-----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, HFkO8Jvem6VpQYJWTssl+lIB8VcuC0OiVG8PXzrPVwKBeHrKcAZFdyOcZv0S8vDH +tx9EDStNg14e6RoD+HCNQ== 0000932471-04-000396.txt : 20040227 0000932471-04-000396.hdr.sgml : 20040227 20040227103001 ACCESSION NUMBER: 0000932471-04-000396 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20031231 FILED AS OF DATE: 20040227 EFFECTIVENESS DATE: 20040227 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: 04632874 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 viifncsr.txt VANGUARD INSTITUTIONAL INDEX FUND N-CSR 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: 33-34494 Name of Registrant: VANGUARD INSTITUTIONAL INDEX FUND Address of Registrant: P.O. BOX 2600, VALLEY FORGE, PA 19482 Name and address of agent for service: R. GREGORY BARTON 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 - December 31, 2003 ITEM 1: Reports to Shareholders VANGUARD(R) INSTITUTIONAL INDEX FUND DECEMBER 31, 2003 Annual Report [Cover Art] The Vanguard Group(R) HOW TO READ YOUR FUND REPORT This report contains information that can help you evaluate your investment. It includes details about your fund's return and presents data and analysis that provide insight into the fund's performance and investment approach. By reading the letter from Vanguard's chairman, you'll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund's performance and characteristics stack up against those of similar funds and market benchmarks. It's important to keep in mind that the opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus. Frequent updates on the fund's performance and information about some of its holdings are available on Vanguard.com(R). CONTENTS 1 LETTER FROM THE CHAIRMAN 7 FUND PROFILE 8 GLOSSARY OF INVESTMENT TERMS 9 PERFORMANCE SUMMARY 10 YOUR FUND'S AFTER-TAX RETURNS 11 FINANCIAL STATEMENTS SUMMARY * Vanguard Institutional Index Fund returned 28.7% in 2003, which matched the return of its target benchmark. * Every major stock sector advanced, helping the fund to record its best year since 1998. * Technology stocks led the way with a 45.5% gain. LETTER FROM THE CHAIRMAN Dear Shareholder, Both share classes of Vanguard Institutional Index Fund returned 28.7% in 2003, as U.S. stocks rebounded sharply after a three-year bear market. [PHOTOS--John J. Brennan] - --------------------------------------------------- 2003 TOTAL RETURNS FISCAL YEAR ENDED DECEMBER 31 - --------------------------------------------------- VANGUARD INSTITUTIONAL INDEX FUND Institutional Shares 28.7% Institutional Plus Shares 28.7 S&P 500 Index 28.7 Average Large-Cap Core Fund* 25.6 - --------------------------------------------------- *Derived from data provided by Lipper Inc. Your fund's returns matched the 28.7% return of the fund's benchmark, the Standard & Poor's 500 Index, and surpassed the 25.6% average return of its peer fund group. The adjacent table provides the total returns for your fund (both the Institutional Shares and the Institutional Plus Shares) and its comparative measures. The per-share components of the fund's total returns--starting and ending net asset values, as well as income distributions--are presented in a table on page 6. STOCKS LEAPED AHEAD AFTER YEARS OF DECLINE Three straight years of stock market declines ended in a spectacular fashion in 2003. The broad U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned 31.6% for the 12 months. The start of combat operations in Iraq in mid-March and the subsequent quick end to that phase of the engagement relieved months of anticipation and uncertainty that had cast a pall over the financial markets. Other factors also contributed to investors' optimism: the Federal Reserve Board's cutting short-term interest rates to a 45-year low; a falling U.S. dollar, which aided businesses dependent on exports and profits from operations overseas; mortgage rates' hitting four-decade lows, which spurred further home-buying and freed up cash through 1 refinancing; tax cuts and refunds to consumers who were more than willing to spend the windfall; a spike in spending by businesses to replenish inventories and equipment; and the economy's strong growth, which reached an annual rate of 8.2% in the third quarter. The rebound was impressive across all stock market segments and industry sectors. By most gauges of performance, growth and value stocks--whose prices reflect either a premium or a discount relative to company earnings, book value, or other measures--provided similar returns. However, as a group small-capitalization stocks outpaced large-caps by a substantial margin, with the small-cap Russell 2000 Index outperforming the mid-to-large-cap Russell 1000 Index by 17.4 percentage points. Among sectors, technology stocks--the group that contributed the most to both the bull market of the late 1990s and the subsequent bear market--made the largest gains. Meanwhile, overseas markets--particularly emerging markets--posted results that surpassed those in the United States. For U.S.-based investors, the falling dollar augmented returns from securities denominated in most other currencies. "JUNK" REIGNED SUPREME, AND YIELDS HIT NEW LOWS Investors' renewed appetite for risk was evident not just in the equity markets, but on the fixed income side as well. Bonds from companies with below-investment-grade credit ratings (popularly known as "junk" bonds) surged 29.0% during the 12 months, as measured by the Lehman Brothers High Yield Bond Index. - -------------------------------------------------------------------------------- Market Barometer Average Annual Total Returns Periods Ended December 31, 2003 ----------------------------------- One Three Five Year Years Years - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1% Russell 2000 Index (Small-caps) 47.3 6.3 7.1 Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4 MSCI All Country World Index Free ex USA (International) 41.4 -1.0 1.5 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 4.1% 7.6% 6.6% (Broad taxable market) Lehman Municipal Bond Index 5.3 6.7 5.8 Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5 ================================================================================ CPI Consumer Price Index 1.9% 1.9% 2.4% - -------------------------------------------------------------------------------- At the other extreme of the credit-quality spectrum, U.S. Treasury securities at first seemed poised for a fourth straight year of outstanding gains. By June, the rising price of the 10-year Treasury note drove its yield down to just above 3%--a 2 level not seen since Dwight D. Eisenhower occupied the Oval Office. However, the prices of Treasuries fell subsequently, and by year-end the 10-year note's yield stood at 4.25%, up 44 basis points (0.44 percentage point) from the beginning of the year. Treasuries' total returns (which include interest income) for the full 12 months were still in positive territory, but barely so. Mortgage-backed securities did only marginally better, while investment-grade corporate bonds--particularly those with longer maturities--posted solid returns. The Lehman Aggregate Bond Index, the benchmark for the broad U.S. investment-grade taxable bond market, earned 4.1%. As mentioned earlier, short-term interest rates also hit historical lows during the year. On top of rate cuts made in previous years to bolster the economy, the Fed slashed the target federal funds rate in June by 25 basis points to 1.00%. The yield of the 3-month Treasury bill, a proxy for money market rates, ended the year at 0.92%, 27 basis points lower than at the start of 2003. AFTER A SLOW START, THE FUND SURGED IN THE SPRING Vanguard Institutional Index Fund--like the S&P 500 itself--began the year with a small step backward. At the end of the first quarter, the fund's Institutional Shares had a return of -3.2%, continuing the negative pattern that had dominated the market since early 2000. However, once investor sentiment turned positive beginning in late March, stocks scarcely looked back for the rest of the year. The fund's Institutional Shares posted consecutive quarterly gains of 15.4%, 2.6%, and 12.2% to close 2003 with a one-year total return (including reinvested distributions) of 28.7%, the best performance since a 28.8% advance in 1998. - -------------------------------------------------------------------------------- The fund's gains were broadly based, reflecting strength in all corners of the market. - -------------------------------------------------------------------------------- Every S&P 500 sector advanced approximately 15% or more. Technology stocks, the index's second-largest group, led the way with a 45.5% gain as investors anticipated a boost in sales of tech equipment and services. Both financial services and consumer discretionary stocks in the fund posted gains of about 30% as optimism spread that the U.S. economy was recovering after several years of treading water. Materials & processing stocks, a relatively small sector, more than carried their weight with a 37.1% gain. So did the multisector companies in 3 the "other" category. These 11 stocks--which include General Electric, 3M, and Tyco--jumped 36%. A few sectors underperformed the broad market but still posted healthy gains. Consistent with their history of providing more modest returns during bull markets, consumer staples (up 17.8%) and utilities (up 16.2%) trailed the parade. Health care companies (up 14.9%) also lagged the market. A STURDY RECORD OF OUTPERFORMANCE For investors in Vanguard Institutional Index Fund, the ups and downs of recent years have been dizzying to say the least. But the fund's long-term performance continues to prove the merits of index investing. As shown in the adjacent table, the Institutional Shares' ten-year annualized return of 11.1% a year is 2.2 percentage points higher than that provided by funds investing in the same market segment--the vast majority of which are actively managed. The cumulative effect of this outperformance is illustrated by the hypothetical balances in the right-hand column. - -------------------------------------------------------------------------------- TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2003 - -------------------------------------------------------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - -------------------------------------------------------------------------------- Institutional Index Fund Institutional Shares 11.1% $28,720,067 S&P 500 Index 11.1 28,562,712 Average Large-Cap Core Fund 8.9 23,353,217 - -------------------------------------------------------------------------------- JULY 7, 1997* THROUGH DECEMBER 31, 2003 - -------------------------------------------------------------------------------- AVERAGE FINAL VALUE OF A ANNUAL $200,000,000 RETURN INITIAL INVESTMENT - -------------------------------------------------------------------------------- Institutional Index Fund Institutional Plus Shares 4.7% $269,856,390 S&P 500 Index 4.6 268,064,741 Average Large-Cap Core Fund 3.2 245,997,296 - -------------------------------------------------------------------------------- *Share-class inception. The fund's competitive advantages, which include broad diversification and low turnover, are difficult for our competitors to overcome because they, on average, have to bear far higher operating expenses in trying to beat the market. As the table above shows, clients who invested $10 million in the fund's Institutional Shares over the past ten years would have received nearly $5.4 million more in returns than institutions invested in a fund posting the average returns for the industry. While we believe that actively managed funds--especially those with stable management, consistently executed strategies, and low costs--have a place in many portfolios, the success of Vanguard Institutional Index Fund is powerful evidence that a diversified, low-cost index fund is an ideal long-term investment for any 4 organization that places a high priority on fiduciary responsibility as it seeks to fulfill its mission. It's worth noting that, when it comes to tracking an index, your fund's advisor, Vanguard's Quantitative Equity Group, has provided consistently stellar results. An index is a theoretical portfolio that incurs no investment expenses, making it a tough bogie to hit. Yet thanks to our proprietary tracking techniques, the Institutional Index Fund slightly outperformed the S&P 500 Index over the ten-year period, despite the fund's real-world expenses. KEEPING AN EVEN KEEL IN GOOD TIMES AND BAD Although we were as pleased as anyone that the bulls returned in 2003, we always urge our shareholders to look beyond short-term trends and to focus instead on long-term performance, which varies much less than the market's year-to-year gyrations. For example, our report to you last year showed that Vanguard Institutional Index Fund, even after three consecutive years of decline, had a ten-year annualized return of 9.4%, not far from the market's annualized return over the past 75 years of approximately 10%. Clearly, time is the ally of patient investors. Even if the stocks contained in the S&P 500--and therefore owned by the Institutional Index Fund--should reverse course in 2004 and post disappointing results, a buy-and-hold approach will remain the best way for stock investors to seek long-term growth of capital. And the Institutional Index Fund will remain one of the best ways to invest in U.S. stocks, because it encompasses the bulk of the market's capitalization. Of course, successful investing typically requires holding more than one asset class. We hope that no matter what the stock and bond markets do in the short run, your institution will maintain a steady and well-diversified mix of stocks, bonds, and short-term reserves tailored to your organization's circumstances and goals. This kind of balanced, low-cost approach remains a proven way to meet long-term goals-- and Vanguard offers a full range of funds to help you execute this strategy successfully. Staying the course is easier if you trust the company that manages your money. In light of the disturbing reports of late trading and market-timing at some competing investment management firms, I want to 5 assure you that Vanguard has policies and procedures in place to identify and deter such behavior. More important, Vanguard shareholders are served by a crew of the highest integrity, and our client-owned corporate structure aligns our day-to-day efforts with your long-term financial goals. Thank you for your continued confidence in Vanguard. Sincerely, /S/JOHN J. BRENNAN John J. Brennan CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 12, 2004 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003 DISTRIBUTIONS PER SHARE ----------------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- Institutional Index Fund Institutional Shares $80.45 $101.78 $1.530 $0.000 Institutional Plus Shares 80.45 101.78 1.552 0.000 - -------------------------------------------------------------------------------- 6 - -------------------------------------------------------------------------------- FUND PROFILE AS OF 12/31/2003 This Profile provides a snapshot of the fund's characteristics, compared where appropriate with its unmanaged target index. Key terms are defined on page 8. - -------------------------------------------------------------------------------- INSTITUTIONAL INDEX FUND - ------------------------------------------------ PORTFOLIO CHARACTERISTICS TARGET FUND INDEX* - ------------------------------------------------ Number of Stocks 502 500 Median Market Cap $52.3B $52.3B Price/Earnings Ratio 22.6x 22.6x Price/Book Ratio 3.2x 3.2x Yield 1.6% Institutional Shares 1.6% Institutional Plus Shares 1.6% Return on Equity 21.4% 21.4% Earnings Growth Rate 7.7% 7.7% Foreign Holdings 0.0% 0.0% Turnover Rate 13% -- Expense Ratio -- Institutional Shares 0.05% Institutional Plus Shares 0.025% Short-Term Reserves 0% -- - ------------------------------------------------ - ------------------------------------------------ TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 3.0% (conglomerate) Microsoft Corp. 2.9 (software) ExxonMobil Corp. 2.6 (oil) Pfizer Inc. 2.6 (pharmaceuticals) Citigroup, Inc. 2.4 (banking) Wal-Mart Stores, Inc. 2.2 (retail) Intel Corp. 2.0 (electronics) American International Group, Inc. 1.7 (insurance) Cisco Systems, Inc. 1.6 (computer hardware) International Business Machines Corp. 1.5 (computer hardware) - ------------------------------------------------ Top Ten 22.5% - ------------------------------------------------ The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - ----------------------------------------------------- VOLATILITY MEASURES TARGET FUND INDEX* - ----------------------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - ----------------------------------------------------- - ----------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET FUND INDEX* - ----------------------------------------------------- Auto & Transportation 3% 3% Consumer Discretionary 14 14 Consumer Staples 8 8 Financial Services 22 22 Health Care 13 13 Integrated Oils 4 4 Other Energy 2 2 Materials & Processing 4 4 Producer Durables 4 4 Technology 16 16 Utilities 7 7 Other 3 3 - ----------------------------------------------------- - ------------------------------------ INVESTMENT FOCUS MARKET CAP Large STYLE Blend - ------------------------------------ VISIT OUR WEBSITE AT VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 7 - -------------------------------------------------------------------------------- GLOSSARY OF INVESTMENT TERMS - -------------------------------------------------------------------------------- BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. A fund's beta should be reviewed in conjunction with its R-squared (see definition below). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility. - -------------------------------------------------------------------------------- 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 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 a given 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. - -------------------------------------------------------------------------------- SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be 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 income provided by securities in the index. - -------------------------------------------------------------------------------- 8 - -------------------------------------------------------------------------------- PERFORMANCE SUMMARY AS OF 12/31/2003 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 CUMULATIVE PERFORMANCE DECEMBER 31, 1993-DECEMBER 31, 2003 [MOUNTAIN CHART] - -------------------------------------------------------------------------------- INSTITUTIONAL AVERAGE FISCAL INDEX FUND LARGE-CAP S&P 500 WILSHIRE YEAR INSTITUTIONAL SHARES CORE FUND INDEX 5000 INDEX - -------------------------------------------------------------------------------- 199312 10000000 10000000 10000000 10000000 199403 9619022 9659000 9620769 9627111 199406 9659080 9567000 9661282 9551945 199409 10130762 9977000 10133632 10071017 199412 10130849 9861000 10132048 9993539 199503 11115901 10672229 11118581 10895947 199506 12175790 11583724 12179947 11913160 199509 13145795 12461273 13147895 13001916 199512 13940247 13050047 13939444 13636045 199603 14692623 13741562 14687558 14401917 199606 15348224 14254930 15346796 15036542 199609 15826479 14718010 15821240 15461910 199612 17154678 15727917 17139978 16528416 199703 17610651 15929219 17599410 16635397 199706 20687355 18490070 20671979 19444971 199709 22239884 19882559 22220320 21341883 199712 22877769 20174199 22858438 21700346 199803 26070312 22888695 26047022 24578077 199806 26935530 23482389 26907156 25056895 199809 24263654 20787216 24230679 22042806 199812 29464430 25300463 29391062 26784944 199903 30937559 26564619 30855435 27795874 199906 33112375 28277493 33030208 29965303 199909 31048599 26553589 30967666 27983334 199912 35703417 30955117 35575394 33095286 200003 36511568 32329141 36391107 34358380 200006 35569738 31492644 35424550 32816716 200009 35250381 31280128 35081397 32872507 200012 32508159 28181538 32336475 29489841 200103 28647357 25177935 28502839 25849469 200106 30321959 26573493 30170978 27781834 200109 25867578 22706245 25742430 23363647 200112 28630174 24303759 28493018 26253618 200203 28706521 24707108 28571336 26506137 200206 24857555 21508585 24743472 23164051 200209 20586776 18071900 20468847 19269870 200212 22322079 18594806 22195909 20777185 200303 21618420 18337615 21496862 20135766 200306 24949272 21091318 24805932 23458640 200309 25606401 21841699 25462300 24329077 200312 28720067 23353217 28562712 27351227 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 --------------------------------- FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT - -------------------------------------------------------------------------------- Institutional Index Fund Institutional Shares 28.66% -0.51% 11.13% $28,720,067 Wilshire 5000 Index 31.64 0.42 10.59 27,351,227 S&P 500 Index 28.68 -0.57 11.07 28,562,712 Average Large-Cap Core Fund* 25.59 -1.59 8.85 23,353,217 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FINAL VALUE OF A ONE FIVE SINCE $200,000,000 YEAR YEARS INCEPTION** INVESTMENT - -------------------------------------------------------------------------------- Institutional Index Fund Institutional Plus Shares 28.69% -0.48% 4.73% $269,856,390 Wilshire 5000 Index 31.64 0.42 4.99 274,220,940 S&P 500 Index 28.68 -0.57 4.62 268,064,741 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) DECEMBER 31, 1993-DECEMBER 31, 2003 [BAR CHART] - -------------------------------------------------------------------------------- FISCAL YEAR TOTAL RETURN S&P 500 INDEX - -------------------------------------------------------------------------------- 1994 1.3 1.3 1995 37.6 37.6 1996 23.1 23 1997 33.4 33.4 1998 28.8 28.6 1999 21.2 21 2000 -8.9 -9.1 2001 -11.9 -11.9 2002 -22.0 -22.1 2003 28.7 28.7 - -------------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. **July 7, 1997. Note: See FINANCIAL HIGHLIGHTS tables on pages 20 and 21 for dividend and capital gains information. 9 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect the reduced tax rates on ordinary income (including qualified dividend income) and short-term capital gains that became effective as of January 1, 2003, and on long-term capital gains realized on or after May 6, 2003. Qualified dividend income is for calendar year 2003. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.) The table shows returns for Institutional Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ONE YEAR FIVE YEARS TEN YEARS ---------------------------------- INSTITUTIONAL INDEX FUND INSTITUTIONAL SHARES Returns Before Taxes 28.66% -0.51% 11.13% Returns After Taxes on Distributions 28.34 -1.01 10.28 Returns After Taxes on Distributions and Sale of Fund Shares 18.99 -0.70 9.40 - -------------------------------------------------------------------------------- 10 - -------------------------------------------------------------------------------- AS OF 12/31/2003 FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 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 (99.5%)(1) - -------------------------------------------------------------------------------- General Electric Co. 37,160,266 1,151,225 Microsoft Corp. 40,015,952 1,102,039 ExxonMobil Corp. 24,462,346 1,002,956 Pfizer Inc. 28,243,641 997,848 Citigroup, Inc. 19,091,850 926,718 Wal-Mart Stores, Inc. 16,016,757 849,689 Intel Corp. 24,174,382 778,415 American International Group, Inc. 9,651,865 639,726 * Cisco Systems, Inc. 25,548,741 620,579 International Business Machines Corp. 6,367,143 590,107 Johnson & Johnson 10,984,870 567,478 The Procter & Gamble Co. 4,799,168 479,341 The Coca-Cola Co. 9,072,902 460,450 Bank of America Corp. 5,498,945 442,280 Altria Group, Inc. 7,517,221 409,087 Merck & Co., Inc. 8,234,579 380,438 Wells Fargo & Co. 6,262,177 368,780 Verizon Communications 10,220,348 358,530 ChevronTexaco Corp. 3,956,233 341,779 * Dell Inc. 9,475,980 321,804 SBC Communications Inc. 12,252,666 319,427 United Parcel Service, Inc. 4,160,758 310,185 * Time Warner, Inc. 16,734,736 301,058 Home Depot, Inc. 8,420,509 298,844 PepsiCo, Inc. 6,353,621 296,206 * Amgen, Inc. 4,774,098 295,039 Eli Lilly & Co. 4,155,875 292,283 Viacom Inc. Class B 6,437,849 285,712 J.P. Morgan Chase & Co. 7,551,002 277,348 Fannie Mae 3,596,136 269,926 Abbott Laboratories 5,785,884 269,622 Hewlett-Packard Co. 11,284,783 259,211 * Oracle Corp. 19,343,616 255,336 3M Co. 2,904,896 247,003 * Comcast Corp. Class A 7,398,609 243,192 Morgan Stanley 4,008,374 231,965 American Express Co. 4,760,537 229,601 Wachovia Corp. 4,899,209 228,254 Medtronic, Inc. 4,485,842 218,057 U.S. Bancorp 7,138,272 212,578 Wyeth 4,929,042 209,238 Bristol-Myers Squibb Co. 7,177,295 205,271 Merrill Lynch & Co., Inc. 3,498,560 205,191 Tyco International Ltd. 7,398,588 196,063 BellSouth Corp. 6,839,906 193,569 Bank One Corp. 4,137,446 188,626 Texas Instruments, Inc. 6,404,993 188,179 The Walt Disney Co. 7,569,915 176,606 The Goldman Sachs Group, Inc. 1,752,378 173,012 FleetBoston Financial Corp. 3,902,967 170,365 E.I. du Pont de Nemours & Co. 3,689,088 169,292 11 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- ConocoPhillips Co. 2,519,617 165,211 United Technologies Corp. 1,741,545 165,046 Lowe's Cos., Inc. 2,910,357 161,205 QUALCOMM Inc. 2,961,129 159,694 Anheuser-Busch Cos., Inc. 3,015,451 158,854 * eBay Inc. 2,390,800 154,422 Freddie Mac 2,574,813 150,163 Dow Chemical Co. 3,406,968 141,628 * Applied Materials, Inc. 6,155,354 138,188 Walgreen Co. 3,794,360 138,039 Gillette Co. 3,744,389 137,531 Washington Mutual, Inc. 3,328,449 133,537 The Boeing Co. 3,113,472 131,202 Target Corp. 3,373,344 129,536 UnitedHealth Group Inc. 2,171,202 126,321 Fifth Third Bancorp 2,106,010 124,465 Alcoa Inc. 3,202,746 121,704 Motorola, Inc. 8,615,153 121,215 Schlumberger Ltd. 2,166,773 118,566 MBNA Corp. 4,728,760 117,510 McDonald's Corp. 4,697,266 116,633 * EMC Corp. 8,894,321 114,915 * Nextel Communications, Inc. 4,069,395 114,187 Allstate Corp. 2,603,992 112,024 * Boston Scientific Corp. 3,031,769 111,448 First Data Corp. 2,697,394 110,836 General Motors Corp. 2,075,369 110,825 Kimberly-Clark Corp. 1,867,098 110,327 * Yahoo! Inc. 2,432,816 109,890 Ford Motor Co. 6,776,785 108,429 Caterpillar, Inc. 1,285,200 106,697 Clear Channel Communications, Inc. 2,278,344 106,695 Honeywell International Inc. 3,190,480 106,658 Emerson Electric Co. 1,557,486 100,847 Colgate-Palmolive Co. 1,988,362 99,518 Cardinal Health, Inc. 1,602,351 98,000 Illinois Tool Works, Inc. 1,140,422 95,693 The Bank of New York Co., Inc. 2,863,093 94,826 Metropolitan Life Insurance Co. 2,813,493 94,730 Schering-Plough Corp. 5,438,441 94,574 Marsh & McLennan Cos., Inc. 1,962,487 93,984 Carnival Corp. 2,331,419 92,627 Gannett Co., Inc. 1,003,302 89,454 Sysco Corp. 2,395,191 89,173 Automatic Data Processing, Inc. 2,200,109 87,146 Lockheed Martin Corp. 1,668,764 85,774 * Forest Laboratories, Inc. 1,353,279 83,633 Prudential Financial, Inc. 2,000,456 83,559 * Cendant Corp. 3,750,003 83,513 Southern Co. 2,709,972 81,977 Exelon Corp. 1,210,394 80,322 * AT&T Wireless Services Inc. 10,046,567 80,272 HCA Inc. 1,833,931 78,786 BB&T Corp. 2,023,037 78,170 Newmont Mining Corp. Holding Co. 1,599,120 77,733 Lehman Brothers Holdings, Inc. 1,004,989 77,605 The Gap, Inc. 3,315,563 76,954 International Paper Co. 1,778,276 76,661 Dominion Resources, Inc. 1,200,700 76,641 National City Corp. 2,249,964 76,364 FedEx Corp. 1,104,098 74,527 SunTrust Banks, Inc. 1,042,003 74,503 Guidant Corp. 1,151,056 69,294 Baxter International, Inc. 2,258,808 68,939 Duke Energy Corp. 3,358,883 68,689 AFLAC Inc. 1,898,047 68,671 Progressive Corp. of Ohio 799,457 66,827 NIKE, Inc. Class B 971,329 66,497 General Dynamics Corp. 731,850 66,152 Union Pacific Corp. 944,513 65,625 Northrop Grumman Corp. 677,834 64,801 State Street Corp. 1,237,027 64,424 Waste Management, Inc. 2,155,859 63,813 Sara Lee Corp. 2,925,117 63,504 Travelers Property Casualty Corp. Class B 3,718,997 63,111 * Zimmer Holdings, Inc. 895,051 63,012 * Costco Wholesale Corp. 1,694,256 62,992 SLM Corp. 1,668,644 62,875 Stryker Corp. 738,382 62,770 General Mills, Inc. 1,381,969 62,603 Best Buy Co., Inc. 1,197,807 62,573 Analog Devices, Inc. 1,359,501 62,061 The Hartford Financial Services Group Inc. 1,047,113 61,811 Omnicom Group Inc. 703,317 61,421 Maxim Integrated Products, Inc. 1,216,216 60,568 Occidental Petroleum Corp. 1,425,421 60,210 Tribune Co. 1,155,748 59,637 Charles Schwab Corp. 5,020,941 59,448 AT&T Corp. 2,923,502 59,347 Avon Products, Inc. 875,353 59,078 * Veritas Software Corp. 1,582,598 58,809 12 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Computer Associates International, Inc. 2,143,281 58,597 Golden West Financial Corp. 562,401 58,034 Deere & Co. 888,342 57,787 Kellogg Co. 1,510,583 57,523 * Kohl's Corp. 1,258,527 56,558 PNC Financial Services Group 1,026,247 56,166 Sprint Corp. 3,345,694 54,936 * WellPoint Health Networks Inc. Class A 562,426 54,550 * Sun Microsystems, Inc. 12,090,815 54,288 ALLTEL Corp. 1,155,038 53,802 Harley-Davidson, Inc. 1,121,399 53,300 CVS Corp. 1,461,791 52,800 * Electronic Arts Inc. 1,102,490 52,677 ConAgra Foods, Inc. 1,987,346 52,446 Capital One Financial Corp. 854,751 52,388 Danaher Corp. 568,376 52,148 Weyerhaeuser Co. 813,666 52,075 Paychex, Inc. 1,395,539 51,914 Countrywide Financial Corp. 681,484 51,691 * Agilent Technologies, Inc. 1,759,993 51,462 * Corning, Inc. 4,921,638 51,333 Mellon Financial Corp. 1,592,440 51,133 * The Kroger Co. 2,757,816 51,047 * Staples, Inc. 1,832,641 50,031 The McGraw-Hill Cos., Inc. 709,223 49,589 Devon Energy Corp. 860,761 49,287 * Xilinx, Inc. 1,267,140 49,089 Linear Technology Corp. 1,156,283 48,645 Apache Corp. 599,811 48,645 Entergy Corp. 846,904 48,384 Franklin Resources Corp. 928,974 48,362 * Starbucks Corp. 1,447,533 47,855 * Bed Bath & Beyond, Inc. 1,096,000 47,512 H.J. Heinz Co. 1,302,374 47,445 * Univision Communications Inc. 1,193,674 47,377 Anadarko Petroleum Corp. 928,661 47,371 The Chubb Corp. 695,051 47,333 Southwest Airlines Co. 2,913,629 47,026 Masco Corp. 1,714,296 46,989 Wm. Wrigley Jr. Co. 831,907 46,761 Raytheon Co. 1,540,562 46,278 Praxair, Inc. 1,203,543 45,975 International Game Technology 1,281,430 45,747 KeyCorp 1,551,406 45,487 American Electric Power Co., Inc. 1,462,056 44,607 * Biogen Idec Inc 1,212,555 44,598 FPL Group, Inc. 680,846 44,541 Burlington Northern Santa Fe Corp. 1,374,049 44,450 Air Products & Chemicals, Inc. 841,243 44,443 * Apollo Group, Inc. Class A 652,816 44,391 * Lucent Technologies, Inc. 15,521,264 44,080 Electronic Data Systems Corp. 1,778,030 43,633 Ingersoll-Rand Co. 642,171 43,591 FirstEnergy Corp. 1,220,889 42,975 ACE Ltd. 1,032,940 42,784 Sears, Roebuck & Co. 939,530 42,739 * PG&E Corp. 1,535,204 42,633 Equity Office Properties Trust REIT 1,479,649 42,392 * KLA-Tencor Corp. 720,754 42,287 Halliburton Co. 1,621,434 42,157 TJX Cos., Inc. 1,862,820 41,075 Progress Energy, Inc. 907,128 41,057 * Genzyme Corp.-General Division 829,607 40,933 Burlington Resources, Inc. 735,269 40,719 Campbell Soup Co. 1,518,854 40,705 * Xerox Corp. 2,930,895 40,446 PPG Industries, Inc. 628,947 40,265 SouthTrust Corp. 1,228,143 40,197 John Hancock Financial Services, Inc. 1,070,887 40,158 Baker Hughes, Inc. 1,239,421 39,860 * Chiron Corp. 694,815 39,598 Marriott International, Inc. Class A 855,933 39,544 The Principal Financial Group, Inc. 1,195,415 39,532 * Symantec Corp. 1,140,254 39,510 XL Capital Ltd. Class A 508,117 39,404 * St. Jude Medical, Inc. 638,595 39,178 * Intuit, Inc. 734,751 38,876 Johnson Controls, Inc. 334,334 38,823 Becton, Dickinson & Co. 939,995 38,671 Fortune Brands, Inc. 539,955 38,601 * Anthem, Inc. 511,877 38,391 * Broadcom Corp. 1,120,936 38,213 Aetna Inc. 564,791 38,169 Public Service Enterprise Group, Inc. 870,458 38,126 Marathon Oil Corp. 1,148,387 38,000 The Clorox Co. 781,116 37,931 Northern Trust Corp. 815,657 37,863 * Yum! Brands, Inc. 1,088,749 37,453 * Lexmark International, Inc. 475,581 37,400 Allergan, Inc. 482,828 37,086 Hershey Foods Corp. 481,599 37,078 13 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Coca-Cola Enterprises, Inc. 1,683,722 36,823 PACCAR, Inc. 431,906 36,764 H & R Block, Inc. 659,878 36,537 Archer-Daniels-Midland Co. 2,393,503 36,429 Comerica, Inc. 649,095 36,388 Consolidated Edison Inc. 834,528 35,893 * Safeway, Inc. 1,637,108 35,869 Unocal Corp. 958,498 35,301 Rohm & Haas Co. 824,158 35,200 Pitney Bowes, Inc. 864,649 35,122 McKesson Corp. 1,078,710 34,691 Limited Brands, Inc. 1,912,455 34,482 Biomet, Inc. 946,366 34,457 Norfolk Southern Corp. 1,445,154 34,178 Adobe Systems, Inc. 866,182 34,041 * Medco Health Solutions, Inc. 1,000,526 34,008 Loews Corp. 686,450 33,945 St. Paul Cos., Inc. 844,523 33,485 Moody's Corp. 550,765 33,349 Simon Property Group, Inc. REIT 708,143 32,815 Synovus Financial Corp. 1,116,938 32,302 Marshall & Ilsley Corp. 838,147 32,059 AmSouth Bancorp 1,299,505 31,838 * Altera Corp. 1,401,974 31,825 Cintas Corp. 632,104 31,687 * PeopleSoft, Inc. 1,387,823 31,642 MBIA, Inc. 533,523 31,601 Federated Department Stores, Inc. 669,258 31,542 May Department Stores Co. 1,068,172 31,052 Albertson's, Inc. 1,358,200 30,763 * Computer Sciences Corp. 693,402 30,669 Mattel, Inc. 1,591,180 30,662 Regions Financial Corp. 822,360 30,592 * Micron Technology, Inc. 2,260,091 30,443 Eaton Corp. 281,319 30,377 Equity Residential REIT 1,019,633 30,089 CIGNA Corp. 520,074 29,904 Dover Corp. 749,691 29,800 * SunGard Data Systems, Inc. 1,063,452 29,468 * Comcast Corp. Special Class A 932,053 29,155 Bear Stearns Co., Inc. 362,905 29,014 Georgia Pacific Group 940,688 28,851 Textron, Inc. 503,530 28,731 PPL Corp. 656,364 28,716 * Apple Computer, Inc. 1,341,813 28,675 CSX Corp. 792,214 28,472 Charter One Financial, Inc. 823,317 28,446 TXU Corp. 1,198,846 28,437 * Transocean Inc. 1,184,071 28,430 * Fiserv, Inc. 716,766 28,319 * Qwest Communications International Inc. 6,545,304 28,276 * Quest Diagnostics, Inc. 384,775 28,131 * AutoZone Inc. 328,618 28,002 Monsanto Co. 969,784 27,910 Freeport-McMoRan Copper & Gold, Inc. Class B 659,679 27,792 Aon Corp. 1,159,790 27,765 Ameren Corp. 600,599 27,628 * Tenet Healthcare Corp. 1,718,842 27,587 Ambac Financial Group, Inc. 395,523 27,445 Eastman Kodak Co. 1,059,821 27,206 * American Standard Cos., Inc. 269,574 27,146 * National Semiconductor Corp. 686,209 27,044 Kinder Morgan, Inc. 456,159 26,959 Starwood Hotels & Resorts Worldwide, Inc. 747,967 26,904 Lincoln National Corp. 658,892 26,599 J.C. Penney Co., Inc. (Holding Co.) 1,010,677 26,561 Jefferson-Pilot Corp. 522,135 26,446 * Edison International 1,204,901 26,423 New York Times Co. Class A 551,406 26,352 * Network Appliance, Inc. 1,276,000 26,196 Dollar General Corp. 1,246,373 26,161 Parker Hannifin Corp. 438,973 26,119 Ecolab, Inc. 953,710 26,103 Cinergy Corp. 658,535 25,558 * Concord EFS, Inc. 1,720,083 25,526 * Siebel Systems, Inc. 1,833,855 25,436 ITT Industries, Inc. 341,621 25,352 Sempra Energy 837,465 25,174 * Phelps Dodge Corp. 330,772 25,168 Xcel Energy, Inc. 1,474,952 25,045 Cincinnati Financial Corp. 593,836 24,870 Centex Corp. 229,886 24,747 Rockwell Automation, Inc. 690,135 24,569 Molex, Inc. 703,964 24,561 DTE Energy Co. 622,995 24,546 Tiffany & Co. 542,305 24,512 Constellation Energy Group, Inc. 618,629 24,226 * Sanmina-SCI Corp. 1,914,906 24,147 Hilton Hotels Corp. 1,403,093 24,035 * Interpublic Group of Cos., Inc. 1,534,842 23,944 * Novellus Systems, Inc. 563,929 23,713 The Pepsi Bottling Group, Inc. 971,833 23,499 AmerisourceBergen Corp. 414,246 23,260 * MedImmune Inc. 915,432 23,252 Newell Rubbermaid, Inc. 1,014,780 23,107 14 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Avery Dennison Corp. 408,556 22,887 Family Dollar Stores, Inc. 637,708 22,881 Knight Ridder 295,465 22,860 North Fork Bancorp, Inc. 561,514 22,724 * Nabors Industries, Inc. 542,688 22,522 MeadWestvaco Corp. 741,727 22,066 IMS Health, Inc. 885,641 22,017 Union Planters Corp. 697,343 21,959 UST, Inc. 613,354 21,891 T. Rowe Price Group Inc. 460,513 21,833 * AES Corp. 2,302,805 21,738 KeySpan Corp. 588,300 21,649 * Sprint PCS 3,827,878 21,513 Pulte Homes, Inc. 229,766 21,511 Genuine Parts Co. 643,415 21,361 ProLogis REIT 665,431 21,354 NiSource, Inc. 971,543 21,316 Health Management Associates Class A 886,900 21,286 Delphi Corp. 2,072,077 21,156 * BJ Services Co. 585,443 21,017 Brown-Forman Corp. Class B 224,401 20,970 * Jabil Circuit, Inc. 738,773 20,907 MGIC Investment Corp. 364,461 20,752 Plum Creek Timber Co. Inc. REIT 676,809 20,609 First Tennessee National Corp. 464,009 20,463 Zions Bancorp 332,678 20,403 Harrah's Entertainment, Inc. 408,919 20,352 Cooper Industries, Inc. Class A 345,273 20,002 SAFECO Corp. 512,990 19,971 * Avaya Inc. 1,540,952 19,940 EOG Resources, Inc. 426,047 19,671 Rockwell Collins, Inc. 654,708 19,661 * JDS Uniphase Corp. 5,311,610 19,387 * Office Depot, Inc. 1,158,238 19,354 * Express Scripts Inc. 290,791 19,317 * Advanced Micro Devices, Inc. 1,289,167 19,209 Huntington Bancshares Inc. 847,301 19,064 Torchmark Corp. 418,626 19,064 Williams Cos., Inc. 1,918,197 18,837 Whirlpool Corp. 257,906 18,737 Sherwin-Williams Co. 539,040 18,726 * AutoNation, Inc. 1,017,326 18,688 RadioShack Corp. 606,954 18,621 El Paso Corp. 2,249,313 18,422 * Watson Pharmaceuticals, Inc. 399,637 18,383 * Solectron Corp. 3,091,720 18,272 R.J. Reynolds Tobacco Holdings, Inc. 313,364 18,222 * Unisys Corp. 1,222,013 18,147 * QLogic Corp. 349,739 18,047 * Teradyne, Inc. 707,665 18,010 American Power Conversion Corp. 734,364 17,955 Vulcan Materials Co. 376,470 17,909 * Noble Corp. 494,893 17,707 Amerada Hess Corp. 332,412 17,674 Nordstrom, Inc. 508,332 17,436 CenturyTel, Inc. 533,898 17,416 Kerr-McGee Corp. 373,397 17,359 VF Corp. 400,027 17,297 UnumProvident Corp. 1,094,946 17,267 * Sealed Air Corp. 314,632 17,034 Wendy's International, Inc. 421,799 16,551 Jones Apparel Group, Inc. 467,692 16,477 Nucor Corp. 289,830 16,230 * Mercury Interactive Corp. 332,992 16,197 W.W. Grainger, Inc. 337,268 15,983 Applera Corp.-Applied Biosystems Group 769,136 15,929 * BMC Software, Inc. 837,551 15,620 C.R. Bard, Inc. 191,794 15,583 McCormick & Co., Inc. 513,969 15,470 Leggett & Platt, Inc. 709,703 15,351 Scientific-Atlanta, Inc. 561,619 15,332 * Thermo Electron Corp. 602,746 15,189 Dow Jones & Co., Inc. 301,478 15,029 * Waters Corp. 449,491 14,905 * Allied Waste Industries, Inc. 1,072,094 14,881 * Robert Half International, Inc. 633,881 14,795 Sigma-Aldrich Corp. 256,426 14,662 Janus Capital Group Inc. 890,076 14,606 Sunoco, Inc. 285,457 14,601 * Novell, Inc. 1,381,039 14,529 Symbol Technologies, Inc. 852,051 14,391 Liz Claiborne, Inc. 404,027 14,327 Black & Decker Corp. 287,565 14,183 SuperValu Inc. 495,509 14,167 * NVIDIA Corp. 599,832 13,946 * Pactiv Corp. 582,159 13,914 Engelhard Corp. 463,650 13,886 Hasbro, Inc. 645,272 13,731 Alberto-Culver Co. Class B 217,178 13,700 * King Pharmaceuticals, Inc. 891,849 13,610 * Humana Inc. 595,578 13,609 * NCR Corp. 349,750 13,570 Pinnacle West Capital Corp. 337,609 13,511 United States Steel Corp. 381,957 13,376 * Citizens Communications Co. 1,051,880 13,064 * Tellabs, Inc. 1,541,735 12,997 15 - -------------------------------------------------------------------------------- MARKET VALUE* INSTITUTIONAL INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Goodrich Corp. 434,977 12,914 * PMC Sierra Inc. 639,005 12,876 * Citrix Systems, Inc. 607,019 12,875 Darden Restaurants Inc. 609,259 12,819 R.R. Donnelley & Sons Co. 419,902 12,660 Equifax, Inc. 514,904 12,615 Temple-Inland Inc. 200,589 12,571 * Comverse Technology, Inc. 713,150 12,544 * Providian Financial Corp. 1,072,441 12,483 KB HOME 171,484 12,436 * LSI Logic Corp. 1,401,812 12,434 Ball Corp. 208,364 12,412 Pall Corp. 461,838 12,391 * Navistar International Corp. 253,861 12,157 International Flavors & Fragrances, Inc. 346,002 12,082 Fluor Corp. 303,176 12,018 Apartment Investment & Management Co. Class A REIT 348,132 12,011 Federated Investors, Inc. 401,916 11,800 * CIENA Corp. 1,750,703 11,625 Sabre Holdings Corp. 530,307 11,449 Manor Care, Inc. 329,653 11,396 The Stanley Works 299,416 11,339 Eastman Chemical Co. 286,180 11,313 Ashland, Inc. 253,558 11,172 CenterPoint Energy Inc. 1,132,009 10,969 Brunswick Corp. 338,257 10,767 Boise Cascade Corp. 319,555 10,501 Autodesk, Inc. 413,030 10,152 Dana Corp. 549,104 10,076 Bausch & Lomb, Inc. 193,709 10,054 TECO Energy, Inc. 694,579 10,009 * Toys R Us, Inc. 790,475 9,992 Tektronix, Inc. 312,559 9,877 Bemis Co., Inc. 196,237 9,812 * Convergys Corp. 529,055 9,237 * Monster Worldwide Inc. 417,088 9,159 Meredith Corp. 185,369 9,048 * ADC Telecommunications, Inc. 2,976,503 8,840 * Compuware Corp. 1,419,234 8,572 Reebok International Ltd. 217,710 8,560 Ryder System, Inc. 237,003 8,094 Maytag Corp. 289,963 8,075 * Rowan Cos., Inc. 347,595 8,054 PerkinElmer, Inc. 468,235 7,993 Circuit City Stores, Inc. 773,998 7,841 * Millipore Corp. 180,415 7,767 Deluxe Corp. 186,733 7,718 Cummins Inc. 156,355 7,652 Adolph Coors Co. Class B 134,388 7,539 * Calpine Corp. 1,528,531 7,352 * Louisiana-Pacific Corp. 391,282 6,996 Snap-On Inc. 215,607 6,951 * Applied Micro Circuits Corp. 1,134,048 6,782 Crane Co. 219,419 6,745 * Andrew Corp. 568,167 6,540 * Big Lots Inc. 432,129 6,141 * Allegheny Energy, Inc. 469,665 5,993 * Dynegy, Inc. 1,391,429 5,955 Cooper Tire & Rubber Co. 273,145 5,840 Worthington Industries, Inc. 318,461 5,742 Peoples Energy Corp. 136,038 5,719 NICOR Inc. 162,679 5,538 * Gateway, Inc. 1,197,275 5,507 Delta Air Lines, Inc. 456,646 5,393 * American Greetings Corp. Class A 245,416 5,367 Winn-Dixie Stores, Inc. 523,312 5,207 * The Goodyear Tire & Rubber Co. 647,869 5,092 Great Lakes Chemical Corp. 186,856 5,081 * CMS Energy Corp. 595,385 5,073 Dillard's Inc. 307,806 5,067 Visteon Corp. 482,392 5,022 * Hercules, Inc. 409,802 5,000 Thomas & Betts Corp. 216,097 4,946 Allegheny Technologies Inc. 298,117 3,941 * Parametric Technology Corp. 984,085 3,877 Tupperware Corp. 216,033 3,746 * Power-One, Inc. 306,935 3,324 Viacom Inc. Class A 36,030 1,595 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (COST $34,849,778) 38,064,590 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.5%)(1) - -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.05%, 1/20/2004 $20,000 19,990 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.98%, 1/2/2004 99,126 99,126 0.99%, 1/2/2004--Note E 79,452 79,452 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (COST $198,568) 198,568 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.0%) (COST $35,048,346) 38,263,158 - -------------------------------------------------------------------------------- 16 - -------------------------------------------------------------------------------- MARKET VALUE* (000) - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (0.0%) - -------------------------------------------------------------------------------- Other Assets $ 592,814 Liabilities--Note E (593,034) ------------ (220) ------------ - -------------------------------------------------------------------------------- NET ASSETS (100%) $38,262,938 ================================================================================ *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)Security has been segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $36,856,259 Undistributed Net Investment Income 4,908 Accumulated Net Realized Losses (1,819,524) Unrealized Appreciation Investment Securities 3,214,812 Futures Contracts 6,483 - -------------------------------------------------------------------------------- NET ASSETS $38,262,938 ================================================================================ Institutional Shares--Net Assets Applicable to 289,429,805 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $29,457,524 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $101.78 ================================================================================ Institutional Plus Shares--Net Assets Applicable to 86,514,528 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $8,805,414 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL PLUS SHARES $101.78 ================================================================================ See Note C in NOTES TO FINANCIAL STATEMENTS for the tax-basis components of net assets. 17 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 YEAR ENDED DECEMBER 31, 2003 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 592,882 Interest 2,977 Security Lending 288 - -------------------------------------------------------------------------------- Total Income 596,147 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Management and Administrative Institutional Shares 11,978 Institutional Plus Shares 2,286 - -------------------------------------------------------------------------------- Total Expenses 14,264 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 581,883 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold 1,427,250 Futures Contracts 61,675 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) 1,488,925 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 6,552,118 Futures Contracts 11,886 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 6,564,004 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $8,634,812 ================================================================================ 18 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 ------------------------- YEAR ENDED DECEMBER 31, ------------------------- 2003 2002 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 581,883 $ 511,688 Realized Net Gain (Loss) 1,488,925 (809,110) Change in Unrealized Appreciation (Depreciation) 6,564,004 (8,001,191) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 8,634,812 (8,298,613) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Institutional Shares (422,249) (343,006) Institutional Plus Shares (157,952) (166,485) Realized Capital Gain Institutional Shares -- -- Institutional Plus Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (580,201) (509,491) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE F Institutional Shares 3,213,652 2,043,582 Institutional Plus Shares (2,408,925) 654,816 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 804,727 2,698,398 - -------------------------------------------------------------------------------- Total Increase (Decrease) 8,859,338 (6,109,706) - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 29,403,600 35,513,306 - -------------------------------------------------------------------------------- End of Period $38,262,938 $29,403,600 ================================================================================ 19 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 - ----------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 80.45 $104.89 $120.72 $134.02 $112.85 - ----------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.54 1.42 1.374 1.403 1.501 Net Realized and Unrealized Gain (Loss) on Investments 21.32 (24.45) (15.829) (13.303) 22.143 - ----------------------------------------------------------------------------------------------------- Total from Investment Operations 22.86 (23.03) (14.455) (11.900) 23.644 - ----------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.53) (1.41) (1.375) (1.400) (1.514) Distributions from Realized Capital Gains -- -- -- -- (.960) - ----------------------------------------------------------------------------------------------------- Total Distributions (1.53) (1.41) (1.375) (1.400) (2.474) - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $101.78 $ 80.45 $104.89 $120.72 $134.02 ===================================================================================================== TOTAL RETURN 28.66% -22.03% -11.93% -8.95% 21.17% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $29,458 $20,361 $24,165 $26,406 $28,918 Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.06% 0.06% Ratio of Net Investment Income to Average Net Assets 1.74% 1.57% 1.27% 1.10% 1.25% Portfolio Turnover Rate* 13% 10% 8% 11% 14% =====================================================================================================
*Portfolio turnover rates excluding in-kind redemptions were 4%, 8%, 5%, 7%, and 3%, respectively. 20 FINANCIAL HIGHLIGHTS (CONTINUED)
INSTITUTIONAL INDEX FUND INSTITUTIONAL PLUS SHARES - ----------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 2000 1999 - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 80.45 $104.89 $120.72 $134.02 $112.85 - ----------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.562 1.438 1.405 1.449 1.542 Net Realized and Unrealized Gain (Loss) on Investments 21.320 (24.446) (15.829) (13.302) 22.143 - ----------------------------------------------------------------------------------------------------- Total from Investment Operations 22.882 (23.008) (14.424) (11.853) 23.685 - ----------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.552) (1.432) (1.406) (1.447) (1.555) Distributions from Realized Capital Gains -- -- -- -- (.960) - ----------------------------------------------------------------------------------------------------- Total Distributions (1.552) (1.432) (1.406) (1.447) (2.515) - ----------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $101.78 $ 80.45 $104.89 $120.72 $134.02 ===================================================================================================== TOTAL RETURN 28.69% -22.01% -11.90% -8.92% 21.21% ===================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $8,805 $9,042 $11,349 $10,765 $6,861 Ratio of Total Expenses to Average Net Assets 0.025% 0.025% 0.025% 0.025% 0.025% Ratio of Net Investment Income to Average Net Assets 1.76% 1.59% 1.31% 1.14% 1.29% Portfolio Turnover Rate* 13% 10% 8% 11% 14% =====================================================================================================
*Portfolio turnover rates excluding in-kind redemptions were 4%, 8%, 5%, 7%, and 3%, respectively. SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 21 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 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 22 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 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. During the year ended December 31, 2003, the fund realized $1,558,735,000 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. For tax purposes, at December 31, 2003, the fund had $4,472,000 of ordinary income available for distribution. The fund had available realized losses of $1,812,605,000 to offset future net capital gains of $48,662,000 through December 31, 2008, $385,639,000 through December 31, 2009, $1,269,960,000 through December 31, 2010, and $108,344,000 through December 31, 2011. At December 31, 2003, net unrealized appreciation of investment securities for tax purposes was $3,214,812,000, consisting of unrealized gains of $7,548,805,000 on securities that had risen in value since their purchase and $4,333,993,000 in unrealized losses on securities that had fallen in value since their purchase. At December 31, 2003, the aggregate settlement value of open futures contracts expiring in March 2004 and the related unrealized appreciation were: - -------------------------------------------------------------------------------- (000) ----------------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- S&P 500 Index 626 $173,809 $5,823 E-Mini S&P 500 Index 541 30,042 660 - -------------------------------------------------------------------------------- Unrealized appreciation on open futures contracts is required to be treated as realized gain for tax purposes. D. During the year ended December 31, 2003, the fund purchased $5,050,197,000 of investment securities and sold $4,118,444,000 of investment securities, other than temporary cash investments. 23 NOTES TO FINANCIAL STATEMENTS (CONTINUED) E. The market value of securities on loan to broker/dealers at December 31, 2003, was $75,656,000, for which the fund held cash collateral of $79,452,000. The fund invests cash collateral received in repurchase agreements, and records a liability for the return of the collateral, during the period the securities are on loan. F. Capital share transactions for each class of shares were: - -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, -------------------------------------------- 2003 2002 -------------------- -------------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - -------------------------------------------------------------------------------- Institutional Shares Issued $7,987,042 90,051 $7,072,507 78,769 Issued in Lieu of Cash Distributions 380,701 4,185 304,440 3,556 Redeemed (5,154,091) (57,889) (5,333,365) (59,617) - -------------------------------------------------------------------------------- Net Increase (Decrease) --Institutional Shares 3,213,652 36,347 2,043,582 22,708 - -------------------------------------------------------------------------------- Institutional Plus Shares Issued 1,660,391 18,568 3,287,769 34,935 Issued in Lieu of Cash Distributions 149,700 1,662 146,545 1,711 Redeemed (4,219,016) (46,105) (2,779,498) (32,450) - -------------------------------------------------------------------------------- Net Increase (Decrease) --Institutional Plus Shares (2,408,925) (25,875) 654,816 4,196 - -------------------------------------------------------------------------------- 24 REPORT OF INDEPENDENT AUDITORS To the Shareholders and Trustees of Vanguard Institutional Index Fund: In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Index Fund (the "Fund") at December 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and broker, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 6, 2004 - -------------------------------------------------------------------------------- SPECIAL 2003 TAX INFORMATION (unaudited) for vanguard institutional index fund This information for the fiscal year ended December 31, 2003, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, 100% of investment income (dividend income plus short- term gains, if any) qualifies for the dividends-received deduction. The fund distributed the maximum amount of qualified dividend income allowable. The amount of qualified dividend income distributed by the fund was provided to individual shareholders on their 2003 Form 1099-DIV. - -------------------------------------------------------------------------------- 25 - -------------------------------------------------------------------------------- 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. 26 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 Target Retirement Funds: Retirement Income Retirement 2005 Retirement 2015 Retirement 2025 Retirement 2035 Retirement 2045 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. 27 THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of
- ------------------------------------------------------------------------------------------------------------ POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee (1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies May 1987 Executive Officer, served by The Vanguard Group. and Trustee (112) - ------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (112) to Greenwich Associates (international business strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - ------------------------------------------------------------------------------------------------------------ RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (1945) (112) Chairman (JanuarySeptember 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. - ------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the HEISEN (112) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer (1950) products); Director of the Medical Center at Princeton and Women's July 1998 Research and Education Institute. - ------------------------------------------------------------------------------------------------------------ BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University; (1932) (110) Director of Vanguard Investment Series plc (Irish invest-ment fund) May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish investment management firm)(since November 2001),Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc.(software company). - ------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- the funds. Among board members' responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. - --------------------------------------------------------------------------------
POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------ Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (1941) (112) Industries, Inc. (forklift trucks/housewares/lignite); Director of January 1993 Goodrich Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (supplier for the automotive industry) until 1998. - ------------------------------------------------------------------------------------------------------------ J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (1936) (112) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal distribution); Trustee of Vanderbilt University. - ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (112) Secretary of The Vanguard Group and of each of the investment June 2001 companies served by The Vanguard Group. - ------------------------------------------------------------------------------------------------------------ Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (1957) (112) investment companies served by The Vanguard Group. July 1998 - ------------------------------------------------------------------------------------------------------------ *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the STATEMENT OF ADDITIONAL INFORMATION, available from The Vanguard Group. - ------------------------------------------------------------------------------------------------------------ VANGUARD SENIOR MANAGEMENT TEAM MORTIMER J. BUCKLEY, Information Technology. MICHAEL S. MILLER, Planning and Development. JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance. KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer. F. WILLIAM MCNABB, III, Client Relationship Group. - ------------------------------------------------------------------------------------------------------------ JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. - ------------------------------------------------------------------------------------------------------------
[SHIP] [THE VANGUARD GROUP(R) LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Admiral, Explorer, Morgan, LifeStrategy, STAR, Wellesley, Wellington, Windsor, and the ship logo are trademarks of The Vanguard Group, Inc. S&P 500(R), Standard & Poor's 500, and 500 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. 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 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. 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) 2004 THE VANGUARD GROUP, INC. ALL RIGHTS RESERVED. VANGUARD MARKETING CORPORATION, DISTRIBUTOR. Q940 022004 VANGUARD(R) INSTITUTIONAL TOTAL BOND MARKET INDEX FUND DECEMBER 31, 2003 Annual Report [Cover Art] The Vanguard Group(R) HOW TO READ YOUR FUND REPORT This report contains information that can help you evaluate your investment. It includes details about your fund's return and presents data and analysis that provide insight into the fund's performance and investment approach. By reading the letter from Vanguard's chairman, you'll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund's performance and characteristics stack up against those of similar funds and market benchmarks. It's important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus. Frequent updates on the fund's performance and information about some of its holdings are available on Vanguard.com(R). CONTENTS 1 LETTER FROM THE CHAIRMAN 6 FUND PROFILE 7 GLOSSARY OF INVESTMENT TERMS 8 PERFORMANCE SUMMARY 9 FINANCIAL STATEMENTS 35 CAPITALIZE ON YOUR IRA SUMMARY * Vanguard Institutional Total Bond Market Index Fund provided close tracking of its benchmark index in 2003, earning a total return of 4.1% * As interest rates drifted higher during the year, the prices of some bonds declined. Returns for Treasury securities were barely above the inflation rate, but low-quality, high-yield bonds soared. * Stocks broke a three-year losing streak, posting big gains for the 12 months. The broad U.S. stock market, as measured by the Wilshire 5000 Index, returned 31.6%. LETTER FROM THE CHAIRMAN Dear Shareholder, Bond returns fell back to more normal levels during 2003, ending a heady three-year run. Interest rates edged up during the second half of the 12-month period, hurting prices of some intermediate- and long-term bonds, particularly Treasuries. - --------------------------------------------------- 2003 TOTAL RETURNS FISCAL YEAR ENDED DECEMBER 31 - --------------------------------------------------- VANGUARD INSTITUTIONAL TOTAL BOND MARKET INDEX FUND 4.1% Lehman Aggregate Bond Index 4.1 Average Intermediate Investment Grade Debt Fund* 4.6 - --------------------------------------------------- *Derived from data provided by Lipper Inc. For the year, Vanguard Institutional Total Bond Market Index Fund returned 4.1%, matching the return of its target, the Lehman Brothers Aggregate Bond Index, a broad measure of the taxable, investment-grade U.S. market. This is a respectable result, of course, but it is considerably shy of the average annual return of 10.1% registered by the index during the previous three years. Generally, price gains played a far smaller role in bond fund returns during 2003 than they had for several years previously. Interest rates for all but the shortest-maturity securities rose during the year, pushing prices down. As you can see in the adjacent table, Vanguard Institutional Total Bond Market Index Fund's return matched that of its target index, though it fell a bit short of the average return of its mutual fund peers. At the end of the year, the fund's yield was 3.90%, slightly lower than its 4.33% yield at year-end 2002. For 2003, the fund's total return consisted of an income return of 3.9% and a capital return of 0.2%. (A fund's capital return reflects the changes in prices of the securities it owns.) Detailed figures for the fund, including distributions and starting and ending share prices, are presented in the table on page 5. 1 "JUNK" REIGNED SUPREME IN 2003, AND YIELDS HIT NEW LOWS The past year saw striking changes that dramatically affected both the bond and stock markets. The start of combat operations in Iraq in mid-March, and the subsequent quick end to that phase of the engagement, relieved months of anticipation and uncertainty that had cast a pall over the financial markets. Other factors also contributed: the Federal Reserve Board's interest rate cuts; the decline of the U.S. dollar, which aided businesses dependent on exports; sinking mortgage rates, which spurred further home-buying; federal tax cuts and refunds to consumers; a spike in spending by businesses; and the rapid growth of the economy. These factors drew many investors back into the stock market, and helped put an end to the unusually high returns that bonds had enjoyed since the stock bubble ended in 2000. Still, investors' renewed appetite for risk made itself felt in the fixed income market. Bonds from companies with below-investment-grade credit ratings (popularly known as "junk" bonds) surged 29.0% during the 12 months, as measured by the Lehman High Yield Bond Index. - ---------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 --------------------------------- ONE THREE FIVE YEAR YEARS YEARS - ---------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 4.1% 7.6% 6.6% (Broad taxable market) Lehman Municipal Bond Index 5.3 6.7 5.8 Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5 - ---------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1% Russell 2000 Index (Small-caps) 47.3 6.3 7.1 Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4 MSCI All Country World Index Free ex USA (International) 41.4 -1.0 1.5 ============================================================================ CPI Consumer Price Index 1.9% 1.9% 2.4% - ---------------------------------------------------------------------------- At the other extreme of the credit-quality spectrum, U.S. Treasury securities at first seemed poised for a fourth straight year of outstanding gains. By June, the rising price of the 10-year Treasury note drove its yield down to just above 3%--a level not seen since Dwight Eisenhower occupied the Oval Office. However, the prices of Treasuries fell subsequently, and by year-end the 10-year note's yield stood at 4.25%, up 44 basis points (0.44 percentage point) from the beginning of the year. For the full 12 months, Treasuries' total returns were still in positive territory, but were barely ahead of inflation. Mortgage-backed securities did only marginally better, while investment-grade corporate bonds--particularly those with longer maturities--posted solid returns. 2 Short-term interest rates also hit historical lows during the year as the Federal Reserve Board took action to bolster the economy. As noted above, the Fed slashed the target federal funds rate in June by 25 basis points to 1.00%. The yield of the 3-month Treasury bill, a proxy for money market rates, ended the year at 0.92%, 27 basis points lower than at the start of 2003. STOCKS REBOUNDED FROM THE FIERCE BEAR MARKET While most bond prices drooped, three straight years of stock market declines ended in a spectacular fashion in 2003. The broad U.S. stock market, as measured by the Wilshire 5000 Total Market Index, returned 31.6% for the 12 months. The rebound was impressive across all stock market segments and industry sectors. By most gauges of performance, growth and value stocks--whose prices reflect either a premium or a discount relative to company earnings, book value, or other measures--provided similar returns. However, as a group small-capitalization stocks outpaced large-caps by a substantial margin. Among sectors, technology stocks--the group that contributed the most to both the bull market of the late 1990s and the subsequent bear market--made the largest gains. SKILL AND LOW COSTS KEPT THE FUND IN STEP WITH THE INDEX As you know, the key gauge of success for an index fund is how closely it tracks its target. By this measure, 2003 was a very good year for the Institutional Total Bond Market Index Fund. The fund's tight tracking of the target index is largely due to our extremely low expense ratio (annualized operating expenses as a percentage of average net assets) of 0.05%. This low level of expenses not only helps the fund produce returns that closely match those of the index but provides an advantage over higher-cost funds. The investment management skills of Vanguard's Fixed Income Group also contributed to the tight index tracking. Your fund has performed well during its brief lifespan--it was launched in April 2002--but its record over the long term will determine its ultimate success. We're confident that the management skill and low costs that have led the fund to its strong record so far will continue to benefit shareholders in the future. 3 But as you look ahead, keep in mind that the past ten years have been unusual for the fixed income market in that interest rates, on balance, declined. As a result, bond prices generally rose. Investors who are counting on more of the same in the decade ahead will probably be disappointed. When rates move higher, as they likely will at some point, the prices of existing bonds will decline and the capital returns of bond funds will suffer. 2003 BROUGHT SOLID RETURNS--AND DISAPPOINTMENT The past several years have provided a real-life demonstration of what investors should expect when they make investments in the bond and stock markets: often-unpredictable bursts of remarkable gains and deep declines. This is why we believe that the keys to successful long-term investing are balance, diversification, and low costs. Make these principles the foundation of your investment plan, and you'll be positioned to survive--and ultimately thrive--come what may. Unfortunately, although both stocks and bonds ended the year with positive returns, 2003 provided another kind of disappointment to many investors. The reports of late trading and market-timing at some other investment management firms have been as disturbing to us as they no doubt have been to you. I want to close this letter with an assurance that Vanguard has policies and procedures in place to identify and deter such behavior. More important, Vanguard shareholders are served by a crew of the highest integrity, and our client-owned corporate structure aligns our day-to-day efforts with your long-term financial goals. Thank you for investing with Vanguard. Sincerely, /S/JOHN J. BRENNAN John J. Brennan CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 20, 2004 4 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003 DISTRIBUTIONS PER SHARE ----------------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- Institutional Total Bond Market Fund Index Fund $51.89 $51.80 $1.997 $0.178 - -------------------------------------------------------------------------------- 5 - -------------------------------------------------------------------------------- FUND PROFILE AS OF 12/31/2003 This Profile provides a snapshot of the fund's characteristics, compared where appropriate with its unmanaged target index. Key terms are defined on page 7. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL BOND MARKET INDEX FUND - -------------------------------------------------------------------------------- - ----------------------------------------------------- FINANCIAL ATTRIBUTES TARGET FUND INDEX* - ----------------------------------------------------- Number of Issues 2,306 6,766 Yield 3.9% -- Yield to Maturity 4.2%** 4.2% Average Coupon 5.9% 5.7% Average Effective Maturity 7.6 years 7.6 years Average Quality Aaa Aaa Average Duration 4.5 years 4.5 years Expense Ratio 0.05% -- Short-Term Reserves 0% -- - ----------------------------------------------------- - ----------------------------------------------- DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO) Treasury/Agency/GSEs+ 68% Aaa 7 Aa 3 A 11 Baa 11 - ----------------------------------------------- Total 100% - ----------------------------------------------- - ---------------------------------------- INVESTMENT FOCUS CREDIT QUALITY Treasury/Agency AVERAGE MATURITY Medium - ---------------------------------------- - ----------------------------------------------- DISTRIBUTION BY MATURITY (% OF PORTFOLIO) Under 1 Year 1% 1-5 Years 40 5-10 Years 40 10-20 Years 13 20-30 Years 6 - ----------------------------------------------- Total 100% - ----------------------------------------------- - ----------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) Asset-Backed 3% Commercial Mortgage-Backed 2 Finance 8 Foreign 4 Government Mortgage-Backed 36 Industrial 13 Treasury/Agency 32 Utilities 2 - ----------------------------------------------- Total 100% - ----------------------------------------------- *Lehman Aggregate Bond Index. **Before expenses. +Includes debt issued by government-sponsored enterprises, which may include government mortgage-backed bonds. VISIT OUR WEBSITE AT VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 6 GLOSSARY OF INVESTMENT TERMS AVERAGE COUPON. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value - -------------------------------------------------------------------------------- AVERAGE DURATION. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%. - -------------------------------------------------------------------------------- AVERAGE EFFECTIVE MATURITY. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund's share price will fluctuate in response to changes in market interest rates. - -------------------------------------------------------------------------------- AVERAGE QUALITY. An indicator of credit risk, this figure is the average of the ratings assigned to a fund's fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer's ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality. - -------------------------------------------------------------------------------- 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. - -------------------------------------------------------------------------------- SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash. - -------------------------------------------------------------------------------- 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 (7 days for money market funds) and is annualized, or projected forward for the coming year. - -------------------------------------------------------------------------------- YIELD TO MATURITY. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates. - -------------------------------------------------------------------------------- 7 - -------------------------------------------------------------------------------- PERFORMANCE SUMMARY AS OF 12/31/2003 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 - -------------------------------------------------------------------- CUMULATIVE PERFORMANCE APRIL 26, 2002-DECEMBER 31, 2003 [MOUNTAIN CHART] - -------------------------------------------------------------------- INSTITUTIONAL AVERAGE INTERMEDIATE FISCAL TOTAL BOND LEHMAN AGGREGATE INVESTMENT GRADE YEAR MARKET INDEX FUND BOND INDEX DEBT FUND** - -------------------------------------------------------------------- 4/26/2002 100000000 100000000 100000000 200206 101342804 101618213 100845965 200209 105772512 106274247 104654258 200212 107302679 107946188 106415717 200303 108757239 109449355 108022594 200306 111530637 112186952 110920477 200309 111366976 112023444 110902117 200312 111680525 112376808 111257632 - -------------------------------------------------------------------- - -------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 --------------------------------- FINAL VALUE ONE SINCE OF A $10,000 YEAR INCEPTION INVESTMENT - -------------------------------------------------------------------- Institutional Total Bond Market Index Fund 4.08% 6.79% $111,680,525 Lehman Aggregate Bond Index 4.10 7.18 112,376,808 Average Intermediate Investment Grade Debt Fund** 4.55 6.55 111,257,632 - -------------------------------------------------------------------- - -------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) APRIL 26, 2002-DECEMBER 31, 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 0.2 3.9 4.1 4.1 - ---------------------------------------------- *April 26, 2002. **Derived from data provided by Lipper Inc. +Lehman Aggregate Bond Index. Note: See FINANCIAL HIGHLIGHTS table on page 30 for dividend and capital gains information. 8 As of 12/31/2003 financial statements 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 of each fund, 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 (65.2%) - ------------------------------------------------------------------------------------------------ U.S. Government Securities (20.0%) U.S. Treasury Bond 10.375% 11/15/2007 800 1,020 U.S. Treasury Bond 10.375% 11/15/2009 1,530 1,649 U.S. Treasury Bond 10.00% 5/15/2010 850 946 U.S. Treasury Bond 11.25% 2/15/2015 1,125 1,801 U.S. Treasury Bond 9.25% 2/15/2016 625 897 U.S. Treasury Bond 7.50% 11/15/2016 225 287 U.S. Treasury Bond 8.875% 8/15/2017 11,065 15,679 U.S. Treasury Bond 9.125% 5/15/2018 11,325 16,434 U.S. Treasury Bond 8.125% 8/15/2019 1,530 2,067 U.S. Treasury Bond 8.75% 5/15/2020 540 771 U.S. Treasury Bond 7.875% 2/15/2021 990 1,318 U.S. Treasury Bond 8.125% 8/15/2021 1,800 2,454 U.S. Treasury Bond 8.00% 11/15/2021 8,080 10,916 U.S. Treasury Bond 7.25% 8/15/2022 3,900 4,924 U.S. Treasury Bond 7.625% 11/15/2022 7,345 9,624 U.S. Treasury Bond 6.25% 8/15/2023 275 314 U.S. Treasury Bond 6.625% 2/15/2027 305 365 U.S. Treasury Bond 6.375% 8/15/2027 8,500 9,877 U.S. Treasury Bond 5.25% 11/15/2028 1,550 1,562 U.S. Treasury Note 2.00% 8/31/2005 4,500 4,529 U.S. Treasury Note 1.625% 9/30/2005 29,425 29,411 U.S. Treasury Note 1.875% 11/30/2005 9,750 9,768 U.S. Treasury Note 6.875% 5/15/2006 465 517
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- ------------------------------------------------------------------------------------------------ FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ------------------------------------------------------------------------------------------------ U.S. Treasury Note 6.50% 10/15/2006 17,300 19,276 U.S. Treasury Note 6.625% 5/15/2007 3,025 3,424 U.S. Treasury Note 6.125% 8/15/2007 3,575 4,002 U.S. Treasury Note 5.625% 5/15/2008 28,430 31,504 U.S. Treasury Note 3.125% 9/15/2008 8,050 8,048 U.S. Treasury Note 3.375% 12/15/2008 5,700 5,739 U.S. Treasury Note 6.50% 2/15/2010 975 1,133 U.S. Treasury Note 5.75% 8/15/2010 250 280 U.S. Treasury Note 4.875% 2/15/2012 32,115 34,027 U.S. Treasury Note 4.375% 8/15/2012 825 842 Private Export Funding Corp. (U.S. Government Guaranteed) 7.20% 1/15/2010 1,325 1,557 -------------- 236,962 -------------- AGENCY BONDS AND NOTES (10.8%) AID-Israel 5.50% 9/18/2023 250 253 AID-Israel 5.50% 12/4/2023 200 199 Federal Home Loan Bank* 4.625% 4/15/2005 1,950 2,026 Federal Home Loan Bank* 3.25% 8/15/2005 1,125 1,151 Federal Home Loan Bank* 5.125% 3/6/2006 4,900 5,203 Federal Home Loan Bank* 2.50% 3/15/2006 1,150 1,157 Federal Home Loan Bank* 2.875% 9/15/2006 4,000 4,039 Federal Home Loan Bank* 6.50% 8/15/2007 2,450 2,743 Federal Home Loan Bank* 5.865% 9/2/2008 550 605 Federal Home Loan Bank* 6.50% 11/13/2009 1,300 1,478 Federal Home Loan Bank* 7.625% 5/14/2010 6,100 7,323 Federal Home Loan Bank* 5.75% 5/15/2012 1,300 1,414 Federal Home Loan Bank* 4.50% 9/16/2013 800 788 Federal Home Loan Mortgage Corp.* 6.875% 1/15/2005 5,450 5,757 Federal Home Loan Mortgage Corp.* 7.00% 7/15/2005 10,000 10,797 Federal Home Loan Mortgage Corp.* 5.25% 1/15/2006 1,050 1,117 Federal Home Loan Mortgage Corp.* 5.50% 7/15/2006 1,050 1,129 Federal Home Loan Mortgage Corp.* 5.75% 4/15/2008 2,725 2,988 Federal Home Loan Mortgage Corp.* 5.75% 3/15/2009 2,000 2,192 Federal Home Loan Mortgage Corp.* 6.625% 9/15/2009 2,100 2,399 Federal Home Loan Mortgage Corp.* 7.00% 3/15/2010 2,500 2,911 Federal Home Loan Mortgage Corp.* 6.875% 9/15/2010 6,900 8,010 Federal Home Loan Mortgage Corp.* 6.00% 6/15/2011 1,500 1,659 Federal Home Loan Mortgage Corp.* 5.75% 1/15/2012 1,800 1,958 Federal Home Loan Mortgage Corp.* 6.75% 3/15/2031 2,739 3,167 Federal Home Loan Mortgage Corp.* 6.25% 7/15/2032 132 144 Federal National Mortgage Assn.* 7.125% 2/15/2005 3,000 3,190 Federal National Mortgage Assn.* 7.00% 7/15/2005 13,000 14,035 Federal National Mortgage Assn.* 6.625% 10/15/2007 3,560 4,010 Federal National Mortgage Assn.* 5.75% 2/15/2008 1,850 2,027 Federal National Mortgage Assn.* 6.00% 5/15/2008 1,000 1,107 Federal National Mortgage Assn.* 6.40% 5/14/2009 675 687 Federal National Mortgage Assn.* 6.375% 6/15/2009 600 678 Federal National Mortgage Assn.* 6.625% 9/15/2009 6,515 7,442 Federal National Mortgage Assn.* 7.25% 1/15/2010 2,830 3,333 Federal National Mortgage Assn.* 6.625% 11/15/2010 500 573 Federal National Mortgage Assn.* 6.25% 2/1/2011 225 248
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- ---------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ---------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.* 6.125% 3/15/2012 7,100 7,895 Federal National Mortgage Assn.* 4.625% 5/1/2013 1,150 1,120 Federal National Mortgage Assn.* 5.125% 1/2/2014 300 300 Federal National Mortgage Assn.* 7.125% 1/15/2030 750 903 Federal National Mortgage Assn.* 7.25% 5/15/2030 2,975 3,637 Federal National Mortgage Assn.* 6.625% 11/15/2030 800 910 Tennessee Valley Auth.* 5.375% 11/13/2008 325 351 Tennessee Valley Auth.* 7.125% 5/1/2030 1,850 2,230 ---------- 127,283 ---------- MORTGAGE-BACKED SECURITIES (34.4%) Federal Home Loan Mortgage Corp.* 4.00% 7/1/2008--9/1/2018(1) 6,138 6,052 Federal Home Loan Mortgage Corp.* 4.50% 5/1/2008--9/1/2033(1) 21,125 21,147 Federal Home Loan Mortgage Corp.* 5.00% 6/1/2007--11/1/2033(1) 38,349 38,474 Federal Home Loan Mortgage Corp.* 5.50% 12/1/2005--10/1/2033(1) 27,245 27,863 Federal Home Loan Mortgage Corp.* 6.00% 1/1/2006--6/1/2033(1) 27,280 28,375 Federal Home Loan Mortgage Corp.* 6.50% 10/1/2004--7/1/2032(1) 16,663 17,538 Federal Home Loan Mortgage Corp.* 7.00% 2/1/2004--6/1/2032(1) 7,526 7,990 Federal Home Loan Mortgage Corp.* 7.50% 10/1/2012--2/1/2032(1) 2,505 2,682 Federal Home Loan Mortgage Corp.* 8.00% 6/1/2012--11/1/2031(1) 1,160 1,258 Federal Home Loan Mortgage Corp.* 8.50% 6/1/2025--5/1/2030(1) 514 562 Federal Home Loan Mortgage Corp.* 9.00% 2/1/2025--9/1/2030(1) 44 48 Federal Home Loan Mortgage Corp.* 9.50% 2/1/2025(1) 6 7 Federal National Mortgage Assn.* 4.00% 8/1/2010--9/1/2018(1) 5,688 5,581 Federal National Mortgage Assn.* 4.50% 5/1/2018--10/1/2033(1) 20,542 20,270 Federal National Mortgage Assn.* 5.00% 9/1/2009--10/1/2033(1) 35,209 35,136 Federal National Mortgage Assn.* 5.50% 5/1/2009--12/1/2033(1) 63,963 65,127 Federal National Mortgage Assn.* 6.00% 10/1/2008--4/1/2033(1) 31,203 32,408 Federal National Mortgage Assn.* 6.50% 1/1/2012--8/1/2032(1) 23,348 24,488 Federal National Mortgage Assn.* 7.00% 7/1/2014--7/1/2032(1) 10,056 10,674 Federal National Mortgage Assn.* 7.50% 11/1/2011--10/1/2031(1) 2,901 3,104 Federal National Mortgage Assn.* 8.00% 12/1/2029--6/1/2031(1) 664 722 Federal National Mortgage Assn.* 8.50% 4/1/2030--4/1/2031(1) 287 312 Federal National Mortgage Assn.* 9.00% 8/1/2030(1) 14 15 Federal National Mortgage Assn.* 9.50% 11/1/2025(1) 20 22 Government National Mortgage Assn. 4.50% 8/15/2018--9/15/2033(1) 1,741 1,699 Government National Mortgage Assn. 5.00% 2/15/2018--10/15/2033(1) 7,409 7,381 Government National Mortgage Assn. 5.50% 2/15/2017--8/15/2033(1) 13,288 13,548 Government National Mortgage Assn. 6.00% 9/15/2013--4/15/2033(1) 11,462 11,958 Government National Mortgage Assn. 6.50% 5/15/2013--7/15/2032(1) 10,331 10,928 Government National Mortgage Assn. 7.00% 10/15/2010--6/15/2032(1) 6,785 7,240 Government National Mortgage Assn. 7.50% 5/15/2023--10/15/2031(1) 2,572 2,763 Government National Mortgage Assn. 8.00% 7/15/2025--11/15/2030(1) 1,973 2,145 Government National Mortgage Assn. 8.50% 12/15/2024--7/15/2030(1) 165 178 Government National Mortgage Assn. 9.00% 5/15/2025--9/15/2030(1) 94 104 Government National Mortgage Assn. 9.50% 11/15/2017(1) 30 33 ---------- 407,832 ---------- - ---------------------------------------------------------------------------------------------------------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $766,876) 772,077 - ----------------------------------------------------------------------------------------------------------
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- -------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - -------------------------------------------------------------------------------------------------- CORPORATE BONDS (30.7%) - -------------------------------------------------------------------------------------------------- Asset-Backed/Commercial Mortgage-Backed Securities (5.7%) Bank of America Mortgage Securities 4.654% 6/25/2032(1) 98 99 Bear Stearns Commercial Mortgage Securities Inc. 5.61% 11/15/2033(1) 1,150 1,219 California Infrastructure & Econ. Dev. Bank Special Purpose Trust PG&E-1 6.42% 9/25/2008(1) 2,195 2,334 California Infrastructure & Econ. Dev. Bank Special Purpose Trust SDG&E-1 6.31% 9/25/2008(1) 1,000 1,064 Capital One Auto Finance Trust 4.88% 9/15/2008(1) 1,175 1,222 Carco Auto Loan Master Trust 1.185% 11/15/2006(1)(2) 5,000 5,014 Chase Credit Card Master Trust 1.22% 2/15/2007(1)(2) 1,000 1,001 Chase Credit Card Master Trust 1.18% 3/17/2008(1)(2) 1,000 1,001 CIT RV Trust 5.96% 4/15/2011(1) 7 7 Citigroup Mortgage Loan Trust 4.185% 9/25/2033(1) 2,565 2,573 Commercial Mortgage Lease-Backed Certificate 6.746% 6/20/2031(1)(3) 1,006 1,100 Countrywide Home Loans 4.508% 9/19/2032(1) 646 654 Countrywide Home Loans 4.18% 5/25/2033(1) 1,550 1,549 Discover Card Master Trust I 1.442% 2/16/2007(1)(2) 2,000 2,003 Discover Card Master Trust I 1.25% 4/16/2007(1)(2) 4,000 4,003 Discover Card Master Trust I 1.30% 9/18/2007(1)(2) 4,000 4,006 First Union National Bank Commercial Mortgage Securities 6.223% 12/12/2033(1) 500 551 First USA Credit Card Master Trust 1.29% 9/10/2006(1)(2) 6,000 6,000 First USA Credit Card Master Trust 1.21% 11/20/2006(1)(2) 3,000 3,000 First USA Credit Card Master Trust 1.218% 4/17/2007(1)(2) 1,000 1,000 Ford Credit Auto Owner Trust 3.13% 11/15/2006(1) 250 254 Harley-Davidson Motorcycle Trust 4.50% 1/15/2010(1) 1,650 1,710 Honda Auto Receivables Owner Trust 2.19% 9/15/2006(1) 700 705 Honda Auto Receivables Owner Trust 4.22% 4/15/2007(1) 325 334 Mach One CDO, Ltd. 6.70% 5/29/2030(1)(3) 154 154 MBNA Master Credit Card Trust 1.24% 2/15/2007(1)(2) 4,000 4,003 MBNA Master Credit Card Trust 1.25% 2/15/2007(1)(2) 4,000 4,002 MBNA Master Credit Card Trust 4.95% 6/15/2009(1) 3,150 3,332 Nissan Auto Receivables Owner Trust 4.28% 10/16/2006(1) 1,500 1,549 PECO Energy Transition Trust 5.80% 3/1/2007(1) 3,376 3,473 PP&L Transition Bond Co. LLC 6.96% 12/26/2007(1) 2,100 2,264 PSE&G Transition Funding LLC 6.89% 12/15/2017(1) 200 232 Residential Asset Securities Corp. 4.988% 2/25/2027(1) 1,466 1,488 Sears Credit Account Master Trust 6.05% 1/15/2008(1) 333 334 Toyota Auto Receivables Owner Trust 2.65% 11/15/2006(1) 1,900 1,918 Toyota Auto Receivables Owner Trust 4.00% 7/15/2008(1) 100 103 Washington Mutual Mortgage Pass-Through Certificates 5.435% 2/25/2032(1) 45 46 Washington Mutual Mortgage Pass-Through Certificates 5.548% 4/26/2032(1) 666 675 Washington Mutual Mortgage Pass-Through Certificates 5.55% 4/26/2032(1) 48 49 WFS Financial Owner Trust 4.50% 2/20/2010(1) 250 259 World Omni Auto Receivable Trust 3.79% 11/21/2005(1) 80 80 World Omni Auto Receivable Trust 2.58% 9/15/2009(1) 1,500 1,508 ------- 67,872 -------
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- --------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - --------------------------------------------------------------------------------------------- FINANCE (9.8%) BANKING (5.3%) Abbey National PLC 7.95% 10/26/2029 300 373 African Development Bank 3.25% 8/1/2008 300 298 Asian Development Bank 4.875% 2/5/2007 1,000 1,066 Asian Development Bank 5.593% 7/16/2018 400 421 Associates Corp. of North America 6.20% 5/16/2005 1,000 1,057 Bank of America Corp. 7.125% 9/15/2006 600 669 Bank of America Corp. 5.25% 2/1/2007 1,050 1,125 Bank of America Corp. 7.40% 1/15/2011 700 821 Bank of America Corp. 6.25% 4/15/2012 100 110 Bank of New York 3.75% 2/15/2008 600 611 Bank One Corp. 6.875% 8/1/2006 850 943 Bank One Corp. 6.00% 2/17/2009 795 875 Bank One Corp. 7.875% 8/1/2010 925 1,106 BankAmerica Capital II 8.00% 12/15/2026 750 852 Bayerische Landesbank 2.875% 10/15/2008 250 244 BB&T Corp. 4.75% 10/1/2012 150 150 BBVA-Bancomer Capital Trust I 10.50% 2/16/2011(3) 375 423 Branch Bank & Trust 5.20% 12/23/2015 250 249 The Chase Manhattan Corp. 6.00% 11/1/2005 150 160 The Chase Manhattan Corp. 7.125% 2/1/2007 250 278 Citicorp Capital II 8.015% 2/15/2027 100 114 Citicorp Lease Pass-Through Trust 8.04% 12/15/2019(3) 225 264 Citigroup Inc. 6.75% 12/1/2005 2,350 2,552 Citigroup Inc. 5.625% 8/27/2012 1,850 1,950 Citigroup Inc. 4.875% 5/7/2015 200 195 Citigroup Inc. 6.625% 6/15/2032 275 300 Citigroup Inc. 6.00% 10/31/2033 650 650 CoreStates Capital Corp. 8.00% 12/15/2026(3) 525 597 Credit Suisse First Boston USA Inc. 5.75% 4/15/2007 875 942 Credit Suisse First Boston USA Inc. 4.625% 1/15/2008 500 520 Credit Suisse First Boston USA Inc. 6.50% 1/15/2012 600 664 Credit Suisse First Boston USA Inc. 7.125% 7/15/2032 200 227 Deutsche Ausgleichbank 7.00% 6/23/2005 600 646 Deutsche Bank Financial LLC 5.375% 3/2/2015 325 330 European Investment Bank 4.00% 3/15/2005 1,800 1,858 European Investment Bank 5.625% 1/24/2006 500 536 European Investment Bank 4.875% 9/6/2006 300 319 European Investment Bank 4.625% 3/1/2007 1,200 1,270 Export-Import Bank of Korea 7.10% 3/15/2007 750 831 Fifth Third Bank 6.75% 7/15/2005 500 536 Fifth Third Bank 3.375% 8/15/2008 200 200 First Union Corp. 7.80% 8/18/2010 475 571 Fleet Boston Financial Corp. 7.25% 9/15/2005 1,000 1,086 Fleet Boston Financial Corp. 4.875% 12/1/2006 250 265 Fleet Capital Trust II 7.92% 12/11/2026 400 440 Golden West Financial 4.125% 8/15/2007 550 567 HSBC Holdings PLC 7.50% 7/15/2009 750 880 HSBC Holdings PLC 5.25% 12/12/2012 225 231 Inter-American Development Bank 6.125% 3/8/2006 525 569
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- --------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - --------------------------------------------------------------------------------------------- Inter-American Development Bank 6.375% 10/22/2007 450 504 Inter-American Development Bank 5.625% 4/16/2009 1,300 1,430 Inter-American Development Bank 8.50% 3/15/2011 500 629 Inter-American Development Bank 7.00% 6/15/2025 150 176 International Bank for Reconstruction & Development 5.00% 3/28/2006 1,300 1,381 International Bank for Reconstruction & Development 4.375% 9/28/2006 250 262 International Bank for Reconstruction & Development 4.125% 8/12/2009 1,600 1,650 International Bank for Reconstruction & Development 8.875% 3/1/2026 250 358 International Finance Corp. 3.00% 4/15/2008 450 449 Korea Development Bank 5.75% 9/10/2013 250 262 Landwirtschaft Rentenbank 3.375% 11/15/2007 1,000 1,010 Landwirtschaft Rentenbank 3.25% 6/16/2008 200 199 Landwirtschaft Rentenbank 3.875% 9/4/2008 250 255 Marshall & Ilsley Bank 4.125% 9/4/2007 700 725 Mellon Capital II 7.995% 1/15/2027 500 559 Mercantile Bancorp (Firstar) 7.30% 6/15/2007 250 285 J.P. Morgan & Co., Inc. 6.70% 11/1/2007 1,000 1,117 J.P. Morgan Chase & Co. 5.25% 5/30/2007 1,350 1,447 J.P. Morgan Chase & Co. 3.625% 5/1/2008 900 902 J.P. Morgan Chase & Co. 5.25% 5/1/2015 200 201 National City Bank of Indiana 4.875% 7/20/2007 300 317 National City Corp. 7.20% 5/15/2005 800 854 NationsBank Corp. 6.375% 2/15/2008 500 555 NationsBank Corp. 7.25% 10/15/2025 500 587 Nordic Investment Bank 3.125% 4/24/2008 250 250 North Fork Bancorp 5.875% 8/15/2012 250 266 Oesterreich Kontrollbank 5.50% 1/20/2006 250 267 Oesterreich Kontrollbank 5.125% 3/20/2007 300 323 PaineWebber Group, Inc. 6.50% 11/1/2005 500 539 PNC Funding Corp. 5.75% 8/1/2006 700 752 Regions Financial Corp. 6.375% 5/15/2012 925 1,018 Royal Bank of Scotland Group PLC 7.648% 9/30/2031 500 589 Santander Central Hispano SA 7.625% 9/14/2010 500 593 Sanwa Bank Ltd. 8.35% 7/15/2009 150 175 Sanwa Bank Ltd. 7.40% 6/15/2011 475 529 Standard Chartered Bank 8.00% 5/30/2031(3) 325 395 Sumitomo Mitsui Banking Corp. 8.00% 6/15/2012 115 137 SunTrust Banks, Inc. 6.00% 2/15/2026 500 534 Suntrust Capital 7.90% 6/15/2027 200 225 Synovus Financial Corp. 7.25% 12/15/2005 175 192 UFJ Finance Aruba AEC 6.75% 7/15/2013 200 214 Union Planters Bank NA 5.125% 6/15/2007 200 212 Union Planters Corp. 7.75% 3/1/2011 275 323 UnionBanCal Corp. 5.25% 12/16/2013 75 76 US Bancorp 5.10% 7/15/2007 500 534 US Bancorp 3.125% 3/15/2008 350 346 US Bank National Assoc. 2.85% 11/15/2006 300 301
14
- --------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - --------------------------------------------------------------------------------------------- Wachovia Corp. 4.95% 11/1/2006 825 875 Washington Mutual Bank 6.875% 6/15/2011 1,200 1,366 Wells Fargo & Co. 5.125% 2/15/2007 250 267 Wells Fargo & Co. 3.50% 4/4/2008 1,000 1,005 Wells Fargo & Co. 6.25% 4/15/2008 915 1,015 Wells Fargo & Co. 6.45% 2/1/2011 1,000 1,120 Zions Bancorp. 6.00% 9/15/2015 100 106 BROKERAGE (1.3%) Bear Stearns & Co., Inc. 6.625% 1/15/2004 1,000 1,001 Bear Stearns & Co., Inc. 7.80% 8/15/2007 400 461 Bear Stearns & Co., Inc. 6.75% 12/15/2007 150 167 Bear Stearns & Co., Inc. 4.00% 1/31/2008 200 204 Bear Stearns & Co., Inc. 5.70% 11/15/2014 400 416 Goldman Sachs Group Inc. 7.625% 8/17/2005 500 544 Goldman Sachs Group Inc. 4.125% 1/15/2008 625 639 Goldman Sachs Group Inc. 6.875% 1/15/2011 400 453 Goldman Sachs Group Inc. 5.70% 9/1/2012 750 784 Goldman Sachs Group Inc. 5.25% 10/15/2013 250 253 Goldman Sachs Group Inc. 5.50% 11/15/2014 350 357 Goldman Sachs Group Inc. 6.125% 2/15/2033 200 201 Lehman Brothers Holdings Inc. 7.75% 1/15/2005 1,950 2,080 Lehman Brothers Holdings Inc. 6.625% 2/15/2008 750 836 Lehman Brothers Holdings Inc. 6.625% 1/18/2012 275 308 Merrill Lynch & Co., Inc. 7.00% 3/15/2006 300 327 Merrill Lynch & Co., Inc. 5.36% 2/1/2007 250 266 Merrill Lynch & Co., Inc. 4.00% 11/15/2007 400 409 Merrill Lynch & Co., Inc. 5.30% 9/30/2015 150 150 Merrill Lynch & Co., Inc. 6.875% 11/15/2018 600 684 Morgan Stanley Dean Witter Discover & Co. 6.10% 4/15/2006 1,650 1,782 Morgan Stanley Dean Witter Discover & Co. 6.875% 3/1/2007 200 223 Morgan Stanley Dean Witter Discover & Co. 5.80% 4/1/2007 1,000 1,085 Morgan Stanley Dean Witter Discover & Co. 3.625% 4/1/2008 500 499 Morgan Stanley Dean Witter Discover & Co. 7.25% 4/1/2032 450 522 Salomon Smith Barney Holdings Inc. 5.875% 3/15/2006 275 295 Waddell & Reed Financial 7.50% 1/18/2006 250 271 FINANCE COMPANIES (1.9%) American Express Co. 3.75% 11/20/2007 550 559 American Express Credit Corp. 3.00% 5/16/2008 500 489 American General Finance Corp. 5.75% 3/15/2007 500 540 Capital One Bank 4.875% 5/15/2008 875 907 Capital One Bank 4.25% 12/1/2008 100 100 CIT Group Inc. 4.125% 2/21/2006 775 799 CIT Group Inc. 7.375% 4/2/2007 350 395 CIT Group Inc. 4.00% 5/8/2008 250 253 CIT Group Inc. 4.75% 12/15/2010 50 50 CIT Group Inc. 7.75% 4/2/2012 200 236 Countrywide Home Loan 5.50% 8/1/2006 550 588 Countrywide Home Loan 5.50% 2/1/2007 850 910 Countrywide Home Loan 5.625% 5/15/2007 50 54
15
- --------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - --------------------------------------------------------------------------------------------- General Electric Capital Corp. 2.85% 1/30/2006 500 506 General Electric Capital Corp. 2.75% 9/25/2006 300 301 General Electric Capital Corp. 5.375% 3/15/2007 1,600 1,717 General Electric Capital Corp. 4.25% 1/15/2008 1,000 1,030 General Electric Capital Corp. 3.50% 5/1/2008 250 250 General Electric Capital Corp. 4.625% 9/15/2009 500 517 General Electric Capital Corp. 7.375% 1/19/2010 750 876 General Electric Capital Corp. 4.25% 12/1/2010 100 99 General Electric Capital Corp. 6.125% 2/22/2011 500 548 General Electric Capital Corp. 5.00% 2/1/2013 1,000 1,010 General Electric Capital Corp. 6.75% 3/15/2032 1,175 1,301 Household Finance Corp. 6.50% 1/24/2006 875 947 Household Finance Corp. 7.20% 7/15/2006 300 332 Household Finance Corp. 5.75% 1/30/2007 350 377 Household Finance Corp. 4.625% 1/15/2008 850 885 Household Finance Corp. 6.375% 10/15/2011 525 577 Household Finance Corp. 7.00% 5/15/2012 1,100 1,250 Household Finance Corp. 7.35% 11/27/2032 50 58 International Lease Finance Corp. 5.625% 6/1/2007 975 1,047 International Lease Finance Corp. 4.50% 5/1/2008 250 258 MBNA America Bank NA 7.75% 9/15/2005(3) 750 816 SLM Corp. 5.05% 11/14/2014 450 446 SLM Corp. 5.625% 8/1/2033 325 309 USA Education Inc. 5.625% 4/10/2007 1,175 1,267 INSURANCE (0.9%) ACE Capital Trust II 9.70% 4/1/2030 250 326 ACE Ltd. 6.00% 4/1/2007 300 324 AEGON NV 4.75% 6/1/2013 125 123 Allstate Corp. 5.375% 12/1/2006 500 536 Allstate Corp. 7.20% 12/1/2009 875 1,013 American General Capital II 8.50% 7/1/2030 50 65 American International Group Inc. 2.85% 12/1/2005 750 761 American International Group Inc. 2.875% 5/15/2008(3) 150 146 Aon Capital Trust 8.205% 1/1/2027 250 276 AXA SA 8.60% 12/15/2030 350 441 Berkshire Hathaway Inc. 3.375% 10/15/2008(3) 125 124 Berkshire Hathaway Inc. 4.20% 12/15/2010(3) 200 199 Berkshire Hathaway Inc. 4.625% 10/15/2013(3) 100 98 Commerce Group Inc. 5.95% 12/9/2013 75 76 Fidelity National Financial Inc. 7.30% 8/15/2011 375 422 GE Global Insurance 7.75% 6/15/2030 200 234 General Electric Global Insurance Holdings Corp. 7.00% 2/15/2026 75 81 Hartford Life Inc. 7.375% 3/1/2031 200 234 Jackson National Life Insurance Co. 6.125% 5/30/2012(3) 350 370 John Hancock Global Funding II 5.625% 6/27/2006(3) 400 428 Marsh & McLennan Cos. Inc. 6.25% 3/15/2012 600 652 MetLife Inc. 5.25% 12/1/2006 475 507 MetLife Inc. 5.00% 11/24/2013 225 222 Monumental Global Funding II 6.05% 1/19/2006(3) 600 643 Nationwide Life Global Funding 5.35% 2/15/2007(3) 225 240
16
- --------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - --------------------------------------------------------------------------------------------- Principal Life Global Funding I 6.125% 3/1/2006(3) 500 538 Progressive Corp. 6.625% 3/1/2029 400 435 Protective Life 3.70% 11/24/2008 350 348 Reinsurance Group of America 6.75% 12/15/2011 250 271 St. Paul Cos. Inc. 5.75% 3/15/2007 125 135 Travelers Property Casualty 3.75% 3/15/2008 175 175 Travelers Property Casualty 6.375% 3/15/2033 250 260 Unum Corp. 6.75% 12/15/2028 50 47 UnumProvident Corp. 7.625% 3/1/2011 175 193 REAL ESTATE INVESTMENT TRUSTS (0.4%) Boston Properties Inc. 5.625% 4/15/2015 150 151 EOP Operating LP 7.75% 11/15/2007 500 569 EOP Operating LP 7.00% 7/15/2011 150 169 EOP Operating LP 7.875% 7/15/2031 50 58 Equity Residential Properties Trust 6.625% 3/15/2012 350 387 Health Care REIT 6.00% 11/15/2013 250 254 Health Care Property Investment Inc. 6.45% 6/25/2012 500 540 HRPT Properties Trust 6.50% 1/15/2013 500 535 ProLogis 5.50% 3/1/2013 100 102 Rouse Co. 5.375% 11/26/2013 100 99 Shurgard Storage Centers, Inc. 7.75% 2/22/2011 425 486 Simon Property Group LP 6.375% 11/15/2007 900 976 OTHER J Paul Getty Trust 5.875% 10/1/2033 125 125 ---------- 115,814 ---------- INDUSTRIAL (13.0%) BASIC INDUSTRY (1.0%) Alcan Inc. 4.50% 5/15/2013 275 264 Alcan Inc. 5.20% 1/15/2014 250 252 Alcan Inc. 6.125% 12/15/2033 75 75 Alcoa Inc. 4.25% 8/15/2007 1,250 1,298 BHP Finance USA Ltd. 6.75% 11/1/2013 500 577 Celulosa Arauco Constitution SA 8.625% 8/15/2010 350 417 Corporacion Nacional del Cobre de Chile (CODELCO) 7.375% 5/1/2009(3) 500 573 Domtar Inc. 7.875% 10/15/2011 450 525 Dow Chemical Co. 6.125% 2/1/2011 875 935 Dow Chemical Co. 7.375% 11/1/2029 100 112 E.I. du Pont de Nemours & Co. 6.875% 10/15/2009 300 344 Eastman Chemical Co. 7.00% 4/15/2012 450 494 ICI Wilmington Inc. 4.375% 12/1/2008 200 199 ICI Wilmington Inc. 5.625% 12/1/2013 175 176 Inco Ltd. 5.70% 10/15/2015 200 202 International Paper Co. 6.75% 9/1/2011 300 332 International Paper Co. 5.85% 10/30/2012 425 442 Noranda Inc. 7.25% 7/15/2012 100 112 Placer Dome Inc. 6.45% 10/15/2035(3) 100 102 Potash Corp. of Saskatchewan 7.75% 5/31/2011 375 438 Praxair, Inc. 6.90% 11/1/2006 125 139 Praxair, Inc. 3.95% 6/1/2013 350 326
17
- --------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - --------------------------------------------------------------------------------------------- Rohm & Haas Co. 9.80% 4/15/2020 227 293 Vale Overseas Ltd. 8.625% 3/8/2007 400 445 Westvaco Corp. 8.20% 1/15/2030 475 552 Weyerhaeuser Co. 5.50% 3/15/2005 900 936 Weyerhaeuser Co. 7.375% 3/15/2032 575 621 CAPITAL GOODS (1.3%) Boeing Capital Corp. 6.50% 2/15/2012 750 823 The Boeing Co. 8.75% 8/15/2021 350 448 The Boeing Co. 6.625% 2/15/2038 250 261 Bombardier Capital Corp. 6.125% 6/29/2006(3) 375 398 British Aerospace 7.156% 12/15/2011(1)(3) 116 126 Caterpillar Financial Services Corp. 5.95% 5/1/2006 500 539 Caterpillar, Inc. 7.375% 3/1/2097 600 699 CHR America Inc. 6.40% 10/15/2033 100 102 CRH Capital Inc. 6.95% 3/15/2012 200 226 Deere & Co. 8.50% 1/9/2022 725 931 John Deere Capital Corp. 7.00% 3/15/2012 750 865 Emerson Electric Co. 4.625% 10/15/2012 1,000 993 General Dynamics 2.125% 5/15/2006 100 99 General Dynamics 3.00% 5/15/2008 100 98 General Dynamics 4.25% 5/15/2013 350 335 Goodrich Corp. 6.45% 12/15/2007 300 326 Hanson PLC 5.25% 3/15/2013 125 125 Hutchison Whampoa International Ltd. 5.45% 11/24/2010(3) 225 227 Hutchison Whampoa International Ltd. 6.25% 1/24/2014(3) 375 378 Hutchison Whampoa International Ltd. 7.45% 11/24/2033(3) 300 307 Ingersoll-Rand Co. 6.25% 5/15/2006 150 163 Lockheed Martin Corp. 7.65% 5/1/2016 650 794 Masco Corp. 6.75% 3/15/2006 700 762 Northrop Grumman Corp. 7.75% 2/15/2031 150 183 Raytheon Co. 4.50% 11/15/2007 1,000 1,028 Raytheon Co. 5.50% 11/15/2012 200 202 Raytheon Co. 5.375% 4/1/2013 100 100 Republic Service 7.125% 5/15/2009 200 230 Textron Financial Corp. 5.875% 6/1/2007 1,000 1,077 Textron Inc. 6.50% 6/1/2012 100 109 TRW. Inc. 7.75% 6/1/2029 450 535 United Technologies Corp. 4.875% 11/1/2006 1,225 1,300 USA Waste Services Inc. 7.00% 7/15/2028 300 320 Waste Management, Inc. 6.50% 11/15/2008 425 468 Waste Management, Inc. 7.375% 8/1/2010 150 173 COMMUNICATION (2.8%) AT&T Broadband Corp. 9.455% 11/15/2022 100 135 AT&T Corp 7.25% 11/15/2006 485 535 AT&T Corp. 8.05% 11/15/2011 250 286 AT&T Corp. 8.00% 11/15/2031 525 611 AT&T Wireless Services Inc. 7.875% 3/1/2011 450 518 AT&T Wireless Services Inc. 8.125% 5/1/2012 375 436 AT&T Wireless Services Inc. 8.75% 3/1/2031 400 491 BellSouth Capital Funding 7.875% 2/15/2030 900 1,089
18
- ------------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ------------------------------------------------------------------------------------------------------------------- BellSouth Telecommunication 6.375% 6/1/2028 250 259 British Sky Broadcasting 7.30% 10/15/2006 75 84 British Sky Broadcasting 6.875% 2/23/2009 75 84 British Sky Broadcasting 8.20% 7/15/2009 75 89 British Telecommunications PLC 7.875% 12/15/2005 650 715 British Telecommunications PLC 8.875% 12/15/2030 625 816 CenturyTel Inc. 7.875% 8/15/2012 175 208 Citizens Communications 9.00% 8/15/2031 375 436 Clear Channel Communications Inc. 7.65% 9/15/2010 750 876 Comcast Cable Communications Inc. 6.375% 1/30/2006 250 269 Comcast Cable Communications Inc. 6.75% 1/30/2011 400 445 Comcast Cable Communications Inc. 8.875% 5/1/2017 200 255 Comcast Corp. 5.30% 1/15/2014 400 398 Comcast Corp. 6.50% 1/15/2015 600 650 Comcast Corp. 7.05% 3/15/2033 100 108 Cox Communications, Inc. 7.75% 11/1/2010 200 234 Cox Enterprises 7.875% 9/15/2010(3) 575 669 Deutsche Telekom International Finance 8.25% 6/15/2005 500 543 Deutsche Telekom International Finance 3.875% 7/22/2008 100 100 Deutsche Telekom International Finance 8.50% 6/15/2010 750 906 Deutsche Telekom International Finance 5.25% 7/22/2013 100 100 Deutsche Telekom International Finance 8.75% 6/15/2030 625 794 France Telecom 8.45% 3/1/2006 500 556 France Telecom 9.00% 3/1/2011 250 300 France Telecom 9.75% 3/1/2031 650 857 Grupo Televisa SA 8.625% 8/8/2005 475 521 GTE Corp. 8.75% 11/1/2021 100 124 GTE South Inc. 6.125% 6/15/2007 875 954 Intelsat Ltd. 5.25% 11/1/2008(3) 125 129 Intelsat Ltd. 7.625% 4/15/2012 300 337 Intelsat Ltd. 6.50% 11/1/2013(3) 125 130 Koninklijke KPN NV 8.00% 10/1/2010 475 567 Koninklijke KPN NV 8.375% 10/1/2030 200 250 New England Telephone & Telegraph Co. 7.875% 11/15/2029 100 119 New York Telephone Co. 7.25% 2/15/2024 100 103 News America Holdings Inc. 9.25% 2/1/2013 200 258 News America Holdings Inc. 8.00% 10/17/2016 250 302 News America Holdings Inc. 8.15% 10/17/2036 200 245 News America Holdings Inc. 7.75% 12/1/2045 100 118 SBC Communications Inc. 5.75% 5/2/2006 200 213 SBC Communications Inc. 6.25% 3/15/2011 225 246 SBC Communications Inc. 5.875% 8/15/2012 1,000 1,062 Sprint Capital Corp. 7.90% 3/15/2005 1,100 1,172 Sprint Capital Corp. 8.75% 3/15/2032 1,175 1,388 TCI Communications Inc. 8.75% 8/1/2015 175 220 TCI Communications Inc. 8.00% 8/1/2005 990 1,077 Telecom Italia Capital 4.00% 11/15/2008(3) 375 378 Telecom Italia Capital 5.25% 11/15/2013(3) 400 400 Telecom Italia Capital 6.375% 11/15/2033(3) 150 150 Telecomunicaciones de Puerto Rico 6.65% 5/15/2006 125 136 Telefonica Europe BV 7.35% 9/15/2005 775 843 Telefonica Europe BV 8.25% 9/15/2030 375 476
19
- ------------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ------------------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA 8.25% 1/26/2006 350 386 Telefonos de Mexico SA 4.50% 11/19/2008(3) 200 201 Thomson Corp. 5.75% 2/1/2008 100 107 Time Warner Entertainment 8.375% 3/15/2023 100 123 Time Warner Entertainment 8.375% 7/15/2033 600 758 Univision Communications Inc. 2.875% 10/15/2006 100 100 Univision Communications Inc. 3.50% 10/15/2007 150 150 US Cellular 6.70% 12/15/2033 175 175 USA Interactive 7.00% 1/15/2013 300 331 Verizon Global Funding Corp. 6.75% 12/1/2005 325 352 Verizon New Jersey Inc. 5.875% 1/17/2012 825 872 Verizon New York Inc. 6.875% 4/1/2012 175 192 Verizon New York Inc. 7.375% 4/1/2032 675 736 Verizon Pennsylvania Inc. 5.65% 11/15/2011 650 683 Verizon Wireless Inc. 5.375% 12/15/2006 400 427 Vodafone AirTouch PLC 7.625% 2/15/2005 325 346 Vodafone AirTouch PLC 7.75% 2/15/2010 175 207 Vodafone AirTouch PLC 7.875% 2/15/2030 625 761 CONSUMER CYCLICAL (3.2%) AOL Time Warner Inc. 6.125% 4/15/2006 1,000 1,076 AOL Time Warner Inc. 6.15% 5/1/2007 525 572 AOL Time Warner Inc. 6.75% 4/15/2011 100 112 AOL Time Warner Inc. 7.625% 4/15/2031 750 862 AOL Time Warner Inc. 7.70% 5/1/2032 150 174 Auburn Hills Trust 12.375% 5/1/2020 100 142 Cendant Corp. 6.875% 8/15/2006 445 487 Cendant Corp. 6.25% 1/15/2008 350 381 Cendant Corp. 7.375% 1/15/2013 175 201 Costco Wholesale Corp. 5.50% 3/15/2007 875 942 DaimlerChrysler North America Holding Corp. 7.40% 1/20/2005 300 316 DaimlerChrysler North America Holding Corp. 7.375% 9/15/2006 2,000 2,212 DaimlerChrysler North America Holding Corp. 4.05% 6/4/2008 250 248 DaimlerChrysler North America Holding Corp. 7.30% 1/15/2012 225 251 DaimlerChrysler North America Holding Corp. 6.50% 11/15/2013 300 315 DaimlerChrysler North America Holding Corp. 8.50% 1/18/2031 400 475 Dayton Hudson Corp. 6.65% 8/1/2028 350 377 Delphi Corp. 6.50% 8/15/2013 300 314 The Walt Disney Co. 5.375% 6/1/2007 1,000 1,062 The Walt Disney Co. 6.375% 3/1/2012 250 275 Federated Department Stores, Inc. 6.90% 4/1/2029 200 216 Ford Capital BV 9.50% 6/1/2010 225 255 Ford Motor Co. 7.45% 7/16/2031 800 802 Ford Motor Co. 9.98% 2/15/2047 900 1,104 Ford Motor Credit Co. 6.875% 2/1/2006 2,300 2,452 Ford Motor Credit Co. 6.50% 1/25/2007 2,000 2,130 Ford Motor Credit Co. 7.375% 10/28/2009 100 109 Ford Motor Credit Co. 7.25% 10/25/2011 1,150 1,240 Ford Motor Credit Co. 7.00% 10/1/2013 450 473 General Motors Acceptance Corp. 5.25% 5/16/2005 250 259 General Motors Acceptance Corp. 6.75% 1/15/2006 200 214
20
- --------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - --------------------------------------------------------------------------------------------- General Motors Acceptance Corp. 4.50% 7/15/2006 500 514 General Motors Acceptance Corp. 6.125% 9/15/2006 600 641 General Motors Acceptance Corp. 7.75% 1/19/2010 1,725 1,942 General Motors Acceptance Corp. 6.875% 9/15/2011 500 538 General Motors Acceptance Corp. 7.00% 2/1/2012 950 1,025 General Motors Acceptance Corp. 6.875% 8/28/2012 900 965 General Motors Corp. 7.20% 1/15/2011 250 273 General Motors Corp. 8.25% 7/15/2023 150 169 General Motors Corp. 6.75% 5/1/2028 700 679 General Motors Corp. 8.375% 7/15/2033 550 626 Harrah's Operating Co. Inc. 7.125% 6/1/2007 175 194 Harrah's Operating Co. Inc. 7.50% 1/15/2009 250 285 Harrah's Operating Co. Inc. 5.375% 12/15/2013(3) 250 247 International Paper Co. 5.50% 1/15/2014 100 100 Kohl's Corp. 6.00% 1/15/2033 100 101 Liberty Media Corp. 3.50% 9/25/2006 200 201 Liberty Media Corp. 7.75% 7/15/2009 550 631 Liberty Media Corp. 8.25% 2/1/2030 250 298 Lowe's Cos., Inc. 6.875% 2/15/2028 500 565 May Department Stores Co. 9.75% 2/15/2021 525 678 McDonald's Corp. 6.00% 4/15/2011 400 433 Pulte Homes Inc. 7.875% 6/15/2032 275 321 Target Corp. 3.375% 3/1/2008 500 500 Target Corp. 5.40% 10/1/2008 750 808 Toyota Motor Credit Corp. 4.35% 12/15/2010 200 203 Toys R Us, Inc. 7.875% 4/15/2013 100 107 Toys R Us, Inc. 7.375% 10/15/2018 100 101 Toys R Us, Inc. 8.75% 9/1/2021 50 55 VF Corp. 6.00% 10/15/2033(3) 150 149 Viacom Inc. 7.75% 6/1/2005 1,375 1,488 Viacom Inc. 5.625% 8/15/2012 300 319 Viacom Inc. 5.50% 5/15/2033 250 231 Visteon Corp. 7.95% 8/1/2005 150 160 Visteon Corp. 8.25% 8/1/2010 150 168 Wal-Mart Stores, Inc. 4.375% 7/12/2007 250 261 Wal-Mart Stores, Inc. 7.55% 2/15/2030 500 615 Wal-Mart Stores, Inc. Canada 5.58% 5/1/2006(3) 1,400 1,502 Wendy's International 6.20% 6/15/2014 300 327 CONSUMER NONCYCLICAL (2.1%) Abbott Laboratories 5.625% 7/1/2006 300 323 Albertson's Inc. 8.00% 5/1/2031 150 173 Altria Group Inc. 5.625% 11/4/2008 275 282 Altria Group Inc. 7.00% 11/4/2013 150 160 Anheuser-Busch Cos., Inc. 7.50% 3/15/2012 500 596 Anheuser-Busch Cos., Inc. 7.125% 7/1/2017 650 722 Archer-Daniels-Midland Co. 8.125% 6/1/2012 50 62 C.R. Bard, Inc. 6.70% 12/1/2026 350 383 Becton, Dickinson, & Co. 4.55% 4/15/2013 150 147 Becton, Dickinson, & Co. 4.90% 4/15/2018 150 146 Bottling Group LLC 4.625% 11/15/2012 450 447
21
- ------------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ------------------------------------------------------------------------------------------------------------------- Bristol-Myers Squibb Co. 4.00% 8/15/2008(3) 250 254 Bristol-Myers Squibb Co. 5.75% 10/1/2011 1,050 1,132 Bristol-Myers Squibb Co. 5.25% 8/15/2013(3) 250 258 Bunge Ltd. Finance Corp. 4.375% 12/15/2008(3) 200 201 Campbell Soup Co. 6.75% 2/15/2011 900 1,022 Cia. Brasil de Bebidas AmBev 10.50% 12/15/2011 90 105 Cia. Brasil de Bebidas AmBev 8.75% 9/15/2013(3) 150 160 Coca-Cola Enterprises, Inc. 6.125% 8/15/2011 1,200 1,324 Coca-Cola Enterprises, Inc. 8.50% 2/1/2022 75 98 Coca-Cola Enterprises, Inc. 6.75% 9/15/2028 250 278 Conagra Foods, Inc. 7.875% 9/15/2010 1,000 1,193 Diageo Capital PLC 3.375% 3/20/2008 500 498 General Mills Inc. 2.625% 10/24/2006 500 497 General Mills Inc. 5.125% 2/15/2007 475 505 Grand Metropolitan Investment Corp. 9.00% 8/15/2011 400 510 H.J. Heinz Co. 6.375% 7/15/2028 225 239 Healthcare Services 7.75% 6/15/2011(3) 200 232 Imperial Tobacco 7.125% 4/1/2009 175 197 International Flavors & Fragrances 6.45% 5/15/2006 150 162 Johnson & Johnson 3.80% 5/15/2013 225 212 Johnson & Johnson 4.95% 5/15/2033 125 113 Kellogg Co. 6.00% 4/1/2006 300 323 Kellogg Co. 7.45% 4/1/2031 350 413 Kraft Foods Inc. 4.625% 11/1/2006 925 966 Kraft Foods Inc. 5.625% 11/1/2011 225 237 Kraft Foods Inc. 6.50% 11/1/2031 325 341 Kroger Co. 7.70% 6/1/2029 175 203 Kroger Co. 8.00% 9/15/2029 250 300 Fred Meyer, Inc. 7.375% 3/1/2005 500 531 Newell Rubbermaid Inc. 6.75% 3/15/2012 150 165 Pepsi Bottling Group Inc. 7.00% 3/1/2029 250 286 Pharmacia Corp. 5.75% 12/1/2005 1,000 1,068 Philip Morris Cos., Inc. 7.00% 7/15/2005 675 712 Procter & Gamble Co. ESOP 9.36% 1/1/2021 1,000 1,353 Quest Diagnostic Inc. 6.75% 7/12/2006 125 136 Safeway Inc. 6.50% 3/1/2011 450 490 Safeway Inc. 5.80% 8/15/2012 125 129 Sara Lee Corp. 1.95% 6/15/2006 350 344 Sara Lee Corp. 6.125% 11/1/2032 500 517 Schering-Plough Corp. 5.30% 12/1/2013 200 202 Schering-Plough Corp. 6.50% 12/1/2033 150 156 Tyson Foods Inc. 7.25% 10/1/2006 200 219 Tyson Foods Inc. 8.25% 10/1/2011 200 233 Unilever Capital Corp. 6.875% 11/1/2005 400 434 United Health Group Inc. 5.20% 1/17/2007 375 400 Wellpoint Health Network 6.375% 1/15/2012 400 439 Wyeth 4.125% 3/1/2008 525 543 Wyeth 5.25% 3/15/2013 350 355 Wyeth 5.50% 2/1/2014 475 480 Wyeth 6.45% 2/1/2024 75 76 Wyeth 6.50% 2/1/2034 100 102
22
- ------------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ------------------------------------------------------------------------------------------------------------------- ENERGY (1.3%) Alberta Energy Co. Ltd. 7.375% 11/1/2031 400 473 Amerada Hess Corp. 7.30% 8/15/2031 425 438 Anadarko Finance Co. 7.50% 5/1/2031 300 356 Anadarko Petroleum Corp. 6.125% 3/15/2012 200 216 Baker Hughes Inc. 6.25% 1/15/2009 500 557 BP Capital Markets PLC 2.35% 6/15/2006 500 503 BP Capital Markets PLC 2.75% 12/29/2006 250 250 Burlington Resources Inc. 7.40% 12/1/2031 250 290 Canadian Natural Resources 7.20% 1/15/2032 200 233 Conoco Funding Co. 5.45% 10/15/2006 500 537 Conoco Funding Co. 6.35% 10/15/2011 775 868 Conoco Phillips Corp. 5.90% 10/15/2032 500 501 Devon Energy Corp. 6.875% 9/30/2011 500 563 Devon Energy Corp. 7.875% 9/30/2031 100 119 Devon Energy Corp. 7.95% 4/15/2032 100 121 Halliburton Co. 5.50% 10/15/2010(3) 125 130 Kerr McGee Corp. 7.875% 9/15/2031 275 314 LG Caltex Oil Corp. 7.75% 7/25/2011(3) 400 457 Marathon Oil Corp. 6.125% 3/15/2012 300 323 Nexen Inc. 5.05% 11/20/2013 100 99 Norsk Hydro 7.15% 1/15/2029 300 350 Occidental Petroleum 6.75% 1/15/2012 200 226 Occidental Petroleum 7.20% 4/1/2028 200 229 PanCanadian Energy Corp. 7.20% 11/1/2031 250 288 Pemex Project Funding Master Trust 7.875% 2/1/2009 200 226 Pemex Project Funding Master Trust 7.375% 12/15/2014 600 632 Pemex Project Funding Master Trust 8.625% 2/1/2022 400 441 Petro-Canada 4.00% 7/15/2013 400 370 Petroleos Mexicanos 6.50% 2/1/2005 1,200 1,256 PF Export Receivables Master Trust 6.60% 12/1/2011(1)(3) 500 553 Phillips Petroleum Co. 8.50% 5/25/2005 750 821 Schlumberger Technology Corp. 6.50% 4/15/2012(3) 200 223 Suncor Energy Inc. 7.15% 2/1/2032 325 375 Texaco Capital Corp. 8.625% 4/1/2032 175 243 Transocean Sedco Forex Inc. 6.625% 4/15/2011 425 471 Union Oil Co. of California 5.05% 10/1/2012 300 303 Valero Energy Corp. 6.875% 4/15/2012 425 469 TECHNOLOGY (0.6%) Computer Sciences Corp. 6.75% 6/15/2006 225 247 Computer Sciences Corp. 5.00% 2/15/2013 400 403 Eastman Kodak Co. 3.625% 5/15/2008 250 238 Electronic Data Systems 6.00% 8/1/2013 350 343 First Data Corp. 4.70% 11/1/2006 500 526 First Data Corp. 3.375% 8/1/2008 500 496 Hewlett-Packard Co. 3.625% 3/15/2008 1,300 1,305 International Business Machines Corp. 6.45% 8/1/2007 1,000 1,117 International Business Machines Corp. 7.00% 10/30/2025 550 632 International Business Machines Corp. 7.125% 12/1/2096 275 312 Motorola Inc. 7.625% 11/15/2010 600 681 Motorola Inc. 8.00% 11/1/2011 100 116
23
- ------------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ------------------------------------------------------------------------------------------------------------------- Motorola Inc. 7.50% 5/15/2025 200 217 Texas Instruments Inc. 6.125% 2/1/2006 100 107 TRANSPORTATION (0.7%) American Airlines Inc. Pass-Through Certificates 7.024% 10/15/2009 725 727 Burlington Northern Santa Fe Corp. 7.875% 4/15/2007 500 577 Burlington Northern Santa Fe Corp. 6.75% 3/15/2029 150 163 Burlington Northern Santa Fe Corp. 7.25% 8/1/2097 350 385 Canadian National Railway Co. 6.80% 7/15/2018 375 430 Canadian Pacific Rail 6.25% 10/15/2011 525 578 Continental Airlines, Inc. Pass-Through Certificates 6.648% 9/15/2017 282 276 CSX Corp. 9.00% 8/15/2006 750 863 Delta Air Lines, Inc. Pass-Through Certificates 7.111% 9/18/2011 625 631 ERAC USA Finance Co. 7.35% 6/15/2008(3) 325 368 Hertz Corp. 7.40% 3/1/2011 525 554 Hertz Corp. 7.625% 6/1/2012 125 133 Norfolk Southern Corp. 8.375% 5/15/2005 725 785 Norfolk Southern Corp. 7.90% 5/15/2097 325 385 Northwest Airlines, Inc. Pass-Through Certificates 6.841% 4/1/2011 100 100 Southwest Airlines Co. 6.50% 3/1/2012 700 762 Union Pacific Corp. 3.625% 6/1/2010 500 477 Union Pacific Corp. 7.00% 2/1/2016 500 572 OTHER Steelcase Inc. 6.375% 11/15/2006 125 129 ----------- 154,319 ----------- UTILITIES (2.2%) ELECTRIC (1.7%) AEP Texas Central Co. 5.50% 2/15/2013 350 357 AEP Texas Central Co. 6.65% 2/15/2033 250 261 Alabama Power 4.70% 12/1/2010 275 278 Alabama Power 5.50% 10/15/2017 775 802 Arizona Public Service Co. 4.65% 5/15/2015 500 471 Cincinnati Gas & Electric Co. 5.70% 9/15/2012 350 368 Commonwealth Edison Co. 3.70% 2/1/2008 100 100 Commonwealth Edison Co. 6.15% 3/15/2012 100 109 Commonwealth Edison Co. 4.70% 4/15/2015 100 97 Consolidated Edison Inc. 6.625% 12/15/2005 525 569 Constellation Energy Group Inc. 6.125% 9/1/2009 700 768 Constellation Energy Group Inc. 7.00% 4/1/2012 125 141 Consumers Energy Co. 4.25% 4/15/2008(3) 100 101 Consumers Energy Co. 4.80% 2/17/2009(3) 250 255 Consumers Energy Co. 5.375% 4/15/2013(3) 100 100 Corporacion Andina De Fomento 5.20% 5/21/2013 125 123 Detroit Edison Co. 7.50% 2/1/2005 1,000 1,057 Duke Capital Corp. 6.75% 2/15/2032 175 179 Duke Energy Corp. 6.45% 10/15/2032 700 720 Energy East Corp. 6.75% 6/15/2012 600 660
24
- ------------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ------------------------------------------------------------------------------------------------------------------- Entergy Gulf States, Inc. 3.60% 6/1/2008(3) 150 146 FirstEnergy Corp. 5.50% 11/15/2006 350 363 FirstEnergy Corp. 6.45% 11/15/2011 800 827 Florida Power & Light 6.875% 12/1/2005 800 869 Georgia Power Co. 5.125% 11/15/2012 225 230 HQI Transelec Chile SA 7.875% 4/15/2011 475 546 Korea Electric Power 4.25% 9/12/2007(3) 325 330 MidAmerican Energy Co. 6.75% 12/30/2031 825 905 National Rural Utilities Cooperative Finance Corp. 6.50% 3/1/2007 500 551 National Rural Utilities Cooperative Finance Corp. 5.75% 8/28/2009 1,000 1,083 NiSource Finance Corp. 3.20% 11/1/2006 300 302 NiSource Finance Corp. 7.875% 11/15/2010 150 179 Ohio Power Co. 4.85% 1/15/2014 300 293 Ohio Power Co. 6.375% 7/15/2033 300 312 Oncor Electric Delivery 6.375% 5/1/2012 150 165 Oncor Electric Delivery 6.375% 1/15/2015 200 215 Oncor Electric Delivery 7.25% 1/15/2033 200 225 PacifiCorp 6.90% 11/15/2011 275 315 PECO Energy Co. 5.95% 11/1/2011 400 435 Pepco Holdings Inc. 6.45% 8/15/2012 200 217 Progress Energy Inc. 6.05% 4/15/2007 100 108 Progress Energy Inc. 7.10% 3/1/2011 850 958 PSEG Power Corp. 6.875% 4/15/2006 225 246 PSEG Power Corp. 7.75% 4/15/2011 100 118 PSEG Power Corp. 6.95% 6/1/2012 200 225 PSEG Power Corp. 8.625% 4/15/2031 200 257 Public Service of Colorado 4.375% 10/1/2008 750 769 Scana Corp. 6.25% 2/1/2012 600 654 Virginia Electric & Power Co. 5.375% 2/1/2007 675 722 Wisconsin Electric Power 5.625% 5/15/2033 100 96 XCEL Energy Inc. 7.00% 12/1/2010 125 141 NATURAL GAS (0.5%) Columbia Energy Group 7.62% 11/28/2025 150 162 Consolidated Natural Gas 5.375% 11/1/2006 425 457 Consolidated Natural Gas 6.25% 11/1/2011 500 547 Duke Energy Field Services 7.50% 8/16/2005 225 243 Duke Energy Field Services 8.125% 8/16/2030 150 183 Enterprise Products Operating LP 8.25% 3/15/2005 300 323 Keyspan Corp. 7.25% 11/15/2005 1,175 1,281 Kinder Morgan Energy Partners, LP 7.30% 8/15/2033 250 284 Kinder Morgan Inc. 6.50% 9/1/2012 500 551 Sempra Energy 6.95% 12/1/2005 500 542 Southern Union Co. 7.60% 2/1/2024 200 217 Texas Gas Transmission 4.60% 6/1/2015 150 142 Trans-Canada Pipelines 4.00% 6/15/2013 375 349 ----------- 25,599 ----------- - ------------------------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS (COST $350,857) 363,604 - -------------------------------------------------------------------------------------------------------------------
25
- ----------------------------------------------------------------------------------------------------------------- FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ----------------------------------------------------------------------------------------------------------------- SOVEREIGN BONDS (U.S. Dollar-Denominated) (2.5%) - ----------------------------------------------------------------------------------------------------------------- Canadian Government 6.75% 8/28/2006 900 1,002 Export Development Canada 4.00% 8/1/200 200 207 Federation of Malaysia 8.75% 6/1/2009 250 307 Federation of Malaysia 7.50% 7/15/2011 400 474 Instit De Credito Official 6.00% 5/19/2008 200 222 KFW International Finance, Inc. 2.50% 10/17/2005 2,500 2,526 KFW International Finance, Inc. 4.75% 1/24/2007 500 531 Kredit Weideraufbau 2.375% 9/25/2006 700 699 Ontario Hydro Electric 6.10% 1/30/2008 200 221 Province of British Columbia 5.375% 10/29/2008 970 1,049 Province of Manitoba 7.50% 2/22/2010 500 599 Province of New Brunswick 3.50% 10/23/2007 1,000 1,013 Province of Newfoundland 7.32% 10/13/2023 600 733 Province of Ontario 5.50% 10/1/2008 2,000 2,170 Province of Quebec 5.75% 2/15/2009 500 547 Province of Quebec 5.00% 7/17/2009 1,000 1,057 Province of Quebec 7.50% 9/15/2029 250 311 Province of Saskatchewan 7.375% 7/15/2013 400 485 Quebec Hydro Electric 6.30% 5/11/2011 500 565 Quebec Hydro Electric 7.50% 4/1/2016 1,000 1,223 Region of Lombardy 5.804% 10/25/2032 250 258 Republic of Chile 5.625% 7/23/2007 650 694 Republic of Italy 4.375% 10/25/2006 500 524 Republic of Italy 2.75% 12/15/2006 250 250 Republic of Italy 3.625% 9/14/2007 2,400 2,451 Republic of Italy 5.625% 6/15/2012 1,650 1,795 Republic of Italy 6.875% 9/27/2023 500 593 Republic of Korea 8.875% 4/15/2008 200 241 Republic of Korea 4.25% 6/1/2013 250 242 Republic of South Africa 7.375% 4/25/2012 500 560 Republic of South Africa 8.50% 6/23/2017 250 298 State of Israel 4.625% 6/15/2013 125 119 Swedish Export Credit 2.875% 1/26/2007 225 226 United Mexican States 9.875% 1/15/2007 600 714 United Mexican States 8.625% 3/12/2008 175 206 United Mexican States 4.625% 10/8/2008 325 330 United Mexican States 8.375% 1/14/2011 1,725 2,044 United Mexican States 6.375% 1/16/2013 250 259 United Mexican States 8.30% 8/15/2031 1,550 1,749 United Mexican States 7.50% 4/8/2033 150 156 - ----------------------------------------------------------------------------------------------------------------- TOTAL SOVEREIGN BONDS (COST $28,808) 29,650 - ----------------------------------------------------------------------------------------------------------------- TAXABLE MUNICIPAL BONDS (0.2%) - ----------------------------------------------------------------------------------------------------------------- Illinois (Taxable Pension) GO 4.95% 6/1/2023 75 70 Illinois (Taxable Pension) GO 5.10% 6/1/2033 1,400 1,281 Oregon (Taxable Pension) GO 5.762% 6/1/2023 125 128 Oregon (Taxable Pension) GO 5.892% 6/1/2027 125 129
26
- ------------------------------------------------------------------------------------------------------------ FACE MARKET INSTITUTIONAL TOTAL BOND MATURITY AMOUNT VALUE* MARKET INDEX FUND COUPON DATE (000) (000) - ------------------------------------------------------------------------------------------------------------ Wisconsin Public Service Rev. 4.80% 5/1/2013 150 150 Wisconsin Public Service Rev. 5.70% 5/1/2026 150 151 - ------------------------------------------------------------------------------------------------------------ TOTAL TAXABLE MUNICIPAL BONDS (COST $1,888) 1,909 - ------------------------------------------------------------------------------------------------------------ TEMPORARY CASH INVESTMENTS (2.0%) - ------------------------------------------------------------------------------------------------------------ REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.98% 1/2/2004 16,034 16,034 Collateralized by U.S. Government Obligations in a Pooled Cash Account--Note E 0.99% 1/2/2004 8,182 8,182 - ------------------------------------------------------------------------------------------------------------ TOTAL TEMPORARY CASH INVESTMENTS (COST $24,216) 24,216 - ------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS (100.6%) (COST $1,172,645) 1,191,456 - ------------------------------------------------------------------------------------------------------------ OTHER ASSETS AND LIABILITIES (-0.6%) - ------------------------------------------------------------------------------------------------------------ Other Assets 32,674 Liabilities--Note E (39,512) ------------ (6,838) ------------ - ------------------------------------------------------------------------------------------------------------ NET ASSETS (100%) - ------------------------------------------------------------------------------------------------------------ Applicable to 22,871,216 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $1,184,618 - ------------------------------------------------------------------------------------------------------------ NET ASSET VALUE PER SHARE $51.80 ============================================================================================================
*See Note A in Notes to Financial Statements. *The issuer operates under a congressional charter; its securities are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuer's line of credit), would require congressional action. (1)The average maturity is shorter than the final maturity shown due to scheduled interim principal payments and prepayments. (2)Adjustable-rate note. (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 December 31, 2003, the aggregate value of these securities was $16,369,000, representing 1.4% of net assets. GO--General Obligation Bond. - -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- AMOUNT PER (000) SHARE - -------------------------------------------------------------------------------- Paid-in Capital $1,165,107 $50.95 Undistributed Net Investment Income -- -- Accumulated Net Realized Gains 299 .01 Unrealized Appreciation Investment Securities 18,811 .82 Swap Contracts 401 .02 - -------------------------------------------------------------------------------- NET ASSETS $1,184,618 $51.80 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 27 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 YEAR ENDED DECEMBER 31, 2003 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Interest $40,042 Security Lending 40 - -------------------------------------------------------------------------------- Total Income 40,082 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Management and Administrative 526 - -------------------------------------------------------------------------------- Total Expenses 526 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 39,556 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold 8,233 Swap Contracts 776 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) 9,009 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (5,775) Swap Contracts 272 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (5,503) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $43,062 ================================================================================ 28 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 ------------------------------------ YEAR ENDED APRIL 26*TO DEC. 31, 2003 DEC. 31, 2002 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 39,556 $ 19,184 Realized Net Gain (Loss) 9,009 291 Unrealized Appreciation (Depreciation) (5,503) 24,715 - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 43,062 44,190 - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income (40,547) (18,969) Realized Capital Gain** (4,003) (227) - -------------------------------------------------------------------------------- Total Distributions (44,550) (19,196) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS1 Issued 423,202 1,012,589 Issued in Lieu of Cash Distributions 33,805 11,291 Redeemed (275,964) (43,811) - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 181,043 980,069 - -------------------------------------------------------------------------------- Total Increase (Decrease) 179,555 1,005,063 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 1,005,063 -- - -------------------------------------------------------------------------------- End of Period $1,184,618 $1,005,063 ================================================================================ (1)Shares Issued (Redeemed) Issued 8,136 20,000 Issued in Lieu of Cash Distributions 650 220 Redeemed (5,282) (853) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding 3,504 19,367 ================================================================================ *Inception. **Includes fiscal 2003 and 2002 short-term gain distributions totaling $2,653,000 and $227,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 29 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 - -------------------------------------------------------------------------------- YEAR ENDED APRIL 26* TO DEC. 31, 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 1.952 1.701 Net Realized and Unrealized Gain (Loss) on Investments .133 1.891 - -------------------------------------------------------------------------------- Total from Investment Operations 2.085 3.592 - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.997) (1.690) Distributions from Realized Capital Gains (.178) (.012) - -------------------------------------------------------------------------------- Total Distributions (2.175) (1.702) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $51.80 $51.89 ================================================================================ TOTAL RETURN 4.08% 7.30% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $1,185 $1,005 Ratio of Total Expenses to Average Net Assets 0.05% 0.05%** Ratio of Net Investment Income to Average Net Assets 3.81% 4.57%** Portfolio Turnover Rate+ 70% 64% ================================================================================ *Inception. **Annualized. +Portfolio turnover rates excluding in-kind redemptions were 60% and 64%, respectively. SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 30 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, 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 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. 31 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 year ended December 31, 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. The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $386,000 from accumulated net realized gains to paid-in capital. Realized and unrealized gains (losses) on certain of the fund's total return swap contracts (used to replicate specific bond market segments or securities) are treated as ordinary income (loss) for tax purposes, affecting the fund's income dividends to shareholders but having no effect on the fund's tracking of the index as the effect on income dividends is offset by a change in principal return. Realized gains on swap contracts of $776,000 have been reclassified from accumulated net realized gains to undistributed net investment income. Taxable income on swap contracts is accumulated monthly and included in income dividends paid to shareholders in the following month. At December 31, 2003, the fund had $227,000 of net swap gains available to distribute to shareholders as ordinary income dividends. For tax purposes at December 31, 2003, the fund had long-term capital gains of $382,000 available for distribution. At December 31, 2003, net unrealized appreciation of investment securities for tax purposes was $18,743,000, consisting of unrealized gains of $21,927,000 on securities that had risen in value since their purchase and $3,184,000 in unrealized losses on securities that had fallen in value since their purchase. 32 AT DECEMBER 31, 2003, THE FUND HAD THE FOLLOWING OPEN SWAP CONTRACTS:
TOTAL RETURN SWAPS - ---------------------------------------------------------------------------------------------- FLOATING UNREALIZED NOTIONAL INTEREST APPRECIATION AMOUNT RATE (DEPRECIATION) REFERENCE ENTITY/TERMINATION DATE DEALER* (000) PAID** (000) - ---------------------------------------------------------------------------------------------- Commercial Mortgage-Backed Securities Index 1/31/2004 MSCP $ 3,000 0.72% $ 30 Commercial Mortgage-Backed Securities Index 1/31/2004 DBS 900 0.62 9 Federal National Mortgage Assn., 5.00% 15-Year 1/31/2004 UBS 4,000 1.00 20 Commercial Mortgage-Backed Securities Index 2/29/2004 MSCP 5,100 0.57 170 Commercial Mortgage-Backed Securities Index 4/30/2004 BA 10,000 0.57 102 Commercial Mortgage-Backed Securities Index 4/30/2004 BA 5,000 0.57 51 Federal National Mortgage Assn. 5.00% 15-Year 5/31/2004 UBS 7,000 0.97 19 --------- $401 - ----------------------------------------------------------------------------------------------
*BA--Bank of America. DBS--Deutsche Bank Securities. MSCP--Morgan Stanley Credit Products. UBS--UBS Warburg. **Based on one-month London Interbank Offered Rate (LIBOR). D. During the year ended December 31, 2003, the fund purchased $181,210,000 of investment securities and sold $161,936,000 of investment securities other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $962,453,000 and $556,936,000, respectively. E. The market value of securities on loan to broker/dealers at December 31, 2003, was $51,041,000, for which the fund held as collateral cash of $8,182,000 and U.S. government and agency securities with a market value of $44,544,000. 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. 33 REPORT OF INDEPENDENT AUDITORS To the Shareholders and Trustees of Vanguard Institutional Bond Market Index Fund: In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Total Bond Market Index Fund (the "Fund") at December 31, 2003, the results of its operations for the year then ended and the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 9, 2004 - -------------------------------------------------------------------------------- SPECIAL 2003 TAX INFORMATION (UNAUDITED) FOR VANGUARD INSTITUTIONAL TOTAL BOND MARKET INDEX FUND This information for the fiscal year ended December 31, 2003, is included pursuant to provisions of the Internal Revenue Code. The fund distributed $1,504,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year. - -------------------------------------------------------------------------------- 34 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. 35 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 sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------ POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee (1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies May 1987 Executive Officer, served by The Vanguard Group. and Trustee (112) - ------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (112) to Greenwich Associates (international business strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - ------------------------------------------------------------------------------------------------------------ RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (1945) (112) Chairman (JanuarySeptember 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. - ------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the HEISEN (112) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer (1950) products); Director of the Medical Center at Princeton and Women's July 1998 Research and Education Institute. - ------------------------------------------------------------------------------------------------------------ BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University; (1932) (110) Director of Vanguard Investment Series plc (Irish invest-ment fund) May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish investment management firm)(since November 2001),Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc.(software company). - ------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- the funds. Among board members' responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. - --------------------------------------------------------------------------------
POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------ Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (1941) (112) Industries, Inc. (forklift trucks/housewares/lignite); Director of January 1993 Goodrich Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (supplier for the automotive industry) until 1998. - ------------------------------------------------------------------------------------------------------------ J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (1936) (112) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal distribution); Trustee of Vanderbilt University. - ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (112) Secretary of The Vanguard Group and of each of the investment June 2001 companies served by The Vanguard Group. - ------------------------------------------------------------------------------------------------------------ Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (1957) (112) investment companies served by The Vanguard Group. July 1998 - ------------------------------------------------------------------------------------------------------------ *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the STATEMENT OF ADDITIONAL INFORMATION, available from The Vanguard Group. - ------------------------------------------------------------------------------------------------------------ VANGUARD SENIOR MANAGEMENT TEAM MORTIMER J. BUCKLEY, Information Technology. MICHAEL S. MILLER, Planning and Development. JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance. KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer. F. WILLIAM MCNABB, III, Client Relationship Group. - ------------------------------------------------------------------------------------------------------------ JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. - ------------------------------------------------------------------------------------------------------------
[SHIP] [THE VANGUARD GROUP(R) LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, 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 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. 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) 2004 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q3370 022004 VANGUARD(R) INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND December 31, 2003 ANNUAL REPORT [GRAPHIC] THE VANGUARD GROUP (R) [LOGO] HOW TO READ YOUR FUND REPORT This report contains information that can help you evaluate your investment. It includes details about your fund's return and presents data and analysis that provide insight into the fund's performance and investment approach. By reading the letter from Vanguard's chairman, you'll get an understanding of how the fund invests and how the market environment affected its performance. The statistical information that follows can help you understand how the fund's performance and characteristics stack up against those of similar funds and market benchmarks. It's important to keep in mind that any opinions expressed here are just that: informed opinions. They should not be considered promises or advice. These opinions, like the statistics, cover the period through the date on the cover of this report. The risks of investing in the fund are spelled out in the prospectus. Frequent updates on the fund's performance and information about some of its holdings are available on Vanguard.com(R). - -------------------------------------------------------------------------------- CONTENTS 1 LETTER FROM THE CHAIRMAN 6 FUND PROFILE 7 GLOSSARY OF INVESTMENT TERMS 8 PERFORMANCE SUMMARY 9 YOUR FUND'S AFTER-TAX RETURNS 10 FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- SUMMARY - - The stock market bounced back dramatically in 2003, and Vanguard Institutional Total Stock Market Index Fund met its objective of closely tracking the return of the Wilshire 5000 Index. Both the Institutional Shares and the Institutional Plus Shares returned 31.7%. - - Small-capitalization stocks and high-yield bonds were the best performers in their respective asset classes, while technology shares of all sizes returned to the fore. - - Though its history is brief, the fund has demonstrated some of the long-term benefits of indexing. - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- LETTER FROM THE CHAIRMAN - -------------------------------------------------------------------------------- Dear Shareholder, During 2003, the U.S. stock market rebounded strongly from one of the longest and deepest bear markets in modern financial history. The Wilshire 5000 Total Market Index, a gauge of the broad market, returned 31.6%--its best calendar-year performance since 1995. [PICTURES OF JOHN J. BRENNAN] As you can see in the adjacent table, Vanguard Institutional Total Stock Market Index Fund met its objective of closely tracking the return of this unmanaged benchmark. The fund's returns were also quite strong compared with the return of the fund's peer-group average, which is made up primarily of actively managed funds. - -------------------------------------------------------------------------------- 2003 TOTAL RETURNS YEAR ENDED DECEMBER 31 - -------------------------------------------------------------------------------- Vanguard Institutional Total Stock Market Index Fund Institutional Shares 31.7% Institutional Plus Shares 31.7 Wilshire 5000 Index 31.6 Average Multi-Cap Core Fund* 29.9 - -------------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. Details of the per-share components of your fund's total returns appear on page 5. If you hold your shares in a taxable account, you may wish to review the fund's after-tax returns on page 9. STOCKS REBOUNDED FROM THE FIERCE BEAR MARKET The long and painful downturn of the broad market, which lost more than one-third of its value during the three years ended December 31, 2002, came to a dramatic close in 2003. The start and subsequent swift completion of major combat operations in Iraq ignited a broad-based rally that propelled the Wilshire 5000 Index higher. Other factors contributing to the rebound included the Federal Reserve Board's reduction in its target for short-term interest rates to a 45-year low of 1.00%; low mortgage rates, which spurred home-buying 1 and freed up cash through refinancing; the decline of the U.S. dollar relative to other currencies, which aided businesses dependent on exports and profits from operations overseas; tax cuts, which resulted in cash that consumers were more than willing to spend; a spike in business investment; and rapid growth in U.S. economic output, which expanded at an 8.2% annual rate in the third quarter. By most gauges of performance, growth and value stocks--whose prices reflect either a premium or a discount relative to company earnings, book value, or other measures provided similar returns. Small-cap stocks outpaced large-caps by a substantial margin, with the small-cap Russell 2000 Index outperforming the mid- to large-cap Russell 1000 Index by 17.4 percentage points. International stocks, particularly those from emerging markets, also posted excellent returns. For U.S.-based investors, strong local-currency returns were generally augmented by the dollar's decline. 'JUNK' REIGNED SUPREME An appetite for risk was evident not just in the stock market, but also in fixed income investments. Bonds from companies rated below-investment-grade (popularly known as "junk" bonds) surged 29.0% during the 12 months, as measured by the Lehman Brothers High Yield Bond Index. - -------------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ------------------------------- ONE THREE FIVE YEAR YEARS YEARS - -------------------------------------------------------------------------------- STOCKS Russell 1000 Index (Large-caps) 29.9% -3.8% -0.1% Russell 2000 Index (Small-caps) 47.3 6.3 7.1 Wilshire 5000 Index (Entire market) 31.6 -2.5 0.4 MSCI All Country World Index Free ex USA (International) 41.4 -1.0 1.5 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index 4.1% 7.6% 6.6% (Broad taxable market) Lehman Municipal Bond Index 5.3 6.7 5.8 Citigroup 3-Month Treasury Bill Index 1.1 2.3 3.5 ================================================================================ CPI Consumer Price Index 1.9% 1.9% 2.4% - -------------------------------------------------------------------------------- U.S. Treasury securities, which are essentially free of credit risk, provided weak returns. The benchmark 10-year Treasury note rallied early in the year, compressing yields to levels not seen since Dwight Eisenhower occupied the Oval Office, but retreated as the stock market and the broader economy gathered steam. By year-end, the 10-year note's yield stood at 4.25%, up 44 basis points (0.44 percentage point) from the beginning of the year. Rising rates mean falling prices, and the return of the broad Treasury 2 market was barely positive. Overall, the broad U.S. investment-grade taxable bond market earned 4.1%. - -------------------------------------------------------------------------------- Technology stocks, which were among the hardest hit in the stock market's long downturn, staged a remarkable recovery. Chip-makers and software companies began to profit from a rebound in capital spending. - -------------------------------------------------------------------------------- Even as yields of longer-maturity bonds rose, the yield of the 3-month Treasury bill, a proxy for money market rates, finished the year at 0.92%, 27 basis points below its year-ago level. THE FUND'S RESURGENCE WAS REMARKABLE IN ITS BREADTH AND STRENGTH Vanguard Institutional Total Stock Market Index Fund's impressive returns in 2003 were a remarkable rebound from the dispiriting performances recorded in 2001 and 2002. It's worth noting that focusing on the total market in 2003 proved superior to the more typical indexing concentration on large-cap stocks, as the market's smaller shares outpaced their larger counterparts. The market's resurgence was powered by economically sensitive stocks, most notably those in the technology sector, which was battered during the long downturn. As corporations boosted capital spending, one result was strong earnings growth among software- and hardware- makers, such as chip producers. Producer durables and materials & processing stocks also generated strong returns. These companies, which make the economy's basic building blocks, often perform well as an expansion gathers momentum. Heavy-machinery-maker Caterpillar and the big names in the red-hot housing sector all registered impressive gains. No sector performed poorly, except on a relative basis. (After all, "average" performance was, by definition, a market-level 31.6%.) Consumer staples and utilities stocks traditionally defensive sectors that lost some appeal in a more risk-tolerant market were among the weaker performers, though they nevertheless recorded double-digit gains. THE CASE FOR INDEXING HAS BEEN COMPELLING In essence, the objective of an index fund is to capture the return of an index with minimal tracking error. As illustrated by the tables on page 4, Vanguard's Quantitative Equity Group has succeeded in that objective, even after accounting for the operating and transaction costs 3 that the fund, but not the unmanaged index, must bear. - -------------------------------------------------------------------------------- TOTAL RETURNS AUGUST 31, 2001* THROUGH DECEMBER 31, 2003 - -------------------------------------------------------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $200,000,000 RETURN INITIAL INVESTMENT - -------------------------------------------------------------------------------- Institutional Total Stock Market Index Fund Institutional Shares 2.9% $213,560,549 Wilshire 5000 Index 2.8 213,102,366 Average Multi-Cap Core Fund 1.5 207,278,741 - -------------------------------------------------------------------------------- May 31, 2001* Through December 31, 2003 - -------------------------------------------------------------------------------- Average Final Value of Annual a $500,000,000 Return Initial Investment - -------------------------------------------------------------------------------- Institutional Total Stock Market Index Fund Institutional Plus Shares -1.1% $485,783,892 Wilshire 5000 Index -1.2 484,001,170 Average Multi-Cap Core Fund -2.0 474,488,925 - -------------------------------------------------------------------------------- *Share-class inception. Because investors have a choice between indexed and active investment approaches, it's also instructive to evaluate the performance of an index portfolio relative to the returns of active strategies. Therefore, the tables at left also present the average annual return of multi-cap core mutual funds from each share class's inception through December 31, 2003. Although the periods are brief, the results are consistent with our longer-term expectations for an indexing strategy. Both share classes produced a higher annualized return than the peer-group average. The keys to strong relative performance over the long term are full investment in stocks (eliminating the "drag" of uninvested cash in a market that has tended to rise more often than it falls), broad-market diversification, excellent execution by the Quantitative Equity Group, and low trading and operating costs. These attributes don't produce winning comparisons in every single period, but their cumulative effect can be imposing. THE YEAR BROUGHT A WELCOME CHANGE AND A DISAPPOINTMENT This year marks the first time since 1999 that I've had the pleasure to report positive returns to investors in Vanguard's broad market index funds. Although the market's resurgence has made my task more pleasant, it has in no way altered the advice we offered to shareholders both before and during the long downturn. In any market environment, the keys to successful long-term investing are balance, diversification, and low costs. Make these principles the foundation of your investment plan, and you'll be positioned to survive--and ultimately thrive come--what may. 4 Unfortunately, 2003 was also a disappointment to many investors. The reports of late trading and market-timing at some competing investment management firms have been as disturbing to us as they no doubt have been to you. I want to close this letter with an assurance that Vanguard has policies and procedures in place to identify and deter such behavior. More important, Vanguard shareholders are served by a crew of the highest integrity, and our client-owned corporate structure aligns our day-to-day efforts with your long-term financial goals. Thank you for investing your assets with Vanguard. Sincerely, /S/JOHN J. BRENNAN John J. Brennan CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 20, 2004 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DECEMBER 31, 2002-DECEMBER 31, 2003 DISTRIBUTIONS PER SHARE ----------------------- STARTING ENDING INCOME CAPITAL SHARE PRICE SHARE PRICE DIVIDENDS GAINS - -------------------------------------------------------------------------------- Institutional Total Stock Market Index Fund Institutional Shares $18.00 $23.33 $0.330 $0.000 Institutional Plus Shares 18.00 23.33 0.337 0.000 - -------------------------------------------------------------------------------- 5 - -------------------------------------------------------------------------------- FUND PROFILE AS OF 12/31/2003 This Profile provides a snapshot of the fund's characteristics, compared where appropriate with its unmanaged target index. Key terms are defined on page 7. - -------------------------------------------------------------------------------- INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET FUND INDEX* - -------------------------------------------------------------------------------- Number of Stocks 3,335 5,216 Median Market Cap $29.3B $29.3B Price/Earnings Ratio 25.7x 25.6x Price/Book Ratio 3.1x 3.1x Yield 1.5% Institutional Shares 1.5% Institutional Plus Shares 1.5% Return on Equity 15.8% 15.9% Earnings Growth Rate 5.2% 5.3% Foreign Holdings 0.8% 0.8% Turnover Rate 11% -- Expense Ratio -- Institutional Shares 0.06% Institutional Plus Shares 0.025% Short-Term Reserves 0% -- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF PORTFOLIO) TARGET FUND INDEX* - -------------------------------------------------------------------------------- Auto & Transportation 3% 3% Consumer Discretionary 15 15 Consumer Staples 7 7 Financial Services 23 23 Health Care 13 13 Integrated Oils 3 3 Other Energy 2 2 Materials & Processing 4 4 Producer Durables 4 4 Technology 15 15 Utilities 7 6 Other 4 5 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 2.3% (conglomerate) Microsoft Corp. 2.2 (software) ExxonMobil Corp. 2.0 (oil) Pfizer Inc. 2.0 (pharmaceuticals) Citigroup, Inc. 1.9 (banking) Wal-Mart Stores, Inc. 1.7 (retail) Intel Corp. 1.6 (electronics) American International Group, Inc. 1.3 (insurance) Cisco Systems, Inc. 1.3 (computer hardware) International Business Machines Corp. 1.2 (computer hardware) - -------------------------------------------------------------------------------- Top Ten 17.5% - -------------------------------------------------------------------------------- The "Ten Largest Holdings" excludes any temporary cash investments and equity index products. - -------------------------------------------------------------------------------- INVESTMENT FOCUS Market Cap Large Style Blend Visit our website at VANGUARD.COM for regularly updated fund information. *Wilshire 5000 Index. 6 - -------------------------------------------------------------------------------- GLOSSARY OF INVESTMENT TERMS - -------------------------------------------------------------------------------- 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 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. - -------------------------------------------------------------------------------- SHORT-TERM RESERVES. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be 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 income provided by securities in the index. - -------------------------------------------------------------------------------- 7 - -------------------------------------------------------------------------------- PERFORMANCE SUMMARY AS OF 12/31/2003 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 - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE AUGUST 31, 2001-DECEMBER 31, 2003 INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND WILSHIRE 5000 AVERAGE MULTI-CAP INSTITUTIONAL SHARES INDEX CORE FUND 8/31/2001 200,000,000 200,000,000 200,000,000 200109 182,075,281 182,033,820 180,200,000 200112 204,661,063 204,550,528 203,936,377 200203 206,610,216 206,517,990 204,507,399 200206 180,483,758 180,478,704 179,973,853 200209 150,081,946 150,137,867 148,975,789 200212 162,161,670 161,881,852 159,580,215 200303 157,106,285 156,884,342 154,546,241 200306 183,053,446 182,773,941 179,217,963 200309 189,951,197 189,555,803 184,521,412 200312 213,560,549 213,102,366 207,278,740 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 ------------------------------- FINAL VALUE OF A ONE SINCE $200,000,000 YEAR INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Institutional Total Stock Market Index Fund Institutional Shares 31.70% 2.85% $213,560,549 Wilshire 5000 Index 31.64 2.76 213,102,366 Average Multi-Cap Core Fund** 29.89 1.54 207,278,741 - -------------------------------------------------------------------------------- FINAL VALUE OF A ONE SINCE $500,000,000 YEAR INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Institutional Total Stock Market Index Fund Institutional Plus Shares 31.74% -1.11% $485,783,892 Wilshire 5000 Index 31.64 -1.25 484,001,170 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FISCAL-YEAR TOTAL RETURNS (%) AUGUST 31, 2001-DECEMBER 31, 2003 INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND WILSHIRE 5000 INSTITUTIONAL SHARES INDEX 2001 2.3 2.3 2002 -20.8 -20.9 2003 31.7 31.6 - -------------------------------------------------------------------------------- *Inception dates are: for Institutional Shares, August 31, 2001; for Institutional Plus Shares, May 31, 2001. **Derived from data provided by Lipper Inc. Note: See Financial Highlights tables on pages 47 and 48 for dividend and capital gains information. 8 - -------------------------------------------------------------------------------- YOUR FUND'S AFTER-TAX RETURNS - -------------------------------------------------------------------------------- This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect the reduced tax rates on ordinary income (including qualified dividend income) and short-term capital gains that became effective as of January 1, 2003, and on long-term capital gains realized on or after May 6, 2003. Qualified dividend income is for calendar year 2003. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.) The table shows returns for Institutional Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance-whether before or after taxes-does not indicate how it will perform in the future. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2003 SINCE ONE YEAR INCEPTION* -------------------------------- INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES Returns Before Taxes 31.70% 2.85% Returns After Taxes on Distributions 31.38 2.35 Returns After Taxes on Distributions and Sale of Fund Shares 20.95 2.15 - -------------------------------------------------------------------------------- *August 31, 2001. 9 - -------------------------------------------------------------------------------- AS OF 12/31/2003 FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 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 (99.3%)(1) - -------------------------------------------------------------------------------- General Electric Co. 790,467 24,489 Microsoft Corp. 851,186 23,442 ExxonMobil Corp. 520,215 21,329 Pfizer Inc. 600,785 21,226 Citigroup, Inc. 406,276 19,721 Wal-Mart Stores, Inc. 340,807 18,080 Intel Corp. 514,284 16,560 American International Group, Inc. 205,301 13,607 * Cisco Systems, Inc. 543,557 13,203 International Business Machines Corp. 135,532 12,561 Johnson & Johnson 233,685 12,072 The Procter & Gamble Co. 102,155 10,203 The Coca-Cola Co. 193,001 9,795 Bank of America Corp. 116,850 9,398 Altria Group, Inc. 159,896 8,702 Merck & Co., Inc. 175,206 8,095 Wells Fargo & Co. 133,275 7,849 * Berkshire Hathaway Inc. Class A 91 7,667 Verizon Communications 217,359 7,625 ChevronTexaco Corp. 84,238 7,277 * Dell Inc. 201,574 6,845 SBC Communications Inc. 260,522 6,792 United Parcel Service, Inc. 88,518 6,599 * Time Warner, Inc. 355,954 6,404 Home Depot, Inc. 179,176 6,359 PepsiCo, Inc. 135,248 6,305 * Amgen, Inc. 101,581 6,278 Eli Lilly & Co. 88,458 6,221 Viacom Inc. Class B 137,745 6,113 J.P. Morgan Chase & Co. 160,667 5,901 Fannie Mae 76,521 5,744 Abbott Laboratories 123,070 5,735 Hewlett-Packard Co. 239,895 5,510 * Oracle Corp. 411,483 5,432 3M Co. 61,882 5,262 * Comcast Corp. Class A 151,176 4,969 Morgan Stanley 85,302 4,936 American Express Co. 101,263 4,884 Wachovia Corp. 104,221 4,856 Medtronic, Inc. 95,488 4,642 U.S. Bancorp 151,893 4,523 Wyeth 104,895 4,453 Bristol-Myers Squibb Co. 152,761 4,369 Merrill Lynch & Co., Inc. 74,420 4,365 BellSouth Corp. 145,496 4,118 Bank One Corp. 88,005 4,012 Texas Instruments, Inc. 136,089 3,998 The Walt Disney Co. 161,078 3,758 The Goldman Sachs Group, Inc. 37,345 3,687 FleetBoston Financial Corp. 83,070 3,626 10 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- E.I. du Pont de Nemours & Co. 78,463 3,600 ConocoPhillips Co. 53,686 3,520 United Technologies Corp. 37,086 3,515 Lowe's Cos., Inc. 61,867 3,427 QUALCOMM Inc. 63,020 3,399 Anheuser-Busch Cos., Inc. 64,189 3,381 * eBay Inc. 50,866 3,285 Freddie Mac 54,740 3,192 Dow Chemical Co. 72,374 3,009 * Applied Materials, Inc. 130,972 2,940 Walgreen Co. 80,685 2,935 Gillette Co. 79,624 2,925 Washington Mutual, Inc. 70,781 2,840 The Boeing Co. 66,273 2,793 Target Corp. 71,737 2,755 UnitedHealth Group Inc. 46,156 2,685 Fifth Third Bancorp 44,882 2,653 Alcoa Inc. 68,089 2,587 Motorola, Inc. 183,353 2,580 Schlumberger Ltd. 46,082 2,522 * Liberty Media Corp. 212,032 2,521 MBNA Corp. 100,640 2,501 McDonald's Corp. 99,916 2,481 * EMC Corp. 189,313 2,446 * Nextel Communications, Inc. 86,463 2,426 Allstate Corp. 55,436 2,385 * Boston Scientific Corp. 64,526 2,372 First Data Corp. 57,412 2,359 General Motors Corp. 44,084 2,354 Kimberly-Clark Corp. 39,703 2,346 * Yahoo! Inc. 51,749 2,338 Ford Motor Co. 144,220 2,306 Clear Channel Communications, Inc. 48,609 2,276 Caterpillar, Inc. 27,354 2,271 Honeywell International Inc. 67,767 2,265 Emerson Electric Co. 33,134 2,145 Colgate-Palmolive Co. 42,292 2,117 Cardinal Health, Inc. 34,019 2,081 Illinois Tool Works, Inc. 24,256 2,035 The Bank of New York Co., Inc. 60,868 2,016 Metropolitan Life Insurance Co. 59,859 2,015 Schering-Plough Corp. 115,747 2,013 Marsh & McLennan Cos., Inc. 41,695 1,997 Carnival Corp. 49,490 1,966 Gannett Co., Inc. 21,294 1,899 Sysco Corp. 50,896 1,895 Automatic Data Processing, Inc. 46,834 1,855 Lockheed Martin Corp. 35,454 1,822 * Forest Laboratories, Inc. 28,754 1,777 * Cendant Corp. 79,758 1,776 Prudential Financial, Inc. 42,523 1,776 Southern Co. 57,602 1,742 * InterActiveCorp 51,005 1,731 Exelon Corp. 25,721 1,707 * AT&T Wireless Services Inc. 213,429 1,705 HCA Inc. 39,036 1,677 BB&T Corp. 42,969 1,660 * Amazon.com, Inc. 31,537 1,660 Newmont Mining Corp.Holding Company) 33,935 1,650 Lehman Brothers Holdings, Inc. 21,354 1,649 The Gap, Inc. 70,601 1,639 International Paper Co. 37,889 1,632 Dominion Resources, Inc. 25,499 1,627 * Genentech, Inc. 17,386 1,627 National City Corp. 47,801 1,622 * Cox Communications, Inc. Class A 46,607 1,606 SunTrust Banks, Inc. 22,157 1,584 FedEx Corp. 23,458 1,583 Guidant Corp. 24,505 1,475 Baxter International, Inc. 48,134 1,469 Duke Energy Corp. 71,416 1,460 AFLAC Inc. 40,359 1,460 Progressive Corp. of Ohio 16,956 1,417 NIKE, Inc. Class B 20,628 1,412 General Dynamics Corp. 15,600 1,410 Union Pacific Corp. 20,046 1,393 Northrop Grumman Corp. 14,376 1,374 State Street Corp. 26,265 1,368 Waste Management, Inc. 46,093 1,364 Sara Lee Corp. 62,254 1,352 Travelers Property Casualty Corp. Class B 79,144 1,343 * Costco Wholesale Corp. 36,014 1,339 Stryker Corp. 15,731 1,337 * Zimmer Holdings, Inc. 18,972 1,336 SLM Corp. 35,408 1,334 Best Buy Co., Inc. 25,444 1,329 General Mills, Inc. 29,285 1,327 Analog Devices, Inc. 28,903 1,319 The Hartford Financial Services Group Inc. 22,251 1,313 Omnicom Group Inc. 14,919 1,303 Maxim Integrated Products, Inc. 25,878 1,288 Occidental Petroleum Corp. 30,206 1,276 Charles Schwab Corp. 107,077 1,268 Tribune Co. 24,512 1,264 AT&T Corp. 62,219 1,263 Avon Products, Inc. 18,603 1,256 * Veritas Software Corp. 33,539 1,246 Computer Associates International, Inc. 45,443 1,242 Golden West Financial Corp. 11,987 1,237 11 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Deere & Co. 18,880 1,228 Kellogg Co. 32,107 1,223 * Kohl's Corp. 26,768 1,203 PNC Financial Services Group 21,833 1,195 * Hughes Electronic Corp. 72,070 1,193 Sprint Corp. 71,279 1,170 * WellPoint Health Networks Inc.Class A 11,990 1,163 * Sun Microsystems, Inc. 257,360 1,156 ALLTEL Corp. 24,648 1,148 Harley-Davidson, Inc. 23,838 1,133 CVS Corp. 31,035 1,121 * Electronic Arts Inc. 23,400 1,118 ConAgra Foods, Inc. 42,172 1,113 Capital One Financial Corp. 18,144 1,112 Danaher Corp. 12,048 1,105 Paychex, Inc. 29,703 1,105 Weyerhaeuser Co. 17,223 1,102 Countrywide Financial Corp. 14,489 1,099 * Agilent Technologies, Inc. 37,498 1,096 * Corning, Inc. 104,509 1,090 * The Kroger Co. 58,682 1,086 Mellon Financial Corp. 33,795 1,085 * Staples, Inc. 38,753 1,058 The McGraw-Hill Cos., Inc. 15,079 1,054 Devon Energy Corp. 18,215 1,043 * Xilinx, Inc. 26,868 1,040 Apache Corp. 12,780 1,036 Linear Technology Corp. 24,622 1,036 Entergy Corp. 18,106 1,034 Franklin Resources Corp. 19,820 1,032 * Starbucks Corp. 30,837 1,019 The Chubb Corp. 14,861 1,012 H.J. Heinz Co. 27,773 1,012 * Bed Bath & Beyond, Inc. 23,260 1,008 * Univision Communications Inc. 25,379 1,007 Anadarko Petroleum Corp. 19,722 1,006 Southwest Airlines Co. 61,877 999 Masco Corp. 36,423 998 Wm. Wrigley Jr. Co. 17,665 993 Raytheon Co. 32,764 984 Praxair, Inc. 25,582 977 International Game Technology 27,276 974 KeyCorp 32,971 967 American Electric Power Co., Inc. 31,049 947 * Biogen Idec Inc 25,752 947 FPL Group, Inc. 14,472 947 Air Products & Chemicals, Inc. 17,901 946 Burlington Northern Santa Fe Corp. 29,191 944 * Apollo Group, Inc. Class A 13,773 937 * Lucent Technologies, Inc. 328,830 934 Electronic Data Systems Corp. 37,906 930 Ingersoll-Rand Co. 13,651 927 M & T Bank Corp. 9,410 925 * Gilead Sciences, Inc. 15,902 924 FirstEnergy Corp. 25,930 913 Sears, Roebuck & Co. 19,967 908 * PG&E Corp. 32,557 903 Equity Office Properties Trust REIT 31,505 903 Halliburton Co. 34,450 896 * KLA-Tencor Corp. 15,250 895 * Genzyme Corp.-General Division 17,724 875 TJX Cos., Inc. 39,632 874 SouthTrust Corp. 26,688 873 Campbell Soup Co. 32,438 869 Progress Energy, Inc. 19,185 868 Burlington Resources, Inc. 15,618 865 * Xerox Corp. 62,303 860 PPG Industries, Inc. 13,374 856 John Hancock FinancialServices, Inc. 22,774 854 Baker Hughes, Inc. 26,398 849 * Chiron Corp. 14,850 846 Marriott International, Inc. Class A 18,297 845 * Symantec Corp. 24,196 838 The Principal Financial Group, Inc. 25,300 837 * St. Jude Medical, Inc. 13,588 834 * Intuit, Inc. 15,691 830 Fortune Brands, Inc. 11,576 828 Becton, Dickinson & Co. 20,041 824 Johnson Controls, Inc. 7,093 824 * Anthem, Inc. 10,910 818 * Comcast Corp. Special Class A 26,044 815 Public Service Enterprise Group, Inc. 18,558 813 * Fox Entertainment Group, Inc.Class A 27,852 812 The Clorox Co. 16,715 812 Aetna Inc. 11,987 809 Marathon Oil Corp. 24,443 809 Northern Trust Corp. 17,366 806 * Broadcom Corp. 23,627 804 * Lexmark International, Inc. 10,154 799 * Yum! Brands, Inc. 23,164 797 Allergan, Inc. 10,294 791 Hershey Foods Corp. 10,224 787 Coca-Cola Enterprises, Inc. 35,791 783 PACCAR, Inc. 9,191 782 Comerica, Inc. 13,904 779 H & R Block, Inc. 14,046 778 Archer-Daniels-Midland Co. 50,893 775 * Safeway, Inc. 34,839 763 Consolidated Edison Inc. 17,728 762 12 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Rohm & Haas Co. 17,553 750 Unocal Corp. 20,339 749 Pitney Bowes, Inc. 18,396 747 McKesson Corp. 22,910 737 Biomet, Inc. 20,145 733 Limited Brands, Inc. 40,668 733 Norfolk Southern Corp. 30,864 730 Loews Corp. 14,627 723 * Medco Health Solutions, Inc. 21,223 721 Adobe Systems, Inc. 18,347 721 St. Paul Cos., Inc. 18,025 715 Kraft Foods Inc. 22,055 711 Moody's Corp. 11,727 710 Simon Property Group, Inc. REIT 15,160 703 Synovus Financial Corp. 23,761 687 Marshall & Ilsley Corp. 17,876 684 * Altera Corp. 29,806 677 AmSouth Bancorp 27,555 674 Cintas Corp. 13,430 673 MBIA, Inc. 11,354 672 * PeopleSoft, Inc. 29,455 671 Federated Department Stores, Inc. 14,209 670 May Department Stores Co. 22,750 661 * EchoStar Communications Corp. Class A 19,404 660 Albertson's, Inc. 29,027 657 UnionBanCal Corp. 11,393 656 * Computer Sciences Corp. 14,789 654 Mattel, Inc. 33,944 654 Regions Financial Corp. 17,536 652 * Micron Technology, Inc. 48,092 648 Eaton Corp. 5,997 648 Equity Residential REIT 21,580 637 Dover Corp. 15,963 635 CIGNA Corp. 10,985 632 * SunGard Data Systems, Inc. 22,692 629 Textron, Inc. 10,796 616 Bear Stearns Co., Inc. 7,701 616 PPL Corp. 14,054 615 Georgia Pacific Group 19,983 613 * Apple Computer, Inc. 28,528 610 TXU Corp. 25,604 607 CSX Corp. 16,841 605 Charter One Financial, Inc. 17,504 605 * Transocean Inc. 25,131 603 CIT Group Inc. 16,772 603 * Fiserv, Inc. 15,255 603 * Qwest Communications International Inc. 139,402 602 Lennar Corp. Class A 6,230 598 * AutoZone Inc. 7,006 596 Washington Post Co. Class B 752 595 * Quest Diagnostics, Inc. 8,137 595 E.W. Scripps Co. Class A 6,317 594 Monsanto Co. 20,636 594 Freeport-McMoRan Copper & Gold, Inc. Class B 14,086 593 Aon Corp. 24,713 592 * Tenet Healthcare Corp. 36,841 591 Ambac Financial Group, Inc. 8,489 589 Ameren Corp. 12,780 588 Eastman Kodak Co. 22,641 581 * National Semiconductor Corp. 14,662 578 * American Standard Cos., Inc. 5,702 574 * Juniper Networks, Inc. 30,738 574 New York Community Bancorp, Inc. 15,082 574 Hudson City Bancorp, Inc. 14,982 572 Kinder Morgan, Inc. 9,677 572 Starwood Hotels & Resorts Worldwide, Inc. 15,828 569 Jefferson-Pilot Corp. 11,139 564 J.C. Penney Co., Inc. (Holding Co.) 21,460 564 Lincoln National Corp. 13,952 563 * Affiliated Computer Services, Inc. Class A 10,340 563 New York Times Co. Class A 11,783 563 * Edison International 25,617 562 Ecolab, Inc. 20,300 556 * Coach, Inc. 14,710 555 Dollar General Corp. 26,420 555 * Network Appliance, Inc. 26,965 554 Parker Hannifin Corp. 9,261 551 Sovereign Bancorp, Inc. 23,146 550 * Siebel Systems, Inc. 39,294 545 * Concord EFS, Inc. 36,698 545 Microchip Technology, Inc. 16,287 543 ITT Industries, Inc. 7,304 542 Cinergy Corp. 13,943 540 * Phelps Dodge Corp. 7,077 538 Mylan Laboratories, Inc. 21,317 538 D. R. Horton, Inc. 12,396 536 Xcel Energy, Inc. 31,374 533 Cincinnati Financial Corp. 12,680 531 Sempra Energy 17,657 531 * Caremark Rx, Inc. 20,886 529 Royal Caribbean Cruises, Ltd. 15,185 528 Rockwell Automation, Inc. 14,729 524 Centex Corp. 4,866 524 Tiffany & Co. 11,579 523 Molex, Inc. 14,993 523 DTE Energy Co. 13,166 519 13 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Hilton Hotels Corp. 30,061 515 Constellation Energy Group, Inc. 13,111 513 * Sanmina-SCI Corp. 40,478 510 * Interpublic Group of Cos., Inc. 32,627 509 * Novellus Systems, Inc. 12,034 506 The Pepsi Bottling Group, Inc. 20,786 503 Vornado Realty Trust REIT 9,056 496 * MedImmune Inc. 19,466 494 Newell Rubbermaid, Inc. 21,608 492 AmerisourceBergen Corp. 8,753 491 Knight Ridder 6,309 488 Avery Dennison Corp. 8,705 488 Family Dollar Stores, Inc. 13,520 485 Total System Services, Inc. 15,547 484 * NTL Inc. 6,918 483 North Fork Bancorp, Inc. 11,891 481 Union Planters Corp. 15,079 475 General Growth Properties Inc. REIT 17,037 473 IMS Health, Inc. 19,006 472 MeadWestvaco Corp. 15,873 471 * Nabors Industries, Inc. 11,358 471 Murphy Oil Corp. 7,214 471 Popular, Inc. 10,440 469 * Ameritrade Holding Corp. 33,339 469 T. Rowe Price Group Inc. 9,855 467 * AES Corp. 49,091 463 UST, Inc. 12,976 463 * Sprint PCS 81,909 460 GlobalSantaFe Corp. 18,474 459 KeySpan Corp. 12,458 458 Health Management Associates Class A 19,014 456 Genuine Parts Co. 13,716 455 Pulte Homes, Inc. 4,862 455 Fidelity National Financial, Inc. 11,720 455 Delphi Corp. 44,437 454 ProLogis REIT 14,136 454 NiSource, Inc. 20,600 452 Brown-Forman Corp. Class B 4,803 449 * BJ Services Co. 12,462 447 MGIC Investment Corp. 7,813 445 * Jabil Circuit, Inc. 15,688 444 Plum Creek Timber Co. Inc. REIT 14,572 444 National Commerce Financial Corp. 16,114 440 * Millennium Pharmaceuticals, Inc. 23,490 439 Harrah's Entertainment, Inc. 8,770 436 Valero Energy Corp. 9,409 435 Public Storage, Inc. REIT 10,031 435 Zions Bancorp 7,075 434 First Tennessee National Corp. 9,816 433 * MGM Mirage, Inc. 11,443 430 Cooper Industries, Inc. Class A 7,385 428 * CNA Financial Corp. 17,733 427 * Avaya Inc. 32,915 426 SAFECO Corp. 10,847 422 Archstone-Smith Trust REIT 15,059 421 * Laboratory Corp. of America Holdings 11,392 421 Rockwell Collins, Inc. 13,929 418 Banknorth Group, Inc. 12,843 418 * Express Scripts Inc. 6,276 417 EOG Resources, Inc. 9,017 416 * JDS Uniphase Corp. 112,845 412 * Advanced Micro Devices, Inc. 27,592 411 * Synopsys, Inc. 12,160 411 XTO Energy, Inc. 14,506 411 * Office Depot, Inc. 24,489 409 * Barr Pharmaceuticals Inc. 5,295 407 * Cablevision Systems-NY Group Class A 17,365 406 Huntington Bancshares Inc. 18,041 406 * Dean Foods Co. 12,323 405 Torchmark Corp. 8,879 404 Williams Cos., Inc. 41,018 403 Legg Mason Inc. 5,218 403 Whirlpool Corp. 5,503 400 * AutoNation, Inc. 21,757 400 Sherwin-Williams Co. 11,474 399 RadioShack Corp. 12,908 396 * Watson Pharmaceuticals, Inc. 8,588 395 * BEA Systems, Inc. 32,093 395 Kimco Realty Corp. REIT 8,769 392 El Paso Corp. 47,559 390 * Solectron Corp. 65,681 387 * L-3 Communications Holdings, Inc. 7,541 387 R.J. Reynolds Tobacco Holdings, Inc. 6,648 387 * Unisys Corp. 26,025 386 * QLogic Corp. 7,478 386 * Teradyne, Inc. 15,085 384 Harman International Industries, Inc. 5,186 384 * AdvancePCS 7,262 382 CDW Corp. 6,585 380 Vulcan Materials Co. 7,968 379 * SanDisk Corp. 6,198 379 American Power Conversion Corp. 15,478 378 * Noble Corp. 10,537 377 Amerada Hess Corp. 7,082 377 Boston Properties, Inc. REIT 7,802 376 14 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Compass Bancshares Inc. 9,532 375 Nordstrom, Inc. 10,863 373 Estee Lauder Cos. Class A 9,488 372 * Cadence Design Systems, Inc. 20,679 372 * Mohawk Industries, Inc. 5,267 372 Green Point Financial Corp. 10,476 370 UnumProvident Corp. 23,441 370 * IVAX Corp. 15,476 370 * Varian Medical Systems, Inc. 5,348 370 CenturyTel, Inc. 11,300 369 Tyson Foods, Inc. 27,775 368 * Weatherford International Ltd. 10,186 367 Old Republic International Corp. 14,397 365 Kerr-McGee Corp. 7,853 365 VF Corp. 8,407 364 * E*TRADE Financial Corp. 28,616 362 * Sealed Air Corp. 6,625 359 Smurfit-Stone Container Corp. 19,271 358 Radian Group, Inc. 7,308 356 Wendy's International, Inc. 9,076 356 Jones Apparel Group, Inc. 10,004 352 * Mercury Interactive Corp. 7,174 349 * SPX Corp. 5,916 348 * Patterson Dental Co. 5,413 347 Nucor Corp. 6,200 347 Applera Corp.- Applied Biosystems Group 16,559 343 W.W. Grainger, Inc. 7,107 337 Transatlantic Holdings, Inc. 4,126 333 Rouse Co. REIT 7,092 333 C.R. Bard, Inc. 4,087 332 Duke Realty Corp. REIT 10,708 332 * BMC Software, Inc. 17,761 331 * Smith International, Inc. 7,976 331 * Metro-Goldwyn-Mayer Inc. 19,339 331 Leggett & Platt, Inc. 15,214 329 Lear Corp. 5,364 329 Scientific-Atlanta, Inc. 12,032 328 * LAM Research Corp. 10,148 328 * Thermo Electron Corp. 12,964 327 McCormick & Co., Inc. 10,850 327 Omnicare, Inc. 8,085 327 White Mountains Insurance Group Inc. 708 326 ENSCO International, Inc. 11,957 325 * Williams-Sonoma, Inc. 9,244 321 * Weight Watchers International, Inc. 8,353 321 * Allied Waste Industries, Inc. 22,888 318 Republic Services, Inc. Class A 12,386 317 Ross Stores, Inc. 11,972 316 * Waters Corp. 9,529 316 Dow Jones & Co., Inc. 6,333 316 * Robert Half International, Inc. 13,500 315 * XM Satellite Radio Holdings, Inc. 11,935 315 Expeditors International of Washington, Inc. 8,350 314 * Whole Foods Market, Inc. 4,680 314 * Host Marriott Corp. REIT 25,438 313 * Novell, Inc. 29,780 313 Commerce Bancorp, Inc. 5,934 313 Sigma-Aldrich Corp. 5,467 313 Wisconsin Energy Corp. 9,340 312 * Career Education Corp. 7,770 311 Janus Capital Group Inc. 18,937 311 Sunoco, Inc. 6,073 311 * VeriSign, Inc. 18,954 309 iStar Financial Inc. REIT 7,930 308 Diebold, Inc. 5,720 308 * Level 3 Communications, Inc. 54,033 308 Symbol Technologies, Inc. 18,203 307 Liz Claiborne, Inc. 8,662 307 * Coventry Health Care Inc. 4,749 306 Black & Decker Corp. 6,181 305 Hillenbrand Industries, Inc. 4,904 304 SCANA Corp. 8,831 302 SuperValu Inc. 10,562 302 * Pixar, Inc. 4,350 301 Fastenal Co. 6,002 300 * Pioneer Natural Resources Co. 9,382 300 * Agere Systems Inc. Class B 102,499 297 Hasbro, Inc. 13,901 296 * NVIDIA Corp. 12,702 295 Engelhard Corp. 9,860 295 * Pactiv Corp. 12,273 293 * NCR Corp. 7,546 293 * Vishay Intertechnology, Inc. 12,772 292 * Humana Inc. 12,775 292 Alberto-Culver Co. Class B 4,621 291 * Health Net Inc. 8,898 291 Manpower Inc. 6,178 291 * Celgene Corp. 6,453 291 * King Pharmaceuticals, Inc. 19,035 290 Mercantile Bankshares Corp. 6,351 289 * The Dun & Bradstreet Corp. 5,684 288 Hibernia Corp. Class A 12,183 286 Telephone & Data Systems, Inc. 4,564 285 Pinnacle West Capital Corp. 7,120 285 United States Steel Corp. 8,087 283 DENTSPLY International Inc. 6,257 283 TCF Financial Corp. 5,489 282 * Foundry Networks, Inc. 10,301 282 15 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Hormel Foods Corp. 10,914 282 * Oxford Health Plans, Inc. 6,466 281 * Citizens Communications Co. 22,517 280 * Tellabs, Inc. 33,172 280 Allied Capital Corp. 10,010 279 * Invitrogen Corp. 3,976 278 Doral Financial Corp. 8,613 278 The PMI Group Inc. 7,462 278 Darden Restaurants Inc. 13,198 278 Friedman, Billings, Ramsey Group, Inc. 11,951 276 * Dollar Tree Stores, Inc. 9,170 276 ServiceMaster Co. 23,634 275 * Constellation Brands, Inc. Class A 8,348 275 Goodrich Corp. 9,250 275 Intersil Corp. 11,036 274 * DST Systems, Inc. 6,544 273 * Sirius Satellite Radio, Inc. 86,279 273 * Citrix Systems, Inc. 12,846 272 R.R. Donnelley & Sons Co. 9,031 272 * Iron Mountain, Inc. 6,827 270 Gentex Corp. 6,100 269 PETsMART, Inc. 11,315 269 Avalonbay Communities, Inc. REIT 5,617 268 * Westwood One, Inc. 7,839 268 Temple-Inland Inc. 4,274 268 * Providian Financial Corp. 23,009 268 Equifax, Inc. 10,923 268 * Comverse Technology, Inc. 15,104 266 * LSI Logic Corp. 29,949 266 Ball Corp. 4,458 266 Pall Corp. 9,891 265 Foot Locker, Inc. 11,291 265 Commerce Bancshares, Inc. 5,378 264 Bunge Ltd. 8,000 263 * Park Place Entertainment Corp. 24,270 263 Pepco Holdings, Inc. 13,438 263 KB HOME 3,619 262 * Navistar International Corp. 5,475 262 Energy East Corp. 11,691 262 * ChoicePoint Inc. 6,857 261 * NVR, Inc. 560 261 Apartment Investment & Management Co. Class A REIT 7,512 259 * Lamar Advertising Co. Class A 6,926 258 * Red Hat, Inc. 13,770 258 * SICOR, Inc. 9,478 258 Fluor Corp. 6,499 258 International Flavors & Fragrances, Inc. 7,373 257 SEI Corp. 8,433 257 Outback Steakhouse 5,807 257 Belo Corp. Class A 9,044 256 C.H. Robinson Worldwide, Inc. 6,750 256 * Chico's FAS, Inc. 6,906 255 Health Care Properties Investors REIT 5,019 255 Federated Investors, Inc. 8,655 254 * PanAmSat Corp. 11,750 253 * Amkor Technology, Inc. 13,907 253 * International Rectifier Corp. 5,120 253 The McClatchy Co. Class A 3,668 252 * Brinker International, Inc. 7,603 252 * CIENA Corp. 37,848 251 * CarMax, Inc. 8,107 251 Associated Banc-Corp 5,865 250 Leucadia National Corp. 5,423 250 * Zebra Technologies Corp. Class A 3,764 250 Beckman Coulter, Inc. 4,891 249 * Ceridian Corp. 11,822 248 * Energizer Holdings, Inc. 6,589 247 * Rite Aid Corp. 40,957 247 Manor Care, Inc. 7,141 247 Universal Health Services Class B 4,588 246 * Mid Atlantic Medical Services, Inc. 3,781 245 Liberty Property Trust REIT 6,284 244 The Stanley Works 6,418 243 Pogo Producing Co. 5,021 243 Sabre Holdings Corp. 11,232 242 * 3Com Corp. 29,615 242 Ashland, Inc. 5,477 241 City National Corp. 3,878 241 * U.S. Cellular Corp. 6,742 239 * Rambus Inc. 7,794 239 Eastman Chemical Co. 6,022 238 CenterPoint Energy Inc. 24,541 238 * ImClone Systems, Inc. 5,969 237 * Advance Auto Parts, Inc. 2,900 236 * Lincare Holdings, Inc. 7,840 235 Arthur J. Gallagher & Co. 7,223 235 Lyondell Chemical Co. 13,815 234 Michaels Stores, Inc. 5,262 233 Chesapeake Energy Corp. 17,105 232 Developers Diversified Realty Corp. REIT 6,907 232 Questar Corp. 6,596 232 * Fairchild Semiconductor International, Inc. 9,274 232 Brunswick Corp. 7,273 231 Astoria Financial Corp. 6,208 231 W.R. Berkley Corp. 6,606 231 * Henry Schein, Inc. 3,415 231 16 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Toll Brothers, Inc. 5,796 230 AVX Corp. 13,860 230 GTECH Holdings Corp. 4,640 230 Lafarge North America Inc. 5,636 228 Student Loan Corp. 1,554 227 * Atmel Corp. 37,633 226 The St. Joe Co. 6,062 226 * Storage Technology Corp. 8,758 226 * Cognizant Technology Solutions Corp. 4,938 225 * Getty Images, Inc. 4,494 225 Unitrin, Inc. 5,428 225 A.G. Edwards & Sons, Inc. 6,194 224 Boise Cascade Corp. 6,817 224 * WebMD Corp. 24,522 220 Precision Castparts Corp. 4,851 220 Alliant Energy Corp. 8,830 220 Mandalay Resort Group 4,911 220 Autodesk, Inc. 8,934 220 * PacifiCare Health Systems, Inc. 3,244 219 Dana Corp. 11,911 219 Erie Indemnity Co. Class A 5,154 218 * Amphenol Corp. 3,410 218 Dial Corp. 7,626 217 AMB Property Corp. REIT 6,557 216 * Toys R Us, Inc. 17,026 215 MDU Resources Group, Inc. 9,029 215 Valley National Bancorp 7,350 215 Northeast Utilities 10,635 215 TECO Energy, Inc. 14,822 214 * Maxtor Corp. 19,200 213 * Cephalon, Inc. 4,399 213 * JetBlue Airways Corp. 8,028 213 Diamond Offshore Drilling, Inc. 0,374 213 Allete, Inc. 6,938 212 DPL Inc. 10,147 212 * Jacobs Engineering Group Inc. 4,398 211 Aramark Corp. Class B 7,700 211 Hubbell Inc. Class B 4,780 211 Bausch & Lomb, Inc. 4,058 211 * Entercom Communications Corp. 3,969 210 Bemis Co., Inc. 4,202 210 Capitol Federal Financial 5,806 209 * Avnet, Inc. 9,626 208 * Patterson-UTI Energy, Inc. 6,323 208 Equitable Resources, Inc. 4,838 208 Tektronix, Inc. 6,567 208 Bowater Inc. 4,476 207 * ICOS Corp. 4,984 206 * Community Health Systems, Inc. 7,739 206 * The Neiman Marcus Group, Inc.Class A 3,824 205 Hospitality Properties Trust REIT 4,959 205 * Fisher Scientific International Inc. 4,945 205 Harris Corp. 5,357 203 Mercury General Corp. 4,359 203 * Endo Pharmaceuticals Holdings, Inc. 10,535 203 Donaldson Co., Inc. 3,428 203 * Cypress Semiconductor Corp. 9,488 203 * Cooper Cameron Corp. 4,344 202 * Hovnanian Enterprises Inc. Class A 2,316 202 * Pride International, Inc. 10,788 201 * Triad Hospitals, Inc. 6,018 200 Wesco Financial Corp. 568 200 * Convergys Corp. 11,445 200 The Macerich Co. REIT 4,486 200 Investors Financial Services Corp. 5,194 200 NSTAR 4,103 199 * AmeriCredit Corp. 12,474 199 * Monster Worldwide Inc. 9,030 198 * Markel Corp. 782 198 Valspar Corp. 4,008 198 Nuveen Investments, Inc. Class A 7,416 198 PepsiAmericas, Inc. 11,508 197 * Newfield Exploration Co. 4,423 197 Meredith Corp. 4,032 197 Noble Energy, Inc. 4,429 197 * Nextel Partners, Inc. 14,618 197 Eaton Vance Corp. 5,361 196 * DaVita, Inc. 5,021 196 HON Industries, Inc. 4,515 196 * Corinthian Colleges, Inc. 3,512 195 Mack-Cali Realty Corp. REIT 4,636 193 * Crown Castle International Corp. 17,461 193 * Western Digital Corp. 16,333 193 Sonoco Products Co. 7,819 193 * Network Associates, Inc. 12,798 192 New Plan Excel Realty Trust REIT 7,791 192 Sky Financial Group, Inc. 7,373 191 Fulton Financial Corp. 8,706 191 ADTRAN Inc. 6,150 191 Regency Centers Corp. REIT 4,776 190 * ADC Telecommunications, Inc. 64,065 190 * Rent-A-Center, Inc. 6,360 190 * Ingram Micro, Inc. Class A 11,923 190 Chelsea Property Group REIT 3,434 188 The Chicago Mercantile Exchange 2,600 188 Wilmington Trust Corp. 5,224 188 Forest City Enterprise Class A 3,953 188 Reinsurance Group of America, Inc. 4,848 187 * Abercrombie & Fitch Co. 7,579 187 Weingarten Realty Investors REIT 4,214 187 National Instruments Corp. 4,110 187 17 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- CONSOL Energy, Inc. 7,204 187 * Arrow Electronics, Inc. 8,051 186 Protective Life Corp. 5,502 186 American National Insurance Co. 2,204 186 First American Corp. 6,243 186 Trizec Properties, Inc. REIT 12,000 185 Bank of Hawaii Corp. 4,377 185 United Dominion Realty Trust REIT 9,611 185 * Compuware Corp. 30,526 184 Packaging Corp. of America 8,424 184 International Speedway Corp. 4,116 184 FirstMerit Corp. 6,796 183 BorgWarner, Inc. 2,145 182 Fair, Isaac, Inc. 3,700 182 Reebok International Ltd. 4,608 181 Martin Marietta Materials, Inc. 3,836 180 * American Tower Corp. Class A 16,639 180 * The Cheesecake Factory 4,087 180 * Tech Data Corp. 4,532 180 * Alliant Techsystems, Inc. 3,103 179 Brown & Brown, Inc. 5,488 179 * BOK Financial Corp. 4,618 179 * Smithfield Foods, Inc. 8,636 179 Puget Energy, Inc. 7,518 179 Peabody Energy Corp. 4,284 179 Pentair, Inc. 3,887 178 Viad Corp. 7,104 178 Ryland Group, Inc. 2,000 177 * Emulex Corp. 6,630 177 * Pharmaceutical Resources, Inc. 2,700 176 * Krispy Kreme Doughnuts, Inc. 4,802 176 * Rowan Cos., Inc. 7,563 175 Maytag Corp. 6,292 175 Great Plains Energy, Inc. 5,491 175 * CheckFree Corp. 6,315 175 J.M. Smucker Co. 3,848 174 PerkinElmer, Inc. 10,199 174 * Del Monte Foods Co. 16,729 174 * Education Management Corp. 5,602 174 Catellus Development Corp. 7,193 173 * Conseco, Inc. 7,950 173 * Eon Labs, Inc. 3,400 173 * Glamis Gold, Ltd. 10,100 173 Colonial BancGroup, Inc. 9,977 173 * Kmart Holding Corp. 7,200 172 Applebee's International, Inc. 4,391 172 Ryder System, Inc. 5,023 172 * Barnes & Noble, Inc. 5,208 171 * Columbia Sportswear Co. 3,137 171 * J.B. Hunt Transport Services, Inc. 6,312 170 * Reliant Resources, Inc. 23,145 170 * Millipore Corp. 3,940 170 ONEOK, Inc. 7,662 169 Circuit City Stores, Inc. 16,659 169 * ITT Educational Services, Inc. 3,586 168 * O'Reilly Automotive, Inc. 4,369 168 * Amylin Pharmaceuticals, Inc. 7,503 167 Webster Financial Corp. 3,634 167 Certegy, Inc. 5,064 166 * American Axle & Manufacturing Holdings, Inc. 4,106 166 Valeant Pharmaceuticals International 6,565 165 * AMR Corp. 12,741 165 Cummins Inc. 3,365 165 * Silicon Laboratories Inc. 3,801 164 * Gemstar-TV Guide International, Inc. 32,528 164 Cullen/Frost Bankers, Inc. 4,048 164 OGE Energy Corp. 6,788 164 * Marvel Enterprises Inc. 5,630 164 Mills Corp. REIT 3,721 164 Deluxe Corp. 3,961 164 HCC Insurance Holdings, Inc. 5,147 164 * Apogent Technologies Inc. 7,084 163 * Kinder Morgan Management, LLC 3,797 163 * Sepracor Inc. 6,787 162 * Westport Resources Corp. 5,424 162 Philadelphia Suburban Corp. 7,313 162 * Saks Inc. 10,745 162 People's Bank 4,949 161 Adolph Coors Co. Class B 2,874 161 * Varco International, Inc. 7,809 161 * Calpine Corp. 33,245 160 Cabot Corp. 4,980 159 * Integrated Circuit Systems, Inc. 5,544 158 * MEMC Electronic Materials, Inc. 16,391 158 Washington Federal Inc. 5,539 157 National Fuel Gas Co. 6,436 157 * Stericycle, Inc. 3,363 157 Reynolds & Reynolds Class A 5,400 157 W Holding Co., Inc. 8,424 157 Rayonier Inc. 3,775 157 * Renal Care Group, Inc. 3,797 156 Independence Community Bank Corp. 4,346 156 Medicis Pharmaceutical Corp. 2,191 156 * Polycom, Inc. 7,993 156 Waddell & Reed Financial, Inc. 6,635 156 * BearingPoint, Inc. 15,406 155 American Capital Strategies, Ltd. 5,222 155 Pier 1 Imports Inc. 7,090 155 * Sybase, Inc. 7,527 155 * 99 Cents Only Stores 5,670 154 18 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Thornburg Mortgage, Inc. REIT 5,672 154 Arden Realty Group, Inc. REIT 5,077 154 Teleflex Inc. 3,164 153 * Neurocrine Biosciences, Inc. 2,800 153 Lee Enterprises, Inc. 3,497 153 American Financial Group, Inc. 5,761 152 * National-Oilwell, Inc. 6,799 152 Snap-On Inc. 4,704 152 RPM International, Inc. 9,209 152 Polaris Industries, Inc. 1,706 151 Federal Realty Investment Trust REIT 3,920 150 AGL Resources Inc. 5,155 150 Westcorp, Inc. 4,094 150 Tootsie Roll Industries, Inc. 4,152 149 * Louisiana-Pacific Corp. 8,354 149 Graco, Inc. 3,724 149 Pan Pacific Retail Properties,Inc. REIT 3,129 149 * Scotts Co. 2,514 149 Harte-Hanks, Inc. 6,824 148 BancorpSouth, Inc. 6,257 148 * RF Micro Devices, Inc. 14,712 148 Claire's Stores, Inc. 7,834 148 * Sonus Networks, Inc. 19,508 147 StanCorp Financial Group, Inc. 2,343 147 Crane Co. 4,788 147 MDC Holdings, Inc. 2,281 147 Carlisle Co., Inc. 2,416 147 Nationwide Financial Services, Inc. 4,444 147 Ruby Tuesday, Inc. 5,152 147 * First Health Group Corp. 7,534 147 Vectren Corp. 5,946 147 * Timberland Co. 2,805 146 * Gen-Probe Inc. 4,000 146 * Applied Micro Circuits Corp. 24,299 145 Jefferies Group, Inc. 4,396 145 CBRL Group, Inc. 3,782 145 Jack Henry & Associates Inc. 7,017 144 Valhi, Inc. 9,626 144 Tidewater Inc. 4,818 144 Station Casinos, Inc. 4,695 144 Hawaiian Electric Industries Inc. 3,032 144 * Integrated Device Technology Inc. 8,360 144 * NBTY, Inc. 5,336 143 Oshkosh Truck Corp. 2,800 143 Health Care Inc. REIT 3,958 142 Global Payments Inc. 3,023 142 * Ultra Petroleum Corp. 5,778 142 * Martek Biosciences Corp. 2,184 142 Harsco Corp. 3,238 142 Raymond James Financial, Inc. 3,757 142 * DeVry, Inc. 5,626 141 Herman Miller, Inc. 5,809 141 * Swift Transportation Co., Inc. 6,704 141 * Andrew Corp. 12,226 141 International Bancshares Corp. 2,981 141 * Edwards Lifesciences Corp. 4,664 140 UCBH Holdings, Inc. 3,600 140 Talbots Inc. 4,552 140 * The Titan Corp. 6,403 140 * 7-Eleven, Inc. 8,685 139 * The Corporate Executive Board Co. 2,986 139 Camden Property Trust REIT 3,145 139 * BISYS Group, Inc. 9,358 139 Annaly Mortgage Management Inc. REIT 7,545 139 * Owens-Illinois, Inc. 11,657 139 Trustmark Corp. 4,718 138 The Timken Co. 6,872 138 Shurgard Storage Centers, Inc.Class A REIT 3,652 137 * Human Genome Sciences, Inc. 10,376 137 Regis Corp. 3,475 137 Ventas, Inc. REIT 6,237 137 * Advanced Fibre Communications, Inc. 6,787 137 * Borders Group, Inc. 6,232 137 CNF Inc. 4,019 136 * WFS Financial, Inc. 3,201 136 * AnnTaylor Stores Corp. 3,482 136 * Andrx Group 5,648 136 CBL & Associates Properties, Inc. REIT 2,403 136 IKON Office Solutions, Inc. 11,438 136 * Avocent Corp. 3,684 135 * Big Lots Inc. 9,428 134 Hudson United Bancorp 3,623 134 CenterPoint Properties Corp. REIT 1,784 134 Crescent Real Estate, Inc. REIT 7,800 134 * Performance Food Group Co. 3,687 133 F.N.B. Corp. 3,754 133 * Knight Trading Group, Inc. 9,067 133 * Semtech Corp. 5,832 133 Lubrizol Corp. 4,070 132 * Protein Design Labs, Inc. 7,362 132 * Yellow Roadway Corp. 3,637 132 Whitney Holdings Corp. 3,208 131 Patina Oil & Gas Corp. 2,675 131 * Alleghany Corp. 587 131 * Dynegy, Inc. 30,466 130 * Pacific Sunwear of California, Inc. 6,171 130 Thor Industries, Inc. 2,312 130 * INAMED Corp. 2,700 130 19 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Covance, Inc. 4,834 130 BRE Properties Inc. Class A REIT 3,876 129 * Allmerica Financial Corp. 4,207 129 Ametek, Inc. 2,679 129 * IDEXX Laboratories Corp. 2,792 129 IndyMac Bancorp, Inc. REIT 4,333 129 * Cymer, Inc. 2,794 129 Lancaster Colony Corp. 2,847 129 ArvinMeritor, Inc. 5,325 128 WPS Resources Corp. 2,772 128 Arch Coal, Inc. 4,111 128 Standard Pacific Corp. 2,638 128 Furniture Brands International Inc. 4,362 128 Florida Rock Industries, Inc. 2,328 128 Westamerica Bancorporation 2,564 127 Church & Dwight, Inc. 3,209 127 * Service Corp. International 23,560 127 * Allegheny Energy, Inc. 9,887 126 John Wiley & Sons Class A 4,845 126 First BanCorp Puerto Rico 3,183 126 * Activision, Inc. 6,908 126 * Earthlink, Inc. 12,551 126 * Respironics, Inc. 2,781 125 * Acxiom Corp. 6,748 125 Airgas, Inc. 5,824 125 Werner Enterprises, Inc. 6,416 125 * Techne Corp. 3,307 125 * BJ's Wholesale Club, Inc. 5,435 125 Cooper Tire & Rubber Co. 5,834 125 * STERIS Corp. 5,512 125 * Charles River Laboratories, Inc. 3,628 125 Roper Industries Inc. 2,528 125 * Interactive Data Corp. 7,506 124 * Grant Prideco, Inc. 9,532 124 Healthcare Realty Trust Inc. REIT 3,471 124 Peoples Energy Corp. 2,943 124 Media General, Inc. Class A 1,897 123 CarrAmerica Realty Corp. REIT 4,134 123 The South Financial Group, Inc. 4,416 123 Select Medical Corp. 7,548 123 First Midwest Bancorp, Inc. 3,786 123 Massey Energy Co. 5,891 123 * Varian Semiconductor Equipment Associates, Inc. 2,804 123 Provident Financial Group, Inc. 3,828 122 * Forest Oil Corp. 4,280 122 Ethan Allen Interiors, Inc. 2,917 122 * West Corp. 5,254 122 * Pharmaceutical Product Development, Inc. 4,515 122 * Ascential Software Corp. 4,694 122 Cooper Cos., Inc. 2,582 122 * Western Wireless Corp. Class A 6,615 121 * Valassis Communications, Inc. 4,130 121 Park National Corp. 1,071 121 Realty Income Corp. REIT 3,026 121 Western Gas Resources, Inc. 2,557 121 * Accredo Health, Inc. 3,821 121 Cousins Properties, Inc. REIT 3,947 121 NICOR Inc. 3,541 121 Worthington Industries, Inc. 6,684 121 * Gateway, Inc. 26,179 120 SL Green Realty Corp. REIT 2,933 120 Energen Corp. 2,932 120 * Cytyc Corp. 8,731 120 * Cytec Industries, Inc. 3,123 120 York International Corp. 3,255 120 * Bio-Rad Laboratories, Inc. Class A 2,074 120 * FMC Technologies Inc. 5,123 119 * AGCO Corp. 5,895 119 * Perot Systems Corp. 8,795 119 * Copart, Inc. 7,178 118 * Brocade Communications Systems, Inc. 20,464 118 UGI Corp. Holding Co. 3,488 118 Essex Property Trust, Inc. REIT 1,831 118 * Crown Holdings, Inc. 12,972 118 * The MONY Group Inc. 3,747 117 * Tom Brown, Inc. 3,609 116 * Zale Corp. 2,181 116 * OmniVision Technologies, Inc. 2,100 116 Delta Air Lines, Inc. 9,818 116 * United Rentals, Inc. 6,008 116 Piedmont Natural Gas, Inc. 2,661 116 * Avid Technology, Inc. 2,409 116 * Affiliated Managers Group, Inc. 1,661 116 * MKS Instruments, Inc. 3,983 116 Blyth, Inc. 3,583 115 * Micrel, Inc. 7,392 115 Briggs & Stratton Corp. 1,708 115 * Gartner, Inc. Class B 10,579 115 Greater Bay Bancorp 4,041 115 Trinity Industries, Inc. 3,727 115 AptarGroup Inc. 2,947 115 * Apria Healthcare Group Inc. 4,027 115 Old National Bancorp 5,015 115 Odyssey Re Holdings Corp. 5,080 115 * Dade Behring Holdings Inc. 3,200 114 Westar Energy, Inc. 5,646 114 * Emmis Communications, Inc. 4,216 114 Reader's Digest Association, Inc. 7,771 114 * ResMed Inc. 2,733 114 * Affymetrix, Inc. 4,610 113 Downey Financial Corp. 2,301 113 20 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Benchmark Electronics, Inc. 3,250 113 * Varian, Inc. 2,711 113 * Meridian Gold Co. 7,732 113 * IGEN International, Inc. 1,914 113 * American Greetings Corp. Class A 5,153 113 Hearst-Argyle Television Inc. 4,088 113 * Radio One, Inc. Class D 5,830 113 Kennametal, Inc. 2,827 112 * TIBCO Software Inc. 16,595 112 * Plantronics, Inc. 3,440 112 Polo Ralph Lauren Corp. 3,898 112 HRPT Properties Trust REIT 11,099 112 * Premcor, Inc. 4,300 112 * Sycamore Networks, Inc. 21,328 112 Reckson Associates Realty Corp. REIT 4,596 112 * ON Semiconductor Corp. 17,310 112 * Tractor Supply Co. 2,864 111 * Urban Outfitters, Inc. 3,000 111 * Electronics for Imaging, Inc. 4,270 111 New Century Financial Corp. 2,800 111 Helmerich & Payne, Inc. 3,976 111 * Hot Topic, Inc. 3,766 111 * UNOVA, Inc. 4,826 111 * CMS Energy Corp. 12,966 110 Winn-Dixie Stores, Inc. 11,051 110 * DoubleClick Inc. 10,745 110 Seagate Technology 5,800 110 Dillard's Inc. 6,654 110 Visteon Corp. 10,509 109 MAF Bancorp, Inc. 2,610 109 Extended Stay America, Inc. 7,552 109 United Bankshares, Inc. 3,502 109 Citizens Banking Corp. 3,331 109 Southwest Bancorporation of Texas, Inc. 2,801 109 AmerUs Group Co. 3,111 109 Highwood Properties, Inc. REIT 4,280 109 * Cerner Corp. 2,870 109 Alexander & Baldwin, Inc. 3,224 109 IDEX Corp. 2,610 109 * The Yankee Candle Co., Inc. 3,968 108 MSC Industrial Direct Co., Inc.Class A 3,943 108 Fresh Del Monte Produce Inc. 4,543 108 * Tetra Tech, Inc. 4,350 108 * Evergreen Resources, Inc. 3,326 108 * The Goodyear Tire & Rubber Co. 13,693 108 * The Medicines Co. 3,653 108 Hollinger International, Inc. 6,886 108 Beazer Homes USA, Inc. 1,100 107 * Terex Corp. 3,770 107 Prentiss Properties Trust REIT 3,247 107 * CACI International, Inc. 2,200 107 Allegheny Technologies Inc. 8,036 106 * Scholastic Corp. 3,118 106 * Conexant Systems, Inc. 21,354 106 Duquesne Light Holdings, Inc. 5,786 106 * Southern Union Co. 5,754 106 GATX Corp. 3,777 106 * United Stationers, Inc. 2,577 105 * Siliconix, Inc. 2,304 105 WGL Holdings Inc. 3,788 105 Great Lakes Chemical Corp. 3,864 105 * Lexar Media, Inc. 6,023 105 * Hercules, Inc. 8,590 105 * Key Energy Services, Inc. 10,156 105 Engineered Support Systems, Inc. 1,900 105 Staten Island Bancorp, Inc. 4,644 104 FactSet Research Systems Inc. 2,734 104 Thomas & Betts Corp. 4,557 104 * Akamai Technologies, Inc. 9,682 104 First Industrial Realty Trust REIT 3,077 104 * Linens 'n Things, Inc. 3,444 104 * Pediatrix Medical Group, Inc. 1,880 104 * OSI Pharmaceuticals, Inc. 3,214 104 * Dycom Industries, Inc. 3,856 103 * Quest Software, Inc. 7,280 103 * Skyworks Solutions, Inc. 11,858 103 * Anteon International Corp. 2,860 103 Imation Corp. 2,933 103 * Cree, Inc. 5,805 103 Modine Manufacturing Co. 3,804 103 * Southwestern Energy Co. 4,272 102 Joy Global Inc. 3,900 102 Diagnostic Products Corp. 2,220 102 * Fossil, Inc. 3,624 102 The Pep Boys (Manny, Moe & Jack) 4,434 101 * Alliance Gaming Corp. 4,088 101 * Cincinnati Bell Inc. 19,932 101 Fremont General Corp. 5,949 101 Invacare Corp. 2,490 101 Home Properties of New York,Inc. REIT 2,480 100 United Auto Group, Inc. 3,200 100 * R.H. Donnelley Corp. 2,514 100 First Citizens BancShares Class A 823 100 Callaway Golf Co. 5,926 100 * Vitesse Semiconductor Corp. 16,964 100 * Sylvan Learning Systems, Inc. 3,455 99 Flagstar Bancorp, Inc. 4,638 99 Pennsylvania REIT 2,735 99 21 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * FLIR Systems, Inc. 2,720 99 * K-V Pharmaceutical Co. Class A 3,892 99 * VCA Antech, Inc. 3,200 99 Atmos Energy Corp. 4,054 99 Washington REIT 3,370 98 The Brink's Co. 4,351 98 * MGI Pharma, Inc. 2,390 98 * CommScope, Inc. 6,012 98 * Trimble Navigation Ltd. 2,631 98 * Take-Two Interactive Software, Inc. 3,400 98 Pacific Capital Bancorp 2,660 98 * Alkermes, Inc. 7,250 98 * Transaction Systems Architects, Inc. 4,310 98 Speedway Motorsports, Inc. 3,368 97 Albemarle Corp. 3,246 97 * National Processing, Inc. 4,130 97 * Hyperion Solutions Corp. 3,223 97 Minerals Technologies, Inc. 1,637 97 * CEC Entertainment Inc. 2,044 97 Heritage Property InvestmentTrust REIT 3,400 97 * Choice Hotel International, Inc. 2,744 97 * P.F. Chang's China Bistro, Inc. 1,900 97 * Simpson Manufacturing Co. 1,900 97 East West Bancorp, Inc. 1,800 97 * Arbitron Inc. 2,315 97 Nordson Corp. 2,795 97 Chittenden Corp. 2,865 96 Commerce Group, Inc. 2,439 96 Winnebago Industries, Inc. 1,400 96 * Silicon Valley Bancshares 2,668 96 * Tuesday Morning Corp. 3,180 96 Fred's, Inc. 3,100 96 Hughes Supply, Inc. 1,935 96 Cognex Corp. 3,394 96 Corn Products International, Inc. 2,779 96 Overseas Shipholding Group Inc. 2,804 95 * Landstar System, Inc. 2,504 95 Avista Corp. 5,245 95 Florida East Coast Industries, Inc.Class A 2,868 95 * SCP Pool Corp. 2,900 95 * Kos Pharmaceuticals, Inc. 2,200 95 Equity One, Inc. REIT 5,599 95 * Therasense, Inc. 4,650 94 * Houston Exploration Co. 2,582 94 * Cabot Microelectronics Corp. 1,921 94 * Gaylord Entertainment Co. Class A 3,151 94 Heartland Express, Inc. 3,881 94 * MAXIMUS, Inc. 2,398 94 * Insight Enterprises, Inc. 4,991 94 * GrafTech International Ltd. 6,942 94 * NPS Pharmaceuticals Inc. 3,041 93 * FMC Corp. 2,735 93 * Aspect Communications Corp. 5,902 93 * Sonic Corp. 3,037 93 * NetFlix.com, Inc. 1,700 93 * Esperion Therapeutics, Inc. 2,683 93 * Coeur D'Alene Mines Corp. 16,061 93 * Charter Communications, Inc. 23,084 93 Ferro Corp. 3,407 93 The Toro Co. 1,994 93 * Cumulus Media Inc. 4,199 92 Commercial Federal Corp. 3,451 92 * Kronos, Inc. 2,327 92 * Teletech Holdings Inc. 8,151 92 American Financial Realty Trust REIT 5,400 92 * KEMET Corp. 6,710 92 21st Century Insurance Group 6,666 92 Albany International Corp. 2,700 92 * Wabash National Corp. 3,119 91 Sauer-Danfoss, Inc. 5,638 91 * Wright Medical Group, Inc. 3,000 91 Olin Corp. 4,551 91 * United Surgical Partners International, Inc. 2,725 91 * Mueller Industries Inc. 2,652 91 * Hain Celestial Group, Inc. 3,924 91 Flowers Foods, Inc. 3,526 91 * Panera Bread Co. 2,300 91 Nu Skin Enterprises, Inc. 5,309 91 * LifePoint Hospitals, Inc. 3,079 91 * American Eagle Outfitters, Inc. 5,529 91 * Cimarex Energy Co. 3,392 91 La-Z-Boy Inc. 4,315 91 * Interdigital Communications Corp. 4,382 90 Kellwood Co. 2,200 90 Hilb, Rogal and Hamilton Co. 2,808 90 UniSource Energy Corp. 3,650 90 Nationwide Health Properties,Inc. REIT 4,602 90 Texas Regional Bancshares, Inc. 2,431 90 * Flowserve Corp. 4,304 90 IDACORP, Inc. 3,000 90 * Alaris Medical Systems, Inc. 5,900 90 IMC Global Inc. 9,030 90 * Wynn Resorts Ltd. 3,200 90 Centex Construction Products, Inc. 1,482 89 * Encore Acquisition Co. 3,615 89 The Phoenix Cos., Inc. 7,400 89 22 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- The Trust Co. of New Jersey 2,245 89 * VISX Inc. 3,845 89 * US Oncology, Inc. 8,255 89 Strayer Education, Inc. 815 89 Superior Industries International, Inc. 2,037 89 * Philadelphia Consolidated Holding Corp. 1,813 89 Regal Entertainment Group Class A 4,300 88 * Steel Dynamics, Inc. 3,755 88 Bob Evans Farms, Inc. 2,717 88 * Macromedia, Inc. 4,937 88 * ESS Technology, Inc. 5,175 88 * Agere Systems Inc. Class A 28,759 88 * Arch Capital Group Ltd. 2,200 88 Brandywine Realty Trust REIT 3,274 88 * Nektar Therapeutics 6,424 87 Community First Bankshares, Inc. 3,021 87 * Kroll Inc. 3,360 87 PNM Resources Inc. 3,099 87 * Catalina Marketing Corp. 4,317 87 USEC Inc. 10,355 87 Alexandria Real Estate Equities,Inc. REIT 1,500 87 * Ocular Sciences, Inc. 3,025 87 * Ligand Pharmaceuticals Inc.Class B 5,900 87 * Stone Energy Corp. 2,041 87 Texas Industries, Inc. 2,341 87 Delphi Financial Group, Inc. 2,406 87 * LTX Corp. 5,744 86 Mentor Corp. 3,580 86 * United Online, Inc. 5,130 86 * Microsemi Corp. 3,500 86 Novastar Financial, Inc. REIT 2,000 86 * Tularik, Inc. 5,303 86 * Lattice Semiconductor Corp. 8,845 86 United Community Banks, Inc. 2,600 86 * McDATA Corp. Class A 8,973 86 * Beverly Enterprises, Inc. 9,947 85 Acuity Brands, Inc. 3,311 85 * AMERIGROUP Corp. 2,000 85 * Triad Guaranty, Inc. 1,694 85 * Sunrise Senior Living, Inc. 2,200 85 Corus Bankshares Inc. 2,698 85 * Actuant Corp. 2,352 85 * Abgenix, Inc. 6,832 85 * Macrovision Corp. 3,764 85 * Pacer International, Inc. 4,200 85 * La Quinta Corp. REIT 13,201 85 Perrigo Co. 5,381 85 * Silgan Holdings, Inc. 1,986 85 PS Business Parks, Inc. REIT 2,049 85 * Intergraph Corp. 3,523 84 * Northwest Airlines Corp. Class A 6,676 84 First Niagara Financial Group, Inc. 5,649 84 * Silicon Storage Technology, Inc. 7,650 84 A.O. Smith Corp. 2,400 84 * Ohio Casualty Corp. 4,844 84 * Inveresk Research Group Inc. 3,400 84 * Mentor Graphics Corp. 5,775 84 Universal Corp. (VA) 1,901 84 * Adolor Corp. 4,184 84 * Waste Connections, Inc. 2,216 84 MacDermid, Inc. 2,444 84 Longs Drug Stores, Inc. 3,382 84 Clarcor Inc. 1,894 84 * Aztar Corp. 3,711 83 Georgia Gulf Corp. 2,891 83 Arrow International, Inc. 3,342 83 * Ask Jeeves, Inc. 4,605 83 * Vicuron Pharmaceuticals Inc. 4,466 83 * Continental Airlines, Inc. Class B 5,119 83 * Spinnaker Exploration Co. 2,576 83 Reliance Steel & Aluminum Co. 2,500 83 * Wireless Facilities, Inc. 5,579 83 * Sybron Dental Specialties, Inc. 2,949 83 Maguire Properties, Inc. REIT 3,400 83 * Cox Radio, Inc. 3,272 83 * Anixter International Inc. 3,186 82 IHOP Corp. 2,141 82 Brady Corp. Class A 2,020 82 * PSS World Medical, Inc. 6,807 82 * AirTran Holdings, Inc. 6,898 82 * FileNET Corp. 3,030 82 * Odyssey Healthcare, Inc. 2,800 82 MB Financial, Inc. 2,250 82 National Health Investors REIT 3,290 82 * Rogers Corp. 1,855 82 Skywest, Inc. 4,516 82 * Adaptec, Inc. 9,264 82 Santander BanCorp 3,358 82 New Jersey Resources Corp. 2,123 82 BankAtlantic Bancorp, Inc. Class A 4,301 82 * Parametric Technology Corp. 20,716 82 * Magnum Hunter Resources Inc. 8,580 82 * Scientific Games Corp. 4,796 82 Lennox International Inc. 4,884 82 * Axcelis Technologies, Inc. 7,974 81 CARBO Ceramics Inc. 1,590 81 Chemical Financial Corp. 2,236 81 * The Children's Place RetailStores, Inc. 3,043 81 Northwest Bancorp, Inc. 3,808 81 23 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Gables Residential Trust REIT 2,341 81 * Unit Corp. 3,452 81 * Cyberonics, Inc. 2,538 81 NDCHealth Corp. 3,170 81 * UnitedGlobalCom Inc. Class A 9,565 81 * Aeroflex, Inc. 6,936 81 Cabot Oil & Gas Corp. 2,762 81 * ExpressJet Holdings, Inc. 5,400 81 * Align Technology, Inc. 4,900 81 * Priority Healthcare Corp. Class B 3,353 81 Black Box Corp. 1,753 81 Post Properties, Inc. REIT 2,891 81 * Sapient Corp. 14,387 81 * Quicksilver Resources, Inc. 2,494 81 * Brooks Automation, Inc. 3,332 81 * McDermott International, Inc. 6,735 80 * Kulicke & Soffa Industries, Inc. 5,595 80 Alfa Corp. 6,254 80 Alpharma, Inc. Class A 3,999 80 * Ralcorp Holdings, Inc. 2,562 80 * FEI Co. 3,565 80 * Universal Compression Holdings, Inc. 3,062 80 Capital Automotive REIT 2,500 80 Kelly Services, Inc. Class A 2,803 80 * Coherent, Inc. 3,357 80 Boyd Gaming Corp. 4,950 80 The Manitowoc Co., Inc. 2,555 80 Lincoln Electric Holdings, Inc. 3,222 80 * United Defense Industries Inc. 2,500 80 Oakley, Inc. 5,757 80 Taubman Co. REIT 3,866 80 * Kindred Healthcare, Inc. 1,532 80 Burlington Coat Factory Warehouse Corp. 3,763 80 * Applera Corp.- Celera Genomics Group 5,723 80 Tupperware Corp. 4,586 80 * Aeropostale, Inc. 2,900 80 * CompuCredit Corp. 3,732 79 Matthews International Corp. 2,682 79 * WCI Communities, Inc. 3,850 79 * Corrections Corp. of America REIT 2,750 79 Amcore Financial, Inc. 2,934 79 LandAmerica Financial Group, Inc. 1,516 79 * ILEX Oncology, Inc. 3,724 79 Casey's General Stores, Inc. 4,478 79 Kilroy Realty Corp. REIT 2,414 79 Longview Fibre Co. 6,400 79 Ruddick Corp. 4,415 79 Banta Corp. 1,948 79 CVB Financial Corp. 4,090 79 Irwin Financial Corp. 2,511 79 Walter Industries, Inc. 5,891 79 * Internet Security Systems, Inc. 4,172 79 Impac Mortgage Holdings, Inc. REIT 4,300 78 Rollins, Inc. 3,468 78 UMB Financial Corp. 1,645 78 Senior Housing Properties Trust REIT 4,534 78 FBL Financial Group, Inc. Class A 3,027 78 * CNET Networks, Inc. 11,443 78 First Sentinel Bancorp Inc. 3,704 78 Susquehanna Bancshares, Inc. 3,118 78 Black Hills Corp. 2,612 78 Dime Community Bancshares 2,530 78 Potlatch Corp. 2,237 78 Colonial Properties Trust REIT 1,963 78 * Navigant Consulting, Inc. 4,120 78 * Electro Scientific Industries, Inc. 3,259 78 * Kansas City Southern 5,407 77 Brookline Bancorp, Inc. 5,044 77 * Digital Insight Corp. 3,101 77 * RealNetworks, Inc. 13,516 77 * Magma Design Automation, Inc. 3,300 77 * Men's Wearhouse, Inc. 3,079 77 * MPS Group, Inc. 8,234 77 * Tejon Ranch Co. 1,877 77 * WebEx Communications, Inc. 3,829 77 Cathay General Bancorp 1,382 77 * Dionex Corp. 1,672 77 * Renaissance Learning, Inc. 3,186 77 Republic Bancorp, Inc. 5,687 77 ABM Industries Inc. 4,406 77 * Tekelec 4,933 77 * Journal Register Co. 3,704 77 Spartech Corp. 3,108 77 R.L.I. Corp. 2,044 77 TrustCo Bank NY 5,822 77 State Auto Financial Corp. 3,271 77 * Rayovac Corp. 3,638 76 * AAR Corp. 5,094 76 * Power Integrations, Inc. 2,275 76 * Keane, Inc. 5,197 76 Hancock Holding Co. 1,392 76 Granite Construction Co. 3,233 76 Wabtec Corp. 4,454 76 * Helen of Troy Ltd. 3,272 76 H.B. Fuller Co. 2,546 76 Syntel, Inc. 3,063 76 Arkansas Best Corp. 2,400 75 Summit Properties, Inc. REIT 3,136 75 * Informatica Corp. 7,308 75 24 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Weis Markets, Inc. 2,072 75 * Cirrus Logic 9,805 75 * Cal Dive International, Inc. 3,118 75 LNR Property Corp. 1,518 75 * Symyx Technologies, Inc. 3,656 75 * Alaska Air Group, Inc. 2,745 75 * Commonwealth Telephone Enterprises, Inc. 1,984 75 Cleco Corp. 4,164 75 * FTI Consulting, Inc. 3,200 75 * Exar Corp. 4,377 75 * CUNO Inc. 1,660 75 * Group 1 Automotive, Inc. 2,062 75 * Kyphon Inc. 3,000 74 First Commonwealth Financial Corp. 5,215 74 BlackRock, Inc. 1,400 74 * Quiksilver, Inc. 4,190 74 * Manhattan Associates, Inc. 2,684 74 * Rare Hospitality International Inc. 3,030 74 Delta & Pine Land Co. 2,913 74 * Esterline Technologies Corp. 2,774 74 Harleysville National Corp. 2,457 74 Watsco, Inc. 3,253 74 * Knight Transportation, Inc. 2,880 74 * Penn National Gaming, Inc. 3,200 74 First Financial Bankshares, Inc. 1,770 74 NACCO Industries, Inc. Class A 824 74 * TriQuint Semiconductor, Inc. 10,426 74 City Holding Co. 2,106 74 Sonic Automotive, Inc. 3,213 74 * Openwave Systems Inc. 6,694 74 John H. Harland Co. 2,696 74 * eFunds Corp. 4,242 74 * Advanced Neuromodulation Systems, Inc. 1,600 74 * InfoSpace, Inc. 3,189 74 Tecumseh Products Co. Class A 1,512 73 * Altiris, Inc. 2,000 73 Bandag, Inc. 1,769 73 Redwood Trust, Inc. REIT 1,431 73 * Korn/Ferry International 5,453 73 * InVision Technologies, Inc. 2,164 73 Waypoint Financial Corp. 3,348 73 Commercial Net Lease Realty REIT 4,079 73 S & T Bancorp, Inc. 2,428 73 * TBC Corp. 2,811 73 * eResearch Technology, Inc. 2,850 72 * Genencor International Inc. 4,597 72 Liberty Corp. 1,601 72 USF Corp. 2,116 72 * Power-One, Inc. 6,665 72 * ProQuest Co. 2,451 72 * Entegris Inc. 5,613 72 ADVO, Inc. 2,269 72 * Newport Corp. 4,356 72 * Ultratech, Inc. 2,448 72 * EGL, Inc. 4,090 72 Wolverine World Wide, Inc. 3,519 72 Sovran Self Storage, Inc. REIT 1,930 72 Greif Inc. Class A 2,019 72 Commercial Metals Co. 2,354 72 St. Mary Land & Exploration Co. 2,510 72 Sensient Technologies Corp. 3,612 71 * Technitrol, Inc. 3,443 71 Kaydon Corp. 2,757 71 * OM Group, Inc. 2,720 71 Startek, Inc. 1,746 71 Manufactured Home Communities, Inc. REIT 1,887 71 * Photronics Inc. 3,560 71 * Wind River Systems Inc. 8,095 71 * Province Healthcare Co. 4,425 71 * Comstock Resources, Inc. 3,665 71 * Meritage Corp. 1,066 71 CH Energy Group, Inc. 1,506 71 * Payless ShoeSource, Inc. 5,268 71 * Viasys Healthcare Inc. 3,425 71 * Advanced Digital Information Corp. 5,031 70 * URS Corp. 2,809 70 * First Federal Financial Corp. 1,615 70 Millennium Chemicals, Inc. 5,540 70 MGE Energy, Inc. 2,221 70 * Oceaneering International, Inc. 2,499 70 Baldor Electric Co. 3,061 70 * The Sports Authority, Inc. 1,821 70 Wintrust Financial Corp. 1,550 70 * Entravision Communications Corp. 6,283 70 Crompton Corp. 9,725 70 * SEACOR SMIT Inc. 1,659 70 * Cost Plus, Inc. 1,700 70 Handleman Co. 3,392 70 Provident Bankshares Corp. 2,364 70 * CSK Auto Corp. 3,706 70 Pilgrim's Pride Corp. 4,258 70 K-Swiss, Inc. 2,888 69 Harbor Florida Bancshares, Inc. 2,335 69 * Ariba, Inc. 23,121 69 Mine Safety Appliances Co. 872 69 * Select Comfort Corp. 2,800 69 * FormFactor Inc. 3,500 69 * ATMI, Inc. 2,993 69 Carpenter Technology Corp. 2,340 69 25 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Maverick Tube Corp. 3,582 69 * Photon Dynamics, Inc. 1,713 69 AMCOL International Corp. 3,408 69 * ChipPAC, Inc. 9,068 69 * Stage Stores, Inc. 2,465 69 * Hewitt Associates, Inc. 2,300 69 * Integra LifeSciences Holdings 2,400 69 Northwest Natural Gas Co. 2,233 69 * Armor Holdings, Inc. 2,600 68 Zenith National Insurance Corp. 2,101 68 Central Pacific Financial Co. 2,276 68 * Credit Acceptance Corp. 4,466 68 * Borland Software Corp. 7,021 68 Grey Global Group Inc. 100 68 * Nuevo Energy Co. 2,826 68 * Vignette Corp. 29,966 68 Glimcher Realty Trust REIT 3,038 68 Vintage Petroleum, Inc. 5,631 68 * Hanover Compressor Co. 6,075 68 Southwest Gas Corp. 3,016 68 A. Schulman Inc. 3,174 68 * California Amplifier, Inc. 4,800 68 * Price Communications Corp. 4,917 68 Tredegar Corp. 4,344 67 * American Management Systems, Inc. 4,473 67 * Advanced Energy Industries, Inc. 2,587 67 * Offshore Logistics, Inc. 2,748 67 G & K Services, Inc. Class A 1,833 67 * Sierra Pacific Resources 9,150 67 * Mediacom Communications Corp. 7,745 67 * Opsware, Inc. 9,072 67 * Investment Technology Group, Inc. 4,156 67 Owens & Minor, Inc. Holding Co. 3,061 67 Brookfield Homes Corp. 2,600 67 * Ocwen Financial Corp. 7,537 67 * Closure Medical Corp. 1,964 67 Net.Bank, Inc. 4,980 66 * ArthroCare Corp. 2,713 66 * BankUnited Financial Corp. 2,577 66 * Epicor Software Corp. 5,197 66 * Quanta Services, Inc. 9,079 66 * Shaw Group, Inc. 4,862 66 * Sotheby's Holdings Class A 4,837 66 * Ryan's Family Steak Houses, Inc. 4,362 66 Sun Communities, Inc. REIT 1,706 66 Landry's Restaurants, Inc. 2,563 66 Federal Signal Corp. 3,758 66 * Extreme Networks, Inc. 9,124 66 * ValueClick, Inc. 7,237 66 The Laclede Group, Inc. 2,300 66 * Jack in the Box Inc. 3,070 66 * NeighborCare Inc. 3,319 66 * Verint Systems Inc. 2,900 65 * Ionics, Inc. 2,050 65 * Exult Inc. 9,154 65 * Haemonetics Corp. 2,728 65 EDO Corp. 2,640 65 * Systems & Computer Technology Corp. 3,975 65 * Hollywood Entertainment Corp. 4,724 65 Barra, Inc. 1,829 65 Horace Mann Educators Corp. 4,645 65 Community Bank System, Inc. 1,324 65 First Financial Bancorp 4,067 65 * Credence Systems Corp. 4,927 65 * Plug Power, Inc. 8,936 65 * Technical Olympic USA, Inc. 2,351 65 Surewest Communications 1,600 65 * RSA Security Inc. 4,550 65 * Argosy Gaming Co. 2,479 64 Regal-Beloit Corp. 2,927 64 * WMS Industries, Inc. 2,455 64 * ProAssurance Corp. 2,000 64 * Labor Ready, Inc. 4,896 64 * United Therapeutics Corp. 2,794 64 Getty Realty Holding Corp. REIT 2,451 64 * Energy Partners, Ltd. 4,608 64 Glatfelter 5,139 64 * Ixia 5,467 64 First Essex Bancorp, Inc. 1,100 64 * Zymogenetics, Inc. 4,125 64 JLG Industries, Inc. 4,196 64 Kenneth Cole Productions, Inc. 2,172 64 * Primus Telecommunications Group, Inc. 6,270 64 * The Warnaco Group, Inc. 4,000 64 Empire District Electric Co. 2,904 64 * THQ Inc. 3,764 64 * SERENA Software, Inc. 3,463 64 * Chiquita Brands International, Inc. 2,816 63 GenCorp, Inc. 5,889 63 * Spanish Broadcasting System, Inc. 6,039 63 * Secure Computing Corp. 3,540 63 Charter Financial Corp. 1,700 63 * Intuitive Surgical, Inc. 3,706 63 * NetIQ Corp. 4,779 63 * Integrated Silicon Solution, Inc. 4,033 63 Vector Group Ltd. 3,872 63 * PRIMEDIA Inc. 22,261 63 * Advanced Medical Optics, Inc. 3,198 63 * Sola International Inc. 3,342 63 26 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- United National Bancorp 1,758 63 * Wesco International, Inc. 7,091 63 Cubic Corp. 2,724 63 * CTI Molecular Imaging, Inc. 3,700 63 * Enterasys Networks, Inc. 16,652 62 * eSPEED, Inc. Class A 2,667 62 * Mykrolis Corp. 3,881 62 * SupportSoft, Inc. 4,741 62 UIL Holdings Corp. 1,379 62 Schweitzer-Mauduit International, Inc. 2,085 62 CDI Corp. 1,894 62 * Hutchinson Technology, Inc. 2,016 62 Value Line, Inc. 1,237 62 * Ciber, Inc. 7,113 62 * SonicWALL, Inc. 7,891 62 * NetRatings, Inc. 5,380 61 First Federal Capital Corp. 2,727 61 * TTM Technologies, Inc. 3,634 61 Arch Chemicals, Inc. 2,388 61 * Progress Software Corp. 2,991 61 Cash America International Inc. 2,888 61 * DSP Group Inc. 2,453 61 * United Natural Foods, Inc. 1,700 61 * Vertex Pharmaceuticals, Inc. 5,967 61 NBT Bancorp, Inc. 2,847 61 * Titanium Metals Corp. 1,161 61 * GlobespanVirata, Inc. 10,363 61 Stewart Information Services Corp. 1,500 61 * Clark, Inc. 3,160 61 * American Italian Pasta Co. 1,451 61 * InterMune Inc. 2,625 61 * PAREXEL International Corp. 3,738 61 * Mesa Air Group Inc. 4,847 61 * Consolidated Graphics, Inc. 1,921 61 Anchor Bancorp Wisconsin Inc. 2,434 61 * Genta Inc. 5,819 61 * Arris Group Inc. 8,355 60 * American Pharmaceuticals Partners, Inc. 1,800 60 * Centennial Communications Corp. Class A 11,480 60 C & D Technologies, Inc. 3,149 60 Otter Tail Corp. 2,258 60 * Jones Lang Lasalle Inc. 2,908 60 * IDX Systems Corp. 2,243 60 * Corvis Corp. 35,365 60 * Global Industries Ltd. 11,658 60 * Regeneron Pharmaceuticals, Inc. 4,081 60 Universal Health Realty Income REIT 1,994 60 Frontier Oil Corp. 3,476 60 * RailAmerica, Inc. 5,070 60 * CSG Systems International, Inc. 4,789 60 * Embarcadero Technologies, Inc. 3,748 60 * F5 Networks, Inc. 2,378 60 * Noven Pharmaceuticals, Inc. 3,923 60 MTS Systems Corp. 3,100 60 * Six Flags, Inc. 7,923 60 * Charming Shoppes, Inc. 11,006 59 * Specialty Laboratories, Inc. 3,533 59 Great American Financial Resources, Inc. 3,654 59 * Atwood Oceanics, Inc. 1,854 59 * Nabi Biopharmaceuticals 4,658 59 Franklin Electric, Inc. 978 59 Bel Fuse, Inc. Class A 1,977 59 ElkCorp 2,210 59 * CIMA Labs Inc. 1,808 59 PFF Bancorp, Inc. 1,624 59 * Swift Energy Co. 3,491 59 * Checkpoint Systems, Inc. 3,110 59 * Dollar Thrifty Automotive Group, Inc. 2,267 59 * NCI Building Systems, Inc. 2,460 59 First Republic Bank 1,641 59 * PDI, Inc. 2,191 59 First Charter Corp. 3,003 59 Christopher & Banks Corp. 3,000 59 * Websense, Inc. 2,000 58 * Alexander's, Inc. REIT 469 58 Blockbuster Inc. Class A 3,257 58 Barnes Group, Inc. 1,809 58 * Denbury Resources, Inc. 4,200 58 * KCS Energy, Inc. 5,533 58 * Per-Se Technologies, Inc. 3,825 58 * CoStar Group, Inc. 1,400 58 * UICI 4,389 58 * Superior Energy Services, Inc. 6,200 58 Holly Corp. 2,118 58 Mid-State Bancshares 2,287 58 * Digitas Inc. 6,238 58 * Boca Resorts, Inc. Class A 3,883 58 * Grey Wolf, Inc. 15,529 58 * ValueVision Media, Inc. 3,477 58 * Palm Harbor Homes, Inc. 3,245 58 Wausau-Mosinee Paper Corp. 4,286 58 Chesapeake Corp. of Virginia 2,187 58 * bebe stores, inc 2,228 58 Cambrex Corp. 2,289 58 * The Dress Barn, Inc. 3,854 58 Hudson River Bancorp. Inc. 1,480 58 * Dendrite International, Inc. 3,681 58 27 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- The Marcus Corp. 3,516 58 * Impax Laboratories, Inc. 4,000 58 * Digital River, Inc. 2,604 58 Westbanco Inc. 2,076 57 Kimball International, Inc. Class B 3,691 57 * William Lyon Homes, Inc. 914 57 * Time Warner Telecom Inc. 5,653 57 * Electronics Boutique Holdings Corp. 2,500 57 * Zoran Corp. 3,285 57 * Stewart Enterprises, Inc. Class A 10,041 57 Kansas City Life Insurance Co. 1,231 57 Equity Inns, Inc. REIT 6,282 57 * AmSurg Corp. 1,500 57 Woodward Governor Co. 1,000 57 * Lin TV Corp. 2,200 57 * Cross Country Healthcare, Inc. 3,800 57 * Papa John's International, Inc. 1,697 57 * TETRA Technologies, Inc. 2,335 57 Interstate Bakeries Corp. 3,974 57 * Mastec Inc. 3,811 56 * Safeguard Scientifics, Inc. 13,946 56 * Finisar Corp. 17,994 56 * Local Financial Corp. 2,702 56 First Financial Corp. (IN) 1,876 56 * NCO Group, Inc. 2,470 56 * Plexus Corp. 3,274 56 * Aquila, Inc. 16,582 56 * Sinclair Broadcast Group, Inc. 3,767 56 * Thoratec Corp. 4,317 56 * SRA International, Inc. 1,300 56 * Silicon Image, Inc. 7,742 56 * Playboy Enterprises, Inc. Class B 3,463 56 * Digene Corp. 1,394 56 Hooper Holmes, Inc. 9,039 56 * Leapfrog Enterprises, Inc. 2,100 56 * MedQuist, Inc. 3,464 56 Helix Technology Corp. 2,701 56 Sterling Bancshares, Inc. 4,166 56 Belden, Inc. 2,633 56 Boston Private Financial Holdings, Inc. 2,231 55 * Spherion Corp. 5,660 55 * Sykes Enterprises, Inc. 6,471 55 Movado Group, Inc. 1,962 55 * OMI Corp. 6,200 55 * Interwoven Inc. 4,379 55 * Quantum Corp. 17,735 55 * RehabCare Group, Inc. 2,600 55 * Buckeye Technology, Inc. 5,499 55 * Crown Media Holdings, Inc. 6,671 55 Independent Bank Corp. (MA) 1,909 55 * The Gymboree Corp. 3,192 55 * I-STAT Corp. 3,587 55 Koger Equity, Inc. REIT 2,621 55 * Fleetwood Enterprises, Inc. 5,342 55 Cato Corp. Class A 2,672 55 * PolyOne Corp. 8,571 55 Riviana Foods, Inc. 1,997 55 * Zoll Medical Corp. 1,541 55 Gold Banc Corp., Inc. 3,888 55 * USG Corp. 3,299 55 * Cray Inc. 5,500 55 * Powerwave Technologies, Inc. 7,139 55 * CorVel Corp. 1,452 55 * Tyler Technologies, Inc. 5,666 55 * International Steel Group, Inc. 1,400 55 * Intermagnetics General Corp. 2,460 55 * S1 Corp. 6,755 54 Southern Peru Copper Corp. 1,153 54 * SuperGen, Inc. 4,928 54 Advanta Corp. Class A 4,170 54 * Priceline.com, Inc. 3,023 54 Parkway Properties Inc. REIT 1,300 54 * Artisan Components, Inc. 2,636 54 * Global Imaging Systems, Inc. 1,700 54 * Administaff, Inc. 3,104 54 * Rainbow Technologies, Inc. 4,789 54 * Dobson Communications Corp. 8,200 54 * Ameristar Casinos, Inc. 2,200 54 Crawford & Co. Class B 7,625 54 LaBranche & Co. Inc. 4,605 54 Harleysville Group, Inc. 2,700 54 * ShopKo Stores, Inc. 3,520 54 * Onyx Pharmaceuticals, Inc. 1,900 54 Great Southern Bancorp, Inc. 1,156 54 * Orbital Sciences Corp. 4,451 54 Glacier Bancorp, Inc. 1,650 53 Seacoast Financial Services Corp. 1,949 53 * ANSYS, Inc. 1,344 53 Lance, Inc. 3,549 53 Glenborough Realty Trust, Inc. REIT 2,672 53 * Financial Federal Corp. 1,743 53 * Ventana Medical Systems, Inc. 1,349 53 Resource America, Inc. 3,534 53 * Cole National Corp. Class A 2,650 53 * Advent Software, Inc. 3,040 53 Gray Television, Inc. 3,500 53 * Playtex Products, Inc. 6,835 53 * PalmOne, Inc. 4,494 53 Coachmen Industries, Inc. 2,915 53 * EMCOR Group, Inc. 1,200 53 Correctional Properties Trust REIT 1,826 53 * PTEK Holdings, Inc. 5,968 53 Superior Uniform Group, Inc. 3,193 53 28 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Tower Automotive, Inc. 7,675 52 * McMoRan Exploration Co. 2,795 52 * aQuantive, Inc. 5,110 52 * Caraustar Industries, Inc. 3,795 52 * Old Dominion Freight Line, Inc. 1,536 52 * Remington Oil & Gas Corp. 2,658 52 * Transmeta Corp. 15,389 52 * USI Holdings Corp. 4,000 52 * Mindspeed Technologies, Inc. 7,618 52 First Source Corp. 2,422 52 * TransMontaigne Inc. 8,059 52 * Insituform Technologies Inc. Class A 3,150 52 * DuPont Photomasks, Inc. 2,152 52 * Steak n Shake Co. 2,900 52 Capital City Bank Group, Inc. 1,125 52 * Transkaryotic Therapies, Inc. 3,314 52 * Stillwater Mining Co. 5,386 52 Quaker City Bancorp, Inc. 1,107 52 Schnitzer Steel Industries, Inc. Class A 850 51 * Shuffle Master, Inc. 1,484 51 * Littelfuse, Inc. 1,782 51 * Mattson Technology, Inc. 4,200 51 * Trammell Crow Co. 3,872 51 World Fuel Services Corp. 1,511 51 Corporate Office Properties Trust, Inc. REIT 2,440 51 * 1-800-FLOWERS.COM, Inc. 4,632 51 * CMGI Inc. 28,755 51 * S&K Famous Brands Inc. 2,967 51 * OPNET Technologies, Inc. 3,104 51 * Cell Genesys, Inc. 3,948 51 * FelCor Lodging Trust, Inc. REIT 4,608 51 * Agile Software Corp. 5,155 51 * JDA Software Group, Inc. 3,088 51 Standard Commercial Tobacco Co. 2,540 51 * Ventiv Health, Inc. 5,562 51 CTS Corp. 4,421 51 * Aviall Inc. 3,273 51 * FARO Technologies, Inc. 2,032 51 * Too Inc. 3,006 51 * Wilson Greatbatch Technologies, Inc. 1,200 51 * Remec, Inc. 6,030 51 * General Maritime Corp. 2,880 51 * Echelon Corp. 4,549 51 * Enzo Biochem, Inc. 2,827 51 * Inet Technologies, Inc. 4,212 51 * Vail Resorts Inc. 2,972 51 * Imagistics International Inc. 1,347 51 * Movie Gallery, Inc. 2,700 50 Steelcase Inc. 3,510 50 * Tanox, Inc. 3,394 50 * Maxygen Inc. 4,741 50 * Mapics Inc. 3,848 50 * CardioDynamics International Corp. 8,432 50 * Pixelworks, Inc. 4,556 50 * webMethods, Inc. 5,497 50 * aaiPharma Inc. 2,000 50 * K2 Inc. 3,291 50 Rock-Tenn Co. 2,900 50 * Covansys Corp. 4,540 50 * Manugistics Group, Inc. 7,983 50 Comm Bancorp, Inc. 1,339 50 American Home Mortgage Investment Corp. 2,214 50 * Newpark Resources, Inc. 10,383 50 Bryn Mawr Bank Corp. 2,030 50 * AK Steel Corp. 9,745 50 Watts Industries Class A 2,238 50 * Hecla Mining Co. 5,992 50 * j2 Global Communications, Inc. 1,996 49 * Isle of Capri Casinos, Inc. 2,300 49 Stewart & Stevenson Services, Inc. 3,513 49 McGrath Rent Corp. 1,808 49 * iGATE Corp. 6,274 49 * Jarden Corp. 1,800 49 * Kadant Inc. 2,272 49 * Keynote Systems Inc. 4,129 49 Curtiss-Wright Corp. Class B 1,094 49 Central Parking Corp. 3,284 49 * Maxim Pharmaceuticals, Inc. 5,504 49 * USANA Health Sciences, Inc. 1,600 49 Central Vermont Public Service Corp. 2,082 49 * Prime Hospitality Corp. 4,794 49 * Radio One, Inc. 2,500 49 * The Advisory Board Co. 1,400 49 Presidential Life Corp. 3,711 49 Anthracite Capital Inc. REIT 4,411 49 First Financial Holdings, Inc. 1,562 49 Interchange Financial Services Corp. 1,925 49 * Teledyne Technologies, Inc. 2,582 49 * HomeStore, Inc. 10,278 49 First Place Financial Corp. 2,489 49 * Ace Cash Express, Inc. 2,283 49 * Packeteer, Inc. 2,854 48 * A.C. Moore Arts & Crafts, Inc. 2,514 48 * MRO Software Inc. 3,596 48 * Zygo Corp. 2,931 48 * General Binding Corp. 2,685 48 29 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Berry Petroleum Class A 2,385 48 * American Medical Security Group, Inc. 2,153 48 * Medarex, Inc. 7,745 48 * Albany Molecular Research, Inc. 3,206 48 * Plains Exploration & Production Co. 3,127 48 Oriental Financial Group Inc. 1,872 48 Wayne Savings Bancshares, Inc. 2,673 48 * Finish Line, Inc. 1,600 48 * Insight Communications Co., Inc. 4,648 48 * Jacuzzi Brands, Inc. 6,753 48 * Dendreon Corp. 5,937 48 * ViaSat, Inc. 2,500 48 * E.piphany Inc. 6,636 48 * Mercury Computer Systems, Inc. 1,921 48 NL Industries, Inc. 4,088 48 EastGroup Properties, Inc. REIT 1,475 48 R & G Financial Corp. Class B 1,200 48 Town & Country Trust REIT 1,884 48 * Accredited Home Lenders Holding Co. 1,560 48 * AMN Healthcare Services, Inc. 2,781 48 Vital Signs, Inc. 1,457 48 * Centene Corp. 1,700 48 * Bright Horizons Family Solutions, Inc. 1,133 48 * Cable Design Technologies Corp. 5,292 48 Riggs National Corp. 2,878 48 Gevity HR, Inc. 2,138 48 * Orthodontic Centers of America, Inc. 5,896 47 * MICROS Systems, Inc. 1,094 47 * Aspect Medical Systems, Inc. 4,154 47 * Duane Reade Inc. 2,800 47 * Molecular Devices Corp. 2,494 47 * FalconStor Software, Inc. 5,418 47 * Lakes Entertainment, Inc. 2,931 47 * Triumph Group, Inc. 1,300 47 * Ulticom, Inc. 4,897 47 * Encore Wire Corp. 2,667 47 * Radiant Systems, Inc. 5,607 47 * Pinnacle Systems, Inc. 5,519 47 First Community Bancorp 1,300 47 * Exelixis, Inc. 6,633 47 * CONMED Corp. 1,972 47 * Infonet Services Corp. 27,586 47 * Quality Systems, Inc. 1,051 47 Independent Bank Corp. (MI) 1,650 47 * Encysive Pharmaceuticals, Inc. 5,223 47 * Veeco Instruments, Inc. 1,654 47 Russell Corp. 2,654 47 Umpqua Holdings Corp. 2,240 47 * Micromuse Inc. 6,747 47 Suffolk Bancorp 1,348 47 * World Acceptance Corp. 2,327 46 * SOURCECORP, Inc. 1,805 46 * GameStop Corp. 3,000 46 National Presto Industries, Inc. 1,274 46 * CNA Surety Corp. 4,842 46 * Telik, Inc. 2,000 46 * International Multifoods Corp. 2,555 46 * Watson Wyatt & Co. Holdings 1,900 46 * EMS Technologies, Inc. 2,231 46 * Forward Air Corp. 1,664 46 Curtiss-Wright Corp. 1,016 46 The Topps Co., Inc. 4,456 46 * VistaCare, Inc. 1,300 46 * eCollege.com Inc. 2,475 46 Libbey, Inc. 1,604 46 * Enzon Pharmaceuticals, Inc. 3,804 46 * Avatar Holding, Inc. 1,234 46 * Trex Co., Inc. 1,200 46 * Charles River Associates Inc. 1,424 46 The Standard Register Co. 2,700 45 * Kronos Worldwide, Inc. 2,044 45 * Atlantic Coast Airlines Holdings Inc. 4,572 45 Action Performance Cos., Inc. 2,309 45 * NIC Inc. 5,631 45 * InFocus Corp. 4,671 45 * Sterling Financial Corp. (Spokane) 1,320 45 * Indevus Pharmaceuticals, Inc. 7,669 45 * Trans World Entertainment Corp. 6,331 45 RPC Inc. 4,091 45 MCG Capital Corp. 2,300 45 First Indiana Corp. 2,391 45 * OraSure Technologies, Inc. 5,632 45 * Audiovox Corp. 3,490 45 * Universal American Financial Corp. 4,500 45 Texas Genco Holdings, Inc. 1,372 45 Community Trust Bancorp Inc. 1,476 45 CIRCOR International, Inc. 1,846 44 * Ditech Communications Corp. 2,329 44 Connecticut Water Services, Inc. 1,606 44 * IXYS Corp. 4,747 44 Sanderson Farms, Inc. 1,100 44 * Omnova Solutions Inc. 9,233 44 * Retek Inc. 4,775 44 Blair Corp. 1,819 44 * MicroStrategy Inc. 843 44 * Prima Energy Corp. 1,258 44 Phillips-Van Heusen Corp. 2,489 44 * Gardner Denver Inc. 1,847 44 30 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Pulitzer, Inc. 816 44 * El Paso Electric Co. 3,300 44 * The Wet Seal, Inc. Class A 4,443 44 National Penn Bancshares Inc. 1,365 44 Hancock Fabrics, Inc. 3,023 44 * Plains Resources Inc. 2,727 44 * Florida Banks, Inc. 3,119 44 * General Cable Corp. 5,352 44 * Eclipsys Corp. 3,731 43 * PRAECIS Pharmaceuticals Inc. 6,704 43 * Multimedia Games Inc. 1,050 43 * Chalone Wine Group Ltd. 4,901 43 * The Great Atlantic & Pacific Tea Co., Inc. 5,133 43 * Pre-Paid Legal Services, Inc. 1,650 43 * Concurrent Computer Corp. 9,854 43 * The Boyds Collection, Ltd. 10,116 43 Triarc Cos., Inc. Class B 3,988 43 * DRS Technologies, Inc. 1,544 43 * Immucor Inc. 2,103 43 * DJ Orthopedics Inc. 1,600 43 Community Banks, Inc. 1,090 43 * Serologicals Corp. 2,300 43 * Interface, Inc. 7,727 43 * Forrester Research, Inc. 2,390 43 Ryerson Tull, Inc. 3,730 43 * Unifi, Inc. 6,614 43 * Candela Corp. 2,346 43 * Red Robin Gourmet Burgers 1,400 43 Lone Star Steakhouse & Saloon, Inc. 1,837 43 * Tradestation Group Inc. 4,806 43 * SeaChange International, Inc. 2,765 43 Myers Industries, Inc. 3,513 43 Associated Estates Realty Corp. REIT 5,813 42 Medallion Financial Corp. 4,472 42 * PEC Solutions, Inc. 2,500 42 NYMAGIC, Inc. 1,545 42 * Drugstore.com, Inc. 7,678 42 * Harmonic, Inc. 5,833 42 * Hologic, Inc. 2,438 42 * Guess ?, Inc. 3,499 42 * Kopin Corp. 6,294 42 * BioMarin Pharmaceutical Inc. 5,435 42 First Merchants Corp. 1,653 42 The Nautilus Group, Inc. 3,000 42 Penn Virginia Corp. 756 42 * Incyte Corp. 6,148 42 * Central Garden and Pet Co. 1,500 42 Alabama National BanCorporation 800 42 * Merix Corp. 1,710 42 * Lone Star Technologies, Inc. 2,616 42 Bank Mutual Corp. 3,668 42 Churchill Downs, Inc. 1,151 42 * Shoe Carnival, Inc. 2,340 42 Bowne & Co., Inc. 3,062 42 * Maxxam Inc. 2,190 42 * Stratex Networks, Inc. 9,762 41 * Possis Medical Inc. 2,100 41 Lindsay Manufacturing Co. 1,642 41 Middlesex Water Co. 2,040 41 * Applica Inc. 5,444 41 * Itron, Inc. 2,253 41 * Amerco, Inc. 1,922 41 * Benihana Inc. Class A 3,209 41 * Netegrity, Inc. 3,997 41 SJW Corp. 461 41 CB Bancshares Inc. (HI) 653 41 BancFirst Corp. 700 41 * Gentiva Health Services, Inc. 3,250 41 * A.M. Castle & Co. 5,620 41 * Century Business Services, Inc. 9,173 41 Apogee Enterprises, Inc. 3,608 41 Stanley Furniture Co., Inc. 1,300 41 * SurModics, Inc. 1,711 41 Fidelity Bankshares, Inc. 1,300 41 Washington Trust Bancorp, Inc. 1,558 41 * Salix Pharmaceuticals, Ltd. 1,800 41 * MIPS Technologies, Inc. 7,483 41 West Coast Bancorp 1,908 41 * Salem Communications Corp. 1,500 41 * Triton PCS, Inc. 7,286 41 * MemberWorks, Inc. 1,494 41 * Cubist Pharmaceuticals, Inc. 3,337 41 * Stein Mart, Inc. 4,922 41 * Atrix Laboratories, Inc. 1,686 41 * CuraGen Corp. 5,529 41 * Isis Pharmaceuticals, Inc. 6,225 40 Inter-Tel, Inc. 1,614 40 First South Bancorp, Inc. 1,104 40 The Buckle, Inc. 1,819 40 * W-H Energy Services, Inc. 2,487 40 Aaron Rents, Inc. Class B 2,000 40 * Brucker BioSciences Corp. 8,844 40 Green Mountain Power Corp. 1,699 40 * Strattec Security Corp. 658 40 Agilysys, Inc. 3,591 40 * The TriZetto Group, Inc. 6,192 40 * Artesyn Technologies, Inc. 4,685 40 * Learning Tree International, Inc. 2,288 40 * FuelCell Energy, Inc. 3,060 40 31 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Pharmacopeia, Inc. 2,797 40 * Aether Systems, Inc. 8,337 40 WSFS Financial Corp. 882 40 * CKE Restaurants Inc. 6,189 40 * TiVo Inc. 5,343 40 Roto-Rooter, Inc. 857 40 Wainwright Bank & Trust Co. 2,764 39 * Carrier Access Corp. 3,154 39 * Symmetricom Inc. 5,419 39 * infoUSA Inc. 5,316 39 * Concord Communications, Inc. 1,975 39 The Stride Rite Corp. 3,457 39 * CV Therapeutics, Inc. 2,683 39 * Headwaters Inc. 2,000 39 * Sharper Image Corp. 1,200 39 Flushing Financial Corp. 2,142 39 Talx Corp. 1,700 39 * United PanAm Financial Corp. 2,341 39 * Aspen Technologies, Inc. 3,811 39 * Integrated Electrical Services, Inc. 4,211 39 Meridian Bioscience Inc. 3,732 39 * National Western Life Insurance Co. Class A 251 39 * hi/fn, inc 3,266 39 * Paxar Corp. 2,900 39 * Hibbett Sporting Goods, Inc. 1,300 39 * MedCath Corp. 3,700 39 Oxford Industries, Inc. 1,140 39 * Commercial Capital Bancorp, Inc. 1,800 39 Peoples Holding Co. 1,165 38 * Trimeris, Inc. 1,826 38 Omega Financial Corp. 992 38 * School Specialty, Inc. 1,122 38 BCSB Bankcorp, Inc. 2,051 38 * AMC Entertainment, Inc. 2,500 38 MFA Mortgage Investments, Inc. REIT 3,900 38 * COMARCO, Inc. 3,450 38 * Dril-Quip, Inc. 2,328 38 * Petrocorp, Inc. 2,814 38 Advanced Marketing Services 3,322 38 * Genesis Healthcare Corp 1,659 38 * SonoSite, Inc. 1,762 38 * Big 5 Sporting Goods Corp. 1,800 38 Iomega Corp. 6,288 38 * Luminex Corp. 4,004 38 * Terayon Communications Systems, Inc. 8,314 37 Partners Trust Financial Group, Inc. 1,100 37 * TriPath Imaging, Inc. 4,789 37 Material Sciences Corp. 3,688 37 U.S.B. Holding Co., Inc. 1,922 37 * C-COR Electronics, Inc. 3,345 37 Columbia Banking System, Inc. 1,718 37 American Land Lease, Inc. REIT 1,851 37 * PICO Holdings, Inc. 2,356 37 * Netopia, Inc. 2,531 37 * Hexcel Corp. 4,979 37 Penford Corp. 2,685 37 FNB Financial Services Corp. 1,848 37 * Casella Waste Systems, Inc. 2,692 37 PolyMedica Corp. 1,400 37 * Wiser Oil Co. 4,352 37 HMN Financial, Inc. 1,513 37 * Dave & Busters, Inc. 2,897 37 * IDT Corp. 1,658 37 * Entrust, Inc. 8,998 37 First Midwest Financial, Inc. 1,649 37 Capstead Mortgage Corp. REIT 2,186 37 * Avanex Corp. 7,346 37 OceanFirst Financial Corp. 1,349 37 Alamo Group, Inc. 2,394 37 * Coinstar, Inc. 2,013 36 * Alliance Semiconductor Corp. 5,110 36 * Connetics Corp. 2,000 36 * SPSS, Inc. 2,031 36 * US Physical Therapy, Inc. 2,300 36 Coastal Bancorp, Inc. 879 36 * Talk America Holdings, Inc. 3,135 36 * Regeneration Technologies, Inc. 3,290 36 Todd Shipyards Corp. 2,030 36 * SeeBeyond Technology Corp. 8,403 36 Midwest Banc Holdings, Inc. 1,620 36 * Ciphergen Biosystems, Inc. 3,206 36 * Pericom Semiconductor Corp. 3,380 36 * Alexion Pharmaceuticals, Inc. 2,112 36 BSB Bancorp, Inc. 907 36 * California Pizza Kitchen, Inc. 1,779 36 CFS Bancorp, Inc. 2,400 36 * Saxon Capital Inc. 1,700 36 * Regent Communications, Inc. 5,607 36 * Hawthorne Financial Corp. 1,272 36 Royal Gold, Inc. 1,700 36 * Magnatek, Inc. 5,390 36 * UTStarcom, Inc. 958 36 * Young Broadcasting Inc. 1,770 35 * Cepheid, Inc. 3,700 35 * MTC Technologies, Inc. 1,100 35 * Pathmark Stores, Inc. 4,660 35 Methode Electronics, Inc. Class A 2,893 35 * Perry Ellis International Corp. 1,372 35 * Asyst Technologies, Inc. 2,038 35 32 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Wellman, Inc. 3,463 35 * America West Holdings Corp. Class B 2,845 35 CPI Corp. 1,745 35 * Capital Corp. of the West 889 35 Brown Shoe Co., Inc. 929 35 * Pinnacle Entertainment, Inc. 3,777 35 * NETGEAR, Inc. 2,200 35 Century Bancorp, Inc. Class A 990 35 * NYFIX, Inc. 4,410 35 * J. Jill Group, Inc. 2,748 35 First Bancorp (NC) 1,108 35 * PC Connection, Inc. 4,148 35 Codorus Valley Bancorp, Inc. 1,661 35 TF Financial Corp. 1,016 35 * Biosite Inc. 1,191 34 * Input/Output, Inc. 7,642 34 * Antigenics, Inc. 3,021 34 * Cell Therapeutics, Inc. 3,930 34 * Universal Display Corp. 2,500 34 * InterCept, Inc. 3,018 34 Arrow Financial Corp. 1,226 34 Kramont Realty Trust REIT 1,872 34 * Aftermarket Technology Corp. 2,469 34 * GSI Commerce, Inc. 3,468 34 * Argonaut Group, Inc. 2,177 34 Oil-Dri Corp. of America 2,123 34 Simmons First National Corp. 1,210 34 * IDT Corp. Class B 1,458 34 * Innotrac Corp. 3,214 34 Capital Bank Corp. 2,169 34 L.S. Starrett Co. Class A 2,036 33 * Synalloy Corp. 4,838 33 * Lydall, Inc. 3,277 33 * MatrixOne, Inc. 5,418 33 * Zoltek Cos., Inc. 6,579 33 Ampco-Pittsburgh Corp. 2,429 33 * Syntroleum Corp. 7,673 33 * DutchFork Bancshares, Inc. 859 33 Midland Co. 1,400 33 Infinity Property & Casualty Corp. 1,000 33 * Lifeline Systems, Inc. 1,734 33 * Atari, Inc. 7,811 33 * Applied Molecular Evolution, Inc. 1,838 33 * GMX Resources Inc. 8,150 33 * Pegasystems Inc. 3,788 33 * Inspire Pharmaceuticals, Inc. 2,300 33 Patriot Bank Corp. 1,137 33 * Prime Energy Corp. 2,226 33 Newcastle Investment Corp. REIT 1,200 33 * Sirenza Microdevices, Inc. 6,774 33 * Tumbleweed Communications Corp. 3,880 33 * Champion Enterprises, Inc. 4,638 32 * Giant Industries, Inc. 2,710 32 * Volt Information Sciences Inc. 1,436 32 Sizeler Property Investors, Inc. REIT 3,028 32 Unizan Financial Corp. 1,600 32 * MRV Communications Inc. 8,615 32 * TippingPoint Technologies Inc. 1,079 32 * SCM Microsystems, Inc. 4,186 32 Lexington Corporate Properties Trust REIT 1,600 32 * Zix Corp. 3,704 32 * Netscreen Technologies, Inc. 1,300 32 * Gerber Scientific, Inc. 4,036 32 Thomas Nelson, Inc. 1,661 32 * AAON, Inc. 1,650 32 * Verity, Inc. 1,918 32 * Ethyl Corp. 1,463 32 Winston Hotels, Inc. REIT 3,118 32 * Vicor Corp. 2,786 32 * SafeNet, Inc. 1,032 32 * Savient Pharmaceuticals Inc. 6,883 32 * Axsys Technologies, Inc. 2,236 32 * Interactive Intelligence Inc. 6,083 32 * InterVoice, Inc. 2,669 32 * Actel Corp. 1,300 31 * PDF Solutions, Inc. 2,100 31 * 4Kids Entertainment Inc. 1,200 31 * Hector Communications Corp. 2,219 31 Seacoast Banking Corp. of Florida 1,789 31 * ImmunoGen, Inc. 6,130 31 First Federal Bancshares of Arkansas, Inc. 753 31 * Myriad Genetics, Inc. 2,400 31 * First Mariner Bancorp, Inc. 1,646 31 * Willis Lease Finance Corp. 4,189 31 * Verso Technologies, Inc. 9,594 31 Anworth Mortgage Asset Corp. REIT 2,200 31 * QAD Inc. 2,499 31 * Steven Madden, Ltd. 1,500 31 * Answerthink Consulting Group, Inc. 5,511 31 * Diversa Corp. 3,302 31 * Nanogen, Inc. 3,386 31 Farmer Brothers, Inc. 98 31 LSI Industries Inc. 2,257 30 * Asbury Automotive Group, Inc. 1,700 30 California Independent Bancorp 789 30 * Harvard Bioscience, Inc. 3,410 30 Ziegler Cos., Inc. 2,124 30 * Sequa Corp. Class A 615 30 33 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * MeriStar Hospitality Corp. REIT 4,629 30 Dimon Inc. 4,458 30 * Stratus Properties Inc. 2,999 30 * Mobile Mini, Inc. 1,523 30 * Kirkland's, Inc. 1,700 30 * Alliance Imaging, Inc. 8,100 30 Dover Downs Gaming & Entertainment, Inc. 3,167 30 * XOMA Ltd. 4,538 30 First Keystone Financial, Inc. 1,097 30 * ManTech International Corp. 1,200 30 * AtheroGenics, Inc. 2,000 30 * BioLase Technology, Inc. 1,800 30 * Stifel Financial Corp. 1,532 30 * Veritas DGC Inc. 2,845 30 * GenVec, Inc. 9,030 30 * Bottomline Technologies, Inc. 3,300 30 Sandy Spring Bancorp, Inc. 794 30 World Wrestling Entertainment, Inc. 2,265 30 * Phoenix Technologies Ltd. 3,670 30 * Presstek, Inc. 4,073 30 * SciClone Pharmaceuticals, Inc. 4,366 30 * Jo-Ann Stores, Inc. 1,450 30 HEICO Corp. 1,623 30 United Fire & Casualty Co. 730 29 * Carreker Corp. 2,100 29 * 1-800 CONTACTS, Inc. 1,400 29 Hopfed Bancorp, Inc. 1,705 29 * MSC Software Corp. 3,100 29 * Petroleum Helicopters, Inc. 1,085 29 Provident Bancorp, Inc. 623 29 * Portfolio Recovery Associates, Inc. 1,100 29 * Dick's Sporting Goods, Inc. 600 29 Connecticut Bancshares, Inc. 564 29 News Corp. Ltd. Pfd. ADR 960 29 LTC Properties, Inc. REIT 1,970 29 Greater Community Bancorp 1,710 29 * Tenneco Automotive, Inc. 4,329 29 * Pegasus Solutions Inc. 2,764 29 * KNBT Bancorp Inc. 1,643 29 * Comtech Telecommunications Corp. 1,000 29 * Friendly Ice Cream Corp. 2,982 29 Farmers Capital Bank Corp. 846 29 * Proxim Corp. Class A 17,225 29 * LCC International, Inc. Class A 5,363 29 SpectraLink Corp. 1,500 29 * O'Charley's Inc. 1,600 29 * Hydrill 1,200 29 Banner Corp. 1,141 29 * Garden Fresh Restaurant Corp. 1,782 29 * Frontier Airlines, Inc. 2,000 29 Sanders Morris Harris Group Inc. 2,300 29 Sterling Bancorp 1,000 29 * Petroleum Development Corp. 1,200 28 Capitol Bancorp Ltd. 1,000 28 * UbiquiTel Inc. 10,558 28 * Gene Logic Inc. 5,467 28 * M&F Worldwide Corp. 2,122 28 Angelica Corp. 1,287 28 * PRG-Schultz International, Inc. 5,772 28 * SBA Communications Corp. 7,477 28 * Pharmacyclics, Inc. 3,819 28 * Spherix Inc. 4,519 28 * Parker Drilling Co. 11,063 28 * Tollgrade Communications, Inc. 1,609 28 Tanger Factory Outlet Centers, Inc. REIT 692 28 Horizon Financial Corp. 1,605 28 * Verisity Ltd. 2,200 28 * JAKKS Pacific, Inc. 2,124 28 * Brightpoint, Inc. 1,620 28 Coca-Cola Bottling Co. 522 28 * Mobius Management Systems, Inc. 2,203 28 * Lexicon Genetics Inc. 4,729 28 * Extended Systems Inc. 6,414 28 Valmont Industries, Inc. 1,200 28 * Chordiant Software, Inc. 5,093 28 * Alliance Data Systems Corp. 1,000 28 * Anaren, Inc. 1,960 28 * MTR Gaming Group Inc. 2,686 28 * Gulfmark Offshore, Inc. 1,972 28 * American Physicians Capital, Inc. 1,500 28 Newmil Bancorp, Inc. 950 28 X-Rite Inc. 2,435 28 Southwest Bancorp, Inc. 1,540 28 * KVH Industries, Inc. 1,000 27 * Harris Interactive Inc. 3,300 27 * Water Pik Technologies, Inc. 2,229 27 * LCA-Vision Inc. 1,291 27 * Air Methods Corp. 3,041 27 Fedders Corp. 3,786 27 * Corixa Corp. 4,497 27 Marine Products Corp. 1,444 27 * PLATO Learning, Inc. 2,572 27 * Group 1 Software, Inc. 1,536 27 Prosperity Bancshares, Inc. 1,200 27 Met-Pro Corp. 1,673 27 * Penwest Pharmaceuticals Co. 1,563 27 * NMS Communications Corp. 4,321 27 * Kforce Inc. 2,883 27 * WJ Communications, Inc. 5,246 27 34 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Prime Group Realty Trust REIT 4,282 27 * ActivCard Corp. 3,400 27 * VA Software Corp. 6,843 27 * Insurance Auto Auctions, Inc. 2,048 27 * At Road, Inc. 2,000 27 * New Focus, Inc. 5,296 27 * Westell Technologies, Inc. 4,201 27 * The Meridian Resource Corp. 4,449 26 * Jos. A. Bank Clothiers, Inc. 760 26 Titan International, Inc. 8,611 26 * Ameriserv Financial Inc. 5,269 26 * PC-Tel, Inc. 2,475 26 * Oregon Steel Mills, Inc. 4,488 26 * Saga Communications, Inc. 1,400 26 * Datastream Systems, Inc. 3,299 26 * National Dentex Corp. 1,077 26 * Enesco Group, Inc. 2,497 26 * EPIQ Systems, Inc. 1,500 26 * Manufacturers' Services Ltd. 4,222 26 * Net2Phone, Inc. 3,773 26 * Nashua Corp. 2,999 25 * Rochester Medical Corp. 2,716 25 Summit Bancshares, Inc. 912 25 * Chicago Pizza & Brewery, Inc. 1,700 25 * Skechers U.S.A., Inc. 3,108 25 Bassett Furniture Industries, Inc. 1,535 25 Innkeepers USA Trust REIT 3,021 25 * Right Management Consultants, Inc. 1,355 25 * FreeMarkets, Inc. 3,766 25 * TranSwitch Corp. 10,935 25 Second Bancorp, Inc. 949 25 * Pinnacle Airlines Corp. 1,800 25 * Virage Logic Corp. 2,453 25 * AZZ Inc. 1,865 25 Oneida Ltd. 4,222 25 * Tempur-Pedic International Inc. 1,600 25 * Interpore International 1,900 25 * Moog Inc. 500 25 * BindView Development Corp. 6,537 25 * Genesis Microchip Inc. 1,366 25 * Coldwater Creek Inc. 2,235 25 Nash-Finch Co. 1,099 25 * Catalytica Energy Systems, Inc. 7,012 25 * FindWhat.com 1,300 24 * General Communication, Inc. 2,800 24 American States Water Co. 971 24 LSB Corp. 1,398 24 * KFX, Inc. 3,200 24 * Galyan's Trading Co. 2,000 24 * Hycor Biomedical Inc. 6,163 24 * Nuvelo, Inc. 6,924 24 * Curative Health Services, Inc. 1,739 24 * Workflow Management, Inc. 4,120 24 Safety Insurance Group, Inc. 1,400 24 * VaxGen, Inc. 3,020 24 * Strategic Diagnostics Inc. 5,050 24 Cascade Bancorp 1,234 24 Virco Manufacturing Corp. 3,740 24 * Central European Distribution Corp. 750 24 Southern Financial Bancorp, Inc. 550 24 * CCC Information Services Group 1,400 24 Triarc Cos., Inc. Class A 1,994 24 * Nuance Communications Inc. 3,079 24 * Martha Stewart Living Omnimedia, Inc. 2,387 24 * American Medical Systems Holdings, Inc. 1,075 23 * Centillium Communications, Inc. 4,148 23 * Northwest Pipe Co. 1,751 23 * ABIOMED, Inc. 3,375 23 * DiamondCluster International, Inc. 2,278 23 Investors Title Co. 748 23 Columbia Bancorp 726 23 * Revlon, Inc. Class A 10,328 23 HF Financial Corp. 1,415 23 * Illumina, Inc. 3,276 23 * Energy Conversion Devices, Inc. 2,557 23 Courier Corp. 600 23 * Metris Cos., Inc. 5,190 23 * First Consulting Group, Inc. 4,092 23 * Xicor, Inc. 2,030 23 * EnPro Industries, Inc. 1,650 23 Pulaski Financial Corp. 1,362 23 * Paragon Technologies, Inc. 2,370 23 Aceto Corp. 900 23 Merchants Bancshares, Inc. 752 23 * Cellstar Corp. 1,817 23 * Lancer Corp. 3,372 23 * Mechanical Technology Inc. 4,184 23 Shore Bancshares, Inc. 600 23 * Federal Agricultural Mortgage Corp. Class A 1,021 23 Nara Bancorp, Inc. 836 23 * Herley Industries Inc. 1,102 23 * Immunomedics Inc. 5,002 23 PrivateBancorp, Inc. 500 23 NUI Corp. 1,411 23 Omega Healthcare Investors, Inc. REIT 2,437 23 * Curon Medical Inc. 7,226 23 * Todhunter International, Inc. 1,975 23 35 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * SCS Transportation, Inc. 1,283 23 * Terra Industries, Inc. 6,769 22 Standex International Corp. 800 22 * Conrad Industries, Inc. 7,466 22 * Theragenics Corp. 4,093 22 * Dura Automotive Systems, Inc. 1,752 22 Sterling Financial Corp. (PA) 805 22 * WatchGuard Technologies, Inc. 3,827 22 * Autobytel Inc. 2,441 22 * Mair Holdings, Inc. 3,039 22 * Pozen Inc. 2,165 22 * Stamps.com Inc. 3,559 22 * Captaris Inc. 3,923 22 Tech/Ops Sevcon, Inc. 4,019 22 Capital Trust Class A 970 22 * PalmSource, Inc. 1,007 22 * Optical Communication Products, Inc. 5,929 22 * LodgeNet Entertainment Corp. 1,200 22 * Inverness Medical Innovations, Inc. 1,007 22 Oak Hill Financial, Inc. 710 22 Maine & Maritimes Corp. 624 22 * Blue Coat Systems, Inc. 978 22 * Valence Technology Inc. 5,663 22 Standard Motor Products, Inc. 1,792 22 Ameriana Bancorp 1,500 22 Hanmi Financial Corp. 1,100 22 * Oplink Communications, Inc. 9,088 22 Calgon Carbon Corp. 3,497 22 Peoples Bancorp, Inc. 735 22 United Capital Corp. 1,046 22 * Third Wave Technologies 4,741 22 * America's Car-Mart, Inc. 800 22 * Horizon Offshore, Inc. 4,889 22 * Collins & Aikman Corp. 4,968 22 * Overnite Corp. 942 21 * Geron Corp. 2,138 21 * PETCO Animal Supplies, Inc. 700 21 * Bally Total Fitness Holding Corp. 3,038 21 * Neoforma, Inc. 1,998 21 * SONUS Pharmaceuticals, Inc. 4,183 21 * Stellent Inc. 2,147 21 Vesta Insurance Group, Inc. 5,486 21 Milacron Inc. 5,055 21 * NASSDA Corp. 2,900 21 * Universal Electronics, Inc. 1,648 21 Team Financial, Inc. 1,658 21 * Pumatech, Inc. 5,258 21 * Analysts International Corp. 6,206 21 * Glenayre Technologies, Inc. 7,769 21 * Standard Microsystem Corp. 826 21 * Corio, Inc. 7,620 21 First State Bancorporation 600 21 Dover Motorsports, Inc. 5,954 21 * Ceres Group, Inc. 3,566 21 * Heidrick & Struggles International, Inc. 954 21 German American Bancorp 1,188 21 * Vitria Technology, Inc. 2,928 21 * Casual Male Retail Group, Inc. 2,977 21 * Double Eagle Petroleum Co. 1,371 21 * Medical Action Industries Inc. 1,100 21 * Telular Corp. 3,139 21 * Internap Network Services Corp. 8,392 21 * Whiting Petroleum Corp. 1,117 21 * Captiva Software Corp. 1,620 21 * The Princeton Review, Inc. 2,100 20 Pacific Union Bank 800 20 * InKine Pharmaceutical Co., Inc. 4,225 20 * Mail-Well, Inc. 4,425 20 * Callon Petroleum Co. 1,966 20 * Dynamics Research Corp. 1,261 20 * Progenics Pharmaceuticals, Inc. 1,070 20 * Vivus, Inc. 5,306 20 * Identix, Inc. 4,513 20 * Neurogen Corp. 2,387 20 Cornerstone Realty Income Trust, Inc. REIT 2,287 20 * Drexler Technology Corp. 1,461 20 * Navigant International, Inc. 1,440 20 Gabelli Asset Management Inc. 500 20 * Hartmarx Corp. 4,764 20 United Industrial Corp. 1,100 20 * Stoneridge, Inc. 1,318 20 Spartan Motors, Inc. 1,961 20 * Zhone Technologies 3,992 20 * FSI International, Inc. 2,666 20 * Dyax Corp. 2,379 20 * Gulf Island Fabrication, Inc. 1,148 20 * Fairchild Corp. 3,873 20 * Embrex, Inc. 1,419 19 * CyberSource Corp. 3,774 19 Paul Mueller Co. 488 19 * Lifecore Biomedical Inc. 3,233 19 * iVillage Inc. 5,432 19 * Midway Games Inc. 5,009 19 * I.D. Systems, Inc. 2,818 19 * Navigators Group, Inc. 624 19 * Kensey Nash Corp. 828 19 * Sierra Health Services, Inc. 700 19 * Conceptus, Inc. 1,800 19 * Matria Healthcare, Inc. 904 19 36 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Aware, Inc. 6,553 19 * Allscripts Healthcare Solutions, Inc. 3,570 19 * Torch Offshore, Inc. 3,600 19 Consolidated-Tomoka Land Co. 580 19 * Numerex Corp. 4,974 19 Traffix, Inc. 3,467 19 Heritage Financial Corp. 862 19 Cadmus Communications 1,449 19 * Clayton Williams Energy, Inc. 647 19 Ambassadors Group, Inc. 800 19 * RMH Teleservices, Inc. 3,633 19 * RC2 Corp. 903 19 * Witness Systems, Inc. 2,006 19 * Network Equipment Technologies, Inc. 1,700 19 * NS Group Inc. 1,926 19 * Department 56 Inc. 1,426 19 * A.S.V., Inc. 500 19 * Zomax Inc. 3,737 19 * ParkerVision, Inc. 1,902 19 State Financial Services Corp. Class A 701 19 * SFBC International, Inc. 700 19 Greater Delaware Valley Savings Bank 663 19 * Instinet Group Inc. 3,601 19 * Novoste Corp. 3,865 19 * Acmat Corp. Class A 1,503 19 Alico, Inc. 532 18 * Sipex Corp. 2,394 18 * Selectica, Inc. 4,294 18 * Community West Bancshares 2,110 18 * SM&A Corp. 1,556 18 * Sanchez Computer Associates, Inc. 4,375 18 * Hudson Highland Group, Inc. 759 18 * Able Laboratories, Inc. 1,000 18 * BioSphere Medical Inc. 4,500 18 * Ducommun, Inc. 800 18 * Bradley Pharmaceuticals, Inc. 700 18 * Clarus Corp. 2,461 18 IBERIABANK Corp. 300 18 Steel Technologies, Inc. 1,000 18 * Braun Consulting, Inc. 5,992 18 Massbank Corp. 413 18 * Banc Corp. 2,068 18 * Genlyte Group, Inc. 300 18 * Investors Capital Holdings, Ltd. 3,067 17 CompX International Inc. 2,729 17 Stepan Co. 680 17 * QuickLogic Corp. 3,495 17 * Neogen Corp. 700 17 * Trover Solutions, Inc. 2,600 17 UniFirst Corp. 726 17 Integral Systems, Inc. 799 17 * VitalWorks Inc. 3,890 17 * Tripath Technology Inc. 2,491 17 * Nexstar Broadcasting Group, Inc. 1,252 17 * Nastech Pharmaceutical Co., Inc. 1,785 17 ISCO, Inc. 1,847 17 Provident Financial Holdings, Inc. 471 17 * Novavax, Inc. 2,847 17 * Comfort Systems USA, Inc. 3,106 17 * iPayment Holdings, Inc. 500 17 * Superior Consultant Holdings Corp. 4,112 17 * BE Aerospace, Inc. 3,140 17 * Retail Ventures, Inc. 3,569 17 * Midas Inc. 1,185 17 * ITXC Corp. 3,903 17 * Aclara Biosciences, Inc. 4,614 17 * PLX Technology, Inc. 1,900 17 * Oil States International, Inc. 1,200 17 * Alloy, Inc. 3,200 17 * Dot Hill Systems Corp. 1,100 17 * Allied Holdings, Inc. 3,465 17 * La Jolla Pharmaceutical Co. 3,848 17 * Syms Corp. 2,395 17 * Neoware Systems, Inc. 1,200 16 * Blount International, Inc. 2,084 16 * Price Legacy Corp. REIT 4,303 16 * Seabulk International, Inc. 2,019 16 Covest Bankshares, Inc. 597 16 * Portal Software, Inc. 2,426 16 * Celeritek, Inc. 2,197 16 Gorman-Rupp Co. 612 16 Quaker Chemical Corp. 524 16 * Beasley Broadcast Group, Inc. 980 16 * EZCORP, Inc. 1,891 16 * Boston Beer Co., Inc. Class A 886 16 * Griffin Land & Nurseries, Inc. 1,126 16 * Actuate Software Corp. 5,144 16 * On Assignment, Inc. 3,055 16 North Valley Bancorp 1,042 16 * Bush Industries, Inc. 3,784 16 * EMCORE Corp. 3,364 16 Sunrise Telecom Inc. 4,513 16 Center Bancorp, Inc. 800 16 * Concord Camera Corp. 1,700 16 Intermet Corp. 2,894 16 * Nelnet, Inc. 700 16 Firstfed America Bancorp, Inc. 600 16 * Digi International, Inc. 1,621 16 * Computer Horizons Corp. 3,949 16 37 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Tessera Technologies, Inc. 824 15 * Wackenhut Corrections Corp. 677 15 * Switchboard Inc. 2,230 15 * Anthony & Sylvan Pools Corp. 3,845 15 Strategic Distribution, Inc. 1,081 15 * Ampal-American Israel Corp. 4,703 15 * Medical Staffing Network Holdings, Inc. 1,400 15 * International Shipholding Corp. 1,039 15 Landauer, Inc. 375 15 * Highland Hospitality Corp. 1,400 15 * Advanced Magnetics, Inc. 1,173 15 * Sangamo BioSciences, Inc. 2,740 15 First M&F Corp. 400 15 * ITLA Capital Corp. 300 15 * Aphton Corp. 2,490 15 * E-LOAN, Inc. 5,008 15 * NeoPharm, Inc. 814 15 Old Second Bancorp, Inc. 300 15 * Alcide Corp. 1,009 15 * Pegasus Communications Corp. 528 15 * Sigmatel Inc. 600 15 * Roxio, Inc. 3,088 15 * The First Marblehead Corp. 675 15 Raven Industries, Inc. 500 15 * Silicon Graphics, Inc. 10,760 15 * Curis, Inc. 3,275 15 * SoundView Technology Group, Inc. 951 15 * SITEL Corp. 6,305 15 * Oxigene, Inc. 1,815 15 * Caliper Technologies Corp. 2,209 15 BancTrust Financial Group, Inc. 900 14 * Therma-Wave Inc. 2,443 14 * Digital Generation Systems 6,395 14 * Raindance Communications, Inc. 5,187 14 SWS Group, Inc. 800 14 * Griffon Corp. 700 14 * Hi-Tech Pharmacal Co., Inc. 600 14 Sound Federal Bancorp Inc. 900 14 Goody's Family Clothing 1,495 14 * Fargo Electronics 1,100 14 * Emisphere Technologies, Inc. 2,550 14 * Three-Five Systems, Inc. 2,665 14 * NMT Medical, Inc. 3,100 14 * Rainier Pacific Financial Group Inc. 875 14 * Bone Care International, Inc. 1,093 14 Chester Valley Bancorp 601 14 * BroadVision, Inc. 3,249 14 * Art Technology Group, Inc. 9,046 14 * ATP Oil & Gas Corp. 2,200 14 California Water Service Group 500 14 * Baldwin Technology Class A 5,881 14 Bank of the Ozarks, Inc. 600 14 Commercial Bankshares, Inc. 400 13 * SteelCloud Inc. 3,121 13 * Capstone Turbine Corp. 7,214 13 * IVAX Diagnostics, Inc. 2,766 13 * ScanSoft, Inc. 2,521 13 Distributed Energy Systems Corp. 4,650 13 * Exactech, Inc. 900 13 Penn-America Group, Inc. 1,000 13 * Nu Horizons Electronics Corp. 1,354 13 * NPTest Holding Corp. 1,200 13 American National Bankshares Inc. 500 13 * Hollis-Eden Pharmaceuticals, Inc. 1,200 13 * Tarragon Realty Investors Inc. REIT 800 13 * Quovadx, Inc. 2,693 13 * Centra Software, Inc. 3,329 13 Allen Organ Co. 283 13 * Danielson Holdings Corp. 4,477 13 * Insmed Inc. 4,380 13 American Equity Investment Life Holding Company 1,300 13 * MetaSolv, Inc. 5,311 13 Universal Forest Products, Inc. 400 13 * CryoLife Inc. 2,226 13 * Keystone Automotive Industries, Inc. 500 13 MutualFirst Financial Inc. 500 13 * Foamex International, Inc. 2,519 13 * Criimi Mae, Inc. REIT 1,204 13 * First Potomac REIT 669 13 * Allied Healthcare International Inc. 1,980 12 * Cornell Companies, Inc. 900 12 First United Corp. 500 12 * Large Scale Biology Corp. 6,609 12 * Vyyo Inc. 1,423 12 * Provide Commerce Inc. 800 12 * NaPro BioTherapeutics, Inc. 6,104 12 FirstBank Corp. 396 12 * The SCO Group, Inc. 705 12 Bay View Capital Corp. 5,600 12 * Docucorp International, Inc. 1,179 12 * The Allied Defense Group, Inc. 500 12 Haverty Furniture Cos., Inc. 600 12 * Harken Energy Corp. 10,183 12 * Lazare Kaplan International, Inc. 1,707 12 Foothill Independent Bancorp 500 12 * Superconductor Technologies Inc. 2,100 12 Maritrans Inc. 700 12 Cross Timbers Royalty Trust 410 12 * DigitalThink, Inc. 4,140 12 38 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Camco Financial Corp. 670 12 * Zapata Corp. 200 12 * Green Mountain Coffee Roasters, Inc. 500 12 * Sonic Innovations, Inc. 1,778 11 Saul Centers, Inc. REIT 400 11 * Concerto Software Inc. 957 11 * Durect Corp. 4,425 11 * AmericanWest Bancorporation 500 11 * ImageWare Systems, Inc. 3,800 11 * Checkers Drive-In Restaurants, Inc. 1,088 11 Urstadt Biddle Properties Class A REIT 800 11 * Sequenom, Inc. 3,558 11 * QRS Corp. 1,390 11 * Ashford Hospitality Trust 1,200 11 * Citadel Broadcasting Corp. 500 11 * Arotech Corp. 6,122 11 * RadiSys Corp. 656 11 United Mobile Homes, Inc. REIT 648 11 FNB Corp. VA 371 11 * Intrado Inc. 500 11 * MarketWatch.com, Inc. 1,274 11 * Avici Systems Inc. 1,376 11 * Paradyne Networks, Inc. 3,175 11 * Buca, Inc. 1,600 11 * Marimba, Inc. 1,981 11 * CapitalSource Inc. 500 11 * Paxson Communications Corp. 2,800 11 * Toreador Resources Corp. 2,315 11 * Axonyx Inc. 2,200 11 * Clean Harbors Inc. 1,200 11 * Wave Systems Corp. 6,508 11 First Defiance Financial Corp. 400 11 Atlantic Tele-Network, Inc. 380 11 * U.S. Energy Corp. 3,571 11 * Active Power, Inc. 3,664 11 * Eden Bioscience Corp. 7,422 11 * Management Network Group Inc. 3,210 11 Cascade Natural Gas Corp. 500 11 * Interlink Electronics Inc. 1,500 11 * Perceptron, Inc. 1,378 10 * SRI/Surgical Express, Inc. 1,677 10 LSB Bancshares, Inc. 600 10 * American Residential Investment Trust, Inc. REIT 1,460 10 * Spectranetics Corp. 2,779 10 * Navarre Corp. 1,714 10 GA Financial, Inc. 300 10 Thomas Industries, Inc. 300 10 * Gundle/SLT Environmental, Inc. 500 10 * The Exploration Co. of Delaware, Inc. 1,700 10 * First Union Real Estate REIT 4,772 10 United Community Financial Corp. 900 10 PMA Capital Corp. Class A 2,000 10 Peapack Gladstone Financial Corp. 330 10 * Lipid Sciences, Inc. 2,862 10 * John B. Sanfilippo & Son, Inc. 200 10 * Genus, Inc. 1,700 10 * Chronimed Inc. 1,200 10 * barnesandnoble.com inc 3,443 10 * Metro One Telecommunications, Inc. 3,900 10 * BTU International, Inc. 2,880 10 * Huttig Building Products, Inc. 3,365 10 Mid-America Apartment Communities, Inc. REIT 300 10 * Covista Communications, Inc. 3,805 10 * Layne Christensen Co. 856 10 Pennfed Financial Services, Inc. 300 10 * Forgent Networks, Inc. 3,983 10 * Correctional Services Corp. 3,725 10 * Carriage Services, Inc. 2,708 10 * ePresence, Inc. 2,671 10 * Digital Impact, Inc. 3,471 10 * Compass Minerals International 700 10 * Computer Task Group, Inc. 2,557 10 * HMS Holdings Corp. 2,468 10 * Luminent Mortgage Capital, Inc. 700 10 Citizens First Financial Corp. 387 10 ESB Financial Corp. 600 10 * Technology Solutions Co. 7,836 10 * Titan Pharmaceuticals, Inc. 3,367 10 * Mothers Work, Inc. 400 10 * Park-Ohio Holdings Corp. 1,316 10 TSR, Inc. 1,253 10 * CYTOGEN Corp. 879 10 Applied Industrial Technology, Inc. 400 10 * Computer Network Technology Corp. 1,000 10 * Aradigm Corp. 5,575 10 TriCo Bancshares 300 9 * Columbia Laboratories Inc. 1,500 9 Security Bank Corp. 300 9 Republic Bancshares, Inc. 300 9 * Aetrium, Inc. 3,024 9 * PharmaNetics, Inc. 5,064 9 * Latitude Communications, Inc. 2,383 9 * Primus Knowledge Solutions, Inc. 1,489 9 Yardville National Bancorp 363 9 * Neurobiological Technologies, Inc. 1,600 9 39 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Genaissance Pharmaceuticals, Inc. 3,100 9 * Orchid Biosciences, Inc. 5,021 9 * Luby's, Inc. 2,513 9 Allegiant Bancorp, Inc. 330 9 Track Data Corp. 6,608 9 * TheStreet.com, Inc. 2,242 9 * Intelidata Technologies Corp. 5,592 9 * W.R. Grace & Co. 3,562 9 * EntreMed, Inc. 2,738 9 D&E Communications, Inc. 629 9 First SecurityFed Financial, Inc. 300 9 * Vical, Inc. 1,846 9 * Central Coast Bancorp 500 9 Southwest Water Co. 565 9 * Genome Therapeutics Corp. 2,887 9 * Emerson Radio Corp. 2,400 9 * Wyndham International, Inc. Class A 13,380 9 * VIA NET.WORKS, Inc. 5,204 9 New England Business Service, Inc. 300 9 * Information Holdings Inc. 400 9 * Merge Technologies, Inc. 500 9 Integra Bank Corp. 400 9 * Franklin Electronic Publishers, Inc. 2,242 9 * Jupitermedia Corp. 1,906 9 * AXT, Inc. 2,800 9 * Parallel Petroleum Corp. 2,000 9 Tennant Co. 200 9 Eastern Virginia Bankshares, Inc. 300 9 CCBT Financial Cos. Inc. 247 9 * Royale Energy, Inc. 702 9 Bedford Property Investors, Inc. REIT 300 9 * Equinix, Inc. 302 9 Keithley Instruments Inc. 465 9 * Applied Innovation Inc. 1,262 8 * Omega Protein Corp. 1,100 8 * LKQ Corp. 473 8 Financial Institutions, Inc. 300 8 Astro-Med, Inc. 653 8 * ePlus Inc. 683 8 Webster City Federal Bancorp 600 8 * LMI Aerospace, Inc. 4,197 8 Citizens South Banking Corp. 600 8 * Cerus Corp. 1,842 8 * RCN Corp. 10,437 8 Ameron International Corp. 240 8 First Federal Financial Corp. of Kentucky 330 8 * Worldwide Restaurant Concepts Inc. 2,964 8 * Virologic, Inc. 2,205 8 * Kana Software, Inc. 2,458 8 Jefferson Bancshares, Inc. 600 8 * AP Pharma Inc. 3,352 8 * Daily Journal Corp. 260 8 * Targeted Genetics Corp. 3,721 8 * Juno Lighting, Inc. 361 8 * Global Power Equipment Group Inc. 1,215 8 * Somera Communications, Inc. 5,038 8 * Total Entertainment Restaurant Corp. 667 8 * Impco Technologies Inc. 921 8 * Capital Title Group, Inc. 1,848 8 Main Street Banks, Inc. 300 8 Shenandoah Telecommunications Co. 155 8 * Visual Networks, Inc. 3,538 8 * Wellsford Real Properties Inc. 426 8 * Sun Bancorp, Inc. (NJ) 300 8 * Docent, Inc. 1,705 8 * Interstate Hotels & Resorts, Inc. 1,462 8 Unity Bancorp, Inc. 683 8 * Applix, Inc. 2,208 8 Mission West Properties Inc. REIT 600 8 * II-VI, Inc. 300 8 * Monarch Casino & Resort, Inc. 700 8 Cohu, Inc. 400 8 Belmont Bancorp 1,366 8 * LECG Corp. 334 8 * Carter's, Inc. 300 8 * Microvision, Inc. 1,000 8 * Katy Industries, Inc. 1,331 8 * Lantronix, Inc. 6,475 8 * Molina Healthcare Inc. 300 8 * IntraBiotics Pharmaceuticals, Inc. 470 8 * Ramtron International Corp. 2,886 8 * Tweeter Home Entertainment Group, Inc. 800 8 BHA Group Holdings Inc. 300 8 * Inforte Corp. 907 8 * Consumer Portfolio Services, Inc. 2,020 8 Stephan Co. 1,743 8 * TransPro Inc. 1,789 7 * Quantum Fuel Systems Technologies Worldwide, Inc. 921 7 * Niku Corp. 871 7 * Quality Distribution Inc. 378 7 * LookSmart, Ltd. 4,764 7 * Liquidmetal Technologies Inc. 2,600 7 * Biopure Corp. 3,100 7 * Goodrich Petroleum Corp. 1,400 7 40 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Peco II, Inc. 6,467 7 Humphrey Hospitality Trust, Inc. REIT 1,565 7 * V.I. Technologies, Inc. 6,546 7 AmeriVest Properties, Inc. REIT 1,000 7 EFC Bancorp, Inc 300 7 Westfield Financial, Inc. 300 7 Leesport Financial Corp. 300 7 * Acme Communications, Inc. 800 7 * Xanser Corp. 2,966 7 Royal Bancshares of Pennsylvania, Inc. 275 7 * Foster Wheeler Ltd. 6,755 7 * PriceSmart, Inc. 1,105 7 Applied Signal Technology, Inc. 300 7 * Capital Pacific Holdings, Inc. 1,789 7 * Falcon Financial Investment Trust 700 7 * Kendle International Inc. 1,075 7 * Ceradyne, Inc. 200 7 * Network Engines, Inc. 1,561 7 Psychemedics Corp. 725 7 Flexsteel Industry 300 7 * Champps Entertainment Inc. 900 7 * GTC Biotherapeutics, Inc. 2,100 7 Keystone Property Trust REIT 300 7 FloridaFirst Bancorp, Inc. 200 7 * Applied Films Corp. 200 7 * Loudeye Corp. 3,369 7 Bank of Granite Corp. 300 7 * BayCorp Holdings, Ltd. 500 7 * Electroglas, Inc. 1,784 7 Lowrance Electronics, Inc. 318 7 * Aksys, Ltd. 737 7 * Lesco, Inc. 500 6 * Crossroads Systems, Inc. 2,314 6 * Acclaim Entertainment Inc. 9,860 6 * Perini Corp. 700 6 Anchor Glass Container Corp. 400 6 Click Commerce, Inc. 1,239 6 * TRC Cos., Inc. 300 6 * Cavalier Homes, Inc. 2,095 6 * Rita Medical Systems, Inc. 1,400 6 * ViroPharma Inc. 2,238 6 * Blue Martini Software, Inc. 1,258 6 * Big Dog Holdings, Inc. 1,650 6 * Synovis Life Technologies, Inc. 300 6 * Republic First Bancorp, Inc. 500 6 * Iridex Corp. 1,100 6 * Global Payment Tech Inc. 1,783 6 * ebix.com Inc. 487 6 * Gadzooks, Inc. 3,843 6 * Cavco Industries, Inc. 248 6 Investors Real Estate Trust REIT 600 6 * Ag Services of America, Inc. 697 6 * Community Bancorp Inc. 300 6 * Click2learn, Inc. 2,800 6 Republic Bancorp, Inc. Class A 300 6 * Sirva Inc. 300 6 * Candie's, Inc. 2,808 6 BRT Realty Trust REIT 200 6 * SAVVIS Communications Corp. 3,840 6 * Alderwoods Group, Inc. 609 6 Penn Engineering & Manufacturing Corp. 300 6 Robbins & Myers, Inc. 300 6 * Internet Capital Group, Inc. 16,508 6 Community Bank of Northern Virginia 300 6 * Transgenomic, Inc. 2,841 6 * Optical Cable Corp. 800 6 * Systemax Inc. 848 6 * Brillian Corp. 666 6 * Pinnacor Inc. 2,412 6 * Collagenex Pharmaceuticals, Inc. 500 6 * Proxymed Pharmacy, Inc. 320 6 LaSalle Hotel Properties REIT 300 6 * Drew Industries, Inc. 200 6 * American Superconductor Corp. 400 6 * McLeod USA Inc. 3,739 6 CoBiz Inc. 300 6 * Alteon, Inc. 3,513 6 * Stratos International Inc. 802 5 * Penn Octane Corp. 2,264 5 * BSQUARE Corp. 3,786 5 * Intraware, Inc. 2,604 5 * ONYX Software Corp. 1,345 5 Cavalry Bancorp, Inc. 300 5 * Westmoreland Coal Co. 300 5 * Edgewater Technology, Inc. 1,077 5 BNP Residential Properties, Inc. REIT 444 5 * Carrington Labs Inc. 1,246 5 * Orphan Medical, Inc. 500 5 Habersham Bancorp 209 5 U.S. Restaurant Properties, Inc. REIT 300 5 Kaman Corp. Class A 400 5 * Tut Systems, Inc. 783 5 * The Greenbrier Cos., Inc. 300 5 * Optika Inc. 1,104 5 * APAC Teleservices, Inc. 1,928 5 American Mortgage Acceptance Co. REIT 300 5 41 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Darling International, Inc. 1,756 5 * Paradigm Genetics, Inc. 3,296 5 * Pacific Mercantile Bancorp 500 5 * MTI Technology Corp. 2,045 5 * Medialink Worldwide, Inc. 1,489 5 * Saba Software, Inc. 1,374 5 * Norstan, Inc. 1,483 5 Great Lakes, Inc. REIT 300 5 * All American Semiconductor, Inc. 1,057 5 * Applied Digital Solutions, Inc. 10,000 5 * Argonaut Technologies Inc. 2,664 5 * U.S. Energy Systems, Inc. 4,134 5 * Cardima, Inc. 4,715 5 * Digital Lightwave, Inc. 5,717 5 * NetManage, Inc. 877 5 * Lanvision Systems, Inc. 1,425 5 * American Independence Corp. 390 5 * Cosine Communications, Inc. 623 5 Ennis Business Forms, Inc. 300 5 * Channell Commercial Corp. 1,100 5 * Miller Industries, Inc. 609 5 * Trailer Bridge, Inc. 823 5 * I-many, Inc. 4,500 5 * Micro Linear Corp. 800 4 Cascade Corp. 200 4 * Lifeway Foods, Inc. 327 4 * Summa Industries 500 4 * ICT Group, Inc. 375 4 * Repligen Corp. 1,000 4 * Versant Corp. 2,795 4 * Texas Capital Bancshares, Inc. 300 4 * Interland, Inc. 655 4 FNB Corp./North Carolina 200 4 * TechTeam Global, Inc. 600 4 * Blue Rhino Corp. 300 4 * Stratasys, Inc. 150 4 * Perficient, Inc. 1,810 4 Pennrock Financial Services Corp. 129 4 * eMerge Interactive, Inc. 2,734 4 First Busey Corp. 146 4 National Health Realty Inc. REIT 200 4 * Z-Tel Technologies, Inc. 1,950 4 * Hall, Kinion & Associates, Inc. 775 4 * Bell Industries, Inc. 1,505 4 * Duratek, Inc. 300 4 Maxcor Financial Group Inc. 300 4 * SPEEDUS Corp. 2,777 4 * SatCon Technology Corp. 1,860 4 * Applied Imaging Corp. 2,500 4 Warwick Community Bancorp, Inc. 109 4 * Ista Pharmaceuticals Inc. 398 4 * Heritage Commerce Corp. 300 4 * Redback Networks Inc. 15,843 4 * Trump Hotels & Casino Resorts, Inc. 1,687 4 * Central Freight Lines, Inc. 205 4 Berkshire Hills Bancorp, Inc. 100 4 * Commerce One, Inc. 2,823 4 Datascope Corp. 100 4 * Avigen, Inc. 604 4 * Beta Oil & Gas, Inc. 1,800 4 * Nutrition 21 Inc. 4,377 4 BostonFed Bancorp, Inc. 100 3 * Interpharm Holdings, Inc. 739 3 * Abraxas Petroleum Corp. 2,800 3 * Protection One, Inc. 9,439 3 * Pacific Premier Bancorp, Inc. 305 3 * Cortex Pharmaceuticals, Inc. 1,300 3 Woodhead Industries, Inc. 200 3 * Viewpoint Corp. 4,486 3 Burnham Pacific Properties, Inc. REIT 15,143 3 * Synagro Technologies Inc. 1,506 3 * Nutraceutical International Corp. 300 3 * Century Casinos, Inc. 1,000 3 * Flanders Corp. 500 3 * U.S. Concrete, Inc. 500 3 * Matritech Inc. 1,700 3 * MacroChem Corp. 3,800 3 * Infinity, Inc. 800 3 * Aastrom Biosciences, Inc. 2,400 3 * WorldGate Communications, Inc. 2,858 3 * Bioject Medical Technologies Inc. 1,000 3 * Hungarian Telephone and Cable Corp. 300 3 * Nanometrics Inc. 200 3 * Five Star Quality Care, Inc. 668 3 * Concur Technologies, Inc. 300 3 * SIGA Technologies, Inc. 1,265 3 Hemlock Federal Financial Corp. 100 3 Northern States Financial Corp. 100 3 * Creative Host Services, Inc. 1,202 3 FFLC Bancorp, Inc. 100 3 * On2 Technologies, Inc. 2,193 3 * Myogen, Inc. 200 3 Princeton National Bancorp, Inc. 100 3 Citizens 1st Bancorp, Inc. 125 3 Home Federal Bancorp 100 3 * Airnet Communications Corp. 3,283 3 Lawson Products, Inc. 84 3 * Copper Mountain Networks, Inc. 255 3 Boykin Lodging Co. REIT 300 3 42 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Pfsweb Inc. 1,689 3 AMLI Residential Properties Trust REIT 100 3 * Versar Inc. 800 3 * Osteotech, Inc. 300 3 Craftmade International, Inc. 100 3 * Lynx Therapeutics, Inc. 408 3 * 24/7 Real Media, Inc. 1,898 3 * Magellan Petroleum Corp. 1,934 3 * Nonophase Technologies Corp. 300 2 * Webco Industries, Inc. 577 2 * Plumtree Software, Inc. 500 2 * American Access Technologies Inc. 1,753 2 * GoAmerica, Inc. 6,305 2 ILX Resorts Inc. 329 2 Waste Industries USA, Inc. 200 2 * HEI, Inc. 700 2 * Rainbow Rentals, Inc. 300 2 * Pac-West Telecom, Inc. 1,175 2 * eLoyalty Corp. 614 2 * Omtool, Ltd. 298 2 * Mayor's Jeweler's, Inc. 2,977 2 Butler Manufacturing Co. 100 2 * Continucare Corp. 1,581 2 * Redhook Ale Brewery, Inc. 825 2 * Exponent, Inc. 100 2 NASB Financial Inc. 51 2 * Optical Cable Corp. Warrants Exp. 10/24/2007 959 2 * Register.com, Inc. 397 2 * Baker (Michael) Corp. 200 2 * eXegenics Inc. 2,293 2 * DSL.Net, Inc. 3,371 2 * A.T. Cross Co. Class A 300 2 * Northfield Laboratories, Inc. 300 2 * Gallery of History, Inc. 466 2 United Financial Corp. 75 2 * NaviSite, Inc. 293 2 * Fresh Choice, Inc. 1,092 2 Rocky Mountain Chocolate Factory, Inc. 152 2 * Axeda Systems Inc. 1,400 2 * Franklin Bank Corp. 100 2 * Research Frontiers, Inc. 200 2 * Factory 2-U Stores Inc. 1,316 2 * Insightful Corp. 884 2 * Team, Inc. 173 2 * Callidus Software Inc 100 2 * United National Group Ltd-Class A 100 2 * Critical Path, Inc. 1,328 2 HEICO Corp. Class A 122 2 * EarthShell Corp. 938 2 * SureBeam Corp. 7,764 2 * SportsLine.com, Inc. 1,287 2 * Impreso, Inc. 800 2 * iPass Inc. 100 2 * LightPath Technologies, Inc. Class A 568 2 * SciQuest, Inc. 446 2 * Amtech Systems, Inc. 269 2 * Pharmion Corp. 100 2 The First Years Inc. 100 1 * The Immune Response Corp. 981 1 * ACE 593 1 * Rainmaker Systems, Inc. 992 1 * Novatel Wireless, Inc. 231 1 * Zonagen, Inc. 743 1 * Versata, Inc. 832 1 * Hanover Direct, Inc. 6,816 1 * Badger Paper Mills, Inc. 238 1 * Andrea Radio Corp. 3,118 1 Dynabazaar, Inc. 3,795 1 Acadia Realty Trust REIT 100 1 * Larscom Inc. 284 1 * DT Industries, Inc. 1,000 1 * ZEVEX International, Inc. 306 1 * UQM Technologies, Inc. 400 1 * Allied Motion Technologies, Inc. 301 1 * Epimmune Inc. 643 1 * Wilshire Enterprises, Inc. 190 1 * COMFORCE Corp. 2,081 1 * InsWeb Corp. 237 1 * ACT Teleconferencing, Inc. 1,000 1 * Storage Computer Corp. 2,856 1 * Verticalnet, Inc. 850 1 * Serrento Networks Corp. 335 1 * Astea International, Inc. 330 1 * Artisoft, Inc. 366 1 * Pemstar Inc. 300 1 Net Perceptions, Inc. 2,405 1 * Advanced Environmental Recycling Technologies, Inc. 600 1 * eGain Communications Corp. 436 1 * Hoenig Group, Inc. Rights Exp. 9/1/2006 3,670 1 * Universal Access Global Holdings Inc. 287 1 * Media 100 Inc. 1,614 1 * Star Buffet, Inc. 186 1 * Precision Optics Corp., Inc. 391 1 * Onvia.com, Inc. 174 1 Liquid Audio, Inc. 2,723 1 43 - -------------------------------------------------------------------------------- MARKET INSTITUTIONAL TOTAL STOCK VALUE* MARKET INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Magnum Hunter Resources Inc. Warrants Exp. 3/21/2005 1,391 1 * RF Monolithics, Inc. 73 1 * HealthAxis, Inc. 225 1 * JLM Industries, Inc. 495 1 * IGI, Inc. 418 1 Pittsburgh & West Virginia Railroad REIT 73 1 * Cardinal Financial Corp. 78 1 * Ezenia!, Inc. 2,547 1 * General Bearing Corp. 196 1 * WHX Corp. 222 1 * National Technical Systems, Inc. 107 1 * GraphOn Corp. 2,730 1 * Pure Bioscience 571 1 * Pinnacle Warrants Exp. 11/13/2007 9 -- - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $989,966) 1,035,434 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.8%)(1) - -------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSN. (2) 1.05%, 1/20/2004 $1,000 999 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 0.98%, 1/2/2004 5,982 5,982 0.99%, 1/2/2004--Note E 1,249 1,249 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $8,230) 8,230 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.1%) (Cost $998,196) 1,043,664 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.1%) - -------------------------------------------------------------------------------- Other Assets 3,101 Liabilities--Note E (4,521) ---------- (1,420) ---------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $1,042,244 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.1%, respectively, of net assets. See Note C in Notes to Financial Statements. (2)Security segregated as initial margin for open futures contracts. ADR--American Depositary Receipt. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2003, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $1,152,541 Overdistributed Net Investment Income (23) Accumulated Net Realized Losses (155,944) Unrealized Appreciation Investment Securities 45,468 Futures Contracts 202 - -------------------------------------------------------------------------------- NET ASSETS $1,042,244 ================================================================================ Institutional Shares--Net Assets Applicable to 24,135,908 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $563,144 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $23.33 ================================================================================ Institutional Plus Shares--Net Assets Applicable to 20,533,025 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $479,100 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL PLUS SHARES $23.33 ================================================================================ See Note C in Notes to Financial Statements for the tax-basis components of net assets. 44 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 YEAR ENDED DECEMBER 31, 2003 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME Income Dividends $ 15,864 Interest 71 Security Lending 86 - -------------------------------------------------------------------------------- Total Income 16,021 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Management and Administrative Institutional Shares 176 Institutional Plus Shares 166 - -------------------------------------------------------------------------------- Total Expenses 342 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 15,679 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (35,903) Futures Contracts 924 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (34,979) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 287,436 Futures Contracts 412 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 287,848 - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $268,548 ================================================================================ 45 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 -------------------------- YEAR ENDED DECEMBER 31, -------------------------- 2003 2002 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 15,679 $ 18,195 Realized Net Gain (Loss) (34,979) (110,317) Change in Unrealized Appreciation (Depreciation) 287,848 (212,323) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 268,548 (304,445) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Institutional Shares (5,582) (4,572) Institutional Plus Shares (10,097) (13,622) Realized Capital Gain Institutional Shares -- -- Institutional Plus Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (15,679) (18,194) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note F Institutional Shares 230,314 (36,344) Institutional Plus Shares (366,054) (263,357) - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (135,740) (299,701) - -------------------------------------------------------------------------------- Total Increase (Decrease) 117,129 (622,340) - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 925,115 1,547,455 - -------------------------------------------------------------------------------- End of Period $1,042,244 $925,115 ================================================================================ 46 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
- -------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, AUG. 31* TO ----------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 - -------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.00 $23.10 $ 22.72 - -------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .33 .32 .098 Net Realized and Unrealized Gain (Loss) on Investments 5.33 (5.10) .421 - -------------------------------------------------------------------------------------------- Total from Investment Operations 5.66 (4.78) .519 - -------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.33) (.32) (.139) Distributions from Realized Capital Gains -- -- -- - -------------------------------------------------------------------------------------------- Total Distributions (.33) (.32) (.139) - -------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $23.33 $18.00 $23.10 ============================================================================================ TOTAL RETURN 31.70% -20.77% 2.33% ============================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $563 $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 1.62% 1.45% 1.33%** Portfolio Turnover Rate 11% 9% 15% ============================================================================================
*Inception. **Annualized. 47 FINANCIAL HIGHLIGHTS (CONTINUED) INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL PLUS SHARES
- -------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, AUG. 31* TO ----------------- DEC. 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2003 2002 2001 - -------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $18.00 $23.10 $25.00 - -------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .337 .327 .151 Net Realized and Unrealized Gain (Loss) on Investments 5.330 (5.100) (1.900) - -------------------------------------------------------------------------------------------- Total from Investment Operations 5.667 (4.773) (1.749) - -------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.337) (.327) (.151) Distributions from Realized Capital Gains -- -- -- - -------------------------------------------------------------------------------------------- Total Distributions (.337) (.327) (.151) - -------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $23.33 $18.00 $23.10 ============================================================================================ TOTAL RETURN 31.74% -20.74% -6.96% ============================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $479 $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 1.64% 1.48% 1.36%** Portfolio Turnover Rate 11% 9% 15% ============================================================================================
*Inception. **Annualized. SEE ACCOMPANYING NOTES, WHICH ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 48 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. 49 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 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 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. For tax purposes, at December 31, 2003, the fund had no ordinary income available for distribution. The fund had available realized losses of $155,692,000 to offset future net capital gains of $4,981,000 through December 31, 2009, $99,548,000 through December 31, 2010, $44,357,000 through December 31, 2011, and $6,806,000 through December 31, 2012. At December 31, 2003, net unrealized appreciation of investment securities for tax purposes was $45,468,000, consisting of unrealized gains of $162,311,000 on securities that had risen in value since their purchase and $116,843,000 in unrealized losses on securities that had fallen in value since their purchase. At December 31, 2003, the aggregate settlement value of open futures contracts expiring in March 2004 and the related unrealized appreciation were: - -------------------------------------------------------------------------------- (000) ------------------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- S&P 500 Index 17 $4,720 $165 S&P MidCap 400 Index 3 864 12 Russell 2000 Index 4 1,115 25 - -------------------------------------------------------------------------------- Unrealized appreciation on open futures contracts is required to be treated as realized gain for tax purposes. D. During the year ended December 31, 2003, the fund purchased $99,947,000 of investment securities and sold $233,004,000 of investment securities, other than temporary cash investments. E. The market value of securities on loan to broker/dealers at December 31, 2003, was $1,087,000, for which the fund held cash collateral of $1,249,000. 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. 50 F. Capital share transactions for each class of shares were:
- -------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ------------------------------------------------- 2003 2002 ---------------------- --------------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - -------------------------------------------------------------------------------------------- Institutional Shares Issued $ 290,822 13,540 $ 35,745 1,787 Issued in Lieu of Cash Distributions 4,901 235 4,572 238 Redeemed (65,409) (3,260) (76,661) (3,919) ------------------------------------------------- Net Increase (Decrease)-- Institutional Shares 230,314 10,515 (36,344) (1,894) ------------------------------------------------- Institutional Plus Shares Issued 53,910 2,434 56,247 3,294 Issued in Lieu of Cash Distributions 1,781 90 2,538 131 Redeemed (421,745) (19,760) (322,142) (17,132) ------------------------------------------------- Net Increase (Decrease)-- Institutional Plus Shares (366,054) (17,236) (263,357) (13,707) - --------------------------------------------------------------------------------------------
51 REPORT OF INDEPENDENT AUDITORS To the Shareholders and Trustees of Vanguard Institutional Total Stock Market Index Fund: In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Institutional Total Stock Market Index Fund (the "Fund") at December 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and broker, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 6, 2004 - -------------------------------------------------------------------------------- SPECIAL 2003 TAX INFORMATION (UNAUDITED) FOR VANGUARD INSTITUTIONAL TOTAL STOCK MARKET INDEX FUND This information for the fiscal year ended December 31, 2003, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, 95.9% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction. The fund distributed the maximum amount of qualified dividend income allowable. The amount of qualified dividend income distributed by the fund was provided to individual shareholders on their 2003 Form 1099-DIV. - -------------------------------------------------------------------------------- 52 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 Target Retirement Funds: Retirement Income Retirement 2005 Retirement 2015 Retirement 2025 Retirement 2035 Retirement 2045 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. THIS PAGE INTENTIONALLY LEFT BLANK. THIS PAGE INTENTIONALLY LEFT BLANK. 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 sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of - --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------ POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Chairman of the Board, Chief Executive Officer, and Director/Trustee (1954) Board, Chief of The Vanguard Group, Inc., and of each of the investment companies May 1987 Executive Officer, served by The Vanguard Group. and Trustee (118) - ------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Advisor (1937) (118) to Greenwich Associates (international business strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - ------------------------------------------------------------------------------------------------------------ RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (1945) (118) Chairman (January-September 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. - ------------------------------------------------------------------------------------------------------------ JOANN HEFFERNAN Trustee Vice President, Chief Information Officer, and Member of the HEISEN (118) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer (1950) products); Director of the Medical Center at Princeton and Women's July 1998 Research and Education Institute. - ------------------------------------------------------------------------------------------------------------ BURTON G. MALKIEL TRUSTEE Chemical Bank Chairman's Professor of Economics,Princeton University; (1932) (116) Director of Vanguard Investment Series plc (Irish invest-ment fund) May 1977 (since November 2001), Vanguard Group (Ireland)Limited (Irish investment management firm)(since November 2001),Prudential Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (holding company), and NeuVis, Inc.(software company). - ------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- the funds. Among board members' responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. - --------------------------------------------------------------------------------
POSITION(S) HELD WITH NAME FUND (NUMBER OF (YEAR OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY SINCE TRUSTEE/OFFICER) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------ Alfred M. Rankin, Jr. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (1941) (118) Industries, Inc. (forklift trucks/housewares/lignite); Director of January 1993 Goodrich Corporation (industrial products/aircraft systems and services); Director of Standard Products Company (supplier for the automotive industry) until 1998. - ------------------------------------------------------------------------------------------------------------ J. Lawrence Wilson Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (1936) (118) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceuti-cal distribution); Trustee of Vanderbilt University. - ------------------------------------------------------------------------------------------------------------ EXECUTIVE OFFICERS* R. Gregory Barton Secretary Managing Director and General Counsel of The Vanguard Group, Inc.; (1951) (118) Secretary of The Vanguard Group and of each of the investment June 2001 companies served by The Vanguard Group. - ------------------------------------------------------------------------------------------------------------ Thomas J. Higgins Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (1957) (118) investment companies served by The Vanguard Group. July 1998 - ------------------------------------------------------------------------------------------------------------ *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. - ------------------------------------------------------------------------------------------------------------ VANGUARD SENIOR MANAGEMENT TEAM MORTIMER J. BUCKLEY, Information Technology. MICHAEL S. MILLER, Planning and Development. JAMES H. GATELY, Investment Programs and Services. RALPH K. PACKARD, Finance. KATHLEEN C. GUBANICH, Human Resources. GEORGE U. SAUTER, Chief Investment Officer. F. WILLIAM MCNABB, III, Client Relationship Group. - ------------------------------------------------------------------------------------------------------------ JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. - ------------------------------------------------------------------------------------------------------------
[VANGUARD SHIP LOGO] THE VANGUARD GROUP(R) POST OFFICE BOX 2600 VALLEY FORGE, PA 19482-2600 Vanguard, The Vanguard Group, Vanguard.com, Admiral, Explorer, Morgan, LifeStrategy, STAR, Wellesley, Wellington, Windsor, and the ship logo are trademarks of The Vanguard Group, Inc. S&P 500(R), 500, and S&P MidCap 400 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. 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 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. 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) 2004 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q8710 022004 ITEM 2: Code of Ethics. The Board of Trustees has adopted a code of ethics that applies to the principal executive officer, principal financial officer, principal accounting officer or controller of the Registrant and The Vanguard Group, Inc., and to persons performing similar functions. ITEM 3: Audit Committee Financial Expert. All of the members of the Audit Committee have been determined by the Registrant's Board of Trustees to be Audit Committee Financial Experts. The members of the Audit Committee are: Charles D. Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, Burton G. Malkiel, Alfred M. Rankin, Jr., and J. Lawrence Wilson. All Audit Committee members are independent under applicable rules. ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES. (A) AUDIT FEES. AUDIT FEES OF THE REGISTRANT Fiscal Year Ended December 31, 2003: $0 Fiscal Year Ended December 31, 2002: $0 AGGREGATE AUDIT FEES OF REGISTERED INVESTMENT COMPANIES IN THE VANGUARD GROUP Fiscal Year Ended December 31, 2003: $1,660,800 Fiscal Year Ended December 31, 2002: $1,620,200 (B) AUDIT-RELATED FEES. Fiscal Year Ended December 31, 2003: $324,460 Fiscal Year Ended December 31, 2002: $420,280 Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group. (C) TAX FEES. Fiscal Year Ended December 31, 2003: $409,900 Fiscal Year Ended December 31, 2002: $103,200 Includes fees billed in connection with compliance, planning, and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income, excise, and stamp taxes. (D) ALL OTHER FEES. Fiscal Year Ended December 31, 2003: $31,000 Fiscal Year Ended December 31, 2002: $367,500 Includes fees billed in connection with benefit plans and statements, risk management, privacy matters, educational training materials, and other business advisory services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group. (E) (1) PRE-APPROVAL POLICIES. The policy of the Registrant's Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant's independence. In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant's independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant's independence. The Registrant's Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or other registered investment companies in the Vanguard Group. (2) No percentage of the principal accountant's fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant's engagement were not performed by persons other than full-time, permanent employees of the principal accountant. (G) AGGREGATE NON-AUDIT FEES. Fiscal Year Ended December 31, 2003: $440,900 Fiscal Year Ended December 31, 2002: $470,700 Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group. (h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant's independence. 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 Control Over Financial Reporting. There were no significant changes in Registrant's internal control over financial reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 10: EXHIBITS. The following exhibits are attached hereto: (a) code of ethics (b) certifications 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 FUND BY:_____________(signature)________________ (HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER Date: February 20, 2004 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 FUND BY:_____________(signature)________________ (HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER Date: February 20, 2004 VANGUARD INSTITUTIONAL INDEX FUND BY:_____________(signature)________________ (HEIDI STAM) THOMAS J. HIGGINS* TREASURER Date: February 20, 2004 *By Power of Attorney. See File Number 2-57689, filed on December 26, 2002. Incorporated by Reference. EX-31 3 cert302institutional.txt CERT302 INSTITUTIONAL INDEX FUND CERTIFICATIONS I, John J. Brennan, certify that: 1. I have reviewed this report on Form N-CSR of Vanguard Institutional Index Fund; 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: February 20, 2004 /S/ JOHN J. BRENNAN ---------------------------- CHIEF EXECUTIVE OFFICER CERTIFICATIONS I, Thomas J. Higgins, certify that: 1. I have reviewed this report on Form N-CSR of Vanguard Institutional Index Fund; 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: February 20, 2004 /S/ THOMAS J. HIGGINS ------------------------- TREASURER EX-32 4 cert906institutional.txt CERT 906 INSTITUTIONAL INDEX FUND 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 Fund 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: February 20, 2004 /S/ JOHN J. BRENNAN ________________________________ 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 Fund 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: February 20, 2004 /S/ THOMAS J. HIGGINS ________________________________ Thomas J. Higgins Treasurer EX-99 5 codeofethics.txt CODE OF ETHICS THE VANGUARD FUNDS' CODE OF ETHICS FOR SENIOR EXECUTIVE AND FINANCIAL OFFICERS I. INTRODUCTION The Board of Trustees of each registered investment company that is managed, sponsored, and distributed by The Vanguard Group, Inc. ("VGI") (each a "Vanguard Fund" and collectively the "Vanguard Funds") has adopted this code of ethics (the "Code") as required by Section 406 of the Sarbanes-Oxley Act. The Code applies to the individuals in positions listed on Exhibit A (the "Covered Officers"). All Covered Officers, along with employees of The Vanguard Group, Inc., are subject to separate and distinct obligations from this Code under a Code of Ethics adopted pursuant to Rule 17j-1 under the Investment Company Act of 1940 ("17j-1 Code of Ethics"), policies to prevent the misuse of non-public information, and other internal compliance guidelines and policies that may be in effect from time to time. This Code is designed to promote: o Honest and ethical conduct, including the ethical handling of conflicts of interest; o Full, fair, accurate, timely, and understandable disclosure in reports and documents that a Vanguard Fund files with, or submits to, the U.S. Securities and Exchange Commission, or in other public communications made by the Vanguard Funds or VGI; o Compliance with applicable laws, governmental rules, and regulations; o Prompt internal reporting to those identified in the Code of violations of the Code; and o Accountability for adherence to the Code. II. ACTUAL OR APPARENT CONFLICTS OF INTEREST A. Covered Officers should conduct all activities in accordance with the following principles: 1. Shareholders' interests come first. In the course of fulfilling their duties and responsibilities to Vanguard Fund shareholders, Covered Officers must at all times place the interests of Vanguard Fund shareholders first. In particular, Covered Officers must avoid serving their own personal interests ahead of the interests of Vanguard Fund shareholders. 2. Conflicts of interest must be avoided. Covered Officers must avoid any situation involving an actual or potential conflict of interest or possible impropriety with respect to their duties and responsibilities to Vanguard Fund shareholders. 3. Compromising situations must be avoided. Covered Officers must not take advantage of their position of trust and responsibility. Covered Officers must avoid any situation that might compromise or call into question their exercise of full independent judgment in the best interests of Vanguard Fund shareholders. All activities of Covered Officers should be guided by and adhere to these fiduciary standards regardless of whether the activity is specifically described in this Code. B. Restricted Activities 1. Gifts. Covered Officers are prohibited from seeking or accepting gifts of material value from any person or entity, including any portfolio companies and service providers, when such gifts are in relation to doing business with a Vanguard entity. In certain cases, Covered Officers may accept gifts of de minimis value but only if they obtain the approval of the General Counsel of VGI. 2. Prohibition on secondary employment. Covered Officers are prohibited from accepting or serving in any form of secondary employment. Secondary employment that does not create a potential conflict of interest may be approved by the General Counsel of VGI. 3. Prohibition on service as director or public official. Unless approved by the General Counsel of VGI, Covered Officers are prohibited from serving on the board of directors of any publicly traded company or in an official capacity for any federal, state, or local government (or governmental agency or instrumentality). 4. Prohibition on misuse of Vanguard time or property. Covered Officers are prohibited from making use of time, equipment, services, personnel or property of any Vanguard entity for any purposes other than the performance of their duties and responsibilities in connection with the Vanguard Funds or other Vanguard-related entities. III. DISCLOSURE AND COMPLIANCE A. Each Covered Officer should be familiar with the disclosure requirements generally applicable to the Vanguard Funds. B. Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Vanguard Funds to others, including to the Vanguard Funds' directors and auditors, or to government regulators and self-regulatory organizations. C. Each Covered Officer should, to the extent appropriate within the Covered Officer's area of responsibility, consult with other officers and employees of VGI and advisers to a Vanguard Fund with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the fund files with, or submits to, the SEC and in other public communications made by a Vanguard Fund. D. It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules, regulations, and the 17j-1 Code of Ethics. 2 IV. REPORTING AND ACCOUNTABILITY A. Each Covered Officer must: 1. Upon adoption or amendment of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing that he or she has received, read, and understands the Code; 2. Affirm at least annually in writing that he or she has complied with the requirements of the Code; 3. Not retaliate against any other Covered Officer or any employee of VGI for reports of potential violations of the Code that are made in good faith; and 4. Notify the General Counsel of VGI promptly if the Covered Officer knows of any violations of this Code. B. The Vanguard Funds will use the following procedures in investigating and enforcing this Code: 1. The General Counsel of VGI is responsible for applying this Code to specific situations and has the authority to interpret this Code in any particular situation. All determinations made by the General Counsel will be reported to the Board of Trustees of the Vanguard Funds in an annual report regarding activities subject to the Code. 2. The General Counsel will take all appropriate action to investigate any potential violations of the Code that are reported to him. 3. If, after investigation, the General Counsel believes that no material violation of the Code has occurred, the General Counsel is not required to take any further action. 4. Any matter that the General Counsel believes is a material violation of the Code will be reported to the Board of Trustees of the Vanguard Funds. 5. If the Board of Trustees of the Vanguard Funds concurs that a material violation of the Code has occurred, the Board will consider appropriate action. Appropriate action may include reassignment, suspension, or dismissal of the applicable Covered Officer(s), or any other sanctions the Board deems appropriate. Appropriate action may also include review of, and appropriate modifications to, applicable policies and procedures. 6. Any changes to or waiver of this Code will, to the extent required, be disclosed as provided by SEC rules. V. Other Policies and Procedures 3 This Code shall be the sole code of conduct adopted by the Vanguard Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Vanguard Funds, VGI, or other service providers govern or purport to govern the behavior or activities of the Covered Officers, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. VGI's and the Vanguard Funds' 17j-1 Code of Ethics, policies to prevent the misuse of non-public information, and other internal compliance guidelines and policies that may be in effect from time to time are separate requirements applying to the Covered Officers and others, and are not part of this Code. VI. AMENDMENTS This Code may not be amended except by the approval of a majority vote of the Vanguard Funds' Board of Trustees. All amendments must be in writing and communicated promptly to the Covered Officers, who shall affirm receipt of the amended Code in accordance with Section IV. A. 1. VII. CONFIDENTIALITY All reports and records prepared or maintained pursuant to this Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Vanguard Funds' Board of Trustees and VGI's General Counsel. Date: October 20, 2003 EXHIBIT A TO THE VANGUARD FUNDS' CODE OF ETHICS FOR SENIOR EXECUTIVE AND FINANCIAL OFFICERS Covered Officers: - ---------------- Chairman and Chief Executive Officer of The Vanguard Group, Inc. and the Vanguard Funds Managing Director and Chief Financial Officer of The Vanguard Group, Inc. Controller of The Vanguard Group, Inc. Assistant Controller(s) of The Vanguard Group, Inc. Principal of Internal Audit, The Vanguard Group, Inc. Treasurer of the Vanguard Funds Assistant Treasurer(s) of the Vanguard Funds Assistant Controller(s) of the Vanguard Funds -----END PRIVACY-ENHANCED MESSAGE-----