-----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, MQPaGJ/BZGdXt+BAYeym/VaHkQgGIKErTSy8EDg/BO84sfQGI9plbR79KREQvVHE 6UjVUr/fKrRYgddj5WDf7Q== 0000932471-03-000723.txt : 20030826 0000932471-03-000723.hdr.sgml : 20030826 20030826102021 ACCESSION NUMBER: 0000932471-03-000723 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030630 FILED AS OF DATE: 20030826 EFFECTIVENESS DATE: 20030826 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD INSTITUTIONAL INDEX FUND CENTRAL INDEX KEY: 0000862084 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-06093 FILM NUMBER: 03865559 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 INSTITUTIONAL EQUITY INDEX FUND INC DATE OF NAME CHANGE: 19900701 N-CSR 1 instindexformncsr.txt VANGUARD INSTITUTIONAL INDEX FUNDS SEMI ANNUAL 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: 811-6093 Name of Registrant: Vanguard Institutional 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) INSTITUTIONAL 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 - -------------------------------------------------------------------------------- * Both share classes of Vanguard Institutional Index Fund returned 11.8% in the first half of the year, matching the return of the fund's target benchmark. * Every major stock sector rose as investor optimism surged during the second quarter. * The fund's 15.4% advance in the second three months of the year represented its largest quarterly gain since the fourth quarter of 1998. - -------------------------------------------------------------------------------- ================================================================================ CONTENTS - -------------------------------------------------------------------------------- 1 Letter from the Chairman 5 Fund Profile 6 Glossary of Investment Terms 7 Performance Summary 8 Financial Statements - -------------------------------------------------------------------------------- ================================================================================ LETTER FROM THE CHAIRMAN [picture of John J. Brennan] Dear Shareholder, During the six months ended June 30, 2003, both share classes of Vanguard Institutional Index Fund returned 11.8% as investor confidence surged during the second quarter. Your fund's returns 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 adjacent table provides the total returns for your fund (both the Institutional and Institutional Plus Shares) and its comparative yardsticks. The per-share components of your fund's total returns appear on page 4. ==================================================== TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2003 - ---------------------------------------------------- VANGUARD INSTITUTIONAL INDEX FUND Institutional Shares 11.8% Institutional Plus Shares 11.8 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, 2003. Indeed, the start of the war in mid-March marked the beginning of a sharp rally in stocks that outlasted the conflict. 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) 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). 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. 1 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%--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, tracking Fed moves with a lag--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 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. ===================================================================== A SECOND-QUARTER RALLY PROVIDED A WELCOME BOOST Vanguard Institutional Index Fund's performance during the first half of 2003--like that of the S&P 500 Index--was dominated by a second-quarter rally that brought a welcome reprieve from the three-year bear market in stocks. The fund's 11.8% advance for the six months ended June 30 was due to its 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. 2 Every sector 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 of 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 that fell into this group included consumer staples, integrated oils, materials & processing, and auto & transportation. 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 Institutional Index Fund, your institution automatically has exposure to all 500 stocks that make up the S&P 500. Because these stocks constitute a 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 the best plan is to maintain a diversified portfolio of investments suited to your organization's circumstances and goals. When following this strategy, the Institutional Index Fund serves as an excellent long-term core investment because it is so diversified across the larger-company arena. Your institution also benefits from the fund's rock-bottom operating expenses. The fund's annualized expense ratios (operating costs as a percentage of assets) for the first six months of the year were just 0.05% for the Institutional Shares and a mere 0.025% for the ================================================================================ EVERY SECTOR OF THE MARKET GAINED GROUND OVER THE PAST SIX MONTHS. TECH STOCKS LED THE WAY AS INVESTORS ANTICIPATED A REVIVAL IN SALES OF TECHNOLOGY EQUIPMENT AND SERVICES. ================================================================================ 3 Institutional Plus Shares, compared with last year's average of 1.41% for large-cap core funds. This substantial cost difference helps your organization's investment in the fund 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 - -------------------------------------------------------------------------------- Institutional Index Fund Institutional Shares $80.45 $89.21 $0.67 $0.00 Institutional Plus Shares 80.45 89.21 0.68 0.00 ================================================================================ 4 ================================================================================ 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 6. INSTITUTIONAL INDEX FUND ================================================================================ PORTFOLIO CHARACTERISTICS TARGET FUND INDEX* - --------------------------------------------------- Number of Stocks 502 500 Median Market Cap $50.4B $50.4B Price/Earnings Ratio 20.9x 20.9x Price/Book Ratio 3.0x 3.0x Yield 1.7% Institutional Shares 1.7% Institutional Plus Shares 1.7% Return on Equity 22.4% 22.4% Earnings Growth Rate 8.5% 8.5% Foreign Holdings 0.0% 0.0% Turnover Rate 7%** -- Expense Ratio -- Institutional Shares 0.05%** Institutional Plus Shares 0.025%** 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 - ------------------------------------------------ ==================================== INVESTMENT FOCUS STYLE -- BLEND MARKET CAP -- LARGE ==================================== ====================================================== 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 - ------------------------------------------------------ Visit our website at WWW.VANGUARD.COM for regularly updated fund information. *S&P 500 Index. **Annualized. 5 ================================================================================ GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the fund's target index. The index is assigned a beta of 1.00. A fund with a beta of 1.20 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 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. ================================================================================ 6 ================================================================================ 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. INSTITUTIONAL INDEX FUND ================================================================================ Fiscal-Year Total Returns (%) December 31, 1992-June 30, 2003 SCALE RANGE -40% to 60% INSTITUTIONAL INDEX FUND INSTITUTIONAL SHARES S & P 500 Index ------------------------ ---------------- 1993 10.0% 10.1 1994 1.3 1.3 1995 37.6 37.6 1996 23.1 23.0 1997 33.4 33.4 1998 28.8 28.6 1999 21.2 21.0 2000 -8.9 -9.1 2001 -11.9 -11.9 2002 -22.0 -22.1 2003* 11.8 11.8 *Six months ended June 30, 2003. Note: See Financial Highlights tables on pages 17-18 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 - -------------------------------------------------------------------------------- Institutional Index Fund Institutional Shares 7/31/1990 0.37% -1.52% 8.14% 1.96% 10.10% Institutional Plus Shares 7/7/1997 0.39 -1.49 1.22* 1.47* 2.69* - -------------------------------------------------------------------------------- *Return since inception. 7 ================================================================================ 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* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.2%)(1) - -------------------------------------------------------------------------------- General Electric Co. 37,298,703 1,069,727 Microsoft Corp. 40,084,112 1,026,554 Pfizer Inc. 29,476,160 1,006,611 ExxonMobil Corp. 24,937,757 895,515 Wal-Mart Stores, Inc. 16,348,831 877,442 Citigroup, Inc. 19,220,385 822,632 Johnson & Johnson 11,084,245 573,055 American International Group, Inc. 9,738,638 537,378 International Business Machines Corp. 6,451,612 532,258 Intel Corp. 24,405,324 507,240 Merck & Co., Inc. 8,371,916 506,920 Bank of America Corp. 5,593,065 442,020 * Cisco Systems, Inc. 26,204,830 437,359 The Procter & Gamble Co. 4,833,917 431,089 The Coca-Cola Co. 9,196,775 426,822 Verizon Communications 10,268,253 405,083 Altria Group, Inc. 7,559,941 343,524 SBC Communications Inc. 12,404,423 316,933 Wells Fargo & Co. 6,254,124 315,208 * Amgen, Inc. 4,702,533 312,436 * Dell Computer Corp. 9,588,902 306,461 Eli Lilly & Co. 4,194,826 289,317 ChevronTexaco Corp. 3,988,692 287,984 PepsiCo, Inc. 6,414,711 285,455 * Viacom Inc. Class B 6,519,934 284,660 - -------------------------------------------------------------------------------- ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Home Depot, Inc. 8,578,341 284,115 * AOL Time Warner Inc. 16,790,326 270,156 United Parcel Service, Inc. 4,201,335 267,625 J.P. Morgan Chase & Co. 7,583,849 259,216 Abbott Laboratories 5,828,021 255,034 Fannie Mae 3,665,041 247,170 Hewlett-Packard Co. 11,396,666 242,749 * Oracle Corp. 19,575,106 235,293 Wyeth 4,958,155 225,844 * Comcast Corp. Class A 7,464,358 225,274 Medtronic, Inc. 4,553,250 218,419 American Express Co. 4,842,528 202,466 Wachovia Corp. 5,022,406 200,695 Bristol-Myers Squibb Co. 7,236,942 196,483 3M Co. 1,459,275 188,217 BellSouth Corp. 6,895,441 183,626 U.S. Bancorp 7,167,481 175,603 Morgan Stanley 4,059,507 173,544 Merrill Lynch & Co., Inc. 3,473,533 162,145 Bank One Corp. 4,288,787 159,457 Anheuser-Busch Cos., Inc. 3,116,585 159,102 E.I. du Pont de Nemours & Co. 3,718,633 154,844 The Walt Disney Co. 7,628,618 150,665 The Goldman Sachs Group, Inc. 1,753,266 146,836 Washington Mutual, Inc. 3,476,849 143,594 Tyco International Ltd. 7,455,637 141,508 ConocoPhillips 2,534,234 138,876 Freddie Mac 2,567,357 130,345 ================================================================================ 8 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Target Corp. 3,400,467 128,674 Lowe's Cos., Inc. 2,911,471 125,048 United Technologies Corp. 1,747,007 123,741 * eBay Inc. 1,185,417 123,497 Fifth Third Bancorp 2,144,047 122,940 Gillette Co. 3,812,657 121,471 FleetBoston Financial Corp. 3,926,067 116,643 Colgate-Palmolive Co. 2,008,857 116,413 First Data Corp. 2,792,661 115,728 Walgreen Co. 3,826,646 115,181 Texas Instruments, Inc. 6,456,514 113,635 UnitedHealth Group Inc. 2,212,595 111,182 The Boeing Co. 3,139,156 107,736 Cardinal Health, Inc. 1,666,679 107,167 Dow Chemical Co. 3,418,314 105,831 QUALCOMM Inc. 2,947,430 105,371 McDonald's Corp. 4,750,390 104,794 Schlumberger Ltd. 2,174,028 103,419 Marsh & McLennan Cos., Inc. 1,999,043 102,091 Schering-Plough Corp. 5,484,405 102,010 MBNA Corp. 4,770,374 99,415 Kimberly-Clark Corp. 1,898,864 99,007 * Applied Materials, Inc. 6,188,175 98,144 * Clear Channel Communications, Inc. 2,292,985 97,200 Allstate Corp. 2,628,330 93,700 * Boston Scientific Corp. 1,531,505 93,575 Honeywell International Inc. 3,203,150 86,005 * EMC Corp. 8,165,516 85,493 Southern Co. 2,694,727 83,968 * AT&T Wireless Services Inc. 10,125,302 83,129 The Bank of New York Co., Inc. 2,878,834 82,766 Motorola, Inc. 8,646,153 81,533 Alcoa Inc. 3,155,970 80,477 Metropolitan Life Insurance Co. 2,838,254 80,379 Emerson Electric Co. 1,571,703 80,314 Lockheed Martin Corp. 1,680,504 79,942 Gannett Co., Inc. 1,002,894 77,032 Carnival Corp. 2,346,971 76,300 Illinois Tool Works, Inc. 1,148,411 75,623 Automatic Data Processing, Inc. 2,232,879 75,605 General Motors Corp. 2,093,259 75,357 Ford Motor Co. 6,833,914 75,105 National City Corp. 2,283,843 74,705 Dominion Resources, Inc. 1,160,502 74,585 * Forest Laboratories, Inc. 1,355,409 74,209 * Yahoo! Inc. 2,252,313 73,786 Sysco Corp. 2,425,552 72,864 Exelon Corp. 1,210,605 72,406 Caterpillar, Inc. 1,286,099 71,584 * Cendant Corp. 3,801,882 69,650 * NEXTEL Communications, Inc. 3,838,575 69,401 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Prudential Financial, Inc. 2,055,274 69,160 FedEx Corp. 1,113,990 69,101 Duke Energy Corp. 3,364,635 67,124 SLM Corp. 1,689,103 66,162 General Mills, Inc. 1,379,874 65,420 * Kohl's Corp. 1,265,111 65,001 International Paper Co. 1,788,277 63,895 The Gap, Inc. 3,325,303 62,383 * Costco Wholesale Corp. 1,703,189 62,337 BB&T Corp. 1,812,956 62,184 SunTrust Banks, Inc. 1,045,798 62,058 HCA Inc. 1,910,199 61,203 Lehman Brothers Holdings, Inc. 905,711 60,212 Progressive Corp. of Ohio 812,749 59,412 Travelers Property Casualty Corp. Class B 3,757,785 59,260 AFLAC Inc. 1,916,855 58,943 Northrop Grumman Corp. 682,968 58,933 Baxter International, Inc. 2,229,509 57,967 AT&T Corp. 2,935,693 56,512 ALLTEL Corp. 1,161,465 56,006 Tribune Co. 1,153,695 55,723 * Sun Microsystems, Inc. 12,058,680 55,470 Union Pacific Corp. 948,659 55,040 Sara Lee Corp. 2,901,717 54,581 Avon Products, Inc. 876,269 54,504 General Dynamics Corp. 737,253 53,451 Waste Management, Inc. 2,208,132 53,194 * Best Buy Co., Inc. 1,203,189 52,844 NIKE, Inc. Class B 985,022 52,689 The Hartford Financial Services Group Inc. 1,044,398 52,596 Kellogg Co. 1,517,931 52,171 PNC Financial Services Group 1,056,008 51,544 Stryker Corp. 741,289 51,423 Guidant Corp. 1,154,938 51,268 Charles Schwab Corp. 5,038,721 50,841 Omnicom Group Inc. 703,951 50,473 Raytheon Co. 1,532,999 50,344 Southwest Airlines Co. 2,908,268 50,022 State Street Corp. 1,240,269 48,867 Newmont Mining Corp. (Holding Company) 1,500,692 48,712 Sprint Corp. 3,356,998 48,341 Computer Associates International, Inc. 2,158,427 48,090 Occidental Petroleum Corp. 1,416,122 47,511 * Analog Devices, Inc. 1,364,040 47,496 ConAgra Foods, Inc. 2,003,812 47,290 Wm. Wrigley Jr. Co. 839,729 47,218 * The Kroger Co. 2,817,244 46,992 Devon Energy Corp. 861,731 46,016 ================================================================================ 9 ================================================================================ MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * WellPoint Health Networks Inc. Class A 544,633 45,913 FPL Group, Inc. 684,378 45,751 Golden West Financial Corp. 569,497 45,565 Harley-Davidson, Inc. 1,128,111 44,967 Mellon Financial Corp. 1,609,963 44,676 Entergy Corp. 842,563 44,470 * Veritas Software Corp. 1,547,793 44,375 The McGraw-Hill Cos., Inc. 712,235 44,159 Weyerhaeuser Co. 817,270 44,133 American Electric Power Co., Inc. 1,473,606 43,958 H.J. Heinz Co. 1,311,283 43,246 * Bed Bath & Beyond, Inc. 1,101,652 42,755 FirstEnergy Corp. 1,110,702 42,706 Masco Corp. 1,779,675 42,445 XL Capital Ltd. Class A 509,624 42,299 Baker Hughes, Inc. 1,256,248 42,172 Capital One Financial Corp. 844,819 41,548 The Chubb Corp. 690,651 41,439 Maxim Integrated Products, Inc. 1,211,237 41,412 Anadarko Petroleum Corp. 930,755 41,391 CVS Corp. 1,470,291 41,212 Paychex, Inc. 1,404,587 41,168 Deere & Co. 893,329 40,825 Equity Office Properties Trust REIT 1,502,943 40,594 Burlington Resources, Inc. 749,269 40,513 * Apollo Group, Inc. Class A 653,792 40,378 * Electronic Arts Inc. 543,355 40,203 KeyCorp 1,578,719 39,894 * Anthem, Inc. 516,704 39,864 Burlington Northern Santa Fe Corp. 1,390,318 39,541 Progress Energy, Inc. 898,419 39,441 The Principal Financial Group, Inc. 1,221,148 39,382 Apache Corp. 602,950 39,228 Danaher Corp. 570,297 38,809 Sears, Roebuck & Co. 1,149,377 38,665 McKesson Corp. 1,081,102 38,639 * St. Jude Medical, Inc. 671,941 38,637 Electronic Data Systems Corp. 1,784,596 38,280 Linear Technology Corp. 1,167,960 37,620 Campbell Soup Co. 1,531,832 37,529 Halliburton Co. 1,631,164 37,517 Allergan, Inc. 485,986 37,470 Franklin Resources Corp. 946,725 36,989 Becton, Dickinson & Co. 950,456 36,925 Praxair, Inc. 606,192 36,432 TJX Cos., Inc. 1,914,717 36,073 Consolidated Edison Inc. 833,056 36,055 * Starbucks Corp. 1,456,969 35,725 - -------------------------------------------------------------------------------- ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Public Service Enterprise Group, Inc. 842,748 35,606 Air Products & Chemicals, Inc. 848,094 35,281 * Corning, Inc. 4,722,172 34,897 SouthTrust Corp. 1,269,268 34,524 The Clorox Co. 808,662 34,489 Northern Trust Corp. 823,011 34,394 * Agilent Technologies, Inc. 1,758,330 34,375 * MedImmune Inc. 940,646 34,211 Hershey Foods Corp. 489,750 34,116 Aetna Inc. 566,610 34,110 * Intuit, Inc. 765,791 34,101 Countrywide Financial Corp. 487,381 33,907 ACE, Ltd. 987,564 33,864 * Safeway, Inc. 1,647,075 33,699 * Lexmark International, Inc. 475,767 33,670 * Genzyme Corp.-General Division 805,241 33,659 Pitney Bowes, Inc. 874,231 33,579 * Staples, Inc. 1,816,502 33,333 Marriott International, Inc. Class A 865,281 33,244 John Hancock Financial Services, Inc. 1,078,348 33,138 * KLA-Tencor Corp. 710,233 33,019 * Zimmer Holdings, Inc. 732,928 33,018 Loews Corp. 692,000 32,725 * International Game Technology 318,830 32,626 * PG&E Corp. 1,526,940 32,295 * Yum! Brands, Inc. 1,091,656 32,269 PPG Industries, Inc. 633,333 32,135 * Xilinx, Inc. 1,259,093 31,868 * Lucent Technologies, Inc. 15,437,026 31,337 Mattel, Inc. 1,640,280 31,034 St. Paul Cos., Inc. 849,304 31,008 Archer-Daniels-Midland Co. 2,404,639 30,948 * Xerox Corp. 2,918,386 30,906 Coca-Cola Enterprises, Inc. 1,686,704 30,614 Marathon Oil Corp. 1,156,211 30,466 * Chiron Corp. 696,106 30,434 Comerica, Inc. 653,638 30,394 * Qwest Communications International Inc. 6,330,434 30,259 Limited Brands, Inc. 1,949,205 30,213 Ingersoll-Rand Co. 632,098 29,911 PACCAR, Inc. 433,807 29,308 Eastman Kodak Co. 1,069,651 29,255 Moody's Corp. 553,579 29,179 H & R Block, Inc. 668,419 28,909 Newell Rubbermaid, Inc. 1,023,007 28,644 AmSouth Bancorp 1,310,686 28,625 AmerisourceBergen Corp. 411,979 28,571 Johnson Controls, Inc. 332,704 28,479 ================================================================================ 10 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Fortune Brands, Inc. 542,054 28,295 Aon Corp. 1,164,650 28,045 Regions Financial Corp. 828,816 27,997 Norfolk Southern Corp. 1,454,486 27,926 Adobe Systems, Inc. 865,269 27,749 Unocal Corp. 962,875 27,625 Biomet, Inc. 963,445 27,612 Simon Property Group, Inc. REIT 705,164 27,523 * SunGard Data Systems, Inc. 1,061,272 27,497 PPL Corp. 629,046 27,049 TXU Corp. 1,202,557 26,997 * Concord EFS, Inc. 1,826,552 26,887 * Comcast Corp. Special Class A 932,053 26,871 Bear Stearns Co., Inc. 369,924 26,790 * Computer Sciences Corp. 698,707 26,635 Ameren Corp. 601,572 26,529 Albertson's, Inc. 1,376,649 26,432 * Micron Technology, Inc. 2,271,146 26,413 Equity Residential REIT 1,017,035 26,392 Ambac Financial Group, Inc. 396,647 26,278 * Transocean Inc. 1,193,191 26,214 MBIA, Inc. 536,991 26,178 Charter One Financial, Inc. 839,574 26,178 * Apple Computer, Inc. 1,364,010 26,080 * Broadcom Corp. 1,045,165 26,035 * Univision Communications Inc. 855,407 26,004 Marshall & Ilsley Corp. 845,687 25,861 * AutoZone Inc. 339,619 25,801 Federated Department Stores, Inc. 699,647 25,782 Rohm & Haas Co. 828,591 25,711 * Fiserv, Inc. 720,841 25,669 New York Times Co. Class A 563,059 25,619 Ecolab, Inc. 980,420 25,099 * Quest Diagnostics, Inc. 393,188 25,085 Kinder Morgan, Inc. 455,651 24,901 CIGNA Corp. 523,178 24,558 Family Dollar Stores, Inc. 641,932 24,490 Synovus Financial Corp. 1,133,745 24,376 DTE Energy Co. 626,828 24,221 * Symantec Corp. 551,245 24,178 Cinergy Corp. 657,029 24,172 CSX Corp. 797,469 23,996 May Department Stores Co. 1,076,464 23,962 Lincoln National Corp. 662,425 23,602 * Altera Corp. 1,428,798 23,432 Union Planters Corp. 740,942 22,991 Dollar General Corp. 1,244,747 22,729 Dover Corp. 755,799 22,644 Cintas Corp. 636,168 22,546 ITT Industries, Inc. 342,864 22,444 Xcel Energy, Inc. 1,487,809 22,377 Cincinnati Financial Corp. 599,462 22,234 - -------------------------------------------------------------------------------- ================================================================================ MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Sempra Energy 774,165 22,087 * BJ Services Co. 589,865 22,037 Jefferson-Pilot Corp. 530,367 21,989 * Sprint PCS 3,818,749 21,958 Eaton Corp. 278,427 21,887 UST, Inc. 624,442 21,874 * Nabors Industries, Inc. 543,470 21,494 Starwood Hotels & Resorts Worldwide, Inc. 748,677 21,405 Constellation Energy Group, Inc. 616,957 21,162 Monsanto Co. 975,569 21,111 * Biogen, Inc. 553,583 21,036 Knight Ridder 304,927 21,019 KeySpan Corp. 587,094 20,812 * PeopleSoft, Inc. 1,181,093 20,775 Genuine Parts Co. 648,343 20,753 Avery Dennison Corp. 412,259 20,695 First Tennessee National Corp. 471,284 20,694 The Pepsi Bottling Group, Inc. 1,026,367 20,548 * Network Appliance, Inc. 1,266,189 20,525 * Novellus Systems, Inc. 559,453 20,488 * Tenet Healthcare Corp. 1,741,231 20,285 North Fork Bancorp, Inc. 586,447 19,974 * Edison International 1,215,681 19,974 * American Standard Cos., Inc. 267,998 19,813 Textron, Inc. 503,778 19,657 Interpublic Group of Cos., Inc. 1,453,967 19,454 Molex, Inc. 712,373 19,227 * JDS Uniphase Corp. 5,340,564 18,745 NiSource, Inc. 979,844 18,617 CenturyTel, Inc. 534,077 18,613 Parker Hannifin Corp. 441,158 18,524 MeadWestvaco Corp. 747,740 18,469 SAFECO Corp. 516,762 18,231 Centex Corp. 232,464 18,083 El Paso Corp. 2,237,201 18,077 Delphi Corp. 2,090,555 18,041 Hilton Hotels Corp. 1,407,050 17,996 EOG Resources, Inc. 427,052 17,868 Tiffany & Co. 542,215 17,720 Georgia Pacific Group 934,723 17,713 Plum Creek Timber Co. Inc. REIT 681,875 17,695 Brown-Forman Corp. Class B 225,060 17,694 * Siebel Systems, Inc. 1,826,642 17,426 T. Rowe Price Group Inc. 455,987 17,214 MGIC Investment Corp. 368,374 17,181 * Noble Corp. 497,927 17,079 Zions Bancorp 336,373 17,024 * QLogic Corp. 350,457 16,938 J.C. Penney Co., Inc. (Holding Company) 1,004,564 16,927 Kerr-McGee Corp. 376,671 16,875 ================================================================================ 11 ================================================================================ MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Office Depot, Inc. 1,153,115 16,732 Huntington Bancshares Inc. 852,888 16,648 * AutoNation, Inc. 1,055,554 16,593 RadioShack Corp. 628,895 16,546 * Harrah's Entertainment, Inc. 410,139 16,503 Rockwell Automation, Inc. 692,078 16,499 Amerada Hess Corp. 335,101 16,480 Health Management Associates Class A 891,378 16,446 Rockwell Collins, Inc. 664,949 16,378 * Jabil Circuit, Inc. 740,125 16,357 IMS Health, Inc. 907,731 16,330 Whirlpool Corp. 255,624 16,283 * Watson Pharmaceuticals, Inc. 399,801 16,140 Torchmark Corp. 432,821 16,123 W.W. Grainger, Inc. 341,481 15,968 Williams Cos., Inc. 1,928,971 15,239 * Unisys Corp. 1,221,231 14,997 * Sealed Air Corp. 314,482 14,988 Applera Corp.-Applied Biosystems Group 778,527 14,815 Sherwin-Williams Co. 548,284 14,738 Leggett & Platt, Inc. 718,735 14,734 Janus Capital Group Inc. 893,658 14,656 * AES Corp. 2,287,939 14,528 UnumProvident Corp. 1,074,546 14,410 Cooper Industries, Inc. Class A 348,292 14,384 Sigma-Aldrich Corp. 264,741 14,344 Nucor Corp. 291,996 14,264 * BMC Software, Inc. 871,223 14,227 McCormick & Co., Inc. 519,071 14,119 Liz Claiborne, Inc. 400,067 14,102 Vulcan Materials Co. 379,228 14,058 Pulte Homes, Inc. 227,613 14,035 * Jones Apparel Group, Inc. 476,587 13,945 C.R. Bard, Inc. 193,963 13,832 VF Corp. 402,523 13,674 Equifax, Inc. 525,382 13,660 * NVIDIA Corp. 592,725 13,639 * Citizens Communications Co. 1,056,097 13,613 * Waters Corp. 465,732 13,567 * National Semiconductor Corp. 679,824 13,406 Freeport-McMoRan Copper & Gold, Inc. Class B 543,005 13,304 Scientific-Atlanta, Inc. 556,952 13,278 * King Pharmaceuticals, Inc. 899,104 13,271 Sabre Holdings Corp. 533,823 13,159 Dow Jones & Co., Inc. 303,514 13,060 * Phelps Dodge Corp. 332,372 12,743 Pinnacle West Capital Corp. 340,015 12,734 * Thermo Electron Corp. 603,283 12,681 * Citrix Systems, Inc. 619,161 12,606 - -------------------------------------------------------------------------------- ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Black & Decker Corp. 289,458 12,577 Wendy's International, Inc. 424,525 12,298 * Mercury Interactive Corp. 318,073 12,281 Apartment Investment & Management Co. Class A REIT 350,511 12,128 * Robert Half International, Inc. 635,147 12,030 * Sanmina-SCI Corp. 1,901,926 12,001 * Teradyne, Inc. 689,032 11,926 Darden Restaurants Inc. 628,002 11,919 * Pactiv Corp. 594,175 11,711 R.J. Reynolds Tobacco Holdings, Inc. 314,433 11,700 Engelhard Corp. 469,702 11,635 * Solectron Corp. 3,099,090 11,591 * American Power Conversion Corp. 734,203 11,446 Hasbro, Inc. 646,920 11,315 Symbol Technologies, Inc. 861,158 11,204 Alberto-Culver Co. Class B 218,642 11,173 International Flavors & Fragrances, Inc. 349,588 11,162 Federated Investors, Inc. 406,441 11,145 R.R. Donnelley & Sons Co. 423,204 11,063 KB HOME 177,398 10,995 Sunoco, Inc. 285,580 10,777 SuperValu Inc. 499,657 10,653 * Comverse Technology, Inc. 702,854 10,564 Pall Corp. 459,449 10,338 Fluor Corp. 303,766 10,219 * Tellabs, Inc. 1,539,808 10,117 * Providian Financial Corp. 1,082,535 10,024 Nordstrom, Inc. 507,383 9,904 * LSI Logic Corp. 1,398,104 9,899 Ball Corp. 212,986 9,693 * Toys R Us, Inc. 795,790 9,645 * Calpine Corp. 1,420,193 9,373 CenterPoint Energy Inc. 1,140,945 9,299 Bemis Co., Inc. 198,412 9,286 Deluxe Corp. 206,033 9,230 * Avaya Inc. 1,424,246 9,201 Goodrich Corp. 437,313 9,184 * Convergys Corp. 571,131 9,138 * NCR Corp. 356,483 9,133 * CIENA Corp. 1,759,544 9,132 Eastman Chemical Co. 287,898 9,118 * Humana Inc. 601,182 9,078 The Stanley Works 319,790 8,826 Temple-Inland Inc. 201,862 8,662 Brunswick Corp. 337,218 8,437 * Manor Care, Inc. 334,987 8,378 * Navistar International Corp. 253,950 8,286 * Advanced Micro Devices, Inc. 1,291,606 8,279 ================================================================================ 12 ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Monster Worldwide Inc. 417,636 8,240 Meredith Corp. 185,156 8,147 * Compuware Corp. 1,406,692 8,117 * Millipore Corp. 180,340 8,002 TECO Energy, Inc. 659,304 7,905 * Allied Waste Industries, Inc. 778,168 7,821 * Rowan Cos., Inc. 348,321 7,802 Ashland, Inc. 254,025 7,793 Bausch & Lomb, Inc. 198,788 7,455 * Reebok International Ltd. 220,836 7,427 * PMC Sierra Inc. 629,526 7,384 Maytag Corp. 292,697 7,148 * ADC Telecommunications, Inc. 2,983,450 6,945 * Applied Micro Circuits Corp. 1,130,756 6,841 * Tektronix, Inc. 316,691 6,841 Circuit City Stores, Inc. 773,115 6,803 Autodesk, Inc. 417,041 6,739 Delta Air Lines, Inc. 459,052 6,739 Adolph Coors Co. Class B 135,198 6,622 * Big Lots Inc. 436,068 6,558 PerkinElmer, Inc. 471,092 6,506 Winn-Dixie Stores, Inc. 524,072 6,451 Dana Corp. 553,052 6,393 United States Steel Corp. 385,358 6,308 Snap-On Inc. 216,467 6,284 * Quintiles Transnational Corp. 439,618 6,238 NICOR Inc. 163,801 6,079 Ryder System, Inc. 233,095 5,972 Dynegy, Inc. 1,384,246 5,814 Peoples Energy Corp. 134,776 5,781 Cummins Inc. 155,051 5,565 Boise Cascade Corp. 217,775 5,205 Crane Co. 220,609 4,992 * American Greetings Corp. Class A 246,246 4,836 Cooper Tire & Rubber Co. 274,899 4,835 * Gateway, Inc. 1,200,653 4,382 * Mirant Corp. 1,496,656 4,340 CMS Energy Corp. 533,906 4,325 Worthington Industries, Inc. 321,160 4,304 Dillard's Inc. 316,727 4,266 * Novell, Inc. 1,376,277 4,239 * Louisiana-Pacific Corp. 387,533 4,201 * Hercules, Inc. 407,708 4,036 Allegheny Energy, Inc. 465,655 3,935 Great Lakes Chemical Corp. 186,027 3,795 The Goodyear Tire & Rubber Co. 649,522 3,410 * Andrew Corp. 364,811 3,356 Visteon Corp. 483,690 3,323 * Thomas & Betts Corp. 216,388 3,127 Tupperware Corp. 216,516 3,109 * Parametric Technology Corp. 988,429 3,015 - -------------------------------------------------------------------------------- ================================================================================ MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Power-One, Inc. 309,483 2,213 Allegheny Technologies Inc. 298,898 1,973 * Viacom Inc. Class A 36,030 1,575 * McDermott International, Inc. 244,847 1,550 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $33,709,386) 33,545,298 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.8%)(1) - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. (2) 1.15%, 7/15/2003 $ 5,000 4,998 Federal National Mortgage Assn. (2) 1.17%, 7/2/2003 25,000 24,999 Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003 209,938 209,938 1.16%, 7/1/2003--Note E 30,765 30,765 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $270,693) 270,700 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.0%) (Cost $33,980,079) 33,815,998 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES - -------------------------------------------------------------------------------- Other Assets 160,667 Liabilities--Note E (177,390) ------------- (16,723) ------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $33,799,275 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Securities with an aggregate value of $29,997,000 have been segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. 13 ================================================================================ INSTITUTIONAL INDEX FUND AMOUNT (000) - -------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $35,805,900 Undistributed Net Investment Income 16,157 Accumulated Net Realized Losses (1,851,263) Unrealized Depreciation Investment Securities (164,081) Futures Contracts (7,438) - -------------------------------------------------------------------------------- NET ASSETS $33,799,275 ================================================================================ Institutional Shares---Net Assets Applicable to 270,766,840 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $24,155,077 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $89.21 ================================================================================ Institutional Plus Shares--Net Assets Applicable to 108,104,978 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $9,644,198 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL PLUS SHARES $89.21 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 14 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. ================================================================================ INSTITUTIONAL INDEX FUND SIX MONTHS ENDED JUNE 30, 2003 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME Income Dividends $ 267,309 Interest 1,863 Security Lending 147 - -------------------------------------------------------------------------------- Total Income 269,319 - -------------------------------------------------------------------------------- Expenses The Vanguard Group--Note B Management and Administrative Institutional Shares 5,289 Institutional Plus Shares 1,100 - -------------------------------------------------------------------------------- Total Expenses 6,389 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 262,930 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold 39,357 Futures Contracts 43,386 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) 82,743 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 3,173,225 Futures Contracts (2,035) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 3,171,190 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $3,516,863 ================================================================================ 15 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how the fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. ================================================================================ INSTITUTIONAL INDEX FUND ---------------------------- SIX MONTHS YEAR ENDED ENDED JUNE 30, 2003 DEC. 31, 2002 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 262,930 $ 511,688 Realized Net Gain (Loss) 82,743 (809,110) Change in Unrealized Appreciation (Depreciation) 3,171,190 (8,001,191) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 3,516,863 (8,298,613) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Institutional Shares (176,798) (343,006) Institutional Plus Shares (73,201) (166,485) Realized Capital Gain Institutional Shares -- -- Institutional Plus Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (249,999) (509,491) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Institutional Shares 1,467,159 2,043,582 Institutional Plus Shares (338,348) 654,816 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 1,128,811 2,698,398 - -------------------------------------------------------------------------------- Total Increase (Decrease) 4,395,675 (6,109,706) - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 29,403,600 35,513,306 - -------------------------------------------------------------------------------- End of Period $33,799,275 $29,403,600 ================================================================================ 16 FINANCIAL HIGHLIGHTS This table summarizes the fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
INSTITUTIONAL INDEX FUND INSTITUTIONAL SHARES - -------------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, ENDED ---------------------------------------------- JUNE 30, 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $80.45 $104.89 $120.72 $134.02 $112.85 $ 89.56 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .70 1.42 1.374 1.403 1.501 1.429 Net Realized and Unrealized Gain (Loss) on Investments 8.73 (24.45) (15.829) (13.303) 22.143 24.177 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 9.43 (23.03) (14.455) (11.900) 23.644 25.606 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.67) (1.41) (1.375) (1.400) (1.514) (1.416) Distributions from Realized Capital Gains -- -- -- -- (.960) (.900) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (.67) (1.41) (1.375) (1.400) (2.474) (2.316) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $89.21 $80.45 $104.89 $120.72 $134.02 $112.85 ==================================================================================================================== TOTAL RETURN 11.77% -22.03% -11.93% -8.95% 21.17% 28.79% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $24,155 $20,361 $24,165 $26,406 $28,918 $22,338 Ratio of Total Expenses to Average Net Assets 0.05%* 0.05% 0.05% 0.06% 0.06% 0.06% Ratio of Net Investment Income to Average Net Assets 1.73%* 1.57% 1.27% 1.10% 1.25% 1.46% Portfolio Turnover Rate** 7%* 10% 8% 11% 14% 11% ==================================================================================================================== *Annualized **Portfolio turnover rates excluding in-king redemptions were 5%, 8%, 5%, 7%, 3%, and 7%, respectively.
17 Financial Highlights (continued)
INSTITUTIONAL INDEX FUND INSTITUTIONAL PLUS SHARES - -------------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED DECEMBER 31, ENDED ---------------------------------------------- JUNE 30, 2003 2002 2001 2000 1999 1998 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $80.45 $104.89 $120.72 $134.02 $112.85 $89.56 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .71 1.438 1.405 1.449 1.542 1.464 Net Realized and Unrealized Gain (Loss) on Investments 8.73 (24.446) (15.829) (13.302) 22.143 24.177 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 9.44 (23.008) (14.424) (11.853) 23.685 25.641 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.68) (1.432) (1.406) (1.447) (1.555) (1.451) Distributions from Realized Capital Gains -- -- -- -- (.960) (.900) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (.68) (1.432) (1.406) (1.447) (2.515) (2.351) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $89.21 $80.45 $104.89 $120.72 $134.02 $112.85 ==================================================================================================================== TOTAL RETURN 11.78% -22.01% -11.90% -8.92% 21.21% 28.83% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $9,644 $9,042 $11,349 $10,765 $6,861 $4,951 Ratio of Total Expenses to Average Net Assets 0.025%* 0.025% 0.025% 0.025% 0.025% 0.025% Ratio of Net Investment Income to Average Net Assets 1.75%* 1.59% 1.31% 1.14% 1.29% 1.49% Portfolio Turnover Rate** 7%* 10% 8% 11% 14% 11% ====================================================================================================================
*Annualized. **Portfolio turnover rates excluding in-kind redemptions were 5%, 8%, 5%, 7%, 3%, and 7%, respectively. NOTES TO FINANCIAL STATEMENTS Vanguard Institutional 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, Institutional Shares and Institutional Plus Shares, to investors who invest minimum amounts of $10 million and $200 million, respectively. 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 (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 18 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 into 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. Class-specific shareholder servicing fees are charged to each class at the contractual rate. Income, expenses not attributable to a specific class, and realized and unrealized gains and losses on investments areallocated to each class of shares based on its relative net assets. B. The Vanguard Group provides investment advisory, corporate management, administrative, marketing, and distribution services and pays for all other operating expenses, except for taxes, in return for a fee calculated at an annual percentage rate of the average net assets of the fund, or, for shareholder services, each class of shares. The fund's trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. During the six months ended June 30, 2003, the fund realized $184,292,000 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 fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. 19 NOTES TO FINANCIAL STATEMENTS (continued) 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 $1,747,175,000 to offset future net capital gains of $48,662,000 through December 31, 2008, $385,640,000 through December 31, 2009, $1,269,960,000 through December 31, 2010, and $42,913,000 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 depreciation of investment securities for tax purposes was $164,081,000, consisting of unrealized gains of $5,362,717,000 on securities that had risen in value since their purchase and $5,526,798,000 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 1,100 $267,658 $(7,438) ================================================================================ 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 $2,268,912,000 of investment securities and sold $1,089,735,000 of investment securities, other than temporary cash investments. E. The market value of securities on loan to broker/dealers at June 30, 2003, was $28,660,000, for which the fund held cash collateral of $30,765,000. The fund invests cash collateral received in repurchase agreements, and records a liability for the return of the collateral, during the period the securities are on loan. F. Capital share transactions for each class of shares were:
=================================================================================================== SIX MONTHS ENDED YEAR ENDED JUNE 30, 2003 DECEMBER 31, 2002 ------------------ ----------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------- Institutional Shares Issued $3,595,906 43,540 $7,072,507 78,769 Issued in Lieu of Cash Distributions 159,353 1,882 304,440 3,556 Redeemed (2,288,100) (27,738) (5,333,365) (59,617) ------------------------------------------------ Net Increase (Decrease)--Institutional Shares 1,467,159 17,684 2,043,582 22,708 ------------------------------------------------ Institutional Plus Shares Issued $ 716,102 8,697 $3,287,769 34,935 Issued in Lieu of Cash Distributions 69,704 825 146,545 1,711 Redeemed (1,124,154) (13,807) (2,779,498) (32,450) ------------------------------------------------ Net Increase (Decrease)--Institutional Plus Shares (338,348) (4,285) 654,816 4,196 ===================================================================================================
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, Wellington, and the ship logo are trademarks of The Vanguard Group, Inc. S&P 500(R) and Standard & Poor's 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 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. Q942 082003 VANGUARD(R) INSTITUTIONAL TOTAL BOND MARKET INDEX FUND SEMIANNUAL REPORT JUNE 30, 2003 [THE VANGUARD GROUP LOGO] 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 Institutional Total Bond Market Index Fund registered a strong return, matching that of its target benchmark during the first half of 2003. * With the Federal Reserve's 13th rate cut in 30 months, short-term interest rates fell to their lowest level in 45 years. Yields of longer-term bonds declined as prices rose. * Stocks raced ahead during the half-year, and the broad U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned 12.9%. - -------------------------------------------------- CONTENTS - -------------------------------------------------- 1 Letter from the Chairman 5 Fund Profile 6 Performance Summary 7 Financial Statements ================================================== LETTER FROM THE CHAIRMAN [PHOTO JOHN J. BRENNAN] JOHN J. BRENNAN Dear Shareholder, Investment-grade bonds provided solid total returns during the first half of 2003. As you can see in the table below, the return of Vanguard Institutional Total Bond Market Index Fund matched that of its target index but fell short of the result of its average mutual fund peer. - ------------------------------------------------ TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2003 - ------------------------------------------------ VANGUARD INSTITUTIONAL TOTAL BOND MARKET INDEX FUND 3.9% Average Intermediate-Term Investment Grade Fund* 4.3 Lehman Aggregate Bond Index 3.9 - ------------------------------------------------ *Derived from data provided by Lipper Inc. Interest rates declined during the period, driving up the prices of existing bonds. Your fund's yield declined to 3.76% on June 30, from 4.33% on December 31, 2002. Detailed figures for the fund, including net asset values and income distributions, are presented in the table on page 3. Bonds Rallied; Interest Rates Fell to 45-Year Lows In the fixed income arena, risk was rewarded during the six months ended June 30. Corporate bonds outperformed U.S. Treasury securities. And within the corporate market, 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. Mortgage-backed securities registered returns several percentage points lower than those of similar-maturity corporate issues. Across maturities, interest rates continued their downward course. 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. Short-term interest rates reached their lowest levels in 45 years. In late June, citing concerns about sustainable economic growth and potential deflation, the Federal Reserve Board lowered its 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 to 0.85%, well below the inflation rate. Stocks Also Rallied Despite War The war with Iraq, the lackluster economy, and rising unemployment did little to impede the U.S. stock market during the half-year. Indeed, the start of the war 1 in mid-March marked the beginning of a sharp rally in stocks. For the six-month period, the overall U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned a stellar 12.9%. - -------------------------------------------------------------------- MARKET BAROMETER TOTAL RETURNS PERIODS ENDED JUNE 30, 2003 ---------------------------- SIX ONE FIVE MONTHS YEAR YEARS* - -------------------------------------------------------------------- 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 - -------------------------------------------------------------------- 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 ==================================================================== CPI Consumer Price Index 1.5% 2.1% 2.4% - -------------------------------------------------------------------- *Annualized. 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. A Solid Six Months for Your Fund The first half of 2003 was a good period for the Institutional Total Bond Market Index Fund, as it was for bonds in general. As noted earlier, the decline in interest rates drove the prices of existing bonds higher. As a result, the fund's total return included a healthy capital return of 1.9% that supplemented its income return of 2.0%. Of course, the objective of an index fund is to provide returns that are very close to those of its target index, and here, too, the fund was very successful during the half-year. As you review the fund's results, keep in mind that a six-month return does not provide a complete picture of a bond fund's performance. That's because these returns reflect only half of the year's interest income, while price changes reflect current movements in interest rates--rising when rates fall and falling when rates rise. For perspective, consider a full year's interest income when evaluating a bond fund. Over the past 12 months, the decline in interest rates provided a significant boost to your fund's return. Its capital return was 5.3% and its income return was 4.8%, resulting in a total return of 10.1%. Given the low current level of interest rates, it's unrealistic to expect bond prices to register such big gains in the future. In fact, as interest rates rise, bond prices will decline. This will harm the short-term performance of bond funds, especially those that emphasize intermediate- and long-term bonds. As we have often pointed out, in investing, costs matter. Because operating expenses are deducted directly from the income that a fund pays, they have a 2 very real impact on the return you receive. And during periods like the present one when interest rates are low, costs chew up an even greater percentage of your return. That's why we strive to keep the expense ratio of your fund extremely low--during the half-year, for example, the annualized expenses charged by the Institutional Total Bond Market Index Fund amounted to 0.05%, or $0.50 per $1,000 invested, compared with 0.92% for its average peer. Simply put, our lower costs mean that our shareholders receive more of the return that the fund actually earns. Good Times Reinforce the Value of a Sensible Plan It's noteworthy that the past six months delivered the first piece of sustained "good news" for stock fund investors in more than three years. Oddly enough, a good way to have benefited from this change of fortune would have been the same approach that provided some shelter during the stock market's long storm: holding a well-diversified portfolio of stock, bond, and money market funds. Vanguard Institutional Total Bond Market Index Fund can be an important component of a such a plan, offering broad exposure to the bond market at exceptionally low cost. The time-tested principles of balance and diversification allow investors to participate in the periods of strong performance for each asset class while reducing their vulnerability to its periods of weakness. We thank you for entrusting your assets to us. Sincerely, /S/ JOHN J. BRENNAN John J. Brennan Chairman and Chief Executive Officer July 11, 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 - -------------------------------------------------------------------------------- Institutional Total Bond Market Index Fund $51.89 $52.85 $1.067 $0.000 - -------------------------------------------------------------------------------- 3 ================================================================================ Ian MacKinnon Retires Vanguard Managing Director Ian A. MacKinnon, who served this company and its shareholders for more than two decades as head of our Fixed Income Group, retired on June 30. It's impossible to adequately summarize Ian's many accomplishments, but I must express my deep gratitude to him for establishing our fixed income practices and philosophy, and for serving our shareholders with great skill, integrity, and commitment since he formed our Fixed Income Group in 1981. He leaves behind an outstanding performance record in our money market and bond funds, a tradition of excellence, and a terrific team of investment professionals. We wish him the very best. Robert F. Auwaerter, who also has more than 20 years' experience managing Vanguard's fixed income funds, will oversee all of the group's portfolio management activities. George U. Sauter, managing director of our Quantitative Equity Group, has assumed overall responsibility for the Fixed Income Group in the newly created position of chief investment officer. --John J. Brennan ================================================================================ 4 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. INSTITUTIONAL TOTAL BOND MARKET INDEX FUND - --------------------------------------------------------- FINANCIAL ATTRIBUTES TARGET FUND INDEX* - --------------------------------------------------------- Number of Issues 858 7,454 Yield 3.8% 3.6% Yield to Maturity 3.6%YY 3.6% Average Coupon 6.2% 6.0% Average Maturity 6.9 years 6.7 years Average Quality Aa1 Aaa Average Duration 4.0 years 4.0 years Expense Ratio 0.05%** -- Cash Investments 1.6% -- - --------------------------------------------------------- - --------------------------------------------------------- DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO) Treasury/Agency+ 58.5% Aaa 12.1 Aa 5.9 A 13.2 Baa 10.2 Less than Baa 0.1 - --------------------------------------------------------- Total 100.0% - --------------------------------------------------------- - ----------------------------------------- INVESTMENT FOCUS CREDIT QUALITY Treasury/Agency AVERAGE MATURITY Medium - ----------------------------------------- - ------------------------------------------ DISTRIBUTION BY MATURITY (% OF PORTFOLIO) Under 1 Year 3.0% 1-5 Years 56.6 5-10 Years 25.7 10-20 Years 7.3 20-30 Years 6.7 Over 30 Years 0.7 - ------------------------------------------ Total 100.0% - ------------------------------------------ - --------------------------------------------------------- DISTRIBUTION BY ISSUER (% OF PORTFOLIO) Asset-Backed/Commercial Mortgage-Backed 8.8% Finance 13.0 Foreign 2.1 Government Mortgage-Backed 34.3 Industrial 13.3 Treasury/Agency 24.2 Utilities 2.7 - --------------------------------------------------------- Cash Investments 1.6% - --------------------------------------------------------- Total 100.0% - --------------------------------------------------------- *Lehman Aggregate Bond Index. **Annualized. +Includes government mortgage-backed bonds. ++Before expenses. YIELD. A snapshot of a fund's interest income. 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. 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. INSTITUTIONAL TOTAL BOND MARKET INDEX FUND - ----------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) APRIL 26, 2002-JUNE 30, 2003 - ----------------------------------------------------------- INSTITUTIONAL TOTAL BOND MARKET INDEX FUND LEHMAN* FISCAL CAPITAL INCOME TOTAL TOTAL YEAR RETURN RETURN RETURN RETURN - ----------------------------------------------------------- 2002 3.8% 3.5% 7.3% 7.9% 2003** 1.9% 2.0% 3.9% 3.9% - ----------------------------------------------------------- *Lehman Aggregate Bond Index. **Six months ended June 30, 2003. Note: See Financial Highlights table on page 26 for dividend and capital gains information. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003 SINCE INCEPTION ONE -------------------------- INCEPTION DATE YEAR CAPITAL INCOME TOTAL - -------------------------------------------------------------------------------- Institutional Total Bond Market Index Fund 4/26/2002 10.05% 4.84% 4.87% 9.71% - -------------------------------------------------------------------------------- 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. Securities are grouped and subtotaled by bond type (U.S. government and agency issues, corporate bonds, sovereign bonds, etc.); corporate bonds are further classified by industry sector. Other assets are added to, and liabilities are subtracted from, the value of Total Investments 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. Undistributed Net Investment Income is minimal because the fund distributes its net income to shareholders as a dividend each day. Any realized gains must be distributed annually, so the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The balance shown for Accumulated Net Realized Gains usually approximates the amount available to distribute to shareholders as 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 realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the 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.
- ----------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS (57.3%) - ----------------------------------------------------------------------------------------------------- U.S. Government Securities (12.9%) U.S. Treasury Bond 10.375% 11/15/2009 1,530 1,717 U.S. Treasury Bond 10.00% 5/15/2010 850 984 U.S. Treasury Bond 9.25% 2/15/2016 625 957 U.S. Treasury Bond 7.50% 11/15/2016 225 306 U.S. Treasury Bond 8.875% 8/15/2017 11,065 16,760 U.S. Treasury Bond 8.125% 8/15/2019 1,530 2,214 U.S. Treasury Bond 8.75% 5/15/2020 540 826 U.S. Treasury Bond 7.875% 2/15/2021 990 1,414 U.S. Treasury Bond 8.125% 8/15/2021 1,800 2,633 U.S. Treasury Bond 8.00% 11/15/2021 8,080 11,710 U.S. Treasury Bond 7.25% 8/15/2022 3,900 5,286 U.S. Treasury Bond 7.625% 11/15/2022 7,720 10,862 U.S. Treasury Bond 6.625% 2/15/2027 505 650 U.S. Treasury Bond 6.375% 8/15/2027 10,150 12,718 U.S. Treasury Bond 5.25% 11/15/2028 4,375 4,764 U.S. Treasury Note 1.75% 12/31/2004 2,900 2,925 U.S. Treasury Note 1.625% 3/31/2005 5,200 5,235 U.S. Treasury Note 1.25% 5/31/2005 1,200 1,199 U.S. Treasury Note 6.875% 5/15/2006 1,140 1,307 U.S. Treasury Note 7.00% 7/15/2006 850 982 U.S. Treasury Note 6.50% 10/15/2006 425 488 U.S. Treasury Note 6.625% 5/15/2007 8,275 9,682 U.S. Treasury Note 5.625% 5/15/2008 9,205 10,556 U.S. Treasury Note 4.75% 11/15/2008 3,065 3,398 U.S. Treasury Note 5.75% 8/15/2010 75 88 - -----------------------------------------------------------------------------------------------------
7
- ----------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- U.S. Treasury Note 4.875% 2/15/2012 $16,915 18,813 Private Export Funding Corp. (U.S. Government Guaranteed) 7.20% 1/15/2010 1,325 1,635 -------- 130,109 -------- AGENCY BONDS AND NOTES (11.3%) Federal Farm Credit Bank 4.80% 11/6/2003 325 329 Federal Home Loan Bank 3.75% 4/15/2004 3,550 3,626 Federal Home Loan Bank 3.375% 6/15/2004 5,300 5,419 Federal Home Loan Bank 6.50% 8/15/2007 2,450 2,847 Federal Home Loan Bank 5.865% 9/2/2008 550 633 Federal Home Loan Bank 5.88% 11/25/2008 175 178 Federal Home Loan Bank 6.50% 11/13/2009 1,300 1,551 Federal Home Loan Bank 7.625% 5/14/2010 6,100 7,719 Federal Home Loan Mortgage Corp. 5.00% 5/15/2004 925 957 Federal Home Loan Mortgage Corp. 6.875% 1/15/2005 9,450 10,252 Federal Home Loan Mortgage Corp. 7.00% 7/15/2005 10,000 11,114 Federal Home Loan Mortgage Corp. 5.75% 4/15/2008 2,000 2,282 Federal Home Loan Mortgage Corp. 6.625% 9/15/2009 1,400 1,677 Federal Home Loan Mortgage Corp. 7.00% 3/15/2010 2,500 3,061 Federal Home Loan Mortgage Corp. 6.875% 9/15/2010 5,650 6,908 Federal Home Loan Mortgage Corp. 6.75% 3/15/2031 1,139 1,417 Federal Home Loan Mortgage Corp. 6.25% 7/15/2032 132 155 Federal National Mortgage Assn. 3.00% 6/15/2004 200 204 Federal National Mortgage Assn. 6.50% 8/15/2004 11,710 12,408 Federal National Mortgage Assn. 7.125% 2/15/2005 900 984 Federal National Mortgage Assn. 7.00% 7/15/2005 8,000 8,891 Federal National Mortgage Assn. 5.75% 2/15/2008 1,850 2,108 Federal National Mortgage Assn. 6.00% 5/15/2008 400 461 Federal National Mortgage Assn. 6.40% 5/14/2009 675 702 Federal National Mortgage Assn. 6.625% 9/15/2009 6,515 7,803 Federal National Mortgage Assn. 7.25% 1/15/2010 2,230 2,758 Federal National Mortgage Assn. 6.25% 2/1/2011 225 261 Federal National Mortgage Assn. 5.50% 3/15/2011 2,275 2,580 Federal National Mortgage Assn. 6.125% 3/15/2012 1,900 2,237 Federal National Mortgage Assn. 4.375% 9/15/2012 3,425 3,582 Federal National Mortgage Assn. 4.625% 5/1/2013 1,150 1,186 Federal National Mortgage Assn. 7.25% 5/15/2030 2,050 2,700 Federal National Mortgage Assn. 6.625% 11/15/2030 2,400 2,947 Tennessee Valley Auth. 5.375% 11/13/2008 325 366 Tennessee Valley Auth. 7.125% 5/1/2030 1,350 1,753 ------- 114,056 ------- MORTGAGE-BACKED SECURITIES (33.1%)(2) Federal Home Loan Mortgage Corp. 4.50% 5/1/2008-5/1/2018(1) 6,484 6,630 Federal Home Loan Mortgage Corp. 5.00% 6/1/2007-5/1/2033(1) 13,869 14,312 Federal Home Loan Mortgage Corp. 5.50%12/1/2005-4/1/2033(1) 27,844 28,838 Federal Home Loan Mortgage Corp. 6.00% 1/1/2006-4/1/2033(1) 30,959 32,178 Federal Home Loan Mortgage Corp. 6.50%10/1/2004-7/1/2032(1) 28,453 29,695 Federal Home Loan Mortgage Corp. 7.00% 2/1/2004-6/1/2032(1) 12,735 13,386 Federal Home Loan Mortgage Corp. 7.50%10/1/2012-2/1/2032(1) 3,797 4,038 Federal Home Loan Mortgage Corp. 8.00 6/1/2012-11/1/2031(1) 1,665 1,800 Federal Home Loan Mortgage Corp. 8.50% 6/1/2025-5/1/2030(1) 716 780 Federal Home Loan Mortgage Corp. 9.00% 2/1/2025-9/1/2030(1) 57 62
8
- ----------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 9.50% 2/1/2025(1) 16 17 Federal National Mortgage Assn. 4.50% 6/1/2018(1) 2,000 2,043 Federal National Mortgage Assn. 5.00% 9/1/2009-6/1/2033(1) 11,753 12,065 Federal National Mortgage Assn. 5.50% 5/1/2009-6/1/2033(1) 46,103 47,759 Federal National Mortgage Assn. 6.00% 10/1/2008-4/1/2033(1) 37,522 39,041 Federal National Mortgage Assn. 6.50% 1/1/2012-8/1/2032(1) 31,189 32,580 Federal National Mortgage Assn. 7.00% 6/1/2015-12/1/2031(1) 6,848 7,227 Federal National Mortgage Assn. 7.50% 11/1/2011-10/1/2031(1) 4,906 5,219 Federal National Mortgage Assn. 8.00% 12/1/2029-6/1/2031(1) 1,030 1,109 Federal National Mortgage Assn. 8.50% 4/1/2030-4/1/2031(1) 390 420 Federal National Mortgage Assn. 9.00% 8/1/2030(1) 22 24 Federal National Mortgage Assn. 9.50% 11/1/2025(1) 28 30 Government National Mortgage Assn. 5.00% 2/15/2018-6/15/2033(1) 1,488 1,536 Government National Mortgage Assn. 5.50% 2/15/2017-5/15/2033(1) 8,061 8,409 Government National Mortgage Assn. 6.00% 9/15/2013-1/15/2033(1) 13,792 14,463 Government National Mortgage Assn. 6.50% 5/15/2013-7/15/2032(1) 13,505 14,198 Government National Mortgage Assn. 7.00% 10/15/2010-6/15/2032(1) 8,368 8,851 Government National Mortgage Assn. 7.50% 5/15/2023-10/15/2031(1) 4,165 4,432 Government National Mortgage Assn. 8.00% 7/15/2025-11/15/2030(1) 1,886 2,041 Government National Mortgage Assn. 8.50% 12/15/2024-7/15/2030(1) 287 311 Government National Mortgage Assn. 9.00% 5/15/2025-9/15/2030(1) 132 145 Government National Mortgage Assn. 9.50% 11/15/2017(1) 36 41 --------- 333,680 --------- - ----------------------------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $562,976) 577,845 - ----------------------------------------------------------------------------------------------------- CORPORATE BONDS (39.0%) - ----------------------------------------------------------------------------------------------------- ASSET-BACKED/COMMERCIAL MORTGAGE-BACKED SECURITIES--FIXED RATE (6.5%)(2) Bank of America Mortgage Securities 4.654% 6/25/2032(1) 212 216 Bear Stearns Commercial Mortgage Securities Inc. 5.61% 11/15/2033(1) 1,150 1,282 CIT RV Trust 5.96% 4/15/2011(1) 56 57 California Infrastructure & Econ. Dev. Bank Special Purpose Trust PG&E-1 6.42% 9/25/2008(1) 2,500 2,708 California Infrastructure & Econ. Dev. Bank Special Purpose Trust SCE-1 6.38% 9/25/2008(1) 2,450 2,662 California Infrastructure & Econ. Dev. Bank Special Purpose Trust SDG&E 6.31% 9/25/2008(1) 1,100 1,194 Capital Auto Receivables Asset Trust 2.64% 11/15/2005(1) 1,000 1,024 Capital Auto Receivables Asset Trust 4.16% 7/16/2007(1) 125 130 Capital Auto Receivables Asset Trust 2.92% 4/15/2008(1) 5,500 5,622 Capital One Auto Finance Trust 4.88% 9/15/2008(1) 1,175 1,244 Chase Manhattan Auto Owner Trust 4.24% 9/15/2008(1) 2,750 2,882 Citibank Credit Card Master Trust 4.95% 2/9/2009(1) 3,450 3,730 Commercial Mortgage Lease-Backed Certificate 6.746% 6/20/2031(1)(3) 1,025 1,172 Countrywide Home Loans 4.633% 9/19/2032(1) 1,432 1,456 Countrywide Home Loans 4.197% 5/25/2033(1) 2,037 2,062 DaimlerChrysler Auto Trust 2.56% 10/25/2004(1) 825 838 DaimlerChrysler Auto Trust 3.53% 12/6/2007(1) 4,000 4,129 First Union National Bank Commercial Mortgage Securities 6.223% 12/12/2033(1) 500 575
9
- ----------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust 4.36% 8/15/2006(1) 2,000 2,089 Ford Credit Auto Owner Trust 3.13% 11/15/2006(1) 250 256 Harley-Davidson Motorcycle Trust 4.50% 1/15/2010(1) 1,650 1,780 Honda Auto Receivables Owner Trust 2.19% 9/15/2006(1) 700 709 Honda Auto Receivables Owner Trust 4.22% 4/15/2007(1) 325 339 MBNA Master Credit Card Trust 4.95% 6/15/2009(1) 3,150 3,414 Mach One CDO, Ltd. 6.70% 3/15/2030(1)(3) 366 416 Marshall & Ilsley Auto Loan Trust 2.49% 10/22/2007(1) 2,500 2,533 Nissan Auto Receivables Owner Trust 4.60% 9/15/2005(1) 1,475 1,552 Nissan Auto Receivables Owner Trust 4.28% 10/16/2006(1) 1,500 1,574 PECO Energy Transition Trust 5.80% 3/1/2007(1) 4,000 4,196 PECO Energy Transition Trust 6.05% 3/1/2009(1) 275 307 PP&L Transition Bond Co. LLC 6.96% 12/26/2005(1) 2,100 2,330 PSE&G Transition Funding LLC 6.89% 12/15/2017(1) 200 242 Residential Asset Securities Corp. 4.988% 2/25/2027(1) 1,950 2,018 Sears Credit Account Master Trust 6.05% 1/15/2008(1) 1,333 1,354 Toyota Auto Receivables Owner Trust 2.65% 11/15/2006(1) 1,900 1,933 Toyota Auto Receivables Owner Trust 4.00% 7/15/2008(1) 100 104 Volkswagen Auto Lease Trust 2.36% 12/20/2005(1) 2,000 2,024 WFS Financial Owner Trust 4.50% 2/20/2010(1) 250 263 Washington Mutual Mortgage Pass-Through Certificate 5.435% 2/25/2032(1) 121 124 Washington Mutual Mortgage Pass-Through Certificate 5.55% 3/25/2032(1) 114 116 Washington Mutual Mortgage Pass-Through Certificate 5.554% 4/26/2032(1) 1,375 1,395 World Omni Master Owner Trust 3.79% 11/20/2005(1) 167 169 World Omni Master Owner Trust 2.58% 9/15/2009(1) 1,500 1,528 ------- 65,748 ------- ASSET-BACKED SECURITIES--FLOATING RATE (3.5%)(2) Chase Credit Card Master Trust 1.96% 1/15/2006(1) 6,000 6,002 Chase Credit Card Master Trust 1.923% 2/15/2007(1) 1,000 1,001 Discover Card Master Trust I 1.59% 2/16/2007(1) 2,000 2,005 Discover Card Master Trust I 1.55% 4/16/2007(1) 4,000 4,004 Discover Card Master Trust I 1.49% 9/18/2007(1) 4,000 4,009 First USA Credit Card Master Trust 1.39% 9/10/2006(1) 6,000 6,003 First USA Credit Card Master Trust 1.407% 11/20/2006(1) 3,000 3,001 First USA Credit Card Master Trust 1.56% 4/17/2007(1) 1,000 1,001 MBNA Master Credit Card Trust 1.54% 2/15/2007(1) 4,000 4,002 MBNA Master Credit Card Trust 1.55% 2/15/2007(1) 4,000 4,004 ------ 35,032 ------ FINANCE (13.0%) BANKING (5.7%) Abbey National Capital Trust I 8.963% 12/29/2049 250 360 Asian Development Bank 4.875% 2/5/2007 1,000 1,100 Associates Corp. of North America 6.20% 5/16/2005 1,000 1,084 BBVA-Bancomer Capital Trust I 10.50% 2/16/2011(3) 375 431 Bank of America Corp. 7.125% 9/15/2006 600 690 Bank of America Corp. 8.50% 1/15/2007 150 180 Bank of America Corp. 7.40% 1/15/2011 700 860 Bank of America Corp. 6.25% 4/15/2012 100 116 Bank One Corp. 6.875% 8/1/2006 850 968
10
- ----------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Bank One Corp. 6.00% 2/17/2009 795 901 Bank One Corp. 7.875% 8/1/2010 750 933 BankAmerica Capital II 8.00% 12/15/2026 750 863 BankAmerica Corp. 6.625% 6/15/2004 100 105 BankAmerica Corp. 7.125% 5/1/2006 150 169 Barclays Bank PLC 8.55% 6/15/2011(3) 300 382 Barclays Bank PLC 7.375% 12/15/2011(3) 475 569 The Chase Manhattan Corp. 6.00% 11/1/2005 150 163 The Chase Manhattan Corp. 7.125% 2/1/2007 250 286 Citicorp Capital II 8.015% 2/15/2027 100 118 Citicorp Lease Pass-Through Trust 8.04% 12/15/2019(3) 225 272 Citigroup Inc. 4.125% 6/30/2005 725 762 Citigroup Inc. 6.75% 12/1/2005 2,850 3,173 Citigroup Inc. 5.625% 8/27/2012 1,200 1,323 Citigroup Inc. 4.875% 5/7/2015 200 206 CoreStates Capital Corp. 6.625% 3/15/2005 1,000 1,085 CoreStates Capital Corp. 8.00% 12/15/2026(3) 525 626 Credit Suisse First Boston USA Inc. 5.75% 4/15/2007 1,175 1,301 Credit Suisse First Boston USA Inc. 4.625% 1/15/2008 500 535 Credit Suisse First Boston USA Inc. 6.50% 1/15/2012 250 286 Deutsche Ausgleichsbank 7.00% 6/23/2005 600 659 Deutsche Bank Financial LLC 5.375% 3/2/2015 325 348 European Investment Bank 4.00% 3/15/2005 1,800 1,884 European Investment Bank 5.625% 1/24/2006 500 549 European Investment Bank 4.625% 3/1/2007 500 546 Export-Import Bank of Korea 7.10% 3/15/2007 750 850 Fifth Third Bancorp 6.75% 7/15/2005 500 549 Fleet Boston Financial Corp. 7.25% 9/15/2005 1,000 1,111 Golden West Financial 4.125% 8/15/2007 550 580 HSBC Holdings PLC 7.50% 7/15/2009 750 913 Inter-American Development Bank 6.125% 3/8/2006 525 586 Inter-American Development Bank 6.375% 10/22/2007 450 523 Inter-American Development Bank 5.625% 4/16/2009 1,300 1,497 Inter-American Development Bank 8.50% 3/15/2011 500 664 Inter-American Development Bank 7.00% 6/15/2025 150 190 International Bank for Reconstruction & Development 4.125% 8/12/2009 1,600 1,715 International Bank for Reconstruction & Development 8.875% 3/1/2026 250 382 International Finance Corp. 3.00% 4/15/2008 450 462 Korea Development Bank 7.25% 5/15/2006 50 56 Landwirtschaft Rentenbank 3.375% 11/15/2007 1,000 1,035 Landwirtschaft Rentenbank 3.25% 6/16/2008 200 205 Marshall & Ilsley Bank 4.125% 9/4/2007 1,000 1,058 Mellon Capital II 7.995% 1/15/2027 500 600 Mercantile Bancorp (Firstar) 7.30% 6/15/2007 250 295 J.P. Morgan & Co., Inc. 6.70% 11/1/2007 1,000 1,147 J.P. Morgan Chase & Co. 5.625% 8/15/2006 625 685 J.P. Morgan Chase & Co. 5.25% 5/30/2007 1,350 1,478 J.P. Morgan Chase & Co. 5.25% 5/1/2015 200 208 National City Bank of Indiana 4.875% 7/20/2007 300 325 National City Corp. 7.20% 5/15/2005 800 880
11
- ----------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- National Westminster Bancorp Inc. 9.375% 11/15/2003 1,000 1,030 NationsBank Corp. 6.375% 2/15/2008 500 572 NationsBank Corp. 7.25% 10/15/2025 500 618 Nordic Investment Bank 3.125% 4/24/2008 250 256 North Fork Bancorp 5.875% 8/15/2012 250 279 PNC Funding Corp. 5.75% 8/1/2006 700 773 PaineWebber Group, Inc. 6.50% 11/1/2005 500 552 Regions Financial Corp. 6.375% 5/15/2012 925 1,071 Santander Central Hispano SA 7.625% 9/14/2010 200 247 Sanwa Bank Ltd. 8.35% 7/15/2009 150 178 Sanwa Bank Ltd. 7.40% 6/15/2011 275 308 Standard Chartered Bank 8.00% 5/30/2031(3) 325 412 Sumitomo Mitsui Banking Corp. 8.00% 6/15/2012 115 138 SunTrust Banks, Inc. 6.00% 2/15/2026 500 546 Suntrust Capital 7.90% 6/15/2027 200 235 Swiss Bank Corp. 7.375% 7/15/2015 175 215 Synovus Financial Corp. 7.25% 12/15/2005 175 198 US Bancorp 6.875% 12/1/2004 275 296 US Bancorp 5.10% 7/15/2007 1,250 1,368 Union Planters Bank NA 5.125% 6/15/2007 200 217 Union Planters Corp. 7.75% 3/1/2011 275 331 Wachovia Corp. 4.95% 11/1/2006 825 899 Washington Mutual Bank 6.875% 6/15/2011 1,450 1,702 Wells Fargo & Co. 5.125% 2/15/2007 250 274 Wells Fargo & Co. 3.50% 4/4/2008 1,000 1,028 Wells Fargo & Co. 6.25% 4/15/2008 915 1,054 Wells Fargo & Co. 6.45% 2/1/2011 1,000 1,172 Brokerage (1.6%) Bear Stearns & Co., Inc. 6.625% 1/15/2004 1,000 1,028 Bear Stearns & Co., Inc. 6.75% 12/15/2007 150 174 Bear Stearns & Co., Inc. 4.00% 1/31/2008 300 312 Bear Stearns & Co., Inc. 5.70% 11/15/2014 400 440 Goldman Sachs Group Inc. 7.625% 8/17/2005 1,000 1,123 Goldman Sachs Group Inc. 4.125% 1/15/2008 625 656 Goldman Sachs Group Inc. 5.70% 9/1/2012 750 827 Goldman Sachs Group Inc. 5.50% 11/15/2014 350 379 Goldman Sachs Group Inc. 6.125% 2/15/2033 200 215 Lehman Brothers Holdings Inc. 7.75% 1/15/2005 1,950 2,135 Lehman Brothers Holdings Inc. 6.625% 2/15/2008 750 863 Merrill Lynch & Co., Inc. 5.88% 1/15/2004 175 179 Merrill Lynch & Co., Inc. 5.35% 6/15/2004 1,275 1,324 Merrill Lynch & Co., Inc. 4.00% 11/15/2007 400 420 Merrill Lynch & Co., Inc. 6.875% 11/15/2018 600 722 Morgan Stanley Dean Witter Discover & Co. 5.625% 1/20/2004 2,150 2,202 Morgan Stanley Dean Witter Discover & Co. 6.10% 4/15/2006 625 690 Morgan Stanley Dean Witter Discover & Co. 6.875% 3/1/2007 200 228 Morgan Stanley Dean Witter Discover & Co. 3.625% 4/1/2008 500 514
12
- ----------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Morgan Stanley Dean Witter Discover & Co. 7.25% 4/1/2032 450 553 Salomon Smith Barney Holdings Inc. 5.875% 3/15/2006 275 303 Waddell & Reed Financial 7.50% 1/18/2006 400 441 FINANCE COMPANIES (4.0%) American Express Co. 3.75% 11/20/2007 550 574 American Express Co. 3.00% 5/16/2008 500 503 American General Finance Corp. 5.875% 7/14/2006 900 997 American General Finance Corp. 5.75% 3/15/2007 500 554 Boeing Capital Corp. 6.50% 2/15/2012 750 848 CIT Group Inc. 4.125% 2/21/2006 575 600 CIT Group Inc. 7.375% 4/2/2007 350 400 CIT Group Inc. 4.00% 5/8/2008 250 255 CIT Group Inc. 7.75% 4/2/2012 200 238 Capital One Bank 4.875% 5/15/2008 875 887 Countrywide Home Loan 5.50% 8/1/2006 1,550 1,691 Countrywide Home Loan 5.50% 2/1/2007 850 933 Countrywide Home Loan 5.625% 5/15/2007 50 55 John Deere Capital Corp. 7.00% 3/15/2012 250 297 Export Development Canada 4.00% 8/1/2007 200 213 Ford Motor Credit Co. 6.875% 2/1/2006 2,300 2,425 Ford Motor Credit Co. 6.50% 1/25/2007 2,000 2,101 Ford Motor Credit Co. 7.375% 10/28/2009 100 105 Ford Motor Credit Co. 7.25% 10/25/2011 500 513 General Electric Capital Corp. 2.85% 1/30/2006 500 514 General Electric Capital Corp. 5.375% 3/15/2007 1,600 1,759 General Electric Capital Corp. 4.25% 1/15/2008 1,000 1,059 General Electric Capital Corp. 3.50% 5/1/2008 250 256 General Electric Capital Corp. 4.625% 9/15/2009 500 535 General Electric Capital Corp. 7.375% 1/19/2010 750 915 General Electric Capital Corp. 6.125% 2/22/2011 500 569 General Electric Capital Corp. 6.75% 3/15/2032 650 764 General Motors Acceptance Corp. 5.25% 5/16/2005 250 257 General Motors Acceptance Corp. 6.75% 1/15/2006 300 319 General Motors Acceptance Corp. 4.50% 7/15/2006 500 502 General Motors Acceptance Corp. 6.125% 9/15/2006 1,000 1,043 General Motors Acceptance Corp. 7.75% 1/19/2010 1,725 1,842 General Motors Acceptance Corp. 6.875% 9/15/2011 500 502 General Motors Acceptance Corp. 7.00% 2/1/2012 400 403 General Motors Acceptance Corp. 6.875% 8/28/2012 900 900 Household Finance Corp. 6.50% 1/24/2006 875 969 Household Finance Corp. 7.20% 7/15/2006 300 343 Household Finance Corp. 5.75% 1/30/2007 350 387 Household Finance Corp. 4.625% 1/15/2008 850 906 Household Finance Corp. 6.375% 10/15/2011 225 256 Household Finance Corp. 7.00% 5/15/2012 1,100 1,304 Household Finance Corp. 7.35% 11/27/2032 50 62 International Lease Finance Corp. 5.625% 6/1/2007 1,975 2,140 International Lease Finance Corp. 4.50% 5/1/2008 250 262 KFW International Finance, Inc. 7.625% 2/15/2004 2,000 2,079 KFW International Finance, Inc. 2.50% 10/17/2005 1,300 1,328 MBNA America Bank NA 7.75% 9/15/2005(3) 1,000 1,116
13
- ----------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Pitney Bowes Credit Corp. 9.25% 6/15/2008 500 631 SLM Corp. 5.05% 11/14/2014 450 480 USA Education Inc. 5.625% 4/10/2007 2,075 2,305 INSURANCE (1.1%) ACE Ltd. 6.00% 4/1/2007 300 331 AEGON NV 4.75% 6/1/2013 125 126 AIG SunAmerica Global Financing IX 6.90% 3/15/2032(3) 240 290 AXA SA 8.60% 12/15/2030 75 96 Allstate Corp. 5.375% 12/1/2006 500 552 Allstate Corp. 7.20% 12/1/2009 875 1,068 American General Capital II 8.50% 7/1/2030 50 69 American International Group Inc. 2.85% 12/1/2005 750 768 American International Group Inc. 2.875% 5/15/2008(3) 150 150 Aon Capital Trust 8.205% 1/1/2027 100 114 Fidelity National Financial Inc. 7.30% 8/15/2011 375 443 John Hancock Global Funding II 5.625% 6/27/2006(3) 400 438 Hartford Life Inc. 7.375% 3/1/2031 200 243 ING Capital Funding Trust III 8.439% 12/31/2010 575 728 Jackson National Life Insurance Co. 5.25% 3/15/2007(3) 250 271 Jackson National Life Insurance Co. 6.125% 5/30/2012(3) 350 389 Marsh & McLennan Cos. Inc. 6.25% 3/15/2012 600 695 MetLife Inc. 5.25% 12/1/2006 725 794 Monumental Global Funding II 6.05% 1/19/2006(3) 600 653 Nationwide Life Global Funding 5.35% 2/15/2007(3) 225 245 Principal Life Global Funding I 6.125% 3/1/2006(3) 500 549 Progressive Corp. 6.625% 3/1/2029 400 471 Reinsurance Group of America 6.75% 12/15/2011 500 570 St. Paul Cos. Inc. 5.75% 3/15/2007 125 136 Travelers Property Casualty Corp. 3.75% 3/15/2008 175 181 Travelers Property Casualty Corp. 6.375% 3/15/2033 150 164 UnumProvident Corp. 7.625% 3/1/2011 175 189 UnumProvident Corp. 6.75% 12/15/2028 50 48 REAL ESTATE INVESTMENT TRUSTS (0.6%) Boston Properties Inc. 5.625% 4/15/2015(3) 150 158 Centerpoint Properties 5.75% 8/15/2009 450 489 EOP Operating LP 7.75% 11/15/2007 500 585 EOP Operating LP 7.00% 7/15/2011 150 175 EOP Operating LP 7.875% 7/15/2031 200 242 Equity Residential Properties Trust 6.625% 3/15/2012 600 696 HRPT Properties Trust 6.50% 1/15/2013 500 548 Health Care Property Investment Inc. 6.45% 6/25/2012 500 540 New Plan Excel Realty Trust 5.875% 6/15/2007 250 273 ProLogis 5.50% 3/1/2013 100 107 Shurgard Storage Centers, Inc. 7.75% 2/22/2011 425 503 Simon Property Group LP 6.375% 11/15/2007 900 1,007 Susa Partnership LP 7.00% 12/1/2007 100 115 Vornado Realty 5.625% 6/15/2007 200 213 --------- 130,842 ---------
14
- ----------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- INDUSTRIAL (13.3%) BASIC INDUSTRY (1.2%) Alcan Inc. 4.50% 5/15/2013 375 382 Alcoa Inc. 4.25% 8/15/2007 1,750 1,856 BHP Finance USA Ltd. 6.75% 11/1/2013 500 601 Celulosa Arauco Constitution SA 8.625% 8/15/2010 350 420 Corporacion Nacional del Cobre de Chile (CODELCO) 7.375% 5/1/2009(3) 500 582 Domtar Inc. 7.875% 10/15/2011 450 542 Dow Chemical Co. 6.125% 2/1/2011 875 961 Dow Chemical Co. 7.375% 11/1/2029 100 116 Eastman Chemical Co. 7.00% 4/15/2012 450 519 International Paper Co. 7.875% 8/1/2006 750 862 Potash Corp. of Saskatchewan 7.75% 5/31/2011 375 457 Praxair, Inc. 6.90% 11/1/2006 125 142 Praxair, Inc. 3.95% 6/1/2013 350 345 Rohm & Haas Co. 6.95% 7/15/2004 450 473 Sappi Papier Holding AG 6.75% 6/15/2012(3) 100 113 Sappi Papier Holding AG 7.50% 6/15/2032(3) 200 233 Union Carbide Corp. 7.75% 10/1/2096 50 46 Vale Overseas Ltd. 8.625% 3/8/2007 400 432 Westvaco Corp. 8.20% 1/15/2030 725 918 Weyerhaeuser Co. 5.50% 3/15/2005 1,150 1,216 Weyerhaeuser Co. 7.375% 3/15/2032 575 659 CAPITAL GOODS (1.3%) Bae Systems Holdings Inc. 6.40% 12/15/2011(3) 225 248 The Boeing Co. 8.75% 8/15/2021 150 198 The Boeing Co. 6.625% 2/15/2038 250 273 Bombardier Capital Corp. 6.125% 6/29/2006(3) 250 256 British Aerospace 7.156% 12/15/2011(1)(3) 96 108 CRH Capital Inc. 6.95% 3/15/2012 200 235 Caterpillar, Inc. 7.375% 3/1/2097 600 754 Deere & Co. 8.50% 1/9/2022 725 964 Emerson Electric Co. 4.625% 10/15/2012 1,000 1,049 General Dynamics 2.125% 5/15/2006 100 101 General Dynamics 3.00% 5/15/2008 100 101 General Electric 5.00% 2/1/2013 750 792 Goodrich Corp. 6.45% 12/15/2007 300 325 Hanson PLC 5.25% 3/15/2013 125 128 Hutchison Whampoa International Ltd. 7.00% 2/16/2011(3) 250 279 Ingersoll-Rand Co. 6.25% 5/15/2006 150 167 Lockheed Martin Corp. 7.65% 5/1/2016 650 835 Lockheed Martin Corp. 8.50% 12/1/2029 200 272 Masco Corp. 6.75% 3/15/2006 700 780 Northrop Grumman Corp. 7.75% 2/15/2031 150 193 Raytheon Co. 4.50% 11/15/2007 1,000 1,054 Raytheon Co. 5.50% 11/15/2012 200 214 Republic Services Inc. 7.125% 5/15/2009 300 354 TRW Inc. 7.75% 6/1/2029 450 555 Textron Financial Corp. 5.875% 6/1/2007 1,000 1,089 Textron Inc. 6.50% 6/1/2012 100 112
15
- ----------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- USA Waste Services Inc. 7.00% 7/15/2028 300 340 United Technologies Corp. 4.875% 11/1/2006 825 894 Waste Management, Inc. 6.50% 11/15/2008 425 486 Waste Management, Inc. 7.375% 8/1/2010 150 179 COMMUNICATION (2.9%) AT&T Broadband Corp. 9.455% 11/15/2022 100 135 AT&T Corp. 7.00% 11/15/2006 635 703 AT&T Corp. 7.80% 11/15/2011 400 459 AT&T Corp. 8.50% 11/15/2031 625 713 AT&T Wireless Services Inc. 7.875% 3/1/2011 450 532 AT&T Wireless Services Inc. 8.125% 5/1/2012 375 454 AT&T Wireless Services Inc. 8.75% 3/1/2031 650 810 BellSouth Capital Funding 7.875% 2/15/2030 900 1,157 British Telecommunications PLC 7.875% 12/15/2005 650 740 British Telecommunications PLC 8.875% 12/15/2030 500 684 CenturyTel Inc. 7.875% 8/15/2012 175 221 China Telecom 7.875% 11/2/2004 525 567 Cingular Wireless 6.50% 12/15/2011 550 634 Citizens Communications 9.00% 8/15/2031 375 502 Clear Channel Communications Inc. 7.65% 9/15/2010 750 902 Comcast Cable Communications Inc. 6.75% 1/30/2011 400 459 Comcast Cable Communications Inc. 8.875% 5/1/2017 200 266 Comcast Corp. 6.50% 1/15/2015 600 679 Cox Enterprises 7.875% 9/15/2010(3) 575 677 Deutsche Telekom International Finance 8.25% 6/15/2005 500 557 Deutsche Telekom International Finance 8.50% 6/15/2010 750 923 Deutsche Telekom International Finance 8.75% 6/15/2030 250 320 France Telecom 8.70% 3/1/2006 500 573 France Telecom 9.25% 3/1/2011 250 314 France Telecom 10.00% 3/1/2031 300 414 Grupo Televisa SA 8.625% 8/8/2005 475 534 GTE Corp. 8.75% 11/1/2021 100 131 GTE South Inc. 6.125% 6/15/2007 875 985 International Telecom Satellite 7.625% 4/15/2012 100 113 Koninklijke KPN NV 8.00% 10/1/2010 475 588 Koninklijke KPN NV 8.375% 10/1/2030 200 261 New England Telephone & Telegraph Co. 7.875% 11/15/2029 100 130 New York Telephone Co. 7.25% 2/15/2024 100 106 News America Holdings Inc. 9.25% 2/1/2013 200 265 News America Holdings Inc. 8.00% 10/17/2016 250 315 News America Holdings Inc. 7.75% 12/1/2045 100 118 News America Holdings Inc. 8.25% 10/17/2096 200 233 SBC Communications Inc. 5.75% 5/2/2006 200 220 SBC Communications Inc. 5.875% 8/15/2012 1,000 1,123 Scholastic Corp. 5.75% 1/15/2007 100 108 Southwestern Bell Telephone Co. 7.25% 7/15/2025 175 175 Sprint Capital Corp. 7.90% 3/15/2005 675 732 Sprint Capital Corp. 8.75% 3/15/2032 1,075 1,284
16
- ----------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- TCI Communications, Inc. 8.00% 8/1/2005 990 1,100 TCI Communications, Inc. 8.75% 8/1/2015 175 228 Telecomunicaciones de Puerto Rico 6.65% 5/15/2006 125 137 Telefonica Europe BV 7.35% 9/15/2005 775 866 Telefonos de Mexico SA 8.25% 1/26/2006 550 617 Thomson Corp. 5.75% 2/1/2008 100 109 USA Interactive 7.00% 1/15/2013 500 568 Verizon Global Funding Corp. 6.75% 12/1/2005 325 362 Verizon New Jersey Inc. 5.875% 1/17/2012 825 918 Verizon New York Inc. 6.875% 4/1/2012 175 205 Verizon New York Inc. 7.375% 4/1/2032 375 456 Verizon Pennsylvania Inc. 5.65% 11/15/2011 650 717 Verizon Wireless Inc. 5.375% 12/15/2006 400 439 Vodafone AirTouch PLC 7.625% 2/15/2005 325 355 Vodafone AirTouch PLC 7.875% 2/15/2030 625 803 CONSUMER CYCLICAL (2.7%) AOL Time Warner Inc. 6.125% 4/15/2006 1,000 1,093 AOL Time Warner Inc. 6.15% 5/1/2007 800 888 AOL Time Warner Inc. 6.75% 4/15/2011 100 114 AOL Time Warner Inc. 7.625% 4/15/2031 450 516 Arvinmeritor Inc. 6.80% 2/15/2009 250 261 Auburn Hills Trust 12.375% 5/1/2020 100 148 Cendant Corp. 6.875% 8/15/2006 445 497 Cendant Corp. 6.25% 1/15/2008 350 385 Cendant Corp. 7.375% 1/15/2013 175 205 Costco Wholesale Corp. 5.50% 3/15/2007 875 962 DaimlerChrysler North America Holding Corp. 7.40% 1/20/2005 900 965 DaimlerChrysler North America Holding Corp. 7.375% 9/15/2006 2,000 2,247 DaimlerChrysler North America Holding Corp. 4.05% 6/4/2008 250 247 DaimlerChrysler North America Holding Corp. 7.30% 1/15/2012 225 253 Dayton Hudson Corp. 6.65% 8/1/2028 350 401 The Walt Disney Co. 5.375% 6/1/2007 1,000 1,090 Ford Capital BV 9.50% 6/1/2010 225 257 Ford Motor Co. 7.45% 7/16/2031 1,100 1,019 Ford Motor Co. 9.98% 2/15/2047 900 1,018 General Motors Corp. 8.25% 7/15/2023 150 149 General Motors Corp. 6.75% 5/1/2028 700 602 General Motors Corp. 8.375% 7/15/2033 550 542 Harrahs Operating Co. Inc. 7.125% 6/1/2007 175 197 Harrahs Operating Co. Inc. 7.50% 1/15/2009 250 293 Kohl's Corp. 6.00% 1/15/2033 100 108 Liberty Media Corp. 7.75% 7/15/2009 550 644 Liberty Media Corp. 8.25% 2/1/2030 250 299 Lowe's Cos., Inc. 6.875% 2/15/2028 500 591 May Department Stores Co. 7.625% 8/15/2013 300 365 May Department Stores Co. 9.75% 2/15/2021 540 724 McDonald's Corp. 6.00% 4/15/2011 400 447
17
- ----------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Pulte Homes Inc. 7.875% 6/15/2032 375 460 Sears Roebuck Acceptance Corp. 7.00% 6/15/2007 200 224 Sears Roebuck Acceptance Corp. 7.00% 2/1/2011 350 399 Sears Roebuck Acceptance Corp. 6.70% 4/15/2012 200 226 Sears Roebuck Acceptance Corp. 7.00% 6/1/2032 100 112 Target Corp. 3.375% 3/1/2008 500 513 Target Corp. 5.40% 10/1/2008 1,000 1,115 Time Warner Entertainment 8.375% 3/15/2023 100 126 Time Warner Entertainment 8.375% 7/15/2033 600 782 Toys R Us Inc. 7.875% 4/15/2013 100 109 Toys R Us Inc. 8.75% 9/1/2021 50 56 Viacom Inc. 7.75% 6/1/2005 1,375 1,532 Viacom Inc. 5.625% 8/15/2012 300 333 Viacom Inc. 5.50% 5/15/2033 250 248 Visteon Corp. 7.95% 8/1/2005 150 160 Visteon Corp. 8.25% 8/1/2010 150 164 Wal-Mart Stores, Inc. 4.375% 7/12/2007 250 268 Wal-Mart Stores, Inc. 7.55% 2/15/2030 500 662 Wal-Mart Stores, Inc. Canada 5.58% 5/1/2006(3) 1,400 1,537 Wendy's International Inc. 6.20% 6/15/2014 300 343 CONSUMER NONCYCLICAL (2.3%) Abbott Laboratories 5.625% 7/1/2006 300 331 Albertson's Inc. 8.00% 5/1/2031 150 180 Anheuser-Busch Cos., Inc. 7.50% 3/15/2012 500 630 Anheuser-Busch Cos., Inc. 7.125% 7/1/2017 650 755 C.R. Bard, Inc. 6.70% 12/1/2026 350 392 Becton, Dickinson & Co. 4.55% 4/15/2013 150 156 Becton, Dickinson & Co. 4.90% 4/15/2018 150 157 Bottling Group PLC 4.625% 11/15/2012(3) 450 467 Bristol-Myers Squibb 5.75% 10/1/2011 1,050 1,168 Campbell Soup Co. 6.75% 2/15/2011 900 1,059 Cia. Brasil de Bebidas AmBev 10.50% 12/15/2011 90 100 Coca-Cola Enterprises, Inc. 6.125% 8/15/2011 1,200 1,379 Coca-Cola Enterprises, Inc. 8.50% 2/1/2022 75 101 Conagra Foods, Inc. 7.875% 9/15/2010 1,000 1,261 Diageo PLC 3.375% 3/20/2008 750 769 General Mills Inc. 5.125% 2/15/2007 150 163 Grand Metropolitan Investment Corp. 9.00% 8/15/2011 400 540 Imperial Tobacco 7.125% 4/1/2009 175 204 International Flavors & Fragrances 6.45% 5/15/2006 150 166 Johnson & Johnson 3.80% 5/15/2013 100 99 Johnson & Johnson 4.95% 5/15/2033 125 122 Kellogg Co. 6.00% 4/1/2006 300 332 Kellogg Co. 7.45% 4/1/2031 350 446 Kraft Foods Inc. 4.625% 11/1/2006 925 984 Kraft Foods Inc. 6.50% 11/1/2031 225 247 Kroger Co. 7.625% 9/15/2006 100 114 Kroger Co. 7.70% 6/1/2029 175 210 Kroger Co. 8.00% 9/15/2029 250 310 Fred Meyer, Inc. 7.375% 3/1/2005 500 541 Newell Rubbermaid Inc. 6.75% 3/15/2012 400 464
18
- ----------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Pepsi Bottling Group Inc. 7.00% 3/1/2029 250 303 Pharmacia Corp. 5.75% 12/1/2005 1,275 1,395 Philip Morris Cos., Inc. 7.00% 7/15/2005 575 612 Procter & Gamble Co. ESOP 9.36% 1/1/2021 1,000 1,405 Quest Diagnostic Inc. 6.75% 7/12/2006 125 139 RJ Reynolds Tobacco Holdings Inc. 7.25% 6/1/2012 350 354 Safeway, Inc. 6.85% 9/15/2004 1,175 1,240 Sara Lee Corp. 1.95% 6/15/2006 350 350 Sara Lee Corp. 6.125% 11/1/2032 500 548 Tenet Healthcare Corp. 6.375% 12/1/2011 200 189 Tenet Healthcare Corp. 6.875% 11/15/2031 200 178 Tyson Foods Inc. 7.25% 10/1/2006 200 223 Tyson Foods Inc. 8.25% 10/1/2011 200 238 UnitedHealth Group Inc. 5.20% 1/17/2007 975 1,047 Wellpoint Health Network 6.375% 1/15/2012 400 458 Wyeth 4.125% 3/1/2008 525 547 Wyeth 5.25% 3/15/2013 350 370 ENERGY (1.3%) Alberta Energy Co. Ltd. 7.375% 11/1/2031 400 503 Anadarko Finance Co. 7.50% 5/1/2031 100 127 Apache Corp. 7.375% 8/15/2047 125 159 Ashland Inc. 6.86% 5/1/2009 125 131 Baker Hughes Inc. 6.25% 1/15/2009 500 574 Burlington Resources Inc. 7.40% 12/1/2031 250 317 Canadian Natural Resources 7.20% 1/15/2032 200 247 Conoco Funding Co. 5.45% 10/15/2006 500 552 Conoco Funding Co. 6.35% 10/15/2011 550 641 ConocoPhillips Corp. 5.90% 10/15/2032 500 535 Devon Financing Corp. 6.875% 9/30/2011 500 587 Devon Financing Corp. 7.875% 9/30/2031 100 127 Kerr McGee Corp. 7.875% 9/15/2031 275 340 LG Caltex Oil Corp. 7.75% 7/25/2011(3) 400 464 Marathon Oil Corp. 6.80% 3/15/2032 150 168 Occidental Petroleum 7.20% 4/1/2028 200 241 PF Export Receivables Master Trust 6.60% 12/1/2011(1)(3) 500 567 PanCanadian Energy Corp. 7.20% 11/1/2031 250 300 Pemex Project Funding Master Trust 7.375% 12/15/2014 400 435 Pemex Project Funding Master Trust 7.375% 12/15/2014(3) 200 218 Pemex Project Funding Master Trust 8.625% 2/1/2022 400 456 Petroleos Mexicanos 6.50% 2/1/2005 1,200 1,276 Petronas Capital Ltd. 7.00% 5/22/2012(3) 425 492 Phillips Petroleum Co. 8.50% 5/25/2005 1,000 1,129 Schlumberger Technology Corp. 6.50% 4/15/2012(3) 400 460 Suncor Energy Inc. 7.15% 2/1/2032 625 734 Texaco Capital Corp. 8.875% 9/1/2021 575 817 Texaco Capital Corp. 8.625% 4/1/2032 175 261 Valero Energy Corp. 6.875% 4/15/2012 425 485 TECHNOLOGY (0.7%) Avnet Inc. 9.75% 2/15/2008 175 197 Computer Sciences Corp. 6.75% 6/15/2006 225 253
19
- ----------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Computer Sciences Corp. 5.00% 2/15/2013 400 421 Eastman Kodak Co. 3.625% 5/15/2008 250 251 First Data Corp. 4.70% 11/1/2006 1,000 1,086 Hewlett-Packard Co. 3.625% 3/15/2008 1,300 1,334 International Business Machines Corp. 6.45% 8/1/2007 1,000 1,148 International Business Machines Corp. 7.00% 10/30/2025 550 661 International Business Machines Corp. 7.125% 12/1/2096 275 337 Motorola Inc. 7.625% 11/15/2010 600 699 Motorola Inc. 8.00% 11/1/2011 100 118 Motorola Inc. 7.50% 5/15/2025 200 219 Texas Instruments Inc. 6.125% 2/1/2006 100 107 TRANSPORTATION (0.9%) American Airlines Inc. Pass-Through Certificates 7.024% 10/15/2009 725 681 Burlington Northern Santa Fe Corp. 7.875% 4/15/2007 500 587 Burlington Northern Santa Fe Corp. 6.75% 3/15/2029 150 170 Burlington Northern Santa Fe Corp. 7.25% 8/1/2097 350 405 CSX Corp. 9.00% 8/15/2006 750 893 Canadian National Railway Co. 6.80% 7/15/2018 375 468 Canadian Pacific Rail 6.25% 10/15/2011 525 600 Continental Airlines, Inc. (Equipment Trust Certificates) 6.648% 9/15/2017 283 268 Delta Air Lines, Inc. Pass-Through Certificates 7.111% 9/18/2011 175 176 ERAC USA Finance Co. 7.35% 6/15/2008(3) 425 494 Hertz Corp. 7.40% 3/1/2011 225 228 Hertz Corp. 7.625% 6/1/2012 125 128 Norfolk Southern Corp. 8.375% 5/15/2005 725 811 Norfolk Southern Corp. 7.90% 5/15/2097 325 404 NorthWest Airlines, Inc. Pass-Through Certificates 6.841% 4/1/2011 100 99 Southwest Airlines Co. 6.50% 3/1/2012 700 785 Union Pacific Corp. 7.60% 5/1/2005 500 550 Union Pacific Corp. 7.00% 2/1/2016 500 604 United Air Lines 7.032% 10/1/2010 274 233 OTHER Steelcase Inc. 6.375% 11/15/2006 125 134 -------- 134,137 -------- UTILITIES (2.7%) Electric (2.0%) AEP Texas Central Co. 5.50% 2/15/2013(3) 350 372 AEP Texas Central Co. 6.65% 2/15/2033(3) 250 274 Alabama Power 4.70% 12/1/2010 275 288 Alabama Power 5.50% 10/15/2017 775 853 American Electric Power 6.125% 5/15/2006 150 164 Arizona Public Service Co. 7.25% 8/1/2023 700 719 Cincinnati Gas & Electric Co. 5.70% 9/15/2012 100 110 Commonwealth Edison 3.70% 2/1/2008 100 103 Commonwealth Edison 4.70% 4/15/2015 100 103 Consolidated Edison Inc. 6.625% 12/15/2005 1,025 1,144
20
- ----------------------------------------------------------------------------------------------------- FACE MARKET MATURITY AMOUNT VALUE* COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Constellation Energy Group Inc. 6.125% 9/1/2009 700 793 Constellation Energy Group Inc. 7.00% 4/1/2012 125 146 Consumers Energy Co. 4.25% 4/15/2008(3) 100 103 Consumers Energy Co. 5.375% 4/15/2013(3) 100 105 Corporacion Andina de Fomento 5.20% 5/21/2013 125 127 DPL Inc. 6.875% 9/1/2011 100 109 Detroit Edison Co. 7.50% 2/1/2005 1,000 1,091 Dominion Resources Capital Trust III 8.40% 1/15/2031 325 414 Duke Capital Corp. 6.75% 2/15/2032 175 178 Duke Energy Corp. 6.45% 10/15/2032 200 216 Energy East Corp. 6.75% 6/15/2012 600 688 Entergy Gulf States, Inc. 3.60% 6/1/2008(3) 150 149 Firstenergy Corp. 5.50% 11/15/2006 350 375 Firstenergy Corp. 6.45% 11/15/2011 800 877 Florida Power & Light 6.875% 12/1/2005 1,000 1,118 Georgia Power Co. 5.125% 11/15/2012 225 242 HQI Transelec Chile SA 7.875% 4/15/2011 675 783 Korea Electric Power 4.25% 9/12/2007(3) 825 851 MidAmerican Energy Co. 6.75% 12/30/2031 825 944 National Rural Utilities Cooperative Finance Corp. 6.50% 3/1/2007 500 563 National Rural Utilities Cooperative Finance Corp. 5.75% 8/28/2009 1,000 1,113 NiSource Finance Corp. 7.875% 11/15/2010 150 177 Oncor Electric Delivery 6.375% 5/1/2012 150 171 Oncor Electric Delivery 6.375% 1/15/2015(3) 200 226 Oncor Electric Delivery 7.25% 1/15/2033(3) 200 236 PECO Energy Co. 5.95% 11/1/2011 400 454 PSEG Power Corp. 6.875% 4/15/2006 225 250 PSEG Power Corp. 7.75% 4/16/2007(3) 150 161 PSEG Power Corp. 7.75% 4/15/2011 100 119 PSEG Power Corp. 6.95% 6/1/2012 200 230 PSEG Power Corp. 8.625% 4/15/2031 200 257 PacifiCorp 6.90% 11/15/2011 275 331 Pepco Holdings Inc. 6.45% 8/15/2012 100 113 Progress Energy Inc. 6.05% 4/15/2007 100 110 Progress Energy Inc. 7.10% 3/1/2011 850 990 SCANA Corp. 6.25% 2/1/2012 600 679 Tenaga Nasional 7.50% 1/15/2096(3) 125 108 Virginia Electric & Power Co. 5.375% 2/1/2007 125 137 Virginia Electric & Power Co. 6.75% 10/1/2023 175 175 XCEL ENERGY INC. 7.00% 12/1/2010 125 146 Natural Gas (0.5%) Columbia Energy Group 7.62% 11/28/2025 150 165 Consolidated Natural Gas 5.375% 11/1/2006 725 791 Consolidated Natural Gas 6.25% 11/1/2011 500 572 Duke Energy Field Services 7.50% 8/16/2005 225 246 Duke Energy Field Services 8.125% 8/16/2030 400 499 Enterprise Products 8.25% 3/15/2005 700 770 Keyspan Corp. 7.25% 11/15/2005 1,175 1,317 Kinder Morgan Energy Partners, LP 7.30% 8/15/2033 250 298
21
- ----------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------- Kinder Morgan Inc. 6.50% 9/1/2012 250 286 Texas Gas Transmission Corp. 4.60% 6/1/2015(3) 150 148 OTHER (0.2%) Hydro-Quebec 6.30% 5/11/2011 500 590 Hydro-Quebec 7.50% 4/1/2016 1,000 1,308 --------- 27,175 --------- - ----------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS (Cost $371,111) 392,934 - ----------------------------------------------------------------------------------------------------- SOVEREIGN BONDS (U.S. Dollar-Denominated)(2.1%) - ----------------------------------------------------------------------------------------------------- Federation of Malaysia 8.75% 6/1/2009 250 318 Federation of Malaysia 7.50% 7/15/2011 400 486 Province of Manitoba 6.125% 1/19/2004 1,000 1,026 Province of New Brunswick 3.50% 10/23/2007 1,000 1,040 Province of Newfoundland 7.32% 10/13/2023 600 775 Province of Ontario 5.50% 10/1/2008 1,750 1,978 Province of Quebec 5.00% 7/17/2009 1,500 1,647 Province of Saskatchewan 6.625% 7/15/2003 200 200 Province of Saskatchewan 8.00% 7/15/2004 150 158 Province of Saskatchewan 7.375% 7/15/2013 400 518 Republic of Chile 5.625% 7/23/2007 750 814 Republic of El Salvador 8.25% 4/10/2032(3) 325 317 Republic of Finland 7.875% 7/28/2004 1,000 1,072 Republic of Italy 4.375% 10/25/2006 500 539 Republic of Italy 3.625% 9/14/2007 2,150 2,260 Republic of Italy 5.625% 6/15/2012 1,650 1,900 Republic of Korea 4.25% 6/1/2013 250 243 Republic of Portugal 5.75% 10/8/2003 175 177 Republic of South Africa 7.375% 4/25/2012 500 573 Republic of South Africa 8.50% 6/23/2017 250 305 State of Israel 4.625% 6/15/2013 125 123 United Mexican States 8.625% 3/12/2008 175 210 United Mexican States 4.625% 10/8/2008 325 332 United Mexican States 8.375% 1/14/2011 1,725 2,066 United Mexican States 6.375% 1/16/2013 250 265 United Mexican States 8.30% 8/15/2031 1,550 1,790 United Mexican States 7.50% 4/8/2033 150 159 - ----------------------------------------------------------------------------------------------------- TOTAL SOVEREIGN BONDS (Cost $19,949) 21,291 - ----------------------------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.5%) - ----------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account--Note E 1.15-1.16% 7/1/2003 10,323 10,323 Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16% 7/1/2003 24,956 24,956 - ----------------------------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $35,279) 35,279 - ----------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (101.9%) (Cost $989,315) 1,027,349 - -----------------------------------------------------------------------------------------------------
22
- ----------------------------------------------------------------------------------------------------- MARKET VALUE* (000) - ----------------------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-1.9%) - ----------------------------------------------------------------------------------------------------- Other Assets 32,337 Payables for Investment Securities Purchased (38,030) Other Liabilities--Note E (12,989) -------- (18,682) - ----------------------------------------------------------------------------------------------------- NET ASSETS (100%) - ----------------------------------------------------------------------------------------------------- Applicable to 19,084,474 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $1,008,667 ===================================================================================================== NET ASSET VALUE PER SHARE $52.85 ===================================================================================================== *See Note A in Notes to Financial Statements. (1) The average maturity is shorter than the final maturity shown due to scheduled interim principal payments. (2) After giving effect to total return swap contracts, the fund's investments in government mortgage-backed and asset-backed/commercial mortgage-backed securities represent 34.3% and 8.8%, respectively, of net assets. See Note C in Notes to Financial Statements. (3) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2003, the aggregate value of these securities was $18,784,000, representing 1.9% of net assets. - ----------------------------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - ----------------------------------------------------------------------------------------------------- AMOUNT PER (000) SHARE - ----------------------------------------------------------------------------------------------------- Paid-in Capital $ 968,171 $50.73 Overdistributed Net Investment Income (509) (.03) Accumulated Net Realized Gains 2,658 .14 Unrealized Appreciation Investment Securities 38,034 1.99 Swap Contracts 313 .02 - ----------------------------------------------------------------------------------------------------- NET ASSETS $1,008,667 $52.85 ===================================================================================================== 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 the fund during the reporting period, and details the operating expenses charged to the fund. 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. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL BOND MARKET INDEX FUND SIX MONTHS ENDED JUNE 30, 2003 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Interest $20,752 Security Lending 12 - -------------------------------------------------------------------------------- Total Income 20,764 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Management and Administrative 261 - -------------------------------------------------------------------------------- Total Expenses 261 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 20,503 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) - -------------------------------------------------------------------------------- Investment Securities Sold 6,203 Swap Contracts 290 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) 6,493 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 13,448 Swap Contracts 184 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 13,632 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $40,628 ================================================================================ 24 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. Because the fund distributes its income to shareholders each day, the amounts of Distributions--Net Investment Income approximate the net income earned as shown under the Operations section. The amounts of Distributions--Realized Capital Gain may not match the capital gains 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 gains were realized on the financial statements. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, as well as the amounts redeemed. The corresponding numbers of Shares Issued and Redeemed are shown at the end of the Statement. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL BOND MARKET INDEX FUND ------------------------ SIX MONTHS ENDED APRIL 26* TO JUNE 30, 2003 DEC. 31, 2002 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 20,503 $ 19,184 Realized Net Gain (Loss) 6,493 291 Unrealized Appreciation (Depreciation) 13,632 24,715 - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 40,628 44,190 - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income (21,517) (18,969) Realized Capital Gain** -- (227) - -------------------------------------------------------------------------------- Total Distributions (21,517) (19,196) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS1 Issued 174,853 1,012,589 Issued in Lieu of Cash Distributions 16,201 11,291 Redeemed (206,561) (43,811) - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (15,507) 980,069 - -------------------------------------------------------------------------------- Total Increase (Decrease) 3,604 1,005,063 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 1,005,063 -- - -------------------------------------------------------------------------------- End of Period $1,008,667 $1,005,063 ================================================================================ 1Shares Issued (Redeemed) Issued 3,344 20,000 Issued in Lieu of Cash Distributions 309 220 Redeemed (3,936) (853) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding (283) 19,367 ================================================================================ *Inception. **Includes fiscal 2002 short-term gain distributions totaling $227,000. Short-term gain distributions are treated as ordinary income for tax purposes. 25 FINANCIAL HIGHLIGHTS This table summarizes the fund's investment results and distributions to shareholders on a per-share basis. 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. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL BOND MARKET INDEX FUND - -------------------------------------------------------------------------------- SIX MONTHS ENDED APRIL 26* TO JUNE 30, DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $51.89 $50.00 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.029 1.701 Net Realized and Unrealized Gain (Loss) on Investments .998 1.891 - -------------------------------------------------------------------------------- Total from Investment Operations 2.027 3.592 - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.067) (1.690) Distributions from Realized Capital Gains -- (.012) - -------------------------------------------------------------------------------- Total Distributions (1.067) (1.702) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $52.85 $51.89 ================================================================================ TOTAL RETURN 3.94% 7.30% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,009 $1,005 Ratio of Total Expenses to Average Net Assets 0.05%** 0.05%** Ratio of Net Investment Income to Average Net Assets 3.97%** 4.57%** Portfolio Turnover Rate+ 80%** 64% ================================================================================ *Inception. **Annualized. +Portfolio turnover rates excluding in-kind redemptions were 61%, and 64%, respectively. Notes to Financial Statements Vanguard Institutional Total Bond Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund is offered to investors who meet certain administrative and servicing criteria and invest a minimum of $100 million. The fund commenced operations on April 26, 2002. Certain of the fund's investments are in corporate debt instruments; the issuers' abilities to meet their obligations may be affected by economic developments in their respective industries. 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: Bonds, and 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, 26 yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, 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. 2. SWAP CONTRACTS: The fund has entered into swap transactions to earn the total return on a specified security or index of fixed income securities. Under the terms of the swaps, the fund receives the total return (either receiving the increase or paying the decrease) on a reference security or index applied to a notional principal amount. In return, the fund agrees to pay the counterparty a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount. At the same time, the fund invests an amount equal to the notional amount of the swaps in high-quality floating-rate securities. The notional amounts of swap contracts are not recorded in the financial statements. Swaps are valued daily, and the change in value is recorded as unrealized appreciation (depreciation) until the termination of the swap, at which time realized gain (loss) is recorded. The net interest to be received or paid by the fund under swap contracts is accrued daily and included in interest income. The primary risk associated with total return swaps is that a counterparty will default on its obligation to pay net amounts due to the fund. 3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard Group, transfers uninvested cash balances into 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 income. Accordingly, no provision for federal income taxes is required in the financial statements. 5. DISTRIBUTIONS: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. 6. OTHER: 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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. B. The Vanguard Group provides investment advisory, corporate management, administrative, marketing, and distribution services and pays for all other operating expenses, except for taxes, in return for a fee calculated at an annual percentage rate of the average net assets of the fund. The fund's trustees and officers are also directors and officers of Vanguard. C. Capital gain distributions are determined on a tax basis and may differ from 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 gains or losses are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. During the six months ended June 30, 2003, the fund realized $3,609,000 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 fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. 27 Notes to Financial Statements (continued) Realized and unrealized gains (losses) on the fund's total return swap contracts are treated as ordinary income (loss) for tax purposes. Realized gains on swap contracts of $290,000 have been reclassified from accumulated net realized gains to undistributed net investment income. The net amount of realized and unrealized gains and losses on swap contracts is accumulated monthly and included in income dividends paid to shareholders in the following month. At June 30, 2003, net unrealized appreciation of investment securities for tax purposes was $38,034,000, consisting of unrealized gains of $38,520,000 on securities that had risen in value since their purchase and $486,000 in unrealized losses on securities that had fallen in value since their purchase. At June 30, 2003, the fund had the following open swap contracts:
- ---------------------------------------------------------------------------------------------------------------- FLOATING UNREALIZED NOTIONAL INTEREST APPRECIATION AMOUNT RATE (DEPRECIATION) REFERENCE ENTITY/TERMINATION DATE DEALER* (000) PAID** (000) - ---------------------------------------------------------------------------------------------------------------- FNMA, 5.00% 15-Year 7/17/2003 UBS $ 4,000 0.19% $ 17 Commercial Mortgage-Backed Securities Index 7/31/2003 MSCP 3,000 0.87 82 Commercial Mortgage-Backed Securities Index 7/31/2003 LB 900 0.92 29 FNMA, 5.00% 15-Year 8/18/2003 UBS 7,000 0.64 (22) Commercial Mortgage-Backed Securities Index 8/29/2003 MSCP 5,100 1.12 163 FNMA, 4.50% 15-Year 9/18/2003 UBS 1,000 0.79 (7) Commercial Mortgage-Backed Securities Index 10/30/2003 JPM 4,000 1.12 87 Commercial Mortgage-Backed Securities Index 11/30/2003 BS 6,000 0.97 (22) Commercial Mortgage-Backed Securities Index 11/30/2003 BS 4,000 0.92 (14) --------- $313 - ----------------------------------------------------------------------------------------------------------------
*BS--Bear Stearns. JPM--J.P. Morgan. LB--Lehman Brothers. MSCP--Morgan Stanley Credit Products. UBS--UBS Warburg. **Based on one-month London InterBank Offered Rate (LIBOR). Unrealized appreciation (depreciation) on open total return swap contracts is required to be treated as ordinary income (loss) for tax purposes. D. During the six months ended June 30, 2003, the fund purchased $88,139,000 of investment securities and sold $75,055,000 of investment securities other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $437,573,000 and $334,923,000, respectively. E. The market value of securities on loan to broker/dealers at June 30, 2003, was $24,397,000, for which the fund held as collateral cash of $10,323,000 and U.S. Government and Agency securities with a market value of $15,004,000. 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. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned; 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. 28 - -------------------------------------------------------------------------------- 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 LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Wellington, and the ship logo are trademarks of The Vanguard Group, Inc. 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. Q3372 082003 VANGUARD(R) INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND SEMIANNUAL REPORT JUNE 30, 2003 THE VANGUARD GROUP(R) LOGO 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 * The Institutional Shares of Vanguard Institutional Total Stock Market Index Fund matched the 12.9% return of the Wilshire 5000 Total Market Index during the first half of 2003. * Small-capitalization stocks outperformed large-caps, and growth-oriented stocks generally outperformed value stocks. * The technology and consumer discretionary sectors recorded the highest returns for the six months. - -------------------------------------------------------------------------------- CONTENT 1 Letter from the Chairman 5 Fund Profile 6 Glossary of Investment Terms 7 Performance Summary 8 Financial Statements 50 Advantages of Vanguard.com - -------------------------------------------------------------------------------- Letter from the Chairman PICTURE OF JOHN J. BRENNAN Dear 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. The Institutional Shares of Vanguard Institutional Total Stock Market Index Fund returned 12.9%, matching the six-month return of the Wilshire 5000 Total Market Index. (The lower-cost Institutional Plus Shares returned 10 basis points (0.1 percentage point) more than the index.) The adjacent table presents the returns of the fund and its comparative standards. The components of the fund's total returns--the change in net asset value during the half-year plus reinvested dividends--appear in the table on page 4. - -------------------------------------------------------- TOTAL RETURNS SIX MONTHS ENDED JUNE 30, 2003 - -------------------------------------------------------- Vanguard Institutional Total Stock Market Index Fund Institutional Shares 12.9% Institutional Plus Shares 13.0 Average Multi-Cap Core Fund* 12.0 Wilshire 5000 Index 12.9 - -------------------------------------------------------- *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, 2003. Indeed, the start of the war in mid-March marked the beginning of a sharp rally in stocks. 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) 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. 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 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. 1 Treasury note fell 30 basis points to 3.51%, as bond prices rose. - -------------------------------------------------------------------------------- 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. 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, tracking Fed moves with a lag--fell 34 basis points during the six months to 0.85%, well below the inflation rate. TECHNOLOGY STOCKS BOUNCED BACK VanguardInstitutional Total Stock Market Index Fund performed strongly during the six months, fueled by a rebound in technology and other growth-oriented stocks. Technology stocks, which delivered some of the market's worst returns during the past few years, were some of the best performers in the past six months. The stocks of hardware and software makers benefited from signs 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 fund's returns. Consumer discretionary stocks--the retailers, restaurants, and entertainment purveyors that often command above-market valuations--were another important contributor to the fund's performance. These stocks returned 17.1%, adding 2.6 percentage points to the fund's returns, as hints of a better economic environment enhanced the sector's prospective fortunes. - -------------------------------------------------------------------------------- After a prolonged slowdown in corporate investment, investors began to anticipate a rebound in capital spending. - -------------------------------------------------------------------------------- No industry sector recorded a loss, but consumer staples stocks, which had held up relatively well during the stock market's long downturn, recorded the lowest return (+5.1%) of any industry sector, as investors turned their attention to the market's more aggressive fare. Materials & processing (+5.7%), integrated oils (+7.2%), and auto & transportation (+7.7%) were also among the weaker-performing sectors. 2 For the record, the returns of Vanguard Institutional Total Stock Market Index Fund surpassed the 12.0% return of the fund's peer-group average, which is made up primarily of actively managed funds. Six-month comparisons reveal little about the benefits of indexing, but over time, the broad diversification and rock-bottom operating costs of a well-executed indexing strategy--as embodied in the Institutional Total Stock Market Index Fund--are tough to beat. We've managed index portfolios for more than a quarter of a century, and our confidence in the strategy's merits has been reinforced year after year. BALANCE FOR THE LONG RUN The past six months delivered the first piece of sustained good news for stock market investors in more than three years. The recovery was long in coming, but not unexpected. The markets move in cycles, and a long, grinding downturn can be expected to eventually give way to a recovery. Although no one knows when the cycles will turn, it's important to structure an investment program that can benefit from periods of growth with some protection against periods of decline by investing in stocks, bonds, and money market funds in proportions that reflect the unique goals and circumstances of your institution. Although there are many ways to organize the equity component of your investment plan, few approaches can provide the broad diversification and relative predictability of Vanguard Institutional Total Stock Market Index Fund at such an exceptionally low cost. Thank you for entrusting us with your institution's assets. Sincerely, /S/JOHN J. BRENNAN John J. Brennan Chairman and Chief Executive Officer July 17, 2003 3 - -------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- Institutional Total Stock Market Index Fund Institutional Shares $18.00 $20.17 $0.140 $0.000 Institutional Plus Shares 18.00 20.18 0.143 0.000 - -------------------------------------------------------------------------------- 4 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 6. INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND - ----------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET FUND INDEX* - ----------------------------------------------------- Number of Stocks 3,362 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% Institutional Shares 1.6% Institutional Plus Shares 1.6% Return on Equity 20.5% 20.5% Earnings Growth Rate 8.6% 8.6% Foreign Holdings 1.0% 0.9% Turnover Rate 6%** -- Expense Ratio -- Institutional Shares 0.06%** Institutional Plus Shares 0.025%** Cash Investments 0.1% -- - ----------------------------------------------------- - -------------------------------------------- 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 1.3 (pharmaceuticals) American International Group, Inc. 1.3 (insurance) International Business Machines Corp. 1.2 (computer hardware) Intel Corp. 1.2 (electronics) - -------------------------------------------- Top Ten 18.4% - -------------------------------------------- - ----------------------------------------------------- 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 22.2 22.3 Health Care 14.3 14.3 Integrated Oils 3.5 3.5 Other Energy 2.2 2.3 Materials & Processing 3.6 3.6 Producer Durables 4.0 4.0 Technology 13.6 13.5 Utilities 7.0 7.1 Other 4.3 4.2 Cash Investments 0.1% -- - ----------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ------------------------ INVESTMENT FOCUS MARKET CAP Large STYLE Blend - ------------------------ *Wilshire 5000 Index. **Annualized. VISIT OUR WEBSITE AT WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 5 GLOSSARY OF INVESTMENT TERMS 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. - -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and are more likely to distribute capital gains (which are taxable to investors). - -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of dividends paid on stocks in the index. - -------------------------------------------------------------------------------- 6 PERFORMANCE SUMMARY AS OF 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. INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) AUGUST 31, 2001-JUNE 30, 2003 INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND WILSHIRE INSTITUTIONAL SHARES 5000 INDEX 2001 2.3 2.3 2002 -20.8 -20.9 2003* 12.9 12.9 - -------------------------------------------------------------------------------- *Six months ended June 30, 2003. NOTE: See Financial Highlights tables on pages 45 and 46 for dividend and capital gains information. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED JUNE 30, 2003 SINCE INCEPTION ONE ---------------------------- INCEPTION DATE YEAR CAPITAL INCOME TOTAL - -------------------------------------------------------------------------------- Institutional Total Stock Market Index Fund Institutional Shares 8/31/2001 1.42% -6.30% 1.58% -4.72% Institutional Plus Shares 5/31/2001 1.51 -9.78 1.38 -8.40 - -------------------------------------------------------------------------------- 7 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 INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (98.9%)(1) - -------------------------------------------------------------------------------- General Electric Co. 821,867 $ 23,571 Microsoft Corp. 882,186 22,593 Pfizer Inc. 649,485 22,180 ExxonMobil Corp. 549,015 19,715 Wal-Mart Stores, Inc. 359,307 19,284 Citigroup, Inc. 423,676 18,133 Johnson & Johnson 244,185 12,624 American International Group, Inc. 214,201 11,820 International Business Machines Corp. 142,032 11,718 Intel Corp. 538,784 11,198 Merck & Co., Inc. 184,006 11,142 Bank of America Corp. 123,050 9,725 * Cisco Systems, Inc. 577,057 9,631 The Procter & Gamble Co. 106,255 9,476 The Coca-Cola Co. 202,201 9,384 Verizon Communications 225,859 8,910 Altria Group, Inc. 166,796 7,579 SBC Communications Inc. 273,422 6,986 Wells Fargo & Co. 138,011 6,956 * Berkshire Hathaway Inc. Class A 95 6,888 * Amgen, Inc. 103,339 6,866 * Dell Computer Corp. 211,374 6,756 Eli Lilly & Co. 92,058 6,349 ChevronTexaco Corp. 87,538 6,320 PepsiCo, Inc. 141,548 6,299 * Viacom Inc. Class B 144,245 6,298 Home Depot, Inc. 188,876 6,256 * AOL Time Warner Inc. 369,154 5,940 United Parcel Service, Inc. 92,218 5,874 J.P. Morgan Chase & Co. 166,867 5,704 Abbott Laboratories 128,070 5,604 Fannie Mae 81,121 5,471 Hewlett-Packard Co. 250,095 5,327 * Oracle Corp. 431,783 5,190 Wyeth 108,595 4,947 * Comcast Corp. Class A 159,076 4,801 Medtronic, Inc. 99,888 4,792 American Express Co. 106,463 4,451 Wachovia Corp. 110,421 4,412 Bristol-Myers Squibb Co. 158,761 4,310 3M Co. 31,941 4,120 BellSouth Corp. 152,496 4,061 U.S. Bancorp 156,993 3,846 Morgan Stanley 88,702 3,792 Merrill Lynch & Co., Inc. 75,920 3,544 Bank One Corp. 94,805 3,525 Anheuser-Busch Cos., Inc. 68,489 3,496 E.I. du Pont de Nemours & Co. 81,463 3,392 The Walt Disney Co. 167,378 3,306 The Goldman Sachs Group, Inc. 38,645 3,236 Washington Mutual, Inc. 76,381 3,154 ConocoPhillips 55,386 3,035 Freddie Mac 56,940 2,891 Target Corp. 74,437 2,817 Lowe's Cos., Inc. 63,967 2,747 8 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- United Technologies Corp. 38,486 $ 2,726 Fifth Third Bancorp 47,282 2,711 * eBay Inc. 25,933 2,702 Gillette Co. 83,824 2,671 Colgate-Palmolive Co. 44,092 2,555 FleetBoston Financial Corp. 85,970 2,554 First Data Corp. 61,612 2,553 Walgreen Co. 83,985 2,528 Texas Instruments, Inc. 141,789 2,495 UnitedHealth Group Inc. 49,656 2,495 Cardinal Health, Inc. 37,019 2,380 The Boeing Co. 68,873 2,364 * Liberty Media Corp. 202,668 2,343 Dow Chemical Co. 74,674 2,312 QUALCOMM Inc. 64,620 2,310 McDonald's Corp. 104,016 2,295 Schlumberger Ltd. 47,682 2,268 Marsh & McLennan Cos., Inc. 43,995 2,247 Schering-Plough Corp. 120,147 2,235 Kimberly-Clark Corp. 42,103 2,195 MBNA Corp. 104,640 2,181 * Applied Materials, Inc. 135,172 2,144 * Clear Channel Communications, Inc. 50,209 2,128 Allstate Corp. 57,536 2,051 * Boston Scientific Corp. 33,363 2,038 * EMC Corp. 180,264 1,887 Honeywell International Inc. 70,067 1,881 * AT&T Wireless Services Inc. 222,029 1,823 Southern Co. 58,402 1,820 The Bank of New York Co., Inc. 62,768 1,805 Motorola, Inc. 188,553 1,778 Lockheed Martin Corp. 37,254 1,772 Alcoa Inc. 69,189 1,764 Metropolitan Life Insurance Co. 62,259 1,763 Emerson Electric Co. 34,434 1,760 * InterActiveCorp 42,793 1,693 Gannett Co., Inc. 21,894 1,682 Carnival Corp. 51,490 1,674 Automatic Data Processing, Inc. 49,134 1,664 Illinois Tool Works, Inc. 25,156 1,657 Ford Motor Co. 150,320 1,652 General Motors Corp. 45,884 1,652 National City Corp. 50,101 1,639 * Forest Laboratories, Inc. 29,654 1,624 Dominion Resources, Inc. 25,099 1,613 * Yahoo! Inc. 49,184 1,611 Sysco Corp. 53,496 1,607 Exelon Corp. 26,421 1,580 Caterpillar, Inc. 28,154 1,567 * Cox Communications, Inc. Class A 48,507 1,547 * Cendant Corp. 84,358 1,545 * NEXTEL Communications, Inc. 84,163 1,522 Prudential Financial, Inc. 45,123 1,518 FedEx Corp. 24,458 1,517 SLM Corp. 37,608 1,473 Duke Energy Corp. 73,016 1,457 General Mills, Inc. 30,185 1,431 * Kohl's Corp. 27,568 1,416 International Paper Co. 39,189 1,400 SunTrust Banks, Inc. 23,057 1,368 * Costco Wholesale Corp. 37,314 1,366 The Gap, Inc. 72,401 1,358 HCA Inc. 42,036 1,347 BB&T Corp. 38,564 1,323 Lehman Brothers Holdings, Inc. 19,796 1,316 Travelers Property Casualty Corp. Class B 82,444 1,300 AFLAC Inc. 42,259 1,299 Progressive Corp. of Ohio 17,756 1,298 * Genentech, Inc. 17,986 1,297 Northrop Grumman Corp. 14,876 1,284 Baxter International, Inc. 48,534 1,262 ALLTEL Corp. 25,448 1,227 AT&T Corp. 63,119 1,215 Sara Lee Corp. 64,054 1,205 * Sun Microsystems, Inc. 261,760 1,204 Union Pacific Corp. 20,746 1,204 Tribune Co. 24,912 1,203 Avon Products, Inc. 19,203 1,194 General Dynamics Corp. 16,400 1,189 Waste Management, Inc. 48,693 1,173 * Amazon.com, Inc. 32,037 1,169 * General Motors Corp. Class H 90,748 1,162 * Best Buy Co., Inc. 26,344 1,157 NIKE, Inc. Class B 21,628 1,157 The Hartford Financial Services Group Inc. 22,851 1,151 Kellogg Co. 33,407 1,148 PNC Financial Services Group 23,233 1,134 Stryker Corp. 16,131 1,119 Charles Schwab Corp. 110,077 1,111 Guidant Corp. 24,905 1,106 Omnicom Group Inc. 15,319 1,098 Southwest Airlines Co. 63,377 1,090 Raytheon Co. 33,164 1,089 State Street Corp. 27,165 1,070 Newmont Mining Corp. (Holding Company) 32,835 1,066 Sprint Corp. 73,179 1,054 Computer Associates International, Inc. 47,043 1,048 * The Kroger Co. 62,282 1,039 ConAgra Foods, Inc. 43,972 1,038 9 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Analog Devices, Inc. 29,703 $ 1,034 Occidental Petroleum Corp. 30,806 1,033 Wm. Wrigley Jr. Co. 18,365 1,033 * WellPoint Health Networks Inc. Class A 12,042 1,015 Devon Energy Corp. 18,715 999 Golden West Financial Corp. 12,487 999 FPL Group, Inc. 14,872 994 Harley-Davidson, Inc. 24,738 986 The McGraw-Hill Cos., Inc. 15,779 978 Mellon Financial Corp. 35,095 974 * Veritas Software Corp. 33,539 962 Weyerhaeuser Co. 17,723 957 Masco Corp. 40,123 957 Entergy Corp. 18,006 950 American Electric Power Co., Inc. 31,649 944 H.J. Heinz Co. 28,573 942 * Bed Bath & Beyond, Inc. 24,060 934 FirstEnergy Corp. 24,030 924 Baker Hughes, Inc. 27,298 916 The Chubb Corp. 15,061 904 Paychex, Inc. 30,803 903 Equity Office Properties Trust REIT 33,405 902 Anadarko Petroleum Corp. 20,222 899 CVS Corp. 31,935 895 Maxim Integrated Products, Inc. 26,178 895 * Gilead Sciences, Inc. 16,102 895 Capital One Financial Corp. 18,044 887 Deere & Co. 19,380 886 * Anthem, Inc. 11,410 880 Burlington Resources, Inc. 16,218 877 * Apollo Group, Inc. Class A 14,173 875 KeyCorp 34,571 874 * Electronic Arts Inc. 11,700 866 Burlington Northern Santa Fe Corp. 30,391 864 Sears, Roebuck & Co. 25,467 857 McKesson Corp. 23,610 844 Progress Energy, Inc. 19,185 842 The Principal Financial Group, Inc. 26,000 839 Apache Corp. 12,880 838 Danaher Corp. 12,248 833 Electronic Data Systems Corp. 38,506 826 * St. Jude Medical, Inc. 14,288 822 * Fox Entertainment Group, Inc. Class A 28,452 819 Linear Technology Corp. 25,422 819 Allergan, Inc. 10,594 817 Halliburton Co. 35,350 813 Campbell Soup Co. 33,138 812 Franklin Resources Corp. 20,720 809 M & T Bank Corp. 9,510 801 TJX Cos., Inc. 42,332 798 Becton, Dickinson & Co. 20,441 794 Consolidated Edison Inc. 18,328 793 Praxair, Inc. 12,991 781 * Corning, Inc. 103,909 768 Public Service Enterprise Group, Inc. 18,158 767 * Starbucks Corp. 31,237 766 Air Products & Chemicals, Inc. 18,301 761 SouthTrust Corp. 27,988 761 Hershey Foods Corp. 10,924 761 Countrywide Financial Corp. 10,817 752 The Clorox Co. 17,615 751 * Comcast Corp. Special Class A 26,044 751 * Intuit, Inc. 16,691 743 Northern Trust Corp. 17,766 742 * MedImmune Inc. 20,366 741 * Genzyme Corp.-General Division 17,625 737 Kraft Foods Inc. 22,555 734 * Agilent Technologies, Inc. 37,398 731 Aetna Inc. 12,087 728 Pitney Bowes, Inc. 18,896 726 * Safeway, Inc. 35,139 719 Marriott International, Inc. Class A 18,697 718 * KLA-Tencor Corp. 15,350 714 * Staples, Inc. 38,778 712 * Lexmark International, Inc. 10,054 712 John Hancock Financial Services, Inc. 23,074 709 * Zimmer Holdings, Inc. 15,556 701 Loews Corp. 14,727 696 * Yum! Brands, Inc. 23,464 694 * International Game Technology 6,719 688 * Xilinx, Inc. 27,068 685 * PG&E Corp. 32,357 684 PPG Industries, Inc. 13,474 684 * Xerox Corp. 64,303 681 * EchoStar Communications Corp. Class A 19,504 675 * Lucent Technologies, Inc. 331,330 673 Mattel, Inc. 35,044 663 Archer-Daniels-Midland Co. 51,393 661 * Chiron Corp. 15,050 658 St. Paul Cos., Inc. 17,925 654 Marathon Oil Corp. 24,743 652 Coca-Cola Enterprises, Inc. 35,891 651 * Qwest Communications International Inc. 135,302 647 Comerica, Inc. 13,904 646 Limited Brands, Inc. 41,668 646 Eastman Kodak Co. 23,341 638 Ingersoll-Rand Co. 13,351 632 Newell Rubbermaid, Inc. 22,508 630 10 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Moody's Corp. 11,927 $ 629 PACCAR, Inc. 9,191 621 AmSouth Bancorp 28,255 617 Fortune Brands, Inc. 11,776 615 H & R Block, Inc. 14,146 612 AmerisourceBergen Corp. 8,653 600 Johnson Controls, Inc. 6,993 599 Aon Corp. 24,713 595 * Concord EFS, Inc. 40,398 595 Norfolk Southern Corp. 30,964 594 Biomet, Inc. 20,645 592 Adobe Systems, Inc. 18,347 588 Regions Financial Corp. 17,336 586 Unocal Corp. 20,339 583 Simon Property Group, Inc. REIT 14,860 580 PPL Corp. 13,454 578 * AutoZone Inc. 7,606 578 * SunGard Data Systems, Inc. 22,292 578 Albertson's, Inc. 29,927 575 TXU Corp. 25,404 570 E.W. Scripps Co. Class A 6,417 569 Ameren Corp. 12,880 568 Bear Stearns Co., Inc. 7,801 565 * Computer Sciences Corp. 14,789 564 * Apple Computer, Inc. 29,328 561 * Micron Technology, Inc. 48,192 560 Marshall & Ilsley Corp. 18,276 559 * Broadcom Corp. 22,427 559 MBIA, Inc. 11,454 558 Equity Residential REIT 21,380 555 Charter One Financial, Inc. 17,704 552 * Transocean Inc. 25,031 550 Ambac Financial Group, Inc. 8,289 549 Federated Department Stores, Inc. 14,809 546 * Univision Communications Inc. 17,932 545 Rohm & Haas Co. 17,353 538 * Quest Diagnostics, Inc. 8,437 538 * Fiserv, Inc. 15,084 537 New York Times Co. Class A 11,783 536 Ecolab, Inc. 20,700 530 * Caremark Rx, Inc. 20,486 526 CIGNA Corp. 11,185 525 Kinder Morgan, Inc. 9,477 518 Family Dollar Stores, Inc. 13,520 516 Synovus Financial Corp. 23,961 515 * Symantec Corp. 11,698 513 Mylan Laboratories, Inc. 14,678 510 Washington Post Co. Class B 692 507 DTE Energy Co. 13,066 505 CSX Corp. 16,741 504 Cinergy Corp. 13,643 502 May Department Stores Co. 22,350 497 Lincoln National Corp. 13,852 494 Union Planters Corp. 15,879 493 * Altera Corp. 30,006 492 * Sprint PCS 84,009 483 UnionBanCal Corp. 11,593 480 Cintas Corp. 13,430 476 Sempra Energy 16,657 475 Dollar General Corp. 26,020 475 Dover Corp. 15,763 472 * Affiliated Computer Services, Inc. Class A 10,240 468 Cincinnati Financial Corp. 12,580 467 ITT Industries, Inc. 7,104 465 Xcel Energy, Inc. 30,874 464 Eaton Corp. 5,897 464 Jefferson-Pilot Corp. 11,139 462 UST, Inc. 13,176 462 * Nabors Industries, Inc. 11,658 461 * PeopleSoft, Inc. 26,078 459 * Weatherford International Ltd. 10,886 456 Starwood Hotels & Resorts Worldwide, Inc. 15,928 455 * BJ Services Co. 12,162 454 Constellation Energy Group, Inc. 13,211 453 Monsanto Co. 20,836 451 * CNA Financial Corp. 18,233 448 * Biogen, Inc. 11,783 448 Knight Ridder 6,409 442 * Tenet Healthcare Corp. 37,541 437 Genuine Parts Co. 13,516 433 The Pepsi Bottling Group, Inc. 21,586 432 Lennar Corp. Class A 6,030 431 First Tennessee National Corp. 9,816 431 * Edison International 26,017 427 KeySpan Corp. 12,058 427 Avery Dennison Corp. 8,505 427 * Network Appliance, Inc. 26,065 423 * Novellus Systems, Inc. 11,534 422 GlobalSantaFe Corp. 17,974 420 North Fork Bancorp, Inc. 12,291 419 * Express Scripts Inc. 6,076 415 Vornado Realty Trust REIT 9,456 412 * MGM Mirage, Inc. 12,043 412 * American Standard Cos., Inc. 5,502 407 * IDEC Pharmaceuticals Corp. 11,857 403 Textron, Inc. 10,296 402 Microchip Technology, Inc. 16,187 399 Interpublic Group of Cos., Inc. 29,727 398 CenturyTel, Inc. 11,400 397 CIT Group Inc. 16,072 396 Molex, Inc. 14,668 396 Hudson City Bancorp, Inc. 15,482 396 11 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- MeadWestvaco Corp. 15,873 $ 392 Popular, Inc. 10,140 391 Centex Corp. 4,966 386 * Weight Watchers International, Inc. 8,453 385 * Millennium Pharmaceuticals, Inc. 24,390 384 * JDS Uniphase Corp. 109,245 383 Parker Hannifin Corp. 9,061 380 NiSource, Inc. 20,000 380 Murphy Oil Corp. 7,214 379 Green Point Financial Corp. 7,384 376 ProLogis REIT 13,736 375 Georgia Pacific Group 19,683 373 El Paso Corp. 46,059 372 * QLogic Corp. 7,678 371 * Coach, Inc. 7,455 371 Whirlpool Corp. 5,803 370 SAFECO Corp. 10,447 369 Delphi Corp. 42,537 367 * Barr Laboratories, Inc. 5,595 366 * Dean Foods Co. 11,623 366 Hilton Hotels Corp. 28,561 365 EOG Resources, Inc. 8,717 365 Amerada Hess Corp. 7,382 363 Plum Creek Timber Co. Inc. REIT 13,972 363 * Noble Corp. 10,537 361 Public Storage, Inc. REIT 10,631 360 Boston Properties, Inc. REIT 8,202 359 Tiffany & Co. 10,979 359 Legg Mason Inc. 5,518 358 * Juniper Networks, Inc. 28,838 357 Kerr-McGee Corp. 7,953 356 MGIC Investment Corp. 7,613 355 * Synopsys, Inc. 5,730 354 Brown-Forman Corp. Class B 4,503 354 * Siebel Systems, Inc. 36,994 353 * Office Depot, Inc. 24,289 352 RadioShack Corp. 13,308 350 * Cablevision Systems- NY Group Class A 16,865 350 T. Rowe Price Group Inc. 9,255 349 Royal Caribbean Cruises, Ltd. 15,085 349 Huntington Bancshares Inc. 17,841 348 Zions Bancorp 6,875 348 Rockwell Collins, Inc. 14,029 346 * Laboratory Corp. of America Holdings 11,392 343 J.C. Penney Co., Inc. (Holding Company) 20,360 343 * Watson Pharmaceuticals, Inc. 8,488 343 National Commerce Financial Corp. 15,414 342 * AutoNation, Inc. 21,757 342 Rockwell Automation, Inc. 14,329 342 * L-3 Communications Holdings, Inc. 7,841 341 * DST Systems, Inc. 8,944 340 Archstone-Smith Trust REIT 14,059 337 * Harrah's Entertainment, Inc. 8,370 337 * BEA Systems, Inc. 30,993 337 Compass Bancshares Inc. 9,632 336 General Growth Properties Inc. REIT 5,379 336 W.W. Grainger, Inc. 7,107 332 * Jabil Circuit, Inc. 14,988 331 Torchmark Corp. 8,879 331 Health Management Associates Class A 17,914 331 Cooper Industries, Inc. Class A 7,985 330 ENSCO International, Inc. 12,257 330 IMS Health, Inc. 18,306 329 * CDW Corp. 7,185 329 Total System Services, Inc. 14,747 329 Valero Energy Corp. 9,009 327 * Unisys Corp. 26,525 326 Old Republic International Corp. 9,498 325 Sovereign Bancorp, Inc. 20,446 320 Duke Realty Corp. REIT 11,608 320 * AES Corp. 50,291 319 Fidelity National Financial, Inc. 10,347 318 Williams Cos., Inc. 40,218 318 Banknorth Group, Inc. 12,443 318 VF Corp. 9,307 316 * Sealed Air Corp. 6,625 316 * Mohawk Industries, Inc. 5,667 315 D. R. Horton, Inc. 11,196 315 * Health Net Inc. 9,498 313 C.R. Bard, Inc. 4,387 313 XTO Energy, Inc. 15,506 312 Estee Lauder Cos. Class A 9,288 311 iStar Financial Inc. REIT 8,530 311 * NVIDIA Corp. 13,502 311 Expeditors International of Washington, Inc. 8,950 310 Janus Capital Group Inc. 18,737 307 * Westwood One, Inc. 9,039 307 Transatlantic Holdings, Inc. 4,426 306 * SPX Corp. 6,916 305 New York Community Bancorp, Inc. 10,474 305 * Varian Medical Systems, Inc. 5,248 302 Kimco Realty Corp. REIT 7,969 302 Sabre Holdings Corp. 12,232 302 * Oxford Health Plans, Inc. 7,166 301 * Brinker International, Inc. 8,303 299 * Intersil Corp. 11,236 299 * Citrix Systems, Inc. 14,646 298 12 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Applera Corp.- Applied Biosystems Group 15,659 $ 298 Nucor Corp. 6,100 298 Sherwin-Williams Co. 11,074 298 * IVAX Corp. 16,676 298 SCANA Corp. 8,631 296 Leggett & Platt, Inc. 14,414 295 Vulcan Materials Co. 7,968 295 McCormick & Co., Inc. 10,850 295 Liz Claiborne, Inc. 8,362 295 Radian Group, Inc. 8,008 293 UnumProvident Corp. 21,841 293 * Jones Apparel Group, Inc. 10,004 293 Black & Decker Corp. 6,681 290 * Smith International, Inc. 7,876 289 Omnicare, Inc. 8,485 287 Equifax, Inc. 11,023 287 Tyson Foods, Inc. 26,975 286 Ross Stores, Inc. 6,686 286 Dow Jones & Co., Inc. 6,633 285 * King Pharmaceuticals, Inc. 19,335 285 Sigma-Aldrich Corp. 5,267 285 * BMC Software, Inc. 17,361 284 * National Semiconductor Corp. 14,362 283 Hormel Foods Corp. 11,914 282 * Robert Half International, Inc. 14,900 282 * WebMD Corp. 26,022 282 Pulte Homes, Inc. 4,562 281 Darden Restaurants Inc. 14,698 279 * AdvancePCS 7,262 278 * Sanmina-SCI Corp. 43,978 278 * Pixar, Inc. 4,550 277 Freeport-McMoRan Copper & Gold, Inc. Class B 11,286 277 DENTSPLY International Inc. 6,757 276 * Citizens Communications Co. 21,417 276 * Waters Corp. 9,429 275 * Smurfit-Stone Container Corp. 21,071 275 ServiceMaster Co. 25,634 274 Doral Financial Corp. 6,142 274 R.J. Reynolds Tobacco Holdings, Inc. 7,348 273 * Iron Mountain, Inc. 7,327 272 * Republic Services, Inc. Class A 11,986 272 * Career Education Corp. 3,970 272 * Teradyne, Inc. 15,685 272 Engelhard Corp. 10,960 271 Diebold, Inc. 6,220 269 Pepco Holdings, Inc. 14,038 269 * CarMax, Inc. 8,907 269 Hillenbrand Industries, Inc. 5,304 268 * Pactiv Corp. 13,573 268 * Expedia Inc. 3,498 267 Pinnacle West Capital Corp. 7,120 267 Rouse Co. REIT 6,992 266 * Dollar Tree Stores, Inc. 8,370 266 * Level 3 Communications, Inc. 39,933 265 * E*TRADE Group, Inc. 31,116 264 * Thermo Electron Corp. 12,564 264 * Patterson Dental Co. 5,813 264 * Pioneer Natural Resources Co. 10,082 263 * American Power Conversion Corp. 16,878 263 Scientific-Atlanta, Inc. 11,032 263 * The Dun & Bradstreet Corp. 6,384 262 * Metro-Goldwyn-Mayer Inc. 21,090 262 * Williams-Sonoma, Inc. 8,944 261 * Lear Corp. 5,664 261 Hasbro, Inc. 14,901 261 White Mountains Insurance Group Inc. 658 260 * Phelps Dodge Corp. 6,777 260 Energy East Corp. 12,491 259 Federated Investors, Inc. 9,455 259 C.H. Robinson Worldwide, Inc. 7,284 259 * Lamar Advertising Co. Class A 7,326 258 International Flavors & Fragrances, Inc. 8,073 258 R.R. Donnelley & Sons Co. 9,731 254 Outback Steakhouse 6,507 254 Telephone & Data Systems, Inc. 5,064 252 Alberto-Culver Co. Class B 4,921 251 W.R. Berkley Corp. 4,771 251 Wisconsin Energy Corp. 8,640 251 TCF Financial Corp. 6,289 251 * ChoicePoint Inc. 7,257 251 KB HOME 4,019 249 Sunoco, Inc. 6,573 248 Avalonbay Communities, Inc. REIT 5,817 248 Manpower Inc. 6,678 248 Hibernia Corp. Class A 13,583 247 * Mercury Interactive Corp. 6,374 246 Bunge Ltd. 8,600 246 SuperValu Inc. 11,462 244 SEI Corp. 7,633 244 * Comverse Technology, Inc. 16,204 244 * Constellation Brands, Inc. Class A 7,748 243 * NVR, Inc. 590 242 * SanDisk Corp. 5,998 242 * Lincare Holdings, Inc. 7,640 241 Neuberger Berman Inc. 6,018 240 Wendy's International, Inc. 8,276 240 * VeriSign, Inc. 17,254 239 Associated Banc-Corp 6,465 238 * Storage Technology Corp. 9,258 238 Pall Corp. 10,591 238 13 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Abercrombie & Fitch Co. 8,379 $ 238 * Coventry Health Care Inc. 5,149 238 Questar Corp. 7,096 238 * Hispanic Broadcasting Corp. 9,327 237 * PanAmSat Corp. 12,850 237 A.G. Edwards & Sons, Inc. 6,894 236 * Agere Systems Inc. Class B 102,499 236 Apartment Investment & Management Co. Class A REIT 6,812 236 * Park Place Entertainment Corp. 25,870 235 * Energizer Holdings, Inc. 7,489 235 Diamond Offshore Drilling, Inc. 11,174 235 Mercantile Bankshares Corp. 5,948 234 * Cooper Cameron Corp. 4,644 234 * Tellabs, Inc. 35,472 233 * Cadence Design Systems, Inc. 19,279 233 Fluor Corp. 6,899 232 * Whole Foods Market, Inc. 4,880 232 * Providian Financial Corp. 25,009 232 * JetBlue Airways Corp. 5,452 231 * Rent-A-Center, Inc. 3,024 229 Erie Indemnity Co. Class A 5,554 229 The McClatchy Co. Class A 3,968 229 Liberty Property Trust REIT 6,584 228 Nordstrom, Inc. 11,663 228 * First Health Group Corp. 8,234 227 * LSI Logic Corp. 32,049 227 Symbol Technologies, Inc. 17,403 226 * Ameritrade Holding Corp. 30,285 224 Pogo Producing Co. 5,221 223 Commerce Bancshares, Inc. 5,712 222 Deluxe Corp. 4,961 222 * Toys R Us, Inc. 18,326 222 Allied Capital Corp. 9,610 222 * Solectron Corp. 59,268 222 Ball Corp. 4,858 221 * Patterson-UTI Energy, Inc. 6,823 221 Harman International Industries, Inc. 2,793 221 Student Loan Corp. 1,754 221 Fastenal Co. 6,502 221 * Michaels Stores, Inc. 5,762 219 Nuveen Investments, Inc. Class A 8,016 218 * Pride International, Inc. 11,588 218 Belo Corp. Class A 9,744 218 Equitable Resources, Inc. 5,338 217 Health Care Properties Investors REIT 5,119 217 Commerce Bancorp, Inc. 5,834 216 * NCR Corp. 8,446 216 * Smithfield Foods, Inc. 9,436 216 Fair, Isaac, Inc. 4,200 216 * Ceridian Corp. 12,722 216 First Virginia Banks, Inc. 5,004 216 * Calpine Corp. 32,651 215 Beckman Coulter, Inc. 5,291 215 Valley National Bancorp 8,150 215 CenterPoint Energy Inc. 26,241 214 * Mid Atlantic Medical Services, Inc. 4,081 213 Mercury General Corp. 4,659 213 Goodrich Corp. 10,050 211 * Humana Inc. 13,975 211 * CIENA Corp. 40,648 211 * Host Marriott Corp. REIT 23,038 211 Bemis Co., Inc. 4,502 211 The Stanley Works 7,618 210 Eastman Chemical Co. 6,622 210 * Entercom Communications Corp. 4,269 209 The PMI Group Inc 7,762 208 Developers Diversified Realty Corp. REIT 7,307 208 * Avaya Inc. 32,115 207 Arthur J. Gallagher & Co. 7,623 207 * Hearst-Argyle Television Inc. 7,988 207 MDU Resources Group, Inc. 6,153 206 * Universal Health Services Class B 5,188 206 NSTAR 4,503 205 * 99 Cents Only Stores 5,970 205 The St. Joe Co. 6,562 205 * SICOR, Inc. 10,058 205 * Gentex Corp. 6,600 202 AMB Property Corp. REIT 7,157 202 * ImClone Systems, Inc. 6,369 201 Sonoco Products Co. 8,319 200 * Henry Schein, Inc. 3,815 200 * PETsMART, Inc. 11,915 199 Astoria Financial Corp. 7,108 199 * ICOS Corp. 5,384 198 * Rite Aid Corp. 44,457 198 * Krispy Kreme Doughnuts, Inc. 4,802 198 * LAM Research Corp. 10,848 198 Temple-Inland Inc. 4,574 196 Allete, Inc. 7,338 195 Northeast Utilities 11,635 195 American National Insurance Co. 2,253 195 Brown & Brown, Inc. 5,988 195 Brunswick Corp. 7,773 194 * Convergys Corp. 12,145 194 * Jacobs Engineering Group Inc. 4,598 194 * Manor Care, Inc. 7,741 194 * Endo Pharmaceuticals Holdings, Inc. 11,435 193 * Cephalon, Inc. 4,699 193 * Navistar International Corp. 5,875 192 Puget Energy, Inc. 8,018 191 * Getty Images, Inc. 4,594 190 * CheckFree Corp. 6,815 190 * Advanced Micro Devices, Inc. 29,592 190 14 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * U.S. Cellular Corp. 7,442 $ 189 * Advance Auto Parts, Inc. 3,100 189 * BISYS Group, Inc. 10,258 188 Eaton Vance Corp. 5,961 188 * Compuware Corp. 32,631 188 * Monster Worldwide Inc. 9,530 188 The Chicago Mercantile Exchange 2,700 188 * Amkor Technology, Inc. 14,307 188 * Celgene Corp. 6,153 187 Chesapeake Energy Corp. 18,505 187 * Integrated Circuit Systems, Inc. 5,944 187 Noble Energy, Inc. 4,929 186 Meredith Corp. 4,232 186 City National Corp. 4,178 186 * BOK Financial Corp. 4,818 186 Leucadia National Corp. 5,005 186 Lyondell Chemical Co. 13,715 186 Weingarten Realty Investors REIT 4,414 185 Regency Centers Corp. REIT 5,276 185 * Millipore Corp. 4,140 184 Wesco Financial Corp. 588 183 Fulton Financial Corp. 9,181 182 * GTECH Holdings Corp. 4,840 182 Valspar Corp. 4,308 182 * Vishay Intertechnology, Inc. 13,772 182 TECO Energy, Inc. 15,122 181 * Allied Waste Industries, Inc. 17,988 181 National Fuel Gas Co. 6,936 181 * Rowan Cos., Inc. 8,063 181 Lafarge North America Inc. 5,836 180 * Gemstar-TV Guide International, Inc. 35,428 180 Ashland, Inc. 5,877 180 * Corinthian Colleges, Inc. 3,712 180 Mack-Cali Realty Corp. REIT 4,936 180 New Plan Excel Realty Trust REIT 8,391 179 Bowater Inc. 4,776 179 International Speedway Corp. 4,516 178 Waddell & Reed Financial, Inc. 6,935 178 Capitol Federal Financial 6,288 177 * Columbia Sportswear Co. 3,437 177 * Western Digital Corp. 17,133 176 Forest City Enterprise Class A 4,253 176 * Reebok International Ltd. 5,208 175 * MEMC Electronic Materials, Inc. 17,791 174 * Owens-Illinois, Inc. 12,657 174 * Newfield Exploration Co. 4,623 174 * Amylin Pharmaceuticals, Inc. 7,903 173 DPL Inc. 10,847 173 * Markel Corp. 672 172 * Apogent Technologies Inc. 8,584 172 Bank of Hawaii Corp. 5,177 172 * Alliant Techsystems, Inc. 3,303 171 Bausch & Lomb, Inc. 4,558 171 Viad Corp. 7,604 170 Great Plains Energy, Inc. 5,891 170 Harris Corp. 5,657 170 * Network Associates, Inc. 13,398 170 * Toll Brothers, Inc. 5,996 170 J.M. Smucker Co. 4,248 169 * Amphenol Corp. 3,610 169 Hubbell Inc. Class B 5,080 168 Hospitality Properties Trust REIT 5,359 167 * National Instruments Corp. 4,410 167 CBRL Group, Inc. 4,282 166 FirstMerit Corp. 7,277 166 * Packaging Corp. of America 9,024 166 * Edwards Lifesciences Corp. 5,164 166 * Catellus Development Corp. 7,530 166 Reynolds & Reynolds Class A 5,800 166 AVX Corp. 15,060 166 * Community Health Systems, Inc. 8,539 165 First American Corp. 6,243 165 * Timberland Co. 3,105 164 * Invitrogen Corp. 4,276 164 Sky Financial Group, Inc. 7,552 164 * Zebra Technologies Corp. Class A 2,176 164 Pentair, Inc. 4,187 164 Maytag Corp. 6,692 163 Pier 1 Imports Inc. 7,990 163 * Varco International, Inc. 8,309 163 Mandalay Resort Group 5,111 163 Investors Financial Services Corp. 5,594 162 Annaly Mortgage Management Inc. REIT 8,145 162 Wilmington Trust Corp. 5,524 162 PepsiAmericas, Inc. 12,908 162 * Fisher Scientific International Inc. 4,645 162 * ADTRAN Inc. 3,175 162 * Aramark Corp. Class B 7,200 161 * Tektronix, Inc. 7,467 161 Donaldson Co., Inc. 3,628 161 The Macerich Co. REIT 4,586 161 * ADC Telecommunications, Inc. 69,065 161 * Maxtor Corp. 21,400 161 * National-Oilwell, Inc. 7,299 161 Foot Locker, Inc. 12,091 160 * Emulex Corp. 7,030 160 Dial Corp. 8,226 160 * Certegy, Inc. 5,764 160 Circuit City Stores, Inc. 18,159 160 * Kmart Holding Corp. 5,900 160 15 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Education Management Corp 3,001 $ 160 * Triad Hospitals, Inc. 6,418 159 United Dominion Realty Trust REIT 9,211 159 * Del Monte Foods Co. 17,929 158 HCC Insurance Holdings, Inc. 5,347 158 Unitrin, Inc. 5,828 158 * Applied Micro Circuits Corp. 26,099 158 Protective Life Corp. 5,902 158 Nationwide Financial Services, Inc. 4,844 157 * BearingPoint, Inc. 16,306 157 Autodesk, Inc. 9,734 157 HON Industries, Inc. 5,115 156 Delta Air Lines, Inc. 10,618 156 CONSOL Energy, Inc. 6,804 155 * The Cheesecake Factory 4,287 154 * Chico's FAS, Inc. 7,306 154 * Reliant Resources, Inc. 25,045 154 Tidewater Inc. 5,218 153 * O'Reilly Automotive, Inc. 4,569 153 People's Bank 5,249 152 Cabot Corp. 5,280 152 * Foundry Networks, Inc. 10,501 151 BorgWarner, Inc. 2,345 151 * The Neiman Marcus Group, Inc. Class A 4,124 151 Alliant Energy Corp. 7,930 151 * Big Lots Inc. 10,028 151 * West Corp. 5,654 151 Adolph Coors Co. Class B 3,074 151 PerkinElmer, Inc. 10,899 151 * PacifiCare Health Systems, Inc. 3,044 150 Winn-Dixie Stores, Inc. 12,151 150 * Crown Castle International Corp. 19,161 149 Webster Financial Corp. 3,934 149 Harte-Hanks, Inc. 7,824 149 * Kinder Morgan Management, LLC 3,961 148 Dana Corp. 12,811 148 Colonial BancGroup, Inc. 10,677 148 * International Rectifier Corp. 5,520 148 Applebee's International, Inc. 4,691 147 * J.D. Edwards & Co. 10,285 147 Peabody Energy Corp. 4,384 147 * American Tower Corp. Class A 16,639 147 * AMR Corp. 13,341 147 * NTL Inc. 4,300 147 Clayton Homes Inc. 11,688 147 Trizec Properties, Inc. REIT 12,900 147 * 3Com Corp. 31,315 147 Chelsea Property Group REIT 3,634 146 Vectren Corp. 5,846 146 * Sirius Satellite Radio, Inc. 86,279 146 Ryland Group, Inc. 2,100 146 Roslyn Bancorp, Inc. 6,778 146 Snap-On Inc. 5,004 145 OGE Energy Corp. 6,788 145 * Quintiles Transnational Corp. 10,178 144 * Renal Care Group, Inc. 4,097 144 United States Steel Corp. 8,787 144 * Performance Food Group Co. 3,887 144 Hawaiian Electric Industries Inc. 3,132 144 * McDATA Corp. Class A 9,773 143 * Ingram Micro, Inc. Class A 13,023 143 Teleflex Inc. 3,364 143 Talbots Inc. 4,852 143 Lee Enterprises, Inc. 3,797 143 Arden Realty Group, Inc. REIT 5,477 142 Crescent Real Estate, Inc. REIT 8,500 141 * Human Genome Sciences, Inc. 11,076 141 Precision Castparts Corp. 4,524 141 * DeVry, Inc. 6,026 140 * DaVita, Inc. 5,221 140 Philadelphia Suburban Corp. 5,731 140 Cullen/Frost Bankers, Inc. 4,348 140 * Rambus Inc. 8,394 139 Martin Marietta Materials, Inc. 4,136 139 Ryder System, Inc. 5,423 139 NICOR Inc. 3,741 139 * STERIS Corp. 6,012 139 BancorpSouth, Inc. 6,657 139 Tootsie Roll Industries, Inc. 4,552 139 John Wiley & Sons Class A 5,245 137 Raymond James Financial, Inc. 4,157 137 Washington Federal Inc. 5,939 137 Independence Community Bank Corp. 4,846 137 Reinsurance Group of America, Inc. 4,248 136 RPM International, Inc. 9,909 136 * Pharmaceutical Resources, Inc. 2,800 136 AGL Resources Inc. 5,355 136 * Stericycle, Inc. 3,528 136 * Pharmaceutical Product Development, Inc. 4,715 135 Lubrizol Corp. 4,370 135 Dynegy, Inc. 32,166 135 Federal Realty Investment Trust REIT 4,220 135 * Neurocrine Biosciences, Inc. 2,700 135 Ruby Tuesday, Inc. 5,452 135 * Swift Transportation Co., Inc. 7,204 134 * The Corporate Executive Board Co. 3,286 134 Park National Corp. 1,171 134 Jack Henry & Associates Inc. 7,517 134 American Financial Group, Inc. 5,861 134 * Interactive Data Corp. 7,906 134 16 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Eon Labs, Inc. 3,800 $ 134 StanCorp Financial Group, Inc. 2,543 133 * Arrow Electronics, Inc. 8,651 132 * Sepracor Inc. 7,287 131 Trustmark Corp. 5,158 131 Pan Pacific Retail Properties, Inc. REIT 3,329 131 Friedman, Billings, Ramsey Group, Inc. 9,760 131 Hudson United Bancorp 3,823 131 Peoples Energy Corp. 3,043 131 * Westport Resources Corp. 5,724 130 * Avnet, Inc. 10,226 130 * Scotts Co. 2,614 129 * Barnes & Noble, Inc. 5,608 129 The Timken Co. 7,372 129 * Tech Data Corp. 4,832 129 * Fairchild Semiconductor International, Inc. 10,074 129 BRE Properties Inc. Class A REIT 3,876 129 * Cypress Semiconductor Corp. 10,688 128 Thornburg Mortgage, Inc. REIT 5,172 128 * Cognizant Technology Solutions Corp. 5,238 128 Herman Miller, Inc. 6,309 128 * Cincinnati Bell Inc. 18,932 127 * J.B. Hunt Transport Services, Inc. 3,356 127 Graco, Inc. 3,924 126 Helmerich & Payne, Inc. 4,276 125 Mills Corp. REIT 3,721 125 FactSet Research Systems Inc. 2,834 125 Old National Bancorp 5,415 125 Fresh Del Monte Produce Inc. 4,843 124 Cummins Inc. 3,465 124 * Furniture Brands International Inc. 4,762 124 Medicis Pharmaceutical Corp. 2,191 124 Harsco Corp. 3,438 124 * Glamis Gold, Ltd. 10,800 124 * Station Casinos, Inc. 4,895 124 Westamerica Bancorporation 2,864 123 CarrAmerica Realty Corp. REIT 4,434 123 * Charles River Laboratories, Inc. 3,828 123 ONEOK, Inc. 6,262 123 * Grant Prideco, Inc. 10,432 123 * Andrx Group 6,148 122 * Alleghany Corp. 637 122 CenterPoint Properties Corp. REIT 1,984 122 Flagstar Bancorp, Inc. 4,938 121 * Brocade Communications Systems, Inc. 20,464 121 * Bio-Rad Laboratories, Inc. Class A 2,174 120 IndyMac Bancorp, Inc. REIT 4,733 120 * Borders Group, Inc. 6,832 120 American Capital Strategies, Ltd. 4,822 120 ICN Pharmaceuticals, Inc. 7,165 120 MDC Holdings, Inc. 2,481 120 Boise Cascade Corp. 4,999 119 * Polycom, Inc. 8,593 119 F.N.B. Corp. 3,929 119 * Hovnanian Enterprises Class A 2,016 119 * Saks Inc. 12,245 119 * NBTY, Inc. 5,636 119 * Advanced Fibre Communications, Inc. 7,287 119 * Key Energy Services, Inc. 11,056 119 * FMC Technologies Inc. 5,623 118 Lancaster Colony Corp. 3,047 118 Odyssey Re Holdings Corp. 5,580 118 * Apria Healthcare Group Inc. 4,727 118 ArvinMeritor, Inc. 5,825 118 Crane Co. 5,188 117 * WFS Financial, Inc. 3,501 117 Werner Enterprises, Inc. 5,533 117 Polaris Industries, Inc. 1,906 117 Camden Property Trust REIT 3,345 117 * Acxiom Corp. 7,732 117 International Bancshares Corp. 3,281 117 * Valassis Communications, Inc. 4,530 117 * Avocent Corp. 3,884 116 Rayonier Inc. 3,518 116 Cousins Properties, Inc. REIT 4,147 116 First Midwest Bancorp, Inc. 3,986 115 Jefferies Group, Inc. 2,298 114 Reader's Digest Association, Inc. 8,471 114 * ITT Educational Services, Inc. 3,886 114 * AmeriCredit Corp. 13,274 113 Ethan Allen Interiors, Inc. 3,217 113 * Sybase, Inc. 8,127 113 * Cytec Industries, Inc. 3,323 112 * Macromedia, Inc. 5,337 112 * Interdigital Communications Corp. 4,782 112 Church & Dwight, Inc. 3,409 112 Realty Income Corp. REIT 2,926 111 Cooper Tire & Rubber Co. 6,334 111 * Activision, Inc. 8,608 111 Seagate Technology 6,300 111 * American Eagle Outfitters, Inc. 6,129 111 * Red Hat, Inc. 14,670 111 * American Greetings Corp. Class A 5,653 111 * Zale Corp. 2,775 111 Imation Corp. 2,933 111 Global Payments Inc. 3,123 111 17 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- IKON Office Solutions, Inc. 12,438 $ 111 UGI Corp. Holding Co. 3,488 111 * Nextel Partners, Inc. 15,118 110 Carlisle Co., Inc. 2,616 110 AptarGroup Inc. 3,047 110 * AnnTaylor Stores Corp. 3,782 109 * Marvel Enterprises Inc. 5,730 109 * Silicon Laboratories Inc. 4,101 109 * AGCO Corp. 6,395 109 Western Gas Resources, Inc. 2,757 109 WGL Holdings Inc. 4,088 109 The MONY Group Inc. 4,047 109 Whitney Holdings Corp. 3,408 109 * DoubleClick Inc. 11,745 109 * Extended Stay America, Inc. 8,052 109 Media General, Inc. Class A 1,897 109 La-Z-Boy Inc. 4,815 108 CBL & Associates Properties, Inc. REIT 2,503 108 WPS Resources Corp. 2,672 107 * Affiliated Managers Group, Inc. 1,761 107 Piedmont Natural Gas, Inc. 2,761 107 * ResMed Inc. 2,733 107 * Protein Design Labs, Inc. 7,662 107 CNF Inc. 4,219 107 * Cabot Microelectronics Corp. 2,121 107 Regis Corp. 3,675 107 * Techne Corp. 3,507 106 * The Yankee Candle Co., Inc. 4,568 106 * Emmis Communications, Inc. 4,616 106 Provident Financial Group, Inc. 4,128 106 LaBranche & Co. Inc. 5,105 106 Blyth, Inc. 3,883 106 Health Care Inc. REIT 3,458 105 * Charter Communications, Inc. 26,484 105 Essex Property Trust, Inc. REIT 1,831 105 * Cytyc Corp. 9,931 104 * Perot Systems Corp. 9,195 104 Claire's Stores, Inc. 4,117 104 * Respironics, Inc. 2,781 104 Healthcare Realty Trust Inc. REIT 3,571 104 21st Century Insurance Group 7,266 104 * Earthlink, Inc. 13,151 104 Pacific Capital Bancorp 2,960 104 * CNET Networks, Inc. 16,643 104 Arch Coal, Inc. 4,511 104 * Radio One, Inc. Class D 5,830 104 Ventas, Inc. REIT 6,837 104 First Industrial Realty Trust REIT 3,277 104 * P.F. Chang's China Bistro, Inc. 2,100 103 UCBH Holdings, Inc. 3,600 103 United Bankshares, Inc. 3,602 103 * XM Satellite Radio Holdings, Inc. 9,335 103 * American Axle & Manufacturing Holdings, Inc. 4,306 103 * Cree, Inc. 6,305 103 Airgas, Inc. 6,124 103 Staten Island Bancorp, Inc. 5,244 102 Highwood Properties, Inc. REIT 4,580 102 HRPT Properties Trust REIT 11,099 102 * Hyperion Solutions Corp. 3,023 102 * Take-Two Interactive Software, Inc. 3,600 102 * INAMED Corp. 1,900 102 Ametek, Inc. 2,779 102 IDEX Corp. 2,810 102 * Gateway, Inc. 27,879 102 * Mirant Corp. 35,063 102 * Atmel Corp. 40,133 102 * Veridian Corp. 2,900 101 Energen Corp. 3,032 101 Shurgard Storage Centers, Inc. Class A REIT 3,052 101 * Varian, Inc. 2,911 101 * Pacific Sunwear of California, Inc. 4,181 101 * USG Corp. 5,299 101 Atmos Energy Corp. 4,054 101 * Crown Holdings, Inc. 14,072 100 * United Stationers, Inc. 2,777 100 Florida Rock Industries, Inc. 2,428 100 CMS Energy Corp. 12,366 100 * Panera Bread Co. 2,500 100 * Forest Oil Corp. 3,980 100 Citizens Banking Corp. 3,731 100 Westar Energy, Inc. 6,146 100 Diagnostic Products Corp. 2,420 99 * Service Corp. International 25,660 99 Albemarle Corp. 3,546 99 * Premcor, Inc. 4,600 99 Kennametal, Inc. 2,927 99 * Integrated Device Technology Inc. 8,960 99 Worthington Industries, Inc. 7,384 99 * Scholastic Corp. 3,318 99 * Affymetrix, Inc. 5,010 99 * Select Medical Corp. 3,974 99 Thor Industries, Inc. 2,412 98 Valhi, Inc. 10,226 98 W Holding Co., Inc. 5,802 98 * Martek Biosciences Corp. 2,284 98 * Meridian Gold Co. 8,532 98 Polo Ralph Lauren Corp. 3,798 98 Roper Industries Inc. 2,628 98 Dillard's Inc. 7,254 98 18 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Sonus Networks, Inc. 19,408 $ 98 * Novell, Inc. 31,680 98 Superior Industries International, Inc. 2,337 97 * IDEXX Laboratories Corp. 2,892 97 Prentiss Properties Trust REIT 3,247 97 * Louisiana-Pacific Corp. 8,954 97 * Overture Services, Inc. 5,347 97 DQE Inc. 6,386 96 * Southern Union Co. 5,671 96 * Hutchinson Technology, Inc. 2,916 96 * Vertex Pharmaceuticals, Inc. 6,567 96 * 7-Eleven, Inc. 9,085 96 * Boyd Gaming Corp. 5,550 96 * Conexant Systems, Inc. 22,854 96 Speedway Motorsports, Inc. 3,568 96 Hilb, Rogal and Hamilton Co. 2,808 96 Commerce Group, Inc. 2,639 96 * R.H. Donnelley Corp. 2,614 95 Downey Financial Corp. 2,301 95 Alpharma, Inc. Class A 4,399 95 Heritage Property Investment Trust REIT 3,500 95 * Electronics for Imaging, Inc. 4,670 95 * RF Micro Devices, Inc. 15,712 95 Regal Entertainment Group Class A 4,000 94 * Stone Energy Corp. 2,241 94 * Quest Software, Inc. 7,880 94 Skywest, Inc. 4,916 94 The South Financial Group, Inc. 4,016 94 Alexander & Baldwin, Inc. 3,524 93 AmerUs Group Co. 3,311 93 * Heartland Express, Inc. 4,181 93 * Siliconix, Inc. 2,576 93 * Hercules, Inc. 9,390 93 * Covance, Inc. 5,134 93 First BanCorp Puerto Rico 3,383 93 * Cymer, Inc. 2,894 93 * Flowserve Corp. 4,704 93 * Fossil, Inc. 3,924 92 Patina Oil & Gas Corp. 2,875 92 * RealNetworks, Inc. 13,616 92 Sensient Technologies Corp. 4,012 92 Westcorp, Inc. 3,294 92 * TIBCO Software Inc. 18,095 92 * GlobespanVirata, Inc. 11,163 92 Perrigo Co. 5,881 92 * Tom Brown, Inc. 3,309 92 SL Green Realty Corp. REIT 2,633 92 * Beazer Homes USA, Inc. 1,100 92 * Tuesday Morning Corp. 3,480 92 Briggs & Stratton Corp. 1,808 91 * Fidelity National Information Solutions, Inc. 3,500 91 Greater Bay Bancorp 4,441 91 Allegheny Energy, Inc. 10,787 91 * Southwest Bancorporation of Texas, Inc. 2,801 91 * FLIR Systems, Inc. 3,020 91 PNM Resources Inc. 3,399 91 * Kroll Inc. 3,360 91 * BJ's Wholesale Club, Inc. 6,035 91 Standard Pacific Corp. 2,738 91 Community First Bankshares, Inc. 3,321 91 * United Rentals, Inc. 6,508 90 Equity One, Inc. REIT 5,499 90 * Semtech Corp. 6,332 90 * Sycamore Networks, Inc. 23,528 90 * FTI Consulting, Inc. 3,600 90 * Arbitron Inc. 2,515 90 Cooper Cos., Inc. 2,582 90 * ATMI, Inc. 3,593 90 * Houston Exploration Co. 2,582 90 Corn Products International, Inc. 2,979 89 * United Online, Inc. 3,520 89 Washington REIT 3,270 89 Universal Corp. (VA) 2,101 89 First Citizens BancShares Class A 878 89 * Linens 'n Things, Inc. 3,744 88 Fremont General Corp. 6,449 88 * Genta Inc. 6,619 88 * Hollywood Entertainment Corp. 5,124 88 Overseas Shipholding Group Inc. 4,004 88 * Avid Technology, Inc. 2,509 88 Texas Regional Bancshares, Inc. 2,531 88 * Accredo Health, Inc. 4,021 88 * Evergreen Resources, Inc. 1,613 88 Reckson Associates Realty Corp. REIT 4,196 88 New Century Financial Corp. 2,000 87 * Commonwealth Telephone Enterprises, Inc. 1,984 87 The Toro Co. 2,194 87 * Continental Airlines, Inc. Class B 5,819 87 Great Lakes Chemical Corp. 4,264 87 * Legato Systems, Inc. 10,326 87 * CEC Entertainment Inc. 2,344 87 * Varian Semiconductor Equipment Associates, Inc. 2,904 86 Callaway Golf Co. 6,526 86 * Vitesse Semiconductor Corp. 17,490 86 Alfa Corp. 6,754 86 FIrst Niagara Financial Group, Inc. 6,149 86 Value Line, Inc. 1,747 86 19 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Kronos, Inc. 1,685 $ 86 * Ascential Software Corp. 5,194 85 Massey Energy Co. 6,491 85 Airborne, Inc. 4,078 85 * Christopher & Banks Corp. 2,300 85 * Mentor Graphics Corp. 5,875 85 * Sonic Corp. 3,337 85 * Waste Connections, Inc. 2,416 85 Olin Corp. 4,951 85 Clarcor Inc. 2,194 85 Post Properties, Inc. REIT 3,191 85 Minerals Technologies, Inc. 1,737 85 Delphi Financial Group, Inc. 1,804 84 * Intergraph Corp. 3,907 84 IDACORP, Inc. 3,200 84 * Genencor International Inc. 5,097 84 Hollinger International, Inc. 7,786 84 Chittenden Corp. 3,065 84 * Aeropostale, Inc. 3,900 84 * Entegris Inc. 6,213 84 * Trimeris, Inc. 1,826 83 Bob Evans Farms, Inc. 3,017 83 * Arch Capital Group Ltd. 2,400 83 * Plantronics, Inc. 3,840 83 * Choice Hotel International, Inc. 3,044 83 Oshkosh Truck Corp. 1,400 83 * Macrovision Corp. 4,164 83 * Anteon International Corp. 2,960 83 Arrow International, Inc. 1,871 83 MGE Energy, Inc. 2,621 83 New Jersey Resources Corp. 2,323 82 * Ultra Petroleum Corp. 6,378 82 * Corrections Corp. of America REIT 3,250 82 * CACI International, Inc. 2,400 82 Invacare Corp. 2,490 82 * Northwest Airlines Corp. Class A 7,276 82 * Documentum, Inc. 4,171 82 * Micrel, Inc. 7,892 82 * Landstar System, Inc. 1,302 82 Fred's, Inc. 2,200 82 * Gen-Probe Inc. 2,000 82 Taubman Co. REIT 4,266 82 Commercial Federal Corp. 3,851 82 * Ligand Pharmaceuticals Inc. Class B 6,000 82 * ExpressJet Holdings, Inc. 5,400 82 * Catalina Marketing Corp. 4,617 81 * Cumulus Media Inc. 4,299 81 * Allmerica Financial Corp. 4,507 81 Strayer Education, Inc. 1,015 81 * Cimarex Energy Co. 3,392 81 * American Financial Realty Trust REIT 5,400 81 * K-V Pharmaceutical Co. Class A 2,895 80 * Keane, Inc. 5,897 80 Home Properties of New York, Inc. REIT 2,280 80 * Cognex Corp. 3,594 80 * Skyworks Solutions, Inc. 11,858 80 * Cox Radio, Inc. 3,472 80 * Silicon Valley Bancshares 3,368 80 Black Hills Corp. 2,612 80 * MPS Group, Inc. 11,634 80 UniSource Energy Corp. 4,250 80 USEC Inc. 11,355 80 * CV Therapeutics, Inc. 2,683 80 * AirTran Holdings, Inc. 7,598 80 * Coherent, Inc. 3,357 79 * Terex Corp. 4,070 79 * Lattice Semiconductor Corp. 9,645 79 The Goodyear Tire & Rubber Co. 15,093 79 * Pacer International, Inc. 4,200 79 * MKS Instruments, Inc. 4,383 79 * Alliance Gaming Corp. 4,188 79 * Knight Transportation, Inc. 3,180 79 * UNOVA, Inc. 7,126 79 * Sybron Dental Specialties, Inc. 3,349 79 * Abgenix, Inc. 7,532 79 * Sylvan Learning Systems, Inc. 3,455 79 * VISX Inc. 4,545 79 The Pep Boys (Manny, Moe & Jack) 5,834 79 Pacific Northwest Bancorp 2,259 79 York International Corp. 3,355 79 * Exult Inc. 9,154 78 * United Auto Group, Inc. 3,600 78 Florida East Coast Industries, Inc. Class A 3,068 78 UMB Financial Corp. 1,845 78 * Dade Behring Holdings Inc. 3,400 78 * Tetra Tech, Inc. 4,550 78 * Alkermes, Inc. 7,250 78 CARBO Ceramics Inc. 2,090 78 * The Medicines Co. 3,953 78 * Andrew Corp. 8,426 78 Susquehanna Bancshares, Inc. 3,318 77 * Mueller Industries Inc. 2,852 77 * Investment Technology Group, Inc. 4,156 77 Grey Global Group Inc. 100 77 * Simpson Manufacturing Co. 2,100 77 Ferro Corp. 3,407 77 * Priceline.com, Inc. 3,423 77 Acuity Brands, Inc. 4,211 77 * Mediacom Communications Corp. 7,745 76 * Unit Corp. 3,652 76 Visteon Corp. 11,109 76 Cabot Oil & Gas Corp. 2,762 76 20 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * AmSurg Corp. 2,500 $ 76 Colonial Properties Trust REIT 2,163 76 * ADVO, Inc. 1,713 76 * Men's Wearhouse, Inc. 3,479 76 First Financial Bankshares, Inc. 2,270 76 Glatfelter 5,139 76 * Quiksilver, Inc. 4,590 76 Flowers Foods, Inc. 3,827 76 National Health Investors REIT 4,090 75 * Forward Air Corp. 2,964 75 Mentor Corp. 3,880 75 * The Titan Corp. 7,303 75 * OfficeMax, Inc. 11,463 75 * Cerner Corp. 3,270 75 Chateau Communities, Inc. REIT 2,536 75 Regal-Beloit Corp. 3,927 75 Cathay Bancorp, Inc. 1,682 75 EastGroup Properties, Inc. REIT 2,775 75 Horace Mann Educators Corp. 4,645 75 * RSA Security Inc. 6,950 75 * Cobalt Corp. 3,635 75 * Anixter International Inc. 3,186 75 * Eclipsys Corp. 7,131 74 * Copart, Inc. 7,878 74 MAF Bancorp, Inc. 2,008 74 * Dionex Corp. 1,872 74 Avista Corp. 5,245 74 * Pediatrix Medical Group, Inc. 2,080 74 * MGI Pharma, Inc. 2,890 74 * WCI Communities, Inc. 3,850 74 * NPS Pharmaceuticals Inc. 3,041 74 Albany International Corp. 2,700 74 * NetIQ Corp. 4,779 74 * Sunrise Senior Living, Inc. 3,300 74 * KEMET Corp. 7,310 74 * Verint Systems Inc. 2,900 74 Modine Manufacturing Co. 3,804 74 The Brink's Co. 5,051 74 Granite Construction Co. 3,833 73 State Auto Financial Corp. 3,271 73 * Payless ShoeSource, Inc. 5,868 73 Nationwide Health Properties, Inc. REIT 4,602 73 * Thoratec Corp. 4,917 73 * Philadelphia Consolidated Holding Corp. 1,813 73 Brandywine Realty Trust REIT 2,974 73 * Tractor Supply Co. 1,532 73 The Phoenix Cos., Inc. 8,100 73 * Rayovac Corp. 5,638 73 * Palm Harbor Homes, Inc. 3,845 73 * United Therapeutics Corp. 3,342 73 * Spinnaker Exploration Co. 2,776 73 Trinity Industries, Inc. 3,927 73 Wausau-Mosinee Paper Corp. 6,486 73 * Dycom Industries, Inc. 4,456 73 CVB Financial Corp. 3,718 73 * FEI Co. 3,865 73 PS Business Parks, Inc. REIT 2,049 72 CNA Surety Corp. 7,342 72 * SERENA Software, Inc. 3,463 72 * ILEX Oncology, Inc. 3,724 72 East West Bancorp, Inc. 2,000 72 MacDermid, Inc. 2,744 72 Cleco Corp. 4,164 72 * Adaptec, Inc. 9,264 72 * BlackRock, Inc. 1,600 72 LandAmerica Financial Group, Inc. 1,516 72 Alexandria Real Estate Equities, Inc. REIT 1,600 72 * National Western Life Insurance Co. Class A 651 72 Lincoln Electric Holdings, Inc. 3,522 72 * Triad Guaranty, Inc. 1,894 72 * Quantum Corp. 17,735 72 * MAXIMUS, Inc. 2,598 72 * Thomas & Betts Corp. 4,957 72 Tupperware Corp. 4,986 72 * Quanta Services, Inc. 10,079 72 * Entravision Communications Corp. 6,283 71 Federal Signal Corp. 4,058 71 * National Processing, Inc. 4,430 71 TrustCo Bank NY 6,422 71 * Hot Topic, Inc. 2,644 71 Rollins, Inc. 3,768 71 * FMC Corp. 3,135 71 * Viasys Healthcare Inc. 3,425 71 Gables Residential Trust REIT 2,341 71 * LifePoint Hospitals, Inc. 3,379 71 Delta & Pine Land Co. 3,213 71 Brookline Bancorp, Inc. 5,044 71 Hughes Supply, Inc. 2,035 71 * MSC Industrial Direct Co., Inc. Class A 3,943 71 John H. Harland Co. 2,696 71 Weis Markets, Inc. 2,272 70 City Holding Co. 2,406 70 Kelly Services, Inc. Class A 3,003 70 Santander BanCorp 4,304 70 * Sonic Automotive, Inc. 3,213 70 A.O. Smith Corp. 2,500 70 Commercial Net Lease Realty REIT 4,079 70 * Esperion Therapeutics, Inc. 3,583 70 * MedQuist, Inc. 3,464 70 21 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * CTI Molecular Imaging, Inc. 3,700 $ 70 * Penn National Gaming, Inc. 3,400 70 * Renaissance Learning, Inc. 3,186 70 * Manhattan Associates, Inc. 2,684 70 * ChipPAC, Inc. 9,068 70 * Enterasys Networks, Inc. 22,952 70 Banta Corp. 2,148 70 N L Industries, Inc. 4,088 69 * Joy Global Inc. 4,700 69 Ruddick Corp. 4,415 69 Republic Bancorp, Inc. 5,170 69 * Exar Corp. 4,377 69 * Parametric Technology Corp. 22,716 69 * Encore Acquisition Co. 3,615 69 Walter Industries, Inc. 5,891 69 * Ohio Casualty Corp. 5,244 69 * IDX Systems Corp. 4,443 69 * Playboy Enterprises, Inc. Class B 5,063 69 * Ariba, Inc. 23,121 69 * Hanover Compressor Co. 6,075 69 * Maverick Tube Corp. 3,582 69 * Borland Software Corp. 7,021 69 Crompton Corp. 9,725 69 * Magnum Hunter Resources Inc. 8,580 69 St. Mary Land & Exploration Co. 2,510 69 * Jack in the Box Inc. 3,070 68 Owens & Minor, Inc. Holding Co. 3,061 68 Mid Atlantic Realty Trust REIT 3,266 68 * Power-One, Inc. 9,565 68 * Ocular Sciences, Inc. 3,443 68 Amcore Financial, Inc. 2,934 68 GATX Corp. 4,177 68 Senior Housing Properties Trust REIT 5,034 68 * Advanced Digital Information Corp. 6,831 68 Glimcher Realty Trust REIT 3,038 68 Liberty Corp. 1,601 68 The Trust Co. of New Jersey 2,245 68 LNR Property Corp. 1,818 68 * Cal Dive International, Inc. 3,118 68 Potlatch Corp. 2,637 68 * PRIMEDIA Inc. 22,261 68 Nordson Corp. 2,845 68 ABM Industries Inc. 4,406 68 Wolverine World Wide, Inc. 3,519 68 CH Energy Group, Inc. 1,506 68 * Priority Healthcare Corp. Class B 3,653 68 * Oakley, Inc. 5,757 68 * THQ Inc. 3,764 68 * Benchmark Electronics, Inc. 2,200 68 * CSG Systems International, Inc. 4,789 68 IHOP Corp. 2,141 68 First Commonwealth Financial Corp. 5,215 68 Brady Corp. Class A 2,020 67 Burlington Coat Factory Warehouse Corp. 3,763 67 Northwest Bancorp, Inc. 4,208 67 Interpool, Inc. 4,096 67 R.L.I. Corp. 2,044 67 Sun Communities, Inc. REIT 1,706 67 * Journal Register Co. 3,704 67 * Akamai Technologies, Inc. 13,782 67 * Group 1 Automotive, Inc. 2,062 67 * WilTel Communications, Inc. 4,522 67 * Iomega Corp. 6,288 67 Chemical Financial Corp. 2,236 67 IMC Global Inc. 9,930 67 S & T Bancorp, Inc. 2,428 67 * Tekelec 5,880 66 Matthews International Corp. 2,682 66 * Wireless Facilities, Inc. 5,579 66 Kilroy Realty Corp. REIT 2,414 66 Manufactured Home Communities, Inc. REIT 1,887 66 * UICI 4,389 66 * Rare Hospitality International Inc. 2,020 66 First Essex Bancorp, Inc. 1,400 66 Sauer-Danfoss, Inc. 6,138 66 Bandag, Inc. 1,769 66 Spartech Corp. 3,108 66 Net.Bank, Inc. 4,980 66 Hancock Holding Co. 1,392 66 ElkCorp 2,910 65 Corus Bankshares Inc. 1,349 65 * Barra, Inc. 1,829 65 * Applera Corp.- Celera Genomics Group 6,323 65 * Comstock Resources, Inc. 4,765 65 USF Corp. 2,416 65 Tredegar Corp. 4,344 65 * TiVo Inc. 5,343 65 First Financial Bancorp 4,067 65 * Kansas City Southern 5,407 65 Irwin Financial Corp. 2,511 65 United Community Banks, Inc. 2,600 65 * Agere Systems Inc. Class A 27,859 65 Dimon Inc. 9,058 65 * United Defense Industries Inc. 2,500 65 Summit Properties, Inc. REIT 3,136 65 Vector Group Ltd. 3,688 65 * Newport Corp. 4,356 64 * PSS World Medical, Inc. 11,207 64 Winnebago Industries, Inc. 1,700 64 McGrath Rent Corp. 2,408 64 Dime Community Bancshares 2,530 64 22 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Regeneron Pharmaceuticals, Inc. 4,081 $ 64 * Southwestern Energy Co. 4,272 64 * Ralcorp Holdings, Inc. 2,562 64 * Aksys, Ltd. 4,937 64 GenCorp, Inc. 7,189 64 Southwest Gas Corp. 3,016 64 * American Management Systems, Inc. 4,473 64 * Universal Compression Holdings, Inc. 3,062 64 * Knight Trading Group, Inc. 10,267 64 * Oceaneering International, Inc. 2,499 64 * Nautica Enterprises, Inc. 4,951 64 Vintage Petroleum, Inc. 5,631 64 * Price Communications Corp. 4,917 63 Black Box Corp. 1,753 63 Centex Construction Products, Inc. 1,582 63 Casey's General Stores, Inc. 4,478 63 * Ask Jeeves, Inc. 4,605 63 * Integra LifeSciences Holdings 2,400 63 * IGEN International, Inc. 2,014 63 * ProQuest Co. 2,451 63 Empire District Electric Co. 2,904 63 * Imagistics International Inc. 2,447 63 Parkway Properties Inc. REIT 1,500 63 * CorVel Corp. 1,752 63 Baldor Electric Co. 3,061 63 Central Pacific Financial Co. 2,276 63 Lennox International Inc. 4,884 63 * Hain Celestial Group, Inc. 3,924 63 * Grey Wolf, Inc. 15,529 63 * Echelon Corp. 4,549 63 * S&K Famous Brands Inc. 4,167 63 * Western Wireless Corp. Class A 5,415 62 * Vignette Corp. 29,966 62 * EGL, Inc. 4,090 62 Harleysville Group, Inc. 2,700 62 * Silgan Holdings, Inc. 1,986 62 * Photronics Inc. 3,560 62 * Genesis Health Ventures, Inc. 3,519 62 Reliance Steel & Aluminum Co. 3,000 62 * Progress Software Corp. 2,991 62 Wabtec Corp. 4,454 62 * FormFactor Inc. 3,500 62 Riviana Foods, Inc. 2,297 62 * Rogers Corp. 1,855 62 * Atlantic Coast Airlines Holdings Inc. 4,572 62 * OSI Pharmaceuticals, Inc. 1,914 62 The Laclede Group, Inc. 2,300 62 * United Surgical Partners International, Inc. 2,725 62 * Inveresk Research Group Inc. 3,400 62 * Insight Communications Co., Inc. 4,648 61 * Ryan's Family Steak Houses, Inc. 4,362 61 * US Oncology, Inc. 8,255 61 FBL Financial Group, Inc. Class A 3,027 61 * William Lyon Homes, Inc. 1,914 61 Allegheny Technologies Inc. 9,236 61 Otter Tail Corp. 2,258 61 * Tanox, Inc. 3,794 61 * Too Inc. 3,006 61 * Enzo Biochem, Inc. 2,828 61 Northwest Natural Gas Co. 2,233 61 Sovran Self Storage, Inc. REIT 1,930 61 * Remec, Inc. 8,730 61 BankAtlantic Bancorp, Inc. Class A 5,101 61 Kramont Realty Trust REIT 3,672 61 * SEACOR SMIT Inc. 1,659 61 Cubic Corp. 2,724 61 Landry's Restaurants, Inc. 2,563 60 * Internet Security Systems, Inc. 4,172 60 * American Italian Pasta Co. 1,451 60 * The Children's Place Retail Stores, Inc. 3,043 60 * Credence Systems Corp. 7,127 60 * Haemonetics Corp. 3,228 60 * Navigators Group, Inc. 2,024 60 * Trimble Navigation Ltd. 2,631 60 * Synalloy Corp. 11,095 60 First Financial Corp. (IN) 1,138 60 Provident Bankshares Corp. 2,364 60 * CUNO Inc. 1,660 60 * DutchFork Bancshares, Inc. 1,859 60 Zenith National Insurance Corp. 2,101 60 * Triarc Cos., Inc. Class A 1,994 60 * Aztar Corp. 3,711 60 * Offshore Logistics, Inc. 2,748 60 * Quicksilver Resources, Inc. 2,494 60 * Maxygen Inc. 5,441 60 * Maguire Properties, Inc. REIT 3,100 60 * Symyx Technologies, Inc. 3,656 60 * Steel Dynamics, Inc. 4,355 60 * Artisan Components, Inc. 2,636 60 United Fire & Casualty Co. 1,830 59 * Gaylord Entertainment Co. Class A 3,031 59 * Nektar Therapeutics 6,424 59 * EMCOR Group, Inc. 1,200 59 First Sentinel Bancorp Inc. 3,704 59 * Digital Insight Corp. 3,101 59 * Pinnacle Systems, Inc. 5,519 59 * La Quinta Corp. REIT 13,701 59 * CommScope, Inc. 6,212 59 * Alaska Air Group, Inc. 2,745 59 * Adolor Corp. 4,784 59 23 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Engineered Support Systems, Inc. 1,400 $ 59 * International Multifoods Corp. 2,555 59 * Plexus Corp. 5,074 59 Holly Corp. 2,118 58 * A.C. Moore Arts & Crafts, Inc. 2,914 58 Massbank Corp. 1,613 58 Penn Virginia Corp. 1,356 58 Hooper Holmes, Inc. 9,039 58 NDCHealth Corp. 3,170 58 * Sola International Inc. 3,342 58 Anchor Bancorp Wisconsin Inc. 2,434 58 * TransMontaigne Inc. 8,959 58 * Stage Stores, Inc. 2,465 58 Tecumseh Products Co. Class A 1,512 58 * Kenneth Cole Productions, Inc. 2,972 58 * Electronics Boutique Holdings Corp. 2,500 58 RFS Hotel Investors, Inc. REIT 4,687 58 Kimball International, Inc. Class B 3,691 58 Waypoint Financial Corp. 3,189 58 * Kyphon Inc. 3,800 57 * Teledyne Technologies, Inc. 4,382 57 Kaydon Corp. 2,757 57 * Biosite Inc. 1,191 57 Georgia Gulf Corp. 2,891 57 Koger Equity, Inc. REIT 3,321 57 * Credit Acceptance Corp. 5,666 57 * Radio One, Inc. 3,200 57 Redwood Trust, Inc. REIT 1,431 57 Arkansas Best Corp. 2,400 57 * Yellow Corp. 2,466 57 * Digene Corp. 2,094 57 * Thomas Nelson, Inc. 4,561 57 * Wright Medical Group, Inc. 3,000 57 * First Federal Financial Corp. 1,615 57 The Manitowoc Co., Inc. 2,555 57 * Newpark Resources, Inc. 10,383 57 Oxford Industries, Inc. 1,370 57 * The Advisory Board Co. 1,400 57 * General Maritime Corp. 5,580 57 * Wynn Resorts Ltd. 3,200 57 * Magma Design Automation, Inc. 3,300 57 * Tejon Ranch Co. 1,877 56 * J. Jill Group, Inc. 3,348 56 * Ultratech, Inc. 3,048 56 Cato Corp. Class A 2,672 56 * Global Industries Ltd. 11,658 56 Longs Drug Stores, Inc. 3,382 56 * Gartner, Inc. Class B 7,479 56 H.B. Fuller Co. 2,546 56 National Presto Industries, Inc. 1,774 56 * Microsemi Corp. 3,500 56 * The Wet Seal, Inc. Class A 5,243 56 * Zoll Medical Corp. 1,668 56 Tanger Factory Outlet Centers, Inc. REIT 1,692 56 * Closure Medical Corp. 2,964 56 Harbor Florida Bancshares, Inc. 2,335 56 UIL Holdings Corp. 1,379 56 * Alexander's, Inc. REIT 669 56 * Allen Telecom Inc. 3,378 56 Texas Industries, Inc. 2,341 56 * Insituform Technologies Inc. Class A 3,150 56 * Helen of Troy Ltd. 3,672 56 * Helen of Troy Ltd. 3,672 56 * Actuant Corp. 1,176 56 * Axcelis Technologies, Inc. 9,074 56 Mine Safety Appliances Co. 1,272 55 * Lone Star Technologies, Inc. 2,616 55 Stewart & Stevenson Services, Inc. 3,513 55 Action Performance Cos., Inc. 2,909 55 * TriPath Imaging, Inc. 8,089 55 NBT Bancorp, Inc. 2,847 55 * CompuCredit Corp. 4,532 55 * Wabash National Corp. 3,919 55 Blockbuster Inc. Class A 3,257 55 Getty Realty Holding Corp. REIT 2,451 55 * Charming Shoppes, Inc. 11,006 55 F & M Bancorp 1,109 55 * URS Corp. 2,809 55 * Guess ?, Inc. 9,099 55 * Cyberonics, Inc. 2,538 55 * Sotheby's Holdings Class A 7,337 55 Libbey, Inc. 2,404 55 * Advanced Medical Optics, Inc. 3,198 55 Sterling Bancshares, Inc. 4,166 54 * Syntel, Inc. 3,463 54 NACCO Industries, Inc. Class A 924 54 Franklin Electric, Inc. 978 54 * Sierra Pacific Resources 9,150 54 * InVision Technologies, Inc. 2,164 54 * Handleman Co. 3,392 54 G & K Services, Inc. Class A 1,833 54 First Federal Capital Corp. 2,727 54 * LendingTree, Inc. 2,203 54 * Applica Inc. 6,344 54 * Micromuse Inc. 6,747 54 Watsco, Inc. 3,253 54 Universal Health Realty Income REIT 1,994 54 * The Warnaco Group, Inc. 4,000 54 * SPS Technologies, Inc. 1,989 54 * Six Flags, Inc. 7,923 54 * Aeroflex, Inc. 6,936 54 * Extreme Networks, Inc. 10,124 54 * aQuantive, Inc. 5,110 54 * The Gymboree Corp. 3,192 54 24 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * CSK Auto Corp. 3,706 $ 54 * TBC Corp. 2,811 54 * WebEx Communications, Inc. 3,829 53 Vital Signs, Inc. 2,057 53 Standard Commercial Tobacco Co. 3,140 53 * ValueClick, Inc. 8,837 53 * Energy Partners, Ltd. 4,608 53 Harleysville National Corp. 1,966 53 Anthracite Capital Inc. REIT 4,411 53 Gorman-Rupp Co. 2,212 53 * Kensey Nash Corp. 2,028 53 Atlantic Tele-Network, Inc. 2,380 53 * Corvis Corp. 35,365 53 * BioMarin Pharmaceutical Inc. 5,435 53 Equity Inns, Inc. REIT 7,682 53 * Palm, Inc. 3,252 53 Frontier Oil Corp. 3,476 53 * DSP Group Inc. 2,453 53 * j2 Global Communications, Inc. 1,148 53 Kansas City Life Insurance Co. 1,231 53 * eSPEED, Inc. Class A 2,667 53 Cambrex Corp. 2,289 53 * The Sports Authority, Inc. 4,924 53 Millennium Chemicals, Inc. 5,540 53 The Marcus Corp. 3,516 53 * Advanced Energy Industries, Inc. 3,687 53 * Meritage Corp. 1,066 53 Longview Fibre Co. 6,400 52 * Molecular Devices Corp. 3,294 52 Presidential Life Corp. 3,711 52 First Charter Corp. 3,003 52 * SurModics, Inc. 1,711 52 * Unifi, Inc. 8,414 52 * PAREXEL International Corp. 3,738 52 Crown American Realty Trust REIT 4,835 52 * BankUnited Financial Corp. 2,577 52 * Argosy Gaming Co. 2,479 52 * Technitrol, Inc. 3,443 52 * Lin TV Corp. 2,200 52 * Advent Software, Inc. 3,040 51 Southern Peru Copper Corp. 3,353 51 * RailAmerica, Inc. 6,070 51 Glenborough Realty Trust, Inc. REIT 2,672 51 Correctional Properties Trust REIT 1,826 51 * Medarex, Inc. 7,745 51 A. Schulman Inc. 3,174 51 * eResearch Technology, Inc. 2,300 51 * TriQuint Semiconductor, Inc. 12,226 51 * Fleetwood Enterprises, Inc. 6,842 51 * Informatica Corp. 7,308 50 * Boca Resorts, Inc. Class A 3,883 50 Interstate Bakeries Corp. 3,974 50 * ESS Technology, Inc. 5,175 50 Westbanco Inc. 2,076 50 Russell Corp. 2,654 50 * Rainbow Technologies, Inc. 5,989 50 * Atwood Oceanics, Inc. 1,854 50 Schweitzer-Mauduit International, Inc. 2,085 50 Community Bank System, Inc. 1,324 50 * Insight Enterprises, Inc. 4,991 50 * Cross Country Healthcare, Inc. 3,800 50 * Ciber, Inc. 7,113 50 * Champion Enterprises, Inc. 9,638 50 K-Swiss, Inc. 1,444 50 * Movie Gallery, Inc. 2,700 50 * Agile Software Corp. 5,155 50 * Buckeye Technology, Inc. 7,299 50 Bassett Furniture Industries, Inc. 3,735 50 * Keynote Systems Inc. 4,729 50 * LTX Corp. 5,744 50 * Midas Inc. 4,085 50 * UnitedGlobalCom Inc. Class A 9,565 49 * Electro Scientific Industries, Inc. 3,259 49 Community Trust Bancorp Inc. 1,888 49 * Nuevo Energy Co. 2,826 49 * Tradestation Group Inc. 4,806 49 Blair Corp. 2,219 49 * KCS Energy, Inc. 9,133 49 * Spanish Broadcasting System, Inc. 6,039 49 * Intuitive Surgical, Inc. 6,488 49 * NetRatings, Inc. 5,380 49 * CDI Corp. 1,894 49 * Wesco International, Inc. 8,191 49 Innkeepers USA Trust REIT 7,221 49 * Pozen Inc. 4,465 49 * Province Healthcare Co. 4,425 49 * eFunds Corp. 4,242 49 * Remington Oil & Gas Corp. 2,658 49 * The Dress Barn, Inc. 3,854 49 * Navigant Consulting, Inc. 4,120 49 Hancock Fabrics, Inc. 3,023 49 * FuelCell Energy, Inc. 5,960 49 * Intermagnetics General Corp. 2,460 49 * CIMA Labs Inc. 1,808 49 * Aviall Inc. 4,273 49 * Itron, Inc. 2,253 49 United National Bancorp 1,758 49 CPI Corp. 2,745 48 * W-H Energy Services, Inc. 2,487 48 * Albany Molecular Research, Inc. 3,206 48 Surewest Communications 1,600 48 * Esterline Technologies Corp. 2,774 48 * AMN Healthcare Services, Inc. 3,800 48 25 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Charter Financial Corp. 1,700 $ 48 * CMGI Inc. 28,755 48 * Zymogenetics, Inc. 4,125 48 * Impax Laboratories, Inc. 4,000 48 * Ditech Communications Corp. 9,629 48 Great American Financial Resources, Inc. 3,654 48 * Indevus Pharmaceuticals, Inc. 7,669 48 SJW Corp. 561 48 Chesapeake Corp. of Virginia 2,187 48 * The Boyds Collection, Ltd. 10,116 48 * Enzon Pharmaceuticals, Inc. 3,804 48 * Papa John's International, Inc. 1,697 48 * Beverly Enterprises, Inc. 13,547 47 * Dendrite International, Inc. 3,681 47 * ValueVision Media, Inc. 3,477 47 Bryn Mawr Bank Corp. 1,278 47 * Photon Dynamics, Inc. 1,713 47 AAR Corp. 6,694 47 * Orthodontic Centers of America, Inc. 5,896 47 * Bruker Daltonics, Inc. 8,844 47 * USI Holdings Corp. 4,000 47 Boston Private Financial Holdings, Inc. 2,231 47 * Ameristar Casinos, Inc. 2,200 47 * Lydall, Inc. 4,377 47 * Florida Banks, Inc. 4,019 47 Impac Mortgage Holdings, Inc. REIT 2,800 47 EDO Corp. 2,640 47 * Silicon Storage Technology, Inc. 11,150 47 * Alaris Medical, Inc. 3,600 47 Comm Bancorp, Inc. 1,339 47 * Shaw Group, Inc. 3,862 47 * Ulticom, Inc. 4,897 47 * Therasense, Inc. 4,650 47 Greif Inc. Class A 2,019 46 * Noven Pharmaceuticals, Inc. 4,523 46 CTS Corp. 4,421 46 * TETRA Technologies, Inc. 1,557 46 * Exelixis, Inc. 6,633 46 * NetFlix.com, Inc. 1,800 46 * Jones Lang Lasalle Inc. 2,908 46 * Centennial Communications Corp. Class A 11,480 46 * Startek, Inc. 1,746 46 * Charles River Associates Inc. 1,624 46 Wintrust Financial Corp. 1,550 46 * Select Comfort Corp. 2,800 46 * Ionics, Inc. 2,050 46 * Bone Care International, Inc. 3,293 46 * ShopKo Stores, Inc. 3,520 46 * Tularik, Inc. 4,603 46 MTS Systems Corp. 3,100 46 * Denbury Resources, Inc. 3,400 46 Arch Chemicals, Inc. 2,388 46 * Coldwater Creek Inc. 3,690 45 * ArthroCare Corp. 2,713 45 * Jos. A. Bank Clothiers, Inc. 1,360 45 * Quaker City Bancorp, Inc. 1,107 45 FNB Financial Services Corp. 2,278 45 C & D Technologies, Inc. 3,149 45 * Mesa Air Group Inc. 5,647 45 * Anaren, Inc. 4,821 45 * The Great Atlantic & Pacific Tea Co., Inc. 5,133 45 Mid-State Bancshares 2,287 45 Alamo Group, Inc. 3,694 45 * Scientific Games Corp. 4,796 45 Roadway Corp. 1,578 45 * Stifel Financial Corp. 3,732 45 RPC Inc. 4,091 45 First Source Corp. 2,422 45 Pennsylvania REIT 1,500 45 * Pegasus Solutions Inc. 2,764 45 * Pixelworks, Inc. 7,556 45 HMN Financial, Inc. 2,313 45 * Drugstore.com, Inc. 7,678 45 PFF Bancorp, Inc. 1,160 45 * Powerwave Technologies, Inc. 7,139 45 * webMethods, Inc. 5,497 45 Superior Uniform Group, Inc. 3,993 45 Great Southern Bancorp, Inc. 1,156 45 American Land Lease, Inc. REIT 2,651 45 The Standard Register Co. 2,700 44 * Packeteer, Inc. 2,854 44 * Ixia 6,893 44 Capital Bank Corp. 2,969 44 * NCO Group, Inc. 2,470 44 * Steak n Shake Co. 2,900 44 * Ocwen Financial Corp. 9,737 44 * Korn/Ferry International 5,453 44 * Lexar Media, Inc. 4,623 44 Churchill Downs, Inc. 1,151 44 * AFC Enterprises, Inc. 2,711 44 * Checkpoint Systems, Inc. 3,110 44 * Consolidated Graphics, Inc. 1,921 44 * Lifeway Foods, Inc. 5,527 44 * Playtex Products, Inc. 6,835 44 * Infonet Services Corp. 27,586 44 Riggs National Corp. 2,878 44 Town & Country Trust REIT 1,884 44 * Sinclair Broadcast Group, Inc. 3,767 44 * Clayton Williams Energy, Inc. 2,369 44 Oriental Financial Group Inc. 1,702 44 26 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Regeneration Technologies, Inc. 3,290 $ 44 * First Republic Bank 1,641 44 * American Physicians Capital, Inc. 1,800 44 * Petrocorp, Inc. 3,914 44 * Shuffle Master, Inc. 1,484 44 * Audiovox Corp. 3,890 44 * Brooks Automation, Inc. 3,832 43 Suffolk Bancorp 1,348 43 Gray Television, Inc. 3,500 43 * Footstar Inc. 3,337 43 * Wilson Greatbatch Technologies, Inc. 1,200 43 * InfoSpace, Inc. 3,189 43 Ampco-Pittsburgh Corp. 3,229 43 * Integrated Silicon Solution, Inc. 6,233 43 * Silicon Image, Inc. 7,742 43 Advanced Marketing Services 3,322 43 California Independent Bancorp 1,489 43 * Stewart Enterprises, Inc. Class A 10,041 43 Independent Bank Corp. (MA) 1,909 43 * Ventiv Health, Inc. 10,512 43 First Place Financial Corp. 2,489 43 * infoUSA Inc. 5,316 43 Schnitzer Steel Industries, Inc. Class A 975 43 Woodward Governor Co. 1,000 43 * Per-Se Technologies, Inc. 3,825 43 * i2 Technologies, Inc. 42,922 43 Berry Petroleum Class A 2,385 43 Aquila, Inc. 16,582 43 Movado Group, Inc. 1,962 43 * McDermott International, Inc. 6,735 43 * bebe stores, inc 2,228 43 * Kadant Inc. 2,272 43 BNP Residential Properties, Inc. REIT 3,944 43 Umpqua Holdings Corp. 2,240 43 * Financial Federal Corp. 1,743 43 * Dril-Quip, Inc. 2,328 42 * Benihana Inc. Class A 3,209 42 Connecticut Water Services, Inc. 1,656 42 * InterMune Inc. 2,625 42 First Financial Holdings, Inc. 1,562 42 * Dollar Thrifty Automotive Group, Inc. 2,267 42 * OraSure Technologies, Inc. 5,632 42 * Inet Technologies, Inc. 4,212 42 * Artesyn Technologies, Inc. 7,485 42 Commercial Metals Co. 2,354 42 Belden, Inc. 2,633 42 * IXYS Corp. 5,247 42 * CoStar Group, Inc. 1,400 42 * Mesaba Holdings, Inc. 6,775 42 * Stratex Networks, Inc. 13,062 42 * ANSYS, Inc. 1,344 42 First Midwest Financial, Inc. 2,249 42 * Plug Power, Inc. 8,936 42 * Lifeline Systems, Inc. 1,467 42 Todd Shipyards Corp. 2,530 41 * Arris Group Inc. 8,355 41 * Leapfrog Enterprises, Inc. 1,300 41 Hudson River Bancorp. Inc. 1,480 41 Corporate Office Properties Trust, Inc. REIT 2,440 41 * Duane Reade Inc. 2,800 41 Steelcase Inc. 3,510 41 Pilgrim's Pride Corp. 4,258 41 * American Medical Security Group, Inc. 2,153 41 * Input/Output, Inc. 7,642 41 * Centillium Communications, Inc. 4,148 41 * NCI Building Systems, Inc. 2,460 41 * Trammell Crow Co. 3,872 41 Advanta Corp. Class A 4,170 41 First Indiana Corp. 2,391 41 Gold Banc Corp., Inc. 3,888 41 * Aether Systems, Inc. 8,337 41 Alico, Inc. 1,654 41 * Axsys Technologies, Inc. 4,236 41 * Harmonic, Inc. 10,033 41 * Chiquita Brands International, Inc. 2,816 41 Coachmen Industries, Inc. 3,415 41 First Community Bancorp 1,300 41 Capital City Bank Group, Inc. 1,125 41 Central Vermont Public Service Corp. 2,082 41 * American Pharmaceuticals Partners, Inc. 1,200 41 Glacier Bancorp, Inc. 1,650 41 Central Parking Corp. 3,284 41 CB Bancshares Inc. (HI) 653 41 * Bel Fuse, Inc. Class A 1,977 41 * DuPont Photomasks, Inc. 2,152 41 * Pre-Paid Legal Services, Inc. 1,650 40 Angelica Corp. 2,387 40 Wayne Savings Bancshares, Inc. 2,973 40 * Openwave Systems Inc. 20,683 40 Pulitzer, Inc. 816 40 * K2 Inc. 3,291 40 * Spherix Inc. 5,719 40 * PEC Solutions, Inc. 2,500 40 * FileNET Corp. 2,230 40 United Mobile Homes, Inc. REIT 2,648 40 St. Francis Capital Corp. 1,380 40 Brookfield Homes Corp. 2,600 40 * F5 Networks, Inc. 2,378 40 OM Group, Inc. 2,720 40 27 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Vail Resorts Inc. 2,972 $ 40 Lone Star Steakhouse & Saloon, Inc. 1,837 40 Watts Industries Class A 2,238 40 * Kos Pharmaceuticals, Inc. 1,700 40 Bowne & Co., Inc. 3,062 40 * Sapient Corp. 14,387 40 * Littelfuse, Inc. 1,782 40 Maine Public Service Co. 1,224 40 * Oak Technology, Inc. 6,393 40 * Cirrus Logic 9,805 39 * Lakes Entertainment, Inc. 4,931 39 * Mykrolis Corp. 3,881 39 Barnes Group, Inc. 1,809 39 Winston Hotels, Inc. REIT 4,818 39 * Spherion Corp. 5,660 39 * Vicuron Pharmaceuticals Inc. 2,766 39 MFA Mortgage Investments, Inc. REIT 3,900 39 * Forrester Research, Inc. 2,390 39 * Local Financial Corp. 2,702 39 * SOURCECORP, Inc. 1,805 39 * Wellsford Real Properties Inc. 2,526 39 * Chalone Wine Group Ltd. 5,001 39 Wellman, Inc. 3,463 39 * GameStop Corp. 3,000 39 * Transaction Systems Architects, Inc. 4,310 39 Seacoast Financial Services Corp. 1,949 39 * Plains Resources Inc. 2,727 39 Independent Bank Corp. (MI) 1,500 39 * Kopin Corp. 6,294 39 Patriot Bank Corp. 2,137 38 Talx Corp. 1,700 38 * Swift Energy Co. 3,491 38 * National Dentex Corp. 1,877 38 * America West Holdings Corp. Class B 5,645 38 * Stratus Properties Inc. 4,099 38 * Power Integrations, Inc. 1,575 38 First Merchants Corp. 1,575 38 * The Topps Co., Inc. 4,456 38 * WMS Industries, Inc. 2,455 38 * California Pizza Kitchen, Inc. 1,779 38 * Transkaryotic Therapies, Inc. 3,314 38 * Cell Therapeutics, Inc. 3,930 38 Associated Estates Realty Corp. REIT 5,813 38 * Cole National Corp. Class A 3,050 38 Cash America International Inc. 2,888 38 * 1-800-FLOWERS.COM, Inc. 4,632 38 Interchange Financial Services Corp. 1,925 38 PolyOne Corp. 8,571 38 Lindsay Manufacturing Co. 1,642 38 * Penwest Pharmaceuticals Co. 1,563 38 * RehabCare Group, Inc. 2,600 38 * Kindred Healthcare, Inc. 2,132 38 * Bright Horizons Family Solutions, Inc. 1,133 38 * Isle of Capri Casinos, Inc. 2,300 38 * Coinstar, Inc. 2,013 38 LTC Properties, Inc. REIT 3,970 38 * World Acceptance Corp. 2,327 38 * SonicWALL, Inc. 7,891 38 * Cable Design Technologies Corp. 5,292 38 * OPNET Technologies, Inc. 3,104 38 UniFirst Corp. 1,726 38 * Radiant Systems, Inc. 5,607 38 * Gardner Denver Inc. 1,847 38 * Clark, Inc. 3,160 38 * PC Connection, Inc. 5,548 38 Middlesex Water Co. 1,530 38 * Safeguard Scientifics, Inc. 13,946 38 Dover Downs Gaming & Entertainment, Inc. 4,067 38 Crawford & Co. Class B 7,625 37 * Young Broadcasting Inc. 1,770 37 * The TriZetto Group, Inc. 6,192 37 TF Financial Corp. 1,216 37 * SciClone Pharmaceuticals, Inc. 4,366 37 * Omnova Solutions Inc. 9,233 37 * Titanium Metals Corp. 1,161 37 * Avatar Holding, Inc. 1,234 37 * Aspect Medical Systems, Inc. 5,048 37 * Boston Beer Co., Inc. Class A 2,586 37 The Nautilus Group, Inc. 3,000 37 World Fuel Services Corp. 1,511 37 * Atrix Laboratories, Inc. 1,686 37 * A.M. Castle & Co. 5,620 37 * Triton PCS, Inc. 7,286 37 * Encore Wire Corp. 3,867 37 First South Bancorp, Inc. 1,104 37 * Ventana Medical Systems, Inc. 1,349 37 Resource America, Inc. 3,534 37 Carpenter Technology Corp. 2,340 37 National Penn Bancshares Inc. 1,300 37 * Opsware, Inc. 9,072 36 Meridian Bioscience Inc. 3,994 36 * Westell Technologies, Inc. 4,201 36 * Telular Corp. 7,539 36 BancFirst Corp. 700 36 * FalconStor Software, Inc. 5,418 36 * Specialty Laboratories, Inc. 3,533 36 FelCor Lodging Trust, Inc. REIT 4,608 36 * MICROS Systems, Inc. 1,094 36 First Keystone Financial, Inc. 1,597 36 * Time Warner Telecom Inc. 5,653 36 * Alexion Pharmaceuticals, Inc. 2,112 36 28 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * CONMED Corp. 1,972 $ 36 Interface, Inc. 7,727 36 * ViaSat, Inc. 2,500 36 * I-STAT Corp. 3,987 36 Washington Trust Bancorp, Inc. 1,558 36 * Systems & Computer Technology Corp. 3,975 36 Material Sciences Corp. 3,688 36 * Learning Tree International, Inc. 2,288 36 * Kulicke & Soffa Industries, Inc. 5,595 36 Helix Technology Corp. 2,701 36 * Petroleum Helicopters, Inc. 1,185 36 * Jacuzzi Brands, Inc. 6,753 36 * Maxim Pharmaceuticals, Inc. 6,204 36 * GrafTech International Ltd. 6,542 36 * Pathmark Stores, Inc. 4,660 36 * Alliance Imaging, Inc. 8,100 36 R & G Financial Corp. Class B 1,200 36 Stanley Furniture Co., Inc. 1,300 36 * Cubist Pharmaceuticals, Inc. 3,337 36 * New Focus, Inc. 9,496 36 * Concerto Software Inc. 3,857 35 * USANA Health Sciences, Inc. 800 35 Hopfed Bancorp, Inc. 2,205 35 * AK Steel Corp. 9,745 35 * SonoSite, Inc. 1,762 35 * Labor Ready, Inc. 4,896 35 * Strattec Security Corp. 658 35 * The Buckle, Inc. 1,819 35 * Datastream Systems, Inc. 3,299 35 * Mercury Computer Systems, Inc. 1,921 35 * Armor Holdings, Inc. 2,600 35 * Antigenics, Inc. 3,021 35 Cadmus Communications 3,914 35 * Corixa Corp. 4,497 35 * Atari, Inc. 7,811 35 West Coast Bancorp 1,908 35 * CKE Restaurants Inc. 6,189 35 GBC Bancorp 900 35 * JDA Software Group, Inc. 3,088 35 * Shoe Carnival, Inc. 2,340 35 * Teletech Holdings Inc. 8,151 34 * O'Charley's Inc. 1,600 34 The Stride Rite Corp. 3,457 34 Peoples Holding Co. 777 34 * Layne Christensen Co. 4,256 34 * Portfolio Recovery Associates, Inc. 1,100 34 * 1-800 CONTACTS, Inc. 1,400 34 Inter-Tel, Inc. 1,614 34 * Talk America Holdings, Inc. 3,135 34 * Cell Genesys, Inc. 3,948 34 Curtiss-Wright Corp. Class B 547 34 * UTStarcom, Inc. 958 34 * PRG-Schultz International, Inc. 5,772 34 * SPSS, Inc. 2,031 34 * EMS Technologies, Inc. 2,599 34 Green Mountain Power Corp. 1,699 34 * Wackenhut Corrections Corp. 2,477 34 Omega Financial Corp. 992 34 Phillips-Van Heusen Corp. 2,489 34 Anworth Mortgage Asset Corp. REIT 2,200 34 * E.piphany Inc. 6,636 34 WSFS Financial Corp. 882 34 CFS Bancorp, Inc. 2,400 34 * Symmetricom Inc. 7,619 34 * InterVoice, Inc. 6,769 33 Myers Industries, Inc. 3,513 33 MCG Capital Corp. 2,300 33 * Gulfmark Offshore, Inc. 1,972 33 Farmer Brothers, Inc. 98 33 * Old Dominion Freight Line, Inc. 1,536 33 * Regent Communications, Inc. 5,607 33 * Isis Pharmaceuticals, Inc. 6,225 33 OceanFirst Financial Corp. 1,349 33 CIRCOR International, Inc. 1,846 33 * Ciphergen Biosystems, Inc. 3,206 33 * Water Pik Technologies, Inc. 4,229 33 * PRAECIS Pharmaceuticals Inc. 6,704 33 * Manugistics Group, Inc. 7,983 33 * Steven Madden, Ltd. 1,500 33 Ryerson Tull, Inc. 3,730 33 Arrow Financial Corp. 981 33 Roto-Rooter, Inc. 857 33 * Veritas DGC Inc. 2,845 33 * Myriad Genetics, Inc. 2,400 33 * Gene Logic Inc. 5,467 33 Met-Pro Corp. 2,255 33 Apogee Enterprises, Inc. 3,608 33 * Callon Petroleum Co. 4,566 33 U.S.B. Holding Co., Inc. 1,831 33 Bank Mutual Corp. 1,000 33 * Orbital Sciences Corp. 4,451 32 * Diversa Corp. 3,302 32 Community Banks, Inc. 1,090 32 * Trans World Entertainment Corp. 6,331 32 Lance, Inc. 3,549 32 Ziegler Cos., Inc. 2,124 32 * Bay View Capital Corp. 5,600 32 * Primus Telecommunications Group, Inc. 6,270 32 * General Binding Corp. 2,685 32 * Parker Drilling Co. 11,063 32 * Prime Hospitality Corp. 4,794 32 29 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Sterling Financial Corp. (Spokane) 1,320 $ 32 General Cable Corp. 5,952 32 * Hologic, Inc. 2,438 32 Curtiss-Wright Corp. 508 32 * Administaff, Inc. 3,104 32 * ActivCard Corp. 3,400 32 * Nabi Biopharmaceuticals 4,658 32 * Savient Pharmaceuticals Inc. 6,883 32 * School Specialty, Inc. 1,122 32 * Jo-Ann Stores, Inc. Class A 1,261 32 * Paxar Corp. 2,900 32 Texas Genco Holdings, Inc. 1,372 32 * Stillwater Mining Co. 6,179 32 * Maxxam Inc. 2,190 32 * Lexicon Genetics Inc. 4,729 32 Flushing Financial Corp. 1,428 32 * Sykes Enterprises, Inc. 6,471 32 * ON Semiconductor Corp. 11,710 32 * VistaCare, Inc. 1,300 32 * Dave & Busters, Inc. 2,897 32 * Immunomedics Inc. 5,002 32 * Mapics Inc. 3,848 32 Midwest Banc Holdings, Inc. 1,620 31 * Pericom Semiconductor Corp. 3,380 31 * Serologicals Corp. 2,300 31 Medallion Financial Corp. 4,472 31 * Websense, Inc. 2,000 31 NYMAGIC, Inc. 1,545 31 McMoRan Exploration Co. 2,795 31 * Epicor Software Corp. 5,197 31 Methode Electronics, Inc. Class A 2,893 31 * MatrixOne, Inc. 5,418 31 Sizeler Property Investors, Inc. REIT 3,028 31 * MRO Software Inc. 3,596 31 * Revlon, Inc. Class A 10,328 31 * Digitas Inc. 6,238 31 * Secure Computing Corp. 3,540 31 * Wind River Systems Inc. 8,095 31 Columbia Banking System, Inc. 1,718 31 * SupportSoft, Inc. 4,741 31 BCSB Bankcorp, Inc. 2,051 31 * MicroStrategy Inc. 843 31 * CuraGen Corp. 5,529 31 * PICO Holdings, Inc. 2,356 31 * Accredited Home Lenders Holding Co. 1,560 31 * Retek Inc. 4,775 31 * AAON, Inc. 1,650 31 * Immucor Inc. 1,402 31 * Integrated Electrical Services, Inc. 4,211 31 Pioneer Standard Electronics Inc. 3,591 30 * Caraustar Industries, Inc. 3,795 30 * Salem Communications Corp. 1,500 30 * Tollgrade Communications, Inc. 1,609 30 Penford Corp. 2,685 30 * Century Business Services, Inc. 9,173 30 * M&F Worldwide Corp. 4,122 30 * IDT Corp. 1,658 30 * Insignia Financial Group, Inc. 2,670 30 * ePlus Inc. 2,783 30 * Friendly Ice Cream Corp. 4,682 30 * Curative Health Services Inc. 1,739 30 * Saxon Capital Inc. 1,700 30 * MemberWorks, Inc. 1,494 30 * Stein Mart, Inc. 4,922 29 Century Bancorp, Inc. Class A 990 29 * Plains Exploration & Production Co. 2,727 29 * Hawthorne Financial Corp. 848 29 * Avanex Corp. 7,346 29 * MRV Communications Inc. 14,615 29 * PharmaNetics, Inc. 5,064 29 American Home Mortgage Holdings, Inc. 1,500 29 * PC-Tel, Inc. 2,475 29 * Netscreen Technologies, Inc. 1,300 29 * Gentiva Health Services, Inc. 3,250 29 * E-LOAN, Inc. 5,008 29 * hi/fn, inc 3,266 29 * Quality Systems, Inc. 1,051 29 Fidelity Bankshares, Inc. 1,300 29 * PTEK Holdings, Inc. 5,968 29 * SafeNet, Inc. 1,032 29 * US Physical Therapy, Inc. 2,300 29 Fedders Corp. 9,386 29 * Possis Medical Inc. 2,100 29 Metris Cos., Inc. 5,190 29 * Concurrent Computer Corp. 9,854 29 * CardioDynamics International Corp. 8,432 29 First Bancorp (NC) 1,108 29 * Galyan's Trading Co. 2,000 29 * Identix, Inc. 4,513 29 * United PanAm Financial Corp. 2,341 29 * AMC Entertainment, Inc. 2,500 29 * California Amplifier, Inc. 8,000 29 * Hycor Biomedical Inc. 6,163 29 JLG Industries, Inc. 4,196 29 * Incyte Corporation 6,148 29 Coca-Cola Bottling Co. 522 29 Oneida Ltd. 4,222 28 * eCollege.com Inc. 2,475 28 * Merix Corp. 3,710 28 * JAKKS Pacific, Inc. 2,124 28 Nu Skin Enterprises, Inc. 2,700 28 * Veeco Instruments, Inc. 1,654 28 30 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Group 1 Software, Inc. 1,536 $ 28 Unizan Financial Corp. 1,600 28 * Tower Automotive, Inc. 7,675 28 * Workflow Management, Inc. 8,120 28 * NYFIX, Inc. 4,410 28 * PracticeWorks Inc. 1,447 28 * Pegasystems Inc. 3,788 28 Wainwright Bank & Trust Co. 2,764 28 * Finisar Corp. 17,994 28 * Hector Communications Corp. 2,219 28 Seacoast Banking Corp. of Florida 1,627 28 Brown Shoe Co., Inc. 929 28 * Crown Media Holdings, Inc. 6,671 28 * Kirkland's, Inc. 1,700 27 * Bally Total Fitness Holding Corp. 3,038 27 * Interwoven, Inc. 12,330 27 * S1 Corp. 6,755 27 * Vivus, Inc. 5,306 27 * Rochester Medical Corp. 2,716 27 AMCOL International Corp. 3,408 27 * Saga Communications, Inc. 1,400 27 * Digi International, Inc. 4,721 27 * Concord Communications, Inc. 1,975 27 Capitol Bancorp Ltd. 1,000 27 * Candela Corp. 2,346 27 Farmers Capital Bank Corp. 846 27 * BioSphere Medical Inc. 4,500 27 Port Financial Corp. 500 27 * Gerber Scientific, Inc. 4,036 27 Argonaut Group, Inc. 2,177 27 * Perry Ellis International Corp. 1,372 27 * Multimedia Games Inc. 1,050 27 * Vicor Corp. 2,786 27 * Impath, Inc. 1,890 27 * Nashua Corp. 2,999 27 * Actel Corp. 1,300 27 * Bottomline Technologies, Inc. 3,300 27 * SuperGen, Inc. 4,928 27 * Red Robin Gourmet Burgers 1,400 27 American States Water Co. 971 27 * Entrust, Inc. 8,998 26 * TTM Technologies, Inc. 5,634 26 * SeaChange International, Inc. 2,765 26 * Integrated Defense Technology, Inc. 1,700 26 L.S. Starrett Co. Class A 2,036 26 * Dendreon Corp. 4,431 26 Jacksonville Bancorp, Inc. 924 26 * Verisity Ltd. 2,200 26 * Prima Energy Corp. 1,258 26 * Embarcadero Technologies, Inc. 3,748 26 * FreeMarkets, Inc. 3,766 26 * ImmunoGen, Inc. 6,130 26 Codorus Valley Bancorp, Inc. 1,661 26 * Aftermarket Technology Corp. 2,469 26 * Corvas International, Inc. 9,571 26 * MTC Technologies, Inc. 1,100 26 * EPIQ Systems, Inc. 1,500 26 * Insurance Auto Auctions, Inc. 2,048 26 Greater Community Bancorp 1,669 26 * Pinnacle Entertainment, Inc. 3,777 26 * IDT Corp. Class B 1,458 26 Timberline Software Corp. 4,550 26 * Watson Wyatt & Co. Holdings 1,100 25 Oil-Dri Corp. of America 2,123 25 Solutia, Inc. 11,686 25 * Northwest Pipe Co. 1,751 25 * Presstek, Inc. 4,073 25 Horizon Financial Corp. 1,605 25 * Conceptus, Inc. 1,800 25 Gevity HR, Inc. 2,138 25 * InterCept, Inc. 3,018 25 * Digital River, Inc. 1,304 25 * Proxim Corp. Class A 17,225 25 * Giant Industries, Inc. 4,210 25 Sandy Spring Bancorp, Inc. 794 25 * JNI Corp. 5,088 25 * Encysive Pharmaceuticals, Inc. 5,223 25 * Wiser Oil Co. 4,352 25 * Extended Systems Inc. 6,414 25 Coastal Bancorp, Inc. 879 25 * Mobile Mini, Inc. 1,523 25 * Inspire Pharmaceuticals, Inc. 2,300 25 * Prime Group Realty Trust REIT 4,282 25 * Ace Cash Express, Inc. 2,283 25 * Alliance Semiconductor Corp. 5,110 25 * KVH Industries, Inc. 1,000 25 Milacron Inc. 5,055 25 Capstead Mortgage Corp. REIT 2,186 25 * Transmeta Corp. 15,389 25 * COMARCO, Inc. 3,450 24 Second Bancorp, Inc. 949 24 * FindWhat.com 1,300 24 * Torch Offshore, Inc. 3,600 24 Dover Motorsports, Inc. 5,954 24 * Hi-Tech Pharmacal Co., Inc. 600 24 * Greka Energy Corp. 4,211 24 * Horizon Offshore, Inc. 4,889 24 * Casella Waste Systems, Inc. 2,692 24 * Verity, Inc. 1,918 24 * Portal Software, Inc. 12,134 24 * PDF Solutions, Inc. 2,100 24 * General Communication, Inc. 2,800 24 Simmons First National Corp. 1,210 24 * XOMA Ltd. 4,538 24 31 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Interpore International 1,900 $ 24 X-Rite Inc. 2,435 24 * Tyler Technologies, Inc. 5,666 24 First Federal Bancshares of Arkansas, Inc. 753 24 MeriStar Hospitality Corp. REIT 4,629 24 Virco Manufacturing Corp. 3,740 24 * Paragon Technologies, Inc. 2,370 24 Infinity Property & Casualty Corp. 1,000 24 * Air Methods Corp. 3,041 24 * Atlanta Sosnoff Capital Corp. 1,736 24 * Nanogen, Inc. 7,986 23 * Zygo Corp. 2,931 23 * Alliance Data Systems Corp. 1,000 23 Banner Corp. 1,141 23 * Netegrity, Inc. 3,997 23 World Wrestling Entertainment, Inc. 2,265 23 * Energy Conversion Devices, Inc. 2,557 23 * Lancer Corp. 3,372 23 * Novoste Corp. 3,865 23 * GSI Commerce, Inc. 3,468 23 Prosperity Bancshares, Inc. 1,200 23 * Pharmacopeia, Inc. 2,797 23 * CryoLife Inc. 2,226 23 LSB Corp. 1,398 23 * Skechers U.S.A., Inc. 3,108 23 * Interactive Intelligence Inc. 6,083 23 * Asbury Automotive Group, Inc. 1,700 23 HF Financial Corp. 1,286 23 * SCM Microsystems, Inc. 4,192 23 * Aspect Communications Corp. 5,902 23 * Sanchez Computer Associates, Inc. 4,375 23 * SBA Communications Corp. 7,477 23 * Terayon Communications Systems, Inc. 8,314 23 * Drexler Technology Corp. 1,461 23 * Big 5 Sporting Goods Corp. 1,800 23 * Capital Corp. of the West 889 23 * Strategic Diagnostics Inc. 5,050 23 BSB Bancorp, Inc. 907 23 * Martha Stewart Living Omnimedia, Inc. 2,387 22 * I.D. Systems, Inc. 2,818 22 * NASSDA Corp. 2,900 22 * 4Kids Entertainment Inc. 1,200 22 Sterling Bancorp 800 22 * Universal Display Corp. 2,500 22 * PDI, Inc. 2,191 22 Connecticut Bancshares, Inc. 564 22 * InFocus Corp. 4,671 22 * Mastec Inc. 3,811 22 NUI Corp. 1,411 22 * Department 56 Inc. 1,426 22 * Gadzooks, Inc. 3,843 22 * Neoforma, Inc. 1,998 22 * iGATE Corp. 6,274 22 * Harris Interactive Inc. 3,300 22 * MedCath Corp. 3,700 22 * Zix Corp. 5,704 22 * Dick's Sporting Goods, Inc. 600 22 Summit Bancshares, Inc. 912 21 Cascade Bancorp 1,234 21 Investors Title Co. 748 21 * Third Wave Technologies 4,741 21 * Prime Energy Corp. 2,226 21 Southwest Bancorp, Inc. 770 21 Tech/Ops Sevcon, Inc. 4,019 21 * Sequa Corp. Class A 615 21 Ameriana Bancorp 1,500 21 * The Meridian Resource Corp. 4,449 21 Partners Trust Financial Group, Inc. 1,100 21 * First Mariner Bancorp, Inc. 1,646 21 * Universal Electronics, Inc. 1,648 21 * MSC.Software Corp. 3,100 21 Newmil Bancorp, Inc. 950 21 * Vixel Corp. 3,243 21 * MTR Gaming Group Inc. 2,686 21 * Phoenix Technologies Ltd. 3,670 21 * RCN Corp. 10,437 21 * Luminex Corp. 4,004 21 * Roxio, Inc. 3,088 21 * Alloy, Inc. 3,200 21 Courier Corp. 400 21 Sanders Morris Harris Group Inc. 2,300 21 * SureBeam Corp. 7,764 21 Safety Insurance Group, Inc. 1,400 21 * AZZ Inc. 1,865 21 * Aphton Corp. 2,490 21 * Manufacturers' Services Ltd. 4,222 20 * Syntroleum Corp. 7,673 20 * CCC Information Services Group 1,400 20 * Metro One Telecommunications, Inc. 3,900 20 Calgon Carbon Corp. 3,497 20 Oregon Trail Financial Corp. 804 20 LSI Industries Inc. 1,806 20 Ameriserv Financial Inc. 5,269 20 MB Financial, Inc. 500 20 * Todhunter International, Inc. 1,975 20 Provident Bancorp, Inc. 623 20 * Applied Innovation Inc. 5,762 20 Standard Motor Products, Inc. 1,792 20 HEICO Corp. 1,623 20 * Able Laboratories, Inc. 1,000 20 Paul Mueller Co. 488 20 32 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- German American Bancorp 1,132 $ 20 * LCC International, Inc. Class A 7,163 20 * Volt Information Sciences Inc. 1,436 20 Merchants Bancshares, Inc. 752 20 * Willis Lease Finance Corp. 4,189 20 * Aclara Biosciences, Inc. 4,614 20 * Gulf Island Fabrication, Inc. 1,148 19 * SeeBeyond Technology Corp. 8,403 19 * Turnstone Systems, Inc. 7,715 19 * Ribapharm Inc. 3,000 19 * BioLase Technology, Inc. 1,800 19 * Dynamics Research Corp. 1,261 19 Hanmi Financial Corp. 1,100 19 * First Consulting Group, Inc. 4,092 19 * Biopure Corp. 3,100 19 * Catalytica Energy Systems, Inc. 7,012 19 * Salix Pharmaceuticals, Ltd. 1,800 19 * NS Group Inc. 1,926 19 * Zoltek Cos., Inc. 6,579 19 Sterling Financial Corp. (PA) 805 19 * Herley Industries Inc. 1,102 19 * Innotrac Corp. 3,214 19 Pulaski Financial Corp. 681 19 Fidelity Bancorp, Inc. 576 19 * Navigant International, Inc. 1,440 19 * U.S. Energy Corp. 3,571 19 * QAD Inc. 2,499 19 * BroadVision, Inc. 3,249 18 * Enesco Group, Inc. 2,497 18 * ABIOMED, Inc. 3,375 18 Shore Bancshares, Inc. 600 18 * Commercial Capital Bancorp, Inc. 1,200 18 * Whitman Education Group, Inc. 1,200 18 * Neoware Systems, Inc. 1,200 18 * Conrad Industries, Inc. 7,466 18 * Lifecore Biomedical Inc. 3,233 18 * Three-Five Systems, Inc. 2,665 18 United Capital Corp. 523 18 Nash-Finch Co. 1,099 18 * Aspen Technologies, Inc. 3,811 18 * Mindspeed Technologies, Inc. 7,618 18 * Cepheid, Inc. 3,700 18 Heritage Financial Corp. 862 18 * HomeStore, Inc. 10,278 18 * Midway Games Inc. 5,009 18 * Pharmacyclics, Inc. 3,819 18 * Gabelli Asset Management Inc. 500 18 Capital Trust Class A 970 18 * Stoneridge, Inc. 1,318 18 * Medical Action Industries Inc. 1,100 18 * Oxigene, Inc. 1,815 18 United Industrial Corp. 1,100 18 * Computer Horizons Corp. 3,949 18 Novastar Financial, Inc. REIT 300 18 * Seabulk International, Inc. 2,019 18 Team Financial, Inc. 1,658 18 * DVI, Inc. 3,831 18 * Pumatech, Inc. 5,258 18 * Nastech Pharmaceutical Co., Inc. 1,785 18 Oak Hill Financial, Inc. 710 18 * Virage Logic Corp. 2,453 18 Peoples Bancorp, Inc. 700 18 * SM&A Corp. 1,556 18 * EnPro Industries, Inc. 1,650 18 * MIPS Technologies, Inc. 6,883 18 * WatchGuard Technologies, Inc. 3,827 18 * Theragenics Corp. 4,093 18 * Strategic Distribution, Inc. 1,081 18 * DJ Orthopedics Inc. 1,600 18 * Dobson Communications Corp. 3,200 17 Columbia Bancorp 726 17 * Colorado MEDtech, Inc. 3,700 17 * Moog Inc. 500 17 * Verso Technologies, Inc. 9,594 17 * Aerosonic Corp. 1,738 17 * Right Management Consultants, Inc. 1,355 17 * Intelidata Technologies Corp. 5,592 17 * Stamps.com Inc. 3,559 17 * Federal Agricultural Mortgage Corp. Class A 1,021 17 * Alteon, Inc. 3,513 17 * Chicago Pizza & Brewery, Inc. 1,700 17 * Oplink Communications, Inc. 9,088 17 * Valence Technology Inc. 5,663 17 Standex International Corp. 800 17 Instinet Group Inc. 3,601 17 * Vitria Technology, Inc. 2,928 17 * Paxson Communications Corp. 2,800 17 * Riverstone Networks, Inc. 14,149 17 * Nuance Communications Inc. 3,079 17 Aceto Corp. 900 17 * Dura Automotive Systems, Inc. 1,752 17 First State Bancorporation 600 17 * Hewitt Associates, Inc. 700 16 * Mobius Management Systems, Inc. 2,203 16 * NIC Inc. 5,631 16 * C-COR Electronics, Inc. 3,345 16 * Net2Phone, Inc. 3,773 16 Wolohan Lumber Co. 700 16 Spartan Motors, Inc. 1,961 16 * SCS Transportation, Inc. 1,283 16 * Price Legacy Corp. REIT 4,303 16 * Emerson Radio Corp. 2,400 16 SWS Group, Inc. 800 16 33 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Progenics Pharmaceuticals, Inc. 1,070 $ 16 * Celeritek, Inc. 2,197 16 * Garden Fresh Restaurant Corp. 1,782 16 * V.I. Technologies, Inc. 6,546 16 * Alamosa Holdings, Inc. 10,471 16 * Inverness Medical Innovations, Inc. 827 16 * Matria Healthcare, Inc. 904 16 * Hexcel Corp. 4,979 16 * Integral Systems, Inc. 799 16 Nara Bancorp, Inc. 836 16 * Novavax, Inc. 2,847 16 * UbiquiTel Inc. 10,558 16 * GMX Resources Inc. 8,150 16 * Geron Corp. 2,138 16 * RMH Teleservices, Inc. 3,633 16 * W.R. Grace & Co. 3,562 16 Landauer, Inc. 375 16 Marine Products Corp. 1,444 16 * VaxGen, Inc. 3,020 16 North Valley Bancorp 1,042 16 * Pegasus Communications Corp. 528 16 * Fairchild Corp. 3,873 16 * SONUS Pharmaceuticals, Inc. 4,183 16 * Handspring, Inc. 13,807 16 * Tenneco Automotive, Inc. 4,329 16 * Griffin Land & Nurseries, Inc. 1,126 16 State Financial Services Corp. Class A 701 16 * Analysts International Corp. 6,206 15 * Clarus Corp. 2,461 15 * Casual Male Retail Group, Inc. 2,977 15 * Syms Corp. 2,395 15 ISCO, Inc. 1,847 15 Stepan Co. 680 15 * VitalWorks Inc. 3,890 15 * RC2 Corp. 903 15 Southern Financial Bancorp, Inc. 500 15 * Autobytel Inc. 2,441 15 CompX International Inc. 2,729 15 * PETCO Animal Supplies, Inc. 700 15 Apex Mortgage Capital, Inc. REIT 2,774 15 * Central European Distribution Corp. 750 15 * Trover Solutions, Inc. 2,600 15 Greater Delaware Valley Savings Bank 663 15 * TranSwitch Corp. 10,935 15 * TippingPoint Technologies Inc. 1,879 15 * Tellium, Inc. 15,971 15 * VA Software Corp. 6,843 15 Covest Bankshares, Inc. 597 15 * PriceSmart, Inc. 1,105 15 * Collins & Aikman Corp. 4,968 15 IBERIABANK Corp. 300 15 * America's Car-Mart, Inc. 800 15 * Aware, Inc. 6,553 15 Consolidated-Tomoka Land Co. 580 15 * Ethyl Corp. 1,463 15 Alabama National BanCorporation 300 15 * Embrex, Inc. 1,419 14 * Art Technology Group, Inc. 9,046 14 * Foster Wheeler Ltd. 6,755 14 * Hudson Highland Group, Inc. 759 14 * FARO Technologies, Inc. 2,032 14 * Network Equipment Technologies, Inc. 1,700 14 * Actuate Software Corp. 5,144 14 * Redback Networks Inc. 15,843 14 * Hartmarx Corp. 4,764 14 * InKine Pharmaceutical Co., Inc. 4,225 14 BancTrust Financial Group, Inc. 900 14 * Microtune, Inc. 4,432 14 * Numerex Corp. 4,974 14 California Water Service Group 500 14 West Essex Bancorp, Inc. 400 14 * DRS Technologies, Inc. 500 14 * Covansys Corp. 4,540 14 * Kforce Inc. 2,883 14 * Acmat Corp. Class A 1,503 14 Banc Corp. 2,068 14 * Cerus Corp. 1,842 14 * ATP Oil & Gas Corp. 2,200 14 * IVAX Diagnostics, Inc. 2,766 14 Provident Financial Holdings, Inc. 471 14 * SpeechWorks International Inc. 2,932 14 * Nuvelo, Inc. 6,924 14 * Sirenza Microdevices, Inc. 6,774 14 * Magnatek, Inc. 5,390 14 * Amerco, Inc. 1,922 14 PrivateBancorp, Inc. 500 14 * Asyst Technologies, Inc. 2,038 14 * Cornell Companies, Inc. 900 14 * Selectica, Inc. 4,294 14 * Hecla Mining Co. 3,192 14 * LookSmart, Ltd. 4,764 13 American National Bankshares Inc. 500 13 * Captaris Inc. 3,923 13 * Beasley Broadcast Group, Inc. 980 13 American Residential Investment Trust, Inc. REIT 1,460 13 * Ampal-American Israel Corp. 4,703 13 * Liquidmetal Technologies Inc. 2,600 13 * BindView Development Corp. 6,537 13 * Criimi Mae, Inc. REIT 1,204 13 * LodgeNet Entertainment Corp. 1,200 13 34 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Quaker Chemical Corp. 524 $ 13 * Allscripts Healthcare Solutions, Inc. 3,570 13 First M&F Corp. 400 13 * DigitalThink, Inc. 4,140 13 * Oregon Steel Mills, Inc. 4,488 13 * Mattson Technology, Inc. 4,200 13 * Mechanical Technology Inc. 4,184 13 * Exactech, Inc. 900 13 * Harvard Bioscience, Inc. 3,410 13 * Community West Bancshares 2,110 13 * Goody's Family Clothing 1,495 13 * Raindance Communications, Inc. 5,187 13 Old Second Bancorp, Inc. 300 13 * Omega Healthcare Investors, Inc. REIT 2,437 13 * Xicor, Inc. 2,030 13 * SFBC International, Inc. 700 13 Vesta Insurance Group, Inc. 5,486 13 * La Jolla Pharmaceutical Co. 3,848 13 * Standard Microsystem Corp. 826 13 * ParkerVision, Inc. 1,902 12 * Checkers Drive-In Restaurants, Inc. 1,088 12 * KFX, Inc. 3,200 12 * iManage, Inc. 2,478 12 * The Princeton Review, Inc. 2,100 12 * Diacrin, Inc. 4,491 12 * Superior Consultant Holdings Corp. 4,112 12 * El Paso Electric Co. 1,000 12 * NMT Medial, Inc. 3,100 12 * Digital Generation Systems 6,395 12 * Silicon Graphics, Inc. 10,760 12 Sound Federal Bancorp Inc. 900 12 * On Assignment, Inc. 3,055 12 * Zomax Inc. 3,737 12 * Corio, Inc. 7,620 12 * ITLA Capital Corp. 300 12 Center Bancorp, Inc. 800 12 * Concord Camera Corp. 1,700 12 * Heidrick & Struggles International, Inc. 954 12 * Altiris, Inc. 600 12 * Advanced Magnetics, Inc. 1,173 12 * iPayment Holdings, Inc. 500 12 * Curis, Inc. 3,275 12 * Eden Bioscience Corp. 7,422 12 * Covista Communications, Inc. 3,805 12 * Neogen Corp. 700 12 Commercial Bankshares, Inc. 400 12 * Blount International, Inc. 2,084 12 * Chronimed Inc. 1,200 12 Allen Organ Co. 283 12 * Insmed Inc. 4,380 12 * Trex Co., Inc. 300 12 * Sipex Corp. 2,394 12 MutualFirst Financial Inc. 500 12 * Tarragon Realty Investors Inc. REIT 800 12 * Cysive, Inc. 3,630 12 Bank of the Ozarks, Inc. 300 12 * Stellent Inc. 2,147 12 * LCA-Vision Inc. 1,291 12 * Bradley Pharmaceuticals, Inc. 700 12 * PLATO Learning, Inc. 2,001 12 * SRI/Surgical Express, Inc. 1,677 12 * Allied Holdings, Inc. 3,465 11 * Clean Harbors Inc. 1,200 11 * EntreMed, Inc. 2,738 11 Bush Industries, Inc. 3,784 11 * Ducommun, Inc. 800 11 * NeoPharm, Inc. 814 11 * QuickLogic Corp. 3,495 11 * TSR, Inc. 1,253 11 Penn-America Group, Inc. 1,000 11 * International Shipholding Corp. 1,039 11 * Ambassadors Group, Inc. 800 11 * Mail-Well, Inc. 4,425 11 * Lexent Inc. 7,910 11 * EMCORE Corp. 3,364 11 * ACTV, Inc. 11,223 11 Chester Valley Bancorp 573 11 * Neurogen Corp. 2,387 11 Pacific Union Bank 800 11 * Alcide Corp. 1,009 11 * Forgent Networks, Inc. 3,983 11 First Federal Financial Corp. of Kentucky 330 11 * Double Eagle Petroleum Co. 1,371 11 * EXCO Resources, Inc. 600 11 * Mothers Work, Inc. 400 11 * Fargo Electronics 1,100 11 Titan International, Inc. 8,611 11 * SteelCloud Inc. 3,121 11 * Optical Communication Products, Inc. 5,929 11 * Durect Corp. 4,425 11 * MarketWatch.com, Inc. 1,274 11 * Traffix, Inc. 3,467 11 * Glenayre Technologies, Inc. 7,769 11 * Answerthink Consulting Group, Inc. 5,511 11 First United Corp. 500 11 * Netro Corp. 3,679 11 * Correctional Services Corp. 3,725 11 * TheStreet.com, Inc. 2,242 11 * Loral Space & Communications, Ltd. 3,442 10 * Genlyte Group, Inc. 300 10 35 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Camco Financial Corp. 670 $ 10 Security Bank Corp. 300 10 * MetaSolv, Inc. 5,311 10 * FSI International, Inc. 2,666 10 * BE Aerospace, Inc. 3,140 10 LSB Bancshares, Inc. 600 10 * Witness Systems, Inc. 2,006 10 Firstfed America Bancorp, Inc. 300 10 * CyberSource Corp. 3,774 10 * Centra Software, Inc. 3,329 10 Urstadt Biddle Properties Class A REIT 800 10 * Information Resources, Inc. 2,604 10 * Ceres Group, Inc. 3,566 10 * ImageWare Systems, Inc. 3,800 10 Maritrans Inc. 700 10 Saul Centers, Inc. REIT 400 10 * ITXC Corp. 3,903 10 * Braun Consulting, Inc. 5,992 10 Steel Technologies, Inc. 1,000 10 * Anthony & Sylvan Pools Corp. 3,845 10 * Lazare Kaplan International, Inc. 1,707 10 Superior Financial Corp. 419 10 * Caliper Technologies Corp. 2,209 10 * Aradigm Corp. 5,575 10 * Tumbleweed Communications Corp. 3,880 10 Proton Energy Systems, Inc. 4,650 10 Bedford Bancshares, Inc. 422 10 Raven Industries, Inc. 500 10 * Netopia, Inc. 2,531 10 * Illumina, Inc. 3,276 10 * Medical Staffing Network Holdings, Inc. 1,400 10 * SITEL Corp. 6,305 10 Intermet Corp. 2,894 10 Valmont Industries, Inc. 500 10 * Zapata Corp. 200 10 First Colonial Group, Inc. 200 10 * Dyax Corp. 2,379 10 * Sequenom, Inc. 3,558 10 * SoundView Technology Group, Inc. 951 10 * Carreker Corp. 2,100 10 Peapack Gladstone Financial Corp. 300 10 * Carriage Services, Inc. 2,708 10 Cascade Natural Gas Corp. 500 10 * Comshare Inc. 2,098 10 * Green Mountain Coffee Roasters, Inc. 500 10 * Chordiant Software, Inc. 5,093 9 Foothill Independent Bancorp. 500 9 * Protection One, Inc. 9,439 9 * The Allied Defense Group, Inc. 500 9 * NaPro BioTherapeutics, Inc. 6,104 9 * Emisphere Technologies, Inc. 2,550 9 * Interlink Electronics Inc. 1,500 9 * Keystone Automotive Industries, Inc. 500 9 * Huttig Building Products, Inc. 3,365 9 Citizens First Financial Corp. 387 9 * Buca, Inc. 1,600 9 * Investors Capital Holdings, Ltd. 3,067 9 New England Business Service, Inc. 300 9 * Franklin Electronic Publishers, Inc. 2,242 9 Burnham Pacific Properties, Inc. REIT 15,143 9 * Brightpoint, Inc. 720 9 * Worldwide Restaurant Concepts Inc. 2,964 9 * RadiSys Corp. 656 9 * Internap Network Services Corp. 8,392 9 * First Union Real Estate REIT 4,772 9 * LMI Aerospace, Inc. 4,197 9 Bedford Property Investors, Inc. REIT 300 9 * NMS Communications Corp. 4,321 9 * Spectranetics Corp. 2,779 8 * DiamondCluster International, Inc. 2,278 8 * Triumph Group, Inc. 300 8 Applied Industrial Technology, Inc. 400 8 * Avici Systems Inc. 1,376 8 * Central Coast Bancorp 500 8 Universal Forest Products, Inc. 400 8 Ameron International Corp. 240 8 Pennfed Financial Services, Inc. 300 8 United Community Financial Corp. 900 8 * Capital Title Group, Inc. 1,848 8 * Perceptron, Inc. 1,378 8 * EZCORP, Inc. 1,891 8 * iVillage Inc. 5,432 8 * Comfort Systems USA, Inc. 3,106 8 * Curon Medical Inc. 7,226 8 * Nu Horizons Electronics Corp. 1,354 8 Thomas Industries, Inc. 300 8 * AmericanWest Bancorporation 500 8 Mid-America Apartment Communities, Inc. REIT 300 8 ESB Financial Corp. 600 8 * Quovadx, Inc. 2,693 8 * Vical, Inc. 1,846 8 * Switchboard Inc. 2,230 8 * barnesandnoble.com inc 3,443 8 * Captiva Software Corp. 1,620 8 * TransPro Inc. 1,789 8 * Sunrise Telecom Inc. 4,513 8 36 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Titan Pharmaceuticals, Inc. 3,367 $ 8 First Defiance Financial Corp. 400 8 * Internet Capital Group, Inc. 16,508 8 * Intrado Inc. 500 8 Southwest Water Co. 565 8 * Value City Department Stores, Inc. 3,569 8 * Applied Molecular Evolution, Inc. 1,838 8 * Capstone Turbine Corp. 7,214 8 * Global Payment Tech Inc. 1,783 8 * Technology Solutions Co. 7,836 8 * Docucorp International, Inc. 1,179 8 * Sangamo BioSciences, Inc. 2,740 8 * Foamex International, Inc. 2,519 8 * Lillian Vernon Corp. 1,063 8 TriCo Bancshares 300 8 * Parallel Petroleum Corp. 2,000 8 * Jupitermedia Corp. 1,906 8 Main Street Banks, Inc. 300 8 GA Financial, Inc. 300 8 * Capital Pacific Holdings, Inc. 1,789 8 Republic Bancshares, Inc. 300 8 Citizens South Banking Corp. 600 8 * PLX Technology, Inc. 1,900 7 First SecurityFed Financial, Inc. 300 7 * Kana Software, Inc. 2,458 7 * Allied Healthcare International Inc. 1,980 7 Shenandoah Telecommunications Co. 155 7 * QRS Corp. 1,390 7 * Genome Therapeutics Corp. 2,887 7 * Somera Communications, Inc. 5,038 7 * Petroleum Development Corp. 800 7 Tennant Co. 200 7 * CYTOGEN Corp. 879 7 * Information Holdings Inc. 400 7 * Computer Task Group, Inc. 2,557 7 * Terra Industries, Inc. 6,769 7 * A.S.V., Inc. 500 7 * Penn Octane Corp. 2,264 7 * GTC Biotherapeutics, Inc. 2,100 7 D&E Communications, Inc. 629 7 * Edison Schools Inc. 4,789 7 * Danielson Holdings Corp. 4,477 7 * Inforte Corp. 907 7 * Cellstar Corp. 1,817 7 Yardville National Bancorp 363 7 Financial Institutions, Inc. 300 7 * Computer Motion, Inc. 1,800 7 * Toreador Resources Corp. 2,315 7 * BayCorp Holdings, Ltd. 500 7 * Tweeter Home Entertainment Group, Inc. 800 7 * Unity Bancorp, Inc. 683 7 * II-VI, Inc. 300 7 * HMS Holdings Corp 2,468 7 Integra Bank Corp. 400 7 * eUniverse, Inc. 1,900 7 * Carrier Access Corp. 3,154 7 Eastern Virginia Bankshares, Inc. 300 7 * Interstate Hotels & Resorts, Inc. 1,462 7 * Belmont Bancorp 1,366 7 Mission West Properties Inc. REIT 600 7 * Gundle/SLT Environmental, Inc. 500 7 * Collagenex Pharmaceuticals, Inc. 500 7 * Targeted Genetics Corp. 3,721 7 * The SCO Group, Inc. 705 7 Keithley Instruments Inc. 465 7 * Acclaim Entertainment Inc. 9,860 7 Allegiant Bancorp, Inc. 330 7 * Kendle International Inc. 1,075 7 * Commerce One, Inc. 2,823 7 * Large Scale Biology Corp. 6,609 7 * SangStat Medical Corp. 504 7 Stephan Co. 1,743 7 * Factory 2-U Stores Inc. 1,316 7 * Ramtron International Corp. 2,886 7 * Merge Technologies, Inc. 500 7 * Monarch Casino & Resort, Inc. 700 7 * Park-Ohio Holdings Corp. 1,316 7 * Katy Industries, Inc. 1,331 6 * ePresence, Inc. 2,671 6 Investors Real Estate Trust REIT 600 6 Webster City Federal Bancorp 300 6 * Interland Inc. 6,553 6 * Digital Impact, Inc. 3,471 6 * Sonic Innovations, Inc. 1,778 6 * SRA International, Inc. 200 6 * Xanser Corp. 2,966 6 * Daily Journal Corp. 260 6 * FairMarket, Inc. 3,795 6 * Amcast Industrial Corp. 7,255 6 AmeriVest Properties, Inc. REIT 1,000 6 * Management Network Group Inc. 3,210 6 * Saba Software, Inc. 1,374 6 Cohu, Inc. 400 6 * Microvision, Inc. 1,000 6 * Digital Lightwave, Inc. 5,717 6 * Active Power, Inc. 3,664 6 * Total Entertainment Restaurant Corp. 667 6 * Acme Communications, Inc. 800 6 * Channell Commercial Corp. 1,100 6 * Mercator Software, Inc. 4,057 6 * Orchid Biosciences, Inc. 5,021 6 * Applied Digital Solutions, Inc. 10,000 6 37 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Synovis Life Technologies, Inc. 300 $ 6 * Sun Bancorp, Inc. (NJ) 300 6 BHA Group Holdings Inc. 300 6 * Network Engines, Inc. 1,561 6 Psychemedics Corp. 725 6 CCBT Financial Cos. Inc. 247 6 * Wyndham International, Inc. Class A 13,380 6 Newcastle Investment Corp. REIT 300 6 Royal Bancshares of Pennsylvania, Inc. 275 6 * Blue Coat Systems, Inc. 978 6 * ViroPharma Inc. 2,238 6 * Docent, Inc. 1,705 6 * U.S. Energy Systems, Inc. 4,134 6 * Marimba, Inc. 1,981 6 * Track Data Corp. 6,608 6 * Wave Systems Corp. 6,508 6 * Paradyne Networks, Inc. 3,175 6 Leesport Financial Corp. 300 6 * Impco Technologies Inc. 921 6 * Lipid Sciences, Inc. 2,862 6 * Consumer Portfolio Services, Inc. 2,020 6 * Luby's, Inc. 2,513 6 * Global Power Equipment Group Inc. 1,215 6 * McLeod USA Inc. 3,739 6 * Columbia Laboratories Inc. 500 6 * Omega Protein Corp. 1,100 6 * AP Pharma Inc. 3,352 6 * Optical Cable Corp. 800 6 * Neurobiological Technologies, Inc. 1,600 6 * Perini Corp. 700 6 Keystone Property Trust REIT 300 6 Robbins & Myers, Inc. 300 6 EFC Bancorp, Inc 300 5 * Transgenomic, Inc. 2,841 5 * Westmoreland Coal Co. 300 5 * BTU International, Inc. 2,880 5 * WJ Communications, Inc. 5,246 5 * Candie's, Inc. 2,808 5 * Axonyx Inc. 2,200 5 Westfield Financial, Inc. 300 5 Lexington Corporate Properties Trust REIT 300 5 * Critical Path, Inc. 5,314 5 * OAO Technology Solutions, Inc. 2,501 5 * ONYX Software Corp. 5,380 5 American Mortgage Acceptance Co. REIT 300 5 * Repligen Corp. 1,000 5 * Applied Films Corp. 200 5 * Edgewater Technology, Inc. 1,077 5 * VIA NET.WORKS, Inc. 5,204 5 Bank of Granite Corp. 300 5 * Big Dog Holdings, Inc. 1,650 5 * Coeur D'Alene Mines Corp. 3,661 5 * Therma-Wave Inc. 2,443 5 * Viewpoint Corp. 4,486 5 Cavalry Bancorp, Inc. 300 5 Applied Signal Technology, Inc. 300 5 * Atlas Air Worldwide Holdings, Inc. 3,439 5 * Medialink Worldwide, Inc. 1,489 5 * Royale Energy, Inc. 654 5 FNB Corp./North Carolina 200 5 * Z-Tel Technologies, Inc. 1,950 5 * Goodrich Petroleum Corp. 1,100 5 Flexsteel Industry 300 5 * APAC Teleservices, Inc. 1,928 5 * Rita Medical Systems, Inc. 1,400 5 * Electric Fuel Corp. 6,122 5 * Norstan, Inc. 1,483 5 * Visual Networks, Inc. 3,538 5 * Click2learn, Inc. 2,800 5 * Infinity, Inc. 800 5 * Genaissance Pharmaceuticals, Inc. 3,100 5 * Juno Lighting, Inc. 361 5 * Superconductor Technologies Inc. 2,100 5 Great Lakes, Inc. REIT 300 5 * Lantronix, Inc. 6,475 5 FloridaFirst Bancorp, Inc. 200 5 U.S. Restaurant Properties, Inc. REIT 300 5 * Paradigm Genetics, Inc. 3,296 5 Kaman Corp. Class A 400 5 * Register.com, Inc. 797 5 * Blue Martini Software, Inc. 1,258 5 * Pinnacor Inc. 2,412 5 * Earthshell Corp. 11,260 5 * Orphan Medical, Inc. 500 5 * Genus, Inc. 1,700 5 * The Good Guys, Inc. 3,077 5 * I-many, Inc. 4,500 5 * Champps Entertainment Inc. 900 5 * Pacific Mercantile Bancorp 500 5 Astro-Med, Inc. 653 5 * GenVec, Inc. 2,163 4 * Lesco, Inc. 500 4 Republic Bancorp, Inc. Class A 300 4 * Aetrium, Inc. 3,024 4 LaSalle Hotel Properties REIT 300 4 * Latitude Communications, Inc. 2,383 4 * TRC Cos., Inc. 300 4 Habersham Bancorp 209 4 * Community Bancorp Inc. 300 4 Ennis Business Forms, Inc. 300 4 38 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Cavalier Homes, Inc. 2,095 $ 4 * Vyyo Inc. 1,423 4 * MacroChem Corp. 3,800 4 * Darling International, Inc. 1,756 4 * Proxymed Pharmacy, Inc. 320 4 * American Independence Corp. 390 4 * Ag Services of America, Inc. 697 4 * Iridex Corp. 1,100 4 Penn Engineering & Manufacturing Corp. 300 4 * Osteotech, Inc. 300 4 Humphrey Hospitality Trust, Inc. REIT 1,565 4 * Peco II, Inc. 6,467 4 * Bioject Medical Technologies Inc. 1,000 4 CoBiz Inc. 300 4 * Stratos Lightwave, Inc. 802 4 * EXE Technologies, Inc. 789 4 * Republic First Bancorp, Inc. 500 4 * Niku Corp. 871 4 * Matritech Inc. 1,700 4 * ICT Group, Inc. 375 4 * Crossroads Systems, Inc. 2,314 4 * Diametrics Medical, Inc. 3,351 4 * Net Perceptions, Inc. 2,405 4 * RWD Technologies, Inc. 1,849 4 * TechTeam Global, Inc. 600 4 * Synagro Technologies Inc. 1,506 4 * Cosine Communications, Inc. 623 4 Comdisco Holding Co., Inc. Contingent Value Rights 11,949 4 * Baldwin Technology Class A 5,881 4 * Ceradyne, Inc. 200 4 * Applied Imaging Corp. 2,500 4 * Heritage Commerce Corp. 300 4 * Drew Industries, Inc. 200 4 * Navarre Corp. 1,714 4 * Blue Rhino Corp. 300 4 * Summa Industries 500 4 * AirGate PCS, Inc. 2,980 4 * Airnet Communications Corp. 3,283 4 First Busey Corp. 146 4 * Applix, Inc. 2,208 4 * ResortQuest International, Inc. 800 4 * Stratasys, Inc. 100 4 Community Bank of Northern Virginia 300 3 Cascade Corp. 200 3 * Cone Mills Corp. 2,187 3 * SAVVIS Communications Corp. 3,840 3 * Cardima, Inc. 4,715 3 * StorageNetworks, Inc. 2,390 3 * ebix.com Inc. 487 3 * Argonaut Technologies Inc. 2,664 3 * Trump Hotels & Casino Resorts, Inc. 1,687 3 * SPEEDUS Corp. 2,777 3 * AXT, Inc. 2,800 3 * Bell Industries, Inc. 1,505 3 * Intraware, Inc. 2,604 3 * The Greenbrier Cos., Inc. 300 3 * John B. Sanfilippo & Son, Inc. 200 3 * Nutraceutical International Corp. 300 3 BRT Realty Trust REIT 200 3 National Health Realty Inc. REIT 200 3 Warwick Community Bancorp, Inc. 109 3 Pennrock Financial Services Corp. 118 3 * All American Semiconductor, Inc. 1,057 3 * Ostex International, Inc. 1,429 3 * The Immune Response Corp. 981 3 * BSQUARE Corp. 3,786 3 * Tut Systems, Inc. 783 3 * Carrington Labs Inc. 1,246 3 * Maxcor Financial Group Inc. 300 3 * Concur Technologies, Inc. 300 3 * Lightspan Inc. 4,308 3 * Systemax Inc. 848 3 Northern States Financial Corp. 100 3 Hemlock Federal Financial Corp. 100 3 Berkshire Hills Bancorp, Inc. 100 3 * Lanvision Systems, Inc. 1,425 3 * Virologic, Inc. 2,205 3 * Research Frontiers, Inc. 200 3 ILX Resorts Inc. 329 3 * dELiA 3,989 3 * Copper Mountain Networks, Inc. 255 3 * Hungarian Telephone and Cable Corp. 300 3 * On2 Technologies, Inc. 2,193 3 Citizens 1st Bancorp, Inc. 125 3 * On Command Corp. 2,529 3 * Lowrance Electronics, Inc. 318 3 * Loudeye Corp. 3,369 3 * SportsLine.com, Inc. 1,287 3 * Trailer Bridge, Inc. 823 3 BostonFed Bancorp, Inc. 100 3 * Virage, Inc. 3,136 3 * NetManage, Inc. 877 3 FFLC Bancorp, Inc. 100 3 Princeton National Bancorp, Inc. 100 3 * Aurora Foods Inc. 7,196 3 Woodhead Industries, Inc. 200 3 * BMC Industries, Inc. 4,603 2 * Creative Host Services, Inc. 1,202 2 Home Federal Bancorp 100 2 * Aastrom Biosciences, Inc. 2,400 2 * Universal Access Global Holdings Inc. 5,737 2 39 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * eLoyalty Corp. 614 $ 2 * Beta Oil & Gas, Inc. 1,800 2 * Alpine Group, Inc. 3,009 2 * Adept Technology, Inc. 5,403 2 * Equinix, Inc. 302 2 * Duratek, Inc. 300 2 Boykin Lodging Co. REIT 300 2 * Electroglas, Inc. 1,784 2 * American Superconductor Corp. 400 2 * Pacific Premier Bancorp, Inc. 305 2 * Micro Linear Corp. 800 2 Lawson Products, Inc. 84 2 * DT Industries, Inc. 1,000 2 * Northfield Laboratories, Inc. 300 2 * Cortex Pharmaceuticals, Inc. 1,300 2 * Century Casinos, Inc. 1,000 2 * Penton Media, Inc. Class A 3,790 2 * Ista Pharmaceuticals Inc. 398 2 * GoAmerica, Inc. 6,305 2 * Interpharm Holdings, Inc. 739 2 * Storage Computer Corp. 2,856 2 * Baker (Michael) Corp. 200 2 * Hall, Kinion & Associates, Inc. 775 2 * HEI, Inc. 700 2 * eMerge Interactive, Inc. 2,734 2 * Avigen, Inc. 604 2 * Versar Inc. 800 2 * SIGA Technologies, Inc. 1,265 2 * Miller Industries, Inc. 609 2 * Quantum Fuel Systems Technologies Worldwide, Inc. 921 2 * Plumtree Software, Inc. 500 2 * eGain Communications Corp. 4,361 2 * MTI Technology Corp. 2,045 2 * Nutrition 21 Inc. 4,377 2 * Perficient, Inc. 1,810 2 * Axeda Systems Inc. 1,400 2 * Fresh Choice, Inc. 1,092 2 * Primus Knowledge Solutions, Inc. 1,489 2 * Media 100 Inc. 1,614 2 * U.S. Concrete, Inc. 500 2 * Tripath Technology Inc. 2,491 2 * Hanover Direct, Inc. 6,816 2 * First Advantage Corp. Class A 114 2 * ACT Teleconferencing, Inc. 1,000 2 * IntraBiotics Pharmaceuticals, Inc. 470 2 * American Access Technologies Inc. 1,753 2 * Gallery of History, Inc. 466 2 Craftmade International, Inc. 100 2 * Impreso, Inc. 800 2 Click Commerce, Inc. 1,239 2 * A.T. Cross Co. Class A 300 2 * Ezenia!, Inc. 2,547 2 * DSL.Net, Inc. 3,371 2 * SciQuest, Inc. 446 2 * LightPath Technologies, Inc. Class A 568 2 * Versant Corp. 2,795 2 * Rainbow Rentals, Inc. 300 2 * Optika Inc. 1,104 2 Butler Manufacturing Co. 100 2 * Webco Industries, Inc. 577 2 * Redhook Ale Brewery, Inc. 825 2 * 24/7 Real Media, Inc. 1,898 2 * Exponent, Inc. 100 2 * Lynx Therapeutics, Inc. 408 2 * Nonophase Technologies Corp. 300 2 * New Century Equity Holdings Corp. 4,609 2 * i3 Mobile, Inc. 3,164 2 * FirePond, Inc. 471 2 * MIPS Technologies, Inc. Class B 600 1 NASB Financial Inc. 51 1 * Ampex Corp. Class A 437 1 * Versata, Inc. 832 1 * Larscom Inc. 284 1 * Waste Industries USA, Inc. 200 1 * Nanometrics Inc. 200 1 * Badger Paper Mills, Inc. 238 1 * Flanders Corp. 500 1 * Team, Inc. 173 1 * Multilink Technology Corp. Class A 500 1 United Financial Corp. 50 1 * Applied Graphics Technologies, Inc. 1,618 1 * Verticalnet, Inc. 850 1 * Procom Technology, Inc. 4,375 1 * Pemstar Inc. 300 1 * Zonagen, Inc. 743 1 The First Years Inc. 100 1 * Rocky Mountain Chocolate Factory, Inc. 152 1 * UQM Technologies, Inc. 400 1 * eXegenics Inc. 2,293 1 * Insightful Corp. 884 1 * SatCon Technology Corp. 1,860 1 * Rohn Industries Inc. 8,081 1 * InsWeb Corp. 237 1 * HealthAxis, Inc. 2,253 1 HEICO Corp. Class A 122 1 * Pfsweb Inc. 1,689 1 * Astea International, Inc. 1,652 1 * Five Star Quality Care, Inc. 668 1 * Geerlings & Wade Inc. 764 1 * Paradigm Medical Industries, Inc. 3,300 1 * Touch America Holdings, Inc. 14,857 1 * ZEVEX International, Inc. 306 1 40 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * WorldGate Communications, Inc. 2,858 $ 1 Liquid Audio, Inc. 2,723 1 * Andrea Radio Corp. 3,118 1 * Omtool, Ltd. 298 1 * COMFORCE Corp. 2,081 1 * Amtech Systems, Inc. 269 1 * Wilshire Enterprises, Inc. 190 1 Acadia Realty Trust REIT 100 1 * Precision Optics Corporation, Inc. 391 1 * Epimmune Inc. 643 1 * Serrento Networks Corp. 335 1 * Pac-West Telecom, Inc. 1,175 1 * Advanced Environmental Recycling Technologies, Inc. 600 1 * Hoenig Group, Inc. Contingent Value Rights 3,670 1 * NaviSite, Inc. 293 1 * Rainmaker Systems, Inc. 992 1 * CenterSpan Communications Corp. 5,802 1 * SEEC, Inc. 550 1 * General Bearing Corp. 196 1 * Mayor's Jeweler's, Inc. 2,977 1 * Headway Corporate Resources, Inc. 3,808 1 * JLM Industries, Inc. 495 1 * Valentis, Inc. 165 1 Pittsburgh & West Virginia Railroad REIT 73 1 * Magellan Petroleum Corp. 534 1 * Onvia.com, Inc. 174 1 * Allegiance Telecom, Inc. 11,104 1 * Internet Pictures Corp. 143 1 * Continucare Corp. 1,581 1 * Artisoft, Inc. 366 1 * Adams Golf, Inc. 1,734 1 Cornerstone Realty Income Trust, Inc. REIT 78 1 * Vornado Operating Inc. REIT 837 1 * GraphOn Corp. 2,730 1 * Abraxas Petroleum Corp. 500 1 * Navidec, Inc. 182 1 * Cardinal Financial Corp. 78 1 * Deltagen, Inc. 3,858 1 * Magnum Hunter Resources Inc. Warrants Exp. 3/21/2005 1,391 1 * Novatel Wireless, Inc. 231 1 * WHX Corp. 222 -- * Innovative Medical Services 571 -- * Allied Motion Technologies, Inc. 301 -- * Sagent Technology, Inc. 2,564 -- * Harken Energy Corp. 983 -- * Major Automotive Cos. Inc. 435 -- * Cross Media Marketing Corp. 1,448 -- * VCampus Corp. 142 -- * NexPrise, Inc. 106 -- * Visual Data Corp. 139 -- * DA Consulting Group, Inc. 2,549 -- * Auspex Systems, Inc. 5,847 -- * ARTISTdirect, Inc. 515 -- * Read-Rite Corp. 2,839 -- * Advanced Lighting Technologies, Inc. 2,123 -- * Cogent Communications Group, Inc. 65 -- * Daisytek International Corp. 1,623 -- * EasyLink Services Corp. 148 -- * MSCi, Inc. 1,937 -- * P-Com, Inc. 853 -- * Sheffield Pharmaceuticals, Inc. 2,789 -- * Chart Industries, Inc. 300 -- * NTELOS Inc. 3,186 -- * Divine, Inc. 1,472 -- * FiberNet Telecom Group, Inc. 10 -- * Network-1 Security Solutions, Inc. 975 -- * Pinnacle Holdings Inc. REIT 2,023 -- * Evolve Software, Inc. 30 -- - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $1,034,930) $ 930,548 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.1%)(1) - -------------------------------------------------------------------------------- Federal National Mortgage Assn. (2) 1.168%, 7/2/2003 $ 1,000 1,000 Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.16%, 7/1/2003 7,215 7,215 1.16%, 7/1/2003--Note E 2,357 2,357 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $10,572) 10,572 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.0%) (Cost $1,045,502) 941,120 - -------------------------------------------------------------------------------- 41 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND (000) - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES - -------------------------------------------------------------------------------- Other Assets 2,675 Liabilities--Note E (3,292) --------------- (617) --------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 940,503 ================================================================================ *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 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. - -------------------------------------------------------------------------------- AT JUNE 30, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 1,195,065 Undistributed Net Investment Income 705 Accumulated Net Realized Losses (150,543) Unrealized Depreciation Investment Securities (104,382) Futures Contracts (342) - -------------------------------------------------------------------------------- NET ASSETS $ 940,503 ================================================================================ Institutional Shares--Net Assets Applicable to 13,412,665 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 270,600 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 20.17 ================================================================================ Institutional Plus Shares--Net Assets Applicable to 33,203,005 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 669,903 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL PLUS SHARES $ 20.18 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 42 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. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND SIX MONTHS ENDED JUNE 30, 2003 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 7,731 Interest 38 Security Lending 41 - -------------------------------------------------------------------------------- Total Income 7,810 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Management and Administrative Institutional Shares 73 Institutional Plus Shares 84 - -------------------------------------------------------------------------------- Total Expenses 157 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 7,653 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (30,214) Futures Contracts 636 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (29,578) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 137,586 Futures Contracts (132) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 137,454 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 115,529 ================================================================================ 43 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. - -------------------------------------------------------------------------------- INSTITUTIONAL 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 $ 7,653 $ 18,195 Realized Net Gain (Loss) (29,578) (110,317) Change in Unrealized Appreciation (Depreciation) 137,454 (212,323) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 115,529 (304,445) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Institutional Shares (1,863) (4,572) Institutional Plus Shares (5,062) (13,622) Realized Capital Gain Institutional Shares -- -- Institutional Plus Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (6,925) (18,194) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Institutional Shares (2,793) (36,344) Institutional Plus Shares (90,423) (263,357) - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (93,216) (299,701) - -------------------------------------------------------------------------------- Total Increase (Decrease) 15,388 (622,340) - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 925,115 1,547,455 - -------------------------------------------------------------------------------- End of Period $ 940,503 $ 925,115 ================================================================================ 44 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.
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES - --------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED AUG. 31* TO ENDED DEC. 31, DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 - --------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 18.00 $ 23.10 $ 22.72 - --------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .16 .32 .098 Net Realized and Unrealized Gain (Loss) on Investments 2.15 (5.10) .421 - --------------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.31 (4.78) .519 - --------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.14) (.32) (.139) Distributions from Realized Capital Gains -- -- -- - --------------------------------------------------------------------------------------------------------------- Total Distributions (.14) (.32) (.139) - --------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 20.17 $ 18.00 $ 23.10 =============================================================================================================== TOTAL RETURN 12.88% -20.77% 2.33% =============================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 271 $ 245 $ 358 Ratio of Total Expenses to Average Net Assets 0.06%** 0.06% 0.06%** Ratio of Net Investment Income to Average Net Assets 1.64%** 1.45% 1.33%** Portfolio Turnover Rate 6% 9% 15% =============================================================================================================== *Inception. **Annualized.
45 FINANCIAL HIGHLIGHTS (CONTINUED)
INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL PLUS SHARES - --------------------------------------------------------------------------------------------------------------- SIX MONTHS YEAR ENDED MAY 31* TO ENDED DEC. 31, DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD JUNE 30, 2003 2002 2001 - --------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 18.00 $ 23.10 $ 25.00 - --------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .173 .327 .151 Net Realized and Unrealized Gain (Loss) on Investments 2.150 (5.100) (1.900) - --------------------------------------------------------------------------------------------------------------- Total from Investment Operations 2.323 (4.773) (1.749) - --------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.143) (.327) (.151) Distributions from Realized Capital Gains -- -- -- - --------------------------------------------------------------------------------------------------------------- Total Distributions (.143) (.327) (.151) - --------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 20.18 $ 18.00 $ 23.10 =============================================================================================================== TOTAL RETURN 12.96% -20.74% -6.96% =============================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 670 $ 680 $ 1,189 Ratio of Total Expenses to Average Net Assets 0.025%** 0.025% 0.025%** Ratio of Net Investment Income to Average Net Assets 1.68%** 1.48% 1.36%** Portfolio Turnover Rate 6%** 9% 15% =============================================================================================================== *Inception. **Annualized.
See accompanying Notes, which are an integral part of the Financial Statements. 46 NOTES TO FINANCIAL STATEMENTS Vanguard Institutional Total Stock Market 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, Institutional Shares and Institutional Plus Shares, to investors who invest minimum amounts of $200 million and $500 million, respectively. 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 (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, S&P MidCap 400 Index, and Russell 2000 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard Group, transfers uninvested cash balances into 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. Class-specific 47 NOTES TO FINANCIAL STATEMENTS (CONTINUED) shareholder servicing fees are charged to each class at the contractual rate. Income, expenses not attributable to a specific class, 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 provides investment advisory, corporate management, administrative, marketing, and distribution services and pays for all other operating expenses, except for taxes, in return for a fee calculated at an annual percentage rate of the average net assets of the fund, or, for shareholder services, each class of shares. The fund's trustees and officers are also directors and officers of Vanguard. C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. 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 $120,345,000 to offset future net capital gains of $4,981,000 through December 31, 2009, $99,393,000 through December 31, 2010, and $15,971,000 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 depreciation of investment securities for tax purposes was $104,382,000, consisting of unrealized gains of $80,568,000 on securities that had risen in value since their purchase and $184,950,000 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 32 $7,786 $(304) S&P MidCap 400 Index 3 720 (18) Russell 2000 Index 4 897 (20) - -------------------------------------------------------------------------------- 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 $26,732,000 of investment securities and sold $120,893,000 of investment securities, other than temporary cash investments. E. The market value of securities on loan to broker/dealers at June 30, 2003, was $1,837,000, for which the fund held cash collateral of $2,357,000. 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. 48 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) - -------------------------------------------------------------------------------- INSTITUTIONAL SHARES Issued $ 24,589 1,300 $ 35,745 1,787 Issued in Lieu of Cash Distributions 1,863 98 4,572 238 Redeemed (29,245) (1,606) (76,661) (3,919) -------------------------------------------------- Net Increase (Decrease)-- Institutional Shares (2,793) (208) (36,344) (1,894) -------------------------------------------------- Institutional Plus Shares Issued 760 41 56,247 3,294 Issued in Lieu of Cash Distributions 1,018 54 2,538 131 Redeemed (92,201) (4,661) (322,142) (17,132) -------------------------------------------------- Net Increase (Decrease)-- Institutional Plus Shares (90,423) (4,566) (263,357) (13,707) ================================================================================ 49 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! 50 CAPITALIZE ON YOUR IRA Are you taking full advantage of your individual retirement account? You really should be. The contribution limits on IRAs were recently raised, making these tax-deferred accounts more powerful options for retirement savers. Here's how you can exploit your IRA--and improve your chances of having the retirement of your dreams. * CONTRIBUTE THE MAXIMUM AMOUNT EACH YEAR. It may be an obvious point, but if you invest as much in your IRA as the law allows--currently $3,000 per tax year if you are under age 50 and $3,500 if you are age 50 or over--you will increase the odds of meeting your retirement goals. "Max out" every year you can. * MAKE IT AUTOMATIC. Put your IRA on autopilot by taking advantage of Vanguard's Automatic Investment Plan. Your IRA contributions will be deducted from your bank account on a schedule of your choosing, making retirement investing a healthy habit. * CONSIDER COST. The owners of low-cost investments keep a larger portion of their gross returns than the owners of high-cost investments. Over the long term, avoiding costlier mutual funds and brokerage commissions could significantly boost your retirement savings. Our low costs are one reason a Vanguard IRA(R) is such a smart choice. * REQUEST A DIRECT ROLLOVER WHEN YOU CHANGE JOBS. Don't spend your retirement assets before you've retired. When you change jobs, roll your 401(k) or other employer-sponsored retirement plan assets directly into your IRA. If you have questions about your IRA, want to transfer an IRA from another institution to Vanguard, or need help with any other IRA transaction, call our Retirement Resource Center at 1-800-205-6189 or visit Vanguard.com. You can open or fund your IRA on our website, and have a confirmation in your hand within minutes. THE VANGUARD(R) FAMILY OF FUNDS STOCK FUNDS 500 Index Fund Calvert Social Index Fund Capital Opportunity Fund Capital Value Fund Convertible Securities Fund Developed Markets Index Fund Dividend Growth Fund Emerging Markets Stock Index Fund Energy Fund Equity Income Fund European Stock Index Fund Explorer(TM) Fund Extended Market Index Fund Global Equity Fund Growth and Income Fund Growth Equity Fund Growth Index Fund Health Care Fund Institutional Developed Markets Index Fund Institutional Index Fund Institutional Total Stock Market Index Fund International Explorer(TM) Fund International Growth Fund International Value Fund Mid-Cap Growth Fund Mid-Cap Index Fund Morgan(TM) Growth Fund Pacific Stock Index Fund Precious Metals Fund PRIMECAP Fund REIT Index Fund Selected Value Fund Small-Cap Growth Index Fund Small-Cap Index Fund Small-Cap Value Index Fund Strategic Equity Fund Tax-Managed Capital Appreciation Fund Tax-Managed Growth and Income Fund Tax-Managed International Fund Tax-Managed Small-Cap Fund Total International Stock Index Fund Total Stock Market Index Fund U.S. Growth Fund U.S. Value Fund Value Index Fund Windsor(TM) Fund Windsor(TM) II Fund BALANCED FUNDS Asset Allocation Fund Balanced Index Fund LifeStrategy(R) Conservative Growth Fund LifeStrategy(R) Growth Fund LifeStrategy(R) Income Fund LifeStrategy(R) Moderate Growth Fund STAR(R) Fund Tax-Managed Balanced Fund Wellesley(R) Income Fund Wellington(TM) Fund BOND FUNDS GNMA Fund High-Yield Corporate Fund High-Yield Tax-Exempt Fund Inflation-Protected Securities Fund Institutional Total Bond Market Index Fund Insured Long-Term Tax-Exempt Fund Intermediate-Term Bond Index Fund Intermediate-Term Corporate Fund Intermediate-Term Tax-Exempt Fund Intermediate-Term Treasury Fund Limited-Term Tax-Exempt Fund Long-Term Bond Index Fund Long-Term Corporate Fund Long-Term Tax-Exempt Fund Long-Term Treasury Fund Short-Term Bond Index Fund Short-Term Corporate Fund Short-Term Federal Fund Short-Term Tax-Exempt Fund Short-Term Treasury Fund State Tax-Exempt Bond Funds (California, Florida, Massachusetts, New Jersey, New York, Ohio, Pennsylvania) Total Bond Market Index Fund MONEY MARKET FUNDS Admiral(TM) Treasury Money Market Fund Federal Money Market Fund Prime Money Market Fund State Tax-Exempt Money Market Funds (California, New Jersey, New York, Ohio, Pennsylvania) Tax-Exempt Money Market Fund Treasury Money Market Fund VARIABLE ANNUITY Balanced Portfolio Capital Growth Portfolio Diversified Value Portfolio Equity Income Portfolio Equity Index Portfolio Growth Portfolio High Yield Bond Portfolio International Portfolio Mid-Cap Index Portfolio Money Market Portfolio REIT Index Portfolio Short-Term Corporate Portfolio Small Company Growth Portfolio Total Bond Market Index Portfolio Total Stock Market Index Portfolio For information about Vanguard funds and annuities, including charges and expenses, obtain a prospectus from The Vanguard Group, P.O. Box 2600, Valley Forge, PA 19482-2600. Read it carefully before you invest or send money. THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard(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. [PICTURE OF SHIP] THE VANGUARD GROUP (R) POST OFFICE BOX 2600 VALLEY FORGE, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Vanguard IRA, Admiral, Consolidated View, Explorer, Morgan, LifeStrategy, PlainTalk, STAR, Wellesley, Wellington, Windsor, and the ship logo are trademarks of The Vanguard Group, Inc. 500 is a trademark of The McGraw-Hill Companies, Inc., and has 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. Calvert Social Index is a trademark of Calvert Group, Ltd., and has been licensed for use by The Vanguard Group, Inc. Vanguard Calvert Social Index Fund is not sponsored, endorsed, sold, or promoted by Calvert Group, Ltd., and Calvert Group, Ltd., makes no representation regarding the advisability of investing in the fund. All other marks are the exclusive property of their respective owners. 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. Q8712 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 INSTITUTIONAL 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 INSTITUTIONAL INDEX FUNDS BY: (signature) ---------------------------------------- (HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER Date: : August 18, 2003 VANGUARD INSTITUTIONAL 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 2 cert302.txt INSTITUTIONAL INDEX FUNDS CERTIFICATION 302 CERTIFICATIONS I, John J. Brennan, certify that: 1. I have reviewed this report on Form N-CSR of Vanguard Institutional 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 Institutional 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 3 cert906.txt INSTITUTIONAL 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 Institutional 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 Institutional 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-----