-----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, AMjiygAHFPO7ROMhWVDdANJaLwEUDQXcWcSJvq1VLrjSZ0fMQ2f5nKMNvpLxOmCO 499UjEquS+K9jdVEMmkuFg== 0000932471-03-000714.txt : 20030822 0000932471-03-000714.hdr.sgml : 20030822 20030822113124 ACCESSION NUMBER: 0000932471-03-000714 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030630 FILED AS OF DATE: 20030822 EFFECTIVENESS DATE: 20030822 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-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-02652 FILM NUMBER: 03861640 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 FUNDS/ DATE OF NAME CHANGE: 20011121 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 N-CSR 1 usstockindexformncsr.txt VANGUARD US STOCK INDEX FUNDS SEMI ANNUAL REPORTS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-2652 Name of Registrant: Vanguard Index Funds Address of Registrant: P.O. Box 2600 Valley Forge, PA 19482 Name and address of agent for service: R. Gregory Barton, Esquire P.O. Box 876 Valley Forge, PA 19482 Registrant's telephone number, including area code: (610) 669-1000 Date of fiscal year end: December 31 Date of reporting period: January 1, 2003 - June 30, 2003 Item 1: Reports to Shareholders VANGUARD(R) 500 INDEX FUND SEMIANNUAL REPORT [GRAPHICS] JUNE 30, 2003 THE VANGUARD GROUP (R) ETERNAL PRINCIPLES Markets change, but the principles of successful investing do not. During the past few years, radical upheaval in the stock market has displayed the power of this simple truth to dramatic effect. In the late 1990s, stocks experienced one of the greatest bull markets in financial history. Then, in March 2000, the longest downturn since the Great Depression began. In both bull and bear markets, however, the principles of successful investing are identical: balance, diversification, and attention to costs. Balance among stock, bond, and money market funds allows you to pursue long-term growth while moderating your risk. Diversification limits your exposure to the disasters that can befall any one security or sector. Attention to costs means you keep a larger share of any rewards produced by your investments. These principles are timeless. In fact, they're the basis of our very first mutual fund--Vanguard(R) Wellington(TM) Fund, a balanced portfolio established in 1929. Over time, balance, diversification, and attention to costs have proven to be the master keys to investment success. ================================================================================ SUMMARY - -------------------------------------------------------------------------------- * Vanguard 500 Index Fund returned 11.7% in the first half of its fiscal year, nearly matching the return of its target benchmark. * Every major stock sector rose as investor optimism surged during the second quarter. * The fund's 15.4% advance in the second quarter represented its largest quarterly gain since the fourth quarter of 1998. - -------------------------------------------------------------------------------- ================================================================================ CONTENTS - -------------------------------------------------------------------------------- 1 Letter from the Chairman 4 Fund Profile 5 Glossary of Investment Terms 6 Performance Summary 7 Financial Statements ================================================================================ ================================================================================ LETTER FROM THE CHAIRMAN [picture of John J. Brennan] Fellow Shareholder, During the six months ended June 30, 2003, Vanguard 500 Index Fund returned 11.7% as investor confidence rose sharply during the second quarter. Your fund's return nearly matched the 11.8% return of its benchmark, the Standard & Poor's 500 Index, and surpassed the 10.4% average return of its peer fund group. The table below provides the total returns for your fund (both the Investor Shares and the lower-cost Admiral Shares) and its comparative yardsticks. The per-share components of your fund's total returns appear on page 3. ============================================================ TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2003 - ------------------------------------------------------------ VANGUARD 500 INDEX FUND Investor Shares 11.7% Admiral Shares 11.7 Average Large-Cap Core Fund* 10.4 S&P 500 Index 11.8 - ------------------------------------------------------------ *Derived from data provided by Lipper Inc. ============================================================ STOCKS RALLIED DESPITE WAR The war with Iraq, a lackluster economy, and rising unemployment did little to impede the U.S. stock market during the half-year ended June 30. Indeed, the start of the war in mid-March marked the beginning of a sharp rally in stocks. For the first half of 2003, the overall U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned a stellar 12.9%. The gain was virtually universal, with all market segments and industrial sectors posting positive returns. Small-capitalization stocks outperformed large-caps. And according to most (but not all) valuation-based indexes, growth stocks, whose prices reflect expectations for above-average earnings growth, outpaced value stocks (those that generally trade at below-average valuations relative to earnings, book values, or other measures). Almost without exception, markets overseas also contributed to the bounty. The Morgan Stanley Capital International (MSCI) All Country World Index Free ex USA returned 11.1% in U.S. dollars, with emerging markets posting the highest returns. BONDS ALSO RALLIED; INTEREST RATES FELL TO 45-YEAR LOWS In the fixed income market, risk was rewarded during the six months. The lower the credit rating of the bond issuer, the higher the return. The Lehman Brothers High Yield Bond Index surged 18.5%-- ================================================================================ ADMIRAL(TM) SHARES A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund. ================================================================================ 1 well above the still-respectable six-month return of 3.9% for the overall bond market, as measured by the Lehman Aggregate Bond Index. During the half-year, the yield of the 10-year U.S. Treasury note fell 30 basis points (0.30 percentage point) to 3.51%, as bond prices rose. Meanwhile, short-term interest rates fell to their lowest levels in 45 years. In late June, citing concerns about sustainable economic growth and potential deflation, the Federal Reserve Board lowered the target for the federal funds rate (the interest rate charged for overnight loans between banks) by 25 basis points to 1.00%. It was the 13th rate cut in 21/2 years. The yield of the 3-month Treasury bill--a fair proxy for money market yields--fell 34 basis points during the six months to 0.85%, well below the inflation rate. ================================================================================ MARKET BAROMETER TOTAL RETURNS PERIODS ENDED JUNE 30, 2003 --------------------------- SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 12.3% 1.0% -1.2% Russell 2000 Index (Small-caps) 17.9 -1.6 1.0 Wilshire 5000 Index (Entire market) 12.9 1.3 -1.3 MSCI All Country World Index Free ex USA (International) 11.1 -4.2 -2.8 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index (Broad taxable market) 3.9% 10.4% 7.5% Lehman Municipal Bond Index 3.8 8.7 6.3 Citigroup 3-Month Treasury Bill Index 0.6 1.4 3.9 ================================================================================ CPI Consumer Price Index 1.5% 2.1% 2.4% - -------------------------------------------------------------------------------- *Annualized. ================================================================================ A SECOND-QUARTER RALLY PROVIDED A WELCOME BOOST Vanguard 500 Index Fund's performance during the first half of 2003--like that of the S&P 500--was dominated by a second-quarter rally that brought a welcome reprieve from a three-year bear market. The fund's 11.7% advance for the six months ended June 30 was largely owing to a 15.4% jump in the second quarter--its best quarterly showing since the fourth quarter of 1998. Stocks across the index were boosted during the spring by the favorable market reaction to the events in Iraq, a new federal tax cut, and interest rates that continued to drift lower. Nearly every corner of the market gained ground over the past six months. Technology stocks, the index's third largest group, led the way with a 16.5% gain as investors anticipated a revival in sales of tech equipment and services. Reflecting the widespread optimism that the U.S. economy was finally poised for increased growth in the months ahead, consumer discretionary stocks rose 15.9%. Financial services stocks, the index's largest sector, posted a 12.0% gain. Although growth stocks generally outperformed value stocks, slower- growing industries still gained 5% or more. Sectors represented included consumer staples, integrated oils, materials & processing, and auto & transportation. 2 KEEPING AN EYE ON THE LONG TERM The stock market has certainly tried investors' patience in recent years, so this half-year's upturn was a relief to everyone. However, no one knows if the turnaround represents the beginning of a longer phase of rising stock prices. While news coverage tends to fixate on the near term, we continue to advise our shareholders to stay focused on the long term. As a shareholder in Vanguard 500 Index Fund, you automatically hold all 500 stocks that make up the S&P 500. Because these stocks constitute the majority of the value of the U.S. stock market, you remain positioned to benefit from the long-term growth potential of the U.S. economy, which, despite ongoing geopolitical and fiscal uncertainties, continues to exhibit much fundamental strength. No matter what happens in the short run, we're convinced that your best plan is to maintain a diversified and consistent mix of stock, bond, and cash investments tailored to your circumstances and goals. For purposes of such a strategy, the 500 Index Fund remains an excellent long-term core investment because it is so diversified across the larger-company arena. You also benefit from the fund's razor-thin operating expenses. Its annualized expense ratio (operating costs as a percentage of assets) is just 0.18% for Investor Shares and a mere 0.12% for Admiral Shares, compared with last year's average of 1.41% for U.S. large-cap core funds. This substantial cost difference helps your investment work harder every day. The enduring advantages of indexing--a buy-and-hold approach, broad diversification, and low costs--should serve you well in the years ahead. Thank you for your continued confidence in Vanguard. Sincerely, [/S/ John J. Brennan] John J. Brennan Chairman and Chief Executive Officer July 9, 2003 ================================================================================ YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-JUNE 30, 2003 DISTRIBUTIONS PER SHARE ----------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- 500 INDEX FUND Investor Shares $81.15 $90.02 $0.600 $0.000 Admiral Shares 81.15 90.02 0.624 0.000 ================================================================================ 3 ================================================================================ FUND PROFILE As of June 30, 2003 This Profile provides a snapshot of the fund's characteristics, compared where appropriate with its unmanaged target index. Key terms are defined on page 5. 500 INDEX FUND - -------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET FUND INDEX* - -------------------------------------------------------- Number of Stocks 504 500 Median Market Cap $50.4B $50.4B Price/Earnings Ratio 20.9x 20.9x Price/Book Ratio 3.0x 3.0x Yield 1.7% Investor Shares 1.5% Admiral Shares 1.6% Return on Equity 22.4% 22.4% Earnings Growth Rate 8.5% 8.5% Foreign Holdings 0.0% 0.0% Turnover Rate 2%** -- Expense Ratio -- Investor Shares 0.18%** Admiral Shares 0.12%** Cash Investments 0.0% -- - -------------------------------------------------------- - -------------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) General Electric Co. 3.2% (conglomerate) Microsoft Corp. 3.0 (software) Pfizer Inc. 3.0 (pharmaceuticals) ExxonMobil Corp. 2.6 (oil) Wal-Mart Stores, Inc. 2.6 (retail) Citigroup, Inc. 2.4 (banking) Johnson & Johnson 1.7 (pharmaceuticals) American International Group, Inc. 1.6 (insurance) International Business Machines Corp. 1.6 (computer hardware) Intel Corp. 1.5 (electronics) - -------------------------------------------------------- Top Ten 23.2% - -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - -------------------------------------------------------------------------------- - -------------------------------------------------------- VOLATILITY MEASURES TARGET FUND INDEX* - -------------------------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - -------------------------------------------------------- - -------------------------------------------------------- SECTOR DIVERSIFICATION (% of portfolio) TARGET FUND INDEX* - -------------------------------------------------------- Auto & Transportation 2.5% 2.5% Consumer Discretionary 13.9 13.9 Consumer Staples 7.9 7.9 Financial Services 21.7 21.7 Health Care 14.7 14.7 Integrated Oils 4.3 4.3 Other Energy 1.6 1.6 Materials & Processing 3.1 3.1 Producer Durables 3.7 3.7 Technology 14.3 14.3 Utilities 7.5 7.5 Other 4.8 4.8 - -------------------------------------------------------- - -------------------------------------------------------- INVESTMENT FOCUS STYLE -- BLEND MARKET CAP -- LARGE - -------------------------------------------------------- Visit our website at WWW.VANGUARD.COM for regularly updated fund information. *S&P 500 Index. **Annualized. 4 ================================================================================ 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 typically 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. 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. ================================================================================ 5 ================================================================================ PERFORMANCE SUMMARY As of June 30, 2003 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 - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) December 31, 1992-June 30, 2003 SCALE RANGE -30% to 50% 500 INDEX FUND INVESTOR SHARES S&P 500 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 2003* 11.7 11.8 - -------------------------------------------------------------------------------- *Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 16 and 17 for dividend and capital gains information. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2003 TEN YEARS ONE FIVE ------------------------- INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL - -------------------------------------------------------------------------------- 500 Index Fund Investor Shares* 8/31/1976 0.23% -1.63% 8.12% 1.85% 9.97% Admiral Shares 11/13/2000 0.29 -10.37** -- -- -- - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Return since inception. 6 ================================================================================ FINANCIAL STATEMENTS June 30, 2003 (unaudited) 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 (99.2%)(1) - -------------------------------------------------------------------------------- General Electric Co. 86,989,938 2,494,871 Microsoft Corp. 93,447,115 2,393,181 Pfizer Inc. 68,717,740 2,346,711 ExxonMobil Corp. 58,136,970 2,087,699 Wal-Mart Stores, Inc. 38,117,761 2,045,780 Citigroup, Inc. 44,808,153 1,917,789 Johnson & Johnson 25,840,583 1,335,958 American International Group, Inc. 22,703,421 1,252,775 International Business Machines Corp. 15,018,316 1,239,011 Intel Corp. 56,891,843 1,182,440 Merck & Co., Inc. 19,517,119 1,181,762 Bank of America Corp. 13,038,942 1,030,468 * Cisco Systems, Inc. 61,095,978 1,019,692 The Procter & Gamble Co. 11,269,075 1,004,976 The Coca-Cola Co. 21,438,385 994,955 Verizon Communications 23,935,891 944,271 Altria Group, Inc. 17,633,908 801,285 SBC Communications Inc. 28,915,337 738,787 Wells Fargo & Co. 14,579,068 734,785 * Amgen, Inc. 10,962,250 728,332 * Dell Computer Corp. 22,352,587 714,389 Eli Lilly & Co. 9,776,974 674,318 ChevronTexaco Corp. 9,298,136 671,325 PepsiCo, Inc. 14,953,044 665,410 Home Depot, Inc. 19,997,116 662,304 * Viacom Inc. Class B 15,139,163 660,976 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * AOL Time Warner Inc. 39,094,660 629,033 United Parcel Service, Inc. 9,793,848 623,868 J.P. Morgan Chase & Co. 17,678,435 604,249 Abbott Laboratories 13,585,375 594,496 Fannie Mae 8,532,547 575,435 Hewlett-Packard Co. 26,566,514 565,867 * Oracle Corp. 45,632,342 548,501 * Comcast Corp. Class A 17,762,013 536,058 Wyeth 11,557,964 526,465 Medtronic, Inc. 10,613,664 509,137 American Express Co. 11,288,077 471,954 Wachovia Corp. 11,708,441 467,869 Bristol-Myers Squibb Co. 16,869,937 458,019 3M Co. 3,401,267 438,695 BellSouth Corp. 16,074,257 428,057 U.S. Bancorp 16,708,558 409,360 Morgan Stanley 9,464,030 404,587 Merrill Lynch & Co., Inc. 8,097,704 378,001 Anheuser-Busch Cos., Inc. 7,262,180 370,734 Bank One Corp. 9,955,712 370,153 E.I. du Pont de Nemours & Co. 8,669,525 360,999 The Walt Disney Co. 17,784,541 351,245 The Goldman Sachs Group, Inc. 4,087,689 342,344 Washington Mutual, Inc. 8,098,778 334,480 Tyco International Ltd. 17,381,530 329,901 ConocoPhillips 5,908,004 323,759 Freddie Mac 5,982,941 303,754 Target Corp. 7,927,627 299,981 Lowe's Cos., Inc. 6,787,473 291,522 ================================================================================ 7 ================================================================================ MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- United Technologies Corp. 4,072,814 288,477 * eBay Inc. 2,763,607 287,913 Fifth Third Bancorp 4,998,374 286,607 Gillette Co. 8,888,195 283,178 FleetBoston Financial Corp. 9,153,177 271,941 Colgate-Palmolive Co. 4,682,983 271,379 First Data Corp. 6,510,234 269,784 Walgreen Co. 8,921,296 268,531 Texas Instruments, Inc. 15,052,654 264,927 UnitedHealth Group Inc. 5,156,904 259,134 The Boeing Co. 7,318,588 251,174 Cardinal Health, Inc. 3,885,809 249,858 Dow Chemical Co. 7,969,264 246,728 QUALCOMM Inc. 6,871,148 245,644 McDonald's Corp. 11,074,840 244,311 Schlumberger Ltd. 5,068,442 241,106 Marsh & McLennan Cos., Inc. 4,660,457 238,010 Schering-Plough Corp. 12,785,835 237,817 MBNA Corp. 11,121,506 231,772 Kimberly-Clark Corp. 4,428,285 230,891 * Applied Materials, Inc. 14,423,919 228,763 * Clear Channel Communications, Inc. 5,345,568 226,599 Allstate Corp. 6,127,391 218,441 * Boston Scientific Corp. 3,570,149 218,136 Honeywell International Inc. 7,467,360 200,499 * EMC Corp. 19,036,993 199,317 Southern Co. 6,281,968 195,746 * AT&T Wireless Services Inc. 23,604,160 193,790 The Bank of New York Co., Inc. 6,704,732 192,761 Motorola, Inc. 20,150,484 190,019 Alcoa Inc. 7,357,657 187,620 Metropolitan Life Insurance Co. 6,616,930 187,391 Emerson Electric Co. 3,664,143 187,238 Lockheed Martin Corp. 3,918,255 186,391 Gannett Co., Inc. 2,338,051 179,586 Carnival Corp. 5,471,888 177,891 Illinois Tool Works, Inc. 2,677,550 176,317 Automatic Data Processing, Inc. 5,205,562 176,260 General Motors Corp. 4,879,969 175,679 Ford Motor Co. 15,932,551 175,099 National City Corp. 5,324,334 174,159 Dominion Resources, Inc. 2,705,687 173,895 * Forest Laboratories, Inc. 3,159,820 173,000 * Yahoo! Inc. 5,248,806 171,951 Sysco Corp. 5,655,010 169,877 Exelon Corp. 2,822,591 168,819 Caterpillar, Inc. 2,998,321 166,887 * Cendant Corp. 8,866,515 162,435 * NEXTEL Communications, Inc. 8,949,288 161,803 FedEx Corp. 2,597,250 161,107 Prudential Financial, Inc. 4,785,532 161,033 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Duke Energy Corp. 7,841,637 156,441 SLM Corp. 3,936,775 154,203 General Mills, Inc. 3,216,981 152,517 * Kohl's Corp. 2,949,580 151,549 International Paper Co. 4,169,283 148,968 The Gap, Inc. 7,752,678 145,440 * Costco Wholesale Corp. 3,971,058 145,341 BB&T Corp. 4,224,829 144,912 SunTrust Banks, Inc. 2,438,634 144,709 HCA Inc. 4,453,260 142,682 Lehman Brothers Holdings, Inc. 2,111,475 140,371 Progressive Corp. of Ohio 1,894,524 138,490 Travelers Property Casualty Corp. Class B 8,761,135 138,163 AFLAC Inc. 4,468,987 137,421 Northrop Grumman Corp. 1,592,083 137,381 Baxter International, Inc. 5,201,180 135,231 AT&T Corp. 6,840,666 131,683 ALLTEL Corp. 2,709,879 130,670 Tribune Co. 2,690,128 129,933 * Sun Microsystems, Inc. 28,114,824 129,328 Union Pacific Corp. 2,211,513 128,312 Sara Lee Corp. 6,764,924 127,248 Avon Products, Inc. 2,044,160 127,147 General Dynamics Corp. 1,717,967 124,553 Waste Management, Inc. 5,147,882 124,012 * Best Buy Co., Inc. 2,805,394 123,213 NIKE, Inc. Class B 2,298,114 122,926 The Hartford Financial Services Group Inc. 2,436,293 122,692 Kellogg Co. 3,538,956 121,634 PNC Financial Services Group 2,462,383 120,189 Stryker Corp. 1,728,214 119,886 Guidant Corp. 2,692,875 119,537 Charles Schwab Corp. 11,754,419 118,602 Omnicom Group Inc. 1,640,886 117,652 Raytheon Co. 3,574,021 117,371 Southwest Airlines Co. 6,780,208 116,620 State Street Corp. 2,893,685 114,011 Newmont Mining Corp. (Holding Company) 3,501,210 113,649 Sprint Corp. 7,826,589 112,703 Computer Associates International, Inc. 5,032,292 112,119 Occidental Petroleum Corp. 3,301,419 110,763 * Analog Devices, Inc. 3,180,112 110,732 ConAgra Foods, Inc. 4,675,122 110,333 Wm. Wrigley Jr. Co. 1,958,942 110,151 * The Kroger Co. 6,567,892 109,552 Devon Energy Corp. 2,008,762 107,268 * WellPoint Health Networks Inc. Class A 1,266,147 106,736 ================================================================================ 8 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- FPL Group, Inc. 1,595,383 106,651 Golden West Financial Corp. 1,328,373 106,283 Harley-Davidson, Inc. 2,632,329 104,925 Mellon Financial Corp. 3,756,365 104,239 Entergy Corp. 1,965,331 103,730 * Veritas Software Corp. 3,610,885 103,524 Weyerhaeuser Co. 1,906,669 102,960 The McGraw-Hill Cos., Inc. 1,660,103 102,926 American Electric Power Co., Inc. 3,438,702 102,576 H.J. Heinz Co. 3,059,080 100,888 * Bed Bath & Beyond, Inc. 2,570,703 99,769 FirstEnergy Corp. 2,591,307 99,636 Masco Corp. 4,149,212 98,959 XL Capital Ltd. Class A 1,188,827 98,673 Baker Hughes, Inc. 2,930,707 98,384 Capital One Financial Corp. 1,971,172 96,942 The Chubb Corp. 1,611,625 96,697 Maxim Integrated Products, Inc. 2,826,558 96,640 Anadarko Petroleum Corp. 2,171,522 96,568 CVS Corp. 3,430,089 96,145 Paychex, Inc. 3,276,857 96,045 Deere & Co. 2,083,754 95,228 Equity Office Properties Trust REIT 3,505,698 94,689 Burlington Resources, Inc. 1,747,925 94,510 * Apollo Group, Inc. Class A 1,525,197 94,196 * Electronic Arts Inc. 1,267,291 93,767 KeyCorp 3,680,592 93,009 * Anthem, Inc. 1,203,311 92,835 Burlington Northern Santa Fe Corp. 3,244,324 92,269 Progress Energy, Inc. 2,096,138 92,020 The Principal Financial Group, Inc. 2,849,438 91,894 Apache Corp. 1,406,730 91,522 Danaher Corp. 1,330,346 90,530 McKesson Corp. 2,520,644 90,088 * St. Jude Medical, Inc. 1,566,190 90,056 Sears, Roebuck & Co. 2,673,222 89,927 Electronic Data Systems Corp. 4,164,979 89,339 Linear Technology Corp. 2,724,925 87,770 Campbell Soup Co. 3,572,667 87,530 Halliburton Co. 3,805,603 87,529 Allergan, Inc. 1,133,458 87,390 Franklin Resources Corp. 2,205,380 86,164 Becton, Dickinson & Co. 2,216,170 86,098 Praxair, Inc. 1,414,224 84,995 Consolidated Edison Inc. 1,942,776 84,083 TJX Cos., Inc. 4,446,452 83,771 * Starbucks Corp. 3,398,504 83,331 Public Service Enterprise Group, Inc. 1,966,558 83,087 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Air Products & Chemicals, Inc. 1,977,475 82,263 * Corning, Inc. 10,912,187 80,641 SouthTrust Corp. 2,960,348 80,521 The Clorox Co. 1,886,376 80,454 * Agilent Technologies, Inc. 4,102,793 80,210 Northern Trust Corp. 1,918,444 80,172 * MedImmune Inc. 2,194,471 79,813 Aetna Inc. 1,321,970 79,583 * Intuit, Inc. 1,786,268 79,543 Hershey Foods Corp. 1,141,430 79,512 Countrywide Financial Corp. 1,136,589 79,072 Ace, Ltd. 2,303,057 78,972 * Safeway, Inc. 3,842,650 78,621 * Genzyme Corp.-General Division 1,878,160 78,507 * Lexmark International, Inc. 1,109,268 78,503 Pitney Bowes, Inc. 2,039,130 78,323 * Staples, Inc. 4,236,285 77,736 Marriott International, Inc. Class A 2,018,625 77,556 John Hancock Financial Services, Inc. 2,514,673 77,276 * Zimmer Holdings, Inc. 1,710,040 77,037 * KLA-Tencor Corp. 1,656,535 77,012 Loews Corp. 1,613,689 76,311 * International Game Technology 743,157 76,047 * PG&E Corp. 3,560,667 75,308 * Yum! Brands, Inc. 2,544,948 75,229 PPG Industries, Inc. 1,476,787 74,932 * Xilinx, Inc. 2,937,063 74,337 * Lucent Technologies, Inc. 36,009,394 73,099 Mattel, Inc. 3,826,106 72,390 St. Paul Cos., Inc. 1,981,334 72,339 Archer-Daniels-Midland Co. 5,607,589 72,170 * Xerox Corp. 6,791,817 71,925 Coca-Cola Enterprises, Inc. 3,934,128 71,404 Marathon Oil Corp. 2,696,321 71,048 * Chiron Corp. 1,622,223 70,924 Comerica, Inc. 1,524,221 70,876 * Qwest Communications International Inc. 14,751,507 70,512 Limited Brands, Inc. 4,542,701 70,412 Ingersoll-Rand Co. 1,473,874 69,744 PACCAR, Inc. 1,011,581 68,342 Eastman Kodak Co. 2,493,148 68,188 Moody's Corp. 1,290,448 68,020 H & R Block, Inc. 1,558,577 67,408 Newell Rubbermaid, Inc. 2,386,115 66,811 AmSouth Bancorp 3,055,100 66,723 AmerisourceBergen Corp. 960,650 66,621 Johnson Controls, Inc. 775,910 66,418 Fortune Brands, Inc. 1,264,480 66,006 Aon Corp. 2,716,392 65,411 ================================================================================ 9 ================================================================================ MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Regions Financial Corp. 1,932,597 65,283 Norfolk Southern Corp. 3,392,088 65,128 Adobe Systems, Inc. 2,017,433 64,699 Unocal Corp. 2,245,434 64,422 Biomet, Inc. 2,245,134 64,346 Simon Property Group, Inc. REIT 1,644,402 64,181 * SunGard Data Systems, Inc. 2,474,749 64,121 PPL Corp. 1,466,777 63,071 TXU Corp. 2,804,275 62,956 * Concord EFS, Inc. 4,245,128 62,488 Bear Stearns Co., Inc. 861,792 62,411 * Computer Sciences Corp. 1,629,187 62,105 Ameren Corp. 1,402,884 61,867 * Micron Technology, Inc. 5,296,355 61,597 Equity Residential REIT 2,371,651 61,544 Albertson's, Inc. 3,192,566 61,297 Ambac Financial Group, Inc. 924,420 61,243 * Transocean Inc. 2,782,641 61,135 Charter One Financial, Inc. 1,957,892 61,047 MBIA, Inc. 1,251,891 61,030 * Apple Computer, Inc. 3,181,469 60,830 * Broadcom Corp. 2,437,474 60,717 * Univision Communications Inc. 1,994,429 60,631 Marshall & Ilsley Corp. 1,972,452 60,318 Federated Department Stores, Inc. 1,629,509 60,047 Rohm & Haas Co. 1,931,915 59,947 * Fiserv, Inc. 1,681,150 59,866 New York Times Co. Class A 1,311,968 59,695 * AutoZone Inc. 778,984 59,179 Ecolab, Inc. 2,286,944 58,546 * Quest Diagnostics, Inc. 916,341 58,463 Kinder Morgan, Inc. 1,061,583 58,016 CIGNA Corp. 1,219,835 57,259 Family Dollar Stores, Inc. 1,496,521 57,092 Synovus Financial Corp. 2,641,409 56,790 DTE Energy Co. 1,461,626 56,477 * Symantec Corp. 1,285,318 56,374 Cinergy Corp. 1,531,771 56,354 CSX Corp. 1,859,347 55,948 May Department Stores Co. 2,509,156 55,854 Lincoln National Corp. 1,543,988 55,012 * Altera Corp. 3,330,523 54,621 Union Planters Corp. 1,726,836 53,584 Dollar General Corp. 2,901,820 52,987 Dover Corp. 1,761,558 52,776 Cintas Corp. 1,482,847 52,552 ITT Industries, Inc. 799,121 52,310 * Comcast Corp. Special Class A 1,814,271 52,305 Xcel Energy, Inc. 3,468,670 52,169 Cincinnati Financial Corp. 1,398,491 51,870 Sempra Energy 1,804,366 51,479 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * BJ Services Co. 1,375,097 51,374 Jefferson-Pilot Corp. 1,236,340 51,259 * Sprint PCS 8,900,635 51,179 Eaton Corp. 648,643 50,990 UST, Inc. 1,454,696 50,958 * Nabors Industries, Inc. 1,266,654 50,096 Starwood Hotels & Resorts Worldwide, Inc. 1,745,435 49,902 Constellation Energy Group, Inc. 1,438,137 49,328 Monsanto Co. 2,273,822 49,206 * Biogen, Inc. 1,291,531 49,078 Knight Ridder 710,677 48,987 KeySpan Corp. 1,368,480 48,513 * PeopleSoft, Inc. 2,753,784 48,439 Genuine Parts Co. 1,512,264 48,408 First Tennessee National Corp. 1,098,910 48,253 Avery Dennison Corp. 960,667 48,225 * Network Appliance, Inc. 2,951,588 47,845 * Novellus Systems, Inc. 1,304,103 47,758 The Pepsi Bottling Group, Inc. 2,384,616 47,740 * Tenet Healthcare Corp. 4,059,379 47,292 * Edison International 2,833,981 46,562 North Fork Bancorp, Inc. 1,363,067 46,426 * American Standard Cos., Inc. 624,446 46,165 Textron, Inc. 1,175,238 45,858 Interpublic Group of Cos., Inc. 3,389,439 45,351 Molex, Inc. 1,658,119 44,753 * JDS Uniphase Corp. 12,438,929 43,661 NiSource, Inc. 2,283,800 43,392 CenturyTel, Inc. 1,245,098 43,392 Parker Hannifin Corp. 1,027,888 43,161 MeadWestvaco Corp. 1,743,397 43,062 SAFECO Corp. 1,203,932 42,475 El Paso Corp. 5,211,290 42,107 Centex Corp. 541,210 42,101 Delphi Corp. 4,873,716 42,060 Hilton Hotels Corp. 3,277,790 41,923 EOG Resources, Inc. 996,413 41,690 Plum Creek Timber Co. Inc. REIT 1,591,280 41,294 Tiffany & Co. 1,263,035 41,276 Georgia Pacific Group 2,177,068 41,255 Brown-Forman Corp. Class B 523,923 41,191 * Siebel Systems, Inc. 4,257,067 40,612 T. Rowe Price Group Inc. 1,062,361 40,104 MGIC Investment Corp. 858,317 40,032 * Noble Corp. 1,162,493 39,874 Zions Bancorp 783,940 39,675 * QLogic Corp. 816,113 39,443 J.C. Penney Co., Inc. (Holding Co.) 2,339,728 39,424 Kerr-McGee Corp. 877,120 39,295 * Office Depot, Inc. 2,686,146 38,976 ================================================================================ 10 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Huntington Bancshares Inc. 1,988,833 38,822 * AutoNation, Inc. 2,454,924 38,591 RadioShack Corp. 1,463,809 38,513 Amerada Hess Corp. 782,164 38,467 Rockwell Automation, Inc. 1,611,955 38,429 * Harrah's Entertainment, Inc. 953,861 38,383 Health Management Associates Class A 2,076,284 38,307 * Jabil Circuit, Inc. 1,726,468 38,155 Rockwell Collins, Inc. 1,548,637 38,143 IMS Health, Inc. 2,114,745 38,044 Whirlpool Corp. 596,247 37,981 Torchmark Corp. 1,008,925 37,582 * Watson Pharmaceuticals, Inc. 930,515 37,565 W.W. Grainger, Inc. 796,962 37,266 Williams Cos., Inc. 4,499,932 35,549 * Unisys Corp. 2,851,708 35,019 * Sealed Air Corp. 734,259 34,995 Applera Corp.-Applied Biosystems Group 1,816,237 34,563 Leggett & Platt, Inc. 1,677,960 34,398 Sherwin-Williams Co. 1,276,099 34,302 Janus Capital Group Inc. 2,081,852 34,142 * AES Corp. 5,317,799 33,768 UnumProvident Corp. 2,503,311 33,569 Cooper Industries, Inc. Class A 811,363 33,509 Sigma-Aldrich Corp. 616,517 33,403 Nucor Corp. 680,121 33,224 * BMC Software, Inc. 2,029,747 33,146 McCormick & Co., Inc. 1,211,002 32,939 Liz Claiborne, Inc. 933,935 32,921 Pulte Homes, Inc. 531,148 32,751 Vulcan Materials Co. 883,447 32,749 * Jones Apparel Group, Inc. 1,112,657 32,556 C.R. Bard, Inc. 452,632 32,277 Equifax, Inc. 1,226,692 31,894 VF Corp. 938,692 31,887 * NVIDIA Corp. 1,383,851 31,842 * Citizens Communications Co. 2,466,202 31,789 * Waters Corp. 1,079,997 31,460 * National Semiconductor Corp. 1,587,439 31,304 Freeport-McMoRan Copper & Gold, Inc. Class B 1,263,980 30,968 * King Pharmaceuticals, Inc. 2,094,594 30,916 Scientific-Atlanta, Inc. 1,296,227 30,902 Sabre Holdings Corp. 1,245,601 30,704 Dow Jones & Co., Inc. 707,831 30,458 Pinnacle West Capital Corp. 793,391 29,712 * Phelps Dodge Corp. 773,519 29,657 * Thermo Electron Corp. 1,407,218 29,580 * Citrix Systems, Inc. 1,440,395 29,326 Black & Decker Corp. 674,726 29,317 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Mercury Interactive Corp. 742,333 28,661 Wendy's International, Inc. 986,101 28,567 Apartment Investment & Management Co. Class A REIT 815,802 28,227 * Robert Half International, Inc. 1,478,710 28,007 * Sanmina-SCI Corp. 4,433,510 27,975 * Teradyne, Inc. 1,607,873 27,832 Darden Restaurants Inc. 1,462,812 27,764 * Pactiv Corp. 1,385,785 27,314 R.J. Reynolds Tobacco Holdings, Inc. 732,700 27,264 Engelhard Corp. 1,094,301 27,106 * Solectron Corp. 7,210,812 26,968 * American Power Conversion Corp. 1,708,607 26,637 Hasbro, Inc. 1,505,438 26,330 Symbol Technologies, Inc. 2,003,878 26,070 International Flavors & Fragrances, Inc. 815,977 26,054 Alberto-Culver Co. Class B 508,866 26,003 Federated Investors, Inc. 947,702 25,986 R.R. Donnelley & Sons Co. 983,595 25,711 KB HOME 413,682 25,640 Sunoco, Inc. 665,436 25,114 SuperValu Inc. 1,163,172 24,799 * Comverse Technology, Inc. 1,633,650 24,554 Pall Corp. 1,067,820 24,026 Fluor Corp. 707,721 23,808 * Tellabs, Inc. 3,578,864 23,513 * Providian Financial Corp. 2,516,105 23,299 * LSI Logic Corp. 3,257,398 23,062 Nordstrom, Inc. 1,179,135 23,017 Ball Corp. 494,957 22,525 * Toys R Us, Inc. 1,849,519 22,416 * Calpine Corp. 3,308,891 21,839 CenterPoint Energy Inc. 2,651,887 21,613 Bemis Co., Inc. 460,973 21,574 Deluxe Corp. 479,818 21,496 Goodrich Corp. 1,020,385 21,428 * Avaya Inc. 3,316,335 21,424 Eastman Chemical Co. 671,776 21,275 * CIENA Corp. 4,089,448 21,224 * NCR Corp. 828,110 21,216 * Humana Inc. 1,402,306 21,175 * Convergys Corp. 1,304,062 20,865 The Stanley Works 741,247 20,458 Temple-Inland Inc. 469,138 20,131 Brunswick Corp. 783,766 19,610 * Manor Care, Inc. 781,403 19,543 * Navistar International Corp. 592,351 19,328 * Advanced Micro Devices, Inc. 3,001,939 19,242 * Monster Worldwide Inc. 970,608 19,150 ================================================================================ 11 ================================================================================ MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Meredith Corp. 431,753 18,997 * Compuware Corp. 3,281,878 18,936 * Millipore Corp. 420,895 18,675 TECO Energy, Inc. 1,532,311 18,372 * Allied Waste Industries, Inc. 1,814,833 18,239 * Rowan Cos., Inc. 812,898 18,209 Ashland, Inc. 592,490 18,178 Bausch & Lomb, Inc. 461,997 17,325 * Reebok International Ltd. 514,316 17,296 * PMC Sierra Inc. 1,466,720 17,205 Maytag Corp. 680,054 16,607 * ADC Telecommunications, Inc. 6,961,389 16,206 * Applied Micro Circuits Corp. 2,639,713 15,970 * Tektronix, Inc. 736,334 15,905 Circuit City Stores, Inc. 1,798,573 15,827 Delta Air Lines, Inc. 1,070,923 15,721 Autodesk, Inc. 970,416 15,682 Adolph Coors Co. Class B 315,513 15,454 * Big Lots Inc. 1,013,406 15,242 PerkinElmer, Inc. 1,093,627 15,103 Winn-Dixie Stores, Inc. 1,222,474 15,049 Dana Corp. 1,290,201 14,915 Snap-On Inc. 505,185 14,666 United States Steel Corp. 895,438 14,658 * Quintiles Transnational Corp. 1,026,799 14,570 NICOR Inc. 382,227 14,184 Ryder System, Inc. 544,723 13,956 Dynegy, Inc. 3,234,940 13,587 Peoples Energy Corp. 312,972 13,423 Cummins Inc. 360,318 12,932 Boise Cascade Corp. 506,050 12,095 Crane Co. 514,704 11,648 * American Greetings Corp. Class A 572,228 11,239 Cooper Tire & Rubber Co. 638,667 11,234 * Gateway, Inc. 2,813,217 10,268 * Mirant Corp. 3,507,486 10,172 CMS Energy Corp. 1,250,877 10,132 Worthington Industries, Inc. 746,011 9,997 Dillard's Inc. 735,796 9,911 * Novell, Inc. 3,197,590 9,849 * Louisiana-Pacific Corp. 907,918 9,842 * Hercules, Inc. 954,218 9,447 Allegheny Energy, Inc. 1,091,095 9,220 Great Lakes Chemical Corp. 436,052 8,895 The Goodyear Tire & Rubber Co. 1,521,911 7,990 * Andrew Corp. 853,592 7,853 Visteon Corp. 1,134,661 7,795 * Thomas & Betts Corp. 507,538 7,334 Tupperware Corp. 506,688 7,276 * Parametric Technology Corp. 2,295,690 7,002 * Viacom Inc. Class A 143,386 6,266 * Power-One, Inc. 718,464 5,137 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Allegheny Technologies Inc. 702,818 4,639 * McDermott International, Inc. 567,941 3,595 Molex, Inc. Class A 4,051 94 Alberto-Culver Co. Class A 1,000 50 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $68,123,002) 78,196,689 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.1%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 1.16%, 8/8/2003 $ 10,000 9,998 FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.17%, 7/2/2003 40,000 39,999 (2) 1.19%, 7/16/2003 9,800 9,796 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003 656,827 656,827 1.16%, 7/1/2003--Note E 170,193 170,193 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $886,806) 886,813 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.3%) (Cost $69,009,808) 79,083,502 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.3%) - -------------------------------------------------------------------------------- Other Assets--Note B 226,128 Liabilities--Note E (495,512) ----------- (269,384) ----------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $78,814,118 ================================================================================ *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 0.3%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Securities with an aggregate value of $59,793,000 have been segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. 12 ================================================================================ AMOUNT (000) - -------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $73,193,680 Overdistributed Net Investment Income (53,672) Accumulated Net Realized Losses (4,386,130) Unrealized Appreciation (Depreciation) Investment Securities 10,073,694 Futures Contracts (13,454) - -------------------------------------------------------------------------------- NET ASSETS $78,814,118 ================================================================================ Investor Shares--Net Assets Applicable to 715,081,987 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $64,368,311 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $90.02 ================================================================================ Admiral Shares--Net Assets Applicable to 160,477,333 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $14,445,807 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $90.02 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 13 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 SIX MONTHS ENDED JUNE 30, 2003 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 624,342 Interest 4,301 Security Lending 385 - -------------------------------------------------------------------------------- Total Income 629,028 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 112 Management and Administrative Investor Shares 46,524 Admiral Shares 6,777 Marketing and Distribution Investor Shares 4,180 Admiral Shares 787 Custodian Fees 231 Shareholders' Reports Investor Shares 1,298 Admiral Shares 14 Trustees' Fees and Expenses 53 - -------------------------------------------------------------------------------- Total Expenses 59,976 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 569,052 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (169,307) Futures Contracts 83,480 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (85,827) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 7,653,206 Futures Contracts (3,246) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 7,649,960 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $8,133,185 ================================================================================ 14 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how the fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. ================================================================================ 500 INDEX FUND -------------------------- SIX MONTHS YEAR ENDED ENDED JUNE 30, 2003 DEC. 31, 2002 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 569,052 $ 1,106,685 Realized Net Gain (Loss) (85,827) (2,516,358) Change in Unrealized Appreciation (Depreciation) 7,649,960 (18,331,701) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 8,133,185 (19,741,374) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (423,230) (940,961) Admiral Shares (97,452) (202,486) Realized Capital Gain Investor Shares -- -- Admiral Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (520,682) (1,143,447) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Investor Shares 1,922,944 439,822 Admiral Shares 1,133,173 1,576,643 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 3,056,117 2,016,465 - -------------------------------------------------------------------------------- Total Increase (Decrease) 10,668,620 (18,868,356) - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 68,145,498 87,013,854 - -------------------------------------------------------------------------------- End of Period $78,814,118 $68,145,498 ================================================================================ 15 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
- ----------------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, ENDED --------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998 - ----------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $81.15 $105.89 $121.86 $135.33 $113.95 $90.07 - ----------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .66 1.32 1.260 1.29 1.370 1.33 Net Realized and Unrealized Gain (Loss) on Investments 8.81 (24.70) (15.955) (13.46) 22.415 24.30 - ----------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 9.47 (23.38) (14.695) (12.17) 23.785 25.63 - ----------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.60) (1.36) (1.275) (1.30) (1.410) (1.33) Distributions from Realized Capital Gains -- -- -- -- (.995) (.42) - ----------------------------------------------------------------------------------------------------------------------- Total Distributions (.60) (1.36) (1.275) (1.30) (2.405) (1.75) - ----------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $90.02 $81.15 $105.89 $121.86 $135.33 $113.95 - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN* 11.71% -22.15% -12.02% -9.06% 21.07% 28.62% - ----------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $64,365 $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% 0.18% Ratio of Net Investment Income to Average Net Assets 1.60%+ 1.43% 1.14% 0.98% 1.13% 1.35% Portfolio Turnover Rate** 2%+ 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 2%, 6%, 3%, 7%,3%, and 3%, respectively. +Annualized.
16
500 INDEX FUND ADMIRAL SHARES - ----------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED DEC.31, NOV. 13* TO JUNE 30, -------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $81.15 $105.89 $121.87 $124.88 - ----------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .684 1.374 1.313 .179 Net Realized and Unrealized Gain (Loss) on Investments 8.810 (24.700) (15.955) (2.808) - ----------------------------------------------------------------------------------------------------- Total from Investment Operations 9.494 (23.326) (14.642) (2.629) - ----------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.624) (1.414) (1.338) (.381) Distributions from Realized Capital Gains -- -- -- -- - ----------------------------------------------------------------------------------------------------- Total Distributions (.624) (1.414) (1.338) (.381) - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $90.02 $ 81.15 $105.89 $121.87 - ----------------------------------------------------------------------------------------------------- TOTAL RETURN 11.74% -22.10% -11.98% -2.10% - ----------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $14,446 $11,922 $13,863 $8,237 Ratio of Total Expenses to Average Net Assets 0.12%+ 0.12% 0.12% 0.12%+ Ratio of Net Investment Income to Average Net Assets 1.66%+ 1.50% 1.22% 1.03%+ Portfolio Turnover Rate** 2%+ 7% 4% 9% ===================================================================================================== *Inception. **Portfolio turnover rates excluding in-kind redemptions were 2%, 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: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities' primary markets, are valued by methods deemed by the board of trustees to represent fair value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system 17 NOTES TO FINANCIAL STATEMENTS (CONTINUED) (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. 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 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) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2003, the fund had contributed capital of $13,456,000 to Vanguard (included in Other Assets), representing 0.02% of the fund's net assets and 13.45% of Vanguard's capitalization. The fund's trustees and officers are also directors and officers of Vanguard. 18 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 six months ended June 30, 2003, the fund realized $14,031,000 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 fund's tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2002, the fund had available 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2003; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above. At June 30, 2003, net unrealized appreciation of investment securities for tax purposes was $10,073,694,000, consisting of unrealized gains of $20,843,375,000 on securities that had risen in value since their purchase and $10,769,681,000 in unrealized losses on securities that had fallen in value since their purchase. At June 30, 2003, the aggregate settlement value of open futures contracts expiring in September 2003 and the related unrealized depreciation were: - -------------------------------------------------------------------------------- (000) -------------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- S&P 500 Index 2,562 $623,399 $(13,454) - -------------------------------------------------------------------------------- Unrealized depreciation on open futures contracts is required to be treated as realized loss for tax purposes. D. During the six months ended June 30, 2003, the fund purchased $3,631,109,000 of investment securities and sold $579,055,000 of investment securities other than temporary cash investments. E. The market value of securities on loan to broker/dealers at June 30, 2003, was $162,824,000, for which the fund held cash collateral of $170,193,000. 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. 19 F. Capital share transactions for each class of shares were:
- ------------------------------------------------------------------------------------------ SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 ------------------- ----------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - ------------------------------------------------------------------------------------------ Investor Shares Issued $6,293,870 75,507 $13,122,035 141,376 Issued in Lieu of Cash Distributions 398,041 4,658 883,934 10,271 Redeemed (4,768,967) (57,889) (13,566,147) (149,680) ---------------------------------------------- Net Increase (Decrease)--Investor Shares 1,922,944 22,276 439,822 1,967 ---------------------------------------------- Admiral Shares Issued 1,957,143 23,530 3,955,614 42,831 Issued in Lieu of Cash Distributions 82,156 960 171,021 1,990 Redeemed (906,126) (10,913) (2,549,992) (28,843) ---------------------------------------------- Net Increase (Decrease)--Admiral Shares 1,133,173 13,577 1,576,643 15,978 - ------------------------------------------------------------------------------------------
20 ================================================================================ THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are 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(R) 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 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 activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. The dates in parentheses below show when each trustee was initially elected. - -------------------------------------------------------------------------------- JOHN J. BRENNAN* (1987) Chairman of the Board, Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group. - -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS (2001) The Partners of '63 (pro bono ventures in education); Senior Adviser to Greenwich Associates (international business strategy consulting); 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 (2001) Chairman and Chief Executive Officer (since October 1999), Vice Chairman (January-September 1999), and Vice President (prior to 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 (1998) Vice President, Chief Information Officer, and Member of the Executive Committee of Johnson & Johnson (pharmaceuticals/consumer products); Director of the Medical Center at Princeton and Women's Research and Education Institute. BURTON G. MALKIEL (1977) Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Vanguard Investment Series plc (Irish investment fund) (since November 2001), Vanguard Group (Ireland) Limited (Irish investment management firm) (since November 2001), Prudential Insurance Co. of America, BKF Capital (investment management firm), The Jeffrey Co. (holding company), and NeuVis, Inc. (software company). ALFRED M. RANKIN, JR. (1993) Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services); Director until 1998 of Standard Products Company (a supplier for the automotive industry). J. LAWRENCE WILSON (1985) Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines), MeadWestvaco Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary; Managing Director and General Counsel of The Vanguard Group, Inc. (since September 1997); Secretary of The Vanguard Group and of 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 investment companies served by The Vanguard Group. - -------------------------------------------------------------------------------- *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, Client Relationship Group. JAMES H. GATELY, Investment Programs and 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. [SHIP] THE VANGUARD GROUP (R) Post Office Box 2600 Valley Forge, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Admiral, Wellington, and the ship logo are trademarks of The Vanguard Group, Inc. S&P 500(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. 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. 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) 2003 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q402 082003 VANGUARD(R) U.S. STOCK INDEX FUNDS SMALL-CAPITALIZATION PORTFOLIOS SEMIANNUAL REPORT [GRAPHICS] JUNE 30, 2003 VANGUARD(R) SMALL-CAP INDEX FUND VANGUARD(R) SMALL-CAP GROWTH INDEX FUND VANGUARD(R) SMALL-CAP VALUE INDEX FUND [Cover Art] THE VANGUARD GROUP(R) ETERNAL PRINCIPLES Markets change, but the principles of successful investing do not. During the past few years, radical upheaval in the stock market has displayed the power of this simple truth to dramatic effect. In the late 1990s, stocks experienced one of the greatest bull markets in financial history. Then, in March 2000, the longest downturn since the Great Depression began. In both bull and bear markets, however, the principles of successful investing are identical: balance, diversification, and attention to costs. Balance among stock, bond, and money market funds allows you to pursue long-term growth while moderating your risk. Diversification limits your exposure to the disasters that can befall any one security or sector. Attention to costs means you keep a larger share of any rewards produced by your investments. These principles are timeless. In fact, they're the basis of our very first mutual fund--Vanguard(R) Wellington(TM) Fund, a balanced portfolio established in 1929. Over time, balance, diversification, and attention to costs have proven to be the master keys to investment success. SUMMARY * During the first half of 2003, Vanguard's three small-capitalization index funds posted gains that ranged from 9.9% to 16.8%. * Stocks surged almost across the board, but small-caps led the market. Growth stocks generally outpaced value issues. * As of mid-May, the three funds began tracking new target indexes. CONTENTS 1 Letter from the Chairman 5 Fund Profiles 8 Glossary of Investment Terms 9 Performance Summaries 11 Financial Statements 68 Advantages of Vanguard.com [MSCI Logo] Small Cap Index Fund Small Cap Growth Index Fund Small Cap Value Index Fund Letter from the Chairman [PHOTO] John J. Brennan Fellow Shareholder, The U.S. stock market surged during the first half of 2003, with small-capitalization stocks rising farthest. As the table below shows, Vanguard's three small-cap index funds posted impressive six-month returns ranging from 9.9% to 16.8%. The top performer, Vanguard Small-Cap Index Fund, outpaced its average peer among small-cap core mutual funds. However, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund lagged their respective peer-group averages. - -------------------------------------------------------------------------------- TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2003 - -------------------------------------------------------------------------------- VANGUARD SMALL-CAP INDEX FUND Investor Shares 16.7% Admiral(TM) Shares 16.7 Institutional Shares 16.8 Average Small-Cap Core Fund* 15.6 Spliced Small Cap Index** 16.5 - -------------------------------------------------------------------------------- VANGUARD SMALL-CAP GROWTH INDEX FUND Investor Shares 14.5% Institutional Shares 14.6 Average Small-Cap Growth Fund* 17.5 Spliced Small Cap Growth Index+ 13.7 - -------------------------------------------------------------------------------- VANGUARD SMALL-CAP VALUE INDEX FUND Investor Shares 9.9% Institutional Shares 10.0 Average Small-Cap Value Fund* 14.2 Spliced Small Cap Value Index++ 8.6 - -------------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. **Russell 2000 Index until May 16, 2003; MSCI US Small Cap 1750 Index thereafter. +S&P SmallCap 600/Barra Growth Index until May 16, 2003; MSCI US Small Cap Growth Index thereafter. ++S&P SmallCap 600/Barra Value Index until May 16, 2003; MSCI US Small Cap Value Index thereafter. As you know, our funds started tracking new target indexes after May 16. Reflecting this change, the table shows "spliced" index returns that incorporate results from both old and new targets. (See page 3 for details about the switch.) In order to minimize transaction costs, the transitions to the new indexes were executed over several weeks. (Some small-cap stocks can be difficult--and therefore expensive--to trade.) Spreading out the transactions rather than executing them all on May 16 created some random tracking error that explains the somewhat wider-than-normal gaps between the results for two of the funds and their targets. Each fund's total returns are based on the change in net asset value during the half-year. None of the funds made distributions from income dividends or capital gains. The table on page 4 provides details. 1 STOCKS RALLIED DESPITE WAR The war with Iraq, a lackluster economy, and rising unemployment did little to impede the U.S. stock market during the half-year ended June 30. Indeed, the start of the war in mid-March marked the beginning of a sharp rally in stocks. For the first half of 2003, the overall U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned a stellar 12.9%. The gain was almost universal, with all market segments and industrial sectors in the broad index posting positive returns. As noted, small-capitalization stocks outperformed large-caps. And according to most (though not all) style-based indexes, growth stocks, whose prices reflect expectations for above-average earnings growth, outpaced value stocks. - -------------------------------------------------------------------------------- MARKET BAROMETER TOTAL RETURNS PERIODS ENDED JUNE 30, 2003 ---------------------------------- SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 12.3% 1.0% -1.2% Russell 2000 Index (Small-caps) 17.9 -1.6 1.0 Wilshire 5000 Index (Entire market) 12.9 1.3 -1.3 MSCI All Country World Index Free ex USA (International) 11.1 -4.2 -2.8 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 3.9% 10.4% 7.5% (Broad taxable market) Lehman Municipal Bond Index 3.8 8.7 6.3 Citigroup 3-Month Treasury Bill Index 0.6 1.4 3.9 ================================================================================ CPI Consumer Price Index 1.5% 2.1% 2.4% - -------------------------------------------------------------------------------- *Annualized. BONDS ALSO RALLIED; INTEREST RATES FELL TO 45-YEAR LOWS In the fixed income arena, risk was rewarded during the six months. The lower the credit rating of the bond issuer, the higher the return. The Lehman Brothers High Yield Bond Index surged 18.5%--well above the respectable six-month return of 3.9% for the overall bond market, as measured by the Lehman Aggregate Bond Index. During the half-year, the yield of the 10-year U.S. Treasury note fell 30 basis points (0.30 percentage point) to 3.51%. Meanwhile, short-term interest rates fell to their lowest levels in 45 years. In late June, citing concerns about sustainable economic growth and potential deflation, the Federal Reserve Board lowered the target for the federal funds rate (the interest rate charged for overnight loans between banks) by 25 basis points to 1.00%. It was the 13th rate cut in 21/2 years. The yield of the 3-month Treasury bill fell 34 basis points to 0.85%, well below the inflation rate. SMALLER, MORE SPECULATIVE STOCKS LED THE MARKET Among the industry sectors tracked in Vanguard's three small-cap index funds, there were very few declines during the six months. For the Small-Cap Index Fund, only one group--the conglomerates that fall into the "other" 2 category--recorded a negative return (-2%). Indeed, 9 of 12 sectors posted double-digit gains, including the four largest sectors in the fund: financial services (+15%), consumer discretionary (+17%), technology (+26%), and health care (+26%). Results were almost as impressive for our two other funds, each of which had at least five sectors with double-digit returns. As you would expect--given that growth stocks generally outperformed value issues during the period--the Small-Cap Growth Index Fund posted a higher overall return. However, both funds trailed the result of the Small-Cap Index Fund. Until recently, our three funds tracked benchmarks from different index sponsors, each with its own methodology for index construction. The Small-Cap Index Fund tracked a Russell index that is reconstituted annually strictly on the basis of market-capitalization rankings. The two other funds tracked Standard & Poor's SmallCap 600/Barra indexes whose composition, determined by a committee, generally excludes companies with less than three years of operating history and four quarters of profits. The S&P/Barra criteria eliminated many of the more speculative stocks that benefited most from the recent rebound. This factor explains why our growth and value portfolios lagged the Small-Cap Index Fund and their respective peer-group averages. (We should note that the same factor worked in the two funds' favor during much of the previous three years, when those speculative stocks were pummeled.) All three funds are now tracking MSCI indexes that we feel have superior characteristics. For example, the MSCI methodology should result in a lower turnover rate for index constituents, which translates into lower transaction costs for the funds. The MSCI indexes, which are based on objective parameters (without requirements for operating history), use overlapping bands between market caps--a factor that reduces the turnover rate. The MSCI indexes also demonstrate better style integrity because they employ multiple factors in determining a stock's growth or value bias. In this way, the new indexes more closely mirror their market segments as approached by active fund managers, who evaluate stocks on the basis of a wide range of criteria. The latter characteristic means that in the future, costs (rather than index methodology) will play an even greater role in how our funds' results stack up against those of competing funds. And when it comes to costs, Vanguard has long had an advantage: During the half-year, for example, our funds' Investor Shares had annualized expense ratios (operating costs as a percentage of average net assets) of 0.27%, while the average expenses for peer groups ranged from 1.56% to 1.74%. Expenses were even lower for our funds' Admiral and Institutional Shares. 3 THE VALUE OF DIVERSIFICATION Events of the past several years--which saw the height of the dot-com boom, the long bear market in stocks that followed, and the recent resurgence of equities--remind us of the value of diversification, both across and within asset classes. Maintaining a balanced portfolio through such times can be a struggle, as investors are constantly being tempted or repelled by the returns of various asset classes or market segments. The balanced investor will never be at the top of the heap at any one moment--after all, one asset class will always do better than another--but he or she won't be on the bottom, either: Balance lets us enjoy much of the gains of the financial markets without plunging to their depths. Vanguard's small-cap index funds can be a valuable component of a balanced portfolio, providing low-cost exposure to smaller companies within the U.S. equity market. Thank you for entrusting your hard-earned money to us. Sincerely, John J. Brennan Chairman and Chief Executive Officer July 15, 2003 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-JUNE 30, 2003 DISTRIBUTIONS PER SHARE ----------------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- SMALL-CAP INDEX FUND Investor Shares $15.66 $18.27 $0.00 $0.00 Admiral Shares 15.66 18.28 0.00 0.00 Institutional Shares 15.66 18.29 0.00 0.00 - -------------------------------------------------------------------------------- SMALL-CAP GROWTH INDEX FUND Investor Shares $9.17 $10.50 $0.00 $0.00 Institutional Shares 9.17 10.51 0.00 0.00 - -------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND Investor Shares $8.52 $9.36 $0.00 $0.00 Institutional Shares 8.53 9.38 0.00 0.00 - -------------------------------------------------------------------------------- 4 FUND PROFILES As of June 30, 2003 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 8. SMALL-CAP INDEX FUND - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Number of Stocks 1,769 1,760 5,403 Median Market Cap $1.0B $1.0B $27.7B Price/Earnings Ratio 24.5x 24.5x 21.8x Price/Book Ratio 2.0x 2.0x 2.7x Yield 1.4% 1.6% Investor Shares 1.2% Admiral Shares 1.3% Institutional Shares 1.4% Return on Equity 11.7% 11.7% 20.5% Earnings Growth Rate 6.2% 6.2% 8.6% Foreign Holdings 0.3% 0.3% 0.1% Turnover Rate 43%+ -- -- Expense Ratio -- -- Investor Shares 0.27%++ Admiral Shares 0.18%++ Institutional Shares 0.10%++ Cash Investments 0.1% -- -- - -------------------------------------------------------------------------------- - ----------------------------------------------------- TEN LARGEST HOLDING (% of total net assets) Providian Financial Corp. 0.3% (financial services) Calpine Corp. 0.2 (utilities) Coventry Health Care Inc. 0.2 (health care) Humana Inc. 0.2 (health care) Rite Aid Corp. 0.2 (retail) The Chicago Mercantile Exchange 0.2 (financial services) GTECH Holdings Corp. 0.2 (entertainment) Mack-Cali Realty Corp. REIT 0.2 (real estate) Waddell & Reed Financial, Inc. 0.2 (investment management) Developers Diversified Realty Corp. REIT 0.2 (real estate) - ----------------------------------------------------- Top Ten 2.1% - ----------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ---------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX+++ FUND INDEX** - ---------------------------------------------------------------- R-Squared 1.00 1.00 0.79 1.00 Beta 1.00 1.00 1.05 1.00 - ---------------------------------------------------------------- - ----------------------- INVESTMENT FOCUS [CHART] Market Cap -- Small Style -- Blend - ----------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% of portfolio) TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Auto & Transportation 4.3% 4.3% 2.6% Consumer Discretionary 18.1 18.2 15.7 Consumer Staples 1.8 1.8 6.9 Financial Services 23.7 23.7 22.3 Health Care 12.1 12.1 14.3 Integrated Oils 0.0 0.0 3.5 Other Energy 4.6 4.7 2.3 Materials & Processing 7.7 7.8 3.6 Producer Durables 7.9 7.7 4.0 Technology 13.5 13.3 13.5 Utilities 5.7 5.9 7.1 Other 0.5 0.5 4.2 Cash 0.1 -- -- - -------------------------------------------------------------------------------- *MSCI US Small Cap 1750 Index. **Wilshire 5000 Index. +Annualized; includes activity related to a change in the fund's target index. ++Annualized. +++Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index thereafter. 5 FUND PROFILES (continued) SMALL-CAP GROWTH INDEX FUND - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Number of Stocks 1,022 1,019 5,403 Median Market Cap $1.0B $1.0B $27.7B Price/Earnings Ratio 42.5x 42.5x 21.8x Price/Book Ratio 2.6x 2.6x 2.7x Yield 0.2% 1.6% Investor Shares 0.0% Institutional Shares 0.2% Return on Equity 12.6% 12.6% 20.5% Earnings Growth Rate 12.6% 12.6% 8.6% Foreign Holdings 0.4% 0.4% 0.9% Turnover Rate 127%+ -- -- Expense Ratio -- -- Investor Shares 0.27%++ Institutional Shares 0.10%++ Cash Investments 0.2% -- -- - -------------------------------------------------------------------------------- - ------------------------------------------------------ TEN LARGEST HOLDINGS (% of total net assets) Coventry Health Care Inc. 0.4% (health care) Rite Aid Corp. 0.4 (retail) The Chicago Mercantile Exchange 0.4 (financial services) GTECH Holdings Corp. 0.4 (entertainment) Waddell & Reed Financial, Inc. 0.4 (investment management) Mid Atlantic Medical Services, Inc. 0.4 (health care) Chesapeake Energy Corp. 0.4 (oil) Western Digital Corp. 0.4 (computer technology) PMC Sierra Inc. 0.4 (electronics) Edwards Lifesciences Corp. 0.4 (medical) - ------------------------------------------------------ Top Ten 4.0% - ------------------------------------------------------ The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ---------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX+++ FUND INDEX** - ---------------------------------------------------------------- R-Squared 1.00 1.00 0.77 1.00 Beta 1.01 1.00 1.04 1.00 - ---------------------------------------------------------------- - --------------------- INVESTMENT FOCUS [CHART] Market Cap -- Small Style -- Growth - --------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Auto & Transportation 3.7% 3.7% 2.6% Consumer Discretionary 23.8 24.2 15.7 Consumer Staples 1.8 1.8 6.9 Financial Services 8.8 8.9 22.3 Health Care 19.7 19.6 14.3 Integrated Oils 0.1 0.0 3.5 Other Energy 5.7 6.1 2.3 Materials & Processing 4.2 3.9 3.6 Producer Durables 7.8 7.7 4.0 Technology 22.2 21.8 13.5 Utilities 1.8 2.2 7.1 Other 0.2 0.1 4.2 Cash 0.2 -- -- - -------------------------------------------------------------------------------- *MSCI US Small Cap Growth Index. **Wilshire 5000 Index. +Annualized; includes activity related to a change in the fund's target index. ++Annualized. +++S&P SmallCap 600/Barra Growth Index through May 16, 2003; MSCI US Small Cap Growth Index thereafter. 6 SMALL-CAP VALUE INDEX FUND - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Number of Stocks 951 949 5,403 Median Market Cap $1.0B $1.0B $27.7B Price/Earnings Ratio 17.2x 17.2x 21.8x Price/Book Ratio 1.5x 1.5x 2.7x Yield 2.6% 1.6% Investor Shares 2.5% Institutional Shares 2.6% Return on Equity 11.0% 11.0% 20.5% Earnings Growth Rate 1.9% 1.9% 8.6% Foreign Holdings 0.3% 0.3% 0.9% Turnover Rate 98%+ -- -- Expense Ratio -- -- Investor Shares 0.27%++ Institutional Shares 0.10%++ Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - ---------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) Providian Financial Corp. 0.5% (financial services) Calpine Corp. 0.5 (utilities) Humana Inc. 0.5 (health care) Mack-Cali Realty Corp. REIT 0.4 (real estate) Developers Diversified Realty Corp. REIT 0.4 (real estate) Great Plains Energy, Inc. 0.4 (energy and utilities) National Fuel Gas Co. 0.4 (gas utilities) United Dominion Realty Trust REIT 0.4 (real estate) Annaly Mortgage Management Inc. REIT 0.4 (real estate) Pentair, Inc. 0.4 (electronics) - ---------------------------------------------------- Top Ten 4.3% - ---------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ---------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX+++ FUND INDEX** - ---------------------------------------------------------------- R-Squared 1.00 1.00 0.62 1.00 Beta 1.01 1.00 0.91 1.00 - ---------------------------------------------------------------- - ---------------------- INVESTMENT FOCUS [CHART] Market Cap -- Small Style -- Value - ---------------------- - ------------------------------------------------------------------ SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** - ------------------------------------------------------------------ Auto & Transportation 5.0% 5.0% 2.6% Consumer Discretionary 11.9 11.9 15.7 Consumer Staples 1.9 1.9 6.9 Financial Services 39.3 39.2 22.3 Health Care 4.2 4.2 14.3 Integrated Oils 0.0 0.0 3.5 Other Energy 3.3 3.4 2.3 Materials & Processing 11.8 11.8 3.6 Producer Durables 7.6 7.6 4.0 Technology 4.4 4.4 13.5 Utilities 9.8 9.8 7.1 Other 0.8 0.8 4.2 - ------------------------------------------------------------------ *MSCI US Small Cap Value Index. **Wilshire 5000 Index. +Annualized; includes activity related to a change in the fund's target index. ++Annualized. +++S&P SmallCap 600/Barra Value Index through May 16, 2003; MSCI US Small Cap Value Index thereafter. 7 GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the fund's target index 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 typically 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. - -------------------------------------------------------------------------------- 8 PERFORMANCE SUMMARIES As of June 30, 2003 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 - -------------------------------------------------------------------------------- Fiscal-Year Total Returns (%) December 31, 1992-June 30, 2003 SCALE RANGE -45% TO 45% SMALL-CAP INDEX SPLICED SMALL INVESTOR SHARES CAP INDEX* --------------- ------------- 1993 18.7 18.9 1994 -0.5 -1.8 1995 28.7 28.4 1996 18.1 16.5 1997 24.6 22.4 1998 -2.6 -2.5 1999 23.1 21.3 2000 -2.7 -3.0 2001 3.1 2.5 2002 -20.0 -20.5 2003** 16.7 16.5 *Russell 2000 Index until May 16, 2003; MSCI US Small Cap 1750 Index thereafter. **Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 56-58 for dividend and capital gains information.
- ----------------------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003 TEN YEARS ONE FIVE --------------------------------- INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL - ----------------------------------------------------------------------------------------------- SMALL-CAP INDEX FUND Investor Shares* 10/3/1960 -2.67% 1.43% 7.62% 1.33% 8.95% Admiral Shares 11/13/2000 -2.52 -0.73** -- -- -- Institutional Shares 7/7/1997 -2.45 1.58 2.58** 1.38** 3.96** - ------------------------------------------------------------------------------------------------ *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Returns since inception.
9 PERFORMANCE SUMMARIES (CONTINUED) SMALL-CAP GROWTH INDEX FUND - -------------------------------------------------------------------------------- Fiscal-Year Total Returns (%) May 21, 1998-June 30, 2003 SCALE RANGE -45% to 45% SMALL-CAP GROWTH INDEX SPLICED SMALL CAP INVESTOR SHARES GROWTH INDEX* ---------------------- ----------------- 1998 -4.8 -5.1 1999 19.8 19.6 2000 1.6 0.6 2001 -0.8 -1.2 2002 -15.4 -15.4 2003** 14.5 13.7 *S&P SmallCap 600/Barra Growth Index until May 16, 2003; MSCI US Small Cap Growth Index thereafter. **Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 59 and 60 for dividend and capital gains information. SMALL-CAP VALUE INDEX FUND - -------------------------------------------------------------------------------- Fiscal-Year Total Returns (%) May 21, 1998-June 30, 2003 SCALE RANGE -45% to 45% SMALL-CAP VALUE INDEX SPLICED SMALL CAP FUND INVESTOR SHARES 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 2003** 9.9 8.6 *S&P SmallCap 600/Barra Value Index until May 16, 2003; MSCI US Small Cap Value Index thereafter. **Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 61 and 62 for dividend and capital gains information. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003 SINCE INCEPTION ONE FIVE --------------------------- INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL - -------------------------------------------------------------------------------- SMALL-CAP GROWTH INDEX FUND Investor Shares* 5/21/1998 2.72% 2.74% 1.92% 0.21% 2.13% Institutional Shares 5/24/2000 2.89 0.39** -- -- -- - -------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND Investor Shares* 5/21/1998 -10.93% 3.83% 2.51% 0.81% 3.32% Institutional Shares 12/7/1999 -10.68 8.83* -- -- -- - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Returns since inception. 10 FINANCIAL STATEMENTS June 30, 2003 (unaudited) STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, 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 (99.4%)(1) - -------------------------------------------------------------------------------- * Providian Financial Corp. 1,396,966 12,936 * Calpine Corp. 1,850,579 12,214 * Coventry Health Care Inc. 249,500 11,517 * Humana Inc. 758,774 11,457 * Rite Aid Corp. 2,521,950 11,223 The Chicago Mercantile Exchange 154,523 10,759 * GTECH Holdings Corp. 277,000 10,429 Mack-Cali Realty Corp. REIT 281,615 10,245 Waddell & Reed Financial, Inc. 393,400 10,099 Developers Diversified Realty Corp. REIT 352,703 10,031 * Mid Atlantic Medical Services, Inc. 189,700 9,921 Chesapeake Energy Corp. 980,181 9,900 * Western Digital Corp. 956,241 9,849 * Navistar International Corp. 300,919 9,819 Great Plains Energy, Inc. 339,249 9,798 National Fuel Gas Co. 375,526 9,782 * PMC Sierra Inc. 820,000 9,619 * Edwards Lifesciences Corp. 295,100 9,485 United Dominion Realty Trust REIT 548,398 9,443 CBRL Group, Inc. 242,200 9,412 * Catellus Development Corp. 427,180 9,398 * Monster Worldwide Inc. 469,236 9,258 * Newfield Exploration Co. 245,900 9,234 Annaly Mortgage Management Inc. REIT 454,950 9,058 * Certegy, Inc. 325,700 9,038 * Applied Micro Circuits Corp. 1,487,444 8,999 Pentair, Inc. 230,000 8,984 Autodesk, Inc. 555,610 8,979 The Macerich Co. REIT 254,900 8,955 * Invitrogen Corp. 232,892 8,936 * Maxtor Corp. 1,180,300 8,864 Ryland Group, Inc. 125,900 8,737 * Avaya Inc. 1,344,686 8,687 * PacifiCare Health Systems, Inc. 175,601 8,662 HCC Insurance Holdings, Inc. 290,600 8,593 * ImClone Systems, Inc. 271,100 8,572 Alliant Energy Corp. 449,667 8,557 * Big Lots Inc. 568,355 8,548 Donaldson Co., Inc. 191,700 8,521 Applebee's International, Inc. 270,900 8,514 Chelsea Property Group REIT 211,000 8,505 BorgWarner, Inc. 132,000 8,501 Webster Financial Corp. 223,775 8,459 Delta Air Lines, Inc. 574,702 8,437 * International Rectifier Corp. 314,100 8,424 * AMR Corp. 763,400 8,397 * Integrated Circuit Systems, Inc. 266,800 8,386 * Varco International, Inc. 427,300 8,375 Vectren Corp. 333,547 8,355 Sky Financial Group, Inc. 384,015 8,341 * Amylin Pharmaceuticals, Inc. 380,200 8,323 11 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Renal Care Group, Inc. 236,000 8,310 * Reliant Resources, Inc. 1,350,450 8,278 Snap-On Inc. 284,769 8,267 Philadelphia Suburban Corp. 338,445 8,251 United States Steel Corp. 503,422 8,241 Hawaiian Electric Industries Inc. 179,600 8,235 Cabot Corp. 286,906 8,234 OGE Energy Corp. 384,747 8,222 * Getty Images, Inc. 197,250 8,146 PerkinElmer, Inc. 587,215 8,109 Precision Castparts Corp. 258,578 8,042 Martin Marietta Materials, Inc. 239,094 8,036 Arden Realty Group, Inc. REIT 309,197 8,024 NICOR Inc. 216,067 8,018 Colonial BancGroup, Inc. 576,897 8,002 * DaVita, Inc. 298,100 7,983 HON Industries, Inc. 260,408 7,942 First American Corp. 301,100 7,934 Washington Federal Inc. 340,700 7,880 * STERIS Corp. 341,000 7,874 Roslyn Bancorp, Inc. 365,794 7,861 * O'Reilly Automotive, Inc. 235,378 7,859 Ryder System, Inc. 306,388 7,850 * Education Management Corp. 147,600 7,849 * Performance Food Group Co. 211,600 7,829 Lubrizol Corp. 252,636 7,829 * Pharmaceutical Resources, Inc. 160,600 7,815 Crescent Real Estate, Inc. REIT 469,941 7,806 * Quintiles Transnational Corp. 549,201 7,793 Ruby Tuesday, Inc. 313,800 7,760 * Crown Castle International Corp. 995,901 7,738 Cullen/Frost Bankers, Inc. 238,087 7,643 Federal Realty Investment Trust REIT 237,700 7,606 * NTL Inc. 222,720 7,599 * Mettler-Toledo International Inc. 206,815 7,580 * The Corp. Executive Board Co. 184,950 7,550 * Neurocrine Biosciences, Inc. 150,601 7,521 Peoples Energy Corp. 174,829 7,498 BRE Properties Inc. Class A REIT 225,632 7,491 Hudson United Bancorp 219,137 7,484 * Arrow Electronics, Inc. 489,800 7,465 StanCorp Financial Group, Inc. 142,611 7,447 * Sepracor Inc. 412,454 7,437 Medicis Pharmaceutical Corp. 130,850 7,419 * Avnet, Inc. 584,400 7,410 AGL Resources Inc. 290,119 7,381 * Cognizant Technology Solutions Corp. 300,000 7,308 Herman Miller, Inc. 360,111 7,278 * Cypress Semiconductor Corp. 606,200 7,274 * Toll Brothers, Inc. 255,600 7,236 * American Tower Corp. Class A 816,801 7,229 * Human Genome Sciences, Inc. 568,087 7,226 BancorpSouth, Inc. 345,383 7,201 Old National Bancorp 312,710 7,192 * Cincinnati Bell Inc. 1,072,044 7,183 Helmerich & Payne, Inc. 245,200 7,160 * BearingPoint, Inc. 741,850 7,159 Harsco Corp. 198,438 7,154 * Rambus Inc. 430,145 7,128 Friedman, Billings, Ramsey Group, Inc. 530,450 7,108 Graco, Inc. 221,865 7,100 * Pharmaceutical Product Development, Inc. 245,428 7,051 CarrAmerica Realty Corp. REIT 253,532 7,051 * McDATA Corp. Class A 478,703 7,023 Mills Corp. REIT 209,047 7,014 Westamerica Bancorporation 162,619 7,006 CenterPoint Properties Corp. REIT 113,070 6,926 * Brocade Communications Systems, Inc. 1,168,600 6,883 Pan Pacific Retail Properties, Inc. REIT 174,765 6,877 ICN Pharmaceuticals, Inc. 410,300 6,877 F.N.B. Corp. 227,225 6,876 IndyMac Bancorp, Inc. REIT 269,000 6,838 * Borders Group, Inc. 387,986 6,832 * Foundry Networks, Inc. 473,100 6,813 * Advanced Fibre Communications, Inc. 416,800 6,781 * Furniture Brands International Inc. 259,500 6,773 * Charles River Laboratories, Inc. 210,300 6,767 * DeVry, Inc. 289,600 6,745 Rayonier Inc. 203,916 6,729 Thornburg Mortgage, Inc. REIT 272,400 6,728 Camden Property Trust REIT 192,373 6,723 * Polycom, Inc. 484,800 6,719 * Apria Healthcare Group Inc. 269,002 6,693 Polaris Industries, Inc. 108,700 6,674 * Grant Prideco, Inc. 564,600 6,634 * Valassis Communications, Inc. 257,900 6,633 Independence Community Bank Corp. 234,700 6,623 * Avocent Corp. 221,167 6,620 * Andrx Group 332,300 6,613 Imation Corp. 173,873 6,576 * Sirius Satellite Radio, Inc. 3,860,554 6,524 Realty Income Corp. REIT 171,200 6,519 American Capital Strategies, Ltd. 261,196 6,514 * Affiliated Managers Group, Inc. 106,700 6,503 UGI Corp. Holding Co. 204,300 6,476 12 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * AmeriCredit Corp. 757,200 6,474 * ITT Educational Services, Inc. 220,877 6,461 * Sybase, Inc. 463,400 6,446 * Macromedia, Inc. 305,022 6,418 Trustmark Corp. 251,581 6,408 * Stericycle, Inc. 166,500 6,407 Lee Enterprises, Inc. 170,600 6,403 HRPT Properties Trust REIT 695,900 6,402 * AnnTaylor Stores Corp. 219,956 6,368 WGL Holdings Inc. 238,364 6,364 Piedmont Natural Gas, Inc. 163,231 6,335 Carlisle Co., Inc. 150,247 6,334 IPC Holdings Ltd. 188,798 6,325 * J.D. Edwards & Co. 440,620 6,314 IKON Office Solutions, Inc. 707,435 6,296 * Zale Corp. 157,300 6,292 * Activision, Inc. 486,250 6,282 * Acxiom Corp. 414,490 6,255 Cummins Inc. 173,542 6,228 * Barnes & Noble, Inc. 268,900 6,198 The MONY Group Inc. 229,823 6,194 Park National Corp. 54,113 6,182 Ethan Allen Interiors, Inc. 175,760 6,180 * Respironics, Inc. 164,700 6,180 Boise Cascade Corp. 257,151 6,146 * Netscreen Technologies, Inc. 272,300 6,140 CNF Inc. 241,486 6,129 * Cytec Industries, Inc. 181,127 6,122 * OSI Pharmaceuticals, Inc. 190,000 6,120 Jack Henry & Associates Inc. 343,700 6,114 * Interdigital Communications Corp. 261,588 6,113 ONEOK, Inc. 311,145 6,108 * Protein Design Labs, Inc. 436,578 6,103 * FMC Technologies Inc. 288,500 6,073 Church & Dwight, Inc. 185,500 6,071 * Fisher Scientific International Inc. 173,900 6,069 Peabody Energy Corp. 180,100 6,050 ArvinMeritor, Inc. 299,700 6,048 * ResMed Inc. 154,201 6,045 AptarGroup Inc. 167,400 6,02 * Cabot Microelectronics Corp. 119,401 6,026 Healthcare Realty Trust Inc. REIT 205,807 5,999 First Industrial Realty Trust REIT 189,520 5,989 WPS Resources Corp. 148,902 5,986 Whitney Holdings Corp. 187,195 5,985 * AGCO Corp. 350,300 5,983 Raymond James Financial, Inc. 180,800 5,975 * Cytyc Corp. 567,800 5,973 * Kinder Morgan Management, LLC 159,192 5,963 CBL & Associates Properties, Inc. REIT 138,600 5,960 First Midwest Bancorp, Inc. 206,781 5,957 Ametek, Inc. 162,502 5,956 * Earthlink, Inc. 752,900 5,940 Regis Corp. 202,978 5,897 * American Greetings Corp. Class A 300,211 5,896 * Techne Corp. 193,397 5,868 Ventas, Inc. REIT 386,700 5,859 Health Care Inc. REIT 191,700 5,847 * Amkor Technology, Inc. 444,912 5,846 Kennametal, Inc. 172,715 5,845 Highwood Properties, Inc. REIT 261,800 5,838 * Pacific Sunwear of California, Inc. 241,893 5,827 Shurgard Storage Centers, Inc. Class A REIT 176,128 5,826 * Hyperion Solutions Corp. 171,240 5,781 Forest City Enterprise Class A 139,442 5,780 * United Stationers, Inc. 159,183 5,758 * Varian, Inc. 165,692 5,745 * Take-Two Interactive Software, Inc. 202,600 5,742 * P.F. Chang's China Bistro, Inc. 116,600 5,738 * Mirant Corp. 1,975,295 5,728 * Key Energy Services, Inc. 534,101 5,726 Media General, Inc. Class A 100,077 5,724 CMS Energy Corp. 704,854 5,709 Cooper Tire & Rubber Co. 323,941 5,698 * IDEXX Laboratories Corp. 168,726 5,683 Roper Industries Inc. 152,151 5,660 * Service Corp. International 1,460,100 5,651 Pacific Capital Bancorp 160,933 5,641 * Affymetrix, Inc. 286,090 5,639 Arch Coal, Inc. 244,320 5,614 * Integrated Device Technology Inc. 507,500 5,608 UCBH Holdings, Inc. 195,221 5,599 * Crown Holdings, Inc. 778,700 5,560 * Novell, Inc. 1,802,529 5,552 * DoubleClick Inc. 599,462 5,545 La-Z-Boy Inc. 246,815 5,524 Reader's Digest Association, Inc. 407,900 5,498 DQE Inc. 364,426 5,492 Lancaster Colony Corp. 142,000 5,490 * Vertex Pharmaceuticals, Inc. 374,400 5,466 * Emmis Communications, Inc. 237,883 5,459 Prentiss Properties Trust REIT 181,900 5,455 * Charter Communications, Inc. 1,370,439 5,441 * Covance, Inc. 299,158 5,415 Westar Energy, Inc. 332,454 5,396 * Electronics for Imaging, Inc. 265,681 5,391 AmerUs Group Co. 191,108 5,387 * Cymer, Inc. 167,800 5,371 Briggs & Stratton Corp. 106,252 5,366 * The Neiman Marcus Group, Inc. Class A 146,350 5,356 13 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Dynegy, Inc. 1,275,252 5,356 Atmos Energy Corp. 215,922 5,355 * Flowserve Corp. 270,800 5,327 * Panera Bread Co. 133,068 5,323 Airgas, Inc. 317,492 5,318 United Bankshares, Inc. 185,601 5,317 * R.H. Donnelley Corp. 145,600 5,310 * Beazer Homes USA, Inc. 63,417 5,295 * Timberland Co. 100,000 5,286 Essex Property Trust, Inc. REIT 92,297 5,284 * Extended Stay America, Inc. 391,400 5,280 Cooper Cos., Inc. 151,801 5,278 Crane Co. 233,182 5,277 * Louisiana-Pacific Corp. 486,718 5,276 Jefferies Group, Inc. 105,763 5,266 * Sonus Networks, Inc. 1,046,300 5,263 * Bio-Rad Laboratories, Inc. Class A 95,001 5,258 * ADTRAN Inc. 102,961 5,253 * Scotts Co. 105,900 5,242 Allegheny Energy, Inc. 619,730 5,237 Universal Corp. (VA) 123,653 5,231 * Martek Biosciences Corp. 121,700 5,226 SL Green Realty Corp. REIT 149,300 5,209 IDEX Corp. 143,683 5,207 Washington REIT 191,250 5,202 * Conexant Systems, Inc. 1,239,900 5,197 * Atmel Corp. 2,050,300 5,187 MDC Holdings, Inc. 107,435 5,187 * Arbitron Inc. 144,975 5,176 * FLIR Systems, Inc. 170,900 5,153 Claire's Stores, Inc. 203,089 5,150 The South Financial Group, Inc. 220,421 5,142 PNM Resources Inc. 192,200 5,141 * BJ's Wholesale Club, Inc. 340,200 5,123 Skywest, Inc. 268,154 5,111 * Linens 'n Things, Inc. 216,246 5,106 * Semtech Corp. 358,200 5,101 Patina Oil & Gas Corp. 158,408 5,093 * J.B. Hunt Transport Services, Inc. 134,832 5,090 * Accredo Health, Inc. 233,100 5,082 Sensient Technologies Corp. 220,665 5,073 * American Eagle Outfitters, Inc. 279,100 5,057 * Red Hat, Inc. 667,820 5,055 * Hercules, Inc. 508,257 5,032 * Station Casinos, Inc. 198,201 5,005 Trizec Properties, Inc. REIT 439,865 5,001 Cousins Properties, Inc. REIT 178,831 4,989 Corn Products International, Inc. 166,015 4,985 * Varian Semiconductor Equipment Associates, Inc. 167,200 4,976 * Kronos, Inc. 97,805 4,969 Airborne, Inc. 237,703 4,968 * The Yankee Candle Co., Inc. 213,701 4,962 * Swift Transportation Co., Inc. 266,309 4,959 * CEC Entertainment Inc. 133,520 4,931 * Vitesse Semiconductor Corp. 1,001,500 4,927 * Forest Oil Corp. 195,800 4,918 Community First Bankshares, Inc. 179,652 4,905 * INAMED Corp. 91,300 4,902 IDACORP, Inc. 186,000 4,883 * Stone Energy Corp. 116,075 4,866 Chittenden Corp. 177,595 4,857 Massey Energy Co. 369,083 4,853 Citizens Banking Corp. 181,244 4,852 Oshkosh Truck Corp. 81,778 4,851 * Ascential Software Corp. 294,876 4,848 Alexander & Baldwin, Inc. 182,666 4,846 * Sonic Corp. 190,411 4,842 Global Payments Inc. 136,300 4,839 * Landstar System, Inc. 76,951 4,836 * CACI International, Inc. 140,801 4,829 * Cimarex Energy Co. 203,300 4,828 * Hovnanian Enterprises Inc. Class A 81,901 4,828 Taubman Co. REIT 251,900 4,826 * Continental Airlines, Inc. Class B 322,300 4,825 * Waste Connections, Inc. 137,303 4,812 * Overture Services, Inc. 265,318 4,810 International Bancshares Corp. 135,116 4,805 * Hollywood Entertainment Corp. 279,300 4,804 * Evergreen Resources, Inc. 88,402 4,801 * NBTY, Inc. 227,936 4,800 Minerals Technologies, Inc. 98,639 4,800 New Century Financial Corp. 109,953 4,799 Perrigo Co. 306,156 4,788 The Toro Co. 120,040 4,772 * Gen-Probe Inc. 116,700 4,770 The Timken Co. 272,100 4,764 Hilb, Rogal and Hamilton Co. 139,602 4,752 Bob Evans Farms, Inc. 171,484 4,738 FactSet Research Systems Inc. 107,481 4,735 * GlobespanVirata, Inc. 572,678 4,725 * Mentor Graphics Corp. 326,226 4,724 Standard Pacific Corp. 141,994 4,709 Clarcor Inc. 122,076 4,706 New Jersey Resources Corp. 132,369 4,699 Commercial Federal Corp. 221,478 4,695 Greater Bay Bancorp 228,400 4,691 * Christopher & Banks Corp. 126,301 4,672 * Allmerica Financial Corp. 259,281 4,664 * Commonwealth Telephone Enterprises, Inc. 106,051 4,663 14 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Home Properties of New York, Inc. REIT 131,300 4,627 Reckson Associates Realty Corp. REIT 221,800 4,627 * JetBlue Airways Corp. 109,400 4,627 * FTI Consulting, Inc. 184,451 4,606 * Ultra Petroleum Corp. 356,464 4,602 Staten Island Bancorp, Inc. 236,168 4,601 Blyth, Inc. 169,030 4,598 Nationwide Health Properties, Inc. REIT 288,200 4,591 * Southwest Bancorporation of Texas, Inc. 140,950 4,582 * Gemstar-TV Guide International, Inc. 900,216 4,582 * Skyworks Solutions, Inc. 676,463 4,580 Platinum Underwriters Holdings, Ltd. 168,500 4,573 Albemarle Corp. 163,200 4,565 First BanCorp Puerto Rico 166,138 4,560 York International Corp. 194,779 4,558 * Silicon Valley Bancshares 190,800 4,543 Dillard's Inc. 335,987 4,526 Energen Corp. 135,702 4,519 * Lattice Semiconductor Corp. 548,572 4,515 Worthington Industries, Inc. 336,761 4,513 Brandywine Realty Trust REIT 183,200 4,510 John Wiley & Sons Class A 171,780 4,501 * Kroll Inc. 166,200 4,497 Black Hills Corp. 146,302 4,491 * Alleghany Corp. 23,467 4,482 * Tetra Tech, Inc. 261,540 4,480 Ferro Corp. 197,140 4,442 * Pediatrix Medical Group, Inc. 123,911 4,417 Callaway Golf Co. 333,100 4,404 * Sybron Dental Specialties, Inc. 186,402 4,399 Mentor Corp. 226,676 4,393 * Intergraph Corp. 203,567 4,377 * Quiksilver, Inc. 265,201 4,373 Olin Corp. 254,698 4,355 Cabot Oil & Gas Corp. 157,568 4,350 Superior Industries International, Inc. 104,309 4,350 Florida Rock Industries, Inc. 105,216 4,343 Visteon Corp. 630,917 4,334 * Investment Technology Group, Inc. 232,900 4,332 * Avid Technology, Inc. 123,474 4,330 Invacare Corp. 130,795 4,316 * ADVO, Inc. 97,201 4,316 Susquehanna Bancshares, Inc. 184,588 4,310 Post Properties, Inc. REIT 162,600 4,309 Diagnostic Products Corp. 104,950 4,308 * Terex Corp. 220,600 4,306 Werner Enterprises, Inc. 203,033 4,304 * Cumulus Media Inc. 227,300 4,303 Fremont General Corp. 314,070 4,303 * Legato Systems, Inc. 511,428 4,291 * Sylvan Learning Systems, Inc. 187,815 4,290 * Tom Brown, Inc. 154,302 4,288 Great Lakes Chemical Corp. 209,000 4,264 Hollinger International, Inc. 395,300 4,257 Downey Financial Corp. 102,800 4,246 * Plantronics, Inc. 195,823 4,243 East West Bancorp, Inc. 117,220 4,236 Colonial Properties Trust REIT 119,602 4,209 * Cognex Corp. 187,695 4,195 Western Gas Resources, Inc. 105,929 4,195 Alexandria Real Estate Equities, Inc. REIT 92,900 4,180 Alpharma, Inc. Class A 193,387 4,177 * United Rentals, Inc. 300,300 4,171 * Payless ShoeSource, Inc. 332,691 4,159 * Catalina Marketing Corp. 235,300 4,153 * United Online, Inc. 163,820 4,151 * Thomas & Betts Corp. 285,900 4,131 Federal Signal Corp. 234,843 4,126 * Hutchinson Technology, Inc. 125,151 4,116 * Alliance Gaming Corp. 217,501 4,113 First Niagara Financial Group, Inc. 294,579 4,112 * NPS Pharmaceuticals Inc. 168,900 4,111 * Premcor, Inc. 190,227 4,099 * Perot Systems Corp. 360,797 4,099 * Hot Topic, Inc. 152,100 4,093 * Adaptec, Inc. 524,600 4,081 * Corrections Corp. of America REIT 160,887 4,075 * Trimeris, Inc. 89,100 4,070 The Goodyear Tire & Rubber Co. 773,020 4,058 * Gateway, Inc. 1,110,103 4,052 * Abgenix, Inc. 385,900 4,048 * KEMET Corp. 400,800 4,048 Capital Automotive REIT 144,620 4,048 * Southern Union Co. 238,697 4,044 Brookline Bancorp, Inc. 288,593 4,040 LandAmerica Financial Group, Inc. 84,957 4,035 Banta Corp. 124,365 4,026 Strayer Education, Inc. 50,634 4,023 TrustCo Bank NY 362,991 4,022 * Arch Capital Group Ltd. 115,598 4,015 * Macrovision Corp. 201,341 4,011 Texas Regional Bancshares, Inc. 115,236 3,999 * Jack in the Box Inc. 179,301 3,998 Cleco Corp. 230,804 3,998 Commerce Group, Inc. 110,221 3,990 Fred's, Inc. 106,993 3,978 15 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- W Holding Co., Inc. 234,501 3,968 Kellwood Co. 125,388 3,966 * Documentum, Inc. 201,600 3,965 * SCP Pool Corp. 115,150 3,961 * VISX Inc. 227,710 3,951 The Phoenix Cos., Inc. 437,419 3,950 * XM Satellite Radio Holdings, Inc. 356,700 3,942 W.P. Carey & Co. LLC 131,594 3,940 Crompton Corp. 556,802 3,925 * Parametric Technology Corp. 1,285,505 3,921 * Maverick Tube Corp. 204,308 3,912 Delta & Pine Land Co. 177,826 3,909 * Dionex Corp. 97,809 3,888 * Tommy Hilfiger Corp. 420,650 3,887 * Western Wireless Corp. Class A 336,200 3,876 * Mueller Industries Inc. 142,448 3,862 * LifePoint Hospitals, Inc. 183,900 3,851 Hughes Supply, Inc. 110,597 3,838 LNR Property Corp. 102,451 3,832 Wolverine World Wide, Inc. 198,788 3,829 * Dycom Industries, Inc. 234,647 3,825 * Cost Plus, Inc. 106,851 3,810 * Keane, Inc. 279,410 3,808 Matthews International Corp. 153,800 3,808 * Cal Dive International, Inc. 173,840 3,790 * American Axle & Manufacturing Holdings, Inc. 158,400 3,786 * NetIQ Corp. 244,710 3,783 St. Mary Land & Exploration Co. 138,514 3,781 Delphi Financial Group, Inc. 80,571 3,771 * ATMI, Inc. 150,758 3,764 * Andrew Corp. 408,927 3,762 Impac Mortgage Holdings, Inc. REIT 225,301 3,760 * The Medicines Co. 190,600 3,753 * CV Therapeutics, Inc. 126,200 3,743 Thor Industries, Inc. 91,301 3,727 * Ohio Casualty Corp. 282,228 3,720 Kilroy Realty Corp. REIT 134,479 3,698 Tupperware Corp. 257,307 3,695 Flowers Foods, Inc. 186,960 3,694 Acuity Brands, Inc. 202,944 3,687 The Brink's Co. 252,600 3,680 Liberty Corp. 86,500 3,676 Provident Financial Group, Inc. 143,134 3,669 * Ariba, Inc. 1,235,055 3,668 * Benchmark Electronics, Inc. 119,064 3,662 Gables Residential Trust REIT 120,183 3,633 * Applera Corp.-Celera Genomics Group 351,801 3,631 * AirTran Holdings, Inc. 346,701 3,630 * American Italian Pasta Co. 86,698 3,611 * EMCOR Group, Inc. 73,092 3,608 * CNET Networks, Inc. 578,907 3,607 MAF Bancorp, Inc. 97,185 3,603 IMC Global Inc. 535,000 3,590 * Kansas City Southern 298,302 3,589 Republic Bancorp, Inc. 267,102 3,585 John H. Harland Co. 137,002 3,584 * ProAssurance Corp. 132,696 3,581 * CSG Systems International, Inc. 253,200 3,578 * OfficeMax, Inc. 546,000 3,576 Glimcher Realty Trust REIT 159,400 3,571 USF Corp. 132,364 3,570 * Unit Corp. 170,644 3,568 * Watson Wyatt & Co. Holdings 153,200 3,551 Flagstar Bancorp, Inc. 145,159 3,549 CH Energy Group, Inc. 78,706 3,542 Trinity Industries, Inc. 191,168 3,539 * Trimble Navigation Ltd. 154,285 3,538 * The Titan Corp. 343,500 3,535 * Ralcorp Holdings, Inc. 141,551 3,533 * Rare Hospitality International Inc. 107,965 3,528 * FMC Corp. 155,680 3,523 * Silicon Laboratories Inc. 132,037 3,517 People's Bank 121,116 3,511 * THQ Inc. 194,810 3,507 * Micrel, Inc. 336,800 3,499 Reinsurance Group of America, Inc. 108,601 3,486 Owens & Minor, Inc. Holding Co. 155,840 3,483 Grey Global Group Inc. 4,501 3,477 American Financial Group, Inc. 152,400 3,475 * Select Medical Corp. 139,600 3,466 * Joy Global Inc. 234,651 3,466 * Philadelphia Consolidated Holding Corp. 85,624 3,459 * MPS Group, Inc. 501,821 3,453 Southwest Gas Corp. 162,796 3,448 R.L.I. Corp. 104,575 3,441 Black Box Corp. 94,809 3,432 Potlatch Corp. 133,236 3,431 * Anixter International Inc. 146,075 3,423 * Tractor Supply Co. 71,600 3,419 * Thoratec Corp. 229,363 3,418 * Spinnaker Exploration Co. 130,219 3,412 Northwest Natural Gas Co. 125,164 3,411 * Coherent, Inc. 143,837 3,406 Chateau Communities, Inc. REIT 115,000 3,403 * RealNetworks, Inc. 501,835 3,402 * Alkermes, Inc. 316,000 3,397 * Grey Wolf, Inc. 840,601 3,396 * Power Integrations, Inc. 139,600 3,395 * Men's Wearhouse, Inc. 155,311 3,394 16 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Odyssey Healthcare, Inc. 91,650 3,391 * Progress Software Corp. 163,542 3,390 * Copart, Inc. 358,100 3,384 * SEACOR SMIT Inc. 92,720 3,383 * Too Inc. 166,921 3,380 Horace Mann Educators Corp. 208,979 3,371 Municipal Mortgage & Equity, L.L.C. 132,622 3,366 * OmniVision Technologies, Inc. 107,750 3,362 * Yellow Corp. 145,071 3,358 * PETCO Animal Supplies, Inc. 154,326 3,355 * Westport Resources Corp. 147,350 3,352 Cathay Bancorp, Inc. 74,866 3,338 GATX Corp. 204,100 3,337 * Ligand Pharmaceuticals Inc. Class B 245,048 3,330 * Priority Healthcare Corp. Class B 179,400 3,328 * Borland Software Corp. 340,200 3,324 * Journal Register Co. 183,300 3,316 * Biosite Inc. 68,900 3,314 Sun Communities, Inc. REIT 84,300 3,313 * Sycamore Networks, Inc. 863,000 3,305 Heritage Property Investment Trust REIT 121,800 3,298 * United Defense Industries Inc. 126,901 3,292 Engineered Support Systems, Inc. 78,473 3,284 * Heartland Express, Inc. 147,155 3,274 * Pinnacle Systems, Inc. 305,700 3,271 Selective Insurance Group 130,133 3,260 * Quantum Corp. 801,802 3,247 The Pep Boys (Manny, Moe & Jack) 239,977 3,242 Commercial Net Lease Realty REIT 188,000 3,241 Manufactured Home Communities, Inc. REIT 91,900 3,227 * Penn National Gaming, Inc. 157,000 3,226 Tootsie Roll Industries, Inc. 105,700 3,223 Net.Bank, Inc. 244,000 3,211 Otter Tail Corp. 118,900 3,208 * Veridian Corp. 91,900 3,206 * Cerner Corp. 139,600 3,204 First Commonwealth Financial Corp. 245,202 3,178 Avista Corp. 224,068 3,171 * FileNET Corp. 175,694 3,170 * MGI Pharma, Inc. 123,646 3,169 Lincoln Electric Holdings, Inc. 154,800 3,159 * Wilson Greatbatch Technologies, Inc. 87,252 3,150 Brady Corp. Class A 94,245 3,143 ABM Industries Inc. 203,825 3,139 CVB Financial Corp. 160,466 3,132 * Advanced Neuromodulation Systems, Inc. 60,400 3,127 NDCHealth Corp. 170,401 3,127 * Oceaneering International, Inc. 121,591 3,107 * Alliance Data Systems Corp. 132,700 3,105 Granite Construction Co. 161,959 3,103 Senior Housing Properties Trust REIT 228,700 3,101 * Exar Corp. 195,901 3,101 MacDermid, Inc. 117,875 3,100 IHOP Corp. 98,102 3,097 Casey's General Stores, Inc. 218,646 3,092 UniSource Energy Corp. 164,110 3,085 * Simpson Manufacturing Co. 84,095 3,078 * Northwest Airlines Corp. Class A 272,600 3,078 * Anteon International Corp. 110,100 3,073 * AmSurg Corp. 100,631 3,069 * DRS Technologies, Inc. 109,901 3,068 Novastar Financial, Inc. REIT 51,350 3,068 * Six Flags, Inc. 452,500 3,068 H.B. Fuller Co. 139,222 3,066 Kaydon Corp. 146,988 3,057 Albany International Corp. 111,286 3,049 * Group 1 Automotive, Inc. 93,902 3,043 Provident Bankshares Corp. 119,494 3,036 Lexington Corporate Properties Trust REIT 171,400 3,034 * La Quinta Corp. REIT 703,622 3,033 Lennox International Inc. 235,544 3,031 * Mediacom Communications Corp. 306,601 3,026 * El Paso Electric Co. 244,473 3,014 * MSC Industrial Direct Co., Inc. Class A 168,055 3,008 * Boyd Gaming Corp. 174,000 3,003 * RSA Security Inc. 278,117 2,990 Redwood Trust, Inc. REIT 74,700 2,981 * Viasys Healthcare Inc. 143,743 2,975 * Sierra Pacific Resources 498,917 2,964 * Ryan's Family Steak Houses, Inc. 211,428 2,960 * American Management Systems, Inc. 206,993 2,956 * CUNO Inc. 81,777 2,954 * Knight Transportation, Inc. 118,596 2,953 * Axcelis Technologies, Inc. 480,777 2,942 * Insight Communications Co., Inc. 223,100 2,940 * IGEN International, Inc. 93,500 2,936 Millennium Chemicals, Inc. 308,700 2,936 * Micromuse Inc. 367,100 2,933 * BankUnited Financial Corp. 145,198 2,926 * BioMarin Pharmaceutical Inc. 299,300 2,921 * First Federal Financial Corp. 82,724 2,919 * CMGI Inc. 1,730,000 2,889 17 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Advanced Digital Information Corp. 288,201 2,879 * Digital Insight Corp. 150,400 2,865 * DSP Group Inc. 132,945 2,862 * Genta Inc. 214,700 2,860 * Extreme Networks, Inc. 539,400 2,859 S & T Bancorp, Inc. 104,046 2,854 * Aztar Corp. 177,064 2,85 * Genesis Health Ventures, Inc. 161,600 2,852 * Sonic Automotive, Inc. 130,100 2,850 * Chiquita Brands International, Inc. 195,300 2,832 * IDT Corp. Class B 160,800 2,830 Georgia Gulf Corp. 142,717 2,826 * USG Corp. 148,401 2,820 USEC Inc. 399,600 2,805 * Technitrol, Inc. 186,195 2,802 G & K Services, Inc. Class A 94,629 2,801 * MICROS Systems, Inc. 84,907 2,800 Chemical Financial Corp. 93,776 2,795 * Newport Corp. 188,726 2,793 * EGL, Inc. 183,733 2,793 NBT Bancorp, Inc. 144,086 2,788 Cambrex Corp. 121,102 2,788 Interstate Bakeries Corp. 219,234 2,784 * ILEX Oncology, Inc. 143,236 2,780 PolyMedica Corp. 60,617 2,776 Nordson Corp. 115,854 2,763 Baldor Electric Co. 134,015 2,761 Waypoint Financial Corp. 152,704 2,755 Reliance Steel & Aluminum Co. 132,592 2,745 * Charming Shoppes, Inc. 552,030 2,744 * US Oncology, Inc. 370,822 2,740 * Endo Pharmaceuticals Holdings, Inc. 161,665 2,735 * Choice Hotel International, Inc. 100,051 2,732 UIL Holdings Corp. 67,374 2,732 Summit Properties, Inc. REIT 132,300 2,732 * ESCO Technologies Inc. 62,001 2,728 * eSPEED, Inc. Class A 137,800 2,723 Landry's Restaurants, Inc. 115,352 2,722 Pacific Northwest Bancorp 78,298 2,722 * K-V Pharmaceutical Co. Class A 97,800 2,719 Tecumseh Products Co. Class A 70,891 2,716 National Penn Bancshares Inc. 96,650 2,714 * CSK Auto Corp. 187,700 2,712 * Actuant Corp. 57,201 2,707 * Enterasys Networks, Inc. 891,400 2,701 * Wynn Resorts Ltd. 152,309 2,694 R & G Financial Corp. Class B 90,700 2,694 Ruddick Corp. 171,359 2,694 * Washington Group International, Inc. 122,654 2,693 * Knight Trading Group, Inc. 432,601 2,691 * Entravision Communications Corp. 237,000 2,690 * Tekelec 237,300 2,681 * Atlantic Coast Airlines Holdings Inc. 198,776 2,681 * Argosy Gaming Co. 127,801 2,672 * Kirby Corp. 94,607 2,668 * ProQuest Co. 103,300 2,665 * Hanover Compressor Co. 235,836 2,665 * Vicuron Pharmaceuticals Inc. 187,935 2,665 * Enzon Pharmaceuticals, Inc. 212,300 2,658 * Interactive Data Corp. 157,192 2,657 * Identix, Inc. 417,689 2,652 Vintage Petroleum, Inc. 234,755 2,648 * Alaska Air Group, Inc. 123,444 2,648 BankAtlantic Bancorp, Inc. Class A 222,466 2,645 * Internet Security Systems, Inc. 182,201 2,640 * Province Healthcare Co. 238,202 2,637 CONSOL Energy, Inc. 115,850 2,634 * eFunds Corp. 227,901 2,628 F & M Bancorp 53,059 2,617 Winnebago Industries, Inc. 69,001 2,615 Arkansas Best Corp. 109,776 2,612 * Credence Systems Corp. 308,159 2,610 * West Corp. 97,869 2,608 * Sierra Health Services, Inc. 130,401 2,608 * UnitedGlobalCom Inc. Class A 503,970 2,606 MFA Mortgage Investments, Inc. REIT 259,300 2,603 First Citizens BancShares Class A 25,797 2,601 * Photronics Inc. 149,029 2,601 The Manitowoc Co., Inc. 116,606 2,600 Curtiss-Wright Corp. 41,000 2,591 Spartech Corp. 122,009 2,588 * MAXIMUS, Inc. 93,651 2,588 * Rogers Corp. 77,702 2,587 * Entegris Inc. 192,086 2,582 * Price Communications Corp. 199,967 2,582 * Superior Energy Services, Inc. 271,161 2,571 * School Specialty, Inc. 90,311 2,570 MGE Energy, Inc. 81,575 2,570 Modine Manufacturing Co. 132,340 2,563 * Marvel Enterprises Inc. 134,201 2,563 * USI Holdings Corp. 217,871 2,562 * Zoran Corp. 133,300 2,561 * TriQuint Semiconductor, Inc. 614,711 2,557 * Barra, Inc. 71,575 2,555 First Charter Corp. 146,800 2,554 A.O. Smith Corp. 90,620 2,551 Amcore Financial, Inc. 109,428 2,547 * Vignette Corp. 1,224,150 2,546 18 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Wausau-Mosinee Paper Corp. 226,806 2,540 Sterling Bancshares, Inc. 193,876 2,536 * UNOVA, Inc. 228,100 2,532 * Telik, Inc. 157,500 2,531 Equity One, Inc. REIT 154,028 2,526 * Iomega Corp. 238,001 2,523 UMB Financial Corp. 59,314 2,515 RAIT Investment Trust REIT 94,900 2,515 * Enzo Biochem, Inc. 116,742 2,512 * Nektar Therapeutics 271,316 2,504 * TiVo Inc. 205,300 2,501 Hancock Holding Co. 53,126 2,500 * Sinclair Broadcast Group, Inc. 214,800 2,494 * The Advisory Board Co. 61,500 2,492 * Southwestern Energy Co. 165,090 2,478 Glenborough Realty Trust, Inc. REIT 129,300 2,476 * CommScope, Inc. 260,208 2,472 The Laclede Group, Inc. 92,170 2,470 * Priceline.com, Inc. 110,316 2,470 * American Healthways Inc. 68,250 2,465 * Informatica Corp. 356,700 2,465 Umpqua Holdings Corp. 129,755 2,464 First Financial Bancorp 153,881 2,462 * AtheroGenics, Inc. 164,540 2,457 Texas Industries, Inc. 103,151 2,455 * AMERIGROUP Corp. 65,961 2,454 Brown Shoe Co., Inc. 82,260 2,451 * NII Holdings Inc. 63,990 2,449 * Meritage Corp. 49,701 2,448 * W-H Energy Services, Inc. 125,471 2,444 MB Financial, Inc. 60,911 2,439 Seacoast Financial Services Corp. 123,108 2,438 Anchor Bancorp Wisconsin Inc. 102,001 2,437 Pennsylvania REIT 81,200 2,432 * CONMED Corp. 133,044 2,429 * Shuffle Master, Inc. 82,580 2,427 PS Business Parks, Inc. REIT 68,600 2,422 * Actel Corp. 118,008 2,419 Dime Community Bancshares 94,977 2,417 * Scientific Games Corp. 257,124 2,417 * Saxon Capital Inc. 138,600 2,409 Empire District Electric Co. 110,270 2,398 * Cray Inc. 303,520 2,398 * Littelfuse, Inc. 107,100 2,395 * Advanced Medical Optics, Inc. 140,450 2,395 * The Gymboree Corp. 142,706 2,395 * Jones Lang Lasalle Inc. 151,500 2,394 * United Surgical Partners International, Inc. 105,910 2,393 * Nextel Partners, Inc. 327,700 2,392 * Dendrite International, Inc. 185,143 2,385 * United Natural Foods, Inc. 84,645 2,382 * Plexus Corp. 206,281 2,378 Anthracite Capital Inc. REIT 197,101 2,377 * Quest Software, Inc. 199,700 2,376 Harbor Florida Bancshares, Inc. 99,101 2,374 Wabtec Corp. 170,657 2,374 * Ask Jeeves, Inc. 172,600 2,373 Quanex Corp. 79,839 2,373 * TIBCO Software Inc. 464,740 2,366 Anworth Mortgage Asset Corp. REIT 153,300 2,364 * ExpressJet Holdings, Inc. 156,201 2,359 * Symyx Technologies, Inc. 144,442 2,357 Alabama National BanCorporation 48,600 2,356 * Navigant Consulting, Inc. 198,661 2,354 * Houston Exploration Co. 67,801 2,353 Gray Television, Inc. 189,301 2,347 * Allen Telecom Inc. 141,897 2,344 * Medarex, Inc. 355,184 2,341 Florida East Coast Industries, Inc. Class A 91,600 2,340 Regal-Beloit Corp. 122,502 2,340 Longs Drug Stores, Inc. 140,803 2,337 Corporate Office Properties Trust, Inc. REIT 138,000 2,336 United National Bancorp 84,005 2,318 * Digital River, Inc. 119,960 2,315 A. Schulman Inc. 144,126 2,315 * Resources Connection, Inc. 96,778 2,309 * Palm, Inc. 141,900 2,309 * VCA Antech, Inc. 117,893 2,307 * UICI 153,002 2,306 * Imagistics International Inc. 89,280 2,303 * Griffon Corp. 143,832 2,301 * Connetics Corp. 153,396 2,296 Community Bank System, Inc. 60,400 2,295 Aquila, Inc. 888,600 2,293 * Insituform Technologies Inc. Class A 129,432 2,288 * SERENA Software, Inc. 109,156 2,279 * Integra LifeSciences Holdings 86,351 2,278 * Lin TV Corp. 96,700 2,277 * Aeroflex, Inc. 294,042 2,276 * Guitar Center, Inc. 78,400 2,274 * Offshore Logistics, Inc. 104,528 2,273 Harleysville National Corp. 83,91 2,271 * Stewart Information Services Corp. 81,435 2,268 City Holding Co. 77,401 2,266 * MKS Instruments, Inc. 125,362 2,265 Scottish Annuity & Life Holdings, Ltd. 112,063 2,265 * Hain Celestial Group, Inc. 141,376 2,261 19 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Hecla Mining Co. 534,161 2,260 * Eon Labs, Inc. 64,256 2,259 Wintrust Financial Corp. 76,290 2,258 Mid-America Apartment Communities, Inc. REIT 83,300 2,250 * InterMune Inc. 139,600 2,249 * Checkpoint Systems, Inc. 158,802 2,247 * FEI Co. 119,756 2,247 * Dollar Thrifty Automotive Group, Inc. 121,100 2,246 Sandy Spring Bancorp, Inc. 71,000 2,244 EastGroup Properties, Inc. REIT 83,000 2,241 Analogic Corp. 45,898 2,238 * Power-One, Inc. 312,610 2,235 * Steel Dynamics, Inc. 162,801 2,230 * Shaw Group, Inc. 184,800 2,227 M/I Schottenstein Homes, Inc. 52,041 2,221 Alfa Corp. 174,561 2,219 * ANSYS, Inc. 71,321 2,218 * CTI Molecular Imaging, Inc. 117,200 2,216 WD-40 Co. 77,532 2,214 Frontier Financial Corp. 77,900 2,213 South Jersey Industries, Inc. 60,036 2,212 * SurModics, Inc. 72,396 2,208 * Packeteer, Inc. 141,500 2,203 * Manhattan Associates, Inc. 84,834 2,203 * Sunrise Senior Living, Inc. 98,206 2,198 Glacier Bancorp, Inc. 89,255 2,197 * Agile Software Corp. 226,800 2,189 Entertainment Properties Trust REIT 75,701 2,176 Mid-State Bancshares 110,160 2,176 National Health Investors REIT 117,900 2,174 * Tesoro Petroleum Corp. 315,601 2,171 Westbanco Inc. 89,143 2,166 Westcorp, Inc. 76,998 2,156 * Photon Dynamics, Inc. 78,000 2,155 * Verity, Inc. 170,138 2,154 Rock-Tenn Co. 126,760 2,149 * Fossil, Inc. 91,101 2,146 * Microsemi Corp. 134,107 2,146 * Itron, Inc. 99,291 2,141 * Forward Air Corp. 84,300 2,139 * Magnum Hunter Resources Inc. 267,501 2,137 K-Swiss, Inc. 61,769 2,132 American States Water Co. 77,836 2,125 Irwin Financial Corp. 81,902 2,121 * Moog Inc. 60,950 2,118 * Cyberonics, Inc. 98,466 2,118 * OMI Corp. 343,100 2,113 * Corvis Corp. 1,408,800 2,113 * Gaylord Entertainment Co. Class A 107,975 2,113 Arrow International, Inc. 47,780 2,109 * Advent Software, Inc. 124,600 2,107 * Atrix Laboratories, Inc. 95,800 2,107 * Genlyte Group, Inc. 60,200 2,105 Boston Private Financial Holdings, Inc. 99,798 2,104 * Financial Federal Corp. 86,203 2,103 * Denbury Resources, Inc. 156,500 2,102 * Sola International Inc. 120,513 2,097 Commercial Metals Co. 117,834 2,096 * Triarc Cos., Inc. Class A 69,800 2,093 * Stewart Enterprises, Inc. Class A 486,800 2,093 Russell Corp. 109,981 2,090 Stewart & Stevenson Services, Inc. 132,544 2,088 * LTX Corp. 241,978 2,086 United Community Banks, Inc. 83,352 2,082 * Regeneron Pharmaceuticals, Inc. 132,189 2,082 * Artisan Components, Inc. 91,900 2,078 * Akamai Technologies, Inc. 427,300 2,077 Allegheny Technologies Inc. 314,601 2,076 Bedford Property Investors, Inc. REIT 73,100 2,076 * CoStar Group, Inc. 69,481 2,075 * Kopin Corp. 338,916 2,074 * Genesis Microchip Inc. 152,820 2,069 * Electro Scientific Industries, Inc. 136,246 2,065 * TETRA Technologies, Inc. 69,603 2,064 * Veeco Instruments, Inc. 121,147 2,063 Rollins, Inc. 109,399 2,062 * Tanox, Inc. 128,403 2,061 Aaron Rents, Inc. Class B 79,574 2,056 * Rayovac Corp. 158,601 2,054 Parkway Properties Inc. REIT 48,800 2,052 * Urban Outfitters, Inc. 57,000 2,046 * Triumph Group, Inc. 72,572 2,044 Thomas Industries, Inc. 75,576 2,044 * Bright Horizons Family Solutions, Inc. 60,900 2,044 Lone Star Steakhouse & Saloon, Inc. 93,864 2,043 Bowne & Co., Inc. 156,593 2,040 OM Group, Inc. 138,500 2,040 * NCO Group, Inc. 113,899 2,040 The Trust Co. of New Jersey 67,315 2,040 * Insight Enterprises, Inc. 202,287 2,035 Kelly Services, Inc. Class A 86,430 2,027 Independent Bank Corp. (MI) 78,808 2,025 * Powerwave Technologies, Inc. 322,174 2,020 Odyssey Re Holdings Corp. 95,700 2,019 20 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Handleman Co. 126,200 2,019 Russ Berrie and Co., Inc. 55,066 2,010 Corus Bankshares Inc. 41,500 2,010 * Spherion Corp. 288,648 2,006 * O'Charley's Inc. 93,047 2,003 Woodward Governor Co. 46,501 2,000 * SRA International, Inc. 62,200 1,990 * The Neiman Marcus Group, Inc. Class B 57,553 1,986 * Ciber, Inc. 282,809 1,985 Arch Chemicals, Inc. 103,835 1,983 * WilTel Communications, Inc. 134,300 1,980 * Mykrolis Corp. 194,322 1,972 Steelcase Inc. 167,553 1,970 * aQuantive, Inc. 187,220 1,966 Belden, Inc. 123,302 1,959 * Lexar Media, Inc. 205,251 1,958 * Monaco Coach Corp. 127,677 1,957 * Hydrill Co. 71,744 1,955 * Central Garden and Pet Co. 81,663 1,948 * webMethods, Inc. 239,450 1,947 * Apex Silver Mines Ltd. 131,945 1,946 * Eclipsys Corp. 186,356 1,946 * ICU Medical, Inc. 62,371 1,943 * TierOne Corp. 99,784 1,943 * Ultratech, Inc. 105,034 1,942 Surewest Communications 64,166 1,941 Frontier Oil Corp. 127,651 1,940 * Westell Technologies, Inc. 224,300 1,940 ElkCorp 86,148 1,938 Speedway Motorsports, Inc. 72,302 1,938 * American Pharmaceuticals Partners, Inc. 57,120 1,936 * International Multifoods Corp. 84,360 1,933 Inter-Tel, Inc. 90,986 1,931 * Exelixis, Inc. 278,120 1,930 * Jacuzzi Brands, Inc. 364,600 1,929 Hooper Holmes, Inc. 298,875 1,925 * Brooks Automation, Inc. 169,724 1,925 * Finish Line, Inc. 86,600 1,923 * Select Comfort Corp. 117,400 1,923 PFF Bancorp, Inc. 49,621 1,918 The Stride Rite Corp. 192,351 1,916 New England Business Service, Inc. 63,831 1,915 Bandag, Inc. 51,376 1,915 * Lone Star Technologies, Inc. 90,293 1,912 First Financial Bankshares, Inc. 57,033 1,908 * Newpark Resources, Inc. 347,702 1,905 Franklin Electric, Inc. 34,200 1,903 * PSS World Medical, Inc. 330,702 1,902 PolyOne Corp. 427,089 1,901 * Orthodontic Centers of America, Inc. 237,200 1,900 * Paxar Corp. 172,630 1,899 Glatfelter 128,700 1,898 * TBC Corp. 99,396 1,893 * United Therapeutics Corp. 86,900 1,893 * Nautica Enterprises, Inc. 147,471 1,892 * Haemonetics Corp. 100,992 1,889 * Remington Oil & Gas Corp. 102,651 1,887 * CIMA Labs Inc. 70,094 1,885 * Helen of Troy Ltd. 124,050 1,881 * InVision Technologies, Inc. 74,901 1,879 * XOMA Ltd. 351,917 1,876 * Tularik, Inc. 188,612 1,875 AMLI Residential Properties Trust REIT 79,600 1,875 California Water Service Group 66,626 1,874 Hudson River Bancorp. Inc. 67,091 1,873 First Merchants Corp. 77,011 1,872 * Centene Corp. 48,100 1,871 * Veritas DGC Inc. 162,602 1,870 * Echelon Corp. 135,500 1,866 * SOURCECORP, Inc. 86,065 1,859 * Stage Stores, Inc. 79,060 1,858 Cornerstone Realty Income Trust, Inc. REIT 253,901 1,856 Overseas Shipholding Group Inc. 84,198 1,853 Methode Electronics, Inc. Class A 171,806 1,847 Central Pacific Financial Co. 66,600 1,845 * Magma Design Automation, Inc. 107,480 1,843 * Remec, Inc. 264,701 1,842 Longview Fibre Co. 224,014 1,837 Keystone Property Trust REIT 99,200 1,836 * ShopKo Stores, Inc. 141,102 1,834 * Coinstar, Inc. 97,165 1,833 Park Electrochemical Corp. 91,718 1,830 Texas Genco Holdings, Inc. 78,678 1,829 Datascope Corp. 61,602 1,829 Gold Banc Corp., Inc. 173,400 1,822 * Ionics, Inc. 81,451 1,822 Sovran Self Storage, Inc. REIT 57,701 1,818 * Young Broadcasting Inc. 85,946 1,816 * Global Imaging Systems, Inc. 78,400 1,816 * Digene Corp. 66,642 1,815 Connecticut Bancshares, Inc. 46,196 1,813 * AK Steel Corp. 499,700 1,809 * ValueClick, Inc. 298,880 1,802 * Corixa Corp. 233,066 1,802 Koger Equity, Inc. REIT 104,500 1,801 C & D Technologies, Inc. 125,377 1,800 Penn Virginia Corp. 41,802 1,797 * Mercury Computer Systems, Inc. 98,822 1,795 21 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Beverly Enterprises, Inc. 511,600 1,791 * Papa John's International, Inc. 63,751 1,788 Schweitzer-Mauduit International, Inc. 74,034 1,787 Landauer, Inc. 42,700 1,786 Suffolk Bancorp 55,253 1,779 * Exult Inc. 207,600 1,779 First Sentinel Bancorp Inc. 111,266 1,777 * Bay View Capital Corp. 307,399 1,777 * Esterline Technologies Corp. 101,867 1,774 * Global Industries Ltd. 367,778 1,773 * Headwaters Inc. 120,641 1,772 The Nautilus Group, Inc. 142,839 1,771 * eResearch Technology, Inc. 79,900 1,771 Unizan Financial Corp. 100,728 1,770 Kimball International, Inc. Class B 113,363 1,768 * Pegasus Solutions Inc. 108,751 1,767 * Core Laboratories NV 163,304 1,764 Getty Realty Holding Corp. REIT 79,000 1,763 * ChipPAC, Inc. 229,500 1,760 Mid Atlantic Realty Trust REIT 83,700 1,753 Cubic Corp. 78,851 1,752 * Teledyne Technologies, Inc. 133,670 1,751 Wellman, Inc. 156,203 1,749 * Comstock Resources, Inc. 127,701 1,747 * URS Corp. 89,759 1,747 * Armor Holdings, Inc. 130,018 1,742 Oriental Financial Group Inc. 67,627 1,737 * IDT Corp. 97,000 1,736 Roto-Rooter, Inc. 45,464 1,736 * Universal Compression Holdings, Inc. 83,100 1,733 * PAREXEL International Corp. 123,787 1,727 * Ocular Sciences, Inc. 86,900 1,725 * General Communication, Inc. 199,169 1,725 * Movie Gallery, Inc. 93,457 1,724 * ArthroCare Corp. 102,676 1,721 * Steak n Shake Co. 112,611 1,717 * Silicon Storage Technology, Inc. 409,800 1,717 * First Republic Bank 64,527 1,716 * Openwave Systems Inc. 880,102 1,716 First Financial Holdings, Inc. 63,439 1,715 * Bombay Co. 161,222 1,714 * Triad Guaranty, Inc. 45,000 1,708 * Myriad Genetics, Inc. 125,300 1,705 Cato Corp. Class A 80,794 1,703 * Oak Technology, Inc. 274,000 1,702 * Leapfrog Enterprises, Inc. 53,400 1,699 First Essex Bancorp, Inc. 36,000 1,697 CARBO Ceramics Inc. 45,554 1,697 * Genesco, Inc. 95,757 1,695 * Gartner, Inc. Class A 223,552 1,695 Tredegar Corp. 113,033 1,694 * Lawson Software Inc. 218,005 1,694 * SangStat Medical Corp. 129,300 1,693 FelCor Lodging Trust, Inc. REIT 215,401 1,691 Helix Technology Corp. 127,214 1,683 * Aeropostale, Inc. 78,100 1,678 * Wright Medical Group, Inc. 88,280 1,677 * Cobalt Corp. 81,600 1,677 * Sterling Financial Corp. (Spokane) 68,647 1,672 Applied Industrial Technology, Inc. 79,202 1,671 CTS Corp. 159,882 1,671 * Silgan Holdings, Inc. 53,401 1,670 Nu Skin Enterprises, Inc. 159,801 1,670 Town & Country Trust REIT 71,600 1,665 * WebEx Communications, Inc. 119,300 1,664 * Jo-Ann Stores, Inc. Class A 65,722 1,663 * Retek Inc. 259,767 1,663 MCG Capital Corp. 114,620 1,662 Walter Industries, Inc. 141,000 1,657 * ESS Technology, Inc. 169,329 1,651 * Per-Se Technologies, Inc. 146,967 1,650 Burlington Coat Factory Warehouse Corp. 92,015 1,647 * InfoSpace, Inc. 121,257 1,645 Watts Industries Class A 92,102 1,644 * Hibbett Sporting Goods, Inc. 49,900 1,644 * WMS Industries, Inc. 105,406 1,643 * Cirrus Logic 408,401 1,642 * CDI Corp. 63,231 1,641 First Community Bancorp 52,281 1,641 * Ventana Medical Systems, Inc. 60,341 1,640 * Serologicals Corp. 120,201 1,638 * Websense, Inc. 104,500 1,636 * MicroStrategy Inc. 44,900 1,636 Barnes Group, Inc. 75,107 1,634 * LendingTree, Inc. 66,700 1,633 First Federal Capital Corp. 82,231 1,632 * E.piphany Inc. 319,380 1,632 * Plains Exploration & Production Co. 150,356 1,625 Kramont Realty Trust REIT 98,500 1,625 RFS Hotel Investors, Inc. REIT 131,801 1,624 * The Topps Co., Inc. 188,720 1,621 * 7-Eleven, Inc. 153,500 1,619 * Silicon Image, Inc. 290,200 1,619 * Orbital Sciences Corp. 221,500 1,617 Watsco, Inc. 97,601 1,616 Pulitzer, Inc. 32,702 1,616 Roadway Corp. 56,604 1,615 Royal Gold, Inc. 75,130 1,615 * American Medical Systems Holdings, Inc. 95,691 1,614 22 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Electronics Boutique Holdings Corp. 69,800 1,613 * Range Resources Corp. 257,100 1,612 * F5 Networks, Inc. 95,400 1,607 * AMN Healthcare Services, Inc. 126,500 1,607 * J. Jill Group, Inc. 95,100 1,601 * Intermagnetics General Corp. 80,576 1,599 Valmont Industries, Inc. 82,050 1,597 * JAKKS Pacific, Inc. 119,873 1,593 GenCorp, Inc. 179,184 1,593 * California Pizza Kitchen, Inc. 74,000 1,591 * Trammell Crow Co. 149,950 1,591 * Pre-Paid Legal Services, Inc. 64,827 1,590 Investors Real Estate Trust REIT 147,134 1,588 * Gardner Denver Inc. 77,541 1,586 * ScanSource, Inc. 59,300 1,586 * Oakley, Inc. 134,602 1,584 * AMC Entertainment, Inc. 137,901 1,578 * Safeguard Scientifics, Inc. 583,700 1,576 Ramco-Gershenson Properties Trust REIT 67,600 1,575 * Oil States International, Inc. 130,100 1,574 * Jarden Corp. 56,701 1,569 * ViaSat, Inc. 109,305 1,567 Fidelity Bankshares, Inc. 70,280 1,567 Mine Safety Appliances Co. 35,901 1,566 * Transkaryotic Therapies, Inc. 135,700 1,566 * Cable Design Technologies Corp. 218,967 1,566 * VistaCare, Inc. 64,370 1,565 Cash America International Inc. 118,286 1,564 * Tuesday Morning Corp. 59,400 1,562 Dimon Inc. 217,987 1,561 * ActivCard Corp. 165,996 1,560 Bank Mutual Corp. 47,988 1,560 * SPS Technologies, Inc. 57,503 1,555 * Sharper Image Corp. 57,000 1,554 West Pharmaceutical Services, Inc. 63,394 1,553 * Albany Molecular Research, Inc. 102,800 1,552 * Inspire Pharmaceuticals, Inc. 143,694 1,552 Berry Petroleum Class A 86,400 1,551 Chesapeake Corp. of Virginia 70,969 1,551 * Transaction Systems Architects, Inc. 172,879 1,549 * The Sports Authority, Inc. 144,701 1,548 * Esperion Therapeutics, Inc. 79,012 1,548 * Unifi, Inc. 249,362 1,546 Metris Cos., Inc. 278,500 1,546 * Kulicke & Soffa Industries, Inc. 241,716 1,545 * PRIMEDIA Inc. 505,261 1,541 Sterling Financial Corp. (PA) 66,189 1,539 * Impax Laboratories, Inc. 128,250 1,538 Sterling Bancorp 54,836 1,529 * Alexion Pharmaceuticals, Inc. 89,381 1,524 GBC Bancorp 39,620 1,521 * Cell Genesys, Inc. 175,853 1,519 Phillips-Van Heusen Corp. 110,928 1,512 Cohu, Inc. 96,789 1,510 Harleysville Group, Inc. 65,550 1,509 LaSalle Hotel Properties REIT 101,500 1,500 Hancock Fabrics, Inc. 92,551 1,495 Action Performance Cos., Inc. 78,579 1,493 * Alaris Medical, Inc. 115,277 1,493 * GrafTech International Ltd. 273,830 1,492 * Korn/Ferry International 183,485 1,486 Riggs National Corp. 97,547 1,485 * Zoll Medical Corp. 44,234 1,484 * Cubist Pharmaceuticals, Inc. 139,100 1,483 * Atwood Oceanics, Inc. 54,607 1,483 * Boca Resorts, Inc. Class A 113,890 1,481 Universal Health Realty Income REIT 54,800 1,480 * Spanish Broadcasting System, Inc. 181,220 1,477 * JDA Software Group, Inc. 131,923 1,476 * aaiPharma Inc. 74,150 1,474 The Marcus Corp. 98,601 1,474 Tanger Factory Outlet Centers, Inc. REIT 44,300 1,465 * Duane Reade Inc. 99,279 1,464 * Swift Energy Co. 132,493 1,457 * WCI Communities, Inc. 75,700 1,456 Carpenter Technology Corp. 93,311 1,456 First Community Bancshares, Inc. 41,189 1,454 * NCI Building Systems, Inc. 87,000 1,453 * ScanSoft, Inc. 266,880 1,449 * Advanced Energy Industries, Inc. 101,570 1,447 Centex Construction Products, Inc. 36,100 1,447 * Multimedia Games Inc. 56,700 1,446 Zenith National Insurance Corp. 50,651 1,444 Independent Bank Corp. (MA) 63,900 1,444 Weis Markets, Inc. 46,482 1,442 * ManTech International Corp. 75,130 1,441 Main Street Banks, Inc. 56,946 1,441 * ValueVision Media, Inc. 105,701 1,441 MTS Systems Corp. 97,736 1,441 * Hudson Highland Group, Inc. 75,375 1,433 United Community Financial Corp. 154,736 1,430 JLG Industries, Inc. 209,667 1,426 SWS Group, Inc. 70,646 1,424 Crown American Realty Trust REIT 132,500 1,423 * Quanta Services, Inc. 200,188 1,421 Presidential Life Corp. 100,679 1,421 * Applied Films Corp. 54,640 1,414 * Align Technology, Inc. 112,582 1,413 23 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- First Financial Corp. (IN) 26,657 1,410 * Trex Co., Inc. 35,901 1,409 * Dick's Sporting Goods, Inc. 38,400 1,409 * Chattem, Inc. 74,900 1,408 * NetFlix.com, Inc. 54,900 1,403 * Systems & Computer Technology Corp. 155,792 1,402 * Prime Hospitality Corp. 208,793 1,401 Haverty Furniture Cos., Inc. 80,022 1,400 Max Re Capital Ltd. 93,150 1,394 Libbey, Inc. 61,417 1,394 * SciClone Pharmaceuticals, Inc. 162,300 1,389 Washington Trust Bancorp, Inc. 60,422 1,389 * Conceptus, Inc. 98,738 1,387 * Bally Total Fitness Holding Corp. 153,353 1,385 * Nuevo Energy Co. 79,353 1,385 * Boston Communications Group, Inc. 80,792 1,384 * SonoSite, Inc. 69,100 1,379 American Woodmark Corp. 29,600 1,378 WSFS Financial Corp. 35,729 1,372 * Time Warner Telecom Inc. 215,300 1,371 IBERIABANK Corp. 28,032 1,368 * Cross Country Healthcare, Inc. 103,541 1,366 * CKE Restaurants Inc. 244,310 1,366 * j2 Global Communications, Inc. 29,700 1,366 * K2 Inc. 111,477 1,366 * The Dress Barn, Inc. 107,318 1,360 Equity Inns, Inc. REIT 196,800 1,358 West Coast Bancorp 74,600 1,358 * II-VI, Inc. 58,650 1,354 * WFS Financial, Inc. 40,238 1,348 * Quicksilver Resources, Inc. 56,201 1,346 PMA Capital Corp. Class A 107,022 1,345 * Fisher Communications, Inc. 27,501 1,345 * FuelCell Energy, Inc. 163,700 1,341 * MatrixOne, Inc. 233,375 1,340 * Planar Systems, Inc. 68,471 1,339 Community Trust Bancorp Inc. 51,225 1,339 * DuPont Photomasks, Inc. 71,082 1,338 NACCO Industries, Inc. Class A 22,707 1,338 * Consolidated Graphics, Inc. 58,483 1,338 Allegiant Bancorp, Inc. 65,998 1,336 Brookfield Homes Corp. 86,400 1,332 * Labor Ready, Inc. 185,747 1,332 * Right Management Consultants, Inc. 105,100 1,330 * Savient Pharmaceuticals Inc. 286,082 1,327 * Wind River Systems Inc. 348,075 1,326 * GameStop Corp. 102,400 1,323 * Plains Resources Inc. 93,308 1,320 * Excel Technology, Inc. 57,549 1,314 * AFC Enterprises, Inc. 80,876 1,313 * Parker Drilling Co. 451,300 1,313 Integra Bank Corp. 76,266 1,313 * Nabi Biopharmaceuticals 190,547 1,307 * Incyte Corp. 281,418 1,306 Oxford Industries, Inc. 31,401 1,304 * Fleetwood Enterprises, Inc. 175,732 1,300 * S1 Corp. 321,643 1,299 * Steven Madden, Ltd. 59,400 1,297 * Genesee & Wyoming Inc. Class A 63,000 1,296 * A.C. Moore Arts & Crafts, Inc. 64,600 1,294 * The Wet Seal, Inc. Class A 120,877 1,291 * Isis Pharmaceuticals, Inc. 243,194 1,289 State Auto Financial Corp. 57,389 1,288 Arctic Cat, Inc. 67,225 1,288 * Stratex Networks, Inc. 402,200 1,287 Tennant Co. 35,002 1,286 * Champion Enterprises, Inc. 247,703 1,283 * Immucor Inc. 58,865 1,283 EDO Corp. 72,451 1,282 Ameron International Corp. 36,800 1,280 Gibraltar Steel 62,295 1,276 Lindsay Manufacturing Co. 54,839 1,273 Capitol Bancorp Ltd. 46,961 1,273 Deltic Timber Corp. 44,638 1,270 * Inveresk Research Group Inc. 70,101 1,269 * Portfolio Recovery Associates, Inc. 40,600 1,266 * Hologic, Inc. 95,873 1,264 * Asyst Technologies, Inc. 188,584 1,262 * Fidelity National Information Solutions, Inc. 48,347 1,261 * Wild Oats Markets Inc. 115,657 1,261 Holly Corp. 45,601 1,259 * SonicWALL, Inc. 262,100 1,258 * SPSS, Inc. 75,151 1,258 * Wireless Facilities, Inc. 105,400 1,254 * Secure Computing Corp. 143,500 1,253 * Local Financial Corp. 86,740 1,253 * Keystone Automotive Industries, Inc. 68,560 1,252 * Group 1 Software, Inc. 68,255 1,251 * Verint Systems Inc. 49,200 1,250 Old Second Bancorp, Inc. 29,116 1,248 * Frontier Airlines, Inc. 137,187 1,246 * Kadant Inc. 66,400 1,245 Port Financial Corp. 23,082 1,244 Kaman Corp. Class A 106,150 1,241 Simmons First National Corp. 61,991 1,240 * Cell Therapeutics, Inc. 127,450 1,240 * Tollgrade Communications, Inc. 66,473 1,240 Innkeepers USA Trust REIT 182,300 1,240 Prosperity Bancshares, Inc. 64,360 1,239 McGrath Rent Corp. 46,300 1,238 24 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Churchill Downs, Inc. 32,301 1,237 * Talk America Holdings, Inc. 113,126 1,234 World Fuel Services Corp. 50,101 1,232 * Mesa Air Group Inc. 153,901 1,231 * CorVel Corp. 34,194 1,231 * Kindred Healthcare, Inc. 69,000 1,231 * Immunomedics Inc. 195,000 1,230 * Gulfmark Offshore, Inc. 72,885 1,230 * Ameristar Casinos, Inc. 57,600 1,230 * Orient-Express Hotel Ltd. 83,035 1,225 Great Lakes, Inc. REIT 76,500 1,224 Greif Inc. Class A 53,191 1,223 * Antigenics, Inc. 105,900 1,220 U.S. Restaurant Properties, Inc. REIT 77,601 1,218 Omega Financial Corp. 35,551 1,216 * FreeMarkets, Inc. 174,300 1,213 NUI Corp. 78,101 1,212 * IDX Systems Corp. 77,974 1,210 * Century Business Services, Inc. 372,200 1,210 * Input/Output, Inc. 224,084 1,206 Standex International Corp. 57,319 1,204 * Diversa Corp. 122,220 1,201 * LabOne, Inc. 55,650 1,200 * Kos Pharmaceuticals, Inc. 51,100 1,199 * Robert Mondavi Corp. Class A 47,363 1,199 Oshkosh B' Gosh, Inc. Class A 44,398 1,199 * Arris Group Inc. 241,577 1,198 * Maxygen Inc. 109,168 1,198 Urstadt Biddle Properties Class A REIT 93,000 1,196 Vector Group Ltd. 68,321 1,196 * Forrester Research, Inc. 73,020 1,195 * Manugistics Group, Inc. 290,558 1,194 Community Banks, Inc. 40,056 1,191 * Harmonic, Inc. 292,250 1,189 United Fire & Casualty Co. 36,600 1,189 CIRCOR International, Inc. 66,500 1,186 * Kensey Nash Corp. 45,300 1,185 * RailAmerica, Inc. 140,101 1,184 Universal Forest Products, Inc. 56,428 1,182 * Isle of Capri Casinos, Inc. 71,300 1,179 * Possis Medical Inc. 85,880 1,178 * Gabelli Asset Management Inc. 32,602 1,177 Flushing Financial Corp. 52,900 1,173 * Information Holdings Inc. 64,242 1,172 Capital City Bank Group, Inc. 32,341 1,171 * National Western Life Insurance Co. Class A 10,600 1,171 * PRG-Schultz International, Inc. 197,922 1,168 OceanFirst Financial Corp. 47,737 1,166 Columbia Banking System, Inc. 64,882 1,162 * Synaptics Inc. 86,300 1,162 * Quaker City Bancorp, Inc. 28,275 1,161 * Gart Sports Co. 40,900 1,160 * Tejon Ranch Co. 38,500 1,159 * Paxson Communications Corp. 192,800 1,155 Ennis Business Forms, Inc. 79,200 1,152 * Sapient Corp. 415,831 1,152 * PTEK Holdings, Inc. 237,460 1,152 Pioneer Standard Electronics Inc. 135,640 1,150 * Concord Communications, Inc. 83,722 1,150 * Merit Medical Systems, Inc. 57,501 1,149 * ITLA Capital Corp. 28,400 1,148 * Old Dominion Freight Line, Inc. 52,908 1,144 Saul Centers, Inc. REIT 44,677 1,144 * Insignia Financial Group, Inc. 102,800 1,142 * Impath, Inc. 80,378 1,137 St. Francis Capital Corp. 39,089 1,136 Firstfed America Bancorp, Inc. 32,901 1,135 * CuraGen Corp. 203,929 1,132 Tompkins Trustco, Inc. 25,346 1,132 * Hanger Orthopedic Group, Inc. 98,800 1,131 * Molecular Devices Corp. 71,101 1,131 Central Vermont Public Service Corp. 57,718 1,128 * RehabCare Group, Inc. 76,971 1,128 First Busey Corp. 46,500 1,127 * Noven Pharmaceuticals, Inc. 110,020 1,127 MeriStar Hospitality Corp. REIT 219,134 1,126 * Lexicon Genetics Inc. 166,886 1,120 * Standard Microsystem Corp. 73,748 1,119 * Electro Rent Corp. 103,658 1,117 * SafeNet, Inc. 39,900 1,116 * SeaChange International, Inc. 116,901 1,115 Courier Corp. 21,601 1,112 * infoUSA Inc. 137,276 1,112 Arrow Financial Corp. 33,315 1,112 Solutia, Inc. 509,500 1,111 * Pericom Semiconductor Corp. 119,191 1,108 * Daktronics, Inc. 67,537 1,104 * MemberWorks, Inc. 55,851 1,103 CB Bancshares Inc. (HI) 17,735 1,102 * Harvest Natural Resources, Inc. 172,900 1,101 * RTI International Metals, Inc. 101,552 1,100 * Stillwater Mining Co. 213,951 1,100 S.Y. Bancorp, Inc. 31,076 1,099 * Harris Interactive Inc. 166,696 1,099 BSB Bancorp, Inc. 44,254 1,098 * RC2 Corp. 64,570 1,098 * OraSure Technologies, Inc. 146,700 1,094 Peoples Holding Co. 24,731 1,094 Quaker Chemical Corp. 43,681 1,094 * 4Kids Entertainment Inc. 58,601 1,090 25 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Schnitzer Steel Industries, Inc. Class A 24,700 1,090 * Mobile Mini, Inc. 66,571 1,087 * Caraustar Industries, Inc. 135,627 1,086 Myers Industries, Inc. 114,146 1,084 Central Parking Corp. 87,602 1,083 * Hawthorne Financial Corp. 31,190 1,081 * Intuitive Surgical, Inc. 142,581 1,081 * West Marine, Inc. 61,700 1,080 The Standard Register Co. 65,421 1,078 * Rainbow Technologies, Inc. 127,651 1,074 * Herley Industries Inc. 63,200 1,073 * Regent Communications, Inc. 181,800 1,073 * Inverness Medical Innovations, Inc. 55,500 1,071 * Lithia Motors, Inc. 66,200 1,070 First Source Corp. 57,467 1,067 * Silicon Graphics, Inc. 932,801 1,063 * Finisar Corp. 685,769 1,063 * Sotheby's Holdings Class A 142,709 1,062 Bank of Granite Corp. 62,159 1,060 Movado Group, Inc. 48,700 1,059 * Heidrick & Struggles International, Inc. 83,826 1,058 * Alloy, Inc. 163,600 1,055 * EPIQ Systems, Inc. 61,450 1,055 First Indiana Corp. 61,575 1,054 PXRE Group Ltd. 53,223 1,054 * Computer Network Technology Corp. 130,100 1,054 * Lightbridge, Inc. 120,215 1,053 * Saga Communications, Inc. 54,126 1,053 * Playtex Products, Inc. 163,801 1,052 * Siliconix, Inc. 29,101 1,051 * LookSmart, Ltd. 371,100 1,050 Second Bancorp, Inc. 40,700 1,050 Skyline Corp. 34,902 1,047 Cascade Natural Gas Corp. 54,526 1,041 * Gentiva Health Services, Inc. 115,696 1,041 Bel Fuse, Inc. Class B 45,428 1,040 * Adolor Corp. 84,771 1,040 * Buckeye Technology, Inc. 152,869 1,040 * Interwoven, Inc. 467,500 1,038 Robbins & Myers, Inc. 55,968 1,035 * Keynote Systems Inc. 98,516 1,032 * J & J Snack Foods Corp. 32,619 1,032 * OSI Systems Inc. 64,200 1,031 * CCC Information Services Group 71,061 1,030 * Pacer International, Inc. 54,600 1,030 * Vicor Corp. 107,203 1,029 Banner Corp. 50,200 1,029 Sea Containers Ltd. Class A 90,103 1,026 Apogee Enterprises, Inc. 113,701 1,026 * White Electronic Designs Corp. 96,790 1,025 * Neoware Systems, Inc. 66,800 1,025 CityBank Lynnwood WA 37,800 1,023 * At Road, Inc. 93,600 1,022 * Anaren, Inc. 108,976 1,021 * Tower Automotive, Inc. 278,313 1,019 * Pixelworks, Inc. 170,800 1,015 * Renaissance Learning, Inc. 46,265 1,013 Midwest Banc Holdings, Inc. 52,098 1,012 * Audiovox Corp. 90,378 1,011 First Bancorp (NC) 39,000 1,010 * Digimarc Corp. 64,100 1,006 Peoples Bancorp, Inc. 39,695 1,003 * Register.com, Inc. 169,700 994 * Encore Acquisition Co. 51,901 994 * Mindspeed Technologies, Inc. 412,500 990 Union Bankshares Corp. 34,985 989 * Energy Partners, Ltd. 85,297 985 * Gartner, Inc. Class B 131,000 983 * Avatar Holding, Inc. 32,500 982 Sturm, Ruger & Co., Inc. 98,094 981 Calgon Carbon Corp. 170,200 979 Advanced Marketing Services 75,251 978 Argonaut Group, Inc. 79,141 976 * Drugstore.com, Inc. 166,520 972 * New Focus, Inc. 259,641 971 * Prima Energy Corp. 46,445 970 Coca-Cola Bottling Co. 17,722 968 Financial Institutions, Inc. 41,163 967 Connecticut Water Services, Inc. 37,854 967 * Rudolph Technologies, Inc. 60,500 966 * Crown Media Holdings, Inc. 233,705 965 Mission West Properties Inc. REIT 84,800 964 * Steiner Leisure Ltd. 65,995 964 * NeoPharm, Inc. 69,441 962 First Place Financial Corp. 55,506 961 * Triton PCS, Inc. 190,100 960 Midland Co. 43,040 956 * CompuCredit Corp. 78,600 955 UniFirst Corp. 43,500 953 Troy Financial Corp. 34,965 949 North Pittsburgh Systems, Inc. 62,961 949 * Federal Agricultural Mortgage Corp. Class C 42,401 948 * Palm Harbor Homes, Inc. 49,995 947 Keithley Instruments Inc. 65,500 946 * The TriZetto Group, Inc. 156,500 945 Building Materials Holding Corp. 63,690 943 * Pharmacopeia, Inc. 114,317 943 * Ribapharm Inc. 145,950 941 * IDine Rewards Network Inc. 68,501 941 Lakeland Bancorp, Inc. 58,793 940 26 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Presstek, Inc. 150,085 935 * Opsware, Inc. 232,350 934 Seacoast Banking Corp. of Florida 54,800 934 CSS Industries, Inc. 24,100 929 Virginia Financial Group, Inc. 33,155 928 * Salix Pharmaceuticals, Ltd. 88,380 927 CT Communications, Inc. 86,202 927 * Strattec Security Corp. 17,401 926 * Peet's Coffee & Tea Inc. 53,000 925 * MTR Gaming Group Inc. 119,700 924 * General Maritime Corp. 91,000 924 Great Southern Bancorp, Inc. 23,929 922 * Elizabeth Arden, Inc. 69,679 918 * Playboy Enterprises, Inc. Class B 67,301 915 Farmers Capital Bank Corp. 28,600 913 Camden National Corp. 33,154 912 SJW Corp. 10,600 904 * InFocus Corp. 190,995 901 * Citizens, Inc. 123,816 900 * Integral Systems, Inc. 45,062 896 * AAON, Inc. 48,306 895 CCBT Financial Cos. Inc. 37,441 894 * Ocwen Financial Corp. 196,900 894 Peapack Gladstone Financial Corp. 27,902 894 * Intrado Inc. 56,500 892 * Asbury Automotive Group, Inc. 66,150 892 * Stoneridge, Inc. 65,100 889 * Cleveland-Cliffs Inc. 49,709 887 * Vastera, Inc. 148,562 887 Bank of the Ozarks, Inc. 22,776 883 * Concurrent Computer Corp. 301,785 881 * MSC.Software Corp. 130,501 880 * MRO Software Inc. 101,835 879 * Salem Communications Corp. 43,900 878 First National Corp. 35,620 878 NBC Capital Corp. 34,333 869 * Monolithic System Technology, Inc. 95,700 867 * Verisity Ltd. 72,220 862 * Kenneth Cole Productions, Inc. 44,050 859 * Stamps.com Inc. 178,722 858 * 1-800-FLOWERS.COM, Inc. 103,900 856 * K-V Pharmaceutical Co. Class B 30,075 851 * Tweeter Home Entertainment Group, Inc. 97,700 848 * Teletech Holdings Inc. 200,300 847 Riviana Foods, Inc. 31,455 846 Standard Commercial Tobacco Co. 49,701 845 * Lydall, Inc. 78,895 844 * PEC Solutions, Inc. 52,270 842 * Transmeta Corp. 524,700 840 United Industrial Corp. 51,300 836 * TransMontaigne Inc. 128,235 831 Baldwin & Lyons, Inc. Class B 34,974 831 * United Auto Group, Inc. 37,952 827 * SureBeam Corp. 311,811 826 Vital Signs, Inc. 31,757 824 * ImmunoGen, Inc. 192,963 824 * Terayon Communications Systems, Inc. 301,763 824 Coachmen Industries, Inc. 68,913 824 CNA Surety Corp. 83,600 823 Pennrock Financial Services Corp. 30,462 823 Blair Corp. 37,000 821 * FalconStor Software, Inc. 122,521 820 Interface, Inc. 174,961 812 LSI Industries Inc. 73,100 811 * Gene Logic Inc. 135,886 811 Milacron Inc. 164,577 805 * P.A.M. Transportation Services, Inc. 33,250 805 Shenandoah Telecommunications Co. 16,776 805 Capital Southwest Corp. 13,900 798 * Universal Display Corp. 89,160 795 Gorman-Rupp Co. 33,137 795 Apex Mortgage Capital, Inc. REIT 145,325 795 * Cole National Corp. Class A 62,900 788 Penn Engineering & Manufacturing Corp. 57,651 787 Pennfed Financial Services, Inc. 28,313 786 PrivateBancorp, Inc. 28,801 785 NL Industries, Inc. 46,100 784 * The Buckle, Inc. 40,702 783 * Stein Mart, Inc. 130,419 781 Newcastle Investment Corp. REIT 39,800 779 * Navigant International, Inc. 60,400 779 Lance, Inc. 85,090 777 Kaneb Services LLC 26,122 763 * Young Innovations, Inc. 26,700 761 * Dura Automotive Systems, Inc. 80,435 761 Interpool, Inc. 46,310 760 HEICO Corp. 62,100 758 * Energy Conversion Devices, Inc. 82,220 748 * Omnova Solutions Inc. 184,302 745 German American Bancorp 42,609 744 * Drexler Technology Corp. 47,920 743 * Inet Technologies, Inc. 74,190 740 * IXYS Corp. 92,801 740 * Big 5 Sporting Goods Corp. 59,000 739 * Aftermarket Technology Corp. 70,200 738 * The Great Atlantic & Pacific Tea Co., Inc. 83,755 737 National Presto Industries, Inc. 23,305 736 * Mastec Inc. 127,600 735 27 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- CFS Bancorp, Inc. 52,100 735 * Universal American Financial Corp. 115,099 733 * MedQuist, Inc. 35,896 727 Angelica Corp. 42,779 725 * National Healthcare Corp. 36,796 724 * Ultimate Electronics, Inc. 56,404 723 Citizens 1st Bancorp, Inc. 33,108 723 * Integrated Defense Technology, Inc. 46,600 723 * Credit Acceptance Corp. 71,600 722 * Learning Tree International, Inc. 46,217 722 * Entrust, Inc. 245,380 721 * Ixia 111,221 715 BancFirst Corp. 13,761 714 Hanmi Financial Corp. 40,786 713 * PDF Solutions, Inc. 61,286 708 * Riverstone Networks, Inc. 599,400 707 First Oak Brook Bancshares, Inc. 21,364 705 * Astec Industries, Inc. 80,801 705 * Tenneco Automotive, Inc. 194,285 699 * Lannett Company, Inc. 29,701 696 Lawson Products, Inc. 25,247 695 * 1-800 CONTACTS, Inc. 28,310 693 Republic Bancshares, Inc. 27,632 691 * Microtune, Inc. 215,846 691 * Cerus Corp. 91,360 688 * Boston Beer Co., Inc. Class A 47,601 685 Stepan Co. 30,300 685 * InterCept, Inc. 81,900 685 * Clark, Inc. 57,147 683 * Tier Technologies, Inc. 88,000 682 BEI Technologies, Inc. 56,655 680 * Gulf Island Fabrication, Inc. 39,801 673 Florida East Coast Industries, Inc. Class B 26,830 668 Pope & Talbot, Inc. 60,444 668 * Altiris, Inc. 33,100 664 * Insurance Auto Auctions, Inc. 52,614 661 * MTC Technologies, Inc. 28,000 657 Republic Bancorp, Inc. Class A 44,200 655 * Skechers U.S.A., Inc. 88,101 652 * McLeod USA Inc. 430,400 650 * Zymogenetics, Inc. 55,461 646 * Global Power Equipment Group Inc. 138,100 642 * The Children's Place Retail Stores, Inc. 32,179 639 * Wackenhut Corrections Corp. 46,500 638 Advanta Corp. Class B 63,288 637 * Charlotte Russe Holding Inc. 61,600 636 * Vail Resorts Inc. 47,000 633 * Startek, Inc. 23,951 630 * Closure Medical Corp. 33,100 625 * Net2Phone, Inc. 143,484 621 * Tyler Technologies, Inc. 145,671 619 * Interland Inc. 630,877 618 Sanderson Farms, Inc. 22,000 618 * Volt Information Sciences Inc. 44,923 613 Capstead Mortgage Corp. REIT 54,000 609 * Dril-Quip, Inc. 33,290 606 * Exact Sciences Corp. 55,280 606 * William Lyon Homes, Inc. 18,851 600 Reckson Associates Realty Corp. Class B REIT 28,160 600 * bebe stores, inc. 31,000 593 * Neoforma, Inc. 54,100 591 * Radiant Systems, Inc. 87,560 590 Partners Trust Financial Group, Inc. 30,901 590 * Blue Rhino Corp. 49,101 589 * Infonet Services Corp. 369,600 588 * Arena Pharmaceuticals, Inc. 87,038 578 * ON Semiconductor Corp. 212,700 574 * Graphic Packaging International Corp. 127,300 574 * Ulticom, Inc. 60,200 572 * MarineMax, Inc. 40,700 570 * Internet Capital Group, Inc. 1,181,400 567 * Martha Stewart Living Omnimedia, Inc. 59,800 562 CoBiz Inc. 42,101 561 * SeeBeyond Technology Corp. 242,360 560 Material Sciences Corp. 57,691 560 * Kyphon Inc. 36,800 556 Pilgrim's Pride Corp. 56,700 548 World Wrestling Entertainment, Inc. 52,900 544 * Midway Games Inc. 149,752 544 * Party City Corp. 52,900 543 * Plug Power, Inc. 115,600 540 * CompuCom Systems, Inc. 118,300 535 * CardioDynamics International Corp. 156,201 533 * Loral Space & Communications, Ltd. 174,445 532 Franklin Financial Corp. 17,511 526 * PC Connection, Inc. 77,294 526 * Kirkland's, Inc. 32,450 524 * Del Laboratories, Inc. 22,202 522 * barnesandnoble.com inc. 219,767 512 * Mothers Work, Inc. 19,126 512 * WatchGuard Technologies, Inc. 110,040 506 * Beasley Broadcast Group, Inc. 36,300 497 * Covenant Transport, Inc. 29,120 495 * Therasense, Inc. 49,180 492 * Dynacq International, Inc. 29,100 489 28 - -------------------------------------------------------------------------------- MARKET VALUE* SMALL-CAP INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Oneida Ltd. 71,935 486 * Navigators Group, Inc. 16,267 485 Ingles Markets, Inc. 47,000 475 * Galyan's Trading Co. 33,030 474 * The Boyds Collection, Ltd. 100,001 471 Dover Downs Gaming & Entertainment, Inc. 50,790 470 * Liquidmetal Technologies Inc. 91,550 470 Royal Bancshares of Pennsylvania, Inc. 21,927 468 * On Assignment, Inc. 114,833 459 Computer Programs and Systems, Inc. 22,900 458 * Restoration Hardware, Inc. 101,653 457 * Powell Industries, Inc. 30,700 449 * Shoe Carnival, Inc. 30,251 447 * NetRatings, Inc. 48,800 446 * Syntel, Inc. 28,137 443 * Sequa Corp. Class A 12,809 439 Advanta Corp. Class A 44,380 437 Deb Shops, Inc. 23,200 436 Alico, Inc. 17,218 425 * McDATA Corp. 29,100 422 * Embarcadero Technologies, Inc. 59,200 414 * Wesco International, Inc. 68,200 409 * Semitool, Inc. 82,421 406 * Virage Logic Corp. 55,800 404 * Turnstone Systems, Inc. 159,314 400 * iGATE Corp. 111,540 387 * Specialty Laboratories, Inc. 37,200 381 * FTD, Inc. 18,250 368 * Pegasystems Inc. 49,800 367 * Handspring, Inc. 319,800 361 * Collins & Aikman Corp. 121,260 358 * General Binding Corp. 29,501 354 * Bruker Daltonics, Inc. 66,400 354 Valhi, Inc. 36,200 348 * Arden Group Inc. Class A 5,806 343 * Digitas Inc. 69,005 342 * Jo-Ann Stores, Inc. Class B 15,100 334 * NASSDA Corp. 43,245 334 Acadia Realty Trust REIT 36,379 333 * eUniverse, Inc. 89,960 326 * Medical Staffing Network Holdings, Inc. 43,701 306 * Alliance Imaging, Inc. 69,200 304 Curtiss-Wright Corp. Class B 4,800 299 * Bioreliance Corp. 12,299 261 * Raytech Corp. 60,194 256 * Guess ?, Inc. 41,701 250 * Revlon, Inc. Class A 82,774 248 Crawford & Co. Class B 50,166 246 * ICT Group, Inc. 21,000 220 Urstadt Biddle Properties REIT 16,400 218 General Cable Corp. 39,700 214 Tecumseh Products Co. Class B 5,200 192 Pilgrim's Pride Corp. Class A 23,050 165 Bandag, Inc. Class A 4,500 158 HEICO Corp. Class A 9,710 87 Gray Television, Inc. Class A 5,700 70 LSB Bancshares, Inc. 3,233 56 * Magnum Hunter Resources Inc. Warrants Exp. 3/21/2005 36,400 13 * Microstrategy Inc. Warrants Exp. 6/24/2007 11,775 2 * TIMCO Aviation Services, Inc. 3,806 1 ProcureNet, Inc. 136,100 -- - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $4,490,933) 5,034,348 - -------------------------------------------------------------------------------- 29 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE* SMALL-CAP INDEX FUND (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (5.8%)(1) - -------------------------------------------------------------------------------- Federal Home Loan Bank (2) 1.17%, 7/16/2003 $ 3,000 2,999 Federal Home Loan Mortgage Corp. (2) 1.20%, 7/11/2003 2,000 1,999 Federal National Mortgage Assn. (2) 1.17%, 7/2/2003 2,000 2,000 (2) 1.14%, 7/30/2003 2,500 2,498 (2) 1.18%-1.19%, 7/23/2003 3,500 3,498 Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003 20,737 20,737 1.16%, 7/1/2003--Note E 258,161 258,161 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $291,889) 291,892 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (105.2%) (Cost $4,782,822) 5,326,240 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-5.2%) - -------------------------------------------------------------------------------- Other Assets--Note B 30,981 Security Lending Collateral Payable to Brokers--Note E (258,161) Other Liabilities (36,101) ---------------- (263,281) ---------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $5,062,959 - -------------------------------------------------------------------------------- *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 5.3%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Securities with an aggregate value of $12,994,000 have been segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $5,573,928 Undistributed Net Investment Income 17,192 Accumulated Net Realized Losses (1,071,055) Unrealized Appreciation (Depreciation) Investment Securities 543,418 Futures Contracts (524) - -------------------------------------------------------------------------------- NET ASSETS $5,062,959 ================================================================================ Investor Shares--Net Assets Applicable to 192,446,428 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,516,071 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $18.27 ================================================================================ Admiral Shares--Net Assets Applicable to 41,134,182 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $751,876 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $18.28 ================================================================================ Institutional Shares--Net Assets Applicable to 43,474,173 outstanding $.001 Par value shares of beneficial interest (unlimited authorization) $795,012 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $18.29 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 30 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.8%) - -------------------------------------------------------------------------------- * Coventry Health Care Inc. 50,899 2,349 * Rite Aid Corp. 514,950 2,292 The Chicago Mercantile Exchange 32,728 2,279 * GTECH Holdings Corp. 56,500 2,127 Waddell & Reed Financial, Inc. 80,200 2,059 * Mid Atlantic Medical Services, Inc. 38,639 2,021 Chesapeake Energy Corp. 199,800 2,018 * Western Digital Corp. 194,700 2,005 * PMC Sierra Inc. 167,300 1,962 * Edwards Lifesciences Corp. 60,200 1,935 CBRL Group, Inc. 49,400 1,920 * Catellus Development Corp. 87,162 1,918 * Monster Worldwide Inc. 95,811 1,890 * Newfield Exploration Co. 50,059 1,880 * Certegy, Inc. 66,400 1,843 * Applied Micro Circuits Corp. 302,838 1,832 Autodesk, Inc. 113,200 1,829 * ImClone Systems, Inc. 55,200 1,745 Donaldson Co., Inc. 39,099 1,738 Applebee's International, Inc. 55,200 1,735 * International Rectifier Corp. 63,900 1,714 * Integrated Circuit Systems, Inc. 54,398 1,710 * Varco International, Inc. 87,199 1,709 * Renal Care Group, Inc. 48,186 1,697 * Amylin Pharmaceuticals, Inc. 77,400 1,694 * Getty Images, Inc. 40,200 1,660 * DaVita, Inc. 60,750 1,627 * STERIS Corp. 69,400 1,602 * Education Management Corp. 30,099 1,601 * O'Reilly Automotive, Inc. 47,933 1,600 * Pharmaceutical Resources, Inc. 32,799 1,596 * Performance Food Group Co. 43,034 1,592 Ruby Tuesday, Inc. 64,000 1,583 * Crown Castle International Corp. 202,900 1,577 * NTL Inc. 45,384 1,549 * Mettler-Toledo International Inc. 42,109 1,543 * The Corporate Executive Board Co. 37,700 1,539 * Arrow Electronics, Inc. 99,900 1,522 * Sepracor Inc. 84,198 1,518 Medicis Pharmaceutical Corp. 26,680 1,513 * Cognizant Technology Solutions Corp. 61,200 1,491 Herman Miller, Inc. 73,400 1,483 * Cypress Semiconductor Corp. 123,400 1,481 * American Tower Corp. Class A 166,700 1,475 * Human Genome Sciences, Inc. 115,610 1,471 * Cincinnati Bell Inc. 218,399 1,463 Helmerich & Payne, Inc. 50,000 1,460 * BearingPoint, Inc. 151,250 1,460 * Rambus Inc. 87,773 1,454 Graco, Inc. 45,166 1,445 * Pharmaceutical Product Development, Inc. 49,920 1,434 * Brocade Communications Systems, Inc. 242,200 1,427 * Foundry Networks, Inc. 96,561 1,390 * Advanced Fibre Communications, Inc. 85,000 1,383 * Furniture Brands International Inc. 52,901 1,381 * Charles River Laboratories, Inc. 42,851 1,379 * Polycom, Inc. 99,100 1,374 * DeVry, Inc. 58,899 1,372 * Apria Healthcare Group Inc. 54,898 1,366 Polaris Industries, Inc. 22,127 1,359 * Grant Prideco, Inc. 114,900 1,350 * Andrx Group 67,700 1,347 * Avocent Corp. 44,998 1,347 * Affiliated Managers Group, Inc. 21,800 1,329 * ITT Educational Services, Inc. 45,013 1,317 * Stericycle, Inc. 34,000 1,308 * Macromedia, Inc. 62,100 1,307 * AnnTaylor Stores Corp. 44,799 1,297 * J.D. Edwards & Co. 89,900 1,288 * Activision, Inc. 98,900 1,278 * Acxiom Corp. 84,500 1,275 * Barnes & Noble, Inc. 54,699 1,261 * Respironics, Inc. 33,595 1,260 * Netscreen Technologies, Inc. 55,500 1,252 Jack Henry & Associates Inc. 70,099 1,247 * OSI Pharmaceuticals, Inc. 38,700 1,247 * Interdigital Communications Corp. 53,300 1,246 * Protein Design Labs, Inc. 89,098 1,246 * Fisher Scientific International Inc. 35,500 1,239 Church & Dwight, Inc. 37,847 1,239 * FMC Technologies Inc. 58,799 1,238 * ResMed Inc. 31,413 1,231 * Cabot Microelectronics Corp. 24,398 1,231 Raymond James Financial, Inc. 36,900 1,220 * Cytyc Corp. 115,500 1,215 * Earthlink, Inc. 153,500 1,211 Regis Corp. 41,359 1,201 * Techne Corp. 39,390 1,195 * McDATA Corp. Class A 81,198 1,191 * Pacific Sunwear of California, Inc. 49,402 1,190 Forest City Enterprise Class A 28,432 1,179 * Hyperion Solutions Corp. 34,855 1,177 * United Stationers, Inc. 32,461 1,174 * Varian, Inc. 33,799 1,172 * P.F. Chang's China Bistro, Inc. 23,789 1,171 * Take-Two Interactive Software, Inc. 41,273 1,170 * Key Energy Services, Inc. 108,700 1,165 * IDEXX Laboratories Corp. 34,346 1,157 31 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Roper Industries Inc. 31,037 1,155 * Avaya Inc. 178,362 1,152 * Affymetrix, Inc. 58,350 1,150 UCBH Holdings, Inc. 39,910 1,145 * Integrated Device Technology Inc. 103,500 1,144 * DoubleClick Inc. 122,100 1,129 La-Z-Boy Inc. 50,363 1,127 Lancaster Colony Corp. 28,899 1,117 * Vertex Pharmaceuticals, Inc. 76,426 1,116 * Emmis Communications, Inc. 48,499 1,113 * Charter Communications, Inc. 279,120 1,108 * Covance, Inc. 60,999 1,104 * Electronics for Imaging, Inc. 54,200 1,100 * Cymer, Inc. 34,256 1,097 * Panera Bread Co. 27,167 1,087 * Timberland Co. 20,399 1,078 * Extended Stay America, Inc. 79,899 1,078 Cooper Cos., Inc. 30,892 1,074 * Bio-Rad Laboratories, Inc. Class A 19,400 1,074 * Sonus Networks, Inc. 213,400 1,073 * ADTRAN Inc. 20,999 1,071 * Scotts Co. 21,616 1,070 * Martek Biosciences Corp. 24,800 1,065 * Arbitron Inc. 29,568 1,056 Claire's Stores, Inc. 41,398 1,050 * FLIR Systems, Inc. 34,786 1,049 * Linens 'n Things, Inc. 44,099 1,041 * Semtech Corp. 72,900 1,038 * J.B. Hunt Transport Services, Inc. 27,499 1,038 Patina Oil & Gas Corp. 32,278 1,038 * American Eagle Outfitters, Inc. 56,999 1,033 * Red Hat, Inc. 136,000 1,030 * Station Casinos, Inc. 40,500 1,023 * Varian Semiconductor Equipment Associates, Inc 34,125 1,016 * The Yankee Candle Co., Inc. 43,600 1,012 * Kronos, Inc. 19,921 1,012 * Swift Transportation Co., Inc. 54,299 1,011 * CEC Entertainment Inc. 27,235 1,006 * Forest Oil Corp. 39,999 1,005 * Vitesse Semiconductor Corp. 204,000 1,004 * INAMED Corp. 18,622 1,000 * Ascential Software Corp. 60,349 992 Oshkosh Truck Corp. 16,697 990 * Landstar System, Inc. 15,734 989 * Sonic Corp. 38,858 988 * Cimarex Energy Co. 41,500 986 Global Payments Inc. 27,753 985 * Evergreen Resources, Inc. 18,101 983 * CACI International, Inc. 28,657 983 * Overture Services, Inc. 54,199 983 International Bancshares Corp. 27,591 981 * Hollywood Entertainment Corp. 57,000 980 * Waste Connections, Inc. 27,958 980 * NBTY, Inc. 46,504 979 * Gen-Probe Inc. 23,800 973 Hilb, Rogal and Hamilton Co. 28,486 970 FactSet Research Systems Inc. 21,993 969 * Mentor Graphics Corp. 66,598 964 Clarcor Inc. 24,972 963 * GlobespanVirata, Inc. 116,600 962 * Christopher & Banks Corp. 25,838 956 * Commonwealth Telephone Enterprises, Inc. 21,652 952 * JetBlue Airways Corp. 22,344 945 * FTI Consulting, Inc. 37,700 941 * Southwest Bancorporation of Texas, Inc. 28,838 938 * Ultra Petroleum Corp. 72,425 935 * Skyworks Solutions, Inc. 137,999 934 Platinum Underwriters Holdings, Ltd. 34,400 934 * Gemstar-TV Guide International, Inc. 183,200 932 * Silicon Valley Bancshares 39,000 929 John Wiley & Sons Class A 35,139 921 * Kroll Inc. 33,898 917 * Tetra Tech, Inc. 53,399 915 * Invitrogen Corp. 23,737 911 Mentor Corp. 46,435 900 * Sybron Dental Specialties, Inc. 38,070 898 Ryland Group, Inc. 12,900 895 * Quiksilver, Inc. 54,275 895 * Intergraph Corp. 41,500 892 Superior Industries International, Inc. 21,299 888 * Investment Technology Group, Inc. 47,600 885 * Avid Technology, Inc. 25,223 885 Invacare Corp. 26,729 882 * ADVO, Inc. 19,864 882 Diagnostic Products Corp. 21,457 881 Werner Enterprises, Inc. 41,499 880 * Valassis Communications, Inc. 34,200 880 * Cumulus Media Inc. 46,400 878 Fremont General Corp. 64,099 878 * Tom Brown, Inc. 31,599 878 * Legato Systems, Inc. 104,398 876 * Sylvan Learning Systems, Inc. 38,298 875 Imation Corp. 23,098 874 * Plantronics, Inc. 39,999 867 East West Bancorp, Inc. 23,850 862 Delta Air Lines, Inc. 58,626 861 * Cognex Corp. 38,312 856 Western Gas Resources, Inc. 21,498 851 32 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * United Online, Inc. 33,503 849 * Catalina Marketing Corp. 48,099 849 * Alliance Gaming Corp. 44,400 840 * Premcor, Inc. 38,862 837 * NPS Pharmaceuticals Inc. 34,400 837 * Hot Topic, Inc. 31,042 835 * Trimeris, Inc. 18,200 831 PerkinElmer, Inc. 59,868 827 Strayer Education, Inc. 10,400 826 * Abgenix, Inc. 78,500 823 * KEMET Corp. 81,500 823 Ethan Allen Interiors, Inc. 23,335 820 * Macrovision Corp. 41,098 819 W Holding Co., Inc. 47,900 810 Fred's, Inc. 21,793 810 * SCP Pool Corp. 23,541 810 * VISX Inc. 46,399 805 * Documentum, Inc. 40,900 805 * XM Satellite Radio Holdings, Inc. 72,800 804 * Maverick Tube Corp. 41,699 799 Delta & Pine Land Co. 36,294 798 * Dionex Corp. 20,013 796 * Mueller Industries Inc. 29,199 792 * Western Wireless Corp. Class A 68,300 787 * LifePoint Hospitals, Inc. 37,527 786 * Cost Plus, Inc. 21,815 778 Matthews International Corp. 31,200 773 * Amkor Technology, Inc. 58,700 771 St. Mary Land & Exploration Co. 28,235 771 * Cal Dive International, Inc. 35,231 768 * The Medicines Co. 38,898 766 * Neurocrine Biosciences, Inc. 15,330 766 * CV Therapeutics, Inc. 25,736 763 * ATMI, Inc. 30,551 763 * Avnet, Inc. 59,800 758 Thor Industries, Inc. 18,463 754 * Ariba, Inc. 251,500 747 * EMCOR Group, Inc. 14,999 740 * AirTran Holdings, Inc. 70,700 740 * Applera Corp.-Celera Genomics Group 71,500 738 * American Italian Pasta Co. 17,679 736 * CNET Networks, Inc. 117,800 734 * CSG Systems International, Inc. 51,740 731 John H. Harland Co. 27,889 730 * Watson Wyatt & Co. Holdings 31,329 726 * Unit Corp. 34,599 723 * Trimble Navigation Ltd. 31,513 723 * Rare Hospitality International Inc. 21,999 719 * Silicon Laboratories Inc. 26,898 717 * THQ Inc. 39,699 715 * Micrel, Inc. 68,399 711 * Philadelphia Consolidated Holding Corp. 17,499 707 Airgas, Inc. 42,198 707 * Joy Global Inc. 47,700 705 * Select Medical Corp. 28,300 703 Jefferies Group, Inc. 14,099 702 * Navistar International Corp. 21,484 701 Black Box Corp. 19,299 699 * RealNetworks, Inc. 102,505 695 * Men's Wearhouse, Inc. 31,799 695 * Tractor Supply Co. 14,545 695 * Spinnaker Exploration Co. 26,499 694 * Grey Wolf, Inc. 171,700 694 * Anixter International Inc. 29,599 694 * Progress Software Corp. 33,444 693 * Thoratec Corp. 46,500 693 * Odyssey Healthcare, Inc. 18,700 692 * Too Inc. 34,079 690 * Alkermes, Inc. 64,100 689 * Coherent, Inc. 29,099 689 * Power Integrations, Inc. 28,303 688 * Copart, Inc. 72,799 688 * PETCO Animal Supplies, Inc. 31,622 687 * Atmel Corp. 271,600 687 * Westport Resources Corp. 30,100 685 * Biosite Inc. 14,162 681 * OmniVision Technologies, Inc. 21,800 680 Cathay Bancorp, Inc. 15,200 678 * Ligand Pharmaceuticals Inc. Class B 49,700 675 * Borland Software Corp. 69,100 675 Engineered Support Systems, Inc. 16,118 675 * Sycamore Networks, Inc. 176,100 674 * Journal Register Co. 37,200 673 * Priority Healthcare Corp. Class B 36,241 672 * Accredo Health, Inc. 30,729 670 * United Defense Industries Inc. 25,700 667 * Pinnacle Systems, Inc. 62,082 664 * Heartland Express, Inc. 29,779 663 * Penn National Gaming, Inc. 32,100 660 Tootsie Roll Industries, Inc. 21,499 656 * Cerner Corp. 28,537 655 * FileNET Corp. 35,919 648 * Wilson Greatbatch Technologies, Inc. 17,900 646 * Advanced Neuromodulation Systems, Inc. 12,400 642 New Century Financial Corp. 14,599 637 Perrigo Co. 40,698 637 CVB Financial Corp. 32,500 634 * Alliance Data Systems Corp. 27,100 634 NDCHealth Corp. 34,533 634 33 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- IHOP Corp. 19,999 631 * Simpson Manufacturing Co. 17,203 630 * Oceaneering International, Inc. 24,599 629 * Exar Corp. 39,699 628 * DRS Technologies, Inc. 22,423 626 * Northwest Airlines Corp. Class A 55,400 625 * Anteon International Corp. 22,400 625 * AmSurg Corp. 20,388 622 * Group 1 Automotive, Inc. 18,999 616 * RSA Security Inc. 56,915 612 * MSC Industrial Direct Co., Inc. Class A 34,079 61 Ametek, Inc. 16,600 608 * CUNO Inc. 16,686 603 * Knight Transportation, Inc. 24,190 602 * Axcelis Technologies, Inc. 97,899 599 * Insight Communications Co., Inc. 45,400 598 * IGEN International, Inc. 19,000 597 * Micromuse Inc. 74,600 596 * BioMarin Pharmaceutical Inc. 60,900 594 * CMGI Inc. 352,600 589 * Advanced Digital Information Corp. 58,900 588 * Digital Insight Corp. 30,700 585 * Genta Inc. 43,900 585 * Extreme Networks, Inc. 110,100 584 * Sonic Automotive, Inc. 26,550 582 * Pediatrix Medical Group, Inc. 16,299 581 * DSP Group Inc. 26,899 579 * IDT Corp. Class B 32,800 577 Florida Rock Industries, Inc. 13,829 571 * Technitrol, Inc. 37,899 570 * ILEX Oncology, Inc. 29,300 569 * EGL, Inc. 37,399 568 * Novell, Inc. 183,699 566 HON Industries, Inc. 18,419 562 * eSPEED, Inc. Class A 28,100 555 * Choice Hotel International, Inc. 20,300 554 * Endo Pharmaceuticals Holdings, Inc. 32,700 553 * Wynn Resorts Ltd. 31,150 551 * Washington Group International, Inc. 25,020 549 * Argosy Gaming Co. 26,093 546 * Entravision Communications Corp. 48,000 545 * Tekelec 48,100 544 * Enzon Pharmaceuticals, Inc. 43,400 543 * Vicuron Pharmaceuticals Inc. 38,300 543 * Interactive Data Corp. 32,064 542 * ProQuest Co. 21,000 542 * Identix, Inc. 85,000 540 * Kirby Corp. 19,099 539 Winnebago Industries, Inc. 14,138 536 * eFunds Corp. 46,399 535 * TiVo Inc. 43,900 535 * Internet Security Systems, Inc. 36,899 535 * UnitedGlobalCom Inc. Class A 102,980 532 Texas Regional Bancshares, Inc. 15,300 531 * West Corp. 19,880 530 * Price Communications Corp. 40,899 528 * Photronics Inc. 30,199 527 * Entegris Inc. 39,200 527 * USI Holdings Corp. 44,620 525 * TriQuint Semiconductor, Inc. 125,898 524 * Marvel Enterprises Inc. 27,400 523 * MAXIMUS, Inc. 18,928 523 * Rogers Corp. 15,696 523 * Zoran Corp. 27,200 523 * Superior Energy Services, Inc. 55,000 521 * Vignette Corp. 250,600 521 Sterling Bancshares, Inc. 39,618 518 * Toll Brothers, Inc. 18,300 518 * Telik, Inc. 32,200 517 * Enzo Biochem, Inc. 23,985 516 * Barra, Inc. 14,444 516 * The Advisory Board Co. 12,600 511 * Sinclair Broadcast Group, Inc. 43,900 510 * Nektar Therapeutics 55,100 509 * Southwestern Energy Co. 33,799 507 * Priceline.com, Inc. 22,550 505 * CommScope, Inc. 52,998 503 * American Healthways Inc. 13,900 502 * AtheroGenics, Inc. 33,600 502 * W-H Energy Services, Inc. 25,699 501 Brown Shoe Co., Inc. 16,799 501 * AMERIGROUP Corp. 13,445 500 * Informatica Corp. 72,300 500 * NII Holdings Inc. 13,050 499 * Stone Energy Corp. 11,899 499 * Shuffle Master, Inc. 16,892 496 * Actel Corp. 24,199 496 * CONMED Corp. 26,999 493 * Scientific Games Corp. 52,200 491 * United Surgical Partners International, Inc. 21,700 490 * Advanced Medical Optics, Inc. 28,739 490 * Nextel Partners, Inc. 67,100 490 * The Gymboree Corp. 29,168 489 * Dendrite International, Inc. 37,899 488 IndyMac Bancorp, Inc. REIT 19,200 488 * Plexus Corp. 42,298 488 * Quest Software, Inc. 40,900 487 * Ask Jeeves, Inc. 35,372 486 * Cray Inc. 61,500 486 * United Natural Foods, Inc. 17,253 485 34 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * TIBCO Software Inc. 95,000 484 * ExpressJet Holdings, Inc. 32,000 483 * Navigant Consulting, Inc. 40,700 482 Grey Global Group Inc. 623 481 * Medarex, Inc. 72,700 479 * Allen Telecom Inc. 28,999 479 * Symyx Technologies, Inc. 29,200 477 * Palm, Inc. 29,100 473 * Digital River, Inc. 24,500 473 * Resources Connection, Inc. 19,800 472 * Connetics Corp. 31,400 470 * SERENA Software, Inc. 22,414 468 * Sirius Satellite Radio, Inc. 276,300 467 * Lin TV Corp. 19,800 466 * VCA Antech, Inc. 23,800 466 * Offshore Logistics, Inc. 21,399 465 * Insituform Technologies Inc. Class A 26,299 465 * Aeroflex, Inc. 60,048 465 * MKS Instruments, Inc. 25,650 463 * Hecla Mining Co. 109,000 461 * Integra LifeSciences Holdings 17,465 461 * Eon Labs, Inc. 13,100 460 * Sybase, Inc. 33,100 460 * InterMune Inc. 28,500 459 Wintrust Financial Corp. 15,506 459 * FEI Co. 24,454 459 * Guitar Center, Inc. 15,800 458 M/I Schottenstein Homes, Inc. 10,700 457 * CTI Molecular Imaging, Inc. 24,000 454 * Packeteer, Inc. 29,000 452 * ANSYS, Inc. 14,430 449 * SurModics, Inc. 14,712 449 * Agile Software Corp. 46,400 448 * Manhattan Associates, Inc. 17,190 446 Cabot Oil & Gas Corp. 16,087 444 * Photon Dynamics, Inc. 15,937 440 Boise Cascade Corp. 18,354 439 * Verity, Inc. 34,600 438 * Forward Air Corp. 17,232 437 * Fossil, Inc. 18,536 437 * Exelixis, Inc. 62,800 436 K-Swiss, Inc. 12,617 436 * Magnum Hunter Resources Inc. 54,200 433 Arrow International, Inc. 9,800 433 * Cytec Industries, Inc. 12,800 433 * Cyberonics, Inc. 20,100 432 * Quantum Corp. 106,699 432 AptarGroup Inc. 12,000 432 * Advent Software, Inc. 25,499 431 * Denbury Resources, Inc. 32,100 431 * Itron, Inc. 19,989 431 Boston Private Financial Holdings, Inc. 20,417 430 * Atrix Laboratories, Inc. 19,500 429 * Financial Federal Corp. 17,499 427 * Artisan Components, Inc. 18,800 425 United Community Banks, Inc. 17,000 425 * Kopin Corp. 69,334 424 * Triarc Cos., Inc. Class A 14,099 423 * Genesis Microchip Inc. 31,200 422 * Veeco Instruments, Inc. 24,799 422 Rollins, Inc. 22,399 422 * Akamai Technologies, Inc. 86,800 422 * CoStar Group, Inc. 14,100 421 * TETRA Technologies, Inc. 14,199 421 * Rayovac Corp. 32,500 421 * Electro Scientific Industries, Inc. 27,699 420 * MGI Pharma, Inc. 16,378 420 * Bright Horizons Family Solutions, Inc. 12,500 420 * Perot Systems Corp. 36,872 419 * Urban Outfitters, Inc. 11,639 418 * Powerwave Technologies, Inc. 65,999 414 * O'Charley's Inc. 19,099 411 * WilTel Communications, Inc. 27,500 405 * SRA International, Inc. 12,600 403 * Mykrolis Corp. 39,700 403 * aQuantive, Inc. 38,300 402 * Mediacom Communications Corp. 40,700 402 * Lexar Media, Inc. 42,000 401 * Parametric Technology Corp. 131,299 400 * Apex Silver Mines Ltd. 27,084 399 * Eclipsys Corp. 38,200 399 * Monaco Coach Corp. 25,999 399 * Hydrill Co. 14,612 398 * Ultratech, Inc. 21,499 398 Speedway Motorsports, Inc. 14,800 397 Surewest Communications 13,100 396 * webMethods, Inc. 48,700 396 * The Neiman Marcus Group, Inc. Class B 11,446 395 Hooper Holmes, Inc. 61,199 394 * American Pharmaceuticals Partners, Inc. 11,600 393 * Select Comfort Corp. 24,000 393 Frontier Oil Corp. 25,852 393 Inter-Tel, Inc. 18,484 392 * ICU Medical, Inc. 12,585 392 * Newpark Resources, Inc. 71,300 391 * Paxar Corp. 35,399 389 * United Therapeutics Corp. 17,800 388 * Lone Star Technologies, Inc. 18,299 388 * NetIQ Corp. 25,000 387 35 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Haemonetics Corp. 20,638 386 * Remington Oil & Gas Corp. 20,992 386 * K-V Pharmaceutical Co. Class B 13,600 385 * Centene Corp. 9,846 383 * InVision Technologies, Inc. 15,268 383 * Echelon Corp. 27,800 383 * XOMA Ltd. 71,800 383 * Tularik, Inc. 38,400 382 * CIMA Labs Inc. 14,099 379 * Coinstar, Inc. 19,885 375 * Magma Design Automation, Inc. 21,800 374 * MICROS Systems, Inc. 11,332 374 Park Electrochemical Corp. 18,699 373 Connecticut Bancshares, Inc. 9,500 373 G & K Services, Inc. Class A 12,555 372 PolyMedica Corp. 8,099 371 * Global Imaging Systems, Inc. 16,000 371 * Digene Corp. 13,600 370 * Young Broadcasting Inc. 17,500 370 * ValueClick, Inc. 61,300 370 C & D Technologies, Inc. 25,699 369 * Conexant Systems, Inc. 88,200 369 * Papa John's International, Inc. 13,086 367 * Mercury Computer Systems, Inc. 20,164 366 * Exult Inc. 42,600 365 IMC Global Inc. 54,200 364 * Headwaters Inc. 24,700 363 * eResearch Technology, Inc. 16,300 361 Penn Virginia Corp. 8,400 361 Suffolk Bancorp 11,200 361 * Corixa Corp. 46,400 359 Cubic Corp. 16,020 356 * Comstock Resources, Inc. 26,000 356 * Armor Holdings, Inc. 26,499 355 * Movie Gallery, Inc. 19,180 354 * IDT Corp. 19,700 353 * ArthroCare Corp. 21,030 352 * Openwave Systems Inc. 180,700 352 * Silicon Storage Technology, Inc. 84,000 352 * Myriad Genetics, Inc. 25,700 350 * Bombay Co. 32,900 350 * Oak Technology, Inc. 56,200 349 * Triad Guaranty, Inc. 9,196 349 * Lawson Software Inc. 44,779 348 * Gartner, Inc. Class A 45,798 347 * SangStat Medical Corp. 26,500 347 CARBO Ceramics Inc. 9,309 347 * Genesco, Inc. 19,565 346 * Cobalt Corp. 16,800 345 * Leapfrog Enterprises, Inc. 10,800 344 * Hovnanian Enterprises Inc. Class A 5,821 343 * Wright Medical Group, Inc. 18,000 342 * K-V Pharmaceutical Co. Class A 12,300 342 * WebEx Communications, Inc. 24,500 342 * Aeropostale, Inc. 15,900 342 * Per-Se Technologies, Inc. 30,100 338 * UNOVA, Inc. 30,400 337 * ESS Technology, Inc. 34,599 337 * WMS Industries, Inc. 21,636 337 * Retek Inc. 52,699 337 * InfoSpace, Inc. 24,800 337 * Sterling Financial Corp. (Spokane) 13,800 336 * Websense, Inc. 21,463 336 * Hibbett Sporting Goods, Inc. 10,200 336 * E.piphany Inc. 65,700 336 * LendingTree, Inc. 13,700 335 * MicroStrategy Inc. 9,200 335 * Ventana Medical Systems, Inc. 12,300 334 First Community Bancorp 10,600 333 * Plains Exploration & Production Co. 30,750 332 * 7-Eleven, Inc. 31,500 332 * Silicon Image, Inc. 59,500 332 Royal Gold, Inc. 15,400 331 * Electronics Boutique Holdings Corp. 14,300 330 * F5 Networks, Inc. 19,600 330 * American Medical Systems Holdings, Inc. 19,516 329 Blyth, Inc. 12,100 329 * J. Jill Group, Inc. 19,493 328 * Intermagnetics General Corp. 16,524 328 Net.Bank, Inc. 24,900 328 * AMN Healthcare Services, Inc. 25,800 328 * ScanSource, Inc. 12,200 326 * Pre-Paid Legal Services, Inc. 13,296 326 * Meritage Corp. 6,614 326 * McDATA Corp. 22,400 325 * California Pizza Kitchen, Inc. 15,100 325 * Lattice Semiconductor Corp. 39,300 323 * VistaCare, Inc. 13,300 323 * Oil States International, Inc. 26,700 323 * Oakley, Inc. 27,400 322 * Cable Design Technologies Corp. 44,799 320 * Littelfuse, Inc. 14,300 320 Dime Community Bancshares 12,563 320 * Sharper Image Corp. 11,700 319 MacDermid, Inc. 12,121 319 * Albany Molecular Research, Inc. 21,100 319 * ViaSat, Inc. 22,199 318 * ActivCard Corp. 33,852 318 * Jarden Corp. 11,500 318 Metris Cos., Inc. 57,300 318 * Inspire Pharmaceuticals, Inc. 29,400 318 * Impax Laboratories, Inc. 26,400 317 * Kulicke & Soffa Industries, Inc. 49,492 316 36 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Sterling Financial Corp. (PA) 13,600 316 * Tuesday Morning Corp. 12,000 316 * PRIMEDIA Inc. 103,400 315 * Alaris Medical, Inc. 24,200 313 * Esperion Therapeutics, Inc. 15,900 311 * Cell Genesys, Inc. 36,000 311 Hancock Fabrics, Inc. 18,934 306 * GrafTech International Ltd. 56,100 306 * Zoll Medical Corp. 9,100 305 * Cubist Pharmaceuticals, Inc. 28,600 305 * Korn/Ferry International 37,599 305 * Spanish Broadcasting System, Inc. 37,100 302 * aaiPharma Inc. 15,200 302 Scottish Annuity & Life Holdings, Ltd. 14,921 302 * ScanSoft, Inc. 55,000 299 * Multimedia Games Inc. 11,700 298 * Advanced Energy Industries, Inc. 20,915 298 Harleysville National Corp. 11,000 298 * ValueVision Media, Inc. 21,700 296 First Niagara Financial Group, Inc. 21,050 294 * ManTech International Corp. 15,200 292 * Align Technology, Inc. 23,200 291 Main Street Banks, Inc. 11,500 291 * Jo-Ann Stores, Inc. Class A 11,499 291 * Trex Co., Inc. 7,400 290 * Hutchinson Technology, Inc. 8,799 289 * NetFlix.com, Inc. 11,300 289 * Chattem, Inc. 15,300 288 * Newport Corp. 19,300 286 * Arch Capital Group Ltd. 8,200 285 * SciClone Pharmaceuticals, Inc. 33,200 284 American Woodmark Corp. 6,100 284 * Conceptus, Inc. 20,200 284 * Dick's Sporting Goods, Inc. 7,700 282 * j2 Global Communications, Inc. 6,100 280 * Boston Communications Group, Inc. 16,365 280 * SonoSite, Inc. 14,000 279 * Quicksilver Resources, Inc. 11,600 278 * LTX Corp. 32,199 278 * The Dress Barn, Inc. 21,899 277 * Regeneron Pharmaceuticals, Inc. 17,564 277 * Knight Trading Group, Inc. 44,200 275 * Planar Systems, Inc. 14,042 275 * Tanox, Inc. 17,100 274 * Hanover Compressor Co. 24,200 273 * Labor Ready, Inc. 38,120 273 * Right Management Consultants, Inc. 21,600 273 * MatrixOne, Inc. 47,598 273 * GameStop Corp. 21,100 273 * Keane, Inc. 20,000 273 * Wind River Systems Inc. 71,499 272 * II-VI, Inc. 11,800 272 * Andrew Corp. 29,405 271 LNR Property Corp. 7,200 269 * Nabi Biopharmaceuticals 39,252 269 Aaron Rents, Inc. Class B 10,399 269 * Credence Systems Corp. 31,600 268 * Excel Technology, Inc. 11,700 267 * S1 Corp. 65,800 266 * AFC Enterprises, Inc. 16,327 265 * The Wet Seal, Inc. Class A 24,799 265 Arctic Cat, Inc. 13,799 264 * Steven Madden, Ltd. 12,100 264 * Isis Pharmaceuticals, Inc. 49,600 263 * Immucor Inc. 12,000 261 * Benchmark Electronics, Inc. 8,499 261 * A.C. Moore Arts & Crafts, Inc. 13,000 260 * Wild Oats Markets Inc. 23,800 259 * Wireless Facilities, Inc. 21,800 259 EDO Corp. 14,639 259 * School Specialty, Inc. 9,099 259 * Portfolio Recovery Associates, Inc. 8,300 259 * Asyst Technologies, Inc. 38,600 258 * Fidelity National Information Solutions, Inc. 9,900 258 * Secure Computing Corp. 29,500 258 * Frontier Airlines, Inc. 28,199 256 * Keystone Automotive Industries, Inc. 14,000 256 * Group 1 Software, Inc. 13,900 255 Umpqua Holdings Corp. 13,400 254 * Ameristar Casinos, Inc. 11,900 254 * Tollgrade Communications, Inc. 13,599 254 * Gulfmark Offshore, Inc. 15,000 253 * Talk America Holdings, Inc. 23,200 253 Flagstar Bancorp, Inc. 10,299 252 * Immunomedics Inc. 39,900 252 * Verint Systems Inc. 9,900 252 Franklin Electric, Inc. 4,500 250 * Antigenics, Inc. 21,700 250 * IDX Systems Corp. 16,100 250 * CorVel Corp. 6,900 248 * Maxygen Inc. 22,500 247 * Diversa Corp. 25,100 247 Oshkosh B' Gosh, Inc. Class A 9,127 246 Vector Group Ltd. 14,000 245 * Manugistics Group, Inc. 59,600 245 * LabOne, Inc. 11,332 244 * Harmonic, Inc. 59,992 244 Wabtec Corp. 17,500 243 * Isle of Capri Casinos, Inc. 14,700 243 37 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Forrester Research, Inc. 14,800 242 * Gabelli Asset Management Inc. 6,700 242 * Kos Pharmaceuticals, Inc. 10,300 242 * Possis Medical Inc. 17,570 241 * Information Holdings Inc. 13,199 241 * Kensey Nash Corp. 9,200 241 * PRG-Schultz International, Inc. 40,699 240 * Synaptics Inc. 17,800 240 * Houston Exploration Co. 6,900 239 * Quaker City Bancorp, Inc. 5,800 238 * Paxson Communications Corp. 39,600 237 The Nautilus Group, Inc. 19,115 237 * Concord Communications, Inc. 17,241 237 * Merit Medical Systems, Inc. 11,800 236 * ChipPAC, Inc. 30,600 235 * CuraGen Corp. 42,000 233 * Old Dominion Freight Line, Inc. 10,778 233 * RehabCare Group, Inc. 15,899 233 * Teledyne Technologies, Inc. 17,778 233 * Gart Sports Co. 8,200 233 * Noven Pharmaceuticals, Inc. 22,635 232 * PAREXEL International Corp. 16,599 232 * SeaChange International, Inc. 24,200 231 * Veridian Corp. 6,600 230 * Power-One, Inc. 32,100 230 * SafeNet, Inc. 8,200 229 Analogic Corp. 4,699 229 * Standard Microsystem Corp. 15,099 229 * Molecular Devices Corp. 14,300 228 * MemberWorks, Inc. 11,509 227 * Daktronics, Inc. 13,900 227 * infoUSA Inc. 28,000 227 S.Y. Bancorp, Inc. 6,400 226 * Sunrise Senior Living, Inc. 10,099 226 * Harris Interactive Inc. 34,200 225 CB Bancshares Inc. (HI) 3,620 225 * OraSure Technologies, Inc. 30,100 225 * Intuitive Surgical, Inc. 29,500 224 * Rainbow Technologies, Inc. 26,404 222 * General Communication, Inc. 25,499 221 * Microsemi Corp. 13,799 221 * Regent Communications, Inc. 37,300 220 * 4Kids Entertainment Inc. 11,831 220 * Silicon Graphics, Inc. 192,800 220 * Finisar Corp. 141,400 219 * West Marine, Inc. 12,500 219 * Computer Network Technology Corp. 27,000 219 * Heidrick & Struggles International, Inc. 17,282 218 * Sotheby's Holdings Class A 29,299 218 * Lightbridge, Inc. 24,800 217 * The Topps Co., Inc. 25,200 216 * EPIQ Systems, Inc. 12,600 216 * LookSmart, Ltd. 76,100 215 * Interwoven, Inc. 96,500 214 * Siliconix, Inc. 5,900 213 * Saga Communications, Inc. 10,900 212 * J & J Snack Foods Corp. 6,699 212 * Neoware Systems, Inc. 13,700 210 * White Electronic Designs Corp. 19,800 210 * Pacer International, Inc. 11,100 209 * Pixelworks, Inc. 35,200 209 * Digimarc Corp. 13,300 209 * At Road, Inc. 19,100 209 * American Management Systems, Inc. 14,599 208 Bowne & Co., Inc. 15,999 208 * Anaren, Inc. 22,200 208 * CCC Information Services Group 14,277 207 * Insight Enterprises, Inc. 20,399 205 * Spherion Corp. 29,499 205 * Register.com, Inc. 34,900 205 * Renaissance Learning, Inc. 9,300 204 * Encore Acquisition Co. 10,600 203 * Gartner, Inc. Class B 26,899 202 * Energy Partners, Ltd. 17,400 201 GBC Bancorp 5,199 200 Advanced Marketing Services 15,356 200 * Westell Technologies, Inc. 23,050 199 * Drugstore.com, Inc. 34,100 199 * Triton PCS, Inc. 39,300 198 PFF Bancorp, Inc. 5,100 197 * Prima Energy Corp. 9,430 197 * Steiner Leisure Ltd. 13,474 197 * ESCO Technologies Inc. 4,466 197 Curtiss-Wright Corp. 3,100 196 * Pharmacopeia, Inc. 23,700 196 * Brooks Automation, Inc. 17,199 195 * Ribapharm Inc. 30,150 194 * Rudolph Technologies, Inc. 12,163 194 * PSS World Medical, Inc. 33,600 193 Virginia Financial Group, Inc. 6,900 193 * Palm Harbor Homes, Inc. 10,200 193 * NeoPharm, Inc. 13,940 193 * Presstek, Inc. 30,800 192 * IDine Rewards Network Inc. 13,900 191 * MTR Gaming Group Inc. 24,700 191 * Federal Agricultural Mortgage Corp. Class C 8,500 190 Keithley Instruments Inc. 13,115 190 * Actuant Corp. 4,000 189 * Salix Pharmaceuticals, Ltd. 18,000 189 * Elizabeth Arden, Inc. 14,200 187 38 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Peet's Coffee & Tea Inc. 10,700 187 Peapack Gladstone Financial Corp. 5,700 183 * Citizens, Inc. 25,100 182 Bank of the Ozarks, Inc. 4,700 182 * Vastera, Inc. 30,500 182 * MSC.Software Corp. 26,900 181 * Integral Systems, Inc. 9,100 181 * Cross Country Healthcare, Inc. 13,700 181 * Concurrent Computer Corp. 61,800 180 * Salem Communications Corp. 9,000 180 * Intrado Inc. 11,400 180 * AAON, Inc. 9,700 180 * DuPont Photomasks, Inc. 9,499 179 * Monolithic System Technology, Inc. 19,700 178 * Verisity Ltd. 14,779 176 * Stamps.com Inc. 36,700 176 * FuelCell Energy, Inc. 21,500 176 * WFS Financial, Inc. 5,246 176 * Keynote Systems Inc. 16,700 175 * Genesee & Wyoming Inc. Class A 8,400 173 Helix Technology Corp. 13,034 172 * SureBeam Corp. 64,900 172 * 1-800-FLOWERS.COM, Inc. 20,868 172 * Kenneth Cole Productions, Inc. 8,800 172 * PEC Solutions, Inc. 10,500 169 * Inveresk Research Group Inc. 9,310 169 * ImmunoGen, Inc. 39,300 168 * Gene Logic Inc. 28,100 168 * Serologicals Corp. 12,300 168 Pennrock Financial Services Corp. 6,200 167 Gray Television, Inc. 13,486 167 CTS Corp. 15,999 167 Old Second Bancorp, Inc. 3,900 167 * Cirrus Logic 41,500 167 Lindsay Manufacturing Co. 7,175 167 * Cell Therapeutics, Inc. 16,900 164 * Universal Display Corp. 18,400 164 * P.A.M. Transportation Services, Inc. 6,750 163 * The Buckle, Inc. 8,400 162 * FreeMarkets, Inc. 23,200 161 Penn Engineering & Manufacturing Corp. 11,800 161 * AMC Entertainment, Inc. 14,000 160 Bank Mutual Corp. 4,900 159 * Steel Dynamics, Inc. 11,599 159 Shenandoah Telecommunications Co. 3,300 158 PrivateBancorp, Inc. 5,764 157 * Energy Conversion Devices, Inc. 17,100 156 * Tejon Ranch Co. 5,159 155 * Alexion Pharmaceuticals, Inc. 9,100 155 * Tesoro Petroleum Corp. 22,400 154 Westcorp, Inc. 5,500 154 * Young Innovations, Inc. 5,400 154 * Interland Inc. 155,600 152 * Drexler Technology Corp. 9,800 152 * Inet Technologies, Inc. 15,200 152 * IXYS Corp. 18,999 151 * Corvis Corp. 100,300 150 * Big 5 Sporting Goods Corp. 12,000 150 * MedQuist, Inc. 7,400 150 * Atwood Oceanics, Inc. 5,500 149 * Lexicon Genetics Inc. 22,200 149 Courier Corp. 2,890 149 * Learning Tree International, Inc. 9,500 148 The Trust Co. of New Jersey 4,900 148 * Impath, Inc. 10,499 148 * Entrust, Inc. 50,400 148 Stewart & Stevenson Services, Inc. 9,399 148 * Ixia 23,000 148 * PDF Solutions, Inc. 12,800 148 * Duane Reade Inc. 9,999 147 * Integrated Defense Technology, Inc. 9,500 147 * Pericom Semiconductor Corp. 15,699 146 Lawson Products, Inc. 5,299 146 * Riverstone Networks, Inc. 122,900 145 * 1-800 CONTACTS, Inc. 5,900 144 * Astec Industries, Inc. 16,499 144 * National Healthcare Corp. 7,300 144 BEI Technologies, Inc. 11,844 142 * Mobile Mini, Inc. 8,699 142 * Cerus Corp. 18,800 142 * Alloy, Inc. 21,900 141 * Boston Beer Co., Inc. Class A 9,800 141 * Microtune, Inc. 44,000 141 Max Re Capital Ltd. 9,400 141 * Finish Line, Inc. 6,300 140 * Fisher Communications, Inc. 2,858 140 * Adolor Corp. 11,300 139 * Lannett Company, Inc. 5,900 138 * OSI Systems Inc. 8,600 138 * Altiris, Inc. 6,800 136 * MTC Technologies, Inc. 5,800 136 * Plains Resources Inc. 9,508 135 Overseas Shipholding Group Inc. 6,100 134 Hudson River Bancorp. Inc. 4,800 134 * Champion Enterprises, Inc. 25,823 134 * Global Power Equipment Group Inc. 28,700 133 * Skechers U.S.A., Inc. 18,000 133 * Audiovox Corp. 11,899 133 * Remec, Inc. 19,000 132 * Startek, Inc. 4,996 131 * The Children's Place Retail Stores, Inc. 6,599 131 39 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Charlotte Russe Holding Inc. 12,600 130 * CompuCredit Corp. 10,600 129 * Tyler Technologies, Inc. 30,300 129 * Avatar Holding, Inc. 4,262 129 * Local Financial Corp. 8,900 129 * Closure Medical Corp. 6,800 128 Churchill Downs, Inc. 3,346 128 World Fuel Services Corp. 5,203 128 Troy Financial Corp. 4,700 128 * Crown Media Holdings, Inc. 30,847 127 * The TriZetto Group, Inc. 21,000 127 * Mesa Air Group Inc. 15,799 126 * Net2Phone, Inc. 28,925 125 * Core Laboratories NV 11,587 125 * Opsware, Inc. 30,900 124 * William Lyon Homes, Inc. 3,900 124 * Exact Sciences Corp. 11,300 124 * bebe stores, inc 6,400 122 * Strattec Security Corp. 2,300 122 Partners Trust Financial Group, Inc. 6,400 122 * Silgan Holdings, Inc. 3,883 121 * Ulticom, Inc. 12,650 120 * Radiant Systems, Inc. 17,815 120 * Blue Rhino Corp. 10,000 120 * ON Semiconductor Corp. 44,000 119 * Arena Pharmaceuticals, Inc. 17,800 118 * Sapient Corp. 42,000 116 * Martha Stewart Living Omnimedia, Inc. 12,300 115 * Internet Capital Group, Inc. 239,960 115 * Transkaryotic Therapies, Inc. 9,900 114 Valmont Industries, Inc. 5,861 114 * SeeBeyond Technology Corp. 49,300 114 CoBiz Inc. 8,500 113 * Party City Corp. 10,900 112 * Kyphon Inc. 7,400 112 * Plug Power, Inc. 23,900 112 * Terayon Communications Systems, Inc. 40,800 111 * Loral Space & Communications, Ltd. 36,345 111 Cohu, Inc. 6,999 109 * Playtex Products, Inc. 16,900 108 * CardioDynamics International Corp. 31,800 108 * FalconStor Software, Inc. 16,200 108 Action Performance Cos., Inc. 5,699 108 * Del Laboratories, Inc. 4,600 108 * Midway Games Inc. 29,725 108 * Hawthorne Financial Corp. 3,100 107 * Mothers Work, Inc. 4,000 107 * PC Connection, Inc. 15,688 107 * barnesandnoble.com inc 45,724 107 Franklin Financial Corp. 3,500 105 * Kirkland's, Inc. 6,500 105 * Therasense, Inc. 10,300 103 * Hudson Highland Group, Inc. 5,400 103 * Beasley Broadcast Group, Inc. 7,500 103 * WatchGuard Technologies, Inc. 22,300 103 * Dynacq International, Inc. 6,100 102 * Covenant Transport, Inc. 6,000 102 Coca-Cola Bottling Co. 1,859 102 * New Focus, Inc. 26,700 100 * Time Warner Telecom Inc. 15,600 99 * Galyan's Trading Co. 6,900 99 Kaneb Services LLC 3,375 99 * The Boyds Collection, Ltd. 20,700 97 Brookfield Homes Corp. 6,300 97 Computer Programs and Systems, Inc. 4,800 96 WSFS Financial Corp. 2,500 96 * General Maritime Corp. 9,400 95 * Liquidmetal Technologies Inc. 18,450 95 Hanmi Financial Corp. 5,400 94 * Shoe Carnival, Inc. 6,300 93 * Gulf Island Fabrication, Inc. 5,491 93 * Syntel, Inc. 5,900 93 Deltic Timber Corp. 3,199 91 * Stratex Networks, Inc. 28,300 91 * Playboy Enterprises, Inc. Class B 6,600 90 Holly Corp. 3,200 88 * SPSS, Inc. 5,199 87 * Embarcadero Technologies, Inc. 12,350 86 Alico, Inc. 3,500 86 * RailAmerica, Inc. 10,200 86 * The Neiman Marcus Group, Inc. Class A 2,343 86 * Teletech Holdings Inc. 20,200 85 * Virage Logic Corp. 11,700 85 * Semitool, Inc. 17,100 84 * Transmeta Corp. 52,600 84 * Dril-Quip, Inc. 4,599 84 * Turnstone Systems, Inc. 33,200 83 * PTEK Holdings, Inc. 16,791 81 Pioneer Standard Electronics Inc. 9,599 81 * Specialty Laboratories, Inc. 7,800 80 * Ultimate Electronics, Inc. 6,000 77 * RC2 Corp. 4,500 77 PXRE Group Ltd. 3,843 76 * FTD, Inc. 3,625 73 * Arden Group Inc. Class A 1,200 71 * Handspring, Inc. 62,600 71 * Mindspeed Technologies, Inc. 29,400 71 * NASSDA Corp. 9,100 70 * Bruker Daltonics, Inc. 13,000 69 40 - -------------------------------------------------------------------------------- MARKET SMALL-CAP GROWTH VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Vicor Corp. 7,199 69 * Zymogenetics, Inc. 5,854 68 Camden National Corp. 2,400 66 Lakeland Bancorp, Inc. 4,100 66 * Alliance Imaging, Inc. 14,600 64 * Asbury Automotive Group, Inc. 4,750 64 * Medical Staffing Network Holdings, Inc. 9,100 64 Curtiss-Wright Corp. Class B 1,000 62 * Restoration Hardware, Inc. 13,200 59 * United Auto Group, Inc. 2,700 59 Standard Commercial Tobacco Co. 3,400 58 * Lydall, Inc. 5,399 58 Vital Signs, Inc. 2,199 57 Bel Fuse, Inc. Class B 2,400 55 World Wrestling Entertainment, Inc. 5,300 55 * Stein Mart, Inc. 9,099 55 * Bioreliance Corp. 2,400 51 * Guess ?, Inc. 8,200 49 * Pegasystems Inc. 6,500 48 * Jo-Ann Stores, Inc. Class B 2,000 44 * Neoforma, Inc. 3,800 41 * General Binding Corp. 3,000 36 * Revlon, Inc. Class A 12,000 36 * On Assignment, Inc. 7,899 32 * ICT Group, Inc. 2,100 22 * Raytech Corp. 2,800 12 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $474,400) 525,065 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE* (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.4%) Federal National Mortgage Assn. 1.14%, 7/30/2003 $ 1,000 999 Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003 736 736 1.16%, 7/1/2003--Note E 16,080 16,080 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $17,815) 17,815 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.2%) (Cost $492,215) 542,880 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.2%) - -------------------------------------------------------------------------------- Other Assets--Note B 2,565 Security Lending Collateral Payable to Brokers--Note E (16,080) Other Liabilities (3,384) ---------------- (16,899) ---------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $525,981 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- Paid-in Capital $598,163 Undistributed Net Investment Income 177 Accumulated Net Realized Losses (123,024) Unrealized Appreciation 50,665 - -------------------------------------------------------------------------------- NET ASSETS $525,981 ================================================================================ Investor Shares--Net Assets Applicable to 48,013,410 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $504,365 ================================================================================ NET ASSET VALUE PER SHARE-- INVESTOR SHARES $10.50 ================================================================================ Institutional Shares--Net Assets Applicable to 2,055,886 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $21,616 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $10.51 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 41 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (100.0%) - -------------------------------------------------------------------------------- * Providian Financial Corp. 767,807 7,110 * Calpine Corp. 1,016,433 6,708 * Humana Inc. 416,662 6,292 Mack-Cali Realty Corp. REIT 154,635 5,626 Developers Diversified Realty Corp. REIT 193,651 5,507 Great Plains Energy, Inc. 186,170 5,377 National Fuel Gas Co. 205,868 5,363 United Dominion Realty Trust REIT 301,187 5,186 Annaly Mortgage Management Inc. REIT 249,700 4,971 Pentair, Inc. 126,100 4,925 The Macerich Co. REIT 139,900 4,915 * Maxtor Corp. 649,200 4,875 * PacifiCare Health Systems, Inc. 96,298 4,750 HCC Insurance Holdings, Inc. 159,400 4,713 * Big Lots Inc. 312,206 4,696 Alliant Energy Corp. 246,412 4,689 Chelsea Property Group REIT 115,800 4,668 BorgWarner, Inc. 72,400 4,663 Webster Financial Corp. 122,731 4,639 * AMR Corp. 419,300 4,612 Vectren Corp. 182,782 4,579 Sky Financial Group, Inc. 210,643 4,575 * Reliant Resources, Inc. 741,450 4,545 Snap-On Inc. 156,341 4,539 Philadelphia Suburban Corp. 185,655 4,526 United States Steel Corp. 276,432 4,525 Hawaiian Electric Industries Inc. 98,500 4,516 OGE Energy Corp. 211,269 4,515 Cabot Corp. 157,267 4,514 Precision Castparts Corp. 141,944 4,414 Martin Marietta Materials, Inc. 131,337 4,414 Arden Realty Group, Inc. REIT 169,757 4,405 NICOR Inc. 118,363 4,392 Colonial BancGroup, Inc. 315,883 4,381 First American Corp. 164,900 4,345 Washington Federal Inc. 186,916 4,323 Roslyn Bancorp, Inc. 200,900 4,317 Ryder System, Inc. 168,246 4,310 Crescent Real Estate, Inc. REIT 258,271 4,290 Lubrizol Corp. 138,333 4,287 * Quintiles Transnational Corp. 302,011 4,286 Cullen/Frost Bankers, Inc. 130,600 4,192 Federal Realty Investment Trust REIT 130,100 4,163 Peoples Energy Corp. 96,039 4,119 BRE Properties Inc. Class A REIT 123,734 4,108 Hudson United Bancorp 120,140 4,103 StanCorp Financial Group, Inc. 78,162 4,082 AGL Resources Inc. 159,398 4,055 BancorpSouth, Inc. 189,643 3,954 Old National Bancorp 171,444 3,943 Harsco Corp. 108,823 3,923 Friedman, Billings, Ramsey Group, Inc. 291,500 3,906 CarrAmerica Realty Corp. REIT 139,102 3,868 Westamerica Bancorporation 89,344 3,849 Mills Corp. REIT 114,600 3,845 CenterPoint Properties Corp. REIT 62,104 3,804 Pan Pacific Retail Properties, Inc. REIT 96,000 3,778 F.N.B. Corp. 124,739 3,775 ICN Pharmaceuticals, Inc. 225,100 3,773 * Borders Group, Inc. 212,618 3,744 Thornburg Mortgage, Inc. REIT 149,700 3,698 Rayonier Inc. 111,929 3,694 Camden Property Trust REIT 105,306 3,680 Independence Community Bank Corp. 128,400 3,623 Realty Income Corp. REIT 93,900 3,576 American Capital Strategies, Ltd. 143,300 3,574 * AmeriCredit Corp. 416,200 3,558 UGI Corp. Holding Co. 111,999 3,550 HRPT Properties Trust REIT 382,700 3,521 Trustmark Corp. 137,985 3,514 Lee Enterprises, Inc. 93,600 3,513 * Navistar International Corp. 107,192 3,498 WGL Holdings Inc. 130,798 3,492 IPC Holdings Ltd. 103,724 3,475 Piedmont Natural Gas, Inc. 89,472 3,472 Carlisle Co., Inc. 82,299 3,470 IKON Office Solutions, Inc. 388,981 3,462 * Zale Corp. 86,399 3,456 Cummins Inc. 95,031 3,411 The MONY Group Inc. 126,277 3,403 Park National Corp. 29,601 3,382 CNF Inc. 132,582 3,365 ONEOK, Inc. 170,699 3,351 ArvinMeritor, Inc. 164,500 3,320 Peabody Energy Corp. 98,699 3,315 Healthcare Realty Trust Inc. REIT 112,900 3,291 WPS Resources Corp. 81,699 3,284 * AGCO Corp. 192,100 3,281 First Industrial Realty Trust REIT 103,749 3,278 Whitney Holdings Corp. 102,526 3,278 * Kinder Morgan Management, LLC 87,484 3,277 First Midwest Bancorp, Inc. 113,475 3,269 CBL & Associates Properties, Inc. REIT 76,000 3,268 * American Greetings Corp. Class A 164,695 3,235 Ventas, Inc. REIT 212,700 3,222 42 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Kennametal, Inc. 94,799 3,208 Health Care Inc. REIT 105,100 3,206 Shurgard Storage Centers, Inc. Class A REIT 96,832 3,203 Highwood Properties, Inc. REIT 143,500 3,200 * Mirant Corp. 1,086,844 3,152 Cooper Tire & Rubber Co. 178,481 3,139 CMS Energy Corp. 387,519 3,139 Media General, Inc. Class A 54,714 3,130 * Service Corp. International 801,600 3,102 Pacific Capital Bancorp 88,300 3,095 Arch Coal, Inc. 133,999 3,079 * Crown Holdings, Inc. 428,500 3,059 Reader's Digest Association, Inc. 223,600 3,014 DQE Inc. 199,798 3,011 Prentiss Properties Trust REIT 99,600 2,987 Atmos Energy Corp. 120,153 2,980 AmerUs Group Co. 105,049 2,961 Westar Energy, Inc. 182,398 2,960 Dynegy, Inc. 702,480 2,950 Briggs & Stratton Corp. 58,260 2,942 * Flowserve Corp. 148,600 2,923 * R.H. Donnelley Corp. 79,900 2,914 United Bankshares, Inc. 101,599 2,911 Essex Property Trust, Inc. REIT 50,699 2,903 * Louisiana-Pacific Corp. 267,299 2,898 * Beazer Homes USA, Inc. 34,700 2,897 Crane Co. 127,586 2,887 Allegheny Energy, Inc. 340,313 2,876 Universal Corp. (VA) 67,799 2,868 Washington REIT 104,800 2,851 SL Green Realty Corp. REIT 81,700 2,851 IDEX Corp. 78,599 2,848 MDC Holdings, Inc. 58,889 2,843 HON Industries, Inc. 92,794 2,830 The South Financial Group, Inc. 120,817 2,819 PNM Resources Inc. 105,298 2,817 * BJ's Wholesale Club, Inc. 186,800 2,813 Skywest, Inc. 147,586 2,813 Sensient Technologies Corp. 120,998 2,782 * Hercules, Inc. 279,336 2,765 Trizec Properties, Inc. REIT 242,139 2,753 Cousins Properties, Inc. REIT 98,275 2,742 * The Neiman Marcus Group, Inc. Class A 74,829 2,739 Corn Products International, Inc. 91,195 2,739 Airborne, Inc. 130,399 2,725 Community First Bankshares, Inc. 98,799 2,697 IDACORP, Inc. 101,900 2,675 Citizens Banking Corp. 99,549 2,665 Massey Energy Co. 202,516 2,663 Chittenden Corp. 97,299 2,661 Alexander & Baldwin, Inc. 100,298 2,661 Taubman Co. REIT 138,300 2,650 * Continental Airlines, Inc. Class B 177,000 2,650 Minerals Technologies, Inc. 53,898 2,623 The Timken Co. 149,675 2,621 The Toro Co. 65,799 2,616 Bob Evans Farms, Inc. 94,398 2,608 * Toll Brothers, Inc. 91,299 2,585 New Jersey Resources Corp. 72,799 2,584 Standard Pacific Corp. 77,867 2,582 Commercial Federal Corp. 121,588 2,578 Greater Bay Bancorp 125,400 2,576 * Allmerica Financial Corp. 142,419 2,562 Home Properties of New York, Inc. REIT 72,100 2,541 Reckson Associates Realty Corp. REIT 121,300 2,530 Staten Island Bancorp, Inc. 129,492 2,523 Nationwide Health Properties, Inc. REIT 158,200 2,520 First BanCorp Puerto Rico 91,499 2,512 Albemarle Corp. 89,300 2,498 York International Corp. 106,441 2,491 Dillard's Inc. 184,524 2,486 Energen Corp. 74,355 2,476 Worthington Industries, Inc. 184,499 2,472 Brandywine Realty Trust REIT 100,300 2,469 Black Hills Corp. 80,399 2,468 * Alleghany Corp. 12,865 2,457 * Invitrogen Corp. 63,901 2,452 IndyMac Bancorp, Inc. REIT 96,100 2,443 Ferro Corp. 108,199 2,438 Callaway Golf Co. 182,900 2,418 Olin Corp. 139,999 2,394 Ryland Group, Inc. 34,492 2,394 Visteon Corp. 346,174 2,378 Post Properties, Inc. REIT 89,500 2,372 * Terex Corp. 121,300 2,368 Susquehanna Bancshares, Inc. 101,019 2,359 Hollinger International, Inc. 217,405 2,341 Great Lakes Chemical Corp. 114,600 2,338 * Sirius Satellite Radio, Inc. 1,381,400 2,335 Downey Financial Corp. 56,248 2,323 Delta Air Lines, Inc. 158,019 2,320 Colonial Properties Trust REIT 65,586 2,308 * Sybase, Inc. 165,900 2,308 Alpharma, Inc. Class A 106,044 2,290 Alexandria Real Estate Equities, Inc. REIT 50,900 2,290 * Payless ShoeSource, Inc. 182,798 2,285 * United Rentals, Inc. 164,300 2,282 Federal Signal Corp. 129,399 2,274 43 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Thomas & Betts Corp. 157,300 2,273 * Adaptec, Inc. 288,558 2,245 * Corrections Corp. of America REIT 88,300 2,237 * Gateway, Inc. 611,935 2,234 The Goodyear Tire & Rubber Co. 424,291 2,228 Brookline Bancorp, Inc. 158,900 2,225 Capital Automotive REIT 79,435 2,223 PerkinElmer, Inc. 160,648 2,219 * Southern Union Co. 130,952 2,218 TrustCo Bank NY 199,899 2,215 LandAmerica Financial Group, Inc. 46,549 2,211 Banta Corp. 68,199 2,208 * Jack in the Box Inc. 98,246 2,191 Cleco Corp. 126,319 2,188 Boise Cascade Corp. 91,462 2,186 * Cytec Industries, Inc. 64,598 2,183 Commerce Group, Inc. 60,300 2,183 Kellwood Co. 68,820 2,177 W.P. Carey & Co. LLC 72,370 2,167 The Phoenix Cos., Inc. 239,910 2,166 Crompton Corp. 305,199 2,152 AptarGroup Inc. 59,741 2,151 * Tommy Hilfiger Corp. 232,000 2,144 Hughes Supply, Inc. 60,842 2,111 Wolverine World Wide, Inc. 108,933 2,098 * Dycom Industries, Inc. 128,399 2,093 * American Axle & Manufacturing Holdings, Inc. 87,150 2,083 Impac Mortgage Holdings, Inc. REIT 124,200 2,073 Delphi Financial Group, Inc. 44,262 2,071 * Neurocrine Biosciences, Inc. 41,200 2,058 * Ohio Casualty Corp. 154,799 2,040 Flowers Foods, Inc. 103,119 2,038 Tupperware Corp. 141,599 2,033 Kilroy Realty Corp. REIT 73,907 2,032 * Avnet, Inc. 160,100 2,030 Acuity Brands, Inc. 111,241 2,021 Liberty Corp. 47,400 2,015 The Brink's Co. 138,200 2,014 Provident Financial Group, Inc. 78,499 2,012 MAF Bancorp, Inc. 53,401 1,980 * OfficeMax, Inc. 301,700 1,976 * Kansas City Southern 163,978 1,973 Gables Residential Trust REIT 65,240 1,972 * ProAssurance Corp. 72,900 1,968 USF Corp. 72,846 1,965 Republic Bancorp, Inc. 146,299 1,963 Glimcher Realty Trust REIT 87,500 1,960 * The Titan Corp. 188,600 1,941 CH Energy Group, Inc. 43,124 1,941 Trinity Industries, Inc. 104,599 1,936 * Ralcorp Holdings, Inc. 77,467 1,934 * FMC Corp. 85,198 1,928 People's Bank 66,193 1,919 Owens & Minor, Inc. Holding Co. 85,799 1,918 Reinsurance Group of America, Inc. 59,658 1,915 American Financial Group, Inc. 83,411 1,902 R.L.I. Corp. 57,650 1,897 * MPS Group, Inc. 275,099 1,893 Southwest Gas Corp. 89,042 1,886 Potlatch Corp. 73,199 1,885 Northwest Natural Gas Co. 68,805 1,875 Chateau Communities, Inc. REIT 63,000 1,864 Horace Mann Educators Corp. 115,398 1,861 * Conexant Systems, Inc. 442,400 1,854 * SEACOR SMIT Inc. 50,813 1,854 Municipal Mortgage & Equity, L.L.C 72,492 1,840 * Yellow Corp. 79,399 1,838 Sun Communities, Inc. REIT 46,500 1,827 GATX Corp. 111,600 1,825 Heritage Property Investment Trust REIT 66,800 1,809 Selective Insurance Group 71,791 1,798 Commercial Net Lease Realty REIT 103,200 1,779 The Pep Boys (Manny, Moe & Jack) 131,540 1,777 Manufactured Home Communities, Inc. REIT 50,300 1,766 Otter Tail Corp. 65,200 1,759 First Commonwealth Financial Corp. 134,400 1,742 Brady Corp. Class A 52,099 1,738 Lincoln Electric Holdings, Inc. 85,100 1,737 Avista Corp. 122,583 1,734 ABM Industries Inc. 111,998 1,725 * Hovnanian Enterprises Inc. Class A 29,200 1,721 Senior Housing Properties Trust REIT 125,500 1,702 Granite Construction Co. 88,798 1,701 UniSource Energy Corp. 90,272 1,697 Casey's General Stores, Inc. 120,006 1,697 H.B. Fuller Co. 76,641 1,688 Novastar Financial, Inc. REIT 28,200 1,685 Kaydon Corp. 80,999 1,685 * Six Flags, Inc. 248,400 1,684 * La Quinta Corp. REIT 389,300 1,678 Provident Bankshares Corp. 65,926 1,675 Albany International Corp. 61,024 1,672 * Avaya Inc. 257,906 1,666 44 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Lexington Corporate Properties Trust REIT 93,800 1,660 Lennox International Inc. 128,780 1,657 * El Paso Electric Co. 134,006 1,652 * Boyd Gaming Corp. 95,500 1,648 Blyth, Inc. 60,499 1,646 Redwood Trust, Inc. REIT 41,200 1,644 * Sierra Pacific Resources 276,098 1,640 * Viasys Healthcare Inc. 79,096 1,637 Ametek, Inc. 44,599 1,634 * Ryan's Family Steak Houses, Inc. 116,132 1,626 * Lattice Semiconductor Corp. 195,898 1,612 Millennium Chemicals, Inc. 169,100 1,608 S & T Bancorp, Inc. 57,300 1,572 * Aztar Corp. 96,945 1,562 * Genesis Health Ventures, Inc. 88,300 1,558 * Chiquita Brands International, Inc. 107,200 1,554 USEC Inc. 221,200 1,553 * USG Corp. 81,500 1,549 Georgia Gulf Corp. 78,199 1,548 * BankUnited Financial Corp. 76,822 1,548 Interstate Bakeries Corp. 121,099 1,538 NBT Bancorp, Inc. 79,200 1,533 * First Federal Financial Corp. 43,413 1,532 * Novell, Inc. 496,700 1,530 Cambrex Corp. 66,366 1,528 Chemical Financial Corp. 51,200 1,526 * US Oncology, Inc. 205,142 1,516 Waypoint Financial Corp. 83,992 1,515 * Charming Shoppes, Inc. 304,700 1,514 Nordson Corp. 63,399 1,512 Baldor Electric Co. 73,399 1,512 UIL Holdings Corp. 37,177 1,508 Summit Properties, Inc. REIT 72,900 1,505 Reliance Steel & Aluminum Co. 72,531 1,501 Landry's Restaurants, Inc. 63,578 1,500 Pacific Northwest Bancorp 43,000 1,495 * CSK Auto Corp. 103,200 1,491 Tecumseh Products Co. Class A 38,898 1,490 * Enterasys Networks, Inc. 491,800 1,490 National Penn Bancshares Inc. 52,800 1,483 * Hutchinson Technology, Inc. 44,881 1,476 R & G Financial Corp. Class B 49,700 1,476 First Niagara Financial Group, Inc. 105,400 1,471 Ruddick Corp. 93,599 1,471 * Atlantic Coast Airlines Holdings Inc. 108,920 1,469 * Alaska Air Group, Inc. 68,099 1,461 Vintage Petroleum, Inc. 129,417 1,460 BankAtlantic Bancorp, Inc. Class A 122,100 1,452 Florida East Coast Industries, Inc. Class A 56,800 1,451 * Province Healthcare Co. 130,607 1,446 CONSOL Energy, Inc. 63,450 1,443 Arkansas Best Corp. 60,499 1,439 * Arch Capital Group Ltd. 41,300 1,434 First Citizens BancShares Class A 14,200 1,432 MFA Mortgage Investments, Inc. REIT 142,600 1,432 F & M Bancorp 29,000 1,430 * Sierra Health Services, Inc. 71,199 1,424 The Manitowoc Co., Inc. 63,799 1,423 Spartech Corp. 66,835 1,418 MGE Energy, Inc. 44,800 1,411 Modine Manufacturing Co. 72,599 1,406 Wausau-Mosinee Paper Corp. 125,399 1,404 First Charter Corp. 80,600 1,402 A.O. Smith Corp. 49,710 1,399 Amcore Financial, Inc. 59,900 1,394 Equity One, Inc. REIT 84,800 1,391 * Iomega Corp. 131,100 1,390 RAIT Investment Trust REIT 52,300 1,386 UMB Financial Corp. 32,500 1,378 Hancock Holding Co. 29,100 1,369 * Keane, Inc. 99,898 1,362 First Financial Bancorp 85,000 1,360 LNR Property Corp. 36,300 1,358 Glenborough Realty Trust, Inc. REIT 70,462 1,349 Seacoast Financial Services Corp. 67,930 1,345 * Andrew Corp. 146,031 1,343 Texas Industries, Inc. 56,434 1,343 Pennsylvania REIT 44,700 1,339 PS Business Parks, Inc. REIT 37,800 1,334 Anchor Bancorp Wisconsin Inc. 55,662 1,330 MB Financial, Inc. 33,200 1,329 * Stone Energy Corp. 31,707 1,329 * Saxon Capital Inc. 76,300 1,326 * Jones Lang Lasalle Inc. 83,700 1,322 Empire District Electric Co. 60,800 1,322 Harbor Florida Bancshares, Inc. 54,800 1,313 Anthracite Capital Inc. REIT 108,100 1,304 * Benchmark Electronics, Inc. 42,253 1,300 Anworth Mortgage Asset Corp. REIT 84,200 1,298 The Laclede Group, Inc. 48,334 1,295 Longs Drug Stores, Inc. 77,899 1,293 Regal-Beloit Corp. 67,617 1,291 Quanex Corp. 43,423 1,291 Alabama National BanCorporation 26,500 1,285 A. Schulman Inc. 79,614 1,279 * Valassis Communications, Inc. 49,600 1,276 * Griffon Corp. 79,561 1,273 United National Bancorp 46,100 1,272 * Imagistics International Inc. 49,068 1,266 45 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * UICI 83,950 1,265 Aquila, Inc. 489,700 1,263 Flagstar Bancorp, Inc. 51,501 1,259 Imation Corp. 33,200 1,256 Community Bank System, Inc. 33,000 1,254 * Stewart Information Services Corp. 45,012 1,254 * Checkpoint Systems, Inc. 88,190 1,248 Corporate Office Properties Trust, Inc. R 73,500 1,244 City Holding Co. 42,500 1,244 Sandy Spring Bancorp, Inc. 39,359 1,244 * Hain Celestial Group, Inc. 77,469 1,239 EastGroup Properties, Inc. REIT 45,800 1,237 Alfa Corp. 96,600 1,228 * Shaw Group, Inc. 101,821 1,227 * Dollar Thrifty Automotive Group, Inc. 66,000 1,224 Mid-America Apartment Communities, Inc. REIT 45,300 1,224 Glacier Bancorp, Inc. 49,439 1,217 South Jersey Industries, Inc. 32,800 1,209 Frontier Financial Corp. 42,400 1,205 WD-40 Co. 42,099 1,202 National Health Investors REIT 64,900 1,197 Mid-State Bancshares 60,300 1,191 Entertainment Properties Trust REIT 41,400 1,190 Cabot Oil & Gas Corp. 42,999 1,187 Westbanco Inc. 48,800 1,186 * Triumph Group, Inc. 41,981 1,183 Ethan Allen Interiors, Inc. 33,613 1,182 Rock-Tenn Co. 69,316 1,175 * OMI Corp. 189,600 1,168 * Gaylord Entertainment Co. Class A 59,500 1,164 Commercial Metals Co. 65,177 1,159 * Stewart Enterprises, Inc. Class A 269,300 1,158 Irwin Financial Corp. 44,590 1,155 * Moog Inc. 33,200 1,154 Allegheny Technologies Inc. 174,482 1,152 * Sola International Inc. 65,923 1,147 Russell Corp. 60,230 1,144 * Genlyte Group, Inc. 32,700 1,144 * Veridian Corp. 32,700 1,141 * Perot Systems Corp. 99,552 1,131 Bedford Property Investors, Inc. REIT 39,800 1,130 * Amkor Technology, Inc. 85,876 1,128 Parkway Properties Inc. REIT 26,800 1,127 Kelly Services, Inc. Class A 47,799 1,121 * NCO Group, Inc. 62,414 1,118 Thomas Industries, Inc. 41,251 1,116 Independent Bank Corp. (MI) 43,400 1,115 Lone Star Steakhouse & Saloon, Inc. 51,158 1,114 Odyssey Re Holdings Corp. 52,700 1,112 OM Group, Inc. 75,383 1,110 American States Water Co. 40,585 1,108 Russ Berrie and Co., Inc. 30,138 1,100 Corus Bankshares Inc. 22,700 1,099 * Handleman Co. 68,700 1,099 Woodward Governor Co. 25,460 1,095 * Ciber, Inc. 155,527 1,092 Belden, Inc. 68,613 1,090 Arch Chemicals, Inc. 57,006 1,089 * Parametric Technology Corp. 355,100 1,083 Steelcase Inc. 92,096 1,083 * International Multifoods Corp. 46,886 1,074 ElkCorp 47,626 1,072 * Jacuzzi Brands, Inc. 202,200 1,070 The Stride Rite Corp. 107,121 1,067 * Central Garden and Pet Co. 44,500 1,061 * American Management Systems, Inc. 74,290 1,061 * TierOne Corp. 54,363 1,058 New England Business Service, Inc. 34,899 1,047 PolyOne Corp. 234,907 1,045 Bandag, Inc. 28,018 1,044 * NetIQ Corp. 67,500 1,044 * Nautica Enterprises, Inc. 81,139 1,041 * Orthodontic Centers of America, Inc. 129,860 1,040 First Merchants Corp. 42,722 1,039 First Financial Bankshares, Inc. 31,000 1,037 Glatfelter 70,099 1,034 * TBC Corp. 54,156 1,032 California Water Service Group 36,600 1,029 AMLI Residential Properties Trust REIT 43,700 1,029 * Helen of Troy Ltd. 67,805 1,028 * Veritas DGC Inc. 89,185 1,026 Methode Electronics, Inc. Class A 95,300 1,024 Cornerstone Realty Income Trust, Inc. REIT 140,000 1,023 Jefferies Group, Inc. 20,470 1,019 Keystone Property Trust REIT 55,000 1,018 * ShopKo Stores, Inc. 78,220 1,017 Airgas, Inc. 60,600 1,015 * Ionics, Inc. 45,242 1,012 * SOURCECORP, Inc. 46,788 1,011 * Stage Stores, Inc. 43,000 1,011 Central Pacific Financial Co. 36,400 1,008 Longview Fibre Co. 122,899 1,008 Texas Genco Holdings, Inc. 43,028 1,000 Gold Banc Corp., Inc. 94,900 997 46 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Datascope Corp. 33,538 996 Sovran Self Storage, Inc. REIT 31,600 995 * AK Steel Corp. 273,900 991 * Atmel Corp. 391,900 991 Landauer, Inc. 23,500 983 IMC Global Inc. 146,200 981 * Global Industries Ltd. 203,500 981 * Beverly Enterprises, Inc. 280,200 981 Koger Equity, Inc. REIT 56,900 980 * Esterline Technologies Corp. 55,858 972 * Bay View Capital Corp. 168,200 972 First Sentinel Bancorp Inc. 60,800 971 * Accredo Health, Inc. 44,500 970 Unizan Financial Corp. 55,100 968 * Pegasus Solutions Inc. 59,508 967 Schweitzer-Mauduit International, Inc. 39,990 965 * ESCO Technologies Inc. 21,933 965 Kimball International, Inc. Class B 61,700 963 * Actuant Corp. 20,300 961 Getty Realty Holding Corp. REIT 43,000 960 Mid Atlantic Realty Trust REIT 45,800 959 Wellman, Inc. 85,121 953 Oriental Financial Group Inc. 37,100 953 Roto-Rooter, Inc. 24,849 949 * Ocular Sciences, Inc. 47,700 947 * Universal Compression Holdings, Inc. 45,200 943 * Steak n Shake Co. 61,827 943 First Financial Holdings, Inc. 34,800 941 Cato Corp. Class A 44,318 934 * First Republic Bank 35,082 933 * URS Corp. 47,946 933 FelCor Lodging Trust, Inc. REIT 117,800 925 Tredegar Corp. 61,671 924 First Essex Bancorp, Inc. 19,600 924 Applied Industrial Technology, Inc. 43,642 921 New Century Financial Corp. 21,069 920 Perrigo Co. 58,500 915 Nu Skin Enterprises, Inc. 87,500 914 MCG Capital Corp. 62,700 909 Town & Country Trust REIT 39,100 909 Watts Industries Class A 50,900 909 Ramco-Gershenson Properties Trust REIT 38,892 906 Walter Industries, Inc. 77,100 906 Watsco, Inc. 54,539 903 Barnes Group, Inc. 41,110 895 Kramont Realty Trust REIT 54,000 891 RFS Hotel Investors, Inc. REIT 72,300 891 First Federal Capital Corp. 44,800 889 Roadway Corp. 31,099 887 * Orbital Sciences Corp. 121,400 886 * Gardner Denver Inc. 43,262 885 Pulitzer, Inc. 17,900 885 * JAKKS Pacific, Inc. 66,357 882 * Range Resources Corp. 140,500 881 GenCorp, Inc. 99,062 881 Net.Bank, Inc. 66,500 875 * CDI Corp. 33,614 873 Investors Real Estate Trust REIT 80,800 872 * Trammell Crow Co. 82,000 870 Cash America International Inc. 65,716 869 West Pharmaceutical Services, Inc. 35,400 867 Dimon Inc. 120,968 866 * Safeguard Scientifics, Inc. 319,100 862 Chesapeake Corp. of Virginia 39,257 858 Mine Safety Appliances Co. 19,600 855 Burlington Coat Factory Warehouse Corp. 47,651 853 Fidelity Bankshares, Inc. 38,200 852 MacDermid, Inc. 32,299 849 * Transaction Systems Architects, Inc. 94,799 849 Berry Petroleum Class A 47,300 849 * The Sports Authority, Inc. 79,300 849 * Unifi, Inc. 136,699 848 Gray Television, Inc. 68,013 843 Curtiss-Wright Corp. 13,340 843 * Pediatrix Medical Group, Inc. 23,565 840 Sterling Bancorp 30,050 838 Florida Rock Industries, Inc. 20,299 838 Phillips-Van Heusen Corp. 61,066 832 Harleysville Group, Inc. 36,000 829 LaSalle Hotel Properties REIT 55,700 823 * JDA Software Group, Inc. 73,507 823 Riggs National Corp. 53,500 814 * Boca Resorts, Inc. Class A 62,500 813 * SPS Technologies, Inc. 29,753 805 Tanger Factory Outlet Centers, Inc. REIT 24,300 804 Zenith National Insurance Corp. 28,162 803 Universal Health Realty Income REIT 29,700 802 * Swift Energy Co. 72,734 800 * WCI Communities, Inc. 41,600 800 The Marcus Corp. 53,305 797 * NCI Building Systems, Inc. 47,600 795 First Community Bancshares, Inc. 22,500 794 Carpenter Technology Corp. 50,798 792 * Steel Dynamics, Inc. 57,842 792 SWS Group, Inc. 39,257 791 Weis Markets, Inc. 25,500 791 47 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Centex Construction Products, Inc. 19,700 790 MTS Systems Corp. 53,500 789 Independent Bank Corp. (MA) 34,900 788 United Community Financial Corp. 84,800 784 Presidential Life Corp. 55,448 782 JLG Industries, Inc. 114,834 781 Crown American Realty Trust REIT 72,700 781 * Quanta Services, Inc. 109,699 779 * Systems & Computer Technology Corp. 86,384 777 First Financial Corp. (IN) 14,600 772 * Tesoro Petroleum Corp. 112,200 772 Haverty Furniture Cos., Inc. 44,083 771 * Applied Films Corp. 29,800 771 * Prime Hospitality Corp. 114,899 771 * Bally Total Fitness Holding Corp. 85,158 769 Westcorp, Inc. 27,300 764 Texas Regional Bancshares, Inc. 22,000 763 Washington Trust Bancorp, Inc. 33,200 763 * Nuevo Energy Co. 43,613 761 * Newport Corp. 51,399 761 Libbey, Inc. 33,399 758 * Corvis Corp. 501,225 752 Stewart & Stevenson Services, Inc. 47,599 750 * CKE Restaurants Inc. 133,700 747 IBERIABANK Corp. 15,300 747 Equity Inns, Inc. REIT 108,200 747 * K2 Inc. 60,886 746 West Coast Bancorp 40,900 744 * Savient Pharmaceuticals Inc. 158,885 737 PMA Capital Corp. Class A 58,600 737 * Knight Trading Group, Inc. 118,200 735 * Consolidated Graphics, Inc. 32,124 735 Community Trust Bancorp Inc. 28,000 732 NACCO Industries, Inc. Class A 12,400 731 * Hanover Compressor Co. 64,499 729 Allegiant Bancorp, Inc. 35,900 727 The Trust Co. of New Jersey 23,900 724 Tennant Co. 19,600 720 * Parker Drilling Co. 247,500 720 * School Specialty, Inc. 25,235 718 Gibraltar Steel 34,963 716 * Incyte Corp. 154,298 716 Integra Bank Corp. 41,501 714 * Credence Systems Corp. 84,298 714 * Fleetwood Enterprises, Inc. 95,975 710 Oxford Industries, Inc. 16,996 706 State Auto Financial Corp. 31,300 703 * Hologic, Inc. 53,181 701 Ameron International Corp. 20,100 699 Capitol Bancorp Ltd. 25,700 696 * SonicWALL, Inc. 144,000 691 * Finish Line, Inc. 30,900 686 Port Financial Corp. 12,700 684 Kaman Corp. Class A 58,427 683 * Orient-Express Hotel Ltd. 46,294 683 Simmons First National Corp. 34,100 682 Prosperity Bancshares, Inc. 35,400 681 Innkeepers USA Trust REIT 100,200 681 * Kadant Inc. 36,200 679 Umpqua Holdings Corp. 35,600 676 NUI Corp. 43,536 676 * Century Business Services, Inc. 207,500 674 * Kindred Healthcare, Inc. 37,800 674 Great Lakes, Inc. REIT 42,000 672 McGrath Rent Corp. 25,100 671 United Fire & Casualty Co. 20,600 669 Greif Inc. Class A 29,000 667 U.S. Restaurant Properties, Inc. REIT 42,400 666 Hudson River Bancorp. Inc. 23,800 664 Omega Financial Corp. 19,400 663 Overseas Shipholding Group Inc. 29,998 660 * Input/Output, Inc. 122,416 659 * Arris Group Inc. 132,300 656 * Remec, Inc. 94,000 654 Community Banks, Inc. 21,900 651 * Robert Mondavi Corp. Class A 25,700 650 CIRCOR International, Inc. 36,400 649 Wabtec Corp. 46,500 647 Universal Forest Products, Inc. 30,692 643 * Houston Exploration Co. 18,500 642 * National Western Life Insurance Co. Class 5,800 640 Columbia Banking System, Inc. 35,700 639 Capital City Bank Group, Inc. 17,625 638 Urstadt Biddle Properties Class A REIT 49,600 638 Flushing Financial Corp. 28,700 636 OceanFirst Financial Corp. 26,000 635 Ennis Business Forms, Inc. 43,500 633 * ITLA Capital Corp. 15,500 627 * Core Laboratories NV 57,850 625 Firstfed America Bancorp, Inc. 18,100 624 Analogic Corp. 12,779 623 * Stillwater Mining Co. 121,115 623 St. Francis Capital Corp. 21,400 622 Saul Centers, Inc. REIT 24,300 622 * Quantum Corp. 153,500 622 * Insignia Financial Group, Inc. 55,900 621 Tompkins Trustco, Inc. 13,900 621 * Hanger Orthopedic Group, Inc. 54,100 619 MeriStar Hospitality Corp. REIT 120,400 619 48 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Grey Global Group Inc. 801 619 First Busey Corp. 25,500 618 Central Vermont Public Service Corp. 31,394 614 * Electro Rent Corp. 56,755 612 * RTI International Metals, Inc. 56,476 612 * Power-One, Inc. 85,499 611 * MGI Pharma, Inc. 23,800 610 Solutia, Inc. 279,800 610 * Harvest Natural Resources, Inc. 94,900 605 * Inverness Medical Innovations, Inc. 31,300 604 Arrow Financial Corp. 18,000 601 * Caraustar Industries, Inc. 74,862 600 * Sunrise Senior Living, Inc. 26,662 597 BSB Bancorp, Inc. 24,000 596 Central Parking Corp. 48,105 595 Quaker Chemical Corp. 23,699 594 Peoples Holding Co. 13,400 593 Schnitzer Steel Industries, Inc. Class A 13,400 591 * Silgan Holdings, Inc. 18,900 591 * Lithia Motors, Inc. 36,300 587 * Microsemi Corp. 36,563 585 * Herley Industries Inc. 34,400 584 Movado Group, Inc. 26,800 583 Valmont Industries, Inc. 29,799 580 First Source Corp. 31,200 579 * Mediacom Communications Corp. 58,600 578 Bank of Granite Corp. 33,700 575 Myers Industries, Inc. 60,472 574 * Buckeye Technology, Inc. 84,402 574 Standex International Corp. 27,311 574 Second Bancorp, Inc. 22,200 573 First Indiana Corp. 33,400 572 * Gentiva Health Services, Inc. 63,500 572 * Transkaryotic Therapies, Inc. 49,500 571 The Standard Register Co. 34,636 571 Skyline Corp. 18,998 570 Apogee Enterprises, Inc. 63,063 569 Sea Containers Ltd. Class A 49,823 567 Robbins & Myers, Inc. 30,595 566 Peoples Bancorp, Inc. 22,300 564 Cascade Natural Gas Corp. 29,387 561 CityBank Lynnwood WA 20,700 560 Union Bankshares Corp. 19,800 560 * Tower Automotive, Inc. 152,291 557 Banner Corp. 27,200 557 Midwest Banc Holdings, Inc. 28,600 555 * Insight Enterprises, Inc. 55,119 554 * Spherion Corp. 79,412 552 Bowne & Co., Inc. 42,357 552 First Bancorp (NC) 21,300 552 * MICROS Systems, Inc. 16,699 551 G & K Services, Inc. Class A 18,499 548 PolyMedica Corp. 11,958 548 Sturm, Ruger & Co., Inc. 54,106 541 Calgon Carbon Corp. 93,400 537 Cohu, Inc. 34,310 535 Argonaut Group, Inc. 43,300 534 * Westell Technologies, Inc. 61,400 531 Mission West Properties Inc. REIT 46,600 530 Financial Institutions, Inc. 22,500 529 First Place Financial Corp. 30,500 528 Midland Co. 23,745 527 Action Performance Cos., Inc. 27,709 526 Connecticut Water Services, Inc. 20,600 526 * Brooks Automation, Inc. 46,242 524 North Pittsburgh Systems, Inc. 34,713 523 PFF Bancorp, Inc. 13,500 522 UniFirst Corp. 23,800 521 * PSS World Medical, Inc. 90,600 521 Building Materials Holding Corp. 34,967 518 CSS Industries, Inc. 13,400 517 Seacoast Banking Corp. of Florida 29,900 509 CT Communications, Inc. 47,300 508 CCBT Financial Cos. Inc. 21,210 507 * Hudson Highland Group, Inc. 26,650 507 * InFocus Corp. 105,198 497 Farmers Capital Bank Corp. 15,500 495 Great Southern Bancorp, Inc. 12,800 493 * Ocwen Financial Corp. 108,000 490 * Time Warner Telecom Inc. 76,600 488 * Stoneridge, Inc. 35,700 487 SJW Corp. 5,700 486 * MRO Software Inc. 56,299 486 WSFS Financial Corp. 12,600 484 * UNOVA, Inc. 43,500 483 * Cleveland-Cliffs Inc. 27,031 483 First National Corp. 19,400 478 Brookfield Homes Corp. 30,700 473 NBC Capital Corp. 18,600 471 * Meritage Corp. 9,500 468 Riviana Foods, Inc. 17,200 463 * Tweeter Home Entertainment Group, Inc 53,300 463 Helix Technology Corp. 34,699 459 Dime Community Bancshares 17,999 458 * Stratex Networks, Inc. 142,700 457 Coachmen Industries, Inc. 38,211 457 * Littelfuse, Inc. 20,400 456 Baldwin & Lyons, Inc. Class B 19,100 454 * TransMontaigne Inc. 69,980 453 United Industrial Corp. 27,800 453 Blair Corp. 20,400 453 49 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Interface, Inc. 97,469 452 CTS Corp. 43,236 452 CNA Surety Corp. 45,600 449 Holly Corp. 16,200 447 * Cirrus Logic 111,200 447 * SPSS, Inc. 26,687 447 LSI Industries Inc. 40,100 445 * Serologicals Corp. 32,500 443 Milacron Inc. 90,394 442 * Navigant International, Inc. 34,200 441 Deltic Timber Corp. 15,505 441 HEICO Corp. 35,900 438 Gorman-Rupp Co. 18,200 437 Apex Mortgage Capital, Inc. REIT 79,800 436 Capital Southwest Corp. 7,600 436 Lance, Inc. 47,491 434 Scottish Annuity & Life Holdings, Ltd. 21,427 433 * Cole National Corp. Class A 34,500 432 Newcastle Investment Corp. REIT 22,050 432 Bel Fuse, Inc. Class B 18,819 431 Harleysville National Corp. 15,900 430 * AMC Entertainment, Inc. 37,600 430 NL Industries, Inc. 25,300 430 * Alexion Pharmaceuticals, Inc. 25,000 426 Pennfed Financial Services, Inc. 15,300 425 Bank Mutual Corp. 13,000 423 * RailAmerica, Inc. 49,700 420 Interpool, Inc. 25,540 419 * Dura Automotive Systems, Inc. 43,800 414 Advanta Corp. Class A 42,100 414 German American Bancorp 23,600 412 BancFirst Corp. 7,900 410 * Regeneron Pharmaceuticals, Inc. 25,999 409 * PTEK Holdings, Inc. 84,200 408 CFS Bancorp, Inc. 28,900 407 * Omnova Solutions Inc. 100,600 406 First Oak Brook Bancshares, Inc. 12,300 406 * Aftermarket Technology Corp. 38,600 406 * The Great Atlantic & Pacific Tea Co., Inc. 46,089 406 * Mastec Inc. 70,200 404 * Universal American Financial Corp. 63,300 403 Pioneer Standard Electronics Inc. 47,455 402 National Presto Industries, Inc. 12,680 401 * RC2 Corp. 23,500 400 Citizens 1st Bancorp, Inc. 18,300 400 * Duane Reade Inc. 27,045 399 * Atwood Oceanics, Inc. 14,645 398 * Credit Acceptance Corp. 39,400 398 * LTX Corp. 46,000 397 Republic Bancshares, Inc. 15,800 395 Aaron Rents, Inc. Class B 15,178 392 Angelica Corp. 23,120 392 * Tanox, Inc. 24,400 392 Max Re Capital Ltd. 26,100 391 * InterCept, Inc. 46,600 390 * Tenneco Automotive, Inc. 106,800 384 * Fisher Communications, Inc. 7,800 381 Franklin Electric, Inc. 6,800 378 * Tier Technologies, Inc. 48,300 374 * Clark, Inc. 31,300 374 * McLeod USA Inc. 247,500 374 PXRE Group Ltd. 18,840 373 Stepan Co. 16,400 371 Pope & Talbot, Inc. 33,283 368 * Champion Enterprises, Inc. 70,799 367 * Vail Resorts Inc. 27,000 364 * Plains Resources Inc. 25,699 364 * Wackenhut Corrections Corp. 26,400 362 Sanderson Farms, Inc. 12,700 357 * Local Financial Corp. 24,600 355 Republic Bancorp, Inc. Class A 23,942 355 * Vicor Corp. 36,956 355 * Mindspeed Technologies, Inc. 147,466 354 The Nautilus Group, Inc. 28,499 353 * ChipPAC, Inc. 45,900 352 Lakeland Bancorp, Inc. 21,900 350 World Fuel Services Corp. 14,200 349 * Insurance Auto Auctions, Inc. 27,727 348 * Teledyne Technologies, Inc. 26,399 346 Camden National Corp. 12,400 341 Reckson Associates Realty Corp. Class B REIT 15,940 340 Churchill Downs, Inc. 8,853 339 Capstead Mortgage Corp. REIT 29,900 337 * Mesa Air Group Inc. 42,011 336 * PAREXEL International Corp. 23,604 329 * MarineMax, Inc. 23,500 329 * Sapient Corp. 118,100 327 * The Topps Co., Inc. 37,700 324 * Infonet Services Corp. 203,000 323 * Asbury Automotive Group, Inc. 23,550 317 * General Communication, Inc. 36,507 316 * Graphic Packaging International Corp. 69,955 315 Standard Commercial Tobacco Co. 18,400 313 * United Auto Group, Inc. 14,200 309 * Hawthorne Financial Corp. 8,900 308 Material Sciences Corp. 31,679 307 * CompuCom Systems, Inc. 67,900 307 * Volt Information Sciences Inc. 22,441 306 * Lydall, Inc. 27,993 300 * Playtex Products, Inc. 46,500 299 50 - -------------------------------------------------------------------------------- MARKET SMALL-CAP VALUE VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Stein Mart, Inc. 49,029 294 Vital Signs, Inc. 11,241 292 GBC Bancorp 7,518 289 Pilgrim's Pride Corp. 29,500 285 Oneida Ltd. 41,600 281 * New Focus, Inc. 75,000 281 Kaneb Services LLC 9,327 272 * Cross Country Healthcare, Inc. 20,200 266 * Navigators Group, Inc. 8,900 265 * WFS Financial, Inc. 7,900 265 * FuelCell Energy, Inc. 32,200 264 Coca-Cola Bottling Co. 4,800 262 Dover Downs Gaming & Entertainment, Inc. 27,900 258 Ingles Markets, Inc. 25,500 258 Royal Bancshares of Pennsylvania, Inc. 12,000 256 * DuPont Photomasks, Inc. 13,452 253 Deb Shops, Inc. 13,100 246 * General Maritime Corp. 24,200 246 * Playboy Enterprises, Inc. Class B 18,000 245 * Genesee & Wyoming Inc. Class A 11,900 245 * Powell Industries, Inc. 16,700 244 * Cell Therapeutics, Inc. 25,100 244 * NetRatings, Inc. 26,400 241 * Teletech Holdings Inc. 56,600 239 * Inveresk Research Group Inc. 13,200 239 Lindsay Manufacturing Co. 10,199 237 Old Second Bancorp, Inc. 5,500 236 * FreeMarkets, Inc. 32,600 227 * Transmeta Corp. 141,700 227 * Sequa Corp. Class A 6,499 223 * Wesco International, Inc. 37,000 222 * Tejon Ranch Co. 7,340 221 * Impath, Inc. 15,167 214 * Pericom Semiconductor Corp. 22,748 212 Courier Corp. 4,100 211 * iGATE Corp. 60,400 210 * Lexicon Genetics Inc. 31,100 209 * Neoforma, Inc. 19,000 207 Florida East Coast Industries, Inc. Class B 8,300 207 * Mobile Mini, Inc. 12,609 206 * Alloy, Inc. 30,700 198 * Ultimate Electronics, Inc. 15,428 198 * Adolor Corp. 15,900 195 * Audiovox Corp. 17,343 194 * Collins & Aikman Corp. 65,500 193 * OSI Systems Inc. 11,900 191 * Digitas Inc. 37,400 186 * Crown Media Holdings, Inc. 44,831 185 * Avatar Holding, Inc. 6,090 184 Acadia Realty Trust REIT 19,700 180 * CompuCredit Corp. 14,700 179 * Opsware, Inc. 44,336 178 * The TriZetto Group, Inc. 29,400 178 Troy Financial Corp. 6,500 176 * Strattec Security Corp. 3,300 176 * Jo-Ann Stores, Inc. Class B 7,900 175 * Zymogenetics, Inc. 15,000 175 Advanta Corp. Class B 16,600 167 * On Assignment, Inc. 41,090 164 * Terayon Communications Systems, Inc. 56,800 155 * FalconStor Software, Inc. 22,900 153 World Wrestling Entertainment, Inc. 14,300 147 Hanmi Financial Corp. 7,600 133 * Gulf Island Fabrication, Inc. 7,600 129 Urstadt Biddle Properties REIT 9,300 124 * Dril-Quip, Inc. 6,477 118 Pilgrim's Pride Corp. Class A 15,800 113 Crawford & Co. Class B 22,600 111 Tecumseh Products Co. Class B 2,900 107 * General Binding Corp. 8,000 96 Bandag, Inc. Class A 2,500 88 * Restoration Hardware, Inc. 19,300 87 * Pegasystems Inc. 9,500 70 * Raytech Corp. 14,200 60 * ICT Group, Inc. 5,700 60 HEICO Corp. Class A 3,800 34 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $1,282,602) 1,349,751 - -------------------------------------------------------------------------------- 51 ================================================================================ FACE MARKET SMALL-CAP VALUE AMOUNT VALUE* INDEX FUND (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.9%) - -------------------------------------------------------------------------------- Federal National Mortgage Assn. 1.17%, 7/16/2003 $ 2,000 1,999 1.14%, 7/30/2003 1,500 1,499 Repurchase Agreement Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003--Note E 50,206 50,206 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $53,704) 53,704 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.9%) (Cost $1,336,306) 1,403,455 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.9%) - -------------------------------------------------------------------------------- Other Assets--Note B 6,470 Security Lending Collateral Payable to Brokers--Note E (50,206) Other Liabilities (9,406) -------------- (53,142) -------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $1,350,313 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $1,647,311 Undistributed Net Investment Income 9,974 Accumulated Net Realized Losses (374,121) Unrealized Appreciation 67,149 - -------------------------------------------------------------------------------- NET ASSETS $1,350,313 ================================================================================ Investor Shares--Net Assets Applicable to 135,392,618 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $1,267,676 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $9.36 ================================================================================ Institutional Shares--Net Assets Applicable to 8,814,423 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $82,637 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $9.38 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 52 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 -------------------------------------------- SIX MONTHS ENDED JUNE 30, 2003 -------------------------------------------- (000) (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 25,117 $ 1,136 $ 11,525 Interest 301 12 35 Security Lending 1,606 108 205 Total Income 27,024 1,256 11,765 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 112 75 75 Management and Administrative Investor Shares 3,621 434 1,258 Admiral Shares 490 -- -- Institutional Shares 253 8 43 Marketing and Distribution Investor Shares 222 29 97 Admiral Shares 46 -- -- Institutional Shares 63 10 30 Custodian Fees 59 19 91 Shareholders' Reports Investor Shares 112 18 48 Admiral Shares 1 -- -- Institutional Shares -- -- -- Trustees' Fees and Expenses 3 -- 1 Total Expenses 4,982 593 1,643 NET INVESTMENT INCOME 22,042 663 10,122 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (915,260) 26,360 (204,667) Futures Contracts 12,574 476 1,361 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (902,686) 26,836 (203,306) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 1,590,984 36,785 300,903 Futures Contracts (293) -- -- - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 1,590,691 36,785 300,903 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 710,047 $64,284 $107,719 ================================================================================ 53 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. - -------------------------------------------------------------------------------- SMALL-CAP SMALL-CAP GROWTH INDEX FUND INDEX FUND ------------------------------ ----------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED JUNE 30, 2003 DEC. 31, 2002 JUNE 30, 2003 DEC. 31, 2002 (000) (000) (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 22,042 $ 52,047 $ 663 $ 1,422 Realized NetGain(Loss)(902,686) (98,958) 26,836 (51,171) Change in Unrealized Appreciation (Depreciation) 1,590,691 (989,851) 36,785 (41,084) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 710,047 (1,036,762) 64,284 (90,833) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares -- (35,750) -- (1,051) Admiral Shares -- (7,673) -- -- Institutional Shares -- (8,974) -- (460) Realized Capital Gain Investor Shares -- -- -- -- Admiral Shares -- -- -- -- Institutional Shares -- -- -- -- Total Distributions -- (52,397) -- (1,511) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Investor Shares 79,073 194,844 54,162 98,555 Admiral Shares 56,548 187,727 -- -- Institutional Shares (1,854) 249,580 (84,001) 19,034 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 133,767 632,151 (29,839) 117,589 - -------------------------------------------------------------------------------- Total Increase (Decrease) 843,814 (457,008) 34,445 25,245 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 4,219,145 4,676,153 491,536 466,291 - -------------------------------------------------------------------------------- End of Period $5,062,959 $4,219,145 $525,981 $491,536 ================================================================================ 54 - -------------------------------------------------------------------------------- SMALL-CAP VALUE INDEX FUND --------------------------------- SIX MONTHS YEAR ENDED ENDED JUNE 30, 2003 DEC. 31, 2002 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 10,122 $ 16,319 Realized Net Gain (Loss) (203,306) (157,642) Change in Unrealized Appreciation (Depreciation) 300,903 (249,915) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 107,719 (391,238) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares -- (12,346) Institutional Shares -- (4,083) Realized Capital Gain* Investor Shares -- (26,299) Institutional Shares -- (11,401) - -------------------------------------------------------------------------------- Total Distributions -- (54,129) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Investor Shares (19,712) 713,241 Institutional Shares (252,189) 118,815 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (271,901) 832,056 - -------------------------------------------------------------------------------- Total Increase (Decrease) (164,182) 386,689 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 1,514,495 1,127,806 - -------------------------------------------------------------------------------- End of Period $1,350,313 $1,514,495 ================================================================================ *Includes fiscal 2002 short-term gain distributions totaling $26,363,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 55 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year. SMALL-CAP INDEX FUND INVESTOR SHARES
================================================================================================================= YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING SIX MONTHS ENDED ---------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998 - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $23.60 $21.20 $23.75 - ----------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .08 .192 .217 .270 .256 .311 Net Realized and Unrealized Gain (Loss) on Investments 2.53 (4.160) .388 (1.145) 4.491 (1.007) - ----------------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.61 (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 $18.27 $15.66 $19.82 $19.44 $23.60 $21.20 ================================================================================================================= TOTAL RETURN* 16.67% -20.02% 3.10% -2.67% 23.13% -2.61% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $3,516 $2,943 $3,545 $3,577 $3,553 $2,768 Ratio of Total Expenses to Average Net Assets 0.27%** 0.27% 0.27% 0.27% 0.25% 0.24% Ratio of Net Investment Income to Average Net Assets 0.98%** 1.11% 1.16% 1.17% 1.25% 1.39% Portfolio Turnover Rate 43%+ 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. **Annualized. +Annualized; includes activity related to a change in the fund's target index. 56 SMALL-CAP INDEX FUND ADMIRAL SHARES
===================================================================================================== YEAR ENDED SIX MONTHS ENDED DECEMBER 31, NOV. 13* TO JUNE 30, ------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $22.40 - ----------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .09 .207 .231 .053 Net Realized and Unrealized Gain (Loss) on Investments 2.53 (4.160) .388 .062 - ----------------------------------------------------------------------------------------------------- Total from Investment Operations 2.62 (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 $18.28 $15.66 $19.82 $19.44 ===================================================================================================== TOTAL RETURN 16.73% -19.95% 3.17% 1.75% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $752 $591 $547 $252 Ratio of Total Expenses to Average Net Assets 0.18%** 0.18% 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 1.07%** 1.22% 1.24% 1.79%** Portfolio Turnover Rate 43%+ 32% 39% 49% =====================================================================================================
*Inception. **Annualized. +Annualized; includes activity related to a change in the fund's target index. 57 FINANCIAL HIGHLIGHTS (continued) SMALL-CAP INDEX FUND INSTITUTIONAL SHARES
================================================================================================================= YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING SIX MONTHS ENDED ------------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998 - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $15.66 $19.82 $19.44 $23.61 $21.20 $23.75 - ----------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .10 .219 .251 .292 .295 .336 Net Realized and Unrealized Gain (Loss) on Investments 2.53 (4.160) .388 (1.145) 4.491 (1.007) - ----------------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.63 (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 $18.29 $15.66 $19.82 $19.44 $23.61 $21.20 ================================================================================================================= TOTAL RETURN* 16.79% -19.89% 3.27% -2.56% 23.33% -2.50% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $795 $686 $584 $490 $415 $264 Ratio of Total Expenses to Average Net Assets 0.10%** 0.10% 0.10% 0.13% 0.12% 0.12% Ratio of Net Investment Income to Average Net Assets 1.15%** 1.32% 1.34% 1.32% 1.37% 1.53% Portfolio Turnover Rate 43%+ 32% 39% 49% 42% 35% =================================================================================================================
*Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000. **Annualized. +Annualized; includes activity related to a change in the fund's target index. 58 SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES
================================================================================================================= SIX MONTHS ENDED YEAR ENDED DECEMBER 31, APR. 20* TO JUNE 30, ------------------------------------------ DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998 - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 9.17 $10.87 $10.97 $11.38 $ 9.53 $10.00 - ----------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .01 .027 .009 .009 .025 .03 Net Realized and Unrealized Gain (Loss) on Investments 1.32 (1.702) (.094) .154 1.860 (.47) - ----------------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.33 (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 $10.50 $ 9.17 $10.87 $10.97 $11.38 $ 9.53 ================================================================================================================= TOTAL RETURN** 14.50% -15.41% -.78% 1.59% 19.80% -4.77% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $504 $388 $357 $356 $167 $90 Ratio of Total Expenses to Average Net Assets 0.27%+ 0.27% 0.27% 0.27% 0.25% 0.25%+ Ratio of Net Investment Income to Average Net Assets 0.24%+ 0.24% 0.11% 0.03% 0.33% 0.63%+ Portfolio Turnover Rate 127%++ 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. ++Annualized; includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 100%. 59 FINANCIAL HIGHLIGHTS (continued) SMALL-CAP GROWTH INDEX FUND INSTITUTIONAL SHARES
===================================================================================================== YEAR ENDED SIX MONTHS ENDED DECEMBER 31, MAY 24* TO JUNE 30, ------------------ DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 9.17 $10.87 $10.97 $11.03 - ----------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .02 .043 .024 .009 Net Realized and Unrealized Gain (Loss) on Investments 1.32 (1.702) (.094) .513 - ----------------------------------------------------------------------------------------------------- Total from Investment Operations 1.34 (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 $10.51 $ 9.17 $10.87 $10.97 ===================================================================================================== TOTAL RETURN** 14.61% -15.26% -.64% 4.90% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $22 $104 $109 $73 Ratio of Total Expenses to Averge Net Assets 0.10%+ 0.10% 0.10% 0.13%+ Ratio of Net Investment Income to Average Net Assets 0.48%+ 0.41% 0.28% 0.10%+ Portfolio Turnover Rate 127%++ 61% 74% 136% =====================================================================================================
*Inception. **Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002. +Annualized. ++Annualized; includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 100%. 60 SMALL-CAP VALUE INDEX FUND INVESTOR SHARES
================================================================================================================= SIX MONTHS ENDED YEAR ENDED DECEMBER 31, APR. 20* TO FOR A SHARE OUTSTANDING JUNE 30, ------------------------------------------ DEC. 31, THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998 - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $8.52 $10.29 $ 9.65 $8.45 $8.74 $10.00 - ----------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .07 .090 .074 .084 .065 .045 Net Realized and Unrealized Gain (Loss) on Investments .77 (1.494) 1.176 1.698 .210 (1.250) - ----------------------------------------------------------------------------------------------------------------- Total from Investment Operations .84 (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 $9.36 $ 8.52 $10.29 $9.65 $8.45 $ 8.74 ================================================================================================================= TOTAL RETURN** 9.86% -14.20% 13.70% 21.88% 3.35% -12.47% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,268 $1,176 $802 $317 $204 $113 Ratio of Total Expenses to Average Net Assets 0.27%+ 0.27% 0.27% 0.27% 0.25% 0.25%+ Ratio of Net Investment Income to Average Net Assets 1.54%+ 0.93% 0.97% 1.16% 0.96% 1.13%+ Portfolio Turnover Rate 98%++ 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. ++Annualized; includes activity related to a change in the fund's target index. 61 FINANCIAL HIGHLIGHTS (continued) SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES
================================================================================================================= YEAR ENDED SIX MONTHS ENDED DECEMBER 31, DEC. 7* TO JUNE 30, ---------------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $8.53 $10.29 $ 9.65 $8.45 $8.74 - ----------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .08 .114 .089 .097 .009 Net Realized and Unrealized Gain (Loss) on Investments .77 (1.494) 1.176 1.698 .226 - ----------------------------------------------------------------------------------------------------------------- Total from Investment Operations .85 (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 $9.38 $ 8.53 $10.29 $9.65 $8.45 ================================================================================================================= TOTAL RETURN** 9.96% -13.96% 13.86% 22.04% 2.83% ================================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $83 $338 $325 $86 $10 Ratio of Total Expenses to Average Net Assets 0.10%+ 0.10% 0.10% 0.13% 0.13%+ Ratio of Net Investment Income to Average Net Assets 1.68%+ 1.08% 1.14% 1.36% 1.37%+ Portfolio Turnover Rate 98%++ 57% 59% 82% 80% =================================================================================================================
*Inception. **Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002. +Annualized. ++Annualized; includes activity related to a change in the fund's target index. SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 62 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: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds' pricing time but after the close of the securities' primary markets, are valued by methods deemed by the board of trustees to represent fair value. 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. 2. FUTURES CONTRACTS: The Small-Cap Index Fund uses Russell 2000 Index and S&P MidCap 400 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 Small-Cap Index and Small-Cap Value Index Funds also used index futures contracts to a limited extent during May 2003, in connection with the transition to their new benchmark indexes. 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. 63 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. 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) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2003, 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 $852 0.02% 0.85% Small-Cap Growth 85 0.02 0.08 Small-Cap Value 230 0.02 0.23 ================================================================================ 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 six months ended June 30, 2003, the Small-Cap Growth Index and Small-Cap Value Index Funds realized $20,834,000 and $12,094,000, respectively, of net capital gains resulting from in-kind redemptions--in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the funds, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. 64 The funds' tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2002, the following funds had tax-basis capital losses available to offset future net capital gains: ================================================================================ CAPITAL LOSSES ----------------------------------------- EXPIRATION: FISCAL AMOUNT YEAR(S) ENDING INDEX FUND (000) DECEMBER 31 - -------------------------------------------------------------------------------- Small-Cap $166,823 2009-2011 Small-Cap Growth 129,023 2009-2011 Small-Cap Value 154,432 2010-2011 ================================================================================ The funds will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2003; should the funds realize net capital losses for the year, the losses will be added to the loss carryforward balances above. At June 30, 2003, net unrealized appreciation of investment securities for tax purposes was: ================================================================================ (000) ---------------------------------------------------------- NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) - -------------------------------------------------------------------------------- Small-Cap $957,137 $(413,719) $543,418 Small-Cap Growth 64,783 (14,118) 50,665 Small-Cap Value 107,573 (40,424) 67,149 ================================================================================ At June 30, 2003, the aggregate settlement value of open futures contracts expiring in September 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 88 $19,730 $(377) Small-Cap/S&P MidCap 400 Index 25 6,003 (147) ================================================================================ Unrealized depreciation on open futures contracts is required to be treated as realized loss for tax purposes. D. During the six months ended June 30, 2003, purchases and sales of investment securities other than temporary cash investments were: ================================================================================ (000) -------------------------------- INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------------- Small-Cap $1,851,804 $1,697,721 Small-Cap Growth 486,200 515,731 Small-Cap Value 1,161,026 1,423,990 ================================================================================ 65 NOTES TO FINANCIAL STATEMENTS (CONTINUED) E. The market value of securities on loan to broker/dealers at June 30, 2003, and collateral received with respect to such loans were: ================================================================================ (000) --------------------------------------- Market Value Cash of Loaned Collateral Index Fund Securities Received - -------------------------------------------------------------------------------- Small-Cap $235,643 $258,161 Small-Cap Growth 14,148 16,080 Small-Cap Value 45,120 50,206 ================================================================================ The funds invest cash collateral received in repurchase agreements, and record a liability for the The 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:
===================================================================================================== SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 ------------------ ------------------ AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------- SMALL-CAP Investor Shares Issued $ 405,017 24,769 $ 969,210 52,655 Issued in Lieu of Cash Distributions -- -- 32,957 2,099 Redeemed (325,944) (20,234) (807,323) (45,694) ------------------------------------------------ Net Increase (Decrease)--Investor Shares 79,073 4,535 194,844 9,060 ------------------------------------------------ Admiral Shares Issued 133,087 8,047 360,338 19,812 Issued in Lieu of Cash Distributions -- -- 6,353 405 Redeemed (76,539) (4,615) (178,964) (10,091) ------------------------------------------------ Net Increase (Decrease)--Admiral Shares 56,548 3,432 187,727 10,126 ------------------------------------------------ Institutional Shares Issued 76,428 4,667 350,815 20,013 Issued in Lieu of Cash Distributions -- -- 7,773 495 Redeemed (78,282) (4,959) (109,008) (6,203) ------------------------------------------------ Net Increase (Decrease)--Institutional Shares (1,854) (292) 249,580 14,305 - ----------------------------------------------------------------------------------------------------- SMALL-CAP GROWTH Investor Shares Issued $ 103,191 10,896 $ 186,828 18,562 Issued in Lieu of Cash Distributions -- -- 853 93 Redeemed (49,029) (5,200) (89,126) (9,205) ------------------------------------------------ Net Increase (Decrease)--Investor Shares 54,162 5,696 98,555 9,450 ------------------------------------------------ Institutional Shares Issued 30,314 3,101 67,564 6,452 Issued in Lieu of Cash Distributions -- -- 457 50 Redeemed (114,315) (12,334) (48,987) (5,246) ------------------------------------------------ Net Increase (Decrease)--Institutional Shares (84,001) (9,233) 19,034 1,256 - -----------------------------------------------------------------------------------------------------
66
===================================================================================================== SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 ------------------ ------------------ AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------- Small-Cap Value Investor Shares Issued $ 196,037 23,145 $1,192,018 113,003 Issued in Lieu of Cash Distributions -- -- 35,943 3,594 Redeemed (215,749) (25,761) (514,720) (56,570) Net Increase (Decrease)--Investor Shares (19,712) (2,616) 713,241 60,027 Institutional Shares Issued 71,324 8,567 278,790 25,926 Issued in Lieu of Cash Distributions -- -- 14,995 1,481 Redeemed (323,513) (39,399) (174,970) (19,366) ------------------------------------------------ Net Increase (Decrease)--Institutional Shares (252,189) (30,832) 118,815 8,041 =====================================================================================================
67 ================================================================================ 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! 68 ================================================================================ 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(R) 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 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 activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. The dates in parentheses below show when each trustee was initially elected. - -------------------------------------------------------------------------------- JOHN J. BRENNAN* (1987) Chairman of the Board, Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group. - -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS (2001) The Partners of '63 (pro bono ventures in education); Senior Adviser to Greenwich Associates (international business strategy consulting); 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 (2001) Chairman and Chief Executive Officer (since October 1999), Vice Chairman (January-September 1999), and Vice President (prior to 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 (1998) Vice President, Chief Information Officer, and Member of the Executive Committee of Johnson & Johnson (pharmaceuticals/consumer products); Director of the Medical Center at Princeton and Women's Research and Education Institute. BURTON G. MALKIEL (1977) Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Vanguard Investment Series plc (Irish investment fund) (since November 2001), Vanguard Group (Ireland) Limited (Irish investment management firm) (since November 2001), Prudential Insurance Co. of America, BKF Capital (investment management firm), The Jeffrey Co. (holding company), and NeuVis, Inc. (software company). ALFRED M. RANKIN, JR. (1993) Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services); Director until 1998 of Standard Products Company (a supplier for the automotive industry). J. LAWRENCE WILSON (1985) Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines), MeadWestvaco Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary; Managing Director and General Counsel of The Vanguard Group, Inc. (since September 1997); Secretary of The Vanguard Group and of 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 investment companies served by The Vanguard Group. - -------------------------------------------------------------------------------- *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, Client Relationship Group. JAMES H. GATELY, Investment Programs and 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. THE VANGUARD GROUP (R) Post Office Box 2600 Valley Forge, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Admiral, Consolidated View, Wellington, PlainTalk, and the ship logo are trademarks of The Vanguard Group, Inc. The funds or securities referred to herein that are offered by The Vanguard Group and track an MSCI index are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities. For such funds or securities, the prospectus or the Statement of Additional Information contains a more detailed description of the limited relationship MSCI has with The Vanguard Group. Standard & Poor's SmallCap 600, S&P SmallCap 600, S&P MidCap 400, S&P 500(R), and S&P(R) 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. 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 funds' 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 funds 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) 2003 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q482 082003 VANGUARD(R) U.S. STOCK INDEX FUNDS MID-CAPITALIZATION PORTFOLIOS SEMIANNUAL REPORT JUNE 30, 2003 [GRAPHIC] VANGUARD(R) EXTENDED MARKET INDEX FUND VANGUARD(R) MID-CAP INDEX FUND [LOGO] THE VANGUARD GROUP(R) ETERNAL PRINCIPLES Markets change, but the principles of successful investing do not. During the past few years, radical upheaval in the stock market has displayed the power of this simple truth to dramatic effect. In the late 1990s, stocks experienced one of the greatest bull markets in financial history. Then, in March 2000, the longest downturn since the Great Depression began. In both bull and bear markets, however, the principles of successful investing are identical: balance, diversification, and attention to costs. Balance among stock, bond, and money market funds allows you to pursue long-term growth while moderating your risk. Diversification limits your exposure to the disasters that can befall any one security or sector. Attention to costs means you keep a larger share of any rewards produced by your investments. These principles are timeless. In fact, they're the basis of our very first mutual fund--Vanguard(R) Wellington(TM) Fund, a balanced portfolio established in 1929. Over time, balance, diversification, and attention to costs have proven to be the master keys to investment success. ================================================================================ SUMMARY - -------------------------------------------------------------------------------- * During the first half of 2003, the Investor Shares of Vanguard Extended Market Index Fund returned 17.3% and those of Vanguard Mid-Cap Index Fund returned 11.1%. * The Extended Market Index Fund outperformed the average mid-cap core fund by a substantial margin, but the Mid-Cap Index Fund lagged the same peer fund. * The Extended Market Index Fund's exposure to small-capitalization stocks enhanced its performance in the period. - -------------------------------------------------------------------------------- CONTENTS - -------------------------------------------------------------------------------- 1 Letter from the Chairman 6 Fund Profiles 8 Glossary of Investment Terms 9 Performance Summaries 11 Financial Statements - -------------------------------------------------------------------------------- [LOGO] [INDEXED TO MSCI(R) MID-CAP INDEX FUND - -------------------------------------------------------------------------------- LETTER FROM THE CHAIRMAN Fellow Shareholder, The stock market surged during the first half of 2003, with small-capitalization stocks generally faring best. In this environment, the Investor Shares of Vanguard Extended Market Index Fund and Vanguard Mid-Cap Index Fund posted six-month returns of 17.3% and 11.1%, respectively. The funds met their objective of closely tracking their respective target indexes. In addition, the Extended Market Index Fund outperformed the average mid-cap core mutual fund by almost 4 percentage points, reflecting its exposure to the small-cap stocks that led the market. The Mid-Cap Index Fund, however, lagged the same peer. - -------------------------------------------- TOTAL RETURNS Six Months Ended June 30, 2003 - -------------------------------------------- VANGUARD EXTENDED MARKET INDEX FUND Investor Shares 17.3% Admiral Shares 17.3 Institutional Shares 17.4 VIPER Shares Market Price 17.2 Net Asset Value 17.3 Average Mid-Cap Core Fund* 13.6 Wilshire 4500 Completion Index 17.5 - -------------------------------------------- VANGUARD MID-CAP INDEX FUND Investor Shares 11.1% Admiral Shares 11.2 Institutional Shares 11.2 Average Mid-Cap Core Fund* 13.6 Spliced Mid Cap Index** 10.8 - -------------------------------------------- *Derived from data provided by Lipper Inc. **S&P MidCap 400 Index until May 16, 2003; MSCI US Mid Cap 450 Index thereafter. The table at left shows the total returns for the funds' various share classes, their target indexes, and the average mid-cap core fund. As you know, as of mid-May, the Mid-Cap Index Fund started tracking the Morgan Stanley Capital International (MSCI) US Mid Cap 450 Index instead of the Standard & Poor's MidCap 400 Index. See page 3 for details on the reasons for the switch. The "spliced" index in the table, which is made up of the fund's old and new target indexes, reflects this change. Each fund's total returns are based on the change in net asset value during the half-year plus any income dividends. The table on page 5 provides details. STOCKS RALLIED DESPITE WAR The war with Iraq, a lackluster economy, and rising unemployment did little to impede the U.S. stock market during the half-year ended June 30, 2003. Indeed, the start of the war in mid-March marked the beginning of a sharp rally in stocks. For the first half of 2003, the overall U.S. stock market, as ---- 1 measured by the Wilshire 5000 Total Market Index, returned a stellar 12.9%. The gain was virtually universal, with all market segments and industrial sectors posting positive returns. Small-cap stocks outperformed large-caps. And according to most (but not all) style-based indexes, growth stocks, whose prices reflect expectations for above-average earnings growth, outpaced value stocks (those that generally trade at below-average valuations relative to earnings, book values, or other measures). Technology and consumer discretionary stocks (such as retailers and restaurants) were among the biggest winners, with each sector returning more than 17%. - -------------------------------------------------------------------------------- MARKET BAROMETER TOTAL RETURNS PERIODS ENDED JUNE 30, 2003 --------------------------- SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 12.3% 1.0% -1.2% Russell 2000 Index (Small-caps) 17.9 -1.6 1.0 Wilshire 5000 Index (Entire market) 12.9 1.3 -1.3 MSCI All Country World Index Free ex USA (International) 11.1 -4.2 -2.8 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 3.9% 10.4% 7.5% (Broad taxable market) Lehman Municipal Bond Index 3.8 8.7 6.3 Citigroup 3-Month Treasury Bill Index 0.6 1.4 3.9 ================================================================================ CPI Consumer Price Index 1.5% 2.1% 2.4% - -------------------------------------------------------------------------------- *Annualized. Almost without exception, markets overseas also contributed to the bounty. The MSCI All Country World Index Free ex USA returned 11.1% in U.S. dollars, with emerging markets posting the highest returns. - -------------------------------------- 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. - ----------------------------------------- BONDS ALSO RALLIED; INTEREST RATES FELL TO 45-YEAR LOWS In the fixed income arena, risk was rewarded during the six months. The lower the credit rating of the bond issuer, the higher the return. The Lehman Brothers High Yield Bond Index surged 18.5%--well above the still-respectable six-month return of 3.9% for the overall bond market, as measured by the Lehman Aggregate Bond Index. During the half-year, the yield of the 10-year U.S. Treasury note fell 30 basis points (0.30 percentage point) to 3.51%, as bond prices rose. Meanwhile, short-term interest rates fell to their lowest levels in 45 years. In late June, citing concerns about sustainable economic growth and potential deflation, the Federal Reserve Board lowered the target for the federal funds rate (the interest rate charged for overnight loans between banks) by - ----- 2 25 basis points to 1.00%. It was the 13th rate cut in 21/2 years. The yield of the 3-month Treasury bill--a fair proxy for money market yields, tracking Fed moves with a lag--fell 34 basis points during the six months to 0.85%, well below the inflation rate. SMALLER, MORE SPECULATIVE STOCKS LED THE MARKET Looking at the two Vanguard index funds, you would be hard-pressed to find a sector that didn't do well. Of the 12 sectors in the EXTENDED MARKET INDEX FUND, 9 posted double-digit returns for the six months, with health care stocks--which gained almost 31%--turning in the best performance. While health care posted the highest result, two other sectors--financial services and consumer discretionary, with returns of 14% and 20%, respectively--had a greater impact on the fund's performance because of their larger weightings in the index. (Financial services stocks accounted for about one-quarter of the fund's assets on average during the six months, and consumer discretionary stocks more than one-fifth.) Technology stocks also provided a big boost with a 28% return. Because the Extended Market Index Fund tracks the Wilshire 4500 Index, which includes small-cap stocks as well as mid-caps, that fund had a leg up on both the Mid-Cap Index Fund and the average peer fund during the past six months. - -------------------------------------------------------------------------------- All sectors within the two funds rose during the six months, with health care leading the pack. - -------------------------------------------------------------------------------- In absolute terms, the MID-CAP INDEX FUND also had a stellar half-year, with no sector turning in anything less than a 4% gain. Health care stocks again posted the highest result (+25%), and four other sectors recorded double-digit returns. However, the fund lagged not just its sibling fund, but also the average mid-cap core fund. This shortfall partly reflects the makeup of the fund's previous benchmark, as well as the average peer's tendency to hold smaller stocks. As mentioned earlier, until recently, the Mid-Cap Index Fund tracked the S&P MidCap 400 Index, which generally excludes companies with less than four quarters of operating profits. That eliminated many of the more speculative stocks that benefited most from the rebound during the half-year. We should note that this "handicap" was a boon to the fund's performance relative to its sibling and the average peer for much of the previous three years, when those same speculative stocks were pummeled. The Mid-Cap Index Fund is now tracking the MSCI US Mid Cap 450 Index, which we feel has superior characteristics. Most notably, the MSCI index's turnover should be even lower than that of the previous index, which means potentially lower costs over the long run. Also, its adoption as the fund's target index should result in the fund's return being more closely aligned with those of actively managed mid-cap funds. The latter characteristic means that, ----- 3 in the future, costs rather than index methodology will play an even greater role in the fund's results relative to competing funds. And when it comes to costs, Vanguard has an advantage: The Investor Shares of the Mid-Cap Index Fund had an annualized expense ratio (operating costs as a percentage of average net assets) of 0.26% during the half-year--a mere fraction of the 1.39% charged by the average competitor. THE VALUE OF DIVERSIFICATION The stock market's performance in the past several years--the height of the dot-com boom, followed by the long bear market and the recent resurgence of equities--reminds us of the value of diversification, both across and within asset classes. Maintaining a balanced portfolio through such times can be a struggle, as the returns of certain asset classes or market segments tend to either tempt or repel investors. The balanced investor will never be at the top of the heap at any one moment--after all, one asset class will always do better than another--but he or she will likely still enjoy much of the gains of the financial markets without plunging to their depths. The Extended Market and Mid-Cap Index Funds can be valuable components of such a balanced portfolio, providing low-cost exposure to smaller companies within the U.S. equity market. Thank you for entrusting your hard-earned money to us. Sincerely, /S/ John J. Brennan John J. Brennan Chairman and Chief Executive Officer July 14, 2003 - ----- 4 ================================================================================ YOUR FUND'S PERFORMANCE AT A GLANCE December 31, 2002-June 30, 2003 DISTRIBUTIONS PER SHARE ------------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND Investor Shares $18.74 $21.98 $0.002 $0.000 Admiral Shares 18.74 21.98 0.005 0.000 Institutional Shares 18.74 21.99 0.007 0.000 VIPER Shares 49.46 58.01 0.018 0.000 - -------------------------------------------------------------------------------- MID-CAP INDEX FUND Investor Shares $ 9.88 $10.98 $0.000 $0.000 Admiral Shares 44.81 49.82 0.000 0.000 Institutional Shares 9.90 11.01 0.000 0.000 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND VIPER SHARES Premium/Discount: December 31, 2002-June 30, 2003 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 47 37.90% 63 50.80% 25-49.9 5 4.03 7 5.65 50-74.9 1 0.81 0 0.00 75-100.0 1 0.81 0 0.00 >100.0 0 0.00 0 0.00 - -------------------------------------------------------------------------------- Total 54 43.55% 70 56.45% - -------------------------------------------------------------------------------- *1 basis point equals 1/100th of 1%. ---- 5 - -------------------------------------------------------------------------------- FUND PROFILES As of June 30, 2003 These Profiles provide snapshots of each fund's characteristics, compared where appropriate with an unmanaged target index and a broad market index. Key terms are defined on page 8. EXTENDED MARKET INDEX FUND - ------------------------------------------------------------------ PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - ------------------------------------------------------------------ Number of Stocks 3,232 4,908 5,403 Median Market Cap $1.7B $1.7B $27.7B Price/Earnings Ratio 27.4x 27.4x 21.8x Price/Book Ratio 2.1x 2.1x 2.7x Yield 1.2% 1.6% Investor Shares 1.0% Admiral Shares 1.0% Institutional Shares 1.1% VIPER Shares 1.0% Return on Equity 11.7% 11.7% 20.5% Earnings Growth Rate 8.2% 8.2% 8.6% Foreign Holdings 0.3% 0.9% 0.9% Turnover Rate 11%+ -- -- Expense Ratio -- -- Investor Shares 0.26%+ Admiral Shares 0.20%+ Institutional Shares 0.10%+ VIPER Shares 0.20%+ Cash Investments 0.0% -- -- - ------------------------------------------------------------------ - ----------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) Berkshire Hathaway Inc. Class A 3.5% (financial services) Liberty Media Corp. 1.2 (media) InterActiveCorp 0.8 (retail) Cox Communications, Inc. Class A 0.8 (telecommunications) Genentech, Inc. 0.6 (biotechnology) Amazon.com, Inc. 0.6 (retail) General Motors Corp. Class H 0.6 (telecommunications) Gilead Sciences, Inc. 0.5 (pharmaceuticals) Fox Entertainment Group, Inc. Class A 0.4 (entertainment) M & T Bank Corp. 0.4 (banking) - ----------------------------------------------------- Top Ten 9.4% - ----------------------------------------------------- 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 0.87 1.00 Beta 1.00 1.00 1.19 1.00 - -------------------------------------------------------------------- - ---------------------------- INVESTMENT FOCUS [CHART] Market Cap Medium Style Blend - ---------------------------- - ------------------------------------------------------------------ SECTOR DIVERSIFICATION (% of portfolio) TARGET BROAD FUND INDEX* INDEX** - ------------------------------------------------------------------ Auto & Transportation 2.8% 2.8% 2.6% Consumer Discretionary 21.9 21.9 15.7 Consumer Staples 2.8 2.8 6.9 Financial Services 24.9 24.9 22.3 Health Care 12.5 12.5 14.3 Integrated Oils 0.2 0.2 3.5 Other Energy 4.7 4.7 2.3 Materials & Processing 5.4 5.4 3.6 Producer Durables 4.9 4.9 4.0 Technology 10.5 10.5 13.5 Utilities 5.2 5.2 7.1 Other 4.2 4.2 4.2 - ------------------------------------------------------------------ *Wilshire 4500 Index. **Wilshire 5000 Index. +Annualized. - --- 6 MID-CAP INDEX FUND - ------------------------------------------------------------------ PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - ------------------------------------------------------------------ Number of Stocks 452 451 5,403 Median Market Cap $3.8B $3.8B $27.7B Price/Earnings Ratio 21.8x 21.8x 21.8x Price/Book Ratio 2.2x 2.2x 2.7x Yield 1.5% 1.6% Investor Shares 1.2% Admiral Shares 1.3% Institutional Shares 1.4% Return on Equity 14.8% 14.8% 20.5% Earnings Growth Rate 9.3% 9.3% 8.6% Foreign Holdings 0.5% 0.5% 0.9% Turnover Rate 86%+ -- -- Expense Ratio -- -- Investor Shares 0.26%++ Admiral Shares 0.18%++ Institutional Shares 0.10%++ Cash Investments 0.0% -- -- - ---------------------------------------------------- TEN LARGEST HOLDINGS (% of total net assets) PG&E Corp. 0.6% (electric utilities) Xerox Corp. 0.6 (electronic business equipment) AmerisourceBergen Corp. 0.6 (pharmaceuticals) PPL Corp. 0.6 (electric utilities) PACCAR, Inc. 0.5 (automotive and transport) Apple Computer, Inc. 0.5 (computer technology) TXU Corp. 0.5 (electric utilities) Caremark Rx, Inc. 0.5 (health care) CIGNA Corp. 0.5 (insurance) CSX Corp. 0.5 (railroad) - ---------------------------------------------------- Top Ten 5.4% - ---------------------------------------------------- The "Ten Largest Holdings" excludes any temp orary cash investments and equity index products. - ------------------------------------------------------------------ VOLATILITY MEASURES SPLICED BROAD FUND INDEX+++ FUND INDEX** - ------------------------------------------------------------------ R-Squared 1.00 1.00 0.86 1.00 Beta 1.00 1.00 0.98 1.00 - ------------------------------------------------------------------ - ---------------------------- INVESTMENT FOCUS [CHART] Market Cap Medium Style Blend - ---------------------------- - ------------------------------------------------------------------ SECTOR DIVERSIFICATION (% of portfolio) TARGET BROAD FUND INDEX* INDEX** - ------------------------------------------------------------------ Auto & Transportation 2.8% 2.8% 2.6% Consumer Discretionary 18.2 18.2 15.7 Consumer Staples 3.1 3.1 6.9 Financial Services 22.4 22.4 22.3 Health Care 9.5 9.5 14.3 Integrated Oils 0.6 0.6 3.5 Other Energy 5.8 5.8 2.3 Materials & Processing 6.4 6.4 3.6 Producer Durables 6.4 6.4 4.0 Technology 13.4 13.4 13.5 Utilities 9.4 9.4 7.1 Other 2.0 2.0 4.2 - ------------------------------------------------------------------ *MSCI US Mid Cap 450 Index. **Wilshire 5000 Index. +Annualized; includes activity related to a change in the fund's target index. ++Annualized. +++S&P MidCap 400 Index until May 16, 2003; MSCI US Mid Cap 450 Index thereafter. Visit our website at www.vanguard.com for regularly updated fund information. ----- 7 - -------------------------------------------------------------------------------- GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the fund's target index 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 typically 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. - -------------------------------------------------------------------------------- - --- 8 PERFORMANCE SUMMARIES As of June 30, 2003 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 - -------------------------------------------------------------------------------- Fiscal-Year Total Returns (%) December 31, 1992-June 30, 2003 [BAR CHART] EXTENDED MARKET FISCAL INDEX FUND WILSHIRE 4500 YEAR INVESTOR SHARES 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 2003* 17.3 17.5 - -------------------------------------------------------------------------------- *Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 54-57 for dividend and capital gains information.
- ------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2003 TEN YEARS ONE FIVE ------------------------ INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL - ------------------------------------------------------------------------------------------ EXTENDED MARKET INDEX FUND Investor Shares* 12/21/1987 4.88% -0.05% 7.55% 1.21% 8.76% Admiral Shares 11/13/2000 4.91 -6.56** -- -- -- Institutional Shares 7/7/1997 5.02 0.10 2.30** 1.17** 3.47** VIPER Shares 12/27/2001 4.91 -2.51** -- -- -- - ------------------------------------------------------------------------------------------ *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Returns since inception.
---- 9 PERFORMANCE SUMMARIES (continued) MID-CAP INDEX FUND - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) May 21, 1998-June 30, 2003 [BAR CHART] MID-CAP INDEX FISCAL FUND SPLICED YEAR INVESTOR SHARES MID CAP INDEX** ------------------------------------------------- 1998 8.6 7.8 1999 15.3 14.7 2000 18.1 17.5 2001 -0.5 -0.6 2002 -14.6 -14.5 2003** 11.1 10.8 - -------------------------------------------------------------------------------- *S&P MidCap 400 Index until May 16, 2003; MSCI US Mid Cap 450 Index thereafter. **Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 58-60 for dividend and capital gains information.
- ------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS for periods ended June 30, 2003 TEN YEARS ONE FIVE ------------------------ INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL - ------------------------------------------------------------------------------------------ MID-CAP INDEX FUND Investor Shares* 5/21/1998 -1.90% 7.22% 6.06% 0.69% 6.75% Admiral Shares 11/12/2001 -1.80 1.63** -- -- -- Institutional Shares 5/21/1998 -1.75 7.39 6.11 0.80 6.91 - ------------------------------------------------------------------------------------------ *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Return since inception.
- --- 10 - -------------------------------------------------------------------------------- FINANCIAL STATEMENTS June 30, 2003 (unaudited) STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, 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 (98.2%)(1) - ------------------------------------------------------------------------------------------------------- * Berkshire Hathaway Inc. Class A 2,387 173,058 * Liberty Media Corp. 5,055,175 58,438 * InterActiveCorp 1,073,473 42,477 * Cox Communications, Inc. Class A 1,216,845 38,817 * Genentech, Inc. 451,336 32,550 * Amazon.com, Inc. 805,136 29,379 * General Motors Corp. Class H 2,267,105 29,042 * Gilead Sciences, Inc. 410,852 22,835 * Fox Entertainment Group, Inc.Class A 722,143 20,783 M & T Bank Corp. 245,086 20,641 Kraft Foods Inc. 571,951 18,617 * EchoStar Communications Corp.Class A 500,984 17,344 E.W. Scripps Co. Class A 165,171 14,654 Washington Post Co. Class B 19,671 14,417 * Caremark Rx, Inc. 534,928 13,737 Mylan Laboratories, Inc. 375,508 13,056 UnionBanCal Corp. 307,699 12,730 * Affiliated Computer Services, Inc. Class A 272,383 12,456 * Weatherford International Ltd. 275,926 11,561 * CNA Financial Corp. 460,054 11,317 GlobalSantaFe Corp. 476,826 11,129 * Express Scripts Inc. 160,464 10,963 * IDEC Pharmaceuticals Corp. 319,562 10,865 CIT Group Inc. 434,901 10,720 * MGM Mirage, Inc. 312,264 10,673 Popular, Inc. 272,222 10,505 Microchip Technology, Inc. 419,331 10,328 Hudson City Bancorp, Inc. 394,056 10,076 ProLogis REIT 368,246 10,053 Vornado Realty Trust REIT 229,395 10,002 Green Point Financial Corp. 196,095 9,989 * Weight Watchers International, Inc. 219,174 9,970 Murphy Oil Corp. 188,758 9,929 * Millennium Pharmaceuticals, Inc. 612,270 9,631 * Juniper Networks, Inc. 778,066 9,625 * Synopsys, Inc. 154,258 9,541 Lennar Corp. Class A 131,290 9,387 * Cablevision Systems-NY Group Class A 451,011 9,363 National Commerce Financial Corp. 421,026 9,343 * DST Systems, Inc. 244,074 9,275 * Coach, Inc. 185,954 9,249 * BEA Systems, Inc. 850,726 9,239 Compass Bancshares Inc. 263,370 9,200 Royal Caribbean Cruises, Ltd. 396,789 9,190 * Laboratory Corp. of America Holdings 301,135 9,079 Total System Services, Inc. 403,098 8,989 Archstone-Smith Trust REIT 373,846 8,972 * Barr Laboratories, Inc. 136,522 8,942 * Dean Foods Co. 278,656 8,778
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- Public Storage, Inc. REIT 257,891 8,735 Legg Mason Inc. 133,567 8,675 Boston Properties, Inc. REIT 197,810 8,664 Estee Lauder Cos. Class A 254,951 8,549 * L-3 Communications Holdings, Inc. 196,546 8,548 Banknorth Group, Inc. 334,713 8,542 Valero Energy Corp. 234,828 8,531 Old Republic International Corp. 248,203 8,506 Fidelity National Financial, Inc. 275,816 8,484 D. R. Horton, Inc. 301,241 8,465 New York Community Bancorp, Inc. 288,930 8,405 Sovereign Bancorp, Inc. 536,599 8,398 ENSCO International, Inc. 306,843 8,254 Kimco Realty Corp. REIT 215,183 8,155 General Growth Properties Inc. REIT 129,289 8,073 * Varian Medical Systems, Inc. 140,044 8,062 * CDW Corp. 172,615 7,906 * Health Net Inc. 237,004 7,809 SCANA Corp. 227,072 7,784 Tyson Foods, Inc. 720,998 7,657 * Smith International, Inc. 208,259 7,651 Duke Realty Corp. REIT 277,724 7,651 * Republic Services, Inc. Class A 336,451 7,627 XTO Energy, Inc. 376,260 7,567 * Mohawk Industries, Inc. 135,679 7,534 * Intersil Corp. 282,344 7,513 * Dollar Tree Stores, Inc. 235,507 7,473 Transatlantic Holdings, Inc. 108,033 7,470 iStar Financial Inc. REIT 203,977 7,445 Expeditors International of Washington, Inc. 214,695 7,437 * Westwood One, Inc. 215,268 7,304 * Oxford Health Plans, Inc. 171,503 7,208 * Brinker International, Inc. 199,260 7,177 * IVAX Corp. 399,714 7,135 * SPX Corp. 161,532 7,117 * AdvancePCS 185,883 7,106 Radian Group, Inc. 191,840 7,031 Wisconsin Energy Corp. 239,679 6,951 Rouse Co. REIT 181,669 6,922 SEI Corp. 216,073 6,914 * Williams-Sonoma, Inc. 235,696 6,882 Omnicare, Inc. 203,011 6,860 * VeriSign, Inc. 492,909 6,817 * Lincare Holdings, Inc. 216,044 6,808 White Mountains Insurance Group Inc. 17,229 6,805 Ross Stores, Inc. 158,996 6,795 * WebMD Corp. 626,651 6,787 Hormel Foods Corp. 284,851 6,751 * Pixar, Inc. 109,467 6,660 Pepco Holdings, Inc. 347,275 6,654 DENTSPLY International Inc. 162,331 6,639 * Cadence Design Systems, Inc. 550,226 6,636 Doral Financial Corp. 148,354 6,624 ServiceMaster Co. 615,358 6,584 * Smurfit-Stone Container Corp. 504,846 6,578 * Career Education Corp. 95,971 6,566 * Iron Mountain, Inc. 175,851 6,522 * Ameritrade Holding Corp. 873,276 6,471 Diebold, Inc. 148,527 6,424 * Expedia Inc. 84,036 6,419 Hillenbrand Industries, Inc. 127,099 6,412 * CarMax, Inc. 212,644 6,411 * Patterson Dental Co. 140,109 6,358 * Level 3 Communications, Inc. 954,507 6,338 * The Dun & Bradstreet Corp. 153,879 6,324 * Pioneer Natural Resources Co. 240,512 6,277 * Metro-Goldwyn-Mayer Inc. 505,248 6,275 * Lear Corp. 135,974 6,258 * E*TRADE Group, Inc. 735,846 6,255 Energy East Corp. 300,458 6,237 First Virginia Banks, Inc. 144,324 6,223 * Lamar Advertising Co. Class A 176,226 6,205 C.H. Robinson Worldwide, Inc. 173,610 6,174 * ChoicePoint Inc. 177,544 6,129 * NVR, Inc. 14,832 6,096 Outback Steakhouse 155,438 6,062 W.R. Berkley Corp. 113,878 6,001 Telephone & Data Systems, Inc. 120,280 5,978 TCF Financial Corp. 149,912 5,972 Avalonbay Communities, Inc. REIT 139,241 5,937 Manpower Inc. 159,359 5,911 * Constellation Brands, Inc. Class A 187,822 5,898 Hibernia Corp. Class A 323,233 5,870 Bunge Ltd. 205,035 5,864 * Whole Foods Market, Inc. 122,628 5,828 Neuberger Berman Inc. 144,484 5,766 * SanDisk Corp. 142,771 5,761 * Storage Technology Corp. 222,569 5,729 * Abercrombie & Fitch Co. 201,637 5,729 * Hispanic Broadcasting Corp. 223,894 5,698 * PanAmSat Corp. 308,877 5,693 Questar Corp. 169,982 5,689 * Cooper Cameron Corp. 112,590 5,672 A.G. Edwards & Sons, Inc. 165,329 5,654 Erie Indemnity Co. Class A 136,614 5,635 Diamond Offshore Drilling, Inc. 268,359 5,633 * Park Place Entertainment Corp. 619,178 5,628 Associated Banc-Corp 152,582 5,627 * Energizer Holdings, Inc. 177,983 5,589 Mercantile Bankshares Corp. 141,829 5,585
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * Coventry Health Care Inc. 120,851 5,578 Liberty Property Trust REIT 161,139 5,575 * JetBlue Airways Corp. 131,755 5,572 The McClatchy Co. Class A 94,639 5,453 * Rent-A-Center, Inc. 71,886 5,450 Pogo Producing Co. 127,374 5,445 * First Health Group Corp. 196,644 5,427 Allied Capital Corp. 233,647 5,397 * Patterson-UTI Energy, Inc. 165,353 5,357 Commerce Bancshares, Inc. 136,241 5,307 Fastenal Co. 156,188 5,301 Commerce Bancorp, Inc. 142,169 5,274 Harman International Industries, Inc. 66,503 5,263 * Michaels Stores, Inc. 137,690 5,240 Equitable Resources, Inc. 128,461 5,234 Health Care Properties Investors REIT 123,570 5,233 * Markel Corp. 20,362 5,213 Belo Corp. Class A 232,553 5,200 Nuveen Investments, Inc.Class A 190,328 5,185 * Entercom Communications Corp. 105,785 5,185 * Ceridian Corp. 305,242 5,180 Fair, Isaac, Inc. 100,674 5,180 * Smithfield Foods, Inc. 225,271 5,163 Student Loan Corp. 40,966 5,162 * Pride International, Inc. 274,006 5,157 Valley National Bancorp 195,201 5,144 Beckman Coulter, Inc. 125,840 5,114 MDU Resources Group, Inc. 152,663 5,113 Mercury General Corp. 111,896 5,108 * Mid Atlantic Medical Services, Inc. 97,126 5,080 * Celgene Corp. 166,798 5,071 Arthur J. Gallagher & Co. 185,042 5,033 Developers Diversified Realty Corp. REIT 176,016 5,006 * Host Marriott Corp. REIT 544,521 4,982 NSTAR 109,224 4,975 * 99 Cents Only Stores 144,599 4,963 * Hearst-Argyle Television Inc. 190,881 4,944 The PMI Group Inc. 183,890 4,936 * SICOR, Inc. 242,455 4,932 The St. Joe Co. 157,068 4,901 * Krispy Kreme Doughnuts, Inc. 118,761 4,891 * Zebra Technologies Corp. Class A 64,651 4,861 * PETsMART, Inc. 290,948 4,850 * Jacobs Engineering Group Inc. 114,406 4,822 * ImClone Systems, Inc. 151,932 4,804 Sonoco Products Co. 199,629 4,795 * Gentex Corp. 156,549 4,792 * Universal Health Services Class B 120,551 4,776 * Henry Schein, Inc. 91,232 4,775 AMB Property Corp. REIT 169,390 4,772 * LAM Research Corp. 261,084 4,754 Astoria Financial Corp. 170,055 4,750 * Rite Aid Corp. 1,061,114 4,722 * ICOS Corp. 128,309 4,715 American National Insurance Co. 54,572 4,715 Allete, Inc. 177,128 4,703 * Cephalon, Inc. 114,107 4,697 Northeast Utilities 279,484 4,679 * Getty Images, Inc. 112,094 4,629 Puget Energy, Inc. 193,126 4,610 * Endo Pharmaceuticals Holdings, Inc. 272,202 4,606 Wesco Financial Corp. 14,747 4,601 Brown & Brown, Inc. 141,556 4,601 * CheckFree Corp. 163,761 4,559 The Chicago Mercantile Exchange 65,476 4,559 * BISYS Group, Inc. 247,175 4,541 Leucadia National Corp. 121,593 4,514 * BOK Financial Corp. 116,996 4,513 Eaton Vance Corp. 142,589 4,506 * Amkor Technology, Inc. 342,749 4,504 * Integrated Circuit Systems, Inc. 143,153 4,499 Lyondell Chemical Co. 332,438 4,498 City National Corp. 100,932 4,498 Weingarten Realty Investors REIT 107,329 4,497 * U.S. Cellular Corp. 176,667 4,496 * Advance Auto Parts, Inc. 73,620 4,483 Noble Energy, Inc. 118,327 4,473 Chesapeake Energy Corp. 442,165 4,466 * GTECH Holdings Corp. 117,152 4,411 Lafarge North America Inc. 142,431 4,401 Valspar Corp. 103,923 4,388 * Corinthian Colleges, Inc. 90,287 4,385 * Vishay Intertechnology, Inc. 330,146 4,358 Waddell & Reed Financial, Inc. 169,567 4,353 National Fuel Gas Co. 166,919 4,348 International Speedway Corp. 109,436 4,324 Mack-Cali Realty Corp. REIT 118,783 4,321 Fulton Financial Corp. 217,181 4,315 * Newfield Exploration Co. 114,422 4,297 * Gemstar-TV Guide International, Inc. 843,077 4,291 New Plan Excel Realty Trust REIT 200,660 4,284 Bowater Inc. 113,938 4,267
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Apogent Technologies Inc. 213,002 4,260 Forest City Enterprise Class A 102,654 4,255 * Columbia Sportswear Co. 82,570 4,245 Capitol Federal Financial 151,002 4,245 * Western Digital Corp. 408,835 4,211 * Amylin Pharmaceuticals, Inc. 191,454 4,191 * Owens-Illinois, Inc. 303,865 4,184 * MEMC Electronic Materials, Inc. 425,084 4,166 * Agere Systems Inc. Class A 1,786,085 4,162 DPL Inc. 260,370 4,150 Bank of Hawaii Corp. 124,587 4,130 Regency Centers Corp. REIT 118,017 4,128 Harris Corp. 137,306 4,126 * Alliant Techsystems, Inc. 79,422 4,123 Great Plains Energy, Inc. 142,679 4,121 * Amphenol Corp. 87,606 4,102 J.M. Smucker Co. 102,698 4,097 * Network Associates, Inc. 322,065 4,084 Viad Corp. 182,177 4,079 First American Corp. 154,711 4,077 * Toll Brothers, Inc. 143,320 4,057 * Edwards Lifesciences Corp. 125,749 4,042 Hospitality Properties Trust REIT 128,949 4,030 Hubbell Inc. Class B 121,427 4,019 * National Instruments Corp. 106,245 4,014 * Packaging Corp. of America 216,057 3,982 * Catellus Development Corp. 180,992 3,982 CBRL Group, Inc. 102,431 3,980 Donaldson Co., Inc. 89,475 3,977 FirstMerit Corp. 173,873 3,975 Pentair, Inc. 101,722 3,973 Wilmington Trust Corp. 135,306 3,971 * ADTRAN Inc. 77,796 3,969 * Timberland Co. 74,859 3,957 United Dominion Realty Trust REIT 229,660 3,955 * Invitrogen Corp. 102,970 3,951 AVX Corp. 359,387 3,950 * Fisher Scientific International Inc. 112,940 3,942 Reynolds & Reynolds Class A 137,904 3,939 * Varco International, Inc. 200,263 3,925 * Community Health Systems, Inc. 202,691 3,910 * Education Management Corp. 73,509 3,909 Sky Financial Group, Inc. 179,458 3,898 Investors Financial Services Corp. 133,981 3,887 Mandalay Resort Group 121,972 3,885 * Emulex Corp. 170,366 3,879 PepsiAmericas, Inc. 308,581 3,876 * Aramark Corp. Class B 172,717 3,872 Foot Locker, Inc. 290,850 3,854 Annaly Mortgage Management Inc. REIT 193,349 3,850 * Triad Hospitals, Inc. 154,481 3,834 Dial Corp. 197,024 3,832 * BearingPoint, Inc. 395,892 3,820 HCC Insurance Holdings, Inc. 129,146 3,819 * National-Oilwell, Inc. 173,546 3,818 The Macerich Co. REIT 108,607 3,815 Protective Life Corp. 142,333 3,807 Pier 1 Imports Inc. 186,411 3,803 * Agere Systems Inc. Class B 1,650,000 3,795 * The Cheesecake Factory 105,700 3,794 * Del Monte Foods Co. 428,428 3,787 * Maxtor Corp. 504,283 3,787 * Certegy, Inc. 136,248 3,781 Unitrin, Inc. 139,132 3,773 Nationwide Financial Services, Inc. 115,539 3,755 * Chico's FAS, Inc. 177,347 3,733 * PacifiCare Health Systems, Inc. 75,447 3,722 HON Industries, Inc. 121,193 3,696 * O'Reilly Automotive, Inc. 110,587 3,693 CONSOL Energy, Inc. 162,278 3,690 * Reliant Resources, Inc. 601,685 3,688 Tidewater Inc. 124,800 3,665 People's Bank 126,432 3,665 Cabot Corp. 127,101 3,648 Alliant Energy Corp. 190,959 3,634 * West Corp. 136,310 3,633 Peabody Energy Corp. 108,018 3,628 * Foundry Networks, Inc. 251,539 3,622 * The Neiman Marcus Group, Inc. Class A 98,650 3,611 Applebee's International, Inc. 114,412 3,596 * Crown Castle International Corp. 460,190 3,576 Ryland Group, Inc. 51,372 3,565 Webster Financial Corp. 94,309 3,565 * International Rectifier Corp. 132,650 3,558 BorgWarner, Inc. 55,188 3,554 * J.D. Edwards & Co. 247,971 3,553 * NTL Inc. 104,100 3,552 * AMR Corp. 322,600 3,549 Colonial BancGroup, Inc. 255,237 3,540 Hawaiian Electric Industries Inc. 76,944 3,528 * Kinder Morgan Management, LLC 94,127 3,526 Vectren Corp. 140,632 3,523 Clayton Homes Inc. 280,348 3,518 Trizec Properties, Inc. REIT 309,435 3,518 * Renal Care Group, Inc. 99,855 3,516 * American Tower Corp. Class A 396,740 3,511 Talbots Inc. 118,611 3,493 Chelsea Property Group REIT 86,630 3,492
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * 3Com Corp. 746,154 3,492 OGE Energy Corp. 163,131 3,486 Harte-Hanks, Inc. 183,422 3,485 * Kmart Holding Corp. 128,500 3,476 Roslyn Bancorp, Inc. 161,627 3,473 * McDATA Corp. Class A 236,133 3,464 Teleflex Inc. 81,376 3,463 * Performance Food Group Co. 93,445 3,457 * Sirius Satellite Radio, Inc. 2,042,259 3,451 * Ingram Micro, Inc. Class A 312,320 3,436 Lee Enterprises, Inc. 91,352 3,428 Philadelphia Suburban Corp. 140,063 3,415 Martin Marietta Materials, Inc. 101,400 3,408 Cullen/Frost Bankers, Inc. 105,955 3,401 Crescent Real Estate, Inc. REIT 204,589 3,398 Precision Castparts Corp. 109,263 3,398 Arden Realty Group, Inc. REIT 130,726 3,392 * Human Genome Sciences, Inc. 266,420 3,389 * DaVita, Inc. 126,356 3,384 * DeVry, Inc. 144,679 3,370 Raymond James Financial, Inc. 100,863 3,334 * Pharmaceutical Resources, Inc. 68,454 3,331 John Wiley & Sons Class A 127,085 3,330 * Rambus Inc. 200,941 3,330 BancorpSouth, Inc. 159,401 3,324 Washington Federal Inc. 143,662 3,323 Tootsie Roll Industries, Inc. 108,947 3,322 AGL Resources Inc. 130,352 3,316 * STERIS Corp. 143,427 3,312 * Pharmaceutical Product Development, Inc. 114,917 3,302 Reinsurance Group of America, Inc. 102,528 3,291 Lubrizol Corp. 106,018 3,285 RPM International, Inc. 238,697 3,282 American Financial Group, Inc. 143,822 3,279 Independence Community Bank Corp. 116,176 3,278 Ruby Tuesday, Inc. 131,666 3,256 Park National Corp. 28,468 3,252 * Stericycle, Inc. 84,349 3,246 Pan Pacific Retail Properties, Inc. REIT 82,367 3,241 * Neurocrine Biosciences, Inc. 64,702 3,231 Federal Realty Investment Trust REIT 100,878 3,228 Jack Henry & Associates Inc. 181,142 3,223 * Swift Transportation Co., Inc. 173,024 3,222 * Interactive Data Corp. 190,421 3,218 * Eon Labs, Inc. 91,136 3,203 Medicis Pharmaceutical Corp. 56,358 3,195 * The Corporate Executive Board Co. 78,026 3,185 Friedman, Billings,Ramsey Group, Inc. 236,381 3,168 * Scotts Co. 63,894 3,163 Hudson United Bancorp 92,565 3,161 * Arrow Electronics, Inc. 207,350 3,160 StanCorp Financial Group, Inc. 60,501 3,159 Trustmark Corp. 123,944 3,157 BRE Properties Inc. Class A REIT 94,820 3,148 * Westport Resources Corp. 138,115 3,142 * Sepracor Inc. 173,601 3,130 * Tech Data Corp. 117,104 3,128 * Avnet, Inc. 246,319 3,123 * Cypress Semiconductor Corp. 259,742 3,117 * Cognizant Technology Solutions Corp. 127,500 3,106 * Barnes & Noble, Inc. 134,424 3,098 * Fairchild Semiconductor International, Inc. 241,100 3,084 The Timken Co. 175,987 3,082 Mills Corp. REIT 91,446 3,068 FactSet Research Systems Inc. 69,578 3,065 * J.B. Hunt Transport Services, Inc. 81,019 3,058 Herman Miller, Inc. 151,264 3,057 Thornburg Mortgage, Inc. REIT 122,801 3,033 Helmerich & Payne, Inc. 103,639 3,026 * Cincinnati Bell Inc. 451,027 3,022 * Charles River Laboratories, Inc. 93,889 3,021 Harsco Corp. 83,738 3,019 ONEOK, Inc. 153,775 3,019 * Furniture Brands International Inc. 115,546 3,016 Old National Bancorp 130,929 3,011 Graco, Inc. 93,894 3,005 * Glamis Gold, Ltd. 260,543 2,988 CarrAmerica Realty Corp. REIT 107,423 2,987 Flagstar Bancorp, Inc. 121,974 2,982 * Station Casinos, Inc. 117,784 2,974 Fresh Del Monte Produce Inc. 115,646 2,971 Westamerica Bancorporation 68,835 2,965 * Andrx Group 148,123 2,948 * Alleghany Corp. 15,430 2,947 * Grant Prideco, Inc. 250,171 2,940 CenterPoint Properties Corp. REIT 47,802 2,928 ICN Pharmaceuticals, Inc. 173,212 2,903 * Hovnanian Enterprises Class A 49,215 2,901 MDC Holdings, Inc. 60,065 2,900 * NBTY, Inc. 137,567 2,897 * Bio-Rad Laboratories, Inc. Class A 52,265 2,893 * Brocade Communications Systems, Inc. 490,703 2,890 IndyMac Bancorp, Inc. REIT 113,685 2,890 * Key Energy Services, Inc. 267,649 2,869 Lancaster Colony Corp. 74,065 2,863
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Borders Group, Inc. 162,565 2,863 * FMC Technologies Inc. 135,602 2,854 * Advanced Fibre Communications, Inc. 175,288 2,852 ArvinMeritor, Inc. 141,314 2,852 * Saks Inc. 293,950 2,851 Rayonier Inc. 86,314 2,848 * Avocent Corp. 94,996 2,843 * Polycom, Inc. 205,052 2,842 * WFS Financial, Inc. 84,759 2,840 F.N.B. Corp. 93,837 2,840 International Bancshares Corp. 79,807 2,838 Camden Property Trust REIT 80,978 2,830 * Apria Healthcare Group Inc. 113,425 2,822 Odyssey Re Holdings Corp. 133,686 2,821 American Capital Strategies, Ltd. 113,083 2,820 Polaris Industries, Inc. 45,663 2,804 Werner Enterprises, Inc. 131,845 2,795 First Midwest Bancorp, Inc. 96,900 2,792 Imation Corp. 73,759 2,790 * Valassis Communications, Inc. 108,390 2,788 Cousins Properties, Inc. REIT 99,693 2,781 Media General, Inc. Class A 48,522 2,775 Jefferies Group, Inc. 55,683 2,772 * AmeriCredit Corp. 321,624 2,750 UGI Corp. Holding Co. 86,709 2,749 Realty Income Corp. REIT 71,958 2,740 Reader's Digest Association, Inc. 202,580 2,731 Global Payments Inc. 76,797 2,726 * Sybase, Inc. 195,748 2,723 * Cytec Industries, Inc. 80,402 2,718 Western Gas Resources, Inc. 68,597 2,716 Ethan Allen Interiors, Inc. 77,189 2,714 * Silicon Laboratories Inc. 101,859 2,714 Church & Dwight, Inc. 82,902 2,713 * Macromedia, Inc. 128,849 2,711 * ITT Educational Services, Inc. 92,644 2,710 * ResMed Inc. 69,058 2,707 * Protein Design Labs, Inc. 193,609 2,707 HRPT Properties Trust REIT 293,057 2,696 * Acxiom Corp. 178,537 2,694 * Interdigital Communications Corp. 115,098 2,690 WGL Holdings Inc. 100,622 2,687 Carlisle Co., Inc. 63,464 2,676 CBL & AssociatesProperties, Inc. REIT 62,168 2,673 * Red Hat, Inc. 353,032 2,672 WPS Resources Corp. 66,463 2,672 * American Eagle Outfitters, Inc. 147,297 2,669 AptarGroup Inc. 74,065 2,666 * AnnTaylor Stores Corp. 91,964 2,662 * Affiliated Managers Group, Inc. 43,668 2,662 IKON Office Solutions, Inc. 298,675 2,658 Piedmont Natural Gas, Inc. 68,454 2,657 * Activision, Inc. 205,495 2,655 * Zale Corp. 66,370 2,655 Seagate Technology 150,272 2,652 * AGCO Corp. 155,174 2,650 Valhi, Inc. 274,835 2,644 Whitney Holdings Corp. 82,633 2,642 * Extended Stay America, Inc. 194,447 2,623 La-Z-Boy Inc. 116,972 2,618 * Respironics, Inc. 69,755 2,617 * The Yankee Candle Co., Inc. 112,487 2,612 * DoubleClick Inc. 281,892 2,608 The MONY Group Inc. 96,723 2,607 Regis Corp. 89,576 2,602 * Nextel Partners, Inc. 356,263 2,601 CNF Inc. 102,334 2,597 * Techne Corp. 85,526 2,595 Blyth, Inc. 95,182 2,589 Provident Financial Group, Inc. 100,991 2,588 * Marvel Enterprises Inc. 135,000 2,579 * P.F. Chang's China Bistro, Inc. 52,296 2,573 Claire's Stores, Inc. 101,241 2,567 * Perot Systems Corp. 225,882 2,566 * Emmis Communications, Inc. 111,773 2,565 Atmos Energy Corp. 103,091 2,557 Health Care Inc. REIT 83,720 2,553 LaBranche & Co. Inc. 123,388 2,553 First Industrial Realty Trust REIT 80,780 2,553 * Hyperion Solutions Corp. 75,484 2,548 Healthcare Realty Trust Inc. REIT 86,997 2,536 * Cabot Microelectronics Corp. 50,200 2,534 21st Century Insurance Group 176,225 2,520 UCBH Holdings, Inc. 87,450 2,508 * Pacific Sunwear of California, Inc. 103,886 2,503 * Forest Oil Corp. 99,372 2,496 Ametek, Inc. 68,089 2,495 Airgas, Inc. 148,938 2,495 * INAMED Corp. 46,448 2,494 * Earthlink, Inc. 315,357 2,488 Pacific Capital Bancorp 70,856 2,484 Arch Coal, Inc. 108,047 2,483 Essex Property Trust, Inc. REIT 43,366 2,483 United Bankshares, Inc. 86,575 2,480 * Veridian Corp. 70,920 2,474 * XM Satellite Radio Holdings, Inc. 223,775 2,473 Roper Industries Inc. 66,442 2,472 Kennametal, Inc. 73,027 2,471 * Cree, Inc. 151,535 2,467 * American Axle & Manufacturing Holdings, Inc. 103,149 2,465
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- Ventas, Inc. REIT 162,719 2,465 Highwood Properties, Inc. REIT 110,409 2,462 * United Stationers, Inc. 68,042 2,461 * Select Medical Corp. 98,966 2,457 IDEX Corp. 67,663 2,452 Shurgard Storage Centers, Inc. Class A REIT 74,126 2,452 * Atmel Corp. 968,098 2,449 * Panera Bread Co. 61,144 2,446 * Cytyc Corp. 232,234 2,443 Staten Island Bancorp, Inc. 125,182 2,439 Florida Rock Industries, Inc. 59,020 2,436 Diagnostic Products Corp. 59,276 2,433 * Crown Holdings, Inc. 340,567 2,432 * Take-Two Interactive Software, Inc. 85,775 2,431 Prentiss Properties Trust REIT 81,038 2,430 * Charter Communications, Inc. 610,332 2,423 * Varian, Inc. 69,880 2,423 * Scholastic Corp. 81,352 2,423 * OSI Pharmaceuticals, Inc. 75,075 2,418 Westar Energy, Inc. 148,958 2,418 * IDEXX Laboratories Corp. 71,542 2,410 Energen Corp. 72,313 2,408 Citizens Banking Corp. 89,662 2,400 Thor Industries, Inc. 58,798 2,400 Hilb, Rogal and Hamilton Co. 70,352 2,395 W Holding Co., Inc. 141,201 2,389 Polo Ralph Lauren Corp. 92,619 2,389 Downey Financial Corp. 57,833 2,389 * Service Corp. International 616,754 2,387 * Affymetrix, Inc. 121,087 2,387 Commerce Group, Inc. 65,881 2,385 Albemarle Corp. 85,243 2,384 * Overture Services, Inc. 131,294 2,380 * Premcor, Inc. 110,456 2,380 Speedway Motorsports, Inc. 87,967 2,358 * Meridian Gold Co. 204,960 2,355 * Integrated Device Technology Inc. 213,014 2,354 * Sonus Networks, Inc. 466,958 2,349 Superior Industries International, Inc. 56,171 2,342 * Southern Union Co. 138,268 2,342 Heritage Property Investment Trust REIT 86,212 2,335 * Conexant Systems, Inc. 556,604 2,332 * Martek Biosciences Corp. 54,214 2,328 DQE Inc. 154,093 2,322 * R.H. Donnelley Corp. 63,523 2,317 * Vertex Pharmaceuticals, Inc. 158,422 2,313 * Stone Energy Corp. 54,869 2,300 Alpharma, Inc. Class A 106,460 2,300 * 7-Eleven, Inc. 217,850 2,298 * Electronics for Imaging, Inc. 113,237 2,298 * Heartland Express, Inc. 103,219 2,297 * Cymer, Inc. 71,603 2,292 * Southwest Bancorporation of Texas, Inc. 70,501 2,292 * RF Micro Devices, Inc. 379,997 2,288 Patina Oil & Gas Corp. 71,147 2,287 * Covance, Inc. 126,332 2,287 AmerUs Group Co. 81,110 2,286 * Boyd Gaming Corp. 132,465 2,286 Regal Entertainment Group Class A 96,664 2,279 Alexander & Baldwin, Inc. 85,769 2,275 * Tom Brown, Inc. 81,732 2,271 Skywest, Inc. 119,034 2,269 First BanCorp Puerto Rico 82,628 2,268 The South Financial Group, Inc. 97,095 2,265 * Quest Software, Inc. 190,305 2,265 Westcorp, Inc. 80,845 2,264 First Citizens BancShares Class A 22,424 2,261 SL Green Realty Corp. REIT 64,778 2,260 Sensient Technologies Corp. 98,177 2,257 * Fossil, Inc. 95,750 2,256 * Radio One, Inc. Class D 126,800 2,253 Briggs & Stratton Corp. 44,498 2,247 * Flowserve Corp. 114,178 2,246 * Beazer Homes USA, Inc. 26,894 2,246 Perrigo Co. 143,391 2,243 * Kroll Inc. 82,571 2,234 Cooper Cos., Inc. 64,186 2,232 * GlobespanVirata, Inc. 270,391 2,231 Corn Products International, Inc. 74,132 2,226 * Siliconix, Inc. 61,629 2,225 Standard Pacific Corp. 67,055 2,224 * TIBCO Software Inc. 435,898 2,219 * Houston Exploration Co. 63,680 2,210 * United Rentals, Inc. 159,005 2,209 Greater Bay Bancorp 107,414 2,206 * RealNetworks, Inc. 325,383 2,206 Community First Bankshares, Inc. 80,566 2,199 * Tuesday Morning Corp. 83,611 2,199 Washington REIT 80,598 2,192 * Arbitron Inc. 61,249 2,187 Universal Corp. (VA) 51,624 2,184 * United Online, Inc. 86,146 2,183 * Evergreen Resources, Inc. 40,076 2,177 * Hollywood Entertainment Corp. 126,462 2,175 * BJ's Wholesale Club, Inc. 144,000 2,169 * Accredo Health, Inc. 99,175 2,162 PNM Resources Inc. 80,530 2,154 * FLIR Systems, Inc. 71,360 2,152
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Semtech Corp. 150,938 2,149 * Sycamore Networks, Inc. 561,124 2,149 * Linens 'n Things, Inc. 91,020 2,149 New Century Financial Corp. 49,166 2,146 Fremont General Corp. 156,610 2,146 Equity One, Inc. REIT 130,784 2,145 * Fidelity National Information Solutions, Inc. 81,804 2,133 * FTI Consulting, Inc. 85,178 2,127 Texas Regional Bancshares, Inc. 60,994 2,116 * Vitesse Semiconductor Corp. 428,400 2,108 * Varian Semiconductor Equipment Associates, Inc. 70,746 2,105 Airborne, Inc. 99,990 2,090 IDACORP, Inc. 79,568 2,089 Callaway Golf Co. 157,947 2,088 * CEC Entertainment Inc. 56,467 2,085 Oshkosh Truck Corp. 35,116 2,083 Alfa Corp. 163,801 2,082 * Kronos, Inc. 40,884 2,077 Reckson Associates Realty Corp. REIT 99,518 2,076 Chittenden Corp. 75,766 2,072 * Landstar System, Inc. 32,904 2,068 * Choice Hotel International, Inc. 75,717 2,068 * Sonic Corp. 81,137 2,063 Invacare Corp. 62,420 2,060 Massey Energy Co. 155,960 2,051 * Genta Inc. 153,870 2,050 * Waste Connections, Inc. 58,409 2,047 * Intergraph Corp. 95,169 2,046 Olin Corp. 119,562 2,045 * Avid Technology, Inc. 58,243 2,043 Minerals Technologies, Inc. 41,971 2,042 Post Properties, Inc. REIT 77,020 2,041 FIrst Niagara Financial Group, Inc. 146,185 2,041 * CACI International, Inc. 59,437 2,039 * Continental Airlines, Inc. Class B 136,093 2,037 The Toro Co. 51,204 2,035 * Legato Systems, Inc. 242,106 2,031 Grey Global Group Inc. 2,628 2,030 Hollinger International, Inc. 187,976 2,025 Home Properties of New York, Inc. REIT 57,427 2,024 * Trimeris, Inc. 44,241 2,021 * Mentor Graphics Corp. 139,510 2,020 * Gen-Probe Inc. 49,300 2,015 * Cimarex Energy Co. 84,782 2,014 * Arch Capital Group Ltd. 57,753 2,006 Black Hills Corp. 65,287 2,004 Bob Evans Farms, Inc. 72,483 2,003 * Ascential Software Corp. 121,497 1,997 * Northwest Airlines Corp. Class A 176,824 1,996 * Anteon International Corp. 71,464 1,995 * Macrovision Corp. 99,978 1,992 * Genencor International Inc. 120,912 1,991 * Documentum, Inc. 101,198 1,991 * ExpressJet Holdings, Inc. 131,724 1,989 Arrow International, Inc. 45,037 1,988 Fred's, Inc. 53,473 1,988 New Jersey Resources Corp. 55,998 1,988 * Ligand Pharmaceuticals Inc.Class B 146,061 1,985 * Entegris Inc. 147,561 1,983 Delphi Financial Group, Inc. 42,310 1,980 Clarcor Inc. 51,297 1,977 * Micrel, Inc. 190,276 1,977 * Cox Radio, Inc. 85,544 1,977 * Allmerica Financial Corp. 109,760 1,975 Taubman Co. REIT 103,034 1,974 * Ultra Petroleum Corp. 152,636 1,971 Commercial Federal Corp. 92,748 1,966 * Cognex Corp. 87,908 1,965 * K-V Pharmaceutical Co. Class A 70,589 1,962 * Catalina Marketing Corp. 110,622 1,952 * Skyworks Solutions, Inc. 287,874 1,949 * Plantronics, Inc. 89,598 1,942 * Terex Corp. 99,184 1,936 * Cumulus Media Inc. 102,221 1,935 * Silicon Valley Bancshares 81,234 1,934 * Alliance Gaming Corp. 101,908 1,927 * MKS Instruments, Inc. 106,602 1,926 * Sylvan Learning Systems, Inc. 84,329 1,926 * Knight Transportation, Inc. 77,276 1,924 * Mueller Industries Inc. 70,906 1,922 York International Corp. 81,860 1,916 UMB Financial Corp. 45,165 1,915 * Abgenix, Inc. 182,286 1,912 * Dade Behring Holdings Inc. 83,220 1,912 * Christopher & Banks Corp. 51,587 1,908 * American Financial Realty Trust REIT 127,900 1,907 * Lattice Semiconductor Corp. 231,587 1,906 Susquehanna Bancshares, Inc. 81,588 1,905 * Tetra Tech, Inc. 111,179 1,904 * Unit Corp. 90,686 1,896 Ferro Corp. 84,151 1,896 * The Medicines Co. 96,141 1,893 * Simpson Manufacturing Co. 51,474 1,884 * Exult Inc. 219,374 1,880 * Keane, Inc. 137,541 1,875 * Quiksilver, Inc. 112,986 1,863 * VISX Inc. 106,810 1,853
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * Sybron Dental Specialties, Inc. 78,438 1,851 Mentor Corp. 95,448 1,850 * Tractor Supply Co. 38,700 1,848 * Investment Technology Group, Inc. 99,136 1,844 Flowers Foods, Inc. 93,282 1,843 Albany International Corp. 67,226 1,842 Colonial Properties Trust REIT 52,068 1,832 * ADVO, Inc. 41,262 1,832 Cabot Oil & Gas Corp. 66,307 1,831 * Mediacom Communications Corp. 185,127 1,827 State Auto Financial Corp. 81,332 1,826 * United Auto Group, Inc. 83,674 1,822 Brandywine Realty Trust REIT 74,011 1,822 * Odyssey Healthcare, Inc. 49,238 1,822 * Commonwealth Telephone Enterprises, Inc. 41,417 1,821 * Philadelphia Consolidated Holding Corp. 44,975 1,817 * CNET Networks, Inc. 291,565 1,816 * KEMET Corp. 179,770 1,816 Capital Automotive REIT 64,844 1,815 LandAmerica Financial Group, Inc. 38,208 1,815 * Spinnaker Exploration Co. 69,257 1,815 East West Bancorp, Inc. 49,909 1,804 * Anixter International Inc. 76,952 1,803 * Copart, Inc. 190,638 1,802 Chateau Communities, Inc. REIT 60,811 1,799 * Men's Wearhouse, Inc. 82,313 1,799 * NetIQ Corp. 115,718 1,789 MAF Bancorp, Inc. 48,150 1,785 * NPS Pharmaceuticals Inc. 73,241 1,783 * Cobalt Corp. 86,603 1,780 * WCI Communities, Inc. 92,228 1,774 Trinity Industries, Inc. 95,794 1,773 Strayer Education, Inc. 22,279 1,770 MacDermid, Inc. 67,203 1,767 Weis Markets, Inc. 56,841 1,763 Alexandria Real Estate Equities, Inc. REIT 39,161 1,762 * National Processing, Inc. 109,416 1,759 CVB Financial Corp. 90,115 1,759 Rollins, Inc. 93,181 1,756 Lincoln Electric Holdings, Inc. 85,940 1,754 * SERENA Software, Inc. 83,817 1,750 * Payless ShoeSource, Inc. 139,893 1,749 The Phoenix Cos., Inc. 193,642 1,749 * Entravision Communications Corp. 153,976 1,748 * BlackRock, Inc. 38,796 1,747 * Hot Topic, Inc. 64,924 1,747 Federal Signal Corp. 99,356 1,746 * CV Therapeutics, Inc. 58,848 1,745 Delta & Pine Land Co. 79,203 1,741 * Priceline.com, Inc. 77,722 1,740 * Dionex Corp. 43,757 1,739 * Hutchinson Technology, Inc. 52,691 1,733 Kelly Services, Inc. Class A 73,868 1,732 * Pediatrix Medical Group, Inc. 48,561 1,731 TrustCo Bank NY 156,183 1,731 * Adaptec, Inc. 221,992 1,727 * Western Wireless Corp. Class A 149,734 1,726 * LifePoint Hospitals, Inc. 82,395 1,725 R.L.I. Corp. 52,261 1,719 * CTI Molecular Imaging, Inc. 90,820 1,717 Hughes Supply, Inc. 49,406 1,714 Kellwood Co. 54,104 1,711 * Thoratec Corp. 114,547 1,707 * Quanta Services, Inc. 239,534 1,701 * Cal Dive International, Inc. 77,998 1,700 * Cerner Corp. 74,049 1,699 Banta Corp. 52,435 1,697 Liberty Corp. 39,905 1,696 Impac Mortgage Holdings, Inc. REIT 101,390 1,692 * OfficeMax, Inc. 258,306 1,692 * SCP Pool Corp. 49,160 1,691 Cleco Corp. 97,614 1,691 A.O. Smith Corp. 59,970 1,688 * USG Corp. 88,635 1,684 * Penn National Gaming, Inc. 81,932 1,684 * The Titan Corp. 163,458 1,682 * Priority Healthcare Corp. Class B 90,441 1,678 * Jack in the Box Inc. 75,164 1,676 LNR Property Corp. 44,808 1,676 Brookline Bancorp, Inc. 119,685 1,676 Nordson Corp. 70,211 1,675 N L Industries, Inc. 98,336 1,672 * Maverick Tube Corp. 87,278 1,671 Cathay Bancorp, Inc. 37,454 1,670 * Ohio Casualty Corp. 126,671 1,670 GATX Corp. 101,960 1,667 * FMC Corp. 73,427 1,662 Crompton Corp. 235,489 1,660 * Ariba, Inc. 557,633 1,656 Burlington Coat Factory Warehouse Corp. 92,509 1,656 Granite Construction Co. 86,252 1,653 * Oakley, Inc. 140,111 1,649 * Leapfrog Enterprises, Inc. 51,800 1,648 Matthews International Corp. 66,459 1,646 * VCA Antech, Inc. 83,633 1,637 Manufactured Home Communities, Inc. REIT 46,579 1,635 * PRIMEDIA Inc. 535,848 1,634
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- Senior Housing Properties Trust REIT 120,441 1,633 The Brink's Co. 111,910 1,631 * Borland Software Corp. 166,428 1,626 * Dycom Industries, Inc. 99,274 1,618 Nationwide Health Properties, Inc. REIT 101,212 1,612 * ProAssurance Corp. 59,551 1,607 Brady Corp. Class A 48,127 1,605 Glimcher Realty Trust REIT 71,551 1,603 * ATMI, Inc. 64,169 1,602 * Alaris Medical, Inc. 123,700 1,602 Wolverine World Wide, Inc. 83,100 1,601 * Radio One, Inc. 89,479 1,598 * Cost Plus, Inc. 44,790 1,597 IMC Global Inc. 237,629 1,594 Republic Bancorp, Inc. 118,643 1,592 * Aeropostale, Inc. 73,944 1,588 Northwest Bancorp, Inc. 99,227 1,588 First Commonwealth Financial Corp. 122,374 1,586 * AMERIGROUP Corp. 42,500 1,581 Kilroy Realty Corp. REIT 57,364 1,578 Owens & Minor, Inc. Holding Co. 70,579 1,577 * Manhattan Associates, Inc. 60,603 1,574 * MedQuist, Inc. 77,730 1,573 * Watson Wyatt & Co. Holdings 67,780 1,571 Acuity Brands, Inc. 86,411 1,570 St. Mary Land & Exploration Co. 57,367 1,566 Overseas Shipholding Group Inc. 71,093 1,565 * Benchmark Electronics, Inc. 50,803 1,563 * AirTran Holdings, Inc. 149,029 1,560 * Hanover Compressor Co. 137,410 1,553 * Wilson Greatbatch Technologies, Inc. 42,946 1,550 ABM Industries Inc. 100,640 1,550 PS Business Parks, Inc. REIT 43,876 1,549 * IGEN International, Inc. 49,314 1,548 * EMCOR Group, Inc. 31,365 1,548 Russ Berrie and Co., Inc. 42,348 1,546 Lennox International Inc. 119,982 1,544 * Corrections Corp. of America REIT 60,957 1,544 * Regeneron Pharmaceuticals, Inc. 97,967 1,543 * American Italian Pasta Co. 37,037 1,543 * WilTel Communications, Inc. 104,341 1,538 Potlatch Corp. 59,642 1,536 * Journal Register Co. 84,680 1,532 Hugoton Royalty Trust 83,084 1,529 Hancock Holding Co. 32,476 1,528 * CSG Systems International, Inc. 107,912 1,525 * Kansas City Southern 126,546 1,522 Centex Construction Products, Inc. 37,973 1,522 Gables Residential Trust REIT 50,344 1,522 * Applera Corp.-Celera Genomics Group 147,305 1,520 John H. Harland Co. 57,881 1,514 USF Corp. 56,107 1,513 * Group 1 Automotive, Inc. 46,617 1,511 * Grey Wolf, Inc. 373,852 1,510 * OmniVision Technologies, Inc. 48,378 1,509 * UICI 99,887 1,505 * Ralcorp Holdings, Inc. 60,302 1,505 The Pep Boys (Manny, Moe & Jack) 111,257 1,503 Ruddick Corp. 95,598 1,503 S & T Bancorp, Inc. 54,776 1,503 * ChipPAC, Inc. 195,874 1,502 * Rare Hospitality International Inc. 45,948 1,502 * Trimble Navigation Ltd. 65,422 1,500 * Denbury Resources, Inc. 111,620 1,499 * ProQuest Co. 58,085 1,499 * Biosite Inc. 31,104 1,496 * SEACOR SMIT Inc. 40,994 1,496 * Align Technology, Inc. 119,063 1,494 * EGL, Inc. 98,249 1,493 Irwin Financial Corp. 57,611 1,492 CH Energy Group, Inc. 33,119 1,490 * Genesis Health Ventures, Inc. 84,391 1,490 * Internet Security Systems, Inc. 102,723 1,488 Vintage Petroleum, Inc. 131,867 1,487 Bandag, Inc. 39,759 1,482 Chemical Financial Corp. 49,594 1,478 * Price Communications Corp. 114,457 1,478 First Financial Bancorp 92,332 1,477 Sun Communities, Inc. REIT 37,507 1,474 Southwest Gas Corp. 69,585 1,474 * Integra LifeSciences Holdings 55,494 1,464 MB Financial, Inc. 36,543 1,463 * THQ Inc. 81,057 1,459 * Pacer International, Inc. 77,284 1,458 * Power Integrations, Inc. 59,905 1,457 * Joy Global Inc. 98,590 1,456 * TiVo Inc. 119,522 1,456 * MPS Group, Inc. 211,562 1,456 Harleysville Group, Inc. 63,049 1,451 Winnebago Industries, Inc. 38,273 1,451 * Tanox, Inc. 90,373 1,450 Baldor Electric Co. 70,407 1,450 Casey's General Stores, Inc. 102,276 1,446 Otter Tail Corp. 53,597 1,446 * Too Inc. 71,375 1,445 * Urban Outfitters, Inc. 40,204 1,443
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * Superior Energy Services, Inc. 152,206 1,443 Northwest Natural Gas Co. 52,917 1,442 * Quantum Corp. 355,982 1,442 Commercial Net Lease Realty REIT 83,556 1,441 * Knight Trading Group, Inc. 231,534 1,440 * Progress Software Corp. 69,471 1,440 Black Box Corp. 39,747 1,439 * Coherent, Inc. 60,752 1,439 Bank Mutual Corp. 44,260 1,438 * Barra, Inc. 40,284 1,438 Redwood Trust, Inc. REIT 35,965 1,435 * Alkermes, Inc. 133,319 1,433 * Sierra Pacific Resources 241,221 1,433 Santander BanCorp 87,510 1,432 * Renaissance Learning, Inc. 65,239 1,429 * Yellow Corp. 61,716 1,429 Horace Mann Educators Corp. 88,550 1,428 * Kirby Corp. 50,396 1,421 * Tekelec 125,615 1,419 Avista Corp. 99,390 1,406 Corus Bankshares Inc. 29,003 1,405 * Guitar Center, Inc. 48,300 1,401 * Pinnacle Systems, Inc. 130,651 1,398 * Vicuron Pharmaceuticals Inc. 98,435 1,396 Selective Insurance Group 55,602 1,393 Engineered Support Systems, Inc. 33,272 1,392 * Insight Communications Co., Inc. 105,460 1,390 * Gaylord Entertainment Co. Class A 70,910 1,388 IHOP Corp. 43,698 1,380 * WellChoice Inc. 47,000 1,376 * US Oncology, Inc. 186,085 1,375 * Advanced Neuromodulation Systems, Inc. 26,558 1,375 Reliance Steel & Aluminum Co. 66,402 1,375 * MGI Pharma, Inc. 53,552 1,373 * La Quinta Corp. REIT 318,026 1,371 * Technical Olympic USA, Inc. 57,933 1,369 * UNOVA, Inc. 122,828 1,363 * Inveresk Research Group Inc. 75,100 1,359 Novastar Financial, Inc. REIT 22,748 1,359 * CMGI Inc. 813,871 1,359 Dime Community Bancshares 53,392 1,359 * ILEX Oncology, Inc. 69,880 1,356 * FileNET Corp. 75,101 1,355 Farmer Brothers, Inc. 3,993 1,355 * CSK Auto Corp. 93,723 1,354 Modine Manufacturing Co. 69,916 1,354 Vector Group Ltd. 77,336 1,353 * Steel Dynamics, Inc. 98,578 1,351 Glatfelter 91,191 1,345 * Maguire Properties, Inc. REIT 69,800 1,344 National Penn Bancshares Inc. 47,837 1,343 Landry's Restaurants, Inc. 56,815 1,341 * Universal Compression Holdings, Inc. 64,164 1,338 * URS Corp. 68,677 1,336 * FormFactor Inc. 75,500 1,336 Georgia Gulf Corp. 67,476 1,336 Analogic Corp. 27,384 1,335 First Financial Bankshares, Inc. 39,856 1,334 * Lexar Media, Inc. 139,626 1,332 Boston Private Financial Holdings, Inc. 63,099 1,330 * Meritage Corp. 26,900 1,325 * Enzo Biochem, Inc. 61,552 1,325 * Offshore Logistics, Inc. 60,826 1,323 NDCHealth Corp. 72,062 1,322 Longs Drug Stores, Inc. 79,513 1,320 Kaydon Corp. 63,164 1,314 Net.Bank, Inc. 99,696 1,312 BankAtlantic Bancorp, Inc. Class A 110,133 1,309 NBT Bancorp, Inc. 67,631 1,309 * Exar Corp. 82,426 1,305 * Triarc Cos., Inc. Class A 43,496 1,304 * Oceaneering International, Inc. 50,942 1,302 UniSource Energy Corp. 69,154 1,300 * Ciber, Inc. 184,857 1,298 * Lin TV Corp. 55,076 1,297 * Wright Medical Group, Inc. 68,229 1,296 * Extreme Networks, Inc. 244,542 1,296 * Six Flags, Inc. 191,130 1,296 * FEI Co. 69,056 1,295 * Digene Corp. 47,544 1,295 * Sonic Automotive, Inc. 59,044 1,294 * MSC Industrial Direct Co., Inc. Class A 72,270 1,294 * DRS Technologies, Inc. 46,312 1,293 M/I Schottenstein Homes, Inc. 30,276 1,292 * AmSurg Corp. 42,359 1,292 * BioMarin Pharmaceutical Inc. 132,331 1,292 * Checkpoint Systems, Inc. 91,183 1,290 * RSA Security Inc. 119,993 1,290 H.B. Fuller Co. 58,444 1,287 * Corvis Corp. 857,387 1,286 * Syntel, Inc. 81,727 1,286 Provident Bankshares Corp. 50,578 1,285 * Hydrill Co. 47,128 1,284 * El Paso Electric Co. 104,137 1,284 WD-40 Co. 44,971 1,284 Spartech Corp. 60,519 1,284
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Digital Insight Corp. 67,047 1,277 * Advanced Digital Information Corp. 127,739 1,276 G & K Services, Inc. Class A 43,080 1,275 * Ask Jeeves, Inc. 92,700 1,275 * Argosy Gaming Co. 60,936 1,274 FelCor Lodging Trust, Inc. REIT 162,085 1,272 * Enterasys Networks, Inc. 419,820 1,272 PFF Bancorp, Inc. 32,900 1,272 K-Swiss, Inc. 36,780 1,270 Russell Corp. 66,705 1,267 GBC Bancorp 32,995 1,267 * Wynn Resorts Ltd. 71,600 1,267 Waypoint Financial Corp. 70,176 1,266 * United Surgical Partners International, Inc. 56,033 1,266 * Packeteer, Inc. 81,010 1,261 * Axcelis Technologies, Inc. 206,003 1,261 * Verint Systems Inc. 49,419 1,256 Wabtec Corp. 90,260 1,256 * Financial Federal Corp. 51,445 1,255 MCG Capital Corp. 86,400 1,253 * Ryan's Family Steak Houses, Inc. 89,463 1,252 Blockbuster Inc. Class A 74,328 1,252 * American Management Systems, Inc. 87,692 1,252 * Credit Acceptance Corp. 124,090 1,252 Independent Bank Corp. (MI) 48,727 1,252 * CUNO Inc. 34,654 1,252 * Aeroflex, Inc. 161,530 1,250 * Technitrol, Inc. 83,060 1,250 * Steak n Shake Co. 81,918 1,249 Millennium Chemicals, Inc. 131,341 1,249 * The Warnaco Group, Inc. 92,850 1,249 * Micromuse Inc. 156,153 1,248 Franklin Electric, Inc. 22,400 1,247 * Atlantic Coast Airlines Holdings Inc. 92,266 1,245 * Sola International Inc. 71,498 1,244 * Lone Star Technologies, Inc. 58,711 1,243 * First Federal Financial Corp. 35,225 1,243 Hudson River Bancorp. Inc. 44,475 1,242 Alabama National BanCorporation 25,592 1,241 * Movie Gallery, Inc. 67,244 1,241 Cubic Corp. 55,583 1,235 * eSPEED, Inc. Class A 62,476 1,235 Kimball International, Inc. Class B 79,107 1,234 * The Advisory Board Co. 30,412 1,232 Royal Gold, Inc. 57,336 1,232 The Manitowoc Co., Inc. 55,236 1,232 * Wireless Facilities, Inc. 103,467 1,231 * BankUnited Financial Corp. 61,094 1,231 * aQuantive, Inc. 117,175 1,230 South Jersey Industries, Inc. 33,344 1,229 Cambrex Corp. 53,348 1,228 * Navigant Consulting, Inc. 103,598 1,228 Oriental Financial Group Inc. 47,668 1,225 * Oil States International, Inc. 101,193 1,224 UIL Holdings Corp. 30,181 1,224 Arkansas Best Corp. 51,400 1,223 * DSP Group Inc. 56,786 1,223 Bowne & Co., Inc. 93,779 1,222 * MAXIMUS, Inc. 44,222 1,222 Empire District Electric Co. 56,147 1,221 * TBC Corp. 63,966 1,219 * Albany Molecular Research, Inc. 80,430 1,214 Anchor Bancorp Wisconsin Inc. 50,836 1,214 Pacific Northwest Bancorp 34,904 1,213 United Community Banks, Inc. 48,529 1,212 Harbor Florida Bancshares, Inc. 50,567 1,212 Anthracite Capital Inc. REIT 100,304 1,210 Rock-Tenn Co. 71,360 1,210 Sterling Bancshares, Inc. 92,405 1,209 USEC Inc. 172,094 1,208 Wausau-Mosinee Paper Corp. 107,763 1,207 * Bright Horizons Family Solutions, Inc. 35,959 1,207 * Encore Acquisition Co. 62,882 1,204 * Aztar Corp. 74,744 1,204 * Impax Laboratories, Inc. 100,049 1,200 Tredegar Corp. 80,012 1,199 Thomas Industries, Inc. 44,300 1,198 CARBO Ceramics Inc. 32,169 1,198 * Trex Co., Inc. 30,495 1,197 * Viasys Healthcare Inc. 57,796 1,196 Amcore Financial, Inc. 51,381 1,196 R & G Financial Corp. Class B 40,255 1,196 * Akamai Technologies, Inc. 245,848 1,195 PolyMedica Corp. 26,084 1,194 * Pegasus Solutions Inc. 73,469 1,194 * Photronics Inc. 68,343 1,193 * Kyphon Inc. 78,681 1,190 Interstate Bakeries Corp. 93,637 1,189 * Atrix Laboratories, Inc. 54,041 1,188 * Telik, Inc. 73,876 1,187 * Silgan Holdings, Inc. 37,951 1,187 * Alaska Air Group, Inc. 55,268 1,185 * Scientific Games Corp. 125,785 1,182 * Electronics Boutique Holdings Corp. 51,160 1,182 * WebEx Communications, Inc. 84,718 1,182 The Stride Rite Corp. 118,530 1,181 * MICROS Systems, Inc. 35,791 1,180
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * CommScope, Inc. 124,215 1,180 * Photon Dynamics, Inc. 42,685 1,179 Holly Corp. 42,723 1,179 * Newport Corp. 79,570 1,178 * Newpark Resources, Inc. 214,769 1,177 Sanderson Farms, Inc. 41,873 1,177 * American Healthways Inc. 32,550 1,176 Charter Financial Corp. 41,604 1,175 * Westell Technologies, Inc. 135,840 1,175 * Hecla Mining Co. 277,524 1,174 Getty Realty Holding Corp. REIT 52,547 1,173 * Chiquita Brands International, Inc. 82,962 1,172 * Charming Shoppes, Inc. 235,862 1,172 Zenith National Insurance Corp. 41,106 1,172 MFA Mortgage Investments, Inc. REIT 116,519 1,170 Roadway Corp. 40,984 1,169 American States Water Co. 42,808 1,169 MGE Energy, Inc. 37,076 1,168 * Veritas DGC Inc. 101,474 1,167 * Alexander's, Inc. REIT 13,968 1,166 * Kos Pharmaceuticals, Inc. 49,600 1,164 * ESCO Technologies Inc. 26,311 1,158 * LendingTree, Inc. 47,291 1,158 * Informatica Corp. 167,399 1,157 * Sharper Image Corp. 42,417 1,157 * CompuCredit Corp. 95,091 1,155 BancFirst Corp. 22,258 1,154 * Trammell Crow Co. 108,747 1,154 Lexington Corporate Properties Trust REIT 65,100 1,152 The Trust Co. of New Jersey 37,977 1,151 Summit Properties, Inc. REIT 55,670 1,150 Great American Financial Resources, Inc. 87,665 1,149 * Actuant Corp. 24,277 1,149 * Tularik, Inc. 115,336 1,146 Gold Banc Corp., Inc. 109,072 1,146 * Digital River, Inc. 59,327 1,145 * Echelon Corp. 83,114 1,144 Applied Industrial Technology, Inc. 54,223 1,144 New England Business Service, Inc. 38,129 1,144 * TriQuint Semiconductor, Inc. 274,681 1,143 * Identix, Inc. 179,859 1,142 * Powerwave Technologies, Inc. 182,007 1,141 Longview Fibre Co. 139,074 1,140 Mine Safety Appliances Co. 26,140 1,140 RAIT Investment Trust REIT 42,956 1,138 * First Republic Bank 42,768 1,138 * American Medical Systems Holdings, Inc. 67,375 1,137 Datascope Corp. 38,244 1,135 * Sierra Health Services, Inc. 56,766 1,135 * InfoSpace, Inc. 83,539 1,134 * Iomega Corp. 106,896 1,133 * aaiPharma Inc. 56,969 1,133 Aaron Rents, Inc. Class B 43,800 1,132 Sovran Self Storage, Inc. REIT 35,927 1,132 * ICU Medical, Inc. 36,329 1,132 EastGroup Properties, Inc. REIT 41,906 1,131 * Nautica Enterprises, Inc. 88,031 1,129 * United Defense Industries Inc. 43,450 1,127 * Triad Guaranty, Inc. 29,669 1,126 First Sentinel Bancorp Inc. 70,452 1,125 * Forward Air Corp. 44,330 1,125 Texas Genco Holdings, Inc. 48,300 1,123 PolyOne Corp. 252,328 1,123 * Hain Celestial Group, Inc. 70,187 1,122 * Enzon Pharmaceuticals, Inc. 89,627 1,122 * UnitedGlobalCom Inc. Class A 217,019 1,122 * InVision Technologies, Inc. 44,680 1,121 Glenborough Realty Trust, Inc. REIT 58,515 1,121 Umpqua Holdings Corp. 58,969 1,120 Gray Television, Inc. 90,200 1,118 * Zoran Corp. 58,105 1,116 * Tejon Ranch Co. 37,023 1,114 Main Street Banks, Inc. 44,035 1,114 AMLI Residential Properties Trust REIT 47,300 1,114 * Ameristar Casinos, Inc. 52,160 1,114 Frontier Financial Corp. 39,196 1,114 * The Sports Authority, Inc. 104,023 1,113 * Advent Software, Inc. 65,793 1,113 * Magma Design Automation, Inc. 64,845 1,112 * Province Healthcare Co. 100,411 1,112 * Agile Software Corp. 115,131 1,111 Cato Corp. Class A 52,703 1,111 Florida East Coast Industries, Inc. Class A 43,468 1,111 * Portfolio Recovery Associates, Inc. 35,595 1,110 * Rogers Corp. 33,339 1,110 FBL Financial Group, Inc. Class A 55,068 1,110 * eFunds Corp. 96,199 1,109 * United Natural Foods, Inc. 39,400 1,109 Brown Shoe Co., Inc. 37,201 1,109 * MicroStrategy Inc. 30,426 1,108 First Federal Capital Corp. 55,789 1,107 * Remec, Inc. 159,094 1,107 Penn Virginia Corp. 25,740 1,107
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Magnum Hunter Resources Inc. 138,300 1,105 * Wabash National Corp. 78,688 1,104 * Moog Inc. 31,764 1,104 * Zymogenetics, Inc. 94,798 1,103 * AtheroGenics, Inc. 73,908 1,103 * Credence Systems Corp. 130,253 1,103 * Resources Connection, Inc. 46,199 1,102 American Home Mortgage Holdings, Inc. 56,210 1,101 Frontier Oil Corp. 72,266 1,098 * Griffon Corp. 68,556 1,097 * W-H Energy Services, Inc. 56,223 1,095 F & M Bancorp 22,203 1,095 Inter-Tel, Inc. 51,560 1,094 * Select Comfort Corp. 66,700 1,093 Roto-Rooter, Inc. 28,607 1,093 * CONMED Corp. 59,751 1,091 * At Road, Inc. 99,900 1,091 * SurModics, Inc. 35,743 1,090 * Dendrite International, Inc. 84,586 1,089 * Southwestern Energy Co. 72,554 1,089 Berry Petroleum Class A 60,580 1,087 Methode Electronics, Inc. Class A 101,104 1,087 * Vignette Corp. 522,427 1,087 * NetFlix.com, Inc. 42,495 1,086 First Charter Corp. 62,372 1,085 Seacoast Financial Services Corp. 54,808 1,085 Town & Country Trust REIT 46,665 1,085 Wintrust Financial Corp. 36,651 1,085 * AMN Healthcare Services, Inc. 85,413 1,085 * USI Holdings Corp. 92,100 1,083 * Antigenics, Inc. 93,860 1,081 * ArthroCare Corp. 64,487 1,081 * Adolor Corp. 88,030 1,080 United National Bancorp 39,092 1,079 * II-VI, Inc. 46,628 1,076 * School Specialty, Inc. 37,796 1,076 * Cray Inc. 136,100 1,075 * Hibbett Sporting Goods, Inc. 32,628 1,075 Walter Industries, Inc. 91,423 1,074 * Gart Sports Co. 37,865 1,074 * The Children's Place Retail Stores, Inc. 54,069 1,074 * Nuevo Energy Co. 61,523 1,074 Harleysville National Corp. 39,670 1,073 CNA Surety Corp. 108,915 1,073 Phillips-Van Heusen Corp. 78,707 1,073 * Global Imaging Systems, Inc. 46,312 1,073 * Littelfuse, Inc. 47,914 1,071 Churchill Downs, Inc. 27,887 1,068 Greif Inc. Class A 46,403 1,067 * NCO Group, Inc. 59,583 1,067 Saul Centers, Inc. REIT 41,622 1,066 Kansas City Life Insurance Co. 24,851 1,065 * Diversa Corp. 108,192 1,064 * Atwood Oceanics, Inc. 39,148 1,063 * Nektar Therapeutics 115,117 1,063 Anworth Mortgage Asset Corp. REIT 68,800 1,061 * Boca Resorts, Inc. Class A 81,533 1,060 * Quicksilver Resources, Inc. 44,241 1,060 Mid Atlantic Realty Trust REIT 50,600 1,060 * Plains Resources Inc. 74,786 1,058 * Shuffle Master, Inc. 36,000 1,058 * InterMune Inc. 65,643 1,058 * Allen Telecom Inc. 64,008 1,057 * ValueClick, Inc. 175,148 1,056 * Medarex, Inc. 160,247 1,056 * Ocular Sciences, Inc. 53,196 1,056 The Laclede Group, Inc. 39,342 1,054 * Plexus Corp. 91,301 1,053 First Essex Bancorp, Inc. 22,317 1,052 * CDI Corp. 40,519 1,052 Sauer-Danfoss, Inc. 97,754 1,051 Woodward Governor Co. 24,430 1,050 Prosperity Bancshares, Inc. 54,563 1,050 * Sinclair Broadcast Group, Inc. 90,444 1,050 Bedford Property Investors, Inc. REIT 36,968 1,050 * TransMontaigne Inc. 161,572 1,047 * CorVel Corp. 29,060 1,046 * Symyx Technologies, Inc. 64,101 1,046 * Sunrise Senior Living, Inc. 46,729 1,046 * PEC Solutions, Inc. 64,925 1,045 ElkCorp 46,389 1,044 Aquila, Inc. 404,124 1,043 * Imagistics International Inc. 40,255 1,039 * UTStarcom, Inc. 29,165 1,037 National Health Investors REIT 56,210 1,037 * Stewart Information Services Corp. 37,204 1,036 Koger Equity, Inc. REIT 60,131 1,036 * Comstock Resources, Inc. 75,700 1,036 * Papa John's International, Inc. 36,880 1,034 Commercial Metals Co. 58,126 1,034 * Veeco Instruments, Inc. 60,704 1,034 * Tesoro Petroleum Corp. 149,958 1,032 Brookfield Homes Corp. 66,900 1,032 * Brooks Automation, Inc. 90,952 1,031 Steelcase Inc. 87,696 1,031 * Forrester Research, Inc. 62,944 1,030 Texas Industries, Inc. 43,200 1,028 * Regeneration Technologies, Inc. 77,219 1,026 * Central Garden and Pet Co. 42,949 1,024
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- Pennsylvania REIT 34,176 1,024 Entertainment Properties Trust REIT 35,600 1,024 * Paxar Corp. 92,970 1,023 Cash America International Inc. 77,350 1,023 Corporate Office Properties Trust, Inc. REIT 60,378 1,022 Coca-Cola Bottling Co. 18,692 1,021 * Actel Corp. 49,784 1,021 Community Bank System, Inc. 26,855 1,020 * World Acceptance Corp. 62,653 1,020 * Artisan Components, Inc. 45,103 1,020 * Saxon Capital Inc. 58,657 1,019 Suffolk Bancorp 31,645 1,019 First Financial Holdings, Inc. 37,667 1,019 * The Gymboree Corp. 60,607 1,017 * Primus Telecommunications Group, Inc. 197,720 1,016 * Jones Lang Lasalle Inc. 64,279 1,016 SWS Group, Inc. 50,295 1,013 * Itron, Inc. 46,998 1,013 * bebe stores, inc 52,961 1,013 * Remington Oil & Gas Corp. 55,100 1,013 Value Line, Inc. 20,619 1,013 * Integrated Electrical Services, Inc. 139,631 1,012 Watts Industries Class A 56,698 1,012 CTS Corp. 96,785 1,011 * ValueVision Media, Inc. 74,148 1,011 Tecumseh Products Co. Class A 26,371 1,010 City Holding Co. 34,509 1,010 Westbanco Inc. 41,517 1,009 * Infonet Services Corp. 633,877 1,008 * Saga Communications, Inc. 51,806 1,008 Infinity Property & Casualty Corp. 42,562 1,006 * Dick's Sporting Goods, Inc. 27,400 1,005 * Tradestation Group Inc. 97,880 1,004 * Cyberonics, Inc. 46,669 1,004 Baldwin & Lyons, Inc. Class B 42,258 1,004 * United Therapeutics Corp. 46,079 1,004 * Global Industries Ltd. 208,188 1,003 * Talk America Holdings, Inc. 91,880 1,002 * WMS Industries, Inc. 64,276 1,002 * Jo-Ann Stores, Inc. Class A 39,600 1,002 Glacier Bancorp, Inc. 40,503 997 Regal-Beloit Corp. 52,202 997 * FuelCell Energy, Inc. 121,630 996 Quanex Corp. 33,479 995 * Systems & Computer Technology Corp. 110,462 994 A. Schulman Inc. 61,787 992 * Horizon Organic Holding Corp. 41,606 991 * Bay View Capital Corp. 171,448 991 * Per-Se Technologies, Inc. 88,172 990 * Stage Stores, Inc. 42,094 989 Newcastle Investment Corp. REIT 50,500 989 Mid-America Apartment Communities, Inc. REIT 36,600 989 * Orbital Sciences Corp. 135,411 989 Midwest Banc Holdings, Inc. 50,804 987 * Kensey Nash Corp. 37,688 986 * Penwest Pharmaceuticals Co. 40,384 984 Schweitzer-Mauduit International, Inc. 40,706 983 * PAREXEL International Corp. 70,416 982 Wellman, Inc. 87,688 982 * Asbury Automotive Group, Inc. 72,800 981 * The Topps Co., Inc. 114,208 981 * Eclipsys Corp. 93,829 980 * Plains Exploration & Production Co. 90,532 979 * Century Business Services, Inc. 301,038 978 OceanFirst Financial Corp. 40,020 978 Barnes Group, Inc. 44,925 978 Sterling Bancorp 35,010 976 * Columbia Laboratories Inc. 86,728 976 Pulitzer, Inc. 19,719 975 First Community Bancorp 31,000 973 * Startek, Inc. 36,981 973 * Gulfmark Offshore, Inc. 57,580 972 * Connetics Corp. 64,715 969 * Genlyte Group, Inc. 27,703 969 * Input/Output, Inc. 179,687 967 * Swift Energy Co. 87,835 966 * Charles River Associates Inc. 34,169 966 * Inet Technologies, Inc. 96,696 964 * Advanced Medical Optics, Inc. 56,400 962 * Sotheby's Holdings Class A 129,244 962 IBERIABANK Corp. 19,702 961 * Verity, Inc. 75,931 961 * General Maritime Corp. 94,631 961 West Pharmaceutical Services, Inc. 39,139 959 Mid-State Bancshares 48,388 956 Valmont Industries, Inc. 49,092 955 The Standard Register Co. 57,958 955 * Alliance Data Systems Corp. 40,789 954 * Esterline Technologies Corp. 54,760 953 * j2 Global Communications, Inc. 20,727 953 * Avatar Holding, Inc. 31,540 953 * Gartner, Inc. Class A 125,636 952 Community Trust Bancorp Inc. 36,377 951 * AFC Enterprises, Inc. 58,528 950 Connecticut Bancshares, Inc. 24,197 950 * IDX Systems Corp. 61,039 947 Flushing Financial Corp. 42,728 947 * Epicor Software Corp. 157,412 943
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Electro Scientific Industries, Inc. 62,185 943 Independent Bank Corp. (MA) 41,722 943 Lone Star Steakhouse & Saloon, Inc. 43,061 937 * Haemonetics Corp. 50,122 937 Interpool, Inc. 57,012 936 * Dollar Thrifty Automotive Group, Inc. 50,418 935 * Intuitive Surgical, Inc. 122,957 932 * Insituform Technologies Inc.Class A 52,697 932 * Advanced Energy Industries, Inc. 65,264 930 * Palm, Inc. 57,099 929 Sandy Spring Bancorp, Inc. 29,376 928 * PETCO Animal Supplies, Inc. 42,544 925 * Triumph Group, Inc. 32,793 924 * Shaw Group, Inc. 76,603 923 * Plug Power, Inc. 197,357 922 * Microsemi Corp. 57,424 919 * California Pizza Kitchen, Inc. 42,702 918 * SonoSite, Inc. 45,978 917 * K2 Inc. 74,794 916 * Hewitt Associates, Inc. 38,900 916 WSFS Financial Corp. 23,845 916 St. Francis Capital Corp. 31,481 915 Firstfed America Bancorp, Inc. 26,522 915 Universal Health Realty Income REIT 33,878 915 Cohu, Inc. 58,625 915 Stewart & Stevenson Services, Inc. 58,038 914 Arch Chemicals, Inc. 47,854 914 * Intrado Inc. 57,795 913 Surewest Communications 30,168 913 * Pre-Paid Legal Services, Inc. 37,192 912 United Community Financial Corp. 98,436 910 Port Financial Corp. 16,863 909 * American Pharmaceuticals Partners, Inc. 26,800 909 * Isle of Capri Casinos, Inc. 54,938 908 First Financial Corp.-Indiana 17,109 905 * ON Semiconductor Corp. 334,383 903 * Handleman Co. 56,321 901 OM Group, Inc. 60,986 898 Central Pacific Financial Co. 32,420 898 * Ulticom, Inc. 94,387 897 Simmons First National Corp. 44,738 895 * Genesee & Wyoming Inc. Class A 43,458 894 Lennar Corp. Class B 12,999 893 Capital City Bank Group, Inc. 24,636 892 * Interpore International 70,037 892 California Water Service Group 31,700 891 CIRCOR International, Inc. 49,888 890 * Monaco Coach Corp. 57,972 889 * Labor Ready, Inc. 123,581 886 * International Multifoods Corp. 38,664 886 World Fuel Services Corp. 36,015 886 * DuPont Photomasks, Inc. 47,023 885 RFS Hotel Investors, Inc. REIT 71,841 885 * F5 Networks, Inc. 52,488 884 Hancock Fabrics, Inc. 54,732 884 The Marcus Corp. 59,000 882 * Parker Drilling Co. 302,964 882 First Merchants Corp. 36,262 882 * OPNET Technologies, Inc. 72,270 881 * Rayovac Corp. 68,018 881 * Cross Country Healthcare, Inc. 66,654 879 Republic Bancshares, Inc. 35,141 879 * Stewart Enterprises, Inc. Class A 204,221 878 * Manugistics Group, Inc. 213,220 876 Metris Cos., Inc. 157,557 874 Curtiss-Wright Corp. 13,805 872 Riggs National Corp. 57,318 872 * i2 Technologies, Inc. 871,811 872 * Headwaters Inc. 59,311 871 * XOMA Ltd. 163,230 870 Central Parking Corp. 70,370 870 * Exelixis, Inc. 125,218 869 * webMethods, Inc. 106,878 869 * RadiSys Corp. 65,726 868 * Tweeter Home Entertainment Group, Inc. 99,899 867 Ameron International Corp. 24,924 867 * General Communication, Inc. 99,941 865 * Keynote Systems Inc. 82,345 863 Vital Signs, Inc. 33,157 861 * 1-800 CONTACTS, Inc. 35,158 861 * Aviall Inc. 75,640 860 * Silicon Image, Inc. 154,028 859 * Teledyne Technologies, Inc. 65,579 859 * Ciphergen Biosystems, Inc. 83,791 859 * Boston Communications Group, Inc. 50,068 858 Columbia Banking System, Inc. 47,887 858 * Insight Enterprises, Inc. 85,085 856 * O'Charley's Inc. 39,680 854 * Pegasystems Inc. 115,902 854 * Fisher Communications, Inc. 17,400 851 * Datastream Systems, Inc. 80,338 851 Lindsay Manufacturing Co. 36,603 850 Omega Financial Corp. 24,838 849 * Tollgrade Communications, Inc. 45,519 849 The Nautilus Group, Inc. 68,448 849 * Indevus Pharmaceuticals, Inc. 135,973 848
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * Bombay Co. 79,762 848 * Mykrolis Corp. 83,533 848 * Gabelli Asset Management Inc. 23,474 847 * JAKKS Pacific, Inc. 63,755 847 * P.A.M. Transportation Services, Inc. 35,001 847 SJW Corp. 9,900 844 EDO Corp. 47,589 842 Lawson Products, Inc. 30,565 842 Great Southern Bancorp, Inc. 21,839 842 * LabOne, Inc. 38,989 841 * Prima Energy Corp. 40,153 838 * Cirrus Logic 208,423 838 * NeoPharm, Inc. 60,255 835 * Hawthorne Financial Corp. 24,026 833 * Kopin Corp. 135,935 832 * William Lyon Homes, Inc. 26,053 830 * Serologicals Corp. 60,871 830 * ESS Technology, Inc. 84,987 829 * Orthodontic Centers of America, Inc. 103,301 827 D&K Healthcare Resources, Inc. 51,254 827 U.S.B. Holding Co., Inc. 46,599 827 * Omega Healthcare Investors, Inc. REIT 157,278 826 Advanta Corp. Class A 83,905 826 Washington Trust Bancorp, Inc. 35,900 825 * Armor Holdings, Inc. 61,556 825 * LTX Corp. 95,556 824 Integra Bank Corp. 47,514 818 Cornerstone Realty Income Trust, Inc. REIT 111,800 817 BSB Bancorp, Inc. 32,917 817 * RailAmerica, Inc. 96,571 816 * Coinstar, Inc. 43,210 815 * PC-Tel, Inc. 68,500 812 * BioLase Technology, Inc. 75,700 812 * Right Management Consultants, Inc. 64,147 811 * CCC Information Services Group 55,946 811 * Arris Group Inc. 163,273 810 * QAD Inc. 109,040 809 Cascade Bancorp 46,638 808 LaSalle Hotel Properties REIT 54,655 808 * Lifeline Systems, Inc. 28,432 807 * Jacuzzi Brands, Inc. 152,242 805 Dimon Inc. 112,206 803 * USANA Health Sciences, Inc. 18,166 803 * Playtex Products, Inc. 125,054 803 * Harvest Natural Resources, Inc. 125,900 802 * Closure Medical Corp. 42,436 801 Florida East Coast Industries, Inc. Class B 32,159 801 * TriPath Imaging, Inc. 117,150 800 * Ultratech, Inc. 43,245 800 * KFX, Inc. 206,050 799 Chesapeake Corp. of Virginia 36,467 797 * Mesa Air Group Inc. 99,457 796 Kaman Corp. Class A 67,985 795 * SPSS, Inc. 47,443 794 * Esperion Therapeutics, Inc. 40,539 794 * IDT Corp. Class B 45,100 794 * Kadant Inc. 42,324 794 * Mobile Mini, Inc. 48,544 793 * Teletech Holdings Inc. 187,299 792 * PTEK Holdings, Inc. 163,140 791 * Metrologic Instruments, Inc. 23,791 791 * MemberWorks, Inc. 39,995 790 * AK Steel Corp. 218,041 789 * Palm Harbor Homes, Inc. 41,639 789 Correctional Properties Trust REIT 28,100 787 * National Beverage Corp. 56,492 785 * Learning Tree International, Inc. 50,179 784 * PSS World Medical, Inc. 136,248 783 * Mercury Computer Systems, Inc. 42,980 781 * Rudolph Technologies, Inc. 48,899 780 * Concord Camera Corp. 109,864 779 Sterling Financial Corp. (PA) 33,494 779 * Citizens, Inc. 107,099 779 * Old Dominion Freight Line, Inc. 36,000 778 * Kenneth Cole Productions, Inc. 39,886 777 * ITLA Capital Corp. 19,213 777 * ActivCard Corp. 82,575 776 AAR Corp. 109,940 776 Hooper Holmes, Inc. 120,523 776 * Websense, Inc. 49,529 776 * Young Broadcasting Inc. 36,665 775 Cascade Natural Gas Corp. 40,500 774 PMA Capital Corp. Class A 61,513 773 * Sterling Financial Corp. (Spokane) 31,738 773 * Information Holdings Inc. 42,319 772 * Advanced Magnetics, Inc. 75,300 772 * Goody's Family Clothing 89,219 772 Presidential Life Corp. 54,576 770 Unizan Financial Corp. 43,813 770 * Oak Technology, Inc. 123,854 769 * Spanish Broadcasting System, Inc. 93,941 766 Standex International Corp. 36,416 765 Apogee Enterprises, Inc. 84,777 765 * Ribapharm Inc. 118,400 764 * Therasense, Inc. 76,351 764 * NS Group Inc. 78,300 763 * J & J Snack Foods Corp. 24,125 763 * Centene Corp. 19,600 762 * SafeNet, Inc. 27,225 762
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * The Buckle, Inc. 39,607 762 * PRG-Schultz International, Inc. 129,034 761 * Spherion Corp. 109,524 761 S.Y. Bancorp, Inc. 21,510 761 First Place Financial Corp. 43,895 760 Capitol Bancorp Ltd. 27,999 759 Aceto Corp. 41,070 758 * W.R. Grace & Co. 171,256 755 First Source Corp. 40,671 755 * ViaSat, Inc. 52,420 752 GenCorp, Inc. 84,508 751 * Callon Petroleum Co. 105,500 751 * Network Equipment Technologies, Inc. 89,147 751 General Cable Corp. 138,898 750 * Osteotech, Inc. 55,050 748 * Trans World Entertainment Corp. 145,822 747 * ImmunoGen, Inc. 174,832 747 * Netscreen Technologies, Inc. 33,100 746 * PracticeWorks Inc. 38,624 745 * Molecular Devices Corp. 46,825 745 Bel Fuse, Inc. Class B 32,500 744 * VistaCare, Inc. 30,596 744 * Helen of Troy Ltd. 48,962 742 * The Dress Barn, Inc. 58,560 742 Nu Skin Enterprises, Inc. 70,900 741 C & D Technologies, Inc. 51,595 741 * Galyan's Trading Co. 51,587 740 * Transkaryotic Therapies, Inc. 64,045 739 * Elizabeth Arden, Inc. 56,098 739 Instinet Group Inc. 158,381 738 * Ionics, Inc. 32,961 737 Banner Corp. 35,952 737 * Salem Communications Corp. 36,806 737 Resource America, Inc. 71,156 736 * Silicon Storage Technology, Inc. 175,663 736 Parkway Properties Inc. REIT 17,500 736 * A.C. Moore Arts & Crafts, Inc. 36,700 735 Deb Shops, Inc. 39,091 735 Seacoast Banking Corp. of Florida 43,026 733 Lance, Inc. 79,835 729 * Vicor Corp. 75,925 729 * Ixia 112,871 726 * Tyler Technologies, Inc. 170,732 726 * Insignia Financial Group, Inc. 65,241 725 * Local Financial Corp. 50,166 724 * Openwave Systems Inc. 369,858 721 * Noven Pharmaceuticals, Inc. 70,303 720 * Vail Resorts Inc. 53,417 720 * MatrixOne, Inc. 125,340 719 * Applica Inc. 84,546 719 * Genesco, Inc. 40,601 719 * Accredited Home Lenders Holding Co. 36,600 718 * CIMA Labs Inc. 26,691 718 RPC Inc. 65,170 717 Advanced Marketing Services 55,134 717 Belden, Inc. 45,086 716 Keithley Instruments Inc. 49,502 715 * Frontier Airlines, Inc. 78,725 715 Park Electrochemical Corp. 35,820 715 * Cell Therapeutics, Inc. 73,262 713 * Stratex Networks, Inc. 222,631 712 * Concur Technologies, Inc. 70,700 712 NYMAGIC, Inc. 35,100 711 Skyline Corp. 23,700 711 Keystone Property Trust REIT 38,300 709 * Sigma Designs, Inc. 65,000 706 McMoRan Exploration Co. 63,290 705 * Sun Bancorp, Inc. (NJ) 35,427 705 * MarineMax, Inc. 50,168 702 * ShopKo Stores, Inc. 54,023 702 * 1-800-FLOWERS.COM, Inc. 85,214 702 * Anaren, Inc. 74,911 702 * Sykes Enterprises, Inc. 143,414 701 National Presto Industries, Inc. 22,163 700 * Artesyn Technologies, Inc. 124,755 700 * IXYS Corp. 87,690 699 * Guess ?, Inc. 116,279 698 * Casella Waste Systems, Inc. 77,222 697 * Microtune, Inc. 217,870 697 * Mobius Management Systems, Inc. 93,200 696 * Kirkland's, Inc. 43,100 696 * Orthologic Corp. 151,618 696 * Immunomedics Inc. 110,263 696 * Clayton Williams Energy, Inc. 37,629 695 * A.S.V., Inc. 47,925 694 * Herley Industries Inc. 40,776 692 Medallion Financial Corp. 98,700 692 * Presstek, Inc. 111,050 692 American Woodmark Corp. 14,855 692 * Inspire Pharmaceuticals, Inc. 63,928 690 * Consolidated Graphics, Inc. 30,116 689 Interface, Inc. 148,130 687 * Pemstar Inc. 163,852 687 Scope Industries 8,800 686 * Healthcare Services Group, Inc. 47,753 686 Pioneer Standard Electronics Inc. 80,757 685 * Martha Stewart Living Omnimedia, Inc. 72,904 685 * ANSYS, Inc. 22,000 684 Lufkin Industries 28,090 684 * E-LOAN, Inc. 117,300 684
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * Beverly Enterprises, Inc. 194,950 682 * Dril-Quip, Inc. 37,421 681 Central Vermont Public Service Corp. 34,800 680 * Central EuropeanDistribution Corp. 33,750 680 Met-Pro Corp. 47,046 679 * Department 56 Inc. 44,289 679 Ampco-Pittsburgh Corp. 50,665 679 Myers Industries, Inc. 71,371 678 Pennfed Financial Services, Inc. 24,426 678 * FindWhat.com 35,957 676 * Oxigene, Inc. 68,261 675 * Concord Communications, Inc. 49,034 673 * Mapics Inc. 81,969 672 * Centennial Communications Corp. Class A 167,877 672 * Audiovox Corp. 59,840 670 Libbey, Inc. 29,449 668 BEI Technologies, Inc. 55,543 667 * Robert Mondavi Corp. Class A 26,320 666 Action Performance Cos., Inc. 35,033 666 * Regent Communications, Inc. 112,790 665 * PC Connection, Inc. 97,798 665 Southern Financial Bancorp, Inc. 21,758 665 Blair Corp. 29,884 663 * PICO Holdings, Inc. 50,977 663 * Bruker Daltonics, Inc. 123,961 661 Innkeepers USA Trust REIT 97,028 660 TriCo Bancshares 25,931 659 * SPS Technologies, Inc. 24,371 659 * Rainbow Technologies, Inc. 78,323 659 * Sequa Corp. Class A 19,194 658 * Computer Network Technology Corp. 81,275 658 * Ultralife Batteries, Inc. 65,800 658 * Capital Corp. of the West 25,946 658 * Wild Oats Markets Inc. 60,309 657 * Duane Reade Inc. 44,566 657 Calgon Carbon Corp. 114,286 657 First Mutual Bancshares, Inc. 32,842 657 NACCO Industries, Inc. Class A 11,139 657 Mission West Properties Inc. REIT 57,728 656 * Vivus, Inc. 127,431 655 * 4Kids Entertainment Inc. 35,174 654 * M&F Worldwide Corp. 90,860 654 * Maxygen Inc. 59,628 654 * SangStat Medical Corp. 49,864 653 Pacific Crest Capital Inc. 30,990 651 * Rimage Corp. 52,000 650 * Criimi Mae, Inc. REIT 59,235 649 * EPIQ Systems, Inc. 37,764 648 Merchants Bancshares, Inc. 24,900 647 Carpenter Technology Corp. 41,427 646 * Candela Corp. 56,010 645 * LCA-Vision Inc. 71,623 643 Helix Technology Corp. 48,511 642 Oshkosh B' Gosh, Inc. Class A 23,767 642 * E.piphany Inc. 124,872 638 * Integral Systems, Inc. 32,046 637 * Corixa Corp. 82,230 636 * The Pantry, Inc. 80,500 635 * Drexler Technology Corp. 40,973 635 * The Great Atlantic & Pacific Tea Co., Inc. 72,160 635 Yardville National Bancorp 32,485 633 * SOURCECORP, Inc. 29,258 632 Southwest Water Co. 45,216 632 BHA Group Holdings Inc. 31,796 630 Kramont Realty Trust REIT 38,106 629 Capstead Mortgage Corp. REIT 55,772 629 * Opsware, Inc. 156,167 628 * eResearch Technology, Inc. 28,300 627 * Fleetwood Enterprises, Inc. 84,507 625 * SciClone Pharmaceuticals, Inc. 72,932 624 CPI Corp. 35,359 624 Second Bancorp, Inc. 24,179 624 Peoples Holding Co. 14,089 623 * Paxson Communications Corp. 104,010 623 * General Binding Corp. 51,904 623 * Lexicon Genetics Inc. 92,780 623 Heritage Financial Corp. 29,400 622 * US Physical Therapy, Inc. 49,564 622 * Blount International, Inc. 109,037 622 * ATP Oil & Gas Corp. 98,374 620 * EXCO Resources, Inc. 34,600 620 * Horizon Offshore, Inc. 124,305 619 * Retek Inc. 96,648 619 Todd Shipyards Corp. 37,675 618 * Florida Banks, Inc. 52,988 617 Bank of Granite Corp. 36,170 617 CT Communications, Inc. 57,229 615 Abington Bancorp Inc. 24,200 615 * S1 Corp. 152,128 615 NUI Corp. 39,600 615 * America Service Group Inc. 34,300 614 * OMI Corp. 99,600 614 * Unifi, Inc. 98,756 612 * CoStar Group, Inc. 20,484 612 * Peet's Coffee & Tea Inc. 35,024 612 * Jarden Corp. 22,100 612 * Merit Medical Systems, Inc. 30,538 610 * Ace Cash Express, Inc. 56,042 609 North Valley Bancorp 40,600 609
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Ultimate Electronics, Inc. 47,400 608 Argonaut Group, Inc. 49,127 606 * Repligen Corp. 116,700 605 * The Wet Seal, Inc. Class A 56,573 604 UNITILI Corp. 25,000 603 * Petroleum Development Corp. 65,546 602 Frisch's Restaurants, Inc. 33,464 602 PVF Capital Corp. 43,131 602 * Myriad Genetics, Inc. 44,234 602 CFS Bancorp, Inc. 42,664 602 * MTC Technologies, Inc. 25,600 601 Pope & Talbot, Inc. 54,345 601 * Portal Software, Inc. 300,242 600 Marine Products Corp. 55,296 600 * Ambassadors International, Inc. 49,870 599 * Kulicke & Soffa Industries, Inc. 93,633 598 * Trico Marine Services, Inc. 152,606 598 * NetRatings, Inc. 65,439 598 Horizon Financial Corp. 37,862 597 * MTR Gaming Group Inc. 77,371 597 * J. Jill Group, Inc. 35,463 597 * Neose Technologies, Inc. 59,616 597 * Cellegy Pharmaceuticals, Inc. 118,425 596 * Pericom Semiconductor Corp. 63,995 595 Maine Public Service Co. 18,300 595 * Stein Mart, Inc. 99,224 594 * Concurrent Computer Corp. 203,376 594 * Safeguard Scientifics, Inc. 219,906 594 Flexsteel Industry 36,000 594 * The Middleby Corp. 42,346 593 * Centillium Communications, Inc. 59,808 593 HMN Financial, Inc. 30,400 590 * Interwoven, Inc. 265,278 589 Craftmade International, Inc. 32,639 588 * Ambassadors Group, Inc. 42,070 588 * IDine Rewards Network Inc. 42,674 586 Watsco, Inc. 35,400 586 * Research Frontiers, Inc. 41,865 586 * Matria Healthcare, Inc. 33,204 586 TF Financial Corp. 19,012 585 * Wind River Systems Inc. 153,212 584 First of Long Island Corp. 14,625 584 * OraSure Technologies, Inc. 78,145 583 * Kindred Healthcare, Inc. 32,608 582 * Hi-Tech Pharmacal Co., Inc. 14,300 582 * Wesco International, Inc. 96,876 581 Coachmen Industries, Inc. 48,551 580 * Cleveland-Cliffs Inc. 32,500 580 * Cell Genesys, Inc. 67,142 580 * Caraustar Industries, Inc. 72,388 580 * Aether Systems, Inc. 118,271 580 LSB Bancshares, Inc. 33,448 579 Penn Engineering & Manufacturing Corp. 42,369 578 * The Sportsman's Guide Inc. 52,300 578 * CKE Restaurants Inc. 103,372 578 * InterVoice, Inc. 116,951 578 BostonFed Bancorp, Inc. 21,401 576 * Crown Media Holdings, Inc. 139,157 575 * CardioDynamics International Corp. 168,424 574 * Time Warner Telecom Inc. 90,057 574 State Financial Services Corp. Class A 25,900 573 Summit Bancshares, Inc. 24,420 573 * SBS Technologies, Inc. 58,203 572 * Factual Data Corp. 32,900 572 World Wrestling Entertainment, Inc. 55,497 571 * Ventana Medical Systems, Inc. 21,001 571 * Integrated Defense Technology, Inc. 36,791 571 Progress Financial Corp. 41,642 569 * Ethyl Corp. 57,140 569 Columbia Bancorp 23,647 568 United Fire & Casualty Co. 17,459 567 * GrafTech International Ltd. 104,080 567 * Red Robin Gourmet Burgers 29,900 567 * JDA Software Group, Inc. 50,640 567 * Cable Design Technologies Corp. 79,253 567 * Impath, Inc. 40,038 566 * Prime Hospitality Corp. 84,342 566 * Radiant Systems, Inc. 83,927 566 * Bluegreen Corp. 118,940 565 * Pegasus Communications Corp. 19,025 563 Boykin Lodging Co. REIT 72,100 562 * Navigant International, Inc. 43,564 562 * SonicWALL, Inc. 117,075 562 * Dave & Busters, Inc. 51,453 561 * Ditech Communications Corp. 112,400 560 * Bally Total Fitness Holding Corp. 61,963 560 * Insurance Auto Auctions, Inc. 44,539 559 Parkvale Financial Corp. 22,710 558 * Bone Care International, Inc. 40,140 558 * Administaff, Inc. 54,141 558 * Wiser Oil Co. 96,800 558 * Finisar Corp. 359,000 556 * Atari, Inc. 124,970 556 * Wilsons The Leather Experts Inc. 77,085 556 Associated Estates Realty Corp. REIT 84,223 553 * Volt Information Sciences Inc. 40,519 553 * Cepheid, Inc. 111,677 552 * MarketWatch.com, Inc. 65,900 551
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * Chalone Wine Group Ltd. 70,898 551 * Ocwen Financial Corp. 121,292 551 * Big 5 Sporting Goods Corp. 43,924 550 * The Boyds Collection, Ltd. 116,817 550 * iManage, Inc. 109,800 549 MutualFirst Financial Inc. 23,489 548 * Korn/Ferry International 67,642 548 * Champion Enterprises, Inc. 105,771 548 Central Bancorp, Inc. 15,700 548 * Avanex Corp. 136,774 547 Bassett Furniture Industries, Inc. 41,135 546 * Incyte Corp. 117,591 546 * Coldwater Creek Inc. 44,231 545 * Universal Display Corp. 61,000 544 Financial Institutions, Inc. 23,108 543 * Isis Pharmaceuticals, Inc. 102,451 543 * Harmonic, Inc. 133,224 542 * Beasley Broadcast Group, Inc. 39,630 542 Angelica Corp. 31,900 541 * Oplink Communications, Inc. 288,916 540 * Alexion Pharmaceuticals, Inc. 31,669 540 * TETRA Technologies, Inc. 18,200 540 * Triton PCS, Inc. 106,802 539 * Tarragon Realty Investors Inc. REIT 36,967 539 * Universal Electronics, Inc. 42,325 537 * EMS Technologies, Inc. 41,014 536 * Entrust, Inc. 182,354 536 * Spherix Inc. 76,100 536 * Medical Action Industries Inc. 32,792 535 Guaranty Federal Bancshares, Inc. 33,000 535 * Cubist Pharmaceuticals, Inc. 50,106 534 * U.S. Energy Corp. 102,670 534 * LifeCell Corp. 104,500 533 Pilgrim's Pride Corp. 55,113 533 * Autobytel Inc. 85,406 533 * AmericanWest Bancorporation 32,809 532 * Gadzooks, Inc. 93,700 532 * Brigham Exploration Co. 104,300 532 * KVH Industries, Inc. 21,500 532 * FreeMarkets, Inc. 76,326 531 * Gerber Scientific, Inc. 79,344 528 * A.T. Cross Co. Class A 88,920 528 * Rocky Shoes & Boots, Inc. 58,600 528 * Collins & Aikman Corp. 178,501 527 * Group 1 Software, Inc. 28,698 526 * Mediware Information Systems, Inc. 52,000 526 Newmil Bancorp, Inc. 23,900 523 JLG Industries, Inc. 76,937 523 Arctic Cat, Inc. 27,300 523 * Alloy, Inc. 81,079 523 * Rentrak Corp. 76,400 522 American Land Lease, Inc. REIT 31,014 521 ABC Bancorp 36,350 521 * ePlus Inc. 48,900 521 * Footstar Inc. 40,057 521 * Hector Communications Corp. 41,650 521 * Mesaba Holdings, Inc. 84,300 520 * Aspect Medical Systems, Inc. 70,476 520 * PDI, Inc. 51,105 519 * Maxxam Inc. 35,800 519 * Guilford Pharmaceuticals, Inc. 114,269 519 * Digi International, Inc. 90,153 518 * Altiris, Inc. 25,800 517 * America West Holdings Corp. Class B 76,000 517 * SRA International, Inc. 16,128 516 * Central Coast Bancorp 30,717 515 * Specialty Laboratories, Inc. 50,188 514 * MRV Communications Inc. 254,781 512 * Young Innovations, Inc. 17,961 512 United Mobile Homes, Inc. REIT 33,700 511 Fidelity Bankshares, Inc. 22,900 511 * GSI Commerce, Inc. 76,381 510 * Insignia Systems, Inc. 81,400 509 * Natus Medical Inc. 111,800 509 * APAC Teleservices, Inc. 199,365 508 * BioSphere Medical Inc. 84,506 507 * Playboy Enterprises, Inc. Class B 37,191 506 HEICO Corp. 41,423 505 * Waste Industries USA, Inc. 70,950 505 Ohio Valley Banc Corp. 21,725 505 * Energy Partners, Ltd. 43,600 504 Greater Delaware Valley Savings Bank 22,132 502 Nature's Sunshine Inc. 62,164 498 * BWC Financial Corp. 25,422 498 * LoJack Corp. 100,500 497 Semco Energy Inc. 85,400 497 * Escalade, Inc. 30,636 497 * CuraGen Corp. 89,183 495 * Water Pik Technologies, Inc. 63,700 495 * GameStop Corp. 38,302 495 Redwood Empire Bancorp 17,350 495 * Monolithic System Technology, Inc. 54,522 494 * Matrix Bancorp, Inc. 48,200 494 * Secure Computing Corp. 56,507 493 * AMC Entertainment, Inc. 43,100 493 * KCS Energy, Inc. 91,300 492 MOCON, Inc. 67,862 492 * Gundle/SLT Environmental, Inc. 36,100 492 * NYFIX, Inc. 77,398 491
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Maxim Pharmaceuticals, Inc. 85,464 491 * Mastec Inc. 85,205 491 * Orphan Medical, Inc. 53,200 491 Landmark Bancorp Inc. 18,052 490 * Benihana Inc. Class A 37,074 489 * New Focus, Inc. 130,707 489 * Charlotte Russe Holding Inc. 47,293 488 California Independent Bancorp 16,816 488 * Blue Rhino Corp. 40,634 487 Solutia, Inc. 223,222 487 * Hexcel Corp. 151,931 486 * Revlon, Inc. Class A 162,034 486 Gevity HR, Inc. 41,100 486 * Interlink Electronics Inc. 79,450 485 * Greka Energy Corp. 83,835 485 Oregon Trail Financial Corp. 19,410 485 * OneSource Information Services, Inc. 64,800 483 * The TriZetto Group, Inc. 79,889 483 * Encysive Pharmaceuticals, Inc. 100,364 482 BNP Residential Properties, Inc. REIT 44,600 482 * FTD, Inc. 23,843 481 * Astec Industries, Inc. 55,152 481 * Colorado MEDtech, Inc. 102,203 480 * Stifel Financial Corp. 39,800 480 * C-COR Electronics, Inc. 97,931 480 * Symmetricom Inc. 109,055 480 Investors Real Estate Trust REIT 44,460 480 Klamath First Bancorp 28,908 480 * Vans, Inc. 53,255 478 * American Science & Engineering, Inc. 48,200 478 * VitalWorks Inc. 121,000 478 * Metro One Telecommunications, Inc. 92,451 477 * Netopia, Inc. 122,606 477 * UQM Technologies, Inc. 158,500 476 MGP Ingredients, Inc. 54,466 476 * Finish Line, Inc. 21,400 475 * Asyst Technologies, Inc. 71,042 475 Midland Co. 21,309 473 * Lightbridge, Inc. 53,897 472 Curtiss-Wright Corp. Class B 7,558 471 * Capital Crossing Bank 19,552 471 * Hanger Orthopedic Group, Inc. 41,105 471 * Dot Hill Systems Corp. 35,900 470 * Drugstore.com, Inc. 80,527 470 HEICO Corp. Class A 52,526 470 Communications Systems, Inc. 59,700 470 * US LEC Corp. Class A 122,900 469 * Aftermarket Technology Corp. 44,652 469 * IMCO Recycling, Inc. 70,671 469 * Source Interlink Companies, Inc. 61,300 465 * Standard Microsystem Corp. 30,531 463 * Steven Madden, Ltd. 21,188 463 Coastal Bancorp, Inc. 16,270 462 Badger Meter, Inc. 17,900 461 * Park-Ohio Holdings Corp. 93,294 461 * Intermagnetics General Corp. 23,215 461 * Micronetics Inc. 63,700 460 * Savient Pharmaceuticals Inc. 99,154 460 Cavalry Bancorp, Inc. 27,200 459 * Captaris Inc. 134,100 459 * Nashua Corp. 51,300 457 * Heidrick & Struggles International, Inc. 36,161 456 * SeeBeyond Technology Corp. 197,140 455 * ResortQuest International, Inc. 103,200 455 Riviana Foods, Inc. 16,888 454 * Able Laboratories, Inc. 22,900 453 Green Mountain Power Corp. 22,655 453 * Neoforma, Inc. 41,466 453 * Brush Engineered Materials Inc. 54,190 452 Penford Corp. 40,506 452 * Nastech Pharmaceutical Co., Inc. 45,221 452 * Switchboard Inc. 125,207 451 * Progenics Pharmaceuticals, Inc. 29,868 450 * Midas Inc. 37,072 449 * Allied Healthcare International Inc. 119,445 449 * FalconStor Software, Inc. 67,092 449 * iPayment Holdings, Inc. 18,700 449 * Theragenics Corp. 104,169 448 * Tower Automotive, Inc. 122,169 447 * Rent-Way, Inc. 96,031 447 * Stillwater Mining Co. 86,793 446 Crawford & Co. Class B 90,829 446 * PRAECIS Pharmaceuticals Inc. 90,969 446 * Mindspeed Technologies, Inc. 185,534 445 * Zoll Medical Corp. 13,257 445 * Factory 2-U Stores Inc. 89,156 444 * Novavax, Inc. 79,711 444 * LCC International, Inc. Class A 162,000 444 Safety Insurance Group, Inc. 30,200 444 * Friendly Ice Cream Corp. 70,000 442 * Pharmacopeia, Inc. 53,574 442 * SCS Transportation, Inc. 34,989 442 * RehabCare Group, Inc. 30,158 442 Apex Mortgage Capital, Inc. REIT 80,629 441 Tecumseh Products Co. Class B 11,900 440 Bairnco Corp. 73,100 440 * Pathmark Stores, Inc. 57,437 439 Sanders Morris Harris Group Inc. 49,050 439
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- Dover Downs Gaming & Entertainment, Inc. 47,292 437 * infoUSA Inc. 53,875 436 Landauer, Inc. 10,400 435 * Pixelworks, Inc. 72,963 433 Spartan Motors, Inc. 52,350 433 MeriStar Hospitality Corp. REIT 84,029 432 * Infinity, Inc. 71,306 431 * Commercial Capital Bancorp, Inc. 28,100 431 Intermet Corp. 127,833 431 Haverty Furniture Cos., Inc. 24,600 431 Universal Forest Products, Inc. 20,500 429 * SeaChange International, Inc. 44,953 429 * Transaction Systems Architects, Inc. 47,862 429 * Chattem, Inc. 22,800 429 * Rainbow Rentals, Inc. 77,000 428 * Gentiva Health Services, Inc. 47,438 427 * Aspect Communications Corp. 110,245 427 * Strategic Distribution, Inc. 26,230 427 * Torch Offshore, Inc. 62,815 427 * Viisage Technology, Inc. 83,220 426 * Abaxis, Inc. 65,800 424 * Key Tronic Corp. 167,700 424 * Genome Therapeutics Corp. 165,673 422 * Netegrity, Inc. 72,207 422 * LookSmart, Ltd. 148,941 422 * Acmat Corp. Class A 45,600 421 * Medical Staffing Network Holdings, Inc. 60,008 420 * Modtech Holdings, Inc. 45,657 420 * Onyx Acceptance Corp. 64,400 419 * Syntroleum Corp. 157,164 418 * Liquidmetal Technologies Inc. 81,432 418 * E-Z-EM, Inc. 49,700 417 * Biopure Corp. 68,220 417 * Vastera, Inc. 69,740 416 * Maxcor Financial Group Inc. 41,175 416 * Range Resources Corp. 66,300 416 * Smart & Final Inc. 89,700 415 * American Software, Inc. Class A 94,350 415 * Petrocorp, Inc. 37,223 415 * Buckeye Technology, Inc. 61,009 415 * ScanSoft, Inc. 76,400 415 * Edge Petroleum Corp. 73,159 415 * Universal American Financial Corp. 65,042 414 * Capital Title Group, Inc. 92,000 414 * Silicon Graphics, Inc. 362,143 413 * Digitas Inc. 83,069 412 * SONUS Pharmaceuticals, Inc. 110,319 411 * Jos. A. Bank Clothiers, Inc. 12,300 411 * Neoware Systems, Inc. 26,800 411 Liberty Homes, Inc. Class A 84,500 410 * RTI International Metals, Inc. 37,800 409 Dover Motorsports, Inc. 99,818 409 * Clean Harbors Inc. 42,933 409 * Valence Technology Inc. 136,300 408 * National Western Life Insurance Co. Class A 3,690 407 Rock of Ages Corp. 62,200 407 * Q-Med, Inc. 53,100 407 * SupportSoft, Inc. 62,746 407 * Transmeta Corp. 253,505 406 Knape & Vogt Manufacturing Co. 39,168 405 * Lawson Software Inc. 52,018 404 * Skechers U.S.A., Inc. 54,611 404 * Aphton Corp. 48,816 402 * NATCO Group Inc. 58,832 402 * Worldwide Restaurant Concepts Inc. 136,050 401 * Garden Fresh Restaurant Corp. 44,500 401 * First Consulting Group, Inc. 85,558 400 * Continental Materials Corp. 17,100 397 * Republic First Bancorp, Inc. 49,930 396 * Neurobiological Technologies, Inc. 113,316 395 First Oak Brook Bancshares, Inc. 11,946 394 Connecticut Water Services, Inc. 15,408 394 * Aksys, Ltd. 30,250 392 * Integrated Silicon Solution, Inc. 56,173 390 * SuperGen, Inc. 71,928 388 Timberline Software Corp. 69,233 388 Urstadt Biddle Properties REIT 29,200 388 * DJ Orthopedics Inc. 35,400 388 * MSC.Software Corp. 57,353 387 * IMPAC Medical Systems, Inc. 18,500 386 * Alliance Imaging, Inc. 87,781 386 * ADE Corp. 44,944 386 First Bell Bancorp, Inc. 15,230 385 * SureBeam Corp. 144,941 384 * Salton, Inc. 42,504 383 * Nobility Homes, Inc. 39,000 383 * JNI Corp. 77,736 383 * Harvard Bioscience, Inc. 100,777 383 The First Years Inc. 31,400 382 * Synovis Life Technologies, Inc. 19,200 382 * Fargo Electronics 39,200 381 * ScanSource, Inc. 14,200 380 * Luminex Corp. 73,597 380 United Guardian, Inc. 54,600 379 * Dobson Communications Corp. 69,600 379 * NCI Building Systems, Inc. 22,700 379 * Glacier Water Services, Inc. 24,400 378 * Harris Interactive Inc. 57,162 377
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- ------------------------------------------------------------------------------------------------------- Market EXTENDED MARKET Value* INDEX FUND Shares (000) - ------------------------------------------------------------------------------------------------------- Mystic Financial, Inc. 17,100 376 * Cysive, Inc. 116,800 375 * Berkshire Hathaway Inc. Class B 154 374 Community Capital Corp. 23,210 373 Home Federal Bancorp 15,350 373 * Sapient Corp. 134,300 372 * West Marine, Inc. 21,200 371 * Tumbleweed Communications Corp. 143,817 371 Virco Manufacturing Corp. 58,141 370 Crown American Realty Trust REIT 34,400 369 * Zomax Inc. 112,894 369 * Meta Group, Inc. 86,605 368 Old Second Bancorp, Inc. 8,537 366 * Enesco Group, Inc. 49,400 366 * Famous Dave's of America, Inc. 88,400 365 * Magnatek, Inc. 143,669 365 * CryoLife Inc. 35,257 365 * Multimedia Games Inc. 14,300 365 * Fairchild Corp. 90,300 364 * BroadVision, Inc. 63,828 363 * Geron Corp. 49,311 363 * USA Truck, Inc. 40,288 363 Republic Bancorp, Inc. Class A 24,415 362 * Graphic Packaging International Corp. 80,250 362 * TechTeam Global, Inc. 56,547 361 Tanger Factory Outlet Centers, Inc. REIT 10,900 361 * Alliance Semiconductor Corp. 74,374 360 * ARIAD Pharmaceuticals, Inc. 80,100 360 * Casual Male Retail Group, Inc. 69,200 359 * Stamps.com Inc. 74,741 359 Acadia Realty Trust REIT 39,200 359 Humphrey Hospitality Trust, Inc. REIT 137,900 359 Middlesex Water Co. 14,548 358 Provident Bancorp, Inc. 11,167 358 * I-STAT Corp. 39,864 358 * Arena Pharmaceuticals, Inc. 53,856 358 L.S. Starrett Co. Class A 27,600 357 * Perini Corp. 44,880 357 First Busey Corp. 14,700 356 Raven Industries, Inc. 17,983 356 * Brightpoint, Inc. 28,870 355 Sound Federal Bancorp Inc. 25,985 353 * Possis Medical Inc. 25,735 353 Deltic Timber Corp. 12,400 353 Oneida Ltd. 52,188 352 * Evans & Sutherland Computer Corp. 61,997 352 * Nuvelo, Inc. 176,556 351 * Huttig Building Products, Inc. 129,626 351 * Party City Corp. 34,166 351 Peoples Bancorp, Inc. 13,885 351 * Zila, Inc. 121,800 350 Ameriserv Financial Inc. 92,100 350 * Pumatech, Inc. 102,921 350 * Gardner Denver Inc. 17,100 350 D&E Communications, Inc. 30,528 350 * Superconductor Technologies Inc. 151,854 349 First Bancorp (NC) 13,452 349 * Celadon Group Inc. 38,400 348 * InFocus Corp. 73,597 347 * Team, Inc. 43,300 346 * TSR, Inc. 38,500 346 Covest Bankshares, Inc. 13,950 345 Allegiant Bancorp, Inc. 17,037 345 * DHB Industries, Inc. 84,124 344 Gibraltar Steel 16,800 344 Tompkins Trustco, Inc. 7,700 344 * Carrier Access Corp. 157,503 343 * eCollege.com Inc. 29,900 343 Applied Signal Technology, Inc. 20,300 342 * Quaker City Bancorp, Inc. 8,338 342 Oxford Industries, Inc. 8,200 340 * Commonwealth Telephone Enterprises Class B 7,400 340 * Embarcadero Technologies, Inc. 48,619 340 * HomeStore, Inc. 191,922 340 * Whitman Education Group, Inc. 22,100 339 * Mechanical Technology Inc. 109,400 339 * MRO Software Inc. 39,294 339 * Bottomline Technologies, Inc. 42,000 339 * Steinway Musical Instruments Inc. 21,890 337 * Firstwave Technologies, Inc. 43,119 336 * Terayon Communications Systems, Inc. 123,095 336 * Inverness Medical Innovations, Inc. 17,406 336 * Royale Energy, Inc. 43,610 335 * SITEL Corp. 216,320 335 * North American Scientific, Inc. 43,770 335 Nash-Finch Co. 20,129 335 PMC Capital, Inc. 69,100 335 McGrath Rent Corp. 12,520 335 * SteelCloud Inc. 97,800 334 * hi/fn, inc 37,467 334 * NCO Portfolio Management, Inc. 56,696 333 * Clarus Corp. 53,000 333 * AstroPower, Inc. 101,141 333 * TransTechnology Corp. 61,100 332 * Novoste Corp. 55,310 332 Donegal Group Inc. 26,400 331
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * WatchGuard Technologies, Inc. 71,901 331 * Nu Horizons Electronics Corp. 55,038 330 * Actuate Software Corp. 118,759 330 * Sipex Corp. 67,236 329 * AVANT Immunotherapeutics, Inc. 110,272 329 * Vitria Technology, Inc. 57,316 328 * Belmont Bancorp 65,640 328 * GTC Biotherapeutics, Inc. 95,600 328 * Bioreliance Corp. 15,453 328 * Value City Department Stores, Inc. 148,004 327 Tennant Co. 8,900 327 * Centra Software, Inc. 105,477 327 * Penn Octane Corp. 102,170 326 * Foodarama Supermarkets, Inc. 13,000 325 * Gartner, Inc. Class B 43,327 325 Noble International, Ltd. 38,000 325 Ryerson Tull, Inc. 36,961 325 * Daktronics, Inc. 19,800 324 * MedAmicus, Inc. 39,900 323 Superior Financial Corp. 13,460 323 * Alteon, Inc. 66,500 323 * Olympic Steel, Inc. 78,700 322 Merchants Group, Inc. 15,700 321 * Lydall, Inc. 29,983 321 * Aspen Technologies, Inc. 66,781 321 German American Bancorp 18,288 319 Northwestern Corp. 158,899 318 * Net2Phone, Inc. 73,100 317 * PriceSmart, Inc. 23,802 316 * PC Mall, Inc. 78,915 316 * Dendreon Corp. 53,000 315 MFB Corp. 12,400 314 * Virginia Commerce Bancorp, Inc. 16,100 314 * Image Entertainment, Inc. 137,600 314 * Peregrine Pharmaceuticals, Inc. 210,149 313 American Mortgage Acceptance Co. REIT 18,000 312 * The Meridian Resource Corp. 66,000 312 * Energy Conversion Devices, Inc. 34,284 312 * Telular Corp. 64,525 311 * Cardinal Financial Corp. 46,042 311 * NIC Inc. 106,183 310 * SpeechWorks International Inc. 65,912 310 * Third Wave Technologies 68,839 310 * TransPro Inc. 69,110 310 * Exactech, Inc. 21,500 310 * Nuance Communications Inc. 57,190 309 * Stellent Inc. 57,136 309 * Jupitermedia Corp. 77,100 308 * Emerson Radio Corp. 45,800 308 U.S. Restaurant Properties, Inc. REIT 19,600 308 * Convera Corp. 77,250 307 Vulcan International Corp. 8,600 307 Milacron Inc. 62,769 307 * Quality Systems, Inc. 11,110 307 Talx Corp. 13,542 306 * Overland Storage, Inc. 15,000 305 * barnesandnoble.com inc 130,749 305 * RCN Corp. 153,616 304 * Biosource International Inc. 43,900 303 Chesapeake Utilities Corp. 13,400 303 * The Greenbrier Cos., Inc. 27,900 303 * Sanchez Computer Associates, Inc. 58,160 302 * Insmed Inc. 112,383 302 * SM&A Corp. 26,565 302 Union Community Bancorp 17,200 301 * Natural Alternatives International, Inc. 60,700 300 * Planar Systems, Inc. 15,356 300 * Synaptics Inc. 22,300 300 First M&F Corp. 9,153 299 * Rofin-Sinar Technologies Inc. 21,300 299 FNB Financial Services Corp. 15,000 299 Ramco-Gershenson Properties Trust REIT 12,800 298 Capital Trust Class A 16,033 297 * Network Engines, Inc. 78,210 297 * Gene Logic Inc. 49,779 297 * Kforce Inc. 61,521 297 * Universal Stainless & Alloy Products, Inc. 45,200 297 * Dyax Corp. 72,655 296 * Amerco, Inc. 41,617 296 Oak Hill Financial, Inc. 11,746 294 * BE Aerospace, Inc. 88,663 293 Citizens First Financial Corp. 12,500 292 * GRIC Communications, Inc. 75,050 292 * Midway Games Inc. 80,381 292 * Omnova Solutions Inc. 72,047 291 * RC2 Corp. 17,100 291 * Stoneridge, Inc. 21,300 291 * Oregon Steel Mills, Inc. 100,089 290 * ManTech International Corp. 15,100 290 * Franklin Electronic Publishers, Inc. 72,300 289 Astro-Med, Inc. 41,850 289 * Aclara Biosciences, Inc. 68,181 288 * Millennium Cell Inc. 158,276 288 * Handspring, Inc. 254,467 288 * Sonic Solutions, Inc. 33,290 287 * PDF Solutions, Inc. 24,800 286 Shore Bancshares, Inc. 9,300 286 * Euronet Worldwide, Inc. 26,446 286
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Innovex, Inc. 28,200 285 Provident Financial Holdings, Inc. 9,700 285 * Proxim Corp. Class A 194,782 284 * A.M. Castle & Co. 43,408 284 * Sports Resorts International, Inc. 58,201 284 * Three-Five Systems, Inc. 41,055 283 Movado Group, Inc. 13,000 283 * Ventiv Health, Inc. 68,933 283 MTS Systems Corp. 19,120 282 Timberland Bancorp, Inc. 12,400 281 * Mattson Technology, Inc. 90,973 281 * PetroQuest Energy, Inc. 119,238 280 Boston Acoustics, Inc. 29,000 280 * Digital Generation Systems 145,795 280 CCBT Financial Cos. Inc. 11,700 280 * Liberte Investors, Inc. REIT 51,400 279 * American Dental Partners, Inc. 31,100 279 Bank of the Ozarks, Inc. 7,189 279 * Bell Microproducts Inc. 65,136 278 Psychemedics Corp. 34,114 278 FFLC Bancorp, Inc. 10,700 278 * Conceptus, Inc. 19,748 277 * Internap Network Services Corp. 269,300 277 * Zoltek Cos., Inc. 96,600 275 * Brio Software, Inc. 118,700 274 * Playboy Enterprises Inc. Class A 22,850 274 * InterCept, Inc. 32,703 273 * Psychiatric Solutions, Inc. 28,183 273 * Darling International, Inc. 113,500 272 * AP Pharma Inc. 163,100 272 * iGATE Corp. 78,151 271 * United PanAm Financial Corp. 22,112 271 * Coeur D'Alene Mines Corp. 194,704 271 * Heritage Commerce Corp. 22,200 271 * V.I. Technologies, Inc. 109,952 269 * Restoration Hardware, Inc. 59,833 269 * Onyx Pharmaceuticals, Inc. 21,825 269 * Verisity Ltd. 22,428 268 FNB Corp./North Carolina 10,700 268 * ABIOMED, Inc. 48,890 267 * Wackenhut Corrections Corp. 19,400 266 * U.S. Home Systems, Inc. 30,420 266 * Seabulk International, Inc. 29,963 266 * TheStreet.com, Inc. 56,450 265 * Raindance Communications, Inc. 106,404 265 * Netsmart Technologies, Inc. 48,033 265 * Zygo Corp. 33,046 264 * Willis Lease Finance Corp. 56,600 264 Meridian Bioscience Inc. 28,950 264 * Nanogen, Inc. 89,500 263 Community Banks, Inc. 8,846 263 Delta Apparel, Inc. 16,180 263 * SoundView Technology Group, Inc. 25,960 263 Commercial Bankshares, Inc. 8,800 262 Mainsource Financial Group, Inc. 10,728 261 Penn-America Group, Inc. 23,200 261 * Delphax Technologies, Inc. 83,700 259 * Unity Bancorp, Inc. 25,520 259 GA Financial, Inc. 10,300 259 * SFBC International, Inc. 14,300 259 * DigitalThink, Inc. 82,163 259 * FPIC Insurance Group, Inc. 18,600 258 * Redback Networks Inc. 286,212 258 * Ansoft Corp. 24,222 257 * Rush Enterprises, Inc. Class B 53,300 257 Seaboard Corp. 1,240 257 * BioCryst Pharmaceuticals, Inc. 70,360 256 * Trident Microsystems, Inc. 28,100 256 FloridaFirst Bancorp, Inc. 10,691 255 * Virbac Corp. 42,085 255 * Riverstone Networks, Inc. 216,110 255 CSS Industries, Inc. 6,600 254 * Cholestech Corp. 25,748 254 * Allscripts Healthcare Solutions, Inc. 69,137 254 * CYTOGEN Corp. 30,409 253 Union Bankshares Corp. 8,947 253 * Immucor Inc. 11,600 253 * Sequenom, Inc. 92,556 252 * Manufacturers' Services Ltd. 51,847 251 * Zix Corp. 66,650 251 * First Horizon Pharmaceutical Corp. 63,599 251 * Titanium Metals Corp. 7,823 251 First United Corp. 11,800 251 Sturm, Ruger & Co., Inc. 25,000 250 * STAAR Surgical Co. 21,400 248 * Dynamics Research Corp. 16,222 248 * Infocrossing, Inc. 35,200 248 * Kendle International Inc. 39,941 248 Equity Inns, Inc. REIT 35,738 247 * Lakes Entertainment, Inc. 30,800 246 * Internet Capital Group, Inc. 511,581 246 * COMARCO, Inc. 34,550 245 * American Superconductor Corp. 42,020 245 * Danielson Holdings Corp. 153,080 245 Northern States Financial Corp. 8,600 245 * Keystone Automotive Industries, Inc. 13,400 245 * Perry Ellis International Corp. 12,500 244 * Plumtree Software, Inc. 59,316 243 Quaker Chemical Corp. 9,700 243 * Chronimed Inc. 24,700 243
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * The Smith & Wollensky Restaurant Group, Inc. 47,410 242 Stepan Co. 10,700 242 * Omega Protein Corp. 47,400 242 * DVI, Inc. 51,741 242 * FSI International, Inc. 61,952 242 * Nobel Learning Communities, Inc. 65,800 241 Patriot Bank Corp. 13,398 241 * Excel Technology, Inc. 10,500 240 * Terremark Worldwide, Inc. 275,424 240 BancTrust Financial Group, Inc. 15,200 240 * EMCORE Corp. 73,010 239 * Pozen Inc. 21,738 239 * Workflow Management, Inc. 69,145 239 * Standard Management Corp. 64,400 238 Maritrans Inc. 16,200 237 * Rush Enterprises, Inc. Class A 52,100 237 * Art Technology Group, Inc. 148,014 237 Citizens South Banking Corp. 17,928 237 First Indiana Corp. 13,774 236 Great Lakes, Inc. REIT 14,700 235 * Electro Rent Corp. 21,800 235 * Nabi Biopharmaceuticals 34,167 234 Camco Financial Corp. 15,000 234 Winston Hotels, Inc. REIT 28,600 234 * QRS Corp. 44,047 233 BRT Realty Trust REIT 14,500 233 * Visual Networks, Inc. 169,500 232 * Spectrum Control, Inc. 41,242 232 * Information Resources, Inc. 58,569 231 Partners Trust Financial Group, Inc. 12,121 231 Center Bancorp, Inc. 15,200 230 * Saba Software, Inc. 50,435 229 * Array BioPharma Inc. 72,800 229 * Roxio, Inc. 34,179 229 Troy Financial Corp. 8,409 228 * Illumina, Inc. 76,069 228 * Reading International Inc. Class A 40,976 227 * MIPS Technologies, Inc. Class B 92,033 227 * Witness Systems, Inc. 43,935 227 * UbiquiTel Inc. 150,910 226 * Navigators Group, Inc. 7,564 226 * SBA Communications Corp. 74,016 225 * RF Monolithics, Inc. 46,200 225 * Maxwell Technologies, Inc. 38,900 224 * Bio-logic Systems, Corp. 46,400 223 Courier Corp. 4,312 222 * Carrington Labs Inc. 90,572 222 * Caliper Technologies Corp. 48,757 222 Bowl America, Inc. Class A 18,876 222 * Ducommun, Inc. 15,700 221 * Management Network Group Inc. 113,226 221 * MapInfo Corp. 30,186 220 * Niku Corp. 48,264 220 * Res-Care, Inc. 48,038 220 * Cerus Corp. 29,151 220 * Merix Corp. 28,772 219 Westwood Holdings Group, Inc. 11,515 219 West Coast Bancorp 12,010 219 * Meade Instruments Corp. 68,200 218 * OAO Technology Solutions, Inc. 103,620 218 * Applied Films Corp. 8,400 217 * Northfield Laboratories, Inc. 28,200 217 Robbins & Myers, Inc. 11,700 216 * Natrol, Inc. 93,100 216 * XETA Technologies Inc. 56,500 216 * Carreker Corp. 47,015 215 * Digimarc Corp. 13,700 215 Ohio Art Co. 14,800 215 * The Immune Response Corp. 67,795 215 * Overstock.com, Inc. 14,800 215 Greater Community Bancorp 13,900 214 First Colonial Group, Inc. 4,400 214 * Computer Task Group, Inc. 75,008 213 Cooperative Bankshares, Inc. 10,900 213 * PLX Technology, Inc. 53,692 212 * Genzyme Corp.- General Division 5,056 211 * Virage Logic Corp. 29,164 211 * Tellium, Inc. 225,327 210 CityBank Lynnwood WA 7,700 208 * Digital Impact, Inc. 112,400 208 * Turnstone Systems, Inc. 82,680 208 Kentucky First Bancorp, Inc. 11,600 206 * TTM Technologies, Inc. 43,810 205 * Comfort Systems USA, Inc. 78,103 205 FLAG Financial Corp. 14,981 205 * Kana Software, Inc. 67,585 205 Vesta Insurance Group, Inc. 89,028 205 * EntreMed, Inc. 49,320 205 * Durect Corp. 84,922 205 * Pharmacyclics, Inc. 43,153 205 * Wilshire Enterprises, Inc. 41,200 204 Nitches Inc. 33,141 203 Interchange Financial Services Corp. 10,257 203 * Microvision, Inc. 32,686 203 * Ciprico Inc. 33,200 203 Hawkins, Inc. 20,200 202 * OSI Systems Inc. 12,600 202 * Industrial Distribution Group, Inc. 69,200 202 * Hub Group, Inc. 23,000 202 * ACT Teleconferencing, Inc. 107,300 202
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- Penn Engineering & Manufacturing Corp. Class A 16,600 202 * Emisphere Technologies, Inc. 55,944 201 * ANADIGICS, Inc. 61,210 201 * TranSwitch Corp. 147,921 201 * Selectica, Inc. 63,336 201 * Consumer Portfolio Services, Inc. 71,600 200 * Systemax Inc. 58,546 199 * Barrett Business Services, Inc. 62,300 199 * Syms Corp. 30,900 199 * American Independence Corp. 18,533 198 * Dura Automotive Systems, Inc. 20,838 197 * Brass Eagle Inc. 23,600 196 * Superior Consultant Holdings Corp. 65,400 196 Capital Bank Corp. 13,100 195 * Ceres Group, Inc. 67,800 195 Steel Technologies, Inc. 19,300 195 * Comtech Telecommunications Corp. 6,900 195 * CompuCom Systems, Inc. 43,100 195 * Glenayre Technologies, Inc. 141,812 194 * Media 100 Inc. 162,889 194 Arrow Financial Corp. 5,800 194 * Packaging Dynamics Corp. 26,675 193 * Luby's, Inc. 85,775 193 * DiamondCluster International, Inc. 51,946 193 * Loral Space & Communications, Ltd. 63,165 193 * Raytech Corp. 45,300 193 ESB Financial Corp. 14,218 192 * On Assignment, Inc. 47,957 192 CB Bancshares Inc. (HI) 3,080 191 * VA Software Corp. 88,440 191 The Washington Savings Bank 18,000 191 Fidelity Bancorp, Inc. 5,900 191 * Avici Systems Inc. 31,208 190 * Prime Group Realty Trust REIT 32,800 190 * Paul-Son Gaming Corp. 35,500 190 * Computer Horizons Corp. 41,808 190 * Zonagen, Inc. 115,700 190 * E. Gottschalk & Co., Inc. 93,300 189 * Layne Christensen Co. 23,426 189 * NMS Communications Corp. 95,600 188 * Globecomm Systems, Inc. 57,300 188 Foothill Independent Bancorp 10,135 188 * Endocare, Inc. 45,730 187 * Hologic, Inc. 14,200 187 * Commerce One, Inc. 79,500 187 Eastern Virginia Bankshares, Inc. 8,130 186 * National R. V. Holdings, Inc. 35,773 185 * Dynacq International, Inc. 11,010 185 * Alcide Corp. 17,200 185 * Register.com, Inc. 31,470 184 * Equinix, Inc. 23,472 184 * Sirna Therapeutics, Inc. 20,900 184 Urstadt Biddle Properties Class A REIT 14,300 184 * Neurogen Corp. 40,135 183 * Merge Technologies, Inc. 14,000 183 * RMH Teleservices, Inc. 42,000 182 Hanmi Financial Corp. 10,409 182 Fedders Corp. 58,700 180 * Simula, Inc. 69,300 180 * Vical, Inc. 41,390 180 * Cellstar Corp. 45,751 180 * Eden Bioscience Corp. 111,290 179 * Mail-Well, Inc. 71,060 179 Golden Enterprises Inc. 75,900 178 * Genaera Corp. 105,500 178 Exchange National Bancshares, Inc. 3,200 178 * Qualstar Corp. 32,200 177 * Traffix, Inc. 57,400 176 * Interpharm Holdings, Inc. 60,000 176 * Federal Agricultural Mortgage Corp. Class A 10,523 176 * Docucorp International, Inc. 26,493 176 * John B. Sanfilippo & Son, Inc. 10,855 175 * Capstone Turbine Corp. 160,578 175 * Terra Industries, Inc. 163,141 175 * Duratek, Inc. 22,225 174 * Mitcham Industries, Inc. 113,700 174 * Lipid Sciences, Inc. 87,748 174 * Applied Molecular Evolution, Inc. 40,548 174 * Sunrise Telecom Inc. 97,942 173 * ChromaVision Medical Systems, Inc. 109,600 173 * Pemco Aviation Group, Inc. 7,360 173 * Crossroads Systems, Inc. 102,400 173 * Exponent, Inc. 11,093 172 * Questcor Pharmaceuticals, Inc. 171,500 172 Proton Energy Systems, Inc. 80,032 171 * The SCO Group, Inc. 17,875 171 * U.S. Xpress Enterprises, Inc. 15,952 170 * American Physicians Capital, Inc. 7,000 170 * Sonic Innovations, Inc. 46,917 169 * SCM Microsystems, Inc. 30,954 169 * ITXC Corp. 64,741 169 First Federal Financial Corp. of Kentucky 5,170 169 * Chordiant Software, Inc. 90,617 169 Standard Commercial Tobacco Co. 9,900 168
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * MCK Communications, Inc. 65,000 168 * Inforte Corp. 21,257 168 * Embrex, Inc. 16,412 167 * CyberSource Corp. 61,000 167 * Interland Inc. 170,346 167 * NASSDA Corp. 21,604 167 * Titan Pharmaceuticals, Inc. 70,659 167 Bush Industries, Inc. 55,310 166 Pilgrim's Pride Corp. Class A 23,100 166 * Catalytica Energy Systems, Inc. 61,219 165 * Covansys Corp. 53,783 165 * Aware, Inc. 73,900 165 * Copper Mountain Networks, Inc. 15,014 162 * Discovery Laboratories, Inc. 25,489 162 Computer Programs and Systems, Inc. 8,100 162 * Medtox Scientific, Inc. 25,412 162 * Lionbridge Technologies, Inc. 31,800 162 * Segue Software, Inc. 73,800 162 Quaker Fabric Corp. 24,416 161 * Somera Communications, Inc. 110,299 161 * Netro Corp. 55,802 161 * Latitude Communications, Inc. 86,400 161 Harrodsburg First Financial Bancorp, Inc. 9,800 159 * The Med-Design Corp. 32,300 159 * Foster Wheeler Ltd. 74,154 159 * Answerthink Consulting Group, Inc. 82,189 159 * Alamosa Holdings, Inc. 103,397 158 Commercial National Financial Corp. 6,000 158 * Salix Pharmaceuticals, Ltd. 15,053 158 Lakeland Financial Corp. 5,166 157 * Lithia Motors, Inc. 9,700 157 Farmers Capital Bank Corp. 4,910 157 * ParkerVision, Inc. 23,926 157 Franklin Financial Corp. 5,214 157 * Gaiam, Inc. 26,127 155 * La Jolla Pharmaceutical Co. 47,300 155 * Protection One, Inc. 157,582 154 * Epimmune Inc. 109,500 154 * Corio, Inc. 96,158 154 * Edison Schools Inc. 102,174 153 * American Medical Security Group, Inc. 8,000 153 * Home Products International Inc. 67,520 153 Community Bank of Northern Virginia 13,088 152 * NTN Communications, Inc. 75,300 151 * Mercator Software, Inc. 101,251 151 * Medialink Worldwide, Inc. 44,400 151 * HealthExtras, Inc. 19,200 150 * Option Care, Inc. 13,000 150 * Clark, Inc. 12,500 149 Peoples BancTrust Co., Inc. 9,900 149 * Monterey Pasta Co. 29,943 148 * Z-Tel Technologies, Inc. 57,865 148 * Exact Sciences Corp. 13,500 148 * Applied Innovation Inc. 42,600 147 * Foamex International, Inc. 47,924 147 CoBiz Inc. 11,001 147 * Data Systems & Software, Inc. 57,200 146 * BioTime, Inc. 72,900 146 * Monro Muffler Brake, Inc. 5,158 146 * Peerless Systems Corp. 57,500 145 Southern Peru Copper Corp. 9,500 145 Chester Valley Bancorp 7,600 145 Peoples Bancorp of North Carolina 8,471 145 * Covenant Transport, Inc. 8,530 145 * Technology Solutions Co. 144,896 145 * Vyyo Inc. 47,600 144 * Paradyne Networks, Inc. 80,074 144 Ennis Business Forms, Inc. 9,900 144 * National Healthcare Corp. 7,300 144 * MetaSolv, Inc. 73,236 144 Consolidated-Tomoka Land Co. 5,700 143 NASB Financial Inc. 4,900 142 * Landec Corp. 38,900 142 * EPIX Medical, Inc. 9,976 141 Royal Bancshares of Pennsylvania, Inc. 6,554 140 * First Virtual Communications, Inc. 31,480 140 * Tier Technologies, Inc. 18,032 140 * Interstate Hotels & Resorts, Inc. 29,688 140 * ParthusCeva Inc. 17,095 139 * Active Power, Inc. 82,658 139 * MTI Technology Corp. 140,400 139 * Sangamo BioSciences, Inc. 48,650 139 * ShoLodge, Inc. 39,333 139 * AAON, Inc. 7,464 138 * McLeod USA Inc. 91,429 138 * Urologix, Inc. 53,480 137 Outlook Group Corp. 23,700 137 * Gulf Island Fabrication, Inc. 8,100 137 Friedman's, Inc. Class A 12,000 136 * SAVVIS Communications Corp. 151,444 136 * BindView Development Corp. 67,000 135 PFS Bancorp, Inc. 7,700 135 * Tut Systems, Inc. 34,200 135 Warwick Community Bancorp, Inc. 4,600 135 National Health Realty Inc. REIT 8,400 134
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- Saucony Inc. 11,100 134 * Mod-Pac Corp. 20,130 134 North Pittsburgh Systems, Inc. 8,869 134 * Applix, Inc. 83,479 134 * Sirenza Microdevices, Inc. 65,174 132 EMC Insurance Group, Inc. 7,063 131 Schawk, Inc. 12,500 131 * On2 Technologies, Inc. 104,600 131 * Astronics Corp. 40,260 131 * SPEEDUS Corp. 110,500 130 * Franklin Covey Co. 74,300 130 Andersons, Inc. 10,575 130 EnergySouth, Inc. 3,945 129 * Hypercom Corp. 31,100 129 Thistle Group Holdings, Co. 8,105 128 * Westmoreland Coal Company 7,100 128 * NetManage, Inc. 42,822 128 * Wyndham International, Inc.Class A 288,869 127 United Capital Corp. 3,600 127 * MPW Industrial Services Group, Inc. 63,200 126 * Critical Path, Inc. 127,326 126 * Collagenex Pharmaceuticals, Inc. 9,200 125 * Acclaim Entertainment Inc. 183,159 125 * Arden Group Inc. Class A 2,110 124 * Micro Therapeutics, Inc. 29,300 124 * Cypress Bioscience, Inc. 28,412 123 * Tor Minerals International, Inc. 40,700 122 Camden National Corp. 4,400 121 United Industrial Corp. 7,400 121 * Bentley Pharmaceuticals, Inc. 9,100 120 * Supertex, Inc. 6,499 119 Schnitzer Steel Industries, Inc. Class A 2,700 119 * AXS-One Inc. 125,300 119 * Curative Health Services Inc. 7,000 119 * JLM Industries, Inc. 91,500 119 CNB Florida Bancshares, Inc. 7,600 119 * Applied Extrusion Technologies, Inc. 48,600 118 Citizens 1st Bancorp, Inc. 5,284 115 * Lifeway Foods, Inc. 14,500 115 Wainwright Bank & Trust Co. 11,410 115 * Marimba, Inc. 39,600 115 * ICT Group, Inc. 11,000 115 * Extended Systems Inc. 29,100 113 * Lexent Inc. 80,972 113 * Avigen, Inc. 32,654 113 * Del Laboratories, Inc. 4,800 113 * Covalent Group, Inc. 49,900 112 Agree Realty Corp. REIT 4,600 112 * Petroleum Helicopters, Inc. 3,700 112 * Atlas Air Worldwide Holdings, Inc. 75,872 112 * BNCCORP, Inc. 8,900 111 Coastal Financial Corp. 8,582 111 AMCOL International Corp. 13,800 110 * Cosine Communications, Inc. 18,023 110 Peapack Gladstone Financial Corp. 3,400 109 * Allied Holdings, Inc. 32,800 109 * Omnicell, Inc. 10,600 109 * Powell Industries, Inc. 7,400 108 * Rubio's Restaurants, Inc. 21,200 107 * Click2learn, Inc. 61,100 106 * Hanover Direct, Inc. 374,676 105 * Radiologix Inc. 24,926 105 * Curon Medical Inc. 92,567 105 * Intelli-Check Inc. 14,700 104 * White Electronic Designs Corp. 9,804 104 PrivateBancorp, Inc. 3,800 104 Pamrapo Bancorp, Inc. 5,980 103 * Seneca Foods Corp. 5,903 103 * Checkers Drive-In Restaurants, Inc. 9,005 103 * WJ Communications, Inc. 100,820 103 * California Micro Devices Corp. 47,600 102 * Global Power Equipment Group Inc. 21,800 101 * Double Eagle Petroleum Co. 12,900 101 * EXE Technologies, Inc. 20,117 101 X-Rite Inc. 10,193 101 * Microtek Medical Holdings, Inc. 48,100 101 * Gallery of History, Inc. 25,900 100 Berkshire Bancorp Inc. 2,785 99 Building Materials Holding Corp. 6,700 99 * Docent, Inc. 28,950 98 * MIM Corp. 15,015 98 * Large Scale Biology Corp. 97,583 98 * Pinnacor Inc. 50,667 97 * Competitive Technologies, Inc. 60,300 96 * Semitool, Inc. 19,552 96 * Diodes Inc. 5,055 96 * Intraware, Inc. 76,500 96 * Blue Coat Systems, Inc. 15,925 96 * ONYX Software Corp. 98,295 95 * Clearone Communications Inc. 42,784 95 * Immersion Corp. 49,700 94 * AVI BioPharma, Inc. 15,380 94 * Novadigm, Inc. 36,330 94 * Braun Consulting, Inc. 55,300 94 * Communication Intelligence Corp. 251,600 93 Monmouth Real Estate Investment Corp. REIT 13,250 93 * Viewpoint Corp. 81,650 92 LSI Industries Inc. 8,300 92 * TRC Cos., Inc. 6,200 92
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * Orchid Biosciences, Inc. 76,253 92 * ACTV, Inc. 92,901 91 * Shoe Carnival, Inc. 6,166 91 * Zones, Inc. 88,100 91 * Digital Lightwave, Inc. 83,824 91 * eLoyalty Corp. 23,189 90 * SSP Solutions, Inc. 94,700 90 * Midwest Express Holdings, Inc. 33,937 89 * Applied Digital Solutions, Inc. 147,916 89 First Midwest Financial, Inc. 4,750 88 * Tenneco Automotive, Inc. 24,400 88 * Allied Motion Technologies, Inc. 58,200 87 * Hungarian Telephone and Cable Corp. 9,500 87 * Allou Health Care, Inc. 81,200 87 Pennrock Financial Services Corp. 3,204 87 * Earthshell Corp. 211,042 87 * Argonaut Technologies Inc. 69,700 86 Gorman-Rupp Co. 3,600 86 * Vasomedical, Inc. 69,444 86 * Carmike Cinemas, Inc. 3,783 86 Bryn Mawr Bank Corp. 2,317 86 * Evercel, Inc. 47,164 86 * Optical Cable Corp. 12,268 86 * American Access Technologies Inc. 80,800 85 * VIA NET.WORKS, Inc. 85,472 85 * Encore Medical Corp. 22,900 85 * Lightspan Inc. 124,178 84 * ViroPharma Inc. 32,367 84 * IDT Corp. 4,695 84 * FairMarket, Inc. 50,100 84 * The Allied Defense Group, Inc. 4,500 83 * Star Scientific, Inc. 24,100 83 * Hawk Corp. Class A 24,000 83 * SportsLine.com, Inc. 39,000 82 * Nanometrics Inc. 11,503 81 * National Research Corp. 7,200 81 * Hollywood Media Corp. 62,300 81 * Nutraceutical International Corp. 7,500 81 * I-many, Inc. 79,783 81 * Phoenix Technologies Ltd. 14,195 80 Security Bank Corp. 2,300 80 * Blue Martini Software, Inc. 21,616 80 * Maxwell Shoe Co. Inc. 5,472 79 West Essex Bancorp, Inc. 2,200 77 * iVillage Inc. 51,079 77 * Food Technology Service, Inc. 77,050 76 * Strattec Security Corp. 1,400 74 * Somanetics Corp. 21,650 74 * Merisel, Inc. 16,131 74 * Hollis-Eden Pharmaceuticals, Inc. 5,800 73 * Lesco, Inc. 8,200 73 * Electric Fuel Corp. 91,100 73 * IGI, Inc. 68,500 72 * Catalina Lighting, Inc. 7,160 72 Presidential Realty Corp. REIT 9,000 72 * Stratos Lightwave, Inc. 14,381 71 * Delta Woodside Industries, Inc 24,475 70 First SecurityFed Financial, Inc. 2,800 70 * Rainmaker Systems, Inc. 87,500 69 * Universal Access Global Holdings Inc. 163,184 69 * CyberOptics Corp. 10,200 68 * VaxGen, Inc. 13,200 68 * BMC Industries, Inc. 126,104 68 UniFirst Corp. 3,100 68 * Cardiac Science, Inc. 24,900 67 * Cole National Corp. Class A 5,300 66 * Wave Systems Corp. 75,400 66 * SEEC, Inc. 47,900 66 * HyperFeed Technologies, Inc. 137,300 66 * BSQUARE Corp. 80,300 66 * Lowrance Electronics, Inc. 7,700 66 * SS&C Technologies, Inc. 4,100 65 Alico, Inc. 2,600 64 * Versant Corp. 105,400 64 * Obie Media Corp. 33,210 64 * Tripath Technology Inc. 82,722 64 * Pac-West Telecom, Inc. 86,070 64 * EnPro Industries, Inc. 5,900 63 Cascade Corp. 3,600 63 * StorageNetworks, Inc. 45,000 63 Noland Co. 1,750 62 NN, Inc. 4,900 62 * Ramtron International Corp. 27,300 62 * Alpine Group, Inc. 77,479 62 * Loudeye Corp. 76,385 61 * Airnet Communications Corp. 56,290 61 * TippingPoint Technologies Inc. 7,659 61 Ecology and Environment, Inc. 6,925 60 * DSL.Net, Inc. 115,398 60 * Net Perceptions, Inc. 37,400 60 * MediaBay, Inc. 82,700 60 * SRI/Surgical Express, Inc. 8,600 59 * Hemispherx Biopharma, Inc. 31,600 59 * Celeritek, Inc. 8,000 59 First State Bancorporation 2,100 58 MicroFinancial Inc. 31,100 57 * Meadowbrook Insurance Group, Inc. 17,800 56 * Stratasys, Inc. 1,600 56 * Perficient, Inc. 50,931 56 * Evergreen Solar, Inc. 41,020 55
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Kaiser Ventures LLC Class A 36,800 55 * Electroglas, Inc. 41,975 55 Willow Grove Bancorp, Inc. 3,200 54 * i3 Mobile, Inc. 113,078 54 * Aurora Foods Inc. 154,145 54 * SIGA Technologies, Inc. 32,500 54 * Mothers Work, Inc. 2,000 54 * Primus Knowledge Solutions, Inc. 39,300 51 * The Leather Factory, Inc. 15,600 51 McRae Industries, Inc. 8,300 51 * U.S. Concrete, Inc. 13,207 51 * eGain Communications Corp. 107,882 51 * Navarre Corp. 24,100 51 * Correctional Services Corp. 17,800 51 * Pinnacle Entertainment, Inc. 7,400 50 * Tarantella, Inc. 23,780 50 * Targeted Genetics Corp. 27,300 50 * Malan Realty Investors, Inc. REIT 11,200 49 * Bitstream Inc. 21,300 49 * Amcast Industrial Corp. 55,400 48 Shenandoah Telecommunications Co. 1,000 48 * Ault Inc. 22,500 48 Standard Motor Products, Inc. 4,300 48 * eXegenics Inc. 90,800 47 * SpectraLink Corp. 4,750 47 * InsWeb Corp. 9,866 47 Material Sciences Corp. 4,800 47 * Medis Technology Ltd. 6,521 46 * MedSource Technologies, Inc. 10,900 46 * BayCorp Holdings, Ltd. 3,314 46 * Chicago Pizza & Brewery, Inc. 4,590 46 * eMerge Interactive, Inc. 59,348 46 * BioSpecifics Technology 40,800 46 * Cornell Companies, Inc. 3,000 45 FNB Corp. VA 1,657 45 * New Century Equity Holdings Corp. 133,672 44 Quixote Corp. 1,722 44 * E Com Ventures, Inc. 5,800 43 Sizeler Property Investors, Inc. REIT 4,200 43 * SOS Staffing Services, Inc. 111,500 41 * Quidel Corp. 6,600 41 Nara Bancorp, Inc. 2,141 41 * Precision Optics Corp., Inc. 17,201 40 * Allos Therapeutics Inc. 13,100 39 * Hampshire Group, Ltd. 1,300 39 American Vanguard Corp. 2,100 39 * Internet Pictures Corp. 9,043 38 * Dominion Homes, Inc. 1,600 38 * American Power Technology, Inc. 4,900 38 * Penton Media, Inc. Class A 64,108 38 * Vornado Operating Inc. REIT 55,529 37 * NeoRx Corp. 11,000 37 Woodhead Industries, Inc. 2,951 37 * Books-a-Million Inc. 13,400 37 * Toreador Resources Corp. 12,200 37 * Peoples Community Bancorp 1,500 36 * GMX Resources Inc. 18,700 36 * Lynx Therapeutics, Inc. 9,417 36 * First Advantage Corp. Class A 2,132 35 * MedCath Corp. 5,900 35 * En Pointe Technologies, Inc. 49,300 35 * Lynch Corp. 3,500 34 * MIPS Technologies, Inc. 13,267 34 Northeast Indiana Bancorp, Inc. 1,800 33 * WHX Corp. 15,855 33 * Boston Beer Co., Inc. Class A 2,300 33 Stanley Furniture Co., Inc. 1,200 33 * PW Eagle, Inc. 8,300 33 First Federal Bancorp, Inc. 4,300 32 * Mayor's Jeweler's, Inc. 138,600 32 * CPI Aerostructures, Inc. 3,600 32 * Multilink Technology Corp. Class A 11,212 30 Westfield Financial, Inc. 1,700 30 * Beta Oil & Gas, Inc. 22,600 30 * Atlanta Sosnoff Capital Corp. 2,200 30 * Rita Medical Systems, Inc. 8,500 30 * Cognitronics Corp. 13,800 30 * U S Liquids Inc. 112,700 29 * Beacon Power Corp. 102,935 29 One Liberty Properties, Inc. REIT 1,700 29 Falmouth Bancorp, Inc. 1,100 28 * 24/7 Real Media, Inc. 34,100 28 Independence Holding Co. 1,300 27 * LogicVision, Inc. 9,150 27 * Weider Nutritional International, Inc. 12,100 27 * GlycoGenesys, Inc. 32,100 27 * Baltek Corp. 1,800 27 * Mestek, Inc. 1,500 27 * Andrea Radio Corp. 85,700 27 * Retractable Technologies, Inc. 3,100 26 * Persistence Software, Inc. 7,110 26 * Summit Financial Corp. 1,544 26 * Drew Industries, Inc. 1,400 25 * Miltope Group Inc. 8,370 25 BIW Limited 1,400 25 * Kosan Biosciences, Inc. 4,200 25 * Endologix, Inc. 7,200 25 Warwick Valley Telephone Co. 300 25 APCO Argentina Inc. 1,100 24 * SimpleTech, Inc. 6,000 24
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * Peco II, Inc. 38,190 24 * Verticalnet, Inc. 15,130 24 * eUniverse, Inc. 6,500 24 Nevada Chemicals, Inc. 6,000 23 * MAI Systems Corp. 150,575 23 * Ag Services of America, Inc. 3,800 23 Click Commerce, Inc. 15,356 22 * Global ePoint, Inc. 11,600 22 Aaron Rents, Inc. 900 22 Liquid Audio, Inc. 61,700 22 * FirePond, Inc. 6,795 22 * WorldGate Communications, Inc. 63,500 22 * Shoe Pavilion, Inc. 21,100 22 * Versata, Inc. 12,200 21 * Pain Therapeutics, Inc. 3,300 21 Ingles Markets, Inc. 2,100 21 * Verso Technologies, Inc. 11,700 21 Comdisco Holding Co., Inc.Contingent Value Rights 66,976 21 Bandag, Inc. Class A 600 21 * Newtek Business Services, Inc. 3,800 20 * Virage, Inc. 23,902 20 * Bel Fuse, Inc. Class A 977 20 * Mesa Laboratories, Inc. 2,800 20 * Bioanalytical Systems, Inc. 7,000 20 * Zapata Corp. 400 19 * IntraBiotics Pharmaceuticals, Inc. 4,802 19 * Diedrich Coffee, Inc. 6,000 19 * LightPath Technologies, Inc.Class A 6,262 19 * Miller Exploration Co. 2,660 19 * Artisoft, Inc. 11,633 19 * Private Business Inc. 26,134 19 * Cornerstone Realty Income Trust, Inc. REIT Cvt. Pfd. 2,610 19 * Oglebay Norton Co. 6,000 18 * Touch America Holdings, Inc. 274,423 18 * Serrento Networks Corp. 6,875 18 * MakeMusic! Inc. 7,540 18 Providence and Worcester Railroad Co. 2,500 18 * SciQuest, Inc. 4,506 17 * Cortex Pharmaceuticals, Inc. 9,800 17 * Fischer Imaging Corp. 3,470 17 ILX Resorts Inc. 2,000 17 * Nematron Corp. 63,000 17 * NaviSite, Inc. 6,180 17 * America Online Latin America, Inc. 27,901 17 * Applied Graphics Technologies, Inc. 20,280 17 Hubbell Inc. Class A 500 16 * Horizon Medical Products, Inc. 28,200 16 * Adams Golf, Inc. 47,100 16 * Sagent Technology, Inc. 103,300 15 * NexPrise, Inc. 4,740 15 * Novatel Wireless, Inc. 6,026 15 * Spectranetics Corp. 4,400 13 * Digital Angel Corp. 5,000 13 * Iridex Corp. 3,500 13 * Charles & Colvard Ltd. 3,200 13 * Five Star Quality Care, Inc. 8,338 13 * Hoenig Group, Inc. Contingent Value Rights 54,300 12 * DiaSys Corp. 15,600 12 * Horizon Group Properties, Inc. REIT 3,415 12 * HPSC, Inc. 1,200 12 * Aetrium, Inc. 7,801 11 * Captiva Software Corp. 2,300 11 * Allegiance Telecom, Inc. 205,405 11 * Datalink Corp. 2,400 11 * Hudson Technology, Inc. 5,600 11 * Lantronix, Inc. 14,277 11 * BAM! Entertainment Inc. 22,100 10 * Made2Manage Systems, Inc. 1,800 10 * Ampex Corp. Class A 2,890 10 * Applied Imaging Corp. 6,500 10 * Procom Technology, Inc. 32,000 10 * VASCO Data Security International, Inc. 8,000 10 * Almost Family Inc. 1,200 9 * Maui Land & Pineapple Co., Inc. 400 9 * PerfectData Corp. 9,800 9 * Advanced Nutraceuticals, Inc. 11,225 8 * Advantage Marketing Systems, Inc. 6,600 8 * Bruker Axs Inc. 2,600 8 * CardioTech International, Inc. 2,700 8 Weyco Group, Inc. 173 8 * Capital Properties, Inc. Class A 900 8 * Introgen Therapeutics, Inc. 1,400 8 * Catapult Communications Corp. 700 7 * Barrister Information Systems Corp. 18,000 7 * LMI Aerospace, Inc. 3,600 7 Fidelity Southern Corp. 600 7 * American Pacific Bank 880 7 * Aradigm Corp. 3,500 6 * Sunlink Health Systems, Inc. 2,600 6 * CoActive Marketing Group, Inc. 2,000 6 * Hauppage Digital, Inc. 1,900 6 * Cogent Communications Group, Inc. 2,779 6
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- ------------------------------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- * Onvia.com, Inc. 1,580 6 * CenterSpan Communications Corp. 41,600 6 * The 3DO Co. 14,900 6 L. S. Starrett Co. Class B 400 5 Century Aluminum Co. 700 5 * Encore Wire Corp. 517 5 * Katy Industries, Inc. 1,000 5 * VCampus Corp. 2,030 5 * Shiloh Industries, Inc. 1,500 5 * General Bearing Corp. 1,200 5 * Comshare Inc. 1,000 5 * Landenburg Thalmann Financial Services, Inc. 18,943 4 * Optika Inc. 2,900 4 * Magnum Hunter Resources Inc.Warrants Exp. 3/21/2005 12,046 4 * Calton, Inc. 15,400 4 * Emeritus Corp. 1,000 4 * Manchester Technologies, Inc. 1,700 4 * OMNI Energy Services Corp. 2,466 4 * Vista Medical Technologies, Inc. 1,300 4 * Koala Corp. 79,000 4 * Advanced Lighting Technologies, Inc. 41,620 4 * Analytical Surveys, Inc. 2,531 4 * Sento Corporation 1,675 3 * Radview Software Ltd. 9,000 3 * Prime Medical Services, Inc. 700 3 * Microstrategy Inc.Warrants Exp. 6/24/2007 16,080 3 * Read-Rite Corp. 41,795 3 * P-Com, Inc. 27,920 3 * Investors Capital Holdings, Ltd. 900 3 * Olympic Cascade Financial Corp. 2,900 2 * FiberMark, Inc. 500 2 State Bancorp, Inc. 105 2 * Paradigm Medical Industries, Inc. 6,700 2 * CRYO-CELL International, Inc. 2,000 2 * GoAmerica, Inc. 5,000 2 Merrill Merchants Bancshares, Inc. 106 2 * Physiometrix, Inc. 1,100 2 * Nucentrix Broadband Networks 1,700 1 Financial Industries Corp. 100 1 * Valley Forge Scientific Corp. 1,100 1 * EasyLink Services Corp. 1,838 1 * Corrpro Cos., Inc. 2,400 1 * Continucare Corp. 3,000 1 * Bluefly, Inc. 900 1 * J. Alexander's Corp. 200 1 * Diamond Hill Investment Group 200 1 * FiberNet Telecom Group, Inc. 780 1 * Fiberstars, Inc. 200 1 * Capital Properties, Inc. Class B 90 1 * NTELOS Inc. 41,468 1 * Travis Boats & Motors, Inc. 700 1 * ARTISTdirect, Inc. 688 -- * Pinnacle Holdings Inc. REIT 80,200 -- * Alterra Healthcare Corp. 59,200 -- * Evolve Software, Inc. 1,495 -- * ProcureNet, Inc. 21,000 -- - ------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $5,510,342) 4,922,263 - ------------------------------------------------------------------------------------------------------- FACE AMOUNT (000) - ------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (5.2%)(1) - ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. (2) 1.168%, 7/2/2003 $ 5,500 5,500 Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003 92,360 92,360 1.16%, 7/1/2003--Note E 163,715 163,715 - ------------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $261,575) 261,575 - ------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.4%) (Cost $5,771,917) 5,183,838 - ------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.4%) - ------------------------------------------------------------------------------------------------------- Other Assets--Note B 36,294 Security Lending Collateral Payable to Brokers--Note E (163,715) Other Liabilities (44,250) ----------- (171,671) ----------- - -------------------------------------------------------------------------------------------------------- NET ASSETS (100%) $5,012,167 ======================================================================================================== *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 3.4%, 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.
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- -------------------------------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------------------------------- Paid-in Capital $6,076,924 Undistributed Net Investment Income 14,989 Accumulated Net Realized Losses (490,116) Unrealized Depreciation Investment Securities (588,079) Futures Contracts (1,551) - -------------------------------------------------------------------------------------------------------- NET ASSETS $5,012,167 ======================================================================================================== Investor Shares--Net Assets Applicable to 144,220,977 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,169,483 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $21.98 ======================================================================================================== Admiral Shares--Net Assets Applicable to 36,193,404 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $795,544 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $21.98 ======================================================================================================== Institutional Shares--Net Assets Applicable to 45,742,089 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $1,005,869 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $21.99 ======================================================================================================== VIPER Shares--Net Assets Applicable to 711,401 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $41,271 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- VIPER SHARES $58.01 ========================================================================================================
See Note C in Notes to Financial Statements for the tax-basis components of net assets. ---- 45
- ------------------------------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- COMMON STOCKS (99.7%)(1) - ------------------------------------------------------------------------------------------------------- * PG&E Corp. 1,206,238 25,512 * Xerox Corp. 2,318,113 24,549 AmerisourceBergen Corp. 326,173 22,620 PPL Corp. 518,169 22,281 PACCAR, Inc. 326,461 22,056 * Apple Computer, Inc. 1,067,000 20,401 TXU Corp. 905,715 20,333 * Caremark Rx, Inc. 775,087 19,904 CIGNA Corp. 413,113 19,392 CSX Corp. 635,474 19,121 * Computer Sciences Corp. 498,724 19,011 Mylan Laboratories, Inc. 543,992 18,915 * Altera Corp. 1,131,049 18,549 Union Planters Corp. 587,981 18,245 Cinergy Corp. 493,482 18,155 Xcel Energy, Inc. 1,180,140 17,749 Jefferson-Pilot Corp. 422,645 17,523 Family Dollar Stores, Inc. 458,136 17,478 * BJ Services Co. 467,029 17,448 UST, Inc. 496,614 17,396 * Nabors Industries, Inc. 428,320 16,940 Starwood Hotels & Resorts Worldwide, Inc. 591,206 16,903 Monsanto Co. 773,747 16,744 Constellation Energy Group, Inc. 487,638 16,726 Knight Ridder 241,476 16,645 Genuine Parts Co. 516,909 16,546 Eaton Corp. 209,445 16,464 KeySpan Corp. 461,475 16,359 * Weatherford International Ltd. 388,520 16,279 North Fork Bancorp, Inc. 477,945 16,279 * Novellus Systems, Inc. 442,700 16,212 ITT Industries, Inc. 244,528 16,007 * Flextronics International Ltd. 1,536,300 15,962 Sempra Energy 548,926 15,661 First Tennessee National Corp. 353,468 15,521 CIT Group Inc. 625,921 15,429 * IDEC Pharmaceuticals Corp. 452,891 15,398 Dollar General Corp. 838,594 15,313 Interpublic Group of Cos., Inc. 1,140,433 15,259 * Broadcom Corp. 603,500 15,033 Cincinnati Financial Corp. 405,154 15,027 * Quest Diagnostics, Inc. 233,480 14,896 Microchip Technology, Inc. 602,174 14,832 Kinder Morgan, Inc. 270,631 14,790 Parker Hannifin Corp. 349,645 14,682 * Network Appliance, Inc. 903,924 14,653 MeadWestvaco Corp. 593,112 14,650 Synovus Financial Corp. 670,724 14,421 ProLogis REIT 527,362 14,397 * Edison International 867,992 14,261 Centex Corp. 182,592 14,204 Textron, Inc. 362,052 14,127 Plum Creek Timber Co. Inc. REIT 543,330 14,099 Tiffany & Co. 429,572 14,038 NiSource, Inc. 736,717 13,998 CenturyTel, Inc. 400,919 13,972 MGIC Investment Corp. 296,698 13,838 SAFECO Corp. 388,613 13,710 * Synopsys, Inc. 221,423 13,695 GlobalSantaFe Corp. 585,594 13,668 * Noble Corp. 395,387 13,562 Hilton Hotels Corp. 1,058,164 13,534 * QLogic Corp. 277,700 13,421 J.C. Penney Co., Inc. (Holding Co.) 794,166 13,382 * American Standard Cos., Inc. 180,919 13,375 Kerr-McGee Corp. 297,105 13,310 * Coach, Inc. 266,662 13,264 * Office Depot, Inc. 913,547 13,256 * JDS Uniphase Corp. 3,770,777 13,235 * Laboratory Corp. of America Holdings 437,496 13,191 RadioShack Corp. 498,575 13,118 * Harrah's Entertainment, Inc. 325,295 13,090 Rockwell Collins, Inc. 531,365 13,088 * Siebel Systems, Inc. 1,371,491 13,084 Torchmark Corp. 350,582 13,059 Health Management Associates Class A 706,615 13,037 IMS Health, Inc. 723,231 13,011 Archstone-Smith Trust REIT 536,633 12,879 Popular, Inc. 333,627 12,875 Whirlpool Corp. 201,996 12,867 Murphy Oil Corp. 244,118 12,841 National Commerce Financial Corp. 578,298 12,832 Delphi Corp. 1,486,885 12,832 EOG Resources, Inc. 306,180 12,811 Huntington Bancshares Inc. 654,852 12,783 * Dean Foods Co. 404,866 12,753 Everest Re Group, Ltd. 165,236 12,641 Georgia Pacific Group 666,208 12,625 * Express Scripts Inc. 184,390 12,598 Compass Bancshares Inc. 354,853 12,395 Banknorth Group, Inc. 485,143 12,381 T. Rowe Price Group Inc. 325,801 12,299 * L-3 Communications Holdings, Inc. 282,242 12,275 * Millennium Pharmaceuticals, Inc. 778,788 12,250 Valero Energy Corp. 337,174 12,250 Zions Bancorp 241,677 12,231 * Sprint PCS 2,114,940 12,161 * Watson Pharmaceuticals, Inc. 300,700 12,139
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- Sovereign Bancorp, Inc. 773,224 12,101 Williams Cos., Inc. 1,529,506 12,083 * Health Net Inc. 366,495 12,076 * Unisys Corp. 969,041 11,900 * BEA Systems, Inc. 1,093,700 11,878 Legg Mason Inc. 182,061 11,825 Boston Properties, Inc. REIT 269,653 11,811 Rockwell Automation, Inc. 494,646 11,792 Applera Corp.-Applied Biosystems Group 619,472 11,789 Green Point Financial Corp. 231,105 11,773 Amerada Hess Corp. 237,583 11,684 Old Republic International Corp. 339,063 11,620 * Varian Medical Systems, Inc. 201,687 11,611 Cooper Industries, Inc. Class A 276,012 11,399 Nucor Corp. 231,376 11,303 ENSCO International, Inc. 419,258 11,278 * BMC Software, Inc. 690,561 11,277 * Sealed Air Corp. 235,977 11,247 SCANA Corp. 327,826 11,238 Vornado Realty Trust REIT 257,315 11,219 Leggett & Platt, Inc. 544,078 11,154 Liz Claiborne, Inc. 316,254 11,148 * Waters Corp. 382,269 11,135 Vulcan Materials Co. 300,390 11,135 Estee Lauder Cos. Class A 330,010 11,065 * Cablevision Systems NY Group Class A 532,300 11,051 * Smith International, Inc. 300,579 11,043 * Juniper Networks, Inc. 891,100 11,023 Duke Realty Corp. REIT 400,009 11,020 General Growth Properties Inc. REIT 176,431 11,016 * Republic Services, Inc. Class A 484,983 10,995 Equifax, Inc. 421,062 10,948 Sigma-Aldrich Corp. 201,543 10,920 C.R. Bard, Inc. 152,717 10,890 UnumProvident Corp. 809,200 10,851 Scientific-Atlanta, Inc. 452,414 10,786 * Citizens Communications Co. 835,508 10,770 W.W. Grainger, Inc. 230,082 10,759 Expeditors International of Washington, Inc. 308,497 10,686 Fidelity National Financial, Inc. 345,977 10,642 * National Semiconductor Corp. 537,780 10,605 * Oxford Health Plans, Inc. 247,889 10,419 Sabre Holdings Corp. 422,302 10,410 * Jabil Circuit, Inc. 469,293 10,371 * AES Corp. 1,632,520 10,367 D. R. Horton, Inc. 368,855 10,365 * Brinker International, Inc. 287,045 10,339 * SPX Corp. 234,640 10,338 New York Community Bancorp, Inc. 354,544 10,314 * Citrix Systems, Inc. 506,300 10,308 XTO Energy, Inc. 510,217 10,260 * Barr Laboratories, Inc. 155,960 10,215 Kimco Realty Corp. REIT 268,869 10,190 * Dollar Tree Stores, Inc. 321,050 10,187 * Thermo Electron Corp. 484,062 10,175 Radian Group, Inc. 276,647 10,139 Black & Decker Corp. 232,294 10,093 * Phelps Dodge Corp. 263,166 10,090 * Jones Apparel Group, Inc. 343,133 10,040 McCormick & Co., Inc. 368,141 10,013 Pinnacle West Capital Corp. 267,162 10,005 * King Pharmaceuticals, Inc. 676,652 9,987 Wisconsin Energy Corp. 343,712 9,968 Omnicare, Inc. 293,798 9,927 Sherwin-Williams Co. 368,537 9,906 * Lincare Holdings, Inc. 312,923 9,860 Ross Stores, Inc. 229,533 9,810 Rouse Co. REIT 257,135 9,797 * Mercury Interactive Corp. 252,400 9,745 * NVIDIA Corp. 420,000 9,664 * Intersil Corp. 362,903 9,657 Pepco Holdings, Inc. 503,436 9,646 * Cadence Design Systems, Inc. 796,540 9,606 Apartment Investment & Management Co. Class A REIT 277,613 9,605 ServiceMaster Co. 892,082 9,545 * Sanmina-SCI Corp. 1,507,939 9,515 Pulte Homes, Inc. 153,647 9,474 Lennar Corp. Class A 131,446 9,398 * Teradyne, Inc. 541,769 9,378 Engelhard Corp. 378,079 9,365 * Career Education Corp. 136,687 9,352 R.J. Reynolds Tobacco Holdings, Inc. 250,703 9,329 Wendy's International, Inc. 321,054 9,301 Diebold, Inc. 213,563 9,237 * VeriSign, Inc. 667,821 9,236 * Pactiv Corp. 468,251 9,229 * Robert Half International, Inc. 486,452 9,213 * CarMax, Inc. 305,262 9,204 Janus Capital Group Inc. 559,829 9,181 * Solectron Corp. 2,445,553 9,146 Darden Restaurants Inc. 480,682 9,123 iStar Financial Inc. REIT 249,450 9,105 * WebMD Corp. 834,459 9,037 * The Dun & Bradstreet Corp. 219,705 9,030 * Smurfit-Stone Container Corp. 686,891 8,950 * Lear Corp. 194,271 8,940
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- Freeport-McMoRan Copper & Gold, Inc. Class B 363,975 8,917 Energy East Corp. 428,405 8,894 Symbol Technologies, Inc. 682,253 8,876 First Virginia Banks, Inc. 204,885 8,835 * ChoicePoint Inc. 253,704 8,758 * AutoNation, Inc. 556,739 8,752 * AdvancePCS 228,453 8,734 * Mohawk Industries, Inc. 157,217 8,730 VF Corp. 256,826 8,724 * Pioneer Natural Resources Co. 329,811 8,608 Avalonbay Communities, Inc.REIT 201,431 8,589 * E*TRADE Group, Inc. 1,004,963 8,542 * Williams-Sonoma, Inc. 292,217 8,533 * CDW Corp. 186,270 8,531 DENTSPLY International Inc. 208,379 8,523 Manpower Inc. 228,623 8,480 * Expedia Inc. 110,800 8,463 RenaissanceRe Holdings Ltd. 185,773 8,456 * Westwood One, Inc. 249,128 8,453 SuperValu Inc. 395,519 8,432 * Lamar Advertising Co. Class A 239,044 8,417 * Comverse Technology, Inc. 555,624 8,351 R.R. Donnelley & Sons Co. 318,146 8,316 * First Health Group Corp. 299,795 8,274 Public Storage, Inc. REIT 243,080 8,233 * SanDisk Corp. 203,747 8,221 * Convergys Corp. 513,698 8,219 * Whole Foods Market, Inc. 172,481 8,198 Deluxe Corp. 182,725 8,186 * Storage Technology Corp. 317,967 8,184 Pall Corp. 363,480 8,178 * Abercrombie & Fitch Co. 287,432 8,166 * Cooper Cameron Corp. 161,297 8,126 Sunoco, Inc. 215,281 8,125 A.G. Edwards & Sons, Inc. 236,360 8,084 Doral Financial Corp. 180,500 8,059 Hasbro, Inc. 460,537 8,055 * DST Systems, Inc. 211,955 8,054 Hibernia Corp. Class A 441,860 8,024 Mercantile Bankshares Corp. 203,716 8,022 PartnerRe Ltd. 156,250 7,986 Fluor Corp. 237,393 7,986 * Marvell Technology Group Ltd. 230,800 7,933 Allied Capital Corp. 343,000 7,923 Liberty Property Trust REIT 228,094 7,892 * UTStarcom, Inc. 221,400 7,875 Hillenbrand Industries, Inc. 155,328 7,836 * MGM Mirage, Inc. 228,750 7,819 TCF Financial Corp. 195,596 7,793 * LSI Logic Corp. 1,098,757 7,779 W.R. Berkley Corp. 146,901 7,742 * IVAX Corp. 431,270 7,698 Questar Corp. 229,993 7,698 * Agere Systems Inc. Class A 3,300,500 7,690 * American Power Conversion Corp. 492,619 7,680 Telephone & Data Systems, Inc. 154,016 7,655 * Toys R Us, Inc. 627,805 7,609 * Tellabs, Inc. 1,156,558 7,599 * Michaels Stores, Inc. 199,614 7,597 * Constellation Brands, Inc. Class A 241,487 7,583 International Flavors & Fragrances, Inc. 236,974 7,567 C.H. Robinson Worldwide, Inc. 212,712 7,564 Fair, Isaac, Inc. 146,467 7,536 SEI Corp. 235,390 7,532 Equitable Resources, Inc. 184,103 7,500 KB HOME 120,751 7,484 Health Care Properties Investors REIT 176,400 7,471 Commerce Bancorp, Inc. 200,747 7,448 * Ceridian Corp. 438,620 7,443 * Iron Mountain, Inc. 200,648 7,442 Outback Steakhouse 190,377 7,425 Beckman Coulter, Inc. 181,244 7,366 * NVR, Inc. 17,900 7,357 * NCR Corp. 286,527 7,341 White Mountains Insurance Group Inc. 18,542 7,324 * Energizer Holdings, Inc. 232,687 7,306 Associated Banc-Corp 197,786 7,294 Ball Corp. 160,159 7,289 * Patterson-UTI Energy, Inc. 224,888 7,286 * Park Place Entertainment Corp. 799,290 7,266 Eastman Chemical Co. 228,622 7,240 * Celgene Corp. 237,200 7,211 The Stanley Works 261,219 7,210 Harman International Industries, Inc. 90,593 7,170 The PMI Group Inc. 266,795 7,161 NSTAR 156,963 7,150 Arthur J. Gallagher & Co. 261,726 7,119 Valley National Bancorp 268,231 7,068 Tyson Foods, Inc. 664,901 7,061 * Level 3 Communications, Inc. 1,061,628 7,049 * Manor Care, Inc. 278,870 6,975 Bemis Co., Inc. 148,823 6,965 Goodrich Corp. 330,260 6,935 Federated Investors, Inc. 251,913 6,907 * PETsMART, Inc. 411,944 6,867 * Patterson Dental Co. 150,989 6,852
- ---- 48
- ------------------------------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - ------------------------------------------------------------------------------------------------------- * LAM Research Corp. 372,774 6,788 * Cephalon, Inc. 163,300 6,721 * Markel Corp. 26,150 6,694 Brunswick Corp. 267,072 6,682 Puget Energy, Inc. 277,660 6,628 CenterPoint Energy Inc. 811,722 6,616 MDU Resources Group, Inc. 197,209 6,605 Pogo Producing Co. 153,761 6,573 * Gentex Corp. 214,298 6,560 * Advanced Micro Devices, Inc. 1,021,502 6,548 Commerce Bancshares, Inc. 167,696 6,532 Sonoco Products Co. 271,785 6,528 * CIENA Corp. 1,254,797 6,512 * BISYS Group, Inc. 354,358 6,510 * Host Marriott Corp. REIT 708,330 6,481 * Henry Schein, Inc. 123,627 6,471 Fastenal Co. 190,584 6,468 * Compuware Corp. 1,119,025 6,457 * ICOS Corp. 174,800 6,424 AMB Property Corp. REIT 227,534 6,410 * Millipore Corp. 143,460 6,365 * Pride International, Inc. 338,151 6,364 Astoria Financial Corp. 225,842 6,308 Northeast Utilities 376,797 6,308 Molex, Inc. 233,502 6,302 TECO Energy, Inc. 521,097 6,248 Dow Jones & Co., Inc. 144,789 6,230 Fulton Financial Corp. 312,552 6,210 * Rowan Cos., Inc. 276,882 6,202 * Universal Health Services Class B 155,653 6,167 * Jacobs Engineering Group Inc. 146,091 6,158 Temple-Inland Inc. 143,031 6,137 Bowater Inc. 163,700 6,131 New Plan Excel Realty Trust REIT 286,802 6,123 Noble Energy, Inc. 161,333 6,098 * Zebra Technologies Corp. Class A 80,796 6,075 Allete, Inc. 227,875 6,050 Belo Corp. Class A 270,554 6,050 Valspar Corp. 141,640 5,980 DPL Inc. 374,365 5,967 Bank of Hawaii Corp. 179,873 5,963 * Corinthian Colleges, Inc. 122,578 5,954 * Smithfield Foods, Inc. 259,185 5,941 Bausch & Lomb, Inc. 158,015 5,926 * Alliant Techsystems, Inc. 113,678 5,901 Harris Corp. 196,291 5,899 Ashland, Inc. 191,891 5,887 * Network Associates, Inc. 462,969 5,870 Nordstrom, Inc. 300,567 5,867 * CheckFree Corp. 210,214 5,852 * Rent-A-Center, Inc. 76,960 5,834 Viad Corp. 260,438 5,831 City National Corp. 130,426 5,812 Weingarten Realty Investors REIT 138,474 5,802 * Garmin Ltd. 143,600 5,725 * Weight Watchers International, Inc. 125,700 5,718 Reynolds & Reynolds Class A 199,578 5,700 * Apogent Technologies Inc. 284,432 5,689 * Vishay Intertechnology, Inc. 427,202 5,639 Pier 1 Imports Inc. 274,777 5,605 * Entercom Communications Corp. 113,746 5,575 Brown & Brown, Inc. 171,336 5,568 Investors Financial Services Corp. 191,819 5,565 * Tektronix, Inc. 257,314 5,558 Foot Locker, Inc. 417,500 5,532 * Emulex Corp. 242,900 5,531 * ADC Telecommunications, Inc. 2,374,325 5,527 Dial Corp. 282,510 5,495 Hospitality Properties Trust REIT 175,774 5,493 * Krispy Kreme Doughnuts, Inc. 132,713 5,465 FirstMerit Corp. 237,652 5,433 Nationwide Financial Services, Inc. 165,703 5,385 Maytag Corp. 220,041 5,373 Hormel Foods Corp. 225,015 5,333 * Allied Waste Industries, Inc. 526,461 5,291 J.M. Smucker Co. 132,569 5,288 Mandalay Resort Group 165,915 5,284 * SICOR, Inc. 259,547 5,279 * Triad Hospitals, Inc. 210,024 5,213 Circuit City Stores, Inc. 592,085 5,210 * National-Oilwell, Inc. 236,767 5,209 Protective Life Corp. 193,080 5,165 Eaton Vance Corp. 163,228 5,158 * Hispanic Broadcasting Corp. 202,230 5,147 Hudson City Bancorp, Inc. 199,352 5,097 Dana Corp. 439,806 5,084 * The Cheesecake Factory 140,795 5,053 Lyondell Chemical Co. 372,476 5,040 * Chico's FAS, Inc. 238,701 5,025 * 3Com Corp. 1,069,255 5,004 * Del Monte Foods Co. 557,600 4,929 Tidewater Inc. 167,313 4,914 Meredith Corp. 111,451 4,904 Unitrin, Inc. 180,042 4,883 Wilmington Trust Corp. 165,181 4,848 Hubbell Inc. Class B 146,432 4,847 * Reebok International Ltd. 141,547 4,760 RPM International, Inc. 342,185 4,705
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- ------------------------------------------------------------------------------------------------------- MARKET VALUE* MID-CAP INDEX FUND SHARES (000) - ------------------------------------------------------------------------------------------------------- Molex, Inc. Class A 201,900 4,680 Neuberger Berman Inc. 113,520 4,531 * Owens-Illinois, Inc. 327,200 4,506 * Advance Auto Parts, Inc. 73,940 4,503 Brown-Forman Corp. Class B 56,700 4,458 * Tech Data Corp. 166,728 4,453 Teleflex Inc. 104,608 4,451 Seagate Technology 251,740 4,443 Alberto-Culver Co. Class B 83,754 4,280 Transatlantic Holdings, Inc. 61,805 4,274 * 99 Cents Only Stores 124,017 4,256 Regency Centers Corp. REIT 115,800 4,051 Diamond Offshore Drilling, Inc. 192,180 4,034 * National Instruments Corp. 105,437 3,983 Leucadia National Corp. 106,218 3,943 The St. Joe Co. 124,519 3,885 Clayton Homes Inc. 301,142 3,779 * Ameritrade Holding Corp. 508,300 3,767 * Fairchild Semiconductor International, Inc. 293,310 3,751 * Pixar, Inc. 60,700 3,693 Mercury General Corp. 80,350 3,668 * Agere Systems Inc. Class B 1,590,900 3,659 Adolph Coors Co. Class B 72,552 3,554 Harte-Hanks, Inc. 186,163 3,537 * Cree, Inc. 215,778 3,513 Erie Indemnity Co. Class A 84,983 3,506 * Packaging Corp. of America 185,230 3,414 * Aramark Corp. Class B 151,750 3,402 PepsiAmericas, Inc. 266,990 3,353 Winn-Dixie Stores, Inc. 270,201 3,326 The McClatchy Co. Class A 57,581 3,318 * Saks Inc. 337,362 3,272 * Amphenol Corp. 68,877 3,225 International Speedway Corp. 81,008 3,201 * Metro-Goldwyn-Mayer Inc. 257,375 3,197 Carolina Group 117,840 3,182 * Community Health Systems, Inc. 160,379 3,094 * RF Micro Devices, Inc. 513,176 3,089 * Scholastic Corp. 99,681 2,969 * Ingram Micro, Inc. Class A 266,750 2,934 Polo Ralph Lauren Corp. 113,007 2,914 LaBranche & Co. Inc. 140,478 2,906 Alberto-Culver Co. Class A 57,434 2,859 Lafarge North America Inc. 91,513 2,828 * Cox Radio, Inc. 116,588 2,694 * BOK Financial Corp. 68,323 2,635 * Radio One, Inc. Class D 146,300 2,600 Total System Services, Inc. 116,345 2,594 Regal Entertainment Group Class A 98,963 2,334 * BlackRock, Inc. 51,693 2,328 Talbots Inc. 76,400 2,250 * Montpelier Re Holdings Ltd. 69,400 2,193 Lennar Corp. Class B 31,764 2,182 * Columbia Sportswear Co. 40,922 2,104 AVX Corp. 179,877 1,977 Capitol Federal Financial 64,825 1,822 * WellChoice Inc. 61,700 1,807 Blockbuster Inc. Class A 105,240 1,773 * Radio One, Inc. 85,494 1,527 Student Loan Corp. 11,800 1,487 Nuveen Investments, Inc. Class A 49,797 1,356 * Hearst-Argyle Television Inc. 52,350 1,356 * Hewitt Associates, Inc. 56,800 1,338 * U.S. Cellular Corp. 45,750 1,164 - ------------------------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $3,688,455) 4,013,965 - ------------------------------------------------------------------------------------------------------- FACE AMOUNT (000) - ------------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.1%)(1) - ------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORP. (2) 1.15%, 7/15/2003 $10,000 9,996 FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.168%, 7/2/2003 1,500 1,500 (2) 1.173%, 7/16/2003 1,000 1,000 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003--Note E 30,988 30,988 - ------------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $43,470) 43,484 - ------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.8%) (Cost $3,731,925) 4,057,449 - ------------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.8%) - ------------------------------------------------------------------------------------------------------- Other Assets--Note B 24,174 Liabilities--Note E (55,062) ----------- (30,888) ----------- - -------------------------------------------------------------------------------------------------------- NET ASSETS (100%) $4,026,561 ======================================================================================================== *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 0.8%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Securities with an aggregate value of $12,496,000 have been segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust.
- ---- 50
- --------------------------------------------------------------------------------------------------------- AMOUNT (000) - --------------------------------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: Paid-in Capital $4,259,941 Undistributed Net Investment Income 16,987 Accumulated Net Realized Losses (575,618) Unrealized Appreciation (Depreciation) Investment Securities 325,524 Futures Contracts (273) - -------------------------------------------------------------------------------------------------------- NET ASSETS $4,026,561 ======================================================================================================== Investor Shares--Net Assets Applicable to 242,122,154 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $2,659,250 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $10.98 ======================================================================================================== Admiral Shares--Net Assets Applicable to 11,041,443 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $550,092 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $49.82 ======================================================================================================== Institutional Shares--Net Assets Applicable to 74,229,951 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $817,219 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $11.01 ======================================================================================================== See Note C in Notes to Financial Statements for the tax-basis components of net assets.
---- 51 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 ------------------------------------ SIX MONTHS ENDED JUNE 30, 2003 ------------------------------------ (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 22,454 $ 22,965 Interest 667 193 Security Lending 946 129 - -------------------------------------------------------------------------------- Total Income 24,067 23,287 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 112 75 Management and Administrative Investor Shares 3,049 2,587 Admiral Shares 549 351 Institutional Shares 322 247 VIPER Shares 35 -- Marketing and Distribution Investor Shares 195 204 Admiral Shares 41 34 Institutional Shares 69 63 VIPER Shares 3 -- Custodian Fees 160 94 Shareholders' Reports Investor Shares 108 145 Admiral Shares 1 1 Institutional Shares -- -- VIPER Shares -- -- Trustees' Fees and Expenses 3 3 Total Expenses 4,647 3,804 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 19,420 19,483 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (237,575) (575,123) Futures Contracts 13,333 554 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (224,242) (574,569) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 927,908 952,750 Futures Contracts (739) (112) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 927,169 952,638 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $722,347 $397,552 ================================================================================ - --- 52 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
- -------------------------------------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND MID-CAP INDEX FUND --------------------------- ------------------------ SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED JUNE 30, 2003 DEC. 31, 2002 JUNE 30, 2003 DEC. 31, 2002 (000) (000) (000) (000) - -------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 19,420 $ 39,014 $ 19,483 $ 29,619 Realized Net Gain (Loss) (224,242) (168,168) (574,569) 40,337 Change in Unrealized Appreciation (Depreciation) 927,169 (742,468) 952,638 (643,379) - -------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 722,347 (871,622) 397,552 (573,423) - -------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (281) (24,109) -- (20,612) Admiral Shares (162) (6,195) -- (3,979) Institutional Shares (335) (7,231) -- (6,440) VIPER Shares (13) (327) -- -- Realized Capital Gain* Investor Shares -- -- -- (25,635) Admiral Shares -- -- -- (4,240) Institutional Shares -- -- -- (7,402) VIPER Shares -- -- -- -- - -------------------------------------------------------------------------------------------------------------- Total Distributions (791) (37,862) -- (68,308) - -------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Investor Shares 79,391 122,033 128,067 661,714 Admiral Shares 77,839 21,721 86,327 261,445 Institutional Shares 214,235 49,773 83,940 127,670 VIPER Shares 4,709 28,082 -- -- - -------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 376,174 221,609 298,334 1,050,829 - -------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) 1,097,730 (687,875) 695,886 409,098 - -------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period 3,914,437 4,602,312 3,330,675 2,921,577 - -------------------------------------------------------------------------------------------------------------- End of Period $5,012,167 $3,914,437 $4,026,561 $3,330,675 ============================================================================================================== *Includes fiscal 2003 and 2002 short-term gain distributions by the Mid-Cap Index Fund totaling $0 and $3,244,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
----- 53 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 - -------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING JUNE 30, ------------------------------------------------ THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.61 $37.07 $30.63 $30.76 - -------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .082 .19 .203 .274 .297 .388 Net Realized and Unrealized Gain (Loss on Investments 3.160 (4.36) (2.703) (6.041) 10.101 2.025 - -------------------------------------------------------------------------------------------------------- Total from Investment Operations 3.242 (4.17) (2.500) (5.767) 10.398 2.413 - -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.002) (.18) (.210) (.263) (.318) (.373) Distributions from Realized Capital Gains -- -- (.810) (4.430) (3.640) (2.170) - -------------------------------------------------------------------------------------------------------- Total Distributions (.002) (.18) (1.020) (4.693) (3.958) (2.543) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $21.98 $18.74 $23.09 $26.61 $37.07 $30.63 ======================================================================================================== TOTAL RETURN* 17.30% -18.06% -9.13% -15.55% 36.22% 8.32% ======================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period(Millions) $3,169 $2,629 $3,115 $3,881 $4,221 $2,939 Ratio of Total Expenses to Average Net Assets 0.26%** 0.26% 0.25% 0.25% 0.25% 0.23% Ratio of net Investment Income to Average Net Assets 0.86%** 0.88% 0.88% 0.81% 1.04% 1.21% Portfolio Turnover Rate 11%** 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. **Annualized.
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EXTENDED MARKET INDEX FUND ADMIRAL SHARES - -------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED DEC. 31, NOV. 13* TO JUNE 30, ------------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.61 $31.89 - -------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .085 .201 .213 .050 Net Realized and Unrealized Gain (Loss) on Investments 3.160 (4.360) (2.703) (1.736) - -------------------------------------------------------------------------------------------------------- Total from Investment Operations 3.245 (4.159) (2.490) (1.686) - -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.005) (.191) (.220) (.274) Distributions from Realized Capital Gains -- -- (.810) (3.320) - -------------------------------------------------------------------------------------------------------- Total Distributions (.005) (.191) (1.030) (3.594) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $21.98 $18.74 $23.09 $26.61 ======================================================================================================== TOTAL RETURN 17.32% -18.02% -9.09% -4.30% ======================================================================================================== RATIOS/SUPPLEMENTAL DATA Ratios/Supplemental Data Net Assets, End of Period (Millions) $796 $611 $735 $441 Ratio of Total Expenses to Average Net Assets 0.20%** 0.20% 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 0.91%** 0.94% 0.94% 1.23%** Portfolio Turnover Rate 11%** 17% 20% 33% ======================================================================================================= *Inception. **Annualized.
---- 55 FINANCIAL HIGHLIGHTS (continued)
EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES - -------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING JUNE 30, ------------------------------------------------ THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.74 $23.09 $26.62 $37.09 $30.63 $30.76 - -------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .097 .22 .228 .313 .363 .427 Net Realized and Unrealized Gain (Loss) on Investments 3.160 (4.36) (2.703) (6.041) 10.101 2.025 - -------------------------------------------------------------------------------------------------------- Total from Investment Operations 3.257 (4.14) (2.475) (5.728) 10.464 2.452 - -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.007) (.21) (.245) (.312) (.364) (.412) Distributions from Realized Capital Gains -- -- (.810) (4.430) (3.640) (2.170) - -------------------------------------------------------------------------------------------------------- Total Distributions (.007) (.21) (1.055) (4.742) (4.004) (2.582) - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $21.99 $18.74 $23.09 $26.62 $37.09 $30.63 ======================================================================================================== TOTAL RETURN* 17.39% -17.93% -9.03% -15.41% 36.45% 8.45% ======================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,006 $644 $746 $954 $870 $456 Ratio of Total Expenses to Average Net Assets 0.10%** 0.10% 0.10% 0.10% 0.10% 0.10% Ratio of Net Investment Income to Average Net Assets 1.04%** 1.05% 1.02% 0.96% 1.18% 1.34% Portfolio Turnover Rate 11%** 17% 20% 33% 26% 27% ======================================================================================================== *Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2000. **Annualized.
- --- 56
EXTENDED MARKET INDEX FUND VIPER SHARES - -------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED DEC. 27* TO JUNE 30, DEC. 31, DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $49.46 $60.99 $60.94 - -------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .234 .566 -- Net Realized and Unrealized Gain (Loss) on Investments 8.334 (11.561) .05 ------------------------------------------------------------------------------------------------------- Total from Investment Operations 8.568 (10.995) .05 - -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.018) (.535) -- Distributions from Realized Capital Gains -- -- -- - -------------------------------------------------------------------------------------------------------- Total Distributions (.018) (.535) -- - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $58.01 $49.46 $60.99 ======================================================================================================== TOTAL RETURN 17.33% -18.04% 0.08% ======================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $41 $30 $6 Ratio of Total Expenses to Average Net Assets 0.20%** 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 0.93%** 1.04% 0.54%** Portfolio Turnover Rate 11%** 17% 20%** ======================================================================================================== *Inception. **Annualized.
--- 57 FINANCIAL HIGHLIGHTS (continued)
MID-CAP INDEX FUND INVESTOR SHARES - --------------------------------------------------------------------------------------------------------- APR. 20* SIX MONTHS ENDED YEAR ENDED DECEMBER 31, TO FOR A SHARE OUTSTANDING JUNE 30, -------------------------------------- DEC.31, THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $9.88 $11.81 $12.21 $11.30 $10.79 $10.00 - -------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .05 .088 .081 .071 .073 .053 Net Realized and Unrealized Gain (Loss) on Investments 1.05 (1.798) (.166) 1.897 1.448 .840 - -------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.10 (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 $10.98 $ 9.88 $11.81 $12.21 $11.30 $10.79 ======================================================================================================== TOTAL RETURN** 11.13% -14.61% -0.50% 18.10% 15.32% 8.55% ========================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $2,659 $2,267 $2,049 $1,614 $605 $206 Ratio of Total Expenses to Average Net Assets 0.26%+ 0.26% 0.25% 0.25% 0.25% 0.25%+ Ratio of Net Investment Income to Average Net Assets 1.08%+ 0.85% 0.83% 0.90% 0.99% 1.19%+ Portfolio Turnover Rate 86%++ 20%+++ 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. +Annualized. ++Annualized. Includes activity related to a change in the fund's target index. +++The portfolio turnover rate excluding in-kind redemptions was 18%.
- --- 58
MID-CAP INDEX FUND ADMIRAL SHARES - -------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED NOV. 12* TO JUNE 30, DEC. 31, DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $44.81 $53.56 $50.00 - -------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .25 .431 .056 Net Realized and Unrealized Gain (Loss) on Investments 4.76 (8.154) 3.982 - -------------------------------------------------------------------------------------------------------- Total from Investment Operations 5.01 (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 $49.82 $44.81 $53.56 ======================================================================================================== TOTAL RETURN 11.18% -14.55% 8.06% ======================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $550 $411 $223 Ratio of Total Expenses to Average Net Assets 0.18%** 0.18% 0.20%** Ratio of Net Investment Income to Average Net Assets 1.16%** 0.94% 0.86%** Portfolio Turnover Rate 86%+ 20%++ 24% ======================================================================================================== *Inception. **Annualized. +Annualized. Includes activity related to a change in the fund's target index. ++The portfolio turnover rate excluding in-kind redemptions was 18%.
--- 59 FINANCIAL HIGHLIGHTS (continued)
MID-CAP INDEX FUND INSTITUTIONAL SHARES - --------------------------------------------------------------------------------------------------------- MAY 20* SIX MONTHS ENDED YEAR ENDED DECEMBER 31, TO FOR A SHARE OUTSTANDING JUNE 30, -------------------------------------- DEC.31, THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $9.90 $11.83 $12.23 $11.30 $10.79 $10.03 - -------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .06 .103 .097 .081 .083 .055 Net Realized and Unrealized Gain (Loss) on Investments 1.05 (1.798) (.166) 1.918 1.448 .814 - -------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.11 (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 $11.01 $ 9.90 $11.83 $12.23 $11.30 $10.79 ======================================================================================================== TOTAL RETURN** 11.21% -14.45% -0.37% 18.39% 15.41% 8.61% ======================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $817 $653 $650 $307 $143 $39 Ratio of Total Expenses to Average Net Assets 0.10%+ 0.10% 0.10% 0.12% 0.12% 0.12%+ Ratio of Net Investment Income to Average Net Assets 1.24%+ 1.01% 1.00% 1.03% 1.11% 1.30%+ Portfolio Turnover Rate 86%++ 20%+++ 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. +Annualized. ++Annualized. Includes activity related to a change in the fund's target index. +++The portfolio turnover rate excluding in-kind redemptions was 18%. SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. - --- 60 - -------------------------------------------------------------------------------- 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 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: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds' pricing time but after the close of the securities' primary markets, are valued by methods deemed by the board of trustees to represent fair value. 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. 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 E-mini S&P MidCap 400 Index and 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. --- 61 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) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2003, 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 - -------------------------------------------------------------------------------- EXTENDED MARKET $839 0.02% 0.84% MID-CAP 688 0.02 0.69 - -------------------------------------------------------------------------------- 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. The funds' tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2002, the Extended Market Index Fund had available realized losses of $264,519,000 to offset future net capital gains of $96,297,000 through December 31, 2009, $142,262,000 through December 31, 2010, and $25,960,000 through December 31, 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2003; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balances above. - --- 62 At June 30, 2003, net unrealized appreciation (depreciation) of investment securities for tax purposes was: - -------------------------------------------------------------------------------- (000) ------------------------------------------------------- NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) - -------------------------------------------------------------------------------- EXTENDED MARKET $1,282,567 $(1,870,646) $(588,079) MID-CAP 417,427 (91,903) 325,524 - -------------------------------------------------------------------------------- At June 30, 2003, the aggregate settlement value of open futures contracts expiring in September 2003 and the related unrealized depreciation were: - -------------------------------------------------------------------------------- (000) ---------------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- Extended Market/ E-mini S&P MidCap 400 Index 197 $ 9,460 $ (216) S&P MidCap 400 Index 169 40,577 (727) Russell 2000 Index 173 38,786 (608) Mid-Cap/ E-mini S&P MidCap 400 Index 6 288 (7) S&P MidCap 400 Index 49 11,765 (266) - -------------------------------------------------------------------------------- Unrealized depreciation on open futures contracts is required to be treated as realized loss for tax purposes. D. During the six months ended June 30, 2003, purchases and sales of investment securities other than temporary cash investments were: - -------------------------------------------------------------------------------- (000) --------------------------------------- INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------------- EXTENDED MARKET $ 609,568 $ 240,504 MID-CAP 3,100,793 2,774,661 - -------------------------------------------------------------------------------- E. The market value of securities on loan to broker/dealers at June 30, 2003, and collateral received with respect to such loans were: - -------------------------------------------------------------------------------- (000) ------------------------------------------ MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED - -------------------------------------------------------------------------------- EXTENDED MARKET $139,646 $163,715 MID-CAP 29,337 30,988 - -------------------------------------------------------------------------------- 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. --- 63 NOTES TO FINANCIAL STATEMENTS (continued) F. Capital share transactions for each class of shares were:
- --------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 ------------------- ------------------ AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - --------------------------------------------------------------------------------------------- EXTENDED MARKET Investor Shares Issued $ 312,658 15,954 $ 699,391 33,544 Issued in Lieu of Cash Distributions 266 15 22,749 1,208 Redeemed (233,533) (12,076) (600,107) (29,319) ---------------------------------------------- Net Increase (Decrease)--Investor Shares 79,391 3,893 122,033 5,433 ---------------------------------------------- Admiral Shares Issued 159,243 7,878 217,397 10,455 Issued in Lieu of Cash Distributions 134 7 5,147 273 Redeemed (81,538) (4,277) (200,823) (9,993) ---------------------------------------------- Net Increase (Decrease)--Admiral Shares 77,839 3,608 21,721 735 ---------------------------------------------- Institutional Shares Issued 370,430 19,178 265,407 12,612 Issued in Lieu of Cash Distributions 296 16 6,005 319 Redeemed (156,491) (7,822) (221,639) (10,859) ---------------------------------------------- Net Increase (Decrease)--Institutional Shares 214,235 11,372 49,773 2,072 ---------------------------------------------- VIPER Shares Issued 4,695 100 28,082 511 Issued in Lieu of Cash Distributions 14 -- -- -- Redeemed -- -- -- -- ---------------------------------------------- Net Increase (Decrease)--VIPER Shares 4,709 100 28,082 511 - --------------------------------------------------------------------------------------------- MID-CAP Investor Shares Issued $ 434,668 43,222 $1,263,770 111,624 Issued in Lieu of Cash Distributions -- -- 42,143 3,986 Redeemed (306,601) (30,515) (644,199) (59,639) ---------------------------------------------- Net Increase (Decrease)--Investor Shares 128,067 12,707 661,714 55,971 ---------------------------------------------- Admiral Shares Issued 137,185 2,995 406,131 7,971 Issued in Lieu of Cash Distributions -- -- 6,949 147 Redeemed (50,858) (1,116) (151,635) (3,124) ---------------------------------------------- Net Increase (Decrease)--Admiral Shares 86,327 1,879 261,445 4,994 ---------------------------------------------- Institutional Shares Issued 145,785 14,411 343,553 31,481 Issued in Lieu of Cash Distributions -- -- 11,623 1,094 Redeemed (61,845) (6,162) (227,506) (21,501) ---------------------------------------------- Net Increase (Decrease)--Institutional Shares 83,940 8,249 127,670 11,074 - ---------------------------------------------------------------------------------------------
- --- 64 ================================================================================ 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(R) 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 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 activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. The dates in parentheses below show when each trustee was initially elected.
========================================================================================================================= JOHN J. BRENNAN* Chairman of the Board, Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc., (1987) and of each of the investment companies served by The Vanguard Group. - ------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS The Partners of '63 (pro bono ventures in education); Senior Adviser to Greenwich Associates (2001) (international business strategy consulting); 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 Chairman and Chief Executive Officer (since October 1999), Vice Chairman (January-September 1999), (2001) and Vice President (prior to 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 Vice President, Chief Information Officer, and Member of the Executive Committee of Johnson & (1998) Johnson (pharmaceuticals/consumer products); Director of the Medical Center at Princeton and Women's Research and Education Institute. BURTON G. MALKIEL Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Vanguard (1977) Investment Series plc (Irish investment fund) (since November 2001), Vanguard Group (Ireland) Limited (Irish investment management firm) (since November 2001), Prudential Insurance Co. of America, BKF Capital (investment management firm), The Jeffrey Co. (holding company), and NeuVis, Inc. (software company). ALFRED M. RANKIN, JR. Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift (1993) trucks/housewares/lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services); Director until 1998 of Standard Products Company (a supplier for the automotive industry). J. LAWRENCE WILSON Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of (1985) Cummins Inc. (diesel engines), MeadWestvaco Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - ------------------------------------------------------------------------------------------------------------------------- EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary; Managing Director and General Counsel of The Vanguard Group, Inc. (since September 1997); Secretary of The Vanguard Group and of 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 investment companies served by The Vanguard Group. - -------------------------------------------------------------------------------------------------------------------------
*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, Client Relationship Group. JAMES H. GATELY, Investment Programs and 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. [SHIP LOGO] THE VANGUARD GROUP(R) Post Office Box 2600 Valley Forge, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Admiral, Wellington, VIPER, VIPERs, and the ship logo are trademarks of The Vanguard Group, Inc. Standard & Poor's MidCap 400 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. The funds or securities referred to herein that are offered by The Vanguard Group and track an MSCI index are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities. For such funds or securities, the prospectus or the Statement of Additional Information contains a more detailed description of the limited relationship MSCI has with The Vanguard Group. All other marks are the exclusive property of their respective owners. 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 funds' 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 funds 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) 2003 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q982 082003 VANGUARD(R) U.S. STOCK INDEX FUNDS LARGE-CAPITALIZATION PORTFOLIOS SEMIANNUAL REPORT [GRAPHICS] JUNE 30, 2003 VANGUARD(R) GROWTH INDEX FUND VANGUARD(R) VALUE INDEX FUND VANGUARD(R) TOTAL STOCK MARKET INDEX FUND THE VANGUARD GROUP INC.(R) ETERNAL PRINCIPLES Markets change, but the principles of successful investing do not. During the past few years, radical upheaval in the stock market has displayed the power of this simple truth to dramatic effect. In the late 1990s, stocks experienced one of the greatest bull markets in financial history. Then, in March 2000, the longest downturn since the Great Depression began. In both bull and bear markets, however, the principles of successful investing are identical: balance, diversification, and attention to costs. Balance among stock, bond, and money market funds allows you to pursue long-term growth while moderating your risk. Diversification limits your exposure to the disasters that can befall any one security or sector. Attention to costs means you keep a larger share of any rewards produced by your investments. These principles are timeless. In fact, they're the basis of our very first mutual fund--Vanguard(R) Wellington(TM) Fund, a balanced portfolio established in 1929. Over time, balance, diversification, and attention to costs have proven to be the master keys to investment success. - -------------------------------------------------------------------------------- SUMMARY * During the first half of 2003, the Investor Shares of Vanguard's large-cap index funds produced strong returns: 12.8% for the Total Stock Market Index Fund, 13.5% for the Value Index Fund, and 10.6% for the Growth Index Fund. * With the 13th rate cut by the Federal Reserve Board in 21/2 years, short-term interest rates fell to their lowest levels in 45 years. * Long-depressed technology stocks led the market's rebound. - -------------------------------------------------------------------------------- CONTENT 1 Letter from the Chairman 6 Fund Profiles 10 Glossary of Investment Terms 11 Performance Summaries 13 Financial Statements 43 Advantages of Vanguard.com - -------------------------------------------------------------------------------- INDEXED TO MSCI Growth Index Fund Value Index Fund LETTER FROM THE CHAIRMAN Fellow Shareholder, The broad U.S. stock market turned in a strong performance during the first half of 2003, with stocks of all sizes and valuations participating in the rally. Vanguard Value Index Fund produced the highest returns of Vanguard's three large-capitalization index funds, as the economically sensitive stocks that make up the fund's portfolio rose on investors' hopes of a recovery in corporate spending. Although Vanguard Growth Index Fund had the lowest returns in the period, it still produced very respectable double-digit gains. The returns of Vanguard Total Stock Market Index Fund, which includes growth and value stocks as well as those of small and large companies, fell in between. All three funds hewed closely to their benchmarks, though for two of the funds, these benchmarks changed during the half-year. On May 16, the Value Index Fund's target index changed from the Standard & Poor's 500/Barra Value Index to the Morgan Stanley Capital International (MSCI) US Prime Market Value Index, and the Growth Index Fund's target changed from the S&P 500/Barra Growth Index to the MSCI US Prime Market Growth Index. The funds' trustees, who were authorized by the shareholders in December to make such a change, believe that the MSCI indexes better reflect the performance of value- and growth-oriented stocks. In particular, the board decided that the new indexes are the best representation of Vanguard's beliefs about the characteristics of an "ideal" index. For example, - --------------------------------------------------------- TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2003 - --------------------------------------------------------- VANGUARD GROWTH INDEX FUND Investor Shares 10.6% Admiral Shares 10.6 Institutional Shares 10.6 Average Large-Cap Growth Fund* 12.3 Spliced Growth Index** 10.6 - --------------------------------------------------------- VANGUARD VALUE INDEX FUND Investor Shares 13.5% Admiral Shares 13.6 Institutional Shares 13.6 Average Large-Cap Value Fund* 10.8 Spliced Value Index+ 13.5 - --------------------------------------------------------- VANGUARD TOTAL STOCK MARKET INDEX FUND Investor Shares 12.8% Admiral Shares 12.8 Institutional Shares 12.9 VIPER Shares Market Price 12.7 Net Asset Value 12.8 Average Multi-Cap Core Fund* 12.0 Wilshire 5000 Index 12.9 - --------------------------------------------------------- *Derived from data provided by Lipper Inc. **S&P 500/Barra Growth Index until May 16, 2003; MSCI US Prime Market Growth Index thereafter. +S&P 500/Barra Value Index until May 16, 2003; MSCI US Prime Market Value Index thereafter. 1 the MSCI indexes are constructed according to objective rules, they reflect only shares freely traded in the open market, they assess a variety of factors to identify "growth" and "value" stocks, and they rebalance their holdings gradually. - -------------------------------------------------------------------------------- MARKET BAROMETER TOTAL RETURNS PERIODS ENDED JUNE 30, 2003 ------------------------------- SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 12.3% 1.0% -1.2% Russell 2000 Index (Small-caps) 17.9 -1.6 1.0 Wilshire 5000 Index (Entire market) 12.9 1.3 -1.3 MSCI All Country World Index Free ex USA (International) 11.1 -4.2 -2.8 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 3.9% 10.4% 7.5% (Broad taxable market) Lehman Municipal Bond Index 3.8 8.7 6.3 Citigroup 3-Month Treasury Bill Index 0.6 1.4 3.9 ================================================================================ CPI Consumer Price Index 1.5% 2.1% 2.4% - -------------------------------------------------------------------------------- *Annualized. The table on page 1 presents the returns of each fund's various share classes, as well as the returns of the funds' comparative standards, including the "spliced" benchmarks made up of the new and old target indexes for the Value and Growth Index Funds. The components of the funds' total returns--capital appreciation and income distributions--appear in the top table on page 5. STOCKS RALLIED DESPITE WAR The war with Iraq, a lackluster economy, and rising unemployment did little to impede the U.S. stock market during the half-year ended June 30, 2003. Indeed, the start of the war in mid-March marked the beginning of a sharp rally in stocks. For the first half of 2003, the overall U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned a stellar 12.9%. The gain was virtually universal, with all market segments and industrial sectors posting positive returns. Small-cap stocks outperformed large-caps. And according to the S&P/BARRA indexes, which your funds tracked for most of the period, value stocks outpaced growth stocks. - -------------------------------------------------------------------------------- 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. - -------------------------------------------------------------------------------- BONDS ALSO RALLIED; INTEREST RATES FELL TO 45-YEAR LOWS In the fixed income arena, risk was rewarded during the six months. The lower the credit rating of the bond issuer, the higher the return. The Lehman Brothers High Yield Bond Index surged 18.5%--well above the still-respectable six-month 2 return of 3.9% for the overall bond market, as measured by the Lehman Aggregate Bond Index. During the half-year, the yield of the 10-year U.S. Treasury note fell 30 basis points (0.30 percentage point) to 3.51%, as bond prices rose. Meanwhile, short-term interest rates fell to their lowest levels in 45 years. In late June, citing concerns about sustainable economic growth and potential deflation, the Federal Reserve Board reduced the target for the federal funds rate (the interest rate charged for overnight loans between banks) by 25 basis points to 1.00%. It was the 13th rate cut in 21/2 years. The yield of the 3-month Treasury bill--a fair proxy for money market yields, tracking Fed moves with a lag--fell 34 basis points during the six months to 0.85%, well below the inflation rate. - -------------------------------------------------------------------------------- At the end of June, the Fed cut short-term interest rates to their lowest levels in 45 years. - -------------------------------------------------------------------------------- TECHNOLOGY STOCKS BOUNCED BACK, BOOSTING FUNDS All three large-cap index funds performed strongly during the six months, fueled by a rebound in technology stocks, which had delivered some of the market's worst returns during the past few years. For the six months, however, they were some of the best performers, benefiting from investors' anticipation of a thaw in corporate America's long freeze on capital spending. Overall, the sector returned 17.9%, contributing 2.4 percentage points to the 12.8% return of the Total Stock Market Index Fund's Investor Shares. The Growth Index Fund's tech shares rose 14.9%, adding 3.3 percentage points to the 10.6% return of the fund's Investor Shares. Technology stocks were also important contributors to the performance of the Value Index Fund, as many once high-flying growth stocks that had been repriced as value stocks during the long bear market (and thus moved from the S&P 500/Barra Growth Index to the S&P 500/Barra Value Index) rebounded. The fund's tech stocks returned 24.5%, contributing 1.3 percentage points to the Investor Shares' 13.5% return. Consumer discretionary stocks--the retailers, restaurants, and entertainment purveyors that can be expected to benefit in better economic times--also generated strong double-digit returns for each of the funds. No sector recorded a loss, but auto & transportation (+0.2%) was a notably weak performer for the Growth Index Fund, as was consumer staples (+0.8%). In the Value Index Fund, the weakest sectors were consumer staples (+3.7%) and "other" (+4.6%)--a grab bag of industrial- and service-oriented conglomerates such as General Electric. The Total Stock Market Index Fund's weakest groups were consumer staples (+5.1%) and materials & processing (+5.7%). 3 For the record, the returns of the Value and Total Stock Market Index Funds surpassed those of their peer group averages, while the returns of the Growth Index Fund fell short. Six-month comparisons reveal little about the benefits of indexing, but over time, the broad diversification, rock-bottom operating costs, and inherent tax efficiency of an indexing strategy have provided our funds with a substantial edge over their peer groups. Our cost advantage is especially noteworthy. The table above shows the annualized expense ratios of our funds and the most recent average expense ratios of their peer groups. - -------------------------------------------------------- EXPENSE RATIOS--INVESTOR SHARES AS OF JUNE 30, 2003 - -------------------------------------------------------- Growth Index Fund* 0.23% Average Large-Cap Growth Fund** 1.57 - -------------------------------------------------------- Value Index Fund* 0.23% Average Large-Cap Value Fund** 1.41 - -------------------------------------------------------- Total Stock Market Index Fund* 0.20% Average Multi-Cap Core Fund** 1.38 - -------------------------------------------------------- *Annualized expense ratio based on the six months ended June 30, 2003. **Derived from data provided by Lipper Inc. GOOD TIMES REINFORCE THE VALUE OF A PLAN The past six months delivered the first piece of sustained good news for stock fund investors in more than three years. Oddly enough, you would have benefited from this change of fortune by sticking to the same approach that provided some shelter during the market's long storm: holding a portfolio of stock, bond, and money market funds in proportions that reflect your unique goals, time horizon, risk tolerance, and financial circumstances. Vanguard's stock index funds can be an important component of such a sensibly diversified plan, offering broad exposure to the whole market, or to discrete sections, at exceptionally low cost. The time-tested principles of balance and diversification allow you to participate in periods of strong performance for any one asset class, while reducing your vulnerability in periods of weakness. Thank you for entrusting your assets to us. Sincerely, /S/JOHN J. BRENNAN John J. Brennan Chairman and Chief Executive Officer July 11, 2003 4 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-JUNE 30, 2003 DISTRIBUTIONS PER SHARE ------------------------ STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- Growth Index Fund Investor Shares $19.95 $21.94 $0.110 $0.000 Admiral Shares 19.95 21.94 0.118 0.000 Institutional Shares 19.95 21.94 0.123 0.000 - -------------------------------------------------------------------------------- Value Index Fund Investor Shares $14.65 $16.49 $0.130 $0.000 Admiral Shares 14.65 16.49 0.136 0.000 Institutional Shares 14.65 16.49 0.140 0.000 - -------------------------------------------------------------------------------- Total Stock Market Index Fund Investor Shares $20.07 $22.49 $0.140 $0.000 Admiral Shares 20.07 22.49 0.145 0.000 Institutional Shares 20.07 22.49 0.152 0.000 VIPER Shares 82.47 92.39 0.600 0.000 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND VIPER SHARES PREMIUM/DISCOUNT: DECEMBER 31, 2002-JUNE 30, 2003 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 60 48.39% 64 51.61% 25-49.9 0 0.00 0 0.00 50-74.9 0 0.00 0 0.00 75-100.0 0 0.00 0 0.00 >100.0 0 0.00 0 0.00 - -------------------------------------------------------------------------------- Total 60 48.39% 64 51.61% - -------------------------------------------------------------------------------- *One basis point equals 1/100th of 1%. 5 FUND PROFILES AS OF JUNE 30, 2003 These Profiles provide snapshots of the funds' characteristics, compared where indicated with the appropriate target index and a broad market index. Key terms are defined on page 10. GROWTH INDEX FUND - -------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------- Number of Stocks 409 409 5,403 Median Market Cap $54.2B $54.2B $27.7B Price/Earnings Ratio 29.8x 29.8x 21.8x Price/Book Ratio 4.2x 4.2x 2.7x Yield 0.7% 1.6% Investor Shares 0.5% Admiral Shares 0.6% Institutional Shares 0.6% Return on Equity 23.6% 23.6% 20.5% Earnings Growth Rate 11.7% 11.7% 8.6% Foreign Holdings 0.2% 0.2% 0.9% Turnover Rate 42%+ -- -- 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) Pfizer Inc. 5.9% (pharmaceuticals) Microsoft Corp. 5.1 (software) Wal-Mart Stores, Inc. 3.4 (retail) Johnson & Johnson 3.3 (pharmaceuticals) Intel Corp. 3.0 (electronics) Merck & Co., Inc. 3.0 (pharmaceuticals) American International Group, Inc. 2.7 (insurance) Cisco Systems, Inc. 2.6 (computer hardware) The Procter & Gamble Co. 2.4 (consumer products) International Business Machines Corp. 2.0 (computer hardware) - -------------------------------------------------------- Top Ten 33.4% - -------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ----------------------------------------------------------------- VOLATILITY MEASURES SPLICED BROAD FUND INDEX+ FUND INDEX** - ----------------------------------------------------------------- R-Squared 1.00 1.00 0.90 1.00 Beta 1.00 1.00 0.99 1.00 - ----------------------------------------------------------------- - --------------------------- INVESTMENT FOCUS MARKET CAP Large STYLE Growth - --------------------------- *MSCI US Prime Market Growth Index. **Wilshire 5000 Index. +Annualized; includes activity related to a change in the fund's target index. ++Annualized. +S&P 500/Barra Growth Index until May 16, 2003; MSCI US Prime Market Growth Index thereafter. 6 - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Auto & Transportation 1.7% 1.7% 2.6% Consumer Discretionary 19.5 19.5 15.7 Consumer Staples 8.1 8.1 6.9 Financial Services 10.9 10.9 22.3 Health Care 25.6 25.6 14.3 Integrated Oils 0.1 0.1 3.5 Other Energy 2.3 2.3 2.3 Materials & Processing 1.2 1.2 3.6 Producer Durables 3.2 3.2 4.0 Technology 23.0 23.0 13.5 Utilities 2.9 2.9 7.1 Other 1.5 1.5 4.2 - -------------------------------------------------------------------------------- *MSCI US Prime Market Growth Index. **Wilshire 5000 Index. 7 FUND PROFILES (CONTINUED) VALUE INDEX FUND - ------------------------------------------------------------------ PORTFOLIO CHARACTERISTICS TARGET BROAD FUND INDEX* INDEX** - ------------------------------------------------------------------ Number of Stocks 412 412 5,403 Median Market Cap $37.2B $37.2B $27.7B Price/Earnings Ratio 16.5x 16.5x 21.8x Price/Book Ratio 2.2x 2.2x 2.7x Yield 2.6% 1.6% Investor Shares 2.4% Admiral Shares 2.5% Institutional Shares 2.6% Return on Equity 20.1% 20.1% 20.5% Earnings Growth Rate 5.4% 5.4% 8.6% Foreign Holdings 0.0% 0.0% 0.9% Turnover Rate 46%+ -- -- 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) General Electric Co. 6.1% (conglomerate) ExxonMobil Corp. 5.2 (oil) Citigroup, Inc. 4.7 (banking) Bank of America Corp. 2.5 (banking) Verizon Communications 2.3 (telecommunications) Altria Group, Inc. 2.0 (tobacco) SBC Communications Inc. 1.8 (telecommunications) Wells Fargo & Co. 1.8 (banking) ChevronTexaco Corp. 1.7 (oil) AOL Time Warner Inc. 1.5 (media) - ---------------------------------------------------- Top Ten 29.6% - ---------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ------------------------------------------------------------------ VOLATILITY MEASURES SPLICED BROAD FUND INDEX+ FUND INDEX** - ------------------------------------------------------------------ R-Squared 1.00 1.00 0.88 1.00 Beta 1.00 1.00 0.94 1.00 - ------------------------------------------------------------------ - -------------------------- INVESTMENT FOCUS MARKET CAP Large STYLE Value - -------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET BROAD FUND INDEX* INDEX** - -------------------------------------------------------------------------------- Auto & Transportation 2.2% 2.2% 2.6% Consumer Discretionary 8.5 8.5 15.7 Consumer Staples 7.0 7.0 6.9 Financial Services 33.8 33.8 22.3 Health Care 5.1 5.1 14.3 Integrated Oils 8.3 8.3 3.5 Other Energy 1.6 1.6 2.3 Materials & Processing 4.9 4.9 3.6 Producer Durables 4.0 4.0 4.0 Technology 4.5 4.5 13.5 Utilities 12.1 12.1 7.1 Other 8.0 8.0 4.2 - -------------------------------------------------------------------------------- *MSCI US Prime Market Value Index. **Wilshire 5000 Index. +Annualized; includes activity related to a change in the fund's target index. ++Annualized. +S&P 500/Barra Value Index until May 16, 2003; MSCI US Prime Market Value Index thereafter. 8 TOTAL STOCK MARKET INDEX FUND - ---------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET FUND INDEX* - ---------------------------------------------------------- Number of Stocks 3,709 5,403 Median Market Cap $27.7B $27.7B Price/Earnings Ratio 21.8x 21.8x Price/Book Ratio 2.7x 2.7x Yield 1.6% Investor Shares 1.4% Admiral Shares 1.5% Institutional Shares 1.5% VIPER Shares 1.5% Return on Equity 20.5% 20.5% Earnings Growth Rate 8.6% 8.6% Foreign Holdings 1.0% 0.9% Turnover Rate 2%** -- Expense Ratio -- Investor Shares 0.20%** Admiral Shares 0.15%** Institutional Shares 0.08%** VIPER Shares 0.15%** Cash Investments 0.0% -- - ---------------------------------------------------------- - -------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 2.5% (conglomerate) Microsoft Corp. 2.4 (software) Pfizer Inc. 2.4 (pharmaceuticals) ExxonMobil Corp. 2.1 (oil) Wal-Mart Stores, Inc. 2.1 (retail) Citigroup, Inc. 1.9 (banking) Johnson & Johnson 1.4 (pharmaceuticals) American International Group, Inc. 1.3 (insurance) International Business Machines Corp. 1.3 (computer hardware) Intel Corp. 1.2 (electronics) - -------------------------------------------- Top Ten 18.6% - -------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ------------------------------------------- VOLATILITY MEASURES TARGET FUND INDEX* - ------------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - ------------------------------------------- - ---------------------------- INVESTMENT FOCUS Market Cap Large Style Blend - ---------------------------- - ---------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET FUND INDEX* - ---------------------------------------------------------- Auto & Transportation 2.6% 2.6% Consumer Discretionary 15.7 15.7 Consumer Staples 6.9 6.9 Financial Services 22.3 22.3 Health Care 14.3 14.3 Integrated Oils 3.5 3.5 Other Energy 2.3 2.3 Materials & Processing 3.6 3.6 Producer Durables 4.0 4.0 Technology 13.5 13.5 Utilities 7.1 7.1 Other 4.2 4.2 - ---------------------------------------------------------- VISIT OUR WEBSITE AT WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. *Wilshire 5000 Index. **Annualized. 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 typically 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 JUNE 30, 2003 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 - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-JUNE 30, 2003 FISCAL YEAR GROWTH INDEX SPLICED GROWTH FUND INVESTOR SHARES 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 2003* 10.6 10.6 - -------------------------------------------------------------------------------- *S&P 500/Barra Growth Index until May 16, 2003, MSCI US Prime Market Growth Index thereafter. **Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 28-30 for dividend and capital gains information. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003 TEN YEARS ONE FIVE ---------------------- INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL - -------------------------------------------------------------------------------- Growth Index Fund Investor Shares* 11/2/1992 1.70% -3.17% 8.85% 1.24% 10.09% Admiral Shares 11/13/2000 1.78 -13.65** -- -- -- Institutional Shares 5/14/1998 1.83 -3.07 -3.03** 0.86** -2.17** - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Returns since inception. 11 PERFORMANCE SUMMARIES (CONTINUED) VALUE INDEX FUND - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-JUNE 30, 2003 VALUE INDEX SPLICED VALUE FISCAL YEAR FUND INVESTOR SHARES INDEX* - -------------------------------------------------------------------------------- 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 2003* 13.5 13.5 - -------------------------------------------------------------------------------- *S&P 500/Barra Value Index until May 16, 2003, MSCI US Prime Market Value Index thereafter. **Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 31-33 for dividend and capital gains information. TOTAL STOCK MARKET INDEX FUND - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1992-JUNE 30, 2003 TOTAL STOCK MARKET WILSHIRE 5000 Fiscal Year INDEX FUND INVESTOR SHARES INDEX - -------------------------------------------------------------------------------- 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 2003* 12.8 12.9 - -------------------------------------------------------------------------------- *Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 34-37 for dividend and capital gains information. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003 TEN YEARS ONE FIVE ------------------------ INCEPTION DATE YEAR YEARS CAPITAL INCOME TOTAL - -------------------------------------------------------------------------------- VALUE INDEX FUND Investor Shares* 11/2/1992 -0.77% -0.68% 7.06% 2.35% 9.41% Admiral Shares 11/13/2000 -0.69 -7.39** -- -- -- Institutional Shares 7/2/1998 -0.64 -0.89** -- -- -- - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND Investor Shares* 4/27/1992 1.14% -1.25% 7.73% 1.68% 9.41% Admiral Shares 11/13/2000 1.19 -9.27** -- -- -- Institutional Shares 7/7/1997 1.25 -1.14 1.45** 1.40** 2.85** - -------------------------------------------------------------------------------- VIPER Shares Market Price 5/24/2001 0.58 -9.89** -- -- -- Net Asset Value 5/24/2001 1.17 -9.84** -- -- -- - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Returns since inception. 12 FINANCIAL STATEMENTS JUNE 30, 2003 (UNAUDITED) The Statement of Net Assets--an integral part of the Financial Statements for Vanguard Total Stock Market Index Fund--is included as an insert to this report. The Growth Index and Value Index Funds' Statements of Net Assets are provided below. STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, 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 (100.0%) - -------------------------------------------------------------------------------- Pfizer Inc. 14,324,480 $ 489,181 Microsoft Corp. 16,343,955 418,569 Wal-Mart Stores, Inc. 5,155,074 276,673 Johnson & Johnson 5,336,370 275,890 Intel Corp. 11,758,162 244,382 Merck & Co., Inc. 4,034,741 244,304 American International Group, Inc. 3,984,034 219,839 * Cisco Systems, Inc. 12,778,538 213,274 The Procter & Gamble Co. 2,206,914 196,813 International Business Machines Corp. 2,016,099 166,328 * Amgen, Inc. 2,321,961 154,271 Home Depot, Inc. 4,178,846 138,403 * Dell Computer Corp. 4,170,785 133,298 Eli Lilly & Co. 1,816,596 125,291 * Viacom Inc. Class B 2,773,848 121,106 Medtronic, Inc. 2,191,161 105,110 The Coca-Cola Co. 2,004,449 93,026 PepsiCo, Inc. 2,007,163 89,319 American Express Co. 2,109,691 88,206 3M Co. 665,610 85,850 * Oracle Corp. 7,100,607 85,349 Anheuser-Busch Cos., Inc. 1,537,859 78,508 * Comcast Corp. Special Class A 2,114,316 60,956 Target Corp. 1,552,981 58,765 Abbott Laboratories 1,334,255 58,387 Lowe's Cos., Inc. 1,333,018 57,253 United Parcel Service, Inc. 897,550 57,174 * Comcast Corp. Class A 1,894,422 57,174 Colgate-Palmolive Co. 967,061 56,041 First Data Corp. 1,345,290 55,749 Walgreen Co. 1,841,499 55,429 UnitedHealth Group Inc. 1,094,056 54,976 Texas Instruments, Inc. 3,109,100 54,720 Cardinal Health, Inc. 812,420 52,239 QUALCOMM Inc. 1,417,453 50,674 Fifth Third Bancorp 877,136 50,295 Schlumberger Ltd. 1,046,010 49,759 * Applied Materials, Inc. 2,974,038 47,168 Fannie Mae 621,895 41,941 * EMC Corp. 3,927,539 41,121 * Clear Channel Communications, Inc. 937,451 39,739 Gillette Co. 1,158,527 36,911 Automatic Data Processing, Inc. 1,077,343 36,479 * Forest Laboratories, Inc. 652,168 35,706 Sysco Corp. 1,174,519 35,283 * eBay Inc. 332,758 34,667 13 - -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * AT&T Wireless Services Inc. 4,139,075 $ 33,982 * Boston Scientific Corp. 549,586 33,580 Illinois Tool Works, Inc. 497,069 32,732 * Liberty Media Corp. 2,815,385 32,546 SLM Corp. 822,442 32,215 * Costco Wholesale Corp. 819,308 29,987 * Genentech, Inc. 414,400 29,887 * Berkshire Hathaway Inc. Class B 12,053 29,289 The Boeing Co. 841,200 28,870 AFLAC Inc. 924,121 28,417 * Kohl's Corp. 545,495 28,028 * Yahoo! Inc. 849,746 27,838 Progressive Corp. of Ohio 372,630 27,239 * NEXTEL Communications, Inc. 1,500,373 27,127 * InterActiveCorp 679,820 26,900 * Sun Microsystems, Inc. 5,742,800 26,417 Avon Products, Inc. 422,772 26,296 Guidant Corp. 551,569 24,484 Omnicom Group Inc. 338,041 24,238 Newmont Mining Corp. (Holding Company) 722,098 23,439 State Street Corp. 584,535 23,031 * Analog Devices, Inc. 654,750 22,798 * WellPoint Health Networks Inc. Class A 267,408 22,542 Freddie Mac 432,500 21,958 Harley-Davidson, Inc. 544,019 21,685 Southwest Airlines Co. 1,256,508 21,612 * Best Buy Co., Inc. 491,627 21,592 The McGraw-Hill Cos., Inc. 344,619 21,366 * Veritas Software Corp. 739,900 21,213 The Gap, Inc. 1,112,143 20,864 FedEx Corp. 331,300 20,551 * Bed Bath & Beyond, Inc. 528,603 20,515 Baker Hughes, Inc. 605,569 20,329 Maxim Integrated Products, Inc. 580,872 19,860 * Gilead Sciences, Inc. 356,899 19,836 * Anthem, Inc. 249,003 19,211 * Electronic Arts Inc. 257,296 19,037 * St. Jude Medical, Inc. 319,180 18,353 Charles Schwab Corp. 1,811,408 18,277 Linear Technology Corp. 562,420 18,116 Allergan, Inc. 233,234 17,982 Paychex, Inc. 608,753 17,843 * Amazon.com, Inc. 488,500 17,825 TJX Cos., Inc. 944,330 17,791 HCA Inc. 544,781 17,455 * Starbucks Corp. 696,751 17,084 * Corning, Inc. 2,244,526 16,587 * MedImmune Inc. 452,102 16,443 * Lexmark International, Inc. 228,069 16,140 * Genzyme Corp.-General Division 385,700 16,122 * Cendant Corp. 879,600 16,114 Stryker Corp. 231,774 16,078 * Staples, Inc. 875,158 16,059 * KLA-Tencor Corp. 341,951 15,897 * Zimmer Holdings, Inc. 351,885 15,852 * Intuit, Inc. 351,337 15,645 * International Game Technology 152,753 15,631 * Yum! Brands, Inc. 527,348 15,588 * General Motors Corp. Class H 1,205,600 15,444 * Xilinx, Inc. 606,550 15,352 * EchoStar Communications Corp. Class A 436,200 15,101 * Lucent Technologies, Inc. 7,436,249 15,096 MBNA Corp. 723,500 15,078 * Xerox Corp. 1,407,290 14,903 Mattel, Inc. 785,426 14,860 Wm. Wrigley Jr. Co. 264,123 14,852 Danaher Corp. 205,700 13,998 AmerisourceBergen Corp. 198,115 13,739 * Apollo Group, Inc. Class A 219,351 13,547 * Concord EFS, Inc. 914,447 13,461 Adobe Systems, Inc. 415,596 13,328 H & R Block, Inc. 305,850 13,228 * SunGard Data Systems, Inc. 509,010 13,188 Capital One Financial Corp. 264,500 13,008 Burlington Resources, Inc. 235,700 12,744 Biomet, Inc. 442,199 12,673 * Qwest Communications International Inc. 2,590,271 12,381 New York Times Co. Class A 272,043 12,378 * Fiserv, Inc. 345,208 12,293 Moody's Corp. 230,916 12,172 * Caremark Rx, Inc. 471,151 12,099 Computer Associates International, Inc. 537,200 11,969 * Cox Communications, Inc. Class A 372,800 11,892 * Symantec Corp. 265,526 11,646 * Computer Sciences Corp. 302,883 11,546 McKesson Corp. 322,600 11,530 Mylan Laboratories, Inc. 329,999 11,474 * Micron Technology, Inc. 983,000 11,432 * Altera Corp. 686,934 11,266 Family Dollar Stores, Inc. 278,267 10,616 * BJ Services Co. 283,653 10,597 * Affiliated Computer Services, Inc. Class A 226,399 10,353 * Nabors Industries, Inc. 259,878 10,278 * Biogen, Inc. 268,915 10,219 * AutoZone Inc. 131,388 9,982 * Weatherford International Ltd. 235,699 9,876 * Novellus Systems, Inc. 268,900 9,847 ITT Industries, Inc. 148,321 9,709 14 - -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Flextronics International Ltd. 931,924 $ 9,683 * Agilent Technologies, Inc. 495,000 9,677 * IDEC Pharmaceuticals Corp. 275,099 9,353 Dollar General Corp. 508,649 9,288 * Broadcom Corp. 366,100 9,120 * Fox Entertainment Group, Inc. Class A 316,400 9,106 * Quest Diagnostics, Inc. 141,620 9,035 Waste Management, Inc. 373,900 9,007 Microchip Technology, Inc. 365,299 8,997 Kinder Morgan, Inc. 164,450 8,987 Ecolab, Inc. 350,434 8,971 * PeopleSoft, Inc. 505,700 8,895 * Network Appliance, Inc. 548,325 8,888 * Chiron Corp. 201,670 8,817 Synovus Financial Corp. 406,817 8,747 Tiffany & Co. 260,631 8,517 * Univision Communications Inc. 273,210 8,306 * Noble Corp. 240,199 8,239 Hilton Hotels Corp. 641,801 8,209 * QLogic Corp. 168,424 8,140 * American Standard Cos., Inc. 110,015 8,133 Cintas Corp. 229,239 8,124 The Clorox Co. 190,207 8,112 * Coach, Inc. 161,699 8,043 * JDS Uniphase Corp. 2,287,200 8,028 * Laboratory Corp. of America Holdings 265,389 8,001 RadioShack Corp. 302,374 7,955 Rockwell Collins, Inc. 322,948 7,954 * Harrah's Entertainment, Inc. 197,514 7,948 * Siebel Systems, Inc. 831,810 7,935 IMS Health, Inc. 439,505 7,907 Health Management Associates Class A 428,489 7,906 * Accenture Ltd. 435,000 7,869 Murphy Oil Corp. 148,299 7,801 EOG Resources, Inc. 185,728 7,771 * Dean Foods Co. 246,298 7,758 * Express Scripts Inc. 112,049 7,655 * L-3 Communications Holdings, Inc. 171,499 7,458 * Sprint PCS 1,282,774 7,376 * Watson Pharmaceuticals, Inc. 182,400 7,363 * Health Net Inc. 222,299 7,325 * BEA Systems, Inc. 663,300 7,203 Legg Mason Inc. 110,699 7,190 Applera Corp.- Applied Biosystems Group 376,838 7,171 * Varian Medical Systems, Inc. 122,599 7,058 Anadarko Petroleum Corp. 156,400 6,955 ENSCO International, Inc. 254,299 6,841 * Sealed Air Corp. 143,468 6,838 Liz Claiborne, Inc. 192,179 6,774 * Waters Corp. 232,315 6,767 Estee Lauder Cos. Class A 200,060 6,708 * Cablevision Systems NY Group Class A 323,100 6,708 * Smith International, Inc. 182,299 6,698 * Juniper Networks, Inc. 540,500 6,686 Equifax, Inc. 255,383 6,640 Sigma-Aldrich Corp. 122,544 6,639 The Pepsi Bottling Group, Inc. 327,307 6,553 Tribune Co. 135,500 6,545 * Citizens Communications Co. 506,736 6,532 Expeditors International of Washington, Inc. 187,099 6,481 * National Semiconductor Corp. 326,152 6,432 E.W. Scripps Co. Class A 71,750 6,366 * Oxford Health Plans, Inc. 150,599 6,330 * Jabil Circuit, Inc. 284,668 6,291 * Brinker International, Inc. 174,399 6,282 * Citrix Systems, Inc. 307,063 6,252 XTO Energy, Inc. 309,399 6,222 * Barr Laboratories, Inc. 94,699 6,203 * Dollar Tree Stores, Inc. 195,099 6,191 * Thermo Electron Corp. 294,214 6,184 McCormick & Co., Inc. 223,909 6,090 * Lincare Holdings, Inc. 189,799 5,981 Ross Stores, Inc. 139,499 5,962 * Mercury Interactive Corp. 153,030 5,908 * NVIDIA Corp. 255,350 5,876 * Sanmina-SCI Corp. 916,745 5,785 * Teradyne, Inc. 329,558 5,705 * Career Education Corp. 83,199 5,692 * Pactiv Corp. 285,128 5,620 * Robert Half International, Inc. 296,208 5,610 * VeriSign, Inc. 405,155 5,603 * CarMax, Inc. 185,599 5,596 Janus Capital Group Inc. 340,402 5,583 * Solectron Corp. 1,486,605 5,560 Darden Restaurants Inc. 291,578 5,534 * WebMD Corp. 508,433 5,506 * The Dun & Bradstreet Corp. 133,799 5,499 * Smurfit-Stone Container Corp. 417,788 5,444 Freeport-McMoRan Copper & Gold, Inc. Class B 221,631 5,430 Franklin Resources Corp. 138,600 5,415 Symbol Technologies, Inc. 415,483 5,405 * ChoicePoint Inc. 154,499 5,333 * Mohawk Industries, Inc. 95,599 5,309 * AdvancePCS 138,599 5,299 * Pioneer Natural Resources Co. 200,599 5,236 * Williams-Sonoma, Inc. 177,899 5,195 15 - -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- DENTSPLY International Inc. 126,597 $ 5,178 * Agere Systems Inc. Class A 2,221,300 5,176 * CDW Corp. 112,999 5,175 Manpower Inc. 138,999 5,155 * Westwood One, Inc. 151,799 5,151 * Expedia Inc. 67,400 5,148 * Lamar Advertising Co. Class A 145,440 5,121 * Comverse Technology, Inc. 337,035 5,066 * First Health Group Corp. 182,600 5,040 * SanDisk Corp. 124,099 5,007 * Convergys Corp. 312,473 5,000 * Whole Foods Market, Inc. 104,999 4,991 Deluxe Corp. 111,068 4,976 * Abercrombie & Fitch Co. 175,099 4,975 * Cooper Cameron Corp. 98,099 4,942 * DST Systems, Inc. 129,099 4,906 Doral Financial Corp. 109,625 4,895 * Marvell Technology Group Ltd. 140,500 4,829 * UTStarcom, Inc. 134,900 4,798 * MGM Mirage, Inc. 139,050 4,753 TCF Financial Corp. 119,199 4,749 * LSI Logic Corp. 669,479 4,740 * IVAX Corp. 262,799 4,691 * Tellabs, Inc. 704,530 4,629 * Michaels Stores, Inc. 121,499 4,624 * Constellation Brands, Inc. Class A 147,099 4,619 Washington Post Co. Class B 6,299 4,617 Lennar Corp. Class A 64,499 4,612 C.H. Robinson Worldwide, Inc. 129,452 4,603 Fair, Isaac, Inc. 89,199 4,589 SEI Corp. 143,199 4,582 Equitable Resources, Inc. 112,099 4,567 Commerce Bancorp, Inc. 122,099 4,530 * Iron Mountain, Inc. 122,109 4,529 Outback Steakhouse 115,899 4,520 Beckman Coulter, Inc. 110,299 4,483 * NVR, Inc. 10,900 4,480 * BMC Software, Inc. 272,974 4,458 Ball Corp. 97,495 4,437 * Patterson-UTI Energy, Inc. 136,899 4,436 * Celgene Corp. 144,200 4,384 Harman International Industries, Inc. 55,200 4,369 Arthur J. Gallagher & Co. 159,299 4,333 * Level 3 Communications, Inc. 646,857 4,295 Scientific-Atlanta, Inc. 179,004 4,267 Avery Dennison Corp. 84,011 4,217 Federated Investors, Inc. 153,418 4,207 White Mountains Insurance Group Inc. 10,609 4,191 * PETsMART, Inc. 250,486 4,176 Hershey Foods Corp. 59,910 4,173 * Patterson Dental Co. 91,799 4,166 * Synopsys, Inc. 67,299 4,162 * LAM Research Corp. 226,799 4,130 * Cephalon, Inc. 99,400 4,091 * Markel Corp. 15,906 4,072 Pogo Producing Co. 93,599 4,001 * Gentex Corp. 130,299 3,988 Molex, Inc. 147,172 3,972 * Jones Apparel Group, Inc. 135,606 3,968 * BISYS Group, Inc. 215,599 3,961 Fastenal Co. 116,199 3,944 * Henry Schein, Inc. 75,299 3,941 Omnicare, Inc. 116,299 3,930 * Millipore Corp. 87,447 3,880 * Pride International, Inc. 205,799 3,873 * Intersil Corp. 143,599 3,821 * Rowan Cos., Inc. 168,284 3,770 * Universal Health Services Class B 94,599 3,748 * Jacobs Engineering Group Inc. 88,799 3,743 T. Rowe Price Group Inc. 99,028 3,738 * Millennium Pharmaceuticals, Inc. 236,899 3,726 Noble Energy, Inc. 98,199 3,712 * Zebra Technologies Corp. Class A 49,226 3,701 Valspar Corp. 86,099 3,635 * Corinthian Colleges, Inc. 74,598 3,623 * Unisys Corp. 294,961 3,622 * Alliant Techsystems, Inc. 69,209 3,593 * Network Associates, Inc. 281,799 3,573 * CheckFree Corp. 127,999 3,564 * Rent-A-Center, Inc. 46,780 3,546 Knight Ridder 51,413 3,544 * Garmin Ltd. 87,260 3,479 * Weight Watchers International, Inc. 76,400 3,475 Reynolds & Reynolds Class A 121,399 3,467 * Apogent Technologies Inc. 173,199 3,464 Alberto-Culver Co. Class B 67,528 3,451 Pier 1 Imports Inc. 167,199 3,411 * Entercom Communications Corp. 69,299 3,396 Investors Financial Services Corp. 116,899 3,391 Brown & Brown, Inc. 104,299 3,390 * Tektronix, Inc. 156,666 3,384 * Emulex Corp. 147,900 3,368 Dial Corp. 171,699 3,340 * Krispy Kreme Doughnuts, Inc. 80,999 3,336 C.R. Bard, Inc. 46,482 3,315 W.W. Grainger, Inc. 70,027 3,274 * Allied Waste Industries, Inc. 320,371 3,220 * SICOR, Inc. 158,199 3,218 Mandalay Resort Group 100,999 3,217 New York Community Bancorp, Inc. 110,565 3,216 * National-Oilwell, Inc. 144,199 3,172 16 - -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Eaton Vance Corp. 99,499 $ 3,144 * Hispanic Broadcasting Corp. 123,099 3,133 * The Cheesecake Factory 85,799 3,079 Black & Decker Corp. 70,854 3,079 * Chico's FAS, Inc. 145,099 3,054 * King Pharmaceuticals, Inc. 205,979 3,040 Centex Corp. 38,919 3,028 Meredith Corp. 67,956 2,990 * Cadence Design Systems, Inc. 242,299 2,922 * Energizer Holdings, Inc. 92,199 2,895 Neuberger Berman Inc. 69,299 2,766 * Advance Auto Parts, Inc. 45,040 2,743 Seagate Technology 153,600 2,711 * 99 Cents Only Stores 75,799 2,601 * CIENA Corp. 495,310 2,571 Pall Corp. 110,909 2,495 * Storage Technology Corp. 96,899 2,494 Molex, Inc. Class A 105,400 2,443 * National Instruments Corp. 64,499 2,437 Leucadia National Corp. 64,799 2,405 The St. Joe Co. 76,034 2,372 * American Power Conversion Corp. 150,134 2,341 * Ameritrade Holding Corp. 310,300 2,299 * Fairchild Semiconductor International, Inc. 178,899 2,288 * Pixar, Inc. 37,100 2,257 D. R. Horton, Inc. 78,599 2,209 * SPX Corp. 49,999 2,203 * ADC Telecommunications, Inc. 939,284 2,187 Harte-Hanks, Inc. 113,699 2,160 * Cree, Inc. 131,780 2,145 * Packaging Corp. of America 112,999 2,083 * Aramark Corp. Class B 92,500 2,074 * Advanced Micro Devices, Inc. 311,506 1,997 * Amphenol Corp. 42,273 1,979 * Host Marriott Corp. REIT 215,789 1,974 International Speedway Corp. 49,399 1,952 Dow Jones & Co., Inc. 44,080 1,897 * Community Health Systems, Inc. 97,999 1,890 * RF Micro Devices, Inc. 313,599 1,888 * Scholastic Corp. 60,799 1,811 RenaissanceRe Holdings Ltd. 39,657 1,805 Polo Ralph Lauren Corp. 69,045 1,781 * Agere Systems Inc. Class B 748,600 1,722 Fluor Corp. 50,741 1,707 * Cox Radio, Inc. 71,301 1,648 International Flavors & Fragrances, Inc. 50,665 1,618 KB HOME 25,772 1,597 * Ceridian Corp. 93,699 1,590 Total System Services, Inc. 71,000 1,583 * Radio One, Inc. Class D 82,000 1,457 * BlackRock, Inc. 31,515 1,419 Talbots Inc. 46,700 1,375 * ICOS Corp. 37,201 1,367 Brown-Forman Corp. Class B 17,288 1,359 * Montpelier Re Holdings Ltd. 42,550 1,345 * Columbia Sportswear Co. 24,900 1,280 * Metro-Goldwyn-Mayer Inc. 102,445 1,272 AVX Corp. 109,867 1,207 * 3Com Corp. 228,299 1,068 The McClatchy Co. Class A 17,593 1,014 * Radio One, Inc. 51,100 913 Student Loan Corp. 7,233 911 Alberto-Culver Co. Class A 17,562 874 Nuveen Investments, Inc. Class A 30,406 828 * Hewitt Associates, Inc. 34,600 815 * BOK Financial Corp. 20,889 806 Regal Entertainment Group Class A 30,208 712 * WellChoice Inc. 13,200 386 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $7,334,263) $ 8,238,070 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.1%) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK 1.17%, 7/16/2003 $ 1,500 1,499 FEDERAL NATIONAL MORTGAGE ASSN. 1.15%, 7/23/2003 3,500 3,498 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003--Note E 2,239 2,239 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $7,236) 7,236 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.1%) (Cost $7,341,499) 8,245,306 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.1%) - -------------------------------------------------------------------------------- Other Assets--Note B 19,453 Liabilities--Note E (26,536) ---------------- $ (7,083) ---------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 8,238,223 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. REIT--Real Estate Investment Trust. 17 - -------------------------------------------------------------------------------- AMOUNT GROWTH INDEX FUND (000) - -------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 10,954,023 Overdistributed Net Investment Income (11,312) Accumulated Net Realized Losses (3,608,295) Unrealized Appreciation 903,807 - -------------------------------------------------------------------------------- NET ASSETS $ 8,238,223 ================================================================================ Investor Shares--Net Assets Applicable to 305,169,120 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 6,694,421 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 21.94 ================================================================================ Admiral Shares--Net Assets Applicable to 40,792,045 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 894,900 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 21.94 ================================================================================ Institutional Shares--Net Assets Applicable to 29,577,368 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 648,902 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 21.94 ================================================================================ 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 (99.9%)(1) - -------------------------------------------------------------------------------- General Electric Co. 7,405,800 $ 212,398 ExxonMobil Corp. 4,998,989 179,514 Citigroup, Inc. 3,812,538 163,177 Bank of America Corp. 1,116,131 88,208 Verizon Communications 2,039,900 80,474 Altria Group, Inc. 1,510,700 68,646 SBC Communications Inc. 2,466,623 63,022 Wells Fargo & Co. 1,247,319 62,865 ChevronTexaco Corp. 793,607 57,298 * AOL Time Warner Inc. 3,193,771 51,388 J.P. Morgan Chase & Co. 1,484,788 50,750 Hewlett-Packard Co. 2,154,318 45,887 Wyeth 984,900 44,862 Wachovia Corp. 999,482 39,939 Bristol-Myers Squibb Co. 1,439,000 39,069 The Coca-Cola Co. 828,800 38,465 International Business Machines Corp. 448,800 37,026 BellSouth Corp. 1,382,561 36,818 U.S. Bancorp 1,424,140 34,891 Fannie Mae 477,500 32,203 Bank One Corp. 861,817 32,042 Morgan Stanley 728,771 31,155 E.I. du Pont de Nemours & Co. 738,949 30,770 The Walt Disney Co. 1,517,303 29,967 Washington Mutual, Inc. 697,847 28,821 Merrill Lynch & Co., Inc. 610,064 28,478 Tyco International Ltd. 1,482,892 28,145 ConocoPhillips 477,446 26,164 United Technologies Corp. 349,461 24,752 Abbott Laboratories 551,700 24,142 FleetBoston Financial Corp. 780,012 23,174 Dow Chemical Co. 679,414 21,035 McDonald's Corp. 942,537 20,792 Marsh & McLennan Cos., Inc. 398,900 20,372 Schering-Plough Corp. 1,091,000 20,293 PepsiCo, Inc. 446,800 19,883 Kimberly-Clark Corp. 379,400 19,782 Allstate Corp. 496,062 17,685 The Goldman Sachs Group, Inc. 210,274 17,610 Freddie Mac 331,927 16,852 Southern Co. 533,390 16,620 The Bank of New York Co., Inc. 569,203 16,365 Honeywell International Inc. 603,806 16,212 Motorola, Inc. 1,709,385 16,120 Alcoa Inc. 627,673 16,006 Metropolitan Life Insurance Co. 564,697 15,992 Emerson Electric Co. 312,700 15,979 Dominion Resources, Inc. 238,303 15,316 Gannett Co., Inc. 199,218 15,302 National City Corp. 454,234 14,858 Ford Motor Co. 1,307,724 14,372 Exelon Corp. 240,123 14,362 Caterpillar, Inc. 255,766 14,236 Prudential Financial, Inc. 420,507 14,150 Lockheed Martin Corp. 287,742 13,688 Duke Energy Corp. 662,373 13,214 BB&T Corp. 359,751 12,339 International Paper Co. 337,870 12,072 General Motors Corp. 333,102 11,992 MBNA Corp. 555,289 11,572 Baxter International, Inc. 443,500 11,531 AT&T Corp. 581,733 11,198 SunTrust Banks, Inc. 188,707 11,198 ALLTEL Corp. 219,494 10,584 Northrop Grumman Corp. 122,390 10,561 The Hartford Financial Services Group Inc. 207,855 10,468 Sara Lee Corp. 552,400 10,391 Union Pacific Corp. 179,085 10,391 General Mills, Inc. 219,100 10,388 PNC Financial Services Group 210,300 10,265 Raytheon Co. 301,501 9,901 Carnival Corp. 303,433 9,865 Sprint Corp. 665,996 9,590 Lehman Brothers Holdings, Inc. 144,044 9,576 Occidental Petroleum Corp. 280,767 9,420 ConAgra Foods, Inc. 398,924 9,415 General Dynamics Corp. 126,875 9,198 * The Kroger Co. 538,596 8,984 Mellon Financial Corp. 320,600 8,897 Weyerhaeuser Co. 164,325 8,874 Entergy Corp. 166,220 8,773 Masco Corp. 362,654 8,649 American Electric Power Co., Inc. 288,806 8,615 FPL Group, Inc. 128,798 8,610 H.J. Heinz Co. 261,000 8,608 FirstEnergy Corp. 221,078 8,500 XL Capital Ltd. Class A 101,001 8,383 Travelers Property Casualty Corp. Class B 528,340 8,332 The Chubb Corp. 137,581 8,255 Equity Office Properties Trust REIT 305,418 8,249 Gillette Co. 257,900 8,217 Devon Energy Corp. 153,858 8,216 CVS Corp. 292,372 8,195 Deere & Co. 177,729 8,122 Burlington Northern Santa Fe Corp. 277,635 7,896 Golden West Financial Corp. 96,856 7,749 Apache Corp. 118,749 7,726 Electronic Data Systems Corp. 354,403 7,602 19 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- KeyCorp 299,206 $ 7,561 Sears, Roebuck & Co. 223,519 7,519 Halliburton Co. 324,186 7,456 Progress Energy, Inc. 167,954 7,373 Becton, Dickinson & Co. 189,163 7,349 Kraft Foods Inc. 225,600 7,343 Praxair, Inc. 120,800 7,260 * Liberty Media Corp. 626,516 7,243 Consolidated Edison Inc. 165,792 7,175 Air Products & Chemicals, Inc. 168,708 7,018 SouthTrust Corp. 256,646 6,981 Public Service Enterprise Group, Inc. 165,139 6,977 Waste Management, Inc. 287,212 6,919 Aetna Inc. 111,648 6,721 * Safeway, Inc. 327,686 6,704 Pitney Bowes, Inc. 174,200 6,691 Ace, Ltd. 195,128 6,691 Countrywide Financial Corp. 95,752 6,661 * Cendant Corp. 363,419 6,658 NIKE, Inc. Class B 123,779 6,621 John Hancock Financial Services, Inc. 213,819 6,571 The Principal Financial Group, Inc. 202,223 6,522 The Boeing Co. 187,133 6,422 PPG Industries, Inc. 126,210 6,404 * PG&E Corp. 302,762 6,403 Kellogg Co. 183,100 6,293 St. Paul Cos., Inc. 168,456 6,150 Marathon Oil Corp. 230,127 6,064 Comerica, Inc. 129,726 6,032 Ingersoll-Rand Co. 125,916 5,958 Eastman Kodak Co. 212,298 5,806 AmSouth Bancorp 262,565 5,734 Newell Rubbermaid, Inc. 203,900 5,709 Fortune Brands, Inc. 108,894 5,684 Marriott International, Inc. Class A 147,581 5,670 Johnson Controls, Inc. 66,159 5,663 PPL Corp. 129,939 5,587 Norfolk Southern Corp. 288,896 5,547 PACCAR, Inc. 82,036 5,542 Unocal Corp. 191,571 5,496 Northern Trust Corp. 131,302 5,487 Anadarko Petroleum Corp. 120,334 5,351 Regions Financial Corp. 156,147 5,275 Ameren Corp. 119,516 5,271 MBIA, Inc. 107,935 5,262 Archer-Daniels-Midland Co. 407,540 5,245 Equity Residential REIT 201,785 5,236 Ambac Financial Group, Inc. 78,652 5,211 Charter One Financial, Inc. 167,074 5,209 * Transocean Inc. 237,047 5,208 Federated Department Stores, Inc. 141,266 5,206 Albertson's, Inc. 267,420 5,135 * Apple Computer, Inc. 267,652 5,118 Limited Brands, Inc. 330,159 5,117 TXU Corp. 227,207 5,101 Bear Stearns Co., Inc. 70,126 5,079 Tribune Co. 104,036 5,025 CIGNA Corp. 103,820 4,873 DTE Energy Co. 124,572 4,813 CSX Corp. 159,720 4,806 Simon Property Group, Inc. REIT 122,323 4,774 Aon Corp. 195,550 4,709 Lincoln National Corp. 131,914 4,700 FedEx Corp. 73,839 4,580 Union Planters Corp. 147,528 4,578 Cinergy Corp. 124,053 4,564 Loews Corp. 96,385 4,558 May Department Stores Co. 203,356 4,527 Dover Corp. 150,599 4,512 M & T Bank Corp. 52,999 4,464 Xcel Energy, Inc. 296,137 4,454 Jefferson-Pilot Corp. 106,252 4,405 Marshall & Ilsley Corp. 142,935 4,371 UST, Inc. 124,647 4,366 Starwood Hotels & Resorts Worldwide, Inc. 148,648 4,250 Monsanto Co. 194,385 4,207 Constellation Energy Group, Inc. 122,365 4,197 Genuine Parts Co. 129,634 4,150 Eaton Corp. 52,521 4,129 KeySpan Corp. 116,049 4,114 Campbell Soup Co. 167,800 4,111 * Tenet Healthcare Corp. 352,331 4,105 North Fork Bancorp, Inc. 120,099 4,091 Sempra Energy 137,865 3,933 First Tennessee National Corp. 88,595 3,890 HCA Inc. 121,100 3,880 CIT Group Inc. 156,990 3,870 Interpublic Group of Cos., Inc. 286,388 3,832 Cincinnati Financial Corp. 101,882 3,779 Parker Hannifin Corp. 87,794 3,686 MeadWestvaco Corp. 148,775 3,675 ProLogis REIT 132,444 3,616 El Paso Corp. 444,757 3,594 * Edison International 217,759 3,578 Textron, Inc. 90,981 3,550 Plum Creek Timber Co. Inc. REIT 136,630 3,546 NiSource, Inc. 184,843 3,512 CenturyTel, Inc. 100,708 3,510 MGIC Investment Corp. 74,560 3,477 SAFECO Corp. 97,719 3,448 GlobalSantaFe Corp. 147,136 3,434 20 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- J.C. Penney Co., Inc. (Holding Co.) 199,311 $ 3,358 Kerr-McGee Corp. 74,481 3,337 Coca-Cola Enterprises, Inc. 183,536 3,331 * Office Depot, Inc. 229,173 3,325 Rohm & Haas Co. 106,714 3,311 Torchmark Corp. 87,947 3,276 Popular, Inc. 83,735 3,231 Archstone-Smith Trust REIT 134,592 3,230 Whirlpool Corp. 50,686 3,229 Delphi Corp. 373,144 3,220 National Commerce Financial Corp. 145,099 3,220 Huntington Bancshares Inc. 164,300 3,207 Hershey Foods Corp. 45,900 3,197 Georgia Pacific Group 167,571 3,175 Everest Re Group, Ltd. 41,399 3,167 Compass Bancshares Inc. 89,099 3,112 Banknorth Group, Inc. 121,699 3,106 Valero Energy Corp. 84,599 3,074 Zions Bancorp 60,706 3,072 Williams Cos., Inc. 384,766 3,040 Sovereign Bancorp, Inc. 193,999 3,036 Boston Properties, Inc. REIT 67,602 2,961 Rockwell Automation, Inc. 124,099 2,959 Green Point Financial Corp. 57,999 2,954 Amerada Hess Corp. 59,734 2,938 Old Republic International Corp. 84,999 2,913 Capital One Financial Corp. 58,774 2,891 Cooper Industries, Inc. Class A 69,199 2,858 Nucor Corp. 58,173 2,842 Burlington Resources, Inc. 52,416 2,834 SCANA Corp. 82,399 2,825 Vornado Realty Trust REIT 64,547 2,814 Leggett & Platt, Inc. 136,477 2,798 Vulcan Materials Co. 75,376 2,794 Duke Realty Corp. REIT 100,307 2,763 General Growth Properties Inc. REIT 44,252 2,763 * Republic Services, Inc. Class A 121,599 2,757 UnumProvident Corp. 202,866 2,720 Knight Ridder 39,388 2,715 Fidelity National Financial, Inc. 86,673 2,666 Computer Associates International, Inc. 119,439 2,661 Sabre Holdings Corp. 105,979 2,612 * AES Corp. 409,569 2,601 McKesson Corp. 71,886 2,569 Kimco Realty Corp. REIT 67,659 2,564 Radian Group, Inc. 69,399 2,543 * Phelps Dodge Corp. 65,979 2,530 Pinnacle West Capital Corp. 67,097 2,513 Wisconsin Energy Corp. 86,199 2,500 Sherwin-Williams Co. 92,380 2,483 Rouse Co. REIT 64,647 2,463 Pepco Holdings, Inc. 126,699 2,428 Apartment Investment & Management Co. Class A REIT 69,625 2,409 ServiceMaster Co. 224,501 2,402 Pulte Homes, Inc. 38,581 2,379 Engelhard Corp. 95,195 2,358 R.J. Reynolds Tobacco Holdings, Inc. 62,990 2,344 Wendy's International, Inc. 80,655 2,337 Diebold, Inc. 53,599 2,318 Centex Corp. 29,765 2,315 Travelers Property Casualty Corp. Class A 144,300 2,294 iStar Financial Inc. REIT 62,580 2,284 * Lear Corp. 48,799 2,246 Franklin Resources Corp. 57,319 2,239 Energy East Corp. 107,599 2,234 First Virginia Banks, Inc. 51,499 2,221 * AutoNation, Inc. 140,022 2,201 VF Corp. 64,771 2,200 Avalonbay Communities, Inc. REIT 50,545 2,155 * Agilent Technologies, Inc. 110,210 2,155 * E*TRADE Group, Inc. 252,599 2,147 SuperValu Inc. 99,207 2,115 R.R. Donnelley & Sons Co. 80,013 2,092 Public Storage, Inc. REIT 61,059 2,068 Sunoco, Inc. 53,972 2,037 Hasbro, Inc. 116,107 2,031 A.G. Edwards & Sons, Inc. 59,299 2,028 Hibernia Corp. Class A 110,999 2,016 Mercantile Bankshares Corp. 51,099 2,012 PartnerRe Ltd. 39,250 2,006 Allied Capital Corp. 86,000 1,987 Liberty Property Trust REIT 57,199 1,979 Hillenbrand Industries, Inc. 38,999 1,969 W.R. Berkley Corp. 37,000 1,950 Questar Corp. 57,999 1,941 Telephone & Data Systems, Inc. 38,599 1,918 * Toys R Us, Inc. 157,722 1,912 Health Care Properties Investors REIT 44,300 1,876 * NCR Corp. 71,867 1,841 Associated Banc-Corp. 49,599 1,829 * Park Place Entertainment Corp. 201,099 1,828 Eastman Chemical Co. 57,431 1,819 The Stanley Works 65,589 1,810 The Clorox Co. 42,300 1,804 NSTAR 39,499 1,799 The PMI Group Inc. 66,999 1,798 Valley National Bancorp 67,435 1,777 21 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Tyson Foods, Inc. 167,299 $ 1,777 * Manor Care, Inc. 70,222 1,756 Bemis Co., Inc. 37,430 1,752 Avery Dennison Corp. 34,800 1,747 Goodrich Corp. 83,061 1,744 * Synopsys, Inc. 27,900 1,726 * SPX Corp. 38,400 1,692 D. R. Horton, Inc. 60,100 1,689 Brunswick Corp. 67,048 1,678 Puget Energy, Inc. 69,599 1,661 MDU Resources Group, Inc. 49,599 1,661 CenterPoint Energy Inc. 203,756 1,661 Commerce Bancshares, Inc. 42,314 1,648 Sonoco Products Co. 68,199 1,638 UnionBanCal Corp. 39,300 1,626 * Compuware Corp. 280,948 1,621 AMB Property Corp. REIT 57,099 1,608 Astoria Financial Corp. 56,799 1,586 Northeast Utilities 94,699 1,585 Fulton Financial Corp. 78,935 1,568 TECO Energy, Inc. 130,803 1,568 T. Rowe Price Group Inc. 40,983 1,547 Temple-Inland Inc. 36,021 1,546 * Millennium Pharmaceuticals, Inc. 98,200 1,545 Bowater Inc. 41,199 1,543 New Plan Excel Realty Trust REIT 71,899 1,535 Belo Corp. Class A 68,199 1,525 Allete, Inc. 57,399 1,524 * Unisys Corp. 121,951 1,498 DPL Inc. 93,899 1,497 Bank of Hawaii Corp. 45,099 1,495 * Smithfield Foods, Inc. 65,199 1,494 Bausch & Lomb, Inc. 39,719 1,490 Harris Corp. 49,499 1,487 Ashland, Inc. 48,282 1,481 Nordstrom, Inc. 75,604 1,476 Viad Corp. 65,599 1,469 City National Corp. 32,899 1,466 Weingarten Realty Investors REIT 34,690 1,454 * Vishay Intertechnology, Inc. 107,399 1,418 Foot Locker, Inc. 104,900 1,390 RenaissanceRe Holdings Ltd. 30,416 1,385 Hospitality Properties Trust REIT 44,299 1,384 C.R. Bard, Inc. 19,273 1,374 FirstMerit Corp. 59,799 1,367 Nationwide Financial Services, Inc. 41,807 1,359 Maytag Corp. 55,356 1,352 Hormel Foods Corp. 56,799 1,346 W.W. Grainger, Inc. 28,732 1,344 J.M. Smucker Co. 33,399 1,332 * Triad Hospitals, Inc. 52,999 1,315 Circuit City Stores, Inc. 149,245 1,313 Fluor Corp. 38,923 1,309 New York Community Bancorp, Inc. 44,666 1,299 Protective Life Corp. 48,399 1,295 Hudson City Bancorp, Inc. 50,147 1,282 Dana Corp. 110,740 1,280 Lyondell Chemical Co. 93,699 1,268 Black & Decker Corp. 29,076 1,263 * King Pharmaceuticals, Inc. 85,176 1,257 International Flavors & Fragrances, Inc. 38,846 1,240 * Del Monte Foods Co. 140,300 1,240 Tidewater Inc. 42,199 1,239 Unitrin, Inc. 45,399 1,231 Hubbell Inc. Class B 36,899 1,221 Wilmington Trust Corp. 41,599 1,221 * Ceridian Corp. 71,800 1,218 KB HOME 19,652 1,218 * Cadence Design Systems, Inc. 100,200 1,208 * Reebok International Ltd. 35,703 1,201 RPM International, Inc. 86,199 1,185 * Owens-Illinois, Inc. 82,500 1,136 * Tech Data Corp. 42,099 1,124 Teleflex Inc. 26,399 1,123 Transatlantic Holdings, Inc. 15,637 1,081 * ICOS Corp. 28,700 1,055 * Storage Technology Corp. 40,100 1,032 Pall Corp. 45,687 1,028 Washington Post Co. Class B 1,400 1,026 Lennar Corp. Class A 14,300 1,022 Diamond Offshore Drilling, Inc. 48,680 1,022 Regency Centers Corp. REIT 29,180 1,021 * BMC Software, Inc. 60,866 994 * American Power Conversion Corp. 62,198 970 Clayton Homes Inc. 76,199 956 Scientific-Atlanta, Inc. 39,578 944 Mercury General Corp. 20,141 919 * Jones Apparel Group, Inc. 30,387 889 Adolph Coors Co. Class B 18,079 886 Omnicare, Inc. 26,200 885 Erie Indemnity Co. Class A 21,293 878 * Intersil Corp. 31,800 846 Winn-Dixie Stores, Inc. 68,434 842 PepsiAmericas, Inc. 66,899 840 * Advanced Micro Devices, Inc. 129,168 828 * Saks Inc. 84,899 824 * Host Marriott Corp. REIT 89,300 817 * 3Com Corp. 174,400 816 Carolina Group 29,880 807 Dow Jones & Co., Inc. 18,069 778 * Ingram Micro, Inc. Class A 67,700 745 LaBranche & Co. Inc. 35,699 739 22 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Lafarge North America Inc. 22,968 $ 710 * Energizer Holdings, Inc. 20,400 641 * CIENA Corp. 110,642 574 Brown-Forman Corp. Class B 7,100 558 * ADC Telecommunications, Inc. 210,766 491 Capitol Federal Financial 16,275 458 Blockbuster Inc. Class A 26,220 442 The McClatchy Co. Class A 7,251 418 * Hearst-Argyle Television Inc. 13,200 342 * BOK Financial Corp. 8,500 328 * WellChoice Inc. 10,100 296 * U.S. Cellular Corp. 11,600 295 Regal Entertainment Group Class A 12,394 292 * Metro-Goldwyn-Mayer Inc. 22,533 280 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $3,486,467) $ 3,462,287 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.2%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (2) 1.17%, 7/16/2003 $ 1,500 1,499 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003--Note E 5,768 5,768 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $7,267) 7,267 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.1%) (Cost $3,493,734) 3,469,554 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.1%) - -------------------------------------------------------------------------------- Other Assets--Note B 25,139 Liabilities--Note E (28,631) ---------------- $ (3,492) ---------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 3,466,062 ================================================================================ *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)Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 4,421,127 Overdistributed Net Investment Income (640) Accumulated Net Realized Losses (930,093) Unrealized Depreciation Investment Securities (24,180) Futures Contracts (152) - -------------------------------------------------------------------------------- NET ASSETS $ 3,466,062 - -------------------------------------------------------------------------------- Investor Shares--Net Assets Applicable to 148,409,287 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 2,447,121 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $16.49 ================================================================================ Admiral Shares--Net Assets Applicable to 34,487,612 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 568,695 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 16.49 ================================================================================ Institutional Shares--Net Assets Applicable to 27,303,332 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 450,246 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 16.49 ================================================================================ 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 ---------------------------------------- SIX MONTHS ENDED JUNE 30, 2003 ---------------------------------------- (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 47,748 $ 36,482 Interest 60 25 Security Lending 3 26 - -------------------------------------------------------------------------------- Total Income 47,811 36,533 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 75 75 Management and Administrative Investor Shares 6,293 2,160 Admiral Shares 527 311 Institutional Shares 246 159 Marketing and Distribution Investor Shares 404 173 Admiral Shares 55 42 Institutional Shares 65 47 Custodian Fees 86 87 Shareholders' Reports Investor Shares 283 72 Admiral Shares 1 1 Institutional Shares -- -- Trustees' Fees and Expenses 7 2 - -------------------------------------------------------------------------------- Total Expenses 8,042 3,129 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 39,769 33,404 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (369,673) (344,814) Futures Contracts (654) 91 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (370,327) (344,723) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 1,115,577 725,506 Futures Contracts -- (152) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 1,115,577 725,354 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 785,019 $414,035 ================================================================================ 24 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND SIX MONTHS ENDED JUNE 30, 2003 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 219,013 Interest 979 Security Lending 1,229 - -------------------------------------------------------------------------------- Total Income 221,221 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 75 Management and Administrative Investor Shares 14,095 Admiral Shares 3,183 Institutional Shares 1,397 VIPER Shares 1,006 Marketing and Distribution Investor Shares 1,119 Admiral Shares 283 Institutional Shares 383 VIPER Shares 128 Custodian Fees 353 Shareholders' Reports Investor Shares 339 Admiral Shares 5 Institutional Shares 8 VIPER Shares -- Trustees' Fees and Expenses 19 - -------------------------------------------------------------------------------- Total Expenses 22,393 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 198,828 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (228,575) Futures Contracts 12,825 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (215,750) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 3,564,106 Futures Contracts (985) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 3,563,121 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $3,546,199 ================================================================================ 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 ----------------------------------- ----------------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED JUNE 30, 2003 DEC. 31, 2002 JUNE 30, 2003 DEC. 31, 2002 (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 39,769 $ 86,098 $ 33,404 $ 68,872 Realized Net Gain (Loss) (370,327) (858,416) (344,723) (358,599) Change in Unrealized Appreciation (Depreciation) 1,115,577 (1,638,184) 725,354 (614,611) - ------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 785,019 (2,410,502) 414,035 (904,338) - ------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (33,198) (70,060) (19,105) (48,530) Admiral Shares (4,636) (8,872) (4,668) (10,594) Institutional Shares (3,978) (8,738) (4,352) (12,094) Realized Capital Gain Investor Shares -- -- -- -- Admiral Shares -- -- -- -- Institutional Shares -- -- -- -- - ------------------------------------------------------------------------------------------------------------------- Total Distributions (41,812) (87,670) (28,125) (71,218) - ------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares (1,483) (319,751) (18,646) (143,326) Admiral Shares 65,195 88,780 26,419 34,060 Institutional Shares (87,826) (23,525) (97,906) (214,549) - ------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (24,114) (254,496) (90,133) (323,815) - ------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) 719,093 (2,752,668) 295,777 (1,299,371) - ------------------------------------------------------------------------------------------------------------------- NET ASSETS Beginning of Period 7,519,130 10,271,798 3,170,285 4,469,656 - ------------------------------------------------------------------------------------------------------------------- End of Period $8,238,223 $ 7,519,130 $3,466,062 $3,170,285 ===================================================================================================================
26 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND ------------------------------- SIX MONTHS YEAR ENDED ENDED JUNE 30, 2003 DEC. 31, 2002 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 198,828 $ 331,288 Realized Net Gain (Loss) (215,750) (168,590) Change in Unrealized Appreciation (Depreciation) 3,563,121 (5,904,648) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 3,546,199 (5,741,950) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (112,663) (197,489) Admiral Shares (35,875) (55,661) Institutional Shares (35,447) (60,729) VIPER Shares (10,881) (18,616) Realized Capital Gain Investor Shares -- -- Admiral Shares -- -- Institutional Shares -- -- VIPER Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (194,866) (332,495) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Investor Shares 2,514,363 2,207,858 Admiral Shares 1,200,160 1,155,128 Institutional Shares 393,028 1,291,353 VIPER Shares 341,162 409,620 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 4,448,713 5,063,959 - -------------------------------------------------------------------------------- Total Increase (Decrease) 7,800,046 (1,010,486) - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 24,077,826 25,088,312 - -------------------------------------------------------------------------------- End of Period $31,877,872 $24,077,826 ================================================================================ 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 - -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING ENDED --------------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $39.43 $31.67 $22.53 - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .10 .222 .181 .126 .207 .230 Net Realized and Unrealized Gain (Loss) on Investments 2.00 (6.465) (4.144) (8.861) 8.821 9.244 - -------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.10 (6.243) (3.963) (8.735) 9.028 9.474 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.11) (.227) (.187) (.125) (.228) (.219) Distributions from Realized Capital Gains -- -- -- -- (1.040) (.115) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions (.11) (.227) (.187) (.125) (1.268) (.334) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $21.94 $19.95 $26.42 $30.57 $39.43 $31.67 ========================================================================================================================== TOTAL RETURN* 10.56% -23.68% -12.93% -22.21% 28.76% 42.21% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $6,694 $6,094 $8,445 $11,162 $15,232 $6,644 Ratio of Total Expenses to Average Net Assets 0.23%** 0.23% 0.22% 0.22% 0.22% 0.22% Ratio of Net Investment Income to Average Net Assets 1.02%** 0.97% 0.67% 0.33% 0.64% 0.92% Portfolio Turnover Rate 42%+ 23% 31% 33% 33% 29% ========================================================================================================================== * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Annualized. +Annualized; includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 39%.
28
GROWTH INDEX FUND ADMIRAL SHARES - --------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DEC. 31, NOV. 13* TO FOR A SHARE OUTSTANDING ENDED ---------------------- DEC. 31, THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $33.12 - --------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .112 .237 .194 .024 Net Realized and Unrealized Gain (Loss) on Investments 1.996 (6.465) (4.144) (2.536) - --------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.108 (6.228) (3.950) (2.512) - --------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.118) (.242) (.200) (.038) Distributions from Realized Capital Gains -- -- -- -- - --------------------------------------------------------------------------------------------------------- Total Distributions (.118) (.242) (.200) (.038) - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $21.94 $19.95 $26.42 $30.57 ========================================================================================================= TOTAL RETURN 10.60% -23.62% -12.88% -7.59% ========================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $895 $751 $906 $709 Ratio of Total Expenses to Average Net Assets 0.15%** 0.15% 0.17% 0.17%** Ratio of Net Investment Income to Average Net Assets 1.10%** 1.05% 0.74% 0.56%** Portfolio Turnover Rate 42%+ 23% 31% 33% ========================================================================================================= *Inception. **Annualized. +Annualized; includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 39%.
29 FINANCIAL HIGHLIGHTS (CONTINUED)
GROWTH INDEX FUND INSTITUTIONAL SHARES - -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, MAY14* TO FOR A SHARE OUTSTANDING ENDED ---------------------------------------------- DEC. 31, THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $19.95 $26.42 $30.57 $39.44 $31.67 $26.49 - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .117 .248 .213 .156 .249 .167 Net Realized and Unrealized Gain (Loss) on Investments 1.996 (6.465) (4.144) (8.861) 8.821 5.315 - -------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.113 (6.217) (3.931) (8.705) 9.070 5.482 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.123) (.253) (.219) (.165) (.260) (.187) Distributions from Realized Capital Gains -- -- -- -- (1.040) (.115) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions (.123) (.253) (.219) (.165) (1.300) (.302) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $21.94 $19.95 $26.42 $30.57 $39.44 $31.67 ========================================================================================================================== TOTAL RETURN 10.62% -23.58% -12.82% -22.14% 28.91% 20.79% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $649 $675 $921 $948 $452 $224 Ratio of Total Expenses to Average Net Assets 0.10%** 0.10% 0.10% 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 1.16%** 1.10% 0.80% 0.44% 0.74% 0.97%** Portfolio Turnover Rate 42%+ 23% 31% 33% 33% 29% ========================================================================================================================== *Inception. **Annualized. +Annualized; includes activity related to a change in the fund's target index. Portfolio turnover rate excluding in-kind redemptions was 39%.
30
VALUE INDEX FUND INVESTOR SHARES - -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING ENDED --------------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.89 $22.51 $20.85 - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .15 .303 .309 .355 .355 .366 Net Realized and Unrealized Gain (Loss) on Investments 1.82 (4.238) (2.986) .963 2.342 2.647 - -------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.97 (3.935) (2.677) 1.318 2.697 3.013 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.13) (.315) (.316) (.358) (.362) (.363) Distributions from Realized Capital Gains -- -- (.977) (.980) (1.955) (.990) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions (.13) (.315) (1.293) (1.338) (2.317) (1.353) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $16.49 $14.65 $18.90 $22.87 $22.89 $22.51 ========================================================================================================================== TOTAL RETURN* 13.52% -20.91% -11.88% 6.08% 12.57% 14.64% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $2,447 $2,197 $3,018 $3,450 $3,378 $2,421 Ratio of Total Expenses to Average Net Assets 0.23%** 0.23% 0.22% 0.22% 0.22% 0.22%** Ratio of Net Investment Income to Average Net Assets 2.09%** 1.80% 1.51% 1.60% 1.59% 1.72%** Portfolio Turnover Rate 46%+ 26% 38% 37% 41% 33% ========================================================================================================================== *Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Annualized. +Annualized; includes activity related to a change in the fund's target index.
31 FINANCIAL HIGHLIGHTS (CONTINUED)
VALUE INDEX FUND ADMIRAL SHARES - --------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DEC. 31, NOV. 13* TO FOR A SHARE OUTSTANDING ENDED ---------------------- DEC. 31, THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.86 - --------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .160 .315 .318 .045 Net Realized and Unrealized Gain (Loss) on Investments 1.816 (4.238) (2.986) .635 - --------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.976 (3.923) (2.668) .680 - --------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.136) (.327) (.325) (.100) Distributions from Realized Capital Gains -- -- (.977) (.570) - --------------------------------------------------------------------------------------------------------- Total Distributions (.136) (.327) (1.302) (.670) - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $16.49 $14.65 $18.90 $22.87 ========================================================================================================= TOTAL RETURN 13.57% -20.85% -11.83% 3.13% ========================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $569 $480 $587 $248 Ratio of Total Expenses to Average Net Assets 0.15%** 0.15% 0.17% 0.17%** Ratio of Net Investment Income to Average Net Assets 2.19%** 1.88% 1.57% 0.19%** Portfolio Turnover Rate 46%+ 26% 38% 37% ======================================================================================================== *Inception. **Annualized. +Annualized; includes activity related to a change in the fund's target index.
32
VALUE INDEX FUND INSTITUTIONAL SHARES - -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, JULY 2* TO FOR A SHARE OUTSTANDING ENDED --------------------------------------------- DEC.31, THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $14.65 $18.90 $22.87 $22.89 $22.51 $23.22 - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .16 .322 .333 .377 .377 .196 Net Realized and Unrealized Gain (Loss) on Investments 1.82 (4.238) (2.986) .963 2.342 (.060) - -------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.98 (3.916) (2.653) 1.340 2.719 .136 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.14) (.334) (.340) (.380) (.384) (.236) Distributions from Realized Capital Gains -- -- (.977) (.980) (1.955) (.610) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions (.14) (.334) (1.317) (1.360) (2.339) (.846) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $16.49 $14.65 $18.90 $22.87 $22.89 $22.51 ========================================================================================================================== TOTAL RETURN 13.60% -20.81% -11.77% 6.19% 12.67% 0.69% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $450 $494 $865 $1,082 $460 $186 Ratio of Total Expenses to Average Net Assets 0.10%** 0.10% 0.10% 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 2.18%** 1.91% 1.63% 1.70% 1.68% 1.90%** Portfolio Turnover Rate 46%+ 26% 38% 37% 41% 33% ========================================================================================================================== *Inception. **Annualized. +Annualized; includes activity related to a change in the fund's target index.
33 FINANCIAL HIGHLIGHTS (CONTINUED)
TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES - -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING ENDED --------------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.74 $29.26 $33.22 $27.42 $22.64 - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .14 .295 .310 .331 .317 .336 Net Realized and Unrealized Gain (Loss) on Investments 2.42 (5.672) (3.533) (3.815) 6.133 4.898 - -------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.56 (5.377) (3.223) (3.484) 6.450 5.234 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.14) (.293) (.297) (.336) (.330) (.329) Distributions from Realized Capital Gains -- -- -- (.140) (.320) (.125) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions (.14) (.293) (.297) (.476) (.650) (.454) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $22.49 $20.07 $25.74 $29.26 $33.22 $27.42 ========================================================================================================================== TOTAL RETURN* 12.80% -20.96% -10.97% -10.57% 23.81% 23.26% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $18,764 $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% 0.20% Ratio of Net Investment Income to Average Net Assets 1.45%** 1.32% 1.11% 1.04% 1.15% 1.44% Portfolio Turnover Rate 2%+ 4%+ 7%+ 7% 3% 3% ========================================================================================================================== * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Annualized. +Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively. The portfolio turnover rate for the six months ended June 30, 2003, is annualized.
34
TOTAL STOCK MARKET INDEX FUND ADMIRAL SHARES - --------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, NOV.13* TO FOR A SHARE OUTSTANDING ENDED ---------------------------- DEC.31, THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.75 $29.26 $30.22 - --------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .145 .296 .332 .049 Net Realized and Unrealized Gain (Loss) on Investments 2.420 (5.672) (3.533) (.830) - --------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.565 (5.376) (3.201) (.781) - --------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.145) (.304) (.309) (.099) Distributions from Realized Capital Gains -- -- -- (.080) - --------------------------------------------------------------------------------------------------------- Total Distributions (.145) (.304) (.309) (.179) - --------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $22.49 $20.07 $25.75 $29.26 ========================================================================================================= TOTAL RETURN 12.83% -20.95% -10.89% -2.55% ========================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $5,882 $4,069 $3,894 $2,104 Ratio of Total Expenses to Average Net Assets 0.15%** 0.15% 0.15% 0.15%** Ratio of Net Investment Income to Average Net Assets 1.50%** 1.39% 1.17% 1.23%** Portfolio Turnover Rate 2%+ 4%+ 7%+ 7% ========================================================================================================= *Inception. **Annualized. +Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively. The portfolio turnover rate for the six months ended June 30, 2003, is annualized.
35 FINANCIAL HIGHLIGHTS (CONTINUED)
TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES - -------------------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, FOR A SHARE OUTSTANDING ENDED --------------------------------------------------------- THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $20.07 $25.75 $29.27 $33.22 $27.42 $22.64 - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .152 .311 .341 .371 .344 .359 Net Realized and Unrealized Gain (Loss) on Investments 2.420 (5.672) (3.533) (3.815) 6.133 4.898 - -------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.572 (5.361) (3.192) (3.444) 6.477 5.257 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.152) (.319) (.328) (.366) (.357) (.352) Distributions from Realized Capital Gains -- -- -- (.140) (.320) (.125) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions (.152) (.319) (.328) (.506) (.677) (.477) - -------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $22.49 $20.07 $25.75 $29.27 $33.22 $27.42 ========================================================================================================================== TOTAL RETURN 12.86% -20.90% -10.85% -10.46% 23.93% 23.37% ========================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $5,423 $4,466 $4,217 $4,272 $4,006 $2,445 Ratio of Total Expenses to Average Net Assets 0.08%* 0.08% 0.08% 0.10% 0.10% 0.10% Ratio of Net Investment Income to Average Net Assets 1.58%* 1.45% 1.23% 1.14% 1.26% 1.53% Portfolio Turnover Rate 2%** 4%** 7%** 7% 3% 3% ========================================================================================================================== *Annualized. **Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively. The portfolio turnover rate for the six months ended June 30, 2003, is annualized.
36
TOTAL STOCK MARKET INDEX FUND VIPER SHARES - ------------------------------------------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED MAY 24* TO JUNE 30, DEC. 31, DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 - ------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $82.47 $105.80 $118.46 - ------------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .61 1.259 .843 Net Realized and Unrealized Gain (Loss) on Investments 9.91 (23.337) (12.515) - ------------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 10.52 (22.078) (11.672) - ------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.60) (1.252) (.988) Distributions from Realized Capital Gains -- -- -- - ------------------------------------------------------------------------------------------------------------------------- Total Distributions (.60) (1.252) (.988) - ------------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $92.39 $ 82.47 $105.80 ========================================================================================================================= TOTAL RETURN 12.82% -20.94% -9.82% ========================================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,809 $1,290 $1,195 Ratio of Total Expenses to Average Net Assets 0.15%* 0.15% 0.15%** Ratio of Net Investment Income to Average Net Assets 1.50%** 1.38% 1.26%** Portfolio Turnover Rate 2%+ 4%+ 7%+ ========================================================================================================================= *Inception. **Annualized. +Portfolio turnover rates excluding in-kind redemptions were 2%, 2%, and 3%, respectively. The portfolio turnover rate for the six months ended June 30, 2003, is annualized.
SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 37 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 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: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds' pricing time but after the close of the securities' primary markets, are valued by methods deemed by the board of trustees to represent fair value. 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. 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 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; 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. 38 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) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2003, 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 $1,418 0.02% 1.42% Value 592 0.02 0.59 Total Stock Market 5,059 0.02 5.06 - -------------------------------------------------------------------------------- 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 six months ended June 30, 2003, the Growth Index, Value Index and Total Stock Market Index Funds realized $82,296,000, $38,697,000, and $22,996,000, respectively, of net capital gains resulting from in-kind redemptions--in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the funds, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. 39 NOTES TO FINANCIAL STATEMENTS (CONTINUED) The funds' tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2002, the following funds had tax-basis capital losses available to offset future net capital gains: - -------------------------------------------------------------------------------- CAPITAL LOSSES ---------------------------------------- EXPIRATION: FISCAL AMOUNT YEAR(S) ENDING INDEX FUND (000) DECEMBER 31 - -------------------------------------------------------------------------------- Growth $3,153,168 2008-2011 Value 546,787 2010-2011 Total Stock Market 702,979 2009-2011 - -------------------------------------------------------------------------------- The funds will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2003; should the funds realize net capital losses for the year, the losses will be added to the loss carryforward balances above. At June 30, 2003, net unrealized appreciation (depreciation) of investment securities for tax purposes was: - -------------------------------------------------------------------------------- (000) ------------------------------------------------ NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) - -------------------------------------------------------------------------------- Growth $1,323,667 $ (419,860) $ 903,807 Value 460,637 (484,817) (24,180) Total Stock Market 3,603,647 (5,459,790) (1,856,143) - -------------------------------------------------------------------------------- At June 30, 2003, the aggregate settlement value of open futures contracts expiring in September 2003 and the related unrealized depreciation were: - -------------------------------------------------------------------------------- (000) ------------------------------ AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- Value/ S&P 500 Index 15 $ 3,650 $ (152) Total Stock Market/ S&P 500 Index 201 48,908 (1,428) S&P MidCap 400 Index 67 16,087 (353) Russell 2000 Index 49 10,986 (210) - -------------------------------------------------------------------------------- Unrealized depreciation on open futures contracts is required to be treated as realized loss for tax purposes. D. During the six months ended June 30, 2003, purchases and sales of investment securities other than temporary cash investments were: - -------------------------------------------------------------------------------- (000) ----------------------------------- INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------------- Growth $2,892,384 $2,913,368 Value 1,227,643 1,345,760 Total Stock Market 4,789,794 306,927 - -------------------------------------------------------------------------------- 40 E. The market value of securities on loan to broker/dealers at June 30, 2003, and collateral received with respect to such loans were: - -------------------------------------------------------------------------------- (000) ----------------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED - -------------------------------------------------------------------------------- Growth $ 2,144 $ 2,239 Value 5,535 5,768 Total Stock Market 305,376 335,628 - -------------------------------------------------------------------------------- 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: - -------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 ------------------------ ---------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - -------------------------------------------------------------------------------- GROWTH Investor Shares Issued $ 539,702 26,150 $ 1,155,407 51,026 Issued in Lieu of Cash Distributions 30,353 1,457 64,183 3,026 Redeemed (571,538) (27,912) (1,539,341) (68,271) --------------------------------------------------- Net Increase (Decrease)-- Investor Shares (1,483) (305) (319,751) (14,219) --------------------------------------------------- Admiral Shares Issued 154,744 7,471 334,819 14,388 Issued in Lieu of Cash Distributions 4,003 192 7,507 355 Redeemed (93,552) (4,513) (253,546) (11,400) --------------------------------------------------- Net Increase (Decrease)-- Admiral Shares 65,195 3,150 88,780 3,343 --------------------------------------------------- Institutional Shares Issued 201,360 9,900 296,930 12,916 Issued in Lieu of Cash Distributions 3,565 172 8,074 381 Redeemed (292,751) (14,316) (328,529) (14,342) --------------------------------------------------- Net Increase (Decrease)-- Institutional Shares (87,826) (4,244) (23,525) (1,045) - -------------------------------------------------------------------------------- 41 NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 ------------------------ ---------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - -------------------------------------------------------------------------------- Value Investor Shares Issued $ 259,684 17,218 $ 603,011 36,010 Issued in Lieu of Cash Distributions 17,491 1,150 44,772 2,868 Redeemed (295,821) (19,921) (791,109) (48,545) --------------------------------------------------- Net Increase (Decrease)-- Investor Shares (18,646) (1,553) (143,326) (9,667) --------------------------------------------------- Admiral Shares Issued 129,473 8,640 308,314 18,151 Issued in Lieu of Cash Distributions 3,936 259 8,803 564 Redeemed (106,990) (7,161) (283,057) (16,995) --------------------------------------------------- Net Increase (Decrease)-- Admiral Shares 26,419 1,738 34,060 1,720 --------------------------------------------------- Institutional Shares Issued 141,977 9,615 213,528 12,571 Issued in Lieu of Cash Distributions 3,817 254 10,995 701 Redeemed (243,700) (16,274) (439,072) (25,343) --------------------------------------------------- Net Increase (Decrease)-- Institutional Shares (97,906) (6,405) (214,549) (12,071) - -------------------------------------------------------------------------------- TOTAL STOCK MARKET Investor Shares Issued $ 3,675,395 180,951 $ 4,425,830 197,493 Issued in Lieu of Cash Distributions 106,960 5,042 186,853 8,717 Redeemed (1,267,992) (61,795) (2,404,825) (108,975) --------------------------------------------------- Net Increase (Decrease)-- Investor Shares 2,514,363 124,198 2,207,858 97,235 --------------------------------------------------- Admiral Shares Issued 1,476,523 72,322 1,958,681 88,190 Issued in Lieu of Cash Distributions 30,358 1,430 46,963 2,198 Redeemed (306,721) (14,937) (850,516) (38,902) --------------------------------------------------- Net Increase (Decrease)-- Admiral Shares 1,200,160 58,815 1,155,128 51,486 --------------------------------------------------- Institutional Shares Issued 683,933 32,968 1,925,666 87,123 Issued in Lieu of Cash Distributions 29,810 1,406 50,565 2,361 Redeemed (320,715) (15,766) (684,878) (30,787) --------------------------------------------------- Net Increase (Decrease)-- Institutional Shares 393,028 18,608 1,291,353 58,697 --------------------------------------------------- VIPER Shares Issued 384,275 4,482 774,929 8,336 Issued in Lieu of Cash Distributions 668 8 357 4 Redeemed (43,781) (550) (365,666) (4,000) --------------------------------------------------- Net Increase (Decrease)-- VIPER Shares 341,162 3,940 409,620 4,340 --------------------------------------------------- 42 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! 43 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 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(R) 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 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 activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. The dates in parentheses below show when each trustee was initially elected. - -------------------------------------------------------------------------------- JOHN J. BRENNAN* (1987) Chairman of the Board, Chief Executive Officer, and Director/Trustee of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group. - -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS (2001) The Partners of '63 (pro bono ventures in education); Senior Adviser to Greenwich Associates (international business strategy consulting); 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 (2001) Chairman and Chief Executive Officer (since October 1999), Vice Chairman (January-September 1999), and Vice President (prior to 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 (1998) Vice President, Chief Information Officer, and Member of the Executive Committee of Johnson & Johnson (pharmaceuticals/consumer products); Director of the Medical Center at Princeton and Women's Research and Education Institute. BURTON G. MALKIEL (1977) Chemical Bank Chairman's Professor of Economics, Princeton University; Director of Vanguard Investment Series plc (Irish investment fund) (since November 2001), Vanguard Group (Ireland) Limited (Irish investment management firm) (since November 2001), Prudential Insurance Co. of America, BKF Capital (investment management firm), The Jeffrey Co. (holding company), and NeuVis, Inc. (software company). ALFRED M. RANKIN, JR. (1993) Chairman, President, Chief Executive Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services); Director until 1998 of Standard Products Company (a supplier for the automotive industry). J. LAWRENCE WILSON (1985) Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines), MeadWestvaco Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary; Managing Director and General Counsel of The Vanguard Group, Inc. (since September 1997); Secretary of The Vanguard Group and of 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 investment companies served by The Vanguard Group. - -------------------------------------------------------------------------------- *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, Client Relationship Group. JAMES H. GATELY, Investment Programs and 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. THE VANGUARD GROUP (R) Post Office Box 2600 Valley Forge, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, Admiral, VIPER, VIPERs, Consolidated View, Wellington, and the ship logo are trademarks of The Vanguard Group, Inc. S&P 500(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. 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. The funds or securities referred to herein that are offered by The Vanguard Group and track an MSCI index are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities. For such funds or securities, the prospectus or the Statement of Additional Information contains a more detailed description of the limited relationship MSCI has with The Vanguard Group. All other marks are the exclusive property of their respective owners. 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 funds' 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 funds 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) 2003 THE VANGUARD GROUP, INC. ALL RIGHTS RESERVED. VANGUARD MARKETING CORPORATION, DISTRIBUTOR. Q852 082003 ================================================================================ VANGUARD(R) U.S. STOCK INDEX FUNDS SEMIANNUAL REPORT TOTAL STOCK MARKET INDEX FUND STATEMENT OF NET ASSETS * JUNE 30, 2003 (unaudited) The Statement of Net Assets should be read in conjuction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes to Financial Statements, 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 (99.8%)(1) - -------------------------------------------------------------------------------- General Electric Co. 28,084,052 805,451 Microsoft Corp. 30,168,734 772,621 Pfizer Inc. 22,184,779 757,610 ExxonMobil Corp. 18,769,008 673,995 Wal-Mart Stores, Inc. 12,304,693 660,393 Citigroup, Inc. 14,465,943 619,142 Johnson & Johnson 8,342,434 431,304 American International Group, Inc. 7,329,620 404,448 International Business Machines Corp. 4,855,673 400,593 Intel Corp. 18,360,467 381,604 Merck & Co., Inc. 6,300,983 381,525 Bank of America Corp. 4,209,550 332,681 * Cisco Systems, Inc. 19,722,625 329,171 The Procter & Gamble Co. 3,638,147 324,450 The Coca-Cola Co. 6,921,751 321,238 Verizon Communications 7,728,219 304,878 Altria Group, Inc. 5,689,815 258,545 SBC Communications Inc. 9,335,926 238,533 Wells Fargo & Co. 4,707,081 237,237 * Amgen, Inc. 3,539,268 235,149 * Dell Computer Corp. 7,216,890 230,652 Eli Lilly & Co. 3,157,164 217,750 * Berkshire Hathaway Inc. Class A 3,002 217,645 ChevronTexaco Corp. 3,002,041 216,747 PepsiCo, Inc. 4,827,949 214,844 Home Depot, Inc. 6,415,949 212,496 * Viacom Inc. Class B 4,813,772 210,169 * AOL Time Warner Inc. 12,636,902 203,328 United Parcel Service, Inc. 3,162,093 201,425 J.P. Morgan Chase & Co. 5,707,809 195,093 Abbott Laboratories 4,386,379 191,948 Fannie Mae 2,753,302 185,683 Hewlett-Packard Co. 8,577,471 182,700 * Oracle Corp. 14,732,740 177,088 * Comcast Corp. Class A 5,664,442 170,953 Wyeth 3,731,588 169,974 Medtronic, Inc. 3,426,931 164,390 American Express Co. 3,658,863 152,977 Wachovia Corp. 3,786,845 151,322 Bristol-Myers Squibb Co. 5,446,671 147,877 3M Co. 1,098,243 141,651 BellSouth Corp. 5,189,608 138,199 U.S. Bancorp 5,394,484 132,165 Morgan Stanley 3,055,281 130,613 Merrill Lynch & Co., Inc. 2,614,218 122,032 ================================================================================ 1 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Anheuser-Busch Cos., Inc. 2,347,399 119,835 Bank One Corp. 3,222,564 119,815 E.I. du Pont de Nemours & Co. 2,798,786 116,541 The Walt Disney Co. 5,741,400 113,393 The Goldman Sachs Group, Inc. 1,319,561 110,513 Washington Mutual, Inc. 2,635,376 108,841 ConocoPhillips 1,907,325 104,521 Freddie Mac 1,936,724 98,327 Target Corp. 2,559,258 96,842 Lowe's Cos., Inc. 2,191,296 94,116 United Technologies Corp. 1,314,847 93,131 * eBay Inc. 892,172 92,946 Fifth Third Bancorp 1,613,693 92,529 Gillette Co. 2,869,486 91,422 FleetBoston Financial Corp. 2,954,810 87,787 Colgate-Palmolive Co. 1,511,923 87,616 First Data Corp. 2,101,746 87,096 Walgreen Co. 2,880,030 86,689 Texas Instruments, Inc. 4,859,273 85,523 UnitedHealth Group Inc. 1,665,216 83,677 The Boeing Co. 2,362,630 81,086 Cardinal Health, Inc. 1,259,826 81,007 * Liberty Media Corp. 6,949,852 80,340 Dow Chemical Co. 2,572,666 79,650 QUALCOMM Inc. 2,218,251 79,302 McDonald's Corp. 3,575,220 78,869 Schlumberger Ltd. 1,636,272 77,837 Marsh & McLennan Cos., Inc. 1,504,522 76,836 Schering-Plough Corp. 4,127,637 76,774 MBNA Corp. 3,590,304 74,822 Kimberly-Clark Corp. 1,432,162 74,673 * Applied Materials, Inc. 4,657,292 73,865 * Clear Channel Communications, Inc. 1,725,788 73,156 Allstate Corp. 1,978,083 70,519 * Boston Scientific Corp. 1,152,617 70,425 Honeywell International Inc. 2,410,712 64,728 * EMC Corp. 6,145,483 64,343 Southern Co. 2,028,112 63,196 * AT&T Wireless Services Inc. 7,620,415 62,564 The Bank of New York Co., Inc. 2,166,667 62,292 Motorola, Inc. 6,510,650 61,395 Alcoa Inc. 2,375,193 60,567 Metropolitan Life Insurance Co. 2,136,093 60,494 Emerson Electric Co. 1,183,216 60,462 Lockheed Martin Corp. 1,269,739 60,401 * InterActiveCorp 1,468,420 58,105 Gannett Co., Inc. 755,076 57,997 Carnival Corp. 1,766,825 57,440 Illinois Tool Works, Inc. 864,331 56,916 Automatic Data Processing, Inc. 1,680,536 56,903 General Motors Corp. 1,575,415 56,715 Ford Motor Co. 5,143,225 56,524 National City Corp. 1,719,011 56,229 Dominion Resources, Inc. 873,409 56,134 * Forest Laboratories, Inc. 1,020,463 55,870 * Yahoo! Inc. 1,695,120 55,532 Sysco Corp. 1,826,024 54,854 Exelon Corp. 911,179 54,498 Caterpillar, Inc. 967,953 53,876 * Cox Communications, Inc. Class A 1,665,441 53,128 * Cendant Corp. 2,871,133 52,599 Prudential Financial, Inc. 1,562,683 52,584 * NEXTEL Communications, Inc. 2,892,140 52,290 FedEx Corp. 838,359 52,003 Duke Energy Corp. 2,532,788 50,529 SLM Corp. 1,283,907 50,291 General Mills, Inc. 1,038,695 49,245 * Kohl's Corp. 952,919 48,961 International Paper Co. 1,346,759 48,120 The Gap, Inc. 2,504,544 46,985 * Costco Wholesale Corp. 1,281,955 46,920 SunTrust Banks, Inc. 787,461 46,728 HCA Inc. 1,438,986 46,105 BB&T Corp. 1,325,221 45,455 Lehman Brothers Holdings, Inc. 682,059 45,343 Progressive Corp. of Ohio 612,587 44,780 * Genentech, Inc. 620,586 44,757 Travelers Property Casualty Corp. Class B 2,829,795 44,626 Northrop Grumman Corp. 514,878 44,429 AFLAC Inc. 1,443,164 44,377 Baxter International, Inc. 1,680,339 43,689 AT&T Corp. 2,210,296 42,548 ALLTEL Corp. 876,117 42,246 Tribune Co. 868,351 41,941 * Sun Microsystems, Inc. 9,092,716 41,826 Union Pacific Corp. 715,258 41,499 Sara Lee Corp. 2,188,759 41,171 Avon Products, Inc. 660,682 41,094 General Dynamics Corp. 560,696 40,650 * Amazon.com, Inc. 1,101,266 40,185 Waste Management, Inc. 1,665,145 40,113 * General Motors Corp. Class H 3,112,144 39,867 * Best Buy Co., Inc. 906,841 39,829 NIKE, Inc. Class B 743,398 39,764 The Hartford Financial Services Group Inc. 787,774 39,672 Kellogg Co. 1,143,854 39,314 PNC Financial Services Group 796,044 38,855 Stryker Corp. 558,734 38,759 Guidant Corp. 870,679 38,649 Charles Schwab Corp. 3,802,836 38,371 ================================================================================ 2 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Omnicom Group Inc. 530,569 38,042 Raytheon Co. 1,156,328 37,974 Southwest Airlines Co. 2,191,932 37,701 State Street Corp. 935,995 36,878 Newmont Mining Corp. (Holding Co.) 1,132,350 36,756 Sprint Corp. 2,532,413 36,467 Computer Associates International, Inc. 1,628,833 36,290 * Analog Devices, Inc. 1,029,253 35,839 Occidental Petroleum Corp. 1,068,022 35,832 ConAgra Foods, Inc. 1,509,283 35,619 Wm. Wrigley Jr. Co. 632,524 35,567 * The Kroger Co. 2,130,049 35,529 * WellPoint Health Networks Inc. Class A 414,582 34,949 Devon Energy Corp. 650,355 34,729 FPL Group, Inc. 515,297 34,448 Golden West Financial Corp. 429,388 34,355 Harley-Davidson, Inc. 851,800 33,953 Mellon Financial Corp. 1,213,462 33,674 Entergy Corp. 635,949 33,565 The McGraw-Hill Cos., Inc. 540,656 33,521 * Veritas Software Corp. 1,166,789 33,452 Weyerhaeuser Co. 616,188 33,274 American Electric Power Co., Inc. 1,109,932 33,109 H.J. Heinz Co. 990,460 32,665 * Bed Bath & Beyond, Inc. 831,019 32,252 FirstEnergy Corp. 837,294 32,194 Masco Corp. 1,341,149 31,986 Baker Hughes, Inc. 946,659 31,779 * Gilead Sciences, Inc. 563,661 31,328 Capital One Financial Corp. 636,957 31,326 The Chubb Corp. 521,841 31,310 Maxim Integrated Products, Inc. 914,876 31,280 Anadarko Petroleum Corp. 701,186 31,182 Paychex, Inc. 1,059,968 31,068 CVS Corp. 1,107,311 31,038 Deere & Co. 673,280 30,769 Equity Office Properties Trust REIT 1,134,127 30,633 Burlington Resources, Inc. 565,842 30,595 * Apollo Group, Inc. Class A 493,497 30,478 * Anthem, Inc. 394,015 30,398 * Electronic Arts Inc. 409,993 30,335 KeyCorp 1,190,600 30,086 Burlington Northern Santa Fe Corp. 1,047,515 29,791 Progress Energy, Inc. 676,734 29,709 The Principal Financial Group, Inc. 919,770 29,663 Apache Corp. 455,557 29,639 Sears, Roebuck & Co. 880,958 29,635 Danaher Corp. 429,516 29,229 * St. Jude Medical, Inc. 506,181 29,105 McKesson Corp. 813,817 29,086 Electronic Data Systems Corp. 1,348,771 28,931 * Fox Entertainment Group, Inc. Class A 991,122 28,524 Linear Technology Corp. 879,576 28,331 Halliburton Co. 1,230,542 28,302 Campbell Soup Co. 1,154,224 28,279 Allergan, Inc. 366,397 28,249 M & T Bank Corp. 335,322 28,241 Franklin Resources Corp. 716,977 28,012 Becton, Dickinson & Co. 716,281 27,828 TJX Cos., Inc. 1,463,782 27,578 Praxair, Inc. 457,347 27,487 Consolidated Edison Inc. 627,419 27,155 * Starbucks Corp. 1,097,416 26,909 Public Service Enterprise Group, Inc. 636,298 26,884 Air Products & Chemicals, Inc. 639,305 26,595 * Corning, Inc. 3,564,409 26,341 SouthTrust Corp. 963,685 26,212 The Clorox Co. 612,889 26,140 Hershey Foods Corp. 371,920 25,908 * Agilent Technologies, Inc. 1,324,984 25,903 Northern Trust Corp. 619,628 25,894 * MedImmune Inc. 708,742 25,777 * Intuit, Inc. 578,486 25,760 Aetna Inc. 427,637 25,744 Kraft Foods Inc. 788,245 25,657 Countrywide Financial Corp. 367,796 25,588 * Genzyme Corp.-General Division 611,599 25,565 * Safeway, Inc. 1,243,638 25,445 * Lexmark International, Inc. 359,039 25,409 Pitney Bowes, Inc. 659,494 25,331 * Staples, Inc. 1,369,748 25,135 Marriott International, Inc. Class A 651,932 25,047 John Hancock Financial Services, Inc. 812,817 24,978 * KLA-Tencor Corp. 536,693 24,951 * Zimmer Holdings, Inc. 553,383 24,930 Loews Corp. 521,392 24,657 * International Game Technology 240,807 24,642 * Yum! Brands, Inc. 825,766 24,410 * PG&E Corp. 1,151,468 24,354 PPG Industries, Inc. 477,305 24,218 * Xilinx, Inc. 948,236 24,000 * EchoStar Communications Corp. Class A 685,351 23,727 * Lucent Technologies, Inc. 11,630,362 23,610 Mattel, Inc. 1,238,207 23,427 ================================================================================ 3 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- St. Paul Cos., Inc. 639,839 23,361 Archer-Daniels-Midland Co. 1,812,031 23,321 * Xerox Corp. 2,199,313 23,291 Coca-Cola Enterprises, Inc. 1,274,727 23,136 Marathon Oil Corp. 872,335 22,986 * Chiron Corp. 524,548 22,933 Comerica, Inc. 492,684 22,910 * Qwest Communications International Inc. 4,767,327 22,788 Limited Brands, Inc. 1,468,900 22,768 Ingersoll-Rand Co. 477,551 22,598 Eastman Kodak Co. 813,049 22,237 Moody's Corp. 420,716 22,176 PACCAR, Inc. 327,639 22,135 H & R Block, Inc. 504,564 21,822 AmSouth Bancorp 993,486 21,698 Newell Rubbermaid, Inc. 771,546 21,603 AmerisourceBergen Corp. 310,471 21,531 Johnson Controls, Inc. 251,102 21,494 Fortune Brands, Inc. 408,968 21,348 Aon Corp. 880,510 21,203 Regions Financial Corp. 626,204 21,153 Norfolk Southern Corp. 1,098,973 21,100 * Concord EFS, Inc. 1,422,264 20,936 Adobe Systems, Inc. 652,737 20,933 Unocal Corp. 728,111 20,890 Biomet, Inc. 726,175 20,812 * SunGard Data Systems, Inc. 801,917 20,778 Simon Property Group, Inc. REIT 531,762 20,755 * AutoZone Inc. 272,408 20,695 TXU Corp. 907,932 20,383 PPL Corp. 473,731 20,370 Albertson's, Inc. 1,060,598 20,364 Bear Stearns Co., Inc. 278,926 20,200 * Computer Sciences Corp. 526,734 20,079 Ameren Corp. 454,280 20,034 E.W. Scripps Co. Class A 225,601 20,015 Equity Residential REIT 768,599 19,945 * Micron Technology, Inc. 1,713,231 19,925 * Berkshire Hathaway Inc. Class B 8,187 19,894 Ambac Financial Group, Inc. 298,961 19,806 MBIA, Inc. 406,227 19,804 Charter One Financial, Inc. 634,324 19,778 * Transocean Inc. 899,777 19,768 Washington Post Co. Class B 26,835 19,667 * Apple Computer, Inc. 1,027,454 19,645 * Broadcom Corp. 788,130 19,632 * Univision Communications Inc. 645,046 19,609 Federated Department Stores, Inc. 529,733 19,521 Marshall & Ilsley Corp. 636,998 19,479 Rohm & Haas Co. 626,226 19,432 * Fiserv, Inc. 545,393 19,421 New York Times Co. Class A 425,584 19,364 Ecolab, Inc. 742,160 18,999 * Caremark Rx, Inc. 738,458 18,964 * Quest Diagnostics, Inc. 296,501 18,917 * Comcast Corp. Special Class A 654,930 18,882 Kinder Morgan, Inc. 343,590 18,777 CIGNA Corp. 394,762 18,530 Family Dollar Stores, Inc. 485,166 18,509 Synovus Financial Corp. 854,925 18,381 DTE Energy Co. 472,837 18,270 * Symantec Corp. 416,007 18,246 Cinergy Corp. 494,901 18,207 CSX Corp. 603,806 18,169 May Department Stores Co. 812,509 18,086 Mylan Laboratories, Inc. 517,722 18,001 Lincoln National Corp. 499,990 17,815 * Altera Corp. 1,077,410 17,670 UnionBanCal Corp. 422,971 17,498 Union Planters Corp. 559,317 17,356 Dollar General Corp. 941,683 17,195 * Affiliated Computer Services, Inc. Class A 374,360 17,120 Dover Corp. 570,413 17,090 Cintas Corp. 479,996 17,011 ITT Industries, Inc. 259,390 16,980 Xcel Energy, Inc. 1,125,228 16,923 Cincinnati Financial Corp. 451,839 16,759 Sempra Energy 586,138 16,723 * BJ Services Co. 446,437 16,679 Jefferson-Pilot Corp. 401,663 16,653 * Sprint PCS 2,887,226 16,602 * Weatherford International Ltd. 394,412 16,526 Eaton Corp. 210,159 16,521 UST, Inc. 471,548 16,518 * Nabors Industries, Inc. 409,858 16,210 Starwood Hotels & Resorts Worldwide, Inc. 565,591 16,170 Constellation Energy Group, Inc. 466,361 15,996 Monsanto Co. 736,810 15,945 * Biogen, Inc. 418,971 15,921 Knight Ridder 230,832 15,911 KeySpan Corp. 444,130 15,744 Genuine Parts Co. 490,305 15,695 * PeopleSoft, Inc. 891,605 15,683 Avery Dennison Corp. 312,089 15,667 The Pepsi Bottling Group, Inc. 782,522 15,666 First Tennessee National Corp. 355,341 15,603 * CNA Financial Corp. 630,402 15,508 * Network Appliance, Inc. 956,664 15,508 * Novellus Systems, Inc. 422,970 15,490 * Tenet Healthcare Corp. 1,324,687 15,433 North Fork Bancorp, Inc. 452,365 15,408 ================================================================================ 4 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- GlobalSantaFe Corp. 657,383 15,343 * Edison International 921,700 15,144 * Express Scripts Inc. 219,878 15,022 * American Standard Cos., Inc. 203,002 15,008 Textron, Inc. 381,135 14,872 * IDEC Pharmaceuticals Corp. 436,592 14,844 CIT Group Inc. 597,185 14,721 Interpublic Group of Cos., Inc. 1,098,586 14,699 * MGM Mirage, Inc. 429,330 14,674 Molex, Inc. 537,426 14,505 Popular, Inc. 374,551 14,454 Microchip Technology, Inc. 575,377 14,172 * JDS Uniphase Corp. 4,026,597 14,133 CenturyTel, Inc. 404,395 14,093 NiSource, Inc. 740,277 14,065 Parker Hannifin Corp. 332,554 13,964 MeadWestvaco Corp. 565,013 13,956 Green Point Financial Corp. 271,748 13,843 Hudson City Bancorp, Inc. 540,719 13,826 ProLogis REIT 505,685 13,805 SAFECO Corp. 390,640 13,782 Vornado Realty Trust REIT 315,719 13,765 * Weight Watchers International, Inc. 300,972 13,691 El Paso Corp. 1,690,171 13,657 Murphy Oil Corp. 259,404 13,645 Delphi Corp. 1,579,711 13,633 Centex Corp. 175,015 13,614 Hilton Hotels Corp. 1,062,542 13,590 EOG Resources, Inc. 324,001 13,556 * Cablevision Systems NY Group Class A 646,224 13,416 Tiffany & Co. 410,078 13,401 Plum Creek Timber Co. Inc. REIT 514,671 13,356 Georgia Pacific Group 704,249 13,346 Brown-Forman Corp. Class B 168,418 13,241 * Juniper Networks, Inc. 1,067,482 13,205 * Millennium Pharmaceuticals, Inc. 838,823 13,195 * Siebel Systems, Inc. 1,379,059 13,156 MGIC Investment Corp. 281,666 13,137 * Synopsys, Inc. 211,551 13,084 T. Rowe Price Group Inc. 344,857 13,018 Lennar Corp. Class A 181,632 12,987 * Noble Corp. 376,977 12,930 Zions Bancorp 254,948 12,903 National Commerce Financial Corp. 578,346 12,833 J.C. Penney Co., Inc. (Holding Co.) 759,879 12,804 * QLogic Corp. 264,785 12,797 * DST Systems, Inc. 335,850 12,762 * Coach, Inc. 256,376 12,752 Kerr-McGee Corp. 283,725 12,711 * AutoNation, Inc. 807,574 12,695 * Office Depot, Inc. 874,069 12,683 * BEA Systems, Inc. 1,165,826 12,661 Royal Caribbean Cruises, Ltd. 546,638 12,660 Huntington Bancshares Inc. 647,393 12,637 * Laboratory Corp. of America Holdings 417,206 12,579 * Harrah's Entertainment, Inc. 311,463 12,533 RadioShack Corp. 475,887 12,521 Amerada Hess Corp. 253,948 12,489 Rockwell Automation, Inc. 523,856 12,489 Compass Bancshares Inc. 357,039 12,471 Health Management Associates Class A 673,838 12,432 Rockwell Collins, Inc. 504,333 12,422 Total System Services, Inc. 556,698 12,414 * Jabil Circuit, Inc. 560,575 12,389 IMS Health, Inc. 686,512 12,350 Whirlpool Corp. 193,871 12,350 Archstone-Smith Trust REIT 514,330 12,344 * Barr Laboratories, Inc. 187,276 12,267 * Watson Pharmaceuticals, Inc. 302,215 12,200 Torchmark Corp. 326,902 12,177 W.W. Grainger, Inc. 258,237 12,075 * Dean Foods Co. 381,553 12,019 Public Storage, Inc. REIT 353,139 11,961 Boston Properties, Inc. REIT 272,111 11,919 Legg Mason Inc. 183,078 11,891 Fidelity National Financial, Inc. 382,021 11,751 Estee Lauder Cos. Class A 349,871 11,731 Valero Energy Corp. 322,783 11,727 Banknorth Group, Inc. 459,395 11,724 * L-3 Communications Holdings, Inc. 269,192 11,707 Old Republic International Corp. 338,991 11,617 D. R. Horton, Inc. 413,304 11,614 New York Community Bancorp, Inc. 398,905 11,604 Sovereign Bancorp, Inc. 736,709 11,529 Williams Cos., Inc. 1,457,100 11,511 * Sealed Air Corp. 238,998 11,391 ENSCO International, Inc. 422,717 11,371 * Unisys Corp. 925,490 11,365 Kimco Realty Corp. REIT 297,078 11,259 Sherwin-Williams Co. 417,727 11,229 Applera Corp.-Applied Biosystems Group 588,376 11,197 Leggett & Platt, Inc. 542,402 11,119 * Varian Medical Systems, Inc. 193,128 11,118 Janus Capital Group Inc. 677,128 11,105 General Growth Properties Inc. REIT 177,823 11,103 ================================================================================ 5 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- UnumProvident Corp. 814,377 10,921 Sigma-Aldrich Corp. 201,313 10,907 * CDW Corp. 237,096 10,859 Cooper Industries, Inc. Class A 262,694 10,849 Nucor Corp. 221,578 10,824 * BMC Software, Inc. 660,007 10,778 * Health Net Inc. 326,903 10,771 SCANA Corp. 313,458 10,745 Liz Claiborne, Inc. 303,434 10,696 * AES Corp. 1,679,834 10,667 McCormick & Co., Inc. 391,298 10,643 Vulcan Materials Co. 286,625 10,625 * Smith International, Inc. 288,734 10,608 Pulte Homes, Inc. 171,954 10,603 Duke Realty Corp. REIT 382,732 10,544 Tyson Foods, Inc. 991,927 10,534 * Jones Apparel Group, Inc. 359,492 10,519 C.R. Bard, Inc. 147,193 10,496 * Waters Corp. 360,084 10,489 XTO Energy, Inc. 519,214 10,441 * Mohawk Industries, Inc. 187,152 10,393 VF Corp. 305,791 10,388 * Republic Services, Inc. Class A 457,653 10,375 * NVIDIA Corp. 449,537 10,344 Equifax, Inc. 397,278 10,329 * Citizens Communications Co. 801,205 10,328 * Intersil Corp. 387,199 10,303 * Dollar Tree Stores, Inc. 324,188 10,286 iStar Financial Inc. REIT 281,140 10,262 Expeditors International of Washington, Inc. 295,806 10,247 Transatlantic Holdings, Inc. 147,917 10,228 * National Semiconductor Corp. 516,728 10,190 Scientific-Atlanta, Inc. 426,847 10,176 Freeport-McMoRan Copper & Gold, Inc. Class B 412,075 10,096 * King Pharmaceuticals, Inc. 682,882 10,079 * Westwood One, Inc. 294,046 9,977 Dow Jones & Co., Inc. 230,908 9,936 Sabre Holdings Corp. 402,835 9,930 * SPX Corp. 224,852 9,907 * Brinker International, Inc. 274,031 9,871 * Oxford Health Plans, Inc. 234,224 9,844 * IVAX Corp. 550,717 9,830 * AdvancePCS 255,578 9,771 * Citrix Systems, Inc. 477,191 9,716 * Phelps Dodge Corp. 252,458 9,679 Radian Group, Inc. 262,936 9,637 Pinnacle West Capital Corp. 256,612 9,610 * Thermo Electron Corp. 456,859 9,603 Black & Decker Corp. 219,846 9,552 Wisconsin Energy Corp. 328,978 9,540 Omnicare, Inc. 281,603 9,515 SEI Corp. 296,063 9,474 * Williams-Sonoma, Inc. 323,944 9,459 Rouse Co. REIT 248,040 9,450 * VeriSign, Inc. 677,389 9,368 * Lincare Holdings, Inc. 297,260 9,367 Ross Stores, Inc. 218,919 9,357 * Mercury Interactive Corp. 242,120 9,348 White Mountains Insurance Group Inc. 23,607 9,325 Hormel Foods Corp. 392,789 9,309 Wendy's International, Inc. 321,325 9,309 * WebMD Corp. 856,792 9,279 Pepco Holdings, Inc. 482,216 9,239 Apartment Investment & Management Co. Class A REIT 266,397 9,217 * Robert Half International, Inc. 483,989 9,167 * Pixar, Inc. 150,568 9,161 * Sanmina-SCI Corp. 1,445,919 9,124 DENTSPLY International Inc. 222,901 9,117 Doral Financial Corp. 203,840 9,101 * Teradyne, Inc. 524,857 9,085 ServiceMaster Co. 848,557 9,080 * Smurfit-Stone Container Corp. 696,350 9,073 * Cadence Design Systems, Inc. 751,517 9,063 * Career Education Corp. 132,150 9,042 Darden Restaurants Inc. 475,921 9,033 * Iron Mountain, Inc. 241,656 8,963 * Pactiv Corp. 452,770 8,924 * Ameritrade Holding Corp. 1,199,456 8,888 * Expedia Inc. 116,272 8,881 * CarMax, Inc. 293,264 8,842 Diebold, Inc. 204,353 8,838 R.J. Reynolds Tobacco Holdings, Inc. 237,387 8,833 Hillenbrand Industries, Inc. 174,780 8,818 Engelhard Corp. 355,927 8,816 * Solectron Corp. 2,335,913 8,736 * Patterson Dental Co. 192,505 8,736 * Pioneer Natural Resources Co. 333,809 8,712 * The Dun & Bradstreet Corp. 211,218 8,681 * American Power Conversion Corp. 556,581 8,677 * Level 3 Communications, Inc. 1,304,213 8,660 First Virginia Banks, Inc. 200,459 8,644 * Lear Corp. 187,419 8,625 * Metro-Goldwyn-Mayer Inc. 692,560 8,602 * E*TRADE Group, Inc. 1,011,539 8,598 Energy East Corp. 412,620 8,566 Hasbro, Inc. 488,630 8,546 * Lamar Advertising Co. Class A 242,692 8,545 Symbol Technologies, Inc. 654,610 8,516 ================================================================================ 6 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * ChoicePoint Inc. 246,147 8,497 C.H. Robinson Worldwide, Inc. 238,908 8,496 Alberto-Culver Co. Class B 165,420 8,453 Federated Investors, Inc. 307,776 8,439 International Flavors & Fragrances, Inc. 264,039 8,431 R.R. Donnelley & Sons Co. 321,692 8,409 * NVR, Inc. 20,429 8,396 * Constellation Brands, Inc. Class A 267,088 8,387 Outback Steakhouse 214,039 8,348 KB HOME 133,928 8,301 W.R. Berkley Corp. 156,542 8,250 Sunoco, Inc. 217,662 8,215 TCF Financial Corp. 205,530 8,188 Telephone & Data Systems, Inc. 164,240 8,163 Manpower Inc. 219,812 8,153 Avalonbay Communities, Inc. REIT 190,399 8,119 Hibernia Corp. Class A 445,713 8,094 SuperValu Inc. 378,297 8,065 Bunge Ltd. 281,902 8,062 * Comverse Technology, Inc. 535,300 8,046 * Whole Foods Market, Inc. 168,922 8,029 * Storage Technology Corp. 309,356 7,963 Neuberger Berman Inc. 199,361 7,956 * SanDisk Corp. 196,714 7,937 * Abercrombie & Fitch Co. 278,293 7,906 Questar Corp. 234,438 7,847 * PanAmSat Corp. 424,800 7,829 Pall Corp. 347,932 7,828 * Park Place Entertainment Corp. 857,041 7,791 * Hispanic Broadcasting Corp. 306,025 7,788 * Cooper Cameron Corp. 154,413 7,779 A.G. Edwards & Sons, Inc. 226,941 7,761 * Coventry Health Care Inc. 167,671 7,740 Fluor Corp. 230,070 7,740 Liberty Property Trust REIT 223,219 7,723 * Tellabs, Inc. 1,172,748 7,705 Diamond Offshore Drilling, Inc. 367,055 7,704 Mercantile Bankshares Corp. 195,538 7,700 * Energizer Holdings, Inc. 245,027 7,694 * JetBlue Airways Corp. 181,856 7,691 Associated Banc-Corp 208,397 7,686 Nordstrom, Inc. 386,736 7,549 * Providian Financial Corp. 814,724 7,544 * Convergys Corp. 470,852 7,534 Allied Capital Corp. 325,699 7,524 Pogo Producing Co. 175,958 7,522 The McClatchy Co. Class A 130,466 7,517 Erie Indemnity Co. Class A 182,180 7,515 * Rent-A-Center, Inc. 99,126 7,515 * First Health Group Corp. 271,186 7,485 * LSI Logic Corp. 1,056,121 7,477 Commerce Bancshares, Inc. 187,963 7,321 * Patterson-UTI Energy, Inc. 225,820 7,317 Fastenal Co. 215,509 7,314 Commerce Bancorp, Inc. 196,759 7,300 Ball Corp. 160,250 7,293 * Toys R Us, Inc. 601,373 7,289 Health Care Properties Investors REIT 171,405 7,259 Harman International Industries, Inc. 91,680 7,256 * Pride International, Inc. 382,301 7,195 * Michaels Stores, Inc. 188,652 7,180 * Markel Corp. 28,020 7,173 Equitable Resources, Inc. 175,902 7,166 * Calpine Corp. 1,085,465 7,164 * Smithfield Foods, Inc. 311,666 7,143 Fair, Isaac, Inc. 138,823 7,142 * Entercom Communications Corp. 145,680 7,140 Belo Corp. Class A 318,229 7,116 CenterPoint Energy Inc. 870,322 7,093 Student Loan Corp. 56,206 7,082 MDU Resources Group, Inc. 211,398 7,080 * Ceridian Corp. 416,876 7,074 Nuveen Investments, Inc. Class A 259,522 7,069 Mercury General Corp. 154,764 7,065 Valley National Bancorp 266,141 7,013 Deluxe Corp. 156,438 7,008 * Mid Atlantic Medical Services, Inc. 133,985 7,007 * Avaya Inc. 1,083,920 7,002 * NCR Corp. 273,269 7,001 Bemis Co., Inc. 149,353 6,990 Beckman Coulter, Inc. 171,861 6,984 * Celgene Corp. 229,530 6,978 Arthur J. Gallagher & Co. 256,499 6,977 Eastman Chemical Co. 219,833 6,962 * CIENA Corp. 1,340,485 6,957 Goodrich Corp. 330,322 6,937 NSTAR 150,776 6,868 * Humana Inc. 454,772 6,867 * Host Marriott Corp. REIT 747,342 6,838 The Stanley Works 247,460 6,830 * 99 Cents Only Stores 198,973 6,829 * SICOR, Inc. 335,311 6,820 Developers Diversified Realty Corp. REIT 239,445 6,810 * Krispy Kreme Doughnuts, Inc. 165,322 6,808 The PMI Group Inc. 253,078 6,793 The St. Joe Co. 216,834 6,765 * Hearst-Argyle Television Inc. 260,185 6,739 * Universal Health Services Class B 168,971 6,695 * PETsMART, Inc. 399,977 6,668 * ImClone Systems, Inc. 210,448 6,654 ================================================================================ 7 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Agere Systems Inc. Class A 2,830,163 6,594 * LAM Research Corp. 361,165 6,577 * Jacobs Engineering Group Inc. 155,782 6,566 Astoria Financial Corp. 234,783 6,558 * Gentex Corp. 213,670 6,540 Sonoco Products Co. 271,740 6,527 * ICOS Corp. 177,586 6,526 Allete, Inc. 245,633 6,522 Temple-Inland Inc. 151,886 6,517 * Henry Schein, Inc. 124,334 6,508 AMB Property Corp. REIT 230,743 6,500 * Rite Aid Corp. 1,451,482 6,459 Brunswick Corp. 257,648 6,446 * Cephalon, Inc. 156,073 6,424 * Manor Care, Inc. 256,570 6,417 * Getty Images, Inc. 155,289 6,413 American National Insurance Co. 74,146 6,406 The Chicago Mercantile Exchange 91,975 6,404 Puget Energy, Inc. 267,060 6,375 Northeast Utilities 380,760 6,374 * Endo Pharmaceuticals Holdings, Inc. 373,702 6,323 Leucadia National Corp. 170,179 6,317 Brown & Brown, Inc. 193,988 6,305 * Monster Worldwide Inc. 318,166 6,277 * CheckFree Corp. 225,248 6,271 * Navistar International Corp. 191,980 6,264 * Advanced Micro Devices, Inc. 972,583 6,234 * Advance Auto Parts, Inc. 102,100 6,218 * Compuware Corp. 1,077,334 6,216 City National Corp. 139,425 6,213 Noble Energy, Inc. 163,959 6,198 * BISYS Group, Inc. 337,184 6,194 * BOK Financial Corp. 159,988 6,171 Meredith Corp. 140,186 6,168 * U.S. Cellular Corp. 242,202 6,164 Chesapeake Energy Corp. 609,909 6,160 Eaton Vance Corp. 194,883 6,158 Lyondell Chemical Co. 454,605 6,151 Weingarten Realty Investors REIT 146,747 6,149 * Amkor Technology, Inc. 467,821 6,147 * Integrated Circuit Systems, Inc. 195,575 6,147 * Millipore Corp. 138,270 6,135 * GTECH Holdings Corp. 161,606 6,084 Valspar Corp. 144,078 6,083 Lafarge North America Inc. 196,850 6,083 Wesco Financial Corp. 19,447 6,067 * Vishay Intertechnology, Inc. 456,096 6,020 Waddell & Reed Financial, Inc. 234,125 6,010 National Fuel Gas Co. 230,684 6,009 International Speedway Corp. 151,969 6,004 * Corinthian Colleges, Inc. 123,380 5,993 Fulton Financial Corp. 301,184 5,985 * Rowan Cos., Inc. 267,072 5,982 Ashland, Inc. 194,812 5,977 * Newfield Exploration Co. 158,868 5,965 Regency Centers Corp. REIT 170,270 5,956 TECO Energy, Inc. 496,376 5,952 * Gemstar-TV Guide International, Inc. 1,167,018 5,940 Bowater Inc. 158,125 5,922 * Allied Waste Industries, Inc. 588,040 5,910 Mack-Cali Realty Corp. REIT 162,138 5,899 Capitol Federal Financial 208,936 5,873 * Columbia Sportswear Co. 113,735 5,847 New Plan Excel Realty Trust REIT 272,977 5,828 Forest City Enterprise Class A 140,558 5,826 * Apogent Technologies Inc. 291,144 5,823 * Western Digital Corp. 564,189 5,811 * Zebra Technologies Corp. Class A 77,038 5,792 Mandalay Resort Group 180,987 5,764 DPL Inc. 360,964 5,754 * MEMC Electronic Materials, Inc. 587,041 5,753 * Owens-Illinois, Inc. 416,891 5,741 First American Corp. 217,346 5,727 * Amylin Pharmaceuticals, Inc. 261,269 5,719 * Amphenol Corp. 121,612 5,694 * Alliant Techsystems, Inc. 109,673 5,693 Harris Corp. 189,264 5,687 J.M. Smucker Co. 142,257 5,675 * Reebok International Ltd. 168,287 5,659 Viad Corp. 252,429 5,652 Bank of Hawaii Corp. 169,852 5,631 Bausch & Lomb, Inc. 150,036 5,626 Great Plains Energy, Inc. 194,753 5,624 * Toll Brothers, Inc. 197,840 5,601 * Edwards Lifesciences Corp. 173,914 5,590 * Network Associates, Inc. 440,487 5,585 United Dominion Realty Trust REIT 321,275 5,532 Wilmington Trust Corp. 187,742 5,510 * Packaging Corp. of America 298,848 5,508 Hospitality Properties Trust REIT 176,145 5,505 * Timberland Co. 103,935 5,494 * National Instruments Corp. 144,873 5,473 Maytag Corp. 223,784 5,465 Reynolds & Reynolds Class A 191,075 5,457 CBRL Group, Inc. 140,044 5,442 Pentair, Inc. 139,256 5,439 * Invitrogen Corp. 141,694 5,437 FirstMerit Corp. 237,804 5,436 Donaldson Co., Inc. 122,197 5,432 * ADTRAN Inc. 106,460 5,432 * Education Management Corp. 101,927 5,420 ================================================================================ 8 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Catellus Development Corp. 246,245 5,417 Investors Financial Services Corp. 186,024 5,397 AVX Corp. 489,915 5,384 * Varco International, Inc. 274,575 5,382 * Fisher Scientific International Inc. 154,112 5,379 Foot Locker, Inc. 404,733 5,363 * Aramark Corp. Class B 238,686 5,351 * Community Health Systems, Inc. 276,685 5,337 * Triad Hospitals, Inc. 214,928 5,335 Pier 1 Imports Inc. 261,130 5,327 Sky Financial Group, Inc. 244,927 5,320 Dial Corp. 273,418 5,318 * National-Oilwell, Inc. 241,152 5,305 * ADC Telecommunications, Inc. 2,276,362 5,299 PepsiAmericas, Inc. 421,874 5,299 Annaly Mortgage Management Inc. REIT 265,069 5,278 * Emulex Corp. 231,549 5,272 * Del Monte Foods Co. 596,280 5,271 Hubbell Inc. Class B 159,203 5,270 Protective Life Corp. 196,954 5,269 * Viacom Inc. Class A 120,478 5,265 Circuit City Stores, Inc. 595,337 5,239 * PacifiCare Health Systems, Inc. 106,096 5,234 HCC Insurance Holdings, Inc. 176,922 5,232 * BearingPoint, Inc. 540,106 5,212 Unitrin, Inc. 192,087 5,209 * Certegy, Inc. 187,238 5,196 The Macerich Co. REIT 147,709 5,189 * Tektronix, Inc. 240,084 5,186 * Maxtor Corp. 690,243 5,184 * The Cheesecake Factory 144,083 5,171 * Applied Micro Circuits Corp. 854,496 5,170 Autodesk, Inc. 319,224 5,159 Nationwide Financial Services, Inc. 158,311 5,145 * O'Reilly Automotive, Inc. 153,001 5,109 Delta Air Lines, Inc. 347,246 5,098 Adolph Coors Co. Class B 104,044 5,096 Tidewater Inc. 173,445 5,094 * Chico's FAS, Inc. 241,156 5,076 Cabot Corp. 176,844 5,075 HON Industries, Inc. 166,018 5,064 * West Corp. 189,967 5,063 Peabody Energy Corp. 150,225 5,046 * Reliant Resources, Inc. 821,473 5,036 CONSOL Energy, Inc. 221,397 5,035 * Big Lots Inc. 333,962 5,023 People's Bank 173,044 5,017 * Foundry Networks, Inc. 346,526 4,990 Ryland Group, Inc. 71,880 4,988 Applebee's International, Inc. 158,672 4,987 Winn-Dixie Stores, Inc. 403,380 4,966 Alliant Energy Corp. 260,792 4,963 * J.D. Edwards & Co. 344,868 4,942 * International Rectifier Corp. 183,692 4,927 Colonial BancGroup, Inc. 355,072 4,925 PerkinElmer, Inc. 356,123 4,918 * AMR Corp. 446,579 4,912 Webster Financial Corp. 129,382 4,891 * Crown Castle International Corp. 628,953 4,887 Chelsea Property Group REIT 121,058 4,880 Dana Corp. 422,099 4,879 BorgWarner, Inc. 75,756 4,879 Vectren Corp. 194,592 4,875 * NTL Inc. 142,800 4,872 * 3Com Corp. 1,037,348 4,855 Harte-Hanks, Inc. 255,280 4,850 OGE Energy Corp. 226,943 4,850 Snap-On Inc. 167,011 4,848 Clayton Homes Inc. 386,182 4,847 * Kinder Morgan Management, LLC 128,697 4,821 * Renal Care Group, Inc. 136,649 4,811 * Performance Food Group Co. 130,011 4,810 * American Tower Corp. Class A 543,241 4,808 * McDATA Corp. Class A 327,683 4,807 Trizec Properties, Inc. REIT 422,364 4,802 Hawaiian Electric Industries Inc. 104,738 4,802 Teleflex Inc. 112,702 4,795 United States Steel Corp. 291,168 4,766 * Sirius Satellite Radio, Inc. 2,818,749 4,764 Philadelphia Suburban Corp. 195,220 4,759 Roslyn Bancorp, Inc. 221,463 4,759 Talbots Inc. 161,476 4,755 Arden Realty Group, Inc. REIT 182,357 4,732 * Quintiles Transnational Corp. 332,855 4,723 Cullen/Frost Bankers, Inc. 147,078 4,721 Martin Marietta Materials, Inc. 140,310 4,716 * Human Genome Sciences, Inc. 370,285 4,710 Lee Enterprises, Inc. 125,470 4,709 NICOR Inc. 126,294 4,687 * Ingram Micro, Inc. Class A 425,644 4,682 * DeVry, Inc. 200,337 4,666 Crescent Real Estate, Inc. REIT 279,998 4,651 Precision Castparts Corp. 148,840 4,629 * DaVita, Inc. 172,478 4,619 Raymond James Financial, Inc. 138,953 4,592 Independence Community Bank Corp. 162,409 4,583 Lubrizol Corp. 147,618 4,575 * Pharmaceutical Resources, Inc. 93,932 4,571 Washington Federal Inc. 197,498 4,568 Tootsie Roll Industries, Inc. 149,664 4,563 John Wiley & Sons Class A 173,662 4,550 Ryder System, Inc. 177,393 4,545 ================================================================================ 9 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- American Financial Group, Inc. 199,332 4,545 AGL Resources Inc. 178,559 4,543 * Rambus Inc. 273,974 4,540 BancorpSouth, Inc. 217,631 4,538 * STERIS Corp. 195,886 4,523 Reinsurance Group of America, Inc. 140,380 4,506 * Pharmaceutical Product Development, Inc. 156,727 4,503 ICN Pharmaceuticals, Inc. 267,790 4,488 Ruby Tuesday, Inc. 180,976 4,476 RPM International, Inc. 325,421 4,475 Pan Pacific Retail Properties, Inc. REIT 113,498 4,466 * Scotts Co. 90,187 4,464 Friedman, Billings, Ramsey Group, Inc. 332,679 4,458 Federal Realty Investment Trust REIT 138,849 4,443 * Stericycle, Inc. 115,350 4,439 * Neurocrine Biosciences, Inc. 88,750 4,432 Peoples Energy Corp. 103,052 4,420 Jack Henry & Associates Inc. 248,206 4,416 Medicis Pharmaceutical Corp. 77,848 4,414 * Kmart Holding Corp. 163,150 4,413 Dynegy, Inc. 1,050,319 4,411 * Interactive Data Corp. 260,550 4,403 * Andrx Group 221,096 4,400 Park National Corp. 38,497 4,398 * Eon Labs, Inc. 125,061 4,396 * Swift Transportation Co., Inc. 235,598 4,387 * Agere Systems Inc. Class B 1,900,700 4,372 * Sepracor Inc. 241,602 4,356 StanCorp Financial Group, Inc. 83,131 4,341 * Arrow Electronics, Inc. 284,662 4,338 Hudson United Bancorp 126,958 4,336 * The Corporate Executive Board Co. 106,179 4,334 BRE Properties Inc. Class A REIT 130,236 4,324 * Barnes & Noble, Inc. 186,987 4,310 * AmeriCredit Corp. 503,897 4,308 * Tech Data Corp. 161,084 4,303 Trustmark Corp. 168,659 4,296 * Westport Resources Corp. 188,801 4,295 * Cognizant Technology Solutions Corp. 175,372 4,272 * Avnet, Inc. 336,569 4,268 * Cypress Semiconductor Corp. 354,914 4,259 * Brocade Communications Systems, Inc. 718,747 4,233 The Timken Co. 241,699 4,232 * Fairchild Semiconductor International, Inc. 330,469 4,227 Harsco Corp. 116,765 4,209 Cummins Inc. 117,187 4,206 Herman Miller, Inc. 208,096 4,206 Flagstar Bancorp, Inc. 171,838 4,201 * Alleghany Corp. 21,905 4,184 ONEOK, Inc. 212,850 4,178 * J.B. Hunt Transport Services, Inc. 110,670 4,178 Thornburg Mortgage, Inc. REIT 168,620 4,165 Mills Corp. REIT 123,941 4,158 * Furniture Brands International Inc. 159,185 4,155 FactSet Research Systems Inc. 94,226 4,151 * Cincinnati Bell Inc. 616,243 4,129 Helmerich & Payne, Inc. 141,191 4,123 CarrAmerica Realty Corp. REIT 148,111 4,119 * Charles River Laboratories, Inc. 127,743 4,111 Graco, Inc. 128,403 4,109 * Grant Prideco, Inc. 349,118 4,102 Fresh Del Monte Produce Inc. 159,461 4,097 Old National Bancorp 178,060 4,095 * Glamis Gold, Ltd. 356,225 4,086 * Station Casinos, Inc. 161,373 4,075 Westamerica Bancorporation 94,482 4,070 CenterPoint Properties Corp. REIT 65,546 4,015 IndyMac Bancorp, Inc. REIT 157,564 4,005 * Key Energy Services, Inc. 372,818 3,997 * Bio-Rad Laboratories, Inc. Class A 71,828 3,976 * NBTY, Inc. 188,595 3,972 MDC Holdings, Inc. 82,220 3,970 Lancaster Colony Corp. 102,282 3,954 * Avocent Corp. 132,103 3,954 * Apria Healthcare Group Inc. 158,659 3,947 * Borders Group, Inc. 223,821 3,942 Polaris Industries, Inc. 64,140 3,938 * The Neiman Marcus Group, Inc. Class A 107,317 3,928 Boise Cascade Corp. 164,073 3,921 * Polycom, Inc. 282,572 3,916 * WFS Financial, Inc. 116,808 3,914 Rayonier Inc. 118,608 3,914 * Advanced Fibre Communications, Inc. 240,531 3,913 * FMC Technologies Inc. 185,365 3,902 * Saks Inc. 402,250 3,902 International Bancshares Corp. 109,477 3,893 ArvinMeritor, Inc. 192,733 3,889 Camden Property Trust REIT 110,877 3,875 F.N.B. Corp. 127,820 3,868 American Capital Strategies, Ltd. 155,083 3,868 Odyssey Re Holdings Corp. 183,305 3,868 First Midwest Bancorp, Inc. 134,166 3,865 Imation Corp. 101,675 3,845 * Acxiom Corp. 254,695 3,843 Werner Enterprises, Inc. 180,702 3,831 ================================================================================ 10 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- UGI Corp. Holding Co. 120,731 3,827 Crane Co. 168,585 3,815 Cousins Properties, Inc. REIT 136,561 3,810 Jefferies Group, Inc. 76,170 3,793 Western Gas Resources, Inc. 95,673 3,789 Church & Dwight, Inc. 115,404 3,777 Media General, Inc. Class A 66,006 3,776 * ITT Educational Services, Inc. 128,998 3,773 Realty Income Corp. REIT 99,004 3,770 * Valassis Communications, Inc. 146,528 3,769 Ethan Allen Interiors, Inc. 107,109 3,766 Seagate Technology 213,245 3,764 * Protein Design Labs, Inc. 268,999 3,761 * Cytec Industries, Inc. 111,167 3,757 * Macromedia, Inc. 178,239 3,750 Reader's Digest Association, Inc. 278,191 3,750 * Interdigital Communications Corp. 159,986 3,739 * XM Satellite Radio Holdings, Inc. 338,124 3,736 WPS Resources Corp. 92,735 3,728 Global Payments Inc. 104,483 3,709 CMS Energy Corp. 457,774 3,708 WGL Holdings Inc. 138,837 3,707 * Sybase, Inc. 266,405 3,706 * Affiliated Managers Group, Inc. 60,557 3,691 * Silicon Laboratories Inc. 138,359 3,686 * American Greetings Corp. Class A 187,552 3,684 * Red Hat, Inc. 486,448 3,682 HRPT Properties Trust REIT 399,522 3,676 * Activision, Inc. 284,110 3,671 * AnnTaylor Stores Corp. 126,785 3,670 * ResMed Inc. 93,532 3,666 Cooper Tire & Rubber Co. 208,023 3,659 IKON Office Solutions, Inc. 410,983 3,658 AptarGroup Inc. 101,570 3,657 Whitney Holdings Corp. 114,291 3,654 Carlisle Co., Inc. 86,589 3,651 * American Eagle Outfitters, Inc. 201,420 3,650 CBL & Associates Properties, Inc. REIT 84,729 3,643 Piedmont Natural Gas, Inc. 93,733 3,638 CNF Inc. 142,898 3,627 * Zale Corp. 90,489 3,620 * AGCO Corp. 211,591 3,614 * Nextel Partners, Inc. 494,526 3,610 * P.F. Chang's China Bistro, Inc. 73,000 3,592 * Extended Stay America, Inc. 265,900 3,587 * The Yankee Candle Co., Inc. 154,202 3,581 La-Z-Boy Inc. 159,785 3,576 * DoubleClick Inc. 386,287 3,573 Regis Corp. 122,800 3,567 * Respironics, Inc. 95,035 3,566 The MONY Group Inc. 132,285 3,565 Valhi, Inc. 368,700 3,547 * Marvel Enterprises Inc. 185,522 3,543 Provident Financial Group, Inc. 137,989 3,537 Blyth, Inc. 129,645 3,526 * Cabot Microelectronics Corp. 69,816 3,524 LaBranche & Co. Inc. 170,115 3,520 First Industrial Realty Trust REIT 111,120 3,511 * Techne Corp. 115,707 3,511 * Emmis Communications, Inc. 152,903 3,509 * OSI Pharmaceuticals, Inc. 108,921 3,508 * Perot Systems Corp. 308,363 3,503 * Overture Services, Inc. 193,196 3,503 Claire's Stores, Inc. 137,818 3,495 * Cytyc Corp. 330,811 3,480 Atmos Energy Corp. 140,237 3,478 Arch Coal, Inc. 151,328 3,478 Healthcare Realty Trust Inc. REIT 119,166 3,474 * Flowserve Corp. 176,047 3,463 * Hyperion Solutions Corp. 102,518 3,461 Health Care Inc. REIT 113,468 3,461 Shurgard Storage Centers, Inc. Class A REIT 104,260 3,449 * Earthlink, Inc. 436,915 3,447 * United Stationers, Inc. 95,154 3,442 * GlobespanVirata, Inc. 417,030 3,440 * Veridian Corp. 98,579 3,439 * Pacific Sunwear of California, Inc. 142,248 3,427 * Atmel Corp. 1,352,765 3,423 Essex Property Trust, Inc. REIT 59,724 3,419 Pacific Capital Bancorp 97,552 3,419 UCBH Holdings, Inc. 119,210 3,419 Roper Industries Inc. 91,796 3,415 * Forest Oil Corp. 135,797 3,411 Ametek, Inc. 93,061 3,411 Airgas, Inc. 203,488 3,408 * Hovnanian Enterprises Class A 57,656 3,399 * Charter Communications, Inc. 855,653 3,397 * American Axle & Manufacturing Holdings, Inc. 141,787 3,389 * Gateway, Inc. 928,396 3,389 Highwood Properties, Inc. REIT 151,751 3,384 * INAMED Corp. 63,000 3,382 * Cree, Inc. 207,748 3,382 Ventas, Inc. REIT 223,188 3,381 Kennametal, Inc. 99,877 3,380 * Crown Holdings, Inc. 473,137 3,378 United Bankshares, Inc. 117,572 3,368 * Panera Bread Co. 83,924 3,357 Energen Corp. 100,795 3,356 * Accredo Health, Inc. 153,489 3,346 * Take-Two Interactive Software, Inc. 117,965 3,343 ================================================================================ 11 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Florida Rock Industries, Inc. 80,959 3,342 Regal Entertainment Group Class A 141,688 3,341 * Martek Biosciences Corp. 77,739 3,338 * Meridian Gold Co. 290,516 3,338 IDEX Corp. 92,103 3,338 * Sonus Networks, Inc. 663,257 3,336 Diagnostic Products Corp. 81,260 3,336 * Mirant Corp. 1,149,961 3,335 * Select Medical Corp. 134,078 3,329 * IDEXX Laboratories Corp. 98,769 3,327 * Varian, Inc. 95,861 3,324 Thor Industries, Inc. 81,392 3,322 Prentiss Properties Trust REIT 110,782 3,322 Staten Island Bancorp, Inc. 170,494 3,321 * Affymetrix, Inc. 168,239 3,316 * United Online, Inc. 130,816 3,315 Allegheny Energy, Inc. 391,859 3,311 Commerce Group, Inc. 91,357 3,307 Polo Ralph Lauren Corp. 127,910 3,299 Citizens Banking Corp. 122,980 3,292 * Scholastic Corp. 110,468 3,290 Albemarle Corp. 117,604 3,289 Westar Energy, Inc. 202,666 3,289 Superior Industries International, Inc. 78,857 3,288 * Integrated Device Technology Inc. 297,327 3,285 * Service Corp. International 848,694 3,284 W Holding Co., Inc. 193,437 3,273 Worthington Industries, Inc. 244,134 3,271 Skywest, Inc. 171,543 3,270 * Premcor, Inc. 151,650 3,268 Downey Financial Corp. 79,114 3,267 * Southern Union Co. 192,406 3,259 Hilb, Rogal and Hamilton Co. 95,588 3,254 * Genta Inc. 243,169 3,239 Dillard's Inc. 240,303 3,237 * Fidelity National Information Solutions, Inc. 123,949 3,233 * Louisiana-Pacific Corp. 298,143 3,232 DQE Inc. 213,138 3,212 * Novell, Inc. 1,040,139 3,204 Speedway Motorsports, Inc. 119,098 3,192 * Cymer, Inc. 99,707 3,192 Heritage Property Investment Trust REIT 117,830 3,191 * Conexant Systems, Inc. 758,730 3,179 * Tom Brown, Inc. 114,165 3,173 * Vertex Pharmaceuticals, Inc. 216,867 3,166 Westcorp, Inc. 112,895 3,161 * Electronics for Imaging, Inc. 155,771 3,161 21st Century Insurance Group 220,737 3,157 * Hercules, Inc. 318,606 3,154 * R.H. Donnelley Corp. 86,472 3,154 * Heartland Express, Inc. 141,582 3,150 Alpharma, Inc. Class A 145,709 3,147 * Quest Software, Inc. 264,357 3,146 New Century Financial Corp. 72,056 3,145 * Stone Energy Corp. 75,016 3,145 Briggs & Stratton Corp. 62,223 3,142 * Fossil, Inc. 133,323 3,141 * Kroll Inc. 116,041 3,140 * Vitesse Semiconductor Corp. 638,146 3,140 Perrigo Co. 200,598 3,137 The South Financial Group, Inc. 134,450 3,137 * Covance, Inc. 172,973 3,131 * RF Micro Devices, Inc. 519,827 3,129 AmerUs Group Co. 110,911 3,127 * Siliconix, Inc. 86,480 3,122 First BanCorp Puerto Rico 113,704 3,121 * Southwest Bancorporation of Texas, Inc. 95,990 3,121 * Mentor Graphics Corp. 215,238 3,117 Alexander & Baldwin, Inc. 117,414 3,115 * Boyd Gaming Corp. 180,342 3,113 * Beazer Homes USA, Inc. 37,234 3,109 Sensient Technologies Corp. 135,112 3,106 Patina Oil & Gas Corp. 96,474 3,102 * 7-Eleven, Inc. 293,956 3,101 First Citizens BancShares Class A 30,738 3,100 Standard Pacific Corp. 93,031 3,085 SL Green Realty Corp. REIT 88,342 3,082 * RealNetworks, Inc. 454,316 3,080 * Intergraph Corp. 143,096 3,077 * Ultra Petroleum Corp. 237,947 3,072 * TIBCO Software Inc. 601,837 3,063 * Houston Exploration Co. 88,111 3,057 Cooper Cos., Inc. 87,643 3,047 * Northwest Airlines Corp. Class A 269,774 3,046 Corn Products International, Inc. 101,318 3,043 * Evergreen Resources, Inc. 55,953 3,039 Community First Bankshares, Inc. 111,303 3,039 Universal Corp. (VA) 71,773 3,036 * United Rentals, Inc. 218,470 3,035 * Plantronics, Inc. 139,801 3,029 * Avid Technology, Inc. 86,356 3,029 Washington REIT 111,038 3,020 * Macrovision Corp. 151,562 3,019 * Arbitron Inc. 84,310 3,010 PNM Resources Inc. 112,500 3,009 * Tuesday Morning Corp. 114,279 3,006 Greater Bay Bancorp 146,224 3,003 * Sycamore Networks, Inc. 779,559 2,986 * Genencor International Inc. 181,196 2,984 ================================================================================ 12 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Documentum, Inc. 151,672 2,983 * Sylvan Learning Systems, Inc. 130,205 2,974 * FLIR Systems, Inc. 98,396 2,967 * BJ's Wholesale Club, Inc. 196,946 2,966 * Hollywood Entertainment Corp. 172,357 2,965 * Commonwealth Telephone Enterprises, Inc. 67,416 2,964 * Gen-Probe Inc. 72,264 2,953 * Terex Corp. 150,999 2,948 Fremont General Corp. 214,945 2,945 * Cimarex Energy Co. 123,864 2,942 * Linens 'n Things, Inc. 124,573 2,941 * Semtech Corp. 206,435 2,940 Oshkosh Truck Corp. 49,482 2,935 Equity One, Inc. REIT 178,867 2,933 * FTI Consulting, Inc. 117,091 2,924 Great Lakes Chemical Corp. 142,498 2,907 First Niagara Financial Group, Inc. 208,071 2,905 * Odyssey Healthcare, Inc. 78,432 2,902 * Christopher & Banks Corp. 78,358 2,898 * Kronos, Inc. 56,915 2,892 * Ascential Software Corp. 175,658 2,888 Texas Regional Bancshares, Inc. 83,188 2,887 Airborne, Inc. 138,027 2,885 * Sybron Dental Specialties, Inc. 122,187 2,884 * CNET Networks, Inc. 462,657 2,882 Invacare Corp. 87,216 2,878 * Varian Semiconductor Equipment Associates, Inc. 96,642 2,876 Post Properties, Inc. REIT 108,216 2,868 * Abgenix, Inc. 273,189 2,866 Chittenden Corp. 104,527 2,859 Fred's, Inc. 76,786 2,855 * Sonic Corp. 112,168 2,852 Black Hills Corp. 92,881 2,851 * Ligand Pharmaceuticals Inc. Class B 209,385 2,846 Callaway Golf Co. 215,209 2,845 * CACI International, Inc. 82,860 2,842 Alfa Corp. 223,504 2,841 * CEC Entertainment Inc. 76,799 2,836 IDACORP, Inc. 107,962 2,834 * Landstar System, Inc. 45,066 2,832 Massey Energy Co. 215,340 2,832 Reckson Associates Realty Corp. REIT 135,748 2,832 * VISX Inc. 163,058 2,829 Minerals Technologies, Inc. 58,014 2,823 * Pediatrix Medical Group, Inc. 79,150 2,822 Olin Corp. 164,723 2,817 * Legato Systems, Inc. 335,549 2,815 The Toro Co. 70,784 2,814 * Continental Airlines, Inc. Class B 187,563 2,808 Home Properties of New York, Inc. REIT 79,516 2,802 * Tractor Supply Co. 58,670 2,801 * NetIQ Corp. 180,584 2,792 Chateau Communities, Inc. REIT 94,349 2,792 * Waste Connections, Inc. 79,631 2,791 * Anteon International Corp. 99,614 2,780 * United Auto Group, Inc. 127,559 2,778 * Trimeris, Inc. 60,811 2,778 * Choice Hotel International, Inc. 101,606 2,775 * ADVO, Inc. 62,280 2,765 * Arch Capital Group Ltd. 79,406 2,758 Taubman Co. REIT 143,434 2,748 New Jersey Resources Corp. 77,397 2,748 Bob Evans Farms, Inc. 99,397 2,746 * NPS Pharmaceuticals Inc. 112,802 2,746 Grey Global Group Inc. 3,554 2,746 Delphi Financial Group, Inc. 58,584 2,742 * Cox Radio, Inc. 118,596 2,741 Clarcor Inc. 70,955 2,735 Arrow International, Inc. 61,878 2,732 * Entegris Inc. 203,264 2,732 * Dionex Corp. 68,578 2,726 * ExpressJet Holdings, Inc. 180,513 2,726 MacDermid, Inc. 103,507 2,722 * K-V Pharmaceutical Co. Class A 97,760 2,718 * Cognex Corp. 121,515 2,716 * Alliance Gaming Corp. 143,490 2,713 * Entravision Communications Corp. 239,042 2,713 * USG Corp. 142,573 2,709 * Allmerica Financial Corp. 150,560 2,709 * Radio One, Inc. Class D 152,170 2,704 * Micrel, Inc. 259,666 2,698 * Silicon Valley Bancshares 113,277 2,697 * Hot Topic, Inc. 99,956 2,690 * Catalina Marketing Corp. 152,358 2,689 Commercial Federal Corp. 126,659 2,685 * Cumulus Media Inc. 141,825 2,685 Impac Mortgage Holdings, Inc. REIT 160,500 2,679 York International Corp. 114,429 2,678 * Thoratec Corp. 179,539 2,675 Hollinger International, Inc. 248,227 2,673 * CTI Molecular Imaging, Inc. 141,353 2,673 * Skyworks Solutions, Inc. 393,708 2,665 * Lattice Semiconductor Corp. 323,551 2,663 * Western Wireless Corp. Class A 230,624 2,659 * Cal Dive International, Inc. 121,935 2,658 * Jack in the Box Inc. 119,004 2,654 * Dade Behring Holdings Inc. 115,525 2,654 * Keane, Inc. 194,369 2,649 ================================================================================ 13 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Susquehanna Bancshares, Inc. 113,410 2,648 * Adaptec, Inc. 339,952 2,645 * Spinnaker Exploration Co. 100,852 2,642 * Knight Transportation, Inc. 106,056 2,641 * Mueller Industries Inc. 97,261 2,637 * MKS Instruments, Inc. 145,784 2,634 * The Medicines Co. 133,672 2,632 The Phoenix Cos., Inc. 291,388 2,631 Cathay Bancorp, Inc. 58,938 2,628 * Priceline.com, Inc. 117,350 2,627 * Dycom Industries, Inc. 160,995 2,624 * Unit Corp. 125,361 2,621 Kellwood Co. 82,871 2,621 Visteon Corp. 381,235 2,619 * Tetra Tech, Inc. 152,743 2,616 * Oakley, Inc. 222,074 2,614 * OfficeMax, Inc. 398,927 2,613 * SCP Pool Corp. 75,911 2,611 The Goodyear Tire & Rubber Co. 495,867 2,603 Flowers Foods, Inc. 131,697 2,602 * The Titan Corp. 252,507 2,598 * Exult Inc. 303,104 2,598 UMB Financial Corp. 61,223 2,596 * FMC Corp. 114,472 2,591 * Quiksilver, Inc. 156,830 2,586 * VCA Antech, Inc. 132,108 2,585 Brandywine Realty Trust REIT 104,838 2,581 Ferro Corp. 114,460 2,579 * Maverick Tube Corp. 134,618 2,578 * Andrew Corp. 279,679 2,573 * ATMI, Inc. 103,044 2,573 Senior Housing Properties Trust REIT 189,736 2,573 Colonial Properties Trust REIT 73,095 2,572 * Cobalt Corp. 125,139 2,572 * Parametric Technology Corp. 842,372 2,569 * Hutchinson Technology, Inc. 78,043 2,567 Granite Construction Co. 133,929 2,566 State Auto Financial Corp. 114,225 2,564 * CV Therapeutics, Inc. 86,262 2,559 Cleco Corp. 147,641 2,557 Wolverine World Wide, Inc. 132,555 2,553 * Radio One, Inc. 142,576 2,546 Manufactured Home Communities, Inc. REIT 72,513 2,546 Nationwide Health Properties, Inc. REIT 159,768 2,545 * Simpson Manufacturing Co. 69,500 2,544 Mentor Corp. 131,196 2,543 The Brink's Co. 174,398 2,541 Albany International Corp. 92,335 2,530 * PRIMEDIA Inc. 829,275 2,529 * Philadelphia Consolidated Holding Corp. 62,533 2,526 * AirTran Holdings, Inc. 241,283 2,526 * Cost Plus, Inc. 70,801 2,525 Hughes Supply, Inc. 72,616 2,520 * Aeropostale, Inc. 117,268 2,519 * Mediacom Communications Corp. 255,201 2,519 Acuity Brands, Inc. 138,554 2,518 * AMERIGROUP Corp. 67,600 2,515 Owens & Minor, Inc. Holding Co. 112,507 2,515 * Investment Technology Group, Inc. 135,170 2,514 Matthews International Corp. 101,294 2,508 LandAmerica Financial Group, Inc. 52,740 2,505 * SERENA Software, Inc. 119,782 2,501 Cabot Oil & Gas Corp. 90,467 2,498 * Corrections Corp. of America REIT 98,438 2,493 * Copart, Inc. 263,731 2,492 Kilroy Realty Corp. REIT 90,419 2,487 * Manhattan Associates, Inc. 95,718 2,486 St. Mary Land & Exploration Co. 91,021 2,485 * Hanover Compressor Co. 219,812 2,484 Glimcher Realty Trust REIT 110,804 2,482 ABM Industries Inc. 161,168 2,482 * Benchmark Electronics, Inc. 80,680 2,482 Strayer Education, Inc. 31,221 2,481 * Wilson Greatbatch Technologies, Inc. 68,600 2,476 * Cerner Corp. 107,826 2,475 Capital Automotive REIT 88,346 2,473 Lincoln Electric Holdings, Inc. 121,103 2,472 * CSG Systems International, Inc. 174,889 2,471 * KEMET Corp. 244,351 2,468 East West Bancorp, Inc. 68,278 2,468 Russ Berrie and Co., Inc. 67,580 2,467 MAF Bancorp, Inc. 66,497 2,465 PS Business Parks, Inc. REIT 69,705 2,461 * Men's Wearhouse, Inc. 112,459 2,457 Overseas Shipholding Group Inc. 111,514 2,454 LNR Property Corp. 65,580 2,453 * Anixter International Inc. 104,520 2,449 * MedQuist, Inc. 120,757 2,444 * BlackRock, Inc. 54,240 2,443 Alexandria Real Estate Equities, Inc. REIT 54,100 2,435 * Rare Hospitality International Inc. 74,453 2,433 * WCI Communities, Inc. 126,340 2,430 * Payless ShoeSource, Inc. 194,110 2,426 * Group 1 Automotive, Inc. 74,830 2,425 * Biosite Inc. 50,384 2,423 * Penn National Gaming, Inc. 117,877 2,422 * Denbury Resources, Inc. 180,328 2,422 * ProAssurance Corp. 89,500 2,416 ================================================================================ 14 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Journal Register Co. 133,506 2,415 Ruddick Corp. 153,497 2,413 John H. Harland Co. 92,202 2,412 Trinity Industries, Inc. 130,211 2,410 CVB Financial Corp. 123,401 2,409 Weis Markets, Inc. 77,594 2,407 * EMCOR Group, Inc. 48,748 2,406 Hugoton Royalty Trust 130,700 2,405 Potlatch Corp. 93,384 2,405 Rollins, Inc. 127,391 2,401 Kelly Services, Inc. Class A 102,371 2,401 * American Italian Pasta Co. 57,623 2,400 * Ralcorp Holdings, Inc. 96,145 2,400 * Applera Corp.-Celera Genomics Group 232,495 2,399 Delta & Pine Land Co. 109,038 2,397 Federal Signal Corp. 136,258 2,394 Irwin Financial Corp. 92,351 2,392 * Kansas City Southern 198,666 2,390 * Thomas & Betts Corp. 165,120 2,386 Gables Residential Trust REIT 78,908 2,385 Hancock Holding Co. 50,686 2,385 Vintage Petroleum, Inc. 211,331 2,384 * ProQuest Co. 92,356 2,383 Tupperware Corp. 165,857 2,382 * LifePoint Hospitals, Inc. 113,716 2,381 * American Financial Realty Trust REIT 159,600 2,380 First Commonwealth Financial Corp. 183,474 2,378 * Leapfrog Enterprises, Inc. 74,700 2,376 * OmniVision Technologies, Inc. 76,100 2,374 R.L.I. Corp. 72,050 2,370 USF Corp. 87,882 2,370 * THQ Inc. 131,585 2,369 CH Energy Group, Inc. 52,604 2,367 Brookline Bancorp, Inc. 168,747 2,363 * Knight Trading Group, Inc. 379,732 2,362 S & T Bancorp, Inc. 86,046 2,360 * Internet Security Systems, Inc. 162,802 2,359 TrustCo Bank NY 212,689 2,357 * National Processing, Inc. 146,515 2,356 * Tanox, Inc. 146,728 2,355 Banta Corp. 72,547 2,348 * Ohio Casualty Corp. 178,140 2,348 * SEACOR SMIT Inc. 64,309 2,347 * Quanta Services, Inc. 330,371 2,346 * Regeneron Pharmaceuticals, Inc. 148,918 2,345 First Financial Bancorp 146,533 2,345 * Urban Outfitters, Inc. 65,207 2,341 Winnebago Industries, Inc. 61,748 2,340 A.O. Smith Corp. 82,986 2,336 * Integra LifeSciences Holdings 88,511 2,335 Casey's General Stores, Inc. 165,086 2,334 * WilTel Communications, Inc. 157,711 2,325 * Barra, Inc. 65,088 2,324 * Too Inc. 114,703 2,323 Chemical Financial Corp. 77,943 2,323 * Price Communications Corp. 179,529 2,318 Sun Communities, Inc. REIT 58,960 2,317 * Coherent, Inc. 97,776 2,315 Nordson Corp. 96,914 2,311 * Progress Software Corp. 111,458 2,311 Bank Mutual Corp. 70,970 2,307 * Vicuron Pharmaceuticals Inc. 162,608 2,306 * Priority Healthcare Corp. Class B 124,171 2,303 * Watson Wyatt & Co. Holdings 99,100 2,297 * Borland Software Corp. 235,072 2,297 * Trimble Navigation Ltd. 100,030 2,294 Crompton Corp. 325,113 2,292 Centex Construction Products, Inc. 57,108 2,290 * Renaissance Learning, Inc. 104,442 2,287 Northwest Natural Gas Co. 83,802 2,284 GATX Corp. 139,524 2,281 Avista Corp. 160,793 2,275 * Alkermes, Inc. 211,538 2,274 * Power Integrations, Inc. 93,449 2,273 Black Box Corp. 62,728 2,271 * Ariba, Inc. 763,009 2,266 IHOP Corp. 71,598 2,260 * Superior Energy Services, Inc. 238,270 2,259 * Tekelec 199,885 2,259 Redwood Trust, Inc. REIT 56,582 2,258 Novastar Financial, Inc. REIT 37,700 2,253 Corus Bankshares Inc. 46,473 2,251 Liberty Corp. 52,892 2,248 * Inveresk Research Group Inc. 123,900 2,243 NL Industries, Inc. 131,722 2,239 * Lin TV Corp. 95,000 2,237 Reliance Steel & Aluminum Co. 108,079 2,237 * EGL, Inc. 146,982 2,234 IMC Global Inc. 332,793 2,233 * Quantum Corp. 550,158 2,228 * Meritage Corp. 45,054 2,219 * Alaris Medical, Inc. 171,300 2,218 * FileNET Corp. 122,821 2,216 * Insight Communications Co., Inc. 167,508 2,208 * MGI Pharma, Inc. 86,117 2,207 Burlington Coat Factory Warehouse Corp. 123,210 2,206 * Guitar Center, Inc. 76,000 2,204 Net.Bank, Inc. 166,950 2,197 Dime Community Bancshares 86,199 2,194 Brady Corp. Class A 65,728 2,192 ================================================================================ 15 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Landry's Restaurants, Inc. 92,759 2,189 * Pinnacle Systems, Inc. 204,304 2,186 * Steel Dynamics, Inc. 159,226 2,181 * Kirby Corp. 77,300 2,180 Republic Bancorp, Inc. 162,287 2,178 * Exar Corp. 137,163 2,171 Farmer Brothers, Inc. 6,389 2,168 Horace Mann Educators Corp. 133,993 2,161 Modine Manufacturing Co. 111,538 2,160 BankAtlantic Bancorp, Inc. Class A 181,236 2,155 * Digital Insight Corp. 112,826 2,149 * US Oncology, Inc. 290,339 2,146 * RSA Security Inc. 199,382 2,143 Selective Insurance Group 85,553 2,143 * Universal Compression Holdings, Inc. 102,426 2,137 Longs Drug Stores, Inc. 128,663 2,136 * Grey Wolf, Inc. 527,991 2,133 Analogic Corp. 43,524 2,122 * AmSurg Corp. 69,299 2,114 * Enzo Biochem, Inc. 98,189 2,113 NDCHealth Corp. 114,969 2,110 * Advanced Neuromodulation Systems, Inc. 40,700 2,107 Provident Bankshares Corp. 82,644 2,100 * Six Flags, Inc. 309,643 2,099 * Oceaneering International, Inc. 82,149 2,099 UniSource Energy Corp. 111,483 2,096 MB Financial, Inc. 52,332 2,095 * American Management Systems, Inc. 146,692 2,095 H.B. Fuller Co. 95,079 2,094 G & K Services, Inc. Class A 70,696 2,093 Commercial Net Lease Realty REIT 121,299 2,091 * Ryan's Family Steak Houses, Inc. 149,346 2,091 Kaydon Corp. 100,484 2,090 Engineered Support Systems, Inc. 49,930 2,090 Northwest Bancorp, Inc. 130,538 2,089 * Verint Systems Inc. 82,100 2,086 * IGEN International, Inc. 66,374 2,084 * Triarc Cos., Inc. Class A 69,462 2,083 * LendingTree, Inc. 84,997 2,081 * FEI Co. 110,837 2,079 Georgia Gulf Corp. 104,988 2,079 Cambrex Corp. 90,257 2,078 Spartech Corp. 97,780 2,074 * United Surgical Partners International, Inc. 91,749 2,073 Waypoint Financial Corp. 114,764 2,070 Lennox International Inc. 160,546 2,066 * DRS Technologies, Inc. 73,948 2,065 * The Advisory Board Co. 50,880 2,062 * Micromuse Inc. 257,585 2,058 * Argosy Gaming Co. 98,381 2,057 Southwest Gas Corp. 97,118 2,057 * CUNO Inc. 56,935 2,057 * MSC Industrial Direct Co., Inc. Class A 114,861 2,056 * Wright Medical Group, Inc. 108,085 2,054 * Wynn Resorts Ltd. 116,080 2,053 Russell Corp. 107,916 2,050 * Hydrill Co. 75,200 2,049 * Electronics Boutique Holdings Corp. 88,537 2,046 Blockbuster Inc. Class A 121,155 2,042 * Axcelis Technologies, Inc. 333,461 2,041 Pacific Northwest Bancorp 58,652 2,039 Alabama National BanCorporation 41,977 2,035 * Advanced Digital Information Corp. 203,449 2,032 * First Federal Financial Corp. 57,531 2,030 Franklin Electric, Inc. 36,425 2,027 * Telik, Inc. 126,100 2,026 * MICROS Systems, Inc. 61,443 2,026 Harleysville Group, Inc. 88,018 2,026 * BioMarin Pharmaceutical Inc. 207,436 2,025 * Movie Gallery, Inc. 109,572 2,022 USEC Inc. 287,881 2,021 * Yellow Corp. 87,086 2,016 Interstate Bakeries Corp. 158,049 2,007 * Technitrol, Inc. 133,362 2,007 * Aztar Corp. 124,015 1,998 K-Swiss, Inc. 57,820 1,996 Anchor Bancorp Wisconsin Inc. 83,539 1,996 Cubic Corp. 89,707 1,993 M/I Schottenstein Homes, Inc. 46,700 1,993 * Lone Star Technologies, Inc. 94,031 1,992 NBT Bancorp, Inc. 102,901 1,991 * DSP Group Inc. 92,422 1,990 * Oil States International, Inc. 164,200 1,987 * Newport Corp. 133,986 1,983 Mine Safety Appliances Co. 45,451 1,983 * BankUnited Financial Corp. 98,333 1,981 * Chiquita Brands International, Inc. 136,582 1,980 Millennium Chemicals, Inc. 208,150 1,980 * Gaylord Entertainment Co. Class A 101,031 1,977 * UNOVA, Inc. 177,936 1,975 Anthracite Capital Inc. REIT 163,602 1,973 * MPS Group, Inc. 286,655 1,972 * WebEx Communications, Inc. 141,224 1,970 * UICI 130,615 1,968 Otter Tail Corp. 72,873 1,966 UIL Holdings Corp. 48,460 1,965 Amcore Financial, Inc. 84,334 1,963 Baldor Electric Co. 94,925 1,956 ================================================================================ 16 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- F & M Bancorp 39,491 1,948 Tecumseh Products Co. Class A 50,827 1,947 Wausau-Mosinee Paper Corp. 173,853 1,947 Vector Group Ltd. 111,071 1,944 * Ask Jeeves, Inc. 141,273 1,943 CARBO Ceramics Inc. 52,101 1,941 Sterling Bancshares, Inc. 147,990 1,936 Wabtec Corp. 139,001 1,934 Santander BanCorp 117,959 1,930 Harbor Florida Bancshares, Inc. 80,267 1,923 * Advent Software, Inc. 113,532 1,920 * Digital River, Inc. 99,139 1,913 * Magnum Hunter Resources Inc. 239,334 1,912 Florida East Coast Industries, Inc. Class A 74,456 1,902 Arkansas Best Corp. 79,963 1,902 * Tularik, Inc. 191,352 1,902 * Informatica Corp. 274,469 1,897 * Encore Acquisition Co. 98,847 1,893 * United Defense Industries Inc. 72,820 1,889 * CommScope, Inc. 198,610 1,887 * United Natural Foods, Inc. 66,800 1,880 Charter Financial Corp. 66,458 1,877 * Pacer International, Inc. 99,384 1,874 * Forward Air Corp. 73,811 1,873 Brown Shoe Co., Inc. 62,755 1,870 The Trust Co. of New Jersey 61,444 1,862 * NetFlix.com, Inc. 72,780 1,860 * j2 Global Communications, Inc. 40,352 1,855 * Hain Celestial Group, Inc. 115,894 1,853 * CSK Auto Corp. 128,109 1,851 * Magma Design Automation, Inc. 107,848 1,850 Glenborough Realty Trust, Inc. REIT 96,460 1,847 * Sierra Pacific Resources 310,860 1,847 * Impax Laboratories, Inc. 153,700 1,843 * TiVo Inc. 151,045 1,840 * W-H Energy Services, Inc. 94,276 1,836 * Enzon Pharmaceuticals, Inc. 146,545 1,835 * Dendrite International, Inc. 142,175 1,831 * El Paso Electric Co. 148,400 1,830 * Actuant Corp. 38,585 1,826 * Allen Telecom Inc. 110,389 1,824 Walter Industries, Inc. 154,545 1,816 * Genesis Health Ventures, Inc. 102,599 1,811 * Shuffle Master, Inc. 61,545 1,809 * Papa John's International, Inc. 64,383 1,806 * CompuCredit Corp. 148,127 1,800 * Nektar Therapeutics 194,732 1,797 Umpqua Holdings Corp. 94,296 1,791 * WellChoice Inc. 61,100 1,789 * Southwestern Energy Co. 118,728 1,782 Roadway Corp. 62,462 1,782 * Triad Guaranty, Inc. 46,934 1,781 * American Medical Systems Holdings, Inc. 104,926 1,770 Inter-Tel, Inc. 83,258 1,767 * Symyx Technologies, Inc. 108,253 1,767 * Quicksilver Resources, Inc. 73,735 1,766 * Rogers Corp. 52,942 1,763 * Offshore Logistics, Inc. 81,016 1,762 Bandag, Inc. 47,238 1,761 MGE Energy, Inc. 55,876 1,760 * SurModics, Inc. 57,604 1,757 * Palm, Inc. 107,558 1,750 Value Line, Inc. 35,600 1,748 * Sinclair Broadcast Group, Inc. 150,233 1,744 Churchill Downs, Inc. 45,503 1,743 * Extreme Networks, Inc. 328,854 1,743 First Financial Bankshares, Inc. 52,067 1,742 * Iomega Corp. 164,127 1,740 Harleysville National Corp. 64,248 1,739 * Hecla Mining Co. 408,408 1,728 * ChipPAC, Inc. 225,021 1,726 * La Quinta Corp. REIT 400,112 1,724 * Syntel, Inc. 109,391 1,721 * Jones Lang Lasalle Inc. 108,698 1,717 * Tesoro Petroleum Corp. 249,500 1,717 Wintrust Financial Corp. 57,990 1,717 * Veeco Instruments, Inc. 100,773 1,716 National Penn Bancshares Inc. 61,054 1,714 * Remington Oil & Gas Corp. 92,900 1,708 Holly Corp. 61,846 1,707 Brookfield Homes Corp. 110,600 1,706 * Maguire Properties, Inc. REIT 88,500 1,704 * Global Industries Ltd. 353,428 1,704 Regal-Beloit Corp. 89,018 1,700 * Albany Molecular Research, Inc. 112,294 1,696 * FormFactor Inc. 95,700 1,694 Kimball International, Inc. Class B 108,229 1,688 * Metrologic Instruments, Inc. 50,600 1,682 Quanex Corp. 56,595 1,682 * Esperion Therapeutics, Inc. 85,650 1,678 Seacoast Financial Services Corp. 84,567 1,674 Glatfelter 113,517 1,674 * Cyberonics, Inc. 77,762 1,673 * WMS Industries, Inc. 107,242 1,672 City Holding Co. 57,037 1,669 * InterMune Inc. 103,560 1,668 * The Gymboree Corp. 99,376 1,668 * School Specialty, Inc. 58,555 1,666 PFF Bancorp, Inc. 43,047 1,664 * Charming Shoppes, Inc. 333,677 1,658 MFA Mortgage Investments, Inc. REIT 165,100 1,658 ================================================================================ 17 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Joy Global Inc. 111,800 1,651 First Sentinel Bancorp Inc. 103,393 1,651 * Cray Inc. 208,400 1,646 Empire District Electric Co. 75,596 1,644 Westbanco Inc. 67,602 1,643 Kansas City Life Insurance Co. 38,111 1,633 * Stewart Information Services Corp. 58,620 1,633 * Financial Federal Corp. 66,859 1,631 First Charter Corp. 93,727 1,631 * Connetics Corp. 108,726 1,628 * CDI Corp. 62,448 1,621 Coca-Cola Bottling Co. 29,683 1,621 * United Therapeutics Corp. 74,231 1,617 Summit Properties, Inc. REIT 77,791 1,606 The Pep Boys (Manny, Moe & Jack) 118,193 1,597 * Sonic Automotive, Inc. 72,786 1,595 Oriental Financial Group Inc. 61,859 1,589 United National Bancorp 57,475 1,586 * Power-One, Inc. 221,053 1,581 * Handleman Co. 98,519 1,576 * Credit Acceptance Corp. 155,744 1,571 United Community Banks, Inc. 62,862 1,570 * AFC Enterprises, Inc. 96,629 1,569 Connecticut Bancshares, Inc. 39,950 1,568 Central Pacific Financial Co. 56,524 1,566 Surewest Communications 51,592 1,561 Cato Corp. Class A 73,765 1,555 * Griffon Corp. 97,104 1,554 * Penwest Pharmaceuticals Co. 63,614 1,550 Commercial Metals Co. 86,973 1,547 * Portfolio Recovery Associates, Inc. 49,400 1,541 * ILEX Oncology, Inc. 79,357 1,540 * Verity, Inc. 121,529 1,539 * Align Technology, Inc. 122,500 1,537 * Newpark Resources, Inc. 280,341 1,536 Zenith National Insurance Corp. 53,806 1,533 * InfoSpace, Inc. 112,742 1,530 * Echelon Corp. 111,010 1,529 Hudson River Bancorp. Inc. 54,687 1,527 * Silgan Holdings, Inc. 48,769 1,525 * Comstock Resources, Inc. 111,335 1,523 * Checkpoint Systems, Inc. 107,598 1,523 * Pre-Paid Legal Services, Inc. 62,062 1,522 * MAXIMUS, Inc. 54,953 1,518 Frontier Oil Corp. 99,813 1,517 Anworth Mortgage Asset Corp. REIT 98,300 1,516 * webMethods, Inc. 186,337 1,515 * eFunds Corp. 131,322 1,514 * Plains Exploration & Production Co. 139,997 1,513 * Trammell Crow Co. 142,029 1,507 Mid-State Bancshares 76,191 1,505 Getty Realty Holding Corp. REIT 67,228 1,501 Corporate Office Properties Trust, Inc. REIT 88,479 1,498 * Tejon Ranch Co. 49,752 1,498 * Digene Corp. 54,806 1,492 * Sola International Inc. 85,758 1,492 Community Bank System, Inc. 39,238 1,491 * Rayovac Corp. 115,129 1,491 The Laclede Group, Inc. 55,500 1,487 * Remec, Inc. 212,550 1,479 * IDX Systems Corp. 95,018 1,475 First Federal Capital Corp. 73,843 1,466 * AK Steel Corp. 404,596 1,465 FBL Financial Group, Inc. Class A 72,590 1,463 * Atlantic Coast Airlines Holdings Inc. 108,325 1,461 * Haemonetics Corp. 78,087 1,460 National Health Investors REIT 79,167 1,460 * Alexander's, Inc. REIT 17,416 1,454 * Select Comfort Corp. 88,600 1,451 * Technical Olympic USA, Inc. 61,376 1,450 American States Water Co. 53,105 1,450 * Headwaters Inc. 98,485 1,447 Penn Virginia Corp. 33,622 1,446 Pennsylvania REIT 48,223 1,444 * Hewitt Associates, Inc. 61,260 1,443 * William Lyon Homes, Inc. 45,286 1,442 * PEC Solutions, Inc. 89,576 1,442 * Central Garden and Pet Co. 60,400 1,441 Sauer-Danfoss, Inc. 133,935 1,440 * The Warnaco Group, Inc. 106,900 1,438 * Boca Resorts, Inc. Class A 110,407 1,435 * Ventana Medical Systems, Inc. 52,564 1,429 * At Road, Inc. 130,800 1,428 * UTStarcom, Inc. 40,147 1,428 * Helen of Troy Ltd. 93,694 1,420 Berry Petroleum Class A 79,124 1,420 A. Schulman Inc. 88,383 1,419 * Jo-Ann Stores, Inc. Class A 56,079 1,419 * eResearch Technology, Inc. 63,774 1,413 Watsco, Inc. 85,324 1,413 * Arris Group Inc. 284,750 1,412 * Lexar Media, Inc. 147,919 1,411 * Pozen Inc. 128,426 1,410 * Saxon Capital Inc. 81,111 1,410 Watts Industries Class A 78,833 1,407 McGrath Rent Corp. 52,472 1,403 * Littelfuse, Inc. 62,724 1,403 Tredegar Corp. 93,539 1,402 * Palm Harbor Homes, Inc. 74,010 1,402 * Atrix Laboratories, Inc. 63,661 1,400 ================================================================================ 18 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Wireless Facilities, Inc. 117,535 1,399 * CONMED Corp. 76,589 1,399 Landauer, Inc. 33,425 1,398 * Credence Systems Corp. 164,748 1,395 * Photronics Inc. 79,924 1,395 * California Pizza Kitchen, Inc. 64,814 1,394 * bebe stores, inc 72,837 1,393 * CorVel Corp. 38,682 1,393 Town & Country Trust REIT 59,883 1,392 * Atwood Oceanics, Inc. 51,138 1,388 The Manitowoc Co., Inc. 62,242 1,388 * AMN Healthcare Services, Inc. 109,234 1,387 * The Children's Place Retail Stores, Inc. 69,733 1,385 * Playtex Products, Inc. 215,271 1,382 * Old Dominion Freight Line, Inc. 63,859 1,381 Boston Private Financial Holdings, Inc. 65,223 1,375 Riggs National Corp. 90,323 1,375 Texas Industries, Inc. 57,703 1,373 * Vignette Corp. 658,298 1,369 * Time Warner Telecom Inc. 214,641 1,367 * NCO Group, Inc. 76,223 1,365 * Ultratech, Inc. 73,795 1,364 EastGroup Properties, Inc. REIT 50,525 1,364 * CMGI Inc. 816,810 1,364 Sovran Self Storage, Inc. REIT 43,225 1,362 * Enterasys Networks, Inc. 448,946 1,360 * Wabash National Corp. 96,885 1,359 * Sunrise Senior Living, Inc. 60,721 1,359 * IDine Rewards Network Inc. 98,700 1,356 * Plains Resources Inc. 95,827 1,356 * FuelCell Energy, Inc. 165,506 1,355 * Nuevo Energy Co. 77,523 1,353 Koger Equity, Inc. REIT 78,482 1,352 * ValueVision Media, Inc. 99,178 1,352 First Financial Holdings, Inc. 49,937 1,350 Oxford Industries, Inc. 32,520 1,350 * Adolor Corp. 109,953 1,349 * TriQuint Semiconductor, Inc. 323,885 1,347 Parkway Properties Inc. REIT 32,007 1,346 * Aeroflex, Inc. 173,674 1,344 OceanFirst Financial Corp. 55,022 1,344 The Nautilus Group, Inc. 108,380 1,344 * Bright Horizons Family Solutions, Inc. 40,036 1,344 Schweitzer-Mauduit International, Inc. 55,160 1,332 Central Parking Corp. 107,731 1,332 * URS Corp. 68,027 1,324 * Kulicke & Soffa Industries, Inc. 207,079 1,323 * USI Holdings Corp. 112,200 1,319 * InVision Technologies, Inc. 52,532 1,318 Cash America International Inc. 99,528 1,316 Woodward Governor Co. 30,592 1,315 * ViaSat, Inc. 91,600 1,314 The Stride Rite Corp. 131,869 1,313 * Insituform Technologies Inc. Class A 74,231 1,312 * Esterline Technologies Corp. 75,366 1,312 * Corvis Corp. 874,521 1,312 Stewart & Stevenson Services, Inc. 83,220 1,311 * TETRA Technologies, Inc. 44,093 1,307 * Kensey Nash Corp. 49,738 1,301 First Financial Corp. (IN) 24,570 1,300 Interpool, Inc. 78,832 1,294 Mid Atlantic Realty Trust REIT 61,655 1,291 * aQuantive, Inc. 122,865 1,290 * Inspire Pharmaceuticals, Inc. 119,267 1,288 MTS Systems Corp. 87,386 1,288 * International Multifoods Corp. 56,117 1,286 WSFS Financial Corp. 33,441 1,284 U.S.B. Holding Co., Inc. 72,281 1,283 Gray Television, Inc. 103,300 1,281 * Energy Partners, Ltd. 110,898 1,281 * TransMontaigne Inc. 197,507 1,280 Gevity HR, Inc. 108,252 1,280 * The Wet Seal, Inc. Class A 119,516 1,276 * Swift Energy Co. 115,911 1,275 * Photon Dynamics, Inc. 46,141 1,275 Barnes Group, Inc. 58,568 1,274 * Alliance Data Systems Corp. 54,400 1,273 Metris Cos., Inc. 229,002 1,271 * Ocular Sciences, Inc. 63,993 1,270 * eSPEED, Inc. Class A 64,264 1,270 Glacier Bancorp, Inc. 51,365 1,265 ElkCorp 56,058 1,261 * Gulfmark Offshore, Inc. 74,696 1,261 * Itron, Inc. 58,352 1,258 * The Sports Authority, Inc. 117,530 1,258 * Dollar Thrifty Automotive Group, Inc. 67,785 1,257 * Nautica Enterprises, Inc. 98,002 1,257 Hooper Holmes, Inc. 195,133 1,257 * PETCO Animal Supplies, Inc. 57,800 1,257 NACCO Industries, Inc. Class A 21,292 1,255 WD-40 Co. 43,900 1,253 * Province Healthcare Co. 113,205 1,253 * Trex Co., Inc. 31,900 1,252 * Consolidated Graphics, Inc. 54,579 1,249 R & G Financial Corp. Class B 42,020 1,248 ================================================================================ 19 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- MCG Capital Corp. 85,960 1,246 Lexington Corporate Properties Trust REIT 70,300 1,244 * Kopin Corp. 203,000 1,242 Independent Bank Corp. (MA) 54,991 1,242 * Mercury Computer Systems, Inc. 68,356 1,241 Tanger Factory Outlet Centers, Inc. REIT 37,522 1,241 Frontier Financial Corp. 43,549 1,237 * CCC Information Services Group 85,300 1,237 Community Trust Bancorp Inc. 47,301 1,236 * PRG-Schultz International, Inc. 209,405 1,235 Advanta Corp. Class A 125,269 1,233 * Scientific Games Corp. 131,113 1,232 * Viasys Healthcare Inc. 59,533 1,232 * Teledyne Technologies, Inc. 94,053 1,232 * Silicon Image, Inc. 219,869 1,227 * Regeneration Technologies, Inc. 92,035 1,223 Flushing Financial Corp. 55,171 1,223 * Gardner Denver Inc. 59,776 1,223 * PSS World Medical, Inc. 212,517 1,222 Gold Banc Corp., Inc. 116,254 1,222 Crown American Realty Trust REIT 113,465 1,219 Pulitzer, Inc. 24,650 1,218 PolyMedica Corp. 26,600 1,218 Allegheny Technologies Inc. 184,397 1,217 * General Maritime Corp. 119,866 1,217 BP Prudhoe Bay Royalty Trust 64,400 1,217 * CIMA Labs Inc. 45,231 1,216 * The Dress Barn, Inc. 95,894 1,215 Riviana Foods, Inc. 45,114 1,214 * Kenneth Cole Productions, Inc. 62,257 1,213 * F5 Networks, Inc. 71,536 1,205 * SafeNet, Inc. 43,066 1,205 * Antigenics, Inc. 104,324 1,202 Great American Financial Resources, Inc. 91,564 1,200 * Input/Output, Inc. 223,084 1,200 Independent Bank Corp. (MI) 46,612 1,197 * PAREXEL International Corp. 85,562 1,194 Lennar Corp. Class B 17,338 1,191 Movado Group, Inc. 54,534 1,186 * First Republic Bank 44,559 1,185 * Ameristar Casinos, Inc. 55,510 1,185 * Alaska Air Group, Inc. 55,231 1,185 * Per-Se Technologies, Inc. 105,360 1,183 * 1-800 CONTACTS, Inc. 48,300 1,182 Roto-Rooter, Inc. 30,949 1,182 * Zoran Corp. 61,500 1,181 Bowne & Co., Inc. 90,538 1,180 * McDermott International, Inc. 185,572 1,175 * ArthroCare Corp. 70,082 1,175 * K2 Inc. 95,871 1,174 RPC Inc. 106,646 1,173 * Audiovox Corp. 104,735 1,172 Hancock Fabrics, Inc. 72,470 1,170 * Quaker City Bancorp, Inc. 28,453 1,168 PolyOne Corp. 262,408 1,168 * Akamai Technologies, Inc. 240,213 1,167 * Bone Care International, Inc. 83,770 1,164 * American Healthways Inc. 32,200 1,163 * Dick's Sporting Goods, Inc. 31,700 1,163 Arch Chemicals, Inc. 60,743 1,160 * Zymogenetics, Inc. 99,588 1,159 * Pegasus Solutions Inc. 71,326 1,159 * Shaw Group, Inc. 96,176 1,159 * Triton PCS, Inc. 229,106 1,157 * Navigators Group, Inc. 38,776 1,156 Rock-Tenn Co. 68,100 1,154 * Sierra Health Services, Inc. 57,700 1,154 Phillips-Van Heusen Corp. 84,481 1,151 Longview Fibre Co. 140,376 1,151 * Forrester Research, Inc. 70,321 1,150 Simmons First National Corp. 57,490 1,150 * Kyphon Inc. 76,082 1,150 * ESCO Technologies Inc. 26,100 1,148 Libbey, Inc. 50,581 1,148 * aaiPharma Inc. 57,750 1,148 Belden, Inc. 72,251 1,148 * Young Broadcasting Inc. 54,330 1,148 * SPS Technologies, Inc. 42,433 1,147 CNA Surety Corp. 116,380 1,146 * Zoll Medical Corp. 34,132 1,145 Newmil Bancorp, Inc. 52,300 1,145 * American Pharmaceuticals Partners, Inc. 33,770 1,145 * America West Holdings Corp. Class B 168,267 1,144 * TriPath Imaging, Inc. 167,286 1,143 Curtiss-Wright Corp. 18,070 1,142 * Veritas DGC Inc. 99,227 1,141 South Jersey Industries, Inc. 30,900 1,139 * Advanced Medical Optics, Inc. 66,764 1,138 * infoUSA Inc. 140,466 1,138 * Daktronics, Inc. 69,500 1,136 World Fuel Services Corp. 46,185 1,136 * Perry Ellis International Corp. 58,177 1,136 Midwest Banc Holdings, Inc. 58,257 1,131 * Coinstar, Inc. 59,975 1,131 LSB Corp. 68,600 1,131 * Avatar Holding, Inc. 37,366 1,129 ================================================================================ 20 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Kramont Realty Trust REIT 68,328 1,127 * Identix, Inc. 177,087 1,125 Presidential Life Corp. 79,663 1,124 * A.C. Moore Arts & Crafts, Inc. 56,086 1,123 * UnitedGlobalCom Inc. Class A 217,195 1,123 Arrow Financial Corp. 33,634 1,122 * Sigma Designs, Inc. 103,200 1,121 First Source Corp. 60,207 1,117 * Labor Ready, Inc. 155,811 1,117 * National Western Life Insurance Co. Class A 10,049 1,110 American Home Mortgage Holdings, Inc. 56,600 1,108 RAIT Investment Trust REIT 41,800 1,108 * Fleetwood Enterprises, Inc. 149,432 1,106 * Hawthorne Financial Corp. 31,840 1,104 NYMAGIC, Inc. 54,436 1,103 * Agile Software Corp. 114,157 1,102 * Prima Energy Corp. 52,742 1,101 * Ionics, Inc. 49,139 1,099 * Multimedia Games Inc. 43,100 1,099 * Dril-Quip, Inc. 60,372 1,099 NUI Corp. 70,758 1,098 * Range Resources Corp. 175,100 1,098 * Tradestation Group Inc. 106,935 1,097 Fidelity Bancorp, Inc. 33,873 1,095 Great Southern Bancorp, Inc. 28,406 1,095 Quaker Chemical Corp. 43,677 1,094 C & D Technologies, Inc. 76,124 1,093 Thomas Industries, Inc. 40,400 1,093 GenCorp, Inc. 122,675 1,091 Vital Signs, Inc. 41,970 1,090 * Infonet Services Corp. 685,139 1,089 * Imagistics International Inc. 42,188 1,088 Chesapeake Corp. of Virginia 49,799 1,088 * Immucor Inc. 49,839 1,086 Omega Financial Corp. 31,720 1,085 * Diversa Corp. 110,255 1,084 Peoples Holding Co. 24,489 1,084 EDO Corp. 61,123 1,082 Ameron International Corp. 31,096 1,081 Columbia Bancorp 44,974 1,079 * I-STAT Corp. 120,038 1,079 * Cubist Pharmaceuticals, Inc. 101,054 1,077 Aquila, Inc. 417,532 1,077 * I.D. Systems, Inc. 135,398 1,076 First Place Financial Corp. 62,107 1,076 The Standard Register Co. 65,247 1,075 Provident Financial Holdings, Inc. 36,567 1,073 Capital City Bank Group, Inc. 29,611 1,072 * Resources Connection, Inc. 44,900 1,071 * Playboy Enterprises, Inc. Class B 78,714 1,071 * Moog Inc. 30,800 1,070 Sandy Spring Bancorp, Inc. 33,862 1,070 * Armor Holdings, Inc. 79,829 1,070 * Plexus Corp. 92,491 1,066 * Stillwater Mining Co. 207,111 1,065 Cascade Bancorp 61,388 1,064 * Strattec Security Corp. 19,945 1,061 * Jos. A. Bank Clothiers, Inc. 31,675 1,059 * SRA International, Inc. 33,014 1,056 * Charles River Associates Inc. 37,276 1,054 * AtheroGenics, Inc. 70,580 1,054 * Bruker Daltonics, Inc. 197,554 1,053 * S&K Famous Brands Inc. 70,133 1,052 * Medarex, Inc. 159,565 1,052 * Right Management Consultants, Inc. 82,873 1,048 * Monaco Coach Corp. 68,374 1,048 * OMI Corp. 170,100 1,048 * American Physicians Capital, Inc. 43,207 1,048 Prosperity Bancshares, Inc. 54,400 1,047 * Exelixis, Inc. 150,680 1,046 CB Bancshares Inc. (HI) 16,823 1,045 * Insight Enterprises, Inc. 103,876 1,045 * Netscreen Technologies, Inc. 46,300 1,044 Lindsay Manufacturing Co. 44,895 1,042 * Packeteer, Inc. 66,915 1,042 * Opsware, Inc. 259,148 1,042 * Insignia Financial Group, Inc. 93,597 1,040 * Intermagnetics General Corp. 52,380 1,039 * ShopKo Stores, Inc. 79,909 1,039 RFS Hotel Investors, Inc. REIT 84,255 1,038 * Eclipsys Corp. 99,284 1,037 Texas Genco Holdings, Inc. 44,491 1,034 * Sotheby's Holdings Class A 138,848 1,033 * NCI Building Systems, Inc. 61,740 1,031 Seacoast Banking Corp. of Florida 60,389 1,029 * Transkaryotic Therapies, Inc. 89,161 1,029 Allegiant Bancorp, Inc. 50,800 1,029 * Lifeline Systems, Inc. 36,209 1,028 Universal Health Realty Income REIT 38,078 1,028 * IDT Corp. Class B 58,342 1,027 United Fire & Casualty Co. 31,555 1,025 * Actel Corp. 49,961 1,024 * Local Financial Corp. 70,668 1,020 * J. Jill Group, Inc. 60,542 1,020 * Advanced Energy Industries, Inc. 71,392 1,017 * Keynote Systems Inc. 96,984 1,016 Aaron Rents, Inc. Class B 39,300 1,016 * Indevus Pharmaceuticals, Inc. 162,731 1,015 * Ribapharm Inc. 157,285 1,014 ================================================================================ 21 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Rainbow Technologies, Inc. 120,468 1,013 * PracticeWorks Inc. 52,471 1,013 Nash-Finch Co. 60,745 1,011 * Ixia 157,143 1,010 * ESS Technology, Inc. 103,288 1,007 * OraSure Technologies, Inc. 134,876 1,006 * American Residential Investment Trust, Inc. REIT 109,840 1,006 X-Rite Inc. 101,465 1,006 GBC Bancorp 26,167 1,005 * Kos Pharmaceuticals, Inc. 42,800 1,005 * Transaction Systems Architects, Inc. 111,995 1,003 St. Francis Capital Corp. 34,517 1,003 FelCor Lodging Trust, Inc. REIT 127,648 1,002 Greif Inc. Class A 43,347 997 Carpenter Technology Corp. 63,880 997 * Learning Tree International, Inc. 63,665 995 * VistaCare, Inc. 40,900 994 * Orthodontic Centers of America, Inc. 124,083 994 * i2 Technologies, Inc. 993,568 994 CTS Corp. 94,797 991 * Inet Technologies, Inc. 99,288 990 * Orbital Sciences Corp. 135,449 989 * American Medical Security Group, Inc. 51,747 988 Action Performance Cos., Inc. 52,015 988 * Stage Stores, Inc. 42,045 988 * Epicor Software Corp. 164,925 988 First Community Bancorp 31,392 985 Schnitzer Steel Industries, Inc. Class A 22,325 985 * SciClone Pharmaceuticals, Inc. 114,737 982 * Safeguard Scientifics, Inc. 363,398 981 Banner Corp. 47,859 981 * United PanAm Financial Corp. 79,986 979 * Steven Madden, Ltd. 44,800 978 National Presto Industries, Inc. 30,963 978 Steelcase Inc. 83,005 976 * Goody's Family Clothing 112,317 972 * Westell Technologies, Inc. 112,257 971 * Gartner, Inc. Class A 127,930 970 Equity Inns, Inc. REIT 140,042 966 BSB Bancorp, Inc. 38,898 965 * Cross Country Healthcare, Inc. 73,168 965 * Aviall Inc. 84,880 965 Entertainment Properties Trust REIT 33,520 964 Massbank Corp. 26,594 962 OM Group, Inc. 65,286 962 * SOURCECORP, Inc. 44,513 961 Middlesex Water Co. 38,957 960 * The Buckle, Inc. 49,911 960 Royal Gold, Inc. 44,660 960 * Atlanta Sosnoff Capital Corp. 70,775 959 * SonicWALL, Inc. 199,582 958 * The Neiman Marcus Group, Inc. Class B 27,740 957 * Closure Medical Corp. 50,614 956 Connecticut Water Services, Inc. 37,355 954 Mid-America Apartment Communities, Inc. REIT 35,300 953 * Myriad Genetics, Inc. 70,051 953 * Artisan Components, Inc. 42,164 953 Correctional Properties Trust REIT 33,945 950 * Isle of Capri Casinos, Inc. 57,487 950 Horizon Financial Corp. 60,098 948 * Genlyte Group, Inc. 27,118 948 * Powerwave Technologies, Inc. 150,706 945 * ON Semiconductor Corp. 349,914 945 * Mesa Air Group Inc. 118,060 944 * LTX Corp. 109,493 944 * Global Imaging Systems, Inc. 40,740 944 * Datastream Systems, Inc. 89,095 944 Valmont Industries, Inc. 48,402 942 * Therasense, Inc. 93,986 940 * Stewart Enterprises, Inc. Class A 218,175 938 * KCS Energy, Inc. 173,944 938 * Applica Inc. 110,209 937 * Cirrus Logic 232,742 936 * GrafTech International Ltd. 171,272 933 * Beverly Enterprises, Inc. 266,561 933 * Korn/Ferry International 115,139 933 * Administaff, Inc. 90,537 933 * Department 56 Inc. 60,719 931 AMCOL International Corp. 116,332 931 * Possis Medical Inc. 67,800 930 * SonoSite, Inc. 46,553 929 * Progenics Pharmaceuticals, Inc. 61,605 928 Meridian Bioscience Inc. 101,822 928 * NS Group Inc. 94,974 926 * Champion Enterprises, Inc. 178,632 925 * Vail Resorts Inc. 68,666 925 * MemberWorks, Inc. 46,806 924 SJW Corp. 10,839 924 Bel Fuse, Inc. Class B 40,350 924 * Wackenhut Corrections Corp. 67,295 923 * Navigant Consulting, Inc. 77,830 922 TF Financial Corp. 29,984 922 * Rochester Medical Corp. 91,739 921 * Zebra Technologies Corp. Class B 12,240 920 HF Financial Corp. 51,464 916 Stanley Furniture Co., Inc. 33,400 915 * RailAmerica, Inc. 108,250 915 ================================================================================ 22 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * E-LOAN, Inc. 156,892 915 * Novavax, Inc. 163,843 913 Standard Commercial Tobacco Co. 53,631 912 Infinity Property & Casualty Corp. 38,500 910 * ImmunoGen, Inc. 213,058 910 Lone Star Steakhouse & Saloon, Inc. 41,788 910 * Thomas Nelson, Inc. 72,737 909 * Teletech Holdings Inc. 214,803 909 * The Great Atlantic & Pacific Tea Co., Inc. 103,164 908 * Electro Scientific Industries, Inc. 59,862 908 Bedford Property Investors, Inc. REIT 31,900 906 Patriot Bank Corp. 50,305 905 * CoStar Group, Inc. 30,281 904 CIRCOR International, Inc. 50,701 904 * M&F Worldwide Corp. 125,357 903 * Triumph Group, Inc. 31,955 900 Central Vermont Public Service Corp. 46,026 900 * NeoPharm, Inc. 64,816 898 Investors Title Co. 31,452 898 * Plug Power, Inc. 191,687 895 * W.R. Grace & Co. 202,887 895 * ValueClick, Inc. 148,337 894 * Kadant Inc. 47,689 894 Wellman, Inc. 79,742 893 * Duane Reade Inc. 60,542 893 * Microsemi Corp. 55,787 893 * General Communication, Inc. 103,000 892 * ATP Oil & Gas Corp. 141,576 892 * ANSYS, Inc. 28,656 891 * Aspect Medical Systems, Inc. 120,469 889 Dover Motorsports, Inc. 216,765 889 * World Acceptance Corp. 54,517 888 * Silicon Storage Technology, Inc. 211,665 887 * RC2 Corp. 52,100 886 United Capital Corp. 25,192 885 * Curative Health Services Inc. 52,061 885 * Hologic, Inc. 67,126 885 * Molecular Devices Corp. 55,581 884 * Brooks Automation, Inc. 77,961 884 * Ditech Communications Corp. 177,304 883 * Caraustar Industries, Inc. 110,159 882 * Aclara Biosciences, Inc. 208,345 881 Pioneer Standard Electronics Inc. 103,766 880 * DJ Orthopedics Inc. 80,200 879 * Tyler Technologies, Inc. 206,734 879 Apogee Enterprises, Inc. 97,385 878 * Unifi, Inc. 141,554 878 McMoRan Exploration Co. 78,756 877 Southwest Bancorp, Inc. 31,976 876 Gorman-Rupp Co. 36,513 876 * TBC Corp. 45,975 876 * PICO Holdings, Inc. 67,331 875 * XOMA Ltd. 163,649 872 Instinet Group Inc. 186,979 871 * Integrated Defense Technology, Inc. 55,900 867 * ICU Medical, Inc. 27,759 865 North Valley Bancorp 57,407 861 * OPNET Technologies, Inc. 70,556 860 Second Bancorp, Inc. 33,251 858 * Guess ?, Inc. 142,828 857 United Mobile Homes, Inc. REIT 56,512 857 * Oxigene, Inc. 86,524 856 Bryn Mawr Bank Corp. 23,022 853 * Primus Telecommunications Group, Inc. 165,840 852 Dimon Inc. 119,012 852 MutualFirst Financial Inc. 36,453 851 Datascope Corp. 28,626 850 CPI Corp. 48,147 850 Atlantic Tele-Network, Inc. 37,940 846 The Marcus Corp. 56,548 845 * Mastec Inc. 146,696 845 * Gulf Island Fabrication, Inc. 49,811 843 * Lightbridge, Inc. 96,100 842 Merchants Bancshares, Inc. 32,229 838 First South Bancorp, Inc. 25,120 835 * Stein Mart, Inc. 139,093 833 * Horizon Offshore, Inc. 167,096 832 * DuPont Photomasks, Inc. 44,148 831 Alico, Inc. 33,661 831 Newcastle Investment Corp. REIT 42,400 830 California Water Service Group 29,400 827 * Standard Microsystem Corp. 54,474 826 * Paxar Corp. 75,100 826 * Dot Hill Systems Corp. 62,900 824 * FreeMarkets, Inc. 118,325 824 * Florida Banks, Inc. 70,669 823 * Pegasystems Inc. 111,612 823 * PTEK Holdings, Inc. 169,332 821 * Intuitive Surgical, Inc. 108,108 819 * Centennial Communications Corp. Class A 204,542 818 JLG Industries, Inc. 120,151 817 Consolidated-Tomoka Land Co. 32,520 817 * CuraGen Corp. 147,185 817 * Stratex Networks, Inc. 254,993 816 * AAON, Inc. 44,050 816 * Tollgrade Communications, Inc. 43,672 814 * Ciber, Inc. 115,865 813 * Asbury Automotive Group, Inc. 60,336 813 Argonaut Group, Inc. 65,904 813 * Mapics Inc. 99,068 812 ================================================================================ 23 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Pilgrim's Pride Corp. 83,952 812 Lance, Inc. 88,844 811 First Merchants Corp. 33,345 811 Fidelity Bankshares, Inc. 36,312 810 * Boston Beer Co., Inc. Class A 56,214 810 * Shoe Carnival, Inc. 54,816 809 Partners Trust Financial Group, Inc. 42,398 809 * Mobile Mini, Inc. 49,427 807 Todd Shipyards Corp. 49,151 806 Helix Technology Corp. 60,832 805 Medallion Financial Corp. 114,590 803 Heritage Financial Corp. 37,938 803 * Pathmark Stores, Inc. 104,905 803 * MTC Technologies, Inc. 34,200 802 First Federal Bancshares of Arkansas, Inc. 25,225 801 * PC-Tel, Inc. 67,425 800 Greater Delaware Valley Savings Bank 35,215 799 * Spanish Broadcasting System, Inc. 98,067 799 Interchange Financial Services Corp. 40,318 799 Met-Pro Corp. 55,252 798 * Water Pik Technologies, Inc. 102,672 798 * Quality Systems, Inc. 28,849 797 Interface, Inc. 171,473 796 Ampco-Pittsburgh Corp. 59,374 796 * LookSmart, Ltd. 281,031 795 Southern Peru Copper Corp. 51,847 793 Arctic Cat, Inc. 41,400 793 * Cable Design Technologies Corp. 110,811 792 * SBA Communications Corp. 260,612 792 * Bay View Capital Corp. 137,000 792 * The Topps Co., Inc. 92,172 792 * Presstek, Inc. 126,984 791 LTC Properties, Inc. REIT 82,830 791 * Jacuzzi Brands, Inc. 149,521 791 * Callon Petroleum Co. 110,986 790 * Beasley Broadcast Group, Inc. 57,750 790 * GameStop Corp. 61,000 788 * USANA Health Sciences, Inc. 17,800 787 * Cole National Corp. Class A 62,850 787 * Coldwater Creek Inc. 63,792 787 * Aftermarket Technology Corp. 74,779 786 Myers Industries, Inc. 82,689 786 Pulaski Financial Corp. 28,699 785 * Vicor Corp. 81,622 784 MeriStar Hospitality Corp. REIT 152,262 783 Unizan Financial Corp. 44,434 781 * O'Charley's Inc. 36,230 780 Sizeler Property Investors, Inc. REIT 76,088 780 * Footstar Inc. 59,954 779 * Mobius Management Systems, Inc. 104,312 779 * Fisher Communications, Inc. 15,898 778 * Gentiva Health Services, Inc. 86,365 777 Banc Corp. 115,832 777 * Jarden Corp. 28,060 776 Bassett Furniture Industries, Inc. 58,461 776 * Vivus, Inc. 150,828 775 Community Banks, Inc. 26,014 774 * Hartmarx Corp. 258,636 773 Summit Bancshares, Inc. 32,932 773 * Secure Computing Corp. 88,540 773 * Insurance Auto Auctions, Inc. 61,476 772 * Drexler Technology Corp. 49,751 771 * Lydall, Inc. 72,067 771 * Mykrolis Corp. 75,863 770 * RadiSys Corp. 58,278 769 Coachmen Industries, Inc. 64,350 769 Advanced Marketing Services 59,147 769 * Advanced Magnetics, Inc. 75,010 769 California Independent Bancorp 26,491 768 * SM&A Corp. 67,544 767 UniFirst Corp. 34,946 765 * Omega Healthcare Investors, Inc. REIT 145,687 765 Covest Bankshares, Inc. 30,903 765 * Ciphergen Biosystems, Inc. 74,501 764 * Conceptus, Inc. 54,300 763 * AMC Entertainment, Inc. 66,600 762 * eCollege.com Inc. 66,231 760 American Land Lease, Inc. REIT 45,230 760 BancFirst Corp. 14,639 759 * Universal Electronics, Inc. 59,817 758 * Sterling Financial Corp. (Spokane) 31,132 758 * EntreMed, Inc. 182,720 758 * Sharper Image Corp. 27,800 758 * Medical Action Industries Inc. 46,400 758 * Buckeye Technology, Inc. 111,297 757 * SureBeam Corp. 285,572 757 Talx Corp. 33,500 757 * Red Robin Gourmet Burgers 39,900 757 Oil-Dri Corp. of America 63,015 756 * Syms Corp. 117,248 754 * Kindred Healthcare, Inc. 42,248 754 Winston Hotels, Inc. REIT 91,994 752 * Concord Communications, Inc. 54,725 751 * Centene Corp. 19,300 751 * Finish Line, Inc. 33,800 751 * Harmonic, Inc. 183,478 747 * Bally Total Fitness Holding Corp. 82,651 746 * Columbia Laboratories Inc. 66,300 746 Keithley Instruments Inc. 51,599 746 ================================================================================ 24 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Investors Real Estate Trust REIT 69,000 745 AAR Corp. 105,306 743 * Centillium Communications, Inc. 74,955 743 * Sapient Corp. 267,757 742 * Xicor, Inc. 118,211 741 LSI Industries Inc. 66,688 740 Ryerson Tull, Inc. 84,265 740 * Startek, Inc. 28,124 740 * Openwave Systems Inc. 379,022 739 * America's Car-Mart, Inc. 40,200 735 AMLI Residential Properties Trust REIT 31,200 735 * Noven Pharmaceuticals, Inc. 71,705 734 * Big 5 Sporting Goods Corp. 58,600 734 * InterVoice, Inc. 148,436 733 * Price Legacy Corp. REIT 195,531 733 * Drugstore.com, Inc. 125,502 733 * Accredited Home Lenders Holding Co. 37,300 732 * National Dentex Corp. 35,695 730 * Immunomedics Inc. 115,602 729 * Tweeter Home Entertainment Group, Inc. 84,000 729 Oak Hill Financial, Inc. 29,124 729 * Casual Male Retail Group, Inc. 140,358 729 Cornerstone Realty Income Trust, Inc. REIT 99,475 727 * Retek Inc. 113,445 726 Florida East Coast Industries, Inc. Class B 29,133 725 * Wesco International, Inc. 120,881 725 * KVH Industries, Inc. 29,300 725 * ePlus Inc. 67,998 724 * Altiris, Inc. 36,100 724 * Nuvelo, Inc. 363,664 724 * Incyte Corp. 155,908 723 * iManage, Inc. 144,568 723 Crawford & Co. Class B 147,101 722 Resource America, Inc. 69,554 720 * RehabCare Group, Inc. 49,100 719 * Clayton Williams Energy, Inc. 38,906 718 World Wrestling Entertainment, Inc. 69,737 718 * Heidrick & Struggles International, Inc. 56,840 717 * DutchFork Bancshares, Inc. 22,229 716 * Corixa Corp. 92,603 716 American Woodmark Corp. 15,349 715 * Ulticom, Inc. 75,188 714 * Oak Technology, Inc. 114,771 713 Keystone Property Trust REIT 38,500 713 * Layne Christensen Co. 88,305 713 * First Mariner Bancorp, Inc. 55,869 711 Columbia Banking System, Inc. 39,622 710 * Steak n Shake Co. 46,520 709 * Savient Pharmaceuticals Inc. 152,512 708 * Midas Inc. 58,335 707 Coastal Bancorp, Inc. 24,854 706 PMA Capital Corp. Class A 56,026 704 * Dura Automotive Systems, Inc. 74,427 704 First Keystone Financial, Inc. 31,203 704 * Information Holdings Inc. 38,500 703 * Griffin Land & Nurseries, Inc. 50,872 702 * MTR Gaming Group Inc. 90,886 702 Century Bancorp, Inc. Class A 23,502 700 Blair Corp. 31,481 699 * Salem Communications Corp. 34,900 698 Main Street Banks, Inc. 27,583 698 Methode Electronics, Inc. Class A 64,901 698 * Specialty Laboratories, Inc. 67,776 695 * Parker Drilling Co. 238,637 694 Material Sciences Corp. 71,562 694 * Navigant International, Inc. 53,742 693 * Casella Waste Systems, Inc. 76,708 693 Saul Centers, Inc. REIT 26,900 689 * Spherion Corp. 99,031 688 Applied Industrial Technology, Inc. 32,600 688 SWS Group, Inc. 34,100 687 * 1-800-FLOWERS.COM, Inc. 83,325 687 Suffolk Bancorp 21,277 685 Innkeepers USA Trust REIT 100,579 684 * LCA-Vision Inc. 76,132 684 * Asyst Technologies, Inc. 102,145 683 First Bancorp (NC) 26,369 683 * Cell Therapeutics, Inc. 70,111 682 * Benihana Inc. Class A 51,626 682 Park Electrochemical Corp. 34,100 680 * Rudolph Technologies, Inc. 42,508 678 * Chalone Wine Group Ltd. 87,126 677 * Torch Offshore, Inc. 99,700 677 * Maxygen Inc. 61,688 677 Sterling Financial Corp. (PA) 29,012 675 Oregon Trail Financial Corp. 26,996 674 * Impath, Inc. 47,629 673 * Integrated Electrical Services, Inc. 92,889 673 * InFocus Corp. 142,588 673 * OneSource Information Services, Inc. 90,200 673 * Finisar Corp. 433,737 672 * Manugistics Group, Inc. 163,489 672 * AstroPower, Inc. 204,000 671 * Valence Technology Inc. 224,037 670 * Stoneridge, Inc. 48,910 668 * Volt Information Sciences Inc. 48,825 666 Allen Organ Co. 15,974 666 ================================================================================ 25 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * E.piphany Inc. 130,202 665 * Pixelworks, Inc. 111,967 665 * Mothers Work, Inc. 24,800 664 FNB Financial Services Corp. 33,322 664 Nu Skin Enterprises, Inc. 63,400 663 * Encore Wire Corp. 69,413 659 Superior Uniform Group, Inc. 58,997 659 * Ocwen Financial Corp. 145,061 659 * Clean Harbors Inc. 69,070 658 Marine Products Corp. 60,568 657 * Saga Communications, Inc. 33,700 655 * Clark, Inc. 54,740 654 New England Business Service, Inc. 21,800 654 Midland Co. 29,413 653 * Pericom Semiconductor Corp. 70,231 653 * Manufacturers' Services Ltd. 133,978 650 * EZCORP, Inc. 149,109 649 * Midway Games Inc. 178,676 649 * Wind River Systems Inc. 169,903 647 * Ace Cash Express, Inc. 59,467 646 * Cell Genesys, Inc. 74,468 643 * Park-Ohio Holdings Corp. 130,184 643 * SeaChange International, Inc. 67,365 643 * Stratus Properties Inc. 68,611 642 * Integrated Silicon Solution, Inc. 92,467 642 * Hexcel Corp. 200,421 641 First Essex Bancorp, Inc. 13,600 641 * SupportSoft, Inc. 98,782 641 * SeeBeyond Technology Corp. 276,959 640 * FindWhat.com 34,000 640 * Genesco, Inc. 36,100 639 * Sequa Corp. Class A 18,595 638 * SangStat Medical Corp. 48,700 637 * Artesyn Technologies, Inc. 113,544 637 * S1 Corp. 157,529 636 Angelica Corp. 37,519 636 * Worldwide Restaurant Concepts Inc. 215,461 636 * Atari, Inc. 142,569 634 Capital Bank Corp. 42,485 634 * Energy Conversion Devices, Inc. 69,518 633 Maine Public Service Co. 19,454 632 HMN Financial, Inc. 32,537 631 * Chattem, Inc. 33,500 630 * JDA Software Group, Inc. 56,261 630 * Aether Systems, Inc. 128,450 629 * Centra Software, Inc. 202,690 628 * IXYS Corp. 78,717 627 Haverty Furniture Cos., Inc. 35,800 627 * U.S. Energy Corp. 120,454 626 * Radiant Systems, Inc. 92,906 626 General Cable Corp. 115,839 626 * Aspect Communications Corp. 161,136 624 * SuperGen, Inc. 115,270 622 * Systems & Computer Technology Corp. 68,932 620 Associated Estates Realty Corp. REIT 94,287 620 * Websense, Inc. 39,552 619 Universal Forest Products, Inc. 29,576 619 * CardioDynamics International Corp. 181,468 619 * Federal Agricultural Mortgage Corp. Class A 37,006 618 * Bombay Co. 58,000 617 * Axsys Technologies, Inc. 63,918 616 * ScanSoft, Inc. 113,437 616 West Pharmaceutical Services, Inc. 25,100 615 * NYFIX, Inc. 96,808 615 * Innotrac Corp. 105,958 615 * Enesco Group, Inc. 82,983 614 * Pegasus Communications Corp. 20,704 612 * Strategic Diagnostics Inc. 137,000 611 * Checkers Drive-In Restaurants, Inc. 53,328 610 * Novoste Corp. 101,627 610 * MicroStrategy Inc. 16,716 609 * hi/fn, inc 68,294 609 * Isis Pharmaceuticals, Inc. 114,796 608 United Community Financial Corp. 65,785 608 * Titanium Metals Corp. 18,927 608 * Avanex Corp. 151,872 608 * Portal Software, Inc. 303,432 607 * Mindspeed Technologies, Inc. 252,910 607 * Tenneco Automotive, Inc. 168,363 606 * C-COR Electronics, Inc. 123,114 603 * Team, Inc. 75,215 602 * Aksys, Ltd. 46,428 601 * Strategic Distribution, Inc. 36,940 601 * Comfort Systems USA, Inc. 226,694 596 * Revlon, Inc. Class A 198,249 595 * Concurrent Computer Corp. 203,509 594 * Reading International Inc. Class A 106,744 592 * EMS Technologies, Inc. 45,287 592 * Tower Automotive, Inc. 161,497 591 * Cysive, Inc. 184,029 591 * PC Connection, Inc. 86,785 590 * MRO Software Inc. 68,348 590 * Harris Interactive Inc. 89,450 589 * Wiser Oil Co. 101,948 587 * MRV Communications Inc. 292,027 587 * Theragenics Corp. 135,943 585 Cohu, Inc. 37,423 584 * Galyan's Trading Co. 40,663 583 * Embarcadero Technologies, Inc. 82,954 581 * Computer Horizons Corp. 127,897 581 ================================================================================ 26 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Clarus Corp. 92,386 580 * iGATE Corp. 167,026 580 * Interpore International 45,500 579 * Digi International, Inc. 100,512 578 * FARO Technologies, Inc. 81,368 576 * SPSS, Inc. 34,379 576 Old Second Bancorp, Inc. 13,422 575 IBERIABANK Corp. 11,772 574 * EPIQ Systems, Inc. 33,400 573 Spartan Motors, Inc. 69,127 572 Fedders Corp. 186,089 571 Sanderson Farms, Inc. 20,300 570 * Dyax Corp. 139,781 570 * Hovnanian Enterprises Inc. Class A 9,650 569 * Todhunter International, Inc. 55,986 567 * West Marine, Inc. 32,400 567 * Interwoven, Inc. 255,340 567 Ameriserv Financial Inc. 149,159 567 * Dave & Busters, Inc. 51,935 566 * Gartner, Inc. Class B 75,423 566 * Anaren, Inc. 60,370 566 * Blue Rhino Corp. 46,900 562 * On Assignment, Inc. 140,565 562 Oshkosh B' Gosh, Inc. Class A 20,800 562 Baldwin & Lyons, Inc. Class B 23,621 561 * Prime Hospitality Corp. 83,270 559 * InKine Pharmaceutical Co., Inc. 165,636 558 * Giant Industries, Inc. 93,508 557 * Acmat Corp. Class A 60,347 557 * Inverness Medical Innovations, Inc. 28,852 557 * The Boyds Collection, Ltd. 118,222 557 * Talk America Holdings, Inc. 50,799 554 * Symmetricom Inc. 125,731 553 Union Bankshares Corp. 19,520 552 * Lexicon Genetics Inc. 82,052 551 * RMH Teleservices, Inc. 126,907 550 * Dynamics Research Corp. 35,954 549 * Neoware Systems, Inc. 35,800 549 * Neogen Corp. 32,300 549 BNP Residential Properties, Inc. REIT 50,806 549 * Matria Healthcare, Inc. 31,071 548 * MarketWatch.com, Inc. 65,514 548 * JAKKS Pacific, Inc. 41,190 547 * CryoLife Inc. 52,746 546 * Century Business Services, Inc. 167,927 546 Dover Downs Gaming & Entertainment, Inc. 58,958 545 * CKE Restaurants Inc. 97,499 545 * Serologicals Corp. 39,852 543 * Crown Media Holdings, Inc. 131,471 543 * Intelidata Technologies Corp. 177,108 542 * Neoforma, Inc. 49,549 541 Sterling Bancorp 19,400 541 * Gene Logic Inc. 90,468 540 * Alloy, Inc. 83,660 540 Greater Community Bancorp 34,925 538 * The TriZetto Group, Inc. 88,968 537 * The Smith & Wollensky Restaurant Group, Inc. 105,040 537 Comm Bancorp, Inc. 15,421 537 * Aerosonic Corp. 54,354 536 First Busey Corp. 22,102 536 * ScanSource, Inc. 20,000 535 Timberline Software Corp. 95,354 535 Solutia, Inc. 245,186 535 * Universal American Financial Corp. 83,886 534 Capstead Mortgage Corp. REIT 47,326 533 Deltic Timber Corp. 18,700 532 * Lakes Entertainment, Inc. 66,500 531 Port Financial Corp. 9,840 530 * PDI, Inc. 52,081 529 Tompkins Trustco, Inc. 11,800 527 Green Mountain Power Corp. 26,263 525 Stepan Co. 23,220 525 Curtiss-Wright Corp. Class B 8,412 524 * II-VI, Inc. 22,700 524 * Friendly Ice Cream Corp. 82,843 524 * Hector Communications Corp. 41,852 523 * Capital Pacific Holdings, Inc. 124,264 522 * Curis, Inc. 142,775 521 * Cardinal Financial Corp. 77,077 520 * Workflow Management, Inc. 150,793 520 Team Financial, Inc. 48,142 520 * Wild Oats Markets Inc. 47,700 520 * Lazare Kaplan International, Inc. 88,148 520 * MSC.Software Corp. 76,884 518 * Group 1 Software, Inc. 28,264 518 * Garden Fresh Restaurant Corp. 57,518 518 L.S. Starrett Co. Class A 39,964 518 * AZZ Inc. 46,998 517 * FalconStor Software, Inc. 77,231 517 * Maxxam Inc. 35,629 517 * Gart Sports Co. 18,200 516 * IMPAC Medical Systems, Inc. 24,700 516 * NetRatings, Inc. 56,368 515 * LodgeNet Entertainment Corp. 46,800 512 * Oplink Communications, Inc. 273,711 512 Peoples Bancorp, Inc. 20,201 510 * IDT Corp. 28,408 509 HEICO Corp. 41,670 508 * PLX Technology, Inc. 129,000 508 * Boston Communications Group, Inc. 29,600 507 * Information Resources, Inc. 128,329 507 ================================================================================ 27 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Telular Corp. 104,911 506 * Capital Corp. of the West 19,923 505 * AVI BioPharma, Inc. 82,300 505 * Network Equipment Technologies, Inc. 59,840 504 * New Focus, Inc. 134,699 504 Tennant Co. 13,700 503 * MatrixOne, Inc. 87,620 503 Penford Corp. 45,009 503 Calgon Carbon Corp. 87,421 503 * Regent Communications, Inc. 85,193 503 * Blount International, Inc. 87,997 502 Urstadt Biddle Properties REIT 37,652 501 Alamo Group, Inc. 40,906 500 Gibraltar Steel 24,400 500 * Zomax Inc. 152,563 499 * Geron Corp. 67,755 499 * FTD, Inc. 24,700 498 * Constar International Inc. 65,601 498 * Autobytel Inc. 79,701 497 * Cepheid, Inc. 100,674 497 Apex Mortgage Capital, Inc. REIT 90,770 497 * Rubio's Restaurants, Inc. 98,100 496 * Pharmacopeia, Inc. 60,032 495 * Alliance Imaging, Inc. 112,444 495 * Kirkland's, Inc. 30,600 494 Bedford Bancshares, Inc. 20,978 493 * Franklin Electronic Publishers, Inc. 122,940 492 * Concur Technologies, Inc. 48,800 491 * Trans World Entertainment Corp. 95,909 491 * Jupitermedia Corp. 122,547 490 * Actuate Software Corp. 175,629 488 * Alexion Pharmaceuticals, Inc. 28,483 486 * Celeritek, Inc. 66,315 485 U.S. Restaurant Properties, Inc. REIT 30,900 485 * Monolithic System Technology, Inc. 53,500 485 * Lifecore Biomedical Inc. 85,067 484 * Nuance Communications Inc. 89,555 484 * WatchGuard Technologies, Inc. 105,103 483 * Central European Distribution Corp. 24,000 483 * Aphton Corp. 58,649 483 Milacron Inc. 98,589 482 * DHB Industries, Inc. 117,500 481 * EnPro Industries, Inc. 44,835 479 * Traffix, Inc. 156,033 479 * ActivCard Corp. 50,920 479 Jacksonville Bancorp, Inc. 16,795 478 Raven Industries, Inc. 24,100 477 * Concerto Software Inc. 51,843 476 * Hibbett Sporting Goods, Inc. 14,456 476 * TheStreet.com, Inc. 101,258 476 * Hudson Highland Group, Inc. 25,022 476 * SITEL Corp. 304,891 473 * Carriage Services, Inc. 133,414 472 * ManTech International Corp. 24,600 472 * Prime Group Realty Trust REIT 81,318 472 * Cerus Corp. 62,396 470 * Superior Consultant Holdings Corp. 156,588 470 Firstfed America Bancorp, Inc. 13,600 469 * Mail-Well, Inc. 186,075 469 * SCS Transportation, Inc. 37,057 468 * Trover Solutions, Inc. 80,800 468 * Euronet Worldwide, Inc. 43,200 467 * ABIOMED, Inc. 85,218 466 * Zygo Corp. 57,969 464 * Proxim Corp. Class A 317,301 463 * Universal Display Corp. 51,834 462 * Pumatech, Inc. 135,730 461 * QuickLogic Corp. 143,287 461 * Lowrance Electronics, Inc. 53,883 460 Applied Signal Technology, Inc. 27,260 460 * Transmeta Corp. 286,172 458 * Spectranetics Corp. 150,121 458 * The Exploration Co. of Delaware 102,046 457 * PRAECIS Pharmaceuticals Inc. 93,166 457 Ramco-Gershenson Properties Trust REIT 19,580 456 * InterCept, Inc. 54,571 456 * ResortQuest International, Inc. 103,400 456 * Ventiv Health, Inc. 111,037 455 * Collins & Aikman Corp. 154,037 454 Capitol Bancorp Ltd. 16,711 453 * Petrocorp, Inc. 40,560 452 * Sykes Enterprises, Inc. 92,459 452 Citizens First Financial Corp. 19,313 451 * Virage Logic Corp. 62,199 450 * TSR, Inc. 50,147 450 * Onyx Pharmaceuticals, Inc. 36,410 449 * MedAmicus, Inc. 55,400 449 * Phoenix Technologies Ltd. 78,832 445 Virco Manufacturing Corp. 70,015 445 * Forgent Networks, Inc. 164,155 445 * Investors Capital Holdings, Ltd. 151,295 445 Intermet Corp. 131,881 444 Provident Bancorp, Inc. 13,816 443 Seaboard Corp. 2,140 443 * KFX, Inc. 114,100 443 * SONUS Pharmaceuticals, Inc. 118,617 442 Vesta Insurance Group, Inc. 192,314 442 * First Consulting Group, Inc. 94,649 442 * Nu Horizons Electronics Corp. 73,595 442 Integra Bank Corp. 25,655 442 ================================================================================ 28 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Hi-Tech Pharmacal Co., Inc. 10,850 441 * BroadVision, Inc. 77,334 440 * Alliance Semiconductor Corp. 90,866 440 * Saba Software, Inc. 96,624 440 Republic Bancshares, Inc. 17,562 439 ISCO, Inc. 52,712 439 * Digitas Inc. 88,431 439 * ITLA Capital Corp. 10,798 437 Paul Mueller Co. 10,768 436 * CyberSource Corp. 159,014 436 * Correctional Services Corp. 153,360 435 Bank of the Ozarks, Inc. 11,208 434 * Merix Corp. 56,980 434 * J & J Snack Foods Corp. 13,700 433 * Paragon Technologies, Inc. 43,130 431 * United States Exploration, Inc. 156,800 431 Aceto Corp. 23,300 430 * Pinnacle Entertainment, Inc. 63,123 429 * Mechanical Technology Inc. 138,251 429 * Ceres Group, Inc. 148,562 428 Cadmus Communications 47,986 427 * Microtune, Inc. 132,928 425 * Synaptics Inc. 31,600 425 * Merit Medical Systems, Inc. 21,268 425 BCSB Bankcorp, Inc. 28,249 424 * Smart & Final Inc. 91,300 423 * Paradyne Networks, Inc. 233,983 421 * Metro One Telecommunications, Inc. 81,584 421 * Taser International Inc. 32,600 421 CSS Industries, Inc. 10,900 420 * Extended Systems Inc. 107,686 420 * Netegrity, Inc. 71,847 420 * ePresence, Inc. 172,311 419 * Captaris Inc. 121,998 417 * DigitalThink, Inc. 132,270 417 * Gerber Scientific, Inc. 62,364 415 * Able Laboratories, Inc. 20,976 415 * Hycor Biomedical Inc. 89,148 413 * Comshare Inc. 90,302 411 * First Horizon Pharmaceutical Corp. 103,800 410 * VA Software Corp. 189,785 410 * Syntroleum Corp. 153,879 409 * The Greenbrier Cos., Inc. 37,700 409 * Arena Pharmaceuticals, Inc. 61,559 409 * First Union Real Estate REIT 225,662 408 * Stellent Inc. 75,334 407 * Raindance Communications, Inc. 163,107 406 West Coast Bancorp 22,300 406 * Skechers U.S.A., Inc. 54,793 405 * PDF Solutions, Inc. 35,100 405 * Lancer Corp. 58,913 405 Hopfed Bancorp, Inc. 25,295 405 * Silicon Graphics, Inc. 354,581 404 * Nashua Corp. 45,415 404 * Maxim Pharmaceuticals, Inc. 69,836 402 * Sipex Corp. 81,878 401 * Array BioPharma Inc. 127,311 401 * Planar Systems, Inc. 20,500 401 * Liquidmetal Technologies Inc. 78,030 400 * P.A.M. Transportation Services, Inc. 16,500 399 * Kforce Inc. 82,669 399 Washington Trust Bancorp, Inc. 17,357 399 Capital Trust Class A 21,457 398 * Roxio, Inc. 59,481 398 Standard Motor Products, Inc. 35,708 396 * Applied Innovation Inc. 114,238 395 * Candela Corp. 34,304 395 * Capital Title Group, Inc. 87,752 395 * Bottomline Technologies, Inc. 48,800 394 * Verisity Ltd. 32,977 394 * Switchboard Inc. 109,189 393 * Medical Staffing Network Holdings, Inc. 56,122 393 State Financial Services Corp. Class A 17,726 392 * Encysive Pharmaceuticals, Inc. 81,577 392 * Vitria Technology, Inc. 68,304 391 * Handspring, Inc. 345,533 390 * Excel Technology, Inc. 17,041 389 * Rofin-Sinar Technologies Inc. 27,545 387 * Keystone Automotive Industries, Inc. 21,200 387 * Nabi Biopharmaceuticals 56,342 387 Sturm, Ruger & Co., Inc. 38,500 385 * Infinity, Inc. 63,600 385 * Overstock.com, Inc. 26,400 383 * Genesee & Wyoming Inc. Class A 18,600 383 * America Service Group Inc. 21,300 381 * Integral Systems, Inc. 19,082 379 * Perceptron, Inc. 63,196 379 Financial Institutions, Inc. 16,100 378 * Art Technology Group, Inc. 236,434 378 * HomeStore, Inc. 213,652 378 * Katy Industries, Inc. 77,069 376 Courier Corp. 7,300 376 Ziegler Cos., Inc. 24,576 375 * Durect Corp. 155,496 375 Robbins & Myers, Inc. 20,200 374 * Ethyl Corp. 37,542 374 Codorus Valley Bancorp, Inc. 23,795 373 First Indiana Corp. 21,766 373 * Stamps.com Inc. 77,541 372 * FSI International, Inc. 94,986 370 ================================================================================ 29 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Applied Films Corp. 14,300 370 FFLC Bancorp, Inc. 14,250 370 * Fairchild Corp. 91,572 369 * PharmaNetics, Inc. 63,589 369 * Greka Energy Corp. 63,660 369 * Latitude Communications, Inc. 197,317 367 * TTM Technologies, Inc. 78,158 367 * Zix Corp. 97,074 366 * Docucorp International, Inc. 55,080 365 * Digimarc Corp. 23,200 364 * Commercial Capital Bancorp, Inc. 23,700 364 LaSalle Hotel Properties REIT 24,600 364 * Impco Technologies Inc. 58,826 362 * Redback Networks Inc. 402,616 362 * LCC International, Inc. Class A 132,222 362 * Electro Rent Corp. 33,600 362 * TransPro Inc. 80,436 360 * Carrier Access Corp. 164,080 358 * HMS Holdings Corp. 128,129 357 * Riverstone Networks, Inc. 301,715 356 * Online Resources Corp. 55,600 354 * Terayon Communications Systems, Inc. 128,835 352 * 4Kids Entertainment Inc. 18,900 352 * EXCO Resources, Inc. 19,600 351 Pennfed Financial Services, Inc. 12,611 350 * Foamex International, Inc. 114,357 350 * Juno Lighting, Inc. 26,103 349 CompX International Inc. 62,497 349 * Sequenom, Inc. 128,183 349 D&E Communications, Inc. 30,351 348 * Witness Systems, Inc. 67,215 348 Kaman Corp. Class A 29,588 346 * Daily Journal Corp. 14,175 346 Great Lakes, Inc. REIT 21,600 346 * Oregon Steel Mills, Inc. 118,528 344 Deb Shops, Inc. 18,254 343 * Value City Department Stores, Inc. 155,031 343 * National Beverage Corp. 24,600 342 * Robert Mondavi Corp. Class A 13,500 342 * BioLase Technology, Inc. 31,700 340 Lawson Products, Inc. 12,332 340 * Entrust, Inc. 115,002 338 Standex International Corp. 15,900 334 * Harvest Natural Resources, Inc. 52,400 334 * Elizabeth Arden, Inc. 25,300 333 * Herley Industries Inc. 19,600 333 * Luminex Corp. 64,288 332 * Spherix Inc. 47,077 331 * Captiva Software Corp. 66,880 331 Troy Financial Corp. 12,179 331 * Eden Bioscience Corp. 205,119 330 * California Amplifier, Inc. 92,460 330 Chesapeake Utilities Corp. 14,600 330 * QAD Inc. 44,399 329 Oneida Ltd. 48,800 329 * Diacrin, Inc. 119,709 329 S.Y. Bancorp, Inc. 9,300 329 * Sanchez Computer Associates, Inc. 63,045 328 * Royale Energy, Inc. 42,590 327 * CompuCom Systems, Inc. 72,300 327 * Dendreon Corp. 54,628 324 * OSI Systems Inc. 20,200 324 * Chronimed Inc. 33,000 324 * Ampal-American Israel Corp. 114,108 324 * Capstone Turbine Corp. 296,961 324 Chester Valley Bancorp 16,920 323 * Global Payment Tech Inc. 73,317 323 * MedCath Corp. 55,200 323 BHA Group Holdings Inc. 16,200 321 Camden National Corp. 11,600 319 * Gabelli Asset Management Inc. 8,800 318 * Merge Technologies, Inc. 24,330 318 * Paxson Communications Corp. 53,000 317 Wainwright Bank & Trust Co. 31,310 316 * Embrex, Inc. 31,001 316 * Martha Stewart Living Omnimedia, Inc. 33,649 316 * Allied Healthcare International Inc. 84,026 316 * Unity Bancorp, Inc. 31,036 315 * Gadzooks, Inc. 55,368 314 * Internap Network Services Corp. 304,342 313 * iPayment Holdings, Inc. 13,000 312 * Avici Systems Inc. 51,058 312 * Xanser Corp. 144,634 311 * Buca, Inc. 54,900 310 * JNI Corp. 62,758 309 * Aware, Inc. 138,447 309 Urstadt Biddle Properties Class A REIT 24,000 309 * Network Engines, Inc. 81,055 308 * Frontier Airlines, Inc. 33,900 308 * BE Aerospace, Inc. 92,805 307 * EPIX Medical, Inc. 21,700 307 * Neurogen Corp. 67,192 306 * UbiquiTel Inc. 204,042 306 * Hanger Orthopedic Group, Inc. 26,700 306 * Norstan, Inc. 92,685 305 CityBank Lynnwood WA 11,265 305 * General Binding Corp. 25,387 305 * Lillian Vernon Corp. 41,937 304 Humphrey Hospitality Trust, Inc. REIT 116,911 304 * Crossroads Systems, Inc. 179,919 304 ================================================================================ 30 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * TechTeam Global, Inc. 47,500 304 * Computer Task Group, Inc. 106,535 303 * Danielson Holdings Corp. 188,455 302 * Raytech Corp. 70,900 301 Franklin Financial Corp. 10,000 301 Computer Programs and Systems, Inc. 15,000 300 * Dobson Communications Corp. 55,000 300 * Three-Five Systems, Inc. 43,440 300 * Sirenza Microdevices, Inc. 147,567 300 * BioSphere Medical Inc. 49,900 299 * MIPS Technologies, Inc. Class B 121,209 299 * NetSolve, Inc. 35,800 299 * Alteon, Inc. 61,387 298 * Young Innovations, Inc. 10,400 296 * LabOne, Inc. 13,700 295 * Optical Communication Products, Inc. 163,986 295 Hanmi Financial Corp. 16,800 293 * Selectica, Inc. 92,165 292 ILX Resorts Inc. 34,176 291 * Computer Network Technology Corp. 35,900 291 Safety Insurance Group, Inc. 19,755 290 * APAC Teleservices, Inc. 113,013 288 Skyline Corp. 9,600 288 CFS Bancorp, Inc. 20,391 288 * Dynacq International, Inc. 17,100 287 * Charlotte Russe Holding Inc. 27,800 287 * Petroleum Helicopters, Inc. 9,515 287 * SeraCare Life Sciences, Inc. 51,226 287 * Lithia Motors, Inc. 17,700 286 * Register.com, Inc. 48,800 286 * Digital Generation Systems 148,905 286 * Sirna Therapeutics, Inc. 32,400 285 * STAAR Surgical Co. 24,530 285 * Management Network Group Inc. 145,690 284 * Graphic Packaging International Corp. 62,800 283 * NASSDA Corp. 36,500 282 * ParthusCeva Inc. 34,500 281 Bank of Granite Corp. 16,468 281 * RCN Corp. 141,584 280 * Genaissance Pharmaceuticals, Inc. 179,700 280 * Salix Pharmaceuticals, Ltd. 26,700 280 * Factory 2-U Stores Inc. 55,960 279 * SRI/Surgical Express, Inc. 40,617 279 * Zoltek Cos., Inc. 97,221 277 * ANADIGICS, Inc. 83,690 275 * Interstate Hotels & Resorts, Inc. 58,553 275 * Interep National Radio Sales, Inc. 98,600 275 * ParkerVision, Inc. 41,998 275 * A.M. Castle & Co. 41,786 274 * Caliper Technologies Corp. 59,893 273 * Tut Systems, Inc. 69,109 272 * VaxGen, Inc. 52,356 271 Habersham Bancorp 12,891 271 * Niku Corp. 59,476 271 * Discovery Laboratories, Inc. 42,500 270 FloridaFirst Bancorp, Inc. 11,300 270 * Badger Paper Mills, Inc. 45,643 269 * The Good Guys, Inc. 180,560 269 * Nastech Pharmaceutical Co., Inc. 26,897 269 * International Shipholding Corp. 24,861 268 * Kana Software, Inc. 88,346 268 Acadia Realty Trust REIT 29,100 266 * Corvas International, Inc. 98,309 265 * Exact Sciences Corp. 24,200 265 * COMARCO, Inc. 37,268 265 * Stifel Financial Corp. 21,905 264 * PriceSmart, Inc. 19,895 264 Stephan Co. 69,807 264 * Alcide Corp. 24,491 263 * Foster Wheeler Ltd. 122,971 263 * Wellsford Real Properties Inc. 17,074 263 * Plumtree Software, Inc. 63,900 262 * Osteotech, Inc. 19,200 261 * Darling International, Inc. 108,644 261 * Allscripts Healthcare Solutions, Inc. 71,038 261 * ViroPharma Inc. 99,762 259 * Net2Phone, Inc. 59,845 259 * Green Mountain Coffee Roasters, Inc. 13,600 258 * Allied Holdings, Inc. 78,035 258 Penn Engineering & Manufacturing Corp. 18,900 258 * MarineMax, Inc. 18,400 258 * Ramtron International Corp. 113,197 257 * Loral Space & Communications, Ltd. 84,153 257 * Glenayre Technologies, Inc. 186,956 256 United Industrial Corp. 15,700 256 * Vastera, Inc. 42,700 255 * Omnova Solutions Inc. 63,049 255 * PLATO Learning, Inc. 44,122 254 * EMCORE Corp. 77,296 254 * Hypercom Corp. 61,000 253 * AP Pharma Inc. 150,724 252 * Synalloy Corp. 46,335 252 * Pemco Aviation Group, Inc. 10,700 251 * Netopia, Inc. 64,569 251 * Northwest Pipe Co. 17,310 251 * Nanogen, Inc. 85,014 250 * DiamondCluster International, Inc. 67,255 250 * Mesaba Holdings, Inc. 40,425 249 D&K Healthcare Resources, Inc. 15,444 249 * Cavalier Homes, Inc. 120,127 249 ================================================================================ 31 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Monro Muffler Brake, Inc. 8,754 247 * Microvision, Inc. 39,900 247 * Emerson Radio Corp. 36,800 247 * TranSwitch Corp. 181,621 247 * Main Street & Main, Inc. 116,400 247 * Covenant Transport, Inc. 14,500 247 Tech/Ops Sevcon, Inc. 46,681 245 * Sunrise Telecom Inc. 138,276 245 Hubbell Inc. Class A 7,600 244 * National Healthcare Corp. 12,400 244 * RTI International Metals, Inc. 22,500 244 * Quovadx, Inc. 81,356 243 * MetaSolv, Inc. 123,635 242 * Carreker Corp. 52,870 242 * Republic First Bancorp, Inc. 30,500 242 * Citizens, Inc. 33,200 241 * Huttig Building Products, Inc. 88,860 241 * Quantum Fuel Systems Technologies Worldwide, Inc. 107,926 241 Friedman's, Inc. Class A 21,132 240 North Pittsburgh Systems, Inc. 15,900 240 * Sun Bancorp, Inc. (NJ) 12,005 239 Ennis Business Forms, Inc. 16,400 239 * VitalWorks Inc. 60,310 238 * Numerex Corp. 83,426 237 * Aradigm Corp. 131,617 237 * Chordiant Software, Inc. 127,359 237 * The SCO Group, Inc. 24,713 237 * Visual Networks, Inc. 172,462 236 * McLeod USA Inc. 155,995 236 * Consumer Portfolio Services, Inc. 83,980 235 Farmers Capital Bank Corp. 7,354 235 * Ultimate Electronics, Inc. 18,300 235 * NIC Inc. 80,169 234 Andersons, Inc. 19,100 234 * Kendle International Inc. 37,725 234 * Sonic Innovations, Inc. 64,607 233 * Applied Molecular Evolution, Inc. 54,430 233 * Insmed Inc. 86,525 233 * Internet Capital Group, Inc. 484,628 233 * Catalina Lighting, Inc. 23,200 233 * Intrado Inc. 14,700 232 * SpeechWorks International Inc. 49,348 232 * Overland Storage, Inc. 11,400 232 * Comtech Telecommunications Corp. 8,196 231 * Northfield Laboratories, Inc. 30,000 231 * Brightpoint, Inc. 18,751 231 * Supertex, Inc. 12,500 230 Schawk, Inc. 21,900 230 * Global Power Equipment Group Inc. 49,185 229 * Option Care, Inc. 19,800 228 Foothill Independent Bancorp 12,300 228 * Peet's Coffee & Tea Inc. 13,000 227 Cascade Natural Gas Corp. 11,800 225 * La Jolla Pharmaceutical Co. 68,768 225 * Whitman Education Group, Inc. 14,600 224 * Catalytica Energy Systems, Inc. 82,999 224 * Inforte Corp. 28,404 224 NASB Financial Inc. 7,700 223 * Cleveland-Cliffs Inc. 12,500 223 * DVI, Inc. 47,469 222 * QRS Corp. 41,810 222 CoBiz Inc. 16,600 221 Lakeland Financial Corp. 7,265 221 * Goodrich Petroleum Corp. 48,700 219 * Netro Corp. 76,090 219 * Curon Medical Inc. 192,760 218 Eastern Virginia Bankshares, Inc. 9,500 218 Steel Technologies, Inc. 21,500 217 * RWD Technologies, Inc. 104,677 217 * Harvard Bioscience, Inc. 57,057 217 EMC Insurance Group, Inc. 11,665 216 Northern States Financial Corp. 7,600 216 * Emisphere Technologies, Inc. 59,866 216 * The Meridian Resource Corp. 45,551 215 * Answerthink Consulting Group, Inc. 111,468 215 * Edgewater Technology, Inc. 44,534 214 German American Bancorp 12,243 214 * Mercator Software, Inc. 143,343 214 * Argonaut Technologies Inc. 171,544 213 * Tellium, Inc. 228,653 213 * Bioreliance Corp. 10,000 212 * Carmike Cinemas, Inc. 9,318 212 CCBT Financial Cos. Inc. 8,854 212 First Oak Brook Bancshares, Inc. 6,400 211 Lufkin Industries 8,645 211 * SCM Microsystems, Inc. 38,527 210 * OAO Technology Solutions, Inc. 100,118 210 * Gallery of History, Inc. 53,902 209 * Big Dog Holdings, Inc. 67,350 209 * GSI Commerce, Inc. 31,174 208 Peapack Gladstone Financial Corp. 6,500 208 * AmericanWest Bancorporation 12,800 208 * Air Methods Corp. 26,759 207 * Tier Technologies, Inc. 26,600 206 * Biopure Corp. 33,700 206 * Aspen Technologies, Inc. 42,677 205 * Medialink Worldwide, Inc. 59,611 202 * Pinnacor Inc. 105,316 202 * NaPro BioTherapeutics, Inc. 133,676 202 Royal Bancshares of Pennsylvania, Inc. 9,400 201 PrivateBancorp, Inc. 7,350 200 ================================================================================ 32 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Amerivest Properties, Inc. REIT 31,700 198 * Acclaim Entertainment Inc. 290,919 198 * Sports Resorts International, Inc. 40,481 198 CT Communications, Inc. 18,345 197 * Seabulk International, Inc. 22,200 197 * Coeur D'Alene Mines Corp. 140,339 195 * Marimba, Inc. 67,019 195 * DT Industries, Inc. 84,200 195 * Del Laboratories, Inc. 8,270 194 Pacific Union Bank 14,300 194 * Candie's, Inc. 102,192 194 * Championship Auto Racing Teams, Inc. 77,500 194 * Lionbridge Technologies, Inc. 37,980 193 Yardville National Bancorp 9,880 193 * GTC Biotherapeutics, Inc. 56,011 192 Republic Bancorp, Inc. Class A 12,931 192 * Restoration Hardware, Inc. 42,500 191 * Proxymed Pharmacy, Inc. 14,529 191 Proton Energy Systems, Inc. 89,341 191 * Alamosa Holdings, Inc. 124,860 191 Psychemedics Corp. 23,437 191 * Braun Consulting, Inc. 111,806 190 * Hollis-Eden Pharmaceuticals, Inc. 15,041 190 * Z-Tel Technologies, Inc. 73,822 189 * TRC Cos., Inc. 12,800 189 * Criimi Mae, Inc. REIT 17,205 188 * Bentley Pharmaceuticals, Inc. 14,300 188 * White Electronic Designs Corp. 17,575 186 Pope & Talbot, Inc. 16,800 186 Citizens 1st Bancorp, Inc. 8,489 185 * Lifeway Foods, Inc. 23,258 185 * LMI Aerospace, Inc. 89,603 184 * Arden Group Inc. Class A 3,100 183 * Commerce One, Inc. 77,674 183 * Blue Coat Systems, Inc. 30,347 182 First Midwest Financial, Inc. 9,751 181 Astro-Med, Inc. 26,147 180 HEICO Corp. Class A 20,051 179 * AVANT Immunotherapeutics, Inc. 60,200 179 * Tarragon Realty Investors Inc. REIT 12,301 179 * Mattson Technology, Inc. 57,797 179 * Diametrics Medical, Inc. 153,549 178 * Aetrium, Inc. 121,076 178 * Track Data Corp. 204,492 178 * Active Power, Inc. 105,800 178 * Maxcor Financial Group Inc. 17,514 177 * Covista Communications, Inc. 56,275 176 * SoundView Technology Group, Inc. 17,388 176 * ACT Teleconferencing, Inc. 93,300 175 Building Materials Holding Corp. 11,841 175 * Magnatek, Inc. 68,978 175 * Fargo Electronics 17,900 174 * Tumbleweed Communications Corp. 67,360 174 * Analysts International Corp. 69,543 173 Donegal Group Inc. 13,800 173 * Vyyo Inc. 56,984 173 * Redhook Ale Brewery, Inc. 86,380 172 * Party City Corp. 16,700 172 * Double Eagle Petroleum Co. 21,633 170 * Horizon Group Properties, Inc. REIT 48,293 169 * Therma-Wave Inc. 80,953 168 * Digital Impact, Inc. 90,829 168 West Essex Bancorp, Inc. 4,775 167 * Maxwell Shoe Co. Inc. 11,600 167 * Neurobiological Technologies, Inc. 47,500 166 BEI Technologies, Inc. 13,800 166 * Cone Mills Corp. 104,013 165 First Colonial Group, Inc. 3,400 165 * Quidel Corp. 26,500 165 Pilgrim's Pride Corp. Class A 22,950 165 Pennrock Financial Services Corp. 6,100 165 * SS&C Technologies, Inc. 10,200 163 * barnesandnoble.com inc 69,757 163 * ITXC Corp. 62,180 162 * Cardiac Science, Inc. 60,380 162 Superior Financial Corp. 6,713 161 * BTU International, Inc. 86,488 161 * Astec Industries, Inc. 18,400 160 * Synagro Technologies Inc. 63,340 160 Security Bank Corp. 4,600 160 * Synovis Life Technologies, Inc. 8,000 159 * Cortex Pharmaceuticals, Inc. 89,400 158 Nara Bancorp, Inc. 8,316 158 * Prime Energy Corp. 16,556 158 * NMS Communications Corp. 79,847 157 * Edison Schools Inc. 104,818 157 * Bioject Medical Technologies Inc. 39,200 157 * Avigen, Inc. 45,312 157 * Rentrak Corp. 22,900 156 * The Immune Response Corp. 49,297 156 * American Independence Corp. 14,599 156 * Virage, Inc. 184,464 155 * Community West Bancshares 25,243 155 * BindView Development Corp. 76,563 155 * Illumina, Inc. 51,278 154 Northwestern Corp. 76,800 154 Shenandoah Telecommunications Co. 3,200 153 * Cellstar Corp. 39,015 153 * Cosine Communications, Inc. 25,188 153 * Cornell Companies, Inc. 10,100 153 * Lexent Inc. 108,745 152 * MIM Corp. 23,173 151 * Interland Inc. 153,947 151 ================================================================================ 33 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Baldwin Technology Class A 235,419 151 Titan International, Inc. 120,539 149 * Amerco, Inc. 20,978 149 Bush Industries, Inc. 49,717 149 Westfield Financial, Inc. 8,400 149 TriCo Bancshares 5,846 149 Wayne Savings Bancshares, Inc. 10,926 149 * Navarre Corp. 70,586 148 * Titan Pharmaceuticals, Inc. 62,690 148 * dELiA*s Corp. Class A 210,265 147 * Collagenex Pharmaceuticals, Inc. 10,800 147 * Powell Industries, Inc. 10,000 146 * Applix, Inc. 90,413 145 Cascade Corp. 8,300 144 Mission West Properties Inc. REIT 12,700 144 Southern Financial Bancorp, Inc. 4,715 144 * Trailer Bridge, Inc. 43,846 143 * All American Semiconductor, Inc. 47,681 143 * IntegraMed America, Inc. 23,461 142 * Salton, Inc. 15,700 142 * Turnstone Systems, Inc. 56,414 142 EnergySouth, Inc. 4,300 141 * General Bearing Corp. 36,504 141 Center Bancorp, Inc. 9,314 141 * Genome Therapeutics Corp. 54,928 140 * Somera Communications, Inc. 95,462 139 First State Bancorporation 5,047 139 * Third Wave Technologies 30,847 139 * EXE Technologies, Inc. 27,537 139 * SpectraLink Corp. 14,000 138 * Palatin Technologies, Inc. 43,300 138 * Sangamo BioSciences, Inc. 48,126 137 * Lipid Sciences, Inc. 68,552 136 First SecurityFed Financial, Inc. 5,440 136 * iVillage Inc. 89,405 135 Ameriana Bancorp 9,600 135 Mainsource Financial Group, Inc. 5,515 134 * Covansys Corp. 43,720 134 Willow Grove Bancorp, Inc. 7,900 134 Ingles Markets, Inc. 13,234 134 * MedSource Technologies, Inc. 31,400 133 Weyco Group, Inc. 2,900 133 * Diodes Inc. 7,000 133 * Belmont Bancorp 26,594 133 * Atlas Air Worldwide Holdings, Inc. 90,311 133 * Kosan Biosciences, Inc. 22,501 133 * Endocare, Inc. 32,362 133 * ebix.com Inc. 19,486 132 * Wyndham International, Inc. Class A 300,330 132 * Neose Technologies, Inc. 13,100 131 * SPEEDUS Corp. 111,123 131 * Horizon Organic Holding Corp. 5,500 131 * Apropos Technology, Inc. 51,100 131 * Bell Industries, Inc. 60,198 131 * Orchid Biosciences, Inc. 108,386 130 * PetroQuest Energy, Inc. 55,000 129 * U.S. Concrete, Inc. 33,524 129 * Equinix, Inc. 16,386 129 * Toreador Resources Corp. 42,557 128 * Paradigm Genetics, Inc. 90,133 128 * Concord Camera Corp. 17,900 127 * SportsLine.com, Inc. 60,513 127 * Res-Care, Inc. 27,600 126 * Aurora Foods Inc. 359,228 126 * Critical Path, Inc. 126,768 126 * Central Coast Bancorp 7,481 126 Shore Bancshares, Inc. 4,077 125 * Guilford Pharmaceuticals, Inc. 27,500 125 Klamath First Bancorp 7,500 124 * Zonagen, Inc. 75,773 124 * Innovex, Inc. 12,300 124 * Genus, Inc. 46,000 124 * Medis Technology Ltd. 17,400 124 * Superconductor Technologies Inc. 53,420 123 Sanders Morris Harris Group Inc. 13,704 123 * Luby's, Inc. 54,346 122 * Carrington Labs Inc. 49,882 122 * eLoyalty Corp. 30,913 121 * Iridex Corp. 32,100 120 * Hall, Kinion & Associates, Inc. 43,925 120 * Trump Hotels & Casino Resorts, Inc. 61,313 120 * ACTV, Inc. 121,037 119 * ICT Group, Inc. 11,300 118 NN, Inc. 9,333 118 Click Commerce, Inc. 81,332 118 * On Command Corp. 109,131 117 * Chicago Pizza & Brewery, Inc. 11,722 117 * Midwest Express Holdings, Inc. 44,728 117 * Bradley Pharmaceuticals, Inc. 7,100 117 * Virginia Commerce Bancorp, Inc. 6,000 117 * BSQUARE Corp. 142,047 117 * Ista Pharmaceuticals Inc. 20,932 116 * Systemax Inc. 34,152 116 Saucony Inc. 9,600 116 * Semitool, Inc. 23,400 115 * Total Entertainment Restaurant Corp. 12,601 115 * BMC Industries, Inc. 211,416 114 * Diedrich Coffee, Inc. 36,209 114 * Abraxas Petroleum Corp. 104,000 112 * Applied Digital Solutions, Inc. 186,700 112 * Protection One, Inc. 113,561 111 * Media 100 Inc. 93,278 111 ================================================================================ 34 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Aaron Rents, Inc. 4,500 111 * SAFLINK Corp. 17,003 111 ESB Financial Corp. 8,160 110 * Enbridge Energy Management 2,410 110 * On2 Technologies, Inc. 87,907 110 * Electric Fuel Corp. 137,329 110 Quixote Corp. 4,300 110 * Benihana Inc. 8,400 109 Penn-America Group, Inc. 9,700 109 * Stratasys, Inc. 3,100 109 * Interlink Electronics Inc. 17,700 108 * CYTOGEN Corp. 12,778 106 First M&F Corp. 3,250 106 * Airnet Communications Corp. 97,361 105 * Dominion Homes, Inc. 4,400 105 * NetManage, Inc. 35,131 105 Sound Federal Bancorp Inc. 7,700 105 * Repligen Corp. 20,200 105 Camco Financial Corp. 6,700 105 * Peco II, Inc. 166,307 104 * HealthExtras, Inc. 13,266 104 * Viewpoint Corp. 91,539 103 * Seneca Foods Corp. 5,900 103 * US Physical Therapy, Inc. 8,100 102 * Exactech, Inc. 7,020 101 * Docent, Inc. 29,706 101 * Ostex International, Inc. 45,671 101 * Mestek, Inc. 5,600 101 * Summa Industries 13,700 99 * Creative Host Services, Inc. 47,998 98 United Financial Corp. 3,685 98 * Computer Motion, Inc. 25,300 98 * SAVVIS Communications Corp. 108,699 98 * Vixel Corp. 15,257 98 * Corio, Inc. 60,880 97 * John B. Sanfilippo & Son, Inc. 6,030 97 Berkshire Hills Bancorp, Inc. 3,400 97 * Alpine Group, Inc. 120,438 96 * AirGate PCS, Inc. 79,125 95 * WJ Communications, Inc. 93,088 95 * Rita Medical Systems, Inc. 26,900 94 * ONYX Software Corp. 96,672 94 Community Bank of Northern Virginia 8,028 93 * Pacific Premier Bancorp, Inc. 12,201 93 * SFBC International, Inc. 5,100 92 * SIGA Technologies, Inc. 55,616 92 * Wilshire Enterprises, Inc. 18,510 92 * V.I. Technologies, Inc. 37,354 92 BancTrust Financial Group, Inc. 5,800 91 FNB Corp. VA 3,370 91 * Drew Industries, Inc. 5,000 91 GA Financial, Inc. 3,600 91 * Radiologix Inc. 21,400 90 * JLM Industries, Inc. 69,052 90 * Datalink Corp. 19,200 90 * Pharmacyclics, Inc. 18,890 90 * Technology Solutions Co. 89,439 89 * Allos Therapeutics Inc. 29,700 89 * Copper Mountain Networks, Inc. 8,227 89 * Wave Systems Corp. 99,932 88 * Digital Lightwave, Inc. 81,420 88 TIB Financial Corp. 5,200 87 * Interpharm Holdings, Inc. 29,661 87 * Transgenomic, Inc. 45,307 86 * Hampshire Group, Ltd. 2,870 86 * Micro Linear Corp. 29,400 86 * Maui Land & Pineapple Co., Inc. 3,800 85 * U.S. Energy Systems, Inc. 59,910 84 First of Long Island Corp. 2,100 84 * Omnicell, Inc. 8,167 84 * Electroglas, Inc. 63,816 84 * Net Perceptions, Inc. 52,195 84 * Conrad Industries, Inc. 33,845 83 * Interactive Intelligence Inc. 22,117 83 * Steinway Musical Instruments Inc. 5,400 83 * GenVec, Inc. 39,929 82 * Sonic Solutions, Inc. 9,524 82 * Miller Industries, Inc. 23,890 81 * Optical Cable Corp. 11,643 81 * Bell Microproducts Inc. 19,050 81 Financial Industries Corp. 5,500 81 * Whitehall Jewellers, Inc. 8,900 81 * SteelCloud Inc. 23,579 81 * Nutrition 21 Inc. 175,223 81 * StorageNetworks, Inc. 57,853 80 * Large Scale Biology Corp. 80,256 80 Home Federal Bancorp 3,300 80 * FairMarket, Inc. 47,765 80 * Perficient, Inc. 72,490 80 Commercial Bankshares, Inc. 2,667 79 * Fresh Choice, Inc. 43,708 79 * Vical, Inc. 18,186 79 * Versant Corp. 129,397 79 * Virologic, Inc. 62,011 79 * SBS Technologies, Inc. 8,000 79 Century Aluminum Co. 11,100 78 * Universal Access Global Holdings Inc. 185,337 78 * First Advantage Corp. Class A 4,605 77 * IntraBiotics Pharmaceuticals, Inc. 19,079 76 * Introgen Therapeutics, Inc. 14,000 76 * Willis Lease Finance Corp. 16,345 76 Citizens South Banking Corp. 5,754 76 ================================================================================ 35 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Nature's Sunshine Inc. 9,425 75 * VIA NET.WORKS, Inc. 76,174 75 First Defiance Financial Corp. 3,800 75 * Bluegreen Corp. 15,800 75 * Lantronix, Inc. 101,239 75 Warwick Community Bancorp, Inc. 2,535 74 Warwick Valley Telephone Co. 900 74 * American Access Technologies Inc. 70,247 74 * Perini Corp. 9,200 73 * Impreso, Inc. 32,000 72 Independence Holding Co. 3,406 72 * Pomeroy IT Solutions, Inc. 6,500 72 * Clearone Communications Inc. 32,200 71 Cavalry Bancorp, Inc. 4,200 71 * Ezenia!, Inc. 102,053 70 * Cholestech Corp. 7,100 70 * Webco Industries, Inc. 24,323 69 * Targeted Genetics Corp. 38,079 69 * Stratos Lightwave, Inc. 13,911 69 * TippingPoint Technologies Inc. 8,671 69 * eXegenics Inc. 131,711 68 * Anthony & Sylvan Pools Corp. 26,081 68 * Amcast Industrial Corp. 78,041 68 * NetScout Systems, Inc. 12,600 68 Woodhead Industries, Inc. 5,400 68 * Terremark Worldwide, Inc. 77,700 68 * Brookstone, Inc. 3,300 67 * Optika Inc. 44,196 66 * Amtech Systems, Inc. 18,932 66 Boykin Lodging Co. REIT 8,400 66 * Pemstar Inc. 15,600 65 Sypris Solutions, Inc. 6,300 65 * Merisel, Inc. 14,170 65 * Hanover Direct, Inc. 228,984 64 * The Princeton Review, Inc. 10,859 64 Collins Industries, Inc. 18,100 63 * Terra Industries, Inc. 58,781 63 * Petroleum Development Corp. 6,800 62 * 24/7 Real Media, Inc. 76,202 62 * Century Casinos, Inc. 27,100 62 LSB Bancshares, Inc. 3,600 62 * Westmoreland Coal Co. 3,400 61 * A.D.A.M., Inc. 43,345 61 * New Century Equity Holdings Corp. 184,419 61 * Allied Motion Technologies, Inc. 40,478 61 Sun Bancorp, Inc. 3,000 61 Burnham Pacific Properties, Inc. REIT 102,335 60 * Loudeye Corp. 74,834 60 * Earthshell Corp. 146,040 60 American National Bankshares Inc. 2,225 60 * Ampex Corp. Class A 17,507 59 * Storage Computer Corp. 78,329 59 * IVAX Diagnostics, Inc. 11,734 59 Knape & Vogt Manufacturing Co. 5,600 58 * Larscom Inc. 11,373 58 * MTI Technology Corp. 57,869 57 * Blue Martini Software, Inc. 15,484 57 * Bel Fuse, Inc. Class A 2,773 57 * Direct Insite Corp. 30,651 57 * GMX Resources Inc. 29,105 56 * Axonyx Inc. 23,300 56 * 3D Systems Corp. 7,300 56 * RF Monolithics, Inc. 11,427 56 State Bancorp, Inc. 2,835 55 * REX Stores Corp. 4,500 54 * Exponent, Inc. 3,500 54 * Catapult Communications Corp. 5,100 54 * Wilsons The Leather Experts Inc. 7,400 53 * Applied Graphics Technologies, Inc. 64,726 53 * Retractable Technologies, Inc. 6,200 53 * Colorado MEDtech, Inc. 11,100 52 * Bankrate, Inc. 4,300 52 One Liberty Properties, Inc. REIT 3,100 52 * Penton Media, Inc. Class A 87,980 52 * Primus Knowledge Solutions, Inc. 39,611 52 * Lynx Therapeutics, Inc. 13,695 52 * Lightspan Inc. 76,254 52 * Adept Technology, Inc. 116,739 51 * SVB Financial Services 3,150 51 * Finlay Enterprises, Inc. 3,100 51 Coastal Financial Corp. 3,955 51 * Rocky Mountain Chocolate Factory, Inc. 6,381 51 * Newtek Business Services, Inc. 9,600 51 * NMT Medial, Inc. 12,800 51 * eMerge Interactive, Inc. 65,458 50 * Healthcare Services Group, Inc. 3,500 50 * Intraware, Inc. 40,196 50 ABC Bancorp 3,488 50 * ImageWare Systems, Inc. 18,400 50 * Gundle/SLT Environmental, Inc. 3,600 49 Maritrans Inc. 3,300 48 * SatCon Technology Corp. 77,133 48 * Hungarian Telephone and Cable Corp. 5,200 48 * eUniverse, Inc. 13,100 47 Hawkins, Inc. 4,641 47 Abigail Adams National Bancorp., Inc. 2,640 46 * eGain Communications Corp. 97,828 46 * Omega Protein Corp. 9,000 46 * InsWeb Corp. 9,520 45 ================================================================================ 36 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Internet Pictures Corp. 10,620 45 * Star Scientific, Inc. 13,000 45 * HealthAxis, Inc. 90,147 44 * Cherokee Inc. 2,200 44 * Pfsweb Inc. 67,684 43 * DSL.Net, Inc. 82,929 43 * SimpleTech, Inc. 10,500 42 * I-many, Inc. 41,534 42 Hickory Tech Corp. 3,737 42 * Astea International, Inc. 66,248 41 * The Allied Defense Group, Inc. 2,200 41 Liquid Audio, Inc. 114,175 41 * Geerlings & Wade Inc. 30,636 40 * Parallel Petroleum Corp. 10,600 40 * ZEVEX International, Inc. 12,257 39 CNB Florida Bancshares, Inc. 2,500 39 The First Years Inc. 3,200 39 * Omtool, Ltd. 11,972 39 * Andrea Radio Corp. 124,782 39 * ARK Restaurants Corp. 5,000 39 * COMFORCE Corp. 83,292 38 * Precision Optics Corp., Inc. 15,765 37 * i3 Mobile, Inc. 76,831 37 * Ag Services of America, Inc. 6,203 37 * Evergreen Solar, Inc. 27,100 37 * Lesco, Inc. 4,100 37 * Matritech Inc. 15,500 36 * Detwiler, Mitchell & Co. 42,194 36 Noland Co. 1,000 36 National Health Realty Inc. REIT 2,200 35 * Mayor's Jeweler's, Inc. 151,566 35 * Pac-West Telecom, Inc. 47,045 35 Pamrapo Bancorp, Inc. 2,000 35 * Applied Imaging Corp. 22,700 34 Cross Timbers Royalty Trust 1,400 33 * Convera Corp. 8,100 32 * Insightful Corp. 24,016 32 * American Realty Investors, Inc. 2,600 32 Inter Parfums, Inc. 4,300 32 Commercial National Financial Corp. 1,200 32 * National Technical Systems, Inc. 7,293 31 * Rainmaker Systems, Inc. 39,608 31 * Cardima, Inc. 42,685 31 * SEEC, Inc. 22,050 30 FNB Corp./North Carolina 1,204 30 * Tripath Technology Inc. 38,359 30 * Nutraceutical International Corp. 2,700 29 * Versar Inc. 11,100 29 APCO Argentina Inc. 1,300 29 * HEI, Inc. 9,600 29 BRT Realty Trust REIT 1,800 29 * Prime Medical Services, Inc. 6,100 29 Reckson Associates Realty Corp. Class B REIT 1,338 28 Rock of Ages Corp. 4,300 28 * The Middleby Corp. 2,000 28 * A.S.V., Inc. 1,900 28 * MIPS Technologies, Inc. 10,706 27 * Oakwood Homes Corp. 81,969 27 Parkvale Financial Corp. 1,100 27 * LightPath Technologies, Inc. Class A 8,807 27 American Mortgage Acceptance Co. REIT 1,500 26 * Headway Corporate Resources, Inc. 152,392 26 * Lanvision Systems, Inc. 13,075 26 * Magellan Petroleum Corp. 21,466 26 Pittsburgh & West Virginia Railroad REIT 2,927 26 * Artisoft, Inc. 16,051 26 First United Corp. 1,200 26 * Epimmune Inc. 17,657 25 * Serrento Networks Corp. 9,462 25 * Continucare Corp. 63,419 24 * Ducommun, Inc. 1,700 24 * SciQuest, Inc. 6,126 24 * FirePond, Inc. 7,286 23 * Bruker Axs Inc. 7,600 23 * Adams Golf, Inc. 69,466 23 * GraphOn Corp. 113,770 23 * Touch America Holdings, Inc. 343,992 23 * Vornado Operating Inc. REIT 33,478 23 * NaviSite, Inc. 7,739 21 * Navidec, Inc. 7,254 21 * WorldGate Communications, Inc. 61,342 21 * Penn Octane Corp. 6,536 21 * Procom Technology, Inc. 68,825 21 * Rohn Industries Inc. 144,819 20 * Verticalnet, Inc. 12,814 20 * WHX Corp. 9,344 20 * Frontline Communications Corp. 52,685 19 Exchange National Bancshares, Inc. 345 19 Bandag, Inc. Class A 538 19 Comdisco Holding Company, Inc. 58,121 18 * Multilink Technology Corp. Class A 6,660 18 * Orphan Medical, Inc. 1,900 18 * IGI, Inc. 16,672 18 * Deltagen, Inc. 134,646 18 * Star Buffet, Inc. 7,414 17 * Five Star Quality Care, Inc. 11,260 17 * Ansoft Corp. 1,600 17 * Chart Industries, Inc. 89,600 17 ================================================================================ 37 ================================================================================ MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Novatel Wireless, Inc. 6,942 17 * ICO, Inc. 14,343 16 * Paradigm Medical Industries, Inc. 54,000 16 * Sagent Technology, Inc. 106,538 16 * Harken Energy Corp. 39,647 15 * AXT, Inc. 13,200 15 Monmouth Real Estate Investment Corp. REIT 2,163 15 * Major Automotive Cos. Inc. 17,395 15 * The Pantry, Inc. 1,900 15 * Hoenig Group, Inc. 62,830 14 * Beta Oil & Gas, Inc. 10,800 14 * Verso Technologies, Inc. 7,806 14 * VCampus Corp. 5,698 14 * Cornerstone Realty Income Trust, Inc. REIT Cvt. Pfd. 1,854 14 * NexPrise, Inc. 4,253 13 * Allegiance Telecom, Inc. 234,859 13 * Visual Data Corp. 5,528 12 * DA Consulting Group, Inc. 102,051 12 * The Penn Traffic Co. 65,411 12 * Versata, Inc. 6,605 12 * Cytrx Corp. 5,759 11 * CenterSpan Communications Corp. 79,098 11 * Click2learn, Inc. 6,000 10 California National Bancorp 1,028 10 * Vermont Teddy Bear Co., Inc. 2,761 10 * The A Consulting Team, Inc. 18,542 10 * US LEC Corp. Class A 2,500 10 * Nobel Learning Communities, Inc. 2,600 10 * Datakey, Inc. 13,300 9 * Transcontinental Realty Investors, Inc. REIT 600 9 * American Power Technology, Inc. 1,000 8 * Onvia.com, Inc. 2,165 8 * Advanced Lighting Technologies, Inc. 84,977 8 * Rainbow Rentals, Inc. 1,300 7 * Microtek Medical Holdings, Inc. 3,400 7 * GoAmerica, Inc. 20,195 7 * Channell Commercial Corp. 1,200 7 * FirstCity Financial Corp. 2,929 6 * Innovative Companies, Inc. 2,145 6 * Natrol, Inc. 2,500 6 * Cogent Communications Group, Inc. 2,570 6 * Innovative Medical Services 6,829 6 * Valentis, Inc. 1,345 5 * CTI Industries Corp. 2,904 5 * Beacon Power Corp. 17,664 5 * Auspex Systems, Inc. 116,823 5 * DGSE Companies, Inc. 4,000 5 * Landenburg Thalmann Financial Services, Inc. 21,199 5 * Read-Rite Corp. 64,086 5 * Magnum Hunter Resources Inc. Warrants Exp. 3/21/2005 12,588 5 * MacroChem Corp. 4,000 5 * General Chemical Group Inc. 17,001 4 * EasyLink Services Corp. 5,918 4 * Aastrom Biosciences, Inc. 4,000 4 * Daisytek International Corp. 57,599 4 * DiaSys Corp. 5,071 4 * Suburban Lodges of America, Inc. 5,000 4 * MSCi, Inc. 77,293 4 * Datawatch Corp. 1,300 4 * Interactivecorp Cvt. Pfd. 76 4 * Accessity Corp. 9,268 3 * M-WAVE, Inc. 4,000 3 * Microstrategy Inc. Warrants Exp. 6/24/2007 16,344 3 * P-Com, Inc. 34,166 3 * Segue Software, Inc. 1,400 3 * Physiometrix, Inc. 2,000 3 * Bioanalytical Systems, Inc. 1,000 3 FLAG Financial Corp. 200 3 * Koala Corp. 53,300 3 First Bell Bancorp, Inc. 100 3 * SpectRx, Inc. 1,000 2 * Capital Crossing Bank 100 2 * Cross Media Marketing Corp. 9,932 2 * Nucentrix Broadband Networks 2,500 2 Webster City Federal Bancorp 100 2 * Micro Therapeutics, Inc. 500 2 * Corrpro Cos., Inc. 3,200 2 * NTELOS Inc. 97,275 1 * T-3 Energy Services, Inc. 177 1 * Sheffield Pharmaceuticals, Inc. 55,611 1 * T/R Systems, Inc. 1,000 1 * Avalon Digital Marketing Systems, Inc. 4,000 1 * Alanco Technologies, Inc. 1,687 1 * Divine, Inc. 44,899 -- * FiberNet Telecom Group, Inc. 403 -- * Network-1 Security Solutions, Inc. 39,125 -- * Pinnacle Holdings Inc. REIT 99,079 -- * ARTISTdirect, Inc. 634 -- * Wilshire Financial Services Group Inc. 64 -- * Empire of Carolina, Inc. 8,900 -- * Alterra Healthcare Corp. 48,194 -- * Evolve Software, Inc. 1,228 -- * ProcureNet, Inc. 22,500 -- - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $33,663,220) 31,807,077 - -------------------------------------------------------------------------------- 38 FACE MARKET AMOUNT VALUE* (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.4%)(1) - -------------------------------------------------------------------------------- Federal National Mortgage Assn. (2) 1.17%, 7/2/2003 8,000 8,000 Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003 95,445 95,445 1.16%, 7/1/2003---Note E 335,628 335,628 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $439,073) 439,073 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (101.2%) (Cost $34,102,293) 32,246,150 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-1.2%) - -------------------------------------------------------------------------------- Other Assets---Note B 169,364 Liabilities---Note E (537,642) -------------- (368,278) -------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $31,877,872 ================================================================================ *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 1.2%, 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 JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $34,694,338 Overdistributed Net Investment Income (13,895) Accumulated Net Realized Losses (944,437) Unrealized Depreciation Investment Securities (1,856,143) Futures Contracts (1,991) - -------------------------------------------------------------------------------- NET ASSETS $31,877,872 ================================================================================ Investor Shares--Net Assets Applicable to 834,432,438 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $18,764,301 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $22.49 ================================================================================ Admiral(TM) Shares--Net Assets Applicable to 261,551,676 outstanding par value shares of beneficial interest (unlimited authorization) $5,881,933 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE--- ADMIRAL SHARES $22.49 ================================================================================ Institutional Shares--Net Assets Applicable to 241,113,998 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $5,422,674 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE---- INSTITUTIONAL SHARES $22.49 ================================================================================ VIPER(R) Shares--Net Assets Applicable to 19,579,187 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $1,808,964 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE--- VIPER SHARES $92.39 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 39 (C) 2003 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. F852 082003 Item 2: Code(s) of Ethics for senior financial officers - Item not applicable to semi-annual report. Item 3: Audit Committee Financial Expert - Item not applicable to semi-annual report. Item 4: Principal Accountant Fees and Services - Item not applicable to semi-annual report. Item 5: Not Applicable. Item 6: Reserved. Item 7: Not applicable. Item 8: Reserved. Item 9: Controls and Procedures. (a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. (b) Internal Controls. There were no significant changes in Registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Item 10: Exhibits attached hereto. (Attach certifications as exhibits) Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. VANGUARD INDEX FUNDS BY: (signature) ---------------------------------------- (HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER Date: August 18, 2003 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. VANGUARD INDEX FUNDS BY: (signature) ---------------------------------------- (HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER Date: : August 18, 2003 VANGUARD INDEX FUNDS BY: (signature) ---------------------------------------- (HEIDI STAM) THOMAS J. HIGGINS* TREASURER Date: : August 18, 2003 *By Power of Attorney. See File Number 2-57689, filed on December 26, 2002. Incorporated by Reference. EX-99 3 cert302.txt US STOCK INDEX FUNDS CERTIFICATION 302 CERTIFICATIONS I, John J. Brennan, certify that: 1. I have reviewed this report on Form N-CSR of Vanguard Index Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 18, 2003 ---------------------------- Chief Executive Officer CERTIFICATIONS I, Thomas J. Higgins, certify that: 1. I have reviewed this report on Form N-CSR of Vanguard Index Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 18, 2003 ----------------------- Treasurer EX-99.1 4 cert906.txt US STOCK INDEX FUNDS CERTIFICATION 906 Certification Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 Name of Issuer: VANGUARD INDEX FUNDS In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. Date: August 18, 2003 ________________________________ John J. Brennan Chief Executive Officer CERTIFICATION PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 Name of Issuer: VANGUARD INDEX FUNDS In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his knowledge, that: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the issuer. Date: August 18, 2003 ________________________________ Thomas J. Higgins Treasurer -----END PRIVACY-ENHANCED MESSAGE-----