America, Inc. 111,196 16 * White Electronic Designs Corp. 2,104 16 * LightPath Technologies, Inc. 50,100 16 * InsWeb Corp. 9,866 16 * MakeMusic! Inc. 75,400 16 * ILX Resorts Inc. 2,000 16 * Carmike Cinemas, Inc. 800 16 * Charles & Colvard Ltd. 2,900 16 PFS Bancorp, Inc. 1,000 16 46 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Twinlab Corp. 155,500 16 * eMerge Interactive, Inc. 59,348 15 * NTELOS Inc. 41,468 15 * Dice Inc. 89,550 15 * SciQuest, Inc. 33,800 15 * Baltek Corp. 1,800 15 * V-One Corp. 107,400 15 * GlycoGenesys, Inc. 32,100 15 Washington Savings Bank 1,700 15 * TRC Cos., Inc. 1,100 14 * Global ePoint, Inc. 11,600 14 * Applied Imaging Corp. 6,500 14 * Seabulk International, Inc. 2,529 14 AMCOL International Corp. 2,400 14 * NaviSite, Inc. 92,700 14 * Osmonics, Inc. 800 14 * Rawlings Sporting Goods Co., Inc. 1,506 13 * Alphanet Solutions, Inc. 9,600 13 * Hypercom Corp. 3,500 13 Thistle Group Holdings, Co. 1,105 13 * USDATA Corp. 17,350 13 * Hoenig Group, Inc. Rights 54,300 12 * Vertel Corp. 109,591 12 * MAI Systems Corp. 150,575 12 * Verticalnet, Inc. 15,130 12 * Metromedia International Group, Inc. 118,500 12 * Hungarian Telephone and Cable Corp. 1,500 12 * Adams Golf, Inc. 47,100 12 * F.A.O., Inc. 24,935 12 National Service Industries, Inc. 1,600 11 Franklin Financial Corp. 500 11 * Superior Telecom Inc. 76,416 11 * Five Star Quality Care, Inc. 8,338 11 * FTD, Inc. 700 11 * Zamba Corp. 135,800 11 * Eagle Food Centers, Inc. 22,950 11 * Spectranetics Corp. 4,400 11 * Versata, Inc. 12,200 11 * CPI Aerostructures, Inc. 2,400 11 * Appiant Technologies Inc. 53,900 11 * Chiquita Brands International Warrants Exp. 3/19/2009 2,836 10 * Com21, Inc. 47,400 10 * America Online Latin America, Inc. 27,901 10 * Kosan Biosciences, Inc. 1,700 10 * Advanced Nutraceuticals, Inc. 11,225 10 * Horizon Group Properties, Inc. REIT 3,415 10 * Iridex Corp. 3,500 10 Stepan Co. 400 10 * Lantronix, Inc. 14,277 10 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Urstadt Biddle Properties Class A REIT 900 10 * Applied Graphics Technologies, Inc. 20,280 10 Willow Grove Bancorp, Inc. 700 10 * MEEMIC Holdings, Inc. 333 10 * Procom Technology, Inc. 32,000 10 * AvantGo, Inc. 9,700 10 * Internet Pictures Corp. 9,043 9 * DiaSys Corp. 15,600 9 * Cellular Technical Services Co., Inc. 13,565 9 * Applied Microsystems Corp. 103,800 9 Provident Bancorp, Inc. 300 9 * HPSC, Inc. 1,200 9 * Datalink Corp. 2,400 9 * Tickets.com, Inc. 9,926 9 * TenFold Corp. 60,900 9 * PCD, Inc. 53,300 9 * Nobel Learning Communities, Inc. 2,200 9 * Razorfish, Inc. 5,105 9 * Advantage Marketing Systems, Inc. 6,600 9 CB Bancshares Inc. (HI) 200 9 Haverty Furniture Cos., Inc. 600 8 * Almost Family Inc. 1,200 8 * Digital Angel Corp. 3,200 8 Alico, Inc. 300 8 * Nanometrics Inc. 1,903 8 * Gilman & Ciocia, Inc. 77,800 8 * LMI Aerospace, Inc. 3,600 8 * VASCO Data Security International, Inc. 8,000 8 * VCampus Corp. (new) 2,030 8 * 24/7 Real Media, Inc. 34,100 8 * I-Link, Inc. 60,000 8 Capital Properties, Inc. Class A 900 7 * Barrister Information Systems Corp. 18,000 7 * BAM! Entertainment Inc. 22,100 7 * Daleen Technologies, Inc. 62,800 7 L. S. Starrett Co. Class B 400 7 * Nevada Chemicals, Inc. 2,000 7 * NexPrise, Inc. 4,740 7 Tennant Co. 200 7 * Alterra Healthcare Corp. 59,200 7 * LogicVision, Inc. 3,000 6 * PerfectData Corp. 9,800 6 * Cortex Pharmaceuticals, Inc. 9,800 6 * Nematron Corp. 63,000 6 * Sunlink Health Systems, Inc. 2,600 6 * Evolve Software, Inc. 1,495 6 * Verso Technologies, Inc. 11,700 6 * Occam Networks, Inc. 86,846 6 * Prime Medical Services, Inc. 700 6 * Made2Manage Systems, Inc. 1,700 6 47 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Aetrium, Inc. 7,801 6 * Telaxis Communications Corp. 32,950 6 * Aradigm Corp. 3,500 6 * Novatel Wireless, Inc. 6,026 6 * Genaera Corp. 8,600 6 * Comdisco Holding Company, Inc. Rights Exp. 12/03/2005 66,976 5 * Plumtree Software, Inc. 2,000 5 * Emeritus Corp. 1,000 5 * P-Com, Inc. 27,920 5 * Retractable Technologies, Inc. 1,400 5 * Adelphia Business Solutions, Inc. 216,189 5 Century Aluminum Co. 700 5 * Seven Seas Petroleum Inc. 207,294 5 * Technical Communications Corp. 14,000 5 * Meadowbrook Insurance Group, Inc. 2,000 5 * NeoRx Corp. 11,000 5 * Bruker Axs Inc. 2,600 5 * Hudson Technology, Inc. 5,600 5 Gorman-Rupp Co. 200 5 * Ampex Corp. Class A 57,800 5 * American Pacific Bank 880 4 * Oakwood Homes Corp. 9,700 4 * CyberCare, Inc. 101,100 4 * CoActive Marketing Group, Inc. 2,000 4 UniFirst Corp. 200 4 * FiberNet Telecom Group, Inc. 23,400 4 Schawk, Inc. 400 4 * FiberMark, Inc. 500 4 Onvia.com, Inc. 1,480 4 * Emcee Broadcast Products, Inc. 47,000 4 * Manchester Technologies, Inc. 1,700 4 * Captiva Software Corporation 2,300 4 Superior Financial Corp. 200 4 * General Bearing Corp. 1,200 4 * CardioTech International, Inc. 2,700 4 * Magnum Hunter Resources Inc. Warrants Exp. 3/21/2005 12,046 3 * XO Communications Inc. Class A 65,613 3 * Intelli-Check Inc. 500 3 Raven Industries, Inc. 100 3 * Katy Industries, Inc. 1,000 3 * Vista Medical Technologies, Inc. 1,300 3 * Shiloh Industries, Inc. 1,500 3 * Cross Media Marketing Corp. 6,113 3 Farmers Capital Bank Corp. 100 3 * Miller Exploration Co. 2,660 3 * CRYO-CELL International, Inc. 2,000 3 * Correctional Services Corp. 1,100 3 * Williams Communications Group, Inc. 760,374 3 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Optika Inc. 2,900 3 * ANC Rental Corp. 60,028 3 * First Southern Bancshares 1,600 3 * Petroleum Helicopters, Inc. 100 3 * Brigham Exploration Company 600 3 * Genuity Inc. Class A 32,533 3 * InterDent Inc. 10,212 3 EMC Insurance Group, Inc. 154 3 * Sento Corporation 1,675 3 * Accrue Software, Inc. 73,800 2 * Micro Component Technology, Inc. 3,137 2 * Analytical Surveys, Inc. 2,531 2 * Comshare Inc. 1,000 2 * Endologix, Inc. 2,400 2 * Calton, Inc. 15,400 2 * OMNI Energy Services Corp. 2,466 2 * Nucentrix Broadband Networks 1,700 2 * Acceptance Insurance Cos. Inc. 69,900 2 * Investors Capital Holdings, Ltd. 900 2 * Landenburg Thalmann Financial Services, Inc. 18,943 2 * Webhire, Inc. 4,980 2 * Valley Forge Scientific Corp. 1,100 2 * Isomet Corp. 1,300 2 * American Power Technology, Inc. 500 2 Merrill Merchants Bancshares, Inc. 103 2 * Bluefly, Inc. 900 1 * ARTISTdirect, Inc. 688 1 * Organogenesis, Inc. 16,310 1 * Gadzoox Networks, Inc. 97,800 1 * eRoomSystem Technologies, Inc. 8,100 1 * GoAmerica, Inc. 5,000 1 * Ag Services of America, Inc. 200 1 * STM Wireless, Inc. 6,800 1 * Hauppage Digital, Inc. 1,200 1 * Interliant Inc. 75,300 1 * Radview Software Ltd. 9,000 1 * Geoworks Corp. (Delaware) 75,100 1 * Corrpro Cos., Inc. 2,400 1 * EasyLink Services Corp. 1,838 1 * Olympic Cascade Financial Corp. 2,900 1 * Cogent Communications Group, Inc. 2,779 1 * Paradigm Medical Industries, Inc. 6,700 1 Fidelity National Corp. 100 1 * Uniroyal Technology Corp. 55,200 1 * Microstrategy Inc. Warrants Expire 6/24/2007 16,080 1 * Focal Communications Corp. 17,462 1 * Piccadilly Cafeterias, Inc. 700 1 * Diamond Hill Investment Group 200 1 * Pinnacle Holdings Inc. REIT 80,200 1 * Vizacom Inc. 6,710 1 48 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Fiberstars, Inc. 200 1 * Travis Boats & Motors, Inc. 700 1 Capital Properties, Inc. Class B 90 1 * Actrade Financial Technologies, Ltd. 5,700 1 * J. Alexander's Corporation 200 1 * Physiometrix, Inc. 1,100 1 * Enchira Biotechnology Corp. 53,614 1 * Books-a-Million Inc. 200 1 * NetObjects Inc. 49,200 0 * Continucare Corp. 3,000 0 * Encompass Services Corp. 51,595 0 * SLI, Inc. 47,678 0 * Prolong International Corp. 2,500 0 * Tricord Systems, Inc. 82,800 0 * CTC Communications Group, Inc. 118,586 0 * AppliedTheory Corp. 90,700 0 * Provell, Inc. 71,700 0 * Newcor, Inc. 43,880 0 * American Classic Voyager Co. 40,700 0 * L.A. Gear, Inc. 136,216 0 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $5,381,796) 3,865,809 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Face Market Amount Value* Shares (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (4.3%)(1) - -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.70%, 1/7/2003 $ 4,000 3,999 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.21%, 1/2/2003--Note E 123,920 123,920 1.22%, 1/2/2003 42,731 42,731 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $170,650) 170,650 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.1%) (Cost $5,552,446) 4,036,459 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.1%) - -------------------------------------------------------------------------------- Other Assets--Note B 86,618 Security Lending Collateral Payable to Brokers--Note E (123,920) Other Liabilities (84,720) -------------- (122,022) -------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $3,914,437 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.2% and 2.9%, respectively, of net assets. See Note C in Notes to Financial Statements. 2)Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. 49 - -------------------------------------------------------------------------------- EXTENDED MARKET Amount INDEX FUND (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2002, NET ASSETS CONSISTED OF: - ------------------------------------------------------------------------------- Paid-in Capital $5,700,750 Overdistributed Net Investment Income (3,640) Accumulated Net Realized Losses (265,874) Unrealized Depreciation Investment Securities (1,515,987) Futures Contracts (812) - -------------------------------------------------------------------------------- NET ASSETS $3,914,437 - -------------------------------------------------------------------------------- Investor Shares--Net Assets Applicable to 140,327,745 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $2,629,496 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $18.74 ================================================================================ Admiral Shares--Net Assets Applicable to 32,585,475 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $610,615 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $18.74 ================================================================================ Institutional Shares--Net Assets Applicable to 34,370,457 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $644,098 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $18.74 ================================================================================ VIPER Shares--Net Assets Applicable to 611,121 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $30,228 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- VIPER SHARES $49.46 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. ** 50 MARKET VALUE* MID-CAP INDEX FUND Shares (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.4%)(1) - -------------------------------------------------------------------------------- M & T Bank Corp. 433,351 34,386 Washington Post Co. Class B 44,836 33,089 * Affiliated Computer Services, Inc. Class A 623,149 32,809 * Gilead Sciences, Inc. 927,416 31,532 * Symantec Corp. 682,020 27,629 * Weatherford International Ltd. 613,619 24,502 * IDEC Pharmaceuticals Corp. 721,591 23,935 Microchip Technology, Inc. 957,574 23,413 National Commerce Financial Corp. 967,770 23,081 American Water Works Co., Inc. 471,889 21,462 Green Point Financial Corp. 460,185 20,791 ENSCO International, Inc. 702,257 20,681 Mylan Laboratories, Inc. 577,594 20,158 * DST Systems, Inc. 563,780 20,042 * L-3 Communications Holdings, Inc. 445,441 20,005 Compass Bancshares Inc. 604,514 18,903 * Westwood One, Inc. 500,316 18,692 Tyson Foods, Inc. 1,663,562 18,665 Valero Energy Corp. 502,473 18,561 Murphy Oil Corp. 432,116 18,516 * Mohawk Industries, Inc. 312,838 17,816 * Express Scripts Inc. 367,390 17,649 * CDW Computer Centers, Inc. 395,770 17,355 Sovereign Bancorp, Inc. 1,231,662 17,305 Ocean Energy, Inc. 831,264 16,600 * Synopsys, Inc. 356,723 16,463 Radian Group, Inc. 440,782 16,375 * Republic Services, Inc. Class A 772,622 16,210 Scana Corp. 522,182 16,167 Expeditors International of Washington, Inc. 490,797 16,025 * Dean Foods Co. 430,343 15,966 Old Republic International Corp. 568,449 15,917 * Varian Medical Systems, Inc. 320,486 15,896 * ChoicePoint Inc. 399,903 15,792 Lennar Corp. 305,845 15,782 * Lincare Holdings, Inc. 498,423 15,760 Banknorth Group, Inc. 697,129 15,755 * Smith International, Inc. 478,778 15,618 Ross Stores, Inc. 366,732 15,546 * Health Net Inc. 583,894 15,415 McCormick & Co., Inc. 659,815 15,308 TCF Financial Corp. 349,495 15,269 Hormel Foods Corp. 653,886 15,255 Energy East Corp. 682,501 15,076 * Oxford Health Plans, Inc. 412,388 15,032 Pepco Holdings, Inc. 771,593 14,961 * Cadence Design Systems, Inc. 1,267,845 14,948 * Williams-Sonoma, Inc. 546,816 14,846 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Legg Mason Inc. 305,460 4,827 * Brinker International, Inc. 459,244 14,811 Fidelity National Financial, Inc. 450,554 14,792 XTO Energy, Inc. 597,162 14,750 New York Community Bancorp, Inc. 05,402 14,596 Hibernia Corp. Class A 742,794 14,306 * Whole Foods Market, Inc. 271,081 14,294 * SPX Corp. 379,739 14,221 * Patterson Dental Co. 321,644 14,069 Hillenbrand Industries, Inc. 290,974 14,057 Diebold, Inc. 339,920 14,012 * Pioneer Natural Resources Co. 551,710 13,931 * Coach, Inc. 418,461 13,776 Commerce Bancorp, Inc. 318,246 13,745 DENTSPLY International Inc. 369,482 13,745 Wisconsin Energy Corp. 545,012 13,734 SEI Corp. 500,059 13,592 * Barr Laboratories, Inc. 206,873 13,465 Fastenal Co. 357,784 13,378 Everest Re Group, Ltd. 239,959 13,270 * Dollar Tree Stores, Inc. 538,450 13,230 Telephone & Data Systems, Inc. 276,693 13,009 * Universal Health Services Class B 285,552 12,878 The PMI Group Inc. 425,694 12,788 * Cooper Cameron Corp. 256,396 12,774 First Virginia Banks, Inc. 338,073 12,586 Mercantile Bankshares Corp. 324,669 12,529 C.H. Robinson Worldwide, Inc. 398,411 12,430 Outback Steakhouse 357,412 12,309 A.G. Edwards & Sons, Inc. 371,649 12,250 Arthur J. Gallagher & Co. 414,825 12,188 * The Dun & Bradstreet Corp. 350,504 12,089 D. R. Horton, Inc. 690,817 11,986 Associated Banc-Corp. 351,639 11,935 * Energizer Holdings, Inc. 427,675 11,932 * Park Place Entertainment Corp. 1,417,251 11,905 * Network Associates, Inc. 737,668 11,869 Dreyer's Grand Ice Cream, Inc. 164,646 11,683 * First Health Group Corp. 478,335 11,647 Manpower Inc. 361,822 11,542 * Gentex Corp. 358,770 11,351 Belo Corp. Class A 531,079 11,323 * Patterson-UTI Energy, Inc. 373,388 11,265 Astoria Financial Corp. 410,537 11,146 * PETsMART, Inc. 650,044 11,135 * IVAX Corp. 917,703 11,132 NSTAR 250,159 11,105 * Entercom Communications Corp. 234,877 11,020 Neuberger Berman Inc. 328,995 11,018 Bowater Inc. 260,748 10,938 * Millennium Pharmaceuticals, Inc. 1,357,017 10,775 * Storage Technology Corp. 502,217 10,757 51 - -------------------------------------------------------------------------------- Market Value* MID-CAP INDEX FUND Shares (000) - -------------------------------------------------------------------------------- Questar Corp. 386,258 10,746 Omnicare, Inc. 444,597 10,595 * Hispanic Broadcasting Corp. 513,159 10,545 Liberty Property Trust REIT 329,100 10,511 * Triad Hospitals, Inc. 352,367 10,510 * Apogent Technologies Inc. 504,331 10,490 Sonoco Products Co. 455,522 10,445 Valspar Corp. 236,313 10,440 Hospitality Properties Trust REIT 295,018 10,385 City National Corp. 235,381 10,354 Equitable Resources, Inc. 294,702 10,326 * Lear Corp. 310,070 10,319 * Smithfield Foods, Inc. 515,924 10,236 Noble Energy, Inc. 270,232 10,147 * Constellation Brands, Inc. Class A 425,686 10,093 * Ceridian Corp. 699,898 10,093 * Mandalay Resort Group 324,414 9,930 * Michaels Stores, Inc. 316,413 9,904 Hubbell Inc. Class B 278,851 9,799 Wilmington Trust Corp. 309,229 9,796 Leucadia National Corp. 261,049 9,740 Northeast Utilities 640,194 9,712 Puget Energy, Inc. 437,131 9,639 Lyondell Chemical Co. 753,758 9,528 PepsiAmericas, Inc. 708,730 9,518 * Pride International, Inc. 634,050 9,447 * Abercrombie & Fitch Co. 460,431 9,420 * AdvancePCS 423,953 9,416 International Speedway Corp. 250,884 9,355 * Henry Schein, Inc. 207,564 9,340 Unitrin, Inc. 319,225 9,328 J.M. Smucker Co. 233,862 9,310 Bank of Hawaii Corp. 305,727 9,291 Viad Corp. 415,398 9,284 Eaton Vance Corp. 327,193 9,243 DPL Inc. 596,561 9,151 Allete, Inc. 402,994 9,140 Dial Corp. 448,409 9,134 * Jacobs Engineering Group Inc. 256,523 9,132 * BISYS Group, Inc. 567,257 9,019 * Intersil Corp. 645,303 8,996 * Packaging Corp. of America 492,528 8,984 Protective Life Corp. 323,906 8,914 Tidewater Inc. 285,712 8,886 * 99 Cents Only Stores 330,562 8,879 * Krispy Kreme Doughnuts, Inc. 261,412 8,828 * SICOR, Inc. 552,073 8,750 MDU Resources Group, Inc. 338,043 8,725 New Plan Excel Realty Trust REIT 456,960 8,723 * CarMax, Inc. 486,061 8,691 * Career Education Corp. 217,087 8,683 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Beckman Coulter, Inc. 293,743 8,671 * The Cheesecake Factory 238,895 8,636 Dole Food Co. 264,912 8,631 FirstMerit Corp. 398,447 8,630 * Vishay Intertechnology, Inc. 753,221 8,421 Investors Financial Services Corp. 304,619 8,344 Reynolds & Reynolds Class A 327,577 8,343 * National-Oilwell, Inc. 381,966 8,342 * E*TRADE Group, Inc. 1,704,453 8,284 RPM International, Inc. 541,866 8,280 Pier 1 Imports Inc. 436,676 8,266 Harris Corp. 312,906 8,229 * Charles River Laboratories, Inc. 212,838 8,190 Brown & Brown, Inc. 250,638 8,101 * 3Com Corp. 1,733,255 8,025 Pentair, Inc. 232,209 8,023 Harte-Hanks, Inc. 429,339 8,016 Teleflex Inc. 185,615 7,961 * Varco International, Inc. 456,888 7,950 * STERIS Corp. 327,346 7,938 * Saks Inc. 674,635 7,920 * Swift Transportation Co., Inc. 394,433 7,896 HON Industries, Inc. 277,963 7,861 National Fuel Gas Co. 378,048 7,837 * AGCO Corp. 353,851 7,819 * National Instruments Corp. 240,551 7,816 Clayton Homes Inc. 641,041 7,808 CNF Inc. 232,407 7,725 Cabot Corp. 289,786 7,691 * Certegy, Inc. 313,099 7,687 Hawaiian Electric Industries Inc. 172,736 7,597 Webster Financial Corp. 216,912 7,549 * Overture Services, Inc. 275,500 7,524 American Financial Group, Inc. 325,726 7,514 * GTECH Holdings Corp. 269,164 7,499 * LaBranche & Co. Inc. 280,674 7,477 Tootsie Roll Industries, Inc. 243,337 7,466 Donaldson Co., Inc. 207,039 7,453 Waddell & Reed Financial, Inc. 378,636 7,448 Lubrizol Corp. 242,628 7,400 Great Plains Energy, Inc. 322,158 7,371 Vectren Corp. 319,673 7,352 * Valassis Communications, Inc. 248,005 7,299 HCC Insurance Holdings, Inc. 293,883 7,230 * Edwards Lifesciences Corp. 283,223 7,214 Peabody Energy Corp. 246,729 7,212 * Tech Data Corp. 266,228 7,178 Alliant Energy Corp. 432,408 7,156 CBRL Group, Inc. 234,767 7,074 Martin Marietta Materials, Inc. 230,252 7,060 Roslyn Bancorp, Inc. 391,268 7,055 52 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Lee Enterprises, Inc. 208,950 7,004 Reader's Digest Association, Inc. 461,539 6,969 Colonial BancGroup, Inc. 583,361 6,959 * Covance, Inc. 282,247 6,940 Independence Community Bank Corp. 269,712 6,845 StanCorp Financial Group, Inc. 138,646 6,773 Lancaster Colony Corp. 172,210 6,730 * Grant Prideco, Inc. 569,876 6,633 * Scholastic Corp. 184,481 6,632 * Advanced Fibre Communications, Inc. 396,375 6,612 * SanDisk Corp. 325,201 6,602 Helmerich & Payne, Inc. 235,779 6,581 Media General, Inc. Class A 109,481 6,563 * Extended Stay America, Inc. 442,509 6,527 OGE Energy Corp. 369,941 6,511 Herman Miller, Inc. 352,979 6,495 * Acxiom Corp. 420,781 6,472 AGL Resources Inc. 265,608 6,454 BorgWarner, Inc. 126,800 6,393 * LAM Research Corp. 591,274 6,386 Westamerica Bancorporation 158,144 6,354 * Furniture Brands International Inc. 265,467 6,331 * FMC Technologies Inc. 308,395 6,301 * Education Management Corp. 166,415 6,257 * Timberland Co. 173,810 6,189 * Forest Oil Corp. 221,629 6,128 * Avnet, Inc. 563,223 6,100 Harsco Corp. 191,133 6,095 * BJ's Wholesale Club, Inc. 330,424 6,047 * Borders Group, Inc. 374,759 6,034 * The Neiman Marcus Group, Inc. Class A 198,382 6,029 * Arrow Electronics, Inc. 471,200 6,027 Ametek Aerospace Products Inc. 155,853 5,999 Precision Castparts Corp. 246,783 5,984 Provident Financial Group, Inc. 229,865 5,983 * Sybase, Inc. 446,228 5,979 Carlisle Co., Inc. 144,291 5,971 * CheckFree Corp. 371,014 5,937 Rayonier Inc. 130,784 5,918 * Fairchild Semiconductor Corp. 551,609 5,908 * RF Micro Devices, Inc. 797,876 5,848 Blyth, Inc. 218,452 5,846 WPS Resources Corp. 150,415 5,839 * Imation Corp. 166,325 5,835 * Airgas, Inc. 337,551 5,822 IMC Global Inc. 542,220 5,785 * ADTRAN Inc. 175,566 5,776 * Apria Healthcare Group Inc. 258,926 5,759 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Barnes & Noble, Inc. 318,197 5,750 Western Gas Resources, Inc. 155,870 5,744 Church & Dwight, Inc. 188,086 5,723 Kennametal, Inc. 165,618 5,711 * Vertex Pharmaceuticals, Inc. 360,166 5,709 * Cree, Inc. 343,235 5,612 Albemarle Corp. 196,578 5,593 * AmeriCredit Corp. 720,990 5,580 * LifePoint Hospitals, Inc. 186,376 5,578 * Cytyc Corp. 546,470 5,574 * International Rectifier Corp. 301,165 5,560 * Payless ShoeSource, Inc. 106,928 5,504 WGL Holdings Inc. 229,060 5,479 * DeVry, Inc. 329,866 5,479 ONEOK, Inc. 285,097 5,474 * J.B. Hunt Transport Services, Inc. 185,124 5,424 * Cabot Microelectronics Corp. 114,864 5,422 Superior Industries International, Inc. 130,579 5,401 DQE Inc. 350,568 5,343 ArvinMeritor, Inc. 320,464 5,342 Arch Coal, Inc. 247,086 5,335 The MONY Group Inc. 221,300 5,298 GATX Corp. 230,987 5,271 * Emmis Communications, Inc. 250,996 5,228 AmerUs Group Co. 184,015 5,202 * Copart, Inc. 435,162 5,152 Claire's Stores, Inc. 230,056 5,077 * Investment Technology Group, Inc. 226,034 5,054 * Cytec Industries, Inc. 185,068 5,049 Sensient Technologies Corp. 223,655 5,026 Alexander & Baldwin, Inc. 194,375 5,013 Jack Henry & Associates Inc. 413,452 4,978 * Atmel Corp. 2,196,000 4,897 * IndyMac Bancorp, Inc. REIT 260,467 4,816 York International Corp. 186,100 4,759 * Catalina Marketing Corp. 256,796 4,751 Callaway Golf Co. 358,457 4,750 * PacifiCare Health Systems, Inc. 168,870 4,745 Pittston Brink's Group 255,943 4,730 * Avocent Corp. 212,639 4,725 * American Eagle Outfitters, Inc. 338,572 4,666 Ferro Corp. 190,759 4,660 * Lattice Semiconductor Corp. 529,736 4,646 * Activision, Inc. 316,414 4,616 * Varian, Inc. 159,930 4,588 * FMC Corp. 165,564 4,523 Universal Corp. (VA) 121,448 4,489 * Polycom, Inc. 469,252 4,467 IDACORP, Inc. 178,570 4,434 53 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- PNM Resources Inc. 184,496 4,395 Federal Signal Corp. 224,971 4,369 ICN Pharmaceuticals, Inc. 394,970 4,309 * Internet Security Systems, Inc. 233,452 4,279 Wallace Computer Services, Inc. 197,298 4,244 Olin Corp. 270,443 4,205 Greater Bay Bancorp 242,950 4,201 Kelly Services, Inc. Class A 167,532 4,140 Trinity Industries, Inc. 216,515 4,105 Minerals Technologies, Inc. 95,040 4,101 * Integrated Device Technology Inc. 486,685 4,074 * AK Steel Corp. 508,908 4,071 * Perrigo Co. 327,252 3,976 Nordson Corp. 158,340 3,932 * United Rentals, Inc. 361,179 3,886 Bob Evans Farms, Inc. 166,422 3,886 * Micrel, Inc. 432,340 3,882 * Flowserve Corp. 260,453 3,852 Tecumseh Products Co. Class A 87,182 3,846 * Sepracor Inc. 397,074 3,840 * The Titan Corp. 368,067 3,828 * McDATA Corp. Class A 535,003 3,799 * Semtech Corp. 347,353 3,793 Longs Drug Stores, Inc. 180,924 3,752 Banta Corp. 119,504 3,737 * Ohio Casualty Corp. 286,378 3,709 * Silicon Valley Bancshares 202,104 3,688 * Macrovision Corp. 228,141 3,659 * BroadWing Inc. 1,032,455 3,634 Rollins, Inc. 140,793 3,583 * Protein Design Labs, Inc. 420,168 3,571 * Price Communications Corp. 257,300 3,558 * KEMET Corp. 406,617 3,554 Bandag, Inc. 90,354 3,495 H.B. Fuller Co. 133,805 3,462 * Gartner, Inc. Class B 359,433 3,397 Airborne, Inc. 228,470 3,388 Black Hills Corp. 126,922 3,366 * Cypress Semiconductor Corp. 583,975 3,340 Westar Energy, Inc. 337,259 3,339 * CSG Systems International, Inc. 243,382 3,322 Potlatch Corp. 134,583 3,214 * Plantronics, Inc. 212,314 3,212 Crompton Corp. 536,723 3,194 Interstate Bakeries Corp. 208,495 3,180 * EGL, Inc. 221,808 3,161 Albany International Corp. 152,670 3,154 Sierra Pacific Resources 481,808 3,132 * Sylvan Learning Systems, Inc. 190,294 3,121 Cleco Corp. 221,902 3,107 * Keane, Inc. 337,630 3,035 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- * Macromedia, Inc. 284,477 3,030 Granite Construction Co. 194,759 3,019 Ruddick Corp. 219,643 3,007 Kaydon Corp. 141,675 3,005 * Dycom Industries, Inc. 225,853 2,993 Horace Mann Educators Corp. 192,771 2,955 Overseas Shipholding Group Inc. 162,467 2,908 * Hanover Compressor Co. 313,885 2,881 Modine Manufacturing Co. 155,798 2,755 * Legato Systems, Inc. 547,400 2,753 * Alaska Air Group, Inc. 125,312 2,712 * MPS Group, Inc. 483,888 2,681 * Ascential Software Corp. 1,116,540 2,680 Wausau-Mosinee Paper Corp. 238,639 2,678 Glatfelter Co. 201,985 2,658 * TriQuint Semiconductor, Inc. 625,063 2,650 * Credence Systems Corp. 281,892 2,630 * Sotheby's Holdings Class A 290,095 2,611 A. Schulman Inc. 139,031 2,587 * Allmerica Financial Corp. 249,651 2,521 * Mentor Graphics Corp. 314,128 2,469 * Six Flags, Inc. 427,791 2,443 * Papa John's International, Inc. 86,577 2,414 * VISX Inc. 243,399 2,332 * FEI Co. 150,793 2,306 * Newport Corp. 177,497 2,229 * CommScope, Inc. 278,849 2,203 * Advent Software, Inc. 151,227 2,061 * Quantum Corp. 729,176 1,947 * Sequa Corp. Class A 48,061 1,880 Solutia, Inc. 483,242 1,754 * Plexus Corp. 194,453 1,707 * Longview Fibre Co. 235,570 1,703 * Powerwave Technologies, Inc. 302,895 1,636 * RSA Security Inc. 262,180 1,570 * GrafTech International Ltd. 258,566 1,541 * Wind River Systems Inc. 365,722 1,499 Aquila, Inc. 837,845 1,483 * Incyte Genomics, Inc. 312,683 1,426 * LTX Corp. 227,358 1,371 * Korn/Ferry International 175,354 1,312 * Unifi, Inc. 247,664 1,300 Carpenter Technology Corp. 103,116 1,284 * Quanta Services, Inc. 322,324 1,127 * InFocus Corp. 182,179 1,122 * Cirrus Logic 385,976 1,112 * Transaction Systems Architects, Inc. 164,125 1,067 * The Neiman Marcus Group, Inc. Class B 27,900 763 * Retek Inc. 245,323 667 54 - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- Metris Cos., Inc. 266,400 658 * Sykes Enterprises, Inc. 188,046 617 * Gartner, Inc. Class A 31,000 285 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $3,937,607) 3,310,381 - -------------------------------------------------------------------------------- Face Amount (000) - -------------------------------------------------------------------------------- Market Value* Shares (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (2.0%)(1) - -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.56%, 1/8/2003 $ 1,500 1,500 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.21%, 1/2/2003--Note E 49,304 49,304 1.22%, 1/2/2003 14,625 14,625 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $65,429) 65,429 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (101.4%) (Cost $4,003,036) 3,375,810 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-1.4%) - -------------------------------------------------------------------------------- Other Assets--Note B 89,490 Liabilities--Note E (134,625) --------- (45,135) --------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $3,330,675 ================================================================================ *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 100.1% and 1.3%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2002, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $3,961,607 Overdistributed Net Investment Income (2,496) Overdistributed Net Realized Gains (1,049) Unrealized Depreciation Investment Securities (627,226) Futures Contracts (161) - -------------------------------------------------------------------------------- NET ASSETS $3,330,675 ================================================================================ Investor Shares--Net Assets Applicable to 229,415,354 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $2,267,065 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $9.88 ================================================================================ Admiral Shares--Net Assets Applicable to 9,162,839 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $410,563 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $44.81 ================================================================================ Institutional Shares--Net Assets Applicable to 65,980,878 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $653,047 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $9.90 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 55 STATEMENT OF OPERATIONs This Statement shows the types of 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 income 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) of investments during the period. - -------------------------------------------------------------------------------- Extended Market Mid-Cap Index Fund Index Fund ---------------------------------- Year Ended December 31, 2002 ---------------------------------- (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME Income Dividends $ 45,476 $ 36,264 Interest 765 387 Security Lending 2,160 157 Total Income 48,401 36,808 Expenses The Vanguard Group--Note B Investment Advisory Services 154 108 Management and Administrative Investor Shares 6,257 5,031 Admiral Shares 1,213 593 Institutional Shares 501 473 VIPER Shares 32 -- Marketing and Distribution Investor Shares 514 424 Admiral Shares 86 42 Institutional Shares 126 132 VIPER Shares 2 -- Custodian Fees 285 231 Auditing Fees 12 12 Shareholders' Reports and Proxies Investor Shares 197 138 Admiral Shares 2 1 Institutional Shares -- -- VIPER Shares -- -- Trustees' Fees and Expenses 6 4 - -------------------------------------------------------------------------------- Total Expenses 9,387 7,189 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 39,014 29,619 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (164,705) 42,957 Futures Contracts (3,463) (2,620) - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (168,168) 40,337 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (741,339) (642,991) Futures Contracts (1,129) (388) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (742,468) (643,379) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(871,622) $(573,423) ================================================================================ 56 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 Year Ended December 31, 2002 2001 2002 2001 (000) (000) (000) (000) INCREASE (DECREASE) IN NET ASSETS Operations Net Investment Income $ 39,014 $ 42,505 $ 29,619 $ 20,002 Realized Net Gain (Loss) (168,168) (43,248) 40,337 31,411 Change in Unrealized Appreciation (Depreciation) (742,468) (482,161) (643,379) (43,112) - --------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (871,622) (482,904) (573,423) 8,301 - --------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (24,109) (28,361) (20,612) (11,840) Admiral Shares (6,195) (7,060) (3,979) (1,240) Institutional Shares (7,231) (8,004) (6,440) (4,508) VIPER Shares (327) -- -- -- Realized Capital Gain* Investor Shares -- (111,766) (25,635) (37,752) Admiral Shares -- (19,383) (4,240) (612) Institutional Shares -- (25,983) (7,402) (8,278) VIPER Shares -- -- -- -- - --------------------------------------------------------------------------------------------------------------- Total Distributions (37,862) (200,557) (68,308) (64,230) - --------------------------------------------------------------------------------------------------------------- Capital Share Transactions--Note F Investor Shares 122,033 (276,645) 661,714 493,376 Admiral Shares 21,721 367,842 261,445 215,497 Institutional Shares 49,773 (87,464) 127,670 347,311 VIPER Shares 28,082 6,094 -- -- - --------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 221,609 9,827 1,050,829 1,056,184 - --------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) (687,875) (673,634) 409,098 1,000,255 - --------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period 4,602,312 5,275,946 2,921,577 1,921,322 - --------------------------------------------------------------------------------------------------------------- End of Period $ 3,914,437 $4,602,312 $3,330,675 $2,921,577 ==============================================================================================================-
*Includes short-term gain distributions totaling $0, $15,519,000, $3,244,000, and $9,111,000, respectively. Short-term gain distributions are treated as ordinary income for tax purposes. 57 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
EXTENDED MARKET INDEX FUND INVESTOR SHARES - --------------------------------------------------------------------------------------------------------------- Year Ended December 31, --------------------------------------------------- For a Share Outstanding Throughout Each Period 2002 2001 2000 1999 1998 - --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $23.09 $26.61 $37.07 $30.63 $30.76 - --------------------------------------------------------------------------------------------------------------- Investment Operations Net Investment Income .19 .203 .274 .297 .388 Net Realized and Unrealized Gain (Loss) on Investments (4.36) (2.703) (6.041) 10.101 2.025 - --------------------------------------------------------------------------------------------------------------- Total from Investment Operations (4.17) (2.500) (5.767) 10.398 2.413 - --------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.18) (.210) (.263) (.318) (.373) Distributions from Realized Capital Gains -- (.810) (4.430) (3.640) (2.170) - --------------------------------------------------------------------------------------------------------------- Total Distributions (.18) (1.020) (4.693) (3.958) (2.543) - --------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $18.74 $23.09 $26.61 $37.07 $30.63 =============================================================================================================== Total Return* -18.06% -9.13% -15.55% 36.22% 8.32% =============================================================================================================== Ratios/Supplemental Data Net Assets, End of Period (Millions) $2,629 $3,115 $3,881 $4,221 $2,939 Ratio of Total Expenses to Average Net Assets 0.26% 0.25% 0.25% 0.25% 0.23% Ratio of Net Investment Income to Average Net Assets 0.88% 0.88% 0.81% 1.04% 1.21% Portfolio Turnover Rate 17% 20% 33% 26% 27% ===============================================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2000, or the $10 annual account maintenance fee applied on balances under $10,000. 58 EXTENDED MARKET INDEX FUND ADMIRAL SHARES - -------------------------------------------------------------------------------- Nov. 13* to Year Ended Dec. 31, Dec. 31, ------------------ For a Share Outstanding Throughout Each Period 2002 2001 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $23.09 $26.61 $31.89 - -------------------------------------------------------------------------------- Investment Operations Net Investment Income .201 .213 .050 Net Realized and Unrealized Gain (Loss) on Investments (4.360) (2.703) (1.736) - -------------------------------------------------------------------------------- Total from Investment Operations (4.159) (2.490) (1.686) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.191) (.220) (.274) Distributions from Realized Capital Gains -- (.810) (3.320) - -------------------------------------------------------------------------------- Total Distributions (.191) (1.030) (3.594) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $18.74 $23.09 $26.61 ================================================================================ Total Return -18.02% -9.09% -4.30% ================================================================================ Ratios/Supplemental Data Net Assets, End of Period (Millions) $611 $735 $441 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 0.94% 0.94% 1.23%** Portfolio Turnover Rate 17% 20% 33% ================================================================================ *Inception. **Annualized. 59 FINANCIAL HIGHLIGHTS (CONTINUED) EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES - -------------------------------------------------------------------------------- Year Ended December 31,
For a Share Outstanding Throughout Each Period 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $23.09 $26.62 $37.09 $30.63 $30.76 - -------------------------------------------------------------------------------------------------------------------- Investment Operations Net Investment Income .22 .228 .313 .363 .427 Net Realized and Unrealized Gain (Loss) on Investments (4.36) (2.703) (6.041) 10.101 2.025 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (4.14) (2.475) (5.728) 10.464 2.452 - -------------------------------------------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.21) (.245) (.312) (.364) (.412) Distributions from Realized Capital Gains -- (.810) (4.430) (3.640) (2.170) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (.21) (1.055) (4.742) (4.004) (2.582) - -------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $18.74 $23.09 $26.62 $37.09 $30.63 =================================================================================================================== Total Return* -17.93% -9.03% -15.41% 36.45% 8.45% Ratios/Supplemental Data Net Assets, End of Period (Millions) $644 $746 $954 $870 $456 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 1.05% 1.02% 0.96% 1.18% 1.34% Portfolio Turnover Rate 17% 20% 33% 26% 27% ===================================================================================================================
*Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2000. 60 Extended Market Index Fund VIPER Shares - -------------------------------------------------------------------------------- Year Ended Dec. 27* to Dec. 31, Dec. 31, For a Share Outstanding Throughout Each Period 2002 2001 - -------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $60.99 $60.94 - -------------------------------------------------------------------------------- Investment Operations Net Investment Income .566 -- Net Realized and Unrealized Gain (Loss) on Investments (11.561) .05 - -------------------------------------------------------------------------------- Total from Investment Operations (10.995) .05 - -------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.535) -- Distributions from Realized Capital Gains -- -- - -------------------------------------------------------------------------------- Total Distributions (.535) -- - -------------------------------------------------------------------------------- Net Asset Value, End of Period $49.46 $60.99 ================================================================================ Total Return -18.04% 0.08% ================================================================================ Ratios/Supplemental Data Net Assets, End of Period (Millions) $30 $6 Ratio of Total Expenses to Average Net Assets 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 1.04% 0.54%** Portfolio Turnover Rate 17% 20% ================================================================================ *Inception. **Annualized. 61
Financial Highlights (continued) Mid-Cap Index Fund Investor Shares Apr. 20* to Year Ended December 31, Dec. 31, For a Share Outstanding Throughout Each Period 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $11.81 $12.21 $11.30 $10.79 $10.00 - ------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .088 .081 .071 .073 .053 Net Realized and Unrealized Gain (Loss) on Investments (1.798) (.166) 1.897 1.448 .840 - ------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (1.710) (.085) 1.968 1.521 .893 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.093) (.070) (.078) (.076) (.053) Distributions from Realized Capital Gains (.127) (.245) (.980) (.935) (.050) Total Distributions (.220) (.315) (1.058) (1.011) (.103) =================================================================================================================== Net Asset Value, End of Period $ 9.88 $11.81 $12.21 $11.30 $10.79 Total Return** -14.61% -0.50% 18.10% 15.32% 8.55% Ratios/Supplemental Data Net Assets, End of Period (Millions) $2,267 $2,049 $1,614 $605 $206 Ratio of Total Expenses to Average Net Assets 0.26% 0.25% 0.25% 0.25% 0.25%Y Ratio of Net Investment Income to Average Net Assets 0.85% 0.83% 0.90% 0.99% 1.19%Y Portfolio Turnover Rate 20%YY 24% 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. YAnnualized. YYThe portfolio turnover rate excluding in-kind redemptions was 18%. 62 Mid-Cap Index Fund Admiral Shares Year Ended Nov. 12* to Dec. 31, Dec. 31, For a Share Outstanding Throughout Each Period 2002 2001 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $53.56 $50.00 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .431 .056 Net Realized and Unrealized Gain (Loss) on Investments (8.154) 3.982 - -------------------------------------------------------------------------------- Total from Investment Operations (7.723) 4.038 - -------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.451) (.320) Distributions from Realized Capital Gains (.576) (.158) - -------------------------------------------------------------------------------- Total Distributions (1.027) (.478) NET ASSET VALUE, END OF PERIOD $44.81 $53.56 ================================================================================ Total Return -14.55% 8.06% ================================================================================ Ratios/Supplemental Data Net Assets, End of Period (Millions) $411 $223 Ratio of Total Expenses to Average Net Assets 0.18% 0.20%** Ratio of Net Investment Income to Average Net Assets 0.94% 0.86%** Portfolio Turnover Rate 20%Y 24% ================================================================================ *Inception. **Annualized. YThe portfolio turnover rate excluding in-kind redemptions was 18%. 63
FINANCIAL HIGHLIGHTS (CONTINUED) MID-CAP INDEX FUND INSTITUTIONAL SHARES - ------------------------------------------------------------------------------------------------------------------- May 20* to Year Ended December 31, Dec. 31, ------------------------ For a Share Outstanding Throughout Each Period 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $11.83 $12.23 $11.30 $10.79 $10.03 - ------------------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .103 .097 .081 .083 .055 Net Realized and Unrealized Gain (Loss) on Investments 1.798) (.166) 1.918 1.448 .814 - ------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (1.695) (.069) 1.999 1.531 .869 - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.108) (.086) (.089) (.086) (.059) Distributions from Realized Capital Gains (.127) (.245) (.980) (.935) (.050) - ------------------------------------------------------------------------------------------------------------------- Total Distributions (.235) (.331) (1.069) (1.021) (.109) - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 9.90 $11.83 $12.23 $11.30 $10.79 =================================================================================================================== Total Return** -14.45% -0.37% 18.39% 15.41% 8.61% =================================================================================================================== Ratios/Supplemental Data Net Assets, End of Period (Millions) $653 $650 $307 $143 $39 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.12% 0.12% 0.12%Y Ratio of Net Investment Income to Average Net Assets 1.01% 1.00% 1.03% 1.11% 1.30%Y Portfolio Turnover Rate 20%YY 24% 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. YAnnualized. YYThe portfolio turnover rate excluding in-kind redemptions was 18%. 64 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 four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares. The Mid-Cap Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. 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 were first issued on December 27, 2001, and first offered to the public on January 4, 2002. VIPER Shares are listed for trading on the American Stock Exchange; 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 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. 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). 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. 65 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 4. 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. 5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. 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 as 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), shareholder reporting, and proxies. 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 December 31, 2002, the funds had contributed capital to Vanguard (included in Other Assets) of: - -------------------------------------------------------------------------------- CONTRIBUTION PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S - -------------------------------------------------------------------------------- INDEX FUND (000) Net Assets Capitalization - -------------------------------------------------------------------------------- Extended Market $751 0.02% 0.75% Mid-Cap 636 0.02 0.64 - -------------------------------------------------------------------------------- The funds' trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. During the year ended December 31, 2002, the Mid-Cap Index Fund realized $20,476,000 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. The Mid-Cap Index Fund also used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from net investment income and realized capital gains. Accordingly, the fund has reclassified $1,575,000 from undistributed net investment income, and $2,146,000 from accumulated net realized gains, to paid-in capital. At December 31, 2002, the funds had the following tax-basis amounts available for distribution and capital losses available to offset future net capital gains: 66 - -------------------------------------------------------------------------------- Amount Available for Distribution Capital Losses Ordinary Long-Term Expiration: Fiscal Income Capital Gain Amount Year(s) Ending Index Fund (000) (000) (000) December 31 - -------------------------------------------------------------------------------- Extended Market $401 -- $264,519 2009-2011 Mid-Cap (1,093)* -- -- -- - -------------------------------------------------------------------------------- *Amount of the fund's December 2002 dividend payable in January 2003 that will be used to reduce required 2003 ordinary income dividends. At December 31, 2002, net unrealized depreciation of investment securities for tax purposes was: - -------------------------------------------------------------------------------- (000) Net Unrealized Appreciated Depreciated Appreciation Index Fund Securities Securities (Depreciation) - -------------------------------------------------------------------------------- Extended Market $882,658 $(2,399,624) $(1,516,966) Mid-Cap 269,096 (896,322) (627,226) - -------------------------------------------------------------------------------- At December 31, 2002, the aggregate settlement value of open futures contracts expiring in March 2003 and the related unrealized depreciation were: - -------------------------------------------------------------------------------- (000) - -------------------------------------------------------------------------------- Aggregate Unrealized Number of Settlement Appreciation Index Fund/Futures Contracts Long Contracts Value (Depreciation) Extended Market/ S&P MidCap 400 Index 132 $28,373 $(263) Russell 2000 Index 149 28,549 (549) Mid-Cap/ S&P MidCap 400 Index 107 23,000 (161) Unrealized depreciation on open futures contracts is required to be treated as realized loss for tax purposes. D. During the year ended December 31, 2002, purchases and sales of investment securities other than temporary cash investments were: - -------------------------------------------------------------------------------- (000) - -------------------------------------------------------------------------------- Index Fund Purchases Sales - -------------------------------------------------------------------------------- Extended Market $ 885,327 $704,917 Mid-Cap 1,678,438 664,149 - -------------------------------------------------------------------------------- E. The market value of securities on loan to broker/dealers at December 31, 2002, and collateral received with respect to such loans were: - -------------------------------------------------------------------------------- (000) - -------------------------------------------------------------------------------- Market Value Cash of Loaned Collateral Index Fund Securities Received - -------------------------------------------------------------------------------- Extended Market $93,065 $123,920 Mid-Cap 46,339 49,304 - -------------------------------------------------------------------------------- 67 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. F. Capital share transactions for each class of shares were: - --------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31, 2002 2001 AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) EXTENDED MARKET Investor Shares Issued $699,391 33,544 $ 727,483 31,370 Issued in Lieu of Cash Distributions 22,749 1,208 131,597 6,046 Redeemed (600,107) (29,319) (1,135,725) (48,346) Net Increase (Decrease)--Investor Shares 122,033 5,433 (276,645) (10,930) Admiral Shares Issued 217,397 10,455 501,193 21,176 Issued in Lieu of Cash Distributions 5,147 273 22,281 1,021 Redeemed (200,823) (9,993) (155,632) (6,918) Net Increase (Decrease)--Admiral Shares 21,721 735 367,842 15,279 Institutional Shares Issued 265,407 12,612 218,134 9,578 Issued in Lieu of Cash Distributions 6,005 319 29,404 1,350 Redeemed (221,639) (10,859) (335,002) (14,477) Net Increase (Decrease)--Institutional Shares 49,773 2,072 (87,464) (3,549) VIPER Shares Issued 28,082 511 6,094 100 Issued in Lieu of Cash Distributions -- -- -- -- Redeemed -- -- -- -- Net Increase (Decrease)--VIPER Shares 28,082 511 6,094 100 - ------------------------------------------------------------------------------------------------------------------- Mid-Cap Investor Shares Issued $1,263,770 111,624 $1,136,312 98,181 Issued in Lieu of Cash Distributions 42,143 3,986 45,956 4,156 Redeemed (644,199) (59,639) (688,892) (61,095) Net Increase (Decrease)--Investor Shares 661,714 55,971 493,376 41,242 Admiral Shares Issued 406,131 7,971 216,530 4,190 Issued in Lieu of Cash Distributions 6,949 147 1,572 29 Redeemed (151,635) (3,124) (2,605) (50) Net Increase (Decrease)--Admiral Shares 261,445 4,994 215,497 4,169 Institutional Shares Issued 343,553 31,481 448,946 39,033 Issued in Lieu of Cash Distributions 11,623 1,094 9,834 871 Redeemed (227,506) (21,501) (111,469) (10,112) Net Increase (Decrease)--Institutional Shares 127,670 11,074 347,311 29,792 - -------------------------------------------------------------------------------------------------------------------
68 Report of Independent Accountants To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Extended Market Index Fund and Mid-Cap Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2002, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2002 by correspondence with the custodian and broker, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 5, 2003 Special 2002 Tax Information (unaudited) for Vanguard U.S. Stock Index Funds (Mid-Capitalization Portfolios) This information for the fiscal year ended December 31, 2002, is included pursuant to provisions of the Internal Revenue Code. The Mid-Cap Index Fund distributed $36,180,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year, all of which is designated as a 20% rate gain distribution. For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: - -------------------------------------------------------------------------------- Index Fund Percentage - -------------------------------------------------------------------------------- Extended Market 78.1% Mid-Cap 100 - -------------------------------------------------------------------------------- 69 - -------------------------------------------------------------------------------- Investing Is Fast and Easy on Vanguard.com If you're like many Vanguard investors, you believe in planning and taking control of your own investments. Vanguard.com(R) was built for you--and it's getting better all the time. Manage Your Investments With Ease Log on to Vanguard.com and: * See what you own (at Vanguard and elsewhere) and how you're doing by using our Consolidated View(TM) tool. * Check your overall asset allocation, no matter where your assets are held. * Compare your holdings with industry benchmarks. * Analyze your personal performance. * Invest online and even manage the mail you get from us. (Prefer to get fund reports like this one online? Just let us know!) * Set up a Watch List to make it easy to track funds and securities of interest. Plan Your Investments With Confidence Go to our PLANNING & Advice and Research Funds & Stocks sections and: * Take our Investor Questionnaire to find out what asset allocation might best suit your needs. * Find out how much you should save for retirement and for college costs. * Discover how investment costs affect your bottom line by using our Compare Fund Costs tool. * Find out how to maximize your after-tax returns in our PlainTalk(R) guide Be a Tax-Savvy Investor. * Attend our quarterly PlainTalk webcasts on investing. Find out what Vanguard.com can do for you. Log on today! 70 - -------------------------------------------------------------------------------- CAPITALIZE ON YOUR IRA Are you taking full advantage of your individual retirement account? You really should be. The contribution limits on IRAs were recently raised, making these tax-deferred accounts more powerful options for retirement savers. Here's how you can exploit your IRA--and improve your chances of having the retirement of your dreams. * Contribute the maximum amount each year. It may be an obvious point, but if you invest as much in your IRA as the law allows--currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over--you will increase the odds of meeting your retirement goals. "Max out" every year you can. * Make it automatic. Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit. * Consider cost. The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice. * Request a direct rollover when you change jobs. Don't spend your retirement assets before you've retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA. If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit Vanguard.com. You can open or fund your IRA on our website, and have a confirmation in your hand within minutes. 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 a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis. A 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. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the
- ----------------------------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ----------------------------------------------------------------------------------------------------------------------------------- Chairman of the Board, Chairman of the Board, Chief Executive Officer, and JOHN J. BRENNAN* Chief Executive Officer, Director/Trustee of The Vanguard Group, Inc., and of each of the investment (July 29, 1954) and Trustee companies served by The Vanguard Group. May 1987 (112) - ----------------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Adviser (October 23, 1937) (112) to Greenwich Associates (international business-strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - ----------------------------------------------------------------------------------------------------------------------------------- RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (December 23, 1945) (90) Chairman (January-September 1999), and Vice President (prior to December 2001 December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. - ----------------------------------------------------------------------------------------------------------------------------------- JOANN HEFFERNAN HEISEN Trustee Vice President, Chief Information Officer, and Member of the Executive (January 25, 1950) (112) Committee of Johnson & Johnson (pharmaceuticals/consumer products); July 1998 Director of the Medical Center at Princeton and Women's Research and Education Institute. - ----------------------------------------------------------------------------------------------------------------------------------- BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton (August 28, 1932) (110) University; Director of Prudential Insurance Co. of America, BKF Capital May 1977 (investment management), The Jeffrey Co. (a holding company), and NeuVis, Inc. (a software company). - ----------------------------------------------------------------------------------------------------------------------------------- ALFRED M. RANKIN, JR. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (October 8, 1941) (112) Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich January 1993 Corporation (industrial products/aircraft systems and services); Director of the Standard Products Company (a supplier for the automotive industry) until 1998. - ----------------------------------------------------------------------------------------------------------------------------------- J. LAWRENCE WILSON Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (March 2, 1936) (112) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University.
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. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
- ----------------------------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ----------------------------------------------------------------------------------------------------------------------------------- R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc. (April 25, 1951) (112) (since September 1997); Secretary of The Vanguard Group, and of each June 2001 of the investment companies served by The Vanguard Group; Principal of The Vanguard Group (prior to September 1997). - ----------------------------------------------------------------------------------------------------------------------------------- THOMAS J. HIGGINS Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the investment (May 21, 1957) (112) companies served by The Vanguard Group. July 1998 - -----------------------------------------------------------------------------------------------------------------------------------
*Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. VANGUARD SENIOR MANAGEMENT TEAM MORTIMOR J. BUCKLEY, Information Technology. JAMES H. GATELY, Director Investor Services. KATHLEEN C. GUBANICH, Human Resources. IAN A. MACKINNON, Fixed Income Group. F. WILLIAM MCNABB, III, Instititional Investor Group. MICHAEL S. MILLER, Planning and Developement. RALPH K. PACKARD, Chief Finanaicl Officer. GEORGE U. SAUTER, Quantitative Equity Group. - -------------------------------------------------------------------------------- JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. - -------------------------------------------------------------------------------- Vanguard, The Vanguard Group, Vanguard.com, Admiral, Explorer, Morgan, LifeStrategy, STAR, Wellesley, Wellington, Windsor, Consolidated View, PlainTalk, and the ship logo are trademarks of The Vanguard Group, Inc. S&P 500(R) and S&P MidCap 400 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. All other marks are the exclusive property of their respective owners. [SHIP] [THE VANGUARD GROUP LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 ABOUT OUR COVER The photographs of the sails and ship that appear on the cover of this report are copyrighted by Michael Kahn. FOR MORE INFORMATION 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. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com(R). Prospectuses may also be viewed online. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. 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 TEXT TELEPHONE 1-800-952-3335 (C)2002 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q980 022003 VANGUARD(R) U.S. STOCK INDEX FUNDS SMALL-CAPITALIZATION PORTFOLIOS ANNUAL REPORT * DECEMBER 31, 2002 Vanguard Small-Cap Index Fund Vanguard Small-Cap Growth Index Fund Vanguard Small-Cap Value Index Fund THE VANGUARD GROUP(R) EARNING YOUR TRUST EVERY DAY The past two years brought news of too many corporate scandals, with tales of greed and deception tarnishing Enron, Arthur Andersen, and WorldCom, among others. Given the questionable business dealings at some high-profile companies, investors can hardly be blamed for wondering whom they can trust. Vanguard is a name that should stand out. Why? Our unique corporate structure--The Vanguard Group is owned by each of its independently operated mutual funds and is charged with solely serving the funds' shareholders--ensures that our interests are aligned with yours. We have no other constituency to serve. We are client-focused because, quite frankly, it makes good business sense. Your trust is our most valuable asset, and every one of our crew members understands that his or her actions must meet the highest standards of ethical behavior and fiduciary responsibility. When you assess the combination of our organizational structure, the independent nature of each of our funds, our long track record of conducting business with integrity, and our total commitment to ethical behavior, we hope you will feel completely secure in entrusting your assets to us. There is no better place for them. - --JOHN J. BRENNAN /S/ JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER SUMMARY * In fiscal 2002, Vanguard's small-capitalization index funds posted total returns that ranged from -14.0% to -20.0%. * Vanguard Small-Cap Growth Index Fund outpaced its average competitor by more than 14 percentage points, but the two other small-cap funds lagged their respective peers. * For the third consecutive year, small-cap stocks outpaced the broader stock market, but the margin was slim. CONTENTS 1 Letter from the Chairman 7 Fund Profiles 10 Glossary of Investment Terms 11 Performance Summaries 14 Your Fund's After-Tax Returns 15 Results of Proxy Voting 17 Financial Statements 61 Advantages of Vanguard.com LETTER FROM THE CHAIRMAN Fellow Shareholder, A rally during the final months of 2002 did not prevent the broad stock market from posting its third consecutive yearly decline. Small-capitalization stocks once again outpaced the broad market, but this time the advantage was slim. Though Vanguard's three small-cap index funds met their objectives of closely tracking their target indexes, their benchmarks posted double-digit declines. We commend you for your patience and loyalty during these difficult times. - -------------------------------------------------------------------------------- 2002 TOTAL RETURNS YEAR ENDED DECEMBER 31 - -------------------------------------------------------------------------------- VANGUARD SMALL-CAP INDEX FUND Investor Shares -20.0% Admiral Shares -19.9 Institutional Shares -19.9 Average Small-Cap Core Fund* -18.2 Russell 2000 Index -20.5 - -------------------------------------------------------------------------------- VANGUARD SMALL-CAP GROWTH INDEX FUND Investor Shares -15.4% Institutional Shares -15.3 Average Small-Cap Growth Fund* -29.7 S&P SmallCap 600/Barra Growth Index -15.4 - -------------------------------------------------------------------------------- VANGUARD SMALL-CAP VALUE INDEX FUND Investor Shares -14.2% Institutional Shares -14.0 Average Small-Cap Value Fund* -10.3 S&P SmallCap 600/Barra Value Index -14.5 - -------------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. The table at left shows the 12-month total returns (capital change plus reinvested distributions) for the funds' various share classes, their average mutual fund peers, and the unmanaged indexes. In relative terms, Vanguard(R) Small-Cap Growth Index Fund had a solid year--the -15.4% return of its Investor Shares was about half the -29.7% decline of its average peer. Vanguard(R) Small-Cap Index Fund and Vanguard(R) Small-Cap Value Index Fund lagged the returns of their average competitors by less than 2 and 4 percentage points, respectively. Each fund's total returns are based on the change in net asset value during the year and reflect income dividends and capital gains distributions. The table on page 6 provides details. If you hold the fund in a taxable account, you may wish to review the after-tax returns shown on page 14. AMID CORPORATE SCANDALS, STOCKS FELL FOR A THIRD CONSECUTIVE YEAR Lawmakers, prosecutors, and securities-industry regulators ramped up their efforts to expose unethical - -------------------------------------------------------------------------------- ADMIRAL(TM) SHARES A LOWER-COST CLASS OF SHARES AVAILABLE TO MANY LONGTIME SHAREHOLDERS AND TO THOSE WITH SIGNIFICANT INVESTMENTS IN THE FUND. - -------------------------------------------------------------------------------- 1 and illegal business practices in 2002. As revelations of fraudulent accounting practices mounted--helping to push a handful of well-known companies into bankruptcy--some investors lost confidence in the financial markets. Economic uncertainty, the threat of terrorism, and the prospect of war with Iraq also weighed on the nation. - -------------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ---------------------------------- ONE THREE FIVE YEAR YEARS YEARS - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) -21.7% -14.2% -0.6% Russell 2000 Index (Small-caps) -20.5 -7.5 -1.4 Wilshire 5000 Index (Entire market) -20.9 -14.4 -0.9 MSCI All Country World Index Free ex USA (International) -14.7 -16.4 -2.7 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 10.3% 10.1% 7.5% (Broad taxable market) Lehman Municipal Bond Index 9.6 8.8 6.1 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 1.7 3.9 4.3 - -------------------------------------------------------------------------------- CPI Consumer Price Index 2.4% 2.4% 2.3% - -------------------------------------------------------------------------------- It was all too much for the stock market, which skidded -20.9% as measured by the Wilshire 5000 Total Market Index. Share prices declined -22.0%--their worst calendar-year performance since 1974--while dividends provided an income return of just 1.1%. The three down years made for the longest bear market since 1939-1941. Stocks of all kinds declined. Growth stocks--shares in companies that are expected to increase their earnings quickly--plunged -28.0%, according to the Russell 3000 Growth Index. Value stocks also proved disappointing: The Russell 3000 Value Index fell -15.2%. Sorted by market capitalization, the declines were more uniform. Large-cap stocks, as measured by the Russell 1000 Index, sank -21.7%. Small-caps, as measured by the Russell 2000 Index, dropped -20.5%. THE ECONOMY BEGAN TO GROW AGAIN, SLOWLY; BONDS SHONE ONCE MORE Although the stock market seemed oblivious, the recession of 2001 gave way to halting economic growth in 2002. The production of goods and services rebounded nicely in the first quarter, only to decelerate in the second quarter. This pattern reappeared in the second half of the year: The nation's real (inflation-adjusted) gross domestic product grew at an annual rate of 4.0% between July and September, but lackluster holiday sales restrained growth in the fourth quarter to 0.7%. Growth in corporate earnings remained sluggish. The companies in the Standard & Poor's 500 Index recorded combined quarterly per-share profits of $11-$12, well off their first-quarter 2000 peak of $16. As a result, business spending on new plants, equipment, and technology remained weak. 2 Employers also pinched their payrolls; in the fall, unemployment stood at 6%, an eight-year high. Interest rates dropped, leading to a mortgage refinancing boom that supported consumer spending. The yield of the 3-month Treasury bill fell 53 basis points (0.53 percentage point) to 1.19% as of December 31, while the yield of the 10-year Treasury note declined 124 basis points to 3.81%. The Lehman Brothers Aggregate Bond Index, which tracks the market for taxable investment-grade bonds, returned 10.3% for the year. TECHNOLOGY STOCKS WERE AGAIN THE CULPRIT The decline in stocks was widespread across industry sectors. Within the Small-Cap Index Fund, only 2 out of 12 sectors had modest positive returns during the year. The 10 others posted double-digit declines. As in the previous two years, technology stocks were the hardest hit, collectively returning -46% during 2002--a result that would have been even worse had it not been for a rally in October and November. Three other sectors--health care, consumer discretionary (including retailers, restaurants, leisure-related companies), and producer durables (aerospace, construction, and machinery firms, among others)-- also dragged down the fund's performance. The same sectors (particularly tech) proved to be the largest detractors for the Small-Cap Growth Index Fund. However, for the Small-Cap Value Index Fund, materials and processing (chemical and paper manufacturers, mining companies, etc.) and producer durables had a larger negative impact than technology. - -------------------------------------------------------------------------------- TEN OUT OF TWELVE SECTORS WITHIN THE RUSSELL 2000 INDEX HAD DOUBLE-DIGIT DECLINES, WITH TECH STOCKS AMONG THE HARDEST HIT. - -------------------------------------------------------------------------------- Returns varied between our funds and their average peers in part because of the construction of the funds' target indexes. The Small-Cap Index Fund tracks the Russell 2000 Index, which is updated annually based strictly on market cap levels. (Note that during the summer of 2002, the fund transitioned from the "sampling" method of indexing to "replication," meaning it now holds all the stocks in the index.) In contrast, the Small-Cap Growth and Value Index Funds track the S&P SmallCap 600/Barra Growth and Value Indexes, which exclude stocks of companies with less than three years of operating history and four quarters of profits. Hence, these two funds did not hold some of the more speculative stocks that have plummeted over the past three years. (This also means the two funds did not enjoy the run-up in prices of these stocks before the March 2000 peak.) The absence of such stocks explains these funds' superior 12-month returns relative to the Small-Cap Index Fund. It also partly explains why the 3 Small-Cap Growth Index Fund outperformed its average peer fund. The Small-Cap Value Index Fund, however, lagged its average peer, primarily because its target index has little exposure to real estate stocks--one of the few industries whose returns stayed in the black. A MIXED LONG-TERM RECORD Over longer periods, our funds have provided better absolute returns. The table below shows annualized returns over the past decade for the Small-Cap Index Fund and since inception for the other two funds. It also shows annualized returns for the funds' benchmarks, along with the results of hypothetical $10,000 initial investments made in each. - -------------------------------------------------------------------------------- TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002* ---------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - -------------------------------------------------------------------------------- Small-Cap Index Fund Investor Shares 8.0% $21,535 Average Small-Cap Core Fund 10.0 25,939 Russell 2000 Index 7.2 19,959 - -------------------------------------------------------------------------------- Small-Cap Growth Index Fund Investor Shares -0.6% $9,728 Average Small-Cap Growth Fund -1.5 9,309 S&P SmallCap 600/Barra Growth Index -1.0 9,558 - -------------------------------------------------------------------------------- Small-Cap Value Index Fund Investor Shares 1.6% $10,756 Average Small-Cap Value Fund 2.3 11,099 S&P SmallCap 600/Barra Value Index 1.0 10,448 - -------------------------------------------------------------------------------- *Ten years for the Small-Cap Index Fund. For the Small-Cap Growth and Small-Cap Value Index Funds, the returns are annualized since May 21, 1998, the funds' inception date. All three Vanguard funds outpaced their target indexes--which is no mean accomplishment. That performance is a tribute to the skilled management provided by our adviser, Vanguard's Quantitative Equity Group. Ordinarily, because of real-world operating costs, an index fund can be expected to trail its target by roughly the amount of the fund's expense ratio (annual operating costs as a percentage of average net assets). Certainly Vanguard's low costs have helped to keep the gap narrow. In 2002, the funds' expense ratios ranged from 0.27% for Investor Shares to 0.10% for Institutional Shares. (In contrast, expense ratios for the average peer funds ranged from 1.40% to 1.65%--5 to 16 times those of our funds.) While our funds' performances relative to those of their target indexes were superior, our funds' long-term records versus their average competitors were mixed, with only the Small-Cap Growth Index Fund outpacing its average peer fund. Again, differing construction of the target indexes partly explains the discrepant performances. 4 Regardless of the methodology used in index composition, the indexing approach has advantages--diversification, disciplined investment strategies, predictable performance relative to the market, low turnover, and low costs--that mean more of the market's return goes into your pocket and less to taxes and to the fund management company. PREPARE FOR THE BEST--AND FOR THE WORST Is the worst over? The stock market's fourth-quarter rally was encouraging, but the truth is that no one knows what the markets' future returns will be. That uncertainty doesn't make us powerless; it puts a premium on sensible planning. That's why Vanguard advocates a balanced investment approach that includes stock, bond, and money market funds in allocations appropriate for your goals and unique financial circumstances. Diversification among asset classes is the best way to manage investment risk while still positioning your portfolio to take advantage of the markets' long-term rewards. It's also important to diversify within the different asset classes. Vanguard's small-cap index funds are fine components for an equity portfolio that also includes large-cap and international stocks. By following these simple principles, all investors--whether they are individuals just starting to invest or institutions with millions of dollars in the market--enhance their ability to stick with an investment program through the tough times in order to profit from the better times that will inevitably come. SINCERELY, JOHN J. BRENNAN /S/ JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 15, 2003 5 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2001-DECEMBER 31, 2002 DISTRIBUTIONS PER SHARE ---------------------------- STARTING ENDING INCOME CAPITAL VANGUARD INDEX FUND SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- Small-Cap Investor Shares $19.82 $15.66 $0.192 $0.000 Admiral Shares 19.82 15.66 0.207 0.000 Institutional Shares 19.82 15.66 0.219 0.000 - -------------------------------------------------------------------------------- Small-Cap Growth Investor Shares $10.87 $9.17 $0.025 $0.000 Institutional Shares 10.87 9.17 0.041 0.000 - -------------------------------------------------------------------------------- Small-Cap Value Investor Shares $10.29 $8.52 $0.090 $0.276 Institutional Shares 10.29 8.53 0.104 0.276 - -------------------------------------------------------------------------------- 6 FUND PROFILES AS OF DECEMBER 31, 2002 These Profiles provide snapshots of the funds' characteristics, compared where appropriate with both an unmanaged target index and a broad market index. Key terms are defined on page 10. SMALL-CAP INDEX FUND - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Number of Stocks 1,977 1,964 5,668 Median Market Cap $0.6B $0.6B $26.2B Price/Earnings Ratio 29.4x 29.5x 22.5x Price/Book Ratio 1.7x 1.7x 2.4x Yield 1.5% 1.7% Investor Shares 1.3% Admiral Shares 1.4% Institutional Shares 1.5% Return on Equity 12.0% 12.0% 21.3% Earnings Growth Rate 6.3% 6.3% 7.5% Foreign Holdings 0.2% 0.0% 0.3% Turnover Rate 32% -- -- Expense Ratio -- -- Investor Shares 0.27% Admiral Shares 0.18% Institutional Shares 0.10% Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) J.M. Smucker Co. 0.3% (foods) Covance, Inc. 0.3 (health products and services) Scios, Inc. 0.3 (pharmaceuticals) Corinthian Colleges, Inc. 0.2 (educational services) Del Monte Foods Co. 0.2 (foods) Overture Services, Inc. 0.2 (media) AGL Resources Inc. 0.2 (gas utilities) Hilb, Rogal and Hamilton Co. 0.2 (insurance) Neurocrine Biosciences, Inc. 0.2 (biotechnology) Ametek Aerospace Products Inc. 0.2 (manufacturing) - -------------------------------------------------------------------------------- Top Ten 2.3% - -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET BROAD FUND INDEX* FUND INDEX** - -------------------------------------------------------------------------------- R-Squared 1.00 1.00 0.61 1.00 Beta 1.00 1.00 1.01 1.00 - -------------------------------------------------------------------------------- INVESTMENT FOCUS Market Cap Small Style Blend - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Auto & Transportation 3.8% 3.8% 2.7% Consumer Discretionary 17.4 17.4 14.9 Consumer Staples 2.8 2.8 7.5 Financial Services 23.5 23.5 22.4 Health Care 12.3 12.4 14.1 Integrated Oils 0.0 0.0 3.7 Other Energy 4.0 4.0 2.2 Materials & Processing 8.8 8.8 3.8 Producer Durables 8.2 8.2 4.0 Technology 13.4 13.4 12.8 Utilities 5.1 5.1 7.2 Other 0.7 0.6 4.7 - -------------------------------------------------------------------------------- * Russell 2000 Index. ** Wilshire 5000 Index. VISIT OUR WEBSITE AT WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 7 FUND PROFILES (CONTINUED) SMALL-CAP GROWTH INDEX FUND - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Number of Stocks 211 210 5,668 Median Market Cap $1.0B $1.0B $26.2B Price/Earnings Ratio 23.0x 23.0x 22.5x Price/Book Ratio 3.0x 3.0x 2.4x Yield 0.7% 1.7% Investor Shares 0.3% Institutional Shares 0.5% Return on Equity 18.1% 18.1% 21.3% Earnings Growth Rate 19.1% 19.1% 7.5% Foreign Holdings 0.0% 0.0% 0.3% Turnover Rate 61% -- -- Expense Ratio -- -- Investor Shares 0.27% Institutional Shares 0.10% Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Cephalon, Inc. 1.7% (biotechnology) NVR, Inc. 1.5 (real estate) Alliant Techsystems, Inc. 1.5 (aerospace and defense) Pogo Producing Co. 1.4 (oil) Fair, Isaac & Co. Inc. 1.3 (financial services) Harman International Industries, Inc. 1.2 (consumer electronics) Newfield Exploration Co. 1.2 (oil) Zebra Technologies Corp. Class A 1.1 (computer technology) Coventry Health Care Inc. 1.1 (health products and services) Cullen/Frost Bankers, Inc. 1.0 (banking) - -------------------------------------------------------------------------------- Top Ten 13.0% - -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET BROAD FUND INDEX* FUND INDEX** - -------------------------------------------------------------------------------- R-Squared 1.00 1.00 0.54 1.00 Beta 1.00 1.00 1.02 1.00 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- INVESTMENT FOCUS Market Cap Small Style Growth - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Auto & Transportation 6.8% 5.5% 2.7% Consumer Discretionary 23.3 23.8 14.9 Consumer Staples 2.4 2.8 7.5 Financial Services 14.2 14.1 22.4 Health Care 18.9 20.0 14.1 Integrated Oils 0.0 0.0 3.7 Other Energy 6.7 3.4 2.2 Materials & Processing 5.7 6.9 3.8 Producer Durables 11.2 12.0 4.0 Technology 8.6 9.8 12.8 Utilities 2.2 1.7 7.2 Other 0.0 0.0 4.7 - -------------------------------------------------------------------------------- *S&P SmallCap 600/Barra Growth Index. **Wilshire 5000 Index. 8 SMALL-CAP VALUE INDEX FUND - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Number of Stocks 390 390 5,668 Median Market Cap $0.6B $0.6B $26.2B Price/Earnings Ratio 19.0x 19.0x 22.5x Price/Book Ratio 1.3x 1.3x 2.4x Yield 1.4% 1.7% Investor Shares 1.1% Institutional Shares 1.3% Return on Equity 11.9% 11.9% 21.3% Earnings Growth Rate 4.7% 4.7% 7.5% Foreign Holdings 0.0% 0.0% 0.3% Turnover Rate 57% -- -- Expense Ratio -- -- Investor Shares 0.27% Institutional Shares 0.10% Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) First American Corp. 1.0% (securities brokers and services) Washington Federal Inc. 1.0 (savings and loan) Raymond James Financial, Inc. 0.9 (securities brokers and services) Toll Brothers, Inc. 0.9 (real estate) Whitney Holdings Corp. 0.8 (banking) Staten Island Bancorp, Inc. 0.7 (savings and loan) The Timken Co. 0.7 (manufacturing) Skyworks Solutions, Inc. 0.7 (electronics) Piedmont Natural Gas, Inc. 0.7 (gas utilities) Jefferies Group, Inc. 0.7 (securities brokers and services) - -------------------------------------------------------------------------------- Top Ten 8.1% - -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET BROAD FUND INDEX* FUND INDEX** - -------------------------------------------------------------------------------- R-Squared 1.00 1.00 0.59 1.00 Beta 1.00 1.00 0.87 1.00 - -------------------------------------------------------------------------------- INVESTMENT FOCUS Market Cap Small Style Value - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Auto & Transportation 4.0% 5.9% 2.7% Consumer Discretionary 19.7 18.4 14.9 Consumer Staples 3.0 3.0 7.5 Financial Services 18.7 18.8 22.4 Health Care 5.9 4.4 14.1 Integrated Oils 0.0 0.0 3.7 Other Energy 5.3 8.4 2.2 Materials & Processing 14.4 13.5 3.8 Producer Durables 12.4 10.9 4.0 Technology 9.5 9.0 12.8 Utilities 6.7 7.3 7.2 Other 0.4 0.4 4.7 - -------------------------------------------------------------------------------- VISIT OUR WEBSITE AT WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. *S&P SmallCap 600/Barra Value Index. **Wilshire 5000 Index. 9 GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuat ions in relation to the ups and downs of the fund's target index or 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 or other equity index products 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 or 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. - -------------------------------------------------------------------------------- 10 PERFORMANCE SUMMARIES AS OF DECEMBER 31, 2002 All of the returns in this report 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. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. SMALL-CAP INDEX FUND - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1992-DECEMBER 31, 2002 SMALL-CAP AVERAGE INDEX FUND SMALL-CAP RUSSELL WILSHIRE INV CORE FUND 2000 5000 - -------------------------------------------------------------------------------- 199212 10000 10000 10000 10000 199303 10498 10370 10427 10426 199306 10661 10494 10655 10504 199309 11535 11228 11587 10929 199312 11870 11486 11891 11128 199403 11636 11284 11575 10713 199406 11242 10813 11124 10630 199409 12029 11593 11897 11207 199412 11810 11425 11674 11121 199503 12377 12226 12212 12125 199506 13528 13283 13357 13257 199509 14875 14818 14676 14469 199512 15204 15011 14994 15175 199603 16047 15994 15759 16027 199606 16944 17167 16548 16733 199609 17051 17429 16604 17207 199612 17959 17970 17467 18394 199703 17066 17233 16564 18513 199706 20023 20408 19249 21639 199709 23149 23818 22114 23750 199712 22375 22662 21373 24149 199803 24647 25392 23523 27351 199806 23405 24159 22426 27884 199809 18691 18688 17908 24530 199812 21790 21837 20829 29807 199903 20569 20361 19699 30932 199906 24094 24497 22763 33346 199909 22632 23352 21324 31141 199912 26831 28046 25257 36830 200003 28675 31410 27045 38235 200006 27770 31145 26022 36521 200009 28010 31000 26309 36581 200012 26116 29468 24492 32802 200103 24423 29729 22899 28755 200106 28091 34163 26171 30904 200109 22274 27141 20730 25991 200112 26926 31722 25101 29206 200203 27999 35553 26101 29487 200206 25812 32807 23921 25769 200209 20296 25344 18801 21439 200212 21535 25939 19959 23115 AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ------------------------------- FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT - -------------------------------------------------------------------------------- Small-Cap Index Fund Investor Shares* -20.02% -0.76% 7.97% $21,535 Average Small-Cap Core Fund** -18.23 2.74 10.00 25,939 Russell 2000 Index -20.48 -1.36 7.16 19,959 Wilshire 5000 Index -20.86 -0.87 8.74 23,115 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Small-Cap Index Fund Admiral Shares -19.95% -7.84% $210,098 Russell 2000 Index -20.48 -5.86 219,824 - -------------------------------------------------------------------------------- FINAL VALUE OF A ONE FIVE SINCE $10,000,000 YEAR YEARS INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Small-Cap Index Fund Institutional Shares -19.89% -0.62% 1.41% $10,800,840 Russell 2000 Index -20.48 -1.36 0.68 10,376,314 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-DECEMBER 31, 2002 FISCAL YEAR TOTAL RETURN RUSSELL 2000 INDEX 1993 18.70% 18.90% 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 2001 3.1 2.5 2002 -20 -20.5 - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +Inception dates are November 13, 2000, for the Admiral Shares and July 7, 1997, for the Institutional Shares. Note: See Financial Highlights tables on pages 50 and 51 for dividend and capital gains information. 11 PERFORMANCE SUMMARIES (CONTINUED) SMALL-CAP GROWTH INDEX FUND - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE MAY 21, 1998-DECEMBER 31, 2002 AVERAGE S&P SMALL CAP SMALL-CAP SMALL-CAP CAP 600/BARRA WILSHIRE GROWTH INDEX GROWTH FUND GROWTH INDEX 5000 INDEX 5/22/2002 10000 10000 10000 10000 199806 9731 9914 9758 10121 199809 7789 7667 7789 8904 199812 9523 9606 9504 10819 199903 8734 9305 8697 11227 199906 9683 10755 9663 12104 199909 9453 11023 9415 11303 199912 11409 15622 11363 13368 200003 12451 17997 12308 13878 200006 12491 16961 12363 13256 200009 12381 17257 12218 13278 200012 11590 14848 11428 11906 200103 10079 11925 9925 10437 200106 11590 13740 11366 11217 200109 9561 10660 9395 9434 200112 11500 13246 11293 10601 200203 11913 12704 11698 10703 200206 10844 10698 10652 9353 200209 9257 8840 9092 7782 200212 9728 9309 9558 8390 AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ------------------------------- FINAL VALUE ONE SINCE OF A $10,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Small-Cap Growth Index Fund Investor Shares* -15.41% -0.60% $9,728 Average Small-Cap Growth Fund** -29.72 -1.54 9,309 S&P SmallCap 600/Barra Growth Index -15.36 -0.97 9,558 Wilshire 5000 Index -20.86 -3.73 8,390 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FINAL VALUE OF A ONE SINCE $10,000,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Small-Cap Growth Index Fund Institutional Shares -15.26% -4.66% $8,831,734 S&P SmallCap 600/Barra Growth Index -15.36 -5.16 8,712,378 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) MAY 21, 1998-DECEMBER 31, 2002 S&P SMALLCAP 600/ FISCAL YEAR TOTAL RETURN BARRA GROWTH INDEX 1998 -4.8% -5.0% 1999 19.8 19.6 2000 1.6 0.6 2001 -0.8 -1.2 2002 -15.4 -15.4 - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +Inception dates are May 21, 1998, for the Investor Shares and May 24, 2000, for the Institutional Shares. Note: See Financial Highlights tables on page 52 for dividend and capital gains information. 12 SMALL-CAP VALUE INDEX FUND - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE MAY 21, 1998-DECEMBER 31, 2002 SMALL-CAP VALUE AVERAGE SMALL-CAP S&P SMALLCAP 600/ WILSHIRE VALUE INDEX VALUE FUND BARRA VALUE INDEX 5000 INDEX 5/22/2002 10000 10000 10000 10000 199806 9791 9605 9790 10121 199809 7701 7609 7669 8904 199812 8753 8492 8673 10819 199903 7922 7639 7845 11227 199906 9512 9035 9406 12104 199909 8807 8548 8708 11303 199912 9046 9029 8936 13368 200003 9323 9473 9189 13878 200006 9510 9614 9363 13256 200009 10249 10314 10085 13278 200012 11025 10634 10800 11906 200103 10939 10959 10700 10437 200106 12389 12450 12078 11217 200109 10328 10775 10088 9434 200112 12535 12377 12215 10601 200203 13841 13671 13467 10703 200206 13266 13158 12883 9353 200209 10281 10714 9982 7782 200212 10756 11099 10448 8390 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ------------------------------- FINAL VALUE ONE SINCE OF A $10,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Small-Cap Value Index Fund Investor Shares* -14.20% 1.59% $10,756 Average Small-Cap Value Fund** -10.32 2.29 11,099 S&P SmallCap 600/Barra Value Index -14.47 0.95 10,448 Wilshire 5000 Index -20.86 -3.73 8,390 - -------------------------------------------------------------------------------- FINAL VALUE OF A ONE SINCE $10,000,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Small-Cap Value Index Fund Institutional Shares -13.96% 6.97% $12,293,813 S&P SmallCap 600/Barra Value Index -14.47 6.15 12,007,244 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) MAY 21, 1998-DECEMBER 31, 2002 TOTAL S&P SMALL CAP 600/ FISCAL YEAR RETURN BARRA VALUE INDEX 1998 -12.5% -13.3% 1999 3.3 3.0 2000 21.9 20.9 2001 13.7 13.1 2002 -14.2 -14.5 - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +Inception dates are May 21, 1998, for the Investor Shares and December 7, 1999, for the Institutional Shares. Note: See Financial Highlights tables on pages 53 and 54 for dividend and capital gains information. 13 - -------------------------------------------------------------------------------- YOUR FUND'S AFTER-TAX RETURNS This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. (In the example that assumes all fund shares were sold, a negative pre-tax total return translates into a higher after-tax return. This is because the calculation assumes that the investor received a tax deduction for the loss incurred on the sale.) The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2002 ONE YEAR FIVE YEARS* TEN YEARS ------------------------------ SMALL-CAP INDEX FUND INVESTOR SHARES** Returns Before Taxes -20.02% -0.76% 7.97% Returns After Taxes on Distributions -20.40 -2.55 6.08 Returns After Taxes on Distributions and Sale of Fund Shares -12.29 -0.85 6.14 - -------------------------------------------------------------------------------- SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES** Returns Before Taxes -15.41% -0.60% -- Returns After Taxes on Distributions -15.50 -1.00 -- Returns After Taxes on Distributions and Sale of Fund Shares -9.46 -0.59 -- - -------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND INVESTOR SHARES** Returns Before Taxes -14.20% 1.59% -- Returns After Taxes on Distributions -15.24 -0.30 -- Returns After Taxes on Distributions and Sale of Fund Shares -8.46 0.41 -- - -------------------------------------------------------------------------------- *For Vanguard Small-Cap Growth and Small-Cap Value Index Funds, returns are annualized since inception on May 21, 1998. **Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. 14 NOTICE TO SHAREHOLDERS At a special meeting of shareholders on December 3, 2002, fund shareholders approved the following proposals: * ELECT TRUSTEES FOR EACH FUND.* The individuals listed in the table below were elected as trustees for each fund. All trustees served as trustees to the funds prior to the shareholder meeting. - -------------------------------------------------------------------------------- PERCENTAGE TRUSTEE FOR WITHHELD FOR - -------------------------------------------------------------------------------- John J. Brennan 70,380,839,727 1,259,995,409 98.2% Charles D. Ellis 70,360,941,814 1,279,893,321 98.2 Rajiv L. Gupta 70,274,493,869 1,366,341,266 98.1 JoAnn Heffernan Heisen 70,368,543,153 1,272,291,982 98.2 Burton G. Malkiel 70,284,920,657 1,355,914,478 98.1 Alfred M. Rankin, Jr. 70,401,439,983 1,239,395,152 98.3 J. Lawrence Wilson 70,272,336,850 1,368,498,286 98.1 - -------------------------------------------------------------------------------- * Results are for all funds within the same trust. * CHANGE EACH FUND'S POLICY ON INVESTING IN OTHER MUTUAL FUNDS. This change enables each fund to invest its cash reserves in specially created money market and short-term bond funds. This new cash management program, which is similar to those of other large mutual fund complexes, should help the funds to achieve greater diversification and to earn modestly higher returns on their cash reserves. The funds will need Securities and Exchange Commission approval before implementing this new cash management program. - -------------------------------------------------------------------------------- BROKER PERCENTAGE VANGUARD FUND FOR AGAINST ABSTAIN NON-VOTES FOR - -------------------------------------------------------------------------------- Small-Cap Index 1,946,387,432 79,968,990 45,828,999 400,505,529 78.7% Small-Cap Growth Index 328,613,564 13,046,876 6,490,741 8,519,213 92.1 Small-Cap Value Index 1,108,634,719 54,803,168 22,700,981 43,414,711 90.2 - -------------------------------------------------------------------------------- * AUTHORIZE EACH FUND'S TRUSTEES TO CHANGE THE TARGET INDEX. This change allows each fund's trustees to change the fund's target index if they determine that doing so is in the shareholders' best interests. Any new index chosen for a fund would be required to track the same market segment as the fund's existing index. - -------------------------------------------------------------------------------- BROKERPERCENTAGE VANGUARD FUND FOR AGAINST ABSTAIN NON-VOTES FOR - -------------------------------------------------------------------------------- Small-Cap Index 1,891,067,522 135,285,695 45,832,204 400,505,529 76.5% Small-Cap Growth Index 322,015,755 18,696,571 7,438,855 8,519,213 90.3 Small-Cap Value Index 1,114,977,819 49,514,543 21,646,507 43,414,711 90.7 - -------------------------------------------------------------------------------- (Continued on next page.) Note: Vote tabulations are rounded to the nearest whole number. 15 Notice to Shareholders (continued) * RECLASSIFY EACH FUND AS NONDIVERSIFIED. This change to "nondiversified" status enables each fund to continue tracking its target index in the event that the index becomes dominated by a small number of stocks. - -------------------------------------------------------------------------------- BROKERPERCENTAGE VANGUARD FUND FOR AGAINST ABSTAIN NON-VOTES FOR - -------------------------------------------------------------------------------- Small-Cap Index ,934,630,493 84,440,105 53,114,824 400,505,529 78.2% Small-Cap Growth Index 332,629,984 8,925,006 6,596,191 8,519,213 93.3 Small-Cap Value Index 1,118,667,367 43,601,367 23,870,135 43,414,711 91.0 - -------------------------------------------------------------------------------- Note: Vote tabulations are rounded to the nearest whole number. 16 FINANCIAL STATEMENTS AS OF DECEMBER 31, 2002 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, 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, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.7%)(1) - -------------------------------------------------------------------------------- J.M. Smucker Co. 311,367 12,396 * Covance, Inc. 436,362 10,730 * Scios, Inc. 324,900 10,585 * Corinthian Colleges, Inc. 265,700 10,059 * Del Monte Foods Co. 1,290,800 9,939 * Overture Services, Inc. 358,200 9,782 AGL Resources Inc. 391,500 9,513 Hilb, Rogal and Hamilton Co. 224,100 9,166 * Neurocrine Biosciences, Inc. 197,600 9,022 Ametek Aerospace Products Inc. 231,900 8,926 * Crown Cork & Seal Co., Inc. 1,118,500 8,892 Carlisle Co., Inc. 213,255 8,824 * Imation Corp. 246,200 8,637 * SanDisk Corp. 423,600 8,599 Healthcare Realty Trust Inc. REIT 292,907 8,568 * Western Digital Corp. 1,339,140 8,557 WPS Resources Corp. 220,000 8,540 Pan Pacific Retail Properties, Inc. REIT 233,760 8,539 * Novell, Inc. 2,537,063 8,474 * Cree, Inc. 511,200 8,358 * Techne Corp. 291,800 8,336 Kennametal, Inc. 241,042 8,311 * The Corporate Executive Board Co. 258,750 8,259 Realty Income Corp. REIT 234,000 8,190 * Skyworks Solutions, Inc. 947,800 8,170 * Payless ShoeSource, Inc. 157,900 8,127 WGL Holdings Inc. 339,414 8,119 Regis Corp. 303,850 7,897 Staten Island Bancorp, Inc. 384,800 7,750 Chesapeake Energy Corp. 995,180 7,703 Piedmont Natural Gas, Inc. 215,751 7,627 Federal Realty Investment Trust REIT 270,200 7,598 DQE Inc. 498,540 7,598 * Stericycle, Inc. 234,600 7,596 * Cytec Industries, Inc. 277,500 7,570 * Cabot Microelectronics Corp. 159,000 7,505 * Waste Connections, Inc. 194,300 7,502 Roper Industries Inc. 204,000 7,466 United Bankshares, Inc. 256,900 7,466 * IDEXX Laboratories Corp. 223,600 7,446 HRPT Properties Trust REIT 902,200 7,434 Commercial Federal Corp. 318,200 7,430 Shurgard Storage Centers, Inc. Class A REIT 236,800 7,421 Alexander & Baldwin, Inc. 286,648 7,393 Health Care Inc. REIT 273,200 7,390 Community First Bankshares, Inc. 278,800 7,377 UGI Corp. Holding Co. 193,300 7,227 Worthington Industries, Inc. 472,200 7,196 ONEOK, Inc. 374,464 7,190 Thornburg Mortgage, Inc. REIT 356,400 7,164 * Respironics, Inc. 234,291 7,130 Corn Products International, Inc. 236,400 7,123 * CACI International, Inc. 199,500 7,110 Chelsea Property Group REIT 213,400 7,108 17 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Maxtor Corp. 1,398,500 7,076 The Macerich Co. REIT 229,000 7,042 * ITT Educational Services, Inc. 298,100 7,020 * Key Energy Services, Inc. 782,300 7,017 Energen Corp. 240,100 6,987 * Airgas, Inc. 402,572 6,944 * Amylin Pharmaceuticals, Inc. 430,100 6,942 * Arbitron Inc. 206,200 6,908 * PacifiCare Health Systems, Inc. 244,700 6,876 Sensient Technologies Corp. 305,200 6,858 * Service Corp. International 2,058,800 6,835 Arch Coal, Inc. 316,500 6,833 Universal Corp. (VA) 184,000 6,801 Atmos Energy Corp. 289,248 6,745 * Take-Two Interactive Software, Inc. 284,300 6,678 Washington REIT 258,450 6,590 * Ameritrade Holding Corp. 1,161,700 6,575 Claire's Stores, Inc. 297,032 6,555 * ResMed Inc. 213,000 6,511 The South Financial Group, Inc. 313,922 6,486 Oshkosh Truck Corp. 105,300 6,476 * Avocent Corp. 291,398 6,475 Commerce Group, Inc. 172,200 6,458 Briggs & Stratton Corp. 150,900 6,409 Federal Signal Corp. 329,871 6,406 Black Box Corp. 142,300 6,375 IDEX Corp. 194,400 6,357 * Apria Healthcare Group Inc. 285,455 6,349 * Pediatrix Medical Group, Inc. 157,200 6,297 * AnnTaylor Stores Corp. 307,950 6,288 International Bancshares Corp. 159,353 6,286 American Capital Strategies, Ltd. 290,800 6,278 * Landstar System, Inc. 107,100 6,250 Pacific Capital Bancorp 245,533 6,249 Home Properties of New York, Inc. REIT 181,200 6,242 Great Lakes Chemical Corp. 261,400 6,242 Minerals Technologies, Inc. 143,496 6,192 * Electronics for Imaging, Inc. 380,600 6,189 Superior Industries International, Inc. 149,272 6,174 * FTI Consulting, Inc. 153,400 6,159 Invacare Corp. 184,800 6,154 Prentiss Properties Trust REIT 215,900 6,106 Blyth, Inc. 226,901 6,072 * United Stationers, Inc. 210,700 6,068 * Cal Dive International, Inc. 257,900 6,061 PNM Resources Inc. 253,763 6,045 * Hyperion Solutions Corp. 233,819 6,002 New Jersey Resources Corp. 189,300 5,980 East West Bancorp, Inc. 165,700 5,978 * Evergreen Resources, Inc. 133,100 5,970 * Varian, Inc. 206,400 5,922 * Louisiana-Pacific Corp. 734,200 5,918 * Tom Brown, Inc. 234,600 5,888 * Intergraph Corp. 328,200 5,829 SL Green Realty Corp. REIT 184,200 5,821 Werner Enterprises, Inc. 270,132 5,816 * Linens 'n Things, Inc. 253,900 5,738 * FMC Corp. 210,000 5,737 Bob Evans Farms, Inc. 245,637 5,736 Susquehanna Bancshares, Inc. 274,975 5,731 * Southwest Bancorporation of Texas, Inc. 198,500 5,719 CBL & Associates Properties, Inc. REIT 142,100 5,691 Jefferies Group, Inc. 135,132 5,671 * Unit Corp. 303,900 5,637 * R.H. Donnelley Corp. 192,200 5,633 Clarcor Inc. 174,325 5,625 Wallace Computer Services, Inc. 261,469 5,624 Post Properties, Inc. REIT 234,800 5,612 * Pinnacle Systems, Inc. 412,300 5,611 * Pacific Sunwear of California, Inc. 317,093 5,609 * Panera Bread Co. 161,100 5,608 * Too Inc. 237,920 5,596 * Hollywood Entertainment Corp. 369,300 5,576 Standard Pacific Corp. 224,600 5,559 * Interdigital Communications Corp. 381,788 5,559 Ferro Corp. 227,508 5,558 LNR Property Corp. 156,950 5,556 Olin Corp. 356,596 5,545 The Toro Co. 86,700 5,540 * EMCOR Group, Inc. 104,400 5,534 Texas Regional Bancshares, Inc. 155,162 5,515 Harleysville Group, Inc. 207,900 5,495 Banta Corp. 175,437 5,486 Tupperware Corp. 362,200 5,462 TrustCo Bank NY 504,487 5,438 USFreightways Corp. 188,700 5,425 UCBH Holdings, Inc. 127,300 5,404 * SEACOR SMIT Inc. 121,150 5,391 Southwest Gas Corp. 229,700 5,386 * Mueller Industries Inc. 197,400 5,379 CH Energy Group, Inc. 114,900 5,358 Cooper Cos., Inc. 213,800 5,349 * Gartner, Inc. Class A 580,500 5,341 * Crown Castle International Corp. 1,423,000 5,336 Mentor Corp. 138,400 5,328 Alexandria Real Estate Equities, Inc. REIT 125,000 5,325 Patina Oil & Gas Corp. 168,150 5,322 Chittenden Corp. 208,321 5,308 18 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Protein Design Labs, Inc. 622,600 5,292 * Ralcorp Holdings, Inc. 210,400 5,289 * Lattice Semiconductor Corp. 597,900 5,244 Florida Rock Industries, Inc. 137,800 5,243 First Bancorp/Puerto Rico 231,750 5,238 Delta & Pine Land Co. 256,300 5,231 * Sonic Corp. 255,275 5,231 * Borland Software Corp. 424,900 5,226 * Perrigo Co. 429,510 5,219 MDC Holdings, Inc. 135,956 5,202 * NPS Pharmaceuticals Inc. 206,200 5,190 Lincoln Electric Holdings, Inc. 223,100 5,165 H.B. Fuller Co. 198,878 5,147 Essex Property Trust, Inc. REIT 101,200 5,146 * Thomas & Betts Corp. 304,200 5,141 * Yellow Corp. 203,650 5,130 Nationwide Health Properties, Inc. REIT 343,500 5,128 * FLIR Systems, Inc. 105,000 5,124 * Kronos, Inc. 138,175 5,111 * Varian Semiconductor Equipment Associates, In 214,700 5,101 Chemical Financial Corp. 158,322 5,090 * Anixter International Inc. 218,500 5,080 * Beazer Homes USA, Inc. 83,817 5,079 * Hot Topic, Inc. 221,700 5,072 * Kansas City Southern 421,900 5,063 Mills Corp. REIT 172,347 5,057 * NBTY, Inc. 287,275 5,050 * Enzon Pharmaceuticals, Inc. 301,700 5,044 * Alliance Gaming Corp. 296,100 5,043 Airborne, Inc. 338,736 5,023 Charter Municipal Mortgage Acceptance Co. 288,400 5,010 * Stone Energy Corp. 149,741 4,995 Black Hills Corp. 187,700 4,978 W Holding Co., Inc. 303,300 4,977 * DRS Technologies, Inc. 158,700 4,972 * Internet Security Systems, Inc. 267,100 4,896 Brookline Bancorp, Inc. 410,493 4,885 Western Gas Resources, Inc. 132,110 4,868 FBR Asset Investment Corp. REIT 143,400 4,861 St. Mary Land & Exploration Co. 194,380 4,860 G & K Services, Inc. Class A 137,050 4,852 Ventas, Inc. REIT 423,700 4,851 Northwest Natural Gas Co. 178,550 4,832 Cabot Oil & Gas Corp. 194,626 4,823 * IGEN International, Inc. 112,000 4,799 * Earthlink, Inc. 877,600 4,783 * Heartland Express, Inc. 208,741 4,782 Cambrex Corp. 157,800 4,767 Potlatch Corp. 199,328 4,760 Trinity Industries, Inc. 250,546 4,750 Crompton Corp. 796,961 4,742 First Commonwealth Financial Corp. 12,200 4,740 CVB Financial Corp. 185,016 4,705 * DoubleClick Inc. 828,828 4,691 Otter Tail Corp. 174,200 4,686 * Sepracor Inc. 484,500 4,685 Tecumseh Products Co. Class A 106,123 4,683 * ADTRAN Inc. 142,200 4,678 * BroadWing Inc. 1,328,600 4,677 * Red Hat, Inc. 791,120 4,676 S & T Bancorp, Inc. 186,500 4,672 * Southern Union Co. 282,969 4,669 Curtiss-Wright Corp. 73,000 4,659 Sierra Pacific Resources 715,708 4,652 * Grey Wolf, Inc. 1,165,900 4,652 * Price Communications Corp. 336,314 4,651 Interstate Bakeries Corp. 304,600 4,645 * Mercury Computer Systems, Inc. 152,000 4,639 LandAmerica Financial Group, Inc. 130,400 4,623 Kellwood Co. 177,627 4,618 * Ohio Casualty Corp. 356,616 4,618 Liberty Corp. 118,300 4,590 * Bio-Rad Laboratories, Inc. Class A 118,600 4,590 * Parametric Technology Corp. 1,819,200 4,584 * Benchmark Electronics, Inc. 159,800 4,580 * J.B. Hunt Transport Services, Inc. 156,300 4,580 Hughes Supply, Inc. 167,550 4,577 The Manitowac Co., Inc. 179,500 4,577 Selective Insurance Group 181,482 4,570 * Ariba, Inc. 1,841,700 4,567 * Applera Corp.-Celera Genomics Group 477,600 4,561 * Macrovision Corp. 283,900 4,554 Technitrol, Inc. 281,300 4,540 John H. Harland Co. 205,000 4,537 * Trimeris, Inc. 105,100 4,529 MAF Bancorp, Inc. 133,351 4,525 Waypoint Financial Corp. 252,959 4,503 NDCHealth Corp. 225,700 4,491 Longs Drug Stores, Inc. 216,398 4,488 American Financial Holdings, Inc. 150,000 4,482 Georgia Gulf Corp. 193,000 4,466 * InterMune Inc. 174,900 4,462 * Dycom Industries, Inc. 335,600 4,447 UMB Financial Corp. 115,603 4,423 Wolverine World Wide, Inc. 290,940 4,396 * ADVO, Inc. 132,550 4,352 * Regeneron Pharmaceuticals, Inc. 234,600 4,342 Gables Residential Trust REIT 174,100 4,340 * Documentum, Inc. 277,000 4,338 19 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Cognex Corp. 235,000 4,331 Republic Bancorp, Inc. 367,444 4,325 Brady Corp. Class A 129,100 4,305 Matthews International Corp. 192,300 4,294 * Tetra Tech, Inc. 351,402 4,287 * Station Casinos, Inc. 241,700 4,278 Massey Energy Co. 439,300 4,270 * Wilson Greatbatch Technologies, Inc. 6,100 4,266 * US Oncology, Inc. 490,782 4,255 * AmeriPath, Inc. 197,700 4,251 La Quinta Corp. REIT 961,122 4,229 * Foundry Networks, Inc. 600,500 4,228 Baldor Electric Co. 213,627 4,219 * UICI 270,700 4,209 Millennium Chemicals, Inc. 441,800 4,206 * American Italian Pasta Co. 116,400 4,188 * OSI Pharmaceuticals, Inc. 254,800 4,179 * Philadelphia Consolidated Holding Corp. 118,000 4,177 Hancock Holding Co. 93,460 4,173 * Jack in the Box Inc. 240,000 4,150 First Financial Bancorp 252,782 4,143 * Cognizant Technology Solutions Corp. 57,300 4,139 MacDermid, Inc. 180,900 4,134 FactSet Research Systems Inc. 146,200 4,133 First Citizens BancShares Class A 42,700 4,125 Cathay Bancorp, Inc. 108,266 4,113 * P.F. Chang's China Bistro, Inc. 113,300 4,113 ABM Industries Inc. 264,500 4,100 Kaydon Corp. 193,010 4,094 Brandywine Realty Trust REIT 187,200 4,083 * Coherent, Inc. 202,800 4,046 * Ascential Software Corp. 1,684,600 4,043 * Abgenix, Inc. 547,500 4,035 * OfficeMax, Inc. 805,300 4,027 * Plantronics, Inc. 265,100 4,011 * Avid Technology, Inc. 174,700 4,009 * Oceaneering International, Inc. 161,700 4,000 Cleco Corp. 284,102 3,977 * Credence Systems Corp. 424,307 3,959 * American Tower Corp. Class A 1,120,100 3,954 * Sybron Dental Specialties, Inc. 265,300 3,940 FelCor Lodging Trust, Inc. REIT 344,300 3,939 Acuity Brands, Inc. 290,600 3,935 Kilroy Realty Corp. REIT 170,600 3,932 Owens & Minor, Inc. Holding Co. 239,237 3,928 * Rambus Inc. 584,900 3,925 Commercial Net Lease Realty REIT 255,900 3,923 * Priority Healthcare Corp. Class B 168,900 3,918 Fred's, Inc. 151,937 3,905 Hollinger International, Inc. 384,300 3,904 * Arkansas Best Corp. 150,200 3,902 The Pep Boys (Manny, Moe & Jack) 336,300 3,901 * TriQuint Semiconductor, Inc. 919,583 3,899 First Charter Corp. 216,400 3,895 Westar Energy, Inc. 392,900 3,890 * Cost Plus, Inc. 135,550 3,886 Nordson Corp. 156,309 3,881 Avista Corp. 335,400 3,877 Provident Bankshares Corp. 167,602 3,873 * Electro Scientific Industries, Inc. 193,100 3,862 Quanex Corp. 114,900 3,849 * Axcelis Technologies, Inc. 686,100 3,848 * Rare Hospitality International Inc. 138,700 3,831 A. Schulman Inc. 205,436 3,823 Sun Communities, Inc. REIT 104,300 3,814 * ImClone Systems, Inc. 358,900 3,812 Horace Mann Educators Corp. 247,546 3,795 * Pharmaceutical Resources, Inc. 126,600 3,773 * Stewart Enterprises, Inc. Class A 676,700 3,770 Amcore Financial, Inc. 173,020 3,755 Lennox International Inc. 298,700 3,749 Nu Skin Enterprises, Inc. 309,500 3,705 Thor Industries, Inc. 107,500 3,701 * CONMED Corp. 188,425 3,691 Glimcher Realty Trust REIT 207,700 3,687 Strayer Education, Inc. 64,049 3,683 * Hutchinson Technology, Inc. 177,900 3,683 * SCP Pool Corp. 125,850 3,675 * Joy Global Inc. 325,700 3,667 * THQ Inc. 276,375 3,662 Umpqua Holdings Corp. 200,487 3,659 * Alaska Air Group, Inc. 168,604 3,650 * Sylvan Learning Systems, Inc. 222,284 3,645 * Dionex Corp. 122,700 3,645 * Quiksilver, Inc. 136,600 3,642 * MPS Group, Inc. 655,645 3,632 The Trust Co. of New Jersey 130,270 3,626 * Dollar Thrifty Automotive Group, Inc. 171,400 3,625 * CUNO Inc. 109,350 3,622 * El Paso Electric Co. 328,700 3,616 Chateau Communities, Inc. REIT 157,100 3,613 * Mentor Graphics Corp. 459,300 3,610 * Spinnaker Exploration Co. 163,700 3,610 Impac Mortgage Holdings, Inc. REIT 313,500 3,605 * Tractor Supply Co. 95,800 3,602 Vintage Petroleum, Inc. 340,900 3,596 Harleysville National Corp. 134,513 3,594 * Insight Communications Co., Inc. 290,000 3,590 20 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- NBT Bancorp, Inc. 210,286 3,590 * Kirby Corp. 130,800 3,583 Texas Industries, Inc. 147,320 3,580 Capital Automotive REIT 150,100 3,557 * Ryan's Family Steak Houses, Inc. 311,600 3,537 * Martek Biosciences Corp. 140,000 3,522 * Silicon Laboratories Inc. 184,500 3,520 * Kroll Inc. 184,300 3,516 Modine Manufacturing Co. 198,855 3,516 * First Federal Financial Corp. 121,250 3,510 * Knight Transportation, Inc. 166,864 3,504 * Keane, Inc. 389,520 3,502 * ATMI, Inc. 189,000 3,500 Delphi Financial Group, Inc. 92,205 3,500 Westbanco Inc. 149,579 3,499 Anthracite Capital Inc. REIT 320,600 3,495 Granite Construction Co. 225,257 3,491 National Penn Bancshares Inc. 131,150 3,482 Reliance Steel & Aluminum Co. 166,400 3,468 * CV Therapeutics, Inc. 190,300 3,467 * TIBCO Software Inc. 560,740 3,465 UniSource Energy Corp. 200,260 3,462 * Coinstar, Inc. 152,800 3,461 Surewest Communications 92,990 3,459 * United Defense Industries Inc. 148,100 3,451 * Maverick Tube Corp. 264,100 3,441 Albany International Corp. 166,184 3,433 * Aztar Corp. 240,300 3,431 * Atlantic Coast Airlines Holdings Inc. 285,100 3,430 * Men's Wearhouse, Inc. 199,850 3,427 USEC Inc. 568,400 3,422 * EGL, Inc. 240,050 3,421 Overseas Shipholding Group Inc. 191,094 3,421 * PSS World Medical, Inc. 500,062 3,420 * Christopher & Banks Corp. 164,800 3,420 Seacoast Financial Services Corp. 170,600 3,414 GlobespanVirata, Inc. 772,778 3,408 * Tekelec 325,900 3,406 * Exar Corp. 274,200 3,400 * Journal Register Co. 191,200 3,400 Kimball International, Inc. Class B 238,000 3,392 * United Natural Foods, Inc. 133,700 3,389 Colonial Properties Trust REIT 99,600 3,380 * Penn National Gaming, Inc. 213,100 3,380 Wabtec Corp. 240,556 3,377 * Simpson Manufacturing Co. 102,600 3,376 Senior Housing Properties Trust REIT 317,900 3,373 Harbor Florida Bancshares, Inc. 149,584 3,369 * ProAssurance Corp. 160,396 3,368 * Corrections Corp. of America REIT 195,887 3,359 City Holding Co. 118,700 3,353 Regal-Beloit Corp. 161,800 3,349 * Newport Corp. 266,100 3,342 Casey's General Stores, Inc. 273,457 3,339 * Hovnanian Enterprises Class A 105,300 3,338 * Teledyne Technologies, Inc. 212,858 3,338 * Chiquita Brands International, Inc. 251,300 3,332 * IHOP Corp. 138,700 3,329 * Entegris Inc. 322,993 3,327 * Terex Corp. 298,200 3,322 * Mediacom Communications Corp. 376,500 3,317 Winnebago Industries, Inc. 84,500 3,315 * Argosy Gaming Co. 174,800 3,309 * Net.Bank, Inc. 341,800 3,309 * Charming Shoppes, Inc. 789,630 3,301 * American Management Systems, Inc. 275,200 3,300 First Financial Bankshares, Inc. 86,687 3,294 * Paxar Corp. 223,156 3,292 * Moog Inc. 105,950 3,289 Engineered Support Systems, Inc. 89,473 3,280 Taubman Co. REIT 201,600 3,272 Sterling Bancshares, Inc. 267,650 3,271 Landry's Restaurants, Inc. 153,900 3,269 * Province Healthcare Co. 335,575 3,265 Florida East Coast Industries, Inc. Class A 140,700 3,264 * Jones Lang Lasalle Inc. 211,600 3,254 * Choice Hotel International, Inc. 142,700 3,239 Grey Global Group Inc. 5,300 3,239 Wintrust Financial Corp. 103,013 3,226 * Manhattan Associates, Inc. 136,200 3,222 * VISX Inc. 335,500 3,214 C & D Technologies, Inc. 181,700 3,211 Sandy Spring Bancorp, Inc. 101,900 3,210 * NetIQ Corp. 259,904 3,210 * Sycamore Networks, Inc. 1,109,800 3,207 The Laclede Group, Inc. 132,200 3,199 * Palm, Inc. 203,400 3,193 * Barra, Inc. 104,950 3,183 * Gaylord Entertainment Co. Class A 153,875 3,170 * Websense, Inc. 148,000 3,161 * Cross Country, Inc. 226,460 3,159 Heritage Property Investment Trust REIT 126,400 3,156 Frontier Oil Corp. 183,200 3,155 * McDATA Corp. Class A 443,100 3,146 * Group 1 Automotive, Inc. 131,600 3,143 A.O. Smith Corp. 116,200 3,139 * Triumph Group, Inc. 98,200 3,137 * Inhale Therapeutic Systems 387,200 3,129 * Sunrise Assisted Living, Inc. 125,100 3,114 22 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Hanover Compressor Co. 338,900 3,111 * ESCO Technologies Inc. 83,900 3,104 * Resources Connection, Inc. 133,700 3,103 * Legato Systems, Inc. 611,295 3,075 Anchor Bancorp Wisconsin Inc. 148,000 3,071 * Watson Wyatt & Co. Holdings 141,000 3,067 * Boyd Gaming Corp. 218,000 3,063 * Vitesse Semiconductor Corp. 1,399,200 3,057 Unizan Financial Corp. 154,780 3,057 * Hecla Mining Co. 603,660 3,055 MGE Energy, Inc. 113,875 3,049 Roadway Corp. 82,700 3,044 * The Yankee Candle Co., Inc. 190,000 3,040 Connecticut Bancshares, Inc. 79,000 3,038 * Genesis Health Ventures, Inc. 196,400 3,034 * Identix, Inc. 588,889 3,033 Ruddick Corp. 220,064 3,013 * Power Integrations, Inc. 176,800 3,006 Flowers Foods, Inc. 154,050 3,006 * Adolor Corp. 219,000 3,005 * DSP Group Inc. 189,746 3,002 * MEMC Electronic Materials, Inc. 396,500 3,002 Dime Community Bancshares 156,640 3,000 * Rayovac Corp. 225,000 2,999 * Actuant Corp. 64,400 2,991 * Lone Star Technologies, Inc. 200,400 2,984 * eFunds Corp. 327,400 2,983 Wellman, Inc. 221,000 2,981 * Headwaters Inc. 192,100 2,979 Alabama National BanCorporation 68,400 2,975 WD-40 Co. 112,054 2,960 Brown Shoe Co., Inc. 123,300 2,938 Kelly Services, Inc. Class A 118,800 2,936 UIL Holdings Corp. 84,150 2,934 * AmSurg Corp. 143,400 2,930 Alfa Corp. 243,500 2,925 * Advanced Digital Information Corp. 435,800 2,924 * Aeroflex, Inc. 421,350 2,907 Frontier Financial Corp. 113,300 2,898 * Odyssey Healthcare, Inc. 83,300 2,891 * MAXIMUS, Inc. 110,700 2,889 * Nextel Partners, Inc. 474,900 2,883 United National Bancorp 124,547 2,871 Lexington Corporate Properties Trust REIT 180,500 2,870 * Fossil, Inc. 140,950 2,867 * Offshore Logistics, Inc. 130,700 2,865 * CommScope, Inc. 362,154 2,861 * Progress Software Corp. 220,300 2,853 * FileNET Corp. 233,800 2,852 Empire District Electric Co. 156,370 2,846 Russell Corp. 169,925 2,845 Wausau-Mosinee Paper Corp. 253,362 2,843 * DIANON Systems, Inc. 59,574 2,842 United Community Banks, Inc. 116,530 2,840 * Iomega Corp. 360,700 2,831 Entertainment Properties Trust REIT 120,200 2,827 * Sotheby's Holdings Class A 313,900 2,825 Pulitzer, Inc. 62,800 2,823 Stewart & Stevenson Services, Inc. 199,510 2,821 * Itron, Inc. 147,000 2,818 New Century Financial Corp. 110,800 2,813 * NCI Building Systems, Inc. 128,900 2,813 Bowne & Co., Inc. 235,300 2,812 * Ionics, Inc. 123,200 2,809 * Cyberonics, Inc. 152,583 2,808 Libbey, Inc. 107,900 2,805 Sterling Financial Corp. (PA) 118,600 2,805 Bandag, Inc. 72,500 2,804 * Superior Energy Services, Inc. 341,260 2,798 * Genesis Microchip Inc. 214,420 2,798 IRT Property Co. REIT 235,698 2,798 * Monaco Coach Corp. 167,775 2,777 South Jersey Industries, Inc. 84,036 2,775 * Spherion Corp. 413,506 2,770 Mid-State Bancshares 168,300 2,764 BankAtlantic Bancorp, Inc. Class A 292,366 2,763 Summit Properties, Inc. REIT 155,200 2,763 * ICU Medical, Inc. 74,050 2,762 * Stage Stores, Inc. 131,260 2,762 MB Financial, Inc. 79,295 2,759 Corus Bankshares Inc. 63,100 2,755 Commercial Metals Co. 169,332 2,750 * Biosite Inc. 80,600 2,742 * Commonwealth Telephone Enterprises, Inc. 76,299 2,735 R.L.I. Corp. 97,900 2,731 * Nortek Holdings, Inc. 59,700 2,731 Tredegar Corp. 181,900 2,729 * Knight Trading Group, Inc. 569,400 2,727 * INAMED Corp. 88,500 2,726 * Viasys Healthcare Inc. 183,000 2,725 * Brooks-PRI Automation, Inc. 237,460 2,721 * Insituform Technologies Inc. Class A 159,200 2,714 Woodward Governor Co. 62,300 2,710 * Haemonetics Corp. 126,250 2,709 Pacific Northwest Bancorp 108,200 2,705 * Steel Dynamics, Inc. 224,100 2,696 * Westport Resources Corp. 129,350 2,690 22 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- CPB, Inc. 98,000 2,690 * SurModics, Inc. 93,600 2,684 Boston Private Financial Holdings, Inc. 135,020 2,681 Cornerstone Realty Income Trust, Inc. REIT 336,700 2,680 JDN Realty Corp. REIT 244,595 2,678 * eSPEED, Inc. Class A 158,000 2,677 * Quest Software, Inc. 259,600 2,676 * Photronics Inc. 195,100 2,673 Manufactured Home Communities, Inc. REIT 90,200 2,673 * The Medicines Co. 166,600 2,669 * The Gymboree Corp. 168,000 2,664 Arrow International, Inc. 65,500 2,664 Inter-Tel, Inc. 127,100 2,658 * Zoran Corp. 188,700 2,655 Solutia, Inc. 730,700 2,652 Hudson River Bancorp. Inc. 107,000 2,648 Thomas Industries, Inc. 101,550 2,646 * Genlyte Group, Inc. 84,900 2,645 PMA Capital Corp. Class A 184,411 2,643 * Thoratec Corp. 345,813 2,639 Methode Electronics, Inc. Class A 240,200 2,635 Glacier Bancorp, Inc. 111,300 2,623 * Telik, Inc. 224,900 2,622 * Genesco, Inc. 140,600 2,619 Independent Bank Corp. (MI) 86,538 2,619 Bedford Property Investors, Inc. REIT 101,800 2,615 * MICROS Systems, Inc. 116,500 2,612 Suffolk Bancorp 82,400 2,605 * webMethods, Inc. 316,350 2,600 * The Nautilus Group, Inc. 194,475 2,598 EastGroup Properties, Inc. REIT 101,700 2,593 * FEI Co. 169,500 2,592 * Duane Reade Inc. 152,200 2,587 * Plexus Corp. 294,484 2,586 * Connetics Corp. 214,996 2,584 * Cell Genesys, Inc. 231,253 2,579 * Prime Hospitality Corp. 316,400 2,579 Pennsylvania REIT 99,000 2,574 National Health Investors REIT 159,900 2,571 Arch Chemicals, Inc. 140,800 2,570 * Longview Fibre Co. 355,195 2,568 MFA Mortgage Investments, Inc. REIT 305,400 2,565 Schweitzer-Mauduit International, Inc. 104,500 2,560 * Esterline Technologies Corp. 144,400 2,552 Applied Industrial Technology, Inc. 134,800 2,548 * Stewart Information Services Corp. 118,900 2,543 * Photon Dynamics, Inc. 111,500 2,542 * Griffon Corp. 185,730 2,530 * Exelixis, Inc. 316,020 2,528 * Anteon International Corp. 105,300 2,527 Rollins, Inc. 99,200 2,525 * Bay View Capital Corp. 438,599 2,522 * Sinclair Broadcast Group, Inc. 216,000 2,512 * ShopKo Stores, Inc. 201,500 2,509 * California Pizza Kitchen, Inc. 99,500 2,507 * Papa John's International, Inc. 89,935 2,507 * Hain Celestial Group, Inc. 164,900 2,506 Community Bank System, Inc. 79,800 2,502 First Sentinel Bancorp Inc. 173,636 2,499 Sovran Self Storage, Inc. REIT 87,900 2,493 PFF Bancorp, Inc. 79,500 2,484 * Cray Inc. 323,740 2,483 * Powerwave Technologies, Inc. 457,779 2,472 Commonwealth Bancorp 53,300 2,472 * Rogers Corp. 111,000 2,470 * Saxon Capital Inc. 197,260 2,468 Alpharma, Inc. Class A 206,634 2,461 American States Water Co. 106,300 2,461 Speedway Motorsports, Inc. 95,200 2,454 R & G Financial Corp. Class B 105,500 2,453 * Silicon Image, Inc. 408,100 2,449 * Myriad Genetics, Inc. 167,700 2,448 * Triarc Cos., Inc. Class A 93,200 2,446 * WebEx Communications, Inc. 162,800 2,442 Chemed Corp. 68,900 2,436 F & M Bancorp 75,759 2,424 * Openwave Systems Inc. 1,211,600 2,423 * BankUnited Financial Corp. 149,600 2,421 Mid-America Apartment Communities, Inc. REI 98,900 2,418 * Quantum Corp. 905,500 2,418 Belden, Inc. 158,400 2,411 * Pre-Paid Legal Services, Inc. 92,000 2,410 * CIMA Labs Inc. 99,483 2,407 * Alloy, Inc. 219,600 2,405 Weis Markets, Inc. 77,400 2,403 * Alkermes, Inc. 383,000 2,401 * Insight Enterprises, Inc. 288,900 2,401 * Unilab Corp. 131,140 2,400 * Actel Corp. 147,400 2,391 * Shuffle Master, Inc. 124,580 2,381 RAIT Investment Trust REIT 110,000 2,376 * W-H Energy Services, Inc. 162,462 2,370 * GrafTech International Ltd. 397,018 2,366 Royal Gold, Inc. 94,830 2,363 ElkCorp 136,325 2,358 M/I Schottenstein Homes, Inc. 84,700 2,355 * Extreme Networks, Inc. 719,900 2,354 23 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Analogic Corp. 46,800 2,353 * International Multifoods Corp. 110,900 2,350 Gold Banc Corp., Inc. 236,800 2,349 * CNET Networks, Inc. 866,487 2,348 Russ Berrie and Co., Inc. 69,400 2,344 * Imagistics International Inc. 117,200 2,344 * Remington Oil & Gas Corp. 142,800 2,343 California Water Service Group 98,926 2,340 First Financial Corp.-Indiana 48,100 2,339 First Financial Holdings, Inc. 94,400 2,337 * Checkpoint Systems, Inc. 225,900 2,336 * United Online, Inc. 145,920 2,326 * Informatica Corp. 402,500 2,318 * Littelfuse, Inc. 137,500 2,318 First Merchants Corp. 101,711 2,318 First Federal Capital Corp. 120,000 2,317 * Scientific Games Corp. 319,000 2,316 Central Parking Corp. 122,600 2,312 * Jo-Ann Stores, Inc. Class A 100,620 2,311 * Genta Inc. 299,900 2,306 Park Electrochemical Corp. 120,000 2,304 Hooper Holmes, Inc. 375,100 2,303 * WMS Industries, Inc. 153,700 2,302 Tompkins Trustco, Inc. 52,200 2,302 Lone Star Steakhouse & Saloon, Inc. 118,900 2,300 * JAKKS Pacific, Inc. 170,650 2,299 * Integra LifeSciences Holdings 130,000 2,295 * URS Corp. 160,800 2,288 * Armor Holdings, Inc. 166,000 2,286 * O'Charley's Inc. 111,300 2,285 Novastar Financial, Inc. REIT 73,250 2,273 * Gardner Denver Inc. 111,800 2,270 * Enzo Biochem, Inc. 161,996 2,268 * The Topps Co., Inc. 259,600 2,259 Burlington Coat Factory Warehouse Corp. 125,740 2,257 * Digital River, Inc. 188,760 2,256 * CDI Corp. 83,300 2,247 West Pharmaceutical Services, Inc. 91,894 2,242 PS Business Parks, Inc. REIT 70,500 2,242 * Financial Federal Corp. 89,050 2,238 * The Dress Barn, Inc. 167,900 2,233 * PRG-Schultz International, Inc. 250,450 2,229 Community Trust Bancorp Inc. 88,524 2,225 Argonaut Group, Inc. 150,800 2,224 EDO Corp. 107,000 2,223 JLG Industries, Inc. 295,200 2,223 Cato Corp. Class A 102,800 2,219 * Universal Compression Holdings, Inc. 116,000 2,219 * S1 Corp. 496,000 2,212 American Medical Systems Holdings, Inc. 136,400 2,211 * Advanced Neuromodulation Systems, Inc. 62,800 2,204 * Trimble Navigation Ltd. 176,439 2,204 * Atrix Laboratories, Inc. 143,600 2,203 The Standard Register Co. 122,300 2,201 * Silicon Storage Technology, Inc. 544,900 2,201 Investors Real Estate Trust REIT 220,370 2,199 * CSK Auto Corp. 199,000 2,189 * USG Corp. 258,700 2,186 * Newpark Resources, Inc. 501,500 2,182 CARBO Ceramics Inc. 64,700 2,180 * Houston Exploration Co. 71,200 2,179 Aaron Rents, Inc. Class B 99,600 2,178 * Tularik, Inc. 291,709 2,176 RFS Hotel Investors, Inc. REIT 199,900 2,171 Franklin Electric, Inc. 45,200 2,170 * Possis Medical Inc. 120,400 2,167 * Intertrust Technologies Corp. 512,300 2,167 * Impath, Inc. 109,800 2,165 * ExpressJet Holdings, Inc. 211,200 2,165 PolyOne Corp. 552,000 2,164 * Isis Pharmaceuticals, Inc. 328,300 2,163 Greif Brothers Corp. Class A 90,900 2,163 * Sierra Health Services, Inc. 179,900 2,161 * Albany Molecular Research, Inc. 145,600 2,154 * Power-One, Inc. 379,410 2,151 * Boca Resorts, Inc. Class A 201,000 2,151 * InVision Technologies, Inc. 81,400 2,146 * Incyte Genomics, Inc. 470,417 2,145 Redwood Trust, Inc. REIT 77,300 2,141 * ProQuest Co. 109,200 2,140 Spartech Corp. 103,600 2,137 Fleming Cos., Inc. 325,000 2,135 Mid Atlantic Realty Trust REIT 122,600 2,133 Town & Country Trust REIT 100,800 2,127 Cohu, Inc. 144,600 2,126 * RehabCare Group, Inc. 111,400 2,126 * Palm Harbor Homes, Inc. 121,329 2,120 * K-V Pharmaceutical Co. Class A 90,900 2,109 * Zoll Medical Corp. 58,800 2,097 * ANSYS, Inc. 103,800 2,097 * SangStat Medical Corp. 185,500 2,096 Koger Equity, Inc. REIT 134,300 2,095 * NCO Group, Inc. 131,350 2,095 * Meritage Corp. 62,100 2,090 Odyssey Re Holdings Corp. 118,000 2,089 Omega Financial Corp. 58,100 2,083 Datascope Corp. 83,900 2,081 Action Performance Cos., Inc. 109,500 2,081 * Verity, Inc. 155,300 2,080 24 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Corixa Corp. 323,666 2,068 Tennant Co. 63,400 2,067 Anworth Mortgage Asset Corp. REIT 164,300 2,065 * School Specialty, Inc. 103,100 2,060 * Southwestern Energy Co. 179,800 2,059 Getty Realty Holding Corp. REIT 108,600 2,058 * Agile Software Corp. 265,800 2,057 * SPS Technologies, Inc. 86,600 2,057 * Veeco Instruments, Inc. 177,900 2,057 * Ventana Medical Systems, Inc. 89,100 2,054 Flagstar Bancorp, Inc. 95,050 2,053 * AMERIGROUP Corp. 67,700 2,052 Walter Industries, Inc. 188,900 2,046 Universal Forest Products, Inc. 95,900 2,045 Helix Technology Corp. 182,556 2,045 Penn Virginia Corp. 56,200 2,043 * Cerus Corp. 95,000 2,043 * Intermagnetics General Corp. 103,984 2,042 * Tesoro Petroleum Corp. 451,800 2,042 * Triad Guaranty, Inc. 55,400 2,042 * Mykrolis Corp. 279,200 2,038 * Symyx Technologies 161,500 2,033 Oshkosh B' Gosh, Inc. Class A 72,400 2,031 * Robert Mondavi Corp. Class A 65,500 2,031 * IDX Systems Corp. 119,033 2,027 Lance, Inc. 170,704 2,021 * PolyMedica Corp. 65,500 2,020 * Startek, Inc. 73,100 2,018 Universal Health Realty Income REIT 76,800 2,016 * ValueVision Media, Inc. 134,400 2,013 * Magnum Hunter Resources Inc. 337,500 2,008 * Vignette Corp. 1,635,700 2,007 * Handleman Co. 174,500 2,007 AMLI Residential Properties Trust REIT 94,300 2,007 * Ciber, Inc. 389,500 2,006 * Bright Horizons Family Solutions, Inc. 71,300 2,005 * Micromuse Inc. 524,400 2,003 Cubic Corp. 108,600 2,001 Landauer, Inc. 57,500 1,998 * SOURCECORP, Inc. 107,300 1,995 The Stride Rite Corp. 278,100 1,994 * Saga Communications, Inc. 104,875 1,993 * Plains Resources Inc. 168,000 1,991 * Sola International Inc. 153,000 1,989 * Teletech Holdings Inc. 273,900 1,989 * Korn/Ferry International 265,836 1,988 * Multimedia Games Inc. 72,300 1,985 * Standard Microsystem Corp. 101,900 1,984 * Western Wireless Corp. Class A 374,300 1,984 New England Business Service, Inc. 81,300 1,984 * Kulicke & Soffa Industries, Inc. 346,700 1,983 * PRIMEDIA Inc. 962,400 1,983 First Community Bancorp 60,200 1,982 Berry Petroleum Class A 116,200 1,981 * TETRA Technologies, Inc. 92,600 1,979 Fidelity Bankshares, Inc. 110,545 1,979 * Planar Systems, Inc. 95,900 1,978 * Asyst Technologies, Inc. 269,084 1,978 * Echelon Corp. 176,200 1,975 Watsco, Inc. 120,550 1,975 * Local Financial Corp. 134,700 1,973 The Marcus Corp. 138,500 1,967 Glenborough Realty Trust, Inc. REIT 110,200 1,964 * DuPont Photomasks, Inc. 84,300 1,960 * Nautica Enterprises, Inc. 176,314 1,959 * Wind River Systems Inc. 477,200 1,957 * Beverly Enterprises, Inc. 684,200 1,950 * General Communication, Inc. 290,177 1,947 * Global Industries Ltd. 466,700 1,946 * Transkaryotic Therapies, Inc. 196,400 1,944 * Ligand Pharmaceuticals Inc. Class B 362,000 1,944 * AFC Enterprises, Inc. 92,500 1,943 Sterling Bancorp 73,836 1,943 Pioneer Standard Electronics Inc. 211,650 1,943 * Tower Automotive, Inc. 431,500 1,942 Independent Bank Corp. (MA) 85,100 1,940 Capital City Bank Group, Inc. 49,500 1,940 * Range Resources Corp. 358,900 1,938 * Medarex, Inc. 490,200 1,936 * The Wet Seal, Inc. Class A 179,875 1,936 * SERENA Software, Inc. 122,500 1,934 * Jarden Corp. 81,000 1,933 Parkway Properties Inc. REIT 55,100 1,933 Farmer Brothers, Inc. 6,250 1,931 * Magna Entertainment Corp. Class A 311,200 1,929 * LTX Corp. 319,968 1,929 Integra Bank Corp. 108,266 1,929 * La Jolla Pharmaceutical Co. 296,800 1,929 U.S. Restaurant Properties, Inc. REIT 136,900 1,928 * Interwoven, Inc. 741,100 1,927 * Clark/Bardes Inc. 99,900 1,923 * Wright Medical Group, Inc. 110,080 1,922 NUI Corp. 111,300 1,921 * Hydrill Co. 81,500 1,921 * Fleetwood Enterprises, Inc. 244,400 1,919 25 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- First Community Bancshares, Inc. 62,288 1,916 * Playtex Products, Inc. 193,300 1,910 * JDA Software Group, Inc. 197,550 1,908 Oriental Financial Group Inc. 77,622 1,908 * Kopin Corp. 485,290 1,902 United Community Financial Corp. 219,800 1,901 Kramont Realty Trust REIT 129,700 1,900 * Per-Se Technologies, Inc. 211,516 1,897 * OmniVision Technologies, Inc. 139,750 1,896 * ScanSoft, Inc. 364,580 1,896 MeriStar Hospitality Corp. REIT 287,234 1,896 * Atwood Oceanics, Inc. 62,900 1,893 * RSA Security Inc. 314,700 1,885 Phillips-Van Heusen Corp. 162,700 1,881 * Systems & Computer Technology Corp. 218,400 1,878 * Denbury Resources, Inc. 166,200 1,878 * VCA Antech, Inc. 125,193 1,878 * Heidrick & Struggles International, Inc. 127,500 1,870 * Central Garden and Pet Co. 100,890 1,867 * InterCept, Inc. 110,200 1,866 * Trammell Crow Co. 207,050 1,863 Deltic Timber Corp. 69,700 1,861 * Oakley, Inc. 181,100 1,860 * Ocular Sciences, Inc. 119,600 1,856 Valmont Industries, Inc. 95,100 1,845 * Unifi, Inc. 350,760 1,841 * Cable Design Technologies Corp. 311,925 1,840 Fremont General Corp. 409,000 1,836 Fisher Communications, Inc. 34,800 1,835 * Spanish Broadcasting System, Inc. 254,700 1,834 * Labor Ready, Inc. 285,586 1,833 * AMC Entertainment, Inc. 207,000 1,832 Simmons First National Corp. 49,900 1,829 * E.piphany Inc. 438,000 1,826 * United Therapeutics Corp. 109,300 1,825 Standex International Corp. 76,500 1,824 Hancock Fabrics, Inc. 119,500 1,822 * PAREXEL International Corp. 165,405 1,818 * Allen Telecom Inc. 191,560 1,814 Old Second Bancorp, Inc. 49,026 1,814 * United Surgical Partners International, Inc. 116,110 1,814 Keystone Property Trust REIT 106,800 1,812 WSFS Financial Corp. 54,829 1,808 * Alexion Pharmaceuticals, Inc. 127,900 1,806 * Riverstone Networks, Inc. 848,000 1,798 * New Focus, Inc. 467,400 1,795 * SureBeam Corp. 444,011 1,794 Bank Mutual Corp. 77,437 1,791 Washington Trust Bancorp, Inc. 91,700 1,791 * Hanger Orthopedic Group, Inc. 136,100 1,790 Irwin Financial Corp. 108,400 1,789 Apogee Enterprises, Inc. 199,800 1,788 Mine Safety Appliances Co. 55,400 1,787 * BioMarin Pharmaceutical Inc. 253,000 1,784 K-Swiss, Inc. 81,958 1,779 * Molecular Devices Corp. 108,000 1,779 * FreeMarkets, Inc. 276,100 1,778 * J. Jill Group, Inc. 127,100 1,777 Saul Centers, Inc. REIT 74,200 1,766 * Silgan Holdings, Inc. 71,500 1,765 * Caraustar Industries, Inc. 185,557 1,759 Chesapeake Corp. of Virginia 98,400 1,756 * Enterasys Networks, Inc. 1,122,900 1,752 * PEC Solutions, Inc. 58,400 1,746 * Fidelity National Information Solutions, Inc. 101,126 1,744 Vector Group Ltd. 150,019 1,743 * Consolidated Graphics, Inc. 78,300 1,742 Dimon Inc. 289,900 1,739 Westcorp, Inc. 82,697 1,737 GenCorp, Inc. 219,240 1,736 Kaman Corp. Class A 157,800 1,736 Watts Industries Class A 110,200 1,735 * Pegasus Solutions Inc. 172,850 1,734 * UNOVA, Inc. 288,700 1,732 * AirTran Holdings, Inc. 444,100 1,732 * Digital Insight Corp. 199,300 1,732 * Veritas DGC Inc. 218,500 1,726 First Niagara Financial Group, Inc. 65,900 1,721 Prosperity Bancshares, Inc. 90,060 1,711 First Source Corp. 101,856 1,706 United Fire & Casualty Co. 51,000 1,706 Arctic Cat, Inc. 106,600 1,706 * CoStar Group, Inc. 92,120 1,700 Equity Inns, Inc. REIT 282,100 1,698 Carpenter Technology Corp. 135,470 1,687 Bank of Granite Corp. 96,176 1,683 IBERIABANK Corp. 41,900 1,683 Capstead Mortgage Corp. REIT 68,200 1,681 * Cell Therapeutics, Inc. 231,150 1,680 Corporate Office Properties Trust, Inc. REIT 119,500 1,677 * F5 Networks, Inc. 156,100 1,677 * Serologicals Corp. 152,400 1,676 * Select Medical Corp. 124,100 1,674 West Coast Bancorp 110,500 1,674 MCG Capital Corp. 155,670 1,672 * Nabi Biopharmaceuticals 269,100 1,668 * ScanSource, Inc. 33,700 1,661 NACCO Industries, Inc. Class A 37,895 1,659 26 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- OceanFirst Financial Corp. 73,837 1,658 * Wild Oats Markets Inc. 160,457 1,656 * Raytech Corp. 290,480 1,656 * Hologic, Inc. 135,520 1,655 * Genesee & Wyoming Inc. Class A 80,900 1,646 * CorVel Corp. 45,994 1,644 * Plains Exploration & Production Co. 168,500 1,643 * Sequa Corp. Class A 42,000 1,643 LaSalle Hotel Properties REIT 117,300 1,642 * K-V Pharmaceutical Co. Class B 68,975 1,638 Crown American Realty Trust REIT 177,500 1,633 * Arris Group Inc. 456,700 1,630 CTS Corp. 210,100 1,628 * Tier Technologies, Inc. 101,700 1,627 * Versicor, Inc. 150,800 1,627 Churchill Downs, Inc. 42,500 1,623 * Stillwater Mining Co. 303,050 1,621 * Navigant Consulting, Inc. 274,700 1,621 * ILEX Oncology, Inc. 229,434 1,620 Peoples Holding Co. 39,700 1,618 * Inktomi Corp. 1,010,200 1,616 * Harvest Natural Resources, Inc. 244,400 1,613 * Dendrite International, Inc. 215,700 1,611 * Trex Co., Inc. 45,500 1,606 * Federal Agricultural Mortgage Corp. Class C 52,100 1,596 Coachmen Industries, Inc. 101,000 1,596 Granite State Bankshares, Inc. 36,500 1,595 * The Sports Authority, Inc. 227,800 1,595 * Merit Medical Systems, Inc. 80,000 1,594 * Artisan Components, Inc. 103,200 1,592 Troy Financial Corp. 59,010 1,592 Financial Institutions, Inc. 54,162 1,590 * Steak n Shake Co. 158,899 1,589 * Quicksilver Resources, Inc. 70,800 1,588 * Movie Gallery, Inc. 122,100 1,587 Centex Construction Products, Inc. 45,100 1,585 * Prima Energy Corp. 70,850 1,584 * Antigenics, Inc. 154,600 1,583 Second Bancorp, Inc. 59,700 1,582 * FuelCell Energy, Inc. 240,800 1,578 * Guitar Center, Inc. 95,000 1,573 * InFocus Corp. 255,156 1,572 * 3Tec Energy Corp. 110,300 1,565 * Forrester Research, Inc. 100,500 1,565 CCBT Financial Cos. Inc. 60,800 1,561 * Swift Energy Co. 161,220 1,559 * CoorsTek, Inc. 61,000 1,559 * Applied Films Corp. 77,940 1,558 Peoples Bancorp, Inc. 60,800 1,556 FBL Financial Group, Inc. Class A 79,911 1,556 First Essex Bancorp, Inc. 46,500 1,553 * Forward Air Corp. 80,000 1,553 * Ultratech Stepper, Inc. 157,800 1,553 Pope & Talbot, Inc. 108,800 1,551 * Cubist Pharmaceuticals, Inc. 188,100 1,548 * Oil States International, Inc. 120,000 1,548 * Bally Total Fitness Holding Corp. 217,800 1,544 * Sterling Financial Corp. (Spokane) 82,010 1,543 Cascade Natural Gas Corp. 77,100 1,542 Great Lakes, Inc. REIT 92,500 1,540 American Woodmark Corp. 32,400 1,539 * Right Management Consultants, Inc. 116,000 1,537 * Tanox, Inc. 169,500 1,534 Virginia Financial Group, Inc. 51,450 1,533 * J & J Snack Foods Corp. 42,900 1,532 * CCC Information Services Group 86,277 1,531 * Maxygen Inc. 200,405 1,527 * Remec, Inc. 393,400 1,526 Riggs National Corp. 98,200 1,521 * CKE Restaurants Inc. 353,610 1,521 * Salem Communications Corp. 60,800 1,518 * Diversa Corp. 167,500 1,516 Allegiant Bancorp, Inc. 82,898 1,511 * ArthroCare Corp. 153,300 1,510 * Monolithic System Technology, Inc. 124,700 1,506 * Chattem, Inc. 73,300 1,506 Central Vermont Public Service Corp. 82,100 1,501 McGrath Rent Corp. 64,500 1,499 First Indiana Corp. 80,875 1,498 * Immucor Inc. 73,965 1,498 Holly Corp. 68,500 1,497 * Wabash National Corp. 178,600 1,497 Community Banks, Inc. 54,027 1,497 * Lexar Media, Inc. 238,651 1,496 Haverty Furniture Cos., Inc. 107,600 1,496 * Hawthorne Financial Corp. 52,340 1,494 * Silicon Graphics, Inc. 1,321,100 1,493 * MRO Software Inc. 122,703 1,490 MTS Systems Corp. 148,536 1,488 S.Y. Bancorp, Inc. 40,100 1,488 * United Auto Group, Inc. 119,300 1,488 U.S.B. Holding Co., Inc. 84,020 1,487 Lindsay Manufacturing Co. 69,395 1,485 * ViaSat, Inc. 128,400 1,482 * ProBusiness Services, Inc. 148,100 1,481 First Place Financial Corp. 89,000 1,480 * Pharmacopeia, Inc. 165,563 1,477 Cash America International Inc. 154,512 1,471 27 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Barnes Group, Inc. 72,200 1,469 Lakeland Bancorp, Inc. 82,193 1,469 * Advanced Energy Industries, Inc. 115,400 1,468 * Herley Industries Inc. 84,300 1,467 Port Financial Corp. 32,800 1,464 * Comstock Resources, Inc. 157,500 1,463 * 4Kids Entertainment Inc. 66,200 1,462 * RTI International Metals 144,700 1,461 First Busey Corp. 63,300 1,460 * National Western Life Insurance Co. Class A 15,200 1,459 Peapack Gladstone Financial Corp. 42,500 1,456 * Cirrus Logic 505,400 1,456 Great Southern Bancorp, Inc. 39,600 1,455 * Century Business Services, Inc. 548,600 1,454 * First Republic Bank 72,600 1,451 Presidential Life Corp. 146,094 1,451 * Energy Partners, Ltd. 135,500 1,450 * PTEK Holdings, Inc. 329,460 1,450 * Esperion Therapeutics, Inc. 203,900 1,449 * Tejon Ranch Co. 48,699 1,446 * MedQuist, Inc. 71,311 1,445 * Transaction Systems Architects, Inc. 221,972 1,443 * RailAmerica, Inc. 200,800 1,440 Advanced Marketing Services 97,850 1,438 * Kadant Inc. 95,700 1,436 Standard Commercial Tobacco Co. 79,300 1,435 * TBC Corp. 119,400 1,434 Southern Peru Copper Corp. 99,400 1,431 Union Bankshares Corp. 52,500 1,431 * Conceptus, Inc. 119,138 1,427 North Pittsburgh Systems, Inc. 104,698 1,427 * Kindred Healthcare, Inc. 78,600 1,427 Farmers Capital Bank Corp. 42,800 1,423 Gentiva Health Services, Inc. 160,696 1,416 * Priceline.com Inc. 880,700 1,409 * MatrixOne, Inc. 326,800 1,405 * Anaren, Inc. 159,100 1,400 * Gulfmark Offshore, Inc. 94,900 1,400 LSI Industries Inc. 100,800 1,396 Ameron International Corp. 25,300 1,395 Main Street Banks, Inc. 72,500 1,392 * Frontier Airlines, Inc. 205,750 1,391 Bel Fuse, Inc. Class B 69,000 1,390 State Auto Financial Corp. 89,500 1,387 * CuraGen Corp. 297,900 1,385 Seacoast Banking Corp. of Florida 73,500 1,385 * Finish Line, Inc. 130,900 1,381 Camden National Corp. 57,000 1,379 Myers Industries, Inc. 128,828 1,378 * Mobile Mini, Inc. 87,398 1,370 Connecticut Water Services, Inc. 54,250 1,369 * MSC.Software Corp. 177,300 1,369 * Nuevo Energy Co. 123,000 1,365 Pennrock Financial Services Corp. 49,190 1,365 * Renaissance Learning, Inc. 72,100 1,363 Innkeepers USA Trust REIT 177,700 1,361 Urstadt Biddle Properties Class A REIT 122,500 1,357 * Noven Pharmaceuticals, Inc. 146,800 1,355 * Isle of Capri Casinos, Inc. 102,300 1,354 Banner Corp. 71,800 1,354 Arrow Financial Corp. 43,979 1,353 * Pixelworks, Inc. 233,300 1,353 Zenith National Insurance Corp. 57,300 1,348 * ESS Technology, Inc. 213,600 1,344 * Elizabeth Arden, Inc. 90,700 1,342 * Secure Computing Corp. 207,200 1,328 Apex Mortgage Capital, Inc. REIT 202,925 1,327 * Daktronics, Inc. 99,036 1,325 CT Communications, Inc. 117,200 1,324 CityBank Lynnwood WA 53,500 1,324 * Input/Output, Inc. 311,500 1,324 Northwestern Corp. 260,500 1,323 Ennis Business Forms, Inc. 113,600 1,320 * Alderwoods Group, Inc. 278,880 1,319 * Immunomedics Inc. 284,500 1,314 * Eon Labs, Inc. 69,456 1,313 * The TriZetto Group, Inc. 213,300 1,310 * Therasense, Inc. 156,580 1,307 * American Healthways Inc. 74,450 1,303 * Gabelli Asset Management Inc. 43,300 1,301 * Eclipsys Corp. 243,000 1,300 * Bio-Technology General Corp. 406,100 1,300 First National Corp. 54,120 1,299 Sturm, Ruger & Co., Inc. 135,600 1,298 BancFirst Corp. 27,560 1,295 * Triangle Pharmaceuticals, Inc. 217,900 1,294 Blair Corp. 55,500 1,294 * Intuitive Surgical, Inc. 209,800 1,292 * Orbital Sciences Corp. 306,100 1,292 * SonicWALL, Inc. 354,900 1,288 SWS Group, Inc. 94,893 1,287 * AtheroGenics, Inc. 173,540 1,286 Integral Systems, Inc. 64,132 1,286 * SonoSite, Inc. 98,100 1,282 * MGI Pharma, Inc. 176,600 1,280 Robbins & Myers, Inc. 69,478 1,278 * AsiaInfo Holdings, Inc. 201,300 1,276 * Computer Network Technology Corp. 179,300 1,273 On Assignment, Inc. 149,400 1,273 28 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Vastera, Inc. 225,200 1,273 * Young Broadcasting Inc. 96,600 1,272 Quaker Chemical Corp. 54,800 1,271 BSB Bancorp, Inc. 60,550 1,270 * Stratex Networks, Inc. 572,600 1,265 Tanger Factory Outlet Centers, Inc. REIT 40,800 1,265 * ValueClick, Inc. 452,580 1,263 Skyline Corp. 42,800 1,263 World Fuel Services Corp. 61,500 1,261 Firstfed America Bancorp, Inc. 50,700 1,260 * Sonus Networks, Inc. 1,258,600 1,259 Citizens 1st Bancorp, Inc. 59,600 1,255 * Curative Health Services Inc. 72,719 1,254 * IDine Rewards Network Inc. 118,100 1,254 * Magma Design Automation, Inc. 130,680 1,252 * Rudolph Technologies, Inc. 65,200 1,249 * Osmonics, Inc. 73,700 1,248 * Concurrent Computer Corp. 431,900 1,244 Capitol Bancorp Ltd. 53,550 1,242 * Urban Outfitters, Inc. 52,600 1,240 * Golden Telecom, Inc. 97,800 1,237 Angelica Corp. 59,900 1,237 Valhi, Inc. 148,500 1,233 Vital Signs, Inc. 41,200 1,231 * AAON, Inc. 66,590 1,227 * Cleveland-Cliffs Iron Co. 61,800 1,227 * Microsemi Corp. 201,000 1,224 NBC Capital Corp. 48,533 1,223 Midwest Banc Holdings, Inc. 64,498 1,222 Cascade Bancorp 88,310 1,220 * Parker Drilling Co. 549,700 1,220 * II-VI, Inc. 75,950 1,220 * U.S. Industries, Inc. 461,500 1,214 Building Materials Holding Corp. 84,800 1,213 Movado Group, Inc. 64,400 1,211 * Lithia Motors, Inc. 77,000 1,208 * 7-Eleven, Inc. 161,000 1,208 * Audiovox Corp. 116,700 1,207 * Lightbridge, Inc. 196,154 1,206 First Bancorp (NC) 51,300 1,206 * Allos Therapeutics Inc. 160,060 1,204 CFS Bancorp, Inc. 84,000 1,201 St. Francis Capital Corp. 51,289 1,201 Gorman-Rupp Co. 51,100 1,201 * Electro Rent Corp. 99,058 1,201 * Netscreen Technologies, Inc. 71,200 1,199 * Rainbow Technologies, Inc. 167,000 1,197 Courier Corp. 26,100 1,196 * Citizens, Inc. 159,265 1,194 * ChipPAC, Inc. 336,400 1,194 * Maxwell Shoe Co. Inc. 102,400 1,190 * Akamai Technologies, Inc. 686,200 1,187 * Quaker City Bancorp, Inc. 35,975 1,185 * LookSmart, Ltd. 476,800 1,182 * SPSS, Inc. 84,400 1,181 * Sapient Corp. 575,200 1,179 Ramco-Gershenson Properties Trust REIT 59,700 1,179 * Gene Logic Inc. 187,200 1,177 * PRAECIS Pharmaceuticals Inc. 362,000 1,177 * Columbia Banking System, Inc. 93,262 1,176 * K2 Inc. 125,000 1,175 * Radiant Systems, Inc. 121,689 1,172 * Pinnacle Entertainment, Inc. 168,700 1,169 * Centene Corp. 34,800 1,169 * WatchGuard Technologies, Inc. 182,940 1,167 Calgon Carbon Corp. 236,100 1,166 * MTR Gaming Group Inc. 146,500 1,166 * Hibbett Sporting Goods, Inc. 48,700 1,165 * EMS Technologies, Inc. 74,500 1,163 * Bombay Co. 232,120 1,161 * The Advisory Board Co. 38,800 1,160 * Lydall, Inc. 102,200 1,160 * First Horizon Pharmaceutical Corp. 154,800 1,158 * Steven Madden, Ltd. 64,000 1,156 * Boston Communications Group, Inc. 90,800 1,154 * Pericom Semiconductor Corp. 137,900 1,146 * Insurance Auto Auctions, Inc. 69,000 1,145 * Entrust, Inc. 339,400 1,140 * Encore Acquisition Co. 61,900 1,140 * Stamps.com Inc. 243,700 1,138 Flushing Financial Corp. 69,400 1,137 Gibraltar Steel 59,695 1,137 * Vicor Corp. 137,700 1,136 * American Physicians Capital, Inc. 60,374 1,136 Shenandoah Telecommunications Co. 23,138 1,132 * Safeguard Scientifics, Inc. 828,600 1,127 * Endo Pharmaceuticals Holdings, Inc. 146,365 1,127 Riviana Foods, Inc. 41,600 1,124 SJW Corp. 14,400 1,124 * Information Holdings Inc. 72,400 1,124 Northwest Bancorp, Inc. 75,600 1,118 * Strattec Security Corp. 23,300 1,117 Boykin Lodging Co. REIT 119,600 1,116 Middlesex Water Co. 53,200 1,116 Talx Corp. 85,970 1,111 * Electronics Boutique Holdings Corp. 70,200 1,110 * Omnova Solutions Inc. 275,100 1,109 * Interland Inc. 851,777 1,107 29 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * aaiPharma Inc. 78,900 1,106 Oneida Ltd. 100,135 1,104 Stepan Co. 44,000 1,100 * Lexicon Genetics Inc. 232,497 1,100 * Syncor International Corp. 39,600 1,098 * Keynote Systems Inc. 142,100 1,097 * Regent Communications, Inc. 185,600 1,097 UniFirst Corp. 54,300 1,097 CIRCOR International, Inc. 68,900 1,096 * Buckeye Technology, Inc. 177,700 1,093 * A.C. Moore Arts & Crafts, Inc. 85,900 1,092 * Packeteer, Inc. 159,100 1,091 * Excel Technology, Inc. 60,703 1,086 Correctional Properties Trust REIT 50,000 1,085 Oxford Industries, Inc. 42,300 1,085 * Marvel Enterprises Inc. 120,800 1,085 * Supertex, Inc. 72,800 1,084 Octel Corp. 68,600 1,084 1-800 CONTACTS, Inc. 39,309 1,084 Rock-Tenn Co. 79,860 1,077 * Tenneco Automotive, Inc. 265,885 1,074 * MemberWorks, Inc. 59,700 1,073 * Keystone Automotive Industries, Inc. 71,460 1,073 * ITLA Capital Corp. 32,200 1,070 * Friedman, Billings, Ramsey Group, Inc. 114,100 1,068 * InterTAN, Inc. 148,650 1,063 * Stoneridge, Inc. 89,300 1,063 * AstroPower, Inc. 132,800 1,061 * Liberate Technologies, Inc. 741,300 1,060 German American Bancorp 68,118 1,059 United Industrial Corp. 66,200 1,059 * Pathmark Stores, Inc. 208,500 1,057 Lawson Products, Inc. 34,100 1,056 * American Pharmaceuticals Partners, Inc. 59,320 1,056 * Astec Industries, Inc. 106,000 1,053 * EPIQ Systems, Inc. 68,650 1,052 * Dura Automotive Systems, Inc. 104,635 1,051 American National Bankshares Inc. 40,373 1,050 * Intrado Inc. 105,600 1,049 * Meridian Medical Technologies, Inc. 23,600 1,048 * Casella Waste Systems, Inc. 117,500 1,045 * Exult Inc. 328,100 1,043 GBC Bancorp 53,832 1,042 * Navigant International, Inc. 84,500 1,042 * Aviall Inc. 129,400 1,042 * Phoenix Technologies Ltd. 180,100 1,039 First State Bancorporation 41,900 1,039 Cascade Corp. 65,000 1,037 Midland Co. 54,500 1,036 * Tollgrade Communications, Inc. 88,200 1,035 * Aspect Communications Corp. 363,900 1,033 * Oak Technology, Inc. 387,700 1,027 Berkshire Hills Bancorp, Inc. 43,600 1,027 * ManTech International Corp. 53,730 1,025 * Global Imaging Systems, Inc. 55,700 1,024 * Central Coast Bancorp 51,700 1,022 * National Healthcare Corp. 58,300 1,020 * Hanmi Financial Corp. 60,800 1,020 * Ameristar Casinos, Inc. 72,300 1,019 * Energy Conversion Devices, Inc. 103,900 1,018 * Penwest Pharmaceuticals Co. 96,000 1,018 Gladstone Capital Corp. 61,750 1,017 * VitalWorks Inc. 263,160 1,013 Mission West Properties Inc. REIT 102,300 1,013 * XM Satellite Radio Holdings, Inc. 375,900 1,011 N L Industries, Inc. 59,100 1,005 * WFS Financial, Inc. 48,037 1,004 Bassett Furniture Industries, Inc. 70,125 1,004 * Kenneth Cole Productions, Inc. 49,350 1,002 * Sports Resorts International, Inc. 170,388 1,000 Friedman's, Inc. Class A 115,100 999 HEICO Corp. 94,100 998 * Universal Display Corp. 126,300 997 * SCS Transportation, Inc. 100,475 996 * Concord Communications, Inc. 110,750 996 * OraSure Technologies, Inc. 181,600 990 * Manugistics Group, Inc. 411,500 988 * Department 56 Inc. 76,535 987 * Daisytek International Corp. 124,400 986 * Retek Inc. 362,600 986 * West Marine, Inc. 71,900 984 PrivateBancorp, Inc. 26,000 984 * Presstek, Inc. 213,300 983 * Tuesday Morning Corp. 57,500 983 CB Bancshares Inc. (HI) 23,100 982 Mainsource Financial Group, Inc. 40,845 981 * Playboy Enterprises, Inc. Class B 96,700 980 * Insignia Financial Group, Inc. 134,900 978 * Footstar Inc. 140,500 978 * Raindance Communications, Inc. 299,620 968 * Three-Five Systems, Inc. 150,000 968 Kansas City Life Insurance Co. 25,460 965 * Wireless Facilities, Inc. 160,400 964 National Presto Industries, Inc. 32,800 964 FNB Corp. VA 40,600 963 * Champion Enterprises, Inc. 337,848 963 * Universal American Financial Corp. 164,699 958 Resource America, Inc. 106,300 958 * Digene Corp. 83,500 957 30 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * The Great Atlantic & Pacific Tea Co., Inc. 118,700 957 Interchange Financial Services Corp. 59,400 956 * Siliconix, Inc. 40,800 955 * Harmonic, Inc. 414,800 954 LSB Bancshares, Inc. 58,860 954 Bryn Mawr Bank Corp. 26,000 952 * SRA International, Inc. 35,100 951 * SeaChange International, Inc. 154,500 950 * Volt Information Sciences Inc. 55,500 949 * Tyler Technologies, Inc. 227,370 948 * PC-Tel, Inc. 139,800 948 Ryerson Tull, Inc. 155,247 947 * Aether Systems, Inc. 251,214 945 Pennfed Financial Services, Inc. 34,700 942 * ImmunoGen, Inc. 303,824 942 * eResearch Technology, Inc. 56,150 941 Baldwin & Lyons, Inc. Class B 39,900 940 * Aksys, Ltd. 177,280 940 * Boston Beer Co., Inc. Class A 65,700 940 First Oak Brook Bancshares, Inc. 29,864 938 Southwest Bancorp, Inc. 35,960 935 * Learning Tree International, Inc. 68,200 934 Advanta Corp. Class A 103,980 934 * Cepheid, Inc. 182,960 933 * Universal Electronics, Inc. 95,700 932 Hickory Tech Corp. 97,700 931 * White Electronic Designs Corp. 121,390 929 Interface, Inc. 302,000 927 * Terayon Communications Systems, Inc. 452,000 927 * MIM Corp. 159,600 926 * Stein Mart, Inc. 151,700 925 * SBS Technologies, Inc. 101,000 925 Macatawa Bank Corp. 46,530 924 * Register.com, Inc. 205,200 923 * FSI International, Inc. 204,900 922 Crawford & Co. Class B 184,250 921 State Bancorp, Inc. 51,100 920 Lufkin Industries 39,200 919 * Material Sciences Corp. 71,000 919 * FalconStor Software, Inc. 236,300 917 AAR Corp. 178,000 917 * Kensey Nash Corp. 50,100 915 * Skechers U.S.A., Inc. 107,800 915 * Aeropostale, Inc. 86,500 914 Winston Hotels, Inc. REIT 117,000 913 Superior Financial Corp. 49,599 911 D&K Healthcare Resources, Inc. 88,850 910 Columbia Bancorp 41,180 907 * Concord Camera Corp. 167,000 907 * RadiSys Corp. 113,200 903 * BE Aerospace, Inc. 247,600 901 * Arena Pharmaceuticals, Inc. 138,300 900 Glatfelter 68,400 900 * Cobalt Corp. 65,200 900 * Talk America Holdings, Inc. 159,826 895 Southwest Water Co. 67,515 895 RPC Inc. 77,000 893 * OSI Systems Inc. 52,500 891 * Alexander's, Inc. REIT 13,800 891 First of Long Island Corp. 24,350 889 * W.R. Grace & Co. 453,175 888 * Vail Resorts Inc. 58,400 886 ABC Bancorp 68,387 886 * Graphic Packaging International Corp. 156,900 885 * CompuCom Systems, Inc. 157,700 885 * PetroQuest Energy, Inc. 213,100 884 * Microtune, Inc. 282,300 884 * Transmeta Corp. 755,200 884 TriCo Bancshares 35,900 883 * Hollywood Casino Corp. 71,900 883 * infoUSA Inc. 177,450 882 * Hypercom Corp. 236,220 881 * Redback Networks Inc. 1,047,050 880 * SeeBeyond Technology Corp. 361,700 879 * PracticeWorks Inc. 111,200 878 * The Buckle, Inc. 48,800 878 * Finisar Corp. 924,500 878 * Comfort Systems USA, Inc. 261,720 877 * Buca, Inc. 105,200 875 * Mesa Air Group Inc. 215,000 875 General Cable Corp. 230,250 875 Great American Financial Resources, Inc. 50,800 874 X-Rite Inc. 124,600 871 * Integrated Electrical Services, Inc. 225,500 868 * Salix Pharmaceuticals, Ltd. 124,180 868 * Zomax Inc. 203,700 866 * Medical Staffing Network Holdings, Inc. 54,000 864 CNA Surety Corp. 109,800 862 * Sharper Image Corp. 49,400 861 Charter Financial Corp. 27,700 861 Penn Engineering & Manufacturing Corp. 80,800 861 Coastal Bancorp, Inc. 26,600 861 * Infonet Services Corp. 434,100 860 * Brookstone, Inc. 59,170 856 * Exact Sciences Corp. 78,980 855 * RMH Teleservices, Inc. 81,290 854 * Vivus, Inc. 228,240 851 31 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Pacific Union Bank 73,900 851 * Peet's Coffee & Tea Inc. 60,100 849 BEI Technologies, Inc. 75,800 848 * Midway Games Inc. 202,611 845 * The Children's Place Retail Stores, Inc. 79,200 843 * CompuCredit Corp. 118,800 840 * Healthcare Services Group, Inc. 64,340 839 * Cardiac Science, Inc. 378,520 837 * Theragenics Corp. 207,200 835 * Stanley Furniture Co., Inc. 35,900 835 * SpectraLink Corp. 116,165 834 * Encore Wire Corp. 92,100 834 * Metro One Telecommunications, Inc. 128,700 830 Lakeland Financial Corp. 35,300 828 EnergySouth, Inc. 29,200 823 * Syntel, Inc. 39,075 821 UNITILI Corp. 33,100 821 Quixote Corp. 45,400 820 Woodhead Industries, Inc. 72,500 819 * Prime Medical Services, Inc. 94,440 819 * LodgeNet Entertainment Corp. 76,640 819 * The Boyds Collection, Ltd. 122,900 817 Yardville National Bancorp 47,400 817 * Cornell Companies, Inc. 90,700 816 * Answerthink Consulting Group, Inc. 325,700 814 AMCOL International Corp. 139,850 811 * Integrated Silicon Solution, Inc. 185,900 811 * Inverness Medical Innovations, Inc. 61,500 809 Ingles Markets, Inc. 68,700 809 * Pozen Inc. 156,900 808 * Racing Champions ERTL Corp. 59,000 805 * Pomeroy Computer Resources, Inc. 68,500 801 * Orthologic Corp. 221,440 799 * TRC Cos., Inc. 60,750 798 * NeoPharm, Inc. 78,540 796 * Avigen, Inc. 139,300 795 * Administaff, Inc. 132,400 794 * Gulf Island Fabrication, Inc. 48,800 793 Coastal Financial Corp. 57,990 791 * Merix Corp. 94,100 790 NN, Inc. 78,900 788 Semco Energy Inc. 128,585 784 * TiVo Inc. 149,900 784 * Artesyn Technologies, Inc. 204,056 784 * Gart Sports Co. 40,400 782 * NYFIX, Inc. 173,700 782 Humboldt Bancorp 74,440 782 * Cole National Corp. Class A 68,200 777 * Covenant Transport, Inc. 41,000 777 * Powell Industries, Inc. 45,500 777 * Quanta Services, Inc. 221,800 776 * CryoLife Inc. 113,500 775 Financial Industries Corp. 54,437 775 * Tweeter Home Entertainment Group, Inc. 134,100 775 * NS Group Inc. 118,700 774 * Ultimate Electronics, Inc. 76,200 773 * Overland Storage, Inc. 53,000 773 * CSS Industries, Inc. 23,300 771 * US Physical Therapy, Inc. 69,100 770 * SoundView Technology Group, Inc. 513,300 770 * Interpore International 120,300 770 Parkvale Financial Corp. 33,400 770 * Integrated Defense Technology, Inc. 53,000 769 CoBiz Inc. 51,700 768 * Aftermarket Technology Corp. 52,900 767 Santander BanCorp 58,999 767 * U.S. Concrete, Inc. 140,000 766 * Global Power Equipment Group Inc. 153,900 759 * Harris Interactive Inc. 257,020 758 Associated Estates Realty Corp. REIT 112,200 757 * Zygo Corp. 108,300 757 * Ducommun, Inc. 47,700 756 L.S. Starrett Co. Class A 45,500 755 Royal Bancshares of Pennsylvania, Inc. 35,270 755 Spartan Motors, Inc. 66,200 753 Butler Manufacturing Co. 38,900 753 * Aspen Technologies, Inc. 265,300 751 * Bradley Pharmaceuticals, Inc. 57,570 750 * Collins & Aikman Corp. 168,260 749 * International Specialty Products, Inc. 73,300 748 * Virage Logic Corp. 74,500 747 Massbank Corp. 26,400 747 * Euronet Worldwide, Inc. 99,480 747 Penford Corp. 52,900 745 * Dril-Quip, Inc. 44,100 745 Sizeler Property Investors, Inc. REIT 79,600 739 * SuperGen, Inc. 203,700 739 * Drexler Technology Corp. 58,620 739 Partners Trust Financial Group, Inc. 45,800 738 * Array BioPharma Inc. 133,000 738 * Whitehall Jewellers, Inc. 77,500 736 * Horizon Organic Holding Corp. 45,400 735 Gray Television, Inc. Class A 62,000 735 32 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- BostonFed Bancorp, Inc. 27,500 734 Nature's Sunshine Inc. 75,400 732 * Impax Laboratories, Inc. 181,450 728 * MSCi, Inc. 152,900 726 Warwick Community Bancorp, Inc. 25,600 725 * Ocwen Financial Corp. 259,000 725 * Vans, Inc. 127,600 725 Bank of the Ozarks, Inc. 30,900 724 * Charles River Associates Inc. 51,150 724 * C-COR Electronics, Inc. 218,055 724 Sanderson Farms, Inc. 34,600 723 * First Consulting Group, Inc. 125,300 722 * BKF Capital Group, Inc. 40,800 720 * Oregon Steel Mills, Inc. 179,100 720 * Proxim Corp. Class A 827,014 720 * Galyan's Trading Co. 71,930 719 * Kosan Biosciences, Inc. 118,500 719 * Computer Horizons Corp. 219,120 717 * Kos Pharmaceuticals, Inc. 37,700 716 CPI Corp. 49,400 716 * Option Care, Inc. 89,850 715 * William Lyon Homes, Inc. 32,700 714 Summit Bancshares, Inc. 36,400 710 Milacron Inc. 118,377 704 * Shoe Carnival, Inc. 50,200 703 Pilgrim's Pride Corp. 85,700 703 Banc Corp. 90,380 701 First Defiance Financial Corp. 37,100 701 * Digimarc Corp. 61,800 701 * Avenue A, Inc. 240,820 698 First South Bancorp, Inc. 19,600 697 * Young Innovations, Inc. 29,900 696 * Semitool, Inc. 111,600 693 * Mapics Inc. 99,610 692 * Northwest Pipe Co. 40,014 692 * Datastream Systems, Inc. 108,000 691 * Martha Stewart Living Omnimedia, Inc. 69,600 687 Acadia Realty Trust REIT 92,400 686 * Avatar Holding, Inc. 29,800 685 * Zymogenetics, Inc. 68,960 683 * PLATO Learning, Inc. 114,666 681 * CardioDynamics International Corp. 221,500 680 * Republic Bancshares, Inc. 34,600 680 * Bentley Pharmaceuticals, Inc. 83,865 675 * Neose Technologies, Inc. 76,100 675 * Wackenhut Corrections Corp. 60,500 672 * MRV Communications Inc. 627,589 672 * Bell Microproducts Inc. 121,000 670 * Guilford Pharmaceuticals, Inc. 168,300 670 * Portal Software, Inc. 825,100 667 * j2 Global Communications, Inc. 34,900 664 * Genzyme Corp.- Genzyme Biosurgery 260,421 664 American Home Mortgage Holdings, Inc. 60,300 663 * Dave & Busters, Inc. 76,000 657 * UAL Corp. 459,600 657 * Turnstone Systems, Inc. 243,257 657 * Dynamics Research Corp. 46,853 656 * Genencor International Inc. 67,100 656 LTC Properties, Inc. REIT 97,500 655 Vesta Insurance Group, Inc. 238,000 655 Roanoke Electric Steel Corp. 68,400 650 * DVI, Inc. 86,000 649 * Sipex Corp. 175,400 649 Provident Bancorp, Inc. 20,900 649 * LabOne, Inc. 36,600 649 * PriceSmart, Inc. 27,900 648 * Navigators Group, Inc. 28,200 647 * Bone Care International, Inc. 66,500 647 Deb Shops, Inc. 29,000 644 * Kendle International Inc. 73,000 642 * IMCO Recycling, Inc. 78,720 640 * Brush Engineered Materials Inc. 116,300 640 * Netro Corp. 234,209 639 * LeCroy Corp. 57,400 637 * Monro Muffler Brake, Inc. 37,700 637 * Roxio, Inc. 133,300 636 * Verint Systems Inc. 31,500 636 * Coldwater Creek Inc. 33,100 636 * Mothers Work, Inc. 18,026 635 * LendingTree, Inc. 49,300 635 * Align Technology, Inc. 228,400 631 * EPIX Medical, Inc. 87,200 630 Alico, Inc. 23,700 630 Dover Downs Gaming & Entertainment, Inc. 69,090 628 Interpool, Inc. 39,050 627 Merchants Bancshares, Inc. 27,800 627 * QRS Corp. 94,800 626 * Time Warner Telecom Inc. 296,300 625 * Lifeline Systems, Inc. 27,800 624 Intermet Corp. 148,340 623 Sun Bancorp, Inc. 34,000 622 * Restoration Hardware, Inc. 123,880 621 * Neoforma, Inc. 51,800 619 Standard Motor Products, Inc. 47,500 618 * Rent-Way, Inc. 176,300 617 * Geron Corp. 171,300 617 * Quidel Corp. 177,120 614 * Columbia Laboratories Inc. 181,500 610 * Horizon Offshore, Inc. 122,400 610 33 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Alliance Semiconductor Corp. 155,100 610 * Carreker Corp. 134,400 609 * Party City Corp. 50,700 608 * PDI, Inc. 56,300 608 * IXYS Corp. 86,000 607 * PICO Holdings, Inc. 45,082 605 * Magnatek, Inc. 136,100 604 * Netegrity, Inc. 185,750 604 Century Aluminum Co. 81,500 604 National Health Realty Inc. REIT 41,200 602 * MarineMax, Inc. 50,600 598 * Modtech Holdings, Inc. 61,570 597 * Alaris Medical, Inc. 97,700 596 * At Road, Inc. 144,300 596 Schnitzer Steel Industries, Inc. Class A 28,500 596 * American Medical Security Group, Inc. 42,500 594 * Credit Acceptance Corp. 92,900 593 * Lifecore Biomedical Inc. 68,851 591 Nash-Finch Co. 76,400 591 * Sun Bancorp, Inc. (NJ) 44,400 591 Century Bancorp, Inc. Class A 22,200 589 * Aphton Corp. 151,200 588 * Cantel Medical Corp. 46,300 586 * Somera Communications, Inc. 216,700 585 * Drew Industries, Inc. 36,400 584 * Del Laboratories, Inc. 28,875 583 * Wellsford Real Properties Inc. 37,000 583 * SS&C Technologies, Inc. 54,600 582 * BWAY Corp. 29,400 582 * Numerical Technologies, Inc. 168,000 581 * MapInfo Corp. 104,550 580 Equity One, Inc. REIT 43,200 577 * PDF Solutions, Inc. 83,210 577 Nara Bancorp, Inc. 27,700 575 * Nu Horizons Electronics Corp. 99,500 575 Center Trust, Inc. REIT 73,420 573 * Arden Group Inc. Class A 9,400 569 * World Acceptance Corp. 74,700 568 * TransMontaigne Inc. 122,300 567 * Kforce Inc. 133,857 565 * OPNET Technologies, Inc. 69,800 564 * Oplink Communications, Inc. 713,700 564 * Cholestech Corp. 80,990 564 * Quaker Fabric Corp. 80,900 562 * World Wrestling Entertainment, Inc. 69,700 561 * REX Stores Corp. 54,900 561 * Indevus Pharmaceuticals, Inc. 261,800 560 * Applica Inc. 111,967 560 * Embrex, Inc. 50,300 560 * Peregrine Pharmaceuticals, Inc. 713,500 557 * The Princeton Review, Inc. 112,160 555 * Lawson Software Inc. 96,530 555 * Charlotte Russe Holding Inc. 52,300 555 * Onyx Pharmaceuticals, Inc. 95,500 555 Republic Bancorp, Inc. Class A 49,200 554 * Thomas Nelson, Inc. 55,300 554 * Altiris, Inc. 34,800 554 * Illumina, Inc. 164,350 554 * Bioreliance Corp. 23,900 554 * Research Frontiers, Inc. 66,200 552 * Manufacturers' Services Ltd. 99,100 549 * Ulticom, Inc. 73,200 548 * Champps Entertainment Inc. 57,600 548 * Luminex Corp. 132,900 546 * Sykes Enterprises, Inc. 166,500 546 * ANADIGICS, Inc. 211,200 545 * NetScout Systems, Inc. 125,200 545 * P.A.M. Transportation Services, Inc. 21,600 545 * Water Pik Technologies, Inc. 73,610 541 * Ixia 148,000 540 * Actuate Software Corp. 304,979 540 * Wesco International, Inc. 98,100 539 * Xicor, Inc. 144,300 538 * Dynacq International, Inc. 37,400 537 Westfield Financia, Inc. 34,600 536 * 1-800-FLOWERS.COM, Inc. 85,700 536 Sauer-Danfoss, Inc. 67,700 535 * StorageNetworks, Inc. 458,600 532 * Triton PCS, Inc. 135,300 532 Schawk, Inc. 53,400 529 * RemedyTemp, Inc. 37,760 529 Alamo Group, Inc. 42,900 526 Metris Cos., Inc. 211,000 521 * Computer Programs and Systems, Inc. 21,000 520 * Plug Power, Inc. 115,600 519 * Petroleum Helicopters, Inc. 17,500 519 Keithley Instruments Inc. 41,400 518 Seaboard Corp. 2,150 516 * Allegiance Telecom, Inc. 761,900 510 * Acme Communications, Inc. 63,610 507 * Ladish Co., Inc. 62,800 506 * Trico Marine Services, Inc. 152,000 506 * Covansys Corp. 134,600 506 * Caliper Technologies Corp. 168,500 506 * Ambassadors Group, Inc. 38,700 501 * Chicago Pizza & Brewery, Inc. 72,490 500 * eUniverse, Inc. 88,060 500 * Proton Energy Systems, Inc. 166,500 500 Dover Motorsports, Inc. 107,300 499 34 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * ARIAD Pharmaceuticals, Inc. 206,900 497 * Escalade, Inc. 24,800 496 * Nuance Communications Inc. 199,700 495 * SpeechWorks International Inc. 177,700 494 * QuadraMed Corp. 188,340 493 * WCI Communities, Inc. 48,300 493 * Women First Healthcare, Inc. 108,010 493 * Inet Technologies, Inc. 80,590 492 Advanta Corp. Class B 52,288 491 * Beasley Broadcast Group, Inc. 41,000 490 NASB Financial Inc. 21,300 490 Independence Holding Co. 22,800 490 * Wilsons The Leather Experts Inc. 97,800 489 * Hexcel Corp. 162,900 489 * Mail-Well, Inc. 195,000 488 * Goody's Family Clothing 109,370 486 * Ciphergen Biosystems, Inc. 140,500 485 Tasty Baking Co. Class A 55,700 485 * MIPS Technologies, Inc. Class B 168,217 484 * Midwest Express Holdings, Inc. 90,200 483 * Viewpoint Corp. 256,700 480 * Biopure Corp. 128,900 480 * Capstone Turbine Corp. 532,100 479 * Cherokee Inc. 32,800 479 * ParkerVision, Inc. 58,600 478 * Net2Phone, Inc. 116,784 473 * GSI Commerce, Inc. 129,100 471 * Sequenom, Inc. 261,600 471 * The Med-Design Corp. 58,400 471 * SITEL Corp. 392,100 471 * ONYX Software Corp. 303,300 470 * Nastech Pharmaceutical Co., Inc. 54,960 470 * Foamex International, Inc. 148,700 470 * Steinway Musical Instruments Inc. 28,800 469 Willow Grove Bancorp, Inc. 33,300 463 * deCODE genetics, Inc. 249,900 462 * SCM Microsystems, Inc. 108,055 459 * NetFlix.com, Inc. 41,200 454 * Vical, Inc. 130,700 454 * HomeStore, Inc. 533,100 453 Marine Products Corp. 45,900 452 * Harvard Bioscience, Inc. 136,500 450 * Luby's, Inc. 154,600 450 * ArQule, Inc. 147,171 449 * Asbury Automotive Group, Inc. 53,200 447 * Finlay Enterprises, Inc. 36,700 443 * Paxson Communications Corp. 214,800 442 * HealthTronics Surgical Services, Inc. 55,200 442 * DiamondCluster International, Inc. 140,450 441 * Catapult Communications Corp. 36,700 439 * MedCath Corp. 43,800 438 * 3D Systems Corp. 56,000 437 * Benihana Inc. Class A 32,301 436 * Centillium Communications, Inc. 192,500 435 * Salton, Inc. 45,000 433 * Specialty Laboratories, Inc. 44,600 431 * Drugstore.com, Inc. 178,820 429 Franklin Financial Corp. 18,711 429 * Smart & Final Inc. 82,500 429 * Avanex Corp. 408,100 428 * Endocare, Inc. 124,300 428 * American Superconductor Corp. 142,000 427 * Alliance Imaging, Inc. 80,600 427 * Lannett Company, Inc. 26,000 426 * HealthExtras, Inc. 104,900 425 Florida East Coast Industries, Inc. Class B 19,130 422 * Texas Biotechnology Corp. 301,400 422 * FPIC Insurance Group, Inc. 60,610 418 * Trans World Entertainment Corp. 114,950 417 * APAC Teleservices, Inc. 178,300 417 * Active Power, Inc. 233,200 415 * PLX Technology, Inc. 106,000 414 * Omega Healthcare Investors, Inc. REIT 110,525 413 * Terra Industries, Inc. 269,800 413 * Mastec Inc. 139,800 412 * Matria Healthcare, Inc. 47,400 412 * Mattson Technology, Inc. 143,700 411 * bebe stores, inc. 30,500 409 Value Line, Inc. 9,400 408 * TriPath Imaging, Inc. 151,800 407 * Mesaba Holdings, Inc. 65,650 402 Coca-Cola Bottling Co. 6,222 401 * Avanir Pharmaceuticals Class A 400,900 401 * Summit America Television Inc. 149,532 399 * NATCO Group Inc. 63,400 398 * Gaiam, Inc. 38,300 397 * I-many, Inc. 278,950 396 * NetRatings, Inc. 54,600 393 * Hall, Kinion & Associates, Inc. 70,160 392 * NASSDA Corp. 34,900 392 * Crown Media Holdings, Inc. 173,200 391 * Impco Technologies Inc. 83,089 390 * Seattle Genetics, Inc. 125,100 388 * Res-Care, Inc. 106,190 385 Richardson Electronics, Ltd. 44,400 385 * ADE Corp. 64,400 384 * Vitria Technology, Inc. 511,300 383 * Baker (Michael) Corp. 35,000 383 * Allscripts Healthcare Solutions, Inc. 160,116 383 35 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Closure Medical Corp. 36,500 383 * Mestek, Inc. 21,300 382 Virco Manufacturing Corp. 37,330 381 * National Beverage Corp. 24,700 378 * Bruker Daltonics, Inc. 77,100 375 * MedSource Technologies, Inc. 57,290 372 * Medis Technology Ltd. 74,361 372 * Tripos Inc. 50,400 369 * Monterey Pasta Co. 97,460 365 * EMCORE Corp. 166,700 365 * AEP Industries, Inc. 27,900 365 * Progenics Pharmaceuticals, Inc. 54,600 364 * iGATE Corp. 138,540 363 * Trikon Technologies, Inc. 72,100 361 * Culp, Inc. 42,300 360 * Docucorp International, Inc. 54,210 359 * Checkers Drive-In Restaurants, Inc. 57,300 359 * Chordiant Software, Inc. 248,300 358 * Sangamo BioSciences, Inc. 118,600 357 Sypris Solutions, Inc. 34,900 356 * Kyphon Inc. 41,700 356 * Price Legacy Corp. REIT 126,800 355 * Liquidmetal Technologies 34,300 353 * Transcontinental Realty Investors, Inc. REIT 19,900 351 * Rita Medical Systems, Inc. 69,400 350 * Quovadx, Inc. 144,500 350 * General Binding Corp. 41,000 348 * TTM Technologies, Inc. 105,000 347 * Durect Corp. 170,400 344 * Tellium, Inc. 536,000 343 * Virbac Corp. 60,120 337 * Embarcadero Technologies, Inc. 56,300 336 * Q-Med, Inc. 53,440 335 * U.S. Xpress Enterprises, Inc. 38,100 334 * Proxymed Pharmacy, Inc. 31,700 331 * Inforte Corp. 42,660 331 * Acacia Research-Acacia Technologies 135,390 326 * Discovery Partners International 116,860 325 * Green Mountain Coffee Roasters, Inc. 21,500 325 * Columbus McKinnon Corp. 84,611 323 * Neurogen Corp. 88,900 323 * Witness Systems, Inc. 93,700 322 * Tropical Sportswearn International Corp. 35,900 322 * Private Media Group, Inc. 98,700 321 * Endocardial Solutions, Inc. 94,820 320 * Maui Land & Pineapple Co., Inc. 20,200 320 * Radiologix Inc. 138,500 320 * Acclaim Entertainment Inc. 483,800 319 * The Exploration Co. of Delaware 106,340 317 * ABIOMED, Inc. 87,000 317 * Urologix, Inc. 95,500 316 California National Bancorp 24,300 311 * Bio-Reference Laboratories, Inc. 50,400 311 * Information Resources, Inc. 190,200 304 * Sirius Satellite Radio, Inc. 474,400 304 * Factory 2-U Stores Inc. 88,900 303 * US Unwired Inc. 616,000 302 * Monarch Casino & Resort, Inc. 21,900 301 * Amerco, Inc. 68,020 301 * Carmike Cinemas, Inc. 15,100 297 * ITXC Corp. 127,810 297 EMC Insurance Group, Inc. 16,400 293 * Read Rite Corp. 836,100 293 * Sonic Innovations, Inc. 74,820 285 * Handspring, Inc. 298,100 283 Bush Industries, Inc. 58,300 282 * Touch America Holdings, Inc. 712,798 278 * Acacia Research-CombiMatrix Tracking Stock 75,575 275 * Sanchez Computer Associates, Inc. 94,800 273 * Championship Auto Racing Teams, Inc. 73,700 273 * MetaSolv, Inc. 198,600 272 * Seminis, Inc. 94,421 272 Leeds Federal Bankshares Inc. 8,500 271 * Synaptics Inc. 35,200 268 * Earthshell Corp. 458,050 266 * Dobson Communications Corp. 120,000 265 * Overstock.com, Inc. 20,400 265 * Pain Therapeutics, Inc. 110,900 265 * SONICblue Inc. 588,900 265 * Alamosa Holdings, Inc. 506,300 263 * ON Semiconductor Corp. 191,900 263 * Omnicell, Inc. 99,030 262 * August Technology Corp. 51,500 261 Tremont Corp. 8,700 259 * The Penn Traffic Co. 73,410 257 * Dominion Homes, Inc. 17,600 251 * Synplicity, Inc. 65,640 248 * Ceres Group, Inc. 128,260 246 * Johnson Outdoors Inc. 24,900 246 * Midas Inc. 38,100 245 * Cache, Inc. 17,700 244 * ICT Group, Inc. 21,000 243 * Clearone Communications Inc. 54,600 243 * NIC Inc. 167,700 241 * Paradyne Networks, Inc. 188,580 241 * MIPS Technologies, Inc. 78,200 237 * Wyndham International, Inc. Class A 1,029,500 237 36 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * RCN Corp. 446,460 237 * Flow International Corp. 92,400 236 * Technical Olympic USA, Inc. 15,700 233 * Syntroleum Corp. 134,200 232 * AXT, Inc. 128,900 232 * PC Connection, Inc. 45,150 229 * Electroglas, Inc. 145,700 224 * A.M. Castle & Co. 49,300 224 * First Banks America, Inc. 5,500 223 * Stratos Lightwave, Inc. 50,433 222 * Digitas Inc. 64,111 222 * Novadigm, Inc. 94,700 221 Bridgford Foods Corp. 19,500 219 * Pegasystems Inc. 42,700 218 CompX International Inc. 25,800 216 * Guess ?, Inc. 51,500 216 * MEEMIC Holdings, Inc. 7,300 211 * Applied Molecular Evolution, Inc. 102,950 211 * Nanometrics Inc. 50,100 210 * Rigel Pharmaceuticals, Inc. 179,600 196 * The Meridian Resource Corp. 216,244 195 * NYMAGIC, Inc. 9,900 193 * DHB Industries, Inc. 114,500 190 * DJ Orthopedics Inc. 50,000 188 * Mossimo, Inc. 34,100 188 * Revlon, Inc. Class A 58,800 180 * Centennial Communications Corp. Class A 68,600 179 * Therma-Wave Inc. 169,600 178 Inter Parfums, Inc. 22,500 174 * Atlas Air Worldwide Holdings, Inc. 113,000 171 * Protection One, Inc. 82,600 165 * UbiquiTel Inc. 405,300 162 * Caminus Corp. 65,400 153 * SimpleTech, Inc. 49,000 148 * Westpoint Stevens, Inc. 239,500 141 * Inrange Technologies Corp. 60,000 141 * Cadiz Inc. 249,400 137 * Aurora Foods Inc. 161,763 126 * American Power Technology, Inc. 37,300 121 Pilgrim's Pride Corp. Class A 20,350 120 * NaPro BioTherapeutics, Inc. 173,700 118 * Bruker Axs Inc. 61,700 112 * Optical Communication Products, Inc. 102,600 111 * AirGate PCS, Inc. 164,900 102 * ATA Holdings, Inc. 22,300 102 * dELiA 219,900 99 * Next Level Communications, Inc. 109,900 89 * Alaska Communications Systems Holdings, Inc. 45,500 84 * Suntron Corp. 17,000 79 * Infogrames, Inc. 43,413 77 Federal Agricultural Mortgage Corp. Class A 3,800 77 * DDi Corp. 322,000 71 * Penton Media, Inc. Class A 97,400 66 * F.A.O., Inc. 122,920 58 HEICO Corp. Class A 5,810 48 * Ascent Media Group, Inc. 33,316 37 * Cross Media Marketing Corp. 57,600 32 * Acterna Corp. 175,600 28 * BriteSmile, Inc. 82,700 27 * Deltagen, Inc. 55,168 26 * Magellan Health Services, Inc. 100,000 16 * Magnum Hunter Resources Inc. Warrants Exp. 3/21/2005 36,400 11 * Advanced Tissue Sciences Inc. 100,000 4 * Microstrategy Inc. Warrants 11,775 1 * Focal Communications Corp. 11,744 0 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $5,255,296) 4,207,729 - -------------------------------------------------------------------------------- 37 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE* SMALL-CAP INDEX FUND (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (5.7%)(1) - -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.56%, 1/8/2003 $ 2,000 2,000 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.21%, 1/2/2003--Note E 229,165 229,165 1.22%, 1/2/2003 10,548 10,548 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $241,712) 241,713 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (105.4%) (Cost $5,497,008) 4,449,442 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-5.4%) - -------------------------------------------------------------------------------- Other Assets--Note B 58,545 Security Lending Collateral Payable to Brokers--Note E (229,165) Other Liabilities (59,677) -------------- (230,297) -------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $4,219,145 - -------------------------------------------------------------------------------- *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 5.4%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2002, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 5,440,161 Overdistributed Net Investment Income (4,850) Accumulated Net Realized Losses (168,369) Unrealized Depreciation Investment Securities (1,047,566) Futures Contracts (231) - -------------------------------------------------------------------------------- NET ASSETS $4,219,145 ================================================================================ Investor Shares--Net Assets Applicable to 187,911,600 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $2,943,114 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $15.66 ================================================================================ Admiral Shares--Net Assets Applicable to 37,702,556 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $590,508 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $15.66 ================================================================================ Institutional Shares--Net Assets Applicable to 43,766,434 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $685,523 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $15.66 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 38 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (100.0%) - -------------------------------------------------------------------------------- * Cephalon, Inc. 168,267 8,189 * NVR, Inc. 22,300 7,259 * Alliant Techsystems, Inc. 116,375 7,256 Pogo Producing Co. 186,000 6,929 Fair, Isaac & Co. Inc. 154,425 6,594 Harman International industries, Inc. 98,400 5,855 * Newfield Exploration Co. 157,400 5,674 * Zebra Technologies Corp. Class A 95,900 5,495 * Coventry Health Care Inc. 182,600 5,301 Cullen/Frost Bankers, Inc. 155,300 5,078 * Accredo Health, Inc. 144,000 5,076 * Corinthian Colleges, Inc. 131,900 4,994 * Pharmaceutical Product Development, Inc. 168,200 4,923 * Chico's FAS, Inc. 258,000 4,879 * Mid Atlantic Medical Services, Inc. 146,000 4,730 * Renal Care Group, Inc. 147,600 4,670 * Performance Food Group Co. 137,298 4,663 * Scotts Co. 90,500 4,438 Hudson United Bancorp 136,900 4,258 Philadelphia Suburban Corp. 206,000 4,244 Werner Enterprises, Inc. 193,800 4,173 Graco, Inc. 145,300 4,163 La-Z-Boy Inc. 172,700 4,141 * O'Reilly Automotive, Inc. 162,100 4,100 * Medicis Pharmaceutical Corp. 82,000 4,073 Polaris Industries, Inc. 69,100 4,049 Ethan Allen Interiors, Inc. 114,800 3,946 Applebee's International, Inc. 168,050 3,897 United Bankshares, Inc. 128,300 3,729 Hilb, Rogal and Hamilton Co. 89,800 3,673 First Midwest Bancorp, Inc. 135,230 3,612 * Techne Corp. 126,050 3,601 Global Payments Inc. 112,400 3,598 * NBTY, Inc. 201,600 3,544 Roper Industries Inc. 95,600 3,499 * IDEXX Laboratories Corp. 105,000 3,497 * Heartland Express, Inc. 152,082 3,484 Regis Corp. 131,681 3,422 * Cerner Corp. 108,400 3,389 Diagnostic Products Corp. 87,100 3,364 * Cymer, Inc. 104,100 3,357 Ruby Tuesday, Inc. 194,000 3,354 Florida Rock Industries, Inc. 87,000 3,310 * Waste Connections, Inc. 85,300 3,293 * ITT Educational Services, Inc. 138,400 3,259 IDEX Corp. 99,100 3,241 Oshkosh Truck Corp. 52,000 3,198 Community First Bankshares, Inc. 119,510 3,162 UGI Corp. Holding Co. 84,200 3,148 Invacare Corp. 94,300 3,140 * Respironics, Inc. 101,919 3,102 * CACI International, Inc. 86,900 3,097 * Panera Bread Co. 88,700 3,088 * ResMed Inc. 100,800 3,081 * Priority Healthcare Corp. Class B 132,600 3,076 * Arbitron Inc. 90,200 3,022 Thor Industries, Inc. 87,100 2,999 * Southwest Bancorporation of Texas, Inc. 103,300 2,976 FactSet Research Systems Inc. 103,100 2,915 * Fossil, Inc. 141,402 2,876 Essex Property Trust, Inc. REIT 55,600 2,827 * Landstar System, Inc. 48,198 2,813 * Take-Two Interactive Software, Inc. 119,100 2,798 * P.F. Chang's China Bistro, Inc. 75,925 2,756 First Bancorp/Puerto Rico 121,700 2,750 Mentor Corp. 70,700 2,722 UCBH Holdings, Inc. 63,600 2,700 Patina Oil & Gas Corp. 84,800 2,684 * Cal Dive International, Inc. 114,000 2,679 * Hyperion Solutions Corp. 104,100 2,672 * Pacific Sunwear of California, Inc. 150,650 2,665 East West Bancorp, Inc. 72,700 2,623 * Evergreen Resources, Inc. 58,000 2,601 New Jersey Resources Corp. 81,900 2,587 * CEC Entertainment Inc. 84,100 2,582 * FLIR Systems, Inc. 51,600 2,518 * Pinnacle Systems, Inc. 184,600 2,512 * Regeneron Pharmaceuticals, Inc. 134,500 2,490 Chittenden Corp. 96,800 2,466 * Simpson Manufacturing Co. 74,500 2,451 * Varian Semiconductor Equipment Associates, Inc. 103,100 2,450 * Sonic Corp. 119,425 2,447 * Too Inc. 103,800 2,441 Clarcor Inc. 75,500 2,436 TrustCo Bank NY 225,933 2,436 * Cognex Corp. 129,915 2,394 Cabot Oil & Gas Corp. 96,400 2,389 * Knight Transportation, Inc. 113,300 2,379 The Toro Co. 37,100 2,371 Delta & Pine Land Co. 115,600 2,359 Brady Corp. Class A 70,600 2,355 Cooper Cos., Inc. 93,400 2,337 * Kroll Inc. 118,775 2,266 * Yellow Corp. 89,500 2,255 Georgia Gulf Corp. 97,400 2,254 Winnebago Industries, Inc. 57,300 2,248 G & K Services, Inc. Class A 63,134 2,235 MacDermid, Inc. 97,600 2,230 * Kronos, Inc. 59,934 2,217 39 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP GROWTH INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Roadway Corp. 59,000 2,172 * Watson Wyatt & Co. Holdings 99,700 2,168 * Hot Topic, Inc. 94,550 2,163 St. Mary Land & Exploration Co. 84,600 2,115 NDCHealth Corp. 105,200 2,094 * Manhattan Associates, Inc. 87,900 2,080 * DRS Technologies, Inc. 66,100 2,071 * SCP Pool Corp. 70,900 2,070 * INAMED Corp. 66,638 2,052 Baldor Electric Co. 103,500 2,044 The Manitowac Co., Inc. 80,050 2,041 Fred's, Inc. 78,100 2,007 * ADVO, Inc. 60,600 1,990 John H. Harland Co. 89,600 1,983 * Mercury Computer Systems, Inc. 64,500 1,969 * American Italian Pasta Co. 54,600 1,965 * Arkansas Best Corp. 75,500 1,962 * SERENA Software, Inc. 123,200 1,945 * Quiksilver, Inc. 72,300 1,928 * Dionex Corp. 64,573 1,918 * AMERIGROUP Corp. 62,300 1,888 * Cost Plus, Inc. 65,800 1,886 * Avid Technology, Inc. 80,800 1,854 * Barra, Inc. 60,300 1,829 Coca-Cola Bottling Co. 27,603 1,781 Engineered Support Systems, Inc. 48,100 1,763 * DIANON Systems, Inc. 36,800 1,756 * ATMI, Inc. 93,400 1,730 * MAXIMUS, Inc. 66,100 1,725 * Sybron Dental Specialties, Inc. 115,200 1,711 Owens & Minor, Inc. Holding Co. 103,400 1,698 * CUNO Inc. 50,300 1,666 * Argosy Gaming Co. 87,700 1,660 Wintrust Financial Corp. 52,400 1,641 Sterling Bancshares, Inc. 133,550 1,632 * Christopher & Banks Corp. 78,550 1,630 * Hydrill Co. 68,600 1,617 * ICU Medical, Inc. 43,100 1,608 * Haemonetics Corp. 74,600 1,601 CARBO Ceramics Inc. 47,100 1,587 Inter-Tel, Inc. 75,100 1,570 * Biosite Inc. 45,200 1,538 * Teledyne Technologies, Inc. 97,200 1,524 * Pre-Paid Legal Services, Inc. 57,600 1,509 * SurModics, Inc. 52,500 1,506 Dime Community Bancshares 78,400 1,501 * Power Integrations, Inc. 87,119 1,481 * United Natural Foods, Inc. 58,139 1,474 Valmont Industries, Inc. 72,700 1,410 * WMS Industries, Inc. 93,900 1,407 * The Gymboree Corp. 88,300 1,400 Frontier Oil Corp. 79,600 1,371 Boston Private Financial Holdings, Inc. 8,500 1,360 * Progress Software Corp. 103,900 1,346 * FileNET Corp. 109,370 1,334 WD-40 Co. 50,200 1,326 * Remington Oil & Gas Corp. 79,900 1,311 * AmSurg Corp. 62,400 1,275 * Forward Air Corp. 65,296 1,267 * Advanced Energy Industries, Inc. 97,700 1,243 * Genesco, Inc. 66,600 1,241 EDO Corp. 59,700 1,241 * Enzo Biochem, Inc. 86,371 1,209 * Photon Dynamics, Inc. 52,200 1,190 * MICROS Systems, Inc. 53,020 1,189 K-Swiss, Inc. 54,700 1,188 * Startek, Inc. 43,000 1,187 Libbey, Inc. 45,400 1,180 * Itron, Inc. 61,000 1,169 * Trimble Navigation Ltd. 88,480 1,105 * Sierra Health Services, Inc. 90,000 1,081 * Rogers Corp. 48,000 1,068 Oshkosh B' Gosh, Inc. Class A 37,500 1,052 * Advanced Medical Optics 87,200 1,044 * Shuffle Master, Inc. 53,280 1,018 * Intermagnetics General Corp. 50,244 987 New England Business Service, Inc. 39,600 966 * Rudolph Technologies, Inc. 49,800 954 * ANSYS, Inc. 44,500 899 * MRO Software Inc. 73,900 898 Helix Technology Corp. 79,500 890 Hancock Fabrics, Inc. 57,600 878 * Prima Energy Corp. 38,897 870 * Plains Resources Inc. 73,100 866 * Kulicke & Soffa Industries, Inc. 150,300 860 * Planar Systems, Inc. 41,357 853 * 4Kids Entertainment Inc. 38,500 850 Advanced Marketing Services 57,800 850 * J. Jill Group, Inc. 59,350 830 * Kopin Corp. 211,350 828 * Radiant Systems, Inc. 85,196 820 * Labor Ready, Inc. 125,100 803 Lindsay Manufacturing Co. 35,800 766 * MemberWorks, Inc. 39,300 707 * Boston Communications Group, Inc. 53,000 674 Quaker Chemical Corp. 28,400 659 * Wabash National Corp. 78,100 655 * Noven Pharmaceuticals, Inc. 68,702 634 * ArthroCare Corp. 63,900 629 Keithley Instruments Inc. 48,500 606 * Midway Games Inc. 141,500 590 * Rainbow Technologies, Inc. 79,900 573 * MGI Pharma, Inc. 76,700 556 40 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- BEI Technologies, Inc. 43,649 488 * Catapult Communications Corp. 39,600 473 * Concord Communications, Inc. 52,197 469 * Champion Enterprises, Inc. 155,200 442 X-Rite Inc. 61,568 430 * Harmonic, Inc. 182,900 421 * Syncor International Corp. 12,700 352 * QRS Corp. 48,150 318 * Zix Corp. 56,600 250 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $477,577) 491,457 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (2.0%) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.21%, 1/2/2003--Note E $8,790 8,790 1.22%, 1/2/2003 935 935 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $9,725) 9,725 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (102.0%) (Cost $487,302) 501,182 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-2.0%) - -------------------------------------------------------------------------------- Other Assets--Note B 3,831 Liabilities--Note E (13,477) -------------- (9,646) -------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $491,536 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2002, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 607,168 Overdistributed Net Investment Income (486) Accumulated Net Realized Losses (129,026) Unrealized Appreciation 13,880 - -------------------------------------------------------------------------------- NET ASSETS $491,536 ================================================================================ Investor Shares--Net Assets Applicable to 42,317,349 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $388,020 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $9.17 ================================================================================ Institutional Shares--Net Assets Applicable to 11,288,644 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $103,516 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $9.17 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 41 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (100.1%) - -------------------------------------------------------------------------------- First American Corp. 668,300 14,836 Washington Federal Inc. 587,188 14,592 Raymond James Financial, Inc. 448,000 13,252 * Toll Brothers, Inc. 649,700 13,124 Whitney Holdings Corp. 370,430 12,346 Staten Island Bancorp, Inc. 557,400 11,226 The Timken Co. 586,000 11,193 * Skyworks Solutions, Inc. 1,274,195 10,984 Piedmont Natural Gas, Inc. 305,000 10,782 Jefferies Group, Inc. 248,900 10,446 AptarGroup Inc. 333,400 10,415 Shurgard Storage Centers, Inc. Class A REIT 332,000 10,405 Downey Financial Corp. 259,900 10,136 Corn Products International, Inc. 330,800 9,967 * Zale Corp. 307,700 9,816 Commercial Federal Corp. 419,100 9,786 Atmos Energy Corp. 416,500 9,713 MDC Holdings, Inc. 247,141 9,456 * Pediatrix Medical Group, Inc. 234,100 9,378 Energen Corp. 321,300 9,350 * Linens 'n Things, Inc. 408,800 9,239 * Tom Brown, Inc. 363,992 9,136 * United Stationers, Inc. 301,168 8,674 * Mueller Industries Inc. 317,700 8,657 Briggs & Stratton Corp. 200,300 8,507 * Southern Union Co. 515,256 8,502 * AnnTaylor Stores Corp. 415,800 8,491 The South Financial Group, Inc. 409,186 8,454 * SEACOR SMIT Inc. 184,950 8,230 * Stone Energy Corp. 244,300 8,150 Black Box Corp. 180,276 8,076 * Anixter International Inc. 347,200 8,072 Ryland Group, Inc. 238,000 7,937 Susquehanna Bancshares, Inc. 367,503 7,659 Standard Pacific Corp. 303,200 7,504 * Unit Corp. 401,000 7,439 Burlington Coat Factory Warehouse Corp. 412,600 7,406 * EMCOR Group, Inc. 138,200 7,326 MAF Bancorp, Inc. 215,634 7,316 Cambrex Corp. 241,400 7,293 A.O. Smith Corp. 268,600 7,255 Delphi Financial Group, Inc. 190,977 7,249 Southwest Gas Corp. 307,900 7,220 USFreightways Corp. 249,900 7,185 * US Oncology, Inc. 828,126 7,180 Colonial Properties Trust REIT 209,000 7,093 * Philadelphia Consolidated Holding Corp. 199,900 7,076 CH Energy Group, Inc. 150,000 6,995 ABM Industries Inc. 449,800 6,972 Skywest, Inc. 532,650 6,962 * UICI 446,800 6,948 Massey Energy Co. 698,534 6,790 * Kansas City Southern 565,400 6,785 * Cimarex Energy Co. 377,526 6,758 * Ralcorp Holdings, Inc. 267,800 6,732 Lennox International Inc. 534,674 6,710 * Men's Wearhouse, Inc. 377,900 6,481 * Benchmark Electronics, Inc. 225,000 6,449 Russ Berrie and Co., Inc. 189,900 6,415 Northwest Natural Gas Co. 236,800 6,408 Central Parking Corp. 333,400 6,288 * Jack in the Box Inc. 362,700 6,271 Vintage Petroleum, Inc. 587,300 6,196 Analogic Corp. 123,100 6,190 Selective Insurance Group 245,030 6,170 Kellwood Co. 237,100 6,165 Capital Automotive REIT 259,417 6,148 Reliance Steel & Aluminum Co. 294,450 6,136 * AmeriPath, Inc. 284,296 6,112 * Kirby Corp. 222,600 6,097 American Financial Holdings, Inc. 203,550 6,082 R.L.I. Corp. 217,200 6,060 Curtiss-Wright Corp. 94,800 6,050 Hughes Supply, Inc. 221,400 6,049 * Tetra Tech, Inc. 492,900 6,013 Technitrol, Inc. 372,100 6,006 LandAmerica Financial Group, Inc. 168,500 5,973 Kilroy Realty Corp. REIT 258,400 5,956 Waypoint Financial Corp. 331,167 5,895 New Century Financial Corp. 231,200 5,870 * Shaw Group, Inc. 350,000 5,758 Wolverine World Wide, Inc. 374,700 5,662 Alpharma, Inc. Class A 475,100 5,658 * Rare Hospitality International Inc. 203,950 5,633 * Adaptec, Inc. 995,743 5,626 Casey's General Stores, Inc. 460,328 5,621 * Oceaneering International, Inc. 226,700 5,609 The Pep Boys (Manny, Moe & Jack) 477,900 5,544 Landry's Restaurants, Inc. 256,600 5,450 UniSource Energy Corp. 311,300 5,382 * Coherent, Inc. 269,057 5,368 * Paxar Corp. 363,400 5,360 Tredegar Corp. 356,300 5,345 * Steel Dynamics, Inc. 441,000 5,305 Provident Bankshares Corp. 227,242 5,252 * CONMED Corp. 265,756 5,206 Acuity Brands, Inc. 383,400 5,191 * PRG-Schultz International, Inc. 581,900 5,179 42 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Orthodontic Centers of America, Inc. 473,000 5,160 Avista Corp. 444,700 5,141 * Electro Scientific Industries, Inc. 257,000 5,140 * Sunrise Assisted Living, Inc. 205,900 5,125 Cato Corp. Class A 235,900 5,093 * El Paso Electric Co. 462,500 5,088 Quanex Corp. 151,300 5,069 Russell Corp. 298,500 4,997 * Atlantic Coast Airlines Holdings Inc. 414,546 4,987 * Group 1 Automotive, Inc. 208,500 4,979 * Triarc Cos., Inc. Class A 188,700 4,951 * Axcelis Technologies, Inc. 882,411 4,949 * Maverick Tube Corp. 379,400 4,944 * Aztar Corp. 345,200 4,929 * THQ Inc. 367,200 4,865 * Hutchinson Technology, Inc. 234,528 4,855 * CDI Corp. 179,000 4,829 Regal-Beloit Corp. 231,900 4,800 Texas Industries, Inc. 195,100 4,741 * Hain Celestial Group, Inc. 311,744 4,739 Anchor Bancorp Wisconsin Inc. 227,195 4,714 The Standard Register Co. 261,000 4,698 * Triumph Group, Inc. 147,000 4,695 * American Management Systems, Inc. 391,558 4,695 * IHOP Corp. 194,800 4,675 UIL Holdings Corp. 133,700 4,662 * Exar Corp. 368,662 4,571 Glenborough Realty Trust, Inc. REIT 256,300 4,567 * Offshore Logistics, Inc. 208,102 4,562 Woodward Governor Co. 104,800 4,559 * First Federal Financial Corp. 156,600 4,534 * Ryan's Family Steak Houses, Inc. 396,400 4,499 * Monaco Coach Corp. 267,000 4,419 Seacoast Financial Services Corp. 220,447 4,411 Aaron Rents, Inc. Class B 200,900 4,394 * Province Healthcare Co. 449,400 4,373 * Financial Federal Corp. 171,800 4,317 * Verity, Inc. 321,740 4,308 Rock-Tenn Co. 318,000 4,287 Commercial Metals Co. 262,900 4,269 Irwin Financial Corp. 256,800 4,237 The Laclede Group, Inc. 175,000 4,235 C & D Technologies, Inc. 237,800 4,202 * Griffon Corp. 307,670 4,190 * Insituform Technologies Inc. Class A 243,500 4,152 Thomas Industries, Inc. 158,200 4,123 * Jo-Ann Stores, Inc. Class A 179,200 4,116 Riggs National Corp. 264,292 4,094 Zenith National Insurance Corp. 173,900 4,090 Flagstar Bancorp, Inc. 189,000 4,082 * Photronics Inc. 295,800 4,052 Wellman, Inc. 295,400 3,985 * DSP Group Inc. 251,500 3,979 * URS Corp. 278,100 3,957 * Lone Star Technologies, Inc. 265,200 3,949 Watts Industries Class A 250,800 3,948 * eFunds Corp. 432,696 3,942 Brown Shoe Co., Inc. 163,600 3,899 Watsco, Inc. 237,050 3,883 * Atwood Oceanics, Inc. 128,700 3,874 The Marcus Corp. 272,800 3,874 * DuPont Photomasks, Inc. 166,400 3,869 * NCO Group, Inc. 240,200 3,831 * Aeroflex, Inc. 551,880 3,808 Arch Chemicals, Inc. 207,700 3,791 * Duane Reade Inc. 221,900 3,772 * International Multifoods Corp. 177,300 3,757 * Armor Holdings, Inc. 272,500 3,752 Lone Star Steakhouse & Saloon, Inc. 193,834 3,749 Stewart & Stevenson Services, Inc. 264,140 3,735 Bowne & Co., Inc. 310,300 3,708 * Ionics, Inc. 162,300 3,700 Methode Electronics, Inc. Class A 335,356 3,679 * W-H Energy Services, Inc. 250,400 3,653 * Spherion Corp. 545,270 3,653 * Actel Corp. 223,750 3,629 * Global Imaging Systems, Inc. 196,440 3,611 * Viasys Healthcare Inc. 242,400 3,609 * Brooks-PRI Automation, Inc. 313,648 3,594 * The Dress Barn, Inc. 269,322 3,582 * O'Charley's Inc. 174,200 3,576 Vital Signs, Inc. 119,414 3,568 Barnes Group, Inc. 174,700 3,555 * Insight Enterprises, Inc. 426,100 3,541 Hooper Holmes, Inc. 576,000 3,537 Belden, Inc. 231,300 3,520 * Stewart Information Services Corp. 164,300 3,514 Universal Forest Products, Inc. 164,395 3,505 Park Electrochemical Corp. 180,600 3,468 * PolyMedica Corp. 112,400 3,466 * Nautica Enterprises, Inc. 311,695 3,463 * General Communication, Inc. 512,290 3,437 * Esterline Technologies Corp. 193,400 3,417 * School Specialty, Inc. 170,900 3,415 * Prime Hospitality Corp. 417,100 3,399 Datascope Corp. 136,673 3,390 43 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Schweitzer-Mauduit International, Inc. 138,100 3,383 * Imagistics International Inc. 168,400 3,368 Applied Industrial Technology, Inc. 177,000 3,345 PolyOne Corp. 851,559 3,338 * ShopKo Stores, Inc. 267,100 3,325 Fleming Cos., Inc. 505,200 3,319 American States Water Co. 140,250 3,247 * Vicor Corp. 392,385 3,238 Chemed Corp. 90,800 3,210 Lance, Inc. 269,700 3,193 Arctic Cat, Inc. 199,269 3,188 GenCorp, Inc. 399,900 3,167 * Information Holdings Inc. 202,200 3,138 Fremont General Corp. 698,800 3,138 ElkCorp 181,100 3,133 Action Performance Cos., Inc. 164,600 3,127 * Veeco Instruments, Inc. 269,500 3,115 * Checkpoint Systems, Inc. 300,700 3,109 * Ciber, Inc. 597,500 3,077 * The Wet Seal, Inc. Class A 283,500 3,051 * JAKKS Pacific, Inc. 225,916 3,043 * Standard Microsystem Corp. 155,659 3,031 * SOURCECORP, Inc. 162,100 3,013 JLG Industries, Inc. 397,400 2,992 * Gardner Denver Inc. 147,400 2,992 * Impath, Inc. 151,000 2,978 Myers Industries, Inc. 277,976 2,974 Phillips-Van Heusen Corp. 257,200 2,973 * Sola International Inc. 227,700 2,960 Deltic Timber Corp. 110,400 2,948 * J & J Snack Foods Corp. 82,229 2,936 * SPS Technologies, Inc. 121,100 2,876 * The Great Atlantic & Pacific Tea Co., Inc. 356,100 2,870 Cohu, Inc. 192,900 2,836 Haverty Furniture Cos., Inc. 202,700 2,818 * TETRA Technologies, Inc. 131,000 2,799 * RehabCare Group, Inc. 146,500 2,795 * ViaSat, Inc. 240,600 2,777 * Dendrite International, Inc. 369,981 2,764 * Consolidated Graphics, Inc. 123,000 2,737 * Southwestern Energy Co. 238,400 2,730 * First Republic Bank 136,500 2,729 Lawson Products, Inc. 88,000 2,726 * Dril-Quip, Inc. 161,200 2,724 Presidential Life Corp. 273,796 2,719 Pioneer Standard Electronics Inc. 295,000 2,708 The Stride Rite Corp. 373,900 2,681 * Allen Telecom Inc. 282,400 2,674 Standex International Corp. 112,000 2,670 Systems & Computer Technology Corp. 309,854 2,665 * CIMA Labs Inc. 108,400 2,622 * The Children's Place Retail Stores, Inc. 245,305 2,610 * Fleetwood Enterprises, Inc. 332,300 2,609 * Steak n Shake Co. 256,100 2,561 * JDA Software Group, Inc. 264,800 2,558 * PAREXEL International Corp. 232,742 2,558 NUI Corp. 146,900 2,535 Chesapeake Corp. of Virginia 140,100 2,501 Dimon Inc. 413,500 2,481 * ESS Technology, Inc. 393,875 2,477 * Caraustar Industries, Inc. 260,487 2,469 Robbins & Myers, Inc. 133,800 2,462 * Heidrick & Struggles International, Inc. 167,800 2,462 * Cable Design Technologies Corp. 414,750 2,447 * Swift Energy Co. 252,000 2,437 CTS Corp. 312,900 2,425 * Volt Information Sciences Inc. 140,700 2,406 Sturm, Ruger & Co., Inc. 250,900 2,401 * Tower Automotive, Inc. 529,500 2,383 * TBC Corp. 196,517 2,360 * Stein Mart, Inc. 383,744 2,341 * Veritas DGC Inc. 293,700 2,320 Coachmen Industries, Inc. 146,300 2,312 Apogee Enterprises, Inc. 257,200 2,302 Skyline Corp. 77,500 2,286 Kaman Corp. Class A 207,417 2,282 * Pegasus Solutions Inc. 227,401 2,281 * SPSS, Inc. 158,640 2,219 * Audiovox Corp. 212,529 2,198 * Hologic, Inc. 179,800 2,195 * Bally Total Fitness Holding Corp. 306,600 2,174 Cash America International Inc. 227,600 2,167 * Stillwater Mining Co. 402,200 2,152 SWS Group, Inc. 158,158 2,145 * Buckeye Technology, Inc. 345,600 2,125 * Mobile Mini, Inc. 133,400 2,090 GBC Bancorp 107,700 2,085 * Ultratech Stepper, Inc. 211,472 2,081 * On Assignment, Inc. 244,086 2,080 Pope & Talbot, Inc. 144,500 2,061 Bel Fuse, Inc. Class B 101,697 2,049 Cascade Natural Gas Corp. 102,100 2,042 * Input/Output, Inc. 477,500 2,029 Central Vermont Public Service Corp. 109,100 1,994 * Pericom Semiconductor Corp. 238,275 1,980 * Nuevo Energy Co. 177,300 1,968 * RTI International Metals 192,000 1,939 44 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Curative Health Services Inc. 111,600 1,925 * Insurance Auto Auctions, Inc. 114,246 1,895 Milacron Inc. 315,700 1,878 National Presto Industries, Inc. 63,700 1,872 * Cleveland-Cliffs Iron Co. 94,100 1,868 * Frontier Airlines, Inc. 271,873 1,838 * Astec Industries, Inc. 183,900 1,826 OM Group, Inc. 262,900 1,809 Oxford Industries, Inc. 70,000 1,796 Northwestern Corp. 348,500 1,770 * Bio-Technology General Corp. 549,700 1,760 Building Materials Holding Corp. 122,460 1,751 * Supertex, Inc. 116,900 1,741 * Lydall, Inc. 149,900 1,701 * Material Sciences Corp. 131,300 1,699 * Pinnacle Entertainment, Inc. 242,700 1,682 Talx Corp. 128,800 1,664 Angelica Corp. 80,400 1,660 * Microsemi Corp. 270,163 1,645 * AstroPower, Inc. 203,609 1,627 * K2 Inc. 167,500 1,575 * Administaff, Inc. 261,300 1,568 Bassett Furniture Industries, Inc. 109,463 1,568 * Department 56 Inc. 120,600 1,556 AAR Corp. 297,200 1,531 Standard Motor Products, Inc. 117,100 1,522 Steel Technologies, Inc. 89,600 1,520 * Tollgrade Communications, Inc. 126,700 1,486 * Metro One Telecommunications, Inc. 228,793 1,476 Interface, Inc. 479,600 1,472 * Omnova Solutions Inc. 358,200 1,444 Century Aluminum Co. 192,700 1,428 * Concord Camera Corp. 261,257 1,419 Ryerson Tull, Inc. 232,293 1,417 * Ultimate Electronics, Inc. 135,800 1,378 * Artesyn Technologies, Inc. 358,714 1,377 Nature's Sunshine Inc. 141,392 1,373 * Goody's Family Clothing 305,257 1,355 * Alliance Semiconductor Corp. 337,748 1,327 * Symmetricom Inc. 312,309 1,318 * RadiSys Corp. 165,032 1,317 * Phoenix Technologies Ltd. 227,800 1,314 * Footstar Inc. 188,500 1,312 * Thomas Nelson, Inc. 130,900 1,312 * NYFIX, Inc. 290,875 1,309 * Three-Five Systems, Inc. 200,700 1,295 * PC-Tel, Inc. 186,622 1,265 * CryoLife Inc. 183,500 1,253 * SBS Technologies, Inc. 136,000 1,246 * Mesa Air Group Inc. 304,400 1,239 * BE Aerospace, Inc. 334,700 1,218 * IMCO Recycling, Inc. 141,900 1,154 Butler Manufacturing Co. 59,100 1,144 * C-COR Electronics, Inc. 339,471 1,127 * Theragenics Corp. 278,300 1,122 * Applica Inc. 219,600 1,098 CPI Corp. 74,900 1,085 * Netegrity, Inc. 319,895 1,041 * Osteotech, Inc. 158,715 1,022 * Bell Microproducts Inc. 183,950 1,019 Commonwealth Industries Inc. 149,100 1,018 Penford Corp. 72,100 1,016 Intermet Corp. 238,700 1,003 * Carreker Corp. 220,100 997 * Salton, Inc. 102,800 989 * Magnatek, Inc. 220,400 979 Green Mountain Power Corp. 45,825 961 * Enesco Group, Inc. 130,000 920 * Midas Inc. 140,200 901 * Royal Appliance Manufacturing Co. 120,000 872 * Roxio, Inc. 182,027 868 * Huffy Corp. 145,000 866 Nash-Finch Co. 111,789 864 Fedders Corp. 305,100 863 * Brush Engineered Materials Inc. 155,500 855 * Gerber Scientific, Inc. 206,900 840 * Network Equipment Technologies, Inc. 210,700 826 * Ashworth, Inc. 123,993 794 * MapInfo Corp. 141,908 788 * A.T. Cross Co. Class A 147,010 787 * Midwest Express Holdings, Inc. 145,100 776 Haggar Corp. 60,200 758 * Concerto Software Inc. 109,000 736 * Captaris Inc. 298,353 716 * Computer Task Group, Inc. 195,400 682 * Wolverine Tube, Inc. 114,800 656 * A.M. Castle & Co. 141,400 643 * SCM Microsystems, Inc. 147,178 626 * Luby's, Inc. 210,400 612 * ArQule, Inc. 200,600 612 * Hall, Kinion & Associates, Inc. 109,305 611 * Brooktrout Technology, Inc. 114,676 608 SCPIE Holdings Inc. 92,100 607 * Digi International, Inc. 207,729 604 * Meade Instruments Corp. 185,476 579 * Aware, Inc. 212,200 463 * Analysts International Corp. 227,046 450 * Information Resources, Inc. 275,992 442 * Flow International Corp. 143,163 365 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $1,750,240) 1,516,486 - -------------------------------------------------------------------------------- 45 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE* SMALL-CAP VALUE INDEX FUND (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENT (3.2%) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.21%, 1/2/2003--Note E (Cost $47,669) $47,669 47,669 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.3%) (Cost $1,797,909) 1,564,155 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.3%) - -------------------------------------------------------------------------------- Other Assets--Note B 18,120 Security Lending Collateral Payable to Brokers--Note E (47,669) Other Liabilities (20,111) -------------- (49,660) -------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $1,514,495 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2002, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $1,907,118 Overdistributed Net Investment Income (148) Accumulated Net Realized Losses (158,721) Unrealized Depreciation (233,754) - -------------------------------------------------------------------------------- NET ASSETS $1,514,495 ================================================================================ Investor Shares--Net Assets Applicable to 138,008,336 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $1,176,401 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $8.52 ================================================================================ Institutional Shares--Net Assets Applicable to 39,646,249 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $338,094 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $8.53 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 46 STATEMENT OF OPERATIONS This Statement shows the types of 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 income 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) of investments during the period. SMALL-CAP SMALL-CAP SMALL-CAP GROWTH INDEX VALUE INDEX INDEX FUND FUND FUND --------------------------------------- YEAR ENDED DECEMBER 31, 2002 --------------------------------------- (000) (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 59,390 $ 2,332 $ 19,341 Interest 509 19 132 Security Lending 2,871 214 703 - -------------------------------------------------------------------------------- Total Income 62,770 2,565 20,176 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 190 108 108 Management and Administrative Investor Shares 7,962 790 2,916 Admiral Shares 943 -- -- Institutional Shares 445 56 258 Marketing and Distribution Investor Shares 563 56 174 Admiral Shares 81 -- -- Institutional Shares 112 24 83 Custodian Fees 208 61 234 Auditing Fees 12 12 12 Shareholders' Reports and Proxies Investor Shares 200 35 70 Admiral Shares 1 -- -- Institutional Shares -- -- -- Trustees' Fees and Expenses 6 1 2 - -------------------------------------------------------------------------------- Total Expenses 10,723 1,143 3,857 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 52,047 1,422 16,319 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (95,817) (51,171) (157,642) Futures Contracts (3,141) -- -- - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (98,958) (51,171) (157,642) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (988,999) (41,084) (249,915) Futures Contracts (852) -- -- - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (989,851) (41,084) (249,915) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(1,036,762) $(90,833) $(391,238) ================================================================================ 47 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 INDEX FUND SMALL-CAP GROWTH INDEX FUND YEAR ENDED DECEMBER 31, ------------------------------------------------------ 2002 2001 2002 2001 (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS Operations Net Investment Income $ 52,047 $ 50,985 $ 1,422 $ 581 Realized Net Gain (Loss) (98,958) (52,580) (51,171) (48,002) Change in Unrealized Appreciation (Depreciation) (989,851) 136,145 (41,084) 43,495 - --------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (1,036,762) 134,550 (90,833) ( 3,926) - --------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (35,750) (39,463) (1,051) (492) Admiral Shares (7,673) (6,508) -- -- Institutional Shares (8,974) (6,951) (460) (295) Realized Capital Gain Investor Shares -- -- -- -- Admiral Shares -- -- -- -- Institutional Shares -- -- -- -- - --------------------------------------------------------------------------------------------------- Total Distributions (52,397) (52,922) (1,511) (787) - --------------------------------------------------------------------------------------------------- Capital Share Transactions--Note F Investor Shares 194,844 (89,727) 98,555 5,837 Admiral Shares 187,727 283,860 -- -- Institutional Shares 249,580 82,121 19,034 36,746 - --------------------------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 632,151 276,254 117,589 42,583 - --------------------------------------------------------------------------------------------------- Total Increase (Decrease) (457,008) 357,882 25,245 37,870 - --------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period 4,676,153 4,318,271 466,291 428,421 - --------------------------------------------------------------------------------------------------- End of Period $4,219,145 $4,676,153 $ 491,536 -$466,291 ===================================================================================================
48 - -------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND YEAR ENDED DECEMBER 31, ------------------------- 2002 2001 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 16,319 $ 8,085 Realized Net Gain (Loss) (157,642) 51,790 Change in Unrealized Appreciation (Depreciation) (249,915) 22,382 - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (391,238) 82,257 - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (12,346) (4,910) Institutional Shares (4,083) (2,439) Realized Capital Gain* Investor Shares (26,299) (29,945) Institutional Shares (11,401) (10,672) - -------------------------------------------------------------------------------- Total Distributions (54,129) (47,966) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares 713,241 454,665 Institutional Shares 118,815 235,917 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 832,056 690,582 - -------------------------------------------------------------------------------- Total Increase (Decrease) 386,689 724,873 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 1,127,806 402,933 - -------------------------------------------------------------------------------- End of Period $1,514,495 1,127,806 ================================================================================ *Includes short-term gain distributions totaling $26,363,000 and $31,867,000, respectively, that are treated as ordinary income dividends for tax purposes. 49 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
SMALL-CAP INDEX FUND INVESTOR SHARES - ------------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.82 $19.44 $23.60 $21.20 $23.75 - ------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .192 .217 .270 .256 .311 Net Realized and Unrealized Gain (Loss) on Investments (4.160) .388 (1.145) 4.491 (1.007) Total from Investment Operations (3.968) .605 (.875) 4.747 (.696) - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.192) (.225) (.260) (.267) (.304) Distributions from Realized Capital Gains -- -- (3.025) (2.080) (1.550) - ------------------------------------------------------------------------------------------------------------------- Total Distributions (.192) (.225) (3.285) (2.347) (1.854) - ------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $15.66 $19.82 $19.44 $23.60 $21.20 =================================================================================================================== TOTAL RETURN* -20.02% 3.10% -2.67% 23.13% -2.61% =================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $2,943 $3,545 $3,577 $3,553 $2,768 Ratio of Total Expenses to Average Net Assets 0.27% 0.27% 0.27% 0.25% 0.24% Ratio of Net Investment Income to Average Net Assets 1.11% 1.16% 1.17% 1.25% 1.39% Portfolio Turnover Rate 32% 39% 49% 42% 35% ===================================================================================================================
*Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000, or the $10 annual account maintenance fee applied on balances under $10,000. 50 SMALL-CAP INDEX FUND ADMIRAL SHARES - -------------------------------------------------------------------------------- YEAR ENDED DEC. 31, NOV. 13* TO ------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.82 $19.44 $22.40 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .207 .231 .053 Net Realized and Unrealized Gain (Loss) on Investments (4.160) .388 .062 - -------------------------------------------------------------------------------- Total from Investment Operations (3.953) .619 .115 - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.207) (.239) (.265) Distributions from Realized Capital Gains -- -- (2.810) - -------------------------------------------------------------------------------- Total Distributions (.207) (.239) (3.075) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $15.66 $19.82 $19.44 ================================================================================ TOTAL RETURN -19.95% 3.17% 1.75% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $591 $547 $252 Ratio of Total Expenses to Average Net Assets 0.18% 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 1.22% 1.24% 1.79%** Portfolio Turnover Rate 32% 39% 49% ================================================================================ *Inception. **Annualized. SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
- ---------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ----------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ---------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.82 $19.44 $23.61 $21.20 $23.75 - ---------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .219 .251 .292 .295 .336 Net Realized and Unrealized Gain (Loss) on Investments (4.160) .388 (1.145) 4.491 (1.007) - ---------------------------------------------------------------------------------------------- Total from Investment Operations (3.941) .639 (.853) 4.786 (.671) - ---------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.219) (.259) (.292) (.296) (.329) Distributions from Realized Capital Gains -- -- (3.025) (2.080) (1.550) - ---------------------------------------------------------------------------------------------- Total Distributions (.219) (.259) (3.317) (2.376) (1.879) - ---------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $15.66 $19.82 $19.44 $23.61 $21.20 ============================================================================================== TOTAL RETURN* -19.89% 3.27% -2.56% 23.33% -2.50% ============================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $686 $584 $490 $415 $264 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.13% 0.12% 0.12% Ratio of Net Investment Income to Average Net Assets 1.32% 1.34% 1.32% 1.37% 1.53% Portfolio Turnover Rate 32% 39% 49% 42% 35% ==============================================================================================
*Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000. 51 FINANCIAL HIGHLIGHTS (CONTINUED) SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES
- ---------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, APR. 20* TO ------------------------------------ DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ---------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $10.87 $10.97 $11.38 $ 9.53 $10.00 - ---------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .027 .009 .009 .025 .03 Net Realized and Unrealized Gain (Loss) on Investments (1.702) (.094) .154 1.860 (.47) - ---------------------------------------------------------------------------------------------- Total from Investment Operations (1.675) (.085) .163 1.885 (.44) - ---------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.025) (.015) (.003) (.035) (.03) Distributions from Realized Capital Gains -- -- (.570) -- -- - ---------------------------------------------------------------------------------------------- Total Distributions (.025) (.015) (.573) (.035) (.03) - ---------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 9.17 $10.87 $10.97 $11.38 $ 9.53 ============================================================================================== TOTAL RETURN** -15.41% -.78% 1.59% 19.80% -4.77% ============================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $388 $357 $356 $167 $90 Ratio of Total Expenses to Average Net Assets 0.27% 0.27% 0.27% 0.25% 0.25%+ Ratio of Net Investment Income to Average Net Assets 0.24% 0.11% 0.03% 0.33% 0.63%+ Portfolio Turnover Rate 61% 74% 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% from March 1, 1999, through March 31, 2002; 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 - -------------------------------------------------------------------------------- YEAR ENDED DEC. 31, MAY 24* TO --------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $10.87 $10.97 $11.03 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .043 .024 .009 Net Realized and Unrealized Gain (Loss) on Investments (1.702) (.094) .513 - -------------------------------------------------------------------------------- Total from Investment Operations (1.659) (.070) .522 - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.041) (.030) (.012) Distributions from Realized Capital Gains -- -- (.570) - -------------------------------------------------------------------------------- Total Distributions (.041) (.030) (.582) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 9.17 $10.87 $10.97 ================================================================================ TOTAL RETURN** -15.26% -.64% 4.90% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $104 $109 $73 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.13%+ Ratio of Net Investment Income to Average Net Assets 0.41% 0.28% 0.11%+ Portfolio Turnover Rate 61% 74% 136% ================================================================================ *Inception. **Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002. +Annualized. 52 SMALL-CAP VALUE INDEX FUND INVESTOR SHARES
- ---------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, APR. 20* TO ------------------------------------ DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 1998 - ---------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $10.29 $ 9.65 $8.45 $8.74 $10.00 - ---------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .090 .074 .084 .065 .045 Net Realized and Unrealized Gain (Loss) on Investments (1.494) 1.176 1.698 .210 (1.250) - ---------------------------------------------------------------------------------------------- Total from Investment Operations (1.404) 1.250 1.782 .275 (1.205) - ---------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.090) (.065) (.082) (.070) (.055) Distributions from Realized Capital Gains (.276) (.545) (.500) (.495) -- - ---------------------------------------------------------------------------------------------- Total Distributions (.366) (.610) (.582) (.565) (.055) - ---------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 8.52 $10.29 $9.65 $8.45 $ 8.74 ============================================================================================== TOTAL RETURN** -14.20% 13.70% 21.88% 3.35% -12.47% ============================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,176 $802 $317 $204 $113 Ratio of Total Expenses to Average Net Assets 0.27% 0.27% 0.27% 0.25% 0.25%+ Ratio of Net Investment Income to Average Net Assets 0.93% 0.97% 1.16% 0.96% 1.13%+ Portfolio Turnover Rate 57% 59% 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% from March 1, 1999, through March 31, 2002; 1.0% from inception through February 28, 1999) or the $10 annual account maintenance fee applied on balances under $10,000. +Annualized. 53 FINANCIAL HIGHLIGHTS (CONTINUED) SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES
- ---------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, APR. 20* TO ----------------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2002 2001 2000 1999 - ---------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $10.29 $9.65 $8.45 $8.74 - ---------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .114 .089 .097 .009 Net Realized and Unrealized Gain (Loss) on Investments (1.494) 1.176 1.698 .226 - ---------------------------------------------------------------------------------------------- Total from Investment Operations (1.380) 1.265 1.795 .235 - ---------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.104) (.080) (.095) (.070) Distributions from Realized Capital Gains (.276) (.545) (.500) (.455) - ---------------------------------------------------------------------------------------------- Total Distributions (.380) (.625) (.595) (.525) - ---------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 8.53 $10.29 $9.65 $8.45 ============================================================================================== TOTAL RETURN** -13.96% 13.86% 22.04% 2.83% ============================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $338 $325 $86 $10 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.13% 0.13%+ Ratio of Net Investment Income to Average Net Assets 1.08% 1.14% 1.36% 1.37%+ Portfolio Turnover Rate 57% 59% 82% 80% ==============================================================================================
*Inception. **Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002. +Annualized. 54 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 and Small-Cap Value Index Funds each offer 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 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. 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). 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. 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. 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. 55 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. Fees assessed on purchases of capital shares through March 31, 2002, were credited to paid-in capital. Each class of shares has equal rights as 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), shareholder reporting, and proxies. 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 December 31, 2002, the funds had contributed capital to Vanguard (included in Other Assets) of: - -------------------------------------------------------------------------------- CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION - -------------------------------------------------------------------------------- Small-Cap $828 0.02% 0.83% Small-Cap Growth 98 0.02 0.10 Small-Cap Value 295 0.02 0.29 - -------------------------------------------------------------------------------- The funds' trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. At December 31, 2002, the funds had the following tax-basis amounts available for distribution, and capital losses available to offset future net capital gains: - -------------------------------------------------------------------------------- AMOUNT AVAILABLE FOR DISTRIBUTION CAPITAL LOSSES -------------------- ------------------ ORDINARY LONG-TERM EXPIRATION: FISCAL INCOME CAPITAL GAIN AMOUNT YEAR(S) ENDING INDEX FUND (000) (000) (000) DECEMBER 31 - -------------------------------------------------------------------------------- Small-Cap $ (4)* -- $166,823 2009-2011 Small-Cap Growth (35)* -- 129,023 2009-2011 Small-Cap Value (35)* -- 154,432 2010-2011 - -------------------------------------------------------------------------------- *Amount of the fund's December 2002 dividend payable in January 2003 that will be used to reduce required 2003 ordinary income dividends. 56 At December 31, 2002, net unrealized appreciation (depreciation) of investment securities for tax purposes was: - -------------------------------------------------------------------------------- (000) ------------------------------------ NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) - -------------------------------------------------------------------------------- Small-Cap $493,753 $(1,543,067) $(1,049,314) Small-Cap Growth 59,726 (45,846) 13,880 Small-Cap Value 70,447 (307,449) (237,002) - -------------------------------------------------------------------------------- At December 31, 2002, the aggregate settlement value of open futures contracts expiring in March 2003 and the related unrealized depreciation were: - -------------------------------------------------------------------------------- (000) -------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- Small-Cap/Russell 2000 Index 77 $14,753 $(231) - -------------------------------------------------------------------------------- Unrealized depreciation on open futures contracts is required to be treated as realized loss for tax purposes. D. During the year ended December 31, 2002, purchases and sales of investment securities other than temporary cash investments were: - -------------------------------------------------------------------------------- (000) ------------------------ INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------------- Small-Cap $2,075,293 $1,435,925 Small-Cap Growth 422,758 305,686 Small-Cap Value 1,744,571 945,507 - -------------------------------------------------------------------------------- E. The market value of securities on loan to broker/dealers at December 31, 2002, and collateral received with respect to such loans were: - -------------------------------------------------------------------------------- (000) --------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED - -------------------------------------------------------------------------------- Small-Cap $170,842 $229,165 Small-Cap Growth 7,836 8,790 Small-Cap Value 44,392 47,669 - -------------------------------------------------------------------------------- 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. 57 NOTES TO FINANCIAL STATEMENTS (CONTINUED) F. Capital share transactions for each class of shares were:
- ----------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------- 2002 2001 ------------------ ------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------- SMALL-CAP Investor Shares Issued $ 969,210 52,655 $ 842,493 43,928 Issued in Lieu of Cash Distributions 32,957 2,099 36,583 1,827 Redeemed (807,323) (45,694) (968,803) (50,931) -------------------------------------------- Net Increase (Decrease)--Investor Shares 194,844 9,060 (89,727) (5,176) -------------------------------------------- Admiral Shares Issued 360,338 19,812 368,539 19,184 Issued in Lieu of Cash Distributions 6,353 405 5,443 272 Redeemed (178,964) (10,091) (90,122) (4,848) -------------------------------------------- Net Increase (Decrease)--Admiral Shares 187,727 10,126 283,860 14,608 -------------------------------------------- Institutional Shares Issued 350,815 20,013 192,923 10,165 Issued in Lieu of Cash Distributions 7,773 495 3,075 138 Redeemed (109,008) (6,203) (113,877) (6,034) -------------------------------------------- Net Increase (Decrease)--Institutional Shares 249,580 14,305 82,121 4,269 - ----------------------------------------------------------------------------------------------- SMALL-CAP GROWTH Investor Shares Issued $186,828 18,562 $ 98,546 9,585 Issued in Lieu of Cash Distributions 853 93 377 34 Redeemed (89,126) (9,205) (93,086) (9,163) -------------------------------------------- Net Increase (Decrease)--Investor Shares 98,555 9,450 5,837 456 -------------------------------------------- Institutional Shares Issued 67,564 6,452 52,645 5,040 Issued in Lieu of Cash Distributions 457 50 295 27 Redeemed (48,987) (5,246) (16,194) (1,670) -------------------------------------------- Net Increase (Decrease)--Institutional Shares 19,034 1,256 36,746 3,397 - ----------------------------------------------------------------------------------------------- SMALL-CAP VALUE Investor Shares Issued $1,192,018 113,003 $ 562,858 56,428 Issued in Lieu of Cash Distributions 35,943 3,594 32,383 3,441 Redeemed (514,720) (56,570) (140,576) (14,715) -------------------------------------------- Net Increase (Decrease)--Investor Shares 713,241 60,027 454,665 45,154 -------------------------------------------- Institutional Shares Issued 278,790 25,926 290,445 28,569 Issued in Lieu of Cash Distributions 14,995 1,481 12,407 1,306 Redeemed (174,970) (19,366) (66,935) (7,182) -------------------------------------------- Net Increase (Decrease)--Institutional Shares 118,815 8,041 235,917 22,693 - -----------------------------------------------------------------------------------------------
58 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Small-Cap Index Fund, Small-Cap Growth Index Fund, and Small-Cap Value Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2002, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2002 by correspondence with the custodians and broker, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania January 30, 2003 59 - -------------------------------------------------------------------------------- SPECIAL 2002 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS (SMALL-CAPITALIZATION PORTFOLIOS) This information for the fiscal year ended December 31, 2002, is included pursuant to provisions of the Internal Revenue Code. The Small-Cap Value Index Fund distributed $11,337,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year, all of which is designated as a 20% rate gain distribution. For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: - -------------------------------------------------------------------------------- VANGUARD FUND PERCENTAGE - -------------------------------------------------------------------------------- Small-Cap 71.8% Small-Cap Growth 100.0 Small-Cap Value 96.5 - -------------------------------------------------------------------------------- 60 INVESTING IS FAST AND EASY ON VANGUARD.COM If you're like many Vanguard investors, you believe in planning and taking control of your own investments. Vanguard.com(R) was built for you--and it's getting better all the time. MANAGE YOUR INVESTMENTS WITH EASE Log on to Vanguard.com and: * See what you own (at Vanguard and elsewhere) and how you're doing by using our Consolidated View(TM) tool. * Check your overall asset allocation, no matter where your assets are held. * Compare your holdings with industry benchmarks. * Analyze your personal performance. * Invest online and even manage the mail you get from us. (Prefer to get fund reports like this one online? Just let us know!) * Set up a Watch List to make it easy to track funds and securities of interest. PLAN YOUR INVESTMENTS WITH CONFIDENCE Go to our Planning & Advice and Research Funds & Stocks sections and: * Take our Investor Questionnaire to find out what asset allocation might best suit your needs. * Find out how much you should save for retirement and for college costs. * Discover how investment costs affect your bottom line by using our Compare Fund Costs tool. * Find out how to maximize your after-tax returns in our PlainTalk(R) guide Be a Tax-Savvy Investor. * Attend our quarterly PlainTalk webcasts on investing. Find out what Vanguard.com can do for you. Log on today! 61 CAPITALIZE ON YOUR IRA Are you taking full advantage of your individual retirement account? You really should be. The contribution limits on IRAs were recently raised, making these tax-deferred accounts more powerful options for retirement savers. Here's how you can exploit your IRA--and improve your chances of having the retirement of your dreams. * CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR. It may be an obvious point, but if you invest as much in your IRA as the law allows--currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over--you will increase the odds of meeting your retirement goals. "Max out" every year you can. * MAKE IT AUTOMATIC. Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit. * CONSIDER COST. The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice. * REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS. Don't spend your retirement assets before you've retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA. If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit Vanguard.com. You can open or fund your IRA on our website, and have a confirmation in your hand within minutes. THE VANGUARD(R) FAMILY OF FUNDS STOCK FUNDS 500 Index Fund Calvert Social Index Fund Capital Opportunity Fund Capital Value Fund Convertible Securities Fund Developed Markets Index Fund Dividend Growth Fund Emerging Markets Stock Index Fund Energy Fund Equity Income Fund European Stock Index Fund Explorer(TM) Fund Extended Market Index Fund Global Equity Fund Growth and Income Fund Growth Equity Fund Growth Index Fund Health Care Fund Institutional Developed Markets Index Fund Institutional Index Fund Institutional Total Stock Market Index Fund International Explorer(TM) Fund International Growth Fund International Value Fund Mid-Cap Growth Fund Mid-Cap Index Fund Morgan(TM) Growth Fund Pacific Stock Index Fund Precious Metals Fund PRIMECAP Fund REIT Index Fund Selected Value Fund Small-Cap Growth Index Fund Small-Cap Index Fund Small-Cap Value Index Fund Strategic Equity Fund Tax-Managed Capital Appreciation Fund Tax-Managed Growth and Income Fund Tax-Managed International Fund Tax-Managed Small-Cap Fund Total International Stock Index Fund Total Stock Market Index Fund U.S. Growth Fund U.S. Value Fund Value Index Fund Windsor(TM) Fund Windsor(TM) II Fund BALANCED FUNDS Asset Allocation Fund Balanced Index Fund LifeStrategy(R) Conservative Growth Fund LifeStrategy(R) Growth Fund LifeStrategy(R) Income Fund LifeStrategy(R) Moderate Growth Fund STAR(TM) Fund Tax-Managed Balanced Fund Wellesley(R) Income Fund Wellington(TM) Fund BOND FUNDS GNMA Fund High-Yield Corporate Fund High-Yield Tax-Exempt Fund Inflation-Protected Securities Fund Institutional Total Bond Market Index Fund Insured Long-Term Tax-Exempt Fund Intermediate-Term Bond Index Fund Intermediate-Term Corporate Fund Intermediate-Term Tax-Exempt Fund Intermediate-Term Treasury Fund Limited-Term Tax-Exempt Fund Long-Term Bond Index Fund Long-Term Corporate Fund Long-Term Tax-Exempt Fund Long-Term Treasury Fund Short-Term Bond Index Fund Short-Term Corporate Fund Short-Term Federal Fund Short-Term Tax-Exempt Fund Short-Term Treasury Fund State Tax-Exempt Bond Funds (California, Florida, Massachusetts, New Jersey, New York, Ohio, Pennsylvania) Total Bond Market Index Fund MONEY MARKET FUNDS Admiral(TM) Treasury Money Market Fund Federal Money Market Fund Prime Money Market Fund State Tax-Exempt Money Market Funds (California, New Jersey, New York, Ohio, Pennsylvania) Tax-Exempt Money Market Fund Treasury Money Market Fund VARIABLE ANNUITY Balanced Portfolio Capital Growth Portfolio Diversified Value Portfolio Equity Income Portfolio Equity Index Portfolio Growth Portfolio High Yield Bond Portfolio International Portfolio Mid-Cap Index Portfolio Money Market Portfolio REIT Index Portfolio Short-Term Corporate Portfolio Small-Cap Index Portfolio Small Company Growth Portfolio Total Bond Market Index Portfolio Total Stock Market Index Portfolio For information about Vanguard funds and annuities, including charges and expenses, obtain a prospectus from The Vanguard Group, P.O. Box 2600, Valley Forge, PA 19482-2600. Read it carefully before you invest or send money. 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 a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis. A 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. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the
- ----------------------------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ----------------------------------------------------------------------------------------------------------------------------------- Chairman of the Board, Chairman of the Board, Chief Executive Officer, and JOHN J. BRENNAN* Chief Executive Officer, Director/Trustee of The Vanguard Group, Inc., and of each of the investment (July 29, 1954) and Trustee companies served by The Vanguard Group. May 1987 (112) - ----------------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Adviser (October 23, 1937) (112) to Greenwich Associates (international business-strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - ----------------------------------------------------------------------------------------------------------------------------------- RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (December 23, 1945) (90) Chairman (January-September 1999), and Vice President (prior to December 2001 December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. - ----------------------------------------------------------------------------------------------------------------------------------- JOANN HEFFERNAN HEISEN Trustee Vice President, Chief Information Officer, and Member of the Executive (January 25, 1950) (112) Committee of Johnson & Johnson (pharmaceuticals/consumer products); July 1998 Director of the Medical Center at Princeton and Women's Research and Education Institute. - ----------------------------------------------------------------------------------------------------------------------------------- BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton (August 28, 1932) (110) University; Director of Prudential Insurance Co. of America, BKF Capital May 1977 (investment management), The Jeffrey Co. (a holding company), and NeuVis, Inc. (a software company). - ----------------------------------------------------------------------------------------------------------------------------------- ALFRED M. RANKIN, JR. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (October 8, 1941) (112) Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich January 1993 Corporation (industrial products/aircraft systems and services); Director of the Standard Products Company (a supplier for the automotive industry) until 1998. - ----------------------------------------------------------------------------------------------------------------------------------- J. LAWRENCE WILSON Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (March 2, 1936) (112) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University.
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. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
- ----------------------------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ----------------------------------------------------------------------------------------------------------------------------------- R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc. (April 25, 1951) (112) (since September 1997); Secretary of The Vanguard Group, and of each June 2001 of the investment companies served by The Vanguard Group; Principal of The Vanguard Group (prior to September 1997). - ----------------------------------------------------------------------------------------------------------------------------------- THOMAS J. HIGGINS Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the investment (May 21, 1957) (112) companies served by The Vanguard Group. July 1998 - ----------------------------------------------------------------------------------------------------------------------------------- *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. VANGUARD SENIOR MANAGEMENT TEAM MORTIMOR J. BUCKLEY, Information Technology. JAMES H. GATELY, Director Investor Services. KATHLEEN C. GUBANICH, Human Resources. IAN A. MACKINNON, Fixed Income Group. F. WILLIAM MCNABB, III, Instititional Investor Group. MICHAEL S. MILLER, Planning and Developement. RALPH K. PACKARD, Chief Finanaicl Officer. GEORGE U. SAUTER, Quantitative Equity Group. - -------------------------------------------------------------------------------- JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. - -------------------------------------------------------------------------------- VANGUARD, THE VANGUARD GROUP, VANGUARD.COM, ADMIRAL, CONSOLIDATED VIEW, EXPLORER, MORGAN, LIFESTRATEGY, PLAINTALK, STAR, WELLESLEY, WELLINGTON, WINDOR, VANGUARD IRA and the ship logo are trademarks of The Vanguard Group, Inc. S&P500(R), STANDARD & POOR'S 500, and 500 are trademarks of the McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanugard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. CALVERT SOCIAL INDEX is a trademark of Calvert Group, Ltd., and has been licensed for use by The Vanguard Group, Inc. Vanguard Calvert Social Index Fund is not sponsored, endorsed, sold or promoted by Calvert Group, Ltd., and Calvert Group, Ltd. makes no representation regarding the advisability of investing in the fund. All other marks are the exclusive property of their respective owners. [SHIP] [THE VANGUARD GROUP LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 ABOUT OUR COVER The photographs of the sails and ship that appear on the cover of this report are copyrighted by Michael Kahn. FOR MORE INFORMATION 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. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through VANGUARD.COM(R). Prospectuses may also be viewed online. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. 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 TEXT TELEPHONE 1-800-952-3335 (C)2002 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q480 022003 -----END PRIVACY-ENHANCED MESSAGE-----